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 811-04146
JOHN HANCOCK VARIABLE INSURANCE TRUST
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(Exact name of registrant as specified in charter)
601 CONGRESS STREET, BOSTON, MA 02210-2805
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(Address of principal executive offices) (Zip code)
SALVATORE SCHIAVONE, 601 CONGRESS STREET, BOSTON, MA 02210-2805
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(Name and address of agent for service)
Registrant's telephone number, including area code: (617) 663-4497
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Date of fiscal year end: 12/31
Date of reporting period: 6/30/16
ITEM 1. REPORTS TO STOCKHOLDERS.
The Registrant prepared four semiannual reports to shareholders for the period ended June 30, 2016. The first report applies to 48 of the Registrant’s portfolios, the second report applies to 13 of the Registrant’s portfolios and the third report applies to 5 of the Registrant’s portfolios.
Sector weightings | 3 |
Shareholder expense example | 7 |
Summary portfolio of investments (See below for each Portfolio’s page #) | 14 |
Statements of assets and liabilities | 54 |
Statements of operations | 66 |
Statements of changes in net assets | 78 |
Financial highlights | 86 |
Notes to financial statements | 109 |
Evaluation of advisory and subadvisory agreements by the board of trustees | 159 |
For more information | 178 |
Portfolio | Summary portfolio of investments | |||||
---|---|---|---|---|---|---|
500 Index Trust B | 14 | |||||
All Cap Core Trust | 15 | |||||
Alpha Opportunities Trust | 15 | |||||
American Asset Allocation Trust | 17 | |||||
American Global Growth Trust | 17 | |||||
American Growth Trust | 17 | |||||
American Growth-Income Trust | 17 | |||||
American International Trust | 17 | |||||
American New World Trust | 17 | |||||
Blue Chip Growth Trust | 17 | |||||
Capital Appreciation Trust | 18 | |||||
Capital Appreciation Value Trust | 19 | |||||
Core Strategy Trust | 21 | |||||
Emerging Markets Value Trust | 21 | |||||
Equity Income Trust | 22 | |||||
Financial Industries Trust | 23 | |||||
Franklin Templeton Founding Allocation Trust | 24 | |||||
Fundamental All Cap Core Trust | 24 | |||||
Fundamental Large Cap Value Trust | 25 | |||||
Global Trust | 26 | |||||
Health Sciences Trust | 27 | |||||
International Core Trust | 28 | |||||
International Equity Index Trust B | 29 | |||||
International Growth Stock Trust | 31 | |||||
International Small Company Trust | 32 | |||||
International Value Trust | 33 | |||||
Lifestyle Aggressive PS Series | 34 | |||||
Lifestyle Balanced PS Series | 35 | |||||
Lifestyle Conservative PS Series | 35 | |||||
Lifestyle Growth PS Series | 35 | |||||
Lifestyle Moderate PS Series | 35 | |||||
Mid Cap Index Trust | 35 | |||||
Mid Cap Stock Trust | 36 | |||||
Mid Value Trust | 37 | |||||
Mutual Shares Trust | 38 | |||||
Real Estate Securities Trust | 40 | |||||
Science & Technology Trust | 41 | |||||
Small Cap Growth Trust | 42 | |||||
Small Cap Index Trust | 43 | |||||
Small Cap Opportunities Trust | 44 | |||||
Small Cap Value Trust | 45 | |||||
Small Company Growth Trust | 46 | |||||
Small Company Value Trust | 47 | |||||
Strategic Equity Allocation Trust | 48 | |||||
Total Stock Market Index Trust | 49 | |||||
U.S. Equity Trust | 49 | |||||
Utilities Trust | 50 | |||||
Value Trust | 52 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Information technology | 19.3 | |||||
Financials | 15.3 | |||||
Health care | 14.6 | |||||
Consumer discretionary | 12.0 | |||||
Consumer staples | 10.3 | |||||
Industrials | 9.6 | |||||
Energy | 7.2 | |||||
Utilities | 3.5 | |||||
Materials | 2.8 | |||||
Telecommunication services | 2.8 | |||||
Short-term investments and other | 2.6 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Information technology | 19.7 | |||||
Financials | 17.3 | |||||
Health care | 16.0 | |||||
Industrials | 12.0 | |||||
Consumer discretionary | 10.7 | |||||
Consumer staples | 9.0 | |||||
Energy | 6.8 | |||||
Utilities | 2.9 | |||||
Materials | 2.8 | |||||
Telecommunication services | 1.5 | |||||
Short-term investments and other | 1.3 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Financials | 17.7 | |||||
Information technology | 17.6 | |||||
Health care | 15.1 | |||||
Industrials | 13.9 | |||||
Consumer discretionary | 11.7 | |||||
Consumer staples | 7.0 | |||||
Energy | 6.3 | |||||
Materials | 3.8 | |||||
Utilities | 2.0 | |||||
Telecommunication services | 0.6 | |||||
Short-term investments and other | 4.3 |
Portfolio Composition*** | % of Total | |||||
---|---|---|---|---|---|---|
Common stocks | 63.2 | |||||
U.S. Government & Agency obligations | 14.8 | |||||
Corporate bonds | 8.8 | |||||
Collateralized mortgage obligations | 5.0 | |||||
Asset backed securities | 0.4 | |||||
Foreign government obligations | 0.2 | |||||
Short-term investments and other | 7.6 |
Sector Composition*** | % of Total | |||||
---|---|---|---|---|---|---|
Information technology | 25.4 | |||||
Consumer discretionary | 22.3 | |||||
Health care | 18.1 | |||||
Financials | 10.3 | |||||
Consumer staples | 6.7 | |||||
Industrials | 4.7 | |||||
Energy | 3.8 | |||||
Telecommunication services | 1.8 | |||||
Materials | 0.9 | |||||
Utilities | 0.3 | |||||
Short-term investments and other | 5.7 |
Sector Composition*** | % of Total | |||||
---|---|---|---|---|---|---|
Information technology | 23.9 | |||||
Consumer discretionary | 22.1 | |||||
Health care | 14.7 | |||||
Financials | 9.5 | |||||
Energy | 9.2 | |||||
Consumer staples | 7.4 | |||||
Industrials | 5.9 | |||||
Materials | 1.2 | |||||
Telecommunication services | 1.1 | |||||
Utilities | 0.4 | |||||
Short-term investments and other | 4.6 |
Sector Composition*** | % of Total | |||||
---|---|---|---|---|---|---|
Health care | 16.6 | |||||
Information technology | 15.6 | |||||
Consumer discretionary | 13.6 | |||||
Financials | 10.7 | |||||
Energy | 8.9 | |||||
Consumer staples | 8.9 | |||||
Industrials | 8.4 | |||||
Materials | 5.6 | |||||
Telecommunication services | 2.9 | |||||
Utilities | 1.1 | |||||
Short-term investments and other | 7.7 |
Sector Composition*** | % of Total | |||||
---|---|---|---|---|---|---|
Financials | 16.7 | |||||
Information technology | 13.2 | |||||
Health care | 12.0 | |||||
Consumer discretionary | 11.8 | |||||
Industrials | 9.6 | |||||
Consumer staples | 8.2 | |||||
Materials | 7.1 | |||||
Utilities | 6.0 | |||||
Energy | 4.3 | |||||
Telecommunication services | 3.8 | |||||
Short-term investments and other | 7.3 |
Sector Composition*** | % of Total | |||||
---|---|---|---|---|---|---|
Consumer discretionary | 16.6 | |||||
Information technology | 16.3 | |||||
Financials | 12.8 | |||||
Health care | 8.5 | |||||
Consumer staples | 7.0 | |||||
Energy | 6.8 | |||||
Industrials | 6.5 | |||||
Materials | 3.6 | |||||
Telecommunication services | 1.9 | |||||
Utilities | 1.4 | |||||
Short-term investments and other | 18.6 |
Sector Composition* | | % of Total | ||||
---|---|---|---|---|---|---|
Information technology | 29.5 | |||||
Consumer discretionary | 26.4 | |||||
Health care | 24.8 | |||||
Financials | 7.9 | |||||
Industrials | 6.6 | |||||
Consumer staples | 3.3 | |||||
Materials | 1.0 | |||||
Short-term investments and other | 0.5 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Information technology | 39.0 | |||||
Consumer discretionary | 29.5 | |||||
Health care | 14.8 | |||||
Consumer staples | 5.6 | |||||
Financials | 3.3 | |||||
Energy | 2.2 | |||||
Industrials | 2.2 | |||||
Materials | 0.2 | |||||
Short-term investments and other | 3.2 |
Portfolio Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Common stocks | 60.2 | |||||
Corporate bonds | 19.7 | |||||
Term loans | 3.6 | |||||
Preferred securities | 1.8 | |||||
Asset backed securities | 0.2 | |||||
Short-term investments and other | 14.5 |
Asset Allocation* | % of Total | |||||
---|---|---|---|---|---|---|
Large blend | 70.1 | |||||
Intermediate bond | 29.9 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Financials | 32.5 | |||||
Materials | 14.1 | |||||
Energy | 13.8 | |||||
Industrials | 10.2 | |||||
Information technology | 9.8 | |||||
Consumer discretionary | 9.5 | |||||
Consumer staples | 3.9 | |||||
Telecommunication services | 2.7 | |||||
Utilities | 2.0 | |||||
Health care | 0.5 | |||||
Short-term investments and other | 1.0 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Financials | 21.7 | |||||
Industrials | 13.3 | |||||
Energy | 12.0 | |||||
Information technology | 10.3 | |||||
Health care | 9.4 | |||||
Consumer discretionary | 8.7 | |||||
Utilities | 8.3 | |||||
Consumer staples | 5.0 | |||||
Materials | 4.9 | |||||
Telecommunication services | 2.9 | |||||
Short-term investments and other | 3.5 |
Industry Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Banks | 50.6 | |||||
Capital markets | 17.7 | |||||
Insurance | 12.6 | |||||
Consumer finance | 4.4 | |||||
Real estate investment trusts | 4.2 | |||||
IT services | 3.0 | |||||
Thrifts and mortgage finance | 2.1 | |||||
Diversified financial services | 1.5 | |||||
Real estate management and development | 0.3 | |||||
Short-term investments and other | 3.6 |
Asset Allocation* | % of Total | |||||
---|---|---|---|---|---|---|
International small cap | 33.9 | |||||
Conservative allocation | 33.6 | |||||
International | 32.5 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Financials | 26.9 | |||||
Consumer discretionary | 24.1 | |||||
Information technology | 16.9 | |||||
Industrials | 8.7 | |||||
Consumer staples | 7.8 | |||||
Health care | 5.5 | |||||
Energy | 4.0 | |||||
Materials | 2.3 | |||||
Short-term investments and other | 3.8 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Financials | 29.9 | |||||
Information technology | 13.6 | |||||
Consumer discretionary | 13.3 | |||||
Energy | 10.9 | |||||
Consumer staples | 9.7 | |||||
Industrials | 9.6 | |||||
Health care | 7.2 | |||||
Materials | 2.9 | |||||
Short-term investments and other | 2.9 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Financials | 24.1 | |||||
Health care | 14.8 | |||||
Information technology | 14.4 | |||||
Energy | 14.3 | |||||
Consumer discretionary | 9.6 | |||||
Industrials | 8.1 | |||||
Telecommunication services | 6.3 | |||||
Materials | 4.6 | |||||
Consumer staples | 2.2 | |||||
Short-term investments and other | 1.6 |
Industry Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Health care providers and services | 31.6 | |||||
Biotechnology | 27.0 | |||||
Pharmaceuticals | 16.7 | |||||
Health care equipment and supplies | 12.6 | |||||
Life sciences tools and services | 5.0 | |||||
Food and staples retailing | 2.4 | |||||
Health care technology | 0.8 | |||||
Electronic equipment, instruments and components | 0.6 | |||||
Professional services | 0.3 | |||||
Specialty retail | 0.2 | |||||
Commercial services and supplies | 0.1 | |||||
Short-term investments and other | 2.7 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Financials | 22.5 | |||||
Consumer discretionary | 15.5 | |||||
Industrials | 11.7 | |||||
Telecommunication services | 9.4 | |||||
Consumer staples | 8.8 | |||||
Energy | 8.7 | |||||
Health care | 7.2 | |||||
Materials | 5.2 | |||||
Information technology | 3.9 | |||||
Utilities | 3.9 | |||||
Short-term investments and other | 3.2 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Financials | 24.1 | |||||
Consumer staples | 11.4 | |||||
Consumer discretionary | 11.1 | |||||
Industrials | 11.1 | |||||
Health care | 9.1 | |||||
Information technology | 8.7 | |||||
Materials | 7.0 | |||||
Energy | 6.9 | |||||
Telecommunication services | 5.1 | |||||
Utilities | 3.5 | |||||
Short-term investments and other | 2.0 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Consumer discretionary | 22.8 | |||||
Financials | 18.3 | |||||
Information technology | 17.2 | |||||
Health care | 10.3 | |||||
Consumer staples | 9.2 | |||||
Industrials | 8.4 | |||||
Energy | 4.0 | |||||
Materials | 3.0 | |||||
Short-term investments and other | 6.8 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Industrials | 24.3 | |||||
Consumer discretionary | 16.7 | |||||
Financials | 14.3 | |||||
Materials | 12.4 | |||||
Information technology | 9.5 | |||||
Consumer staples | 7.1 | |||||
Health care | 6.7 | |||||
Energy | 3.9 | |||||
Utilities | 3.1 | |||||
Telecommunication services | 1.2 | |||||
Short-term investments and other | 0.8 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Financials | 22.3 | |||||
Energy | 21.3 | |||||
Health care | 13.0 | |||||
Information technology | 12.1 | |||||
Materials | 9.5 | |||||
Industrials | 7.8 | |||||
Consumer discretionary | 7.4 | |||||
Telecommunication services | 5.1 | |||||
Consumer staples | 0.6 | |||||
Short-term investments and other | 0.9 |
Asset Allocation** | % of Total | |||||
---|---|---|---|---|---|---|
Large blend | 81.3 | |||||
Exchange-traded funds | 18.7 |
Asset Allocation* | % of Total | |||||
---|---|---|---|---|---|---|
Intermediate bond | 50.1 | |||||
Large blend | 49.9 |
Asset Allocation* | % of Total | |||||
---|---|---|---|---|---|---|
Intermediate bond | 80.1 | |||||
Large blend | 19.9 |
Asset Allocation** | % of Total | |||||
---|---|---|---|---|---|---|
Large blend | 70.5 | |||||
Intermediate bond | 29.5 |
Asset Allocation* | % of Total | |||||
---|---|---|---|---|---|---|
Intermediate bond | 59.8 | |||||
Large blend | 40.2 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Financials | 26.1 | |||||
Information technology | 16.2 | |||||
Industrials | 13.0 | |||||
Consumer discretionary | 11.4 | |||||
Health care | 8.8 | |||||
Materials | 6.9 | |||||
Utilities | 5.9 | |||||
Consumer staples | 4.5 | |||||
Energy | 3.5 | |||||
Telecommunication services | 0.2 | |||||
Short-term investments and others | 3.5 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Information technology | 29.9 | |||||
Consumer discretionary | 20.7 | |||||
Health care | 19.6 | |||||
Industrials | 9.9 | |||||
Financials | 7.1 | |||||
Consumer staples | 5.6 | |||||
Energy | 3.8 | |||||
Materials | 1.0 | |||||
Short-term investments and other | 2.4 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Financials | 28.4 | |||||
Consumer discretionary | 11.6 | |||||
Energy | 11.4 | |||||
Materials | 10.4 | |||||
Industrials | 8.7 | |||||
Health care | 8.4 | |||||
Consumer staples | 7.9 | |||||
Utilities | 4.0 | |||||
Information technology | 2.6 | |||||
Telecommunication services | 0.6 | |||||
Short-term investments and other | 6.0 |
Portfolio Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Common stocks | 86.7 | |||||
Term loans | 3.2 | |||||
Corporate bonds | 2.2 | |||||
Municipal bonds | 0.4 | |||||
Short-term investments and other | 7.5 |
Portfolio Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Retail REITs | 25.0 | |||||
Specialized REITs | 17.8 | |||||
Residential REITs | 14.4 | |||||
Office REITs | 10.9 | |||||
Health care REITs | 10.9 | |||||
Industrial REITs | 8.0 | |||||
Diversified REITs | 7.5 | |||||
Hotel and resort REITs | 3.5 | |||||
Short-term investments and other | 2.0 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Information technology | 65.9 | |||||
Consumer discretionary | 19.8 | |||||
Health care | 2.5 | |||||
Telecommunication services | 2.0 | |||||
Financials | 0.7 | |||||
Industrials | 0.3 | |||||
Short-term investments and other | 8.8 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Information technology | 33.3 | |||||
Health care | 19.3 | |||||
Industrials | 13.9 | |||||
Consumer discretionary | 12.6 | |||||
Financials | 9.7 | |||||
Materials | 3.6 | |||||
Energy | 2.2 | |||||
Consumer staples | 1.4 | |||||
Telecommunication services | 0.8 | |||||
Short-term investments and other | 3.2 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Financials | 24.6 | |||||
Information technology | 16.5 | |||||
Industrials | 13.2 | |||||
Health care | 13.0 | |||||
Consumer discretionary | 12.9 | |||||
Materials | 4.3 | |||||
Utilities | 4.1 | |||||
Consumer staples | 3.0 | |||||
Energy | 2.9 | |||||
Telecommunication services | 0.9 | |||||
Short-term investments and other | 4.6 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Financials | 23.8 | |||||
Industrials | 17.5 | |||||
Information technology | 15.7 | |||||
Consumer discretionary | 13.8 | |||||
Health care | 8.4 | |||||
Energy | 6.9 | |||||
Materials | 6.1 | |||||
Consumer staples | 3.4 | |||||
Telecommunication services | 1.4 | |||||
Utilities | 1.2 | |||||
Short-term investments and other | 1.8 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Industrials | 33.2 | |||||
Financials | 23.8 | |||||
Information technology | 9.0 | |||||
Health care | 7.3 | |||||
Consumer discretionary | 6.2 | |||||
Energy | 5.1 | |||||
Materials | 5.1 | |||||
Consumer staples | 3.6 | |||||
Utilities | 3.6 | |||||
Short-term investments and other | 3.1 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Information technology | 25.9 | |||||
Health care | 20.6 | |||||
Consumer discretionary | 14.4 | |||||
Industrials | 13.6 | |||||
Financials | 9.8 | |||||
Energy | 4.2 | |||||
Materials | 2.9 | |||||
Consumer staples | 2.7 | |||||
Telecommunication services | 1.4 | |||||
Short-term investments and other | 4.5 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Financials | 36.0 | |||||
Industrials | 14.6 | |||||
Consumer discretionary | 11.3 | |||||
Information technology | 9.3 | |||||
Utilities | 7.7 | |||||
Health care | 7.6 | |||||
Materials | 5.1 | |||||
Consumer staples | 3.8 | |||||
Energy | 3.5 | |||||
Short-term investments and other | 1.1 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Financials | 18.4 | |||||
Information technology | 14.5 | |||||
Health care | 13.2 | |||||
Consumer discretionary | 11.9 | |||||
Industrials | 11.0 | |||||
Consumer staples | 10.3 | |||||
Energy | 6.1 | |||||
Materials | 4.4 | |||||
Utilities | 3.8 | |||||
Telecommunication services | 3.2 | |||||
Short-term investments and other | 3.2 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Information technology | 18.6 | |||||
Financials | 17.0 | |||||
Consumer discretionary | 13.1 | |||||
Health care | 13.1 | |||||
Consumer staples | 10.1 | |||||
Industrials | 10.0 | |||||
Energy | 7.5 | |||||
Utilities | 3.4 | |||||
Materials | 3.1 | |||||
Telecommunication services | 2.6 | |||||
Short-term investments and other | 1.5 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Information technology | 20.0 | |||||
Health care | 15.5 | |||||
Consumer discretionary | 14.7 | |||||
Financials | 13.9 | |||||
Industrials | 12.3 | |||||
Energy | 6.3 | |||||
Consumer staples | 5.0 | |||||
Telecommunication services | 4.3 | |||||
Materials | 2.5 | |||||
Utilities | 1.8 | |||||
Short-term investments and other | 3.7 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Utilities | 59.7 | |||||
Energy | 15.4 | |||||
Telecommunication services | 10.6 | |||||
Consumer discretionary | 6.2 | |||||
Financials | 2.1 | |||||
Industrials | 0.3 | |||||
Short-term investments and other | 5.7 |
Sector Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Financials | 23.6 | |||||
Industrials | 16.3 | |||||
Information technology | 12.3 | |||||
Consumer discretionary | 11.4 | |||||
Health care | 8.5 | |||||
Energy | 7.6 | |||||
Materials | 7.6 | |||||
Utilities | 3.6 | |||||
Consumer staples | 3.0 | |||||
Telecommunication services | 2.7 | |||||
Short-term investments and other | 3.4 |
* | As a percentage of net assets. |
*** | The weightings represent the holdings of the American Funds Insurance Series. For further details, please visit the American Funds website at americanfunds.com/afis. |
Beginning Account Value 1/1/2016 | Ending Account Value 6/30/2016 | Expenses Paid During Period1 1/1/2016– 6/30/2016 | Annualized Expense Ratio | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
500 Index Trust B | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,036.40 | $ | 1.52 | 0.30 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.40 | 1.51 | 0.30 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,035.60 | 2.53 | 0.50 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.40 | 2.51 | 0.50 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,036.80 | 1.27 | 0.25 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.60 | 1.26 | 0.25 | % | ||||||||||||||
All Cap Core Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,000.70 | $ | 4.23 | 0.85 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.60 | 4.27 | 0.85 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 999.60 | 5.22 | 1.05 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.60 | 5.27 | 1.05 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,000.70 | 3.98 | 0.80 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.90 | 4.02 | 0.80 | % | ||||||||||||||
Alpha Opportunities Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,000.90 | $ | 5.07 | 1.02 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.80 | 5.12 | 1.02 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,000.90 | 4.83 | 0.97 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.00 | 4.87 | 0.97 | % |
Beginning Account Value 1/1/2016 | Ending Account Value 6/30/2016 | Expenses Paid During Period1 1/1/2016– 6/30/2016 | Annualized Expense Ratio | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
American Asset Allocation Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,044.30 | $ | 3.05 | 0.60 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.90 | 3.02 | 0.60 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,042.90 | 3.81 | 0.75 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.10 | 3.77 | 0.75 | %2 | ||||||||||||||
Series III — Actual | 1,000.00 | 1,046.50 | 1.27 | 0.25 | %2 | ||||||||||||||
Series III — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.50 | 1.25 | 0.25 | %2 | ||||||||||||||
American Global Growth Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 964.20 | $ | 2.69 | 0.55 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.10 | 2.77 | 0.55 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 963.50 | 3.42 | 0.70 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.40 | 3.52 | 0.70 | %2 | ||||||||||||||
Series III — Actual | 1,000.00 | 965.40 | 0.97 | 0.20 | %2 | ||||||||||||||
Series III — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.70 | 1.00 | 0.20 | %2 | ||||||||||||||
American Growth Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,007.90 | $ | 3.10 | 0.62 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.80 | 3.12 | 0.62 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,007.10 | 3.39 | 0.68 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.50 | 3.42 | 0.68 | %2 | ||||||||||||||
Series III — Actual | 1,000.00 | 1,009.10 | 1.34 | 0.27 | %2 | ||||||||||||||
Series III — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.40 | 1.35 | 0.27 | %2 | ||||||||||||||
American Growth-Income Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,029.30 | $ | 3.08 | 0.61 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.80 | 3.07 | 0.61 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,028.90 | 3.48 | 0.69 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.40 | 3.47 | 0.69 | %2 | ||||||||||||||
Series III — Actual | 1,000.00 | 1,031.30 | 1.31 | 0.26 | %2 | ||||||||||||||
Series III — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.40 | 1.30 | 0.26 | %2 | ||||||||||||||
American International Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 986.20 | $ | 3.06 | 0.62 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.80 | 3.12 | 0.62 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 985.60 | 3.70 | 0.75 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.10 | 3.77 | 0.75 | %2 | ||||||||||||||
Series III — Actual | 1,000.00 | 987.90 | 1.33 | 0.27 | %2 | ||||||||||||||
Series III — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.40 | 1.35 | 0.27 | %2 | ||||||||||||||
American New World Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,020.80 | $ | 3.37 | 0.67 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.50 | 3.37 | 0.67 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,019.90 | 4.12 | 0.82 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.80 | 4.12 | 0.82 | %2 | ||||||||||||||
Series III — Actual | 1,000.00 | 1,021.80 | 1.60 | 0.32 | %2 | ||||||||||||||
Series III — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.10 | 1.60 | 0.32 | %2 | ||||||||||||||
Blue Chip Growth Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 941.80 | $ | 3.91 | 0.81 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.80 | 4.07 | 0.81 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 940.80 | 4.87 | 1.01 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.80 | 5.07 | 1.01 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 942.10 | 3.67 | 0.76 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.10 | 3.82 | 0.76 | % | ||||||||||||||
Capital Appreciation Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 932.70 | $ | 3.65 | 0.76 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.10 | 3.82 | 0.76 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 931.90 | 4.61 | 0.96 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.10 | 4.82 | 0.96 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 933.50 | 3.41 | 0.71 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.30 | 3.57 | 0.71 | % |
Beginning Account Value 1/1/2016 | Ending Account Value 6/30/2016 | Expenses Paid During Period1 1/1/2016– 6/30/2016 | Annualized Expense Ratio | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Capital Appreciation Value Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,051.40 | $ | 4.44 | 0.87 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.50 | 4.37 | 0.87 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,049.80 | 5.45 | 1.07 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.50 | 5.37 | 1.07 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,051.50 | 4.18 | 0.82 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.80 | 4.12 | 0.82 | % | ||||||||||||||
Core Strategy Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,025.60 | $ | 0.55 | 0.11 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.30 | 0.55 | 0.11 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,024.80 | 1.56 | 0.31 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.30 | 1.56 | 0.31 | %2 | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,026.20 | 0.30 | 0.06 | %2 | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.60 | 0.30 | 0.06 | %2 | ||||||||||||||
Emerging Markets Value Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,102.30 | $ | 5.65 | 1.08 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.20 | 6.68 | 1.08 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,099.30 | 5.38 | 1.28 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,018.20 | 5.42 | 1.28 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,102.40 | 6.42 | 1.03 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.50 | 5.17 | 1.03 | % | ||||||||||||||
Equity Income Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,066.50 | $ | 4.01 | 0.78 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.00 | 3.92 | 0.78 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,065.40 | 5.03 | 0.98 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.00 | 4.92 | 0.98 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,066.70 | 3.75 | 0.73 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.20 | 3.67 | 0.73 | % | ||||||||||||||
Financial Industries Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 913.20 | $ | 4.14 | 0.87 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.50 | 4.37 | 0.87 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 912.60 | 5.09 | 1.07 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.50 | 5.37 | 1.07 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 913.00 | 3.90 | 0.82 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.80 | 4.12 | 0.82 | % | ||||||||||||||
Franklin Templeton Founding Allocation Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,026.00 | $ | 0.71 | 0.14 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.20 | 0.70 | 0.14 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,025.10 | 1.71 | 0.34 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.20 | 1.71 | 0.34 | %2 | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,026.90 | 0.50 | 0.10 | %2 | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.40 | 0.50 | 0.10 | %2 | ||||||||||||||
Fundamental All Cap Core Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 955.20 | $ | 3.65 | 0.75 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.10 | 3.77 | 0.75 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 954.10 | 4.62 | 0.95 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.10 | 4.77 | 0.95 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 955.40 | 3.40 | 0.70 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.40 | 3.52 | 0.70 | % | ||||||||||||||
Fundamental Large Cap Value Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 956.90 | $ | 3.41 | 0.70 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.40 | 3.52 | 0.70 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 955.40 | 4.38 | 0.90 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.40 | 4.52 | 0.90 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 956.90 | 3.16 | 0.65 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.60 | 3.27 | 0.65 | % |
Beginning Account Value 1/1/2016 | Ending Account Value 6/30/2016 | Expenses Paid During Period1 1/1/2016– 6/30/2016 | Annualized Expense Ratio | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 976.60 | $ | 4.28 | 0.87 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.50 | 4.37 | 0.87 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 976.00 | 5.26 | 1.07 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.50 | 5.37 | 1.07 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 976.60 | 4.03 | 0.82 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.80 | 4.12 | 0.82 | % | ||||||||||||||
Health Sciences Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 915.40 | $ | 4.95 | 1.04 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.70 | 5.22 | 1.04 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 914.30 | 5.90 | 1.24 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,018.70 | 6.22 | 1.24 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 915.50 | 4.71 | 0.99 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.90 | 4.97 | 0.99 | % | ||||||||||||||
International Core Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 971.00 | $ | 4.75 | 0.97 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.00 | 4.87 | 0.97 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 970.20 | 5.73 | 1.17 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.00 | 5.87 | 1.17 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 970.90 | 4.51 | 0.92 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.30 | 4.62 | 0.92 | % | ||||||||||||||
International Equity Index Trust B | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,000.70 | $ | 1.74 | 0.35 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.10 | 1.76 | 0.35 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,000.00 | 2.73 | 0.55 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.10 | 2.77 | 0.55 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,000.70 | 1.49 | 0.30 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.40 | 1.51 | 0.30 | % | ||||||||||||||
International Growth Stock Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 988.10 | $ | 4.45 | 0.90 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.40 | 4.52 | 0.90 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 988.10 | 5.44 | 1.10 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.40 | 5.52 | 1.10 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 988.70 | 4.20 | 0.85 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.60 | 4.27 | 0.85 | % | ||||||||||||||
International Small Company Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 987.60 | $ | 4.40 | 0.89 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.40 | 4.47 | 0.89 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 986.80 | 5.48 | 1.11 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.30 | 5.57 | 1.11 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 987.60 | 4.15 | 0.84 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.70 | 4.22 | 0.84 | % | ||||||||||||||
International Value Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,009.70 | $ | 3.65 | 0.73 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.20 | 3.67 | 0.73 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,007.90 | 4.64 | 0.93 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.20 | 4.67 | 0.93 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,009.80 | 3.40 | 0.68 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.50 | 3.42 | 0.68 | % | ||||||||||||||
Lifestyle Aggressive PS Series | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,019.50 | $ | 1.10 | 0.22 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.80 | 1.11 | 0.22 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,018.70 | 2.11 | 0.42 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.80 | 2.11 | 0.42 | %2 | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,020.30 | 0.85 | 0.17 | %2 | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.00 | 0.86 | 0.17 | %2 |
Beginning Account Value 1/1/2016 | Ending Account Value 6/30/2016 | Expenses Paid During Period1 1/1/2016– 6/30/2016 | Annualized Expense Ratio | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lifestyle Balanced PS Series | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,033.80 | $ | 0.56 | 0.11 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.30 | 0.55 | 0.11 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,033.10 | 1.57 | 0.31 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.30 | 1.56 | 0.31 | %2 | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,033.90 | 0.30 | 0.06 | %2 | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.60 | 0.30 | 0.06 | %2 | ||||||||||||||
Lifestyle Conservative PS Series | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,045.10 | $ | 0.66 | 0.13 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.20 | 0.65 | 0.13 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,043.50 | 1.68 | 0.33%2 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.20 | 1.66 | 0.33 | %2 | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,044.40 | 0.41 | 0.08%2 | %2 | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.50 | 0.40 | 0.08 | %2 | ||||||||||||||
Lifestyle Growth PS Series | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,026.70 | $ | 0.55 | 0.11 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.30 | 0.55 | 0.11 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,026.00 | 1.56 | 0.31 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.30 | 1.56 | 0.31 | %2 | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,026.70 | 0.30 | 0.06 | %2 | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.60 | 0.30 | 0.06 | %2 | ||||||||||||||
Lifestyle Moderate PS Series | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,037.40 | $ | 0.61 | 0.12 | %2 | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.30 | 0.60 | 0.12 | %2 | ||||||||||||||
Series II — Actual | 1,000.00 | 1,036.60 | 1.62 | 0.32 | %2 | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.30 | 1.61 | 0.32 | %2 | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,038.20 | 0.35 | 0.07 | %2 | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.50 | 0.35 | 0.07 | %2 | ||||||||||||||
Mid Cap Index Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,076.30 | $ | 2.32 | 0.45 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.60 | 2.26 | 0.45 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,075.60 | 3.35 | 0.65 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.60 | 3.27 | 0.65 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,076.30 | 2.06 | 0.40 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.90 | 2.01 | 0.40 | % | ||||||||||||||
Mid Cap Stock Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 974.30 | $ | 4.37 | 0.89 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.40 | 4.47 | 0.89 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 973.10 | 5.35 | 1.09 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.40 | 5.47 | 1.09 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 973.90 | 4.12 | 0.84 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.70 | 4.22 | 0.84 | % | ||||||||||||||
Mid Value Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,109.10 | $ | 5.03 | 0.96 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.10 | 4.82 | 0.96 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,108.10 | 6.08 | 1.16 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.10 | 5.82 | 1.16 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,109.70 | 4.77 | 0.91 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.30 | 4.57 | 0.91 | % | ||||||||||||||
Mutual Shares Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,044.20 | $ | 5.29 | 1.04 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.70 | 5.22 | 1.04 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,044.20 | 5.03 | 0.99 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.90 | 4.97 | 0.99 | % |
Beginning Account Value 1/1/2016 | Ending Account Value 6/30/2016 | Expenses Paid During Period1 1/1/2016– 6/30/2016 | Annualized Expense Ratio | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Real Estate Securities Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,130.60 | $ | 3.87 | 0.73 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.20 | 3.67 | 0.73 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,129.30 | 4.92 | 0.93 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.20 | 4.67 | 0.93 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,130.20 | 3.60 | 0.68 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.50 | 3.42 | 0.68 | % | ||||||||||||||
Science & Technology Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,002.50 | $ | 5.28 | 1.06 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.60 | 5.32 | 1.06 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,001.30 | 6.27 | 1.26 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,018.60 | 6.32 | 1.26 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,002.50 | 5.03 | 1.01 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.80 | 5.07 | 1.01 | % | ||||||||||||||
Small Cap Growth Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 937.30 | $ | 5.20 | 1.08 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.50 | 5.42 | 1.08 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 935.90 | 6.16 | 1.28 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,018.50 | 6.42 | 1.28 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 936.70 | 4.96 | 1.03 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.70 | 5.17 | 1.03 | % | ||||||||||||||
Small Cap Index Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,020.30 | $ | 2.61 | 0.52 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.30 | 2.61 | 0.52 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,019.70 | 3.62 | 0.72 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.30 | �� | 3.62 | 0.72 | % | |||||||||||||
Series NAV — Actual | 1,000.00 | 1,021.10 | 2.36 | 0.47 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.50 | 2.36 | 0.47 | % | ||||||||||||||
Small Cap Opportunities Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,022.30 | $ | 4.98 | 0.99 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.90 | 4.97 | 0.99 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,021.50 | 5.98 | 1.19 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,018.90 | 5.97 | 1.19 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,022.70 | 4.73 | 0.94 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.20 | 4.72 | 0.94 | % | ||||||||||||||
Small Cap Value Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,043.80 | $ | 5.59 | 1.10 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.40 | 5.52 | 1.10 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,043.00 | 6.60 | 1.30 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,018.40 | 6.52 | 1.30 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,044.00 | 5.34 | 1.05 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.60 | 5.27 | 1.05 | % | ||||||||||||||
Small Company Growth Trust | |||||||||||||||||||
Series NAV — Actual | $ | 1,000.00 | $ | 1,016.60 | $ | 5.31 | 1.06 | % | |||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.60 | 5.32 | 1.06 | % | ||||||||||||||
Small Company Value Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,091.50 | $ | 5.51 | 1.06 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.60 | 5.32 | 1.06 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,090.10 | 6.55 | 1.26 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,018.60 | 6.32 | 1.26 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,091.10 | 5.25 | 1.01 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.80 | 5.07 | 1.01 | % | ||||||||||||||
Strategic Equity Allocation Trust | |||||||||||||||||||
Series NAV — Actual | $ | 1,000.00 | $ | 1,014.90 | $ | 2.66 | 0.53 | % | |||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.20 | 2.66 | 0.53 | % |
Beginning Account Value 1/1/2016 | Ending Account Value 6/30/2016 | Expenses Paid During Period1 1/1/2016– 6/30/2016 | Annualized Expense Ratio | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Total Stock Market Index Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,033.50 | $ | 2.88 | 0.57 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.00 | 2.87 | 0.57 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,032.50 | 3.89 | 0.77 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.00 | 3.87 | 0.77 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,033.50 | 2.63 | 0.52 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.30 | 2.61 | 0.52 | % | ||||||||||||||
U.S. Equity Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,031.40 | $ | 4.29 | 0.85 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.60 | 4.27 | 0.85 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,030.40 | 5.30 | 1.05 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.60 | 5.27 | 1.05 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | �� | 1,031.90 | 4.04 | 0.80 | % | |||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.90 | 4.02 | 0.80 | % | ||||||||||||||
Utilities Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,151.90 | $ | 4.71 | 0.88 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.50 | 4.42 | 0.88 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,150.90 | 5.78 | 1.08 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.50 | 5.42 | 1.08 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,152.10 | 4.44 | 0.83 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.70 | 4.17 | 0.83 | % | ||||||||||||||
Value Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,022.80 | $ | 3.87 | 0.77 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.00 | 3.87 | 0.77 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,022.40 | 4.88 | 0.97 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.00 | 4.87 | 0.97 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,023.30 | 3.62 | 0.72 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.30 | 3.62 | 0.72 | % |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the period (182), and divided by 366 (to reflect the one-half year period). |
2 | Ratios do not include expenses indirectly incurred from underlying funds whose expense ratios can vary based on the mix of underlying funds held by the portfolios. The range of expense ratios of the underlying funds held by the portfolios for the period ended 6-30-16 was as follows: |
Portfolio | | Range | | Portfolio | | Range | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
American Funds | 0.29% – 0.79% | Lifestyle Balanced PS Series | 0.53% – 0.59% | |||||||||||
Core Strategy Trust | 0.53% – 0.59% | Lifestyle Conservative PS Series | 0.53% – 0.59% | |||||||||||
Franklin Templeton Founding Allocation Trust | 0.81% – 0.99% | Lifestyle Growth PS Series | 0.53% – 0.59% | |||||||||||
Lifestyle Aggressive PS Series | 0.08% – 0.59% | Lifestyle Moderate PS Series | 0.53% – 0.59% |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
This section shows the fund’s 50 largest portfolio holdings in unaffiliated issuers and any holdings exceeding 1% of the fund’s total net assets as of the report date. The remaining securities held by the fund are grouped as “Other Securities” in each category. You can request a complete schedule of portfolio holdings as of the report date, free of charge, by calling at 1-800-344-1029. This complete schedule, filed on the fund’s Form N-CSR, is also available on the SEC’s website at http://www.sec.gov.
500 Index Trust B
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 97.4% | ||||||||||||
Consumer discretionary - 12.0% | ||||||||||||
Amazon.com, Inc. (I) | 77,861 | $ | 55,718,889 | 1.5 | % | |||||||
Comcast Corp., Class A | 486,562 | 31,718,977 | 0.8 | % | ||||||||
McDonald’s Corp. | 176,670 | 21,260,468 | 0.6 | % | ||||||||
Starbucks Corp. | 294,802 | 16,839,090 | 0.5 | % | ||||||||
The Home Depot, Inc. | 250,347 | 31,966,808 | 0.9 | % | ||||||||
The Walt Disney Company | 300,374 | 29,382,585 | 0.8 | % | ||||||||
OTHER SECURITIES | 262,598,710 | 6.9 | % | |||||||||
449,485,527 | ||||||||||||
Consumer staples - 10.3% | ||||||||||||
Altria Group, Inc. | 393,726 | 27,151,345 | 0.7 | % | ||||||||
CVS Health Corp. | 216,129 | 20,692,190 | 0.5 | % | ||||||||
PepsiCo, Inc. | 290,679 | 30,794,533 | 0.8 | % | ||||||||
Philip Morris International, Inc. | 312,169 | 31,753,831 | 0.8 | % | ||||||||
The Coca-Cola Company | 783,550 | 35,518,322 | 0.9 | % | ||||||||
The Procter & Gamble Company | 535,670 | 45,355,179 | 1.2 | % | ||||||||
Wal-Mart Stores, Inc. | 307,315 | 22,440,141 | 0.6 | % | ||||||||
OTHER SECURITIES | 173,010,704 | 4.8 | % | |||||||||
386,716,245 | ||||||||||||
Energy - 7.2% | ||||||||||||
Chevron Corp. | 379,282 | 39,760,132 | 1.1 | % | ||||||||
Exxon Mobil Corp. | 834,470 | 78,223,218 | 2.1 | % | ||||||||
Schlumberger, Ltd. | 279,590 | 22,109,977 | 0.6 | % | ||||||||
OTHER SECURITIES | 130,601,396 | 3.4 | % | |||||||||
270,694,723 | ||||||||||||
Financials - 15.3% | ||||||||||||
Bank of America Corp. | 2,067,023 | 27,429,395 | 0.7 | % | ||||||||
Berkshire | ||||||||||||
Hathaway, Inc., Class B (I) | 377,090 | 54,598,861 | 1.4 | % | ||||||||
Citigroup, Inc. | 590,565 | 25,034,050 | 0.7 | % | ||||||||
JPMorgan Chase & Co. | 735,875 | 45,727,273 | 1.2 | % | ||||||||
State Street Corp. | 79,676 | 4,296,130 | 0.1 | % | ||||||||
Wells Fargo & Company | 929,756 | 44,005,351 | 1.2 | % | ||||||||
OTHER SECURITIES | 375,436,392 | 10.0 | % | |||||||||
576,527,452 | ||||||||||||
Health care - 14.6% | ||||||||||||
AbbVie, Inc. | 325,467 | 20,149,662 | 0.5 | % | ||||||||
Allergan PLC (I) | 79,597 | 18,394,071 | 0.5 | % | ||||||||
Amgen, Inc. | 151,176 | 23,001,428 | 0.6 | % | ||||||||
Bristol-Myers Squibb Company | 335,930 | 24,707,652 | 0.7 | % | ||||||||
Gilead Sciences, Inc. | 268,009 | 22,357,311 | 0.6 | % | ||||||||
Johnson & Johnson | 553,537 | 67,144,038 | 1.8 | % | ||||||||
Medtronic PLC | 282,961 | 24,552,526 | 0.7 | % | ||||||||
Merck & Company, Inc. | 557,018 | 32,089,807 | 0.9 | % | ||||||||
Pfizer, Inc. | 1,220,460 | 42,972,397 | 1.1 | % | ||||||||
UnitedHealth Group, Inc. | 191,343 | 27,017,632 | 0.7 | % | ||||||||
OTHER SECURITIES | 247,225,749 | 6.5 | % | |||||||||
549,612,273 | ||||||||||||
Industrials - 9.6% | ||||||||||||
3M Company | 122,060 | 21,375,147 | 0.6 | % | ||||||||
General Electric Company | 1,850,500 | 58,253,740 | 1.6 | % | ||||||||
Honeywell International, Inc. | 153,359 | 17,838,719 | 0.5 | % | ||||||||
The Boeing Company | 120,495 | 15,648,686 | 0.4 | % |
500 Index Trust B (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Industrials (continued) | ||||||||||||
United Technologies Corp. | 156,610 | $ | 16,060,356 | 0.4 | % | |||||||
OTHER SECURITIES | 231,564,580 | 6.1 | % | |||||||||
360,741,228 | ||||||||||||
Information technology - 19.3% | ||||||||||||
Alphabet, Inc., Class A (I) | 59,101 | 41,579,327 | 1.1 | % | ||||||||
Alphabet, Inc., Class C (I) | 59,437 | 41,136,348 | 1.1 | % | ||||||||
Apple, Inc. | 1,102,260 | 105,376,056 | 2.8 | % | ||||||||
Cisco Systems, Inc. | 1,012,106 | 29,037,321 | 0.8 | % | ||||||||
Facebook, Inc., Class A (I) | 465,243 | 53,167,970 | 1.4 | % | ||||||||
IBM Corp. | 177,723 | 26,974,797 | 0.7 | % | ||||||||
Intel Corp. | 950,134 | 31,164,395 | 0.8 | % | ||||||||
MasterCard, Inc., Class A | 195,349 | 17,202,433 | 0.5 | % | ||||||||
Microsoft Corp. | 1,581,840 | 80,942,753 | 2.1 | % | ||||||||
Oracle Corp. | 626,316 | 25,635,114 | 0.7 | % | ||||||||
QUALCOMM, Inc. | 295,551 | 15,832,667 | 0.4 | % | ||||||||
Visa, Inc., Class A | 383,313 | 28,430,325 | 0.7 | % | ||||||||
OTHER SECURITIES | 227,470,398 | 6.2 | % | |||||||||
723,949,904 | ||||||||||||
Materials - 2.8% | 105,189,195 | 2.8 | % | |||||||||
Telecommunication services - 2.8% | ||||||||||||
AT&T, Inc. | 1,238,846 | 53,530,536 | 1.4 | % | ||||||||
Verizon Communications, Inc. | 820,314 | 45,806,334 | 1.2 | % | ||||||||
OTHER SECURITIES | 7,357,324 | 0.2 | % | |||||||||
106,694,194 | ||||||||||||
Utilities - 3.5% | 131,651,103 | 3.5 | % | |||||||||
TOTAL COMMON STOCKS (Cost $2,169,901,649) | $ | 3,661,261,844 | ||||||||||
SECURITIES LENDING COLLATERAL - 0.6% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 2,415,050 | 24,167,408 | 0.6 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $24,167,954) | $ | 24,167,408 | ||||||||||
SHORT-TERM INVESTMENTS - 2.8% | ||||||||||||
Repurchase agreement - 2.8% | ||||||||||||
Repurchase Agreement with State Street Corp. dated 06/30/2016 at 0.030% to be repurchased at $105,700,088 on 07/01/2016, collateralized by $90,700,000 U.S. Treasury Inflation Indexed Bonds, 1.375% due 02/15/2044 (valued at $107,819,625, including interest) | $ | 105,700,000 | $ | 105,700,000 | 2.8 | % | ||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $105,700,000) | $ | 105,700,000 | ||||||||||
Total Investments (500 Index Trust B) (Cost $2,299,769,603) - 100.8% | $ | 3,791,129,252 | 100.8 | % | ||||||||
Other assets and liabilities, net - (0.8%) | (30,394,704 | ) | (0.8 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 3,760,734,548 | 100.0 | % |
The accompanying notes are an integral part of the financial statements. | 14 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
All Cap Core Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 98.7% | ||||||||||||
Consumer discretionary - 10.7% | ||||||||||||
Aaron’s, Inc. | 123,900 | $ | 2,712,171 | 0.9 | % | |||||||
The Walt Disney Company | 22,600 | 2,210,732 | 0.8 | % | ||||||||
Visteon Corp. | 37,000 | 2,434,970 | 0.8 | % | ||||||||
OTHER SECURITIES | 23,924,224 | 8.2 | % | |||||||||
31,282,097 | ||||||||||||
Consumer staples - 9.0% | ||||||||||||
Altria Group, Inc. | 60,700 | 4,185,872 | 1.4 | % | ||||||||
Campbell Soup Company | 43,600 | 2,900,708 | 1.0 | % | ||||||||
Dean Foods Company | 195,300 | 3,532,977 | 1.2 | % | ||||||||
Pilgrim’s Pride Corp. | 95,800 | 2,440,984 | 0.8 | % | ||||||||
Sysco Corp. | 72,700 | 3,688,798 | 1.3 | % | ||||||||
Tyson Foods, Inc., Class A | 59,700 | 3,987,363 | 1.4 | % | ||||||||
OTHER SECURITIES | 5,511,275 | 1.9 | % | |||||||||
26,247,977 | ||||||||||||
Energy - 6.8% | ||||||||||||
Atwood Oceanics, Inc. (L) | 252,189 | 3,157,406 | 1.1 | % | ||||||||
Diamond Offshore Drilling, Inc. (L) | 151,000 | 3,673,830 | 1.2 | % | ||||||||
Exxon Mobil Corp. | 30,600 | 2,868,444 | 1.0 | % | ||||||||
Tesoro Corp. | 46,700 | 3,498,764 | 1.2 | % | ||||||||
Valero Energy Corp. | 49,300 | 2,514,300 | 0.9 | % | ||||||||
OTHER SECURITIES | 4,217,761 | 1.4 | % | |||||||||
19,930,505 | ||||||||||||
Financials - 17.3% | ||||||||||||
Annaly Capital Management, Inc. | 334,800 | 3,706,236 | 1.3 | % | ||||||||
BlackRock, Inc. | 8,280 | 2,836,148 | 1.0 | % | ||||||||
Cincinnati Financial Corp. | 30,700 | 2,299,123 | 0.8 | % | ||||||||
Citigroup, Inc. | 124,300 | 5,269,077 | 1.8 | % | ||||||||
Equity Residential | 40,900 | 2,817,192 | 1.0 | % | ||||||||
Markel Corp. (I) | 4,037 | 3,846,373 | 1.3 | % | ||||||||
Popular, Inc. | 117,700 | 3,448,610 | 1.2 | % | ||||||||
SunTrust Banks, Inc. | 91,000 | 3,738,280 | 1.3 | % | ||||||||
OTHER SECURITIES | 22,601,285 | 7.6 | % | |||||||||
50,562,324 | ||||||||||||
Health care - 16.0% | ||||||||||||
Aetna, Inc. | 34,000 | 4,152,420 | 1.4 | % | ||||||||
Amgen, Inc. | 33,300 | 5,066,595 | 1.7 | % | ||||||||
Baxter International, Inc. | 84,700 | 3,830,134 | 1.3 | % | ||||||||
Centene Corp. (I) | 48,685 | 3,474,648 | 1.2 | % | ||||||||
Cigna Corp. | 23,400 | 2,994,966 | 1.0 | % | ||||||||
Gilead Sciences, Inc. | 59,800 | 4,988,516 | 1.7 | % | ||||||||
Johnson & Johnson | 66,700 | 8,090,710 | 2.8 | % | ||||||||
Merck & Company, Inc. | 98,900 | 5,697,629 | 1.9 | % | ||||||||
OTHER SECURITIES | 8,583,515 | 3.0 | % | |||||||||
46,879,133 | ||||||||||||
Industrials - 12.0% | ||||||||||||
American Airlines Group, Inc. | 95,200 | 2,695,112 | 0.9 | % | ||||||||
ManpowerGroup, Inc. | 35,000 | 2,251,900 | 0.8 | % | ||||||||
The Boeing Company | 24,400 | 3,168,828 | 1.1 | % | ||||||||
The Greenbrier Companies, Inc. (L) | 107,600 | 3,134,388 | 1.1 | % | ||||||||
United Continental Holdings, Inc. (I) | 89,900 | 3,689,496 | 1.3 | % | ||||||||
Wabash National Corp. (I) | 198,900 | 2,526,030 | 0.9 | % | ||||||||
OTHER SECURITIES | 17,777,707 | 5.9 | % | |||||||||
35,243,461 | ||||||||||||
Information technology - 19.7% | ||||||||||||
Accenture PLC, Class A | 22,000 | 2,492,380 | 0.9 | % | ||||||||
Alphabet, Inc., Class A (I) | 1,415 | 995,495 | 0.3 | % | ||||||||
Alphabet, Inc., Class C (I) | 1,698 | 1,175,186 | 0.4 | % | ||||||||
Apple, Inc. | 66,582 | 6,365,239 | 2.2 | % | ||||||||
HP, Inc. | 291,400 | 3,657,070 | 1.3 | % |
All Cap Core Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Information technology (continued) | ||||||||||||
IBM Corp. | 35,500 | $ | 5,388,190 | 1.8 | % | |||||||
MasterCard, Inc., Class A | 30,200 | 2,659,412 | 0.9 | % | ||||||||
Microsoft Corp. | 127,507 | 6,524,533 | 2.2 | % | ||||||||
NeuStar, Inc., Class A (I)(L) | 111,600 | 2,623,716 | 0.9 | % | ||||||||
NVIDIA Corp. | 82,200 | 3,864,222 | 1.3 | % | ||||||||
Symantec Corp. | 188,900 | 3,880,006 | 1.3 | % | ||||||||
OTHER SECURITIES | 18,253,680 | 6.2 | % | |||||||||
57,879,129 | ||||||||||||
Materials - 2.8% | ||||||||||||
LyondellBasell | ||||||||||||
Industries NV, Class A | 35,500 | 2,641,910 | 0.9 | % | ||||||||
Trinseo SA (L) | 72,200 | 3,099,546 | 1.1 | % | ||||||||
OTHER SECURITIES | 2,469,544 | 0.8 | % | |||||||||
8,211,000 | ||||||||||||
Telecommunication services - 1.5% | 4,522,834 | 1.5 | % | |||||||||
Utilities - 2.9% | ||||||||||||
Exelon Corp. | 69,500 | 2,527,020 | 0.9 | % | ||||||||
OTHER SECURITIES | 6,017,070 | 2.0 | % | |||||||||
8,544,090 | ||||||||||||
TOTAL COMMON STOCKS (Cost $280,939,691) | $ | 289,302,550 | ||||||||||
SECURITIES LENDING COLLATERAL - 7.5% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 2,202,704 | 22,042,459 | 7.5 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $22,042,973) | $ | 22,042,459 | ||||||||||
SHORT-TERM INVESTMENTS - 1.2% | ||||||||||||
Money market funds - 1.2% | ||||||||||||
State Street Institutional Liquid | ||||||||||||
Reserves Fund, Premier | ||||||||||||
Class, 0.4706% (Y) | 3,441,000 | $ | 3,441,000 | 1.2 | % | |||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $3,441,000) | $ | 3,441,000 | ||||||||||
Total Investments (All Cap Core Trust) | ||||||||||||
(Cost $306,423,664) - 107.4% | $ | 314,786,009 | 107.4 | % | ||||||||
Other assets and liabilities, net - (7.4%) | (21,610,057 | ) | (7.4 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 293,175,952 | 100.0 | % |
Alpha Opportunities Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 92.9% | ||||||||||||
Consumer discretionary - 11.6% | ||||||||||||
Advance Auto Parts, Inc. | 34,680 | $ | 5,605,328 | 0.9 | % | |||||||
Amazon.com, Inc. (I) | 10,398 | 7,441,017 | 1.2 | % | ||||||||
NIKE, Inc., Class B | 97,116 | 5,360,803 | 0.9 | % | ||||||||
NVR, Inc. (I) | 3,168 | 5,640,117 | 0.9 | % | ||||||||
Panera Bread Company, Class A (I) | 20,043 | 4,247,913 | 0.7 | % | ||||||||
The Priceline Group, Inc. (I) | 3,142 | 3,922,504 | 0.6 | % | ||||||||
OTHER SECURITIES | 40,571,576 | 6.4 | % | |||||||||
72,789,258 | ||||||||||||
Consumer staples - 7.0% | ||||||||||||
British American Tobacco PLC | 71,312 | 4,623,086 | 0.7 | % |
The accompanying notes are an integral part of the financial statements. | 15 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Alpha Opportunities Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Consumer staples (continued) | ||||||||||||
Colgate-Palmolive Company | 63,708 | $ | 4,663,426 | 0.7 | % | |||||||
Costco Wholesale Corp. | 62,430 | 9,804,007 | 1.6 | % | ||||||||
Monster Beverage Corp. (I) | 32,149 | 5,166,666 | 0.8 | % | ||||||||
OTHER SECURITIES | 19,909,963 | 3.2 | % | |||||||||
44,167,148 | ||||||||||||
Energy - 6.3% | ||||||||||||
Pioneer Natural Resources Company | 43,977 | 6,649,762 | 1.1 | % | ||||||||
Suncor Energy, Inc. | 160,880 | 4,461,202 | 0.7 | % | ||||||||
OTHER SECURITIES | 28,660,894 | 4.5 | % | |||||||||
39,771,858 | ||||||||||||
Financials - 16.9% | ||||||||||||
American International Group, Inc. | 77,232 | 4,084,800 | 0.7 | % | ||||||||
American Tower Corp. | 43,923 | 4,990,092 | 0.8 | % | ||||||||
Bank of America Corp. | 372,174 | 4,938,749 | 0.8 | % | ||||||||
BlackRock, Inc. | 18,152 | 6,217,605 | 1.0 | % | ||||||||
Chubb, Ltd. | 68,069 | 8,897,299 | 1.4 | % | ||||||||
Citigroup, Inc. | 97,606 | 4,137,518 | 0.7 | % | ||||||||
JPMorgan Chase & Co. | 64,513 | 4,008,838 | 0.6 | % | ||||||||
M&T Bank Corp. | 41,537 | 4,910,920 | 0.8 | % | ||||||||
Markel Corp. (I) | 6,021 | 5,736,688 | 0.9 | % | ||||||||
Marsh & | ||||||||||||
McLennan Companies, Inc. | 64,520 | 4,417,039 | 0.7 | % | ||||||||
MetLife, Inc. | 101,709 | 4,051,069 | 0.7 | % | ||||||||
The PNC Financial | ||||||||||||
Services Group, Inc. | 99,968 | 8,136,396 | 1.3 | % | ||||||||
OTHER SECURITIES | 41,358,838 | 6.5 | % | |||||||||
105,885,851 | ||||||||||||
Health care - 15.1% | ||||||||||||
Allergan PLC (I) | 43,778 | 10,116,658 | 1.6 | % | ||||||||
Bristol-Myers Squibb Company | 229,524 | 16,881,490 | 2.7 | % | ||||||||
DexCom, Inc. (I) | 49,247 | 3,906,765 | 0.6 | % | ||||||||
Johnson & Johnson | 67,678 | 8,209,341 | 1.3 | % | ||||||||
Medtronic PLC | 57,742 | 5,010,273 | 0.8 | % | ||||||||
Merck & Company, Inc. | 142,933 | 8,234,370 | 1.3 | % | ||||||||
TherapeuticsMD, Inc. (I) | 543,103 | 4,616,376 | 0.7 | % | ||||||||
OTHER SECURITIES | 37,738,808 | 6.1 | % | |||||||||
94,714,081 | ||||||||||||
Industrials - 13.8% | ||||||||||||
Canadian National | ||||||||||||
Railway Company | 83,238 | 4,915,227 | 0.8 | % | ||||||||
Clean Harbors, Inc. (I) | 88,614 | 4,617,676 | 0.7 | % | ||||||||
Hertz Global Holdings, Inc. (I) | 373,741 | 4,137,313 | 0.7 | % | ||||||||
Honeywell International, Inc. | 56,923 | 6,621,283 | 1.1 | % | ||||||||
Lennox International, Inc. | 27,500 | 3,921,500 | 0.6 | % | ||||||||
The Middleby Corp. (I) | 40,036 | 4,614,149 | 0.7 | % | ||||||||
Union Pacific Corp. | 78,004 | 6,805,849 | 1.1 | % | ||||||||
United Parcel Service, Inc., Class B | 46,540 | 5,013,289 | 0.8 | % | ||||||||
OTHER SECURITIES | 45,907,617 | 7.3 | % | |||||||||
86,553,903 | ||||||||||||
Information technology - 15.8% | ||||||||||||
Alibaba Group | ||||||||||||
Holding, Ltd., ADR (I) | 50,198 | 3,992,247 | 0.6 | % | ||||||||
Alphabet, Inc., Class A (I) | 398 | 280,005 | 0.1 | % | ||||||||
Alphabet, Inc., Class C (I) | 9,105 | 6,301,571 | 1.0 | % | ||||||||
CoStar Group, Inc. (I) | 22,967 | 5,021,964 | 0.8 | % | ||||||||
Facebook, Inc., Class A (I) | 51,183 | 5,849,193 | 0.9 | % | ||||||||
Micron Technology, Inc. (I) | 329,212 | 4,529,957 | 0.7 | % | ||||||||
Microsoft Corp. | 181,711 | 9,298,152 | 1.5 | % | ||||||||
Workday, Inc., Class A (I) | 68,910 | 5,145,510 | 0.8 | % |
Alpha Opportunities Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Information technology (continued) | ||||||||||||
OTHER SECURITIES | $ | 58,515,400 | 9.4 | % | ||||||||
98,933,999 | ||||||||||||
Materials - 3.8% | 23,858,389 | 3.8 | % | |||||||||
Telecommunication services - 0.6% | 3,548,281 | 0.6 | % | |||||||||
Utilities - 2.0% | ||||||||||||
Dominion Resources, Inc. | 59,814 | 4,661,305 | 0.8 | % | ||||||||
NextEra Energy, Inc. | 31,333 | 4,085,823 | 0.7 | % | ||||||||
OTHER SECURITIES | 3,620,079 | 0.5 | % | |||||||||
12,367,207 | ||||||||||||
TOTAL COMMON STOCKS (Cost $541,433,983) | $ | 582,589,975 | ||||||||||
PREFERRED SECURITIES - 2.3% | ||||||||||||
Consumer discretionary - 0.1% | 485,490 | 0.1 | % | |||||||||
Financials - 0.3% | 1,863,976 | 0.3 | % | |||||||||
Industrials - 0.1% | 529,094 | 0.1 | % | |||||||||
Information technology - 1.8% | ||||||||||||
Uber Technologies, Inc. (I)(R) | 142,224 | 6,936,577 | 1.1 | % | ||||||||
OTHER SECURITIES | 4,278,376 | 0.7 | % | |||||||||
11,214,953 | ||||||||||||
TOTAL PREFERRED SECURITIES (Cost $8,602,474) | $ | 14,093,513 | ||||||||||
CORPORATE BONDS - 0.0% | ||||||||||||
Information technology - 0.0% | $ | 48,473 | 0.0 | % | ||||||||
TOTAL CORPORATE BONDS (Cost $48,473) | $ | 48,473 | ||||||||||
Exchange-traded funds 0.5% | 3,320,212 | 0.5 | % | |||||||||
TOTAL EXCHANGE-TRADED | ||||||||||||
FUNDS (Cost $3,302,592) | $ | 3,320,212 | ||||||||||
SECURITIES LENDING COLLATERAL - 3.9% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 2,443,746 | 24,454,566 | 3.9 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $24,455,071) | $ | 24,454,566 | ||||||||||
SHORT-TERM INVESTMENTS - 4.6% | ||||||||||||
Repurchase agreement - 4.6% | ||||||||||||
Deutsche Bank Tri-Party Repurchase Agreement dated 06/30/2016 at 0.410% to be repurchased at $28,700,327 on 07/01/2016, collateralized by $28,197,000 U.S. Treasury Notes, 1.750% due 01/31/2023 (valued at $29,274,058, including interest) | $ | 28,700,000 | $ | 28,700,000 | 4.6 | % | ||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $28,700,000) | $ | 28,700,000 | ||||||||||
Total Investments (Alpha Opportunities Trust) | ||||||||||||
(Cost $606,542,593) - 104.2% | $ | 653,206,739 | 104.2 | % | ||||||||
Other assets and liabilities, net - (4.2%) | (26,103,957 | ) | (4.2 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 627,102,782 | 100.0 | % |
The accompanying notes are an integral part of the financial statements. | 16 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
American Asset Allocation Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
INVESTMENT COMPANIES - 100.0% | ||||||||||||
American Funds Insurance Series - 100.0% | ||||||||||||
American Asset Allocation | ||||||||||||
Fund - Class 1 | 71,892,906 | $ | 1,510,469,961 | 100.0 | % | |||||||
TOTAL INVESTMENT | ||||||||||||
COMPANIES (Cost $1,062,975,169) | $ | 1,510,469,961 | ||||||||||
Total Investments (American Asset Allocation Trust) | ||||||||||||
(Cost $1,062,975,169) - 100.0% | $ | 1,510,469,961 | 100.0 | % | ||||||||
Other assets and liabilities, net - 0.0% | 124,863 | 0.0 | % | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,510,594,824 | 100.0 | % |
American Global Growth Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
INVESTMENT COMPANIES - 99.9% | ||||||||||||
American Funds Insurance Series - 99.9% | ||||||||||||
American Global Growth | ||||||||||||
Fund - Class 1 | 9,277,623 | $ | 215,704,733 | 99.9 | % | |||||||
TOTAL INVESTMENT | ||||||||||||
COMPANIES (Cost $230,290,653) | $ | 215,704,733 | ||||||||||
Total Investments (American Global Growth Trust) | ||||||||||||
(Cost $230,290,653) - 99.9% | $ | 215,704,733 | 99.9 | % | ||||||||
Other assets and liabilities, net - 0.1% | 180,362 | 0.1 | % | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 215,885,095 | 100.0 | % |
American Growth Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
INVESTMENT COMPANIES - 100.0% | ||||||||||||
American Funds Insurance Series - 100.0% | ||||||||||||
American Growth Fund - Class 1 | 13,861,854 | $ | 865,534,139 | 100.0 | % | |||||||
TOTAL INVESTMENT | ||||||||||||
COMPANIES (Cost $746,084,188) | $ | 865,534,139 | ||||||||||
Total Investments (American Growth Trust) | ||||||||||||
(Cost $746,084,188) - 100.0% | $ | 865,534,139 | 100.0 | % | ||||||||
Other assets and liabilities, net - 0.0% | (38,012 | ) | 0.0 | % | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 865,496,127 | 100.0 | % |
American Growth-Income Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
INVESTMENT COMPANIES - 100.0% | ||||||||||||
American Funds Insurance Series - 100.0% | ||||||||||||
American Growth-Income | ||||||||||||
Fund - Class 1 | 25,336,975 | $ | 1,053,004,668 | 100.0 | % | |||||||
TOTAL INVESTMENT | ||||||||||||
COMPANIES (Cost $959,939,323) | $ | 1,053,004,668 | ||||||||||
Total Investments (American Growth-Income Trust) | ||||||||||||
(Cost $959,939,323) - 100.0% | $ | 1,053,004,668 | 100.0 | % | ||||||||
Other assets and liabilities, net - 0.0% | 9,015 | 0.0 | % | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,053,013,683 | 100.0 | % |
American International Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
INVESTMENT COMPANIES - 100.0% | ||||||||||||
American Funds Insurance Series - 100.0% | ||||||||||||
American International | ||||||||||||
Fund - Class 1 | 30,800,050 | $ | 501,116,815 | 100.0 | % | |||||||
TOTAL INVESTMENT | ||||||||||||
COMPANIES (Cost $502,010,958) | $ | 501,116,815 | ||||||||||
Total Investments (American International Trust) | ||||||||||||
(Cost $502,010,958) - 100.0% | $ | 501,116,815 | 100.0 | % | ||||||||
Other assets and liabilities, net - 0.0% | (27,151 | ) | 0.0 | % | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 501,089,664 | 100.0 | % |
American New World Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
INVESTMENT COMPANIES - 100.0% | ||||||||||||
American Funds Insurance Series - 100.0% | ||||||||||||
American New World Fund - Class 1 | 3,858,531 | $ | 74,469,648 | 100.0 | % | |||||||
TOTAL INVESTMENT | ||||||||||||
COMPANIES (Cost $84,310,336) | $ | 74,469,648 | ||||||||||
Total Investments (American New World Trust) | ||||||||||||
(Cost $84,310,336) - 100.0% | $ | 74,469,648 | 100.0 | % | ||||||||
Other assets and liabilities, net - 0.0% | (18,271 | ) | 0.0 | % | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 74,451,377 | 100.0 | % |
Blue Chip Growth Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 99.5% | ||||||||||||
Consumer discretionary - 26.4% | ||||||||||||
Amazon.com, Inc. (I) | 179,789 | $ | 128,660,604 | 8.4 | % | |||||||
AutoZone, Inc. (I) | 12,800 | 10,161,152 | 0.7 | % | ||||||||
Hilton Worldwide Holdings, Inc. | 536,622 | 12,090,094 | 0.8 | % | ||||||||
Lowe’s Companies, Inc. | 306,700 | 24,281,439 | 1.6 | % | ||||||||
Netflix, Inc. (I) | 183,000 | 16,740,840 | 1.1 | % |
The accompanying notes are an integral part of the financial statements. | 17 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Blue Chip Growth Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Consumer discretionary (continued) | ||||||||||||
O’Reilly Automotive, Inc. (I) | 67,900 | $ | 18,407,690 | 1.2 | % | |||||||
Ross Stores, Inc. | 156,000 | 8,843,640 | 0.6 | % | ||||||||
Starbucks Corp. | 196,400 | 11,218,368 | 0.7 | % | ||||||||
Tesla Motors, Inc. (I)(L) | 49,983 | 10,610,391 | 0.7 | % | ||||||||
The Home Depot, Inc. | 137,100 | 17,506,299 | 1.1 | % | ||||||||
The Priceline Group, Inc. (I) | 43,900 | 54,805,199 | 3.6 | % | ||||||||
Tractor Supply Company | 99,300 | 9,054,174 | 0.6 | % | ||||||||
OTHER SECURITIES | 82,302,934 | 5.3 | % | |||||||||
404,682,824 | ||||||||||||
Consumer staples - 3.3% | ||||||||||||
CVS Health Corp. | 89,900 | 8,607,026 | 0.6 | % | ||||||||
Walgreens Boots Alliance, Inc. | 208,100 | 17,328,487 | 1.1 | % | ||||||||
OTHER SECURITIES | 24,105,556 | 1.6 | % | |||||||||
50,041,069 | ||||||||||||
Financials - 7.9% | ||||||||||||
American Tower Corp. | 269,138 | 30,576,768 | 2.0 | % | ||||||||
Intercontinental Exchange, Inc. | 74,460 | 19,058,782 | 1.2 | % | ||||||||
Morgan Stanley | 689,400 | 17,910,612 | 1.2 | % | ||||||||
TD Ameritrade Holding Corp. | 475,700 | 13,545,558 | 0.9 | % | ||||||||
OTHER SECURITIES | 40,409,401 | 2.6 | % | |||||||||
121,501,121 | ||||||||||||
Health care - 24.8% | ||||||||||||
Aetna, Inc. | 145,594 | 17,781,395 | 1.2 | % | ||||||||
Alexion Pharmaceuticals, Inc. (I) | 151,700 | 17,712,492 | 1.1 | % | ||||||||
Allergan PLC (I) | 117,798 | 27,221,940 | 1.8 | % | ||||||||
Anthem, Inc. | 74,200 | 9,745,428 | 0.6 | % | ||||||||
Becton, Dickinson and Company | 83,900 | 14,228,601 | 0.9 | % | ||||||||
Biogen, Inc. (I) | 46,400 | 11,220,448 | 0.7 | % | ||||||||
Bristol-Myers Squibb Company | 413,100 | 30,383,505 | 2.0 | % | ||||||||
Celgene Corp. (I) | 230,500 | 22,734,215 | 1.5 | % | ||||||||
Danaher Corp. | 511,226 | 51,633,826 | 3.4 | % | ||||||||
Eli Lilly & Company | 121,600 | 9,576,000 | 0.6 | % | ||||||||
Intuitive Surgical, Inc. (I) | 21,900 | 14,484,879 | 0.9 | % | ||||||||
McKesson Corp. | 128,100 | 23,909,865 | 1.6 | % | ||||||||
Shire PLC, ADR | 48,487 | 8,925,487 | 0.6 | % | ||||||||
Stryker Corp. | 123,179 | 14,760,540 | 1.0 | % | ||||||||
Thermo Fisher Scientific, Inc. | 155,100 | 22,917,576 | 1.5 | % | ||||||||
UnitedHealth Group, Inc. | 203,900 | 28,790,680 | 1.9 | % | ||||||||
Vertex Pharmaceuticals, Inc. (I) | 152,000 | 13,075,040 | 0.8 | % | ||||||||
OTHER SECURITIES | 41,175,321 | 2.7 | % | |||||||||
380,277,238 | ||||||||||||
Industrials - 6.6% | ||||||||||||
American Airlines Group, Inc. | 547,200 | 15,491,232 | 1.0 | % | ||||||||
Canadian Pacific Railway, Ltd. | 73,200 | 9,427,428 | 0.6 | % | ||||||||
FedEx Corp. | 69,000 | 10,472,820 | 0.7 | % | ||||||||
The Boeing Company | 153,800 | 19,974,006 | 1.3 | % | ||||||||
OTHER SECURITIES | 46,129,622 | 3.0 | % | |||||||||
101,495,108 | ||||||||||||
Information technology - 29.5% | ||||||||||||
Alibaba Group | ||||||||||||
Holding, Ltd., ADR (I) | 260,261 | 20,698,557 | 1.4 | % | ||||||||
Alphabet, Inc., Class A (I) | 51,966 | 36,559,640 | 2.4 | % | ||||||||
Alphabet, Inc., Class C (I) | 91,498 | 63,325,766 | 4.1 | % | ||||||||
Apple, Inc. | 132,800 | 12,695,680 | 0.8 | % | ||||||||
Facebook, Inc., Class A (I) | 615,208 | 70,305,970 | 4.6 | % | ||||||||
Fiserv, Inc. (I) | 159,500 | 17,342,435 | 1.1 | % | ||||||||
MasterCard, Inc., Class A | 421,300 | 37,099,678 | 2.4 | % | ||||||||
Microsoft Corp. | 721,800 | 36,934,506 | 2.4 | % | ||||||||
salesforce.com, Inc. (I) | 346,700 | 27,531,447 | 1.8 | % | ||||||||
ServiceNow, Inc. (I) | 155,600 | 10,331,840 | 0.7 | % |
Blue Chip Growth Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Information technology (continued) | ||||||||||||
Tencent Holdings, Ltd. | 1,027,200 | $ | 23,563,628 | 1.5 | % | |||||||
Visa, Inc., Class A | 573,600 | 42,543,912 | 2.8 | % | ||||||||
OTHER SECURITIES | 52,186,993 | 3.5 | % | |||||||||
451,120,052 | ||||||||||||
Materials - 1.0% | 15,232,558 | 1.0 | % | |||||||||
TOTAL COMMON STOCKS (Cost $1,057,595,067) | $ | 1,524,349,970 | ||||||||||
SECURITIES LENDING COLLATERAL - 1.6% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 2,444,261 | 24,459,722 | 1.6 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $24,460,363) | $ | 24,459,722 | ||||||||||
SHORT-TERM INVESTMENTS - 0.5% | ||||||||||||
Money market funds - 0.5% | $ | 7,462,467 | 0.5 | % | ||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $7,462,467) | $ | 7,462,467 | ||||||||||
Total Investments (Blue Chip Growth Trust) | ||||||||||||
(Cost $1,089,517,897) - 101.6% | $ | 1,556,272,159 | 101.6 | % | ||||||||
Other assets and liabilities, net - (1.6%) | (24,853,539 | ) | (1.6 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,531,418,620 | 100.0 | % |
Capital Appreciation Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 96.8% | ||||||||||||
Consumer discretionary - 29.5% | ||||||||||||
adidas AG | 48,996 | $ | 7,033,336 | 0.8 | % | |||||||
Amazon.com, Inc. (I) | 72,807 | 52,102,145 | 6.0 | % | ||||||||
Industria de Diseno Textil SA | 601,642 | 20,211,530 | 2.3 | % | ||||||||
Lululemon Athletica, Inc. (I)(L) | 91,515 | 6,759,298 | 0.8 | % | ||||||||
Marriott | ||||||||||||
International, Inc., Class A (L) | 229,809 | 15,273,106 | 1.8 | % | ||||||||
McDonald’s Corp. | 85,018 | 10,231,066 | 1.2 | % | ||||||||
Netflix, Inc. (I) | 173,812 | 15,900,322 | 1.8 | % | ||||||||
NIKE, Inc., Class B | 323,759 | 17,871,497 | 2.1 | % | ||||||||
O’Reilly Automotive, Inc. (I) | 66,148 | 17,932,723 | 2.1 | % | ||||||||
Starbucks Corp. | 246,132 | 14,059,060 | 1.6 | % | ||||||||
Tesla Motors, Inc. (I)(L) | 44,105 | 9,362,606 | 1.1 | % | ||||||||
The Home Depot, Inc. | 106,633 | 13,615,968 | 1.6 | % | ||||||||
The Priceline Group, Inc. (I) | 12,330 | 15,392,895 | 1.8 | % | ||||||||
The TJX Companies, Inc. | 166,659 | 12,871,075 | 1.5 | % | ||||||||
The Walt Disney Company | 154,343 | 15,097,832 | 1.8 | % | ||||||||
Time Warner, Inc. | 139,544 | 10,262,066 | 1.2 | % | ||||||||
253,976,525 | ||||||||||||
Consumer staples - 5.6% | ||||||||||||
Constellation Brands, Inc., Class A | 40,453 | 6,690,926 | 0.8 | % | ||||||||
Costco Wholesale Corp. | 88,914 | 13,963,055 | 1.6 | % | ||||||||
Monster Beverage Corp. (I) | 81,731 | 13,134,989 | 1.5 | % | ||||||||
The Kroger Company | 383,453 | 14,107,236 | 1.7 | % | ||||||||
47,896,206 | ||||||||||||
Energy - 2.2% | ||||||||||||
Concho Resources, Inc. (I) | 91,697 | 10,936,701 | 1.3 | % | ||||||||
OTHER SECURITIES | 7,643,780 | 0.9 | % | |||||||||
18,580,481 |
The accompanying notes are an integral part of the financial statements. | 18 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Capital Appreciation Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Financials - 3.3% | ||||||||||||
American Tower Corp. | 111,832 | $ | 12,705,234 | 1.4 | % | |||||||
S&P Global, Inc. | 103,943 | 11,148,926 | 1.3 | % | ||||||||
OTHER SECURITIES | 5,010,243 | 0.6 | % | |||||||||
28,864,403 | ||||||||||||
Health care - 14.8% | ||||||||||||
Alexion Pharmaceuticals, Inc. (I) | 88,528 | 10,336,529 | 1.2 | % | ||||||||
Allergan PLC (I) | 71,566 | 16,538,187 | 1.9 | % | ||||||||
Bristol-Myers Squibb Company | 303,439 | 22,317,938 | 2.6 | % | ||||||||
Celgene Corp. (I) | 174,392 | 17,200,283 | 2.0 | % | ||||||||
Illumina, Inc. (I) | 48,765 | 6,845,631 | 0.8 | % | ||||||||
Novo Nordisk A/S, ADR | 250,548 | 13,474,471 | 1.5 | % | ||||||||
Regeneron Pharmaceuticals, Inc. (I) | 29,172 | 10,187,738 | 1.2 | % | ||||||||
Shire PLC, ADR | 93,433 | 17,199,147 | 2.0 | % | ||||||||
OTHER SECURITIES | 13,284,401 | 1.6 | % | |||||||||
127,384,325 | ||||||||||||
Industrials - 2.2% | ||||||||||||
The Boeing Company | 105,545 | 13,707,129 | 1.6 | % | ||||||||
OTHER SECURITIES | 5,435,715 | 0.6 | % | |||||||||
19,142,844 | ||||||||||||
Information technology - 39.0% | ||||||||||||
Adobe Systems, Inc. (I) | 208,795 | 20,000,473 | 2.3 | % | ||||||||
Alibaba Group | ||||||||||||
Holding, Ltd., ADR (I) | 215,997 | 17,178,241 | 2.0 | % | ||||||||
Alphabet, Inc., Class A (I) | 27,985 | 19,688,287 | 2.3 | % | ||||||||
Alphabet, Inc., Class C (I) | 28,447 | 19,688,169 | 2.3 | % | ||||||||
Apple, Inc. | 359,473 | 34,365,619 | 4.0 | % | ||||||||
Facebook, Inc., Class A (I) | 320,274 | 36,600,913 | 4.3 | % | ||||||||
FleetCor Technologies, Inc. (I) | 70,540 | 10,096,390 | 1.2 | % | ||||||||
MasterCard, Inc., Class A | 261,340 | 23,013,600 | 2.7 | % | ||||||||
Microsoft Corp. | 376,711 | 19,276,302 | 2.2 | % | ||||||||
NVIDIA Corp. | 154,941 | 7,283,776 | 0.8 | % | ||||||||
NXP Semiconductors NV (I) | 124,154 | 9,726,224 | 1.1 | % | ||||||||
Palo Alto Networks, Inc. (I) | 66,009 | 8,095,344 | 0.9 | % | ||||||||
Red Hat, Inc. (I) | 188,052 | 13,652,575 | 1.6 | % | ||||||||
salesforce.com, Inc. (I) | 254,507 | 20,210,401 | 2.4 | % | ||||||||
Splunk, Inc. (I) | 148,581 | 8,050,119 | 0.9 | % | ||||||||
Tencent Holdings, Ltd. | 1,044,627 | 23,963,397 | 2.8 | % | ||||||||
Visa, Inc., Class A | 396,415 | 29,402,101 | 3.4 | % | ||||||||
Workday, Inc., Class A (I) | 128,592 | 9,601,965 | 1.1 | % | ||||||||
OTHER SECURITIES | 6,390,492 | 0.7 | % | |||||||||
336,284,388 | ||||||||||||
Materials - 0.2% | 1,844,751 | 0.2 | % | |||||||||
TOTAL COMMON STOCKS (Cost $646,873,303) | $ | 833,973,923 |
Capital Appreciation Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
SECURITIES LENDING COLLATERAL - 2.3% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 1,996,943 | $ | 19,983,408 | 2.3 | % | |||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $19,983,987) | $ | 19,983,408 | ||||||||||
SHORT-TERM INVESTMENTS - 2.5% | ||||||||||||
Repurchase agreement - 2.5% | ||||||||||||
Repurchase Agreement with State | ||||||||||||
Street Corp. dated 06/30/2016 at | ||||||||||||
0.030% to be repurchased at | ||||||||||||
$20,882,017 on 07/01/2016, | ||||||||||||
collateralized by $21,015,000 | ||||||||||||
U.S. Treasury Notes, 1.125% due | ||||||||||||
03/31/2020 (valued at | ||||||||||||
$21,303,956, including interest) | $ | 20,882,000 | $ | 20,882,000 | 2.5 | % | ||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $20,882,000) | $ | 20,882,000 | ||||||||||
Total Investments (Capital Appreciation Trust) | ||||||||||||
(Cost $687,739,290) - 101.6% | $ | 874,839,331 | 101.6 | % | ||||||||
Other assets and liabilities, net - (1.6%) | (13,377,155 | ) | (1.6 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 861,462,176 | 100.0 | % |
Capital Appreciation Value Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 60.2% | ||||||||||||
Consumer discretionary - 7.3% | ||||||||||||
Amazon.com, Inc. (I) | 7,100 | $ | 5,080,901 | 1.3 | % | |||||||
AutoZone, Inc. (I) | 7,900 | 6,271,336 | 1.7 | % | ||||||||
Comcast Corp., Class A | 70,900 | 4,621,971 | 1.2 | % | ||||||||
Johnson Controls, Inc. | 76,300 | 3,377,038 | 0.9 | % | ||||||||
Liberty Global PLC, Series C (I) | 118,157 | 3,385,198 | 0.9 | % | ||||||||
Lowe’s Companies, Inc. | 36,800 | 2,913,456 | 0.8 | % | ||||||||
OTHER SECURITIES | 2,125,292 | 0.5 | % | |||||||||
27,775,192 | ||||||||||||
Consumer staples - 5.1% | ||||||||||||
Altria Group, Inc. | 31,400 | 2,165,344 | 0.6 | % | ||||||||
CVS Health Corp. | 25,900 | 2,479,666 | 0.6 | % | ||||||||
Mondelez | ||||||||||||
International, Inc., Class A | 106,977 | 4,868,523 | 1.3 | % | ||||||||
PepsiCo, Inc. | 30,835 | 3,266,660 | 0.9 | % | ||||||||
Philip Morris International, Inc. | 58,400 | 5,940,448 | 1.6 | % | ||||||||
OTHER SECURITIES | 589,839 | 0.1 | % | |||||||||
19,310,480 | ||||||||||||
Energy - 0.6% | ||||||||||||
Canadian Natural Resources, Ltd. | 75,600 | 2,330,748 | 0.6 | % | ||||||||
Financials - 11.9% | ||||||||||||
Affiliated Managers Group, Inc. (I) | 15,103 | 2,126,049 | 0.6 | % | ||||||||
American Tower Corp. | 31,500 | 3,578,715 | 0.9 | % | ||||||||
BlackRock, Inc. | 7,600 | 2,603,228 | 0.7 | % | ||||||||
Marsh & | ||||||||||||
McLennan Companies, Inc. | 277,300 | 18,983,958 | 5.0 | % | ||||||||
The Bank of New | ||||||||||||
York Mellon Corp. | 209,500 | 8,139,075 | 2.1 | % | ||||||||
Willis Towers Watson PLC | 56,693 | 7,047,507 | 1.9 | % | ||||||||
OTHER SECURITIES | 2,533,424 | 0.7 | % | |||||||||
45,011,956 |
The accompanying notes are an integral part of the financial statements. | 19 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Capital Appreciation Value Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Health care - 18.3% | ||||||||||||
Abbott Laboratories | 183,600 | $ | 7,217,316 | 1.9 | % | |||||||
Aetna, Inc. | 48,100 | 5,874,453 | 1.5 | % | ||||||||
Becton, Dickinson and Company | 42,412 | 7,192,651 | 1.9 | % | ||||||||
Danaher Corp. | 137,974 | 13,935,374 | 3.7 | % | ||||||||
Humana, Inc. | 10,237 | 1,841,432 | 0.5 | % | ||||||||
PerkinElmer, Inc. | 76,000 | 3,983,920 | 1.1 | % | ||||||||
Pfizer, Inc. | 138,781 | 4,886,479 | 1.3 | % | ||||||||
Thermo Fisher Scientific, Inc. | 77,500 | 11,451,400 | 3.0 | % | ||||||||
UnitedHealth Group, Inc. | 37,400 | 5,280,880 | 1.4 | % | ||||||||
Zoetis, Inc. | 118,791 | 5,637,821 | 1.5 | % | ||||||||
OTHER SECURITIES | 1,892,622 | 0.5 | % | |||||||||
69,194,348 | ||||||||||||
Industrials - 5.7% | ||||||||||||
IHS, Inc., Class A (I) | 16,700 | 1,930,687 | 0.5 | % | ||||||||
Pentair PLC | 64,470 | 3,757,956 | 1.0 | % | ||||||||
Roper Technologies, Inc. | 15,000 | 2,558,400 | 0.7 | % | ||||||||
Tyco International PLC | 154,000 | 6,560,400 | 1.7 | % | ||||||||
OTHER SECURITIES | 6,629,164 | 1.8 | % | |||||||||
21,436,607 | ||||||||||||
Information technology - 8.3% | ||||||||||||
Alphabet, Inc., Class C (I) | 6,413 | 4,438,437 | 1.2 | % | ||||||||
Apple, Inc. | 39,600 | 3,785,760 | 1.0 | % | ||||||||
Fiserv, Inc. (I) | 53,100 | 5,773,563 | 1.5 | % | ||||||||
FleetCor Technologies, Inc. (I) | 14,905 | 2,133,353 | 0.6 | % | ||||||||
Microsoft Corp. | 178,800 | 9,149,196 | 2.4 | % | ||||||||
Visa, Inc., Class A | 55,000 | 4,079,350 | 1.1 | % | ||||||||
OTHER SECURITIES | 1,935,784 | 0.5 | % | |||||||||
31,295,443 | ||||||||||||
Materials - 0.6% | ||||||||||||
LyondellBasell | ||||||||||||
Industries NV, Class A | 31,291 | 2,328,676 | 0.6 | % | ||||||||
Telecommunication services - 0.7% | ||||||||||||
SBA | ||||||||||||
Communications Corp., | ||||||||||||
Class A (I) | 23,705 | 2,558,718 | 0.7 | % | ||||||||
Utilities - 1.7% | ||||||||||||
PG&E Corp. | 94,300 | 6,027,656 | 1.6 | % | ||||||||
OTHER SECURITIES | 219,422 | 0.1 | % | |||||||||
6,247,078 | ||||||||||||
TOTAL COMMON STOCKS (Cost $194,193,288) | $ | 227,489,246 | ||||||||||
PREFERRED SECURITIES - 1.8% | ||||||||||||
Financials - 1.3% | ||||||||||||
American Tower Corp., 5.500% | 19,873 | 2,232,135 | 0.6 | % | ||||||||
OTHER SECURITIES | 2,562,090 | 0.7 | % | |||||||||
4,794,225 | ||||||||||||
Utilities - 0.5% | 2,014,743 | 0.5 | % | |||||||||
TOTAL PREFERRED SECURITIES (Cost $6,126,390) | $ | 6,808,968 | ||||||||||
CORPORATE BONDS - 19.7% | ||||||||||||
Consumer discretionary - 4.0% | $ | 15,147,536 | 4.0 | % | ||||||||
Consumer staples - 1.0% | 3,592,734 | 1.0 | % | |||||||||
Energy - 4.4% | ||||||||||||
MPLX LP | ||||||||||||
4.500%, 07/15/2023 (S) | $ | 2,425,000 | 2,351,273 | 0.6 | % | |||||||
OTHER SECURITIES | 14,446,862 | 3.8 | % | |||||||||
16,798,135 |
Capital Appreciation Value Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
CORPORATE BONDS (continued) | ||||||||||||
Financials - 1.8% | $ | 6,802,440 | 1.8 | % | ||||||||
Health care - 2.3% | ||||||||||||
DaVita HealthCare Partners, Inc. | ||||||||||||
5.750%, 08/15/2022 | $ | 1,800,000 | 1,883,250 | 0.5 | % | |||||||
OTHER SECURITIES | 6,756,161 | 1.8 | % | |||||||||
8,639,411 | ||||||||||||
Industrials - 1.2% | 4,430,637 | 1.2 | % | |||||||||
Information technology - 1.3% | ||||||||||||
NXP BV | ||||||||||||
3.750%, 06/01/2018 (S) | 1,825,000 | 1,861,500 | 0.5 | % | ||||||||
OTHER SECURITIES | 3,211,571 | 0.8 | % | |||||||||
5,073,071 | ||||||||||||
Materials - 0.3% | 1,112,154 | 0.3 | % | |||||||||
Telecommunication services - 2.9% | ||||||||||||
UPCB Finance V, Ltd. | ||||||||||||
7.250%, 11/15/2021 (S) | 2,385,000 | 2,486,363 | 0.7 | % | ||||||||
UPCB Finance VI, Ltd. | ||||||||||||
6.875%, 01/15/2022 (S) | 3,037,500 | 3,159,000 | 0.8 | % | ||||||||
OTHER SECURITIES | 5,366,937 | 1.4 | % | |||||||||
11,012,300 | ||||||||||||
Utilities - 0.5% | 2,021,032 | 0.5 | % | |||||||||
TOTAL CORPORATE BONDS (Cost $74,277,498) | $ | 74,629,450 | ||||||||||
TERM LOANS (M) - 3.6% | ||||||||||||
Consumer discretionary - 0.6% | 2,468,511 | 0.6 | % | |||||||||
Consumer staples - 0.5% | 1,924,673 | 0.5 | % | |||||||||
Financials - 0.3% | 1,029,304 | 0.3 | % | |||||||||
Health care - 0.3% | 1,233,583 | 0.3 | % | |||||||||
Information technology - 0.4% | 1,347,011 | 0.4 | % | |||||||||
Telecommunication services - 1.5% | ||||||||||||
Intelsat Jackson Holdings SA | ||||||||||||
3.750%, 06/30/2019 | 2,895,968 | 2,619,391 | 0.7 | % | ||||||||
UPC Financing Partnership | ||||||||||||
3.344%, 06/30/2021 | 2,000,000 | 1,947,500 | 0.5 | % | ||||||||
OTHER SECURITIES | 1,129,794 | 0.3 | % | |||||||||
5,696,685 | ||||||||||||
TOTAL TERM LOANS (Cost $14,202,413) | $ | 13,699,767 | ||||||||||
Asset backed securities 0.2% | 898,583 | 0.2 | % | |||||||||
TOTAL ASSET BACKED | ||||||||||||
SECURITIES (Cost $890,163) | $ | 898,583 | ||||||||||
SHORT-TERM INVESTMENTS - 12.4% | ||||||||||||
Money market funds - 12.2% | ||||||||||||
T. Rowe Price Prime Reserve | ||||||||||||
Fund, 0.3204% (Y) | 46,029,876 | $ | 46,029,876 | 12.2 | % | |||||||
Repurchase agreement - 0.2% | $ | 675,000 | 0.2 | % | ||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $46,704,876) | $ | 46,704,876 | ||||||||||
Total Investments (Capital Appreciation Value Trust) | ||||||||||||
(Cost $336,394,628) - 97.9% | $ | 370,230,890 | 97.9 | % | ||||||||
Other assets and liabilities, net - 2.1% | 7,857,560 | 2.1 | % | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 378,088,450 | 100.0 | % |
The accompanying notes are an integral part of the financial statements. | 20 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Core Strategy Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
AFFILIATED INVESTMENT | ||||||||||||
COMPANIES (G) - 100.0% | ||||||||||||
Equity - 70.1% | ||||||||||||
Strategic Equity Allocation, | ||||||||||||
Series NAV (JHAM) (A)(1) | 154,035,157 | $ | 2,515,394,115 | 70.1 | % | |||||||
Fixed income - 29.9% | ||||||||||||
Bond, Series NAV (JHAM) (A)(1) | 76,884,352 | 1,074,074,393 | 29.9 | % | ||||||||
TOTAL AFFILIATED INVESTMENT | ||||||||||||
COMPANIES (Cost $3,582,751,483) | $ | 3,589,468,508 | ||||||||||
COMMON STOCKS - 0.0% | ||||||||||||
Consumer discretionary - 0.0% | ||||||||||||
Urbi Desarrollos Urbanos | ||||||||||||
SAB de CV (I) | 6,600 | 4 | 0.0 | % | ||||||||
Consumer staples - 0.0% | ||||||||||||
Chaoda Modern | ||||||||||||
Agriculture Holdings, Ltd. (I) | 28,480 | 633 | 0.0 | % | ||||||||
Financials - 0.0% | ||||||||||||
Irish Bank Resolution Corp., Ltd. (I) | 3,621 | 0 | 0.0 | % | ||||||||
SRH NV (I) | 1,920 | 0 | 0.0 | % | ||||||||
Health care - 0.0% | ||||||||||||
Medcath Corp. (I) | 500 | 250 | 0.0 | % | ||||||||
Industrials - 0.0% | ||||||||||||
China Metal | ||||||||||||
Recycling Holdings, Ltd. (I) | 7,800 | 0 | 0.0 | % | ||||||||
Virgin Australia Holdings, Ltd. (I) | 16,061 | 60 | 0.0 | % | ||||||||
Materials - 0.0% | ||||||||||||
Timminco, Ltd. (I) | 300 | 0 | 0.0 | % | ||||||||
TOTAL COMMON STOCKS (Cost $99,936) | $ | 947 | ||||||||||
Total Investments (Core Strategy Trust) | ||||||||||||
(Cost $3,582,851,419) - 100.0% | $ | 3,589,469,455 | 100.0 | % | ||||||||
Other assets and liabilities, net - 0.0% | 15,514 | 0.0 | % | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 3,589,484,969 | 100.0 | % |
Emerging Markets Value Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 96.7% | ||||||||||||
Australia - 0.0% | $ | 155,744 | 0.0 | % | ||||||||
Brazil - 5.7% | ||||||||||||
Banco Bradesco SA | 157,833 | 1,327,108 | 0.2 | % | ||||||||
BM&FBovespa SA | 756,938 | 4,241,473 | 0.6 | % | ||||||||
Kroton Educacional SA | 766,949 | 3,247,052 | 0.4 | % | ||||||||
Petroleo Brasileiro SA (I) | 720,526 | 2,581,718 | 0.4 | % | ||||||||
Petroleo Brasileiro SA, ADR (I) | 961,096 | 5,583,968 | 0.8 | % | ||||||||
Petroleo Brasileiro SA, ADR (I)(L) | 719,571 | 5,152,128 | 0.7 | % | ||||||||
Vale SA | 663,895 | 3,362,566 | 0.5 | % | ||||||||
OTHER SECURITIES | 17,122,258 | 2.1 | % | |||||||||
42,618,271 | ||||||||||||
Chile - 1.4% | 10,626,881 | 1.4 | % | |||||||||
China - 12.0% | ||||||||||||
Bank of China, Ltd., H Shares | 21,423,694 | 8,610,353 | 1.2 | % | ||||||||
China Construction Bank Corp., | ||||||||||||
H Shares | 34,116,000 | 22,743,026 | 3.1 | % | ||||||||
China Petroleum & | ||||||||||||
Chemical Corp., ADR (L) | 77,701 | 5,594,472 | 0.8 | % |
Emerging Markets Value Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
China (continued) | ||||||||||||
China Petroleum & Chemical Corp., | ||||||||||||
H Shares | 1,016,000 | $ | 734,181 | 0.1 | % | |||||||
CNOOC, Ltd. | 6,434,000 | 8,031,046 | 1.1 | % | ||||||||
CNOOC, Ltd., ADR (L) | 4,614 | 575,181 | 0.1 | % | ||||||||
Industrial & Commercial Bank of | ||||||||||||
China, Ltd., H Shares | 21,497,000 | 11,988,209 | 1.6 | % | ||||||||
OTHER SECURITIES | 30,874,408 | 4.0 | % | |||||||||
89,150,876 | ||||||||||||
Colombia - 0.5% | 3,669,682 | 0.5 | % | |||||||||
Czech Republic - 0.4% | 2,746,837 | 0.4 | % | |||||||||
Greece - 0.1% | 820,089 | 0.1 | % | |||||||||
Hong Kong - 2.8% | ||||||||||||
China Unicom Hong Kong, Ltd. | 1,202,000 | 1,253,375 | 0.2 | % | ||||||||
China Unicom Hong | ||||||||||||
Kong, Ltd., ADR | 151,861 | 1,580,873 | 0.2 | % | ||||||||
OTHER SECURITIES | 18,159,406 | 2.4 | % | |||||||||
20,993,654 | ||||||||||||
Hungary - 0.3% | 2,128,607 | 0.3 | % | |||||||||
India - 13.7% | ||||||||||||
Axis Bank, Ltd. | 767,451 | 6,098,315 | 0.8 | % | ||||||||
Bharti Airtel, Ltd. | 889,389 | 4,809,116 | 0.7 | % | ||||||||
ICICI Bank, Ltd. | 1,943,814 | 6,952,809 | 1.0 | % | ||||||||
Larsen & Toubro, Ltd. | 184,507 | 4,113,391 | 0.6 | % | ||||||||
Mahindra & Mahindra, Ltd. | 229,175 | 4,861,442 | 0.7 | % | ||||||||
Reliance Industries, Ltd. | 143,359 | 2,064,730 | 0.3 | % | ||||||||
Reliance Industries, Ltd., GDR (S) | 282,776 | 8,073,679 | 1.1 | % | ||||||||
Tata Motors, Ltd. | 599,631 | 4,098,242 | 0.6 | % | ||||||||
Wipro, Ltd. | 334,206 | 2,779,742 | 0.4 | % | ||||||||
OTHER SECURITIES | 58,446,186 | 7.5 | % | |||||||||
102,297,652 | ||||||||||||
Indonesia - 3.1% | ||||||||||||
Bank Mandiri Persero Tbk PT | 5,417,720 | 3,920,561 | 0.5 | % | ||||||||
OTHER SECURITIES | 19,240,041 | 2.6 | % | |||||||||
23,160,602 | ||||||||||||
Malaysia - 3.9% | 29,214,619 | 3.9 | % | |||||||||
Malta - 0.0% | 12,213 | 0.0 | % | |||||||||
Mexico - 5.6% | ||||||||||||
Cemex SAB de CV, ADR (I)(L) | 689,036 | 4,251,352 | 0.6 | % | ||||||||
Grupo Financiero Banorte | ||||||||||||
SAB de CV | 1,313,761 | 7,342,526 | 1.0 | % | ||||||||
Grupo Mexico SAB de CV, Series B | 2,405,773 | 5,637,251 | 0.8 | % | ||||||||
OTHER SECURITIES | 24,466,981 | 3.2 | % | |||||||||
41,698,110 | ||||||||||||
Netherlands - 0.7% | ||||||||||||
Steinhoff International Holdings NV | 874,677 | 5,017,715 | 0.7 | % | ||||||||
Philippines - 1.5% | 11,501,570 | 1.5 | % | |||||||||
Poland - 1.6% | ||||||||||||
Polski Koncern Naftowy Orlen SA | 191,911 | 3,371,010 | 0.5 | % | ||||||||
OTHER SECURITIES | 8,216,694 | 1.1 | % | |||||||||
11,587,704 | ||||||||||||
Russia - 2.2% | ||||||||||||
Gazprom PAO, ADR | 2,442,044 | 10,551,994 | 1.4 | % | ||||||||
Lukoil PJSC, ADR | 114,166 | 4,778,262 | 0.6 | % | ||||||||
OTHER SECURITIES | 852,936 | 0.2 | % | |||||||||
16,183,192 |
The accompanying notes are an integral part of the financial statements. | 21 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Emerging Markets Value Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
South Africa - 7.7% | ||||||||||||
AngloGold Ashanti, Ltd., ADR (I) | 282,573 | $ | 5,103,268 | 0.7 | % | |||||||
Gold Fields, Ltd., ADR | 775,427 | 3,799,592 | 0.5 | % | ||||||||
MTN Group, Ltd. | 723,361 | 7,029,901 | 1.0 | % | ||||||||
Sasol, Ltd. | 271,173 | 7,336,248 | 1.0 | % | ||||||||
Sasol, Ltd., ADR | 66,708 | 1,809,121 | 0.3 | % | ||||||||
Standard Bank Group, Ltd. | 717,125 | 6,245,750 | 0.8 | % | ||||||||
OTHER SECURITIES | 25,682,711 | 3.4 | % | |||||||||
57,006,591 | ||||||||||||
South Korea - 14.5% | ||||||||||||
Hyundai Motor Company | 79,668 | 9,424,046 | 1.3 | % | ||||||||
KB Financial Group, Inc., ADR | 144,612 | 4,115,658 | 0.6 | % | ||||||||
Kia Motors Corp. | 137,922 | 5,196,818 | 0.7 | % | ||||||||
LG Display Company, Ltd., ADR (L) | 324,809 | 3,764,536 | 0.5 | % | ||||||||
LG Electronics, Inc. | 70,353 | 3,313,394 | 0.5 | % | ||||||||
POSCO | 17,206 | 3,048,053 | 0.4 | % | ||||||||
POSCO, ADR | 38,055 | 1,693,448 | 0.2 | % | ||||||||
Samsung Electronics Company, Ltd. | 2,393 | 2,980,126 | 0.4 | % | ||||||||
Shinhan Financial Group | ||||||||||||
Company, Ltd., ADR | 193,122 | 6,322,814 | 0.9 | % | ||||||||
SK Hynix, Inc. | 226,604 | 6,448,467 | 0.9 | % | ||||||||
SK Innovation Company, Ltd. | 36,312 | 4,474,155 | 0.6 | % | ||||||||
OTHER SECURITIES | 57,159,367 | 7.5 | % | |||||||||
107,940,882 | ||||||||||||
Taiwan - 14.2% | ||||||||||||
Cathay Financial | ||||||||||||
Holdings Company, Ltd. | 2,887,000 | 3,164,369 | 0.4 | % | ||||||||
China Steel Corp. | 5,046,180 | 3,287,971 | 0.5 | % | ||||||||
Fubon Financial | ||||||||||||
Holding Company, Ltd. | 4,126,417 | 4,865,174 | 0.7 | % | ||||||||
Hon Hai Precision | ||||||||||||
Industry Company, Ltd. | 2,252,100 | 5,802,051 | 0.8 | % | ||||||||
Mega Financial | ||||||||||||
Holding Company, Ltd. | 6,277,472 | 4,748,102 | 0.7 | % | ||||||||
United Microelectronics Corp. | 9,353,794 | 3,668,387 | 0.5 | % | ||||||||
OTHER SECURITIES | 80,297,993 | 10.6 | % | |||||||||
105,834,047 | ||||||||||||
Thailand - 3.1% | ||||||||||||
PTT PCL | 868,700 | 7,791,162 | 1.1 | % | ||||||||
OTHER SECURITIES | 15,105,455 | 2.0 | % | |||||||||
22,896,617 | ||||||||||||
Turkey - 1.7% | 12,791,175 | 1.7 | % | |||||||||
Ukraine - 0.0% | 349,136 | 0.0 | % | |||||||||
TOTAL COMMON STOCKS (Cost $833,013,444) | $ | 720,402,466 | ||||||||||
PREFERRED SECURITIES - 2.3% | ||||||||||||
Brazil - 2.2% | ||||||||||||
Banco Bradesco SA | 584,056 | 4,578,193 | 0.6 | % | ||||||||
Petroleo Brasileiro SA (I) | 1,162,007 | 3,407,560 | 0.5 | % | ||||||||
Vale SA | 1,014,255 | 4,114,106 | 0.6 | % | ||||||||
OTHER SECURITIES | 4,543,213 | 0.5 | % | |||||||||
16,643,072 | ||||||||||||
Chile - 0.0% | 23,393 | 0.0 | % | |||||||||
Colombia - 0.1% | 728,377 | 0.1 | % | |||||||||
Panama - 0.0% | 108,637 | 0.0 | % | |||||||||
TOTAL PREFERRED | ||||||||||||
SECURITIES (Cost $27,918,956) | $ | 17,503,479 |
Emerging Markets Value Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
PREFERRED SECURITIES (continued) | ||||||||||||
Rights 0.0% | $ | 22,248 | 0.0 | % | ||||||||
TOTAL RIGHTS (Cost $0) | $ | 22,248 | ||||||||||
Warrants 0.0% | 16,821 | 0.0 | % | |||||||||
TOTAL WARRANTS (Cost $0) | $ | 16,821 | ||||||||||
SECURITIES LENDING COLLATERAL - 2.0% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 1,458,354 | 14,593,899 | 2.0 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $14,593,845) | $ | 14,593,899 | ||||||||||
Total Investments (Emerging Markets Value Trust) | ||||||||||||
(Cost $875,526,245) - 101.0% | $ | 752,538,913 | 101.0 | % | ||||||||
Other Assets And Liabilities, Net - (1.0%) | (7,212,758 | ) | (1.0 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 745,326,155 | 100.0 | % |
Equity Income Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 96.3% | ||||||||||||
Consumer discretionary - 8.7% | ||||||||||||
Comcast Corp., Class A | 289,000 | $ | 18,839,910 | 1.2 | % | |||||||
Mattel, Inc. | 539,275 | 16,873,915 | 1.0 | % | ||||||||
Twenty-First Century | ||||||||||||
Fox, Inc., Class B | 712,000 | 19,402,000 | 1.2 | % | ||||||||
OTHER SECURITIES | 84,687,325 | 5.3 | % | |||||||||
139,803,150 | ||||||||||||
Consumer staples - 5.0% | ||||||||||||
Archer-Daniels-Midland Company | 453,000 | 19,429,170 | 1.2 | % | ||||||||
PepsiCo, Inc. | 169,100 | 17,914,454 | 1.1 | % | ||||||||
Wal-Mart Stores, Inc. | 206,000 | 15,042,120 | 1.0 | % | ||||||||
OTHER SECURITIES | 28,119,086 | 1.7 | % | |||||||||
80,504,830 | ||||||||||||
Energy - 12.0% | ||||||||||||
Apache Corp. | 333,200 | 18,549,244 | 1.1 | % | ||||||||
Canadian Natural Resources, Ltd. | 625,900 | 19,296,497 | 1.2 | % | ||||||||
Chevron Corp. | 163,300 | 17,118,739 | 1.1 | % | ||||||||
Exxon Mobil Corp. | 474,400 | 44,470,256 | 2.7 | % | ||||||||
Royal Dutch Shell PLC, | ||||||||||||
ADR, Class A | 527,300 | 29,117,506 | 1.8 | % | ||||||||
TOTAL SA | 461,641 | 22,138,451 | 1.4 | % | ||||||||
OTHER SECURITIES | 44,002,483 | 2.7 | % | |||||||||
194,693,176 | ||||||||||||
Financials - 21.7% | ||||||||||||
American Express Company | 325,700 | 19,789,532 | 1.2 | % | ||||||||
Ameriprise Financial, Inc. | 191,200 | 17,179,320 | 1.1 | % | ||||||||
Bank of America Corp. | 1,395,593 | 18,519,519 | 1.1 | % | ||||||||
Citigroup, Inc. | 408,100 | 17,299,359 | 1.1 | % | ||||||||
JPMorgan Chase & Co. | 772,175 | 47,982,955 | 3.0 | % | ||||||||
Loews Corp. | 597,900 | 24,567,711 | 1.5 | % | ||||||||
Marsh & McLennan Companies, Inc. | 312,000 | 21,359,520 | 1.3 | % | ||||||||
MetLife, Inc. | 538,800 | 21,460,404 | 1.3 | % | ||||||||
Morgan Stanley | 860,200 | 22,347,996 | 1.4 | % | ||||||||
Northern Trust Corp. | 286,300 | 18,970,238 | 1.2 | % | ||||||||
State Street Corp. | 314,200 | 16,941,664 | 1.0 | % | ||||||||
Wells Fargo & Company | 387,500 | 18,340,375 | 1.1 | % |
The accompanying notes are an integral part of the financial statements. | 22 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Equity Income Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Financials (continued) | ||||||||||||
OTHER SECURITIES | $ | 86,496,893 | 5.4 | % | ||||||||
351,255,486 | ||||||||||||
Health care - 9.4% | ||||||||||||
Anthem, Inc. | 132,874 | 17,451,671 | 1.1 | % | ||||||||
Bristol-Myers Squibb Company | 248,125 | 18,249,594 | 1.1 | % | ||||||||
Johnson & Johnson | 249,400 | 30,252,220 | 1.9 | % | ||||||||
Merck & Company, Inc. | 261,550 | 15,067,896 | 0.9 | % | ||||||||
Pfizer, Inc. | 1,034,035 | 36,408,372 | 2.3 | % | ||||||||
OTHER SECURITIES | 34,317,374 | 2.1 | % | |||||||||
151,747,127 | ||||||||||||
Industrials - 13.3% | ||||||||||||
Emerson Electric Company | 299,100 | 15,601,056 | 1.0 | % | ||||||||
General Electric Company | 1,539,900 | 48,476,052 | 3.0 | % | ||||||||
Illinois Tool Works, Inc. | 166,800 | 17,373,888 | 1.1 | % | ||||||||
The Boeing Company | 229,700 | 29,831,139 | 1.8 | % | ||||||||
Tyco International PLC | 521,200 | 22,203,120 | 1.4 | % | ||||||||
OTHER SECURITIES | 81,978,525 | 5.0 | % | |||||||||
215,463,780 | ||||||||||||
Information technology - 10.1% | ||||||||||||
Applied Materials, Inc. | 834,600 | 20,005,362 | 1.3 | % | ||||||||
Cisco Systems, Inc. | 638,900 | 18,330,041 | 1.1 | % | ||||||||
Harris Corp. | 238,124 | 19,869,067 | 1.2 | % | ||||||||
Microsoft Corp. | 587,125 | 30,043,186 | 1.9 | % | ||||||||
QUALCOMM, Inc. | 372,800 | 19,970,896 | 1.2 | % | ||||||||
Texas Instruments, Inc. | 287,300 | 17,999,345 | 1.1 | % | ||||||||
OTHER SECURITIES | 36,683,026 | 2.3 | % | |||||||||
162,900,923 | ||||||||||||
Materials - 4.9% | ||||||||||||
E.I. du Pont de Nemours & Company | 356,300 | 23,088,240 | 1.4 | % | ||||||||
International Paper Company | 447,500 | 18,965,050 | 1.2 | % | ||||||||
OTHER SECURITIES | 37,369,598 | 2.3 | % | |||||||||
79,422,888 | ||||||||||||
Telecommunication services - 2.9% | ||||||||||||
Verizon Communications, Inc. | 490,485 | 27,388,682 | 1.7 | % | ||||||||
OTHER SECURITIES | 19,206,535 | 1.2 | % | |||||||||
46,595,217 | ||||||||||||
Utilities - 8.3% | ||||||||||||
AES Corp. | 1,470,700 | 18,354,336 | 1.1 | % | ||||||||
Edison International | 206,900 | 16,069,923 | 1.0 | % | ||||||||
Entergy Corp. | 205,300 | 16,701,155 | 1.0 | % | ||||||||
FirstEnergy Corp. | 459,000 | 16,023,690 | 1.0 | % | ||||||||
NiSource, Inc. | 793,200 | 21,035,664 | 1.3 | % | ||||||||
PG&E Corp. | 331,200 | 21,170,304 | 1.3 | % | ||||||||
OTHER SECURITIES | 25,393,986 | 1.6 | % | |||||||||
134,749,058 | ||||||||||||
TOTAL COMMON STOCKS (Cost $1,251,909,466) | $ | 1,557,135,635 | ||||||||||
CORPORATE BONDS - 0.2% | ||||||||||||
Health care - 0.0% | $ | 547,083 | 0.0 | % | ||||||||
Information technology - 0.2% | 2,675,000 | 0.2 | % | |||||||||
TOTAL CORPORATE BONDS (Cost $3,049,547) | $ | 3,222,083 |
Equity Income Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
SECURITIES LENDING COLLATERAL - 0.8% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 1,302,526 | $ | 13,034,377 | 0.8 | % | |||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $13,034,499) | $ | 13,034,377 | ||||||||||
SHORT-TERM INVESTMENTS - 2.3% | ||||||||||||
Money market funds - 2.3% | ||||||||||||
T. Rowe Price Prime Reserve | ||||||||||||
Fund, 0.3204% (Y) | 26,312,659 | $ | 26,312,659 | 1.6 | % | |||||||
OTHER SECURITIES | 10,657,847 | 0.7 | % | |||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $36,970,506) | $ | 36,970,506 | ||||||||||
Total Investments (Equity Income Trust) | ||||||||||||
(Cost $1,304,964,018) - 99.6% | $ | 1,610,362,601 | 99.6 | % | ||||||||
Other assets and liabilities, net - 0.4% | 6,624,614 | 0.4 | % | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,616,987,215 | 100.0 | % |
Financial Industries Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 93.0% | ||||||||||||
Financials - 90.0% | ||||||||||||
1st Source Corp. | 32,427 | $ | 1,050,312 | 0.8 | % | |||||||
Affiliated Managers Group, Inc. (I) | 7,250 | 1,020,583 | 0.7 | % | ||||||||
American Capital, Ltd. (I) | 198,091 | 3,135,781 | 2.3 | % | ||||||||
American International Group, Inc. | 36,305 | 1,920,171 | 1.4 | % | ||||||||
Ameriprise Financial, Inc. | 32,946 | 2,960,198 | 2.1 | % | ||||||||
Ameris Bancorp | 35,353 | 1,049,984 | 0.8 | % | ||||||||
Assured Guaranty, Ltd. | 130,356 | 3,307,132 | 2.4 | % | ||||||||
Azimut Holding SpA | 89,095 | 1,453,661 | 1.0 | % | ||||||||
Bank of America Corp. | 296,756 | 3,937,952 | 2.8 | % | ||||||||
Bank of Ireland (I) | 8,184,132 | 1,687,153 | 1.2 | % | ||||||||
Banner Corp. | 68,446 | 2,911,693 | 2.1 | % | ||||||||
Capital One Financial Corp. | 33,920 | 2,154,259 | 1.6 | % | ||||||||
Chubb, Ltd. | 33,640 | 4,397,084 | 3.2 | % | ||||||||
CIT Group, Inc. | 53,374 | 1,703,164 | 1.2 | % | ||||||||
Citigroup, Inc. | 106,112 | 4,498,088 | 3.2 | % | ||||||||
Citizens Financial Group, Inc. | 85,711 | 1,712,506 | 1.2 | % | ||||||||
CNO Financial Group, Inc. | 251,450 | 4,390,317 | 3.2 | % | ||||||||
Danske Bank A/S | 97,491 | 2,566,000 | 1.8 | % | ||||||||
Discover Financial Services | 73,252 | 3,925,575 | 2.8 | % | ||||||||
East West Bancorp, Inc. | 33,432 | 1,142,706 | 0.8 | % | ||||||||
Fifth Street Finance Corp. | 349,111 | 1,693,188 | 1.2 | % | ||||||||
Glacier Bancorp, Inc. | 99,765 | 2,651,754 | 1.9 | % | ||||||||
Great Western Bancorp, Inc. | 47,443 | 1,496,352 | 1.1 | % | ||||||||
Intermediate Capital Group PLC | 154,171 | 1,010,108 | 0.7 | % | ||||||||
Invesco, Ltd. | 110,074 | 2,811,290 | 2.0 | % | ||||||||
JPMorgan Chase & Co. | 75,097 | 4,666,528 | 3.4 | % | ||||||||
KeyCorp | 205,014 | 2,265,405 | 1.6 | % | ||||||||
KKR & Company LP | 179,409 | 2,213,907 | 1.6 | % | ||||||||
M&T Bank Corp. | 20,019 | 2,366,846 | 1.7 | % | ||||||||
Prologis, Inc. | 36,287 | 1,779,514 | 1.3 | % | ||||||||
Regions Financial Corp. | 282,039 | 2,400,152 | 1.7 | % | ||||||||
Sandy Spring Bancorp, Inc. | 32,922 | 956,713 | 0.7 | % | ||||||||
Schroders PLC | 71,580 | 2,261,973 | 1.6 | % | ||||||||
Simon Property Group, Inc. | 7,635 | 1,656,032 | 1.2 | % | ||||||||
SunTrust Banks, Inc. | 84,731 | 3,480,749 | 2.5 | % | ||||||||
SVB Financial Group (I) | 39,827 | 3,789,937 | 2.7 | % | ||||||||
Talmer Bancorp, Inc., Class A | 70,013 | 1,342,149 | 1.0 | % |
The accompanying notes are an integral part of the financial statements. | 23 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Financial Industries Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Financials (continued) | ||||||||||||
The Blackstone Group LP | 171,048 | $ | 4,197,518 | 3.0 | % | |||||||
The Hartford Financial | ||||||||||||
Services Group, Inc. | 60,339 | 2,677,845 | 1.9 | % | ||||||||
TriCo Bancshares | 36,275 | 1,001,190 | 0.7 | % | ||||||||
U.S. Bancorp | 113,790 | 4,589,151 | 3.3 | % | ||||||||
Union Bankshares Corp. | 72,045 | 1,780,232 | 1.3 | % | ||||||||
Vornado Realty Trust | 15,916 | 1,593,510 | 1.2 | % | ||||||||
Wells Fargo & Company | 78,962 | 3,737,271 | 2.7 | % | ||||||||
Yadkin Financial Corp. | 50,228 | 1,260,221 | 0.9 | % | ||||||||
Zions Bancorporation | 105,150 | 2,642,420 | 1.9 | % | ||||||||
OTHER SECURITIES | 11,985,834 | 8.6 | % | |||||||||
125,232,108 | ||||||||||||
Information technology - 3.0% | ||||||||||||
Visa, Inc., Class A | 57,073 | 4,233,104 | 3.0 | % | ||||||||
TOTAL COMMON STOCKS (Cost $138,016,984) | $ | 129,465,212 | ||||||||||
PREFERRED SECURITIES - 1.1% | ||||||||||||
Financials - 1.1% | ||||||||||||
Flagstar Bancorp, Inc., | ||||||||||||
Series C, 9.000% (I) | 778 | 1,035,126 | ||||||||||
OTHER SECURITIES | 420,326 | 0.3 | % | |||||||||
1,455,452 | ||||||||||||
TOTAL PREFERRED SECURITIES (Cost $1,471,327) | $ | 1,455,452 | ||||||||||
CORPORATE BONDS - 1.9% | ||||||||||||
Financials - 1.9% | ||||||||||||
Flagstar Bancorp, Inc. | ||||||||||||
6.125%, 07/15/2021 | $ | 750,000 | $ | 749,993 | 0.5 | % | ||||||
NewStar Financial, Inc. | ||||||||||||
7.250%, 05/01/2020 | 1,160,000 | 1,078,800 | 0.8 | % | ||||||||
OTHER SECURITIES | 833,000 | 0.6 | % | |||||||||
2,661,793 | ||||||||||||
TOTAL CORPORATE BONDS (Cost $2,739,432) | $ | 2,661,793 | ||||||||||
Warrants 0.4% | 487,566 | 0.4 | % | |||||||||
TOTAL WARRANTS (Cost $763,552) | $ | 487,566 | ||||||||||
SHORT-TERM INVESTMENTS - 4.1% | ||||||||||||
U.S. Government Agency - 4.1% | ||||||||||||
Federal Home Loan Bank Discount | ||||||||||||
Note | ||||||||||||
0.100%, 07/01/2016* | $ | 5,763,000 | $ | 5,763,000 | 4.1 | % | ||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $5,763,000) | $ | 5,763,000 | ||||||||||
Total Investments (Financial Industries Trust) | ||||||||||||
(Cost $148,754,295) - 100.5% | $ | 139,833,023 | 100.5 | % | ||||||||
Other assets and liabilities, net - (0.5%) | (647,433 | ) | (0.5 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 139,185,590 | 100.0 | % |
Franklin Templeton Founding Allocation Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
AFFILIATED INVESTMENT | ||||||||||||
COMPANIES (G) - 100.0% | ||||||||||||
Equity - 66.4% | ||||||||||||
Global, Series NAV (Templeton) | 18,955,127 | $ | 332,093,827 | 32.5 | % | |||||||
Mutual Shares, | ||||||||||||
Series NAV (Franklin) | 28,155,375 | 345,748,008 | 33.9 | % | ||||||||
677,841,835 | ||||||||||||
Fixed income - 33.6% | ||||||||||||
Income, Series NAV (Franklin) | 30,326,773 | 343,602,334 | 33.6 | % | ||||||||
TOTAL AFFILIATED INVESTMENT | ||||||||||||
COMPANIES (Cost $862,599,753) | $ | 1,021,444,169 | ||||||||||
Total Investments (Franklin Templeton Founding | ||||||||||||
Allocation Trust) (Cost $862,599,753) - 100.0% | $ | 1,021,444,169 | 100.0 | % | ||||||||
Other assets and liabilities, net - 0.0% | (184,448 | ) | 0.0 | % | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,021,259,721 | 100.0 | % |
Fundamental All Cap Core Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 96.2% | ||||||||||||
Consumer discretionary - 24.1% | ||||||||||||
Amazon.com, Inc. (I) | 157,202 | $ | 112,496,895 | 7.6 | % | |||||||
CarMax, Inc. (I) | 746,816 | 36,616,388 | 2.5 | % | ||||||||
Group 1 Automotive, Inc. | 336,672 | 16,618,130 | 1.1 | % | ||||||||
Lennar Corp., Class A | 1,134,745 | 52,311,745 | 3.5 | % | ||||||||
Lowe’s Companies, Inc. | 399,051 | 31,592,868 | 2.1 | % | ||||||||
NVR, Inc. (I) | 21,517 | 38,307,576 | 2.6 | % | ||||||||
Ralph Lauren Corp. | 163,388 | 14,642,833 | 1.0 | % | ||||||||
Tempur Sealy International, Inc. (I) | 717,880 | 39,713,122 | 2.7 | % | ||||||||
Time Warner, Inc. | 205,421 | 15,106,660 | 1.0 | % | ||||||||
357,406,217 | ||||||||||||
Consumer staples - 7.8% | ||||||||||||
Danone SA | 503,537 | 35,238,842 | 2.4 | % | ||||||||
Diageo PLC, ADR | 103,252 | 11,655,086 | 0.8 | % | ||||||||
Mead Johnson Nutrition Company | 273,078 | 24,781,829 | 1.6 | % | ||||||||
The Procter & Gamble Company | 523,124 | 44,292,909 | 3.0 | % | ||||||||
115,968,666 | ||||||||||||
Energy - 4.0% | ||||||||||||
Kinder Morgan, Inc. | 1,712,672 | 32,061,220 | 2.2 | % | ||||||||
Schlumberger, Ltd. | 337,276 | 26,671,786 | 1.8 | % | ||||||||
58,733,006 | ||||||||||||
Financials - 26.9% | ||||||||||||
Affiliated Managers Group, Inc. (I) | 253,176 | 35,639,586 | 2.4 | % | ||||||||
AllianceBernstein Holding LP | 2,683,167 | 62,517,791 | 4.2 | % | ||||||||
American Express Company | 224,650 | 13,649,734 | 0.9 | % | ||||||||
American International Group, Inc. | 187,276 | 9,905,028 | 0.7 | % | ||||||||
American Tower Corp. | 238,906 | 27,142,111 | 1.8 | % | ||||||||
Bank of America Corp. | 4,601,643 | 61,063,803 | 4.1 | % | ||||||||
BlackRock, Inc. | 83,797 | 28,702,986 | 2.0 | % | ||||||||
CIT Group, Inc. | 363,033 | 11,584,383 | 0.8 | % | ||||||||
Citigroup, Inc. | 1,651,631 | 70,012,638 | 4.7 | % | ||||||||
Morgan Stanley | 1,218,667 | 31,660,969 | 2.1 | % | ||||||||
T. Rowe Price Group, Inc. | 355,994 | 25,976,882 | 1.8 | % | ||||||||
The Goldman Sachs Group, Inc. | 136,289 | 20,249,820 | 1.4 | % | ||||||||
398,105,731 |
The accompanying notes are an integral part of the financial statements. | 24 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Fundamental All Cap Core Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Health care - 5.5% | ||||||||||||
Amgen, Inc. | 284,236 | $ | 43,246,507 | 3.0 | % | |||||||
Novartis AG, ADR | 451,064 | 37,217,291 | 2.5 | % | ||||||||
80,463,798 | ||||||||||||
Industrials - 8.7% | ||||||||||||
IHS, Inc., Class A (I) | 193,164 | 22,331,690 | 1.5 | % | ||||||||
Manitowoc Foodservice, Inc. (I) | 578,483 | 10,192,870 | 0.7 | % | ||||||||
Regal Beloit Corp. | 240,633 | 13,246,847 | 0.9 | % | ||||||||
Sensata | ||||||||||||
Technologies Holding NV (I) | 433,451 | 15,123,105 | 1.0 | % | ||||||||
The Manitowoc Company, Inc. | 578,483 | 3,152,732 | 0.2 | % | ||||||||
TransDigm Group, Inc. (I) | 107,609 | 28,375,417 | 1.9 | % | ||||||||
United Rentals, Inc. (I) | 173,516 | 11,642,924 | 0.8 | % | ||||||||
WESCO International, Inc. (I) | 485,107 | 24,978,159 | 1.7 | % | ||||||||
129,043,744 | ||||||||||||
Information technology - 16.9% | ||||||||||||
Alphabet, Inc., Class A (I) | 78,713 | 55,376,957 | 3.7 | % | ||||||||
Apple, Inc. | 827,223 | 79,082,519 | 5.3 | % | ||||||||
Facebook, Inc., Class A (I) | 638,829 | 73,005,378 | 4.9 | % | ||||||||
LinkedIn Corp., Class A (I) | 7,753 | 1,467,255 | 0.1 | % | ||||||||
QUALCOMM, Inc. | 376,652 | 20,177,246 | 1.4 | % | ||||||||
Workday, Inc., Class A (I) | 290,087 | 21,660,796 | 1.5 | % | ||||||||
250,770,151 | ||||||||||||
Materials - 2.3% | ||||||||||||
Louisiana-Pacific Corp. (I) | 1,986,618 | 34,467,822 | 2.3 | % | ||||||||
TOTAL COMMON STOCKS (Cost $1,263,766,762) | $ | 1,424,959,135 | ||||||||||
SHORT-TERM INVESTMENTS - 3.5% | ||||||||||||
U.S. Government Agency - 1.7% | ||||||||||||
Federal Home Loan Bank Discount | ||||||||||||
Note | ||||||||||||
0.079%, 07/01/2016* | $ | 25,232,000 | $ | 25,232,000 | 1.7 | % | ||||||
Repurchase agreement - 1.8% | ||||||||||||
Barclays Tri-Party Repurchase | ||||||||||||
Agreement dated 06/30/2016 at | ||||||||||||
0.400% to be repurchased at | ||||||||||||
$23,340,259 on 07/01/2016, | ||||||||||||
collateralized by $23,227,500 | ||||||||||||
U.S. Treasury Notes, 1.375% - | ||||||||||||
1.750% due 10/31/2020 - | ||||||||||||
04/30/2022 (valued at | ||||||||||||
$23,807,133, including interest) | 23,340,000 | 23,340,000 | 1.6 | % | ||||||||
Repurchase Agreement with State | ||||||||||||
Street Corp. dated 06/30/2016 at | ||||||||||||
0.030% to be repurchased at | ||||||||||||
$3,716,003 on 07/01/2016, | ||||||||||||
collateralized by $3,640,000 | ||||||||||||
U.S. Treasury Inflation Indexed | ||||||||||||
Notes, 0.125% due 04/15/2019 | ||||||||||||
(valued at $3,794,700, | ||||||||||||
including interest) | 3,716,000 | 3,716,000 | 0.2 | % | ||||||||
27,056,000 | ||||||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $52,288,000) | $ | 52,288,000 | ||||||||||
Total Investments (Fundamental All Cap Core | ||||||||||||
Trust) (Cost $1,316,054,762) - 99.7% | $ | 1,477,247,135 | 99.7 | % | ||||||||
Other assets and liabilities, net - 0.3% | 4,022,762 | 0.3 | % | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,481,269,897 | 100.0 | % |
Fundamental Large Cap Value Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 97.1% | ||||||||||||
Consumer discretionary - 13.3% | ||||||||||||
Lennar Corp., Class A | 1,109,739 | $ | 51,158,968 | 3.5 | % | |||||||
Lowe’s Companies, Inc. | 573,474 | 45,401,937 | 3.1 | % | ||||||||
NVR, Inc. (I) | 21,821 | 38,848,799 | 2.7 | % | ||||||||
Ralph Lauren Corp. | 224,528 | 20,122,199 | 1.4 | % | ||||||||
Tempur Sealy International, Inc. (I) | 690,482 | 38,197,464 | 2.6 | % | ||||||||
193,729,367 | ||||||||||||
Consumer staples - 9.7% | ||||||||||||
Danone SA | 245,954 | 17,212,507 | 1.2 | % | ||||||||
Diageo PLC, ADR | 178,432 | 20,141,404 | 1.4 | % | ||||||||
Heineken Holding NV | 359,783 | 29,150,209 | 2.0 | % | ||||||||
Imperial Brands PLC | 27,063 | 1,467,700 | 0.1 | % | ||||||||
PepsiCo, Inc. | 294,031 | 31,149,644 | 2.1 | % | ||||||||
Philip Morris International, Inc. | 195,349 | 19,870,900 | 1.4 | % | ||||||||
The Procter & Gamble Company | 256,131 | 21,686,612 | 1.5 | % | ||||||||
140,678,976 | ||||||||||||
Energy - 10.9% | ||||||||||||
Chevron Corp. | 233,724 | 24,501,287 | 1.7 | % | ||||||||
Exxon Mobil Corp. | 657,455 | 61,629,829 | 4.2 | % | ||||||||
Kinder Morgan, Inc. | 1,000,966 | 18,738,084 | 1.3 | % | ||||||||
Occidental Petroleum Corp. | 504,000 | 38,082,240 | 2.6 | % | ||||||||
Suncor Energy, Inc. | 564,575 | 15,655,665 | 1.1 | % | ||||||||
158,607,105 | ||||||||||||
Financials - 29.9% | ||||||||||||
AllianceBernstein Holding LP | 1,552,299 | 36,168,567 | 2.5 | % | ||||||||
American International Group, Inc. | 1,016,359 | 53,755,228 | 3.7 | % | ||||||||
Bank of America Corp. | 4,557,559 | 60,478,808 | 4.2 | % | ||||||||
CIT Group, Inc. | 755,447 | 24,106,314 | 1.7 | % | ||||||||
Citigroup, Inc. | 1,508,415 | 63,941,712 | 4.4 | % | ||||||||
JPMorgan Chase & Co. | 1,224,938 | 76,117,647 | 5.2 | % | ||||||||
Morgan Stanley | 1,259,108 | 32,711,626 | 2.2 | % | ||||||||
State Street Corp. | 326,273 | 17,592,640 | 1.2 | % | ||||||||
The Goldman Sachs Group, Inc. | 319,683 | 47,498,500 | 3.3 | % | ||||||||
Wells Fargo & Company | 462,555 | 21,892,728 | 1.5 | % | ||||||||
434,263,770 | ||||||||||||
Health care - 7.2% | ||||||||||||
Amgen, Inc. | 132,843 | 20,212,062 | 1.4 | % | ||||||||
Medtronic PLC | 399,081 | 34,628,258 | 2.4 | % | ||||||||
Merck & Company, Inc. | 461,711 | 26,599,171 | 1.8 | % | ||||||||
Novartis AG, ADR | 272,060 | 22,447,671 | 1.6 | % | ||||||||
103,887,162 | ||||||||||||
Industrials - 9.6% | ||||||||||||
FedEx Corp. | 140,520 | 21,328,126 | 1.5 | % | ||||||||
General Electric Company | 1,858,692 | 58,511,624 | 4.0 | % | ||||||||
Sensata | ||||||||||||
Technologies Holding NV (I) | 446,219 | 15,568,581 | 1.1 | % | ||||||||
Union Pacific Corp. | 317,256 | 27,680,586 | 1.9 | % | ||||||||
United Rentals, Inc. (I) | 248,096 | 16,647,242 | 1.1 | % | ||||||||
139,736,159 | ||||||||||||
Information technology - 13.6% | ||||||||||||
Apple, Inc. | 488,923 | 46,741,039 | 3.2 | % | ||||||||
Cisco Systems, Inc. | 1,032,198 | 29,613,761 | 2.0 | % | ||||||||
eBay, Inc. (I) | 1,205,757 | 28,226,771 | 1.9 | % | ||||||||
Microsoft Corp. | 584,618 | 29,914,903 | 2.1 | % | ||||||||
Oracle Corp. | 366,177 | 14,987,625 | 1.0 | % | ||||||||
QUALCOMM, Inc. | 460,885 | 24,689,609 | 1.7 | % | ||||||||
Samsung Electronics Company, Ltd. | 19,180 | 23,885,835 | 1.7 | % | ||||||||
198,059,543 |
The accompanying notes are an integral part of the financial statements. | 25 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Fundamental Large Cap Value Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Materials - 2.9% | ||||||||||||
Louisiana-Pacific Corp. (I) | 2,418,616 | $ | 41,962,988 | 2.9 | % | |||||||
TOTAL COMMON STOCKS (Cost $1,376,605,250) | $ | 1,410,925,070 | ||||||||||
SHORT-TERM INVESTMENTS - 2.4% | ||||||||||||
U.S. Government Agency - 1.2% | ||||||||||||
Federal Home Loan Bank Discount | ||||||||||||
Note | ||||||||||||
0.079%, 07/01/2016* | $ | 17,096,000 | $ | 17,096,000 | 1.2 | % | ||||||
Repurchase agreement - 1.2% | ||||||||||||
Barclays Tri-Party Repurchase | ||||||||||||
Agreement dated 06/30/2016 at | ||||||||||||
0.400% to be repurchased at | ||||||||||||
$15,814,176 on 07/01/2016, | ||||||||||||
collateralized by $15,817,600 | ||||||||||||
U.S. Treasury Note, 1.375% due | ||||||||||||
10/31/2020 (valued at | ||||||||||||
$16,130,460, including interest) | 15,814,000 | 15,814,000 | 1.1 | % | ||||||||
Repurchase Agreement with State | ||||||||||||
Street Corp. dated 06/30/2016 at | ||||||||||||
0.030% to be repurchased at | ||||||||||||
$2,518,002 on 07/01/2016, | ||||||||||||
collateralized by $2,465,000 | ||||||||||||
U.S. Treasury Inflation Indexed | ||||||||||||
Note, 0.1250% due 04/15/2019 | ||||||||||||
(valued at $2,569,763, | ||||||||||||
including interest) | 2,518,000 | 2,518,000 | 0.1 | % | ||||||||
18,332,000 | ||||||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $35,428,000) | $ | 35,428,000 | ||||||||||
Total Investments (Fundamental Large Cap Value | ||||||||||||
Trust) (Cost $1,412,033,250) - 99.5% | $ | 1,446,353,070 | 99.5 | % | ||||||||
Other assets and liabilities, net - 0.5% | 6,951,273 | 0.5 | % | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,453,304,343 | 100.0 | % |
Global Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 98.4% | ||||||||||||
Brazil - 0.6% | $ | 3,094,232 | 0.6 | % | ||||||||
China - 1.5% | 8,121,307 | 1.5 | % | |||||||||
Denmark - 0.4% | 1,999,987 | 0.4 | % | |||||||||
France - 7.4% | ||||||||||||
BNP Paribas SA | 169,028 | 7,412,844 | 1.3 | % | ||||||||
Cie Generale des | ||||||||||||
Etablissements Michelin | 63,557 | 5,989,677 | 1.1 | % | ||||||||
Credit Agricole SA | 703,958 | 5,918,154 | 1.1 | % | ||||||||
Sanofi | 90,604 | 7,527,660 | 1.4 | % | ||||||||
TOTAL SA | 184,746 | 8,859,722 | 1.6 | % | ||||||||
OTHER SECURITIES | 4,893,121 | 0.9 | % | |||||||||
40,601,178 | ||||||||||||
Germany - 5.4% | ||||||||||||
Deutsche Lufthansa AG | 766,636 | 9,013,776 | 1.6 | % | ||||||||
Merck KGaA | 67,262 | 6,836,742 | 1.3 | % | ||||||||
METRO AG | 192,410 | 5,917,809 | 1.1 | % |
Global Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Germany (continued) | ||||||||||||
Siemens AG | 76,629 | $ | 7,863,794 | 1.4 | % | |||||||
29,632,121 | ||||||||||||
Hong Kong - 1.5% | ||||||||||||
Kunlun Energy Company, Ltd. | 6,808,940 | 5,666,281 | 1.0 | % | ||||||||
OTHER SECURITIES | 2,593,921 | 0.5 | % | |||||||||
8,260,202 | ||||||||||||
India - 0.7% | 4,075,877 | 0.7 | % | |||||||||
Ireland - 2.2% | ||||||||||||
CRH PLC (I) | 250,127 | 7,288,821 | 1.3 | % | ||||||||
OTHER SECURITIES | 4,779,292 | 0.9 | % | |||||||||
12,068,113 | ||||||||||||
Israel - 2.3% | ||||||||||||
Teva Pharmaceutical | ||||||||||||
Industries, Ltd., ADR | 253,490 | 12,732,803 | 2.3 | % | ||||||||
Italy - 1.9% | ||||||||||||
Eni SpA | 361,942 | 5,829,887 | 1.1 | % | ||||||||
OTHER SECURITIES | 4,385,994 | 0.8 | % | |||||||||
10,215,881 | ||||||||||||
Japan - 4.0% | ||||||||||||
Nissan Motor Company, Ltd. | 648,750 | 5,789,652 | 1.1 | % | ||||||||
SoftBank Group Corp. | 138,100 | 7,809,842 | 1.4 | % | ||||||||
OTHER SECURITIES | 8,113,043 | 1.5 | % | |||||||||
21,712,537 | ||||||||||||
Netherlands - 6.3% | ||||||||||||
ING Groep NV | 613,176 | 6,343,893 | 1.2 | % | ||||||||
Royal Dutch Shell PLC, A Shares | 9,239 | 253,752 | 0.0 | % | ||||||||
Royal Dutch Shell PLC, B Shares | 539,515 | 14,906,110 | 2.7 | % | ||||||||
OTHER SECURITIES | 13,152,235 | 2.4 | % | |||||||||
34,655,990 | ||||||||||||
Portugal - 1.2% | ||||||||||||
Galp Energia SGPS SA | 456,106 | 6,343,701 | 1.2 | % | ||||||||
Russia - 1.0% | 5,461,899 | 1.0 | % | |||||||||
Singapore - 2.1% | ||||||||||||
DBS Group Holdings, Ltd. | 507,510 | 5,984,011 | 1.1 | % | ||||||||
Singapore Telecommunications, Ltd. | 1,855,100 | 5,715,793 | 1.0 | % | ||||||||
11,699,804 | ||||||||||||
South Korea - 6.9% | ||||||||||||
Hyundai Motor Company | 70,890 | 8,385,683 | 1.5 | % | ||||||||
KB Financial Group, Inc., ADR | 237,588 | 6,761,754 | 1.2 | % | ||||||||
Samsung Electronics Company, Ltd. | 18,240 | 22,715,207 | 4.2 | % | ||||||||
37,862,644 | ||||||||||||
Spain - 1.2% | ||||||||||||
Telefonica SA | 694,834 | 6,596,653 | 1.2 | % | ||||||||
Sweden - 2.0% | ||||||||||||
Getinge AB, B Shares | 361,144 | 7,456,180 | 1.3 | % | ||||||||
OTHER SECURITIES | 3,749,195 | 0.7 | % | |||||||||
11,205,375 | ||||||||||||
Switzerland - 4.1% | ||||||||||||
Glencore PLC (I) | 3,555,290 | 7,327,919 | 1.3 | % | ||||||||
Roche Holding AG | 30,212 | 7,972,337 | 1.5 | % | ||||||||
OTHER SECURITIES | 7,491,131 | 1.3 | % | |||||||||
22,791,387 |
The accompanying notes are an integral part of the financial statements. | 26 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Global Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Thailand - 0.2% | $ | 1,334,112 | 0.2 | % | ||||||||
Turkey - 1.1% | ||||||||||||
Turkcell Iletisim Hizmetleri | ||||||||||||
AS, ADR (I)(L) | 642,220 | 5,876,313 | 1.1 | % | ||||||||
United Kingdom - 11.3% | ||||||||||||
BAE Systems PLC | 940,874 | 6,586,681 | 1.2 | % | ||||||||
BP PLC | 1,596,648 | 9,346,054 | 1.7 | % | ||||||||
HSBC Holdings PLC | 1,270,439 | 7,780,574 | 1.4 | % | ||||||||
Michael Kors Holdings, Ltd. (I) | 132,470 | 6,554,611 | 1.2 | % | ||||||||
Standard Chartered PLC | 1,175,024 | 8,914,924 | 1.6 | % | ||||||||
Tesco PLC (I) | 2,652,534 | 6,229,763 | 1.1 | % | ||||||||
OTHER SECURITIES | 16,821,618 | 3.1 | % | |||||||||
62,234,225 | ||||||||||||
United States - 33.1% | ||||||||||||
Allergan PLC (I) | 36,018 | 8,323,400 | 1.5 | % | ||||||||
Alphabet, Inc., Class A (I) | 10,120 | 7,119,724 | 1.3 | % | ||||||||
American International Group, Inc. | 138,550 | 7,327,910 | 1.3 | % | ||||||||
Amgen, Inc. | 77,850 | 11,844,878 | 2.2 | % | ||||||||
Apache Corp. | 119,940 | 6,677,060 | 1.2 | % | ||||||||
Capital One Financial Corp. | 119,100 | 7,564,041 | 1.4 | % | ||||||||
Cisco Systems, Inc. | 306,850 | 8,803,527 | 1.6 | % | ||||||||
Citigroup, Inc. | 309,860 | 13,134,965 | 2.4 | % | ||||||||
Comcast Corp., Class A | 133,180 | 8,682,004 | 1.6 | % | ||||||||
Eli Lilly & Company | 72,810 | 5,733,788 | 1.1 | % | ||||||||
Halliburton Company | 186,830 | 8,461,531 | 1.5 | % | ||||||||
JPMorgan Chase & Co. | 168,960 | 10,499,174 | 1.9 | % | ||||||||
Microsoft Corp. | 240,240 | 12,293,081 | 2.2 | % | ||||||||
Oracle Corp. (I) | 256,910 | 10,515,326 | 1.9 | % | ||||||||
SunTrust Banks, Inc. | 194,480 | 7,989,238 | 1.5 | % | ||||||||
Twenty-First Century | ||||||||||||
Fox, Inc., Class A | 249,780 | 6,756,549 | 1.2 | % | ||||||||
United Parcel Service, Inc., Class B | 76,130 | 8,200,724 | 1.5 | % | ||||||||
OTHER SECURITIES | 31,749,610 | 5.8 | % | |||||||||
181,676,530 | ||||||||||||
TOTAL COMMON STOCKS (Cost $583,999,545) | $ | 540,252,871 | ||||||||||
SECURITIES LENDING COLLATERAL - 2.0% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 1,063,752 | 10,645,077 | 2.0 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $10,645,163) | $ | 10,645,077 | ||||||||||
SHORT-TERM INVESTMENTS - 0.7% | ||||||||||||
U.S. Government Agency - 0.7% | $ | 4,000,000 | 0.7 | % | ||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $4,000,000) | $ | 4,000,000 | ||||||||||
Total Investments (Global Trust) | ||||||||||||
(Cost $598,644,708) - 101.1% | $ | 554,897,948 | 101.1 | % | ||||||||
Other Assets And Liabilities, Net - (1.1%) | (5,773,496 | ) | (1.1 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 549,124,452 | 100.0 | % |
Health Sciences Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 96.7% | ||||||||||||
Consumer discretionary - 0.2% | $ | 521,896 | 0.2 | % | ||||||||
Consumer staples - 2.4% | ||||||||||||
Rite Aid Corp. (I) | 226,287 | 1,694,890 | 0.6 | % | ||||||||
Walgreens Boots Alliance, Inc. | 56,421 | 4,698,177 | 1.6 | % | ||||||||
