Manning & Napier Fund N-CSRS Certified semi-annual shareholder report (management investment company)

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)

Paul J. Battaglia 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, 2019 through April 30, 2020

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, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1: Reports to Stockholders. 

 

  Manning & Napier Fund, Inc.

  Equity Series

Beginning on June 25, 2021, as permitted by Securities and Exchange Commission regulations, paper copies of the Series’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically by contacting your financial intermediary or, if you are a direct investor, by visiting www.manning-napier.com or calling 1-800-466-3863.

You may elect to receive all future annual and semi-annual reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by visiting www.manning-napier.com or calling 1-800-466-3863. Your election to receive reports in paper will apply to all funds held with your financial intermediary if you invest through a financial intermediary or all series of the Fund if you invest directly with the Fund.

Equity Series

Shareholder Expense Example

(unaudited)

As a shareholder of the Series, you incur ongoing costs, including management fees, shareholder service 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 (November 1, 2019 to April 30, 2020).

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, such as sales charges (loads), redemption fees, or exchange fees that you may incur in other mutual funds. 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.

	BEGINNING  ACCOUNT VALUE   11/1/19		ENDING ACCOUNT VALUE  4/30/20		EXPENSES PAID  DURING PERIOD  11/1/19-4/30/201		ANNUALIZED  EXPENSE  RATIO
Class S
Actual		$1,000.00		$1,014.20		$5.26		1.05%
Hypothetical     (5% return before expenses)		$1,000.00		$1,019.64		$5.27		1.05%
Class W
Actual		$1,000.00		$1,019.70		$0.25		0.05%
Hypothetical     (5% return before expenses)		$1,000.00		$1,024.61		$0.25		0.05%

¹Expenses are equal to the Series’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). The Class’ total return would have been lower had certain expenses not been waived during the period.

1 

Equity Series

Portfolio Composition as of April 30, 2020

(unaudited)

Sector Allocation¹

 

¹As a percentage of net assets.

2 

Equity Series

Investment Portfolio - April 30, 2020 
(unaudited)

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS - 96.7%
Communication Services - 10.9%
Entertainment - 5.1%
Activision Blizzard, Inc.		14,400	$	917,712
Electronic Arts, Inc.*		12,840		1,467,098
The Walt Disney Co.		5,280		571,032
				2,955,842
Interactive Media & Services - 4.8%
Alphabet, Inc. - Class A*		775		1,043,692
Alphabet, Inc. - Class C*		330		445,058
Facebook, Inc. - Class A*		6,250		1,279,438
				2,768,188
Media - 1.0%
Charter Communications, Inc. - Class A*		1,120		554,658
Total Communication Services				6,278,688
Consumer Discretionary - 14.4%
Hotels, Restaurants & Leisure - 0.6%
Norwegian Cruise Line Holdings Ltd.*		10,160		166,624
Royal Caribbean Cruises Ltd.		4,470		209,062
				375,686
Internet & Direct Marketing Retail - 6.4%
Amazon.com, Inc.*		600		1,484,400
Booking Holdings, Inc.*		1,005		1,487,973
Expedia Group, Inc.		10,010		710,510
				3,682,883
Multiline Retail - 3.8%
Dollar General Corp.		6,875		1,205,188
Dollar Tree, Inc.*		12,755		1,016,191
				2,221,379
Specialty Retail - 2.4%
AutoZone, Inc.*		705		719,326
Floor & Decor Holdings, Inc. - Class A*		6,835		289,804
The TJX Companies, Inc.		7,970		390,928
				1,400,058
Textiles, Apparel & Luxury Goods - 1.2%
NIKE, Inc. - Class B		7,645		666,491
Total Consumer Discretionary				8,346,497
Consumer Staples - 8.1%
Beverages - 5.1%
The Coca-Cola Co.		35,675		1,637,126

The accompanying notes are an integral part of the financial statements.

3 

Equity Series

Investment Portfolio - April 30, 2020 
(unaudited)

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Consumer Staples (continued)
Beverages (continued)
Constellation Brands, Inc. - Class A		2,610	$	429,841
PepsiCo, Inc.		6,670		882,374
				2,949,341
Food Products - 3.0%
Mondelez International, Inc. - Class A		33,295		1,712,695
Total Consumer Staples				4,662,036
Energy - 8.4%
Oil, Gas & Consumable Fuels - 8.4%
Cabot Oil & Gas Corp.		65,615		1,418,596
Chevron Corp.		5,025		462,300
Concho Resources, Inc.		5,620		318,766
ConocoPhillips		20,035		843,473
EOG Resources, Inc.		20,980		996,760
Exxon Mobil Corp.		10,245		476,085
Pioneer Natural Resources Co.		3,690		329,554
Total Energy				4,845,534
Financials - 12.7%
Capital Markets - 10.6%
BlackRock, Inc.		2,730		1,370,569
Cboe Global Markets, Inc.		8,525		847,214
CME Group, Inc.		4,780		851,844
Intercontinental Exchange, Inc.		10,030		897,184
Moody’s Corp.		4,340		1,058,526
S&P Global, Inc.		3,805		1,114,408
				6,139,745
Diversified Financial Services - 2.1%
Berkshire Hathaway, Inc. - Class B*		6,285		1,177,558
Total Financials				7,317,303
Health Care - 12.8%
Biotechnology - 2.5%
BioMarin Pharmaceutical, Inc.*		3,190		293,544
Incyte Corp.*		3,845		375,503
Seattle Genetics, Inc.*		2,835		389,047
Vertex Pharmaceuticals, Inc.*		1,490		374,288
				1,432,382
Health Care Equipment & Supplies - 2.3%
Boston Scientific Corp.*		12,075		452,571
IDEXX Laboratories, Inc.*		1,050		291,480

The accompanying notes are an integral part of the financial statements.

4 

Equity Series

Investment Portfolio - April 30, 2020 
(unaudited)

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Health Care Equipment & Supplies (continued)
Intuitive Surgical, Inc.*		550	$	280,984
West Pharmaceutical Services, Inc.		1,685		318,903
				1,343,938
Health Care Providers & Services - 3.3%
Humana, Inc.		2,300		878,186
UnitedHealth Group, Inc.		3,410		997,323
				1,875,509
Life Sciences Tools & Services - 1.3%
Thermo Fisher Scientific, Inc.		2,315		774,784
Pharmaceuticals - 3.4%
Johnson & Johnson		9,140		1,371,366
Merck & Co., Inc.		3,710		294,351
Zoetis, Inc.		2,445		316,163
				1,981,880
Total Health Care				7,408,493
Industrials - 1.8%
Commercial Services & Supplies - 0.7%
Copart, Inc.*		5,480		439,003
Road & Rail - 1.1%
Norfolk Southern Corp.		3,630		621,093
Total Industrials				1,060,096
Information Technology - 19.8%
IT Services - 8.6%
Mastercard, Inc. - Class A		6,055		1,664,943
PayPal Holdings, Inc.*		10,130		1,245,990
Square, Inc. - Class A*		4,830		314,626
Verra Mobility Corp.*		53,545		479,763
Visa, Inc. - Class A		7,080		1,265,338
				4,970,660
Semiconductors & Semiconductor Equipment - 3.4%
Micron Technology, Inc.*		29,580		1,416,586
NVIDIA Corp.		1,945		568,485
				1,985,071
Software - 7.8%
Microsoft Corp.		11,230		2,012,528
salesforce.com, Inc.*		5,450		882,628

The accompanying notes are an integral part of the financial statements.

5 

Equity Series

Investment Portfolio - April 30, 2020 
(unaudited)

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
Software (continued)
ServiceNow, Inc.*		4,630	$	1,627,630
				4,522,786
Total Information Technology				11,478,517
Materials - 3.3%
Chemicals - 1.5%
FMC Corp.		9,510		873,969
Containers & Packaging - 1.0%
Graphic Packaging Holding Co.		42,190		563,236
Metals & Mining - 0.8%
Freeport-McMoRan, Inc.		25,430		224,547
Southern Copper Corp. (Peru)		8,370		271,523
				496,070
Total Materials				1,933,275
Real Estate - 4.5%
Equity Real Estate Investment Trusts (REITS) - 4.5%
American Tower Corp.		4,175		993,650
Equinix, Inc.		1,050		708,960
SBA Communications Corp.		3,050		884,256
Total Real Estate				2,586,866
TOTAL COMMON STOCKS
(Identified Cost $43,011,833)				55,917,305
SHORT-TERM INVESTMENT - 3.4%
Dreyfus Government Cash Management, Institutional Shares, 0.17%1
(Identified Cost $1,989,175)		1,989,175		1,989,175
TOTAL INVESTMENTS - 100.1%
(Identified Cost $45,001,008)				57,906,480
LIABILITIES, LESS OTHER ASSETS - (0.1%)				(52,668	)
NET ASSETS - 100%			$	57,853,812

^*Non-income producing security.

¹Rate shown is the current yield as of April 30, 2020.

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 S&P Global 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.

6 

Equity Series 

Statement of Assets and Liabilities

April 30, 2020 (unaudited)

ASSETS:
Investments, at value (identified cost $45,001,008) (Note 2)	$	57,906,480
Dividends receivable		9,288
Receivable for fund shares sold		107
Prepaid expenses		22,394
TOTAL ASSETS		57,938,269
LIABILITIES:
Accrued management fees (Note 3)		20,275
Accrued fund accounting and administration fees (Note 3)		11,238
Accrued shareholder services fees (Class S) (Note 3)		11,120
Accrued Chief Compliance Officer service fees (Note 3)		956
Accrued sub-transfer agent fees (Note 3)		66
Audit fees payable		20,464
Printing fees payable		9,289
Accrued transfer agent fees		5,851
Other payables and accrued expenses		5,198
TOTAL LIABILITIES		84,457
TOTAL NET ASSETS	$	57,853,812
NET ASSETS CONSIST OF:
Capital stock	$	45,407
Additional paid-in-capital		44,503,846
Total distributable earnings (loss)		13,304,559
TOTAL NET ASSETS	$	57,853,812
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S ($57,536,577/4,515,853 shares)	$	12.74
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class W ($317,235/24,847 shares)	$	12.77

The accompanying notes are an integral part of the financial statements.

7 

Equity Series 

Statement of Operations

For the Six Months Ended April 30, 2020 (unaudited)

INVESTMENT INCOME:
Dividends	$	349,090
EXPENSES:
Management fees (Note 3)		228,691
Shareholder services fees (Class S) (Note 3)		75,835
Fund accounting and administration fees (Note 3)		21,305
Directors’ fees (Note 3)		3,120
Chief Compliance Officer service fees (Note 3)		1,438
Sub-transfer agent fees (Note 3)		24
Custodian fees		1,638
Miscellaneous		61,635
Total Expenses		393,686
Less reduction of expenses (Note 3)		(75,101	)
Net Expenses		318,585
NET INVESTMENT INCOME		30,505
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on investments		488,763
Litigation proceeds (Note 4)		115,984
Net change in unrealized appreciation (depreciation) on investments		335,055
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS		939,802
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	970,307

The accompanying notes are an integral part of the financial statements.

8 

Equity Series

Statements of Changes in Net Assets

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$	30,505		$	81,196
Net realized gain (loss) on investments		604,747			6,764,451
Net change in unrealized appreciation (depreciation) on investments		335,055			3,236,054
Net increase from operations		970,307			10,081,701
DISTRIBUTIONS TO SHAREHOLDERS (Note 9):
Class S		(6,221,729	)		(10,873,259	)
Class W		(33,999	)		—
Total distributions to shareholders		(6,255,728	)		(10,873,259	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase (decrease) from capital share transactions (Note 5)		(930,433	)		(4,700,431	)
Net increase (decrease) in net assets		(6,215,854	)		(5,491,989	)
NET ASSETS:
Beginning of period		64,069,666			69,561,655
End of period	$	57,853,812		$	64,069,666

The accompanying notes are an integral part of the financial statements.

9 

Equity Series 

Financial Highlights - Class S*

	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$13.89			$14.28			$14.27			$12.20			$16.62			$21.15
Income (loss) from investment operations:
Net investment income (loss)1		0.01			0.02			(0.02	)		0.01			(0.07	)		0.01
Net realized and unrealized gain (loss) on investments		0.23			1.86			1.07			2.63			0.64			(0.42	)
Total from investment operations		0.24			1.88			1.05			2.64			0.57			(0.41	)
Less distributions to shareholders:
From net investment income		(0.03	)		(0.01	)		—			—			(0.00	)2		(0.00	)2
From net realized gain on investments		(1.36	)		(2.26	)		(1.04	)		(0.57	)		(4.99	)		(4.12	)
Total distributions to shareholders		(1.39	)		(2.27	)		(1.04	)		(0.57	)		(4.99	)		(4.12	)
Net asset value - End of period		$12.74			$13.89			$14.28			$14.27			$12.20			$16.62
Net assets - End of period(000’s omitted)		$57,537			$63,701			$69,562			$83,355			$98,470			$500,946
Total return3		1.42%4			16.88%			7.67%			22.68%5			6.16%			(1.46%	)
Ratios (to average net assets)/Supplemental Data:
Expenses**		1.05%6			1.05%			1.05%			1.05%			1.05%			1.05%
Net investment income (loss)		0.09%6			0.12%			(0.17%	)		0.10%			(0.55%	)		0.04%
Series portfolio turnover		33%			48%			45%			71%			40%			62%

*Effective March 1, 2017, Class A shares of the Series have been designated as Class S shares.

**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 Class, the expense ratio (to average net assets) would have increased by the following amounts:

0.24%⁶ 0.24% 0.17% 0.15% 0.09% 0.03%

¹Calculated based on average shares outstanding during the periods.

²Less than $(0.01).

³Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Includes litigation proceeds. Excluding this amount, the Class’ total return is 1.26%.

⁵Includes litigation proceeds. Excluding this amount, the Class’ total return is 21.48%.

⁶Annualized.

The accompanying notes are an integral part of the financial statements.

10 

Equity Series

Financial Highlights - Class W

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE PERIOD 3/1/191TO 10/31/19
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$13.98			$12.53
Income from investment operations:
Net investment income2		0.07			0.09
Net realized and unrealized gain (loss) on investments		0.24			1.36
Total from investment operations		0.31			1.45
Less distributions to shareholders:
From net investment income		(0.16	)		—
From net realized gain on investments		(1.36	)		—
Total distributions to shareholders		(1.52	)		—
Net asset value - End of period		$12.77			$13.98
Net assets - End of period(000’s omitted)		$317			$369
Total return3		1.97%4			11.57%
Ratios (to average net assets)/Supplemental Data:
Expenses*5		0.05%			0.05%
Net investment income5		1.09%			1.04%
Series portfolio turnover		33%			48%

*The investment advisor did not impose all or a portion of its management and/or other fees during the period, and 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 amount⁵:

0.99% 1.00%

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. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Includes litigation proceeds. Excluding this amount, the Class’ total return is 1.73%.

⁵Annualized.

The accompanying notes are an integral part of the financial statements.

11 

Equity Series

Notes to Financial Statements

(unaudited)

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 Series is authorized to issue two classes of shares (Class S and Class W). Each class of shares is substantially the same, except that Class S shares bear shareholder servicing fees.

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 April 30, 2020, 8.9 billion shares have been designated in total among 31 series, of which 200 million have been designated as Equity Series Class S common stock and 100 million have been designated as Equity Series Class W 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 may be 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

12 

Equity Series

Notes to Financial Statements (continued)

(unaudited)

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 April 30, 2020 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Equity Securities:
Communication Services	$	6,278,688	$	6,278,688	$	—	$	—
Consumer Discretionary		8,346,497		8,346,497		—		—
Consumer Staples		4,662,036		4,662,036		—		—
Energy		4,845,534		4,845,534		—		—
Financials		7,317,303		7,317,303		—		—
Health Care		7,408,493		7,408,493		—		—
Industrials		1,060,096		1,060,096		—		—
Information Technology		11,478,517		11,478,517		—		—
Materials		1,933,275		1,933,275		—		—
Real Estate		2,586,866		2,586,866		—		—
Short-Term Investment		1,989,175		1,989,175		—		—
Total assets	$	57,906,480	$	57,906,480	$	—	$	—

There were no Level 2 or Level 3 securities held by the Series as of October 31, 2019 or April 30, 2020. 

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 April 30, 2020, 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.

13 

Equity Series

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Federal Taxes (continued)

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, 2016 through October 31, 2019. 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 0.75% 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, Governance & Nominating Committee Chair and Lead Independent Director who each receive an additional annual stipend for these roles.

The Class S shares of the Series are subject to a shareholder services fee in accordance with a shareholder services plan adopted by the 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 pay a fee, computed daily and payable monthly, at an annual rate of 0.25% of the average daily net assets of Class S shares. The Fund has a Shareholder Services Agreement with the Advisor, for which the Advisor receives the shareholder services fee as stated above.

14 

Equity Series

Notes to Financial Statements (continued)

(unaudited)

3. Transactions with Affiliates (continued)

The Advisor has contractually agreed to waive the management fee for the Class W shares. In addition, pursuant to a separate expense limitation agreement, the Advisor has contractually agreed to limit its fees and reimburse expenses to the extent necessary so that the total direct annual fund operating expenses, exclusive of the shareholder services fee and waived Class W management fees (collectively, “excluded expenses”), to 0.80% of the average daily net assets of the Class S shares and 0.05% of the average daily net assets of the Class W shares. These contractual waivers are expected to continue indefinitely, and may not be amended or terminated by the Advisor without the approval of the Series’ Board of Directors. The Advisor may receive from a Class the difference between the Class’s total direct annual fund operating expenses, not including excluded expenses, and the Class’s contractual expense limit to recoup all or a portion of its prior fee waivers (other than Class W management fee waivers) or expense reimbursements made during the rolling three-year period preceding the recoupment if at any point the total direct annual fund operating expenses, not including excluded expenses, are below the contractual expense limit (a) at the time of the fee waiver and/or expense reimbursement and (b) at the time of the recoupment.

Pursuant to the advisory fee waiver, the Advisor waived $1,187 in management fees for Class W shares for the six months ended April 30, 2020. In addition, pursuant to the separate expense limitation agreement, the Advisor waived or reimbursed expenses of $73,531 and $383 for Class S and Class W shares, respectively, for the six months ended April 30, 2020. These amounts are included as a reduction of expenses on the Statement of Operations. For the six months ended April 30, 2020, the Advisor did not recoup any expenses that have been previously waived or reimbursed.

As of April 30, 2020, the class specific waivers or reimbursements subject to possible future recoupment under the expense limitation agreement are as follows:

CLASS	EXPIRING OCTOBER 31,
	2022		2023
Class S		$108,913		$73,531
Class W		612		383

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 February 13, 2020, 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 Income Series); 0.0075% on the next $15 billion of average daily net assets (excluding Target Series and Income Series); and 0.0065% of average daily net assets in excess of $40 billion (excluding Target Series and Income Series); plus a base fee of $30,400 per series. 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.

Other Transactions

The Series received proceeds from settlement of litigation where they were able to recover a portion of investment losses previously realized by the Series. This amount is shown as litigation proceeds in the Statement of Operations.

4. Purchases and Sales of Securities

For the six months ended April 30, 2020, purchases and sales of securities, other than U.S. Government securities and short-term securities, were $19,671,569 and $25,981,446, respectively. There were no purchases or sales of U.S. Government securities.

15 

Equity Series

Notes to Financial Statements (continued)

(unaudited)

5. Capital Stock Transactions

Transactions in Class S and Class W shares of Equity Series were:

CLASS S	FOR THE SIX MONTHS ENDED 4/30/20					FOR THE YEAR ENDED 10/31/19
	SHARES		AMOUNT			SHARES		AMOUNT
Sold	308,282		$	3,642,509		269,984		$	3,457,862
Reinvested	461,351			6,066,768		943,883			10,628,123
Repurchased	(839,048	)		(10,615,614	)	(1,499,648	)		(19,117,104	)
Total	(69,415	)	$	(906,337	)	(285,781	)	$	(5,031,119	)

CLASS W	FOR THE SIX MONTHS ENDED 4/30/20					FOR THE PERIOD 3/1/19 (COMMENCEMENT OF OPERATIONS) TO 10/31/19
	SHARES		AMOUNT			SHARES		AMOUNT
Sold	—		$	—		28,317		$	356,802
Reinvested	2,589			33,999		—			—
Repurchased	(4,135	)		(58,095	)	(1,924	)		(26,114	)
Total	(1,546	)	$	(24,096	)	26,393		$	330,688

At April 30, 2020, the Advisor and its affiliates owned 11.2% of the Series.

6. Line of Credit

The Fund has entered into a 364-day, $25 million credit agreement (the “line of credit”) with Bank of New York Mellon. Each series of the Fund may borrow under the line of credit for temporary or emergency purposes, including funding shareholder redemptions and other short-term liquidity purposes. The Fund pays an annual fee on the unused commitment amount, payable quarterly, and is allocated among all the series of the Fund and included in miscellaneous expenses in the Statement of Operations for each series. The line of credit expires in August 2020 unless extended or renewed. During the six months ended April 30, 2020, the Series did not borrow under the line of credit.

7. 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 April 30, 2020.

8. 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.

16 

Equity Series

Notes to Financial Statements (continued)

(unaudited)

9. 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. 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.

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, 2019, were as follows:

Ordinary income	$3,116,908
Long-term capital gains		7,756,351

At April 30, 2020, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized appreciation were as follows:

Cost for federal income tax purposes	$45,864,901
Unrealized appreciation	12,989,154
Unrealized depreciation	(947,575	)
Net unrealized appreciation	$12,041,579

10. Market Event

In March 2020, the World Health Organization declared COVID-19 (a novel coronavirus) to be a pandemic. The situation is dynamic. Global financial markets have experienced and may continue to experience significant volatility resulting from the spread of COVID-19. The outbreak of COVID-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty. The global economy, the economies of certain nations and individual issuers have been and may continue to be adversely affected by COVID-19, particularly in light of the interconnectivity between economies and financial markets, all of which may negatively impact the Funds performance. In addition, COVID-19 and governmental responses to COVID-19 may negatively impact the capabilities of the Funds service providers and disrupt the Funds operations. Management of the Fund will continue to monitor the impact of COVID-19.

11. Subsequent Events

In preparing these financial statements, management of the Fund has evaluated events and transactions for potential recognition or disclosure through June 17, 2020, the date the financial statements were issued, and the following item was noted:

In March of this year, William Manning, who is the co-founder of Manning & Napier, Inc. (“MN Inc.”), which is the ultimate parent company of the Advisor, delivered to the company an exchange notice under the terms of the exchange agreement (the “Exchange Agreement”) that was entered into at the time that MN Inc. became a public company in 2011. Pursuant to the Exchange Agreement, Mr. Manning was able to tender the entirety of his private interests in Manning & Napier Group, LLC (“MN Group”), the managing member of the Advisor, exchangeable for cash or shares of MN Inc. Class A common stock. On April 9, 2020, MN Inc. delivered to Mr. Manning a letter indicating that, as permitted under the Exchange Agreement, it would satisfy Mr. Manning’s exchange request by purchasing all of Mr. Manning’s private interests in MN Group (the “Transaction”). The Transaction, which settled on May 11, 2020, divested Mr. Manning’s entirely of his ownership interest in MN Group. Mr. Manning also served as the Chairman of the Board of Directors of MN Inc. through June 10, 2020 and did not stand for reelection.

The Transaction may be deemed to result in a change of control of the Advisor, under the 1940 Act, which results in the assignment and automatic termination of the investment advisory agreements pursuant to which the Advisor provides investment advisory services to the Series (the “Current Agreement”). At a meeting of the Board of Directors of the Advisor on April 22, 2020, the Board approved new investment advisory agreements for the Series (“New Agreement”), that require shareholder approval to take effect. Shareholders are being asked to approve the New Agreement through a proxy statement that was filed

17 

Equity Series

Notes to Financial Statements (continued)

(unaudited)

11. Subsequent Events (continued)

on May 15, 2020, which will enable the Advisor to continue to serve the Series. Terms of the New Agreement are the same as the Current Agreement, therefore there are no changes in fees paid to the Advisor.

In relation to the termination of the Current Agreement, at a meeting of the Board of Directors of the Advisor on April 17, 2020, the Board approved an interim advisory agreement which became effective on May 11, 2020 with the closing of the Transaction, allowing the Advisor to continue to provide investment advisory services for each Series for up to 150 days between termination of the Current Agreement and shareholder approval of the New Agreement. Terms of the interim advisory agreement is the same as the Current Agreement, therefore there are no changes in fees paid to the Advisor.

18 

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 21, 2019, the Investment Advisory Agreement (the “Agreement”) between the Fund and Manning & Napier Advisors, LLC (the “Advisor”) was considered for renewal by the Board, including all of the Directors who are not “interested persons” (“Independent Directors”), within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”). In connection with the decision whether to renew the Agreement, a variety of material was provided to the Board in advance of the meeting for their review and consideration. The Board also held a working session on October 25, 2019 to review and discuss information provided to the Board, and for the Board to request additional information.

Representatives of the Advisor attended a portion of the working session and attended the Board meeting. The Advisor provided supplemental information requested by the Board and presented additional oral information to the Board to assist the Board in its considerations. In addition to the information furnished by the Advisor, the Board was provided with a legal memorandum discussing its fiduciary duties related to its approval of the continuation of the Agreement. Legal counsel for the Fund discussed with the Board the applicable legal considerations. In addition, the Board received in-person presentations about the Fund throughout the year.

The Independent Directors were advised by independent legal counsel with respect to these matters. The Independent Directors also met separately in an executive session with their legal counsel without any representatives of the Advisor present.

The Directors’ determinations at the meeting were made on the basis of each Director’s business judgment after consideration of all the information presented. In deciding to recommend the renewal of the Agreement with respect to each Series of the Fund, the Independent Directors did not identify any single or particular piece of information that, in isolation, was the controlling factor. Each Independent Director may also have weighed factors differently. This summary describes the most important, but not all, of the factors considered by the Board and the Independent Directors.

● The Board considered the nature and quality of services provided by the Advisor under the Agreement for over 30 years 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 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 considered the numerous services performed by the Advisor and its affiliates beyond those stated in the Agreements. The Board also considered the Advisor’s personnel who perform services to the Fund, changes in senior or key personnel, industry trends impacting the mutual fund industry, the strength of the Advisor’s compliance infrastructure, policies and procedures relating to compliance with securities regulations, reputation, expertise and resources. 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 Advisor’s investments teams, including changes to the investment teams and investment team’s compensation during the past year, and the investment process. The Board considered the performance of each Series since its inception, as well as over multiple time periods including: one year, 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 (and considers on a quarterly basis) a number of other factors relevant to performance at the meeting including: a peer group performance analysis consisting of Morningstar universes of mutual funds with similar investment objectives; the breadth of the Fund’s product offerings; and performance over reasonable time periods. Representatives of the Advisor discussed improved performance for many of the Series over the one- and three-year time periods ending September 30, 2019. The Board discussed with Representatives of the Advisor, performance challenges that continue to impact the three- and five-year performance of certain Fund’s strategies resulting from periods of underperformance in 2014 and 2016. After discussion, the Board acknowledged the improved short term performance of many of the Series and concluded that notwithstanding the performance challenges that continue to impact certain Series, the nature and quality of the investment management services provided by the Advisor to the Fund supported the renewal of the agreement.

● 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 contractual expense waivers or reimbursements paid by the Advisor. Representatives of the Advisor discussed the multi-year fee restructuring initiative which was completed by the Advisor on March 1, 2019 to increase the competitiveness of the Fund’s fees. The fee

19 

Equity Series

Renewal of Investment Advisory Agreement

(unaudited)

restructuring project also resulted in a set of standardized share classes to help support the Fund’s distribution efforts across client types and varying intermediary distribution models.

● The Board considered whether the Advisor had achieved economies of scale with respect to its services to the Fund. The Board acknowledged the expense caps incorporated in the Fund’s current fee structure, which requires the Advisor to subsidize the expenses of the Series operating above their expense cap, noting that 26 Series of the Fund are currently receiving expense reimbursements from the Advisor. The Board concluded that the Fund would need to grow in assets before the Advisor would be able to achieve meaningful economies of scale.

● The Advisor provided the Board with information comparing each Series’ contractual management fees with the Advisor’s standard advisory fees for separate accounts and collective investment trusts. The Board considered that the range of services provided to the Series is more extensive than for the Advisor’s other clients due to additional infrastructure, administrative and regulatory requirements related to operating a mutual fund.

● The current advisory fees, 12b-1 Distribution and Service Fees, other expenses (e.g. a combination of Shareholder Services Fees, intermediary sub-TA fees, routine operating expenses and Acquired Fund Fees and Expenses for fund-of-fund Series) and total expense ratios of each Series and share class were compared and ranked (on both a mean and median basis) against respective peer universes. Respective peer universes included funds of a similar size and with similar investment objectives and expense characteristics as disclosed on the Morningstar database. Representatives of the Advisor discussed with the Board the comparisons and rankings of fees and net expense ratios for each Series of the Fund and the methodology behind the comparison. The Board considered the Advisor’s active portfolio management that results in portfolios that are more differentiated than the construction of their benchmarks. The Board acknowledged that the fee restructuring project completed on March 1, 2019 reduced the expense ratios for shareholders in many Series. Based on their review of the information provided, the Board concluded that the current fees and expenses of each Series of the Fund were reasonable on a comparative basis.

● The Board also considered the other benefits the Advisor derives from its relationship with the Fund. Such other benefits include participation in a joint insurance program, sharing of compensation expenses for certain shared personnel, relationships with large service providers, the utilization of Series within the Advisor’s separately managed accounts and 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. The Board concluded that these additional benefits to the Advisor were reasonable.

Based on the Board’s deliberations and their evaluation of the information described above, the Board, including a majority of the Independent Directors, concluded that the compensation under the Agreement was fair and reasonable with respect to each Series 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, and that the renewal of the Agreement would be in the best interests of each Series and its shareholders. The Board did not indicate that any single factor was determinative of its decision to approve the Agreement, but indicated that the Board based its determination on the total mix of information available to it.

20 

Equity Series

Liquidity Risk Management Program Disclosure

(unaudited)

The Securities and Exchange commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”) to promote effective liquidity risk management across open-end investment companies and reduce the risk that open-end investment companies are unable to meet redemption obligations without a significant dilution of remaining shareholder interests.

The Board of Directors (the “Board”), including a majority of Directors who are not interested persons, of Manning & Napier Fund, Inc. and each of its series (each “a Fund” or collectively, the “Funds”) met on February 13, 2020 (the “Meeting”) to review the Liquidity Risk Management Program (the “Program”) of the Funds, in accordance with the requirements of the Liquidity Rule. The Board appointed the Liquidity Risk Management Committee (the “Committee”), in conjunction with the Fund’s investment advisor, Manning & Napier Advisors, LLC (“MNA”), to administer the Program and review it no less than annually.

At the Meeting, the Committee provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including an evaluation of any material changes to the Program (the “Report”). The Report covered the period from December 1, 2018 through December 31, 2019 (the “Review Period”).

The Report described the Committee’s review of and conclusions around each factor that the Fund must consider to assess, manage and review its Liquidity Risk. Additionally, the Report discussed the Committee’s management of the Program, including an evaluation of the Program’s methodology for classifying each portfolio investment into one of four liquidity buckets. As part of this evaluation the Committee re-affirmed that each Fund operated as a Primarily Highly Liquid Fund, with greater than 50% of net assets consistently invested in Highly Liquid Investments, thereby negating a need to establish a Highly Liquid Investment Minimum for any Fund. Lastly, the Report highlighted the effectiveness of the safeguards that the Committee adopted to prevent a violation of the Liquidity Rule’s 15% limit on a Fund’s acquisition of Illiquid Investments.

There were no material changes to the Program during the Review Period. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.

21 

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 30^th 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 1^st and 3^rd quarters of each fiscal year are provided on Form N-PORT, and are available, without charge, upon request:

By phone	1-800-466-3863
On the SEC’s web site	http://www.sec.gov

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-04/20-SAR

 

Manning & Napier Fund, Inc.

Blended Asset Conservative Series

Blended Asset Moderate Series

Blended Asset Extended Series

Blended Asset Maximum Series

Beginning on June 25, 2021, as permitted by Securities and Exchange Commission regulations, paper copies of the Series’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically by contacting your financial intermediary or, if you are a direct investor, by visiting www.manning-napier.com or calling 1-800-466-3863.

You may elect to receive all future annual and semi-annual reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by visiting www.manning-napier.com or calling 1-800-466-3863. Your election to receive reports in paper will apply to all funds held with your financial intermediary if you invest through a financial intermediary or all series of the Fund if you invest directly with the Fund.

Shareholder Expense Example - Blended Asset Conservative Series
(unaudited)

As a shareholder of the Series, you incur ongoing costs, including management fees, shareholder service 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 (November 1, 2019 to April 30, 2020).

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 such as sales charges (loads), redemption fees, or exchange fees that you may incur in other mutual funds. 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.

	BEGINNING	ENDING	EXPENSES PAID
	ACCOUNT VALUE	ACCOUNT VALUE	DURING PERIOD
	11/1/19	4/30/20	11/1/19-4/30/20*
Actual	$1,000.00	$1,009.90	$2.25
Hypothetical
(5% return before expenses)	$1,000.00	$1,022.63	$2.26

*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 0.45%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). The Series’ total return would have been lower had certain expenses not been waived or reimbursed during the period.

1 

Portfolio Composition - Blended Asset Conservative Series
As of April 30, 2020 (unaudited)

Asset Allocation¹

 

¹As a percentage of net assets.

²A U.S. Treasury Bond is a long-term obligation of the U.S. Treasury issued with a maturity period of more than ten years.

³A U.S. Treasury Note is an intermediate long-term obligation of the U.S. Treasury issued with a maturity period between one and ten years.

Sector Allocation5
Communication Services	7.7%
Financials	6.9%
Consumer Discretionary	5.9%
Real Estate	5.8%
Industrials	5.4%
Health Care	5.1%
Information Technology	5.0%
Energy	4.8%
Consumer Staples	4.5%
Materials	0.9%
Utilities	0.5%
5Including common stocks and corporate bonds, as a percentage of total investments.

Top Five Stock Holdings6
Johnson & Johnson	0.9%
Booking Holdings, Inc.	0.9%
Mastercard, Inc. - Class A	0.8%
Unilever plc - ADR (United Kingdom)	0.8%
Visa, Inc. - Class A	0.7%
6As a percentage of total investments.
Top Five Bond Holdings7
U.S. Treasury Note, 2.50%, 8/15/2023	5.1%
U.S. Treasury Floating Rate Note, (3 mo. US Treasury Bill Yield + 0.300%), 0.41%, 10/31/2021	4.0%
U.S. Treasury Inflation Indexed Bond, 2.00%, 1/15/2026	3.1%
U.S. Treasury Inflation Indexed Note, 0.50%, 4/15/2024	2.2%
U.S. Treasury Note, 1.625%, 5/15/2026	2.0%
7As a percentage of total investments.

2 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET CONSERVATIVE SERIES
			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS - 29.9%
Communication Services - 3.2%
Entertainment - 1.4%
Activision Blizzard, Inc.1		4,490	$	286,148
Electronic Arts, Inc.*1		1,965		224,521
Nexon Co. Ltd. (Japan)		26,500		427,869
The Walt Disney Co.		1,520		164,388
				1,102,926
Interactive Media & Services - 1.5%
Alphabet, Inc. - Class A*1		320		430,944
Alphabet, Inc. - Class C*		65		87,663
Facebook, Inc. - Class A*		1,680		343,913
Tencent Holdings Ltd. - Class H (China)		5,440		285,978
				1,148,498
Media - 0.3%
Charter Communications, Inc. - Class A*		190		94,094
Comcast Corp. - Class A		4,256		160,153
				254,247
Total Communication Services				2,505,671
Consumer Discretionary - 3.1%
Automobiles - 0.1%
Honda Motor Co. Ltd. - ADR (Japan)		3,735		89,827
Hotels, Restaurants & Leisure - 0.1%
Hilton Worldwide Holdings, Inc.		250		18,927
Wyndham Hotels & Resorts, Inc		684		25,794
				44,721
Household Durables - 0.4%
Nikon Corp. (Japan)		17,400		161,852
Sony Corp. - ADR (Japan)		2,325		149,381
				311,233
Internet & Direct Marketing Retail - 1.6%
Alibaba Group Holding Ltd. - ADR (China)*		710		143,896
Amazon.com, Inc.*1		185		457,690
Booking Holdings, Inc.*1		465		688,465
				1,290,051
Multiline Retail - 0.2%
Dollar Tree, Inc.*		1,650		131,455
Specialty Retail - 0.3%
The Home Depot, Inc.		1,228		269,951
Textiles, Apparel & Luxury Goods - 0.4%
adidas AG (Germany)		615		140,794

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Consumer Discretionary (continued)
Textiles, Apparel & Luxury Goods (continued)
lululemon athletica, Inc.*		680	$	151,966
				292,760
Total Consumer Discretionary				2,429,998
Consumer Staples - 3.7%
Beverages - 1.1%
Anheuser-Busch InBev S.A./N.V. (Belgium)		3,510		163,462
The Coca-Cola Co.		7,640		350,600
Diageo plc - ADR (United Kingdom)		713		98,857
Diageo plc (United Kingdom)		3,395		116,889
PepsiCo, Inc.		1,110		146,842
				876,650
Food & Staples Retailing - 0.3%
Walmart, Inc		2,136		259,631
Food Products - 1.1%
General Mills, Inc.		1,659		99,358
The Hershey Co.		486		64,361
Mondelez International, Inc. - Class A		8,007		411,880
Nestle S.A. (Switzerland)		2,770		293,371
				868,970
Household Products - 0.3%
Colgate-Palmolive Co.		1,854		130,281
Kimberly-Clark Corp.		664		91,951
				222,232
Personal Products - 0.9%
Unilever plc - ADR (United Kingdom)		12,521		649,464
Total Consumer Staples				2,876,947
Energy - 1.8%
Energy Equipment & Services - 0.1%
Schlumberger Ltd.1		4,445		74,765
Oil, Gas & Consumable Fuels - 1.7%
Cabot Oil & Gas Corp.		17,180		371,432
Chevron Corp.1		655		60,260
Concho Resources, Inc.		1,310		74,303
ConocoPhillips		3,170		133,457
EOG Resources, Inc.		3,425		162,722
Exxon Mobil Corp.		3,050		141,733
Pioneer Natural Resources Co.		890		79,486
Royal Dutch Shell plc - Class B - ADR (Netherlands)		1,100		35,167

The accompanying notes are an integral part of the financial statements.

3 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET CONSERVATIVE SERIES
			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Energy (continued)
Oil, Gas & Consumable Fuels (continued)
TOTAL S.A. - ADR (France)		7,067	$	248,405
				1,306,965
Total Energy				1,381,730
Financials - 2.7%
Banks - 1.3%
Bank of America Corp.1		9,410		226,310
Citigroup, Inc.1		2,824		137,133
JPMorgan Chase & Co.		2,568		245,912
The PNC Financial Services Group, Inc.		601		64,109
Truist Financial Corp.		2,632		98,226
U.S. Bancorp		2,747		100,266
Wells Fargo & Co		5,829		169,332
				1,041,288
Capital Markets - 0.9%
Cboe Global Markets, Inc.1		2,310		229,568
CME Group, Inc.1		720		128,311
Intercontinental Exchange, Inc.		1,560		139,542
Moody’s Corp.		465		113,414
S&P Global, Inc.		380		111,294
				722,129
Diversified Financial Services - 0.4%
Berkshire Hathaway, Inc. - Class B*1		1,495		280,103
Insurance - 0.1%
Chubb Ltd.1		746		80,575
Total Financials				2,124,095
Health Care - 4.3%
Biotechnology - 0.9%
AbbVie, Inc.1		2,190		180,018
BioMarin Pharmaceutical, Inc.*1		2,220		204,284
Gilead Sciences, Inc.		2,420		203,280
Incyte Corp.*		910		88,871
				676,453
Health Care Equipment & Supplies - 0.6%
Alcon, Inc. (Switzerland)*		2,400		126,744
Medtronic plc1		3,427		334,578
				461,322
Life Sciences Tools & Services - 0.2%
Thermo Fisher Scientific, Inc.		470		157,300
Pharmaceuticals - 2.6%
Bristol-Myers Squibb Co.1		3,406		207,119
Eli Lilly & Co.		942		145,671

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Pharmaceuticals (continued)
Johnson & Johnson		4,960	$	744,198
Merck & Co., Inc.		3,170		251,508
Novartis AG - ADR (Switzerland)		5,230		443,138
Pfizer, Inc.		7,118		273,046
				2,064,680
Total Health Care				3,359,755
Industrials - 2.6%
Aerospace & Defense - 0.6%
General Dynamics Corp.		524		68,445
Lockheed Martin Corp.		488		189,861
Raytheon Technologies Corp.		2,327		150,813
				409,119
Airlines - 0.5%
easyJet plc (United Kingdom)		19,400		146,949
Ryanair Holdings plc - ADR (Ireland)*		3,905		247,850
				394,799
Commercial Services & Supplies - 0.3%
Copart, Inc.*		2,015		161,422
Waste Management, Inc.		877		87,718
				249,140
Electrical Equipment - 0.2%
Eaton Corp. plc		933		77,906
Emerson Electric Co.		1,452		82,808
				160,714
Industrial Conglomerates - 0.4%
3M Co.		959		145,691
Honeywell International, Inc.		1,115		158,218
		��		303,909
Machinery - 0.3%
Caterpillar, Inc.1		983		114,402
Illinois Tool Works, Inc.		635		103,188
				217,590
Road & Rail - 0.3%
Canadian National Railway Co. (Canada)		977		80,964
Union Pacific Corp.		1,063		169,857
				250,821
Total Industrials				1,986,092
Information Technology - 5.0%
Communications Equipment - 0.3%
Cisco Systems, Inc.1		5,477		232,115

The accompanying notes are an integral part of the financial statements.

4 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET CONSERVATIVE SERIES
			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
IT Services - 2.4%
Accenture plc - Class A		682	$	126,300
Automatic Data Processing, Inc.		560		82,146
International Business Machines Corp.		1,386		174,026
Mastercard, Inc. - Class A		2,415		664,053
PayPal Holdings, Inc.*		2,015		247,845
Switch, Inc. - Class A		1,388		23,832
Visa, Inc. - Class A		3,180		568,330
				1,886,532
Semiconductors & Semiconductor Equipment - 1.2%
Intel Corp.		4,469		268,051
Micron Technology, Inc.*		7,790		373,063
QUALCOMM, Inc.		1,366		107,463
Texas Instruments, Inc.		1,477		171,435
				920,012
Software - 1.1%
Microsoft Corp.		1,675		300,177
Oracle Corp.		2,898		153,507
salesforce.com, Inc.*		1,515		245,354
ServiceNow, Inc.*		480		168,739
				867,777
Total Information Technology				3,906,436
Materials - 0.7%
Chemicals - 0.3%
FMC Corp.		1,690		155,311
Linde plc (United Kingdom)		607		111,682
				266,993
Containers & Packaging - 0.4%
Graphic Packaging Holding Co.		21,540		287,559
Total Materials				554,552
Real Estate - 2.8%
Equity Real Estate Investment Trusts (REITS) - 2.8%
Acadia Realty Trust1		1,055		13,071
Agree Realty Corp.1		240		15,626
Alexandria Real Estate Equities, Inc.1		170		26,705
American Campus Communities, Inc.1		1,056		37,266
American Homes 4 Rent - Class A1		1,535		37,055
American Tower Corp.1		650		154,700
Americold Realty Trust1		1,275		39,002
Apartment Investment & Management Co. - Class A1		734		27,650
AvalonBay Communities, Inc.1		310		50,514

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
Boston Properties, Inc.1		171	$	16,618
Brandywine Realty Trust1		1,550		17,298
Camden Property Trust1		565		49,760
Community Healthcare Trust, Inc.		560		20,832
CoreSite Realty Corp.		110		13,331
Cousins Properties, Inc.		1,521		45,889
Crown Castle International Corp.		250		39,857
Digital Realty Trust, Inc.1		480		71,755
Douglas Emmett, Inc.		970		29,575
Duke Realty Corp.		1,024		35,533
Equinix, Inc.		562		379,462
Equity LifeStyle Properties, Inc.		745		44,931
Equity Residential		600		39,036
Essex Property Trust, Inc.		99		24,166
Extra Space Storage, Inc.		130		11,471
First Industrial Realty Trust, Inc.		440		16,619
Getty Realty Corp.		505		13,716
Healthcare Realty Trust, Inc.		570		16,752
Healthcare Trust of America, Inc. - Class A		450		11,083
Healthpeak Properties, Inc.		1,310		34,243
Hibernia REIT plc (Ireland)		11,615		15,109
Host Hotels & Resorts, Inc.		885		10,894
Invitation Homes, Inc.		2,177		51,486
Jernigan Capital, Inc.		1,335		17,622
Kilroy Realty Corp.		825		51,364
Life Storage, Inc.		115		10,073
Mid-America Apartment Communities, Inc.		250		27,980
National Retail Properties, Inc.		430		14,035
Physicians Realty Trust		1,065		16,422
Prologis, Inc.		1,829		163,202
Public Storage		290		53,780
Realty Income Corp.		275		15,103
Rexford Industrial Realty, Inc.		630		25,654
SBA Communications Corp.		590		171,053
STAG Industrial, Inc.		630		16,538
STORE Capital Corp.		700		14,049
Sun Communities, Inc.		555		74,592
Sunstone Hotel Investors, Inc.		985		9,052
Terreno Realty Corp.		175		9,594
UDR, Inc.		506		18,960
Urban Edge Properties		1,230		14,145

The accompanying notes are an integral part of the financial statements.

5 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET CONSERVATIVE SERIES	SHARES/ PRINCIPAL AMOUNT2		VALUE (NOTE 2)
COMMON STOCKS (continued)
Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
Welltower, Inc.		690	$	35,349
Total Real Estate				2,169,572
TOTAL COMMON STOCKS
(Identified Cost $21,746,786)				23,294,848
CORPORATE BONDS - 22.9%
Non-Convertible Corporate Bonds - 22.9%
Communication Services - 4.5%
Diversified Telecommunication Services - 2.0%
AT&T, Inc.1, 4.25%, 3/1/2027		520,000		573,059
Verizon Communications, Inc., 5.25%, 3/16/2037		720,000		959,039
				1,532,098
Interactive Media & Services - 0.8%
Tencent Holdings Ltd. (China)3, 3.975%, 4/11/2029		580,000		652,532
Media - 1.7%
Altice Financing S.A. (Luxembourg)3, 7.50%, 5/15/2026		15,000		15,637
CCO Holdings LLC - CCO Holdings Capital Corp.3, 4.50%, 8/15/2030		15,000		15,192
Comcast Corp., 3.25%, 11/1/2039		590,000		642,805
Discovery Communications LLC, 5.20%, 9/20/2047		550,000		626,426
Townsquare Media, Inc.3, 6.50%, 4/1/2023		15,000		13,262
				1,313,322
Wireless Telecommunication Services - 0.0%##
Sprint Communications, Inc., 7.00%, 8/15/2020		15,000		15,131
Sprint Corp., 7.25%, 9/15/2021		5,000		5,244
Sprint Corp., 7.125%, 6/15/2024		20,000		22,450
				42,825
Total Communication Services				3,540,777
Consumer Discretionary - 2.9%
Auto Components - 0.0%##
Techniplas LLC3, 10.00%, 5/1/2020		10,000		1,775
Automobiles - 0.0%##
Ford Motor Co., 9.625%, 4/22/2030		10,000		9,963
Diversified Consumer Services - 0.0%##
Carriage Services, Inc.3, 6.625%, 6/1/2026		15,000		14,791

	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Consumer Discretionary (continued)
Household Durables - 0.1%
Foxtrot Escrow Issuer LLC - Foxtrot Escrow Corp.3, 12.25%, 11/15/2026		20,000	$	16,500
LGI Homes, Inc.3, 6.875%, 7/15/2026		25,000		23,281
TRI Pointe Group, Inc. - TRI Pointe Homes, Inc., 5.875%, 6/15/2024		10,000		9,701
Weekley Homes LLC – Weekley Finance Corp., 6.625%, 8/15/2025		10,000		9,004
				58,486
Internet & Direct Marketing Retail - 2.1%
Alibaba Group Holding Ltd. (China), 3.40%, 12/6/2027		440,000		478,087
Booking Holdings, Inc., 3.60%, 6/1/2026		790,000		825,541
Expedia Group, Inc.3, 6.25%, 5/1/2025		250,000		254,950
Photo Holdings Merger Sub, Inc.3, 8.50%, 10/1/2026		20,000		17,317
				1,575,895
Multiline Retail - 0.0%##
Staples, Inc.3, 7.50%, 4/15/2026		15,000		11,850
Specialty Retail - 0.5%
The TJX Cos, Inc., 3.50%, 4/15/2025		370,000		399,029
Textiles, Apparel & Luxury Goods - 0.2%
NIKE, Inc., 2.75%, 3/27/2027		140,000		150,825
Total Consumer Discretionary				2,222,614
Consumer Staples - 0.8%
Beverages - 0.8%
Keurig Dr Pepper, Inc., 3.20%, 5/1/2030		570,000		607,248
Food & Staples Retailing - 0.0%##
KeHE Distributors LLC - KeHE Finance Corp.3, 8.625%, 10/15/2026		10,000		10,575
Total Consumer Staples				617,823
Energy - 3.1%
Energy Equipment & Services - 0.0%##
Oceaneering International, Inc., 6.00%, 2/1/2028		25,000		12,844

The accompanying notes are an integral part of the financial statements.

6 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET CONSERVATIVE SERIES
	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Energy (continued)
Oil, Gas & Consumable Fuels - 3.1%
Antero Midstream Partners LP - Antero Midstream Finance Corp.3, 5.75%, 3/1/2027		15,000	$	11,100
Antero Midstream Partners LP - Antero Midstream Finance Corp.3, 5.75%, 1/15/2028		10,000		7,350
Bruin E&P Partners LLC1,4, 8.875%, 8/1/2023		30,000		750
Calumet Specialty Products Partners LP - Calumet Finance Corp.3, 11.00%, 4/15/2025		10,000		7,750
Cheniere Energy Partners LP, 5.625%, 10/1/2026		25,000		23,890
CVR Energy, Inc.3, 5.75%, 2/15/2028		15,000		12,683
Energy Transfer Operating LP, 6.50%, 2/1/2042		350,000		352,961
Genesis Energy LP - Genesis Energy Finance Corp., 7.75%, 2/1/2028		10,000		8,500
HollyFrontier Corp., 5.875%, 4/1/2026		25,000		25,568
Jonah Energy LLC - Jonah Energy Finance Corp.5, 7.25%, 10/15/2025		15,000		262
Kinder Morgan Energy Partners LP, 6.95%, 1/15/2038		460,000		548,428
Laredo Petroleum, Inc., 10.125%, 1/15/2028		10,000		4,074
Lonestar Resources America, Inc.3, 11.25%, 1/1/2023		30,000		3,750
Moss Creek Resources Holdings, Inc.3, 7.50%, 1/15/2026		10,000		3,350
NuStar Logistics LP, 6.75%, 2/1/2021		10,000		9,650
PBF Holding Co. LLC - PBF Finance Corp.3, 6.00%, 2/15/2028		15,000		10,678
Sabine Pass Liquefaction LLC, 5.875%, 6/30/2026		730,000		779,185
Sabine Pass Liquefaction LLC, 4.20%, 3/15/2028		190,000		185,934
Whiting Petroleum Corp.6,7, 5.75%, 3/15/2021		10,000		1,000
The Williams Companies, Inc., 3.75%, 6/15/2027		400,000		399,387
				2,396,250
Total Energy				2,409,094

	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials - 4.2%
Banks - 3.1%
Bank of America Corp.1, 4.00%, 1/22/2025		620,000	$	669,849
CIT Group, Inc., 4.125%, 3/9/2021		20,000		19,650
Citigroup, Inc., 4.45%, 9/29/2027		640,000		701,082
Fidelity & Guaranty Life Holdings, Inc.3, 5.50%, 5/1/2025		25,000		26,406
JPMorgan Chase & Co.8, (3 mo. LIBOR US + 1.000%), 4.023%, 12/5/2024		380,000		411,329
Popular, Inc., 6.125%, 9/14/2023		15,000		14,438
Santander Holdings USA, Inc., 4.50%, 7/17/2025		520,000		535,488
				2,378,242
Capital Markets - 0.1%
Advisor Group Holdings, Inc.3, 10.75%, 8/1/2027		10,000		7,583
Donnelley Financial Solutions, Inc., 8.25%, 10/15/2024		30,000		27,900
Oaktree Specialty Lending Corp., 3.50%, 2/25/2025		15,000		13,733
				49,216
Consumer Finance - 0.9%
Credit Acceptance Corp.3, 5.125%, 12/31/2024		10,000		8,775
Discover Financial Services, 4.50%, 1/30/2026		15,000		15,599
Navient Corp., 5.00%, 10/26/2020		10,000		9,805
Navient Corp., 6.75%, 6/25/2025		25,000		23,125
SLM Corp., 5.125%, 4/5/2022		15,000		13,740
Springleaf Finance Corp., 7.125%, 3/15/2026		15,000		14,138
Visa, Inc., 2.70%, 4/15/2040		630,000		654,879
				740,061
Diversified Financial Services - 0.0%##
VistaJet Malta Finance plc - XO Management Holding, Inc. (Switzerland)3, 10.50%, 6/1/2024		30,000		23,925
Mortgage Real Estate Investment Trusts (REITS) - 0.1%
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp.3, 5.875%, 8/1/2021		20,000		17,700
Starwood Property Trust, Inc., 3.625%, 2/1/2021		25,000		23,500
				41,200

The accompanying notes are an integral part of the financial statements.

7 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET CONSERVATIVE SERIES
	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials (continued)
Thrifts & Mortgage Finance - 0.0%##
Acrisure LLC - Acrisure Finance, Inc.3, 7.00%, 11/15/2025		5,000	$	4,425
Radian Group, Inc., 4.875%, 3/15/2027		25,000		21,926
				26,351
Total Financials				3,258,995
Health Care - 0.8%
Health Care Providers & Services - 0.6%
HCA, Inc., 4.125%, 6/15/2029		440,000		475,991
Pharmaceuticals - 0.2%
Pfizer, Inc., 2.625%, 4/1/2030		160,000		173,763
Total Health Care				649,754
Industrials - 2.9%
Howmet Aerospace, Inc., 6.875%, 5/1/2025		25,000		25,494
Air Freight & Logistics - 0.0%##
Cargo Aircraft Management, Inc.3, 4.75%, 2/1/2028		25,000		23,344
Airlines - 0.7%
Southwest Airlines Co., 5.25%, 5/4/2025		530,000		528,049
Building Products - 0.0%##
Griffon Corp., 5.75%, 3/1/2028		15,000		14,287
Commercial Services & Supplies - 0.1%
The ADT Security Corp., 6.25%, 10/15/2021		5,000		5,142
Prime Security Services Borrower LLC - Prime Finance, Inc.3, 5.25%, 4/15/2024		15,000		14,695
Prime Security Services Borrower LLC - Prime Finance, Inc.3, 5.75%, 4/15/2026		15,000		14,780
Prime Security Services Borrower LLC - Prime Finance, Inc.3, 6.25%, 1/15/2028		20,000		17,746
Stericycle, Inc.3, 5.375%, 7/15/2024		15,000		15,043
				67,406
Construction & Engineering - 0.0%##
HC2 Holdings, Inc.3, 11.50%, 12/1/2021		8,000		6,960
Tutor Perini Corp.3, 6.875%, 5/1/2025		20,000		15,750
				22,710

	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Industrials (continued)
Industrial Conglomerates - 0.5%
General Electric Co.8,9, (3 mo. LIBOR US + 3.330%), 5.00%		500,000	$	409,687
Marine - 0.0%##
American Tanker, Inc. (Norway)3, 9.25%, 2/22/2022		10,000		10,000
Trading Companies & Distributors - 1.5%
AerCap Ireland Capital DAC - AerCap Global Aviation Trust (Ireland)1, 4.45%, 10/1/2025		730,000		642,436
Air Lease Corp., 3.25%, 3/1/2025		15,000		13,475
Air Lease Corp., 3.625%, 4/1/2027		270,000		231,740
Avolon Holdings Funding Ltd. (Ireland)3, 3.25%, 2/15/2027		280,000		216,699
Fortress Transportation & Infrastructure Investors LLC3, 6.50%, 10/1/2025		20,000		16,400
				1,120,750
Total Industrials				2,221,727
Information Technology - 0.0%##
IT Services - 0.0%##
Science Applications International Corp.3, 4.875%, 4/1/2028		15,000		14,690
Materials - 0.1%
Chemicals - 0.0%##
CF Industries, Inc., 3.45%, 6/1/2023		5,000		5,062
PolyOne Corp.3, 5.75%, 5/15/2025		15,000		15,188
				20,250
Containers & Packaging - 0.0%##
Berry Global, Inc.3, 4.50%, 2/15/2026		15,000		14,806
Graphic Packaging International LLC, 4.75%, 4/15/2021		10,000		10,065
				24,871
Metals & Mining - 0.1%
Compass Minerals International, Inc.3, 6.75%, 12/1/2027		15,000		14,850
IAMGOLD Corp. (Canada)3, 7.00%, 4/15/2025		30,000		30,236
Infrabuild Australia Pty Ltd. (Australia)3, 12.00%, 10/1/2024		10,000		8,500
Kinross Gold Corp. (Canada), 4.50%, 7/15/2027		5,000		5,260
Mountain Province Diamonds, Inc. (Canada)3, 8.00%, 12/15/2022		10,000		6,300

The accompanying notes are an integral part of the financial statements.

8 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET CONSERVATIVE SERIES
	PRINCIPAL AMOUNT2		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Materials(continued)
Metals & Mining (continued)
Northwest Acquisitions ULC -Dominion Finco, Inc.10, 7.125%, 11/1/2022		15,000	$	1,538
				66,684
Total Materials				111,805
Real Estate - 3.0%
Equity Real Estate Investment Trusts (REITS) - 3.0%
American Tower Corp., 3.80%, 8/15/2029		740,000		827,211
Camden Property Trust, 2.80%, 5/15/2030		540,000		560,077
Crown Castle International Corp., 3.10%, 11/15/2029		580,000		619,051
Crown Castle International Corp., 3.30%, 7/1/2030		190,000		203,737
GTP Acquisition Partners I LLC3, 2.35%, 6/15/2020		95,000		95,709
HAT Holdings I LLC - HAT Holdings II LLC3, 6.00%, 4/15/2025		25,000		25,000
Iron Mountain, Inc., 5.75%, 8/15/2024		15,000		14,738
				2,345,523
Real Estate Management & Development - 0.0%##
Five Point Operating Co. LP - Five Point Capital Corp.3, 7.875%, 11/15/2025		10,000		9,662
Forestar Group, Inc.3, 5.00%, 3/1/2028		20,000		17,450
				27,112
Total Real Estate				2,372,635
Utilities - 0.6%
Electric Utilities - 0.6%
Dominion Energy, Inc., 3.375%, 4/1/2030		370,000		402,293
NextEra Energy Operating Partners LP3, 4.25%, 7/15/2024		10,000		10,178
				412,471
Independent Power and Renewable Electricity Producers - 0.0%##
Vistra Operations Co. LLC3, 5.625%, 2/15/2027		15,000		15,788
Total Utilities				428,259
TOTAL CORPORATE BONDS
(Identified Cost $17,468,307)				17,848,173

	PRINCIPAL AMOUNT2		VALUE (NOTE 2)
U.S. TREASURY SECURITIES - 20.5%
U.S. Treasury Bonds - 3.1%
U.S. Treasury Inflation Indexed Bond, 2.00%, 1/15/2026
(Identified Cost $2,368,526)		2,143,945	$	2,430,597
U.S. Treasury Notes - 17.4%
U.S. Treasury Floating Rate Note11, (3 mo. US Treasury Bill Yield + 0.300%), 0.41%, 10/31/2021		3,132,000		3,143,068
U.S. Treasury Inflation Indexed Note, 0.50%, 4/15/2024		1,697,451		1,740,993
U.S. Treasury Note, 2.50%, 8/15/2023		3,716,000		3,987,732
U.S. Treasury Note, 2.50%, 5/15/2024		1,425,000		1,549,966
U.S. Treasury Note, 2.125%, 5/15/2025		1,425,000		1,549,354
U.S. Treasury Note, 1.625%, 5/15/2026		1,450,000		1,550,537
Total U.S. Treasury Notes
(Identified Cost $13,445,053)				13,521,650
TOTAL U.S. TREASURY SECURITIES
(Identified Cost $15,813,579)				15,952,247
ASSET-BACKED SECURITIES - 7.0%
Cazenovia Creek Funding II LLC, Series 2018-1A, Class A1,3, 3.561%, 7/15/2030		146,418		144,411
Commonbond Student Loan Trust, Series 2019-AGS, Class A13, 2.54%, 1/25/2047		270,533		276,554
Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A3, 2.01%, 2/15/2029		290,000		288,406
Invitation Homes Trust, Series 2017-SFR2, Class A3,11, (1 mo. LIBOR US + 0.850%), 1.601%, 12/17/2036		73,343		70,909
Invitation Homes Trust, Series 2017-SFR2, Class B3,11, (1 mo. LIBOR US + 1.150%), 1.901%, 12/17/2036		60,000		56,948
Navient Private Education Refi Loan Trust, Series 2019-CA, Class A13, 2.82%, 2/15/2068		117,064		117,502
Navient Student Loan Trust, Series 2014-1, Class A311, (1 mo. LIBOR US + 0.510%), 0.997%, 6/25/2031		259,244		247,578

The accompanying notes are an integral part of the financial statements.

9 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET CONSERVATIVE SERIES
	PRINCIPAL AMOUNT2		VALUE (NOTE 2)
ASSET-BACKED SECURITIES (continued)
Navient Student Loan Trust, Series 2019-2A, Class A23,11, (1 mo. LIBOR US + 1.000%), 1.487%, 2/27/2068		550,000	$	516,969
Nelnet Student Loan Trust, Series 2012-3A, Class A3,11, (1 mo. LIBOR US + 0.700%), 1.187%, 2/25/2045		268,859		253,503
Nelnet Student Loan Trust, Series 2013-5A, Class A3,11, (1 mo. LIBOR US + 0.630%), 1.117%, 1/25/2037		266,973		249,074
Oxford Finance Funding LLC, Series 2020-1A, Class A23, 3.101%, 2/15/2028		255,000		251,360
Progress Residential Trust, Series 2017-SFR2, Class A3, 2.897%, 12/17/2034		149,721		151,408
Progress Residential Trust, Series 2019-SFR2, Class A3, 3.147%, 5/17/2036		280,000		287,775
SLM Student Loan Trust, Series 2005-7, Class A411, (3 mo. LIBOR US + 0.150%), 1.141%, 10/25/2029		263,570		256,275
SMB Private Education Loan Trust, Series 2020-A, Class A2A3, 2.23%, 9/15/2037		340,000		332,244
SoFi Consumer Loan Program LLC, Series 2016-5, Class A3, 3.06%, 9/25/2028		32,174		31,924
SoFi Consumer Loan Program Trust, Series 2019-2, Class A3, 3.01%, 4/25/2028		122,345		122,413
SoFi Consumer Loan Program Trust, Series 2019-3, Class A3, 2.90%, 5/25/2028		158,385		157,723
SoFi Professional Loan Program LLC, Series 2015-D, Class A23, 2.72%, 10/27/2036		55,759		55,875
SoFi Professional Loan Program LLC, Series 2016-B, Class A2B3, 2.74%, 10/25/2032		42,396		42,575
SoFi Professional Loan Program LLC, Series 2016-E, Class A2B3, 2.49%, 1/25/2036		141,505		141,662
SoFi Professional Loan Program LLC, Series 2017-F, Class A1FX3, 2.05%, 1/25/2041		2,192		2,192
SoFi Professional Loan Program LLC, Series 2017-F, Class A2FX3, 2.84%, 1/25/2041		75,000		75,998

	PRINCIPAL AMOUNT2		VALUE (NOTE 2)
ASSET-BACKED SECURITIES (continued)
SoFi Professional Loan Program LLC, Series 2018-A, Class A2A3, 2.39%, 2/25/2042		28,250	$	28,286
SoFi Professional Loan Program Trust, Series 2018-B, Class A2FX3, 3.34%, 8/25/2047		200,000		201,836
SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX3, 2.54%, 5/15/2046		225,000		223,080
Towd Point Mortgage Trust, Series 2016-5, Class A13,12, 2.50%, 10/25/2056		159,435		158,816
Towd Point Mortgage Trust, Series 2017-1, Class A13,12, 2.75%, 10/25/2056		146,505		147,293
Towd Point Mortgage Trust, Series 2019-HY1, Class A13,11, (1 mo. LIBOR US + 1.000%), 1.487%, 10/25/2048		134,782		133,067
Tricon American Homes Trust, Series 2016-SFR1, Class A3, 2.589%, 11/17/2033		212,086		212,537
Tricon American Homes Trust, Series 2017-SFR2, Class A3, 2.928%, 1/17/2036		199,112		202,382
TOTAL ASSET-BACKED SECURITIES
(Identified Cost $5,508,513)				5,438,575
COMMERCIAL MORTGAGE-BACKED SECURITIES - 8.4%
CIM Trust, Series 2019-INV1, Class A13,12, 4.00%, 2/25/2049		73,760		74,738
Credit Suisse Mortgage Capital Trust, Series 2013-IVR3, Class A11,3,12, 2.50%, 5/25/2043		115,813		113,126
Credit Suisse Mortgage Capital Trust, Series 2013-TH1, Class A13,12, 2.13%, 2/25/2043		75,678		73,161
Fannie Mae REMICS, Series 2018-31, Class KP, 3.50%, 7/25/2047		232,584		240,928
Fannie Mae-Aces, Series 2017-M15, Class A112, 3.058%, 9/25/2027		261,740		283,532
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class A3, 3.144%, 12/10/2036		290,000		277,034
Freddie Mac REMICS, Series 4791, Class BA, 4.00%, 3/15/2044		236,126		244,382
Freddie Mac REMICS, Series 4801, Class BA, 4.50%, 5/15/2044		176,071		181,007

The accompanying notes are an integral part of the financial statements.

10 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET CONSERVATIVE SERIES
	PRINCIPAL AMOUNT2		VALUE (NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
FREMF Mortgage Trust, Series 2011-K13, Class B3,12, 4.768%, 1/25/2048		321,504	$	324,627
FREMF Mortgage Trust, Series 2014-K41, Class B3,12, 3.963%, 11/25/2047		273,000		285,946
FREMF Mortgage Trust, Series 2014-K716, Class B3,12, 4.083%, 8/25/2047		451,000		456,376
Government National Mortgage Association, Series 2012-113, Class PY, 2.50%, 9/20/2042		250,000		264,043
Government National Mortgage Association, Series 2017-54, Class AH, 2.60%, 12/16/2056		299,380		310,305
GS Mortgage Securities Corp. Trust, Series 2019-70P, Class A3,11, (1 mo. LIBOR US + 1.000%), 1.814%, 10/15/2036		260,000		244,874
JP Morgan Mortgage Trust, Series 2013-2, Class A23,12, 3.50%, 5/25/2043		65,402		67,163
JP Morgan Mortgage Trust, Series 2014-2, Class 1A13,12, 3.00%, 6/25/2029		85,608		86,690
JP Morgan Mortgage Trust, Series 2017-2, Class A53,12, 3.50%, 5/25/2047		208,687		210,678
JP Morgan Mortgage Trust, Series 2017-2, Class A63,12, 3.00%, 5/25/2047		224,145		225,538
JP Morgan Mortgage Trust, Series 2017-3, Class 1A33,12, 3.50%, 8/25/2047		218,278		222,265
New Residential Mortgage Loan Trust, Series 2014-3A, Class AFX33,12, 3.75%, 11/25/2054		69,938		71,404
New Residential Mortgage Loan Trust, Series 2015-2A, Class A13,12, 3.75%, 8/25/2055		79,027		80,664
New Residential Mortgage Loan Trust, Series 2016-4A, Class A13,12, 3.75%, 11/25/2056		108,572		110,696
PMT Loan Trust, Series 2013-J1, Class A93,12, 3.50%, 9/25/2043		239,509		246,669
Sequoia Mortgage Trust, Series 2013-6, Class A212, 3.00%, 5/25/2043		456,409		466,414
Sequoia Mortgage Trust, Series 2013-8, Class A112, 3.00%, 6/25/2043		95,672		97,599
Sequoia Mortgage Trust, Series 2020-1, Class A13,12, 3.50%, 2/25/2050		324,443		329,032

		PRINCIPAL AMOUNT2		VALUE (NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Starwood Retail Property Trust, Series 2014-STAR, Class A3,11, (1 mo. LIBOR US + 1.470%), 2.284%, 11/15/2027			252,607	$	235,974
Sutherland Commercial Mortgage Trust, Series 2019-SBC8, Class A3,12, 2.86%, 4/25/2041			235,980		236,806
Waikiki Beach Hotel Trust, Series 2019-WBM, Class A3,11, (1 mo. LIBOR US + 1.050%), 1.864%, 12/15/2033			175,000		160,674
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A43,12, 4.869%, 2/15/2044			305,831		310,059
WinWater Mortgage Loan Trust, Series 2015-3, Class A53,12, 3.50%, 3/20/2045			31,648		31,596
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Identified Cost $6,540,318)					6,564,000
FOREIGN GOVERNMENT BONDS - 1.6%
Canadian Government Bond (Canada), 2.75%, 6/1/2022	CAD		33,000		24,918
Export-Import Bank of Korea (South Korea), 2.625%, 12/30/2020			1,000,000		1,006,682
Mexican Government Bond (Mexico), 8.00%, 6/11/2020	MXN		733,000		30,457
Mexican Government Bond (Mexico), 6.50%, 6/10/2021	MXN		275,000		11,544
Mexican Government Bond (Mexico), 6.50%, 6/9/2022	MXN		504,000		21,423
Mexican Government Bond (Mexico), 7.75%, 5/29/2031	MXN		92,000		4,052
Republic of Italy Government International Bond (Italy), 2.375%, 10/17/2024			200,000		195,262
TOTAL FOREIGN GOVERNMENT BONDS
(Identified Cost $1,307,621)					1,294,338

The accompanying notes are an integral part of the financial statements.

11 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET CONSERVATIVE SERIES
	PRINCIPAL AMOUNT2		VALUE
U.S. GOVERNMENT AGENCIES - 9.0%
Mortgage-Backed Securities - 9.0%
Fannie Mae, Pool #888468, UMBS, 5.50%, 9/1/2021		3,933	$	3,985
Fannie Mae, Pool #888810, UMBS, 5.50%, 11/1/2022		4,369		4,429
Fannie Mae, Pool #MA3463, UMBS, 4.00%, 9/1/2033		213,020		225,310
Fannie Mae, Pool #MA1834, UMBS, 4.50%, 2/1/2034		60,191		66,165
Fannie Mae, Pool #MA1903, UMBS, 4.50%, 5/1/2034		71,911		79,049
Fannie Mae, Pool #FM1158, UMBS, 3.50%, 6/1/2034		277,903		293,571
Fannie Mae, Pool #MA3412, UMBS, 3.50%, 7/1/2038		344,331		363,331
Fannie Mae, Pool #890294, UMBS, 5.50%, 1/1/2039		65,752		75,063
Fannie Mae, Pool #AD0307, UMBS, 5.50%, 1/1/2039		34,991		39,975
Fannie Mae, Pool #AE0604, UMBS, 6.00%, 7/1/2039		41,634		48,082
Fannie Mae, Pool #MA0258, UMBS, 4.50%, 12/1/2039		84,237		93,542
Fannie Mae, Pool #890326, UMBS, 5.50%, 1/1/2040		69,605		79,365
Fannie Mae, Pool #AL0152, UMBS, 6.00%, 6/1/2040		69,614		80,390
Fannie Mae, Pool #AL7729, UMBS, 4.00%, 6/1/2043		62,702		68,585
Fannie Mae, Pool #AS3622, UMBS, 3.50%, 10/1/2044		554,727		604,753
Fannie Mae, Pool #AZ9215, UMBS, 4.00%, 10/1/2045		81,688		89,946
Fannie Mae, Pool #BD6997, UMBS, 4.00%, 10/1/2046		76,626		82,279
Fannie Mae, Pool #BE7845, UMBS, 4.50%, 2/1/2047		65,350		70,886
Fannie Mae, Pool #CA1720, UMBS, 5.00%, 5/1/2048		483,103		540,859
Fannie Mae, Pool #CA2056, UMBS, 4.50%, 7/1/2048		451,588		487,346
Fannie Mae, Pool #MA3443, UMBS, 4.00%, 8/1/2048		193,980		206,423
Fannie Mae, Pool #BK9366, UMBS, 4.50%, 8/1/2048		87,111		93,930
Fannie Mae, Pool #MA3521, UMBS, 4.00%, 11/1/2048		632,514		673,715
Fannie Mae, Pool #MA3527, UMBS, 5.00%, 11/1/2048		348,225		378,408
Fannie Mae, Pool #BN0622, UMBS, 4.50%, 1/1/2049		203,721		219,598

	PRINCIPAL AMOUNT2/ SHARES		VALUE (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Fannie Mae, Pool #AL8674, 5.645%, 1/1/2049		121,704	$	141,618
Fannie Mae, Pool #MA3996, 2.50%, 4/1/2050		209,674		214,828
Freddie Mac, Pool #C91762, 4.50%, 5/1/2034		97,193		106,870
Freddie Mac, Pool #G03926, 6.00%, 2/1/2038		30,415		35,104
Freddie Mac, Pool #G05196, 5.50%, 10/1/2038		29,944		34,209
Freddie Mac, Pool #G05409, 5.50%, 3/1/2039		26,942		30,781
Freddie Mac, Pool #A92889, 4.50%, 7/1/2040		111,525		123,638
Freddie Mac, Pool #A93451, 4.50%, 8/1/2040		120,917		133,985
Freddie Mac, Pool #G60334, 4.50%, 10/1/2041		97,206		107,876
Freddie Mac, Pool #Q24752, 3.50%, 2/1/2044		140,377		151,315
Freddie Mac, Pool #G60183, 4.00%, 12/1/2044		81,268		89,632
Freddie Mac, Pool #Q37592, 4.00%, 12/1/2045		179,906		195,801
Freddie Mac, Pool #Q59805, 4.50%, 11/1/2048		144,379		155,720
Freddie Mac, Pool #G61887, 5.00%, 2/1/2049		193,982		210,675
Freddie Mac, Pool #ZN4802, UMBS, 4.00%, 4/1/2049		315,195		335,930
TOTAL U.S. GOVERNMENT AGENCIES
(Identified Cost $6,745,572)				7,036,967
SHORT-TERM INVESTMENT - 1.2%
Dreyfus Government Cash Management, Institutional Shares, 0.17%13
(Identified Cost $923,038)		923,038		923,038
TOTAL INVESTMENTS IN SECURITIES - 100.5%
(Identified Cost $76,053,734)				78,352,186
TOTAL OPTIONS WRITTEN — (0.0%)**
(Premiums Received $3,903)				(5,260	)
TOTAL INVESTMENTS - 100.5%				78,346,926
LIABILITIES, LESS OTHER ASSETS - (0.5%)				(415,462	)
NET ASSETS - 100%			$	77,931,464

The accompanying notes are an integral part of the financial statements.

12 

Investment Portfolio - April 30, 2020

(unaudited)

ADR - American Depositary Receipt

CAD - Canadian Dollar

LIBOR - London Interbank Offered Rate

MXN - Mexican Peso 

UMBS - Uniform Mortgage-Backed Securities

EXCHANGE-TRADED OPTIONS WRITTEN
DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	EXERCISE PRICE		NOTIONAL AMOUNT (000)2		VALUE
Call
Facebook, Inc. - Class A		4	05/01/2020		207.50		82		$	(440	)
Booking Holdings, Inc.		1	05/15/2020		1,510.00		148			(4,480	)
										(4,920	)
Put
Charter Communications, Inc. - Class A		2	05/08/2020		460.00		99			(340	)
TOTAL EXCHANGE-TRADED OPTIONS WRITTEN (PREMIUMS RECEIVED $3,903)									$	(5,260	)

*Non-income producing security.

** Less than (0.1%).

## Less than 0.1%.

¹ A portion of this security is designated as collateral for options contracts written. As of April 30, 2020, the total value of such securities was $4,334,364.

² Amount is stated in USD unless otherwise noted.

³ Restricted 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 under the Fund’s Liquidity Risk Management Program. These securities amount to $11,233,423, or 14.4% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁴ Restricted security - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security was acquired on January 17, 2019 and March 26, 2020 at a cost of $9,438 ($94.38 per share) and cost of $2,100 ($10.50 per share), respectively. This security has been sold under rule 144A and has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $750, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁵ Restricted security - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security was acquired on November 28, 2017 at a cost of $15,150 ($101.00 per share). This security has been sold under rule 144A and has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $262, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁶ Illiquid security - This security was acquired on January 8, 2020 and February 5, 2020 at a cost of $4,947 ($98.94 per share) and cost of $4,662 ($93.25 per share), respectively. This security has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $1,000, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁷ Issuer filed for bankruptcy and/or is in default of interest payments.

⁸ Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of April 30, 2020.

⁹ Security is perpetual in nature and has no stated maturity date.

¹⁰ Restricted security - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security was acquired on September 6, 2018 at a cost of $15,363 ($102.42 per share). This security has been sold under rule 144A and has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $1,538, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

¹¹ Floating rate security. Rate shown is the rate in effect as of April 30, 2020.

¹² Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of April 30, 2020.

¹³ Rate shown is the current yield as of April 30, 2020.

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 S&P Global 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.

13 

Statement of Assets and Liabilities - Blended Asset Conservative Series
April 30, 2020 (unaudited) 

ASSETS:
Investments in securities, at value (identified cost $76,053,734) (Note 2)	$	78,352,186
Interest receivable		288,603
Receivable for securities sold		360,395
Dividends receivable		16,680
Foreign tax reclaims receivable		13,215
Receivable for fund shares sold		21
Prepaid and other expenses		559
TOTAL ASSETS		79,031,659
LIABILITIES:
Accrued fund accounting and administration fees (Note 3)		21,039
Accrued management fees (Note 3)		12,664
Accrued Chief Compliance Officer service fees (Note 3)		956
Options written, at value (premiums received $3,903) (Note 2)		5,260
Payable for securities purchased		1,002,359
Payable for fund shares repurchased		16,459
Other payables and accrued expenses		41,458
TOTAL LIABILITIES		1,100,195
TOTAL NET ASSETS	$	77,931,464
NET ASSETS CONSIST OF:
Capital stock	$	67,899
Additional paid-in-capital		75,706,284
Total distributable earnings (loss)		2,157,281
TOTAL NET ASSETS	$	77,931,464
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE -
Class R6($77,931,464/6,789,902 shares)	$	11.48

The accompanying notes are an integral part of the financial statements.

14 

Statement of Operations - Blended Asset Conservative Series
For the Six Months Ended April 30, 2020 (unaudited) 

INVESTMENT INCOME:
Interest	$	751,018
Dividends (net of foreign taxes withheld, $11,225)		203,120
Total Investment Income		954,138
EXPENSES:
Management fees (Note 3)		157,161
Fund accounting and administration fees (Note 3)		36,746
Directors’ fees (Note 3)		4,016
Chief Compliance Officer service fees (Note 3)		1,438
Audit fees		27,107
Custodian fees		8,147
Miscellaneous		17,978
Total Expenses		252,593
Less reduction of expenses (Note 3)		(75,787	)
Net Expenses		176,806
NET INVESTMENT INCOME		777,332
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on-
Investments in securities		1,051,659
Options written		39,893
Foreign currency and translation of other assets and liabilities		(564	)
		1,090,988
Net change in unrealized appreciation (depreciation) on-
Investments in securities		(1,094,137	)
Options written		3,909
Foreign currency and translation of other assets and liabilities		357
		(1,089,871	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY		1,117
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	778,449

The accompanying notes are an integral part of the financial statements.

15 

Statements of Changes in Net Assets - Blended Asset Conservative Series

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)				FOR THE YEAR ENDED 10/31/19
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income		$	777,332		$	2,062,733
Net realized gain (loss) on investments and foreign currency			1,090,988			(371,741	)
Net change in unrealized appreciation (depreciation) on investments and foreign currency			(1,089,871	)		5,644,542
Net increase (decrease) from operations			778,449			7,335,534
DISTRIBUTIONS TO SHAREHOLDERS (Note 9):
Class R6			(1,190,670	)		(2,530,275	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase (decrease) from capital share transactions (Note 5)			(1,274,318	)		(52,233,583	)
Net increase (decrease) in net assets			(1,686,539	)		(47,428,324	)
NET ASSETS:
Beginning of period			79,618,003			127,046,327
End of period		$	77,931,464		$	79,618,003

The accompanying notes are an integral part of the financial statements.

16 

Financial Highlights - Blended Asset Conservative Series - Class R6

	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED						FOR THE PERIOD
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/13/171TO 10/31/17
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$11.54			$10.68			$10.85			$10.87
Income (loss) from investment operations:
Net investment income2		0.11			0.26			0.23			0.01
Net realized and unrealized gain (loss) on investments		0.00	3		0.85			(0.29	)		(0.03	)
Total from investment operations		0.11			1.11			(0.06	)		(0.02	)
Less distributions to shareholders:
From net investment income		(0.17	)		(0.25	)		(0.11	)		—
Net asset value - End of period		$11.48			$11.54			$10.68			$10.85
Net assets - End of period(000’s omitted)		$77,931			$79,618			$127,046			$100,776
Total return4		0.99%			10.61%			(0.52%	)		(0.18%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.45%5			0.45%			0.45%			0.45%5
Net investment income		1.98%5			2.39%			2.13%			0.99%5
Series portfolio turnover		63%			88%			71%			5%

*The investment advisor did not impose all or a portion of its management and/or other fees during the period, and 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:

0.19%⁵ 0.19% 0.11% 1.21%⁵

¹Commencement of operations.

²Calculated based on average shares outstanding during the periods.

³Less than $0.01.

⁴Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁵Annualized.

The accompanying notes are an integral part of the financial statements.

17 

Shareholder Expense Example - Blended Asset Moderate Series

(unaudited)

As a shareholder of the Series, you incur ongoing costs, including management fees, shareholder service 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 (November 1, 2019 to April 30, 2020).

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 such as sales charges (loads), redemption fees, or exchange fees that you may incur in other mutual funds. 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.

	BEGINNING ACCOUNT VALUE 11/1/19	ENDING ACCOUNT VALUE 4/30/20	EXPENSES PAID DURING PERIOD 11/1/19-4/30/20*
Actual	$1,000.00	$1,029.80	$2.52
Hypothetical
(5% return before expenses)	$1,000.00	$1,022.38	$2.51

*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 0.50%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). The Series’ total return would have been lower had certain expenses not been waived or reimbursed during the period.

18 

Portfolio Composition - Blended Asset Moderate Series

As of April 30, 2020 (unaudited)

Asset Allocation¹

 

^*Less than 0.1%.

¹As a percentage of net assets.

²A U.S. Treasury Bond is a long-term obligation of the U.S. Treasury issued with a maturity period of more than ten years.

³A U.S. Treasury Note is an intermediate long-term obligation of the U.S. Treasury issued with a maturity period between one and ten years.

Sector Allocation4
Communication Services	9.7%
Consumer Discretionary	7.5%
Information Technology	6.7%
Energy	5.8%
Financials	5.8%
Consumer Staples	5.6%
Health Care	5.2%
Real Estate	4.5%
Industrials	3.8%
Materials	1.4%
Utilities	0.6%
4Including common stocks and corporate bonds, as a percentage of total investments.

Top Ten Stock Holdings5
Booking Holdings, Inc.	1.7%
Mastercard, Inc. - Class A	1.7%
Visa, Inc. - Class A	1.4%
Nexon Co. Ltd. (Japan)	1.3%
Johnson & Johnson	1.2%
Amazon.com, Inc.	1.1%
Unilever plc - ADR (United Kingdom)	1.1%
Novartis AG - ADR (Switzerland)	1.1%
Alphabet, Inc. - Class A	1.1%
Cabot Oil & Gas Corp.	0.9%
5As a percentage of total investments.

19 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET MODERATE SERIES
	SHARES		VALUE (NOTE 2)
COMMON STOCKS - 42.1%
Communication Services - 6.5%
Entertainment - 3.0%
Activision Blizzard, Inc.1		11,700	$	745,641
Electronic Arts, Inc.*1		5,520		630,715
Nexon Co. Ltd. (Japan)		88,230		1,424,561
Sea Ltd. - ADR (Taiwan)*		980		54,468
The Walt Disney Co.		4,155		449,363
				3,304,748
Interactive Media & Services - 3.1%
Alphabet, Inc. - Class A*1		885		1,191,829
Alphabet, Inc. - Class C*		165		222,529
Auto Trader Group plc (United Kingdom)2		5,405		31,114
Facebook, Inc. - Class A*		4,665		954,972
Tencent Holdings Ltd. - Class H (China)		18,670		981,471
				3,381,915
Media - 0.4%
Charter Communications, Inc. - Class A*		605		299,614
Comcast Corp. - Class A		683		25,701
Quebecor, Inc. - Class B (Canada)		1,705		37,127
Shaw Communications, Inc. - Class B (Canada)		3,270		53,351
				415,793
Total Communication Services				7,102,456
Consumer Discretionary - 5.7%
Distributors - 0.0%##
Genuine Parts Co.		78		6,184
Hotels, Restaurants & Leisure - 0.1%
Aristocrat Leisure Ltd. (Australia)		1,185		19,434
Hilton Worldwide Holdings, Inc.		315		23,849
Restaurant Brands International, Inc. (Canada)		1,215		59,900
Wyndham Hotels & Resorts, Inc.		725		27,340
				130,523
Household Durables - 0.9%
Garmin Ltd.		63		5,113
Nikon Corp. (Japan)		52,600		489,276
Sony Corp. - ADR (Japan)		6,625		425,656
Sony Corp. (Japan)		700		45,048
				965,093
Internet & Direct Marketing Retail - 3.3%
Alibaba Group Holding Ltd. - ADR(China)*1		2,240		453,981
Amazon.com, Inc.*1		510		1,261,740

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Consumer Discretionary (continued)
Internet & Direct Marketing Retail(continued)
Booking Holdings, Inc.*1		1,270	$	1,880,324
				3,596,045
Multiline Retail - 0.4%
B&M European Value Retail S.A. (United Kingdom)		12,095		50,580
Dollar Tree, Inc.*		4,560		363,295
				413,875
Specialty Retail - 0.1%
Best Buy Co., Inc.		114		8,747
The Home Depot, Inc.		207		45,505
Industria de Diseno Textil S.A. (Spain)		2,185		55,963
				110,215
Textiles, Apparel & Luxury Goods - 0.9%
adidas AG (Germany)		1,920		439,552
lululemon athletica, Inc.*		2,520		563,170
VF Corp.		156		9,064
				1,011,786
Total Consumer Discretionary				6,233,721
Consumer Staples - 5.2%
Beverages - 2.2%
Ambev S.A. - ADR (Brazil)		10,370		22,295
Anheuser-Busch InBev S.A./N.V. (Belgium)		12,330		574,211
The Coca-Cola Co		20,470		939,368
Constellation Brands, Inc. - Class A		50		8,234
Diageo plc (United Kingdom)		12,060		415,222
Molson Coors Beverage Co. - Class B		108		4,429
PepsiCo, Inc.		3,095		409,438
				2,373,197
Food & Staples Retailing - 0.1%
The Kroger Co.		306		9,673
Sysco Corp.		169		9,510
Walmart, Inc.		412		50,079
				69,262
Food Products - 1.7%
Archer-Daniels-Midland Co.		204		7,577
Conagra Brands, Inc.		217		7,256
Danone S.A. (France)		1,145		79,803
General Mills, Inc.		250		14,972
The Hershey Co.		77		10,197
Hormel Foods Corp.		149		6,981

The accompanying notes are an integral part of the financial statements.

20 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET MODERATE SERIES
	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Consumer Staples (continued)
Food Products (continued)
The J.M. Smucker Co.		56	$	6,435
Mondelez International, Inc. - Class A		15,758		810,592
Nestle S.A. (Switzerland)		8,990		952,131
Tyson Foods, Inc. - Class A		132		8,209
				1,904,153
Household Products - 0.0%##
Colgate-Palmolive Co.		282		19,816
Kimberly-Clark Corp.		105		14,540
				34,356
Personal Products - 1.2%
Beiersdorf AG (Germany)		480		50,222
Unilever plc - ADR (United Kingdom)		24,280		1,259,404
				1,309,626
Total Consumer Staples				5,690,594
Energy - 3.7%
Energy Equipment & Services - 0.3%
Baker Hughes Co		424		5,915
Schlumberger Ltd.1		17,465		293,761
				299,676
Oil, Gas & Consumable Fuels - 3.4%
BP plc - ADR (United Kingdom)		535		12,733
Cabot Oil & Gas Corp.		47,590		1,028,896
Cameco Corp. (Canada)		6,620		65,935
Chevron Corp.		1,985		182,620
Concho Resources, Inc.		4,465		253,255
ConocoPhillips		10,862		457,290
EOG Resources, Inc.		9,811		466,121
Exxon Mobil Corp.		8,395		390,116
Marathon Petroleum Corp.		257		8,245
Pioneer Natural Resources Co.		2,885		257,659
Royal Dutch Shell plc - Class B - ADR (Netherlands)		3,605		115,252
TOTAL S.A. - ADR (France)		11,600		407,740
Tourmaline Oil Corp. (Canada)		7,815		77,479
Valero Energy Corp.		152		9,629
				3,732,970
Total Energy				4,032,646
Financials - 3.0%
Banks - 0.3%
Bank of America Corp.		1,500		36,075
The Bank Of N.T. Butterfield & Son Ltd. (Bermuda)		1,745		38,407

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Financials (continued)
Banks (continued)
Citigroup, Inc		451	$	21,901
Fifth Third Bancorp		286		5,345
FinecoBank Banca Fineco S.p.A. (Italy)		7,790		86,794
JPMorgan Chase & Co		496		47,497
The PNC Financial Services Group, Inc		97		10,347
Regions Financial Corp.		427		4,590
Truist Financial Corp.		415		15,488
U.S. Bancorp		433		15,804
Wells Fargo & Co		925		26,871
				309,119
Capital Markets - 1.9%
Cboe Global Markets, Inc.1		6,010		597,274
CME Group, Inc.1		2,050		365,330
Deutsche Boerse AG (Germany)		475		73,644
Intercontinental Exchange, Inc.		4,430		396,264
Moody’s Corp.		1,295		315,850
S&P Global, Inc.		1,045		306,060
				2,054,422
Diversified Financial Services - 0.7%
Berkshire Hathaway, Inc. - Class B*1		4,215		789,722
Insurance - 0.1%
Admiral Group plc (United Kingdom)		4,025		117,451
The Allstate Corp.		101		10,274
Chubb Ltd.		120		12,961
Cincinnati Financial Corp.		56		3,685
The Hartford Financial Services Group, Inc.		147		5,585
The Travelers Companies, Inc.		81		8,198
				158,154
Total Financials				3,311,417
Health Care - 4.8%
Biotechnology - 0.8%
AbbVie, Inc		343		28,195
BioMarin Pharmaceutical, Inc.*1		6,060		557,641
Gilead Sciences, Inc		363		30,492
Incyte Corp.*		3,290		321,301
				937,629
Health Care Equipment & Supplies - 1.0%
Alcon, Inc. (Switzerland)*		8,308		438,745
Getinge AB - Class B (Sweden)		2,890		55,393
Medtronic plc1		5,283		515,779

The accompanying notes are an integral part of the financial statements.

21 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET MODERATE SERIES
	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Health Care Equipment & Supplies (continued)
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)		40,000	$	60,766
				1,070,683
Health Care Providers & Services - 0.0%##
Quest Diagnostics, Inc.		64		7,047
Life Sciences Tools & Services - 0.5%
Gerresheimer AG (Germany)		710		56,466
Thermo Fisher Scientific, Inc.		1,330		445,124
				501,590
Pharmaceuticals - 2.5%
Bristol-Myers Squibb Co.		514		31,256
Eli Lilly & Co.		151		23,351
Johnson & Johnson		8,926		1,339,257
Merck & Co., Inc.		500		39,670
Novartis AG - ADR (Switzerland)		14,715		1,246,802
Perrigo Co. plc1		975		51,968
Pfizer, Inc.		1,219		46,761
				2,779,065
Total Health Care				5,296,014
Industrials - 2.0%
Aerospace & Defense - 0.1%
Airbus SE (France)*		365		23,111
General Dynamics Corp.		83		10,841
Lockheed Martin Corp.		74		28,790
Raytheon Technologies Corp.		370		23,980
				86,722
Air Freight & Logistics - 0.0%##
C.H. Robinson Worldwide, Inc.		76		5,388
Airlines - 1.1%
easyJet plc (United Kingdom)		58,580		443,724
Ryanair Holdings plc - ADR (Ireland)*		11,765		746,725
				1,190,449
Building Products - 0.0%##
Johnson Controls International plc		323		9,403
Trane Technologies plc		74		6,469
				15,872
Commercial Services & Supplies - 0.5%
Bingo Industries Ltd. (Australia)		25,120		38,044
Copart, Inc.*		5,610		449,417

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Industrials (continued)
Commercial Services & Supplies (continued)
Waste Management, Inc.		138	$	13,803
				501,264
Electrical Equipment - 0.0%##
Eaton Corp. plc		147		12,274
Emerson Electric Co.		229		13,060
Rockwell Automation, Inc.		44		8,337
				33,671
Industrial Conglomerates - 0.0%##
3M Co.		151		22,940
Honeywell International, Inc.		176		24,974
				47,914
Machinery - 0.1%
Caterpillar, Inc.		157		18,272
Cummins, Inc.		62		10,137
Dover Corp.		50		4,682
Illinois Tool Works, Inc.		101		16,412
Parker-Hannifin Corp.		44		6,957
Stanley Black & Decker, Inc.		53		5,841
The Weir Group plc (United Kingdom)		3,145		37,585
				99,886
Road & Rail - 0.0%##
Norfolk Southern Corp.		62		10,608
Union Pacific Corp.		167		26,685
				37,293
Trading Companies & Distributors - 0.1%
Brenntag AG (Germany)		1,135		51,391
Fastenal Co.		250		9,055
WW Grainger, Inc.		18		4,960
				65,406
Transportation Infrastructure - 0.1%
Grupo Aeroportuario del Centro Norte S.A.B. de C.V. (Mexico)		5,200		19,032
Grupo Aeroportuario del Pacifico S.A.B. de C.V. - ADR (Mexico)		310		19,220
Grupo Aeroportuario del Sureste S.A.B. de C.V. - ADR (Mexico)		205		20,441
				58,693
Total Industrials				2,142,558
Information Technology - 6.8%
Communications Equipment - 0.0%##
Cisco Systems, Inc.		868		36,786

The accompanying notes are an integral part of the financial statements.

22 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET MODERATE SERIES
	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Information Technology(continued)
IT Services - 4.0%
Accenture plc - Class A		364	$	67,409
Adyen N.V. (Netherlands)*2		25		24,690
Automatic Data Processing, Inc.		90		13,202
International Business Machines Corp.		219		27,498
Keywords Studios plc (Ireland)		910		18,230
Mastercard, Inc. - Class A		6,750		1,856,048
PayPal Holdings, Inc.*		5,785		711,555
Switch, Inc. - Class A		1,579		27,111
Visa, Inc. - Class A		8,890		1,588,821
				4,334,564
Semiconductors & Semiconductor Equipment - 1.0%
Analog Devices, Inc.		95		10,412
Intel Corp.		803		48,164
KLA Corp.		62		10,174
Micron Technology, Inc.*		21,205		1,015,507
QUALCOMM, Inc.		219		17,229
Skyworks Solutions, Inc.		56		5,817
Texas Instruments, Inc.		234		27,160
Xilinx, Inc.		77		6,730
				1,141,193
Software - 1.8%
Microsoft Corp.		4,705		843,183
Oracle Corp.		466		24,684
salesforce.com, Inc.*		4,215		682,619
ServiceNow, Inc.*		1,320		464,033
				2,014,519
Technology Hardware, Storage & Peripherals - 0.0%##
NetApp, Inc.		106		4,640
Total Information Technology				7,531,702
Materials - 1.2%
Chemicals - 0.5%
Akzo Nobel N.V. (Netherlands)		630		47,811
FMC Corp.		4,705		432,390
International Flavors & Fragrances, Inc.		37		4,848
Linde plc (United Kingdom)		97		17,847
LyondellBasell Industries N.V. - Class A		146		8,461
PPG Industries, Inc.		71		6,449
				517,806
Containers & Packaging - 0.7%
Graphic Packaging Holding Co.		60,075		802,001

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Materials (continued)
Metals & Mining - 0.0%##
Lundin Mining Corp. (Chile)		7,180	$	35,179
Nucor Corp.		151		6,220
				41,399
Total Materials				1,361,206
Real Estate - 3.2%
Equity Real Estate Investment Trusts (REITS) - 3.2%
Acadia Realty Trust1		1,200		14,868
Agree Realty Corp.1		270		17,580
Alexandria Real Estate Equities, Inc.1		175		27,491
American Campus Communities, Inc.1		1,120		39,525
American Homes 4 Rent - Class A1		1,600		38,624
American Tower Corp.1		2,110		502,180
Americold Realty Trust1		1,450		44,355
Apartment Investment & Management Co. - Class A1		794		29,910
AvalonBay Communities, Inc.1		375		61,106
Boston Properties, Inc.1		199		19,339
Brandywine Realty Trust1		1,880		20,981
Camden Property Trust1		595		52,402
Community Healthcare Trust, Inc.		650		24,180
CoreSite Realty Corp.		115		13,937
Cousins Properties, Inc.		1,610		48,574
Crown Castle International Corp.		285		45,438
Digital Realty Trust, Inc.1		565		84,462
Douglas Emmett, Inc.		1,105		33,691
Duke Realty Corp.		1,086		37,684
Equinix, Inc.		1,320		891,264
Equity LifeStyle Properties, Inc.		845		50,962
Equity Residential		680		44,241
Essex Property Trust, Inc.		116		28,316
Extra Space Storage, Inc.		150		13,236
First Industrial Realty Trust, Inc.		500		18,885
Getty Realty Corp.		570		15,481
Healthcare Realty Trust, Inc.		650		19,104
Healthcare Trust of America, Inc. - Class A		515		12,684
Healthpeak Properties, Inc.		1,625		42,478
Hibernia REIT plc (Ireland)		13,205		17,177
Host Hotels & Resorts, Inc.		938		11,547
Invitation Homes, Inc.		2,345		55,459
Jernigan Capital, Inc.		1,415		18,678
Kilroy Realty Corp.		872		54,291
Life Storage, Inc.		130		11,387

The accompanying notes are an integral part of the financial statements.

23 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET MODERATE SERIES	SHARES/ PRINCIPAL AMOUNT3		VALUE (NOTE 2)
COMMON STOCKS (continued)
Real Estate (continued)
Equity Real Estate Investment Trusts (REITS)
(continued)
Mid-America Apartment Communities, Inc.		260	$	29,099
National Retail Properties, Inc.		490		15,994
Physicians Realty Trust		1,170		18,041
Prologis, Inc.		1,741		155,349
Public Storage		330		61,198
Realty Income Corp.		310		17,025
Rexford Industrial Realty, Inc.		700		28,504
SBA Communications Corp.		1,920		556,646
STAG Industrial, Inc.		660		17,325
STORE Capital Corp.		795		15,956
Sun Communities, Inc.		590		79,296
Sunstone Hotel Investors, Inc.		1,120		10,293
Terreno Realty Corp.		195		10,690
UDR, Inc.		575		21,545
Urban Edge Properties		1,400		16,100
Welltower, Inc.		732		37,500
Total Real Estate				3,552,078
TOTAL COMMON STOCKS
(Identified Cost $42,404,267)				46,254,392
CORPORATE BONDS - 15.8%
Non-Convertible Corporate Bonds - 15.8%
Communication Services - 3.5%
Diversified Telecommunication Services - 1.6%
AT&T, Inc.1, 4.25%, 3/1/2027		600,000		661,222
Verizon Communications, Inc., 5.25%, 3/16/2037		790,000		1,052,279
				1,713,501
Interactive Media & Services - 0.6%
Tencent Holdings Ltd. (China)2, 3.975%, 4/11/2029		620,000		697,534
Media - 1.2%
Altice Financing S.A. (Luxembourg)2, 7.50%, 5/15/2026		20,000		20,850
CCO Holdings LLC - CCO Holdings Capital Corp.2, 4.50%, 8/15/2030		20,000		20,256
Comcast Corp., 3.25%, 11/1/2039		620,000		675,490
Discovery Communications LLC, 5.20%, 9/20/2047		550,000		626,426
Townsquare Media, Inc.2, 6.50%, 4/1/2023		25,000		22,102
				1,365,124

	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Communication Services (continued)
Wireless Telecommunication Services - 0.1%
Sprint Communications, Inc., 7.00%, 8/15/2020		20,000	$	20,175
Sprint Corp., 7.25%, 9/15/2021		10,000		10,488
Sprint Corp., 7.125%, 6/15/2024		30,000		33,676
				64,339
Total Communication Services				3,840,498
Consumer Discretionary - 2.0%
Auto Components - 0.0%##
Techniplas LLC2, 10.00%, 5/1/2020		10,000		1,775
Automobiles - 0.0%##
Ford Motor Co., 9.625%, 4/22/2030		15,000		14,944
Diversified Consumer Services - 0.0%##
Carriage Services, Inc.2, 6.625%, 6/1/2026		20,000		19,722
Household Durables - 0.1%
Foxtrot Escrow Issuer LLC - Foxtrot Escrow Corp.2, 12.25%, 11/15/2026		25,000		20,625
LGI Homes, Inc.2, 6.875%, 7/15/2026		35,000		32,594
TRI Pointe Group, Inc. - TRI Pointe Homes, Inc., 5.875%, 6/15/2024		15,000		14,552
Weekley Homes LLC - Weekley Finance Corp., 6.625%, 8/15/2025		15,000		13,506
				81,277
Internet & Direct Marketing Retail - 1.5%
Alibaba Group Holding Ltd. (China), 3.40%, 12/6/2027		470,000		510,684
Booking Holdings, Inc., 3.60%, 6/1/2026		800,000		835,991
Expedia Group, Inc.2, 6.25%, 5/1/2025		290,000		295,742
Photo Holdings Merger Sub, Inc.2, 8.50%, 10/1/2026		30,000		25,976
				1,668,393
Multiline Retail - 0.0%##
Staples, Inc.2, 7.50%, 4/15/2026		20,000		15,800

The accompanying notes are an integral part of the financial statements.