OTHER SECURITIES | 599,421 | 0.2 | % | |||||||||
6,992,488 | ||||||||||||
Health care - 93.2% | ||||||||||||
AbbVie, Inc. | 44,716 | 2,768,368 | 0.9 | % | ||||||||
Acadia Healthcare Company, Inc. (I) | 39,400 | 2,182,760 | 0.7 | % | ||||||||
ACADIA Pharmaceuticals, Inc. (I) | 64,500 | 2,093,670 | 0.7 | % | ||||||||
Aetna, Inc. | 101,700 | 12,420,621 | 4.2 | % | ||||||||
Agilent Technologies, Inc. | 110,000 | 4,879,600 | 1.6 | % | ||||||||
Alexion Pharmaceuticals, Inc. (I) | 58,620 | 6,844,471 | 2.3 | % | ||||||||
Alkermes PLC (I) | 58,700 | 2,537,014 | 0.9 | % | ||||||||
Allergan PLC (I) | 51,140 | 11,817,943 | 4.0 | % | ||||||||
Anthem, Inc. | 44,800 | 5,884,032 | 2.0 | % | ||||||||
Astellas Pharma, Inc. | 108,600 | 1,703,102 | 0.6 | % | ||||||||
athenahealth, Inc. (I) | 17,867 | 2,465,825 | 0.8 | % | ||||||||
Becton, Dickinson and Company | 63,000 | 10,684,170 | 3.6 | % | ||||||||
Biogen, Inc. (I) | 17,319 | 4,188,081 | 1.4 | % | ||||||||
Bristol-Myers Squibb Company | 143,100 | 10,525,005 | 3.6 | % | ||||||||
Celgene Corp. (I) | 28,832 | 2,843,700 | 1.0 | % | ||||||||
Centene Corp. (I) | 69,200 | 4,938,804 | 1.7 | % | ||||||||
Cigna Corp. | 69,600 | 8,908,104 | 3.0 | % | ||||||||
Danaher Corp. | 20,100 | 2,030,100 | 0.7 | % | ||||||||
DaVita HealthCare Partners, Inc. (I) | 67,600 | 5,226,832 | 1.8 | % | ||||||||
Eli Lilly & Company | 90,300 | 7,111,125 | 2.4 | % | ||||||||
Gilead Sciences, Inc. | 102,992 | 8,591,593 | 2.9 | % | ||||||||
HCA Holdings, Inc. (I) | 84,500 | 6,507,345 | 2.2 | % | ||||||||
Henry Schein, Inc. (I) | 14,400 | 2,545,920 | 0.9 | % | ||||||||
Hologic, Inc. (I) | 49,300 | 1,705,780 | 0.6 | % | ||||||||
Humana, Inc. | 70,400 | 12,663,552 | 4.3 | % | ||||||||
Incyte Corp. (I) | 64,400 | 5,150,712 | 1.7 | % | ||||||||
Intuitive Surgical, Inc. (I) | 9,900 | 6,547,959 | 2.2 | % | ||||||||
Mallinckrodt PLC (I) | 98,096 | 5,962,275 | 2.0 | % | ||||||||
McKesson Corp. | 44,800 | 8,361,920 | 2.8 | % | ||||||||
Medtronic PLC | 27,393 | 2,376,891 | 0.8 | % | ||||||||
Merck & Company, Inc. | 36,700 | 2,114,287 | 0.7 | % | ||||||||
Neurocrine Biosciences, Inc. (I) | 105,900 | 4,813,155 | 1.6 | % | ||||||||
Novavax, Inc. (I) | 238,600 | 1,734,622 | 0.6 | % | ||||||||
Regeneron Pharmaceuticals, Inc. (I) | 13,200 | 4,609,836 | 1.6 | % | ||||||||
Shire PLC, ADR | 19,980 | 3,677,918 | 1.2 | % | ||||||||
Stryker Corp. | 41,500 | 4,972,945 | 1.7 | % | ||||||||
TESARO, Inc. (I) | 48,878 | 4,108,196 | 1.4 | % | ||||||||
Teva Pharmaceutical | ||||||||||||
Industries, Ltd., ADR | 60,100 | 3,018,823 | 1.0 | % | ||||||||
The Cooper Companies, Inc. | 12,035 | 2,064,845 | 0.7 | % | ||||||||
TherapeuticsMD, Inc. (I) | 220,800 | 1,876,800 | 0.6 | % | ||||||||
Thermo Fisher Scientific, Inc. | 54,100 | 7,993,816 | 2.7 | % | ||||||||
UnitedHealth Group, Inc. | 91,300 | 12,891,560 | 4.4 | % | ||||||||
Universal Health | ||||||||||||
Services, Inc., Class B | 31,150 | 4,177,215 | 1.4 | % | ||||||||
Vertex Pharmaceuticals, Inc. (I) | 61,308 | 5,273,714 | 1.8 | % | ||||||||
WellCare Health Plans, Inc. (I) | 16,100 | 1,727,208 | 0.6 | % | ||||||||
West Pharmaceutical Services, Inc. | 22,200 | 1,684,536 | 0.6 | % | ||||||||
OTHER SECURITIES | 36,271,998 | 12.3 | % | |||||||||
275,478,748 | ||||||||||||
Industrials - 0.3% | 725,495 | 0.3 | % | |||||||||
Information technology - 0.6% | ||||||||||||
FEI Company | 17,796 | 1,902,036 | 0.6 | % | ||||||||
TOTAL COMMON STOCKS (Cost $245,294,636) | $ | 285,620,663 |
The accompanying notes are an integral part of the financial statements. | 27 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Health Sciences Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
PREFERRED SECURITIES - 0.5% | ||||||||||||
Consumer discretionary - 0.1% | $ | 368,498 | 0.1 | % | ||||||||
Health care - 0.4% | ||||||||||||
Allergan PLC, 5.500% | 1,111 | 926,152 | 0.3 | % | ||||||||
OTHER SECURITIES | 139,906 | 0.1 | % | |||||||||
1,066,058 | ||||||||||||
Information technology - 0.0% | 129,605 | 0.0 | % | |||||||||
TOTAL PREFERRED SECURITIES (Cost $1,674,655) | $ | 1,564,161 | ||||||||||
CONVERTIBLE BONDS - 0.1% | ||||||||||||
Health care - 0.1% | $ | 385,165 | 0.1 | % | ||||||||
TOTAL CONVERTIBLE BONDS (Cost $376,000) | $ | 385,165 | ||||||||||
Rights 0.0% | 4,375 | 0.0 | % | |||||||||
TOTAL RIGHTS (Cost $8,750) | $ | 4,375 | ||||||||||
Warrants 0.0% | 1 | 0.0 | % | |||||||||
TOTAL WARRANTS (Cost $1,766) | $ | 1 | ||||||||||
SHORT-TERM INVESTMENTS - 2.2% | ||||||||||||
Money market funds - 2.2% | ||||||||||||
T. Rowe Price Prime Reserve | ||||||||||||
Fund, 0.3204% (Y) | 5,873,947 | $ | 5,873,947 | 2.0 | % | |||||||
OTHER SECURITIES | 631,384 | 0.2 | % | |||||||||
6,505,331 | ||||||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $6,505,331) | $ | 6,505,331 | ||||||||||
Total Investments (Health Sciences Trust) | ||||||||||||
(Cost $253,861,138) - 99.5% | $ | 294,079,696 | 99.5 | % | ||||||||
Other assets and liabilities, net - 0.5% | 1,481,666 | 0.5 | % | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 295,561,362 | 100.0 | % |
International Core Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 96.3% | ||||||||||||
Australia - 4.6% | ||||||||||||
Scentre Group | 1,860,755 | $ | 6,892,171 | 1.2 | % | |||||||
Telstra Corp., Ltd. | 1,304,768 | 5,453,591 | 1.0 | % | ||||||||
OTHER SECURITIES | 13,315,369 | 2.4 | % | |||||||||
25,661,131 | ||||||||||||
Austria - 0.6% | 3,515,324 | 0.6 | % | |||||||||
Belgium - 1.0% | ||||||||||||
Delhaize Group | 31,538 | 3,331,510 | 0.6 | % | ||||||||
OTHER SECURITIES | 2,391,510 | 0.4 | % | |||||||||
5,723,020 | ||||||||||||
Canada - 3.5% | ||||||||||||
Metro, Inc. | 133,600 | 4,654,465 | 0.8 | % | ||||||||
OTHER SECURITIES | 14,921,707 | 2.7 | % | |||||||||
19,576,172 | ||||||||||||
China - 0.2% | 1,059,047 | 0.2 | % | |||||||||
Denmark - 0.6% | 3,172,079 | 0.6 | % | |||||||||
Faroe Islands - 0.1% | 686,899 | 0.1 | % | |||||||||
Finland - 1.1% | 6,177,535 | 1.1 | % |
International Core Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
France - 10.4% | ||||||||||||
AXA SA | 539,533 | $ | 10,668,024 | 1.9 | % | |||||||
BNP Paribas SA | 81,346 | 3,567,487 | 0.7 | % | ||||||||
Christian Dior SE | 19,707 | 3,156,913 | 0.6 | % | ||||||||
Cie Generale des | ||||||||||||
Etablissements Michelin | 37,135 | 3,499,640 | 0.6 | % | ||||||||
TOTAL SA (L) | 449,482 | 21,555,463 | 3.9 | % | ||||||||
Vivendi SA | 220,129 | 4,118,350 | 0.7 | % | ||||||||
OTHER SECURITIES | 11,510,684 | 2.0 | % | |||||||||
58,076,561 | ||||||||||||
Germany - 10.2% | ||||||||||||
Allianz SE | 54,419 | 7,763,310 | 1.4 | % | ||||||||
BASF SE | 162,561 | 12,465,027 | 2.2 | % | ||||||||
Bayerische Motoren Werke AG | 67,516 | 4,913,506 | 0.9 | % | ||||||||
Daimler AG | 220,748 | 13,209,251 | 2.4 | % | ||||||||
Deutsche Telekom AG (L) | 246,647 | 4,205,910 | 0.8 | % | ||||||||
Muenchener Rueckversicherungs- | ||||||||||||
Gesellschaft AG | 17,266 | 2,895,435 | 0.5 | % | ||||||||
OTHER SECURITIES | 11,695,961 | 2.0 | % | |||||||||
57,148,400 | ||||||||||||
Hong Kong - 3.8% | ||||||||||||
Link REIT | 407,500 | 2,786,569 | 0.5 | % | ||||||||
OTHER SECURITIES | �� | 18,278,343 | 3.3 | % | ||||||||
21,064,912 | ||||||||||||
Ireland - 0.1% | 709,755 | 0.1 | % | |||||||||
Isle of Man - 0.1% | 247,877 | 0.1 | % | |||||||||
Israel - 1.4% | 7,748,987 | 1.4 | % | |||||||||
Italy - 2.8% | ||||||||||||
Enel SpA | 808,376 | 3,588,759 | 0.7 | % | ||||||||
Eni SpA | 285,399 | 4,596,991 | 0.8 | % | ||||||||
OTHER SECURITIES | 7,648,602 | 1.3 | % | |||||||||
15,834,352 | ||||||||||||
Japan - 26.1% | ||||||||||||
Canon, Inc. | 118,300 | 3,377,490 | 0.6 | % | ||||||||
Central Japan Railway Company | 16,700 | 2,970,322 | 0.5 | % | ||||||||
FUJIFILM Holdings Corp. | 130,400 | 5,059,575 | 0.9 | % | ||||||||
ITOCHU Corp. | 701,200 | 8,577,929 | 1.5 | % | ||||||||
Japan Airlines Company, Ltd. | 118,900 | 3,825,324 | 0.7 | % | ||||||||
KDDI Corp. | 532,470 | 16,192,273 | 2.9 | % | ||||||||
Mitsubishi UFJ | ||||||||||||
Financial Group, Inc. | 1,729,900 | 7,754,888 | 1.4 | % | ||||||||
Mitsui & Company, Ltd. | 337,300 | 4,026,410 | 0.7 | % | ||||||||
Nippon Telegraph | ||||||||||||
& Telephone Corp. | 296,000 | 13,880,895 | 2.5 | % | ||||||||
NTT DOCOMO, Inc. | 184,200 | 4,967,607 | 0.9 | % | ||||||||
Otsuka Holdings Company, Ltd. | 99,700 | 4,594,463 | 0.8 | % | ||||||||
Sojitz Corp. | 1,189,800 | 2,819,270 | 0.5 | % | ||||||||
Sumitomo Mitsui | ||||||||||||
Financial Group, Inc. | 371,400 | 10,724,197 | 1.9 | % | ||||||||
OTHER SECURITIES | 57,130,950 | 10.3 | % | |||||||||
145,901,593 | ||||||||||||
Luxembourg - 0.0% | 210,217 | 0.0 | % | |||||||||
Malta - 0.0% | 127,429 | 0.0 | % | |||||||||
Netherlands - 2.9% | ||||||||||||
ING Groep NV | 274,818 | 2,843,255 | 0.5 | % | ||||||||
Koninklijke Ahold NV | 186,743 | 4,123,784 | 0.8 | % | ||||||||
Wolters Kluwer NV | 73,491 | 2,975,753 | 0.5 | % | ||||||||
OTHER SECURITIES | 6,100,841 | 1.1 | % | |||||||||
16,043,633 |
The accompanying notes are an integral part of the financial statements. | 28 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
International Core Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
New Zealand - 0.2% | $ | 1,077,318 | 0.2 | % | ||||||||
Norway - 1.6% | 8,747,623 | 1.6 | % | |||||||||
Portugal - 0.1% | 740,962 | 0.1 | % | |||||||||
Singapore - 0.3% | 1,377,260 | 0.3 | % | |||||||||
Spain - 2.5% | ||||||||||||
Endesa SA | 284,454 | 5,707,734 | 1.0 | % | ||||||||
Iberdrola SA | 642,112 | 4,380,229 | 0.8 | % | ||||||||
OTHER SECURITIES | 3,942,871 | 0.7 | % | |||||||||
14,030,834 | ||||||||||||
Sweden - 1.8% | ||||||||||||
Telefonaktiebolaget LM Ericsson, | ||||||||||||
B Shares | 400,082 | 3,073,652 | 0.5 | % | ||||||||
OTHER SECURITIES | 7,222,078 | 1.3 | % | |||||||||
10,295,730 | ||||||||||||
Switzerland - 5.0% | ||||||||||||
Swiss Re AG | 153,488 | 13,405,706 | 2.4 | % | ||||||||
OTHER SECURITIES | 14,776,955 | 2.6 | % | |||||||||
28,182,661 | ||||||||||||
United Kingdom - 15.3% | ||||||||||||
AstraZeneca PLC | 269,085 | 16,086,928 | 2.9 | % | ||||||||
BP PLC | 1,588,997 | 9,301,268 | 1.7 | % | ||||||||
British American Tobacco PLC | 118,496 | 7,682,021 | 1.4 | % | ||||||||
British American | ||||||||||||
Tobacco PLC, ADR | 4,800 | 621,504 | 0.1 | % | ||||||||
Centrica PLC | 1,195,178 | 3,614,228 | 0.6 | % | ||||||||
GlaxoSmithKline PLC | 416,427 | 8,942,818 | 1.6 | % | ||||||||
Imperial Brands PLC | 105,735 | 5,734,331 | 1.0 | % | ||||||||
Reckitt Benckiser Group PLC | 67,138 | 6,732,072 | 1.2 | % | ||||||||
WPP PLC | 212,141 | 4,421,339 | 0.8 | % | ||||||||
OTHER SECURITIES | 22,631,042 | 4.0 | % | |||||||||
85,767,551 | ||||||||||||
TOTAL COMMON STOCKS (Cost $567,528,640) | $ | 538,904,862 | ||||||||||
PREFERRED SECURITIES - 0.5% | ||||||||||||
Germany - 0.5% | 2,854,283 | 0.5 | % | |||||||||
TOTAL PREFERRED SECURITIES (Cost $4,451,201) | $ | 2,854,283 | ||||||||||
RIGHTS - 0.0% | ||||||||||||
TOTAL RIGHTS (Cost $49,556) | $ | 49,098 | ||||||||||
SECURITIES LENDING COLLATERAL - 1.4% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 776,614 | 7,771,657 | 1.4 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $7,771,867) | $ | 7,771,657 | ||||||||||
SHORT-TERM INVESTMENTS - 2.4% | ||||||||||||
Money market funds - 0.6% | ||||||||||||
JPMorgan U.S. Treasury Plus Money | ||||||||||||
Market Fund, Institutional | ||||||||||||
Class, 0.2243% (Y) | 3,452,822 | $ | 3,452,822 | 0.6 | % | |||||||
U.S. Government - 1.8% | ||||||||||||
U.S. Treasury Bill, 0.220%, | ||||||||||||
07/21/2016 * | $ | 5,900,000 | $ | 5,899,404 | 1.1 | % |
International Core Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
SHORT-TERM INVESTMENTS (continued) | ||||||||||||
U.S. Government (continued) | ||||||||||||
U.S. Treasury Bill, 0.270%, | ||||||||||||
09/22/2016 * | $ | 4,000,000 | $ | 3,997,776 | 0.7 | % | ||||||
9,897,180 | ||||||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $13,349,611) | $ | 13,350,002 | ||||||||||
Total Investments (International Core Trust) | ||||||||||||
(Cost $593,150,875) - 100.6% | $ | 562,929,902 | 100.6 | % | ||||||||
Other Assets And Liabilities, Net - (0.6%) | (3,628,734 | ) | (0.6 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 559,301,168 | 100.0 | % |
International Equity Index Trust B
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 96.9% | ||||||||||||
Australia - 5.2% | ||||||||||||
Australia & New Zealand | ||||||||||||
Banking Group, Ltd. | 98,905 | $ | 1,802,057 | 0.3 | % | |||||||
Commonwealth Bank of Australia | 57,910 | 3,250,504 | 0.6 | % | ||||||||
National Australia Bank, Ltd. | 89,595 | 1,720,175 | 0.3 | % | ||||||||
Westpac Banking Corp. | 112,787 | 2,501,117 | 0.4 | % | ||||||||
OTHER SECURITIES | 20,431,717 | 3.6 | % | |||||||||
29,705,570 | ||||||||||||
Austria - 0.1% | 657,155 | 0.1 | % | |||||||||
Belgium - 1.1% | ||||||||||||
Anheuser-Busch InBev SA | 26,983 | 3,568,151 | 0.6 | % | ||||||||
OTHER SECURITIES | 2,512,963 | 0.5 | % | |||||||||
6,081,114 | ||||||||||||
Brazil - 1.1% | 6,134,065 | 1.1 | % | |||||||||
Canada - 6.8% | ||||||||||||
Royal Bank of Canada | 50,000 | 2,954,449 | 0.5 | % | ||||||||
The Bank of Nova Scotia | 41,000 | 2,009,141 | 0.4 | % | ||||||||
The Toronto-Dominion Bank | 62,300 | 2,675,339 | 0.5 | % | ||||||||
OTHER SECURITIES | 31,324,545 | 5.4 | % | |||||||||
38,963,474 | ||||||||||||
Chile - 0.3% | 1,551,027 | 0.3 | % | |||||||||
China - 4.7% | ||||||||||||
Alibaba Group | ||||||||||||
Holding, Ltd., ADR (I) | 33,500 | 2,664,255 | 0.5 | % | ||||||||
China Construction Bank Corp., | ||||||||||||
H Shares | 2,823,914 | 1,882,529 | 0.3 | % | ||||||||
Tencent Holdings, Ltd. | 189,300 | 4,342,480 | 0.8 | % | ||||||||
OTHER SECURITIES | 18,188,372 | 3.1 | % | |||||||||
27,077,636 | ||||||||||||
Colombia - 0.1% | 616,409 | 0.1 | % | |||||||||
Czech Republic - 0.0% | 245,278 | 0.0 | % | |||||||||
Denmark - 1.4% | ||||||||||||
Novo Nordisk A/S, B Shares | 62,291 | 3,354,551 | 0.6 | % | ||||||||
OTHER SECURITIES | 4,459,719 | 0.8 | % | |||||||||
7,814,270 | ||||||||||||
Egypt - 0.0% | 222,848 | 0.0 | % | |||||||||
Finland - 0.7% | 3,992,638 | 0.7 | % |
The accompanying notes are an integral part of the financial statements. | 29 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
International Equity Index Trust B (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
France - 6.5% | ||||||||||||
Sanofi | 39,907 | $ | 3,315,597 | 0.6 | % | |||||||
TOTAL SA (L) | 75,294 | 3,610,816 | 0.6 | % | ||||||||
OTHER SECURITIES | 30,692,323 | 5.3 | % | |||||||||
37,618,736 | ||||||||||||
Germany - 5.7% | ||||||||||||
Allianz SE | 15,520 | 2,214,053 | 0.4 | % | ||||||||
BASF SE | 31,265 | 2,397,371 | 0.4 | % | ||||||||
Bayer AG | 28,093 | 2,821,530 | 0.5 | % | ||||||||
Daimler AG | 32,707 | 1,957,141 | 0.3 | % | ||||||||
Deutsche Telekom AG | 109,956 | 1,875,008 | 0.3 | % | ||||||||
SAP SE | 33,368 | 2,506,120 | 0.4 | % | ||||||||
Siemens AG | 25,671 | 2,634,400 | 0.5 | % | ||||||||
OTHER SECURITIES | 16,450,838 | 2.9 | % | |||||||||
32,856,461 | ||||||||||||
Greece - 0.1% | 515,952 | 0.1 | % | |||||||||
Hong Kong - 3.2% | ||||||||||||
AIA Group, Ltd. | 404,200 | 2,430,748 | 0.4 | % | ||||||||
China Mobile, Ltd. | 206,030 | 2,380,515 | 0.4 | % | ||||||||
OTHER SECURITIES | 13,879,570 | 2.4 | % | |||||||||
18,690,833 | ||||||||||||
Hungary - 0.1% | 387,183 | 0.1 | % | |||||||||
India - 1.8% | 10,487,332 | 1.8 | % | |||||||||
Indonesia - 0.6% | 3,376,502 | 0.6 | % | |||||||||
Ireland - 0.9% | ||||||||||||
Shire PLC | 30,304 | 1,872,873 | 0.3 | % | ||||||||
OTHER SECURITIES | 3,255,506 | 0.6 | % | |||||||||
5,128,379 | ||||||||||||
Israel - 0.5% | 3,060,951 | 0.5 | % | |||||||||
Italy - 1.2% | 7,075,341 | 1.2 | % | |||||||||
Japan - 16.2% | ||||||||||||
KDDI Corp. | 63,200 | 1,921,895 | 0.3 | % | ||||||||
Mitsubishi UFJ Financial Group, Inc. | 434,700 | 1,948,696 | 0.4 | % | ||||||||
SoftBank Group Corp. | 32,800 | 1,854,908 | 0.3 | % | ||||||||
Toyota Motor Corp. | 89,600 | 4,417,149 | 0.8 | % | ||||||||
OTHER SECURITIES | 83,030,248 | 14.4 | % | |||||||||
93,172,896 | ||||||||||||
Jersey, Channel Islands - 0.1% | 394,446 | 0.1 | % | |||||||||
Jordan - 0.0% | 158,728 | 0.0 | % | |||||||||
Luxembourg - 0.2% | 995,947 | 0.2 | % | |||||||||
Macau - 0.1% | 436,377 | 0.1 | % | |||||||||
Malaysia - 0.7% | 3,872,390 | 0.7 | % | |||||||||
Malta - 0.0% | 150,506 | 0.0 | % | |||||||||
Mexico - 0.9% | 5,315,905 | 0.9 | % | |||||||||
Netherlands - 3.0% | ||||||||||||
Royal Dutch Shell PLC, A Shares | 143,885 | 3,951,845 | 0.7 | % | ||||||||
Royal Dutch Shell PLC, B Shares | 128,262 | 3,543,715 | 0.6 | % | ||||||||
OTHER SECURITIES | 9,930,436 | 1.7 | % | |||||||||
17,425,996 | ||||||||||||
New Zealand - 0.1% | 713,284 | 0.1 | % | |||||||||
Norway - 0.5% | 2,663,816 | 0.5 | % | |||||||||
Peru - 0.1% | 483,695 | 0.1 | % | |||||||||
Philippines - 0.3% | 1,962,301 | 0.3 | % |
International Equity Index Trust B (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Poland - 0.3% | $ | 1,487,865 | 0.3 | % | ||||||||
Portugal - 0.1% | 585,699 | 0.1 | % | |||||||||
Romania - 0.0% | 87,656 | 0.0 | % | |||||||||
Russia - 0.8% | 4,635,199 | 0.8 | % | |||||||||
Singapore - 1.0% | 5,708,498 | 1.0 | % | |||||||||
South Africa - 1.5% | ||||||||||||
Naspers, Ltd., N Shares | 14,694 | 2,243,701 | 0.4 | % | ||||||||
OTHER SECURITIES | 6,656,324 | 1.1 | % | |||||||||
8,900,025 | ||||||||||||
South Korea - 3.1% | ||||||||||||
Samsung Electronics Company, Ltd. | 3,408 | 4,244,157 | 0.8 | % | ||||||||
OTHER SECURITIES | 13,369,132 | 2.3 | % | |||||||||
17,613,289 | ||||||||||||
Spain - 2.0% | ||||||||||||
Banco Santander SA | 21,368 | 75,965 | 0.0 | % | ||||||||
Banco Santander SA | 490,269 | 1,902,584 | 0.3 | % | ||||||||
OTHER SECURITIES | 9,631,284 | 1.7 | % | |||||||||
11,609,833 | ||||||||||||
Sweden - 1.9% | 10,854,475 | 1.9 | % | |||||||||
Switzerland - 6.7% | ||||||||||||
Nestle SA | 107,673 | 8,342,325 | 1.5 | % | ||||||||
Novartis AG | 76,893 | 6,346,637 | 1.1 | % | ||||||||
Roche Holding AG | 23,739 | 6,264,243 | 1.1 | % | ||||||||
OTHER SECURITIES | 17,594,304 | 3.0 | % | |||||||||
38,547,509 | ||||||||||||
Taiwan - 2.3% | ||||||||||||
Taiwan Semiconductor | ||||||||||||
Manufacturing Company, Ltd. | 818,227 | 4,123,616 | 0.7 | % | ||||||||
OTHER SECURITIES | 9,024,924 | 1.6 | % | |||||||||
13,148,540 | ||||||||||||
Thailand - 0.5% | 2,669,758 | 0.5 | % | |||||||||
Turkey - 0.3% | 1,683,455 | 0.3 | % | |||||||||
United Kingdom - 12.0% | ||||||||||||
AstraZeneca PLC | 42,494 | 2,540,454 | 0.4 | % | ||||||||
BP PLC | 639,061 | 3,740,773 | 0.7 | % | ||||||||
British American Tobacco PLC | 63,291 | 4,103,116 | 0.7 | % | ||||||||
Diageo PLC | 84,643 | 2,364,570 | 0.4 | % | ||||||||
GlaxoSmithKline PLC | 165,300 | 3,549,837 | 0.6 | % | ||||||||
HSBC Holdings PLC | 664,657 | 4,117,938 | 0.7 | % | ||||||||
Imperial Brands PLC | 32,270 | 1,750,100 | 0.3 | % | ||||||||
National Grid PLC | 126,205 | 1,855,895 | 0.3 | % | ||||||||
Reckitt Benckiser Group PLC | 21,545 | 2,160,364 | 0.4 | % | ||||||||
SABMiller PLC | 32,692 | 1,906,578 | 0.3 | % | ||||||||
Unilever NV | 55,434 | 2,588,922 | 0.5 | % | ||||||||
Unilever PLC | 43,242 | 2,071,958 | 0.4 | % | ||||||||
Vodafone Group PLC | 892,134 | 2,720,004 | 0.5 | % | ||||||||
OTHER SECURITIES | 33,198,717 | 5.8 | % | |||||||||
68,669,226 | ||||||||||||
United States - 0.1% | 514,646 | 0.1 | % | |||||||||
TOTAL COMMON STOCKS (Cost $498,934,803) | $ | 556,721,114 | ||||||||||
PREFERRED SECURITIES - 1.1% | ||||||||||||
Brazil - 0.6% | 3,242,176 | 0.6 | % | |||||||||
Germany - 0.4% | 2,066,412 | 0.4 | % | |||||||||
South Korea - 0.1% | ||||||||||||
Samsung Electronics Company, Ltd. | 616 | 635,458 | 0.1 | % |
The accompanying notes are an integral part of the financial statements. | 30 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
International Equity Index Trust B (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
PREFERRED SECURITIES (continued) | ||||||||||||
South Korea (continued) | ||||||||||||
OTHER SECURITIES | $ | 250,432 | 0.0 | % | ||||||||
885,890 | ||||||||||||
Spain - 0.0% | 14,325 | 0.0 | % | |||||||||
TOTAL PREFERRED SECURITIES (Cost $7,765,186) | $ | 6,208,803 | ||||||||||
RIGHTS - 0.0% | ||||||||||||
TOTAL RIGHTS (Cost $46,450) | $ | 31,394 | ||||||||||
WARRANTS - 0.0% | ||||||||||||
TOTAL WARRANTS (Cost $621) | $ | 9,610 | ||||||||||
SECURITIES LENDING COLLATERAL - 0.8% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 477,496 | 4,778,350 | 0.8 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $4,778,439) | $ | 4,778,350 | ||||||||||
SHORT-TERM INVESTMENTS - 0.2% | ||||||||||||
Money market funds - 0.2% | $ | 848,411 | 0.2 | % | ||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $848,411) | $ | 848,411 | ||||||||||
Total Investments (International Equity | ||||||||||||
Index Trust B) (Cost $512,373,910) - 99.0% | $ | 568,597,682 | 99.0 | % | ||||||||
Other Assets And Liabilities, Net - 1.0% | 5,744,032 | 1.0 | % | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 574,341,714 | 100.0 | % |
International Growth Stock Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 93.2% | ||||||||||||
Australia - 4.2% | ||||||||||||
Amcor, Ltd. | 776,013 | $ | 8,725,190 | 2.2 | % | |||||||
CSL, Ltd. | 53,733 | 4,531,449 | 1.2 | % | ||||||||
OTHER SECURITIES | 3,297,329 | 0.8 | % | |||||||||
16,553,968 | ||||||||||||
Brazil - 2.1% | ||||||||||||
BM&FBovespa SA | 1,493,734 | 8,370,081 | 2.1 | % | ||||||||
Canada - 8.1% | ||||||||||||
Canadian National Railway Company | 62,978 | 3,718,868 | 0.9 | % | ||||||||
CGI Group, Inc., Class A (I) | 220,039 | 9,399,708 | 2.4 | % | ||||||||
Fairfax Financial Holdings, Ltd. | 9,784 | 5,269,554 | 1.3 | % | ||||||||
Suncor Energy, Inc. | 257,260 | 7,136,653 | 1.8 | % | ||||||||
OTHER SECURITIES | 6,625,129 | 1.7 | % | |||||||||
32,149,912 | ||||||||||||
China - 1.7% | ||||||||||||
Baidu, Inc., ADR (I) | 39,669 | 6,551,335 | 1.7 | % | ||||||||
Denmark - 2.9% | ||||||||||||
Carlsberg A/S, B Shares | 82,819 | 7,901,595 | 2.0 | % | ||||||||
OTHER SECURITIES | 3,438,077 | 0.9 | % | |||||||||
11,339,672 | ||||||||||||
France - 3.4% | ||||||||||||
Publicis Groupe SA | 123,462 | 8,259,944 | 2.1 | % | ||||||||
Schneider Electric SE | 75,840 | 4,424,578 | 1.1 | % |
International Growth Stock Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
France (continued) | ||||||||||||
OTHER SECURITIES | $ | 987,041 | 0.2 | % | ||||||||
13,671,563 | ||||||||||||
Germany - 8.7% | ||||||||||||
Allianz SE | 49,388 | 7,045,597 | 1.8 | % | ||||||||
Deutsche Boerse AG | 108,153 | 8,885,322 | 2.2 | % | ||||||||
Deutsche Post AG | 141,719 | 3,992,597 | 1.0 | % | ||||||||
ProSiebenSat.1 Media SE (I) | 132,707 | 5,804,905 | 1.5 | % | ||||||||
SAP SE | 116,554 | 8,753,845 | 2.2 | % | ||||||||
34,482,266 | ||||||||||||
Hong Kong - 3.3% | ||||||||||||
CK Hutchison Holdings, Ltd. | 801,468 | 8,816,518 | 2.2 | % | ||||||||
Galaxy Entertainment Group, Ltd. | 1,449,000 | 4,335,437 | 1.1 | % | ||||||||
13,151,955 | ||||||||||||
Israel - 2.6% | ||||||||||||
Teva Pharmaceutical | ||||||||||||
Industries, Ltd., ADR | 202,293 | 10,161,177 | 2.6 | % | ||||||||
Japan - 8.0% | ||||||||||||
Japan Tobacco, Inc. | 183,500 | 7,395,454 | 1.9 | % | ||||||||
Keyence Corp. | 5,600 | 3,821,040 | 1.0 | % | ||||||||
Komatsu, Ltd. | 208,000 | 3,613,309 | 0.9 | % | ||||||||
Yahoo Japan Corp. | 1,889,600 | 8,379,170 | 2.1 | % | ||||||||
OTHER SECURITIES | 8,370,247 | 2.1 | % | |||||||||
31,579,220 | ||||||||||||
Mexico - 2.7% | ||||||||||||
Fomento Economico Mexicano SAB | ||||||||||||
de CV, ADR | 40,743 | 3,768,320 | 1.0 | % | ||||||||
Grupo Televisa SAB, ADR | 262,858 | 6,844,822 | 1.7 | % | ||||||||
10,613,142 | ||||||||||||
Netherlands - 1.5% | ||||||||||||
Royal Dutch Shell PLC, B Shares | 200,443 | 5,537,984 | 1.4 | % | ||||||||
OTHER SECURITIES | 438,076 | 0.1 | % | |||||||||
5,976,060 | ||||||||||||
Singapore - 3.6% | ||||||||||||
Broadcom, Ltd. | 58,678 | 9,118,564 | 2.3 | % | ||||||||
United Overseas Bank, Ltd. | 365,900 | 5,041,354 | 1.3 | % | ||||||||
14,159,918 | ||||||||||||
South Korea - 0.7% | 2,919,103 | 0.7 | % | |||||||||
Spain - 1.3% | ||||||||||||
Amadeus IT Holding SA, A Shares | 120,051 | 5,289,320 | 1.3 | % | ||||||||
Sweden - 4.6% | ||||||||||||
Getinge AB, B Shares | 221,515 | 4,573,399 | 1.1 | % | ||||||||
Investor AB, B Shares | 209,023 | 7,022,294 | 1.8 | % | ||||||||
Telefonaktiebolaget LM Ericsson, | ||||||||||||
B Shares | 583,881 | 4,485,698 | 1.1 | % | ||||||||
OTHER SECURITIES | 2,250,071 | 0.6 | % | |||||||||
18,331,462 | ||||||||||||
Switzerland - 7.3% | ||||||||||||
Julius Baer Group, Ltd. (I) | 127,543 | 5,133,391 | 1.3 | % | ||||||||
Roche Holding AG | 34,852 | 9,196,740 | 2.3 | % | ||||||||
UBS Group AG | 407,592 | 5,288,748 | 1.3 | % | ||||||||
OTHER SECURITIES | 9,329,039 | 2.4 | % | |||||||||
28,947,918 | ||||||||||||
Taiwan - 2.4% | ||||||||||||
Taiwan Semiconductor | ||||||||||||
Manufacturing Company, Ltd. | 1,887,000 | 9,509,909 | 2.4 | % |
The accompanying notes are an integral part of the financial statements. | 31 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
International Growth Stock Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Thailand - 1.4% | ||||||||||||
Kasikornbank PCL, NVDR | 1,177,800 | $ | 5,719,281 | 1.4 | % | |||||||
Turkey - 1.1% | ||||||||||||
Akbank TAS | 1,534,732 | 4,398,723 | 1.1 | % | ||||||||
United Kingdom - 21.6% | ||||||||||||
British American Tobacco PLC | 166,015 | 10,762,647 | 2.7 | % | ||||||||
Compass Group PLC | 439,306 | 8,358,011 | 2.1 | % | ||||||||
Informa PLC | 454,840 | 4,435,324 | 1.1 | % | ||||||||
Kingfisher PLC | 1,128,330 | 4,846,298 | 1.2 | % | ||||||||
Lloyds Banking Group PLC | 5,530,258 | 4,005,536 | 1.0 | % | ||||||||
Next PLC | 72,492 | 4,789,997 | 1.2 | % | ||||||||
RELX PLC | 655,647 | 12,073,424 | 3.1 | % | ||||||||
Sky PLC | 1,054,340 | 11,980,995 | 3.0 | % | ||||||||
Smith & Nephew PLC | 367,364 | 6,238,303 | 1.6 | % | ||||||||
Unilever NV | 123,091 | 5,748,693 | 1.5 | % | ||||||||
WPP PLC | 460,794 | 9,603,644 | 2.4 | % | ||||||||
OTHER SECURITIES | 2,906,767 | 0.7 | % | |||||||||
85,749,639 | ||||||||||||
TOTAL COMMON STOCKS (Cost $336,126,761) | $ | 369,625,624 | ||||||||||
SHORT-TERM INVESTMENTS - 6.3% | ||||||||||||
Money market funds - 6.3% | ||||||||||||
Fidelity Institutional Money Market | ||||||||||||
Government Portfolio, Institutional | ||||||||||||
Class, 0.2629% (Y) | 24,945,142 | $ | 24,945,142 | 6.3 | % | |||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $24,945,142) | $ | 24,945,142 | ||||||||||
Total Investments (International Growth Stock | ||||||||||||
Trust) (Cost $361,071,903) - 99.5% | $ | 394,570,766 | 99.5 | % | ||||||||
Other Assets And Liabilities, Net - 0.5% | 2,110,717 | 0.5 | % | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 396,681,483 | 100.0 | % |
International Small Company Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 98.8% | ||||||||||||
Australia - 7.0% | ||||||||||||
Spark Infrastructure Group | 117,770 | $ | 215,789 | 0.2 | % | |||||||
OTHER SECURITIES | 7,241,409 | 6.8 | % | |||||||||
7,457,198 | ||||||||||||
Austria - 1.2% | 1,291,982 | 1.2 | % | |||||||||
Belgium - 1.8% | ||||||||||||
Ackermans & van Haaren NV | 1,818 | 223,063 | 0.2 | % | ||||||||
Umicore SA | 4,011 | 207,186 | 0.2 | % | ||||||||
OTHER SECURITIES | 1,472,926 | 1.4 | % | |||||||||
1,903,175 | ||||||||||||
Bermuda - 0.2% | ||||||||||||
Hiscox, Ltd. | 16,221 | 223,971 | 0.2 | % | ||||||||
OTHER SECURITIES | 5,427 | 0.0 | % | |||||||||
229,398 | ||||||||||||
Cambodia - 0.1% | 69,444 | 0.1 | % | |||||||||
Canada - 8.3% | ||||||||||||
Detour Gold Corp. (I) | 7,501 | 187,648 | 0.2 | % |
International Small Company Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Canada (continued) | ||||||||||||
OTHER SECURITIES | $ | 8,698,143 | 8.1 | % | ||||||||
8,885,791 | ||||||||||||
China - 0.0% | 44,690 | 0.0 | % | |||||||||
Denmark - 2.3% | ||||||||||||
Genmab A/S (I) | 2,251 | 410,466 | 0.4 | % | ||||||||
OTHER SECURITIES | 2,065,570 | 1.9 | % | |||||||||
2,476,036 | ||||||||||||
Faroe Islands - 0.1% | 82,250 | 0.1 | % | |||||||||
Finland - 2.7% | ||||||||||||
Amer Sports OYJ | 8,604 | 236,054 | 0.2 | % | ||||||||
Elisa OYJ | 6,236 | 239,608 | 0.2 | % | ||||||||
Huhtamaki OYJ | 6,248 | 259,292 | 0.2 | % | ||||||||
Nokian Renkaat OYJ | 5,661 | 202,902 | 0.2 | % | ||||||||
OTHER SECURITIES | 1,990,308 | 1.9 | % | |||||||||
2,928,164 | ||||||||||||
France - 4.8% | ||||||||||||
Arkema SA | 2,535 | 193,809 | 0.2 | % | ||||||||
Orpea | 2,836 | 232,544 | 0.2 | % | ||||||||
Rubis SCA | 2,665 | 203,727 | 0.2 | % | ||||||||
Teleperformance | 3,675 | 313,045 | 0.3 | % | ||||||||
UBISOFT Entertainment (I) | 7,613 | 277,350 | 0.3 | % | ||||||||
OTHER SECURITIES | 3,851,767 | 3.6 | % | |||||||||
5,072,242 | ||||||||||||
Gabon - 0.0% | 2,943 | 0.0 | % | |||||||||
Germany - 6.3% | ||||||||||||
Freenet AG | 8,192 | 210,974 | 0.2 | % | ||||||||
KUKA AG | 1,891 | 224,295 | 0.2 | % | ||||||||
LEG Immobilien AG (I) | 2,491 | 233,080 | 0.2 | % | ||||||||
MTU Aero Engines AG | 2,479 | 231,609 | 0.2 | % | ||||||||
Rheinmetall AG | 3,081 | 183,255 | 0.2 | % | ||||||||
STADA Arzneimittel AG | 4,642 | 240,583 | 0.2 | % | ||||||||
OTHER SECURITIES | 5,406,231 | 5.1 | % | |||||||||
6,730,027 | ||||||||||||
Gibraltar - 0.0% | 33,463 | 0.0 | % | |||||||||
Greece - 0.0% | 150 | 0.0 | % | |||||||||
Guernsey, Channel Islands - 0.0% | 3,210 | 0.0 | % | |||||||||
Hong Kong - 3.1% | 3,310,231 | 3.1 | % | |||||||||
India - 0.0% | 14,926 | 0.0 | % | |||||||||
Ireland - 0.7% | 784,452 | 0.7 | % | |||||||||
Isle of Man - 0.2% | 219,805 | 0.2 | % | |||||||||
Israel - 0.6% | 622,205 | 0.6 | % | |||||||||
Italy - 3.8% | ||||||||||||
Prysmian SpA | 8,789 | 192,912 | 0.2 | % | ||||||||
Recordati SpA | 6,917 | 208,061 | 0.2 | % | ||||||||
OTHER SECURITIES | 3,596,942 | 3.4 | % | |||||||||
3,997,915 | ||||||||||||
Japan - 23.2% | 24,796,086 | 23.2 | % | |||||||||
Jersey, Channel Islands - 0.2% | 240,930 | 0.2 | % | |||||||||
Liechtenstein - 0.1% | 57,233 | 0.1 | % | |||||||||
Luxembourg - 0.5% | ||||||||||||
Eurofins Scientific SE | 651 | 241,179 | 0.2 | % | ||||||||
OTHER SECURITIES | 273,625 | 0.3 | % | |||||||||
514,804 |
The accompanying notes are an integral part of the financial statements. | 32 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
International Small Company Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Macau - 0.0% | $ | 7,991 | 0.0 | % | ||||||||
Malta - 0.1% | 100,099 | 0.1 | % | |||||||||
Monaco - 0.1% | 54,029 | 0.1 | % | |||||||||
Mongolia - 0.0% | 4,073 | 0.0 | % | |||||||||
Netherlands - 1.8% | 1,939,920 | 1.8 | % | |||||||||
New Zealand - 1.5% | ||||||||||||
Fisher & | ||||||||||||
Paykel Healthcare Corp., Ltd. | 31,682 | 227,626 | 0.2 | % | ||||||||
OTHER SECURITIES | 1,371,412 | 1.3 | % | |||||||||
1,599,038 | ||||||||||||
Norway - 0.7% | 773,112 | 0.7 | % | |||||||||
Peru - 0.0% | 39,963 | 0.0 | % | |||||||||
Portugal - 0.3% | 341,765 | 0.3 | % | |||||||||
Russia - 0.0% | 24,117 | 0.0 | % | |||||||||
Singapore - 1.1% | 1,167,062 | 1.1 | % | |||||||||
South Africa - 0.1% | 62,518 | 0.1 | % | |||||||||
Spain - 2.3% | ||||||||||||
Gamesa Corporacion Tecnologica SA | 12,762 | 254,272 | 0.2 | % | ||||||||
Viscofan SA | 3,523 | 195,530 | 0.2 | % | ||||||||
OTHER SECURITIES | 1,967,754 | 1.9 | % | |||||||||
2,417,556 | ||||||||||||
Sweden - 3.3% | 3,547,935 | 3.3 | % | |||||||||
Switzerland - 5.3% | ||||||||||||
Flughafen Zuerich AG | 1,355 | 239,796 | 0.2 | % | ||||||||
Georg Fischer AG | 265 | 211,843 | 0.2 | % | ||||||||
Helvetia Holding AG | 463 | 240,875 | 0.2 | % | ||||||||
Straumann Holding AG | 672 | 265,110 | 0.3 | % | ||||||||
Temenos Group AG (I) | 4,640 | 231,590 | 0.2 | % | ||||||||
OTHER SECURITIES | 4,445,439 | 4.2 | % | |||||||||
5,634,653 | ||||||||||||
Taiwan - 0.0% | 0 | 0.0 | % | |||||||||
United Arab Emirates - 0.0% | 31,590 | 0.0 | % | |||||||||
United Kingdom - 14.8% | ||||||||||||
BBA Aviation PLC | 65,305 | 193,244 | 0.2 | % | ||||||||
Bellway PLC | 8,717 | 221,130 | 0.2 | % | ||||||||
DS Smith PLC | 64,440 | 333,396 | 0.3 | % | ||||||||
Greene King PLC | 20,833 | 216,953 | 0.2 | % | ||||||||
Halma PLC | 21,707 | 295,239 | 0.3 | % | ||||||||
IG Group Holdings PLC | 21,765 | 235,679 | 0.2 | % | ||||||||
Inchcape PLC | 26,025 | 218,828 | 0.2 | % | ||||||||
Informa PLC | 18,951 | 184,799 | 0.2 | % | ||||||||
Micro Focus International PLC | 8,615 | 185,861 | 0.2 | % | ||||||||
Pennon Group PLC | 22,238 | 281,252 | 0.3 | % | ||||||||
Rentokil Initial PLC | 98,343 | 253,963 | 0.2 | % | ||||||||
Rightmove PLC | 5,015 | 244,939 | 0.2 | % | ||||||||
RPC Group PLC | 21,241 | 222,320 | 0.2 | % | ||||||||
Spectris PLC | 7,772 | 189,185 | 0.2 | % | ||||||||
Spirax-Sarco Engineering PLC | 5,227 | 261,741 | 0.3 | % | ||||||||
The Weir Group PLC | 10,225 | 197,481 | 0.2 | % | ||||||||
UBM PLC | 22,464 | 192,659 | 0.2 | % | ||||||||
OTHER SECURITIES | 11,899,643 | 11.0 | % | |||||||||
15,828,312 | ||||||||||||
United States - 0.2% | 176,101 | 0.2 | % | |||||||||
TOTAL COMMON STOCKS (Cost $109,169,199) | $ | 105,518,584 |
International Small Company Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
PREFERRED SECURITIES - 0.3% | ||||||||||||
Germany - 0.3% | $ | 325,861 | 0.3 | % | ||||||||
TOTAL PREFERRED SECURITIES (Cost $323,146) | $ | 325,861 | ||||||||||
RIGHTS - 0.1% | ||||||||||||
TOTAL RIGHTS (Cost $78,255) | $ | 46,950 | ||||||||||
WARRANTS - 0.0% | ||||||||||||
TOTAL WARRANTS (Cost $0) | $ | 2,299 | ||||||||||
SECURITIES LENDING COLLATERAL - 1.1% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 121,717 | 1,218,036 | 1.1 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $1,218,039) | $ | 1,218,036 | ||||||||||
SHORT-TERM INVESTMENTS - 0.1% | ||||||||||||
Money market funds - 0.1% | $ | 97,902 | 0.1 | % | ||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $97,902) | $ | 97,902 | ||||||||||
Total Investments (International Small Company | ||||||||||||
Trust) (Cost $110,886,541) - 100.4% | $ | 107,209,632 | 100.4 | % | ||||||||
Other Assets And Liabilities, Net - (0.4%) | (447,014 | ) | (0.4 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 106,762,618 | 100.0 | % |
International Value Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 99.1% | ||||||||||||
Australia - 2.0% | ||||||||||||
Origin Energy, Ltd. | 1,578,725 | $ | 6,897,659 | 0.9 | % | |||||||
WorleyParsons, Ltd. (L) | 1,589,979 | 8,724,991 | 1.1 | % | ||||||||
15,622,650 | ||||||||||||
Belgium - 0.7% | 5,283,171 | 0.7 | % | |||||||||
Canada - 9.5% | ||||||||||||
Barrick Gold Corp. | 723,190 | 15,440,107 | 2.0 | % | ||||||||
Cenovus Energy, Inc. | 550,500 | 7,614,408 | 1.0 | % | ||||||||
Precision Drilling Corp. | 2,106,400 | 11,168,265 | 1.4 | % | ||||||||
Silver Wheaton Corp. | 952,600 | 22,422,358 | 2.8 | % | ||||||||
Suncor Energy, Inc. | 288,200 | 7,994,960 | 1.0 | % | ||||||||
OTHER SECURITIES | 10,170,275 | 1.3 | % | |||||||||
74,810,373 | ||||||||||||
China - 6.7% | ||||||||||||
Baidu, Inc., ADR (I) | 42,190 | 6,967,679 | 0.9 | % | ||||||||
China Telecom Corp., Ltd., H Shares | 20,958,427 | 9,425,353 | 1.2 | % | ||||||||
Sinopec Engineering Group | ||||||||||||
Company, Ltd., H Shares | 8,961,000 | 8,131,213 | 1.0 | % | ||||||||
Trina Solar, Ltd., ADR (I)(L) | 1,394,291 | 10,791,812 | 1.4 | % | ||||||||
OTHER SECURITIES | 17,671,207 | 2.2 | % | |||||||||
52,987,264 | ||||||||||||
France - 8.4% | ||||||||||||
AXA SA | 420,461 | 8,313,649 | 1.1 | % | ||||||||
BNP Paribas SA | 362,306 | 15,889,189 | 2.0 | % | ||||||||
Cie Generale des | ||||||||||||
Etablissements Michelin | 113,680 | 10,713,319 | 1.4 | % | ||||||||
Sanofi | 162,713 | 13,518,698 | 1.7 | % |
The accompanying notes are an integral part of the financial statements. | 33 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
International Value Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
France (continued) | ||||||||||||
TOTAL SA | 190,846 | $ | 9,152,255 | 1.2 | % | |||||||
OTHER SECURITIES | 8,441,439 | 1.0 | % | |||||||||
66,028,549 | ||||||||||||
Germany - 6.0% | ||||||||||||
Bayer AG | 76,310 | 7,664,220 | 1.0 | % | ||||||||
Gerresheimer AG | 90,920 | 7,003,729 | 0.9 | % | ||||||||
Siemens AG | 108,861 | 11,171,495 | 1.4 | % | ||||||||
OTHER SECURITIES | 21,800,863 | 2.7 | % | |||||||||
47,640,307 | ||||||||||||
Hong Kong - 4.0% | ||||||||||||
GCL-Poly Energy Holdings, Ltd. (L) | 98,088,000 | 12,892,345 | 1.6 | % | ||||||||
Kingboard Chemical Holdings, Ltd. | 3,314,700 | 6,607,981 | 0.8 | % | ||||||||
OTHER SECURITIES | 11,931,420 | 1.6 | % | |||||||||
31,431,746 | ||||||||||||
India - 1.3% | 10,555,637 | 1.3 | % | |||||||||
Israel - 1.9% | ||||||||||||
Teva Pharmaceutical | ||||||||||||
Industries, Ltd., ADR | 291,724 | 14,653,297 | 1.9 | % | ||||||||
Italy - 2.1% | ||||||||||||
Eni SpA | 677,240 | 10,908,468 | 1.4 | % | ||||||||
OTHER SECURITIES | 5,901,643 | 0.7 | % | |||||||||
16,810,111 | ||||||||||||
Japan - 5.0% | ||||||||||||
Nissan Motor Company, Ltd. | 1,505,800 | 13,438,240 | 1.7 | % | ||||||||
SoftBank Group Corp. | 276,900 | 15,659,269 | 2.0 | % | ||||||||
OTHER SECURITIES | 10,763,152 | 1.3 | % | |||||||||
39,860,661 | ||||||||||||
Luxembourg - 0.9% | ||||||||||||
Tenaris SA | 488,494 | 7,060,291 | 0.9 | % | ||||||||
Mexico - 0.7% | 5,339,333 | 0.7 | % | |||||||||
Netherlands - 6.7% | ||||||||||||
Aegon NV | 2,268,102 | 8,986,997 | 1.1 | % | ||||||||
ING Groep NV | 640,340 | 6,624,930 | 0.9 | % | ||||||||
QIAGEN NV (I) | 420,910 | 9,172,626 | 1.2 | % | ||||||||
Royal Dutch Shell PLC, B Shares | 517,426 | 14,295,819 | 1.8 | % | ||||||||
SBM Offshore NV (L) | 1,173,310 | 13,597,659 | 1.7 | % | ||||||||
52,678,031 | ||||||||||||
Norway - 0.5% | 4,273,643 | 0.5 | % | |||||||||
Singapore - 1.0% | ||||||||||||
United Overseas Bank, Ltd. | 604,300 | 8,326,019 | 1.0 | % | ||||||||
South Africa - 0.4% | 2,834,408 | 0.4 | % | |||||||||
South Korea - 14.0% | ||||||||||||
Hana Financial Group, Inc. | 859,668 | 17,477,815 | 2.2 | % | ||||||||
Hyundai Mobis Company, Ltd. | 49,336 | 10,854,088 | 1.4 | % | ||||||||
KB Financial Group, Inc., ADR | 733,361 | 20,871,454 | 2.6 | % | ||||||||
Posco Daewoo Corp. | 330,464 | 7,258,998 | 0.9 | % | ||||||||
Samsung Electronics Company, Ltd. | 35,704 | 44,464,022 | 5.6 | % | ||||||||
OTHER SECURITIES | 9,982,728 | 1.3 | % | |||||||||
110,909,105 | ||||||||||||
Spain - 0.5% | 3,730,381 | 0.5 | % | |||||||||
Sweden - 0.7% | 5,409,294 | 0.7 | % | |||||||||
Switzerland - 7.0% | ||||||||||||
ABB, Ltd. (I) | 455,600 | 9,017,280 | 1.1 | % | ||||||||
Glencore PLC (I) | 5,623,710 | 11,591,203 | 1.5 | % | ||||||||
Roche Holding AG | 45,532 | 12,014,976 | 1.5 | % | ||||||||
UBS Group AG | 499,300 | 6,478,714 | 0.8 | % |
International Value Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Switzerland (continued) | ||||||||||||
OTHER SECURITIES | $ | 15,993,312 | 2.1 | % | ||||||||
55,095,485 | ||||||||||||
Taiwan - 1.0% | 8,053,380 | 1.0 | % | |||||||||
Thailand - 1.1% | 9,065,626 | 1.1 | % | |||||||||
United Kingdom - 12.9% | ||||||||||||
Aviva PLC | 1,319,940 | 6,957,820 | 0.9 | % | ||||||||
BAE Systems PLC | 1,545,061 | 10,816,351 | 1.4 | % | ||||||||
Barclays PLC | 4,122,500 | 7,667,421 | 1.0 | % | ||||||||
BP PLC | 2,835,625 | 16,598,464 | 2.1 | % | ||||||||
HSBC Holdings PLC | 1,661,010 | 10,290,926 | 1.3 | % | ||||||||
Petrofac, Ltd. | 1,161,960 | 12,078,176 | 1.5 | % | ||||||||
Standard Chartered PLC | 1,528,457 | 11,596,425 | 1.5 | % | ||||||||
OTHER SECURITIES | 26,355,230 | 3.2 | % | |||||||||
102,360,813 | ||||||||||||
United States - 4.1% | ||||||||||||
Halliburton Company | 354,130 | 16,038,548 | 2.0 | % | ||||||||
OTHER SECURITIES | 16,386,818 | 2.1 | % | |||||||||
32,425,366 | ||||||||||||
TOTAL COMMON STOCKS (Cost $862,930,660) | $ | 783,244,941 | ||||||||||
SECURITIES LENDING COLLATERAL - 6.3% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 5,023,255 | 50,268,213 | 6.3 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $50,268,859) | $ | 50,268,213 | ||||||||||
SHORT-TERM INVESTMENTS - 0.4% | ||||||||||||
U.S. Government Agency - 0.4% | $ | 3,000,000 | 0.4 | % | ||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $3,000,000) | $ | 3,000,000 | ||||||||||
Total Investments (International Value Trust) | ||||||||||||
(Cost $916,199,519) - 105.8% | $ | 836,513,154 | 105.8 | % | ||||||||
Other Assets And Liabilities, Net - (5.8%) | (46,140,575 | ) | (5.8 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 790,372,579 | 100.0 | % |
Lifestyle Aggressive PS Series
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
AFFILIATED INVESTMENT | ||||||||||||
COMPANIES (G) - 81.3% | ||||||||||||
Equity - 81.3% | ||||||||||||
Strategic Equity Allocation, | ||||||||||||
Series NAV (JHAM) (A)(1) | 1,037,690 | $ | 16,945,484 | 81.3 | % | |||||||
TOTAL AFFILIATED INVESTMENT | ||||||||||||
COMPANIES (Cost $17,509,465) | $ | 16,945,484 | ||||||||||
UNAFFILIATED INVESTMENT | ||||||||||||
COMPANIES - 18.8% | ||||||||||||
Exchange-traded funds - 18.8% | ||||||||||||
Financial Select Sector SPDR Fund | 19,209 | 438,541 | 2.1 | % | ||||||||
Vanguard Energy ETF | 2,630 | 250,166 | 1.2 | % | ||||||||
Vanguard FTSE Emerging | ||||||||||||
Markets ETF | 32,843 | 1,156,730 | 5.6 | % | ||||||||
Vanguard Health Care ETF | 1,313 | 171,333 | 0.8 | % |
The accompanying notes are an integral part of the financial statements. | 34 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Lifestyle Aggressive PS Series (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
UNAFFILIATED INVESTMENT | ||||||||||||
COMPANIES (continued) | ||||||||||||
Exchange-traded funds (continued) | ||||||||||||
Vanguard Information | ||||||||||||
Technology ETF | 5,715 | $ | 612,019 | 2.9 | % | |||||||
Vanguard Materials ETF | 790 | 80,920 | 0.4 | % | ||||||||
Vanguard Mid-Cap ETF | 5,157 | 637,560 | 3.1 | % | ||||||||
Vanguard REIT ETF | 2,474 | 219,370 | 1.1 | % | ||||||||
Vanguard Small-Cap ETF | 2,959 | 342,297 | 1.6 | % | ||||||||
TOTAL UNAFFILIATED INVESTMENT | ||||||||||||
COMPANIES (Cost $4,055,505) | $ | 3,908,936 | ||||||||||
Total Investments (Lifestyle Aggressive PS Series) | ||||||||||||
(Cost $21,564,970) - 100.1% | $ | 20,854,420 | 100.1 | % | ||||||||
Other assets and liabilities, net - (0.1%) | (19,381 | ) | (0.1 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 20,835,039 | 100.0 | % |
Lifestyle Balanced PS Series
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
AFFILIATED INVESTMENT | �� | |||||||||||
COMPANIES (G) - 100.0% | ||||||||||||
Equity - 49.9% | ||||||||||||
Strategic Equity Allocation, | ||||||||||||
Series NAV (JHAM) (A)(1) | 30,098,142 | $ | 491,502,659 | 49.9 | % | |||||||
Fixed income - 50.1% | ||||||||||||
Bond, Series NAV (JHAM) (A)(1) | 35,295,899 | 493,083,705 | 50.1 | % | ||||||||
TOTAL AFFILIATED INVESTMENT | ||||||||||||
COMPANIES (Cost $984,134,525) | $ | 984,586,364 | ||||||||||
Total Investments (Lifestyle Balanced PS Series) | ||||||||||||
(Cost $984,134,525) - 100.0% | $ | 984,586,364 | 100.0 | % | ||||||||
Other assets and liabilities, net - 0.0% | (52,970 | ) | 0.0 | % | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 984,533,394 | 100.0 | % |
Lifestyle Conservative PS Series
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
AFFILIATED INVESTMENT | ||||||||||||
COMPANIES (G) - 100.0% | ||||||||||||
Equity - 19.9% | ||||||||||||
Strategic Equity Allocation, | ||||||||||||
Series NAV (JHAM) (A)(1) | 2,524,295 | $ | 41,221,730 | 19.9 | % | |||||||
Fixed income - 80.1% | ||||||||||||
Bond, Series NAV (JHAM) (A)(1) | 11,847,826 | 165,514,134 | 80.1 | % | ||||||||
TOTAL AFFILIATED INVESTMENT | ||||||||||||
COMPANIES (Cost $203,514,369) | $ | 206,735,864 | ||||||||||
Total Investments (Lifestyle Conservative PS Series) | ||||||||||||
(Cost $203,514,369) - 100.0% | $ | 206,735,864 | 100.0 | % | ||||||||
Other assets and liabilities, net - 0.0% | (28,670 | ) | 0.0 | % | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 206,707,194 | 100.0 | % |
Lifestyle Growth PS Series
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
AFFILIATED INVESTMENT | ||||||||||||
COMPANIES (G) - 100.0% | ||||||||||||
Equity - 70.5% | ||||||||||||
Strategic Equity Allocation, | ||||||||||||
Series NAV (JHAM) (A)(1) | 83,960,101 | $ | 1,371,068,452 | 70.5 | % | |||||||
Fixed income - 29.5% | ||||||||||||
Bond, Series NAV (JHAM) (A)(1) | 41,080,452 | 573,893,909 | 29.5 | % | ||||||||
TOTAL AFFILIATED INVESTMENT | ||||||||||||
COMPANIES (Cost $1,970,978,883) | $ | 1,944,962,361 | ||||||||||
Total Investments (Lifestyle Growth PS Series) | ||||||||||||
(Cost $1,970,978,883) - 100.0% | $ | 1,944,962,361 | 100.0 | % | ||||||||
Other assets and liabilities, net - 0.0% | (83,392 | ) | 0.0 | % | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,944,878,969 | 100.0 | % |
Lifestyle Moderate PS Series
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
AFFILIATED INVESTMENT | ||||||||||||
COMPANIES (G) - 100.0% | ||||||||||||
Equity - 40.2% | ||||||||||||
Strategic Equity Allocation, | ||||||||||||
Series NAV (JHAM) (A)(1) | 8,106,946 | $ | 132,386,429 | 40.2 | % | |||||||
Fixed income - 59.8% | ||||||||||||
Bond, Series NAV (JHAM) (A)(1) | 14,104,698 | 197,042,628 | 59.8 | % | ||||||||
TOTAL AFFILIATED INVESTMENT | ||||||||||||
COMPANIES (Cost $327,433,330) | $ | 329,429,057 | ||||||||||
Total Investments (Lifestyle Moderate PS Series) | ||||||||||||
(Cost $327,433,330) - 100.0% | $ | 329,429,057 | 100.0 | % | ||||||||
Other assets and liabilities, net - 0.0% | (32,730 | ) | 0.0 | % | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 329,396,327 | 100.0 | % |
Mid Cap Index Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 96.5% | ||||||||||||
Consumer discretionary - 11.4% | ||||||||||||
Domino’s Pizza, Inc. | 29,480 | $ | 3,873,082 | 0.4 | % | |||||||
NVR, Inc. (I) | 2,153 | 3,833,072 | 0.4 | % | ||||||||
OTHER SECURITIES | 94,173,053 | 10.6 | % | |||||||||
101,879,207 | ||||||||||||
Consumer staples - 4.5% | ||||||||||||
Ingredion, Inc. | 42,315 | 5,475,984 | 0.6 | % | ||||||||
The WhiteWave Foods Company (I) | 103,996 | 4,881,572 | 0.6 | % | ||||||||
OTHER SECURITIES | 29,764,662 | 3.3 | % | |||||||||
40,122,218 | ||||||||||||
Energy - 3.5% | 31,227,662 | 3.5 | % | |||||||||
Financials - 26.1% | ||||||||||||
Alexandria Real Estate Equities, Inc. | 43,426 | 4,495,460 | 0.5 | % | ||||||||
Alleghany Corp. (I) | 9,075 | 4,987,439 | 0.6 | % | ||||||||
American | ||||||||||||
Campus Communities, Inc. | 76,678 | 4,053,966 | 0.5 | % | ||||||||
Camden Property Trust | 51,142 | 4,521,976 | 0.5 | % |
The accompanying notes are an integral part of the financial statements. | 35 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Mid Cap Index Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Financials (continued) | ||||||||||||
Duke Realty Corp. | 203,357 | $ | 5,421,498 | 0.6 | % | |||||||
Everest Re Group, Ltd. | 24,890 | 4,546,656 | 0.5 | % | ||||||||
FactSet Research Systems, Inc. | 24,032 | 3,879,245 | 0.4 | % | ||||||||
Mid-America | ||||||||||||
Apartment Communities, Inc. | 44,388 | 4,722,883 | 0.5 | % | ||||||||
MSCI, Inc. | 50,998 | 3,932,966 | 0.4 | % | ||||||||
National Retail Properties, Inc. | 84,663 | 4,378,770 | 0.5 | % | ||||||||
New York | ||||||||||||
Community Bancorp, Inc. (L) | 286,288 | 4,291,457 | 0.5 | % | ||||||||
Raymond James Financial, Inc. | 74,043 | 3,650,320 | 0.4 | % | ||||||||
Regency Centers Corp. | 57,378 | 4,804,260 | 0.5 | % | ||||||||
Reinsurance Group of America, Inc. | 37,658 | 3,652,449 | 0.4 | % | ||||||||
SEI Investments Company | 79,987 | 3,848,175 | 0.4 | % | ||||||||
Signature Bank (I) | 31,555 | 3,941,851 | 0.5 | % | ||||||||
OTHER SECURITIES | 163,652,652 | 18.4 | % | |||||||||
232,782,023 | ||||||||||||
Health care - 8.8% | ||||||||||||
IDEXX Laboratories, Inc. (I) | 52,630 | 4,887,222 | 0.5 | % | ||||||||
MEDNAX, Inc. (I) | 54,684 | 3,960,762 | 0.4 | % | ||||||||
Mettler-Toledo International, Inc. (I) | 15,731 | 5,740,557 | 0.6 | % | ||||||||
ResMed, Inc. | 82,538 | 5,218,878 | 0.6 | % | ||||||||
Teleflex, Inc. | 25,627 | 4,543,923 | 0.5 | % | ||||||||
The Cooper Companies, Inc. | 28,479 | 4,886,142 | 0.5 | % | ||||||||
OTHER SECURITIES | 48,899,632 | 5.7 | % | |||||||||
78,137,116 | ||||||||||||
Industrials - 13.0% | ||||||||||||
AO Smith Corp. | 43,752 | 3,854,989 | 0.4 | % | ||||||||
Carlisle Companies, Inc. | 37,735 | 3,987,835 | 0.5 | % | ||||||||
Huntington Ingalls Industries, Inc. | 27,641 | 4,644,517 | 0.5 | % | ||||||||
IDEX Corp. | 44,619 | 3,663,220 | 0.4 | % | ||||||||
Wabtec Corp. | 52,976 | 3,720,504 | 0.4 | % | ||||||||
OTHER SECURITIES | 96,089,239 | 10.8 | % | |||||||||
115,960,304 | ||||||||||||
Information technology - 16.2% | ||||||||||||
ANSYS, Inc. (I) | 51,756 | 4,696,857 | 0.5 | % | ||||||||
Broadridge Financial Solutions, Inc. | 69,495 | 4,531,074 | 0.5 | % | ||||||||
Cadence Design Systems, Inc. (I) | 176,863 | 4,297,771 | 0.5 | % | ||||||||
CDK Global, Inc. | 91,315 | 5,067,069 | 0.6 | % | ||||||||
Computer Sciences Corp. | 81,521 | 4,047,518 | 0.5 | % | ||||||||
Gartner, Inc. (I) | 48,499 | 4,724,288 | 0.5 | % | ||||||||
Jack Henry & Associates, Inc. | 46,375 | 4,047,146 | 0.5 | % | ||||||||
Synopsys, Inc. (I) | 89,253 | 4,826,802 | 0.5 | % | ||||||||
Trimble Navigation, Ltd. (I) | 147,593 | 3,595,365 | 0.4 | % | ||||||||
OTHER SECURITIES | 105,055,939 | 11.7 | % | |||||||||
144,889,829 | ||||||||||||
Materials - 6.9% | ||||||||||||
Ashland, Inc. | 36,482 | 4,187,039 | 0.5 | % | ||||||||
Packaging Corp. of America | 55,323 | 3,702,768 | 0.4 | % | ||||||||
RPM International, Inc. | 78,093 | 3,900,745 | 0.4 | % | ||||||||
The Valspar Corp. | 42,868 | 4,631,030 | 0.5 | % | ||||||||
OTHER SECURITIES | 45,069,656 | 5.1 | % | |||||||||
61,491,238 | ||||||||||||
Telecommunication services - 0.2% | 1,651,054 | 0.2 | % | |||||||||
Utilities - 5.9% | ||||||||||||
Aqua America, Inc. | 104,205 | 3,715,950 | 0.4 | % | ||||||||
Atmos Energy Corp. | 60,096 | 4,887,007 | 0.6 | % | ||||||||
OGE Energy Corp. | 117,394 | 3,844,654 | 0.4 | % | ||||||||
UGI Corp. | 101,508 | 4,593,237 | 0.5 | % | ||||||||
Westar Energy, Inc. | 83,289 | 4,671,680 | 0.5 | % |
Mid Cap Index Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Utilities (continued) | ||||||||||||
OTHER SECURITIES | $ | 30,499,921 | 3.5 | % | ||||||||
52,212,449 | ||||||||||||
TOTAL COMMON STOCKS (Cost $655,606,275) | $ | 860,353,100 | ||||||||||
Rights 0.0% | 618 | 0.0 | % | |||||||||
TOTAL RIGHTS (Cost $8,929) | $ | 618 | ||||||||||
SECURITIES LENDING COLLATERAL - 4.2% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 3,696,349 | 36,989,361 | 4.2 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $36,990,129) | $ | 36,989,361 | ||||||||||
SHORT-TERM INVESTMENTS - 3.0% | ||||||||||||
Repurchase agreement - 3.0% | ||||||||||||
Repurchase Agreement with State | ||||||||||||
Street Corp. dated 06/30/2016 at | ||||||||||||
0.030% to be repurchased at | ||||||||||||
$26,750,022 on 07/01/2016, | ||||||||||||
collateralized by $23,755,000 | ||||||||||||
U.S. Treasury Bonds, 3.000% due | ||||||||||||
11/15/2045 (valued at | ||||||||||||
$27,288,556, including interest) | $ | 26,750,000 | $ | 26,750,000 | 3.0 | % | ||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $26,750,000) | $ | 26,750,000 | ||||||||||
Total Investments (Mid Cap Index Trust) | ||||||||||||
(Cost $719,355,333) - 103.7% | $ | 924,093,079 | 103.7 | % | ||||||||
Other assets and liabilities, net - (3.7%) | (32,679,620 | ) | (3.7 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 891,413,459 | 100.0 | % |
Mid Cap Stock Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 87.5% | ||||||||||||
Consumer discretionary - 20.2% | ||||||||||||
Advance Auto Parts, Inc. | 42,611 | $ | 6,887,216 | 1.0 | % | |||||||
Chipotle Mexican Grill, Inc. (I) | 24,508 | 9,870,842 | 1.4 | % | ||||||||
Dick’s Sporting Goods, Inc. | 265,157 | 11,947,974 | 1.7 | % | ||||||||
Expedia, Inc. | 195,930 | 20,827,359 | 2.9 | % | ||||||||
Harman International Industries, Inc. | 136,098 | 9,774,558 | 1.4 | % | ||||||||
Hilton Worldwide Holdings, Inc. | 326,515 | 7,356,383 | 1.0 | % | ||||||||
Kate Spade & Company (I) | 386,798 | 7,971,907 | 1.1 | % | ||||||||
Panera Bread Company, Class A (I) | 85,460 | 18,112,392 | 2.6 | % | ||||||||
Samsonite International SA | 3,374,980 | 9,344,851 | 1.3 | % | ||||||||
Under Armour, Inc., Class A (I)(L) | 189,310 | 7,597,010 | 1.1 | % | ||||||||
Under Armour, Inc., Class C (I) | 73,700 | 2,682,680 | 0.4 | % | ||||||||
Wayfair, Inc., Class A (I)(L) | 394,743 | 15,394,977 | 2.2 | % | ||||||||
Wyndham Worldwide Corp. | 124,501 | 8,868,206 | 1.2 | % | ||||||||
OTHER SECURITIES | 6,755,158 | 0.9 | % | |||||||||
143,391,513 | ||||||||||||
Consumer staples - 5.6% | ||||||||||||
Molson Coors Brewing | ||||||||||||
Company, Class B | 92,480 | 9,352,502 | 1.3 | % | ||||||||
Monster Beverage Corp. (I) | 152,711 | 24,542,185 | 3.4 | % |
The accompanying notes are an integral part of the financial statements. | 36 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Mid Cap Stock Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Consumer staples (continued) | ||||||||||||
OTHER SECURITIES | $ | 6,142,964 | 0.9 | % | ||||||||
40,037,651 | ||||||||||||
Energy - 3.8% | 26,817,123 | 3.8 | % | |||||||||
Financials - 5.2% | ||||||||||||
Equinix, Inc. | 38,361 | 14,873,711 | 2.1 | % | ||||||||
S&P Global, Inc. | 108,038 | 11,588,156 | 1.6 | % | ||||||||
WeWork | ||||||||||||
Companies, Inc., Class A (I)(R) | 18,198 | 913,399 | 0.1 | % | ||||||||
OTHER SECURITIES | 9,319,232 | 1.4 | % | |||||||||
36,694,498 | ||||||||||||
Health care - 19.6% | ||||||||||||
Align Technology, Inc. (I) | 125,490 | 10,108,220 | 1.4 | % | ||||||||
Allergan PLC (I) | 36,257 | 8,378,630 | 1.2 | % | ||||||||
athenahealth, Inc. (I)(L) | 86,548 | 11,944,489 | 1.7 | % | ||||||||
Becton, Dickinson and Company | 63,945 | 10,844,433 | 1.5 | % | ||||||||
Cerner Corp. (I) | 183,966 | 10,780,408 | 1.5 | % | ||||||||
DexCom, Inc. (I) | 175,391 | 13,913,768 | 2.0 | % | ||||||||
Hologic, Inc. (I) | 361,179 | 12,496,793 | 1.8 | % | ||||||||
Incyte Corp. (I)(L) | 109,250 | 8,737,815 | 1.2 | % | ||||||||
Insulet Corp. (I) | 267,034 | 8,075,108 | 1.1 | % | ||||||||
Ono Pharmaceutical Company, Ltd. | 157,950 | 6,880,471 | 1.0 | % | ||||||||
Veeva Systems, Inc., Class A (I)(L) | 361,315 | 12,328,068 | 1.8 | % | ||||||||
OTHER SECURITIES | 24,319,958 | 3.4 | % | |||||||||
138,808,161 | ||||||||||||
Industrials - 9.4% | ||||||||||||
AerCap Holdings NV (I) | 230,267 | 7,734,669 | 1.1 | % | ||||||||
Fastenal Company (L) | 169,920 | 7,542,749 | 1.0 | % | ||||||||
Fortune Brands Home | ||||||||||||
& Security, Inc. | 170,860 | 9,904,754 | 1.4 | % | ||||||||
Landstar System, Inc. | 103,333 | 7,094,844 | 1.0 | % | ||||||||
Pentair PLC | 121,635 | 7,090,104 | 1.0 | % | ||||||||
Stericycle, Inc. (I) | 72,824 | 7,582,435 | 1.1 | % | ||||||||
The Middleby Corp. (I) | 112,553 | 12,971,733 | 1.8 | % | ||||||||
TransUnion (I) | 211,822 | 7,083,328 | 1.0 | % | ||||||||
67,004,616 | ||||||||||||
Information technology - 22.7% | ||||||||||||
Applied Materials, Inc. | 404,980 | 9,707,371 | 1.4 | % | ||||||||
Arista Networks, Inc. (I)(L) | 137,214 | 8,833,837 | 1.2 | % | ||||||||
Atlassian Corp. PLC, Class A (I)(L) | 319,600 | 8,277,640 | 1.2 | % | ||||||||
CoStar Group, Inc. (I) | 80,340 | 17,567,144 | 2.5 | % | ||||||||
GoDaddy, Inc., Class A (I)(L) | 284,926 | 8,886,842 | 1.3 | % | ||||||||
Guidewire Software, Inc. (I) | 157,992 | 9,757,586 | 1.4 | % | ||||||||
Mobileye NV (I)(L) | 372,003 | 17,164,218 | 2.4 | % | ||||||||
ServiceNow, Inc. (I) | 208,015 | 13,812,196 | 1.9 | % | ||||||||
SS&C Technologies Holdings, Inc. | 421,820 | 11,844,706 | 1.7 | % | ||||||||
The Ultimate | ||||||||||||
Software Group, Inc. (I) | 53,966 | 11,348,510 | 1.6 | % | ||||||||
Workday, Inc., Class A (I) | 251,756 | 18,798,621 | 2.6 | % | ||||||||
Zillow Group, Inc., Class A (I)(L) | 34,542 | 1,265,964 | 0.2 | % | ||||||||
Zillow Group, Inc., Class C (I)(L) | 271,804 | 9,861,049 | 1.4 | % | ||||||||
OTHER SECURITIES | 13,758,377 | 1.9 | % | |||||||||
160,884,061 | ||||||||||||
Materials - 1.0% | ||||||||||||
Platform Specialty | ||||||||||||
Products Corp. (I)(L) | 807,386 | 7,169,590 | 1.0 | % | ||||||||
TOTAL COMMON STOCKS (Cost $588,407,471) | $ | 620,807,213 |
Mid Cap Stock Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
PREFERRED SECURITIES - 10.0% | ||||||||||||
Consumer discretionary - 0.5% | $ | 3,590,783 | 0.5 | % | ||||||||
Financials - 1.9% | ||||||||||||
WeWork | ||||||||||||
Companies, Inc., Series D1 (I)(R) | 90,446 | 4,539,688 | 0.6 | % | ||||||||
WeWork | ||||||||||||
Companies, Inc., Series D2 (I)(R) | 71,065 | 3,566,912 | 0.5 | % | ||||||||
OTHER SECURITIES | 5,202,594 | 0.8 | % | |||||||||
13,309,194 | ||||||||||||
Industrials - 0.5% | 3,766,198 | 0.5 | % | |||||||||
Information technology - 7.1% | ||||||||||||
Uber Technologies, Inc. (I)(R) | 584,504 | 28,507,546 | 4.0 | % | ||||||||
OTHER SECURITIES | 21,610,243 | 3.1 | % | |||||||||
50,117,789 | ||||||||||||
TOTAL PREFERRED | ||||||||||||
SECURITIES (Cost $49,235,589) | $ | 70,783,964 | ||||||||||
CORPORATE BONDS - 0.1% | ||||||||||||
Information technology - 0.1% | $ | 396,255 | 0.1 | % | ||||||||
TOTAL CORPORATE BONDS (Cost $396,255) | $ | 396,255 | ||||||||||
SECURITIES LENDING COLLATERAL - 13.7% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 9,698,354 | 97,051,427 | 13.7 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $97,052,624) | $ | 97,051,427 | ||||||||||
SHORT-TERM INVESTMENTS - 0.8% | ||||||||||||
Repurchase agreement - 0.8% | $ | 5,900,000 | 0.8 | % | ||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $5,900,000) | $ | 5,900,000 | ||||||||||
Total Investments (Mid Cap Stock Trust) | ||||||||||||
(Cost $740,991,939) - 112.1% | $ | 794,938,859 | 112.1 | % | ||||||||
Other assets and liabilities, net - (12.1%) | (86,102,840 | ) | (12.1 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 708,836,019 | 100.0 | % |
Mid Value Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 94.0% | ||||||||||||
Consumer discretionary - 11.6% | ||||||||||||
Mattel, Inc. | 292,900 | $ | 9,164,841 | 1.2 | % | |||||||
News Corp., Class A | 1,048,700 | 11,902,745 | 1.6 | % | ||||||||
Pearson PLC | 481,246 | 6,260,099 | 0.8 | % | ||||||||
The Gap, Inc. (L) | 445,700 | 9,457,754 | 1.2 | % | ||||||||
Tribune Media Company, Class A | 344,100 | 13,481,838 | 1.8 | % | ||||||||
Viacom, Inc., Class B | 265,900 | 11,026,873 | 1.4 | % | ||||||||
OTHER SECURITIES | 27,103,527 | 3.6 | % | |||||||||
88,397,677 | ||||||||||||
Consumer staples - 7.9% | ||||||||||||
Archer-Daniels-Midland Company | 189,900 | 8,144,811 | 1.1 | % | ||||||||
Bunge, Ltd. | 289,700 | 17,135,755 | 2.2 | % | ||||||||
Carlsberg A/S, Class B | 72,601 | 6,926,712 | 0.9 | % | ||||||||
Sysco Corp. | 180,800 | 9,173,792 | 1.2 | % | ||||||||
OTHER SECURITIES | 18,699,183 | 2.5 | % | |||||||||
60,080,253 |
The accompanying notes are an integral part of the financial statements. | 37 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Mid Value Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Energy - 11.4% | ||||||||||||
Apache Corp. | 157,700 | $ | 8,779,159 | 1.1 | % | |||||||
Cameco Corp. (I) | 562,100 | 6,166,237 | 0.8 | % | ||||||||
Canadian Natural Resources, Ltd. | 438,100 | 13,506,623 | 1.8 | % | ||||||||
CONSOL Energy, Inc. (L) | 465,300 | 7,486,677 | 1.0 | % | ||||||||
Devon Energy Corp. | 329,500 | 11,944,375 | 1.6 | % | ||||||||
Hess Corp. | 252,200 | 15,157,220 | 2.0 | % | ||||||||
Murphy Oil Corp. | 488,300 | 15,503,525 | 2.0 | % | ||||||||
OTHER SECURITIES | 8,869,348 | 1.1 | % | |||||||||
87,413,164 | ||||||||||||
Financials - 28.4% | ||||||||||||
CNA Financial Corp. | 247,900 | 7,789,018 | 1.0 | % | ||||||||
Equity Commonwealth (I) | 210,000 | 6,117,300 | 0.8 | % | ||||||||
Fifth Third Bancorp | 548,600 | 9,649,874 | 1.3 | % | ||||||||
First Horizon National Corp. | 751,049 | 10,349,455 | 1.4 | % | ||||||||
FNF Group | 162,016 | 6,075,600 | 0.8 | % | ||||||||
Lazard, Ltd., Class A | 210,600 | 6,271,668 | 0.8 | % | ||||||||
Leucadia National Corp. | 626,900 | 10,864,177 | 1.4 | % | ||||||||
Loews Corp. | 239,400 | 9,836,946 | 1.3 | % | ||||||||
Marsh & McLennan Companies, Inc. | 214,000 | 14,650,440 | 1.9 | % | ||||||||
Northern Trust Corp. | 219,800 | 14,563,948 | 1.9 | % | ||||||||
Rayonier, Inc. | 451,100 | 11,836,864 | 1.6 | % | ||||||||
Synchrony Financial (I) | 370,800 | 9,373,824 | 1.2 | % | ||||||||
The Macerich Company | 100,400 | 8,573,156 | 1.1 | % | ||||||||
The Progressive Corp. | 297,900 | 9,979,650 | 1.3 | % | ||||||||
Weyerhaeuser Company | 213,236 | 6,348,036 | 0.8 | % | ||||||||
White Mountains | ||||||||||||
Insurance Group, Ltd. | 15,200 | 12,798,400 | 1.7 | % | ||||||||
OTHER SECURITIES | 62,166,706 | 8.1 | % | |||||||||
217,245,062 | ||||||||||||
Health care - 8.4% | ||||||||||||
Alkermes PLC (I) | 222,300 | 9,607,806 | 1.3 | % | ||||||||
Baxter International, Inc. | 195,800 | 8,854,076 | 1.2 | % | ||||||||
Hologic, Inc. (I) | 490,100 | 16,957,460 | 2.2 | % | ||||||||
Select Medical Holdings Corp. (I) | 614,088 | 6,675,137 | 0.9 | % | ||||||||
Zoetis, Inc. | 143,500 | 6,810,510 | 0.9 | % | ||||||||
OTHER SECURITIES | 15,189,033 | 1.9 | % | |||||||||
64,094,022 | ||||||||||||
Industrials - 8.7% | ||||||||||||
C.H. Robinson Worldwide, Inc. | 168,800 | 12,533,400 | 1.6 | % | ||||||||
Cintas Corp. | 73,700 | 7,232,181 | 0.9 | % | ||||||||
Expeditors International | ||||||||||||
of Washington, Inc. | 150,000 | 7,356,000 | 1.0 | % | ||||||||
Textron, Inc. | 398,000 | 14,550,878 | 1.9 | % | ||||||||
Xylem, Inc. | 137,400 | 6,134,910 | 0.8 | % | ||||||||
OTHER SECURITIES | 18,369,917 | 2.5 | % | |||||||||
66,177,286 | ||||||||||||
Information technology - 2.6% | ||||||||||||
Marvell Technology Group, Ltd. | 636,500 | 6,065,845 | 0.8 | % | ||||||||
OTHER SECURITIES | 13,810,311 | 1.8 | % | |||||||||
19,876,156 | ||||||||||||
Materials - 10.4% | ||||||||||||
Franco-Nevada Corp. | 213,200 | 16,211,748 | 2.1 | % | ||||||||
Newmont Mining Corp. | 374,100 | 14,634,792 | 1.9 | % | ||||||||
Vulcan Materials Company | 163,507 | 19,679,703 | 2.6 | % | ||||||||
OTHER SECURITIES | 28,550,463 | 3.8 | % | |||||||||
79,076,706 | ||||||||||||
Telecommunication services - 0.6% | 4,859,376 | 0.6 | % | |||||||||
Utilities - 4.0% | ||||||||||||
FirstEnergy Corp. | 614,451 | 21,450,484 | 2.8 | % |
Mid Value Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Utilities (continued) | ||||||||||||
NRG Energy, Inc. | 630,100 | $ | 9,445,199 | 1.2 | % | |||||||
30,895,683 | ||||||||||||
TOTAL COMMON STOCKS (Cost $630,562,581) | $ | 718,115,385 | ||||||||||
SECURITIES LENDING COLLATERAL - 3.5% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 2,678,963 | 26,808,384 | 3.5 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $26,809,158) | $ | 26,808,384 | ||||||||||
SHORT-TERM INVESTMENTS - 7.7% | ||||||||||||
Money market funds - 7.7% | ||||||||||||
T. Rowe Price Prime Reserve | ||||||||||||
Fund, 0.3204% (Y) | 55,448,607 | $ | 55,448,607 | 7.3 | % | |||||||
OTHER SECURITIES | 3,000,000 | 0.4 | % | |||||||||
58,448,607 | ||||||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $58,448,607) | $ | 58,448,607 | ||||||||||
Total Investments (Mid Value Trust) | ||||||||||||
(Cost $715,820,346) - 105.2% | $ | 803,372,376 | 105.2 | % | ||||||||
Other assets and liabilities, net - (5.2%) | (39,373,044 | ) | (5.2 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 763,999,332 | 100.0 | % |
Mutual Shares Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 86.7% | ||||||||||||
Consumer discretionary - 8.4% | ||||||||||||
CBS Corp., Class B | 115,537 | $ | 6,289,834 | 1.2 | % | |||||||
Charter | ||||||||||||
Communications, Inc., Class A (I) | 30,817 | 7,046,000 | 1.4 | % | ||||||||
General Motors Company | 213,680 | 6,047,144 | 1.2 | % | ||||||||
RELX PLC | 348,213 | 6,412,140 | 1.2 | % | ||||||||
Twenty-First Century | ||||||||||||
Fox, Inc., Class B | 205,980 | 5,612,955 | 1.1 | % | ||||||||
OTHER SECURITIES | 11,797,691 | 2.3 | % | |||||||||
43,205,764 | ||||||||||||
Consumer staples - 12.1% | ||||||||||||
Altria Group, Inc. | 102,682 | 7,080,951 | 1.4 | % | ||||||||
British American Tobacco PLC | 158,019 | 10,244,215 | 2.0 | % | ||||||||
CVS Health Corp. | 53,043 | 5,078,337 | 1.0 | % | ||||||||
Imperial Brands PLC | 132,160 | 7,167,395 | 1.4 | % | ||||||||
PepsiCo, Inc. | 56,826 | 6,020,146 | 1.2 | % | ||||||||
Reynolds American, Inc. | 113,656 | 6,129,468 | 1.2 | % | ||||||||
The Kroger Company | 166,470 | 6,124,431 | 1.2 | % | ||||||||
Walgreens Boots Alliance, Inc. | 81,194 | 6,761,024 | 1.3 | % | ||||||||
OTHER SECURITIES | 7,955,780 | 1.4 | % | |||||||||
62,561,747 | ||||||||||||
Energy - 7.7% | ||||||||||||
Baker Hughes, Inc. | 106,327 | 4,798,538 | 0.9 | % | ||||||||
Kinder Morgan, Inc. | 328,560 | 6,150,643 | 1.2 | % | ||||||||
Marathon Oil Corp. | 382,974 | 5,748,440 | 1.1 | % | ||||||||
Royal Dutch Shell PLC, A Shares | 230,394 | 6,319,798 | 1.2 | % | ||||||||
Royal Dutch Shell PLC, A Shares | 130,520 | 3,584,750 | 0.7 | % |
The accompanying notes are an integral part of the financial statements. | 38 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Mutual Shares Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Energy (continued) | ||||||||||||
OTHER SECURITIES | $ | 12,831,026 | 2.6 | % | ||||||||
39,433,195 | ||||||||||||
Financials - 21.4% | ||||||||||||
Alexander’s, Inc. | 11,422 | 4,674,225 | 0.9 | % | ||||||||
Alleghany Corp. (I) | 13,144 | 7,223,680 | 1.4 | % | ||||||||
American International Group, Inc. | 178,475 | 9,439,543 | 1.8 | % | ||||||||
Chubb, Ltd. | 61,570 | 8,047,815 | 1.6 | % | ||||||||
Citigroup, Inc. | 116,725 | 4,947,973 | 0.9 | % | ||||||||
Citizens Financial Group, Inc. | 241,957 | 4,834,301 | 0.9 | % | ||||||||
JPMorgan Chase & Co. | 125,530 | 7,800,434 | 1.5 | % | ||||||||
MetLife, Inc. | 128,400 | 5,114,172 | 1.0 | % | ||||||||
The Allstate Corp. | 74,491 | 5,210,645 | 1.0 | % | ||||||||
The PNC Financial | ||||||||||||
Services Group, Inc. | 119,714 | 9,743,522 | 1.9 | % | ||||||||
Wells Fargo & Company | 91,640 | 4,337,321 | 0.8 | % | ||||||||
White Mountains | ||||||||||||
Insurance Group, Ltd. | 15,693 | 13,213,506 | 2.6 | % | ||||||||
XL Group PLC | 216,370 | 7,207,285 | 1.4 | % | ||||||||
OTHER SECURITIES | 18,788,589 | 3.7 | % | |||||||||
110,583,011 | ||||||||||||
Health care - 13.3% | ||||||||||||
Eli Lilly & Company | 138,668 | 10,920,105 | 2.1 | % | ||||||||
Medtronic PLC | 199,199 | 17,284,497 | 3.4 | % | ||||||||
Merck & Company, Inc. | 287,480 | 16,561,723 | 3.2 | % | ||||||||
Novartis AG, ADR | 107,183 | 8,843,669 | 1.7 | % | ||||||||
Stryker Corp. | 62,452 | 7,483,623 | 1.5 | % | ||||||||
Teva Pharmaceutical | ||||||||||||
Industries, Ltd., ADR | 103,335 | 5,190,517 | 1.0 | % | ||||||||
OTHER SECURITIES | 2,228,434 | 0.4 | % | |||||||||
68,512,568 | ||||||||||||
Industrials - 4.0% | ||||||||||||
Caterpillar, Inc. | 79,073 | 5,994,524 | 1.2 | % | ||||||||
OTHER SECURITIES | 14,759,125 | 2.8 | % | |||||||||
20,753,649 | ||||||||||||
Information technology - 13.6% | ||||||||||||
CA, Inc. | 190,881 | 6,266,623 | 1.2 | % | ||||||||
Cisco Systems, Inc. | 282,440 | 8,103,204 | 1.6 | % | ||||||||
EMC Corp. | 229,300 | 6,230,081 | 1.2 | % | ||||||||
Microsoft Corp. | 338,508 | 17,321,454 | 3.4 | % | ||||||||
Nokia OYJ | 456,423 | 2,599,530 | 0.5 | % | ||||||||
Nokia OYJ, ADR (L) | 441,401 | 2,511,572 | 0.5 | % | ||||||||
Samsung Electronics Company, Ltd. | 5,080 | 6,326,384 | 1.2 | % | ||||||||
Symantec Corp. | 437,087 | 8,977,767 | 1.8 | % | ||||||||
OTHER SECURITIES | 11,840,762 | 2.2 | % | |||||||||
70,177,377 | ||||||||||||
Materials - 3.8% | ||||||||||||
International Paper Company | 142,534 | 6,040,591 | 1.2 | % | ||||||||
OTHER SECURITIES | 13,569,677 | 2.6 | % | |||||||||
19,610,268 | ||||||||||||
Telecommunication services - 1.9% | ||||||||||||
Vodafone Group PLC | 2,027,826 | 6,182,551 | 1.2 | % | ||||||||
OTHER SECURITIES | 3,810,523 | 0.7 | % | |||||||||
9,993,074 | ||||||||||||
Utilities - 0.5% | 2,363,833 | 0.5 | % | |||||||||
TOTAL COMMON STOCKS (Cost $383,499,730) | $ | 447,194,486 |
Mutual Shares Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
CORPORATE BONDS - 2.2% | ||||||||||||
Consumer discretionary - 0.6% | ||||||||||||
iHeartCommunications, Inc. | ||||||||||||
9.000%, 12/15/2019 | $ | 3,977,000 | $ | 3,022,520 | 0.6 | % | ||||||
OTHER SECURITIES | — | 0.0 | % | |||||||||
3,022,520 | ||||||||||||
Energy - 0.0% | 40,960 | 0.0 | % | |||||||||
Health care - 0.5% | 2,513,905 | 0.5 | % | |||||||||
Information technology - 0.8% | ||||||||||||
Avaya, Inc. | ||||||||||||
7.000%, 04/01/2019 (S) | 1,707,000 | 1,216,238 | 0.2 | % | ||||||||
Avaya, Inc. | ||||||||||||
10.500%, 03/01/2021 (S) | 5,580,000 | 1,227,600 | 0.2 | % | ||||||||
OTHER SECURITIES | 1,950,610 | 0.4 | % | |||||||||
4,394,448 | ||||||||||||
Materials - 0.0% | 68 | 0.0 | % | |||||||||
Utilities - 0.3% | 1,403,520 | 0.3 | % | |||||||||
TOTAL CORPORATE BONDS (Cost $20,291,812) | $ | 11,375,421 | ||||||||||
TERM LOANS (M) - 3.2% | ||||||||||||
Consumer discretionary - 2.2% | ||||||||||||
iHeartCommunications, Inc. | ||||||||||||
7.210%, 01/30/2019 | 4,025,467 | 2,936,912 | 0.6 | % | ||||||||
iHeartCommunications, Inc. | ||||||||||||
7.960%, 07/30/2019 | 1,293,886 | 946,154 | 0.2 | % | ||||||||
OTHER SECURITIES | 7,814,398 | 1.4 | % | |||||||||
11,697,464 | ||||||||||||
Energy - 0.0% | 6,578 | 0.0 | % | |||||||||
Information technology - 0.5% | ||||||||||||
Avaya, Inc. | ||||||||||||
5.134%, 10/26/2017 | 1,677,110 | 1,283,828 | 0.3 | % | ||||||||
Avaya, Inc. | ||||||||||||
6.250%, 05/29/2020 | 815,987 | 572,551 | 0.1 | % | ||||||||
Avaya, Inc. | ||||||||||||
6.500%, 03/30/2018 | 866,419 | 631,403 | 0.1 | % | ||||||||
2,487,782 | ||||||||||||
Utilities - 0.5% | 2,477,858 | 0.5 | % | |||||||||
TOTAL TERM LOANS (Cost $23,191,792) | $ | 16,669,682 | ||||||||||
Municipal bonds 0.4% | 1,752,908 | 0.4 | % | |||||||||
TOTAL MUNICIPAL BONDS (Cost $2,314,731) | $ | 1,752,908 | ||||||||||
SECURITIES LENDING COLLATERAL - 0.9% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 475,642 | 4,759,753 | 0.9 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $4,759,883) | $ | 4,759,753 | ||||||||||
SHORT-TERM INVESTMENTS - 6.8% | ||||||||||||
U.S. Treasury Bills - 4.7% | ||||||||||||
0.082%, 07/21/2016 * | $ | 1,000,000 | $ | 999,899 | 0.2 | % | ||||||
0.190%, 07/07/2016 * | 4,000,000 | 3,999,936 | 0.8 | % | ||||||||
0.241%, 07/14/2016 * | 2,000,000 | 1,999,908 | 0.4 | % | ||||||||
0.260%, 09/08/2016 * | 2,000,000 | 1,999,228 | 0.4 | % | ||||||||
0.271%, 09/15/2016 * | 1,000,000 | 999,543 | 0.2 | % | ||||||||
0.271%, 09/22/2016 * | 1,000,000 | 999,444 | 0.2 | % | ||||||||
0.325%, 09/01/2016 * | 1,000,000 | 999,581 | 0.2 | % | ||||||||
0.345%, 08/25/2016 * | 2,000,000 | 1,999,310 | 0.4 | % | ||||||||
0.399%, 11/17/2016 * | 5,000,000 | 4,995,080 | 0.9 | % | ||||||||
0.420%, 12/08/2016 * | 2,000,000 | 1,997,408 | 0.4 | % |
The accompanying notes are an integral part of the financial statements. | 39 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Mutual Shares Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
SHORT-TERM INVESTMENTS (continued) | ||||||||||||
U.S. Treasury Bills (continued) | ||||||||||||
0.465%, 11/25/2016 * | $ | 2,000,000 | $ | 1,997,888 | 0.4 | % | ||||||
0.465%, 12/01/2016 * | 1,000,000 | 998,770 | 0.2 | % | ||||||||
23,985,995 | ||||||||||||
Federal Home Loan Bank Discount Notes - 2.1% | ||||||||||||
0.182%, 07/01/2016* | 11,000,000 | 11,000,000 | 2.1 | % | ||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $34,978,527) | $ | 34,985,995 | ||||||||||
Total Investments (Mutual Shares Trust) | ||||||||||||
(Cost $469,036,475) - 100.2% | $ | 516,738,245 | 100.2 | % | ||||||||
Other assets and liabilities, net - (0.2%) | (857,686 | ) | (0.2 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 515,880,559 | 100.0 | % |
Real Estate Securities Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 98.0% | ||||||||||||
Financials - 98.0% | ||||||||||||
Real estate investment trusts - 98.0% | ||||||||||||
Diversified REITs - 7.5% | ||||||||||||
Spirit Realty Capital, Inc. | 772,902 | $ | 9,869,958 | 2.2 | % | |||||||
STORE Capital Corp. | 339,588 | 10,000,867 | 2.2 | % | ||||||||
VEREIT, Inc. | 642,638 | 6,516,349 | 1.5 | % | ||||||||
Washington Real | ||||||||||||
Estate Investment Trust | 226,910 | 7,138,589 | 1.6 | % | ||||||||
OTHER SECURITIES | 11,643 | 0.0 | % | |||||||||
33,537,406 | ||||||||||||
Health care REITs - 10.9% | ||||||||||||
Healthcare Trust of | ||||||||||||
America, Inc., Class A | 234,243 | 7,575,419 | 1.7 | % | ||||||||
National Health Investors, Inc. | 35,240 | 2,646,172 | 0.6 | % | ||||||||
Senior Housing Properties Trust | 302,912 | 6,309,657 | 1.4 | % | ||||||||
Ventas, Inc. | 242,733 | 17,675,817 | 4.0 | % | ||||||||
Welltower, Inc. | 189,479 | 14,432,615 | 3.2 | % | ||||||||
48,639,680 | ||||||||||||
Hotel and resort REITs - 3.5% | ||||||||||||
LaSalle Hotel Properties | 136,713 | 3,223,693 | 0.7 | % | ||||||||
Pebblebrook Hotel Trust | 113,794 | 2,987,093 | 0.7 | % | ||||||||
RLJ Lodging Trust | 141,514 | 3,035,475 | 0.7 | % | ||||||||
Sunstone Hotel Investors, Inc. | 495,607 | 5,981,976 | 1.4 | % | ||||||||
OTHER SECURITIES | 124,457 | 0.0 | % | |||||||||
15,352,694 | ||||||||||||
Industrial REITs - 8.0% | ||||||||||||
Duke Realty Corp. | 430,223 | 11,469,744 | 2.6 | % | ||||||||
Prologis, Inc. | 360,878 | 17,697,457 | 3.9 | % | ||||||||
Rexford Industrial Realty, Inc. | 315,869 | 6,661,677 | 1.5 | % | ||||||||
35,828,878 | ||||||||||||
Office REITs - 10.9% | ||||||||||||
Boston Properties, Inc. | 73,865 | 9,742,794 | 2.2 | % | ||||||||
Douglas Emmett, Inc. | 219,214 | 7,786,481 | 1.7 | % | ||||||||
Equity Commonwealth (I) | 215,835 | 6,287,274 | 1.4 | % | ||||||||
Hudson Pacific Properties, Inc. | 202,485 | 5,908,512 | 1.3 | % | ||||||||
Paramount Group, Inc. | 395,657 | 6,306,773 | 1.4 | % |
Real Estate Securities Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Office REITs (continued) | ||||||||||||
Vornado Realty Trust | 126,804 | $ | 12,695,616 | 2.9 | % | |||||||
48,727,450 | ||||||||||||
Residential REITs - 14.4% | ||||||||||||
American | ||||||||||||
Campus Communities, Inc. | 100,505 | 5,313,699 | 1.2 | % | ||||||||
AvalonBay Communities, Inc. | 39,758 | 7,171,946 | 1.6 | % | ||||||||
Camden Property Trust | 77,870 | 6,885,265 | 1.6 | % | ||||||||
Equity LifeStyle Properties, Inc. | 80,339 | 6,431,137 | 1.4 | % | ||||||||
Equity Residential | 440,188 | 30,320,149 | 6.8 | % | ||||||||
Mid-America | ||||||||||||
Apartment Communities, Inc. | 61,855 | 6,581,372 | 1.5 | % | ||||||||
OTHER SECURITIES | 1,382,053 | 0.3 | % | |||||||||
64,085,621 | ||||||||||||
Retail REITs - 25.0% | ||||||||||||
Agree Realty Corp. | 130,790 | 6,309,310 | 1.4 | % | ||||||||
DDR Corp. | 433,824 | 7,869,567 | 1.8 | % | ||||||||
Equity One, Inc. | 211,678 | 6,811,798 | 1.5 | % | ||||||||
Federal Realty Investment Trust | 28,048 | 4,643,346 | 1.0 | % | ||||||||
General Growth Properties, Inc. | 364,860 | 10,880,125 | 2.4 | % | ||||||||
National Retail Properties, Inc. | 134,487 | 6,955,668 | 1.6 | % | ||||||||
Regency Centers Corp. | 81,177 | 6,796,950 | 1.5 | % | ||||||||
Retail Properties of | ||||||||||||
America, Inc., Class A | 255,298 | 4,314,536 | 1.0 | % | ||||||||
Simon Property Group, Inc. | 185,985 | 40,340,147 | 9.0 | % | ||||||||
The Macerich Company | 86,574 | 7,392,554 | 1.7 | % | ||||||||
Urban Edge Properties | 270,960 | 8,090,866 | 1.8 | % | ||||||||
OTHER SECURITIES | 1,236,024 | 0.3 | % | |||||||||
111,640,891 | ||||||||||||
Specialized REITs - 17.8% | ||||||||||||
CoreSite Realty Corp. | 52,054 | 4,616,669 | 1.0 | % | ||||||||
Crown Castle International Corp. | 47,073 | 4,774,614 | 1.1 | % | ||||||||
CubeSmart | 128,287 | 3,961,503 | 0.9 | % | ||||||||
Digital Realty Trust, Inc. | 83,551 | 9,106,223 | 2.0 | % | ||||||||
DuPont Fabros Technology, Inc. | 139,281 | 6,621,419 | 1.5 | % | ||||||||
Education Realty Trust, Inc. | 110,184 | 5,083,890 | 1.1 | % | ||||||||
Equinix, Inc. | 36,368 | 14,100,965 | 3.2 | % | ||||||||
Extra Space Storage, Inc. | 129,293 | 11,964,774 | 2.7 | % | ||||||||
Four Corners Property Trust, Inc. | 213,938 | 4,404,983 | 1.0 | % | ||||||||
Public Storage | 50,574 | 12,926,209 | 2.9 | % | ||||||||
OTHER SECURITIES | 1,564,882 | 0.4 | % | |||||||||
79,126,131 | ||||||||||||
436,938,751 | ||||||||||||
TOTAL COMMON STOCKS (Cost $391,833,422) | $ | 436,938,751 |
The accompanying notes are an integral part of the financial statements. | 40 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Real Estate Securities Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
SHORT-TERM INVESTMENTS - 1.3% | ||||||||||||
Repurchase agreement - 1.3% | ||||||||||||
Repurchase Agreement with State | ||||||||||||
Street Corp. dated 06/30/2016 at | ||||||||||||
0.030% to be repurchased at | ||||||||||||
$5,982,005 on 07/01/2016, | ||||||||||||
collateralized by $5,850,000 | ||||||||||||
U.S. Treasury Inflation Indexed | ||||||||||||
Notes, 0.125% due 04/15/2020 | ||||||||||||
(valued at $6,105,938, | ||||||||||||
including interest) | $ | 5,982,000 | $ | 5,982,000 | 1.3 | % | ||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $5,982,000) | $ | 5,982,000 | ||||||||||
Total Investments (Real Estate Securities Trust) | ||||||||||||
(Cost $397,815,422) - 99.3% | $ | 442,920,751 | 99.3 | % | ||||||||
Other assets and liabilities, net - 0.7% | 3,080,196 | 0.7 | % | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 446,000,947 | 100.0 | % |
Science & Technology Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 90.0% | ||||||||||||
Consumer discretionary - 19.7% | ||||||||||||
Amazon.com, Inc. (I) | 52,455 | $ | 37,537,847 | 7.7 | % | |||||||
Comcast Corp., Class A | 89,239 | 5,817,490 | 1.2 | % | ||||||||
Ctrip.com | ||||||||||||
International, Ltd., ADR (I)(L) | 118,800 | 4,894,560 | 1.0 | % | ||||||||
Garmin, Ltd. (L) | 79,272 | 3,362,718 | 0.7 | % | ||||||||
JD.com, Inc., ADR (I)(L) | 473,600 | 10,054,528 | 2.1 | % | ||||||||
Liberty Global PLC, Series C (I) | 261,776 | 7,499,882 | 1.5 | % | ||||||||
News Corp., Class A | 389,200 | 4,417,420 | 0.9 | % | ||||||||
The Priceline Group, Inc. (I) | 8,777 | 10,957,295 | 2.2 | % | ||||||||
Vipshop | ||||||||||||
Holdings, Ltd., ADR (I)(L) | 292,000 | 3,261,640 | 0.7 | % | ||||||||
OTHER SECURITIES | 8,182,161 | 1.7 | % | |||||||||
95,985,541 | ||||||||||||
Financials - 0.7% | ||||||||||||
American Tower Corp. | 27,510 | 3,125,411 | 0.6 | % | ||||||||
OTHER SECURITIES | 265,239 | 0.1 | % | |||||||||
3,390,650 | ||||||||||||
Health care - 2.5% | ||||||||||||
Veeva Systems, Inc., Class A (I) | 193,762 | 6,611,159 | 1.4 | % | ||||||||
OTHER SECURITIES | 5,655,956 | 1.1 | % | |||||||||
12,267,115 | ||||||||||||
Industrials - 0.3% | 1,740,258 | 0.3 | % | |||||||||
Information technology - 64.8% | ||||||||||||
58.com, Inc., ADR (I)(L) | 165,600 | 7,599,384 | 1.6 | % | ||||||||
Adobe Systems, Inc. (I) | 29,918 | 2,865,845 | 0.6 | % | ||||||||
Alibaba Group | ||||||||||||
Holding, Ltd., ADR (I) | 36,040 | 2,866,261 | 0.6 | % | ||||||||
Alphabet, Inc., Class A (I) | 11,702 | 8,232,708 | 1.7 | % | ||||||||
Alphabet, Inc., Class C (I) | 17,630 | 12,201,723 | 2.5 | % | ||||||||
Apple, Inc. | 76,411 | 7,304,892 | 1.5 | % | ||||||||
Applied Materials, Inc. | 265,545 | 6,365,114 | 1.3 | % | ||||||||
Automatic Data Processing, Inc. | 44,843 | 4,119,726 | 0.8 | % | ||||||||
Baidu, Inc., ADR (I) | 21,550 | 3,558,983 | 0.7 | % | ||||||||
Broadcom, Ltd. | 47,873 | 7,439,464 | 1.5 | % |
Science & Technology Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Information technology (continued) | ||||||||||||
Cisco Systems, Inc. | 556,815 | $ | 15,975,022 | 3.3 | % | |||||||
Corning, Inc. | 152,470 | 3,122,586 | 0.6 | % | ||||||||
Criteo SA, ADR (I) | 92,262 | 4,236,671 | 0.9 | % | ||||||||
Electronic Arts, Inc. (I) | 38,936 | 2,949,791 | 0.6 | % | ||||||||
Facebook, Inc., Class A (I) | 128,300 | 14,662,124 | 3.0 | % | ||||||||
Fidelity National | ||||||||||||
Information Services, Inc. | 45,345 | 3,341,020 | 0.7 | % | ||||||||
Hewlett Packard | ||||||||||||
Enterprise Company | 269,500 | 4,923,765 | 1.0 | % | ||||||||
Intuit, Inc. | 46,657 | 5,207,388 | 1.1 | % | ||||||||
Lam Research Corp. | 77,883 | 6,546,845 | 1.3 | % | ||||||||
LinkedIn Corp., Class A (I) | 64,499 | 12,206,436 | 2.5 | % | ||||||||
MasterCard, Inc., Class A | 37,684 | 3,318,453 | 0.7 | % | ||||||||
Microchip Technology, Inc. (L) | 59,580 | 3,024,281 | 0.6 | % | ||||||||
Micron Technology, Inc. (I) | 520,351 | 7,160,030 | 1.5 | % | ||||||||
Microsemi Corp. (I) | 100,400 | 3,281,072 | 0.7 | % | ||||||||
Microsoft Corp. | 505,035 | 25,842,641 | 5.3 | % | ||||||||
Oracle Corp. | 71,534 | 2,927,887 | 0.6 | % | ||||||||
Red Hat, Inc. (I) | 141,500 | 10,272,900 | 2.1 | % | ||||||||
Sabre Corp. | 158,615 | 4,249,296 | 0.9 | % | ||||||||
salesforce.com, Inc. (I) | 142,194 | 11,291,626 | 2.3 | % | ||||||||
SK Hynix, Inc. | 357,565 | 10,175,220 | 2.1 | % | ||||||||
Stratasys, Ltd. (I)(L) | 149,700 | 3,426,636 | 0.7 | % | ||||||||
TE Connectivity, Ltd. | 55,800 | 3,186,738 | 0.7 | % | ||||||||
Tencent Holdings, Ltd. | 563,800 | 12,933,385 | 2.7 | % | ||||||||
Visa, Inc., Class A | 119,485 | 8,862,202 | 1.8 | % | ||||||||
Western Digital Corp. | 73,913 | 3,493,128 | 0.7 | % | ||||||||
Yahoo!, Inc. (I) | 186,900 | 7,019,964 | 1.4 | % | ||||||||
OTHER SECURITIES | 59,485,641 | 12.2 | % | |||||||||
315,676,848 | ||||||||||||
Telecommunication services - 2.0% | ||||||||||||
SoftBank Group Corp. | 127,800 | 7,227,349 | 1.5 | % | ||||||||
OTHER SECURITIES | 2,487,686 | 0.5 | % | |||||||||
9,715,035 | ||||||||||||
TOTAL COMMON STOCKS (Cost $412,316,810) | $ | 438,775,447 | ||||||||||
PREFERRED SECURITIES - 0.7% | ||||||||||||
Consumer discretionary - 0.1% | 503,428 | 0.1 | % | |||||||||
Information technology - 0.6% | 2,641,531 | 0.6 | % | |||||||||
TOTAL PREFERRED SECURITIES (Cost $2,754,715) | $ | 3,144,959 | ||||||||||
CORPORATE BONDS - 0.5% | ||||||||||||
Information technology - 0.5% | ||||||||||||
Western Digital Corp. | ||||||||||||
10.500%, 04/01/2024 | USD | 2,325,000 | 2,487,750 | 0.5 | % | |||||||
TOTAL CORPORATE BONDS (Cost $2,308,893) | $ | 2,487,750 | ||||||||||
SECURITIES LENDING COLLATERAL - 6.4% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, | ||||||||||||
0.5557% (W)(Y) | 3,093,661 | 30,958,263 | 6.4 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $30,959,155) | $ | 30,958,263 | ||||||||||
SHORT-TERM INVESTMENTS - 7.0% | ||||||||||||
Money market funds - 3.4% | ||||||||||||
State Street Institutional | ||||||||||||
U.S. Government Money | ||||||||||||
Market Fund, Premier | ||||||||||||
Class, 0.2499% (Y) | 3,246,094 | $ | 3,246,094 | 0.7 | % |
The accompanying notes are an integral part of the financial statements. | 41 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Science & Technology Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
SHORT-TERM INVESTMENTS (continued) | ||||||||||||
Money market funds (continued) | ||||||||||||
T. Rowe Price Prime Reserve | ||||||||||||
Fund, 0.3204% (Y) | 13,306,654 | $ | 13,306,654 | 2.7 | % | |||||||
16,552,748 | ||||||||||||
Repurchase agreement - 3.6% | ||||||||||||
Repurchase Agreement with | ||||||||||||
State Street Corp. dated | ||||||||||||
06/30/2016 at 0.030% to be | ||||||||||||
repurchased at $17,683,015 on | ||||||||||||
07/01/2016, collateralized by | ||||||||||||
$17,795,000 U.S. Treasury | ||||||||||||
Notes, 1.125% due 03/31/2020 | ||||||||||||
(valued at $18,039,681, | ||||||||||||
including interest) | $ | 17,683,000 | $ | 17,683,000 | 3.6 | % | ||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $34,235,748) | $ | 34,235,748 | ||||||||||
Total Investments (Science & Technology Trust) | ||||||||||||
(Cost $482,575,321) - 104.6% | $ | 509,602,167 | 104.6 | % | ||||||||
Other assets and liabilities, net - (4.6%) | (22,285,467 | ) | (4.6 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 487,316,700 | 100.0 | % |
Small Cap Growth Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 93.3% | ||||||||||||
Consumer discretionary - 12.3% | ||||||||||||
ClubCorp Holdings, Inc. | 390,638 | $ | 5,078,294 | 1.3 | % | |||||||
Jack in the Box, Inc. | 39,083 | 3,358,011 | 0.9 | % | ||||||||
Kate Spade & Company (I) | 195,239 | 4,023,876 | 1.0 | % | ||||||||
Panera Bread Company, Class A (I) | 48,814 | 10,345,639 | 2.6 | % | ||||||||
Planet Fitness, Inc., Class A (I)(L) | 195,537 | 3,691,739 | 0.9 | % | ||||||||
Steven Madden, Ltd. (I) | 190,601 | 6,514,742 | 1.7 | % | ||||||||
OTHER SECURITIES | 15,127,279 | 3.9 | % | |||||||||
48,139,580 | ||||||||||||
Consumer staples - 1.4% | ||||||||||||
Post Holdings, Inc. (I) | 41,305 | 3,415,510 | 0.9 | % | ||||||||
OTHER SECURITIES | 2,188,458 | 0.5 | % | |||||||||
5,603,968 | ||||||||||||
Energy - 2.2% | ||||||||||||
Patterson-UTI Energy, Inc. | 163,887 | 3,494,071 | 0.9 | % | ||||||||
OTHER SECURITIES | 5,004,843 | 1.3 | % | |||||||||
8,498,914 | ||||||||||||
Financials - 9.5% | ||||||||||||
CoreSite Realty Corp. | 39,043 | 3,462,724 | 0.9 | % | ||||||||
First American Financial Corp. | 94,240 | 3,790,333 | 1.0 | % | ||||||||
Hannon Armstrong Sustainable | ||||||||||||
Infrastructure Capital, Inc. | 227,812 | 4,920,739 | 1.3 | % | ||||||||
Kennedy-Wilson Holdings, Inc. | 245,970 | 4,663,591 | 1.2 | % | ||||||||
MarketAxess Holdings, Inc. | 27,325 | 3,973,055 | 1.0 | % | ||||||||
United Community Banks, Inc. | 203,074 | 3,714,223 | 0.9 | % | ||||||||
OTHER SECURITIES | 12,512,876 | 3.2 | % | |||||||||
37,037,541 | ||||||||||||
Health care - 19.3% | ||||||||||||
Acadia Healthcare Company, Inc. (I) | 110,212 | 6,105,745 | 1.6 | % | ||||||||
Align Technology, Inc. (I) | 68,641 | 5,529,033 | 1.4 | % |
Small Cap Growth Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Health care (continued) | ||||||||||||
DexCom, Inc. (I) | 87,160 | $ | 6,914,403 | 1.8 | % | |||||||
Five Prime Therapeutics, Inc. (I) | 103,054 | 4,261,283 | 1.1 | % | ||||||||
Galapagos NV, ADR (I)(L) | 86,114 | 4,776,744 | 1.2 | % | ||||||||
Insulet Corp. (I) | 221,956 | 6,711,949 | 1.7 | % | ||||||||
TESARO, Inc. (I)(L) | 62,361 | 5,241,442 | 1.3 | % | ||||||||
Veeva Systems, Inc., Class A (I) | 198,820 | 6,783,738 | 1.7 | % | ||||||||
OTHER SECURITIES | 29,357,613 | 7.5 | % | |||||||||
75,681,950 | ||||||||||||
Industrials - 13.9% | ||||||||||||
Advanced Drainage Systems, Inc. (L) | 180,750 | 4,947,128 | 1.3 | % | ||||||||
Altra Industrial Motion Corp. | 161,231 | 4,350,012 | 1.1 | % | ||||||||
Applied Industrial Technologies, Inc. | 94,730 | 4,276,112 | 1.1 | % | ||||||||
Knight Transportation, Inc. | 259,769 | 6,904,660 | 1.8 | % | ||||||||
Landstar System, Inc. | 73,588 | 5,052,552 | 1.3 | % | ||||||||
Masonite International Corp. (I) | 63,933 | 4,228,529 | 1.1 | % | ||||||||
The Middleby Corp. (I) | 73,119 | 8,426,965 | 2.2 | % | ||||||||
WageWorks, Inc. (I) | 66,881 | 4,000,153 | 1.0 | % | ||||||||
OTHER SECURITIES | 12,218,934 | 3.0 | % | |||||||||
54,405,045 | ||||||||||||
Information technology - 30.3% | ||||||||||||
Atlassian Corp. PLC, Class A (I)(L) | 185,867 | 4,813,952 | 1.2 | % | ||||||||
CoStar Group, Inc. (I) | 36,305 | 7,938,451 | 2.0 | % | ||||||||
Fair Isaac Corp. | 67,555 | 7,634,391 | 1.9 | % | ||||||||
GoDaddy, Inc., Class A (I)(L) | 182,869 | 5,703,684 | 1.5 | % | ||||||||
Guidewire Software, Inc. (I) | 89,256 | 5,512,451 | 1.4 | % | ||||||||
HubSpot, Inc. (I)(L) | 94,429 | 4,100,107 | 1.0 | % | ||||||||
InterXion Holding NV (I) | 90,897 | 3,352,281 | 0.9 | % | ||||||||
Manhattan Associates, Inc. (I) | 52,006 | 3,335,145 | 0.9 | % | ||||||||
Mellanox Technologies, Ltd. (I) | 145,576 | 6,981,825 | 1.8 | % | ||||||||
Paylocity Holding Corp. (I)(L) | 116,092 | 5,015,174 | 1.3 | % | ||||||||
Proofpoint, Inc. (I)(L) | 60,264 | 3,802,056 | 1.0 | % | ||||||||
SS&C Technologies Holdings, Inc. | 169,432 | 4,757,651 | 1.2 | % | ||||||||
Telogis, Inc. (I)(R) | 473,646 | 1,364,100 | 0.3 | % | ||||||||
The Ultimate | ||||||||||||
Software Group, Inc. (I) | 24,437 | 5,138,857 | 1.3 | % | ||||||||
WEX, Inc. (I) | 56,943 | 5,049,136 | 1.3 | % | ||||||||
WNS Holdings, Ltd., ADR (I) | 223,017 | 6,021,459 | 1.5 | % | ||||||||
Zendesk, Inc. (I) | 230,554 | 6,082,015 | 1.6 | % | ||||||||
Zillow Group, Inc., Class C (I)(L) | 106,551 | 3,865,670 | 1.0 | % | ||||||||
OTHER SECURITIES | 27,973,468 | 7.2 | % | |||||||||
118,441,873 | ||||||||||||
Materials - 3.6% | ||||||||||||
Headwaters, Inc. (I) | 387,722 | 6,955,733 | 1.8 | % | ||||||||
Platform Specialty | ||||||||||||
Products Corp. (I)(L) | 498,721 | 4,428,642 | 1.1 | % | ||||||||
OTHER SECURITIES | 2,548,594 | 0.7 | % | |||||||||
13,932,969 | ||||||||||||
Telecommunication services - 0.8% | 3,117,245 | 0.8 | % | |||||||||
TOTAL COMMON STOCKS (Cost $351,061,441) | $ | 364,859,085 | ||||||||||
PREFERRED SECURITIES - 3.3% | ||||||||||||
Consumer discretionary - 0.3% | 1,199,453 | 0.3 | % | |||||||||
Information technology - 3.0% | ||||||||||||
Telogis, Inc. (I)(R) | 645,027 | 2,554,307 | 0.7 | % | ||||||||
OTHER SECURITIES | 8,957,342 | 2.3 | % | |||||||||
11,511,649 | ||||||||||||
TOTAL PREFERRED | ||||||||||||
SECURITIES (Cost $11,685,579) | $ | 12,711,102 |
The accompanying notes are an integral part of the financial statements. | 42 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Small Cap Growth Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
PREFERRED SECURITIES (continued) | ||||||||||||
Exchange-traded funds 0.2% | $ | 845,578 | 0.2 | % | ||||||||
TOTAL EXCHANGE-TRADED | ||||||||||||
FUNDS (Cost $818,514) | $ | 845,578 | ||||||||||
SECURITIES LENDING COLLATERAL - 14.4% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 5,630,389 | 56,343,307 | 14.4 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $56,344,147) | $ | 56,343,307 | ||||||||||
SHORT-TERM INVESTMENTS - 0.3% | ||||||||||||
Repurchase agreement - 0.3% | $ | 1,000,000 | 0.3 | % | ||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $1,000,000) | $ | 1,000,000 | ||||||||||
Total Investments (Small Cap Growth Trust) | ||||||||||||
(Cost $420,909,681) - 111.5% | $ | 435,759,072 | 111.5 | % | ||||||||
Other assets and liabilities, net - (11.5%) | (44,881,576 | ) | (11.5 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 390,877,496 | 100.0 | % |
Small Cap Index Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 95.4% | ||||||||||||
Consumer discretionary - 12.9% | ||||||||||||
Cracker Barrel Old | ||||||||||||
Country Store, Inc. (L) | 4,639 | $ | 795,449 | 0.2 | % | |||||||
DreamWorks Animation | ||||||||||||
SKG, Inc., Class A (I) | 18,941 | 774,119 | 0.2 | % | ||||||||
Texas Roadhouse, Inc. | 16,177 | 737,671 | 0.2 | % | ||||||||
OTHER SECURITIES | 51,731,587 | 12.3 | % | |||||||||
54,038,826 | ||||||||||||
Consumer staples - 3.0% | ||||||||||||
B&G Foods, Inc. | 15,047 | 725,265 | 0.2 | % | ||||||||
OTHER SECURITIES | 11,786,228 | 2.8 | % | |||||||||
12,511,493 | ||||||||||||
Energy - 2.9% | 12,190,231 | 2.9 | % | |||||||||
Financials - 24.6% | ||||||||||||
Bank of the Ozarks, Inc. | 20,440 | 766,909 | 0.2 | % | ||||||||
CNO Financial Group, Inc. | 43,404 | 757,834 | 0.2 | % | ||||||||
DuPont Fabros Technology, Inc. | 17,964 | 854,009 | 0.2 | % | ||||||||
Education Realty Trust, Inc. | 16,032 | 739,716 | 0.2 | % | ||||||||
First Industrial Realty Trust, Inc. | 28,081 | 781,213 | 0.2 | % | ||||||||
FirstMerit Corp. | 40,144 | 813,719 | 0.2 | % | ||||||||
Gramercy Property Trust | 103,063 | 950,241 | 0.2 | % | ||||||||
Healthcare Realty Trust, Inc. | 25,153 | 880,103 | 0.2 | % | ||||||||
Investors Bancorp, Inc. | 70,135 | 777,096 | 0.2 | % | ||||||||
Medical Properties Trust, Inc. | 57,320 | 871,837 | 0.2 | % | ||||||||
New Residential Investment Corp. | 53,443 | 739,651 | 0.2 | % | ||||||||
PrivateBancorp, Inc. | 19,155 | 843,395 | 0.2 | % | ||||||||
Prosperity Bancshares, Inc. | 16,098 | 820,837 | 0.2 | % | ||||||||
Umpqua Holdings Corp. | 53,699 | 830,724 | 0.2 | % | ||||||||
Webster Financial Corp. | 21,794 | 739,906 | 0.2 | % | ||||||||
OTHER SECURITIES | 90,975,324 | 21.6 | % | |||||||||
103,142,514 | ||||||||||||
Health care - 13.0% | ||||||||||||
HealthSouth Corp. | 21,428 | 831,835 | 0.2 | % |
Small Cap Index Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Health care (continued) | ||||||||||||
NuVasive, Inc. (I) | 12,109 | $ | 723,149 | 0.2 | % | |||||||
PAREXEL International Corp. (I) | 12,769 | 802,915 | 0.2 | % | ||||||||
Prestige Brands Holdings, Inc. (I) | 13,044 | 722,638 | 0.2 | % | ||||||||
OTHER SECURITIES | 51,401,856 | 12.2 | % | |||||||||
54,482,393 | ||||||||||||
Industrials - 13.2% | ||||||||||||
Curtiss-Wright Corp. | 10,714 | 902,655 | 0.2 | % | ||||||||
Deluxe Corp. | 11,798 | 783,033 | 0.2 | % | ||||||||
EMCOR Group, Inc. | 14,722 | 725,206 | 0.2 | % | ||||||||
Teledyne Technologies, Inc. (I) | 8,252 | 817,361 | 0.2 | % | ||||||||
Woodward, Inc. | 12,871 | 741,884 | 0.2 | % | ||||||||
OTHER SECURITIES | 51,381,540 | 12.2 | % | |||||||||
55,351,679 | ||||||||||||
Information technology - 16.5% | ||||||||||||
Advanced Micro Devices, Inc. (I)(L) | 160,618 | 825,577 | 0.2 | % | ||||||||
Aspen Technology, Inc. (I) | 20,136 | 810,273 | 0.2 | % | ||||||||
Blackbaud, Inc. | 11,515 | 781,869 | 0.2 | % | ||||||||
EPAM Systems, Inc. (I) | 11,701 | 752,491 | 0.2 | % | ||||||||
Fair Isaac Corp. | 7,492 | 846,671 | 0.2 | % | ||||||||
MAXIMUS, Inc. | 15,671 | 867,703 | 0.2 | % | ||||||||
Microsemi Corp. (I) | 27,713 | 905,661 | 0.2 | % | ||||||||
Take-Two | ||||||||||||
Interactive Software, Inc. (I) | 20,258 | 768,183 | 0.2 | % | ||||||||
ViaSat, Inc. (I) | 10,843 | 774,190 | 0.2 | % | ||||||||
OTHER SECURITIES | 61,675,423 | 14.7 | % | |||||||||
69,008,041 | ||||||||||||
Materials - 4.3% | ||||||||||||
Olin Corp. | 40,369 | 1,002,740 | 0.2 | % | ||||||||
Sensient Technologies Corp. | 10,804 | 767,516 | 0.2 | % | ||||||||
OTHER SECURITIES | 16,416,112 | 3.9 | % | |||||||||
18,186,368 | ||||||||||||
Telecommunication services - 0.9% | 3,800,480 | 0.9 | % | |||||||||
Utilities - 4.1% | ||||||||||||
ALLETE, Inc. | 12,073 | 780,278 | 0.2 | % | ||||||||
Black Hills Corp. | 12,501 | 788,063 | 0.2 | % | ||||||||
IDACORP, Inc. | 12,202 | 992,633 | 0.2 | % | ||||||||
New Jersey Resources Corp. | 20,778 | 800,992 | 0.2 | % | ||||||||
NorthWestern Corp. | 11,776 | 742,712 | 0.2 | % | ||||||||
ONE Gas, Inc. | 12,522 | 833,840 | 0.2 | % | ||||||||
Portland General Electric Company | 21,625 | 954,095 | 0.2 | % | ||||||||
Southwest Gas Corp. | 11,416 | 898,553 | 0.2 | % | ||||||||
Spire, Inc. | 10,729 | 760,042 | 0.2 | % | ||||||||
WGL Holdings, Inc. | 12,223 | 865,266 | 0.2 | % | ||||||||
OTHER SECURITIES | 8,689,919 | 2.1 | % | |||||||||
17,106,393 | ||||||||||||
TOTAL COMMON STOCKS (Cost $322,984,146) | $ | 399,818,418 | ||||||||||
Warrants 0.0% | 247 | 0.0 | % | |||||||||
TOTAL WARRANTS (Cost $0) | $ | 247 |
The accompanying notes are an integral part of the financial statements. | 43 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Small Cap Index Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
SECURITIES LENDING COLLATERAL - 8.6% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 3,578,530 | $ | 35,810,349 | 8.6 | % | |||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $35,809,945) | $ | 35,810,349 | ||||||||||
SHORT-TERM INVESTMENTS - 4.4% | ||||||||||||
Repurchase agreement - 4.4% | ||||||||||||
Repurchase Agreement with State | ||||||||||||
Street Corp. dated 06/30/2016 at | ||||||||||||
0.030% to be repurchased at | ||||||||||||
$18,500,015 on 07/01/2016, | ||||||||||||
collateralized by $16,410,000 | ||||||||||||
U.S. Treasury Bonds, 3.000% due | ||||||||||||
05/15/2045 (valued at | ||||||||||||
$18,871,500, including interest) | $ | 18,500,000 | $ | 18,500,000 | 4.4 | % | ||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $18,500,000) | $ | 18,500,000 | ||||||||||
Total Investments (Small Cap Index Trust) | ||||||||||||
(Cost $377,294,091) - 108.4% | $ | 454,129,014 | 108.4 | % | ||||||||
Other assets and liabilities, net - (8.4%) | (35,021,741 | ) | (8.4 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 419,107,273 | 100.0 | % |
Small Cap Opportunities Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 98.2% | ||||||||||||
Consumer discretionary - 13.8% | ||||||||||||
Cracker Barrel Old | ||||||||||||
Country Store, Inc. (L) | 6,621 | $ | 1,135,303 | 0.6 | % | |||||||
Helen of Troy, Ltd. (I) | 15,934 | 1,638,653 | 0.8 | % | ||||||||
La-Z-Boy, Inc. | 46,011 | 1,280,026 | 0.6 | % | ||||||||
Papa John’s International, Inc. | 17,550 | 1,193,400 | 0.6 | % | ||||||||
The Michaels Companies, Inc. (I) | 47,971 | 1,364,295 | 0.7 | % | ||||||||
Vail Resorts, Inc. | 8,088 | 1,118,004 | 0.5 | % | ||||||||
OTHER SECURITIES | 21,152,048 | 10.0 | % | |||||||||
28,881,729 | ||||||||||||
Consumer staples - 3.4% | ||||||||||||
Pinnacle Foods, Inc. | 39,006 | 1,805,588 | 0.9 | % | ||||||||
OTHER SECURITIES | 5,240,078 | 2.5 | % | |||||||||
7,045,666 | ||||||||||||
Energy - 6.9% | ||||||||||||
Energen Corp. | 26,706 | 1,287,496 | 0.6 | % | ||||||||
Newfield Exploration Co. (I) | 28,620 | 1,264,432 | 0.6 | % | ||||||||
RSP Permian, Inc. (I) | 36,118 | 1,260,157 | 0.6 | % | ||||||||
Superior Energy Services, Inc. | 79,867 | 1,470,351 | 0.7 | % | ||||||||
OTHER SECURITIES | 9,102,416 | 4.4 | % | |||||||||
14,384,852 | ||||||||||||
Financials - 23.8% | ||||||||||||
American Financial Group, Inc. | 16,014 | 1,183,915 | 0.6 | % | ||||||||
CNO Financial Group, Inc. | 83,155 | 1,451,886 | 0.7 | % | ||||||||
CubeSmart | 43,209 | 1,334,294 | 0.6 | % | ||||||||
E*TRADE Financial Corp. (I) | 55,669 | 1,307,665 | 0.6 | % | ||||||||
East West Bancorp, Inc. | 32,636 | 1,115,498 | 0.5 | % | ||||||||
Great Western Bancorp, Inc. | 35,327 | 1,114,214 | 0.5 | % | ||||||||
IBERIABANK Corp. | 19,403 | 1,158,941 | 0.6 | % | ||||||||
Janus Capital Group, Inc. | 84,009 | 1,169,405 | 0.6 | % | ||||||||
Pinnacle Financial Partners, Inc. | 23,667 | 1,156,133 | 0.6 | % |
Small Cap Opportunities Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Financials (continued) | ||||||||||||
PrivateBancorp, Inc. | 25,111 | $ | 1,105,637 | 0.5 | % | |||||||
The Hanover Insurance Group, Inc. | 18,231 | 1,542,707 | 0.7 | % | ||||||||
Western Alliance Bancorp (I) | 36,198 | 1,181,865 | 0.6 | % | ||||||||
OTHER SECURITIES | 34,889,122 | 16.7 | % | |||||||||
49,711,282 | ||||||||||||
Health care - 8.4% | ||||||||||||
Analogic Corp. | 14,698 | 1,167,609 | 0.6 | % | ||||||||
Bio-Techne Corp. | 11,710 | 1,320,537 | 0.6 | % | ||||||||
Hill-Rom Holdings, Inc. | 24,660 | 1,244,097 | 0.6 | % | ||||||||
LifePoint Health, Inc. (I) | 18,839 | 1,231,505 | 0.6 | % | ||||||||
OTHER SECURITIES | 12,620,276 | 6.0 | % | |||||||||
17,584,024 | ||||||||||||
Industrials - 17.5% | ||||||||||||
Albany International Corp., Class A | 33,055 | 1,319,886 | 0.6 | % | ||||||||
Apogee Enterprises, Inc. | 31,851 | 1,476,294 | 0.7 | % | ||||||||
Dycom Industries, Inc. (I) | 20,383 | 1,829,578 | 0.9 | % | ||||||||
EnerSys | 23,896 | 1,421,095 | 0.7 | % | ||||||||
Mobile Mini, Inc. | 34,946 | 1,210,529 | 0.6 | % | ||||||||
Old Dominion Freight Line, Inc. (I) | 18,953 | 1,143,055 | 0.6 | % | ||||||||
Waste Connections, Inc. | 25,672 | 1,849,668 | 0.9 | % | ||||||||
Watts Water | ||||||||||||
Technologies, Inc., Class A | 19,909 | 1,159,898 | 0.6 | % | ||||||||
OTHER SECURITIES | 25,149,396 | 11.9 | % | |||||||||
36,559,399 | ||||||||||||
Information technology - 15.7% | ||||||||||||
Blackbaud, Inc. | 18,216 | 1,236,866 | 0.6 | % | ||||||||
Coherent, Inc. (I) | 11,894 | 1,091,631 | 0.5 | % | ||||||||
DST Systems, Inc. | 10,024 | 1,167,094 | 0.6 | % | ||||||||
Entegris, Inc. (I) | 93,454 | 1,352,279 | 0.7 | % | ||||||||
Intersil Corp., Class A | 87,963 | 1,191,019 | 0.6 | % | ||||||||
Jack Henry & Associates, Inc. | 14,117 | 1,231,991 | 0.6 | % | ||||||||
Microsemi Corp. (I) | 33,538 | 1,096,022 | 0.5 | % | ||||||||
Take-Two | ||||||||||||
Interactive Software, Inc. (I) | 32,400 | 1,228,608 | 0.6 | % | ||||||||
Tech Data Corp. (I) | 18,291 | 1,314,208 | 0.6 | % | ||||||||
OTHER SECURITIES | 21,774,772 | 10.4 | % | |||||||||
32,684,490 | ||||||||||||
Materials - 6.1% | ||||||||||||
Graphic Packaging Holding Company | 121,288 | 1,520,952 | 0.7 | % | ||||||||
Minerals Technologies, Inc. | 22,546 | 1,280,613 | 0.6 | % | ||||||||
Sensient Technologies Corp. | 18,982 | 1,348,481 | 0.7 | % | ||||||||
OTHER SECURITIES | 8,608,607 | 4.1 | % | |||||||||
12,758,653 | ||||||||||||
Telecommunication services - 1.4% | ||||||||||||
Iridium Communications, Inc. (I)(L) | 132,438 | 1,176,049 | 0.6 | % | ||||||||
OTHER SECURITIES | 1,756,270 | 0.8 | % | |||||||||
2,932,319 | ||||||||||||
Utilities - 1.2% | ||||||||||||
UGI Corp. | 34,809 | 1,575,107 | 0.8 | % | ||||||||
OTHER SECURITIES | 848,789 | 0.4 | % | |||||||||
2,423,896 | ||||||||||||
TOTAL COMMON STOCKS (Cost $194,191,306) | $ | 204,966,310 |
The accompanying notes are an integral part of the financial statements. | 44 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Small Cap Opportunities Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
SECURITIES LENDING COLLATERAL - 4.1% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 843,926 | $ | 8,445,163 | 4.1 | % | |||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $8,445,348) | $ | 8,445,163 | ||||||||||
SHORT-TERM INVESTMENTS - 1.0% | ||||||||||||
Money market funds - 1.0% | ||||||||||||
State Street Institutional Liquid | ||||||||||||
Reserves Fund, Premier | ||||||||||||
Class, 0.4706% (Y) | 2,149,428 | $ | 2,149,428 | 1.0 | % | |||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $2,149,428) | $ | 2,149,428 | ||||||||||
Total Investments (Small Cap Opportunities Trust) | ||||||||||||
(Cost $204,786,082) - 103.3% | $ | 215,560,901 | 103.3 | % | ||||||||
Other assets and liabilities, net - (3.3%) | (6,788,480 | ) | (3.3 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 208,772,421 | 100.0 | % |
Small Cap Value Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 96.9% | ||||||||||||
Consumer discretionary - 6.2% | ||||||||||||
Fred’s, Inc., Class A | 635,992 | $ | 10,245,831 | 1.6 | % | |||||||
The Cato Corp., Class A | 259,996 | 9,807,049 | 1.5 | % | ||||||||
OTHER SECURITIES | 20,254,143 | 3.1 | % | |||||||||
40,307,023 | ||||||||||||
Consumer staples - 3.6% | ||||||||||||
C&C Group PLC | 2,172,438 | 8,520,466 | 1.3 | % | ||||||||
Cranswick PLC | 356,836 | 9,953,505 | 1.5 | % | ||||||||
OTHER SECURITIES | 5,335,153 | 0.8 | % | |||||||||
23,809,124 | ||||||||||||
Energy - 5.1% | ||||||||||||
RSP Permian, Inc. (I) | 281,930 | 9,836,538 | 1.5 | % | ||||||||
SEACOR Holdings, Inc. (I)(L) | 151,898 | 8,802,489 | 1.3 | % | ||||||||
OTHER SECURITIES | 14,999,605 | 2.3 | % | |||||||||
33,638,632 | ||||||||||||
Financials - 23.8% | ||||||||||||
Corporate Office Properties Trust | 241,287 | 7,134,857 | 1.1 | % | ||||||||
Education Realty Trust, Inc. | 198,183 | 9,144,164 | 1.4 | % | ||||||||
First Midwest Bancorp, Inc. | 655,881 | 11,517,270 | 1.8 | % | ||||||||
First Niagara Financial Group, Inc. | 762,702 | 7,428,717 | 1.1 | % | ||||||||
Great Western Bancorp, Inc. | 309,836 | 9,772,227 | 1.5 | % | ||||||||
Hancock Holding Company | 344,540 | 8,995,939 | 1.4 | % | ||||||||
International Bancshares Corp. | 494,004 | 12,888,564 | 2.0 | % | ||||||||
MB Financial, Inc. | 316,788 | 11,493,069 | 1.8 | % | ||||||||
Northwest Bancshares, Inc. | 845,610 | 12,540,396 | 1.9 | % | ||||||||
Primerica, Inc. | 146,340 | 8,376,502 | 1.3 | % | ||||||||
Summit Hotel Properties, Inc. | 531,919 | 7,042,608 | 1.1 | % | ||||||||
Webster Financial Corp. | 439,690 | 14,927,476 | 2.3 | % | ||||||||
OTHER SECURITIES | 34,115,684 | 5.1 | % | |||||||||
155,377,473 | ||||||||||||
Health care - 7.3% | ||||||||||||
Allscripts | ||||||||||||
Healthcare Solutions, Inc. (I) | 821,540 | 10,433,558 | 1.6 | % | ||||||||
Charles River | ||||||||||||
Laboratories International, Inc. (I) | 108,700 | 8,961,228 | 1.4 | % |
Small Cap Value Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Health care (continued) | ||||||||||||
Haemonetics Corp. (I) | 325,340 | $ | 9,431,607 | 1.5 | % | |||||||
OTHER SECURITIES | 18,602,556 | 2.8 | % | |||||||||
47,428,949 | ||||||||||||
Industrials - 33.2% | ||||||||||||
ACCO Brands Corp. (I) | 1,146,620 | 11,844,585 | 1.8 | % | ||||||||
Albany International Corp., Class A | 376,114 | 15,018,232 | 2.3 | % | ||||||||
CIRCOR International, Inc. | 140,232 | 7,991,822 | 1.2 | % | ||||||||
Cubic Corp. | 296,630 | 11,912,661 | 1.8 | % | ||||||||
ESCO Technologies, Inc. | 249,152 | 9,951,131 | 1.5 | % | ||||||||
Essendant, Inc. | 383,888 | 11,731,617 | 1.8 | % | ||||||||
FTI Consulting, Inc. (I) | 319,315 | 12,989,734 | 2.0 | % | ||||||||
G&K Services, Inc., Class A | 200,330 | 15,339,268 | 2.3 | % | ||||||||
GATX Corp. (L) | 224,870 | 9,887,534 | 1.5 | % | ||||||||
Huron Consulting Group, Inc. (I) | 106,530 | 6,436,543 | 1.0 | % | ||||||||
Matthews | ||||||||||||
International Corp., Class A | 186,970 | 10,403,011 | 1.6 | % | ||||||||
Mistras Group, Inc. (I) | 371,543 | 8,868,731 | 1.4 | % | ||||||||
Mueller Industries, Inc. | 533,810 | 17,017,863 | 2.6 | % | ||||||||
Primoris Services Corp. | 364,930 | 6,908,125 | 1.1 | % | ||||||||
SP Plus Corp. (I) | 442,328 | 9,987,766 | 1.5 | % | ||||||||
Thermon Group Holdings, Inc. (I) | 486,150 | 9,338,942 | 1.4 | % | ||||||||
TriMas Corp. (I) | 639,721 | 11,514,978 | 1.8 | % | ||||||||
Tyman PLC | 2,329,269 | 7,775,916 | 1.2 | % | ||||||||
OTHER SECURITIES | 22,025,425 | 3.4 | % | |||||||||
216,943,884 | ||||||||||||
Information technology - 9.0% | ||||||||||||
Belden, Inc. | 273,319 | 16,500,268 | 2.5 | % | ||||||||
Coherent, Inc. (I) | 76,090 | 6,983,540 | 1.1 | % | ||||||||
Diebold, Inc. | 328,820 | 8,164,601 | 1.2 | % | ||||||||
Forrester Research, Inc. | 267,093 | 9,845,048 | 1.5 | % | ||||||||
ScanSource, Inc. (I) | 295,770 | 10,976,025 | 1.7 | % | ||||||||
OTHER SECURITIES | 6,355,350 | 1.0 | % | |||||||||
58,824,832 | ||||||||||||
Materials - 5.1% | ||||||||||||
Deltic Timber Corp. | 148,646 | 9,978,606 | 1.5 | % | ||||||||
Greif, Inc., Class A | 250,670 | 9,342,471 | 1.4 | % | ||||||||
Sensient Technologies Corp. | 198,310 | 14,087,942 | 2.2 | % | ||||||||
OTHER SECURITIES | 151,771 | 0.0 | % | |||||||||
33,560,790 | ||||||||||||
Utilities - 3.6% | ||||||||||||
Spire, Inc. | 110,260 | 7,810,818 | 1.2 | % | ||||||||
WGL Holdings, Inc. | 127,180 | 9,003,072 | 1.4 | % | ||||||||
OTHER SECURITIES | 6,766,153 | 1.0 | % | |||||||||
23,580,043 | ||||||||||||
TOTAL COMMON STOCKS (Cost $521,238,819) | $ | 633,470,750 |
The accompanying notes are an integral part of the financial statements. | 45 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Small Cap Value Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
SECURITIES LENDING COLLATERAL - 4.1% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 2,668,065 | $ | 26,699,322 | 4.1 | % | |||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $26,700,198) | $ | 26,699,322 | ||||||||||
SHORT-TERM INVESTMENTS - 2.9% | ||||||||||||
Repurchase agreement - 2.9% | ||||||||||||
Bank of America Tri-Party | ||||||||||||
Repurchase Agreement dated | ||||||||||||
06/30/2016 at 0.440% to be | ||||||||||||
repurchased at $18,900,231 on | ||||||||||||
07/01/2016, collateralized by | ||||||||||||
$18,054,291 Government National | ||||||||||||
Mortgage Association, 3.500% | ||||||||||||
due 10/20/2042 (valued at | ||||||||||||
$19,278,001, including interest) | $ | 18,900,000 | $ | 18,900,000 | 2.9 | % | ||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $18,900,000) | $ | 18,900,000 | ||||||||||
Total Investments (Small Cap Value Trust) | ||||||||||||
(Cost $566,839,017) - 103.9% | $ | 679,070,072 | 103.9 | % | ||||||||
Other assets and liabilities, net - (3.9%) | (25,517,681 | ) | (3.9 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 653,552,391 | 100.0 | % |
Small Company Growth Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 95.5% | ||||||||||||
Consumer discretionary - 14.4% | ||||||||||||
Carter’s, Inc. | 9,183 | $ | 977,714 | 0.9 | % | |||||||
G-III Apparel Group, Ltd. (I) | 23,089 | 1,055,629 | 1.0 | % | ||||||||
Jack in the Box, Inc. | 12,448 | 1,069,532 | 1.0 | % | ||||||||
Pool Corp. | 10,991 | 1,033,484 | 1.0 | % | ||||||||
Texas Roadhouse, Inc. | 25,463 | 1,161,113 | 1.1 | % | ||||||||
Vail Resorts, Inc. | 8,849 | 1,223,197 | 1.1 | % | ||||||||
OTHER SECURITIES | 8,876,460 | 8.3 | % | |||||||||
15,397,129 | ||||||||||||
Consumer staples - 2.7% | ||||||||||||
B&G Foods, Inc. | 21,487 | 1,035,673 | 1.0 | % | ||||||||
Lancaster Colony Corp. | 9,728 | 1,241,390 | 1.1 | % | ||||||||
OTHER SECURITIES | 646,664 | 0.6 | % | |||||||||
2,923,727 | ||||||||||||
Energy - 4.2% | ||||||||||||
Energen Corp. | 19,579 | 943,904 | 0.9 | % | ||||||||
Parsley Energy, Inc., Class A (I) | 34,980 | 946,559 | 0.9 | % | ||||||||
Patterson-UTI Energy, Inc. | 62,097 | 1,323,908 | 1.2 | % | ||||||||
OTHER SECURITIES | 1,303,732 | 1.2 | % | |||||||||
4,518,103 | ||||||||||||
Financials - 9.8% | ||||||||||||
Corrections Corp. of America | 30,622 | 1,072,382 | 1.0 | % | ||||||||
OTHER SECURITIES | 9,390,936 | 8.8 | % | |||||||||
10,463,318 | ||||||||||||
Health care - 20.6% | ||||||||||||
Bio-Techne Corp. | 9,376 | 1,057,332 | 1.0 | % | ||||||||
Chemed Corp. | 10,444 | 1,423,622 | 1.3 | % | ||||||||
DexCom, Inc. (I) | 14,651 | 1,162,264 | 1.1 | % | ||||||||
HealthEquity, Inc. (I) | 32,436 | 985,568 | 0.9 | % |
Small Company Growth Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Health care (continued) | ||||||||||||
HealthSouth Corp. | 23,340 | $ | 906,059 | 0.8 | % | |||||||
Hill-Rom Holdings, Inc. | 19,120 | 964,604 | 0.9 | % | ||||||||
Nektar Therapeutics (I) | 64,627 | 919,642 | 0.9 | % | ||||||||
NuVasive, Inc. (I) | 17,236 | 1,029,334 | 1.0 | % | ||||||||
NxStage Medical, Inc. (I) | 45,969 | 996,608 | 0.9 | % | ||||||||
PerkinElmer, Inc. | 17,785 | 932,290 | 0.9 | % | ||||||||
VCA, Inc. (I) | 16,368 | 1,106,640 | 1.0 | % | ||||||||
VWR Corp. (I) | 36,193 | 1,045,979 | 1.0 | % | ||||||||
OTHER SECURITIES | 9,488,014 | 8.9 | % | |||||||||
22,017,956 | ||||||||||||
Industrials - 13.6% | ||||||||||||
Acuity Brands, Inc. | 7,107 | 1,762,252 | 1.7 | % | ||||||||
AO Smith Corp. | 10,667 | 939,869 | 0.9 | % | ||||||||
Knight Transportation, Inc. | 37,750 | 1,003,395 | 0.9 | % | ||||||||
TransDigm Group, Inc. (I) | 3,809 | 1,004,395 | 0.9 | % | ||||||||
WABCO Holdings, Inc. (I) | 9,829 | 900,042 | 0.8 | % | ||||||||
Watsco, Inc. | 8,703 | 1,224,425 | 1.1 | % | ||||||||
OTHER SECURITIES | 7,676,148 | 7.3 | % | |||||||||
14,510,526 | ||||||||||||
Information technology - 25.9% | ||||||||||||
Aspen Technology, Inc. (I) | 22,892 | 921,174 | 0.9 | % | ||||||||
Booz Allen Hamilton Holding Corp. | 35,576 | 1,054,473 | 1.0 | % | ||||||||
Cognex Corp. | 20,384 | 878,550 | 0.8 | % | ||||||||
CoStar Group, Inc. (I) | 7,618 | 1,665,752 | 1.5 | % | ||||||||
EPAM Systems, Inc. (I) | 20,041 | 1,288,837 | 1.2 | % | ||||||||
Fair Isaac Corp. | 9,814 | 1,109,080 | 1.0 | % | ||||||||
Guidewire Software, Inc. (I) | 18,735 | 1,157,074 | 1.1 | % | ||||||||
Manhattan Associates, Inc. (I) | 33,139 | 2,125,204 | 2.0 | % | ||||||||
MicroStrategy, Inc., Class A (I) | 6,142 | 1,074,973 | 1.0 | % | ||||||||
MKS Instruments, Inc. | 23,773 | 1,023,665 | 1.0 | % | ||||||||
Monolithic Power Systems, Inc. | 18,174 | 1,241,648 | 1.2 | % | ||||||||
Proofpoint, Inc. (I) | 15,474 | 976,255 | 0.9 | % | ||||||||
SYNNEX Corp. | 11,591 | 1,099,059 | 1.0 | % | ||||||||
Take-Two | ||||||||||||
Interactive Software, Inc. (I) | 24,742 | 938,217 | 0.9 | % | ||||||||
The Ultimate | ||||||||||||
Software Group, Inc. (I) | 6,137 | 1,290,550 | 1.2 | % | ||||||||
OTHER SECURITIES | 9,917,013 | 9.2 | % | |||||||||
27,761,524 | ||||||||||||
Materials - 2.9% | ||||||||||||
Berry Plastics Group, Inc. (I) | 24,485 | 951,242 | 0.9 | % | ||||||||
Martin Marietta Materials, Inc. | 6,586 | 1,264,512 | 1.2 | % | ||||||||
PolyOne Corp. | 26,763 | 943,128 | 0.8 | % | ||||||||
3,158,882 | ||||||||||||
Telecommunication services - 1.4% | ||||||||||||
SBA | ||||||||||||
Communications Corp., Class A (I) | 14,360 | 1,550,018 | 1.4 | % | ||||||||
TOTAL COMMON STOCKS (Cost $86,670,922) | $ | 102,301,183 | ||||||||||
SECURITIES LENDING COLLATERAL - 3.4% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 363,496 | 3,637,505 | 3.4 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $3,637,609) | $ | 3,637,505 | ||||||||||
SHORT-TERM INVESTMENTS - 3.3% |
The accompanying notes are an integral part of the financial statements. | 46 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Small Company Growth Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
SHORT-TERM INVESTMENTS (continued) | ||||||||||||
Money market funds - 3.3% | ||||||||||||
State Street Institutional Liquid | ||||||||||||
Reserves Fund, Premier | ||||||||||||
Class, 0.4706% (Y) | 3,510,710 | $ | 3,510,710 | 3.3 | % | |||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $3,510,710) | $ | 3,510,710 | ||||||||||
Total Investments (Small Company Growth Trust) | ||||||||||||
(Cost $93,819,241) - 102.2% | $ | 109,449,398 | 102.2 | % | ||||||||
Other assets and liabilities, net - (2.2%) | (2,367,423 | ) | (2.2 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 107,081,975 | 100.0 | % |
Small Company Value Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 98.9% | ||||||||||||
Consumer discretionary - 11.3% | ||||||||||||
Aaron’s, Inc. | 97,100 | $ | 2,125,519 | 0.7 | % | |||||||
Dorman Products, Inc. (I) | 42,500 | 2,431,000 | 0.8 | % | ||||||||
Drew Industries, Inc. | 40,500 | 3,436,019 | 1.1 | % | ||||||||
Pool Corp. | 36,900 | 3,469,707 | 1.2 | % | ||||||||
OTHER SECURITIES | 22,293,422 | 7.5 | % | |||||||||
33,755,667 | ||||||||||||
Consumer staples - 3.8% | ||||||||||||
Energizer Holdings, Inc. | 41,400 | 2,131,686 | 0.7 | % | ||||||||
PriceSmart, Inc. | 26,200 | 2,451,534 | 0.8 | % | ||||||||
OTHER SECURITIES | 6,881,085 | 2.3 | % | |||||||||
11,464,305 | ||||||||||||
Energy - 3.5% | ||||||||||||
Matador Resources Company (I)(L) | 121,200 | 2,399,760 | 0.8 | % | ||||||||
OTHER SECURITIES | 7,876,289 | 2.7 | % | |||||||||
10,276,049 | ||||||||||||
Financials - 36.0% | ||||||||||||
Acadia Realty Trust | 81,800 | 2,905,536 | 1.0 | % | ||||||||
American Campus Communities, Inc. | 46,300 | 2,447,881 | 0.8 | % | ||||||||
Cedar Realty Trust, Inc. | 363,000 | 2,697,090 | 0.9 | % | ||||||||
Columbia Banking System, Inc. | 94,300 | 2,646,058 | 0.9 | % | ||||||||
East West Bancorp, Inc. | 117,400 | 4,012,732 | 1.3 | % | ||||||||
EastGroup Properties, Inc. | 32,600 | 2,246,792 | 0.8 | % | ||||||||
Glacier Bancorp, Inc. | 96,100 | 2,554,338 | 0.9 | % | ||||||||
Hercules Capital, Inc. | 165,300 | 2,053,026 | 0.7 | % | ||||||||
Home BancShares, Inc. | 300,200 | 5,940,958 | 2.0 | % | ||||||||
Kilroy Realty Corp. | 31,400 | 2,081,506 | 0.7 | % | ||||||||
Popular, Inc. | 89,100 | 2,610,630 | 0.9 | % | ||||||||
ProAssurance Corp. | 108,500 | 5,810,175 | 2.0 | % | ||||||||
Prosperity Bancshares, Inc. | 52,500 | 2,676,975 | 0.9 | % | ||||||||
PS Business Parks, Inc. | 21,400 | 2,270,112 | 0.8 | % | ||||||||
Saul Centers, Inc. | 40,200 | 2,480,742 | 0.8 | % | ||||||||
SVB Financial Group (I) | 29,600 | 2,816,736 | 0.9 | % | ||||||||
Wintrust Financial Corp. | 40,200 | 2,050,200 | 0.7 | % | ||||||||
OTHER SECURITIES | 56,880,703 | 19.0 | % | |||||||||
107,182,190 | ||||||||||||
Health care - 7.6% | ||||||||||||
Atrion Corp. | 7,470 | 3,196,114 | 1.1 | % | ||||||||
Halyard Health, Inc. (I) | 76,000 | 2,471,520 | 0.8 | % | ||||||||
WellCare Health Plans, Inc. (I) | 19,800 | 2,124,144 | 0.7 | % | ||||||||
West Pharmaceutical Services, Inc. | 71,000 | 5,387,480 | 1.8 | % |
Small Company Value Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Health care (continued) | ||||||||||||
OTHER SECURITIES | $ | 9,419,542 | 3.2 | % | ||||||||
22,598,800 | ||||||||||||
Industrials - 14.6% | ||||||||||||
Beacon Roofing Supply, Inc. (I) | 60,500 | 2,750,935 | 0.9 | % | ||||||||
ESCO Technologies, Inc. | 62,500 | 2,496,250 | 0.8 | % | ||||||||
G&K Services, Inc., Class A | 32,200 | 2,465,554 | 0.8 | % | ||||||||
Genesee & | ||||||||||||
Wyoming, Inc., Class A (I) | 36,500 | 2,151,675 | 0.7 | % | ||||||||
Landstar System, Inc. | 65,000 | 4,462,900 | 1.5 | % | ||||||||
McGrath RentCorp | 93,130 | 2,848,847 | 1.0 | % | ||||||||
Universal Forest Products, Inc. | 31,000 | 2,873,390 | 1.0 | % | ||||||||
OTHER SECURITIES | 23,537,249 | 7.9 | % | |||||||||
43,586,800 | ||||||||||||
Information technology - 9.3% | ||||||||||||
Advanced Energy Industries, Inc. (I) | 70,300 | 2,668,588 | 0.9 | % | ||||||||
Belden, Inc. | 54,100 | 3,266,017 | 1.1 | % | ||||||||
Cabot Microelectronics Corp. | 50,600 | 2,142,404 | 0.7 | % | ||||||||
Littelfuse, Inc. | 33,400 | 3,947,546 | 1.3 | % | ||||||||
SYNNEX Corp. | 41,300 | 3,916,066 | 1.3 | % | ||||||||
OTHER SECURITIES | 11,845,289 | 4.0 | % | |||||||||
27,785,910 | ||||||||||||
Materials - 5.1% | ||||||||||||
Clearwater Paper Corp. (I) | 41,400 | 2,706,318 | 0.9 | % | ||||||||
Innospec, Inc. | 45,300 | 2,083,347 | 0.7 | % | ||||||||
Minerals Technologies, Inc. | 46,600 | 2,646,880 | 0.9 | % | ||||||||
Myers Industries, Inc. | 141,200 | 2,033,280 | 0.7 | % | ||||||||
OTHER SECURITIES | 5,797,534 | 1.9 | % | |||||||||
15,267,359 | ||||||||||||
Utilities - 7.7% | ||||||||||||
El Paso Electric Company | 43,000 | 2,032,610 | 0.7 | % | ||||||||
NorthWestern Corp. | 51,300 | 3,235,491 | 1.1 | % | ||||||||
ONE Gas, Inc. | 60,800 | 4,048,672 | 1.4 | % | ||||||||
PNM Resources, Inc. | 120,700 | 4,277,608 | 1.4 | % | ||||||||
Portland General Electric Company | 54,700 | 2,413,364 | 0.8 | % | ||||||||
Southwest Gas Corp. | 28,700 | 2,258,977 | 0.8 | % | ||||||||
OTHER SECURITIES | 4,586,604 | 1.5 | % | |||||||||
22,853,326 | ||||||||||||
TOTAL COMMON STOCKS (Cost $219,684,252) | $ | 294,770,406 | ||||||||||
SECURITIES LENDING COLLATERAL - 2.8% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 834,975 | 8,355,594 | 2.8 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $8,355,789) | $ | 8,355,594 | ||||||||||
SHORT-TERM INVESTMENTS - 0.9% | ||||||||||||
Money market funds - 0.9% | $ | 2,738,392 | 0.9 | % | ||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $2,738,392) | $ | 2,738,392 | ||||||||||
Total Investments (Small Company Value Trust) | ||||||||||||
(Cost $230,778,433) - 102.6% | $ | 305,864,392 | 102.6 | % | ||||||||
Other assets and liabilities, net - (2.6%) | (7,736,976 | ) | (2.6 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 298,127,416 | 100.0 | % |
The accompanying notes are an integral part of the financial statements. | 47 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Strategic Equity Allocation Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 96.7% | ||||||||||||
Consumer discretionary - 11.8% | ||||||||||||
Amazon.com, Inc. (I) | 114,157 | $ | 81,693,032 | 0.9 | % | |||||||
Comcast Corp., Class A | 714,374 | 46,570,041 | 0.5 | % | ||||||||
McDonald’s Corp. | 258,953 | 31,162,404 | 0.3 | % | ||||||||
The Home Depot, Inc. | 366,910 | 46,850,738 | 0.5 | % | ||||||||
The Walt Disney Company | 440,738 | 43,112,991 | 0.5 | % | ||||||||
Toyota Motor Corp. | 667,852 | 32,924,101 | 0.4 | % | ||||||||
OTHER SECURITIES | 850,370,960 | 8.7 | % | |||||||||
1,132,684,267 | ||||||||||||
Consumer staples - 10.3% | ||||||||||||
Altria Group, Inc. | 577,701 | 39,838,261 | 0.4 | % | ||||||||
British American Tobacco PLC | 466,186 | 30,222,376 | 0.3 | % | ||||||||
CVS Health Corp. | 316,875 | 30,337,613 | 0.3 | % | ||||||||
Nestle SA | 797,290 | 61,772,676 | 0.7 | % | ||||||||
PepsiCo, Inc. | 426,180 | 45,149,509 | 0.5 | % | ||||||||
Philip Morris International, Inc. | 457,857 | 46,573,214 | 0.5 | % | ||||||||
The Coca-Cola Company | 1,148,924 | 52,080,725 | 0.6 | % | ||||||||
The Procter & Gamble Company | 784,841 | 66,452,487 | 0.7 | % | ||||||||
Wal-Mart Stores, Inc. | 450,256 | 32,877,693 | 0.4 | % | ||||||||
OTHER SECURITIES | 587,622,330 | 5.9 | % | |||||||||
992,926,884 | ||||||||||||
Energy - 6.1% | ||||||||||||
Chevron Corp. | 556,589 | 58,347,225 | 0.6 | % | ||||||||
Exxon Mobil Corp. | 1,223,891 | 114,727,542 | 1.2 | % | ||||||||
Royal Dutch Shell PLC, A Shares | 1,052,707 | 28,912,748 | 0.3 | % | ||||||||
Royal Dutch Shell PLC, B Shares | 936,669 | 25,878,827 | 0.3 | % | ||||||||
Schlumberger, Ltd. | 410,914 | 32,495,079 | 0.4 | % | ||||||||
OTHER SECURITIES | 323,950,886 | 3.3 | % | |||||||||
584,312,307 | ||||||||||||
Financials - 18.4% | ||||||||||||
Bank of America Corp. | 3,031,728 | 40,231,031 | 0.4 | % | ||||||||
Berkshire | ||||||||||||
Hathaway, Inc., Class B (I) | 552,457 | 79,990,249 | 0.8 | % | ||||||||
Citigroup, Inc. | 865,515 | 36,689,181 | 0.4 | % | ||||||||
HSBC Holdings PLC | 4,923,007 | 30,500,729 | 0.3 | % | ||||||||
JPMorgan Chase & Co. | 1,077,609 | 66,962,623 | 0.7 | % | ||||||||
State Street Corp. | 117,425 | 6,331,556 | 0.1 | % | ||||||||
Wells Fargo & Company | 1,363,048 | 64,513,062 | 0.7 | % | ||||||||
OTHER SECURITIES | 1,447,389,594 | 15.0 | % | |||||||||
1,772,608,025 | ||||||||||||
Health care - 13.2% | ||||||||||||
AbbVie, Inc. | 476,759 | 29,516,150 | 0.3 | % | ||||||||
Amgen, Inc. | 222,046 | 33,784,299 | 0.4 | % | ||||||||
Bristol-Myers Squibb Company | 492,737 | 36,240,806 | 0.4 | % | ||||||||
Gilead Sciences, Inc. | 392,665 | 32,756,114 | 0.4 | % | ||||||||
Johnson & Johnson | 811,755 | 98,465,882 | 1.0 | % | ||||||||
Medtronic PLC | 415,060 | 36,014,756 | 0.4 | % | ||||||||
Merck & Company, Inc. | 814,851 | 46,943,566 | 0.5 | % | ||||||||
Novartis AG | 569,014 | 46,965,559 | 0.5 | % | ||||||||
Pfizer, Inc. | 1,789,169 | 62,996,640 | 0.7 | % | ||||||||
Roche Holding AG | 175,690 | 46,361,038 | 0.5 | % | ||||||||
UnitedHealth Group, Inc. | 280,509 | 39,607,871 | 0.4 | % | ||||||||
OTHER SECURITIES | 762,641,250 | 7.7 | % | |||||||||
1,272,293,931 | ||||||||||||
Industrials - 11.0% | ||||||||||||
3M Company | 178,843 | 31,318,986 | 0.3 | % | ||||||||
General Electric Company | 2,713,440 | 85,419,091 | 0.9 | % | ||||||||
OTHER SECURITIES | 941,517,780 | 9.8 | % | |||||||||
1,058,255,857 |
Strategic Equity Allocation Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Information technology - 14.5% | ||||||||||||
Alphabet, Inc., Class A (I) | 86,544 | $ | 60,886,300 | 0.6 | % | |||||||
Alphabet, Inc., Class C (I) | 87,254 | 60,388,493 | 0.6 | % | ||||||||
Apple, Inc. | 1,615,999 | 154,489,504 | 1.6 | % | ||||||||
Cisco Systems, Inc. | 1,484,289 | 42,584,251 | 0.5 | % | ||||||||
Facebook, Inc., Class A (I) | 682,097 | 77,950,045 | 0.8 | % | ||||||||
IBM Corp. | 260,780 | 39,581,188 | 0.4 | % | ||||||||
Intel Corp. | 1,392,956 | 45,688,957 | 0.5 | % | ||||||||
Microsoft Corp. | 2,318,576 | 118,641,534 | 1.3 | % | ||||||||
Oracle Corp. | 918,628 | 37,599,444 | 0.4 | % | ||||||||
Visa, Inc., Class A | 561,134 | 41,619,309 | 0.4 | % | ||||||||
OTHER SECURITIES | 711,089,902 | 7.4 | % | |||||||||
1,390,518,927 | ||||||||||||
Materials - 4.4% | 417,905,781 | 4.4 | % | |||||||||
Telecommunication services - 3.2% | ||||||||||||
AT&T, Inc. | 1,816,329 | 78,483,576 | 0.8 | % | ||||||||
Verizon Communications, Inc. | 1,202,722 | 67,159,996 | 0.7 | % | ||||||||
OTHER SECURITIES | 166,449,778 | 1.7 | % | |||||||||
312,093,350 | ||||||||||||
Utilities - 3.8% | 363,618,797 | 3.8 | % | |||||||||
TOTAL COMMON STOCKS (Cost $7,412,003,027) | $ | 9,297,218,126 | ||||||||||
PREFERRED SECURITIES - 0.1% | ||||||||||||
Consumer discretionary - 0.1% | 8,827,269 | 0.1 | % | |||||||||
Consumer staples - 0.0% | 5,438,123 | 0.0 | % | |||||||||
Materials - 0.0% | 676,034 | 0.0 | % | |||||||||
TOTAL PREFERRED | ||||||||||||
SECURITIES (Cost $17,374,403) | $ | 14,941,426 | ||||||||||
Rights 0.0% | 110,056 | 0.0 | % | |||||||||
TOTAL RIGHTS (Cost $307,854) | $ | 110,056 | ||||||||||
SECURITIES LENDING COLLATERAL - 1.4% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 13,288,317 | 132,976,190 | 1.4 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $132,954,374) | $ | 132,976,190 | ||||||||||
SHORT-TERM INVESTMENTS - 2.6% | ||||||||||||
Repurchase agreement - 2.6% | ||||||||||||
Repurchase Agreement with State | ||||||||||||
Street Corp. dated 06/30/2016 at | ||||||||||||
0.030% to be repurchased at | ||||||||||||
$251,630,210 on 07/01/2016, | ||||||||||||
collateralized by $209,685,000 | ||||||||||||
U.S. Treasury Bonds, 3.000%- | ||||||||||||
3.750% due 11/15/2043 to | ||||||||||||
05/15/2045 (valued at | ||||||||||||
$256,673,613, including interest) | $ | 251,630,000 | $ | 251,630,000 | 2.6 | % | ||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $251,630,000) | $ | 251,630,000 | ||||||||||
Total Investments (Strategic Equity Allocation Trust) | ||||||||||||
(Cost $7,814,269,658) - 100.8% | $ | 9,696,875,798 | 100.8 | % | ||||||||
Other assets and liabilities, net - (0.8%) | (81,618,813 | ) | (0.8 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 9,615,256,985 | 100.0 | % |
The accompanying notes are an integral part of the financial statements. | 48 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Total Stock Market Index Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 98.5% | ||||||||||||
Consumer discretionary - 13.1% | ||||||||||||
Amazon.com, Inc. (I) | 11,178 | $ | 7,999,200 | 1.4 | % | |||||||
Comcast Corp., Class A | 59,232 | 3,861,334 | 0.7 | % | ||||||||
McDonald’s Corp. | 22,163 | 2,667,095 | 0.5 | % | ||||||||
NIKE, Inc., Class B | 40,899 | 2,257,625 | 0.4 | % | ||||||||
The Home Depot, Inc. | 30,425 | 3,884,968 | 0.7 | % | ||||||||
The Walt Disney Company | 39,703 | 3,883,747 | 0.7 | % | ||||||||
OTHER SECURITIES | 51,810,717 | 8.7 | % | |||||||||
76,364,686 | ||||||||||||
Consumer staples - 10.1% | ||||||||||||
Altria Group, Inc. | 46,917 | 3,235,396 | 0.6 | % | ||||||||
CVS Health Corp. | 26,645 | 2,550,992 | 0.5 | % | ||||||||
PepsiCo, Inc. | 35,324 | 3,742,225 | 0.7 | % | ||||||||
Philip Morris International, Inc. | 36,912 | 3,754,689 | 0.7 | % | ||||||||
The Coca-Cola Company | 104,109 | 4,719,261 | 0.8 | % | ||||||||
The Kraft Heinz Company | 28,435 | 2,515,929 | 0.4 | % | ||||||||
The Procter & Gamble Company | 64,365 | 5,449,785 | 1.0 | % | ||||||||
Wal-Mart Stores, Inc. | 76,528 | 5,588,075 | 1.0 | % | ||||||||
Walgreens Boots Alliance, Inc. | 25,970 | 2,162,522 | 0.4 | % | ||||||||
OTHER SECURITIES | 24,793,025 | 4.0 | % | |||||||||
58,511,899 | ||||||||||||
Energy - 7.5% | ||||||||||||
Chevron Corp. | 44,769 | 4,693,134 | 0.8 | % | ||||||||
Exxon Mobil Corp. | 99,927 | 9,367,157 | 1.6 | % | ||||||||
Schlumberger, Ltd. | 33,766 | 2,670,215 | 0.5 | % | ||||||||
OTHER SECURITIES | 26,712,652 | 4.6 | % | |||||||||
43,443,158 | ||||||||||||
Financials - 17.0% | ||||||||||||
Bank of America Corp. | 249,784 | 3,314,634 | 0.6 | % | ||||||||
Berkshire | ||||||||||||
Hathaway, Inc., Class B (I) | 57,603 | 8,340,338 | 1.5 | % | ||||||||
Citigroup, Inc. | 71,059 | 3,012,191 | 0.5 | % | ||||||||
JPMorgan Chase & Co. | 88,070 | 5,472,670 | 1.0 | % | ||||||||
State Street Corp. | 9,811 | 529,009 | 0.1 | % | ||||||||
Wells Fargo & Company | 122,160 | 5,781,833 | 1.0 | % | ||||||||
OTHER SECURITIES | 72,104,818 | 12.3 | % | |||||||||
98,555,493 | ||||||||||||
Health care - 13.1% | ||||||||||||
AbbVie, Inc. | 39,440 | 2,441,730 | 0.4 | % | ||||||||
Allergan PLC (I) | 9,329 | 2,155,839 | 0.4 | % | ||||||||
Amgen, Inc. | 18,083 | 2,751,328 | 0.5 | % | ||||||||
Bristol-Myers Squibb Company | 39,613 | 2,913,536 | 0.5 | % | ||||||||
Gilead Sciences, Inc. | 34,630 | 2,888,835 | 0.5 | % | ||||||||
Johnson & Johnson | 66,261 | 8,037,459 | 1.4 | % | ||||||||
Merck & Company, Inc. | 67,245 | 3,873,984 | 0.7 | % | ||||||||
Pfizer, Inc. | 146,070 | 5,143,125 | 0.9 | % | ||||||||
UnitedHealth Group, Inc. | 22,717 | 3,207,640 | 0.6 | % | ||||||||
OTHER SECURITIES | 42,697,726 | 7.2 | % | |||||||||
76,111,202 | ||||||||||||
Industrials - 10.0% | ||||||||||||
3M Company | 14,888 | 2,607,187 | 0.5 | % | ||||||||
General Electric Company | 239,980 | 7,554,570 | 1.3 | % | ||||||||
Honeywell International, Inc. | 18,636 | 2,167,740 | 0.4 | % | ||||||||
United Parcel Service, Inc., Class B | 21,514 | 2,317,488 | 0.4 | % | ||||||||
United Technologies Corp. | 21,248 | 2,178,982 | 0.4 | % | ||||||||
OTHER SECURITIES | 41,037,993 | 7.0 | % | |||||||||
57,863,960 | ||||||||||||
Information technology - 18.6% | ||||||||||||
Alphabet, Inc., Class C (I) | 16,388 | 11,342,135 | 2.0 | % | ||||||||
Apple, Inc. | 133,310 | 12,744,436 | 2.2 | % |
Total Stock Market Index Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Information technology (continued) | ||||||||||||
Cisco Systems, Inc. | 121,634 | $ | 3,489,679 | 0.6 | % | |||||||
Facebook, Inc., Class A (I) | 67,407 | 7,703,272 | 1.3 | % | ||||||||
IBM Corp. | 23,364 | 3,546,188 | 0.6 | % | ||||||||
Intel Corp. | 112,806 | 3,700,037 | 0.7 | % | ||||||||
MasterCard, Inc., Class A | 27,105 | 2,386,866 | 0.4 | % | ||||||||
Microsoft Corp. | 191,681 | 9,808,317 | 1.7 | % | ||||||||
Oracle Corp. | 105,589 | 4,321,758 | 0.8 | % | ||||||||
Visa, Inc., Class A | 53,100 | 3,938,427 | 0.7 | % | ||||||||
OTHER SECURITIES | 44,731,670 | 7.6 | % | |||||||||
107,712,785 | ||||||||||||
Materials - 3.1% | 17,977,034 | 3.1 | % | |||||||||
Telecommunication services - 2.6% | ||||||||||||
AT&T, Inc. | 146,356 | 6,324,043 | 1.1 | % | ||||||||
Verizon Communications, Inc. | 98,881 | 5,521,515 | 1.0 | % | ||||||||
OTHER SECURITIES | 3,278,522 | 0.5 | % | |||||||||
15,124,080 | ||||||||||||
Utilities - 3.4% | 19,838,908 | 3.4 | % | |||||||||
TOTAL COMMON STOCKS (Cost $340,629,233) | $ | 571,503,205 | ||||||||||
CONVERTIBLE BONDS - 0.0% | ||||||||||||
Health care - 0.0% | $ | 751 | 0.0 | % | ||||||||
TOTAL CONVERTIBLE BONDS (Cost $779) | $ | 751 | ||||||||||
Warrants 0.0% | 212 | 0.0 | % | |||||||||
TOTAL WARRANTS (Cost $19,078) | $ | 212 | ||||||||||
SECURITIES LENDING COLLATERAL - 1.7% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 998,028 | 9,987,271 | 1.7 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $9,987,287) | $ | 9,987,271 | ||||||||||
SHORT-TERM INVESTMENTS - 1.8% | ||||||||||||
Repurchase agreement - 1.8% | ||||||||||||
Repurchase Agreement with State Street Corp. dated 06/30/2016 at 0.030% to be repurchased at $10,520,008 on 07/01/2016, collateralized by $9,340,000 U.S. Treasury Bonds, 3.000% due 05/15/2045 to 11/15/2045 (valued at $10,733,194, including interest) | $ | 10,520,000 | $ | 10,520,000 | 1.8 | % | ||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $10,520,000) | $ | 10,520,000 | ||||||||||
Total Investments (Total Stock Market Index Trust) | ||||||||||||
(Cost $361,156,377) - 102.0% | $ | 592,011,439 | 102.0 | % | ||||||||
Other assets and liabilities, net - (2.0%) | (11,662,702 | ) | (2.0 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 580,348,737 | 100.0 | % |
U.S. Equity Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 96.3% | ||||||||||||
Consumer discretionary - 14.7% | ||||||||||||
Bed Bath & Beyond, Inc. | 117,200 | $ | 5,065,384 | 0.8 | % |
The accompanying notes are an integral part of the financial statements. | 49 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
U.S. Equity Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Consumer discretionary (continued) | ||||||||||||
Comcast Corp., Class A | 107,800 | $ | 7,027,482 | 1.0 | % | |||||||
Foot Locker, Inc. | 119,400 | 6,550,284 | 1.0 | % | ||||||||
Lear Corp. | 50,900 | 5,179,584 | 0.8 | % | ||||||||
Lowe’s Companies, Inc. | 54,700 | 4,330,599 | 0.6 | % | ||||||||
NIKE, Inc., Class B | 87,040 | 4,804,608 | 0.7 | % | ||||||||
Omnicom Group, Inc. | 57,500 | 4,685,675 | 0.7 | % | ||||||||
Target Corp. | 54,500 | 3,805,190 | 0.6 | % | ||||||||
The Home Depot, Inc. | 184,200 | 23,520,498 | 3.5 | % | ||||||||
OTHER SECURITIES | 33,256,024 | 5.0 | % | |||||||||
98,225,328 | ||||||||||||
Consumer staples - 5.0% | ||||||||||||
CVS Health Corp. | 55,600 | 5,323,144 | 0.8 | % | ||||||||
Dr. Pepper Snapple Group, Inc. | 145,100 | 14,021,013 | 2.1 | % | ||||||||
Ingredion, Inc. | 56,900 | 7,363,429 | 1.1 | % | ||||||||
OTHER SECURITIES | 6,363,578 | 1.0 | % | |||||||||
33,071,164 | ||||||||||||
Energy - 6.3% | ||||||||||||
Chevron Corp. | 107,771 | 11,297,634 | 1.7 | % | ||||||||
Tesoro Corp. | 114,800 | 8,600,816 | 1.3 | % | ||||||||
Valero Energy Corp. | 360,700 | 18,395,700 | 2.7 | % | ||||||||
OTHER SECURITIES | 4,074,683 | 0.6 | % | |||||||||
42,368,833 | ||||||||||||
Financials - 13.9% | ||||||||||||
Aflac, Inc. | 55,300 | 3,990,448 | 0.6 | % | ||||||||
Capital One Financial Corp. | 91,000 | 5,779,410 | 0.9 | % | ||||||||
Citigroup, Inc. | 242,100 | 10,262,619 | 1.5 | % | ||||||||
JPMorgan Chase & Co. | 283,400 | 17,610,476 | 2.6 | % | ||||||||
Nasdaq, Inc. | 61,800 | 3,996,606 | 0.6 | % | ||||||||
The Travelers Companies, Inc. | 176,900 | 21,058,176 | 3.2 | % | ||||||||
OTHER SECURITIES | 30,307,364 | 4.5 | % | |||||||||
93,005,099 | ||||||||||||
Health care - 15.5% | ||||||||||||
Aetna, Inc. | 83,500 | 10,197,855 | 1.5 | % | ||||||||
Anthem, Inc. | 54,800 | 7,197,432 | 1.1 | % | ||||||||
Johnson & Johnson | 251,500 | 30,506,950 | 4.6 | % | ||||||||
Pfizer, Inc. | 698,900 | 24,608,269 | 3.7 | % | ||||||||
UnitedHealth Group, Inc. | 171,222 | 24,176,546 | 3.6 | % | ||||||||
OTHER SECURITIES | 7,211,422 | 1.0 | % | |||||||||
103,898,474 | ||||||||||||
Industrials - 12.3% | ||||||||||||
3M Company | 92,000 | 16,111,040 | 2.4 | % | ||||||||
Cintas Corp. | 47,400 | 4,651,362 | 0.7 | % | ||||||||
Delta Air Lines, Inc. | 176,000 | 6,411,680 | 1.0 | % | ||||||||
Emerson Electric Company | 90,200 | 4,704,832 | 0.7 | % | ||||||||
Honeywell International, Inc. | 54,000 | 6,281,280 | 0.9 | % | ||||||||
Northrop Grumman Corp. | 21,500 | 4,779,020 | 0.7 | % | ||||||||
Snap-on, Inc. | 39,000 | 6,154,980 | 0.9 | % | ||||||||
United Parcel Service, Inc., Class B | 38,600 | 4,157,992 | 0.6 | % | ||||||||
OTHER SECURITIES | 28,839,726 | 4.4 | % | |||||||||
82,091,912 | ||||||||||||
Information technology - 20.0% | ||||||||||||
Accenture PLC, Class A | 65,200 | 7,386,508 | 1.1 | % | ||||||||
Amdocs, Ltd. | 82,800 | 4,779,216 | 0.7 | % | ||||||||
Apple, Inc. | 200,120 | 19,131,472 | 2.9 | % | ||||||||
Arrow Electronics, Inc. (I) | 86,200 | 5,335,780 | 0.8 | % | ||||||||
Avnet, Inc. | 128,400 | 5,201,484 | 0.8 | % | ||||||||
Cisco Systems, Inc. | 623,319 | 17,883,022 | 2.7 | % | ||||||||
Fiserv, Inc. (I) | 66,400 | 7,219,672 | 1.1 | % | ||||||||
IBM Corp. | 74,302 | 11,277,558 | 1.7 | % |
U.S. Equity Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Information technology (continued) | ||||||||||||
Intel Corp. | 588,900 | $ | 19,315,920 | 2.9 | % | |||||||
Paychex, Inc. | 110,300 | 6,562,850 | 1.0 | % | ||||||||
QUALCOMM, Inc. | 176,702 | 9,465,926 | 1.4 | % | ||||||||
OTHER SECURITIES | 20,358,451 | 2.9 | % | |||||||||
133,917,859 | ||||||||||||
Materials - 2.5% | ||||||||||||
Avery Dennison Corp. | 74,300 | 5,553,925 | 0.8 | % | ||||||||
LyondellBasell | ||||||||||||
Industries NV, Class A | 132,900 | 9,890,418 | 1.5 | % | ||||||||
OTHER SECURITIES | 1,550,753 | 0.2 | % | |||||||||
16,995,096 | ||||||||||||
Telecommunication services - 4.3% | ||||||||||||
Verizon Communications, Inc. | 501,100 | 27,981,424 | 4.2 | % | ||||||||
OTHER SECURITIES | 531,180 | 0.1 | % | |||||||||
28,512,604 | ||||||||||||
Utilities - 1.8% | 12,175,009 | 1.8 | % | |||||||||
TOTAL COMMON STOCKS (Cost $614,186,822) | $ | 644,261,378 | ||||||||||
Rights 0.0% | 108 | 0.0 | % | |||||||||
TOTAL RIGHTS (Cost $1,554) | $ | 108 | ||||||||||
SECURITIES LENDING COLLATERAL - 0.2% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 137,358 | 1,374,543 | 0.2 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $1,374,584) | $ | 1,374,543 | ||||||||||
SHORT-TERM INVESTMENTS - 3.6% | ||||||||||||
U.S. Government - 1.2% | ||||||||||||
U.S. Treasury Bill | ||||||||||||
0.888%, 10/27/2016 * | $ | 8,000,000 | $ | 7,994,224 | 1.2 | % | ||||||
Money market funds - 2.4% | ||||||||||||
State Street Institutional Treasury | ||||||||||||
Money Market Fund, Premier | ||||||||||||
Class, 0.1372% (Y) | 15,622,042 | $ | 15,622,042 | 2.4 | % | |||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $23,612,119) | $ | 23,616,266 | ||||||||||
Total Investments (U.S. Equity Trust) | ||||||||||||
(Cost $639,175,079) - 100.1% | $ | 669,252,295 | 100.1 | % | ||||||||
Other assets and liabilities, net - (0.1%) | (445,172 | ) | (0.1 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 668,807,123 | 100.0 | % |
Utilities Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 84.6% | ||||||||||||
Consumer discretionary - 6.2% | ||||||||||||
Charter | ||||||||||||
Communications, Inc., Class A (I) | 47,889 | $ | 10,949,341 | 2.9 | % | |||||||
Comcast Corp., Class A | 125,150 | 8,158,529 | 2.2 | % | ||||||||
OTHER SECURITIES | 4,068,463 | 1.1 | % | |||||||||
23,176,333 | ||||||||||||
Energy - 13.4% | ||||||||||||
Enbridge, Inc. | 166,753 | 7,064,044 | 1.9 | % |
The accompanying notes are an integral part of the financial statements. | 50 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Utilities Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Energy (continued) | ||||||||||||
Energy Transfer Partners LP | 160,749 | $ | 6,119,714 | 1.7 | % | |||||||
Enterprise Products Partners LP | 254,537 | 7,447,753 | 2.0 | % | ||||||||
EQT Midstream Partners LP (L) | 50,260 | 4,035,878 | 1.1 | % | ||||||||
Kinder Morgan, Inc. | 68,070 | 1,274,270 | 0.3 | % | ||||||||
Plains GP Holdings LP, Class A | 220,099 | 2,295,633 | 0.6 | % | ||||||||
Sunoco Logistics Partners LP | 143,208 | 4,117,230 | 1.1 | % | ||||||||
The Williams Companies, Inc. | 168,730 | 3,649,630 | 1.0 | % | ||||||||
Williams Partners LP | 115,629 | 4,005,389 | 1.1 | % | ||||||||
OTHER SECURITIES | 10,008,567 | 2.6 | % | |||||||||
50,018,108 | ||||||||||||
Financials - 1.6% | ||||||||||||
American Tower Corp. | 52,301 | 5,941,917 | 1.6 | % | ||||||||
Industrials - 0.3% | 1,118,732 | 0.3 | % | |||||||||
Telecommunication services - 9.8% | ||||||||||||
BT Group PLC | 462,930 | 2,544,539 | 0.7 | % | ||||||||
Com Hem Holding AB | 642,987 | 5,429,775 | 1.5 | % | ||||||||
Hellenic | ||||||||||||
Telecommunications | ||||||||||||
Organization SA | 261,761 | 2,391,625 | 0.6 | % | ||||||||
KDDI Corp. | 87,200 | 2,651,728 | 0.7 | % | ||||||||
Mobile TeleSystems PJSC, ADR | 265,929 | 2,201,892 | 0.6 | % | ||||||||
SBA | ||||||||||||
Communications Corp., | ||||||||||||
Class A (I) | 42,520 | 4,589,609 | 1.2 | % | ||||||||
TDC A/S | 607,590 | 2,977,476 | 0.8 | % | ||||||||
Vodafone Group PLC | 1,360,191 | 4,147,028 | 1.1 | % | ||||||||
OTHER SECURITIES | 9,695,515 | 2.6 | % | |||||||||
36,629,187 | ||||||||||||
Utilities - 53.3% | ||||||||||||
AES Corp. | 704,574 | 8,793,084 | 2.4 | % | ||||||||
Ameren Corp. | 104,288 | 5,587,751 | 1.5 | % | ||||||||
American Electric | ||||||||||||
Power Company, Inc. | 136,653 | 9,578,009 | 2.6 | % | ||||||||
Calpine Corp. (I) | 647,392 | 9,549,032 | 2.6 | % | ||||||||
China Longyuan Power | ||||||||||||
Group Corp., H Shares | 2,545,000 | 2,124,569 | 0.6 | % | ||||||||
China Resources Gas Group, Ltd. | 1,334,000 | 4,056,879 | 1.1 | % | ||||||||
DTE Energy Company | 47,469 | 4,705,127 | 1.3 | % | ||||||||
Dynegy, Inc. (I) | 428,068 | 7,379,892 | 2.0 | % | ||||||||
Edison International | 41,024 | 3,186,334 | 0.8 | % | ||||||||
EDP - Energias de Portugal SA | 2,375,145 | 7,271,667 | 1.9 | % | ||||||||
EDP Renovaveis SA | 1,390,065 | 10,462,956 | 2.8 | % | ||||||||
Enel SpA | 2,014,206 | 8,941,955 | 2.4 | % | ||||||||
Engie SA | 243,263 | 3,905,991 | 1.0 | % | ||||||||
Exelon Corp. | 469,253 | 17,062,039 | 4.6 | % | ||||||||
FirstEnergy Corp. | 124,154 | 4,334,216 | 1.2 | % | ||||||||
Iberdrola SA | 502,018 | 3,424,548 | 0.9 | % | ||||||||
NextEra Energy Partners LP | 117,973 | 3,584,020 | 1.0 | % | ||||||||
NextEra Energy, Inc. | 143,749 | 18,744,870 | 5.0 | % | ||||||||
NRG Energy, Inc. | 389,773 | 5,842,697 | 1.6 | % | ||||||||
NRG Yield, Inc., Class A (L) | 141,699 | 2,156,659 | 0.6 | % | ||||||||
NRG Yield, Inc., Class C | 128,504 | 2,003,377 | 0.5 | % | ||||||||
PG&E Corp. | 125,457 | 8,019,211 | 2.1 | % | ||||||||
PPL Corp. | 392,229 | 14,806,645 | 4.0 | % | ||||||||
Public Service | ||||||||||||
Enterprise Group, Inc. | 62,583 | 2,916,994 | 0.8 | % | ||||||||
Sempra Energy | 118,261 | 13,484,119 | 3.6 | % | ||||||||
SSE PLC | 195,014 | 4,058,855 | 1.1 | % | ||||||||
OTHER SECURITIES | 12,375,540 | 3.3 | % | |||||||||
198,357,036 | ||||||||||||
TOTAL COMMON STOCKS (Cost $317,483,072) | $ | 315,241,313 |
Utilities Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
PREFERRED SECURITIES - 9.4% | ||||||||||||
Energy - 1.7% | ||||||||||||
Anadarko Petroleum Corp., 7.500% | 62,536 | $ | 2,292,570 | 0.6 | % | |||||||
Kinder Morgan, Inc., 9.750% (L) | 81,547 | 3,983,571 | 1.1 | % | ||||||||
6,276,141 | ||||||||||||
Financials - 0.5% | ||||||||||||
American Tower Corp., 5.500% | 17,328 | 1,946,281 | 0.5 | % | ||||||||
Telecommunication services - 0.8% | ||||||||||||
Frontier | ||||||||||||
Communications Corp., 11.125% | 31,318 | 2,969,573 | 0.8 | % | ||||||||
Utilities - 6.4% | ||||||||||||
Dominion Resources, Inc., 6.000% | 60,028 | 3,607,683 | 1.0 | % | ||||||||
Dominion Resources, Inc., 6.375% | 51,179 | 2,653,119 | 0.7 | % | ||||||||
Dynegy, Inc., 5.375% (L) | 44,210 | 2,738,810 | 0.7 | % | ||||||||
Dynegy, Inc., 7.000% | 12,563 | 1,353,286 | 0.4 | % | ||||||||
Exelon Corp., 6.500% | 172,678 | 8,519,933 | 2.3 | % | ||||||||
NextEra Energy, Inc., 5.799% | 20,564 | 1,371,824 | 0.4 | % | ||||||||
NextEra Energy, Inc., 6.371% | 32,851 | 2,128,088 | 0.6 | % | ||||||||
OTHER SECURITIES | 1,260,745 | 0.3 | % | |||||||||
23,633,488 | ||||||||||||
TOTAL PREFERRED | ||||||||||||
SECURITIES (Cost $35,531,371) | $ | 34,825,483 | ||||||||||
Other 0.3% | 1,068,226 | 0.3 | % | |||||||||
TOTAL OTHER (Cost $872,013) | $ | 1,068,226 | ||||||||||
SECURITIES LENDING COLLATERAL - 2.9% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 1,075,836 | 10,765,890 | 2.9 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $10,766,201) | $ | 10,765,890 | ||||||||||
SHORT-TERM INVESTMENTS - 2.6% | ||||||||||||
U.S. Government Agency - 1.3% | ||||||||||||
Federal Home Loan Bank Discount | ||||||||||||
Note | ||||||||||||
0.100%, 07/01/2016* | $ | 4,913,000 | $ | 4,913,000 | 1.3 | % | ||||||
Repurchase agreement - 1.3% | ||||||||||||
Repurchase Agreement with State Street Corp. dated 06/30/2016 at 0.030% to be repurchased at $4,892,004 on 07/01/2016, collateralized by $4,790,000 U.S. Treasury Inflation Indexed Notes, 0.125% due 04/15/2019 (valued at $4,993,575, including interest) | | | 4,892,000 | | | | 4,892,000 | | | | 1.3 | % |
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $9,805,000) | $ | 9,805,000 | ||||||||||
Total Investments (Utilities Trust) | ||||||||||||
(Cost $374,457,657) - 99.8% | $ | 371,705,912 | 99.8 | % | ||||||||
Other assets and liabilities, net - 0.2% | 868,873 | 0.2 | % | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 372,574,785 | 100.0 | % |
The accompanying notes are an integral part of the financial statements. | 51 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Value Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 96.6% | ||||||||||||
Consumer discretionary - 11.4% | ||||||||||||
Advance Auto Parts, Inc. | 83,671 | $ | 13,523,744 | 2.6 | % | |||||||
Ascena Retail Group, Inc. (I) | 900,353 | 6,293,467 | 1.2 | % | ||||||||
Dana Holding Corp. | 458,131 | 4,837,863 | 0.9 | % | ||||||||
Johnson Controls, Inc. | 482,702 | 21,364,392 | 4.1 | % | ||||||||
TEGNA, Inc. | 588,755 | 13,641,453 | 2.6 | % | ||||||||
59,660,919 | ||||||||||||
Consumer staples - 3.0% | ||||||||||||
ConAgra Foods, Inc. | 334,027 | 15,969,831 | 3.0 | % | ||||||||
Energy - 7.6% | ||||||||||||
Amec Foster Wheeler PLC | 874,372 | 5,749,082 | 1.1 | % | ||||||||
Amec Foster Wheeler PLC, ADR | 38,139 | 249,048 | 0.0 | % | ||||||||
Baker Hughes, Inc. | 277,302 | 12,514,639 | 2.4 | % | ||||||||
Devon Energy Corp. | 444,594 | 16,116,533 | 3.1 | % | ||||||||
The Williams Companies, Inc. | 250,127 | 5,410,247 | 1.0 | % | ||||||||
40,039,549 | ||||||||||||
Financials - 23.6% | ||||||||||||
Arthur J. Gallagher & Company | 249,292 | 11,866,299 | 2.3 | % | ||||||||
BB&T Corp. | 408,249 | 14,537,747 | 2.8 | % | ||||||||
Comerica, Inc. | 244,803 | 10,068,747 | 1.9 | % | ||||||||
FNF Group | 430,490 | 16,143,375 | 3.1 | % | ||||||||
Forest City | ||||||||||||
Realty Trust, Inc., Class A | 841,722 | 18,778,818 | 3.6 | % | ||||||||
Kimco Realty Corp. | 207,170 | 6,500,995 | 1.3 | % | ||||||||
Stifel Financial Corp. (I) | 289,597 | 9,107,826 | 1.7 | % | ||||||||
Willis Towers Watson PLC | 131,279 | 16,319,292 | 3.1 | % | ||||||||
Wintrust Financial Corp. | 296,079 | 15,100,029 | 2.9 | % | ||||||||
Zions Bancorporation | 193,155 | 4,853,985 | 0.9 | % | ||||||||
123,277,113 | ||||||||||||
Health care - 8.5% | ||||||||||||
Brookdale Senior Living, Inc. (I) | 651,241 | 10,055,161 | 1.9 | % | ||||||||
HealthSouth Corp. | 400,160 | 15,534,211 | 3.0 | % | ||||||||
Universal Health | ||||||||||||
Services, Inc., Class B | 142,026 | 19,045,687 | 3.6 | % | ||||||||
44,635,059 | ||||||||||||
Industrials - 16.3% | ||||||||||||
Babcock & | ||||||||||||
Wilcox Enterprises, Inc. (I) | 214,094 | 3,145,041 | 0.6 | % | ||||||||
Clean Harbors, Inc. (I) | 227,757 | 11,868,417 | 2.3 | % | ||||||||
Fluor Corp. | 263,164 | 12,968,722 | 2.5 | % | ||||||||
Ingersoll-Rand PLC | 221,255 | 14,089,517 | 2.7 | % | ||||||||
Masco Corp. | 305,033 | 9,437,721 | 1.8 | % | ||||||||
Owens Corning | 233,732 | 12,041,873 | 2.3 | % | ||||||||
Swift Transportation Company (I) | 455,033 | 7,012,059 | 1.3 | % | ||||||||
Textron, Inc. | 409,862 | 14,984,555 | 2.8 | % | ||||||||
85,547,905 | ||||||||||||
Information technology - 12.3% | ||||||||||||
Ciena Corp. (I) | 753,952 | 14,136,600 | 2.7 | % | ||||||||
Citrix Systems, Inc. (I) | 143,747 | 11,512,697 | 2.2 | % | ||||||||
Diebold, Inc. | 340,257 | 8,448,581 | 1.6 | % | ||||||||
Keysight Technologies, Inc. (I) | 426,452 | 12,405,489 | 2.4 | % | ||||||||
Teradata Corp. (I) | 436,668 | 10,947,267 | 2.1 | % | ||||||||
Zebra | ||||||||||||
Technologies Corp., Class A (I) | 133,674 | 6,697,067 | 1.3 | % | ||||||||
64,147,701 | ||||||||||||
Materials - 7.6% | ||||||||||||
Eagle Materials, Inc. | 191,477 | 14,772,451 | 2.8 | % | ||||||||
Eastman Chemical Company | 212,447 | 14,425,151 | 2.8 | % | ||||||||
W.R. Grace & Company | 141,739 | 10,376,712 | 2.0 | % | ||||||||
39,574,314 |
Value Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Telecommunication services - 2.7% | ||||||||||||
Level 3 Communications, Inc. (I) | 273,512 | $ | 14,083,133 | 2.7 | % | |||||||
Utilities - 3.6% | ||||||||||||
CenterPoint Energy, Inc. | 227,768 | 5,466,432 | 1.0 | % | ||||||||
Edison International | 172,117 | 13,368,327 | 2.6 | % | ||||||||
18,834,759 | ||||||||||||
TOTAL COMMON STOCKS (Cost $483,258,184) | $ | 505,770,283 | ||||||||||
SHORT-TERM INVESTMENTS - 4.0% | ||||||||||||
Money market funds - 4.0% | ||||||||||||
State Street Institutional Liquid | ||||||||||||
Reserves Fund, Premier | ||||||||||||
Class, 0.4706% (Y) | 20,751,359 | $ | 20,751,359 | 4.0 | % | |||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $20,751,359) | $ | 20,751,359 | ||||||||||
Total Investments (Value Trust) | ||||||||||||
(Cost $504,009,543) - 100.6% | $ | 526,521,642 | 100.6 | % | ||||||||
Other assets and liabilities, net - (0.6%) | (3,275,189 | ) | (0.6 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 523,246,453 | 100.0 | % |
Percentages are based upon net assets.
Footnotes
Key to Security Abbreviations and Legend
ADR | American Depositary Receipts |
ETF | Exchange-Traded Fund |
Franklin | Franklin Advisers, Inc./Franklin Mutual Advisers, LLC |
FTSE | Financial Times and Stock Exchange |
GDR | Global Depositary Receipts |
JHAM | John Hancock Asset Management |
REIT | Real Estate Investment Trust |
SPDR | Standard & Poor’s Depositary Receipts |
Templeton | Templeton Global Advisors Limited |
(A) | The subadvisor is an affiliate of the advisor. |
(G) | The portfolio’s subadvisor is shown parenthetically. |
(I) | Non-income producing security. |
(L) | A portion of the security is on loan as of June 30, 2016. |
(M) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(R) | Direct placement securities are restricted as to resale and the fund has limited rights to registration under the Securities Act of 1933. For more information on this security refer to Note 11 of the Notes to financial statements. |
(S) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. |
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
(Y) | The rate shown is the annualized seven-day yield as of June 30, 2016. |
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
(1) | Manulife Asset Management (US) LLC is doing business as John Hancock Asset Management. |
The accompanying notes are an integral part of the financial statements. | 52 |
Alpha Opportunities Trust | |||||||||||
United States | 84.6 | % | |||||||||
Canada | 3.3 | % | |||||||||
United Kingdom | 2.3 | % | |||||||||
Switzerland | 1.7 | % | |||||||||
Ireland | 1.6 | % | |||||||||
China | 1.4 | % | |||||||||
Japan | 1.2 | % | |||||||||
Other countries | 3.9 | % | |||||||||
Total | 100.0 | % | |||||||||
Capital Appreciation Trust | |||||||||||
United States | 86.6 | % | |||||||||
China | 4.8 | % | |||||||||
Spain | 2.3 | % | |||||||||
Ireland | 2.0 | % | |||||||||
Denmark | 1.6 | % | |||||||||
Netherlands | 1.1 | % | |||||||||
Other countries | 1.6 | % | |||||||||
Total | 100.0 | % | |||||||||
Capital Appreciation Value Trust | |||||||||||
United States | 89.6 | % | |||||||||
United Kingdom | 5.1 | % | |||||||||
Cayman Islands | 1.5 | % | |||||||||
Netherlands | 1.3 | % | |||||||||
Canada | 1.2 | % | |||||||||
Other countries | 1.3 | % | |||||||||
Total | 100.0 | % | |||||||||
Financial Industries Trust | |||||||||||
United States | 84.7 | % | |||||||||
Switzerland | 3.2 | % | |||||||||
United Kingdom | 3.0 | % | |||||||||
Bermuda | 2.4 | % | |||||||||
Denmark | 1.8 | % | |||||||||
Italy | 1.7 | % | |||||||||
Ireland | 1.2 | % | |||||||||
Other countries | 2.0 | % | |||||||||
Total | 100.0 | % | |||||||||
Fundamental Large Cap Value Trust | |||||||||||
United States | 88.7 | % | |||||||||
Ireland | 2.4 | % | |||||||||
Netherlands | 2.0 | % | |||||||||
South Korea | 1.6 | % | |||||||||
Switzerland | 1.5 | % | |||||||||
United Kingdom | 1.5 | % | |||||||||
France | 1.2 | % | |||||||||
Canada | 1.1 | % | |||||||||
Total | 100.0 | % | |||||||||
Mid Value Trust | |||||||||||
United States | 88.9 | % | |||||||||
Canada | 4.8 | % | |||||||||
Bermuda | 1.6 | % | |||||||||
Ireland | 1.2 | % | |||||||||
United Kingdom | 1.1 | % | |||||||||
Other countries | 2.4 | % | |||||||||
Total | 100.0 | % | |||||||||
Mutual Shares Trust | |||||||||||
United States | 76.5 | % | |||||||||
United Kingdom | 7.4 | % | |||||||||
Ireland | 4.7 | % | |||||||||
Switzerland | 3.8 | % | |||||||||
Netherlands | 2.7 | % | |||||||||
South Korea | 1.2 | % | |||||||||
Israel | 1.0 | % | |||||||||
Finland | 1.0 | % | |||||||||
Other countries | 1.7 | % | |||||||||
Total | 100.0 | % | |||||||||
Science & Technology Trust | |||||||||||
United States | 78.2 | % | |||||||||
China | 9.8 | % | |||||||||
South Korea | 2.1 | % | |||||||||
United Kingdom | 1.7 | % | |||||||||
Singapore | 1.6 | % | |||||||||
Japan | 1.5 | % | |||||||||
Switzerland | 1.3 | % | |||||||||
Other countries | 3.8 | % | |||||||||
Total | 100.0 | % | |||||||||
Strategic Equity Allocation Trust | |||||||||||
United States | 67.9 | % | |||||||||
Japan | 7.1 | % | |||||||||
United Kingdom | 5.5 | % | |||||||||
Switzerland | 3.2 | % | |||||||||
France | 2.9 | % | |||||||||
Germany | 2.6 | % | |||||||||
Australia | 2.3 | % | |||||||||
Netherlands | 1.3 | % | |||||||||
Ireland | 1.0 | % | |||||||||
Hong Kong | 1.0 | % | |||||||||
Other countries | 5.2 | % | |||||||||
Total | 100.0 | % | |||||||||
Utilities Trust | |||||||||||
United States | 74.4 | % | |||||||||
Spain | 4.1 | % | |||||||||
United Kingdom | 3.4 | % | |||||||||
Italy | 2.6 | % | |||||||||
Canada | 2.6 | % | |||||||||
Portugal | 2.0 | % | |||||||||
France | 1.6 | % | |||||||||
Sweden | 1.5 | % | |||||||||
Brazil | 1.2 | % | |||||||||
Hong Kong | 1.1 | % | |||||||||
Other countries | 5.5 | % | |||||||||
Total | 100.0 | % |
Assets | 500 Index Trust B | | All Cap Core Trust | | Alpha Opportunities Trust | | American Asset Allocation Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 3,661,261,844 | $ | 292,743,550 | $ | 600,052,173 | $ | 1,510,469,961 | |||||||||||
Affiliated investments, at value | 24,167,408 | 22,042,459 | 24,454,566 | — | |||||||||||||||
Repurchase agreements, at value | 105,700,000 | — | 28,700,000 | — | |||||||||||||||
Total investments, at value | 3,791,129,252 | 314,786,009 | 653,206,739 | 1,510,469,961 | |||||||||||||||
Cash | 52,387 | — | 84,101 | — | |||||||||||||||
Foreign currency, at value | — | — | 21,732 | — | |||||||||||||||
Cash held at broker for futures contracts | 4,820,000 | 133,579 | — | — | |||||||||||||||
Receivable for investments sold | 2,915,708 | 299,956 | 2,634,718 | 270,799 | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 915 | — | |||||||||||||||
Receivable for fund shares sold | 573,580 | — | 1,399 | 46,451 | |||||||||||||||
Dividends and interest receivable | 4,063,773 | 470,497 | 711,669 | — | |||||||||||||||
Receivable for securities lending income | 9,951 | 18,424 | 34,410 | — | |||||||||||||||
Receivable for futures variation margin | 1,267,954 | 36,330 | — | — | |||||||||||||||
Receivable due from advisor | 23,878 | — | — | — | |||||||||||||||
Other assets | 60,779 | 56,022 | 4,641 | 179,036 | |||||||||||||||
Total assets | 3,804,917,262 | 315,800,817 | 656,700,324 | 1,510,966,247 | |||||||||||||||
Liabilities | |||||||||||||||||||
Due to custodian | — | 299,956 | — | — | |||||||||||||||
Payable for investments purchased | 3,795,887 | — | 5,061,182 | — | |||||||||||||||
Payable for fund shares repurchased | 15,922,638 | 234,675 | — | 285,823 | |||||||||||||||
Payable upon return of securities loaned | 24,178,960 | 22,049,025 | 24,460,389 | — | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 101,845 | 8,222 | 17,766 | 41,917 | |||||||||||||||
Trustees’ fees | 1,994 | 171 | 389 | 896 | |||||||||||||||
Other liabilities and accrued expenses | 181,390 | 32,816 | 57,816 | 42,787 | |||||||||||||||
Total liabilities | 44,182,714 | 22,624,865 | 29,597,542 | 371,423 | |||||||||||||||
Net assets | $ | 3,760,734,548 | $ | 293,175,952 | $ | 627,102,782 | $ | 1,510,594,824 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 2,201,434,281 | $ | 479,307,739 | $ | 551,105,484 | $ | 843,608,351 | |||||||||||
Undistributed net investment income (loss) | 49,016,874 | 2,916,959 | 2,981,325 | (251,023 | ) | ||||||||||||||
Accumulated undistributed net realized gain (loss) on investments | 19,258,281 | (197,447,421 | ) | 26,355,659 | 219,742,704 | ||||||||||||||
Net unrealized appreciation (depreciation) on investments | 1,491,025,112 | 8,398,675 | 46,660,314 | 447,494,792 | |||||||||||||||
Net assets | $ | 3,760,734,548 | $ | 293,175,952 | $ | 627,102,782 | $ | 1,510,594,824 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 2,275,601,649 | $ | 284,380,691 | $ | 582,087,522 | $ | 1,062,975,169 | |||||||||||
Affiliated investments, at cost | $ | 24,167,954 | $ | 22,042,973 | $ | 24,455,071 | — | ||||||||||||
Foreign currency, at cost | — | — | $ | 21,828 | — | ||||||||||||||
Securities loaned, unaffiliated investments, at value | $ | 23,985,900 | $ | 21,894,201 | $ | 24,347,559 | — | ||||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 2,204,437,920 | $ | 70,224,834 | $ | 876,924 | $ | 230,809,459 | |||||||||||
Shares outstanding | 84,188,655 | 2,528,217 | 80,108 | 15,557,517 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 26.18 | $ | 27.78 | $ | 10.95 | $ | 14.84 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 52,280,953 | $ | 6,352,185 | — | $ | 1,143,043,979 | ||||||||||||
Shares outstanding | 1,996,788 | 229,378 | — | 77,107,855 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 26.18 | $ | 27.69 | — | $ | 14.82 | ||||||||||||
Series III | |||||||||||||||||||
Net assets | — | — | — | $ | 136,741,386 | ||||||||||||||
Shares outstanding | — | — | — | 9,203,557 | |||||||||||||||
Net asset value, offering price and redemption price per share | — | — | — | $ | 14.86 | ||||||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 1,504,015,675 | $ | 216,598,933 | $ | 626,225,858 | — | ||||||||||||
Shares outstanding | 57,437,465 | 7,793,564 | 57,125,994 | — | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 26.19 | $ | 27.79 | $ | 10.96 | — |
Assets | American Global Growth Trust | | American Growth Trust | | American Growth-Income Trust | | American International Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 215,704,733 | $ | 865,534,139 | $ | 1,053,004,668 | $ | 501,116,815 | |||||||||||
Total investments, at value | 215,704,733 | 865,534,139 | 1,053,004,668 | 501,116,815 | |||||||||||||||
Cash | 203,568 | — | — | — | |||||||||||||||
Receivable for investments sold | — | 3,716,684 | 2,060,838 | — | |||||||||||||||
Receivable for fund shares sold | 1,493,742 | 8,086 | 140,268 | 5,135,028 | |||||||||||||||
Receivable due from advisor | 474 | — | — | — | |||||||||||||||
Other assets | 370 | 1,372 | 54,533 | 815 | |||||||||||||||
Total assets | 217,402,887 | 869,260,281 | 1,055,260,307 | 506,252,658 | |||||||||||||||
Liabilities | |||||||||||||||||||
Payable for investments purchased | 1,489,851 | — | — | 4,811,495 | |||||||||||||||
Payable for fund shares repurchased | — | 3,708,430 | 2,182,258 | 313,357 | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 6,088 | 24,086 | 29,539 | 14,161 | |||||||||||||||
Trustees’ fees | 128 | 544 | 650 | 308 | |||||||||||||||
Other liabilities and accrued expenses | 21,725 | 31,094 | 34,177 | 23,673 | |||||||||||||||
Total liabilities | 1,517,792 | 3,764,154 | 2,246,624 | 5,162,994 | |||||||||||||||
Net assets | $ | 215,885,095 | $ | 865,496,127 | $ | 1,053,013,683 | $ | 501,089,664 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 191,386,649 | $ | 441,791,116 | $ | 594,469,853 | $ | 533,351,915 | |||||||||||
Undistributed net investment income (loss) | 4,335 | (679,058 | ) | 259,929 | (822,857 | ) | |||||||||||||
Accumulated undistributed net realized gain (loss) on investments | 39,080,031 | 304,934,118 | 365,218,556 | (30,545,251 | ) | ||||||||||||||
Net unrealized appreciation (depreciation) on investments | (14,585,920 | ) | 119,449,951 | 93,065,345 | (894,143 | ) | |||||||||||||
Net assets | $ | 215,885,095 | $ | 865,496,127 | $ | 1,053,013,683 | $ | 501,089,664 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 230,290,653 | $ | 746,084,188 | $ | 959,939,323 | $ | 502,010,958 | |||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 10,827,502 | $ | 104,532,407 | $ | 239,310,409 | $ | 87,663,908 | |||||||||||
Shares outstanding | 730,220 | 4,294,773 | 10,989,154 | 5,123,281 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 14.83 | $ | 24.34 | $ | 21.78 | $ | 17.11 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 174,379,436 | $ | 668,539,504 | $ | 598,318,742 | $ | 371,892,641 | |||||||||||
Shares outstanding | 11,794,137 | 27,563,208 | 27,531,578 | 21,763,305 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 14.79 | $ | 24.25 | $ | 21.73 | $ | 17.09 | |||||||||||
Series III | |||||||||||||||||||
Net assets | $ | 30,678,157 | $ | 92,424,216 | $ | 215,384,532 | $ | 41,533,115 | |||||||||||
Shares outstanding | 2,070,777 | 3,804,570 | 9,890,441 | 2,431,506 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 14.81 | $ | 24.29 | $ | 21.78 | $ | 17.08 |
Assets | American New World Trust | | Blue Chip Growth Trust | | Capital Appreciation Trust | | Capital Appreciation Value Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 74,469,648 | $ | 1,531,812,437 | $ | 834,033,923 | $ | 369,555,890 | |||||||||||
Affiliated investments, at value | — | 24,459,722 | 19,983,408 | — | |||||||||||||||
Repurchase agreements, at value | — | — | 20,822,000 | 675,000 | |||||||||||||||
Total investments, at value | 74,469,648 | 1,556,272,159 | 874,839,331 | 370,230,890 | |||||||||||||||
Cash | — | — | 968 | 1,349,456 | |||||||||||||||
Foreign currency, at value | — | — | — | 55,327 | |||||||||||||||
Receivable for investments sold | — | 1,561,141 | 12,345,578 | 8,724,604 | |||||||||||||||
Receivable for fund shares sold | 122,165 | 32,161 | — | — | |||||||||||||||
Dividends and interest receivable | — | 810,760 | 364,683 | 1,465,943 | |||||||||||||||
Receivable for securities lending income | — | 14,834 | 20,014 | — | |||||||||||||||
Other assets | 125 | 208,886 | 226,409 | 8,301 | |||||||||||||||
Total assets | 74,591,938 | 1,558,899,941 | 887,796,983 | 381,834,521 | |||||||||||||||
Liabilities | |||||||||||||||||||
Payable for investments purchased | 61,649 | 2,732,812 | 5,975,889 | 1,190,846 | |||||||||||||||
Payable for fund shares repurchased | 58,979 | 137,324 | 282,401 | 488,142 | |||||||||||||||
Payable upon return of securities loaned | — | 24,465,350 | 19,985,325 | — | |||||||||||||||
Written options, at value | — | — | — | 2,014,705 | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 2,033 | 43,929 | 24,330 | 10,356 | |||||||||||||||
Trustees’ fees | 23 | 985 | 558 | 193 | |||||||||||||||
Other liabilities and accrued expenses | 17,877 | 100,921 | 66,304 | 41,829 | |||||||||||||||
Total liabilities | 140,561 | 27,481,321 | 26,334,807 | 3,746,071 | |||||||||||||||
Net assets | $ | 74,451,377 | $ | 1,531,418,620 | $ | 861,462,176 | $ | 378,088,450 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 88,057,592 | $ | 737,628,559 | $ | 494,480,928 | $ | 302,146,111 | |||||||||||
Undistributed net investment income (loss) | (196,920 | ) | 1,304,948 | 996,316 | 2,918,424 | ||||||||||||||
Accumulated undistributed net realized gain (loss) on investments | (3,568,607 | ) | 325,731,365 | 178,880,211 | 39,587,631 | ||||||||||||||
Net unrealized appreciation (depreciation) on investments | (9,840,688 | ) | 466,753,748 | 187,104,721 | 33,436,284 | ||||||||||||||
Net assets | $ | 74,451,377 | $ | 1,531,418,620 | $ | 861,462,176 | $ | 378,088,450 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 84,310,336 | $ | 1,065,057,534 | $ | 667,755,303 | $ | 336,394,628 | |||||||||||
Affiliated investments, at cost | — | $ | 24,460,363 | $ | 19,983,987 | — | |||||||||||||
Foreign currency, at cost | — | — | — | $ | 54,971 | ||||||||||||||
Premiums received on written options | — | — | — | $ | 1,618,335 | ||||||||||||||
Securities loaned, unaffiliated investments, at value | — | $ | 24,160,020 | $ | 20,003,726 | — | |||||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 31,658,349 | $ | 270,444,821 | $ | 165,827,911 | $ | 2,689,588 | �� | ||||||||||
Shares outstanding | 2,806,867 | 8,848,976 | 12,588,792 | 222,988 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 11.28 | $ | 30.56 | $ | 13.17 | $ | 12.06 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 41,292,844 | $ | 116,316,238 | $ | 58,360,357 | $ | 312,566,017 | |||||||||||
Shares outstanding | 3,665,430 | 3,869,789 | 4,536,726 | 26,021,536 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 11.27 | $ | 30.06 | $ | 12.86 | $ | 12.01 | |||||||||||
Series III | |||||||||||||||||||
Net assets | $ | 1,500,184 | — | — | — | ||||||||||||||
Shares outstanding | 133,197 | — | — | — | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 11.26 | — | — | — | ||||||||||||||
Series NAV | |||||||||||||||||||
Net assets | — | $ | 1,144,657,561 | $ | 637,273,908 | $ | 62,832,845 | ||||||||||||
Shares outstanding | — | 37,449,577 | 48,316,075 | 5,218,411 | |||||||||||||||
Net asset value, offering price and redemption price per share | — | $ | 30.57 | $ | 13.19 | $ | 12.04 |
Assets | Core Strategy Trust | | Emerging Markets Value Trust | | Equity Income Trust | | Financial Industries Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 947 | $ | 737,945,014 | $ | 1,597,328,224 | $ | 139,833,023 | |||||||||||
Affiliated investments, at value | 3,589,468,508 | 14,593,899 | 13,034,377 | — | |||||||||||||||
Total investments, at value | 3,589,469,455 | 752,538,913 | 1,610,362,601 | 139,833,023 | |||||||||||||||
Cash | — | — | 43,386 | 23,279 | |||||||||||||||
Foreign currency, at value | — | 3,491,047 | 22,509 | 36 | |||||||||||||||
Receivable for investments sold | 348,071 | 3,519,547 | 19,281,652 | 1,203,135 | |||||||||||||||
Receivable for fund shares sold | 22,032 | �� | 95 | — | — | ||||||||||||||
Dividends and interest receivable | 112,965 | 5,434,040 | 3,296,947 | 207,792 | |||||||||||||||
Receivable for securities lending income | — | 26,422 | 40,429 | — | |||||||||||||||
Other assets | 35,333 | 1,026 | 426,572 | 5,696 | |||||||||||||||
Total assets | 3,589,987,856 | 765,011,090 | 1,633,474,096 | 141,272,961 | |||||||||||||||
Liabilities | |||||||||||||||||||
Due to custodian | — | 748,435 | — | — | |||||||||||||||
Foreign capital gains tax payable | — | 261,956 | — | — | |||||||||||||||
Payable for investments purchased | — | 3,940,160 | 1,806,207 | 1,224,694 | |||||||||||||||
Payable for fund shares repurchased | 328,967 | 6,104 | 1,502,862 | 828,502 | |||||||||||||||
Payable upon return of securities loaned | — | 14,583,774 | 13,034,475 | — | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 100,967 | 20,005 | 45,428 | 4,171 | |||||||||||||||
Trustees’ fees | 2,138 | 412 | 999 | 84 | |||||||||||||||
Other liabilities and accrued expenses | 70,815 | 124,089 | 96,910 | 29,920 | |||||||||||||||
Total liabilities | 502,887 | 19,684,935 | 16,486,881 | 2,087,371 | |||||||||||||||
Net assets | $ | 3,589,484,969 | $ | 745,326,155 | $ | 1,616,987,215 | $ | 139,185,590 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 3,430,579,214 | $ | 909,093,961 | $ | 1,055,454,323 | $ | 149,954,763 | |||||||||||
Undistributed net investment income (loss) | (5,153,231 | ) | 10,429,786 | 29,359,886 | 2,796,090 | ||||||||||||||
Accumulated undistributed net realized gain (loss) on investments | 157,441,557 | (50,951,658 | ) | 226,806,416 | (4,642,044 | ) | |||||||||||||
Net unrealized appreciation (depreciation) on investments | 6,617,429 | (123,245,934 | ) | 305,366,590 | (8,923,219 | ) | |||||||||||||
Net assets | $ | 3,589,484,969 | $ | 745,326,155 | $ | 1,616,987,215 | $ | 139,185,590 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 99,936 | $ | 860,932,400 | �� | $ | 1,291,929,519 | $ | 148,754,295 | ||||||||||
Affiliated investments, at cost | $ | 3,582,751,483 | $ | 14,593,845 | $ | 13,034,499 | — | ||||||||||||
Foreign currency, at cost | — | $ | 3,466,953 | $ | 22,413 | $ | 36 | ||||||||||||
Securities loaned, unaffiliated investments, at value | — | $ | 14,071,327 | $ | 12,690,547 | — | |||||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 120,330,544 | $ | 2,449,281 | $ | 259,975,715 | $ | 105,066,457 | |||||||||||
Shares outstanding | 8,325,087 | 315,396 | 15,434,756 | 10,295,598 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 14.45 | $ | 7.77 | $ | 16.84 | $ | 10.20 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 3,309,358,327 | $ | 83,649 | $ | 139,361,644 | $ | 14,705,350 | |||||||||||
Shares outstanding | 228,322,987 | 10,778 | 8,309,187 | 1,451,928 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 14.49 | $ | 7.76 | $ | 16.77 | $ | 10.13 | |||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 159,796,098 | $ | 742,793,225 | $ | 1,217,649,856 | $ | 19,413,783 | |||||||||||
Shares outstanding | 11,043,951 | 95,771,709 | 72,541,284 | 1,906,882 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 14.47 | $ | 7.76 | $ | 16.79 | $ | 10.18 |
Assets | Franklin Templeton Founding Allocation Trust | | Fundamental All Cap Core Trust | | Fundamental Large Cap Value Trust | | Global Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | — | $ | 1,450,191,135 | $ | 1,428,021,070 | $ | 544,252,871 | ||||||||||||
Affiliated investments, at value | $ | 1,021,444,169 | — | — | 10,645,077 | ||||||||||||||
Repurchase agreements, at value | — | 27,056,000 | 18,332,000 | — | |||||||||||||||
Total investments, at value | 1,021,444,169 | 1,477,247,135 | 1,446,353,070 | 554,897,948 | |||||||||||||||
Cash | — | 7,405,675 | 5,017,684 | — | |||||||||||||||
Foreign currency, at value | — | — | 109,401 | 415,932 | |||||||||||||||
Receivable for investments sold | 309,939 | 12,933,431 | — | 3,589,399 | |||||||||||||||
Receivable for fund shares sold | 12,592 | 518 | 637,961 | 1,327,712 | |||||||||||||||
Dividends and interest receivable | — | 762,203 | 2,101,046 | 1,106,754 | |||||||||||||||
Receivable for securities lending income | — | — | — | 48,159 | |||||||||||||||
Other assets | 1,591 | 65,991 | 125,406 | 206,335 | |||||||||||||||
Total assets | 1,021,768,291 | 1,498,414,953 | 1,454,344,568 | 561,592,239 | |||||||||||||||
Liabilities | |||||||||||||||||||
Foreign capital gains tax payable | — | — | — | 76,834 | |||||||||||||||
Payable for investments purchased | — | 16,129,599 | — | 1,674,890 | |||||||||||||||
Payable for fund shares repurchased | 312,396 | 873,522 | 896,538 | 4,173 | |||||||||||||||
Payable upon return of securities loaned | — | — | — | 10,633,347 | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 28,828 | 41,269 | 40,938 | 15,740 | |||||||||||||||
Trustees’ fees | 631 | 982 | 946 | 358 | |||||||||||||||
Other liabilities and accrued expenses | 166,715 | 99,684 | 101,803 | 62,445 | |||||||||||||||
Total liabilities | 508,570 | 17,145,056 | 1,040,225 | 12,467,787 | |||||||||||||||
Net assets | $ | 1,021,259,721 | $ | 1,481,269,897 | $ | 1,453,304,343 | $ | 549,124,452 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 994,225,872 | $ | 1,128,762,511 | $ | 1,582,561,905 | $ | 706,326,325 | |||||||||||
Undistributed net investment income (loss) | (1,631,291 | ) | 10,540,330 | 16,662,546 | 8,996,356 | ||||||||||||||
Accumulated undistributed net realized gain (loss) on investments | (130,179,276 | ) | 180,775,946 | (180,235,422 | ) | (122,356,035 | ) | ||||||||||||
Net unrealized appreciation (depreciation) on investments | 158,844,416 | 161,191,110 | 34,315,314 | (43,842,194 | ) | ||||||||||||||
Net assets | $ | 1,021,259,721 | $ | 1,481,269,897 | $ | 1,453,304,343 | $ | 549,124,452 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | — | $ | 1,316,054,762 | $ | 1,412,033,250 | $ | 587,999,545 | ||||||||||||
Affiliated investments, at cost | $ | 862,599,753 | — | — | $ | 10,645,163 | |||||||||||||
Foreign currency, at cost | — | — | $ | 110,403 | $ | 416,585 | |||||||||||||
Securities loaned, unaffiliated investments, at value | — | — | — | $ | 9,974,996 | ||||||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 37,838,329 | $ | 148,591,408 | $ | 510,322,605 | $ | 137,051,268 | |||||||||||
Shares outstanding | 3,096,743 | 6,976,144 | 31,107,495 | 7,817,877 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 12.22 | $ | 21.30 | $ | 16.41 | $ | 17.53 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 932,735,596 | $ | 45,883,381 | $ | 201,358,461 | $ | 41,085,832 | |||||||||||
Shares outstanding | 76,293,673 | 2,163,502 | 12,201,103 | 2,355,138 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 12.23 | $ | 21.21 | $ | 16.50 | $ | 17.45 | |||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 50,685,796 | $ | 1,286,795,108 | $ | 741,623,277 | $ | 370,987,352 | |||||||||||
Shares outstanding | 4,148,582 | 60,132,841 | 45,182,515 | 21,177,627 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 12.22 | $ | 21.40 | $ | 16.41 | $ | 17.52 |
Assets | Health Sciences Trust | | International Core Trust | | International Equity Index Trust B | | International Growth Stock Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 294,079,696 | $ | 555,158,245 | $ | 563,819,332 | $ | 394,570,766 | |||||||||||
Affiliated investments, at value | — | 7,771,657 | 4,778,350 | — | |||||||||||||||
Total investments, at value | 294,079,696 | 562,929,902 | 568,597,682 | 394,570,766 | |||||||||||||||
Foreign currency, at value | — | 1,202,349 | 7,112,650 | 1,342,334 | |||||||||||||||
Cash held at broker for futures contracts | — | 669,680 | 2,309,494 | — | |||||||||||||||
Receivable for investments sold | 2,556,850 | 108,381 | 314,189 | 472,318 | |||||||||||||||
Receivable for fund shares sold | — | 1,664 | 89,697 | 238,389 | |||||||||||||||
Dividends and interest receivable | 161,822 | 1,911,938 | 2,369,811 | 1,230,640 | |||||||||||||||
Receivable for securities lending income | — | 43,454 | 23,507 | — | |||||||||||||||
Receivable for futures variation margin | — | 157,114 | 181,393 | — | |||||||||||||||
Receivable due from advisor | — | — | 3,956 | — | |||||||||||||||
Other assets | 148,686 | 322,091 | 371,497 | 36,879 | |||||||||||||||
Total assets | 296,947,054 | 567,346,573 | 581,373,876 | 397,891,326 | |||||||||||||||
Liabilities | |||||||||||||||||||
Due to custodian | 87,789 | — | — | — | |||||||||||||||
Payable for investments purchased | 722,641 | 105,923 | 229,219 | 1,065,374 | |||||||||||||||
Payable for fund shares repurchased | 443,926 | 3,242 | 1,790,109 | 76,552 | |||||||||||||||
Payable upon return of securities loaned | — | 7,749,004 | 4,772,133 | — | |||||||||||||||
Written options, at value | 87,767 | — | — | — | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 8,621 | 16,210 | 16,204 | 11,392 | |||||||||||||||
Trustees’ fees | 199 | 357 | 351 | 248 | |||||||||||||||
Other liabilities and accrued expenses | 34,749 | 170,669 | 224,146 | 56,277 | |||||||||||||||
Total liabilities | 1,385,692 | 8,045,405 | 7,032,162 | 1,209,843 | |||||||||||||||
Net assets | $ | 295,561,362 | $ | 559,301,168 | $ | 574,341,714 | $ | 396,681,483 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 169,710,002 | $ | 707,829,068 | $ | 519,096,616 | $ | 502,591,731 | |||||||||||
Undistributed net investment income (loss) | (300,290 | ) | 13,443,493 | 12,013,294 | 5,849,387 | ||||||||||||||
Accumulated undistributed net realized gain (loss) on investments | 85,880,956 | (131,825,463 | ) | (13,168,422 | ) | (145,234,324 | ) | ||||||||||||
Net unrealized appreciation (depreciation) on investments | 40,270,694 | (30,145,930 | ) | 56,400,226 | 33,474,689 | ||||||||||||||
Net assets | $ | 295,561,362 | $ | 559,301,168 | $ | 574,341,714 | $ | 396,681,483 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 253,861,138 | $ | 585,379,008 | $ | 507,595,471 | $ | 361,071,903 | |||||||||||
Affiliated investments, at cost | — | $ | 7,771,867 | $ | 4,778,439 | — | |||||||||||||
Foreign currency, at cost | — | $ | 1,202,822 | $ | 7,094,492 | $ | 1,338,258 | ||||||||||||
Premiums received on written options | $ | 172,871 | — | — | — | ||||||||||||||
Securities loaned, unaffiliated investments, at value | — | $ | 7,038,860 | $ | 4,615,919 | — | |||||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 111,253,000 | $ | 34,313,504 | $ | 270,914,468 | $ | 3,833,325 | |||||||||||
Shares outstanding | 3,807,992 | 3,666,054 | 18,615,677 | 243,800 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 29.22 | $ | 9.36 | $ | 14.55 | $ | 15.72 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 82,133,583 | $ | 14,195,063 | $ | 14,818,878 | $ | 18,611,873 | |||||||||||
Shares outstanding | 2,950,331 | 1,504,089 | 1,017,839 | 1,184,196 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 27.84 | $ | 9.44 | $ | 14.56 | $ | 15.72 | |||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 102,174,779 | $ | 510,792,601 | $ | 288,608,368 | $ | 374,236,285 | |||||||||||
Shares outstanding | 3,465,974 | 54,742,231 | 19,832,898 | 23,787,360 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 29.48 | $ | 9.33 | $ | 14.55 | $ | 15.73 |
Assets | International Small Company Trust | | International Value Trust | | Lifestyle Aggressive PS Series | | Lifestyle Balanced PS Series | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 105,991,596 | $ | 786,244,941 | $ | 3,908,936 | — | ||||||||||||
Affiliated investments, at value | 1,218,036 | 50,268,213 | 16,945,484 | $ | 984,586,364 | ||||||||||||||
Total investments, at value | 107,209,632 | 836,513,154 | 20,854,420 | 984,586,364 | |||||||||||||||
Cash | — | — | 2,089 | — | |||||||||||||||
Foreign currency, at value | 208,231 | 1,806,625 | — | — | |||||||||||||||
Receivable for investments sold | 73,696 | 397,364 | 3,532 | 53,601 | |||||||||||||||
Receivable for fund shares sold | 10,813 | 18,369 | 2,197 | 182,491 | |||||||||||||||
Dividends and interest receivable | 254,506 | 2,016,945 | — | — | |||||||||||||||
Receivable for securities lending income | 4,879 | 94,884 | — | — | |||||||||||||||
Receivable due from advisor | — | — | 140 | — | |||||||||||||||
Other assets | 375,933 | 1,397,920 | 25 | 1,454 | |||||||||||||||
Total assets | 108,137,690 | 842,245,261 | 20,862,403 | 984,823,910 | |||||||||||||||
Liabilities | |||||||||||||||||||
Foreign capital gains tax payable | — | 1,420 | — | — | |||||||||||||||
Payable for investments purchased | 34,948 | 1,512,536 | — | — | |||||||||||||||
Payable for fund shares repurchased | 3,974 | 2,653 | 2,221 | 226,595 | |||||||||||||||
Payable upon return of securities loaned | 1,219,769 | 50,237,345 | — | — | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 3,037 | 22,779 | 579 | 27,433 | |||||||||||||||
Trustees’ fees | 55 | 509 | — | �� | 549 | ||||||||||||||
Other liabilities and accrued expenses | 113,289 | 95,440 | 24,564 | 35,939 | |||||||||||||||
Total liabilities | 1,375,072 | 51,872,682 | 27,364 | 290,516 | |||||||||||||||
Net assets | $ | 106,762,618 | $ | 790,372,579 | $ | 20,835,039 | $ | 984,533,394 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 451,590,060 | $ | 1,243,324,463 | $ | 20,843,680 | $ | 962,914,043 | |||||||||||
Undistributed net investment income (loss) | 1,795,301 | 15,565,409 | (4,186 | ) | (1,395,749 | ) | |||||||||||||
Accumulated undistributed net realized gain (loss) on investments | (342,939,929 | ) | (388,787,456 | ) | 706,095 | 22,563,261 | |||||||||||||
Net unrealized appreciation (depreciation) on investments | (3,682,814 | ) | (79,729,837 | ) | (710,550 | ) | 451,839 | ||||||||||||
Net assets | $ | 106,762,618 | $ | 790,372,579 | $ | 20,835,039 | $ | 984,533,394 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 109,668,502 | $ | 865,930,660 | $ | 4,055,505 | — | ||||||||||||
Affiliated investments, at cost | $ | 1,218,039 | $ | 50,268,859 | $ | 17,509,465 | $ | 984,134,525 | |||||||||||
Foreign currency, at cost | $ | 208,293 | $ | 1,805,198 | — | — | |||||||||||||
Securities loaned, unaffiliated investments, at value | $ | 1,141,820 | $ | 47,796,650 | — | — | |||||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 33,398,825 | $ | 73,491,336 | $ | 2,903,264 | $ | 29,776,243 | |||||||||||
Shares outstanding | 2,791,959 | 6,422,862 | 230,880 | 2,119,386 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 11.96 | $ | 11.44 | $ | 12.57 | $ | 14.05 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 18,047,278 | $ | 55,580,037 | $ | 17,055,192 | $ | 902,838,804 | |||||||||||
Shares outstanding | 1,511,628 | 4,865,533 | 1,357,386 | 64,199,707 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 11.94 | $ | 11.42 | $ | 12.56 | $ | 14.06 | |||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 55,316,515 | $ | 661,301,206 | $ | 876,583 | $ | 51,918,347 | |||||||||||
Shares outstanding | 4,623,963 | 58,214,510 | 69,707 | 3,697,578 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 11.96 | $ | 11.36 | $ | 12.58 | $ | 14.04 |
Assets | Lifestyle Conservative PS Series | | Lifestyle Growth PS Series | | Lifestyle Moderate PS Series | | Mid Cap Index Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | — | — | — | $ | 860,353,718 | ||||||||||||||
Affiliated investments, at value | $ | 206,735,864 | $ | 1,944,962,361 | $ | 329,429,057 | 36,989,361 | ||||||||||||
Repurchase agreements, at value | — | — | — | 26,750,000 | |||||||||||||||
Total investments, at value | 206,735,864 | 1,944,962,361 | 329,429,057 | 924,093,079 | |||||||||||||||
Cash | 217 | — | — | 55,415 | |||||||||||||||
Cash held at broker for futures contracts | — | — | — | �� | 1,846,000 | ||||||||||||||
Receivable for investments sold | 26,260 | 1,207,686 | 56,708 | 10,535,318 | |||||||||||||||
Receivable for fund shares sold | 191 | 110,949 | 439 | — | |||||||||||||||
Receivable due from advisor | 32 | — | — | — | |||||||||||||||
Dividends and interest receivable | — | — | — | 892,741 | |||||||||||||||
Receivable for securities lending income | — | — | — | 21,019 | |||||||||||||||
Receivable for futures variation margin | — | — | — | 568,379 | |||||||||||||||
Other assets | 273 | 2,751 | 446 | 18,910 | |||||||||||||||
Total assets | 206,762,837 | 1,946,283,747 | 329,486,650 | 938,030,861 | |||||||||||||||
Liabilities | |||||||||||||||||||
Payable for investments purchased | — | — | — | 4,146,399 | |||||||||||||||
Payable for fund shares repurchased | 24,625 | 1,299,292 | 53,920 | 5,444,530 | |||||||||||||||
Payable upon return of securities loaned | — | — | — | 36,944,822 | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 5,722 | 54,307 | 9,136 | 24,065 | |||||||||||||||
Trustees’ fees | 90 | 1,130 | 169 | 476 | |||||||||||||||
Other liabilities and accrued expenses | 25,206 | 50,049 | 27,098 | 57,110 | |||||||||||||||
Total liabilities | 55,643 | 1,404,778 | 90,323 | 46,617,402 | |||||||||||||||
Net assets | $ | 206,707,194 | $ | 1,944,878,969 | $ | 329,396,327 | $ | 891,413,459 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 202,097,513 | $ | 1,914,262,028 | $ | 321,798,514 | $ | 549,641,587 | |||||||||||
Undistributed net investment income (loss) | (313,783 | ) | (2,839,255 | ) | (494,470 | ) | 7,870,320 | ||||||||||||
Accumulated undistributed net realized gain (loss) on investments | 1,701,969 | 59,472,718 | 6,096,556 | 129,492,493 | |||||||||||||||
Net unrealized appreciation (depreciation) on investments | 3,221,495 | (26,016,522 | ) | 1,995,727 | 204,409,059 | ||||||||||||||
Net assets | $ | 206,707,194 | $ | 1,944,878,969 | $ | 329,396,327 | $ | 891,413,459 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | — | — | — | $ | 682,365,204 | ||||||||||||||
Affiliated investments, at cost | $ | 203,514,369 | $ | 1,970,978,883 | $ | 327,433,330 | $ | 36,990,129 | |||||||||||
Securities loaned, unaffiliated investments, at value | — | — | — | $ | 36,574,056 | ||||||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 8,785,637 | $ | 42,567,211 | $ | 9,568,282 | $ | 716,018,117 | |||||||||||
Shares outstanding | 654,181 | 2,912,628 | 689,974 | 33,850,161 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 13.43 | $ | 14.61 | $ | 13.87 | $ | 21.15 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 196,844,518 | $ | 1,862,671,900 | $ | 309,779,456 | $ | 63,807,072 | |||||||||||
Shares outstanding | 14,652,159 | 127,421,327 | 22,316,906 | 3,030,354 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 13.43 | $ | 14.62 | $ | 13.88 | $ | 21.06 | |||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 1,077,039 | $ | 39,639,858 | $ | 10,048,589 | $ | 111,588,270 | |||||||||||
Shares outstanding | 80,227 | 2,713,146 | 724,676 | 5,274,851 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 13.42 | $ | 14.61 | $ | 13.87 | $ | 21.15 |
Assets | Mid Cap Stock Trust | | Mid Value Trust | | Mutual Shares Trust | | Real Estate Securities Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 691,987,432 | $ | 776,563,992 | $ | 511,978,492 | $ | 436,938,751 | |||||||||||
Affiliated investments, at value | 97,051,427 | 26,808,384 | 4,759,753 | — | |||||||||||||||
Repurchase agreements, at value | 5,900,000 | — | — | 5,982,000 | |||||||||||||||
Total investments, at value | 794,938,859 | 803,372,376 | 516,738,245 | 442,920,751 | |||||||||||||||
Cash | 97,869 | — | 962,811 | 109 | |||||||||||||||
Foreign currency, at value | 37,800 | 35,469 | 1,046,545 | 469 | |||||||||||||||
Receivable for investments sold | 17,197,515 | 676,947 | 1,917,815 | 2,804,049 | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 3,121,682 | — | |||||||||||||||
Receivable for fund shares sold | 57,946 | — | — | 457,766 | |||||||||||||||
Dividends and interest receivable | 262,517 | 846,629 | 1,603,849 | 1,501,319 | |||||||||||||||
Receivable for securities lending income | 144,065 | 22,368 | 22,256 | — | |||||||||||||||
Other assets | 198,341 | 177,279 | 636,054 | 227,829 | |||||||||||||||
Total assets | 812,934,912 | 805,131,068 | 526,049,257 | 447,912,292 | |||||||||||||||
Liabilities | |||||||||||||||||||
Payable for investments purchased | 6,767,617 | 11,265,206 | 3,126,777 | 1,640,122 | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 386,070 | — | |||||||||||||||
Payable for fund shares repurchased | 201,207 | 2,988,263 | 1,826,603 | 215,354 | |||||||||||||||
Payable upon return of securities loaned | 97,047,927 | 26,801,714 | 4,758,500 | — | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 19,820 | 21,192 | 14,379 | 11,919 | |||||||||||||||
Trustees’ fees | 444 | 443 | 304 | 214 | |||||||||||||||
Other liabilities and accrued expenses | 61,878 | 54,918 | 56,065 | 43,736 | |||||||||||||||
Total liabilities | 104,098,893 | 41,131,736 | 10,168,698 | 1,911,345 | |||||||||||||||
Net assets | $ | 708,836,019 | $ | 763,999,332 | $ | 515,880,559 | $ | 446,000,947 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 615,274,396 | $ | 555,321,335 | $ | 393,133,144 | $ | 832,037,888 | |||||||||||
Undistributed net investment income (loss) | (152,209 | ) | 8,525,500 | 16,187,694 | 13,663,570 | ||||||||||||||
Accumulated undistributed net realized gain (loss) on investments | 39,766,945 | 112,600,749 | 56,747,126 | (444,805,729 | ) | ||||||||||||||
Net unrealized appreciation (depreciation) on investments | 53,946,887 | 87,551,748 | 49,812,595 | 45,105,218 | |||||||||||||||
Net assets | $ | 708,836,019 | $ | 763,999,332 | $ | 515,880,559 | $ | 446,000,947 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 643,939,315 | $ | 689,011,188 | $ | 464,276,592 | $ | 397,815,422 | |||||||||||
Affiliated investments, at cost | $ | 97,052,624 | $ | 26,809,158 | $ | 4,759,883 | — | ||||||||||||
Foreign currency, at cost | $ | 37,958 | $ | 35,581 | $ | 1,058,046 | $ | 552 | |||||||||||
Securities loaned, unaffiliated investments, at value | $ | 96,816,526 | $ | 26,656,880 | $ | 4,710,366 | — | ||||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 153,874,205 | $ | 298,078,793 | $ | 170,174,233 | $ | 94,138,296 | |||||||||||
Shares outstanding | 10,412,890 | 25,078,719 | 13,860,908 | 4,608,891 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 14.78 | $ | 11.89 | $ | 12.28 | $ | 20.43 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 78,171,544 | $ | 64,077,986 | — | $ | 58,590,659 | ||||||||||||
Shares outstanding | 5,542,182 | 5,391,076 | — | 2,866,670 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 14.10 | $ | 11.89 | — | $ | 20.44 | ||||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 476,790,270 | $ | 401,842,553 | $ | 345,706,326 | $ | 293,271,992 | |||||||||||
Shares outstanding | 31,946,024 | 33,951,156 | 28,155,375 | 14,442,145 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 14.92 | $ | 11.84 | $ | 12.28 | $ | 20.31 |
Assets | Science & Technology Trust | | Small Cap Growth Trust | | Small Cap Index Trust | | Small Cap Opportunities Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 460,960,904 | $ | 378,415,765 | $ | 399,818,665 | $ | 207,115,738 | |||||||||||
Affiliated investments, at value | 30,958,263 | 56,343,307 | 35,810,349 | 8,445,163 | |||||||||||||||
Repurchase agreements, at value | 17,683,000 | 1,000,000 | 18,500,000 | — | |||||||||||||||
Total investments, at value | 509,602,167 | 435,759,072 | 454,129,014 | 215,560,901 | |||||||||||||||
Cash | 580 | 92,873 | — | 956 | |||||||||||||||
Foreign currency, at value | 1,211,093 | — | — | — | |||||||||||||||
Cash held at broker for futures contracts | — | — | 1,324,000 | — | |||||||||||||||
Receivable for investments sold | 11,091,765 | 16,880,475 | 203,411 | 1,908,178 | |||||||||||||||
Receivable for fund shares sold | 29,426 | 38,715 | 5,334 | 4,522 | |||||||||||||||
Dividends and interest receivable | 191,845 | 199,243 | 510,705 | 173,094 | |||||||||||||||
Receivable for securities lending income | 18,754 | 49,257 | 67,780 | 8,281 | |||||||||||||||
Receivable for futures variation margin | — | — | 328,348 | — | |||||||||||||||
Other assets | 55,398 | 229,806 | 615 | 59,511 | |||||||||||||||
Total assets | 522,201,028 | 453,249,441 | 456,569,207 | 217,715,443 | |||||||||||||||
Liabilities | |||||||||||||||||||
Due to custodian | — | — | 190,303 | — | |||||||||||||||
Payable for investments purchased | 1,886,558 | 5,456,451 | — | 443,947 | |||||||||||||||
Payable for fund shares repurchased | 1,982,268 | 519,292 | 1,453,102 | 19,412 | |||||||||||||||
Payable upon return of securities loaned | 30,959,999 | 56,343,807 | 35,769,155 | 8,445,731 | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 13,333 | 10,817 | 11,404 | 5,844 | |||||||||||||||
Trustees’ fees | 270 | 245 | 237 | 124 | |||||||||||||||
Other liabilities and accrued expenses | 41,900 | 41,333 | 37,733 | 27,964 | |||||||||||||||
Total liabilities | 34,884,328 | 62,371,945 | 37,461,934 | 8,943,022 | |||||||||||||||
Net assets | $ | 487,316,700 | $ | 390,877,496 | $ | 419,107,273 | $ | 208,772,421 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 392,728,848 | $ | 383,606,808 | $ | 291,048,625 | $ | 172,145,860 | |||||||||||
Undistributed net investment income (loss) | 921,676 | (566,645 | ) | 3,940,728 | 1,432,632 | ||||||||||||||
Accumulated undistributed net realized gain (loss) on investments | 66,670,604 | (7,010,233 | ) | 47,667,666 | 24,419,110 | ||||||||||||||
Net unrealized appreciation (depreciation) on investments | 26,995,572 | 14,847,566 | 76,450,254 | 10,774,819 | |||||||||||||||
Net assets | $ | 487,316,700 | $ | 390,877,496 | $ | 419,107,273 | $ | 208,772,421 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 451,616,166 | $ | 364,565,534 | $ | 341,484,146 | $ | 196,340,734 | |||||||||||
Affiliated investments, at cost | $ | 30,959,155 | $ | 56,344,147 | $ | 35,809,945 | $ | 8,445,348 | |||||||||||
Foreign currency, at cost | $ | 1,246,904 | — | — | — | ||||||||||||||
Securities loaned, unaffiliated investments, at value | $ | 30,911,563 | $ | 56,017,732 | $ | 35,103,536 | $ | 8,275,604 | |||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 416,245,017 | $ | 82,777,357 | $ | 292,453,889 | $ | 89,231,068 | |||||||||||
Shares outstanding | 17,455,654 | 10,264,054 | 21,579,885 | 3,035,019 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 23.85 | $ | 8.06 | $ | 13.55 | $ | 29.40 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 41,046,280 | $ | 26,892,355 | $ | 38,692,935 | $ | 35,520,091 | |||||||||||
Shares outstanding | 1,774,965 | 3,474,442 | 2,870,230 | 1,226,666 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 23.13 | $ | 7.74 | $ | 13.48 | $ | 28.96 | |||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 30,025,403 | $ | 281,207,784 | $ | 87,960,449 | $ | 84,021,262 | |||||||||||
Shares outstanding | 1,249,715 | 34,544,927 | 6,483,423 | 2,869,873 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 24.03 | $ | 8.14 | $ | 13.57 | $ | 29.28 |
Assets | Small Cap Value Trust | | Small Company Growth Trust | | Small Company Value Trust | | Strategic Equity Allocation Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 633,470,750 | $ | 105,811,893 | $ | 297,508,798 | $ | 9,312,269,608 | |||||||||||
Affiliated investments, at value | 26,699,322 | 3,637,505 | 8,355,594 | 132,976,190 | |||||||||||||||
Repurchase agreements, at value | 18,900,000 | — | — | 251,630,000 | |||||||||||||||
Total investments, at value | 679,070,072 | 109,449,398 | 305,864,392 | 9,696,875,798 | |||||||||||||||
Cash | 68,005 | — | — | — | |||||||||||||||
Foreign currency, at value | — | — | — | 2,998,712 | |||||||||||||||
Cash held at broker for futures contracts | — | — | — | 27,130,000 | |||||||||||||||
Receivable for investments sold | 1,311,225 | 1,747,843 | 2,055,297 | 13,990,979 | |||||||||||||||
Receivable for fund shares sold | 543,044 | — | — | — | |||||||||||||||
Dividends and interest receivable | 1,152,877 | 63,460 | 323,097 | 20,465,999 | |||||||||||||||
Receivable for securities lending income | 6,646 | 2,291 | 9,309 | 271,526 | |||||||||||||||
Receivable for futures variation margin | — | — | — | 4,095,335 | |||||||||||||||
Other assets | 132,286 | 11,406 | 73,642 | 15,162 | |||||||||||||||
Total assets | 682,284,155 | 111,274,398 | 308,325,737 | 9,765,843,511 | |||||||||||||||
Liabilities | |||||||||||||||||||
Due to custodian | — | — | — | 575,097 | |||||||||||||||
Payable for investments purchased | 5,212 | 527,263 | 1,060,930 | 8,807,557 | |||||||||||||||
Payable for fund shares repurchased | 1,964,406 | — | 740,845 | 7,262,750 | |||||||||||||||
Payable upon return of securities loaned | 26,694,508 | 3,637,200 | 8,355,525 | 133,024,304 | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 18,184 | 2,995 | 8,182 | 271,605 | |||||||||||||||
Trustees’ fees | 376 | 52 | 168 | 5,961 | |||||||||||||||
Other liabilities and accrued expenses | 49,078 | 24,913 | 32,671 | 639,252 | |||||||||||||||
Total liabilities | 28,731,764 | 4,192,423 | 10,198,321 | 150,586,526 | |||||||||||||||
Net assets | $ | 653,552,391 | $ | 107,081,975 | $ | 298,127,416 | $ | 9,615,256,985 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 434,095,096 | $ | 71,068,052 | $ | 175,025,498 | $ | 7,377,075,020 | |||||||||||
Undistributed net investment income (loss) | 3,787,525 | 271,150 | 2,211,370 | 143,575,803 | |||||||||||||||
Accumulated undistributed net realized gain (loss) on investments | 103,441,786 | 20,112,616 | 45,804,589 | 214,470,733 | |||||||||||||||
Net unrealized appreciation (depreciation) on investments | 112,227,984 | 15,630,157 | 75,085,959 | 1,880,135,429 | |||||||||||||||
Net assets | $ | 653,552,391 | $ | 107,081,975 | $ | 298,127,416 | $ | 9,615,256,985 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 540,138,819 | $ | 90,181,632 | $ | 222,422,644 | $ | 7,681,315,284 | |||||||||||
Affiliated investments, at cost | $ | 26,700,198 | $ | 3,637,609 | $ | 8,355,789 | $ | 132,954,374 | |||||||||||
Foreign currency, at cost | — | — | — | $ | 3,002,347 | ||||||||||||||
Securities loaned, unaffiliated investments, at value | $ | 25,991,118 | $ | 3,549,015 | $ | 8,147,099 | $ | 130,537,463 | |||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 327,842,262 | — | $ | 60,911,843 | — | |||||||||||||
Shares outstanding | 15,470,353 | — | 2,836,313 | — | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 21.19 | — | $ | 21.48 | — | |||||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 36,753,195 | — | $ | 50,884,642 | — | |||||||||||||
Shares outstanding | 1,743,480 | — | 2,403,475 | — | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 21.08 | — | $ | 21.17 | — | |||||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 288,956,934 | $ | 107,081,975 | $ | 186,330,931 | $ | 9,615,256,985 | |||||||||||
Shares outstanding | 13,667,675 | 3,892,664 | 8,693,895 | 588,961,976 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 21.14 | $ | 27.51 | $ | 21.43 | $ | 16.33 |
Assets | Total Stock Market Index Trust | | U.S. Equity Trust | | Utilities Trust | | Value Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 571,504,168 | $ | 667,877,752 | $ | 356,048,022 | $ | 526,521,642 | |||||||||||
Affiliated investments, at value | 9,987,271 | 1,374,543 | 10,765,890 | — | |||||||||||||||
Repurchase agreements, at value | 10,520,000 | — | 4,892,000 | — | |||||||||||||||
Total investments, at value | 592,011,439 | 669,252,295 | 371,705,912 | 526,521,642 | |||||||||||||||
Cash | 36,169 | 13,409 | 9,749,062 | 70,363 | |||||||||||||||
Foreign currency, at value | — | — | 4,107 | 1,484,883 | |||||||||||||||
Cash held at broker for futures contracts | 725,000 | 315,000 | — | — | |||||||||||||||
Receivable for investments sold | 60,763 | 1,323,377 | 2,128,265 | — | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 1,408,143 | — | |||||||||||||||
Receivable for fund shares sold | — | — | 25,722 | — | |||||||||||||||
Dividends and interest receivable | 651,297 | 350,039 | 904,293 | 889,076 | |||||||||||||||
Receivable for securities lending income | 15,537 | 2,134 | 32,976 | — | |||||||||||||||
Receivable for futures variation margin | 141,008 | 66,690 | — | — | |||||||||||||||
Other assets | 863 | 97,318 | 139,791 | 22,521 | |||||||||||||||
Total assets | 593,642,076 | 671,420,262 | 386,098,271 | 528,988,485 | |||||||||||||||
Liabilities | |||||||||||||||||||
Payable for collateral held by portfolio | — | 27,000 | — | — | |||||||||||||||
Payable for investments purchased | 13,697 | — | 2,026,979 | 4,380,295 | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 157,464 | — | |||||||||||||||
Payable for fund shares repurchased | 3,230,534 | 1,018,067 | 510,243 | 1,300,886 | |||||||||||||||
Payable upon return of securities loaned | 9,988,701 | 1,392,750 | 10,779,322 | — | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 15,932 | 19,033 | 10,176 | 14,909 | |||||||||||||||
Trustees’ fees | 322 | 411 | 218 | 343 | |||||||||||||||
Other liabilities and accrued expenses | 44,153 | 155,878 | 39,084 | 45,599 | |||||||||||||||
Total liabilities | 13,293,339 | 2,613,139 | 13,523,486 | 5,742,032 | |||||||||||||||
Net assets | $ | 580,348,737 | $ | 668,807,123 | $ | 372,574,785 | $ | 523,246,453 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 331,128,481 | $ | 553,823,117 | $ | 358,888,415 | $ | 449,092,536 | |||||||||||
Undistributed net investment income (loss) | 7,266,092 | 6,586,699 | 15,683,350 | 3,410,465 | |||||||||||||||
Accumulated undistributed net realized gain (loss) on investments | 11,160,320 | 78,328,669 | (487,841 | ) | 48,469,711 | ||||||||||||||
Net unrealized appreciation (depreciation) on investments | 230,793,844 | 30,068,638 | (1,509,139 | ) | 22,273,741 | ||||||||||||||
Net assets | $ | 580,348,737 | $ | 668,807,123 | $ | 372,574,785 | $ | 523,246,453 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 351,169,090 | $ | 637,800,495 | $ | 363,691,456 | $ | 504,009,543 | |||||||||||
Affiliated investments, at cost | $ | 9,987,287 | $ | 1,374,584 | $ | 10,766,201 | — | ||||||||||||
Foreign currency, at cost | — | — | $ | 4,115 | $ | 1,706,379 | |||||||||||||
Securities loaned, unaffiliated investments, at value | $ | 9,821,393 | $ | 1,373,710 | $ | 10,544,934 | — | ||||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 442,413,730 | $ | 118,205,394 | $ | 326,341,312 | $ | 468,407,875 | |||||||||||
Shares outstanding | 24,301,822 | 5,996,718 | 23,516,378 | 22,711,616 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 18.20 | $ | 19.71 | $ | 13.88 | $ | 20.62 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 34,402,181 | $ | 6,341,694 | $ | 16,663,802 | $ | 24,356,713 | |||||||||||
Shares outstanding | 1,897,409 | 322,066 | 1,213,436 | 1,187,066 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 18.13 | $ | 19.69 | $ | 13.73 | $ | 20.52 | |||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 103,532,826 | $ | 544,260,035 | $ | 29,569,671 | $ | 30,481,865 | |||||||||||
Shares outstanding | 5,687,365 | 27,597,729 | 2,133,060 | 1,479,824 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 18.20 | $ | 19.72 | $ | 13.86 | $ | 20.60 |
Investment income | 500 Index Trust B | | All Cap Core Trust | | Alpha Opportunities Trust | | American Asset Allocation Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividends | $ | 39,333,211 | $ | 3,076,112 | $ | 4,634,379 | $ | 4,710,363 | |||||||||||
Interest | 15,718 | 8,164 | 43,790 | — | |||||||||||||||
Securities lending | 107,675 | 200,553 | 253,198 | — | |||||||||||||||
Less foreign taxes withheld | (11,439 | ) | (6,366 | ) | (81,162 | ) | — | ||||||||||||
Total investment income | 39,445,165 | 3,278,463 | 4,850,205 | 4,710,363 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 8,111,621 | 1,130,672 | 2,988,317 | — | |||||||||||||||
Series I distribution and service fees | 510,254 | 17,462 | 151 | 657,342 | |||||||||||||||
Series II distribution and service fees | 62,367 | 7,733 | — | 4,204,108 | |||||||||||||||
Series III distribution and service fees | — | — | — | 167,099 | |||||||||||||||
Accounting and legal services fees | 236,177 | 19,565 | 41,925 | 99,170 | |||||||||||||||
Professional fees | 39,855 | 19,813 | 28,393 | 22,036 | |||||||||||||||
Printing and postage | 30,297 | 3,861 | 6,242 | 13,556 | |||||||||||||||
Custodian fees | 152,071 | (37,484 | ) | 46,179 | (170,815 | ) | |||||||||||||
Trustees’ fees | 31,681 | 2,816 | 5,941 | 13,659 | |||||||||||||||
Other | 23,008 | 5,385 | 7,093 | 8,507 | |||||||||||||||
Total expenses before reductions | 9,197,331 | 1,169,823 | 3,124,241 | 5,014,662 | |||||||||||||||
Less expense reductions | (4,285,076 | ) | (10,507 | ) | (115,951 | ) | (53,276 | ) | |||||||||||
Net expenses | 4,912,255 | 1,159,316 | 3,008,290 | 4,961,386 | |||||||||||||||
Net investment income (loss) | 34,532,910 | 2,119,147 | 1,841,915 | (251,023 | ) | ||||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | 30,836,522 | (2,226,118 | ) | (22,682,493 | ) | 34,990,436 | |||||||||||||
Affiliated investments | 5,821 | 3,501 | 5,570 | — | |||||||||||||||
Capital gain distributions received from unaffiliated funds | — | — | — | 36,065,917 | |||||||||||||||
Futures contracts | 6,489,932 | 94,583 | — | — | |||||||||||||||
37,332,275 | (2,128,034 | ) | (22,676,923 | ) | 71,056,353 | ||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 61,767,547 | 134,050 | 21,292,848 | (7,765,786 | ) | ||||||||||||||
Affiliated investments | (85 | ) | (221 | ) | 597 | — | |||||||||||||
Futures contracts | (268,962 | ) | (25,115 | ) | — | — | |||||||||||||
61,498,500 | 108,714 | 21,293,445 | (7,765,786 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 98,830,775 | (2,019,320 | ) | (1,383,478 | ) | 63,290,567 | |||||||||||||
Increase (decrease) in net assets from operations | $ | 133,363,685 | $ | 99,827 | $ | 458,437 | $ | 63,039,544 |
Investment income | American Global Growth Trust | | American Growth Trust | | American Growth-Income Trust | | American International Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividends | $ | 679,329 | $ | 1,971,061 | $ | 3,256,139 | $ | 892,138 | |||||||||||
Total investment income | 679,329 | 1,971,061 | 3,256,139 | 892,138 | |||||||||||||||
Expenses | |||||||||||||||||||
Series I distribution and service fees | 32,311 | 298,277 | 693,031 | 275,448 | |||||||||||||||
Series II distribution and service fees | 659,890 | 2,465,294 | 2,218,372 | 1,373,547 | |||||||||||||||
Series III distribution and service fees | 36,849 | 111,455 | 262,611 | 50,374 | |||||||||||||||
Accounting and legal services fees | 14,523 | 56,768 | 69,474 | 33,489 | |||||||||||||||
Professional fees | 13,811 | 17,087 | 18,215 | 14,793 | |||||||||||||||
Printing and postage | 3,552 | 7,888 | 9,516 | 5,363 | |||||||||||||||
Custodian fees | 5,826 | 5,826 | (47,047 | ) | 5,826 | ||||||||||||||
Trustees’ fees | 2,170 | 8,091 | 9,746 | 4,775 | |||||||||||||||
Other | 2,623 | 5,865 | 6,680 | 6,025 | |||||||||||||||
Total expenses before reductions | 771,555 | 2,976,551 | 3,240,598 | 1,769,640 | |||||||||||||||
Less expense reductions | (96,561 | ) | (326,432 | ) | (244,388 | ) | (54,645 | ) | |||||||||||
Net expenses | 674,994 | 2,650,119 | 2,996,210 | 1,714,995 | |||||||||||||||
Net investment income (loss) | 4,335 | (679,058 | ) | 259,929 | (822,857 | ) | |||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | 3,997,182 | 29,242,424 | 29,042,149 | 12,513,584 | |||||||||||||||
Capital gain distributions received from unaffiliated funds | 18,375,844 | 77,977,681 | 115,819,040 | 43,073,568 | |||||||||||||||
22,373,026 | 107,220,105 | 144,861,189 | 55,587,152 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | (31,201,163 | ) | (101,425,091 | ) | (116,069,571 | ) | (63,052,459 | ) | |||||||||||
(31,201,163 | ) | (101,425,091 | ) | (116,069,571 | ) | (63,052,459 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (8,828,137 | ) | 5,795,014 | 28,791,618 | (7,465,307 | ) | |||||||||||||
Increase (decrease) in net assets from operations | ($8,823,802 | ) | $ | 5,115,956 | $ | 29,051,547 | ($8,288,164 | ) |
Investment income | American New World Trust | | Blue Chip Growth Trust | | Capital Appreciation Trust | | Capital Appreciation Value Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividends | $ | 73,746 | $ | 6,444,040 | $ | 3,780,384 | $ | 1,996,074 | |||||||||||
Interest | — | 10,774 | 960 | 1,882,856 | |||||||||||||||
Securities lending | — | 135,718 | 238,305 | 511 | |||||||||||||||
Less foreign taxes withheld | — | (10,234 | ) | (77,541 | ) | (4,965 | ) | ||||||||||||
Total investment income | 73,746 | 6,580,298 | 3,942,108 | 3,874,476 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | — | 6,076,585 | 3,040,385 | 1,462,233 | |||||||||||||||
Series I distribution and service fees | 89,766 | 68,980 | 42,361 | 480 | |||||||||||||||
Series II distribution and service fees | 154,087 | 149,932 | 75,846 | 384,177 | |||||||||||||||
Series III distribution and service fees | 1,791 | — | — | — | |||||||||||||||
Accounting and legal services fees | 4,875 | 104,480 | 58,026 | 24,185 | |||||||||||||||
Professional fees | 11,852 | 26,559 | 25,046 | 25,049 | |||||||||||||||
Printing and postage | 2,334 | 22,097 | 9,867 | 4,184 | |||||||||||||||
Custodian fees | 5,826 | (108,315 | ) | (166,084 | ) | 18,183 | |||||||||||||
Trustees’ fees | 781 | 14,857 | 8,322 | 3,361 | |||||||||||||||
Other | 1,973 | 13,898 | 11,196 | 4,543 | |||||||||||||||
Total expenses before reductions | 273,285 | 6,369,073 | 3,104,965 | 1,926,395 | |||||||||||||||
Less expense reductions | (2,619 | ) | (289,145 | ) | (31,235 | ) | (71,870 | ) | |||||||||||
Net expenses | 270,666 | 6,079,928 | 3,073,730 | 1,854,525 | |||||||||||||||
Net investment income (loss) | (196,920 | ) | 500,370 | 868,378 | 2,019,951 | ||||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | �� | ||||||||||||||||||
Unaffiliated investments and foreign currency transactions | (756,776 | ) | 71,053,527 | 33,433,997 | 3,624,455 | ||||||||||||||
Affiliated investments | — | 7,695 | 14,124 | 70 | |||||||||||||||
Written options | — | — | — | 378,819 | |||||||||||||||
(756,776 | ) | 71,061,222 | 33,448,121 | 4,003,344 | |||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 2,295,583 | (171,183,176 | ) | (97,792,038 | ) | 12,183,207 | |||||||||||||
Affiliated investments | — | (531 | ) | (292 | ) | — | |||||||||||||
Written options | — | — | — | (194,953 | ) | ||||||||||||||
2,295,583 | (171,183,707 | ) | (97,792,330 | ) | 11,988,254 | ||||||||||||||
Net realized and unrealized gain (loss) | 1,538,807 | (100,122,485 | ) | (64,344,209 | ) | 15,991,598 | |||||||||||||
Increase (decrease) in net assets from operations | $ | 1,341,887 | ($99,622,115 | ) | ($63,475,831 | ) | $ | 18,011,549 |
Investment income | Core Strategy Trust | | Emerging Markets Value Trust | | Equity Income Trust | | Financial Industries Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividends | — | $ | 12,993,488 | $ | 24,495,062 | $ | 2,019,528 | ||||||||||||
Interest | — | 2,827 | 2,829,234 | 76,333 | |||||||||||||||
Securities lending | — | 195,046 | 142,699 | 12,606 | |||||||||||||||
Less foreign taxes withheld | — | (1,339,949 | ) | (318,930 | ) | (67,541 | ) | ||||||||||||
Total investment income | — | 11,851,412 | 27,148,065 | 2,040,926 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | $ | 729,451 | 3,224,587 | 5,982,965 | 559,574 | ||||||||||||||
Series I distribution and service fees | 29,593 | 572 | 63,212 | 27,480 | |||||||||||||||
Series II distribution and service fees | 4,062,440 | 96 | 168,472 | 20,659 | |||||||||||||||
Accounting and legal services fees | 237,028 | 45,393 | 107,376 | 9,858 | |||||||||||||||
Professional fees | 38,635 | 32,223 | 27,294 | 21,357 | |||||||||||||||
Printing and postage | 26,072 | 193 | 17,114 | 2,886 | |||||||||||||||
Custodian fees | (15,742 | ) | 202,998 | (323,836 | ) | 6,691 | |||||||||||||
Trustees’ fees | 32,461 | 6,143 | 14,887 | 1,541 | |||||||||||||||
Registration and filing fees | — | — | 320 | — | |||||||||||||||
Other | 13,293 | 9,833 | 14,112 | 3,744 | |||||||||||||||
Total expenses before reductions | 5,153,231 | 3,522,038 | 6,071,916 | 653,790 | |||||||||||||||
Less expense reductions | — | (24,526 | ) | (274,074 | ) | (5,295 | ) | ||||||||||||
Net expenses | — | 3,497,512 | 5,797,842 | 648,495 | |||||||||||||||
Net investment income (loss) | (5,153,231 | ) | 8,353,900 | 21,350,223 | 1,392,431 | ||||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | 97,043 | 1 | (16,228,135 | ) | 82,039,906 | (3,529,958 | ) | ||||||||||||
Affiliated investments | 11,194,648 | 5,296 | 3,664 | 23 | |||||||||||||||
11,291,691 | (16,222,839 | ) | 82,043,570 | (3,529,935 | ) | ||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 682 | 76,700,811 | 2 | 475,112 | (12,361,406 | ) | |||||||||||||
Affiliated investments | 79,864,738 | 818 | (439 | ) | — | ||||||||||||||
79,865,420 | 76,701,629 | 474,673 | (12,361,406 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 91,157,111 | 60,478,790 | 82,518,243 | (15,891,341 | ) | ||||||||||||||
Increase (decrease) in net assets from operations | $ | 86,003,880 | $ | 68,832,690 | $ | 103,868,466 | ($14,498,910 | ) |
1 | Net of foreign taxes of $267. | ||
2 | Net of $261,956 increase in deferred foreign witholding taxes |
Investment income | Franklin Templeton Founding Allocation Trust | | Fundamental All Cap Core Trust | | Fundamental Large Cap Value Trust | | Global Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividends | — | $ | 10,401,005 | $ | 16,112,142 | $ | 10,579,732 | ||||||||||||
Securities lending | — | — | — | 543,518 | |||||||||||||||
Interest | — | 35,998 | 46,345 | 8,486 | |||||||||||||||
Less foreign taxes withheld | — | (137,762 | ) | (321,419 | ) | (927,108 | ) | ||||||||||||
Total investment income | — | 10,299,241 | 15,837,068 | 10,204,628 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | $ | 225,465 | 4,948,245 | 4,508,791 | 2,222,774 | ||||||||||||||
Series I distribution and service fees | 9,294 | 37,783 | 127,388 | 34,191 | |||||||||||||||
Series II distribution and service fees | 1,147,305 | 57,438 | 249,731 | 52,377 | |||||||||||||||
Accounting and legal services fees | 67,482 | 98,628 | 96,494 | 36,883 | |||||||||||||||
Professional fees | 25,445 | 27,142 | 27,474 | 25,762 | |||||||||||||||
Printing and postage | 10,369 | 12,436 | 12,815 | 1,717 | |||||||||||||||
Custodian fees | 5,826 | 38,724 | (18,717 | ) | (109,535 | ) | |||||||||||||
Trustees’ fees | 9,395 | 14,048 | 13,546 | 5,213 | |||||||||||||||
Registration and filing fees | — | — | 64 | — | |||||||||||||||
Other | 130,710 | 12,442 | 12,690 | 6,233 | |||||||||||||||
Total expenses before reductions | 1,631,291 | 5,246,886 | 5,030,276 | 2,275,615 | |||||||||||||||
Less expense reductions | — | (53,030 | ) | (51,862 | ) | (50,648 | ) | ||||||||||||
Net expenses | — | 5,193,856 | 4,978,414 | 2,224,967 | |||||||||||||||
Net investment income (loss) | (1,631,291 | ) | 5,105,385 | 10,858,654 | 7,979,661 | ||||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | — | (24,353,664 | ) | (34,516,668 | ) | 1,339,609 | |||||||||||||
Affiliated investments | (792,715 | ) | — | — | 6,021 | ||||||||||||||
(792,715 | ) | (24,353,664 | ) | (34,516,668 | ) | 1,345,630 | |||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | — | (55,506,790 | ) | (44,845,267 | ) | (22,832,830 | )1 | ||||||||||||
Affiliated investments | 26,723,720 | — | — | 29 | |||||||||||||||
26,723,720 | (55,506,790 | ) | (44,845,267 | ) | (22,832,801 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 25,931,005 | (79,860,454 | ) | (79,361,935 | ) | (21,487,171 | ) | ||||||||||||
Increase (decrease) in net assets from operations | $ | 24,299,714 | ($74,755,069 | ) | ($68,503,281 | ) | ($13,507,510 | ) |
1 | Net of $32,858 increase in deferred foreign withholding taxes. |
Investment income | Health Sciences Trust | | International Core Trust | | International Equity Index Trust B | | International Growth Stock Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividends | $ | 1,098,995 | $ | 15,804,986 | $ | 12,657,439 | $ | 7,464,187 | |||||||||||
Securities lending | — | 303,597 | 189,999 | — | |||||||||||||||
Interest | 10,632 | 17,390 | 10,207 | — | |||||||||||||||
Less foreign taxes withheld | (10,265 | ) | (1,873,346 | ) | (1,369,515 | ) | (628,557 | ) | |||||||||||
Total investment income | 1,099,362 | 14,252,627 | 11,488,130 | 6,835,630 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 1,595,935 | 2,456,731 | 1,485,205 | 1,585,804 | |||||||||||||||
Series I distribution and service fees | 29,456 | 8,736 | 65,177 | 895 | |||||||||||||||
Series II distribution and service fees | 106,935 | 18,486 | 18,184 | 23,561 | |||||||||||||||
Accounting and legal services fees | 20,490 | 37,807 | 37,347 | 26,896 | |||||||||||||||
Professional fees | 23,703 | 26,101 | 37,518 | 30,792 | |||||||||||||||
Printing and postage | 4,204 | 202 | 2,794 | 516 | |||||||||||||||
Custodian fees | (127,124 | ) | (190,592 | ) | (159,292 | ) | 40,831 | ||||||||||||
Trustees’ fees | 3,142 | 5,361 | 5,213 | 3,822 | |||||||||||||||
Other | 7,661 | 102,768 | 70,985 | 6,360 | |||||||||||||||
Total expenses before reductions | 1,664,402 | 2,465,600 | 1,563,131 | 1,719,477 | |||||||||||||||
Less expense reductions | (93,333 | ) | (20,351 | ) | (775,792 | ) | (14,443 | ) | |||||||||||
Net expenses | 1,571,069 | 2,445,249 | 787,339 | 1,705,034 | |||||||||||||||
Net investment income (loss) | (471,707 | ) | 11,807,378 | 10,700,791 | 5,130,596 | ||||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | 16,882,144 | (31,501,288 | ) | (3,254,014 | ) | 446,598 | |||||||||||||
Affiliated investments | — | 3,829 | 2,532 | — | |||||||||||||||
Written options | 94,856 | — | — | — | |||||||||||||||
Futures contracts | — | (645,841 | ) | 187,927 | — | ||||||||||||||
16,977,000 | (32,143,300 | ) | (3,063,555 | ) | 446,598 | ||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | (48,731,084 | ) | 3,497,015 | (6,949,687 | ) | (10,135,806 | ) | ||||||||||||
Affiliated investments | — | (222 | ) | 22 | — | ||||||||||||||
Written options | 36,650 | — | — | — | |||||||||||||||
Futures contracts | — | 6,617 | (26,332 | ) | — | ||||||||||||||
(48,694,434 | ) | 3,503,410 | (6,975,997 | ) | (10,135,806 | ) | |||||||||||||
Net realized and unrealized gain (loss) | (31,717,434 | ) | (28,639,890 | ) | (10,039,552 | ) | (9,689,208 | ) | |||||||||||
Increase (decrease) in net assets from operations | ($32,189,141 | ) | ($16,832,512 | ) | $ | 661,239 | ($4,558,612 | ) |
Investment income | International Small Company Trust | | International Value Trust | | Lifestyle Aggressive PS Series | | Lifestyle Balanced PS Series | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividends | $ | 2,141,357 | $ | 17,366,874 | $ | 33,763 | — | ||||||||||||
Securities lending | 38,719 | 493,949 | — | — | |||||||||||||||
Interest | 493 | 12,740 | — | — | |||||||||||||||
Less foreign taxes withheld | (227,083 | ) | (1,668,368 | ) | — | — | |||||||||||||
Total investment income | 1,953,486 | 16,205,195 | 33,763 | — | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 493,295 | 3,139,166 | 12,652 | $ | 196,418 | ||||||||||||||
Series I distribution and service fees | 8,074 | 18,157 | 693 | 7,237 | |||||||||||||||
Series II distribution and service fees | 23,477 | 69,105 | 20,587 | 1,097,139 | |||||||||||||||
Accounting and legal services fees | 6,961 | 52,814 | 1,348 | 64,158 | |||||||||||||||
Professional fees | 24,773 | 29,070 | 18,107 | 23,575 | |||||||||||||||
Printing and postage | — | 2,824 | 1,865 | 11,020 | |||||||||||||||
Custodian fees | (264,222 | ) | (1,254,796 | ) | 5,826 | 5,696 | |||||||||||||
Trustees’ fees | 1,075 | 7,385 | 296 | 8,766 | |||||||||||||||
Registration and filing fees | — | — | — | 795 | |||||||||||||||
Other | 1,847 | 12,665 | 1,746 | 4,793 | |||||||||||||||
Total expenses before reductions | 295,280 | 2,076,390 | 63,120 | 1,419,597 | |||||||||||||||
Less expense reductions | (3,758 | ) | (28,389 | ) | (25,171 | ) | (23,848 | ) | |||||||||||
Net expenses | 291,522 | 2,048,001 | 37,949 | 1,395,749 | |||||||||||||||
Net investment income | 1,661,964 | 14,157,194 | (4,186 | ) | (1,395,749 | ) | |||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | 953,754 | (20,769,938 | ) | (29,811 | ) | — | |||||||||||||
Affiliated investments | 284 | 10,775 | (42,512 | ) | (59,449 | ) | |||||||||||||
954,038 | (20,759,163 | ) | (72,323 | ) | (59,449 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | (4,048,495 | ) | 15,899,461 | 1 | 184,901 | — | |||||||||||||
Affiliated investments | 82 | 85 | 277,132 | 32,342,231 | |||||||||||||||
(4,048,413 | ) | 15,899,546 | 462,033 | 32,342,231 | |||||||||||||||
Net realized and unrealized gain (loss) | (3,094,375 | ) | (4,859,617 | ) | 389,710 | 32,282,782 | |||||||||||||
Increase (decrease) in net assets from operations | ($1,432,411 | ) | $ | 9,297,577 | $ | 385,524 | $ | 30,887,033 |
1 | Net of $51,533 decrease in deferred foreign withholding taxes. |
Investment income | Lifestyle Conservative PS Series | | Lifestyle Growth PS Series | | Lifestyle Moderate PS Series | | Mid Cap Index Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividends | — | — | — | $ | 6,873,373 | ||||||||||||||
Interest | — | — | — | 5,240 | |||||||||||||||
Securities lending | — | — | — | 150,672 | |||||||||||||||
Total investment income | — | — | — | 7,029,285 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | $ | 40,818 | $ | 390,585 | $ | 65,441 | 1,963,297 | ||||||||||||
Series I distribution and service fees | 2,113 | 9,896 | 2,196 | 165,764 | |||||||||||||||
Series II distribution and service fees | 236,190 | 2,279,142 | 375,680 | 76,040 | |||||||||||||||
Accounting and legal services fees | 13,297 | 127,580 | 21,326 | 55,360 | |||||||||||||||
Professional fees | 19,314 | 28,579 | 19,993 | 22,854 | |||||||||||||||
Printing and postage | 4,339 | 18,719 | 5,424 | 8,557 | |||||||||||||||
Custodian fees | 5,826 | 5,681 | 5,826 | 32,052 | |||||||||||||||
Trustees’ fees | 1,848 | 17,454 | 2,978 | 7,562 | |||||||||||||||
Registration and filing fees | 801 | 789 | 800 | — | |||||||||||||||
Other | 2,436 | 8,254 | 2,751 | 9,209 | |||||||||||||||
Total expenses before reductions | 326,982 | 2,886,679 | 502,415 | 2,340,695 | |||||||||||||||
Less expense reductions | (13,173 | ) | (47,424 | ) | (7,945 | ) | (443,213 | ) | |||||||||||
Net expenses | 313,809 | 2,839,255 | 494,470 | 1,897,482 | |||||||||||||||
Net investment income (loss) | (313,809 | ) | (2,839,255 | ) | (494,470 | ) | 5,131,803 | ||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | — | — | — | 48,784,503 | |||||||||||||||
Affiliated investments | (325,257 | ) | (320,737 | ) | (294,605 | ) | 5,598 | ||||||||||||
Futures contracts | — | — | — | 2,257,032 | |||||||||||||||
(325,257 | ) | (320,737 | ) | (294,605 | ) | 51,047,133 | |||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | — | — | — | 6,424,553 | |||||||||||||||
Affiliated investments | 9,399,856 | 48,720,865 | 12,206,650 | 300 | |||||||||||||||
Futures contracts | — | — | — | (31,181 | ) | ||||||||||||||
9,399,856 | 48,720,865 | 12,206,650 | 6,393,672 | ||||||||||||||||
Net realized and unrealized gain (loss) | 9,074,599 | 48,400,128 | 11,912,045 | 57,440,805 | |||||||||||||||
Increase (decrease) in net assets from operations | $ | 8,760,790 | $ | 45,560,873 | $ | 11,417,575 | $ | 62,572,608 |
Investment income | Mid Cap Stock Trust | | Mid Value Trust | | Mutual Shares Trust | | Real Estate Securities Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividends | $ | 2,067,285 | $ | 8,775,143 | $ | 8,222,112 | $ | 11,705,317 | |||||||||||
Interest | 21,315 | 82,151 | 1,975,042 | 1,070 | |||||||||||||||
Securities lending | 705,465 | 138,751 | 54,326 | 1,853 | |||||||||||||||
Less foreign taxes withheld | (12,193 | ) | (104,783 | ) | (211,424 | ) | — | ||||||||||||
Total investment income | 2,781,872 | 8,891,262 | 10,040,056 | 11,708,240 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 2,874,645 | 3,476,814 | 2,409,985 | 1,430,858 | |||||||||||||||
Series I distribution and service fees | 37,666 | 69,500 | 41,498 | 21,925 | |||||||||||||||
Series II distribution and service fees | 98,330 | 75,015 | — | 67,207 | |||||||||||||||
Accounting and legal services fees | 46,312 | 49,198 | 33,782 | 27,356 | |||||||||||||||
Professional fees | 27,790 | 22,415 | 29,964 | 30,945 | |||||||||||||||
Printing and postage | 7,217 | 8,508 | 4,658 | 5,495 | |||||||||||||||
Custodian fees | (148,366 | ) | (128,460 | ) | 4,442 | (202,750 | ) | ||||||||||||
Trustees’ fees | 6,731 | 6,793 | 4,747 | 3,826 | |||||||||||||||
Other | 8,710 | 7,803 | 6,103 | 4,141 | |||||||||||||||
Total expenses before reductions | 2,959,035 | 3,587,586 | 2,535,179 | 1,389,003 | |||||||||||||||
Less expense reductions | (24,954 | ) | (191,949 | ) | (18,152 | ) | (14,783 | ) | |||||||||||
Net expenses | 2,934,081 | 3,395,637 | 2,517,027 | 1,374,220 | |||||||||||||||
Net investment income (loss) | (152,209 | ) | 5,495,625 | 7,523,029 | 10,334,020 | ||||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | (11,165,043 | ) | 26,592,082 | 12,150,539 | 10,146,110 | ||||||||||||||
Affiliated investments | 14,484 | 5,769 | 1,398 | 471 | |||||||||||||||
(11,150,559 | ) | 26,597,851 | 12,151,937 | 10,146,581 | |||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | (9,854,805 | ) | 44,498,974 | 1,849,862 | 30,986,108 | ||||||||||||||
Affiliated investments | 2,328 | (393 | ) | 36 | — | ||||||||||||||
(9,852,477 | ) | 44,498,581 | 1,849,898 | 30,986,108 | |||||||||||||||
Net realized and unrealized gain (loss) | (21,003,036 | ) | 71,096,432 | 14,001,835 | 41,132,689 | ||||||||||||||
Increase (decrease) in net assets from operations | ($21,155,245 | ) | $ | 76,592,057 | $ | 21,524,864 | $ | 51,466,709 |
Investment income | Science & Technology Trust | | Small Cap Growth Trust | | Small Cap Index Trust | | Small Cap Opportunities Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividends | $ | 2,276,819 | $ | 1,009,834 | $ | 3,180,326 | $ | 1,446,177 | |||||||||||
Interest | 1,049,455 | 17,388 | 2,496 | 5,760 | |||||||||||||||
Securities lending | 154,680 | 286,911 | 481,112 | 52,369 | |||||||||||||||
Less foreign taxes withheld | (51,726 | ) | (483 | ) | (1,104 | )�� | (129 | ) | |||||||||||
Total investment income | 3,429,228 | 1,313,650 | 3,662,830 | 1,504,177 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 2,405,246 | 1,981,541 | 957,444 | 1,030,848 | |||||||||||||||
Series I distribution and service fees | 100,723 | 20,654 | 68,361 | 22,115 | |||||||||||||||
Series II distribution and service fees | 50,455 | 33,349 | 46,498 | 44,751 | |||||||||||||||
Accounting and legal services fees | 31,712 | 25,277 | 26,391 | 13,932 | |||||||||||||||
Professional fees | 24,017 | 23,067 | 20,091 | 19,528 | |||||||||||||||
Printing and postage | 4,876 | 5,708 | 4,605 | 3,372 | |||||||||||||||
Custodian fees | (15,585 | ) | (204,505 | ) | 24,683 | (39,835 | ) | ||||||||||||
Trustees’ fees | 4,543 | 3,761 | 3,760 | 2,036 | |||||||||||||||
Other | 5,880 | 5,927 | 5,232 | 4,014 | |||||||||||||||
Total expenses before reductions | 2,611,867 | 1,894,779 | 1,157,065 | 1,100,761 | |||||||||||||||
Less expense reductions | (104,315 | ) | (13,618 | ) | (112,689 | ) | (94,476 | ) | |||||||||||
Net expenses | 2,507,552 | 1,881,161 | 1,044,376 | 1,006,285 | |||||||||||||||
Net investment income (loss) | 921,676 | (567,511 | ) | 2,618,454 | 497,892 | ||||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | 7,923,145 | (39,884,933 | ) | 18,153,831 | 5,830,598 | ||||||||||||||
Affiliated investments | 7,713 | 10,414 | 5,357 | 1,809 | |||||||||||||||
Futures contracts | — | — | 1,214,172 | — | |||||||||||||||
7,930,858 | (39,874,519 | ) | 19,373,360 | 5,832,407 | |||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | (9,035,383 | ) | 13,465,033 | (13,257,381 | ) | (1,735,129 | ) | ||||||||||||
Affiliated investments | (866 | ) | 2,144 | 2,025 | (37 | ) | |||||||||||||
Futures contracts | — | — | (390,110 | ) | — | ||||||||||||||
(9,036,249 | ) | 13,467,177 | (13,645,466 | ) | (1,735,166 | ) | |||||||||||||
Net realized and unrealized gain (loss) | (1,105,391 | ) | (26,407,342 | ) | 5,727,894 | 4,097,241 | |||||||||||||
Increase (decrease) in net assets from operations | ($183,715 | ) | ($26,974,853 | ) | $ | 8,346,348 | $ | 4,595,133 |
Investment income | Small Cap Value Trust | | Small Company Growth Trust | | Small Company Value Trust | | Strategic Equity Allocation Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividends | $ | 5,985,530 | $ | 801,608 | $ | 2,891,848 | $ | 142,261,762 | |||||||||||
Interest | 29,416 | 7,696 | 5,766 | 39,362 | |||||||||||||||
Securities lending | 46,394 | 12,320 | 57,111 | 2,065,354 | |||||||||||||||
Less foreign taxes withheld | — | — | (2,709 | ) | (6,586,402 | ) | |||||||||||||
Total investment income | 6,061,340 | 821,624 | 2,952,016 | 137,780,076 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 3,294,961 | 526,476 | 1,503,614 | 29,989,679 | |||||||||||||||
Series I distribution and service fees | 79,179 | — | 14,443 | — | |||||||||||||||
Series II distribution and service fees | 43,575 | — | 59,868 | — | |||||||||||||||
Accounting and legal services fees | 42,804 | 7,081 | 19,336 | 639,442 | |||||||||||||||
Professional fees | 21,558 | 18,876 | 19,634 | 84,505 | |||||||||||||||
Printing and postage | 6,702 | 1,819 | 3,476 | 64,626 | |||||||||||||||
Custodian fees | (89,858 | ) | (4,288 | ) | (55,350 | ) | 932,367 | ||||||||||||
Trustees’ fees | 5,921 | 1,096 | 2,747 | 87,724 | |||||||||||||||
Other | 6,934 | 3,223 | 4,337 | 75,943 | |||||||||||||||
Total expenses before reductions | 3,411,776 | 554,283 | 1,572,105 | 31,874,286 | |||||||||||||||
Less expense reductions | (23,041 | ) | (3,809 | ) | (87,863 | ) | (6,580,320 | ) | |||||||||||
Net expenses | 3,388,735 | 550,474 | 1,484,242 | 25,293,966 | |||||||||||||||
Net investment income (loss) | 2,672,605 | 271,150 | 1,467,774 | 112,486,110 | |||||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | 23,373,150 | 4,070,822 | 5,226,007 | 44,791,954 | |||||||||||||||
Affiliated investments | 6,260 | 424 | 2,378 | 16,071 | |||||||||||||||
Futures contracts | — | — | — | 7,203,810 | |||||||||||||||
23,379,410 | 4,071,246 | 5,228,385 | 52,011,835 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 1,740,446 | (2,482,900 | ) | 19,036,292 | (18,912,609 | ) | |||||||||||||
Affiliated investments | (722 | ) | (138 | ) | (38 | ) | 22,878 | ||||||||||||
Futures contracts | — | — | — | (3,321,686 | ) | ||||||||||||||
1,739,724 | (2,483,038 | ) | 19,036,254 | (22,211,417 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 25,119,134 | 1,588,208 | 24,264,639 | 29,800,418 | |||||||||||||||
Increase (decrease) in net assets from operations | $ | 27,791,739 | $ | 1,859,358 | $ | 25,732,413 | $ | 142,286,528 |
Investment income | Total Stock Market Index Trust | | U.S. Equity Trust | | Utilities Trust | | Value Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividends | $ | 6,230,056 | $ | 7,101,691 | $ | 7,406,468 | $ | 4,208,130 | |||||||||||
Interest | 1,188 | 24,386 | 12,256 | 31,654 | |||||||||||||||
Securities lending | 133,936 | 150,417 | 255,537 | — | |||||||||||||||
Less foreign taxes withheld | (2,528 | ) | — | (256,292 | ) | — | |||||||||||||
Total investment income | 6,362,652 | 7,276,494 | 7,417,969 | 4,239,784 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 1,339,490 | 2,533,310 | 1,417,199 | 1,808,431 | |||||||||||||||
Series I distribution and service fees | 105,991 | 29,391 | 74,665 | 115,092 | |||||||||||||||
Series II distribution and service fees | 42,065 | 7,734 | 19,221 | 29,964 | |||||||||||||||
Accounting and legal services fees | 37,251 | 44,989 | 23,027 | 34,773 | |||||||||||||||
Professional fees | 23,190 | 23,957 | 20,155 | 21,295 | |||||||||||||||
Printing and postage | 5,728 | 6,096 | 4,310 | 5,908 | |||||||||||||||
Custodian fees | 33,649 | (55,455 | ) | (106,862 | ) | 11,665 | |||||||||||||
Trustees’ fees | 5,203 | 6,324 | 3,229 | 4,964 | |||||||||||||||
Other | 6,269 | 110,389 | 5,827 | 6,394 | |||||||||||||||
Total expenses before reductions | 1,598,836 | 2,706,735 | 1,460,771 | 2,038,486 | |||||||||||||||
Less expense reductions | (20,089 | ) | (24,155 | ) | (12,430 | ) | (18,717 | ) | |||||||||||
Net expenses | 1,578,747 | 2,682,580 | 1,448,341 | 2,019,769 | |||||||||||||||
Net investment income (loss) | 4,783,905 | 4,593,914 | 5,969,628 | 2,220,015 | |||||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | 6,839,455 | 23,210,703 | (5,842,856 | ) | 3,072,573 | ||||||||||||||
Affiliated investments | 1,942 | 3,010 | 2,289 | — | |||||||||||||||
Futures contracts | 336,577 | 1,430,268 | — | — | |||||||||||||||
7,177,974 | 24,643,981 | (5,840,567 | ) | 3,072,573 | |||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 6,846,322 | (8,778,321 | ) | 49,452,708 | 5,758,490 | ||||||||||||||
Affiliated investments | 490 | 1,607 | 146 | — | |||||||||||||||
Futures contracts | (51,336 | ) | (56,351 | ) | — | — | |||||||||||||
6,795,476 | (8,833,065 | ) | 49,452,854 | 5,758,490 | |||||||||||||||
Net realized and unrealized gain (loss) | 13,973,450 | 15,810,916 | 43,612,287 | 8,831,063 | |||||||||||||||
Increase (decrease) in net assets from operations | $ | 18,757,355 | $ | 20,404,830 | $ | 49,581,915 | $ | 11,051,078 |
500 Index Trust B | All Cap Core Trust | Alpha Opportunities Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | ||||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 34,532,910 | $ | 66,241,876 | $ | 2,119,147 | $ | 3,285,301 | $ | 1,841,915 | $ | 4,046,942 | |||||||||||||||
Net realized gain (loss) | 37,332,275 | 49,330,494 | (2,128,034 | ) | 28,861,310 | (22,676,923 | ) | 59,171,846 | |||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 61,498,500 | (75,033,441 | ) | 108,714 | (21,993,252 | ) | 21,293,445 | (59,731,420 | ) | ||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 133,363,685 | 40,538,929 | 99,827 | 10,153,359 | 458,437 | 3,487,368 | |||||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (34,338,997 | ) | — | (739,178 | ) | — | (4,364 | ) | ||||||||||||||||||
Series II | — | (782,870 | ) | — | (50,994 | ) | — | — | |||||||||||||||||||
Series NAV | — | (26,062,241 | ) | — | (2,385,921 | ) | — | (4,898,063 | ) | ||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (19,637,567 | ) | — | — | — | (137,392 | ) | |||||||||||||||||||
Series II | — | (524,823 | ) | — | — | — | — | ||||||||||||||||||||
Series NAV | — | (14,800,035 | ) | — | — | — | (126,239,846 | ) | |||||||||||||||||||
Total distributions | — | (96,146,533 | ) | — | (3,176,093 | ) | — | (131,279,665 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | 110,005,091 | 108,288,925 | (14,688,507 | ) | (49,807,908 | ) | (37,174,132 | ) | 10,731,721 | ||||||||||||||||||
Total from portfolio share transactions | 110,005,091 | 108,288,925 | (14,688,507 | ) | (49,807,908 | ) | (37,174,132 | ) | 10,731,721 | ||||||||||||||||||
Total increase (decrease) | 243,368,776 | 52,681,321 | (14,588,680 | ) | (42,830,642 | ) | (36,715,695 | ) | (117,060,576 | ) | |||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 3,517,365,772 | 3,464,684,451 | 307,764,632 | 350,595,274 | 663,818,477 | 780,879,053 | |||||||||||||||||||||
End of period | $ | 3,760,734,548 | $ | 3,517,365,772 | $ | 293,175,952 | $ | 307,764,632 | $ | 627,102,782 | $ | 663,818,477 | |||||||||||||||
Undistributed net investment income (loss) | $ | 49,016,874 | $ | 14,483,964 | $ | 2,916,959 | $ | 797,812 | $ | 2,981,325 | $ | 1,139,410 |
American Asset Allocation Trust | American Global Growth Trust | American Growth Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | |||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | ($251,023 | ) | $ | 18,273,958 | $ | 4,335 | $ | 1,555,418 | ($679,058 | ) | $ | 1,539,124 | |||||||||||||||
Net realized gain (loss) | 71,056,353 | 206,671,520 | 22,373,026 | 41,916,702 | 107,220,105 | 274,149,588 | |||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (7,765,786 | ) | (208,798,561 | ) | (31,201,163 | ) | (27,468,819 | ) | (101,425,091 | ) | (212,111,463 | ) | |||||||||||||||
Increase (decrease) in net assets resulting from operations | 63,039,544 | 16,146,917 | (8,823,802 | ) | 16,003,301 | 5,115,956 | 63,577,249 | ||||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (2,855,497 | ) | — | (87,010 | ) | — | (260,923 | ) | ||||||||||||||||||
Series II | — | (13,168,986 | ) | — | (1,116,432 | ) | — | (707,409 | ) | ||||||||||||||||||
Series III | — | (2,284,142 | ) | — | (353,142 | ) | — | (590,088 | ) | ||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (20,629,105 | ) | — | (918,708 | ) | — | (6,304,895 | ) | ||||||||||||||||||
Series II | — | (112,615,994 | ) | — | (16,486,298 | ) | — | (39,432,337 | ) | ||||||||||||||||||
Series III | — | (13,069,653 | ) | — | (2,690,420 | ) | — | (5,193,568 | ) | ||||||||||||||||||
Total distributions | — | (164,623,377 | ) | — | (21,652,010 | ) | — | (52,489,220 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (78,443,250 | ) | (28,114,632 | ) | (11,803,876 | ) | (3,626,327 | ) | (44,616,944 | ) | (134,311,272 | ) | |||||||||||||||
Total from portfolio share transactions | (78,443,250 | ) | (28,114,632 | ) | (11,803,876 | ) | (3,626,327 | ) | (44,616,944 | ) | (134,311,272 | ) | |||||||||||||||
Total increase (decrease) | (15,403,706 | ) | (176,591,092 | ) | (20,627,678 | ) | (9,275,036 | ) | (39,500,988 | ) | (123,223,243 | ) | |||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 1,525,998,530 | 1,702,589,622 | 236,512,773 | 245,787,809 | 904,997,115 | 1,028,220,358 | |||||||||||||||||||||
End of period | $ | 1,510,594,824 | $ | 1,525,998,530 | $ | 215,885,095 | $ | 236,512,773 | $ | 865,496,127 | $ | 904,997,115 | |||||||||||||||
Undistributed net investment income (loss) | ($251,023 | ) | — | $ | 4,335 | — | ($679,058 | ) | — |
American Growth-Income Trust | American International Trust | American New World Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | ||||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 259,929 | $ | 10,556,684 | ($822,857 | ) | $ | 5,888,276 | ($196,920 | ) | $ | 35,602 | |||||||||||||||
Net realized gain (loss) | 144,861,189 | 274,132,910 | 55,587,152 | 48,623,132 | (756,776 | ) | 3,899,775 | ||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (116,069,571 | ) | (267,963,580 | ) | (63,052,459 | ) | (77,848,219 | ) | 2,295,583 | (6,594,538 | ) | ||||||||||||||||
Increase (decrease) in net assets resulting from operations | 29,051,547 | 16,726,014 | (8,288,164 | ) | (23,336,811 | ) | 1,341,887 | (2,659,161 | ) | ||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (2,343,367 | ) | — | (1,076,950 | ) | — | (31,842 | ) | ||||||||||||||||||
Series II | — | (5,191,564 | ) | — | (4,143,903 | ) | — | — | |||||||||||||||||||
Series III | — | (3,049,150 | ) | — | (678,975 | ) | — | (7,825 | ) | ||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (28,558,922 | ) | — | — | — | (2,706,026 | ) | |||||||||||||||||||
Series II | — | (76,127,805 | ) | — | — | — | (5,862,000 | ) | |||||||||||||||||||
Series III | — | (26,188,612 | ) | — | — | — | (196,808 | ) | |||||||||||||||||||
Total distributions | — | (141,459,420 | ) | — | (5,899,828 | ) | — | (8,804,501 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (63,446,360 | ) | (37,360,155 | ) | (26,429,537 | ) | (41,471,448 | ) | (3,913,246 | ) | 17,752,522 | ||||||||||||||||
Total from portfolio share transactions | (63,446,360 | ) | (37,360,155 | ) | (26,429,537 | ) | (41,471,448 | ) | (3,913,246 | ) | 17,752,522 | ||||||||||||||||
Total increase (decrease) | (34,394,813 | ) | (162,093,561 | ) | (34,717,701 | ) | (70,708,087 | ) | (2,571,359 | ) | 6,288,860 | ||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 1,087,408,496 | 1,249,502,057 | 535,807,365 | 606,515,452 | 77,022,736 | 70,733,876 | |||||||||||||||||||||
End of period | $ | 1,053,013,683 | $ | 1,087,408,496 | $ | 501,089,664 | $ | 535,807,365 | $ | 74,451,377 | $ | 77,022,736 | |||||||||||||||
Undistributed net investment income (loss) | $ | 259,929 | — | ($822,857 | ) | — | ($196,920 | ) | — |
Blue Chip Growth Trust | Capital Appreciation Trust | Capital Appreciation Value Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | ||||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 500,370 | $ | 823,943 | $ | 868,378 | $ | 126,623 | $ | 2,019,951 | $ | 3,413,690 | |||||||||||||||
Net realized gain (loss) | 71,061,222 | 256,059,450 | 33,448,121 | 146,069,362 | 4,003,344 | 36,454,687 | |||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (171,183,707 | ) | (69,699,952 | ) | (97,792,330 | ) | (33,722,707 | ) | 11,988,254 | (21,494,317 | ) | ||||||||||||||||
Increase (decrease) in net assets resulting from operations | (99,622,115 | ) | 187,183,441 | (63,475,831 | ) | 112,473,278 | 18,011,549 | 18,374,060 | |||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | — | — | — | — | (30,083 | ) | ||||||||||||||||||||
Series II | — | — | — | — | — | (2,911,907 | ) | ||||||||||||||||||||
Series NAV | — | — | — | (178,097 | ) | — | (514,718 | ) | |||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (56,524,937 | ) | — | (34,099,064 | ) | — | (597,010 | ) | ||||||||||||||||||
Series II | — | (24,726,008 | ) | — | (12,479,344 | ) | — | (43,693,757 | ) | ||||||||||||||||||
Series NAV | — | (227,696,659 | ) | — | (124,855,379 | ) | — | (5,592,568 | ) | ||||||||||||||||||
Total distributions | — | (308,947,604 | ) | — | (171,611,884 | ) | — | (53,340,043 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (76,549,831 | ) | 70,294,055 | (28,309,297 | ) | (20,100,015 | ) | (1,610,148 | ) | 28,049,036 | |||||||||||||||||
Total from portfolio share transactions | (76,549,831 | ) | 70,294,055 | (28,309,297 | ) | (20,100,015 | ) | (1,610,148 | ) | 28,049,036 | |||||||||||||||||
Total increase (decrease) | (176,171,946 | ) | (51,470,108 | ) | (91,785,128 | ) | (79,238,621 | ) | 16,401,401 | (6,916,947 | ) | ||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 1,707,590,566 | 1,759,060,674 | 953,247,304 | 1,032,485,925 | 361,687,049 | 368,603,996 | |||||||||||||||||||||
End of period | $ | 1,531,418,620 | $ | 1,707,590,566 | $ | 861,462,176 | $ | 953,247,304 | $ | 378,088,450 | $ | 361,687,049 | |||||||||||||||
Undistributed net investment income (loss) | $ | 1,304,948 | $ | 804,578 | $ | 996,316 | $ | 127,938 | $ | 2,918,424 | $ | 898,473 |
Core Strategy Trust | Emerging Markets Value Trust | Equity Income Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | ||||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | ($5,153,231 | ) | $ | 73,283,494 | $ | 8,353,900 | $ | 13,400,367 | $ | 21,350,223 | $ | 35,565,896 | |||||||||||||||
Net realized gain (loss) | 11,291,691 | 151,484,447 | (16,222,839 | ) | (21,281,325 | ) | 82,043,570 | 161,218,290 | |||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 79,865,420 | (234,367,507 | ) | 76,701,629 | (145,118,724 | ) | 474,673 | (320,562,435 | ) | ||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 86,003,880 | (9,599,566 | ) | 68,832,690 | (152,999,682 | ) | 103,868,466 | (123,778,249 | ) | ||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (2,683,807 | ) | — | (56,043 | ) | — | (5,461,496 | ) | ||||||||||||||||||
Series II | — | (67,127,980 | ) | — | (1,662 | ) | — | (2,571,102 | ) | ||||||||||||||||||
Series NAV | — | (3,549,296 | ) | — | (16,386,904 | ) | — | (27,085,544 | ) | ||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (4,376,168 | ) | — | — | — | (25,811,151 | ) | |||||||||||||||||||
Series II | — | (120,534,844 | ) | — | — | — | (13,520,379 | ) | |||||||||||||||||||
Series NAV | — | (5,492,281 | ) | — | — | — | (122,871,419 | ) | |||||||||||||||||||
Total distributions | — | (203,764,376 | ) | — | (16,444,609 | ) | — | (197,321,091 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (145,069,418 | ) | (89,646,553 | ) | 14,001,045 | 4,547,900 | (157,017,977 | ) | 4,342,411 | ||||||||||||||||||
Total from portfolio share transactions | (145,069,418 | ) | (89,646,553 | ) | 14,001,045 | 4,547,900 | (157,017,977 | ) | 4,342,411 | ||||||||||||||||||
Total increase (decrease) | (59,065,538 | ) | (303,010,495 | ) | 82,833,735 | (164,896,391 | ) | (53,149,511 | ) | (316,756,929 | ) | ||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 3,648,550,507 | 3,951,561,002 | 662,492,420 | 827,388,811 | 1,670,136,726 | 1,986,893,655 | |||||||||||||||||||||
End of period | $ | 3,589,484,969 | $ | 3,648,550,507 | $ | 745,326,155 | $ | 662,492,420 | $ | 1,616,987,215 | $ | 1,670,136,726 | |||||||||||||||
Undistributed net investment income (loss) | ($5,153,231 | ) | — | 10,429,786 | 2,075,886 | $ | 29,359,886 | $ | 8,009,663 |
Financial Industries Trust | Franklin Templeton Founding Allocation Trust | Fundamental All Cap Core Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | ||||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 1,392,431 | $ | 2,704,682 | ($1,631,291 | ) | $ | 28,748,184 | $ | 5,105,385 | $ | 5,685,655 | |||||||||||||||
Net realized gain (loss) | (3,529,935 | ) | (997,904 | ) | (792,715 | ) | 49,484,743 | (24,353,664 | ) | 204,568,989 | |||||||||||||||||
Change in net unrealized appreciation (depreciation) | (12,361,406 | ) | (6,804,246 | ) | 26,723,720 | (144,978,724 | ) | (55,506,790 | ) | (142,540,013 | ) | ||||||||||||||||
Increase (decrease) in net assets resulting from operations | (14,498,910 | ) | (5,097,468 | ) | 24,299,714 | (66,745,797 | ) | (74,755,069 | ) | 67,714,631 | |||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (1,304,811 | ) | — | (1,138,734 | ) | — | — | |||||||||||||||||||
Series II | — | (147,529 | ) | — | (26,220,952 | ) | — | — | |||||||||||||||||||
Series NAV | — | (244,592 | ) | — | (1,424,183 | ) | — | — | |||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (40,342,982 | ) | — | — | — | (7,784,551 | ) | |||||||||||||||||||
Series II | — | (6,134,365 | ) | — | — | — | (2,536,408 | ) | |||||||||||||||||||
Series NAV | — | (7,195,066 | ) | — | — | — | (67,054,149 | ) | |||||||||||||||||||
Total distributions | — | (55,369,345 | ) | — | (28,783,869 | ) | — | (77,375,108 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (13,639,667 | ) | 51,517,840 | (51,775,581 | ) | (113,237,817 | ) | (69,873,402 | ) | (28,728,684 | ) | ||||||||||||||||
Total from portfolio share transactions | (13,639,667 | ) | 51,517,840 | (51,775,581 | ) | (113,237,817 | ) | (69,873,402 | ) | (28,728,684 | ) | ||||||||||||||||
Total increase (decrease) | (28,138,577 | ) | (8,948,973 | ) | (27,475,867 | ) | (208,767,483 | ) | (144,628,471 | ) | (38,389,161 | ) | |||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 167,324,167 | 176,273,140 | 1,048,735,588 | 1,257,503,071 | 1,625,898,368 | 1,664,287,529 | |||||||||||||||||||||
End of period | $ | 139,185,590 | $ | 167,324,167 | $ | 1,021,259,721 | $ | 1,048,735,588 | $ | 1,481,269,897 | �� | $ | 1,625,898,368 | ||||||||||||||
Undistributed net investment income (loss) | $ | 2,796,090 | $ | 1,403,659 | ($1,631,291 | ) | — | $ | 10,540,330 | $ | 5,434,945 |
Fundamental Large Cap Value Trust | Global Trust | Health Sciences Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | ||||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 10,858,654 | $ | 19,393,905 | $ | 7,979,661 | $ | 11,964,639 | ($471,707 | ) | $ | 179,001 | |||||||||||||||
Net realized gain (loss) | (34,516,668 | ) | 51,501,978 | 1,345,630 | 49,099,203 | 16,977,000 | 69,520,450 | ||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (44,845,267 | ) | (84,114,069 | ) | (22,832,801 | ) | (99,579,759 | ) | (48,694,434 | ) | (28,246,251 | ) | |||||||||||||||
Increase (decrease) in net assets resulting from operations | (68,503,281 | ) | (13,218,186 | ) | (13,507,510 | ) | (38,515,917 | ) | (32,189,141 | ) | 41,453,200 | ||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (5,906,860 | ) | — | (3,126,911 | ) | — | — | |||||||||||||||||||
Series II | — | (1,900,761 | ) | — | (900,473 | ) | — | — | |||||||||||||||||||
Series NAV | — | (8,622,108 | ) | — | (8,435,967 | ) | — | — | |||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | — | — | — | — | (24,945,099 | ) | ||||||||||||||||||||
Series II | — | — | — | — | — | (17,700,999 | ) | ||||||||||||||||||||
Series NAV | — | — | — | — | — | (18,475,075 | ) | ||||||||||||||||||||
Total distributions | — | (16,429,729 | ) | — | (12,463,351 | ) | — | (61,121,173 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (40,918,127 | ) | (200,029,348 | ) | (19,759,290 | ) | (82,657,509 | ) | (37,964,429 | ) | 46,908,515 | ||||||||||||||||
Total from portfolio share transactions | (40,918,127 | ) | (200,029,348 | ) | (19,759,290 | ) | (82,657,509 | ) | (37,964,429 | ) | 46,908,515 | ||||||||||||||||
Total increase (decrease) | (109,421,408 | ) | (229,677,263 | ) | (33,266,800 | ) | (133,636,777 | ) | (70,153,570 | ) | 27,240,542 | ||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 1,562,725,751 | 1,792,403,014 | 582,391,252 | 716,028,029 | 365,714,932 | 338,474,390 | |||||||||||||||||||||
End of period | $ | 1,453,304,343 | $ | 1,562,725,751 | $ | 549,124,452 | $ | 582,391,252 | $ | 295,561,362 | $ | 365,714,932 | |||||||||||||||
Undistributed net investment income (loss) | $ | 16,662,546 | $ | 5,803,892 | 8,996,356 | 1,016,695 | ($300,290 | ) | $ | 171,417 |
International Core Trust | International Equity Index Trust B | International Growth Stock Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | ||||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 11,807,378 | $ | 16,001,133 | $ | 10,700,791 | $ | 15,486,878 | $ | 5,130,596 | $ | 7,039,098 | |||||||||||||||
Net realized gain (loss) | (32,143,300 | ) | (38,590,532 | ) | (3,063,555 | ) | (2,610,317 | ) | 446,598 | 15,683,910 | |||||||||||||||||
Change in net unrealized appreciation (depreciation) | 3,503,410 | (2,330,676 | ) | (6,975,997 | ) | (50,739,682 | ) | (10,135,806 | ) | (29,510,046 | ) | ||||||||||||||||
Increase (decrease) in net assets resulting from operations | (16,832,512 | ) | (24,920,075 | ) | 661,239 | (37,863,121 | ) | �� | (4,558,612 | ) | (6,787,038 | ) | |||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (1,224,159 | ) | — | (6,814,690 | ) | — | (60,947 | ) | ||||||||||||||||||
Series II | — | (478,546 | ) | — | (384,636 | ) | — | (339,052 | ) | ||||||||||||||||||
Series NAV | — | (17,533,368 | ) | — | (8,128,295 | ) | — | (7,452,899 | ) | ||||||||||||||||||
Total distributions | — | (19,236,073 | ) | — | (15,327,621 | ) | — | (7,852,898 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (17,359,407 | ) | (89,639,049 | ) | 1,447,421 | 5,102,774 | (17,374,222 | ) | (70,033,229 | ) | |||||||||||||||||
Total from portfolio share transactions | (17,359,407 | ) | (89,639,049 | ) | 1,447,421 | 5,102,774 | (17,374,222 | ) | (70,033,229 | ) | |||||||||||||||||
Total increase (decrease) | (34,191,919 | ) | (133,795,197 | ) | 2,108,660 | (48,087,968 | ) | (21,932,834 | ) | (84,673,165 | ) | ||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 593,493,087 | 727,288,284 | 572,233,054 | 620,321,022 | 418,614,317 | 503,287,482 | |||||||||||||||||||||