24 

Investment Portfolio - April 30, 2020
(unaudited)

BLENDED ASSET MODERATE SERIES	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds(continued)
Consumer Discretionary (continued)
Specialty Retail - 0.4%
The TJX Cos, Inc., 3.50%, 4/15/2025		380,000	$	409,813
Total Consumer Discretionary				2,211,724
Consumer Staples - 0.6%
Beverages - 0.6%
Keurig Dr Pepper, Inc., 3.20%, 5/1/2030		590,000		628,555
Food & Staples Retailing - 0.0%##
KeHE Distributors LLC - KeHE Finance Corp.2, 8.625%, 10/15/2026		10,000		10,575
Total Consumer Staples				639,130
Energy - 2.3%
Energy Equipment & Services - 0.0%##
Oceaneering International, Inc., 6.00%, 2/1/2028		30,000		15,412
Oil, Gas & Consumable Fuels - 2.3%
Antero Midstream Partners LP - Antero Midstream Finance Corp.2, 5.75%, 3/1/2027		20,000		14,800
Antero Midstream Partners LP - Antero Midstream Finance Corp.2, 5.75%, 1/15/2028		10,000		7,350
Bruin E&P Partners LLC1,4, 8.875%, 8/1/2023		40,000		1,000
Calumet Specialty Products Partners LP - Calumet Finance Corp.2, 11.00%, 4/15/2025		15,000		11,625
Cheniere Energy Partners LP, 5.625%, 10/1/2026		35,000		33,446
CVR Energy, Inc.2, 5.75%, 2/15/2028		25,000		21,138
Energy Transfer Operating LP, 6.50%, 2/1/2042		420,000		423,553
Genesis Energy LP - Genesis Energy Finance Corp., 7.75%, 2/1/2028		15,000		12,750
HollyFrontier Corp., 5.875%, 4/1/2026		30,000		30,681
Jonah Energy LLC - Jonah Energy Finance Corp.5, 7.25%, 10/15/2025		20,000		350
Kinder Morgan Energy Partners LP, 6.95%, 1/15/2038		510,000		608,040
Laredo Petroleum, Inc., 10.125%, 1/15/2028		15,000		6,111

	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds(continued)
Energy(continued)
Oil, Gas & Consumable Fuels(continued)
Lonestar Resources America, Inc.2, 11.25%, 1/1/2023		40,000	$	5,000
Moss Creek Resources Holdings, Inc.2, 7.50%, 1/15/2026		10,000		3,350
NuStar Logistics LP, 6.75%, 2/1/2021		10,000		9,650
PBF Holding Co. LLC - PBF Finance Corp.2, 6.00%, 2/15/2028		20,000		14,238
Sabine Pass Liquefaction LLC, 5.875%, 6/30/2026		780,000		832,554
Whiting Petroleum Corp.6,7, 5.75%, 3/15/2021		15,000		1,500
The Williams Companies, Inc., 3.75%, 6/15/2027		480,000		479,264
				2,516,400
Total Energy				2,531,812
Financials - 2.9%
Banks - 2.7%
Bank of America Corp.1, 4.00%, 1/22/2025		930,000		1,004,773
CIT Group, Inc., 4.125%, 3/9/2021		25,000		24,562
Citigroup, Inc., 4.45%, 9/29/2027		650,000		712,036
Fidelity & Guaranty Life Holdings, Inc.2, 5.50%, 5/1/2025		30,000		31,688
JPMorgan Chase & Co.8, (3 mo. LIBOR US + 1.000%), 4.023%, 12/5/2024		470,000		508,749
Popular, Inc., 6.125%, 9/14/2023		20,000		19,250
Santander Holdings USA, Inc., 4.50%, 7/17/2025		620,000		638,467
				2,939,525
Capital Markets - 0.1%
Advisor Group Holdings, Inc.2, 10.75%, 8/1/2027		15,000		11,374
Donnelley Financial Solutions, Inc., 8.25%, 10/15/2024		40,000		37,200
Oaktree Specialty Lending Corp., 3.50%, 2/25/2025		25,000		22,889
				71,463
Consumer Finance - 0.1%
Credit Acceptance Corp.2, 5.125%, 12/31/2024		10,000		8,775
Discover Financial Services, 4.50%, 1/30/2026		20,000		20,798
Navient Corp., 5.00%, 10/26/2020		15,000		14,708
Navient Corp., 6.75%, 6/25/2025		35,000		32,375

The accompanying notes are an integral part of the financial statements.

25 

Investment Portfolio - April 30, 2020
(unaudited)

BLENDED ASSET MODERATE SERIES	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
CORPORATE BONDS(continued)
Non-Convertible Corporate Bonds(continued)
Financials(continued)
Consumer Finance (continued)
SLM Corp., 5.125%, 4/5/2022		20,000	$	18,320
Springleaf Finance Corp., 7.125%, 3/15/2026		20,000		18,850
				113,826
Diversified Financial Services - 0.0%##
VistaJet Malta Finance plc - XO Management Holding, Inc. (Switzerland)2, 10.50%, 6/1/2024		40,000		31,900
Mortgage Real Estate Investment Trusts (REITS) - 0.0%##
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp.2, 5.875%, 8/1/2021		25,000		22,125
Starwood Property Trust, Inc., 3.625%, 2/1/2021		30,000		28,200
				50,325
Thrifts & Mortgage Finance - 0.0%##
Acrisure LLC - Acrisure Finance, Inc.2, 7.00%, 11/15/2025		10,000		8,850
Radian Group, Inc., 4.875%, 3/15/2027		35,000		30,697
				39,547
Total Financials				3,246,586
Health Care - 0.5%
Health Care Providers & Services - 0.5%
HCA, Inc., 4.125%, 6/15/2029		470,000		508,445
Industrials - 1.9%
Aerospace & Defense - 0.0%##
Howmet Aerospace, Inc., 6.875%, 5/1/2025		35,000		35,692
Air Freight & Logistics - 0.0%##
Cargo Aircraft Management, Inc.2, 4.75%, 2/1/2028		30,000		28,012
Airlines - 0.5%
Southwest Airlines Co., 5.25%, 5/4/2025		560,000		557,939
Building Products - 0.0%##
Griffon Corp., 5.75%, 3/1/2028		20,000		19,050
Commercial Services & Supplies - 0.1%
The ADT Security Corp., 6.25%, 10/15/2021		10,000		10,284
Prime Security Services Borrower LLC - Prime Finance, Inc.2, 5.25%, 4/15/2024		20,000		19,594

	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds(continued)
Industrials(continued)
Commercial Services & Supplies(continued)
Prime Security Services Borrower LLC - Prime Finance, Inc.2, 5.75%, 4/15/2026		20,000	$	19,706
Prime Security Services Borrower LLC - Prime Finance, Inc.2, 6.25%, 1/15/2028		25,000		22,182
Stericycle, Inc.2, 5.375%, 7/15/2024		20,000		20,057
				91,823
Construction & Engineering - 0.0%##
HC2 Holdings, Inc.2, 11.50%, 12/1/2021		10,000		8,700
Tutor Perini Corp.2, 6.875%, 5/1/2025		25,000		19,688
				28,388
Industrial Conglomerates - 0.4%
General Electric Co.8,9, (3 mo. LIBOR US + 3.330%), 5.00%		460,000		376,912
Marine - 0.0%##
American Tanker, Inc. (Norway)2, 9.25%, 2/22/2022		15,000		15,000
Trading Companies & Distributors - 0.9%
AerCap Ireland Capital DAC - AerCap Global Aviation Trust (Ireland)1, 4.45%, 10/1/2025		770,000		677,638
Air Lease Corp., 3.25%, 3/1/2025		25,000		22,458
Avolon Holdings Funding Ltd. (Ireland)2, 3.25%, 2/15/2027		290,000		224,438
Fortress Transportation & Infrastructure Investors LLC2, 6.50%, 10/1/2025		30,000		24,600
				949,134
Total Industrials				2,101,950
IT Services - 0.0%##
Science Applications International Corp.2, 4.875%, 4/1/2028		25,000		24,483
Materials - 0.1%
Chemicals - 0.0%##
CF Industries, Inc., 3.45%, 6/1/2023		10,000		10,125
PolyOne Corp.2, 5.75%, 5/15/2025		20,000		20,250
				30,375
Containers & Packaging - 0.0%##
Berry Global, Inc.2, 4.50%, 2/15/2026		20,000		19,742

The accompanying notes are an integral part of the financial statements.

26 

Investment Portfolio - April 30, 2020
(unaudited)

BLENDED ASSET MODERATE SERIES	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds(continued)
Materials(continued)
Containers & Packaging(continued)
Graphic Packaging International LLC, 4.75%, 4/15/2021		15,000	$	15,098
				34,840
Metals & Mining - 0.1%
Compass Minerals International, Inc.2, 6.75%, 12/1/2027		15,000		14,850
IAMGOLD Corp. (Canada)2, 7.00%, 4/15/2025		45,000		45,355
Infrabuild Australia Pty Ltd. (Australia)2, 12.00%, 10/1/2024		15,000		12,750
Kinross Gold Corp. (Canada), 4.50%, 7/15/2027		10,000		10,519
Mountain Province Diamonds, Inc. (Canada)2, 8.00%, 12/15/2022		10,000		6,300
Northwest Acquisitions ULC - Dominion Finco, Inc.10, 7.125%, 11/1/2022		20,000		2,050
				91,824
Total Materials				157,039
Real Estate - 1.4%
Equity Real Estate Investment Trusts (REITS) - 1.4%
American Tower Corp., 3.80%, 8/15/2029		620,000		693,069
Camden Property Trust, 2.80%, 5/15/2030		590,000		611,936
Crown Castle International Corp., 3.10%, 11/15/2029		30,000		32,020
GTP Acquisition Partners I LLC2, 2.35%, 6/15/2020		92,000		92,687
HAT Holdings I LLC - HAT Holdings II LLC2, 6.00%, 4/15/2025		35,000		35,000
Iron Mountain, Inc., 5.75%, 8/15/2024		20,000		19,650
				1,484,362
Real Estate Management & Development - 0.0%##
Five Point Operating Co. LP - Five Point Capital Corp.2, 7.875%, 11/15/2025		15,000		14,494

	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds(continued)
Real Estate (continued)
Real Estate Management & Development(continued)
Forestar Group, Inc.2, 5.00%, 3/1/2028		25,000	$	21,812
				36,306
Total Real Estate				1,520,668
Utilities - 0.6%
Electric Utilities - 0.4%
Dominion Energy, Inc., 3.375%, 4/1/2030		380,000		413,166
NextEra Energy Operating Partners LP2, 4.25%, 7/15/2024		10,000		10,178
				423,344
Independent Power and Renewable Electricity Producers - 0.2%
Drax Finco plc (United Kingdom)2, 6.625%, 11/1/2025		200,000		204,000
Vistra Operations Co. LLC2, 5.625%, 2/15/2027		20,000		21,050
				225,050
Total Utilities				648,394
TOTAL CORPORATE BONDS
(Identified Cost $17,188,901)				17,430,729
U.S. TREASURY SECURITIES - 22.8%
U.S. Treasury Bonds - 4.5%
U.S. Treasury Bond, 2.50%, 2/15/2045		812,000		1,024,896
U.S. Treasury Bond, 3.00%, 5/15/2047		982,000		1,372,307
U.S. Treasury Inflation Indexed Bond, 2.00%, 1/15/2026		2,215,627		2,511,863
Total U.S. Treasury Bonds
(Identified Cost $4,195,101)				4,909,066
U.S. Treasury Notes - 18.3%
U.S. Treasury Floating Rate Note11, (3 mo. US Treasury Bill Yield + 0.300%), 0.41%, 10/31/2021		2,140,000		2,147,562
U.S. Treasury Inflation Indexed Note, 0.50%, 4/15/2024		1,646,168		1,688,395
U.S. Treasury Note, 2.375%, 8/15/2024		7,105,000		7,723,912
U.S. Treasury Note, 2.125%, 5/15/2025		3,910,000		4,251,209

The accompanying notes are an integral part of the financial statements.

27 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET MODERATE SERIES
	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes (continued)
U.S. Treasury Note, 1.625%, 5/15/2026		4,080,000	$	4,362,891
Total U.S. Treasury Notes
(Identified Cost $19,923,267)				20,173,969
TOTAL U.S. TREASURY SECURITIES
(Identified Cost $24,118,368)				25,083,035
ASSET-BACKED SECURITIES - 5.9%
Cazenovia Creek Funding II LLC, Series 2018-1A, Class A1,2, 3.561%, 7/15/2030		134,859		133,010
CCG Receivables Trust, Series 2019-1, Class A22, 2.80%, 9/14/2026		478,002		480,941
Chesapeake Funding II LLC, Series 2017-4A, Class A1 (Canada)1,2, 2.12%, 11/15/2029		236,687		234,366
Commonbond Student Loan Trust, Series 2019-AGS, Class A12, 2.54%, 1/25/2047		315,622		322,646
Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A2, 2.01%, 2/15/2029		350,000		348,076
Enterprise Fleet Financing LLC, Series 2018-2, Class A22, 3.14%, 2/20/2024		283,795		284,762
Invitation Homes Trust, Series 2017-SFR2, Class A2,11, (1 mo. LIBOR US + 0.850%), 1.601%, 12/17/2036		82,511		79,772
Invitation Homes Trust, Series 2017-SFR2, Class B2,11, (1 mo. LIBOR US + 1.150%), 1.901%, 12/17/2036		65,000		61,694
Navient Private Education Refi Loan Trust, Series 2019-CA, Class A12, 2.82%, 2/15/2068		121,245		121,698
Navient Student Loan Trust, Series 2014-1, Class A311, (1 mo. LIBOR US + 0.510%), 0.997%, 6/25/2031		259,244		247,578
Nelnet Student Loan Trust, Series 2012-3A, Class A2,11, (1 mo. LIBOR US + 0.700%), 1.187%, 2/25/2045		327,575		308,865
Nelnet Student Loan Trust, Series 2013-5A, Class A2,11, (1 mo. LIBOR US + 0.630%), 1.117%, 1/25/2037		470,381		438,844

	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
ASSET-BACKED SECURITIES (continued)
Oxford Finance Funding LLC, Series 2020-1A, Class A22, 3.101%, 2/15/2028		300,000	$	295,717
Progress Residential Trust, Series 2019-SFR2, Class A2, 3.147%, 5/17/2036		285,000		292,914
SLM Student Loan Trust, Series 2005-7, Class A411, (3 mo. LIBOR US + 0.150%), 1.141%, 10/25/2029		253,432		246,418
SMB Private Education Loan Trust, Series 2020-A, Class A2A2, 2.23%, 9/15/2037		450,000		439,735
SoFi Consumer Loan Program LLC, Series 2016-1, Class A2, 3.26%, 8/25/2025		85,387		84,160
SoFi Consumer Loan Program LLC, Series 2016-5, Class A2, 3.06%, 9/25/2028		34,855		34,585
SoFi Consumer Loan Program Trust, Series 2019-2, Class A2, 3.01%, 4/25/2028		127,442		127,514
SoFi Consumer Loan Program Trust, Series 2019-3, Class A2, 2.90%, 5/25/2028		164,041		163,356
SoFi Professional Loan Program LLC, Series 2016-E, Class A2B2, 2.49%, 1/25/2036		217,312		217,553
SoFi Professional Loan Program LLC, Series 2017-F, Class A1FX2, 2.05%, 1/25/2041		2,192		2,192
SoFi Professional Loan Program LLC, Series 2017-F, Class A2FX2, 2.84%, 1/25/2041		75,000		75,998
SoFi Professional Loan Program LLC, Series 2018-A, Class A2A2, 2.39%, 2/25/2042		32,285		32,327
SoFi Professional Loan Program Trust, Series 2018-B, Class A2FX2, 3.34%, 8/25/2047		250,000		252,295
SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX2, 2.54%, 5/15/2046		215,000		213,165
Towd Point Mortgage Trust, Series 2016-5, Class A12,12, 2.50%, 10/25/2056		178,324		177,632
Towd Point Mortgage Trust, Series 2017-1, Class A12,12, 2.75%, 10/25/2056		172,498		173,426
Towd Point Mortgage Trust, Series 2019-HY1, Class A12,11, (1 mo. LIBOR US + 1.000%), 1.487%, 10/25/2048		151,630		149,701

The accompanying notes are an integral part of the financial statements.

28 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET MODERATE SERIES
	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
ASSET-BACKED SECURITIES (continued)
Tricon American Homes Trust, Series 2016-SFR1, Class A2, 2.589%, 11/17/2033		220,723	$	221,192
Tricon American Homes Trust, Series 2017-SFR2, Class A2, 2.928%, 1/17/2036		238,935		242,859
TOTAL ASSET-BACKED SECURITIES
(Identified Cost $6,556,298)				6,504,991
COMMERCIAL MORTGAGE-BACKED SECURITIES - 5.9%
CIM Trust, Series 2019-INV1, Class A12,12, 4.00%, 2/25/2049		85,562		86,696
Credit Suisse Mortgage Capital Trust, Series 2013-7, Class A62,12, 3.50%, 8/25/2043		515,401		519,259
Credit Suisse Mortgage Capital Trust, Series 2013-IVR2, Class A22,12, 3.00%, 4/25/2043		410,488		419,663
Credit Suisse Mortgage Capital Trust, Series 2013-IVR3, Class A11,2,12, 2.50%, 5/25/2043		139,970		136,723
Credit Suisse Mortgage Capital Trust, Series 2013-TH1, Class A12,12, 2.13%, 2/25/2043		95,315		92,145
Credit Suisse Mortgage Capital Trust, Series 2014-IVR3, Class A11,2,12, 3.50%, 7/25/2044		216,525		219,640
Fannie Mae REMICS, Series 2018-31, Class KP, 3.50%, 7/25/2047		176,200		182,521
Fannie Mae-Aces, Series 2017-M15, Class A112, 3.058%, 9/25/2027		274,827		297,709
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class A2, 3.144%, 12/10/2036		290,000		277,034
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K009, Class X1 (IO)12, 1.375%, 8/25/2020		1,803,923		3,032
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K021, Class X1 (IO)12, 1.551%, 6/25/2022		1,827,945		44,664
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K030, Class X1 (IO)12, 0.291%, 4/25/2023		9,451,172		45,268
Freddie Mac REMICS, Series 4791, Class BA, 4.00%, 3/15/2044		177,641		183,852
Freddie Mac REMICS, Series 4801, Class BA, 4.50%, 5/15/2044		132,548		136,264

	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
FREMF Mortgage Trust, Series 2013-K28, Class X2A (IO)2, 0.10%, 6/25/2046		23,554,789	$	51,232
FREMF Mortgage Trust, Series 2014-K37, Class B2,12, 4.715%, 1/25/2047		320,000		339,062
Government National Mortgage Association, Series 2017-54, Class AH, 2.60%, 12/16/2056		282,273		292,574
GS Mortgage Securities Corp. Trust, Series 2019-70P, Class A2,11, (1 mo. LIBOR US + 1.000%), 1.814%, 10/15/2036		300,000		282,547
JP Morgan Mortgage Trust, Series 2013-2, Class A22,12, 3.50%, 5/25/2043		78,916		81,041
JP Morgan Mortgage Trust, Series 2014-2, Class 1A12,12, 3.00%, 6/25/2029		102,566		103,862
New Residential Mortgage Loan Trust, Series 2014-3A, Class AFX32,12, 3.75%, 11/25/2054		77,604		79,231
New Residential Mortgage Loan Trust, Series 2015-2A, Class A12,12, 3.75%, 8/25/2055		102,350		104,470
New Residential Mortgage Loan Trust, Series 2016-4A, Class A12,12, 3.75%, 11/25/2056		112,384		114,583
PMT Loan Trust, Series 2013-J1, Class A92,12, 3.50%, 9/25/2043		280,401		288,783
Sequoia Mortgage Trust, Series 2013-2, Class A12, 1.874%, 2/25/2043		88,417		86,525
Sequoia Mortgage Trust, Series 2013-6, Class A212, 3.00%, 5/25/2043		237,938		243,154
Sequoia Mortgage Trust, Series 2013-8, Class A112, 3.00%, 6/25/2043		115,054		117,371
Sequoia Mortgage Trust, Series 2017-6, Class A192,12, 3.50%, 9/25/2047		503,204		502,818
Sequoia Mortgage Trust, Series 2020-1, Class A12,12, 3.50%, 2/25/2050		370,791		376,037
Starwood Retail Property Trust, Series 2014-STAR, Class A2,11, (1 mo. LIBOR US + 1.470%), 2.284%, 11/15/2027		303,129		283,169
Sutherland Commercial Mortgage Trust, Series 2019-SBC8, Class A2,12, 2.86%, 4/25/2041		244,408		245,263

The accompanying notes are an integral part of the financial statements.

29 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET MODERATE SERIES
	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Waikiki Beach Hotel Trust, Series 2019-WBM, Class A2,11, (1 mo. LIBOR US + 1.050%), 1.864%, 12/15/2033		205,000	$	188,218
WinWater Mortgage Loan Trust, Series 2015-3, Class A52,12, 3.50%, 3/20/2045		38,368		38,305
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Identified Cost $6,484,759)				6,462,715
FOREIGN GOVERNMENT BONDS - 0.8%
Canadian Government Bond (Canada), 2.75%, 6/1/2022	CAD	67,000		50,591
Export-Import Bank of Korea (South Korea), 2.625%, 12/30/2020		500,000		503,341
Mexican Government Bond (Mexico), 8.00%, 6/11/2020	MXN	1,338,000		55,596
Mexican Government Bond (Mexico), 6.50%, 6/10/2021	MXN	540,000		22,669
Mexican Government Bond (Mexico), 6.50%, 6/9/2022	MXN	879,000		37,362
Mexican Government Bond  (Mexico), 7.75%, 5/29/2031	MXN	169,000		7,444
Republic of Italy Government International Bond (Italy), 2.375%, 10/17/2024		200,000		195,262
TOTAL FOREIGN GOVERNMENT BONDS
(Identified Cost $904,766)				872,265
U.S. GOVERNMENT AGENCIES - 6.7%
Mortgage-Backed Securities - 6.7%
Fannie Mae, Pool #888468, UMBS, 5.50%, 9/1/2021		6,549		6,636
Fannie Mae, Pool #888810, UMBS, 5.50%, 11/1/2022		7,318		7,419
Fannie Mae, Pool #MA3463, UMBS, 4.00%, 9/1/2033		195,978		207,285
Fannie Mae, Pool #MA1834, UMBS, 4.50%, 2/1/2034		79,519		87,411
Fannie Mae, Pool #MA1903, UMBS, 4.50%, 5/1/2034		76,441		84,028
Fannie Mae, Pool #745418, UMBS, 5.50%, 4/1/2036		67,972		77,692
Fannie Mae, Pool #MA3412, UMBS, 3.50%, 7/1/2038		340,922		359,734
Fannie Mae, Pool #MA0258, UMBS, 4.50%, 12/1/2039		113,135		125,632

	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Fannie Mae, Pool #AL0152, UMBS, 6.00%, 6/1/2040		98,556	$	113,811
Fannie Mae, Pool #AL0241, UMBS, 4.00%, 4/1/2041		147,048		160,946
Fannie Mae, Pool #AL1410, UMBS, 4.50%, 12/1/2041		192,802		213,771
Fannie Mae, Pool #AL7068, UMBS, 4.50%, 9/1/2042		224,264		248,976
Fannie Mae, Pool #AL7729, UMBS, 4.00%, 6/1/2043		120,023		131,285
Fannie Mae, Pool #BD1381, UMBS, 3.50%, 6/1/2046		124,414		132,628
Fannie Mae, Pool #BJ1323, UMBS, 3.50%, 11/1/2047		513,212		551,703
Fannie Mae, Pool #CA1720, UMBS, 5.00%, 5/1/2048		291,141		325,948
Fannie Mae, Pool #FM2232, UMBS, 4.00%, 6/1/2048		510,254		545,814
Fannie Mae, Pool #CA2056, UMBS, 4.50%, 7/1/2048		273,964		295,657
Fannie Mae, Pool #BK9366, UMBS, 4.50%, 8/1/2048		83,166		89,676
Fannie Mae, Pool #MA3527, UMBS, 5.00%, 11/1/2048		321,352		349,206
Fannie Mae, Pool #AL8674, 5.645%, 1/1/2049		250,704		291,726
Fannie Mae, Pool #MA3996, 2.50%, 4/1/2050		299,534		306,896
Freddie Mac, Pool #C91762, 4.50%, 5/1/2034		105,587		116,099
Freddie Mac, Pool #G03926, 6.00%, 2/1/2038		28,262		32,619
Freddie Mac, Pool #G04731, 5.50%, 4/1/2038		30,139		34,425
Freddie Mac, Pool #G08273, 5.50%, 6/1/2038		38,412		43,866
Freddie Mac, Pool #G60480, 4.50%, 11/1/2045		525,606		582,431
Freddie Mac, Pool #Q37592, 4.00%, 12/1/2045		239,469		260,626
Freddie Mac, Pool #G08772, 4.50%, 7/1/2047		219,373		236,378
Freddie Mac, Pool #ZS4751, UMBS, 3.50%, 1/1/2048		517,214		549,587
Freddie Mac, Pool #Q59805, 4.50%, 11/1/2048		156,933		169,261
Freddie Mac, Pool #G61887, 5.00%, 2/1/2049		225,270		244,655

The accompanying notes are an integral part of the financial statements.

30 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET MODERATE SERIES	PRINCIPAL AMOUNT3/ SHARES		VALUE (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Freddie Mac, Pool #ZN4802, UMBS, 4.00%, 4/1/2049		376,596	$	401,371
TOTAL U.S. GOVERNMENT AGENCIES
(Identified Cost $7,102,835)				7,385,198
SHORT-TERM INVESTMENT - 2.2%
Dreyfus Government Cash Management, Institutional Shares, 0.17%13
(Identified Cost $2,474,492)		2,474,492		2,474,492
TOTAL INVESTMENTS IN SECURITIES - 102.2%
(Identified Cost $107,234,686)				112,467,817

	VALUE (NOTE 2)
TOTAL OPTIONS
WRITTEN — (0.0%)**
(Premiums Received $10,256)	$	(8,835	)
TOTAL INVESTMENTS - 102.2%		112,458,982
LIABILITIES, LESS OTHER ASSETS - (2.2%)		(2,467,533	)
NET ASSETS - 100%	$	109,991,449

ADR - American Depositary Receipt

CAD - Canadian Dollar

IO - Interest only

LIBOR - London Interbank Offered Rate

MXN - Mexican Peso

UMBS - Uniform Mortgage-Backed Securities

EXCHANGE-TRADED OPTIONS WRITTEN
DESCRIPTION	NUMBER OF CONTRACTS	EXPIRATION DATE	EXERCISE PRICE	NOTIONAL AMOUNT (000)3	VALUE
Call
Amazon.com, Inc.	1	05/01/2020	$2,590.00	247		$	(2,515	)
Facebook, Inc. - Class A	9	05/01/2020	207.50	184	(990			)
Booking Holdings, Inc.	1	05/15/2020	1,510.00	148		(4,480		)
						(7,985		)
Put
Charter Communications, Inc. - Class A	5	05/08/2020	460.00	248	(850			)
TOTAL EXCHANGE-TRADED OPTIONS WRITTEN (PREMIUMS RECEIVED $10,256)						$	(8,835	)

* Non-income producing security.

** Less than (0.1%).

## Less than 0.1%.

¹ A portion of this security is designated as collateral for options contracts written. As of April 30, 2020, the total value of such securities was $6,280,283.

² Restricted 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 under the Fund’s Liquidity Risk Management Program. These securities amount to $13,217,272, or 12.0% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

³ Amount is stated in USD unless otherwise noted.

⁴ Restricted security - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security was acquired on January 17, 2019 and March 26, 2020 at a cost of $9,438 ($94.38 per share) and cost of $3,150 ($10.50 per share), respectively. This security has been sold under rule 144A and has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $1,000, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁵ Restricted security - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security was acquired on November 28, 2017 at a cost of $20,200 ($101.00 per share). This security has been sold under rule 144A and has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $350, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁶ Illiquid security - This security was acquired on January 8, 2020 and February 5, 2020 at a cost of $9,894 ($98.94 per share) and cost of $4,662 ($93.25 per share), respectively. This security has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $1,500, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁷ Issuer filed for bankruptcy and/or is in default of interest payments.

⁸ Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of April 30, 2020.

⁹ Security is perpetual in nature and has no stated maturity date.

The accompanying notes are an integral part of the financial statements.

31 

Investment Portfolio - April 30, 2020

(unaudited)

¹⁰ Restricted security - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security was acquired on September 6, 2018 at a cost of $20,484 ($102.42 per share). This security has been sold under rule 144A and has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $2,050, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

¹¹ Floating rate security. Rate shown is the rate in effect as of April 30, 2020.

¹² Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of April 30, 2020.

¹³ Rate shown is the current yield as of April 30, 2020.

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 S&P Global 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.

32 

Statement of Assets and Liabilities - Blended Asset Moderate Series 
April 30, 2020 (unaudited)

ASSETS:
Investments in securities, at value (identified cost $107,234,686) (Note 2)	$	112,467,817
Receivable for securities sold		526,815
Interest receivable		370,592
Foreign tax reclaims receivable		33,052
Dividends receivable		24,325
Receivable for fund shares sold		6,015
Prepaid expenses		843
TOTAL ASSETS		113,429,459
LIABILITIES:
Accrued management fees (Note 3)		25,887
Accrued fund accounting and administration fees (Note 3)		22,684
Accrued Chief Compliance Officer service fees (Note 3)		956
Options written, at value (premiums received $10,256) (Note 2)		8,835
Payable for securities purchased		3,292,369
Payable for fund shares repurchased		43,666
Other payables and accrued expenses		43,613
TOTAL LIABILITIES		3,438,010
TOTAL NET ASSETS	$	109,991,449
NET ASSETS CONSIST OF:
Capital stock	$	93,443
Additional paid-in-capital		102,911,092
Total distributable earnings (loss)		6,986,914
TOTAL NET ASSETS	$	109,991,449
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE -
Class R6 ($109,991,449/9,344,254 shares)	$	11.77

The accompanying notes are an integral part of the financial statements. 

33 

Statement of Operations - Blended Asset Moderate Series

For the Six Months Ended April 30, 2020 (unaudited)

INVESTMENT INCOME:
Interest	$	814,620
Dividends (net of foreign taxes withheld, $28,710)		322,379
Total Investment Income		1,136,999
EXPENSES:
Management fees (Note 3)		230,795
Fund accounting and administration fees (Note 3)		38,991
Directors’ fees (Note 3)		4,613
Chief Compliance Officer service fees (Note 3)		1,438
Audit fees		25,991
Custodian fees		17,208
Miscellaneous		19,150
Total Expenses		338,186
Less reduction of expenses (Note 3)		(81,747	)
Net Expenses		256,439
NET INVESTMENT INCOME		880,560
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on-
Investments in securities		2,336,400
Options written		80,249
Foreign currency and translation of other assets and liabilities		(6,494	)
		2,410,155
Net change in unrealized appreciation (depreciation) on-
Investments in securities		(648,861	)
Options written		11,918
Foreign currency and translation of other assets and liabilities		705
		(636,238	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY		1,773,917
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	2,654,477

The accompanying notes are an integral part of the financial statements. 

34 

Statements of Changes in Net Assets - Blended Asset Moderate Series

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	880,560		$	1,955,884
Net realized gain (loss) on investments and foreign currency		2,410,155			(102,654	)
Net change in unrealized depreciation on investments and foreign currency		(636,238	)		8,224,304
Net increase (decrease) from operations		2,654,477			10,077,534
DISTRIBUTIONS TO SHAREHOLDERS (Note 9):
Class R6		(1,153,228	)		(2,137,657	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase (decrease) from capital share transactions (Note 5)		13,723,312			(28,145,069	)
Net increase (decrease) in net assets		15,224,561			(20,205,192	)
NET ASSETS:
Beginning of period		94,766,888			114,972,080
End of period	$	109,991,449		$	94,766,888

The accompanying notes are an integral part of the financial statements.

35 

Financial Highlights - Blended Asset Moderate Series - Class R6

	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED						FOR THE PERIOD
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/13/171TO 10/31/17
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$11.57			$10.50			$10.73			$10.75
Income (loss) from investment operations:
Net investment income2		0.10			0.23			0.19			0.00	3
Net realized and unrealized gain (loss) on investments		0.24			1.06			(0.32	)		(0.02	)
Total from investment operations		0.34			1.29			(0.13	)		(0.02	)
Less distributions to shareholders:
From net investment income		(0.14	)		(0.22	)		(0.10	)		—
Net asset value - End of period		$11.77			$11.57			$10.50			$10.73
Net assets - End of period (000’s omitted)		$109,991			$94,767			$114,972			$115,371
Total return4		2.98%			12.44%			(1.25%	)		(0.19%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.50%5			0.50%			0.50%			0.50%5
Net investment income		1.72%5			2.05%			1.77%			0.85%5
Series portfolio turnover		64%			88%			91%			4%
*The investment advisor did not impose all or a portion of its management and/or other fees during the period, and 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:
		0.16%5			0.20%			0.12%			0.99%5

¹Commencement of operations.

²Calculated based on average shares outstanding during the periods.

³Less than $0.01.

⁴Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁵Annualized.

The accompanying notes are an integral part of the financial statements.

36 

Shareholder Expense Example - Blended Asset Extended Series

(unaudited)

As a shareholder of the Series, you incur ongoing costs, including management fees, shareholder service 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 (November 1, 2019 to April 30, 2020).

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 such as sales charges (loads), redemption fees, or exchange fees that you may incur in other mutual funds. 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.

	BEGINNING ACCOUNT VALUE 11/1/19	ENDING ACCOUNT VALUE 4/30/20	EXPENSES PAID DURING PERIOD 11/1/19-4/30/20*
Actual	$1,000.00	$1,037.10	$2.79
Hypothetical (5% return before expenses)	$1,000.00	$1,022.13	$2.77

*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 0.55%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). The Series’ total return would have been lower had certain expenses not been waived or reimbursed during the period.

37 

Portfolio Composition - Blended Asset Extended Series 

As of April 30, 2020 (unaudited)

Asset Allocation¹

¹ 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 long-term obligation of the U.S. Treasury issued with a maturity period between one and ten years.

Sector Allocation4
Communication Services	11.3	%
Consumer Discretionary	9.1	%
Information Technology	9.1	%
Consumer Staples	7.0	%
Health Care	6.7	%
Energy	6.4	%
Financials	6.2	%
Real Estate	5.4	%
Industrials	4.0	%
Materials	1.8	%
Utilities	0.4	%
4Including common stocks and corporate bonds, as a percentage of total investments.

Top Ten Stock Holdings5
Booking Holdings, Inc.	2.3	%
Mastercard, Inc. - Class A	2.2	%
Visa, Inc. - Class A	1.9	%
Nexon Co. Ltd. (Japan)	1.9	%
Johnson & Johnson	1.6	%
Novartis AG - ADR (Switzerland)	1.6	%
Amazon.com, Inc.	1.5	%
Unilever plc - ADR (United Kingdom)	1.5	%
Alphabet, Inc. - Class A	1.4	%
Micron Technology, Inc.	1.3	%
5 As a percentage of total investments.

38 

Investment Portfolio - April 30, 2020 

(unaudited)

BLENDED ASSET EXTENDED SERIES
	SHARES		VALUE (NOTE 2)
COMMON STOCKS - 55.9%
Communication Services - 8.7%
Entertainment - 4.1%
Activision Blizzard, Inc.1		24,670	$	1,572,219
Electronic Arts, Inc.*1		11,570		1,321,988
Nexon Co. Ltd. (Japan)		202,432		3,268,465
Sea Ltd. - ADR (Taiwan)*		2,060		114,495
The Walt Disney Co.		8,800		951,720
				7,228,887
Interactive Media & Services - 4.1%
Alphabet, Inc. - Class A*		1,855		2,498,128
Alphabet, Inc. - Class C*		335		451,801
Auto Trader Group plc (United Kingdom)2		11,380		65,509
Facebook, Inc. - Class A*		9,560		1,957,028
Tencent Holdings Ltd. - Class H (China)		39,950		2,100,149
				7,072,615
Media - 0.5%
Charter Communications, Inc. - Class A*		1,255		621,514
Comcast Corp. - Class A		1,436		54,037
Quebecor, Inc. - Class B (Canada)		3,645		79,371
Shaw Communications, Inc. - Class B (Canada)		6,875		112,167
				867,089
Total Communication Services				15,168,591
Consumer Discretionary - 7.6%
Distributors - 0.0%##
Genuine Parts Co.		164		13,002
Hotels, Restaurants & Leisure - 0.1%
Hilton Worldwide Holdings, Inc.		655		49,590
Restaurant Brands International, Inc. (Canada)		2,485		122,510
Wyndham Hotels & Resorts, Inc.		1,525		57,508
				229,608
Household Durables - 1.2%
Garmin Ltd.		133		10,794
Nikon Corp. (Japan)		111,600		1,038,083
Sony Corp. - ADR (Japan)		13,785		885,686
Sony Corp. (Japan)		1,500		96,531
				2,031,094
Internet & Direct Marketing Retail - 4.4%
Alibaba Group Holding Ltd. - ADR (China)*		5,010		1,015,377
Amazon.com, Inc.*		1,050		2,597,700

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Consumer Discretionary(continued)
Internet & Direct Marketing Retail (continued)
Booking Holdings, Inc.*		2,665	$	3,945,719
				7,558,796
Multiline Retail - 0.5%
B&M European Value Retail S.A. (United Kingdom)		25,450		106,430
Dollar Tree, Inc.*		9,700		772,799
				879,229
Specialty Retail - 0.1%
Best Buy Co., Inc.		239		18,338
The Home Depot, Inc.		434		95,406
Industria de Diseno Textil S.A. (Spain)		4,485		114,872
				228,616
Textiles, Apparel & Luxury Goods - 1.3%
adidas AG (Germany)		4,005		916,879
lululemon athletica, Inc.*		6,110		1,365,463
VF Corp.		329		19,115
				2,301,457
Total Consumer Discretionary				13,241,802
Consumer Staples - 7.0%
Beverages - 3.0%
Ambev S.A. - ADR (Brazil)		21,825		46,924
Anheuser-Busch InBev S.A./N.V. (Belgium)		30,910		1,439,486
The Coca-Cola Co.		42,370		1,944,359
Constellation Brands, Inc. - Class A		105		17,292
Diageo plc (United Kingdom)		26,925		927,019
Molson Coors Beverage Co. - Class B		228		9,350
PepsiCo, Inc.		6,545		865,838
				5,250,268
Food & Staples Retailing - 0.1%
The Kroger Co.		643		20,325
Sysco Corp.		355		19,976
Walmart, Inc.		866		105,262
				145,563
Food Products - 2.3%
Archer-Daniels-Midland Co.		429		15,933
Conagra Brands, Inc.		457		15,282
Danone S.A. (France)		2,410		167,971
General Mills, Inc.		523		31,322
The Hershey Co.		162		21,454
Hormel Foods Corp.		314		14,711

The accompanying notes are an integral part of the financial statements.

39 

Investment Portfolio - April 30, 2020 

(unaudited)

BLENDED ASSET EXTENDED SERIES
	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Consumer Staples (continued)
Food Products (continued)
The J.M. Smucker Co.		119	$	13,674
Mondelez International, Inc. - Class A		32,435		1,668,456
Nestle S.A. (Switzerland)		19,440		2,058,891
Tyson Foods, Inc. - Class A		278		17,289
				4,024,983
Household Products - 0.1%
Colgate-Palmolive Co.		588		41,319
Kimberly-Clark Corp.		222		30,743
				72,062
Personal Products - 1.5%			��
Beiersdorf AG (Germany)		1,015		106,198
Unilever plc - ADR (United Kingdom)		49,325		2,558,488
				2,664,686
Total Consumer Staples				12,157,562
Energy - 4.8%
Energy Equipment & Services - 0.4%
Baker Hughes Co.		890		12,415
Schlumberger Ltd.1		35,765		601,567
				613,982
Oil, Gas & Consumable Fuels - 4.4%
BP plc - ADR (United Kingdom)		1,125		26,775
Cabot Oil & Gas Corp.		99,655		2,154,541
Cameco Corp. (Canada)1		12,800		127,488
Chevron Corp.		4,155		382,260
Concho Resources, Inc.		9,155		519,272
ConocoPhillips		22,192		934,283
EOG Resources, Inc.		20,374		967,969
Exxon Mobil Corp.		17,130		796,031
Marathon Petroleum Corp.		539		17,291
Pioneer Natural Resources Co.		5,920		528,715
Royal Dutch Shell plc - Class B - ADR (Netherlands)		7,690		245,849
TOTAL S.A. - ADR (France)		23,790		836,218
Tourmaline Oil Corp. (Canada)		16,235		160,956
Valero Energy Corp.		319		20,209
				7,717,857
Total Energy				8,331,839
Financials - 3.9%
Banks - 0.4%
Bank of America Corp.		3,152		75,806
The Bank Of N.T. Butterfield & Son Ltd. (Bermuda)		3,670		80,777

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Financials(continued)
Banks(continued)
Citigroup, Inc.		947	$	45,986
Fifth Third Bancorp		601		11,233
FinecoBank Banca Fineco S.p.A. (Italy)		16,410		182,835
JPMorgan Chase & Co.		1,042		99,782
The PNC Financial Services Group, Inc.		203		21,654
Regions Financial Corp.		900		9,675
Truist Financial Corp.		873		32,580
U.S. Bancorp		910		33,215
Wells Fargo & Co.		1,943		56,444
				649,987
Capital Markets - 2.4%
Cboe Global Markets, Inc.		12,510		1,243,244
CME Group, Inc.		3,990		711,058
Deutsche Boerse AG (Germany)		1,040		161,241
Intercontinental Exchange, Inc.		9,290		830,990
Moody’s Corp.		2,705		659,750
S&P Global, Inc.		2,160		632,621
				4,238,904
Diversified Financial Services - 0.9%
Berkshire Hathaway, Inc. - Class B*		8,500		1,592,560
Insurance - 0.2%
Admiral Group plc (United Kingdom)		8,560		249,785
The Allstate Corp.		212		21,565
Chubb Ltd.		253		27,327
Cincinnati Financial Corp.		118		7,764
The Hartford Financial Services Group, Inc.		309		11,739
The Travelers Companies, Inc.		171		17,307
				335,487
Total Financials				6,816,938
Health Care - 6.4%
Biotechnology - 1.1%
AbbVie, Inc.		720		59,184
BioMarin Pharmaceutical, Inc.*		12,930		1,189,819
Gilead Sciences, Inc.		753		63,252
Incyte Corp.*		6,380		623,071
				1,935,326
Health Care Equipment & Supplies - 1.3%
Alcon, Inc. (Switzerland)*		16,673		880,501
Getinge AB - Class B (Sweden)		6,080		116,537
Medtronic plc1		11,159		1,089,453

The accompanying notes are an integral part of the financial statements.

40 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET EXTENDED SERIES
	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Health Care Equipment & Supplies (continued)
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)		88,000	$	133,685
				2,220,176
Health Care Providers & Services - 0.0%##
Quest Diagnostics, Inc.		134		14,755
Life Sciences Tools & Services - 0.6%
Gerresheimer AG (Germany)		1,505		119,692
Thermo Fisher Scientific, Inc.		2,685		898,616
				1,018,308
Pharmaceuticals - 3.4%
Bristol-Myers Squibb Co.		1,066		64,823
Eli Lilly & Co.		318		49,176
Johnson & Johnson		18,520		2,778,741
Merck & Co., Inc.		1,051		83,386
Novartis AG - ADR (Switzerland)		31,890		2,702,040
Perrigo Co. plc1		2,060		109,798
Pfizer, Inc.		2,537		97,319
				5,885,283
Total Health Care				11,073,848
Industrials - 2.5%
Aerospace & Defense - 0.1%
Airbus SE (France)*		140		8,865
General Dynamics Corp.		175		22,858
Lockheed Martin Corp.		155		60,304
Raytheon Technologies Corp.		776		50,293
				142,320
Air Freight & Logistics - 0.0%##
C.H. Robinson Worldwide, Inc.		161		11,415
Airlines - 1.4%
easyJet plc (United Kingdom)		118,000		893,811
Ryanair Holdings plc - ADR (Ireland)*		23,675		1,502,652
				2,396,463
Building Products - 0.0%##
Johnson Controls International plc		679		19,766
Trane Technologies plc		155		13,550
				33,316
Commercial Services & Supplies - 0.6%
Bingo Industries Ltd. (Australia)		48,715		73,778
Copart, Inc.*		11,680		935,685

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Industrials (continued)
Commercial Services & Supplies (continued)
Waste Management, Inc.		290	$	29,006
				1,038,469
Electrical Equipment - 0.0%##
Eaton Corp. plc		309		25,802
Emerson Electric Co.		482		27,488
Rockwell Automation, Inc.		93		17,622
				70,912
Industrial Conglomerates - 0.1%
3M Co.		318		48,311
Honeywell International, Inc.		370		52,503
				100,814
Machinery - 0.1%
Caterpillar, Inc.		329		38,289
Cummins, Inc.		130		21,255
Dover Corp.		106		9,927
Illinois Tool Works, Inc.		212		34,450
Parker-Hannifin Corp.		92		14,547
Stanley Black & Decker, Inc.		112		12,342
The Weir Group plc (United Kingdom)		6,190		73,974
				204,784
Road & Rail - 0.0%##
Norfolk Southern Corp.		131		22,414
Union Pacific Corp.		351		56,086
				78,500
Trading Companies & Distributors - 0.1%
Brenntag AG (Germany)		2,385		107,988
Fastenal Co.		525		19,016
WW Grainger, Inc.		37		10,196
				137,200
Transportation Infrastructure - 0.1%
Grupo Aeroportuario del Centro Norte S.A.B. de C.V. (Mexico)		10,900		39,894
Grupo Aeroportuario del Pacifico S.A.B. de C.V. - ADR (Mexico)		610		37,820
Grupo Aeroportuario del Sureste S.A.B. de C.V. - ADR (Mexico)		430		42,875
				120,589
Total Industrials				4,334,782
Information Technology - 9.1%
Communications Equipment - 0.0%##
Cisco Systems, Inc.		1,823		77,259

The accompanying notes are an integral part of the financial statements.

41 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET EXTENDED SERIES
	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
IT Services - 5.2%
Accenture plc - Class A		770	$	142,596
Adyen N.V. (Netherlands)*2		55		54,317
Automatic Data Processing, Inc.		190		27,871
International Business Machines Corp.		459		57,632
Keywords Studios plc (Ireland)		2,135		42,771
Mastercard, Inc. - Class A		14,035		3,859,204
PayPal Holdings, Inc.*		11,675		1,436,025
Switch, Inc. - Class A		3,292		56,524
Visa, Inc. - Class A		18,650		3,333,128
				9,010,068
Semiconductors & Semiconductor Equipment - 1.5%
Analog Devices, Inc.		199		21,810
Intel Corp.		1,688		101,246
KLA Corp.		130		21,332
Micron Technology, Inc.*		46,970		2,249,393
QUALCOMM, Inc.		460		36,188
Skyworks Solutions, Inc.		118		12,258
Texas Instruments, Inc.		491		56,990
Xilinx, Inc.		162		14,159
				2,513,376
Software - 2.4%
Microsoft Corp.		10,010		1,793,892
Oracle Corp.		980		51,911
salesforce.com, Inc.*		8,450		1,368,478
ServiceNow, Inc.*		2,655		933,339
				4,147,620
Technology Hardware, Storage & Peripherals - 0.0%##
NetApp, Inc.		222		9,717
Total Information Technology				15,758,040
Materials - 1.7%
Chemicals - 0.6%
Akzo Nobel N.V. (Netherlands)		1,321		100,251
FMC Corp.		9,795		900,160
International Flavors & Fragrances, Inc.		79		10,351
Linde plc (United Kingdom)		204		37,534
LyondellBasell Industries N.V. - Class A		307		17,791
PPG Industries, Inc.		150		13,624
				1,079,711
Containers & Packaging - 1.0%
Graphic Packaging Holding Co.		125,960		1,681,566

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Materials (continued)
Metals & Mining - 0.1%
Lundin Mining Corp. (Chile)		14,920	$	73,102
Nucor Corp.		317		13,057
				86,159
Total Materials				2,847,436
Real Estate - 4.2%
Equity Real Estate Investment Trusts (REITS) - 4.2%
Acadia Realty Trust1		2,500		30,975
Agree Realty Corp.1		565		36,787
Alexandria Real Estate Equities, Inc.		360		56,552
American Campus Communities, Inc.		2,355		83,108
American Homes 4 Rent - Class A		3,000		72,420
American Tower Corp.		4,310		1,025,780
Americold Realty Trust		3,025		92,535
Apartment Investment & Management Co. - Class A		1,609		60,611
AvalonBay Communities, Inc.		785		127,916
Boston Properties, Inc.		417		40,524
Brandywine Realty Trust		3,910		43,636
Camden Property Trust		1,250		110,087
Community Healthcare Trust, Inc.		1,350		50,220
CoreSite Realty Corp.		240		29,086
Cousins Properties, Inc.		3,381		102,005
Crown Castle International Corp		590		94,064
Digital Realty Trust, Inc.1		1,175		175,651
Douglas Emmett, Inc.		2,295		69,975
Duke Realty Corp.		2,284		79,255
Equinix, Inc.		2,713		1,831,818
Equity LifeStyle Properties, Inc.		1,730		104,336
Equity Residential		1,415		92,060
Essex Property Trust, Inc.		240		58,584
Extra Space Storage, Inc.		310		27,354
First Industrial Realty Trust, Inc.		1,040		39,281
Getty Realty Corp.		1,190		32,320
Healthcare Realty Trust, Inc.		1,385		40,705
Healthcare Trust of America, Inc. - Class A		1,070		26,354
Healthpeak Properties, Inc.		3,385		88,484
Hibernia REIT plc (Ireland)		27,505		35,778
Host Hotels & Resorts, Inc.		1,973		24,288
Invitation Homes, Inc.		4,282		101,269
Jernigan Capital, Inc.		2,950		38,940
Kilroy Realty Corp.		1,832		114,060
Life Storage, Inc.		270		23,649

The accompanying notes are an integral part of the financial statements.

42 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET EXTENDED SERIES	SHARES/ PRINCIPAL AMOUNT3		VALUE (NOTE 2)
COMMON STOCKS (continued)
Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
Mid-America Apartment Communities, Inc.		535	$	59,877
National Retail Properties, Inc.		1,025		33,456
Physicians Realty Trust		2,435		37,548
Prologis, Inc.		3,699		330,062
Public Storage		690		127,960
Realty Income Corp.		650		35,698
Rexford Industrial Realty, Inc.		1,440		58,637
SBA Communications Corp.		3,950		1,145,184
STAG Industrial, Inc.		1,370		35,962
STORE Capital Corp.		1,690		33,918
Sun Communities, Inc.		1,230		165,312
Sunstone Hotel Investors, Inc.		2,335		21,459
Terreno Realty Corp.		405		22,202
UDR, Inc.		1,202		45,039
Urban Edge Properties		2,915		33,522
Welltower, Inc.1		1,539		78,843
Total Real Estate				7,325,146
TOTAL COMMON STOCKS
(Identified Cost $88,679,958)				97,055,984
CORPORATE BONDS - 11.5%
Non-Convertible Corporate Bonds - 11.5%
Communication Services - 2.5%
Diversified Telecommunication Services - 1.1%
AT&T, Inc.1, 4.25%, 3/1/2027		710,000		782,446
Verizon Communications, Inc., 5.25%, 3/16/2037		900,000		1,198,798
				1,981,244
Interactive Media & Services - 0.4%
Tencent Holdings Ltd. (China)2, 3.975%, 4/11/2029		670,000		753,786
Media - 0.9%
Altice Financing S.A. (Luxembourg)2, 7.50%, 5/15/2026		30,000		31,275
CCO Holdings LLC - CCO Holdings Capital Corp.2, 4.50%, 8/15/2030		35,000		35,448
Comcast Corp., 3.25%, 11/1/2039		670,000		729,965
Discovery Communications LLC, 5.20%, 9/20/2047		650,000		740,321

	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
CORPORATE BONDS(continued)
Non-Convertible Corporate Bonds (continued)
Communication Services(continued)
Media (continued)
Townsquare Media, Inc.2, 6.50%, 4/1/2023		40,000	$	35,364
				1,572,373
Wireless Telecommunication Services - 0.1%
Sprint Communications, Inc., 7.00%, 8/15/2020		35,000		35,306
Sprint Corp., 7.25%, 9/15/2021		15,000		15,731
Sprint Corp., 7.125%, 6/15/2024		45,000		50,513
				101,550
Total Communication Services				4,408,953
Consumer Discretionary - 1.5%
Auto Components - 0.0%##
Techniplas LLC2, 10.00%, 5/1/2020		20,000		3,550
Automobiles - 0.0%##
Ford Motor Co., 9.625%, 4/22/2030		25,000		24,907
Diversified Consumer Services - 0.0%##
Carriage Services, Inc.2, 6.625%, 6/1/2026		30,000		29,583
Household Durables - 0.1%
Foxtrot Escrow Issuer LLC - Foxtrot Escrow Corp.2, 12.25%, 11/15/2026		40,000		33,000
LGI Homes, Inc.2, 6.875%, 7/15/2026		55,000		51,219
TRI Pointe Group, Inc. - TRI Pointe Homes, Inc., 5.875%, 6/15/2024		20,000		19,402
Weekley Homes LLC - Weekley Finance Corp.1, 6.625%, 8/15/2025		25,000		22,510
				126,131
Internet & Direct Marketing Retail - 1.1%
Alibaba Group Holding Ltd. (China), 3.40%, 12/6/2027		550,000		597,609
Booking Holdings, Inc., 3.60%, 6/1/2026		930,000		971,840
Expedia Group, Inc.2, 6.25%, 5/1/2025		345,000		351,832

The accompanying notes are an integral part of the financial statements.

43 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET EXTENDED SERIES
	PRINCIPAL  AMOUNT3		VALUE  (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Consumer Discretionary (continued)
Internet & Direct Marketing Retail (continued)
Photo Holdings Merger Sub, Inc.2, 8.50%, 10/1/2026		45,000	$	38,963
				1,960,244
Multiline Retail - 0.0%##
Staples, Inc.2, 7.50%, 4/15/2026		30,000		23,700
Specialty Retail - 0.3%
The TJX Cos, Inc., 3.50%, 4/15/2025		410,000		442,167
Total Consumer Discretionary				2,610,282
Consumer Staples - 0.0%##
Food & Staples Retailing - 0.0%##
KeHE Distributors LLC - KeHE Finance Corp.2, 8.625%, 10/15/2026		25,000		26,438
Energy - 1.6%
Energy Equipment & Services - 0.0%##
Oceaneering International, Inc., 6.00%, 2/1/2028		50,000		25,688
Oil, Gas & Consumable Fuels - 1.6%
Antero Midstream Partners LP - Antero Midstream Finance Corp.2, 5.75%, 3/1/2027		35,000		25,900
Antero Midstream Partners LP - Antero Midstream Finance Corp.2, 5.75%, 1/15/2028		15,000		11,025
Bruin E&P Partners LLC4, 8.875%, 8/1/2023		60,000		1,500
Calumet Specialty Products Partners LP - Calumet Finance Corp.2, 11.00%, 4/15/2025		25,000		19,375
Cheniere Energy Partners LP, 5.625%, 10/1/2026		55,000		52,558
CVR Energy, Inc.2, 5.75%, 2/15/2028		35,000		29,593
Energy Transfer Operating LP, 6.50%, 2/1/2042		470,000		473,976
Genesis Energy LP - Genesis Energy Finance Corp., 7.75%, 2/1/2028		25,000		21,250
Jonah Energy LLC - Jonah Energy Finance Corp.5, 7.25%, 10/15/2025		30,000		525
Kinder Morgan Energy Partners LP, 6.95%, 1/15/2038		570,000		679,574
Laredo Petroleum, Inc., 10.125%, 1/15/2028		25,000		10,184

	PRINCIPAL  AMOUNT3		VALUE   (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Energy(continued)
Oil, Gas & Consumable Fuels (continued)
Lonestar Resources America, Inc.2, 11.25%, 1/1/2023		65,000	$	8,125
Moss Creek Resources Holdings, Inc.2, 7.50%, 1/15/2026		20,000		6,700
NuStar Logistics LP, 6.75%, 2/1/2021		15,000		14,475
PBF Holding Co. LLC - PBF Finance Corp.2, 6.00%, 2/15/2028		30,000		21,357
Sabine Pass Liquefaction LLC, 5.875%, 6/30/2026		790,000		843,228
Whiting Petroleum Corp.6,7, 5.75%, 3/15/2021		20,000		2,000
The Williams Companies, Inc.1, 3.75%, 6/15/2027		560,000		559,141
				2,780,486
Total Energy				2,806,174
Financials - 2.3%
Banks - 1.6%
Bank of America Corp., 4.00%, 1/22/2025		420,000		453,768
CIT Group, Inc., 4.125%, 3/9/2021		40,000		39,300
Citigroup, Inc., 4.45%, 9/29/2027		700,000		766,808
Fidelity & Guaranty Life Holdings, Inc.2, 5.50%, 5/1/2025		50,000		52,812
JPMorgan Chase & Co.8, (3 mo. LIBOR US + 1.000%), 4.023%, 12/5/2024		550,000		595,344
Popular, Inc., 6.125%, 9/14/2023		30,000		28,875
Santander Holdings USA, Inc., 4.50%, 7/17/2025		720,000		741,446
				2,678,353
Capital Markets - 0.1%
Advisor Group Holdings, Inc.2, 10.75%, 8/1/2027		20,000		15,166
Donnelley Financial Solutions, Inc., 8.25%, 10/15/2024		65,000		60,450
Oaktree Specialty Lending Corp., 3.50%, 2/25/2025		35,000		32,044
				107,660
Consumer Finance - 0.5%
Credit Acceptance Corp.2, 5.125%, 12/31/2024		20,000		17,550
Discover Financial Services, 4.50%, 1/30/2026		35,000		36,397
Navient Corp., 5.00%, 10/26/2020		25,000		24,514
Navient Corp., 6.75%, 6/25/2025		55,000		50,875

The accompanying notes are an integral part of the financial statements.

44 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET EXTENDED SERIES
	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials(continued)
Consumer Finance (continued)
SLM Corp., 5.125%, 4/5/2022		30,000	$	27,480
Springleaf Finance Corp., 7.125%, 3/15/2026		35,000		32,988
Visa, Inc., 2.70%, 4/15/2040		720,000		748,434
				938,238
Diversified Financial Services - 0.0%##
VistaJet Malta Finance plc - XO Management Holding, Inc. (Switzerland)2, 10.50%, 6/1/2024		60,000		47,850
Mortgage Real Estate Investment Trusts (REITS) -0.1%
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp.2, 5.875%, 8/1/2021		40,000		35,400
Starwood Property Trust, Inc., 3.625%, 2/1/2021		50,000		47,000
				82,400
Thrifts & Mortgage Finance - 0.0%##
Acrisure LLC - Acrisure Finance, Inc.2, 7.00%, 11/15/2025		20,000		17,700
Radian Group, Inc., 4.875%, 3/15/2027		50,000		43,852
				61,552
Total Financials				3,916,053
Health Care - 0.3%
Health Care Providers & Services - 0.3%
HCA, Inc., 4.125%, 6/15/2029		520,000		562,535
Industrials - 1.5%
Aerospace & Defense - 0.0%##
Howmet Aerospace, Inc., 6.875%, 5/1/2025		55,000		56,087
Air Freight & Logistics - 0.0%##
Cargo Aircraft Management, Inc.2, 4.75%, 2/1/2028		50,000		46,687
Airlines - 0.4%
Southwest Airlines Co., 5.25%, 5/4/2025		600,000		597,792
Building Products - 0.0%##
Griffon Corp., 5.75%, 3/1/2028		35,000		33,338
Commercial Services & Supplies - 0.1%
The ADT Security Corp., 6.25%, 10/15/2021		15,000		15,426

	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Industrials(continued)
Commercial Services & Supplies (continued)
Prime Security Services Borrower  LLC - Prime Finance, Inc.2, 5.25%, 4/15/2024		30,000	$	29,391
Prime Security Services Borrower LLC - Prime Finance, Inc.2, 5.75%, 4/15/2026		35,000		34,486
Prime Security Services Borrower LLC - Prime Finance, Inc.2, 6.25%, 1/15/2028		45,000		39,928
Stericycle, Inc.2, 5.375%, 7/15/2024		30,000		30,086
				149,317
Construction & Engineering - 0.0%##
HC2 Holdings, Inc.2, 11.50%, 12/1/2021		15,000		13,050
Tutor Perini Corp.2, 6.875%, 5/1/2025		40,000		31,500
				44,550
Industrial Conglomerates - 0.3%
General Electric Co.8,9, (3 mo. LIBOR US + 3.330%), 5.00%		620,000		508,012
Marine - 0.0%##
American Tanker, Inc. (Norway)2, 9.25%, 2/22/2022		20,000		20,000
Trading Companies & Distributors - 0.7%
AerCap Ireland Capital DAC - AerCap Global Aviation Trust (Ireland)1, 4.45%, 10/1/2025		830,000		730,441
Air Lease Corp., 3.25%, 3/1/2025		35,000		31,441
Avolon Holdings Funding Ltd. (Ireland)2, 3.25%, 2/15/2027		390,000		301,831
Fortress Transportation & Infrastructure Investors LLC2, 6.50%, 10/1/2025		45,000		36,900
				1,100,613
Total Industrials				2,556,396
Information Technology - 0.0%##
IT Services - 0.0%##
Science Applications International Corp.2, 4.875%, 4/1/2028		35,000		34,276
Materials - 0.2%
Chemicals - 0.0%##
CF Industries, Inc., 3.45%, 6/1/2023		10,000		10,125

The accompanying notes are an integral part of the financial statements.

45 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET EXTENDED SERIES
	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Materials(continued)
Chemicals(continued)
PolyOne Corp.2, 5.75%, 5/15/2025		30,000	$	30,375
				40,500
Containers & Packaging - 0.1%
Berry Global, Inc.2, 4.50%, 2/15/2026		35,000		34,548
Graphic Packaging International LLC, 4.75%, 4/15/2021		20,000		20,131
				54,679
Metals & Mining - 0.1%
Compass Minerals International, Inc.2, 6.75%, 12/1/2027		25,000		24,750
IAMGOLD Corp. (Canada)2, 7.00%, 4/15/2025		70,000		70,552
Infrabuild Australia Pty Ltd. (Australia)2, 12.00%, 10/1/2024		25,000		21,250
Kinross Gold Corp. (Canada), 4.50%, 7/15/2027		15,000		15,779
Mountain Province Diamonds, Inc. (Canada)2, 8.00%, 12/15/2022		20,000		12,600
Northwest Acquisitions ULC - Dominion Finco, Inc.10, 7.125%, 11/1/2022		30,000		3,075
				148,006
Total Materials				243,185
Real Estate - 1.2%
Equity Real Estate Investment Trusts (REITS) - 1.2%
American Tower Corp., 3.80%, 8/15/2029		690,000		771,318
Camden Property Trust, 2.80%, 5/15/2030		650,000		674,166
Crown Castle International Corp., 3.10%, 11/15/2029		320,000		341,545
GTP Acquisition Partners I LLC2, 2.35%, 6/15/2020		123,000		123,919
HAT Holdings I LLC - HAT Holdings II LLC2, 6.00%, 4/15/2025		50,000		50,000
Iron Mountain, Inc., 5.75%, 8/15/2024		35,000		34,388
				1,995,336
Real Estate Management & Development - 0.0%##
Five Point Operating Co. LP - Five Point Capital Corp.2, 7.875%, 11/15/2025		25,000		24,156

	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Real Estate (continued)
Real Estate Management & Development (continued)
Forestar Group, Inc.2, 5.00%, 3/1/2028		40,000	$	34,900
				59,056
Total Real Estate				2,054,392
Utilities - 0.4%
Electric Utilities - 0.3%
Dominion Energy, Inc., 3.375%, 4/1/2030		410,000		445,784
NextEra Energy Operating Partners LP2, 4.25%, 7/15/2024		15,000		15,267
				461,051
Independent Power and Renewable Electricity Producers - 0.1%
Drax Finco plc (United Kingdom)2, 6.625%, 11/1/2025		200,000		204,000
Vistra Operations Co. LLC2, 5.625%, 2/15/2027		30,000		31,575
				235,575
Total Utilities				696,626
TOTAL CORPORATE BONDS
(Identified Cost $19,755,313)				19,915,310
U.S. TREASURY SECURITIES - 17.4%
U.S. Treasury Bonds - 4.0%
U.S. Treasury Bond, 3.00%, 5/15/2047		3,095,000		4,325,142
U.S. Treasury Inflation Indexed Bond, 2.00%, 1/15/2026		2,293,826		2,600,517
Total U.S. Treasury Bonds
(Identified Cost $6,396,054)				6,925,659
U.S. Treasury Notes - 13.4%
U.S. Treasury Inflation Indexed Note, 0.50%, 4/15/2024		1,610,271		1,651,576
U.S. Treasury Note, 2.50%, 5/15/2024		6,225,000		6,770,903
U.S. Treasury Note, 2.00%, 8/15/2025		10,645,000		11,536,935
U.S. Treasury Note, 1.625%, 5/15/2026		3,185,000		3,405,835
Total U.S. Treasury Notes
(Identified Cost $23,106,301)				23,365,249
TOTAL U.S. TREASURY SECURITIES
(Identified Cost $29,502,355)				30,290,908

The accompanying notes are an integral part of the financial statements.

46 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET EXTENDED SERIES
	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
ASSET-BACKED SECURITIES - 4.6%
Cazenovia Creek Funding II LLC, Series 2018-1A, Class A2, 3.561%, 7/15/2030		198,435	$	195,715
CCG Receivables Trust, Series 2019-1, Class A22, 2.80%, 9/14/2026		637,336		641,254
Chesapeake Funding II LLC, Series 2017-4A, Class A1 (Canada)2, 2.12%, 11/15/2029		197,549		195,612
Commonbond Student Loan Trust, Series 2019-AGS, Class A12, 2.54%, 1/25/2047		360,711		368,738
Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A2, 2.01%, 2/15/2029		430,000		427,636
Invitation Homes Trust, Series 2017-SFR2, Class A2,11, (1 mo. LIBOR US + 0.850%), 1.601%, 12/17/2036		151,271		146,249
Invitation Homes Trust, Series 2017-SFR2, Class B2,11, (1 mo. LIBOR US + 1.150%), 1.901%, 12/17/2036		120,000		113,896
Navient Private Education Refi Loan Trust, Series 2019-CA, Class A12, 2.82%, 2/15/2068		167,235		167,860
Navient Student Loan Trust, Series 2014-1, Class A311, (1 mo. LIBOR US + 0.510%), 0.997%, 6/25/2031		374,464		357,613
Nelnet Student Loan Trust, Series 2012-3A, Class A2,11, (1 mo. LIBOR US + 0.700%), 1.187%, 2/25/2045		386,292		364,228
Nelnet Student Loan Trust, Series 2013-5A, Class A2,11, (1 mo. LIBOR US + 0.630%), 1.117%, 1/25/2037		384,568		358,785
Oxford Finance Funding LLC, Series 2019-1A, Class A22, 4.459%, 2/15/2027		600,000		611,601
Oxford Finance Funding LLC, Series 2020-1A, Class A22, 3.101%, 2/15/2028		365,000		359,790
Progress Residential Trust, Series 2019-SFR2, Class A2, 3.147%, 5/17/2036		380,000		390,552
SMB Private Education Loan Trust, Series 2020-A, Class A2A2, 2.23%, 9/15/2037		490,000		478,822
SoFi Consumer Loan Program LLC, Series 2016-2, Class A2, 3.09%, 10/27/2025		34,906		34,639

	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
ASSET-BACKED SECURITIES (continued)
SoFi Consumer Loan Program Trust, Series 2019-2, Class A2, 3.01%, 4/25/2028		168,224	$	168,318
SoFi Consumer Loan Program Trust, Series 2019-3, Class A2, 2.90%, 5/25/2028		231,921		230,952
SoFi Professional Loan Program Trust, Series 2018-B, Class A2FX2, 3.34%, 8/25/2047		400,000		403,672
SoFi Professional Loan Program Trust, Series 2018-C, Class A1FX2, 3.08%, 1/25/2048		224,366		224,615
SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX2, 2.54%, 5/15/2046		315,000		312,312
Tax Ease Funding LLC, Series 2016-1A, Class A2, 3.131%, 6/15/2028		43,843		43,845
Towd Point Mortgage Trust, Series 2016-5, Class A12,12, 2.50%, 10/25/2056		267,006		265,970
Towd Point Mortgage Trust, Series 2017-1, Class A12,12, 2.75%, 10/25/2056		290,647		292,211
Towd Point Mortgage Trust, Series 2019-HY1, Class A12,11, (1 mo. LIBOR US + 1.000%), 1.487%, 10/25/2048		256,086		252,828
Tricon American Homes Trust, Series 2016-SFR1, Class A2, 2.589%, 11/17/2033		309,971		310,631
Tricon American Homes Trust, Series 2017-SFR2, Class A2, 2.928%, 1/17/2036		298,669		303,574
TOTAL ASSET-BACKED SECURITIES
(Identified Cost $8,063,222)				8,021,918
COMMERCIAL MORTGAGE-BACKED SECURITIES - 4.4%
CIM Trust, Series 2019-INV1, Class A12,12, 4.00%, 2/25/2049		109,165		110,612
Credit Suisse Mortgage Capital Trust, Series 2013-IVR3, Class A12,12, 2.50%, 5/25/2043		164,391		160,577
Credit Suisse Mortgage Capital Trust, Series 2014-IVR3, Class A12,12, 3.50%, 7/25/2044		283,149		287,221
Fannie Mae REMICS, Series 2018-31, Class KP, 3.50%, 7/25/2047		218,488		226,326
Fannie Mae-Aces, Series 2017-M15, Class A112, 3.058%, 9/25/2027		375,161		406,396

The accompanying notes are an integral part of the financial statements.

47 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET EXTENDED SERIES
	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES(continued)
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class A2, 3.144%, 12/10/2036		410,000	$	391,669
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K017, Class X1 (IO)12, 1.433%, 12/25/2021		5,378,969		83,288
Freddie Mac REMICS, Series 4791, Class BA, 4.00%, 3/15/2044		225,194		233,068
Freddie Mac REMICS, Series 4801, Class BA, 4.50%, 5/15/2044		166,179		170,839
FREMF Mortgage Trust, Series 2014-K41, Class B2,12, 3.963%, 11/25/2047		485,000		507,999
FREMF Mortgage Trust, Series 2014-K715, Class B2,12, 4.111%, 2/25/2046		471,000		473,793
Government National Mortgage Association, Series 2017-54, Class AH, 2.60%, 12/16/2056		453,347		469,891
GS Mortgage Securities Corp. Trust, Series 2019-70P, Class A2,11, (1 mo. LIBOR US + 1.000%), 1.814%, 10/15/2036		425,000		400,275
JP Morgan Mortgage Trust, Series 2013-2, Class A22,12, 3.50%, 5/25/2043		92,904		95,406
JP Morgan Mortgage Trust, Series 2014-2, Class 1A12,12, 3.00%, 6/25/2029		151,307		153,219
JP Morgan Mortgage Trust, Series 2017-2, Class A32,12, 3.50%, 5/25/2047		595,088		605,717
New Residential Mortgage Loan Trust, Series 2014-3A, Class AFX32,12, 3.75%, 11/25/2054		103,132		105,294
New Residential Mortgage Loan Trust, Series 2015-2A, Class A12,12, 3.75%, 8/25/2055		160,159		163,476
New Residential Mortgage Loan Trust, Series 2016-4A, Class A12,12, 3.75%, 11/25/2056		170,358		173,692
PMT Loan Trust, Series 2013-J1, Class A92,12, 3.50%, 9/25/2043		336,871		346,941
Sequoia Mortgage Trust, Series 2013-2, Class A12, 1.874%, 2/25/2043		116,333		113,844
Sequoia Mortgage Trust, Series 2013-6, Class A212, 3.00%, 5/25/2043		285,526		291,785
Sequoia Mortgage Trust, Series 2013-8, Class A112, 3.00%, 6/25/2043		137,075		139,836

		PRINCIPAL AMOUNT3		VALUE (NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Sequoia Mortgage Trust, Series 2020-1, Class A42,12, 3.50%, 2/25/2050			541,583	$	545,592
Starwood Retail Property Trust, Series 2014-STAR, Class A2,11, (1 mo. LIBOR US + 1.470%), 2.284%, 11/15/2027			358,082		334,503
Sutherland Commercial Mortgage Trust, Series 2019-SBC8, Class A2,12, 2.86%, 4/25/2041			345,543		346,751
Waikiki Beach Hotel Trust, Series 2019-WBM, Class A2,11, (1 mo. LIBOR US + 1.050%), 1.864%, 12/15/2033			345,000		316,758
WinWater Mortgage Loan Trust, Series 2015-3, Class A52,12, 3.50%, 3/20/2045			44,737		44,664
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Identified Cost $7,664,735)					7,699,432
FOREIGN GOVERNMENT BONDS - 0.6%
Canadian Government Bond (Canada), 2.75%, 6/1/2022	CAD		102,000		77,019
Export-Import Bank of Korea (South Korea), 2.625%, 12/30/2020			500,000		503,341
Mexican Government Bond (Mexico), 8.00%, 6/11/2020	MXN		2,087,000		86,718
Mexican Government Bond (Mexico), 6.50%, 6/10/2021	MXN		888,000		37,278
Mexican Government Bond (Mexico), 6.50%, 6/9/2022	MXN		1,443,000		61,335
Mexican Government Bond (Mexico), 7.75%, 5/29/2031	MXN		278,000		12,245
Republic of Italy Government International Bond (Italy), 2.375%, 10/17/2024			200,000		195,262
TOTAL FOREIGN GOVERNMENT BONDS
(Identified Cost $1,026,636)					973,198
U.S. GOVERNMENT AGENCIES - 4.8%
Mortgage-Backed Securities - 4.8%
Fannie Mae, Pool #888468, UMBS, 5.50%, 9/1/2021			8,354		8,465
Fannie Mae, Pool #888810, UMBS, 5.50%, 11/1/2022			9,337		9,467
Fannie Mae, Pool #MA1834, UMBS, 4.50%, 2/1/2034			177,918		195,575
Fannie Mae, Pool #MA3412, UMBS, 3.50%, 7/1/2038			511,383		539,600

The accompanying notes are an integral part of the financial statements.

48 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET EXTENDED SERIES
	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Fannie Mae, Pool #AD0207, UMBS, 6.00%, 10/1/2038		161,825	$	186,780
Fannie Mae, Pool #AD0307, UMBS, 5.50%, 1/1/2039		103,403		118,134
Fannie Mae, Pool #MA0258, UMBS, 4.50%, 12/1/2039		133,567		148,320
Fannie Mae, Pool #AL0241, UMBS, 4.00%, 4/1/2041		246,463		269,757
Fannie Mae, Pool #AL1410, UMBS, 4.50%, 12/1/2041		320,286		355,119
Fannie Mae, Pool #AL7729, UMBS, 4.00%, 6/1/2043		198,260		216,862
Fannie Mae, Pool #AS4103, UMBS, 4.50%, 12/1/2044		192,498		212,256
Fannie Mae, Pool #BJ1323, UMBS, 3.50%, 11/1/2047		894,744		961,851
Fannie Mae, Pool #CA1720, UMBS, 5.00%, 5/1/2048		387,122		433,403
Fannie Mae, Pool #CA1922, UMBS, 5.00%, 6/1/2048		306,513		333,133
Fannie Mae, Pool #CA2056, UMBS, 4.50%, 7/1/2048		361,271		389,877
Fannie Mae, Pool #BK9366, UMBS, 4.50%, 8/1/2048		148,510		160,136
Fannie Mae, Pool #MA3527, UMBS, 5.00%, 11/1/2048		562,086		610,807
Fannie Mae, Pool #AL8674, 5.645%, 1/1/2049		398,723		463,966
Fannie Mae, Pool #MA3996, 2.50%, 4/1/2050		449,301		460,345
Freddie Mac, Pool #C91762, 4.50%, 5/1/2034		131,388		144,469
Freddie Mac, Pool #C91771, 4.50%, 6/1/2034		105,169		115,642
Freddie Mac, Pool #C91780, 4.50%, 7/1/2034		144,637		159,039

	PRINCIPAL AMOUNT3/ SHARES		VALUE (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Freddie Mac, Pool #G04601, 5.50%, 7/1/2038		141,632	$	161,486
Freddie Mac, Pool #G04587, 5.50%, 8/1/2038		142,376		162,488
Freddie Mac, Pool #Q33778, 4.00%, 6/1/2045		195,972		213,140
Freddie Mac, Pool #Q59805, 4.50%, 11/1/2048		251,093		270,817
Freddie Mac, Pool #G61887, 5.00%, 2/1/2049		287,845		312,615
Freddie Mac, Pool #ZN4802, UMBS, 4.00%, 4/1/2049		667,230		711,124
TOTAL U.S. GOVERNMENT AGENCIES
(Identified Cost $7,996,118)				8,324,673
SHORT-TERM INVESTMENT - 0.6%
Dreyfus Government Cash Management, Institutional Shares, 0.17%13
(Identified Cost $1,034,349)		1,034,349		1,034,349
TOTAL INVESTMENTS IN SECURITIES - 99.8%
(Identified Cost $163,722,686)				173,315,772
TOTAL OPTIONS WRITTEN — (0.0%)**
(Premiums Received $20,760)				(20,195	)
TOTAL INVESTMENTS - 99.8%				173,295,577
OTHER ASSETS, LESS LIABILITIES - 0.2%				335,769
NET ASSETS - 100%			$	173,631,346

ADR - American Depositary Receipt

CAD - Canadian Dollar

IO - Interest only

LIBOR - London Interbank Offered Rate

MXN - Mexican Peso

UMBS - Uniform Mortgage-Backed Securities

The accompanying notes are an integral part of the financial statements.

49 

Investment Portfolio - April 30, 2020

(unaudited)

EXCHANGE-TRADED OPTIONS WRITTEN
DESCRIPTION	NUMBER  OF  CONTRACTS	EXPIRATION  DATE	EXERCISE  PRICE	NOTIONAL  AMOUNT  (000)3	VALUE
Call
Amazon.com, Inc.	1	05/01/2020	$2,590.00	247		$	(2,515	)
Booking Holdings, Inc.	3	05/15/2020	1,510.00	444			(13,440	)
Facebook, Inc. - Class A	20	05/01/2020	207.50	409			(2,200	)
							(18,155	)
Put
Charter Communications, Inc. - Class A	12	05/08/2020	460.00	594			(2,040	)
TOTAL EXCHANGE-TRADED OPTIONS WRITTEN (PREMIUMS RECEIVED $20,760)						$	(20,195	)

*Non-income producing security.

** Less than (0.1%).

## Less than 0.1%.

¹A portion of this security is designated as collateral for options contracts written. As of April 30, 2020, the total value of such securities was $4,483,939.

²Restricted 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 under the Fund’s Liquidity Risk Management Program. These securities amount to $16,367,028, or 9.4% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

³Amount is stated in USD unless otherwise noted.

⁴Restricted security - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security was acquired on January 17, 2019 and March 26, 2020 at a cost of $14,156 ($94.38 per share) and cost of $4,725 ($10.50 per share), respectively. This security has been sold under rule 144A and has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $1,500, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁵Restricted security - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security was acquired on November 28, 2017 at a cost of $30,300 ($101.00 per share). This security has been sold under rule 144A and has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $525, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁶Illiquid security - This security was acquired on January 8, 2020 and February 5, 2020 at a cost of $14,841 ($98.94 per share) and cost of $4,662 ($93.25 per share), respectively. This security has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $2,000, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁷Issuer filed for bankruptcy and/or is in default of interest payments.

⁸Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of April 30, 2020.⁹Security is perpetual in nature and has no stated maturity date.

¹⁰Restricted security - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security was acquired on September 6, 2018 at a cost of $30,726 ($102.42 per share). This security has been sold under rule 144A and has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $3,075, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

¹¹Floating rate security. Rate shown is the rate in effect as of April 30, 2020.

¹²Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of April 30, 2020.

¹³Rate shown is the current yield as of April 30, 2020.

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 S&P Global 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.

50 

Statement of Assets and Liabilities - Blended Asset Extended Series 

April 30, 2020 (unaudited)

ASSETS:
Investments in securities, at value (identified cost $163,722,686) (Note 2)	$	173,315,772
Foreign currency, at value (identified cost $31,453)		31,757
Receivable for securities sold		1,836,439
Interest receivable		474,567
Receivable for fund shares sold		92,090
Foreign tax reclaims receivable		75,869
Dividends receivable		51,128
Prepaid and other expenses		1,551
TOTAL ASSETS		175,879,173
LIABILITIES:
Accrued management fees (Note 3)		55,841
Accrued fund accounting and administration fees (Note 3)		23,533
Accrued Chief Compliance Officer service fees (Note 3)		956
Options written, at value (premiums received $20,760) (Note 2)		20,195
Payable for securities purchased		2,092,507
Other payables and accrued expenses		54,795
TOTAL LIABILITIES		2,247,827
TOTAL NET ASSETS	$	173,631,346
NET ASSETS CONSIST OF:
Capital stock	$	150,659
Additional paid-in-capital		158,601,930
Total distributable earnings (loss)		14,878,757
TOTAL NET ASSETS	$	173,631,346
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE -
Class R6 ($173,631,346/15,065,949 shares)	$	11.52

The accompanying notes are an integral part of the financial statements.

51 

Statement of Operations - Blended Asset Extended Series 

For the Six Months Ended April 30, 2020 (unaudited)

INVESTMENT INCOME:
Interest	$	1,051,433
Dividends (net of foreign taxes withheld, $62,762)		682,945
Total Investment Income		1,734,378
EXPENSES:
Management fees (Note 3)		423,752
Fund accounting and administration fees (Note 3)		41,142
Directors’ fees (Note 3)		8,022
Chief Compliance Officer service fees (Note 3)		1,438
Custodian fees		19,179
Miscellaneous		52,092
Total Expenses		545,625
Less reduction of expenses (Note 3)		(79,499	)
Net Expenses		466,126
NET INVESTMENT INCOME		1,268,252
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on-
Investments in securities		6,559,406
Options written		183,165
Foreign currency and translation of other assets and liabilities		(15,502	)
		6,727,069
Net change in unrealized appreciation (depreciation) on-
Investments		(2,101,693	)
Options written		25,972
Foreign currency and translation of other assets and liabilities		77
		(2,075,644	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY		4,651,425
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	5,919,677

The accompanying notes are an integral part of the financial statements.

52 

Statements of Changes in Net Assets - Blended Asset Extended Series

	FOR THE SIX  MONTHS ENDED  4/30/20  (UNAUDITED)				FOR THE  YEAR ENDED  10/31/19
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income		$	1,268,252		$	2,946,221
Net realized gain (loss) on investments and foreign currency			6,727,069			(1,153,352	)
Net change in unrealized appreciation (depreciation) on investments and foreign currency			(2,075,644	)		16,191,093
Net increase from operations			5,919,677			17,983,962
DISTRIBUTIONS TO SHAREHOLDERS (Note 9):
Class R6			(1,708,672	)		(3,918,264	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase (decrease) from capital share transactions (Note 5)			2,948,074			(52,399,797	)
Net increase (decrease) in net assets			7,159,079			(38,334,099	)
NET ASSETS:
Beginning of period			166,472,267			204,806,366
End of period		$	173,631,346		$	166,472,267

The accompanying notes are an integral part of the financial statements.

53 

Financial Highlights - Blended Asset Extended Series - Class R6 

	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED						FOR THE PERIOD
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/13/171TO 10/31/17
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$11.23			$10.12			$10.31			$10.33
Income (loss) from investment operations:
Net investment income2		0.08			0.19			0.16			0.00	3
Net realized and unrealized gain (loss) on investments		0.33			1.13			(0.27	)		(0.02	)
Total from investment operations		0.41			1.32			(0.11	)		(0.02	)
Less distributions to shareholders:
From net investment income		(0.12	)		(0.18	)		(0.08	)		—
From net realized gain on investments		—			(0.03	)		—			—
Total distributions to shareholders		(0.12	)		(0.21	)		(0.08	)		—
Net asset value - End of period		$11.52			$11.23			$10.12			$10.31
Net assets - End of period(000’s omitted)		$173,631			$166,472			$204,806			$206,179
Total return4		3.62%			13.29%			(1.06%	)		(0.19%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.55%5			0.55%			0.55%			0.55%5
Net investment income		1.50%5			1.77%			1.53%			0.61%5
Series portfolio turnover		70%			84%			99%			4%

*The investment advisor did not impose all or a portion of its management and/or other fees during the period, and 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:

0.09%⁵ 0.11% 0.07% 0.54%⁵

¹Commencement of operations. 

²Calculated based on average shares outstanding during the periods.

³Less than $0.01. 

⁴Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized. 

⁵Annualized.

The accompanying notes are an integral part of the financial statements.

54 

Shareholder Expense Example - Blended Asset Maximum Series

(unaudited)

As a shareholder of the Series, you incur ongoing costs, including management fees, shareholder service 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 (November 1, 2019 to April 30, 2020).

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 such as sales charges (loads), redemption fees, or exchange fees that you may incur in other mutual funds. 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.

	BEGINNING  ACCOUNT VALUE  11/1/19	ENDING  ACCOUNT VALUE  4/30/20	EXPENSES PAID  DURING PERIOD  11/1/19-4/30/20*
Actual	$1,000.00	$994.20	$2.73
Hypothetical
(5% return before expenses)	$1,000.00	$1,022.13	$2.77

*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 0.55%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). The Series’ total return would have been lower had certain expenses not been waived or reimbursed during the period.

55 

Portfolio Composition - Blended Asset Maximum Series 

As of April 30, 2020 (unaudited)

Asset Allocation¹

¹ 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 long-term obligation of the U.S. Treasury issued with a maturity period between one and ten years.

Sector Allocation4
Consumer Discretionary	15.8	%
Information Technology	14.4	%
Communication Services	12.9	%
Consumer Staples	10.3	%
Health Care	10.0	%
Financials	9.6	%
Energy	6.5	%
Real Estate	4.8	%
Industrials	3.9	%
Materials	2.3	%
Utilities	0.1	%
4Including common stocks and corporate bonds, as a percentage of total investments.

Top Ten Stock Holdings5
Micron Technology, Inc.	2.3	%
The Coca-Cola Co.	2.2	%
Cabot Oil & Gas Corp.	2.1	%
Microsoft Corp.	2.1	%
Mastercard, Inc. - Class A	2.0	%
Mondelez International, Inc. - Class A	2.0	%
Amazon.com, Inc.	1.9	%
Booking Holdings, Inc.	1.9	%
ServiceNow, Inc.	1.8	%
Nexon Co. Ltd. (Japan)	1.8	%
5As a percentage of total investments.

56 

Investment Portfolio - April 30, 2020 

(unaudited)

BLENDED ASSET MAXIMUM SERIES
	SHARES		VALUE (NOTE 2)
COMMON STOCKS - 86.2%
Communication Services - 11.9%
Entertainment - 5.9%
Activision Blizzard, Inc.		23,155	$	1,475,668
Electronic Arts, Inc.*		16,935		1,934,993
Nexon Co. Ltd. (Japan)		134,174		2,166,372
Sea Ltd. - ADR (Taiwan)*		12,260		681,411
The Walt Disney Co.		7,475		808,421
				7,066,865
Interactive Media & Services - 4.0%
Alphabet, Inc. - Class A*		1,010		1,360,167
Alphabet, Inc. - Class C*		210		283,219
Auto Trader Group plc (United Kingdom)1		7,765		44,699
Facebook, Inc. - Class A*		6,020		1,232,354
Tencent Holdings Ltd. - Class H (China)		34,345		1,805,497
				4,725,936
Media - 2.0%
Charter Communications, Inc. - Class A*		1,575		779,987
Comcast Corp. - Class A		1,139		42,861
Quebecor, Inc. - Class B (Canada)		35,260		767,794
Shaw Communications, Inc. - Class B (Canada)		47,030		767,306
				2,357,948
Total Communication Services				14,150,749
Consumer Discretionary - 15.2%
Distributors - 0.0%##
Genuine Parts Co.		130		10,306
Hotels, Restaurants & Leisure - 0.5%
Aristocrat Leisure Ltd. (Australia)		3,505		57,481
Hilton Worldwide Holdings, Inc.		195		14,763
Norwegian Cruise Line Holdings Ltd.*		14,490		237,636
Restaurant Brands International, Inc. (Canada)		1,755		86,522
Royal Caribbean Cruises Ltd.		3,875		181,234
Wyndham Hotels & Resorts, Inc.		475		17,912
				595,548
Household Durables - 1.2%
Garmin Ltd.		106		8,603
Nikon Corp. (Japan)		64,900		603,688
Sony Corp. - ADR (Japan)		12,335		792,524
Sony Corp. (Japan)		1,100		70,790
				1,475,605

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Consumer Discretionary (continued)
Internet & Direct Marketing Retail - 5.3%
Alibaba Group Holding Ltd. - ADR  (China)*		3,020	$	612,063
Amazon.com, Inc.*		925		2,288,450
Booking Holdings, Inc.*		1,505		2,228,258
Expedia Group, Inc.		16,705		1,185,721
				6,314,492
Multiline Retail - 3.2%
B&M European Value Retail S.A. (United Kingdom)		16,350		68,374
Dollar General Corp.		11,950		2,094,835
Dollar Tree, Inc.*		20,215		1,610,529
				3,773,738
Specialty Retail - 2.0%
AutoZone, Inc.*		895		913,186
Best Buy Co., Inc.		190		14,579
Floor & Decor Holdings, Inc. - Class A*		15,060		638,544
The Home Depot, Inc.		345		75,841
Industria de Diseno Textil S.A. (Spain)		27,880		714,077
				2,356,227
Textiles, Apparel & Luxury Goods - 3.0%
adidas AG (Germany)		3,470		794,399
lululemon athletica, Inc.*		8,010		1,790,075
NIKE, Inc. - Class B		12,065		1,051,827
VF Corp.		261		15,164
				3,651,465
Total Consumer Discretionary				18,177,381
Consumer Staples - 10.3%
Beverages - 5.3%
Ambev S.A. - ADR (Brazil)		330,725		711,059
Anheuser-Busch InBev S.A./N.V. (Belgium)		18,835		877,151
The Coca-Cola Co.		57,815		2,653,130
Constellation Brands, Inc. - Class A		3,033		499,505
Diageo plc (United Kingdom)		23,940		824,246
Molson Coors Beverage Co. - Class B		181		7,423
PepsiCo, Inc.		5,580		738,178
				6,310,692
Food & Staples Retailing - 0.1%
The Kroger Co.		510		16,121
Sysco Corp.		281		15,812

The accompanying notes are an integral part of the financial statements.

57 

Investment Portfolio - April 30, 2020 

(unaudited)

BLENDED ASSET MAXIMUM SERIES
	SHARES		VALUE (NOTE 2)
COMMON STOCKS(continued)
Consumer Staples(continued)
Food & Staples Retailing (continued)
Walmart, Inc.	687	$	83,505
			115,438
Food Products - 3.2%
Archer-Daniels-Midland Co.	341		12,665
Conagra Brands, Inc.	362		12,105
Danone S.A. (France)	1,685		117,440
General Mills, Inc.	416		24,914
The Hershey Co.	128		16,951
Hormel Foods Corp.	249		11,666
The J.M. Smucker Co.	94		10,802
Mondelez International, Inc. - Class A	46,232		2,378,174
Nestle S.A. (Switzerland)	12,015		1,272,509
Tyson Foods, Inc. - Class A	221		13,744
			3,870,970
Household Products - 0.1%
Colgate-Palmolive Co.	468		32,886
Kimberly-Clark Corp.	176		24,372
			57,258
Personal Products - 1.6%
Beiersdorf AG (Germany)	5,330		557,672
Unilever plc - ADR (United Kingdom)	26,795		1,389,857
			1,947,529
Total Consumer Staples			12,301,887
Energy - 5.8%
Energy Equipment & Services - 0.4%
Baker Hughes Co.	707		9,863
Schlumberger Ltd.	28,665		482,145
			492,008
Oil, Gas & Consumable Fuels - 5.4%
BP plc - ADR (United Kingdom)	765		18,207
Cabot Oil & Gas Corp.	117,175		2,533,324
Cameco Corp. (Canada)	9,935		98,953
Chevron Corp.	2,445		224,940
Concho Resources, Inc.	5,415		307,139
ConocoPhillips	13,778		580,054
EOG Resources, Inc.	19,808		941,078
Exxon Mobil Corp.	10,580		491,653
Marathon Petroleum Corp.	428		13,730
Pioneer Natural Resources Co.	3,555		317,497
Royal Dutch Shell plc - Class B - ADR (Netherlands)	6,530		208,764
TOTAL S.A. - ADR (France)	14,890		523,384

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Energy (continued)
Oil, Gas & Consumable Fuels (continued)
Tourmaline Oil Corp. (Canada)		11,720	$	116,194
Valero Energy Corp.		253		16,028
				6,390,945
Total Energy				6,882,953
Financials - 8.7%
Banks - 0.8%
Bank of America Corp.		2,502		60,173
The Bank Of N.T. Butterfield & Son Ltd. (Bermuda)		2,330		51,283
Citigroup, Inc.		752		36,517
Fifth Third Bancorp		477		8,915
FinecoBank Banca Fineco S.p.A. (Italy)		55,095		613,850
JPMorgan Chase & Co.		827		79,194
The PNC Financial Services Group, Inc.		161		17,174
Regions Financial Corp.		712		7,654
Truist Financial Corp.		693		25,863
U.S. Bancorp		722		26,353
Wells Fargo & Co.		1,542		44,795
				971,771
Capital Markets - 6.2%
BlackRock, Inc.		3,130		1,571,385
Cboe Global Markets, Inc.		8,750		869,575
CME Group, Inc.		4,435		790,361
Deutsche Boerse AG (Germany)		7,475		1,158,917
Intercontinental Exchange, Inc.		9,300		831,885
Moody’s Corp.		4,380		1,068,282
S&P Global, Inc.		3,790		1,110,015
				7,400,420
Diversified Financial Services - 1.5%
Berkshire Hathaway, Inc. - Class B*		9,265		1,735,890
Insurance - 0.2%
Admiral Group plc (United Kingdom)		5,580		162,827
The Allstate Corp.		168		17,089
Chubb Ltd.		201		21,710
Cincinnati Financial Corp.		93		6,119
The Hartford Financial Services Group, Inc.		245		9,308
The Travelers Companies, Inc.		136		13,765
				230,818
Total Financials				10,338,899

The accompanying notes are an integral part of the financial statements.

58 

Investment Portfolio - April 30, 2020 

(unaudited)

BLENDED ASSET MAXIMUM SERIES
	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Health Care - 9.8%
Biotechnology - 2.2%
AbbVie, Inc.	572	$	47,018
BioMarin Pharmaceutical, Inc.*	11,340		1,043,507
Gilead Sciences, Inc.	599		50,316
Incyte Corp.*	5,220		509,785
Seattle Genetics, Inc.*	3,600		494,028
Vertex Pharmaceuticals, Inc.*	2,130		535,056
			2,679,710
Health Care Equipment & Supplies - 2.7%
Alcon, Inc. (Switzerland)*	10,789		569,767
Boston Scientific Corp.*	13,040		488,739
Getinge AB - Class B (Sweden)	4,580		87,786
Intuitive Surgical, Inc.*	740		378,051
Medtronic plc	11,368		1,109,858
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)	64,000		97,225
West Pharmaceutical Services, Inc.	2,510		475,043
			3,206,469
Health Care Providers & Services - 0.8%
Quest Diagnostics, Inc.	106		11,672
UnitedHealth Group, Inc.	3,015		881,797
			893,469
Life Sciences Tools & Services - 0.8%
Gerresheimer AG (Germany)	1,235		98,219
Thermo Fisher Scientific, Inc.	2,640		883,555
			981,774
Pharmaceuticals - 3.3%
Bristol-Myers Squibb Co.	850		51,689
Eli Lilly & Co.	252		38,969
Johnson & Johnson	13,876		2,081,955
Merck & Co., Inc.	5,969		473,580
Novartis AG - ADR (Switzerland)	13,625		1,154,446
Perrigo Co. plc	1,540		82,082
Pfizer, Inc.	2,012		77,180
			3,959,901
Total Health Care			11,721,323
Industrials - 3.6%
Aerospace & Defense - 0.1%
Airbus SE (France)*	545		34,509
General Dynamics Corp.	139		18,156
Lockheed Martin Corp.	123		47,854
Raytheon Technologies Corp.	616		39,923
			140,442

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Industrials(continued)
Air Freight & Logistics - 0.0%##
C.H. Robinson Worldwide, Inc.	128	$	9,075
Airlines - 1.8%
easyJet plc (United Kingdom)	111,075		841,357
Ryanair Holdings plc - ADR (Ireland)*	20,575		1,305,895
			2,147,252
Building Products - 0.0%##
Johnson Controls International plc	539		15,690
Trane Technologies plc	123		10,753
			26,443
Commercial Services & Supplies - 0.5%
Bingo Industries Ltd. (Australia)	37,085		56,165
Copart, Inc.*	6,615		529,928
Waste Management, Inc.	230		23,005
			609,098
Electrical Equipment - 0.1%
Eaton Corp. plc	246		20,541
Emerson Electric Co.	382		21,785
Rockwell Automation, Inc.	74		14,022
			56,348
Industrial Conglomerates - 0.1%
3M Co.	252		38,284
Honeywell International, Inc.	294		41,719
			80,003
Machinery - 0.1%
Caterpillar, Inc.	261		30,375
Cummins, Inc.	103		16,840
Dover Corp.	84		7,867
Illinois Tool Works, Inc.	168		27,300
Parker-Hannifin Corp.	73		11,543
Stanley Black & Decker, Inc.	89		9,808
The Weir Group plc (United Kingdom)	4,630		55,331
			159,064
Road & Rail - 0.1%
Norfolk Southern Corp.	104		17,794
Union Pacific Corp.	279		44,581
			62,375
Trading Companies & Distributors - 0.7%
Brenntag AG (Germany)	18,370		831,760
Fastenal Co.	416		15,068

The accompanying notes are an integral part of the financial statements.

59 

Investment Portfolio - April 30, 2020 

(unaudited)

BLENDED ASSET MAXIMUM SERIES
			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Industrials(continued)
Trading Companies & Distributors(continued)
WW Grainger, Inc.		30	$	8,267
				855,095
Transportation Infrastructure - 0.1%
Grupo Aeroportuario del Centro Norte S.A.B. de C.V. (Mexico)		7,400		27,084
Grupo Aeroportuario del Pacifico S.A.B. de C.V. - ADR (Mexico)		410		25,420
Grupo Aeroportuario del Sureste S.A.B. de C.V. - ADR (Mexico)		290		28,916
				81,420
Total Industrials				4,226,615
Information Technology - 14.4%
Communications Equipment - 0.1%
Cisco Systems, Inc.		1,447		61,324
IT Services - 7.3%
Accenture plc - Class A		4,687		867,986
Adyen N.V. (Netherlands)*1		40		39,503
Automatic Data Processing, Inc.		151		22,150
International Business Machines Corp.		365		45,829
Keywords Studios plc (Ireland)		1,285		25,743
Mastercard, Inc. - Class A		8,885		2,443,108
PayPal Holdings, Inc.*		16,845		2,071,935
Square, Inc. - Class A*		6,510		424,061
Switch, Inc. - Class A		988		16,964
Verra Mobility Corp.*		113,100		1,013,376
Visa, Inc. - Class A		9,925		1,773,796
				8,744,451
Semiconductors & Semiconductor Equipment - 2.4%
Analog Devices, Inc.		158		17,317
Intel Corp.		1,340		80,373
KLA Corp.		103		16,901
Micron Technology, Inc.*		56,435		2,702,672
QUALCOMM, Inc.		365		28,715
Skyworks Solutions, Inc.		94		9,765
Texas Instruments, Inc.		390		45,267
Xilinx, Inc.		129		11,275
				2,912,285
Software - 4.6%
Microsoft Corp.		13,870		2,485,643
Oracle Corp.		778		41,211
salesforce.com, Inc.*		4,655		753,877
ServiceNow, Inc.*		6,185		2,174,275
				5,455,006

				VALUE
	SHARES			(NOTE 2)
COMMON STOCKS (continued)
Information Technology(continued)
Technology Hardware, Storage & Peripherals - 0.0%##
NetApp, Inc.		176		$	7,704
Total Information Technology					17,180,770
Materials - 2.2%
Chemicals - 0.6%
Akzo Nobel N.V. (Netherlands)		858			65,114
FMC Corp.		5,935			545,426
International Flavors & Fragrances, Inc.		62			8,124
Linde plc (United Kingdom)		162			29,806
LyondellBasell Industries N.V. - Class A		244			14,140
PPG Industries, Inc.		119			10,809
					673,419
Containers & Packaging - 0.6%
Graphic Packaging Holding Co.		58,585			782,110
Metals & Mining - 1.0%			��
Freeport-McMoRan, Inc.		61,375			541,941
Lundin Mining Corp. (Chile)		10,770			52,769
Nucor Corp.		252			10,380
Southern Copper Corp. (Peru)		18,405			597,058
					1,202,148
Total Materials					2,657,677
Real Estate - 4.3%
Equity Real Estate Investment Trusts (REITS) - 4.3%
Acadia Realty Trust		750			9,293
Agree Realty Corp.		170			11,069
Alexandria Real Estate Equities, Inc.		110			17,280
American Campus Communities, Inc.		734			25,903
American Homes 4 Rent - Class A		1,090			26,313
American Tower Corp.		6,055			1,441,090
Americold Realty Trust		905			27,684
Apartment Investment & Management Co. - Class A		539			20,304
AvalonBay Communities, Inc.		225			36,664
Boston Properties, Inc.		124			12,050
Brandywine Realty Trust		1,170			13,057
Camden Property Trust		385			33,907
Community Healthcare Trust, Inc.		390			14,508
CoreSite Realty Corp.		75			9,089
Cousins Properties, Inc.		1,027			30,985
Crown Castle International Corp.		175			27,900
Digital Realty Trust, Inc.		344			51,425
Douglas Emmett, Inc.		690			21,038

The accompanying notes are an integral part of the financial statements.

60 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET MAXIMUM SERIES	SHARES/
	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
COMMON STOCKS (continued)
Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
Duke Realty Corp.		712	$	24,706
Equinix, Inc.		1,990		1,343,648
Equity LifeStyle Properties, Inc.		520		31,361
Equity Residential		425		27,650
Essex Property Trust, Inc.		64		15,622
Extra Space Storage, Inc.		90		7,942
First Industrial Realty Trust, Inc.		310		11,709
Getty Realty Corp.		355		9,642
Healthcare Realty Trust, Inc.		385		11,315
Healthcare Trust of America, Inc. - Class A		320		7,882
Healthpeak Properties, Inc.		945		24,702
Hibernia REIT plc (Ireland)		8,240		10,718
Host Hotels & Resorts, Inc.		615		7,571
Invitation Homes, Inc.		1,594		37,698
Jernigan Capital, Inc.		885		11,682
Kilroy Realty Corp.		554		34,492
Life Storage, Inc.		80		7,007
Mid-America Apartment Communities, Inc.		160		17,907
National Retail Properties, Inc.		305		9,955
Physicians Realty Trust		720		11,102
Prologis, Inc.		1,111		99,135
Public Storage		205		38,017
Realty Income Corp.		195		10,709
Rexford Industrial Realty, Inc.		430		17,510
SBA Communications Corp.		4,750		1,377,120
STAG Industrial, Inc.		410		10,762
STORE Capital Corp.		525		10,537
Sun Communities, Inc.		370		49,728
Sunstone Hotel Investors, Inc.		700		6,433
Terreno Realty Corp.		120		6,578
UDR, Inc.		362		13,564
Urban Edge Properties		875		10,062
Welltower, Inc.		480		24,590
Total Real Estate				5,168,615
TOTAL COMMON STOCKS
(Identified Cost $92,907,170)				102,806,869
CORPORATE BONDS - 4.4%
Non-Convertible Corporate Bonds - 4.4%
Communication Services - 1.1%
Diversified Telecommunication Services - 0.5%
AT&T, Inc., 4.25%, 3/1/2027		210,000		231,428

	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Communication Services (continued)
Diversified Telecommunication Services(continued)
Verizon Communications, Inc., 5.25%, 3/16/2037		270,000	$	359,640
				591,068
Interactive Media & Services - 0.2%
Tencent Holdings Ltd. (China)1, 3.975%, 4/11/2029		160,000		180,009
Media - 0.4%
Altice Financing S.A. (Luxembourg)1, 7.50%, 5/15/2026		10,000		10,425
CCO Holdings LLC - CCO Holdings Capital Corp.1, 4.50%, 8/15/2030		10,000		10,128
Comcast Corp., 3.25%, 11/1/2039		170,000		185,215
Discovery Communications LLC, 5.20%, 9/20/2047		200,000		227,791
Townsquare Media, Inc.1, 6.50%, 4/1/2023		10,000		8,841
				442,400
Wireless Telecommunication Services - 0.0%##
Sprint Communications, Inc., 7.00%, 8/15/2020		15,000		15,131
Sprint Corp., 7.25%, 9/15/2021		5,000		5,244
Sprint Corp., 7.125%, 6/15/2024		15,000		16,838
				37,213
Total Communication Services				1,250,690
Consumer Discretionary - 0.6%
Auto Components - 0.0%##
Techniplas LLC1, 10.00%, 5/1/2020..		5,000		888
Automobiles - 0.0%##
Ford Motor Co., 9.625%, 4/22/2030..		10,000		9,963
Diversified Consumer Services - 0.0%##
Carriage Services, Inc.1, 6.625%,
6/1/2026		10,000		9,861
Household Durables - 0.1%
Foxtrot Escrow Issuer LLC - Foxtrot
Escrow Corp.1, 12.25%, 11/15/2026		15,000		12,375
LGI Homes, Inc.1, 6.875%, 7/15/2026		20,000		18,625
TRI Pointe Group, Inc. - TRI Pointe Homes, Inc., 5.875%, 6/15/2024		5,000		4,850
Weekley Homes LLC - Weekley Finance Corp., 6.625%, 8/15/2025		10,000		9,004
				44,854

The accompanying notes are an integral part of the financial statements.

61 

Investment Portfolio - April 30, 2020 

(unaudited)

BLENDED ASSET MAXIMUM SERIES
	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Consumer Discretionary (continued)
Internet & Direct Marketing Retail - 0.4%
Alibaba Group Holding Ltd. (China), 3.40%, 12/6/2027		170,000	$	184,715
Booking Holdings, Inc., 3.60%, 6/1/2026		170,000		177,648
Expedia Group, Inc.1, 6.25%, 5/1/2025		105,000		107,079
Photo Holdings Merger Sub, Inc.1, 8.50%, 10/1/2026		15,000		12,988
				482,430
Multiline Retail - 0.0%##
Staples, Inc.1, 7.50%, 4/15/2026		10,000		7,900
Specialty Retail - 0.1%
The TJX Cos, Inc., 3.50%, 4/15/2025		110,000		118,630
Total Consumer Discretionary				674,526
Consumer Staples - 0.0%##
Food & Staples Retailing - 0.0%##
KeHE Distributors LLC - KeHE Finance Corp.1, 8.625%, 10/15/2026		10,000		10,575
Energy - 0.7%
Energy Equipment & Services - 0.0%##
Oceaneering International, Inc.,
6.00%, 2/1/2028		15,000		7,706
Oil, Gas & Consumable Fuels - 0.7%
Antero Midstream Partners LP - Antero Midstream Finance Corp.1, 5.75%, 3/1/2027		10,000		7,400
Antero Midstream Partners LP - Antero Midstream Finance Corp.1, 5.75%, 1/15/2028		5,000		3,675
Bruin E&P Partners LLC3, 8.875%, 8/1/2023		20,000		500
Calumet Specialty Products Partners LP - Calumet Finance Corp.1, 11.00%, 4/15/2025		10,000		7,750
Cheniere Energy Partners LP, 5.625%, 10/1/2026		20,000		19,112
CVR Energy, Inc.1, 5.75%, 2/15/2028		10,000		8,455
Energy Transfer Operating LP, 6.50%, 2/1/2042		140,000		141,184
Genesis Energy LP - Genesis Energy Finance Corp., 7.75%, 2/1/2028		10,000		8,500

	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Energy(continued)
Oil, Gas & Consumable Fuels (continued)
Jonah Energy LLC - Jonah Energy Finance Corp.1, 7.25%, 10/15/2025		10,000	$	175
Kinder Morgan Energy Partners LP, 6.95%, 1/15/2038		170,000		202,680
Laredo Petroleum, Inc., 10.125%, 1/15/2028		10,000		4,074
Lonestar Resources America, Inc.1, 11.25%, 1/1/2023		20,000		2,500
Moss Creek Resources Holdings, Inc.1, 7.50%, 1/15/2026		5,000		1,675
NuStar Logistics LP, 6.75%, 2/1/2021		5,000		4,825
PBF Holding Co. LLC - PBF Finance Corp.1, 6.00%, 2/15/2028		10,000		7,119
Sabine Pass Liquefaction LLC, 5.875%, 6/30/2026		250,000		266,844
Whiting Petroleum Corp.4,5, 5.75%, 3/15/2021		10,000		1,000
The Williams Companies, Inc., 3.75%, 6/15/2027		160,000		159,755
				847,223
Total Energy				854,929
Financials - 0.9%
Banks - 0.8%
Bank of America Corp., 4.00%, 1/22/2025		320,000		345,728
CIT Group, Inc., 4.125%, 3/9/2021		15,000		14,738
Citigroup, Inc., 4.45%, 9/29/2027		140,000		153,362
Fidelity & Guaranty Life Holdings, Inc.1, 5.50%, 5/1/2025		15,000		15,844
JPMorgan Chase & Co.6, (3 mo. LIBOR US + 1.000%), 4.023%, 12/5/2024		160,000		173,191
Popular, Inc., 6.125%, 9/14/2023		10,000		9,625
Santander Holdings USA, Inc., 4.50%, 7/17/2025		210,000		216,255
				928,743
Capital Markets - 0.0%##
Advisor Group Holdings, Inc.1, 10.75%, 8/1/2027		5,000		3,792
Donnelley Financial Solutions, Inc., 8.25%, 10/15/2024		20,000		18,600
Oaktree Specialty Lending Corp., 3.50%, 2/25/2025		10,000		9,155
				31,547

The accompanying notes are an integral part of the financial statements.

62 

Investment Portfolio - April 30, 2020 

(unaudited)

BLENDED ASSET MAXIMUM SERIES
	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials(continued)
Consumer Finance - 0.1%
Credit Acceptance Corp.1, 5.125%, 12/31/2024		5,000	$	4,388
Discover Financial Services, 4.50%, 1/30/2026		10,000		10,399
Navient Corp., 5.00%, 10/26/2020		10,000		9,805
Navient Corp., 6.75%, 6/25/2025		15,000		13,875
SLM Corp., 5.125%, 4/5/2022		10,000		9,160
Springleaf Finance Corp., 7.125%, 3/15/2026		10,000		9,425
				57,052
Diversified Financial Services - 0.0%##
VistaJet Malta Finance plc - XO
Management Holding, Inc.
(Switzerland)1, 10.50%, 6/1/2024		20,000		15,950
Mortgage Real Estate Investment Trusts (REITS) - 0.0%##
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp.1, 5.875%, 8/1/2021		15,000		13,275
Starwood Property Trust, Inc., 3.625%, 2/1/2021		15,000		14,100
				27,375
Thrifts & Mortgage Finance - 0.0%##
Acrisure LLC - Acrisure Finance, Inc.1, 7.00%, 11/15/2025		5,000		4,425
Radian Group, Inc., 4.875%, 3/15/2027		20,000		17,541
				21,966
Total Financials				1,082,633
Health Care - 0.1%
Health Care Providers & Services - 0.1%
HCA, Inc., 4.125%, 6/15/2029		160,000		173,088
Industrials - 0.4%
Aerospace & Defense - 0.0%##
Howmet Aerospace, Inc., 6.875%, 5/1/2025		20,000		20,395
Air Freight & Logistics - 0.0%##
Cargo Aircraft Management, Inc.1, 4.75%, 2/1/2028		15,000		14,006
Building Products - 0.0%##
Griffon Corp., 5.75%, 3/1/2028		10,000		9,525
Commercial Services & Supplies - 0.1%
The ADT Security Corp., 6.25%, 10/15/2021		5,000		5,142

	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Industrials(continued)
Commercial Services & Supplies (continued)
Prime Security Services Borrower LLC - Prime Finance, Inc.1, 5.25%, 4/15/2024		10,000	$	9,797
Prime Security Services Borrower LLC - Prime Finance, Inc.1, 5.75%, 4/15/2026		10,000		9,853
Prime Security Services Borrower LLC - Prime Finance, Inc.1, 6.25%, 1/15/2028		15,000		13,310
Stericycle, Inc.1, 5.375%, 7/15/2024		10,000		10,029
				48,131
Construction & Engineering - 0.0%##
HC2 Holdings, Inc.1, 11.50%, 12/1/2021		3,000		2,610
Tutor Perini Corp.1, 6.875%, 5/1/2025		30,000		23,625
				26,235
Industrial Conglomerates - 0.1%
General Electric Co.6,7, (3 mo. LIBOR US + 3.330%), 5.00%		110,000		90,131
Marine - 0.0%##
American Tanker, Inc. (Norway)1, 9.25%, 2/22/2022		5,000		5,000
Trading Companies & Distributors - 0.2%
AerCap Ireland Capital DAC - AerCap Global Aviation Trust (Ireland), 4.45%, 10/1/2025		110,000		96,805
Air Lease Corp., 3.25%, 3/1/2025		10,000		8,983
Avolon Holdings Funding Ltd. (Ireland)1, 3.25%, 2/15/2027		140,000		108,349
Fortress Transportation & Infrastructure Investors LLC1, 6.50%, 10/1/2025		15,000		12,300
				226,437
Total Industrials				439,860
Information Technology - 0.0%##
IT Services - 0.0%##
Science Applications International Corp.1, 4.875%, 4/1/2028		10,000		9,793
Materials - 0.1%
Chemicals - 0.0%##
PolyOne Corp.1, 5.75%, 5/15/2025		10,000		10,125
Containers & Packaging - 0.0%##
Berry Global, Inc.1, 4.50%, 2/15/2026		10,000		9,871

The accompanying notes are an integral part of the financial statements.

63 

Investment Portfolio - April 30, 2020

(unaudited)

BLENDED ASSET MAXIMUM SERIES
	PRINCIPAL  AMOUNT2		VALUE  (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Materials(continued)
Containers & Packaging (continued)
Graphic Packaging International LLC, 4.75%, 4/15/2021		10,000	$	10,066
				19,937
Metals & Mining - 0.1%
Compass Minerals International, Inc.1, 6.75%, 12/1/2027		10,000		9,900
IAMGOLD Corp. (Canada)1, 7.00%, 4/15/2025		25,000		25,197
Infrabuild Australia Pty Ltd. (Australia)1, 12.00%, 10/1/2024		10,000		8,500
Kinross Gold Corp. (Canada), 4.50%, 7/15/2027		5,000		5,260
Mountain Province Diamonds, Inc. (Canada)1, 8.00%, 12/15/2022		5,000		3,150
Northwest Acquisitions ULC - Dominion Finco, Inc.1, 7.125%, 11/1/2022		10,000		1,025
				53,032
Total Materials				83,094
Real Estate - 0.4%
Equity Real Estate Investment Trusts (REITS) - 0.4%
American Tower Corp., 3.80%, 8/15/2029		210,000		234,749
Crown Castle International Corp., 3.10%, 11/15/2029		230,000		245,486
HAT Holdings I LLC - HAT Holdings II LLC1, 6.00%, 4/15/2025		20,000		20,000
Iron Mountain, Inc., 5.75%, 8/15/2024		10,000		9,825
				510,060
Real Estate Management & Development - 0.0%##
Five Point Operating Co. LP - Five Point Capital Corp.1, 7.875%, 11/15/2025		10,000		9,662
Forestar Group, Inc.1, 5.00%, 3/1/2028		15,000		13,088
				22,750
Total Real Estate				532,810
Utilities - 0.1%
Electric Utilities - 0.1%
Dominion Energy, Inc., 3.375%, 4/1/2030		110,000		119,601
NextEra Energy Operating Partners LP1, 4.25%, 7/15/2024		5,000		5,089
				124,690

	PRINCIPAL AMOUNT2/ SHARES		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Utilities(continued)
Independent Power and Renewable Electricity Producers - 0.0%##
Vistra Operations Co. LLC1, 5.625%, 2/15/2027		10,000	$	10,525
Total Utilities				135,215
TOTAL CORPORATE BONDS
(Identified Cost $5,264,835)				5,247,213
U.S. TREASURY SECURITIES - 8.0%
U.S. Treasury Bonds - 0.5%
U.S. Treasury Bond, 3.00%, 5/15/2047 (Identified Cost $471,916)		445,000		621,870
U.S. Treasury Notes - 7.5%
U.S. Treasury Note, 2.50%, 5/15/2024		2,155,000		2,343,983
U.S. Treasury Note, 2.125%, 5/15/2025		2,110,000		2,294,130
U.S. Treasury Note, 2.00%, 8/15/2025		3,993,000		4,327,570
Total U.S. Treasury Notes
(Identified Cost $8,859,288)				8,965,683
TOTAL U.S. TREASURY SECURITIES
(Identified Cost $9,331,204)				9,587,553
SHORT-TERM INVESTMENT - 1.4%
Dreyfus Government Cash Management, Institutional Shares, 0.17%8 (Identified Cost $1,629,109)		1,629,109		1,629,109
TOTAL INVESTMENTS - 100.0%
(Identified Cost $109,132,318)				119,270,744
OTHER ASSETS, LESS LIABILITIES - 0.0%##				33,788
NET ASSETS - 100%			$	119,304,532

ADR - American Depositary Receipt

LIBOR - London Interbank Offered Rate

The accompanying notes are an integral part of the financial statements.

64 

Investment Portfolio - April 30, 2020

(unaudited)

*Non-income producing security.

## Less than 0.1%.

¹Restricted 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 under the Fund’s Liquidity Risk Management Program. These securities amount to $915,123, or 0.8% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

²Amount is stated in USD unless otherwise noted. 

³Restricted security - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security was acquired on January 17, 2019 and March 26, 2020 at a cost of $4,719 ($94.38 per share) and cost of $1,575 ($10.50 per share), respectively. This security has been sold under rule 144A and has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $500, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁴Illiquid security - This security was acquired on January 8, 2020 and February 5, 2020 at a cost of $4,947 ($98.94 per share) and cost of $4,662 ($93.25 per share), respectively. This security has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $1,000, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements). 

⁵Issuer filed for bankruptcy and/or is in default of interest payments.

⁶Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of April 30, 2020.⁷Security is perpetual in nature and has no stated maturity date. 

⁸Rate shown is the current yield as of April 30, 2020.

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 S&P Global 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.

65 

Statement of Assets and Liabilities - Blended Asset Maximum Series

April 30, 2020 (unaudited)

ASSETS:
Investments, at value (identified cost $109,132,318) (Note 2)	$	119,270,744
Foreign currency, at value (identified cost $29,206)		29,489
Interest receivable		128,676
Foreign tax reclaims receivable		55,092
Receivable for fund shares sold		48,131
Dividends receivable		37,699
Receivable for securities sold		23,264
Prepaid expenses		1,334
TOTAL ASSETS		119,594,429
LIABILITIES:
Accrued management fees (Note 3)		33,979
Accrued fund accounting and administration fees (Note 3)		18,036
Accrued Chief Compliance Officer service fees (Note 3)		956
Payable for securities purchased		165,005
Payable for fund shares repurchased		30,893
Audit fees payable		21,355
Other payables and accrued expenses		19,673
TOTAL LIABILITIES		289,897
TOTAL NET ASSETS	$	119,304,532
NET ASSETS CONSIST OF:
Capital stock	$	95,397
Additional paid-in-capital		111,557,163
Total distributable earnings (loss)		7,651,972
TOTAL NET ASSETS	$	119,304,532
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class R6 ($119,304,532/9,539,667 shares)	$	12.51

The accompanying notes are an integral part of the financial statements.

66 

Statement of Operations - Blended Asset Maximum Series

For the Six Months Ended April 30, 2020 (unaudited)

INVESTMENT INCOME:
Dividends (net of foreign taxes withheld, $37,670)	$	731,654
Interest		193,419
Total Investment Income		925,073
EXPENSES:
Management fees (Note 3)		308,000
Fund accounting and administration fees (Note 3)		31,913
Directors’ fees (Note 3)		5,846
Chief Compliance Officer service fees (Note 3)		1,438
Audit fees		20,857
Custodian fees		17,227
Miscellaneous		24,669
Total Expenses		409,950
Less reduction of expenses (Note 3)		(71,150	)
Net Expenses		338,800
NET INVESTMENT INCOME		586,273
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on-
Investments		271,817
Foreign currency and translation of other assets and liabilities		(11,895	)
		259,922
Net change in unrealized appreciation (depreciation) on-
Investments		(973,954	)
Foreign currency and translation of other assets and liabilities		(48	)
		(974,002	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY		(714,080	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(127,807	)

The accompanying notes are an integral part of the financial statements.

67 

Statements of Changes in Net Assets - Blended Asset Maximum Series

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	586,273		$	1,493,101
Net realized gain (loss) on investments and foreign currency		259,922			(2,014,005	)
Net change in unrealized appreciation (depreciation) on investments and foreign currency		(974,002	)		12,759,347
Net increase (decrease) from operations		(127,807	)		12,238,443
DISTRIBUTIONS TO SHAREHOLDERS (Note 9):
Class R6		(811,236	)		(8,597,011	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase (decrease) from capital share transactions (Note 5)		(7,265,125	)		(17,429,148	)
Net increase (decrease) in net assets		(8,204,168	)		(13,787,716	)
NET ASSETS:
Beginning of period		127,508,700			141,296,416
End of period	$	119,304,532		$	127,508,700

The accompanying notes are an integral part of the financial statements.

68 

Financial Highlights - Blended Asset Maximum Series - Class R6

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)		FOR THE YEAR ENDED						FOR THE PERIOD 10/13/171TO 10/31/17
			10/31/19			10/31/18
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period	$12.66			$11.85			$11.60		$11.59
Income (loss) from investment operations:
Net investment income (loss)2	0.06			0.15			0.12		(0.00	)3
Net realized and unrealized gain (loss) on investments	(0.13	)		1.37			0.21		0.01
Total from investment operations	(0.07	)		1.52			0.33		0.01
Less distributions to shareholders:
From net investment income	(0.08	)		(0.13	)		(0.07	)	—
From net realized gain on investments	—			(0.58	)		(0.01	)	—
Total distributions to shareholders	(0.08	)		(0.71	)		(0.08	)	—
Net asset value - End of period	$12.51			$12.66			$11.85		$11.60
Net assets - End of period (000’s omitted)	$119,305			$127,509			$141,296		$150,579
Total return4	(0.58	%)		13.94	%		2.77	%	0.09	%
Ratios (to average net assets)/Supplemental Data:
Expenses*	0.55	%5		0.55	%		0.55	%	0.55	%5
Net investment income (loss)	0.95	%5		1.25	%		0.96	%	0.11	%5
Series portfolio turnover	56	%		89	%		85	%	4	%
*The investment advisor did not impose all or a portion of its management and/or other fees during the period, and 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:
	0.12	%5		0.13	%		0.10	%	0.66	%5

¹Commencement of operations.

²Calculated based on average shares outstanding during the periods. 

³Less than $(0.01).

⁴Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁵Annualized.

The accompanying notes are an integral part of the financial statements.

69 

Notes to Financial Statements

(unaudited)

1. Organization

Blended Asset Conservative Series, Blended Asset Moderate Series, Blended Asset Extended Series and Blended Asset Maximum 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: Blended Asset Conservative Series - primary objective is to provide current income and its secondary objectives are to provide preservation of capital and long-term growth of capital. Blended Asset Moderate Series - equal emphasis on long-term growth of capital and preservation of capital. Blended Asset Extended Series -primary objective is long-term growth of capital; secondary objective is preservation of capital. Blended Asset Maximum Series -primary objective is long-term growth of capital.

The Fund’s Advisor is Manning & Napier Advisors, LLC (the “Advisor”). The Series are offered exclusively to other funds managed by the Advisor. 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 April 30, 2020, 8.9 billion shares have been designated in total among 31 series, of which 100 million have been designated in each of the Series for Class R6 common stock.

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, 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.

Short-term investments that mature in sixty days or less may be 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

70 

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Security Valuation(continued)

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 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 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.

The following is a summary of the valuation levels used for major security types as of April 30, 2020 in valuing the Series’ assets or liabilities carried at fair value:

	BLENDED ASSET CONSERVATIVE SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2#		LEVEL 3
Assets:
Equity securities:
Communication Services	$	2,505,671	$	1,791,824	$	713,847	$	—
Consumer Discretionary		2,429,998		2,127,352		302,646		—
Consumer Staples		2,876,947		2,303,225		573,722		—
Energy		1,381,730		1,381,730		—		—
Financials		2,124,095		2,124,095		—		—
Health Care		3,359,755		3,359,755		—		—
Industrials		1,986,092		1,839,143		146,949		—
Information Technology		3,906,436		3,906,436		—		—
Materials		554,552		554,552		—		—
Real Estate		2,169,572		2,154,463		15,109		—
Debt securities:
U.S. Treasury and other U.S. Government agencies		22,989,214		—		22,989,214		—
Corporate debt:
Communication Services		3,540,777		—		3,540,777		—
Consumer Discretionary		2,222,614		—		2,222,614		—
Consumer Staples		617,823		—		617,823		—
Energy		2,409,094		—		2,409,094		—
Financials		3,258,995		—		3,258,995		—

71 

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Security Valuation(continued)

	BLENDED ASSET CONSERVATIVE SERIES
DESCRIPTION	TOTAL			LEVEL 1			LEVEL 2#			LEVEL 3
Health Care	$	649,754		$	—		$	649,754		$	—
Industrials		2,221,727			—			2,221,727			—
Information Technology		14,690			—			14,690			—
Materials		111,805			—			111,805			—
Real Estate		2,372,635			—			2,372,635			—
Utilities		428,259			—			428,259			—
Asset-backed securities		5,438,575			—			5,438,575			—
Commercial mortgage-backed securities		6,564,000			—			6,564,000			—
Foreign government bonds		1,294,338			—			1,294,338			—
Short-Term Investment		923,038			923,038			—			—
Total assets		78,352,186			22,465,613			55,886,573			—
Liabilities:
Other financial instruments*:
Equity contracts		(5,260	)		(4,920	)		(340	)		—
Total liabilities		(5,260	)		(4,920	)		(340	)		—
Total	$	78,346,926		$	22,460,693		$	55,886,233		$	—

	BLENDED ASSET MODERATE SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2#		LEVEL 3
Assets:
Equity securities:
Communication Services	$	7,102,456	$	4,665,310	$	2,437,146	$	—
Consumer Discretionary		6,233,721		5,133,868		1,099,853		—
Consumer Staples		5,690,594		3,619,005		2,071,589		—
Energy		4,032,646		4,032,646		—		—
Financials		3,311,417		3,033,528		277,889		—
Health Care		5,296,014		5,123,389		172,625		—
Industrials		2,142,558		1,548,703		593,855		—
Information Technology		7,531,702		7,488,782		42,920		—
Materials		1,361,206		1,313,395		47,811		—
Real Estate		3,552,078		3,534,901		17,177		—
Debt securities:
U.S. Treasury and other U.S. Government agencies		32,468,233		—		32,468,233		—
Corporate debt:
Communication Services		3,840,498		—		3,840,498		—
Consumer Discretionary		2,211,724		—		2,211,724		—
Consumer Staples		639,130		—		639,130		—
Energy		2,531,812		—		2,531,812		—
Financials		3,246,586		—		3,246,586		—
Health Care		508,445		—		508,445		—
Industrials		2,101,950		—		2,101,950		—
Information Technology		24,483		—		24,483		—
Materials		157,039		—		157,039		—
Real Estate		1,520,668		—		1,520,668		—
Utilities		648,394		—		648,394		—
Asset-backed securities		6,504,991		—		6,504,991		—
Commercial mortgage-backed securities		6,462,715		—		6,462,715		—
Foreign government bonds		872,265		—		872,265		—

72 

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Security Valuation(continued)

	BLENDED ASSET MODERATE SERIES
DESCRIPTION	TOTAL			LEVEL 1			LEVEL 2#			LEVEL 3
Short-Term Investment	$	2,474,492		$	2,474,492		$	—		$	—
Total assets		112,467,817			41,968,019			70,499,798			—
Liabilities:
Other financial instruments*:
Equity contracts		(8,835	)		(7,985	)		(850	)		—
Total liabilities		(8,835	)		(7,985	)		(850	)		—
Total	$	112,458,982		$	41,960,034		$	70,498,948		$	—

	BLENDED ASSET EXTENDED SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2#		LEVEL 3
Assets:
Equity securities:
Communication Services	$	15,168,591	$	9,734,468	$	5,434,123	$	—
Consumer Discretionary		13,241,802		10,969,007		2,272,795		—
Consumer Staples		12,157,562		7,457,997		4,699,565		—
Energy		8,331,839		8,331,839		—		—
Financials		6,816,938		6,223,077		593,861		—
Health Care		11,073,848		10,703,934		369,914		—
Industrials		4,334,782		3,176,366		1,158,416		—
Information Technology		15,758,040		15,660,952		97,088		—
Materials		2,847,436		2,747,185		100,251		—
Real Estate		7,325,146		7,289,368		35,778		—
Debt securities:
U.S. Treasury and other U.S. Government agencies		38,615,581		—		38,615,581		—
Corporate debt:
Communication Services		4,408,953		—		4,408,953		—
Consumer Discretionary		2,610,282		—		2,610,282		—
Consumer Staples		26,438		—		26,438		—
Energy		2,806,174		—		2,806,174		—
Financials		3,916,053		—		3,916,053		—
Health Care		562,535		—		562,535		—
Industrials		2,556,396		—		2,556,396		—
Information Technology		34,276		—		34,276		—
Materials		243,185		—		243,185		—
Real Estate		2,054,392		—		2,054,392		—
Utilities		696,626		—		696,626		—
Asset-backed securities		8,021,918		—		8,021,918		—
Commercial mortgage-backed securities		7,699,432		—		7,699,432		—
Foreign government bonds		973,198		—		973,198		—
Short-Term Investment		1,034,349		1,034,349		—		—
Total assets		173,315,772		83,328,542		89,987,230		—

73 

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Security Valuation(continued)

	BLENDED ASSET EXTENDED SERIES
DESCRIPTION	TOTAL			LEVEL 1			LEVEL 2#			LEVEL 3
Liabilities:
Other financial instruments*:
Equity contracts	$	(20,195	)	$	(18,155	)	$	(2,040	)	$	—
Total liabilities		(20,195	)		(18,155	)		(2,040	)		—
Total	$	173,295,577		$	83,310,387		$	89,985,190		$	—

	BLENDED ASSET MAXIMUM SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2#		LEVEL 3
Assets:
Equity securities:
Communication Services	$	14,150,749	$	10,134,181	$	4,016,568	$	—
Consumer Discretionary		18,177,381		15,868,572		2,308,809		—
Consumer Staples		12,301,887		8,652,869		3,649,018		—
Energy		6,882,953		6,882,953		—		—
Financials		10,338,899		8,403,305		1,935,594		—
Health Care		11,721,323		11,438,093		283,230		—
Industrials		4,226,615		2,407,493		1,819,122		—
Information Technology		17,180,770		17,115,524		65,246		—
Materials		2,657,677		2,592,563		65,114		—
Real Estate		5,168,615		5,157,897		10,718		—
Debt securities:
U.S. Treasury and other U.S. Government agencies		9,587,553		—		9,587,553		—
Corporate debt:
Communication Services		1,250,690		—		1,250,690		—
Consumer Discretionary		674,526		—		674,526		—
Consumer Staples		10,575		—		10,575		—
Energy		854,929		—		854,929		—
Financials		1,082,633		—		1,082,633		—
Health Care		173,088		—		173,088		—
Industrials		439,860		—		439,860		—
Information Technology		9,793		—		9,793		—
Materials		83,094		—		83,094		—
Real Estate		532,810		—		532,810		—
Utilities		135,215		—		135,215		—
Short-Term Investment		1,629,109		1,629,109		—		—
Total assets	$	119,270,744	$	90,282,559	$	28,988,185	$	—

^#Includes certain foreign equity securities for which a factor from a third party vendor was applied to determine the securities’ fair value following the close of local trading.

*Other financial instruments are exchange traded options (Level 1 and Level 2).

There were no Level 3 securities held by any of the Blended Asset Series as of October 31, 2019 and April 30, 2020.

Other Market and Credit Risk

Certain debt securities, derivatives and other financial instruments utilize the London Interbank Offered Rate (“LIBOR”) as the reference or benchmark rate for variable interest rate calculations. In July 2017, the UK Financial Conduct Authority announced a desire to phase out the use of LIBOR by the end of 2021, suggesting that LIBOR may cease to be published after that time. Regulators and financial industry groups have begun planning for a transition to the use of a different benchmark, but there are

74 

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Other Market and Credit Risk(continued)

obstacles and a lack of global consensus, and the process for amending existing contracts or instruments to transition away from LIBOR remains unclear. The transition process might lead to increased volatility and illiquidity in markets that currently rely on the LIBOR to determine interest rates, a reduction in the values of some LIBOR-based investments, and reduced effectiveness of certain hedging strategies, which may adversely affect a Series’ performance or net asset value. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021. In addition, the alternative reference or benchmark rate may be an ineffective substitute resulting in prolonged adverse market conditions for a Portfolio.

Accounting Standards Update No. 2017-18

Accounting Standards Update No. 2017-18, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): “Premium Amortization of Purchased Callable Debt Securities” requires that the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices, be amortized to the earliest call date. The guidance was adopted by each series as of November 1, 2019 on a modified retrospective basis. The cost basis of the securities on November 1, 2019 has been decreased by $896, $1,081, $1,230 and $249 on Blended Asset Conservative Series, Blended Asset Moderate Series, Blended Asset Extended Series and Blended Asset Maximum Series, respectively. This change had no impact on total distributable earnings (loss) or the net asset value for any Class of any Series.

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 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

75 

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Option Contracts(continued)

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).

The measurement of the risks associated with option contracts is meaningful only when all related and offsetting transactions are considered. The counterparty for the Series’ written options contracts outstanding during the six months ended April 30, 2020 is Pershing LLC, a BNY Mellon Company.

The following table presents the present value of derivatives held at April 30, 2020 as reflected on the Statement of Assets and Liabilities, and the effect of the derivative instruments on the Statement of Operations:

BLENDED ASSET CONSERVATIVE SERIES
STATEMENT OF ASSETS AND LIABILITIES
Derivative	Liabilities Location
Equity contracts	Options written, at value	$	(5,260)
STATEMENT OF OPERATIONS
Derivative	Location of Gain or (Loss) on Derivatives	Realized Gain (Loss) on Derivatives
Equity contracts	Net realized gain (loss) on options written	$	39,893
Derivative	Location of Appreciation (Depreciation) on Derivatives	Unrealized Appreciation (Depreciation) on Derivatives
Equity contracts	Net change in unrealized appreciation (depreciation) on options written	$	3,909

76 

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Option Contracts(continued)

BLENDED ASSET MODERATE SERIES
STATEMENT OF ASSETS AND LIABILITIES
Derivative	Liabilities Location
Equity contracts	Options written, at value	$	(8,835	)

STATEMENT OF OPERATIONS
		Realized Gain
		(Loss) on
Derivative	Location of Gain or (Loss) on Derivatives	Derivatives
Equity contracts	Net realized gain (loss) on options written	$	80,249
		Unrealized
		Appreciation
	Location of Appreciation (Depreciation) on	(Depreciation)
Derivative	Derivatives	on Derivatives
Equity contracts	Net change in unrealized appreciation  (depreciation) on options written	$	11,918

BLENDED ASSET EXTENDED SERIES
STATEMENT OF ASSETS AND LIABILITIES
Derivative	Liabilities Location
Equity contracts	Options written, at value	$	(20,195	)

STATEMENT OF OPERATIONS
		Realized Gain
		(Loss) on
Derivative	Location of Gain or (Loss) on Derivatives	Derivatives
Equity contracts	Net realized gain (loss) on options written	$	183,165
		Unrealized
		Appreciation
	Location of Appreciation (Depreciation) on	(Depreciation)
Derivative	Derivatives	on Derivatives
Equity contracts	Net change in unrealized appreciation (depreciation) on options written	$	25,972

The average month-end balances for the six months ended April 30, 2020, the period in which such derivatives were outstanding, were as follows:

	BLENDED ASSET	BLENDED ASSET	BLENDED ASSET
	CONSERVATIVE	MODERATE	EXTENDED
	SERIES	SERIES	SERIES
Options:
Average number of option contracts written	50	114	255
Average notional value of option contracts written	$431,631	$932,747	$2,097,989

Asset-Backed Securities

Each Series may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of

77 

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Asset-Backed Securities(continued)

a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e. loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a Series may subsequently have to reinvest the proceeds at lower interest rates. If a Series has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

Mortgage-Backed Securities

Each Series may invest in mortgage-backed securities (“MBS” or pass-through certificates) that represent an interest in a pool of specific underlying mortgage loans and entitle a Series to the periodic payments of principal and interest from those mortgages. MBS may be issued by government agencies or corporations, or private issuers. Most MBS issued by government agencies are guaranteed; however, the degree of protection differs based on the issuer. For MBS there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury. Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

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 Series to purchase securities for a predetermined price with payment and delivery taking place beyond the customary settlement period. When such purchases are outstanding, the Series 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 ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining their net asset value. The Series may sell the when-issued securities before they are delivered, which may result in a capital gain or loss. No such investments were held by the Series on April 30, 2020.

In connection with their ability to purchase or sell securities on a forward commitment basis, the Series 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

78 

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Securities Purchased on a When-Issued Basis or Forward Commitment(continued)

counterparty to meet the terms of the agreement; the potential of the Series 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 Series forgoes principal and interest paid on the securities. The Series accounts for such dollar rolls as purchases and sales. No such investments were held by the Series on April 30, 2020.

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.

Illiquid Securities

A security may be considered illiquid if so deemed in good faith by the Advisor under procedures approved by and under the general supervision and responsibility of the Fund’s Board. Securities that are illiquid are marked with the applicable footnote 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 April 30, 2020, 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 period ended October 31, 2017 and the years ended October 31, 2018 and October 31, 2019. 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.

79 

Notes to Financial Statements (continued)

(unaudited)

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 0.40% for Blended Asset Conservative Term Series, 0.45% for Blended Asset Moderate Series, and 0.50% for Blended Asset Extended Series and Blended Asset Maximum 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, Governance & Nominating Committee Chair and Lead Independent Director who each receive an additional annual stipend for these roles.

The Advisor has contractually agreed 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 the amounts presented in the following table, of average daily net assets each year.

SERIES/CLASS	EXPENSE LIMIT
Blended Asset Conservative Series	0.45	%
Blended Asset Moderate Series	0.50	%
Blended Asset Extended Series	0.55	%
Blended Asset Maximum Series	0.55	%

80 

Notes to Financial Statements (continued)

(unaudited)

3. Transactions with Affiliates (continued)

For the six months ended April 30, 2020, the Advisor waived the following amounts which are included as a reduction of expenses on the Statements of Operations:

SERIES/CLASS	WAIVER AMOUNT
Blended Asset Conservative Series Class R6	$75,787
Blended Asset Moderate Series Class R6	81,747
Blended Asset Extended Series Class R6	79,499
Blended Asset Maximum Series Class R6	71,150

The contractual waivers are expected to continue indefinitely, and may not be amended or terminated by the Advisor without the approval of the Series’ Board of Directors. The Advisor’s agreement to limit the Series’ operating expenses is limited to direct operating expenses and, therefore, does not apply to acquired fund fees and expenses, which are indirect expenses incurred by the Series through their investments in other investment companies. The Advisor may receive from a Series the difference between the Series’ total direct annual fund operating expenses and the Series’ contractual expense limit to recoup all or a portion of its prior fee waivers or expense reimbursements made during the rolling three-year period preceding the recoupment if at any point the total direct annual fund operating expenses are below the contractual expense limit (a) at the time of the fee waiver and/or expense reimbursement and (b) at the time of the recoupment. For the six months ended April 30, 2020, the Advisor did not recoup any expenses that have been previously waived or reimbursed.

As of April 30, 2020, the class specific waivers or reimbursements subject to possible future recoupment under the expense limitation agreement are as follows:

SERIES/CLASS	EXPIRING OCTOBER 31,
	2022	2023
Blended Asset Conservative Series Class R6	$112,080	$75,787
Blended Asset Moderate Series Class R6	135,813	81,747
Blended Asset Extended Series Class R6	129,515	79,499
Blended Asset Maximum Series Class R6	108,804	71,150

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 February 13, 2020, 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 Income Series); 0.0075% on the next $15 billion of average daily net assets (excluding Target Series and Income Series); and 0.0065% of average daily net assets in excess of $40 billion (excluding Target Series and Income Series); plus a base fee of $30,400 per series. 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.

81 

Notes to Financial Statements (continued)

(unaudited)

4. Purchases and Sales of Securities

For the six months ended April 30, 2020, purchases and sales of securities, including paydowns and other than short-term securities, were as follows:

	PURCHASES		SALES
SERIES	OTHER	GOVERNMENT	OTHER	GOVERNMENT
	ISSUERS		ISSUERS
Blended Asset Conservative Series	$27,589,941	$22,259,690	$17,531,879	$30,586,271
Blended Asset Moderate Series	45,449,052	36,276,996	25,871,394	38,343,836
Blended Asset Extended Series	73,837,768	48,341,885	54,082,390	62,339,516
Blended Asset Maximum Series	48,096,883	20,550,020	46,834,399	28,367,913

5. Capital Stock Transactions

Transactions in Class R6 shares of each Series were:

BLENDED CONSERVATIVE	FOR THE SIX MONTHS						FOR THE YEAR
SERIES CLASS R6:	ENDED 4/30/20						ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		259,165		$	2,976,628			988,490		$	10,772,756
Repurchased		(371,159	)		(4,250,946	)		(5,987,749	)		(63,006,339	)
Total		(111,994	)	$	(1,274,318	)		(4,999,259	)	$	(52,233,583	)

BLENDED ASSET MODERATE	FOR THE SIX MONTHS						FOR THE YEAR
SERIES CLASS R6:	ENDED 4/30/20						ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		1,737,866		$	20,485,914			2,049,197		$	21,783,539
Repurchased		(586,265	)		(6,762,602	)		(4,805,589	)		(49,928,608	)
Total		1,151,601		$	13,723,312			(2,756,392	)	$	(28,145,069	)

BLENDED ASSET EXTENDED	FOR THE SIX MONTHS						FOR THE YEAR
SERIES CLASS R6:	ENDED 4/30/20						ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		2,181,329		$	25,169,227			3,645,933		$	37,740,778
Repurchased		(1,934,703	)		(22,221,153	)		(9,056,132	)		(90,140,575	)
Total		246,626		$	2,948,074			(5,410,199	)	$	(52,399,797	)

BLENDED ASSET MAXIMUM	FOR THE SIX MONTHS						FOR THE YEAR
SERIES CLASS R6:	ENDED 4/30/20						ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		992,124		$	12,704,234			3,226,874		$	37,659,088
Repurchased		(1,524,390	)		(19,969,359	)		(5,081,020	)		(55,088,236	)
Total		(532,266	)	$	(7,265,125	)		(1,854,146	)	$	(17,429,148	)

At April 30, 2020, the Target Income Series, another series of the Fund, owned 98.3% of Blended Asset Conservative Series. The Target 2020 Series and Target 2025 Series, other series of the Fund, owned 51.4%, and 48.7%, respectively, of Blended Asset Moderate Series. The Target 2025 Series, Target 2030 Series, Target 2035 Series, and Target 2040 Series, other series of the Fund, owned 10.3%, 47.0%, 22.5%, and 15.9%, respectively, of Blended Asset Extended Series. The Target 2035 Series, Target 2040 Series, Target 2045 Series, Target 2050 Series, Target 2055 and Target 2060 Series, other series of the Fund, owned 10.3%, 21.8%, 17.4%, 26.5%, 11.9%, and 12.1%, respectively, of Blended Asset Maximum Series. Investment activities of these shareholders may have a material effect on the respective Series.

82 

Notes to Financial Statements (continued)

(unaudited)

6. Line of Credit

The Fund has entered into a 364-day, $25 million credit agreement (the “line of credit”) with Bank of New York Mellon. Each series of the Fund may borrow under the line of credit for temporary or emergency purposes, including funding shareholder redemptions and other short-term liquidity purposes. The Fund pays an annual fee on the unused commitment amount, payable quarterly, and is allocated among all the series of the Fund and included in miscellaneous expenses in the Statement of Operations for each series. The line of credit expires in August 2020 unless extended or renewed. During the six months ended April 30, 2020, none of the Series borrowed under the line of credit.

7. 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 April 30, 2020, Blended Asset Conservative Series, Blended Asset Moderate Series and Blended Asset Extended Series invested in options contracts (equity risk).

The Series may invest in a loan assignment of all or a portion of the loans. A 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. At April 30, 2020, none of the Series held any loan assignments.

8. 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.

9. 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) and real estate investment trusts. 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. 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, 2019 were as follows:

	BLENDED ASSET CONSERVATIVE SERIES		BLENDED ASSET MODERATE SERIES		BLENDED ASSET EXTENDED SERIES		BLENDED ASSET MAXIMUM SERIES
Ordinary income	$	2,530,275	$	2,137,657	$	3,918,264	$	8,518,827
Long-term capital gains		—		—		—		78,184

83 

Notes to Financial Statements (continued)

(unaudited)

9. Federal Income Tax Information (continued)

At April 30, 2020, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized appreciation were as follows:

	BLENDED ASSET			BLENDED ASSET			BLENDED ASSET			BLENDED ASSET
	CONSERVATIVE			MODERATE			EXTENDED			MAXIMUM
	SERIES			SERIES			SERIES			SERIES
Cost for federal income tax purposes	$	76,274,993		$	107,698,867		$	164,512,688		$	110,294,809
Unrealized appreciation		3,718,976			7,692,033			14,573,349			15,033,432
Unrealized depreciation		(1,647,043	)		(2,931,918	)		(5,790,460	)		(6,057,497	)
Net unrealized appreciation	$	2,071,933		$	4,760,115		$	8,782,889		$	8,975,935

At October 31, 2019, Blended Asset Conservative Series, Blended Asset Moderate Series, Blended Asset Extended Series and Blended Asset Maximum Series had net short-term capital loss carryforwards of $806,654, $0, $7,906 and $1,656,726 and long-term capital loss carryforwards of $734,995, $887,050, $1,581,128 and $868,737, respectively, which may be carried forward indefinitely.

10. Market Event

In March 2020, the World Health Organization declared COVID-19 (a novel coronavirus) to be a pandemic. The situation is dynamic. Global financial markets have experienced and may continue to experience significant volatility resulting from the spread of COVID-19. The outbreak of COVID-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty. The global economy, the economies of certain nations and individual issuers have been and may continue to be adversely affected by COVID-19, particularly in light of the interconnectivity between economies and financial markets, all of which may negatively impact the Funds performance. In addition, COVID-19 and governmental responses to COVID-19 may negatively impact the capabilities of the Funds service providers and disrupt the Funds operations. Management of the Fund will continue to monitor the impact of COVID-19.

11. Subsequent Events

In preparing these financial statements, management of the Fund has evaluated events and transactions for potential recognition or disclosure through June 17, 2020, the date the financial statements were issued, and the following item was noted:

In March of this year, William Manning, who is the co-founder of Manning & Napier, Inc. (“MN Inc.”), which is the ultimate parent company of the Advisor, delivered to the company an exchange notice under the terms of the exchange agreement (the “Exchange Agreement”) that was entered into at the time that MN Inc. became a public company in 2011. Pursuant to the Exchange Agreement, Mr. Manning was able to tender the entirety of his private interests in Manning & Napier Group, LLC (“MN Group”), the managing member of the Advisor, exchangeable for cash or shares of MN Inc. Class A common stock. On April 9, 2020, MN Inc. delivered to Mr. Manning a letter indicating that, as permitted under the Exchange Agreement, it would satisfy Mr. Manning’s exchange request by purchasing all of Mr. Manning’s private interests in MN Group (the “Transaction”). The Transaction, which settled on May 11, 2020, divested Mr. Manning’s entirely of his ownership interest in MN Group. Mr. Manning also served as the Chairman of the Board of Directors of MN Inc. through June 10, 2020 and did not stand for reelection.

The Transaction may be deemed to result in a change of control of the Advisor, under the 1940 Act, which results in the assignment and automatic termination of the investment advisory agreements pursuant to which the Advisor provides investment advisory services to the Series (the “Current Agreement”). At a meeting of the Board of Directors of the Advisor on April 22, 2020, the Board approved new investment advisory agreements for the Series (“New Agreement”), that require shareholder approval to take effect. Shareholders are being asked to approve the New Agreement through a proxy statement that was filed on May 15, 2020, which will enable the Advisor to continue to serve the Series. Terms of the New Agreement are the same as the Current Agreement, therefore there are no changes in fees paid to the Advisor.

84 

Notes to Financial Statements (continued)

(unaudited)

11. Subsequent Events (continued)

In relation to the termination of the Current Agreement, at a meeting of the Board of Directors of the Advisor on April 17, 2020, the Board approved an interim advisory agreement which became effective on May 11, 2020 with the closing of the Transaction, allowing the Advisor to continue to provide investment advisory services for each Series for up to 150 days between termination of the Current Agreement and shareholder approval of the New Agreement. Terms of the interim advisory agreement is the same as the Current Agreement, therefore there are no changes in fees paid to the Advisor.

85 

Renewal of Investment Advisory Agreement
(unaudited)

At the Manning & Napier Fund, Inc. (the “Fund”) Board of Directors’ (the “Board”) meeting, held on November 21, 2019, the Investment Advisory Agreement (the “Agreement”) between the Fund and Manning & Napier Advisors, LLC (the “Advisor”) was considered for renewal by the Board, including all of the Directors who are not “interested persons” (“Independent Directors”), within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”). In connection with the decision whether to renew the Agreement, a variety of material was provided to the Board in advance of the meeting for their review and consideration. The Board also held a working session on October 25, 2019 to review and discuss information provided to the Board, and for the Board to request additional information.

Representatives of the Advisor attended a portion of the working session and attended the Board meeting. The Advisor provided supplemental information requested by the Board and presented additional oral information to the Board to assist the Board in its considerations. In addition to the information furnished by the Advisor, the Board was provided with a legal memorandum discussing its fiduciary duties related to its approval of the continuation of the Agreement. Legal counsel for the Fund discussed with the Board the applicable legal considerations. In addition, the Board received in-person presentations about the Fund throughout the year.

The Independent Directors were advised by independent legal counsel with respect to these matters. The Independent Directors also met separately in an executive session with their legal counsel without any representatives of the Advisor present.

The Directors’ determinations at the meeting were made on the basis of each Director’s business judgment after consideration of all the information presented. In deciding to recommend the renewal of the Agreement with respect to each Series of the Fund, the Independent Directors did not identify any single or particular piece of information that, in isolation, was the controlling factor. Each Independent Director may also have weighed factors differently. This summary describes the most important, but not all, of the factors considered by the Board and the Independent Directors.

● The Board considered the nature and quality of services provided by the Advisor under the Agreement for over 30 years 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 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 considered the numerous services performed by the Advisor and its affiliates beyond those stated in the Agreements. The Board also considered the Advisor’s personnel who perform services to the Fund, changes in senior or key personnel, industry trends impacting the mutual fund industry, the strength of the Advisor’s compliance infrastructure, policies and procedures relating to compliance with securities regulations, reputation, expertise and resources. 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 Advisor’s investments teams, including changes to the investment teams and investment team’s compensation during the past year, and the investment process. The Board considered the performance of each Series since its inception, as well as over multiple time periods including: one year, 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 (and considers on a quarterly basis) a number of other factors relevant to performance at the meeting including: a peer group performance analysis consisting of Morningstar universes of mutual funds with similar investment objectives; the breadth of the Fund’s product offerings; and performance over reasonable time periods. Representatives of the Advisor discussed improved performance for many of the Series over the one- and three-year time periods ending September 30, 2019. The Board discussed with Representatives of the Advisor, performance challenges that continue to impact the three- and five-year performance of certain Fund’s strategies resulting from periods of underperformance in 2014 and 2016. After discussion, the Board acknowledged the improved short term performance of many of the Series and concluded that notwithstanding the performance challenges that continue to impact certain Series, the nature and quality of the investment management services provided by the Advisor to the Fund supported the renewal of the agreement.

● 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 contractual expense waivers or reimbursements paid by the Advisor. Representatives of the Advisor discussed the multi-year fee restructuring initiative which was completed by the Advisor on March 1, 2019 to increase the competitiveness of the Fund’s fees. The fee

86 

Renewal of Investment Advisory Agreement
(unaudited)

restructuring project also resulted in a set of standardized share classes to help support the Fund’s distribution efforts across client types and varying intermediary distribution models.

● The Board considered whether the Advisor had achieved economies of scale with respect to its services to the Fund. The Board acknowledged the expense caps incorporated in the Fund’s current fee structure, which requires the Advisor to subsidize the expenses of the Series operating above their expense cap, noting that 26 Series of the Fund are currently receiving expense reimbursements from the Advisor. The Board concluded that the Fund would need to grow in assets before the Advisor would be able to achieve meaningful economies of scale.

● The Advisor provided the Board with information comparing each Series’ contractual management fees with the Advisor’s standard advisory fees for separate accounts and collective investment trusts. The Board considered that the range of services provided to the Series is more extensive than for the Advisor’s other clients due to additional infrastructure, administrative and regulatory requirements related to operating a mutual fund.

● The current advisory fees, 12b-1 Distribution and Service Fees, other expenses (e.g. a combination of Shareholder Services Fees, intermediary sub-TA fees, routine operating expenses and Acquired Fund Fees and Expenses for fund-of-fund Series) and total expense ratios of each Series and share class were compared and ranked (on both a mean and median basis) against respective peer universes. Respective peer universes included funds of a similar size and with similar investment objectives and expense characteristics as disclosed on the Morningstar database. Representatives of the Advisor discussed with the Board the comparisons and rankings of fees and net expense ratios for each Series of the Fund and the methodology behind the comparison. The Board considered the Advisor’s active portfolio management that results in portfolios that are more differentiated than the construction of their benchmarks. The Board acknowledged that the fee restructuring project completed on March 1, 2019 reduced the expense ratios for shareholders in many Series. Based on their review of the information provided, the Board concluded that the current fees and expenses of each Series of the Fund were reasonable on a comparative basis.

● The Board also considered the other benefits the Advisor derives from its relationship with the Fund. Such other benefits include participation in a joint insurance program, sharing of compensation expenses for certain shared personnel, relationships with large service providers, the utilization of Series within the Advisor’s separately managed accounts and 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. The Board concluded that these additional benefits to the Advisor were reasonable.

Based on the Board’s deliberations and their evaluation of the information described above, the Board, including a majority of the Independent Directors, concluded that the compensation under the Agreement was fair and reasonable with respect to each Series 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, and that the renewal of the Agreement would be in the best interests of each Series and its shareholders. The Board did not indicate that any single factor was determinative of its decision to approve the Agreement, but indicated that the Board based its determination on the total mix of information available to it.

87 

Liquidity Risk Management Program Disclosure
(unaudited)

The Securities and Exchange commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”) to promote effective liquidity risk management across open-end investment companies and reduce the risk that open-end investment companies are unable to meet redemption obligations without a significant dilution of remaining shareholder interests.

The Board of Directors (the “Board”), including a majority of Directors who are not interested persons, of Manning & Napier Fund, Inc. and each of its series (each “a Fund” or collectively, the “Funds”) met on February 13, 2020 (the “Meeting”) to review the Liquidity Risk Management Program (the “Program”) of the Funds, in accordance with the requirements of the Liquidity Rule. The Board appointed the Liquidity Risk Management Committee (the “Committee”), in conjunction with the Fund’s investment advisor, Manning & Napier Advisors, LLC (“MNA”), to administer the Program and review it no less than annually.

At the Meeting, the Committee provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including an evaluation of any material changes to the Program (the “Report”). The Report covered the period from December 1, 2018 through December 31, 2019 (the “Review Period”).

The Report described the Committee’s review of and conclusions around each factor that the Fund must consider to assess, manage and review its Liquidity Risk. Additionally, the Report discussed the Committee’s management of the Program, including an evaluation of the Program’s methodology for classifying each portfolio investment into one of four liquidity buckets. As part of this evaluation the Committee re-affirmed that each Fund operated as a Primarily Highly Liquid Fund, with greater than 50% of net assets consistently invested in Highly Liquid Investments, thereby negating a need to establish a Highly Liquid Investment Minimum for any Fund. Lastly, the Report highlighted the effectiveness of the safeguards that the Committee adopted to prevent a violation of the Liquidity Rule’s 15% limit on a Fund’s acquisition of Illiquid Investments.

There were no material changes to the Program during the Review Period. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.

88 

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89 

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 30^this 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-PORT, and are available, without charge, upon request:

By phone	1-800-466-3863
On the SEC’s web site	http://www.sec.gov

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.

MNBLA-04/20-SAR

Manning & Napier Fund, Inc.

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

Target 2060 Series

Beginning on June 25, 2021, as permitted by Securities and Exchange Commission regulations, paper copies of the Series’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically by contacting your financial intermediary or, if you are a direct investor, by visiting www.manning-napier.com or calling 1-800-466-3863.

You may elect to receive all future annual and semi-annual reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by visiting www.manning-napier.com or calling 1-800-466-3863. Your election to receive reports in paper will apply to all funds held with your financial intermediary if you invest through a financial intermediary or all series of the Fund if you invest directly with the Fund.

Shareholder Expense Example

(unaudited)

As a shareholder of the Series, you incur ongoing costs, including management fees, shareholder service 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 (November 1, 2019 to April 30, 2020).

Actual Expenses

The Actual lines of the tables 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 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 tables 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 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, such as sales charges (loads), redemption fees, or exchange fees that you may incur in other mutual funds. Therefore, the Hypothetical lines of the tables are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

	BEGINNING ACCOUNT VALUE 11/1/19	ENDING ACCOUNT VALUE 4/30/20	EXPENSES PAID DURING PERIOD 11/1/19-4/30/201	ANNUALIZED EXPENSE RATIO2
Target Income
Actual (Class K)	$1,000.00	$1,007.50	$2.25	0.45%
Hypothetical3	$1,000.00	$1,022.63	$2.26	0.45%
Actual (Class R)	$1,000.00	$1,006.30	$3.49	0.70%
Hypothetical3	$1,000.00	$1,021.38	$3.52	0.70%
Actual (Class I)	$1,000.00	$1,009.10	$1.00	0.20%
Hypothetical3	$1,000.00	$1,023.87	$1.01	0.20%

 1

Shareholder Expense Example

(unaudited)

	BEGINNING ACCOUNT VALUE 11/1/19	ENDING ACCOUNT VALUE 4/30/20	EXPENSES PAID DURING PERIOD 11/1/19-4/30/201	ANNUALIZED EXPENSE RATIO2
Target 2015
Actual (Class K)	$1,000.00	$1,010.30	$2.25	0.45%
Hypothetical3	$1,000.00	$1,022.63	$2.26	0.45%
Actual (Class R)	$1,000.00	$1,006.00	$3.49	0.70%
Hypothetical3	$1,000.00	$1,021.38	$3.52	0.70%
Actual (Class I)	$1,000.00	$1,011.50	$1.00	0.20%
Hypothetical3	$1,000.00	$1,023.87	$1.01	0.20%

	BEGINNING ACCOUNT VALUE 11/1/19	ENDING ACCOUNT VALUE 4/30/20	EXPENSES PAID DURING PERIOD 11/1/19-4/30/201	ANNUALIZED EXPENSE RATIO2
Target 2020
Actual (Class K)	$1,000.00	$1,027.90	$2.27	0.45%
Hypothetical3	$1,000.00	$1,022.63	$2.26	0.45%
Actual (Class R)	$1,000.00	$1,027.10	$3.53	0.70%
Hypothetical3	$1,000.00	$1,021.38	$3.52	0.70%
Actual (Class I)	$1,000.00	$1,028.50	$1.01	0.20%
Hypothetical3	$1,000.00	$1,023.87	$1.01	0.20%

	BEGINNING ACCOUNT VALUE 11/1/19	ENDING ACCOUNT VALUE 4/30/20	EXPENSES PAID DURING PERIOD 11/1/19-4/30/201	ANNUALIZED EXPENSE RATIO2
Target 2025
Actual (Class K)	$1,000.00	$1,031.00	$2.27	0.45%
Hypothetical3	$1,000.00	$1,022.63	$2.26	0.45%
Actual (Class R)	$1,000.00	$1,029.40	$3.53	0.70%
Hypothetical3	$1,000.00	$1,021.38	$3.52	0.70%
Actual (Class I)	$1,000.00	$1,032.30	$1.01	0.20%
Hypothetical3	$1,000.00	$1,023.87	$1.01	0.20%

 2

Shareholder Expense Example

(unaudited)

	BEGINNING ACCOUNT VALUE 11/1/19	ENDING ACCOUNT VALUE 4/30/20	EXPENSES PAID DURING PERIOD 11/1/19-4/30/201	ANNUALIZED EXPENSE RATIO2
Target 2030
Actual (Class K)	$1,000.00	$1,035.80	$2.28	0.45%
Hypothetical3	$1,000.00	$1,022.63	$2.26	0.45%
Actual (Class R)	$1,000.00	$1,035.10	$3.54	0.70%
Hypothetical3	$1,000.00	$1,021.38	$3.52	0.70%
Actual (Class I)	$1,000.00	$1,037.20	$1.01	0.20%
Hypothetical3	$1,000.00	$1,023.87	$1.01	0.20%

	BEGINNING ACCOUNT VALUE 11/1/19	ENDING ACCOUNT VALUE 4/30/20	EXPENSES PAID DURING PERIOD 11/1/19-4/30/201	ANNUALIZED EXPENSE RATIO2
Target 2035
Actual (Class K)	$1,000.00	$1,025.00	$2.27	0.45%
Hypothetical3	$1,000.00	$1,022.63	$2.26	0.45%
Actual (Class R)	$1,000.00	$1,024.40	$3.52	0.70%
Hypothetical3	$1,000.00	$1,021.38	$3.52	0.70%
Actual (Class I)	$1,000.00	$1,027.00	$1.01	0.20%
Hypothetical3	$1,000.00	$1,023.87	$1.01	0.20%

	BEGINNING ACCOUNT VALUE 11/1/19	ENDING ACCOUNT VALUE 4/30/20	EXPENSES PAID DURING PERIOD 11/1/19-4/30/201	ANNUALIZED EXPENSE RATIO2
Target 2040
Actual (Class K)	$1,000.00	$1,015.10	$2.25	0.45%
Hypothetical3	$1,000.00	$1,022.63	$2.26	0.45%
Actual (Class R)	$1,000.00	$1,014.20	$3.51	0.70%
Hypothetical3	$1,000.00	$1,021.38	$3.52	0.70%
Actual (Class I)	$1,000.00	$1,016.80	$1.00	0.20%
Hypothetical3	$1,000.00	$1,023.87	$1.01	0.20%

 3

Shareholder Expense Example

(unaudited)

	BEGINNING ACCOUNT VALUE 11/1/19	ENDING ACCOUNT VALUE 4/30/20	EXPENSES PAID DURING PERIOD 11/1/19-4/30/201	ANNUALIZED EXPENSE RATIO2
Target 2045
Actual (Class K)	$1,000.00	$1,004.80	$2.24	0.45%
Hypothetical3	$1,000.00	$1,022.63	$2.26	0.45%
Actual (Class R)	$1,000.00	$1,002.20	$3.48	0.70%
Hypothetical3	$1,000.00	$1,021.38	$3.52	0.70%
Actual (Class I)	$1,000.00	$1,005.50	$1.00	0.20%
Hypothetical3	$1,000.00	$1,023.87	$1.01	0.20%

	BEGINNING ACCOUNT VALUE 11/1/19	ENDING ACCOUNT VALUE 4/30/20	EXPENSES PAID DURING PERIOD 11/1/19-4/30/201	ANNUALIZED EXPENSE RATIO2
Target 2050
Actual (Class K)	$1,000.00	$   992.40	$2.23	0.45%
Hypothetical3	$1,000.00	$1,022.63	$2.26	0.45%
Actual (Class R)	$1,000.00	$   990.30	$3.46	0.70%
Hypothetical3	$1,000.00	$1,021.38	$3.52	0.70%
Actual (Class I)	$1,000.00	$   993.10	$0.99	0.20%
Hypothetical3	$1,000.00	$1,023.87	$1.01	0.20%

	BEGINNING ACCOUNT VALUE 11/1/19	ENDING ACCOUNT VALUE 4/30/20	EXPENSES PAID DURING PERIOD 11/1/19-4/30/201	ANNUALIZED EXPENSE RATIO2
Target 2055
Actual (Class K)	$1,000.00	$   991.70	$2.23	0.45%
Hypothetical3	$1,000.00	$1,022.63	$2.26	0.45%
Actual (Class R)	$1,000.00	$   990.60	$3.46	0.70%
Hypothetical3	$1,000.00	$1,021.38	$3.52	0.70%
Actual (Class I)	$1,000.00	$   992.70	$0.99	0.20%
Hypothetical3	$1,000.00	$1,023.87	$1.01	0.20%

 4

Shareholder Expense Example

(unaudited)

	BEGINNING ACCOUNT VALUE 11/1/19	ENDING ACCOUNT VALUE 4/30/20	EXPENSES PAID DURING PERIOD 11/1/19-4/30/201	ANNUALIZED EXPENSE RATIO2
Target 2060
Actual (Class K)	$1,000.00	$   991.80	$2.23	0.45%
Hypothetical3	$1,000.00	$1,022.63	$2.26	0.45%
Actual (Class R)	$1,000.00	$   990.40	$3.46	0.70%
Hypothetical3	$1,000.00	$1,021.38	$3.52	0.70%
Actual (Class I)	$1,000.00	$   992.40	$0.99	0.20%
Hypothetical3	$1,000.00	$1,023.87	$1.01	0.20%

¹Expenses are equal to each Class’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year. The Class’ total return would have been lower had certain expenses not been waived or 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.

 5

Portfolio Composition as of April 30, 2020 - Asset Allocation¹

(unaudited)

Target Income	Target 2015
Asset Allocation1	Asset Allocation1
Target 2020	Target 2025
Asset Allocation1	Asset Allocation1
Target 2030	Target 2035
Asset Allocation1	Asset Allocation1

* Less than 0.1%.

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.

 6

Portfolio Composition as of April 30, 2020 - Asset Allocation¹ 

(unaudited)

Target 2040	Target 2045
Asset Allocation1	Asset Allocation1
Target 2050	Target 2055
Asset Allocation1	Asset Allocation1
Target 2060
Asset Allocation1

 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.

 7

Investment Portfolios - April 30, 2020 

(unaudited)

			VALUE
TARGET INCOME SERIES	SHARES		(NOTE 2)
AFFILIATED INVESTMENT COMPANIES - 100.1%
Manning & Napier Blended Asset Conservative Series - Class R6	6,675,707	$	76,637,121

TOTAL AFFILIATED INVESTMENT COMPANIES
(Identified Cost $72,675,857)		76,637,121
LIABILITIES, LESS OTHER ASSETS - (0.1%)		(40,078	)
NET ASSETS - 100%	$	76,597,043

			VALUE
TARGET 2015 SERIES	SHARES		(NOTE 2)
AFFILIATED INVESTMENT COMPANIES - 99.1%
Manning & Napier Blended Asset Conservative Series - Class R6	114,195	$	1,310,958
TOTAL AFFILIATED INVESTMENT COMPANIES
(Identified Cost $1,265,660)			1,310,958
OTHER ASSETS, LESS LIABILITIES - 0.9%			11,373
NET ASSETS - 100%		$	1,322,331

			VALUE
TARGET 2020 SERIES	SHARES		(NOTE 2)
AFFILIATED INVESTMENT COMPANIES - 100.1%
Manning & Napier Blended Asset Moderate Series - Class R6	4,797,844	$	56,470,626
TOTAL AFFILIATED INVESTMENT COMPANIES
(Identified Cost $52,179,879)			56,470,626
LIABILITIES, LESS OTHER ASSETS - (0.1%)			(32,147	)
NET ASSETS - 100%		$	56,438,479

The accompanying notes are an integral part of the financial statements.

 8

Investment Portfolios - April 30, 2020 

(unaudited)

			VALUE
TARGET 2025 SERIES	SHARES		(NOTE 2)
AFFILIATED INVESTMENT COMPANIES - 100.1%
Manning & Napier Blended Asset Extended Series - Class R6	1,555,540	$	17,935,373
Manning & Napier Blended Asset Moderate Series - Class R6	4,546,410		53,511,242
TOTAL AFFILIATED INVESTMENT COMPANIES
(Identified Cost $66,347,686)			71,446,615
LIABILITIES, LESS OTHER ASSETS - (0.1%)			(35,715	)
NET ASSETS - 100%		$	71,410,900

			VALUE
TARGET 2030 SERIES	SHARES		(NOTE 2)
AFFILIATED INVESTMENT COMPANIES - 100.0%
Manning & Napier Blended Asset Extended Series - Class R6	7,085,615	$	81,697,137
TOTAL AFFILIATED INVESTMENT COMPANIES
(Identified Cost $74,620,547)			81,697,137
LIABILITIES, LESS OTHER ASSETS - (0.0%)##			(3,801	)
NET ASSETS - 100%		$	81,693,336

## Less than (0.1%).

			VALUE
TARGET 2035 SERIES	SHARES		(NOTE 2)
AFFILIATED INVESTMENT COMPANIES - 100.1%
Manning & Napier Blended Asset Extended Series - Class R6	3,392,583	$	39,116,487
Manning & Napier Blended Asset Maximum Series - Class R6	981,760		12,281,818
TOTAL AFFILIATED INVESTMENT COMPANIES
(Identified Cost $47,869,554)			51,398,305
LIABILITIES, LESS OTHER ASSETS - (0.1%)			(26,920	)
NET ASSETS - 100%		$	51,371,385

The accompanying notes are an integral part of the financial statements.

 9

Investment Portfolios - April 30, 2020 

(unaudited)

			VALUE
TARGET 2040 SERIES	SHARES		(NOTE 2)
AFFILIATED INVESTMENT COMPANIES - 100.1%
Manning & Napier Blended Asset Extended Series - Class R6	2,397,445	$	27,642,535
Manning & Napier Blended Asset Maximum Series - Class R6	2,079,449		26,013,905
TOTAL AFFILIATED INVESTMENT COMPANIES
(Identified Cost $50,448,521)			53,656,440
LIABILITIES, LESS OTHER ASSETS - (0.1%)			(38,036	)
NET ASSETS - 100%		$	53,618,404

			VALUE
TARGET 2045 SERIES	SHARES		(NOTE 2)
AFFILIATED INVESTMENT COMPANIES - 100.0%
Manning & Napier Blended Asset Extended Series - Class R6	634,766	$	7,318,856
Manning & Napier Blended Asset Maximum Series - Class R6	1,655,067		20,704,886
TOTAL AFFILIATED INVESTMENT COMPANIES
(Identified Cost $26,705,666)			28,023,742
LIABILITIES, LESS OTHER ASSETS - (0.0%)##			(8,400	)
NET ASSETS - 100%		$	28,015,342

## Less than (0.1%).

			VALUE
TARGET 2050 SERIES	SHARES		(NOTE 2)
AFFILIATED INVESTMENT COMPANIES - 100.1%
Manning & Napier Blended Asset Maximum Series - Class R6	2,528,777	$	31,635,002
TOTAL AFFILIATED INVESTMENT COMPANIES
(Identified Cost $30,300,628)			31,635,002
LIABILITIES, LESS OTHER ASSETS - (0.1%)			(25,125	)
NET ASSETS - 100%		$	31,609,877

The accompanying notes are an integral part of the financial statements.

 10

Investment Portfolios - April 30, 2020 

(unaudited)

			VALUE
TARGET 2055 SERIES	SHARES		(NOTE 2)
AFFILIATED INVESTMENT COMPANIES - 100.0%
Manning & Napier Blended Asset Maximum Series - Class R6	1,139,889	$	14,260,015
TOTAL AFFILIATED INVESTMENT COMPANIES
(Identified Cost $13,739,948)			14,260,015
LIABILITIES, LESS OTHER ASSETS - (0.0%)##			(5,628	)
NET ASSETS - 100%		$	14,254,387

## Less than (0.1%).

			VALUE
TARGET 2060 SERIES	SHARES		(NOTE 2)
AFFILIATED INVESTMENT COMPANIES - 100.2%
Manning & Napier Blended Asset Maximum Series - Class R6	1,154,725	$	14,445,604
TOTAL AFFILIATED INVESTMENT COMPANIES
(Identified Cost $14,058,208)			14,445,604
LIABILITIES, LESS OTHER ASSETS - (0.2%)			(32,164	)
NET ASSETS - 100%		$	14,413,440

The accompanying notes are an integral part of the financial statements.

 11

Statements of Assets and Liabilities
April 30, 2020 (unaudited)

	TARGET		TARGET			TARGET		TARGET		TARGET
	INCOME		2015			2020		2025		2030
ASSETS:
Total investments in Underlying Series:
At value*	$	76,637,121	$	1,310,958		$	56,470,626	$	71,446,615	$	81,697,137
Receivable from Advisor (Note 3)		7,580		10,686			9,595		10,210		11,699
Receivable for shares of Underlying Series sold		16,281		178			41,677		2,653		2,883
Receivable for fund shares sold		1,528		27			1,744		8,342		88,863
Prepaid expenses		25,544		30,776			24,455		33,062		25,329
TOTAL ASSETS		76,688,054		1,352,625			56,548,097		71,500,882		81,825,911
LIABILITIES:
Accrued distribution and service (Rule 12b-1) fees (Note 3)		19,154		254			13,377		18,951		20,010
Accrued fund accounting and administration fees (Note 3)		10,628		10,224			10,515		10,580		10,636
Accrued sub-transfer agent fees (Note 3)		2,300		499			7,649		3,978		14,766
Accrued Chief Compliance Officer service fees (Note 3)		956		956			956		956		956
Accrued transfer agent fees		18,974		158			13,732		23,788		24,880
Payable for fund shares repurchased		15,531		7			41,747		21		138
Audit fees payable		12,267		12,693			12,391		12,308		12,252
Accrued printing and postage fees		6,682		1,171			5,032		6,493		7,221
Legal fees payable		4,061		4,018			4,049		4,056		4,062
Payable for shares of Underlying Series purchased		—		21			—		8,020		37,625
Other payables and accrued expenses		458		293			170		831		29
TOTAL LIABILITIES		91,011		30,294			109,618		89,982		132,575
TOTAL NET ASSETS	$	76,597,043	$	1,322,331		$	56,438,479	$	71,410,900	$	81,693,336
NET ASSETS CONSIST OF:
Capital stock		73,654		1,119			54,957		54,142		77,136
Additional paid-in-capital		74,925,746		1,697,686			55,236,118		65,068,506		77,024,370
Total distributable earnings (loss)		1,597,643		(376,474	)		1,147,404		6,288,252		4,591,830
TOTAL NET ASSETS	$	76,597,043	$	1,322,331		$	56,438,479	$	71,410,900	$	81,693,336
Class K
Net Assets	$	55,408,696	$	1,238,891		$	37,469,416	$	44,798,183	$	48,112,800
Shares Outstanding		5,306,873		104,821			3,635,183		3,397,892		4,530,970
Net Asset Value, Offering Price, and Redemption Price per share	$	10.44	$	11.82		$	10.31	$	13.18	$	10.62
Class R
Net Assets	$	19,830,214	$	148		$	14,894,533	$	25,144,368	$	26,527,227
Shares Outstanding		1,929,291		12			1,468,003		1,904,910		2,527,001
Net Asset Value, Offering Price, and Redemption Price per share	$	10.28	$	11.961		$	10.15	$	13.20	$	10.50
Class I
Net Assets	$	1,358,133	$	83,292		$	4,074,530	$	1,468,349	$	7,053,309
Shares Outstanding		129,222		7,023			392,493		111,356		655,596
Net Asset Value, Offering Price, and Redemption Price per share	$	10.51	$	11.86		$	10.38	$	13.19	$	10.76
*At identified cost	$	72,675,857	$	1,265,660		$	52,179,879	$	66,347,686	$	74,620,547

¹ The net asset value of the Class R Shares of the Manning & Napier Target 2015 Series net asset value was calculated using unrounded net assets of $148.23 divided by the unrounded shares outstanding of 12.398.

The accompanying notes are an integral part of the financial statements.

 12

Statements of Assets and Liabilities
April 30, 2020 (unaudited)

	TARGET		TARGET		TARGET		TARGET		TARGET		TARGET
	2035		2040		2045		2050		2055		2060
ASSETS:
Total investments in Underlying Series:
At value*	$	51,398,305	$	53,656,440	$	28,023,742	$	31,635,002	$	14,260,015	$	14,445,604
Receivable from Advisor (Note 3)		12,789		14,207		14,680		15,511		15,503		18,859
Receivable for fund shares sold		49,510		28,133		13,930		4,240		11,025		5,827
Receivable for shares of Underlying Series sold		2,710		2,753		2,358		21,343		2,204		3,524
Prepaid expenses		33,193		25,967		31,690		26,162		33,139		10,436
TOTAL ASSETS		51,496,507		53,727,500		28,086,400		31,702,258		14,321,886		14,484,250
LIABILITIES:
Accrued distribution and service (Rule 12b-1) fees (Note 3)		14,099		13,440		7,790		7,767		3,915		4,233
Accrued fund accounting and administration fees (Note 3)		10,458		10,472		10,329		10,351		10,253		10,234
Accrued sub-transfer agent fees (Note 3)		3,790		9,839		2,699		7,495		1,863		470
Accrued Chief Compliance Officer service fees (Note 3)		956		956		956		956		956		956
Payable for shares of Underlying Series purchased		49,380		26,946		7,809		—		11,004		5,452
Accrued transfer agent fees		23,631		23,767		20,471		21,139		18,748		27,796
Audit fees payable		12,420		12,405		12,548		12,521		12,625		12,621
Accrued printing and postage fees		5,485		5,885		4,353		4,653		3,621		4,558
Legal fees payable		4,043		4,047		4,032		4,034		4,025		4,024
Payable for fund shares repurchased		31		508		39		22,989		20		—
Other payables and accrued expenses		829		831		32		476		469		466
TOTAL LIABILITIES		125,122		109,096		71,058		92,381		67,499		70,810
TOTAL NET ASSETS	$	51,371,385	$	53,618,404	$	28,015,342	$	31,609,877	$	14,254,387	$	14,413,440
NET ASSETS CONSIST OF:
Capital stock		37,428		51,405		20,764		30,000		10,866		12,004
Additional paid-in-capital		47,381,194		52,057,469		26,524,228		31,049,672		13,697,666		14,414,665
Total distributable earnings (loss)		3,952,763		1,509,530		1,470,350		530,205		545,855		(13,229	)
TOTAL NET ASSETS	$	51,371,385	$	53,618,404	$	28,015,342	$	31,609,877	$	14,254,387	$	14,413,440
Class K
Net Assets	$	29,346,114	$	32,686,833	$	13,725,592	$	19,380,961	$	7,021,326	$	6,233,795
Shares Outstanding		2,139,738		3,124,318		1,012,520		1,830,417		531,542		517,391
Net Asset Value, Offering Price, and Redemption Price per share	$	13.71	$	10.46	$	13.56	$	10.59	$	13.21	$	12.05
Class R
Net Assets	$	21,147,282	$	18,043,609	$	13,150,919	$	10,336,158	$	6,609,340	$	7,836,393
Shares Outstanding		1,539,469		1,743,350		980,330		992,894		508,387		654,541
Net Asset Value, Offering Price, and Redemption Price per share	$	13.74	$	10.35	$	13.41	$	10.41	$	13.00	$	11.97
Class I
Net Assets	$	877,989	$	2,887,962	$	1,138,831	$	1,892,758	$	623,721	$	343,252
Shares Outstanding		63,549		272,810		83,545		176,691		46,641		28,451
Net Asset Value, Offering Price, and Redemption
Price per share	$	13.82	$	10.59	$	13.63	$	10.71	$	13.37	$	12.06
*At identified cost	$	47,869,554	$	50,448,521	$	26,705,666	$	30,300,628	$	13,739,948	$	14,058,208

The accompanying notes are an integral part of the financial statements.

 13

Statements of Operations
For the Six Months Ended April 30, 2020 (unaudited)

	TARGET			TARGET			TARGET			TARGET			TARGET
	INCOME			2015			2020			2025			2030
INVESTMENT INCOME:
Income distributions from Underlying Series	$	1,175,379		$	18,524		$	670,997		$	794,727		$	787,900
EXPENSES:
Distribution and services (Rule 12b-1) fees (Class K) (Note 3)		70,364			1,511			45,822			54,867			59,009
Distribution and services (Rule 12b-1) fees (Class R) (Note 3)		49,649			8			36,757			61,616			64,114
Fund accounting and administration fees (Note 3)		19,985			19,066			19,721			19,900			20,023
Directors’ fees (Note 3)		3,961			70			2,863			3,181			3,960
Sub-transfer agent fees (Note 3)		3,535			919			10,795			6,160			20,558
Chief Compliance Officer service fees (Note 3)		1,438			1,438			1,438			1,438			1,438
Transfer agent fees		30,703			286			21,781			37,749			40,031
Registration and filing fees		29,406			25,627			28,705			28,267			29,541
Audit fees		11,159			11,035			11,123			11,147			11,163
Legal fees		4,696			4,652			4,683			4,690			4,696
Custodian fees		1,186			1,984			2,045			2,178			2,054
Miscellaneous		12,470			2,929			9,693			12,261			13,838
Total Expenses		238,552			69,525			195,426			243,454			270,425
Less reduction of expenses (Note 3)		(41,200	)		(66,711	)		(57,281	)		(57,034	)		(67,154	)
Net Expenses		197,352			2,814			138,145			186,420			203,271
NET INVESTMENT INCOME		978,027			15,710			532,852			608,307			584,629
REALIZED AND UNREALIZED GAIN (LOSS) ON UNDERLYING SERIES:
Net realized gain (loss) on Underlying Series		207,087			30,703			656,779			1,420,996			811,068
Net change in unrealized appreciation (depreciation) on
Underlying Series		(625,173	)		(31,490	)		326,371			24,240			1,316,981
NET REALIZED AND UNREALIZED GAIN (LOSS) ON UNDERLYING SERIES		(418,086	)		(787	)		983,150			1,445,236			2,128,049
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	559,941		$	14,923		$	1,516,002		$	2,053,543		$	2,712,678

The accompanying notes are an integral part of the financial statements.

 14

Statements of Operations
For the Six Months Ended April 30, 2020 (unaudited)

	TARGET			TARGET			TARGET			TARGET			TARGET			TARGET
	2035			2040			2045			2050			2055			2060
INVESTMENT INCOME:
Income distributions from Underlying Series	$	441,175		$	417,279		$	189,163		$	200,526		$	81,592		$	86,546
EXPENSES:
Distribution and services (Rule 12b-1) fees (Class R) (Note 3)		50,910			44,171			31,709			25,397			16,090			18,824
Distribution and services (Rule 12b-1) fees (Class K) (Note 3)		35,849			40,030			16,948			24,637			8,025			7,742
Fund accounting and administration fees (Note 3)		19,662			19,699			19,393			19,449			19,227			19,247
Sub-transfer agent fees (Note 3)		5,565			13,661			4,077			10,338			2,714			618
Directors’ fees (Note 3)		2,154			2,546			1,177			1,429			578			568
Chief Compliance Officer service fees (Note 3)		1,438			1,438			1,438			1,438			1,437			1,438
Transfer agent fees		37,975			38,723			33,220			34,618			30,629			47,272
Registration and filing fees		27,073			28,422			26,468			27,672			25,784			26,875
Audit fees		11,114			11,119			11,078			11,086			11,056			11,056
Legal fees		4,677			4,681			4,666			4,668			4,659			4,657
Custodian fees		2,179			2,180			2,181			1,193			1,193			1,193
Miscellaneous		10,816			11,534			8,790			9,422			7,613			9,459
Total Expenses		209,412			218,204			161,145			171,347			129,005			148,949
Less reduction of expenses (Note 3)		(72,826	)		(81,191	)		(85,254	)		(89,428	)		(91,479	)		(108,301	)
Net Expenses		136,586			137,013			75,891			81,919			37,526			40,648
NET INVESTMENT INCOME		304,589			280,266			113,272			118,607			44,066			45,898
REALIZED AND UNREALIZED GAIN (LOSS) ON UNDERLYING SERIES:
Net realized gain (loss) on Underlying Series		621,382			733,511			287,454			165,778			60,884			3,988
Net change in unrealized appreciation (depreciation) on Underlying Series		248,327			(309,800	)		(319,426	)		(633,648	)		(311,711	)		(203,227	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON UNDERLYING SERIES		869,709			423,711			(31,972	)		(467,870	)		(250,827	)		(199,239	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	1,174,298		$	703,977		$	81,300		$	(349,263	)	$	(206,761	)	$	(153,341	)

The accompanying notes are an integral part of the financial statements.

 15

Statements of Changes in Net Assets

	TARGET INCOME						TARGET 2015
	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19			FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	978,027		$	2,078,282		$	15,710		$	23,776
Net realized gain (loss) on Underlying Series		207,087			(2,085,634	)		30,703			(11,330	)
Net change in unrealized appreciation (depreciation) on Underlying Series		(625,173	)		6,772,108			(31,490	)		129,314
Net increase from operations		559,941			6,764,756			14,923			141,760
DISTRIBUTIONS TO SHAREHOLDERS (Note 9):
Class K		(862,136	)		(1,741,589	)		(17,419	)		(22,028	)
Class R		(283,200	)		(327,071	)		(2	)		(510	)
Class I		(18,199	)		(19,232	)		(1,300	)		(1,765	)
Class R6		—			(82	)		—			(89	)
Total distributions to shareholders		(1,163,535	)		(2,087,974	)		(18,721	)		(24,392	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase (decrease) from capital share transactions (Note 6)		(1,401,175	)		(51,820,962	)		59,083			(977,578	)
Net increase (decrease) in net assets		(2,004,769	)		(47,144,180	)		55,285			(860,210	)
NET ASSETS:
Beginning of period		78,601,812			125,745,992			1,267,046			2,127,256
End of period	$	76,597,043		$	78,601,812		$	1,322,331		$	1,267,046

The accompanying notes are an integral part of the financial statements.

 16

Statements of Changes in Net Assets

	TARGET 2020						TARGET 2025						TARGET 2030
	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19			FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19			FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	532,852		$	1,278,558		$	608,307		$	802,817		$	584,629		$	1,326,318
Net realized gain (loss) on Underlying Series		656,779			(2,113,952	)		1,420,996			(84,324	)		811,068			(3,146,653	)
Distributions of realized gains from Underlying Series		—			30,592			—			96,454			—			969,561
Net change in unrealized appreciation (depreciation) on Underlying Series		326,371			6,316,607			24,240			6,607,607			1,316,981			8,333,767
Net increase from operations		1,516,002			5,511,805			2,053,543			7,422,554			2,712,678			7,482,993
DISTRIBUTIONS TO SHAREHOLDERS (Note 9):
Class K		(435,625	)		(1,055,432	)		(503,081	)		(618,436	)		(448,414	)		(1,979,160	)
Class R		(162,021	)		(200,008	)		(245,436	)		(383,438	)		(217,709	)		(489,793	)
Class I		(52,799	)		(64,703	)		(16,796	)		(25,048	)		(74,263	)		(136,991	)
Class R6		—			(72	)		—			(84	)		—			(109	)
Total distributions to shareholders		(650,445	)		(1,320,215	)		(765,313	)		(1,027,006	)		(740,386	)		(2,606,053	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase (decrease) from capital share transactions (Note 6)		(801,006	)		(41,474,278	)		1,289,010			3,071,326			888,198			(47,529,020	)
Net increase (decrease) in net assets		64,551			(37,282,688	)		2,577,240			9,466,874			2,860,490			(42,652,080	)
NET ASSETS:
Beginning of period		56,373,928			93,656,616			68,833,660			59,366,786			78,832,846			121,484,926
End of period	$	56,438,479		$	56,373,928		$	71,410,900		$	68,833,660		$	81,693,336		$	78,832,846

The accompanying notes are an integral part of the financial statements.

 17

Statements of Changes in Net Assets

	TARGET 2035						TARGET 2040						TARGET 2045
	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19			FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19			FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	304,589		$	372,166		$	280,266		$	595,727		$	113,272		$	142,922
Net realized gain (loss) on Underlying Series		621,382			2,423			733,511			(2,362,947	)		287,454			25,659
Distributions of realized gains from Underlying Series		—			734,436			—			2,287,894			—			900,730
Net change in unrealized appreciation (depreciation) on Underlying Series		248,327			4,007,487			(309,800	)		3,995,878			(319,426	)		1,812,688
Net increase from operations		1,174,298			5,116,512			703,977			4,516,552			81,300			2,881,999
DISTRIBUTIONS TO SHAREHOLDERS (Note 9):
Class K		(312,078	)		(786,478	)		(240,386	)		(3,764,757	)		(148,205	)		(691,460	)
Class R		(194,898	)		(596,100	)		(112,598	)		(1,068,704	)		(125,143	)		(660,963	)
Class I		(9,091	)		(26,322	)		(25,418	)		(189,141	)		(11,204	)		(50,249	)
Class R6		—			(187	)		—			(345	)		—			(349	)
Total distributions to shareholders		(516,067	)		(1,409,087	)		(378,402	)		(5,022,947	)		(284,552	)		(1,403,021	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase (decrease) from capital share transactions (Note 6)		2,789,188			6,902,408			1,449,522			(20,583,552	)		1,935,368			4,293,821
Net increase (decrease) in net assets		3,447,419			10,609,833			1,775,097			(21,089,947	)		1,732,116			5,772,799
NET ASSETS:
Beginning of period		47,923,966			37,314,133			51,843,307			72,933,254			26,283,226			20,510,427
End of period	$	51,371,385		$	47,923,966		$	53,618,404		$	51,843,307		$	28,015,342		$	26,283,226

The accompanying notes are an integral part of the financial statements.

 18

Statements of Changes in Net Assets

	TARGET 2050						TARGET 2055						TARGET 2060
	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19			FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19			FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	118,607		$	202,985		$	44,066		$	59,057		$	45,898		$	69,124
Net realized gain (loss) on Underlying Series		165,778			(933,863	)		60,884			70,602			3,988			(384,091	)
Distributions of realized gains from Underlying Series		—			1,643,491			—			514,700			—			616,381
Net change in unrealized appreciation (depreciation) on Underlying Series		(633,648	)		1,887,695			(311,711	)		861,760			(203,227	)		759,245
Net increase (decrease) from operations		(349,263	)		2,800,308			(206,761	)		1,506,119			(153,341	)		1,060,659
DISTRIBUTIONS TO SHAREHOLDERS (Note 9):
Class K		(114,574	)		(2,139,439	)		(75,449	)		(304,231	)		(36,596	)		(402,474	)
Class R		(47,917	)		(752,168	)		(74,135	)		(339,226	)		(34,572	)		(280,280	)
Class I		(12,212	)		(172,886	)		(6,271	)		(23,522	)		(2,064	)		(9,914	)
Class R6		—			(478	)		—			(335	)		—			(293	)
Total distributions to shareholders		(174,703	)		(3,064,971	)		(155,855	)		(667,314	)		(73,232	)		(692,961	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase (decrease) from capital share transactions (Note 6)		(47,033	)		(584,682	)		1,886,397			1,664,750			1,404,556			1,465,472
Net increase (decrease) in net assets		(570,999	)		(849,345	)		1,523,781			2,503,555			1,177,983			1,833,170
NET ASSETS:
Beginning of period		32,180,876			33,030,221			12,730,606			10,227,051			13,235,457			11,402,287
End of period	$	31,609,877		$	32,180,876		$	14,254,387		$	12,730,606		$	14,413,440		$	13,235,457

The accompanying notes are an integral part of the financial statements.

 19

Financial Highlights

TARGET INCOME SERIES CLASS K	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.52			$9.73			$9.88			$9.39			$9.72			$10.84
Income (loss) from investment operations:
Net investment income1,2		0.13			0.27			0.06			0.14			0.17			0.15
Net realized and unrealized gain (loss) on investments		(0.05	)		0.70			(0.15	)		0.49			0.09			(0.29	)
Total from investment operations		0.08			0.97			(0.09	)		0.63			0.26			(0.14	)
Less distributions to shareholders:
From net investment income		(0.16	)		(0.18	)		(0.06	)		(0.14	)		(0.17	)		(0.28	)
From net realized gain on investments		—			—			—			—			(0.42	)		(0.70	)
Total distributions to shareholders		(0.16	)		(0.18	)		(0.06	)		(0.14	)		(0.59	)		(0.98	)
Net asset value - End of period		$10.44			$10.52			$9.73			$9.88			$9.39			$9.72
Net assets - End of period (000’s omitted)		$55,409			$57,732			$105,986			$80,786			$64,297			$67,322
Total return3		0.75%			10.14%			(0.93%	)		6.85%			2.97%			(1.38%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.45%4,5			0.45%5			0.45%5			0.31%6			0.30%7			0.30%8
Net investment income2		2.59%4			2.72%			0.59%			1.45%			1.84%			1.54%
Series portfolio turnover9		3%			12%			9%			133%			6%			16%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.11%4,5			0.12%5			0.10%5			0.15%6			0.12%7			0.16%8

TARGET INCOME SERIES CLASS R	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.36			$9.59			$9.76			$9.28			$9.61			$10.71
Income (loss) from investment operations:
Net investment income1,2		0.12			0.16			0.04			0.05			0.19			0.21
Net realized and unrealized gain (loss) on investments		(0.05	)		0.77			(0.16	)		0.56			0.04			(0.38	)
Total from investment operations		0.07			0.93			(0.12	)		0.61			0.23			(0.17	)
Less distributions to shareholders:
From net investment income		(0.15	)		(0.16	)		(0.05	)		(0.13	)		(0.14	)		(0.23	)
From net realized gain on investments		—			—			—			—			(0.42	)		(0.70	)
Total distributions to shareholders		(0.15	)		(0.16	)		(0.05	)		(0.13	)		(0.56	)		(0.93	)
Net asset value - End of period		$10.28			$10.36			$9.59			$9.76			$9.28			$9.61
Net assets - End of period (000’s omitted)		$19,830			$19,779			$18,769			$9,910			$1,148			$2,468
Total return3		0.63%			9.87%			(1.21%	)		6.68%			2.69%			(1.70%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.70%4,5			0.70%5			0.70%5			0.55%6			0.55%7			0.55%8
Net investment income2		2.34%4			1.58%			0.37%			0.57%			2.07%			2.05%
Series portfolio turnover9		3%			12%			9%			133%			6%			16%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.10%4,5			0.09%5			0.00%5			0.15%6			0.12%7			0.16%8

¹Calculated based on average shares outstanding during the periods.

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 periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized. 

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.45% for Manning & Napier Blended Asset Conservative Series - Class R6.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.67% for Manning & Napier Pro-Blend^®Conservative Term Series - Class I and 0.45% for Manning & Napier Blended Asset Conservative Series - Class R6. 

⁷Expense ratios do not include expenses of the Underlying Series in which the Series invests. The average expense ratio of the Underlying Series was 0.67%.

⁸Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.68%.

⁹Reflects 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.

 20

Financial Highlights

TARGET INCOME SERIES CLASS I	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.58			$9.78			$9.92			$9.42			$9.75			$10.88
Income (loss) from investment operations:
Net investment income1,2		0.14			0.21			0.11			0.19			0.24			0.16
Net realized and unrealized gain (loss) on investments		(0.04	)		0.78			(0.18	)		0.48			0.04			(0.28	)
Total from investment operations		0.10			0.99			(0.07	)		0.67			0.28			(0.12	)
Less distributions to shareholders:
From net investment income		(0.17	)		(0.19	)		(0.07	)		(0.17	)		(0.19	)		(0.31	)
From net realized gain on investments		—			—			—			—			(0.42	)		(0.70	)
Total distributions to shareholders		(0.17	)		(0.19	)		(0.07	)		(0.17	)		(0.61	)		(1.01	)
Net asset value - End of period		$10.51			$10.58			$9.78			$9.92			$9.42			$9.75
Net assets - End of period (000’s omitted)		$1,358			$1,091			$986			$8,260			$12,380			$26,000
Total return3		0.91%			10.36%			(0.70%	)		7.20%			3.20%			(1.21%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.20%4,5			0.20%5			0.20%5			0.06%6			0.05%7			0.05%8
Net investment income2		2.65%4			2.07%			1.10%			2.02%			2.61%			1.65%
Series portfolio turnover9		3%			12%			9%			133%			6%			16%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.22%4,5			0.24%5			0.16%5			0.15%6			0.12%7			0.16%8

¹Calculated based on average shares outstanding during the periods.

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 periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized. 

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.45% for Manning & Napier Blended Asset Conservative Series - Class R6.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.67% for Manning & Napier Pro-Blend^®Conservative Term Series - Class I and 0.45% for Manning & Napier Blended Asset Conservative Series - Class R6. 

⁷Expense ratios do not include expenses of the Underlying Series in which the Series invests. The average expense ratio of the Underlying Series was 0.67%.

⁸Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.68%.

⁹Reflects 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.

 21

Financial Highlights

TARGET 2015 SERIES CLASS K	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$11.87			$10.95			$11.14			$10.49			$11.17			$12.07
Income (loss) from investment operations:
Net investment income1,2		0.14			0.19			0.05			0.12			0.11			0.12
Net realized and unrealized gain (loss) on investments		(0.02	)		0.92			(0.18	)		0.68			0.13			(0.35	)
Total from investment operations		0.12			1.11			(0.13	)		0.80			0.24			(0.23	)
Less distributions to shareholders:
From net investment income		(0.17	)		(0.19	)		(0.06	)		(0.15	)		(0.12	)		(0.28	)
From net realized gain on investments		—			—			—			—			(0.80	)		(0.39	)
Total distributions to shareholders		(0.17	)		(0.19	)		(0.06	)		(0.15	)		(0.92	)		(0.67	)
Net asset value - End of period		$11.82			$11.87			$10.95			$11.14			$10.49			$11.17
Net assets - End of period (000’s omitted)		$1,239			$1,185			$1,802			$4,196			$3,274			$3,500
Total return3		1.03%			10.35%			(1.16%	)		7.70%			2.58%			(2.04%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.45%4,5			0.45%5			0.45%5			0.31%6			0.30%7			0.30%8
Net investment income2		2.42%4			1.66%			0.49%			1.11%			1.09%			1.01%
Series portfolio turnover9		36%			40%			46%			139%			49%			46%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		10.31%4,5			10.60%5			3.81%5			2.39%6			1.51%7			1.14%8

TARGET 2015 SERIES CLASS R	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$12.05			$11.08			$11.29			$10.51			$11.19			$12.09
Income (loss) from investment operations:
Net investment income (loss)1,2		(0.03	)		0.30			0.03			0.13			0.09			0.12
Net realized and unrealized gain (loss) on investments		0.10			0.82			(0.20	)		0.66			0.13			(0.39	)
Total from investment operations		0.07			1.12			(0.17	)		0.79			0.22			(0.27	)
Less distributions to shareholders:
From net investment income		(0.16	)		(0.15	)		(0.04	)		(0.01	)		(0.10	)		(0.24	)
From net realized gain on investments		—			—			—			—			(0.80	)		(0.39	)
Total distributions to shareholders		(0.16	)		(0.15	)		(0.04	)		(0.01	)		(0.90	)		(0.63	)
Net asset value - End of period		$11.96			$12.05			$11.08			$11.29			$10.51			$11.19
Net assets - End of period (000’s omitted)		$—10			$—10			$38			$40			$802			$839
Total return3		0.60%			10.31%			(1.50%	)		7.47%			2.34%			(2.37%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.70%4,5			0.70%5			0.70%5			0.55%6			0.55%7			0.55%8
Net investment income (loss)2		(0.58%	)4		2.62%			0.28%			1.21%			0.86%			1.07%
Series portfolio turnover9		36%			40%			46%			139%			49%			46%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		10.17%4,5			10.62%5			3.80%5			2.39%6			1.51%7			1.14%8

¹Calculated based on average shares outstanding during the periods.

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 periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.45% for Manning & Napier Blended Asset Conservative Series - Class R6 and 0.50% for Manning & Napier Blended Asset Moderate Series - Class R6.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.67% for Manning & Napier Pro-Blend^®Conservative Term Series - Class I, 0.83% for Manning & Napier Pro-Blend^®Moderate Term Series - Class I, 0.45% for Manning & Napier Blended Asset Conservative Series - Class R6 and 0.50% for Manning & Napier Blended Asset Moderate Series - Class R6.

⁷Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.67% for Manning & Napier Pro-Blend^®Conservative Term Series - Class I and 0.82% for Manning & Napier Pro-Blend^®Moderate 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 0.82% for Manning & Napier Pro-Blend^®Extended Term Series - Class I.

⁹Reflects activity of the Series and does not include the activity of the Underlying Series.

¹⁰Amount rounds to less than $1,000.

The accompanying notes are an integral part of the financial statements.

 22

Financial Highlights

TARGET 2015 SERIES CLASS I	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$11.91			$10.99			$11.19			$10.53			$11.21			$12.11
Income (loss) from investment operations:
Net investment income1,2		0.16			0.21			0.09			0.20			0.16			0.15
Net realized and unrealized gain (loss) on investments		(0.02	)		0.93			(0.19	)		0.63			0.11			(0.35	)
Total from investment operations		0.14			1.14			(0.10	)		0.83			0.27			(0.20	)
Less distributions to shareholders:
From net investment income		(0.19	)		(0.22	)		(0.10	)		(0.17	)		(0.15	)		(0.31	)
From net realized gain on investments		—			—			—			—			(0.80	)		(0.39	)
Total distributions to shareholders		(0.19	)		(0.22	)		(0.10	)		(0.17	)		(0.95	)		(0.70	)
Net asset value - End of period		$11.86			$11.91			$10.99			$11.19			$10.53			$11.21
Net assets - End of period (000’s omitted)		$83			$82			$283			$324			$2,657			$5,129
Total return3		1.15%			10.58%			(0.94%	)		8.03%			2.85%			(1.78%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.20%4,5			0.20%5			0.20%5			0.05%6			0.05%7			0.05%8
Net investment income2		2.70%4			1.80%			0.83%			1.88%			1.53%			1.28%
Series portfolio turnover9		36%			40%			46%			139%			49%			46%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		10.27%4,5			10.62%5			3.81%5			2.39%6			1.51%7			1.14%8

¹Calculated based on average shares outstanding during the periods.

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 periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.45% for Manning & Napier Blended Asset Conservative Series - Class R6 and 0.50% for Manning & Napier Blended Asset Moderate Series - Class R6.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.67% for Manning & Napier Pro-Blend^®Conservative Term Series - Class I, 0.83% for Manning & Napier Pro-Blend^®Moderate Term Series - Class I, 0.45% for Manning & Napier Blended Asset Conservative Series - Class R6 and 0.50% for Manning & Napier Blended Asset Moderate Series - Class R6.

⁷Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.67% for Manning & Napier Pro-Blend^®Conservative Term Series - Class I and 0.82% for Manning & Napier Pro-Blend^®Moderate 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 0.82% for Manning & Napier Pro-Blend^®Extended Term Series - Class I.

⁹Reflects 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.