End of period | $ | 559,301,168 | $ | 593,493,087 | $ | 574,341,714 | $ | 572,233,054 | $ | 396,681,483 | $ | 418,614,317 | |||||||||||||||
Undistributed net investment income (loss) | 13,443,493 | 1,636,115 | 12,013,294 | 1,312,503 | 5,849,387 | 718,791 |
International Small Company Trust | International Value Trust | Lifestyle Aggressive PS Series | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | ||||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 1,661,964 | $ | 1,506,499 | $ | 14,157,194 | $ | 18,255,014 | ($4,186 | ) | $ | 339,712 | |||||||||||||||
Net realized gain (loss) | 954,038 | 6,024,315 | (20,759,163 | ) | (16,708,488 | ) | (72,323 | ) | 808,946 | ||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (4,048,413 | ) | (763,078 | ) | 15,899,546 | (60,323,177 | ) | 462,033 | (1,535,618 | ) | |||||||||||||||||
Increase (decrease) in net assets resulting from operations | (1,432,411 | ) | 6,767,736 | 9,297,577 | (58,776,651 | ) | 385,524 | (386,960 | ) | ||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (643,323 | ) | — | (1,602,486 | ) | — | (51,257 | ) | ||||||||||||||||||
Series II | — | (348,834 | ) | — | (1,031,176 | ) | — | (272,737 | ) | ||||||||||||||||||
Series NAV | — | (952,566 | ) | — | (14,784,164 | ) | — | (15,733 | ) | ||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | — | — | — | — | (6,637 | ) | ||||||||||||||||||||
Series II | — | — | — | — | — | (41,837 | ) | ||||||||||||||||||||
Series NAV | — | — | — | — | — | (1,977 | ) | ||||||||||||||||||||
Total distributions | — | (1,944,723 | ) | — | (17,417,826 | ) | — | (390,178 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | 900,086 | (893,259 | ) | (39,109,968 | ) | (140,914,501 | ) | (427,361 | ) | (365,696 | ) | ||||||||||||||||
Total from portfolio share transactions | 900,086 | (893,259 | ) | (39,109,968 | ) | (140,914,501 | ) | (427,361 | ) | (365,696 | ) | ||||||||||||||||
Total increase (decrease) | (532,325 | ) | 3,929,754 | (29,812,391 | ) | (217,108,978 | ) | (41,837 | ) | (1,142,834 | ) | ||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 107,294,943 | 103,365,189 | 820,184,970 | 1,037,293,948 | 20,876,876 | 22,019,710 | |||||||||||||||||||||
End of period | $ | 106,762,618 | $ | 107,294,943 | $ | 790,372,579 | $ | 820,184,970 | $ | 20,835,039 | $ | 20,876,876 | |||||||||||||||
Undistributed net investment income (loss) | 1,795,301 | 133,337 | 15,565,409 | 1,408,215 | ($4,186 | ) | — |
Lifestyle Balanced PS Series | Lifestyle Conservative PS Series | Lifestyle Growth PS Series | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | ||||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | ($1,395,749 | ) | $ | 21,549,022 | ($313,809 | ) | $ | 4,800,694 | ($2,839,255 | ) | $ | 39,105,150 | |||||||||||||||
Net realized gain (loss) | (59,449 | ) | 23,357,347 | (325,257 | ) | 2,084,423 | (320,737 | ) | 61,857,986 | ||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 32,342,231 | (46,941,323 | ) | 9,399,856 | (6,823,068 | ) | 48,720,865 | (109,114,501 | ) | ||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 30,887,033 | (2,034,954 | ) | 8,760,790 | 62,049 | 45,560,873 | (8,151,365 | ) | |||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (708,196 | ) | — | (225,401 | ) | — | (862,175 | ) | ||||||||||||||||||
Series II | — | (19,774,216 | ) | — | (4,556,412 | ) | — | (37,611,252 | ) | ||||||||||||||||||
Series NAV | — | (1,089,114 | ) | — | (19,148 | ) | — | (672,707 | ) | ||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (529,588 | ) | — | (86,120 | ) | — | (740,791 | ) | ||||||||||||||||||
Series II | — | (16,867,776 | ) | — | (1,998,611 | ) | — | (36,121,455 | ) | ||||||||||||||||||
Series NAV | — | (709,619 | ) | — | (13,152 | ) | — | (457,123 | ) | ||||||||||||||||||
Total distributions | — | (39,678,509 | ) | — | (6,898,844 | ) | — | (76,465,503 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (21,182,109 | ) | 26,428,699 | 8,187,188 | (230,541 | ) | (74,368,639 | ) | 135,748,108 | ||||||||||||||||||
Total from portfolio share transactions | (21,182,109 | ) | 26,428,699 | 8,187,188 | (230,541 | ) | (74,368,639 | ) | 135,748,108 | ||||||||||||||||||
Total increase (decrease) | 9,704,924 | (15,284,764 | ) | 16,947,978 | (7,067,336 | ) | (28,807,766 | ) | 51,131,240 | ||||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 974,828,470 | 990,113,234 | 189,759,216 | 196,826,552 | 1,973,686,735 | 1,922,555,495 | |||||||||||||||||||||
End of period | $ | 984,533,394 | $ | 974,828,470 | $ | 206,707,194 | $ | 189,759,216 | $ | 1,944,878,969 | $ | 1,973,686,735 | |||||||||||||||
Undistributed net investment income (loss) | ($1,395,749 | ) | — | ($313,783 | ) | $ | 26 | ($2,839,255 | ) | — |
Lifestyle Moderate PS Series | Mid Cap Index Trust | Mid Cap Stock Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | ||||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | ($494,470 | ) | $ | 7,346,121 | $ | 5,131,803 | $ | 9,597,386 | ($152,209 | ) | ($2,260,800 | ) | |||||||||||||||
Net realized gain (loss) | (294,605 | ) | 6,588,788 | 51,047,133 | 82,716,697 | (11,150,559 | ) | 53,472,458 | |||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 12,206,650 | (14,305,462 | ) | 6,393,672 | (116,126,280 | ) | (9,852,477 | ) | (23,331,746 | ) | |||||||||||||||||
Increase (decrease) in net assets resulting from operations | 11,417,575 | (370,553 | ) | 62,572,608 | (23,812,197 | ) | (21,155,245 | ) | 27,879,912 | ||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (222,083 | ) | — | (7,211,867 | ) | — | — | |||||||||||||||||||
Series II | — | (6,938,283 | ) | — | (549,942 | ) | — | — | |||||||||||||||||||
Series NAV | — | (192,915 | ) | — | (1,221,319 | ) | — | — | |||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (152,017 | ) | — | (56,193,926 | ) | — | (36,356,040 | ) | ||||||||||||||||||
Series II | — | (5,617,616 | ) | — | (5,463,095 | ) | — | (20,132,925 | ) | ||||||||||||||||||
Series NAV | — | (100,278 | ) | — | (9,999,705 | ) | — | (105,188,192 | ) | ||||||||||||||||||
Total distributions | — | (13,223,192 | ) | — | (80,639,854 | ) | — | (161,677,157 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (2,601,754 | ) | 81,765 | 984,301 | 76,483,216 | (36,779,170 | ) | 52,253,212 | |||||||||||||||||||
Total from portfolio share transactions | (2,601,754 | ) | 81,765 | 984,301 | 76,483,216 | (36,779,170 | ) | 52,253,212 | |||||||||||||||||||
Total increase (decrease) | 8,815,821 | (13,511,980 | ) | 63,556,909 | (27,968,835 | ) | (57,934,415 | ) | (81,544,033 | ) | |||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 320,580,506 | 334,092,486 | 827,856,550 | 855,825,385 | 766,770,434 | 848,314,467 | |||||||||||||||||||||
End of period | $ | 329,396,327 | $ | 320,580,506 | $ | 891,413,459 | $ | 827,856,550 | $ | 708,836,019 | $ | 766,770,434 | |||||||||||||||
Undistributed net investment income (loss) | ($494,470 | ) | — | $ | 7,870,320 | $ | 2,738,517 | ($152,209 | ) | — |
Mid Value Trust | Mutual Shares Trust | Real Estate Securities Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | ||||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 5,495,625 | $ | 8,425,965 | $ | 7,523,029 | $ | 10,335,927 | $ | 10,334,020 | $ | 8,868,448 | |||||||||||||||
Net realized gain (loss) | 26,597,851 | 90,884,287 | 12,151,937 | 52,676,738 | 10,146,581 | 33,532,127 | |||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 44,498,581 | (123,817,061 | ) | 1,849,898 | (86,594,036 | ) | 30,986,108 | (31,648,118 | ) | ||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 76,592,057 | (24,506,809 | ) | 21,524,864 | (23,581,371 | ) | 51,466,709 | 10,752,457 | |||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (3,455,400 | ) | — | (3,820,482 | ) | — | (1,710,648 | ) | ||||||||||||||||||
Series II | — | (574,607 | ) | — | — | — | (953,383 | ) | |||||||||||||||||||
Series NAV | — | (5,162,115 | ) | — | (8,182,214 | ) | — | (5,361,772 | ) | ||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (56,805,649 | ) | — | (16,896,430 | ) | — | — | |||||||||||||||||||
Series II | — | (11,823,606 | ) | — | — | — | — | ||||||||||||||||||||
Series NAV | — | (79,615,678 | ) | — | (35,693,508 | ) | — | — | |||||||||||||||||||
Total distributions | — | (157,437,055 | ) | — | (64,592,634 | ) | — | (8,025,803 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (55,753,735 | ) | 21,445,584 | (27,994,453 | ) | (9,226,216 | ) | (20,301,968 | ) | (40,978,546 | ) | ||||||||||||||||
Total from portfolio share transactions | (55,753,735 | ) | 21,445,584 | (27,994,453 | ) | (9,226,216 | ) | (20,301,968 | ) | (40,978,546 | ) | ||||||||||||||||
Total increase (decrease) | 20,838,322 | (160,498,280 | ) | (6,469,589 | ) | (97,400,221 | ) | 31,164,741 | (38,251,892 | ) | |||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 743,161,010 | 903,659,290 | 522,350,148 | 619,750,369 | 414,836,206 | 453,088,098 | |||||||||||||||||||||
End of period | $ | 763,999,332 | $ | 743,161,010 | $ | 515,880,559 | $ | 522,350,148 | $ | 446,000,947 | $ | 414,836,206 | |||||||||||||||
Undistributed net investment income (loss) | $ | 8,525,500 | $ | 3,029,875 | $ | 16,187,694 | $ | 8,664,665 | $ | 13,663,570 | $ | 3,329,550 |
Science & Technology Trust | Small Cap Growth Trust | Small Cap Index Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | ||||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 921,676 | ($1,706,335 | ) | ($567,511 | ) | ($2,059,186 | ) | $ | 2,618,454 | $ | 4,715,090 | |||||||||||||||
Net realized gain (loss) | 7,930,858 | 64,025,548 | (39,874,519 | ) | 33,935,154 | 19,373,360 | 34,468,533 | ||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (9,036,249 | ) | (30,542,887 | ) | 13,467,177 | (71,554,660 | ) | (13,645,466 | ) | (60,123,548 | ) | ||||||||||||||||
Increase (decrease) in net assets resulting from operations | (183,715 | ) | 31,776,326 | (26,974,853 | ) | (39,678,692 | ) | 8,346,348 | (20,939,925 | ) | |||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | — | — | — | — | (3,119,906 | ) | ||||||||||||||||||||
Series II | — | — | — | — | — | (361,464 | ) | ||||||||||||||||||||
Series NAV | — | — | — | — | — | (1,089,209 | ) | ||||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (70,613,953 | ) | — | (20,495,548 | ) | — | (24,680,654 | ) | ||||||||||||||||||
Series II | — | (7,354,718 | ) | — | (6,667,182 | ) | — | (3,743,442 | ) | ||||||||||||||||||
Series NAV | — | (4,523,412 | ) | — | (58,414,290 | ) | — | (8,155,749 | ) | ||||||||||||||||||
Total distributions | — | (82,492,083 | ) | — | (85,577,020 | ) | — | (41,150,424 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (23,583,773 | ) | 70,807,142 | (7,668,425 | ) | 49,420,768 | (2,967,424 | ) | 27,354,507 | ||||||||||||||||||
Total from portfolio share transactions | (23,583,773 | ) | 70,807,142 | (7,668,425 | ) | 49,420,768 | (2,967,424 | ) | 27,354,507 | ||||||||||||||||||
Total increase (decrease) | (23,767,488 | ) | 20,091,385 | (34,643,278 | ) | (75,834,944 | ) | 5,378,924 | (34,735,842 | ) | |||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 511,084,188 | 490,992,803 | 425,520,774 | 501,355,718 | 413,728,349 | 448,464,191 | |||||||||||||||||||||
End of period | $ | 487,316,700 | $ | 511,084,188 | $ | 390,877,496 | $ | 425,520,774 | $ | 419,107,273 | $ | 413,728,349 | |||||||||||||||
Undistributed net investment income (loss) | $ | 921,676 | — | ($566,645 | ) | $ | 866 | $ | 3,940,728 | $ | 1,322,274 |
Small Cap Opportunities Trust | Small Cap Value Trust | Small Company Growth Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | ||||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 497,892 | $ | 977,335 | $ | 2,672,605 | $ | 3,620,937 | $ | 271,150 | ($336,267 | ) | |||||||||||||||
Net realized gain (loss) | 5,832,407 | 20,624,567 | 23,379,410 | 90,082,090 | 4,071,246 | 17,179,308 | |||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (1,735,166 | ) | (32,852,199 | ) | 1,739,724 | (102,053,893 | ) | (2,483,038 | ) | (17,694,954 | ) | ||||||||||||||||
Increase (decrease) in net assets resulting from operations | 4,595,133 | (11,250,297 | ) | 27,791,739 | (8,350,866 | ) | 1,859,358 | (851,913 | ) | ||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (77,378 | ) | — | (1,566,636 | ) | — | — | |||||||||||||||||||
Series II | — | — | — | (91,216 | ) | — | — | ||||||||||||||||||||
Series NAV | — | (121,406 | ) | — | (1,645,259 | ) | — | — | |||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (3,730,293 | ) | — | (50,172,096 | ) | — | — | |||||||||||||||||||
Series II | — | (1,560,627 | ) | — | (5,517,556 | ) | — | — | |||||||||||||||||||
Series NAV | — | (3,783,953 | ) | — | (47,123,307 | ) | — | (370,025 | ) | ||||||||||||||||||
Total distributions | — | (9,273,657 | ) | — | (106,116,070 | ) | — | (370,025 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (14,324,928 | ) | (42,785,929 | ) | (25,673,394 | ) | 44,169,238 | (6,489,160 | ) | (21,180,433 | ) | ||||||||||||||||
Total from portfolio share transactions | (14,324,928 | ) | (42,785,929 | ) | (25,673,394 | ) | 44,169,238 | (6,489,160 | ) | (21,180,433 | ) | ||||||||||||||||
Total increase (decrease) | (9,729,795 | ) | (63,309,883 | ) | 2,118,345 | (70,297,698 | ) | (4,629,802 | ) | (22,402,371 | ) | ||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 218,502,216 | 281,812,099 | 651,434,046 | 721,731,744 | 111,711,777 | 134,114,148 | |||||||||||||||||||||
End of period | $ | 208,772,421 | $ | 218,502,216 | $ | 653,552,391 | $ | 651,434,046 | $ | 107,081,975 | $ | 111,711,777 | |||||||||||||||
Undistributed net investment income (loss) | $ | 1,432,632 | $ | 934,740 | $ | 3,787,525 | $ | 1,114,920 | $ | 271,150 | — |
Small Company Value Trust | Strategic Equity Allocation Trust | Total Stock Market Index Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | ||||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 1,467,774 | $ | 2,851,703 | $ | 112,486,110 | $ | 196,697,462 | $ | 4,783,905 | $ | 8,445,015 | |||||||||||||||
Net realized gain (loss) | 5,228,385 | 46,506,275 | 52,011,835 | 179,003,172 | 7,177,974 | 9,851,847 | |||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 19,036,254 | (67,252,206 | ) | (22,211,417 | ) | (371,417,851 | ) | 6,795,476 | (21,876,494 | ) | |||||||||||||||||
Increase (decrease) in net assets resulting from operations | 25,732,413 | (17,894,228 | ) | 142,286,528 | 4,282,783 | 18,757,355 | (3,579,632 | ) | |||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (853,205 | ) | — | — | — | (6,147,279 | ) | |||||||||||||||||||
Series II | — | (509,251 | ) | — | — | — | (421,903 | ) | |||||||||||||||||||
Series NAV | — | (2,924,057 | ) | — | (198,384,831 | ) | — | (1,363,209 | ) | ||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (8,759,963 | ) | — | — | — | (13,458,238 | ) | |||||||||||||||||||
Series II | — | (7,382,763 | ) | — | — | — | (1,088,538 | ) | |||||||||||||||||||
Series NAV | — | (28,336,851 | ) | — | (390,270,570 | ) | — | (2,802,487 | ) | ||||||||||||||||||
Total distributions | — | (48,766,090 | ) | — | (588,655,401 | ) | — | (25,281,654 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (23,223,724 | ) | 4,377,391 | (472,379,766 | ) | (646,704,849 | ) | (12,278,369 | ) | 930,768 | |||||||||||||||||
Total from portfolio share transactions | (23,223,724 | ) | 4,377,391 | (472,379,766 | ) | (646,704,849 | ) | (12,278,369 | ) | 930,768 | |||||||||||||||||
Total increase (decrease) | 2,508,689 | (62,282,927 | ) | (330,093,238 | ) | (1,231,077,467 | ) | 6,478,986 | (27,930,518 | ) | |||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 295,618,727 | 357,901,654 | 9,945,350,223 | 11,176,427,690 | 573,869,751 | 601,800,269 | |||||||||||||||||||||
End of period | $ | 298,127,416 | $ | 295,618,727 | $ | 9,615,256,985 | $ | 9,945,350,223 | $ | 580,348,737 | $ | 573,869,751 | |||||||||||||||
Undistributed net investment income (loss) | $ | 2,211,370 | $ | 743,596 | $ | 143,575,803 | $ | 31,089,693 | $ | 7,266,092 | $ | 2,482,187 |
U.S. Equity Trust | Utilities Trust | Value Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | ||||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 4,593,914 | $ | 14,759,310 | $ | 5,969,628 | $ | 11,048,319 | $ | 2,220,015 | $ | 3,619,472 | |||||||||||||||
Net realized gain (loss) | 24,643,981 | 86,558,859 | (5,840,567 | ) | 11,471,299 | 3,072,573 | 45,935,759 | ||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (8,833,065 | ) | (96,201,886 | ) | 49,452,854 | (86,723,033 | ) | 5,758,490 | (103,522,548 | ) | |||||||||||||||||
Increase (decrease) in net assets resulting from operations | 20,404,830 | 5,116,283 | 49,581,915 | (64,203,415 | ) | 11,051,078 | (53,967,317 | ) | |||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (2,446,878 | ) | — | (11,163,746 | ) | — | (3,022,899 | ) | ||||||||||||||||||
Series II | — | (129,785 | ) | — | (523,331 | ) | — | (92,545 | ) | ||||||||||||||||||
Series NAV | — | (12,035,232 | ) | — | (1,177,086 | ) | — | (193,404 | ) | ||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | — | — | (34,633,806 | ) | — | (72,465,704 | ) | |||||||||||||||||||
Series II | — | — | — | (1,754,336 | ) | — | (3,744,550 | ) | |||||||||||||||||||
Series NAV | — | — | — | (3,476,627 | ) | — | (4,056,476 | ) | |||||||||||||||||||
Total distributions | — | (14,611,895 | ) | — | (52,728,932 | ) | — | (83,575,578 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (56,470,461 | ) | (108,032,187 | ) | (20,249,169 | ) | (43,216,909 | ) | (42,153,558 | ) | 28,395,713 | ||||||||||||||||
Total from portfolio share transactions | (56,470,461 | ) | (108,032,187 | ) | (20,249,169 | ) | (43,216,909 | ) | (42,153,558 | ) | 28,395,713 | ||||||||||||||||
Total increase (decrease) | (36,065,631 | ) | (117,527,799 | ) | 29,332,746 | (160,149,256 | ) | (31,102,480 | ) | (109,147,182 | ) | ||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 704,872,754 | 822,400,553 | 343,242,039 | 503,391,295 | 554,348,933 | 663,496,115 | |||||||||||||||||||||
End of period | $ | 668,807,123 | $ | 704,872,754 | $ | 372,574,785 | $ | 343,242,039 | $ | 523,246,453 | $ | 554,348,933 | |||||||||||||||
Undistributed net investment income (loss) | $ | 6,586,699 | $ | 1,992,785 | $ | 15,683,350 | $ | 9,713,722 | $ | 3,410,465 | $ | 1,190,450 |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
500 Index Trust B | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 25.26 | 0.24 | 0.68 | 0.92 | — | — | — | — | 26.18 | 3.64 | 4 | 0.54 | 5 | 0.30 | 5 | 1.95 | 5 | 2,204 | 2 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 25.68 | 0.48 | (0.20 | ) | 0.28 | (0.44 | ) | (0.26 | ) | — | (0.70 | ) | 25.26 | 1.10 | 0.54 | 0.30 | 1.85 | 2,024 | 4 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 23.34 | 0.42 | 2.68 | 3.10 | (0.39 | ) | (0.37 | ) | — | (0.76 | ) | 25.68 | 13.33 | 0.54 | 0.30 | 1.71 | 1,880 | 2 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 18.01 | 0.37 | 5.38 | 5.75 | (0.38 | ) | (0.04 | ) | — | (0.42 | ) | 23.34 | 32.03 | 0.53 | 0.30 | 1.75 | 1,581 | 4 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-20126 | 17.88 | 0.08 | 0.15 | 0.23 | (0.10 | ) | — | — | (0.10 | ) | 18.01 | 1.32 | 4 | 0.53 | 5 | 0.30 | 5 | 2.94 | 5 | 1,142 | 4 | 7,8 | |||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 25.29 | 0.22 | 0.67 | 0.89 | — | — | — | — | 26.18 | 3.56 | 4 | 0.74 | 5 | 0.50 | 5 | 1.75 | 5 | 52 | 2 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 25.71 | 0.42 | (0.20 | ) | 0.22 | (0.38 | ) | (0.26 | ) | — | (0.64 | ) | 25.29 | 0.86 | 0.74 | 0.50 | 1.64 | 51 | 4 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 23.36 | 0.37 | 2.69 | 3.06 | (0.34 | ) | (0.37 | ) | — | (0.71 | ) | 25.71 | 13.15 | 0.74 | 0.50 | 1.51 | 55 | 2 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 18.03 | 0.32 | 5.39 | 5.71 | (0.34 | ) | (0.04 | ) | — | (0.38 | ) | 23.36 | 31.76 | 0.73 | 0.50 | 1.55 | 52 | 4 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-20126 | 17.88 | 0.08 | 0.14 | 0.22 | (0.07 | ) | — | — | (0.07 | ) | 18.03 | 1.27 | 4 | 0.73 | 5 | 0.50 | 5 | 2.74 | 5 | 47 | 4 | 7,8 | |||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 25.26 | 0.25 | 0.68 | 0.93 | — | — | — | — | 26.19 | 3.68 | 4 | 0.49 | 5 | 0.25 | 5 | 2.00 | 5 | 1,504 | 2 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 25.68 | 0.49 | (0.20 | ) | 0.29 | (0.45 | ) | (0.26 | ) | — | (0.71 | ) | 25.26 | 1.15 | 0.49 | 0.25 | 1.89 | 1,442 | 4 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 23.33 | 0.43 | 2.69 | 3.12 | (0.40 | ) | (0.37 | ) | — | (0.77 | ) | 25.68 | 13.43 | 0.49 | 0.25 | 1.76 | 1,530 | 2 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 18.01 | 0.38 | 5.37 | 5.75 | (0.39 | ) | (0.04 | ) | — | (0.43 | ) | 23.33 | 32.03 | 0.48 | 0.25 | 1.80 | 1,397 | 4 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 15.71 | 0.36 | 2.12 | 2.48 | (0.18 | ) | — | — | (0.18 | ) | 18.01 | 15.80 | 0.49 | 0.25 | 2.07 | 1,121 | 4 | 7 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 15.71 | 0.30 | (0.01 | ) | 0.29 | (0.29 | ) | — | — | (0.29 | ) | 15.71 | 1.87 | 0.49 | 0.25 | 1.86 | 845 | 4 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. The inception date for Series I and Series II shares is 11-5-12. 7. Excludes merger activity. 8. Portfolio turnover is shown for the period from 1-1-12 to 12-31-12. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
All Cap Core Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 27.76 | 0.18 | (0.16 | ) | 0.02 | — | — | — | — | 27.78 | 0.07 | 4 | 0.86 | 5,6 | 0.85 | 5,6 | 1.40 | 5 | 70 | 106 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 27.32 | 0.27 | 0.44 | 0.71 | (0.27 | ) | — | — | (0.27 | ) | 27.76 | 2.59 | 0.87 | 0.86 | 0.94 | 75 | 238 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 25.15 | 0.19 | 2.23 | 2.42 | (0.25 | ) | — | — | (0.25 | ) | 27.32 | 9.64 | 0.87 | 0.86 | 0.71 | 81 | 249 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 18.95 | 0.23 | 6.26 | 6.49 | (0.29 | ) | — | — | (0.29 | ) | 25.15 | 34.33 | 0.87 | 0.86 | 1.02 | 86 | 180 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.44 | 0.26 | 2.46 | 2.72 | (0.21 | ) | — | — | (0.21 | ) | 18.95 | 16.57 | 0.86 | 0.86 | 1.46 | 73 | 242 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 16.55 | 0.17 | (0.11 | ) | 0.06 | (0.17 | ) | — | — | (0.17 | ) | 16.44 | 0.41 | 0.86 | 0.86 | 0.99 | 71 | 231 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 27.70 | 0.15 | (0.16 | ) | (0.01 | ) | — | — | — | — | 27.69 | (0.04 | )4 | 1.06 | 5,6 | 1.05 | 5,6 | 1.21 | 5 | 6 | 106 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 27.27 | 0.21 | 0.44 | 0.65 | (0.22 | ) | — | — | (0.22 | ) | 27.70 | 2.36 | 1.07 | 1.06 | 0.74 | 7 | 238 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 25.10 | 0.13 | 2.24 | 2.37 | (0.20 | ) | — | — | (0.20 | ) | 27.27 | 9.46 | 1.07 | 1.06 | 0.49 | 6 | 249 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 18.92 | 0.18 | 6.25 | 6.43 | (0.25 | ) | — | — | (0.25 | ) | 25.10 | 34.04 | 1.07 | 1.06 | 0.82 | 9 | 180 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.41 | 0.23 | 2.45 | 2.68 | (0.17 | ) | — | — | (0.17 | ) | 18.92 | 16.38 | 1.06 | 1.06 | 1.26 | 8 | 242 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 16.53 | 0.13 | (0.11 | ) | 0.02 | (0.14 | ) | — | — | (0.14 | ) | 16.41 | 0.14 | 1.06 | 1.06 | 0.79 | 8 | 231 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 27.77 | 0.19 | (0.17 | ) | 0.02 | — | — | — | — | 27.79 | 0.07 | 4 | 0.81 | 5,6 | 0.80 | 5,6 | 1.46 | 5 | 217 | 106 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 27.33 | 0.28 | 0.45 | 0.73 | (0.29 | ) | — | — | (0.29 | ) | 27.77 | 2.64 | 0.82 | 0.81 | 1.00 | 226 | 238 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 25.16 | 0.20 | 2.23 | 2.43 | (0.26 | ) | — | — | (0.26 | ) | 27.33 | 9.69 | 0.82 | 0.81 | 0.77 | 264 | 249 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 18.95 | 0.24 | 6.28 | 6.52 | (0.31 | ) | — | — | (0.31 | ) | 25.16 | 34.44 | 0.82 | 0.81 | 1.06 | 284 | 180 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.44 | 0.27 | 2.46 | 2.73 | (0.22 | ) | — | — | (0.22 | ) | 18.95 | 16.62 | 0.81 | 0.81 | 1.51 | 274 | 242 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 16.56 | 0.18 | (0.12 | ) | 0.06 | (0.18 | ) | — | — | (0.18 | ) | 16.44 | 0.40 | 0.81 | 0.81 | 1.04 | 272 | 231 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.02%. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Alpha Opportunities Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 10.94 | 0.03 | (0.02 | ) | 0.01 | — | — | — | — | 10.95 | 0.09 | 4 | 1.06 | 5 | 1.02 | 5 | 0.53 | 5 | 1 | 48 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.60 | 0.06 | (0.16 | ) | (0.10 | ) | (0.08 | ) | (2.48 | ) | — | (2.56 | ) | 10.94 | — | 6 | 1.05 | 1.02 | 0.50 | 1 | 96 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 16.21 | 0.08 | 1.17 | 1.25 | (0.08 | ) | (3.78 | ) | — | (3.86 | ) | 13.60 | 8.00 | 1.06 | 1.02 | 0.52 | 1 | 109 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.36 | 0.08 | 4.56 | 4.64 | (0.12 | ) | (1.67 | ) | — | (1.79 | ) | 16.21 | 35.55 | 1.07 | 1.05 | 0.49 | 1 | 121 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.92 | 0.09 | 2.39 | 2.48 | (0.07 | ) | (0.97 | ) | — | (1.04 | ) | 13.36 | 21.33 | 1.06 | 1.06 | 0.71 | 1 | 141 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 15.35 | 0.05 | (1.34 | ) | (1.29 | ) | (0.03 | ) | (2.11 | ) | — | (2.14 | ) | 11.92 | (8.14 | ) | 1.07 | 1.07 | 0.32 | — | 7 | 157 | |||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 10.95 | 0.03 | (0.02 | ) | 0.01 | — | — | — | — | 10.96 | 0.09 | 4 | 1.00 | 5 | 0.97 | 5 | 0.59 | 5 | 626 | 48 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.62 | 0.07 | (0.17 | ) | (0.10 | ) | (0.09 | ) | (2.48 | ) | — | (2.57 | ) | 10.95 | (0.03 | ) | 1.00 | 0.97 | 0.56 | 663 | 96 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 16.22 | 0.08 | 1.19 | 1.27 | (0.09 | ) | (3.78 | ) | — | (3.87 | ) | 13.62 | 8.12 | 1.01 | 0.97 | 0.55 | 780 | 109 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.37 | 0.08 | 4.57 | 4.65 | (0.13 | ) | (1.67 | ) | — | (1.80 | ) | 16.22 | 35.58 | 1.02 | 1.00 | 0.55 | 915 | 121 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.93 | 0.10 | 2.39 | 2.49 | (0.08 | ) | (0.97 | ) | — | (1.05 | ) | 13.37 | 21.38 | 1.01 | 1.01 | 0.73 | 888 | 141 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 15.35 | 0.05 | (1.33 | ) | (1.28 | ) | (0.03 | ) | (2.11 | ) | — | (2.14 | ) | 11.93 | (8.02 | ) | 1.02 | 1.02 | 0.34 | 875 | 157 | ||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Less than 0.005%. 7. Less than $500,000. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
American Asset Allocation Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 14.21 | — | 4 | 0.63 | 0.63 | — | — | — | — | 14.84 | 4.43 | 5 | 0.61 | 6,7,8 | 0.60 | 6,7,8 | 0.05 | 4,7 | 231 | 3 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.75 | 0.20 | 4 | (0.10 | ) | 0.10 | (0.19 | ) | (1.45 | ) | — | (1.64 | ) | 14.21 | 1.06 | 0.62 | 6 | 0.61 | 6 | 1.27 | 4 | 220 | 9 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.22 | 0.17 | 4 | 0.60 | 0.77 | (0.17 | ) | (0.07 | ) | — | (0.24 | ) | 15.75 | 5.05 | 0.62 | 6 | 0.61 | 6 | 1.11 | 4 | 227 | 7 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.47 | 0.15 | 4 | 2.76 | 2.91 | (0.16 | ) | — | — | (0.16 | ) | 15.22 | 23.30 | 0.62 | 6 | 0.62 | 6 | 1.08 | 4 | 221 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.94 | 0.18 | 4 | 1.54 | 1.72 | (0.19 | ) | — | — | (0.19 | ) | 12.47 | 15.76 | 0.62 | 6 | 0.62 | 6 | 1.50 | 4 | 192 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.01 | 0.16 | 4 | (0.06 | ) | 0.10 | (0.17 | ) | — | — | (0.17 | ) | 10.94 | 0.91 | 0.62 | 6 | 0.62 | 6 | 1.42 | 4 | 187 | 2 | |||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 14.21 | (0.01 | )4 | 0.62 | 0.61 | — | — | — | — | 14.82 | 4.29 | 5 | 0.76 | 6,7,8 | 0.75 | 6,7,8 | (0.11 | )4,7 | 1,143 | 3 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.75 | 0.16 | 4 | (0.09 | ) | 0.07 | (0.16 | ) | (1.45 | ) | — | (1.61 | ) | 14.21 | 0.91 | 0.77 | 6 | 0.76 | 6 | 1.05 | 4 | 1,168 | 9 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.22 | 0.14 | 4 | 0.61 | 0.75 | (0.15 | ) | (0.07 | ) | — | (0.22 | ) | 15.75 | 4.89 | 0.77 | 6 | 0.76 | 6 | 0.90 | 4 | 1,320 | 7 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.47 | 0.13 | 4 | 2.75 | 2.88 | (0.13 | ) | — | — | (0.13 | ) | 15.22 | 23.13 | 0.77 | 6 | 0.77 | 6 | 0.90 | 4 | 1,430 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.95 | 0.16 | 4 | 1.54 | 1.70 | (0.18 | ) | — | — | (0.18 | ) | 12.47 | 15.49 | 0.77 | 6 | 0.77 | 6 | 1.36 | 4 | 1,305 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.01 | 0.14 | 4 | (0.05 | ) | 0.09 | (0.15 | ) | — | — | (0.15 | ) | 10.95 | 0.86 | 0.77 | 6 | 0.77 | 6 | 1.29 | 4 | 1,274 | 2 | |||||||||||||||||||||||||||||||||||||||||
SERIES III | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 14.20 | 0.03 | 4 | 0.63 | 0.66 | — | — | — | — | 14.86 | 4.65 | 5 | 0.26 | 6,7,8 | 0.25 | 6,7,8 | 0.36 | 4,7 | 137 | 3 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.75 | 0.24 | 4 | (0.10 | ) | 0.14 | (0.24 | ) | (1.45 | ) | — | (1.69 | ) | 14.20 | 1.34 | 0.27 | 6 | 0.26 | 6 | 1.56 | 4 | 138 | 9 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.22 | 0.21 | 4 | 0.61 | 0.82 | (0.22 | ) | (0.07 | ) | — | (0.29 | ) | 15.75 | 5.40 | 0.27 | 6 | 0.26 | 6 | 1.37 | 4 | 156 | 7 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.46 | 0.20 | 4 | 2.76 | 2.96 | (0.20 | ) | — | — | (0.20 | ) | 15.22 | 23.79 | 0.27 | 6 | 0.27 | 6 | 1.40 | 4 | 173 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.93 | 0.23 | 4 | 1.54 | 1.77 | (0.24 | ) | — | — | (0.24 | ) | 12.46 | 16.16 | 0.27 | 6 | 0.27 | 6 | 1.87 | 4 | 156 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.00 | 0.21 | 4 | (0.07 | ) | 0.14 | (0.21 | ) | — | — | (0.21 | ) | 10.93 | 1.27 | 0.27 | 6 | 0.27 | 6 | 1.84 | 4 | 146 | 2 | |||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Not annualized. 6. Ratios do not include expense indirectly incurred from the underlying fund held by the portfolio. The expense ratio of the underlying fund held by the portfolio was 0.30% for the six months ended 6-30-16 and 0.31% for all other periods presented. 7. Annualized. 8. Includes reimbursement for overbilling of custody expenses in prior years of 0.01%. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
American Global Growth Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 15.38 | 0.01 | 4 | (0.56 | ) | (0.55 | ) | — | — | — | — | 14.83 | (3.58 | )5 | 0.64 | 6,7 | 0.55 | 6,7 | 0.08 | 4,7 | 11 | 8 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.86 | 0.14 | 4 | 0.87 | 1.01 | (0.39 | ) | (1.10 | ) | — | (1.49 | ) | 15.38 | 6.64 | 0.64 | 6 | 0.55 | 6 | 0.88 | 4 | 12 | 17 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.68 | 0.15 | 4 | 0.16 | 0.31 | (0.13 | ) | — | — | (0.13 | ) | 15.86 | 1.96 | 0.63 | 6 | 0.58 | 6 | 0.97 | 4 | 8 | 13 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.29 | 0.16 | 4 | 3.36 | 3.52 | (0.13 | ) | — | — | (0.13 | ) | 15.68 | 28.63 | 0.64 | 6 | 0.63 | 6 | 1.17 | 4 | 5 | 2 | 8 | |||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.11 | 0.07 | 4 | 2.17 | 2.24 | (0.06 | ) | — | — | (0.06 | ) | 12.29 | 22.13 | 0.64 | 6 | 0.64 | 6 | 0.59 | 4 | 2 | 5 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.25 | 0.21 | 4 | (1.25 | ) | (1.04 | ) | (0.10 | ) | — | — | (0.10 | ) | 10.11 | (9.24 | ) | 0.64 | 6 | 0.64 | 6 | 2.01 | 4 | 2 | 7 | |||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 15.35 | (0.01 | )4 | (0.55 | ) | (0.56 | ) | — | — | — | — | 14.79 | (3.65 | )5 | 0.79 | 6,7 | 0.70 | 6,7 | (0.07 | )4,7 | 174 | 8 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.83 | 0.09 | 4 | 0.90 | 0.99 | (0.37 | ) | (1.10 | ) | — | (1.47 | ) | 15.35 | 6.50 | 0.79 | 6 | 0.70 | 6 | 0.55 | 4 | 193 | 17 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.65 | 0.10 | 4 | 0.19 | 0.29 | (0.11 | ) | — | — | (0.11 | ) | 15.83 | 1.82 | 0.78 | 6 | 0.74 | 6 | 0.62 | 4 | 203 | 13 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.27 | 0.11 | 4 | 3.38 | 3.49 | (0.11 | ) | — | — | (0.11 | ) | 15.65 | 28.43 | 0.79 | 6 | 0.78 | 6 | 0.77 | 4 | 233 | 2 | 8 | |||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.09 | 0.04 | 4 | 2.18 | 2.22 | (0.04 | ) | — | — | (0.04 | ) | 12.27 | 22.00 | 0.79 | 6 | 0.79 | 6 | 0.33 | 4 | 165 | 5 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.23 | 0.08 | 4 | (1.14 | ) | (1.06 | ) | (0.08 | ) | — | — | (0.08 | ) | 10.09 | (9.40 | ) | 0.79 | 6 | 0.79 | 6 | 0.73 | 4 | 158 | 7 | |||||||||||||||||||||||||||||||||||||||
SERIES III | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 15.34 | 0.03 | 4 | (0.56 | ) | (0.53 | ) | — | — | — | — | 14.81 | (3.46 | )5 | 0.29 | 6,7 | 0.20 | 6,7 | 0.45 | 4,7 | 31 | 8 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.82 | 0.17 | 4 | 0.90 | 1.07 | (0.45 | ) | (1.10 | ) | — | (1.55 | ) | 15.34 | 7.02 | 0.29 | 6 | 0.20 | 6 | 1.02 | 4 | 31 | 17 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.64 | 0.18 | 4 | 0.18 | 0.36 | (0.18 | ) | — | — | (0.18 | ) | 15.82 | 2.31 | 0.28 | 6 | 0.24 | 6 | 1.12 | 4 | 36 | 13 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.25 | 0.24 | 4 | 3.33 | 3.57 | (0.18 | ) | — | — | (0.18 | ) | 15.64 | 29.12 | 0.29 | 6 | 0.28 | 6 | 1.68 | 4 | 40 | 2 | 8 | |||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.08 | 0.10 | 4 | 2.17 | 2.27 | (0.10 | ) | — | — | (0.10 | ) | 12.25 | 22.49 | 0.29 | 6 | 0.29 | 6 | 0.84 | 4 | 4 | 5 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.22 | 0.15 | 4 | (1.15 | ) | (1.00 | ) | (0.14 | ) | — | — | (0.14 | ) | 10.08 | (8.92 | ) | 0.29 | 6 | 0.29 | 6 | 1.37 | 4 | 3 | 7 | |||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Not annualized. 6. Ratios do not include expenses indirectly incurred from underlying fund held by the portfolio. The expense ratios of the underlying fund held by the portfolio were as follows: 0.55%, 0.55%, 0.56%, 0.55%, 0.56% and 0.61% for the periods ended 6-30-16, 12-31-15, 12-31-14, 12-31-13, 12-31-12 and 12-31-11, respectively. 7. Annualized. 8. Excludes merger activity. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
American Growth Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 24.15 | (0.02 | )4 | 0.21 | 0.19 | — | — | — | — | 24.34 | 0.79 | 5 | 0.62 | 6,7 | 0.62 | 6,7 | (0.14 | )4,7 | 105 | 7 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 24.07 | 0.04 | 4 | 1.43 | 1.47 | (0.06 | ) | (1.33 | ) | — | (1.39 | ) | 24.15 | 6.44 | 0.62 | 6 | 0.62 | 6 | 0.18 | 4 | 104 | 21 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 22.44 | 0.20 | 4 | 1.63 | 1.83 | (0.20 | ) | — | — | (0.20 | ) | 24.07 | 8.13 | 0.62 | 6 | 0.61 | 6 | 0.85 | 4 | 118 | 7 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 17.40 | 0.11 | 4 | 5.04 | 5.15 | (0.11 | ) | — | — | (0.11 | ) | 22.44 | 29.60 | 0.62 | 6 | 0.62 | 6 | 0.57 | 4 | 110 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 14.87 | 0.07 | 4 | 2.53 | 2.60 | (0.07 | ) | — | — | (0.07 | ) | 17.40 | 17.49 | 0.62 | 6 | 0.62 | 6 | 0.40 | 4 | 91 | 4 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 15.63 | 0.04 | 4 | (0.76 | ) | (0.72 | ) | (0.04 | ) | — | — | (0.04 | ) | 14.87 | (4.63 | ) | 0.62 | 6 | 0.62 | 6 | 0.24 | 4 | 94 | 6 | |||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 24.08 | (0.02 | )4 | 0.19 | 0.17 | — | — | — | — | 24.25 | 0.71 | 5 | 0.77 | 6,7 | 0.68 | 6,7 | (0.21 | )4,7 | 669 | 7 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 23.99 | 0.02 | 4 | 1.42 | 1.44 | (0.02 | ) | (1.33 | ) | — | (1.35 | ) | 24.08 | 6.35 | 0.77 | 6 | 0.72 | 6 | 0.10 | 4 | 707 | 21 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 22.37 | 0.14 | 4 | 1.64 | 1.78 | (0.16 | ) | — | — | (0.16 | ) | 23.99 | 7.96 | 0.77 | 6 | 0.76 | 6 | 0.63 | 4 | 804 | 7 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 17.34 | 0.07 | 4 | 5.04 | 5.11 | (0.08 | ) | — | — | (0.08 | ) | 22.37 | 29.48 | 0.77 | 6 | 0.77 | 6 | 0.36 | 4 | 919 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 14.83 | 0.04 | 4 | 2.52 | 2.56 | (0.05 | ) | — | — | (0.05 | ) | 17.34 | 17.23 | 0.77 | 6 | 0.77 | 6 | 0.24 | 4 | 902 | 4 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 15.59 | 0.01 | 4 | (0.76 | ) | (0.75 | ) | (0.01 | ) | — | — | (0.01 | ) | 14.83 | (4.79 | ) | 0.77 | 6 | 0.77 | 6 | 0.08 | 4 | 930 | 6 | |||||||||||||||||||||||||||||||||||||||
SERIES III | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 24.07 | 0.02 | 4 | 0.20 | 0.22 | — | — | — | — | 24.29 | 0.91 | 5 | 0.27 | 6,7 | 0.27 | 6,7 | 0.20 | 4,7 | 92 | 7 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 23.98 | 0.14 | 4 | 1.43 | 1.57 | (0.15 | ) | (1.33 | ) | — | (1.48 | ) | 24.07 | 6.87 | 0.27 | 6 | 0.27 | 6 | 0.56 | 4 | 94 | 21 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 22.36 | 0.26 | 4 | 1.64 | 1.90 | (0.28 | ) | — | — | (0.28 | ) | 23.98 | 8.47 | 0.27 | 6 | 0.26 | 6 | 1.14 | 4 | 106 | 7 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 17.33 | 0.17 | 4 | 5.04 | 5.21 | (0.18 | ) | — | — | (0.18 | ) | 22.36 | 30.07 | 0.27 | 6 | 0.27 | 6 | 0.88 | 4 | 116 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 14.81 | 0.13 | 4 | 2.52 | 2.65 | (0.13 | ) | — | — | (0.13 | ) | 17.33 | 17.89 | 0.27 | 6 | 0.27 | 6 | 0.78 | 4 | 106 | 4 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 15.57 | 0.10 | 4 | (0.77 | ) | (0.67 | ) | (0.09 | ) | — | — | (0.09 | ) | 14.81 | (4.29 | ) | 0.27 | 6 | 0.27 | 6 | 0.65 | 4 | 98 | 6 | |||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Not annualized. 6. Ratios do not include expense indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the portfolio. The range of expense ratios of the underlying funds held by the portfolio was as follows: 0.35%, 0.35%, 0.35%, 0.35%, 0.34% and 0.34% for the periods ended 6-30-16, 12-31-15, 12-31-14, 12-31-13, 12-31-12 and 12-31-11, respectively. 7. Annualized. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
American Growth-Income Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 21.16 | — | 4,5 | 0.62 | 0.62 | — | — | — | — | 21.78 | 2.93 | 6 | 0.62 | 7,8 | 0.61 | 7,8 | 0.02 | 4,8 | 239 | 6 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 24.00 | 0.21 | 4 | (0.07 | ) | 0.14 | (0.20 | ) | (2.78 | ) | — | (2.98 | ) | 21.16 | 1.11 | 0.62 | 7 | 0.61 | 7 | 0.89 | 4 | 240 | 17 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 21.96 | 0.21 | 4 | 2.04 | 2.25 | (0.21 | ) | — | — | (0.21 | ) | 24.00 | 10.25 | 0.62 | 7 | 0.61 | 7 | 0.90 | 4 | 267 | 6 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 16.66 | 0.18 | 4 | 5.32 | 5.50 | (0.20 | ) | — | — | (0.20 | ) | 21.96 | 33.01 | 0.62 | 7 | 0.61 | 7 | 0.96 | 4 | 270 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 14.40 | 0.22 | 4 | 2.25 | 2.47 | (0.21 | ) | — | — | (0.21 | ) | 16.66 | 17.15 | 0.62 | 7 | 0.62 | 7 | 1.39 | 4 | 232 | 18 | 9 | |||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 14.90 | 0.16 | 4 | (0.48 | ) | (0.32 | ) | (0.18 | ) | — | — | (0.18 | ) | 14.40 | (2.16 | ) | 0.62 | 7 | 0.62 | 7 | 1.10 | 4 | 197 | 5 | |||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 21.12 | (0.01 | )4 | 0.62 | 0.61 | — | — | — | — | 21.73 | 2.89 | 6 | 0.77 | 7,8 | 0.69 | 7,8 | (0.07 | )4,8 | 598 | 6 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 23.96 | 0.18 | 4 | (0.07 | ) | 0.11 | (0.17 | ) | (2.78 | ) | — | (2.95 | ) | 21.12 | 0.96 | 0.77 | 7 | 0.73 | 7 | 0.77 | 4 | 628 | 17 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 21.92 | 0.16 | 4 | 2.06 | 2.22 | (0.18 | ) | — | — | (0.18 | ) | 23.96 | 10.12 | 0.77 | 7 | 0.76 | 7 | 0.68 | 4 | 730 | 6 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 16.63 | 0.14 | 4 | 5.32 | 5.46 | (0.17 | ) | — | — | (0.17 | ) | 21.92 | 32.84 | 0.77 | 7 | 0.76 | 7 | 0.75 | 4 | 831 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 14.38 | 0.17 | 4 | 2.27 | 2.44 | (0.19 | ) | — | — | (0.19 | ) | 16.63 | 16.94 | 0.77 | 7 | 0.77 | 7 | 1.09 | 4 | 814 | 18 | 9 | |||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 14.88 | 0.15 | 4 | (0.49 | ) | (0.34 | ) | (0.16 | ) | — | — | (0.16 | ) | 14.38 | (2.31 | ) | 0.77 | 7 | 0.77 | 7 | 0.99 | 4 | 778 | 5 | |||||||||||||||||||||||||||||||||||||||
SERIES III | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 21.12 | 0.04 | 4 | 0.62 | 0.66 | — | — | — | — | 21.78 | 3.13 | 6 | 0.27 | 7,8 | 0.26 | 7,8 | 0.36 | 4,8 | 215 | 6 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 23.96 | 0.29 | 4 | (0.06 | ) | 0.23 | (0.29 | ) | (2.78 | ) | — | (3.07 | ) | 21.12 | 1.46 | 0.27 | 7 | 0.26 | 7 | 1.24 | 4 | 219 | 17 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 21.92 | 0.27 | 4 | 2.07 | 2.34 | (0.30 | ) | — | — | (0.30 | ) | 23.96 | 10.64 | 0.27 | 7 | 0.26 | 7 | 1.19 | 4 | 252 | 6 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 16.62 | 0.24 | 4 | 5.33 | 5.57 | (0.27 | ) | — | — | (0.27 | ) | 21.92 | 33.50 | 0.27 | 7 | 0.26 | 7 | 1.27 | 4 | 276 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 14.37 | 0.57 | 4 | 1.94 | 2.51 | (0.26 | ) | — | — | (0.26 | ) | 16.62 | 17.51 | 0.27 | 7 | 0.27 | 7 | 3.53 | 4 | 257 | 18 | 9 | |||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 14.87 | 0.23 | 4 | (0.50 | ) | (0.27 | ) | (0.23 | ) | — | — | (0.23 | ) | 14.37 | (1.81 | ) | 0.27 | 7 | 0.27 | 7 | 1.58 | 4 | 76 | 5 | |||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Less than $0.005 per share. 6. Not annualized. 7. Ratios do not include expense indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the portfolio. The range of expense ratios of the underlying funds held by the portfolio was as follows: 0.29%, 0.29%, 0.29%, 0.29%, 0.28% and 0.29% based on the mix of underlying funds held by the portfolio for the periods ended 6-30-16, 12-31-15, 12-31-14, 12-31-13, 12-31-12 and 12-31-11, respectively. 8. Annualized. 9. Excludes merger activity. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
American International Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 17.35 | (0.02 | )4 | (0.22 | ) | (0.24 | ) | — | — | — | — | 17.11 | (1.38 | )5 | 0.63 | 6,7 | 0.62 | 6,7 | (0.28 | )4,7 | 88 | 8 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 18.45 | 0.22 | 4 | (1.11 | ) | (0.89 | ) | (0.21 | ) | — | — | (0.21 | ) | 17.35 | (4.82 | ) | 0.63 | 6 | 0.62 | 6 | 1.14 | 4 | 98 | 15 | |||||||||||||||||||||||||||||||||||||||
12-31-2014 | 19.23 | 0.21 | 4 | (0.79 | ) | (0.58 | ) | (0.20 | ) | — | — | (0.20 | ) | 18.45 | (3.05 | ) | 0.62 | 6 | 0.62 | 6 | 1.08 | 4 | 89 | 6 | |||||||||||||||||||||||||||||||||||||||
12-31-2013 | 16.01 | 0.17 | 4 | 3.22 | 3.39 | (0.17 | ) | — | — | (0.17 | ) | 19.23 | 21.20 | 0.63 | 6 | 0.62 | 6 | 1.00 | 4 | 92 | 3 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.77 | 0.16 | 4 | 2.25 | 2.41 | (0.17 | ) | — | — | (0.17 | ) | 16.01 | 17.49 | 0.62 | 6 | 0.62 | 6 | 1.06 | 4 | 81 | 5 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 16.33 | 0.20 | 4 | (2.54 | ) | (2.34 | ) | (0.22 | ) | — | — | (0.22 | ) | 13.77 | (14.34 | ) | 0.62 | 6 | 0.62 | 6 | 1.29 | 4 | 87 | 9 | |||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 17.34 | (0.03 | )4 | (0.22 | ) | (0.25 | ) | — | — | — | — | 17.09 | (1.44 | )5 | 0.78 | 6,7 | 0.75 | 6,7 | (0.39 | )4,7 | 372 | 8 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 18.44 | 0.18 | 4 | (1.10 | ) | (0.92 | ) | (0.18 | ) | — | — | (0.18 | ) | 17.34 | (4.98 | ) | 0.78 | 6 | 0.76 | 6 | 0.93 | 4 | 395 | 15 | |||||||||||||||||||||||||||||||||||||||
12-31-2014 | 19.21 | 0.15 | 4 | (0.75 | ) | (0.60 | ) | (0.17 | ) | — | — | (0.17 | ) | 18.44 | (3.15 | ) | 0.77 | 6 | 0.77 | 6 | 0.79 | 4 | 468 | 6 | |||||||||||||||||||||||||||||||||||||||
12-31-2013 | 16.00 | 0.13 | 4 | 3.23 | 3.36 | (0.15 | ) | — | — | (0.15 | ) | 19.21 | 20.98 | 0.78 | 6 | 0.77 | 6 | 0.76 | 4 | 557 | 3 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.77 | 0.13 | 4 | 2.25 | 2.38 | (0.15 | ) | — | — | (0.15 | ) | 16.00 | 17.26 | 0.77 | 6 | 0.77 | 6 | 0.90 | 4 | 563 | 5 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 16.31 | 0.19 | 4 | (2.54 | ) | (2.35 | ) | (0.19 | ) | — | — | (0.19 | ) | 13.77 | (14.38 | ) | 0.77 | 6 | 0.77 | 6 | 1.22 | 4 | 576 | 9 | |||||||||||||||||||||||||||||||||||||||
SERIES III | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 17.29 | 0.01 | 4 | (0.22 | ) | (0.21 | ) | — | — | — | — | 17.08 | (1.21 | )5 | 0.28 | 6,7 | 0.27 | 6,7 | 0.09 | 6,7 | 42 | 8 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 18.40 | 0.27 | 4 | (1.10 | ) | (0.83 | ) | (0.28 | ) | — | — | (0.28 | ) | 17.29 | (4.54 | ) | 0.28 | 6 | 0.27 | 6 | 1.44 | 6 | 43 | 15 | |||||||||||||||||||||||||||||||||||||||
12-31-2014 | 19.17 | 0.26 | 4 | (0.77 | ) | (0.51 | ) | (0.26 | ) | — | — | (0.26 | ) | 18.40 | (2.66 | ) | 0.27 | 6 | 0.27 | 6 | 1.33 | 6 | 50 | 6 | |||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.96 | 0.23 | 4 | 3.21 | 3.44 | (0.23 | ) | — | — | (0.23 | ) | 19.17 | 21.58 | 0.28 | 6 | 0.27 | 6 | 1.31 | 6 | 55 | 3 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.72 | 0.22 | 4 | 2.24 | 2.46 | (0.22 | ) | — | — | (0.22 | ) | 15.96 | 17.94 | 0.27 | 6 | 0.27 | 6 | 1.49 | 6 | 51 | 5 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 16.28 | 0.34 | 4 | (2.63 | ) | (2.29 | ) | (0.27 | ) | — | — | (0.27 | ) | 13.72 | (14.05 | ) | 0.27 | 6 | 0.27 | 6 | 2.18 | 6 | 45 | 9 | |||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Not annualized. 6. Ratios do not include expense indirectly incurred from the underlying fund by the portfolio. The ratios of the underlying fund held by the portfolio were as follows: 0.54%, 0.54%, 0.54%, 0.54%, 0.53% and 0.53% for the periods ended 6-30-16, 12-31-15, 12-31-14, 12-31-13, 12-31-12 and 12-31-11, respectively. 7. Annualized. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
American New World Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.05 | (0.02 | )4 | 0.25 | 0.23 | — | — | — | — | 11.28 | 2.08 | 5 | 0.68 | 6,7 | 0.67 | 6,7 | (0.46 | )4,7 | 32 | 1 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.22 | 0.02 | 4 | (0.56 | ) | (0.54 | ) | (0.02 | ) | (1.61 | ) | — | (1.63 | ) | 11.05 | (3.66 | ) | 0.68 | 6 | 0.68 | 6 | 0.19 | 4 | 31 | 15 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.89 | 0.10 | 4 | (1.28 | ) | (1.18 | ) | (0.08 | ) | (0.41 | ) | — | (0.49 | ) | 13.22 | (8.21 | ) | 0.67 | 6 | 0.66 | 6 | 0.68 | 4 | 16 | 20 | ||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.55 | 0.16 | 4 | 1.31 | 1.47 | (0.13 | ) | — | — | (0.13 | ) | 14.89 | 10.89 | 0.67 | 6 | 0.67 | 6 | 1.16 | 4 | 15 | 11 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.61 | 0.08 | 4 | 1.94 | 2.02 | (0.08 | ) | — | — | (0.08 | ) | 13.55 | 17.37 | 0.68 | 6 | 0.68 | 6 | 0.60 | 4 | 10 | 7 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 13.75 | 0.20 | 4 | (2.17 | ) | (1.97 | ) | (0.17 | ) | — | — | (0.17 | ) | 11.61 | (14.33 | ) | 0.66 | 6 | 0.66 | 6 | 1.57 | 4 | 9 | 14 | |||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.05 | (0.03 | )4 | 0.25 | 0.22 | — | — | — | — | 11.27 | 1.99 | 5 | 0.83 | 6,7 | 0.82 | 6,7 | (0.62 | )4,7 | 41 | 1 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.21 | — | 4,8 | (0.55 | ) | (0.55 | ) | — | (1.61 | ) | — | (1.61 | ) | 11.05 | (3.73 | ) | 0.83 | 6 | 0.82 | 6 | (0.02 | )4 | 44 | 15 | |||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.88 | 0.05 | 4 | (1.25 | ) | (1.20 | ) | (0.06 | ) | (0.41 | ) | — | (0.47 | ) | 13.21 | (8.37 | ) | 0.82 | 6 | 0.81 | 6 | 0.37 | 4 | 53 | 20 | ||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.54 | 0.10 | 4 | 1.35 | 1.45 | (0.11 | ) | — | — | (0.11 | ) | 14.88 | 10.74 | 0.82 | 6 | 0.82 | 6 | 0.75 | 4 | 64 | 11 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.61 | 0.05 | 4 | 1.94 | 1.99 | (0.06 | ) | — | — | (0.06 | ) | 13.54 | 17.12 | 0.83 | 6 | 0.83 | 6 | 0.43 | 4 | 68 | 7 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 13.74 | 0.14 | 4 | (2.12 | ) | (1.98 | ) | (0.15 | ) | — | — | (0.15 | ) | 11.61 | (14.41 | ) | 0.81 | 6 | 0.81 | 6 | 1.04 | 4 | 66 | 14 | |||||||||||||||||||||||||||||||||||||||
SERIES III | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.02 | (0.01 | )4 | 0.25 | 0.24 | — | — | — | — | 11.26 | 2.18 | 5 | 0.33 | 6,7 | 0.32 | 6,7 | (0.11 | )4,7 | 2 | 1 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.18 | 0.06 | 4 | (0.55 | ) | (0.49 | ) | (0.06 | ) | (1.61 | ) | — | (1.67 | ) | 11.02 | (3.24 | ) | 0.33 | 6 | 0.32 | 6 | 0.47 | 4 | 1 | 15 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.86 | 0.13 | 4 | (1.27 | ) | (1.14 | ) | (0.13 | ) | (0.41 | ) | — | (0.54 | ) | 13.18 | (7.95 | ) | 0.32 | 6 | 0.31 | 6 | 0.91 | 4 | 2 | 20 | ||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.51 | 0.16 | 4 | 1.37 | 1.53 | (0.18 | ) | — | — | (0.18 | ) | 14.86 | 11.36 | 0.32 | 6 | 0.32 | 6 | 1.12 | 4 | 2 | 11 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.58 | 0.11 | 4 | 1.94 | 2.05 | (0.12 | ) | — | — | (0.12 | ) | 13.51 | 17.71 | 0.33 | 6 | 0.33 | 6 | 0.85 | 4 | 3 | 7 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 13.72 | 0.22 | 4 | (2.14 | ) | (1.92 | ) | (0.22 | ) | — | — | (0.22 | ) | 11.58 | (14.02 | ) | 0.31 | 6 | 0.31 | 6 | 1.70 | 4 | 3 | 14 | |||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Not annualized. 6. Ratios do not include expenses indirectly incurred from the underlying fund held by the portfolio. The expense ratios of the underlying fund held by the portfolio were as follows: 0.79%, 0.78%, 0.79%, 0.78%, 0.80% and 0.80% for the periods ended 6-30-16, 12-31-15, 12-31-14, 12-31-13, 12-31-12 and 12-31-11 respectively. 7. Annualized. 8. Less than $0.005 per share. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Blue Chip Growth Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 32.45 | 0.01 | (1.90 | ) | (1.89 | ) | — | — | — | — | 30.56 | (5.82 | )4 | 0.85 | 5,6 | 0.81 | 5,6 | 0.03 | 5 | 270 | 15 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 35.88 | 0.01 | 3.48 | 3.49 | — | (6.92 | ) | — | (6.92 | ) | 32.45 | 11.06 | 0.87 | 0.83 | 0.03 | 311 | 29 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 34.23 | (0.04 | ) | 3.12 | 3.08 | — | (1.43 | ) | — | (1.43 | ) | 35.88 | 9.07 | 0.86 | 0.83 | (0.12 | ) | 313 | 26 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 24.29 | (0.01 | ) | 10.03 | 10.02 | (0.08 | ) | — | — | (0.08 | ) | 34.23 | 41.27 | 0.87 | 0.83 | (0.04 | ) | 337 | 27 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 20.54 | 0.05 | 3.72 | 3.77 | (0.02 | ) | — | — | (0.02 | ) | 24.29 | 18.36 | 0.86 | 0.83 | 0.22 | 274 | 22 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 20.25 | 0.02 | 0.27 | 0.29 | — | 7 | — | — | — | 6 | 20.54 | 1.44 | 0.86 | 0.83 | 0.12 | 277 | 33 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 31.95 | (0.02 | ) | (1.87 | ) | (1.89 | ) | — | — | — | — | 30.06 | (5.92 | )4 | 1.05 | 5,6 | 1.01 | 5,6 | (0.17 | )5 | 116 | 15 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 35.50 | (0.06 | ) | 3.43 | 3.37 | — | (6.92 | ) | — | (6.92 | ) | 31.95 | 10.83 | 1.07 | 1.03 | (0.17 | ) | 136 | 29 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 33.94 | (0.11 | ) | 3.10 | 2.99 | — | (1.43 | ) | — | (1.43 | ) | 35.50 | 8.88 | 1.06 | 1.03 | (0.32 | ) | 132 | 26 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 24.10 | (0.07 | ) | 9.94 | 9.87 | (0.03 | ) | — | — | (0.03 | ) | 33.94 | 40.97 | 1.07 | 1.03 | (0.24 | ) | 149 | 27 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 20.40 | — | 7 | 3.70 | 3.70 | — | — | — | — | 24.10 | 18.14 | 1.06 | 1.03 | 0.02 | 123 | 22 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 20.15 | (0.02 | ) | 0.27 | 0.25 | — | — | — | — | 20.40 | 1.24 | 1.06 | 1.03 | (0.08 | ) | 122 | 33 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 32.45 | 0.01 | (1.89 | ) | (1.88 | ) | — | — | — | — | 30.57 | (5.79 | )4 | 0.80 | 5,6 | 0.76 | 5,6 | 0.08 | 5 | 1,145 | 15 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 35.86 | 0.03 | 3.48 | 3.51 | — | (6.92 | ) | — | (6.92 | ) | 32.45 | 11.13 | 0.82 | 0.78 | 0.08 | 1,260 | 29 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 34.20 | (0.02 | ) | 3.11 | 3.09 | — | (1.43 | ) | — | (1.43 | ) | 35.86 | 9.11 | 0.81 | 0.78 | (0.07 | ) | 1,314 | 26 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 24.26 | — | 7 | 10.03 | 10.03 | (0.09 | ) | — | — | (0.09 | ) | 34.20 | 41.37 | 0.82 | 0.78 | 0.01 | 1,471 | 27 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 20.51 | 0.07 | 3.71 | 3.78 | (0.03 | ) | — | — | (0.03 | ) | 24.26 | 18.44 | 0.81 | 0.78 | 0.28 | 1,346 | 22 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 20.22 | 0.04 | 0.25 | 0.29 | — | 7 | — | — | — | 7 | 20.51 | 1.45 | 0.81 | 0.78 | 0.17 | 1,286 | 33 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.01%. 7. Less than $0.005 per share. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Capital Appreciation Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 14.12 | 0.01 | (0.96 | ) | (0.95 | ) | — | — | — | — | 13.17 | (6.73 | )4 | 0.77 | 5,6 | 0.76 | 5,6 | 0.15 | 5 | 166 | 15 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.47 | — | 7 | 1.57 | 1.57 | — | (2.92 | ) | — | (2.92 | ) | 14.12 | 11.46 | 0.79 | 0.78 | (0.01 | ) | 192 | 30 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.78 | — | 7 | 1.50 | 1.50 | (0.01 | ) | (1.80 | ) | — | (1.81 | ) | 15.47 | 9.65 | 0.78 | 0.78 | (0.01 | ) | 196 | 33 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.51 | 0.01 | 4.29 | 4.30 | (0.03 | ) | — | — | (0.03 | ) | 15.78 | 37.41 | 0.79 | 0.79 | 0.04 | 205 | 38 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.94 | 0.03 | 1.56 | 1.59 | (0.02 | ) | — | — | (0.02 | ) | 11.51 | 15.98 | 0.79 | 0.78 | 0.27 | 175 | 45 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 9.94 | 0.01 | — | 7 | 0.01 | (0.01 | ) | — | — | (0.01 | ) | 9.94 | 0.08 | 0.79 | 0.78 | 0.05 | 181 | 52 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 13.80 | — | 7 | (0.94 | ) | (0.94 | ) | — | — | — | — | 12.86 | (6.81 | )4 | 0.97 | 5,6 | 0.96 | 5,6 | (0.05 | )5 | 58 | 15 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.22 | (0.03 | ) | 1.53 | 1.50 | — | (2.92 | ) | — | (2.92 | ) | 13.80 | 11.17 | 0.99 | 0.98 | (0.21 | ) | 70 | 30 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.57 | (0.03 | ) | 1.48 | 1.45 | — | (1.80 | ) | — | (1.80 | ) | 15.22 | 9.47 | 0.98 | 0.98 | (0.21 | ) | 73 | 33 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.38 | (0.02 | ) | 4.24 | 4.22 | (0.03 | ) | — | — | (0.03 | ) | 15.57 | 37.10 | 0.99 | 0.99 | (0.16 | ) | 77 | 38 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.83 | 0.02 | 1.54 | 1.56 | (0.01 | ) | — | — | (0.01 | ) | 11.38 | 15.84 | 0.99 | 0.98 | 0.07 | 71 | 45 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 9.85 | (0.02 | ) | — | 7 | (0.02 | ) | — | 7 | — | — | — | 6 | 9.83 | (0.17 | ) | 0.99 | 0.98 | (0.15 | ) | 72 | 52 | |||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 14.13 | 0.01 | (0.95 | ) | (0.94 | ) | — | — | — | — | 13.19 | (6.65 | )4 | 0.72 | 5,6 | 0.71 | 5,6 | 0.20 | 5 | 637 | 15 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.48 | 0.01 | 1.56 | 1.57 | — | (2.92 | ) | — | (2.92 | ) | 14.13 | 11.48 | 0.74 | 0.73 | 0.04 | 691 | 30 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.79 | 0.01 | 1.49 | 1.50 | (0.01 | ) | (1.80 | ) | — | (1.81 | ) | 15.48 | 9.68 | 0.73 | 0.73 | 0.04 | 764 | 33 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.51 | 0.01 | 4.30 | 4.31 | (0.03 | ) | — | — | (0.03 | ) | 15.79 | 37.51 | 0.74 | 0.74 | 0.09 | 850 | 38 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.94 | 0.04 | 1.55 | 1.59 | (0.02 | ) | — | — | (0.02 | ) | 11.51 | 16.03 | 0.74 | 0.73 | 0.32 | 797 | 45 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 9.94 | 0.01 | — | 0.01 | (0.01 | ) | — | — | (0.01 | ) | 9.94 | 0.12 | 0.74 | 0.73 | 0.10 | 770 | 52 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.03%. 7. Less than $0.005 per share. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Capital Appreciation Value Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.47 | 0.08 | 0.51 | 0.59 | — | — | — | — | 12.06 | 5.14 | 4 | 0.91 | 5 | 0.87 | 5 | 1.34 | 5 | 3 | 30 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.78 | 0.13 | 0.48 | 0.61 | (0.13 | ) | (1.79 | ) | — | (1.92 | ) | 11.47 | 5.28 | 0.91 | 0.87 | 1.02 | 1 | 73 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.02 | 0.15 | 1.38 | 1.53 | (0.18 | ) | (1.59 | ) | — | (1.77 | ) | 12.78 | 12.22 | 0.91 | 0.87 | 1.18 | 4 | 69 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.75 | 0.14 | 2.44 | 2.58 | (0.16 | ) | (1.15 | ) | — | (1.31 | ) | 13.02 | 22.32 | 0.91 | 0.87 | 1.09 | 1 | 71 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.51 | 0.18 | 1.45 | 1.63 | (0.17 | ) | (1.22 | ) | — | (1.39 | ) | 11.75 | 14.59 | 0.92 | 0.88 | 1.50 | 1 | 68 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.50 | 0.19 | 0.16 | 0.35 | (0.16 | ) | (0.18 | ) | — | (0.34 | ) | 11.51 | 3.13 | 0.95 | 0.91 | 1.59 | 1 | 83 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.44 | 0.06 | 0.51 | 0.57 | — | — | — | — | 12.01 | 4.98 | 4 | 1.11 | 5 | 1.07 | 5 | 1.12 | 5 | 313 | 30 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.75 | 0.11 | 0.48 | 0.59 | (0.11 | ) | (1.79 | ) | — | (1.90 | ) | 11.44 | 5.10 | 1.11 | 1.07 | 0.89 | 316 | 73 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.99 | 0.13 | 1.37 | 1.50 | (0.15 | ) | (1.59 | ) | — | (1.74 | ) | 12.75 | 12.04 | 1.11 | 1.07 | 0.98 | 332 | 69 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.74 | 0.11 | 2.42 | 2.53 | (0.13 | ) | (1.15 | ) | — | (1.28 | ) | 12.99 | 21.93 | 1.11 | 1.07 | 0.88 | 331 | 71 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.49 | 0.15 | 1.47 | 1.62 | (0.15 | ) | (1.22 | ) | — | (1.37 | ) | 11.74 | 14.49 | 1.12 | 1.08 | 1.29 | 306 | 68 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.49 | 0.16 | 0.16 | 0.32 | (0.14 | ) | (0.18 | ) | — | (0.32 | ) | 11.49 | 2.88 | 1.15 | 1.11 | 1.39 | 301 | 83 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.45 | 0.08 | 0.51 | 0.59 | — | — | — | — | 12.04 | 5.15 | 4 | 0.86 | 5 | 0.82 | 5 | 1.38 | 5 | 63 | 30 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.76 | 0.14 | 0.48 | 0.62 | (0.14 | ) | (1.79 | ) | — | (1.93 | ) | 11.45 | 5.27 | 0.86 | 0.82 | 1.16 | 44 | 73 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.00 | 0.16 | 1.38 | 1.54 | (0.19 | ) | (1.59 | ) | — | (1.78 | ) | 12.76 | 12.38 | 0.86 | 0.82 | 1.22 | 32 | 69 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.74 | 0.15 | 2.42 | 2.57 | (0.16 | ) | (1.15 | ) | — | (1.31 | ) | 13.00 | 22.30 | 0.86 | 0.82 | 1.14 | 32 | 71 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.49 | 0.19 | 1.46 | 1.65 | (0.18 | ) | (1.22 | ) | — | (1.40 | ) | 11.74 | 14.76 | 0.87 | 0.83 | 1.56 | 25 | 68 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.49 | 0.19 | 0.15 | 0.34 | (0.16 | ) | (0.18 | ) | — | (0.34 | ) | 11.49 | 3.09 | 0.90 | 0.86 | 1.66 | 17 | 83 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Core Strategy Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 14.09 | (0.01 | )4 | 0.37 | 0.36 | — | — | — | — | 14.45 | 2.56 | 5 | 0.11 | 6,7 | 0.11 | 6,7 | (0.11 | )4,7 | 120 | — | 8 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 14.95 | 0.31 | 4 | (0.34 | ) | (0.03 | ) | (0.31 | ) | (0.52 | ) | — | (0.83 | ) | 14.09 | (0.11 | ) | 0.11 | 6 | 0.11 | 6 | 2.06 | 4 | 122 | 6 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.48 | 0.29 | 4 | 0.60 | 0.89 | (0.30 | ) | (0.12 | ) | — | (0.42 | ) | 14.95 | 6.11 | 0.11 | 6 | 0.11 | 6 | 1.92 | 4 | 135 | 5 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.58 | 0.01 | 4 | 2.55 | 2.56 | (0.08 | ) | (1.58 | ) | — | (1.66 | ) | 14.48 | 19.16 | 0.12 | 6 | 0.12 | 6 | 0.06 | 4 | 142 | 8 | 9 | ||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.40 | 0.43 | 4 | 1.12 | 1.55 | (0.35 | ) | (0.02 | ) | — | (0.37 | ) | 13.58 | 12.53 | 0.13 | 6 | 0.13 | 6 | 3.21 | 4 | — | 10 | 110 | 11 | |||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.66 | 0.42 | 4 | (0.39 | ) | 0.03 | (0.29 | ) | — | 12 | — | (0.29 | ) | 12.40 | 0.21 | 0.12 | 6 | 0.11 | 6 | 3.34 | 4 | — | 10 | 8 | |||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 14.14 | (0.02 | )4 | 0.37 | 0.35 | — | — | — | — | 14.49 | 2.48 | 5 | 0.31 | 6,7 | 0.31 | 6,7 | (0.31 | )4,7 | 3,309 | — | 8 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.01 | 0.29 | 4 | (0.36 | ) | (0.07 | ) | (0.28 | ) | (0.52 | ) | — | (0.80 | ) | 14.14 | (0.37 | ) | 0.31 | 6 | 0.31 | 6 | 1.88 | 4 | 3,371 | 6 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.54 | 0.26 | 4 | 0.60 | 0.86 | (0.27 | ) | (0.12 | ) | — | (0.39 | ) | 15.01 | 5.91 | 0.31 | 6 | 0.31 | 6 | 1.75 | 4 | 3,658 | 5 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.62 | 0.20 | 4 | 2.35 | 2.55 | (0.05 | ) | (1.58 | ) | — | (1.63 | ) | 14.54 | 19.03 | 0.32 | 6 | 0.32 | 6 | 1.36 | 4 | 3,804 | 8 | 9 | ||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.44 | 0.32 | 4 | 1.21 | 1.53 | (0.33 | ) | (0.02 | ) | — | (0.35 | ) | 13.62 | 12.27 | 0.33 | 6 | 0.33 | 6 | 2.36 | 4 | 688 | 110 | 11 | ||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.70 | 0.25 | 4 | (0.25 | ) | — | 12 | (0.26 | ) | — | 12 | — | (0.26 | ) | 12.44 | 0.01 | 0.32 | 6 | 0.31 | 6 | 1.95 | 4 | 653 | 8 | |||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 14.10 | — | 4 | 0.37 | 0.37 | — | — | — | — | 14.47 | 2.62 | 5 | 0.06 | 6,7 | 0.06 | 6,7 | (0.06 | )4,7 | 160 | — | 8 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 14.96 | 0.33 | 4 | (0.35 | ) | (0.02 | ) | (0.32 | ) | (0.52 | ) | — | (0.84 | ) | 14.10 | (0.06 | ) | 0.06 | 6 | 0.06 | 6 | 2.21 | 4 | 156 | 6 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.49 | 0.32 | 4 | 0.58 | 0.90 | (0.31 | ) | (0.12 | ) | — | (0.43 | ) | 14.96 | 6.15 | 0.06 | 6 | 0.06 | 6 | 2.13 | 4 | 159 | 5 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.58 | 0.28 | 4 | 2.30 | 2.58 | (0.09 | ) | (1.58 | ) | — | (1.67 | ) | 14.49 | 19.28 | 0.07 | 6 | 0.07 | 6 | 1.91 | 4 | 133 | 8 | 9 | ||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.40 | 0.39 | 4 | 1.17 | 1.56 | (0.36 | ) | (0.02 | ) | — | (0.38 | ) | 13.58 | 12.58 | 0.08 | 6 | 0.08 | 6 | 2.92 | 4 | 51 | 110 | 11 | ||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.67 | 0.35 | 4 | (0.33 | ) | 0.02 | (0.29 | ) | — | 12 | — | (0.29 | ) | 12.40 | 0.18 | 0.07 | 6 | 0.06 | 6 | 2.74 | 4 | 33 | 8 | ||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Not annualized. 6. Ratios do not include expense indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the portfolio. The range of expense ratios of the underlying funds held by the portfolio was as follows: 0.53%–0.59%, 0.53%–0.59%, 0.53%–0.59%, 0.50%–0.64%, 0.49%–0.50% and 0.48%–0.50% based on the mix of underlying funds held by the portfolio for the periods ended 6-30-16, 12-31-15, 12-31-14, 12-31-13, 12-31-12 and 12-31-11, respectively. 7. Annualized. 8. Less than 1%. 9. Excludes merger activity. 10. Less than $500,000. 11. Increase in the portfolio turnover is directly attributed to in-kind transactions that are related to the reorganization of the underlying funds held by the portfolio. 12. Less than $0.005 per share. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Emerging Markets Value Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 7.04 | 0.09 | 0.64 | 0.73 | — | — | — | — | 7.77 | 10.23 | 5 | 1.09 | 6 | 1.08 | 6 | 2.39 | 6 | 2 | 12 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 8.91 | 0.15 | (1.85 | ) | (1.70 | ) | (0.17 | ) | — | — | (0.17 | ) | 7.04 | (19.08 | ) | 1.10 | 1.09 | 1.73 | 2 | 20 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 9.92 | 0.17 | (0.65 | ) | (0.48 | ) | (0.18 | ) | (0.35 | ) | — | (0.53 | ) | 8.91 | (5.50 | ) | 1.13 | 1.12 | 1.68 | 3 | 17 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.74 | 0.13 | (0.46 | ) | (0.33 | ) | (0.13 | ) | (0.36 | ) | — | (0.49 | ) | 9.92 | (3.22 | ) | 1.13 | 1.12 | 1.25 | 4 | 9 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.86 | 0.14 | 1.60 | 1.74 | (0.11 | ) | (0.75 | ) | — | (0.86 | ) | 10.74 | 18.53 | 1.13 | 1.13 | 1.31 | 9 | 14 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 15.99 | 0.17 | (4.31 | ) | (4.14 | ) | (0.20 | ) | (1.79 | ) | — | (1.99 | ) | 9.86 | (27.06 | ) | 1.13 | 1.13 | 1.27 | 7 | 18 | ||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 7.05 | 0.09 | 0.62 | 0.71 | — | — | — | — | 7.76 | 9.93 | 5 | 1.29 | 6 | 1.28 | 6 | 2.20 | 6 | — | 7 | 12 | |||||||||||||||||||||||||||||||||||||||||||
12-31-20154 | 9.48 | 0.10 | (2.37 | ) | (2.27 | ) | (0.16 | ) | — | — | (0.16 | ) | 7.05 | (24.01 | ) | 1.30 | 6 | 1.29 | 6 | 2.13 | 6 | — | 7 | 20 | 8 | ||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 7.03 | 0.09 | 0.64 | 0.73 | — | — | — | — | 7.76 | 10.24 | 5 | 1.04 | 6 | 1.03 | 6 | 2.47 | 6 | 743 | 12 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 8.90 | 0.14 | (1.83 | ) | (1.69 | ) | (0.18 | ) | — | — | (0.18 | ) | 7.03 | (19.05 | ) | 1.05 | 1.04 | 1.72 | 660 | 20 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 9.90 | 0.17 | (0.63 | ) | (0.46 | ) | (0.19 | ) | (0.35 | ) | — | (0.54 | ) | 8.90 | (5.36 | ) | 1.08 | 1.07 | 1.70 | 824 | 17 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.72 | 0.14 | (0.47 | ) | (0.33 | ) | (0.13 | ) | (0.36 | ) | — | (0.49 | ) | 9.90 | (3.18 | ) | 1.08 | 1.07 | 1.37 | 1,078 | 9 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.85 | 0.14 | 1.59 | 1.73 | (0.11 | ) | (0.75 | ) | — | (0.86 | ) | 10.72 | 18.49 | 1.08 | 1.08 | 1.34 | 1,115 | 14 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 15.98 | 0.18 | (4.31 | ) | (4.13 | ) | (0.21 | ) | (1.79 | ) | — | (2.00 | ) | 9.85 | (27.02 | ) | 1.08 | 1.08 | 1.32 | 915 | 18 | ||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. The inception date for Series II shares is 5-27-15. 5. Not annualized. 6. Annualized. 7. Less than $500,000. 8. Portfolio turnover is shown for the period from 1-1-15 to 12-31-15. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Equity Income Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 15.79 | 0.21 | 0.84 | 1.05 | — | — | — | — | 16.84 | 6.65 | 4 | 0.81 | 5,6 | 0.78 | 5,6 | 2.63 | 5 | 260 | 12 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 19.16 | 0.34 | (1.70 | ) | (1.36 | ) | (0.34 | ) | (1.67 | ) | — | (2.01 | ) | 15.79 | (6.75 | ) | 0.87 | 0.83 | 1.91 | 262 | 34 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 19.82 | 0.36 | 1.09 | 1.45 | (0.35 | ) | (1.76 | ) | — | (2.11 | ) | 19.16 | 7.47 | 0.86 | 0.83 | 1.81 | 326 | 9 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.53 | 0.29 | 4.35 | 4.64 | (0.35 | ) | — | — | (0.35 | ) | 19.82 | 29.96 | 0.87 | 0.83 | 1.63 | 348 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.50 | 0.31 | 2.03 | 2.34 | (0.31 | ) | — | — | (0.31 | ) | 15.53 | 17.44 | 0.86 | 0.83 | 2.11 | 311 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 13.87 | 0.27 | (0.39 | ) | (0.12 | ) | (0.25 | ) | — | — | (0.25 | ) | 13.50 | (0.81 | ) | 0.86 | 0.83 | 1.91 | 311 | 19 | 7 | ||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 15.74 | 0.19 | 0.84 | 1.03 | — | — | — | — | 16.77 | 6.54 | 4 | 1.01 | 5,6 | 0.98 | 5,6 | 2.44 | 5 | 139 | 12 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 19.10 | 0.31 | (1.70 | ) | (1.39 | ) | (0.30 | ) | (1.67 | ) | — | (1.97 | ) | 15.74 | (6.91 | ) | 1.07 | 1.03 | 1.71 | 138 | 34 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 19.77 | 0.32 | 1.09 | 1.41 | (0.32 | ) | (1.76 | ) | — | (2.08 | ) | 19.10 | 7.23 | 1.06 | 1.03 | 1.62 | 172 | 9 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.49 | 0.26 | 4.34 | 4.60 | (0.32 | ) | — | — | (0.32 | ) | 19.77 | 29.75 | 1.07 | 1.03 | 1.43 | 193 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.47 | 0.28 | 2.03 | 2.31 | (0.29 | ) | — | — | (0.29 | ) | 15.49 | 17.18 | 1.06 | 1.03 | 1.91 | 173 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 13.84 | 0.24 | (0.38 | ) | (0.14 | ) | (0.23 | ) | — | — | (0.23 | ) | 13.47 | (1.01 | ) | 1.06 | 1.03 | 1.73 | 174 | 19 | 7 | ||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 15.74 | 0.21 | 0.84 | 1.05 | — | — | — | — | 16.79 | 6.67 | 4 | 0.76 | 5,6 | 0.73 | 5,6 | 2.67 | 5 | 1,218 | 12 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 19.10 | 0.35 | (1.70 | ) | (1.35 | ) | (0.34 | ) | (1.67 | ) | — | (2.01 | ) | 15.74 | (6.66 | ) | 0.82 | 0.78 | 1.97 | 1,270 | 34 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 19.76 | 0.37 | 1.09 | 1.46 | (0.36 | ) | (1.76 | ) | — | (2.12 | ) | 19.10 | 7.55 | 0.81 | 0.78 | 1.87 | 1,489 | 9 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.48 | 0.30 | 4.34 | 4.64 | (0.36 | ) | — | — | (0.36 | ) | 19.76 | 30.05 | 0.82 | 0.78 | 1.68 | 1,579 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.46 | 0.32 | 2.02 | 2.34 | (0.32 | ) | — | — | (0.32 | ) | 15.48 | 17.47 | 0.81 | 0.78 | 2.17 | 1,513 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 13.83 | 0.27 | (0.38 | ) | (0.11 | ) | (0.26 | ) | — | — | (0.26 | ) | 13.46 | (0.76 | ) | 0.81 | 0.78 | 1.98 | 1,471 | 19 | 7 | ||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.03%. 7. Excludes merger activity. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Industries Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.18 | 0.10 | (1.08 | ) | (0.98 | ) | — | — | — | — | 10.20 | (8.68 | )4 | 0.88 | 5 | 0.87 | 5 | 1.92 | 5 | 105 | 12 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 17.10 | 0.23 | (0.75 | ) | (0.52 | ) | (0.13 | ) | (5.27 | ) | — | (5.40 | ) | 11.18 | (2.65 | ) | 0.87 | 0.87 | 1.58 | 126 | 27 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.85 | 0.15 | 1.22 | 1.37 | (0.12 | ) | — | — | (0.12 | ) | 17.10 | 8.65 | 0.93 | 0.93 | 0.95 | 132 | 113 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.32 | 0.11 | 3.67 | 3.78 | (0.10 | ) | (0.15 | ) | — | (0.25 | ) | 15.85 | 30.75 | 0.91 | 0.90 | 0.78 | 132 | 3 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.52 | 0.12 | 1.77 | 1.89 | (0.09 | ) | — | — | (0.09 | ) | 12.32 | 18.05 | 0.91 | 0.91 | 0.99 | 97 | 26 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.84 | 0.10 | (1.23 | ) | (1.13 | ) | (0.19 | ) | — | — | (0.19 | ) | 10.52 | (9.51 | ) | 0.94 | 0.93 | 0.90 | 92 | 12 | |||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.10 | 0.09 | (1.06 | ) | (0.97 | ) | — | — | — | — | 10.13 | (8.74 | )4 | 1.08 | 5 | 1.07 | 5 | 1.73 | 5 | 15 | 12 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 17.02 | 0.20 | (0.75 | ) | (0.55 | ) | (0.10 | ) | (5.27 | ) | — | (5.37 | ) | 11.10 | (2.88 | ) | 1.08 | 1.07 | 1.39 | 19 | 27 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.78 | 0.12 | 1.21 | 1.33 | (0.09 | ) | — | — | (0.09 | ) | 17.02 | 8.42 | 1.13 | 1.13 | 0.75 | 23 | 113 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.27 | 0.09 | 3.64 | 3.73 | (0.07 | ) | (0.15 | ) | — | (0.22 | ) | 15.78 | 30.49 | 1.11 | 1.10 | 0.60 | 27 | 3 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.48 | 0.09 | 1.77 | 1.86 | (0.07 | ) | — | — | (0.07 | ) | 12.27 | 17.82 | 1.11 | 1.11 | 0.79 | 23 | 26 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.79 | 0.08 | (1.22 | ) | (1.14 | ) | (0.17 | ) | — | — | (0.17 | ) | 10.48 | (9.66 | ) | 1.14 | 1.13 | 0.71 | 23 | 12 | |||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.15 | 0.10 | (1.07 | ) | (0.97 | ) | — | — | — | — | 10.18 | (8.70 | )4 | 0.83 | 5 | 0.82 | 5 | 1.97 | 5 | 19 | 12 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 17.07 | 0.24 | (0.75 | ) | (0.51 | ) | (0.14 | ) | (5.27 | ) | — | (5.41 | ) | 11.15 | (2.58 | ) | 0.82 | 0.82 | 1.63 | 22 | 27 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.83 | 0.16 | 1.21 | 1.37 | (0.13 | ) | — | — | (0.13 | ) | 17.07 | 8.64 | 0.88 | 0.88 | 1.00 | 22 | 113 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.30 | 0.12 | 3.66 | 3.78 | (0.10 | ) | (0.15 | ) | — | (0.25 | ) | 15.83 | 30.86 | 0.86 | 0.85 | 0.84 | 24 | 3 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.51 | 0.12 | 1.77 | 1.89 | (0.10 | ) | — | — | (0.10 | ) | 12.30 | 18.03 | 0.86 | 0.86 | 1.04 | 18 | 26 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.82 | 0.11 | (1.22 | ) | (1.11 | ) | (0.20 | ) | — | — | (0.20 | ) | 10.51 | (9.39 | ) | 0.89 | 0.88 | 0.95 | 18 | 12 | |||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Franklin Templeton Founding Allocation Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.91 | (0.01 | )4 | 0.32 | 0.31 | — | — | — | — | 12.22 | 2.60 | 5 | 0.14 | 6 | 0.14 | 7,6 | (0.14 | )4,6 | 38 | — | 8 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.02 | 0.34 | 4 | (1.09 | ) | (0.75 | ) | (0.36 | ) | — | — | (0.36 | ) | 11.91 | (5.80 | ) | 0.12 | 0.12 | 7 | 2.64 | 4 | 39 | 6 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.05 | 0.39 | 4 | 0.01 | 0.40 | (0.43 | ) | — | — | (0.43 | ) | 13.02 | 3.01 | 0.11 | 0.11 | 7 | 2.92 | 4 | 45 | 4 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.73 | 0.29 | 4 | 2.33 | 2.62 | (0.30 | ) | — | — | (0.30 | ) | 13.05 | 24.43 | 0.12 | 0.12 | 7 | 2.37 | 4 | 52 | 3 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.51 | 0.31 | 4 | 1.24 | 1.55 | (0.33 | ) | — | — | (0.33 | ) | 10.73 | 16.26 | 0.12 | 0.12 | 7 | 3.04 | 4 | 47 | 3 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 9.95 | 0.29 | 4 | (0.43 | ) | (0.14 | ) | (0.30 | ) | — | — | (0.30 | ) | 9.51 | (1.41 | ) | 0.12 | 0.12 | 7 | 2.92 | 4 | 44 | 3 | ||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.93 | (0.02 | )4 | 0.32 | 0.30 | — | — | — | — | 12.23 | 2.51 | 5 | 0.34 | 6 | 0.34 | 7,6 | (0.34 | )4,6 | 933 | — | 8 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.04 | 0.31 | 4 | (1.09 | ) | (0.78 | ) | (0.33 | ) | — | — | (0.33 | ) | 11.93 | (5.99 | ) | 0.32 | 0.32 | 7 | 2.41 | 4 | 962 | 6 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.07 | 0.37 | 4 | — | 9 | 0.37 | (0.40 | ) | — | — | (0.40 | ) | 13.04 | 2.81 | 0.31 | 0.31 | 7 | 2.76 | 4 | 1,169 | 4 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.74 | 0.26 | 4 | 2.35 | 2.61 | (0.28 | ) | — | — | (0.28 | ) | 13.07 | 24.27 | 0.32 | 0.32 | 7 | 2.17 | 4 | 1,305 | 3 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.52 | 0.28 | 4 | 1.25 | 1.53 | (0.31 | ) | — | — | (0.31 | ) | 10.74 | 16.03 | 0.32 | 0.32 | 7 | 2.79 | 4 | 1,184 | 3 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 9.97 | 0.26 | 4 | (0.43 | ) | (0.17 | ) | (0.28 | ) | — | — | (0.28 | ) | 9.52 | (1.71 | ) | 0.32 | 0.32 | 7 | 2.60 | 4 | 1,154 | 3 | ||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.90 | (0.01 | )4 | 0.33 | 0.32 | — | — | — | — | 12.22 | 2.69 | 5 | 0.10 | 6 | 0.10 | 7,6 | (0.10 | )4,6 | 51 | — | 8 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.01 | 0.38 | 4 | (1.12 | ) | (0.74 | ) | (0.37 | ) | — | — | (0.37 | ) | 11.90 | (5.76 | ) | 0.07 | 0.07 | 7 | 2.95 | 4 | 48 | 6 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.04 | 0.47 | 4 | (0.07 | ) | 0.40 | (0.43 | ) | — | — | (0.43 | ) | 13.01 | 3.06 | 0.06 | 0.06 | 7 | 3.46 | 4 | 43 | 4 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.72 | 0.35 | 4 | 2.28 | 2.63 | (0.31 | ) | — | — | (0.31 | ) | 13.04 | 24.50 | 0.07 | 0.07 | 7 | 2.88 | 4 | 31 | 3 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.50 | 0.38 | 4 | 1.17 | 1.55 | (0.33 | ) | — | — | (0.33 | ) | 10.72 | 16.33 | 0.07 | 0.07 | 7 | 3.69 | 4 | 16 | 3 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 9.95 | 0.34 | 4 | (0.48 | ) | (0.14 | ) | (0.31 | ) | — | — | (0.31 | ) | 9.50 | (1.46 | ) | 0.07 | 0.07 | 7 | 3.41 | 4 | 10 | 3 | ||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Not annualized. 6. Annualized. 7. Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the portfolio. The range of expense ratios of the underlying funds held by the portfolio was as follows: 0.81%–0.99%, 0.84%–0.98%, 0.85%–0.97%, 0.85%–1.00%, 0.85%–1.03% and 0.85%–1.03% for the periods ended 6-30-16, 12-31-15, 12-31-14, 12-31-13, 12-31-12 and 12-31-11, respectively. 8. Portfolio turnover for the period is 0% due to no purchase activity. 9. Less than $0.005 per share. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fundamental All Cap Core Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 22.30 | 0.07 | (1.07 | ) | (1.00 | ) | — | — | — | — | 21.30 | (4.48 | )4 | 0.75 | 5 | 0.75 | 5 | 0.66 | 5 | 149 | 11 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 22.53 | 0.07 | 0.80 | 0.87 | — | (1.10 | ) | — | (1.10 | ) | 22.30 | 4.01 | 0.76 | 0.75 | 0.30 | 168 | 49 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 20.61 | 0.06 | 6 | 1.95 | 2.01 | (0.09 | ) | — | — | (0.09 | ) | 22.53 | 9.74 | 0.76 | 0.75 | 0.28 | 6 | 156 | 46 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.30 | 0.11 | 5.37 | 5.48 | (0.17 | ) | — | — | (0.17 | ) | 20.61 | 35.88 | 0.76 | 0.76 | 0.60 | 159 | 41 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.48 | 0.16 | 2.77 | 2.93 | (0.11 | ) | — | — | (0.11 | ) | 15.30 | 23.52 | 0.76 | 0.76 | 1.17 | 131 | 38 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.90 | 0.13 | (0.41 | ) | (0.28 | ) | (0.14 | ) | — | — | (0.14 | ) | 12.48 | (2.16 | ) | 0.76 | 0.76 | 0.98 | 117 | 146 | |||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 22.23 | 0.05 | (1.07 | ) | (1.02 | ) | — | — | — | — | 21.21 | (4.59 | )4 | 0.95 | 5 | 0.95 | 5 | 0.46 | 5 | 46 | 11 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 22.50 | 0.02 | 0.81 | 0.83 | — | (1.10 | ) | — | (1.10 | ) | 22.23 | 3.83 | 0.96 | 0.95 | 0.10 | 52 | 49 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 20.58 | 0.02 | 6 | 1.95 | 1.97 | (0.05 | ) | — | — | (0.05 | ) | 22.50 | 9.56 | 0.96 | 0.95 | 0.08 | 6 | 59 | 46 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.29 | 0.07 | 5.36 | 5.43 | (0.14 | ) | — | — | (0.14 | ) | 20.58 | 35.55 | 0.96 | 0.96 | 0.40 | 69 | 41 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.47 | 0.14 | 2.76 | 2.90 | (0.08 | ) | — | — | (0.08 | ) | 15.29 | 23.31 | 0.96 | 0.96 | 0.98 | 67 | 38 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.90 | 0.10 | (0.42 | ) | (0.32 | ) | (0.11 | ) | — | — | (0.11 | ) | 12.47 | (2.44 | ) | 0.96 | 0.96 | 0.78 | 60 | 146 | |||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 22.40 | 0.07 | (1.07 | ) | (1.00 | ) | — | — | — | — | 21.40 | (4.46 | )4 | 0.70 | 5 | 0.70 | 5 | 0.71 | 5 | 1,287 | 11 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 22.61 | 0.08 | 0.81 | 0.89 | — | (1.10 | ) | — | (1.10 | ) | 22.40 | 4.09 | 0.71 | 0.70 | 0.35 | 1,406 | 49 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 20.68 | 0.07 | 6 | 1.96 | 2.03 | (0.10 | ) | — | — | (0.10 | ) | 22.61 | 9.81 | 0.71 | 0.70 | 0.33 | 6 | 1,449 | 46 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.36 | 0.11 | 5.39 | 5.50 | (0.18 | ) | — | — | (0.18 | ) | 20.68 | 35.86 | 0.71 | 0.71 | 0.64 | 1,433 | 41 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.52 | 0.17 | 2.79 | 2.96 | (0.12 | ) | — | — | (0.12 | ) | 15.36 | 23.66 | 0.71 | 0.71 | 1.22 | 1,149 | 38 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.95 | 0.13 | (0.41 | ) | (0.28 | ) | (0.15 | ) | — | — | (0.15 | ) | 12.52 | (2.17 | ) | 0.71 | 0.71 | 1.03 | 1,032 | 146 | |||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Net investment income per share and the percentage of average net assets reflect special dividends received by the portfolio, which amounted to $0.05 and 0.21% for all series. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Fundamental Large Cap Value Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 17.15 | 0.12 | (0.86 | ) | (0.74 | ) | — | — | — | — | 16.41 | (4.31 | )4 | 0.71 | 5 | 0.70 | 5 | 1.51 | 5 | 510 | 9 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 17.52 | 0.20 | (0.39 | ) | (0.19 | ) | (0.18 | ) | — | — | (0.18 | ) | 17.15 | (1.11 | ) | 0.71 | 0.70 | 1.15 | 562 | 9 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.94 | 0.17 | 1.52 | 1.69 | (0.11 | ) | — | — | (0.11 | ) | 17.52 | 10.61 | 0.71 | 0.70 | 1.03 | 621 | 29 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.18 | 0.17 | 3.77 | 3.94 | (0.18 | ) | — | — | (0.18 | ) | 15.94 | 32.41 | 0.74 | 0.74 | 1.17 | 273 | 40 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.91 | 0.19 | 2.22 | 2.41 | (0.14 | ) | — | — | (0.14 | ) | 12.18 | 24.42 | 0.76 | 0.75 | 1.67 | 67 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 9.84 | 0.15 | 0.02 | 0.17 | (0.10 | ) | — | — | (0.10 | ) | 9.91 | 1.75 | 0.78 | 0.78 | 1.53 | 45 | 108 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 17.27 | 0.11 | (0.88 | ) | (0.77 | ) | — | — | — | — | 16.50 | (4.46 | )4 | 0.91 | 5 | 0.90 | 5 | 1.31 | 5 | 201 | 9 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 17.64 | 0.17 | (0.40 | ) | (0.23 | ) | (0.14 | ) | — | — | (0.14 | ) | 17.27 | (1.30 | ) | 0.91 | 0.90 | 0.95 | 220 | 9 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 16.05 | 0.13 | 1.54 | 1.67 | (0.08 | ) | — | — | (0.08 | ) | 17.64 | 10.40 | 0.91 | 0.90 | 0.74 | 268 | 29 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.27 | 0.14 | 3.79 | 3.93 | (0.15 | ) | — | — | (0.15 | ) | 16.05 | 32.11 | 0.94 | 0.94 | 0.99 | 44 | 40 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.98 | 0.16 | 2.25 | 2.41 | (0.12 | ) | — | — | (0.12 | ) | 12.27 | 24.23 | 0.96 | 0.95 | 1.46 | 17 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 9.90 | 0.13 | 0.03 | 0.16 | (0.08 | ) | — | — | (0.08 | ) | 9.98 | 1.63 | 0.98 | 0.98 | 1.33 | 13 | 108 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 17.15 | 0.12 | (0.86 | ) | (0.74 | ) | — | — | — | — | 16.41 | (4.31 | )4 | 0.66 | 5 | 0.65 | 5 | 1.56 | 5 | 742 | 9 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 17.52 | 0.21 | (0.39 | ) | (0.18 | ) | (0.19 | ) | — | — | (0.19 | ) | 17.15 | (1.06 | ) | 0.66 | 0.65 | 1.20 | 780 | 9 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.94 | 0.19 | 1.51 | 1.70 | (0.12 | ) | — | — | (0.12 | ) | 17.52 | 10.66 | 0.66 | 0.65 | 1.12 | 903 | 29 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.18 | 0.18 | 3.77 | 3.95 | (0.19 | ) | — | — | (0.19 | ) | 15.94 | 32.47 | 0.69 | 0.69 | 1.28 | 779 | 40 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.91 | 0.19 | 2.23 | 2.42 | (0.15 | ) | — | — | (0.15 | ) | 12.18 | 24.48 | 0.71 | 0.70 | 1.68 | 441 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 9.83 | 0.16 | 0.02 | 0.18 | (0.10 | ) | — | — | (0.10 | ) | 9.91 | 1.90 | 0.73 | 0.73 | 1.58 | 270 | 108 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Excludes merger activity. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Global Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 17.95 | 0.24 | (0.66 | ) | (0.42 | ) | — | — | — | — | 17.53 | (2.34 | )4 | 0.89 | 5,6 | 0.87 | 5,6 | 2.85 | 5 | 137 | 12 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 19.58 | 0.35 | (1.60 | ) | (1.25 | ) | (0.38 | ) | — | — | (0.38 | ) | 17.95 | (6.42 | ) | 0.93 | 0.91 | 1.79 | 147 | 23 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 20.50 | 0.47 | 7 | (0.99 | ) | (0.52 | ) | (0.40 | ) | — | — | (0.40 | ) | 19.58 | (2.60 | ) | 0.95 | 0.94 | 2.27 | 7 | 180 | 17 | 8 | ||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.86 | 0.26 | 4.66 | 4.92 | (0.28 | ) | — | — | (0.28 | ) | 20.50 | 31.09 | 0.96 | 0.95 | 1.45 | 176 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.31 | 0.30 | 2.57 | 2.87 | (0.32 | ) | — | — | (0.32 | ) | 15.86 | 21.74 | 0.96 | 0.94 | 2.04 | 156 | 16 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 14.48 | 0.31 | (1.18 | ) | (0.87 | ) | (0.30 | ) | — | — | (0.30 | ) | 13.31 | (6.00 | ) | 0.96 | 0.94 | 2.14 | 150 | 24 | |||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 17.88 | 0.24 | (0.67 | ) | (0.43 | ) | — | — | — | — | 17.45 | (2.40 | )4 | 1.09 | 5,6 | 1.07 | 5,6 | 2.64 | 5 | 41 | 12 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 19.51 | 0.31 | (1.59 | ) | (1.28 | ) | (0.35 | ) | — | — | (0.35 | ) | 17.88 | (6.61 | ) | 1.13 | 1.11 | 1.61 | 46 | 23 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 20.43 | 0.41 | 7 | (0.97 | ) | (0.56 | ) | (0.36 | ) | — | — | (0.36 | ) | 19.51 | (2.80 | ) | 1.15 | 1.14 | 1.97 | 7 | 62 | 17 | 8 | ||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.81 | 0.22 | 4.65 | 4.87 | (0.25 | ) | — | — | (0.25 | ) | 20.43 | 30.83 | 1.16 | 1.15 | 1.23 | 34 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.27 | 0.27 | 2.57 | 2.84 | (0.30 | ) | — | — | (0.30 | ) | 15.81 | 21.51 | 1.16 | 1.14 | 1.85 | 30 | 16 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 14.44 | 0.28 | (1.18 | ) | (0.90 | ) | (0.27 | ) | — | — | (0.27 | ) | 13.27 | (6.22 | ) | 1.16 | 1.14 | 1.94 | 29 | 24 | |||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 17.94 | 0.24 | (0.66 | ) | (0.42 | ) | — | — | — | — | 17.52 | (2.34 | )4 | 0.84 | 5,6 | 0.82 | 5,6 | 2.91 | 5 | 371 | 12 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 19.56 | 0.36 | (1.59 | ) | (1.23 | ) | (0.39 | ) | — | — | (0.39 | ) | 17.94 | (6.34 | ) | 0.88 | 0.86 | 1.83 | 390 | 23 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 20.47 | 0.48 | 7 | (0.98 | ) | (0.50 | ) | (0.41 | ) | — | — | (0.41 | ) | 19.56 | (2.51 | ) | 0.90 | 0.89 | 2.31 | 7 | 474 | 17 | 8 | ||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.85 | 0.27 | 4.64 | 4.91 | (0.29 | ) | — | — | (0.29 | ) | 20.47 | 31.03 | 0.91 | 0.90 | 1.50 | 470 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.30 | 0.30 | 2.58 | 2.88 | (0.33 | ) | — | — | (0.33 | ) | 15.85 | 21.82 | 0.91 | 0.89 | 2.09 | 422 | 16 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 14.47 | 0.32 | (1.18 | ) | (0.86 | ) | (0.31 | ) | — | — | (0.31 | ) | 13.30 | (5.95 | ) | 0.91 | 0.89 | 2.18 | 404 | 24 | |||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.04%. 7. Net investment income per share and the percentage of average net assets reflect special dividends received by the portfolio, which amounted to $0.08 and 0.37% for all series, respectively. 8. Excludes merger activity. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Health Sciences Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 31.92 | (0.04 | ) | (2.66 | ) | (2.70 | ) | — | — | — | — | 29.22 | (8.46 | )4 | 1.10 | 5,6 | 1.04 | 5,6 | (0.33 | )5 | 111 | 11 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 33.55 | 0.03 | 4.30 | 4.33 | — | (5.96 | ) | — | (5.96 | ) | 31.92 | 12.69 | 1.07 | 1.02 | 0.09 | 146 | 43 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 29.19 | (0.16 | ) | 8.98 | 8.82 | — | (4.46 | ) | — | (4.46 | ) | 33.55 | 31.83 | 1.07 | 1.02 | (0.51 | ) | 135 | 50 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 20.98 | (0.14 | ) | 10.72 | 10.58 | — | (2.37 | ) | — | (2.37 | ) | 29.19 | 51.15 | 1.16 | 1.10 | (0.54 | ) | 106 | 57 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.98 | (0.08 | ) | 5.46 | 5.38 | — | (1.38 | ) | — | (1.38 | ) | 20.98 | 31.89 | 1.18 | 1.12 | (0.41 | ) | 69 | 29 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 15.55 | (0.10 | ) | 1.73 | 1.63 | — | (0.20 | ) | — | (0.20 | ) | 16.98 | 10.57 | 1.18 | 1.13 | (0.59 | ) | 56 | 39 | ||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 30.45 | (0.06 | ) | (2.55 | ) | (2.61 | ) | — | — | — | — | 27.84 | (8.57 | )4 | 1.30 | 5,6 | 1.24 | 5,6 | (0.52 | )5 | 82 | 11 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 32.30 | (0.03 | ) | 4.14 | 4.11 | — | (5.96 | ) | — | (5.96 | ) | 30.45 | 12.49 | 1.27 | 1.22 | (0.10 | ) | 102 | 43 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 28.30 | (0.22 | ) | 8.68 | 8.46 | — | (4.46 | ) | — | (4.46 | ) | 32.30 | 31.54 | 1.27 | 1.22 | (0.71 | ) | 103 | 50 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 20.43 | (0.19 | ) | 10.43 | 10.24 | — | (2.37 | ) | — | (2.37 | ) | 28.30 | 50.86 | 1.36 | 1.30 | (0.74 | ) | 91 | 57 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.60 | (0.12 | ) | 5.33 | 5.21 | — | (1.38 | ) | — | (1.38 | ) | 20.43 | 31.59 | 1.38 | 1.32 | (0.61 | ) | 67 | 29 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 15.23 | (0.13 | ) | 1.70 | 1.57 | — | (0.20 | ) | — | (0.20 | ) | 16.60 | 10.39 | 1.38 | 1.33 | (0.80 | ) | 57 | 39 | ||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 32.20 | (0.03 | ) | (2.69 | ) | (2.72 | ) | — | — | — | — | 29.48 | (8.45 | )4 | 1.05 | 5,6 | 0.99 | 5,6 | (0.26 | )5 | 102 | 11 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 33.78 | 0.05 | 4.33 | 4.38 | — | (5.96 | ) | — | (5.96 | ) | 32.20 | 12.76 | 1.02 | 0.97 | 0.13 | 118 | 43 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 29.36 | (0.15 | ) | 9.03 | 8.88 | — | (4.46 | ) | — | (4.46 | ) | 33.78 | 31.85 | 1.02 | 0.97 | (0.46 | ) | 101 | 50 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 21.08 | (0.13 | ) | 10.78 | 10.65 | — | (2.37 | ) | — | (2.37 | ) | 29.36 | 51.24 | 1.11 | 1.05 | (0.49 | ) | 73 | 57 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 17.05 | (0.07 | ) | 5.48 | 5.41 | — | (1.38 | ) | — | (1.38 | ) | 21.08 | 31.93 | 1.13 | 1.07 | (0.36 | ) | 48 | 29 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 15.60 | (0.09 | ) | 1.74 | 1.65 | — | (0.20 | ) | — | (0.20 | ) | 17.05 | 10.66 | 1.13 | 1.08 | (0.54 | ) | 34 | 39 | ||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.05%. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
International Core Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 9.64 | 0.18 | (0.46 | ) | (0.28 | ) | — | — | — | — | 9.36 | (2.90 | )4 | 0.97 | 5,6 | 0.97 | 5,6 | 4.06 | 5 | 34 | 25 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 10.52 | 0.25 | (0.82 | ) | (0.57 | ) | (0.31 | ) | — | — | (0.31 | ) | 9.64 | (5.45 | ) | 1.01 | 1.00 | 2.31 | 38 | 67 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 11.70 | 0.39 | 7 | (1.15 | ) | (0.76 | ) | (0.42 | ) | — | — | (0.42 | ) | 10.52 | (6.70 | ) | 1.07 | 1.06 | 3.33 | 7 | 42 | 75 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 9.61 | 0.26 | 2.13 | 2.39 | (0.30 | ) | — | — | (0.30 | ) | 11.70 | 24.99 | 1.07 | 1.07 | 2.51 | 49 | 47 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 8.60 | 0.26 | 1.02 | 1.28 | (0.27 | ) | — | — | (0.27 | ) | 9.61 | 15.05 | 1.07 | 1.07 | 2.93 | 45 | 49 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 9.77 | 0.26 | (1.20 | ) | (0.94 | ) | (0.23 | ) | — | — | (0.23 | ) | 8.60 | (9.57 | ) | 1.07 | 1.07 | 2.67 | 47 | 39 | |||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 9.73 | 0.18 | (0.47 | ) | (0.29 | ) | — | — | — | — | 9.44 | (2.98 | )4 | 1.17 | 5,6 | 1.17 | 5,6 | 3.84 | 5 | 14 | 25 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 10.61 | 0.23 | (0.82 | ) | (0.59 | ) | (0.29 | ) | — | — | (0.29 | ) | 9.73 | (5.62 | ) | 1.21 | 1.20 | 2.11 | 16 | 67 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 11.80 | 0.38 | 7 | (1.17 | ) | (0.79 | ) | (0.40 | ) | — | — | (0.40 | ) | 10.61 | (6.91 | ) | 1.27 | 1.26 | 3.20 | 7 | 17 | 75 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 9.69 | 0.25 | 2.14 | 2.39 | (0.28 | ) | — | — | (0.28 | ) | 11.80 | 24.78 | 1.27 | 1.27 | 2.34 | 22 | 47 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 8.67 | 0.25 | 1.02 | 1.27 | (0.25 | ) | — | — | (0.25 | ) | 9.69 | 14.82 | 1.27 | 1.27 | 2.75 | 20 | 49 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 9.85 | 0.24 | (1.21 | ) | (0.97 | ) | (0.21 | ) | — | — | (0.21 | ) | 8.67 | (9.80 | ) | 1.27 | 1.27 | 2.48 | 22 | 39 | |||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 9.61 | 0.18 | (0.46 | ) | (0.28 | ) | — | — | — | — | 9.33 | (2.91 | )4 | 0.92 | 5,6 | 0.92 | 5,6 | 4.15 | 5 | 511 | 25 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 10.48 | 0.25 | (0.80 | ) | (0.55 | ) | (0.32 | ) | — | — | (0.32 | ) | 9.61 | (5.32 | ) | 0.96 | 0.95 | 2.36 | 539 | 67 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 11.67 | 0.40 | 7 | (1.16 | ) | (0.76 | ) | (0.43 | ) | — | — | (0.43 | ) | 10.48 | (6.75 | ) | 1.02 | 1.01 | 3.42 | 7 | 668 | 75 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 9.58 | 0.27 | 2.13 | 2.40 | (0.31 | ) | — | — | (0.31 | ) | 11.67 | 25.13 | 1.02 | 1.02 | 2.55 | 797 | 47 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 8.57 | 0.27 | 1.01 | 1.28 | (0.27 | ) | — | — | (0.27 | ) | 9.58 | 15.16 | 1.02 | 1.02 | 2.97 | 653 | 49 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 9.74 | 0.27 | (1.20 | ) | (0.93 | ) | (0.24 | ) | — | — | (0.24 | ) | 8.57 | (9.56 | ) | 1.02 | 1.02 | 2.74 | 570 | 39 | |||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.06%. 7. Net investment income per share and the percentage of average net assets reflects special dividends received by the portfolio, which amounted to $0.09 and 0.73% for all series, respectively. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
International Equity Index Trust B | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 14.54 | 0.26 | (0.25 | ) | 0.01 | — | — | — | — | 14.55 | 0.07 | 4 | 0.63 | 5,6 | 0.35 | 5,6 | 3.80 | 5 | 271 | 4 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.85 | 0.39 | (1.32 | ) | (0.93 | ) | (0.38 | ) | — | — | (0.38 | ) | 14.54 | (5.91 | ) | 0.66 | 0.39 | 2.42 | 253 | 4 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 17.14 | 0.52 | 7 | (1.28 | ) | (0.76 | ) | (0.53 | ) | — | — | (0.53 | ) | 15.85 | (4.61 | ) | 0.62 | 0.39 | 3.03 | 7 | 277 | 3 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.32 | 0.42 | 1.80 | 2.22 | (0.40 | ) | — | — | (0.40 | ) | 17.14 | 14.55 | 0.61 | 0.39 | 2.59 | 293 | 3 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-20128 | 14.62 | 0.03 | 0.84 | 0.87 | (0.17 | ) | — | — | (0.17 | ) | 15.32 | 5.98 | 4 | 0.63 | 5 | 0.39 | 5 | 1.38 | 5 | 254 | 4 | 9,10 | |||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 14.56 | 0.26 | (0.26 | ) | — | — | — | — | — | 14.56 | — | 4 | 0.83 | 5,6 | 0.55 | 5,6 | 3.55 | 5 | 15 | 4 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.87 | 0.36 | (1.32 | ) | (0.96 | ) | (0.35 | ) | — | — | (0.35 | ) | 14.56 | (6.11 | ) | 0.86 | 0.59 | 2.25 | 16 | 4 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 17.16 | 0.50 | 7 | (1.30 | ) | (0.80 | ) | (0.49 | ) | — | — | (0.49 | ) | 15.87 | (4.80 | ) | 0.82 | 0.59 | 2.88 | 7 | 21 | 3 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.34 | 0.39 | 1.80 | 2.19 | (0.37 | ) | — | — | (0.37 | ) | 17.16 | 14.32 | 0.81 | 0.59 | 2.43 | 27 | 3 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-20128 | 14.62 | 0.03 | 0.83 | 0.86 | (0.14 | ) | — | — | (0.14 | ) | 15.34 | 5.95 | 4 | 0.83 | 5 | 0.59 | 5 | 1.17 | 5 | 29 | 4 | 9,10 | |||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 14.54 | 0.26 | (0.25 | ) | 0.01 | — | — | — | — | 14.55 | 0.07 | 4 | 0.58 | 5,6 | 0.30 | 5,6 | 3.83 | 5 | 289 | 4 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.84 | 0.39 | (1.30 | ) | (0.91 | ) | (0.39 | ) | — | — | (0.39 | ) | 14.54 | (5.80 | ) | 0.61 | 0.34 | 2.46 | 293 | 4 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 17.13 | 0.54 | 7 | (1.29 | ) | (0.75 | ) | (0.54 | ) | — | — | (0.54 | ) | 15.84 | (4.57 | ) | 0.57 | 0.34 | 3.13 | 7 | 322 | 3 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.32 | 0.43 | 1.79 | 2.22 | (0.41 | ) | — | — | (0.41 | ) | 17.13 | 14.54 | 0.56 | 0.34 | 2.65 | 373 | 3 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.17 | 0.41 | 1.92 | 2.33 | (0.18 | ) | — | — | (0.18 | ) | 15.32 | 17.76 | 0.59 | 0.34 | 2.90 | 345 | 4 | 10 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 15.93 | 0.44 | (2.67 | ) | (2.23 | ) | (0.53 | ) | — | — | (0.53 | ) | 13.17 | (13.99 | ) | 0.58 | 0.34 | 2.86 | 273 | 3 | |||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.04%. 7. Net investment income per share and the percentage of average net assets reflect special dividends received by the portfolio, which amounted to $0.03 and 0.33% for all series, respectively. 8. The inception date for Series I and II shares is 11-5-12. 9. Portfolio turnover is shown for the period from 1-1-12 to 12-31-12. 10. Excludes merger activity. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
International Growth Stock Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 15.91 | 0.20 | (0.39 | ) | (0.19 | ) | — | — | — | — | 15.72 | (1.19 | )4 | 0.91 | 5 | 0.90 | 5 | 2.60 | 5 | 4 | 8 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 16.58 | 0.23 | (0.61 | ) | (0.38 | ) | (0.29 | ) | — | — | (0.29 | ) | 15.91 | (2.27 | ) | 0.92 | 0.91 | 1.36 | 3 | 22 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 16.85 | 0.28 | (0.23 | ) | 0.05 | (0.32 | ) | — | — | (0.32 | ) | 16.58 | 0.20 | 0.97 | 0.97 | 1.65 | 2 | 23 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 14.31 | 0.22 | 2.51 | 2.73 | (0.19 | ) | — | — | (0.19 | ) | 16.85 | 19.11 | 0.97 | 0.97 | 1.40 | 3 | 29 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-20126 | 13.84 | — | 7 | 0.56 | 0.56 | (0.09 | ) | — | — | (0.09 | ) | 14.31 | 4.07 | 4 | 1.01 | 5 | 1.01 | 5 | (0.10 | )5 | 3 | 23 | 8,9 | ||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 15.91 | 0.20 | (0.39 | ) | (0.19 | ) | — | — | — | — | 15.72 | (1.19 | )4 | 1.11 | 5 | 1.10 | 5 | 2.32 | 5 | 19 | 8 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 16.60 | 0.21 | (0.63 | ) | (0.42 | ) | (0.27 | ) | — | — | (0.27 | ) | 15.91 | (2.53 | ) | 1.12 | 1.11 | 1.26 | 20 | 22 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 16.87 | 0.25 | (0.24 | ) | 0.01 | (0.28 | ) | — | — | (0.28 | ) | 16.60 | — | 1.17 | 1.17 | 1.44 | 21 | 23 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 14.33 | 0.19 | 2.51 | 2.70 | (0.16 | ) | — | — | (0.16 | ) | 16.87 | 18.87 | 1.17 | 1.17 | 1.23 | 23 | 29 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-20126 | 13.84 | (0.01 | ) | 0.57 | 0.56 | (0.07 | ) | — | — | (0.07 | ) | 14.33 | 4.05 | 4 | 1.21 | 5 | 1.21 | 5 | (0.30 | )5 | 23 | 23 | 8,9 | ||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 15.91 | 0.20 | (0.38 | ) | (0.18 | ) | — | — | — | — | 15.73 | (1.13 | )4 | 0.86 | 5 | 0.85 | 5 | 2.57 | 5 | 374 | 8 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 16.58 | 0.25 | (0.62 | ) | (0.37 | ) | (0.30 | ) | — | — | (0.30 | ) | 15.91 | (2.24 | ) | 0.87 | 0.86 | 1.52 | 395 | 22 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 16.86 | 0.29 | (0.25 | ) | 0.04 | (0.32 | ) | — | — | (0.32 | ) | 16.58 | 0.19 | 0.92 | 0.92 | 1.70 | 479 | 23 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 14.31 | 0.23 | 2.51 | 2.74 | (0.19 | ) | — | — | (0.19 | ) | 16.86 | 19.19 | 0.92 | 0.92 | 1.47 | 550 | 29 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.48 | 0.15 | 1.80 | 1.95 | (0.10 | ) | (0.02 | ) | — | (0.12 | ) | 14.31 | 15.64 | 0.96 | 0.96 | 1.11 | 479 | 23 | 9 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 13.64 | 0.21 | (1.18 | ) | (0.97 | ) | (0.16 | ) | (0.03 | ) | — | (0.19 | ) | 12.48 | (7.12 | ) | 0.98 | 0.98 | 1.60 | 227 | 27 | ||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. The inception date for Series I and Series II shares is 11-5-12. 7. Less than $0.005 per share. 8. Portfolio turnover is shown for the period from 1-1-12 to 12-31-12. 9. Excludes merger activity. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
International Small Company Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 12.11 | 0.15 | (0.30 | ) | (0.15 | ) | — | — | — | — | 11.96 | (1.24 | )4 | 0.90 | 5,6 | 0.89 | 5,6 | 2.86 | 5 | 33 | 6 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.58 | 0.17 | 0.58 | 0.75 | (0.22 | ) | — | — | (0.22 | ) | 12.11 | 6.54 | 1.22 | 1.22 | 1.40 | 34 | 17 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.61 | 0.18 | (1.04 | ) | (0.86 | ) | (0.17 | ) | — | — | (0.17 | ) | 11.58 | (6.89 | ) | 1.19 | 1.18 | 1.46 | 37 | 20 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.15 | 0.18 | 2.49 | 2.67 | (0.21 | ) | — | — | (0.21 | ) | 12.61 | 26.34 | 1.17 | 1.17 | 1.61 | 46 | 10 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 8.63 | 0.19 | 1.46 | 1.65 | (0.13 | ) | — | — | (0.13 | ) | 10.15 | 19.19 | 1.18 | 1.04 | 1.97 | 41 | 3 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 10.50 | 0.18 | (1.88 | ) | (1.70 | ) | (0.17 | ) | — | — | (0.17 | ) | 8.63 | (16.23 | ) | 1.16 | 1.04 | 1.74 | 41 | 11 | |||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 12.10 | 0.15 | (0.31 | ) | (0.16 | ) | — | — | — | — | 11.94 | (1.32 | )4 | 1.12 | 5,6 | 1.11 | 5,6 | 2.62 | 5 | 18 | 6 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.57 | 0.15 | 0.59 | 0.74 | (0.21 | ) | — | — | (0.21 | ) | 12.10 | 6.39 | 1.42 | 1.42 | 1.21 | 20 | 17 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.60 | 0.16 | (1.04 | ) | (0.88 | ) | (0.15 | ) | — | — | (0.15 | ) | 11.57 | (7.10 | ) | 1.39 | 1.38 | 1.26 | 21 | 20 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.15 | 0.16 | 2.48 | 2.64 | (0.19 | ) | — | — | (0.19 | ) | 12.60 | 26.02 | 1.37 | 1.37 | 1.42 | 28 | 10 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 8.63 | 0.17 | 1.46 | 1.63 | (0.11 | ) | — | — | (0.11 | ) | 10.15 | 19.00 | 1.38 | 1.24 | 1.78 | 25 | 3 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 10.50 | 0.16 | (1.88 | ) | (1.72 | ) | (0.15 | ) | — | — | (0.15 | ) | 8.63 | (16.42 | ) | 1.36 | 1.24 | 1.55 | 26 | 11 | |||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 12.11 | 0.15 | (0.30 | ) | (0.15 | ) | — | — | — | — | 11.96 | (1.24 | )4 | 0.85 | 5,6 | 0.84 | 5,6 | 2.96 | 5 | 55 | 6 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.57 | 0.18 | 0.59 | 0.77 | (0.23 | ) | — | — | (0.23 | ) | 12.11 | 6.68 | 1.17 | 1.17 | 1.43 | 53 | 17 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.60 | 0.18 | (1.03 | ) | (0.85 | ) | (0.18 | ) | — | — | (0.18 | ) | 11.57 | (6.85 | ) | 1.14 | 1.13 | 1.44 | 46 | 20 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.15 | 0.19 | 2.47 | 2.66 | (0.21 | ) | — | — | (0.21 | ) | 12.60 | 26.29 | 1.12 | 1.12 | 1.65 | 44 | 10 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 8.63 | 0.19 | 1.46 | 1.65 | (0.13 | ) | — | — | (0.13 | ) | 10.15 | 19.24 | 1.13 | 0.99 | 1.96 | 31 | 3 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 10.50 | 0.18 | (1.88 | ) | (1.70 | ) | (0.17 | ) | — | — | (0.17 | ) | 8.63 | (16.18 | ) | 1.11 | 0.99 | 1.78 | 35 | 11 | |||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.34%. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
International Value Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.33 | 0.18 | (0.07 | ) | 0.11 | — | — | — | — | 11.44 | 0.97 | 4 | 0.74 | 5,6 | 0.73 | 5,6 | 3.41 | 5 | 73 | 15 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.54 | 0.24 | (1.21 | ) | (0.97 | ) | (0.24 | ) | — | — | (0.24 | ) | 11.33 | (7.81 | ) | 0.92 | 0.91 | 1.87 | 77 | 16 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.78 | 0.42 | 7 | (2.24 | ) | (1.82 | ) | (0.42 | ) | — | — | (0.42 | ) | 12.54 | (12.51 | ) | 0.97 | 0.96 | 2.91 | 7 | 95 | 34 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.91 | 0.25 | 2.86 | 3.11 | (0.24 | ) | — | — | (0.24 | ) | 14.78 | 26.15 | 0.97 | 0.97 | 1.88 | 124 | 31 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.25 | 0.28 | 1.68 | 1.96 | (0.30 | ) | — | — | (0.30 | ) | 11.91 | 19.38 | 0.97 | 0.93 | 2.57 | 114 | 19 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.10 | 0.33 | (1.88 | ) | (1.55 | ) | (0.30 | ) | — | — | (0.30 | ) | 10.25 | (12.85 | ) | 0.97 | 0.93 | 2.76 | 116 | 32 | |||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.33 | 0.18 | (0.09 | ) | 0.09 | — | — | — | — | 11.42 | 0.79 | 4 | 0.94 | 5,6 | 0.93 | 5,6 | 3.20 | 5 | 56 | 15 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.52 | 0.21 | (1.20 | ) | (0.99 | ) | (0.20 | ) | — | — | (0.20 | ) | 11.33 | (7.95 | ) | 1.12 | 1.11 | 1.69 | 59 | 16 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.75 | 0.40 | 7 | (2.24 | ) | (1.84 | ) | (0.39 | ) | — | — | (0.39 | ) | 12.52 | (12.65 | ) | 1.17 | 1.16 | 2.74 | 7 | 74 | 34 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.89 | 0.22 | 2.85 | 3.07 | (0.21 | ) | — | — | (0.21 | ) | 14.75 | 25.89 | 1.17 | 1.17 | 1.69 | 102 | 31 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.24 | 0.26 | 1.67 | 1.93 | (0.28 | ) | — | — | (0.28 | ) | 11.89 | 19.07 | 1.17 | 1.13 | 2.38 | 98 | 19 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.08 | 0.31 | (1.88 | ) | (1.57 | ) | (0.27 | ) | — | — | (0.27 | ) | 10.24 | (12.99 | ) | 1.17 | 1.13 | 2.58 | 101 | 32 | |||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.25 | 0.18 | (0.07 | ) | 0.11 | — | — | — | — | 11.36 | 0.98 | 4 | 0.69 | 5,6 | 0.68 | 5,6 | 3.45 | 5 | 661 | 15 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.45 | 0.24 | (1.19 | ) | (0.95 | ) | (0.25 | ) | — | — | (0.25 | ) | 11.25 | (7.72 | ) | 0.87 | 0.86 | 1.93 | 685 | 16 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.68 | 0.43 | 7 | (2.24 | ) | (1.81 | ) | (0.42 | ) | — | — | (0.42 | ) | 12.45 | (12.48 | ) | 0.92 | 0.91 | 2.95 | 7 | 868 | 34 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.83 | 0.25 | 2.85 | 3.10 | (0.25 | ) | — | — | (0.25 | ) | 14.68 | 26.21 | 0.92 | 0.92 | 1.90 | 1,044 | 31 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.19 | 0.28 | 1.67 | 1.95 | (0.31 | ) | — | — | (0.31 | ) | 11.83 | 19.36 | 0.92 | 0.88 | 2.62 | 854 | 19 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.03 | 0.32 | (1.86 | ) | (1.54 | ) | (0.30 | ) | — | — | (0.30 | ) | 10.19 | (12.79 | ) | 0.92 | 0.88 | 2.71 | 744 | 32 | |||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.18%. 7. Net investment income per share and the percentage of average net assets reflect special dividends received by the portfolio, which amounted to $0.09 and 0.65% for all series, respectively. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Lifestyle Aggressive PS Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 12.33 | 0.01 | 4 | 0.23 | 0.24 | — | — | — | — | 12.57 | 1.95 | 5 | 0.47 | 6,7 | 0.22 | 6,7 | 0.12 | 4,7 | 3 | 2 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.78 | 0.24 | 4 | (0.44 | ) | (0.20 | ) | (0.22 | ) | (0.03 | ) | — | (0.25 | ) | 12.33 | (1.56 | ) | 0.45 | 6 | 0.22 | 6 | 1.89 | 4 | 3 | 20 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.74 | 0.23 | 4 | 0.47 | 0.70 | (0.23 | ) | (0.43 | ) | — | (0.66 | ) | 12.78 | 5.42 | 0.61 | 6 | 0.19 | 6 | 1.79 | 4 | 2 | 38 | |||||||||||||||||||||||||||||||||||||||||
12-31-20138 | 12.50 | 0.13 | 4 | 0.36 | 0.49 | (0.12 | ) | — | (0.13 | ) | (0.25 | ) | 12.74 | 3.91 | 5 | 79.52 | 7,6 | 0.22 | 7,6 | 1.02 | 4,5 | — | 9 | — | 10 | ||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 12.33 | — | 4 | 0.23 | 0.23 | — | — | — | — | 12.56 | 1.87 | 5 | 0.67 | 6,7 | 0.42 | 6,7 | (0.08 | )4,7 | 17 | 2 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.78 | 0.19 | 4 | (0.41 | ) | (0.22 | ) | (0.20 | ) | (0.03 | ) | — | (0.23 | ) | 12.33 | (1.75 | ) | 0.65 | 6 | 0.42 | 6 | 1.45 | 4 | 17 | 20 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.74 | 0.23 | 4 | 0.44 | 0.67 | (0.20 | ) | (0.43 | ) | — | (0.63 | ) | 12.78 | 5.21 | 0.81 | 6 | 0.39 | 6 | 1.77 | 4 | 19 | 38 | |||||||||||||||||||||||||||||||||||||||||
12-31-20138 | 12.50 | 0.12 | 4 | 0.36 | 0.48 | (0.11 | ) | — | (0.13 | ) | (0.24 | ) | 12.74 | 3.85 | 5 | 79.72 | 7,6 | 0.42 | 7,6 | 0.97 | 4,5 | — | 9 | — | 10 | ||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 12.33 | 0.01 | 4 | 0.24 | 0.25 | — | — | — | — | 12.58 | 2.03 | 5 | 0.42 | 6,7 | 0.17 | 6,7 | 0.17 | 4,7 | 1 | 2 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.78 | 0.24 | 4 | (0.43 | ) | (0.19 | ) | (0.23 | ) | (0.03 | ) | — | (0.26 | ) | 12.33 | (1.51 | ) | 0.40 | 6 | 0.17 | 6 | 1.89 | 4 | 1 | 20 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.74 | 0.42 | 4 | 0.28 | 0.70 | (0.23 | ) | (0.43 | ) | — | (0.66 | ) | 12.78 | 5.47 | 0.56 | 6 | 0.14 | 6 | 3.16 | 4 | 1 | 38 | |||||||||||||||||||||||||||||||||||||||||
12-31-20138 | 12.50 | 0.13 | 4 | 0.36 | 0.49 | (0.12 | ) | — | (0.13 | ) | (0.25 | ) | 12.74 | 3.92 | 5 | 79.47 | 7,6 | 0.17 | 7,6 | 1.02 | 4,5 | — | 9 | — | 10 | ||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Not annualized. 6. Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the portfolio. The range of expense ratios of the underlying funds held by the portfolio was as follows: 0.08%–0.59%, 0.09%–0.53%, 0.53%–0.53%, and 0.10%–0.50% for the periods ended 6-30-16, 12-31-15, 12-31-14 and 12-31-13, respectively. 7. Annualized. 8. Period from 11-1-13 (commencement of operations) to 12-31-13. 9. Less than $500,000. 10. Less than 1%. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Lifestyle Balanced PS Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 13.59 | (0.01 | )4 | 0.47 | 0.46 | — | — | — | — | 14.05 | 3.38 | 5 | 0.12 | 6,7 | 0.11 | 6,7 | (0.11 | )4,7 | 30 | 5 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 14.18 | 0.34 | 4 | (0.34 | ) | — | 8 | (0.33 | ) | (0.26 | ) | — | (0.59 | ) | 13.59 | 0.05 | 0.12 | 6 | 0.11 | 6 | 2.35 | 4 | 30 | 9 | |||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.95 | 0.42 | 4 �� | 0.41 | 0.83 | (0.34 | ) | (0.26 | ) | — | (0.60 | ) | 14.18 | 5.96 | 0.12 | 6 | 0.11 | 6 | 2.95 | 4 | 28 | 27 | |||||||||||||||||||||||||||||||||||||||||
12-31-20139 | 13.99 | 0.16 | 4 | 0.09 | 0.25 | (0.26 | ) | (0.03 | ) | — | (0.29 | ) | 13.95 | 1.77 | 5 | 0.14 | 6,7 | 0.12 | 6,7 | 1.12 | 4,5 | — | 10 | 37 | 11 | ||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 13.61 | (0.02 | )4 | 0.47 | 0.45 | — | — | — | — | 14.06 | 3.31 | 5 | 0.32 | 6,7 | 0.31 | 6,7 | (0.31 | )4,7 | 903 | 5 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 14.21 | 0.30 | 4 | (0.33 | ) | (0.03 | ) | (0.31 | ) | (0.26 | ) | — | (0.57 | ) | 13.61 | (0.22 | ) | 0.32 | 6 | 0.31 | 6 | 2.11 | 4 | 901 | 9 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.98 | 0.35 | 4 | 0.45 | 0.80 | (0.31 | ) | (0.26 | ) | — | (0.57 | ) | 14.21 | 5.74 | 0.32 | 6 | 0.31 | 6 | 2.48 | 4 | 932 | 27 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.92 | 0.25 | 4 | 1.38 | 1.63 | (0.23 | ) | (0.34 | ) | — | (0.57 | ) | 13.98 | 12.68 | 0.35 | 6 | 0.34 | 6 | 1.79 | 4 | 213 | 37 | |||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.80 | 0.13 | 4 | 1.11 | 1.24 | (0.10 | ) | (0.02 | ) | — | (0.12 | ) | 12.92 | 10.54 | 0.40 | 6,12 | 0.40 | 6 | 1.06 | 4 | 170 | 31 | |||||||||||||||||||||||||||||||||||||||||
12-31-201113 | 12.50 | 0.25 | 4 | (0.82 | )14 | (0.57 | ) | (0.08 | ) | (0.05 | ) | — | (0.13 | ) | 11.80 | (4.57 | )5 | 0.69 | 6,7 | 0.40 | 6,7 | 3.12 | 4,7 | 71 | 1 | ||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 13.58 | — | 4,8 | 0.46 | 0.46 | — | — | — | — | 14.04 | 3.39 | 5 | 0.07 | 6,7 | 0.06 | 6,7 | (0.06 | )4,7 | 52 | 5 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 14.17 | 0.39 | 4 | (0.38 | ) | 0.01 | (0.34 | ) | (0.26 | ) | — | (0.60 | ) | 13.58 | 0.10 | 0.07 | 6 | 0.06 | 6 | 2.76 | 4 | 44 | 9 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.95 | 0.47 | 4 | 0.36 | 0.83 | (0.35 | ) | (0.26 | ) | — | (0.61 | ) | 14.17 | 5.94 | 0.07 | 6 | 0.06 | 6 | 3.31 | 4 | 30 | 27 | |||||||||||||||||||||||||||||||||||||||||
12-31-20139 | 13.99 | 0.21 | 4 | 0.04 | 0.25 | (0.26 | ) | (0.03 | ) | — | (0.29 | ) | 13.95 | 1.82 | 5 | 0.10 | 6,7 | 0.08 | 6,7 | 1.49 | 4,5 | — | 10 | 37 | 11 | ||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Not annualized. 6. Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the portfolio. The range of expense ratios of the underlying funds held by the portfolio was as follows: 0.53%–0.59%, 0.53%–0.59%, 0.53%–0.59%, 0.50%–0.63%, 0.49%–1.10% and 0.73%–1.10% for the periods ended 6-30-16, 12-31-15, 12-31-14, 12-31-13, 12-31-12, and 12-31-11, respectively. 7. Annualized. 8. Less than $0.005 per share. 9. The inception date for Series I and Series NAV shares is 11-1-13. 10. Less than $500,000. 11. Portfolio turnover is shown for the period from 1-1-13 to 12-31-13. 12. Expense ratio has been revised to conform with current year presentation of expense recapture and net expense reductions. 13. Period from 4-29-11 (commencement of operations) to 12-31-11. 14. The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the portfolio. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Lifestyle Conservative PS Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 12.85 | (0.01 | )4 | 0.59 | 0.58 | — | — | — | — | 13.43 | 4.51 | 5 | 0.14 | 6,7 | 0.13 | 6,7 | (0.13 | )4,7 | 9 | 7 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.33 | 0.39 | 4 | (0.37 | ) | 0.02 | (0.36 | ) | (0.14 | ) | — | (0.50 | ) | 12.85 | 0.17 | 0.14 | 6 | 0.13 | 6 | 2.87 | 4 | 8 | 17 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.18 | 0.53 | 4 | 0.20 | 0.73 | (0.38 | ) | (0.20 | ) | — | (0.58 | ) | 13.33 | 5.55 | 0.15 | 6 | 0.13 | 6 | 3.96 | 4 | 8 | 56 | |||||||||||||||||||||||||||||||||||||||||
12-31-20138 | 13.48 | 0.23 | 4 | (0.20 | ) | 0.03 | (0.28 | ) | (0.05 | ) | — | (0.33 | ) | 13.18 | 0.20 | 5 | 0.27 | 6,7 | 0.12 | 6,7 | 1.74 | 4,5 | — | 9 | 22 | 10 | |||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 12.87 | (0.02 | )4 | 0.58 | 0.56 | — | — | — | — | 13.43 | 4.35 | 5 | 0.34 | 6,7 | 0.33 | 6,7 | (0.33 | )4,7 | 197 | 7 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.35 | 0.33 | 4 | (0.33 | ) | — | 11 | (0.34 | ) | (0.14 | ) | — | (0.48 | ) | 12.87 | (0.03 | ) | 0.34 | 6 | 0.33 | 6 | 2.44 | 4 | 181 | 17 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.19 | 0.40 | 4 | 0.31 | 0.71 | (0.35 | ) | (0.20 | ) | — | (0.55 | ) | 13.35 | 5.41 | 0.35 | 6 | 0.33 | 6 | 2.99 | 4 | 188 | 56 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.15 | 0.23 | 4 | 0.28 | 0.51 | (0.25 | ) | (0.22 | ) | — | (0.47 | ) | 13.19 | 3.86 | 0.43 | 6 | 0.38 | 6 | 1.75 | 4 | 50 | 22 | |||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.36 | 0.17 | 4 | 0.76 | 0.93 | (0.14 | ) | — | 11 | — | (0.14 | ) | 13.15 | 7.53 | 0.45 | 6 | 0.40 | 6 | 1.34 | 4 | 59 | 16 | |||||||||||||||||||||||||||||||||||||||||
12-31-201112 | 12.50 | 0.30 | 4 | (0.27 | )13 | 0.03 | (0.11 | ) | (0.06 | ) | — | (0.17 | ) | 12.36 | 0.27 | 5 | 1.11 | 6,7 | 0.40 | 6,7 | 3.53 | 4,5 | 29 | 4 | |||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 12.85 | (0.01 | )4 | 0.58 | 0.57 | — | — | — | — | 13.42 | 4.44 | 5 | 0.09 | 6,7 | 0.08 | 6,7 | (0.08 | )4,7 | 1 | 7 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.33 | 0.46 | 4 | (0.43 | ) | 0.03 | (0.37 | ) | (0.14 | ) | — | (0.51 | ) | 12.85 | 0.22 | 0.09 | 6 | 0.08 | 6 | 3.44 | 4 | 1 | 17 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.17 | 0.60 | 4 | 0.15 | 0.75 | (0.39 | ) | (0.20 | ) | — | (0.59 | ) | 13.33 | 5.68 | 0.10 | 6 | 0.08 | 6 | 4.44 | 4 | — | 9 | 56 | ||||||||||||||||||||||||||||||||||||||||
12-31-20138 | 13.48 | 0.23 | 4 | (0.21 | ) | 0.02 | (0.28 | ) | (0.05 | ) | — | (0.33 | ) | 13.17 | 0.18 | 5 | 0.22 | 6,7 | 0.08 | 6,7 | 1.74 | 4,5 | — | 9 | 22 | 10 | |||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Not annualized. 6. Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the portfolio. The range of expense ratios of the underlying funds held by the portfolio was as follows: 0.53%–0.59%, 0.53%–0.59%, 0.53%–0.59%, 0.50%–0.63%, 0.49%–1.10%, and 0.73%–1.10% for the periods ended 6-30-16, 12-31-15, 12-31-14, 12-31-13, 12-31-12 and 12-31-11, respectively. 7. Annualized. 8. The inception date for Series I and Series NAV shares is 11-1-13. 9. Less than $500,000. 10. Portfolio turnover is shown for the period from 1-1-13 to 12-31-13. 11. Less than $0.005 per share. 12. Period from 4-29-11 (commencement of operations) to 12-31-11. 13. The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the portfolio. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Lifestyle Growth PS Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 14.23 | (0.01 | )4 | 0.39 | 0.38 | — | — | — | — | 14.61 | 2.67 | 5 | 0.11 | 6,7 | 0.11 | 6,7 | (0.11 | )4,7 | 43 | 6 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 14.85 | 0.32 | 4 | (0.34 | ) | (0.02 | ) | (0.32 | ) | (0.28 | ) | — | (0.60 | ) | 14.23 | (0.12 | ) | 0.11 | 6 | 0.11 | 6 | 2.11 | 4 | 39 | 9 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.51 | 0.39 | 4 | 0.51 | 0.90 | (0.32 | ) | (0.24 | ) | — | (0.56 | ) | 14.85 | 6.17 | 0.11 | 6 | 0.11 | 6 | 2.61 | 4 | 37 | 18 | |||||||||||||||||||||||||||||||||||||||||
12-31-20138 | 14.31 | 0.02 | 4 | 0.39 | 9 | 0.41 | (0.19 | ) | (0.02 | ) | — | (0.21 | ) | 14.51 | 2.88 | 5 | 0.14 | 6,7 | 0.12 | 6,7 | 0.11 | 4,5 | 4 | 46 | 10 | ||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 14.25 | (0.02 | )4 | 0.39 | 0.37 | — | — | — | — | 14.62 | 2.60 | 5 | 0.31 | 6,7 | 0.31 | 6,7 | (0.31 | )4,7 | 1,863 | 6 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 14.86 | 0.29 | 4 | (0.33 | ) | (0.04 | ) | (0.29 | ) | (0.28 | ) | — | (0.57 | ) | 14.25 | (0.25 | ) | 0.31 | 6 | 0.31 | 6 | 1.93 | 4 | 1,904 | 9 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.53 | 0.34 | 4 | 0.52 | 0.86 | (0.29 | ) | (0.24 | ) | — | (0.53 | ) | 14.86 | 5.88 | 0.31 | 6 | 0.31 | 6 | 2.31 | 4 | 1,873 | 18 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.75 | 0.23 | 4 | 2.16 | 2.39 | (0.17 | ) | (0.44 | ) | — | (0.61 | ) | 14.53 | 18.86 | 0.34 | 6 | 0.34 | 6 | 1.65 | 4 | 297 | 46 | |||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.44 | 0.09 | 4 | 1.33 | 1.42 | (0.08 | ) | (0.03 | ) | — | (0.11 | ) | 12.75 | 12.45 | 0.39 | 6,11 | 0.39 | 6 | 0.75 | 4 | 175 | 45 | 12 | ||||||||||||||||||||||||||||||||||||||||
12-31-201113 | 12.50 | 0.19 | 4 | (1.15 | )9 | (0.96 | ) | (0.07 | ) | (0.03 | ) | — | (0.10 | ) | 11.44 | (7.66 | )5 | 0.58 | 6,7 | 0.40 | 6,7 | 2.46 | 4,7 | 94 | 8 | ||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 14.23 | — | 4,14 | 0.38 | 0.38 | — | — | — | — | 14.61 | 2.67 | 5 | 0.06 | 6,7 | 0.06 | 6,7 | (0.06 | )4,7 | 40 | 6 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 14.84 | 0.43 | 4 | (0.43 | ) | — | 14 | (0.33 | ) | (0.28 | ) | — | (0.61 | ) | 14.23 | — | 15 | 0.06 | 6 | 0.06 | 6 | 2.93 | 4 | 30 | 9 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.50 | 0.75 | 4 | 0.16 | 0.91 | (0.33 | ) | (0.24 | ) | — | (0.57 | ) | 14.84 | 6.22 | 0.06 | 6 | 0.06 | 6 | 5.02 | 4 | 12 | 18 | |||||||||||||||||||||||||||||||||||||||||
12-31-20138 | 14.31 | 0.19 | 4 | 0.22 | 9 | 0.41 | (0.20 | ) | (0.02 | ) | — | (0.22 | ) | 14.50 | 2.86 | 5 | 0.09 | 6,7 | 0.08 | 6,7 | 1.33 | 4,5 | — | 16 | 46 | 10 | |||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 5. Not annualized. 6. Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the portfolio. The range of expense ratios of the underlying funds held by the portfolio was as follows: 0.53%–0.59%, 0.53%–0.59%, 0.53%–0.59%, 0.50%–0.63%, 0.49%–1.10% and 0.73%–1.10% for the periods ended 6-30-16, 12-31-15, 12-31-14, 2-31-13, 12-31-12 and 12-31-11, respectively. 7. Annualized. 8. The inception date for Series I and Series NAV shares is 11-1-13. 9. The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the portfolio. 10. Portfolio turnover is shown for the period from 1-1-13 to 12-31-13. 11. Expense ratio has been revised to conform with current year presentation of expense recapture and net expense reductions. 12. Increase in the portfolio turnover is directly attributed to in-kind transactions that are related to the reorganization of the underlying funds held by the portfolio. 13. Period from 4-29-11 (commencement of operations) to 12-31-11. 14. Less than $0.005 per share. 15. Less than 0.005%. 16. Less than $500,000. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Lifestyle Moderate PS Series | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 13.37 | (0.01 | )6 | 0.51 | 0.50 | — | — | — | — | 13.87 | 3.74 | 4 | 0.13 | 5,8 | 0.12 | 5,8 | (0.12 | )6,5 | 10 | 9 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.95 | 0.35 | 6 | (0.34 | ) | 0.01 | (0.34 | ) | (0.25 | ) | — | (0.59 | ) | 13.37 | 0.10 | 0.13 | 8 | 0.12 | 8 | 2.47 | 6 | 9 | 11 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.82 | 0.43 | 6 | 0.38 | 0.81 | (0.36 | ) | (0.32 | ) | — | (0.68 | ) | 13.95 | 5.91 | 0.13 | 8 | 0.13 | 8 | 3.03 | 6 | 8 | 38 | |||||||||||||||||||||||||||||||||||||||||
12-31-20137 | 13.95 | 0.18 | 6 | (0.01 | ) | 0.17 | (0.26 | ) | (0.04 | ) | — | (0.30 | ) | 13.82 | 1.23 | 4 | 0.21 | 5,8 | 0.12 | 5,8 | 1.34 | 6,5 | — | 9 | 36 | 10 | |||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 13.39 | (0.02 | )6 | 0.51 | 0.49 | — | — | — | — | 13.88 | 3.66 | 4 | 0.33 | 5,8 | 0.32 | 5,8 | (0.32 | )6,5 | 310 | 9 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.97 | 0.30 | 6 | (0.32 | ) | (0.02 | ) | (0.31 | ) | (0.25 | ) | — | (0.56 | ) | 13.39 | (0.10 | ) | 0.33 | 8 | 0.32 | 8 | 2.17 | 6 | 304 | 11 | ||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.85 | 0.37 | 6 | 0.40 | 0.77 | (0.33 | ) | (0.32 | ) | — | (0.65 | ) | 13.97 | 5.61 | 0.33 | 8 | 0.33 | 8 | 2.64 | 6 | 323 | 38 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.06 | 0.24 | 6 | 1.08 | 1.32 | (0.24 | ) | (0.29 | ) | — | (0.53 | ) | 13.85 | 10.12 | 0.40 | 8 | 0.38 | 8 | 1.75 | 6 | 92 | 36 | |||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.04 | 0.15 | 6 | 1.00 | 1.15 | (0.12 | ) | (0.01 | ) | — | (0.13 | ) | 13.06 | 9.55 | 0.42 | 8 | 0.40 | 8 | 1.21 | 6 | 84 | 25 | |||||||||||||||||||||||||||||||||||||||||
12-31-201112 | 12.50 | 0.25 | 6 | (0.57 | )13 | (0.32 | ) | (0.09 | ) | (0.05 | ) | — | (0.14 | ) | 12.04 | (2.54 | )4 | 0.97 | 5,8 | 0.40 | 5,8 | 3.03 | 6,5 | 36 | — | 14 | |||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 13.36 | — | 6 | 0.51 | 0.51 | — | — | — | — | 13.87 | 3.82 | 4 | 0.08 | 5,8 | 0.07 | 5,8 | (0.07 | )6,5 | 10 | 9 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.94 | 0.47 | 6 | (0.45 | ) | 0.02 | (0.35 | ) | (0.25 | ) | — | (0.60 | ) | 13.36 | 0.15 | 0.08 | 8 | 0.07 | 8 | 3.36 | 6 | 8 | 11 | ||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.82 | 0.83 | 6 | (0.02 | ) | 0.81 | (0.37 | ) | (0.32 | ) | — | (0.69 | ) | 13.94 | 5.88 | 0.08 | 8 | 0.08 | 8 | 5.89 | 6 | 3 | 38 | ||||||||||||||||||||||||||||||||||||||||