 23

Financial Highlights

TARGET 2020 SERIES CLASS K	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.15			$9.21			$9.40			$8.75			$9.45			$10.77
Income (loss) from investment operations:
Net investment income1,2		0.10			0.23			0.04			0.09			0.09			0.11
Net realized and unrealized gain (loss) on investments		0.18			0.85			(0.19	)		0.68			0.12			(0.33	)
Total from investment operations		0.28			1.08			(0.15	)		0.77			0.21			(0.22	)
Less distributions to shareholders:
From net investment income		(0.12	)		(0.14	)		(0.04	)		(0.12	)		(0.10	)		(0.28	)
From net realized gain on investments		—			—			—			—			(0.81	)		(0.82	)
Total distributions to shareholders		(0.12	)		(0.14	)		(0.04	)		(0.12	)		(0.91	)		(1.10	)
Net asset value - End of period		$10.31			$10.15			$9.21			$9.40			$8.75			$9.45
Net assets - End of period (000’s omitted)		$37,469			$37,418			$75,844			$70,632			$79,236			$80,006
Total return3		2.79%			11.93%			(1.58%	)		8.91%			2.83%			(2.24%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.45%4,5			0.45%5			0.45%5			0.31%6			0.30%7			0.30%8
Net investment income2		1.96%4			2.40%			0.44%			1.04%			1.08%			1.17%
Series portfolio turnover9		13%			17%			27%			118%			16%			42%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.21%4,5			0.22%5			0.14%5			0.09%6			0.06%7			0.04%8

TARGET 2020 SERIES CLASS R	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$9.99			$9.08			$9.28			$8.64			$9.34			$10.60
Income (loss) from investment operations:
Net investment income1,2		0.09			0.12			0.02			0.06			0.09			0.12
Net realized and unrealized gain (loss) on investments		0.18			0.92			(0.19	)		0.68			0.09			(0.32	)
Total from investment operations		0.27			1.04			(0.17	)		0.74			0.18			(0.20	)
Less distributions to shareholders:
From net investment income		(0.11	)		(0.13	)		(0.03	)		(0.10	)		(0.07	)		(0.24	)
From net realized gain on investments		—			—			—			—			(0.81	)		(0.82	)
Total distributions to shareholders		(0.11	)		(0.13	)		(0.03	)		(0.10	)		(0.88	)		(1.06	)
Net asset value - End of period		$10.15			$9.99			$9.08			$9.28			$8.64			$9.34
Net assets - End of period (000’s omitted)		$14,895			$14,937			$13,814			$10,851			$4,553			$8,193
Total return3		2.71%			11.59%			(1.85%	)		8.69%			2.56%			(2.13%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.70%4,5			0.70%5			0.70%5			0.56%6			0.55%7			0.55%8
Net investment income2		1.73%4			1.22%			0.17%			0.63%			1.04%			1.24%
Series portfolio turnover9		13%			17%			27%			118%			16%			42%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.18%4,5			0.17%5			0.04%5			0.09%6			0.06%7			0.04%8

¹Calculated based on average shares outstanding during the periods.

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 periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.50% for Manning & Napier Blended Asset Moderate Series - Class R6.

⁶Expense 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, 0.83% for Manning & Napier Pro-Blend^®Moderate Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series -Class R6 and 0.50% for Manning & Napier Blended Asset Moderate Series - Class R6.

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 0.82% 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 0.82% for Manning & Napier Pro-Blend^®Extended Term Series - Class I.

⁹Reflects 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.

 24

Financial Highlights

TARGET 2020 SERIES CLASS I	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.22			$9.26			$9.45			$8.79			$9.50			$10.81
Income (loss) from investment operations:
Net investment income1,2		0.11			0.17			0.08			0.13			0.13			0.13
Net realized and unrealized gain (loss) on investments		0.18			0.95			(0.21	)		0.67			0.09			(0.31	)
Total from investment operations		0.29			1.12			(0.13	)		0.80			0.22			(0.18	)
Less distributions to shareholders:
From net investment income		(0.13	)		(0.16	)		(0.06	)		(0.14	)		(0.12	)		(0.31	)
From net realized gain on investments		—			—			—			—			(0.81	)		(0.82	)
Total distributions to shareholders		(0.13	)		(0.16	)		(0.06	)		(0.14	)		(0.93	)		(1.13	)
Net asset value - End of period		$10.38			$10.22			$9.26			$9.45			$8.79			$9.50
Net assets - End of period (000’s omitted)		$4,075			$4,019			$3,994			$33,056			$46,194			$74,947
Total return3		2.85%			12.29%			(1.43%	)		9.28%			2.97%			(1.87%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.20%4,5			0.20%5			0.20%5			0.06%6			0.05%7			0.05%8
Net investment income2		2.19%4			1.74%			0.84%			1.44%			1.55%			1.33%
Series portfolio turnover9		13%			17%			27%			118%			16%			42%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.31%4,5			0.32%5			0.17%5			0.09%6			0.06%7			0.04%8

¹Calculated based on average shares outstanding during the periods.

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 periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.50% for Manning & Napier Blended Asset Moderate Series - Class R6.

⁶Expense 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, 0.83% for Manning & Napier Pro-Blend^®Moderate Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series -Class R6 and 0.50% for Manning & Napier Blended Asset Moderate Series - Class R6.

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 0.82% 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 0.82% for Manning & Napier Pro-Blend^®Extended Term Series - Class I.

⁹Reflects 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.

 25

Financial Highlights

TARGET 2025 SERIES CLASS K	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$12.93			$11.73			$11.97			$11.02			$11.82			$13.01
Income (loss) from investment operations:
Net investment income1,2		0.12			0.16			0.04			0.10			0.12			0.12
Net realized and unrealized gain (loss) on investments		0.28			1.25			(0.22	)		1.01			0.15			(0.40	)
Total from investment operations		0.40			1.41			(0.18	)		1.11			0.27			(0.28	)
Less distributions to shareholders:
From net investment income		(0.15	)		(0.18	)		(0.05	)		(0.16	)		(0.13	)		(0.43	)
From net realized gain on investments		(0.00	)3		(0.03	)		(0.01	)		—			(0.94	)		(0.48	)
Total distributions to shareholders		(0.15	)		(0.21	)		(0.06	)		(0.16	)		(1.07	)		(0.91	)
Net asset value - End of period		$13.18			$12.93			$11.73			$11.97			$11.02			$11.82
Net assets - End of period (000’s omitted)		$44,798			$43,163			$34,659			$25,591			$13,381			$11,896
Total return4		3.10%			12.26%			(1.58%	)		10.23%			2.86%			(2.31%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.45%5,6			0.45%6			0.45%6			0.31%7			0.30%8			0.30%9
Net investment income2		1.83%5			1.31%			0.37%			0.86%			1.08%			1.01%
Series portfolio turnover10		19%			20%			25%			208%			51%			27%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.17%5,6			0.21%6			0.28%6			0.43%7			0.33%8			0.39%9

TARGET 2025 SERIES CLASS R	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$12.95			$11.75			$12.00			$11.05			$11.86			$13.02
Income (loss) from investment operations:
Net investment income1,2		0.10			0.14			0.02			0.04			0.09			0.13
Net realized and unrealized gain (loss) on investments		0.28			1.25			(0.23	)		1.04			0.14			(0.43	)
Total from investment operations		0.38			1.39			(0.21	)		1.08			0.23			(0.30	)
Less distributions to shareholders:
From net investment income		(0.13	)		(0.16	)		(0.03	)		(0.13	)		(0.10	)		(0.38	)
From net realized gain on investments		(0.00	)3		(0.03	)		(0.01	)		—			(0.94	)		(0.48	)
Total distributions to shareholders		(0.13	)		(0.19	)		(0.04	)		(0.13	)		(1.04	)		(0.86	)
Net asset value - End of period		$13.20			$12.95			$11.75			$12.00			$11.05			$11.86
Net assets - End of period (000’s omitted)		$25,144			$24,305			$23,317			$12,693			$1,671			$2,101
Total return4		2.94%			11.99%			(1.78%	)		9.94%			2.50%			(2.44%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.70%5,6			0.70%6			0.70%6			0.55%7			0.55%8			0.55%9
Net investment income2		1.57%5			1.13%			0.16%			0.30%			0.87%			1.07%
Series portfolio turnover10		19%			20%			25%			208%			51%			27%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.15%5,6			0.20%6			0.24%6			0.43%7			0.33%8			0.39%9

¹Calculated based on average shares outstanding during the periods.

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.

³Less than $(0.01).

⁴Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁵Annualized.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.50% for Manning & Napier Blended Asset Moderate Series - Class R6.

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, 0.83% for Manning & Napier Pro-Blend^®Moderate Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series -Class R6 and 0.50% for Manning & Napier Blended Asset Moderate Series - Class R6.

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^®Moderate Term Series - Class I and 0.82% for Manning & Napier Pro-Blend^®Extended 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 0.82% for Manning & Napier Pro-Blend^®Extended Term Series - Class I and 0.83% 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.

The accompanying notes are an integral part of the financial statements.

 26

Financial Highlights

TARGET 2025 SERIES CLASS I	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$12.93			$11.71			$11.94			$10.99			$11.80			$12.98
Income (loss) from investment operations:
Net investment income1,2		0.13			0.21			0.08			0.19			0.15			0.16
Net realized and unrealized gain (loss) on investments		0.29			1.24			(0.23	)		0.95			0.14			(0.40	)
Total from investment operations		0.42			1.45			(0.15	)		1.14			0.29			(0.24	)
Less distributions to shareholders:
From net investment income		(0.16	)		(0.20	)		(0.07	)		(0.19	)		(0.16	)		(0.46	)
From net realized gain on investments		(0.00	)3		(0.03	)		(0.01	)		—			(0.94	)		(0.48	)
Total distributions to shareholders		(0.16	)		(0.23	)		(0.08	)		(0.19	)		(1.10	)		(0.94	)
Net asset value - End of period		$13.19			$12.93			$11.71			$11.94			$10.99			$11.80
Net assets - End of period (000’s omitted)		$1,468			$1,365			$1,386			$2,123			$15,384			$15,539
Total return4		3.23%			12.59%			(1.33%	)		10.52%			3.04%			(2.00%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.20%5,6			0.20%6			0.20%6			0.05%7			0.05%8			0.05%9
Net investment income2		2.07%5			1.74%			0.69%			1.71%			1.38%			1.29%
Series portfolio turnover10		19%			20%			25%			208%			51%			27%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.29%5,6			0.34%6			0.37%6			0.43%7			0.33%8			0.39%9

¹Calculated based on average shares outstanding during the periods.

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.

³Less than $(0.01).

⁴Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁵Annualized.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.50% for Manning & Napier Blended Asset Moderate Series - Class R6.

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, 0.83% for Manning & Napier Pro-Blend^®Moderate Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series -Class R6 and 0.50% for Manning & Napier Blended Asset Moderate Series - Class R6.

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^®Moderate Term Series - Class I and 0.82% for Manning & Napier Pro-Blend^®Extended 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 0.82% for Manning & Napier Pro-Blend^®Extended Term Series - Class I and 0.83% 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.

The accompanying notes are an integral part of the financial statements.

 27

Financial Highlights

TARGET 2030 SERIES CLASS K	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.34			$9.40			$9.52			$8.59			$9.78			$11.52
Income (loss) from investment operations:
Net investment income1,2		0.08			0.19			0.03			0.08			0.08			0.11
Net realized and unrealized gain (loss) on investments		0.30			0.95			(0.12	)		0.98			0.13			(0.34	)
Total from investment operations		0.38			1.14			(0.09	)		1.06			0.21			(0.23	)
Less distributions to shareholders:
From net investment income		(0.10	)		(0.18	)		(0.03	)		(0.13	)		(0.09	)		(0.44	)
From net realized gain on investments		—			(0.02	)		—			—			(1.31	)		(1.07	)
Total distributions to shareholders		(0.10	)		(0.20	)		(0.03	)		(0.13	)		(1.40	)		(1.51	)
Net asset value - End of period		$10.62			$10.34			$9.40			$9.52			$8.59			$9.78
Net assets - End of period (000’s omitted)		$48,113			$47,195			$93,346			$89,018			$79,527			$79,169
Total return3		3.68%			12.54%			(0.93%	)		12.49%			3.12%			(2.33%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.45%4,5			0.45%5			0.45%5			0.31%6			0.30%7			0.30%7
Net investment income2		1.53%4			1.91%			0.31%			0.89%			0.94%			1.11%
Series portfolio turnover8		11%			19%			29%			130%			22%			38%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.18%4,5			0.20%5			0.13%5			0.08%6			0.06%7			0.04%7

TARGET 2030 SERIES CLASS R	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.23			$9.30			$9.43			$8.51			$9.70			$11.37
Income (loss) from investment operations:
Net investment income1,2		0.06			0.09			0.01			0.05			0.07			0.10
Net realized and unrealized gain (loss) on investments		0.30			1.03			(0.12	)		0.98			0.12			(0.30	)
Total from investment operations		0.36			1.12			(0.11	)		1.03			0.19			(0.20	)
Less distributions to shareholders:
From net investment income		(0.09	)		(0.17	)		(0.02	)		(0.11	)		(0.07	)		(0.40	)
From net realized gain on investments		—			(0.02	)		—			—			(1.31	)		(1.07	)
Total distributions to shareholders		(0.09	)		(0.19	)		(0.02	)		(0.11	)		(1.38	)		(1.47	)
Net asset value - End of period		$10.50			$10.23			$9.30			$9.43			$8.51			$9.70
Net assets - End of period (000’s omitted)		$26,527			$24,708			$22,413			$14,500			$7,832			$11,115
Total return3		3.51%			12.38%			(1.15%	)		12.20%			2.85%			(2.11%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.70%4,5			0.70%5			0.70%5			0.56%6			0.55%7			0.55%7
Net investment income2		1.25%4			0.92%			0.08%			0.59%			0.84%			0.95%
Series portfolio turnover8		11%			19%			29%			130%			22%			38%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.13%4,5			0.13%5			0.03%5			0.08%6			0.06%7			0.04%7

¹Calculated based on average shares outstanding during the periods.

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 periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series were 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

⁶Expense 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, 0.85% for Manning & Napier Pro-Blend^®Maximum Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series -Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

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.

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.

 28

Financial Highlights

TARGET 2030 SERIES CLASS I	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.48			$9.51			$9.62			$8.68			$9.87			$11.61
Income (loss) from investment operations:
Net investment income1,2		0.09			0.14			0.06			0.12			0.12			0.12
Net realized and unrealized gain (loss) on investments		0.30			1.05			(0.12	)		0.97			0.11			(0.32	)
Total from investment operations		0.39			1.19			(0.06	)		1.09			0.23			(0.20	)
Less distributions to shareholders:
From net investment income		(0.11	)		(0.20	)		(0.05	)		(0.15	)		(0.11	)		(0.47	)
From net realized gain on investments		—			(0.02	)		—			—			(1.31	)		(1.07	)
Total distributions to shareholders		(0.11	)		(0.22	)		(0.05	)		(0.15	)		(1.42	)		(1.54	)
Net asset value - End of period		$10.76			$10.48			$9.51			$9.62			$8.68			$9.87
Net assets - End of period (000’s omitted)		$7,053			$6,930			$5,721			$38,110			$53,551			$75,870
Total return3		3.72%			12.94%			(0.65%	)		12.76%			3.38%			(2.02%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.20%4,5			0.20%5			0.20%5			0.06%6			0.05%7			0.05%7
Net investment income2		1.74%4			1.39%			0.66%			1.30%			1.36%			1.22%
Series portfolio turnover8		11%			19%			29%			130%			22%			38%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.26%4,5			0.27%5			0.15%5			0.08%6			0.06%7			0.04%7

¹Calculated based on average shares outstanding during the periods.

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 periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series were 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

⁶Expense 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, 0.85% for Manning & Napier Pro-Blend^®Maximum Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series -Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

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.

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.

 29

Financial Highlights

TARGET 2035 SERIES CLASS K	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$13.52			$12.46			$12.66			$11.30			$12.32			$13.71
Income (loss) from investment operations:
Net investment income1,2		0.09			0.12			0.03			0.08			0.08			0.11
Net realized and unrealized gain (loss) on investments		0.25			1.40			(0.03	)		1.50			0.21			(0.38	)
Total from investment operations		0.34			1.52			—	3		1.58			0.29			(0.27	)
Less distributions to shareholders:
From net investment income		(0.12	)		(0.36	)		(0.04	)		(0.15	)		(0.10	)		(0.61	)
From net realized gain on investments		(0.03	)		(0.10	)		(0.16	)		(0.07	)		(1.21	)		(0.51	)
Total distributions to shareholders		(0.15	)		(0.46	)		(0.20	)		(0.22	)		(1.31	)		(1.12	)
Net asset value - End of period		$13.71			$13.52			$12.46			$12.66			$11.30			$12.32
Net assets - End of period (000’s omitted)		$29,346			$27,945			$20,918			$18,235			$11,745			$8,979
Total return4		2.50%			12.89%			(0.01%	)		14.32%			3.13%			(2.20%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.45%5,6			0.45%6			0.45%6			0.31%7			0.30%8			0.30%8
Net investment income2		1.32%5			0.97%			0.23%			0.67%			0.71%			0.86%
Series portfolio turnover9		10%			14%			32%			173%			22%			26%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.30%5,6			0.41%6			0.49%6			0.54	%7		0.43%8			0.52%8

TARGET 2035 SERIES CLASS R		FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
		4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period			$13.54			$12.49			$12.70			$11.33			$12.34			$13.72
Income (loss) from investment operations:
Net investment income1,2			0.07			0.10			—	3		0.03			0.06			0.08
Net realized and unrealized gain (loss) on investments			0.26			1.39			(0.02	)		1.52			0.21			(0.38	)
Total from investment operations			0.33			1.49			(0.02	)		1.55			0.27			(0.30	)
Less distributions to shareholders:
From net investment income	��		(0.10	)		(0.34	)		(0.03	)		(0.11	)		(0.07	)		(0.57	)
From net realized gain on investments			(0.03	)		(0.10	)		(0.16	)		(0.07	)		(1.21	)		(0.51	)
Total distributions to shareholders			(0.13	)		(0.44	)		(0.19	)		(0.18	)		(1.28	)		(1.08	)
Net asset value - End of period			$13.74			$13.54			$12.49			$12.70			$11.33			$12.34
Net assets - End of period (000’s omitted)			$21,147			$19,217			$15,631			$7,112			$2,057			$2,337
Total return4			2.44%			12.56%			(0.18%	)		13.96%			2.92%			(2.44%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*			0.70%5,6			0.70%6			0.70%6			0.55%7			0.55%8			0.55%8
Net investment income2			1.07%5			0.74%			0.01%			0.23%			0.50%			0.66%
Series portfolio turnover9			10%			14%			32%			173%			22%			26%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
			0.27%5,6			0.38%6			0.43%6			0.54%7			0.43%8			0.52%8

\

¹ Calculated based on average shares outstanding during the periods.

² Net 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.

³ Less than $0.01.

⁴ Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁵ Annualized.

⁶ Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series were 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

⁷ Expense 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, 0.85% for Manning & Napier Pro-Blend^®Maximum Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series -Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

⁸ Expense 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.

⁹ Reflects activity of the Series and does not include the activity of the Underlying Series.

¹⁰ Expense 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.

The accompanying notes are an integral part of the financial statements.

 30

Financial Highlights

TARGET 2035 SERIES CLASS I	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$13.61			$12.52			$12.71			$11.35			$12.36			$13.75
Income (loss) from investment operations:
Net investment income1,2		0.11			0.16			0.07			0.16			0.11			0.14
Net realized and unrealized gain (loss) on investments		0.26			1.41			(0.04	)		1.45			0.21			(0.38	)
Total from investment operations		0.37			1.57			0.03			1.61			0.32			(0.24	)
Less distributions to shareholders:
From net investment income		(0.13	)		(0.38	)		(0.06	)		(0.18	)		(0.12	)		(0.64	)
From net realized gain on investments		(0.03	)		(0.10	)		(0.16	)		(0.07	)		(1.21	)		(0.51	)
Total distributions to shareholders		(0.16	)		(0.48	)		(0.22	)		(0.25	)		(1.33	)		(1.15	)
Net asset value - End of period		$13.82			$13.61			$12.52			$12.71			$11.35			$12.36
Net assets - End of period (000’s omitted)		$878			$762			$760			$964			$11,455			$10,993
Total return3		2.70%			13.20%			0.27%			14.53%			3.45%			(1.98%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.20%4,5			0.20%5			0.20%5			0.05%6			0.05%7			0.05%7
Net investment income2		1.59%4			1.24%			0.54%			1.37%			1.01%			1.07%
Series portfolio turnover8		10%			14%			32%			173%			22%			26%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.39%4,5			0.52%5			0.56%5			0.54%6			0.43%7			0.52%7

¹Calculated based on average shares outstanding during the periods.

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 periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series were 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

⁶Expense 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, 0.85% for Manning & Napier Pro-Blend^®Maximum Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series -Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

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.

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.

 31

Financial Highlights

TARGET 2040 SERIES CLASS K	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.38			$9.90			$10.01			$8.73			$10.13			$12.50
Income (loss) from investment operations:
Net investment income1,2		0.06			0.13			0.02			0.05			0.05			0.09
Net realized and unrealized gain (loss) on investments		0.10			1.03			0.08			1.34			0.16			(0.32	)
Total from investment operations		0.16			1.16			0.10			1.39			0.21			(0.23	)
Less distributions to shareholders:
From net investment income		(0.08	)		(0.39	)		(0.02	)		(0.11	)		(0.06	)		(0.61	)
From net realized gain on investments		—			(0.29	)		(0.19	)		—			(1.55	)		(1.53	)
Total distributions to shareholders		(0.08	)		(0.68	)		(0.21	)		(0.11	)		(1.61	)		(2.14	)
Net asset value - End of period		$10.46			$10.38			$9.90			$10.01			$8.73			$10.13
Net assets - End of period (000’s omitted)		$32,687			$31,637			$55,271			$52,397			$55,920			$51,931
Total return3		1.51%			12.90%			1.01%			16.08%			3.24%			(2.30%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.45%4,5			0.45%5			0.45%5			0.31%6			0.30%7			0.30%7
Net investment income2		1.14%4			1.36%			0.19%			0.54%			0.57%			0.80%
Series portfolio turnover8		13%			24%			36%			127%			26%			45%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.32%4,5			0.36%5			0.22%5			0.14%6			0.10%7			0.08%7

TARGET 2040 SERIES CLASS R	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.27			$9.81			$9.93			$8.66			$10.06			$12.33
Income (loss) from investment operations:
Net investment income (loss)1,2		0.04			0.06			—9			0.02			0.03			0.07
Net realized and unrealized gain (loss) on investments		0.11			1.06			0.09			1.34			0.15			(0.24	)
Total from investment operations		0.15			1.12			0.09			1.36			0.18			(0.17	)
Less distributions to shareholders:
From net investment income		(0.07	)		(0.37	)		(0.02	)		(0.09	)		(0.03	)		(0.57	)
From net realized gain on investments		—			(0.29	)		(0.19	)		—			(1.55	)		(1.53	)
Total distributions to shareholders		(0.07	)		(0.66	)		(0.21	)		(0.09	)		(1.58	)		(2.10	)
Net asset value - End of period		$10.35			$10.27			$9.81			$9.93			$8.66			$10.06
Net assets - End of period (000’s omitted)		$18,044			$17,294			$14,956			$7,946			$4,653			$5,226
Total return3		1.42%			12.64%			0.82%			15.83%			2.94%			(1.91%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.70%4,5			0.70%5			0.70%5			0.56%6			0.55%7			0.55%7
Net investment income (loss)2		0.87%4			0.62%			(0.05%	)		0.25%			0.36%			0.62%
Series portfolio turnover8		13%			24%			36%			127%			26%			45%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.27%4,5			0.29%5			0.11%5			0.14%6			0.10%7			0.08%7

¹Calculated based on average shares outstanding during the periods.

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 periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series were 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

⁶Expense 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, 0.85% for Manning & Napier Pro-Blend^®Maximum Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series -Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

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.

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.

 32

Financial Highlights

TARGET 2040 SERIES CLASS I	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.50			$10.00			$10.10			$8.81			$10.20			$12.58
Income (loss) from investment operations:
Net investment income1,2		0.07			0.11			0.06			0.09			0.09			0.10
Net realized and unrealized gain (loss) on investments		0.11			1.09			0.07			1.33			0.15			(0.30	)
Total from investment operations		0.18			1.20			0.13			1.42			0.24			(0.20	)
Less distributions to shareholders:
From net investment income		(0.09	)		(0.41	)		(0.04	)		(0.13	)		(0.08	)		(0.65	)
From net realized gain on investments		—			(0.29	)		(0.19	)		—			(1.55	)		(1.53	)
Total distributions to shareholders		(0.09	)		(0.70	)		(0.23	)		(0.13	)		(1.63	)		(2.18	)
Net asset value - End of period		$10.59			$10.50			$10.00			$10.10			$8.81			$10.20
Net assets - End of period (000’s omitted)		$2,888			$2,913			$2,701			$23,656			$27,895			$43,552
Total return3		1.68%			13.24%			1.26%			16.36%			3.60%			(2.08%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.20%4,5			0.20%5			0.20%5			0.06%6			0.05%7			0.05%7
Net investment income2		1.36%4			1.13%			0.54%			0.91%			0.99%			0.96%
Series portfolio turnover8		13%			24%			36%			127%			26%			45%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.39%4,5			0.41%5			0.24%5			0.14%6			0.10%7			0.08%7

¹Calculated based on average shares outstanding during the periods.

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 periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series were 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

⁶Expense 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, 0.85% for Manning & Napier Pro-Blend^®Maximum Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series -Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

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.

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.

 33

Financial Highlights

TARGET 2045 SERIES CLASS K	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$13.64			$12.96			$13.44			$11.69			$12.71			$14.32
Income (loss) from investment operations:
Net investment income1,2		0.06			0.09			0.01			0.05			0.04			0.08
Net realized and unrealized gain (loss) on investments		0.01			1.44			0.25			1.99			0.28			(0.34	)
Total from investment operations		0.07			1.53			0.26			2.04			0.32			(0.26	)
Less distributions to shareholders:
From net investment income		(0.09	)		(0.63	)		(0.03	)		(0.13	)		(0.06	)		(0.77	)
From net realized gain on investments		(0.06	)		(0.22	)		(0.71	)		(0.16	)		(1.28	)		(0.58	)
Total distributions to shareholders		(0.15	)		(0.85	)		(0.74	)		(0.29	)		(1.34	)		(1.35	)
Net asset value - End of period		$13.56			$13.64			$12.96			$13.44			$11.69			$12.71
Net assets - End of period (000’s omitted)		$13,726			$13,116			$10,367			$9,795			$6,793			$3,812
Total return3		0.48%			13.19%			1.93%			17.87%			3.26%			(2.10%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.45%4,5			0.45%5			0.45%5			0.31%6			0.30%7			0.30%8
Net investment income2		0.94%4			0.73%			0.11%			0.43%			0.33%			0.58%
Series portfolio turnover9		9%			16%			43%			175%			26%			28%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.65%4,5			0.82%5			0.89%5			0.97%6			0.89%7			1.21%8

TARGET 2045 SERIES CLASS R	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$13.51			$12.85			$13.36			$11.62			$12.64			$14.25
Income (loss) from investment operations:
Net investment income (loss)1,2		0.05			0.06			(0.01	)		0.01			0.02			0.05
Net realized and unrealized gain (loss) on investments		(0.01	)		1.43			0.23			1.99			0.27			(0.35	)
Total from investment operations		0.04			1.49			0.22			2.00			0.29			(0.30	)
Less distributions to shareholders:
From net investment income		(0.08	)		(0.61	)		(0.02	)		(0.10	)		(0.03	)		(0.73	)
From net realized gain on investments		(0.06	)		(0.22	)		(0.71	)		(0.16	)		(1.28	)		(0.58	)
Total distributions to shareholders		(0.14	)		(0.83	)		(0.73	)		(0.26	)		(1.31	)		(1.31	)
Net asset value - End of period		$13.41			$13.51			$12.85			$13.36			$11.62			$12.64
Net assets - End of period (000’s omitted)		$13,151			$12,244			$9,384			$4,733			$1,731			$1,631
Total return3		0.22%			12.94%			1.64%			17.52	%		3.04%			(2.41%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.70%4,5			0.70%5			0.70%5			0.55%6			0.55%7			0.55%8
Net investment income (loss)2		0.69%4			0.47%			(0.10%	)		0.10%			0.14%			0.36%
Series portfolio turnover9		9%			16%			43%			175%			26%			28%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.60%4,5			0.78%5			0.81%5			0.97%6			0.89%7			1.21%8

¹Calculated based on average shares outstanding during the periods.

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 periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series were 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

⁶Expense 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, 0.85% for Manning & Napier Pro-Blend^®Maximum Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series -Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

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 ratio of the Underlying Series was 0.83%.

⁹Reflects 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.

 34

Financial Highlights

TARGET 2045 SERIES CLASS I	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$13.71			$13.01			$13.48			$11.71			$12.73			$14.35
Income (loss) from investment operations:
Net investment income1,2		0.08			0.12			0.06			0.11			0.07			0.11
Net realized and unrealized gain (loss) on investments		(0.00	)3		1.45			0.23			1.98			0.99			(0.35	)
Total from investment operations		0.08			1.57			0.29			2.09			1.06			(0.24	)
Less distributions to shareholders:
From net investment income		(0.10	)		(0.65	)		(0.05	)		(0.16	)		(0.80	)		(0.80	)
From net realized gain on investments		(0.06	)		(0.22	)		(0.71	)		(0.16	)		(1.28	)		(0.58	)
Total distributions to shareholders		(0.16	)		(0.87	)		(0.76	)		(0.32	)		(2.08	)		(1.38	)
Net asset value - End of period		$13.63			$13.71			$13.01			$13.48			$11.71			$12.73
Net assets - End of period (000’s omitted)		$1,139			$924			$754			$1,361			$5,548			$4,494
Total return4		0.55%			13.43%			2.13%			18.29%			3.49%			(1.92%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.20%5,6			0.20%6			0.20%6			0.05%7			0.05%8			0.05%9
Net investment income2		1.15%5			0.96%			0.44%			0.90%			0.64%			0.86%
Series portfolio turnover10		9%			16%			43%			175%			26%			28%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.72%5,6			0.92%6			0.94%6			0.97%7			0.89%8			1.21%9

¹Calculated based on average shares outstanding during the periods.

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.

³Less than $(0.01).

⁴Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁵Annualized.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series were 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

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, 0.85% for Manning & Napier Pro-Blend^®Maximum Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series -Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

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 ratio of the Underlying Series was 0.83%.

¹⁰Reflects 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.

 35

Financial Highlights

TARGET 2050 SERIES CLASS K	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.73			$10.48			$11.03			$9.41			$11.35			$13.73
Income (loss) from investment operations:
Net investment income1,2		0.04			0.09			0.01			0.04			0.04			0.09
Net realized and unrealized gain (loss) on investments		(0.12	)		1.12			0.25			1.69			0.18			(0.32	)
Total from investment operations		(0.08	)		1.21			0.26			1.73			0.22			(0.23	)
Less distributions to shareholders:
From net investment income		(0.06	)		(0.57	)		(0.02	)		(0.11	)		(0.04	)		(0.72	)
From net realized gain on investments		—			(0.39	)		(0.79	)		—			(2.12	)		(1.43	)
Total distributions to shareholders		(0.06	)		(0.96	)		(0.81	)		(0.11	)		(2.16	)		(2.15	)
Net asset value - End of period		$10.59			$10.73			$10.48			$11.03			$9.41			$11.35
Net assets - End of period (000’s omitted)		$19,381			$19,767			$23,353			$18,667			$14,874			$15,144
Total return3		(0.76%	)		13.43%			2.32%			18.55%			3.43%			(2.15%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.45%4,5			0.45%5			0.45%5			0.31%6			0.30%7			0.30%7
Net investment income2		0.82%4			0.87%			0.09%			0.39%			0.40%			0.72%
Series portfolio turnover8		9%			36%			40%			139%			31%			49%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.58%4,5			0.70%5			0.52%5			0.41%6			0.37%7			0.26%7

TARGET 2050 SERIES CLASS R	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.56			$10.34			$10.91			$9.30			$11.25			$13.60
Income (loss) from investment operations:
Net investment income (loss)1,2		0.03			0.04			(0.01	)		0.01			0.01			0.06
Net realized and unrealized gain (loss) on investments		(0.13	)		1.13			0.24			1.68			0.18			(0.29	)
Total from investment operations		(0.10	)		1.17			0.23			1.69			0.19			(0.23	)
Less distributions to shareholders:
From net investment income		(0.05	)		(0.56	)		(0.01	)		(0.08	)		(0.02	)		(0.69	)
From net realized gain on investments		—			(0.39	)		(0.79	)		—			(2.12	)		(1.43	)
Total distributions to shareholders		(0.05	)		(0.95	)		(0.80	)		(0.08	)		(2.14	)		(2.12	)
Net asset value - End of period		$10.41			$10.56			$10.34			$10.91			$9.30			$11.25
Net assets - End of period (000’s omitted)		$10,336			$9,917			$7,813			$3,345			$2,433			$2,215
Total return3		(0.97%	)		13.18%			2.07%			18.35%			3.09%			(2.17%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.70%4,5			0.70%5			0.70%5			0.56%6			0.55%7			0.55%7
Net investment income (loss)2		0.54%4			0.37%			(0.14%	)		0.07%			0.12%			0.54%
Series portfolio turnover8		9%			36%			40%			139%			31%			49%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.51%4,5			0.62%5			0.41%5			0.41%6			0.37%7			0.26%7

¹Calculated based on average shares outstanding during the periods.

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 periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.55%.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.85% for Manning & Napier Pro-Blend^®Maximum Term Series - Class I and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

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.

The accompanying notes are an integral part of the financial statements.

 36

Financial Highlights

TARGET 2050 SERIES CLASS I	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.85			$10.58			$11.12			$9.48			$11.43			$13.82
Income (loss) from investment operations:
Net investment income1,2		0.05			0.09			0.05			0.07			0.07			0.10
Net realized and unrealized gain (loss) on investments		(0.12	)		1.16			0.24			1.70			0.17			(0.29	)
Total from investment operations		(0.07	)		1.25			0.29			1.77			0.24			(0.19	)
Less distributions to shareholders:
From net investment income		(0.07	)		(0.59	)		(0.04	)		(0.13	)		(0.07	)		(0.77	)
From net realized gain on investments		—			(0.39	)		(0.79	)		—			(2.12	)		(1.43	)
Total distributions to shareholders		(0.07	)		(0.98	)		(0.83	)		(0.13	)		(2.19	)		(2.20	)
Net asset value - End of period		$10.71			$10.85			$10.58			$11.12			$9.48			$11.43
Net assets - End of period (000’s omitted)		$1,893			$2,497			$1,859			$13,364			$12,928			$15,688
Total return3		(0.69%	)		13.74%			2.53%			18.91%			3.61%			(1.82%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.20%4,5			0.20%5			0.20%5			0.06%6			0.05%7			0.05%7
Net investment income2		0.99%4			0.87%			0.44%			0.71%			0.73%			0.84%
Series portfolio turnover8		9%			36%			40%			139%			31%			49%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		0.64%4,5			0.75%5			0.54%5			0.41%6			0.37%7			0.26%7

¹Calculated based on average shares outstanding during the periods. 

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 periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.55%.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.85% for Manning & Napier Pro-Blend^®Maximum Term Series - Class I and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

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.

The accompanying notes are an integral part of the financial statements.

 37

Financial Highlights

TARGET 2055 SERIES CLASS K	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$13.48			$12.73			$13.57			$11.70			$12.56			$13.94
Income (loss) from investment operations:
Net investment income1,2		0.05			0.08			0.01			0.05			0.03			0.09
Net realized and unrealized gain (loss) on investments		(0.15	)		1.48			0.30			2.08			0.30			(0.35	)
Total from investment operations		(0.10	)		1.56			0.31			2.13			0.33			(0.26	)
Less distributions to shareholders:
From net investment income		(0.08	)		(0.69	)		(0.03	)		(0.13	)		(0.05	)		(0.74	)
From net realized gain on investments		(0.09	)		(0.12	)		(1.12	)		(0.13	)		(1.14	)		(0.38	)
Total distributions to shareholders		(0.17	)		(0.81	)		(1.15	)		(0.26	)		(1.19	)		(1.12	)
Net asset value - End of period		$13.21			$13.48			$12.73			$13.57			$11.70			$12.56
Net assets - End of period (000’s omitted)		$7,021			$6,146			$4,771			$4,141			$2,380			$1,142
Total return3		(0.83%	)		13.55%			2.26%			18.61%			3.38%			(2.06%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.45%4,5			0.45%5			0.45%5			0.31%6			0.30%7			0.30%7
Net investment income2		0.75%4			0.63%			0.10%			0.37%			0.30%			0.68%
Series portfolio turnover8		5%			20%			23%			186%			30%			55%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to averagenet assets) would have been increased by the following amounts:
		1.40%4,5			1.72%5			1.87%5			2.15%6			2.44%7			3.68%7

TARGET 2055 SERIES CLASS R	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$13.27			$12.56			$13.43			$11.59			$12.45			$13.83
Income (loss) from investment operations:
Net investment income (loss)1,2		0.04			0.05			(0.02	)		0.01			0.01			0.05
Net realized and unrealized gain (loss) on investments		(0.15	)		1.45			0.29			2.07			0.30			(0.34	)
Total from investment operations		(0.11	)		1.50			0.27			2.08			0.31			(0.29	)
Less distributions to shareholders:
From net investment income		(0.07	)		(0.67	)		(0.02	)		(0.11	)		(0.03	)		(0.71	)
From net realized gain on investments		(0.09	)		(0.12	)		(1.12	)		(0.13	)		(1.14	)		(0.38	)
Total distributions to shareholders		(0.16	)		(0.79	)		(1.14	)		(0.24	)		(1.17	)		(1.09	)
Net asset value - End of period		$13.00			$13.27			$12.56			$13.43			$11.59			$12.45
Net assets - End of period (000’s omitted)		$6,609			$6,136			$5,136			$2,388			$519			$409
Total return3		(0.94%	)		13.23%			2.00%			18.28%			3.18%			(2.32%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.70%4,5			0.70%5			0.70%5			0.55%6			0.55%7			0.55%7
Net investment income (loss)2		0.54%4			0.38%			(0.15%	)		0.04%			0.11%			0.39%
Series portfolio turnover8		5%			20%			23%			186%			30%			55%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to averagenet assets) would have been increased by the following amounts:
		1.32%4,5			1.65%5			1.77%5			2.15%6			2.44%7			3.68%7

¹Calculated based on average shares outstanding during the periods.

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 periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.55%.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.85% for Manning & Napier Pro-Blend^®Maximum Term Series - Class I and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

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.

The accompanying notes are an integral part of the financial statements.

 38

Financial Highlights

TARGET 2055 SERIES CLASS I	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$13.64			$12.88			$13.70			$11.81			$12.66			$14.05
Income (loss) from investment operations:
Net investment income1,2		0.06			0.12			0.05			0.12			0.07			0.10
Net realized and unrealized gain (loss) on investments		(0.15	)		1.48			0.30			2.06			0.30			(0.33	)
Total from investment operations		(0.09	)		1.60			0.35			2.18			0.37			(0.23	)
Less distributions to shareholders:
From net investment income		(0.09	)		(0.72	)		(0.05	)		(0.16	)		(0.08	)		(0.78	)
From net realized gain on investments		(0.09	)		(0.12	)		(1.12	)		(0.13	)		(1.14	)		(0.38	)
Total distributions to shareholders		(0.18	)		(0.84	)		(1.17	)		(0.29	)		(1.22	)		(1.16	)
Net asset value - End of period		$13.37			$13.64			$12.88			$13.70			$11.81			$12.66
Net assets - End of period (000’s omitted)		$624			$450			$315			$210			$2,783			$1,658
Total return3		(0.73%	)		13.81%			2.52%			18.87%			3.69%			(1.83%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.20%4,5			0.20%5			0.20%5			0.05%6			0.05%7			0.05%7
Net investment income2		0.87%4			0.94%			0.37%			0.95%			0.58%			0.80%
Series portfolio turnover8		5%			20%			23%			186%			30%			55%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		1.46%4,5			1.78%5			1.90%5			2.15%6			2.44%7			3.68%7

¹Calculated based on average shares outstanding during the periods.

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 periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.55%.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.85% for Manning & Napier Pro-Blend^®Maximum Term Series - Class I and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

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.

The accompanying notes are an integral part of the financial statements.

 39

Financial Highlights

TARGET 2060 SERIES CLASS K	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED												FOR THE PERIOD 9/21/151TO 10/31/15
				10/31/19			10/31/18			10/31/17			10/31/16
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$12.22			$11.44			$12.45			$10.67			$10.36			$10.00
Income (loss) from investment operations:
Net investment income (loss)2,3		0.05			0.11			0.01			0.04			0.01			—	4
Net realized and unrealized gain (loss) on investments		(0.15	)		1.30			0.28			1.91			0.34			0.36
Total from investment operations		(0.10	)		1.41			0.29			1.95			0.35			0.36
Less distributions to shareholders:
From net investment income		(0.07	)		(0.62	)		(0.02	)		(0.12	)		(0.04	)		—
From net realized gain on investments		—			(0.01	)		(1.28	)		(0.05	)		—			—
Total distributions to shareholders		(0.07	)		(0.63	)		(1.30	)		(0.17	)		(0.04	)		—
Net asset value - End of period		$12.05			$12.22			$11.44			$12.45			$10.67			$10.36
Net assets - End of period (000’s omitted)		$6,234			$5,975			$6,895			$3,284			$1,407			$52
Total return5		(0.82%	)		13.52%			2.32%			18.56%			3.45%			3.60%
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.45%6,7			0.45%7			0.45%7			0.31%8			0.30%9			0.30%6,10
Net investment income (loss)3		0.78%6			0.96%			0.07%			0.39%			0.10%			(0.30%	)6
Series portfolio turnover11		5%			38%			5%			173%			14%			4%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		1.54%6,7			2.05	%7		2.29%7			5.26%8			9.37%9			151.35%6,10,12

TARGET 2060 SERIES CLASS R	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED												FOR THE PERIOD 9/21/151TO 10/31/15
				10/31/19			10/31/18			10/31/17			10/31/16
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$12.14			$11.40			$12.43			$10.65			$10.36			$10.00
Income (loss) from investment operations:
Net investment income (loss)2,3		0.03			0.04			(0.02	)		—4			0.01			(0.01	)
Net realized and unrealized gain (loss) on investments		(0.14	)		1.32			0.28			1.92			0.31			0.37
Total from investment operations		(0.11	)		1.36			0.26			1.92			0.32			0.36
Less distributions to shareholders:
From net investment income		(0.06	)		(0.61	)		(0.01	)		(0.09	)		(0.03	)		—
From net realized gain on investments		—			(0.01	)		(1.28	)		(0.05	)		—			—
Total distributions to shareholders		(0.06	)		(0.62	)		(1.29	)		(0.14	)		(0.03	)		—
Net asset value - End of period		$11.97			$12.14			$11.40			$12.43			$10.65			$10.36
Net assets - End of period (000’s omitted)		$7,836			$6,974			$4,360			$1,242			$182			$56
Total return5		(0.96%	)		13.05%			2.11%			18.29%			3.16%			3.60%
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.70%6,7			0.70%7			0.70%7			0.55%8			0.55%9			0.55%6,10
Net investment income (loss)3		0.53%6			0.36%			(0.16%	)		(0.01%	)		0.09%			(0.55%	)6
Series portfolio turnover11		5%			38%			5%			173%			14%			4%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		1.53%6,7			2.02%7			2.16%7			5.26%8			9.37%9			151.35%6,10,12

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.

⁴Less than $(0.01).

⁵Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. 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 0.55%.

⁸Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.85% for Manning & Napier Pro-Blend^®Maximum Term Series - Class I and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

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%.

¹⁰Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.83%. 

¹¹Reflects activity of the Series and does not include the activity of the Underlying Series.

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.

 40

Financial Highlights

TARGET 2060 SERIES CLASS I	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED												FOR THE PERIOD 9/21/151TO 10/31/15
				10/31/19			10/31/18			10/31/17			10/31/16
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$12.23			$11.46			$12.46			$10.68			$10.36			$10.00
Income (loss) from investment operations:
Net investment income (loss)2,3		0.05			0.10			0.05			0.08			(0.07	)		—	4
Net realized and unrealized gain (loss) on investments		(0.14	)		1.33			0.27			1.89			0.31			0.36
Total from investment operations		(0.09	)		1.43			0.32			1.97			0.38			0.36
Less distributions to shareholders:
From net investment income		(0.08	)		(0.65	)		(0.04	)		(0.14	)		(0.06	)		—
From net realized gain on investments		—			(0.01	)		(1.28	)		(0.05	)		—			—
Total distributions to shareholders		(0.08	)		(0.66	)		(1.32	)		(0.19	)		(0.06	)		—
Net asset value - End of period		$12.06			$12.23			$11.46			$12.46			$10.68			$10.36
Net assets - End of period (000’s omitted)		$343			$287			$142			$104			$56			$52
Total return5		(0.76%	)		13.75%			2.55%			18.80%			3.71%			3.60%
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.20%6,7			0.20%7			0.20%7			0.05%8			0.05%9			0.05%6,10
Net investment income (loss)3		0.88%6			0.84%			0.40%			0.72%			0.65%			(0.05%	)6
Series portfolio turnover11		5%			38%			5%			173%			14%			4%
*The investment advisor paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratios (to average net assets) would have been increased by the following amounts:
		1.63%6,7			2.12%7			2.23%7			5.26%8			9.37%9			151.34%6,10,12

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. 

⁴Less than $(0.01).

⁵Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. 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 0.55%. 

⁸Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.85% for Manning & Napier Pro-Blend^®Maximum Term Series - Class I and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

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%. 

¹⁰Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.83%.

¹¹Reflects activity of the Series and does not include the activity of the Underlying Series. 

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.

 41

Notes to Financial Statements

(unaudited)

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. Class R6 shares of the Target Series were liquidated by March 1, 2019.

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 April 30, 2020, 8.9 billion shares have been designated in total among 31 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.

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 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.

 42

Notes to Financial Statements (continued) 

(unaudited)

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 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 April 30, 2020 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	$	76,637,121	$	76,637,121	$	—	$	—
Total assets	$	76,637,121	$	76,637,121	$	—	$	—

	TARGET 2015 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	1,310,958	$	1,310,958	$	—	$	—
Total assets	$	1,310,958	$	1,310,958	$	—	$	—

	TARGET 2020 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	56,470,626	$	56,470,626	$	—	$	—
Total assets	$	56,470,626	$	56,470,626	$	—	$	—

	TARGET 2025 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	71,446,615	$	71,446,615	$	—	$	—
Total assets	$	71,446,615	$	71,446,615	$	—	$	—

	TARGET 2030 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	81,697,137	$	81,697,137	$	—	$	—
Total assets	$	81,697,137	$	81,697,137	$	—	$	—

	TARGET 2035 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	51,398,305	$	51,398,305	$	—	$	—
Total assets	$	51,398,305	$	51,398,305	$	—	$	—

 43

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Security Valuation(continued)

	TARGET 2040 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	53,656,440	$	53,656,440	$	—	$	—
Total assets	$	53,656,440	$	53,656,440	$	—	$	—

	TARGET 2045 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	28,023,742	$	28,023,742	$	—	$	—
Total assets	$	28,023,742	$	28,023,742	$	—	$	—

	TARGET 2050 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual fund	$	31,635,002	$	31,635,002	$	—	$	—
Total assets	$	31,635,002	$	31,635,002	$	—	$	—

	TARGET 2055 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual fund	$	14,260,015	$	14,260,015	$	—	$	—
Total assets	$	14,260,015	$	14,260,015	$	—	$	—

	TARGET 2060 SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual fund	$	14,445,604	$	14,445,604	$	—	$	—
Total assets	$	14,445,604	$	14,445,604	$	—	$	—

There were no Level 2 or Level 3 securities held by any of the Series as of October 31, 2019 or April 30, 2020.

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 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.

 44

Notes to Financial Statements (continued) 

(unaudited)

2. Significant Accounting Policies (continued)

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 April 30, 2020, 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, 2016 through October 31, 2019. 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.

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 and Other Agreements

The Fund has an Investment Advisory Agreement (the “Agreement”) with the Advisor, for which the Advisor does not receive a fee for the services it performs for the Series. However, the Advisor is entitled to receive the management 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

 45

Notes to Financial Statements (continued) 

(unaudited)

3. Transactions with Affiliates and Other Agreements (continued)

incurred by them in connection with attending such meetings. The Fund also has an Audit Committee Chair, Governance & Nominating Committee Chair and Lead Independent Director who each receive an additional annual stipend for these roles.

The Fund may enter into agreements with financial intermediaries pursuant to which the Fund may pay financial intermediaries for non-distribution related sub-transfer agency, administrative, sub-accounting, and other shareholder services in an amount not to exceed 0.15% of the average daily net assets of the Class K, Class R and Class I shares. Payments made pursuant to such agreements are generally based on the current assets and/or number of accounts of the Series attributable to the financial intermediary. Any payments made pursuant to such agreements may be in addition to, rather than in lieu of, any Distribution and Shareholder Services Fee payable under the Rule 12b-1 plan of the Fund.

The Advisor has contractually agreed to limit its fees and reimburse expenses to the extent necessary so that the total direct annual fund operating expenses of each Class, exclusive of Distribution and Service (12b-1) Fees, do not exceed 0.20% of the average daily net assets of the Class I, Class K, and Class R shares. The contractual limitation is expected to continue indefinitely and may not be amended or terminated by the Advisor without the approval of the Series’ Board of Directors. The Advisor’s agreement to limit each class’s operating expenses is limited to direct operating expenses and, therefore, does not apply to acquired fund fees and expenses (AFFE), which are indirect expenses incurred by the Series through their investments in the underlying funds. The Advisor may receive from a class the difference between the class’s total direct annual fund operating expenses, exclusive of Rule 12b-1 Fees, and the class’s contractual expense limit to recoup all or a portion of its prior fee waivers or expense reimbursements made during the rolling three-year period preceding the recoupment if at any point the total direct annual fund operating expenses, exclusive of Rule 12b-1 Fees, are below the contractual expense limit (a) at the time of the fee waiver and/or expense reimbursement and (b) at the time of the recoupment. 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 six months ended April 30, 2020, the Advisor reimbursed expenses of $41,200 for Target Income Series, $66,711 for Target 2015 Series, $57,281 for Target 2020 Series, $57,034 for Target 2025 Series, $67,154 for Target 2030 Series, $72,826 Target 2035 Series, $81,191 for Target 2040 Series, $85,254 for Target 2045 Series, $89,428 for Target 2050 Series, $91,479 for Target 2055 series and $108,301 for Target 2060 Series, which is included as a reduction of expenses on the Statements of Operations. For the six months ended April 30, 2020, the Advisor did not recoup any expenses that have been previously waived or reimbursed.

As of April 30, 2020, the class specific waivers or reimbursements subject to possible future recoupment under the expense limitation agreement are as follows:

SERIES/CLASS	EXPIRING OCTOBER 31,
	2022	2023
Target Income
Class K	$44,037	$29,903
Class R	16,724	9,990
Class I	1,856	1,307
Target 2015
Class K	96,868	62,310
Class R	603	176
Class I	7,102	4,225
Target 2020
Class K	58,017	37,756
Class R	21,342	12,990
Class I	9,426	6,535

 46

Notes to Financial Statements (continued) 

(unaudited)

3. Transactions with Affiliates and Other Agreements (continued)

SERIES/CLASS	EXPIRING OCTOBER 31,
	2022	2023
Target 2025
Class K	$58,318	$36,858
Class R	35,843	18,175
Class I	3,069	2,001
Target 2030
Class K	65,935	41,513
Class R	27,464	16,227
Class I	12,773	9,414
Target 2035
Class K	68,120	43,717
Class R	51,658	27,591
Class I	2,660	1,518
Target 2040
Class K	79,878	51,521
Class R	39,017	23,519
Class I	8,751	6,151
Target 2045
Class K	65,748	43,803
Class R	64,270	37,869
Class I	5,460	3,582
Target 2050
Class K	85,178	57,233
Class R	44,258	25,714
Class I	12,082	6,481
Target 2055
Class K	65,122	44,821
Class R	70,584	42,607
Class I	5,193	4,051
Target 2060
Class K	66,194	47,753
Class R	97,833	57,614
Class I	3,613	2,934

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 service 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 service fees on Class I shares of each Series. The fees are accrued daily and paid monthly.

Pursuant to a master services agreement dated February 13, 2020, the Fund pays the Advisor an annual fee related to fund accounting and administration of 0.00225% of average daily net assets of the Target Series with an annual base fee of $40,000 per Target series. 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.

 47

Notes to Financial Statements (continued) 

(unaudited)

4. Purchases and Sales of Securities

For the six months ended April 30, 2020, purchases and sales of Underlying Series were as follows:

SERIES	PURCHASES		SALES
Target Income Series	$	2,466,228	$	4,057,583
Target 2015 Series	$	523,212	$	471,650
Target 2020 Series	$	7,114,547	$	8,037,371
Target 2025 Series	$	14,454,644	$	13,320,776
Target 2030 Series	$	9,675,270	$	8,995,439
Target 2035 Series	$	7,612,605	$	5,031,266
Target 2040 Series	$	8,121,231	$	6,769,513
Target 2045 Series	$	4,090,618	$	2,330,077
Target 2050 Series	$	2,755,758	$	2,856,966
Target 2055 Series	$	2,409,515	$	631,226
Target 2060 Series	$	2,112,377	$	702,194

5. Investments in Affiliated Issuers

A summary of the Series’ transactions in the shares of affiliated issuers of Manning & Napier during the six months ended April 30, 2020 is set forth below:

TARGET INCOME SERIES	VALUE AT 10/31/19		PURCHASE COST		SALES PROCEEDS		VALUE AT 4/30/20		SHARES HELD AT 4/30/20		DIVIDEND INCOME		DISTRIBUTIONS AND NET REALIZED GAIN OR LOSS		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Blended Asset Conservative Series -Class R6		$78,646,562		$2,466,228		$4,057,583		$76,637,121		6,675,707		$1,175,379		$207,087		$(625,173	)
TARGET 2015 SERIES	VALUE AT 10/31/19		PURCHASE COST		SALES PROCEEDS		VALUE AT 4/30/20		SHARES HELD AT 4/30/20		DIVIDEND INCOME		DISTRIBUTIONS AND NET REALIZED GAIN OR LOSS		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Blended Asset Conservative Series - Class R6		$1,001,322		$510,400		$193,363		$1,310,958		114,195		$15,292		$7,669		$(15,070	)
Blended Asset Moderate Series - Class R6		258,861		12,812		278,287		—		—		3,232		23,034		(16,420	)
		$1,260,183		$523,212		$471,650		$1,310,958				$18,524		$30,703		$(31,490	)

 48

Notes to Financial Statements (continued) 

(unaudited)

5. Investments in Affiliated Issuers (continued)

TARGET 2020 SERIES	VALUE AT 10/31/19		PURCHASE COST		SALES PROCEEDS		VALUE AT 4/30/20		SHARES HELD AT 4/30/20		DIVIDEND INCOME		DISTRIBUTIONS AND NET REALIZED GAIN OR LOSS		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Blended Asset Extended Series - Class R6	$	2,892,293	$	68,018	$	3,069,681	$	—		—	$	28,884	$	327,535	$	(218,165	)
Blended Asset Moderate Series - Class R6		53,518,007		7,046,529		4,967,690		56,470,626		4,797,844		642,113		329,244		544,536
	$	56,410,300	$	7,114,547	$	8,037,371	$	56,470,626			$	670,997	$	656,779	$	326,371

TARGET 2025 SERIES	VALUE AT 10/31/19		PURCHASE COST		SALES PROCEEDS		VALUE AT 4/30/20		SHARES HELD AT 4/30/20		DIVIDEND INCOME		DISTRIBUTIONS AND NET REALIZED GAIN OR LOSS		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Blended Asset Extended Series - Class R6	$	27,855,379	$	1,028,071	$	11,804,149	$	17,935,373		1,555,540	$	286,844	$	1,315,925	$	(459,852	)
Blended Asset Moderate Series - Class R6		41,012,132		13,426,573		1,516,627		53,511,242		4,546,410		507,883		105,071		484,092
	$	68,867,511	$	14,454,644	$	13,320,776	$	71,446,615			$	794,727	$	1,420,996	$	24,240

TARGET 2030 SERIES	VALUE AT 10/31/19		PURCHASE COST		SALES PROCEEDS		VALUE AT 4/30/20		SHARES HELD AT 4/30/20		DIVIDEND INCOME		DISTRIBUTIONS AND NET REALIZED GAIN OR LOSS		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Blended Asset Extended Series - Class R6	$	74,706,530	$	9,559,921	$	4,422,467	$	81,697,137		7,085,615	$	761,522	$	319,490	$	1,533,664
Blended Asset Maximum Series - Class R6		4,182,728		115,349		4,572,972		—		—		26,378		491,578		(216,683	)
	$	78,889,258	$	9,675,270	$	8,995,439	$	81,697,137			$	787,900	$	811,068	$	1,316,981

TARGET 2035 SERIES	VALUE AT 10/31/19		PURCHASE COST		SALES PROCEEDS		VALUE AT 4/30/20		SHARES HELD AT 4/30/20		DIVIDEND INCOME		DISTRIBUTIONS AND NET REALIZED GAIN OR LOSS		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Blended Asset Extended Series - Class R6	$	33,120,822	$	6,435,331	$	1,284,687	$	39,116,487		3,392,583	$	345,599	$	118,004	$	727,017
Blended Asset Maximum Series - Class R6		14,826,435		1,177,274		3,746,579		12,281,818		981,760		95,576		503,378		(478,690	)
	$	47,947,257	$	7,612,605	$	5,031,266	$	51,398,305			$	441,175	$	621,382	$	248,327

 49

Notes to Financial Statements (continued) 

(unaudited)

5. Investments in Affiliated Issuers (continued)

TARGET 2040 SERIES	VALUE AT 10/31/19		PURCHASE COST		SALES PROCEEDS		VALUE AT 4/30/20		SHARES HELD AT 4/30/20		DIVIDEND INCOME		DISTRIBUTIONS AND NET REALIZED GAIN OR LOSS		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Blended Asset Extended Series - Class R6	$	22,770,498	$	5,810,563	$	1,493,994	$	27,642,535		2,397,445	$	233,032	$	114,272	$	441,197
Blended Asset Maximum Series - Class R6		29,110,514		2,310,668		5,275,519		26,013,905		2,079,449		184,247		619,239		(750,997	)
	$	51,881,012	$	8,121,231	$	6,769,513	$	53,656,440			$	417,279	$	733,511	$	(309,800	)
TARGET 2045 SERIES	VALUE AT 10/31/19		PURCHASE COST		SALES PROCEEDS		VALUE AT 4/30/20		SHARES HELD AT 4/30/20		DIVIDEND INCOME		DISTRIBUTIONS AND NET REALIZED GAIN OR LOSS		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Blended Asset Extended Series - Class R6	$	5,075,474	$	2,267,324	$	146,174	$	7,318,856		634,766	$	52,791	$	12,011	$	110,222
Blended Asset Maximum Series - Class R6		21,219,701		1,823,294		2,183,903		20,704,886		1,655,067		136,372		275,443		(429,648	)
	$	26,295,175	$	4,090,618	$	2,330,077	$	28,023,742			$	189,163	$	287,454	$	(319,426	)
TARGET 2050 SERIES	VALUE AT 10/31/19		PURCHASE COST		SALES PROCEEDS		VALUE AT 4/30/20		SHARES HELD AT 4/30/20		DIVIDEND INCOME		DISTRIBUTIONS AND NET REALIZED GAIN OR LOSS		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Blended Asset Maximum Series - Class R6	$	32,204,079	$	2,755,758	$	2,856,966	$	31,635,002		2,528,777	$	200,526	$	165,778	$	(633,648	)
TARGET 2055 SERIES		VALUE AT 10/31/19		PURCHASE COST		SALES PROCEEDS		VALUE AT 4/30/20		SHARES HELD AT 4/30/20	DIVIDEND INCOME			DISTRIBUTIONS AND NET REALIZED GAIN OR LOSS		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Blended Asset Maximum Series - Class R6	$	12,732,553	$	2,409,515	$	631,226	$	14,260,015		1,139,889	$	81,592	$	60,884	$	(311,711	)
TARGET 2060 SERIES	VALUE AT 10/31/19		PURCHASE COST		SALES PROCEEDS		VALUE AT 4/30/20		SHARES HELD AT 4/30/20		DIVIDEND INCOME		DISTRIBUTIONS AND NET REALIZED GAIN OR LOSS		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Blended Asset Maximum Series - Class R6	$	13,234,661	$	2,112,377	$	702,194	$	14,445,604		1,154,725	$	86,546	$	3,988	$	(203,227	)

6. Capital Stock Transactions

Transactions in Class K, Class R, Class I, and Class R6 shares:

TARGET INCOME SERIES:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19						FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	CLASS K						CLASS K						CLASS R						CLASS R
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		79,128		$	830,457			962,007		$	9,707,566			114,044		$	1,175,758			319,488		$	3,148,036
Reinvested		81,907			860,846			181,436			1,733,380			27,278			282,599			34,501			326,409
Repurchased		(342,172	)		(3,568,944	)		(6,551,328	)		(62,697,503	)		(121,542	)		(1,250,174	)		(401,484	)		(4,058,779	)
Total		(181,137	)	$	(1,877,641	)		(5,407,885	)	$	(51,256,557	)		19,780		$	208,183			(47,495	)	$	(584,334	)

 50

Notes to Financial Statements (continued) 

(unaudited)

6. Capital Stock Transactions (continued)

TARGET INCOME SERIES:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/19
	CLASS I						CLASS I						CLASS R6
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		35,735		$	369,770			11,488		$	117,333			—		$	—
Reinvested		1,047			11,064			1,405			13,585			9			82
Repurchased		(10,665	)		(112,551	)		(10,631	)		(105,949	)		(517	)		(5,122	)
Total		26,117		$	268,283			2,262		$	24,969			(508	)	$	(5,040	)

TARGET 2015 SERIES:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19						FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	CLASS K						CLASS K						CLASS R						CLASS R
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		11,874		$	141,247			11,457		$	130,015			2,519		$	27,026			57		$	631
Reinvested		1,465			17,419			2,039			22,028			—	1		2			47			510
Repurchased		(8,335	)		(98,278	)		(78,276	)		(877,434	)		(2,519	)		(29,693	)		(3,510	)		(40,130	)
Total		5,004		$	60,388			(64,780	)	$	(725,391	)		—		$	(2,665	)		(3,406	)	$	(38,989	)

TARGET 2015 SERIES:	FOR THE SIX MONTHS ENDED 4/30/20				FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/19
	CLASS I				CLASS I						CLASS R6
	SHARES		AMOUNTS		SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		5	$	60		1,354		$	15,002			—		$	—
Reinvested		110		1,300		163			1,765			8			89
Repurchased		—		—		(20,357	)		(224,940	)		(459	)		(5,114	)
Total		115	$	1,360		(18,840	)	$	(208,173	)		(451	)	$	(5,025	)

TARGET 2020 SERIES:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19						FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	CLASS K						CLASS K						CLASS R						CLASS R
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		395,266		$	3,964,765			754,254		$	7,250,970			97,386		$	970,568			281,861		$	2,629,905
Reinvested		41,627			427,920			116,291			1,047,489			15,994			162,021			22,422			200,008
Repurchased		(487,953	)		(4,941,404	)		(5,419,700	)		(49,035,047	)		(140,139	)		(1,387,808	)		(331,658	)		(3,202,503	)
Total		(51,060	)	$	(548,719	)		(4,549,155	)	$	(40,736,588	)		(26,759	)	$	(255,219	)		(27,375	)	$	(372,590	)

TARGET 2020 SERIES:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19						FOR THE PERIOD 11/1/18 TO 3/1/19 (DATE OF LIQUIDATION)
	CLASS I						CLASS I						CLASS R6
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		88,795		$	915,654			26,083		$	250,270			—		$	—
Reinvested		2,017			20,872			2,877			26,279			8			72
Repurchased		(91,665	)		(933,594	)		(66,892	)		(636,604	)		(541	)		(5,117	)
Total		(853	)	$	2,932			(37,932	)	$	(360,055	)		(533	)	$	(5,045	)

 51

Notes to Financial Statements (continued) 

(unaudited)

6. Capital Stock Transactions (continued)

TARGET 2025 SERIES:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19						FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	CLASS K						CLASS K						CLASS R						CLASS R
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		180,948		$	2,387,234			738,968		$	9,121,599			91,098		$	1,198,607			419,486		$	5,078,875
Reinvested		38,251			503,001			53,819			617,781			18,622			245,436			33,477			382,607
Repurchased		(158,793	)		(2,061,156	)		(408,916	)		(4,994,545	)		(82,007	)		(1,058,948	)		(559,888	)		(6,994,177	)
Total		60,406		$	829,079			383,871		$	4,744,835			27,713		$	385,095			(106,925	)	$	(1,532,695	)

TARGET 2025 SERIES:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19						FOR THE PERIOD 11/1/18 TO 3/1/19 (DATE OF LIQUIDATION)
	CLASS I						CLASS I						CLASS R6
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		6,971		$	90,575			48,377		$	592,711			—		$	—
Reinvested		1,247			16,382			2,141			24,580			8			84
Repurchased		(2,455	)		(32,121	)		(63,269	)		(753,060	)		(429	)		(5,129	)
Total		5,763		$	74,836			(12,751	)	$	(135,769	)		(421	)	$	(5,045	)

TARGET 2030 SERIES:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19						FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	CLASS K						CLASS K						CLASS R						CLASS R
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		269,533		$	2,812,858			1,026,683		$	10,060,839			194,365		$	2,025,389			676,480		$	6,478,226
Reinvested		41,977			445,469			219,932			1,974,424			20,692			217,261			55,022			489,275
Repurchased		(342,651	)		(3,516,340	)		(6,619,061	)		(59,998,542	)		(102,899	)		(1,037,752	)		(726,480	)		(7,121,470	)
Total		(31,141	)	$	(258,013	)		(5,372,446	)	$	(47,963,279	)		112,158		$	1,204,898			5,022		$	(153,969	)

TARGET 2030 SERIES:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/19
	CLASS I						CLASS I						CLASS R6
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		152,126		$	1,595,050			105,528		$	1,050,547			—		$	—
Reinvested		3,891			41,787			8,368			76,651			12			109
Repurchased		(161,915	)		(1,695,524	)		(54,254	)		(533,911	)		(535	)		(5,168	)
Total		(5,898	)	$	(58,687	)		59,642		$	593,287			(523	)	$	(5,059	)

TARGET 2035 SERIES:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19						FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	CLASS K						CLASS K						CLASS R						CLASS R
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		186,801		$	2,576,423			657,919		$	8,540,585			142,530		$	1,956,525			476,096		$	6,066,432
Reinvested		22,403			312,078			67,799			786,410			13,961			194,898			51,428			596,100
Repurchased		(136,734	)		(1,854,764	)		(337,040	)		(4,261,217	)		(36,478	)		(498,441	)		(359,638	)		(4,759,279	)
Total		72,470		$	1,033,737			388,678		$	5,065,778			120,013		$	1,652,982			167,886		$	1,903,253

 52

Notes to Financial Statements (continued) 

(unaudited)

6. Capital Stock Transactions (continued)

TARGET 2035 SERIES:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/19
	CLASS I						CLASS I						CLASS R6
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		15,686		$	215,818			6,161		$	78,871			—		$	—
Reinvested		648			9,091			2,254			26,322			16			187
Repurchased		(8,807	)		(122,440	)		(13,076	)		(166,791	)		(417	)		(5,212	)
Total		7,527		$	102,469			(4,661	)	$	(61,598	)		(401	)	$	(5,025	)

TARGET 2040 SERIES:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19						FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	CLASS K						CLASS K						CLASS R						CLASS R
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		232,096		$	2,428,659			782,837		$	7,718,919			135,865		$	1,425,126			466,330		$	4,527,663
Reinvested		22,009			237,708			426,779			3,744,224			10,504			112,278			122,823			1,066,161
Repurchased		(176,551	)		(1,796,632	)		(3,745,561	)		(33,400,130	)		(86,166	)		(892,680	)		(430,909	)		(4,268,833	)
Total		77,554		$	869,735			(2,535,945	)	$	(21,936,987	)		60,203		$	644,724			158,244		$	1,324,991

TARGET 2040 SERIES:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/19
	CLASS I						CLASS I						CLASS R6
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		119,462		$	1,231,597			57,843		$	570,919			—		$	—
Reinvested		1,947			21,262			19,146			170,060			39			345
Repurchased		(126,004	)		(1,317,796	)		(69,782	)		(707,625	)		(547	)		(5,255	)
Total		(4,595	)	$	(64,937	)		7,207		$	33,354			(508	)	$	(4,910	)

TARGET 2045 SERIES:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19						FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	CLASS K						CLASS K						CLASS R						CLASS R
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		78,505		$	1,082,237			306,810		$	4,044,623			83,609		$	1,121,880			299,090		$	3,841,569
Reinvested		10,415			148,205			60,712			691,460			8,882			125,143			58,633			660,544
Repurchased		(37,753	)		(498,854	)		(205,839	)		(2,672,787	)		(18,579	)		(253,707	)		(181,330	)		(2,382,394	)
Total		51,167		$	731,588			161,683		$	2,063,296			73,912		$	993,316			176,393		$	2,119,719

TARGET 2045 SERIES:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/19
	CLASS I						CLASS I						CLASS R6
	SHARES			AMOUNTS			SHARES			AMOUNTS			SHARES			AMOUNTS
Sold		25,051		$	338,190			8,322		$	108,182			—		$	—
Reinvested		784			11,204			4,389			50,249			31			349
Repurchased		(9,683	)		(138,930	)		(3,253	)		(42,676	)		(424	)		(5,298	)
Total		16,152		$	210,464			9,458		$	115,755			(393	)	$	(4,949	)

 53

Notes to Financial Statements (continued)

(unaudited)

6. Capital Stock Transactions (continued)

TARGET
2050	FOR THE SIX MONTHS					FOR THE YEAR					FOR THE SIX MONTHS					FOR THE YEAR
SERIES:	ENDED 4/30/20					ENDED 10/31/19					ENDED 4/30/20					ENDED 10/31/19
	CLASS K					CLASS K					CLASS R					CLASS R
	SHARES		AMOUNTS			SHARES		AMOUNTS			SHARES		AMOUNTS			SHARES		AMOUNTS
Sold	203,821		$	2,174,624		705,800		$	7,241,003		103,188		$	1,098,244		379,318		$	3,793,938
Reinvested	10,021			113,234		240,335			2,132,184		4,308			47,905		86,076			751,001
Repurchased	(225,307	)		(2,321,061	)	(1,332,263	)		(12,158,663	)	(54,138	)		(575,558	)	(281,510	)		(2,873,841	)
Total	(11,465	)	$	(33,203	)	(386,128	)	$	(2,785,476	)	53,358		$	570,591		183,884		$	1,671,098

TARGET
2050	FOR THE SIX MONTHS					FOR THE YEAR					FOR THE YEAR
SERIES:	ENDED 4/30/20					ENDED 10/31/19					ENDED 10/31/19
	CLASS I					CLASS I					CLASS R6
	SHARES		AMOUNTS			SHARES		AMOUNTS			SHARES		AMOUNTS
Sold	37,094		$	403,188		77,873		$	786,721		—		$	—
Reinvested	697			7,961		14,130			126,784		53			478
Repurchased	(91,226	)		(995,570	)	(37,541	)		(378,966	)	(539	)		(5,321	)
Total	(53,435	)	$	(584,421	)	54,462		$	534,539		(486	)	$	(4,843	)

TARGET
2055	FOR THE SIX MONTHS					FOR THE YEAR					FOR THE SIX MONTHS					FOR THE YEAR
SERIES:	ENDED 4/30/20					ENDED 10/31/19					ENDED 4/30/20					ENDED 10/31/19
	CLASS K					CLASS K					CLASS R					CLASS R
	SHARES		AMOUNTS			SHARES		AMOUNTS			SHARES		AMOUNTS			SHARES		AMOUNTS
Sold	112,149		$	1,571,611		182,856		$	2,324,241		55,779		$	744,417		149,787		$	1,858,282
Reinvested	5,351			75,449		27,325			304,231		5,337			74,135		30,948			339,226
Repurchased	(41,915	)		(570,093	)	(128,894	)		(1,639,804	)	(15,015	)		(201,577	)	(127,205	)		(1,622,153	)
Total	75,585		$	1,076,967		81,287		$	988,668		46,101		$	616,975		53,530		$	575,355

TARGET
2055	FOR THE SIX MONTHS					FOR THE YEAR					FOR THE YEAR
SERIES:	ENDED 4/30/20					ENDED 10/31/19					ENDED 10/31/19
	CLASS I					CLASS I					CLASS R6
	SHARES		AMOUNTS			SHARES		AMOUNTS			SHARES		AMOUNTS
Sold	15,570		$	218,498		15,137		$	195,386		—		$	—
Reinvested	440			6,271		2,087			23,522		30			335
Repurchased	(2,332	)		(32,314	)	(8,718	)		(113,197	)	(429	)		(5,319	)
Total	13,678		$	192,455		8,506		$	105,711		(399	)	$	(4,984	)

TARGET
2060	FOR THE SIX MONTHS					FOR THE YEAR					FOR THE SIX MONTHS					FOR THE YEAR
SERIES:	ENDED 4/30/20					ENDED 10/31/19					ENDED 4/30/20					ENDED 10/31/19
	CLASS K					CLASS K					CLASS R					CLASS R
	SHARES		AMOUNTS			SHARES		AMOUNTS			SHARES		AMOUNTS			SHARES		AMOUNTS
Sold	53,671		$	661,395		254,520		$	3,003,439		98,535		$	1,214,427		267,080		$	3,054,877
Reinvested	2,846			36,596		39,861			402,474		2,703			34,572		28,097			280,280
Repurchased	(28,277	)		(322,778	)	(408,001	)		(4,158,775	)	(21,136	)		(250,973	)	(103,327	)		(1,238,833	)
Total	28,240		$	375,213		(113,620	)	$	(752,862	)	80,102		$	998,026		191,850		$	2,096,324

 54

Notes to Financial Statements (continued)

(unaudited)

6. Capital Stock Transactions (continued)

TARGET
2060	FOR THE SIX MONTHS					FOR THE YEAR					FOR THE YEAR
SERIES:	ENDED 4/30/20					ENDED 10/31/19					ENDED 10/31/19
	CLASS I					CLASS I					CLASS R6
	SHARES		AMOUNTS			SHARES		AMOUNTS			SHARES		AMOUNTS
Sold	36,036		$	408,613		14,345		$	164,198		—		$	2
Reinvested	82			1,058		576			5,840		29			293
Repurchased	(31,111	)		(378,354	)	(3,873	)		(43,002	)	(477	)		(5,321	)
Total	5,007		$	31,317		11,048		$	127,036		(448	)	$	(5,026	)

¹Less than 1 share.

The following table represents instances at April 30, 2020, where a shareholder account owned greater than 10% of a Series:

	NUMBER OF		PERCENTAGE
SERIES	ACCOUNTS		OF THE
	OVER 10%		SERIES
Target 2015 Series		3		67.6	%
Target 2050 Series		1		15.0	%

At April 30, 2020, the Advisor and its affiliates owned 1.6% of the Target 2060 Series and less than 0.1% of Target 2015 Series, Target 2025 Series, Target 2035 Series, Target 2045 Series and Target 2055 Series. Investment activities of these shareholders may have a material effect on the Series.

7. Line of Credit

The Fund has entered into a 364-day, $25 million credit agreement (the “line of credit”) with Bank of New York Mellon. Each series of the Fund may borrow under the line of credit for temporary or emergency purposes, including funding shareholder redemptions and other short-term liquidity purposes. The Fund pays an annual fee on the unused commitment amount, payable quarterly, and is allocated among all the series of the Fund and included in miscellaneous expenses in the Statement of Operations for each series. The line of credit expires in August 2020 unless extended or renewed. During the six months ended April 30, 2020, none of the Series borrowed under the line of credit.

8. 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 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 April 30, 2020.

9. 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. Any such reclassifications are not reflected in the financial highlights.

 55

Notes to Financial Statements (continued)

(unaudited)

9. Federal Income Tax Information (continued)

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, 2019 were as follows:

	TARGET		TARGET		TARGET		TARGET		TARGET
	INCOME		2015		2020		2025		2030
	SERIES		SERIES		SERIES		SERIES		SERIES
Ordinary income (2019)	$	2,087,974	$	24,392	$	1,320,215	$	1,027,006	$	2,606,053

	TARGET		TARGET		TARGET		TARGET		TARGET		TARGET
	2035		2040		2045		2050		2055		2060
	SERIES		SERIES		SERIES		SERIES		SERIES		SERIES
Ordinary income (2019)	$	1,409,087	$	5,021,140	$	1,403,021	$	3,064,971	$	667,314	$	692,961
Long-term capital gain (2019)	$	—	$	1,807	$	—	$	—	$	—	$	—

At April 30, 2020, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized appreciation were as follows:

	TARGET		TARGET		TARGET		TARGET		TARGET
	INCOME		2015		2020		2025		2030
	SERIES		SERIES		SERIES		SERIES		SERIES
Cost for federal income tax purposes	$	72,885,663	$	1,269,654	$	52,503,894	$	66,453,919	$	75,053,060
Unrealized appreciation		3,751,458		41,304		3,966,732		4,992,696		6,644,077
Unrealized depreciation		—		—		—		—		—
Net unrealized appreciation	$	3,751,458	$	41,304	$	3,966,732	$	4,992,696	$	6,644,077

	TARGET		TARGET		TARGET		TARGET		TARGET		TARGET
	2035		2040		2045		2050		2055		2060
	SERIES		SERIES		SERIES		SERIES		SERIES		SERIES
Cost for federal income tax purposes	$	47,981,009	$	50,977,615	$	26,796,715	$	30,702,664	$	13,756,845	$	14,229,144
Unrealized appreciation		3,417,296		2,678,825		1,227,027		932,338		503,170		216,460
Unrealized depreciation		—		—		—		—		—		—
Net unrealized appreciation	$	3,417,296	$	2,678,825	$	1,227,027	$	932,338	$	503,170	$	216,460

At October 31, 2019, Target 2015 Series had net short-term capital loss carryforwards of $4,988 and Target Income Series, Target 2015 Series, Target 2020 Series, Target 2030 Series, Target 2040 Series, Target 2050 Series, and Target 2060 Series had net long-term capital loss carryforwards of $2,237,945, $440,643, $3,372,013, $2,698,747, $1,856,872, $586,436, and $224,104, respectively, which may be carried forward indefinitely.

10. Market Event

In March 2020, the World Health Organization declared COVID-19 (a novel coronavirus) to be a pandemic. The situation is dynamic. Global financial markets have experienced and may continue to experience significant volatility resulting from the spread of COVID-19. The outbreak of COVID-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty. The global economy, the economies of certain nations and individual issuers have been and may continue to be adversely affected by COVID-19, particularly in light of the interconnectivity between economies and financial markets, all of which may negatively impact the Funds performance. In addition, COVID-19 and governmental responses to COVID-19 may negatively impact the capabilities of the Funds service providers and disrupt the Funds operations. Management of the Fund will continue to monitor the impact of COVID-19.

 56

Notes to Financial Statements (continued)

(unaudited)

11. Subsequent Events

In preparing these financial statements, management of the Fund has evaluated events and transactions for potential recognition or disclosure through June 17, 2020, the date the financial statements were issued, and the following item was noted:

In March of this year, William Manning, who is the co-founder of Manning & Napier, Inc. (“MN Inc.”), which is the ultimate parent company of the Advisor, delivered to the company an exchange notice under the terms of the exchange agreement (the “Exchange Agreement”) that was entered into at the time that MN Inc. became a public company in 2011. Pursuant to the Exchange Agreement, Mr. Manning was able to tender the entirety of his private interests in Manning & Napier Group, LLC (“MN Group”), the managing member of the Advisor, exchangeable for cash or shares of MN Inc. Class A common stock. On April 9, 2020, MN Inc. delivered to Mr. Manning a letter indicating that, as permitted under the Exchange Agreement, it would satisfy Mr. Manning’s exchange request by purchasing all of Mr. Manning’s private interests in MN Group (the “Transaction”). The Transaction, which settled on May 11, 2020, divested Mr. Manning’s entirely of his ownership interest in MN Group. Mr. Manning also served as the Chairman of the Board of Directors of MN Inc. through June 10, 2020 and did not stand for reelection.

The Transaction may be deemed to result in a change of control of the Advisor, under the 1940 Act, which results in the assignment and automatic termination of the investment advisory agreements pursuant to which the Advisor provides investment advisory services to the Series (the “Current Agreement”). At a meeting of the Board of Directors of the Advisor on April 22, 2020, the Board approved new investment advisory agreements for the Series (“New Agreement“), that require shareholder approval to take effect. Shareholders are being asked to approve the New Agreement through a proxy statement that was filed on May 15, 2020, which will enable the Advisor to continue to serve the Series. Terms of the New Agreement are the same as the Current Agreement, therefore there are no changes in fees paid to the Advisor.

In relation to the termination of the Current Agreement, at a meeting of the Board of Directors of the Advisor on April 17, 2020, the Board approved an interim advisory agreement which became effective on May 11, 2020 with the closing of the Transaction, allowing the Advisor to continue to provide investment advisory services for each Series for up to 150 days between termination of the Current Agreement and shareholder approval of the New Agreement. Terms of the interim advisory agreement is the same as the Current Agreement, therefore there are no changes in fees paid to the Advisor.

 57

Renewal of Investment Advisory Agreement

(unaudited)

At the Manning & Napier Fund, Inc. (the “Fund”) Board of Directors’ (the “Board”) meeting, held on November 21, 2019, the Investment Advisory Agreement (the “Agreement”) between the Fund and Manning & Napier Advisors, LLC (the “Advisor”) was considered for renewal by the Board, including all of the Directors who are not “interested persons” (“Independent Directors”), within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”). In connection with the decision whether to renew the Agreement, a variety of material was provided to the Board in advance of the meeting for their review and consideration. The Board also held a working session on October 25, 2019 to review and discuss information provided to the Board, and for the Board to request additional information.

Representatives of the Advisor attended a portion of the working session and attended the Board meeting. The Advisor provided supplemental information requested by the Board and presented additional oral information to the Board to assist the Board in its considerations. In addition to the information furnished by the Advisor, the Board was provided with a legal memorandum discussing its fiduciary duties related to its approval of the continuation of the Agreement. Legal counsel for the Fund discussed with the Board the applicable legal considerations. In addition, the Board received in-person presentations about the Fund throughout the year.

The Independent Directors were advised by independent legal counsel with respect to these matters. The Independent Directors also met separately in an executive session with their legal counsel without any representatives of the Advisor present.

The Directors’ determinations at the meeting were made on the basis of each Director’s business judgment after consideration of all the information presented. In deciding to recommend the renewal of the Agreement with respect to each Series of the Fund, the Independent Directors did not identify any single or particular piece of information that, in isolation, was the controlling factor. Each Independent Director may also have weighed factors differently. This summary describes the most important, but not all, of the factors considered by the Board and the Independent Directors.

● The Board considered the nature and quality of services provided by the Advisor under the Agreement for over 30 years 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 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 considered the numerous services performed by the Advisor and its affiliates beyond those stated in the Agreements. The Board also considered the Advisor’s personnel who perform services to the Fund, changes in senior or key personnel, industry trends impacting the mutual fund industry, the strength of the Advisor’s compliance infrastructure, policies and procedures relating to compliance with securities regulations, reputation, expertise and resources. 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 Advisor’s investments teams, including changes to the investment teams and investment team’s compensation during the past year, and the investment process. The Board considered the performance of each Series since its inception, as well as over multiple time periods including: one year, 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 (and considers on a quarterly basis) a number of other factors relevant to performance at the meeting including: a peer group performance analysis consisting of Morningstar universes of mutual funds with similar investment objectives; the breadth of the Fund’s product offerings; and performance over reasonable time periods. Representatives of the Advisor discussed improved performance for many of the Series over the one- and three-year time periods ending September 30, 2019. The Board discussed with Representatives of the Advisor, performance challenges that continue to impact the three- and five-year performance of certain Fund’s strategies resulting from periods of underperformance in 2014 and 2016. After discussion, the Board acknowledged the improved short term performance of many of the Series and concluded that notwithstanding the performance challenges that continue to impact certain Series, the nature and quality of the investment management services provided by the Advisor to the Fund supported the renewal of the agreement.

● 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 contractual expense waivers or reimbursements paid by the Advisor. Representatives of the Advisor discussed the multi-year fee restructuring initiative which was completed by the Advisor on March 1, 2019 to increase the competitiveness of the Fund’s fees. The fee

 58

Renewal of Investment Advisory Agreement

(unaudited)

restructuring project also resulted in a set of standardized share classes to help support the Fund’s distribution efforts across client types and varying intermediary distribution models.

● The Board considered whether the Advisor had achieved economies of scale with respect to its services to the Fund. The Board acknowledged the expense caps incorporated in the Fund’s current fee structure, which requires the Advisor to subsidize the expenses of the Series operating above their expense cap, noting that 26 Series of the Fund are currently receiving expense reimbursements from the Advisor. The Board concluded that the Fund would need to grow in assets before the Advisor would be able to achieve meaningful economies of scale.

● The Advisor provided the Board with information comparing each Series’ contractual management fees with the Advisor’s standard advisory fees for separate accounts and collective investment trusts. The Board considered that the range of services provided to the Series is more extensive than for the Advisor’s other clients due to additional infrastructure, administrative and regulatory requirements related to operating a mutual fund.

● The current advisory fees, 12b-1 Distribution and Service Fees, other expenses (e.g. a combination of Shareholder Services Fees, intermediary sub-TA fees, routine operating expenses and Acquired Fund Fees and Expenses for fund-of-fund Series) and total expense ratios of each Series and share class were compared and ranked (on both a mean and median basis) against respective peer universes. Respective peer universes included funds of a similar size and with similar investment objectives and expense characteristics as disclosed on the Morningstar database. Representatives of the Advisor discussed with the Board the comparisons and rankings of fees and net expense ratios for each Series of the Fund and the methodology behind the comparison. The Board considered the Advisor’s active portfolio management that results in portfolios that are more differentiated than the construction of their benchmarks. The Board acknowledged that the fee restructuring project completed on March 1, 2019 reduced the expense ratios for shareholders in many Series. Based on their review of the information provided, the Board concluded that the current fees and expenses of each Series of the Fund were reasonable on a comparative basis.

● The Board also considered the other benefits the Advisor derives from its relationship with the Fund. Such other benefits include participation in a joint insurance program, sharing of compensation expenses for certain shared personnel, relationships with large service providers, the utilization of Series within the Advisor’s separately managed accounts and 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. The Board concluded that these additional benefits to the Advisor were reasonable.

Based on the Board’s deliberations and their evaluation of the information described above, the Board, including a majority of the Independent Directors, concluded that the compensation under the Agreement was fair and reasonable with respect to each Series 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, and that the renewal of the Agreement would be in the best interests of each Series and its shareholders. The Board did not indicate that any single factor was determinative of its decision to approve the Agreement, but indicated that the Board based its determination on the total mix of information available to it.

 59

Liquidity Risk Management Program Disclosure

(unaudited)

The Securities and Exchange commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”) to promote effective liquidity risk management across open-end investment companies and reduce the risk that open-end investment companies are unable to meet redemption obligations without a significant dilution of remaining shareholder interests.

The Board of Directors (the “Board”), including a majority of Directors who are not interested persons, of Manning & Napier Fund, Inc. and each of its series (each “a Fund” or collectively, the “Funds”) met on February 13, 2020 (the “Meeting”) to review the Liquidity Risk Management Program (the “Program”) of the Funds, in accordance with the requirements of the Liquidity Rule. The Board appointed the Liquidity Risk Management Committee (the “Committee”), in conjunction with the Fund’s investment advisor, Manning & Napier Advisors, LLC (“MNA”), to administer the Program and review it no less than annually.

At the Meeting, the Committee provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including an evaluation of any material changes to the Program (the “Report”). The Report covered the period from December 1, 2018 through December 31, 2019 (the “Review Period”).

The Report described the Committee’s review of and conclusions around each factor that the Fund must consider to assess, manage and review its Liquidity Risk. Additionally, the Report discussed the Committee’s management of the Program, including an evaluation of the Program’s methodology for classifying each portfolio investment into one of four liquidity buckets. As part of this evaluation the Committee re-affirmed that each Fund operated as a Primarily Highly Liquid Fund, with greater than 50% of net assets consistently invested in Highly Liquid Investments, thereby negating a need to establish a Highly Liquid Investment Minimum for any Fund. Lastly, the Report highlighted the effectiveness of the safeguards that the Committee adopted to prevent a violation of the Liquidity Rule’s 15% limit on a Fund’s acquisition of Illiquid Investments.

There were no material changes to the Program during the Review Period. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.

 60

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 61

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 30^this 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 1^stand 3^rdquarters of each fiscal year are provided on Form N-PORT, and are available, without charge, upon request:

By phone	1-800-466-3863
On the SEC’s web site	http://www.sec.gov

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 #008A51 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-04/20-SAR

 

  Manning & Napier Fund, Inc.

  Disciplined Value Series

Beginning on June 25, 2021, as permitted by Securities and Exchange Commission regulations, paper copies of the Series’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically by contacting your financial intermediary or, if you are a direct investor, by visiting www.manning-napier.com or calling 1-800-466-3863.

You may elect to receive all future annual and semi-annual reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by visiting www.manning-napier.com or calling 1-800-466-3863. Your election to receive reports in paper will apply to all funds held with your financial intermediary if you invest through a financial intermediary or all series of the Fund if you invest directly with the Fund.

Disciplined Value Series

Shareholder Expense Example 

(unaudited)

As a shareholder of the Series, you incur ongoing costs, including management fees, shareholder service 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 (November 1, 2019 to April 30, 2020).

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, such as sales charges (loads), redemption fees, or exchange fees that you may incur in other mutual funds. 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.

	BEGINNING  ACCOUNT VALUE  11/1/19	ENDING  ACCOUNT VALUE  4/30/20	EXPENSES PAID  DURING PERIOD  11/1/19-4/30/201	ANNUALIZED  EXPENSE RATIO
Class S
Actual	$1,000.00	$   882.00	$3.56	0.76%
Hypothetical
(5% return before expenses)	$1,000.00	$1,021.08	$3.82	0.76%
Class I
Actual	$1,000.00	$   882.90	$2.53	0.54%
Hypothetical
(5% return before expenses)	$1,000.00	$1,022.18	$2.72	0.54%
Class W
Actual	$1,000.00	$   884.10	$0.56	0.12%
Hypothetical
(5% return before expenses)	$1,000.00	$1,024.27	$0.60	0.12%
Class Z
Actual	$1,000.00	$   883.50	$1.97	0.42%
Hypothetical
(5% return before expenses)	$1,000.00	$1,022.77	$2.11	0.42%

¹Expenses are equal to the Series’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). The Class’ total return would have been lower had certain expenses not been waived or reimbursed during the period.

 1

Disciplined Value Series

Portfolio Composition as of April 30, 2020 

(unaudited)

Sector Allocation¹

 

¹As a percentage of net assets.

 2

Disciplined Value Series

Investment Portfolio - April 30, 2020

(unaudited)

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS - 99.3%
Communication Services - 1.8%
Media - 1.8%
Comcast Corp. - Class A		147,986	$	5,568,713
Consumer Discretionary - 4.9%
Distributors - 0.4%
Genuine Parts Co.		14,184		1,124,508
Household Durables - 0.3%
Garmin Ltd.		13,705		1,112,298
Specialty Retail - 3.6%
Best Buy Co., Inc.		21,241		1,629,822
The Home Depot, Inc.		44,756		9,838,711
				11,468,533
Textiles, Apparel & Luxury Goods - 0.6%
VF Corp.		31,470		1,828,407
Total Consumer Discretionary				15,533,746
Consumer Staples - 14.2%
Beverages - 0.9%
Constellation Brands, Inc. - Class A		10,805		1,779,475
Molson Coors Beverage Co. - Class B		26,249		1,076,471
				2,855,946
Food & Staples Retailing - 5.0%
The Kroger Co.		74,703		2,361,362
Sysco Corp.		31,650		1,780,946
Walmart, Inc.		95,586		11,618,478
				15,760,786
Food Products - 6.0%
Archer-Daniels-Midland Co.		48,496		1,801,141
Conagra Brands, Inc.		50,524		1,689,523
General Mills, Inc.		49,653		2,973,718
The Hershey Co.		19,398		2,568,877
Hormel Foods Corp.		36,297		1,700,514
The J.M. Smucker Co.		13,462		1,546,918
Mondelez International, Inc. - Class A		93,455		4,807,325
Tyson Foods, Inc. - Class A		28,060		1,745,051
				18,833,067
Household Products - 2.3%
Colgate-Palmolive Co.		57,823		4,063,222

The accompanying notes are an integral part of the financial statements.

 3

Disciplined Value Series

Investment Portfolio - April 30, 2020

(unaudited)

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Consumer Staples (continued)
Household Products (continued)
Kimberly-Clark Corp.		24,514	$	3,394,699
				7,457,921
Total Consumer Staples				44,907,720
Energy - 2.9%
Energy Equipment & Services - 0.4%
Baker Hughes Co.		80,732		1,126,211
Oil, Gas & Consumable Fuels - 2.5%
ConocoPhillips		62,108		2,614,747
EOG Resources, Inc.		38,039		1,807,233
Marathon Petroleum Corp.		51,162		1,641,277
Valero Energy Corp.		29,751		1,884,726
				7,947,983
Total Energy				9,074,194
Financials - 15.8%
Banks - 12.8%
Bank of America Corp.		324,913		7,814,158
Citigroup, Inc.		97,639		4,741,350
Fifth Third Bancorp		57,770		1,079,721
JPMorgan Chase & Co.		107,369		10,281,655
The PNC Financial Services Group, Inc.		20,928		2,232,390
Regions Financial Corp.		92,505		994,429
Truist Financial Corp.		85,086		3,175,410
U.S. Bancorp.		100,752		3,677,448
Wells Fargo & Co.		224,209		6,513,271
				40,509,832
Insurance - 3.0%
The Allstate Corp.		21,816		2,219,124
Chubb Ltd.		29,260		3,160,373
Cincinnati Financial Corp.		12,141		798,878
The Hartford Financial Services Group, Inc.		31,829		1,209,184
The Travelers Companies, Inc.		19,254		1,948,697
				9,336,256
Total Financials				49,846,088
Health Care - 19.4%
Biotechnology - 3.9%
AbbVie, Inc.		74,236		6,102,199
Gilead Sciences, Inc.		76,534		6,428,856
				12,531,055

The accompanying notes are an integral part of the financial statements.

 4

Disciplined Value Series

Investment Portfolio - April 30, 2020

(unaudited)

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Health Care Equipment & Supplies - 1.8%
Medtronic plc.		58,172	$	5,679,332
Health Care Providers & Services - 0.4%
Quest Diagnostics, Inc.		11,464		1,262,301
Pharmaceuticals - 13.3%
Bristol-Myers Squibb Co.		107,249		6,521,812
Eli Lilly & Co.		32,733		5,061,831
Johnson & Johnson		79,378		11,909,875
Merck & Co., Inc.		115,203		9,140,206
Pfizer, Inc.		242,491		9,301,955
				41,935,679
Total Health Care				61,408,367
Industrials - 19.9%
Aerospace & Defense - 4.0%
General Dynamics Corp.		19,478		2,544,216
Lockheed Martin Corp.		15,567		6,056,497
Raytheon Technologies Corp.		61,302		3,972,983
				12,573,696
Air Freight & Logistics - 0.4%
C.H. Robinson Worldwide, Inc.		17,547		1,244,082
Building Products - 1.1%
Johnson Controls International plc		70,033		2,038,661
Trane Technologies plc.		17,117		1,496,368
				3,535,029
Commercial Services & Supplies - 0.9%
Waste Management, Inc.		29,926		2,993,199
Electrical Equipment - 2.3%
Eaton Corp. plc.		31,890		2,662,815
Emerson Electric Co.		49,669		2,832,623
Rockwell Automation, Inc.		9,606		1,820,145
				7,315,583
Industrial Conglomerates - 3.3%
3M Co.		32,739		4,973,709
Honeywell International, Inc.		38,131		5,410,789
				10,384,498
Machinery - 4.3%
Caterpillar, Inc.		38,056		4,428,957
Cummins, Inc.		13,379		2,187,467
Dover Corp.		10,915		1,022,190

The accompanying notes are an integral part of the financial statements.

 5

Disciplined Value Series

Investment Portfolio - April 30, 2020

(unaudited)

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Industrials (continued)
Machinery (continued)
Illinois Tool Works, Inc.		21,848	$	3,550,300
Parker-Hannifin Corp.		8,556		1,352,875
Stanley Black & Decker, Inc.		10,285		1,133,407
				13,675,196
Road & Rail - 2.6%
Norfolk Southern Corp.		13,462		2,303,348
Union Pacific Corp.		36,196		5,783,759
				8,087,107
Trading Companies & Distributors - 1.0%
Fastenal Co.		54,079		1,958,741
WW Grainger, Inc.		4,097		1,129,051
				3,087,792
Total Industrials				62,896,182
Information Technology - 17.4%
Communications Equipment - 2.5%
Cisco Systems, Inc.		187,969		7,966,126
IT Services - 4.2%
Accenture plc - Class A		23,680		4,385,299
Automatic Data Processing, Inc.		19,585		2,872,924
International Business Machines Corp.		47,356		5,946,019
				13,204,242
Semiconductors & Semiconductor Equipment - 8.5%
Analog Devices, Inc.		20,488		2,245,485
Intel Corp.		174,023		10,437,900
KLA Corp.		11,804		1,936,918
QUALCOMM, Inc.		47,431		3,731,397
Skyworks Solutions, Inc.		11,282		1,171,974
Texas Instruments, Inc.		50,630		5,876,624
Xilinx, Inc.		16,737		1,462,814
				26,863,112
Software - 1.9%
Oracle Corp.		109,427		5,796,348
Technology Hardware, Storage & Peripherals - 0.3%					��
NetApp, Inc.		22,921		1,003,252
Total Information Technology				54,833,080
Materials - 3.0%
Chemicals - 2.5%
International Flavors & Fragrances, Inc.		7,353		963,464

The accompanying notes are an integral part of the financial statements.

 6

Disciplined Value Series

Investment Portfolio - April 30, 2020

(unaudited)

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Materials (continued)
Chemicals (continued)
Linde plc (United Kingdom)		21,052	$	3,873,357
LyondellBasell Industries N.V. - Class A		31,688		1,836,320
PPG Industries, Inc.		15,461		1,404,323
				8,077,464
Metals & Mining - 0.5%
Nucor Corp.		35,722		1,471,389
Total Materials				9,548,853
TOTAL COMMON STOCKS
(Identified Cost $322,346,258)				313,616,943
SHORT-TERM INVESTMENT - 0.7%
Dreyfus Government Cash Management, Institutional Shares, 0.17%1
(Identified Cost $2,325,800)		2,325,800		2,325,800
TOTAL INVESTMENTS - 100.0%
(Identified Cost $324,672,058)				315,942,743
LIABILITIES, LESS OTHER ASSETS - (0.0%)##				(85,748	)
NET ASSETS - 100%			$	315,856,995

## Less than (0.1%).

¹Rate shown is the current yield as of April 30, 2020.

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 S&P Global 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.

 7

Disciplined Value Series

Statement of Assets and Liabilities

April 30, 2020 (unaudited)

ASSETS:
Investments, at value (identified cost $324,672,058) (Note 2)	$	315,942,743
Receivable for fund shares sold		430,064
Dividends receivable		322,124
Foreign tax reclaims receivable		1,219
Prepaid and other expenses		47,669
TOTAL ASSETS		316,743,819
LIABILITIES:
Accrued sub-transfer agent fees (Note 3)		75,350
Accrued management fees (Note 3)		47,206
Accrued fund accounting and administration fees (Note 3)		19,808
Accrued distribution and service (Rule 12b-1) fees (Class S) (Note 3)		13,485
Accrued Chief Compliance Officer service fees (Note 3)		956
Payable for fund shares repurchased		671,252
Other payables and accrued expenses		58,767
TOTAL LIABILITIES		886,824
TOTAL NET ASSETS	$	315,856,995
NET ASSETS CONSIST OF:
Capital stock	$	475,558
Additional paid-in-capital		347,734,192
Total distributable earnings (loss)		(32,352,755	)
TOTAL NET ASSETS	$	315,856,995
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S ($68,304,898/10,523,780 shares)	$	6.49
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I ($122,999,090/17,981,714 shares)	$	6.84
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class W ($111,595,289/17,156,496 shares)	$	6.50
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class Z ($12,957,718/1,893,858 shares)	$	6.84

The accompanying notes are an integral part of the financial statements.

 8

Disciplined Value Series

Statement of Operations

For the Six Months Ended April 30, 2020 (unaudited)

INVESTMENT INCOME:
Dividends	$	5,216,330
EXPENSES:
Management fees (Note 3)		515,193
Sub-transfer agent fees (Note 3)		114,672
Distribution and service (Rule 12b-1) fees (Class S) (Note 3)		99,006
Fund accounting and administration fees (Note 3)		39,441
Directors’ fees (Note 3)		13,276
Chief Compliance Officer service fees (Note 3)		1,438
Transfer agent fees		55,827
Custodian fees		2,008
Miscellaneous		86,599
Total Expenses		927,460
Less reduction of expenses (Note 3)		(178,438	)
Net Expenses		749,022
NET INVESTMENT INCOME		4,467,308
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on investments		(23,144,549	)
Net change in unrealized appreciation (depreciation) on investments		(25,793,328	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS		(48,937,877	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(44,470,569	)

The accompanying notes are an integral part of the financial statements.

 9

Disciplined Value Series

Statements of Changes in Net Assets

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	4,467,308		$	5,881,630
Net realized gain (loss) on investments		(23,144,549	)		9,065,670
Net change in unrealized appreciation (depreciation) on investments		(25,793,328	)		15,139,900
Net increase (decrease) from operations		(44,470,569	)		30,087,200
DISTRIBUTIONS TO SHAREHOLDERS (Note 8):
Class S		(3,456,653	)		(17,499,976	)
Class I		(5,487,692	)		(12,602,886	)
Class W		(5,043,415	)		(1,057,248	)
Class Z		(614,120	)		(199,160	)
Total distributions to shareholders		(14,601,880	)		(31,359,270	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase (decrease) from capital share transactions (Note 5)		59,525,758			155,724,402
Net increase (decrease) in net assets		453,309			154,452,332
NET ASSETS:
Beginning of period		315,403,686			160,951,354
End of period	$	315,856,995		$	315,403,686

The accompanying notes are an integral part of the financial statements.