12-31-20137 | 13.95 | 0.22 | 6 | (0.04 | ) | 0.18 | (0.27 | ) | (0.04 | ) | — | (0.31 | ) | 13.82 | 1.28 | 4 | 0.16 | 5,8 | 0.08 | 5,8 | 1.60 | 6,5 | — | 9 | 36 | 10 | |||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 7. The inception date for Series I and Series NAV shares is 11-1-13. 8. Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the portfolio. The range of expense ratios of the underlying funds held by the portfolio was as follows: 0.53%–0.59%, 0.53%–0.59%, 0.53%–0.59%, 0.50%–0.63%, 0.49%–1.10%, and 0.73%–1.10% for the periods ended 6-30-16, 12-31-15, 12-31-14, 12-31-13, 12-31-12, and 12-31-11, respectively. 9. Less than $500,000. 10. Portfolio turnover is shown for the period from 1-1-13 to 12-31-13. 11. Expense ratio has been revised to conform with current year presentation of expense recapture and net expense reductions. 12. Period from 4-29-11 (commencement of operations) to 12-31-11. 13. The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the portfolio. 14. Less than 1%. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mid Cap Index Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 19.66 | 0.12 | 1.37 | 1.49 | — | — | — | — | 21.15 | 7.63 | 4 | 0.56 | 5 | 0.45 | 5 | 1.25 | 5 | 716 | 15 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 22.29 | 0.24 | (0.83 | ) | (0.59 | ) | (0.22 | ) | (1.82 | ) | — | (2.04 | ) | 19.66 | (2.59 | ) | 0.56 | 0.45 | 1.10 | 661 | 23 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 21.82 | 0.23 | 1.79 | 2.02 | (0.22 | ) | (1.33 | ) | — | (1.55 | ) | 22.29 | 9.35 | 0.56 | 0.46 | 1.05 | 679 | 14 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 17.45 | 0.21 | 5.50 | 5.71 | (0.22 | ) | (1.12 | ) | — | (1.34 | ) | 21.82 | 33.03 | 0.55 | 0.45 | 1.02 | 657 | 14 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.75 | 0.16 | 2.65 | 2.81 | (0.25 | ) | (1.86 | ) | — | (2.11 | ) | 17.45 | 17.48 | 0.55 | 0.49 | 0.91 | 453 | 8 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 17.74 | 0.17 | (0.60 | ) | (0.43 | ) | (0.12 | ) | (0.44 | ) | — | (0.56 | ) | 16.75 | (2.25 | ) | 0.54 | 0.54 | 0.98 | 413 | 13 | ||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 19.58 | 0.10 | 1.38 | 1.48 | — | — | — | — | 21.06 | 7.56 | 4 | 0.76 | 5 | 0.65 | 5 | 1.05 | 5 | 64 | 15 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 22.22 | 0.20 | (0.84 | ) | (0.64 | ) | (0.18 | ) | (1.82 | ) | — | (2.00 | ) | 19.58 | (2.80 | ) | 0.76 | 0.65 | 0.89 | 63 | 23 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 21.76 | 0.19 | 1.77 | 1.96 | (0.17 | ) | (1.33 | ) | — | (1.50 | ) | 22.22 | 9.12 | 0.76 | 0.66 | 0.84 | 71 | 14 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 17.41 | 0.16 | 5.49 | 5.65 | (0.18 | ) | (1.12 | ) | — | (1.30 | ) | 21.76 | 32.76 | 0.75 | 0.65 | 0.81 | 82 | 14 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.71 | 0.12 | 2.66 | 2.78 | (0.22 | ) | (1.86 | ) | — | (2.08 | ) | 17.41 | 17.30 | 0.75 | 0.70 | 0.69 | 74 | 8 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 17.70 | 0.14 | (0.61 | ) | (0.47 | ) | (0.08 | ) | (0.44 | ) | — | (0.52 | ) | 16.71 | (2.46 | ) | 0.74 | 0.74 | 0.77 | 78 | 13 | ||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 19.65 | 0.13 | 1.37 | 1.50 | — | — | — | — | 21.15 | 7.63 | 4 | 0.51 | 5 | 0.40 | 5 | 1.30 | 5 | 112 | 15 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 22.29 | 0.25 | (0.84 | ) | (0.59 | ) | (0.23 | ) | (1.82 | ) | — | (2.05 | ) | 19.65 | (2.54 | ) | 0.51 | 0.40 | 1.15 | 105 | 23 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 21.82 | 0.25 | 1.78 | 2.03 | (0.23 | ) | (1.33 | ) | — | (1.56 | ) | 22.29 | 9.40 | 0.51 | 0.41 | 1.11 | 106 | 14 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 17.45 | 0.22 | 5.50 | 5.72 | (0.23 | ) | (1.12 | ) | — | (1.35 | ) | 21.82 | 33.09 | 0.50 | 0.40 | 1.06 | 88 | 14 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.75 | 0.12 | 2.70 | 2.82 | (0.26 | ) | (1.86 | ) | — | (2.12 | ) | 17.45 | 17.54 | 0.50 | 0.47 | 0.66 | 59 | 8 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 17.73 | 0.18 | (0.59 | ) | (0.41 | ) | (0.13 | ) | (0.44 | ) | — | (0.57 | ) | 16.75 | (2.14 | ) | 0.49 | 0.49 | 1.03 | 624 | 13 | ||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Mid Cap Stock Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 15.17 | — | (0.39 | ) | (0.39 | ) | — | — | — | — | 14.78 | (2.57 | )4 | 0.90 | 5,6 | 0.89 | 5,6 | (0.09 | )5 | 154 | 36 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 18.61 | (0.05 | ) | 0.55 | 0.50 | — | (3.94 | ) | — | (3.94 | ) | 15.17 | 3.00 | 0.92 | 0.91 | (0.28 | ) | 170 | 78 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 21.07 | (0.08 | ) | 1.68 | 1.60 | (0.02 | ) | (4.04 | ) | — | (4.06 | ) | 18.61 | 8.02 | 0.92 | 0.91 | (0.37 | ) | 188 | 103 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.68 | (0.05 | ) | 5.80 | 5.75 | (0.01 | ) | (0.35 | ) | — | (0.36 | ) | 21.07 | 36.82 | 0.92 | 0.92 | (0.27 | ) | 207 | 116 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.83 | — | 2.85 | 2.85 | — | — | — | — | 15.68 | 22.21 | 0.93 | 0.92 | 0.01 | 178 | 115 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 14.13 | (0.05 | ) | (1.25 | ) | (1.30 | ) | — | — | — | — | 12.83 | (9.20 | ) | 0.93 | 0.93 | (0.35 | ) | 175 | 107 | |||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 14.49 | (0.02 | ) | (0.37 | ) | (0.39 | ) | — | — | — | — | 14.10 | (2.69 | )4 | 1.10 | 5,6 | 1.09 | 5,6 | (0.29 | )5 | 78 | 36 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 17.99 | (0.08 | ) | 0.52 | 0.44 | — | (3.94 | ) | — | (3.94 | ) | 14.49 | 2.75 | 1.12 | 1.11 | (0.48 | ) | 91 | 78 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 20.51 | (0.11 | ) | 1.63 | 1.52 | — | (4.04 | ) | — | (4.04 | ) | 17.99 | 7.82 | 1.12 | 1.11 | (0.58 | ) | 99 | 103 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.30 | (0.08 | ) | 5.64 | 5.56 | — | (0.35 | ) | — | (0.35 | ) | 20.51 | 36.51 | 1.12 | 1.12 | (0.47 | ) | 121 | 116 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.54 | (0.03 | ) | 2.79 | 2.76 | — | — | — | — | 15.30 | 22.01 | 1.13 | 1.12 | (0.19 | ) | 108 | 115 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 13.84 | (0.08 | ) | (1.22 | ) | (1.30 | ) | — | — | — | — | 12.54 | (9.39 | ) | 1.13 | 1.13 | (0.55 | ) | 105 | 107 | |||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 15.32 | — | (0.40 | ) | (0.40 | ) | — | — | — | — | 14.92 | (2.61 | )4 | 0.85 | 5,6 | 0.84 | 5,6 | (0.03 | )5 | 477 | 36 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 18.75 | (0.04 | ) | 0.55 | 0.51 | — | (3.94 | ) | — | (3.94 | ) | 15.32 | 3.04 | 0.87 | 0.86 | (0.23 | ) | 506 | 78 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 21.19 | (0.07 | ) | 1.70 | 1.63 | (0.03 | ) | (4.04 | ) | — | (4.07 | ) | 18.75 | 8.12 | 0.87 | 0.86 | (0.32 | ) | 562 | 103 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 15.77 | (0.04 | ) | 5.82 | 5.78 | (0.01 | ) | (0.35 | ) | — | (0.36 | ) | 21.19 | 36.84 | 0.87 | 0.87 | (0.23 | ) | 615 | 116 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.90 | 0.01 | 2.86 | 2.87 | — | — | — | — | 15.77 | 22.25 | 0.88 | 0.87 | 0.07 | 456 | 115 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 14.19 | (0.04 | ) | (1.25 | ) | (1.29 | ) | — | — | — | — | 12.90 | (9.09 | ) | 0.88 | 0.88 | (0.30 | ) | 414 | 107 | |||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.03%. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mid Value Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 10.72 | 0.08 | 1.09 | 1.17 | — | — | — | — | 11.89 | 10.91 | 4 | 1.01 | 5,6 | 0.96 | 5,6 | 1.47 | 5 | 298 | 32 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.96 | 0.13 | (0.68 | ) | (0.55 | ) | (0.14 | ) | (2.55 | ) | — | (2.69 | ) | 10.72 | (3.43 | ) | 1.04 | 0.98 | 0.99 | 276 | 93 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.99 | 0.11 | 1.37 | 1.48 | (0.10 | ) | (1.41 | ) | — | (1.51 | ) | 13.96 | 10.60 | 1.04 | 0.98 | 0.77 | 347 | 32 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.49 | 0.09 | 3.47 | 3.56 | (0.13 | ) | (0.93 | ) | — | (1.06 | ) | 13.99 | 31.39 | 1.04 | 0.99 | 0.67 | 347 | 37 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.50 | 0.14 | 1.85 | 1.99 | (0.10 | ) | (0.90 | ) | — | (1.00 | ) | 11.49 | 19.42 | 1.04 | 0.99 | 1.21 | 284 | 38 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.12 | 0.11 | (0.65 | ) | (0.54 | ) | (0.08 | ) | — | — | (0.08 | ) | 10.50 | (4.83 | ) | 1.04 | 1.00 | 0.96 | 271 | 54 | |||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 10.73 | 0.07 | 1.09 | 1.16 | — | — | — | — | 11.89 | 10.81 | 4 | 1.21 | 5,6 | 1.16 | 5,6 | 1.27 | 5 | 64 | 32 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.97 | 0.10 | (0.67 | ) | (0.57 | ) | (0.12 | ) | (2.55 | ) | — | (2.67 | ) | 10.73 | (3.64 | ) | 1.24 | 1.18 | 0.79 | 59 | 93 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.00 | 0.08 | 1.38 | 1.46 | (0.08 | ) | (1.41 | ) | — | (1.49 | ) | 13.97 | 10.39 | 1.24 | 1.18 | 0.57 | 76 | 32 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.50 | 0.06 | 3.48 | 3.54 | (0.11 | ) | (0.93 | ) | — | (1.04 | ) | 14.00 | 31.14 | 1.24 | 1.19 | 0.47 | 86 | 37 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.50 | 0.11 | 1.86 | 1.97 | (0.07 | ) | (0.90 | ) | — | (0.97 | ) | 11.50 | 19.29 | 1.24 | 1.19 | 0.99 | 80 | 38 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.12 | 0.08 | (0.64 | ) | (0.56 | ) | (0.06 | ) | — | — | (0.06 | ) | 10.50 | (5.04 | ) | 1.24 | 1.20 | 0.74 | 83 | 54 | |||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 10.67 | 0.08 | 1.09 | 1.17 | — | — | — | — | 11.84 | 10.97 | 4 | 0.96 | 5,6 | 0.91 | 5,6 | 1.52 | 5 | 402 | 32 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.91 | 0.13 | (0.67 | ) | (0.54 | ) | (0.15 | ) | (2.55 | ) | — | (2.70 | ) | 10.67 | (3.40 | ) | 0.99 | 0.93 | 1.04 | 408 | 93 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.94 | 0.12 | 1.37 | 1.49 | (0.11 | ) | (1.41 | ) | — | (1.52 | ) | 13.91 | 10.70 | 0.99 | 0.93 | 0.82 | 481 | 32 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 11.45 | 0.09 | 3.47 | 3.56 | (0.14 | ) | (0.93 | ) | — | (1.07 | ) | 13.94 | 31.47 | 0.99 | 0.94 | 0.72 | 532 | 37 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.47 | 0.14 | 1.84 | 1.98 | (0.10 | ) | (0.90 | ) | — | (1.00 | ) | 11.45 | 19.43 | 0.99 | 0.94 | 1.26 | 387 | 38 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.08 | 0.11 | (0.63 | ) | (0.52 | ) | (0.09 | ) | — | — | (0.09 | ) | 10.47 | (4.71 | ) | 0.99 | 0.95 | �� | 1.02 | 370 | 54 | ||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.02%. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Mutual Shares Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.76 | 0.17 | 0.35 | 0.52 | — | — | — | — | 12.28 | 4.42 | 4 | 1.05 | 5 | 1.04 | 5 | 2.97 | 5 | 170 | 10 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 14.02 | 0.24 | (0.90 | ) | (0.66 | ) | (0.29 | ) | (1.31 | ) | — | (1.60 | ) | 11.76 | (4.68 | ) | 1.06 | 1.05 | 1.74 | 172 | 22 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.75 | 0.37 | 6 | 0.63 | 1.00 | (0.47 | ) | (0.26 | ) | — | (0.73 | ) | 14.02 | 7.21 | 1.03 | 1.03 | 2.62 | 6 | 200 | 19 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.86 | 0.20 | 2.87 | 3.07 | (0.18 | ) | — | — | (0.18 | ) | 13.75 | 28.32 | 1.03 | 1.02 | 1.63 | 220 | 27 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.65 | 0.18 | 1.18 | 1.36 | (0.15 | ) | — | — | (0.15 | ) | 10.86 | 14.13 | 1.06 | 1.05 | 1.73 | 203 | 28 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 9.84 | 0.18 | (0.28 | ) | (0.10 | ) | (0.09 | ) | — | — | (0.09 | ) | 9.65 | (0.94 | ) | 1.08 | 1.08 | 1.84 | 190 | 38 | |||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.76 | 0.17 | 0.35 | 0.52 | — | — | — | — | 12.28 | 4.42 | 4 | 1.00 | 5 | 0.99 | 5 | 3.01 | 5 | 346 | 10 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 14.02 | 0.24 | (0.90 | ) | (0.66 | ) | (0.29 | ) | (1.31 | ) | — | (1.60 | ) | 11.76 | (4.63 | ) | 1.01 | 1.00 | 1.79 | 350 | 22 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.74 | 0.38 | 6 | 0.64 | 1.02 | (0.48 | ) | (0.26 | ) | — | (0.74 | ) | 14.02 | 7.34 | 0.98 | 0.98 | 2.66 | 6 | 419 | 19 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.85 | 0.21 | 2.87 | 3.08 | (0.19 | ) | — | — | (0.19 | ) | 13.74 | 28.40 | 0.98 | 0.97 | 1.69 | 475 | 27 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.65 | 0.18 | 1.17 | 1.35 | (0.15 | ) | — | — | (0.15 | ) | 10.85 | 14.08 | 1.01 | 1.00 | 1.78 | 426 | 28 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 9.84 | 0.19 | (0.28 | ) | (0.09 | ) | (0.10 | ) | — | — | (0.10 | ) | 9.65 | (0.89 | ) | 1.03 | 1.03 | 1.89 | 415 | 38 | |||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Net investment income per share and the percentage of average net assets reflect special dividends received by the portfolio, which amounted to $0.10 and 0.74% for all series, respectively. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Real Estate Securities Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 18.08 | 0.45 | 1.90 | 2.35 | — | — | — | — | 20.43 | 13.06 | 4 | 0.74 | 5,6 | 0.73 | 5,6 | 5.01 | 5 | 94 | 71 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 17.95 | 0.36 | 0.11 | 0.47 | (0.34 | ) | — | — | (0.34 | ) | 18.08 | 2.68 | 0.79 | 0.79 | 2.02 | 90 | 152 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.84 | 0.30 | 4.08 | 4.38 | (0.27 | ) | — | — | (0.27 | ) | 17.95 | 31.73 | 0.79 | 0.79 | 1.88 | 104 | 131 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 14.13 | 0.30 | (0.31 | ) | (0.01 | ) | (0.28 | ) | — | — | (0.28 | ) | 13.84 | (0.10 | ) | 0.80 | 0.79 | 2.02 | 83 | 104 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.26 | 0.21 | 1.90 | 2.11 | (0.24 | ) | — | — | (0.24 | ) | 14.13 | 17.26 | 0.79 | 0.79 | 1.58 | 95 | 99 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.37 | 0.14 | 0.93 | 1.07 | (0.18 | ) | — | — | (0.18 | ) | 12.26 | 9.46 | 0.79 | 0.79 | 1.17 | 97 | 86 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 18.11 | 0.44 | 1.89 | 2.33 | — | — | — | — | 20.44 | 12.93 | 4 | 0.94 | 5,6 | 0.93 | 5,6 | 4.79 | 5 | 59 | 71 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 17.97 | 0.32 | 0.13 | 0.45 | (0.31 | ) | — | — | (0.31 | ) | 18.11 | 2.46 | 0.99 | 0.99 | 1.80 | 55 | 152 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.86 | 0.27 | 4.08 | 4.35 | (0.24 | ) | — | — | (0.24 | ) | 17.97 | 31.52 | 0.99 | 0.99 | 1.65 | 66 | 131 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 14.16 | 0.27 | (0.32 | ) | (0.05 | ) | (0.25 | ) | — | — | (0.25 | ) | 13.86 | (0.38 | ) | 1.00 | 0.99 | 1.80 | 58 | 104 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.28 | 0.19 | 1.90 | 2.09 | (0.21 | ) | — | — | (0.21 | ) | 14.16 | 17.09 | 0.99 | 0.99 | 1.37 | 72 | 99 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.39 | 0.12 | 0.93 | 1.05 | (0.16 | ) | — | — | (0.16 | ) | 12.28 | 9.24 | 0.99 | 0.99 | 0.97 | 74 | 86 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 17.97 | 0.46 | 1.88 | 2.34 | — | — | — | — | 20.31 | 13.02 | 4 | 0.69 | 5,6 | 0.68 | 5,6 | 5.05 | 5 | 293 | 71 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 17.84 | 0.38 | 0.10 | 0.48 | (0.35 | ) | — | — | (0.35 | ) | 17.97 | 2.80 | 0.74 | 0.74 | 2.12 | 271 | 152 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.76 | 0.31 | 4.05 | 4.36 | (0.28 | ) | — | — | (0.28 | ) | 17.84 | 31.75 | 0.74 | 0.74 | 1.93 | 283 | 131 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 14.05 | 0.31 | (0.31 | ) | — | 7 | (0.29 | ) | — | — | (0.29 | ) | 13.76 | (0.05 | ) | 0.75 | 0.74 | 2.10 | 224 | 104 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.19 | 0.22 | 1.88 | 2.10 | (0.24 | ) | — | — | (0.24 | ) | 14.05 | 17.33 | 0.74 | 0.74 | 1.65 | 231 | 99 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.30 | 0.15 | 0.93 | 1.08 | (0.19 | ) | — | — | (0.19 | ) | 12.19 | 9.58 | 0.74 | 0.74 | 1.24 | 214 | 86 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.05%. 7. Less than $0.005 per share. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Science & Technology Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 23.78 | 0.05 | 0.02 | 0.07 | — | — | — | — | 23.85 | 0.25 | 4 | 1.11 | 5,6 | 1.06 | 5,6 | 0.40 | 5 | 416 | 55 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 27.08 | (0.08 | ) | 1.43 | 1.35 | — | (4.65 | ) | — | (4.65 | ) | 23.78 | 6.69 | 1.12 | 1.07 | (0.32 | ) | 437 | 118 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 24.73 | (0.07 | ) | 3.25 | 3.18 | — | (0.83 | ) | — | (0.83 | ) | 27.08 | 12.89 | 1.11 | 1.07 | (0.29 | ) | 420 | 100 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 17.23 | (0.03 | ) | 7.53 | 7.50 | — | — | — | — | 24.73 | 43.53 | 1.13 | 1.10 | (0.15 | ) | 375 | 105 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 15.60 | (0.03 | ) | 1.66 | 1.63 | — | — | — | — | 17.23 | 10.45 | 1.16 | 1.13 | (0.16 | ) | 282 | 89 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 16.91 | (0.05 | ) | (1.26 | ) | (1.31 | ) | — | — | — | — | 15.60 | (7.75 | ) | 1.16 | 1.13 | (0.30 | ) | 299 | 115 | |||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 23.09 | 0.02 | 0.02 | 0.04 | — | — | — | — | 23.13 | 0.13 | 4 | 1.31 | 5,6 | 1.26 | 5,6 | 0.19 | 5 | 41 | 55 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 26.48 | (0.13 | ) | 1.39 | 1.26 | — | (4.65 | ) | — | (4.65 | ) | 23.09 | 6.49 | 1.32 | 1.27 | (0.52 | ) | 45 | 118 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 24.24 | (0.12 | ) | 3.19 | 3.07 | — | (0.83 | ) | — | (0.83 | ) | 26.48 | 12.70 | 1.31 | 1.27 | (0.49 | ) | 48 | 100 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 16.92 | (0.07 | ) | 7.39 | 7.32 | — | — | — | — | 24.24 | 43.26 | 1.33 | 1.30 | (0.35 | ) | 49 | 105 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 15.35 | (0.06 | ) | 1.63 | 1.57 | — | — | — | — | 16.92 | 10.23 | 1.36 | 1.33 | (0.37 | ) | 41 | 89 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 16.68 | (0.09 | ) | (1.24 | ) | (1.33 | ) | — | — | — | — | 15.35 | (7.97 | ) | 1.36 | 1.33 | (0.51 | ) | 45 | 115 | |||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 23.96 | 0.05 | 0.02 | 0.07 | — | — | — | — | 24.03 | 0.25 | 4 | 1.06 | 5,6 | 1.01 | 5,6 | 0.46 | 5 | 30 | 55 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 27.23 | (0.07 | ) | 1.45 | 1.38 | — | (4.65 | ) | — | (4.65 | ) | 23.96 | 6.77 | 1.07 | 1.02 | (0.27 | ) | 29 | 118 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 24.85 | (0.06 | ) | 3.27 | 3.21 | — | (0.83 | ) | — | (0.83 | ) | 27.23 | 12.95 | 1.06 | 1.02 | (0.24 | ) | 23 | 100 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 17.31 | (0.02 | ) | 7.56 | 7.54 | — | — | — | — | 24.85 | 43.56 | 1.08 | 1.05 | (0.10 | ) | 19 | 105 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 15.66 | (0.03 | ) | 1.68 | 1.65 | — | — | — | — | 17.31 | 10.54 | 1.11 | 1.08 | (0.15 | ) | 13 | 89 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 16.97 | (0.04 | ) | (1.27 | ) | (1.31 | ) | — | — | — | — | 15.66 | (7.72 | ) | 1.11 | 1.08 | (0.25 | ) | 10 | 115 | |||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.01%. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Small Cap Growth Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 8.61 | (0.01 | ) | (0.54 | ) | (0.55 | ) | — | — | — | — | 8.06 | (6.27 | )4 | 1.09 | 5,6 | 1.08 | 5,6 | (0.39 | )5 | 83 | 51 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.68 | (0.05 | ) | (0.87 | ) | (0.92 | ) | — | (2.15 | ) | — | (2.15 | ) | 8.61 | (8.85 | ) | 1.14 | 1.13 | (0.46 | ) | 96 | 87 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.82 | (0.10 | ) | 1.00 | 0.90 | — | (2.04 | ) | — | (2.04 | ) | 11.68 | 7.57 | 1.14 | 1.13 | (0.81 | ) | 117 | 83 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 9.29 | (0.08 | ) | 4.13 | 4.05 | — | (0.52 | ) | — | (0.52 | ) | 12.82 | 44.08 | 1.15 | 1.15 | (0.71 | ) | 128 | 114 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.18 | (0.03 | ) | 1.51 | 1.48 | — | (1.37 | ) | — | (1.37 | ) | 9.29 | 16.47 | 1.16 | 1.15 | (0.31 | ) | 83 | 132 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 10.12 | (0.06 | ) | (0.63 | ) | (0.69 | ) | — | (0.25 | ) | — | (0.25 | ) | 9.18 | (6.81 | ) | 1.16 | 1.15 | (0.62 | ) | 83 | 136 | |||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 8.27 | (0.02 | ) | (0.51 | ) | (0.53 | ) | — | — | — | — | 7.74 | (6.41 | )4 | 1.29 | 5,6 | 1.28 | 5,6 | (0.59 | )5 | 27 | 51 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.33 | (0.07 | ) | (0.84 | ) | (0.91 | ) | — | (2.15 | ) | — | (2.15 | ) | 8.27 | (9.06 | ) | 1.34 | 1.33 | (0.66 | ) | 32 | 87 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.52 | (0.12 | ) | 0.97 | 0.85 | — | (2.04 | ) | — | (2.04 | ) | 11.33 | 7.34 | 1.34 | 1.33 | (1.01 | ) | 35 | 83 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 9.10 | (0.10 | ) | 4.04 | 3.94 | — | (0.52 | ) | — | (0.52 | ) | 12.52 | 43.79 | 1.35 | 1.35 | (0.91 | ) | 46 | 114 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.03 | (0.05 | ) | 1.49 | 1.44 | — | (1.37 | ) | — | (1.37 | ) | 9.10 | 16.29 | 1.36 | 1.35 | (0.51 | ) | 31 | 132 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 9.98 | (0.08 | ) | (0.62 | ) | (0.70 | ) | — | (0.25 | ) | — | (0.25 | ) | 9.03 | (7.01 | ) | 1.36 | 1.35 | (0.82 | ) | 32 | 136 | |||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 8.69 | (0.01 | ) | (0.54 | ) | (0.55 | ) | — | — | — | — | 8.14 | (6.33 | )4 | 1.04 | 5,6 | 1.03 | 5,6 | (0.33 | )5 | 281 | 51 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.76 | (0.04 | ) | (0.88 | ) | (0.92 | ) | — | (2.15 | ) | — | (2.15 | ) | 8.69 | (8.78 | ) | 1.09 | 1.08 | (0.40 | ) | 297 | 87 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.89 | (0.09 | ) | 1.00 | 0.91 | — | (2.04 | ) | — | (2.04 | ) | 11.76 | 7.60 | 1.09 | 1.08 | (0.76 | ) | 350 | 83 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 9.33 | (0.07 | ) | 4.15 | 4.08 | — | (0.52 | ) | — | (0.52 | ) | 12.89 | 44.21 | 1.10 | 1.10 | (0.66 | ) | 393 | 114 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.21 | (0.02 | ) | 1.51 | 1.49 | — | (1.37 | ) | — | (1.37 | ) | 9.33 | 16.52 | 1.11 | 1.10 | (0.24 | ) | 278 | 132 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 10.15 | (0.06 | ) | (0.63 | ) | (0.69 | ) | — | (0.25 | ) | — | (0.25 | ) | 9.21 | (6.79 | ) | 1.11 | 1.10 | (0.58 | ) | 266 | 136 | |||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.06%. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Small Cap Index Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 13.28 | 0.08 | 0.19 | 0.27 | — | — | — | — | 13.55 | 2.03 | 4 | 0.58 | 5 | 0.52 | 5 | 1.34 | 5 | 292 | 14 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.40 | 0.16 | (0.87 | ) | (0.71 | ) | (0.15 | ) | (1.26 | ) | — | (1.41 | ) | 13.28 | (4.58 | ) | 0.58 | 0.52 | 1.06 | 286 | 19 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.83 | 0.14 | 0.55 | 0.69 | (0.14 | ) | (0.98 | ) | — | (1.12 | ) | 15.40 | 4.59 | 0.57 | 0.52 | 0.93 | 302 | 20 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.39 | 0.15 | 4.57 | 4.72 | (0.22 | ) | (1.06 | ) | — | (1.28 | ) | 15.83 | 38.58 | 0.57 | 0.52 | 1.03 | 317 | 17 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.15 | 0.24 | 1.72 | 1.96 | (0.26 | ) | (2.46 | ) | — | (2.72 | ) | 12.39 | 16.10 | 0.56 | 0.54 | 1.77 | 208 | 13 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 14.01 | 0.11 | (0.75 | ) | (0.64 | ) | (0.16 | ) | (0.06 | ) | — | (0.22 | ) | 13.15 | (4.50 | ) | 0.55 | 0.55 | 0.79 | 194 | 17 | ||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 13.22 | 0.07 | 0.19 | 0.26 | — | — | — | — | 13.48 | 1.97 | 4 | 0.78 | 5 | 0.72 | 5 | 1.13 | 5 | 39 | 14 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.34 | 0.13 | (0.87 | ) | (0.74 | ) | (0.12 | ) | (1.26 | ) | — | (1.38 | ) | 13.22 | (4.79 | ) | 0.78 | 0.72 | 0.85 | 40 | 19 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.77 | 0.11 | 0.55 | 0.66 | (0.11 | ) | (0.98 | ) | — | (1.09 | ) | 15.34 | 4.41 | 0.77 | 0.72 | 0.72 | 52 | 20 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.35 | 0.12 | 4.55 | 4.67 | (0.19 | ) | (1.06 | ) | — | (1.25 | ) | 15.77 | 38.31 | 0.77 | 0.72 | 0.81 | 64 | 17 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.12 | 0.21 | 1.72 | 1.93 | (0.24 | ) | (2.46 | ) | — | (2.70 | ) | 12.35 | 15.82 | 0.76 | 0.74 | 1.55 | 60 | 13 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 13.97 | 0.08 | (0.74 | ) | (0.66 | ) | (0.13 | ) | (0.06 | ) | — | (0.19 | ) | 13.12 | (4.64 | ) | 0.75 | 0.75 | 0.58 | 60 | 17 | ||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 13.29 | 0.09 | 0.19 | 0.28 | — | — | — | — | 13.57 | 2.11 | 4 | 0.53 | 5 | 0.47 | 5 | 1.39 | 5 | 88 | 14 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 15.42 | 0.17 | (0.88 | ) | (0.71 | ) | (0.16 | ) | (1.26 | ) | — | (1.42 | ) | 13.29 | (4.59 | ) | 0.53 | 0.47 | 1.12 | 87 | 19 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.84 | 0.15 | 0.56 | 0.71 | (0.15 | ) | (0.98 | ) | — | (1.13 | ) | 15.42 | 4.71 | 0.52 | 0.47 | 1.00 | 95 | 20 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.39 | 0.16 | 4.57 | 4.73 | (0.22 | ) | (1.06 | ) | — | (1.28 | ) | 15.84 | 38.72 | 0.52 | 0.47 | 1.08 | 76 | 17 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.16 | 0.20 | 1.76 | 1.96 | (0.27 | ) | (2.46 | ) | — | (2.73 | ) | 12.39 | 16.06 | 0.51 | 0.49 | 1.42 | 50 | 13 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 14.01 | 0.12 | (0.74 | ) | (0.62 | ) | (0.17 | ) | (0.06 | ) | — | (0.23 | ) | 13.16 | (4.38 | ) | 0.50 | 0.50 | 0.84 | 430 | 17 | ||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Small Cap Opportunities Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 28.76 | 0.04 | 0.60 | 0.64 | — | — | — | — | 29.40 | 2.23 | 4 | 1.08 | 5,6 | 0.99 | 5,6 | 0.47 | 5 | 89 | 17 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 31.56 | 0.12 | (1.75 | ) | (1.63 | ) | (0.03 | ) | (1.14 | ) | — | (1.17 | ) | 28.76 | (5.17 | ) | 1.10 | 1.00 | 0.39 | 94 | 25 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 30.84 | 0.02 | 0.71 | 0.73 | (0.01 | ) | — | — | (0.01 | ) | 31.56 | 2.38 | 1.10 | 1.00 | 0.08 | 112 | 40 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 22.13 | 0.01 | 8.87 | 8.88 | (0.17 | ) | — | — | (0.17 | ) | 30.84 | 40.16 | 1.11 | 1.02 | 0.05 | 131 | 22 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 18.94 | 0.12 | 3.07 | 3.19 | — | — | — | — | 22.13 | 16.84 | 1.11 | 1.02 | 0.59 | 32 | 25 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 19.58 | — | 7 | (0.62 | ) | (0.62 | ) | (0.02 | ) | — | — | (0.02 | ) | 18.94 | (3.16 | ) | 1.10 | 1.01 | (0.02 | ) | 32 | 36 | |||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 28.35 | 0.01 | 0.60 | 0.61 | — | — | — | — | 28.96 | 2.15 | 4 | 1.28 | 5,6 | 1.19 | 5,6 | 0.26 | 5 | 36 | 17 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 31.16 | 0.06 | (1.73 | ) | (1.67 | ) | — | (1.14 | ) | — | (1.14 | ) | 28.35 | (5.34 | ) | 1.30 | 1.20 | 0.19 | 39 | 25 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 30.51 | (0.04 | ) | 0.69 | 0.65 | — | — | — | — | 31.16 | 2.13 | 1.30 | 1.20 | (0.12 | ) | 46 | 40 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 21.90 | (0.04 | ) | 8.78 | 8.74 | (0.13 | ) | — | — | (0.13 | ) | 30.51 | 39.92 | 1.31 | 1.22 | (0.17 | ) | 57 | 22 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 18.78 | 0.08 | 3.04 | 3.12 | — | — | — | — | 21.90 | 16.61 | 1.31 | 1.22 | 0.37 | 32 | 25 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 19.44 | (0.04 | ) | (0.61 | ) | (0.65 | ) | (0.01 | ) | — | — | (0.01 | ) | 18.78 | (3.32 | ) | 1.30 | 1.21 | (0.21 | ) | 33 | 36 | |||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 28.63 | 0.05 | 0.60 | 0.65 | — | — | — | — | 29.28 | 2.27 | 4 | 1.03 | 5,6 | 0.94 | 5,6 | 0.52 | 5 | 84 | 17 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 31.42 | 0.14 | (1.75 | ) | (1.61 | ) | (0.04 | ) | (1.14 | ) | — | (1.18 | ) | 28.63 | (5.12 | ) | 1.05 | 0.95 | 0.44 | 86 | 25 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 30.70 | 0.04 | 0.70 | 0.74 | (0.02 | ) | — | — | (0.02 | ) | 31.42 | 2.43 | 1.05 | 0.95 | 0.14 | 124 | 40 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 22.02 | 0.02 | 8.84 | 8.86 | (0.18 | ) | — | — | (0.18 | ) | 30.70 | 40.27 | 1.06 | 0.97 | 0.08 | 125 | 22 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 18.84 | 0.13 | 3.05 | 3.18 | — | — | — | — | 22.02 | 16.88 | 1.06 | 0.97 | 0.63 | 91 | 25 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 19.47 | 0.01 | (0.62 | ) | (0.61 | ) | (0.02 | ) | — | — | (0.02 | ) | 18.84 | (3.12 | ) | 1.05 | 0.96 | 0.04 | 88 | 36 | |||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.03%. 7. Less than $0.005 per share. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Small Cap Value Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 20.30 | 0.08 | 0.81 | 0.89 | — | — | — | — | 21.19 | 4.38 | 4 | 1.10 | 5,6 | 1.10 | 5,6 | 0.81 | 5 | 328 | 8 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 24.61 | 0.12 | (0.62 | ) | (0.50 | ) | (0.10 | ) | (3.71 | ) | — | (3.81 | ) | 20.30 | (1.36 | ) | 1.12 | 1.11 | 0.51 | 323 | 22 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 26.09 | 0.16 | 7 | 1.55 | 1.71 | (0.16 | ) | (3.03 | ) | — | (3.19 | ) | 24.61 | 7.18 | 1.12 | 1.12 | 0.63 | 7 | 349 | 22 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 20.70 | 0.06 | 6.79 | 6.85 | (0.13 | ) | (1.33 | ) | — | (1.46 | ) | 26.09 | 33.32 | 1.13 | 1.12 | 0.23 | 376 | 24 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 18.94 | 0.23 | 2.65 | 2.88 | (0.17 | ) | (0.95 | ) | — | (1.12 | ) | 20.70 | 15.63 | 1.13 | 1.13 | 1.17 | 270 | 19 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 18.89 | 0.10 | 0.11 | 0.21 | (0.16 | ) | — | — | (0.16 | ) | 18.94 | 1.15 | 1.14 | 1.14 | 0.53 | 229 | 20 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 20.21 | 0.06 | 0.81 | 0.87 | — | — | — | — | 21.08 | 4.30 | 4 | 1.30 | 5,6 | 1.30 | 5,6 | 0.60 | 5 | 37 | 8 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 24.52 | 0.07 | (0.62 | ) | (0.55 | ) | (0.05 | ) | (3.71 | ) | — | (3.76 | ) | 20.21 | (1.57 | ) | 1.32 | 1.31 | 0.30 | 36 | 22 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 26.01 | 0.11 | 7 | 1.54 | 1.65 | (0.11 | ) | (3.03 | ) | — | (3.14 | ) | 24.52 | 6.96 | 1.32 | 1.32 | 0.43 | 7 | 43 | 22 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 20.66 | 0.01 | 6.77 | 6.78 | (0.10 | ) | (1.33 | ) | — | (1.43 | ) | 26.01 | 33.00 | 1.33 | 1.32 | 0.03 | 49 | 24 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 18.89 | 0.18 | 2.67 | 2.85 | (0.13 | ) | (0.95 | ) | — | (1.08 | ) | 20.66 | 15.50 | 1.33 | 1.33 | 0.90 | 39 | 19 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 18.85 | 0.06 | 0.10 | 0.16 | (0.12 | ) | — | — | (0.12 | ) | 18.89 | 0.90 | 1.34 | 1.34 | 0.32 | 46 | 20 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 20.25 | 0.09 | 0.80 | 0.89 | — | — | — | — | 21.14 | 4.40 | 4 | 1.05 | 5,6 | 1.05 | 5,6 | 0.85 | 5 | 289 | 8 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 24.56 | 0.13 | (0.62 | ) | (0.49 | ) | (0.11 | ) | (3.71 | ) | — | (3.82 | ) | 20.25 | (1.31 | ) | 1.07 | 1.06 | 0.56 | 292 | 22 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 26.04 | 0.17 | 7 | 1.55 | 1.72 | (0.17 | ) | (3.03 | ) | — | (3.20 | ) | 24.56 | 7.25 | 1.07 | 1.07 | 0.68 | 7 | 330 | 22 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 20.67 | 0.07 | 6.77 | 6.84 | (0.14 | ) | (1.33 | ) | — | (1.47 | ) | 26.04 | 33.33 | 1.08 | 1.07 | 0.28 | 371 | 24 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 18.90 | 0.24 | 2.66 | 2.90 | (0.18 | ) | (0.95 | ) | — | (1.13 | ) | 20.67 | 15.78 | 1.08 | 1.08 | 1.20 | 314 | 19 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 18.86 | 0.11 | 0.10 | 0.21 | (0.17 | ) | — | — | (0.17 | ) | 18.90 | 1.15 | 1.09 | 1.09 | 0.58 | 306 | 20 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.02%. 7. Net investment income per share and the percentage of average net assets reflect special dividends received by the portfolio, which amounted to $0.06 and 0.22% for all series, respectively. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Small Company Growth Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 27.06 | 0.07 | 0.38 | 0.45 | — | — | — | — | 27.51 | 1.66 | 4 | 1.06 | 5,6 | 1.06 | 5,6 | 0.51 | 5 | 107 | 14 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 27.63 | (0.08 | ) | (0.40 | ) | (0.48 | ) | — | (0.09 | ) | — | (0.09 | ) | 27.06 | (1.75 | ) | 1.07 | 1.06 | (0.27 | ) | 112 | 30 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 25.62 | (0.02 | )6 | 2.03 | 2.01 | — | — | — | — | 27.63 | 7.85 | 1.06 | 1.05 | (0.08 | )7 | 134 | 30 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 18.34 | (0.04 | ) | 7.37 | 7.33 | (0.05 | ) | — | — | (0.05 | ) | 25.62 | 39.98 | 1.07 | 1.06 | (0.20 | ) | 158 | 32 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 15.50 | 0.04 | 2.80 | 2.84 | — | — | — | — | 18.34 | 18.32 | 1.07 | 1.07 | 0.24 | 106 | 28 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 15.78 | (0.07 | ) | (0.21 | )8 | (0.28 | ) | — | — | — | — | 15.50 | (1.77 | ) | 1.08 | 1.08 | (0.42 | ) | 101 | 39 | |||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.01%. 7. Net investment income per share and the percentage of average net assets reflect special dividends received by the portfolio, which amounted to $0.09 and 0.35%, respectively. 8. The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the portfolio. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Small Company Value Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 19.68 | 0.10 | 1.70 | 1.80 | — | — | — | — | 21.48 | 9.15 | 4 | 1.12 | 5,6 | 1.06 | 5,6 | 1.00 | 5 | 61 | 10 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 24.72 | 0.20 | (1.61 | ) | (1.41 | ) | (0.30 | ) | (3.33 | ) | — | (3.63 | ) | 19.68 | (5.60 | ) | 1.13 | 1.07 | 0.86 | 60 | 35 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 25.26 | 0.14 | (0.12 | ) | 0.02 | (0.01 | ) | (0.55 | ) | — | (0.56 | ) | 24.72 | 0.11 | 1.12 | 1.06 | 0.55 | 74 | 16 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 19.50 | 0.07 | 6.08 | 6.15 | (0.39 | ) | — | — | (0.39 | ) | 25.26 | 31.61 | 1.13 | 1.07 | 0.32 | 88 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.81 | 0.26 | 2.48 | 2.74 | (0.05 | ) | — | — | (0.05 | ) | 19.50 | 16.30 | 1.13 | 1.07 | 1.41 | 79 | 5 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 17.07 | 0.06 | (0.22 | ) | (0.16 | ) | (0.10 | ) | — | — | (0.10 | ) | 16.81 | (0.93 | ) | 1.13 | 1.07 | 0.38 | 85 | 6 | |||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 19.42 | 0.08 | 1.67 | 1.75 | — | — | — | — | 21.17 | 9.01 | 4 | 1.32 | 5,6 | 1.26 | 5,6 | 0.80 | 5 | 51 | 10 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 24.40 | 0.15 | (1.58 | ) | (1.43 | ) | (0.22 | ) | (3.33 | ) | — | (3.55 | ) | 19.42 | (5.79 | ) | 1.33 | 1.27 | 0.66 | 49 | 35 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 24.99 | 0.08 | (0.12 | ) | (0.04 | ) | — | (0.55 | ) | — | (0.55 | ) | 24.40 | (0.12 | ) | 1.32 | 1.26 | 0.34 | 61 | 16 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 19.32 | 0.03 | 6.02 | 6.05 | (0.38 | ) | — | — | (0.38 | ) | 24.99 | 31.41 | 1.33 | 1.27 | 0.12 | 75 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.66 | 0.22 | 2.46 | 2.68 | (0.02 | ) | — | — | (0.02 | ) | 19.32 | 16.11 | 1.33 | 1.27 | 1.20 | 73 | 5 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 16.93 | 0.03 | (0.24 | ) | (0.21 | ) | (0.06 | ) | — | — | (0.06 | ) | 16.66 | (1.20 | ) | 1.33 | 1.27 | 0.18 | 78 | 6 | |||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 19.64 | 0.11 | 1.68 | 1.79 | — | — | — | — | 21.43 | 9.11 | 4 | 1.07 | 5,6 | 1.01 | 5,6 | 1.04 | 5 | 186 | 10 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 24.69 | 0.21 | (1.60 | ) | (1.39 | ) | (0.33 | ) | (3.33 | ) | — | (3.66 | ) | 19.64 | (5.51 | ) | 1.08 | 1.02 | 0.91 | 187 | 35 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 25.22 | 0.15 | (0.12 | ) | 0.03 | (0.01 | ) | (0.55 | ) | — | (0.56 | ) | 24.69 | 0.14 | 1.07 | 1.01 | 0.60 | 224 | 16 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 19.46 | 0.09 | 6.06 | 6.15 | (0.39 | ) | — | — | (0.39 | ) | 25.22 | 31.68 | 1.08 | 1.02 | 0.38 | 259 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.76 | 0.27 | 2.48 | 2.75 | (0.05 | ) | — | — | (0.05 | ) | 19.46 | 16.41 | 1.08 | 1.02 | 1.49 | 216 | 5 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 17.03 | 0.08 | (0.24 | ) | (0.16 | ) | (0.11 | ) | — | — | (0.11 | ) | 16.76 | (0.94 | ) | 1.08 | 1.02 | 0.44 | 203 | 6 | |||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.03%. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Strategic Equity Allocation Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 16.09 | 0.19 | 0.05 | 0.24 | — | — | — | — | 16.33 | 1.49 | 4 | 0.67 | 5 | 0.53 | 5 | 2.37 | 5 | 9,615 | 4 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 17.14 | 0.31 | (0.39 | ) | (0.08 | ) | (0.32 | ) | (0.65 | ) | — | (0.97 | ) | 16.09 | (0.35 | ) | 0.67 | 0.53 | 1.83 | 9,945 | 7 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 16.85 | 0.33 | 0.75 | 1.08 | (0.32 | ) | (0.47 | ) | — | (0.79 | ) | 17.14 | 6.40 | 0.66 | 0.52 | 1.92 | 11,176 | 13 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.27 | 0.27 | 3.60 | 3.87 | (0.25 | ) | (0.04 | ) | — | (0.29 | ) | 16.85 | 29.23 | 0.66 | 0.50 | 1.77 | 11,162 | 19 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-20126 | 12.50 | 0.20 | 0.70 | 0.90 | (0.13 | ) | — | — | (0.13 | ) | 13.27 | 7.26 | 4 | 0.67 | 5 | 0.49 | 5 | 2.22 | 5 | 8,003 | 10 | ||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Period from 4-16-12 (commencement of operations) to 12-31-12. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Stock Market Index Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 17.61 | 0.15 | 0.44 | 0.59 | — | — | — | — | 18.20 | 3.35 | 4 | 0.57 | 5 | 0.57 | 5 | 1.73 | 5 | 442 | 1 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 18.53 | 0.26 | (0.40 | ) | (0.14 | ) | (0.24 | ) | (0.54 | ) | — | (0.78 | ) | 17.61 | (0.64 | ) | 0.57 | 0.56 | 1.41 | 440 | 4 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 17.08 | 0.24 | 1.71 | 1.95 | (0.21 | ) | (0.29 | ) | — | (0.50 | ) | 18.53 | 11.47 | 0.57 | 0.56 | 1.38 | 465 | 5 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.15 | 0.21 | 4.16 | 4.37 | (0.22 | ) | (0.22 | ) | — | (0.44 | ) | 17.08 | 33.39 | 0.56 | 0.56 | 1.38 | 424 | 3 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.59 | 0.21 | 1.58 | 1.79 | (0.20 | ) | (0.03 | ) | — | (0.23 | ) | 13.15 | 15.50 | 0.57 | 0.57 | 1.65 | 295 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.71 | 0.19 | (0.16 | ) | 0.03 | (0.15 | ) | — | — | (0.15 | ) | 11.59 | 0.28 | 0.57 | 0.57 | 1.62 | 261 | 2 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 17.56 | 0.13 | 0.44 | 0.57 | — | — | — | — | 18.13 | 3.25 | 4 | 0.77 | 5 | 0.77 | 5 | 1.53 | 5 | 34 | 1 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 18.48 | 0.22 | (0.40 | ) | (0.18 | ) | (0.20 | ) | (0.54 | ) | — | (0.74 | ) | 17.56 | (0.83 | ) | 0.77 | 0.76 | 1.20 | 35 | 4 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 17.03 | 0.21 | 1.71 | 1.92 | (0.18 | ) | (0.29 | ) | — | (0.47 | ) | 18.48 | 11.30 | 0.77 | 0.76 | 1.17 | 42 | 5 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.12 | 0.18 | 4.14 | 4.32 | (0.19 | ) | (0.22 | ) | — | (0.41 | ) | 17.03 | 33.09 | 0.76 | 0.76 | 1.19 | 44 | 3 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.57 | 0.18 | 1.57 | 1.75 | (0.17 | ) | (0.03 | ) | — | (0.20 | ) | 13.12 | 15.22 | 0.77 | 0.77 | 1.44 | 41 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.68 | 0.17 | (0.15 | ) | 0.02 | (0.13 | ) | — | — | (0.13 | ) | 11.57 | 0.16 | 0.77 | 0.77 | 1.41 | 40 | 2 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 17.61 | 0.15 | 0.44 | 0.59 | — | — | — | — | 18.20 | 3.35 | 4 | 0.52 | 5 | 0.52 | 5 | 1.78 | 5 | 104 | 1 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 18.52 | 0.27 | (0.39 | ) | (0.12 | ) | (0.25 | ) | (0.54 | ) | — | (0.79 | ) | 17.61 | (0.53 | ) | 0.52 | 0.51 | 1.46 | 99 | 4 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 17.08 | 0.25 | 1.70 | 1.95 | (0.22 | ) | (0.29 | ) | — | (0.51 | ) | 18.52 | 11.46 | 0.52 | 0.51 | 1.43 | 95 | 5 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.15 | 0.22 | 4.16 | 4.38 | (0.23 | ) | (0.22 | ) | — | (0.45 | ) | 17.08 | 33.45 | 0.51 | 0.51 | 1.44 | 88 | 3 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.59 | 0.22 | 1.57 | 1.79 | (0.20 | ) | (0.03 | ) | — | (0.23 | ) | 13.15 | 15.56 | 0.52 | 0.52 | 1.71 | 66 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.71 | 0.20 | (0.16 | ) | 0.04 | (0.16 | ) | — | — | (0.16 | ) | 11.59 | 0.33 | 0.52 | 0.52 | 1.66 | 62 | 2 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
U.S. Equity Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 19.11 | 0.13 | 0.47 | 0.60 | — | — | — | — | 19.71 | 3.14 | 4 | 0.86 | 5,6 | 0.85 | 5,6 | 1.33 | 5 | 118 | 44 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 19.39 | 0.36 | (0.25 | ) | 0.11 | (0.39 | ) | — | — | (0.39 | ) | 19.11 | 0.53 | 0.84 | 0.83 | 1.87 | 122 | 66 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 17.71 | 0.22 | 1.73 | 1.95 | (0.27 | ) | — | — | (0.27 | ) | 19.39 | 11.03 | 0.84 | 0.83 | 1.21 | 138 | 55 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 14.03 | 0.23 | 3.72 | 3.95 | (0.27 | ) | — | — | (0.27 | ) | 17.71 | 28.23 | 0.83 | 0.83 | 1.42 | 144 | 28 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-20127 | 13.85 | 0.16 | 0.22 | 0.38 | (0.20 | ) | — | — | (0.20 | ) | 14.03 | 2.77 | 4 | 0.84 | 5 | 0.84 | 5 | 1.70 | 5 | 129 | 44 | 8,9 | |||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 19.11 | 0.11 | 0.47 | 0.58 | — | — | — | — | 19.69 | 3.04 | 4 | 1.06 | 5,6 | 1.05 | 5,6 | 1.12 | 5 | 6 | 44 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 19.39 | 0.33 | (0.26 | ) | 0.07 | (0.35 | ) | — | — | (0.35 | ) | 19.11 | 0.33 | 1.04 | 1.03 | 1.68 | 6 | 66 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 17.72 | 0.19 | 1.72 | 1.91 | (0.24 | ) | — | — | (0.24 | ) | 19.39 | 10.76 | 1.04 | 1.03 | 1.01 | 8 | 55 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 14.03 | 0.20 | 3.73 | 3.93 | (0.24 | ) | — | — | (0.24 | ) | 17.72 | 28.07 | 1.03 | 1.03 | 1.22 | 9 | 28 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-20127 | 13.85 | 0.14 | 0.22 | 0.36 | (0.18 | ) | — | — | (0.18 | ) | 14.03 | 2.60 | 4 | 1.04 | 5 | 1.04 | 5 | 1.50 | 5 | 8 | 44 | 8,9 | |||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 19.11 | 0.13 | 0.48 | 0.61 | — | — | — | — | 19.72 | 3.19 | 4 | 0.81 | 5,6 | 0.80 | 5,6 | 1.38 | 5 | 544 | 44 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 19.40 | 0.37 | (0.27 | ) | 0.10 | (0.39 | ) | — | — | (0.39 | ) | 19.11 | 0.52 | 0.79 | 0.78 | 1.93 | 576 | 66 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 17.72 | 0.23 | 1.73 | 1.96 | (0.28 | ) | — | — | (0.28 | ) | 19.40 | 11.07 | 0.79 | 0.78 | 1.26 | 676 | 55 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 14.03 | 0.24 | 3.73 | 3.97 | (0.28 | ) | — | — | (0.28 | ) | 17.72 | 28.36 | 0.78 | 0.78 | 1.47 | 809 | 28 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.65 | 0.22 | 1.37 | 1.59 | (0.21 | ) | — | — | (0.21 | ) | 14.03 | 12.56 | 0.79 | 0.79 | 1.63 | 791 | 44 | 8 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.89 | 0.19 | 0.77 | 0.96 | (0.20 | ) | — | — | (0.20 | ) | 12.65 | 8.13 | 0.79 | 0.79 | 1.55 | 772 | 35 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.01%. 7. The inception date for Series I and Series II shares is 4-30-12. 8. Excludes merger activity. 9. Portfolio turnover is shown for the period from 1-1-12 to 12-31-12. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Utilities Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 12.05 | 0.22 | 1.61 | 1.83 | — | — | — | — | 13.88 | 15.19 | 4 | 0.89 | 5,6 | 0.88 | 5,6 | 3.45 | 5 | 326 | 13 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 16.27 | 0.38 | (2.66 | ) | (2.28 | ) | (0.46 | ) | (1.48 | ) | — | (1.94 | ) | 12.05 | (14.76 | ) | 0.92 | 0.92 | 2.51 | 298 | 37 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.44 | 0.49 | 7 | 1.48 | 1.97 | (0.51 | ) | (0.63 | ) | — | (1.14 | ) | 16.27 | 12.59 | 0.93 | 0.92 | 2.93 | 7 | 441 | 53 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.06 | 0.48 | 2.20 | 2.68 | (0.30 | ) | — | — | (0.30 | ) | 15.44 | 20.57 | 0.95 | 0.95 | 3.25 | 416 | 58 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.92 | 0.40 | 1.21 | 1.61 | (0.47 | ) | — | — | (0.47 | ) | 13.06 | 13.65 | 0.97 | 0.97 | 3.17 | 141 | 52 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.62 | 0.46 | 0.30 | 0.76 | (0.46 | ) | — | — | (0.46 | ) | 11.92 | 6.65 | 0.97 | 0.97 | 3.77 | 128 | 51 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.93 | 0.20 | 1.60 | 1.80 | — | — | — | — | 13.73 | 15.09 | 4 | 1.09 | 5,6 | 1.08 | 5,6 | 3.24 | 5 | 17 | 13 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 16.14 | 0.34 | (2.64 | ) | (2.30 | ) | (0.43 | ) | (1.48 | ) | — | (1.91 | ) | 11.93 | (15.02 | ) | 1.12 | 1.12 | 2.30 | 15 | 37 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.32 | 0.46 | 7 | 1.47 | 1.93 | (0.48 | ) | (0.63 | ) | — | (1.11 | ) | 16.14 | 12.41 | 1.13 | 1.12 | 2.79 | 7 | 23 | 53 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.96 | 0.41 | 2.22 | 2.63 | (0.27 | ) | — | — | (0.27 | ) | 15.32 | 20.35 | 1.15 | 1.15 | 2.81 | 25 | 58 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.84 | 0.37 | 1.19 | 1.56 | (0.44 | ) | — | — | (0.44 | ) | 12.96 | 13.36 | 1.17 | 1.17 | 2.95 | 25 | 52 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.53 | 0.43 | 0.32 | 0.75 | (0.44 | ) | — | — | (0.44 | ) | 11.84 | 6.58 | 1.17 | 1.17 | 3.59 | 30 | 51 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 12.03 | 0.22 | 1.61 | 1.83 | — | — | — | — | 13.86 | 15.21 | 4 | 0.84 | 5,6 | 0.83 | 5,6 | 3.41 | 5 | 30 | 13 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 16.26 | 0.39 | (2.67 | ) | (2.28 | ) | (0.47 | ) | (1.48 | ) | — | (1.95 | ) | 12.03 | (14.79 | ) | 0.87 | 0.87 | 2.58 | 30 | 37 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 15.42 | 0.50 | 7 | 1.49 | 1.99 | (0.52 | ) | (0.63 | ) | — | (1.15 | ) | 16.26 | 12.72 | 0.88 | 0.87 | 2.98 | 7 | 40 | 53 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.04 | 0.45 | 2.24 | 2.69 | (0.31 | ) | — | — | (0.31 | ) | 15.42 | 20.65 | 0.90 | 0.90 | 3.06 | 32 | 58 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.91 | 0.39 | 1.21 | 1.60 | (0.47 | ) | — | — | (0.47 | ) | 13.04 | 13.64 | 0.92 | 0.92 | 3.14 | 27 | 52 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.60 | 0.46 | 0.32 | 0.78 | (0.47 | ) | — | — | (0.47 | ) | 11.91 | 6.80 | 0.92 | 0.92 | 3.82 | 36 | 51 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.04%. 7. Net investment income per share and the percentage of average net assets reflects special dividends received by the portfolio, which amounted to $0.09 and 0.52% for all series, respectively. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Value Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 20.16 | 0.08 | 0.38 | 0.46 | — | — | — | — | 20.62 | 2.28 | 4 | 0.78 | 5 | 0.77 | 5 | 0.87 | 5 | 468 | 14 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 25.74 | 0.14 | (2.29 | ) | (2.15 | ) | (0.13 | ) | (3.30 | ) | — | (3.43 | ) | 20.16 | (8.89 | ) | 0.78 | 0.77 | 0.57 | 493 | 26 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 25.95 | 0.14 | 2.39 | 2.53 | (0.12 | ) | (2.62 | ) | — | (2.74 | ) | 25.74 | 9.82 | 0.78 | 0.77 | 0.53 | 600 | 49 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 19.31 | 0.15 | 6.68 | 6.83 | (0.19 | ) | — | — | (0.19 | ) | 25.95 | 35.40 | 0.79 | 0.79 | 0.64 | 523 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.58 | 0.20 | 2.68 | 2.88 | (0.15 | ) | — | — | (0.15 | ) | 19.31 | 17.42 | 0.82 | 0.81 | 1.11 | 409 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 16.61 | 0.16 | — | 6 | 0.16 | (0.19 | ) | — | — | (0.19 | ) | 16.58 | 0.98 | 0.83 | 0.83 | 0.93 | 197 | 28 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 20.07 | 0.06 | 0.39 | 0.45 | — | — | — | — | 20.52 | 2.24 | 4 | 0.98 | 5 | 0.97 | 5 | 0.66 | 5 | 24 | 14 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 25.65 | 0.09 | (2.29 | ) | (2.20 | ) | (0.08 | ) | (3.30 | ) | — | (3.38 | ) | 20.07 | (9.12 | ) | 0.98 | 0.97 | 0.37 | 26 | 26 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 25.87 | 0.09 | 2.38 | 2.47 | (0.07 | ) | (2.62 | ) | — | (2.69 | ) | 25.65 | 9.61 | 0.98 | 0.97 | 0.33 | 33 | 49 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 19.26 | 0.10 | 6.66 | 6.76 | (0.15 | ) | — | — | (0.15 | ) | 25.87 | 35.10 | 0.99 | 0.99 | 0.44 | 36 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.54 | 0.16 | 2.68 | 2.84 | (0.12 | ) | — | — | (0.12 | ) | 19.26 | 17.18 | 1.02 | 1.01 | 0.87 | 30 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 16.56 | 0.12 | 0.01 | 0.13 | (0.15 | ) | — | — | (0.15 | ) | 16.54 | 0.84 | 1.03 | 1.03 | 0.73 | 30 | 28 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 20.13 | 0.09 | 0.38 | 0.47 | — | — | — | — | 20.60 | 2.33 | 4 | 0.73 | 5 | 0.72 | 5 | 0.90 | 5 | 30 | 14 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 25.71 | 0.15 | (2.29 | ) | (2.14 | ) | (0.14 | ) | (3.30 | ) | — | (3.44 | ) | 20.13 | (8.86 | ) | 0.73 | 0.72 | 0.63 | 35 | 26 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 25.92 | 0.15 | 2.39 | 2.54 | (0.13 | ) | (2.62 | ) | — | (2.75 | ) | 25.71 | 9.88 | 0.73 | 0.72 | 0.57 | 31 | 49 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 19.29 | 0.16 | 6.67 | 6.83 | (0.20 | ) | — | — | (0.20 | ) | 25.92 | 35.44 | 0.74 | 0.74 | 0.68 | 33 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 16.56 | 0.21 | 2.68 | 2.89 | (0.16 | ) | — | — | (0.16 | ) | 19.29 | 17.50 | 0.77 | 0.76 | 1.14 | 24 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 16.59 | 0.16 | 0.01 | 0.17 | (0.20 | ) | — | — | (0.20 | ) | 16.56 | 1.03 | 0.78 | 0.78 | 0.98 | 18 | 28 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Less than $0.005 per share. |
Total Value at 6-30-16 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Alpha Opportunities Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 72,789,258 | $ | 69,182,414 | $ | 3,396,495 | $ | 210,349 | |||||||||||
Consumer staples | 44,167,148 | 34,975,580 | 9,191,568 | — | |||||||||||||||
Energy | 39,771,858 | 39,531,982 | 239,876 | — | |||||||||||||||
Financials | 105,885,851 | 99,804,264 | 5,953,396 | 128,191 | |||||||||||||||
Health care | 94,714,081 | 89,458,714 | 5,255,367 | — | |||||||||||||||
Industrials | 86,553,903 | 84,497,031 | 2,056,872 | — | |||||||||||||||
Information technology | 98,933,999 | 92,594,978 | 6,339,021 | — | |||||||||||||||
Materials | 23,858,389 | 20,511,783 | 3,346,606 | — | |||||||||||||||
Telecommunication services | 3,548,281 | 3,156,078 | 392,203 | — | |||||||||||||||
Utilities | 12,367,207 | 12,367,207 | — | — | |||||||||||||||
Preferred securities | 14,093,513 | — | — | 14,093,513 | |||||||||||||||
Corporate bonds | 48,473 | — | — | 48,473 | |||||||||||||||
Exchange-traded funds | 3,320,212 | 3,320,212 | — | — | |||||||||||||||
Securities lending collateral | 24,454,566 | 24,454,566 | — | — | |||||||||||||||
Short-term investments | 28,700,000 | — | 28,700,000 | — | |||||||||||||||
Total investments in securities | $ | 653,206,739 | $ | 573,854,809 | $ | 64,871,404 | $ | 14,480,526 | |||||||||||
Other financial instruments: | |||||||||||||||||||
Forward foreign currency contracts | $ | 915 | — | $ | 915 | — | |||||||||||||
Blue Chip Growth Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 404,682,824 | $ | 404,682,824 | — | — | |||||||||||||
Consumer staples | 50,041,069 | 50,041,069 | — | — | |||||||||||||||
Financials | 121,501,121 | 121,501,121 | — | — | |||||||||||||||
Health care | 380,277,238 | 380,277,238 | — | — | |||||||||||||||
Industrials | 101,495,108 | 101,495,108 | — | — | |||||||||||||||
Information technology | 451,120,052 | 427,556,424 | $ | 23,563,628 | — | ||||||||||||||
Materials | 15,232,558 | 15,232,558 | — | — | |||||||||||||||
Securities lending collateral | 24,459,722 | 24,459,722 | — | — | |||||||||||||||
Short-term investments | 7,462,467 | 7,462,467 | — | — | |||||||||||||||
Total investments in securities | $ | 1,556,272,159 | $ | 1,532,708,531 | $ | 23,563,628 | — | ||||||||||||
Capital Appreciation Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 253,976,525 | $ | 226,731,659 | $ | 27,244,866 | — | ||||||||||||
Consumer staples | 47,896,206 | 47,896,206 | — | — | |||||||||||||||
Energy | 18,580,481 | 18,580,481 | — | — | |||||||||||||||
Financials | 28,864,403 | 28,864,403 | — | — | |||||||||||||||
Health care | 127,384,325 | 127,384,325 | — | — | |||||||||||||||
Industrials | 19,142,844 | 19,142,844 | — | — | |||||||||||||||
Information technology | 336,284,388 | 312,320,991 | 23,963,397 | — | |||||||||||||||
Materials | 1,844,751 | 1,844,751 | — | — | |||||||||||||||
Securities lending collateral | 19,983,408 | 19,983,408 | — | — | |||||||||||||||
Short-term investments | 20,882,000 | — | 20,882,000 | — | |||||||||||||||
Total investments in securities | $ | 874,839,331 | $ | 802,749,068 | $ | 72,090,263 | — |
Total Value at 6-30-16 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Capital Appreciation Value Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 27,775,192 | $ | 27,217,539 | $ | 557,653 | — | ||||||||||||
Consumer staples | 19,310,480 | 18,720,641 | 589,839 | — | |||||||||||||||
Energy | 2,330,748 | 2,330,748 | — | — | |||||||||||||||
Financials | 45,011,956 | 43,864,276 | 1,147,680 | — | |||||||||||||||
Health care | 69,194,348 | 69,194,348 | — | — | |||||||||||||||
Industrials | 21,436,607 | 19,828,753 | 1,607,854 | — | |||||||||||||||
Information technology | 31,295,443 | 31,295,443 | — | — | |||||||||||||||
Materials | 2,328,676 | 2,328,676 | — | — | |||||||||||||||
Telecommunication services | 2,558,718 | 2,558,718 | — | — | |||||||||||||||
Utilities | 6,247,078 | 6,247,078 | — | — | |||||||||||||||
Preferred securities | 6,808,968 | 6,808,968 | — | — | |||||||||||||||
Corporate bonds | 74,629,450 | — | 74,629,450 | — | |||||||||||||||
Term loans | 13,699,767 | — | 13,699,767 | — | |||||||||||||||
Asset backed securities | 898,583 | — | 898,583 | — | |||||||||||||||
Short-term investments | 46,704,876 | 46,029,876 | 675,000 | — | |||||||||||||||
Total investments in securities | $ | 370,230,890 | $ | 276,425,064 | $ | 93,805,826 | — | ||||||||||||
Other financial instruments: | |||||||||||||||||||
Written options | ($2,014,705 | ) | ($6,406 | ) | ($2,008,299 | ) | — | ||||||||||||
Core Strategy Trust | |||||||||||||||||||
Affiliated investment companies | |||||||||||||||||||
Equity | $ | 2,515,394,115 | $ | 2,515,394,115 | — | — | |||||||||||||
Fixed income | 1,074,074,393 | 1,074,074,393 | — | — | |||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | 4 | — | — | $ | 4 | ||||||||||||||
Consumer staples | 633 | — | $ | 633 | — | ||||||||||||||
Health care | 250 | — | — | 250 | |||||||||||||||
Industrials | 60 | — | — | 60 | |||||||||||||||
Total investments in securities | $ | 3,589,469,455 | $ | 3,589,468,508 | $ | 633 | $ | 314 | |||||||||||
Emerging Markets Value Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Australia | $ | 155,744 | — | $ | 155,744 | — | |||||||||||||
Brazil | 42,618,271 | $ | 42,618,271 | — | — | ||||||||||||||
Chile | 10,626,881 | 10,626,881 | — | — | |||||||||||||||
China | 89,150,876 | 7,227,224 | 81,362,350 | $ | 561,302 | ||||||||||||||
Colombia | 3,669,682 | 3,669,682 | — | — | |||||||||||||||
Czech Republic | 2,746,837 | — | 2,746,837 | — | |||||||||||||||
Greece | 820,089 | — | 820,089 | — | |||||||||||||||
Hong Kong | 20,993,654 | 1,580,873 | 19,187,512 | 225,269 | |||||||||||||||
Hungary | 2,128,607 | — | 2,128,607 | — | |||||||||||||||
India | 102,297,652 | 1,671,320 | 100,534,095 | 92,237 | |||||||||||||||
Indonesia | 23,160,602 | — | 23,146,852 | 13,750 | |||||||||||||||
Malaysia | 29,214,619 | — | 28,846,143 | 368,476 | |||||||||||||||
Malta | 12,213 | — | 12,213 | — | |||||||||||||||
Mexico | 41,698,110 | 41,082,442 | 186,771 | 428,897 | |||||||||||||||
Netherlands | 5,017,715 | — | 5,017,715 | — | |||||||||||||||
Philippines | 11,501,570 | — | 11,501,444 | 126 | |||||||||||||||
Poland | 11,587,704 | — | 11,587,704 | — | |||||||||||||||
Russia | 16,183,192 | — | 16,183,192 | — | |||||||||||||||
South Africa | 57,006,591 | 14,577,666 | 42,414,394 | 14,531 | |||||||||||||||
South Korea | 107,940,882 | 15,898,518 | 92,000,904 | 41,460 | |||||||||||||||
Taiwan | 105,834,047 | 2,483,655 | 103,308,892 | 41,500 | |||||||||||||||
Thailand | 22,896,617 | — | 22,896,617 | — | |||||||||||||||
Turkey | 12,791,175 | — | 12,787,171 | 4,004 | |||||||||||||||
Ukraine | 349,136 | — | 349,136 | — | |||||||||||||||
Preferred securities | 17,503,479 | 17,503,479 | — | — | |||||||||||||||
Rights | 22,248 | 14,843 | 7,405 | — | |||||||||||||||
Warrants | 16,821 | — | 16,821 | — | |||||||||||||||
Securities lending collateral | 14,593,899 | 14,593,899 | — | — | |||||||||||||||
Total investments in securities | $ | 752,538,913 | $ | 173,548,753 | $ | 577,198,608 | $ | 1,791,552 |
Total Value at 6-30-16 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Equity Income Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 139,803,150 | $ | 139,803,150 | — | — | |||||||||||||
Consumer staples | 80,504,830 | 70,389,107 | $ | 10,115,723 | — | ||||||||||||||
Energy | 194,693,176 | 172,554,725 | 22,138,451 | — | |||||||||||||||
Financials | 351,255,486 | 345,583,009 | 5,672,477 | — | |||||||||||||||
Health care | 151,747,127 | 141,376,814 | 10,370,313 | — | |||||||||||||||
Industrials | 215,463,780 | 215,463,780 | — | — | |||||||||||||||
Information technology | 162,900,923 | 162,900,923 | — | — | |||||||||||||||
Materials | 79,422,888 | 79,422,888 | — | — | |||||||||||||||
Telecommunication services | 46,595,217 | 35,549,688 | 11,045,529 | — | |||||||||||||||
Utilities | 134,749,058 | 134,749,058 | — | — | |||||||||||||||
Corporate bonds | 3,222,083 | — | 3,222,083 | — | |||||||||||||||
Securities lending collateral | 13,034,377 | 13,034,377 | — | — | |||||||||||||||
Short-term investments | 36,970,506 | 36,970,506 | — | — | |||||||||||||||
Total investments in securities | $ | 1,610,362,601 | $ | 1,547,798,025 | $ | 62,564,576 | — | ||||||||||||
Financial Industries Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Financials | $ | 125,232,108 | $ | 112,676,206 | $ | 12,555,902 | — | ||||||||||||
Information technology | 4,233,104 | 4,233,104 | — | — | |||||||||||||||
Preferred securities | 1,455,452 | — | 1,455,452 | — | |||||||||||||||
Corporate bonds | 2,661,793 | — | 2,661,793 | — | |||||||||||||||
Warrants | 487,566 | 487,566 | — | — | |||||||||||||||
Short-term investments | 5,763,000 | — | 5,763,000 | — | |||||||||||||||
Total investments in securities | $ | 139,833,023 | $ | 117,396,876 | $ | 22,436,147 | — | ||||||||||||
Fundamental All Cap Core Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 357,406,217 | $ | 357,406,217 | — | — | |||||||||||||
Consumer staples | 115,968,666 | 80,729,824 | $ | 35,238,842 | — | ||||||||||||||
Energy | 58,733,006 | 58,733,006 | — | — | |||||||||||||||
Financials | 398,105,731 | 398,105,731 | — | — | |||||||||||||||
Health care | 80,463,798 | 80,463,798 | — | — | |||||||||||||||
Industrials | 129,043,744 | 129,043,744 | — | — | |||||||||||||||
Information technology | 250,770,151 | 250,770,151 | — | — | |||||||||||||||
Materials | 34,467,822 | 34,467,822 | — | — | |||||||||||||||
Short-term investments | 52,288,000 | — | 52,288,000 | — | |||||||||||||||
Total investments in securities | $ | 1,477,247,135 | $ | 1,389,720,293 | $ | 87,526,842 | — | ||||||||||||
Fundamental Large Cap Value Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 193,729,367 | $ | 193,729,367 | — | — | |||||||||||||
Consumer staples | 140,678,976 | 92,848,560 | $ | 47,830,416 | — | ||||||||||||||
Energy | 158,607,105 | 158,607,105 | — | — | |||||||||||||||
Financials | 434,263,770 | 434,263,770 | — | — | |||||||||||||||
Health care | 103,887,162 | 103,887,162 | — | — | |||||||||||||||
Industrials | 139,736,159 | 139,736,159 | — | — | |||||||||||||||
Information technology | 198,059,543 | 174,173,708 | 23,885,835 | — | |||||||||||||||
Materials | 41,962,988 | 41,962,988 | — | — | |||||||||||||||
Short-term investments | 35,428,000 | — | 35,428,000 | — | |||||||||||||||
Total investments in securities | $ | 1,446,353,070 | $ | 1,339,208,819 | $ | 107,144,251 | — | ||||||||||||
Global Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Brazil | $ | 3,094,232 | $ | 3,094,232 | — | — | |||||||||||||
China | 8,121,307 | 2,872,162 | $ | 5,249,145 | — | ||||||||||||||
Denmark | 1,999,987 | — | 1,999,987 | — | |||||||||||||||
France | 40,601,178 | — | 40,601,178 | — | |||||||||||||||
Germany | 29,632,121 | — | 29,632,121 | — | |||||||||||||||
Hong Kong | 8,260,202 | — | 8,260,202 | — | |||||||||||||||
India | 4,075,877 | — | 4,075,877 | — | |||||||||||||||
Ireland | 12,068,113 | 4,779,292 | 7,288,821 | — | |||||||||||||||
Israel | 12,732,803 | 12,732,803 | — | — |
Total Value at 6-30-16 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Trust (continued) | |||||||||||||||||||
Italy | $ | 10,215,881 | — | $ | 10,215,881 | — | |||||||||||||
Japan | 21,712,537 | — | 21,712,537 | — | |||||||||||||||
Netherlands | 34,655,990 | — | 34,655,990 | — | |||||||||||||||
Portugal | 6,343,701 | — | 6,343,701 | — | |||||||||||||||
Russia | 5,461,899 | $ | 5,461,899 | — | — | ||||||||||||||
Singapore | 11,699,804 | — | 11,699,804 | — | |||||||||||||||
South Korea | 37,862,644 | 6,761,754 | 31,100,890 | — | |||||||||||||||
Spain | 6,596,653 | — | 6,596,653 | — | |||||||||||||||
Sweden | 11,205,375 | — | 11,205,375 | — | |||||||||||||||
Switzerland | 22,791,387 | — | 22,791,387 | — | |||||||||||||||
Thailand | 1,334,112 | — | 1,334,112 | — | |||||||||||||||
Turkey | �� | 5,876,313 | 5,876,313 | — | — | ||||||||||||||
United Kingdom | 62,234,225 | 6,554,611 | 55,679,614 | — | |||||||||||||||
United States | 181,676,530 | 181,676,530 | — | — | |||||||||||||||
Securities lending collateral | 10,645,077 | 10,645,077 | — | — | |||||||||||||||
Short-term investments | 4,000,000 | — | 4,000,000 | — | |||||||||||||||
Total investments in securities | $ | 554,897,948 | $ | 240,454,673 | $ | 314,443,275 | — | ||||||||||||
Health Sciences Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 521,896 | — | — | $ | 521,896 | |||||||||||||
Consumer staples | 6,992,488 | $ | 6,744,904 | $ | 247,584 | — | |||||||||||||
Health care | 275,478,748 | 270,071,937 | 4,912,331 | 494,480 | |||||||||||||||
Industrials | 725,495 | 725,495 | — | — | |||||||||||||||
Information technology | 1,902,036 | 1,902,036 | — | — | |||||||||||||||
Preferred securities | |||||||||||||||||||
Consumer discretionary | 368,498 | — | — | 368,498 | |||||||||||||||
Health care | 1,066,058 | 926,152 | — | 139,906 | |||||||||||||||
Information technology | 129,605 | — | — | 129,605 | |||||||||||||||
Convertible bonds | 385,165 | — | 385,165 | — | |||||||||||||||
Rights | 4,375 | 4,375 | — | — | |||||||||||||||
Warrants | 1 | — | 1 | — | |||||||||||||||
Short-term investments | 6,505,331 | 6,505,331 | — | — | |||||||||||||||
Total investments in securities | $ | 294,079,696 | $ | 286,880,230 | $ | 5,545,081 | $ | 1,654,385 | |||||||||||
Other financial instruments: | |||||||||||||||||||
Written options | ($87,767 | ) | ($87,767 | ) | �� | — | — | ||||||||||||
International Core Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Australia | $ | 25,661,131 | — | $ | 25,661,131 | — | |||||||||||||
Austria | 3,515,324 | — | 3,515,324 | — | |||||||||||||||
Belgium | 5,723,020 | — | 5,723,020 | — | |||||||||||||||
Canada | 19,576,172 | $ | 19,576,172 | — | — | ||||||||||||||
China | 1,059,047 | — | 1,059,047 | — | |||||||||||||||
Denmark | 3,172,079 | — | 3,172,079 | — | |||||||||||||||
Faroe Islands | 686,899 | — | 686,899 | — | |||||||||||||||
Finland | 6,177,535 | — | 6,177,535 | — | |||||||||||||||
France | 58,076,561 | — | 58,076,561 | — | |||||||||||||||
Germany | 57,148,400 | — | 57,148,400 | — | |||||||||||||||
Hong Kong | 21,064,912 | — | 21,039,581 | $ | 25,331 | ||||||||||||||
Ireland | 709,755 | 591,824 | 117,931 | — | |||||||||||||||
Isle of Man | 247,877 | — | 247,877 | — | |||||||||||||||
Israel | 7,748,987 | 3,281,551 | 4,467,436 | — | |||||||||||||||
Italy | 15,834,352 | — | 15,834,352 | — | |||||||||||||||
Japan | 145,901,593 | — | 145,901,593 | — | |||||||||||||||
Luxembourg | 210,217 | — | 210,217 | — | |||||||||||||||
Malta | 127,429 | — | — | 127,429 | |||||||||||||||
Netherlands | 16,043,633 | — | 16,043,633 | — | |||||||||||||||
New Zealand | 1,077,318 | — | 1,077,318 | — | |||||||||||||||
Norway | 8,747,623 | — | 8,747,623 | — | |||||||||||||||
Portugal | 740,962 | — | 740,962 | — | |||||||||||||||
Singapore | 1,377,260 | — | 1,377,260 | — | |||||||||||||||
Spain | 14,030,834 | — | 14,030,834 | — |
Total Value at 6-30-16 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
International Core Trust (continued) | |||||||||||||||||||
Sweden | $ | 10,295,730 | — | $ | 10,295,730 | — | |||||||||||||
Switzerland | 28,182,661 | — | 28,182,661 | — | |||||||||||||||
United Kingdom | 85,767,551 | $ | 621,504 | 85,146,047 | — | ||||||||||||||
Preferred securities | 2,854,283 | — | 2,854,283 | — | |||||||||||||||
Rights | 49,098 | — | 49,098 | — | |||||||||||||||
Securities lending collateral | 7,771,657 | 7,771,657 | — | — | |||||||||||||||
Short-term investments | 13,350,002 | 3,452,822 | 9,897,180 | — | |||||||||||||||
Total investments in securities | $ | 562,929,902 | $ | 35,295,530 | $ | 527,481,612 | $ | 152,760 | |||||||||||
Other financial instruments: | |||||||||||||||||||
Futures | $ | 128,173 | $ | 193,419 | ($65,246 | ) | — | ||||||||||||
International Equity Index Trust B | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Australia | $ | 29,705,570 | — | $ | 29,705,570 | — | |||||||||||||
Austria | 657,155 | — | 657,155 | — | |||||||||||||||
Belgium | 6,081,114 | — | 6,081,114 | — | |||||||||||||||
Brazil | 6,134,065 | $ | 6,134,065 | — | — | ||||||||||||||
Canada | 38,963,474 | 38,963,474 | — | — | |||||||||||||||
Chile | 1,551,027 | 1,456,587 | 94,440 | — | |||||||||||||||
China | 27,077,636 | 6,363,409 | 20,707,138 | $ | 7,089 | ||||||||||||||
Colombia | 616,409 | 616,409 | — | — | |||||||||||||||
Czech Republic | 245,278 | — | 245,278 | — | |||||||||||||||
Denmark | 7,814,270 | — | 7,814,270 | — | |||||||||||||||
Egypt | 222,848 | — | 222,848 | — | |||||||||||||||
Finland | 3,992,638 | — | 3,992,638 | — | |||||||||||||||
France | 37,618,736 | — | 37,618,736 | — | |||||||||||||||
Germany | 32,856,461 | — | 32,856,461 | — | |||||||||||||||
Greece | 515,952 | — | 515,952 | — | |||||||||||||||
Hong Kong | 18,690,833 | 80,323 | 18,598,630 | 11,880 | |||||||||||||||
Hungary | 387,183 | — | 387,183 | — | |||||||||||||||
India | 10,487,332 | 2,936,426 | 7,550,906 | — | |||||||||||||||
Indonesia | 3,376,502 | 11,001 | 3,365,501 | — | |||||||||||||||
Ireland | 5,128,379 | 322,112 | 4,806,267 | — | |||||||||||||||
Israel | 3,060,951 | 695,513 | 2,365,438 | — | |||||||||||||||
Italy | 7,075,341 | — | 7,075,341 | — | |||||||||||||||
Japan | 93,172,896 | — | 93,172,896 | — | |||||||||||||||
Jersey, Channel Islands | 394,446 | — | 394,446 | — | |||||||||||||||
Jordan | 158,728 | — | 158,728 | — | |||||||||||||||
Luxembourg | 995,947 | — | 995,947 | — | |||||||||||||||
Macau | 436,377 | — | 436,377 | — | |||||||||||||||
Malaysia | 3,872,390 | — | 3,872,390 | — | |||||||||||||||
Malta | 150,506 | — | 134,216 | 16,290 | |||||||||||||||
Mexico | 5,315,905 | 5,150,655 | 165,250 | — | |||||||||||||||
Netherlands | 17,425,996 | 773,137 | 16,652,859 | — | |||||||||||||||
New Zealand | 713,284 | — | 713,284 | — | |||||||||||||||
Norway | 2,663,816 | — | 2,663,816 | — | |||||||||||||||
Peru | 483,695 | 483,695 | — | — | |||||||||||||||
Philippines | 1,962,301 | — | 1,962,301 | — | |||||||||||||||
Poland | 1,487,865 | — | 1,487,865 | — | |||||||||||||||
Portugal | 585,699 | — | 585,699 | — | |||||||||||||||
Romania | 87,656 | — | 87,656 | — | |||||||||||||||
Russia | 4,635,199 | 3,256,235 | 1,378,964 | — | |||||||||||||||
Singapore | 5,708,498 | — | 5,708,498 | — | |||||||||||||||
South Africa | 8,900,025 | — | 8,898,924 | 1,101 | |||||||||||||||
South Korea | 17,613,289 | 229,266 | 17,384,023 | — | |||||||||||||||
Spain | 11,609,833 | 75,965 | 11,533,868 | — | |||||||||||||||
Sweden | 10,854,475 | — | 10,854,475 | — | |||||||||||||||
Switzerland | 38,547,509 | — | 38,547,509 | — | |||||||||||||||
Taiwan | 13,148,540 | — | 13,148,540 | — | |||||||||||||||
Thailand | 2,669,758 | — | 2,669,758 | — | |||||||||||||||
Turkey | 1,683,455 | — | 1,683,455 | — |
Total Value at 6-30-16 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
International Equity Index Trust B (continued) | |||||||||||||||||||
United Kingdom | $ | 68,669,226 | $ | 5,706 | $ | 68,663,520 | — | ||||||||||||
United States | 514,646 | 215,748 | 298,898 | — | |||||||||||||||
Preferred securities | 6,208,803 | 3,242,176 | 2,966,627 | — | |||||||||||||||
Rights | 31,394 | 5,028 | 26,366 | — | |||||||||||||||
Warrants | 9,610 | 2,410 | 7,200 | — | |||||||||||||||
Securities lending collateral | 4,778,350 | 4,778,350 | — | — | |||||||||||||||
Short-term investments | 848,411 | 848,411 | — | — | |||||||||||||||
Total investments in securities | $ | 568,597,682 | $ | 76,646,101 | $ | 491,915,221 | $ | 36,360 | |||||||||||
Other financial instruments: | |||||||||||||||||||
Futures | $ | 181,788 | $ | 98,919 | $ | 82,869 | — | ||||||||||||
International Growth Stock Trust | |||||||||||||||||||
Common stocks | �� | ||||||||||||||||||
Australia | $ | 16,553,968 | — | $ | 16,553,968 | — | |||||||||||||
Brazil | 8,370,081 | $ | 8,370,081 | — | — | ||||||||||||||
Canada | 32,149,912 | 32,149,912 | — | — | |||||||||||||||
China | 6,551,335 | 6,551,335 | — | — | |||||||||||||||
Denmark | 11,339,672 | — | 11,339,672 | — | |||||||||||||||
France | 13,671,563 | — | 13,671,563 | — | |||||||||||||||
Germany | 34,482,266 | — | 34,482,266 | — | |||||||||||||||
Hong Kong | 13,151,955 | — | 13,151,955 | — | |||||||||||||||
Israel | 10,161,177 | 10,161,177 | — | — | |||||||||||||||
Japan | 31,579,220 | — | 31,579,220 | — | |||||||||||||||
Mexico | 10,613,142 | 10,613,142 | — | — | |||||||||||||||
Netherlands | 5,976,060 | — | 5,976,060 | — | |||||||||||||||
Singapore | 14,159,918 | 9,118,564 | 5,041,354 | — | |||||||||||||||
South Korea | 2,919,103 | — | 2,919,103 | — | |||||||||||||||
Spain | 5,289,320 | — | 5,289,320 | — | |||||||||||||||
Sweden | 18,331,462 | — | 18,331,462 | — | |||||||||||||||
Switzerland | 28,947,918 | — | 28,947,918 | — | |||||||||||||||
Taiwan | 9,509,909 | — | 9,509,909 | — | |||||||||||||||
Thailand | 5,719,281 | — | 5,719,281 | — | |||||||||||||||
Turkey | 4,398,723 | — | 4,398,723 | — | |||||||||||||||
United Kingdom | 85,749,639 | — | 85,749,639 | — | |||||||||||||||
Short-term investments | 24,945,142 | 24,945,142 | — | — | |||||||||||||||
Total investments in securities | $ | 394,570,766 | $ | 101,909,353 | $ | 292,661,413 | — | ||||||||||||
International Small Company Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Australia | $ | 7,457,198 | $ | 121,728 | $ | 7,267,337 | $ | 68,133 | |||||||||||
Austria | 1,291,982 | — | 1,291,982 | — | |||||||||||||||
Belgium | 1,903,175 | — | 1,903,158 | 17 | |||||||||||||||
Bermuda | 229,398 | — | 229,398 | — | |||||||||||||||
Cambodia | 69,444 | — | 69,444 | — | |||||||||||||||
Canada | 8,885,791 | 8,874,830 | 10,670 | 291 | |||||||||||||||
China | 44,690 | 22,640 | 22,050 | — | |||||||||||||||
Denmark | 2,476,036 | — | 2,476,036 | — | |||||||||||||||
Faroe Islands | 82,250 | — | 82,250 | — | |||||||||||||||
Finland | 2,928,164 | — | 2,928,164 | — | |||||||||||||||
France | 5,072,242 | — | 5,072,242 | — | |||||||||||||||
Gabon | 2,943 | — | 2,943 | — | |||||||||||||||
Germany | 6,730,027 | — | 6,730,027 | — | |||||||||||||||
Gibraltar | 33,463 | — | 33,463 | — | |||||||||||||||
Greece | 150 | — | — | 150 | |||||||||||||||
Guernsey, Channel Islands | 3,210 | — | 3,210 | — | |||||||||||||||
Hong Kong | 3,310,231 | — | 3,292,140 | 18,091 | |||||||||||||||
India | 14,926 | — | 14,926 | — | |||||||||||||||
Ireland | 784,452 | — | 784,452 | — | |||||||||||||||
Isle of Man | 219,805 | — | 219,805 | — | |||||||||||||||
Israel | 622,205 | 5,420 | 616,785 | — | |||||||||||||||
Italy | 3,997,915 | — | 3,997,915 | — | |||||||||||||||
Japan | 24,796,086 | — | 24,796,086 | — |
Total Value at 6-30-16 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
International Small Company Trust (continued) | |||||||||||||||||||
Jersey, Channel Islands | $ | 240,930 | — | $ | 240,930 | — | |||||||||||||
Liechtenstein | 57,233 | — | 57,233 | — | |||||||||||||||
Luxembourg | 514,804 | — | 514,804 | — | |||||||||||||||
Macau | 7,991 | — | 7,991 | — | |||||||||||||||
Malta | 100,099 | — | 100,099 | — | |||||||||||||||
Monaco | 54,029 | $ | 54,029 | — | — | ||||||||||||||
Mongolia | 4,073 | — | 4,073 | — | |||||||||||||||
Netherlands | 1,939,920 | — | 1,939,920 | — | |||||||||||||||
New Zealand | 1,599,038 | — | 1,599,038 | — | |||||||||||||||
Norway | 773,112 | — | 773,112 | — | |||||||||||||||
Peru | 39,963 | — | 39,963 | — | |||||||||||||||
Portugal | 341,765 | — | 341,765 | — | |||||||||||||||
Russia | 24,117 | — | 24,117 | — | |||||||||||||||
Singapore | 1,167,062 | — | 1,167,062 | — | |||||||||||||||
South Africa | 62,518 | — | 62,518 | — | |||||||||||||||
Spain | 2,417,556 | — | 2,417,556 | — | |||||||||||||||
Sweden | 3,547,935 | — | 3,547,935 | — | |||||||||||||||
Switzerland | 5,634,653 | 29,105 | 5,605,548 | — | |||||||||||||||
United Arab Emirates | 31,590 | — | 31,590 | — | |||||||||||||||
United Kingdom | 15,828,312 | 142,856 | 15,647,093 | $ | 38,363 | ||||||||||||||
United States | 176,101 | 61,321 | 114,780 | — | |||||||||||||||
Preferred securities | 325,861 | — | 325,861 | — | |||||||||||||||
Rights | 46,950 | 6,197 | 40,753 | — | |||||||||||||||
Warrants | 2,299 | 2,279 | 20 | — | |||||||||||||||
Securities lending collateral | 1,218,036 | 1,218,036 | — | — | |||||||||||||||
Short-term investments | 97,902 | 97,902 | — | — | |||||||||||||||
Total investments in securities | $ | 107,209,632 | $ | 10,636,343 | $ | 96,448,244 | $ | 125,045 | |||||||||||
International Value Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Australia | $ | 15,622,650 | — | $ | 15,622,650 | — | |||||||||||||
Belgium | 5,283,171 | — | 5,283,171 | — | |||||||||||||||
Canada | 74,810,373 | $ | 74,810,373 | — | — | ||||||||||||||
China | 52,987,264 | 17,759,491 | 35,227,773 | — | |||||||||||||||
France | 66,028,549 | — | 66,028,549 | — | |||||||||||||||
Germany | 47,640,307 | — | 47,640,307 | — | |||||||||||||||
Hong Kong | 31,431,746 | — | 31,431,746 | — | |||||||||||||||
India | 10,555,637 | — | 10,555,637 | �� | — | ||||||||||||||
Israel | 14,653,297 | 14,653,297 | — | — | |||||||||||||||
Italy | 16,810,111 | — | 16,810,111 | — | |||||||||||||||
Japan | 39,860,661 | — | 39,860,661 | — | |||||||||||||||
Luxembourg | 7,060,291 | — | 7,060,291 | — | |||||||||||||||
Mexico | 5,339,333 | 5,339,333 | — | — | |||||||||||||||
Netherlands | 52,678,031 | — | 52,678,031 | — | |||||||||||||||
Norway | 4,273,643 | — | 4,273,643 | — | |||||||||||||||
Singapore | 8,326,019 | — | 8,326,019 | — | |||||||||||||||
South Africa | 2,834,408 | — | 2,834,408 | — | |||||||||||||||
South Korea | 110,909,105 | 20,871,454 | 90,037,651 | — | |||||||||||||||
Spain | 3,730,381 | — | 3,730,381 | — | |||||||||||||||
Sweden | 5,409,294 | — | 5,409,294 | — | |||||||||||||||
Switzerland | 55,095,485 | — | 55,095,485 | — | |||||||||||||||
Taiwan | 8,053,380 | — | 8,053,380 | — | |||||||||||||||
Thailand | 9,065,626 | — | 9,065,626 | — | |||||||||||||||
United Kingdom | 102,360,813 | — | 102,360,813 | — | |||||||||||||||
United States | 32,425,366 | 32,425,366 | — | — | |||||||||||||||
Securities lending collateral | 50,268,213 | 50,268,213 | — | — | |||||||||||||||
Short-term investments | 3,000,000 | — | 3,000,000 | — | |||||||||||||||
Total investments in securities | $ | 836,513,154 | $ | 216,127,527 | $ | 620,385,627 | — |
Total Value at 6-30-16 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mid Cap Stock Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 143,391,513 | $ | 132,491,125 | $ | 9,344,851 | $ | 1,555,537 | |||||||||||
Consumer staples | 40,037,651 | 40,037,651 | — | — | |||||||||||||||
Energy | 26,817,123 | 26,817,123 | — | — | |||||||||||||||
Financials | 36,694,498 | 35,781,099 | — | 913,399 | |||||||||||||||
Health care | 138,808,161 | 125,534,457 | 13,273,704 | — | |||||||||||||||
Industrials | 67,004,616 | 67,004,616 | — | — | |||||||||||||||
Information technology | 160,884,061 | 160,884,061 | — | — | |||||||||||||||
Materials | 7,169,590 | 7,169,590 | — | — | |||||||||||||||
Preferred securities | 70,783,964 | — | — | 70,783,964 | |||||||||||||||
Corporate bonds | 396,255 | — | — | 396,255 | |||||||||||||||
Securities lending collateral | 97,051,427 | 97,051,427 | — | — | |||||||||||||||
Short-term investments | 5,900,000 | — | 5,900,000 | — | |||||||||||||||
Total investments in securities | $ | 794,938,859 | $ | 692,771,149 | $ | 28,518,555 | $ | 73,649,155 | |||||||||||
Mid Value Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 88,397,677 | $ | 81,091,523 | $ | 7,306,154 | — | ||||||||||||
Consumer staples | 60,080,253 | 53,153,541 | 6,926,712 | — | |||||||||||||||
Energy | 87,413,164 | 87,413,164 | — | — | |||||||||||||||
Financials | 217,245,062 | 213,590,120 | 3,654,942 | — | |||||||||||||||
Health care | 64,094,022 | 64,094,022 | — | — | |||||||||||||||
Industrials | 66,177,286 | 64,278,531 | 1,898,755 | — | |||||||||||||||
Information technology | 19,876,156 | 19,876,156 | — | — | |||||||||||||||
Materials | 79,076,706 | 79,076,706 | — | — | |||||||||||||||
Telecommunication services | 4,859,376 | 4,859,376 | — | — | |||||||||||||||
Utilities | 30,895,683 | 30,895,683 | — | — | |||||||||||||||
Securities lending collateral | 26,808,384 | 26,808,384 | — | — | |||||||||||||||
Short-term investments | 58,448,607 | 58,448,607 | — | — | |||||||||||||||
Total investments in securities | $ | 803,372,376 | $ | 783,585,813 | $ | 19,786,563 | — | ||||||||||||
Mutual Shares Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 43,205,764 | $ | 36,793,624 | $ | 6,412,140 | — | ||||||||||||
Consumer staples | 62,561,747 | 45,150,137 | 17,411,610 | — | |||||||||||||||
Energy | 39,433,195 | 25,795,311 | 13,175,625 | $ | 462,259 | ||||||||||||||
Financials | 110,583,011 | 108,014,771 | 2,568,240 | — | |||||||||||||||
Health care | 68,512,568 | 68,512,568 | — | — | |||||||||||||||
Industrials | 20,753,649 | 13,906,365 | 6,847,284 | — | |||||||||||||||
Information technology | 70,177,377 | 61,251,463 | 8,925,914 | — | |||||||||||||||
Materials | 19,610,268 | 13,723,675 | 5,886,593 | — | |||||||||||||||
Telecommunication services | 9,993,074 | — | 9,993,074 | — | |||||||||||||||
Utilities | 2,363,833 | 2,363,833 | — | — | |||||||||||||||
Corporate bonds | 11,375,421 | — | 11,375,421 | — | |||||||||||||||
Term loans | 16,669,682 | — | 16,669,682 | — | |||||||||||||||
Municipal bonds | 1,752,908 | — | 1,752,908 | — | |||||||||||||||
Securities lending collateral | 4,759,753 | 4,759,753 | — | — | |||||||||||||||
Short-term investments | 34,985,995 | — | 34,985,995 | — | |||||||||||||||
Total investments in securities | $ | 516,738,245 | $ | 380,271,500 | $ | 136,004,486 | $ | 462,259 | |||||||||||
Other financial instruments: | |||||||||||||||||||
Forward foreign currency contracts | $ | 2,735,612 | — | $ | 2,735,612 | — |
Total Value at 6-30-16 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Real Estate Securities Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Diversified REITs | $ | 33,537,406 | $ | 33,525,763 | — | $ | 11,643 | ||||||||||||
Health care REITs | 48,639,680 | 48,639,680 | — | — | |||||||||||||||
Hotel and resort REITs | 15,352,694 | 15,352,694 | — | — | |||||||||||||||
Industrial REITs | 35,828,878 | 35,828,878 | — | — | |||||||||||||||
Office REITs | 48,727,450 | 48,727,450 | — | — | |||||||||||||||
Residential REITs | 64,085,621 | 64,085,621 | — | — | |||||||||||||||
Retail REITs | 111,640,891 | 111,640,891 | — | — | |||||||||||||||
Specialized REITs | 79,126,131 | 79,126,131 | — | — | |||||||||||||||
Short-term investments | 5,982,000 | — | $ | 5,982,000 | — | ||||||||||||||
Total investments in securities | $ | 442,920,751 | $ | 436,927,108 | $ | 5,982,000 | $ | 11,643 | |||||||||||
Science & Technology Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 95,985,541 | $ | 95,926,300 | — | $ | 59,241 | ||||||||||||
Financials | 3,390,650 | 3,390,650 | — | — | |||||||||||||||
Health care | 12,267,115 | 12,267,115 | — | — | |||||||||||||||
Industrials | 1,740,258 | 1,740,258 | — | — | |||||||||||||||
Information technology | 315,676,848 | 290,730,575 | $ | 24,867,547 | 78,726 | ||||||||||||||
Telecommunication services | 9,715,035 | 2,487,686 | 7,227,349 | — | |||||||||||||||
Preferred securities | 3,144,959 | — | — | 3,144,959 | |||||||||||||||
Corporate bonds | 2,487,750 | — | 2,487,750 | — | |||||||||||||||
Securities lending collateral | 30,958,263 | 30,958,263 | — | — | |||||||||||||||
Short-term investments | 34,235,748 | 16,552,748 | 17,683,000 | — | |||||||||||||||
Total investments in securities | $ | 509,602,167 | $ | 454,053,595 | $ | 52,265,646 | $ | 3,282,926 | |||||||||||
Small Cap Growth Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 48,139,580 | $ | 48,139,580 | — | — | |||||||||||||
Consumer staples | 5,603,968 | 3,415,510 | $ | 2,188,458 | — | ||||||||||||||
Energy | 8,498,914 | 8,498,914 | — | — | |||||||||||||||
Financials | 37,037,541 | 37,037,541 | — | — | |||||||||||||||
Health care | 75,681,950 | 75,681,950 | — | — | |||||||||||||||
Industrials | 54,405,045 | 54,405,045 | — | — | |||||||||||||||
Information technology | 118,441,873 | 117,077,773 | — | $ | 1,364,100 | ||||||||||||||
Materials | 13,932,969 | 13,932,969 | — | — | |||||||||||||||
Telecommunication services | 3,117,245 | 3,117,245 | — | — | |||||||||||||||
Preferred securities | 12,711,102 | — | — | 12,711,102 | |||||||||||||||
Exchange-traded funds | 845,578 | 845,578 | — | — | |||||||||||||||
Securities lending collateral | 56,343,307 | 56,343,307 | — | — | |||||||||||||||
Short-term investments | 1,000,000 | — | 1,000,000 | — | |||||||||||||||
Total investments in securities | $ | 435,759,072 | $ | 418,495,412 | $ | 3,188,458 | $ | 14,075,202 | |||||||||||
Small Cap Index Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 54,038,826 | $ | 54,038,826 | — | — | |||||||||||||
Consumer staples | 12,511,493 | 12,511,493 | — | — | |||||||||||||||
Energy | 12,190,231 | 12,190,231 | — | — | |||||||||||||||
Financials | 103,142,514 | 103,118,072 | — | $ | 24,442 | ||||||||||||||
Health care | 54,482,393 | 54,387,194 | — | 95,199 | |||||||||||||||
Industrials | 55,351,679 | 55,351,679 | — | — | |||||||||||||||
Information technology | 69,008,041 | 69,008,041 | — | — | |||||||||||||||
Materials | 18,186,368 | 18,186,368 | — | — | |||||||||||||||
Telecommunication services | 3,800,480 | 3,764,920 | — | 35,560 | |||||||||||||||
Utilities | 17,106,393 | 17,106,393 | — | — | |||||||||||||||
Warrants | 247 | — | $ | 247 | — | ||||||||||||||
Securities lending collateral | 35,810,349 | 35,810,349 | — | — | |||||||||||||||
Short-term investments | 18,500,000 | — | 18,500,000 | — | |||||||||||||||
Total investments in securities | $ | 454,129,014 | $ | 435,473,566 | $ | 18,500,247 | $ | 155,201 | |||||||||||
Other financial instruments: | |||||||||||||||||||
Futures | ($384,669 | ) | ($384,669 | ) | — | — |
Total Value at 6-30-16 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Small Cap Opportunities Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 28,881,729 | $ | 28,881,729 | — | — | |||||||||||||
Consumer staples | 7,045,666 | 7,045,666 | — | — | |||||||||||||||
Energy | 14,384,852 | 14,384,852 | — | — | |||||||||||||||
Financials | 49,711,282 | 49,711,281 | — | $ | 1 | ||||||||||||||
Health care | 17,584,024 | 17,578,465 | — | 5,559 | |||||||||||||||
Industrials | 36,559,399 | 36,559,399 | — | — | |||||||||||||||
Information technology | 32,684,490 | 32,684,490 | — | — | |||||||||||||||
Materials | 12,758,653 | 12,758,653 | — | — | |||||||||||||||
Telecommunication services | 2,932,319 | 2,912,186 | — | 20,133 | |||||||||||||||
Utilities | 2,423,896 | 2,423,896 | — | — | |||||||||||||||
Securities lending collateral | 8,445,163 | 8,445,163 | — | — | |||||||||||||||
Short-term investments | 2,149,428 | 2,149,428 | — | — | |||||||||||||||
Total investments in securities | $ | 215,560,901 | $ | 215,535,208 | — | $ | 25,693 | ||||||||||||
Small Cap Value Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 40,307,023 | $ | 40,307,023 | — | — | |||||||||||||
Consumer staples | 23,809,124 | 5,335,153 | $ | 18,473,971 | — | ||||||||||||||
Energy | 33,638,632 | 33,638,632 | — | — | |||||||||||||||
Financials | 155,377,473 | 155,377,473 | — | — | |||||||||||||||
Health care | 47,428,949 | 47,428,949 | — | — | |||||||||||||||
Industrials | 216,943,884 | 209,167,968 | 7,775,916 | — | |||||||||||||||
Information technology | 58,824,832 | 58,824,832 | — | — | |||||||||||||||
Materials | 33,560,790 | 33,560,790 | — | — | |||||||||||||||
Utilities | 23,580,043 | 23,580,043 | — | — | |||||||||||||||
Securities lending collateral | 26,699,322 | 26,699,322 | — | — | |||||||||||||||
Short-term investments | 18,900,000 | — | 18,900,000 | — | |||||||||||||||
Total investments in securities | $ | 679,070,072 | $ | 633,920,185 | $ | 45,149,887 | — | ||||||||||||
Strategic Equity Allocation Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 1,132,684,267 | $ | 785,121,154 | $ | 347,563,113 | — | ||||||||||||
Consumer staples | 992,926,884 | 608,638,560 | 384,288,324 | — | |||||||||||||||
Energy | 584,312,307 | 431,517,890 | 152,794,417 | — | |||||||||||||||
Financials | 1,772,608,025 | 1,114,345,954 | 658,147,543 | $ | 114,528 | ||||||||||||||
Health care | 1,272,293,931 | 913,522,250 | 358,687,920 | 83,761 | |||||||||||||||
Industrials | 1,058,255,857 | 668,559,705 | 389,696,152 | — | |||||||||||||||
Information technology | 1,390,518,927 | 1,243,317,824 | 147,201,103 | — | |||||||||||||||
Materials | 417,905,781 | 217,317,775 | 200,588,006 | — | |||||||||||||||
Telecommunication services | 312,093,350 | 160,852,492 | 151,199,195 | 41,663 | |||||||||||||||
Utilities | 363,618,797 | 248,262,913 | 115,355,884 | — | |||||||||||||||
Preferred securities | 14,941,426 | — | 14,941,426 | — | |||||||||||||||
Rights | 110,056 | 34,863 | 75,193 | — | |||||||||||||||
Securities lending collateral | 132,976,190 | 132,976,190 | — | — | |||||||||||||||
Short-term investments | 251,630,000 | — | 251,630,000 | — | |||||||||||||||
Total investments in securities | $ | 9,696,875,798 | $ | 6,524,467,570 | $ | 3,172,168,276 | $ | 239,952 | |||||||||||
Other financial instruments: | |||||||||||||||||||
Futures | ($2,020,159 | ) | ($2,020,159 | ) | — | — | |||||||||||||
Total Stock Market Index Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 76,364,686 | $ | 76,361,249 | $ | 3,408 | $ | 29 | |||||||||||
Consumer staples | 58,511,899 | 58,510,930 | — | 969 | |||||||||||||||
Energy | 43,443,158 | 43,442,911 | 247 | — | |||||||||||||||
Financials | 98,555,493 | 98,555,486 | — | 7 | |||||||||||||||
Health care | 76,111,202 | 76,100,389 | — | 10,813 | |||||||||||||||
Industrials | 57,863,960 | 57,863,519 | 441 | — | |||||||||||||||
Information technology | 107,712,785 | 107,712,785 | — | — | |||||||||||||||
Materials | 17,977,034 | 17,977,034 | — | — |
Total Value at 6-30-16 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Total Stock Market Index Trust (continued) | |||||||||||||||||||
Telecommunication services | $ | 15,124,080 | $ | 15,118,990 | — | $ | 5,090 | ||||||||||||
Utilities | 19,838,908 | 19,838,908 | — | — | |||||||||||||||
Convertible bonds | 751 | — | $ | 751 | — | ||||||||||||||
Warrants | 212 | 99 | 113 | — | |||||||||||||||
Securities lending collateral | 9,987,271 | 9,987,271 | — | — | |||||||||||||||
Short-term investments | 10,520,000 | — | 10,520,000 | — | |||||||||||||||
Total investments in securities | $ | 592,011,439 | $ | 581,469,571 | $ | 10,524,960 | $ | 16,908 | |||||||||||
Other financial instruments: | |||||||||||||||||||
Futures | ($61,215 | ) | ($61,215 | ) | — | — | |||||||||||||
Utilities Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 23,176,333 | $ | 21,209,027 | $ | 1,967,306 | — | ||||||||||||
Energy | 50,018,108 | 50,018,108 | — | — | |||||||||||||||
Financials | 5,941,917 | 5,941,917 | — | — | |||||||||||||||
Industrials | 1,118,732 | 1,118,732 | — | — | |||||||||||||||
Telecommunication services | 36,629,187 | 9,951,677 | 26,677,510 | — | |||||||||||||||
Utilities | 198,357,036 | 150,812,598 | 47,544,438 | — | |||||||||||||||
Preferred securities | 34,825,483 | 34,825,483 | — | — | |||||||||||||||
Other | 1,068,226 | — | 1,068,226 | — | |||||||||||||||
Securities lending collateral | 10,765,890 | 10,765,890 | — | — | |||||||||||||||
Short-term investments | 9,805,000 | — | 9,805,000 | — | |||||||||||||||
Total investments in securities | $ | 371,705,912 | $ | 284,643,432 | $ | 87,062,480 | — | ||||||||||||
Other financial instruments: | |||||||||||||||||||
Forward foreign currency contracts | $ | 1,250,679 | — | $ | 1,250,679 | — | |||||||||||||
Value Trust | |||||||||||||||||||
Common stocks | |||||||||||||||||||
Consumer discretionary | $ | 59,660,919 | $ | 59,660,919 | — | — | |||||||||||||
Consumer staples | 15,969,831 | 15,969,831 | — | — | |||||||||||||||
Energy | 40,039,549 | 34,290,467 | $ | 5,749,082 | — | ||||||||||||||
Financials | 123,277,113 | 123,277,113 | — | — | |||||||||||||||
Health care | 44,635,059 | 44,635,059 | — | — | |||||||||||||||
Industrials | 85,547,905 | 85,547,905 | — | — | |||||||||||||||
Information technology | 64,147,701 | 64,147,701 | — | — | |||||||||||||||
Materials | 39,574,314 | 39,574,314 | — | — | |||||||||||||||
Telecommunication services | 14,083,133 | 14,083,133 | — | — | |||||||||||||||
Utilities | 18,834,759 | 18,834,759 | — | — | |||||||||||||||
Short-term investments | 20,751,359 | 20,751,359 | — | — | |||||||||||||||
Total investments in securities | $ | 526,521,642 | $ | 520,772,560 | $ | 5,749,082 | — |
Portfolio | | | Approximate Market Values Transferred | | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Emerging Markets Value Trust | $ | 38,076,589 | ||||||||
Financial Industries Trust | 2,974,140 | |||||||||
International Equity Index B Trust | 9,091,384 | |||||||||
International Growth Stock Trust | 7,141,725 | |||||||||
Utilities Trust | 5,303,971 |
Alpha Opportunities Trust | ||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock | Preferred Securities | Corporate Bonds | Total | |||||||||||||||||
Balance as of 12-31-15 | $ | 299,887 | $ | 14,605,895 | 48,473 | $ | 14,954,255 | |||||||||||||
Realized gain (loss) | — | — | — | — | ||||||||||||||||
Change in unrealized appreciation (depreciation) | 38,653 | (512,382 | ) | — | (473,729 | ) | ||||||||||||||
Purchases | — | — | — | — | ||||||||||||||||
Sales | — | — | — | — | ||||||||||||||||
Transfers into Level 3 | — | — | — | — | ||||||||||||||||
Transfers out of Level 3 | — | — | — | — | ||||||||||||||||
Balance as of 6-30-16 | $ | 338,540 | $ | 14,093,513 | $ | 48,473 | $ | 14,480,526 | ||||||||||||
Change in unrealized at period end* | $ | 38,653 | ($512,382 | ) | — | ($473,729 | ) |
Equity Income Trust | ||||||||
---|---|---|---|---|---|---|---|---|
Common Stock | ||||||||
Balance as of 12-31-15 | $ | 19,823,329 | ||||||
Realized gain (loss) | 3,015,896 | |||||||
Change in unrealized appreciation (depreciation) | (5,357,475 | ) | ||||||
Purchases | — | |||||||
Sales | (17,481,750 | ) | ||||||
Transfers into Level 3 | — | |||||||
Transfers out of Level 3 | — | |||||||
Balance as of 6-30-16 | — | |||||||
Change in unrealized at period end* | ($5,357,475 | ) |
Mid Cap Stock Trust | ||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock | Preferred Securities | Corporate Bonds | Total | |||||||||||||||||
Balance as of 12-31-15 | $ | 2,195,084 | $ | 76,380,398 | $ | 396,255 | $ | 78,971,737 | ||||||||||||
Realized gain (loss) | — | — | — | — | ||||||||||||||||
Change in unrealized appreciation (depreciation) | 273,852 | (5,596,434 | ) | — | (5,322,582 | ) | ||||||||||||||
Purchases | — | — | — | — | ||||||||||||||||
Sales | — | — | — | — | ||||||||||||||||
Transfers into Level 3 | — | — | — | — | ||||||||||||||||
Transfers out of Level 3 | — | — | — | — | ||||||||||||||||
Balance as of 6-30-16 | $ | 2,468,936 | $ | 70,783,964 | $ | 396,255 | $ | 73,649,155 | ||||||||||||
Change in unrealized at period end* | $ | 273,852 | (5,596,434 | ) | — | ($5,322,582 | ) |
Science & Technology Trust | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Consumer Discretionary | Information Technology | Total | ||||||||||||||
Balance as of 12-31-15 | $ | 661,985 | $ | 10,418,708 | $ | 11,080,693 | ||||||||||
Realized gain (loss) | — | 1,015,149 | 1,015,149 | |||||||||||||
Change in unrealized appreciation (depreciation) | (99,316 | ) | (2,403,725 | ) | (2,503,041 | ) | ||||||||||
Purchases | — | — | — | |||||||||||||
Sales | — | (6,309,875 | ) | (6,309,875 | ) | |||||||||||
Transfers into Level 3 | — | — | — | |||||||||||||
Transfers out of Level 3 | — | — | — | |||||||||||||
Balance as of 6-30-16 | $ | 562,669 | $ | 2,720,257 | $ | 3,282,926 | ||||||||||
Change in unrealized at period end* | ($99,316 | ) | ($543,406 | ) | ($642,722 | ) |
Small Cap Growth Trust | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock | Preferred Securities | Total | ||||||||||||||
Balance as of 12-31-15 | $ | 1,046,758 | $ | 13,682,171 | $ | 14,728,929 | ||||||||||
Realized gain (loss) | — | — | — | |||||||||||||
Change in unrealized appreciation (depreciation) | 317,342 | (971,069 | ) | (653,727 | ) | |||||||||||
Purchases | — | — | — | |||||||||||||
Sales | — | — | — | |||||||||||||
Transfers into Level 3 | — | — | — | |||||||||||||
Transfers out of Level 3 | — | — | — | |||||||||||||
Balance as of 6-30-16 | $ | 1,364,100 | $ | 12,711,102 | $ | 14,075,202 | ||||||||||
Change in unrealized at period end* | $ | 317,342 | ($971,069 | ) | ($653,727 | ) |
* | Change in unrealized appreciation (depreciation) attributable to Level 3 securities held at period end. This balance is included in change in unrealized appreciation (depreciation) on the Statements of operations. |
Alpha Opportunities Trust | | Fair Value at 6-30-16 | | Valuation Technique | | Significant Unobservable Inputs | | Input/Range | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stocks | $ | 128,191 | Market Approach | Prior/recent transactions | $50.19 | |||||||||||||
$ | 210,349 | Market Approach | EV to revenue multiple | 3.60x – 3.82x (weighted average 3.78x) | ||||||||||||||
Discount | 10% – 17.5% (weighted average 11.4%) | |||||||||||||||||
$ | 338,540 | |||||||||||||||||
Preferred Securities | $ | 4,359,261 | Market Approach | EV to revenue multiple | 1.21x – 7.07x (weighted average 4.75x) | |||||||||||||
Discount | 10% – 25% (weighted average 15.8%) | |||||||||||||||||
$ | 1,032,400 | Market Approach | EV to revenue multiple | 1.21x – 4.35x (weighted average 2.89x) | ||||||||||||||
Discount | 17.5% | |||||||||||||||||
Allocated using OPM — Volatility | 40% – 50% (weighted average 44.9%) | |||||||||||||||||
$ | 472,844 | Market Approach | EV to gross profit multiple | 6.02x | ||||||||||||||
Discount | 10% | |||||||||||||||||
$ | 8,074,335 | Market Approach | Prior/recent transactions | $48.77 – $50.19 (weighted average $48.97) | ||||||||||||||
$ | 154,673 | Market Approach | Probability weighted expected future price | $2.76 | ||||||||||||||
Discount | 32% | |||||||||||||||||
$ | 14,093,513 | |||||||||||||||||
Corporate Bonds | $ | 48,473 | Market Approach | Prior/recent transactions | $100 | |||||||||||||
Total | $ | 14,480,526 |
Mid Cap Stock Trust | | Fair Value at 6-30-16 | | Valuation Technique | | Significant Unobservable Inputs | | Input/Range | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stocks | $ | 913,399 | Market Approach | Prior/recent transactions | $50.19 | |||||||||||||
$ | 1,555,537 | Market Approach | EV to revenue multiple | 3.60x – 3.82x (weighted average 3.78x) | ||||||||||||||
Discount | 10% – 17.5% (weighted average 11.4%) | |||||||||||||||||
$ | 2,468,936 | |||||||||||||||||
Preferred Securities | $ | 7,425,951 | Market Approach | EV to revenue multiple | 1.21x – 4.35x (weighted average 2.89x) | |||||||||||||
Discount | 17.5% | |||||||||||||||||
Allocated using OPM — Volatility | 40% – 50% (weighted average 43%) | |||||||||||||||||
$ | 21,876,314 | Market Approach | EV to revenue multiple | 1.21x – 6.85x (weighted average 4.28x) | ||||||||||||||
Discount | 10% – 25% (weighted average 14.7%) | |||||||||||||||||
$ | 1,110,567 | Market Approach | Probability weighted expected future price | $2.76 | ||||||||||||||
Discount | 32% | |||||||||||||||||
$ | 3,408,888 | Market Approach | EV to gross profit multiple | 6.02x | ||||||||||||||
Discount | 10% | |||||||||||||||||
$ | 36,614,146 | Market Approach | Prior/recent transactions | $48.77 – $50.19 (weighted average $49.09) | ||||||||||||||
$ | 348,098 | Market Approach | Expected future value | $1.28 | ||||||||||||||
Discount | 10.3% | |||||||||||||||||
$ | 70,783,964 | |||||||||||||||||
Corporate Bonds | $ | 396,255 | Market Approach | Prior/recent transactions | $100 | |||||||||||||
Total | $ | 73,649,155 |
Science & Technology Trust | | Fair Value at 6-30-16 | | Valuation Technique | | Significant Unobservable Inputs | | Input/Range | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stocks | $ | 78,726 | Market Approach | EV to revenue multiple | 5.95x | |||||||||||||
Discount | 10% | |||||||||||||||||
$ | 59,241 | Market Approach | Prior/recent transactions Discount | $142.24 15% | ||||||||||||||
$ | 137,967 | |||||||||||||||||
Preferred Securities | $ | 1,475,031 | Market Approach | EV to revenue multiple | $5.95 – $7.07 (weighted average $6.28) | |||||||||||||
Discount | 10% | |||||||||||||||||
$ | 1,166,500 | Market Approach | Prior/recent transactions | $38.23 – $93.09 (weighted average $75.99) | ||||||||||||||
$ | 503,428 | Market Approach | Prior/recent transactions | $142.24 | ||||||||||||||
Discount | 15% | |||||||||||||||||
$ | 3,144,959 | |||||||||||||||||
Total | $ | 3,282,926 |
Small Cap Growth Trust | | Fair Value at 6-30-16 | | Valuation Technique | | Significant Unobservable Inputs | | Input/Range | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stocks | $ | 1,364,100 | Market Approach | Estimated liquidation value | $2.88 | |||||||||||||
Preferred Securities | $ | 7,913,472 | Market Approach | EV to revenue multiple | 2.74x – 7.07x (weighted average 5.35x) | |||||||||||||
Discount | 10% – 17.5% (weighted average 10.2%) | |||||||||||||||||
$ | 1,563,380 | Market Approach | EV to revenue multiple | 1.21x | ||||||||||||||
Discount | 17.5% | |||||||||||||||||
Allocated using OPM — Volatility | 50% | |||||||||||||||||
$ | 2,554,307 | Market Approach | Estimated liquidation value | $3.96 | ||||||||||||||
$ | 679,943 | Market Approach | Probability weighted expected future price | $4.19 – $5.45 (weighted average $4.87) | ||||||||||||||
Discount | 32% | |||||||||||||||||
$ | 12,711,102 | |||||||||||||||||
Total | $ | 14,075,202 |
Significant Unobservable Input | Impact to Valuation if input increases | | Impact to Valuation if input decreases | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Allocated using Options Pricing Method (OPM)—Volatility | Variable | Variable | ||||||||
Discount | Decrease | Increase | ||||||||
Enterprise value (“EV”) to gross profit multiple | Increase | Decrease | ||||||||
Enterprise value (“EV”) to revenue multiple | Increase | Decrease | ||||||||
Estimated liquidation value | Increase | Decrease | ||||||||
Prior/recent transactions | Increase | Decrease | ||||||||
Probability weighted expected future price | Increase | Decrease |
Portfolio | | | Market Value of Securities on Loan | | | | Cash Collateral Received | |||
---|---|---|---|---|---|---|---|---|---|---|
500 Index B Trust | $ | 23,985,900 | $ | 24,178,960 | ||||||
All Cap Core Trust | 21,894,201 | 22,049,025 | ||||||||
Alpha Opportunities Trust | 24,347,559 | 24,460,389 | ||||||||
Blue Chip Growth Trust | 24,160,020 | 24,465,350 | ||||||||
Capital Appreciation Trust | 20,003,726 | 19,985,325 | ||||||||
Emerging Markets Value Trust | 14,071,327 | 14,583,774 | ||||||||
Equity Income Trust | 12,690,547 | 13,034,475 | ||||||||
Global Trust | 9,974,996 | 10,633,347 | ||||||||
International Core Trust | 7,038,860 | 7,749,004 | ||||||||
International Equity Index B Trust | 4,615,919 | 4,772,133 | ||||||||
International Small Company Trust | 1,141,820 | 1,219,769 | ||||||||
International Value Trust | 47,796,650 | 50,237,345 | ||||||||
Mid Cap Index Trust | 36,574,056 | 36,944,822 | ||||||||
Mid Cap Stock Trust | 96,816,526 | 97,047,927 | ||||||||
Mid Value Trust | 26,656,880 | 26,801,714 | ||||||||
Mutual Shares Trust | 4,710,366 | 4,758,500 | ||||||||
Science & Technology Trust | 30,911,563 | 30,959,999 | ||||||||
Small Cap Growth Trust | 56,017,732 | 56,343,807 |
Portfolio | | | Market Value of Securities on Loan | | | | Cash Collateral Received | |||
---|---|---|---|---|---|---|---|---|---|---|
Small Cap Index Trust | $ | 35,103,536 | $ | 35,769,155 | ||||||
Small Cap Opportunities Trust | 8,275,604 | 8,445,731 | ||||||||
Small Cap Value Trust | 25,991,118 | 26,694,508 | ||||||||
Small Company Growth Trust | 3,549,015 | 3,637,200 | ||||||||
Small Company Value Trust | 8,147,099 | 8,355,525 | ||||||||
Strategic Equity Allocation Trust | 130,537,463 | 133,024,304 | ||||||||
Total Stock Market Index Trust | 9,821,393 | 9,988,701 | ||||||||
U.S. Equity Trust | 1,373,710 | 1,392,750 | ||||||||
Utilities Trust | 10,544,934 | 10,779,322 |
Portfolio | | Commitment Fee | ||||
---|---|---|---|---|---|---|
500 Index Trust B | $ | 2,444 | ||||
All Cap Core Trust | 778 | |||||
Alpha Opportunities Trust | 963 | |||||
American Asset Allocation Trust | 1,414 | |||||
American Global Growth Trust | 740 | |||||
American Growth Trust | 1,098 | |||||
American Growth-Income Trust | 1,192 | |||||
American International Trust | 892 | |||||
American New World Trust | 651 | |||||
Blue Chip Growth Trust | 1,492 | |||||
Capital Appreciation Trust | 1,110 | |||||
Capital Appreciation Value Trust | 803 | |||||
Core Strategy Trust | 2,515 | |||||
Emerging Markets Value Trust | 971 | |||||
Equity Income Trust | 1,494 | |||||
Financial Industries Trust | 703 | |||||
Franklin Templeton Founding Allocation Trust | 1,169 | |||||
Fundamental All Cap Core Trust | 1,460 | |||||
Fundamental Large Cap Value Trust | 1,434 | |||||
Global Trust | 925 | |||||
Health Sciences Trust | 800 | |||||
Lifestyle Aggressive PS Series | 626 | |||||
Lifestyle Balanced PS Series | 1,119 | |||||
Lifestyle Conservative PS Series | 714 | |||||
Lifestyle Growth PS Series | $ | 1,633 | ||||
Lifestyle Moderate PS Series | 782 | |||||
International Core Trust | 930 | |||||
International Equity Index Trust B | 28 | |||||
International Growth Stock Trust | 837 | |||||
International Small Company Trust | 671 | |||||
International Value Trust | 1,055 | |||||
Mid Cap Index Trust | 1,053 | |||||
Mid Cap Stock Trust | 1,015 | |||||
Mid Value Trust | 1,011 | |||||
Mutual Shares Trust | 890 | |||||
Real Estate Securities Trust | 27 | |||||
Science & Technology Trust | 878 | |||||
Small Cap Growth Trust | 836 | |||||
Small Cap Index Trust | 837 | |||||
Small Cap Opportunities Trust | 733 | |||||
Small Cap Value Trust | 962 | |||||
Small Company Growth Trust | 675 | |||||
Small Company Value Trust | 773 | |||||
Strategic Equity Allocation Trust | 5,822 | |||||
Total Stock Market Index Trust | 915 | |||||
U.S. Equity Trust | 985 | |||||
Utilities Trust | 803 | |||||
Value Trust | 911 |
Fund Name | | Amount | ||||
---|---|---|---|---|---|---|
500 Index Trust B | $ | 207,443 | ||||
All Cap Core Trust | 18,070 | |||||
Alpha Opportunities Trust | 49,811 | |||||
American Asset Allocation Trust | 5,826 | |||||
American Global Growth Trust | 5,826 | |||||
American Growth Trust | 5,826 | |||||
American Growth-Income Trust | 5,826 | |||||
American International Trust | 5,826 | |||||
American New World Trust | 5,826 | |||||
Blue Chip Growth Trust | 97,928 | |||||
Capital Appreciation Trust | 58,879 | |||||
Capital Appreciation Value Trust | 26,125 | |||||
Core Strategy Trust | 13,854 | |||||
Emerging Markets Value Trust | 202,998 | |||||
Equity Income Trust | 100,239 | |||||
Financial Industries Trust | 12,136 | |||||
Franklin Templeton Founding Allocation Trust | 5,826 | |||||
Fundamental All Cap Core Trust | 102,291 | |||||
Fundamental Large Cap Value Trust | 104,618 | |||||
Global Trust | 95,980 | |||||
Health Sciences Trust | 21,037 | |||||
International Core Trust | 130,490 | |||||
International Equity Index Trust B | 83,122 | |||||
International Growth Stock Trust | 77,076 | |||||
International Small Company Trust | $ | 94,648 | ||||
International Value Trust | 141,736 | |||||
Lifestyle Aggressive PS Series | 5,826 | |||||
Lifestyle Balanced PS Series | 5,826 | |||||
Lifestyle Conservative PS Series | 5,826 | |||||
Lifestyle Growth PS Series | 5,826 | |||||
Lifestyle Moderate PS Series | 5,826 | |||||
Mid Cap Index Trust | 49,711 | |||||
Mid Cap Stock Trust | 48,828 | |||||
Mid Value Trust | 47,717 | |||||
Mutual Shares Trust | 38,984 | |||||
Real Estate Securities Trust | 24,465 | |||||
Science & Technology Trust | 39,027 | |||||
Small Cap Growth Trust | 24,681 | |||||
Small Cap Index Trust | 24,683 | |||||
Small Cap Opportunities Trust | 19,356 | |||||
Small Cap Value Trust | 41,433 | |||||
Small Company Growth Trust | 6,951 | |||||
Small Company Value Trust | 17,840 | |||||
Strategic Equity Allocation Trust | 932,586 | |||||
Total Stock Market Index Trust | 33,649 | |||||
US Equity Trust | 40,774 | |||||
Utilities Trust | 32,469 | |||||
Value Trust | 33,429 |
NO EXPIRATION DATE | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PORTFOLIO | 2016 | | 2017 | | 2018 | | SHORT TERM | | LONG TERM | | |||||||||||||
All Cap Core Trust | — | $ | 194,851,274 | — | — | — | |||||||||||||||||
American International Trust | — | 3,108,508 | $ | 6,927,959 | — | $ | 16,201,918 | ||||||||||||||||
Emerging Markets Value Trust | — | — | — | $ | 105,181 | 34,458,710 | |||||||||||||||||
Financial Industries Trust | — | — | — | — | 982,890 | ||||||||||||||||||
Franklin Templeton Founding Allocation Trust | — | 30,016,725 | 43,590,851 | — | — | ||||||||||||||||||
Fundamental Large Cap Value Trust | — | 144,943,536 | — | — | — | ||||||||||||||||||
Global Trust | $ | 102,743,366 | 8,409,554 | 12,321,700 | — | — | |||||||||||||||||
International Core Trust | — | 28,167,352 | 20,744,500 | 6,553,623 | 24,259,501 | ||||||||||||||||||
International Equity Index Trust B | — | 623,557 | 1,514,111 | 620,077 | 975,019 | ||||||||||||||||||
International Growth Stock Trust | 143,999,317 | — | — | — | — | ||||||||||||||||||
International Small Company Trust | 179,802,386 | 157,081,665 | 6,569,935 | — | — | ||||||||||||||||||
International Value Trust | 81,377,718 | 268,676,893 | — | 3,998,350 | 12,409,585 | ||||||||||||||||||
Real Estate Securities Trust | 260,505,064 | 189,638,704 | — | — | — |
Portfolio | Aggregate Cost | | Unrealized Appreciation | | Unrealized (Depreciation) | | Net Unrealized Appreciation/ (Depreciation) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
500 Index Trust B | $ | 2,378,082,253 | $ | 1,484,195,233 | ($71,148,234 | ) | $ | 1,413,046,999 | ||||||||||
All Cap Core Trust | 306,830,332 | 18,177,154 | (10,221,477 | ) | 7,955,677 | |||||||||||||
Alpha Opportunities Trust | 621,589,264 | 59,986,824 | (28,369,349 | ) | 31,617,475 | |||||||||||||
American Asset Allocation Trust | 1,107,754,351 | 402,715,610 | — | 402,715,610 | ||||||||||||||
American Global Growth Trust | 240,952,301 | — | (25,247,568 | ) | (25,247,568 | ) | ||||||||||||
American Growth Trust | 807,866,334 | 57,667,805 | — | 57,667,805 | ||||||||||||||
American Growth-Income Trust | 998,131,633 | 54,873,035 | — | 54,873,035 | ||||||||||||||
American International Trust | 561,904,976 | — | (60,788,161 | ) | (60,788,161 | ) | ||||||||||||
American New World Trust | 90,125,819 | — | (15,656,171 | ) | (15,656,171 | ) | ||||||||||||
Blue Chip Growth Trust | 1,090,612,306 | 518,294,375 | (52,634,522 | ) | 465,659,853 | |||||||||||||
Capital Appreciation Trust | 688,411,508 | 208,699,359 | (22,271,536 | ) | 186,427,823 | |||||||||||||
Capital Appreciation Value Trust | 337,270,647 | 37,081,435 | (4,121,192 | ) | 32,960,243 | |||||||||||||
Core Strategy Trust | 3,585,145,338 | 5,478,444 | (1,154,327 | ) | 4,324,117 | |||||||||||||
Emerging Markets Value Trust | 881,440,020 | 93,478,551 | (222,379,658 | ) | (128,901,107 | ) | ||||||||||||
Equity Income Trust | 1,316,637,433 | 376,895,875 | (83,170,707 | ) | 293,725,168 | |||||||||||||
Financial Industries Trust | 149,118,318 | 7,709,814 | (16,995,109 | ) | (9,285,295 | ) | ||||||||||||
Franklin Templeton Founding Allocation Trust | 918,378,738 | 103,065,431 | — | 103,065,431 | ||||||||||||||
Fundamental All Cap Core Trust | 1,316,467,244 | 229,246,432 | (68,466,541 | ) | 160,779,891 | |||||||||||||
Fundamental Large Cap Value Trust | 1,412,808,468 | 119,860,154 | (86,315,552 | ) | 33,544,602 | |||||||||||||
Global Trust | 598,871,753 | 57,679,711 | (101,653,516 | ) | (43,973,805 | ) | ||||||||||||
Health Sciences Trust | 254,315,626 | 56,189,967 | (16,425,897 | ) | 39,764,070 | |||||||||||||
International Core Trust | 613,564,946 | 36,198,430 | (86,833,474 | ) | (50,635,044 | ) | ||||||||||||
International Equity Index Trust B | 521,164,429 | 137,223,361 | (89,790,108 | ) | 47,433,253 | |||||||||||||
International Growth Stock Trust | 364,671,287 | 55,226,059 | (25,326,580 | ) | 29,899,479 | |||||||||||||
International Small Company Trust | 111,941,390 | 22,050,291 | (26,782,049 | ) | (4,731,758 | ) | ||||||||||||
International Value Trust | 917,765,266 | 70,691,434 | (151,943,546 | ) | (81,252,112 | ) | ||||||||||||
Lifestyle Aggressive PS Series | 21,615,077 | 97,264 | (857,921 | ) | (760,657 | ) | ||||||||||||
Lifestyle Balanced PS Series | 984,231,113 | 11,767,420 | (11,412,169 | ) | 355,251 | |||||||||||||
Lifestyle Conservative PS Series | 203,655,740 | 3,526,964 | (446,840 | ) | 3,080,124 | |||||||||||||
Lifestyle Growth PS Series | 1,971,323,123 | 12,142,874 | (38,503,636 | ) | (26,360,762 | ) | ||||||||||||
Lifestyle Moderate PS Series | 327,464,031 | 4,610,250 | (2,645,224 | ) | 1,965,026 | |||||||||||||
Mid Cap Index Trust | 722,674,917 | 251,468,261 | (50,050,099 | ) | 201,418,162 | |||||||||||||
Mid Cap Stock Trust | 742,455,234 | 99,638,786 | (47,155,161 | ) | 52,483,625 | |||||||||||||
Mid Value Trust | 723,044,832 | 114,211,135 | (33,883,591 | ) | 80,327,544 | |||||||||||||
Mutual Shares Trust | 469,784,933 | 104,752,894 | (57,799,582 | ) | 46,953,312 | |||||||||||||
Real Estate Securities Trust | 402,634,732 | 46,405,255 | (6,119,236 | ) | 40,286,019 | |||||||||||||
Science and Technology Trust | 490,900,960 | 41,873,221 | (23,172,014 | ) | 18,701,207 | |||||||||||||
Small Cap Growth Trust | 424,344,129 | 37,312,129 | (25,897,186 | ) | 11,414,943 | |||||||||||||
Small Cap Index Trust | 382,355,768 | 108,091,157 | (36,317,911 | ) | 71,773,246 | |||||||||||||
Small Cap Opportunities Trust | 206,188,966 | 30,781,247 | (21,409,312 | ) | 9,371,935 | |||||||||||||
Small Cap Value Trust | 576,966,506 | 146,964,579 | (44,861,013 | ) | 102,103,566 | |||||||||||||
Small Company Growth Trust | 94,117,559 | 22,821,952 | (7,490,113 | ) | 15,331,839 | |||||||||||||
Small Company Value Trust | 235,582,999 | 80,015,808 | (9,734,415 | ) | 70,281,393 | |||||||||||||
Strategic Equity Allocation Trust | 7,855,103,561 | 2,439,847,204 | (598,074,967 | ) | 1,841,772,237 | |||||||||||||
Total Stock Market Index Trust | 366,464,585 | 255,904,478 | (30,357,624 | ) | 225,546,854 | |||||||||||||
U.S. Equity Trust | 640,505,693 | 59,018,237 | (30,271,635 | ) | 28,746,602 | |||||||||||||
Utilities Trust | 375,505,731 | 40,171,233 | (43,971,052 | ) | (3,799,819 | ) | ||||||||||||
Value Trust | 504,927,789 | 69,261,512 | (47,667,659 | ) | 21,593,853 |
Portfolio | | Open Contracts | | Number of Contracts | | Position | | Expiration Date | | Notional Basis* | | Notional Value* | | Unrealized Appreciation (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
500 Index Trust B | S&P 500 Index Futures | 185 | Long | Sep 2016 | $ | 97,007,179 | $ | 96,671,750 | ($335,429 | ) | ||||||||||||||||||||
($335,429 | ) |
Portfolio | | Open Contracts | | Number of Contracts | | Position | | Expiration Date | | Notional Basis* | | Notional Value* | | Unrealized Appreciation (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
All Cap Core Trust | Russell 2000 Mini Index Futures | 3 | Long | Sep 2016 | $ | 344,024 | $ | 344,220 | $ | 196 | ||||||||||||||||||||
S&P 500 Index E-Mini Futures | 33 | Long | Sep 2016 | 3,412,754 | 3,448,830 | 36,076 | ||||||||||||||||||||||||
$ | 36,272 |
Portfolio | | Open Contracts | | Number of Contracts | | Position | | Expiration Date | | Notional Basis* | | Notional Value* | | Unrealized Appreciation (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
International Core Trust | Euro Stoxx 50 Futures | 83 | Long | Sep 2016 | $ | 2,601,729 | $ | 2,652,757 | $ | 51,028 | ||||||||||||||||||||
FTSE 100 Index Futures | 16 | Long | Sep 2016 | 1,254,953 | 1,385,998 | 131,045 | ||||||||||||||||||||||||
Hang Seng Index Futures | 3 | Long | Jul 2016 | 384,835 | �� | 407,573 | 22,738 | |||||||||||||||||||||||
SPI 200 Futures | 7 | Long | Sep 2016 | 672,162 | 683,508 | 11,346 | ||||||||||||||||||||||||
Topix Index Futures | 13 | Long | Sep 2016 | 1,677,415 | 1,589,431 | (87,984 | ) | |||||||||||||||||||||||
$ | 128,173 |
Portfolio | | Open Contracts | | Number of Contracts | | Position | | Expiration Date | | Notional Basis* | | Notional Value* | | Unrealized Appreciation (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
International Equity Index Trust B | MINI MSCI EAFE Index Futures | 85 | Long | Sep 2016 | $ | 6,879,669 | $ | 6,864,600 | ($15,069 | ) | ||||||||||||||||||||
MINI MSCI Emerging Markets Index Futures | 82 | Long | Sep 2016 | 3,308,282 | 3,422,270 | 113,988 | ||||||||||||||||||||||||
MSCI Taiwan Index Futures | 66 | Long | Jul 2016 | 2,023,453 | 2,106,322 | 82,869 | ||||||||||||||||||||||||
$ | 181,788 |
Portfolio | | Open Contracts | | Number of Contracts | | Position | | Expiration Date | | Notional Basis* | | Notional Value* | | Unrealized Appreciation (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mid Cap Index Trust | S&P Mid 400 Index E-Mini Futures | 202 | Long | Sep 2016 | $ | 30,487,287 | $ | 30,158,600 | ($328,687 | ) | ||||||||||||||||||||
($328,687 | ) |
Portfolio | | Open Contracts | | Number of Contracts | | Position | | Expiration Date | | Notional Basis* | | Notional Value* | | Unrealized Appreciation (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Small Cap Index Trust | Russell 2000 Mini Index Futures | 180 | Long | Sep 2016 | $ | 21,037,869 | $ | 20,653,200 | ($384,669 | ) | ||||||||||||||||||||
($384,669 | ) |
Portfolio | | Open Contracts | | Number of Contracts | | Position | | Expiration Date | | Notional Basis* | | Notional Value* | | Unrealized Appreciation (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategic Equity Allocation Trust | Mini MSCI EAFE Index Futures | 1514 | Long | Sep 2016 | $ | 123,322,487 | $ | 122,270,640 | ($1,051,847 | ) | ||||||||||||||||||||
Russell 2000 Mini Index Futures | 133 | Long | Sep 2016 | 15,569,974 | 15,260,420 | (309,554 | ) | |||||||||||||||||||||||
S&P 500 Index Futures | 253 | Long | Sep 2016 | 133,095,064 | 132,205,150 | (889,914 | ) | |||||||||||||||||||||||
S&P Mid 400 Index E-Mini Futures | 239 | Long | Sep 2016 | 35,451,544 | 35,682,700 | 231,156 | ||||||||||||||||||||||||
($2,020,159 | ) |
Portfolio | | Open Contracts | | Number of Contracts | | Position | | Expiration Date | | Notional Basis* | | Notional Value* | | Unrealized Appreciation (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Total Stock Market Index Trust | Russell 2000 Mini Index Futures | 15 | Long | Sep 2016 | $ | 1,747,372 | $ | 1,721,100 | ($26,272 | ) | ||||||||||||||||||||
S&P 500 Index Futures | 19 | Long | Sep 2016 | 9,955,283 | 9,928,450 | (26,833 | ) | |||||||||||||||||||||||
S&P Mid 400 Index E-Mini Futures | 5 | Long | Sep 2016 | 754,610 | 746,500 | (8,110 | ) | |||||||||||||||||||||||
($61,215 | ) |
Portfolio | | Open Contracts | | Number of Contracts | | Position | | Expiration Date | | Notional Basis* | | Notional Value* | | Unrealized Appreciation (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Equity Trust | S&P 500 Index E-Mini Futures | 57 | Long | Sep 2016 | $ | 5,965,645 | $ | 5,957,067 | ($8,578 | ) |
* | Notional basis refers to the contractual amount agreed upon at inception of open contracts; notional value represents the current value of the open contract. |
Portfolio | | Contract to Buy | | Contract to Sell | | Counterparty | | Contractual Settlement Date | | Unrealized Appreciation | | Unrealized Depreciation | | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Alpha Opportunities Trust | ||||||||||||||||||||||||||||||
USD 72,920 | CHF 70,000 | Bank of America, N.A. | 9/21/2016 | $ | 915 | — | $ | 915 | ||||||||||||||||||||||
$ | 915 | — | $ | 915 |
Portfolio | | Contract to Buy | | Contract to Sell | | Counterparty | | Contractual Settlement Date | | Unrealized Appreciation | | Unrealized Depreciation | | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mutual Shares Trust | ||||||||||||||||||||||||||||||
EUR 351,081 | USD 389,821 | Bank of America, N.A. | 7/21/2016 | $ | 14 | — | $ | 14 | ||||||||||||||||||||||
EUR 422,461 | USD 471,402 | Credit Suisse International | 7/21/2016 | — | ($2,308 | ) | (2,308 | ) | ||||||||||||||||||||||
EUR 336,943 | USD 374,832 | State Street Bank and Trust Company | 7/21/2016 | — | (695 | ) | (695 | ) | ||||||||||||||||||||||
EUR 300,903 | USD 334,539 | HSBC Bank PLC | 7/21/2016 | — | (421 | ) | (421 | ) | ||||||||||||||||||||||
GBP 443,101 | USD 630,459 | Bank of America, N.A. | 11/23/2016 | — | (39,663 | ) | (39,663 | ) | ||||||||||||||||||||||
GBP 192,377 | USD 271,610 | State Street Bank and Trust Company | 11/23/2016 | — | (15,109 | ) | (15,109 | ) | ||||||||||||||||||||||
GBP 276,131 | USD 390,507 | HSBC Bank PLC | 11/23/2016 | — | (22,336 | ) | (22,336 | ) | ||||||||||||||||||||||
KRW 108,175,352 | USD 93,967 | Credit Suisse International | 8/12/2016 | — | (90 | ) | (90 | ) | ||||||||||||||||||||||
KRW 147,320,000 | USD 128,844 | HSBC Bank PLC | 8/12/2016 | — | (995 | ) | (995 | ) | ||||||||||||||||||||||
USD 14,753,624 | EUR 13,451,693 | Bank of America, N.A. | 7/21/2016 | — | (182,927 | ) | (182,927 | ) | ||||||||||||||||||||||
USD 261,281 | EUR 235,547 | Credit Suisse International | 7/21/2016 | — | (265 | ) | (265 | ) | ||||||||||||||||||||||
USD 28,155 | EUR 25,700 | Deutsche Bank AG London | 7/21/2016 | — | (382 | ) | (382 | ) |
Portfolio | | Contract to Buy | | Contract to Sell | | Counterparty | | Contractual Settlement Date | | Unrealized Appreciation | | Unrealized Depreciation | | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mutual Shares Trust, continued | ||||||||||||||||||||||||||||||
USD 974,571 | EUR 874,892 | State Street Bank and Trust Company | 7/21/2016 | $ | 3,103 | — | $ | 3,103 | ||||||||||||||||||||||
USD 679,344 | EUR 609,496 | HSBC Bank PLC | 7/21/2016 | 2,569 | — | 2,569 | ||||||||||||||||||||||||
USD 1,032,551 | EUR 904,981 | Bank of America, N.A. | 11/4/2016 | 23,657 | — | 23,657 | ||||||||||||||||||||||||
USD 274,604 | EUR 244,299 | State Street Bank and Trust Company | 11/4/2016 | 2,253 | — | 2,253 | ||||||||||||||||||||||||
USD 1,823,728 | EUR 1,600,755 | HSBC Bank PLC | 11/4/2016 | 39,169 | — | 39,169 | ||||||||||||||||||||||||
USD 239,295 | GBP 178,378 | Bank of America, N.A. | 11/23/2016 | 1,459 | — | 1,459 | ||||||||||||||||||||||||
USD 71,726 | GBP 53,037 | Credit Suisse International | 11/23/2016 | 1,011 | — | 1,011 | ||||||||||||||||||||||||
USD 719,955 | GBP 518,594 | State Street Bank and Trust Company | 11/23/2016 | 28,503 | — | 28,503 | ||||||||||||||||||||||||
USD 34,476,546 | GBP 23,607,333 | HSBC Bank PLC | 11/23/2016 | 3,000,385 | — | 3,000,385 | ||||||||||||||||||||||||
USD 676,396 | KRW 807,038,739 | Bank of America, N.A. | 8/12/2016 | — | ($23,977 | ) | (23,977 | ) | ||||||||||||||||||||||
USD 934,535 | KRW 1,088,873,072 | Credit Suisse International | 8/12/2016 | — | (10,422 | ) | (10,422 | ) | ||||||||||||||||||||||
USD 1,793,226 | KRW 2,165,070,197 | HSBC Bank PLC | 8/12/2016 | — | (85,688 | ) | (85,688 | ) | ||||||||||||||||||||||
USD 533,714 | KRW 616,251,811 | Bank of America, N.A. | 11/14/2016 | — | (792 | ) | (792 | ) | ||||||||||||||||||||||
USD 471,650 | KRW 543,644,652 | Credit Suisse International | 11/14/2016 | 120 | — | 120 | ||||||||||||||||||||||||
USD 1,865,885 | KRW 2,128,836,881 | HSBC Bank PLC | 11/14/2016 | 19,439 | — | 19,439 | ||||||||||||||||||||||||
$ | 3,121,682 | ($386,070 | ) | $ | 2,735,612 |
Portfolio | | Contract to Buy | | Contract to Sell | | Counterparty | | Contractual Settlement Date | | Unrealized Appreciation | | Unrealized Depreciation | | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Utilities Trust | ||||||||||||||||||||||||||||||
CAD 274,544 | USD 214,443 | BNP Paribas SA | 7/15/2016 | — | ($1,931 | ) | ($1,931 | ) | ||||||||||||||||||||||
CAD 115,071 | USD 88,113 | Citibank N.A. | 7/15/2016 | $ | 959 | — | 959 | |||||||||||||||||||||||
CAD 6,906 | USD 5,390 | Deutsche Bank AG London | 7/15/2016 | — | (44 | ) | (44 | ) | ||||||||||||||||||||||
CAD 828,327 | USD 644,475 | Goldman Sachs International | 7/15/2016 | — | (3,303 | ) | (3,303 | ) | ||||||||||||||||||||||
CAD 361,563 | USD 277,375 | HSBC Bank USA | 7/15/2016 | 2,496 | — | 2,496 | ||||||||||||||||||||||||
CAD 312,030 | USD 238,524 | JPMorgan Chase Bank N.A. | 7/15/2016 | 3,005 | — | 3,005 | ||||||||||||||||||||||||
CAD 195,778 | USD 148,939 | Merrill Lynch International | 7/15/2016 | 2,604 | — | 2,604 | ||||||||||||||||||||||||
CAD 617,506 | USD 477,340 | Morgan Stanley Capital Services, Inc. | 7/15/2016 | 643 | — | 643 | ||||||||||||||||||||||||
EUR 120,893 | USD 134,931 | Barclays Bank PLC Wholesale | 7/15/2016 | — | (724 | ) | (724 | ) | ||||||||||||||||||||||
EUR 450,512 | USD 510,582 | BNP Paribas SA | 7/15/2016 | — | (10,455 | ) | (10,455 | ) | ||||||||||||||||||||||
EUR 718,990 | USD 807,043 | Citibank N.A. | 7/15/2016 | — | (8,867 | ) | (8,867 | ) | ||||||||||||||||||||||
EUR 2,469,863 | USD 2,826,351 | Deutsche Bank AG London | 7/15/2016 | — | (84,470 | ) | (84,470 | ) | ||||||||||||||||||||||
EUR 313,012 | USD 355,864 | JPMorgan Chase Bank N.A. | 7/15/2016 | — | (8,379 | ) | (8,379 | ) | ||||||||||||||||||||||
EUR 313,653 | USD 359,952 | Merrill Lynch International | 7/15/2016 | — | (11,755 | ) | (11,755 | ) | ||||||||||||||||||||||
EUR 553,522 | USD 627,906 | Morgan Stanley Capital Services, Inc. | 7/15/2016 | — | (13,421 | ) | (13,421 | ) | ||||||||||||||||||||||
GBP 44,457 | USD 63,999 | Goldman Sachs International | 7/15/2016 | — | (4,812 | ) | (4,812 | ) | ||||||||||||||||||||||
USD 7,668,504 | CAD 9,917,300 | Merrill Lynch International | 7/15/2016 | — | (8,049 | ) | (8,049 | ) | ||||||||||||||||||||||
USD 406,616 | EUR 359,349 | Barclays Bank PLC Wholesale | 7/15/2016 | 7,690 | — | 7,690 | ||||||||||||||||||||||||
USD 1,121,068 | EUR 989,619 | BNP Paribas SA | 7/15/2016 | 22,457 | — | 22,457 | ||||||||||||||||||||||||
USD 2,619,415 | EUR 2,288,240 | Citibank N.A. | 7/15/2016 | 79,160 | — | 79,160 | ||||||||||||||||||||||||
USD 441,622 | EUR 385,468 | Credit Suisse International | 7/15/2016 | 13,700 | — | 13,700 | ||||||||||||||||||||||||
USD 1,146,751 | EUR 1,024,308 | Deutsche Bank AG London | 7/15/2016 | 9,631 | — | 9,631 | ||||||||||||||||||||||||
USD 104,850 | EUR 92,265 | Goldman Sachs International | 7/15/2016 | 2,423 | — | 2,423 | ||||||||||||||||||||||||
USD 162,642 | EUR 144,321 | HSBC Bank USA | 7/15/2016 | 2,426 | — | 2,426 | ||||||||||||||||||||||||
USD 21,842,614 | EUR 19,083,448 | JPMorgan Chase Bank N.A. | 7/15/2016 | 657,415 | — | 657,415 | ||||||||||||||||||||||||
USD 1,125,680 | EUR 983,937 | Merrill Lynch International | 7/15/2016 | 33,376 | — | 33,376 | ||||||||||||||||||||||||
USD 1,298,385 | EUR 1,156,722 | Morgan Stanley Capital Services, Inc. | 7/15/2016 | 14,268 | — | 14,268 | ||||||||||||||||||||||||
USD 248,840 | EUR 218,000 | Royal Bank of Scotland PLC | 7/15/2016 | 6,831 | — | 6,831 | ||||||||||||||||||||||||
USD 200,239 | EUR 181,504 | UBS AG | 7/15/2016 | — | (1,254 | ) | (1,254 | ) | ||||||||||||||||||||||
USD 4,704,334 | EUR 4,160,182 | Deutsche Bank AG London | 9/15/2016 | 75,636 | — | 75,636 | ||||||||||||||||||||||||
USD 143,215 | GBP 99,215 | Barclays Bank PLC Wholesale | 7/15/2016 | 11,127 | — | 11,127 | ||||||||||||||||||||||||
USD 5,078,100 | GBP 3,575,358 | BNP Paribas SA | 7/15/2016 | 318,120 | — | 318,120 | ||||||||||||||||||||||||
USD 501,523 | GBP 375,886 | Deutsche Bank AG London | 7/15/2016 | 1,094 | — | 1,094 | ||||||||||||||||||||||||
USD 506,520 | GBP 351,370 | Goldman Sachs International | 7/15/2016 | 38,731 | — | 38,731 | ||||||||||||||||||||||||
USD 392,527 | GBP 268,988 | HSBC Bank USA | 7/15/2016 | 34,416 | — | 34,416 | ||||||||||||||||||||||||
USD 522,994 | GBP 361,102 | JPMorgan Chase Bank N.A. | 7/15/2016 | 42,248 | — | 42,248 | ||||||||||||||||||||||||
USD 309,301 | GBP 211,530 | Morgan Stanley Capital Services, Inc. | 7/15/2016 | 27,687 | — | 27,687 | ||||||||||||||||||||||||
$ | 1,408,143 | ($157,464 | ) | $ | 1,250,679 |
CAD | Canandian Dollar |
CHF | Swiss Franc |
EUR | Euro |
GBP | British Pound |
KRW | Korean Won |
USD | U.S. Dollar |
NUMBER OF CONTRACTS | PREMIUMS RECEIVED | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Capital Appreciation Value Trust | |||||||||||
Outstanding, beginning of period | 3,499 | $ | 1,008,046 | ||||||||
Options written | 5,317 | 1,142,326 | |||||||||
Options closed | (363 | ) | (199,914 | ) | |||||||