 10

Disciplined Value Series

Financial Highlights - Class S

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED
					10/31/19		10/31/18		10/31/17		10/31/16		10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$7.67			$8.77		$11.42		$10.16		$11.64		$12.75
Income from investment operations:
Net investment income1		0.08			0.16		0.16		0.20		0.22		0.26
Net realized and unrealized gain (loss) on investments		(0.95	)		0.54		0.72		1.89		0.53		(0.21	)
Total from investment operations		(0.87	)		0.70		0.88		2.09		0.75		0.05
Less distributions to shareholders:
From net investment income		(0.08	)		(0.19	)	(0.27	)	(0.33	)	(0.32	)	(0.36	)
From net realized gain on investments		(0.23	)		(1.61	)	(3.26	)	(0.50	)	(1.91	)	(0.80	)
Total distributions to shareholders		(0.31	)		(1.80	)	(3.53	)	(0.83	)	(2.23	)	(1.16	)
Net asset value - End of period		$6.49			$7.67		$8.77		$11.42		$10.16		$11.64
Net assets - End of period (000’s omitted)		$68,305			$83,332		$72,088		$30,940		$15,022		$15,471
Total return2		(11.80%	)		11.11%		8.14%		21.52%		7.99%		0.63%
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.76%3			0.82%		0.85%		0.82%		0.82%		0.79%
Net investment income		2.30%3			2.14%		1.71%		1.91%		2.19%		2.14%
Series portfolio turnover		23%			35%		96%		34%		39%		49%
*For certain periods presented, 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		0.04%		N/A		N/A		N/A

¹Calculated based on average shares outstanding during the periods.

²Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain periods. Periods less than one year are not annualized.

³Annualized.

The accompanying notes are an integral part of the financial statements.

 11

Disciplined Value Series

Financial Highlights - Class I

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED
				10/31/191		10/31/181		10/31/171		10/31/161		10/31/151
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$8.07		$8.31		$9.58		$8.31		$8.97		$9.58
Income from investment operations:
Net investment income2		0.10		0.19		0.17		0.20		0.20		0.22
Net realized and unrealized gain (loss) on investments		(1.01	)	0.61		0.59		1.56		0.43		(0.15	)
Total from investment operations		(0.91	)	0.80		0.76		1.76		0.63		0.07
Less distributions to shareholders:
From net investment income		(0.09	)	(0.12	)	(0.17	)	(0.20	)	(0.20	)	(0.22	)
From net realized gain on investments		(0.23	)	(0.92	)	(1.86	)	(0.29	)	(1.09	)	(0.46	)
Total distributions to shareholders		(0.32	)	(1.04	)	(2.03	)	(0.49	)	(1.29	)	(0.68	)
Net asset value - End of period		$6.84		$8.07		$8.31		$9.58		$8.31		$8.97
Net assets - End of period (000’s omitted)		$122,999		$137,296		$88,864		$117,357		$152,751		$160,999
Total return3		(11.71%	)	11.44%		8.35%		21.86%		8.24%		0.91%
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.54%4		0.58%		0.60%		0.57%		0.57%		0.54%
Net investment income		2.52%4		2.38%		2.05%		2.24%		2.46%		2.44%
Series portfolio turnover		23%		35%		96%		34%		39%		49%
*For certain periods presented, 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		0.04%		N/A		N/A		N/A

¹Per share amounts have been adjusted to reflect a 1.75-for-1 stock split effective after the close of business on December 4, 2019.

²Calculated based on average shares outstanding during the periods.

³Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain periods. Periods less than one year are not annualized.

⁴Annualized.

The accompanying notes are an integral part of the financial statements.

 12

Disciplined Value Series

Financial Highlights - Class W

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE PERIOD 3/1/191TO 10/31/19
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$7.69			$7.36
Income from investment operations:
Net investment income2		0.10			0.13
Net realized and unrealized gain (loss) on investments		(0.95	)		0.35
Total from investment operations		(0.85	)		0.48
Less distributions to shareholders:
From net investment income		(0.11	)		(0.15	)
From net realized gain on investments		(0.23	)		—
Total distributions to shareholders		(0.34	)		(0.15	)
Net asset value - End of period		$6.50			$7.69
Net assets - End of period (000’s omitted)		$111,595			$76,322
Total return3		(11.59%	)		6.58%
Ratios (to average net assets)/Supplemental Data:
Expenses4		0.12%			0.15%
Net investment income4		2.89%			2.63%
Series portfolio turnover		23%			35%
*The investment advisor did not impose all or a portion of its management and/or other fees during the period, and 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 amount4:
		0.30%			0.32%

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. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized.

The accompanying notes are an integral part of the financial statements.

 13

Disciplined Value Series

Financial Highlights - Class Z

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE PERIOD 3/1/191TO 10/31/192
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$8.07			$7.67
Income from investment operations:
Net investment income3		0.10			0.12
Net realized and unrealized gain (loss) on investments		(1.00	)		0.36
Total from investment operations		(0.90	)		0.48
Less distributions to shareholders:
From net investment income		(0.10	)		(0.08	)
From net realized gain on investments		(0.23	)		—
Total distributions to shareholders		(0.33	)		(0.08	)
Net asset value - End of period		$6.84			$8.07
Net assets - End of period (000’s omitted)		$12,958			$18,454
Total return4		(11.65%	)		6.31%
Ratios (to average net assets)/Supplemental Data:
Expenses5		0.42%			0.45%
Net investment income5		2.65%			2.35%
Series portfolio turnover		23%			35%
*The investment advisor did not impose all or a portion of its management and/or other fees during the period, and 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:
		N/A			0.02%5

¹Commencement of operations.

²Per share amounts have been adjusted to reflect a 1.75-for-1 stock split effective after the close of business on December 4, 2019.

³Calculated based on average shares outstanding during the periods.

⁴Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain periods. Periods less than one year are not annualized.

⁵Annualized.

The accompanying notes are an integral part of the financial statements.

 14

Disciplined Value Series

Notes to Financial Statements

(unaudited)

1. Organization

Disciplined Value 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 Series is authorized to issue four classes of shares (Class S, I, W, and Z). 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 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 April 30, 2020, 8.9 billion shares have been designated in total among 31 series, of which 100 million have been designated as Disciplined Value Series Class I common stock, Disciplined Value Series Class S common stock, Disciplined Value Series Class W common stock, and Disciplined Value Series Class Z 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 may be 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.

 15

Disciplined Value Series

Notes to Financial Statements (continued)

(unaudited)

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 April 30, 2020 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Equity Securities:
Communication Services	$	5,568,713	$	5,568,713	$	—	$	—
Consumer Discretionary		15,533,746		15,533,746		—		—
Consumer Staples		44,907,720		44,907,720		—		—
Energy		9,074,194		9,074,194		—		—
Financials		49,846,088		49,846,088		—		—
Health Care		61,408,367		61,408,367		—		—
Industrials		62,896,182		62,896,182		—		—
Information Technology		54,833,080		54,833,080		—		—
Materials		9,548,853		9,548,853		—		—
Short-Term Investment		2,325,800		2,325,800		—		—
Total assets	$	315,942,743	$	315,942,743	$	—	$	—

There were no Level 2 or Level 3 securities held by the Series as of October 31, 2019 or April 30, 2020.

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.

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.

 16

Disciplined Value Series

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Federal Taxes(continued)

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 April 30, 2020, 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, 2016 through October 31, 2019. 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 0.30% 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, Governance & Nominating Committee Chair and Lead Independent Director who each receive an additional annual stipend for these roles.

 17

Disciplined Value Series

Notes to Financial Statements (continued)

(unaudited)

3. Transactions with Affiliates (continued)

The Fund may enter into agreements with financial intermediaries pursuant to which the Fund may pay financial intermediaries for non-distribution related sub-transfer agency, administrative, sub-accounting, and other shareholder services in an amount not to exceed 0.15% of the average daily net assets of the Class S and Class I shares. Payments made pursuant to such agreements are generally based on the current assets and/or number of accounts of the Series attributable to the financial intermediary. Any payments made pursuant to such agreements may be in addition to, rather than in lieu of, any Distribution and Shareholder Services Fee payable under the Rule 12b-1 plan of the Fund.

The Advisor has contractually agreed to waive the management fee for the Class W shares. In addition, pursuant to a separate expense limitation agreement, the Advisor has contractually agreed to limit its fees and reimburse expenses to the extent necessary so that the total direct annual fund operating expenses, exclusive of the shareholder services fee and/or distribution and service (12b-1) fees and waived Class W management fees (collectively, “excluded expenses”), to 0.60% of the average daily net assets of the Class I and Class S shares, 0.45% of the average daily net assets of the Class Z shares, and 0.15% of the average daily net assets of the Class W shares. These contractual waivers are expected to continue indefinitely, and may not be amended or terminated by the Advisor without the approval of the Series’ Board of Directors. The Advisor may receive from a Class the difference between the Class’s total direct annual fund operating expenses, not including excluded expenses, and the Class’s contractual expense limit to recoup all or a portion of its prior fee waivers (other than Class W management fee waivers) or expense reimbursements made during the rolling three-year period preceding the recoupment if at any point the total direct annual fund operating expenses, not including excluded expenses, are below the contractual expense limit (a) at the time of the fee waiver and/or expense reimbursement and (b) at the time of the recoupment.

Pursuant to the advisory fee waiver, the Advisor waived $178,438 in management fees for Class W shares for the six months ended April 30, 2020. This amount is included as a reduction of expenses on the Statement of Operations. For the six months ended April 30, 2020, the Advisor did not recoup any expenses that have been previously waived or reimbursed.

As of April 30, 2020, the class specific waivers or reimbursements subject to possible future recoupment under the expense limitation agreement are as follows:

CLASS	EXPIRING OCTOBER 31, 2022
Class W	$5,197
Class Z	2,152

Manning & Napier Investor Services, Inc., a registered broker-dealer affiliate of the Advisor, acts as distributor for the Fund’s shares. The Series compensates the distributor for distributing and servicing the Series’ Class S shares pursuant to a distribution plan adopted under Rule 12b-1 of the 1940 Act, regardless of expenses actually incurred. Under the agreement, the Series pays distribution and service fees to the distributor at an annual rate of 0.25% of average daily net assets attributable to Class S shares. There are no distribution and service fees on the Class I, Class W or Class Z shares. The fees are accrued daily and paid monthly.

Pursuant to a master services agreement dated February 13, 2020, 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 Income Series); 0.0075% on the next $15 billion of average daily net assets (excluding Target Series and Income Series); and 0.0065% of average daily net assets in excess of $40 billion (excluding Target Series and Income Series); plus a base fee of $30,400 per series. 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.

4. Purchases and Sales of Securities

For the six months ended April 30, 2020, purchases and sales of securities, other than U.S. Government securities and short-term securities, were $127,585,690 and $75,555,487, respectively. There were no purchases or sales of U.S. Government securities.

 18

Disciplined Value Series

Notes to Financial Statements (continued)

(unaudited)

5. Capital Stock Transactions

Transactions in Class S, Class I, Class W, and Class Z shares of Disciplined Value Series were:

CLASS S	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		1,576,318		$	11,174,214			7,454,001		$	55,765,138
Reinvested		440,093			3,299,738			2,522,364			17,068,654
Repurchased		(2,354,889	)		(16,368,377	)		(7,335,152	)		(51,979,899	)
Total		(338,478	)	$	(1,894,425	)		2,641,213		$	20,853,893

CLASS I	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		4,619,5171		$	32,309,215			13,377,1801		$	100,547,027
Reinvested		661,5581			5,196,318			1,589,4991			11,256,166
Repurchased		(4,319,746	)1		(30,624,816	)		(8,633,595	)1		(66,396,088	)
Total		961,3291		$	6,880,717			6,333,0841		$	45,407,105

CLASS W	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE PERIOD 3/1/19 (COMMENCEMENT OF OPERATIONS) TO 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		8,304,960		$	64,799,659			10,277,841		$	74,540,349
Reinvested		670,028			4,941,496			137,393			1,023,018
Repurchased		(1,747,071	)		(11,905,971	)		(486,655	)		(3,569,394	)
Total		7,227,917		$	57,835,184			9,928,579		$	71,993,973

CLASS Z	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE PERIOD 3/1/19 (COMMENCEMENT OF OPERATIONS) TO 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		71,3761		$	570,182			3,172,9551		$	24,404,587
Reinvested		78,2301			614,120			15,3721			119,095
Repurchased		(542,589	)1		(4,480,020	)		(901,486	)1		(7,054,251	)
Total		(392,983	)1	$	(3,295,718	)		2,286,8411		$	17,469,431

¹Effective after the close of trading on December 5, 2019, the total outstanding shares of Class I and Z of the Disciplined Value Series split on a 1.75-for-1 basis as of record date December 4, 2019. The impact of the stock split increased the number of shares outstanding by a factor of 1.75, while decreasing the NAV per share and market price per share by a factor of 1.75, resulting in no effect on fund net assets or on the total value of a shareholder’s investment.

At April 30, 2020,the Advisor and its affiliates owned 0.1% of the Series.

6. Line of Credit

The Fund has entered into a 364-day, $25 million credit agreement (the “line of credit”) with Bank of New York Mellon. Each series of the Fund may borrow under the line of credit for temporary or emergency purposes, including funding shareholder

 19

Disciplined Value Series

Notes to Financial Statements (continued)

(unaudited)

6. Line of Credit (continued)

redemptions and other short-term liquidity purposes. The Fund pays an annual fee on the unused commitment amount, payable quarterly, and is allocated among all the series of the Fund and included in miscellaneous expenses in the Statement of Operations for each series. The line of credit expires in August 2020 unless extended or renewed. During the six months ended April 30, 2020, the Series did not borrow under the line of credit.

7. 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 April 30, 2020.

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. 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.

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, 2019 were as follows:

Ordinary income	$	7,145,068
Long-term capital gains		24,214,202

At April 30, 2020, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized depreciation were as follows:

Cost for federal income tax purposes	$	327,680,581
Unrealized appreciation		19,372,553
Unrealized depreciation		(31,110,391	)
Net unrealized depreciation	$	(11,737,838	)

9. Market Event

In March 2020, the World Health Organization declared COVID-19 (a novel coronavirus) to be a pandemic. The situation is dynamic. Global financial markets have experienced and may continue to experience significant volatility resulting from the spread of COVID-19. The outbreak of COVID-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty. The global economy, the economies of certain nations and individual issuers have been and may continue to be adversely affected by COVID-19, particularly in light of the interconnectivity between economies and financial markets, all of which may negatively impact the Funds performance. In addition, COVID-19 and governmental responses to COVID-19 may negatively impact the capabilities of the Funds service providers and disrupt the Funds operations. Management of the Fund will continue to monitor the impact of COVID-19.

 20

Disciplined Value Series

Notes to Financial Statements (continued)

(unaudited)

(continued)

10. Subsequent Events

In preparing these financial statements, management of the Fund has evaluated events and transactions for potential recognition or disclosure through June 17, 2020, the date the financial statements were issued, and the following item was noted:

In March of this year, William Manning, who is the co-founder of Manning & Napier, Inc. (“MN Inc.”), which is the ultimate parent company of the Advisor, delivered to the company an exchange notice under the terms of the exchange agreement (the “Exchange Agreement”) that was entered into at the time that MN Inc. became a public company in 2011. Pursuant to the Exchange Agreement, Mr. Manning was able to tender the entirety of his private interests in Manning & Napier Group, LLC (“MN Group”), the managing member of the Advisor, exchangeable for cash or shares of MN Inc. Class A common stock. On April 9, 2020, MN Inc. delivered to Mr. Manning a letter indicating that, as permitted under the Exchange Agreement, it would satisfy Mr. Manning’s exchange request by purchasing all of Mr. Manning’s private interests in MN Group (the “Transaction”). The Transaction, which settled on May 11, 2020, divested Mr. Manning’s entirely of his ownership interest in MN Group. Mr. Manning also served as the Chairman of the Board of Directors of MN Inc. through June 10, 2020 and did not stand for reelection.

The Transaction may be deemed to result in a change of control of the Advisor, under the 1940 Act, which results in the assignment and automatic termination of the investment advisory agreements pursuant to which the Advisor provides investment advisory services to the Series (the “Current Agreement”). At a meeting of the Board of Directors of the Advisor on April 22, 2020, the Board approved new investment advisory agreements for the Series (“New Agreement“), that require shareholder approval to take effect. Shareholders are being asked to approve the New Agreement through a proxy statement that was filed on May 15, 2020, which will enable the Advisor to continue to serve the Series. Terms of the New Agreement are the same as the Current Agreement, therefore there are no changes in fees paid to the Advisor.

In relation to the termination of the Current Agreement, at a meeting of the Board of Directors of the Advisor on April 17, 2020, the Board approved an interim advisory agreement which became effective on May 11, 2020 with the closing of the Transaction, allowing the Advisor to continue to provide investment advisory services for each Series for up to 150 days between termination of the Current Agreement and shareholder approval of the New Agreement. Terms of the interim advisory agreement is the same as the Current Agreement, therefore there are no changes in fees paid to the Advisor.

 21

Disciplined Value Series

Renewal of Investment Advisory Agreement

(unaudited)

At the Manning & Napier Fund, Inc. (the “Fund”) Board of Directors’ (the “Board”) meeting, held on November 21, 2019, the Investment Advisory Agreement (the “Agreement”) between the Fund and Manning & Napier Advisors, LLC (the “Advisor”) was considered for renewal by the Board, including all of the Directors who are not “interested persons” (“Independent Directors”), within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”). In connection with the decision whether to renew the Agreement, a variety of material was provided to the Board in advance of the meeting for their review and consideration. The Board also held a working session on October 25, 2019 to review and discuss information provided to the Board, and for the Board to request additional information.

Representatives of the Advisor attended a portion of the working session and attended the Board meeting. The Advisor provided supplemental information requested by the Board and presented additional oral information to the Board to assist the Board in its considerations. In addition to the information furnished by the Advisor, the Board was provided with a legal memorandum discussing its fiduciary duties related to its approval of the continuation of the Agreement. Legal counsel for the Fund discussed with the Board the applicable legal considerations. In addition, the Board received in-person presentations about the Fund throughout the year.

The Independent Directors were advised by independent legal counsel with respect to these matters. The Independent Directors also met separately in an executive session with their legal counsel without any representatives of the Advisor present.

The Directors’ determinations at the meeting were made on the basis of each Director’s business judgment after consideration of all the information presented. In deciding to recommend the renewal of the Agreement with respect to each Series of the Fund, the Independent Directors did not identify any single or particular piece of information that, in isolation, was the controlling factor. Each Independent Director may also have weighed factors differently. This summary describes the most important, but not all, of the factors considered by the Board and the Independent Directors.

• The Board considered the nature and quality of services provided by the Advisor under the Agreement for over 30 years 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 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 considered the numerous services performed by the Advisor and its affiliates beyond those stated in the Agreements. The Board also considered the Advisor’s personnel who perform services to the Fund, changes in senior or key personnel, industry trends impacting the mutual fund industry, the strength of the Advisor’s compliance infrastructure, policies and procedures relating to compliance with securities regulations, reputation, expertise and resources. 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 Advisor’s investments teams, including changes to the investment teams and investment team’s compensation during the past year, and the investment process. The Board considered the performance of each Series since its inception, as well as over multiple time periods including: one year, 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 (and considers on a quarterly basis) a number of other factors relevant to performance at the meeting including: a peer group performance analysis consisting of Morningstar universes of mutual funds with similar investment objectives; the breadth of the Fund’s product offerings; and performance over reasonable time periods. Representatives of the Advisor discussed improved performance for many of the Series over the one- and three-year time periods ending September 30, 2019. The Board discussed with Representatives of the Advisor, performance challenges that continue to impact the three- and five-year performance of certain Fund’s strategies resulting from periods of underperformance in 2014 and 2016. After discussion, the Board acknowledged the improved short term performance of many of the Series and concluded that notwithstanding the performance challenges that continue to impact certain Series, the nature and quality of the investment management services provided by the Advisor to the Fund supported the renewal of the agreement.

• 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 contractual expense waivers or reimbursements paid by the Advisor. Representatives of the Advisor discussed the multi-year fee restructuring initiative which was completed by the Advisor on March 1, 2019 to increase the competitiveness of the Fund’s fees. The fee

 22

Disciplined Value Series

Renewal of Investment Advisory Agreement

(unaudited)

restructuring project also resulted in a set of standardized share classes to help support the Fund’s distribution efforts across client types and varying intermediary distribution models.

• The Board considered whether the Advisor had achieved economies of scale with respect to its services to the Fund. The Board acknowledged the expense caps incorporated in the Fund’s current fee structure, which requires the Advisor to subsidize the expenses of the Series operating above their expense cap, noting that 26 Series of the Fund are currently receiving expense reimbursements from the Advisor. The Board concluded that the Fund would need to grow in assets before the Advisor would be able to achieve meaningful economies of scale.

• The Advisor provided the Board with information comparing each Series’ contractual management fees with the Advisor’s standard advisory fees for separate accounts and collective investment trusts. The Board considered that the range of services provided to the Series is more extensive than for the Advisor’s other clients due to additional infrastructure, administrative and regulatory requirements related to operating a mutual fund.

• The current advisory fees, 12b-1 Distribution and Service Fees, other expenses (e.g. a combination of Shareholder Services Fees, intermediary sub-TA fees, routine operating expenses and Acquired Fund Fees and Expenses for fund-of-fund Series) and total expense ratios of each Series and share class were compared and ranked (on both a mean and median basis) against respective peer universes. Respective peer universes included funds of a similar size and with similar investment objectives and expense characteristics as disclosed on the Morningstar database. Representatives of the Advisor discussed with the Board the comparisons and rankings of fees and net expense ratios for each Series of the Fund and the methodology behind the comparison. The Board considered the Advisor’s active portfolio management that results in portfolios that are more differentiated than the construction of their benchmarks. The Board acknowledged that the fee restructuring project completed on March 1, 2019 reduced the expense ratios for shareholders in many Series. Based on their review of the information provided, the Board concluded that the current fees and expenses of each Series of the Fund were reasonable on a comparative basis.

• The Board also considered the other benefits the Advisor derives from its relationship with the Fund. Such other benefits include participation in a joint insurance program, sharing of compensation expenses for certain shared personnel, relationships with large service providers, the utilization of Series within the Advisor’s separately managed accounts and 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. The Board concluded that these additional benefits to the Advisor were reasonable.

Based on the Board’s deliberations and their evaluation of the information described above, the Board, including a majority of the Independent Directors, concluded that the compensation under the Agreement was fair and reasonable with respect to each Series 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, and that the renewal of the Agreement would be in the best interests of each Series and its shareholders. The Board did not indicate that any single factor was determinative of its decision to approve the Agreement, but indicated that the Board based its determination on the total mix of information available to it.

 23

Disciplined Value Series

Liquidity Risk Management Program Disclosure

(unaudited)

The Securities and Exchange commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”) to promote effective liquidity risk management across open-end investment companies and reduce the risk that open-end investment companies are unable to meet redemption obligations without a significant dilution of remaining shareholder interests.

The Board of Directors (the “Board”), including a majority of Directors who are not interested persons, of Manning & Napier Fund, Inc. and each of its series (each “a Fund” or collectively, the “Funds”) met on February 13, 2020 (the “Meeting”) to review the Liquidity Risk Management Program (the “Program”) of the Funds, in accordance with the requirements of the Liquidity Rule. The Board appointed the Liquidity Risk Management Committee (the “Committee”), in conjunction with the Fund’s investment advisor, Manning & Napier Advisors, LLC (“MNA”), to administer the Program and review it no less than annually.

At the Meeting, the Committee provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including an evaluation of any material changes to the Program (the “Report”). The Report covered the period from December 1, 2018 through December 31, 2019 (the “Review Period”).

The Report described the Committee’s review of and conclusions around each factor that the Fund must consider to assess, manage and review its Liquidity Risk. Additionally, the Report discussed the Committee’s management of the Program, including an evaluation of the Program’s methodology for classifying each portfolio investment into one of four liquidity buckets. As part of this evaluation the Committee re-affirmed that each Fund operated as a Primarily Highly Liquid Fund, with greater than 50% of net assets consistently invested in Highly Liquid Investments, thereby negating a need to establish a Highly Liquid Investment Minimum for any Fund. Lastly, the Report highlighted the effectiveness of the safeguards that the Committee adopted to prevent a violation of the Liquidity Rule’s 15% limit on a Fund’s acquisition of Illiquid Investments.

There were no material changes to the Program during the Review Period. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.

 24

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 25

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 30^this 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 1^stand 3^rdquarters of each fiscal year are provided on Form N-PORT, and are available, without charge, upon request:

By phone	1-800-466-3863
On the SEC’s web site	http://www.sec.gov

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-04/20-SAR

 

Manning & Napier Fund, Inc.

Overseas Series

Beginning on June 25, 2021, as permitted by Securities and Exchange Commission regulations, paper copies of the Series’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically by contacting your financial intermediary or, if you are a direct investor, by visiting www.manning-napier.com or calling 1-800-466-3863.

You may elect to receive all future annual and semi-annual reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by visiting www.manning-napier.com or calling 1-800-466-3863. Your election to receive reports in paper will apply to all funds held with your financial intermediary if you invest through a financial intermediary or all series of the Fund if you invest directly with the Fund.

Overseas Series

Shareholder Expense Example
(unaudited)

As a shareholder of the Series, you incur ongoing costs, including management fees, shareholder service 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 (November 1, 2019 to April 30, 2020).

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, such as sales charges (loads), redemption fees, or exchange fees that you may incur in other mutual funds. 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.

	BEGINNING ACCOUNT VALUE 11/1/19	ENDING ACCOUNT VALUE 4/30/20	EXPENSES PAID DURING PERIOD 11/1/19-4/30/201	ANNUALIZED EXPENSE RATIO
Class S
Actual	$1,000.00	$   939.40	$5.06	1.05%
Hypothetical
(5% return before expenses)	$1,000.00	$1,019.64	$5.27	1.05%
Class I
Actual	$1,000.00	$   940.70	$3.62	0.75%
Hypothetical
(5% return before expenses)	$1,000.00	$1,021.13	$3.77	0.75%
Class W
Actual	$1,000.00	$   943.90	$0.24	0.05%
Hypothetical
(5% return before expenses)	$1,000.00	$1,024.61	$0.25	0.05%
Class Z
Actual	$1,000.00	$   941.10	$3.14	0.65%
Hypothetical
(5% return before expenses)	$1,000.00	$1,021.63	$3.27	0.65%

¹Expenses are equal to the Series’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). The Class’ total return would have been lower had certain expenses not been waived during the period.

1 

Overseas Series

Portfolio Composition as of April 30, 2020
(unaudited)

Country Allocation^1,2

 

 ¹As a percentage of net assets.

 ²Allocations are based on country of risk. 

Sector Allocation³

 ³As a percentage of net assets.

2 

Overseas Series

Investment Portfolio - April 30, 2020
(unaudited)

	SHARES		VALUE (NOTE 2)
COMMON STOCKS - 95.8%
Communication Services - 11.9%
Entertainment - 5.0%
Nexon Co. Ltd. (Japan)		1,031,000	$	16,646,516
Sea Ltd. - ADR (Taiwan)*		156,325		8,688,543
				25,335,059
Interactive Media & Services - 4.0%
Auto Trader Group plc (United Kingdom)1		860,890		4,955,693
Tencent Holdings Ltd. - Class H (China)		289,900		15,239,880
				20,195,573
Media - 2.9%
Quebecor, Inc. - Class B (Canada)		300,868		6,551,463
Shaw Communications, Inc. -
Class B (Canada)		515,255		8,406,510
				14,957,973
Total Communication Services				60,488,605
Consumer Discretionary - 16.2%
Hotels, Restaurants & Leisure - 3.3%
Aristocrat Leisure Ltd. (Australia)		385,985		6,330,057
Restaurant Brands International, Inc. (Canada)		211,040		10,404,272
				16,734,329
Household Durables - 3.0%
Nikon Corp. (Japan)		809,300		7,527,964
Sony Corp. (Japan)		116,500		7,497,254
				15,025,218
Internet & Direct Marketing Retail - 2.8%
Alibaba Group Holding Ltd. - ADR (China)*		69,165		14,017,670
Multiline Retail - 1.5%
B&M European Value Retail S.A. (United Kingdom)		1,837,945		7,686,148
Specialty Retail - 1.5%
Industria de Diseno Textil S.A. (Spain)		295,550		7,569,777
Textiles, Apparel & Luxury Goods - 4.1%
adidas AG (Germany)		32,640		7,472,389
lululemon athletica, Inc. (United States)*		60,545		13,530,597
				21,002,986
Total Consumer Discretionary				82,036,128
Consumer Staples - 15.8%
Beverages - 4.6%
Ambev S.A. - ADR (Brazil)		1,408,551		3,028,385
Anheuser-Busch InBev S.A./N.V. (Belgium)		187,395		8,727,031

The accompanying notes are an integral part of the financial statements.

3 

Overseas Series

Investment Portfolio - April 30, 2020
(unaudited)

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Consumer Staples (continued)
Beverages(continued)
Diageo plc (United Kingdom)		336,055	$	11,570,264
				23,325,680
Food Products - 6.5%
Danone S.A. (France)		177,220		12,351,768
Nestle S.A. (Switzerland)		193,665		20,511,066
				32,862,834
Personal Products - 4.7%
Beiersdorf AG (Germany)		75,796		7,930,448
Unilever plc - ADR (United Kingdom)		310,470		16,104,079
				24,034,527
Total Consumer Staples				80,223,041
Energy - 8.1%
Energy Equipment & Services - 1.3%
Schlumberger Ltd. (United States)		398,855		6,708,741
Oil, Gas & Consumable Fuels - 6.8%
BP plc - ADR (United Kingdom)		83,320		1,983,016
Cameco Corp. (Canada)		1,048,960		10,447,642
Royal Dutch Shell plc - Class B - ADR (Netherlands)		58,360		1,865,769
TOTAL S.A. - ADR (France)		224,060		7,875,709
Tourmaline Oil Corp. (Canada)		1,237,605		12,269,801
				34,441,937
Total Energy				41,150,678
Financials - 10.1%
Banks - 3.9%
The Bank Of N.T. Butterfield & Son Ltd. (Bermuda)		261,985		5,766,290
FinecoBank Banca Fineco S.p.A. (Italy)		1,241,150		13,828,486
				19,594,776
Capital Markets - 2.7%
Deutsche Boerse AG (Germany)		88,620		13,739,566
Insurance - 3.5%
Admiral Group plc (United Kingdom)		494,940		14,442,568
Hastings Group Holdings plc (United Kingdom)1		1,458,830		3,353,231
				17,795,799
Total Financials				51,130,141
Health Care - 15.1%
Health Care Equipment & Supplies - 8.7%
Alcon, Inc. (Switzerland)*		218,088		11,517,227
Getinge AB - Class B (Sweden)		467,995		8,970,200

The accompanying notes are an integral part of the financial statements.

4 

Overseas Series

Investment Portfolio - April 30, 2020
(unaudited)

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Health Care Equipment & Supplies (continued)
Medtronic plc (United States)		121,295	$	11,842,031
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)		7,632,000		11,594,110
				43,923,568
Life Sciences Tools & Services - 2.0%
Gerresheimer AG (Germany)		126,360		10,049,366
Pharmaceuticals - 4.4%
Novartis AG - ADR (Switzerland)		166,395		14,098,648
Perrigo Co. plc (United States)		158,110		8,427,263
				22,525,911
Total Health Care				76,498,845
Industrials - 9.8%
Aerospace & Defense - 0.7%
Airbus SE (France)*		58,610		3,711,115
Airlines - 3.2%
easyJet plc (United Kingdom)		891,075		6,749,599
Ryanair Holdings plc - ADR (Ireland)*		147,640		9,370,711
				16,120,310
Commercial Services & Supplies - 1.2%
Bingo Industries Ltd. (Australia)		4,003,590		6,063,397
Machinery - 1.2%
The Weir Group plc (United Kingdom)		511,406		6,111,609
Trading Companies & Distributors - 1.5%
Brenntag AG (Germany)		171,160		7,749,811
Transportation Infrastructure - 2.0%
Grupo Aeroportuario del Centro Norte S.A.B. de C.V. (Mexico)		848,900		3,106,986
Grupo Aeroportuario del Pacifico S.A.B. de C.V. - ADR (Mexico)		52,745		3,270,190
Grupo Aeroportuario del Sureste S.A.B. de C.V. - ADR (Mexico)		34,910		3,480,876
				9,858,052
Total Industrials				49,614,294
Information Technology - 6.3%
IT Services - 2.9%
Accenture plc - Class A (United States)		41,070		7,605,753
Adyen N.V. (Netherlands)*1		4,010		3,960,212
Keywords Studios plc (Ireland)		154,817		3,101,501
				14,667,466
Technology Hardware, Storage & Peripherals - 3.4%
Samsung Electronics Co. Ltd. (South Korea)		424,110		17,438,370
Total Information Technology				32,105,836

The accompanying notes are an integral part of the financial statements.

5 

Overseas Series

Investment Portfolio - April 30, 2020
(unaudited)

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Materials - 2.5%
Chemicals - 1.4%
Akzo Nobel N.V. (Netherlands)		92,468	$	7,017,412
Metals & Mining - 1.1%
Lundin Mining Corp. (Chile)		1,137,258		5,572,111
Total Materials				12,589,523
TOTAL COMMON STOCKS
(Identified Cost $520,205,381)				485,837,091
SHORT-TERM INVESTMENT - 2.9%
Dreyfus Government Cash Management, Institutional Shares, 0.17%2
(Identified Cost $14,701,740)		14,701,740		14,701,740
TOTAL INVESTMENTS - 98.7%
(Identified Cost $534,907,121)				500,538,831
OTHER ASSETS, LESS LIABILITIES - 1.3%				6,795,142
NET ASSETS - 100%			$	507,333,973

ADR - American Depositary Receipt

*Non-income producing security.

¹Restricted 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 under the Fund’s Liquidity Risk Management Program. These securities amount to $12,269,136, or 2.4% of the Series’ net assets as of April 30, 2020.

²Rate shown is the current yield as of April 30, 2020.

The Series’ portfolio holds, as a percentage of net assets, greater than 10% in the following country:

United Kingdom - 14.4%.

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 S&P Global 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.

6 

Overseas Series

Statement of Assets & Liabilities
April 30, 2020 (unaudited)

ASSETS:
Investments, at value (identified cost $534,907,121) (Note 2)	$	500,538,831
Foreign tax reclaims receivable		8,085,646
Dividends receivable		706,480
Receivable for fund shares sold		312,030
Receivable for securities sold		13,961
Prepaid expenses		45,669
TOTAL ASSETS		509,702,617
LIABILITIES:
Accrued management fees (Note 3)		101,809
Accrued sub-transfer agent fees (Note 3)		43,668
Accrued distribution and service (Rule 12b-1) fees (Class S) (Note 3)		33,447
Accrued fund accounting and administration fees (Note 3)		25,947
Accrued Chief Compliance Officer service fees (Note 3)		956
Payable for securities purchased		1,791,934
Payable for fund shares repurchased		268,547
Other payables and accrued expenses		102,336
TOTAL LIABILITIES		2,368,644
TOTAL NET ASSETS	$	507,333,973
NET ASSETS CONSIST OF:
Capital stock	$	226,068
Additional paid-in-capital		1,053,206,074
Total distributable earnings (loss)		(546,098,169	)
TOTAL NET ASSETS	$	507,333,973
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S
($170,054,672/7,589,369 shares)	$	22.41
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I
($71,008,405/3,169,722 shares)	$	22.40
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class W
($222,111,000/9,876,945 shares)	$	22.49
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class Z
($44,159,896/1,970,718 shares)	$	22.41

The accompanying notes are an integral part of the financial statements.

7 

Overseas Series

Statement of Operations

For the Six Months Ended April 30, 2020 (unaudited)

INVESTMENT INCOME:
Dividends (net of foreign taxes withheld, $628,844)	$	5,321,374
EXPENSES:
Management fees (Note 3)		1,699,659
Distribution and service (Rule 12b-1) fees (Class S) (Note 3)		249,611
Sub-transfer agent fees (Note 3)		171,070
Fund accounting and administration fees (Note 3)		52,697
Directors’ fees (Note 3)		28,394
Chief Compliance Officer service fees (Note 3)		1,438
Custodian fees		41,184
Miscellaneous		187,629
Total Expenses		2,431,682
Less reduction of expenses (Note 3)		(876,329	)
Net Expenses		1,555,353
NET INVESTMENT INCOME		3,766,021
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on-
Investments		(13,001,626	)
Foreign currency and translation of other assets and liabilities		11,867
		(12,989,759	)
Net change in unrealized appreciation (depreciation) on-
Investments		(25,528,161	)
Foreign currency and translation of other assets and liabilities		114,078
		(25,414,083	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY		(38,403,842	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(34,637,821	)

The accompanying notes are an integral part of the financial statements.

8 

Overseas Series

Statements of Changes in Net Assets

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	3,766,021		$	10,501,785
Net realized gain (loss) on investments and foreign currency		(12,989,759	)		1,194,815
Net change in unrealized appreciation (depreciation) on investments and foreign currency		(25,414,083	)		46,982,758
Net increase (decrease) from operations		(34,637,821	)		58,679,358
DISTRIBUTIONS TO SHAREHOLDERS (Note 9):
Class S		(2,602,504	)		(4,153,199	)
Class I		(1,458,826	)		(1,010,826	)
Class W		(5,369,336	)		—
Class Z		(895,797	)		(963,827	)
Total distributions to shareholders		(10,326,463	)		(6,127,852	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase (decrease) from capital share transactions (Note 5)		47,455,195			(293,849,911	)
Net increase (decrease) in net assets		2,490,911			(241,298,405	)
NET ASSETS:
Beginning of period		504,843,062			746,141,467
End of period	$	507,333,973		$	504,843,062

The accompanying notes are an integral part of the financial statements.

9 

Overseas Series

Financial Highlights - Class S

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19			FOR THE PERIOD 9/21/181TO 10/31/18
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$24.14			$22.17			$24.72
Income (loss) from investment operations:
Net investment income2		0.10			0.35			0.01
Net realized and unrealized gain (loss) on investments		(1.52	)		1.81			(2.56	)
Total from investment operations		(1.42	)		2.16			(2.55	)
Less distributions to shareholders:
From net investment income		(0.31	)		(0.19	)		—
Net asset value - End of period		$22.41			$24.14			$22.17
Net assets - End of period (000’s omitted)		$170,055			$272,760			$500,950
Total return3		(6.06	%)		9.88	%		(10.32	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		1.05	%4		1.05	%		1.05	%4
Net investment income		0.80	%4		1.55	%		0.38	%4
Series portfolio turnover		41	%		43	%		34	%

*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:

0.05 %⁴ 0.04 % 0.06 %⁴

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. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized. 

⁴Annualized.

The accompanying notes are an integral part of the financial statements.

10 

Overseas Series

Financial Highlights - Class I*

	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19		10/31/18		10/31/17		10/31/16		10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$24.22		$22.18		$24.73		$20.88		$21.34		$24.31
Income (loss) from investment operations:
Net investment income1		0.14		0.42		0.41		0.26		0.32		0.32
Net realized and unrealized gain (loss) on investments		(1.52	)	1.81		(2.51	)	3.94		(0.41	)	(1.14	)
Total from investment operations		(1.38	)	2.23		(2.10	)	4.20		(0.09	)	(0.82	)
Less distributions to shareholders:
From net investment income		(0.44	)	(0.19	)	(0.45	)	(0.35	)	(0.37	)	(0.36	)
From net realized gain on investments		—		—		—		—		—		(1.79	)
Total distributions to shareholders		(0.44	)	(0.19	)	(0.45	)	(0.35	)	(0.37	)	(2.15	)
Net asset value - End of period		$22.40		$24.22		$22.18		$24.73		$20.88		$21.34
Net assets - End of period (000’s omitted)		$71,008		$74,325		$140,653		$755,482		$933,605		$1,725,278
Total return2		(5.93%	)	10.18	%	(8.69	%)	20.49	%3	(0.35	%)	(3.02	%)
Ratios (to average net assets)/Supplemental Data:
Expenses**		0.75	%4	0.75	%	0.75	%	0.75	%	0.75	%	0.74	%
Net investment income		1.14	%4	1.86	%	1.62	%	1.16	%	1.54	%	1.41	%
Series portfolio turnover		41	%	43	%	34	%	44	%	37	%	59	%

*Effective March 1, 2017, Class A shares of the Series have been redesignated as Class I shares.

**For certain periods presented, 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 Class, the expense ratio (to average net assets) would have increased by the following amounts:

0.04 %⁴ 0.05 % 0.02 % 0.02 % N/A N/A

¹Calculated based on average shares outstanding during the periods.

²Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain periods. Periods less than one year are not annualized.

³Includes litigation proceeds. Excluding this amount, the Series’ total return is 20.10%.

⁴Annualized.

The accompanying notes are an integral part of the financial statements.

11 

Overseas Series

Financial Highlights - Class W

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE PERIOD 3/1/191TO 10/31/19
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$24.31			$22.95
Income from investment operations:
Net investment income2		0.22			0.35
Net realized and unrealized gain (loss) on investments		(1.51	)		1.01
Total from investment operations		(1.29	)		1.36
Less distributions to shareholders:
From net investment income		(0.53	)		—
Net asset value - End of period		$22.49			$24.31
Net assets - End of period (000’s omitted)		$222,111			$107,192
Total return3		(5.61	%)		5.93	%
Ratios (to average net assets)/Supplemental Data:
Expenses*4		0.05	%		0.05	%
Net investment income4		1.84	%		2.23	%
Series portfolio turnover		41	%		43	%

*The investment advisor did not impose all or a portion of its management and/or other fees during the period, and 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 amount⁴:

0.66 % 0.67 %

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. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized.

The accompanying notes are an integral part of the financial statements.

12 

Overseas Series

Financial Highlights - Class Z

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19			FOR THE PERIOD 5/1/181TO 10/31/18
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$24.24			$22.19			$24.85
Income (loss) from investment operations:
Net investment income2		0.15			0.44			0.13
Net realized and unrealized gain (loss) on investments		(1.52	)		1.82			(2.79	)
Total from investment operations		(1.37	)		2.26			(2.66	)
Less distributions to shareholders:
From net investment income		(0.46	)		(0.21	)		—
Net asset value - End of period		$22.41			$24.24			$22.19
Net assets - End of period (000’s omitted)		$44,160			$50,566			$104,538
Total return3		(5.89	%)		10.36	%		(10.71	%)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.65	%4		0.65	%		0.65	%4
Net investment income		1.24	%4		1.95	%		1.04	%4
Series portfolio turnover		41	%		43	%		34	%

*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:

0.06 %⁴ 0.07 % 0.09 %⁴

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. Total return would have been lower had certain expenses not been reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized.

The accompanying notes are an integral part of the financial statements.

13 

Overseas Series

Notes to Financial Statements 

(unaudited)

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 Series is authorized to issue four classes of shares (Class I, S, W, and Z). 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 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 April 30, 2020, 8.9 billion shares have been designated in total among 31 series, of which 200 million have been designated as Overseas Series Class I common stock, 400 million have been designated as Overseas Series Class S common stock, 75 million have been designated as Overseas Series Class W common stock and 100 million have been designated as Overseas Series Class Z 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 may be 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

14 

Overseas Series

Notes to Financial Statements (continued) 

(unaudited)

2. Significant Accounting Policies (continued)

Security Valuation (continued)

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 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 April 30, 2020 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION		TOTAL		LEVEL 1		LEVEL 2#		LEVEL 3
Assets:
Equity Securities:
Communication Services	$	60,488,605	$	23,646,516	$	36,842,089	$	—
Consumer Discretionary		82,036,128		37,952,539		44,083,589		—
Consumer Staples		80,223,041		19,132,464		61,090,577		—
Energy		41,150,678		41,150,678		—		—
Financials		51,130,141		5,766,290		45,363,851		—
Health Care		76,498,845		45,885,169		30,613,676		—
Industrials		49,614,294		19,228,763		30,385,531		—
Information Technology		32,105,836		7,605,753		24,500,083		—
Materials		12,589,523		5,572,111		7,017,412		—
Short-Term Investment		14,701,740		14,701,740		—		—
Total assets	$	500,538,831	$	220,642,023	$	279,896,808	$	—

^#Includes certain equity foreign securities for which a factor from a third party vendor was applied to determine the securities’ fair value following the close of local trading.

There were no Level 3 securities held by the Series as of October 31, 2019 or April 30, 2020.

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.

15 

Overseas Series

Notes to Financial Statements (continued) 

(unaudited)

2. Significant Accounting Policies (continued)

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 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 April 30, 2020, 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, 2016 through October 31, 2019. 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.

16 

Overseas Series

Notes to Financial Statements (continued) 

(unaudited)

3. Transactions with Affiliates and Other Agreements

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 0.60% 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, Governance & Nominating Committee Chair and Lead Independent Director who each receive an additional annual stipend for these roles.

The Fund may enter into agreements with financial intermediaries pursuant to which the Fund may pay financial intermediaries for non-distribution related sub-transfer agency, administrative, sub-accounting, and other shareholder services in an annual amount not to exceed 0.15% of the average daily net assets of the Class I and Class S shares of the Series. Payments made pursuant to such agreements are generally based on the current assets and/or number of accounts of the Series attributable to the financial intermediary. Any payments made pursuant to such agreements may be in addition to, rather than in lieu of, any Distribution and Shareholder Services Fee payable under the Rule 12b-1 plan of the Fund.

The Advisor has contractually agreed to waive the management fee for the Class W shares. In addition, pursuant to a separate expense limitation agreement, the Advisor has contractually agreed to limit its fees and reimburse expenses to the extent necessary so that the total direct annual fund operating expenses, exclusive of distribution and service (12b-1) fees and waived Class W management fees (collectively, “excluded expenses”), to 0.75% of the average daily net assets of the Class I shares, 0.80% of the average daily net assets of the Class S shares, 0.65% of the average daily net assets of the Class Z shares, and 0.05% of the average daily net assets of the Class W shares. These contractual waivers are expected to continue indefinitely, and may not be amended or terminated by the Advisor without the approval of the Series’ Board of Directors. The Advisor may receive from a Class the difference between the Class’s total direct annual fund operating expenses, not including excluded expenses, and the Class’s contractual expense limit to recoup all or a portion of its prior fee waivers (other than Class W management fee waivers) or expense reimbursements made during the rolling three-year period preceding the recoupment if at any point the total direct annual fund operating expenses, not including excluded expenses, are below the contractual expense limit (a) at the time of the fee waiver and/or expense reimbursement and (b) at the time of the recoupment.

Pursuant to the advisory fee waiver, the Advisor waived $724,260 in management fees for Class W shares for the six months ended April 30, 2020. In addition, pursuant to the separate expense limitation agreement, the Advisor waived or reimbursed expenses of $50,026, $15,480, $72,314, and $14,249 and for Class S, Class I, Class W, and Class Z shares, respectively, for the six months ended April 30, 2020. These amounts are included as a reduction of expenses on the Statement of Operations. For the six months ended April 30, 2020, the Advisor did not recoup any expenses that have been previously waived or reimbursed.

As of April 30, 2020, the class specific waivers or reimbursements subject to possible future recoupment under the expense limitation agreement are as follows:

CLASS	EXPIRING OCTOBER 31,
	2022	2023
Class I	$29,951	$15,480
Class S	115,448	50,026
Class W	45,443	72,314
Class Z	25,315	14,249

17 

Overseas Series

Notes to Financial Statements (continued) 

(unaudited)

3. Transactions with Affiliates and Other Agreements (continued)

Manning & Napier Investor Services, Inc., a registered broker-dealer affiliate of the Advisor, acts as distributor for the Fund’s shares. The Series compensates the distributor for distributing and servicing the Series’ Class S shares pursuant to a distribution plan adopted under Rule 12b-1 of the 1940 Act, regardless of expenses actually incurred. Under the agreement, the Series pays distribution and service fees to the distributor at an annual rate of 0.25% of average daily net assets attributable to Class S shares. There are no distribution and service fees on the Class I, Class W or Class Z shares. The fees are accrued daily and paid monthly.

Pursuant to a master services agreement dated February 13, 2020, 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 Income Series); 0.0075% on the next $15 billion of average daily net assets (excluding Target Series and Income Series); and 0.0065% of average daily net assets in excess of $40 billion (excluding Target Series and Income Series); plus a base fee of $30,400 per series. 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.

4. Purchases and Sales of Securities

For the six months ended April 30, 2020, purchases and sales of securities, other than U.S. Government securities and short-term securities, were $268,469,797 and $213,057,376, respectively. There were no purchases or sales of U.S. Government securities.

5. Capital Stock Transactions

Transactions in Class S, Class I, Class W and Class Z shares of Overseas Series were:

CLASS S	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		76,078		$	1,801,784			869,816		$	19,478,947
Reinvested		95,968			2,480,784			192,957			3,994,201
Repurchased		(3,880,492	)		(94,083,033	)		(12,359,269	)		(283,363,765	)
Total		(3,708,446	)	$	(89,800,465	)		(11,296,496	)	$	(259,890,617	)

CLASS I	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		391,452		$	9,654,539			730,015		$	16,835,516
Reinvested		56,083			1,447,500			43,918			909,540
Repurchased		(346,215	)		(8,250,047	)		(4,048,251	)		(91,847,425	)
Total		101,320		$	2,851,992			(3,274,318	)	$	(74,102,369	)

CLASS W	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE PERIOD 3/1/19 (COMMENCEMENT OF OPERATIONS) TO 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		6,294,010		$	155,564,368			4,947,620		$	114,167,181
Reinvested		199,053			5,144,109			—			—
Repurchased		(1,025,550	)		(23,404,526	)		(538,188	)		(12,608,460	)
Total		5,467,513		$	137,303,951			4,409,432		$	101,558,721

18 

Overseas Series

Notes to Financial Statements (continued) 

(unaudited)

5. Capital Stock Transactions (continued)

CLASS Z	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		9,172		$	225,682			183,003		$	4,382,553
Reinvested		34,697			895,532			46,562			963,827
Repurchased		(159,459	)		(4,021,497	)		(2,854,771	)		(66,762,026	)
Total		(115,590	)	$	(2,900,283	)		(2,625,206	)	$	(61,415,646	)

At April 30, 2020, the Advisor and its affiliates owned 0.7% of the Series.

6. Line of Credit

The Fund has entered into a 364-day, $25 million credit agreement (the “line of credit”) with Bank of New York Mellon. Each series of the Fund may borrow under the line of credit for temporary or emergency purposes, including funding shareholder redemptions and other short-term liquidity purposes. The Fund pays an annual fee on the unused commitment amount, payable quarterly, and is allocated among all the series of the Fund and included in miscellaneous expenses in the Statement of Operations for each series. The line of credit expires in August 2020 unless extended or renewed. During the six months ended April 30, 2020, the Series did not borrow under the line of credit.

7. 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 April 30, 2020.

8. 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.

9. 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. 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.

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, 2019 were as follows:

Ordinary income      $6,127,852

19 

Overseas Series

Notes to Financial Statements (continued) 

(unaudited)

9. Federal Income Tax Information (continued)

At April 30, 2020, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized depreciation were as follows:

Cost for federal income tax purposes	$542,012,055
Unrealized appreciation	44,962,428
Unrealized depreciation	(86,435,652	)
Net unrealized depreciation	$(41,473,224	)

At October 31, 2019, the Series had net short-term capital loss carryforwards of $53,306,525 and net long-term capital loss carryforwards of $439,507,914, which may be carried forward indefinitely.

10.  Market Event

In March 2020, the World Health Organization declared COVID-19 (a novel coronavirus) to be a pandemic. The situation is dynamic. Global financial markets have experienced and may continue to experience significant volatility resulting from the spread of COVID-19. The outbreak of COVID-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty. The global economy, the economies of certain nations and individual issuers have been and may continue to be adversely affected by COVID-19, particularly in light of the interconnectivity between economies and financial markets, all of which may negatively impact the Funds performance. In addition, COVID-19 and governmental responses to COVID-19 may negatively impact the capabilities of the Funds service providers and disrupt the Funds operations. Management of the Fund will continue to monitor the impact of COVID-19.

11.  Subsequent Events

In preparing these financial statements, management of the Fund has evaluated events and transactions for potential recognition or disclosure through June 17, 2020, the date the financial statements were issued, and the following item was noted:

In March of this year, William Manning, who is the co-founder of Manning & Napier, Inc. (“MN Inc.”), which is the ultimate parent company of the Advisor, delivered to the company an exchange notice under the terms of the exchange agreement (the “Exchange Agreement”) that was entered into at the time that MN Inc. became a public company in 2011. Pursuant to the Exchange Agreement, Mr. Manning was able to tender the entirety of his private interests in Manning & Napier Group, LLC (“MN Group”), the managing member of the Advisor, exchangeable for cash or shares of MN Inc. Class A common stock. On April 9, 2020, MN Inc. delivered to Mr. Manning a letter indicating that, as permitted under the Exchange Agreement, it would satisfy Mr. Manning’s exchange request by purchasing all of Mr. Manning’s private interests in MN Group (the “Transaction”). The Transaction, which settled on May 11, 2020, divested Mr. Manning’s entirely of his ownership interest in MN Group. Mr. Manning also served as the Chairman of the Board of Directors of MN Inc. through June 10, 2020 and did not stand for reelection.

The Transaction may be deemed to result in a change of control of the Advisor, under the 1940 Act, which results in the assignment and automatic termination of the investment advisory agreements pursuant to which the Advisor provides investment advisory services to the Series (the “Current Agreement”). At a meeting of the Board of Directors of the Advisor on April 22, 2020, the Board approved new investment advisory agreements for the Series (“New Agreement”), that require shareholder approval to take effect. Shareholders are being asked to approve the New Agreement through a proxy statement that was filed on May 15, 2020, which will enable the Advisor to continue to serve the Series. Terms of the New Agreement are the same as the Current Agreement, therefore there are no changes in fees paid to the Advisor.

In relation to the termination of the Current Agreement, at a meeting of the Board of Directors of the Advisor on April 17, 2020, the Board approved an interim advisory agreement which became effective on May 11, 2020 with the closing of the Transaction, allowing the Advisor to continue to provide investment advisory services for each Series for up to 150 days between termination

20 

Overseas Series

Notes to Financial Statements (continued) 

(unaudited)

11.  Subsequent Events (continued)

of the Current Agreement and shareholder approval of the New Agreement. Terms of the interim advisory agreement is the same as the Current Agreement, therefore there are no changes in fees paid to the Advisor.

21 

Overseas Series

Renewal of Investment Advisory Agreement

(unaudited)

At the Manning & Napier Fund, Inc. (the “Fund”) Board of Directors’ (the “Board”) meeting, held on November 21, 2019, the Investment Advisory Agreement (the “Agreement”) between the Fund and Manning & Napier Advisors, LLC (the “Advisor”) was considered for renewal by the Board, including all of the Directors who are not “interested persons” (“Independent Directors”), within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”). In connection with the decision whether to renew the Agreement, a variety of material was provided to the Board in advance of the meeting for their review and consideration. The Board also held a working session on October 25, 2019 to review and discuss information provided to the Board, and for the Board

to request additional information.

Representatives of the Advisor attended a portion of the working session and attended the Board meeting. The Advisor provided supplemental information requested by the Board and presented additional oral information to the Board to assist the Board in its considerations. In addition to the information furnished by the Advisor, the Board was provided with a legal memorandum discussing its fiduciary duties related to its approval of the continuation of the Agreement. Legal counsel for the Fund discussed with the Board the applicable legal considerations. In addition, the Board received in-person presentations about the Fund throughout the year.

The Independent Directors were advised by independent legal counsel with respect to these matters. The Independent Directors also met separately in an executive session with their legal counsel without any representatives of the Advisor present.

The Directors’ determinations at the meeting were made on the basis of each Director’s business judgment after consideration of all the information presented. In deciding to recommend the renewal of the Agreement with respect to each Series of the Fund, the Independent Directors did not identify any single or particular piece of information that, in isolation, was the controlling factor. Each Independent Director may also have weighed factors differently. This summary describes the most important, but not all, of the factors considered by the Board and the Independent Directors.

● The Board considered the nature and quality of services provided by the Advisor under the Agreement for over 30 years 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 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 considered the numerous services performed by the Advisor and its affiliates beyond those stated in the Agreements. The Board also considered the Advisor’s personnel who perform services to the Fund, changes in senior or key personnel, industry trends impacting the mutual fund industry, the strength of the Advisor’s compliance infrastructure, policies and procedures relating to compliance with securities regulations, reputation, expertise and resources. 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 Advisor’s investments teams, including changes to the investment teams and investment team’s compensation during the past year, and the investment process. The Board considered the performance of each Series since its inception, as well as over multiple time periods including: one year, 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 (and considers on a quarterly basis) a number of other factors relevant to performance at the meeting including: a peer group performance analysis consisting of Morningstar universes of mutual funds with similar investment objectives; the breadth of the Fund’s product offerings; and performance over reasonable time periods. Representatives of the Advisor discussed improved performance for many of the Series over the one- and three-year time periods ending September 30, 2019. The Board discussed with Representatives of the Advisor, performance challenges that continue to impact the three- and five-year performance of certain Fund’s strategies resulting from periods of underperformance in 2014 and 2016. After discussion, the Board acknowledged the improved short term performance of many of the Series and concluded that notwithstanding the performance challenges that continue to impact certain Series, the nature and quality of the investment management services provided by the Advisor to the Fund supported the renewal of the agreement.

● 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 contractual expense waivers or reimbursements paid by the Advisor. Representatives of the Advisor discussed the multi-year fee restructuring initiative which was completed by the Advisor on March 1, 2019 to increase the competitiveness of the Fund’s fees. The fee

22 

Overseas Series

Renewal of Investment Advisory Agreement

(unaudited)

restructuring project also resulted in a set of standardized share classes to help support the Fund’s distribution efforts across client types and varying intermediary distribution models.

● The Board considered whether the Advisor had achieved economies of scale with respect to its services to the Fund. The Board acknowledged the expense caps incorporated in the Fund’s current fee structure, which requires the Advisor to subsidize the expenses of the Series operating above their expense cap, noting that 26 Series of the Fund are currently receiving expense reimbursements from the Advisor. The Board concluded that the Fund would need to grow in assets before the Advisor would be able to achieve meaningful economies of scale.

● The Advisor provided the Board with information comparing each Series’ contractual management fees with the Advisor’s standard advisory fees for separate accounts and collective investment trusts. The Board considered that the range of services provided to the Series is more extensive than for the Advisor’s other clients due to additional infrastructure, administrative and regulatory requirements related to operating a mutual fund.

● The current advisory fees, 12b-1 Distribution and Service Fees, other expenses (e.g. a combination of Shareholder Services Fees, intermediary sub-TA fees, routine operating expenses and Acquired Fund Fees and Expenses for fund-of-fund Series) and total expense ratios of each Series and share class were compared and ranked (on both a mean and median basis) against respective peer universes. Respective peer universes included funds of a similar size and with similar investment objectives and expense characteristics as disclosed on the Morningstar database. Representatives of the Advisor discussed with the Board the comparisons and rankings of fees and net expense ratios for each Series of the Fund and the methodology behind the comparison. The Board considered the Advisor’s active portfolio management that results in portfolios that are more differentiated than the construction of their benchmarks. The Board acknowledged that the fee restructuring project completed on March 1, 2019 reduced the expense ratios for shareholders in many Series. Based on their review of the information provided, the Board concluded that the current fees and expenses of each Series of the Fund were reasonable on a comparative basis.

● The Board also considered the other benefits the Advisor derives from its relationship with the Fund. Such other benefits include participation in a joint insurance program, sharing of compensation expenses for certain shared personnel, relationships with large service providers, the utilization of Series within the Advisor’s separately managed accounts and 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. The Board concluded that these additional benefits to the Advisor were reasonable.

Based on the Board’s deliberations and their evaluation of the information described above, the Board, including a majority of the Independent Directors, concluded that the compensation under the Agreement was fair and reasonable with respect to each Series 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, and that the renewal of the Agreement would be in the best interests of each Series and its shareholders. The Board did not indicate that any single factor was determinative of its decision to approve the Agreement, but indicated that the Board based its determination on the total mix of information available to it.

23 

Overseas Series

Liquidity Risk Management Program Disclosure

(unaudited)

The Securities and Exchange commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”) to promote effective liquidity risk management across open-end investment companies and reduce the risk that open-end investment companies are unable to meet redemption obligations without a significant dilution of remaining shareholder interests.

The Board of Directors (the “Board”), including a majority of Directors who are not interested persons, of Manning & Napier Fund, Inc. and each of its series (each “a Fund” or collectively, the “Funds”) met on February 13, 2020 (the “Meeting”) to review the Liquidity Risk Management Program (the “Program”) of the Funds, in accordance with the requirements of the Liquidity Rule. The Board appointed the Liquidity Risk Management Committee (the “Committee”), in conjunction with the Fund’s investment advisor, Manning & Napier Advisors, LLC (“MNA”), to administer the Program and review it no less than annually.

At the Meeting, the Committee provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including an evaluation of any material changes to the Program (the “Report”). The Report covered the period from December 1, 2018 through December 31, 2019 (the “Review Period”).

The Report described the Committee’s review of and conclusions around each factor that the Fund must consider to assess, manage and review its Liquidity Risk. Additionally, the Report discussed the Committee’s management of the Program, including an evaluation of the Program’s methodology for classifying each portfolio investment into one of four liquidity buckets. As part of this evaluation the Committee re-affirmed that each Fund operated as a Primarily Highly Liquid Fund, with greater than 50% of net assets consistently invested in Highly Liquid Investments, thereby negating a need to establish a Highly Liquid Investment Minimum for any Fund. Lastly, the Report highlighted the effectiveness of the safeguards that the Committee adopted to prevent a violation of the Liquidity Rule’s 15% limit on a Fund’s acquisition of Illiquid Investments.

There were no material changes to the Program during the Review Period. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.

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-PORT, and are available, without charge, upon request:

By phone	1-800-466-3863
On the SEC’s web site	http://www.sec.gov

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-04/20-SAR

 

www.manning-napier.com

Manning & Napier Fund, Inc.

Pro-Blend^®Conservative Term Series

Pro-Blend^®Moderate Term Series

Pro-Blend^®Extended Term Series

Pro-Blend^®Maximum Term Series

Beginning on June 25, 2021, as permitted by Securities and Exchange Commission regulations, paper copies of the Series’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically by contacting your financial intermediary or, if you are a direct investor, by visiting www.manning-napier.com or calling 1-800-466-3863.

You may elect to receive all future annual and semi-annual reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by visiting www.manning-napier.com or calling 1-800-466-3863. Your election to receive reports in paper will apply to all funds held with your financial intermediary if you invest through a financial intermediary or all series of the Fund if you invest directly with the Fund.

Shareholder Expense Example - Pro-Blend^®Conservative Term Series

(unaudited)

As a shareholder of the Series, you incur ongoing costs, including management fees, shareholder service 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 (November 1, 2019 to April 30, 2020).

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 such as sales charges (loads), redemption fees, or exchange fees that you may incur in other mutual funds. 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.

	BEGINNING ACCOUNT VALUE 11/1/19	ENDING ACCOUNT VALUE 4/30/20	EXPENSES PAID DURING PERIOD 11/1/19-4/30/201	ANNUALIZED EXPENSE RATIO
Class S
Actual	$1,000.00	$1,010.90	$4.35	0.87%
Hypothetical (5% return before expenses)	$1,000.00	$1,020.54	$4.37	0.87%
Class I
Actual	$1,000.00	$1,012.90	$3.10	0.62%
Hypothetical (5% return before expenses)	$1,000.00	$1,021.78	$3.12	0.62%
Class R
Actual	$1,000.00	$1,010.10	$5.25	1.05%
Hypothetical (5% return before expenses)	$1,000.00	$1,019.64	$5.27	1.05%
Class L
Actual	$1,000.00	$1,008.10	$7.69	1.54%
Hypothetical (5% return before expenses)	$1,000.00	$1,017.21	$7.72	1.54%
Class W
Actual	$1,000.00	$1,014.50	$0.40	0.08%
Hypothetical (5% return before expenses)	$1,000.00	$1,024.47	$0.40	0.08%

1

Shareholder Expense Example - Pro-Blend^®Conservative Term Series

(unaudited)

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 182/366 (to reflect the one-half year period). The Class’ total return would have been lower had certain expenses not been waived or reimbursed during the period.

2

Portfolio Composition - Pro-Blend^®Conservative Term Series

As of April 30, 2020 (unaudited)

Asset Allocation¹

 

¹As a percentage of net assets.
2A U.S. Treasury Bond is a long-term obligation of the U.S. Treasury issued with a maturity period of more than ten years.
3A U.S. Treasury Note is an intermediate long-term obligation of the U.S. Treasury issued with a maturity period between one and ten years.

Sector Allocation4
Communication Services	7.4%
Financials	6.7%
Consumer Discretionary	6.1%
Real Estate	5.8%
Industrials	5.4%
Health Care	5.1%
Information Technology	5.1%
Consumer Staples	4.8%
Energy	4.6%
Materials	0.9%
Utilities	0.6%
4Including common stocks and corporate bonds, as a percentage of total investments.

Top Five Stock Holdings5
Johnson & Johnson	0.9%
Booking Holdings, Inc.	0.9%
Mastercard, Inc. - Class A	0.9%
Unilever plc - ADR (United Kingdom)	0.9%
Visa, Inc. - Class A	0.8%
5As a percentage of total investments.
Top Five Bond Holdings6
U.S. Treasury Note, 2.50%, 8/15/2023	5.1%
U.S. Treasury Floating Rate Note, (3 mo. US Treasury Bill Yield + 0.300%), 0.41%, 10/31/2021	3.5%
U.S. Treasury Inflation Indexed Bond, 2.00%, 1/15/2026	3.2%
U.S. Treasury Inflation Indexed Note, 0.50%, 4/15/2024	2.2%
U.S. Treasury Note, 2.125%, 5/15/2025	2.0%
6As a percentage of total investments.

3

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®CONSERVATIVE
TERM SERIES			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS - 30.2%
Communication Services - 3.1%
Entertainment - 1.4%
Activision Blizzard, Inc.1		46,080	$	2,936,678
Electronic Arts, Inc.*1		19,910		2,274,917
Nexon Co. Ltd. (Japan)		278,700		4,499,887
The Walt Disney Co.		16,525		1,787,179
				11,498,661
Interactive Media & Services - 1.4%
Alphabet, Inc. - Class A*		3,020		4,067,034
Alphabet, Inc. - Class C*		620		836,169
Facebook, Inc. - Class A*		16,920		3,463,693
Tencent Holdings Ltd. - Class H (China)		57,800		3,038,514
				11,405,410
Media - 0.3%
Charter Communications, Inc. -Class A*		1,960		970,651
Comcast Corp. - Class A		46,104		1,734,894
				2,705,545
Total Communication Services				25,609,616
Consumer Discretionary - 3.1%
Automobiles - 0.1%
Honda Motor Co. Ltd. - ADR (Japan)		40,462		973,111
Hotels, Restaurants & Leisure - 0.1%
Hilton Worldwide Holdings, Inc.		2,710		205,174
Wyndham Hotels & Resorts, Inc.		7,235		272,832
				478,006
Household Durables - 0.4%
Nikon Corp. (Japan)		189,400		1,761,765
Sony Corp. - ADR (Japan)		24,580		1,579,265
				3,341,030
Internet & Direct Marketing Retail - 1.6%
Alibaba Group Holding Ltd. - ADR (China)*		7,270		1,473,411
Amazon.com, Inc.*		1,860		4,601,640
Booking Holdings, Inc.*		5,010		7,417,656
				13,492,707
Multiline Retail - 0.2%
Dollar Tree, Inc.*		17,875		1,424,101
Specialty Retail - 0.3%
The Home Depot, Inc.		13,305		2,924,838
Textiles, Apparel & Luxury Goods - 0.4%
adidas AG (Germany)		6,565		1,502,948

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Consumer Discretionary (continued)
Textiles, Apparel & Luxury Goods (continued)
lululemon athletica, Inc.*		7,140	$	1,595,647
				3,098,595
Total Consumer Discretionary				25,732,388
Consumer Staples - 3.8%
Beverages - 1.2%
Anheuser-Busch InBev S.A./N.V. (Belgium)		36,950		1,720,771
The Coca-Cola Co.		81,760		3,751,966
Diageo plc - ADR (United Kingdom)		7,722		1,070,655
Diageo plc (United Kingdom)		42,320		1,457,064
PepsiCo, Inc.		11,915		1,576,235
				9,576,691
Food & Staples Retailing - 0.3%
Walmart, Inc.		23,136		2,812,181
Food Products - 1.1%
General Mills, Inc.		17,590		1,053,465
The Hershey Co.		5,260		696,582
Mondelez International, Inc. -Class A		85,059		4,375,435
Nestle S.A. (Switzerland)		29,520		3,126,464
				9,251,946
Household Products - 0.3%
Colgate-Palmolive Co.		19,651		1,380,876
Kimberly-Clark Corp.		7,194		996,225
				2,377,101
Personal Products - 0.9%
Unilever plc - ADR (United Kingdom)		134,711		6,987,460
Total Consumer Staples				31,005,379
Energy - 1.8%
Energy Equipment & Services - 0.1%
Schlumberger Ltd.		46,710		785,662
Oil, Gas & Consumable Fuels - 1.7%
Cabot Oil & Gas Corp.		186,845		4,039,589
Chevron Corp.		6,960		640,320
Concho Resources, Inc.		13,850		785,572
ConocoPhillips		33,680		1,417,928
EOG Resources, Inc.		33,830		1,607,263
Exxon Mobil Corp.		28,000		1,301,160
Pioneer Natural Resources Co.		9,360		835,942
Royal Dutch Shell plc - Class B -ADR (Netherlands)		13,510		431,915

The accompanying notes are an integral part of the financial statements.

4

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®CONSERVATIVE
TERM SERIES			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Energy(continued)
Oil, Gas & Consumable Fuels (continued)
TOTAL S.A. - ADR (France)		73,843	$	2,595,581
				13,655,270
Total Energy				14,440,932
Financials - 2.8%
Banks - 1.4%
Bank of America Corp.		101,938		2,451,609
Citigroup, Inc.		30,590		1,485,450
JPMorgan Chase & Co.		27,820		2,664,043
The PNC Financial Services Group, Inc.		6,508		694,208
Truist Financial Corp.		28,511		1,064,031
U.S. Bancorp		29,758		1,086,167
Wells Fargo & Co.		63,149		1,834,478
				11,279,986
Capital Markets - 0.9%
Cboe Global Markets, Inc.1		24,280		2,412,946
CME Group, Inc.		7,920		1,411,423
Intercontinental Exchange, Inc.		16,580		1,483,081
Moody’s Corp.		5,045		1,230,476
S&P Global, Inc.		4,110		1,203,737
				7,741,663
Diversified Financial Services - 0.4%
Berkshire Hathaway, Inc. - Class B* .		16,340		3,061,462
Insurance - 0.1%
Chubb Ltd.		8,083		873,045
Total Financials				22,956,156
Health Care - 4.3%
Biotechnology - 0.9%
AbbVie, Inc.		23,724		1,950,113
BioMarin Pharmaceutical, Inc.*		20,610		1,896,532
Gilead Sciences, Inc.		25,721		2,160,564
Incyte Corp.*		9,570		934,606
				6,941,815
Health Care Equipment & Supplies - 0.6%
Alcon, Inc. (Switzerland)*		26,000		1,373,060
Medtronic plc		36,964		3,608,795
				4,981,855
Life Sciences Tools & Services - 0.2%
Thermo Fisher Scientific, Inc.		4,640		1,552,915
Pharmaceuticals - 2.6%
Bristol-Myers Squibb Co.1		36,192		2,200,836
Eli Lilly & Co.		10,209		1,578,720
Johnson & Johnson		50,315		7,549,263

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Pharmaceuticals(continued)
Merck & Co., Inc.		34,337	$	2,724,298
Novartis AG - ADR (Switzerland)		52,160		4,419,517
Pfizer, Inc.		77,115		2,958,131
				21,430,765
Total Health Care				34,907,350
Industrials - 2.6%
Aerospace & Defense - 0.6%
General Dynamics Corp.		5,681		742,052
Lockheed Martin Corp.		5,175		2,013,386
Raytheon Technologies Corp.		25,219		1,634,443
				4,389,881
Airlines - 0.5%
easyJet plc (United Kingdom)		210,245		1,592,537
Ryanair Holdings plc - ADR (Ireland)*		42,320		2,686,050
				4,278,587
Commercial Services & Supplies - 0.3%
Copart, Inc.*		21,420		1,715,956
Waste Management, Inc.		9,503		950,490
				2,666,446
Electrical Equipment - 0.2%
Eaton Corp. plc		10,106		843,851
Emerson Electric Co.		15,726		896,854
				1,740,705
Industrial Conglomerates - 0.4%
3M Co.		10,384		1,577,537
Honeywell International, Inc.		12,082		1,714,436
				3,291,973
Machinery - 0.3%
Caterpillar, Inc.		10,645		1,238,865
Illinois Tool Works, Inc.		6,874		1,117,025
				2,355,890
Road & Rail - 0.3%
Canadian National Railway Co. (Canada)		10,586		877,262
Union Pacific Corp.		11,514		1,839,822
				2,717,084
Total Industrials				21,440,566
Information Technology - 5.1%
Communications Equipment - 0.3%
Cisco Systems, Inc.		59,337		2,514,702

The accompanying notes are an integral part of the financial statements.

5

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®CONSERVATIVE
TERM SERIES			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
IT Services - 2.5%
Accenture plc - Class A		7,383	$	1,367,258
Automatic Data Processing, Inc.		6,066		889,822
International Business Machines Corp.		15,018		1,885,660
Mastercard, Inc. - Class A		26,265		7,222,087
PayPal Holdings, Inc.*		19,770		2,431,710
Switch, Inc. - Class A		14,517		249,257
Visa, Inc. - Class A1		34,595		6,182,818
				20,228,612
Semiconductors & Semiconductor Equipment - 1.2%
Intel Corp.		48,410		2,903,632
Micron Technology, Inc.*		82,700		3,960,503
QUALCOMM, Inc.		14,793		1,163,765
Texas Instruments, Inc.		16,001		1,857,236
				9,885,136
Software - 1.1%
Microsoft Corp.		17,820		3,193,522
Oracle Corp.		31,396		1,663,046
salesforce.com, Inc.*		14,920		2,416,294
ServiceNow, Inc.*1		5,250		1,845,585
				9,118,447
Total Information Technology				41,746,897
Materials - 0.7%
Chemicals - 0.3%
FMC Corp.		17,965		1,650,984
Linde plc (United Kingdom)		6,579		1,210,470
				2,861,454
Containers & Packaging - 0.4%
Graphic Packaging Holding Co.		231,395		3,089,123
Total Materials				5,950,577
Real Estate - 2.9%
Equity Real Estate Investment Trusts (REITS) - 2.9%
Acadia Realty Trust		11,025		136,600
Agree Realty Corp.		2,500		162,775
Alexandria Real Estate Equities, Inc.		1,805		283,547
American Campus Communities, Inc.		11,173		394,295
American Homes 4 Rent - Class A		16,660		402,172
American Tower Corp.		8,080		1,923,040
Americold Realty Trust		12,150		371,669
Apartment Investment & Management Co. - Class A		7,822		294,655
AvalonBay Communities, Inc.		3,375		549,956

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
Boston Properties, Inc.		1,786	$	173,563
Brandywine Realty Trust		16,385		182,857
Camden Property Trust		5,925		521,815
Community Healthcare Trust, Inc.		6,040		224,688
CoreSite Realty Corp.		1,125		136,339
Cousins Properties, Inc.		15,846		478,074
Crown Castle International Corp.		2,360		376,255
Digital Realty Trust, Inc.		5,312		794,091
Douglas Emmett, Inc.		8,895		271,209
Duke Realty Corp.		10,838		376,079
Equinix, Inc.		6,177		4,170,710
Equity LifeStyle Properties, Inc.		8,010		483,083
Equity Residential		5,430		353,276
Essex Property Trust, Inc.		909		221,887
Extra Space Storage, Inc.		1,360		120,006
First Industrial Realty Trust, Inc.		4,590		173,364
Getty Realty Corp.		5,255		142,726
Healthcare Realty Trust, Inc.		6,000		176,340
Healthcare Trust of America, Inc. - Class A		4,075		100,367
Healthpeak Properties, Inc.		14,175		370,534
Hibernia REIT plc (Ireland)		121,315		157,804
Host Hotels & Resorts, Inc.		9,363		115,259
Invitation Homes, Inc.		23,495		555,657
Jernigan Capital, Inc.		14,340		189,288
Kilroy Realty Corp.		7,726		481,021
Life Storage, Inc.		1,200		105,108
Mid-America Apartment Communities, Inc.		2,690		301,065
National Retail Properties, Inc.		4,515		147,370
Physicians Realty Trust		11,230		173,167
Prologis, Inc.		19,653		1,753,637
Public Storage		2,630		487,734
Realty Income Corp.		2,870		157,620
Rexford Industrial Realty, Inc.		6,650		270,788
SBA Communications Corp.		7,350		2,130,912
STAG Industrial, Inc.		6,800		178,500
STORE Capital Corp.		7,435		149,220
Sun Communities, Inc.		6,000		806,400
Sunstone Hotel Investors, Inc.		8,985		82,572
Terreno Realty Corp.		1,870		102,513
UDR, Inc.		4,618		173,036
Urban Edge Properties		12,855		147,832

The accompanying notes are an integral part of the financial statements.

6

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®CONSERVATIVE	SHARES/
TERM SERIES	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
COMMON STOCKS (continued)
Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
Welltower, Inc.		7,303	$	374,133
Total Real Estate				23,406,608
TOTAL COMMON STOCKS
(Identified Cost $225,123,518)				247,196,469
CORPORATE BONDS - 22.4%
Non-Convertible Corporate Bonds - 22.4%
Communication Services - 4.3%
Diversified Telecommunication Services - 1.5%
AT&T, Inc., 4.25%, 3/1/2027		2,480,000		2,733,050
Verizon Communications, Inc., 5.25%, 3/16/2037		7,160,000		9,537,108
				12,270,158
Interactive Media & Services - 0.8%
Tencent Holdings Ltd. (China)3, 3.975%, 4/11/2029		6,120,000		6,885,332
Media - 1.9%
Altice Financing S.A. (Luxembourg)3, 7.50%, 5/15/2026		165,000		172,013
CCO Holdings LLC - CCO Holdings Capital Corp.3, 4.50%, 8/15/2030		165,000		167,112
Comcast Corp., 3.25%, 11/1/2039		6,150,000		6,700,421
Discovery Communications LLC, 5.20%, 9/20/2047		6,640,000		7,562,668
LCPR Senior Secured Financing DAC3, 6.75%, 10/15/2027		200,000		207,920
Sirius XM Radio, Inc.3, 4.625%, 7/15/2024		160,000		163,136
Townsquare Media, Inc.3, 6.50%, 4/1/2023		175,000		154,718
				15,127,988
Wireless Telecommunication Services - 0.1%
Sprint Communications, Inc., 7.00%, 8/15/2020		205,000		206,794
Sprint Corp., 7.25%, 9/15/2021		85,000		89,144
Sprint Corp., 7.125%, 6/15/2024		215,000		241,342
				537,280
Total Communication Services				34,820,758
Consumer Discretionary - 2.9%
Auto Components - 0.0%##
Techniplas LLC3, 10.00%, 5/1/2020		110,000		19,525
Automobiles - 0.1%
Ford Motor Co., 9.625%, 4/22/2030		125,000		124,534

	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Consumer Discretionary (continued)
Automobiles(continued)
Ford Motor Credit Co. LLC, 4.389%, 1/8/2026		200,000	$	174,250
				298,784
Diversified Consumer Services - 0.0%##
Carriage Services, Inc.3, 6.625%, 6/1/2026		160,000		157,776
GEMS MENASA Cayman Ltd. - GEMS Education Delaware LLC (United Arab Emirates)3, 7.125%, 7/31/2026		140,000		133,700
				291,476
Household Durables - 0.1%
Foxtrot Escrow Issuer LLC - Foxtrot Escrow Corp.3, 12.25%, 11/15/2026		205,000		169,125
LGI Homes, Inc.3, 6.875%, 7/15/2026		275,000		256,094
TRI Pointe Group, Inc. - TRI Pointe Homes, Inc., 5.875%, 6/15/2024		95,000		92,160
Weekley Homes LLC - Weekley Finance Corp., 6.625%, 8/15/2025		125,000		112,550
				629,929
Internet & Direct Marketing Retail - 2.0%
Alibaba Group Holding Ltd. (China), 3.40%, 12/6/2027		4,320,000		4,693,944
Booking Holdings, Inc., 3.60%, 6/1/2026		8,420,000		8,798,807
Expedia Group, Inc.3, 6.25%, 5/1/2025		2,750,000		2,804,454
Photo Holdings Merger Sub, Inc.3, 8.50%, 10/1/2026		220,000		190,487
				16,487,692
Multiline Retail - 0.0%##
Staples, Inc.3, 7.50%, 4/15/2026		165,000		130,350
Specialty Retail - 0.5%
The TJX Cos, Inc., 3.50%, 4/15/2025		4,015,000		4,330,001
Textiles, Apparel & Luxury Goods - 0.2%
NIKE, Inc., 2.75%, 3/27/2027		1,650,000		1,777,581
Total Consumer Discretionary				23,965,338
Consumer Staples - 1.0%
Beverages - 0.8%
Keurig Dr Pepper, Inc., 3.20%, 5/1/2030		6,000,000		6,392,083

The accompanying notes are an integral part of the financial statements.

7

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®CONSERVATIVE
TERM SERIES	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds(continued)
Consumer Staples (continued)
Food & Staples Retailing - 0.0%##
KeHE Distributors LLC - KeHE Finance Corp.3, 8.625%, 10/15/2026		125,000	$	132,188
Household Products - 0.2%
The Estee Lauder Cos, Inc., 2.60%, 4/15/2030		1,865,000		1,944,046
Total Consumer Staples				8,468,317
Energy - 2.8%
Energy Equipment & Services - 0.0%##
Oceaneering International, Inc., 6.00%, 2/1/2028		235,000		120,731
Oil, Gas & Consumable Fuels - 2.8%
Antero Midstream Partners LP -
Antero Midstream Finance Corp.3, 5.75%, 3/1/2027		170,000		125,800
Antero Midstream Partners LP -
Antero Midstream Finance Corp.3, 5.75%, 1/15/2028		90,000		66,150
Bruin E&P Partners LLC4, 8.875%, 8/1/2023		275,000		6,875
Calumet Specialty Products Partners LP - Calumet Finance Corp.3, 11.00%, 4/15/2025		135,000		104,625
Cheniere Energy Partners LP, 5.625%, 10/1/2026		260,000		248,456
CVR Energy, Inc.3, 5.75%, 2/15/2028		180,000		152,192
Energy Transfer Operating LP, 6.50%, 2/1/2042		3,780,000		3,811,980
Genesis Energy LP - Genesis Energy Finance Corp., 7.75%, 2/1/2028		125,000		106,250
HollyFrontier Corp., 5.875%, 4/1/2026		240,000		245,452
Jonah Energy LLC - Jonah Energy Finance Corp.5, 7.25%, 10/15/2025		180,000		3,150
Kinder Morgan Energy Partners LP, 6.95%, 1/15/2038		4,540,000		5,412,744
Laredo Petroleum, Inc., 10.125%, 1/15/2028		125,000		50,922
Lonestar Resources America, Inc.6, 11.25%, 1/1/2023		310,000		38,750
Moss Creek Resources Holdings, Inc.3, 7.50%, 1/15/2026		95,000		31,825
NuStar Logistics LP, 6.75%, 2/1/2021		85,000		82,025

	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Energy(continued)
Oil, Gas & Consumable Fuels (continued)
PBF Holding Co. LLC - PBF Finance Corp.3, 6.00%, 2/15/2028		160,000	$	113,904
Sabine Pass Liquefaction LLC, 5.875%, 6/30/2026		7,680,000		8,197,457
Whiting Petroleum Corp.7,8, 5.75%, 3/15/2021		125,000		12,500
The Williams Companies, Inc., 3.75%, 6/15/2027		4,320,000		4,313,375
				23,124,432
Total Energy				23,245,163
Financials - 4.0%
Banks - 3.5%
Bank of America Corp., 4.00%, 1/22/2025		8,440,000		9,118,586
CIT Group, Inc., 4.125%, 3/9/2021		190,000		186,675
Citigroup, Inc., 4.45%, 9/29/2027		6,880,000		7,536,630
Fidelity & Guaranty Life Holdings, Inc.3, 5.50%, 5/1/2025		255,000		269,344
JPMorgan Chase & Co.9, (3 mo. LIBOR US + 1.000%), 4.023%, 12/5/2024		4,560,000		4,935,946
Lloyds Bank plc (United Kingdom)3,9,10, (3 mo. LIBOR US + 11.760%), 12.00%		200,000		224,718
Popular, Inc., 6.125%, 9/14/2023		165,000		158,812
Santander Holdings USA, Inc., 4.50%, 7/17/2025		5,570,000		5,735,905
				28,166,616
Capital Markets - 0.1%
Advisor Group Holdings, Inc.3, 10.75%, 8/1/2027		80,000		60,664
Donnelley Financial Solutions, Inc., 8.25%, 10/15/2024		335,000		311,550
Oaktree Specialty Lending Corp., 3.50%, 2/25/2025		170,000		155,642
				527,856
Consumer Finance - 0.3%
Credit Acceptance Corp.3, 5.125%, 12/31/2024		95,000		83,362
Discover Financial Services, 4.50%, 1/30/2026		180,000		187,186
Navient Corp., 5.00%, 10/26/2020		135,000		132,373
Navient Corp., 6.75%, 6/25/2025		260,000		240,500
SLM Corp., 5.125%, 4/5/2022		175,000		160,300
Springleaf Finance Corp., 7.125%, 3/15/2026		155,000		146,088

The accompanying notes are an integral part of the financial statements.

8

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®CONSERVATIVE
TERM SERIES	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials(continued)
Consumer Finance (continued)
Visa, Inc., 2.70%, 4/15/2040		1,690,000	$	1,756,740
				2,706,549
Diversified Financial Services - 0.0%##
VistaJet Malta Finance plc - XO Management Holding, Inc. (Switzerland)3, 10.50%, 6/1/2024		300,000		239,250
Mortgage Real Estate Investment Trusts (REITS) - 0.1%
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp.3, 5.875%, 8/1/2021		190,000		168,150
Starwood Property Trust, Inc., 3.625%, 2/1/2021		255,000		239,700
				407,850
Thrifts & Mortgage Finance - 0.0%##
Acrisure LLC - Acrisure Finance, Inc.3, 7.00%, 11/15/2025		85,000		75,225
Radian Group, Inc., 4.875%, 3/15/2027		270,000		236,804
				312,029
Total Financials				32,360,150
Health Care - 0.9%
Health Care Providers & Services - 0.6%
HCA, Inc., 4.125%, 6/15/2029		4,630,000		5,008,723
Pharmaceuticals - 0.3%
Horizon Therapeutics USA, Inc.3, 5.50%, 8/1/2027		246,000		255,840
Pfizer, Inc., 2.625%, 4/1/2030		1,730,000		1,878,816
				2,134,656
Total Health Care				7,143,379
Industrials - 2.8%
Howmet Aerospace, Inc., 6.875%, 5/1/2025		260,000		265,139
Air Freight & Logistics - 0.0%##
Cargo Aircraft Management, Inc.3, 4.75%, 2/1/2028		250,000		233,438
Airlines - 0.7%
Southwest Airlines Co., 5.25%, 5/4/2025		5,490,000		5,469,792
Building Products - 0.0%##
Griffon Corp., 5.75%, 3/1/2028		170,000		161,925

	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Industrials(continued)
Commercial Services & Supplies - 0.1%
The ADT Security Corp., 6.25%, 10/15/2021		85,000	$	87,414
Prime Security Services Borrower LLC - Prime Finance, Inc.3, 5.25%, 4/15/2024		165,000		161,649
Prime Security Services Borrower LLC - Prime Finance, Inc.3, 5.75%, 4/15/2026		150,000		147,795
Prime Security Services Borrower LLC - Prime Finance, Inc.3, 6.25%, 1/15/2028		215,000		190,770
Stericycle, Inc.3, 5.375%, 7/15/2024		160,000		160,459
				748,087
Construction & Engineering - 0.0%##
HC2 Holdings, Inc.3, 11.50%, 12/1/2021		77,000		66,990
Tutor Perini Corp.3, 6.875%, 5/1/2025		280,000		220,500
				287,490
Industrial Conglomerates - 0.5%
General Electric Co.9,10, (3 mo. LIBOR US + 3.330%), 5.00%		4,800,000		3,933,000
Marine - 0.0%##
American Tanker, Inc. (Norway)3, 9.25%, 2/22/2022		100,000		100,000
Trading Companies & Distributors - 1.5%
AerCap Ireland Capital DAC - AerCap Global Aviation Trust (Ireland), 4.45%, 10/1/2025		7,660,000		6,741,176
Air Lease Corp., 3.25%, 3/1/2025		185,000		166,187
Air Lease Corp., 3.625%, 4/1/2027		2,915,000		2,501,930
Avolon Holdings Funding Ltd. (Ireland)3, 3.25%, 2/15/2027		3,030,000		2,344,991
Fortress Transportation & Infrastructure Investors LLC3, 6.50%, 10/1/2025		235,000		192,700
				11,946,984
Total Industrials				23,145,855
Information Technology - 0.0%##
IT Services - 0.0%##
Science Applications International Corp.3, 4.875%, 4/1/2028		185,000		181,172
Materials - 0.2%
Chemicals - 0.1%
CF Industries, Inc., 3.45%, 6/1/2023		25,000		25,312

The accompanying notes are an integral part of the financial statements.

9

Investment Portfolio - April 30, 2020 

(unaudited)

PRO-BLEND®CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT2		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Materials (continued)
Chemicals (continued)
OCI N.V. (Netherlands)3, 5.25%, 11/1/2024		200,000	$	197,032
PolyOne Corp.3, 5.75%, 5/15/2025		160,000		162,000
				384,344
Containers & Packaging - 0.0%##
Berry Global, Inc.3, 4.50%, 2/15/2026		170,000		167,807
Graphic Packaging International LLC, 4.75%, 4/15/2021		110,000		110,720
				278,527
Metals & Mining - 0.1%
Compass Minerals International, Inc.3, 6.75%, 12/1/2027		140,000		138,600
IAMGOLD Corp. (Canada)3, 7.00%, 4/15/2025		335,000		337,640
Infrabuild Australia Pty Ltd. (Australia)3, 12.00%, 10/1/2024		135,000		114,750
Kinross Gold Corp. (Canada), 4.50%, 7/15/2027		70,000		73,634
Mountain Province Diamonds, Inc. (Canada)3, 8.00%, 12/15/2022		90,000		56,700
Northwest Acquisitions ULC - Dominion Finco, Inc.11, 7.125%, 11/1/2022		180,000		18,450
				739,774
Total Materials				1,402,645
Real Estate - 2.9%
Equity Real Estate Investment Trusts (REITS) - 2.9%
American Tower Corp., 3.80%, 8/15/2029		6,665,000		7,450,487
Camden Property Trust, 2.80%, 5/15/2030		5,970,000		6,191,958
Crown Castle International Corp., 3.10%, 11/15/2029		7,080,000		7,556,689
Crown Castle International Corp., 3.30%, 7/1/2030		890,000		954,346
GTP Acquisition Partners I LLC3, 2.35%, 6/15/2020		945,000		952,057
HAT Holdings I LLC - HAT Holdings II LLC3, 6.00%, 4/15/2025		250,000		250,000
Iron Mountain, Inc., 5.75%, 8/15/2024		165,000		162,112
				23,517,649

	PRINCIPAL AMOUNT2		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds(continued)
Real Estate (continued)
Real Estate Management & Development - 0.0%##
Five Point Operating Co. LP - Five Point Capital Corp.3, 7.875%, 11/15/2025		135,000	$	130,444
Forestar Group, Inc.3, 5.00%, 3/1/2028		200,000		174,500
				304,944
Total Real Estate				23,822,593
Utilities - 0.6%
Electric Utilities - 0.5%
Dominion Energy, Inc., 3.375%, 4/1/2030		4,015,000		4,365,422
NextEra Energy Operating Partners LP3, 4.25%, 7/15/2024		90,000		91,602
				4,457,024
Independent Power and Renewable Electricity
Producers - 0.1%
Drax Finco plc (United Kingdom)3, 6.625%, 11/1/2025		200,000		204,000
Vistra Operations Co. LLC3, 5.625%, 2/15/2027		165,000		173,662
				377,662
Total Utilities				4,834,686
TOTAL CORPORATE BONDS
(Identified Cost $179,937,477)				183,390,056
U.S. TREASURY SECURITIES - 20.1%
U.S. Treasury Bonds - 3.2%
U.S. Treasury Inflation Indexed Bond, 2.00%, 1/15/2026 (Identified Cost $25,773,019)		23,329,249		26,448,443
U.S. Treasury Notes - 16.9%
U.S. Treasury Floating Rate Note12, (3 mo. US Treasury Bill Yield + 0.300%), 0.41%, 10/31/2021		28,574,000		28,674,972
U.S. Treasury Inflation Indexed Note, 0.50%, 4/15/2024		17,871,951		18,330,391
U.S. Treasury Note, 2.50%, 8/15/2023		38,995,000		41,846,509
U.S. Treasury Note, 2.50%, 5/15/2024		15,075,000		16,397,007
U.S. Treasury Note, 2.125%, 5/15/2025		15,085,000		16,401,402

The accompanying notes are an integral part of the financial statements.

10

Investment Portfolio - April 30, 2020 

(unaudited)

PRO-BLEND®CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT2		VALUE (NOTE 2)
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes (continued)
U.S. Treasury Note, 1.625%, 5/15/2026		15,160,000	$	16,211,133
Total U.S. Treasury Notes
(Identified Cost $136,176,093)				137,861,414
TOTAL U.S. TREASURY SECURITIES
(Identified Cost $161,949,112)				164,309,857
ASSET-BACKED SECURITIES - 6.7%
CarMax Auto Owner Trust, Series 2017-3, Class A3, 1.97%, 4/15/2022		959,626		962,575
Cazenovia Creek Funding II LLC, Series 2018-1A, Class A3, 3.561%, 7/15/2030		1,001,807		988,075
Chesapeake Funding II LLC, Series 2017-2A, Class A1 (Canada)3, 1.99%, 5/15/2029		2,173,221		2,164,796
Chesapeake Funding II LLC, Series 2017-4A, Class A1 (Canada)3, 2.12%, 11/15/2029		846,108		837,812
Commonbond Student Loan Trust, Series 2019-AGS, Class A13, 2.54%, 1/25/2047		2,254,443		2,304,615
Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A3, 2.01%, 2/15/2029		870,000		865,217
Credit Acceptance Auto Loan Trust, Series 2020-1A, Class B3, 2.39%, 4/16/2029		1,150,000		1,040,169
Home Partners of America Trust, Series 2019-1, Class A3, 2.908%, 9/17/2039		2,948,662		2,993,064
Invitation Homes Trust, Series 2017-SFR2, Class A3,12, (1 mo. LIBOR US + 0.850%), 1.601%, 12/17/2036		705,929		682,496
Invitation Homes Trust, Series 2017-SFR2, Class B3,12, (1 mo. LIBOR US + 1.150%), 1.901%, 12/17/2036		570,000		541,006
Navient Private Education Refi Loan Trust, Series 2019-CA, Class A13, 2.82%, 2/15/2068		1,367,142		1,372,254
Navient Private Education Refi Loan Trust, Series 2019-EA, Class A2A3, 2.64%, 5/15/2068		3,000,000		2,910,327
Navient Student Loan Trust, Series 2019-2A, Class A23,12, (1 mo. LIBOR US + 1.000%), 1.487%, 2/27/2068		6,500,000		6,109,639

	PRINCIPAL AMOUNT2		VALUE (NOTE 2)
ASSET-BACKED SECURITIES (continued)
Oxford Finance Funding LLC, Series 2019-1A, Class A23, 4.459%, 2/15/2027		2,305,000	$	2,349,568
Progress Residential Trust, Series 2017-SFR2, Class A3, 2.897%, 12/17/2034		1,497,213		1,514,078
Progress Residential Trust, Series 2019-SFR2, Class A3, 3.147%, 5/17/2036		3,250,000		3,340,244
Progress Residential Trust, Series 2019-SFR4, Class A3, 2.687%, 10/17/2036		4,200,000		4,226,414
SoFi Consumer Loan Program LLC, Series 2017-4, Class A3, 2.50%, 5/26/2026		197,149		196,521
SoFi Consumer Loan Program Trust,
Series 2019-2, Class A3, 3.01%, 4/25/2028		1,427,354		1,428,153
SoFi Consumer Loan Program Trust, Series 2019-3, Class A3, 2.90%, 5/25/2028		1,855,365		1,847,617
SoFi Professional Loan Program LLC, Series 2017-D, Class A2FX3, 2.65%, 9/25/2040		1,101,509		1,109,333
SoFi Professional Loan Program  LLC, Series 2017-F, Class A1FX3, 2.05%, 1/25/2041		14,796		14,798
SoFi Professional Loan Program LLC, Series 2017-F, Class A2FX3, 2.84%, 1/25/2041		500,000		506,656
SoFi Professional Loan Program LLC, Series 2018-A, Class A2A3, 2.39%, 2/25/2042		242,139		242,455
SoFi Professional Loan Program Trust, Series 2018-B, Class A2FX3, 3.34%, 8/25/2047		2,130,000		2,149,553
SoFi Professional Loan Program Trust, Series 2018-C, Class A1FX3, 3.08%, 1/25/2048		961,569		962,636
Store Master Funding I-VII and XIV, Series 2019-1, Class A13, 2.82%, 11/20/2049		2,181,132		2,170,585
Tax Ease Funding LLC, Series 2016-1A, Class A3, 3.131%, 6/15/2028		231,003		231,013
Towd Point Mortgage Trust, Series 2016-5, Class A13,13, 2.50%, 10/25/2056		1,326,979		1,321,830
Towd Point Mortgage Trust, Series 2017-1, Class A13,13, 2.75%, 10/25/2056		1,755,695		1,765,145

The accompanying notes are an integral part of the financial statements.

11

Investment Portfolio - April 30, 2020 

(unaudited)

PRO-BLEND®CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT2		VALUE (NOTE 2)
ASSET-BACKED SECURITIES (continued)
Towd Point Mortgage Trust, Series 2019-HY1, Class A13,12, (1 mo. LIBOR US + 1.000%), 1.487%, 10/25/2048		1,549,994	$	1,530,276
Tricon American Homes Trust, Series 2016-SFR1, Class A3, 2.589%, 11/17/2033		1,736,032		1,739,725
Tricon American Homes Trust, Series 2017-SFR2, Class A3, 2.928%, 1/17/2036		1,836,813		1,866,979
TOTAL ASSET-BACKED SECURITIES
(Identified Cost $54,623,949)				54,285,624
COMMERCIAL MORTGAGE-BACKED SECURITIES - 7.8%
Americold LLC Trust, Series 2010-ARTA, Class A13, 3.847%, 1/14/2029		46,668		46,807
BWAY Mortgage Trust, Series 2015-1740, Class A3, 2.917%, 1/10/2035		4,633,000		4,639,783
CIM Trust, Series 2019-INV1, Class A13,13, 4.00%, 2/25/2049		882,170		893,863
Commercial Mortgage Pass-Through Certificates, Series 2015-DC1, Class A5, 3.35%, 2/10/2048		4,455,000		4,584,425
Credit Suisse Mortgage Capital Trust, Series 2013-IVR3, Class A13,13, 2.50%, 5/25/2043		957,831		935,611
Credit Suisse Mortgage Capital Trust, Series 2013-TH1, Class A13,13, 2.13%, 2/25/2043		632,682		611,643
Fannie Mae REMICS, Series 2018-31, Class KP, 3.50%, 7/25/2047		1,762,001		1,825,211
Fannie Mae-Aces, Series 2017-M15, Class A113, 3.058%, 9/25/2027		3,075,444		3,331,500
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class A3, 3.144%, 12/10/2036		3,370,000		3,219,329
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K009, Class X1 (IO)13, 1.375%, 8/25/2020		14,725,477		24,752
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K014, Class X1 (IO)13, 1.324%, 4/25/2021		2,537,613		20,300
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K016, Class X1 (IO)13, 1.635%, 10/25/2021		5,945,625		104,987

	PRINCIPAL AMOUNT2		VALUE (NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K017, Class X1 (IO)13, 1.433%, 12/25/2021		7,285,265	$	112,806
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K021, Class X1 (IO)13, 1.551%, 6/25/2022		14,419,832		352,333
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K030, Class X1 (IO)13, 0.291%, 4/25/2023		72,266,767		346,136
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K032, Class X1 (IO)13, 0.208%, 5/25/2023		44,916,106		149,319
Freddie Mac REMICS, Series 4791, Class BA, 4.00%, 3/15/2044		1,852,933		1,917,719
Freddie Mac REMICS, Series 4801, Class BA, 4.50%, 5/15/2044		1,325,479		1,362,641
FREMF Mortgage Trust, Series 2011-K13, Class B3,13, 4.768%, 1/25/2048		2,255,000		2,276,904
FREMF Mortgage Trust, Series 2013-K28, Class X2A (IO)3, 0.10%, 6/25/2046		192,245,655		418,134
FREMF Mortgage Trust, Series 2014-K41, Class B3,13, 3.963%, 11/25/2047		2,227,000		2,332,605
FREMF Mortgage Trust, Series 2014-K716, Class B3,13, 4.083%, 8/25/2047		2,624,000		2,655,277
FREMF Mortgage Trust, Series 2015-K42, Class B3,13, 3.982%, 12/25/2024		490,000		515,782
FREMF Mortgage Trust, Series 2015-K43, Class B3,13, 3.861%, 2/25/2048		500,000		521,152
FREMF Mortgage Trust, Series 2015-K720, Class B3,13, 3.509%, 7/25/2022		270,000		271,220
Government National Mortgage Association, Series 2017-54, Class AH, 2.60%, 12/16/2056		2,249,629		2,331,723
GS Mortgage Securities Corp. Trust, Series 2019-70P, Class A3,12, (1mo. LIBOR US + 1.000%), 1.814%, 10/15/2036		2,725,000		2,566,469
GS Mortgage Securities Trust, Series 2010-C2, Class A13, 3.849%, 12/10/2043		18,363		18,404
JP Morgan Mortgage Trust, Series 2013-1, Class 1A23,13, 3.00%, 3/25/2043		489,248		494,164

The accompanying notes are an integral part of the financial statements.

12

Investment Portfolio - April 30, 2020 

(unaudited)

PRO-BLEND®CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT2		VALUE (NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
JP Morgan Mortgage Trust, Series 2013-2, Class A23,13, 3.50%, 5/25/2043		542,488	$	557,097
JP Morgan Mortgage Trust, Series 2014-2, Class 1A13,13, 3.00%, 6/25/2029		717,994		727,065
JP Morgan Mortgage Trust, Series 2017-3, Class 1A53,13, 3.50%, 8/25/2047		1,458,760		1,474,241
JP Morgan Mortgage Trust, Series 2017-6, Class A33,13, 3.50%, 12/25/2048		937,918		976,765
JP Morgan Mortgage Trust, Series 2017-6, Class A53,13, 3.50%, 12/25/2048		1,275,837		1,294,119
New Residential Mortgage Loan Trust, Series 2014-3A, Class AFX33,13, 3.75%, 11/25/2054		590,100		602,471
New Residential Mortgage Loan Trust, Series 2015-2A, Class A13,13, 3.75%, 8/25/2055		660,962		674,652
New Residential Mortgage Loan Trust, Series 2016-4A, Class A13,13, 3.75%, 11/25/2056		906,347		924,086
PMT Loan Trust, Series 2013-J1, Class A93,13, 3.50%, 9/25/2043		2,550,869		2,627,123
Sequoia Mortgage Trust, Series 2013-2, Class A13, 1.874%, 2/25/2043		629,870		616,394
Sequoia Mortgage Trust, Series 2013-6, Class A213, 3.00%, 5/25/2043		3,904,349		3,989,939
Sequoia Mortgage Trust, Series 2013-7, Class A213, 3.00%, 6/25/2043		656,671		665,642
Sequoia Mortgage Trust, Series 2013-8, Class A113, 3.00%, 6/25/2043		801,668		817,813
Starwood Retail Property Trust, Series 2014-STAR, Class A3,12, (1 mo. LIBOR US + 1.470%), 2.284%, 11/15/2027		2,065,176		1,929,190
Sutherland Commercial Mortgage Trust, Series 2019-SBC8, Class A3,13, 2.86%, 4/25/2041		2,755,914		2,765,552
Waikiki Beach Hotel Trust, Series 2019-WBM, Class A3,12, (1 mo. LIBOR US + 1.050%), 1.864%, 12/15/2033		2,125,000		1,951,044
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A23, 4.393%, 11/15/2043		187,177		187,490

		PRINCIPAL AMOUNT2		VALUE (NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A43,13, 4.869%, 2/15/2044			737,743	$	747,942
WinWater Mortgage Loan Trust, Series 2015-1, Class A13,13, 3.50%, 1/20/2045			683,076		700,566
WinWater Mortgage Loan Trust, Series 2015-3, Class A53,13, 3.50%, 3/20/2045			268,373		267,930
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Identified Cost $63,370,111)					63,378,120
FOREIGN GOVERNMENT BONDS - 1.4%
Canadian Government Bond (Canada), 2.75%, 6/1/2022	CAD		327,000		246,913
Export-Import Bank of Korea (South Korea), 2.625%, 12/30/2020			8,725,000		8,783,302
Mexican Government Bond (Mexico), 8.00%, 6/11/2020	MXN		7,267,000		301,954
Mexican Government Bond (Mexico), 6.50%, 6/10/2021	MXN		2,725,000		114,394
Mexican Government Bond (Mexico), 6.50%, 6/9/2022	MXN		4,996,000		212,356
Mexican Government Bond (Mexico), 7.75%, 5/29/2031	MXN		908,000		39,995
Mexico Government International Bond (Mexico), 4.125%, 1/21/2026			400,000		410,004
Republic of Italy Government International Bond (Italy), 2.375%, 10/17/2024			1,000,000		976,312
Saudi Government International Bond (Saudi Arabia), 2.90%, 10/22/2025			200,000		202,500
TOTAL FOREIGN GOVERNMENT BONDS
(Identified Cost $11,816,330)					11,287,730
U.S. GOVERNMENT AGENCIES - 11.2%
Mortgage-Backed Securities - 11.2%
Fannie Mae, Pool #888468, UMBS, 5.50%, 9/1/2021			32,271		32,699
Fannie Mae, Pool #995233, UMBS, 5.50%, 10/1/2021			684		690
Fannie Mae, Pool #888017, UMBS, 6.00%, 11/1/2021			7,494		7,664
Fannie Mae, Pool #995329, UMBS, 5.50%, 12/1/2021			23,088		23,433
Fannie Mae, Pool #888136, UMBS, 6.00%, 12/1/2021			8,998		9,221

The accompanying notes are an integral part of the financial statements.

13

Investment Portfolio - April 30, 2020 

(unaudited)

PRO-BLEND®CONSERVATIVE TERM SERIES	PRINCIPAL AMOUNT2		VALUE (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Fannie Mae, Pool #888815, UMBS, 4.50%, 11/1/2022		5,383	$	5,678
Fannie Mae, Pool #888810, UMBS, 5.50%, 11/1/2022		35,846		36,342
Fannie Mae, Pool #AA1563, UMBS, 4.50%, 2/1/2024		10,602		11,194
Fannie Mae, Pool #AC1557, UMBS, 4.50%, 9/1/2024		28,566		30,320
Fannie Mae, Pool #AD0462, UMBS, 5.50%, 10/1/2024		13,050		13,854
Fannie Mae, Pool #MA3463, UMBS, 4.00%, 9/1/2033		2,417,062		2,556,515
Fannie Mae, Pool #MA1834, UMBS, 4.50%, 2/1/2034		493,946		542,964
Fannie Mae, Pool #MA1903, UMBS, 4.50%, 5/1/2034		590,027		648,588
Fannie Mae, Pool #FM1158, UMBS, 3.50%, 6/1/2034		2,180,568		2,303,508
Fannie Mae, Pool #745418, UMBS, 5.50%, 4/1/2036		345,790		395,242
Fannie Mae, Pool #886904, UMBS, 6.50%, 9/1/2036		50,248		58,658
Fannie Mae, Pool #909786, UMBS, 5.50%, 3/1/2037		113,235		128,994
Fannie Mae, Pool #918516, UMBS, 5.50%, 6/1/2037		44,711		50,954
Fannie Mae, Pool #933521, UMBS, 5.00%, 1/1/2038		10,006		11,377
Fannie Mae, Pool #889260, UMBS, 5.00%, 4/1/2038		14,281		16,249
Fannie Mae, Pool #889576, UMBS, 6.00%, 4/1/2038		328,901		379,696
Fannie Mae, Pool #912948, UMBS, 5.00%, 5/1/2038		8,256		8,970
Fannie Mae, Pool #975840, UMBS, 5.00%, 5/1/2038		32,422		35,183
Fannie Mae, Pool #889624, UMBS, 5.50%, 5/1/2038		286,528		327,353
Fannie Mae, Pool #MA3412, UMBS, 3.50%, 7/1/2038		2,966,020		3,129,683
Fannie Mae, Pool #995196, UMBS, 6.00%, 7/1/2038		433,125		499,943
Fannie Mae, Pool #986458, UMBS, 6.00%, 8/1/2038		6,583		7,490
Fannie Mae, Pool #987831, UMBS, 6.00%, 9/1/2038		9,600		10,664
Fannie Mae, Pool #990897, UMBS, 6.00%, 9/1/2038		25,458		28,280
Fannie Mae, Pool #AD0220, UMBS, 6.00%, 10/1/2038		52,133		60,042

	PRINCIPAL AMOUNT2		VALUE (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Fannie Mae, Pool #993920, UMBS, 6.00%, 11/1/2038		74,662	$	82,937
Fannie Mae, Pool #257497, UMBS, 6.00%, 12/1/2038		14,123		16,222
Fannie Mae, Pool #971022, UMBS, 5.00%, 1/1/2039		24,510		27,865
Fannie Mae, Pool #AA1810, UMBS, 5.00%, 1/1/2039		65,913		74,393
Fannie Mae, Pool #890294, UMBS, 5.50%, 1/1/2039		539,496		615,894
Fannie Mae, Pool #AD0307, UMBS, 5.50%, 1/1/2039		287,095		327,994
Fannie Mae, Pool #983686, UMBS, 5.00%, 2/1/2039		27,200		29,568
Fannie Mae, Pool #AE0604, UMBS, 6.00%, 7/1/2039		341,593		394,496
Fannie Mae, Pool #AA6788, UMBS, 6.00%, 8/1/2039		122,111		136,686
Fannie Mae, Pool #AC0463, UMBS, 5.00%, 11/1/2039		41,926		47,754
Fannie Mae, Pool #AC5111, UMBS, 5.00%, 11/1/2039		71,128		81,032
Fannie Mae, Pool #MA0258, UMBS, 4.50%, 12/1/2039		691,186		767,533
Fannie Mae, Pool #MA0259, UMBS, 5.00%, 12/1/2039		39,431		45,045
Fannie Mae, Pool #AC8573, UMBS, 5.00%, 1/1/2040		62,959		71,962
Fannie Mae, Pool #890326, UMBS, 5.50%, 1/1/2040		571,079		651,161
Fannie Mae, Pool #AL1595, UMBS, 6.00%, 1/1/2040		401,598		463,626
Fannie Mae, Pool #AE0061, UMBS, 6.00%, 2/1/2040		162,703		187,725
Fannie Mae, Pool #AL0152, UMBS, 6.00%, 6/1/2040		571,167		659,575
Fannie Mae, Pool #AI5172, UMBS, 4.00%, 8/1/2041		380,065		415,884
Fannie Mae, Pool #AL1410, UMBS, 4.50%, 12/1/2041		824,736		914,430
Fannie Mae, Pool #AB4300, UMBS, 3.50%, 1/1/2042		229,161		247,349
Fannie Mae, Pool #AL7729, UMBS, 4.00%, 6/1/2043		514,416		562,684
Fannie Mae, Pool #AS3622, UMBS, 3.50%, 10/1/2044		11,466,039		12,500,056
Fannie Mae, Pool #AX5234, UMBS, 4.50%, 11/1/2044		711,392		780,837
Fannie Mae, Pool #AS4103, UMBS, 4.50%, 12/1/2044		710,653		783,596

The accompanying notes are an integral part of the financial statements.

14

Investment Portfolio - April 30, 2020
(unaudited)

PRO-BLEND®CONSERVATIVE
TERM SERIES	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Fannie Mae, Pool #AZ9215, UMBS, 4.00%, 10/1/2045		670,306	$	738,066
Fannie Mae, Pool #AS6613, UMBS, 4.00%, 2/1/2046		4,447,267		4,834,047
Fannie Mae, Pool #BC6764, UMBS, 3.50%, 4/1/2046		1,173,300		1,257,745
Fannie Mae, Pool #BC8677, UMBS, 4.00%, 5/1/2046		385,093		416,786
Fannie Mae, Pool #BC2098, UMBS, 4.00%, 6/1/2046		783,152		846,462
Fannie Mae, Pool #BD2179, UMBS, 4.00%, 7/1/2046		174,992		189,500
Fannie Mae, Pool #BD6987, UMBS, 4.00%, 10/1/2046		1,007,444		1,086,576
Fannie Mae, Pool #BD6997, UMBS, 4.00%, 10/1/2046		628,568		674,938
Fannie Mae, Pool #BE3812, UMBS, 4.00%, 12/1/2046		554,280		595,593
Fannie Mae, Pool #BE7845, UMBS, 4.50%, 2/1/2047		536,317		581,744
Fannie Mae, Pool #MA3184, UMBS, 4.50%, 11/1/2047		2,122,018		2,304,888
Fannie Mae, Pool #CA1922, UMBS, 5.00%, 6/1/2048		2,065,630		2,245,028
Fannie Mae, Pool #CA2056, UMBS, 4.50%, 7/1/2048		1,321,648		1,426,300
Fannie Mae, Pool #MA3443, UMBS, 4.00%, 8/1/2048		2,236,995		2,380,485
Fannie Mae, Pool #BK9366, UMBS, 4.50%, 8/1/2048		1,713,216		1,847,330
Fannie Mae, Pool #BK9598, UMBS, 4.50%, 8/1/2048		1,639,646		1,769,467
Fannie Mae, Pool #CA2373, UMBS, 5.00%, 9/1/2048		4,156,611		4,512,574
Fannie Mae, Pool #MA3521, UMBS, 4.00%, 11/1/2048		4,415,666		4,703,292
Fannie Mae, Pool #AL8674, 5.645%, 1/1/2049		998,535		1,161,923
Fannie Mae, Pool #MA3996, 2.50%, 4/1/2050		2,353,986		2,411,847
Freddie Mac, Pool #G11850, 5.50%, 7/1/2020		71		71
Freddie Mac, Pool #G12610, 6.00%, 3/1/2022		12,098		12,416
Freddie Mac, Pool #G12655, 6.00%, 5/1/2022		8,317		8,565
Freddie Mac, Pool #G13078, 6.00%, 3/1/2023		12,716		13,205
Freddie Mac, Pool #C91746, 4.50%, 12/1/2033		94,165		103,538

	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Freddie Mac, Pool #C91762, 4.50%, 5/1/2034		817,079	$	898,429
Freddie Mac, Pool #G07655, 5.50%, 12/1/2035		91,332		104,244
Freddie Mac, Pool #G08216, 5.50%, 8/1/2037		248,503		283,027
Freddie Mac, Pool #G03926, 6.00%, 2/1/2038		255,242		294,597
Freddie Mac, Pool #G04731, 5.50%, 4/1/2038		200,169		228,641
Freddie Mac, Pool #G04176, 5.50%, 5/1/2038		87,788		100,292
Freddie Mac, Pool #A78227, 5.50%, 6/1/2038		89,563		101,837
Freddie Mac, Pool #G08273, 5.50%, 6/1/2038		255,075		291,298
Freddie Mac, Pool #G04471, 5.50%, 7/1/2038		31,421		35,900
Freddie Mac, Pool #G04776, 5.50%, 7/1/2038		208,073		237,433
Freddie Mac, Pool #G05196, 5.50%, 10/1/2038		254,433		290,671
Freddie Mac, Pool #G05409, 5.50%, 3/1/2039		226,422		258,681
Freddie Mac, Pool #G05906, 6.00%, 4/1/2040		43,777		50,072
Freddie Mac, Pool #G07104, 5.50%, 5/1/2040		165,088		183,314
Freddie Mac, Pool #G06789, 6.00%, 5/1/2040		213,607		246,735
Freddie Mac, Pool #A92889, 4.50%, 7/1/2040		937,168		1,038,960
Freddie Mac, Pool #A93451, 4.50%, 8/1/2040		1,014,548		1,124,196
Freddie Mac, Pool #G60334, 4.50%, 10/1/2041		813,865		903,205
Freddie Mac, Pool #Q17513, 3.50%, 4/1/2043		1,585,021		1,711,327
Freddie Mac, Pool #Q24752, 3.50%, 2/1/2044		1,176,769		1,268,458
Freddie Mac, Pool #G60183, 4.00%, 12/1/2044		684,070		754,480
Freddie Mac, Pool #Q37592, 4.00%, 12/1/2045		1,524,670		1,659,375
Freddie Mac, Pool #G60636, 4.00%, 1/1/2046		1,214,879		1,320,456
Freddie Mac, Pool #Q38388, 4.00%, 1/1/2046		260,023		282,830
Freddie Mac, Pool #Q42596, 3.50%, 8/1/2046		1,749,687		1,875,290

The accompanying notes are an integral part of the financial statements.

15

Investment Portfolio - April 30, 2020
(unaudited)

PRO-BLEND®CONSERVATIVE
TERM SERIES	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Freddie Mac, Pool #Q51334, 4.00%, 10/1/2047		2,386,979	$	2,553,406
Freddie Mac, Pool #G08786, 4.50%, 10/1/2047		1,308,714		1,420,640
Freddie Mac, Pool #Q59805, 4.50%, 11/1/2048		1,650,938		1,780,621
Freddie Mac, Pool #Q60730, 4.00%, 1/1/2049		2,022,705		2,154,941
Ginnie Mae, Pool #671161, 5.50%, 11/15/2037		28,414		30,979
TOTAL U.S. GOVERNMENT AGENCIES
(Identified Cost $87,580,442)				91,864,473

			VALUE
	SHARES		(NOTE 2)
SHORT-TERM INVESTMENT - 0.5%
Dreyfus Government Cash  Management, Institutional Shares, 0.17%14
(Identified Cost $4,316,454)		4,316,454	$	4,316,454
TOTAL INVESTMENTS IN  SECURITIES - 100.3%
(Identified Cost $788,717,393)				820,028,783
TOTAL OPTIONS
WRITTEN — (0.0%)**
(Premiums Received $50,426)				(52,645	)
TOTAL INVESTMENTS - 100.3%				819,976,138
LIABILITIES, LESS OTHER ASSETS - (0.3%)				(2,385,478	)
NET ASSETS - 100%			$	817,590,660

ADR - American Depositary Receipt

CAD - Canadian Dollar

IO - Interest only

LIBOR - London Interbank Offered Rate

MXN - Mexican Peso

UMBS - Uniform Mortgage-Backed Securities

EXCHANGE-TRADED OPTIONS WRITTEN
DESCRIPTION	NUMBER OF CONTRACTS	EXPIRATION DATE	EXERCISE PRICE	NOTIONAL AMOUNT (000)2	VALUE
Call
Amazon.com, Inc.	3	05/01/2020	$2,590.00	742		$	(7,545	)
Facebook, Inc. - Class A	44	05/01/2020	207.50	901			(4,840	)
Booking Holdings, Inc.	8	05/15/2020	1,510.00	1,184			(35,840	)
							(48,225	)
Put
Charter Communications, Inc. - Class A	26	05/08/2020	460.00	1,288			(4,420	)
TOTAL EXCHANGE-TRADED OPTIONS WRITTEN (PREMIUMS RECEIVED $50,426)						$	(52,645	)

*Non-income producing security.

** Less than (0.1%).

## Less than 0.1%.

¹ A portion of this security is designated as collateral for options contracts written. As of April 30, 2020, the total value of such securities was $8,884,053.

² Amount is stated in USD unless otherwise noted.

³ Restricted 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 under the Fund’s Liquidity Risk Management Program. These securities amount to $115,013,766, or 14.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁴ Restricted security - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security was acquired on January 17, 2019 and March 26, 2020 at a cost of $84,938 ($94.38 per share) and cost of $19,425 ($10.50 per share), respectively. This security has been sold under rule 144A and has been

 The accompanying notes are an integral part of the financial statements.

16

Investment Portfolio - April 30, 2020
(unaudited)

determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $6,875, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁵ Restricted security - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security was acquired on September 28, 2017 and November 28, 2017 at a cost of $35,350 ($101.00 per share) and cost of $146,450 ($101.00 per share), respectively. This security has been sold under rule 144A and has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $3,150, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁶ Restricted security - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security was acquired on January 10, 2019, September 10, 2019 and April 14, 2020 at a cost of $42,300 ($94.00per share), cost of $38,475 ($85.50 per share) and cost of $44,000 ($20.00 per share), respectively. This security has been sold under rule 144A and has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $38,750, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁷ Illiquid security - This security was acquired on January 8, 2020 and February 5, 2020 at a cost of $84,097 ($98.94 per share) and cost of $37,299 ($93.25 per share), respectively. This security has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $12,500, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁸ Issuer filed for bankruptcy and/or is in default of interest payments.

⁹ Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of April 30, 2020.

¹⁰ Security is perpetual in nature and has no stated maturity date.

¹¹ Restricted security - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security was acquired on October 10, 2017 at a cost of $183,600 ($102.00 per share). This security has been sold under rule 144A and has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $18,450, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

¹² Floating rate security. Rate shown is the rate in effect as of April 30, 2020.

¹³ Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of April 30, 2020.

¹⁴ Rate shown is the current yield as of April 30, 2020.

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 S&P Global 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.

17

Statement of Assets and Liabilities - Pro-Blend^®Conservative Term Series 

April 30, 2020 (unaudited)

ASSETS:
Investments in securities, at value (identified cost $788,717,393) (Note 2)	$	820,028,783
Cash		403,532
Receivable for securities sold		6,546,455
Interest receivable		3,207,650
Receivable for fund shares sold		598,577
Foreign tax reclaims receivable		284,968
Dividends receivable		170,033
Prepaid and other expenses		42,739
TOTAL ASSETS		831,282,737
LIABILITIES:
Accrued sub-transfer agent fees (Note 3)		404,439
Accrued management fees (Note 3)		265,085
Accrued distribution and service (Rule 12b-1) fees (Class S) (Class R) (Class L) (Note 3)		200,668
Accrued fund accounting and administration fees (Note 3)		46,176
Accrued Chief Compliance Officer service fees (Note 3)		956
Options written, at value (premiums received $50,426) (Note 2)		52,645
Payable for securities purchased		10,828,561
Payable for fund shares repurchased		1,804,563
Other payables and accrued expenses		88,984
TOTAL LIABILITIES		13,692,077
TOTAL NET ASSETS	$	817,590,660
NET ASSETS CONSIST OF:
Capital stock	$	640,365
Additional paid-in-capital		759,651,814
Total distributable earnings (loss)		57,298,481
TOTAL NET ASSETS	$	817,590,660

The accompanying notes are an integral part of the financial statements.

18

Statement of Assets and Liabilities - Pro-Blend^®Conservative Term Series 

April 30, 2020 (unaudited)

NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S
($631,581,022/45,503,643 shares)	$	13.88
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I
($91,195,927/8,889,304 shares)	$	10.26
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class R
($8,443,476/862,373 shares)	$	9.79
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class L
($84,682,164/8,659,958 shares)	$	9.78
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class W
($1,688,071/121,252 shares)	$	13.92

The accompanying notes are an integral part of the financial statements.

19

Statement of Operations - Pro-Blend^®Conservative Term Series 

For the Six Months Ended April 30, 2020 (unaudited)

INVESTMENT INCOME:
Interest	$	8,577,670
Dividends (net of foreign taxes withheld, $109,905)		2,288,393
Total Investment Income		10,866,063
EXPENSES:
Management fees (Note 3)		1,746,162
Distribution and service (Rule 12b-1) fees (Class S) (Note 3)		805,876
Distribution and service (Rule 12b-1) fees (Class L) (Note 3)		428,073
Distribution and service (Rule 12b-1) fees (Class R) (Note 3)		21,826
Sub-transfer agent fees (Note 3)		556,718
Fund accounting and administration fees (Note 3)		86,007
Directors’ fees (Note 3)		43,734
Chief Compliance Officer service fees (Note 3)		1,438
Custodian fees		30,894
Miscellaneous		197,459
Total Expenses		3,918,187
Less reduction of expenses (Note 3)		(3,476	)
Net Expenses		3,914,711
NET INVESTMENT INCOME		6,951,352
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on-
Investments in securities		22,265,922
Options written		418,204
Foreign currency and translation of other assets and liabilities		(5,529	)
		22,678,597
Net change in unrealized appreciation (depreciation) on-
Investments in securities		(21,067,948	)
Options written		(759	)
Foreign currency and translation of other assets and liabilities		(2,589	)
		(21,071,296	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY		1,607,301
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	8,558,653

The accompanying notes are an integral part of the financial statements.

20

Statements of Changes in Net Assets - Pro-Blend^®Conservative Term Series

		FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment loss	$	6,951,352		$	17,882,913
Net realized gain (loss) on investments and foreign currency		22,678,597			26,554,094
Net change in unrealized appreciation (depreciation) on investments and foreign currency		(21,071,296	)		45,274,353
Net increase from operations		8,558,653			89,711,360
DISTRIBUTIONS TO SHAREHOLDERS (Note 9):
Class S		(22,130,479	)		(22,245,086	)
Class I		(10,168,557	)		(9,999,209	)
Class R		(439,948	)		(468,279	)
Class L		(4,064,880	)		(4,001,133	)
Class W		(69,989	)		(12,499	)
Total distributions to shareholders		(36,873,853	)		(36,726,206	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase (decrease) from capital share transactions (Note 5)		(68,640,127	)		(31,706,162	)
Net increase (decrease) in net assets		(96,955,327	)		21,278,992
NET ASSETS:
Beginning of period		914,545,987			893,266,995
End of period	$	817,590,660		$	914,545,987

The accompanying notes are an integral part of the financial statements.

21

Financial Highlights - Pro-Blend^®Conservative Term Series - Class S

	FOR THE SIX MONTHS ENDED 4/30/20			FOR THE YEAR ENDED
	(UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$14.23			$13.39			$14.10			$13.36			$13.15			$14.13
Income (loss) from investment operations:
Net investment income1		0.11			0.27			0.23			0.19			0.19			0.22
Net realized and unrealized gain (loss) on investments		0.04			1.07			(0.33	)		0.73			0.21			(0.41	)
Total from investment operations		0.15			1.34			(0.10	)		0.92			0.40			(0.19	)
Less distributions to shareholders:
From net investment income		(0.15	)		(0.23	)		(0.18	)		(0.16	)		(0.19	)		(0.18	)
From net realized gain on investments		(0.35	)		(0.27	)		(0.43	)		(0.02	)		—			(0.61	)
Total distributions to shareholders		(0.50	)		(0.50	)		(0.61	)		(0.18	)		(0.19	)		(0.79	)
Net asset value - End of period		$13.88			$14.23			$13.39			$14.10			$13.36			$13.15
Net assets - End of period (000’s omitted)		$631,581			$609,145			$596,934			$627,523			$724,270			$911,956
Total return2		1.09%			10.40%			(0.75%	)		7.02%			3.07%			(1.33%	)
Ratios (to average net assets)/Supplemental Data:
Expenses		0.87%3			0.87%			0.88%			0.87%			0.87%			0.88%
Net investment income		1.62%3			2.01%			1.71%			1.42%			1.47%			1.60%
Series portfolio turnover		61%			68%			80%			58%			65%			51%

¹Calculated based on average shares outstanding during the periods. 

²Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Periods less than one year are not annualized.

³Annualized.

The accompanying notes are an integral part of the financial statements.

22

Financial Highlights - Pro-Blend^®Conservative Term Series - Class I

	FOR THE SIX MONTHS ENDED 4/30/20			FOR THE YEAR ENDED
	(UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.65			$10.15			$10.85			$10.33			$10.22			$11.17
Income (loss) from investment operations:
Net investment income1		0.10			0.23			0.20			0.17			0.17	��		0.19
Net realized and unrealized gain (loss) on investments		0.03			0.80			(0.26	)		0.56			0.15			(0.32	)
Total from investment operations		0.13			1.03			(0.06	)		0.73			0.32			(0.13	)
Less distributions to shareholders:
From net investment income		(0.17	)		(0.26	)		(0.21	)		(0.19	)		(0.21	)		(0.21	)
From net realized gain on investments		(0.35	)		(0.27	)		(0.43	)		(0.02	)		—			(0.61	)
Total distributions to shareholders		(0.52	)		(0.53	)		(0.64	)		(0.21	)		(0.21	)		(0.82	)
Net asset value - End of period		$10.26			$10.65			$10.15			$10.85			$10.33			$10.22
Net assets - End of period (000’s omitted)		$91,196			$207,346			$192,157			$213,824			$291,632			$325,700
Total return2		1.29%			10.69%			(0.62%	)		7.25%			3.26%			(1.15%	)
Ratios (to average net assets)/Supplemental Data:
Expenses		0.62%3			0.64%			0.68%			0.67%			0.67%			0.68%
Net investment income		1.89%3			2.23%			1.92%			1.62%			1.66%			1.81%
Series portfolio turnover		61%			68%			80%			58%			65%			51%

¹Calculated based on average shares outstanding during the periods. 

²Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Periods less than one year are not annualized.

³Annualized.

The accompanying notes are an integral part of the financial statements.

23

Financial Highlights - Pro-Blend^®Conservative Term Series - Class R

	FOR THE SIX MONTHS ENDED 4/30/20			FOR THE YEAR ENDED
	(UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.19			$9.73			$10.42			$9.92			$9.81			$10.75
Income (loss) from investment operations:
Net investment income1		0.07			0.17			0.14			0.11			0.12			0.13
Net realized and unrealized gain (loss) on investments		0.03			0.77			(0.24	)		0.54			0.15			(0.30	)
Total from investment operations		0.10			0.94			(0.10	)		0.65			0.27			(0.17	)
Less distributions to shareholders:
From net investment income		(0.15	)		(0.21	)		(0.16	)		(0.13	)		(0.16	)		(0.16	)
From net realized gain on investments		(0.35	)		(0.27	)		(0.43	)		(0.02	)		—			(0.61	)
Total distributions to shareholders		(0.50	)		(0.48	)		(0.59	)		(0.15	)		(0.16	)		(0.77	)
Net asset value - End of period		$9.79			$10.19			$9.73			$10.42			$9.92			$9.81
Net assets - End of period (000’s omitted)		$8,443			$8,850			$10,886			$13,672			$19,054			$55,315
Total return2		1.01%			10.12%			(1.08%	)		6.72%			2.79%			(1.60%	)
Ratios (to average net assets)/Supplemental Data:
Expenses		1.05%3			1.10%			1.18%			1.17%			1.17%			1.18%
Net investment income		1.44%3			1.77%			1.40%			1.12%			1.19%			1.30%
Series portfolio turnover		61%			68%			80%			58%			65%			51%

¹Calculated based on average shares outstanding during the periods. 

²Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Periods less than one year are not annualized. 

³Annualized.

The accompanying notes are an integral part of the financial statements.

24

Financial Highlights - Pro-Blend^®Conservative Term Series - Class L*

	FOR THE SIX MONTHS ENDED 4/30/20			FOR THE YEAR ENDED
	(UNAUDITED)			10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.17			$9.71			$10.40			$9.91			$9.81			$10.75
Income (loss) from investment operations:
Net investment income1		0.05			0.13			0.09			0.06			0.06			0.08
Net realized and unrealized gain (loss) on investments		0.03			0.76			(0.24	)		0.54			0.15			(0.31	)
Total from investment operations		0.08			0.89			(0.15	)		0.60			0.21			(0.23	)
Less distributions to shareholders:
From net investment income		(0.12	)		(0.16	)		(0.11	)		(0.09	)		(0.11	)		(0.10	)
From net realized gain on investments		(0.35	)		(0.27	)		(0.43	)		(0.02	)		—			(0.61	)
Total distributions to shareholders		(0.47	)		(0.43	)		(0.54	)		(0.11	)		(0.11	)		(0.71	)
Net asset value - End of period		$9.78			$10.17			$9.71			$10.40			$9.91			$9.81
Net assets - End of period (000’s omitted)		$84,682			$87,628			$93,290			$112,666			$127,100			$137,697
Total return2		0.81%			9.61%			(1.58%	)		6.13%			2.24%			(2.10%	)
Ratios (to average net assets)/Supplemental Data:
Expenses		1.54%3			1.59%			1.68%			1.67%			1.67%			1.68%
Net investment income		0.95%3			1.29%			0.91%			0.62%			0.66%			0.81%
Series portfolio turnover		61%			68%			80%			58%			65%			51%

*Effective March 1, 2019, Class R2 shares of the Series have been redesignated as Class L Shares. 

¹Calculated based on average shares outstanding during the periods. 

²Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Periods less than one year are not annualized. 

³Annualized.

The accompanying notes are an integral part of the financial statements.

25

Financial Highlights - Pro-Blend^®Conservative Term Series - Class W

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE PERIOD 4/1/191TO 10/31/19
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$14.28			$13.62
Income from investment operations:
Net investment income2		0.17			0.23
Net realized and unrealized gain (loss) on investments		0.03			0.54
Total from investment operations		0.20			0.77
Less distributions to shareholders:
From net investment income		(0.21	)		(0.11	)
From net realized gain on investments		(0.35	)		(0.00	)3
Total distributions to shareholders		(0.56	)		(0.11	)
Net asset value - End of period		$13.92			$14.28
Net assets - End of period (000’s omitted)		$1,688			$1,577
Total return4		1.45%			5.71%
Ratios (to average net assets)/Supplemental Data:
Expenses*5		0.08%			0.08%
Net investment income5		2.41%			2.81%
Series portfolio turnover		61%			68%
*The investment advisor did not impose all or a portion of its management and/or other fees during the period, and 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 amounts5:
		0.40%			0.40%

¹Commencement of operations. 

²Calculated based on average shares outstanding during the periods. 

³Less than $(0.01). 

⁴Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized. 

⁵Annualized.

The accompanying notes are an integral part of the financial statements.

26

Shareholder Expense Example - Pro-Blend^®Moderate Term Series
(unaudited)

As a shareholder of the Series, you incur ongoing costs, including management fees, shareholder service 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 (November 1, 2019 to April 30, 2020).

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 such as sales charges (loads), redemption fees, or exchange fees that you may incur in other mutual funds. 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.

	BEGINNING ACCOUNT VALUE 11/1/19	ENDING ACCOUNT VALUE 4/30/20	EXPENSES PAID DURING PERIOD 11/1/19-4/30/201	ANNUALIZED EXPENSE RATIO
Class S
Actual	$1,000.00	$1,024.60	$5.44	1.08%
Hypothetical
(5% return before expenses)	$1,000.00	$1,019.49	$5.42	1.08%
Class I
Actual	$1,000.00	$1,025.00	$4.28	0.85%
Hypothetical
(5% return before expenses)	$1,000.00	$1,020.64	$4.27	0.85%
Class R
Actual	$1,000.00	$1,023.40	$6.79	1.35%
Hypothetical
(5% return before expenses)	$1,000.00	$1,018.15	$6.77	1.35%
Class L
Actual	$1,000.00	$1,020.10	$8.94	1.78%
Hypothetical
(5% return before expenses)	$1,000.00	$1,016.01	$8.92	1.78%
Class W
Actual	$1,000.00	$1,029.70	$0.50	0.10%
Hypothetical
(5% return before expenses)	$1,000.00	$1,024.37	$0.50	0.10%

27

Shareholder Expense Example - Pro-Blend^®Moderate Term Series
(unaudited)

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 182/366 (to reflect the one-half year period). The Class’ total return would have been lower had certain expenses not been waived or reimbursed during the period.

28

Portfolio Composition - Pro-Blend^®Moderate Term Series
As of April 30, 2020 (unaudited)

Asset Allocation¹

 

¹As a percentage of net assets.

²A U.S. Treasury Bond is a long-term obligation of the U.S. Treasury issued with a maturity period of more than ten years.

³A U.S. Treasury Note is an intermediate long-term obligation of the U.S. Treasury issued with a maturity period between one and ten years.

Sector Allocation4		Top Ten Stock Holdings5
Communication Services	9.6%	Mastercard, Inc. - Class A	1.7%
Consumer Discretionary	8.0%	Booking Holdings, Inc.	1.7%
Information Technology	7.0%	Visa, Inc. - Class A	1.5%
Financials	6.4%	Johnson & Johnson	1.3%
Energy	6.1%	Nexon Co. Ltd. (Japan)	1.2%
Consumer Staples	5.8%	Novartis AG - ADR (Switzerland)	1.2%
Real Estate	5.3%	Unilever plc - ADR (United Kingdom)	1.1%
Health Care	5.3%	Amazon.com, Inc.	1.1%
Industrials	4.1%	Alphabet, Inc. - Class A	1.1%
Materials	1.4%	Micron Technology, Inc.	1.0%
Utilities	0.5%
4Including common stocks and corporate bonds, as a percentage of total investments.		5As a percentage of total investments.

29

Investment Portfolio - April 30, 2020
(unaudited)

PRO-BLEND®MODERATE TERM SERIES	SHARES	VALUE (NOTE 2)
COMMON STOCKS - 41.9%
Communication Services - 6.3%
Entertainment - 2.9%
Activision Blizzard, Inc.1	43,175	$	2,751,543
Electronic Arts, Inc.*1	18,570		2,121,808
Nexon Co. Ltd. (Japan)	269,700		4,354,573
Sea Ltd. - ADR (Taiwan)*	3,330		185,081
The Walt Disney Co.	14,150		1,530,322
			10,943,327
Interactive Media & Services - 3.0%
Alphabet, Inc. - Class A*1	3,020		4,067,034
Alphabet, Inc. - Class C*	540		728,276
Auto Trader Group plc (United Kingdom)2	18,565		106,869
Facebook, Inc. - Class A*	15,450		3,162,769
Tencent Holdings Ltd. - Class H (China)	57,628		3,029,472
			11,094,420
Media - 0.4%
Charter Communications, Inc. - Class A*	2,025		1,002,841
Comcast Corp. - Class A	2,356		88,656
Quebecor, Inc. - Class B (Canada)	5,895		128,365
Shaw Communications, Inc. - Class B (Canada)	10,470		170,821
			1,390,683
Total Communication Services			23,428,430
Consumer Discretionary - 5.7%
Distributors - 0.0%##
Genuine Parts Co.	269		21,326
Hotels, Restaurants & Leisure - 0.1%
Aristocrat Leisure Ltd. (Australia)	8,155		133,740
Hilton Worldwide Holdings, Inc.	1,060		80,253
Restaurant Brands International, Inc. (Canada)	4,335		213,716
Wyndham Hotels & Resorts, Inc.	2,443		92,126
			519,835
Household Durables - 0.9%
Garmin Ltd.	218		17,693
Nikon Corp. (Japan)	179,400		1,668,747
Sony Corp. - ADR (Japan)	22,225		1,427,956
Sony Corp. (Japan)	2,400		154,450
			3,268,846
Internet & Direct Marketing Retail - 3.3%
Alibaba Group Holding Ltd. - ADR (China)*	7,970		1,615,280
Amazon.com, Inc.*1	1,685		4,168,690

	SHARES	VALUE (NOTE 2)
COMMON STOCKS (continued)
Consumer Discretionary (continued)
Internet & Direct Marketing Retail (continued)
Booking Holdings, Inc.*	4,270	$	6,322,034
			12,106,004
Multiline Retail - 0.4%
B&M European Value Retail S.A.
(United Kingdom)	41,730		174,512
Dollar Tree, Inc.*	16,035		1,277,508
			1,452,020
Specialty Retail - 0.1%
Best Buy Co., Inc.	392		30,078
The Home Depot, Inc.	713		156,739
Industria de Diseno Textil S.A. (Spain)	7,545		193,246
			380,063
Textiles, Apparel & Luxury Goods - 0.9%
adidas AG (Germany)	6,495		1,486,923
lululemon athletica, Inc.*	7,875		1,759,905
VF Corp.	539		31,316
			3,278,144
Total Consumer Discretionary			21,026,238
Consumer Staples - 5.2%
Beverages - 2.1%
Ambev S.A. - ADR (Brazil)	35,776		76,918
Anheuser-Busch InBev S.A./N.V. (Belgium)	38,165		1,777,353
The Coca-Cola Co.	70,290		3,225,608
Constellation Brands, Inc. - Class A .	172		28,327
Diageo plc (United Kingdom)	43,093		1,483,678
Molson Coors Beverage Co. - Class B	374		15,338
PepsiCo, Inc.	10,490		1,387,722
			7,994,944
Food & Staples Retailing - 0.1%
The Kroger Co.	1,055		33,349
Sysco Corp.	582		32,749
Walmart, Inc	1,422		172,844
			238,942
Food Products - 1.8%
Archer-Daniels-Midland Co.	705		26,184
Conagra Brands, Inc.	749		25,047
Danone S.A. (France)	4,046		281,996
General Mills, Inc.	849		50,847
The Hershey Co.	265		35,094
Hormel Foods Corp.	515		24,128

The accompanying notes are an integral part of the financial statements.

30

Investment Portfolio - April 30, 2020
(unaudited)

PRO-BLEND®MODERATE TERM SERIES	SHARES	VALUE (NOTE 2)
COMMON STOCKS (continued)
Consumer Staples (continued)
Food Products (continued)
The J.M. Smucker Co.	195	$	22,407
Mondelez International, Inc. - Class A	54,878		2,822,924
Nestle S.A. (Switzerland)	30,344		3,213,734
Tyson Foods, Inc. - Class A	456		28,359
			6,530,720
Household Products - 0.0%##
Colgate-Palmolive Co.	955		67,108
Kimberly-Clark Corp.	364		50,407
			117,515
Personal Products - 1.2%
Beiersdorf AG (Germany)	1,540		161,128
Unilever plc - ADR (United Kingdom)	81,399		4,222,166
			4,383,294
Total Consumer Staples			19,265,415
Energy - 3.6%
Energy Equipment & Services - 0.3%
Baker Hughes Co.	1,461		20,381
Schlumberger Ltd.	59,718		1,004,457
			1,024,838
Oil, Gas & Consumable Fuels - 3.3%
BP plc - ADR (United Kingdom)	1,670		39,746
Cabot Oil & Gas Corp.	163,040		3,524,925
Cameco Corp. (Canada)	20,989		209,050
Chevron Corp.	6,540		601,680
Concho Resources, Inc.	14,795		839,172
ConocoPhillips	36,039		1,517,242
EOG Resources, Inc.	33,031		1,569,303
Exxon Mobil Corp.	27,815		1,292,563
Marathon Petroleum Corp.	885		28,391
Pioneer Natural Resources Co.	9,570		854,697
Royal Dutch Shell plc - Class B - ADR (Netherlands)	12,460		398,346
TOTAL S.A. - ADR (France)	38,520		1,353,978
Tourmaline Oil Corp. (Canada)	21,875		216,872
Valero Energy Corp.	524		33,195
			12,479,160
Total Energy			13,503,998
Financials - 3.0%
Banks - 0.3%
Bank of America Corp.	5,173		124,411
The Bank Of N.T. Butterfield & Son Ltd. (Bermuda)	6,015		132,390

	SHARES	VALUE (NOTE 2)
COMMON STOCKS (continued)
Financials(continued)
Banks(continued)
Citigroup, Inc.	1,554	$	75,462
Fifth Third Bancorp	987		18,447
FinecoBank Banca Fineco S.p.A. (Italy)	26,765		298,207
JPMorgan Chase & Co.	1,709		163,654
The PNC Financial Services Group, Inc.	333		35,521
Regions Financial Corp.	1,473		15,835
Truist Financial Corp.	1,432		53,442
U.S. Bancorp	1,493		54,494
Wells Fargo & Co.	3,189		92,640
			1,064,503
Capital Markets - 1.9%
Cboe Global Markets, Inc.	20,410		2,028,346
CME Group, Inc.	7,080		1,261,727
Deutsche Boerse AG (Germany)	1,710		265,117
Intercontinental Exchange, Inc.	15,100		1,350,695
Moody’s Corp.	4,405		1,074,380
S&P Global, Inc.	3,555		1,041,188
			7,021,453
Diversified Financial Services - 0.7%
Berkshire Hathaway, Inc. - Class B*1	14,085		2,638,966
Insurance - 0.1%
Admiral Group plc (United Kingdom).	13,285		387,662
The Allstate Corp.	347		35,297
Chubb Ltd.	415		44,824
Cincinnati Financial Corp.	193		12,699
The Hartford Financial Services Group, Inc.	507		19,261
The Travelers Companies, Inc.	281		28,440
			528,183
Total Financials			11,253,105
Health Care - 4.8%
Biotechnology - 0.7%
AbbVie, Inc.	1,182		97,160
BioMarin Pharmaceutical, Inc.*	18,360		1,689,487
Gilead Sciences, Inc.	1,233		103,572
Incyte Corp.*	8,530		833,040
			2,723,259
Health Care Equipment & Supplies - 1.0%
Alcon, Inc. (Switzerland)*	28,465		1,503,237
Getinge AB - Class B (Sweden)	8,945		171,451
Medtronic plc	17,746		1,732,542

The accompanying notes are an integral part of the financial statements.

31

Investment Portfolio - April 30, 2020
(unaudited)

PRO-BLEND®MODERATE TERM SERIES	SHARES	VALUE (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Health Care Equipment & Supplies (continued)
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)	156,000	$	236,987
			3,644,217
Health Care Providers & Services - 0.0%##
Quest Diagnostics, Inc.	220		24,224
Life Sciences Tools & Services - 0.5%
Gerresheimer AG (Germany)	2,630		209,163
Thermo Fisher Scientific, Inc.	4,445		1,487,653
			1,696,816
Pharmaceuticals - 2.6%
Bristol-Myers Squibb Co.	1,742		105,931
Eli Lilly & Co.	521		80,567
Johnson & Johnson	30,884		4,633,835
Merck & Co., Inc.	1,725		136,862
Novartis AG - ADR (Switzerland)	51,385		4,353,851
Perrigo Co. plc	3,635		193,746
Pfizer, Inc.	4,136		158,657
			9,663,449
Total Health Care			17,751,965
Industrials - 1.9%
Aerospace & Defense - 0.1%
Airbus SE (France)*	280		17,729
General Dynamics Corp.	288		37,619
Lockheed Martin Corp.	252		98,043
Raytheon Technologies Corp.	1,274		82,568
			235,959
Air Freight & Logistics - 0.0%##
C.H. Robinson Worldwide, Inc.	264		18,718
Airlines - 1.1%
easyJet plc (United Kingdom)	196,610		1,489,256
Ryanair Holdings plc - ADR (Ireland)*	39,474		2,505,415
			3,994,671
Building Products - 0.0%##
Johnson Controls International plc	1,115		32,458
Trane Technologies plc	254		22,205
			54,663
Commercial Services & Supplies - 0.5%
Bingo Industries Ltd. (Australia)	84,215		127,543
Copart, Inc.*	18,980		1,520,488

	SHARES	VALUE (NOTE 2)
COMMON STOCKS (continued)
Industrials(continued)
Commercial Services & Supplies (continued)
Waste Management, Inc.	476	$	47,610
			1,695,641
Electrical Equipment - 0.0%##
Eaton Corp. plc	508		42,418
Emerson Electric Co.	791		45,111
Rockwell Automation, Inc.	153		28,990
			116,519
Industrial Conglomerates - 0.0%##
3M Co.	521		79,150
Honeywell International, Inc.	607		86,133
			165,283
Machinery - 0.1%
Caterpillar, Inc.	540		62,845
Cummins, Inc.	213		34,825
Dover Corp.	174		16,295
Illinois Tool Works, Inc.	348		56,550
Parker-Hannifin Corp.	150		23,718
Stanley Black & Decker, Inc.	184		20,277
The Weir Group plc (United Kingdom)	10,240		122,374
			336,884
Road & Rail - 0.0%##
Norfolk Southern Corp.	214		36,615
Union Pacific Corp.	576		92,039
			128,654
Trading Companies & Distributors - 0.1%
Brenntag AG (Germany)	3,910		177,038
Fastenal Co.	861		31,185
WW Grainger, Inc.	61		16,810
			225,033
Transportation Infrastructure - 0.0%##
Grupo Aeroportuario del Centro Norte S.A.B. de C.V. (Mexico)	16,100		58,926
Grupo Aeroportuario del Pacifico S.A.B. de C.V. - ADR (Mexico)	1,015		62,930
Grupo Aeroportuario del Sureste S.A.B. de C.V. - ADR (Mexico)	645		64,313
			186,169
Total Industrials			7,158,194
Information Technology - 7.0%
Cisco Systems, Inc.	2,993		126,843
IT Services - 4.0%
Accenture plc - Class A	1,252		231,858

The accompanying notes are an integral part of the financial statements.

32

Investment Portfolio - April 30, 2020
(unaudited)

PRO-BLEND®MODERATE TERM SERIES
	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
IT Services (continued)
Adyen N.V. (Netherlands)*2		90	$	88,883
Automatic Data Processing, Inc.		312		45,767
International Business Machines Corp.		754		94,672
Keywords Studios plc (Ireland)		2,972		59,539
Mastercard, Inc. - Class A		23,130		6,360,056
PayPal Holdings, Inc.*		19,345		2,379,435
Switch, Inc. - Class A		5,341		91,705
Visa, Inc. - Class A		30,460		5,443,811
				14,795,726
Semiconductors & Semiconductor Equipment - 1.1%
Analog Devices, Inc.		326		35,730
Intel Corp.		2,771		166,205
KLA Corp.		213		34,951
Micron Technology, Inc.*		75,520		3,616,653
QUALCOMM, Inc.		755		59,396
Skyworks Solutions, Inc.		194		20,153
Texas Instruments, Inc.		806		93,552
Xilinx, Inc.		266		23,248
				4,049,888
Software - 1.9%
Microsoft Corp.		16,115		2,887,969
Oracle Corp.		1,608		85,176
salesforce.com, Inc.*		14,130		2,288,354
ServiceNow, Inc.*		4,435		1,559,080
				6,820,579
Technology Hardware, Storage & Peripherals - 0.0%##
NetApp, Inc.		365		15,976
Total Information Technology				25,809,012
Materials - 1.2%
Chemicals - 0.5%
Akzo Nobel N.V. (Netherlands)		2,168		164,530
FMC Corp.		15,920		1,463,048
International Flavors & Fragrances, Inc.		129		16,903
Linde plc (United Kingdom)		335		61,637
LyondellBasell Industries N.V. - Class A		504		29,207
PPG Industries, Inc.		246		22,344
				1,757,669
Containers & Packaging - 0.7%
Graphic Packaging Holding Co.		203,680		2,719,128

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Materials (continued)
Metals & Mining - 0.0%##
Lundin Mining Corp. (Chile)		24,200	$	118,570
Nucor Corp.		520		21,419
				139,989
Total Materials				4,616,786
Real Estate - 3.2%
Equity Real Estate Investment Trusts (REITS) - 3.2%
Acadia Realty Trust1		4,055		50,241
Agree Realty Corp.1		920		59,901
Alexandria Real Estate Equities, Inc.1		585		91,898
American Campus Communities, Inc.1		3,772		133,114
American Homes 4 Rent - Class A1		5,345		129,028
American Tower Corp.		7,150		1,701,700
Americold Realty Trust1		4,910		150,197
Apartment Investment & Management Co. - Class A1		2,731		102,877
AvalonBay Communities, Inc.1		1,275		207,761
Boston Properties, Inc.		679		65,985
Brandywine Realty Trust1		6,350		70,866
Camden Property Trust1		1,990		175,259
Community Healthcare Trust, Inc.		2,080		77,376
CoreSite Realty Corp.		380		46,052
Cousins Properties, Inc.1		5,337		161,017
Crown Castle International Corp.1		960		153,053
Digital Realty Trust, Inc.		1,904		284,629
Douglas Emmett, Inc.		3,730		113,728
Duke Realty Corp.		3,659		126,967
Equinix, Inc.		4,190		2,829,088
Equity LifeStyle Properties, Inc.		2,820		170,074
Equity Residential		2,300		149,638
Essex Property Trust, Inc.		385		93,978
Extra Space Storage, Inc.		500		44,120
First Industrial Realty Trust, Inc.		1,690		63,831
Getty Realty Corp.		1,935		52,555
Healthcare Realty Trust, Inc.		2,100		61,719
Healthcare Trust of America, Inc. - Class A		1,735		42,733
Healthpeak Properties, Inc.		5,490		143,509
Hibernia REIT plc (Ireland)		45,405		59,062
Host Hotels & Resorts, Inc.		3,161		38,912
Invitation Homes, Inc.		7,834		185,274
Jernigan Capital, Inc.		4,790		63,228
Kilroy Realty Corp.		2,900		180,554
Life Storage, Inc.		440		38,540

The accompanying notes are an integral part of the financial statements.

33

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®MODERATE TERM SERIES
	SHARES/ PRINCIPAL AMOUNT3		VALUE (NOTE 2)
COMMON STOCKS (continued)
Real Estate (continued)
Equity Real Estate Investment Trusts (REITS)(continued)
Mid-America Apartment
Communities, Inc.		870	$	97,370
National Retail Properties, Inc.		1,660		54,182
Physicians Realty Trust		3,915		60,369
Prologis, Inc.		5,862		523,066
Public Storage		1,120		207,704
Realty Income Corp.		1,055		57,941
Rexford Industrial Realty, Inc.		2,315		94,267
SBA Communications Corp.		6,510		1,887,379
STAG Industrial, Inc.		2,225		58,406
STORE Capital Corp.		2,740		54,992
Sun Communities, Inc.		1,995		268,128
Sunstone Hotel Investors, Inc.		3,795		34,876
Terreno Realty Corp.		650		35,633
UDR, Inc.		1,951		73,104
Urban Edge Properties		4,730		54,395
Welltower, Inc.		2,465		126,282
Total Real Estate				11,806,558
TOTAL COMMON STOCKS
(Identified Cost $139,301,673)				155,619,701
Corporate BONDS - 17.6%
Non-Convertible Corporate Bonds - 17.6%
Communication Services - 3.3%
Diversified Telecommunication Services - 1.3%
AT&T, Inc., 4.25%, 3/1/2027		840,000		925,711
Verizon Communications, Inc., 5.25%, 3/16/2037		2,830,000		3,769,555
				4,695,266
Interactive Media & Services - 0.6%
Tencent Holdings Ltd. (China)2, 3.975%, 4/11/2029		2,070,000		2,328,862
Media - 1.3%
Altice Financing S.A. (Luxembourg)2, 7.50%, 5/15/2026		75,000		78,187
CCO Holdings LLC - CCO Holdings Capital Corp.2, 4.50%, 8/15/2030		70,000		70,896
Comcast Corp., 3.25%, 11/1/2039		2,080,000		2,266,159
Discovery Communications LLC, 5.20%, 9/20/2047		2,160,000		2,460,145
Sirius XM Radio, Inc.2, 4.625%, 7/15/2024		40,000		40,784
Townsquare Media, Inc.2, 6.50%, 4/1/2023		80,000		70,728
				4,986,899

	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Communication Services (continued)
Wireless Telecommunication Services - 0.1%
Sprint Communications, Inc., 7.00%, 8/15/2020		90,000	$	90,788
Sprint Corp., 7.25%, 9/15/2021		40,000		41,950
Sprint Corp., 7.125%, 6/15/2024		95,000		106,639
				239,377
Total Communication Services				12,250,404
Consumer Discretionary - 2.3%
Auto Components - 0.0%##
Techniplas LLC2, 10.00%, 5/1/2020		50,000		8,875
Automobiles - 0.0%##
Ford Motor Co., 9.625%, 4/22/2030		55,000		54,795
Diversified Consumer Services - 0.1%
Carriage Services, Inc.2, 6.625%, 6/1/2026		70,000		69,027
GEMS MENASA Cayman Ltd. - GEMS Education Delaware LLC (United Arab Emirates)2, 7.125%, 7/31/2026		155,000		148,025
				217,052
Household Durables - 0.1%
Foxtrot Escrow Issuer LLC - Foxtrot Escrow Corp.2, 12.25%, 11/15/2026		90,000		74,250
LGI Homes, Inc.2, 6.875%, 7/15/2026		120,000		111,750
TRI Pointe Group, Inc. - TRI Pointe Homes, Inc., 5.875%, 6/15/2024		45,000		43,654
Weekley Homes LLC - Weekley Finance Corp., 6.625%, 8/15/2025		55,000		49,522
				279,176
Internet & Direct Marketing Retail - 1.7%
Alibaba Group Holding Ltd. (China), 3.40%, 12/6/2027		1,800,000		1,955,810
Booking Holdings, Inc., 3.60%, 6/1/2026		3,270,000		3,417,114
Expedia Group, Inc.2, 6.25%, 5/1/2025		1,035,000		1,055,494
Photo Holdings Merger Sub, Inc.2, 8.50%, 10/1/2026		100,000		86,585
				6,515,003
Multiline Retail - 0.0%##
Staples, Inc.2, 7.50%, 4/15/2026		65,000		51,350

The accompanying notes are an integral part of the financial statements.

34

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®MODERATE TERM SERIES
	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Consumer Discretionary (continued)
Specialty Retail - 0.4%
The TJX Cos, Inc., 3.50%, 4/15/2025		1,330,000	$	1,434,347
Total Consumer Discretionary				8,560,598
Consumer Staples - 0.6%
Beverages - 0.6%
Keurig Dr Pepper, Inc., 3.20%, 5/1/2030		1,980,000		2,109,387
Food & Staples Retailing - 0.0%##
KeHE Distributors LLC - KeHE Finance Corp.2, 8.625%, 10/15/2026		60,000		63,450
Total Consumer Staples				2,172,837
Energy - 2.5%
Energy Equipment & Services - 0.0%##
Oceaneering International, Inc., 6.00%, 2/1/2028		105,000		53,944
Oil, Gas & Consumable Fuels - 2.5%
Antero Midstream Partners LP - Antero Midstream Finance Corp.2, 5.75%, 3/1/2027		80,000		59,200
Antero Midstream Partners LP - Antero Midstream Finance Corp.2, 5.75%, 1/15/2028		40,000		29,400
Bruin E&P Partners LLC4, 8.875%, 8/1/2023		110,000		2,750
Calumet Specialty Products Partners LP - Calumet Finance Corp.2, 11.00%, 4/15/2025		60,000		46,500
Cheniere Energy Partners LP, 5.625%, 10/1/2026		115,000		109,894
CVR Energy, Inc.2, 5.75%, 2/15/2028		80,000		67,641
Energy Transfer Operating LP, 6.50%, 2/1/2042		1,470,000		1,482,437
Genesis Energy LP - Genesis Energy Finance Corp., 7.75%, 2/1/2028		55,000		46,750
HollyFrontier Corp., 5.875%, 4/1/2026		110,000		112,499
Jonah Energy LLC - Jonah Energy Finance Corp.5, 7.25%, 10/15/2025		80,000		1,400
Kinder Morgan Energy Partners LP, 6.95%, 1/15/2038		1,910,000		2,277,168
Laredo Petroleum, Inc., 10.125%, 1/15/2028		55,000		22,406

	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Energy (continued)
Oil, Gas & Consumable Fuels (continued)
Lonestar Resources America, Inc.2, 11.25%, 1/1/2023		130,000	$	16,250
Moss Creek Resources Holdings, Inc.2, 7.50%, 1/15/2026		40,000		13,400
NuStar Logistics LP, 6.75%, 2/1/2021		40,000		38,600
PBF Holding Co. LLC - PBF Finance Corp.2, 6.00%, 2/15/2028		70,000		49,833
Sabine Pass Liquefaction LLC, 5.875%, 6/30/2026		2,690,000		2,871,245
Whiting Petroleum Corp.6,7, 5.75%, 3/15/2021		60,000		6,000
The Williams Companies, Inc., 3.75%, 6/15/2027		1,840,000		1,837,178
				9,090,551
Total Energy				9,144,495
Financials - 3.4%
Banks - 2.9%
Bank of America Corp., 4.00%, 1/22/2025		3,530,000		3,813,816
CIT Group, Inc., 4.125%, 3/9/2021		80,000		78,600
Citigroup, Inc., 4.45%, 9/29/2027		2,240,000		2,453,786
Fidelity & Guaranty Life Holdings, Inc.2, 5.50%, 5/1/2025		110,000		116,187
JPMorgan Chase & Co.8, (3 mo. LIBOR US + 1.000%), 4.023%, 12/5/2024		1,730,000		1,872,629
Popular, Inc., 6.125%, 9/14/2023		75,000		72,188
Santander Holdings USA, Inc., 4.50%, 7/17/2025		2,320,000		2,389,102
				10,796,308
Capital Markets - 0.1%
Advisor Group Holdings, Inc.2, 10.75%, 8/1/2027		45,000		34,123
Donnelley Financial Solutions, Inc., 8.25%, 10/15/2024		140,000		130,200
Oaktree Specialty Lending Corp., 3.50%, 2/25/2025		75,000		68,666
				232,989
Consumer Finance - 0.3%
Credit Acceptance Corp.2, 5.125%, 12/31/2024		40,000		35,100
Discover Financial Services, 4.50%, 1/30/2026		75,000		77,994
Navient Corp., 5.00%, 10/26/2020		60,000		58,832
Navient Corp., 6.75%, 6/25/2025		115,000		106,375

The accompanying notes are an integral part of the financial statements.

35

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®MODERATE TERM SERIES
	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds(continued)
Financials (continued)
Consumer Finance (continued)
SLM Corp., 5.125%, 4/5/2022		80,000	$	73,280
Springleaf Finance Corp., 7.125%, 3/15/2026		65,000		61,262
Visa, Inc., 2.70%, 4/15/2040		700,000		727,644
				1,140,487
Diversified Financial Services - 0.0%##
VistaJet Malta Finance plc - XO Management Holding, Inc. (Switzerland)2, 10.50%, 6/1/2024		130,000		103,675
Mortgage Real Estate Investment Trusts (REITS) - 0.1%
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp.2, 5.875%, 8/1/2021		85,000		75,225
Starwood Property Trust, Inc., 3.625%, 2/1/2021		110,000		103,400
				178,625
Thrifts & Mortgage Finance - 0.0%##
Acrisure LLC - Acrisure Finance, Inc.2, 7.00%, 11/15/2025		40,000		35,400
Radian Group, Inc., 4.875%, 3/15/2027		120,000		105,246
				140,646
Total Financials				12,592,730
Health Care - 0.5%
Health Care Providers & Services - 0.5%
HCA, Inc., 4.125%, 6/15/2029		1,810,000		1,958,054
Industrials - 2.2%
Aerospace & Defense - 0.1%
Howmet Aerospace, Inc., 6.875%, 5/1/2025		115,000		117,273
Air Freight & Logistics - 0.0%##
Cargo Aircraft Management, Inc.2, 4.75%, 2/1/2028		105,000		98,044
Airlines - 0.5%
Southwest Airlines Co., 5.25%, 5/4/2025		1,860,000		1,853,154
Building Products - 0.0%##
Griffon Corp., 5.75%, 3/1/2028		75,000		71,437
Commercial Services & Supplies - 0.1%
The ADT Security Corp., 6.25%, 10/15/2021		40,000		41,136
Prime Security Services Borrower LLC - Prime Finance, Inc.2, 5.25%, 4/15/2024		70,000		68,578

	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Industrials (continued)
Commercial Services & Supplies (continued)
Prime Security Services Borrower LLC - Prime Finance, Inc.2, 5.75%, 4/15/2026		65,000	$	64,044
Prime Security Services Borrower LLC - Prime Finance, Inc.2, 6.25%, 1/15/2028		95,000		84,294
Stericycle, Inc.2, 5.375%, 7/15/2024		70,000		70,201
				328,253
Construction & Engineering - 0.1%
HC2 Holdings, Inc.2, 11.50%, 12/1/2021		33,000		28,710
Tutor Perini Corp.2, 6.875%, 5/1/2025		150,000		118,125
				146,835
Industrial Conglomerates - 0.4%
General Electric Co.8,9, (3 mo. LIBOR US + 3.330%), 5.00%		1,910,000		1,565,006
Marine - 0.0%##
American Tanker, Inc. (Norway)2, 9.25%, 2/22/2022		40,000		40,000
Trading Companies & Distributors - 1.0%
AerCap Ireland Capital DAC - AerCap Global Aviation Trust (Ireland), 4.45%, 10/1/2025		2,590,000		2,279,327
Air Lease Corp., 3.25%, 3/1/2025		80,000		71,865
Air Lease Corp., 3.625%, 4/1/2027		535,000		459,188
Avolon Holdings Funding Ltd. (Ireland)2, 3.25%, 2/15/2027		1,150,000		890,013
Fortress Transportation & Infrastructure Investors LLC2, 6.50%, 10/1/2025		90,000		73,800
				3,774,193
Total Industrials				7,994,195
Information Technology - 0.0%##
IT Services - 0.0%##
Science Applications International Corp.2, 4.875%, 4/1/2028		85,000		83,241
Materials - 0.2%
Chemicals - 0.1%
CF Industries, Inc., 3.45%, 6/1/2023		15,000		15,187
OCI N.V. (Netherlands)2, 5.25%, 11/1/2024		200,000		197,032
PolyOne Corp.2, 5.75%, 5/15/2025		70,000		70,875
				283,094

The accompanying notes are an integral part of the financial statements.

36

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®MODERATE TERM SERIES
	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Materials (continued)
Containers & Packaging - 0.0%##
Berry Global, Inc.2, 4.50%, 2/15/2026		80,000	$	78,968
Graphic Packaging International LLC, 4.75%, 4/15/2021		50,000		50,327
				129,295
Metals & Mining - 0.1%
Compass Minerals International, Inc.2, 6.75%, 12/1/2027		60,000		59,400
IAMGOLD Corp. (Canada)2, 7.00%, 4/15/2025		150,000		151,182
Infrabuild Australia Pty Ltd. (Australia)2, 12.00%, 10/1/2024		60,000		51,000
Kinross Gold Corp. (Canada), 4.50%, 7/15/2027		30,000		31,558
Mountain Province Diamonds, Inc. (Canada)2, 8.00%, 12/15/2022		40,000		25,200
Northwest Acquisitions ULC - Dominion Finco, Inc.10, 7.125%, 11/1/2022		80,000		8,200
				326,540
Total Materials				738,929
Real Estate - 2.1%
Equity Real Estate Investment Trusts (REITS) - 2.1%
American Tower Corp., 3.80%, 8/15/2029		2,260,000		2,526,347
Camden Property Trust, 2.80%, 5/15/2030		2,000,000		2,074,358
Crown Castle International Corp., 3.10%, 11/15/2029		2,270,000		2,422,837
GTP Acquisition Partners I LLC2, 2.35%, 6/15/2020		589,000		593,399
HAT Holdings I LLC - HAT Holdings II LLC2, 6.00%, 4/15/2025		110,000		110,000
Iron Mountain, Inc., 5.75%, 8/15/2024		75,000		73,688
				7,800,629
Real Estate Management & Development - 0.0%##
Five Point Operating Co. LP - Five Point Capital Corp.2, 7.875%, 11/15/2025		60,000		57,975
Forestar Group, Inc.2, 5.00%, 3/1/2028		90,000		78,525
				136,500
Total Real Estate				7,937,129

	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Utilities - 0.5%
Electric Utilities - 0.4%
Dominion Energy, Inc., 3.375%, 4/1/2030		1,330,000	$	1,446,080
NextEra Energy Operating Partners LP2, 4.25%, 7/15/2024		40,000		40,712
				1,486,792
Independent Power and Renewable Electricity Producers - 0.1%
Drax Finco plc (United Kingdom)2, 6.625%, 11/1/2025		200,000		204,000
Vistra Operations Co. LLC2, 5.625%, 2/15/2027		75,000		78,938
				282,938
Total Utilities				1,769,730
TOTAL CORPORATE BONDS
(Identified Cost $64,282,089)				65,202,342
U.S. TREASURY SECURITIES - 18.4%
U.S. Treasury Bonds - 4.6%
U.S. Treasury Bond, 2.50%, 2/15/2045		3,274,000		4,132,402
U.S. Treasury Bond, 3.00%, 5/15/2047		2,685,000		3,752,183
U.S. Treasury Inflation Indexed Bond, 2.00%, 1/15/2026		8,054,456		9,131,362
Total U.S. Treasury Bonds
(Identified Cost $14,382,379)				17,015,947
U.S. Treasury Notes - 13.8%
U.S. Treasury Floating Rate Note11, (3 mo. US Treasury Bill Yield + 0.300%), 0.41%, 10/31/2021		7,280,000		7,305,725
U.S. Treasury Inflation Indexed Note, 0.50%, 4/15/2024		6,015,437		6,169,741
U.S. Treasury Note, 2.375%, 8/15/2024		14,585,000		15,855,490
U.S. Treasury Note, 2.125%, 5/15/2025		6,665,000		7,246,625
U.S. Treasury Note, 1.625%, 5/15/2026		13,685,000		14,633,862
Total U.S. Treasury Notes
(Identified Cost $51,143,956)				51,211,443
TOTAL U.S. TREASURY SECURITIES
(Identified Cost $65,526,335)				68,227,390

The accompanying notes are an integral part of the financial statements.

37

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®MODERATE TERM SERIES
	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
ASSET-BACKED SECURITIES - 6.2%
Cazenovia Creek Funding II LLC, Series 2018-1A, Class A2, 3.561%, 7/15/2030		658,881	$	649,850
Chesapeake Funding II LLC, Series 2017-2A, Class A1 (Canada)2, 1.99%, 5/15/2029		1,419,040		1,413,538
Commonbond Student Loan Trust, Series 2019-AGS, Class A12, 2.54%, 1/25/2047		1,578,110		1,613,230
Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A2, 2.01%, 2/15/2029		1,190,000		1,183,458
Invitation Homes Trust, Series 2017-SFR2, Class A2,11, (1 mo. LIBOR US + 0.850%), 1.601%, 12/17/2036		495,067		478,634
Invitation Homes Trust, Series 2017-SFR2, Class B2,11, (1 mo. LIBOR US + 1.150%), 1.901%, 12/17/2036		400,000		379,653
Navient Private Education Refi Loan Trust, Series 2019-CA, Class A12, 2.82%, 2/15/2068		535,150		537,151
Navient Student Loan Trust, Series 2014-1, Class A311, (1 mo. LIBOR US + 0.510%), 0.997%, 6/25/2031		1,159,397		1,107,224
Navient Student Loan Trust, Series 2019-2A, Class A22,11, (1 mo. LIBOR US + 1.000%), 1.487%, 2/27/2068		2,590,000		2,434,456
Oxford Finance Funding LLC, Series 2020-1A, Class A22, 3.101%, 2/15/2028		1,035,000		1,020,225
Progress Residential Trust, Series 2019-SFR2, Class A2, 3.147%,  5/17/2036		1,285,000		1,320,681
SLM Student Loan Trust, Series 2005-7, Class A411, (3 mo. LIBOR US + 0.150%), 1.141%, 10/25/2029		1,044,142		1,015,242
SMB Private Education Loan Trust, Series 2020-A, Class A2A2, 2.23%, 9/15/2037		1,380,000		1,348,520
SoFi Consumer Loan Program Trust, Series 2019-2, Class A2, 3.01%, 4/25/2028		565,844		566,161
SoFi Professional Loan Program LLC, Series 2017-F, Class A1FX2, 2.05%, 1/25/2041		10,960		10,962
SoFi Professional Loan Program LLC, Series 2017-F, Class A2FX2, 2.84%, 1/25/2041		300,000		303,994

	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
ASSET-BACKED SECURITIES (continued)
SoFi Professional Loan Program LLC, Series 2018-A, Class A2A2, 2.39%, 2/25/2042		161,426	$	161,637
SoFi Professional Loan Program Trust, Series 2018-B, Class A2FX2, 3.34%, 8/25/2047		900,000		908,262
SoFi Professional Loan Program Trust, Series 2018-C, Class A1FX2, 3.08%, 1/25/2048		641,046		641,757
SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX2, 2.54%, 5/15/2046		880,000		872,489
Tax Ease Funding LLC, Series 2016-1A, Class A2, 3.131%, 6/15/2028		185,038		185,047
Towd Point Mortgage Trust, Series 2016-5, Class A12,12, 2.50%, 10/25/2056		997,087		993,218
Towd Point Mortgage Trust, Series 2017-1, Class A12,12, 2.75%, 10/25/2056		789,236		793,484
Towd Point Mortgage Trust, Series 2019-HY1, Class A12,11, (1 mo. LIBOR US + 1.000%), 1.487%, 10/25/2048		707,606		698,604
Tricon American Homes Trust, Series 2016-SFR1, Class A2, 2.589%, 11/17/2033		1,142,000		1,144,429
Tricon American Homes Trust, Series 2017-SFR2, Class A2, 2.928%, 1/17/2036		1,244,453		1,264,891
TOTAL ASSET-BACKED SECURITIES
(Identified Cost $23,245,402)				23,046,797
COMMERCIAL MORTGAGE-BACKED SECURITIES - 6.8%
Americold LLC Trust, Series 2010-ARTA, Class A12, 3.847%, 1/14/2029		38,734		38,850
CIM Trust, Series 2019-INV1, Class A12,12, 4.00%, 2/25/2049		395,354		400,594
Credit Suisse Mortgage Capital Trust, Series 2013-IVR2, Class A22,12, 3.00%, 4/25/2043		813,858		832,049
Credit Suisse Mortgage Capital Trust, Series 2013-IVR3, Class A12,12, 2.50%, 5/25/2043		777,468		759,432
Credit Suisse Mortgage Capital Trust, Series 2013-TH1, Class A12,12, 2.13%, 2/25/2043		535,335		517,533

The accompanying notes are an integral part of the financial statements.

38

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®MODERATE TERM SERIES
	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Fannie Mae REMICS, Series 2018-31, Class KP, 3.50%, 7/25/2047		916,241	$	949,110
Fannie Mae-Aces, Series 2017-M15, Class A112, 3.058%, 9/25/2027		1,217,091		1,318,423
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class A2, 3.144%, 12/10/2036		1,210,000		1,155,902
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K009, Class X1 (IO)12, 1.375%, 8/25/2020		9,376,125		15,760
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K014, Class X1 (IO)12, 1.324%, 4/25/2021		7,633,747		61,068
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K016, Class X1 (IO)12, 1.635%, 10/25/2021		4,904,792		86,608
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K017, Class X1 (IO)12, 1.433%, 12/25/2021		7,258,515		112,392
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K021, Class X1 (IO)12, 1.551%, 6/25/2022		9,502,181		232,175
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K030, Class X1 (IO)12, 0.291%, 4/25/2023		49,123,564		235,287
Freddie Mac Multifamily Structured Pass-Through Certificates, Series  K032, Class X1 (IO)12, 0.208%, 5/25/2023		37,053,149		123,179
Freddie Mac REMICS, Series 4791, Class BA, 4.00%, 3/15/2044		971,287		1,005,247
Freddie Mac REMICS, Series 4801, Class BA, 4.50%, 5/15/2044		692,414		711,827
FREMF Mortgage Trust, Series 2013-K28, Class X2A (IO)2, 0.10%, 6/25/2046		122,404,188		266,229
FREMF Mortgage Trust, Series 2014-K37, Class B2,12, 4.715%, 1/25/2047		1,657,000		1,755,703
Government National Mortgage Association, Series 2017-54, Class AH, 2.60%, 12/16/2056		1,411,364		1,462,868
GS Mortgage Securities Corp. Trust, Series 2019-70P, Class A2,11, (1 mo. LIBOR US + 1.000%), 1.814%, 10/15/2036		1,000,000		941,824

	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
GS Mortgage Securities Trust, Series 2010-C2, Class A12, 3.849%, 12/10/2043		17,240	$	17,279
JP Morgan Mortgage Trust, Series 2013-1, Class 1A22,12, 3.00%, 3/25/2043		435,575		439,952
JP Morgan Mortgage Trust, Series 2013-2, Class A22,12, 3.50%, 5/25/2043		439,710		451,551
JP Morgan Mortgage Trust, Series 2014-2, Class 1A12,12, 3.00%, 6/25/2029		578,036		585,339
JP Morgan Mortgage Trust, Series 2017-3, Class 1A52,12, 3.50%, 8/25/2047		788,519		796,887
JP Morgan Mortgage Trust, Series 2017-6, Class A52,12, 3.50%, 12/25/2048		903,718		916,667
New Residential Mortgage Loan Trust, Series 2014-3A, Class AFX32,12, 3.75%, 11/25/2054		440,207		449,435
New Residential Mortgage Loan Trust, Series 2015-2A, Class A12,12, 3.75%, 8/25/2055		575,231		587,145
New Residential Mortgage Loan Trust, Series 2016-4A, Class A12,12, 3.75%, 11/25/2056		630,240		642,575
PMT Loan Trust, Series 2013-J1, Class A92,12, 3.50%, 9/25/2043		961,931		990,686
Sequoia Mortgage Trust, Series 2013-2, Class A12, 1.874%, 2/25/2043		843,791		825,738
Sequoia Mortgage Trust, Series 2013-6, Class A212, 3.00%, 5/25/2043		1,295,681		1,324,085
Sequoia Mortgage Trust, Series 2013-7, Class A212, 3.00%, 6/25/2043		561,080		568,745
Sequoia Mortgage Trust, Series 2013-8, Class A112, 3.00%, 6/25/2043		647,850		660,897
Starwood Retail Property Trust, Series 2014-STAR, Class A2,11, (1 mo. LIBOR US + 1.470%), 2.284%, 11/15/2027		1,572,370		1,468,834
Waikiki Beach Hotel Trust, Series 2019-WBM, Class A2,11, (1 mo. LIBOR US + 1.050%), 1.864%, 12/15/2033		965,000		886,004
WinWater Mortgage Loan Trust, Series 2015-1, Class A12,12, 3.50%, 1/20/2045		562,657		577,064

The accompanying notes are an integral part of the financial statements.

39

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®MODERATE TERM SERIES
	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
WinWater Mortgage Loan Trust, Series 2015-3, Class A52,12, 3.50%, 3/20/2045		218,792	$	218,432
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Identified Cost $25,328,913)				25,389,375
FOREIGN GOVERNMENT BONDS - 1.5%
Canadian Government Bond
(Canada), 2.75%, 6/1/2022	CAD	433,000		326,952
Export-Import Bank of Korea (South Korea), 2.625%, 12/30/2020		3,700,000		3,724,724
Mexican Government Bond (Mexico), 8.00%, 6/11/2020	MXN	8,562,000		355,763
Mexican Government Bond (Mexico), 6.50%, 6/10/2021	MXN	3,460,000		145,249
Mexican Government Bond (Mexico), 6.50%, 6/9/2022	MXN	5,621,000		238,922
Mexican Government Bond (Mexico), 7.75%, 5/29/2031	MXN	1,081,000		47,615
Mexico Government International Bond (Mexico), 4.125%, 1/21/2026		200,000		205,002
Republic of Italy Government International Bond (Italy), 2.375%, 10/17/2024		500,000		488,156
Saudi Government International Bond (Saudi Arabia), 2.90%, 10/22/2025		200,000		202,500
TOTAL FOREIGN GOVERNMENT BONDS
(Identified Cost $6,410,063)				5,734,883
U.S. GOVERNMENT AGENCIES - 6.2%
Mortgage-Backed Securities - 6.2%
Fannie Mae, Pool #888468, UMBS, 5.50%, 9/1/2021		36,070		36,548
Fannie Mae, Pool #995233, UMBS, 5.50%, 10/1/2021		643		649
Fannie Mae, Pool #888017, UMBS, 6.00%, 11/1/2021		6,989		7,147
Fannie Mae, Pool #995329, UMBS, 5.50%, 12/1/2021		27,329		27,737
Fannie Mae, Pool #888136, UMBS, 6.00%, 12/1/2021		8,376		8,584
Fannie Mae, Pool #888810, UMBS, 5.50%, 11/1/2022		40,302		40,861
Fannie Mae, Pool #AD0462, UMBS, 5.50%, 10/1/2024		12,184		12,935

	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Fannie Mae, Pool #MA3463, UMBS, 4.00%, 9/1/2033		1,607,588	$	1,700,338
Fannie Mae, Pool #MA1834, UMBS, 4.50%, 2/1/2034		437,956		481,418
Fannie Mae, Pool #MA1903, UMBS, 4.50%, 5/1/2034		421,056		462,847
Fannie Mae, Pool #745418, UMBS, 5.50%, 4/1/2036		374,368		427,906
Fannie Mae, Pool #889576, UMBS, 6.00%, 4/1/2038		329,200		380,040
Fannie Mae, Pool #MA3412, UMBS, 3.50%, 7/1/2038		1,281,866		1,352,599
Fannie Mae, Pool #995196, UMBS, 6.00%, 7/1/2038		723,070		834,618
Fannie Mae, Pool #AD0207, UMBS, 6.00%, 10/1/2038		105,518		121,790
Fannie Mae, Pool #AD0220, UMBS, 6.00%, 10/1/2038		34,442		39,666
Fannie Mae, Pool #MA0258, UMBS, 4.50%, 12/1/2039		623,123		691,952
Fannie Mae, Pool #AL1595, UMBS, 6.00%, 1/1/2040		450,952		520,602
Fannie Mae, Pool #AL0152, UMBS, 6.00%, 6/1/2040		542,806		626,824
Fannie Mae, Pool #AX5234, UMBS, 4.50%, 11/1/2044		709,201		778,432
Fannie Mae, Pool #AZ9215, UMBS, 4.00%, 10/1/2045		531,185		584,881
Fannie Mae, Pool #BE7845, UMBS, 4.50%, 2/1/2047		268,568		291,316
Fannie Mae, Pool #CA1922, UMBS, 5.00%, 6/1/2048		1,274,028		1,384,675
Fannie Mae, Pool #CA2056, UMBS, 4.50%, 7/1/2048		1,330,680		1,436,047
Fannie Mae, Pool #MA3443, UMBS, 4.00%, 8/1/2048		793,555		844,457
Fannie Mae, Pool #BK9598, UMBS, 4.50%, 8/1/2048		369,546		398,805
Fannie Mae, Pool #CA2373, UMBS, 5.00%, 9/1/2048		1,186,299		1,287,892
Fannie Mae, Pool #BN0622, UMBS, 4.50%, 1/1/2049		1,105,782		1,191,961
Fannie Mae, Pool #AL8674, 5.645%, 1/1/2049		1,380,769		1,606,701
Fannie Mae, Pool #MA3996, 2.50%, 4/1/2050		998,446		1,022,988
Freddie Mac, Pool #G11850, 5.50%, 7/1/2020		84		84
Freddie Mac, Pool #G12610, 6.00%, 3/1/2022		11,277		11,573

The accompanying notes are an integral part of the financial statements.

40

Investment Portfolio - April 30, 2020 

(unaudited)

PRO-BLEND® MODERATE TERM SERIES
	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Freddie Mac, Pool #G12655, 6.00%, 5/1/2022		7,763	$	7,995
Freddie Mac, Pool #G12988, 6.00%, 1/1/2023		7,349		7,651
Freddie Mac, Pool #G13078, 6.00%, 3/1/2023		11,862		12,318
Freddie Mac, Pool #G13331, 5.50%, 10/1/2023		5,974		6,234
Freddie Mac, Pool #C91762, 4.50%, 5/1/2034		581,558		639,458
Freddie Mac, Pool #G03696, 5.50%, 1/1/2038		1,075		1,229
Freddie Mac, Pool #G03781, 6.00%, 1/1/2038		156,928		180,654
Freddie Mac, Pool #G03926, 6.00%, 2/1/2038		155,651		179,650
Freddie Mac, Pool #G04731, 5.50%, 4/1/2038		165,996		189,607
Freddie Mac, Pool #G08273, 5.50%, 6/1/2038		211,563		241,607
Freddie Mac, Pool #G05900, 6.00%, 3/1/2040		85,485		98,657
Freddie Mac, Pool #G05906, 6.00%, 4/1/2040		101,763		116,395
Freddie Mac, Pool #A92889, 4.50%, 7/1/2040		1,203,310		1,334,010
Freddie Mac, Pool #G60183, 4.00%, 12/1/2044		539,790		595,349

	PRINCIPAL AMOUNT3/ SHARES		VALUE (NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Freddie Mac, Pool #Q59805, 4.50%, 11/1/2048		602,624	$	649,960
TOTAL U.S. GOVERNMENT AGENCIES
(Identified Cost $21,878,913)				22,875,647
SHORT-TERM INVESTMENT - 1.2%
Dreyfus Government Cash Management, Institutional Shares, 0.17%13
(Identified Cost $4,626,676)		4,626,676		4,626,676
TOTAL INVESTMENTS IN SECURITIES - 99.8%
(Identified Cost $350,600,064)				370,722,811
TOTAL OPTIONS WRITTEN — (0.0%)**
(Premiums Received $34,919)				(34,290	)
TOTAL INVESTMENTS - 99.8%				370,688,521
OTHER ASSETS, LESS LIABILITIES - 0.2%				796,945
NET ASSETS - 100%			$	371,485,466

ADR - American Depositary Receipt

CAD - Canadian Dollar

IO - Interest only

LIBOR - London Interbank Offered Rate

MXN - Mexican Peso

UMBS - Uniform Mortgage-Backed Securities

EXCHANGE-TRADED OPTIONS WRITTEN
DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		EXERCISE PRICE		NOTIONAL AMOUNT (000)3		VALUE
Call
Amazon.com, Inc.		2		05/01/2020		2,590.00		495		$	(5,030	)
Facebook, Inc. - Class A		33		05/01/2020		207.50		676			(3,630	)
Booking Holdings, Inc.		5		05/15/2020		1,510.00		740			(22,400	)
											(31,060	)
Put
Charter Communications, Inc. - Class A		19		05/08/2020		460.00		941			(3,230	)
TOTAL EXCHANGE-TRADED OPTIONS WRITTEN (PREMIUMS RECEIVED $34,919)										$	(34,290	)

The accompanying notes are an integral part of the financial statements.

41

Investment Portfolio - April 30, 2020 

(unaudited)

*Non-income producing security. ** Less than (0.1%).

## Less than 0.1%.

¹ A portion of this security is designated as collateral for options contracts written. As of April 30, 2020, the total value of such securities was $8,469,536.

² Restricted 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 under the Fund’s Liquidity Risk Management Program. These securities2 amount to $45,172,502, or 12.2% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

³ Amount is stated in USD unless otherwise noted.

⁴ Restricted security - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security was acquired on January 17, 2019 and March 26, 2020 at a cost of $37,750 ($94.38 per share) and cost of $7,350 ($10.50 per share), respectively. This security has been sold under rule 144A and has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $2,750, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁵ Restricted security - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security was acquired on November 28, 2017 at a cost of $80,800 ($101.00 per share). This security has been sold under rule 144A and has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $1,400, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁶ Illiquid security - This security was acquired on January 8, 2020 and February 5, 2020 at a cost of $39,575 ($98.94 per share) and cost of $18,649 ($93.25 per share), respectively. This security has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $6,000, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁷ Issuer filed for bankruptcy and/or is in default of interest payments.

8	Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of April 30, 2020.
9	Security is perpetual in nature and has no stated maturity date.

¹⁰ Restricted security - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security was acquired on October 10, 2017 at a cost of $81,600 ($102.00 per share). This security has been sold under rule 144A and has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $8,200, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

¹¹ Floating rate security. Rate shown is the rate in effect as of April 30, 2020.

¹² Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of April 30, 2020.

¹³ Rate shown is the current yield as of April 30, 2020.

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 S&P Global 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.

42

Statement of Assets and Liabilities - Pro-Blend^®Moderate Term Series 

April 30, 2020 (unaudited)

ASSETS:
Investments in securities, at value (identified cost $350,600,064) (Note 2)	$	370,722,811
Cash		201,766
Receivable for securities sold		4,609,190
Interest receivable		1,297,199
Receivable for fund shares sold		524,110
Foreign tax reclaims receivable		311,082
Dividends receivable		84,279
Prepaid expenses		32,052
TOTAL ASSETS		377,782,489
LIABILITIES:
Accrued management fees (Note 3)		173,806
Accrued sub-transfer agent fees (Note 3)		127,227
Accrued distribution and service (Rule 12b-1) fees (Class S) (Class R) (Class L) (Note 3)		111,490
Accrued fund accounting and administration fees (Note 3)		32,871
Accrued Chief Compliance Officer service fees (Note 3)		956
Options written, at value (premiums received $34,919) (Note 2)		34,290
Payable for securities purchased		3,486,881
Payable for fund shares repurchased		2,239,116
Other payables and accrued expenses		90,386
TOTAL LIABILITIES		6,297,023
TOTAL NET ASSETS	$	371,485,466
NET ASSETS CONSIST OF:
Capital stock	$	325,214
Additional paid-in-capital		337,607,844
Total distributable earnings (loss)		33,552,408
TOTAL NET ASSETS	$	371,485,466

The accompanying notes are an integral part of the financial statements.

43

Statement of Assets and Liabilities - Pro-Blend^®Moderate Term Series 

April 30, 2020 (unaudited)

NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S
($180,564,098/13,180,006 shares)	$	13.70
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I
($91,071,147/9,320,698 shares)	$	9.77
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class R
($7,584,133/727,984 shares)	$	10.42
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class L
($92,010,585/9,274,185 shares)	$	9.92
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class W
($255,503/18,558 shares)	$	13.77

The accompanying notes are an integral part of the financial statements.

44

Statement of Operations - Pro-Blend^®Moderate Term Series

For the Six Months Ended April 30, 2020 (unaudited)

INVESTMENT INCOME:
Interest	$	3,288,212
Dividends (net of foreign taxes withheld, $95,270)		1,169,067
Total Investment Income		4,457,279
EXPENSES:
Management fees (Note 3)		1,136,597
Distribution and service (Rule 12b-1) fees (Class L) (Note 3)		461,720
Distribution and service (Rule 12b-1) fees (Class S) (Note 3)		222,567
Distribution and service (Rule 12b-1) fees (Class R) (Note 3)		18,816
Sub-transfer agent fees (Note 3)		168,560
Fund accounting and administration fees (Note 3)		59,315
Directors’ fees (Note 3)		20,294
Chief Compliance Officer service fees (Note 3)		1,438
Custodian fees		28,302
Miscellaneous		160,042
Total Expenses		2,277,651
Less reduction of expenses (Note 3)		(15,786	)
Net Expenses		2,261,865
NET INVESTMENT INCOME		2,195,414
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on-
Investments in securities		13,097,083
Options written		307,246
Foreign currency and translation of other assets and liabilities		(29,876	)
		13,374,453
Net change in unrealized appreciation (depreciation) on-
Investments in securities		(6,704,258	)
Options written		23,108
Foreign currency and translation of other assets and liabilities		(4,662	)
		(6,685,812	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY		6,688,641
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	8,884,055

The accompanying notes are an integral part of the financial statements.

45

Statements of Changes in Net Assets - Pro-Blend^®Moderate Term Series

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income		$     2,195,414			$     6,297,218
Net realized gain (loss) on investments and foreign currency		13,374,453			17,109,542
Net change in unrealized appreciation (depreciation) on investments and foreign currency		(6,685,812	)		23,602,868
Net increase from operations		8,884,055			47,009,628
DISTRIBUTIONS TO SHAREHOLDERS (Note 9):
Class S		(7,749,038	)		(15,080,047	)
Class I		(6,797,132	)		(8,499,100	)
Class R		(405,657	)		(916,708	)
Class L		(5,104,076	)		(5,668,759	)
Class W		(12,386.00	)		(36	)
Total distributions to shareholders		(20,068,289	)		(30,164,650	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase (decrease) from capital share transactions (Note 5)		(10,373,563	)		(183,247,257	)
Net increase (decrease) in net assets		(21,557,797	)		(166,402,279	)
NET ASSETS:
Beginning of period		393,043,263			559,445,542
End of period		$371,485,466			$393,043,263

The accompanying notes are an integral part of the financial statements.

46

Financial Highlights - Pro-Blend^®Moderate Term Series - Class S

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)
				FOR THE YEAR ENDED
				10/31/19		10/31/18		10/31/17		10/31/16		10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$13.96		$13.13		$14.17		$13.37		$13.15		$14.53
Income (loss) from investment operations:
Net investment income1		0.09		0.20		0.17		0.13		0.13		0.15
Net realized and unrealized gain (loss) on investments		0.25		1.28		(0.38	)	0.97		0.23		(0.44	)
Total from investment operations		0.34		1.48		(0.21	)	1.10		0.36		(0.29	)
Less distributions to shareholders:
From net investment income		(0.10	)	(0.17	)	(0.12	)	(0.10	)	(0.10	)	(0.12	)
From net realized gain on investments		(0.50	)	(0.48	)	(0.71	)	(0.20	)	(0.04	)	(0.97	)
Total distributions to shareholders		(0.60	)	(0.65	)	(0.83	)	(0.30	)	(0.14	)	(1.09	)
Net asset value - End of period		$13.70		$13.96		$13.13		$14.17		$13.37		$13.15
Net assets - End of period(000’s omitted)		$180,564		$179,977		$318,691		$426,426		$511,577		$683,089
Total return2		2.46%		11.85%		(1.67%	)	8.46%		2.77%		(1.99%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		1.08%3		1.09%		1.10%		1.08%		1.07%		1.06%
Net investment income		1.28%3		1.53%		1.24%		0.98%		0.97%		1.08%
Series portfolio turnover		62%		53%		74%		68%		67%		56%
*For certain periods presented, 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		0.00%4		N/A		N/A		N/A		N/A

¹Calculated based on average shares outstanding during the periods.

²Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain periods. Periods less than one year are not annualized.

³Annualized.

⁴Less than 0.01%.

The accompanying notes are an integral part of the financial statements.

47

Financial Highlights - Pro-Blend^®Moderate Term Series - Class I

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)
				FOR THE YEAR ENDED
				10/31/19		10/31/18		10/31/17		10/31/16		10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.14		$9.72		$10.72		$10.20		$10.07		$11.40
Income (loss) from investment operations:
Net investment income1		0.07		0.17		0.15		0.13		0.12		0.14
Net realized and unrealized gain (loss) on investments		0.18		0.93		(0.29	)	0.73		0.18		(0.35	)
Total from investment operations		0.25		1.10		(0.14	)	0.86		0.30		(0.21	)
Less distributions to shareholders:
From net investment income		(0.12	)	(0.20	)	(0.15	)	(0.14	)	(0.13	)	(0.15	)
From net realized gain on investments		(0.50	)	(0.48	)	(0.71	)	(0.20	)	(0.04	)	(0.97	)
Total distributions to shareholders		(0.62	)	(0.68	)	(0.86)		(0.34	)	(0.17	)	(1.12	)
Net asset value - End of period		$9.77		$10.14		$9.72		$10.72		$10.20		$10.07
Net assets - End of period(000’s omitted)		$91,071		$111,637		$125,647		$140,706		$299,009		$740,524
Total return2		2.50%		12.20%		(1.49%	)	8.72%		3.08%		(1.76%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.85%3		0.85%		0.85%		0.83%		0.82%		0.81%
Net investment income		1.50%3		1.76%		1.50%		1.24%		1.24%		1.33%
Series portfolio turnover		62%		53%		74%		68%		67%		56%
*For certain periods presented, 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:
		0.03%3		0.02%		N/A		N/A		N/A		N/A

¹Calculated based on average shares outstanding during the periods.

²Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain periods. Periods less than one year are not annualized.

³Annualized.

The accompanying notes are an integral part of the financial statements.

48

Financial Highlights - Pro-Blend^®Moderate Term Series - Class R

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)
				FOR THE YEAR ENDED
				10/31/19		10/31/18		10/31/17		10/31/16		10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.76		$10.25		$11.25		$10.68		$10.53		$11.87
Income (loss) from investment operations:
Net investment income1		0.05		0.13		0.11		0.08		0.07		0.09
Net realized and unrealized gain (loss) on investments		0.20		0.99		(0.31)		0.77		0.20		(0.36)
Total from investment operations		0.25		1.12		(0.20	)	0.85		0.27		(0.27	)
Less distributions to shareholders:
From net investment income		(0.09	)	(0.13	)	(0.09	)	(0.08	)	(0.08	)	(0.10	)
From net realized gain on investments		(0.50	)	(0.48	)	(0.71	)	(0.20	)	(0.04	)	(0.97	)
Total distributions to shareholders		(0.59	)	(0.61	)	(0.80	)	(0.28	)	(0.12	)	(1.07	)
Net asset value - End of period		$10.42		$10.76		$10.25		$11.25		$10.68		$10.53
Net assets - End of period(000’s omitted)		$7,584		$7,610		$16,537		$22,662		$29,499		$39,917
Total return2		2.34%		11.60%		(1.96%	)	8.21%		2.55%		(2.30%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		1.35%3		1.35%		1.35%		1.33%		1.32%		1.31%
Net investment income		1.01%3		1.26%		1.00%		0.73%		0.72%		0.83%
Series portfolio turnover		62%		53%		74%		68%		67%		56%
*For certain periods presented, 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:
		0.04%3		0.03%		N/A		N/A		N/A		N/A

¹Calculated based on average shares outstanding during the periods.

²Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain periods. Periods less than one year are not annualized.

³Annualized.

The accompanying notes are an integral part of the financial statements.

49

Financial Highlights - Pro-Blend^®Moderate Term Series - Class L*

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)
				FOR THE YEAR ENDED
				10/31/19		10/31/18		10/31/17		10/31/16		10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.28		$9.84		$10.83		$10.29		$10.16		$11.49
Income (loss) from investment operations:
Net investment income1		0.03		0.08		0.05		0.02		0.02		0.03
Net realized and unrealized gain (loss) on investments		0.18		0.95		(0.29	)	0.75		0.18		(0.35	)
Total from investment operations		0.21		1.03		(0.24	)	0.77		0.20		(0.32	)
Less distributions to shareholders:
From net investment income		(0.07	)	(0.11	)	(0.04	)	(0.03	)	(0.03	)	(0.04	)
From net realized gain on investments		(0.50	)	(0.48	)	(0.71	)	(0.20	)	(0.04	)	(0.97	)
Total distributions to shareholders		(0.57	)	(0.59	)	(0.75	)	(0.23	)	(0.07	)	(1.01	)
Net asset value - End of period		$9.92		$10.28		$9.84		$10.83		$10.29		$10.16
Net assets - End of period(000’s omitted)		$92,011		$93,687		$98,571		$116,724		$128,677		$148,143
Total return2		2.01%		11.10%		(2.42%	)	7.71%		1.98%		(2.77%	)
Ratios (to average net assets)/Supplemental Data:
Expenses**		1.78%3		1.80%		1.85%		1.83%		1.82%		1.81%
Net investment income		0.57%3		0.81%		0.50%		0.23%		0.22%		0.33%
Series portfolio turnover		62%		53%		74%		68%		67%		56%
*Effective March 1, 2019, Class R2 shares of the Series have been redesignated as Class L Shares.
**For certain periods presented, 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		0.01%		N/A		N/A		N/A		N/A

¹Calculated based on average shares outstanding during the periods.

²Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain periods. Periods less than one year are not annualized.

³Annualized.

The accompanying notes are an integral part of the financial statements.

50

Financial Highlights - Pro-Blend^®Moderate Term Series - Class W

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE PERIOD 4/1/191TO 10/31/19
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$14.00			$13.27
Income from investment operations:
Net investment income2		0.15			0.23
Net realized and unrealized gain (loss) on investments		0.26			0.59
Total from investment operations		0.41			0.82
Less distributions to shareholders:
From net investment income		(0.14	)		(0.09	)
From net realized gains on investments		(0.50	)		—	3
Total distributions to shareholders		(0.64	)		(0.09	)
Net asset value - End of period		$13.77			$14.00
Net assets - End of period(000’s omitted)		$256			$132
Total return4		2.97%			6.25%
Ratios (to average net assets)/Supplemental Data:
Expenses*5		0.10%			0.10%
Net investment income5		2.26%			3.15%
Series portfolio turnover		62%			53%
*The investment advisor did not impose all or a portion of its management and/or other fees during the period, and 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 amounts5:
		0.64%			0.64%

¹Commencement of operations.

²Calculated based on average shares outstanding during the periods.

³Less than $(0.01).

⁴Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁵Annualized.

The accompanying notes are an integral part of the financial statements.

51

Shareholder Expense Example - Pro-Blend^®Extended Term Series 

(unaudited)

As a shareholder of the Series, you incur ongoing costs, including management fees, shareholder service 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 (November 1, 2019 to April 30, 2020).

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 such as sales charges (loads), redemption fees, or exchange fees that you may incur in other mutual funds. 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.

	BEGINNING ACCOUNT VALUE 11/1/19	ENDING ACCOUNT VALUE 4/30/20	EXPENSES PAID DURING PERIOD 11/1/19-4/30/201	ANNUALIZED EXPENSE RATIO
Class S
Actual	$1,000.00	$1,029.90	$5.20	1.03%
Hypothetical
(5% return before expenses)	$1,000.00	$1,019.74	$5.17	1.03%
Class I
Actual	$1,000.00	$1,030.10	$4.29	0.85%
Hypothetical
(5% return before expenses)	$1,000.00	$1,020.64	$4.27	0.85%
Class R
Actual	$1,000.00	$1,028.70	$6.76	1.34%
Hypothetical
(5% return before expenses)	$1,000.00	$1,018.20	$6.72	1.34%
Class L
Actual	$1,000.00	$1,025.80	$8.97	1.78%
Hypothetical
(5% return before expenses)	$1,000.00	$1,016.01	$8.92	1.78%
Class W
Actual	$1,000.00	$1,034.60	$0.51	0.10%
Hypothetical
(5% return before expenses)	$1,000.00	$1,024.37	$0.50	0.10%

52

Shareholder Expense Example - Pro-Blend^®Extended Term Series

(unaudited)

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 182/366 (to reflect the one-half year period). The Class’ total return would have been lower had certain expenses not been waived or reimbursed during the period.

53

Portfolio Composition - Pro-Blend^®Extended Term Series
As of April 30, 2020 (unaudited)

Asset Allocation¹

 

^*Less than (0.1%).

¹As a percentage of net assets.

²A U.S. Treasury Bond is a long-term obligation of the U.S. Treasury issued with a maturity period of more than ten years.

³A U.S. Treasury Note is an intermediate long-term obligation of the U.S. Treasury issued with a maturity period between one and ten years.

Sector Allocation4
Communication Services	10.5%
Information Technology	9.7%
Consumer Discretionary	9.0%
Consumer Staples	6.9%
Financials	6.8%
Health Care	6.6%
Energy	6.5%
Real Estate	5.0%
Industrials	4.3%
Materials	1.8%
Utilities	0.3%
4Including common stocks and corporate bonds, as a percentage of total investments.

Top Ten Stock Holdings5
Mastercard, Inc. - Class A	2.5%
Booking Holdings, Inc.	2.2%
Visa, Inc. - Class A	2.1%
Johnson & Johnson	1.6%
Nexon Co. Ltd. (Japan)	1.5%
Novartis AG - ADR (Switzerland)	1.5%
Unilever plc - ADR (United Kingdom)	1.5%
Amazon.com, Inc.	1.5%
Micron Technology, Inc.	1.4%
Cabot Oil & Gas Corp.	1.4%
5As a percentage of total investments.