Options exercised | (498 | ) | (129,181 | ) | |||||||
Options expired | (996 | ) | (202,942 | ) | |||||||
Outstanding, end of period | 6,959 | $ | 1,618,335 | ||||||||
Health Sciences Trust | |||||||||||
Outstanding, beginning of period | 230 | $ | 97,421 | ||||||||
Options written | 427 | 298,900 | |||||||||
Option closed | (112 | ) | (16,469 | ) | |||||||
Options exercised | (222 | ) | (126,030 | ) | |||||||
Options expired | (118 | ) | (80,951 | ) | |||||||
Outstanding, end of period | 205 | $ | 172,871 |
Portfolio | | Name of Issuer | Exercise Price | | Expiration Date | | Number of Contracts | | Premium | | Value | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Capital Appreciation Value Trust | CALLS (OTC) | |||||||||||||||||||||||||
Citigroup Global Markets | Allergan PLC | $ | 270.00 | Jan 2017 | 16 | $ | 14,304 | ($11,520 | ) | |||||||||||||||||
Deutsche Bank AG London | Allergan PLC | 270.00 | Jan 2017 | 17 | 12,272 | (12,241 | ) | |||||||||||||||||||
Deutsche Bank AG London | Alphabet, Inc., Class A | 800.00 | Jan 2017 | 3 | 9,804 | (4,876 | ) | |||||||||||||||||||
Deutsche Bank AG London | Alphabet, Inc., Class A | 900.00 | Jan 2017 | 10 | 20,257 | (3,108 | ) | |||||||||||||||||||
Morgan Stanley Company, Inc. | Alphabet, Inc., Class C | 795.00 | Jan 2017 | 13 | 35,387 | (17,705 | ) | |||||||||||||||||||
Deutsche Bank AG London | Alphabet, Inc., Class C | 800.00 | Jan 2017 | 5 | 12,014 | (6,251 | ) | |||||||||||||||||||
Deutsche Bank AG London | Alphabet, Inc., Class C | 820.00 | Jan 2017 | 5 | 9,232 | (4,235 | ) | |||||||||||||||||||
Deutsche Bank AG London | Alphabet, Inc., Class C | 840.00 | Jan 2017 | 5 | 7,051 | (2,992 | ) | |||||||||||||||||||
Citigroup Global Markets | Altria Group, Inc. | 65.00 | Jan 2017 | 78 | 13,588 | (43,680 | ) | |||||||||||||||||||
Citigroup Global Markets | Altria Group, Inc. | 65.00 | Jan 2017 | 79 | 12,385 | (44,240 | ) | |||||||||||||||||||
Citigroup Global Markets | Altria Group, Inc. | 67.50 | Jan 2017 | 78 | 8,408 | (30,225 | ) | |||||||||||||||||||
Citigroup Global Markets | Altria Group, Inc. | 67.50 | Jan 2017 | 79 | 8,006 | (30,613 | ) | |||||||||||||||||||
Citigroup Global Markets | American Tower Corp. | 105.00 | Jan 2017 | 19 | 5,833 | (21,946 | ) | |||||||||||||||||||
Citigroup Global Markets | American Tower Corp. | 110.00 | Jan 2017 | 37 | 12,255 | (29,970 | ) | |||||||||||||||||||
Citigroup Global Markets | American Tower Corp. | 115.00 | Jan 2017 | 54 | 13,307 | (28,350 | ) | |||||||||||||||||||
Citigroup Global Markets | Apple, Inc. | 105.00 | Jan 2017 | 77 | 18,558 | (21,907 | ) | |||||||||||||||||||
Citigroup Global Markets | Apple, Inc. | 110.00 | Jan 2017 | 77 | 11,520 | (13,398 | ) | |||||||||||||||||||
Citigroup Global Markets | Apple, Inc. | 115.00 | Jan 2017 | 229 | 41,931 | (24,045 | ) | |||||||||||||||||||
Deutsche Bank AG London | Autozone, Inc. | 840.00 | Jan 2017 | 5 | 8,666 | (12,879 | ) | |||||||||||||||||||
Deutsche Bank AG London | Bank of America, N.A. | 160.00 | Jan 2017 | 20 | 15,106 | (1,160 | ) | |||||||||||||||||||
Deutsche Bank AG London | Bank of America, N.A. | 170.00 | Jan 2017 | 20 | 9,244 | (360 | ) | |||||||||||||||||||
Deutsche Bank AG London | Bank of New York Mellon Corp. | 45.00 | Jan 2017 | 304 | 77,378 | (20,903 | ) | |||||||||||||||||||
Deutsche Bank AG London | Bank of New York Mellon Corp. | 47.00 | Jan 2017 | 210 | 50,820 | (8,032 | ) | |||||||||||||||||||
Citigroup Global Markets | Comcast, Corp. | 62.50 | Jan 2017 | 298 | 100,632 | (153,470 | ) | |||||||||||||||||||
Citigroup Global Markets | Comcast, Corp. | 65.00 | Jan 2017 | 411 | 92,616 | (146,933 | ) | |||||||||||||||||||
J.P. Morgan Clearing | CVS Health Corp. | 100.00 | Jan 2017 | 42 | 25,415 | (12,285 | ) |
Portfolio | | Name of Issuer | Exercise Price | | Expiration Date | | Number of Contracts | | Premium | | Value | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Capital Appreciation Value Trust, continued | CALLS (OTC) | |||||||||||||||||||||||||
J.P. Morgan Clearing | CVS Health Corp. | $ | 105.00 | Jan 2017 | 42 | $ | 17,771 | ($5,587 | ) | |||||||||||||||||
Citigroup Global Markets | CVS Health Corp. | 105.00 | Jan 2017 | 20 | 3,682 | (2,660 | ) | |||||||||||||||||||
J.P. Morgan Clearing | CVS Health Corp. | 110.00 | Jan 2017 | 42 | 11,807 | (2,143 | ) | |||||||||||||||||||
Citigroup Global Markets | CVS Health Corp. | 110.00 | Jan 2017 | 64 | 9,745 | (3,265 | ) | |||||||||||||||||||
Citigroup Global Markets | CVS Health Corp. | 115.00 | Jan 2017 | 35 | 7,980 | (604 | ) | |||||||||||||||||||
Citigroup Global Markets | Danaher Corp. | 92.50 | Jan 2017 | 99 | 43,197 | (109,086 | ) | |||||||||||||||||||
Citigroup Global Markets | Danaher Corp. | 95.00 | Jan 2017 | 99 | 33,405 | (90,598 | ) | |||||||||||||||||||
Deutsche Bank AG London | Danaher Corp. | 100.00 | Jan 2017 | 45 | 13,096 | (26,325 | ) | |||||||||||||||||||
Deutsche Bank AG London | Danaher Corp. | 105.00 | Jan 2017 | 32 | 15,104 | (10,560 | ) | |||||||||||||||||||
Deutsche Bank AG London | Danaher Corp. | 105.00 | Jan 2017 | 92 | 20,884 | (30,360 | ) | |||||||||||||||||||
Deutsche Bank AG London | Danaher Corp. | 110.00 | Jan 2017 | 32 | 9,984 | (5,203 | ) | |||||||||||||||||||
Deutsche Bank AG London | Danaher Corp. | 115.00 | Jan 2017 | 32 | 6,080 | (2,451 | ) | |||||||||||||||||||
Citigroup Global Markets | Lowes Companies, Inc. | 80.00 | Jan 2017 | 26 | 5,828 | (11,375 | ) | |||||||||||||||||||
Citigroup Global Markets | Lowes Companies, Inc. | 82.50 | Jan 2017 | 26 | 4,317 | (8,385 | ) | |||||||||||||||||||
Citigroup Global Markets | Lowes Companies, Inc. | 85.00 | Jan 2017 | 124 | 21,746 | (27,900 | ) | |||||||||||||||||||
Citigroup Global Markets | Lowes Companies, Inc. | 87.50 | Jan 2017 | 47 | 9,868 | (6,937 | ) | |||||||||||||||||||
Citigroup Global Markets | Lowes Companies, Inc. | 90.00 | Jan 2017 | 96 | 11,673 | (9,360 | ) | |||||||||||||||||||
Citigroup Global Markets | LyondellBasell Industries NV, Class A | 87.50 | Jan 2017 | 90 | 24,544 | (15,290 | ) | |||||||||||||||||||
Deutsche Bank AG London | LyondellBasell Industries NV, Class A | 87.50 | Jan 2017 | 19 | 5,750 | (3,228 | ) | |||||||||||||||||||
Citigroup Global Markets | LyondellBasell Industries NV, Class A | 90.00 | Jan 2017 | 50 | 13,605 | (6,761 | ) | |||||||||||||||||||
Deutsche Bank AG London | LyondellBasell Industries NV, Class A | 90.00 | Jan 2017 | 18 | 4,381 | (2,434 | ) | |||||||||||||||||||
Citigroup Global Markets | LyondellBasell Industries NV, Class A | 92.50 | Jan 2017 | 50 | 10,702 | (4,504 | ) | |||||||||||||||||||
Deutsche Bank AG London | LyondellBasell Industries NV, Class A | 92.50 | Jan 2017 | 19 | 3,366 | (1,712 | ) | |||||||||||||||||||
Deutsche Bank AG London | Microsoft Corp. | 57.50 | Jan 2017 | 182 | 25,844 | (18,473 | ) | |||||||||||||||||||
Citigroup Global Markets | Microsoft Corp. | 57.50 | Jan 2017 | 139 | 19,182 | (14,108 | ) | |||||||||||||||||||
Deutsche Bank AG London | Microsoft Corp. | 62.50 | Jan 2017 | 171 | 36,252 | (5,217 | ) | |||||||||||||||||||
Deutsche Bank AG London | Microsoft Corp. | 62.50 | Jan 2017 | 165 | 25,575 | (5,034 | ) | |||||||||||||||||||
Deutsche Bank AG London | Microsoft Corp. | 65.00 | Jan 2017 | 171 | 26,505 | (2,736 | ) | |||||||||||||||||||
Citigroup Global Markets | PepsiCo. Inc. | 100.00 | Jan 2017 | 42 | 16,044 | (34,020 | ) | |||||||||||||||||||
Citigroup Global Markets | PepsiCo. Inc. | 105.00 | Jan 2017 | 93 | 28,240 | (43,478 | ) | |||||||||||||||||||
Citigroup Global Markets | PepsiCo. Inc. | 110.00 | Jan 2017 | 148 | 23,472 | (33,818 | ) | |||||||||||||||||||
RBC Capital Markets | Pfizer, Inc. | 35.00 | Jan 2017 | 183 | 23,396 | (31,750 | ) | |||||||||||||||||||
J.P. Morgan Clearing | Pfizer, Inc. | 35.00 | Jan 2017 | 284 | 25,202 | (49,274 | ) | |||||||||||||||||||
RBC Capital Markets | Pfizer, Inc. | 36.00 | Jan 2017 | 236 | 26,998 | (30,090 | ) | |||||||||||||||||||
RBC Capital Markets | Pfizer, Inc. | 37.00 | Jan 2017 | 71 | 5,740 | (6,177 | ) | |||||||||||||||||||
Deutsche Bank AG London | Philip Morris International, Inc. | 92.50 | Jan 2017 | 76 | 21,994 | (81,325 | ) | |||||||||||||||||||
Deutsche Bank AG London | Philip Morris International, Inc. | 95.00 | Jan 2017 | 76 | 16,667 | (66,445 | ) | |||||||||||||||||||
Citigroup Global Markets | Philip Morris International, Inc. | 95.00 | Jan 2017 | 66 | 15,312 | (57,702 | ) | |||||||||||||||||||
Citigroup Global Markets | Philip Morris International, Inc. | 97.50 | Jan 2017 | 66 | 10,032 | (45,595 | ) | |||||||||||||||||||
Deutsche Bank AG London | Philip Morris International, Inc. | 97.50 | Jan 2017 | 76 | 11,193 | (52,503 | ) | |||||||||||||||||||
Citigroup Global Markets | Texas Instruments, Inc. | 55.00 | Jan 2017 | 66 | 22,818 | (59,332 | ) | |||||||||||||||||||
Citigroup Global Markets | Texas Instruments, Inc. | 60.00 | Jan 2017 | 66 | 13,761 | (35,805 | ) | |||||||||||||||||||
Citigroup Global Markets | The Boeing Company | 160.00 | Jan 2017 | 9 | 6,590 | (522 | ) | |||||||||||||||||||
Citigroup Global Markets | The Boeing Company | 165.00 | Jan 2017 | 30 | 17,671 | (958 | ) | |||||||||||||||||||
Citigroup Global Markets | The Boeing Company | 170.00 | Jan 2017 | 10 | 4,465 | (180 | ) | |||||||||||||||||||
Deutsche Bank AG London | Thermo Fisher Scientific, Inc. | 155.00 | Jan 2017 | 13 | 6,621 | (7,670 | ) | |||||||||||||||||||
Citigroup Global Markets | Thermo Fisher Scientific, Inc. | 160.00 | Jan 2017 | 22 | 9,482 | (8,740 | ) | |||||||||||||||||||
Deutsche Bank AG London | Thermo Fisher Scientific, Inc. | 165.00 | Jan 2017 | 35 | 10,761 | (8,995 | ) | |||||||||||||||||||
Citigroup Global Markets | Thermo Fisher Scientific, Inc. | 165.00 | Jan 2017 | 26 | 10,062 | (6,682 | ) | |||||||||||||||||||
Citigroup Global Markets | Thermo Fisher Scientific, Inc. | 170.00 | Jan 2017 | 74 | 18,243 | (12,441 | ) | |||||||||||||||||||
Citigroup Global Markets | Thermo Fisher Scientific, Inc. | 170.00 | Jan 2017 | 25 | 6,050 | (4,203 | ) | |||||||||||||||||||
Citigroup Global Markets | Unitedhealth Group, Inc. | 140.00 | Jan 2017 | 16 | 5,992 | (14,840 | ) | |||||||||||||||||||
Deutsche Bank AG London | Unitedhealth Group, Inc. | 140.00 | Jan 2017 | 82 | 26,457 | (76,055 | ) | |||||||||||||||||||
Deutsche Bank AG London | Unitedhealth Group, Inc. | 145.00 | Jan 2017 | 38 | 7,910 | (25,840 | ) | |||||||||||||||||||
Morgan Stanley Company, Inc. | Unitedhealth Group, Inc. | 145.00 | Jan 2017 | 28 | 11,460 | (19,040 | ) | |||||||||||||||||||
Citigroup Global Markets | Unitedhealth Group, Inc. | 145.00 | Jan 2017 | 16 | 4,680 | (10,880 | ) | |||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 85.00 | Jan 2017 | 64 | 19,317 | (9,026 | ) | |||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 87.50 | Jan 2017 | 183 | 37,631 | (17,478 | ) | |||||||||||||||||||
Citigroup Global Markets | Visa, Inc. | 90.00 | Jan 2017 | 64 | 10,256 | (4,002 | ) | |||||||||||||||||||
Morgan Stanley Company, Inc. | Zoetis, Inc. | 55.00 | Jan 2017 | 77 | 13,361 | (8,483 | ) | |||||||||||||||||||
CALLS (EXCHANGE TRADED) | ||||||||||||||||||||||||||
Danaher Corp. | 110 | Jan 2017 | 47 | 6,406 | (6,406 | ) | ||||||||||||||||||||
Microsoft Corp. | 65 | Jan 2017 | 333 | 36,189 | (5,330 | ) | ||||||||||||||||||||
6,959 | $ | 1,618,335 | ($2,014,705 | ) |
Portfolio | | Name of Issuer | Exercise Price | | Expiration Date | | Number of Contracts | | Premium | | Value | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Health Sciences Trust | CALLS | |||||||||||||||||||||||||
Allergan PLC | $ | 270.00 | Jan 2017 | 25 | $ | 37,429 | ($18,000 | ) | ||||||||||||||||||
Intuitive Surgical, Inc. | 700.00 | Oct 2016 | 2 | 4,615 | (4,400 | ) | ||||||||||||||||||||
Neurocrine Biosciences, Inc. | 50.00 | Nov 2016 | 34 | 21,308 | (14,620 | ) | ||||||||||||||||||||
Neurocrine Biosciences, Inc. | 55.00 | Nov 2016 | 85 | 48,238 | (20,825 | ) | ||||||||||||||||||||
Regeneron Pharmaceuticals, Inc. | 420.00 | Aug 2016 | 11 | 35,653 | (1,512 | ) | ||||||||||||||||||||
Spark Therapeutics, Inc. | 60.00 | Sep 2016 | 9 | 4,533 | (2,475 | ) | ||||||||||||||||||||
Spark Therapeutics, Inc. | 50.00 | Sep 2016 | 39 | 21,095 | (25,935 | ) | ||||||||||||||||||||
205 | $ | 172,871 | ($87,767 | ) |
Portfolio | | Risk | | Statements of assets and liabilities location | | Financial instruments location | | Asset Derivative Fair Value | | Liability Derivatives Fair Value | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
500 Index Trust B | Equity | Receivable/payable for futures | Futures† | — | ($335,429 | ) | ||||||||||||||||
— | ($335,429 | ) | ||||||||||||||||||||
All Cap Core Trust | Equity | Receivable/payable for futures | Futures† | $ | 36,272 | — | ||||||||||||||||
$ | 36,272 | — | ||||||||||||||||||||
Alpha Opportunities Trust | Foreign currency | Unrealized appreciation/depreciaion on forward foreign currency contracts | Forward foreign currency contracts | $ | 915 | — | ||||||||||||||||
$ | 915 | — | ||||||||||||||||||||
Capital Appreciation Value Trust | Equity | Written options, at value | Written Options | — | ($2,014,705 | ) | ||||||||||||||||
— | ($2,014,705 | ) | ||||||||||||||||||||
Health Sciences Trust | Equity | Written options, at value | Written Options | — | ($87,767 | ) | ||||||||||||||||
— | ($87,767 | ) | ||||||||||||||||||||
International Core Trust | Equity | Receivable/payable for futures | Futures† | $ | 216,157 | ($87,984 | ) | |||||||||||||||
$ | 216,157 | ($87,984 | ) | |||||||||||||||||||
International Equity Index Trust B | Equity | Receivable/payable for futures | Futures† | $ | 196,857 | ($15,069 | ) | |||||||||||||||
$ | 196,857 | ($15,069 | ) | |||||||||||||||||||
Mid Cap Index Trust | Equity | Receivable/payable for futures | Futures† | — | ($328,687 | ) | ||||||||||||||||
— | ($328,687 | ) | ||||||||||||||||||||
Mutual Shares Trust | Foreign currency | Unrealized appreciation/depreciaion on forward foreign currency contracts | Forward foreign currency contracts | $ | 3,121,682 | ($386,070 | ) | |||||||||||||||
$ | 3,121,682 | ($386,070 | ) | |||||||||||||||||||
Small Cap Index Trust | Equity | Receivable/payable for futures | Futures† | — | ($384,669 | ) | ||||||||||||||||
— | �� | ($384,669 | ) | |||||||||||||||||||
Strategic Equity Allocation Trust | Equity | Receivable/payable for futures | Futures† | $ | 231,156 | ($2,251,315 | ) | |||||||||||||||
$ | 231,156 | ($2,251,315 | ) | |||||||||||||||||||
Total Stock Market Index Trust | Equity | Receivable/payable for futures | Futures† | — | ($61,215 | ) | ||||||||||||||||
— | ($61,215 | ) | ||||||||||||||||||||
U.S. Equity Trust | Equity | Receivable/payable for futures | Futures† | — | ($8,578 | ) | ||||||||||||||||
— | ($8,578 | ) | ||||||||||||||||||||
Utilities Trust | Foreign currency | Unrealized appreciation/depreciaion on forward foreign currency contracts | Forward foreign currency contracts | $ | 1,408,143 | ($157,464 | ) | |||||||||||||||
$ | 1,408,143 | ($157,464 | ) |
† | Reflects cumulative appreciation/depreciation on futures as disclosed on Note 3. Only the year end variation margin is separately disclosed in the Statements of assets and liabilities. |
Statements of operations location — Net Realized Gain (Loss) on: | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | | | Written options | | Futures Contracts | | Unaffiliated investments and foreign currency transactions* | | Total | | ||||||||||||||||
500 Index Trust B | Equity | — | $ | 6,489,932 | — | $ | 6,489,932 | |||||||||||||||||||
— | $ | 6,489,932 | — | $ | 6,489,932 |
Statements of operations location — Net Realized Gain (Loss) on: | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | | | Written options | | Futures Contracts | | Unaffiliated investments and foreign currency transactions* | | Total | | ||||||||||||||||
All Cap Core Trust | Equity | — | $ | 94,583 | — | $ | 94,583 | |||||||||||||||||||
— | $ | 94,583 | — | $ | 94,583 | |||||||||||||||||||||
Alpha Opportunities Trust | Foreign currency | — | — | ($323,600 | ) | ($323,600 | ) | |||||||||||||||||||
— | — | ($323,600 | ) | ($323,600 | ) | |||||||||||||||||||||
Capital Appreciation Value Trust | Equity | $ | 378,819 | — | — | $ | 378,819 | |||||||||||||||||||
$ | 378,819 | — | — | $ | 378,819 | |||||||||||||||||||||
Health Sciences Trust | Equity | $ | 94,856 | — | — | $ | 94,856 | |||||||||||||||||||
$ | 94,856 | — | — | $ | 94,856 | |||||||||||||||||||||
International Core Trust | Equity | — | ($645,841 | ) | — | ($645,841 | ) | |||||||||||||||||||
— | ($645,841 | ) | — | ($645,841 | ) | |||||||||||||||||||||
International Equity Index Trust B | Equity | — | $ | 187,927 | — | $ | 187,927 | |||||||||||||||||||
— | $ | 187,927 | — | $ | 187,927 | |||||||||||||||||||||
Mid Cap Index Trust | Equity | — | $ | 2,257,032 | — | $ | 2,257,032 | |||||||||||||||||||
— | $ | 2,257,032 | — | $ | 2,257,032 | |||||||||||||||||||||
Mutual Shares Trust | Foreign currency | — | — | $ | 1,943,518 | $ | 1,943,518 | |||||||||||||||||||
— | — | $ | 1,943,518 | $ | 1,943,518 | |||||||||||||||||||||
Small Cap Index Trust | Equity | — | $ | 1,214,172 | — | $ | 1,214,172 | |||||||||||||||||||
— | $ | 1,214,172 | — | $ | 1,214,172 | |||||||||||||||||||||
Strategic Equity Allocation Trust | Equity | — | $ | 7,203,810 | — | $ | 7,203,810 | |||||||||||||||||||
— | $ | 7,203,810 | — | $ | 7,203,810 | |||||||||||||||||||||
Total Stock Market Index Trust | Equity | — | $ | 336,577 | — | $ | 336,577 | |||||||||||||||||||
— | $ | 336,577 | — | $ | 336,577 | |||||||||||||||||||||
U.S. Equity Trust | Equity | — | $ | 1,430,268 | — | $ | 1,430,268 | |||||||||||||||||||
— | $ | 1,430,268 | — | $ | 1,430,268 | |||||||||||||||||||||
Utilities Trust | Foreign currency | — | — | $ | 85,512 | $ | 85,512 | |||||||||||||||||||
— | — | $ | 85,512 | $ | 85,512 |
* | Realized gain/loss associated with forward foreign currency contracts is included in this caption on the Statements of operations. |
Statements of operations location — Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | | Risk | | Written options | | Futures contracts | | Unaffiliated investments and translation of assets and liabilities in foreign currencies* | | Total | | |||||||||||||||
500 Index Trust | Equity | — | ($268,962 | ) | — | ($268,962 | ) | |||||||||||||||||||
— | ($268,962 | ) | — | ($268,962 | ) | |||||||||||||||||||||
All Cap Core Trust | Equity | ($25,115 | ) | ($25,115 | ) | |||||||||||||||||||||
— | ($25,115 | ) | — | ($25,115 | ) | |||||||||||||||||||||
Alpha Opportunities Trust | Foreign currency | — | — | $ | 60,749 | $ | 60,749 | |||||||||||||||||||
— | — | $ | 60,749 | $ | 60,749 | |||||||||||||||||||||
Capital Appreciation Value Trust | Equity | ($194,953 | ) | — | — | (194,953 | ) | |||||||||||||||||||
($194,953 | ) | — | — | (194,953 | ) | |||||||||||||||||||||
Health Sciences Trust | Equity | $ | 36,650 | — | — | $ | 36,650 | |||||||||||||||||||
$ | 36,650 | — | — | $ | 36,650 | |||||||||||||||||||||
International Core Trust | Equity | $ | 6,617 | $ | 6,617 | |||||||||||||||||||||
— | $ | 6,617 | — | $ | 6,617 | |||||||||||||||||||||
International Equity Index Trust B | Equity | — | ($26,332 | ) | — | ($26,332 | ) | |||||||||||||||||||
— | ($26,332 | ) | — | ($26,332 | ) | |||||||||||||||||||||
Mid Cap Index Trust | Equity | — | ($31,181 | ) | — | ($31,181 | ) | |||||||||||||||||||
— | ($31,181 | ) | — | ($31,181 | ) | |||||||||||||||||||||
Mutual Shares Trust | Foreign currency | — | — | $ | 790,817 | $ | 790,817 | |||||||||||||||||||
— | — | $ | 790,817 | $ | 790,817 | |||||||||||||||||||||
Small Cap Index Trust | Equity | — | ($390,146 | ) | — | ($390,146 | ) | |||||||||||||||||||
— | ($390,146 | ) | — | ($390,146 | ) | |||||||||||||||||||||
Strategic Equity Allocation Trust | Equity | ($3,321,686 | ) | ($3,321,686 | ) | |||||||||||||||||||||
— | ($3,321,686 | ) | — | ($3,321,686 | ) | |||||||||||||||||||||
Total Stock Market Index Trust | Equity | — | ($51,336 | ) | — | ($51,336 | ) | |||||||||||||||||||
— | ($51,336 | ) | — | ($51,336 | ) | |||||||||||||||||||||
U.S. Equity Trust | Equity | ($56,351 | ) | ($56,351 | ) | |||||||||||||||||||||
— | ($56,351 | ) | — | ($56,351 | ) | |||||||||||||||||||||
Utilities Trust | Foreign currency | — | — | ($276,359 | ) | ($276,359 | ) | |||||||||||||||||||
— | — | ($276,359 | ) | ($276,359 | ) |
* | Change in unrealized appreciation/depreciation associated with forward foreign currency contracts is included in this caption on the Statements of operations. |
• | 500 Index Trust B — a) 0.470% of the first $500 million of average net assets and b) 0.460% of the excess over $500 million of average net assets. |
• | All Cap Core Trust — a) 0.800% of the first $500 million of aggregate net assets and b) 0.750% of the excess over $500 million of aggregate net assets. |
• | Alpha Opportunities Trust — a) 0.975% of the first $1 billion of aggregate net assets; b) 0.950% of aggregate net assets between $1 billion and $2 billion; and c) 0.900% of the excess over $2 billion of aggregate net assets. |
• | Blue Chip Growth Trust — a) 0.825% of the first $1 billion of aggregate net assets and b) 0.775% of the excess over $1 billion of aggregate net assets. When aggregate net assets exceed $1 billion on any day, the annual rate of advisory fee for that day is 0.800% on the first $1 billion of aggregate net assets. |
• | Capital Appreciation Trust — a) 0.850% of the first $300 million of aggregate net assets; b) 0.800% of aggregate net assets between $300 million and $500 million; c) 0.700% of the aggregate net assets between $500 million and $1 billion; and d) 0.670% of the excess over $1 billion of aggregate net assets. |
• | Capital Appreciation Value Trust — If net aggregate assets are less than $500 million, then the following fee schedule shall apply: a) 0.950% of the first $250 million of aggregate net assets and b) 0.850% of the excess over $250 million of aggregate net assets. If aggregate net assets equal or exceed $500 million but are less than $2 billion, then the following fee schedule shall apply: a) 0.850% of the first $1 billion of aggregate net assets and b) 0.800% of the excess over $1 billion of aggregate net assets. If aggregate net assets equal or exceed $2 billion but are less than $3 billion, then the following fee schedule shall apply: a) 0.850% of the first $500 million of aggregate net assets and b) 0.800% of the excess over $500 million of aggregate net assets. If aggregate net assets equal or exceed $3 billion, then the advisory fee to be paid is 0.800% of aggregate net assets. |
• | Core Strategy Trust and Franklin Templeton Founding Allocation Trust — The advisory fee has two components: a) a fee on net assets invested in affiliated funds (Affiliated fund assets) and b) a fee on net assets not invested in affiliated funds (Other assets). Affiliated funds are any fund of the Trust, John Hancock Funds II (JHF II) and John Hancock Funds III (JHF III) excluding Money Market Trust B, 500 Index Trust B, International Equity Index Trust B and Total Bond Market Trust B. The advisory fee paid on Affiliated fund assets is as follows: a) 0.050% on the first $500 million of net assets and b) 0.040% of the excess over $500 million in net assets. The advisory fee paid on Other assets is as follows: a) 0.500% on the first $500 million of net assets and b) 0.490% of the excess over $500 million in net assets. |
• | Emerging Markets Value Trust — a) 1.000% of the first $100 million of aggregate net assets and b) 0.950% of the excess over $100 million of aggregate net assets. |
• | Equity Income Trust — a) 0.825% of the first $100 million of aggregate net assets, b) 0.800% of aggregate net assets between $100 million and $200 million, c) 0.775% of aggregate net assets between $200 million and $500 million, d) 0.750% of aggregate net assets between $500 million and $1 billion and e) 0.750% of the excess over $1 billion of aggregate net assets. When aggregate net assets exceed $200 million on any day, the annual rate of advisory fee for that day is 0.800% on the first $200 million of aggregate net assets. When aggregate net assets exceed $500 million on any day, the annual rate of advisory fee for that day is 0.775% on the first $500 million of aggregate net assets. When aggregate net assets exceed $1 billion on any day, the annual rate of advisory fee for that day is 0.750% on the first $1 billion of aggregate net assets. |
• | Financial Industries Trust — a) 0.800% of the first $250 million of aggregate net assets; b) 0.775% of aggregate net assets between $250 million and $500 million; c) 0.750% of aggregate net assets between $500 million and $1 billion; and d) 0.725% of the excess over $1 billion of aggregate net assets. |
• | Fundamental All Cap Core Trust — a) 0.675% of the first $2.5 billion of aggregate net assets and b) 0.650% of the excess over $2.5 billion of aggregate net assets. |
• | Fundamental Large Cap Value Trust — a) 0.700% of the first $500 million of aggregate net assets; b) 0.650% of aggregate net assets between $500 million and $1 billion; and c) 0.600% of the excess over $1 billion of aggregate net assets. |
• | Global Trust — Aggregate net assets are the aggregate net assets of Global Trust, International Value Trust, Income Trust, Mutual Shares Trust, JHF II Global Fund, JHF II International Value Fund, JHF II Income Fund, JHF II Mutual Shares Fund and JHF II International Small Cap Fund. The advisory fees paid are as follows: a) 0.850% of the first $1 billion of aggregate net assets and b) 0.800% of the excess over $1 billion of aggregate net assets. |
• | Health Sciences Trust — a) 1.050% of the first $500 million of aggregate net assets; b) 1.000% of aggregate net assets between $500 million and $750 million; and c) 0.950% of the excess over $750 million of aggregate net assets. When aggregate net assets exceed $750 million, the advisory fee is 0.950% on all net assets. |
• | International Core Trust — Aggregate net assets are the aggregate net assets of International Core Trust, JHF III International Core Fund and UCITS JH Global Equity (Ex-US) Fund. The advisory fees paid are as follows: a) 0.920% of the first $100 million of aggregate net assets; b) 0.890% of aggregate net assets between $100 million and $1 billion; c) 0.860% of aggregate net assets between $1 billion and $2 billion; d) 0.830% of aggregate net assets between $2 billion and $3 billion; e) 0.800% of aggregate net assets between $3 billion and $4 billion; and f) 0.780% of aggregate net assets in excess over $4 billion. |
• | International Equity Index Trust B — a) 0.550% of the first $100 million of average net assets and b) 0.530% of the excess over $100 million of average net assets. |
• | International Growth Stock Trust — a) 0.850% of the first $250 million of aggregate net assets; b) 0.800% of aggregate net assets between $250 million and $750 million; and c) 0.750% of the excess over $750 million of aggregate net assets. |
• | International Small Company Trust — 0.950% of aggregate net assets. |
• | International Value Trust — Aggregate net assets are the aggregate net assets of Global Trust, Income Trust, International Value Trust, Mutual Shares Trust, JHF II Global Fund, JHF II Income Fund, JHF II International Small Cap Fund, JHF II International Value Fund and JHF II Mutual Shares Fund. The advisory fees paid are as follows: a) 0.950% of the first $150 million of aggregate net assets; b) 0.850% of aggregate net assets between $150 million and $300 million; and c) 0.800% of the excess over $300 million of aggregate net assets. When aggregate net assets exceed $300 million, then the advisory fee rate is 0.800% of aggregate net assets. |
• | Lifestyle PS Series — The advisory fee has two components: a) a fee on net assets invested in affiliated funds (Affiliated fund assets) excluding Money Market Trust B, 500 Index Trust B, International Equity Index Trust B and Total Bond Market Trust B, and b) a fee on net assets not invested in affiliated funds (Other assets). The advisory fee paid on Affiliated fund assets is as follows: a) 0.050% of the first $7.5 billion of aggregate net assets and b) 0.040% of the excess over $7.5 billion in aggregate net assets. The advisory fee paid on Other assets is as follows: a) 0.500% of the first $7.5 billion of aggregate net assets and b) 0.490% of the excess over $7.5 billion in aggregate net assets. |
• | Mid Cap Index Trust and Small Cap Index Trust — a) 0.490% of the first $250 million of average net assets; b) 0.480% of average net assets between $250 million and $500 million; and c) 0.460% of the excess over $500 million of average net assets. |
• | Mid Cap Stock Trust — a) 0.875% of the first $200 million of aggregate net assets; b) 0.850% of aggregate net assets between $200 million and $500 million; and c) 0.825% of the excess over $500 million of aggregate net assets. |
• | Mid Value Trust — a) 1.050% of the first $20 million of aggregate net assets; b) 1.000% of the aggregate net assets between $20 million and $50 million; and c) 0.950% of the excess over $50 million of aggregate net assets. When aggregate net assets exceed $50 million, the advisory fee is 0.950% of all assets of the portfolio. |
• | Mutual Shares Trust — a) 0.960% of the first $750 million of average net assets; and b) 0.920% of the excess over $750 million of average net assets. When Aggregate Net Assets for the Mutual Shares Trust exceed $750 million, the advisory fee is 0.92% on all net assets. |
• | Real Estate Securities Trust — 0.700% of aggregate net assets. |
• | Science & Technology Trust and Small Company Value Trust — a) 1.050% of the first $500 million of aggregate net assets and b) 1.000% of the excess over $500 million of aggregate net assets. |
• | Small Cap Growth Trust — a) 1.100% of the first $100 million of aggregate net assets; and b) 1.050% of aggregate net assets between $100 million and $500 million; and c) 1.000% of the excess over $500 million of aggregate net assets. |
• | Small Cap Opportunities Trust — a) 1.000% of the first $500 million of aggregate net assets; b) 0.950% of aggregate net assets between $500 million and $1 billion; c) 0.900% of aggregate net assets between $1 billion and $2 billion; and d) 0.850% of the excess over $2 billion of aggregate net assets. Aggregate net assets include net assets of the portfolio and the JHF II New Opportunities Fund. |
• | Small Cap Value Trust — a) 1.100% of the first $100 million of aggregate net assets; b) 1.050% of aggregate net assets between $100 million and $600 million; and c) 1.000% of the excess over $600 million of aggregate net assets. |
• | Small Company Growth Trust — a) 1.050% of the first $250 million of aggregate net assets and b) 1.000% of the excess over $250 million of aggregate net assets. When the aggregate net assets of the portfolio, JHF II Small Company Growth Fund, Small Cap Opportunities Trust, JHF II Small Cap Opportunities Fund, International Growth Stock Trust, JHF II International Growth Stock Fund, Value Trust and JHF II Value Fund, exceed $1 billion, then the advisory rate for Small Company Growth Trust will be 1.000% of aggregate net assets. |
• | Strategic Equity Allocation Trust — a) 0.675% of the first $2.5 billion of aggregate net assets; b) 0.650% of aggregate net assets between $2.5 billion and $7.5 billion; c) 0.625% of aggregate net assets between $7.5 billion and $10 billion and d) 0.600% of the excess over $10 billion of aggregate net assets. |
• | Total Stock Market Index Trust — a) 0.490% of the first $250 million of aggregate net assets; b) 0.480% of aggregate net assets between $250 million and $500 million; and c) 0.460% of the excess over $500 million of aggregate net assets. |
• | U.S. Equity Trust — a) 0.780% of the first $500 million of aggregate net assets; b) 0.760% of aggregate net assets between $500 million and $1 billion; c) 0.740% of aggregate net assets between $1 billion to $2 billion; and d) 0.720% of the excess over $2 billion of aggregate net assets. |
• | Utilities Trust — a) 0.825% of the first $600 million of aggregate net assets; b) 0.800% of aggregate net assets between $600 million and $900 million; c) 0.775% of aggregate net assets between $900 million and $1.5 billion; and d) 0.700% of the excess over $1.5 billion of aggregate net assets. |
• | Value Trust — a) 0.750% of the first $200 million of aggregate net assets; b) 0.725% of aggregate net assets between $200 million and $500 million; and c) 0.650% of the excess over $500 million of aggregate net assets. |
Portfolios | | Subadvisor | ||||
---|---|---|---|---|---|---|
Science & Technology Trust | Allianz Global Investors U.S. LLC; T. Rowe Price Associates, Inc. | |||||
Real Estate Securities Trust | Deutsche Investment Management Americas, Inc. | |||||
Emerging Markets Value Trust | Dimensional Fund Advisors LP | |||||
International Small Company Trust | ||||||
Small Cap Opportunities Trust | Dimensional Fund Advisors LP; Invesco Advisers, Inc. | |||||
Mutual Shares Trust | Franklin Mutual Advisers, LLC | |||||
International Core Trust | Grantham, Mayo, Van Otterloo & Co. LLC | |||||
U.S. Equity Trust | ||||||
International Growth Stock Trust | Invesco Advisers, Inc. | |||||
Small Company Growth Trust | ||||||
Value Trust |
Portfolios | | Subadvisor | ||||
---|---|---|---|---|---|---|
Capital Appreciation Trust | Jennison Associates LLC | |||||
Core Strategy Trust | John Hancock Asset Management a division of Manulife Asset Management (US) LLC and | |||||
Lifestyle Aggressive PS Series | John Hancock Asset Management a division of Manulife Asset Management (North America) | |||||
Lifestyle Balanced PS Series | Limited1,2,3 | |||||
Lifestyle Conservative PS Series | ||||||
Lifestyle Growth PS Series | ||||||
Lifestyle Moderate PS Series | ||||||
Financial Industries Trust | John Hancock Asset Management a division of Manulife Asset Management (US) LLC 1,3 | |||||
Franklin Templeton Founding Allocation Trust | ||||||
Fundamental All Cap Core Trust | ||||||
Fundamental Large Cap Value Trust | ||||||
Strategic Equity Allocation Trust | ||||||
500 Index Trust B | John Hancock Asset Management a division of Manulife Asset Management (North America) | |||||
Mid Cap Index Trust | Limited1,2 | |||||
Small Cap Index Trust | ||||||
Total Stock Market Index Trust | ||||||
Utilities Trust | Massachusetts Financial Services Company | |||||
All Cap Core Trust | QS Investors, LLC | |||||
International Equity Index Trust B | SSGA Funds Management, Inc. | |||||
Blue Chip Growth Trust | T. Rowe Price Associates, Inc. | |||||
Capital Appreciation Value Trust | ||||||
Equity-Income Trust | ||||||
Health Sciences Trust | ||||||
Mid Value Trust | ||||||
Small Company Value Trust | ||||||
Global Trust | Templeton Global Advisors Limited | |||||
International Value Trust | Templeton Investment Counsel, LLC | |||||
Alpha Opportunities Trust | Wellington Management Company LLP | |||||
Mid Cap Stock Trust | ||||||
Small Cap Growth Trust | ||||||
Small Cap Value Trust |
1 | An affiliate of the Advisor. |
2 | Manulife Asset Management (North America) Limited is doing business as John Hancock Asset Management. |
3 | Manulife Asset Management (US), LLC is doing business as John Hancock Asset Management. |
Portfolio | | Expense limitation as a percentage of average net assets | ||||
---|---|---|---|---|---|---|
All Cap Core Trust | 0.20% | |||||
Alpha Opportunities Trust | 0.20% | |||||
American Asset Allocation Trust | 0.10% | |||||
American Global Growth Trust | 0.10% | |||||
American Growth Trust | 0.10% | |||||
American Growth-Income Trust | 0.10% | |||||
American International Trust | 0.10% | |||||
American New World Trust | 0.10% | |||||
Blue Chip Growth Trust | 0.20% | |||||
Capital Appreciation Trust | 0.20% | |||||
Capital Appreciation Value Trust | 0.20% | |||||
Core Strategy Trust | 0.10% | |||||
Emerging Markets Value Trust | 0.25% | |||||
Equity-Income Trust | 0.20% | |||||
Financial Industries Trust | 0.20% | |||||
Franklin Templeton Founding Allocation Trust | 0.10% | |||||
Fundamental All Cap Core Trust | 0.20% | |||||
Fundamental Large Cap Value Trust | 0.20% | |||||
Global Trust | 0.25% | |||||
Health Sciences Trust | 0.20% | |||||
International Core Trust | 0.25% |
Portfolio | | Expense limitation as a percentage of average net assets | ||||
---|---|---|---|---|---|---|
International Growth Stock Trust | 0.25% | |||||
International Small Company Trust | 0.25% | |||||
International Value Trust | 0.25% | |||||
Mid Cap Index Trust | 0.08% | |||||
Mid Cap Stock Trust | 0.20% | |||||
Mid Value Trust | 0.20% | |||||
Mutual Shares Trust | 0.20% | |||||
Real Estate Securities Trust | 0.20% | |||||
Science & Technology Trust | 0.20% | |||||
Small Cap Growth Trust | 0.20% | |||||
Small Cap Index Trust | 0.08% | |||||
Small Cap Opportunities Trust | 0.20% | |||||
Small Cap Value Trust | 0.20% | |||||
Small Company Growth Trust | 0.20% | |||||
Small Company Value Trust | 0.20% | |||||
Strategic Equity Allocation Trust | 0.20% | |||||
Total Stock Market Index Trust | 0.08% | |||||
U.S. Equity Trust | 0.20% | |||||
Utilities Trust | 0.20% | |||||
Value Trust | 0.20% |
Portfolio | Series I | | Series II | | Series III | | Series NAV | | Total | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
500 Index Trust B | $ | 2,487,564 | $ | 60,792 | — | $ | 1,736,720 | $ | 4,285,076 | |||||||||||||
All Cap Core Trust | 2,525 | 223 | — | 7,759 | 10,507 | |||||||||||||||||
Alpha Opportunities Trust | 113 | — | — | 115,838 | 115,951 | |||||||||||||||||
American Asset Allocation Trust | 7,928 | 40,516 | $ | 4,832 | — | 53,276 | ||||||||||||||||
American Global Growth Trust | 4,813 | 78,599 | 13,149 | — | 96,561 | |||||||||||||||||
American Growth Trust | 3,599 | 23,773 | 3,225 | — | 30,597 | |||||||||||||||||
American Growth-Income Trust | 8,359 | 21,385 | 7,596 | — | 37,340 | |||||||||||||||||
American International Trust | 3,317 | 13,243 | 1,457 | — | 18,017 | |||||||||||||||||
American New World Trust | 1,083 | 1,484 | 52 | — | 2,619 | |||||||||||||||||
Blue Chip Growth Trust | 51,258 | 22,271 | — | 215,616 | 289,145 | |||||||||||||||||
Capital Appreciation Trust | 6,121 | 2,191 | — | 22,923 | 31,235 | |||||||||||||||||
Capital Appreciation Value Trust | 385 | 61,193 | — | 10,292 | 71,870 | |||||||||||||||||
Emerging Markets Value Trust | 83 | 3 | — | 24,440 | 24,526 | |||||||||||||||||
Equity Income Trust | 43,447 | 23,160 | — | 207,467 | 274,074 | |||||||||||||||||
Financial Industries Trust | 3,974 | 597 | — | 724 | 5,295 | |||||||||||||||||
Fundamental All Cap Core Trust | 5,463 | 1,662 | — | 45,905 | 53,030 | |||||||||||||||||
Fundamental Large Cap Value Trust | 18,420 | 7,221 | — | 26,221 | 51,862 | |||||||||||||||||
Global Trust | 12,639 | 3,870 | — | 34,139 | 50,648 | |||||||||||||||||
Health Sciences Trust | 36,086 | 26,216 | — | 31,031 | 93,333 | |||||||||||||||||
International Core Trust | 1,262 | 534 | — | 18,555 | 20,351 | |||||||||||||||||
International Equity Index Trust B | 363,268 | 20,266 | — | 392,258 | 775,792 | |||||||||||||||||
International Growth Stock Trust | 130 | 681 | — | 13,632 | 14,443 | |||||||||||||||||
International Small Company Trust | 1,266 | 871 | — | 1,621 | 3,758 | |||||||||||||||||
International Value Trust | 2,628 | 2,000 | — | 23,761 | 28,389 | |||||||||||||||||
Lifestyle Aggressive PS Series | 3,473 | 20,642 | — | 1,056 | 25,171 | |||||||||||||||||
Lifestyle Balanced PS Series | 724 | 21,940 | — | 1,184 | 23,848 | |||||||||||||||||
Lifestyle Conservative PS Series | 564 | 12,556 | — | 53 | 13,173 | |||||||||||||||||
Lifestyle Growth PS Series | 990 | 45,580 | — | 854 | 47,424 | |||||||||||||||||
Lifestyle Moderate PS Series | 219 | 7,514 | — | 212 | 7,945 | |||||||||||||||||
Mid Cap Index Trust | 355,544 | 32,605 | — | 55,064 | 443,213 | |||||||||||||||||
Mid Cap Stock Trust | 5,447 | 2,841 | — | 16,666 | 24,954 | |||||||||||||||||
Mid Value Trust | 72,927 | 15,746 | — | 103,276 | 191,949 | |||||||||||||||||
Mutual Shares Trust | 6,002 | — | — | 12,150 | 18,152 | |||||||||||||||||
Real Estate Securities Trust | 3,170 | 1,943 | — | 9,670 | 14,783 | |||||||||||||||||
Science & Technology Trust | 89,157 | 8,930 | — | 6,228 | 104,315 | |||||||||||||||||
Small Cap Growth Trust | 2,985 | 962 | — | 9,671 | 13,618 | |||||||||||||||||
Small Cap Index Trust | 78,261 | 10,642 | — | 23,786 | 112,689 | |||||||||||||||||
Small Cap Opportunities Trust | 40,326 | 16,397 | — | 37,753 | 94,476 | |||||||||||||||||
Small Cap Value Trust | 11,462 | 1,263 | — | 10,316 | 23,041 | |||||||||||||||||
Small Company Growth Trust | — | — | — | 3,809 | 3,809 | |||||||||||||||||
Small Company Value Trust | 17,656 | 14,639 | — | 55,568 | 87,863 | |||||||||||||||||
Strategic Equity Allocation Trust | — | — | — | 6,580,320 | 6,580,320 | |||||||||||||||||
Total Stock Market Index Trust | 15,333 | 1,217 | — | 3,539 | 20,089 | |||||||||||||||||
U.S. Equity Trust | 4,253 | 223 | — | 19,679 | 24,155 | |||||||||||||||||
Utilities Trust | 10,808 | 556 | — | 1,066 | 12,430 | |||||||||||||||||
Value Trust | 16,658 | 867 | — | 1,192 | 18,717 |
Portfolio | | Annual Effective Rate | ||||
---|---|---|---|---|---|---|
500 Index Trust B | 0.22 | % | ||||
All Cap Core Trust | 0.77 | % | ||||
Alpha Opportunities Trust | 0.92 | % | ||||
American Asset Allocation Trust | 0.00 | %* | ||||
American Global Growth Trust | 0.00 | %* | ||||
American Growth Trust | 0.00 | %* | ||||
American Growth-Income Trust | 0.00 | %* | ||||
American International Trust | 0.00 | %* | ||||
American New World Trust | 0.00 | %* | ||||
Blue Chip Growth Trust | 0.74 | % | ||||
Capital Appreciation Trust | 0.70 | % | ||||
Capital Appreciation Value Trust | 0.77 | % | ||||
Core Strategy Trust | 0.04 | % | ||||
Emerging Markets Value Trust | 0.94 | % | ||||
Equity Income Trust | 0.72 | % | ||||
Financial Industries Trust | 0.76 | % | ||||
Franklin Templeton Founding Allocation Trust | 0.04 | % | ||||
Fundamental All Cap Core Trust | 0.67 | % | ||||
Fundamental Large Cap Value Trust | 0.62 | % | ||||
Global Trust | 0.79 | % | ||||
Health Sciences Trust | 0.99 | % | ||||
International Core Trust | 0.87 | % | ||||
International Equity Index Trust B | 0.25 | % | ||||
International Growth Stock Trust | 0.79 | % |
Portfolio | | Annual Effective Rate | ||||
---|---|---|---|---|---|---|
International Small Company Trust | 0.94 | % | ||||
International Value Trust | 0.79 | % | ||||
Lifestyle Aggressive PS Series | 0.00 | % | ||||
Lifestyle Balanced PS Series | 0.04 | % | ||||
Lifestyle Conservative PS Series | 0.03 | % | ||||
Lifestyle Growth PS Series | 0.04 | % | ||||
Lifestyle Moderate PS Series | 0.04 | % | ||||
Mid Cap Index Trust | 0.37 | % | ||||
Mid Cap Stock Trust | 0.83 | % | ||||
Mid Value Trust | 0.90 | % | ||||
Mutual Shares Trust | 0.95 | % | ||||
Real Estate Securities Trust | 0.69 | % | ||||
Science & Technology Trust | 0.98 | % | ||||
Small Cap Growth Trust | 1.05 | % | ||||
Small Cap Index Trust | 0.43 | % | ||||
Small Cap Opportunities Trust | 0.90 | % | ||||
Small Cap Value Trust | 1.03 | % | ||||
Small Company Growth Trust | 0.99 | % | ||||
Small Company Value Trust | 0.98 | % | ||||
Strategic Equity Allocation Trust | 0.49 | % | ||||
Total Stock Market Index Trust | 0.48 | % | ||||
U.S. Equity Trust | 0.75 | % | ||||
Utilities Trust | 0.82 | % | ||||
Value Trust | 0.69 | % |
* | The JHVIT Feeder Funds do not incur investment advisory fees. For more information on these portfolios, see Note 1. |
Class | | Rule 12b-1 Fee | ||||
---|---|---|---|---|---|---|
Series I | 0.15 | % | ||||
Series II | 0.35 | % |
Class | | Rule 12b-1 Fee | ||||
---|---|---|---|---|---|---|
Series I | 0.60 | % | ||||
Series II | 0.75 | % | ||||
Series III | 0.25 | % |
Portfolio | | Series II | ||||
---|---|---|---|---|---|---|
American Growth Trust | $ | 295,835 | ||||
American Growth-Income Trust | 207,048 | |||||
American International Trust | 36,628 |
Fund | | Borrower or Lender | | Weighted Average Loan Balance | Days Outstanding | | Weighted Average Interest Rate | | Interest Income (Expense) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Blue Chip Growth Trust | Borrower | $20,510,931 | 3 | 0.71 | % | ($1,214 | ) | |||||||||||||||
Capital Appreciation Trust | Lender | 11,215,825 | 1 | 0.70 | % | 218 | ||||||||||||||||
Mid Value Trust | Lender | 10,751,278 | 1 | 0.70 | % | 209 |
500 Index Trust B | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 5,531,211 | $ | 138,446,501 | 9,072,782 | $ | 232,750,927 | |||||||||||||
Distributions reinvested | — | — | 2,158,424 | 53,976,564 | |||||||||||||||
Repurchased | (1,467,881 | ) | (37,061,132 | ) | (4,301,297 | ) | (110,154,087 | ) | |||||||||||
Net increase | �� | 4,063,330 | $ | 101,385,369 | 6,929,909 | $ | 176,573,404 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 72,538 | $ | 1,805,585 | 173,465 | $ | 4,472,555 | |||||||||||||
Distributions reinvested | — | — | 52,377 | 1,307,693 | |||||||||||||||
Repurchased | (110,650 | ) | (2,746,064 | ) | (338,529 | ) | (8,770,483 | ) | |||||||||||
Net decrease | (38,112 | ) | ($940,479 | ) | (112,687 | ) | ($2,990,235 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 2,037,782 | $ | 51,854,919 | 2,696,584 | $ | 68,857,887 | |||||||||||||
Distributions reinvested | — | — | 1,634,105 | 40,862,276 | |||||||||||||||
Repurchased | (1,685,976 | ) | (42,294,718 | ) | (6,815,722 | ) | (175,014,407 | ) | |||||||||||
Net increase (decrease) | 351,806 | $ | 9,560,201 | (2,485,033 | ) | ($65,294,244 | ) | ||||||||||||
Total net increase | 4,377,024 | $ | 110,005,091 | 4,332,189 | $ | 108,288,925 |
All Cap Core Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 36,783 | $ | 970,862 | 116,894 | $ | 3,329,135 | |||||||||||||
Distributions reinvested | — | — | 26,157 | 739,178 | |||||||||||||||
Repurchased | (201,606 | ) | (5,452,240 | ) | (399,081 | ) | (11,297,861 | ) | |||||||||||
Net decrease | (164,823 | ) | ($4,481,378 | ) | (256,030 | ) | ($7,229,548 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 5,882 | $ | 161,122 | 62,801 | $ | 1,773,410 | |||||||||||||
Distributions reinvested | — | — | 1,809 | 50,994 | |||||||||||||||
Repurchased | (13,195 | ) | (351,348 | ) | (65,267 | ) | (1,850,793 | ) | |||||||||||
Net decrease | (7,313 | ) | ($190,226 | ) | (657 | ) | ($26,389 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 77,714 | $ | 2,069,059 | 62,340 | $ | 1,770,864 | |||||||||||||
Distributions reinvested | — | — | 84,382 | 2,385,921 | |||||||||||||||
Repurchased | (440,303 | ) | (12,085,962 | ) | (1,633,694 | ) | (46,708,756 | ) | |||||||||||
Net decrease | (362,589 | ) | ($10,016,903 | ) | (1,486,972 | ) | ($42,551,971 | ) | |||||||||||
Total net decrease | (534,725 | ) | ($14,688,507 | ) | (1,743,659 | ) | ($49,807,908 | ) |
Alpha Opportunities Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 26,729 | $ | 297,089 | 5,427 | $ | 66,027 | |||||||||||||
Distributions reinvested | — | — | 13,411 | 141,756 | |||||||||||||||
Repurchased | (4,678 | ) | (48,233 | ) | (16,285 | ) | (184,576 | ) | |||||||||||
Net increase | 22,051 | $ | 248,856 | 2,553 | $ | 23,207 | |||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 84,998 | $ | 877,387 | 51,974 | $ | 710,999 | |||||||||||||
Distributions reinvested | — | — | 12,379,128 | 131,137,909 | |||||||||||||||
Repurchased | (3,527,425 | ) | (38,300,375 | ) | (9,161,323 | ) | (121,140,394 | ) | |||||||||||
Net increase (decrease) | (3,442,427 | ) | ($37,422,988 | ) | 3,269,779 | $ | 10,708,514 | ||||||||||||
Total net increase (decrease) | (3,420,376 | ) | ($37,174,132 | ) | 3,272,332 | $ | 10,731,721 |
American Asset Allocation Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 499,398 | $ | 7,016,989 | 882,663 | $ | 13,837,210 | |||||||||||||
Distributions reinvested | — | — | 1,688,518 | 23,484,602 | |||||||||||||||
Repurchased | (439,048 | ) | (6,192,038 | ) | (1,515,797 | ) | (23,351,878 | ) | |||||||||||
Net increase | 60,350 | $ | 824,951 | 1,055,384 | $ | 13,969,934 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 7,108 | $ | 103,470 | 34,768 | $ | 523,914 | |||||||||||||
Distributions reinvested | — | — | 9,061,107 | 125,784,980 | |||||||||||||||
Repurchased | (5,088,449 | ) | (71,861,983 | ) | (10,677,662 | ) | (164,314,347 | ) | |||||||||||
Net decrease | (5,081,341 | ) | ($71,758,513 | ) | (1,581,787 | ) | ($38,005,453 | ) | |||||||||||
Series III shares | |||||||||||||||||||
Sold | 1,778 | $ | 25,043 | 15,317 | $ | 237,356 | |||||||||||||
Distributions reinvested | — | — | 1,101,208 | 15,353,795 | |||||||||||||||
Repurchased | (531,350 | ) | (7,534,731 | ) | (1,264,730 | ) | (19,670,264 | ) | |||||||||||
Net decrease | (529,572 | ) | ($7,509,688 | ) | (148,205 | ) | ($4,079,113 | ) | |||||||||||
Total net decrease | (5,550,563 | ) | ($78,443,250 | ) | (674,608 | ) | ($28,114,632 | ) |
American Global Growth Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 66,585 | $ | 968,468 | 713,150 | $ | 11,236,519 | |||||||||||||
Distributions reinvested | — | — | 66,356 | 1,005,718 | |||||||||||||||
Repurchased | (122,100 | ) | (1,727,398 | ) | (469,310 | ) | (7,039,213 | ) | |||||||||||
Net increase (decrease) | (55,515 | ) | ($758,930 | ) | 310,196 | $ | 5,203,024 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 290,465 | $ | 4,257,135 | 487,336 | $ | 7,811,464 | |||||||||||||
Distributions reinvested | — | — | 1,166,407 | 17,602,730 | |||||||||||||||
Repurchased | (1,071,248 | ) | (15,601,776 | ) | (1,876,321 | ) | (30,505,334 | ) | |||||||||||
Net decrease | (780,783 | ) | ($11,344,641 | ) | (222,578 | ) | ($5,091,140 | ) | |||||||||||
Series III shares | |||||||||||||||||||
Sold | 113,365 | $ | 1,664,010 | 31,020 | $ | 455,252 | |||||||||||||
Distributions reinvested | — | — | 200,784 | 3,043,562 | |||||||||||||||
Repurchased | (94,048 | ) | (1,364,315 | ) | (437,856 | ) | (7,237,025 | ) | |||||||||||
Net increase (decrease) | 19,317 | $ | 299,695 | (206,052 | ) | ($3,738,211 | ) | ||||||||||||
Total net decrease | (816,981 | ) | ($11,803,876 | ) | (118,434 | ) | ($3,626,327 | ) |
American Growth Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 182,073 | $ | 4,190,985 | 538,767 | $ | 12,974,539 | |||||||||||||
Distributions reinvested | — | — | 286,911 | 6,565,818 | |||||||||||||||
Repurchased | (173,816 | ) | (4,054,232 | ) | (1,434,032 | ) | (34,388,212 | ) | |||||||||||
Net increase (decrease) | 8,257 | $ | 136,753 | (608,354 | ) | ($14,847,855 | ) | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 428,966 | $ | 9,960,305 | 378,456 | $ | 8,742,295 | |||||||||||||
Distributions reinvested | — | — | 1,764,482 | 40,139,746 | |||||||||||||||
Repurchased | (2,245,828 | ) | (52,285,284 | ) | (6,279,319 | ) | (154,719,896 | ) | |||||||||||
Net decrease | (1,816,862 | ) | ($42,324,979 | ) | (4,136,381 | ) | ($105,837,855 | ) | |||||||||||
Series III shares | |||||||||||||||||||
Sold | 83,200 | $ | 1,953,501 | 21,375 | $ | 480,525 | |||||||||||||
Distributions reinvested | — | — | 251,995 | 5,783,656 | |||||||||||||||
Repurchased | (187,727 | ) | (4,382,219 | ) | (801,991 | ) | (19,889,743 | ) | |||||||||||
Net decrease | (104,527 | ) | ($2,428,718 | ) | (528,621 | ) | ($13,625,562 | ) | |||||||||||
Total net decrease | (1,913,132 | ) | ($44,616,944 | ) | (5,273,356 | ) | ($134,311,272 | ) |
American Growth-Income Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 104,513 | $ | 2,189,076 | 149,194 | $ | 3,478,099 | |||||||||||||
Distributions reinvested | — | — | 1,501,862 | 30,902,289 | |||||||||||||||
Repurchased | (479,286 | ) | (9,943,446 | ) | (1,430,586 | ) | (33,758,744 | ) | |||||||||||
Net increase (decrease) | (374,773 | ) | ($7,754,370 | ) | 220,470 | $ | 621,644 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | — | — | 783,335 | $ | 16,597,124 | ||||||||||||||
Distributions reinvested | — | — | 3,965,420 | 81,319,369 | |||||||||||||||
Repurchased | (2,191,298 | ) | ($45,549,567 | ) | (5,513,330 | ) | (128,210,346 | ) | |||||||||||
Net decrease | (2,191,298 | ) | ($45,549,567 | ) | (764,575 | ) | ($30,293,853 | ) | |||||||||||
Series III shares | |||||||||||||||||||
Sold | 30,917 | $ | 651,074 | 224,914 | $ | 4,713,183 | |||||||||||||
Distributions reinvested | — | — | 1,418,100 | 29,237,762 | |||||||||||||||
Repurchased | (514,985 | ) | (10,793,497 | ) | (1,773,454 | ) | (41,638,891 | ) | |||||||||||
Net decrease | (484,068 | ) | ($10,142,423 | ) | (130,440 | ) | ($7,687,946 | ) | |||||||||||
Total net decrease | (3,050,139 | ) | ($63,446,360 | ) | (674,545 | ) | ($37,360,155 | ) |
American International Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 580,568 | $ | 9,697,306 | 1,654,096 | $ | 30,251,621 | |||||||||||||
Distributions reinvested | — | — | 61,190 | 1,076,950 | |||||||||||||||
Repurchased | (1,114,740 | ) | (18,782,384 | ) | (857,387 | ) | (15,974,451 | ) | |||||||||||
Net increase (decrease) | (534,172 | ) | ($9,085,078 | ) | 857,899 | $ | 15,354,120 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 515,784 | $ | 8,787,737 | 1,305,098 | $ | 22,485,332 | |||||||||||||
Distributions reinvested | — | — | 235,581 | 4,143,903 | |||||||||||||||
Repurchased | (1,531,158 | ) | (25,510,529 | ) | (4,154,181 | ) | (78,701,728 | ) | |||||||||||
Net decrease | (1,015,374 | ) | ($16,722,792 | ) | (2,613,502 | ) | ($52,072,493 | ) | |||||||||||
Series III shares | |||||||||||||||||||
Sold | 83,576 | $ | 1,419,079 | 123,775 | $ | 2,125,481 | |||||||||||||
Distributions reinvested | — | — | 38,709 | 678,975 | |||||||||||||||
Repurchased | (122,095 | ) | (2,040,746 | ) | (397,412 | ) | (7,557,531 | ) | |||||||||||
Net decrease | (38,519 | ) | ($621,667 | ) | (234,928 | ) | ($4,753,075 | ) | |||||||||||
Total net decrease | (1,588,065 | ) | ($26,429,537 | ) | (1,990,531 | ) | ($41,471,448 | ) |
American New World Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 121,510 | $ | 1,316,751 | 1,609,353 | $ | 19,260,226 | |||||||||||||
Distributions reinvested | — | — | 252,444 | 2,737,868 | |||||||||||||||
Repurchased | (138,661 | ) | (1,484,840 | ) | (274,670 | ) | (3,436,353 | ) | |||||||||||
Net increase (decrease) | (17,151 | ) | ($168,089 | ) | 1,587,127 | $ | 18,561,741 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 41,559 | $ | 449,322 | 204,171 | $ | 2,529,178 | |||||||||||||
Distributions reinvested | — | — | 541,636 | 5,862,000 | |||||||||||||||
Repurchased | (386,745 | ) | (4,162,670 | ) | (714,194 | ) | (9,134,907 | ) | |||||||||||
Net increase (decrease) | (345,186 | ) | ($3,713,348 | ) | 31,613 | ($743,729 | ) | ||||||||||||
Series III shares | |||||||||||||||||||
Sold | 2,017 | $ | 19,916 | 2,260 | $ | 25,884 | |||||||||||||
Distributions reinvested | — | — | 18,860 | 204,633 | |||||||||||||||
Repurchased | (4,803 | ) | (51,725 | ) | (22,825 | ) | (296,007 | ) | |||||||||||
Net decrease | (2,786 | ) | ($31,809 | ) | (1,705 | ) | ($65,490 | ) | |||||||||||
Total net increase (decrease) | (365,123 | ) | ($3,913,246 | ) | 1,617,035 | $ | 17,752,522 |
Blue Chip Growth Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 26,208 | $ | 782,085 | 152,786 | $ | 5,772,439 | |||||||||||||
Distributions reinvested | — | — | 1,861,210 | 56,524,937 | |||||||||||||||
Repurchased | (762,251 | ) | (22,882,134 | ) | (1,157,788 | ) | (41,039,538 | ) | |||||||||||
Net increase (decrease) | (736,043 | ) | ($22,100,049 | ) | 856,208 | $ | 21,257,838 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 99,742 | $ | 2,978,238 | 391,885 | $ | 13,662,075 | |||||||||||||
Distributions reinvested | — | — | 826,404 | 24,726,008 | |||||||||||||||
Repurchased | (495,011 | ) | (14,509,444 | ) | (667,419 | ) | (23,133,695 | ) | |||||||||||
Net increase (decrease) | (395,269 | ) | ($11,531,206 | ) | 550,870 | $ | 15,254,388 | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 445,212 | $ | 13,520,219 | 438,549 | $ | 14,570,288 | |||||||||||||
Distributions reinvested | — | — | 7,499,890 | 227,696,659 | |||||||||||||||
Repurchased | (1,838,421 | ) | (56,438,795 | ) | (5,735,988 | ) | (208,485,118 | ) | |||||||||||
Net increase (decrease) | (1,393,209 | ) | ($42,918,576 | ) | 2,202,451 | $ | 33,781,829 | ||||||||||||
Total net increase (decrease) | (2,524,521 | ) | ($76,549,831 | ) | 3,609,529 | $ | 70,294,055 |
Capital Appreciation Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 59,975 | $ | 752,901 | �� | 234,357 | $ | 3,695,985 | ||||||||||||
Distributions reinvested | — | — | 2,579,354 | 34,099,064 | |||||||||||||||
Repurchased | (1,048,287 | ) | (13,702,185 | ) | (1,903,516 | ) | (29,249,713 | ) | |||||||||||
Net increase (decrease) | (988,312 | ) | ($12,949,284 | ) | 910,195 | $ | 8,545,336 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 105,724 | $ | 1,345,773 | 486,849 | $ | 7,320,563 | |||||||||||||
Distributions reinvested | — | — | 965,146 | 12,479,344 | |||||||||||||||
Repurchased | (672,646 | ) | (8,623,838 | ) | (1,119,865 | ) | (17,239,440 | ) | |||||||||||
Net increase (decrease) | (566,922 | ) | ($7,278,065 | ) | 332,130 | $ | 2,560,467 | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 521,195 | $ | 6,796,985 | 539,795 | $ | 8,384,298 | |||||||||||||
Distributions reinvested | — | — | 9,450,754 | 125,033,476 | |||||||||||||||
Repurchased | (1,121,119 | ) | (14,878,933 | ) | (10,410,295 | ) | (164,623,592 | ) | |||||||||||
Net decrease | (599,924 | ) | ($8,081,948 | ) | (419,746 | ) | ($31,205,818 | ) | |||||||||||
Total net increase (decrease) | (2,155,158 | ) | ($28,309,297 | ) | 822,579 | ($20,100,015 | ) |
Capital Appreciation Value Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 131,303 | $ | 1,531,755 | 244,861 | $ | 2,980,999 | |||||||||||||
Distributions reinvested | — | — | 56,065 | 627,093 | |||||||||||||||
Repurchased | (22,507 | ) | (258,856 | ) | (512,523 | ) | (6,024,640 | ) | |||||||||||
Net increase (decrease) | 108,796 | $ | 1,272,899 | (211,597 | ) | ($2,416,548 | ) | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 115,464 | $ | 1,282,445 | 379,355 | $ | 4,759,661 | |||||||||||||
Distributions reinvested | — | — | 4,182,351 | 46,605,664 | |||||||||||||||
Repurchased | (1,769,950 | ) | (20,326,629 | ) | (2,942,391 | ) | (36,884,657 | ) | |||||||||||
Net increase (decrease) | (1,654,486 | ) | ($19,044,184 | ) | 1,619,315 | $ | 14,480,668 | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 1,642,689 | $ | 19,131,955 | 1,077,246 | $ | 13,620,462 | |||||||||||||
Distributions reinvested | — | — | 546,226 | 6,107,286 | |||||||||||||||
Repurchased | (257,138 | ) | (2,970,818 | ) | (307,641 | ) | (3,742,832 | ) | |||||||||||
Net increase | 1,385,551 | $ | 16,161,137 | 1,315,831 | $ | 15,984,916 | |||||||||||||
Total net increase (decrease) | (160,139 | ) | ($1,610,148 | ) | 2,723,549 | $ | 28,049,036 |
Core Strategy Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 86,869 | $ | 1,235,725 | 232,408 | $ | 3,494,170 | |||||||||||||
Distributions reinvested | — | — | 498,609 | 7,059,975 | |||||||||||||||
Repurchased | (415,348 | ) | (5,825,436 | ) | (1,124,525 | ) | (16,887,931 | ) | |||||||||||
Net decrease | (328,479 | ) | ($4,589,711 | ) | (393,508 | ) | ($6,333,786 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 885,531 | $ | 12,705,026 | 2,907,381 | $ | 44,100,653 | |||||||||||||
Distributions reinvested | — | — | 13,218,269 | 187,662,824 | |||||||||||||||
Repurchased | (10,956,159 | ) | (153,131,890 | ) | (21,466,426 | ) | (321,596,574 | ) | |||||||||||
Net decrease | (10,070,628 | ) | ($140,426,864 | ) | (5,340,776 | ) | ($89,833,097 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 362,521 | $ | 5,083,513 | 725,405 | $ | 10,970,416 | |||||||||||||
Distributions reinvested | — | — | 637,756 | 9,041,577 | |||||||||||||||
Repurchased | (361,555 | ) | (5,136,356 | ) | (912,802 | ) | (13,491,663 | ) | |||||||||||
Net increase (decrease) | 966 | ($52,843 | ) | 450,359 | $ | 6,520,330 | |||||||||||||
Total net decrease | (10,398,141 | ) | ($145,069,418 | ) | (5,283,925 | ) | ($89,646,553 | ) |
Emerging Markets Value Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 47,930 | $ | 358,567 | 63,935 | $ | 527,052 | |||||||||||||
Distributions reinvested | — | — | 7,731 | 56,043 | |||||||||||||||
Repurchased | (54,475 | ) | (408,630 | ) | (82,613 | ) | (671,687 | ) | |||||||||||
Net decrease | (6,545 | ) | ($50,063 | ) | (10,947 | ) | ($88,592 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | — | — | 10,548 | $ | 100,000 | ||||||||||||||
Distributions reinvested | — | — | 230 | $ | 1,662 | ||||||||||||||
Net increase | — | — | 10,778 | $ | 101,662 | ||||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 2,462,917 | $ | 18,015,912 | 2,250,165 | $ | 18,601,107 | |||||||||||||
Distributions reinvested | — | — | 2,262,278 | 16,386,904 | |||||||||||||||
Repurchased | (545,103 | ) | (3,964,804 | ) | (3,269,255 | ) | (30,453,181 | ) | |||||||||||
Net increase | 1,917,814 | $ | 14,051,108 | 1,243,188 | $ | 4,534,830 | |||||||||||||
Total net increase | 1,911,269 | $ | 14,001,045 | 1,243,019 | $ | 4,547,900 |
Equity Income Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 13,405 | $ | 220,541 | 69,047 | $ | 1,247,984 | |||||||||||||
Distributions reinvested | — | — | 2,019,286 | 31,272,647 | |||||||||||||||
Repurchased | (1,174,108 | ) | (18,649,939 | ) | (2,497,095 | ) | (44,659,531 | ) | |||||||||||
Net decrease | (1,160,703 | ) | ($18,429,398 | ) | (408,762 | ) | ($12,138,900 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 155,805 | $ | 2,459,507 | 250,166 | $ | 4,273,295 | |||||||||||||
Distributions reinvested | — | — | 1,043,660 | 16,091,481 | |||||||||||||||
Repurchased | (642,793 | ) | (10,174,845 | ) | (1,486,820 | ) | (26,668,340 | ) | |||||||||||
Net decrease | (486,988 | ) | ($7,715,338 | ) | (192,994 | ) | ($6,303,564 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 321,715 | $ | 5,002,542 | 1,062,111 | $ | 18,890,871 | |||||||||||||
Distributions reinvested | — | — | 9,712,237 | 149,956,963 | |||||||||||||||
Repurchased | (8,456,440 | ) | (135,875,783 | ) | (8,099,831 | ) | (146,062,959 | ) | |||||||||||
Net increase (decrease) | (8,134,725 | ) | ($130,873,241 | ) | 2,674,517 | $ | 22,784,875 | ||||||||||||
Total net increase (decrease) | (9,782,416 | ) | ($157,017,977 | ) | 2,072,761 | $ | 4,342,411 |
Financial Industries Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 479,829 | $ | 4,982,610 | 1,353,083 | $ | 19,393,061 | |||||||||||||
Distributions reinvested | — | — | 3,745,712 | 41,647,793 | |||||||||||||||
Repurchased | (1,482,164 | ) | (15,189,278 | ) | (1,498,860 | ) | (20,790,523 | ) | |||||||||||
Net increase (decrease) | (1,002,335 | ) | ($10,206,668 | ) | 3,599,935 | $ | 40,250,331 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 55,040 | $ | 556,678 | 189,014 | $ | 2,635,808 | |||||||||||||
Distributions reinvested | — | — | 569,717 | 6,281,894 | |||||||||||||||
Repurchased | (326,048 | ) | (3,381,034 | ) | (361,254 | ) | (5,499,553 | ) | |||||||||||
Net increase (decrease) | (271,008 | ) | ($2,824,356 | ) | 397,477 | $ | 3,418,149 | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 100,367 | $ | 1,047,911 | 238,517 | $ | 3,879,563 | |||||||||||||
Distributions reinvested | — | — | 670,886 | 7,439,658 | |||||||||||||||
Repurchased | (160,737 | ) | (1,656,554 | ) | (237,308 | ) | (3,469,861 | ) | |||||||||||
Net increase (decrease) | (60,370 | ) | ($608,643 | ) | 672,095 | $ | 7,849,360 | ||||||||||||
Total net increase (decrease) | (1,333,713 | ) | ($13,639,667 | ) | 4,669,507 | $ | 51,517,840 |
Franklin Templeton Founding Allocation Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 9,570 | $ | 114,279 | 6,667 | $ | 82,423 | |||||||||||||
Distributions reinvested | — | — | 94,344 | 1,138,734 | |||||||||||||||
Repurchased | (172,410 | ) | (2,038,263 | ) | (326,905 | ) | (4,245,424 | ) | |||||||||||
Net decrease | (162,840 | ) | ($1,923,984 | ) | (225,894 | ) | ($3,024,267 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | — | — | 320,159 | $ | 4,017,539 | ||||||||||||||
Distributions reinvested | — | — | 2,168,802 | 26,220,952 | |||||||||||||||
Repurchased | (4,388,004 | ) | ($51,511,976 | ) | (11,495,229 | ) | (149,457,874 | ) | |||||||||||
Net decrease | (4,388,004 | ) | ($51,511,976 | ) | (9,006,268 | ) | ($119,219,383 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 244,625 | $ | 2,889,558 | 668,161 | $ | 8,656,118 | |||||||||||||
Distributions reinvested | — | — | 117,993 | 1,424,183 | |||||||||||||||
Repurchased | (104,775 | ) | (1,229,179 | ) | (82,881 | ) | (1,074,468 | ) | |||||||||||
Net increase | 139,850 | $ | 1,660,379 | 703,273 | $ | 9,005,833 | |||||||||||||
Total net decrease | (4,410,994 | ) | ($51,775,581 | ) | (8,528,889 | ) | ($113,237,817 | ) |
Fundamental All Cap Core Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 227,599 | $ | 4,718,159 | 1,161,166 | $ | 27,151,281 | |||||||||||||
Distributions reinvested | — | — | 361,065 | 7,784,551 | |||||||||||||||
Repurchased | (784,181 | ) | (16,318,371 | ) | (921,679 | ) | (21,254,112 | ) | |||||||||||
Net increase (decrease) | (556,582 | ) | ($11,600,212 | ) | 600,552 | $ | 13,681,720 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 22,205 | $ | 459,201 | 172,920 | $ | 4,041,167 | |||||||||||||
Distributions reinvested | — | — | 117,918 | 2,536,408 | |||||||||||||||
Repurchased | (210,302 | ) | (4,283,064 | ) | (560,835 | ) | (13,011,370 | ) | |||||||||||
Net decrease | (188,097 | ) | ($3,823,863 | ) | (269,997 | ) | ($6,433,795 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 52,984 | $ | 1,046,254 | 216,106 | $ | 5,161,251 | |||||||||||||
Distributions reinvested | — | — | 3,097,189 | 67,054,149 | |||||||||||||||
Repurchased | (2,665,491 | ) | (55,495,581 | ) | (4,651,164 | ) | (108,192,009 | ) | |||||||||||
Net decrease | (2,612,507 | ) | ($54,449,327 | ) | (1,337,869 | ) | ($35,976,609 | ) | |||||||||||
Total net decrease | (3,357,186 | ) | ($69,873,402 | ) | (1,007,314 | ) | ($28,728,684 | ) |
Fundamental Large Cap Value Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 259,727 | $ | 4,081,008 | 645,499 | $ | 11,331,705 | |||||||||||||
Distributions reinvested | — | — | 335,336 | 5,906,860 | |||||||||||||||
Repurchased | (1,918,690 | ) | (30,627,969 | ) | (3,666,568 | ) | (64,588,293 | ) | |||||||||||
Net decrease | (1,658,963 | ) | ($26,546,961 | ) | (2,685,733 | ) | ($47,349,728 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 364,492 | $ | 5,874,525 | 271,194 | $ | 4,670,320 | |||||||||||||
Distributions reinvested | — | — | 107,195 | 1,900,761 | |||||||||||||||
Repurchased | (926,668 | ) | (15,023,232 | ) | (2,831,574 | ) | (50,191,795 | ) | |||||||||||
Net decrease | (562,176 | ) | ($9,148,707 | ) | (2,453,185 | ) | ($43,620,714 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 522,826 | $ | 8,444,176 | 989,362 | $ | 17,301,361 | |||||||||||||
Distributions reinvested | — | — | 489,574 | 8,622,108 | |||||||||||||||
Repurchased | (831,219 | ) | (13,666,635 | ) | (7,528,471 | ) | (134,982,375 | ) | |||||||||||
Net decrease | (308,393 | ) | ($5,222,459 | ) | (6,049,535 | ) | ($109,058,906 | ) | |||||||||||
Total net decrease | (2,529,532 | ) | ($40,918,127 | ) | (11,188,453 | ) | ($200,029,348 | ) |
Global Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 123,392 | $ | 2,167,458 | 157,042 | $ | 2,845,191 | |||||||||||||
Distributions reinvested | — | — | 169,136 | 3,126,911 | |||||||||||||||
Repurchased | (472,418 | ) | (8,196,039 | ) | (1,369,326 | ) | (26,762,827 | ) | |||||||||||
Net decrease | (349,026 | ) | ($6,028,581 | ) | (1,043,148 | ) | ($20,790,725 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 53,284 | $ | 909,674 | 50,995 | $ | 971,823 | |||||||||||||
Distributions reinvested | — | — | 48,893 | $ | 900,473 | ||||||||||||||
Repurchased | (263,458 | ) | ($4,499,166 | ) | (703,118 | ) | ($13,693,704 | ) | |||||||||||
Net decrease | (210,174 | ) | ($3,589,492 | ) | (603,230 | ) | ($11,821,408 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 65,461 | $ | 1,104,497 | 353,632 | $ | 6,751,708 | |||||||||||||
Distributions reinvested | — | — | 456,779 | 8,435,967 | |||||||||||||||
Repurchased | (626,294 | ) | (11,245,714 | ) | (3,294,545 | ) | (65,233,051 | ) | |||||||||||
Net decrease | (560,833 | ) | ($10,141,217 | ) | (2,484,134 | ) | ($50,045,376 | ) | |||||||||||
Total net decrease | (1,120,033 | ) | ($19,759,290 | ) | (4,130,512 | ) | ($82,657,509 | ) |
Health Sciences Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 159,064 | $ | 4,623,256 | 802,073 | $ | 29,482,994 | |||||||||||||
Distributions reinvested | — | — | 772,533 | 24,945,099 | |||||||||||||||
Repurchased | (917,655 | ) | (25,996,521 | ) | (1,019,968 | ) | (34,113,973 | ) | |||||||||||
Net increase (decrease) | (758,591 | ) | ($21,373,265 | ) | 554,638 | $ | 20,314,120 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 154,408 | $ | 4,155,138 | 432,003 | $ | 15,195,699 | |||||||||||||
Distributions reinvested | — | — | 574,335 | 17,700,999 | |||||||||||||||
Repurchased | (551,687 | ) | (14,937,389 | ) | (856,418 | ) | (29,395,091 | ) | |||||||||||
Net increase (decrease) | (397,279 | ) | ($10,782,251 | ) | 149,920 | $ | 3,501,607 | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 151,209 | $ | 4,326,422 | 704,259 | $ | 25,268,211 | |||||||||||||
Distributions reinvested | — | — | 567,242 | 18,475,075 | |||||||||||||||
Repurchased | (350,436 | ) | (10,135,335 | ) | (584,783 | ) | (20,650,498 | ) | |||||||||||
Net increase (decrease) | (199,227 | ) | ($5,808,913 | ) | 686,718 | $ | 23,092,788 | ||||||||||||
Total net increase (decrease) | (1,355,097 | ) | ($37,964,429 | ) | 1,391,276 | $ | 46,908,515 |
International Core Trust | Six months ended 6/30/16 | Year ended 12/31/15 | ||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | |||||||||||||||||||
Series I shares | ||||||||||||||||||||||
Sold | 80,432 | $ | 762,536 | 536,924 | $ | 5,874,150 | ||||||||||||||||
Distributions reinvested | — | — | 122,740 | 1,224,159 | ||||||||||||||||||
Repurchased | (353,433 | ) | (3,287,111 | ) | (745,726 | ) | (8,051,809 | ) | ||||||||||||||
Net decrease | (273,001 | ) | ($2,524,575 | ) | (86,062 | ) | ($953,500 | ) | ||||||||||||||
Series II shares | ||||||||||||||||||||||
Sold | 62,140 | $ | 586,576 | 346,235 | $ | 3,802,699 | ||||||||||||||||
Distributions reinvested | — | — | 47,556 | $ | 478,546 | |||||||||||||||||
Repurchased | (225,083 | ) | ($2,141,894 | ) | (341,725 | ) | ($3,709,115 | ) | ||||||||||||||
Net increase (decrease) | (162,943 | ) | ($1,555,318 | ) | 52,066 | $ | 572,130 | |||||||||||||||
Series NAV shares | ||||||||||||||||||||||
Sold | 473,003 | $ | 4,302,462 | 1,727,833 | $ | 18,897,060 | ||||||||||||||||
Distributions reinvested | — | — | 1,764,040 | 17,533,368 | ||||||||||||||||||
Repurchased | (1,837,681 | ) | (17,581,976 | ) | (11,087,648 | ) | (125,688,107 | ) | ||||||||||||||
Net decrease | (1,364,678 | ) | ($13,279,514 | ) | (7,595,775 | ) | ($89,257,679 | ) | ||||||||||||||
Total net decrease | (1,800,622 | ) | ($17,359,407 | ) | (7,629,771 | ) | ($89,639,049 | ) |
International Equity Index Trust B | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 1,272,177 | $ | 17,946,948 | 2,013,164 | $ | 32,569,265 | |||||||||||||
Distributions reinvested | — | — | 455,620 | 6,814,690 | |||||||||||||||
Repurchased | (761,465 | ) | (10,907,537 | ) | (1,841,075 | ) | (28,644,479 | ) | |||||||||||
Net increase | 510,712 | $ | 7,039,411 | 627,709 | $ | 10,739,476 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 25,779 | $ | 369,269 | 65,786 | $ | 1,058,978 | |||||||||||||
Distributions reinvested | — | — | 25,682 | $ | 384,636 | ||||||||||||||
Repurchased | (77,789 | ) | ($1,101,334 | ) | (352,671 | ) | ($5,575,221 | ) | |||||||||||
Net (decrease) | (52,010 | ) | ($732,065 | ) | (261,203 | ) | ($4,131,607 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 414,320 | $ | 5,841,468 | 1,430,706 | $ | 23,065,488 | |||||||||||||
Distributions reinvested | — | — | 543,427 | 8,128,295 | |||||||||||||||
Repurchased | (755,997 | ) | (10,701,393 | ) | (2,140,605 | ) | (32,698,878 | ) | |||||||||||
Net decrease | (341,677 | ) | ($4,859,925 | ) | (166,472 | ) | ($1,505,095 | ) | |||||||||||
Total net increase | 117,025 | $ | 1,447,421 | 200,034 | $ | 5,102,774 |
International Growth Stock Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 81,390 | $ | 1,300,214 | 87,693 | $ | 1,494,967 | |||||||||||||
Distributions reinvested | — | — | 3,857 | 60,947 | |||||||||||||||
Repurchased | (49,956 | ) | (803,349 | ) | (26,177 | ) | (445,779 | ) | |||||||||||
Net increase | 31,434 | $ | 496,865 | 65,373 | $ | 1,110,135 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 54,620 | $ | 851,474 | 218,322 | $ | 3,697,086 | |||||||||||||
Distributions reinvested | — | — | 21,465 | $ | 339,052 | ||||||||||||||
Repurchased | (148,132 | ) | ($2,276,797 | ) | (252,119 | ) | ($4,200,760 | ) | |||||||||||
Net decrease | (93,512 | ) | ($1,425,323 | ) | (12,332 | ) | ($164,622 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 345,544 | $ | 5,424,373 | 559,423 | $ | 9,690,913 | |||||||||||||
Distributions reinvested | — | — | 471,439 | 7,452,899 | |||||||||||||||
Repurchased | (1,379,754 | ) | (21,870,137 | ) | (5,120,755 | ) | (88,122,554 | ) | |||||||||||
Net decrease | (1,034,210 | ) | ($16,445,764 | ) | (4,089,893 | ) | ($70,978,742 | ) | |||||||||||
Total net decrease | (1,096,288 | ) | ($17,374,222 | ) | (4,036,852 | ) | ($70,033,229 | ) |
International Small Company Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 165,094 | $ | 1,992,077 | 241,976 | $ | 3,106,843 | |||||||||||||
Distributions reinvested | — | — | 54,276 | 643,323 | |||||||||||||||
Repurchased | (202,747 | ) | (2,384,721 | ) | (622,582 | ) | (7,652,577 | ) | |||||||||||
Net decrease | (37,653 | ) | ($392,644 | ) | (326,330 | ) | ($3,902,411 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 67,285 | $ | 785,006 | 209,657 | $ | 2,650,487 | |||||||||||||
Distributions reinvested | — | — | 29,490 | $ | 348,834 | ||||||||||||||
Repurchased | (211,043 | ) | ($2,515,032 | ) | (382,346 | ) | ($4,698,088 | ) | |||||||||||
Net decrease | (143,758 | ) | ($1,730,026 | ) | (143,199 | ) | ($1,698,767 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 455,529 | $ | 5,464,531 | 895,997 | $ | 10,867,683 | |||||||||||||
Distributions reinvested | — | — | 80,335 | 952,566 | |||||||||||||||
Repurchased | (206,535 | ) | (2,441,775 | ) | (577,560 | ) | (7,112,330 | ) | |||||||||||
Net increase | 248,994 | $ | 3,022,756 | 398,772 | $ | 4,707,919 | |||||||||||||
Total net increase (decrease) | 67,583 | $ | 900,086 | (70,757 | ) | ($893,259 | ) |
International Value Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 78,304 | $ | 879,069 | 166,599 | $ | 2,092,557 | |||||||||||||
Distributions reinvested | — | — | 136,370 | 1,602,486 | |||||||||||||||
Repurchased | (437,640 | ) | (4,824,152 | ) | (1,129,722 | ) | (14,400,917 | ) | |||||||||||
Net decrease | (359,336 | ) | ($3,945,083 | ) | (826,753 | ) | ($10,705,874 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 160,081 | $ | 1,839,576 | 349,680 | $ | 4,449,972 | |||||||||||||
Distributions reinvested | — | — | 87,834 | $ | 1,031,176 | ||||||||||||||
Repurchased | (474,293 | ) | ($5,262,002 | ) | (1,182,578 | ) | ($15,077,114 | ) | |||||||||||
Net decrease | (314,212 | ) | ($3,422,426 | ) | (745,064 | ) | ($9,595,966 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 1,077,751 | $ | 11,432,067 | 619,444 | $ | 7,550,240 | |||||||||||||
Distributions reinvested | — | — | 1,267,772 | 14,784,164 | |||||||||||||||
Repurchased | (3,720,133 | ) | (43,174,526 | ) | (10,725,526 | ) | (142,947,065 | ) | |||||||||||
Net decrease | (2,642,382 | ) | ($31,742,459 | ) | (8,838,310 | ) | ($120,612,661 | ) | |||||||||||
Total net decrease | (3,315,930 | ) | ($39,109,968 | ) | (10,410,127 | ) | ($140,914,501 | ) |
Lifestyle Aggressive PS Series | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 13,866 | $ | 165,134 | 75,000 | $ | 993,681 | |||||||||||||
Distributions reinvested | — | — | 4,624 | 57,894 | |||||||||||||||
Repurchased | (14,974 | ) | (180,297 | ) | (39,372 | ) | (515,706 | ) | |||||||||||
Net increase (decrease) | (1,108 | ) | ($15,163 | ) | 40,252 | $ | 535,869 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 22,803 | $ | 267,231 | 81,581 | $ | 1,065,178 | |||||||||||||
Distributions reinvested | — | — | 25,134 | 314,574 | |||||||||||||||
Repurchased | (57,362 | ) | (685,085 | ) | (204,609 | ) | (2,643,654 | ) | |||||||||||
Net decrease | (34,559 | ) | ($417,854 | ) | (97,894 | ) | ($1,263,902 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 8,104 | $ | 99,120 | 34,127 | $ | 438,092 | |||||||||||||
Distributions reinvested | — | — | 1,414 | 17,710 | |||||||||||||||
Repurchased | (7,661 | ) | (93,464 | ) | (7,269 | ) | (93,465 | ) | |||||||||||
Net increase | 443 | $ | 5,656 | 28,272 | $ | 362,337 | |||||||||||||
Total net decrease | (35,224 | ) | ($427,361 | ) | (29,370 | ) | ($365,696 | ) |
Lifestyle Balanced PS Series | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 52,052 | $ | 708,417 | 431,731 | $ | 6,127,816 | |||||||||||||
Distributions reinvested | — | — | 90,295 | 1,237,784 | |||||||||||||||
Repurchased | (114,191 | ) | (1,549,667 | ) | (344,810 | ) | (4,905,194 | ) | |||||||||||
Net increase (decrease) | (62,139 | ) | ($841,250 | ) | 177,216 | $ | 2,460,406 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 3,623,307 | $ | 49,009,256 | 4,357,786 | $ | 62,059,934 | |||||||||||||
Distributions reinvested | — | — | 2,669,839 | 36,641,992 | |||||||||||||||
Repurchased | (5,579,607 | ) | (75,053,108 | ) | (6,435,511 | ) | (91,067,709 | ) | |||||||||||
Net increase (decrease) | (1,956,300 | ) | ($26,043,852 | ) | 592,114 | $ | 7,634,217 | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 522,024 | $ | 7,092,474 | 1,153,892 | $ | 16,430,057 | |||||||||||||
Distributions reinvested | — | — | 131,378 | 1,798,733 | |||||||||||||||
Repurchased | (101,431 | ) | (1,389,481 | ) | (132,981 | ) | (1,894,714 | ) | |||||||||||
Net increase | 420,593 | $ | 5,702,993 | 1,152,289 | $ | 16,334,076 | |||||||||||||
Total net increase (decrease) | (1,597,846 | ) | ($21,182,109 | ) | 1,921,619 | $ | 26,428,699 |
Lifestyle Conservative PS Series | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 75,264 | $ | 976,648 | 200,584 | $ | 2,694,894 | |||||||||||||
Distributions reinvested | — | — | 24,053 | 311,521 | |||||||||||||||
Repurchased | (66,758 | ) | (865,326 | ) | (179,972 | ) | (2,424,983 | ) | |||||||||||
Net increase | 8,506 | $ | 111,322 | 44,665 | $ | 581,432 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 1,714,668 | $ | 22,225,835 | 1,916,832 | $ | 25,713,411 | |||||||||||||
Distributions reinvested | — | — | 505,275 | 6,555,023 | |||||||||||||||
Repurchased | (1,106,610 | ) | (14,496,381 | ) | (2,495,854 | ) | (33,460,470 | ) | |||||||||||
Net increase (decrease) | 608,058 | $ | 7,729,454 | (73,747 | ) | ($1,192,036 | ) | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 34,877 | $ | 457,082 | 85,045 | $ | 1,142,726 | |||||||||||||
Distributions reinvested | — | — | 2,488 | 32,300 | |||||||||||||||
Repurchased | (8,538 | ) | (110,670 | ) | (60,156 | ) | (794,963 | ) | |||||||||||
Net increase | 26,339 | $ | 346,412 | 27,377 | $ | 380,063 | |||||||||||||
Total net increase (decrease) | 642,903 | $ | 8,187,188 | (1,705 | ) | ($230,541 | ) |
Lifestyle Growth PS Series | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 237,860 | $ | 3,431,215 | 669,098 | $ | 9,990,252 | |||||||||||||
Distributions reinvested | — | — | 111,863 | 1,602,966 | |||||||||||||||
Repurchased | (98,977 | ) | (1,396,213 | ) | (504,487 | ) | (7,566,797 | ) | |||||||||||
Net increase | 138,883 | $ | 2,035,002 | 276,474 | $ | 4,026,421 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 7,669,845 | $ | 108,638,261 | 14,721,960 | $ | 219,100,393 | |||||||||||||
Distributions reinvested | — | — | 5,143,179 | 73,732,707 | |||||||||||||||
Repurchased | (13,840,201 | ) | (193,364,430 | ) | (12,309,528 | ) | (180,528,698 | ) | |||||||||||
Net increase (decrease) | (6,170,356 | ) | ($84,726,169 | ) | 7,555,611 | $ | 112,304,402 | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 618,962 | $ | 8,722,793 | 1,257,836 | $ | 18,838,495 | |||||||||||||
Distributions reinvested | — | — | 78,848 | 1,129,830 | |||||||||||||||
Repurchased | (28,693 | ) | (400,265 | ) | (36,882 | ) | (551,040 | ) | |||||||||||
Net increase | 590,269 | $ | 8,322,528 | 1,299,802 | $ | 19,417,285 | |||||||||||||
Total net increase (decrease) | (5,441,204 | ) | ($74,368,639 | ) | 9,131,887 | $ | 135,748,108 |
Lifestyle Moderate PS Series | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 111,251 | $ | 1,499,449 | 183,080 | $ | 2,564,043 | |||||||||||||
Distributions reinvested | — | — | 27,733 | 374,100 | |||||||||||||||
Repurchased | (70,045 | ) | (928,127 | ) | (132,489 | ) | (1,856,994 | ) | |||||||||||
Net increase | 41,206 | $ | 571,322 | 78,324 | $ | 1,081,149 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 2,006,735 | $ | 26,696,644 | 1,581,056 | $ | 22,130,094 | |||||||||||||
Distributions reinvested | — | — | 929,459 | 12,555,899 | |||||||||||||||
Repurchased | (2,414,605 | ) | (31,978,265 | ) | (2,895,254 | ) | (40,400,761 | ) | |||||||||||
Net decrease | (407,870 | ) | ($5,281,621 | ) | (384,739 | ) | ($5,714,768 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 176,477 | $ | 2,377,111 | 341,168 | $ | 4,765,225 | |||||||||||||
Distributions reinvested | — | — | 21,757 | 293,193 | |||||||||||||||
Repurchased | (20,316 | ) | (268,566 | ) | (24,500 | ) | (343,034 | ) | |||||||||||
Net increase | 156,161 | $ | 2,108,545 | 338,425 | $ | 4,715,384 | |||||||||||||
Total net increase (decrease) | (210,503 | ) | ($2,601,754 | ) | 32,010 | $ | 81,765 |
Mid Cap Index Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 1,369,372 | $ | 27,309,498 | 2,148,027 | $ | 47,906,546 | |||||||||||||
Distributions reinvested | — | — | 3,230,404 | 63,405,793 | |||||||||||||||
Repurchased | (1,126,897 | ) | (22,511,778 | ) | (2,231,813 | ) | (48,444,918 | ) | |||||||||||
Net increase | 242,475 | $ | 4,797,720 | 3,146,618 | $ | 62,867,421 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 45,987 | $ | 905,354 | 183,234 | $ | 4,061,201 | |||||||||||||
Distributions reinvested | — | — | 308,014 | 6,013,037 | |||||||||||||||
Repurchased | (210,526 | ) | (4,133,645 | ) | (486,891 | ) | (10,743,016 | ) | |||||||||||
Net increase (decrease) | (164,539 | ) | ($3,228,291 | ) | 4,357 | ($668,778 | ) | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 949,428 | $ | 19,147,648 | 1,676,399 | $ | 38,268,753 | |||||||||||||
Distributions reinvested | — | — | 571,843 | 11,221,024 | |||||||||||||||
Repurchased | (1,003,472 | ) | (19,732,776 | ) | (1,669,854 | ) | (35,205,204 | ) | |||||||||||
Net increase (decrease) | (54,044 | ) | ($585,128 | ) | 578,388 | $ | 14,284,573 | ||||||||||||
Total net increase | 23,892 | $ | 984,301 | 3,729,363 | $ | 76,483,216 |
Mid Cap Stock Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 93,070 | $ | 1,325,459 | 144,444 | $ | 2,472,707 | |||||||||||||
Distributions reinvested | — | — | 2,428,593 | 36,356,040 | |||||||||||||||
Repurchased | (878,194 | ) | (12,239,773 | ) | (1,485,778 | ) | (26,898,710 | ) | |||||||||||
Net increase (decrease) | (785,124 | ) | ($10,914,314 | ) | 1,087,259 | $ | 11,930,037 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 23,613 | $ | 314,539 | 422,972 | $ | 7,094,367 | |||||||||||||
Distributions reinvested | — | — | 1,406,913 | 20,132,925 | |||||||||||||||
Repurchased | (772,235 | ) | (10,332,605 | ) | (1,019,597 | ) | (17,585,506 | ) | |||||||||||
Net increase (decrease) | (748,622 | ) | ($10,018,066 | ) | 810,288 | $ | 9,641,786 | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 260,018 | $ | 3,627,495 | 586,074 | $ | 10,750,201 | |||||||||||||
Distributions reinvested | — | — | 6,961,495 | 105,188,192 | |||||||||||||||
Repurchased | (1,336,904 | ) | (19,474,285 | ) | (4,473,514 | ) | (85,257,004 | ) | |||||||||||
Net increase (decrease) | (1,076,886 | ) | ($15,846,790 | ) | 3,074,055 | $ | 30,681,389 | ||||||||||||
Total net increase (decrease) | (2,610,632 | ) | ($36,779,170 | ) | 4,971,602 | $ | 52,253,212 |
Mid Value Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 977,623 | $ | 11,268,634 | 427,756 | $ | 5,561,147 | |||||||||||||
Distributions reinvested | — | — | 5,719,779 | 60,261,049 | |||||||||||||||
Repurchased | (1,666,248 | ) | (18,198,933 | ) | (5,214,947 | ) | (66,366,461 | ) | |||||||||||
Net increase (decrease) | (688,625 | ) | ($6,930,299 | ) | 932,588 | ($544,265 | ) | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 247,382 | $ | 2,869,559 | 57,951 | $ | 710,590 | |||||||||||||
Distributions reinvested | — | — | 1,177,341 | 12,398,213 | |||||||||||||||
Repurchased | (391,169 | ) | (4,360,437 | ) | (1,130,851 | ) | (15,081,066 | ) | |||||||||||
Net increase (decrease) | (143,787 | ) | ($1,490,878 | ) | 104,441 | ($1,972,263 | ) | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 320,771 | $ | 3,604,280 | 667,942 | $ | 9,048,049 | |||||||||||||
Distributions reinvested | — | — | 8,076,421 | 84,777,793 | |||||||||||||||
Repurchased | (4,570,302 | ) | (50,936,838 | ) | (5,142,151 | ) | (69,863,730 | ) | |||||||||||
Net increase (decrease) | (4,249,531 | ) | ($47,332,558 | ) | 3,602,212 | $ | 23,962,112 | ||||||||||||
Total net increase (decrease) | (5,081,943 | ) | ($55,753,735 | ) | 4,639,241 | $ | 21,445,584 |
Mutual Shares Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 4,310 | $ | 49,322 | 530,522 | $ | 6,137,893 | |||||||||||||
Distributions reinvested | — | — | 1,756,166 | 20,716,912 | |||||||||||||||
Repurchased | (781,712 | ) | (9,215,487 | ) | (1,934,792 | ) | (26,637,644 | ) | |||||||||||
Net increase (decrease) | (777,402 | ) | ($9,166,165 | ) | 351,896 | $ | 217,161 | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | — | — | 56,483 | $ | 667,065 | ||||||||||||||
Distributions reinvested | — | — | 3,719,181 | 43,875,722 | |||||||||||||||
Repurchased | (1,612,521 | ) | ($18,828,288 | ) | (3,932,296 | ) | (53,986,164 | ) | |||||||||||
Net decrease | (1,612,521 | ) | ($18,828,288 | ) | (156,632 | ) | ($9,443,377 | ) | |||||||||||
Total net increase (decrease) | (2,389,923 | ) | ($27,994,453 | ) | 195,264 | ($9,226,216 | ) |
Real Estate Securities Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 48,472 | $ | 903,866 | 183,178 | $ | 3,287,637 | |||||||||||||
Distributions reinvested | — | — | 99,481 | 1,710,648 | |||||||||||||||
Repurchased | (390,921 | ) | (7,212,476 | ) | (1,102,814 | ) | (19,664,072 | ) | |||||||||||
Net decrease | (342,449 | ) | ($6,308,610 | ) | (820,155 | ) | ($14,665,787 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 124,683 | $ | 2,383,239 | 379,619 | $ | 6,887,684 | |||||||||||||
Distributions reinvested | — | — | 55,435 | 953,383 | |||||||||||||||
Repurchased | (285,750 | ) | (5,246,553 | ) | (1,099,607 | ) | (19,606,427 | ) | |||||||||||
Net decrease | (161,067 | ) | ($2,863,314 | ) | (664,553 | ) | ($11,765,360 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 209,529 | $ | 3,886,353 | 1,006,831 | $ | 17,994,079 | |||||||||||||
Distributions reinvested | — | — | 313,408 | 5,361,772 | |||||||||||||||
Repurchased | (823,682 | ) | (15,016,397 | ) | (2,136,142 | ) | (37,903,250 | ) | |||||||||||
Net decrease | (614,153 | ) | ($11,130,044 | ) | (815,903 | ) | ($14,547,399 | ) | |||||||||||
Total net decrease | (1,117,669 | ) | ($20,301,968 | ) | (2,300,611 | ) | ($40,978,546 | ) |
Science & Technology Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 375,440 | $ | 8,492,251 | 1,267,597 | $ | 32,854,144 | |||||||||||||
Distributions reinvested | — | — | 3,266,140 | 70,613,953 | |||||||||||||||
Repurchased | (1,292,463 | ) | (29,087,185 | ) | (1,670,266 | ) | (43,148,788 | ) | |||||||||||
Net increase (decrease) | (917,023 | ) | ($20,594,934 | ) | 2,863,471 | $ | 60,319,309 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 29,052 | $ | 647,410 | 217,979 | $ | 5,366,421 | |||||||||||||
Distributions reinvested | — | — | 350,225 | 7,354,718 | |||||||||||||||
Repurchased | (198,102 | ) | (4,333,502 | ) | (423,499 | ) | (11,055,942 | ) | |||||||||||
Net increase (decrease) | (169,050 | ) | ($3,686,092 | ) | 144,705 | $ | 1,665,197 | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 110,799 | $ | 2,515,534 | 286,912 | $ | 7,715,621 | |||||||||||||
Distributions reinvested | — | — | 207,782 | 4,523,412 | |||||||||||||||
Repurchased | (80,664 | ) | (1,818,281 | ) | (130,668 | ) | (3,416,397 | ) | |||||||||||
Net increase | 30,135 | $ | 697,253 | 364,026 | $ | 8,822,636 | |||||||||||||
Total net increase (decrease) | (1,055,938 | ) | ($23,583,773 | ) | 3,372,202 | $ | 70,807,142 |
Small Cap Growth Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 391,698 | $ | 2,988,166 | 874,560 | $ | 9,995,431 | |||||||||||||
Distributions reinvested | — | — | 2,254,736 | 20,495,548 | |||||||||||||||
Repurchased | (1,273,150 | ) | (9,841,173 | ) | (2,026,898 | ) | (21,419,716 | ) | |||||||||||
Net increase (decrease) | (881,452 | ) | ($6,853,007 | ) | 1,102,398 | $ | 9,071,263 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 111,991 | $ | 849,074 | 779,288 | $ | 8,231,774 | |||||||||||||
Distributions reinvested | — | — | 762,836 | 6,667,182 | |||||||||||||||
Repurchased | (540,819 | ) | (3,900,264 | ) | (687,021 | ) | (7,292,599 | ) | |||||||||||
Net increase (decrease) | (428,828 | ) | ($3,051,190 | ) | 855,103 | $ | 7,606,357 | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 1,108,430 | $ | 8,426,414 | 1,613,605 | $ | 15,171,667 | |||||||||||||
Distributions reinvested | — | — | 6,370,152 | 58,414,290 | |||||||||||||||
Repurchased | (782,133 | ) | (6,190,642 | ) | (3,498,816 | ) | (40,842,809 | ) | |||||||||||
Net increase | 326,297 | $ | 2,235,772 | 4,484,941 | $ | 32,743,148 | |||||||||||||
Total net increase (decrease) | (983,983 | ) | ($7,668,425 | ) | 6,442,442 | $ | 49,420,768 |
Small Cap Index Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 955,075 | $ | 12,233,831 | 1,860,584 | $ | 27,765,330 | |||||||||||||
Distributions reinvested | — | — | 2,089,394 | 27,800,560 | |||||||||||||||
Repurchased | (941,004 | ) | (12,085,665 | ) | (2,006,680 | ) | (29,536,879 | ) | |||||||||||
Net increase | 14,071 | $ | 148,166 | 1,943,298 | $ | 26,029,011 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 19,795 | $ | 256,060 | 49,453 | $ | 709,277 | |||||||||||||
Distributions reinvested | — | — | 310,426 | 4,104,906 | |||||||||||||||
Repurchased | (179,401 | ) | (2,275,131 | ) | (698,649 | ) | (10,356,354 | ) | |||||||||||
Net decrease | (159,606 | ) | ($2,019,071 | ) | (338,770 | ) | ($5,542,171 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 309,894 | $ | 3,971,276 | 1,181,445 | $ | 18,185,191 | |||||||||||||
Distributions reinvested | — | — | 693,665 | 9,244,958 | |||||||||||||||
Repurchased | (392,796 | ) | (5,067,795 | ) | (1,439,418 | ) | (20,562,482 | ) | |||||||||||
Net increase (decrease) | (82,902 | ) | ($1,096,519 | ) | 435,692 | $ | 6,867,667 | ||||||||||||
Total net increase (decrease) | (228,437 | ) | ($2,967,424 | ) | 2,040,220 | $ | 27,354,507 |
Small Cap Opportunities Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 8,256 | $ | 239,580 | 39,665 | $ | 1,252,006 | |||||||||||||
Distributions reinvested | — | — | 132,579 | 3,807,671 | |||||||||||||||
Repurchased | (237,919 | ) | (6,713,778 | ) | (462,658 | ) | (14,541,280 | ) | |||||||||||
Net decrease | (229,663 | ) | ($6,474,198 | ) | (290,414 | ) | ($9,481,603 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 18,373 | $ | 508,211 | 90,783 | $ | 2,825,823 | |||||||||||||
Distributions reinvested | — | — | 55,087 | 1,560,627 | |||||||||||||||
Repurchased | (155,392 | ) | (4,385,638 | ) | (260,961 | ) | (8,077,364 | ) | |||||||||||
Net decrease | (137,019 | ) | ($3,877,427 | ) | (115,091 | ) | ($3,690,914 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 66,385 | $ | 1,834,394 | 88,135 | $ | 2,741,082 | |||||||||||||
Distributions reinvested | — | — | 136,599 | 3,905,359 | |||||||||||||||
Repurchased | (198,072 | ) | (5,807,697 | ) | (1,155,159 | ) | (36,259,853 | ) | |||||||||||
Net decrease | (131,687 | ) | ($3,973,303 | ) | (930,425 | ) | ($29,613,412 | ) | |||||||||||
Total net decrease | (498,369 | ) | ($14,324,928 | ) | (1,335,930 | ) | ($42,785,929 | ) |
Small Cap Value Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 362,342 | $ | 7,549,203 | 926,070 | $ | 21,221,240 | |||||||||||||
Distributions reinvested | — | — | 2,650,452 | 51,738,732 | |||||||||||||||
Repurchased | (825,850 | ) | (16,576,696 | ) | (1,822,292 | ) | (42,289,278 | ) | |||||||||||
Net increase (decrease) | (463,508 | ) | ($9,027,493 | ) | 1,754,230 | $ | 30,670,694 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 145,370 | $ | 3,020,433 | 206,556 | $ | 4,634,513 | |||||||||||||
Distributions reinvested | — | — | 289,105 | 5,608,772 | |||||||||||||||
Repurchased | (182,719 | ) | (3,611,150 | ) | (468,988 | ) | (10,993,641 | ) | |||||||||||
Net increase (decrease) | (37,349 | ) | ($590,717 | ) | 26,673 | ($750,356 | ) | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 191,211 | $ | 3,808,332 | 525,949 | $ | 12,198,965 | |||||||||||||
Distributions reinvested | — | — | 2,502,841 | 48,768,566 | |||||||||||||||
Repurchased | (946,199 | ) | (19,863,516 | ) | (2,032,702 | ) | (46,718,631 | ) | |||||||||||
Net increase (decrease) | (754,988 | ) | ($16,055,184 | ) | 996,088 | $ | 14,248,900 | ||||||||||||
Total net increase (decrease) | (1,255,845 | ) | ($25,673,394 | ) | 2,776,991 | $ | 44,169,238 |
Small Company Growth Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 1,132 | $ | 27,825 | — | — | ||||||||||||||
Distributions reinvested | — | — | 13,446 | $ | 370,025 | ||||||||||||||
Repurchased | (236,434 | ) | (6,516,985 | ) | (738,619 | ) | (21,550,458 | ) | |||||||||||
Net decrease | (235,302 | ) | ($6,489,160 | ) | (725,173 | ) | ($21,180,433 | ) |
Small Company Value Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 51,140 | $ | 1,070,867 | 33,869 | $ | 743,346 | |||||||||||||
Distributions reinvested | — | — | 489,096 | 9,613,168 | |||||||||||||||
Repurchased | (242,281 | ) | (4,818,617 | ) | (474,686 | ) | (11,160,185 | ) | |||||||||||
Net increase (decrease) | (191,141 | ) | ($3,747,750 | ) | 48,279 | ($803,671 | ) | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 49,090 | $ | 1,012,266 | 89,723 | $ | 1,976,583 | |||||||||||||
Distributions reinvested | — | — | 407,648 | 7,892,014 | |||||||||||||||
Repurchased | (172,135 | ) | (3,376,637 | ) | (452,955 | ) | (10,375,595 | ) | |||||||||||
Net increase (decrease) | (123,045 | ) | ($2,364,371 | ) | 44,416 | ($506,998 | ) | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 62,990 | $ | 1,234,514 | 92,522 | $ | 2,192,913 | |||||||||||||
Distributions reinvested | — | — | 1,593,584 | 31,260,908 | |||||||||||||||
Repurchased | (890,655 | ) | (18,346,117 | ) | (1,224,054 | ) | (27,765,761 | ) | |||||||||||
Net increase (decrease) | (827,665 | ) | ($17,111,603 | ) | 462,052 | $ | 5,688,060 | ||||||||||||
Total net increase (decrease) | (1,141,851 | ) | ($23,223,724 | ) | 554,747 | $ | 4,377,391 |
Strategic Equity Allocation Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 3,544,521 | $ | 52,667,596 | 15,919,799 | $ | 280,757,332 | |||||||||||||
Distributions reinvested | — | — | 36,852,938 | 588,655,401 | |||||||||||||||
Repurchased | (32,801,281 | ) | (525,047,362 | ) | (86,761,139 | ) | (1,516,117,582 | ) | |||||||||||
Net decrease | (29,256,760 | ) | ($472,379,766 | ) | (33,988,402 | ) | ($646,704,849 | ) |
Total Stock Market Index Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 981,119 | $ | 17,076,253 | 2,292,126 | $ | 41,936,087 | |||||||||||||
Distributions reinvested | — | — | 1,135,428 | 19,605,517 | |||||||||||||||
Repurchased | (1,643,831 | ) | (28,627,785 | ) | (3,573,713 | ) | (64,971,958 | ) | |||||||||||
Net decrease | (662,712 | ) | ($11,551,532 | ) | (146,159 | ) | ($3,430,354 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 4,080 | $ | 66,451 | 92,532 | $ | 1,700,956 | |||||||||||||
Distributions reinvested | — | — | 87,962 | 1,510,441 | |||||||||||||||
Repurchased | (118,957 | ) | (2,059,194 | ) | (425,386 | ) | (7,721,213 | ) | |||||||||||
Net decrease | (114,877 | ) | ($1,992,743 | ) | (244,892 | ) | ($4,509,816 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 222,154 | $ | 3,838,086 | 646,802 | $ | 11,891,660 | |||||||||||||
Distributions reinvested | — | — | 241,100 | 4,165,696 | |||||||||||||||
Repurchased | (147,709 | ) | (2,572,180 | ) | (392,737 | ) | (7,186,418 | ) | |||||||||||
Net increase | 74,445 | $ | 1,265,906 | 495,165 | $ | 8,870,938 | |||||||||||||
Total net increase (decrease) | (703,144 | ) | ($12,278,369 | ) | 104,114 | $ | 930,768 |
U.S. Equity Trust | Six months ended 6/30/16 | Year ended 12/31/15 | ||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||||
Series I shares | ||||||||||||||||||||||||||||||||||
Sold | 108,981 | $ | 2,086,206 | 52,962 | $ | 1,022,085 | ||||||||||||||||||||||||||||
Distributions reinvested | — | — | 126,986 | 2,446,878 | ||||||||||||||||||||||||||||||
Repurchased | (512,211 | ) | (9,761,945 | ) | (899,017 | ) | (17,494,524 | ) | ||||||||||||||||||||||||||
Net decrease | (403,230 | ) | ($7,675,739 | ) | (719,069 | ) | ($14,025,561 | ) | ||||||||||||||||||||||||||
Series II shares | ||||||||||||||||||||||||||||||||||
Sold | 1,738 | $ | 32,444 | 46,540 | $ | 846,450 | ||||||||||||||||||||||||||||
Distributions reinvested | — | — | 6,730 | 129,785 | ||||||||||||||||||||||||||||||
Repurchased | (17,829 | ) | (333,495 | ) | (125,065 | ) | (2,415,790 | ) | ||||||||||||||||||||||||||
Net decrease | (16,091 | ) | ($301,051 | ) | (71,795 | ) | ($1,439,555 | ) | ||||||||||||||||||||||||||
Series NAV shares | ||||||||||||||||||||||||||||||||||
Sold | 54,344 | $ | 1,002,691 | 83,755 | $ | 1,595,025 | ||||||||||||||||||||||||||||
Distributions reinvested | — | — | 624,691 | 12,035,232 | ||||||||||||||||||||||||||||||
Repurchased | (2,601,382 | ) | (49,496,362 | ) | (5,433,643 | ) | (106,197,328 | ) | ||||||||||||||||||||||||||
Net decrease | (2,547,038 | ) | ($48,493,671 | ) | (4,725,197 | ) | ($92,567,071 | ) | ||||||||||||||||||||||||||
Total net decrease | (2,966,359 | ) | ($56,470,461 | ) | (5,516,061 | ) | ($108,032,187 | ) |
Utilities Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 515,576 | $ | 6,663,730 | 262,071 | $ | 3,917,387 | |||||||||||||
Distributions reinvested | — | — | 3,511,774 | 45,797,552 | |||||||||||||||
Repurchased | (1,714,942 | ) | (21,166,708 | ) | (6,125,993 | ) | (91,071,252 | ) | |||||||||||
Net decrease | (1,199,366 | ) | ($14,502,978 | ) | (2,352,148 | ) | ($41,356,313 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 94,465 | $ | 1,220,754 | 95,107 | $ | 1,403,361 | |||||||||||||
Distributions reinvested | — | — | 176,373 | 2,277,667 | |||||||||||||||
Repurchased | (151,745 | ) | (1,914,811 | ) | (432,905 | ) | (6,552,829 | ) | |||||||||||
Net decrease | (57,280 | ) | ($694,057 | ) | (161,425 | ) | ($2,871,801 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 90,476 | $ | 1,123,386 | 260,892 | $ | 3,700,466 | |||||||||||||
Distributions reinvested | — | — | 357,377 | 4,653,713 | |||||||||||||||
Repurchased | (476,040 | ) | (6,175,520 | ) | (545,771 | ) | (7,342,974 | ) | |||||||||||
Net increase (decrease) | (385,564 | ) | ($5,052,134 | ) | 72,498 | $ | 1,011,205 | ||||||||||||
Total net decrease | (1,642,210 | ) | ($20,249,169 | ) | (2,441,075 | ) | ($43,216,909 | ) |
Value Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 120,002 | $ | 2,380,262 | 375,911 | $ | 9,050,918 | |||||||||||||
Distributions reinvested | — | — | 3,584,872 | 75,488,603 | |||||||||||||||
Repurchased | (1,889,933 | ) | (37,244,902 | ) | (2,785,898 | ) | (66,992,638 | ) | |||||||||||
Net increase (decrease) | (1,769,931 | ) | ($34,864,640 | ) | 1,174,885 | $ | 17,546,883 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 26,235 | $ | 511,247 | 92,573 | $ | 2,286,542 | |||||||||||||
Distributions reinvested | — | — | 183,203 | 3,837,095 | |||||||||||||||
Repurchased | (122,528 | ) | (2,400,743 | ) | (269,897 | ) | (6,771,845 | ) | |||||||||||
Net increase (decrease) | (96,293 | ) | ($1,889,496 | ) | 5,879 | ($648,208 | ) | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 85,516 | $ | 1,634,296 | 489,425 | $ | 10,911,381 | |||||||||||||
Distributions reinvested | — | — | 202,005 | 4,249,880 | |||||||||||||||
Repurchased | (349,806 | ) | (7,033,718 | ) | (144,136 | ) | (3,664,223 | ) | |||||||||||
Net increase (decrease) | (264,290 | ) | ($5,399,422 | ) | 547,294 | $ | 11,497,038 | ||||||||||||
Total net increase (decrease) | (2,130,514 | ) | ($42,153,558 | ) | 1,728,058 | $ | 28,395,713 |
PORTFOLIO | | SERIES | | % BY SERIES | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Emerging Markets Value Trust | II | 98 | % |
Purchases | Sales | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | U.S. Government | | Other Issuers | | U.S. Government | | Other Issuers | |||||||||||
500 Index Trust B | — | $ | 179,353,619 | — | $ | 79,261,528 | ||||||||||||
All Cap Core Trust | — | 309,485,773 | — | 320,874,324 | ||||||||||||||
Alpha Opportunities Trust | — | 291,455,245 | — | 344,203,564 | ||||||||||||||
American Asset Allocation Trust | — | 40,837,103 | — | 83,544,501 | ||||||||||||||
American Global Growth Trust | — | 24,898,975 | — | 18,355,231 | ||||||||||||||
American Growth Trust | — | 92,296,552 | — | 59,564,575 |
Purchases | Sales | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | U.S. Government | | Other Issuers | | U.S. Government | | Other Issuers | |||||||||||
American Growth-Income Trust | — | $ | 119,180,350 | — | $ | 66,536,882 | ||||||||||||
American International Trust | — | 58,243,724 | — | 42,394,251 | ||||||||||||||
American New World Trust | — | 1,079,724 | — | 5,190,018 | ||||||||||||||
Blue Chip Growth Trust | — | 239,442,177 | — | 313,132,530 | ||||||||||||||
Capital Appreciation Trust | — | 129,364,240 | — | 180,201,269 | ||||||||||||||
Capital Appreciation Value Trust | — | 94,308,053 | — | 95,008,395 | ||||||||||||||
Core Strategy Trust | — | 12,260,451 | — | 162,290,846 | ||||||||||||||
Emerging Markets Value Trust | — | 101,924,848 | — | 84,630,101 | ||||||||||||||
Equity Income Trust | — | 184,740,438 | — | 341,317,031 | ||||||||||||||
Financial Industries Trust | — | 17,609,746 | — | 25,679,541 | ||||||||||||||
Franklin Templeton Founding Allocation Trust | — | — | — | 53,258,415 | ||||||||||||||
Fundamental All Cap Core Trust | — | 159,121,679 | — | 275,091,468 | ||||||||||||||
Fundamental Large Cap Value Trust | — | 123,549,958 | — | 186,538,420 | ||||||||||||||
Global Trust | — | 67,602,619 | — | 80,761,217 | ||||||||||||||
Health Science Trust | — | 33,378,746 | — | 69,389,597 | ||||||||||||||
International Core Trust | — | 138,440,452 | — | 139,030,271 | ||||||||||||||
International Equity Index Trust B | — | 23,958,102 | — | 25,223,322 | ||||||||||||||
International Growth Stock Trust | — | 28,395,211 | — | 49,040,634 | ||||||||||||||
International Small Company Trust | — | 8,801,361 | — | 6,527,684 | ||||||||||||||
International Value Trust | — | 114,573,563 | — | 121,142,383 | ||||||||||||||
Lifestyle Aggressive PS Series | — | 467,146 | — | 899,459 | ||||||||||||||
Lifestyle Balanced PS Series | — | 50,228,760 | — | 72,788,776 | ||||||||||||||
Lifestyle Conservative PS Series | — | 22,244,410 | — | 14,372,500 | ||||||||||||||
Lifestyle Growth PS Series | — | 112,679,365 | — | 189,835,773 | ||||||||||||||
Lifestyle Moderate PS Series | — | 28,288,406 | — | 31,387,333 | ||||||||||||||
Mid Cap Index Trust | — | 128,692,683 | — | 120,376,293 | ||||||||||||||
Mid Cap Stock Trust | — | 247,742,837 | — | 292,175,585 | ||||||||||||||
Mid Value Trust | — | 219,711,431 | — | 537,820,796 | ||||||||||||||
Mutual Shares Trust | — | 47,382,331 | — | 75,305,179 | ||||||||||||||
Real Estate Securities Trust | — | 287,524,345 | — | 298,705,082 | ||||||||||||||
Science & Technology Trust | — | 250,203,224 | — | 275,028,738 | ||||||||||||||
Small Cap Growth Trust | — | 194,352,338 | — | 199,555,980 | ||||||||||||||
Small Cap Index Trust | — | 55,399,692 | — | 70,574,752 | ||||||||||||||
Small Cap Opportunities Trust | — | 35,284,821 | — | 50,324,816 | ||||||||||||||
Small Cap Value Trust | — | 49,902,516 | — | 73,990,986 | ||||||||||||||
Small Company Growth Trust | — | 14,103,739 | — | 20,489,820 | ||||||||||||||
Small Company Value Trust | — | 30,091,384 | — | 48,160,075 | ||||||||||||||
Strategic Equity Allocation Trust | — | 417,320,083 | — | 789,701,350 | ||||||||||||||
Total Stock Market Index Trust | — | 7,616,041 | — | 14,087,504 | ||||||||||||||
U.S. Equity Trust | — | 292,221,291 | — | 354,785,247 | ||||||||||||||
Utilities Trust | — | 45,619,282 | — | 79,417,081 | ||||||||||||||
Value Trust | — | 71,441,121 | — | 108,285,372 |
Portfolio | Affiliated Concentration | |||||
---|---|---|---|---|---|---|
All Cap Core Trust | 67.6 | % | ||||
Alpha Opportunities Trust | 99.0 | % | ||||
Blue Chip Growth Trust | 36.0 | % | ||||
Capital Appreciation Trust | 54.3 | % | ||||
Emerging Markets Value Trust | 88.5 | % | ||||
Equity Income | 51.5 | % | ||||
Fundamental Large Cap Value Trust | 45.9 | % | ||||
Global Trust | 60.6 | % | ||||
International Core Trust | 85.4 | % | ||||
International Value Trust | 67.5 | % | ||||
International Growth Stock Trust | 84.1 | % | ||||
Mid Cap Stock Trust | 41.3 | % | ||||
Mid Value Trust | 38.0 | % | ||||
Mutual Shares Trust | 67.0 | % | ||||
Small Cap Growth Trust | 34.9 | % | ||||
Small Cap Opportunities Trust | 30.1 | % | ||||
Small Cap Value Trust | 19.8 | % | ||||
Small Company Growth Trust | 100.0 | % | ||||
Small Company Value Trust | 52.7 | % | ||||
Strategic Equity Allocation Trust | 100.0 | % | ||||
U.S. Equity Trust | 79.4 | % |
Portfolio | | Affiliate Series NAV | | Percentage of Underlying Portfolio’s Net Assets | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Core Strategy Trust | Strategic Equity Allocation Trust | 26.2 | % | |||||||
Bond Trust | 12.0 | % | ||||||||
Franklin Templeton Founding Allocation Trust | Income Trust | 100.0 | % | |||||||
Mutual Shares Trust | 67.0 | % | ||||||||
Global Trust | 60.6 | % | ||||||||
Lifestyle Balance PS Series | Bond Trust | 5.5 | % | |||||||
Strategic Equity Allocation Trust | 5.1 | % | ||||||||
Lifestyle Growth PS Series | Strategic Equity Allocation Trust | 14.3 | % | |||||||
Bond Trust | 6.4 | % |
Dividends and distributions | |||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | Beginning share amount | | Shares purchased | | Shares sold | | Ending share amount | | Income distributions received | | Capital gain distributions received | | Realized gain (loss) | | Ending value | ||||||||||||||||||||||||
Core Strategy Trust | |||||||||||||||||||||||||||||||||||||||
Bond Trust | 82,607,762 | 769,060 | (6,492,470 | ) | 76,884,352 | — | — | ($2,703,999 | ) | $ | 1,074,074,393 | ||||||||||||||||||||||||||||
Strategic Equity Allocation Trust | 158,519,724 | 109,651 | (4,594,218 | ) | 154,035,157 | — | — | 13,898,647 | 2,515,394,115 | ||||||||||||||||||||||||||||||
— | — | $ | 11,194,648 | $ | 3,589,468,508 | ||||||||||||||||||||||||||||||||||
Franklin Templeton Founding Allocation Trust | |||||||||||||||||||||||||||||||||||||||
Global Trust | 19,427,293 | — | (472,166 | ) | 18,955,127 | — | — | $ | 762,940 | $ | 332,093,827 | ||||||||||||||||||||||||||||
Income Trust | 32,757,295 | — | (2,430,522 | ) | 30,326,773 | — | — | (2,469,717 | ) | 343,602,334 | |||||||||||||||||||||||||||||
Mutual Shares Trust | 29,767,896 | — | (1,612,521 | ) | 28,155,375 | — | — | 914,062 | 345,748,008 | ||||||||||||||||||||||||||||||
— | — | ($792,715 | ) | $ | 1,021,444,169 | ||||||||||||||||||||||||||||||||||
Lifestyle Aggressive PS Series | |||||||||||||||||||||||||||||||||||||||
Strategic Equity Allocation Trust | 1,056,699 | 11,009 | (30,018 | ) | 1,037,690 | — | — | ($42,512 | ) | $ | 16,945,484 | ||||||||||||||||||||||||||||
Lifestyle Balanced PS Series | |||||||||||||||||||||||||||||||||||||||
Bond Trust | 36,773,458 | 2,366,107 | (3,843,666 | ) | 35,295,899 | — | — | ($50,474 | ) | $ | 493,083,705 | ||||||||||||||||||||||||||||
Strategic Equity Allocation Trust | 30,214,068 | 1,199,623 | (1,315,549 | ) | 30,098,142 | — | — | (8,975 | ) | 491,502,659 | |||||||||||||||||||||||||||||
— | — | ($59,449 | ) | $ | 984,586,364 | ||||||||||||||||||||||||||||||||||
Lifestyle Conservative PS Series | |||||||||||||||||||||||||||||||||||||||
Bond Trust | 11,446,987 | 1,042,985 | (642,146 | ) | 11,847,826 | — | — | $ | 58,074 | $ | 165,514,134 | ||||||||||||||||||||||||||||
Strategic Equity Allocation Trust | 2,340,516 | 538,351 | (354,572 | ) | 2,524,295 | — | — | (383,331 | ) | 41,221,730 | |||||||||||||||||||||||||||||
— | — | ($325,257 | ) | $ | 206,735,864 | ||||||||||||||||||||||||||||||||||
Lifestyle Growth PS Series | |||||||||||||||||||||||||||||||||||||||
Bond Trust | 44,622,699 | 7,404,403 | (10,946,650 | ) | 41,080,452 | — | — | $ | 6,949 | $ | 573,893,909 | ||||||||||||||||||||||||||||
Strategic Equity Allocation Trust | 85,810,005 | 767,279 | (2,617,183 | ) | 83,960,101 | — | — | (327,686 | ) | 1,371,068,452 | |||||||||||||||||||||||||||||
— | — | ($320,737 | ) | $ | 1,944,962,361 | ||||||||||||||||||||||||||||||||||
Lifestyle Moderate PS Series | |||||||||||||||||||||||||||||||||||||||
Bond Trust | 14,527,898 | 1,243,896 | (1,667,096 | ) | 14,104,698 | — | — | ($44,156 | ) | $ | 197,042,628 | ||||||||||||||||||||||||||||
Strategic Equity Allocation Trust | 7,926,674 | 743,999 | (563,727 | ) | 8,106,946 | — | — | (250,449 | ) | 132,386,429 | |||||||||||||||||||||||||||||
— | — | ($294,605 | ) | $ | 329,429,057 |
Fund | Purchases | | Sales | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Blue Chip Growth Trust | — | $ | 181,350 | |||||||
Capital Appreciation Trust | $ | 221,469 | — | |||||||
Capital Appreciation Value Trust | — | 165,648 | ||||||||
Equity Income Trust | 582,578 | — | ||||||||
Health Sciences Trust | 82,818 | — | ||||||||
Mid Value Trust | 896,360 | 268,681 | ||||||||
Small Cap Opportunities Trust | 893,278 | — | ||||||||
Small Company Growth Trust | — | 1,356,077 | ||||||||
Utilities Trust | 195,409 | 108,100 |
Portfolio | | Issuer, Description | | Original acquisition date | | Acquisition cost | | Beginning share/par amount | | Ending share/par amount | | Value as a percentage of portfolio’s net assets | | Value as of 6-30-16 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Alpha Opportunities Trust | Birst, Inc., Series F | 3/3/2015 | $ | 269,102 | 46,072 | 46,072 | 0.0 | %* | $ | 241,417 | ||||||||||||||||||||
Alpha Opportunities Trust | Cloudera, Inc., Series F | 2/5/2014 | 229,626 | 15,771 | 15,771 | 0.1 | % | 323,621 | ||||||||||||||||||||||
Alpha Opportunities Trust | DocuSign, Inc., Series B | 2/28/2014 | 11,360 | 865 | 865 | 0.0 | %* | 14,169 | ||||||||||||||||||||||
Alpha Opportunities Trust | DocuSign, Inc., Series B1 | 3/3/2014 | 3,401 | 259 | 259 | 0.0 | %* | 4,242 | ||||||||||||||||||||||
Alpha Opportunities Trust | DocuSign, Inc., Series D | 3/3/2014 | 8,155 | 621 | 621 | 0.0 | %* | 10,172 | ||||||||||||||||||||||
Alpha Opportunities Trust | DocuSign, Inc., Series E | 3/3/2014 | 211,051 | 16,071 | 16,071 | 0.0 | %* | 263,243 | ||||||||||||||||||||||
Alpha Opportunities Trust | DocuSign, Inc., Series F | 4/30/2015 | 40,229 | 2,107 | 2,107 | 0.0 | %* | 34,513 | ||||||||||||||||||||||
Alpha Opportunities Trust | DraftKings, Inc. | 12/22/2015 | 48,473 | 48,473 | 48,473 | 0.0 | %* | 48,473 | ||||||||||||||||||||||
Alpha Opportunities Trust | DraftKings, Inc., Series C | 12/4/2014 | 135,907 | 75,450 | 75,450 | 0.0 | %* | 154,673 | ||||||||||||||||||||||
Alpha Opportunities Trust | Dropbox, Inc., Series C | 1/28/2014 | 208,108 | 10,895 | 10,895 | 0.0 | %* | 115,269 | ||||||||||||||||||||||
Alpha Opportunities Trust | Essence Group Holdings Corp. | 5/1/2014 | 321,999 | 203,629 | 203,629 | 0.1 | % | 458,165 | ||||||||||||||||||||||
Alpha Opportunities Trust | Forward Venture | 11/20/2014 | 446,608 | 14,346 | 14,346 | 0.1 | % | 472,844 | ||||||||||||||||||||||
Alpha Opportunities Trust | Jand, Inc., Class A | 4/23/2015 | 40,141 | 3,495 | 3,495 | 0.0 | %* | 39,424 | ||||||||||||||||||||||
Alpha Opportunities Trust | Jand, Inc., Series D | 4/23/2015 | 89,643 | 7,805 | 7,805 | 0.0 | %* | 86,636 | ||||||||||||||||||||||
Alpha Opportunities Trust | Lithium Technology Corp. | 8/18/2014 | 578,207 | 118,631 | 118,631 | 0.1 | % | 529,094 | ||||||||||||||||||||||
Alpha Opportunities Trust | Lookout, Inc., Series F | 7/31/2014 | 287,565 | 25,174 | 25,174 | 0.0 | %* | 189,057 | ||||||||||||||||||||||
Alpha Opportunities Trust | MarkLogic Corp., Series F | 4/27/2015 | 358,170 | 30,839 | 30,839 | 0.1 | % | 314,249 | ||||||||||||||||||||||
Alpha Opportunities Trust | Nutanix, Inc. | 8/25/2014 | 430,389 | 32,127 | 32,127 | 0.1 | % | 415,081 | ||||||||||||||||||||||
Alpha Opportunities Trust | Pinterest, Inc., Series G | 3/16/2015 | 1,163,695 | 162,095 | ** | 162,095 | ** | 0.2 | % | 987,159 | ||||||||||||||||||||
Alpha Opportunities Trust | Redfin Corp. | 12/15/2014 | 257,887 | 78,202 | 78,202 | 0.0 | %* | 253,374 | ||||||||||||||||||||||
Alpha Opportunities Trust | The Honest Company, Inc. (Common Stock) | 8/20/2014 | 103,927 | 3,841 | 3,841 | 0.0 | %* | 170,925 | ||||||||||||||||||||||
Alpha Opportunities Trust | The Honest Company, Inc. (Preferred Stock) | 8/20/2014 | 242,515 | 8,963 | 8,963 | 0.1 | % | 398,854 | ||||||||||||||||||||||
Alpha Opportunities Trust | Uber Technologies, Inc. | 6/5/2014 | 2,206,328 | 142,224 | 142,224 | 1.1 | % | 6,936,577 | ||||||||||||||||||||||
Alpha Opportunities Trust | Veracode, Inc. | 8/26/2014 | 345,534 | 18,712 | 18,712 | 0.1 | % | 384,719 | ||||||||||||||||||||||
Alpha Opportunities Trust | WeWork Companies, Inc., Class A | 12/8/2014 | 42,527 | 2,554 | 2,554 | 0.0 | %* | 128,191 | ||||||||||||||||||||||
Alpha Opportunities Trust | WeWork Companies, Inc., Series D1 | 12/8/2014 | 211,370 | 12,694 | 12,694 | 0.1 | % | 637,140 | ||||||||||||||||||||||
Alpha Opportunities Trust | WeWork Companies, Inc., Series D2 | 12/8/2014 | 166,079 | 9,974 | 9,974 | 0.1 | % | 500,618 | ||||||||||||||||||||||
Alpha Opportunities Trust | Zuora, Inc., Series F | 1/15/2015 | 379,546 | 99,899 | 99,899 | 0.1 | % | 368,627 | ||||||||||||||||||||||
$ | 14,480,526 | |||||||||||||||||||||||||||||
Health Sciences Trust | Acerta Pharma BV, Class B | 2/8/2016 | $ | 128,018 | — | 4,276,305 | 0.1 | % | $ | 317,729 | ||||||||||||||||||||
Bought: 4,276,305 shares | ||||||||||||||||||||||||||||||
Health Sciences Trust | Audentes Therapeutics, Inc., Series C | 10/8/2015 | 105,311 | 15,628 | 15,628 | 0.0 | %* | 84,235 | ||||||||||||||||||||||
Health Sciences Trust | Doximity, Inc. | 4/10/2014 | 152,390 | 31,611 | 31,611 | 0.0 | %* | 129,605 | ||||||||||||||||||||||
Health Sciences Trust | Jand, Inc., Class A | 4/23/2015 | 170,752 | 14,867 | 14,867 | 0.1 | % | 167,700 | ||||||||||||||||||||||
Health Sciences Trust | Jand, Inc., Series D | 4/23/2015 | 381,289 | 33,198 | 33,198 | 0.1 | % | 368,498 | ||||||||||||||||||||||
Health Sciences Trust | Ovid Therapeutics, Inc., Series B | 8/10/2015 | 85,638 | 13,746 | 13,746 | 0.0 | %* | 55,671 | ||||||||||||||||||||||
Health Sciences Trust | RPI International Holdings LP | 5/21/2015 | 360,302 | 3,056 | 3,056 | 0.1 | % | 354,196 | ||||||||||||||||||||||
$ | 1,477,634 | |||||||||||||||||||||||||||||
Mid Cap Stock Trust | Birst, Inc., Series F | 3/3/2015 | $ | 1,916,989 | 328,201 | 328,201 | 0.2 | % | $ | 1,719,773 | ||||||||||||||||||||
Mid Cap Stock Trust | DocuSign, Inc., Series B | 2/28/2014 | 81,224 | 6,185 | 6,185 | 0.0 | %* | 101,310 | ||||||||||||||||||||||
Mid Cap Stock Trust | DocuSign, Inc., Series B1 | 3/3/2014 | 24,334 | 1,853 | 1,853 | 0.0 | %* | 30,352 | ||||||||||||||||||||||
Mid Cap Stock Trust | DocuSign, Inc., Series D | 3/3/2014 | 58,374 | 4,445 | 4,445 | 0.0 | %* | 72,809 | ||||||||||||||||||||||
Mid Cap Stock Trust | DocuSign, Inc., Series E | 2/28/2014 | 1,509,583 | 114,951 | 114,951 | 0.3 | % | 1,882,897 | ||||||||||||||||||||||
Mid Cap Stock Trust | DocuSign, Inc., Series F | 4/30/2015 | 291,895 | 15,288 | 15,288 | 0.0 | %* | 250,417 | ||||||||||||||||||||||
Mid Cap Stock Trust | DraftKings, Inc. | 12/22/2015 | 396,255 | 396,255 | 396,255 | 0.1 | % | 396,255 | ||||||||||||||||||||||
Mid Cap Stock Trust | DraftKings, Inc., Series C | 12/4/2014 | 975,827 | 541,740 | 541,740 | 0.2 | % | 1,110,567 | ||||||||||||||||||||||
Mid Cap Stock Trust | Essence Group Holdings Corp. | 5/1/2014 | 2,308,001 | 1,459,559 | 1,459,559 | 0.5 | % | 3,284,008 | ||||||||||||||||||||||
Mid Cap Stock Trust | Forward Venture | 11/20/2014 | 3,219,745 | 103,425 | 103,425 | 0.5 | % | 3,408,888 | ||||||||||||||||||||||
Mid Cap Stock Trust | Jand, Inc., Class A | 4/23/2015 | 290,613 | 25,303 | 25,303 | 0.0 | %* | 285,418 | ||||||||||||||||||||||
Mid Cap Stock Trust | Jand, Inc., Series D | 4/23/2015 | 648,942 | 56,502 | 56,502 | 0.1 | % | 627,172 | ||||||||||||||||||||||
Mid Cap Stock Trust | Lithium Technology Corp. | 8/18/2014 | 4,115,796 | 844,439 | 844,439 | 0.5 | % | 3,766,198 | ||||||||||||||||||||||
Mid Cap Stock Trust | Lookout, Inc., Series F | 7/31/2014 | 2,122,743 | 185,829 | 185,829 | 0.2 | % | 1,395,576 | ||||||||||||||||||||||
Mid Cap Stock Trust | MarkLogic Corp., Series F | 4/27/2015 | 2,580,629 | 222,196 | 222,196 | 0.3 | % | 2,264,177 | ||||||||||||||||||||||
Mid Cap Stock Trust | Nutanix, Inc. | 8/25/2014 | 1,985,629 | 148,220 | 148,220 | 0.3 | % | 1,915,002 | ||||||||||||||||||||||
Mid Cap Stock Trust | One Kings Lane, Inc. | 1/28/2014 | 4,666,633 | 302,694 | 302,694 | 0.0 | %* | 348,098 | ||||||||||||||||||||||
Mid Cap Stock Trust | Pinterest, Inc., Series G | 3/16/2015 | 2,096,941 | 292,090 | ** | 292,090 | ** | 0.3 | % | 1,778,828 | ||||||||||||||||||||
Mid Cap Stock Trust | Redfin Corp. | 12/15/2014 | 1,825,650 | 553,613 | 553,613 | 0.3 | % | 1,793,706 | ||||||||||||||||||||||
Mid Cap Stock Trust | The Honest Company, Inc. (Common Stock) | 8/20/2014 | 772,269 | 28,542 | 28,542 | 0.2 | % | 1,270,119 |
Portfolio | | Issuer, Description | | Original acquisition date | | Acquisition cost | | Beginning share/par amount | | Ending share/par amount | | Value as a percentage of portfolio’s net assets | | Value as of 6-30-16 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mid Cap Stock Trust | The Honest Company, Inc. (Preferred Stock) | 8/20/2014 | $ | 1,801,962 | 66,598 | 66,598 | 0.4 | % | $ | 2,963,611 | ||||||||||||||||||||
Mid Cap Stock Trust | Uber Technologies, Inc. | 6/5/2014 | 9,067,440 | 584,504 | 584,504 | 4.0 | % | 28,507,546 | ||||||||||||||||||||||
Mid Cap Stock Trust | Veracode, Inc. | 8/26/2014 | 2,528,610 | 136,934 | 136,934 | 0.4 | % | 2,815,363 | ||||||||||||||||||||||
Mid Cap Stock Trust | WeWork Companies, Inc., Class A | 12/8/2014 | 303,018 | 18,198 | 18,198 | 0.1 | % | 913,399 | ||||||||||||||||||||||
Mid Cap Stock Trust | WeWork Companies, Inc., Series D1 | 12/8/2014 | 1,506,031 | 90,446 | 90,446 | 0.6 | % | 4,539,688 | ||||||||||||||||||||||
Mid Cap Stock Trust | WeWork Companies, Inc., Series D2 | 12/8/2014 | 1,183,315 | 71,065 | 71,065 | 0.5 | % | 3,566,912 | ||||||||||||||||||||||
Mid Cap Stock Trust | Zuora, Inc., Series F | 1/15/2015 | 2,719,296 | 715,736 | 715,736 | 0.4 | % | 2,641,066 | ||||||||||||||||||||||
$ | 73,649,155 | |||||||||||||||||||||||||||||
Mutual Shares Trust | Warrior Met Coal LLC, Class A | 4/22/2016 | $ | 1,981,982 | — | 1,550 | 0.0 | %* | $ | 138,508 | ||||||||||||||||||||
Bought: 1,550 shares | ||||||||||||||||||||||||||||||
Mutual Shares Trust | Warrior Met Coal LLC, Class B | 4/15/2016 | 289,879 | — | 3,623 | 0.1 | % | 323,751 | ||||||||||||||||||||||
Bought: 3,623 shares | $ | 462,259 | ||||||||||||||||||||||||||||
Science & Technology Trust | Airbnb, Inc., Series E | 7/14/2015 | $ | 802,846 | 8,624 | 8,624 | 0.2 | % | $ | 802,846 | ||||||||||||||||||||
Science & Technology Trust | Cloudera, Inc., Series F | 2/5/2014 | 309,065 | 21,227 | 21,227 | 0.1 | % | 435,578 | ||||||||||||||||||||||
Science & Technology Trust | Dropbox, Inc., Class B | 5/2/2012 | 67,334 | 7,441 | 7,441 | 0.0 | %* | 78,726 | ||||||||||||||||||||||
Science & Technology Trust | Dropbox, Inc., Series A | 5/2/2012 | 83,623 | 9,241 | 9,241 | 0.0 | %* | 97,770 | ||||||||||||||||||||||
Science & Technology Trust | Dropbox, Inc., Series A1 | 5/2/2012 | 805,424 | 89,006 | 89,006 | 0.2 | % | 941,683 | ||||||||||||||||||||||
Science & Technology Trust | Flipkart Limited | 3/19/2015 | 55,860 | 490 | 490 | 0.0 | %* | 59,241 | ||||||||||||||||||||||
Science & Technology Trust | Flipkart Limited, Series A | 3/19/2015 | 19,152 | 168 | 168 | 0.0 | %* | 20,311 | ||||||||||||||||||||||
Science & Technology Trust | Flipkart Limited, Series C | 3/19/2015 | 33,630 | 295 | 295 | 0.0 | %* | 35,666 | ||||||||||||||||||||||
Science & Technology Trust | Flipkart Limited, Series E | 3/19/2015 | 62,586 | 549 | 549 | 0.0 | %* | 66,374 | ||||||||||||||||||||||
Science & Technology Trust | Flipkart Limited, Series G | 12/17/2014 | 377,484 | 3,152 | 3,152 | 0.1 | % | 381,077 | ||||||||||||||||||||||
Science & Technology Trust | Xiaoju Kuaizhi, Inc. | 10/19/2015 | 260,905 | 9,513 | 9,513 | 0.1 | % | 363,654 | ||||||||||||||||||||||
$ | 3,282,926 | |||||||||||||||||||||||||||||
Small Cap Growth Trust | Cloudera, Inc., Series F | 2/5/2014 | $ | 1,153,560 | 79,228 | 79,228 | 0.4 | % | $ | 1,625,759 | ||||||||||||||||||||
Small Cap Growth Trust | DocuSign, Inc., Series B | 2/28/2014 | 38,557 | 2,936 | 2,936 | 0.0 | %* | 48,092 | ||||||||||||||||||||||
Small Cap Growth Trust | DocuSign, Inc., Series B1 | 3/3/2014 | 11,557 | 880 | 880 | 0.0 | %* | 14,414 | ||||||||||||||||||||||
Small Cap Growth Trust | DocuSign, Inc., Series D | 3/3/2014 | 27,709 | 2,110 | 2,110 | 0.0 | %* | 34,562 | ||||||||||||||||||||||
Small Cap Growth Trust | DocuSign, Inc., Series E | 3/3/2014 | 716,674 | 54,573 | 54,573 | 0.2 | % | 893,906 | ||||||||||||||||||||||
Small Cap Growth Trust | DocuSign, Inc., Series F | 4/30/2015 | 156,793 | 8,212 | 8,212 | 0.0 | %* | 134,513 | ||||||||||||||||||||||
Small Cap Growth Trust | DraftKings, Inc., Series D | 7/13/2015 | 544,043 | 96,835 | 100,673 | 0.1 | % | 314,100 | ||||||||||||||||||||||
Small Cap Growth Trust | DraftKings, Inc., Series D1 | 8/11/2015 | 690,722 | 90,109 | 90,109 | 0.1 | % | 365,843 | ||||||||||||||||||||||
Small Cap Growth Trust | MarkLogic Corp., Series F | 4/27/2015 | 1,781,885 | 153,423 | 153,423 | 0.4 | % | 1,563,380 | ||||||||||||||||||||||
Small Cap Growth Trust | Nutanix, Inc. | 8/25/2014 | 1,165,629 | 87,010 | 87,010 | 0.3 | % | 1,124,169 | ||||||||||||||||||||||
Small Cap Growth Trust | Telogis, Inc. (Common Stock) | 9/27/2013 | 938,340 | 473,646 | 473,646 | 0.3 | % | 1,364,100 | ||||||||||||||||||||||
Small Cap Growth Trust | Telogis, Inc. (Preferred Stock) | 9/27/2013 | 1,419,833 | 645,027 | 645,027 | 0.7 | % | 2,554,307 | ||||||||||||||||||||||
Small Cap Growth Trust | The Honest Company, Inc. | 8/3/2015 | 1,233,280 | 26,954 | 26,954 | 0.3 | % | 1,199,453 | ||||||||||||||||||||||
Small Cap Growth Trust | Veracode, Inc. | 8/26/2014 | 1,211,529 | 65,609 | 65,609 | 0.3 | % | 1,348,921 | ||||||||||||||||||||||
Small Cap Growth Trust | Zuora, Inc., Series F | 1/15/2015 | 1,533,808 | 403,708 | 403,708 | 0.4 | % | 1,489,683 | ||||||||||||||||||||||
$ | 14,075,202 |
* | Less than 0.05% |
** | Five-to-one stock split |
capacity as a successor indenture trustee for a certain series of notes that are debt securities issued by Tribune, asserting state law constructive fraudulent conveyance (“SLCFC”) claims against former Tribune shareholders.