54

Investment Portfolio - April 30, 2020
(unaudited)

PRO-BLEND®EXTENDED TERM SERIES
	SHARES		VALUE (NOTE 2)
COMMON STOCKS - 55.8%
Communication Services - 8.2%
Entertainment - 3.8%
Activision Blizzard, Inc.1		72,790	$	4,638,907
Electronic Arts, Inc.*1		32,680		3,734,017
Nexon Co. Ltd. (Japan)		478,400		7,724,242
Sea Ltd. - ADR (Taiwan)*		5,600		311,248
The Walt Disney Co.		23,840		2,578,296
				18,986,710
Interactive Media & Services - 3.9%
Alphabet, Inc. - Class A*1		4,995		6,726,766
Alphabet, Inc. - Class C*		970		1,308,200
Auto Trader Group plc (United Kingdom)2		31,020		178,566
Facebook, Inc. - Class A*		27,480		5,625,431
Tencent Holdings Ltd. - Class H (China)		103,645		5,448,559
				19,287,522
Media - 0.5%
Charter Communications, Inc. - Class A*		3,440		1,703,591
Comcast Corp. - Class A		3,874		145,779
Quebecor, Inc. - Class B (Canada)		9,830		214,050
Shaw Communications, Inc. - Class B (Canada)		17,705		288,861
				2,352,281
Total Communication Services				40,626,513
Consumer Discretionary - 7.4%
Distributors - 0.0%##
Genuine Parts Co.		444		35,200
Hotels, Restaurants & Leisure - 0.2%
Aristocrat Leisure Ltd. (Australia)		12,710		208,441
Hilton Worldwide Holdings, Inc.		1,785		135,142
Restaurant Brands International, Inc. (Canada)		7,330		361,369
Wyndham Hotels & Resorts, Inc.		4,370		164,793
				869,745
Household Durables - 1.1%
Garmin Ltd.		359		29,136
Nikon Corp. (Japan)		305,700		2,843,567
Sony Corp. - ADR (Japan)		36,620		2,352,835
Sony Corp. (Japan)		4,000		257,416
				5,482,954
Internet & Direct Marketing Retail - 4.3%
Alibaba Group Holding Ltd. - ADR (China)*		13,525		2,741,112
Amazon.com, Inc.*		3,070		7,595,180

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Consumer Discretionary (continued)
Internet & Direct Marketing Retail (continued)
Booking Holdings, Inc.*		7,450	$	11,030,246
				21,366,538
Multiline Retail - 0.6%
B&M European Value Retail S.A. (United Kingdom)		69,640		291,229
Dollar Tree, Inc.*		30,720		2,447,462
				2,738,691
Specialty Retail - 0.1%
Best Buy Co., Inc.		644		49,414
The Home Depot, Inc.		1,172		257,641
Industria de Diseno Textil S.A. (Spain)		12,595		322,590
				629,645
Textiles, Apparel & Luxury Goods - 1.1%
adidas AG (Germany)		11,490		2,630,446
lululemon athletica, Inc.*		13,354		2,984,352
VF Corp.		887		51,535
				5,666,333
Total Consumer Discretionary				36,789,106
Consumer Staples - 6.9%
Beverages - 3.0%
Ambev S.A. - ADR (Brazil)		59,713		128,383
Anheuser-Busch InBev S.A./N.V. (Belgium)		62,879		2,928,290
The Coca-Cola Co.		137,530		6,311,252
Constellation Brands, Inc. - Class A .		283		46,607
Diageo plc (United Kingdom)		85,161		2,932,065
Molson Coors Beverage Co. - Class B		615		25,221
PepsiCo, Inc.		17,610		2,329,627
				14,701,445
Food & Staples Retailing - 0.1%
The Kroger Co.		1,734		54,812
Sysco Corp.		957		53,850
Walmart, Inc.		2,338		284,184
				392,846
Food Products - 2.2%
Archer-Daniels-Midland Co.		1,159		43,045
Conagra Brands, Inc.		1,232		41,198
Danone S.A. (France)		6,753		470,666
General Mills, Inc.		1,397		83,666
The Hershey Co.		436		57,739
Hormel Foods Corp.		847		39,682

The accompanying notes are an integral part of the financial statements.

55

Investment Portfolio - April 30, 2020
(unaudited)

PRO-BLEND®EXTENDED TERM SERIES
	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Consumer Staples(continued)
Food Products (continued)
The J.M. Smucker Co.		320	$	36,771
Mondelez International, Inc. - Class A		94,440		4,857,994
Nestle S.A. (Switzerland)		50,726		5,372,392
Tyson Foods, Inc. - Class A		750		46,642
				11,049,795
Household Products - 0.0%##
Colgate-Palmolive Co.		1,572		110,464
Kimberly-Clark Corp.		598		82,811
				193,275
Personal Products - 1.6%
Beiersdorf AG (Germany)		2,625		274,651
Unilever plc - ADR (United Kingdom)		146,853		7,617,265
				7,891,916
Total Consumer Staples				34,229,277
Energy - 4.8%
Energy Equipment & Services - 0.3%
Baker Hughes Co.		2,403		33,522
Schlumberger Ltd.		96,496		1,623,063
				1,656,585
Oil, Gas & Consumable Fuels - 4.5%
BP plc - ADR (United Kingdom)		4,035		96,033
Cabot Oil & Gas Corp.		313,460		6,777,005
Cameco Corp. (Canada)		36,616		364,695
Chevron Corp.		10,925		1,005,100
Concho Resources, Inc.		24,275		1,376,878
ConocoPhillips		58,871		2,478,469
EOG Resources, Inc.		60,516		2,875,115
Exxon Mobil Corp.		45,430		2,111,132
Marathon Petroleum Corp.		1,455		46,676
Pioneer Natural Resources Co.		17,260		1,541,491
Royal Dutch Shell plc - Class B - ADR (Netherlands)		32,705		1,045,579
TOTAL S.A. - ADR (France)		67,015		2,355,577
Tourmaline Oil Corp. (Canada)		38,915		385,809
Valero Energy Corp.		862		54,608
				22,514,167
Total Energy				24,170,752
Financials - 4.1%
Banks - 0.4%
Bank of America Corp.		8,506		204,569
The Bank Of N.T. Butterfield & Son Ltd. (Bermuda)		12,235		269,292

	SHARES		VALUE (NOTE 2)
COMMON STOCKS(continued)
Financials (continued)
Banks (continued)
Citigroup, Inc.		2,556	$	124,119
Fifth Third Bancorp		1,623		30,334
FinecoBank Banca Fineco S.p.A. (Italy)		51,270		571,234
JPMorgan Chase & Co.		2,811		269,181
The PNC Financial Services Group, Inc.		548		58,455
Regions Financial Corp.		2,422		26,036
Truist Financial Corp.		2,355		87,889
U.S. Bancorp		2,455		89,608
Wells Fargo & Co.		5,244		152,338
				1,883,055
Capital Markets - 2.5%
Cboe Global Markets, Inc.		39,790		3,954,330
CME Group, Inc.		13,020		2,320,294
Deutsche Boerse AG (Germany)		2,850		441,861
Intercontinental Exchange, Inc.		26,310		2,353,430
Moody’s Corp.		8,220		2,004,858
S&P Global, Inc.		5,905		1,729,456
				12,804,229
Diversified Financial Services - 1.0%
Berkshire Hathaway, Inc. - Class B*		26,140		4,897,590
Insurance - 0.2%
Admiral Group plc (United Kingdom)		22,295		650,578
The Allstate Corp.		571		58,082
Chubb Ltd.		682		73,663
Cincinnati Financial Corp.		318		20,924
The Hartford Financial Services Group, Inc.		833		31,646
The Travelers Companies, Inc.		461		46,658
				881,551
Total Financials				20,466,425
Health Care - 6.3%
Biotechnology - 1.1%
AbbVie, Inc.		1,943		159,715
BioMarin Pharmaceutical, Inc.*		36,580		3,366,092
Gilead Sciences, Inc.		2,033		170,772
Incyte Corp.*		18,380		1,794,991
				5,491,570
Health Care Equipment & Supplies - 1.3%
Alcon, Inc. (Switzerland)*		53,771		2,839,647
Getinge AB - Class B (Sweden)		17,455		334,565
Medtronic plc		29,728		2,902,345

The accompanying notes are an integral part of the financial statements.

56

Investment Portfolio - April 30, 2020
(unaudited)

PRO-BLEND®EXTENDED TERM SERIES
	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Health Care Equipment & Supplies(continued)
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)		264,000	$	401,054
				6,477,611
Health Care Providers & Services - 0.0%##
Quest Diagnostics, Inc.		361		39,750
Life Sciences Tools & Services - 0.6%
Gerresheimer AG (Germany)		4,715		374,982
Thermo Fisher Scientific, Inc.		7,150		2,392,962
				2,767,944
Pharmaceuticals - 3.3%
Bristol-Myers Squibb Co.		2,874		174,768
Eli Lilly & Co.		857		132,526
Johnson & Johnson1		52,448		7,869,298
Merck & Co., Inc.		2,836		225,008
Novartis AG - ADR (Switzerland)		90,430		7,662,134
Perrigo Co. plc		5,830		310,739
Pfizer, Inc.		6,813		261,347
				16,635,820
Total Health Care				31,412,695
Industrials - 2.6%
Aerospace & Defense - 0.1%
Airbus SE (France)*		2,370		150,066
General Dynamics Corp.		473		61,783
Lockheed Martin Corp.		415		161,460
Raytheon Technologies Corp.		2,098		135,971
				509,280
Air Freight & Logistics - 0.0%##
C.H. Robinson Worldwide, Inc.		434		30,771
Airlines - 1.4%
easyJet plc (United Kingdom)		371,470		2,813,763
Ryanair Holdings plc - ADR (Ireland)*		68,651		4,357,279
				7,171,042
Building Products - 0.0%##
Johnson Controls International plc		1,833		53,359
Trane Technologies plc		417		36,454
				89,813
Commercial Services & Supplies - 0.6%
Bingo Industries Ltd. (Australia)		143,600		217,481
Copart, Inc.*		35,790		2,867,137

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Industrials (continued)
Commercial Services & Supplies(continued)
Waste Management, Inc.		783	$	78,316
				3,162,934
Electrical Equipment - 0.0%##
Eaton Corp. plc		835		69,722
Emerson Electric Co.		1,300		74,139
Rockwell Automation, Inc.		251		47,559
				191,420
Industrial Conglomerates - 0.1%
3M Co.		857		130,195
Honeywell International, Inc.		998		141,616
				271,811
Machinery - 0.1%
Caterpillar, Inc		888		103,345
Cummins, Inc.		350		57,225
Dover Corp.		286		26,784
Illinois Tool Works, Inc.		572		92,950
Parker-Hannifin Corp.		247		39,056
Stanley Black & Decker, Inc.		303		33,391
The Weir Group plc (United Kingdom)		22,065		263,690
				616,441
Road & Rail - 0.1%
Norfolk Southern Corp.		352		60,227
Union Pacific Corp.		948		151,481
				211,708
Trading Companies & Distributors - 0.1%
Brenntag AG (Germany)		6,520		295,214
Fastenal Co.		1,416		51,288
WW Grainger, Inc.		101		27,834
				374,336
Transportation Infrastructure - 0.1%
Grupo Aeroportuario del Centro Norte S.A.B. de C.V. (Mexico)		26,800		98,088
Grupo Aeroportuario del Pacifico S.A.B. de C.V. - ADR (Mexico)		1,695		105,090
Grupo Aeroportuario del Sureste S.A.B. de C.V. - ADR (Mexico)		1,070		106,690
				309,868
Total Industrials				12,939,424
Information Technology - 9.7%
Communications Equipment - 0.0%##
Cisco Systems, Inc.		4,921		208,552

The accompanying notes are an integral part of the financial statements.

57

Investment Portfolio - April 30, 2020
(unaudited)

PRO-BLEND®EXTENDED TERM SERIES
	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
IT Services - 5.7%
Accenture plc - Class A		2,090	$	387,047
Adyen N.V. (Netherlands)*2		150		148,138
Automatic Data Processing, Inc.		513		75,252
International Business Machines Corp.		1,240		155,694
Keywords Studios plc (Ireland)		4,956		99,285
Mastercard, Inc. - Class A		45,780		12,588,127
PayPal Holdings, Inc.*		31,100		3,825,300
Switch, Inc. - Class A		8,975		154,101
Visa, Inc. - Class A		59,730		10,674,946
				28,107,890
Semiconductors & Semiconductor Equipment - 1.6%
Analog Devices, Inc.		536		58,746
Intel Corp.		4,556		273,269
KLA Corp.		350		57,432
Micron Technology, Inc.*		150,000		7,183,500
QUALCOMM, Inc.		1,242		97,708
Skyworks Solutions, Inc.		320		33,242
Texas Instruments, Inc.		1,325		153,793
Xilinx, Inc.		438		38,281
				7,895,971
Software - 2.4%
Microsoft Corp.		28,770		5,155,872
Oracle Corp.		2,644		140,053
salesforce.com, Inc.*		23,115		3,743,474
ServiceNow, Inc.*		8,090		2,843,959
				11,883,358
Technology Hardware, Storage & Peripherals - 0.0%##
NetApp, Inc.		600		26,262
Total Information Technology				48,122,033
Materials - 1.7%
Chemicals - 0.6%
Akzo Nobel N.V. (Netherlands)		3,620		274,722
FMC Corp.		29,070		2,671,533
International Flavors & Fragrances, Inc.		212		27,778
Linde plc (United Kingdom)		551		101,378
LyondellBasell Industries N.V. - Class A		830		48,098
PPG Industries, Inc.		405		36,786
				3,160,295
Containers & Packaging - 1.0%
Graphic Packaging Holding Co.		374,760		5,003,046

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Materials (continued)
Metals & Mining - 0.1%
Lundin Mining Corp. (Chile)		39,700	$	194,514
Nucor Corp		856		35,259
				229,773
Total Materials				8,393,114
Real Estate - 4.1%
Equity Real Estate Investment Trusts (REITS) - 4.1%
Acadia Realty Trust		6,815		84,438
Agree Realty Corp.		1,545		100,595
Alexandria Real Estate Equities, Inc.		960		150,806
American Campus Communities, Inc.		6,748		238,137
American Homes 4 Rent - Class A		8,560		206,638
American Tower Corp.1		12,830		3,053,540
Americold Realty Trust		8,250		252,368
Apartment Investment & Management Co. - Class A		4,491		169,176
AvalonBay Communities, Inc.		2,140		348,713
Boston Properties, Inc.		1,141		110,882
Brandywine Realty Trust		10,665		119,021
Camden Property Trust		3,575		314,850
Community Healthcare Trust, Inc.		3,685		137,082
CoreSite Realty Corp.		680		82,409
Cousins Properties, Inc.		9,562		288,486
Crown Castle International Corp.		1,615		257,479
Digital Realty Trust, Inc.		3,201		478,517
Douglas Emmett, Inc.		6,260		190,867
Duke Realty Corp.		6,546		227,146
Equinix, Inc.		7,583		5,120,042
Equity LifeStyle Properties, Inc.		4,640		279,838
Equity Residential		3,865		251,457
Essex Property Trust, Inc.		647		157,933
Extra Space Storage, Inc.		840		74,122
First Industrial Realty Trust, Inc.		2,840		107,267
Getty Realty Corp.		3,250		88,270
Healthcare Realty Trust, Inc.		3,775		110,947
Healthcare Trust of America, Inc. - Class A		2,910		71,673
Healthpeak Properties, Inc.		9,220		241,011
Hibernia REIT plc (Ireland)		76,270		99,211
Host Hotels & Resorts, Inc.		5,655		69,613
Invitation Homes, Inc.		11,853		280,323
Jernigan Capital, Inc.		8,045		106,194
Kilroy Realty Corp.		5,193		323,316
Life Storage, Inc.		740		64,817

The accompanying notes are an integral part of the financial statements.

58

Investment Portfolio - April 30, 2020
(unaudited)

PRO-BLEND®EXTENDED TERM SERIES	SHARES/
	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
COMMON STOCKS (continued)
Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
Mid-America Apartment
Communities, Inc.		1,430	$	160,046
National Retail Properties, Inc.		2,790		91,066
Physicians Realty Trust		6,460		99,613
Prologis, Inc.		9,679		863,657
Public Storage		1,880		348,646
Realty Income Corp.		1,775		97,483
Rexford Industrial Realty, Inc.		3,800		154,736
SBA Communications Corp.		10,830		3,139,834
STAG Industrial, Inc.		3,735		98,044
STORE Capital Corp.		4,610		92,523
Sun Communities, Inc.		3,350		450,240
Sunstone Hotel Investors, Inc.		6,370		58,540
Terreno Realty Corp.		1,070		58,657
UDR, Inc.		3,278		122,827
Urban Edge Properties		7,945		91,368
Welltower, Inc.		4,411		225,976
Total Real Estate				20,410,440
TOTAL COMMON STOCKS
(Identified Cost $247,112,183)				277,559,779
CORPORATE BONDS - 11.7%
Non-Convertible Corporate Bonds - 11.7%
Communication Services - 2.4%
Diversified Telecommunication Services - 0.9%
AT&T, Inc., 4.25%, 3/1/2027		770,000		848,568
Verizon Communications, Inc., 5.25%, 3/16/2037		2,720,000		3,623,035
				4,471,603
Interactive Media & Services - 0.4%
Tencent Holdings Ltd. (China)2, 3.975%, 4/11/2029		1,910,000		2,148,854
Media - 1.0%
Altice Financing S.A. (Luxembourg)2, 7.50%, 5/15/2026		90,000		93,825
CCO Holdings LLC - CCO Holdings Capital Corp.2, 4.50%, 8/15/2030		90,000		91,152
Comcast Corp., 3.25%, 11/1/2039		1,910,000		2,080,944
Discovery Communications LLC, 5.20%, 9/20/2047		2,230,000		2,539,872
Townsquare Media, Inc.2, 6.50%, 4/1/2023		110,000		97,251
				4,903,044

	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds(continued)
Communication Services (continued)
Wireless Telecommunication Services - 0.1%
Sprint Communications, Inc., 7.00%, 8/15/2020		115,000	$	116,006
Sprint Corp., 7.25%, 9/15/2021		50,000		52,438
Sprint Corp., 7.125%, 6/15/2024		115,000		129,090
				297,534
Total Communication Services				11,821,035
Consumer Discretionary - 1.6%
Auto Components - 0.0%##
Techniplas LLC2, 10.00%, 5/1/2020		65,000		11,538
Automobiles - 0.0%##
Ford Motor Co., 9.625%, 4/22/2030		70,000		69,739
Diversified Consumer Services - 0.0%##
Carriage Services, Inc.2, 6.625%, 6/1/2026		85,000		83,818
Household Durables - 0.1%
Foxtrot Escrow Issuer LLC - Foxtrot Escrow Corp.2, 12.25%, 11/15/2026		110,000		90,750
LGI Homes, Inc.2, 6.875%, 7/15/2026		150,000		139,688
TRI Pointe Group, Inc. - TRI Pointe Homes, Inc., 5.875%, 6/15/2024		50,000		48,505
Weekley Homes LLC - Weekley Finance Corp., 6.625%, 8/15/2025		70,000		63,028
				341,971
Internet & Direct Marketing Retail - 1.3%
Alibaba Group Holding Ltd. (China), 3.40%, 12/6/2027		1,570,000		1,705,901
Booking Holdings, Inc., 3.60%, 6/1/2026		3,250,000		3,396,214
Expedia Group, Inc.2, 6.25%, 5/1/2025		970,000		989,207
Photo Holdings Merger Sub, Inc.2, 8.50%, 10/1/2026		130,000		112,560
				6,203,882
Multiline Retail - 0.0%##
Staples, Inc.2, 7.50%, 4/15/2026		85,000		67,150

The accompanying notes are an integral part of the financial statements.

59

Investment Portfolio - April 30, 2020
(unaudited)

PRO-BLEND®EXTENDED TERM SERIES
	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds(continued)
Consumer Discretionary (continued)
Specialty Retail - 0.2%
The TJX Cos, Inc., 3.50%, 4/15/2025		1,130,000	$	1,218,655
Total Consumer Discretionary				7,996,753
Consumer Staples - 0.0%##
Food & Staples Retailing - 0.0%##
KeHE Distributors LLC - KeHE Finance Corp.2, 8.625%, 10/15/2026		70,000		74,025
Energy - 1.7%
Energy Equipment & Services - 0.0%##
Oceaneering International, Inc., 6.00%, 2/1/2028		145,000		74,494
Oil, Gas & Consumable Fuels - 1.7%
Antero Midstream Partners LP - Antero Midstream Finance Corp.2, 5.75%, 3/1/2027		105,000		77,700
Antero Midstream Partners LP - Antero Midstream Finance Corp.2, 5.75%, 1/15/2028		55,000		40,425
Bruin E&P Partners LLC4, 8.875%, 8/1/2023		130,000		3,250
Calumet Specialty Products Partners LP - Calumet Finance Corp.2, 11.00%, 4/15/2025		75,000		58,125
Cheniere Energy Partners LP, 5.625%, 10/1/2026		155,000		148,118
CVR Energy, Inc.2, 5.75%, 2/15/2028		100,000		84,551
Energy Transfer Operating LP, 6.50%, 2/1/2042		1,380,000		1,391,675
Genesis Energy LP - Genesis Energy Finance Corp., 7.75%, 2/1/2028		75,000		63,750
HollyFrontier Corp., 5.875%, 4/1/2026		145,000		148,294
Jonah Energy LLC - Jonah Energy Finance Corp.5, 7.25%, 10/15/2025		105,000		1,838
Kinder Morgan Energy Partners LP, 6.95%, 1/15/2038		1,650,000		1,967,187
Laredo Petroleum, Inc., 10.125%, 1/15/2028		75,000		30,554
Lonestar Resources America, Inc.2, 11.25%, 1/1/2023		165,000		20,625
Moss Creek Resources Holdings, Inc.2, 7.50%, 1/15/2026		50,000		16,750
NuStar Logistics LP, 6.75%, 2/1/2021		50,000		48,250

	PRINCIPAL AMOUNT3		VALUE (NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds(continued)
Energy (continued)
Oil, Gas & Consumable Fuels(continued)
PBF Holding Co. LLC - PBF Finance Corp.2, 6.00%, 2/15/2028		85,000	$	60,512
Sabine Pass Liquefaction LLC, 5.875%, 6/30/2026		2,370,000		2,529,684
Whiting Petroleum Corp.6,7, 5.75%, 3/15/2021		75,000		7,500
The Williams Companies, Inc., 3.75%, 6/15/2027		1,720,000		1,717,362
				8,416,150
Total Energy				8,490,644
Financials - 2.7%
Banks - 2.0%
Bank of America Corp., 4.00%, 1/22/2025		3,190,000		3,446,480
CIT Group, Inc., 4.125%, 3/9/2021		100,000		98,250
Citigroup, Inc., 4.45%, 9/29/2027		1,900,000		2,081,337
Fidelity & Guaranty Life Holdings, Inc.2, 5.50%, 5/1/2025		135,000		142,594
JPMorgan Chase & Co.8, (3 mo. LIBOR US + 1.000%), 4.023%, 12/5/2024		1,540,000		1,666,964
Lloyds Bank plc (United Kingdom)2,8,9, (3 mo. LIBOR US + 11.760%), 12.00%		100,000		112,359
Popular, Inc., 6.125%, 9/14/2023		90,000		86,625
Santander Holdings USA, Inc., 4.50%, 7/17/2025		2,190,000		2,255,230
				9,889,839
Capital Markets - 0.1%
Advisor Group Holdings, Inc.2, 10.75%, 8/1/2027		55,000		41,707
Donnelley Financial Solutions, Inc., 8.25%, 10/15/2024		175,000		162,750
Oaktree Specialty Lending Corp., 3.50%, 2/25/2025		90,000		82,399
				286,856
Consumer Finance - 0.5%
Credit Acceptance Corp.2, 5.125%, 12/31/2024		55,000		48,262
Discover Financial Services, 4.50%, 1/30/2026		95,000		98,792
Navient Corp., 5.00%, 10/26/2020		75,000		73,540
Navient Corp., 6.75%, 6/25/2025		140,000		129,500
SLM Corp., 5.125%, 4/5/2022		105,000		96,180
Springleaf Finance Corp., 7.125%, 3/15/2026		85,000		80,112

The accompanying notes are an integral part of the financial statements.

60

Investment Portfolio - April 30, 2020 

(unaudited)

PRO-BLEND®EXTENDED TERM SERIES
	PRINCIPAL		VALUE
	AMOUNT3		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials (continued)
Consumer Finance (continued)
Visa, Inc., 2.70%, 4/15/2040		2,050,000	$	2,130,957
				2,657,343
Diversified Financial Services - 0.0%##
VistaJet Malta Finance plc - XO Management Holding, Inc.  (Switzerland)2, 10.50%, 6/1/2024		160,000		127,600
Mortgage Real Estate Investment Trusts (REITS) - 0.1%
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp.2, 5.875%, 8/1/2021		100,000		88,500
Starwood Property Trust, Inc., 3.625%, 2/1/2021		140,000		131,600
				220,100
Thrifts & Mortgage Finance - 0.0%##
Acrisure LLC - Acrisure Finance, Inc.2, 7.00%, 11/15/2025		50,000		44,250
Radian Group, Inc., 4.875%, 3/15/2027		140,000		122,787
				167,037
Total Financials				13,348,775
Health Care - 0.3%
Health Care Providers & Services - 0.3%
HCA, Inc., 4.125%, 6/15/2029		1,540,000		1,665,968
Industrials - 1.7%
Aerospace & Defense - 0.0%##
Howmet Aerospace, Inc., 6.875%, 5/1/2025		155,000		158,064
Air Freight & Logistics - 0.0%##
Cargo Aircraft Management, Inc.2, 4.75%, 2/1/2028		130,000		121,388
Airlines - 0.4%
Southwest Airlines Co., 5.25%, 5/4/2025		1,710,000		1,703,706
Building Products - 0.0%##
Griffon Corp., 5.75%, 3/1/2028		95,000		90,488
Commercial Services & Supplies - 0.1%
The ADT Security Corp., 6.25%, 10/15/2021		50,000		51,420
Prime Security Services Borrower LLC - Prime Finance, Inc.2, 5.25%, 4/15/2024		85,000		83,274

	PRINCIPAL		VALUE
	AMOUNT3		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Industrials (continued)
Commercial Services & Supplies (continued)
Prime Security Services Borrower LLC - Prime Finance, Inc.2, 5.75%, 4/15/2026		85,000	$	83,750
Prime Security Services Borrower LLC - Prime Finance, Inc.2, 6.25%, 1/15/2028		115,000		102,040
Stericycle, Inc.2, 5.375%, 7/15/2024 .		85,000		85,244
				405,728
Construction & Engineering - 0.1%
HC2 Holdings, Inc.2, 11.50%, 12/1/2021		41,000		35,670
Tutor Perini Corp.2, 6.875%, 5/1/2025		175,000		137,812
				173,482
Industrial Conglomerates - 0.3%
General Electric Co.8,9, (3 mo. LIBOR US + 3.330%), 5.00%		1,980,000		1,622,362
Marine - 0.0%##
American Tanker, Inc. (Norway)2, 9.25%, 2/22/2022		55,000		55,000
Trading Companies & Distributors - 0.8%
AerCap Ireland Capital DAC - AerCap Global Aviation Trust (Ireland), 4.45%, 10/1/2025		2,380,000		2,094,517
Air Lease Corp., 3.25%, 3/1/2025		100,000		89,831
Air Lease Corp., 3.625%, 4/1/2027		1,050,000		901,210
Avolon Holdings Funding Ltd. (Ireland)2, 3.25%, 2/15/2027		1,090,000		843,578
Fortress Transportation & Infrastructure Investors LLC2, 6.50%, 10/1/2025		125,000		102,500
				4,031,636
Total Industrials				8,361,854
Information Technology - 0.0%##
IT Services - 0.0%##
Science Applications International Corp.2, 4.875%, 4/1/2028		100,000		97,931
Materials - 0.1%
Chemicals - 0.0%##
CF Industries, Inc., 3.45%, 6/1/2023		30,000		30,375
PolyOne Corp.2, 5.75%, 5/15/2025		90,000		91,125
				121,500

The accompanying notes are an integral part of the financial statements.

61

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®EXTENDED TERM SERIES
	PRINCIPAL		VALUE
	AMOUNT3		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Materials (continued)
Containers & Packaging - 0.0%##
Berry Global, Inc.2, 4.50%, 2/15/2026		105,000	$	103,646
Graphic Packaging International LLC, 4.75%, 4/15/2021		60,000		60,393
				164,039
Metals & Mining - 0.1%
Compass Minerals International, Inc.2, 6.75%, 12/1/2027		80,000		79,200
IAMGOLD Corp. (Canada)2, 7.00%, 4/15/2025		185,000		186,458
Infrabuild Australia Pty Ltd. (Australia)2, 12.00%, 10/1/2024		80,000		68,000
Kinross Gold Corp. (Canada), 4.50%, 7/15/2027		45,000		47,336
Mountain Province Diamonds, Inc. (Canada)2, 8.00%, 12/15/2022		50,000		31,500
Northwest Acquisitions ULC - Dominion Finco, Inc.10, 7.125%, 11/1/2022		105,000		10,762
				423,256
Total Materials				708,795
Real Estate - 0.9%
Equity Real Estate Investment Trusts (REITS) - 0.9%
American Tower Corp., 3.80%, 8/15/2029		2,170,000		2,425,740
Crown Castle International Corp., 3.10%, 11/15/2029		1,000,000		1,067,329
GTP Acquisition Partners I LLC2, 2.35%, 6/15/2020		427,000		430,189
HAT Holdings I LLC - HAT Holdings II LLC2, 6.00%, 4/15/2025		150,000		150,000
Iron Mountain, Inc., 5.75%, 8/15/2024		85,000		83,512
				4,156,770
Real Estate Management & Development - 0.0%##
Five Point Operating Co. LP - Five Point Capital Corp.2, 7.875%, 11/15/2025		80,000		77,300

	PRINCIPAL		VALUE
	AMOUNT3		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Real Estate (continued)
Real Estate Management & Development (continued)
Forestar Group, Inc.2, 5.00%, 3/1/2028		110,000	$	95,975
				173,275
Total Real Estate				4,330,045
Utilities - 0.3%
Electric Utilities - 0.2%
Dominion Energy, Inc., 3.375%, 4/1/2030		1,130,000		1,228,624
NextEra Energy Operating Partners LP2, 4.25%, 7/15/2024		45,000		45,801
				1,274,425
Independent Power and Renewable Electricity Producers - 0.1%
Drax Finco plc (United Kingdom)2, 6.625%, 11/1/2025		245,000		249,900
Vistra Operations Co. LLC2, 5.625%, 2/15/2027		90,000		94,725
				344,625
Total Utilities				1,619,050
TOTAL CORPORATE BONDS
(Identified Cost $58,227,574)				58,514,875
U.S. TREASURY SECURITIES - 18.5%
U.S. Treasury Bonds - 4.0%
U.S. Treasury Bond, 3.00%, 5/15/2047		8,900,000		12,437,402
U.S. Treasury Inflation Indexed Bond, 2.00%, 1/15/2026		6,816,311		7,727,674
Total U.S. Treasury Bonds
(Identified Cost $18,667,082)				20,165,076
U.S. Treasury Notes - 14.5%
U.S. Treasury Inflation Indexed Note, 0.50%, 4/15/2024		5,246,200		5,380,772
U.S. Treasury Note, 2.50%, 5/15/2024		17,780,000		19,339,223
U.S. Treasury Note, 2.00%, 8/15/2025		25,810,000		27,972,596
U.S. Treasury Note, 1.625%, 5/15/2026		18,080,000		19,333,594
Total U.S. Treasury Notes
(Identified Cost $71,999,996)				72,026,185
TOTAL U.S. TREASURY SECURITIES
(Identified Cost $90,667,078)				92,191,261

The accompanying notes are an integral part of the financial statements.

62

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®EXTENDED TERM SERIES
	PRINCIPAL		VALUE
	AMOUNT3		(NOTE 2)
ASSET-BACKED SECURITIES - 3.5%
Cazenovia Creek Funding II LLC, Series 2018-1A, Class A2, 3.561%, 7/15/2030		554,847	$	547,242
Chesapeake Funding II LLC, Series 2017-2A, Class A1 (Canada)2, 1.99%, 5/15/2029		1,597,686		1,591,492
Chesapeake Funding II LLC, Series 2017-4A, Class A1 (Canada)2, 2.12%, 11/15/2029		568,421		562,847
Commonbond Student Loan Trust, Series 2019-AGS, Class A12, 2.54%, 1/25/2047		1,578,110		1,613,230
Invitation Homes Trust, Series 2017-SFR2, Class A2,11, (1 mo. LIBOR US + 0.850%), 1.601%, 12/17/2036		481,315		465,338
Invitation Homes Trust, Series 2017-SFR2, Class B2,11, (1 mo. LIBOR US + 1.150%), 1.901%, 12/17/2036		390,000		370,162
Oxford Finance Funding LLC, Series 2020-1A, Class A22, 3.101%, 2/15/2028		1,010,000		995,582
Progress Residential Trust, Series 2019-SFR2, Class A2, 3.147%, 5/17/2036		920,000		945,546
Progress Residential Trust, Series 2019-SFR4, Class A2, 2.687%, 10/17/2036		1,200,000		1,207,547
SoFi Consumer Loan Program Trust, Series 2019-2, Class A2, 3.01%, 4/25/2028		596,430		596,764
SoFi Consumer Loan Program Trust, Series 2019-3, Class A2, 2.90%, 5/25/2028		791,924		788,617
SoFi Professional Loan Program LLC, Series 2017-F, Class A1FX2, 2.05%, 1/25/2041		10,960		10,962
SoFi Professional Loan Program LLC, Series 2017-F, Class A2FX2, 2.84%, 1/25/2041		300,000		303,994
SoFi Professional Loan Program LLC, Series 2018-A, Class A2A2, 2.39%, 2/25/2042		161,426		161,637
SoFi Professional Loan Program Trust, Series 2018-B, Class  A2FX2, 3.34%, 8/25/2047		1,060,000		1,069,730
SoFi Professional Loan Program Trust, Series 2018-C, Class  A1FX2, 3.08%, 1/25/2048		645,854		646,571
SoFi Professional Loan Program Trust, Series 2020-A, Class  A2FX2, 2.54%, 5/15/2046		880,000		872,489

	PRINCIPAL		VALUE
	AMOUNT3		(NOTE 2)
ASSET-BACKED SECURITIES (continued)
Tax Ease Funding LLC, Series 2016-1A, Class A2, 3.131%, 6/15/2028		118,801	$	118,807
Towd Point Mortgage Trust, Series 2016-5, Class A12,12, 2.50%, 10/25/2056		739,182		736,314
Towd Point Mortgage Trust, Series 2017-1, Class A12,12, 2.75%, 10/25/2056		992,452		997,794
Towd Point Mortgage Trust, Series 2019-HY1, Class A12,11, (1 mo. LIBOR US + 1.000%), 1.487%, 10/25/2048		876,084		864,938
Tricon American Homes Trust, Series 2016-SFR1, Class A2, 2.589%, 11/17/2033		841,625		843,415
Tricon American Homes Trust, Series 2017-SFR2, Class A2, 2.928%, 1/17/2036		995,562		1,011,913
TOTAL ASSET-BACKED SECURITIES
(Identified Cost $17,301,169)				17,322,931
COMMERCIAL MORTGAGE-BACKED SECURITIES - 5.0%
Americold LLC Trust, Series 2010-ARTA, Class A12, 3.847%, 1/14/2029		29,401		29,488
BWAY Mortgage Trust, Series 2015-1740, Class A2, 2.917%, 1/10/2035		2,411,000		2,414,530
CIM Trust, Series 2019-INV1, Class A12,12, 4.00%, 2/25/2049		374,701		379,668
Credit Suisse Mortgage Capital Trust, Series 2013-IVR3, Class  A12,12, 2.50%, 5/25/2043		451,634		441,157
Credit Suisse Mortgage Capital Trust, Series 2013-TH1, Class  A12,12, 2.13%, 2/25/2043		421,429		407,416
Fannie Mae REMICS, Series 2018-31, Class KP, 3.50%, 7/25/2047		704,801		730,084
Fannie Mae-Aces, Series 2017-M15, Class A112, 3.058%, 9/25/2027		1,291,250		1,398,758
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class A2, 3.144%, 12/10/2036		1,220,000		1,165,455
Freddie Mac Multifamily Structured Pass-Through Certificates, Series  K009, Class X1 (IO)12, 1.375%, 8/25/2020		5,733,358		9,637

The accompanying notes are an integral part of the financial statements.

63

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®EXTENDED TERM SERIES
	PRINCIPAL		VALUE
	AMOUNT3		(NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K014, Class X1 (IO)12, 1.324%, 4/25/2021		8,748,536	$	69,987
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K016, Class X1 (IO)12, 1.635%, 10/25/2021		3,587,102		63,340
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K017, Class X1 (IO)12, 1.433%, 12/25/2021		14,629,789		226,529
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K021, Class X1 (IO)12, 1.551%, 6/25/2022		10,515,284		256,929
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K030, Class X1 (IO)12, 0.291%, 4/25/2023		42,133,058		201,805
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K032, Class X1 (IO)12, 0.208%, 5/25/2023		27,098,697		90,087
Freddie Mac REMICS, Series 4791, Class BA, 4.00%, 3/15/2044		723,136		748,419
Freddie Mac REMICS, Series 4801, Class BA, 4.50%, 5/15/2044		534,148		549,124
FREMF Mortgage Trust, Series 2013-K28, Class X2A (IO)2, 0.10%, 6/25/2046		74,850,758		162,800
FREMF Mortgage Trust, Series 2014-K41, Class B2,12, 3.963%, 11/25/2047		1,315,000		1,377,358
FREMF Mortgage Trust, Series 2014-K715, Class B2,12, 4.111%, 2/25/2046		1,279,000		1,286,586
Government National Mortgage Association, Series 2017-54, Class AH, 2.60%, 12/16/2056		1,368,596		1,418,539
GS Mortgage Securities Corp. Trust, Series 2019-70P, Class A2,11, (1mo. LIBOR US + 1.000%), 1.814%, 10/15/2036		1,225,000		1,153,734
GS Mortgage Securities Trust, Series 2010-C2, Class A12, 3.849%, 12/10/2043		12,028		12,055
JP Morgan Mortgage Trust, Series 2013-1, Class 1A22,12, 3.00%, 3/25/2043		291,071		293,996
JP Morgan Mortgage Trust, Series 2013-2, Class A22,12, 3.50%, 5/25/2043		256,171		263,070

	PRINCIPAL		VALUE
	AMOUNT3		(NOTE 2)
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
JP Morgan Mortgage Trust, Series 2014-2, Class 1A12,12, 3.00%, 6/25/2029		422,695	$	428,035
JP Morgan Mortgage Trust, Series 2017-3, Class 1A52,12, 3.50%, 8/25/2047		630,815		637,510
JP Morgan Mortgage Trust, Series 2017-6, Class A52,12, 3.50%, 12/25/2048		863,848		876,226
New Residential Mortgage Loan Trust, Series 2014-3A, Class  AFX32,12, 3.75%, 11/25/2054		290,313		296,399
New Residential Mortgage Loan Trust, Series 2015-2A, Class  A12,12, 3.75%, 8/25/2055		446,098		455,337
New Residential Mortgage Loan Trust, Series 2016-4A, Class  A12,12, 3.75%, 11/25/2056		473,249		482,511
PMT Loan Trust, Series 2013-J1, Class A92,12, 3.50%, 9/25/2043		938,564		966,621
Sequoia Mortgage Trust, Series 2013-2, Class A12, 1.874%, 2/25/2043		322,057		315,167
Sequoia Mortgage Trust, Series 2013-6, Class A212, 3.00%, 5/25/2043		1,475,216		1,507,556
Sequoia Mortgage Trust, Series 2013-7, Class A212, 3.00%, 6/25/2043		376,131		381,270
Sequoia Mortgage Trust, Series 2013-8, Class A112, 3.00%, 6/25/2043		382,524		390,228
Starwood Retail Property Trust, Series 2014-STAR, Class A2,11, (1mo. LIBOR US + 1.470%), 2.284%, 11/15/2027		971,430		907,464
Waikiki Beach Hotel Trust, Series 2019-WBM, Class A2,11, (1 mo. LIBOR US + 1.050%), 1.864%, 12/15/2033		1,200,000		1,101,766
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A22, 4.393%, 11/15/2043		423,798		424,505
WinWater Mortgage Loan Trust, Series 2015-1, Class A12,12, 3.50%, 1/20/2045		318,864		327,028
WinWater Mortgage Loan Trust, Series 2015-3, Class A52,12, 3.50%, 3/20/2045		126,703		126,494
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Identified Cost $24,482,909)				24,774,668

The accompanying notes are an integral part of the financial statements.

64

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®EXTENDED TERM SERIES
	PRINCIPAL		VALUE
	AMOUNT3		(NOTE 2)
FOREIGN GOVERNMENT BONDS - 1.3%
Canadian Government Bond  (Canada), 2.75%, 6/1/2022	CAD	358,000	$	270,320
Export-Import Bank of Korea (South  Korea), 2.625%, 12/30/2020		4,625,000		4,655,905
Mexican Government Bond  (Mexico), 8.00%, 6/11/2020	MXN	7,313,000		303,865
Mexican Government Bond  (Mexico), 6.50%, 6/10/2021	MXN	3,112,000		130,640
Mexican Government Bond  (Mexico), 6.50%, 6/9/2022	MXN	5,057,000		214,949
Mexican Government Bond  (Mexico), 7.75%, 5/29/2031	MXN	972,000		42,814
Mexico Government International Bond (Mexico), 4.125%, 1/21/2026		200,000		205,002
Republic of Italy Government International Bond (Italy), 2.375%, 10/17/2024		700,000		683,418
Saudi Government International Bond (Saudi Arabia), 2.90%, 10/22/2025		200,000		202,500
TOTAL FOREIGN GOVERNMENT BONDS
(Identified Cost $7,292,759)				6,709,413
U.S. GOVERNMENT AGENCIES - 4.2%
Mortgage-Backed Securities - 4.2%
Fannie Mae, Pool #888468, UMBS, 5.50%, 9/1/2021		22,730		23,031
Fannie Mae, Pool #995233, UMBS, 5.50%, 10/1/2021		466		471
Fannie Mae, Pool #888017, UMBS, 6.00%, 11/1/2021		5,096		5,211
Fannie Mae, Pool #995329, UMBS, 5.50%, 12/1/2021		19,932		20,230
Fannie Mae, Pool #888136, UMBS, 6.00%, 12/1/2021		6,120		6,272
Fannie Mae, Pool #888810, UMBS, 5.50%, 11/1/2022		25,405		25,757
Fannie Mae, Pool #990895, UMBS, 5.50%, 10/1/2023		12,736		13,483
Fannie Mae, Pool #AD0462, UMBS, 5.50%, 10/1/2024		8,881		9,428
Fannie Mae, Pool #MA3463, UMBS, 4.00%, 9/1/2033		1,121,903		1,186,632
Fannie Mae, Pool #MA1834, UMBS, 4.50%, 2/1/2034		484,021		532,054
Fannie Mae, Pool #MA1903, UMBS, 4.50%, 5/1/2034		353,942		389,071
Fannie Mae, Pool #909786, UMBS, 5.50%, 3/1/2037		82,915		94,454

	PRINCIPAL		VALUE
	AMOUNT3		(NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Fannie Mae, Pool #889576, UMBS, 6.00%, 4/1/2038		219,404	$	253,288
Fannie Mae, Pool #889579, UMBS, 6.00%, 5/1/2038		178,496		206,060
Fannie Mae, Pool #MA3412, UMBS, 3.50%, 7/1/2038		1,281,866		1,352,599
Fannie Mae, Pool #995196, UMBS, 6.00%, 7/1/2038		10,931		12,617
Fannie Mae, Pool #AD0207, UMBS, 6.00%, 10/1/2038		440,295		508,192
Fannie Mae, Pool #AD0220, UMBS, 6.00%, 10/1/2038		16,691		19,223
Fannie Mae, Pool #AD0307, UMBS, 5.50%, 1/1/2039		281,341		321,420
Fannie Mae, Pool #MA0258, UMBS, 4.50%, 12/1/2039		363,408		403,549
Fannie Mae, Pool #AL1595, UMBS, 6.00%, 1/1/2040		219,774		253,718
Fannie Mae, Pool #AL0152, UMBS, 6.00%, 6/1/2040		427,453		493,616
Fannie Mae, Pool #AL0241, UMBS, 4.00%, 4/1/2041		670,596		733,976
Fannie Mae, Pool #AI5172, UMBS, 4.00%, 8/1/2041		489,478		535,609
Fannie Mae, Pool #AL1410, UMBS, 4.50%, 12/1/2041		871,426		966,197
Fannie Mae, Pool #AL7729, UMBS, 4.00%, 6/1/2043		539,410		590,023
Fannie Mae, Pool #AX5234, UMBS, 4.50%, 11/1/2044		415,642		456,216
Fannie Mae, Pool #AS4103, UMBS, 4.50%, 12/1/2044		523,700		577,453
Fannie Mae, Pool #AZ9215, UMBS, 4.00%, 10/1/2045		404,733		445,646
Fannie Mae, Pool #BC6764, UMBS, 3.50%, 4/1/2046		537,275		575,943
Fannie Mae, Pool #BD6997, UMBS, 4.00%, 10/1/2046		596,778		640,803
Fannie Mae, Pool #BE7845, UMBS, 4.50%, 2/1/2047		451,250		489,472
Fannie Mae, Pool #CA1922, UMBS, 5.00%, 6/1/2048		1,197,817		1,301,846
Fannie Mae, Pool #BK9598, UMBS, 4.50%, 8/1/2048		382,069		412,320
Fannie Mae, Pool #CA2373, UMBS, 5.00%, 9/1/2048		769,954		835,891
Fannie Mae, Pool #AL8674, 5.645%, 1/1/2049		1,084,876		1,262,392
Fannie Mae, Pool #MA3996, 2.50%, 4/1/2050		1,238,074		1,268,506

The accompanying notes are an integral part of the financial statements.

65

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®EXTENDED TERM SERIES
	PRINCIPAL		VALUE
	AMOUNT3		(NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Freddie Mac, Pool #G11850, 5.50%, 7/1/2020		61	$	61
Freddie Mac, Pool #G12610, 6.00%, 3/1/2022		8,224		8,440
Freddie Mac, Pool #G12655, 6.00%, 5/1/2022		5,662		5,831
Freddie Mac, Pool #G12988, 6.00%, 1/1/2023		5,359		5,579
Freddie Mac, Pool #G13078, 6.00%, 3/1/2023		8,648		8,980
Freddie Mac, Pool #G13331, 5.50%, 10/1/2023		4,048		4,225
Freddie Mac, Pool #C91762, 4.50%, 5/1/2034		357,479		393,070
Freddie Mac, Pool #C91771, 4.50%, 6/1/2034		286,191		314,691
Freddie Mac, Pool #C91780, 4.50%, 7/1/2034		393,546		432,734
Freddie Mac, Pool #G03926, 6.00%, 2/1/2038		91,956		106,135
Freddie Mac, Pool #G04731, 5.50%, 4/1/2038		148,120		169,188
Freddie Mac, Pool #G08273, 5.50%, 6/1/2038		188,780		215,588
Freddie Mac, Pool #G04601, 5.50%, 7/1/2038		385,354		439,372
Freddie Mac, Pool #G04587, 5.50%, 8/1/2038		387,375		442,095

	PRINCIPAL
	AMOUNT3/		VALUE
	SHARES		(NOTE 2)
U.S. GOVERNMENT AGENCIES (continued)
Mortgage-Backed Securities (continued)
Freddie Mac, Pool #G05906, 6.00%, 4/1/2040		93,935	$	107,441
Freddie Mac, Pool #G60183, 4.00%, 12/1/2044		411,440		453,789
Freddie Mac, Pool #Q33778, 4.00%, 6/1/2045		533,128		579,834
TOTAL U.S. GOVERNMENT AGENCIES
(Identified Cost $20,053,665)				20,909,722
SHORT-TERM INVESTMENT - 0.2%
Dreyfus Government Cash Management, Institutional Shares,0.17%13  (Identified Cost $882,319)		882,319		882,319
TOTAL INVESTMENTS IN SECURITIES - 100.2%
(Identified Cost $466,019,656)				498,864,968
TOTAL OPTIONS WRITTEN — (0.0%)**
(Premiums Received $66,194)				(67,190	)
TOTAL INVESTMENTS - 100.2%				498,797,778
LIABILITIES, LESS OTHER ASSETS - (0.2%)				(1,177,132	)
NET ASSETS - 100%			$	497,620,646

ADR - American Depositary Receipt

CAD - Canadian Dollar

IO - Interest only

LIBOR - London Interbank Offered Rate

MXN - Mexican Peso

UMBS - Uniform Mortgage-Backed Securities

EXCHANGE-TRADED OPTIONS WRITTEN
DESCRIPTION	NUMBER  OF CONTRACTS		EXPIRATION DATE	EXERCISE PRICE			NOTIONAL AMOUNT (000)3		VALUE
Call
Amazon.com, Inc.		4	05/01/2020		$	2,590.00		990		$	(10,060	)
Facebook, Inc. - Class A		58	05/01/2020			207.50		1,187			(6,380	)
Booking Holdings, Inc.		10	05/15/2020			1,510.00		1,481			(44,800	)
											(61,240	)
Put
Charter Communications, Inc. - Class A		35	05/08/2020			460.00		1,733			(5,950	)
TOTAL EXCHANGE-TRADED OPTIONS WRITTEN (PREMIUMS RECEIVED $66,194)										$	(67,190	)

The accompanying notes are an integral part of the financial statements.

66

Investment Portfolio - April 30, 2020

(unaudited)

*Non-income producing security. 

** Less than (0.1%).

## Less than 0.1%.

¹ A portion of this security is designated as collateral for options contracts written. As of April 30, 2020, the total value of such securities was $11,118,428.

² Restricted 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 under the Fund’s Liquidity Risk Management Program. These securities amount to $42,482,628, or 8.5% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

³ Amount is stated in USD unless otherwise noted.

⁴ Restricted security - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security was acquired on January 17, 2019 and March 26, 2020 at a cost of $51,906 ($94.38 per share) and cost of $7,875 ($10.50 per share), respectively. This security has been sold under rule 144A and has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $3,250, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁵ Restricted security - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security was acquired on September 28, 2017 and November 28, 2017 at a cost of $10,000 ($100.00 per share) and cost of $95,950 ($101.00 per share), respectively. This security has been sold under rule 144A and has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $1,838, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁶ Illiquid security - This security was acquired on January 8, 2020 and February 5, 2020 at a cost of $49,469 ($98.94 per share) and cost of $23,312 ($93.25 per share), respectively. This security has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $7,500, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁷ Issuer filed for bankruptcy and/or is in default of interest payments.

⁸ Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of April 30, 2020.

⁹ Security is perpetual in nature and has no stated maturity date.

¹⁰ Restricted security - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security was acquired on October 10, 2017 at a cost of $107,100 ($102.00 per share). This security has been sold under rule 144A and has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $10,762, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

¹¹ Floating rate security. Rate shown is the rate in effect as of April 30, 2020.

¹² Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of April 30, 2020.

¹³ Rate shown is the current yield as of April 30, 2020.

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 S&P Global 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.

67

Statement of Assets and Liabilities - Pro-Blend^® Extended Term Series 

April 30, 2020 (unaudited)

ASSETS:
Investments in securities, at value (identified cost $466,019,656) (Note 2)	$	498,864,968
Receivable for securities sold		3,988,265
Interest receivable		1,521,011
Foreign tax reclaims receivable		564,020
Receivable for fund shares sold		254,752
Dividends receivable		130,432
Prepaid and other expenses		34,494
TOTAL ASSETS		505,357,942
LIABILITIES:
Accrued management fees (Note 3)		227,295
Accrued distribution and service (Rule 12b-1) fees (Class S) (Class R) (Class L) (Note 3)		132,315
Accrued sub-transfer agent fees (Note 3)		110,872
Accrued fund accounting and administration fees (Note 3)		35,737
Accrued Chief Compliance Officer service fees (Note 3)		956
Options written, at value (premiums received $66,194) (Note 2)		67,190
Payable for securities purchased		6,046,133
Payable for fund shares repurchased		1,010,390
Other payables and accrued expenses		106,408
TOTAL LIABILITIES		7,737,296
TOTAL NET ASSETS	$	497,620,646
NET ASSETS CONSIST OF:
Capital stock	$	406,349
Additional paid-in-capital		441,823,476
Total distributable earnings (loss)		55,390,821
TOTAL NET ASSETS	$	497,620,646

The accompanying notes are an integral part of the financial statements.

68

Statement of Assets and Liabilities - Pro-Blend^® Extended Term Series 

April 30, 2020 (unaudited)

NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S
($264,091,925/14,829,313 shares)	$	17.81
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I
($129,647,520/14,981,412 shares)	$	8.65
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class R
($6,944,991/665,882 shares)	$	10.43
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class L
($96,930,691/10,158,003 shares)	$	9.54
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class W
($5,519/309 shares)	$	17.86

The accompanying notes are an integral part of the financial statements.

69

Statement of Operations - Pro-Blend^® Extended Term Series 

For the Six Months Ended April 30, 2020 (unaudited)

INVESTMENT INCOME:
Interest	$	3,152,609
Dividends (net of foreign taxes withheld, $158,007)		1,943,744
Total Investment Income		5,096,353
EXPENSES:
Management fees (Note 3)		1,438,575
Distribution and service (Rule 12b-1) fees (Class L) (Note 3)		495,840
Distribution and service (Rule 12b-1) fees (Class S) (Note 3)		337,444
Distribution and service (Rule 12b-1) fees (Class R) (Note 3)		16,052
Sub-transfer agent fees (Note 3)		151,701
Fund accounting and administration fees (Note 3)		64,995
Directors’ fees (Note 3)		25,351
Chief Compliance Officer service fees (Note 3)		1,438
Custodian fees		32,677
Miscellaneous		190,396
Total Expenses		2,754,469
Less reduction of expenses (Note 3)		(17	)
Net Expenses		2,754,452
NET INVESTMENT INCOME		2,341,901
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on-
Investments in securities		21,944,677
Options written		523,134
Foreign currency and translation of other assets and liabilities		(50,973	)
		22,416,838
Net change in unrealized appreciation (depreciation) on-
Investments in securities		(10,332,660	)
Options written		77,616
Foreign currency and translation of other assets and liabilities		(2,517	)
		(10,257,561	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY		12,159,277
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	14,501,178

The accompanying notes are an integral part of the financial statements.

70

Statements of Changes in Net Assets - Pro-Blend^® Extended Term Series

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	2,341,901		$	6,413,518
Net realized gain (loss) on investments and foreign currency		22,416,838			26,128,368
Net change in unrealized appreciation (depreciation) on investments and foreign currency		(10,257,561	)		32,493,713
Net increase (decrease) from operations		14,501,178			(6,321,643	)
DISTRIBUTIONS TO SHAREHOLDERS (Note 9):
Class S		(11,275,958	)		(16,366,482	)
Class I		(9,875,627	)		(13,372,839	)
Class R		(420,108	)		(870,640	)
Class L		(7,197,139	)		(9,091,336	)
Class W		(248	)		(28	)
Total distributions to shareholders		(28,769,080	)		(39,701,325	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase (decrease) from capital share transactions (Note 5)		10,638,558			(76,738,491	)
Net increase (decrease) in net assets		(3,629,344	)		(51,404,217	)
NET ASSETS:
Beginning of period		501,249,990			552,654,207
End of period	$	497,620,646		$	501,249,990

The accompanying notes are an integral part of the financial statements.

71

Financial Highlights - Pro-Blend^® Extended Term Series - Class S

	FOR THE SIX MONTHS ENDE			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19		10/31/18		10/31/17		10/31/16		10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$18.02		$16.85		$18.22		$16.62		$16.42		$18.28
Income (loss) from investment operations:
Net investment income1		0.10		0.22		0.18		0.15		0.14		0.16
Net realized and unrealized gain (loss) on investments		0.44		1.87		(0.43	)	1.70		0.37		(0.56	)
Total from investment operations		0.54		2.09		(0.25	)	1.85		0.51		(0.40	)
Less distributions to shareholders:
From net investment income		(0.09	)	(0.15	)	(0.10	)	(0.09	)	(0.09	)	(0.11	)
From net realized gain on investments		(0.66	)	(0.77	)	(1.02	)	(0.16	)	(0.22	)	(1.35	)
Total distributions to shareholders		(0.75	)	(0.92	)	(1.12	)	(0.25	)	(0.31	)	(1.46	)
Net asset value - End of period		$17.81		$18.02		$16.85		$18.22		$16.62		$16.42
Net assets - End of period (000’s omitted)		$264,092		$276,300		$308,334		$400,117		$498,344		$718,811
Total return2		2.99%		13.16%		(1.47%	)	11.26%		3.23%		(2.16%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		1.03%3		1.05%		1.10%		1.08%		1.07%		1.07%
Net investment income		1.10%3		1.31%		1.03%		0.89%		0.86%		0.96%
Series portfolio turnover		74%		61%		75%		79%		63%		66%

*For certain periods presented, 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 0.01% 0.01% N/A N/A N/A

¹Calculated based on average shares outstanding during the periods. 

²Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain periods. Periods less than one year are not annualized.

 ³Annualized.

The accompanying notes are an integral part of the financial statements.

72

Financial Highlights - Pro-Blend^® Extended Term Series - Class I

	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19		10/31/18		10/31/17		10/31/16		10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$9.15		$9.04		$10.31		$9.53		$9.57		$11.30
Income (loss) from investment operations:
Net investment income1		0.06		0.13		0.12		0.11		0.10		0.12
Net realized and unrealized gain (loss) on investments		0.22		0.95		(0.22	)	0.96		0.21		(0.34	)
Total from investment operations		0.28		1.08		(0.10	)	1.07		0.31		(0.22	)
Less distributions to shareholders:
From net investment income		(0.12	)	(0.20	)	(0.15	)	(0.13	)	(0.13	)	(0.16	)
From net realized gain on investments		(0.66	)	(0.77	)	(1.02	)	(0.16	)	(0.22	)	(1.35	)
Total distributions to shareholders		(0.78	)	(0.97	)	(1.17	)	(0.29	)	(0.35	)	(1.51	)
Net asset value - End of period		$8.65		$9.15		$9.04		$10.31		$9.53		$9.57
Net assets - End of period (000’s omitted)		$129,648		$117,991		$126,834		$147,257		$386,926		$545,570
Total return2		3.01%		13.36%		(1.15%	)	11.56%		3.52%		(1.91%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.85%3		0.85%		0.85%		0.83%		0.82%		0.82%
Net investment income		1.27%3		1.51%		1.29%		1.15%		1.12%		1.22%
Series portfolio turnover		74%		61%		75%		79%		63%		66%

*For certain periods presented, 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 0.01% 0.01% N/A N/A N/A

¹Calculated based on average shares outstanding during the periods. 

²Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain periods. Periods less than one year are not annualized. 

³Annualized.

The accompanying notes are an integral part of the financial statements.

73

Financial Highlights - Pro-Blend^®Extended Term Series - Class R

	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19		10/31/18		10/31/17		10/31/16		10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$ 10.86		$ 10.54		$ 11.82		$ 10.88		$ 10.87		$ 12.62
Income (loss) from investment operations:
Net investment income1		0.04		0.11		0.09		0.07		0.06		0.08
Net realized and unrealized gain (loss) on investments		0.27		1.11		(0.26	)	1.10		0.24		(0.38	)
Total from investment operations		0.31		1.22		(0.17	)	1.17		0.30		(0.30	)
Less distributions to shareholders:
From net investment income		(0.08	)	(0.13	)	(0.09	)	(0.07	)	(0.07	)	(0.10	)
From net realized gain on investments		(0.66	)	(0.77	)	(1.02	)	(0.16	)	(0.22	)	(1.35	)
Total distributions to shareholders		(0.74	)	(0.90	)	(1.11	)	(0.23	)	(0.29	)	(1.45	)
Net asset value - End of period		$ 10.43		$ 10.86		$ 10.54		$ 11.82		$ 10.88		$ 10.87
Net assets - End of period (000’s omitted)		$ 6,945		$ 6,149		$ 11,138		$ 15,358		$ 24,692		$ 40,379
Total return2		2.87%		12.73%		(1.65%	)	10.97%		2.93%		(2.39%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		1.34%3		1.35%		1.35%		1.33%		1.32%		1.32%
Net investment income		0.80%3		1.02%		0.79%		0.65%		0.61%		0.71%
Series portfolio turnover		74%		61%		75%		79%		63%		66%

*For certain periods presented, 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 0.02% 0.01% N/A N/A N/A

¹Calculated based on average shares outstanding during the periods. 

²Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain periods. Periods less than one year are not annualized. 

³Annualized.

The accompanying notes are an integral part of the financial statements.

74

Financial Highlights - Pro-Blend^® Extended Term Series - Class L*

	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19		10/31/18		10/31/17		10/31/16		10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.00		$9.78		$11.05		$10.19		$10.21		$11.95
Income (loss) from investment operations:
Net investment income1		0.02		0.05		0.03		0.01		0.01		0.02
Net realized and unrealized gain (loss) on investments		0.24		1.04		(0.24	)	1.03		0.22		(0.36	)
Total from investment operations		0.26		1.09		(0.21	)	1.04		0.23		(0.34	)
Less distributions to shareholders:
From net investment income		(0.06	)	(0.10	)	(0.04	)	(0.02	)	(0.03	)	(0.05	)
From net realized gain on investments		(0.66	)	(0.77	)	(1.02	)	(0.16	)	(0.22	)	(1.35	)
Total distributions to shareholders		(0.72	)	(0.87	)	(1.06	)	(0.18	)	(0.25	)	(1.40	)
Net asset value - End of period		$ 9.54		$ 10.00		$ 9.78		$ 11.05		$ 10.19		$ 10.21
Net assets - End of period (000’s omitted)		$ 96,931		$ 100,804		$ 106,348		$ 130,130		$ 146,554		$ 165,898
Total return2		2.58%		12.26%		(2.13%	)	10.42%		2.43%		(2.91%	)
Ratios (to average net assets)/Supplemental Data:
Expenses**		1.78%3		1.80%		1.85%		1.83%		1.82%		1.82%
Net investment income		0.35%3		0.57%		0.28%		0.14%		0.11%		0.21%
Series portfolio turnover		74%		61%		75%		79%		63%		66%

*Effective March 1, 2019, Class R2 shares of the Series have been redesignated as Class L shares.

**For certain periods presented, 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 0.00%⁴ 0.01% N/A N/A N/A

¹Calculated based on average shares outstanding during the periods. 

²Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain periods. Periods less than one year are not annualized. 

³Annualized.

⁴Less than 0.01%.

The accompanying notes are an integral part of the financial statements.

75

Financial Highlights - Pro-Blend^® Extended Term Series - Class W

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE PERIOD 4/1/191TO 10/31/19
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$18.08			$17.04
Income from investment operations:
Net investment income2		0.18			0.23
Net realized and unrealized gain (loss) on investments		0.45			0.90
Total from investment operations		0.63			1.13
Less distributions to shareholders:
From net investment income		(0.19	)		(0.09	)
From net realized gain on investments		(0.66	)		(0.00	)3
Total distributions to shareholders		(0.85	)		(0.09	)
Net asset value - End of period		$17.86			$18.08
Net assets - End of period (000’s omitted)		$6			$5
Total return4		3.46%			6.69%
Ratios (to average net assets)/Supplemental Data:
Expenses*5		0.10%			0.10%
Net investment income5		2.02%			2.20%
Series portfolio turnover		74%			61%

*The investment advisor did not impose all or a portion of its management and/or other fees during the period, and 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 amounts⁵:

0.63% 0.62%

¹Commencement of operations. 

²Calculated based on average shares outstanding during the periods.

³Less than $(0.01). 

⁴Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized. 

⁵Annualized.

The accompanying notes are an integral part of the financial statements.

76

Shareholder Expense Example - Pro-Blend^®Maximum Term Series
(unaudited)

As a shareholder of the Series, you incur ongoing costs, including management fees, shareholder service 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 (November 1, 2019 to April 30, 2020).

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 such as sales charges (loads), redemption fees, or exchange fees that you may incur in other mutual funds. 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.

	BEGINNING ACCOUNT VALUE 11/1/19	ENDING ACCOUNT VALUE 4/30/20		EXPENSES PAID DURING PERIOD 11/1/19-4/30/201	ANNUALIZED EXPENSE RATIO
Class S
Actual	$1,000.00	$	988.40	$5.44	1.10%
Hypothetical (5% return before expenses)	$1,000.00	$	1,019.39	$5.52	1.10%
Class I
Actual	$1,000.00	$	990.00	$4.21	0.85%
Hypothetical (5% return before expenses)	$1,000.00	$	1,020.64	$4.27	0.85%
Class R
Actual	$1,000.00	$	987.90	$6.47	1.31%
Hypothetical (5% return before expenses)	$1,000.00	$	1,018.35	$6.57	1.31%
Class L
Actual	$1,000.00	$	985.30	$8.93	1.81%
Hypothetical (5% return before expenses)	$1,000.00	$	1,015.86	$9.07	1.81%
Class W
Actual	$1,000.00	$	993.60	$0.50	0.10%
Hypothetical (5% return before expenses)	$1,000.00	$	1,024.37	$0.50	0.10%

77

Shareholder Expense Example - Pro-Blend^®Maximum Term Series

(unaudited)

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 182/366 (to reflect the one-half year period). The Class’ total return would have been lower had certain expenses not been waived or reimbursed during the period.

78

Portfolio Composition - Pro-Blend^®Maximum Term Series

As of April 30, 2020 (unaudited)

Asset Allocation¹

 

¹As a percentage of net assets.

²A U.S. Treasury Bond is a long-term obligation of the U.S. Treasury issued with a maturity period of more than ten years.

³A U.S. Treasury Note is an intermediate long-term obligation of the U.S. Treasury issued with a maturity period between one and ten years.

Sector Allocation4
Consumer Discretionary	16.3%
Information Technology	13.6%
Communication Services	12.9%
Health Care	10.4%
Financials	10.2%
Consumer Staples	10.1%
Energy	6.6%
Real Estate	4.9%
Industrials	3.9%
Materials	2.2%
Utilities	0.2%
4Including common stocks and corporate bonds, as a percentage of total investments.

Top Ten Stock Holdings5
Microsoft Corp.	2.2%
Cabot Oil & Gas Corp.	2.2%
The Coca-Cola Co.	2.2%
Mondelez International, Inc. - Class A	2.1%
ServiceNow, Inc.	2.0%
Amazon.com, Inc.	1.9%
Booking Holdings, Inc.	1.9%
Mastercard, Inc. - Class A	1.8%
Dollar General Corp.	1.8%
lululemon athletica, Inc.	1.8%
5As a percentage of total investments.

79

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®MAXIMUM TERM SERIES
	SHARES		VALUE (NOTE 2)
COMMON STOCKS - 86.5%
Communication Services - 11.9%
Entertainment - 5.8%
Activision Blizzard, Inc.		64,860	$	4,133,528
Electronic Arts, Inc.*		53,050		6,061,493
Nexon Co. Ltd. (Japan)		325,800		5,260,364
Sea Ltd. - ADR (Taiwan)*		37,785		2,100,090
The Walt Disney Co.		22,000		2,379,300
				19,934,775
Interactive Media & Services - 4.0%
Alphabet, Inc. - Class A*		2,985		4,019,899
Alphabet, Inc. - Class C*		605		815,939
Auto Trader Group plc (United Kingdom)1		22,980		132,284
Facebook, Inc. - Class A*		17,220		3,525,106
Tencent Holdings Ltd. - Class H (China)		97,934		5,148,335
				13,641,563
Media - 2.1%
Charter Communications, Inc. - Class A*		4,625		2,290,439
Comcast Corp. - Class A		3,349		126,023
Quebecor, Inc. - Class B (Canada)		116,990		2,547,482
Shaw Communications, Inc. - Class B (Canada)		139,290		2,272,550
				7,236,494
Total Communication Services				40,812,832
Consumer Discretionary - 15.7%
Distributors - 0.0%##
Genuine Parts Co.		383		30,364
Hotels, Restaurants & Leisure - 0.4%
Aristocrat Leisure Ltd. (Australia)		10,455		171,460
Hilton Worldwide Holdings, Inc.		575		43,533
Norwegian Cruise Line Holdings Ltd.*		26,370		432,468
Restaurant Brands International, Inc. (Canada)		5,480		270,164
Royal Caribbean Cruises Ltd.		11,460		535,984
Wyndham Hotels & Resorts, Inc.		1,365		51,474
				1,505,083
Household Durables - 1.2%
Garmin Ltd.		310		25,160
Nikon Corp. (Japan)		176,700		1,643,632
Sony Corp. - ADR (Japan)		36,130		2,321,352
Sony Corp. (Japan)		3,200		205,933
				4,196,077

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Consumer Discretionary(continued)
Internet & Direct Marketing Retail - 5.4%
Alibaba Group Holding Ltd. - ADR (China)*		10,050	$	2,036,833
Amazon.com, Inc.*		2,640		6,531,360
Booking Holdings, Inc.*		4,410		6,529,314
Expedia Group, Inc.		45,060		3,198,359
				18,295,866
Multiline Retail - 3.3%
B&M European Value Retail S.A. (United Kingdom)		47,170		197,261
Dollar General Corp.		35,775		6,271,358
Dollar Tree, Inc.*		60,730		4,838,359
				11,306,978
Specialty Retail - 2.0%
AutoZone, Inc.*		2,735		2,790,575
Best Buy Co., Inc.		557		42,739
Floor & Decor Holdings, Inc. - Class A*		34,795		1,475,308
The Home Depot, Inc.		1,013		222,688
Industria de Diseno Textil S.A. (Spain)		83,865		2,147,993
				6,679,303
Textiles, Apparel & Luxury Goods - 3.4%
adidas AG (Germany)		10,170		2,328,253
lululemon athletica, Inc.*		27,896		6,234,198
NIKE, Inc. - Class B		34,695		3,024,710
VF Corp.		766		44,505
				11,631,666
Total Consumer Discretionary				53,645,337
Consumer Staples - 10.1%
Beverages - 5.1%
Ambev S.A. - ADR (Brazil)		746,902		1,605,840
Anheuser-Busch InBev S.A./N.V. (Belgium)		45,812		2,133,476
The Coca-Cola Co.		161,897		7,429,454
Constellation Brands, Inc. - Class A		9,194		1,514,160
Diageo plc (United Kingdom)		71,789		2,471,672
Molson Coors Beverage Co. - Class B		532		21,817
PepsiCo, Inc.		16,335		2,160,957
				17,337,376
Food & Staples Retailing - 0.1%
The Kroger Co.		1,499		47,383
Sysco Corp.		827		46,535

The accompanying notes are an integral part of the financial statements.

80

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®MAXIMUM TERM SERIES
	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Consumer Staples (continued)
Food & Staples Retailing (continued)
Walmart, Inc.		2,021	$	245,653
				339,571
Food Products - 3.3%
Archer-Daniels-Midland Co.		1,001		37,177
Conagra Brands, Inc.		1,065		35,614
Danone S.A. (France)		4,546		316,844
General Mills, Inc.		1,219		73,006
The Hershey Co.		377		49,926
Hormel Foods Corp.		732		34,294
The J.M. Smucker Co.		277		31,830
Mondelez International, Inc. - Class A		137,452		7,070,531
Nestle S.A. (Switzerland)		34,555		3,659,721
Tyson Foods, Inc. - Class A		648		40,299
				11,349,242
Household Products - 0.0%##
Colgate-Palmolive Co.		1,371		96,340
Kimberly-Clark Corp.		517		71,594
				167,934
Personal Products - 1.6%
Beiersdorf AG (Germany)		15,680		1,640,580
Unilever plc - ADR (United Kingdom)		72,519		3,761,561
				5,402,141
Total Consumer Staples				34,596,264
Energy - 5.7%
Energy Equipment & Services - 0.3%
Baker Hughes Co.		2,077		28,974
Schlumberger Ltd.		68,388		1,150,286
				1,179,260
Oil, Gas & Consumable Fuels - 5.4%
BP plc - ADR (United Kingdom)		2,190		52,122
Cabot Oil & Gas Corp.		346,475		7,490,789
Cameco Corp. (Canada)		29,255		291,380
Chevron Corp.		7,210		663,320
Concho Resources, Inc.		15,490		878,593
ConocoPhillips		39,455		1,661,056
EOG Resources, Inc.		58,041		2,757,528
Exxon Mobil Corp.		30,270		1,406,647
Marathon Petroleum Corp.		1,258		40,357
Pioneer Natural Resources Co.		10,165		907,836
Royal Dutch Shell plc - Class B - ADR (Netherlands)		14,480		462,926
TOTAL S.A. - ADR (France)		42,610		1,497,742

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Energy(continued)
Oil, Gas & Consumable Fuels (continued)
Tourmaline Oil Corp. (Canada)		34,515	$	342,187
Valero Energy Corp.		745		47,196
				18,499,679
Total Energy				19,678,939
Financials - 9.5%
Banks - 0.8%
Bank of America Corp.		7,352		176,816
The Bank Of N.T. Butterfield & Son Ltd. (Bermuda)		6,610		145,486
Citigroup, Inc.		2,209		107,269
Fifth Third Bancorp.		1,402		26,203
FinecoBank Banca Fineco S.p.A. (Italy)		162,590		1,811,524
JPMorgan Chase & Co.		2,430		232,697
The PNC Financial Services Group, Inc.		474		50,562
Regions Financial Corp.		2,093		22,500
Truist Financial Corp.		2,036		75,984
U.S. Bancorp.		2,122		77,453
Wells Fargo & Co.		4,533		131,684
				2,858,178
Capital Markets - 7.0%
BlackRock, Inc.		10,185		5,113,277
Cboe Global Markets, Inc.		27,840		2,766,739
CME Group, Inc.		13,180		2,348,808
Deutsche Boerse AG (Germany)		23,185		3,594,582
Intercontinental Exchange, Inc.		27,650		2,473,292
Moody’s Corp.		15,455		3,769,474
S&P Global, Inc.		12,750		3,734,220
				23,800,392
Diversified Financial Services - 1.5%
Berkshire Hathaway, Inc. - Class B*		27,120		5,081,203
Insurance - 0.2%
Admiral Group plc (United Kingdom)		16,470		480,602
The Allstate Corp.		494		50,250
Chubb Ltd.		590		63,726
Cincinnati Financial Corp.		275		18,095
The Hartford Financial Services Group, Inc.		720		27,353
The Travelers Companies, Inc.		399		40,383
				680,409
Total Financials				32,420,182

The accompanying notes are an integral part of the financial statements.

81

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®MAXIMUM TERM SERIES
	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Health Care - 10.2%
Biotechnology - 2.3%
AbbVie, Inc.		1,680	$	138,096
BioMarin Pharmaceutical, Inc.*		34,170		3,144,323
Gilead Sciences, Inc.		1,771		148,764
Incyte Corp.*		15,320		1,496,151
Seattle Genetics, Inc.*		12,330		1,692,046
Vertex Pharmaceuticals, Inc.*		5,790		1,454,448
				8,073,828
Health Care Equipment & Supplies - 2.8%
Alcon, Inc. (Switzerland)*		33,909		1,790,734
Boston Scientific Corp.*		39,540		1,481,959
Getinge AB - Class B (Sweden)		13,135		251,762
Intuitive Surgical, Inc.*		2,235		1,141,817
Medtronic plc		34,331		3,351,736
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)		196,000		297,752
West Pharmaceutical Services, Inc.		7,350		1,391,061
				9,706,821
Health Care Providers & Services - 0.8%
Quest Diagnostics, Inc.		312		34,354
UnitedHealth Group, Inc.		8,990		2,629,305
				2,663,659
Life Sciences Tools & Services - 0.8%
Gerresheimer AG (Germany)		3,545		281,933
Thermo Fisher Scientific, Inc.		7,355		2,461,571
				2,743,504
Pharmaceuticals - 3.5%
Bristol-Myers Squibb Co.		2,502		152,147
Eli Lilly & Co.		741		114,588
Johnson & Johnson		41,516		6,229,061
Merck & Co., Inc.		17,222		1,366,393
Novartis AG - ADR (Switzerland)		42,730		3,620,513
Perrigo Co. plc		4,540		241,982
Pfizer, Inc.		5,937		227,743
				11,952,427
Total Health Care				35,140,239
Industrials - 3.4%
Aerospace & Defense - 0.1%
Airbus SE (France)*		1,595		100,994
General Dynamics Corp.		409		53,424
Lockheed Martin Corp.		362		140,840
Raytheon Technologies Corp.		1,813		117,501
				412,759

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Industrials(continued)
Air Freight & Logistics - 0.0%##
C.H. Robinson Worldwide, Inc.		375	$	26,587
Airlines - 1.6%
easyJet plc (United Kingdom)		319,210		2,417,911
Ryanair Holdings plc - ADR (Ireland)*		47,780		3,032,597
				5,450,508
Building Products - 0.0%##
Johnson Controls International plc		1,585		46,139
Trane Technologies plc		360		31,471
				77,610
Commercial Services & Supplies - 0.5%
Bingo Industries Ltd. (Australia)		105,770		160,188
Copart, Inc.*		19,790		1,585,377
Waste Management, Inc.		677		67,714
				1,813,279
Electrical Equipment - 0.1%
Eaton Corp. plc		722		60,287
Emerson Electric Co.		1,124		64,102
Rockwell Automation, Inc.		217		41,117
				165,506
Industrial Conglomerates - 0.1%
3M Co.		741		112,573
Honeywell International, Inc.		863		122,460
				235,033
Machinery - 0.1%
Caterpillar, Inc.		768		89,380
Cummins, Inc.		303		49,540
Dover Corp.		247		23,132
Illinois Tool Works, Inc.		494		80,275
Parker-Hannifin Corp.		214		33,838
Stanley Black & Decker, Inc.		262		28,872
The Weir Group plc (United Kingdom)		13,440		160,616
				465,653
Road & Rail - 0.1%
Norfolk Southern Corp.		305		52,186
Union Pacific Corp.		819		130,868
				183,054
Trading Companies & Distributors - 0.7%
Brenntag AG (Germany)		52,200		2,363,520
Fastenal Co.		1,224		44,333

The accompanying notes are an integral part of the financial statements.

82

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®MAXIMUM TERM SERIES
			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Industrials (continued)
Trading Companies & Distributors (continued)
WW Grainger, Inc.		87	$	23,975
				2,431,828
Transportation Infrastructure - 0.1%
Grupo Aeroportuario del Centro
Norte S.A.B. de C.V. (Mexico)		21,800		79,788
Grupo Aeroportuario del Pacifico
S.A.B. de C.V. - ADR (Mexico)		1,370		84,940
Grupo Aeroportuario del Sureste
S.A.B. de C.V. - ADR (Mexico)		875		87,246
				251,974
Total Industrials				11,513,791
Information Technology - 13.5%
Communications Equipment - 0.0%##
Cisco Systems, Inc.		4,253		180,242
IT Services - 6.7%
Accenture plc - Class A		13,706		2,538,214
Adyen N.V. (Netherlands)*1		115		113,572
Automatic Data Processing, Inc.		443		64,984
International Business Machines Corp.		1,072		134,600
Keywords Studios plc (Ireland)		4,701		94,177
Mastercard, Inc. - Class A		22,850		6,283,064
PayPal Holdings, Inc.*		48,375		5,950,125
Square, Inc. - Class A*		15,685		1,021,721
Switch, Inc. - Class A		2,904		49,862
Verra Mobility Corp.*		193,885		1,737,210
Visa, Inc. - Class A		27,205		4,862,078
				22,849,607
Semiconductors & Semiconductor Equipment - 1.9%
Analog Devices, Inc.		464		50,854
Intel Corp.		3,938		236,201
KLA Corp.		303		49,719
Micron Technology, Inc.*		125,895		6,029,112
QUALCOMM, Inc.		1,073		84,413
Skyworks Solutions, Inc.		276		28,671
Texas Instruments, Inc.		1,146		133,016
Xilinx, Inc.		379		33,125
				6,645,111
Software - 4.9%
Microsoft Corp.		42,395		7,597,608
Oracle Corp.		2,286		121,089
salesforce.com, Inc.*		13,760		2,228,432
ServiceNow, Inc.*		19,165		6,737,264
				16,684,393

			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
Technology Hardware, Storage & Peripherals - 0.0%##
NetApp, Inc.		519	$	22,717
Total Information Technology				46,382,070
Materials - 2.1%
Chemicals - 0.6%
Akzo Nobel N.V. (Netherlands)		2,346		178,038
FMC Corp.		17,345		1,594,006
International Flavors & Fragrances, Inc.		184		24,110
Linde plc (United Kingdom)		476		87,579
LyondellBasell Industries N.V. - Class A		717		41,550
PPG Industries, Inc.		350		31,790
				1,957,073
Containers & Packaging - 0.6%
Graphic Packaging Holding Co.		171,400		2,288,190
Metals & Mining - 0.9%
Freeport-McMoRan, Inc.		129,410		1,142,690
Lundin Mining Corp. (Chile)		31,720		155,415
Nucor Corp.		740		30,481
Southern Copper Corp. (Peru)		53,860		1,747,218
				3,075,804
Total Materials				7,321,067
Real Estate - 4.4%
Equity Real Estate Investment Trusts (REITS) - 4.4%
Acadia Realty Trust		2,205		27,320
Agree Realty Corp.		500		32,555
Alexandria Real Estate Equities, Inc.		315		49,483
American Campus Communities, Inc.		2,107		74,356
American Homes 4 Rent - Class A		3,125		75,437
American Tower Corp.		17,695		4,211,410
Americold Realty Trust		2,665		81,522
Apartment Investment & Management Co. - Class A		1,563		58,878
AvalonBay Communities, Inc.		690		112,435
Boston Properties, Inc.		370		35,957
Brandywine Realty Trust		3,450		38,502
Camden Property Trust		1,115		98,198
Community Healthcare Trust, Inc.		1,140		42,408
CoreSite Realty Corp.		210		25,450
Cousins Properties, Inc.		2,985		90,057
Crown Castle International Corp.		520		82,904
Digital Realty Trust, Inc.		997		149,042
Douglas Emmett, Inc.		2,025		61,742

The accompanying notes are an integral part of the financial statements.

83

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND®MAXIMUM TERM SERIES
			VALUE
	SHARES		(NOTE 2)
COMMON STOCKS (continued)
Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
Duke Realty Corp.		2,044	$	70,927
Equinix, Inc.		5,598		3,779,770
Equity LifeStyle Properties, Inc.		1,530		92,274
Equity Residential		1,250		81,325
Essex Property Trust, Inc.		212		51,749
Extra Space Storage, Inc.		270		23,825
First Industrial Realty Trust, Inc.		920		34,748
Getty Realty Corp.		1,050		28,518
Healthcare Realty Trust, Inc.		1,220		35,856
Healthcare Trust of America, Inc. - Class A		940		23,152
Healthpeak Properties, Inc.		2,870		75,022
Hibernia REIT plc (Ireland)		24,250		31,544
Host Hotels & Resorts, Inc.		1,766		21,739
Invitation Homes, Inc.		4,581		108,341
Jernigan Capital, Inc.		2,600		34,320
Kilroy Realty Corp.		1,621		100,923
Life Storage, Inc.		240		21,022
Mid-America Apartment
Communities, Inc.		470		52,602
National Retail Properties, Inc.		905		29,539
Physicians Realty Trust		2,130		32,845
Prologis, Inc.		3,269		291,693
Public Storage		605		112,197
Realty Income Corp.		575		31,579
Rexford Industrial Realty, Inc.		1,260		51,307
SBA Communications Corp.		13,910		4,032,787
STAG Industrial, Inc.		1,210		31,762
STORE Capital Corp.		1,485		29,804
Sun Communities, Inc.		1,085		145,824
Sunstone Hotel Investors, Inc.		2,060		18,931
Terreno Realty Corp.		355		19,461
UDR, Inc.		1,059		39,681
Urban Edge Properties		2,570		29,555
Welltower, Inc.		1,377		70,544
Total Real Estate				14,982,822
TOTAL COMMON STOCKS
(Identified Cost $254,923,387)				296,493,543

	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
CORPORATE BONDS - 4.5%
Non-Convertible Corporate Bonds - 4.5%
Communication Services - 1.0%
Diversified Telecommunication Services - 0.4%
AT&T, Inc., 4.25%, 3/1/2027		140,000	$	154,285
Verizon Communications, Inc.,
5.25%, 3/16/2037		850,000		1,132,199
				1,286,484
Interactive Media & Services - 0.2%
Tencent Holdings Ltd. (China)1,
3.975%, 4/11/2029.		490,000		551,277
Media - 0.4%
Altice Financing S.A. (Luxembourg)1,
7.50%, 5/15/2026		35,000		36,487
CCO Holdings LLC - CCO Holdings
Capital Corp.1, 4.50%, 8/15/2030		30,000		30,384
Comcast Corp., 3.25%, 11/1/2039		520,000		566,540
Discovery Communications LLC,
5.20%, 9/20/2047		610,000		694,763
Townsquare Media, Inc.1, 6.50%,
4/1/2023		35,000		30,944
				1,359,118
Wireless Telecommunication Services - 0.0%##
Sprint Communications, Inc., 7.00%,
8/15/2020.		45,000		45,393
Sprint Corp., 7.25%, 9/15/2021		20,000		20,975
Sprint Corp., 7.125%, 6/15/2024		40,000		44,901
				111,269
Total Communication Services				3,308,148
Consumer Discretionary - 0.6%
Auto Components - 0.0%##
Techniplas LLC1, 10.00%, 5/1/2020		25,000		4,438
Automobiles - 0.0%##
Ford Motor Co., 9.625%, 4/22/2030.		25,000		24,907
Diversified Consumer Services - 0.0%##
Carriage Services, Inc.1, 6.625%,
6/1/2026		30,000		29,583
Household Durables - 0.0%##
Foxtrot Escrow Issuer LLC - Foxtrot
Escrow Corp.1, 12.25%,
11/15/2026		40,000		33,000
LGI Homes, Inc.1, 6.875%,
7/15/2026		55,000		51,219
TRI Pointe Group, Inc. - TRI Pointe
Homes, Inc., 5.875%, 6/15/2024		20,000		19,402

The accompanying notes are an integral part of the financial statements.

84

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES
	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Consumer Discretionary (continued)					��
Household Durables (continued)
Weekley Homes LLC - Weekley
Finance Corp., 6.625%,
8/15/2025		30,000	$	27,012
				130,633
Internet & Direct Marketing Retail - 0.5%
Alibaba Group Holding Ltd. (China),
3.40%, 12/6/2027		510,000		554,146
Booking Holdings, Inc., 3.60%,
6/1/2026		570,000		595,644
Expedia Group, Inc.1, 6.25%,
5/1/2025		310,000		316,139
Photo Holdings Merger Sub, Inc.1,
8.50%, 10/1/2026		45,000		38,963
				1,504,892
Multiline Retail - 0.0%##
Staples, Inc.1, 7.50%, 4/15/2026		30,000		23,700
Specialty Retail - 0.1%
The TJX Cos, Inc., 3.50%,
4/15/2025		340,000		366,675
Total Consumer Discretionary				2,084,828
Consumer Staples - 0.0%##
Food & Staples Retailing - 0.0%##
KeHE Distributors LLC - KeHE
Finance Corp.1, 8.625%,
10/15/2026		30,000		31,725
Energy - 0.8%
Energy Equipment & Services - 0.0%##
Oceaneering International, Inc.,
6.00%, 2/1/2028		50,000		25,687
Oil, Gas & Consumable Fuels - 0.8%
Antero Midstream Partners LP -
Antero Midstream Finance Corp.1,
5.75%, 3/1/2027		35,000		25,900
Antero Midstream Partners LP -
Antero Midstream Finance Corp.1,
5.75%, 1/15/2028		20,000		14,700
Bruin E&P Partners LLC3, 8.875%,
8/1/2023		45,000		1,125
Calumet Specialty Products Partners
LP - Calumet Finance Corp.1,
11.00%, 4/15/2025		30,000		23,250
Cheniere Energy Partners LP,
5.625%, 10/1/2026		55,000		52,558
CVR Energy, Inc.1, 5.75%,
2/15/2028		35,000		29,593

	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Energy (continued)
Oil, Gas & Consumable Fuels (continued)
Energy Transfer Operating LP,
6.50%, 2/1/2042		450,000	$	453,807
Genesis Energy LP - Genesis
Energy Finance Corp., 7.75%,
2/1/2028		30,000		25,500
HollyFrontier Corp., 5.875%,
4/1/2026		50,000		51,136
Jonah Energy LLC - Jonah Energy
Finance Corp.1, 7.25%,
10/15/2025		40,000		700
Kinder Morgan Energy Partners LP,
6.95%, 1/15/2038		540,000		643,807
Laredo Petroleum, Inc., 10.125%,
1/15/2028		30,000		12,221
Lonestar Resources America, Inc.1,
11.25%, 1/1/2023		60,000		7,500
Moss Creek Resources Holdings,
Inc.1, 7.50%, 1/15/2026		20,000		6,700
NuStar Logistics LP, 6.75%,
2/1/2021		20,000		19,300
PBF Holding Co. LLC - PBF Finance
Corp.1, 6.00%, 2/15/2028		30,000		21,357
Sabine Pass Liquefaction LLC,
5.875%, 6/30/2026		770,000		821,880
Whiting Petroleum Corp.4,5, 5.75%,
3/15/2021		30,000		3,000
The Williams Companies, Inc.,
3.75%, 6/15/2027		520,000		519,203
				2,733,237
Total Energy				2,758,924
Financials - 0.7%
Banks - 0.6%
Bank of America Corp., 4.00%,
1/22/2025		220,000		237,688
CIT Group, Inc., 4.125%, 3/9/2021		35,000		34,387
Citigroup, Inc., 4.45%, 9/29/2027		420,000		460,085
Fidelity & Guaranty Life Holdings,
Inc.1, 5.50%, 5/1/2025		45,000		47,531
JPMorgan Chase & Co.6, (3 mo
LIBOR US + 1.000%), 4.023%,
12/5/2024		500,000		541,222
Popular, Inc., 6.125%, 9/14/2023		35,000		33,688

The accompanying notes are an integral part of the financial statements.

85

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES
	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials (continued)
Banks (continued)
Santander Holdings USA, Inc.,
4.50%, 7/17/2025		660,000	$	679,658
				2,034,259
Capital Markets - 0.0%##
Advisor Group Holdings, Inc.1,
10.75%, 8/1/2027		20,000		15,166
Donnelley Financial Solutions, Inc.,
8.25%, 10/15/2024		60,000		55,800
Oaktree Specialty Lending Corp.,
3.50%, 2/25/2025		35,000		32,044
				103,010
Consumer Finance - 0.1%
Credit Acceptance Corp.1, 5.125%,
12/31/2024		20,000		17,550
Discover Financial Services, 4.50%,
1/30/2026		35,000		36,397
Navient Corp., 5.00%, 10/26/2020		30,000		29,416
Navient Corp., 6.75%, 6/25/2025		50,000		46,250
SLM Corp., 5.125%, 4/5/2022		35,000		32,060
Springleaf Finance Corp., 7.125%,
3/15/2026		30,000		28,275
				189,948
Diversified Financial Services - 0.0%##
VistaJet Malta Finance plc - XO
Management Holding, Inc.
(Switzerland)1, 10.50%, 6/1/2024		55,000		43,862
Mortgage Real Estate Investment Trusts (REITS) - 0.0%##
Ladder Capital Finance Holdings
LLLP - Ladder Capital Finance
Corp.1, 5.875%, 8/1/2021		35,000		30,975
Starwood Property Trust, Inc.,
3.625%, 2/1/2021		50,000		47,000
				77,975
Thrifts & Mortgage Finance - 0.0%##
Acrisure LLC - Acrisure Finance,
Inc.1, 7.00%, 11/15/2025		20,000		17,700

	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Financials (continued)
Thrifts & Mortgage Finance (continued)
Radian Group, Inc., 4.875%,
3/15/2027		50,000	$	43,852
				61,552
Total Financials				2,510,606
Health Care - 0.1%
Health Care Providers & Services - 0.1%
HCA, Inc., 4.125%, 6/15/2029		500,000		540,899
Industrials - 0.5%
Aerospace & Defense - 0.0%##
Howmet Aerospace, Inc., 6.875%,
5/1/2025		55,000		56,087
Air Freight & Logistics - 0.0%##
Cargo Aircraft Management, Inc.1,
4.75%, 2/1/2028		45,000		42,019
Building Products - 0.0%##
Griffon Corp., 5.75%, 3/1/2028		35,000		33,338
Commercial Services & Supplies - 0.1%
The ADT Security Corp., 6.25%,
10/15/2021		20,000		20,568
Prime Security Services Borrower
LLC - Prime Finance, Inc.1,
5.25%, 4/15/2024		30,000		29,391
Prime Security Services Borrower
LLC - Prime Finance, Inc.1,
5.75%, 4/15/2026		30,000		29,559
Prime Security Services Borrower
LLC - Prime Finance, Inc.1,
6.25%, 1/15/2028		40,000		35,492
Stericycle, Inc.1, 5.375%, 7/15/2024		30,000		30,086
				145,096
Construction & Engineering - 0.0%##
HC2 Holdings, Inc.1, 11.50%,
12/1/2021		13,000		11,310

The accompanying notes are an integral part of the financial statements.

86

Investment Portfolio - April 30, 2020

(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES
	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Industrials (continued)
Construction & Engineering (continued)
Tutor Perini Corp.1, 6.875%,
5/1/2025		60,000	$	47,250
				58,560
Industrial Conglomerates - 0.1%
General Electric Co.6,7, (3 mo.
LIBOR US + 3.330%), 5.00%		330,000		270,394
Marine - 0.0%##
American Tanker, Inc. (Norway)1,
9.25%, 2/22/2022		15,000		15,000
Trading Companies & Distributors - 0.3%
AerCap Ireland Capital DAC -
AerCap Global Aviation Trust
(Ireland), 4.45%, 10/1/2025		380,000		334,419
Air Lease Corp., 3.25%, 3/1/2025		35,000		31,441
Air Lease Corp., 3.625%, 4/1/2027		370,000		317,569
Avolon Holdings Funding Ltd.
(Ireland)1, 3.25%, 2/15/2027		430,000		332,787
Fortress Transportation &
Infrastructure Investors LLC1,
6.50%, 10/1/2025		40,000		32,800
				1,049,016
Total Industrials.				1,669,510
Information Technology - 0.0%##
IT Services - 0.0%##
Science Applications International
Corp.1, 4.875%, 4/1/2028		40,000		39,172
Materials - 0.1%
Chemicals - 0.0%##
CF Industries, Inc., 3.45%, 6/1/2023		5,000		5,062
PolyOne Corp.1, 5.75%, 5/15/2025		30,000		30,375
				35,437
Containers & Packaging - 0.0%##
Berry Global, Inc.1, 4.50%,
2/15/2026		35,000		34,548
Graphic Packaging International
LLC, 4.75%, 4/15/2021		25,000		25,164
				59,712
Metals & Mining - 0.1%
Compass Minerals International,
Inc.1, 6.75%, 12/1/2027		35,000		34,650
IAMGOLD Corp. (Canada)1, 7.00%,
4/15/2025		65,000		65,512
Infrabuild Australia Pty Ltd.
(Australia)1, 12.00%, 10/1/2024		30,000		25,500

	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
CORPORATE BONDS (continued)
Non-Convertible Corporate Bonds (continued)
Materials (continued)
Metals & Mining (continued)
Kinross Gold Corp. (Canada),
4.50%, 7/15/2027		15,000	$	15,779
Mountain Province Diamonds, Inc.
(Canada)1, 8.00%, 12/15/2022		20,000		12,600
Northwest Acquisitions ULC -
Dominion Finco, Inc.1, 7.125%,
11/1/2022		40,000		4,100
				158,141
Total Materials				253,290
Real Estate - 0.5%
Equity Real Estate Investment Trusts (REITS) - 0.5%
American Tower Corp., 3.80%,
8/15/2029		670,000		748,961
Crown Castle International Corp.,
3.10%, 11/15/2029		670,000		715,110
HAT Holdings I LLC - HAT Holdings
II LLC1, 6.00%, 4/15/2025		50,000		50,000
Iron Mountain, Inc., 5.75%,
8/15/2024		35,000		34,388
				1,548,459
Real Estate Management & Development - 0.0%##
Five Point Operating Co. LP - Five
Point Capital Corp.1, 7.875%,
11/15/2025		30,000		28,988
Forestar Group, Inc.1, 5.00%,
3/1/2028		40,000		34,900
				63,888
Total Real Estate				1,612,347
Utilities - 0.2%
Electric Utilities - 0.1%
Dominion Energy, Inc., 3.375%,
4/1/2030		340,000		369,675
NextEra Energy Operating Partners
LP1, 4.25%, 7/15/2024		15,000		15,267
				384,942
Independent Power and Renewable Electricity Producers - 0.1%
Drax Finco plc (United Kingdom)1,
6.625%, 11/1/2025		200,000		204,000
Vistra Operations Co. LLC1, 5.625%,
2/15/2027		35,000		36,838
				240,838
Total Utilities				625,780
TOTAL CORPORATE BONDS
(Identified Cost $15,662,018)				15,435,229

The accompanying notes are an integral part of the financial statements.

87

Investment Portfolio - April 30, 2020 
(unaudited)

PRO-BLEND® MAXIMUM TERM SERIES
	PRINCIPAL		VALUE
	AMOUNT2		(NOTE 2)
U.S. TREASURY SECURITIES - 6.5%
U.S. Treasury Bonds - 0.6%
U.S. Treasury Bond, 3.00%, 5/15/2047
(Identified Cost $1,384,599)		1,315,000	$	1,837,661
U.S. Treasury Notes - 5.9%
U.S. Treasury Note, 2.50%, 5/15/2024		6,275,000		6,825,288
U.S. Treasury Note, 2.125%, 5/15/2025		6,205,000		6,746,483
U.S. Treasury Note, 2.00%, 8/15/2025		6,225,000		6,746,587
Total U.S. Treasury Notes
(Identified Cost $20,333,338)				20,318,358
TOTAL U.S. TREASURY SECURITIES
(Identified Cost $21,717,937)				22,156,019

			VALUE
	SHARES		(NOTE 2)
SHORT-TERM INVESTMENT - 2.2%
Dreyfus Government Cash Management, Institutional Shares, 0.17%8
(Identified Cost $7,545,457)		7,545,457	$	7,545,457
TOTAL INVESTMENTS - 99.7%
(Identified Cost $299,848,799)				341,630,248
OTHER ASSETS, LESS LIABILITIES - 0.3%				948,586
NET ASSETS - 100%			$	342,578,834

ADR - American Depositary Receipt

LIBOR - London Interbank Offered Rate

*Non-income producing security.

## Less than 0.1%.

¹ Restricted 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 under the Fund’s Liquidity Risk Management Program. These securities amount to $2,948,343, or 0.9% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

² Amount is stated in USD unless otherwise noted.

³ Restricted security - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. This security was acquired on January 17, 2019 and March 26, 2020 at a cost of $18,875 ($94.38 per share) and cost of $2,625 ($10.50 per share), respectively. This security has been sold under rule 144A and has been deter- mined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $1,125, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁴ Illiquid security - This security was acquired on January 8, 2020 and February 5, 2020 at a cost of $19,788 ($98.94 per share) and cost of $9,325 ($93.25 per share), respectively. This security has been determined to be illiquid under the Fund’s Liquidity Risk Management Program. This security amounts to $3,000, or less than 0.1% of the Series’ net assets as of April 30, 2020 (see Note 2 to the financial statements).

⁵ Issuer filed for bankruptcy and/or is in default of interest payments.

⁶ Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of April 30, 2020.

⁷ Security is perpetual in nature and has no stated maturity date.

⁸ Rate shown is the current yield as of April 30, 2020.

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 S&P Global 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.

88

Statement of Assets and Liabilities - Pro-Blend^® Maximum Term Series

April 30, 2020 (unaudited)

ASSETS:
Investments, at value (identified cost $299,848,799) (Note 2)	$	341,630,248
Receivable for securities sold		1,484,252
Foreign tax reclaims receivable		673,097
Interest receivable		358,227
Dividends receivable		109,639
Receivable for fund shares sold		72,017
Prepaid expenses		37,940
TOTAL ASSETS		344,365,420
LIABILITIES:
Accrued management fees (Note 3)		158,738
Accrued sub-transfer agent fees (Note 3)		103,018
Accrued distribution and service (Rule 12b-1) fees (Class S) (Class R) (Class L) (Note 3)		86,817
Accrued fund accounting and administration fees (Note 3)		25,935
Accrued Chief Compliance Officer service fees (Note 3)		956
Payable for fund shares repurchased		893,455
Payable for securities purchased		411,991
Other payables and accrued expenses		105,676
TOTAL LIABILITIES		1,786,586
TOTAL NET ASSETS	$	342,578,834
NET ASSETS CONSIST OF:
Capital stock	$	249,850
Additional paid-in-capital		299,248,134
Total distributable earnings (loss)		43,080,850
TOTAL NET ASSETS	$	342,578,834

The accompanying notes are an integral part of the financial statements.

89

Statement of Assets and Liabilities - Pro-Blend^® Maximum Term Series

April 30, 2020 (unaudited)

NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S
($216,689,996/10,800,079 shares)	$	20.06
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I
($60,757,775/7,317,049 shares)	$	8.30
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class R
($15,763,854/1,377,710 shares)	$	11.44
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class L
($48,822,973/5,463,128 shares)	$	8.94
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class W
($544,236/26,988 shares)	$	20.17

The accompanying notes are an integral part of the financial statements.

90

Statement of Operations - Pro-Blend^® Maximum Term Series
For the Six Months Ended April 30, 2020 (unaudited)

INVESTMENT INCOME:
Dividends (net of foreign taxes withheld, $113,407)	$	2,176,449
Interest		538,366
Total Investment Income		2,714,815
EXPENSES:
Management fees (Note 3)		1,100,051
Distribution and service (Rule 12b-1) fees (Class S) (Note 3)		281,790
Distribution and service (Rule 12b-1) fees (Class L) (Note 3)		261,329
Distribution and service (Rule 12b-1) fees (Class R) (Note 3)		37,994
Sub-transfer agent fees (Note 3)		169,097
Fund accounting and administration fees (Note 3)		48,623
Directors’ fees (Note 3)		18,668
Chief Compliance Officer service fees (Note 3)		1,438
Custodian fees		26,353
Miscellaneous		194,563
Total Expenses		2,139,906
Less reduction of expenses (Note 3)		(17,574	)
Net Expenses		2,122,332
NET INVESTMENT INCOME		592,483
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on-
Investments		2,100,429
Foreign currency and translation of other assets and liabilities		(38,328	)
		2,062,101
Net change in unrealized appreciation (depreciation) on-
Investments		(6,177,598	)
Foreign currency and translation of other assets and liabilities		4,079
		(6,173,519	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY		(4,111,418	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(3,518,935	)

The accompanying notes are an integral part of the financial statements.

91

Statements of Changes in Net Assets - Pro-Blend^® Maximum Term Series

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income	$	592,483		$	2,534,674
Net realized gain (loss) on investments and foreign currency		2,062,101			27,303,173
Net change in unrealized appreciation (depreciation) on investments and foreign currency		(6,173,519	)		21,654,567
Net increase (decrease) from operations		(3,518,935	)		51,492,414
DISTRIBUTIONS TO SHAREHOLDERS (Note 9):
Class S		(11,434,997	)		(22,070,905	)
Class I		(9,614,595	)		(16,046,289	)
Class R		(1,280,837	)		(1,901,177	)
Class L		(5,583,198	)		(8,667,885	)
Class W		(29,573	)		(23	)
Total distributions to shareholders		(27,943,200	)		(48,686,279	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net increase (decrease) from capital share transactions (Note 5)		(3,583,594	)		(34,366,414	)
Net increase (decrease) in net assets		(35,045,729	)		31,560,279
NET ASSETS:
Beginning of period		377,624,563			409,184,842
End of period	$	342,578,834		$	377,624,563

The accompanying notes are an integral part of the financial statements.

92

Financial Highlights - Pro-Blend^®Maximum Term Series - Class S

	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19		10/31/18		10/31/17		10/31/16		10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$21.32		$20.59		$21.71		$18.71		$18.30		$20.86
Income (loss) from investment operations:
Net investment income1		0.04		0.14		0.08		0.09		0.03		0.09
Net realized and unrealized gain (loss) on investments		(0.23	)	2.44		0.42		3.32		0.59		(0.54	)
Total from investment operations		(0.19	)	2.58		0.50		3.41		0.62		(0.45	)
Less distributions to shareholders:
From net investment income		(0.03	)	(0.08	)	(0.06	)	(0.04	)	(0.02	)	(0.05	)
From net realized gain on investments		(1.04	)	(1.77	)	(1.56	)	(0.37	)	(0.19	)	(2.06	)
Total distributions to shareholders		(1.07	)	(1.85	)	(1.62	)	(0.41	)	(0.21	)	(2.11	)
Net asset value - End of period		$20.06		$21.32		$20.59		$21.71		$18.71		$18.30
Net assets - End of period (000’s omitted)		$216,690		$229,540		$248,691		$306,055		$367,227		$503,378
Total return2		(1.16%	)	14.19%		2.24%		18.60%		3.45%		(2.03%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		1.10%3		1.10%		1.10%		1.10%		1.08%		1.08%
Net investment income		0.38%3		0.70%		0.35%		0.45%		0.15%		0.45%
Series portfolio turnover		47%		73%		63%		85%		49%		59%

*For certain periods presented, 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 0.01% 0.03% N/A N/A N/A

¹Calculated based on average shares outstanding during the periods. 

²Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain periods. Periods less than one year are not annualized. 

³Annualized.

The accompanying notes are an integral part of the financial statements.

93

Financial Highlights - Pro-Blend^®Maximum Term Series - Class I

	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19		10/31/18		10/31/17		10/31/16		10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$9.44		$10.22		$11.60		$10.19		$10.09		$12.51
Income (loss) from investment operations:
Net investment income1		0.03		0.09		0.07		0.08		0.04		0.08
Net realized and unrealized gain (loss) on investments		(0.06	)	1.03		0.22		1.78		0.32		(0.33	)
Total from investment operations		(0.03	)	1.12		0.29		1.86		0.36		(0.25	)
Less distributions to shareholders:
From net investment income		(0.07	)	(0.13	)	(0.11	)	(0.08	)	(0.07	)	(0.11	)
From net realized gain on investments		(1.04	)	(1.77	)	(1.56	)	(0.37	)	(0.19	)	(2.06	)
Total distributions to shareholders		(1.11	)	(1.90	)	(1.67	)	(0.45	)	(0.26	)	(2.17	)
Net asset value - End of period		$8.30		$9.44		$10.22		$11.60		$10.19		$10.09
Net assets - End of period (000’s omitted)		$60,758		$79,352		$94,093		$114,391		$301,846		$390,931
Total return2		(1.00%	)	14.44%		2.44%		18.97%		3.69%		(1.82%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.85%3		0.85%		0.85%		0.85%		0.83%		0.83%
Net investment income		0.63%3		0.94%		0.60%		0.72%		0.40%		0.71%
Series portfolio turnover		47%		73%		63%		85%		49%		59%

*For certain periods presented, 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:

0.04%³ 0.05% 0.03% N/A N/A N/A

¹Calculated based on average shares outstanding during the periods. 

²Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain periods. Periods less than one year are not annualized. 

³Annualized.

The accompanying notes are an integral part of the financial statements.

94

Financial Highlights - Pro-Blend^®Maximum Term Series - Class R

	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19		10/31/18		10/31/17		10/31/16		10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$12.61		$12.98		$14.28		$12.48		$12.28		$14.73
Income (loss) from investment operations:
Net investment income (loss)1		0.01		0.06		0.01		0.03		(0.01	)	0.03
Net realized and unrealized gain (loss) on investments		(0.10	)	1.40		0.29		2.17		0.40		(0.38	)
Total from investment operations		(0.09	)	1.46		0.30		2.20		0.39		(0.35	)
Less distributions to shareholders:
From net investment income		(0.04	)	(0.06	)	(0.04	)	(0.03	)	(0.00	)2	(0.04	)
From net realized gain on investments		(1.04	)	(1.77	)	(1.56	)	(0.37	)	(0.19	)	(2.06	)
Total distributions to shareholders		(1.08	)	(1.83	)	(1.60	)	(0.40	)	(0.19	)	(2.10	)
Net asset value - End of period		$11.44		$12.61		$12.98		$14.28		$12.48		$12.28
Net assets - End of period(000’s omitted)		$15,764		$13,767		$13,841		$17,404		$22,153		$31,517
Total return3		(1.21%	)	13.84%		1.99%		18.21%		3.26%		(2.28%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		1.31%4		1.34%		1.35%		1.35%		1.33%		1.33%
Net investment income (loss)		0.18%4		0.46%		0.11%		0.22%		(0.10%	)	0.20%
Series portfolio turnover		47%		73%		63%		85%		49%		59%

*For certain periods presented, 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 0.01% 0.03% N/A N/A N/A

¹Calculated based on average shares outstanding during the periods.

²Less than $(0.01).

³Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain periods. Periods less than one year are not annualized.

⁴Annualized.

The accompanying notes are an integral part of the financial statements.

95

Financial Highlights - Pro-Blend^®Maximum Term Series - Class L*

	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED
	4/30/20 (UNAUDITED)			10/31/19		10/31/18		10/31/17		10/31/16		10/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.08		$10.76		$12.13		$10.68		$10.60		$13.03
Income (loss) from investment operations:
Net investment income (loss)1		(0.02	)	(0.00	)2	(0.05	)	(0.03	)	(0.06	)	(0.03	)
Net realized and unrealized gain (loss) on investments		(0.07	)	1.12		0.24		1.86		0.33		(0.34	)
Total from investment operations		(0.09	)	1.12		0.19		1.83		0.27		(0.37	)
Less distributions to shareholders:
From net investment income		(0.01	)	(0.03	)	—		(0.01	)	—		(0.00	)2
From net realized gain on investments		(1.04	)	(1.77	)	(1.56	)	(0.37	)	(0.19	)	(2.06	)
Total distributions to shareholders		(1.05	)	(1.80	)	(1.56	)	(0.38	)	(0.19	)	(2.06	)
Net asset value - End of period		$8.94		$10.08		$10.76		$12.13		$10.68		$10.60
Net assets - End of period (000’s omitted)		$48,823		$54,415		$52,560		$56,040		$54,753		$57,507
Total return3		(1.47%	)	13.40%		1.40%		17.78%		2.62%		(2.76%	)
Ratios (to average net assets)/Supplemental Data:
Expenses**		1.81%4		1.82%		1.85%		1.85%		1.83%		1.83%
Net investment income (loss)		(0.33%	)4	(0.03%	)	(0.40%	)	(0.31%	)	(0.61%	)	(0.30%	)
Series portfolio turnover		47%		73%		63%		85%		49%		59%

*Effective March 1, 2019, Class R2 shares of the Series have been redesignated as Class L Shares.

**For certain periods presented, 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 0.01% 0.03% N/A N/A N/A

¹Calculated based on average shares outstanding during the periods.

²Less than $(0.01).

³Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain periods. Periods less than one year are not annualized.

⁴Annualized.

The accompanying notes are an integral part of the financial statements.

96

Financial Highlights - Pro-Blend^®Maximum Term Series - Class W 

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)				FOR THE PERIOD 4/1/191TO 10/31/19
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$	21.39			$	20.12
Income (loss) from investment operations:
Net investment income2			0.14				0.12
Net realized and unrealized gain (loss) on investments			(0.22	)			1.24
Total from investment operations			(0.08	)			1.36
Less distributions to shareholders:
From net investment income			(0.10	)			(0.09	)
From net realized gain on investments			(1.04	)			(0.00	)3
Total distributions to shareholders			(1.14	)			(0.09	)
Net asset value - End of period		$	20.17			$	21.39
Net assets - End of period(000’s omitted)		$	544			$	551
Total return4			(0.64%	)			6.79%
Ratios (to average net assets)/Supplemental Data:
Expenses*5			0.10%				0.10%
Net investment income5			1.38%				1.04%
Series portfolio turnover			47%				73%

*The investment advisor did not impose all or a portion of its management and/or other fees during the period, and 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 amounts⁵:

0.66% 0.65%

¹Commencement of operations.

²Calculated based on average shares outstanding during the periods.

³Less than $(0.01).

⁴Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁵Annualized.

The accompanying notes are an integral part of the financial statements.

97

Notes to Financial Statements 

(unaudited)

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 six classes of shares (Class S, I, R, L (formerly Class R2), W, and Z). 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 April 30, 2020, 8.9 billion shares have been designated in total among 31 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, 52.5 million have been designated in each of the Series as Class R common stock, 25 million have been designated in each of the Series as Class L (formerly Class R2) common stock, 100 million have been designated in each of the Series as Class W common stock and Class Z common stock. Class Z common stock is not currently offered for sale.

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, which are then discounted to calculate the fair value. Certain investments in securities held by the Series may be valued on a basis of

98

Notes to Financial Statements (continued) 

(unaudited)

2. Significant Accounting Policies (continued)

Security Valuation(continued)

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.

Short-term investments that mature in sixty days or less may be 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 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 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.

The following is a summary of the valuation levels used for major security types as of April 30, 2020 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:
Communication Services	$	25,609,616	$	18,071,215	$	7,538,401	$	—
Consumer Discretionary		25,732,388		22,467,675		3,264,713		—
Consumer Staples		31,005,379		24,701,080		6,304,299		—
Energy		14,440,932		14,440,932		—		—
Financials		22,956,156		22,956,156		—		—
Health Care		34,907,350		34,907,350		—		—
Industrials		21,440,566		19,848,029		1,592,537		—

99

Notes to Financial Statements (continued) 

(unaudited)

2. Significant Accounting Policies (continued)

Security Valuation(continued) 

	PRO-BLEND®CONSERVATIVE TERM SERIES
DESCRIPTION	TOTAL			LEVEL 1			LEVEL 2#			LEVEL 3
Information Technology	$	41,746,897		$	41,746,897		$	—		$	—
Materials		5,950,577			5,950,577			—			—
Real Estate		23,406,608			23,248,804			157,804			—
Debt securities:
U.S. Treasury and other U.S. Government agencies		256,174,330			—			256,174,330			—
Corporate debt:
Communication Services		34,820,758			—			34,820,758			—
Consumer Discretionary		23,965,338			—			23,965,338			—
Consumer Staples		8,468,317			—			8,468,317			—
Energy		23,245,163			—			23,245,163			—
Financials		32,360,150			—			32,360,150			—
Health Care		7,143,379			—			7,143,379			—
Industrials		23,145,855			—			23,145,855			—
Information Technology		181,172			—			181,172			—
Materials		1,402,645			—			1,402,645			—
Real Estate		23,822,593			—			23,822,593			—
Utilities		4,834,686			—			4,834,686			—
Asset-backed securities		54,285,624			—			54,285,624			—
Commercial mortgage-backed securities		63,378,120			—			63,378,120			—
Foreign government bonds		11,287,730			—			11,287,730			—
Short-Term Investment		4,316,454			4,316,454			—			—
Total assets		820,028,783			232,655,169			587,373,614			—
Liabilities:
Other financial instruments*:
Equity contracts		(52,645	)		(48,225	)		(4,420	)		—
Total liabilities		(52,645	)		(48,225	)		(4,420	)		—
Total	$	819,976,138		$	232,606,944		$	587,369,194		$	—

	PRO-BLEND®MODERATE TERM SERIES
DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2#		LEVEL 3
Assets:
Equity Securities:
Communication Services	$	23,428,430	$	15,937,516	$	7,490,914	$	—
Consumer Discretionary		21,026,238		17,214,620		3,811,618		—
Consumer Staples		19,265,415		12,347,526		6,917,889		—
Energy		13,503,998		13,503,998		—		—
Financials		11,253,105		10,302,119		950,986		—
Health Care		17,751,965		17,134,364		617,601		—
Industrials		7,158,194		5,224,254		1,933,940		—
Information Technology		25,809,012		25,660,590		148,422		—
Materials		4,616,786		4,452,256		164,530		—
Real Estate		11,806,558		11,747,496		59,062		—
Debt securities:
U.S. Treasury and other U.S. Government agencies		91,103,037		—		91,103,037		—
Corporate debt:
Communication Services		12,250,404		—		12,250,404		—
Consumer Discretionary		8,560,598		—		8,560,598		—
Consumer Staples		2,172,837		—		2,172,837		—

100

Notes to Financial Statements (continued) 

(unaudited)

2. Significant Accounting Policies (continued)

Security Valuation(continued) 

	PRO-BLEND®MODERATE TERM SERIES
DESCRIPTION	TOTAL			LEVEL 1			LEVEL 2#			LEVEL 3
Energy	$	9,144,495		$	—		$	9,144,495		$	—
Financials		12,592,730			—			12,592,730			—
Health Care		1,958,054			—			1,958,054			—
Industrials		7,994,195			—			7,994,195			—
Information Technology		83,241			—			83,241			—
Materials		738,929			—			738,929			—
Real Estate		7,937,129			—			7,937,129			—
Utilities		1,769,730			—			1,769,730			—
Asset-backed securities		23,046,797			—			23,046,797			—
Commercial mortgage-backed securities		25,389,375			—			25,389,375			—
Foreign government bonds		5,734,883			—			5,734,883			—
Short-Term Investment		4,626,676			4,626,676			—			—
Total assets		370,722,811			138,151,415			232,571,396			—
Liabilities:
Other financial instruments*:
Equity contracts		(34,290	)		(31,060	)		(3,230	)		—
Total liabilities		(34,290	)		(31,060	)		(3,230	)		—
Total	$	370,688,521		$	138,120,355		$	232,568,166		$	—
	PRO-BLEND®EXTENDED TERM SERIES
DESCRIPTION	TOTAL			LEVEL 1			LEVEL 2#			LEVEL 3
Assets:
Equity Securities:
Communication Services	$	40,626,513		$	27,275,146		$	13,351,367		$	—
Consumer Discretionary		36,789,106			30,235,417			6,553,689			—
Consumer Staples		34,229,277			22,251,213			11,978,064			—
Energy		24,170,752			24,170,752			—			—
Financials		20,466,425			18,802,752			1,663,673			—
Health Care		31,412,695			30,302,094			1,110,601			—
Industrials		12,939,424			9,199,210			3,740,214			—
Information Technology		48,122,033			47,874,610			247,423			—
Materials		8,393,114			8,118,392			274,722			—
Real Estate		20,410,440			20,311,229			99,211			—
Debt securities:
U.S. Treasury and other U.S. Government agencies		113,100,983			—			113,100,983			—
Corporate debt:
Communication Services		11,821,035			—			11,821,035			—
Consumer Discretionary		7,996,753			—			7,996,753			—
Consumer Staples		74,025			—			74,025			—
Energy		8,490,644			—			8,490,644			—
Financials		13,348,775			—			13,348,775			—
Health Care		1,665,968			—			1,665,968			—
Industrials		8,361,854			—			8,361,854			—
Information Technology		97,931			—			97,931			—
Materials		708,795			—			708,795			—
Real Estate		4,330,045			—			4,330,045			—
Utilities		1,619,050			—			1,619,050			—
Asset-backed securities		17,322,931			—			17,322,931			—

101

Notes to Financial Statements (continued) 

(unaudited)

2. Significant Accounting Policies (continued)

Security Valuation(continued) 

	PRO-BLEND®EXTENDED TERM SERIES
DESCRIPTION	TOTAL			LEVEL 1			LEVEL 2#			LEVEL 3
Commercial mortgage-backed securities	$	24,774,668		$	—		$	24,774,668		$	—
Foreign government bonds		6,709,413			—			6,709,413			—
Short-Term Investment		882,319			882,319			—			—
Total assets		498,864,968			239,423,134			259,441,834			—
Liabilities:
Other financial instruments*:
Equity contracts		(67,190	)		(61,240	)		(5,950	)		—
Total liabilities		(67,190	)		(61,240	)		(5,950	)		—
Total	$	498,797,778		$	239,361,894		$	259,435,884		$	—
	PRO-BLEND®MAXIMUM TERM SERIES
DESCRIPTION	TOTAL			LEVEL 1			LEVEL 2#			LEVEL 3
Assets:
Equity Securities:
Communication Services	$	40,812,832		$	30,271,849		$	10,540,983		$	—
Consumer Discretionary		53,645,337			46,950,805			6,694,532			—
Consumer Staples		34,596,264			24,373,971			10,222,293			—
Energy		19,678,939			19,678,939			—			—
Financials		32,420,182			26,533,474			5,886,708			—
Health Care		35,140,239			34,308,792			831,447			—
Industrials		11,513,791			6,310,562			5,203,229			—
Information Technology		46,382,070			46,174,321			207,749			—
Materials		7,321,067			7,143,029			178,038			—
Real Estate		14,982,822			14,951,278			31,544			—
Debt securities:
U.S. Treasury and other U.S. Government agencies		22,156,019			—			22,156,019			—
Corporate debt:
Communication Services		3,308,148			—			3,308,148			—
Consumer Discretionary		2,084,828			—			2,084,828			—
Consumer Staples		31,725			—			31,725			—
Energy		2,758,924			—			2,758,924			—
Financials		2,510,606			—			2,510,606			—
Health Care		540,899			—			540,899			—
Industrials		1,669,510			—			1,669,510			—
Information Technology		39,172			—			39,172			—
Materials		253,290			—			253,290			—
Real Estate		1,612,347			—			1,612,347			—
Utilities		625,780			—			625,780			—
Short-Term Investment		7,545,457			7,545,457			—			—
Total assets	$	341,630,248		$	264,242,477		$	77,387,771		$	—

^#Includes certain foreign equity securities for which a factor from a third party vendor was applied to determine the securities’ fair value following the close of local trading.

*Other financial instruments are exchange traded options (Level 1 and Level 2).

There were no Level 3 securities held by any of the Pro-Blend^®Series as of October 31, 2019 and April 30, 2020.

102

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Other Market and Credit Risk

Certain debt securities, derivatives and other financial instruments utilize the London Interbank Offered Rate (“LIBOR”) as the reference or benchmark rate for variable interest rate calculations. In July 2017, the UK Financial Conduct Authority announced a desire to phase out the use of LIBOR by the end of 2021, suggesting that LIBOR may cease to be published after that time. Regulators and financial industry groups have begun planning for a transition to the use of a different benchmark, but there are obstacles and a lack of global consensus, and the process for amending existing contracts or instruments to transition away from LIBOR remains unclear. The transition process might lead to increased volatility and illiquidity in markets that currently rely on the LIBOR to determine interest rates, a reduction in the values of some LIBOR-based investments, and reduced effectiveness of certain hedging strategies, which may adversely affect a Series’ performance or net asset value. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021. In addition, the alternative reference or benchmark rate may be an ineffective substitute resulting in prolonged adverse market conditions for a Portfolio.

Accounting Standards Update No. 2017-18

Accounting Standards Update No. 2017-18, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): “Premium Amortization of Purchased Callable Debt Securities” requires that the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices, be amortized to the earliest call date. The guidance was adopted by each series as of November 1, 2019 on a modified retrospective basis. The cost basis of the securities on November 1, 2019 has been decreased by $11,311, $4,241, $4,449 and $601 on Pro-Blend^® Conservative Term Series, Pro-Blend^® Moderate Term Series, Pro-Blend^® Extended Term Series and Pro-Blend^® Maximum Term Series, respectively. This change had no impact on total distributable earnings (loss) or the net asset value for any Class of any Series.

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 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.

103

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

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).

The measurement of the risks associated with option contracts is meaningful only when all related and offsetting transactions are considered. The counterparty for the Series’ written options contracts outstanding during the six months ended April 30, 2020 is Pershing LLC, a BNY Mellon Company.

The following table presents the present value of derivatives held at April 30, 2020 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	Liabilities Location
Equity contracts	Options written, at value	$	(52,645	)
STATEMENT OF OPERATIONS
Derivative	Location of Gain or (Loss) on Derivatives	Realized Gain (Loss) on Derivatives
Equity contracts	Net realized gain (loss) on options written	$	418,204
Derivative	Location of Appreciation (Depreciation) on Derivatives	Unrealized Appreciation (Depreciation) on Derivatives
Equity contracts	Net change in unrealized appreciation (depreciation) on options written	$	(759	)

104

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Option Contracts (continued)

PRO-BLEND® MODERATE TERM SERIES
STATEMENT OF ASSETS AND LIABILITIES
Derivative	Liabilities Location
Equity contracts	Options written, at value	$	(34,290	)
STATEMENT OF OPERATIONS
Derivative	Location of Gain or (Loss) on Derivatives	Realized Gain (Loss) on Derivatives
Equity contracts	Net realized gain (loss) on options written	$	307,246
Derivative	Location of Appreciation (Depreciation) on Derivatives	Unrealized Appreciation (Depreciation) on Derivatives
Equity contracts	Net change in unrealized appreciation (depreciation) on options written	$	23,108
PRO-BLEND® EXTENDED TERM SERIES
STATEMENT OF ASSETS AND LIABILITIES
Derivative	Liabilities Location
Equity contracts	Options written, at value	$	(67,190	)
STATEMENT OF OPERATIONS
Derivative	Location of Gain or (Loss) on Derivatives	Realized Gain (Loss) on Derivatives
Equity contracts	Net realized gain (loss) on options written	$	523,134
Derivative	Location of Appreciation (Depreciation) on Derivatives	Unrealized Appreciation (Depreciation) on Derivatives
Equity contracts	Net change in unrealized appreciation (depreciation) on options written	$	77,616

The average month-end balances for the six months ended April 30, 2020, the period in which such derivatives were outstanding, were as follows:

	PRO-BLEND®		PRO-BLEND®		PRO-BLEND®
	CONSERVATIVE		MODERATE		EXTENDED
	TERM SERIES		TERM SERIES		TERM SERIES
Options:
Average number of option contracts written		562		422		720
Average notional value of option contracts written	$	4,657,206	$	3,471,985	$	6,028,217

Asset-Backed Securities

Each Series may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of

105

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Asset-Backed Securities (continued)

a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e. loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a Series may subsequently have to reinvest the proceeds at lower interest rates. If a Series has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

Mortgage-Backed Securities

Each Series may invest in mortgage-backed securities (“MBS” or pass-through certificates) that represent an interest in a pool of specific underlying mortgage loans and entitle a Series to the periodic payments of principal and interest from those mortgages. MBS may be issued by government agencies or corporations, or private issuers. Most MBS issued by government agencies are guaranteed; however, the degree of protection differs based on the issuer. For MBS there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury. Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

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 Series to purchase securities for a predetermined price with payment and delivery taking place beyond the customary settlement period. When such purchases are outstanding, the Series will designate liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, the Series assumes the rights and risks of 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 Series 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 Series 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

106

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Securities Purchased on a When-Issued Basis or Forward Commitment (continued)

counterparty to meet the terms of the agreement; the potential of the Series 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 Series forgoes principal and interest paid on the securities. The Series accounts for such dollar rolls as purchases and sales. No such investments were held by the Series on April 30, 2020.

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.

Illiquid Securities

A security may be considered illiquid if so deemed in good faith by the Advisor under procedures approved by and under the general supervision and responsibility of the Fund’s Board. Securities that are illiquid are marked with the applicable footnote 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 April 30, 2020, 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, 2016 through October 31, 2019. 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.

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.

107

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

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 0.40% for Pro-Blend^® Conservative Term Series and 0.60% 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, Governance & Nominating Committee Chair and Lead Independent Director who each receive an additional annual stipend for these roles.

The Fund may enter into agreements with financial intermediaries pursuant to which the Fund may pay financial intermediaries for non-distribution related sub-transfer agency, administrative, sub-accounting, and other shareholder services in an amount not to exceed 0.15% of the average daily net assets of the Class S, Class I, Class R and Class L shares. Payments made pursuant to such agreements are generally based on the current assets and/or number of accounts of the Series attributable to the financial intermediary. Any payments made pursuant to such agreements may be in addition to, rather than in lieu of, any Distribution and Shareholder Services Fee payable under the Rule 12b-1 plan of the Fund.

The Advisor has contractually agreed to waive the management fee for the Class W shares. In addition, pursuant to a separate expense limitation agreement, the Advisor has contractually agreed to limit its fees and reimburse expenses to the extent necessary so that the total direct annual fund operating expenses, exclusive of the shareholder services fee and/or distribution and service (12b-1) fees and waived Class W management fees (collectively, “excluded expenses”), at no more than the amounts presented in the following table, of average daily net assets each year.

SERIES/CLASS	EXPENSE LIMIT
Pro-Blend® Conservative Term Series Class S, I, R and L	0.65%
Pro-Blend® Conservative Term Series Class Z	0.50%
Pro-Blend® Conservative Term Series Class W	0.10%
Pro-Blend® Moderate Term Series Class S, I, R and L	0.85%
Pro-Blend® Moderate Term Series Class Z	0.70%
Pro-Blend® Moderate Term Series Class W	0.10%

108

Notes to Financial Statements (continued)

(unaudited)

3. Transactions with Affiliates (continued)

SERIES/CLASS	EXPENSE LIMIT
Pro-Blend®Extended Term Series Class S, I, R and L	0.85%
Pro-Blend®Extended Term Series Class Z	0.70%
Pro-Blend®Extended Term Series Class W	0.10%
Pro-Blend®Maximum Term Series Class S, I, R and L	0.85%
Pro-Blend®Maximum Term Series Class Z	0.70%
Pro-Blend®Maximum Term Series Class W	0.10%

The contractual waivers are expected to continue indefinitely, and may not be amended or terminated by the Advisor without the approval of the Series’ Board of Directors. The Advisor’s agreement to limit each Class’s operating expenses is limited to direct operating expenses and, therefore, does not apply to acquired fund fees and expenses, which are indirect expenses incurred by the Series through its investments in other investment companies. The Advisor may receive from a Class the difference between the Class’s total direct annual fund operating expenses, not including excluded expenses, and the Class’s contractual expense limit to recoup all or a portion of its prior fee waivers (other than Class W management fee waivers) or expense reimbursements made during the rolling three-year period preceding the recoupment if at any point the total direct annual fund operating expenses, not including excluded expenses, are below the contractual expense limit (a) at the time of the fee waiver and/or expense reimbursement and (b) at the time of the recoupment.

Pursuant to the advisory fee waiver, the Advisor waived the following management fees for Class W shares for the six months ended April 30, 2020. In addition, pursuant to the separate expense limitation agreement, the Advisor waived or reimbursed the following expenses for Class S, Class I, Class R, Class L and Class W shares for the six months ended April 30, 2020. These amounts are included as a reduction of expenses on the Statement of Operations:

SERIES/CLASS	CLASS W MANAGEMENT FEE WAIVER		WAIVED OPERATING EXPENSES
Pro-Blend®Conservative Term Series	$	3,476	$	—
Pro-Blend®Moderate Term Series		733		15,053
Pro-Blend®Extended Term Series		16		1
Pro-Blend®Maximum Term Series		1,660		15,914

For the six months ended April 30, 2020, the Advisor did not recoup any expenses from any of the Series that have been previously waived or reimbursed.

As of April 30, 2020, the class specific waivers or reimbursements subject to possible future recoupment under the expense limitation agreement are as follows:

SERIES/CLASS	EXPIRING OCTOBER 31,
	2022		2023
Pro-Blend®Moderate Term Series
Class I	$	21,272	$	13,579
Class R		2,274		1,422
Class W		1		52
Pro-Blend®Extended Term Series
Class I		379		—
Class R		440		—
Class W		1		1
Pro-Blend®Maximum Term Series
Class I		24,055		15,754
Class W		16		160

109

Notes to Financial Statements (continued)

(unaudited)

3. Transactions with Affiliates (continued)

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 L (formerly Class R2), Class R and Class S 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 service fees to the distributor at an annual rate of 0.25% of average daily net assets attributable to Class S shares, 1.00% of average daily net assets attributable to Class L shares (formerly Class R2) and an annual rate of 0.50% of daily net assets attributable to Class R shares. There are no distribution and service fees on the Class I, Class W, and Class Z shares of each Series. The fees are accrued daily and paid monthly.

Pursuant to a master services agreement dated February 13, 2020, 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 Income Series); 0.0075% on the next $15 billion of average daily net assets (excluding Target Series and Income Series); and 0.0065% of average daily net assets in excess of $40 billion (excluding Target Series and Income Series); plus a base fee of $30,400 per series. 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.

4. Purchases and Sales of Securities

For the six months ended April 30, 2020, purchases and sales of securities, including paydowns and other than short-term securities, were as follows:

	PURCHASES				SALES
SERIES	OTHER ISSUERS		GOVERNMENT		OTHER ISSUERS		GOVERNMENT
Pro-Blend®Conservative Term Series	$	274,501,737	$	251,191,076	$	250,355,941	$	339,285,642
Pro-Blend®Moderate Term Series		133,973,019		97,356,564		117,238,186		134,387,941
Pro-Blend®Extended Term Series		206,564,934		147,707,873		184,539,250		171,427,688
Pro-Blend®Maximum Term Series		117,960,076		51,810,852		125,785,963		79,384,404

5. Capital Stock Transactions

Transactions in Class S, Class I, Class R, Class L, and Class W shares were:

PRO-BLEND®CONSERVATIVE TERM SERIES CLASS S:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		9,118,412		$	127,598,617			7,716,892		$	104,091,483
Reinvested		1,570,949			21,804,771			1,674,861			21,831,365
Repurchased		(7,996,432	)		(109,423,073	)		(11,174,041	)		(152,330,368	)
Total		2,692,929		$	39,980,315			(1,782,288	)	$	(26,407,520	)

110

Notes to Financial Statements (continued)

(unaudited)

5. Capital Stock Transactions (continued)

PRO-BLEND®CONSERVATIVE TERM SERIES CLASS I:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		1,912,308		$	19,639,357			4,572,820		$	46,885,485
Reinvested		974,178			9,985,324			981,337			9,602,936
Repurchased		(13,461,166	)		(138,876,820	)		(5,013,464	)		(50,958,234	)
Total		(10,574,680	)	$	(109,252,139	)		540,693		$	5,530,187

PRO-BLEND®CONSERVATIVE TERM SERIES CLASS R:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		69,758		$	693,686			303,354		$	2,976,947
Reinvested		44,893			439,948			50,080			468,279
Repurchased		(120,659	)		(1,160,622	)		(603,968	)		(5,915,153	)
Total		(6,008	)	$	(26,988	)		(250,534	)	$	(2,469,927	)

PRO-BLEND®CONSERVATIVE TERM SERIES CLASS L (FORMERLY CLASS R2):	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		697,735		$	6,754,390			1,133,273		$	11,034,293
Reinvested		412,081			4,042,549			421,515			3,944,518
Repurchased		(1,062,938	)		(10,297,346	)		(2,546,198	)		(24,846,552	)
Total		46,878		$	499,593			(991,410	)	$	(9,867,741	)

PRO-BLEND®CONSERVATIVE TERM SERIES CLASS W:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE PERIOD 4/01/19 (COMMENCEMENT OF OPERATIONS)TO 10/31/19
	SHARES			AMOUNT			SHARES		AMOUNT
Sold		13,294		$	189,177			109,543	$	1,496,340
Reinvested		5,039			69,989			906		12,499
Repurchased		(7,530	)		(100,074	)		—		—
Total		10,803		$	159,092			110,449	$	1,508,839

PRO-BLEND®MODERATE TERM SERIES CLASS S:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		1,248,025		$	17,081,689			1,890,869		$	25,337,106
Reinvested		559,338			7,634,961			1,193,223			14,876,412
Repurchased		(1,515,882	)		(20,468,328	)		(14,472,225	)		(186,635,824	)
Total		291,481		$	4,248,322			(11,388,133	)	$	(146,422,306	)

PRO-BLEND®MODERATE TERM SERIES CLASS I:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		902,698		$	8,834,432			2,094,486		$	20,385,798
Reinvested		687,912			6,686,502			929,739			8,454,143
Repurchased		(3,282,401	)		(32,061,532	)		(4,937,621	)		(47,238,853	)
Total		(1,691,791	)	$	(16,540,598	)		(1,913,396	)	$	(18,398,912	)

111

Notes to Financial Statements (continued)

(unaudited)

5. Capital Stock Transactions (continued)

PRO-BLEND®MODERATE TERM SERIES CLASS R:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		76,535		$	800,223			232,681		$	2,429,557
Reinvested		39,043			405,657			94,841			909,258
Repurchased		(94,645	)		(1,010,503	)		(1,233,426	)		(12,617,188	)
Total		20,933		$	195,377			(905,904	)	$	(9,278,373	)

PRO-BLEND®MODERATE TERM SERIES CLASS L (FORMERLY CLASS R2):	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		392,581		$	3,902,251			683,747		$	6,684,430
Reinvested		512,175			5,075,567			611,756			5,643,896
Repurchased		(747,591	)		(7,383,511	)		(2,198,410	)		(21,607,147	)
Total		157,165		$	1,594,307			(902,907	)	$	(9,278,821	)

PRO-BLEND®MODERATE TERM SERIES CLASS W:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE PERIOD 4/01/19 (COMMENCEMENT OF OPERATIONS)TO 10/31/19
	SHARES			AMOUNT			SHARES		AMOUNT
Sold		9,895		$	140,015			9,437	$	131,119
Reinvested		707			9,670			3		36
Repurchased		(1,484	)		(20,656	)		—		—
Total		9,118		$	129,029			9,440	$	131,155

PRO-BLEND®EXTENDED TERM SERIES CLASS S:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		855,842		$	15,241,427			1,358,668		$	23,246,755
Reinvested		621,215			11,038,985			1,014,951			16,040,883
Repurchased		(1,977,383	)		(34,780,378	)		(5,339,420	)		(91,230,005	)
Total		(500,326	)	$	(8,499,966	)		(2,965,801	)	$	(51,942,367	)

PRO-BLEND®EXTENDED TERM SERIES CLASS I:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		5,815,414		$	49,458,307			3,528,748		$	30,806,783
Reinvested		1,129,220			9,745,174			1,652,114			13,328,478
Repurchased		(4,860,850	)		(42,175,103	)		(6,319,812	)		(55,476,989	)
Total		2,083,784		$	17,028,378			(1,138,950	)	$	(11,341,728	)

PRO-BLEND® EXTENDED TERM SERIES CLASS R:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		135,127		$	1,412,749			240,830		$	2,521,015
Reinvested		40,245			419,352			91,258			870,069
Repurchased		(75,483	)		(788,152	)		(823,189	)		(8,384,829	)
Total		99,889		$	1,043,949			(491,101	)	$	(4,993,745	)

112

Notes to Financial Statements (continued)

(unaudited)

5. Capital Stock Transactions (continued)

PRO-BLEND®EXTENDED TERM SERIES CLASS L (FORMERLY CLASS R2):	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		326,496		$	3,096,122			769,684		$	7,269,772
Reinvested		750,792			7,170,042			1,027,330			9,052,130
Repurchased		(997,477	)		(9,200,215	)		(2,595,055	)		(24,787,581	)
Total		79,811		$	1,065,949			(798,041	)	$	(8,465,679	)

PRO-BLEND®EXTENDED TERM SERIES CLASS W:	FOR THE SIX MONTHS ENDED 4/30/20				FOR THE PERIOD 4/01/19 (COMMENCEMENT OF OPERATIONS)TO 10/31/19
	SHARES		AMOUNT		SHARES		AMOUNT
Sold		—	$	—		293	$	5,000
Reinvested		14		248		2		28
Repurchased		—		—		—		—
Total		14	$	248		295	$	5,028

PRO-BLEND®MAXIMUM TERM SERIES CLASS S:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		547,429		$	10,987,372			693,431		$	13,975,744
Reinvested		527,973			11,245,802			1,205,790			21,679,532
Repurchased		(1,043,511	)		(21,150,143	)		(3,209,037	)		(64,254,409	)
Total		31,891		$	1,083,031			(1,309,816	)	$	(28,599,133	)

PRO-BLEND®MAXIMUM TERM SERIES CLASS I:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		1,272,857		$	10,927,655			2,588,964		$	23,362,985
Reinvested		1,055,339			9,297,537			2,000,823			16,022,147
Repurchased		(3,412,841	)		(29,284,043	)		(5,391,803	)		(49,717,137	)
Total		(1,084,645	)	$	(9,058,851	)		(802,016	)	$	(10,332,005	)

PRO-BLEND®MAXIMUM TERM SERIES CLASS R:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		276,235		$	3,396,442			467,060		$	5,591,070
Reinvested		104,933			1,275,991			177,718			1,897,030
Repurchased		(94,785	)		(1,133,955	)		(619,464	)		(7,372,038	)
Total		286,383		$	3,538,478			25,314		$	116,062

PRO-BLEND®MAXIMUM TERM SERIES CLASS L (FORMERLY CLASS R2):	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE YEAR ENDED 10/31/19
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		540,632		$	4,819,181			704,235		$	6,769,815
Reinvested		585,155			5,570,673			1,009,143			8,635,922
Repurchased		(1,061,607	)		(9,562,502	)		(1,197,143	)		(11,496,558	)
Total		64,180		$	827,352			516,235		$	3,909,179

113

Notes to Financial Statements (continued)

(unaudited)

5. Capital Stock Transactions (continued)

PRO-BLEND®MAXIMUM TERM SERIES CLASS W:	FOR THE SIX MONTHS ENDED 4/30/20						FOR THE PERIOD 4/01/19 (COMMENCEMENT OF OPERATIONS) TO 10/31/19
	SHARES			AMOUNT			SHARES		AMOUNT
Sold		—		$	86			25,782	$	539,460
Reinvested		1,387			29,573			1		23
Repurchased		(182	)		(3,263	)		—		—
Total		1,205		$	26,396			25,783	$	539,483

At April 30, 2020, the Advisor and its affiliates owned less than 0.1% of each Series. Investment activities of these shareholders may have a material effect on the respective Series.

6. Line of Credit

The Fund has entered into a 364-day, $25 million credit agreement (the “line of credit”) with Bank of New York Mellon. Each series of the Fund may borrow under the line of credit for temporary or emergency purposes, including funding shareholder redemptions and other short-term liquidity purposes. The Fund pays an annual fee on the unused commitment amount, payable quarterly, and is allocated among all the series of the Fund and included in miscellaneous expenses in the Statement of Operations for each series. The line of credit expires in August 2020 unless extended or renewed. During the six months ended April 30, 2019, none of the Series borrowed under the line of credit.

7. 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 April 30, 2020, Pro-Blend^®Conservative Term Series, Pro-Blend^®Moderate Term Series and Pro-Blend^®Extended Term Series invested in options contracts (equity risk).

The Series may invest in a loan assignment of all or a portion of the loans. A 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. At April 30, 2020, none of the Series held any loan assignments.

8. 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.

9. 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

114

Notes to Financial Statements (continued)

(unaudited)

9. Federal Income Tax Information (continued)

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.

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, 2019 were as follows:

	PRO-BLEND® CONSERVATIVE TERM SERIES		PRO-BLEND® MODERATE TERM SERIES		PRO-BLEND® EXTENDED TERM SERIES		PRO-BLEND® MAXIMUM TERM SERIES
Ordinary income	$	17,035,436	$	7,180,115	$	7,355,814	$	12,829,278
Long-term capital gains		19,690,770		22,984,535		32,345,511		35,857,001

At April 30, 2020, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized appreciation 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	$	790,789,888		$	352,519,120		$	471,154,897		$	302,948,008
Unrealized appreciation		45,804,006			29,508,645			43,240,768			58,797,694
Unrealized depreciation		(16,617,756	)		(11,339,244	)		(15,597,887	)		(20,115,454	)
Net unrealized appreciation	$	29,186,250		$	18,169,401		$	27,642,881		$	38,682,240

10. Market Event

In March 2020, the World Health Organization declared COVID-19 (a novel coronavirus) to be a pandemic. The situation is dynamic. Global financial markets have experienced and may continue to experience significant volatility resulting from the spread of COVID-19. The outbreak of COVID-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty. The global economy, the economies of certain nations and individual issuers have been and may continue to be adversely affected by COVID-19, particularly in light of the interconnectivity between economies and financial markets, all of which may negatively impact the Funds performance. In addition, COVID-19 and governmental responses to COVID-19 may negatively impact the capabilities of the Funds service providers and disrupt the Funds operations. Management of the Fund will continue to monitor the impact of COVID-19.

11. Subsequent Events

In preparing these financial statements, management of the Fund has evaluated events and transactions for potential recognition or disclosure through June 17, 2020, the date the financial statements were issued, and the following item was noted:

In March of this year, William Manning, who is the co-founder of Manning & Napier, Inc. (“MN Inc.”), which is the ultimate parent company of the Advisor, delivered to the company an exchange notice under the terms of the exchange agreement (the “Exchange Agreement”) that was entered into at the time that MN Inc. became a public company in 2011. Pursuant to the Exchange Agreement, Mr. Manning was able to tender the entirety of his private interests in Manning & Napier Group, LLC (“MN Group”), the managing member of the Advisor, exchangeable for cash or shares of MN Inc. Class A common stock. On April 9, 2020, MN Inc. delivered to Mr. Manning a letter indicating that, as permitted under the Exchange Agreement, it would satisfy Mr. Manning’s exchange request by purchasing all of Mr. Manning’s private interests in MN Group (the “Transaction”). The Transaction, which settled on May 11, 2020, divested Mr. Manning’s entirely of his ownership interest in MN Group. Mr. Manning also served as the Chairman of the Board of Directors of MN Inc. through June 10, 2020 and did not stand for reelection.

The Transaction may be deemed to result in a change of control of the Advisor, under the 1940 Act, which results in the assignment and automatic termination of the investment advisory agreements pursuant to which the Advisor provides investment

115

Notes to Financial Statements (continued)

(unaudited)

11. Subsequent Events (continued)

advisory services to the Series (the “Current Agreement”). At a meeting of the Board of Directors of the Advisor on April 22, 2020, the Board approved new investment advisory agreements for the Series (“New Agreement“), that require shareholder approval to take effect. Shareholders are being asked to approve the New Agreement through a proxy statement that was filed on May 15, 2020, which will enable the Advisor to continue to serve the Series. Terms of the New Agreement are the same as the Current Agreement, therefore there are no changes in fees paid to the Advisor.

In relation to the termination of the Current Agreement, at a meeting of the Board of Directors of the Advisor on April 17, 2020, the Board approved an interim advisory agreement which became effective on May 11, 2020 with the closing of the Transaction, allowing the Advisor to continue to provide investment advisory services for each Series for up to 150 days between termination of the Current Agreement and shareholder approval of the New Agreement. Terms of the interim advisory agreement is the same as the Current Agreement, therefore there are no changes in fees paid to the Advisor.

116

Renewal of Investment Advisory Agreement

(unaudited)

At the Manning & Napier Fund, Inc. (the “Fund”) Board of Directors’ (the “Board”) meeting, held on November 21, 2019, the Investment Advisory Agreement (the “Agreement”) between the Fund and Manning & Napier Advisors, LLC (the “Advisor”) was considered for renewal by the Board, including all of the Directors who are not “interested persons” (“Independent Directors”), within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”). In connection with the decision whether to renew the Agreement, a variety of material was provided to the Board in advance of the meeting for their review and consideration. The Board also held a working session on October 25, 2019 to review and discuss information provided to the Board, and for the Board to request additional information.

Representatives of the Advisor attended a portion of the working session and attended the Board meeting. The Advisor provided supplemental information requested by the Board and presented additional oral information to the Board to assist the Board in its considerations. In addition to the information furnished by the Advisor, the Board was provided with a legal memorandum discussing its fiduciary duties related to its approval of the continuation of the Agreement. Legal counsel for the Fund discussed with the Board the applicable legal considerations. In addition, the Board received in-person presentations about the Fund throughout the year.

The Independent Directors were advised by independent legal counsel with respect to these matters. The Independent Directors also met separately in an executive session with their legal counsel without any representatives of the Advisor present.

The Directors’ determinations at the meeting were made on the basis of each Director’s business judgment after consideration of all the information presented. In deciding to recommend the renewal of the Agreement with respect to each Series of the Fund, the Independent Directors did not identify any single or particular piece of information that, in isolation, was the controlling factor. Each Independent Director may also have weighed factors differently. This summary describes the most important, but not all, of the factors considered by the Board and the Independent Directors.

● The Board considered the nature and quality of services provided by the Advisor under the Agreement for over 30 years 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 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 considered the numerous services performed by the Advisor and its affiliates beyond those stated in the Agreements. The Board also considered the Advisor’s personnel who perform services to the Fund, changes in senior or key personnel, industry trends impacting the mutual fund industry, the strength of the Advisor’s compliance infrastructure, policies and procedures relating to compliance with securities regulations, reputation, expertise and resources. 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 Advisor’s investments teams, including changes to the investment teams and investment team’s compensation during the past year, and the investment process. The Board considered the performance of each Series since its inception, as well as over multiple time periods including: one year, 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 (and considers on a quarterly basis) a number of other factors relevant to performance at the meeting including: a peer group performance analysis consisting of Morningstar universes of mutual funds with similar investment objectives; the breadth of the Fund’s product offerings; and performance over reasonable time periods. Representatives of the Advisor discussed improved performance for many of the Series over the one- and three-year time periods ending September 30, 2019. The Board discussed with Representatives of the Advisor, performance challenges that continue to impact the three- and five-year performance of certain Fund’s strategies resulting from periods of underperformance in 2014 and 2016. After discussion, the Board acknowledged the improved short term performance of many of the Series and concluded that notwithstanding the performance challenges that continue to impact certain Series, the nature and quality of the investment management services provided by the Advisor to the Fund supported the renewal of the agreement.

● 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 contractual expense waivers or reimbursements paid by the Advisor. Representatives of the Advisor discussed the multi-year fee restructuring initiative which was completed by the Advisor on March 1, 2019 to increase the competitiveness of the Fund’s fees. The fee

117

Renewal of Investment Advisory Agreement

(unaudited)

restructuring project also resulted in a set of standardized share classes to help support the Fund’s distribution efforts across client types and varying intermediary distribution models.

● The Board considered whether the Advisor had achieved economies of scale with respect to its services to the Fund. The Board acknowledged the expense caps incorporated in the Fund’s current fee structure, which requires the Advisor to subsidize the expenses of the Series operating above their expense cap, noting that 26 Series of the Fund are currently receiving expense reimbursements from the Advisor. The Board concluded that the Fund would need to grow in assets before the Advisor would be able to achieve meaningful economies of scale.

● The Advisor provided the Board with information comparing each Series’ contractual management fees with the Advisor’s standard advisory fees for separate accounts and collective investment trusts. The Board considered that the range of services provided to the Series is more extensive than for the Advisor’s other clients due to additional infrastructure, administrative and regulatory requirements related to operating a mutual fund.

● The current advisory fees, 12b-1 Distribution and Service Fees, other expenses (e.g. a combination of Shareholder Services Fees, intermediary sub-TA fees, routine operating expenses and Acquired Fund Fees and Expenses for fund-of-fund Series) and total expense ratios of each Series and share class were compared and ranked (on both a mean and median basis) against respective peer universes. Respective peer universes included funds of a similar size and with similar investment objectives and expense characteristics as disclosed on the Morningstar database. Representatives of the Advisor discussed with the Board the comparisons and rankings of fees and net expense ratios for each Series of the Fund and the methodology behind the comparison. The Board considered the Advisor’s active portfolio management that results in portfolios that are more differentiated than the construction of their benchmarks. The Board acknowledged that the fee restructuring project completed on March 1, 2019 reduced the expense ratios for shareholders in many Series. Based on their review of the information provided, the Board concluded that the current fees and expenses of each Series of the Fund were reasonable on a comparative basis.

● The Board also considered the other benefits the Advisor derives from its relationship with the Fund. Such other benefits include participation in a joint insurance program, sharing of compensation expenses for certain shared personnel, relationships with large service providers, the utilization of Series within the Advisor’s separately managed accounts and 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. The Board concluded that these additional benefits to the Advisor were reasonable.

Based on the Board’s deliberations and their evaluation of the information described above, the Board, including a majority of the Independent Directors, concluded that the compensation under the Agreement was fair and reasonable with respect to each Series 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, and that the renewal of the Agreement would be in the best interests of each Series and its shareholders. The Board did not indicate that any single factor was determinative of its decision to approve the Agreement, but indicated that the Board based its determination on the total mix of information available to it.

118

Liquidity Risk Management Program Disclosure

(unaudited)

The Securities and Exchange commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”) to promote effective liquidity risk management across open-end investment companies and reduce the risk that open-end investment companies are unable to meet redemption obligations without a significant dilution of remaining shareholder interests.

The Board of Directors (the “Board”), including a majority of Directors who are not interested persons, of Manning & Napier Fund, Inc. and each of its series (each “a Fund” or collectively, the “Funds”) met on February 13, 2020 (the “Meeting”) to review the Liquidity Risk Management Program (the “Program”) of the Funds, in accordance with the requirements of the Liquidity Rule. The Board appointed the Liquidity Risk Management Committee (the “Committee”), in conjunction with the Fund’s investment advisor, Manning & Napier Advisors, LLC (“MNA”), to administer the Program and review it no less than annually.

At the Meeting, the Committee provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including an evaluation of any material changes to the Program (the “Report”). The Report covered the period from December 1, 2018 through December 31, 2019 (the “Review Period”).

The Report described the Committee’s review of and conclusions around each factor that the Fund must consider to assess, manage and review its Liquidity Risk. Additionally, the Report discussed the Committee’s management of the Program, including an evaluation of the Program’s methodology for classifying each portfolio investment into one of four liquidity buckets. As part of this evaluation the Committee re-affirmed that each Fund operated as a Primarily Highly Liquid Fund, with greater than 50% of net assets consistently invested in Highly Liquid Investments, thereby negating a need to establish a Highly Liquid Investment Minimum for any Fund. Lastly, the Report highlighted the effectiveness of the safeguards that the Committee adopted to prevent a violation of the Liquidity Rule’s 15% limit on a Fund’s acquisition of Illiquid Investments.

There were no material changes to the Program during the Review Period. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.

119

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120

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121

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 30^this 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 1^stand 3^rdquarters of each fiscal year are provided on Form N-PORT, and are available, without charge, upon request:

By phone	1-800-466-3863
On the SEC’s web site	http://www.sec.gov

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-04/20-SAR

www.manning-napier.com

  Manning & Napier Fund, Inc.

  Rainier International Discovery Series

Beginning on June 25, 2021, as permitted by Securities and Exchange Commission regulations, paper copies of the Series’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically by contacting your financial intermediary or, if you are a direct investor, by visiting www.manning-napier.com or calling 1-800-466-3863.

You may elect to receive all future annual and semi-annual reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by visiting www.manning-napier.com or calling 1-800-466-3863. Your election to receive reports in paper will apply to all funds held with your financial intermediary if you invest through a financial intermediary or all series of the Fund if you invest directly with the Fund.

Rainier International Discovery Series

Shareholder Expense Example

(unaudited)

As a shareholder of the Series, you incur ongoing costs, including management fees, shareholder service 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 (November 1, 2019 to April 30, 2020).

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, such as sales charges (loads), redemption fees, or exchange fees that you may incur in other mutual funds. 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.

	BEGINNING ACCOUNT VALUE 11/1/19		ENDING ACCOUNT VALUE 4/30/20		EXPENSES PAID DURING PERIOD 11/1/19-4/30/201		ANNUALIZED EXPENSE RATIO
Class S
Actual	$	1,000.00	$	972.60	$	6.87		1.40%
Hypothetical
(5% return before expenses)	$	1,000.00	$	1,017.90	$	7.02		1.40%
Class I
Actual	$	1,000.00	$	973.60	$	5.64		1.15%
Hypothetical
(5% return before expenses)	$	1,000.00	$	1,019.14	$	5.77		1.15%
Class W
Actual	$	1,000.00	$	978.90	$	0.49		0.10%
Hypothetical
(5% return before expenses)	$	1,000.00	$	1,024.37	$	0.50		0.10%
Class Z
Actual	$	1,000.00	$	974.60	$	4.91		1.00%
Hypothetical
(5% return before expenses)	$	1,000.00	$	1,019.89	$	5.02		1.00%

¹Expenses are equal to the Series’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). The Class’ total return would have been lower had certain expenses not been waived during the period.

1

Rainier International Discovery Series

Portfolio Composition as of April 30, 2020

(unaudited)

Country Allocation^1,2

¹As a percentage of net assets.

²Allocations are based on country of risk.

³Miscellaneous

Greece 0.8%

Iceland 0.7%

Indonesia 0.7%

Ireland 0.6%

Malaysia 0.7%

New Zealand 0.6%

Poland 0.8%

Thailand 0.7%

United States 0.8%

Sector Allocation⁴

⁴As a percentage of net assets.

2

Rainier International Discovery Series

Investment Portfolio - April 30, 2020

(unaudited)

	SHARES		VALUE (NOTE 2)
COMMON STOCKS - 98.4%
Communication Services - 1.9%
Diversified Telecommunication Services - 1.0%
Infrastrutture Wireless Italiane S.p.A. (Italy)1		384,005	$	4,064,303
Media - 0.9%
Future plc (United Kingdom)		298,405		3,867,081
Total Communication Services				7,931,384
Consumer Discretionary - 9.6%
Household Durables - 0.9%
Countryside Properties plc (United Kingdom)1		761,130		3,877,780
Internet & Direct Marketing Retail - 2.2%
Bygghemma Group First AB (Sweden)*		575,000		4,133,206
HelloFresh SE (Germany)*		140,142		4,995,133
				9,128,339
Leisure Products - 1.4%
MIPS AB (Sweden)		232,877		5,863,349
Multiline Retail - 1.3%
Poya International Co. Ltd. (Taiwan)		315,000		5,264,645
Specialty Retail - 2.0%
AllHome Corp. (Philippines)*		13,935,700		1,695,055
JUMBO S.A. (Greece)		207,277		3,243,882
Wilcon Depot, Inc. (Philippines)		11,697,028		3,386,669
				8,325,606
Textiles, Apparel & Luxury Goods - 1.8%
Li Ning Co. Ltd. (China)		2,320,000		7,325,340
Total Consumer Discretionary				39,785,059
Consumer Staples - 4.5%
Beverages - 3.1%
Carlsberg Brewery Malaysia Bhd (Malaysia)		454,500		2,900,538
Royal Unibrew A/S (Denmark)*		125,285		9,692,831
				12,593,369
Food & Staples Retailing - 0.8%
Dino Polska S.A. (Poland)*1		81,384		3,441,713
Food Products - 0.6%
AAK AB (Sweden)		153,000		2,499,082
Total Consumer Staples				18,534,164
Financials - 9.1%
Banks - 1.7%
Bank Tabungan Pensiunan Nasional Syariah Tbk PT (Indonesia)		19,352,509		2,833,352
FinecoBank Banca Fineco S.p.A. (Italy)		384,700		4,286,201
				7,119,553

The accompanying notes are an integral part of the financial statements.

3

Rainier International Discovery Series

Investment Portfolio - April 30, 2020

(unaudited)

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Financials (continued)
Capital Markets - 3.7%
Avanza Bank Holding AB (Sweden)		400,318	$	4,836,564
Euronext N.V. (Netherlands)1		95,175		7,990,358
MLP SE (Germany)		428,095		2,205,780
				15,032,702
Consumer Finance - 0.7%
Krungthai Card PCL - NVDR (Thailand)		2,841,100		2,960,050
Diversified Financial Services - 1.6%
Element Fleet Management Corp. (Canada)		554,835		4,093,650
Hypoport SE (Germany)*		7,514		2,649,004
				6,742,654
Insurance - 0.7%
Anicom Holdings, Inc. (Japan)*		77,900		2,875,850
Thrifts & Mortgage Finance - 0.7%
Aruhi Corp. (Japan)		245,679		2,839,897
Total Financials				37,570,706
Health Care - 18.1%
Biotechnology - 1.6%
Abcam plc (United Kingdom)		169,995		2,719,166
Genus plc (United Kingdom)		83,410		3,583,467
				6,302,633
Health Care Equipment & Supplies - 6.8%
Arjo AB - Class B (Sweden)		1,056,490		5,217,980
Asahi Intecc Co. Ltd. (Japan)		141,400		3,745,863
Carl Zeiss Meditec AG (Germany)*		34,960		3,447,344
Cellavision AB (Sweden)*		50,861		1,465,631
DiaSorin S.p.A. (Italy)		28,655		4,886,322
Nanosonics Ltd. (Australia)*		661,670		2,948,689
Ossur HF (Iceland)		419,450		2,695,016
Revenio Group OYJ (Finland)*		84,025		2,276,558
Xvivo Perfusion AB (Sweden)*		108,730		1,536,217
				28,219,620
Health Care Providers & Services - 4.3%
Amplifon S.p.A. (Italy)		52,449		1,200,631
Fagron (Belgium)		297,445		6,706,813
Korian S.A. (France)		186,175		6,253,167
Terveystalo Oyj (Finland)*1		349,945		3,661,601
				17,822,212
Health Care Technology - 0.6%
Pro Medicus Ltd. (Australia)		152,360		2,564,424

The accompanying notes are an integral part of the financial statements.

4

Rainier International Discovery Series

Investment Portfolio - April 30, 2020

(unaudited)

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Health Care (continued)
Life Sciences Tools & Services - 0.8%
CELLINK AB - Class B (Sweden)*		239,995	$	3,382,138
Pharmaceuticals - 4.0%
ALK-Abello A/S (Denmark)*		24,750		6,295,901
Dechra Pharmaceuticals plc (United Kingdom)		207,825		7,233,968
Virbac S.A. (France)*		15,580		3,072,305
				16,602,174
Total Health Care				74,893,201
Industrials - 21.5%
Aerospace & Defense - 2.0%
CAE, Inc. (Canada)		333,065		5,503,427
INVISIO Communications AB (Sweden)		241,975		2,720,163
				8,223,590
Commercial Services & Supplies - 2.1%
Loomis AB - Class B (Sweden)		184,163		4,490,954
Prestige International, Inc. (Japan)		548,300		4,282,839
				8,773,793
Electrical Equipment - 2.1%
Alfen Beheer B.V. (Netherlands)*1		156,055		4,495,227
Voltronic Power Technology Corp. (Taiwan)		176,900		4,199,322
				8,694,549
Machinery - 7.4%
Daifuku Co. Ltd. (Japan)		74,800		5,234,561
Interpump Group S.p.A. (Italy)		110,670		3,229,180
Nabtesco Corp. (Japan)		49,900		1,427,906
Rational AG (Germany)		2,295		1,107,515
Techtronic Industries Co. Ltd. (Hong Kong)		1,508,500		11,438,217
THK Co. Ltd. (Japan)		176,700		4,223,983
VAT Group AG (Switzerland)1		25,790		4,256,419
				30,917,781
Professional Services - 5.8%
ALS Ltd. (Australia)		355,285		1,551,475
Funai Soken Holdings, Inc. (Japan)		138,409		2,949,365
Nihon M&A Center, Inc. (Japan)		177,300		5,783,953
SMS Co. Ltd. (Japan)		148,000		3,225,858
Teleperformance (France)		46,325		10,377,267
				23,887,918
Trading Companies & Distributors - 2.1%
Howden Joinery Group plc (United Kingdom)		614,310		4,050,870

The accompanying notes are an integral part of the financial statements.

5

Rainier International Discovery Series

Investment Portfolio - April 30, 2020

(unaudited)

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Industrials (continued)
Trading Companies & Distributors (continued)
Toromont Industries Ltd. (Canada)		96,845	$	4,550,209
				8,601,079
Total Industrials				89,098,710
Information Technology - 25.7%
Electronic Equipment, Instruments & Components - 5.5%
Anritsu Corp. (Japan)		264,400		5,381,993
Electrocomponents plc (United Kingdom)		519,775		3,775,637
Halma plc (United Kingdom)		237,910		6,254,714
Ingenico Group S.A. (France)		32,355		4,070,851
Softwareone Holding AG (Germany)*		175,978		3,383,737
				22,866,932
IT Services - 5.9%
Itochu Techno-Solutions Corp. (Japan)		203,400		6,214,801
Keywords Studios plc (Ireland)		140,465		2,813,982
NET One Systems Co. Ltd. (Japan)		204,700		5,900,995
NEXTDC Ltd. (Australia)*		383,125		2,186,403
Softcat plc (United Kingdom)		137,750		1,955,993
TIS, Inc. (Japan)		280,500		5,348,963
				24,421,137
Semiconductors & Semiconductor Equipment - 3.4%
ASPEED Technology, Inc. (Taiwan)		107,000		4,231,233
SOITEC (France)*		55,010		5,058,243
Win Semiconductors Corp. (Taiwan)		544,000		4,863,126
				14,152,602
Software - 10.9%
Altium Ltd. (Australia)		83,670		1,836,665
Blue Prism Group plc (United Kingdom)*		198,775		3,248,839
CyberArk Software Ltd. (United States)*		31,775		3,138,099
Cybozu, Inc. (Japan)		231,400		4,480,878
The Descartes Systems Group, Inc. (Canada)*		76,925		3,233,508
Freee KK (Japan)*		74,000		2,615,484
Nemetschek SE (Germany)		21,310		1,340,722
Netcompany Group A/S (Denmark)*1		134,005		6,923,052
SimCorp A/S (Denmark)		19,875		1,835,832
Sinch AB (Sweden)*1		132,225		6,834,010
TeamViewer AG (Germany)*		123,015		5,338,338
Technology One Ltd. (Australia)		309,210		1,896,859

The accompanying notes are an integral part of the financial statements.

6

Rainier International Discovery Series

Investment Portfolio - April 30, 2020

(unaudited)

	SHARES		VALUE (NOTE 2)
COMMON STOCKS (continued)
Information Technology (continued)
Software (continued)
Xero Ltd. (New Zealand)*		45,840	$	2,343,608
				45,065,894
Total Information Technology				106,506,565
Materials - 2.5%
Chemicals - 1.4%
Corbion N.V. (Netherlands)		159,750		5,715,798
Containers & Packaging - 1.1%
Huhtamaki Oyj (Finland)*		127,305		4,751,560
Total Materials				10,467,358
Real Estate - 2.9%
Equity Real Estate Investment Trusts (REITS) - 1.2%
Keppel DC REIT (Singapore)		2,870,600		4,760,184
Real Estate Management & Development - 1.7%
Grand City Properties S.A. (Germany)		231,525		4,841,655
Katitas Co. Ltd. (Japan)		127,600		2,226,934
				7,068,589
Total Real Estate				11,828,773
Utilities - 2.6%
Independent Power and Renewable Electricity Producers - 2.6%
Falck Renewables S.p.A. (Italy)		970,260		4,768,866
Solaria Energia y Medio Ambiente S.A. (Spain)*		569,246		5,808,257
Total Utilities				10,577,123
TOTAL COMMON STOCKS
(Identified Cost $354,067,457)				407,193,043
WARRANTS - 0.0%##
Consumer Discretionary - 0.0%##
Hotels, Restaurants & Leisure - 0.0%##
Minor International PCL - NVDR - Warrants (Expires 09/30/2021) (Thailand)*
(Identified Cost $—)		193,920		13,389

The accompanying notes are an integral part of the financial statements.

7

Rainier International Discovery Series

Investment Portfolio - April 30, 2020

(unaudited)

	SHARES		VALUE (NOTE 2)
SHORT-TERM INVESTMENT - 2.7%
Dreyfus Government Cash Management, Institutional Shares, 0.17%2
(Identified Cost $10,917,867)		10,917,867	$	10,917,867
TOTAL INVESTMENTS - 101.1%
(Identified Cost $364,985,324)				418,124,299
LIABILITIES, LESS OTHER ASSETS - (1.1%)				(4,374,698	)
NET ASSETS - 100%			$	413,749,601

NVDR - Non-Voting Depository Receipt

*Non-income producing security.

## Less than 0.1%.

¹ Restrictedsecurities - 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 under the Fund’s Liquidity Risk Management Program. These securities amount to $45,544,463, or 11.0% of the Series’ net assets as of April 30, 2020.

² Rate shown is the current yield as of April 30, 2020.

The Series’ portfolio holds, as a percentage of net assets, greater than 10% in the following country:

Japan - 16.6%; Sweden - 10.4%.

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 S&P Global 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.

8

Rainier International Discovery Series

Statement of Assets & Liabilities

April 30, 2020 (unaudited) 

ASSETS:
Investments, at value (identified cost $364,985,324) (Note 2)	$	418,124,299
Receivable for securities sold		4,404,951
Receivable for fund shares sold		2,020,944
Dividends receivable		534,791
Foreign tax reclaims receivable		466,039
Prepaid and other expenses		30,062
TOTAL ASSETS		425,581,086
LIABILITIES:
Foreign bank overdraft, at value (identified cost $29,088)		29,398
Accrued management fees (Note 3)		245,558
Accrued sub-transfer agent fees (Note 3)		61,917
Accrued fund accounting and administration fees (Note 3)		29,875
Accrued distribution and service (Rule 12b-1) fees (Class S) (Note 3)		6,314
Accrued Chief Compliance Officer service fees (Note 3)		956
Accrued foreign capital gains tax (Note 2)		53,848
Payable for securities purchased		7,518,032
Payable for fund shares repurchased		3,738,256
Other payables and accrued expenses		147,331
TOTAL LIABILITIES		11,831,485
TOTAL NET ASSETS	$	413,749,601
NET ASSETS CONSIST OF:
Capital stock	$	206,538
Additional paid-in-capital		387,971,105
Total distributable earnings		25,571,958
TOTAL NET ASSETS	$	413,749,601
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S
($32,897,559/1,657,945 shares)	$	19.84
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class I
($135,877,311/6,780,673 shares)	$	20.04
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class W
($18,832,771/943,812 shares)	$	19.95
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class Z
($226,141,960/11,271,380 shares)	$	20.06

The accompanying notes are an integral part of the financial statements.

9

Rainier International Discovery Series

Statement of Operations

For the Six Months Ended April 30, 2020 (unaudited)

INVESTMENT INCOME:
Dividends (net of foreign taxes withheld, $169,051)	$	1,681,026
EXPENSES:
Management fees (Note 3)		1,954,186
Sub-transfer agent fees (Note 3)		91,858
Fund accounting and administration fees (Note 3)		59,436
Distribution and service (Rule 12b-1) fees (Class S) (Note 3)		46,584
Directors’ fees (Note 3)		22,345
Chief Compliance Officer service fees (Note 3)		1,439
Custodian fees		95,654
Miscellaneous		209,828
Total Expenses		2,481,330
Less reduction of expenses (Note 3)		(208,588	)
Net Expenses		2,272,742
NET INVESTMENT LOSS		(591,716	)
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:
Net realized gain (loss) on-
Investments		12,834,118
Foreign currency and translation of other assets and liabilities		(140,668	)
		12,693,450
Net change in unrealized appreciation (depreciation) on-
Investments (net of decrease in accrued foreign capital gains tax of $232,260)		(23,867,474	)
Foreign currency and translation of other assets and liabilities		(2,626	)
		(23,870,100	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY		(11,176,650	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(11,768,366	)

The accompanying notes are an integral part of the financial statements.

10

Rainier International Discovery Series

Statements of Changes in Net Assets

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE YEAR ENDED 10/31/19
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$	(591,716	)	$	1,345,604
Net realized gain (loss) on investments and foreign currency		12,693,450			(33,528,594	)
Net change in unrealized appreciation (depreciation) on investments and foreign currency		(23,870,100	)		69,042,817
Net increase (decrease) from operations		(11,768,366	)		36,859,827
DISTRIBUTIONS TO SHAREHOLDERS (Note 9):
Class S		—			(221,837	)
Class I		(446,459	)		(583,940	)
Class W		(188,339	)		—
Class Z		(909,875	)		(759,439	)
Total distributions to shareholders		(1,544,673	)		(1,565,216	)
CAPITAL STOCK ISSUED AND REPURCHASED:
Net decrease from capital share transactions (Note 5)		(22,168,429	)		(109,312,921	)
Net decrease in net assets		(35,481,468	)		(74,018,310	)
NET ASSETS:
Beginning of period		449,231,069			523,249,379
End of period	$	413,749,601		$	449,231,069

The accompanying notes are an integral part of the financial statements.

11

Rainier International Discovery Series

Financial Highlights - Class S*¹

	FOR THE SIX MONTHS			FOR THE YEAR ENDED						FOR THE PERIOD		FOR THE YEAR ENDED
	ENDED 4/30/20 (UNAUDITED)			10/31/19			10/31/18			4/1/17 TO 10/31/17		3/31/17			3/31/16			3/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$20.41			$18.83			$20.61			$16.44		$15.93			$15.45			$15.56
Income (loss) from investment operations:
Net investment income (loss)2		(0.07	)		(0.07	)		(0.01	)		0.02		(0.02	)		(0.09	)		0.01
Net realized and unrealized gain (loss) on investments		(0.50	)		1.67			(1.77	)		4.15		0.53			0.58			0.61
Total from investment operations		(0.57	)		1.60			(1.78	)		4.17		0.51			0.49			0.62
Less distributions to shareholders:
From net investment income		—			(0.02	)		—			—		—			—			—
From net realized gain on investments		—			—			—			—		—			(0.01	)		(0.73	)
Total distributions to shareholders		—			(0.02	)		—			—		—			(0.01	)		(0.73	)
Net asset value - End of period		$19.84			$20.41			$18.83			$20.61		$16.44			$15.93			$15.45
Net assets - End of period(000’s omitted)		$32,898			$39,387			$193,071			$120,399		$78,260			$99,944			$4,058
Total return3		(2.79%	)		8.53%			(8.64%	)		25.36%		3.14%			3.22%			4.55%
Ratios (to average net assets)/Supplemental Data:
Expenses**		1.40%4			1.40%			1.40%			1.49%4,5		1.51%5			1.50%			1.50%
Net investment income (loss)		(0.64%	)4		(0.36%	)		(0.05%	)		0.20%4		(0.12%	)		(0.56%	)		0.06%
Series portfolio turnover		51%			102%			73%			46%		123%			93%			111%

*Effective March 1, 2019, Class K shares of the Series have been redesignated as Class S Shares.

**The investment advisor did not impose all or a portion of its management and/or other fees during the period, and 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:

0.05%⁴ 0.04% 0.03% 0.21%⁴ 0.14% 0.14% 0.32%

¹Rainier International Discovery Fund (“the Predecessor Fund”) transferred its assets and liabilities to the Series at the close of business on August 21, 2017. Because the Series had no investment operations prior to the Reorganization, and based on the similarity of the Series to the Predecessor Fund, the Predecessor Fund is treated as the survivor for accounting and performance reporting purposes. Class S shares of the Series (formerly Class K) were formerly Class A shares of the Predecessor Fund.

²Calculated based on average shares outstanding during the periods.

³Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized.

⁵Expense ratio exceeds expense limitation due to recognition of expenses related to the Reorganization of the Fund. The majority of the expenses incurred by the Series in connection with the reorganization were paid by the Advisor. The Series paid certain expenses, including half of the cost of the proxy, such as printing and solicitation, and all of the legal fees incurred in connection to the reorganization.

The accompanying notes are an integral part of the financial statements.

12

Rainier International Discovery Series

Financial Highlights - Class I¹

	FOR THE SIX MONTHS			FOR THE YEAR ENDED						FOR THE PERIOD		FOR THE YEAR ENDED
	ENDED 4/30/20 (UNAUDITED)			10/31/19			10/31/18			4/1/17 TO 10/31/17		3/31/17			3/31/16			3/31/15
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$20.64			$19.04			$20.81			$16.58		$16.02			$15.50			$15.58
Income (loss) from investment operations:
Net investment income (loss)2		(0.04	)		0.06			0.07			0.05		0.00	3		(0.03	)		0.04
Net realized and unrealized gain (loss) on investments		(0.50	)		1.61			(1.81	)		4.18		0.56			0.56			0.62
Total from investment operations		(0.54	)		1.67			(1.74	)		4.23		0.56			0.53			0.66
Less distributions to shareholders:
From net investment income		(0.06	)		(0.07	)		(0.03	)		—		—			—			(0.01	)
From net realized gain on investments		—			—			—			—		—			(0.01	)		(0.73	)
Total distributions to shareholders		(0.06	)		(0.07	)		(0.03	)		—		—			(0.01	)		(0.74	)
Net asset value - End of period		$20.04			$20.64			$19.04			$20.81		$16.58			$16.02			$15.50
Net assets - End of period (000’s omitted)		$135,877			$154,009			$161,390			$189,955		$114,487			$76,624			$40,356
Total return4		(2.64%	)		8.81%			(8.38%	)		25.51%		3.43%			3.47%			4.81%
Ratios (to average net assets)/Supplemental Data:
Expenses*		1.15%5			1.14%			1.12%			1.24%5,6		1.26%6			1.25%			1.25%
Net investment income (loss)		(0.39%	)5		0.31%			0.30%			0.41%5		0.01%			(0.19%	)		0.40%
Series portfolio turnover		51%			102%			73%			46%		123%			93%			111%

*For certain periods presented, the investment advisor did not impose all or a portion of its management and/or other fees during the period, and 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:

0.02%⁵ 0.03% N/A 0.11%⁵ 0.07% 0.06% 0.27%

¹Rainier International Discovery Fund (“the Predecessor Fund”) transferred its assets and liabilities to the Series at the close of business on August 21, 2017. Because the Series had no investment operations prior to the Reorganization, and based on the similarity of the Series to the Predecessor Fund, the Predecessor Fund is treated as the survivor for accounting and performance reporting purposes. Class I shares of the Series were formerly Institutional shares of the Predecessor Fund.

²Calculated based on average shares outstanding during the periods.

³Less than $0.01.

⁴Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain periods. Periods less than one year are not annualized.

⁵Annualized.

⁶Expense ratio exceeds expense limitation due to recognition of expenses related to the Reorganization of the Fund. The majority of the expenses incurred by the Series in connection with the reorganization were paid by the Advisor. The Series paid certain expenses, including half of the cost of the proxy, such as printing and solicitation, and all of the legal fees incurred in connection to the reorganization.

The accompanying notes are an integral part of the financial statements.

13

Rainier International Discovery Series

Financial Highlights - Class W

	FOR THE SIX MONTHS ENDED 4/30/20 (UNAUDITED)			FOR THE PERIOD 3/1/191TO 10/31/19
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$20.59			$19.34
Income (loss) from investment operations:
Net investment income2		0.07			0.22
Net realized and unrealized gain (loss) on investments		(0.50	)		1.03
Total from investment operations		(0.43	)		1.25
Less distributions to shareholders:
From net investment income		(0.21	)		—
Net asset value - End of period		$19.95			$20.59
Net assets - End of period (000’s omitted)		$18,833			$18,095
Total return3		(2.16%	)		6.46%
Ratios (to average net assets)/Supplemental Data:
Expenses*4		0.10%			0.10%
Net investment income4		0.68%			1.65%
Series portfolio turnover		51%			102%

*The investment advisor did not impose all or a portion of its management and/or other fees during the period, and 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 amount⁴:

0.98% 1.00%

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. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized.

The accompanying notes are an integral part of the financial statements.

14

Rainier International Discovery Series

Financial Highlights - Class Z*

	FOR THE SIX MONTHS ENDED			FOR THE YEAR ENDED						FOR THE PERIOD 8/21/171TO
	4/30/20 (UNAUDITED)			10/31/19			10/31/18			10/31/17
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$20.67			$19.06			$20.82			$19.40
Income (loss) from investment operations:
Net investment income (loss)2		(0.02	)		0.09			0.03			0.01
Net realized and unrealized gain (loss) on investments		(0.51	)		1.61			(1.75	)		1.41
Total from investment operations		(0.53	)		1.70			(1.72	)		1.42
Less distributions to shareholders:
From net investment income		(0.08	)		(0.09	)		(0.04	)		—
Net asset value - End of period		$20.06			$20.67			$19.06			$20.82
Net assets - End of period (000’s omitted)		$226,142			$237,740			$168,789			$21
Total return3		(2.59%	)		8.99%			(8.29%	)		7.32%
Ratios (to average net assets)/Supplemental Data:
Expenses**		1.00%4			1.00%			1.00%			1.00%4
Net investment income (loss)		(0.22%	)4		0.48%			0.16%			0.14%4
Series portfolio turnover		51%			102%			73%			46%

*Effective August 21, 2018, Class R6 shares of the Series have been redesignated as Class Z shares. 

**The investment advisor did not impose all or a portion of its management and/or other fees during the period, and 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:

0.08%⁴ 0.08% 0.04% 0.17%⁴

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. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁴Annualized.

The accompanying notes are an integral part of the financial statements.

15

Rainier International Discovery Series

Notes to Financial Statements

(unaudited)

1. Organization

Rainier International Discovery 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 seek long-term capital appreciation.

The Series is authorized to issue four classes of shares (Class S, I, W and Z). Each class 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 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 April 30, 2020, 8.9 billion shares have been designated in total among 31 series, of which 100 million have been designated as Rainier International Discovery Series Class I common stock, Rainier International Discovery Series Class S (formerly Class K) common stock, Rainier International Discovery Series Class W common stock and Rainier International Discovery Series Class Z (formerly Class R6) 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 may be 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

16

Rainier International Discovery Series

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Security Valuation(continued)
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 applied 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 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 April 30, 2020 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2#		LEVEL 3
Assets:
Equity securities:
Common stocks:
Communication Services	$	7,931,384	$	—	$	7,931,384	$	—
Consumer Discretionary		39,785,059		—		39,785,059		—
Consumer Staples		18,534,164		—		18,534,164		—
Financials		37,570,706		4,093,650		33,477,056		—
Health Care		74,893,201		—		74,893,201		—
Industrials		89,098,710		10,053,636		79,045,074		—
Information Technology		106,506,565		6,371,607		100,134,958		—
Materials		10,467,358		—		10,467,358		—
Real Estate		11,828,773		—		11,828,773		—
Utilities		10,577,123		—		10,577,123		—
Warrants:
Consumer Discretionary		13,389		—		13,389		—
Short-Term Investment		10,917,867		10,917,867		—		—
Total assets	$	418,124,299	$	31,436,760	$	386,687,539	$	—

^#Includes certain foreign equity securities for which a factor from a third party vendor was applied to determine the securities’ fair value following the close of local trading.

There were no Level 3 securities held by the Series as of October 31, 2019 or April 30, 2020.

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.

17

Rainier International Discovery Series

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

Security Transactions, Investment Income and Expenses(continued)

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 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.

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 the Investment Portfolio.

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 April 30, 2020, 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 two years ended March 31, 2016 and March 31, 2017, the period ended October 31, 2017 and the years ended October 31, 2018 and October 31, 2019. 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. The Series is subject to a tax imposed on short term capital gains on securities of issuers domiciled in India. The Series records an estimated deferred tax liability for securities that have been held for less than a year at the end of the reporting period, assuming those positions were disposed of at the end of the period. This amount is reported in Accrued foreign capital gains tax in the accompanying Statement of Assets and Liabilities. Realized losses on the sale of securities of issuers domiciled in India can be carried forward for eight years to offset potential future short term realized capital gains.

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.

18

Rainier International Discovery Series

Notes to Financial Statements (continued)

(unaudited)

2. Significant Accounting Policies (continued)

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 and Other Agreements

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 0.90% of the Series’ average daily net assets. The investment sub-advisor of the Series is Rainier Investment Management, LLC (“Rainier” or the “Sub-Advisor”). The Advisor pays the Sub-Advisor out of the fee received from the Series at an annual rate of 0.70% 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 and/or Sub-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, Governance & Nominating Committee Chair and Lead Independent Director who each receive an additional annual stipend for these roles.

The Fund may enter into agreements with financial intermediaries pursuant to which the Fund may pay financial intermediaries for non-distribution related sub-transfer agency, administrative, sub-accounting, and other shareholder services in an amount not to exceed 0.15% of the average daily net assets of the Class S shares and Class I shares. Payments made pursuant to such agreements are generally based on the current assets and/or number of accounts of the Series attributable to the financial intermediary. Any payments made pursuant to such agreements may be in addition to, rather than in lieu of, any Distribution and Shareholder Services Fee payable under the Rule 12b-1 plan of the Fund.

The Advisor has contractually agreed to waive the management fee for the Class W shares. In addition, pursuant to a separate expense limitation agreement, the Advisor has contractually agreed to limit its fees and reimburse expenses to the extent necessary so that the total direct annual fund operating expenses, exclusive of distribution and service (12b-1) fees and waived Class W management fees (collectively, “excluded expenses”), to 1.15% of the average daily net assets of the Class I and Class S shares, 1.00% of the average daily net assets of the Class Z shares, and 0.10% of the average daily net assets of the Class W shares. These contractual waivers are expected to continue indefinitely, and may not be amended or terminated by the Advisor without the approval of the Series’ Board of Directors. The Advisor may receive from a Class the difference between the Class’s total direct annual fund operating expenses, not including excluded expenses, and the Class’s contractual expense limit to recoup all or a portion of its prior fee waivers (other than Class W management fee waivers) or expense reimbursements made during the rolling three-year period preceding the recoupment if at any point the total direct annual fund operating expenses, not including excluded expenses, are below the contractual expense limit (a) at the time of the fee waiver and/or expense reimbursement and (b) at the time of the recoupment.

19

Rainier International Discovery Series

Notes to Financial Statements (continued)

(unaudited)

3. Transactions with Affiliates and Other Agreements (continued)

Pursuant to these agreements, the Advisor waived $84,407 in management fees for Class W shares for the six months ended April 30, 2020. In addition, pursuant to the separate expense limitation agreement, the Advisor waived or reimbursed expenses of $10,141, $15,822, $7,411 and $90,807 for Class S, Class I, Class W, and Class Z shares, respectively, for the six months ended April 30, 2020. These amounts are included as a reduction of expenses on the Statement of Operations. For the six months ended April 30, 2020, the Advisor did not recoup any expenses that have been previously waived or reimbursed.

As of April 30, 2020, the class specific waivers or reimbursements subject to possible future recoupment under the expense limitation agreement are as follows:

CLASS	EXPIRING OCTOBER 31,
	2022		2023
Class I		$  44,220		$15,822
Class S		21,581		10,141
Class W		9,606		7,411
Class Z		149,233		90,807

Manning & Napier Investor Services, Inc., a registered broker-dealer affiliate of the Advisor, acts as distributor for the Fund’s shares. The Series compensates the distributor for distributing and servicing the Series’ Class S shares pursuant to a distribution plan adopted under Rule 12b-1 of the 1940 Act, regardless of expenses actually incurred. Under the agreement, the Series pays distribution and service fees to the distributor at an annual rate of 0.25% of average daily net assets attributable to Class S shares. There are no distribution and service fees on the Class I, Class W or Class Z shares. The fees are accrued daily and paid monthly.

Pursuant to a master services agreement dated February 13, 2020, 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 Income Series); 0.0075% on the next $15 billion of average daily net assets (excluding Target Series and Income Series); and 0.0065% of average daily net assets in excess of $40 billion (excluding Target Series and Income Series); plus a base fee of $30,400 per series. 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.

4. Purchases and Sales of Securities

For the six months ended April 30, 2020, purchases and sales of securities, other than U.S. Government securities and short-term securities, were $213,172,020 and $215,215,608, respectively. There were no purchases or sales of U.S. Government securities.

5. Capital Stock Transactions

Transactions in shares of Class S, Class I, Class W, and Class Z shares of Rainier International Discovery Series were:

CLASS S (FORMERLY CLASS K)	FOR THE SIX MONTHS ENDED 4/30/20					FOR THE YEAR ENDED 10/31/19
	SHARES		AMOUNT			SHARES		AMOUNT
Sold	303,465		$	5,726,283		1,280,251		$	23,704,928
Reinvested	—			—		12,524			221,424
Repurchased	(575,663	)		(10,961,248	)	(9,618,012	)		(181,537,350	)
Total	(272,198	)	$	(5,234,965	)	(8,325,237	)	$	(157,610,998	)

20

Rainier International Discovery Series

Notes to Financial Statements (continued)

(unaudited)

5. Capital Stock Transactions (continued)

CLASS I	FOR THE SIX MONTHS ENDED 4/30/20					FOR THE YEAR ENDED 10/31/19
	SHARES		AMOUNT			SHARES		AMOUNT
Sold	919,332		$	18,704,378		4,155,465		$	79,344,260
Reinvested	18,082			394,018		27,468			490,020
Repurchased	(1,618,441	)		(32,064,076	)	(5,197,891	)		(100,580,593	)
Total	(681,027	)	$	(12,965,680	)	(1,014,958	)	$	(20,746,313	)

CLASS W	FOR THE SIX MONTHS ENDED 4/30/20					FOR THE PERIOD 3/01/19 (COMMENCEMENT OF OPERATIONS) TO 10/31/19
	SHARES		AMOUNT			SHARES		AMOUNT
Sold	88,768		$	1,853,865		906,002		$	17,700,743
Reinvested	8,711			188,339		—			—
Repurchased	(32,552	)		(690,678	)	(27,117	)		(549,662	)
Total	64,927		$	1,351,526		878,885		$	17,151,081

CLASS Z	FOR THE SIX MONTHS ENDED 4/30/20					FOR THE YEAR ENDED 10/31/19
	SHARES		AMOUNT			SHARES		AMOUNT
Sold	1,371,743		$	27,230,905		4,980,668		$	96,859,767
Reinvested	16,182			352,926		11,075			197,579
Repurchased	(1,618,124	)		(32,903,141	)	(2,343,507	)		(45,164,037	)
Total	(230,199	)	$	(5,319,310	)	2,648,236		$	51,893,309

At April 30, 2020, one shareholder account owned 21.3% of the Series. In addition, the Advisor and its affiliates owned less than 0.1% of the Series. Investment activities of these shareholders may have a material effect on the Series.

6. Line of Credit

The Fund has entered into a 364-day, $25 million credit agreement (the “line of credit”) with Bank of New York Mellon. Each series of the Fund may borrow under the line of credit for temporary or emergency purposes, including funding shareholder redemptions and other short-term liquidity purposes. The Fund pays an annual fee on the unused commitment amount, payable quarterly, and is allocated among all the series of the Fund and included in miscellaneous expenses in the Statement of Operations for each series. The line of credit expires in August 2020 unless extended or renewed. During the six months ended April 30, 2020, the Series did not borrow under the line of credit.

7. Financial Instruments

The Series may trade in instruments including 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 April 30, 2020.

21

Rainier International Discovery Series

Notes to Financial Statements (continued)

(unaudited)

8. 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.

9. 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. 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.

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, 2019 were as follows:

Ordinary income $ 1,565,216

At April 30, 2020, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized appreciation were as follows:

Cost for federal income tax purposes	$	367,715,744
Unrealized appreciation		70,187,603
Unrealized depreciation		(19,779,048	)
Net unrealized appreciation	$	50,408,555

At October 31, 2019, the Series had net short-term capital loss carryforwards of $33,708,740, which may be carried forward indefinitely.

10. Market Event

In March 2020, the World Health Organization declared COVID-19 (a novel coronavirus) to be a pandemic. The situation is dynamic. Global financial markets have experienced and may continue to experience significant volatility resulting from the spread of COVID-19. The outbreak of COVID-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty. The global economy, the economies of certain nations and individual issuers have been and may continue to be adversely affected by COVID-19, particularly in light of the interconnectivity between economies and financial markets, all of which may negatively impact the Funds performance. In addition, COVID-19 and governmental responses to COVID-19 may negatively impact the capabilities of the Funds service providers and disrupt the Funds operations. Management of the Fund will continue to monitor the impact of COVID-19.

11. Subsequent Events

In preparing these financial statements, management of the Fund has evaluated events and transactions for potential recognition or disclosure through June 17, 2020, the date the financial statements were issued, and the following item was noted:

In March of this year, William Manning, who is the co-founder of Manning & Napier, Inc. (“MN Inc.”), which is the ultimate parent company of the Advisor, delivered to the company an exchange notice under the terms of the exchange agreement (the “Exchange Agreement”) that was entered into at the time that MN Inc. became a public company in 2011. Pursuant to the Exchange Agreement, Mr. Manning was able to tender the entirety of his private interests in Manning & Napier Group, LLC (“MN Group”), the managing member of the Advisor, exchangeable for cash or shares of MN Inc. Class A common stock. On April 9,

22

Rainier International Discovery Series

Notes to Financial Statements (continued)

(unaudited)

11. Subsequent Events (continued)

2020, MN Inc. delivered to Mr. Manning a letter indicating that, as permitted under the Exchange Agreement, it would satisfy Mr. Manning’s exchange request by purchasing all of Mr. Manning’s private interests in MN Group (the “Transaction”). The Transaction, which settled on May 11, 2020, divested Mr. Manning’s entirely of his ownership interest in MN Group. Mr. Manning also served as the Chairman of the Board of Directors of MN Inc. through June 10, 2020 and did not stand for reelection.

The Transaction may be deemed to result in a change of control of the Advisor and the Sub-Advisor, under the 1940 Act, which results in the assignment and automatic termination of the investment advisory agreements and the investment sub-advisory agreement pursuant to which the Advisor and the Sub-Advisor provides investment advisory services and sub-advisory services, respectively to the Series (the “Current Agreements”). At a meeting of the Board of Directors of the Advisor on April 22, 2020, the Board approved new investment advisory agreements and a new investment sub-advisory agreement for the Series (each a “New Agreement,” and, together, the “New Agreements”), that require shareholder approval to take effect. Shareholders are being asked to approve the New Agreement through a proxy statement that was filed on May 15, 2020, which will enable the Advisor and the Sub-Advisor to continue to serve the Series. Terms of the New Agreements are the same as the Current Agreements, therefore there are no changes in fees paid to the Advisor and Sub-Advisor.

In relation to the termination of the Current Agreements, at a meeting of the Board of Directors of the Advisor on April 17, 2020, the Board approved an interim advisory and sub-advisory agreements which became effective on May 11, 2020 with the closing of the Transaction, allowing the Advisor and Sub-Advisor to continue to provide investment advisory and sub-advisory services for each Series for up to 150 days between termination of the Current Agreements and shareholder approval of the New Agreements. Terms of the interim advisory and sub-advisory agreements is the same as the Current Agreements, therefore there are no changes in fees paid to the Advisor and Sub-Advisor.

23

Rainier International Discovery Series

Renewal of Investment Advisory Agreement

(unaudited)

At the Manning & Napier Fund, Inc. (the “Fund”) Board of Directors’ (the “Board”) meeting, held on November 21, 2019, the Investment Advisory Agreement (the “Agreement”) between the Fund and Manning & Napier Advisors, LLC (the “Advisor”) and the Sub-Advisory Agreement between the Advisor and Rainier Investment Management LLC (the ”Sub-Advisor”)(collectively, the “Advisory Agreements”) on behalf of the Rainier International Discovery Series (the “Series”) were considered for renewal by the Board, including all of the Directors who are not “interested persons” (“Independent Directors”), within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”). In connection with the decision whether to renew the Agreements, a variety of material was provided to the Board in advance of the meeting for their review and consideration. The Board also held a working session on October 25, 2019 to review and discuss information provided to the Board, and for the Board to request additional information.

Representatives of the Advisor attended a portion of the working session and attended the Board meeting. The Advisor provided supplemental information requested by the Board and presented additional oral information to the Board to assist the Board in its considerations. In addition to the information furnished by the Advisor, the Board was provided with a legal memorandum discussing its fiduciary duties related to its approval of the continuation of the Agreement. Legal counsel for the Fund discussed with the Board the applicable legal considerations. In addition, the Board received in-person presentations about the Series throughout the year.

The Independent Directors were advised by independent legal counsel with respect to these matters. The Independent Directors also met separately in an executive session with their legal counsel without any representatives of the Advisor present.

The Directors’ determinations at the meeting were made on the basis of each Director’s business judgment after consideration of all the information presented. In deciding to recommend the renewal of the Agreements with respect to the Series, the Independent Directors did not identify any single or particular piece of information that, in isolation, was the controlling factor. Each Independent Director may also have weighed factors differently. This summary describes the most important, but not all, of the factors considered by the Board and the Independent Directors.

● The Board considered the nature and quality of services provided by the Advisor under the Agreements since the Series’ adoption in August 2017, including, among others: administering the affairs of the Series (including the books and records of the Series not maintained by third party service providers such as the custodian or transfer agent); arranging for the insurance coverage for the Series; providing information and other reports to the Directors and responding to their questions and requests, and supervising the preparation of tax returns, SEC filings (including registration statements), reports to shareholders for the Series and oversight of the Sub-Advisor. The Board also considered the nature and quality of such services provided under the Investment Advisory Agreement in light of the Advisor’s services provided to the other series of the Fund for approximately 30 years under an existing investment advisory agreement. The Board considered the numerous services performed by the Advisor and its affiliates beyond those stated in the Agreements. The Board also considered the Advisor’s personnel who perform services to the Series, changes in senior or key personnel, industry trends impacting the mutual fund industry, the strength of the Advisor’s compliance infrastructure, policies and procedures relating to compliance with securities regulations, reputation, expertise and resources. The Board discussed the quality of these services with representatives from the Advisor and concluded that the Advisor was performing its services to the Series required under the Agreement in a reasonable manner.

● The Board also considered the nature and quality of services provided by the Sub-Advisor under the Sub-Advisory Agreement, including among others: investment research and portfolio management, portfolio and prospectus compliance, trading and account management, broker selection for best execution, exercising proxy voting rights, security valuation advice and support, sub-advisor compliance and maintaining books and records related to the Series.

● The Board considered the Sub-Advisor’s investment team, including changes to the investment team during the past year, and the investment process. The Board considered the performance of the Series since its inception, as well as over multiple time periods including: one year, three year, five year and since inception Returns for the established benchmark for the Series were provided. In addition, the Board considered (and considers on a quarterly basis) a number of other factors relevant to performance at the meeting including: a peer group performance analysis consisting of Morningstar universes of mutual funds with similar investment objectives; the breadth of the Fund’s product offerings; and performance over reasonable time periods. Representatives of the Advisor discussed the Series’ outperformance relative to the benchmark over the three-year, five-year and since inception time periods ending September 30, 2019. The Board discussed with Representatives of the Advisor, performance challenges in the fourth quarter of 2018 that continue to impact the Series’ performance relative to the benchmark for the one-year time period ending September 30, 2019. After discussion, the Board

24

Rainier International Discovery Series

Renewal of Investment Advisory Agreement

(unaudited)

acknowledged the Series’ outperformance relative to the benchmark over the three-year, five-year and since inception time periods, and concluded that notwithstanding the performance challenges that continue to impact the Series’ performance for the one-year time period, the nature and quality of the investment management services provided by the Advisor to the Fund supported the renewal of the agreement.

● The Board considered the fees and expenses of the Series. The Advisor presented the advisory fee and total expenses for the Series, including the advisory fee adjusted for any contractual expense waivers or reimbursements paid by the Advisor. The Advisor also presented sub-advisory compensation paid to the Sub-Advisor, including the allocation of the management fee between the Advisor and the Sub-Advisor. After discussion, the Directors concluded that both the advisory fee paid to the Advisor and the sub-advisory fee paid to the Sub-Advisor were reasonable in relation to the services provided by each to the Series, and that the allocation of the management fee between the Advisor and Sub-Advisor was reasonable when considering the nature and costs of the services provided by each entity.

● The Board considered whether the Advisor and Sub-Advisor had achieved economies of scale with respect to its services to the Series. The Board acknowledged the expense cap incorporated in the Series’ current fee structure, which requires the Advisor to subsidize the expenses of the Series if it is operating above its expense cap, noting that the Series is currently receiving expense reimbursements from the Advisor. The Board concluded that the Series would need to grow in assets before the Advisor would be able to achieve meaningful economies of scale.

● The Advisor provided the Board with information comparing the Series’ contractual management fees with the Advisor and Sub-Advisor’s standard advisory fees for separate accounts and collective investment trusts. The Board considered that the range of services provided to the Series is more extensive than for the Advisor’s other clients due to additional infrastructure, administrative and regulatory requirements related to operating a mutual fund.

● The current advisory fees, 12b-1 Distribution and Service Fees, other expenses (e.g. a combination of Shareholder Services Fees, intermediary sub-TA fees, routine operating expenses and Acquired Fund Fees and Expenses for fund-of-fund Series) and total expense ratios of the Series and share class were compared and ranked (on both a mean and median basis) against respective peer universes. Respective peer universes included funds of a similar size and with similar investment objectives and expense characteristics as disclosed on the Morningstar database. Representatives of the Advisor discussed with the Board the comparisons and rankings of fees and net expense ratios for the Series and the methodology behind the comparison. The Board considered the Advisor’s active portfolio management that results in portfolios that are more differentiated than the construction of their benchmarks. Based on their review of the information provided, the Board concluded that the current fees and expenses of the Series were reasonable on a comparative basis.

● 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 Investment Advisory Agreement. The Board was provided with information on the Advisor’s financial condition and profitability by mutual fund agreement and by Series. Representatives of the Advisor discussed a decline in the Advisor’s profitability derived from the Fund and the expected impact that planned technology and operating platform upgrades would have on future profitability. The Board discussed the Advisor’s revenues generated from the Fund and its expenses associated with providing the services under the Agreement. The Advisor presented the Board with information on firm wide investment management profitability to provide a comparison of the Advisor’s profitability from its Fund activities relative to its profitability from its other investment management business. In addition, the Board reviewed the Advisor’s expense allocation methodology used to calculate profitability since many of the Advisor’s resources and expenses are shared across the Advisor’s various investment management vehicles. The Board considered 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). The Board acknowledged the strength of the Advisor’s balance sheet which provides the Advisor with the financial flexibility to support its investment team. 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 costs of the Sub-Advisor’s services and the profits of the Sub-Advisor as they relate to the services provided to the Series under the Sub-Advisory Agreement. After discussing the above costs and profits, the Board concluded that the Sub-Advisor’s profitability relating to its services provided under the Sub-Advisory Agreement was reasonable.

25

Rainier International Discovery Series

Renewal of Investment Advisory Agreement

(unaudited)

● The Board also considered the other benefits the Advisor and Sub-Advisor derives from its relationship with the Series and the Fund. Such other benefits include participation in a joint insurance program, sharing of compensation expenses for certain shared personnel, relationships with large service providers, the utilization of Series within the Advisor’s separately managed accounts and certain research services provided by soft dollars. The Board reviewed the broker-dealers who provided research to the Advisor and Sub-Advisor and the products and services paid for, in whole or in part, using soft dollar commissions. The Board concluded that these additional benefits to the Advisor and Sub-Advisor were reasonable.

Based on the Board’s deliberations and their evaluation of the information described above, the Board, including a majority of the Independent Directors, concluded that the compensation under the Agreements was fair and reasonable with respect to the Series 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, and that the renewal of the Agreements would be in the best interests of the Series and its shareholders. The Board did not indicate that any single factor was determinative of its decision to approve the Agreements, but indicated that the Board based its determination on the total mix of information available to it.

26

Rainier International Discovery Series

Liquidity Risk Management Program Disclosure

(unaudited)

The Securities and Exchange commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”) to promote effective liquidity risk management across open-end investment companies and reduce the risk that open-end investment companies are unable to meet redemption obligations without a significant dilution of remaining shareholder interests.

The Board of Directors (the “Board”), including a majority of Directors who are not interested persons, of Manning & Napier Fund, Inc. and each of its series (each “a Fund” or collectively, the “Funds”) met on February 13, 2020 (the “Meeting”) to review the Liquidity Risk Management Program (the “Program”) of the Funds, in accordance with the requirements of the Liquidity Rule. The Board appointed the Liquidity Risk Management Committee (the “Committee”), in conjunction with the Fund’s investment advisor, Manning & Napier Advisors, LLC (“MNA”), to administer the Program and review it no less than annually.

At the Meeting, the Committee provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including an evaluation of any material changes to the Program (the “Report”). The Report covered the period from December 1, 2018 through December 31, 2019 (the “Review Period”).

The Report described the Committee’s review of and conclusions around each factor that the Fund must consider to assess, manage and review its Liquidity Risk. Additionally, the Report discussed the Committee’s management of the Program, including an evaluation of the Program’s methodology for classifying each portfolio investment into one of four liquidity buckets. As part of this evaluation the Committee re-affirmed that each Fund operated as a Primarily Highly Liquid Fund, with greater than 50% of net assets consistently invested in Highly Liquid Investments, thereby negating a need to establish a Highly Liquid Investment Minimum for any Fund. Lastly, the Report highlighted the effectiveness of the safeguards that the Committee adopted to prevent a violation of the Liquidity Rule’s 15% limit on a Fund’s acquisition of Illiquid Investments.

There were no material changes to the Program during the Review Period. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.

27

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29

Rainier International Discovery 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 30^th 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 1^st and 3^rd quarters of each fiscal year are provided on Form N-PORT, and are available, without charge, upon request:

By phone	1-800-466-3863
On the SEC’s web site	http://www.sec.gov

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.

MNIDS-04/20-SAR

ITEM 2: CODE OF ETHICS

Not applicable for Semi-Annual Reports.

ITEM 3: AUDIT COMMITTEE FINANCIAL EXPERT

Not applicable for Semi-Annual Reports.

Item 4: Principal Accountant Fees and Services

Not applicable for Semi-Annual Reports.

Item5: 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 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: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13: Exhibits

(a)(1) Not applicable for Semi-Annual Reports.

(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 asEX-99.CERT.

(a)(3) Not applicable.

(a)(4) 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 asEX- 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.

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/ Paul J. Battaglia

Paul J. Battaglia

President & Principal Executive Officer

Manning & Napier Fund, Inc.

Date: June 24, 2020

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/ Paul J. Battaglia

Paul J. Battaglia

President & Principal Executive Officer

Manning & Napier Fund, Inc.

Date: June 24, 2020

/s/ Troy M. Statczar

Troy M. Statczar

Treasurer and Principal Financial Officer 

Manning & Napier Fund, Inc.

Date: June 24, 2020