(1) | information relating to each Subadvisor’s business, including current subadvisory services to the Trust (and other funds in the John Hancock family of funds); |
(2) | the historical and current performance of each Fund and comparative performance information relating to the Fund’s benchmark and comparable funds; |
(3) | the subadvisory fee for each Fund, including any breakpoints, and comparative fee information, where available, prepared by an independent third-party provider of mutual fund data; and |
(4) | information relating to the nature and scope of any material relationships and their significance to the Trust’s Advisor and unaffiliated Subadvisors. |
(1) | Each Subadvisor has extensive experience and demonstrated skills as a manager; |
(2) | The performance of each Fund managed by a Subadvisor generally has been in line with or outperformed the historical performance of comparable funds and the Fund’s respective benchmarks, or, with respect to those Funds that have generally underperformed the historical performance of comparable funds and/or the Fund’s benchmark as noted in Appendix A, the Board concluded that performance is being monitored and reasonably addressed; |
(3) | The subadvisory fees are reasonable in relation to the level and quality of services being provided; and |
(4) | With respect to those Funds that have subadvisory fees that contain breakpoints, certain breakpoints are reflected as breakpoints in the advisory fees for the Funds in order to permit shareholders to benefit from economies of scale if those Funds grow. |
Portfolio (Subadviser) | | Performance as of 12-31-2015 | | Fees and Expenses | | Comments | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
500 Index B Trust (Manulife Asset Management (North America)) | Benchmark Index — The Trust underperformed for the one- and three-year periods. Broadridge Category — The Trust outperformed the average for the one- and three-year periods. | The subadvisory fees for this Trust are equal to the peer group median. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one- and three-year performance relative to the benchmark index. The Board noted the Trust’s favorable performance relative to the peer group average for the one- and three-year periods. The Board noted the Trust’s favorable performance relative to the Morningstar peer group average for the year-to-date period ended April 30, 2016. The Board took into account management’s discussion of the Trust’s expenses. | |||||||||||
All Cap Core Trust (QS Investors, LLC) | Benchmark Index — The Trust outperformed for the one- and three- periods and underperformed for the five-year period. Broadridge Category — The Trust outperformed the average for the one-, three- and five-year periods. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s five-year performance relative to the benchmark index. The Board noted the Trust’s favorable performance relative to the benchmark index for the one- and three-year periods and to the peer group average for the one-, three- and five-year periods. The Board took into account management’s discussion of the Trust’s expenses. | |||||||||||
Alpha Opportunities Trust (Wellington Management Company LLP) | Benchmark Index — The Trust underperformed for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-, three- and five-year periods. | The subadvisory fees for this Trust are higher than the peer group median. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are higher than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index. The Board noted the Trust’s favorable performance relative to the peer group for the one-, three- and five-year periods. The Board took into account management’s discussion of the Trust’s expenses. |
Portfolio (Subadviser) | | Performance as of 12-31-2015 | | Fees and Expenses | | Comments | ||||||||
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Blue Chip Growth Trust (T. Rowe Price Associates, Inc.) | Benchmark Index — The Trust outperformed for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-, three- and five-year periods. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board noted the Trust’s favorable performance relative to the benchmark index and to the peer group for the one-, three- and five-year periods. The Board took into account management’s discussion of the Trust’s expenses. | |||||||||||
Capital Appreciation Trust (Jennison Associates LLC) | Benchmark Index — The Trust outperformed for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-, three- and five-year periods. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board noted the Trust’s favorable performance relative to the benchmark index and to the peer group average for the one-, three- and five-year periods. The Board took into account management’s discussion of the Trust’s expenses. | |||||||||||
Capital Appreciation Value Trust (T. Rowe Price Associates, Inc.) | Benchmark Index — The Trust outperformed for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-, three- and five-year periods. | The subadvisory fees for this Trust are higher than the peer group median. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are higher than the peer group median. | The Board noted the Trust’s favorable performance relative to the benchmark index and to the peer group for the one-, three- and five-year periods. The Board took into account management’s discussion of the Trust’s expenses. | |||||||||||
Core Strategy Trust (Manulife Asset Management (U.S.)) (Manulife Asset Management (North America)) | Benchmark Index — The Trust underperformed for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-year period and underperformed the average for the three- and five-year periods. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are lower than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index and to the peer group average for the three- and five-year periods. The Board noted the Trust’s favorable performance relative to the peer group average for the one-year period. |
Portfolio (Subadviser) | | Performance as of 12-31-2015 | | Fees and Expenses | | Comments | ||||||||
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Emerging Markets Value Trust (Dimensional Fund Advisors LP) | Benchmark Index — The Trust underperformed for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one-, three- and five-year periods. | The subadvisory fees for this Trust are lower than the peer group median. Net management fees for this Trust are lower than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five- year performance relative to the benchmark index and to its peer group average. The Board noted the Trust’s favorable performance relative to the Morningstar peer group average and benchmark index for the year-to-date period ended April 30, 2016. | |||||||||||
Equity Income Trust (T. Rowe Price Associates, Inc.) | Benchmark Index — The Trust underperformed for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one-, three- and five-year periods. | The subadvisory fees for this Trust are higher than the peer group median. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index and to the peer group. The Board noted the Trust’s favorable performance relative to the Morningstar peer group and benchmark index for the year-to-date period ended April 30, 2016. The Board took into account management’s discussion of the Trust’s expenses. | |||||||||||
Financial Industries Trust (Manulife Asset Management (U.S.)) | Benchmark Index — The Trust underperformed for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one-, three- and five-year periods. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are higher than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index and to the peer group average. The Board took into account management’s discussion of the Trust’s expenses. |
Portfolio (Subadviser) | | Performance as of 12-31-2015 | | Fees and Expenses | | Comments | ||||||||
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Franklin Templeton Founding Allocation Trust (Manulife Asset Management (U.S.)) | Benchmark Index — The Trust underperformed for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one-year period and outperformed the average for the three- and five-year periods. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are lower than the peer group median. Total expenses for this Trust are higher than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index and to its peer group average for the one-year period. The Board noted the Trust’s favorable performance relative to the peer group average for the three- and five-year periods. The Board noted the Trust’s favorable performance relative to the Morningstar peer group average and benchmark index for the year-to-date period ended April 30, 2016. The Board took into account management’s discussion of the Trust’s expenses. The Board took into account management’s discussion of a proposal to merge the Trust into another fund. | |||||||||||
Fundamental All Cap Core Trust (Manulife Asset Management (U.S.)) | Benchmark Index — The Trust outperformed for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-, three- and five-year periods. | The subadvisory fees for this Trust are lower than the peer group median. Net management fees for this Trust are lower than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board noted the Trust’s favorable performance relative to the benchmark index and to the peer group average for the one-, three- and five-year periods. | |||||||||||
Fundamental Large Cap Value Trust (Manulife Asset Management (U.S.)) | Benchmark Index — The Trust outperformed for the one-, three-, and five-year periods. Broadridge Category — The Trust underperformed the average for the one- and three-year periods and outperformed the average for the five-year period. | The subadvisory fees for this Trust are lower than the peer group median. Net management fees for this Trust are lower than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one- and three-year performance relative to the peer group average. The Board noted the Trust’s favorable performance relative to the benchmark index for the one-, three- and five-year periods and to the peer group average for the five-year period. |
Portfolio (Subadviser) | | Performance as of 12-31-2015 | | Fees and Expenses | | Comments | ||||||||
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Global Trust (Templeton Global Advisors Limited) | Benchmark Index — The Trust underperformed for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one-year period and outperformed the average for the three- and five-year periods. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five- year performance relative to the benchmark index and to its one-year performance relative to the peer group. The Board noted the Trust’s favorable performance relative to the peer group for the three- and five-year periods. The Board noted the Trust’s favorable performance relative to the Morningstar peer group and benchmark index for the year-to-date period ended April 30, 2016. The Board took into account management’s discussion of the Trust’s expenses. | |||||||||||
Health Sciences Trust (T. Rowe Price Associates, Inc.) | Benchmark Index — The Trust outperformed for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-, three- and five-year periods. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board noted the Trust’s favorable performance relative to the benchmark index and to the peer group for the one-, three- and five-year periods. The Board took into account management’s discussion of the Trust’s expenses. |
Portfolio (Subadviser) | | Performance as of 12-31-2015 | | Fees and Expenses | | Comments | ||||||||
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International Core Trust (Grantham, Mayo, Van Otterloo & Co. LLC) | Benchmark Index — The Trust underperformed for the one-, three-and five-year periods. Broadridge Category — The Trust underperformed the average for the one-year period and outperformed the average for the three- and five-year periods. | The subadvisory fees for this Trust are equal to the peer group median. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index and the one-year performance relative to the peer group average. The Board noted the Trust’s favorable performance relative to the peer group average for the three- and five-year periods. The Board noted the Trust’s favorable performance relative to the benchmark index for the year-to-date period ended April 30, 2016. The Board took into account management’s discussion of the Trust’s expenses. The Board noted the proposal to merge the Trust into the International Value Trust, which is expected to lower expenses. | |||||||||||
International Equity Index B Trust (SSGA Funds Management, Inc.) | Benchmark Index — The Trust underperformed for the one- and three-year periods. Broadridge Category — The Trust underperformed the average for the one- and three-year periods. | The subadvisory fees for this Trust are higher than the peer group median. Net management fees for this Trust are lower than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one- and three-year performance relative to the benchmark index and to the peer group average. The Board noted the Trust’s favorable performance relative to the Morningstar peer group average for the year-to-date period ended April 30, 2016. | |||||||||||
International Growth Stock Trust (Invesco Advisers Inc.) | Benchmark Index — The Trust underperformed for the one-year period and outperformed for the three-year period. Broadridge Category — The Trust underperformed the average for the one-year period and outperformed the average for the three-year period. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are lower to the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-year performance relative to its benchmark index and to its peer group average. The Board noted the Trust’s favorable performance relative to the benchmark index and to its peer group average for the three-year period. The Board noted the Trust’s favorable performance relative to the Morningstar peer group average and benchmark index for the year-to-date period ended April 30, 2016. |
Portfolio (Subadviser) | | Performance as of 12-31-2015 | | Fees and Expenses | | Comments | ||||||||
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International Small Company Trust (Dimensional Fund Advisors LP) | Benchmark Index — The Trust outperformed for the one-year period and underperformed for the three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-year period and underperformed the average for the three- and five-year periods. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are higher than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s three- and five-year performance relative to its benchmark index and peer group average. The Board noted the Trust’s favorable performance relative to the benchmark index and to its peer group average for the one-year period. The Board took into account management’s discussion of the Trust’s expenses. | |||||||||||
International Value Trust (Templeton Investment Counsel, LLC) | Benchmark Index — The Trust underperformed for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one-, three- and five-year periods. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index and to the peer group. The Board noted the Trust’s favorable performance relative to the Morningstar peer group and benchmark index for the year-to-date period ended April 30, 2016. The Board took into account management’s discussion of the Trust’s expenses. | |||||||||||
Lifestyle Aggressive PS Series (Manulife Asset Management (U.S.)) (Manulife Asset Management (North America)) | Benchmark Index — The Series underperformed for the one-year period. Broadridge Category — The Series outperformed the average for the one-year period. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group average for this purpose. Net management fees for this Series are lower than the peer group median. Total expenses for this Series are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Series’ one-year performance relative to the benchmark index. The Board noted the Series’ favorable performance relative to the peer group for the one-year period. The Board noted the Series’ favorable performance relative to the Morningstar peer group and benchmark index for the year-to-date period ended April 30, 2016. |
Portfolio (Subadviser) | | Performance as of 12-31-2015 | | Fees and Expenses | | Comments | ||||||||
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Lifestyle Balanced PS Series (Manulife Asset Management (U.S.)) (Manulife Asset Management (North America)) | Benchmark Index — The Series underperformed for the one- and three-year periods. Broadridge Category — The Series outperformed the average for the one-year period and underperformed the average for the three-year period. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Series are lower than the peer group median. Total expenses for this Series are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Series’ one- and three-year performance relative to the benchmark index and to the three-year performance relative to the peer group average. The Board noted the Series’ favorable performance relative to the peer group average for the one-year period. The Board noted the Series’ favorable performance relative to the Morningstar peer group average for the year-to-date period ended April 30, 2016. | |||||||||||
Lifestyle Conservative PS Series (Manulife Asset Management (U.S.)) (Manulife Asset Management (North America)) | Benchmark Index — The Series underperformed for the one- and three-year periods. Broadridge Category — The Series outperformed the average for the one-year period and underperformed the average for the three-year period. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Series are lower than the peer group median. Total expenses for this Series are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Series’ one- and three-year performance relative to the benchmark index and to the peer group average for the three-year period. The Board noted the Series’ favorable performance relative to the peer group average for the one-year period. The Board noted the Series’ favorable performance relative to the Morningstar peer group average and benchmark index for the year-to-date period ended April 30, 2016. | |||||||||||
Lifestyle Growth PS Series (Manulife Asset Management (U.S.)) (Manulife Asset Management (North America)) | Benchmark Index — The Series underperformed for the one- and three-year periods. Broadridge Category — The Series outperformed the average for the one-year period and underperformed the average for the three-year period. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Series are lower than the peer group median. Total expenses for this Series are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Series’ one- and three-year performance relative to the benchmark index and to the peer group average for the three-year period. The Board noted the Series’ favorable performance relative to the peer group average for the one-year period. |
Portfolio (Subadviser) | | Performance as of 12-31-2015 | | Fees and Expenses | | Comments | ||||||||
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Lifestyle Moderate PS Series (Manulife Asset Management (U.S.)) (Manulife Asset Management (North America)) | Benchmark Index — The Series underperformed for the one- and three-year periods. Broadridge Category — The Series outperformed the average for the one-year period and underperformed the average for the three-year period. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Series are lower than the peer group median. Total expenses for this Series are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Series’ one- and three-year performance relative to the benchmark index and to the peer group average for the three-year period. The Board noted the Series’ favorable performance relative to the peer group average for the one-year period. The Board noted the Series’ favorable performance relative to the Morningstar peer group average for the year-to-date period ended April 30, 2016. | |||||||||||
Mid Cap Index Trust (Manulife Asset Management (North America)) | Benchmark Index — The Trust underperformed for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one- and five-year periods and underperformed the three-year period. | The subadvisory fees for this Trust are lower than the peer group median. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one, three- and five-year performance relative to the benchmark index and to the three-year performance relative to the peer group average. The Board noted the Trust’s favorable performance relative to the peer group average for the one- and five-year periods. The Board noted the Trust’s favorable performance relative to the Morningstar peer group average for the year-to-date period ended April 30, 2016. The Board took into account management’s discussion of the Trust’s expenses. | |||||||||||
Mid Cap Stock Trust (Wellington Management Company LLP) | Benchmark Index — The Trust outperformed for the one- and three-year periods and underperformed for the five-year period. Broadridge Category — The Trust outperformed the average for the one-, three- and five-year periods. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s five-year performance relative to the benchmark index. The Board noted the Trust’s favorable performance relative to the benchmark index for the one- and three-year periods and to the peer group for the one-, three- and five-year periods. The Board took into account management’s discussion of the Trust’s expenses. |
Portfolio (Subadviser) | | Performance as of 12-31-2015 | | Fees and Expenses | | Comments | ||||||||
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Mid Value Trust (T. Rowe Price Associates, Inc.) | Benchmark Index — The Trust outperformed for the one-year period and underperformed for the three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one- and five-year periods and underperformed the average for the three-year period. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s three- and five-year performance relative to the benchmark index and to the peer group for the three-year period. The Board noted the Trust’s favorable performance relative to the benchmark index for the one-year period and to the peer group for the one- and five-year periods. The Board noted the Trust’s favorable performance relative to the Morningstar peer group and benchmark index for the year-to-date period ended April 30, 2016. The Board took into account management’s discussion of the Trust’s expenses. | |||||||||||
Mutual Shares Trust (Franklin Mutual Advisers) | Benchmark Index — The Trust underperformed for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-, three- and five-year periods. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index. The Board noted the Trust’s favorable performance relative to the peer group for the one-, three- and five-year periods. The Board took into account management’s discussion of the Trust’s expenses. | |||||||||||
Real Estate Securities Trust (Deutsche Investment Management Americas Inc./RREEF America L.L.C.) | Benchmark Index — The Trust outperformed for the one-year period and underperformed for the three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-, three- and five-year periods. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are lower than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s three- and five-year performance relative to the benchmark index. The Board noted the Trust’s favorable performance relative to the benchmark index for the one-year period and to the peer group average for the one-, three- and five-year periods. The Board noted the Trust’s favorable performance relative to the Morningstar peer group average for the year-to-date period ended April 30, 2016. |
Portfolio (Subadviser) | | Performance as of 12-31-2015 | | Fees and Expenses | | Comments | ||||||||
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Science & Technology Trust (Allianz Global Investors U.S. LLC T. Rowe Price Associates, LLC) | Benchmark Index — The Trust outperformed for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-, three- and five-year periods. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board noted the Trust’s favorable performance relative to the benchmark index and to the peer group for the one-, three- and five-year periods. The Board took into account management’s discussion of the Trust’s expenses. | |||||||||||
Small Cap Growth Trust (Wellington Management Company LLP) | Benchmark Index — The Trust underperformed for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one-, three- and five-year periods. | The subadvisory fees for this Trust are higher than the peer group median. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are equal to the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index and to the peer group. The Board took into account management’s discussion of the Trust’s expenses. | |||||||||||
Small Cap Index Trust (Manulife Asset Management (North America)) | Benchmark Index — The Trust underperformed for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one- and three-year periods and underperformed the average for the five-year period. | The subadvisory fees for this Trust are equal to the peer group median. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index and to the Trust’s five-year performance relative to the peer group average. The Board noted the Trust’s favorable performance relative to the peer group average for the one- and three-year periods. The Board took into account management’s discussion of the Trust’s expenses. |
Portfolio (Subadviser) | | Performance as of 12-31-2015 | | Fees and Expenses | | Comments | ||||||||
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Small Cap Opportunities Trust (Invesco Advisers, Inc. Dimensional Fund Advisors LP) | Benchmark Index — The Trust underperformed for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one- and three-year periods and outperformed the average for the five-year period. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to its benchmark index and to the Trust’s one- and three-year performance relative to its peer group average. The Board noted the Trust’s favorable performance relative to its peer group average for the five-year period. The Board noted the Trust’s favorable performance relative to the Morningstar peer group average and benchmark index for the year-to-date period ended April 30, 2016. The Board took into account management’s discussion of the Trust’s expenses. | |||||||||||
Small Cap Value Trust (Wellington Management Company LLP) | Benchmark Index — The Trust outperformed for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-, three- and five-year periods. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are higher than the peer group median. | The Board noted the Trust’s favorable performance relative to the benchmark index and to the peer group for the one-, three- and five-year periods. The Board took into account management’s discussion of the Trust’s expenses. | |||||||||||
Small Company Growth Trust (Invesco Advisers, Inc.) | Benchmark Index — The Trust underperformed for the one- and three-year periods and outperformed for the five-year period. Broadridge Category — The Trust outperformed the average for the one-, three- and five-year periods. | The subadvisory fees for this Trust are equal to the peer group median. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are higher than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one- and three- year performance relative to its benchmark index. The Board noted the Trust’s favorable performance relative its benchmark for the five-year period and to its peer group average for the one-, three- and five-year periods. The Board took into account management’s discussion of the Trust’s expenses. |
Portfolio (Subadviser) | | Performance as of 12-31-2015 | | Fees and Expenses | | Comments | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Small Company Value Trust (T. Rowe Price Associates, Inc.) | Benchmark Index — The Trust underperformed for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one-, three- and five-year periods. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are higher than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index and to the peer group. The Board noted the Trust’s favorable performance relative to the Morningstar peer group and benchmark index for the year-to-date period ended April 30, 2016. The Board took into account management’s discussion of the Trust’s expenses. | |||||||||||
Strategic Equity Allocation Trust (Manulife Asset Management (U.S.)) | Benchmark Index — The Trust underperformed for the one- and three-year periods. Broadridge Category — The Trust outperformed the average for the one- and three-year periods. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are lower than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one- and three-year performance relative to the benchmark index. The Board noted the Trust’s favorable performance relative the peer group average for the one- and three-year periods. The Board noted the Trust’s favorable performance relative to the Morningstar peer group average for the year-to-date period ended April 30, 2016. | |||||||||||
Total Stock Market Index Trust (Manulife Asset Management (North America)) | Benchmark Index — The Trust underperformed for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-, three- and five-year periods. | The subadvisory fees for this Trust are lower than the peer group median. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index. The Board noted the Trust’s favorable performance relative to the peer group average for the one-, three- and five-year periods. The Board noted the Trust’s favorable performance relative to the Morningstar peer group average for the year-to-date period ended April 30, 2016. The Board took into account management’s discussion of the Trust’s expenses. |
Portfolio (Subadviser) | | Performance as of 12-31-2015 | | Fees and Expenses | | Comments | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Equity Trust (Grantham, Mayo, Van Otterloo & Co. LLC) | Benchmark Index — The Trust outperformed for the one-year period and underperformed for the three-year period. Broadridge Category — The Trust outperformed the average for the one-year period and underperformed for the three-year period. | The subadvisory fees for this Trust are higher than the peer group median. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s three-year performance relative to the benchmark index and to the peer group average, including differences in the Trust’s investment strategies relative to the Broadridge peer group. The Board noted the Trust’s favorable performance relative to the benchmark index and to the peer group average for the one-year period. The Board noted the Trust’s favorable performance relative to the Morningstar peer group average and benchmark index for the year-to-date period ended April 30, 2016. The Board took into account management’s discussion of the Trust’s expenses. The Board noted the proposal to merge the Trust into 500 Index Trust B, which is expected to lower expenses. | |||||||||||
Utilities Trust (Massachusetts Financial Services Company) | Benchmark Index — The Trust underperformed for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one-, three- and five-year periods. | Subadvisory fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are higher than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to its benchmark index and to its peer group average. The Board took into account management’s discussion of the Trust’s expenses. The Board noted the Trust’s favorable performance relative to the Morningstar peer group average and benchmark index for the three months ended April 30, 2016. |
Portfolio (Subadviser) | | Performance as of 12-31-2015 | | Fees and Expenses | | Comments | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Value Trust (Invesco Advisers, Inc.) | Benchmark Index — The Trust underperformed for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one- and three-year periods and outperformed the average for the five-year period. | The subadvisory fees for this Trust are lower than the peer group median. Net management fees for this Trust are lower than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three and five- year performance relative to its benchmark index and to the Trust’s one- and three-year performance relative to its peer group average. The Board noted the Trust’s favorable performance relative to its peer group average for the five-year period. |
Sector weightings | 3 |
Shareholder expense example | 4 |
Portfolio of investments (See below for each portfolio’s page #) | 6 |
Statements of assets and liabilities | 9 |
Statements of operations | 10 |
Statements of changes in net assets | 11 |
Financial highlights | 12 |
Notes to financial statements | 15 |
Evaluation of advisory and subadvisory agreements by the board of trustees | 28 |
For more information | 33 |
Portfolio | Portfolio of investments | |||||
---|---|---|---|---|---|---|
Lifestyle Aggressive MVP | 6 | |||||
Lifestyle Growth MVP | 6 | |||||
Lifestyle Balanced MVP | 7 | |||||
Lifestyle Moderate MVP | 7 | |||||
Lifestyle Conservative MVP | 8 |
Equity Asset Allocation | % of Total | |||||
---|---|---|---|---|---|---|
U.S. Large Cap | 46.9 | |||||
Large Blend | 13.4 | |||||
International Large Cap | 12.4 | |||||
Emerging Markets | 8.1 | |||||
U.S. Mid Cap | 5.9 | |||||
International Small Cap | 4.2 | |||||
U.S. Small Cap | 3.5 | |||||
Real Estate | 2.0 | |||||
Small Value | 0.6 | |||||
Total Equity Asset Allocation | 97.0 | |||||
Short-term investments and others | 3.0 |
Equity Asset Allocation | % of Total | |||||
---|---|---|---|---|---|---|
Large Blend | 33.8 | |||||
U.S. Large Cap | 21.5 | |||||
International Large Cap | 5.4 | |||||
Emerging Markets | 3.9 | |||||
U.S. Mid Cap | 2.8 | |||||
U.S. Small Cap | 2.7 | |||||
International Small Cap | 1.8 | |||||
Small Value | 0.6 | |||||
Total Equity Asset Allocation | 72.5 |
Fixed Income Asset Allocation | % of Total | |||||
---|---|---|---|---|---|---|
Intermediate Bond | 19.8 | |||||
Multi-Sector Bond | 4.2 | |||||
Global Bond | 1.2 | |||||
Short-Term Bond | 0.4 | |||||
Total Fixed Income Asset Allocation | 25.6 |
Alternative Asset Allocation | % of Total | |||||
---|---|---|---|---|---|---|
Global Conservative Absolute Return | 0.4 | |||||
Short-term investments and other | 1.5 |
Equity Asset Allocation | % of Total | |||||
---|---|---|---|---|---|---|
Large Blend | 23.5 | |||||
U.S. Large Cap | 14.3 | |||||
International Large Cap | 3.5 | |||||
Emerging Markets | 3.0 | |||||
U.S. Mid Cap | 2.8 | |||||
U.S. Small Cap | 1.7 | |||||
International Small Cap | 1.2 | |||||
Small Value | 0.6 | |||||
Total Equity Asset Allocation | 50.6 |
Fixed Income Asset Allocation | % of Total | |||||
---|---|---|---|---|---|---|
Intermediate Bond | 37.9 | |||||
Multi-Sector Bond | 7.2 | |||||
Global Bond | 2.0 | |||||
Short-Term Bond | 0.7 | |||||
Total Fixed Income Asset Allocation | 47.8 |
Alternative Asset Allocation | % of Total | |||||
---|---|---|---|---|---|---|
Global Conservative Absolute Return | 0.4 | |||||
Short-term investments and other | 1.2 |
Equity Asset Allocation | % of Total | |||||
---|---|---|---|---|---|---|
Large Blend | 18.4 | |||||
U.S. Large Cap | 8.2 | |||||
International Large Cap | 4.5 | |||||
U.S. All Cap | 3.0 | |||||
U.S. Mid Cap | 1.8 | |||||
U.S. Small Cap | 1.4 | |||||
International Small Cap | 1.4 | |||||
Small Value | 0.5 | |||||
Total Equity Asset Allocation | 39.2 |
Fixed Income Asset Allocation | % of Total | |||||
---|---|---|---|---|---|---|
Intermediate Bond | 46.7 | |||||
Multi-Sector Bond | 8.7 | |||||
Global Bond | 2.4 | |||||
Short-Term Bond | 0.8 | |||||
Total Fixed Income Asset Allocation | 58.6 |
Alternative Asset Allocation | % of Total | |||||
---|---|---|---|---|---|---|
Global Conservative Absolute Return | 0.6 | |||||
Short-term investments and other | 1.6 |
Equity Asset Allocation | % of Total | |||||
---|---|---|---|---|---|---|
Large Blend | 8.0 | |||||
U.S. Large Cap | 3.6 | |||||
International Large Cap | 2.7 | |||||
U.S. All Cap | 2.3 | |||||
U.S. Mid Cap | 1.2 | |||||
Small Value | 0.8 | |||||
U.S. Small Cap | 0.5 | |||||
International Small Cap | 0.4 | |||||
Total Equity Asset Allocation | 19.5 |
Fixed Income Asset Allocation | % of Total | |||||
---|---|---|---|---|---|---|
Intermediate Bond | 62.3 | |||||
Multi-Sector Bond | 11.7 | |||||
Global Bond | 3.3 | |||||
Short-Term Bond | 1.1 | |||||
Total Fixed Income Asset Allocation | 78.4 |
Alternative Asset Allocation | % of Total | |||||
---|---|---|---|---|---|---|
Global Conservative Absolute Return | 0.8 | |||||
Short-term investments and other | 1.3 |
* | As a percentage of net assets. |
Beginning account value 1/1/2016 | Ending account value 6/30/2016 | Expenses paid during period1 1/1/2016 — 6/30/2016 | Annualized expense ratio2 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lifestyle Aggressive MVP | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 968.70 | $ | 0.54 | 0.11 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.30 | 0.55 | 0.11 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 967.60 | 1.52 | 0.31 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.30 | 1.56 | 0.31 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 968.70 | 0.29 | 0.06 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.60 | 0.30 | 0.06 | % | ||||||||||||||
Lifestyle Growth MVP | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 997.00 | $ | 0.50 | 0.10 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.40 | 0.50 | 0.10 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 996.20 | 1.49 | 0.30 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.40 | 1.51 | 0.30 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 997.70 | 0.25 | 0.05 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.60 | 0.25 | 0.05 | % | ||||||||||||||
Lifestyle Balanced MVP | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,023.70 | $ | 0.45 | 0.09 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.40 | 0.45 | 0.09 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,023.00 | 1.46 | 0.29 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.40 | 1.46 | 0.29 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,024.50 | 0.20 | 0.04 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.70 | 0.20 | 0.04 | % |
Beginning account value 1/1/2016 | Ending account value 6/30/2016 | Expenses paid during period1 1/1/2016 — 6/30/2016 | Annualized expense ratio2 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lifestyle Moderate MVP | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,033.30 | $ | 0.45 | 0.09 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.40 | 0.45 | 0.09 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,032.60 | 1.47 | 0.29 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.40 | 1.46 | 0.29 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,034.10 | 0.20 | 0.04 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.70 | 0.20 | 0.04 | % | ||||||||||||||
Lifestyle Conservative MVP | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,043.10 | $ | 0.46 | 0.09 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.40 | 0.45 | 0.09 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,041.60 | 1.47 | 0.29 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.40 | 1.46 | 0.29 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,043.00 | 0.20 | 0.04 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,024.70 | 0.20 | 0.04 | % |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the period (182), and divided by 366 (to reflect the one-half year period). |
2 | The portfolios’ expense ratios do not include fees and expenses indirectly incurred by the underlying funds and can vary based on the mix of underlying funds held by the portfolios. The range of expense ratios of the underlying funds held by the portfolios was as follows: |
Period Ended | | Lifestyle Aggressive MVP | | Lifestyle Growth MVP | | Lifestyle Balanced MVP | | Lifestyle Conservative MVP | | Lifestyle Moderate MVP | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
6/30/2016 | 0.53% – 1.06 | % | 0.53% – 1.06 | % | 0.53% – 1.06 | % | 0.53% – 1.06 | % | 0.53% – 1.06 | %; |
Shares or Principal Amount | Value | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
AFFILIATED INVESTMENT COMPANIES (G) - 97.0% | ||||||||||
Equity - 97.0% | ||||||||||
All Cap Core, Series NAV (QS Investors) | 380,734 | $ | 10,580,603 | |||||||
Alpha Opportunities, Series NAV (Wellington) | 2,305,834 | 25,271,942 | ||||||||
Blue Chip Growth, Series NAV (T. Rowe Price) | 866,912 | 26,501,494 | ||||||||
Capital Appreciation, Series NAV (Jennison) | 1,639,761 | 21,628,446 | ||||||||
Emerging Markets Value, Series NAV (DFA) | 3,822,159 | 29,621,729 | ||||||||
Equity Income, Series NAV (T. Rowe Price) | 2,116,273 | 35,532,220 | ||||||||
Fundamental Large Cap Value, Series NAV (JHAM) (A)(1) | 2,150,537 | 35,290,313 | ||||||||
International Core, Series NAV (GMO) | 2,309,063 | 21,543,559 | ||||||||
International Growth Opportunities, Class NAV (Baillie Gifford) | 697,206 | 8,213,089 | ||||||||
International Growth Stock, Series NAV (Invesco) | 982,729 | 15,458,327 | ||||||||
International Value, Series NAV (Templeton) | 2,103,074 | 23,890,920 | ||||||||
Mid Cap Stock, Series NAV (Wellington) | 864,204 | 12,893,925 | ||||||||
Mid Value, Series NAV (T. Rowe Price) | 745,623 | 8,828,174 | ||||||||
Real Estate Securities, Series NAV (Deutsche) | 353,141 | 7,172,295 | ||||||||
Small Cap Growth, Series NAV (Wellington) | 421,384 | 3,430,064 | ||||||||
Small Cap Opportunities, Series NAV (DFA/Invesco) | 158,249 | 4,633,519 | ||||||||
Small Cap Value, Series NAV (Wellington) | 108,925 | 2,302,683 | ||||||||
Small Company Growth, Series NAV (Invesco) | 81,921 | 2,253,646 | ||||||||
Small Company Value, Series NAV (T. Rowe Price) | 126,500 | 2,710,893 | ||||||||
Strategic Equity Allocation, Series NAV (JHAM) (A)(1) | 966,861 | 15,788,833 | ||||||||
Strategic Growth, Class NAV (JHAM) (A)(1) | 1,405,838 | 21,776,437 | ||||||||
U.S. Equity, Series NAV (GMO) | 1,065,368 | 21,009,064 | ||||||||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $351,684,613) | $ | 356,332,175 | ||||||||
SHORT-TERM INVESTMENTS - 0.7% | ||||||||||
Commercial paper - 0.1% | ||||||||||
National Rural Utilities Cooperative Finance Corp. 0.400%, 07/20/2016* | $ | 370,000 | 369,922 | |||||||
U.S. Government - 0.6% | ||||||||||
U.S. Treasury Bonds 3.250%, 12/31/2016 | 1,000,000 | 1,014,095 | ||||||||
U.S. Treasury Notes | ||||||||||
0.875%, 09/15/2016 | 300,000 | 300,343 | ||||||||
1.000%, 10/31/2016 | 500,000 | 501,094 | ||||||||
4.625%, 11/15/2016 | 400,000 | 406,312 | ||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,594,727) | $ | 2,591,766 | ||||||||
Total Investments (Lifestyle Aggressive MVP) (Cost $354,279,340) - 97.7% | $ | 358,923,941 | ||||||||
Other assets and liabilities, net - 2.3% | 8,533,992 | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 367,457,933 |
Shares or Principal Amount | Value | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
AFFILIATED INVESTMENT COMPANIES (G) - 98.5% | ||||||||||
Equity - 72.5% | ||||||||||
All Cap Core, Series NAV (QS Investors) | 3,820,951 | $ | 106,184,220 | |||||||
Alpha Opportunities, Series NAV (Wellington) | 32,060,031 | 351,377,940 | ||||||||
Blue Chip Growth, Series NAV (T. Rowe Price) | 9,794,603 | 299,421,025 | ||||||||
Capital Appreciation, Series NAV (Jennison) | 20,291,068 | 267,639,192 | ||||||||
Emerging Markets Value, Series NAV (DFA) | 49,152,398 | 380,931,081 | ||||||||
Equity Income, Series NAV (T. Rowe Price) | 25,833,894 | 433,751,083 | ||||||||
Fundamental Large Cap Value, Series NAV (JHAM) (A)(1) | 25,007,282 | 410,369,505 | ||||||||
International Core, Series NAV (GMO) | 26,572,142 | 247,918,085 | ||||||||
International Growth Opportunities, Series NAV (Baillie Gifford) | 9,059,144 | 106,716,712 | ||||||||
International Growth Stock, Class NAV (Invesco) | 11,428,839 | 179,775,632 | ||||||||
International Value, Series NAV (Templeton) | 24,804,537 | 281,779,545 | ||||||||
Mid Cap Stock, Series NAV (Wellington) | 9,099,580 | 135,765,732 | ||||||||
Mid Value, Series NAV (T. Rowe Price) | 11,591,208 | 137,239,899 | ||||||||
Small Cap Growth, Series NAV (Wellington) | 8,187,998 | 66,650,304 | ||||||||
Small Cap Opportunities, Series NAV (DFA/Invesco) | 1,984,119 | 58,095,015 | ||||||||
Small Cap Value, Series NAV (Wellington) | 2,653,437 | 56,093,650 | ||||||||
Small Company Growth, Series NAV (Invesco) | 2,090,186 | 57,501,020 | ||||||||
Small Company Value, Series NAV (T. Rowe Price) | 3,926,400 | 84,142,749 | ||||||||
Strategic Equity Allocation, Series NAV (JHAM) (A)(1) | 175,356,760 | 2,863,575,891 | ||||||||
Strategic Growth, Class NAV (JHAM) (A)(1) | 17,419,725 | 269,831,546 | ||||||||
U.S. Equity, Series NAV (GMO) | 16,560,276 | 326,568,648 | ||||||||
Fixed income - 25.6% | ||||||||||
Bond, Series NAV (JHAM) (A)(1) | 107,455,024 | 1,501,146,689 | ||||||||
Core Bond, Series NAV (Wells Capital) | 17,672,710 | 241,055,769 | ||||||||
Global Bond, Series NAV (PIMCO) | 9,092,716 | 117,477,893 | ||||||||
New Income, Series NAV (T. Rowe Price) | 31,394,294 | 416,602,277 | ||||||||
Short Term Government Income, Series NAV (JHAM) (A)(1) | 2,775,287 | 34,552,322 | ||||||||
Total Return, Class NAV (PIMCO) | 14,797,257 | 201,834,592 | ||||||||
Alternative - 0.4% | ||||||||||
Global Conservative Absolute Return, Class NAV (Standard Life) | 3,982,705 | 38,751,719 | ||||||||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $8,777,769,434) | $ | 9,672,749,735 | ||||||||
SHORT-TERM INVESTMENTS - 0.5% | ||||||||||
Commercial paper - 0.2% | ||||||||||
Bank of Tokyo-Mitsubishi UFJ, Ltd. 0.450%, 07/01/2016* | $ | 6,150,000 | 6,150,000 | |||||||
Manhattan Asset Funding Company LLC 0.460%, 07/18/2016* | 3,065,000 | 3,064,334 | ||||||||
National Rural Utilities Cooperative Finance Corp. 0.400%, 07/20/2016* | 5,320,000 | 5,318,877 | ||||||||
Piedmont Natural Gas Company, Inc. 0.550%, 07/07/2016* | 4,000,000 | 3,999,633 | ||||||||
Washington Gas Light Company 0.450%, 07/18/2016* | 4,065,000 | 4,064,136 | ||||||||
U.S. Government - 0.3% | ||||||||||
U.S. Treasury Bonds 3.250%, 12/31/2016 | 10,000,000 | 10,140,940 | ||||||||
U.S. Treasury Notes | ||||||||||
1.000%, 10/31/2016 | 5,000,000 | 5,010,940 | ||||||||
4.625%, 11/15/2016 | 10,000,000 | 10,157,810 |
Shares or Principal Amount | Value | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS - (continued) | ||||||||||
Money market funds - 0.0% | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.2499% (Y) | 206,180 | $ | 206,180 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $48,156,598) | $ | 48,112,850 | ||||||||
Total Investments (Lifestyle Growth MVP) (Cost $8,825,926,032) - 99.0% | $ | 9,720,862,585 | ||||||||
Other assets and liabilities, net - 1.0% | 99,303,365 | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 9,820,165,950 |
Shares or Principal Amount | Value | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
AFFILIATED INVESTMENT COMPANIES (G) - 98.8% | ||||||||||
Equity - 50.6% | ||||||||||
All Cap Core, Series NAV (QS Investors) | 2,933,614 | $ | 81,525,126 | |||||||
Alpha Opportunities, Series NAV (Wellington) | 18,217,665 | 199,665,608 | ||||||||
Blue Chip Growth, Series NAV (T. Rowe Price) | 5,341,400 | 163,286,597 | ||||||||
Capital Appreciation, Series NAV (Jennison) | 11,127,125 | 146,766,779 | ||||||||
Emerging Markets Value, Series NAV (DFA) | 32,008,643 | 248,066,983 | ||||||||
Equity Income, Series NAV (T. Rowe Price) | 14,561,738 | 244,491,589 | ||||||||
Fundamental Large Cap Value, Series NAV (JHAM) (A)(1) | 13,444,991 | 220,632,301 | ||||||||
International Core, Series NAV (GMO) | 14,716,855 | 137,308,256 | ||||||||
International Growth Opportunities, Class NAV (Baillie Gifford) | 4,758,739 | 56,057,947 | ||||||||
International Growth Stock, Series NAV (Invesco) | 6,313,578 | 99,312,590 | ||||||||
International Value, Series NAV (Templeton) | 13,047,582 | 148,220,527 | ||||||||
Mid Cap Stock, Series NAV (Wellington) | 7,555,636 | 112,730,085 | ||||||||
Mid Value, Series NAV (T. Rowe Price) | 9,523,258 | 112,755,377 | ||||||||
Small Cap Growth, Series NAV (Wellington) | 5,820,821 | 47,381,481 | ||||||||
Small Cap Value, Series NAV (Wellington) | 2,200,459 | 46,517,705 | ||||||||
Small Company Growth, Series NAV (Invesco) | 1,395,999 | 38,403,932 | ||||||||
Small Company Value, Series NAV (T. Rowe Price) | 2,631,856 | 56,400,670 | ||||||||
Strategic Equity Allocation, Series NAV (JHAM) (A)(1) | 101,777,112 | 1,662,020,240 | ||||||||
Strategic Growth, Class NAV (JHAM) (A)(1) | 9,646,954 | 149,431,310 | ||||||||
U.S. Equity, Series NAV (GMO) | 8,140,404 | 160,528,760 | ||||||||
Fixed income - 47.8% | ||||||||||
Bond, Series NAV (JHAM) (A)(1) | 177,293,167 | 2,476,785,548 | ||||||||
Core Bond, Series NAV (Wells Capital) | 24,714,898 | 337,111,214 | ||||||||
Global Bond, Series NAV (PIMCO) | 12,757,904 | 164,832,114 | ||||||||
New Income, Series NAV (T. Rowe Price) | 44,025,396 | 584,217,007 | ||||||||
Short Term Government Income, Series NAV (JHAM) (A)(1) | 4,529,413 | 56,391,197 | ||||||||
Total Return, Class NAV (PIMCO) | 20,815,703 | 283,926,193 | ||||||||
Alternative - 0.4% | ||||||||||
Global Conservative Absolute Return, Class NAV (Standard Life) | 3,715,472 | 36,151,543 | ||||||||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $7,580,354,923) | $ | 8,070,918,679 | ||||||||
SHORT-TERM INVESTMENTS - 1.0% | ||||||||||
Commercial paper - 0.1% | ||||||||||
Bank of Tokyo-Mitsubishi UFJ, Ltd. 0.450%, 07/01/2016* | $ | 3,200,000 | $ | 3,200,000 | ||||||
John Deere Credit, Ltd. 0.400%, 07/11/2016* | 3,075,000 | 3,074,658 | ||||||||
Manhattan Asset Funding Company LLC 0.460%, 07/18/2016* | 3,035,000 | 3,034,341 | ||||||||
Washington Gas Light Company 0.450%, 07/18/2016* | 380,000 | 379,919 | ||||||||
U.S. Government - 0.3% | ||||||||||
U.S. Treasury Notes | ||||||||||
0.500%, 07/31/2016 | 5,000,000 | 5,001,275 | ||||||||
0.875%, 09/15/2016 | 9,000,000 | 9,010,296 | ||||||||
1.000%, 08/31/2016 | 9,275,000 | 9,285,739 | ||||||||
U.S. Government Agency - 0.2% | ||||||||||
Federal Agricultural Mortgage Corp. Discount Note 0.200%, 07/01/2016* | 9,500,000 | 9,500,000 | ||||||||
Federal Home Loan Bank Discount Note 0.100%, 07/01/2016* | 8,306,000 | 8,306,000 | ||||||||
Money market funds - 0.4% | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.2499% (Y) | 31,564,461 | 31,564,461 | ||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $82,378,387) | $ | 82,356,689 | ||||||||
Total Investments (Lifestyle Balanced MVP) (Cost $7,662,733,310) - 99.8% | $ | 8,153,275,368 | ||||||||
Other assets and liabilities, net - 0.2% | 13,921,322 | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 8,167,196,690 |
Shares or Principal Amount | Value | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
AFFILIATED INVESTMENT COMPANIES (G) - 98.4% | ||||||||||
Equity - 39.2% | ||||||||||
Alpha Opportunities, Series NAV (Wellington) | 4,037,147 | $ | 44,247,129 | |||||||
Blue Chip Growth, Series NAV (T. Rowe Price) | 1,447,100 | 44,237,841 | ||||||||
Capital Appreciation, Series NAV (Jennison) | 1,642,179 | 21,660,341 | ||||||||
Equity Income, Series NAV (T. Rowe Price) | 5,381,276 | 90,351,617 | ||||||||
Fundamental All Cap Core, Series NAV (JHAM) (A)(1) | 5,227,989 | 73,453,249 | ||||||||
International Core, Series NAV (GMO) | 5,405,613 | 50,434,371 | ||||||||
International Growth Opportunities, Class NAV (Baillie Gifford) | 1,573,627 | 18,537,325 | ||||||||
International Growth Stock, Series NAV (Invesco) | 2,096,864 | 32,983,675 | ||||||||
International Value, Series NAV (Templeton) | 5,107,674 | 58,023,178 | ||||||||
Mid Cap Stock, Series NAV (Wellington) | 1,483,770 | 22,137,854 | ||||||||
Mid Value, Series NAV (T. Rowe Price) | 1,890,546 | 22,384,069 | ||||||||
Small Cap Growth, Series NAV (Wellington) | 1,413,224 | 11,503,647 | ||||||||
Small Cap Value, Series NAV (Wellington) | 581,485 | 12,292,589 | ||||||||
Small Company Growth, Series NAV (Invesco) | 324,557 | 8,928,576 | ||||||||
Small Company Value, Series NAV (T. Rowe Price) | 649,460 | 13,917,919 | ||||||||
Strategic Equity Allocation, Series NAV (JHAM) (A)(1) | 23,575,189 | 384,982,829 | ||||||||
Strategic Growth, Class NAV (JHAM) (A)(1) | 1,421,672 | 22,021,702 | ||||||||
U.S. Equity, Series NAV (GMO) | 1,157,445 | 22,824,808 |
Shares or Principal Amount | Value | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
AFFILIATED INVESTMENT COMPANIES - (continued) | ||||||||||
Fixed income - 58.6% | ||||||||||
Bond, Series NAV (JHAM) (A)(1) | 65,139,229 | $ | 909,995,026 | |||||||
Core Bond, Series NAV (Wells Capital) | 9,036,115 | 123,252,614 | ||||||||
Global Bond, Series NAV (PIMCO) | 4,593,035 | 59,342,009 | ||||||||
New Income, Series NAV (T. Rowe Price) | 16,069,467 | 213,241,825 | ||||||||
Short Term Government Income, Series NAV (JHAM) (A)(1) | 1,526,052 | 18,999,352 | ||||||||
Total Return, Class NAV (PIMCO) | 7,551,998 | 103,009,248 | ||||||||
Alternative - 0.6% | ||||||||||
Global Conservative Absolute Return, Class NAV (Standard Life) | 1,446,937 | 14,078,693 | ||||||||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $2,289,176,978) | $ | 2,396,841,486 | ||||||||
SHORT-TERM INVESTMENTS - 1.2% | ||||||||||
Commercial paper - 0.2% | ||||||||||
Bank of Tokyo-Mitsubishi UFJ, Ltd. 0.450%, 07/01/2016* | $ | 1,185,000 | 1,185,000 | |||||||
John Deere Credit, Ltd. 0.400%, 07/11/2016* | 1,170,000 | 1,169,870 | ||||||||
Manhattan Asset Funding Company LLC 0.460%, 07/18/2016* | 1,155,000 | 1,154,749 | ||||||||
Washington Gas Light Company 0.450%, 07/18/2016* | 380,000 | 379,919 | ||||||||
U.S. Government - 0.3% | ||||||||||
U.S. Treasury Notes | ||||||||||
0.500%, 07/31/2016 | 500,000 | 500,128 | ||||||||
0.875%, 09/15/2016 | 2,300,000 | 2,302,631 | ||||||||
1.000%, 08/31/2016 to 10/31/2016 | 3,178,000 | 3,183,740 | ||||||||
4.625%, 11/15/2016 | 2,500,000 | 2,539,453 | ||||||||
Money market funds - 0.7% | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.2499% (Y) | 16,144,765 | 16,144,765 | ||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $28,576,814) | $ | 28,560,255 | ||||||||
Total Investments (Lifestyle Moderate MVP) (Cost $2,317,753,792) - 99.6% | $ | 2,425,401,741 | ||||||||
Other assets and liabilities, net - 0.4% | 9,544,335 | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 2,434,946,076 |
Shares or Principal Amount | Value | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
AFFILIATED INVESTMENT COMPANIES (G) - 98.7% | ||||||||||
Equity - 19.5% | ||||||||||
Blue Chip Growth, Series NAV (T. Rowe Price) | 596,124 | $ | 18,223,509 | |||||||
Capital Appreciation, Series NAV (Jennison) | 759,917 | 10,023,305 | ||||||||
Equity Income, Series NAV (T. Rowe Price) | 1,719,696 | 28,873,702 | ||||||||
Fundamental All Cap Core, Series NAV (JHAM) (A)(1) | 2,551,401 | 35,847,183 | ||||||||
International Core, Series NAV (GMO) | 2,181,073 | 20,349,416 | ||||||||
International Growth Opportunities, Class NAV (Baillie Gifford) | 312,865 | 3,685,555 | ||||||||
International Growth Stock, Series NAV (Invesco) | 370,849 | 5,833,459 | ||||||||
International Value, Series NAV (Templeton) | 1,914,563 | 21,749,434 | ||||||||
Mid Cap Stock, Series NAV (Wellington) | 624,771 | 9,321,578 | ||||||||
Mid Value, Series NAV (T. Rowe Price) | 791,995 | 9,377,220 | ||||||||
Small Cap Growth, Series NAV (Wellington) | 920,210 | 7,490,511 | ||||||||
Small Cap Value, Series NAV (Wellington) | 573,821 | 12,130,566 | ||||||||
AFFILIATED INVESTMENT COMPANIES - (continued) | ||||||||||
Equity - (continued) | ||||||||||
Strategic Equity Allocation, Series NAV (JHAM) (A)(1) | 7,523,724 | $ | 122,862,415 | |||||||
Fixed income - 78.4% | ||||||||||
Bond, Series NAV (JHAM) (A)(1) | 55,967,712 | 781,868,936 | ||||||||
Core Bond, Series NAV (Wells Capital) | 7,678,145 | 104,729,900 | ||||||||
Global Bond, Series NAV (PIMCO) | 4,047,136 | 52,288,998 | ||||||||
New Income, Series NAV (T. Rowe Price) | 13,740,404 | 182,335,160 | ||||||||
Short Term Government Income, Series NAV (JHAM) (A)(1) | 1,381,061 | 17,194,205 | ||||||||
Total Return, Class NAV (PIMCO) | 6,491,832 | 88,548,590 | ||||||||
Alternative - 0.8% | ||||||||||
Global Conservative Absolute Return, Class NAV (Standard Life) | 1,215,051 | 11,822,445 | ||||||||
TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $1,531,780,640) | $ | 1,544,556,087 | ||||||||
SHORT-TERM INVESTMENTS - 0.7% | ||||||||||
Commercial paper - 0.2% | ||||||||||
Bank of Tokyo-Mitsubishi UFJ, Ltd. 0.450%, 07/01/2016* | $ | 965,000 | 965,000 | |||||||
John Deere Credit, Ltd. 0.400%, 07/11/2016* | 755,000 | 754,916 | ||||||||
Manhattan Asset Funding Company LLC 0.460%, 07/18/2016* | 745,000 | 744,838 | ||||||||
Washington Gas Light Company 0.450%, 07/18/2016* | 375,000 | 374,920 | ||||||||
U.S. Government - 0.5% | ||||||||||
U.S. Treasury Notes | ||||||||||
0.500%, 07/31/2016 | 2,000,000 | 2,000,510 | ||||||||
0.875%, 09/15/2016 | 1,800,000 | 1,802,059 | ||||||||
1.000%, 08/31/2016 to 10/31/2016 | 2,846,000 | 2,850,326 | ||||||||
4.625%, 11/15/2016 | 2,000,000 | 2,031,562 | ||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $11,538,774) | $ | 11,524,131 | ||||||||
Total Investments (Lifestyle Conservative MVP) (Cost $1,543,319,414) - 99.4% | $ | 1,556,080,218 | ||||||||
Other assets and liabilities, net - 0.6% | 9,570,808 | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,565,651,026 |
Percentages are based upon net assets. | |||||||
Footnote Legend | |||||||
(A) | The subadvisor is an affiliate of the advisor. | ||||||
(G) | The underlying funds’ subadvisor is shown parenthetically. | ||||||
(Y) | The rate shown is the annualized seven-day yield as of June 30, 2016. | ||||||
(1) | Manulife Asset Management (US) LLC is doing business as John Hancock Asset Management. | ||||||
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
Investment companies | ||||||||
---|---|---|---|---|---|---|---|---|
Underlying Funds’ Investment Managers | ||||||||
Baillie Gifford Overseas, Ltd. | (Baillie Gifford) | |||||||
Deutsche Investment Management Americas, Inc. | (Deutsche) | |||||||
Dimensional Fund Advisors, L.P. | (DFA) | |||||||
Grantham, Mayo, Van Otterloo & Co. LLC | (GMO) | |||||||
Invesco Advisers, Inc. | (Invesco) | |||||||
Jennison Associates LLC | (Jennison) | |||||||
John Hancock Asset Management | (JHAM) | |||||||
Pacific Investment Management Company, LLC | (PIMCO) | |||||||
QS Investors, LLC | (QS Investors) | |||||||
Standard Life Investments (Corporate Funds) Limited | (Standard Life) | |||||||
T. Rowe Price Associates, Inc. | (T. Rowe Price) | |||||||
Templeton Investment Counsel, LLC | (Templeton) | |||||||
Wellington Management Company, LLP | (Wellington) | |||||||
Wells Capital Management, Incorporated | (Wells Capital) |
Assets | Lifestyle Aggressive MVP | | Lifestyle Growth MVP | | Lifestyle Balanced MVP | | Lifestyle Moderate MVP | | Lifestyle Conservative MVP | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 2,591,766 | $ | 48,112,850 | $ | 82,356,689 | $ | 28,560,255 | $ | 11,524,131 | |||||||||||||
Affiliated investments, at value | 356,332,175 | 9,672,749,735 | 8,070,918,679 | 2,396,841,486 | 1,544,556,087 | ||||||||||||||||||
Total investments, at value | 358,923,941 | 9,720,862,585 | 8,153,275,368 | 2,425,401,741 | 1,556,080,218 | ||||||||||||||||||
Cash | 28,573 | — | 9,568,823 | 1,114,208 | 6,508,651 | ||||||||||||||||||
Cash held at broker for futures contracts | 8,194,588 | 101,677,299 | 4,823,198 | 7,117,407 | 2,623,347 | ||||||||||||||||||
Receivable for investments sold | 2,093,055 | 38,029,916 | 2,245,439 | 215,148 | 1,873,978 | ||||||||||||||||||
Receivable for fund shares sold | 2,000,000 | 32,000,000 | 61,260 | 634,028 | — | ||||||||||||||||||
Dividends and interest receivable | 4,064 | 71,909 | 67,501 | 29,980 | 28,467 | ||||||||||||||||||
Receivable for futures variation margin | — | — | — | 1,371,456 | 474,030 | ||||||||||||||||||
Receivable due from advisor | 398 | 4,754 | 3,996 | 1,351 | 953 | ||||||||||||||||||
Other assets | 2,315 | 34,400 | 301,970 | 6,771 | 3,588 | ||||||||||||||||||
Total assets | 371,246,934 | 9,892,680,863 | 8,170,347,555 | 2,435,892,090 | 1,567,593,232 | ||||||||||||||||||
Liabilities | |||||||||||||||||||||||
Due to custodian | — | 14,489,133 | — | — | — | ||||||||||||||||||
Payable for fund shares repurchased | 2,091,790 | 37,959,319 | 2,252,805 | 831,783 | 1,862,768 | ||||||||||||||||||
Payable for futures variation margin | 1,661,850 | 19,648,895 | 552,722 | — | — | ||||||||||||||||||
Payable to affiliates | |||||||||||||||||||||||
Accounting and legal services fees | 10,525 | 282,594 | 231,751 | 68,756 | 44,389 | ||||||||||||||||||
Trustees’ fees | 217 | 6,409 | 5,153 | 1,493 | 910 | ||||||||||||||||||
Other liabilities and accrued expenses | 24,619 | 128,563 | 108,434 | 43,982 | 34,139 | ||||||||||||||||||
Total liabilities | 3,789,001 | 72,514,913 | 3,150,865 | 946,014 | 1,942,206 | ||||||||||||||||||
Net assets | $ | 367,457,933 | $ | 9,820,165,950 | $ | 8,167,196,690 | $ | 2,434,946,076 | $ | 1,565,651,026 | |||||||||||||
Net assets consist of | |||||||||||||||||||||||
Paid-in capital | $ | 382,589,272 | $ | 8,895,156,823 | $ | 7,421,045,602 | $ | 2,244,543,460 | $ | 1,522,466,429 | |||||||||||||
Undistributed net investment income (loss) | (219,401 | ) | (11,416,382 | ) | (7,108,499 | ) | (2,258,956 | ) | (1,297,704 | ) | |||||||||||||
Accumulated undistributed net realized gain (loss) on investments | (16,624,795 | ) | 103,123,616 | 263,262,044 | 83,956,356 | 30,792,752 | |||||||||||||||||
Net unrealized appreciation (depreciation) on investments | 1,712,857 | 833,301,893 | 489,997,543 | 108,705,216 | 13,689,549 | ||||||||||||||||||
Net assets | $ | 367,457,933 | $ | 9,820,165,950 | $ | 8,167,196,690 | $ | 2,434,946,076 | $ | 1,565,651,026 | |||||||||||||
Unaffiliated investments, at cost | $ | 2,594,727 | $ | 48,156,598 | $ | 82,378,387 | $ | 28,576,814 | $ | 11,538,774 | |||||||||||||
Affiliated investments, at cost | $ | 351,684,613 | $ | 8,777,769,434 | $ | 7,580,354,923 | $ | 2,289,176,978 | $ | 1,531,780,640 | |||||||||||||
Net asset value per share | |||||||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||||||
Series I | |||||||||||||||||||||||
Net assets | $ | 76,904,523 | $ | 696,547,903 | $ | 652,670,353 | $ | 256,873,152 | $ | 189,520,332 | |||||||||||||
Shares outstanding | 8,000,724 | 53,012,031 | 52,104,555 | 21,208,132 | 16,307,742 | ||||||||||||||||||
Net asset value, offering price and redemption price per share | $ | 9.61 | $ | 13.14 | $ | 12.53 | $ | 12.11 | $ | 11.62 | |||||||||||||
Series II | |||||||||||||||||||||||
Net assets | $ | 93,648,225 | $ | 8,458,857,868 | $ | 6,325,607,262 | $ | 2,060,220,868 | $ | 1,325,594,149 | |||||||||||||
Shares outstanding | 9,777,697 | 646,024,004 | 508,060,415 | 171,228,637 | 114,940,538 | ||||||||||||||||||
Net asset value, offering price and redemption price per share | $ | 9.58 | $ | 13.09 | $ | 12.45 | $ | 12.03 | $ | 11.53 | |||||||||||||
Series NAV | |||||||||||||||||||||||
Net assets | $ | 196,905,185 | $ | 664,760,179 | $ | 1,188,919,075 | $ | 117,852,056 | $ | 50,536,545 | |||||||||||||
Shares outstanding | 20,474,899 | 50,521,454 | 94,686,602 | 9,720,539 | 4,338,312 | ||||||||||||||||||
Net asset value, offering price and redemption price per share | $ | 9.62 | $ | 13.16 | $ | 12.56 | $ | 12.12 | $ | 11.65 |
Investment income | Lifestyle Aggressive MVP | | Lifestyle Growth MVP | | Lifestyle Balanced MVP | | Lifestyle Moderate MVP | | Lifestyle Conservative MVP | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Income distributions received from affiliated funds | — | $ | 1,526,524 | $ | 2,156,922 | $ | 777,976 | $ | 668,012 | ||||||||||||||
Interest | $ | 22,767 | 470,780 | 397,853 | 124,443 | 79,192 | |||||||||||||||||
Total investment income | 22,767 | 1,997,304 | 2,554,775 | 902,419 | 747,204 | ||||||||||||||||||
Expenses | |||||||||||||||||||||||
Investment management fees | 108,847 | 2,645,809 | 2,001,702 | 591,182 | 389,004 | ||||||||||||||||||
Series I distribution and service fees | 19,663 | 174,561 | 162,393 | 63,066 | 45,979 | ||||||||||||||||||
Series II distribution and service fees | 119,056 | 10,791,176 | 7,943,449 | 2,563,362 | 1,651,698 | ||||||||||||||||||
Accounting and legal services fees | 24,872 | 671,380 | 548,844 | 162,242 | 104,383 | ||||||||||||||||||
Professional fees | 18,742 | 79,516 | 67,439 | 31,144 | 25,574 | ||||||||||||||||||
Printing and postage | 3,852 | 55,038 | 48,261 | 15,811 | 10,885 | ||||||||||||||||||
Custodian fees | 10,059 | (4,741 | ) | (275,333 | ) | 9,154 | 10,971 | ||||||||||||||||
Trustees’ fees | 3,529 | 93,063 | 75,691 | 22,388 | 14,282 | ||||||||||||||||||
Other | 2,566 | 37,134 | 30,489 | 9,758 | 6,546 | ||||||||||||||||||
Total expenses before reductions | 311,186 | 14,542,936 | 10,602,935 | 3,468,107 | 2,259,322 | ||||||||||||||||||
Less expense reductions | (69,018 | ) | (1,129,250 | ) | (939,661 | ) | (306,732 | ) | (214,053 | ) | |||||||||||||
Net expenses | 242,168 | 13,413,686 | 9,663,274 | 3,161,375 | 2,045,269 | ||||||||||||||||||
Net investment income (loss) | (219,401 | ) | (11,416,382 | ) | (7,108,499 | ) | (2,258,956 | ) | (1,298,065 | ) | |||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||||||
Unaffiliated investments | (11,294 | ) | (213,006 | ) | (277,457 | ) | (88,985 | ) | (59,817 | ) | |||||||||||||
Affiliated investments | 2,347,978 | 106,833,383 | 62,255,511 | 10,494,987 | 2,937,561 | ||||||||||||||||||
Futures contracts | (11,684,419 | ) | (179,284,444 | ) | (59,998,245 | ) | (1,053,956 | ) | 1,232,754 | ||||||||||||||
(9,347,735 | ) | (72,664,067 | ) | 1,979,809 | 9,352,046 | 4,110,498 | |||||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||||||
Unaffiliated investments | 24,847 | 710,685 | 332,139 | 17,596 | (2,091 | ) | |||||||||||||||||
Affiliated investments | 49,508 | 88,949,951 | 183,941,768 | 68,115,683 | 60,995,913 | ||||||||||||||||||
Futures contracts | (2,165,002 | ) | (47,824,781 | ) | 1,455,970 | 1,501,387 | 761,871 | ||||||||||||||||
(2,090,647 | ) | 41,835,855 | 185,729,877 | 69,634,666 | 61,755,693 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (11,438,382 | ) | (30,828,212 | ) | 187,709,686 | 78,986,712 | 65,866,191 | ||||||||||||||||
Increase (decrease) in net assets from operations | ($11,657,783 | ) | ($42,244,594 | ) | $ | 180,601,187 | $ | 76,727,756 | $ | 64,568,126 |
Lifestyle Aggressive MVP | Lifestyle Growth MVP | Lifestyle Balanced MVP | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | Six months ended 6/30/16 (unaudited) | | Year ended 12/31/15 | | Six months ended 6/30/16 (unaudited) | | Year ended 12/31/15 | | Six months ended 6/30/16 (unaudited) | | Year ended 12/31/15 | ||||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | ($219,401 | ) | $ | 4,595,013 | ($11,416,382 | ) | $ | 172,473,265 | ($7,108,499 | ) | $ | 169,660,673 | |||||||||||||||
Net realized gain (loss) | (9,347,735 | ) | 30,699,912 | (72,664,067 | ) | 478,067,320 | 1,979,809 | 399,534,194 | |||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (2,090,647 | ) | (59,825,812 | ) | 41,835,855 | (1,177,152,764 | ) | 185,729,877 | (767,425,065 | ) | |||||||||||||||||
Increase (decrease) in net assets resulting from operations | (11,657,783 | ) | (24,530,887 | ) | (42,244,594 | ) | (526,612,179 | ) | 180,601,187 | (198,230,198 | ) | ||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (1,015,380 | ) | — | (13,115,583 | ) | — | (14,405,765 | ) | ||||||||||||||||||
Series II | — | (1,037,798 | ) | — | (146,841,652 | ) | — | (129,120,356 | ) | ||||||||||||||||||
Series NAV | — | (2,542,718 | ) | — | (12,526,547 | ) | — | (26,151,997 | ) | ||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (743,909 | ) | — | (3,636,896 | ) | — | (54,509,343 | ) | ||||||||||||||||||
Series II | — | (919,128 | ) | — | (46,017,900 | ) | — | (544,388,403 | ) | ||||||||||||||||||
Series NAV | — | (1,785,696 | ) | — | (3,376,423 | ) | — | (93,647,345 | ) | ||||||||||||||||||
Total distributions | — | (8,044,629 | ) | — | (225,515,001 | ) | — | (862,223,209 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (6,486,127 | ) | (33,576,807 | ) | (635,068,292 | ) | (1,458,065,695 | ) | (521,990,324 | ) | (462,005,467 | ) | |||||||||||||||
Total increase (decrease) | (18,143,910 | ) | (66,152,323 | ) | (677,312,886 | ) | (2,210,192,875 | ) | (341,389,137 | ) | (1,522,458,874 | ) | |||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 385,601,843 | 451,754,166 | 10,497,478,836 | 12,707,671,711 | 8,508,585,827 | 10,031,044,701 | |||||||||||||||||||||
End of period | $ | 367,457,933 | $ | 385,601,843 | $ | 9,820,165,950 | $ | 10,497,478,836 | $ | 8,167,196,690 | $ | 8,508,585,827 | |||||||||||||||
Undistributed net investment income (loss) | ($219,401 | ) | — | ($11,416,382 | ) | — | ($7,108,499 | ) | — |
Lifestyle Moderate MVP | Lifestyle Conservative MVP | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | Six months ended 6/30/16 (unaudited) | | Year ended 12/31/15 | | Six months ended 6/30/16 (unaudited) | | Year ended 12/31/15 | | |||||||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | ($2,258,956 | ) | $ | 52,802,034 | ($1,298,065 | ) | $ | 37,057,770 | |||||||||||||||||||
Net realized gain (loss) | 9,352,046 | 104,900,692 | 4,110,498 | 39,402,196 | |||||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 69,634,666 | (180,841,680 | ) | 61,755,693 | (75,114,786 | ) | |||||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 76,727,756 | (23,138,954 | ) | 64,568,126 | 1,345,180 | ||||||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (5,891,430 | ) | — | (4,539,374 | ) | |||||||||||||||||||||
Series II | — | (44,295,994 | ) | — | (31,291,863 | ) | |||||||||||||||||||||
Series NAV | — | (2,616,150 | ) | — | (1,228,918 | ) | |||||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (23,975,587 | ) | — | (10,316,925 | ) | |||||||||||||||||||||
Series II | — | (203,672,233 | ) | — | (81,775,364 | ) | |||||||||||||||||||||
Series NAV | — | (10,120,050 | ) | — | (2,865,718 | ) | |||||||||||||||||||||
Total distributions | — | (290,571,444 | ) | — | (132,018,162 | ) | |||||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (141,832,236 | ) | (103,078,244 | ) | (71,434,018 | ) | (119,852,584 | ) | |||||||||||||||||||
Total increase (decrease) | (65,104,480 | ) | (416,788,642 | ) | (6,865,892 | ) | (250,525,566 | ) | |||||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 2,500,050,556 | 2,916,839,198 | 1,572,516,918 | 1,823,042,484 | |||||||||||||||||||||||
End of period | $ | 2,434,946,076 | $ | 2,500,050,556 | $ | 1,565,651,026 | $ | 1,572,516,918 | |||||||||||||||||||
Undistributed net investment income (loss) | ($2,258,956 | ) | — | ($1,297,704 | ) | $ | 361 |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1,2 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)3 | Expenses before reductions (%)4 | Expenses including reductions (%)4 | Net investment income (loss) (%)1 | Net assets, end of period (in millions) | Portfolio turnover (%) | |||||||||||||||||||||||||||||||||||||||||||||||
Lifestyle Aggressive MVP | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20165 | 9.91 | — | 6 | (0.30 | ) | (0.30 | ) | — | — | — | — | 9.61 | (3.13 | )7 | 0.14 | 8 | 0.11 | 8 | (0.05 | )7 | 77 | 9 | ||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 10.75 | 0.12 | (0.75 | ) | (0.63 | ) | (0.12 | ) | (0.09 | ) | — | (0.21 | ) | 9.91 | (5.85 | ) | 0.13 | 0.10 | 1.09 | 83 | 16 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 10.91 | 0.11 | 0.05 | 0.16 | (0.12 | ) | (0.20 | ) | — | (0.32 | ) | 10.75 | 1.40 | 0.13 | 0.10 | 1.03 | 105 | 31 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 8.81 | 0.11 | 2.24 | 2.35 | (0.11 | ) | (0.14 | ) | — | (0.25 | ) | 10.91 | 26.72 | 0.13 | 0.12 | 1.13 | 123 | 21 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 7.66 | 0.07 | 1.20 | 1.27 | (0.08 | ) | (0.04 | ) | — | (0.12 | ) | 8.81 | 16.61 | 0.12 | 0.12 | 0.87 | 95 | 18 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 8.35 | 0.07 | (0.61 | ) | (0.54 | ) | (0.08 | ) | (0.07 | ) | — | (0.15 | ) | 7.66 | (6.50 | ) | 0.12 | 0.12 | 0.84 | 107 | 23 | |||||||||||||||||||||||||||||||||||||||||
SERIES II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20165 | 9.89 | (0.01 | ) | (0.30 | ) | (0.31 | ) | — | — | — | — | 9.58 | (3.24 | )7 | 0.34 | 8 | 0.31 | 8 | (0.15 | )7 | 94 | 9 | ||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 10.73 | 0.09 | (0.74 | ) | (0.65 | ) | (0.10 | ) | (0.09 | ) | — | (0.19 | ) | 9.89 | (6.05 | ) | 0.33 | 0.30 | 0.86 | 102 | 16 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 10.88 | 0.09 | 0.06 | 0.15 | (0.10 | ) | (0.20 | ) | — | (0.30 | ) | 10.73 | 1.29 | 0.33 | 0.30 | 0.78 | 136 | 31 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 8.79 | 0.08 | 2.24 | 2.32 | (0.09 | ) | (0.14 | ) | — | (0.23 | ) | 10.88 | 26.43 | 0.33 | 0.32 | 0.83 | 189 | 21 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 7.64 | 0.06 | 1.20 | 1.26 | (0.07 | ) | (0.04 | ) | — | (0.11 | ) | 8.79 | 16.43 | 0.32 | 0.32 | 0.68 | 176 | 18 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 8.33 | 0.05 | (0.61 | ) | (0.56 | ) | (0.06 | ) | (0.07 | ) | — | (0.13 | ) | 7.64 | (6.72 | ) | 0.32 | 0.32 | 0.65 | 181 | 23 | |||||||||||||||||||||||||||||||||||||||||
SERIES NAV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20165 | 9.91 | — | 6 | (0.29 | ) | (0.29 | ) | — | — | — | — | 9.62 | (3.13 | )7 | 0.09 | 8 | 0.06 | 8 | (0.02 | )7 | 197 | 9 | ||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 10.76 | 0.13 | (0.76 | ) | (0.63 | ) | (0.13 | ) | (0.09 | ) | — | (0.22 | ) | 9.91 | (5.79 | ) | 0.08 | 0.05 | 1.21 | 201 | 16 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 10.91 | 0.13 | 0.05 | 0.18 | (0.13 | ) | (0.20 | ) | — | (0.33 | ) | 10.76 | 1.54 | 0.08 | 0.05 | 1.15 | 210 | 31 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 8.81 | 0.12 | 2.24 | 2.36 | (0.12 | ) | (0.14 | ) | — | (0.26 | ) | 10.91 | 26.77 | 0.08 | 0.07 | 1.17 | 196 | 21 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 7.66 | 0.09 | 1.19 | 1.28 | (0.09 | ) | (0.04 | ) | — | (0.13 | ) | 8.81 | 16.67 | 0.07 | 0.07 | 1.06 | 152 | 18 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 8.35 | 0.09 | (0.63 | ) | (0.54 | ) | (0.08 | ) | (0.07 | ) | — | (0.15 | ) | 7.66 | (6.46 | ) | 0.07 | 0.07 | 1.06 | 118 | 23 | |||||||||||||||||||||||||||||||||||||||||
1. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 2. Based on average daily shares outstanding. 3. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 4. Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the portfolio. The range of expense ratios of the underlying funds held by the portfolio was as follows: 0.53% – 1.06%, 0.53% – 1.08%, 0.52% – 1.08%, 0.69% – 1.12%, 0.70% – 1.10%, and 0.48% – 1.10%, for the periods ended 6-30-16, 12-31-15, 12-31-14, 12-31-13, 12-31-12, and 12-31-11, respectively. 5. Six months ended 6-30-16. Unaudited. 6. Less than $0.005 per share. 7. Not annualized. 8. Annualized. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Lifestyle Growth MVP | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20165 | 13.17 | — | 6 | (0.03 | ) | (0.03 | ) | — | — | — | — | 13.14 | (0.30 | )7 | 0.12 | 8 | 0.10 | 8 | (0.03 | )7 | 697 | 4 | ||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 14.13 | 0.23 | (0.88 | ) | (0.65 | ) | (0.24 | ) | (0.07 | ) | — | (0.31 | ) | 13.17 | (4.53 | ) | 0.12 | 0.10 | 1.66 | 722 | 9 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.23 | 0.25 | 0.06 | 0.31 | (0.26 | ) | (0.15 | ) | — | (0.41 | ) | 14.13 | 2.16 | 0.12 | 0.10 | 1.73 | 839 | 18 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.21 | 0.23 | 2.13 | 2.36 | (0.24 | ) | (0.10 | ) | — | (0.34 | ) | 14.23 | 19.34 | 0.11 | 0.11 | 1.73 | 917 | 11 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.92 | 0.18 | 1.33 | 1.51 | (0.18 | ) | (0.04 | ) | — | (0.22 | ) | 12.21 | 13.87 | 0.11 | 0.11 | 1.50 | 807 | 39 | 9 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.42 | 0.22 | (0.40 | ) | (0.18 | ) | (0.22 | ) | (0.10 | ) | — | (0.32 | ) | 10.92 | (1.60 | ) | 0.11 | 0.11 | 1.92 | 726 | 9 | 9 | ||||||||||||||||||||||||||||||||||||||||
SERIES II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20165 | 13.14 | (0.02 | ) | (0.03 | ) | (0.05 | ) | — | — | — | — | 13.09 | (0.38 | )7 | 0.32 | 8 | 0.30 | 8 | (0.13 | )7 | 8,459 | 4 | ||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 14.10 | 0.20 | (0.88 | ) | (0.68 | ) | (0.21 | ) | (0.07 | ) | — | (0.28 | ) | 13.14 | (4.81 | ) | 0.32 | 0.30 | 1.43 | 9,102 | 9 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.19 | 0.21 | 0.08 | 0.29 | (0.23 | ) | (0.15 | ) | — | (0.38 | ) | 14.10 | 2.04 | 0.32 | 0.30 | 1.47 | 11,165 | 18 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.18 | 0.20 | 2.12 | 2.32 | (0.21 | ) | (0.10 | ) | — | (0.31 | ) | 14.19 | 19.09 | 0.31 | 0.31 | 1.50 | 14,027 | 11 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.90 | 0.15 | 1.33 | 1.48 | (0.16 | ) | (0.04 | ) | — | (0.20 | ) | 12.18 | 13.59 | 0.31 | 0.31 | 1.27 | 12,818 | 39 | 9 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.40 | 0.19 | (0.39 | ) | (0.20 | ) | (0.20 | ) | (0.10 | ) | — | (0.30 | ) | 10.90 | (1.80 | ) | 0.31 | 0.31 | 1.66 | 12,007 | 9 | 9 | ||||||||||||||||||||||||||||||||||||||||
SERIES NAV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20165 | 13.19 | — | 6 | (0.03 | ) | (0.03 | ) | — | — | — | — | 13.16 | (0.23 | )7 | 0.07 | 8 | 0.05 | 8 | — | 7,10 | 665 | 4 | ||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 14.15 | 0.25 | (0.89 | ) | (0.64 | ) | (0.25 | ) | (0.07 | ) | — | (0.32 | ) | 13.19 | (4.55 | ) | 0.07 | 0.05 | 1.79 | 673 | 9 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 14.24 | 0.27 | 0.06 | 0.33 | (0.27 | ) | (0.15 | ) | — | (0.42 | ) | 14.15 | 2.28 | 0.07 | 0.05 | 1.86 | 703 | 18 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.22 | 0.25 | 2.11 | 2.36 | (0.24 | ) | (0.10 | ) | — | (0.34 | ) | 14.24 | 19.38 | 0.06 | 0.06 | 1.87 | 670 | 11 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.93 | 0.19 | 1.33 | 1.52 | (0.19 | ) | (0.04 | ) | — | (0.23 | ) | 12.22 | 13.91 | 0.06 | 0.06 | 1.58 | 521 | 39 | 9 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.43 | 0.24 | (0.42 | ) | (0.18 | ) | (0.22 | ) | (0.10 | ) | — | (0.32 | ) | 10.93 | (1.55 | ) | 0.06 | 0.06 | 2.05 | 435 | 9 | 9 | ||||||||||||||||||||||||||||||||||||||||
1. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 2. Based on average daily shares outstanding. 3. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 4. Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds help by the portfolio. The range of expense ratios from the underlying funds held by the portfolio was as follows: 0.53% – 1.06%, 0.53% – 1.09%, 0.52% – 1.09%, 0.50% – 1.10%, 0.49% – 1.10%, and 0.48% – 1.10% for the periods ended 6-30-16, 12-31-15, 12-31-14, 12-31-13, 12-31-12, and 12-31-11, respectively. 5. Six months ended 6-30-16. Unaudited. 6. Less than $0.005 per share. 7. Not annualized. 8. Annualized. 9. Excludes merger activity. 10. Less than 0.005%. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1,2 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)3 | Expenses before reductions (%)4 | Expenses including reductions (%)4 | Net investment income (loss) (%)1 | Net assets, end of period (in millions) | Portfolio turnover (%) | |||||||||||||||||||||||||||||||||||||||||||||||
Lifestyle Balanced MVP | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20165 | 12.24 | — | 6 | 0.29 | 0.29 | — | — | — | — | 12.53 | 2.37 | 7 | 0.11 | 8 | 0.09 | 8 | (0.01 | )7 | 653 | 1 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.87 | 0.27 | (0.58 | ) | (0.31 | ) | (0.27 | ) | (1.05 | ) | — | (1.32 | ) | 12.24 | (2.25 | ) | 0.12 | 0.09 | 1.97 | 671 | 9 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.69 | 0.29 | 0.30 | 0.59 | (0.31 | ) | (0.10 | ) | — | (0.41 | ) | 13.87 | 4.29 | 0.11 | 0.10 | 2.05 | 768 | 20 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.48 | 0.26 | 1.33 | 1.59 | (0.27 | ) | (0.11 | ) | — | (0.38 | ) | 13.69 | 12.78 | 0.11 | 0.11 | 1.98 | 863 | 9 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.41 | 0.22 | 1.13 | 1.35 | (0.23 | ) | (0.05 | ) | — | (0.28 | ) | 12.48 | 11.87 | 0.11 | 0.11 | 1.82 | 834 | 32 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.74 | 0.28 | (0.21 | ) | 0.07 | (0.28 | ) | (0.12 | ) | — | (0.40 | ) | 11.41 | 0.62 | 0.11 | 0.11 | 2.38 | 823 | 10 | |||||||||||||||||||||||||||||||||||||||||||
SERIES II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20165 | 12.18 | (0.01 | ) | 0.28 | 0.27 | — | — | — | — | 12.45 | 2.30 | 7 | 0.31 | 8 | 0.29 | 8 | (0.11 | )7 | 6,326 | 1 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.80 | 0.24 | (0.57 | ) | (0.33 | ) | (0.24 | ) | (1.05 | ) | — | (1.29 | ) | 12.18 | (2.39 | ) | 0.32 | 0.29 | 1.74 | 6,646 | 9 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.63 | 0.25 | 0.30 | 0.55 | (0.28 | ) | (0.10 | ) | — | (0.38 | ) | 13.80 | 4.03 | 0.31 | 0.30 | 1.80 | 7,970 | 20 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.43 | 0.23 | 1.33 | 1.56 | (0.25 | ) | (0.11 | ) | — | (0.36 | ) | 13.63 | 12.54 | 0.31 | 0.31 | 1.75 | 9,777 | 9 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.36 | 0.20 | 1.13 | 1.33 | (0.21 | ) | (0.05 | ) | — | (0.26 | ) | 12.43 | 11.70 | 0.31 | 0.31 | 1.62 | 9,828 | 32 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.69 | 0.25 | (0.20 | ) | 0.05 | (0.26 | ) | (0.12 | ) | — | (0.38 | ) | 11.36 | 0.42 | 0.31 | 0.31 | 2.09 | 9,776 | 10 | |||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20165 | 12.26 | — | 6 | 0.30 | 0.30 | — | — | — | — | 12.56 | 2.45 | 7 | 0.06 | 8 | 0.04 | 8 | 0.01 | 7 | 1,189 | 1 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.89 | 0.28 | (0.58 | ) | (0.30 | ) | (0.28 | ) | (1.05 | ) | — | (1.33 | ) | 12.26 | (2.20 | ) | 0.07 | 0.04 | 2.06 | 1,192 | 9 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.72 | 0.30 | 0.28 | 0.58 | (0.31 | ) | (0.10 | ) | — | (0.41 | ) | 13.89 | 4.26 | 0.06 | 0.05 | 2.15 | 1,293 | 20 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.50 | 0.28 | 1.33 | 1.61 | (0.28 | ) | (0.11 | ) | — | (0.39 | ) | 13.72 | 12.90 | 0.06 | 0.06 | 2.07 | 1,344 | 9 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.43 | 0.23 | 1.13 | 1.36 | (0.24 | ) | (0.05 | ) | — | (0.29 | ) | 12.50 | 11.90 | 0.06 | 0.06 | 1.91 | 1,237 | 32 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.76 | 0.28 | (0.20 | ) | 0.08 | (0.29 | ) | (0.12 | ) | — | (0.41 | ) | 11.43 | 0.67 | 0.06 | 0.06 | 2.39 | 1,168 | 10 | |||||||||||||||||||||||||||||||||||||||||||
1. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 2. Based on average daily shares outstanding. 3. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 4. Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the portfolio. The range of expense ratios of the underlying funds held by the portfolio was as follows: 0.53% – 1.06%, 0.53% – 1.09% 0.52% – 1.09%, 0.50% – 1.10%, 0.49% – 1.10%, and 0.48% – 1.10% for the periods ended 6-30-16, 12-31-15, 12-31-14, 12-31-13, 12-31-12, and 12-31-11, respectively. 5. Six months ended 6-30-16. Unaudited. 6. Less than $0.005 per share. 7. Not annualized. 8. Annualized. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Lifestyle Moderate MVP | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20165 | 11.72 | — | 6 | 0.39 | 0.39 | — | — | — | — | 12.11 | 3.33 | 7 | 0.12 | 8 | 0.09 | 8 | (0.01 | )7 | 257 | — | 9 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.30 | 0.28 | (0.41 | ) | (0.13 | ) | (0.27 | ) | (1.18 | ) | — | (1.45 | ) | 11.72 | (0.91 | ) | 0.12 | 0.09 | 2.14 | 257 | 10 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.68 | 0.31 | 0.37 | 0.68 | (0.32 | ) | (0.74 | ) | — | (1.06 | ) | 13.30 | 4.94 | 0.12 | 0.10 | 2.24 | 289 | 26 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.78 | 0.29 | 1.02 | 1.31 | (0.30 | ) | (0.11 | ) | — | (0.41 | ) | 13.68 | 10.22 | 0.11 | 0.11 | 2.14 | 320 | 7 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.84 | 0.26 | 1.00 | 1.26 | (0.27 | ) | (0.05 | ) | — | (0.32 | ) | 12.78 | 10.67 | 0.11 | 0.11 | 2.07 | 315 | 26 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.01 | 0.32 | (0.04 | ) | 0.28 | (0.33 | ) | (0.12 | ) | — | (0.45 | ) | 11.84 | 2.33 | 0.11 | 0.11 | 2.65 | 301 | 12 | |||||||||||||||||||||||||||||||||||||||||||
SERIES II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20165 | 11.65 | (0.01 | ) | 0.39 | 0.38 | — | — | — | — | 12.03 | 3.26 | 7 | 0.32 | 8 | 0.29 | 8 | (0.11 | )7 | 2,060 | — | 9 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.23 | 0.24 | (0.39 | ) | (0.15 | ) | (0.25 | ) | (1.18 | ) | — | (1.43 | ) | 11.65 | (1.12 | ) | 0.32 | 0.29 | 1.88 | 2,131 | 10 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.62 | 0.27 | 0.37 | 0.64 | (0.29 | ) | (0.74 | ) | — | (1.03 | ) | 13.23 | 4.68 | 0.32 | 0.30 | 1.98 | 2,513 | 26 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.73 | 0.25 | 1.02 | 1.27 | (0.27 | ) | (0.11 | ) | — | (0.38 | ) | 13.62 | 9.97 | 0.31 | 0.31 | 1.89 | 3,037 | 7 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.79 | 0.23 | 1.00 | 1.23 | (0.24 | ) | (0.05 | ) | — | (0.29 | ) | 12.73 | 10.50 | 0.31 | 0.31 | 1.86 | 3,157 | 26 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.96 | 0.29 | (0.03 | ) | 0.26 | (0.31 | ) | (0.12 | ) | — | (0.43 | ) | 11.79 | 2.13 | 0.31 | 0.31 | 2.42 | 3,116 | 12 | |||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20165 | 11.73 | — | 6 | 0.39 | 0.39 | — | — | — | — | 12.12 | 3.41 | 7 | 0.07 | 8 | 0.04 | 8 | 0.02 | 7 | 118 | — | 9 | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.31 | 0.29 | (0.41 | ) | (0.12 | ) | (0.28 | ) | (1.18 | ) | — | (1.46 | ) | 11.73 | (0.86 | ) | 0.07 | 0.04 | 2.20 | 112 | 10 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.69 | 0.34 | 0.35 | 0.69 | (0.33 | ) | (0.74 | ) | — | (1.07 | ) | 13.31 | 4.99 | 0.07 | 0.05 | 2.46 | 115 | 26 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.79 | 0.30 | 1.02 | 1.32 | (0.31 | ) | (0.11 | ) | — | (0.42 | ) | 13.69 | 10.27 | 0.06 | 0.06 | 2.23 | 102 | 7 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.85 | 0.28 | 0.98 | 1.26 | (0.27 | ) | (0.05 | ) | — | (0.32 | ) | 12.79 | 10.71 | 0.06 | 0.06 | 2.23 | 91 | 26 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.02 | 0.38 | (0.09 | ) | 0.29 | (0.34 | ) | (0.12 | ) | — | (0.46 | ) | 11.85 | 2.38 | 0.06 | 0.06 | 3.07 | 75 | 12 | |||||||||||||||||||||||||||||||||||||||||||
1. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 2. Based on average daily shares outstanding. 3. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 4. Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the portfolio. The range of expense ratios of the underlying funds held by the portfolio was as follows: 0.53% – 1.06%, 0.53% – 1.09%, 0.52% – 1.09%, 0.50% – 1.10%, 0.49% – 1.10%, and 0.48% – 1.10% for the periods ended 6-30-16, 12-31-15, 12-31-14 12-31-13, 12-31-12, and 12-31-11, respectively. 5. Six months ended 6-30-16. Unaudited. 6. Less than $0.005 per share. 7. Not annualized. 8. Annualized. 9. Less than 0.005%. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1,2 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)3 | Expenses before reductions (%)4 | Expenses including reductions (%)4 | Net investment income (loss) (%)1 | Net assets, end of period (in millions) | Portfolio turnover (%) | |||||||||||||||||||||||||||||||||||||||||||||||
Lifestyle Conservative MVP | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20165 | 11.14 | — | 6 | 0.48 | 0.48 | — | — | — | — | 11.62 | 4.31 | 7 | 0.12 | 8 | 0.09 | 8 | — | 7,9 | 190 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.12 | 0.29 | (0.29 | ) | — | (0.28 | ) | (0.70 | ) | — | (0.98 | ) | 11.14 | 0.05 | 0.12 | 0.09 | 2.42 | 180 | 11 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.58 | 0.32 | 0.31 | 0.63 | (0.33 | ) | (0.76 | ) | — | (1.09 | ) | 12.12 | 5.02 | 0.12 | 0.10 | 2.50 | 191 | 33 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.96 | 0.29 | 0.21 | 0.50 | (0.35 | ) | (0.53 | ) | — | (0.88 | ) | 12.58 | 3.88 | 0.11 | 0.11 | 2.24 | 218 | 5 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.56 | 0.33 | 0.73 | 1.06 | (0.32 | ) | (0.34 | ) | — | (0.66 | ) | 12.96 | 8.52 | 0.11 | 0.11 | 2.51 | 274 | 22 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.57 | 0.42 | 0.11 | 0.53 | (0.41 | ) | (0.13 | ) | — | (0.54 | ) | 12.56 | 4.23 | 0.11 | 0.11 | 3.27 | 252 | 17 | ||||||||||||||||||||||||||||||||||||||||||||
SERIES II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20165 | 11.07 | (0.01 | ) | 0.47 | 0.46 | — | — | — | — | 11.53 | 4.16 | 7 | 0.32 | 8 | 0.29 | 8 | (0.10 | )7 | 1,326 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.05 | 0.25 | (0.27 | ) | (0.02 | ) | (0.26 | ) | (0.70 | ) | — | (0.96 | ) | 11.07 | (0.15 | ) | 0.32 | 0.29 | 2.13 | 1,344 | 11 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.51 | 0.29 | 0.32 | 0.61 | (0.31 | ) | (0.76 | ) | — | (1.07 | ) | 12.05 | 4.84 | 0.32 | 0.30 | 2.25 | 1,583 | 33 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.89 | 0.26 | 0.22 | 0.48 | (0.33 | ) | (0.53 | ) | — | (0.86 | ) | 12.51 | 3.69 | 0.31 | 0.31 | 1.99 | 2,014 | 5 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.50 | 0.30 | 0.73 | 1.03 | (0.30 | ) | (0.34 | ) | — | (0.64 | ) | 12.89 | 8.27 | 0.31 | 0.31 | 2.29 | 2,613 | 22 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.51 | 0.39 | 0.12 | 0.51 | (0.39 | ) | (0.13 | ) | — | (0.52 | ) | 12.50 | 4.04 | 0.31 | 0.31 | 3.05 | 2,525 | 17 | ||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20165 | 11.17 | — | 6 | 0.48 | 0.48 | — | — | — | — | 11.65 | 4.30 | 7 | 0.07 | 8 | 0.04 | 8 | 0.03 | 7 | 51 | 2 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.14 | 0.30 | (0.28 | ) | 0.02 | (0.29 | ) | (0.70 | ) | — | (0.99 | ) | 11.17 | 0.18 | 0.07 | 0.04 | 2.45 | 48 | 11 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.61 | 0.35 | 0.28 | 0.63 | (0.34 | ) | (0.76 | ) | — | (1.10 | ) | 12.14 | 4.97 | 0.07 | 0.05 | 2.71 | 50 | 33 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.98 | 0.33 | 0.19 | 0.52 | (0.36 | ) | (0.53 | ) | — | (0.89 | ) | 12.61 | 4.00 | 0.06 | 0.06 | 2.50 | 48 | 5 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.58 | 0.36 | 0.71 | 1.07 | (0.33 | ) | (0.34 | ) | — | (0.67 | ) | 12.98 | 8.55 | 0.06 | 0.06 | 2.77 | 50 | 22 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.59 | 0.46 | 0.08 | 0.54 | (0.42 | ) | (0.13 | ) | — | (0.55 | ) | 12.58 | 4.27 | 0.06 | 0.06 | 3.57 | 34 | 17 | ||||||||||||||||||||||||||||||||||||||||||||
1. Recognition of net investment income by the portfolio is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 2. Based on average daily shares outstanding. 3. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 4. Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the portfolio. The range of expense ratios of the underlying funds held by the portfolio was as follows: 0.53% – 1.06%, 0.53% – 1.09%, 0.52% – 1.09%, 0.50% – 1.10%, 0.49% – 1.10%, and 0.48% – 1.10% for the periods ended 6-30-16, 12-31-15, 12-31-14, 12-31-13, 12-31-12, and 12-31-11, respectively. 5. Six months ended 6-30-16. Unaudited. 6. Less than $0.005 per share. 7. Not annualized. 8. Annualized. 9. Less than 0.005%. |
Total Value at 6-30-16 | | Level 1 Quoted Price | | Level 2 Significant Observable Inputs | | Level 3 Significant Unobservable Inputs | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lifestyle Aggressive MVP | |||||||||||||||||||
Affiliated investment companies | $ | 356,332,175 | $ | 356,332,175 | — | — | |||||||||||||
Short-term investments | 2,591,766 | — | $ | 2,591,766 | — | ||||||||||||||
Total investments in securities | $ | 358,923,941 | $ | 356,332,175 | $ | 2,591,766 | — | ||||||||||||
Other financial instruments: | |||||||||||||||||||
Futures | ($2,889,681 | ) | ($2,947,980 | ) | $ | 58,299 | — | ||||||||||||
Lifestyle Growth MVP | |||||||||||||||||||
Affiliated investment companies | $ | 9,672,749,735 | $ | 9,672,749,735 | — | — | |||||||||||||
Short-term investments | 48,112,850 | 206,180 | $ | 47,906,670 | — | ||||||||||||||
Total investments in securities | $ | 9,720,862,585 | $ | 9,672,955,915 | $ | 47,906,670 | — | ||||||||||||
Other financial instruments: | |||||||||||||||||||
Futures | ($60,799,855 | ) | ($58,953,958 | ) | ($1,845,897 | ) | — | ||||||||||||
Lifestyle Balanced MVP | |||||||||||||||||||
Affiliated investment companies | $ | 8,070,918,679 | $ | 8,070,918,679 | — | — | |||||||||||||
Short-term investments | 82,356,689 | 31,564,461 | $ | 50,792,228 | — | ||||||||||||||
Total investments in securities | $ | 8,153,275,368 | $ | 8,102,483,140 | $ | 50,792,228 | — | ||||||||||||
Other financial instruments: | |||||||||||||||||||
Futures | ($1,024,854 | ) | ($651,926 | ) | ($372,928 | ) | — | ||||||||||||
Lifestyle Moderate MVP | |||||||||||||||||||
Affiliated investment companies | $ | 2,396,841,486 | $ | 2,396,841,486 | — | — | |||||||||||||
Short-term investments | 28,560,255 | 16,144,765 | $ | 12,415,490 | — | ||||||||||||||
Total investments in securities | $ | 2,425,401,741 | $ | 2,412,986,251 | $ | 12,415,490 | — | ||||||||||||
Other financial instruments: | |||||||||||||||||||
Futures | $ | 872,298 | $ | 1,223,890 | ($351,592 | ) | — | ||||||||||||
Lifestyle Conservative MVP | |||||||||||||||||||
Affiliated investment companies | $ | 1,544,556,087 | $ | 1,544,556,087 | — | — | |||||||||||||
Short-term investments | 11,524,131 | — | $ | 11,524,131 | — | ||||||||||||||
Total investments in securities | $ | 1,556,080,218 | $ | 1,544,556,087 | $ | 11,524,131 | — | ||||||||||||
Other financial instruments: | |||||||||||||||||||
Futures | $ | 880,630 | $ | 969,267 | ($88,637 | ) | — |
Portfolio | | Commitment fee | ||||
---|---|---|---|---|---|---|
Lifestyle Aggressive MVP | $ | 818 | ||||
Lifestyle Growth MVP | 6,148 | |||||
Lifestyle Balanced MVP | 5,088 | |||||
Lifestyle Moderate MVP | 1,927 | |||||
Lifestyle Conservative MVP | 1,437 |
Portfolio | | Amount | ||||
---|---|---|---|---|---|---|
Lifestyle Aggressive MVP | $ | 11,762 | ||||
Lifestyle Growth MVP | 12,689 | |||||
Lifestyle Balanced MVP | 11,701 | |||||
Lifestyle Moderate MVP | 11,849 | |||||
Lifestyle Conservative MVP | 11,898 |
Portfolio | Aggregate cost | | Unrealized appreciation | | Unrealized (depreciation) | | Net unrealized appreciation/ (depreciation) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lifestyle Aggressive MVP | $ | 365,618,767 | $ | 18,537,578 | ($25,232,404 | ) | ($6,694,826 | ) | ||||||||||
Lifestyle Growth MVP | 8,943,988,236 | 964,436,266 | (187,561,917 | ) | 776,874,349 | |||||||||||||
Lifestyle Balanced MVP | 7,738,252,140 | 549,516,756 | (134,493,528 | ) | 415,023,228 | |||||||||||||
Lifestyle Moderate MVP | 2,330,708,734 | 115,046,654 | (20,353,647 | ) | 94,693,007 | |||||||||||||
Lifestyle Conservative MVP | 1,551,088,757 | 17,931,600 | (12,940,139 | ) | 4,991,461 |
Portfolio | | Open Contracts | | Number of Contracts | | Position | | Expiration Date | | Notional Basis* | | Notional Value* | | Unrealized Appreciation (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lifestyle Aggressive MVP | BP Currency Futures | 172 | Short | Sep 2016 | ($14,991,359 | ) | ($14,241,600 | ) | $ | 749,759 | ||||||||||||||||||||
Euro FX Futures | 80 | Short | Sep 2016 | (11,244,979 | ) | (11,107,500 | ) | 137,479 | ||||||||||||||||||||||
Euro STOXX 50 Index Futures | 370 | Short | Sep 2016 | (11,430,852 | ) | (11,722,842 | ) | (291,990 | ) | |||||||||||||||||||||
FTSE 100 Index Futures | 171 | Short | Sep 2016 | (13,492,895 | ) | (14,620,414 | ) | (1,127,519 | ) | |||||||||||||||||||||
Japanese Yen Currency Futures | 34 | Short | Sep 2016 | (4,051,156 | ) | (4,125,475 | ) | (74,319 | ) | |||||||||||||||||||||
Mini MSCI Emerging Markets Index Futures | 412 | Short | Sep 2016 | (16,378,166 | ) | (17,194,820 | ) | (816,654 | ) | |||||||||||||||||||||
Russell 2000 Mini Index Futures | 113 | Short | Sep 2016 | (12,824,265 | ) | (12,965,620 | ) | (141,355 | ) | |||||||||||||||||||||
S&P 500 Index E-Mini Futures | 544 | Short | Sep 2016 | (55,889,913 | ) | (56,853,440 | ) | (963,527 | ) | |||||||||||||||||||||
S&P Mid 400 Index E-Mini Futures | 150 | Short | Sep 2016 | (21,975,146 | ) | (22,395,000 | ) | (419,854 | ) | |||||||||||||||||||||
Nikkei 225 Futures | 28 | Short | Sep 2016 | (4,280,059 | ) | (4,221,760 | ) | 58,299 | ||||||||||||||||||||||
($2,889,681 | ) |
Portfolio | | Open Contracts | | Number of Contracts | | Position | | Expiration Date | | Notional Basis* | | Notional Value* | | Unrealized Appreciation (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lifestyle Growth MVP | BP Currency Futures | 2,118 | Short | Sep 2016 | ($179,276,472 | ) | ($175,370,400 | ) | $ | 3,906,072 | ||||||||||||||||||||
Euro FX Futures | 899 | Short | Sep 2016 | (124,872,427 | ) | (124,820,531 | ) | 51,896 | ||||||||||||||||||||||
Euro STOXX 50 Index Futures | 3,984 | Short | Sep 2016 | (121,627,230 | ) | (126,226,496 | ) | (4,599,266 | ) | |||||||||||||||||||||
FTSE 100 Index Futures | 2,095 | Short | Sep 2016 | (167,342,175 | ) | (179,121,449 | ) | (11,779,274 | ) | |||||||||||||||||||||
Japanese Yen Currency Futures | 803 | Short | Sep 2016 | (97,966,813 | ) | (97,434,012 | ) | 532,801 | ||||||||||||||||||||||
Mini MSCI Emerging Markets Index Futures | 4,428 | Short | Sep 2016 | (175,491,856 | ) | (184,802,580 | ) | (9,310,724 | ) | |||||||||||||||||||||
Russell 2000 Mini Index Futures | 1,142 | Short | Sep 2016 | (126,823,364 | ) | (131,033,080 | ) | (4,209,716 | ) | |||||||||||||||||||||
S&P 500 Index E-Mini Futures | 7,518 | Short | Sep 2016 | (761,461,603 | ) | (785,706,180 | ) | (24,244,577 | ) | |||||||||||||||||||||
S&P Mid 400 Index E-Mini Futures | 1,743 | Short | Sep 2016 | (250,928,730 | ) | (260,229,900 | ) | (9,301,170 | ) | |||||||||||||||||||||
Nikkei 225 Futures | 550 | Short | Sep 2016 | (81,081,523 | ) | (82,927,420 | ) | (1,845,897 | ) | |||||||||||||||||||||
($60,799,855 | ) |
Portfolio | | Open Contracts | | Number of Contracts | | Position | | Expiration Date | | Notional Basis* | | Notional Value* | | Unrealized Appreciation (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lifestyle Balanced MVP | Nikkei 225 Futures | 60 | Long | Sep 2016 | $ | 9,419,556 | $ | 9,046,628 | ($372,928 | ) | ||||||||||||||||||||
BP Currency Futures | 94 | Short | Sep 2016 | (7,886,147 | ) | (7,783,200 | ) | 102,947 | ||||||||||||||||||||||
Euro FX Futures | 34 | Short | Sep 2016 | (4,729,379 | ) | (4,720,688 | ) | 8,691 | ||||||||||||||||||||||
Euro STOXX 50 Index Futures | 151 | Short | Sep 2016 | (4,728,306 | ) | (4,784,187 | ) | (55,881 | ) | |||||||||||||||||||||
FTSE 100 Index Futures | 93 | Short | Sep 2016 | (7,840,351 | ) | (7,951,453 | ) | (111,102 | ) | |||||||||||||||||||||
Japanese Yen Currency Futures | 60 | Short | Sep 2016 | (7,309,797 | ) | (7,280,250 | ) | 29,547 | ||||||||||||||||||||||
Mini MSCI Emerging Markets Index Futures | 610 | Short | Sep 2016 | (25,271,803 | ) | (25,458,350 | ) | (186,547 | ) | |||||||||||||||||||||
Russell 2000 Mini Index Futures | 24 | Short | Sep 2016 | (2,704,395 | ) | (2,753,760 | ) | (49,365 | ) | |||||||||||||||||||||
S&P 500 Index E-Mini Futures | 159 | Short | Sep 2016 | (16,399,281 | ) | (16,617,090 | ) | (217,809 | ) | |||||||||||||||||||||
S&P Mid 400 Index E-Mini Futures | 75 | Short | Sep 2016 | (11,025,093 | ) | (11,197,500 | ) | (172,407 | ) | |||||||||||||||||||||
($1,024,854 | ) |
Portfolio | | Open Contracts | | Number of Contracts | | Position | | Expiration Date | | Notional Basis* | | Notional Value* | | Unrealized Appreciation (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lifestyle Moderate MVP | BP Currency Futures | 171 | Long | Sep 2016 | $ | 15,284,808 | $ | 14,158,800 | ($1,126,008 | ) | ||||||||||||||||||||
Euro FX Futures | 80 | Long | Sep 2016 | 11,337,561 | 11,107,500 | (230,061 | ) | |||||||||||||||||||||||
Euro STOXX 50 Index Futures | 356 | Long | Sep 2016 | 11,025,563 | 11,279,275 | 253,712 | ||||||||||||||||||||||||
FTSE 100 Index Futures | 170 | Long | Sep 2016 | 13,322,665 | 14,534,915 | 1,212,250 | ||||||||||||||||||||||||
Japanese Yen Currency Futures | 57 | Long | Sep 2016 | 6,781,857 | 6,916,238 | 134,381 | ||||||||||||||||||||||||
Mini MSCI Emerging Markets Index Futures | 19 | Long | Sep 2016 | 740,036 | 792,965 | 52,929 | ||||||||||||||||||||||||
Russell 2000 Mini Index Futures | 114 | Long | Sep 2016 | 13,269,870 | 13,080,360 | (189,510 | ) | |||||||||||||||||||||||
S&P 500 Index E-Mini Futures | 494 | Long | Sep 2016 | 50,809,022 | 51,627,940 | 818,918 | ||||||||||||||||||||||||
S&P Mid 400 Index E-Mini Futures | 125 | Long | Sep 2016 | 18,365,221 | 18,662,500 | 297,279 | ||||||||||||||||||||||||
Nikkei 225 Futures | 57 | Long | Sep 2016 | 8,945,888 | 8,594,296 | (351,592 | ) | |||||||||||||||||||||||
$ | 872,298 |
Portfolio | | Open Contracts | | Number of Contracts | | Position | | Expiration Date | | Notional Basis* | | Notional Value* | | Unrealized Appreciation (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lifestyle Conservative MVP | BP Currency Futures | 55 | Long | Sep 2016 | $ | 4,783,769 | $ | 4,554,000 | ($229,769 | ) | ||||||||||||||||||||
Euro FX Futures | 27 | Long | Sep 2016 | 3,800,878 | 3,748,781 | (52,097 | ) | |||||||||||||||||||||||
Euro STOXX 50 Index Futures | 123 | Long | Sep 2016 | 3,783,384 | 3,897,053 | 113,669 | ||||||||||||||||||||||||
FTSE 100 Index Futures | 55 | Long | Sep 2016 | 4,339,274 | 4,702,472 | 363,198 | ||||||||||||||||||||||||
Japanese Yen Currency Futures | 26 | Long | Sep 2016 | 3,106,699 | 3,154,775 | 48,076 | ||||||||||||||||||||||||
Mini MSCI Emerging Markets Index Futures | 135 | Long | Sep 2016 | 5,438,805 | 5,634,225 | 195,420 | ||||||||||||||||||||||||
Russell 2000 Mini Index Futures | 41 | Long | Sep 2016 | 4,670,366 | 4,704,340 | 33,974 | ||||||||||||||||||||||||
S&P 500 Index E-Mini Futures | 140 | Long | Sep 2016 | 14,290,282 | 14,631,400 | 341,118 | ||||||||||||||||||||||||
S&P Mid 400 Index E-Mini Futures | 40 | Long | Sep 2016 | 5,816,322 | 5,972,000 | 155,678 | ||||||||||||||||||||||||
Nikkei 225 Futures | 23 | Long | Sep 2016 | 3,556,511 | 3,467,874 | (88,637 | ) | |||||||||||||||||||||||
$ | 880,630 |
* | Notional basis refers to the contractual amount agreed upon at inception of open contracts; notional value represents the current value of the open contract. |
Portfolio | | Risk | | Statements of assets and liabilities location | | Financial Instruments Location | | Asset Derivatives Fair Value | | Liability Derivatives Fair Value | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lifestyle Aggressive MVP | Equity | Receivable for futures | Futures† | $ | 58,299 | ($3,760,899 | ) | |||||||||||||||
Foreign | Receivable for futures | Futures† | 887,238 | (74,319 | ) | |||||||||||||||||
Total | $ | 945,537 | ($3,835,218 | ) | ||||||||||||||||||
Lifestyle Growth MVP | Equity | Receivable for futures | Futures† | — | ($65,290,624 | ) | ||||||||||||||||
Foreign | Receivable for futures | Futures† | $ | 4,490,769 | — | |||||||||||||||||
Total | $ | 4,490,769 | ($65,290,624 | ) | ||||||||||||||||||
Lifestyle Balanced MVP | Equity | Receivable for futures | Futures† | — | (1,166,039 | ) | ||||||||||||||||
Foreign | Receivable for futures | Futures† | $ | 141,185 | — | |||||||||||||||||
Total | $ | 141,185 | ($1,166,039 | ) | ||||||||||||||||||
Lifestyle Moderate MVP | Equity | Receivable for futures | Futures† | $ | 2,635,088 | ($541,102 | ) | |||||||||||||||
Foreign | Receivable for futures | Futures† | 134,381 | (1,356,069 | ) | |||||||||||||||||
Total | $ | 2,769,469 | ($1,897,171 | ) | ||||||||||||||||||
Lifestyle Conservative MVP | Equity | Receivable for futures | Futures† | 1,203,057 | (88,637 | ) | ||||||||||||||||
Foreign | Receivable for futures | Futures† | 48,076 | (281,866 | ) | |||||||||||||||||
Total | $ | 1,251,133 | ($370,503 | ) |
† | Reflects cumulative appreciation/depreciation on futures as disclosed in Note 3. Only the year end variation margin is separately disclosed in the Statements of assets and liabilities. |
Statements of operations location — Net Realized Gain (Loss) on: | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | | Risk | | Futures Contracts | |||||||
Lifestyle Aggressive MVP | Equity | ($11,272,990 | ) | ||||||||
Foreign | (411,429 | ) | |||||||||
Total | �� | ($11,684,419 | ) | ||||||||
Lifestyle Growth MVP | Equity | (165,571,694 | ) | ||||||||
Foreign | (13,712,750 | ) | |||||||||
Total | ($179,284,444 | ) | |||||||||
Lifestyle Balanced MVP | Equity | (57,309,900 | ) | ||||||||
Foreign | (2,688,345 | ) | |||||||||
Total | ($59,998,245 | ) | |||||||||
Lifestyle Moderate MVP | Equity | (1,572,435 | ) | ||||||||
Foreign | 518,479 | ||||||||||
Total | ($1,053,956 | ) | |||||||||
Lifestyle Conservative MVP | Equity | 1,049,332 | |||||||||
Foreign | 183,422 | ||||||||||
Total | $ | 1,232,754 |
Statements of operations location — Change in Unrealized Appreciation (Depreciation) of: | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | | Risk | | Futures Contracts | |||||||
Lifestyle Aggressive MVP | Equity | ($2,698,953 | ) | ||||||||
Foreign | 533,951 | ||||||||||
Total | ($2,165,002 | ) | |||||||||
Lifestyle Growth MVP | Equity | ($48,908,769 | ) | ||||||||
Foreign | 1,083,988 | ||||||||||
Total | ($47,824,781 | ) | |||||||||
Lifestyle Balanced MVP | Equity | $ | 1,583,224 | ||||||||
Foreign | (127,254 | ) | |||||||||
Total | $ | 1,455,970 | |||||||||
Lifestyle Moderate MVP | Equity | $ | 2,578,798 | ||||||||
Foreign | (1,077,411 | ) | |||||||||
Total | $ | 1,501,387 | |||||||||
Lifestyle Conservative MVP | Equity | $ | 944,731 | ||||||||
Foreign | (182,860 | ) | |||||||||
Total | $ | 761,871 |
| First $7.5 billion of aggregate net assets | | Excess over $7.5 billion of aggregate net assets | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Affiliated fund assets | 0.05 | % | 0.04 | % | ||||||
Other assets | 0.50 | % | 0.49 | % |
Expense reimbursement by class | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | Series I | | Series II | | Series NAV | | Total | ||||||||||||
Lifestyle Aggressive MVP | $ | 14,696 | $ | 17,806 | $ | 36,516 | $ | 69,018 | |||||||||||
Lifestyle Growth MVP | 78,869 | 976,009 | 74,372 | 1,129,250 | |||||||||||||||
Lifestyle Balanced MVP | 74,689 | 731,194 | 133,778 | 939,661 | |||||||||||||||
Lifestyle Moderate MVP | 32,022 | 260,462 | 14,248 | 306,732 | |||||||||||||||
Lifestyle Conservative MVP | 25,324 | 182,031 | 6,698 | 214,053 |
Portfolio | | Annual Effective Rate | ||||
---|---|---|---|---|---|---|
Lifestyle Aggressive MVP | 0.02 | % | ||||
Lifestyle Growth MVP | 0.03 | % | ||||
Lifestyle Balanced MVP | 0.03 | % | ||||
Lifestyle Moderate MVP | 0.02 | % | ||||
Lifestyle Conservative MVP | 0.02 | % |
Class | | Rule 12b-1 Fee | ||||
---|---|---|---|---|---|---|
Series I | 0.15 | % | ||||
Series II | 0.35 | % |
Lifestyle Aggressive MVP | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I Shares | |||||||||||||||||||
Sold | 155,642 | $ | 1,501,308 | 191,634 | $ | 2,033,254 | |||||||||||||
Distributions reinvested | — | — | 175,753 | 1,759,289 | |||||||||||||||
Repurchased | (504,198 | ) | (4,861,586 | ) | (1,826,518 | ) | (19,582,042 | ) | |||||||||||
Net decrease | (348,556 | ) | ($3,360,278 | ) | (1,459,131 | ) | ($15,789,499 | ) | |||||||||||
Series II Shares | |||||||||||||||||||
Sold | 175,131 | $ | 1,662,359 | 106,935 | $ | 1,115,209 | |||||||||||||
Distributions reinvested | — | — | 196,085 | 1,956,926 | |||||||||||||||
Repurchased | (749,047 | ) | (7,177,208 | ) | (2,672,074 | ) | (28,372,635 | ) | |||||||||||
Net decrease | (573,916 | ) | ($5,514,849 | ) | (2,369,054 | ) | ($25,300,500 | ) | |||||||||||
Series NAV Shares | |||||||||||||||||||
Sold | 7,659,796 | $ | 72,544,376 | 5,418,597 | $ | 56,323,232 | |||||||||||||
Distributions reinvested | — | — | 432,409 | 4,328,414 | |||||||||||||||
Repurchased | (7,415,046 | ) | (70,155,376 | ) | (5,122,827 | ) | (53,138,454 | ) | |||||||||||
Net increase | 244,750 | $ | 2,389,000 | 728,179 | $ | 7,513,192 | |||||||||||||
Total net decrease | (677,722 | ) | ($6,486,127 | ) | (3,100,006 | ) | ($33,576,807 | ) |
Lifestyle Growth MVP | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I Shares | |||||||||||||||||||
Sold | 654,374 | $ | 8,439,121 | 1,005,566 | $ | 14,134,283 | |||||||||||||
Distributions reinvested | — | — | 1,260,533 | 16,752,479 | |||||||||||||||
Repurchased | (2,477,903 | ) | (32,190,036 | ) | (6,824,873 | ) | (95,995,746 | ) | |||||||||||
Net decrease | (1,823,529 | ) | ($23,750,915 | ) | (4,558,774 | ) | ($65,108,984 | ) | |||||||||||
Series II Shares | |||||||||||||||||||
Sold | 75,848,042 | $ | 967,000,000 | 48,387,830 | $ | 661,478,317 | |||||||||||||
Distributions reinvested | — | — | 14,544,461 | 192,859,552 | |||||||||||||||
Repurchased | (122,524,357 | ) | (1,571,658,550 | ) | (162,294,123 | ) | (2,264,963,983 | ) | |||||||||||
Net decrease | (46,676,315 | ) | ($604,658,550 | ) | (99,361,832 | ) | ($1,410,626,114 | ) | |||||||||||
Series NAV Shares | |||||||||||||||||||
Sold | 1,061,549 | $ | 13,834,605 | 2,613,786 | $ | 36,702,703 | |||||||||||||
Distributions reinvested | — | — | 1,195,712 | 15,902,970 | |||||||||||||||
Repurchased | (1,565,749 | ) | (20,493,432 | ) | (2,466,087 | ) | (34,936,270 | ) | |||||||||||
Net increase (decrease) | (504,200 | ) | ($6,658,827 | ) | 1,343,411 | $ | 17,669,403 | ||||||||||||
Total net decrease | (49,004,044 | ) | ($635,068,292 | ) | (102,577,195 | ) | ($1,458,065,695 | ) |
Lifestyle Balanced MVP | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I Shares | |||||||||||||||||||
Sold | 941,302 | $ | 11,241,254 | 849,373 | $ | 11,751,463 | |||||||||||||
Distributions reinvested | — | — | 5,528,670 | 68,915,108 | |||||||||||||||
Repurchased | (3,685,057 | ) | (44,675,876 | ) | (6,925,782 | ) | (93,662,664 | ) | |||||||||||
Net decrease | (2,743,755 | ) | ($33,434,622 | ) | (547,739 | ) | ($12,996,093 | ) | |||||||||||
Series II Shares | |||||||||||||||||||
Sold | 18,620,528 | $ | 220,000,000 | 11,945,581 | $ | 150,925,211 | |||||||||||||
Distributions reinvested | — | — | 54,347,002 | 673,508,759 | |||||||||||||||
Repurchased | (56,384,072 | ) | (678,183,000 | ) | (97,878,923 | ) | (1,318,250,623 | ) | |||||||||||
Net decrease | (37,763,544 | ) | ($458,183,000 | ) | (31,586,340 | ) | ($493,816,653 | ) | |||||||||||
Series NAV Shares | |||||||||||||||||||
Sold | 321,752 | $ | 3,960,018 | 798,840 | $ | 10,828,391 | |||||||||||||
Distributions reinvested | — | — | 9,591,152 | 119,799,342 | |||||||||||||||
Repurchased | (2,816,203 | ) | (34,332,720 | ) | (6,250,447 | ) | (85,820,454 | ) | |||||||||||
Net increase (decrease) | (2,494,451 | ) | ($30,372,702 | ) | 4,139,545 | $ | 44,807,279 | ||||||||||||
Total net decrease | (43,001,750 | ) | ($521,990,324 | ) | (27,994,534 | ) | ($462,005,467 | ) |
Lifestyle Moderate MVP | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I Shares | |||||||||||||||||||
Sold | 652,371 | $ | 7,635,444 | 931,165 | $ | 12,263,023 | |||||||||||||
Distributions reinvested | — | — | 2,501,645 | 29,867,017 | |||||||||||||||
Repurchased | (1,352,754 | ) | (15,923,792 | ) | (3,241,937 | ) | (42,336,573 | ) | |||||||||||
Net increase (decrease) | (700,383 | ) | ($8,288,348 | ) | 190,873 | ($206,533 | ) | ||||||||||||
Series II Shares | |||||||||||||||||||
Sold | 2,349,774 | $ | 27,051,701 | 1,499,457 | $ | 18,228,210 | |||||||||||||
Distributions reinvested | — | — | 20,900,117 | 247,968,227 | |||||||||||||||
Repurchased | (13,965,298 | ) | (162,329,186 | ) | (29,446,751 | ) | (379,914,504 | ) | |||||||||||
Net decrease | (11,615,524 | ) | ($135,277,485 | ) | (7,047,177 | ) | ($113,718,067 | ) | |||||||||||
Series NAV Shares | |||||||||||||||||||
Sold | 485,455 | $ | 5,733,484 | 814,824 | $ | 10,678,509 | |||||||||||||
Distributions reinvested | — | — | 1,065,346 | 12,736,200 | |||||||||||||||
Repurchased | (339,892 | ) | (3,999,887 | ) | (955,378 | ) | (12,568,353 | ) | |||||||||||
Net increase | 145,563 | $ | 1,733,597 | 924,792 | $ | 10,846,356 | |||||||||||||
Total net decrease | (12,170,344 | ) | ($141,832,236 | ) | (5,931,512 | ) | ($103,078,244 | ) |
Lifestyle Conservative MVP | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I Shares | |||||||||||||||||||
Sold | 1,125,986 | $ | 12,633,763 | 1,687,387 | $ | 19,928,066 | |||||||||||||
Distributions reinvested | — | — | 1,312,614 | 14,856,299 | |||||||||||||||
Repurchased | (1,005,874 | ) | (11,386,604 | ) | (2,550,433 | ) | (30,596,157 | ) | |||||||||||
Net increase | 120,112 | $ | 1,247,159 | 449,568 | $ | 4,188,208 | |||||||||||||
Series Ii Shares | |||||||||||||||||||
Sold | 1,948,546 | $ | 21,681,961 | 1,954,624 | $ | 22,966,891 | |||||||||||||
Distributions reinvested | — | — | 10,058,872 | 113,067,227 | |||||||||||||||
Repurchased | (8,433,894 | ) | (94,776,686 | ) | (21,963,256 | ) | (262,549,860 | ) | |||||||||||
Net decrease | (6,485,348 | ) | ($73,094,725 | ) | (9,949,760 | ) | ($126,515,742 | ) | |||||||||||
Series NAV Shares | |||||||||||||||||||
Sold | 327,084 | $ | 3,713,784 | 680,413 | $ | 8,243,855 | |||||||||||||
Distributions reinvested | — | — | 360,779 | 4,094,636 | |||||||||||||||
Repurchased | (289,467 | ) | (3,300,236 | ) | (823,339 | ) | (9,863,541 | ) | |||||||||||
Net increase | 37,617 | $ | 413,548 | 217,853 | $ | 2,474,950 | |||||||||||||
Total net decrease | (6,327,619 | ) | ($71,434,018 | ) | (9,282,339 | ) | ($119,852,584 | ) |
Portfolio | Purchases | | Sales | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Lifestyle Aggressive MVP | $ | 33,811,667 | $ | 52,037,412 | ||||||
Lifestyle Growth MVP | 409,526,524 | 1,207,186,810 | ||||||||
Lifestyle Balanced MVP | 83,238,842 | 682,798,060 | ||||||||
Lifestyle Moderate MVP | 7,078,716 | 168,233,222 | ||||||||
Lifestyle Conservative MVP | 25,730,975 | 97,505,116 |
Portfolio | | Affiliated Class NAV | Percent of Underlying Funds’ Net Assets | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Lifestyle Growth MVP | |||||||||||
Alpha Opportunities Trust | 56.03 | % | |||||||||
Small Comp Growth Trust | 53.70 | % | |||||||||
Emerging Markets Value Trust | 51.16 | % | |||||||||
US Equity Trust | 48.83 | % | |||||||||
International Growth Stock Trust | 45.34 | % | |||||||||
International Core Trust | 44.33 | % | |||||||||
All Cap Core Trust | 36.22 | % | |||||||||
Global Conservative Absolute Fund | 36.10 | % | |||||||||
International Value Trust | 35.65 | % | |||||||||
Cap Appreciation Trust | 31.07 | % | |||||||||
New Income Trust | 29.82 | % | |||||||||
Strategic Equity Allocation | 29.78 | % | |||||||||
Fundamental Large Cap Value Trust | 28.24 | % | |||||||||
Small Company Value Trust | 28.22 | % | |||||||||
Small Cap Opportunities Trust | 27.83 | % | |||||||||
Equity Income Trust | 26.82 | % | |||||||||
Lifestyle Growth MVP (continued) | |||||||||||
Blue Chip Growth Trust | 19.55 | % | |||||||||
Mid Cap Stock Trust | 19.15 | % | |||||||||
Global Bond Trust | 19.01 | % | |||||||||
Core Bond Trust | 18.67 | % | |||||||||
Mid Value Trust | 17.96 | % | |||||||||
Small Cap Growth Trust | 17.05 | % | |||||||||
Bond Trust | 16.73 | % | |||||||||
International Growth Opportunities Fund | 14.17 | % | |||||||||
Strategic Growth | 13.48 | % | |||||||||
Short Term Government Income Trust | 10.25 | % | |||||||||
Total Return Fund | 10.15 | % | |||||||||
Small Cap Value Trust | 8.58 | % | |||||||||
Lifestyle Balanced MVP | |||||||||||
New Income Trust | 41.82 | % | |||||||||
Small Comp Growth Trust | 35.86 | % | |||||||||
Global Conservative Absolute Fund | 33.68 | % |
Portfolio | | Affiliated Class NAV | Percent of Underlying Funds’ Net Assets | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Lifestyle Balanced MVP (continued) | |||||||||||
Emerging Markets Value Trust | 33.31 | % | |||||||||
Alpha Opportunities Trust | 31.84 | % | |||||||||
All Cap Core Trust | 27.81 | % | |||||||||
Bond Trust | 27.60 | % | |||||||||
Global Bond Trust | 26.67 | % | |||||||||
Core Bond Trust | 26.11 | % | |||||||||
International Growth Stock Trust | 25.05 | % | |||||||||
International Core Trust | 24.55 | % | |||||||||
US Equity Trust | 24.00 | % | |||||||||
Small Company Value Trust | 18.92 | % | |||||||||
International Value Trust | 18.75 | % | |||||||||
Strategic Equity Allocation | 17.29 | % | |||||||||
Cap Appreciation Trust | 17.04 | % | |||||||||
Short Term Government Income Trust | 16.73 | % | |||||||||
Mid Cap Stock Trust | 15.90 | % | |||||||||
Fundamental Large Cap Value Trust | 15.18 | % | |||||||||
Equity Income Trust | 15.12 | % | |||||||||
Mid Value Trust | 14.76 | % | |||||||||
Total Return Fund | 14.28 | % | |||||||||
Small Cap Growth Trust | 12.12 | % | |||||||||
Blue Chip Growth Trust | 10.66 | % | |||||||||
Strategic Growth Fund | 7.46 | % | |||||||||
International Growth Opportunities Fund | 7.44 | % | |||||||||
Small Cap Value Trust | 7.12 | % | |||||||||
Lifestyle Moderate MVP | |||||||||||
Fundamental All Cap Core Fund | 48.66 | % | |||||||||
New Income Trust | 15.27 | % | |||||||||
Global Conservative Absolute Fund | 13.12 | % | |||||||||
Bond Trust | 10.14 | % | |||||||||
Global Bond Trust | 9.60 | % | |||||||||
Core Bond Trust | 9.55 | % | |||||||||
International Core Trust | 9.02 | % | |||||||||
Small Comp Growth Trust | 8.34 | % | |||||||||
International Growth Stock Trust | 8.32 | % | |||||||||
International Value Trust | 7.34 | % | |||||||||
Alpha Opportunities Trust | 7.06 | % | |||||||||
Short Term Government Income Trust | 5.64 | % | |||||||||
Equity Income Trust | 5.59 | % | |||||||||
Total Return Fund | 5.18 | % | |||||||||
Lifestyle Conservative MVP | |||||||||||
Fundamental All Cap Core Fund | 23.74 | % | |||||||||
New Income Trust | 13.05 | % | |||||||||
Global Conservative Absolute Fund | 11.01 | % | |||||||||
Bond Trust | 8.71 | % | |||||||||
Global Bond Trust | 8.46 | % | |||||||||
Core Bond Trust | 8.11 | % | |||||||||
Short Term Government Income Trust | 5.10 | % |
Dividends and Distributions | |||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | Beginning Share Amount | | Shares Purchased | | Shares Sold | | Ending Share Amount | | Income Distributions Received | | Capital Gain Distributions Received | | Realized Gain (loss) | | Ending Value | ||||||||||||||||||||
Lifestyle Aggressive MVP | |||||||||||||||||||||||||||||||||||
All Cap Core | 401,867 | — | (21,133 | ) | 380,734 | — | — | $ | 284,676 | $ | 10,580,603 | ||||||||||||||||||||||||
Alpha Opportunities | 2,445,209 | — | (139,375 | ) | 2,305,834 | — | — | (703,706 | ) | 25,271,942 | |||||||||||||||||||||||||
Blue Chip Growth | 876,464 | — | (9,552 | ) | 866,912 | — | — | 141,649 | 26,501,494 | ||||||||||||||||||||||||||
Capital Appreciation | 1,648,100 | — | (8,339 | ) | 1,639,761 | — | — | 44,505 | 21,628,446 | ||||||||||||||||||||||||||
Emerging Markets Value | 3,822,159 | — | — | 3,822,159 | — | — | — | 29,621,729 | |||||||||||||||||||||||||||
Equity Income | 2,387,939 | — | (271,666 | ) | 2,116,273 | — | — | 1,121,134 | 35,532,220 | ||||||||||||||||||||||||||
Fundamental Large Cap Value | 2,177,306 | — | (26,769 | ) | 2,150,537 | — | — | 138,702 | 35,290,313 | ||||||||||||||||||||||||||
International Core | 2,238,390 | 70,673 | — | 2,309,063 | — | — | — | 21,543,559 | |||||||||||||||||||||||||||
International Growth Opportunities | 697,206 | — | — | 697,206 | — | — | — | 8,213,089 | |||||||||||||||||||||||||||
International Growth Stock | 983,870 | — | (1,141 | ) | 982,729 | — | — | 3,680 | 15,458,327 | ||||||||||||||||||||||||||
International Value | 2,071,043 | 32,031 | — | 2,103,074 | — | — | — | 23,890,920 | |||||||||||||||||||||||||||
Mid Cap Stock | 890,291 | — | (26,087 | ) | 864,204 | — | — | 29,987 | 12,893,925 | ||||||||||||||||||||||||||
Mid Value | 875,210 | — | (129,587 | ) | 745,623 | — | — | 81,796 | 8,828,174 | ||||||||||||||||||||||||||
Real Estate Securities | 426,949 | — | (73,808 | ) | 353,141 | — | — | 520,141 | 7,172,295 | ||||||||||||||||||||||||||
Small Cap Growth | 399,371 | 22,013 | — | 421,384 | — | — | — | 3,430,064 | |||||||||||||||||||||||||||
Small Cap Opportunities | 170,344 | — | (12,095 | ) | 158,249 | — | — | 189,953 | 4,633,519 | ||||||||||||||||||||||||||
Small Cap Value | 119,594 | — | (10,669 | ) | 108,925 | — | — | 58,384 | 2,302,683 | ||||||||||||||||||||||||||
Small Company Growth | 86,217 | — | (4,296 | ) | 81,921 | — | — | 62,866 | 2,253,646 | ||||||||||||||||||||||||||
Small Company Value | 142,098 | — | (15,598 | ) | 126,500 | — | — | 90,857 | 2,710,893 | ||||||||||||||||||||||||||
Strategic Equity Allocation | 1,223,888 | 2,181,405 | (2,438,432 | ) | 966,861 | — | — | (598,621 | ) | 15,788,833 | |||||||||||||||||||||||||
Strategic Growth | 1,489,933 | — | (84,095 | ) | 1,405,838 | — | — | 55,336 | 21,776,437 | ||||||||||||||||||||||||||
U.S. Equity | 1,167,917 | — | (102,549 | ) | 1,065,368 | — | — | 826,639 | 21,009,064 | ||||||||||||||||||||||||||
— | — | $ | 2,347,978 | $ | 356,332,175 |
Dividends and Distributions | |||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | Beginning Share Amount | | Shares Purchased | | Shares Sold | | Ending Share Amount | | Income Distributions Received | | Capital Gain Distributions Received | | Realized Gain (loss) | | Ending Value | ||||||||||||||||||||
Lifestyle Growth MVP | |||||||||||||||||||||||||||||||||||
All Cap Core | 4,064,879 | — | (243,928 | ) | 3,820,951 | — | — | $ | 2,190,154 | $ | 106,184,220 | ||||||||||||||||||||||||
Alpha Opportunities | 34,258,666 | — | (2,198,635 | ) | 32,060,031 | — | — | (3,828,370 | ) | 351,377,940 | |||||||||||||||||||||||||
Blue Chip Growth | 9,976,068 | — | (181,465 | ) | 9,794,603 | — | — | 3,803,354 | 299,421,025 | ||||||||||||||||||||||||||
Bond | 121,139,144 | 30,318,926 | (44,003,046 | ) | 107,455,024 | — | — | (8,531,999 | ) | 1,501,146,689 | |||||||||||||||||||||||||
Capital Appreciation | 20,494,383 | — | (203,315 | ) | 20,291,068 | — | — | 864,115 | 267,639,192 | ||||||||||||||||||||||||||
Core Bond | 19,965,892 | — | (2,293,182 | ) | 17,672,710 | — | — | (1,082,275 | ) | 241,055,769 | |||||||||||||||||||||||||
Emerging Markets Value | 49,337,536 | — | (185,138 | ) | 49,152,398 | — | — | 320,289 | 380,931,081 | ||||||||||||||||||||||||||
Equity Income | 29,400,397 | — | (3,566,503 | ) | 25,833,894 | — | — | 31,436,834 | 433,751,083 | ||||||||||||||||||||||||||
Fundamental Large Cap Value | 25,571,607 | — | (564,325 | ) | 25,007,282 | — | — | 2,942,027 | 410,369,505 | ||||||||||||||||||||||||||
Global Bond | 10,678,964 | — | (1,586,248 | ) | 9,092,716 | — | — | 1,977,596 | 117,477,893 | ||||||||||||||||||||||||||
Global Conservative Absolute Return | 3,982,705 | — | — | 3,982,705 | — | — | — | 38,751,719 | |||||||||||||||||||||||||||
International Core | 27,132,349 | — | (560,207 | ) | 26,572,142 | — | — | (2,382,899 | ) | 247,918,085 | |||||||||||||||||||||||||
International Growth Opportunities | 9,421,233 | — | (362,089 | ) | 9,059,144 | — | — | 733,309 | 106,716,712 | ||||||||||||||||||||||||||
International Growth Stock | 12,326,422 | — | (897,583 | ) | 11,428,839 | — | — | 2,115,711 | 179,775,632 | ||||||||||||||||||||||||||
International Value | 26,373,147 | — | (1,568,610 | ) | 24,804,537 | — | — | (7,500,016 | ) | 281,779,545 | |||||||||||||||||||||||||
Mid Cap Stock | 9,487,165 | — | (387,585 | ) | 9,099,580 | — | — | 2,531,235 | 135,765,732 | ||||||||||||||||||||||||||
Mid Value | 13,699,973 | — | (2,108,765 | ) | 11,591,208 | — | — | 10,290,946 | 137,239,899 | ||||||||||||||||||||||||||
New Income | 35,430,565 | — | (4,036,271 | ) | 31,394,294 | — | — | (3,717,526 | ) | 416,602,277 | |||||||||||||||||||||||||
Short Term Government Income | 3,036,825 | — | (261,538 | ) | 2,775,287 | — | — | (196,264 | ) | 34,552,322 | |||||||||||||||||||||||||
Small Cap Growth | 8,187,998 | — | — | 8,187,998 | — | — | — | 66,650,304 | |||||||||||||||||||||||||||
Small Cap Opportunities | 2,156,254 | — | (172,135 | ) | 1,984,119 | — | — | 1,780,796 | 58,095,015 | ||||||||||||||||||||||||||
Small Cap Value | 2,941,638 | — | (288,201 | ) | 2,653,437 | — | — | 3,259,797 | 56,093,650 | ||||||||||||||||||||||||||
Small Company Growth | 2,235,003 | — | (144,817 | ) | 2,090,186 | — | — | 1,829,450 | 57,501,020 | ||||||||||||||||||||||||||
Small Company Value | 4,442,137 | — | (515,737 | ) | 3,926,400 | — | — | 1,767,611 | 84,142,749 | ||||||||||||||||||||||||||
Strategic Equity Allocation | 189,875,971 | — | (14,519,211 | ) | 175,356,760 | — | — | 50,454,777 | 2,863,575,891 | ||||||||||||||||||||||||||
Strategic Growth | 18,499,354 | — | (1,079,629 | ) | 17,419,725 | — | — | 877,563 | 269,831,546 | ||||||||||||||||||||||||||
Total Return | 16,377,590 | 113,232 | (1,693,565 | ) | 14,797,257 | $ | 1,526,524 | — | (1,134,054 | ) | 201,834,592 | ||||||||||||||||||||||||
U.S. Equity | 18,231,867 | — | (1,671,591 | ) | 16,560,276 | — | — | 16,031,222 | 326,568,648 | ||||||||||||||||||||||||||
$ | 1,526,524 | — | $ | 106,833,383 | $ | 9,672,749,735 | |||||||||||||||||||||||||||||
Lifestyle Balanced MVP | |||||||||||||||||||||||||||||||||||
All Cap Core | 3,061,862 | — | (128,248 | ) | 2,933,614 | — | — | $ | 2,409,211 | $ | 81,525,126 | ||||||||||||||||||||||||
Alpha Opportunities | 19,206,889 | — | (989,224 | ) | 18,217,665 | — | — | (2,718,865 | ) | 199,665,608 | |||||||||||||||||||||||||
Blue Chip Growth | 5,376,443 | — | (35,043 | ) | 5,341,400 | — | — | 526,921 | 163,286,597 | ||||||||||||||||||||||||||
Bond | 194,497,305 | 5,587,077 | (22,791,215 | ) | 177,293,167 | — | — | (6,060,731 | ) | 2,476,785,548 | |||||||||||||||||||||||||
Capital Appreciation | 11,127,125 | — | — | 11,127,125 | — | — | — | 146,766,779 | |||||||||||||||||||||||||||
Core Bond | 27,292,948 | — | (2,578,050 | ) | 24,714,898 | — | — | (1,908,827 | ) | 337,111,214 | |||||||||||||||||||||||||
Emerging Markets Value | 32,008,643 | — | — | 32,008,643 | — | — | — | 248,066,983 | |||||||||||||||||||||||||||
Equity Income | 16,311,628 | — | (1,749,890 | ) | 14,561,738 | — | — | 15,938,334 | 244,491,589 | ||||||||||||||||||||||||||
Fundamental Large Cap Value | 13,491,557 | — | (46,566 | ) | 13,444,991 | — | — | 257,510 | 220,632,301 | ||||||||||||||||||||||||||
Global Bond | 14,712,998 | — | (1,955,094 | ) | 12,757,904 | — | — | 3,608,143 | 164,832,114 | ||||||||||||||||||||||||||
Global Conservative Absolute Return | 3,715,472 | — | — | 3,715,472 | — | — | — | 36,151,543 | |||||||||||||||||||||||||||
International Core | 14,901,160 | — | (184,305 | ) | 14,716,855 | — | — | 661,651 | 137,308,256 | ||||||||||||||||||||||||||
International Growth Opportunities | 4,873,885 | — | (115,146 | ) | 4,758,739 | — | — | 248,737 | 56,057,947 | ||||||||||||||||||||||||||
International Growth Stock | 6,734,683 | — | (421,105 | ) | 6,313,578 | — | — | 872,579 | 99,312,590 | ||||||||||||||||||||||||||
International Value | 13,774,489 | 192,400 | (919,307 | ) | 13,047,582 | — | — | 2,944,506 | 148,220,527 | ||||||||||||||||||||||||||
Mid Cap Stock | 7,725,698 | — | (170,062 | ) | 7,555,636 | — | — | 1,166,163 | 112,730,085 | ||||||||||||||||||||||||||
Mid Value | 11,060,590 | — | (1,537,332 | ) | 9,523,258 | — | — | 7,370,733 | 112,755,377 | ||||||||||||||||||||||||||
New Income | 48,534,784 | — | (4,509,388 | ) | 44,025,396 | — | — | (1,522,214 | ) | 584,217,007 | |||||||||||||||||||||||||
Short Term Government Income | 4,835,832 | — | (306,419 | ) | 4,529,413 | — | — | (137,961 | ) | 56,391,197 | |||||||||||||||||||||||||
Small Cap Growth | 5,296,234 | 541,984 | (17,397 | ) | 5,820,821 | — | — | 50,624 | 47,381,481 | ||||||||||||||||||||||||||
Small Cap Value | 2,396,722 | — | (196,263 | ) | 2,200,459 | — | — | 2,288,917 | 46,517,705 | ||||||||||||||||||||||||||
Small Company Growth | 1,467,891 | 1,132 | (73,024 | ) | 1,395,999 | — | — | 1,430,330 | 38,403,932 | ||||||||||||||||||||||||||
Small Company Value | 2,902,398 | — | (270,542 | ) | 2,631,856 | — | — | 2,553,697 | 56,400,670 | ||||||||||||||||||||||||||
Strategic Equity Allocation | 108,729,299 | — | (6,952,187 | ) | 101,777,112 | — | — | 25,710,283 | 1,662,020,240 | ||||||||||||||||||||||||||
Strategic Growth | 10,043,954 | — | (397,000 | ) | 9,646,954 | — | — | 397,800 | 149,431,310 | ||||||||||||||||||||||||||
Total Return | 22,569,076 | 160,002 | (1,913,375 | ) | 20,815,703 | $ | 2,156,922 | — | (1,224,627 | ) | 283,926,193 | ||||||||||||||||||||||||
U.S. Equity | 8,804,189 | — | (663,785 | ) | 8,140,404 | — | — | 7,392,597 | 160,528,760 | ||||||||||||||||||||||||||
$ | 2,156,922 | — | $ | 62,255,511 | $ | 8,070,918,679 |
Dividends and Distributions | |||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | Beginning Share Amount | | Shares Purchased | | Shares Sold | | Ending Share Amount | | Income Distributions Received | | Capital Gain Distributions Received | | Realized Gain (loss) | | Ending Value | ||||||||||||||||||||
Lifestyle Moderate MVP | |||||||||||||||||||||||||||||||||||
Alpha Opportunities | 4,200,090 | — | (162,943 | ) | 4,037,147 | — | — | ($478,051 | ) | $ | 44,247,129 | ||||||||||||||||||||||||
Blue Chip Growth | 1,445,876 | 1,224 | — | 1,447,100 | — | — | — | 44,237,841 | |||||||||||||||||||||||||||
Bond | 70,877,560 | 298,953 | (6,037,284 | ) | 65,139,229 | — | — | (2,066,485 | ) | 909,995,026 | |||||||||||||||||||||||||
Capital Appreciation | 1,623,235 | 18,944 | — | 1,642,179 | — | — | — | 21,660,341 | |||||||||||||||||||||||||||
Core Bond | 9,827,883 | — | (791,768 | ) | 9,036,115 | — | — | (543,045 | ) | 123,252,614 | |||||||||||||||||||||||||
Equity Income | 5,893,876 | — | (512,600 | ) | 5,381,276 | — | — | 4,468,244 | 90,351,617 | ||||||||||||||||||||||||||
Fundamental All Cap Core | 5,199,523 | 28,466 | — | 5,227,989 | — | — | — | 73,453,249 | |||||||||||||||||||||||||||
Global Bond | 5,215,191 | — | (622,156 | ) | 4,593,035 | — | — | 707,996 | 59,342,009 | ||||||||||||||||||||||||||
Global Conservative Absolute Return | 1,446,937 | — | — | 1,446,937 | — | — | — | 14,078,693 | |||||||||||||||||||||||||||
International Core | 5,327,087 | 78,526 | — | 5,405,613 | — | — | — | 50,434,371 | |||||||||||||||||||||||||||
International Growth Opportunities | 1,580,964 | — | (7,337 | ) | 1,573,627 | — | — | 14,975 | 18,537,325 | ||||||||||||||||||||||||||
International Growth Stock | 2,204,296 | — | (107,432 | ) | 2,096,864 | — | — | 268,207 | 32,983,675 | ||||||||||||||||||||||||||
International Value | 5,255,245 | 10,674 | (158,245 | ) | 5,107,674 | — | — | 567,705 | 58,023,178 | ||||||||||||||||||||||||||
Mid Cap Stock | 1,504,592 | — | (20,822 | ) | 1,483,770 | — | — | 148,177 | 22,137,854 | ||||||||||||||||||||||||||
Mid Value | 2,163,417 | — | (272,871 | ) | 1,890,546 | — | — | 1,427,275 | 22,384,069 | ||||||||||||||||||||||||||
New Income | 17,447,688 | — | (1,378,221 | ) | 16,069,467 | — | — | (221,464 | ) | 213,241,825 | |||||||||||||||||||||||||
Short Term Government Income | 1,604,648 | — | (78,596 | ) | 1,526,052 | — | — | (35,656 | ) | 18,999,352 | |||||||||||||||||||||||||
Small Cap Growth | 1,309,393 | 104,418 | (587 | ) | 1,413,224 | — | — | 147 | 11,503,647 | ||||||||||||||||||||||||||
Small Cap Value | 623,699 | — | (42,214 | ) | 581,485 | — | — | 496,572 | 12,292,589 | ||||||||||||||||||||||||||
Small Company Growth | 338,856 | — | (14,299 | ) | 324,557 | — | — | 266,594 | 8,928,576 | ||||||||||||||||||||||||||
Small Company Value | 704,310 | — | (54,850 | ) | 649,460 | — | — | 543,485 | 13,917,919 | ||||||||||||||||||||||||||
Strategic Equity Allocation | 24,808,797 | — | (1,233,608 | ) | 23,575,189 | — | — | 4,660,069 | 384,982,829 | ||||||||||||||||||||||||||
Strategic Growth | �� | 1,465,598 | — | (43,926 | ) | 1,421,672 | — | — | (20,321 | ) | 22,021,702 | ||||||||||||||||||||||||
Total Return | 8,064,383 | 57,709 | (570,094 | ) | 7,551,998 | $ | 777,976 | — | (366,113 | ) | 103,009,248 | ||||||||||||||||||||||||
U.S. Equity | 1,228,620 | — | (71,175 | ) | 1,157,445 | — | — | 656,676 | 22,824,808 | ||||||||||||||||||||||||||
$ | 777,976 | — | $ | 10,494,987 | $ | 2,396,841,486 | |||||||||||||||||||||||||||||
Lifestyle Conservative MVP | |||||||||||||||||||||||||||||||||||
Blue Chip Growth | 576,592 | 52,518 | (32,986 | ) | 596,124 | — | — | $ | 234,277 | $ | 18,223,509 | ||||||||||||||||||||||||
Bond | 59,021,144 | 289,227 | (3,342,659 | ) | 55,967,712 | — | — | (131,680 | ) | 781,868,936 | |||||||||||||||||||||||||
Capital Appreciation | 727,030 | 75,688 | (42,801 | ) | 759,917 | — | — | (124,709 | ) | 10,023,305 | |||||||||||||||||||||||||
Core Bond | 8,107,078 | — | (428,933 | ) | 7,678,145 | — | — | (328,629 | ) | 104,729,900 | |||||||||||||||||||||||||
Equity Income | 1,846,600 | 78,479 | (205,383 | ) | 1,719,696 | — | — | 524,175 | 28,873,702 | ||||||||||||||||||||||||||
Fundamental All Cap Core | 2,475,435 | 307,408 | (231,442 | ) | 2,551,401 | — | — | (107,239 | ) | 35,847,183 | |||||||||||||||||||||||||
Global Bond | 4,451,872 | — | (404,736 | ) | 4,047,136 | — | — | 773,879 | 52,288,998 | ||||||||||||||||||||||||||
Global Conservative Absolute Return | 1,215,051 | — | — | 1,215,051 | — | — | — | 11,822,445 | |||||||||||||||||||||||||||
International Core | 2,155,622 | 203,765 | (178,314 | ) | 2,181,073 | — | — | 128,458 | 20,349,416 | ||||||||||||||||||||||||||
International Growth Opportunities | 307,476 | 36,450 | (31,061 | ) | 312,865 | — | — | 60,093 | 3,685,555 | ||||||||||||||||||||||||||
International Growth Stock | 375,622 | 25,822 | (30,595 | ) | 370,849 | — | — | 72,412 | 5,833,459 | ||||||||||||||||||||||||||
International Value | 1,961,020 | 320,105 | (366,562 | ) | 1,914,563 | — | — | 481,530 | 21,749,434 | ||||||||||||||||||||||||||
Mid Cap Stock | 616,990 | 69,641 | (61,860 | ) | 624,771 | — | — | (12,248 | ) | 9,321,578 | |||||||||||||||||||||||||
Mid Value | 885,528 | 32,331 | (125,864 | ) | 791,995 | — | — | 98,623 | 9,377,220 | ||||||||||||||||||||||||||
New Income | 14,482,953 | — | (742,549 | ) | 13,740,404 | — | — | (353,957 | ) | 182,335,160 | |||||||||||||||||||||||||
Short Term Government Income | 1,408,136 | 4,668 | (31,743 | ) | 1,381,061 | — | — | (16,001 | ) | 17,194,205 | |||||||||||||||||||||||||
Small Cap Growth | 872,080 | 160,564 | (112,434 | ) | 920,210 | — | — | (127,970 | ) | 7,490,511 | |||||||||||||||||||||||||
Small Cap Value | 607,738 | 49,277 | (83,194 | ) | 573,821 | — | — | 250,455 | 12,130,566 | ||||||||||||||||||||||||||
Strategic Equity Allocation | 7,713,094 | 266,947 | (456,317 | ) | 7,523,724 | — | — | 1,685,003 | 122,862,415 | ||||||||||||||||||||||||||
Total Return | 6,729,502 | 49,551 | (287,221 | ) | 6,491,832 | $ | 668,012 | — | (168,911 | ) | 88,548,590 | ||||||||||||||||||||||||
$ | 668,012 | — | $ | 2,937,561 | $ | 1,544,556,087 |
(Bankr. S.D.N.Y.) (the “Litigation Trust Action”) and Edward S. Weisfelner, as Trustee of the LB Creditor Trust v. Reichman, Adversary Proceeding No. 12-1570 (Bankr. S.D.N.Y.) (“Reichman ”). Like prior versions of the complaints, the amended Creditor Trust Action and Reichman complaints allege claims against former Lyondell shareholders under state law for constructive fraudulent transfer and intentional fraudulent transfer, and the amended Litigation Trust Action complaint alleges a claim against the former shareholders under federal law for intentional fraudulent transfer. The Lyondell Funds have not been individually named as defendants in any of the actions, but are members of the putative defendant classes in the Litigation Trust Action and Reichman complaints.
(1) | information relating to each Subadvisor’s business, including current subadvisory services to the Trust (and other funds in the John Hancock family of funds); |
(2) | the historical and current performance of each Fund and comparative performance information relating to the Fund’s benchmark and comparable funds; and |
(3) | the subadvisory fee for each Fund, including any breakpoints, and comparative fee information, where available, prepared by an independent third-party provider of mutual fund data. |
(1) | Each Subadvisor has extensive experience and demonstrated skills as a manager; |
(2) | Each Fund generally has underperformed the historical performance of comparable funds and the Fund’s respective benchmarks. The Board concluded that performance is being monitored and reasonably addressed; |
(3) | The subadvisory fees are reasonable in relation to the level and quality of services being provided; and |
(4) | Certain breakpoints in subadvisory fees are reflected as breakpoints in the advisory fees for the Funds in order to permit shareholders to benefit from economies of scale if these Funds grow. |
Portfolio (Subadviser) | | Performance as of 12-31-2015 | | Fees and Expenses | | Comments | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lifestyle Aggressive MVP (Manulife Asset Management (U.S.)) (Manulife Asset Management (North America)) | Benchmark Index — The Trust underperformed for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one-, three- and five-year periods. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group average for this purpose. Net management fees for this Trust are lower than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index and to the peer group average. | |||||||||||
Lifestyle Balanced MVP (Manulife Asset Management (U.S.)) (Manulife Asset Management (North America)) | Benchmark Index — The Trust underperformed for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one-, three- and five-year periods. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are lower than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index and to the peer group average. | |||||||||||
Lifestyle Conservative MVP (Manulife Asset Management (U.S.)) (Manulife Asset Management (North America)) | Benchmark Index — The Trust underperformed for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-year period and underperformed the average for the three- and five-year periods. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are lower than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index and to the peer group average for the three- and five-year periods. The Board noted the Trust’s favorable performance relative to the peer group average for the one-year period. The Board noted the Trust’s favorable performance relative to the Morningstar peer group average for the year-to-date period ended April 30, 2016. | |||||||||||
Lifestyle Growth MVP (Manulife Asset Management (U.S.)) (Manulife Asset Management (North America)) | Benchmark Index — The Trust underperformed for the one-, three- and five-year periods. Broadridge Category — The Trust underperformed the average for the one-, three- and five-year periods. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are lower than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index and to the peer group average. |
Portfolio (Subadviser) | | Performance as of 12-31-2015 | | Fees and Expenses | | Comments | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lifestyle Moderate MVP (Manulife Asset Management (U.S.)) (Manulife Asset Management (North America)) | Benchmark Index — The Trust underperformed for the one-, three- and five-year periods. Broadridge Category — The Trust outperformed the average for the one-year period and underperformed the average for the three- and five-year periods. | Subadviser fee comparative data not provided due to limited size of Broadridge peer group for this purpose. Net management fees for this Trust are lower than the peer group median. Total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s one-, three- and five-year performance relative to the benchmark index and to the peer group average for the three- and five-year periods. The Board noted the Trust’s favorable performance relative to the peer group average for the one-year period. The Board noted the Trust’s favorable performance relative to the Morningstar peer group average for the year-to-date period ended April 30, 2016. |
Portfolio compositions | 3 |
Shareholder expense example | 4 |
Summary portfolio of investments (See below for each portfolio’s page #) | 7 |
Statements of assets and liabilities | 31 |
Statements of operations | 35 |
Statements of changes in net assets | 39 |
Financial highlights | 42 |
Notes to financial statements | 48 |
Special shareholder meeting | 82 |
Evaluation of advisory and subadvisory agreements by the board of trustees | 83 |
For more information | 91 |
Portfolio | Summary portfolio of investments | |||||
---|---|---|---|---|---|---|
Active Bond Trust | 7 | |||||
Bond Trust | 9 | |||||
Core Bond Trust | 10 | |||||
Global Bond Trust | 12 | |||||
High Yield Trust | 14 | |||||
Income Trust | 16 | |||||
Investment Quality Bond Trust | 18 | |||||
Money Market Trust | 20 | |||||
New Income Trust | 21 | |||||
Short Term Government Income Trust | 22 | |||||
Strategic Income Opportunities Trust | 23 | |||||
Total Bond Market Trust B | 25 | |||||
Ultra Short Term Bond Trust | 27 |
Portfolio Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Corporate bonds | 41.2 | |||||
Collateralized mortgage obligations | 16.9 | |||||
U.S. Government Agency | 13.5 | |||||
U.S. Government | 11.8 | |||||
Asset backed securities | 10.5 | |||||
Foreign government obligations | 0.7 | |||||
Capital preferred securities | 0.6 | |||||
Preferred securities | 0.5 | |||||
Municipal bonds | 0.4 | |||||
Term loans | 0.2 | |||||
Short-term investments and other | 3.7 |
Portfolio Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Corporate bonds | 40.6 | |||||
U.S. Government Agency | 26.7 | |||||
Asset backed securities | 15.7 | |||||
U.S. Government | 12.8 | |||||
Collateralized mortgage obligations | 1.5 | |||||
Capital preferred securities | 0.4 | |||||
Short-term investments and other | 2.3 |
Portfolio Composition** | % of Total | |||||
---|---|---|---|---|---|---|
U.S. Government Agency | 28.8 | |||||
U.S. Government | 27.2 | |||||
Corporate bonds | 21.6 | |||||
Asset backed securities | 13.9 | |||||
Collateralized mortgage obligations | 4.7 | |||||
Foreign government obligations | 2.1 | |||||
Municipal bonds | 0.9 | |||||
Short-term investments | 0.8 |
Portfolio Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Foreign government obligations | 34.7 | |||||
Corporate bonds | 26.9 | |||||
Collateralized mortgage obligations | 11.5 | |||||
U.S. Government | 11.3 | |||||
U.S. Government Agency | 8.8 | |||||
Asset backed securities | 4.6 | |||||
Term loans | 0.4 | |||||
Municipal bonds | 0.2 | |||||
Escrow shares | 0.1 | |||||
Purchased options | 0.1 | |||||
Short-term investments and other | 1.4 |
Portfolio Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Corporate bonds | 86.5 | |||||
Term loans | 4.0 | |||||
Common stocks | 2.3 | |||||
Asset backed securities | 2.1 | |||||
Preferred securities | 1.3 | |||||
U.S. Government | 1.1 | |||||
Foreign government obligations | 0.7 | |||||
Collateralized mortgage obligations | 0.4 | |||||
Capital preferred securities | 0.3 | |||||
Convertible bonds | 0.2 | |||||
Short-term investments and other | 1.1 |
Portfolio Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Common stocks | 48.1 | |||||
Corporate bonds | 33.6 | |||||
Preferred securities | 4.3 | |||||
Term loans | 3.0 | |||||
Convertible bonds | 2.5 | |||||
Equity linked securities | 2.3 | |||||
Short-term investments and other | 6.2 |
Portfolio Composition** | % of Total | |||||
---|---|---|---|---|---|---|
U.S. Government Agency | 29.2 | |||||
Corporate bonds | 25.9 | |||||
Asset backed securities | 12.5 | |||||
U.S. Government | 10.3 | |||||
Collateralized mortgage obligations | 9.6 | |||||
Term loans | 2.8 | |||||
Foreign government obligations | 1.7 | |||||
Municipal bonds | 0.9 | |||||
Short-term investments | 7.1 |
Portfolio Composition** | % of Total | |||||
---|---|---|---|---|---|---|
U.S. Government Agency | 81.6 | |||||
U.S. Government | 18.4 |
Portfolio Composition* | % of Total | |||||
---|---|---|---|---|---|---|
U.S. Government Agency | 31.9 | |||||
Corporate bonds | 27.4 | |||||
U.S. Government | 12.4 | |||||
Collateralized mortgage obligations | 11.9 | |||||
Asset backed securities | 9.4 | |||||
Municipal bonds | 1.7 | |||||
Term loans | 1.5 | |||||
Foreign government obligations | 1.2 | |||||
Short-term investments and other | 2.6 |
Portfolio Composition* | % of Total | |||||
---|---|---|---|---|---|---|
U.S. Government Agency | 64.1 | |||||
U.S. Government | 23.6 | |||||
Collateralized mortgage obligations | 4.5 | |||||
Short-term investments and other | 7.8 |
Portfolio Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Corporate bonds | 49.6 | |||||
Foreign government obligations | 21.1 | |||||
Preferred securities | 6.4 | |||||
Asset backed securities | 5.8 | |||||
Collateralized mortgage obligations | 5.5 | |||||
Municipal bonds | 5.3 | |||||
Common stocks | 2.9 | |||||
Convertible bonds | 1.7 | |||||
Purchased options | 0.4 | |||||
Capital preferred securities | 0.3 | |||||
Short-term investments and other | 1.0 |
Portfolio Composition** | % of Total | |||||
---|---|---|---|---|---|---|
U.S. Government | 35.4 | |||||
U.S. Government Agency | 29.5 | |||||
Corporate bonds | 24.9 | |||||
Foreign government obligations | 2.5 | |||||
Collateralized mortgage obligations | 0.9 | |||||
Municipal bonds | 0.8 | |||||
Asset backed securities | 0.3 | |||||
Short-term investments | 5.7 |
Portfolio Composition* | % of Total | |||||
---|---|---|---|---|---|---|
Corporate bonds | 51.9 | |||||
U.S. Government | 22.7 | |||||
Asset backed securities | 20.2 | |||||
U.S. Government Agency | 3.6 | |||||
Collateralized mortgage obligations | 0.5 | |||||
Short-term investments and other | 1.1 |
* | As a percentage of net assets. |
** | As a percentage of total investments. |
Beginning Account Value 1/1/2016 | Ending Account Value 6/30/2016 | Expenses Paid During Period1 1/1/2016 – 6/30/2016 | Annualized Expense Ratio | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Active Bond Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,053.20 | $ | 3.42 | 0.67 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.50 | 3.37 | 0.67 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,053.10 | 4.49 | 0.88 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.50 | 4.42 | 0.88 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,053.20 | 3.17 | 0.62 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.80 | 3.12 | 0.62 | % | ||||||||||||||
Bond Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,051.10 | $ | 3.26 | 0.64 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.70 | 3.22 | 0.64 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,049.50 | 4.28 | 0.84 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.70 | 4.22 | 0.84 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,051.20 | 3.01 | 0.59 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.90 | 2.97 | 0.59 | % | ||||||||||||||
Core Bond Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,052.30 | $ | 3.37 | 0.66 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.60 | 3.32 | 0.66 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,051.50 | 4.39 | 0.86 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.60 | 4.32 | 0.86 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,052.50 | 3.11 | 0.61 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.80 | 3.07 | 0.61 | % |
Beginning Account Value 1/1/2016 | Ending Account Value 6/30/2016 | Expenses Paid During Period1 1/1/2016 – 6/30/2016 | Annualized Expense Ratio | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,099.20 | $ | 4.12 | 0.79 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.90 | 3.97 | 0.79 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,097.80 | 5.16 | 0.99 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,019.90 | 4.97 | 0.99 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,099.60 | 3.86 | 0.74 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.20 | 3.72 | 0.74 | % | ||||||||||||||
High Yield Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,085.10 | $ | 3.84 | 0.74 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.20 | 3.72 | 0.74 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,083.50 | 4.87 | 0.94 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.20 | 4.72 | 0.94 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,086.30 | 3.53 | 0.68 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.50 | 3.42 | 0.68 | % | ||||||||||||||
Income Trust | |||||||||||||||||||
Series NAV — Actual | $ | 1,000.00 | $ | 1,059.90 | $ | 4.15 | 0.81 | % | |||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.80 | 4.07 | 0.81 | % | ||||||||||||||
Investment Quality Bond Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,055.40 | $ | 3.37 | 0.66 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.60 | 3.32 | 0.66 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,054.40 | 4.39 | 0.86 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.60 | 4.32 | 0.86 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,055.50 | 3.12 | 0.61 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.80 | 3.07 | 0.61 | % | ||||||||||||||
Money Market Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,000.10 | $ | 1.94 | 0.39 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.90 | 1.96 | 0.39 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,000.00 | 2.04 | 0.41 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.80 | 2.06 | 0.41 | % | ||||||||||||||
Series NAV — Actual2 | 1,000.00 | 1,000.20 | 0.46 | 0.28 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.50 | 1.41 | 0.28 | % | ||||||||||||||
New Income Trust | |||||||||||||||||||
Series NAV — Actual | $ | 1,000.00 | $ | 1,050.70 | $ | 2.86 | 0.56 | % | |||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.10 | 2.82 | 0.56 | % | ||||||||||||||
Short Term Government Income Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,016.30 | $ | 3.16 | 0.63 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.70 | 3.17 | 0.63 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,016.30 | 4.16 | 0.83 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.70 | 4.17 | 0.83 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,016.30 | 2.91 | 0.58 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.00 | 2.92 | 0.58 | % | ||||||||||||||
Strategic Income Opportunities Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,036.70 | $ | 3.60 | 0.71 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.30 | 3.57 | 0.71 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,035.90 | 4.61 | 0.91 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.30 | 4.57 | 0.91 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,036.80 | 3.34 | 0.66 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.60 | 3.32 | 0.66 | % | ||||||||||||||
Total Bond Market Trust B | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,053.40 | $ | 1.48 | 0.29 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.40 | 1.46 | 0.29 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,052.40 | 2.50 | 0.49 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,022.40 | 2.46 | 0.49 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,054.50 | 1.23 | 0.24 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,023.70 | 1.21 | 0.24 | % |
Beginning Account Value 1/1/2016 | Ending Account Value 6/30/2016 | Expenses Paid During Period1 1/1/2016 – 6/30/2016 | Annualized Expense Ratio | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ultra Short Term Bond Trust | |||||||||||||||||||
Series I — Actual | $ | 1,000.00 | $ | 1,005.20 | $ | 3.19 | 0.64 | % | |||||||||||
Series I — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.70 | 3.22 | 0.64 | % | ||||||||||||||
Series II — Actual | 1,000.00 | 1,004.30 | 4.19 | 0.84 | % | ||||||||||||||
Series II — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,020.70 | 4.22 | 0.84 | % | ||||||||||||||
Series NAV — Actual | 1,000.00 | 1,006.00 | 2.94 | 0.59 | % | ||||||||||||||
Series NAV — Hypothetical (5% annualized return before expenses) | 1,000.00 | 1,021.90 | 2.97 | 0.59 | % |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the period (182), and divided by 366 (to reflect the one-half year period). |
2 | The inception date for Money Market Trust Series NAV shares is 5-2-16. Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the period (60), and divided by 366 (to reflect the period). |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
This section shows the fund’s 50 largest portfolio holdings in unaffiliated issuers and any holdings exceeding 1% of the fund’s total net assets as of the report date. The remaining securities held by the fund are grouped as “Other Securities” in each category. You can request a complete schedule of portfolio holdings as of the report date, free of charge, by calling at 1-800-344-1029. This complete schedule, filed on the fund’s Form N-CSR, is also available on the SEC’s website at http://www.sec.gov.
Active Bond Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS - 25.3% | ||||||||||||
Treasury Inflation Protected Securities - 0.5% | ||||||||||||
0.375%, 07/15/2025 | $ | 4,045,168 | $ | 4,166,470 | 0.5 | % | ||||||
U.S. Treasury Bonds - 4.1% | ||||||||||||
2.500%, 02/15/2045 | ||||||||||||
to 02/15/2046 | 21,826,000 | 22,746,920 | 2.9 | % | ||||||||
3.375%, 05/15/2044 | 7,355,000 | 9,072,223 | 1.2 | % | ||||||||
31,819,143 | ||||||||||||
U.S. Treasury Notes - 7.2% | ||||||||||||
1.625%, 05/15/2026 | 45,110,000 | 45,687,949 | 5.9 | % | ||||||||
1.750%, 01/31/2023 | 2,955,000 | 3,046,422 | 0.4 | % | ||||||||
2.000%, 07/31/2022 | ||||||||||||
to 02/15/2025 | 3,700,000 | 3,873,856 | 0.5 | % | ||||||||
2.375%, 12/31/2020 | 2,500,000 | 2,654,298 | 0.4 | % | ||||||||
55,262,525 | ||||||||||||
Federal Home Loan Mortgage Corp. - 1.5% | ||||||||||||
3.000%, 03/01/2043 | 1,859,856 | 1,948,408 | 0.3 | % | ||||||||
4.000%, 01/01/2041 | ||||||||||||
to 02/01/2044 | 3,442,765 | 3,739,157 | 0.5 | % | ||||||||
4.500%, 09/01/2023 | ||||||||||||
to 10/01/2041 | 4,869,848 | 5,331,806 | 0.6 | % | ||||||||
OTHER SECURITIES | 455,705 | 0.1 | % | |||||||||
11,475,076 | ||||||||||||
Federal National Mortgage Association - 11.2% | ||||||||||||
3.000%, TBA (C) | 15,250,000 | 15,820,615 | 2.1 | % | ||||||||
3.000%, 07/01/2027 | ||||||||||||
to 05/01/2043 | 4,742,543 | 4,962,808 | 0.7 | % | ||||||||
3.500%, 02/01/2026 | ||||||||||||
to 04/01/2045 | 12,873,867 | 13,742,643 | 1.7 | % | ||||||||
4.000%, 10/01/2025 | ||||||||||||
to 09/01/2044 | 14,924,947 | 16,204,377 | 2.0 | % | ||||||||
4.500%, 08/01/2040 | ||||||||||||
to 08/01/2041 | 11,197,300 | 12,307,832 | 1.6 | % | ||||||||
5.000%, 05/01/2018 | ||||||||||||
to 04/01/2041 | 7,529,071 | 8,414,120 | 1.1 | % | ||||||||
5.500%, 02/01/2018 | ||||||||||||
to 11/01/2039 | 6,524,726 | 7,390,885 | 1.1 | % | ||||||||
6.000%, 05/01/2035 | ||||||||||||
to 02/01/2036 | 3,812,574 | 4,396,807 | 0.5 | % | ||||||||
6.500%, 01/01/2039 | ||||||||||||
to 06/01/2039 | 1,398,507 | 1,627,765 | 0.3 | % | ||||||||
OTHER SECURITIES | 1,499,285 | 0.1 | % | |||||||||
86,367,137 | ||||||||||||
Government National Mortgage Association - 0.8% | ||||||||||||
4.000%, 02/15/2041 | 3,973,158 | 4,296,339 | 0.6 | % | ||||||||
OTHER SECURITIES | 1,650,007 | 0.2 | % | |||||||||
5,946,346 | ||||||||||||
TOTAL U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS (Cost $184,339,437) | $ | 195,036,697 |
Active Bond Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
FOREIGN GOVERNMENT | ||||||||||||
OBLIGATIONS - 0.7% | ||||||||||||
Argentina - 0.3% | $ | 1,870,943 | 0.3 | % | ||||||||
Germany - 0.2% | ||||||||||||
Federal Republic of Germany | ||||||||||||
6.250%, 01/04/2030 | EUR | 725,000 | 1,483,796 | 0.2 | % | |||||||
Mexico - 0.1% | 737,439 | 0.1 | % | |||||||||
Panama - 0.1% | 705,440 | 0.1 | % | |||||||||
United Kingdom - 0.0% | 177,099 | 0.0 | % | |||||||||
TOTAL FOREIGN GOVERNMENT | ||||||||||||
OBLIGATIONS (Cost $4,326,070) | $ | 4,974,717 | ||||||||||
CORPORATE BONDS - 41.2% | ||||||||||||
Consumer discretionary - 5.0% | 38,292,952 | 5.0 | % | |||||||||
Consumer staples - 2.4% | ||||||||||||
Anheuser-Busch InBev | ||||||||||||
Finance, Inc. | ||||||||||||
4.900%, 02/01/2046 | $ | 1,345,000 | 1,575,490 | 0.2 | % | |||||||
CVS Pass-Through Trust | ||||||||||||
8.353%, 07/10/2031 (S) | 1,121,948 | 1,468,077 | 0.2 | % | ||||||||
OTHER SECURITIES | 15,465,487 | 2.0 | % | |||||||||
18,509,054 | ||||||||||||
Energy - 5.0% | ||||||||||||
Cameron International Corp. | ||||||||||||
5.950%, 06/01/2041 | 1,178,000 | 1,444,299 | 0.2 | % | ||||||||
OTHER SECURITIES | 36,789,815 | 4.8 | % | |||||||||
38,234,114 | ||||||||||||
Financials - 16.0% | ||||||||||||
AXA SA (6.463% to | ||||||||||||
12/14/2018, then 3 month | ||||||||||||
LIBOR + 1.449%) | ||||||||||||
12/14/2018 (Q)(S) | 1,440,000 | 1,496,088 | 0.2 | % | ||||||||
JPMorgan Chase & Co. | ||||||||||||
4.500%, 01/24/2022 | 1,300,000 | 1,446,871 | 0.2 | % | ||||||||
Leucadia National Corp. | ||||||||||||
5.500%, 10/18/2023 | 1,675,000 | 1,705,549 | 0.2 | % | ||||||||
Willis Towers Watson PLC | ||||||||||||
5.750%, 03/15/2021 | 1,350,000 | 1,510,059 | 0.2 | % | ||||||||
OTHER SECURITIES | 116,997,563 | 15.2 | % | |||||||||
123,156,130 | ||||||||||||
Health care - 2.1% | ||||||||||||
Mylan NV | ||||||||||||
3.950%, 06/15/2026 (S) | 2,000,000 | 2,023,158 | 0.3 | % | ||||||||
OTHER SECURITIES | 14,249,257 | 1.8 | % | |||||||||
16,272,415 | ||||||||||||
Industrials - 4.2% | ||||||||||||
Textron Financial Corp. (6.000% | ||||||||||||
to 02/15/2017, then 3 month | ||||||||||||
LIBOR + 1.735%) | ||||||||||||
02/15/2067 (S) | 2,800,000 | 1,708,000 | 0.2 | % | ||||||||
OTHER SECURITIES | 30,709,771 | 4.0 | % | |||||||||
32,417,771 | ||||||||||||
Information technology - 1.6% | 12,124,529 | 1.6 | % | |||||||||
Materials - 1.5% | 11,248,975 | 1.5 | % | |||||||||
Telecommunication services - 1.8% | 14,186,439 | 1.8 | % | |||||||||
Utilities - 1.6% | 12,750,002 | 1.6 | % | |||||||||
TOTAL CORPORATE BONDS (Cost $305,828,078) | $ | 317,192,381 |
The accompanying notes are an integral part of the financial statements. | 7 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Active Bond Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
CAPITAL PREFERRED SECURITIES - 0.6% | ||||||||||||
Financials - 0.6% | ||||||||||||
ZFS Finance USA Trust V | ||||||||||||
(6.500% to 05/09/2017, then | ||||||||||||
3 month LIBOR + 2.285%) | ||||||||||||
05/09/2067 (S) | $ | 1,580,000 | $ | 1,580,000 | 0.2 | % | ||||||
OTHER SECURITIES | 3,213,844 | 0.4 | % | |||||||||
4,793,844 | ||||||||||||
TOTAL CAPITAL PREFERRED | ||||||||||||
SECURITIES (Cost $4,842,312) | $ | 4,793,844 | ||||||||||
CONVERTIBLE BONDS - 0.0% | ||||||||||||
Utilities - 0.0% | 262,200 | 0.0 | % | |||||||||
TOTAL CONVERTIBLE BONDS (Cost $285,000) | $ | 262,200 | ||||||||||
TERM LOANS (M) - 0.2% | ||||||||||||
Consumer staples - 0.1% | 368,115 | 0.1 | % | |||||||||
Financials - 0.0% | 222,250 | 0.0 | % | |||||||||
Industrials - 0.1% | 464,472 | 0.1 | % | |||||||||
Utilities - 0.0% | 314,115 | 0.0 | % | |||||||||
TOTAL TERM LOANS (Cost $1,510,120) | $ | 1,368,952 | ||||||||||
MUNICIPAL BONDS - 0.4% | ||||||||||||
New Jersey State Turnpike | ||||||||||||
Authority 7.414%, 01/01/2040 | 1,885,000 | 2,950,666 | 0.4 | % | ||||||||
TOTAL MUNICIPAL BONDS (Cost $2,068,957) | $ | 2,950,666 | ||||||||||
COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS - 16.9% | ||||||||||||
Commercial and residential - 13.1% | ||||||||||||
Americold 2010 LLC Trust, | ||||||||||||
6.811%, 01/14/2029 (S) | 1,350,000 | 1,521,382 | 0.2 | % | ||||||||
Americold 2010 LLC Trust, | ||||||||||||
7.443%, 01/14/2029 (S) | 2,130,000 | 2,393,068 | 0.3 | % | ||||||||
JPMorgan Chase Commercial | ||||||||||||
Mortgage Securities Trust, | ||||||||||||
5.440%, 05/15/2045 | 2,292,000 | 2,293,096 | 0.3 | % | ||||||||
Morgan Stanley Capital I Trust, | ||||||||||||
3.773%, 03/15/2045 | 2,371,500 | 2,539,264 | 0.3 | % | ||||||||
TimberStar Trust, | ||||||||||||
5.668%, 10/15/2036 (S) | 2,300,000 | 2,310,792 | 0.3 | % | ||||||||
OTHER SECURITIES | 90,401,330 | 11.7 | % | |||||||||
101,458,932 | ||||||||||||
Federal Home Loan Mortgage Corp. - 1.8% | ||||||||||||
3.000%, 02/15/2040 | 2,336,996 | 2,448,496 | 0.3 | % | ||||||||
OTHER SECURITIES | 11,312,115 | 1.5 | % | |||||||||
13,760,611 | ||||||||||||
Federal National Mortgage Association - 1.6% | ||||||||||||
2.000%, 03/25/2041 | 5,628,549 | 5,702,009 | 0.7 | % | ||||||||
2.000%, 09/25/2041 | 1,557,529 | 1,587,070 | 0.2 | % | ||||||||
4.000%, 01/25/2041 | 1,488,870 | 1,542,158 | 0.2 | % | ||||||||
OTHER SECURITIES | 3,453,706 | 0.5 | % | |||||||||
12,284,943 | ||||||||||||
Government National Mortgage Association - 0.4% | 2,914,715 | 0.4 | % | |||||||||
TOTAL COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS (Cost $127,525,948) | $ | 130,419,201 | ||||||||||
ASSET BACKED SECURITIES - 10.5% | ||||||||||||
Applebee’s Funding LLC, | ||||||||||||
4.277%, 09/05/2044 (S) | 1,515,000 | 1,541,942 | 0.2 | % |
Active Bond Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
ASSET BACKED SECURITIES (continued) | ||||||||||||
CKE Restaurant Holdings, Inc., | ||||||||||||
4.474%, 03/20/2043 (S) | $ | 1,850,181 | $ | 1,851,697 | 0.2 | % | ||||||
Credit-Based Asset Servicing | ||||||||||||
and Securitization LLC, | ||||||||||||
5.340%, 10/25/2036 (P)(S) | 2,560,000 | 2,283,457 | 0.3 | % | ||||||||
Discover Card Execution | ||||||||||||
Note Trust, | ||||||||||||
1.640%, 07/15/2021 | 2,150,000 | 2,178,335 | 0.3 | % | ||||||||
Ford Credit Floorplan Master | ||||||||||||
Owner Trust, | ||||||||||||
1.400%, 08/15/2019 | 1,455,000 | 1,457,247 | 0.2 | % | ||||||||
Honda Auto Receivables | ||||||||||||
Owner Trust, | ||||||||||||
1.310%, 10/15/2020 | 1,640,000 | 1,645,979 | 0.2 | % | ||||||||
OTHER SECURITIES | 70,167,455 | 9.1 | % | |||||||||
TOTAL ASSET BACKED | ||||||||||||
SECURITIES (Cost $80,913,913) | $ | 81,126,112 | ||||||||||
PREFERRED SECURITIES - 0.5% | ||||||||||||
Consumer staples - 0.0% | 192,792 | 0.0 | % | |||||||||
Financials - 0.3% | 2,474,412 | 0.3 | % | |||||||||
Industrials - 0.0% | 602 | 0.0 | % | |||||||||
Utilities - 0.2% | 1,001,338 | 0.2 | % | |||||||||
TOTAL PREFERRED SECURITIES (Cost $3,614,658) | $ | 3,669,144 | ||||||||||
SECURITIES LENDING COLLATERAL - 0.6% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, | ||||||||||||
0.5557% (W)(Y) | 424,841 | 4,251,381 | 0.6 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $4,251,343) | $ | 4,251,381 | ||||||||||
SHORT-TERM INVESTMENTS - 5.0% | ||||||||||||
U.S. Government Agency - 0.4% | ||||||||||||
Federal Home Loan Bank | ||||||||||||
Discount Note, 0.079%, | ||||||||||||
07/01/2016 * | $ | 2,826,000 | $ | 2,826,000 | 0.4 | % | ||||||
Money market funds - 4.2% | ||||||||||||
State Street Institutional | ||||||||||||
U.S. Government Money | ||||||||||||
Market Fund, Premier | ||||||||||||
Class, 0.2499% (Y) | 32,239,868 | $ | 32,239,868 | 4.2 | % | |||||||
Repurchase agreement - 0.4% | ||||||||||||
Barclays Tri-Party Repurchase | ||||||||||||
Agreement dated 06/30/2016 | ||||||||||||
at 0.400% to be repurchased | ||||||||||||
at $2,614,029 on 07/01/2016, | ||||||||||||
collateralized by $2,614,600 | ||||||||||||
U.S. Treasury Notes, 1.375% | ||||||||||||
due 10/31/2020 (valued at | ||||||||||||
$2,666,315, including interest) | $ | 2,614,000 | $ | 2,614,000 | 0.3 | % | ||||||
OTHER SECURITIES | 416,000 | 0.1 | % | |||||||||
3,030,000 | ||||||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $38,095,868) | $ | 38,095,868 | ||||||||||
Total Investments (Active Bond Trust) | ||||||||||||
(Cost $757,601,704) - 101.9% | $ | 784,141,163 | 101.9 | % | ||||||||
Other assets and liabilities, net - (1.9%) | (14,254,501 | ) | (1.9 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 769,886,662 | 100.0 | % |
The accompanying notes are an integral part of the financial statements. | 8 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Bond Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS - 39.5% | ||||||||||||
Treasury Inflation Protected Securities - 1.1% | ||||||||||||
0.375%, 07/15/2025 | $ | 95,918,895 | $ | 98,795,215 | 1.1 | % | ||||||
U.S. Treasury Bonds - 6.0% | ||||||||||||
2.500%, 02/15/2045 | ||||||||||||
to 02/15/2046 | 169,517,000 | 176,672,813 | 1.9 | % | ||||||||
3.125%, 11/15/2041 | 150,545,000 | 177,948,857 | 2.0 | % | ||||||||
3.375%, 05/15/2044 | 152,300,000 | 187,858,547 | 2.1 | % | ||||||||
542,480,217 | ||||||||||||
U.S. Treasury Notes - 5.7% | ||||||||||||
1.000%, 06/30/2019 | 92,730,000 | 93,523,305 | 1.1 | % | ||||||||
1.625%, 05/15/2026 | 223,389,000 | 226,251,060 | 2.5 | % | ||||||||
1.750%, 09/30/2019 | ||||||||||||
to 01/31/2023 | 187,090,000 | 192,926,160 | 2.1 | % | ||||||||
512,700,525 | ||||||||||||
Federal Home Loan Bank - 0.2% | 16,130,416 | 0.2 | % | |||||||||
Federal Home Loan Mortgage Corp. - 5.4% | ||||||||||||
3.000%, 02/01/2043 | ||||||||||||
to 05/01/2046 | 129,336,913 | 135,177,273 | 1.5 | % | ||||||||
3.500%, 02/01/2026 | ||||||||||||
to 02/01/2045 | 146,778,612 | 156,660,134 | 1.7 | % | ||||||||
4.000%, 09/01/2041 | ||||||||||||
to 11/01/2043 | 56,087,886 | 60,815,258 | 0.7 | % | ||||||||
4.500%, 08/01/2040 | ||||||||||||
to 10/01/2041 | 76,994,469 | 84,555,358 | 1.0 | % | ||||||||
OTHER SECURITIES | 43,683,537 | 0.5 | % | |||||||||
480,891,560 | ||||||||||||
Federal National Mortgage Association - 20.7% | ||||||||||||
1.570%, 01/09/2020 | 109,075,000 | 109,100,196 | 1.2 | % | ||||||||
3.000%, 09/01/2027 | ||||||||||||
to 04/01/2043 | 145,623,784 | 150,743,657 | 1.6 | % | ||||||||
3.500%, 02/01/2026 | ||||||||||||
to 04/01/2045 | 418,029,681 | 446,661,248 | 5.1 | % | ||||||||
4.000%, 05/01/2025 | ||||||||||||
to 06/01/2044 | 547,843,827 | 596,385,245 | 6.5 | % | ||||||||
4.500%, 01/01/2027 | ||||||||||||
to 05/01/2042 | 309,271,487 | 339,700,969 | 3.8 | % | ||||||||
5.000%, 02/01/2033 | ||||||||||||
to 12/01/2041 | 132,617,608 | 148,074,187 | 1.7 | % | ||||||||
5.500%, 10/01/2035 | ||||||||||||
to 03/01/2041 | 40,325,914 | 45,786,965 | 0.5 | % | ||||||||
OTHER SECURITIES | 23,282,482 | 0.3 | % | |||||||||
1,859,734,949 | ||||||||||||
Government National Mortgage Association - 0.4% | 33,146,419 | 0.4 | % | |||||||||
TOTAL U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS (Cost $3,431,158,922) | $ | 3,543,879,301 | ||||||||||
CORPORATE BONDS - 40.6% | ||||||||||||
Consumer discretionary - 4.7% | ||||||||||||
Ford Motor Credit Company LLC | ||||||||||||
5.875%, 08/02/2021 | 32,919,000 | 37,759,179 | 0.4 | % | ||||||||
OTHER SECURITIES | 386,972,112 | 4.3 | % | |||||||||
424,731,291 | ||||||||||||
Consumer staples - 2.8% | ||||||||||||
Anheuser-Busch InBev Finance, Inc. | ||||||||||||
4.900%, 02/01/2046 | 34,470,000 | 40,377,055 | 0.5 | % | ||||||||
Bunge, Ltd. Finance Corp. | ||||||||||||
8.500%, 06/15/2019 | 26,963,000 | 31,527,135 | 0.4 | % | ||||||||
OTHER SECURITIES | 175,463,895 | 1.9 | % | |||||||||
247,368,085 |
Bond Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
CORPORATE BONDS (continued) | ||||||||||||
Energy - 4.4% | ||||||||||||
Enterprise Products Operating LLC | ||||||||||||
6.500%, 01/31/2019 | $ | 32,015,000 | $ | 35,851,710 | 0.4 | % | ||||||
Shell International Finance BV | ||||||||||||
4.375%, 05/11/2045 | 26,885,000 | 29,148,663 | 0.3 | % | ||||||||
Williams Partners LP | ||||||||||||
4.875%, 05/15/2023 | ||||||||||||
to 03/15/2024 | 34,730,000 | 33,397,640 | 0.3 | % | ||||||||
OTHER SECURITIES | 294,899,191 | 3.4 | % | |||||||||
393,297,204 | ||||||||||||
Financials - 16.8% | ||||||||||||
HBOS PLC | ||||||||||||
6.750%, 05/21/2018 (S) | 31,463,000 | 33,747,308 | 0.4 | % | ||||||||
Lloyds Banking Group PLC | ||||||||||||
4.650%, 03/24/2026 | 31,040,000 | 31,447,028 | 0.4 | % | ||||||||
Morgan Stanley | ||||||||||||
7.300%, 05/13/2019 | 27,030,000 | 31,056,389 | 0.3 | % | ||||||||
Teachers Insurance & Annuity | ||||||||||||
Association of America | ||||||||||||
6.850%, 12/16/2039 (S) | 21,405,000 | 29,094,275 | 0.3 | % | ||||||||
OTHER SECURITIES | 1,382,595,871 | 15.4 | % | |||||||||
1,507,940,871 | ||||||||||||
Health care - 2.0% | 176,682,181 | 2.0 | % | |||||||||
Industrials - 4.3% | ||||||||||||
American Airlines 2015-1 Class A | ||||||||||||
Pass Through Trust | ||||||||||||
3.375%, 11/01/2028 | 33,818,204 | 34,027,877 | 0.4 | % | ||||||||
OTHER SECURITIES | 354,799,840 | 3.9 | % | |||||||||
388,827,717 | ||||||||||||
Information technology - 2.2% | ||||||||||||
Diamond 1 Finance Corp. | ||||||||||||
6.020%, 06/15/2026 (S) | 27,890,000 | 28,935,959 | 0.3 | % | ||||||||
OTHER SECURITIES | 166,494,881 | 1.9 | % | |||||||||
195,430,840 | ||||||||||||
Materials - 0.5% | 49,114,043 | 0.5 | % | |||||||||
Telecommunication services - 1.7% | ||||||||||||
Qwest Corp. | ||||||||||||
6.750%, 12/01/2021 | 27,530,000 | 29,732,400 | 0.3 | % | ||||||||
Verizon Communications, Inc. | ||||||||||||
4.862%, 08/21/2046 | 29,080,000 | 31,756,785 | 0.4 | % | ||||||||
OTHER SECURITIES | 95,397,872 | 1.0 | % | |||||||||
156,887,057 | ||||||||||||
Utilities - 1.2% | 104,378,029 | 1.2 | % | |||||||||
TOTAL CORPORATE BONDS (Cost $3,535,103,090) | $ | 3,644,657,318 | ||||||||||
CAPITAL PREFERRED SECURITIES - 0.4% | ||||||||||||
Financials - 0.4% | 36,685,420 | 0.4 | % | |||||||||
TOTAL CAPITAL PREFERRED | ||||||||||||
SECURITIES (Cost $35,516,101) | $ | 36,685,420 | ||||||||||
COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS - 1.5% | ||||||||||||
Commercial and residential - 0.2% | 15,023,841 | 0.2 | % | |||||||||
Federal Home Loan Mortgage Corp. - 1.2% | 106,174,117 | 1.2 | % | |||||||||
Federal National Mortgage Association - 0.0% | 188,130 | 0.0 | % | |||||||||
Government National Mortgage Association - 0.1% | 9,406,615 | 0.1 | % | |||||||||
TOTAL COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS (Cost $130,958,030) | $ | 130,792,703 |
The accompanying notes are an integral part of the financial statements. | 9 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Bond Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
ASSET BACKED SECURITIES - 15.7% | ||||||||||||
BA Credit Card Trust, | ||||||||||||
1.360%, 09/15/2020 | $ | 41,115,000 | $ | 41,362,915 | 0.5 | % | ||||||
Capital One Multi-Asset | ||||||||||||
Execution Trust, | ||||||||||||
1.480%, 07/15/2020 | 45,700,000 | 45,998,311 | 0.5 | % | ||||||||
Chase Issuance Trust, | ||||||||||||
1.360%, 04/15/2020 | 47,755,000 | 48,041,258 | 0.5 | % | ||||||||
Chase Issuance Trust, | ||||||||||||
1.380%, 11/15/2019 | 31,978,000 | 32,144,343 | 0.4 | % | ||||||||
Chase Issuance Trust, | ||||||||||||
1.590%, 02/18/2020 | 29,105,000 | 29,406,601 | 0.3 | % | ||||||||
Chrysler Capital Auto | ||||||||||||
Receivables Trust, | ||||||||||||
1.550%, 02/18/2020 (S) | 35,345,000 | 35,292,827 | 0.4 | % | ||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
1.730%, 04/09/2020 | 34,765,000 | 35,215,721 | 0.4 | % | ||||||||
CNH Equipment Trust, | ||||||||||||
1.660%, 11/16/2020 | 31,405,000 | 31,676,399 | 0.4 | % | ||||||||
DB Master Finance LLC, | ||||||||||||
3.980%, 02/20/2045 (S) | 32,938,063 | 33,824,096 | 0.4 | % | ||||||||
Discover Card Execution Note Trust, | ||||||||||||
1.640%, 07/15/2021 | 50,115,000 | 50,775,471 | 0.6 | % | ||||||||
Ford Credit Floorplan Master | ||||||||||||
Owner Trust, | ||||||||||||
1.400%, 08/15/2019 | 35,760,000 | 35,815,221 | 0.4 | % | ||||||||
Ford Credit Floorplan Master | ||||||||||||
Owner Trust, | ||||||||||||
1.420%, 01/15/2020 | 29,125,000 | 29,180,608 | 0.3 | % | ||||||||
Honda Auto Receivables | ||||||||||||
Owner Trust, | ||||||||||||
1.310%, 10/15/2020 | 42,515,000 | 42,670,001 | 0.5 | % | ||||||||
Nissan Auto Receivables | ||||||||||||
Owner Trust, | ||||||||||||
1.500%, 09/15/2021 | 42,370,000 | 42,606,997 | 0.5 | % | ||||||||
Nissan Master | ||||||||||||
Owner Trust Receivables Trust, | ||||||||||||
1.440%, 01/15/2020 | 29,325,000 | 29,427,294 | 0.3 | % | ||||||||
Wendys Funding LLC, | ||||||||||||
3.371%, 06/15/2045 (S) | 30,876,675 | 31,046,497 | 0.3 | % | ||||||||
OTHER SECURITIES | 816,960,023 | 9.0 | % | |||||||||
TOTAL ASSET BACKED | ||||||||||||
SECURITIES (Cost $1,404,244,546) | $ | 1,411,444,583 | ||||||||||
SECURITIES LENDING COLLATERAL - 0.4% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 3,802,844 | 38,055,056 | 0.4 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $38,054,324) | $ | 38,055,056 | ||||||||||
SHORT-TERM INVESTMENTS - 1.9% | ||||||||||||
U.S. Government Agency - 0.9% | ||||||||||||
Federal Home Loan Bank Discount | ||||||||||||
Note, 0.079%, 07/01/2016 * | $ | 80,844,000 | $ | 80,844,000 | 0.9 | % |
Bond Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
SHORT-TERM INVESTMENTS (continued) | ||||||||||||
Repurchase agreement - 1.0% | ||||||||||||
Barclays Tri-Party Repurchase | ||||||||||||
Agreement dated 06/30/2016 at | ||||||||||||
0.400% to be repurchased at | ||||||||||||
$74,760,831 on 07/01/2016, | ||||||||||||
collateralized by $47,635,900 | ||||||||||||
U.S. Treasury Bonds, 3.750% due | ||||||||||||
11/15/2043 (valued at | ||||||||||||
$63,318,520, including interest) | ||||||||||||
and $12,818,700 U.S. Treasury | ||||||||||||
Notes, 1.000% due 03/15/2018 | ||||||||||||
(valued at $12,937,627, | ||||||||||||
including interest) | $ | 74,760,000 | $ | 74,760,000 | 0.9 | % | ||||||
OTHER SECURITIES | 11,911,000 | 0.1 | % | |||||||||
86,671,000 | ||||||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $167,515,000) | $ | 167,515,000 | ||||||||||
Total Investments (Bond Trust) | ||||||||||||
(Cost $8,742,550,013) - 100.0% | $ | 8,973,029,381 | 100.0 | % | ||||||||
Other assets and liabilities, net - 0.0% | 1,802,114 | 0.0 | % | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 8,974,831,495 | 100.0 | % |
Core Bond Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS - 61.1% | ||||||||||||
U.S. Treasury Bonds - 3.5% | ||||||||||||
2.500%, 02/15/2046 | ||||||||||||
to 05/15/2046 | $ | 30,587,000 | $ | 31,889,763 | 2.5 | % | ||||||
2.875%, 08/15/2045 | 11,957,000 | 13,430,138 | 1.0 | % | ||||||||
45,319,901 | ||||||||||||
U.S. Treasury Notes - 26.1% | ||||||||||||
0.625%, 06/30/2018 | 14,802,000 | 14,808,942 | 1.1 | % | ||||||||
0.750%, 01/31/2018 | 12,920,000 | 12,955,827 | 1.0 | % | ||||||||
0.875%, 11/30/2017 | ||||||||||||
to 06/15/2019 | 169,459,000 | 170,305,451 | 13.2 | % | ||||||||
1.000%, 05/15/2018 | ||||||||||||
to 06/30/2021 | 40,638,000 | 40,868,498 | 3.2 | % | ||||||||
1.250%, 06/30/2023 | 9,955,000 | 10,007,881 | 0.8 | % | ||||||||
1.375%, 01/31/2021 | ||||||||||||
to 04/30/2021 | 45,357,000 | 46,157,666 | 3.6 | % | ||||||||
1.625%, 11/30/2020 | ||||||||||||
to 05/15/2026 | 23,703,000 | 24,097,797 | 1.8 | % | ||||||||
2.125%, 06/30/2021 | 16,929,000 | 17,835,633 | 1.4 | % | ||||||||
337,037,695 | ||||||||||||
Federal Home Loan Mortgage Corp. - 9.7% | ||||||||||||
3.500%, TBA (C) | 29,900,000 | 31,460,194 | 2.5 | % | ||||||||
3.500%, 11/01/2029 | ||||||||||||
to 06/01/2046 | 50,114,292 | 53,643,645 | 4.0 | % | ||||||||
4.000%, 10/01/2029 | ||||||||||||
to 06/01/2046 | 25,377,690 | 27,684,132 | 2.2 | % | ||||||||
4.500%, 08/01/2020 | 3,891,722 | 4,008,990 | 0.3 | % | ||||||||
OTHER SECURITIES | 7,999,637 | 0.7 | % | |||||||||
124,796,598 |
The accompanying notes are an integral part of the financial statements. | 10 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Core Bond Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS (continued) | ||||||||||||
Federal National Mortgage Association - 15.5% | ||||||||||||
1.202%, 10/09/2019 (Z) | $ | 4,005,000 | $ | 3,849,141 | 0.3 | % | ||||||
3.000%, TBA (C) | 24,100,000 | 24,993,657 | 1.9 | % | ||||||||
3.000%, 12/01/2042 | ||||||||||||
to 06/01/2043 | 11,190,989 | 11,719,016 | 0.9 | % | ||||||||
3.500%, TBA (C) | 5,600,000 | 5,903,078 | 0.4 | % | ||||||||
3.500%, 12/01/2029 | ||||||||||||
to 05/01/2046 | 74,782,830 | 80,118,395 | 6.4 | % | ||||||||
4.000%, TBA (C) | 7,300,000 | 7,801,912 | 0.6 | % | ||||||||
4.000%, 03/01/2029 | ||||||||||||
to 04/01/2046 | 37,627,695 | 40,932,675 | 3.1 | % | ||||||||
4.500%, 01/01/2020 | ||||||||||||
to 02/01/2046 | 11,979,596 | 13,192,834 | 0.9 | % | ||||||||
OTHER SECURITIES | 12,145,765 | 1.0 | % | |||||||||
200,656,473 | ||||||||||||
Government National Mortgage Association - 5.9% | ||||||||||||
3.000%, TBA (C) | 28,200,000 | 29,378,094 | 2.4 | % | ||||||||
3.500%, TBA (C) | 17,000,000 | 18,015,363 | 1.4 | % | ||||||||
4.000%, 10/15/2041 | ||||||||||||
to 06/20/2046 | 18,652,095 | 20,102,979 | 1.5 | % | ||||||||
4.500%, 03/15/2041 | ||||||||||||
to 02/20/2046 | 7,478,254 | 8,251,081 | 0.6 | % | ||||||||
OTHER SECURITIES | 260,358 | 0.0 | % | |||||||||
76,007,875 | ||||||||||||
Tennessee Valley Authority - 0.4% | ||||||||||||
2.875%, 09/15/2024 | 4,045,000 | 4,390,843 | 0.3 | % | ||||||||
OTHER SECURITIES | 1,071,324 | 0.1 | % | |||||||||
5,462,167 | ||||||||||||
TOTAL U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS (Cost $778,931,667) | $ | 789,280,709 | ||||||||||
FOREIGN GOVERNMENT | ||||||||||||
OBLIGATIONS - 2.3% | ||||||||||||
Canada - 0.4% | 4,892,826 | 0.4 | % | |||||||||
Israel - 0.1% | 856,678 | 0.1 | % | |||||||||
Jordan - 0.2% | 2,528,612 | 0.2 | % | |||||||||
Mexico - 0.4% | ||||||||||||
Government of Mexico | ||||||||||||
4.125%, 01/21/2026 | 3,370,000 | 3,652,238 | 0.3 | % | ||||||||
OTHER SECURITIES | 1,702,228 | 0.1 | % | |||||||||
5,354,466 | ||||||||||||
Paraguay - 0.1% | 1,699,458 | 0.1 | % | |||||||||
Qatar - 0.2% | 2,824,784 | 0.2 | % | |||||||||
Slovenia - 0.5% | 5,962,409 | 0.5 | % | |||||||||
United Arab Emirates - 0.4% | 5,186,132 | 0.4 | % | |||||||||
TOTAL FOREIGN GOVERNMENT | ||||||||||||
OBLIGATIONS (Cost $28,344,738) | $ | 29,305,365 | ||||||||||
CORPORATE BONDS - 23.5% | ||||||||||||
Consumer discretionary - 2.3% | 29,411,421 | 2.3 | % | |||||||||
Consumer staples - 1.7% | ||||||||||||
Anheuser-Busch InBev Finance, Inc. | ||||||||||||
3.650%, 02/01/2026 | 3,690,000 | 3,949,451 | 0.3 | % | ||||||||
OTHER SECURITIES | 17,850,495 | 1.4 | % | |||||||||
21,799,946 |
Core Bond Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
CORPORATE BONDS (continued) | ||||||||||||
Energy - 2.7% | $ | 35,619,583 | 2.7 | % | ||||||||
Financials - 7.9% | ||||||||||||
Morgan Stanley | ||||||||||||
4.000%, 07/23/2025 | $ | 3,306,000 | 3,541,744 | 0.3 | % | |||||||
OTHER SECURITIES | 99,030,780 | 7.6 | % | |||||||||
102,572,524 | ||||||||||||
Health care - 1.4% | 17,929,709 | 1.4 | % | |||||||||
Industrials - 1.3% | 16,461,075 | 1.3 | % | |||||||||
Information technology - 2.0% | 25,875,019 | 2.0 | % | |||||||||
Materials - 0.6% | 7,512,949 | 0.6 | % | |||||||||
Telecommunication services - 1.4% | 18,677,086 | 1.4 | % | |||||||||
Utilities - 2.2% | 27,943,128 | 2.2 | % | |||||||||
TOTAL CORPORATE BONDS (Cost $293,332,665) | $ | 303,802,440 | ||||||||||
Municipal bonds 1.0% | 13,018,025 | 1.0 | % | |||||||||
TOTAL MUNICIPAL BONDS (Cost $10,982,661) | $ | 13,018,025 | ||||||||||
COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS - 5.1% | ||||||||||||
Commercial and residential - 2.9% | ||||||||||||
Impact Funding Affordable | ||||||||||||
Multifamily Housing Mortgage | ||||||||||||
Loan Trust, | ||||||||||||
5.314%, 01/25/2051 (S) | 3,173,673 | 3,753,355 | 0.3 | % | ||||||||
OTHER SECURITIES | 34,136,456 | 2.6 | % | |||||||||
37,889,811 | ||||||||||||
Federal Home Loan Mortgage Corp. - 1.2% | ||||||||||||
3.000%, 08/15/2042 | 3,493,743 | 3,638,764 | 0.3 | % | ||||||||
3.000%, 01/15/2043 | 3,528,485 | 3,661,485 | 0.3 | % | ||||||||
3.000%, 02/15/2045 | 5,882,649 | 6,083,717 | 0.5 | % | ||||||||
OTHER SECURITIES | 1,877,999 | 0.1 | % | |||||||||
15,261,965 | ||||||||||||
Federal National Mortgage Association - 1.0% | ||||||||||||
3.000%, 10/25/2042 | 4,888,151 | 5,054,036 | 0.4 | % | ||||||||
OTHER SECURITIES | 7,373,857 | 0.6 | % | |||||||||
12,427,893 | ||||||||||||
TOTAL COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS (Cost $64,317,921) | $ | 65,579,669 | ||||||||||
ASSET BACKED SECURITIES - 15.2% | ||||||||||||
Ally Master Owner Trust, | ||||||||||||
1.540%, 09/15/2019 | 3,807,000 | 3,819,002 | 0.3 | % | ||||||||
Ally Master Owner Trust, | ||||||||||||
1.430%, 06/17/2019 | 3,568,000 | 3,576,430 | 0.3 | % | ||||||||
Capital One Multi-Asset | ||||||||||||
Execution Trust, | ||||||||||||
0.900%, 02/15/2022 (P) | 5,407,000 | 5,416,333 | 0.4 | % | ||||||||
Discover Card Execution Note Trust, | ||||||||||||
0.975%, 09/15/2021 (P) | 5,008,000 | 5,028,518 | 0.4 | % | ||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
2.440%, 01/15/2027 (S) | 3,379,000 | 3,470,855 | 0.3 | % | ||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
2.310%, 08/15/2027 (S) | 4,634,000 | 4,730,957 | 0.4 | % | ||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
2.030%, 12/15/2027 (S) | 3,511,000 | 3,529,444 | 0.3 | % | ||||||||
SLM Student Loan Trust, | ||||||||||||
1.188%, 04/27/2026 (P)(S) | 3,457,000 | 3,423,929 | 0.3 | % | ||||||||
SLM Student Loan Trust, | ||||||||||||
0.778%, 10/25/2028 (P) | 3,917,000 | 3,681,364 | 0.3 | % |
The accompanying notes are an integral part of the financial statements. | 11 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Core Bond Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
ASSET BACKED SECURITIES (continued) | ||||||||||||
SLM Student Loan Trust, | ||||||||||||
0.678%, 04/25/2019 (P) | $ | 3,657,768 | $ | 3,635,614 | 0.3 | % | ||||||
SMB Private Education Loan Trust, | ||||||||||||
2.490%, 06/15/2027 (S) | 3,845,000 | 3,878,049 | 0.3 | % | ||||||||
Synchrony Credit Card Master | ||||||||||||
Note Trust, | ||||||||||||
2.150%, 05/15/2024 | 3,718,000 | 3,787,119 | 0.3 | % | ||||||||
OTHER SECURITIES | 147,709,490 | 11.3 | % | |||||||||
TOTAL ASSET BACKED | ||||||||||||
SECURITIES (Cost $196,229,865) | $ | 195,687,104 | ||||||||||
SHORT-TERM INVESTMENTS - 0.9% | ||||||||||||
Money market funds - 0.9% | ||||||||||||
State Street Institutional Liquid | ||||||||||||
Reserves Fund, Premier | ||||||||||||
Class, 0.4706% (Y) | 11,276,309 | $ | 11,276,309 | 0.9 | % | |||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $11,276,309) | $ | 11,276,309 | ||||||||||
Total Investments (Core Bond Trust) | ||||||||||||
(Cost $1,383,415,826) - 109.1% | $ | 1,407,949,621 | 109.1 | % | ||||||||
Other assets and liabilities, net - (9.1%) | (117,011,902 | ) | (9.1 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,290,937,719 | 100.0 | % | ||||||||
SALE COMMITMENTS OUTSTANDING - (1.3)% | ||||||||||||
Federal National Mortgage Association - (1.3)% | ||||||||||||
3.000%, TBA (C) | (8,000,000 | ) | (8,207,010 | ) | (0.6 | )% | ||||||
4.000%, TBA (C) | (7,300,000 | ) | (7,801,912 | ) | (0.6 | )% | ||||||
OTHER SECURITIES | (422,438 | ) | 0.0 | % | ||||||||
TOTAL FEDERAL NATIONAL MORTGAGE | ||||||||||||
ASSOCIATION (Cost $(16,352,336)) | $ | (16,431,360 | ) |
Global Bond Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS - 20.1% | ||||||||||||
Treasury Inflation Protected Securities - 6.8% | ||||||||||||
0.125%, 07/15/2022 | ||||||||||||
to 07/15/2024 | $ | 6,797,213 | $ | 6,874,065 | 1.1 | % | ||||||
0.250%, 01/15/2025 | 12,625,000 | 12,821,445 | 2.1 | % | ||||||||
2.375%, 01/15/2025 | ||||||||||||
to 01/15/2027 | 6,149,503 | 7,407,586 | 1.2 | % | ||||||||
2.500%, 01/15/2029 | 8,245,228 | 10,448,728 | 1.7 | % | ||||||||
OTHER SECURITIES | 4,196,854 | 0.7 | % | |||||||||
41,748,678 | ||||||||||||
U.S. Treasury Bonds - 2.4% | ||||||||||||
2.750%, 11/15/2042 | 4,100,000 | 4,514,006 | 0.7 | % | ||||||||
OTHER SECURITIES | 10,389,519 | 1.7 | % | |||||||||
14,903,525 | ||||||||||||
U.S. Treasury Notes - 2.1% | ||||||||||||
2.000%, 02/15/2025 (D) | 4,600,000 | 4,814,006 | 0.8 | % | ||||||||
2.250%, 11/15/2024 (D) | 3,800,000 | 4,055,162 | 0.6 | % | ||||||||
OTHER SECURITIES | 4,186,754 | 0.7 | % | |||||||||
13,055,922 |
Global Bond Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS (continued) | ||||||||||||
Federal Home Loan Mortgage Corp. - 0.2% | $ | 1,084,675 | 0.2 | % | ||||||||
Federal National Mortgage Association - 8.6% | ||||||||||||
3.000%, TBA (C) | $ | 31,100,000 | 32,223,108 | 5.2 | % | |||||||
4.500%, TBA (C) | 10,000,000 | 10,913,945 | 1.8 | % | ||||||||
4.500%, 08/01/2023 | ||||||||||||
to 09/01/2044 | 8,404,771 | 9,185,230 | 1.5 | % | ||||||||
OTHER SECURITIES | 899,085 | 0.1 | % | |||||||||
53,221,368 | ||||||||||||
Government National Mortgage Association - 0.0% | 93,495 | 0.0 | % | |||||||||
TOTAL U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS (Cost $119,610,824) | $ | 124,107,663 | ||||||||||
FOREIGN GOVERNMENT | ||||||||||||
OBLIGATIONS - 34.7% | ||||||||||||
Australia - 0.6% | 3,997,225 | 0.6 | % | |||||||||
Canada - 4.5% | ||||||||||||
Province of Ontario | ||||||||||||
2.400%, 06/02/2026 | CAD | 10,300,000 | 8,284,088 | 1.3 | % | |||||||
Province of Ontario | ||||||||||||
3.500%, 06/02/2024 | 5,100,000 | 4,476,173 | 0.7 | % | ||||||||
Province of Quebec | ||||||||||||
2.750%, 08/25/2021 | $ | 4,000,000 | 4,236,400 | 0.7 | % | |||||||
OTHER SECURITIES | 11,042,493 | 1.8 | % | |||||||||
28,039,154 | ||||||||||||
France - 3.5% | ||||||||||||
Government of France | ||||||||||||
3.250%, 05/25/2045 | EUR | 1,900,000 | 3,295,185 | 0.5 | % | |||||||
Government of France | ||||||||||||
4.000%, 10/25/2038 | 3,300,000 | 6,026,628 | 1.0 | % | ||||||||
Government of France | ||||||||||||
4.500%, 04/25/2041 | 6,100,000 | 12,220,166 | 2.0 | % | ||||||||
21,541,979 | ||||||||||||
Greece - 0.5% | 3,236,952 | 0.5 | % | |||||||||
Italy - 2.7% | ||||||||||||
Republic of Italy | ||||||||||||
5.000%, 09/01/2040 | 3,250,000 | 5,446,620 | 0.9 | % | ||||||||
OTHER SECURITIES | 11,410,357 | 1.8 | % | |||||||||
16,856,977 | ||||||||||||
Japan - 11.9% | ||||||||||||
Government of Japan | ||||||||||||
0.400%, 03/20/2036 | JPY | 790,000,000 | 8,140,332 | 1.3 | % | |||||||
Government of Japan | ||||||||||||
1.400%, 09/20/2034 | ||||||||||||
to 09/20/2045 | 500,000,000 | 6,390,036 | 1.1 | % | ||||||||
Government of Japan | ||||||||||||
1.600%, 03/20/2033 | 1,610,000,000 | 19,864,171 | 3.2 | % | ||||||||
Government of Japan | ||||||||||||
1.700%, 09/20/2032 | ||||||||||||
to 09/20/2044 | 2,730,000,000 | 34,069,264 | 5.5 | % | ||||||||
OTHER SECURITIES | 5,095,750 | 0.8 | % | |||||||||
73,559,553 | ||||||||||||
New Zealand - 0.9% | ||||||||||||
Dominion of New Zealand | ||||||||||||
5.000%, 03/15/2019 | NZD | 6,300,000 | 4,846,825 | 0.8 | % | |||||||
OTHER SECURITIES | 452,452 | 0.1 | % | |||||||||
5,299,277 | ||||||||||||
Norway - 0.1% | 521,666 | 0.1 | % | |||||||||
Poland - 0.0% | 26,181 | 0.0 | % |
The accompanying notes are an integral part of the financial statements. | 12 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Global Bond Trust (continued)
Shares or Principal Amount | Value | % of Net Assets | ||||||||||
FOREIGN GOVERNMENT | ||||||||||||
OBLIGATIONS (continued) | ||||||||||||
Qatar - 0.1% | $ | 652,306 | 0.1 | % | ||||||||
Slovenia - 3.1% | ||||||||||||
Republic of Slovenia | ||||||||||||
5.250%, 02/18/2024 (S) | $ | 5,100,000 | 5,743,875 | 0.9 | % | |||||||
OTHER SECURITIES | 13,102,026 | 2.2 | % | |||||||||
18,845,901 | ||||||||||||
Spain - 3.2% | ||||||||||||
Kingdom of Spain | ||||||||||||
2.900%, 10/31/2046 (S) | EUR | 4,470,000 | 5,542,289 | 0.9 | % | |||||||
OTHER SECURITIES | 13,922,031 | 2.3 | % | |||||||||
19,464,320 | ||||||||||||
United Kingdom - 3.6% | ||||||||||||
Government of United Kingdom | ||||||||||||
3.250%, 01/22/2044 | GBP | 6,500,000 | 11,500,449 | 1.8 | % | |||||||
Government of United Kingdom | ||||||||||||
4.250%, 12/07/2040 | 4,000,000 | 8,076,158 | 1.3 | % | ||||||||
OTHER SECURITIES | 2,916,629 | 0.5 | % | |||||||||
22,493,236 | ||||||||||||
TOTAL FOREIGN GOVERNMENT | ||||||||||||
OBLIGATIONS (Cost $198,239,717) | $ | 214,534,727 | ||||||||||
CORPORATE BONDS - 26.9% | ||||||||||||
Australia - 0.4% | 2,331,312 | 0.4 | % | |||||||||
Belgium - 0.3% | 1,703,602 | 0.3 | % | |||||||||
Brazil - 0.5% | 3,095,210 | 0.5 | % | |||||||||
Canada - 0.6% | 3,862,386 | 0.6 | % | |||||||||
Denmark - 7.0% | ||||||||||||
Nykredit Realkredit A/S | ||||||||||||
1.000%, 07/01/2016 | ||||||||||||
to 10/01/2016 | DKK | 97,700,000 | 14,574,995 | 2.3 | % | |||||||
Nykredit Realkredit A/S | ||||||||||||
2.500%, 10/01/2037 | ||||||||||||
to 10/01/2047 | 56,522,192 | 8,564,001 | 1.4 | % | ||||||||
Nykredit Realkredit A/S | ||||||||||||
3.000%, 10/01/2047 | 27,616,473 | 4,225,739 | 0.7 | % | ||||||||
Realkredit Danmark A/S | ||||||||||||
2.000%, 04/01/2017 | ||||||||||||
to 10/01/2037 | 36,051,608 | 5,452,535 | 0.9 | % | ||||||||
Realkredit Danmark A/S | ||||||||||||
2.500%, 10/01/2037 | ||||||||||||
to 10/01/2047 | 29,017,467 | 4,401,998 | 0.7 | % | ||||||||
OTHER SECURITIES | 6,047,888 | 1.0 | % | |||||||||
43,267,156 | ||||||||||||
France - 0.8% | 5,009,939 | 0.8 | % | |||||||||
Germany - 1.5% | ||||||||||||
KFW | ||||||||||||
6.250%, 05/19/2021 | AUD | 9,900,000 | 8,708,921 | 1.4 | % | |||||||
OTHER SECURITIES | 416,596 | 0.1 | % | |||||||||
9,125,517 | ||||||||||||
Greece - 0.0% | 104,167 | 0.0 | % | |||||||||
Italy - 1.0% | ||||||||||||
Banca Carige SpA | ||||||||||||
3.875%, 10/24/2018 | EUR | 2,800,000 | 3,322,924 | 0.5 | % | |||||||
OTHER SECURITIES | 2,710,456 | 0.5 | % | |||||||||
6,033,380 | ||||||||||||
Ivory Coast - 0.4% | 2,464,966 | 0.4 | % | |||||||||
Japan - 0.7% | 4,068,196 | 0.7 | % |
Global Bond Trust (continued)
Shares or Principal Amount | Value | % of Net Assets | ||||||||||
CORPORATE BONDS (continued) | ||||||||||||
Netherlands - 1.4% | ||||||||||||
Cooperatieve Rabobank UA | ||||||||||||
2.500%, 01/19/2021 | $ | 3,600,000 | $ | 3,691,566 | 0.6 | % | ||||||
ING Bank NV | ||||||||||||
2.625%, 12/05/2022 | 3,500,000 | 3,656,776 | 0.6 | % | ||||||||
OTHER SECURITIES | 1,443,343 | 0.2 | % | |||||||||
8,791,685 | ||||||||||||
Portugal - 0.1% | 797,074 | 0.1 | % | |||||||||
Russia - 0.3% | 2,192,433 | 0.3 | % | |||||||||
Sweden - 1.0% | ||||||||||||
Svenska Handelsbanken AB | ||||||||||||
1.781%, 03/30/2021 (P) | 3,700,000 | 3,736,057 | 0.6 | % | ||||||||
OTHER SECURITIES | 2,536,136 | 0.4 | % | |||||||||
6,272,193 | ||||||||||||
Switzerland - 1.7% | 10,236,862 | 1.7 | % | |||||||||
United Kingdom - 3.5% | ||||||||||||
Barclays Bank PLC (7.750% to | ||||||||||||
04/10/2018, then 5 Year | ||||||||||||
U.S. Swap Rate + 6.833%) | ||||||||||||
04/10/2023 | 3,700,000 | 3,820,250 | 0.6 | % | ||||||||
OTHER SECURITIES | 17,713,436 | 2.9 | % | |||||||||
21,533,686 | ||||||||||||
United States - 5.7% | ||||||||||||
MUFG Americas | ||||||||||||
Holdings Corp. | ||||||||||||
3.000%, 02/10/2025 | 3,500,000 | 3,561,803 | 0.6 | % | ||||||||
Starwood Hotels & Resorts | ||||||||||||
Worldwide, Inc. | ||||||||||||
6.750%, 05/15/2018 | 3,000,000 | 3,272,595 | 0.5 | % | ||||||||
OTHER SECURITIES | 28,613,144 | 4.6 | % | |||||||||
35,447,542 | ||||||||||||
TOTAL CORPORATE BONDS (Cost $171,769,888) | $ | 166,337,306 | ||||||||||
TERM LOANS (M) - 0.4% | ||||||||||||
United States - 0.4% | 2,294,328 | 0.4 | % | |||||||||
TOTAL TERM LOANS (Cost $2,297,375) | $ | 2,294,328 | ||||||||||
Municipal bonds 0.2% | 1,196,464 | 0.2 | % | |||||||||
TOTAL MUNICIPAL BONDS (Cost $1,170,852) | $ | 1,196,464 | ||||||||||
COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS - 11.5% | ||||||||||||
Australia - 0.0% | 226,860 | 0.0 | % | |||||||||
Canada - 0.4% | 2,534,280 | 0.4 | % | |||||||||
Italy - 0.7% | 4,280,388 | 0.7 | % | |||||||||
United Kingdom - 1.8% | ||||||||||||
Mansard Mortgages PLC, | ||||||||||||
Series 2007-2X, Class A1 | ||||||||||||
1.241%, 12/15/2049 (P) | GBP | 5,256,109 | 6,436,353 | 1.0 | % | |||||||
OTHER SECURITIES | 4,427,242 | 0.8 | % | |||||||||
10,863,595 | ||||||||||||
United States - 8.6% | ||||||||||||
Merrill Lynch/Countrywide | ||||||||||||
Commercial Mortgage Trust, | ||||||||||||
Series 2007-8, Class A3 | ||||||||||||
5.875%, 08/12/2049 (P) | $ | 3,151,686 | 3,252,007 | 0.5 | % |
The accompanying notes are an integral part of the financial statements. | 13 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Global Bond Trust (continued)
Shares or Principal Amount | Value | % of Net Assets | ||||||||||
COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS (continued) | ||||||||||||
United States (continued) | ||||||||||||
NCUA Guaranteed Notes Trust, | ||||||||||||
Series 2010-R2, Class 1A | ||||||||||||
0.806%, 11/06/2017 (P) | $ | 4,111,502 | $ | 4,112,420 | 0.7 | % | ||||||
OTHER SECURITIES | 45,533,086 | 7.4 | % | |||||||||
52,897,513 | ||||||||||||
TOTAL COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS (Cost $75,989,727) | $ | 70,802,636 | ||||||||||
ASSET BACKED SECURITIES - 4.6% | ||||||||||||
WaMu Asset-Backed | ||||||||||||
Certificates, | ||||||||||||
0.806%, 04/25/2037 (P) | 7,478,689 | 3,355,007 | 0.6 | % | ||||||||
OTHER SECURITIES | 25,235,908 | 4.0 | % | |||||||||
TOTAL ASSET BACKED | ||||||||||||
SECURITIES (Cost $30,642,529) | $ | 28,590,915 | ||||||||||
COMMON STOCKS - 0.0% | ||||||||||||
United States - 0.0% | 45,486 | 0.0 | % | |||||||||
TOTAL COMMON STOCKS (Cost $15,920) | $ | 45,486 | ||||||||||
PREFERRED SECURITIES - 0.0% | ||||||||||||
United States - 0.0% | 236,670 | 0.0 | % | |||||||||
TOTAL PREFERRED SECURITIES (Cost $110,250) | $ | 236,670 | ||||||||||
ESCROW SHARES - 0.1% | ||||||||||||
United States - 0.1% | 735,175 | 0.1 | % | |||||||||
TOTAL ESCROW SHARES (Cost $0) | $ | 735,175 | ||||||||||
PURCHASED OPTIONS - 0.1% | ||||||||||||
Call options - 0.0% | 134,967 | 0.0 | % | |||||||||
Put options - 0.1% | 349,615 | 0.1 | % | |||||||||
TOTAL PURCHASED OPTIONS (Cost $717,382) | $ | 484,582 | ||||||||||
SHORT-TERM INVESTMENTS - 15.2% | ||||||||||||
Foreign government - 14.1% | ||||||||||||
Federative Republic of Brazil | ||||||||||||
11.317%, 07/01/2017 * | BRL | 13,100,000 | 3,597,453 | 0.6 | % | |||||||
Federative Republic of Brazil | ||||||||||||
13.902%, 10/01/2016 * | 43,900,000 | 13,204,097 | 2.1 | % | ||||||||
Japan Treasury Discount Bill, | ||||||||||||
0.000% | ||||||||||||
07/11/2016 * | JPY | 1,000,000,000 | 9,683,746 | 1.6 | % | |||||||
Japan Treasury Discount Bill, | ||||||||||||
0.000% | ||||||||||||
09/12/2016 * | 6,290,000,000 | 60,940,729 | 9.8 | % | ||||||||
87,426,025 | ||||||||||||
U.S. Government Agency - 1.1% | 6,598,313 | 1.1 | % | |||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $89,696,245) | $ | 94,024,338 | ||||||||||
Total Investments (Global Bond Trust) | ||||||||||||
(Cost $690,260,709) - 113.8% | $ | 703,390,290 | 113.8 | % | ||||||||
Other assets and liabilities, net - (13.8%) | (85,400,847 | ) | (13.8 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 617,989,443 | 100.0 | % |
Global Bond Trust (continued)
Shares or Principal Amount | Value | % of Net Assets | ||||||||||
SALE COMMITMENTS OUTSTANDING - (4.1)% | ||||||||||||
Federal National Mortgage Association - (4.1)% | ||||||||||||
4.500%, TBA (C) | $ | (12,500,000 | ) | $ | (13,646,447 | ) | (2.2 | )% | ||||
4.500%, TBA (C) | (5,000,000 | ) | (5,455,365 | ) | (0.9 | )% | ||||||
4.500%, TBA (C) | (5,000,000 | ) | (5,455,650 | ) | (0.9 | )% | ||||||
OTHER SECURITIES | (1,054,833 | ) | (0.2 | )% | ||||||||
TOTAL SALE COMMITMENTS | ||||||||||||
OUTSTANDING (Cost $(25,538,750)) | $ | (25,612,295 | ) | |||||||||
High Yield Trust | ||||||||||||
Shares or Principal Amount | Value | % of Net Assets | ||||||||||
U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS - 1.1% | ||||||||||||
U.S. Government - 1.1% | ||||||||||||
U.S. Treasury Notes | ||||||||||||
1.375%, 09/30/2020 | $ | 2,500,000 | $ | 2,545,899 | 1.1 | % | ||||||
TOTAL U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS (Cost $2,496,956) | $ | 2,545,899 | ||||||||||
�� | ||||||||||||
FOREIGN GOVERNMENT | ||||||||||||
OBLIGATIONS - 0.7% | ||||||||||||
Argentina - 0.3% | 646,600 | 0.3 | % | |||||||||
Brazil - 0.3% | 591,983 | 0.3 | % | |||||||||
Mexico - 0.1% | 340,576 | 0.1 | % | |||||||||
TOTAL FOREIGN GOVERNMENT | ||||||||||||
OBLIGATIONS (Cost $1,961,385) | $ | 1,579,159 | ||||||||||
CORPORATE BONDS - 86.5% | ||||||||||||
Consumer discretionary - 20.7% | ||||||||||||
Caesars Entertainment Resort | ||||||||||||
Properties LLC | ||||||||||||
11.000%, 10/01/2021 | 1,490,000 | 1,463,925 | 0.6 | % | ||||||||
CCO Holdings LLC | ||||||||||||
5.750%, 02/15/2023 (S) | 1,260,000 | 1,297,800 | 0.5 | % | ||||||||
Charter Communications | ||||||||||||
Operating LLC | ||||||||||||
4.908%, 07/23/2025 (S) | 1,550,000 | 1,689,340 | 0.7 | % | ||||||||
DISH DBS Corp. | ||||||||||||
5.875%, 07/15/2022 | ||||||||||||
to 11/15/2024 | 2,050,000 | 1,938,213 | 0.8 | % | ||||||||
Dollar Tree, Inc. | ||||||||||||
5.750%, 03/01/2023 (S) | 1,140,000 | 1,211,250 | 0.5 | % | ||||||||
Guitar Center, Inc. | ||||||||||||
9.625%, 04/15/2020 (S) | 1,570,000 | 1,095,075 | 0.5 | % | ||||||||
Netflix, Inc. | ||||||||||||
5.875%, 02/15/2025 | 1,080,000 | 1,132,650 | 0.5 | % | ||||||||
Virgin Media Finance PLC | ||||||||||||
6.000%, 10/15/2024 (S) | 1,680,000 | 1,650,600 | 0.7 | % | ||||||||
OTHER SECURITIES | 38,322,011 | 15.9 | % | |||||||||
49,800,864 | ||||||||||||
Consumer staples - 5.1% | ||||||||||||
Century Intermediate Holding | ||||||||||||
Company 2, PIK | ||||||||||||
9.750%, 02/15/2019 (S) | 1,070,000 | 1,086,050 | 0.4 | % | ||||||||
Constellation Brands, Inc. | ||||||||||||
4.750%, 11/15/2024 | ||||||||||||
to 12/01/2025 | 1,260,000 | 1,331,250 | 0.5 | % |
The accompanying notes are an integral part of the financial statements. | 14 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
High Yield Trust (continued)
Shares or Principal Amount | Value | % of Net Assets | ||||||||||
CORPORATE BONDS (continued) | ||||||||||||
Consumer staples (continued) | ||||||||||||
DS Services of America, Inc. | ||||||||||||
10.000%, 09/01/2021 (S) | $ | 970,000 | $ | 1,088,825 | 0.4 | % | ||||||
Simmons Foods, Inc. | ||||||||||||
7.875%, 10/01/2021 (S) | 1,460,000 | 1,328,600 | 0.5 | % | ||||||||
OTHER SECURITIES | 7,468,018 | 3.3 | % | |||||||||
12,302,743 | ||||||||||||
Energy - 13.4% | ||||||||||||
Freeport-McMoran Oil & Gas LLC | �� | |||||||||||
6.875%, 02/15/2023 | 1,910,000 | 1,843,150 | 0.8 | % | ||||||||
Rockies Express Pipeline LLC | ||||||||||||
6.875%, 04/15/2040 (S) | 1,250,000 | 1,190,625 | 0.5 | % | ||||||||
OTHER SECURITIES | 29,381,443 | 12.1 | % | |||||||||
32,415,218 | ||||||||||||
Financials - 8.1% | ||||||||||||
CIT Group, Inc. | ||||||||||||
5.000%, 08/15/2022 | ||||||||||||
to 08/01/2023 | 1,810,000 | 1,826,575 | 0.7 | % | ||||||||
CIT Group, Inc. | ||||||||||||
5.375%, 05/15/2020 | 1,020,000 | 1,063,350 | 0.4 | % | ||||||||
Citigroup, Inc. (6.300% to | ||||||||||||
05/15/2024, then 3 month | ||||||||||||
LIBOR + 3.423%) | ||||||||||||
05/15/2024 (Q) | 1,060,000 | 1,054,594 | 0.4 | % | ||||||||
CNO Financial Group, Inc. | ||||||||||||
5.250%, 05/30/2025 | 1,010,000 | 1,040,300 | 0.4 | % | ||||||||
CTR Partnership LP | ||||||||||||
5.875%, 06/01/2021 | 1,030,000 | 1,030,000 | 0.4 | % | ||||||||
Quicken Loans, Inc. | ||||||||||||
5.750%, 05/01/2025 (S) | 1,110,000 | 1,071,150 | 0.5 | % | ||||||||
OTHER SECURITIES | 12,392,414 | 5.3 | % | |||||||||
19,478,383 | ||||||||||||
Health care - 7.3% | ||||||||||||
DJO Finco, Inc. | ||||||||||||
8.125%, 06/15/2021 (S) | 1,230,000 | 1,063,950 | 0.4 | % | ||||||||
HCA, Inc. | ||||||||||||
5.875%, 02/15/2026 | 1,500,000 | 1,556,250 | 0.6 | % | ||||||||
Tenet Healthcare Corp. | ||||||||||||
6.750%, 06/15/2023 | 1,160,000 | 1,110,700 | 0.5 | % | ||||||||
Universal Hospital Services, Inc. | ||||||||||||
7.625%, 08/15/2020 | 1,410,000 | 1,295,438 | 0.5 | % | ||||||||
Valeant Pharmaceuticals | ||||||||||||
International, Inc. | ||||||||||||
5.500%, 03/01/2023 (S) | 1,950,000 | 1,566,094 | 0.7 | % | ||||||||
OTHER SECURITIES | 10,926,173 | 4.6 | % | |||||||||
17,518,605 | ||||||||||||
Industrials - 10.4% | ||||||||||||
American Builders & Contractors | ||||||||||||
Supply Company, Inc. | ||||||||||||
5.625%, 04/15/2021 (S) | 1,180,000 | 1,218,350 | 0.5 | % | ||||||||
CBC Ammo LLC | ||||||||||||
7.250%, 11/15/2021 (S) | 1,310,000 | 1,106,950 | 0.5 | % | ||||||||
DH Services Luxembourg Sarl | ||||||||||||
7.750%, 12/15/2020 (S) | 1,000,000 | 1,047,500 | 0.4 | % | ||||||||
H&E Equipment Services, Inc. | ||||||||||||
7.000%, 09/01/2022 (L) | 1,080,000 | 1,117,800 | 0.5 | % | ||||||||
West Corp. | ||||||||||||
5.375%, 07/15/2022 (S) | 1,260,000 | 1,171,800 | 0.5 | % | ||||||||
OTHER SECURITIES | 19,392,952 | 8.0 | % | |||||||||
25,055,352 |
High Yield Trust (continued)
Shares or Principal Amount | Value | % of Net Assets | ||||||||||
CORPORATE BONDS (continued) | ||||||||||||
Information technology - 2.0% | ||||||||||||
First Data Corp. | ||||||||||||
5.000%, 01/15/2024 (S) | $ | 1,360,000 | $ | 1,363,400 | 0.6 | % | ||||||
OTHER SECURITIES | 3,504,053 | 1.4 | % | |||||||||
4,867,453 | ||||||||||||
Materials - 8.7% | ||||||||||||
Ardagh Packaging Finance PLC | ||||||||||||
7.250%, 05/15/2024 (S) | 1,850,000 | 1,891,625 | 0.8 | % | ||||||||
Pactiv LLC | ||||||||||||
8.375%, 04/15/2027 | 1,510,000 | 1,585,500 | 0.7 | % | ||||||||
Reynolds Group Issuer, Inc. | ||||||||||||
7.000%, 07/15/2024 (S) | 1,450,000 | 1,492,775 | 0.6 | % | ||||||||
OTHER SECURITIES | 15,991,847 | 6.6 | % | |||||||||
20,961,747 | ||||||||||||
Telecommunication services - 8.4% | ||||||||||||
Cogent Communications Group, Inc. | ||||||||||||
5.375%, 03/01/2022 (S) | 1,540,000 | 1,543,850 | 0.6 | % | ||||||||
Intelsat Jackson Holdings SA | ||||||||||||
8.000%, 02/15/2024 (L)(S) | 1,060,000 | 1,044,100 | 0.4 | % | ||||||||
Numericable-SFR SA | ||||||||||||
7.375%, 05/01/2026 (S) | 2,170,000 | 2,145,588 | 0.9 | % | ||||||||
Sprint Communications, Inc. | ||||||||||||
11.500%, 11/15/2021 | 1,080,000 | 1,067,040 | 0.4 | % | ||||||||
Sprint Corp. | ||||||||||||
7.250%, 09/15/2021 | 2,400,000 | 2,046,000 | 0.8 | % | ||||||||
Sprint Corp. | ||||||||||||
7.875%, 09/15/2023 | 1,520,000 | 1,242,600 | 0.5 | % | ||||||||
T-Mobile USA, Inc. | ||||||||||||
6.500%, 01/15/2026 | 1,460,000 | 1,540,300 | 0.6 | % | ||||||||
OTHER SECURITIES | 9,684,321 | 4.2 | % | |||||||||
20,313,799 | ||||||||||||
Utilities - 2.4% | ||||||||||||
Miran Mid-Atlantic Series C Pass | ||||||||||||
Through Trust | ||||||||||||
10.060%, 12/30/2028 | 1,558,871 | 1,492,619 | 0.6 | % | ||||||||
NRG REMA LLC | ||||||||||||
9.681%, 07/02/2026 | 1,291,000 | 1,239,360 | 0.5 | % | ||||||||
Red Oak Power LLC | ||||||||||||
9.200%, 11/30/2029 | 1,030,000 | 1,066,050 | 0.5 | % | ||||||||
OTHER SECURITIES | 1,973,042 | 0.8 | % | |||||||||
5,771,071 | ||||||||||||
TOTAL CORPORATE BONDS (Cost $223,009,974) | $ | 208,485,235 | ||||||||||
CAPITAL PREFERRED SECURITIES - 0.3% | ||||||||||||
Financials - 0.3% | 785,000 | 0.3 | % | |||||||||
TOTAL CAPITAL PREFERRED | ||||||||||||
SECURITIES (Cost $839,484) | $ | 785,000 | ||||||||||
CONVERTIBLE BONDS - 0.2% | ||||||||||||
Materials - 0.2% | 440,469 | 0.2 | % | |||||||||
TOTAL CONVERTIBLE BONDS (Cost $1,007,342) | $ | 440,469 | ||||||||||
TERM LOANS (M) - 4.0% | ||||||||||||
Consumer discretionary - 0.6% | 1,436,374 | 0.6 | % | |||||||||
Energy - 1.3% | 3,038,610 | 1.3 | % | |||||||||
Financials - 0.1% | 168,300 | 0.1 | % | |||||||||
Health care - 0.7% | 1,761,141 | 0.7 | % | |||||||||
Industrials - 0.7% | 1,637,444 | 0.7 | % | |||||||||
Information technology - 0.2% | 511,578 | 0.2 | % |
The accompanying notes are an integral part of the financial statements. | 15 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
High Yield Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
TERM LOANS (M) (continued) | ||||||||||||
Materials - 0.0% | $ | 74,448 | 0.0 | % | ||||||||
Telecommunication services - 0.4% | ||||||||||||
CWGS Group LLC | ||||||||||||
5.750%, 02/20/2020 | $ | 1,065,057 | 1,051,078 | 0.4 | % | |||||||
TOTAL TERM LOANS (Cost $10,562,276) | $ | 9,678,973 | ||||||||||
COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS - 0.4% | ||||||||||||
Commercial and residential - 0.4% | 933,217 | 0.4 | % | |||||||||
TOTAL COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS (Cost $1,055,801) | $ | 933,217 | ||||||||||
Asset backed securities 2.1% | 5,161,752 | 2.1 | % | |||||||||
TOTAL ASSET BACKED | ||||||||||||
SECURITIES (Cost $5,837,668) | $ | 5,161,752 | ||||||||||
COMMON STOCKS - 2.3% | ||||||||||||
Consumer discretionary - 0.2% | 511,910 | 0.2 | % | |||||||||
Energy - 1.0% | ||||||||||||
KCAD Holdings I, Ltd. (I) | 165,553,563 | 1,082,058 | 0.4 | % | ||||||||
Magnum Hunter Resources Corp. (I) | 97,394 | 1,326,993 | 0.6 | % | ||||||||
OTHER SECURITIES | 63,508 | 0.0 | % | |||||||||
2,472,559 | ||||||||||||
Financials - 0.8% | ||||||||||||
Citigroup, Inc. | 28,876 | 1,224,054 | 0.5 | % | ||||||||
OTHER SECURITIES | 572,247 | 0.3 | % | |||||||||
1,796,301 | ||||||||||||
Health care - 0.1% | 142,715 | 0.1 | % | |||||||||
Industrials - 0.2% | 489,722 | 0.2 | % | |||||||||
Materials - 0.0% | 2 | 0.0 | % | |||||||||
Telecommunication services - 0.0% | 40,774 | 0.0 | % | |||||||||
TOTAL COMMON STOCKS (Cost $11,685,741) | $ | 5,453,983 | ||||||||||
PREFERRED SECURITIES - 1.3% | ||||||||||||
Financials - 1.1% | ||||||||||||
GMAC Capital Trust I, 6.411% | 100,372 | 2,491,233 | 1.1 | % | ||||||||
Health care - 0.2% | 549,356 | 0.2 | % | |||||||||
TOTAL PREFERRED SECURITIES (Cost $2,991,921) | $ | 3,040,589 | ||||||||||
ESCROW CERTIFICATES - 0.0% | ||||||||||||
Consumer discretionary - 0.0% | 30,375 | 0.0 | % | |||||||||
Health care - 0.0% | 500 | 0.0 | % | |||||||||
TOTAL ESCROW CERTIFICATES (Cost $435,127) | $ | 30,875 |
High Yield Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
SECURITIES LENDING COLLATERAL - 3.0% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 724,216 | $ | 7,247,233 | 3.0 | % | |||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $7,247,320) | $ | 7,247,233 | ||||||||||
SHORT-TERM INVESTMENTS - 0.0% | ||||||||||||
Repurchase agreement 0.0% | $ | 102,049 | 0.00 | % | ||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $102,049) | $ | 102,049 | ||||||||||
Total Investments (High Yield Trust) | ||||||||||||
(Cost $269,233,044) - 101.9% | $ | 245,484,433 | 101.9 | % | ||||||||
Other assets and liabilities, net - (1.9%) | (4,463,073 | ) | (1.9 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 241,021,360 | 100.0 | % |
Income Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS - 48.1% | ||||||||||||
Consumer discretionary - 2.9% | ||||||||||||
General Motors Company | 99,416 | $ | 2,813,473 | 0.8 | % | |||||||
Target Corp. | 35,000 | 2,443,700 | 0.7 | % | ||||||||
OTHER SECURITIES | 4,594,488 | 1.4 | % | |||||||||
9,851,661 | ||||||||||||
Consumer staples - 1.7% | ||||||||||||
PepsiCo, Inc. | 40,920 | 4,335,065 | 1.3 | % | ||||||||
OTHER SECURITIES | 1,448,480 | 0.4 | % | |||||||||
5,783,545 | ||||||||||||
Energy - 9.1% | ||||||||||||
BP PLC, ADR | 117,000 | 4,154,670 | 1.2 | % | ||||||||
Chevron Corp. | 63,000 | 6,604,290 | 1.9 | % | ||||||||
Royal Dutch Shell PLC, | ||||||||||||
ADR, Class A | 189,955 | 10,489,315 | 3.1 | % | ||||||||
Total SA, ADR | 79,454 | 3,821,737 | 1.1 | % | ||||||||
OTHER SECURITIES | 6,175,768 | 1.8 | % | |||||||||
31,245,780 | ||||||||||||
Financials - 3.8% | ||||||||||||
JPMorgan Chase & Co. | 44,160 | 2,744,102 | 0.8 | % | ||||||||
MetLife, Inc. | 68,462 | 2,726,841 | 0.8 | % | ||||||||
Wells Fargo & Company | 73,150 | 3,462,190 | 1.0 | % | ||||||||
OTHER SECURITIES | 4,121,789 | 1.2 | % | |||||||||
13,054,922 | ||||||||||||
Health care - 7.0% | ||||||||||||
AstraZeneca PLC | 64,500 | 3,856,033 | 1.1 | % | ||||||||
Eli Lilly & Company | 40,930 | 3,223,238 | 0.9 | % | ||||||||
Pfizer, Inc. | 200,000 | 7,042,000 | 2.1 | % | ||||||||
Roche Holding AG | 17,500 | 4,617,896 | 1.3 | % | ||||||||
Sanofi, ADR | 92,500 | 3,871,125 | 1.1 | % | ||||||||
OTHER SECURITIES | 1,581,325 | 0.5 | % | |||||||||
24,191,617 | ||||||||||||
Industrials - 6.6% | ||||||||||||
General Electric Company | 231,620 | 7,291,398 | 2.1 | % | ||||||||
Raytheon Company | 27,610 | 3,753,580 | 1.1 | % | ||||||||
Republic Services, Inc. | 47,620 | 2,443,382 | 0.7 | % | ||||||||
United Technologies Corp. | 39,600 | 4,060,980 | 1.2 | % |
The accompanying notes are an integral part of the financial statements. | 16 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Income Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COMMON STOCKS (continued) | ||||||||||||
Industrials (continued) | ||||||||||||
OTHER SECURITIES | $ | 5,124,372 | 1.5 | % | ||||||||
22,673,712 | ||||||||||||
Information technology - 6.4% | ||||||||||||
Apple, Inc. | 55,019 | 5,259,816 | 1.5 | % | ||||||||
Intel Corp. | 103,590 | 3,397,752 | 1.0 | % | ||||||||
Microsoft Corp. | 89,640 | 4,586,879 | 1.3 | % | ||||||||
Texas Instruments, Inc. | 53,370 | 3,343,631 | 1.0 | % | ||||||||
OTHER SECURITIES | 5,402,147 | 1.6 | % | |||||||||
21,990,225 | ||||||||||||
Materials - 4.1% | ||||||||||||
BASF SE | 55,000 | 4,217,329 | 1.2 | % | ||||||||
Rio Tinto PLC, ADR (L) | 130,000 | 4,069,000 | 1.2 | % | ||||||||
The Dow Chemical Company | 100,000 | 4,971,000 | 1.4 | % | ||||||||
OTHER SECURITIES | 916,300 | 0.3 | % | |||||||||
14,173,629 | ||||||||||||
Telecommunication services - 1.7% | ||||||||||||
Verizon Communications, Inc. | 63,000 | 3,517,920 | 1.0 | % | ||||||||
OTHER SECURITIES | 2,200,395 | 0.7 | % | |||||||||
5,718,315 | ||||||||||||
Utilities - 4.8% | ||||||||||||
Dominion Resources, Inc. | 41,638 | 3,244,849 | 0.9 | % | ||||||||
Duke Energy Corp. | 34,082 | 2,923,895 | 0.9 | % | ||||||||
PG&E Corp. | 57,400 | 3,669,008 | 1.1 | % | ||||||||
OTHER SECURITIES | 6,815,539 | 1.9 | % | |||||||||
16,653,291 | ||||||||||||
TOTAL COMMON STOCKS (Cost $145,417,888) | $ | 165,336,697 | ||||||||||
PREFERRED SECURITIES - 4.3% | ||||||||||||
Energy - 0.0% | 16,275 | 0.0 | % | |||||||||
Financials - 2.8% | ||||||||||||
Bank of America Corp., 7.250% | 3,350 | 4,003,250 | 1.2 | % | ||||||||
OTHER SECURITIES | 5,417,620 | 1.6 | % | |||||||||
9,420,870 | ||||||||||||
Health care - 0.5% | 1,806,504 | 0.5 | % | |||||||||
Information technology - 0.1% | 373,842 | 0.1 | % | |||||||||
Utilities - 0.9% | 3,094,574 | 0.9 | % | |||||||||
TOTAL PREFERRED | ||||||||||||
SECURITIES (Cost $13,042,064) | $ | 14,712,065 | ||||||||||
CORPORATE BONDS - 33.6% | ||||||||||||
Consumer discretionary - 4.0% | ||||||||||||
iHeartCommunications, Inc. | ||||||||||||
9.000%, 12/15/2019 | ||||||||||||
to 09/15/2022 | $ | 4,519,000 | $ | 3,276,690 | 0.9 | % | ||||||
OTHER SECURITIES | 10,413,603 | 3.1 | % | |||||||||
13,690,293 | ||||||||||||
Consumer staples - 0.2% | 500,000 | 0.2 | % | |||||||||
Energy - 4.4% | ||||||||||||
Weatherford International, Ltd. | ||||||||||||
7.750%, 06/15/2021 (L) | 3,000,000 | 2,921,250 | 0.9 | % | ||||||||
OTHER SECURITIES | 12,313,677 | 3.5 | % | |||||||||
15,234,927 |
Income Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
CORPORATE BONDS (continued) | ||||||||||||
Financials - 4.9% | ||||||||||||
Citigroup, Inc. (5.875% to | ||||||||||||
03/27/2020, then 3 month | ||||||||||||
LIBOR + 4.059%) | ||||||||||||
03/27/2020 (Q) | $ | 2,500,000 | $ | 2,400,000 | 0.7 | % | ||||||
JPMorgan Chase & Co. (7.900% to | ||||||||||||
04/30/2018, then 3 month | ||||||||||||
LIBOR + 3.470%) | ||||||||||||
04/30/2018 (Q) | 2,500,000 | 2,550,000 | 0.7 | % | ||||||||
Royal Bank of Canada | ||||||||||||
4.910%, 04/05/2017 (S) | 4,100,000 | 2,910,287 | 0.9 | % | ||||||||
OTHER SECURITIES | 9,080,240 | 2.6 | % | |||||||||
16,940,527 | ||||||||||||
Health care - 4.7% | ||||||||||||
Community Health Systems, Inc. | ||||||||||||
8.000%, 11/15/2019 (L) | 3,000,000 | 2,928,750 | 0.8 | % | ||||||||
Tenet Healthcare Corp. | ||||||||||||
8.125%, 04/01/2022 | 2,400,000 | 2,459,520 | 0.7 | % | ||||||||
OTHER SECURITIES | 10,606,948 | 3.2 | % | |||||||||
15,995,218 | ||||||||||||
Industrials - 2.1% | ||||||||||||
XPO Logistics, Inc. | ||||||||||||
6.500%, 06/15/2022 (L)(S) | 3,000,000 | 2,861,250 | 0.8 | % | ||||||||
OTHER SECURITIES | 4,436,633 | 1.3 | % | |||||||||
7,297,883 | ||||||||||||
Information technology - 3.9% | ||||||||||||
First Data Corp. | ||||||||||||
7.000%, 12/01/2023 (S) | 2,700,000 | 2,740,500 | 0.8 | % | ||||||||
OTHER SECURITIES | 10,750,859 | 3.1 | % | |||||||||
13,491,359 | ||||||||||||
Materials - 2.7% | ||||||||||||
FMG Resources | ||||||||||||
August 2006 Pty, Ltd. | ||||||||||||
9.750%, 03/01/2022 (S) | 2,500,000 | 2,762,500 | 0.8 | % | ||||||||
OTHER SECURITIES | 6,613,425 | 1.9 | % | |||||||||
9,375,925 | ||||||||||||
Telecommunication services - 3.7% | ||||||||||||
Sprint Communications, Inc. | ||||||||||||
9.000%, 11/15/2018 (S) | 2,900,000 | 3,088,500 | 0.9 | % | ||||||||
T-Mobile USA, Inc. | ||||||||||||
6.633%, 04/28/2021 | 2,500,000 | 2,612,500 | 0.8 | % | ||||||||
T-Mobile USA, Inc. | ||||||||||||
6.731%, 04/28/2022 | 2,500,000 | 2,628,875 | 0.8 | % | ||||||||
OTHER SECURITIES | 4,252,000 | 1.2 | % | |||||||||
12,581,875 | ||||||||||||
Utilities - 3.0% | ||||||||||||
Dynegy, Inc. | ||||||||||||
6.750%, 11/01/2019 | 4,000,000 | 4,010,000 | 1.2 | % | ||||||||
InterGen NV | ||||||||||||
7.000%, 06/30/2023 (S) | 4,000,000 | 2,830,000 | 0.8 | % | ||||||||
OTHER SECURITIES | 3,407,500 | 1.0 | % | |||||||||
10,247,500 | ||||||||||||
TOTAL CORPORATE BONDS (Cost $119,753,314) | $ | 115,355,507 | ||||||||||
CONVERTIBLE BONDS - 2.5% | ||||||||||||
Consumer discretionary - 0.2% | 598,750 | 0.2 | % | |||||||||
Energy - 0.9% | 2,979,585 | 0.9 | % |
The accompanying notes are an integral part of the financial statements. | 17 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Income Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
CONVERTIBLE BONDS (continued) | ||||||||||||
Financials - 1.4% | ||||||||||||
Wells Fargo Bank NA | ||||||||||||
2.262%, 04/03/2017 (S) | $ | 9,800,000 | $ | 3,179,463 | 0.9 | % | ||||||
OTHER SECURITIES | 1,740,092 | 0.5 | % | |||||||||
4,919,555 | ||||||||||||
TOTAL CONVERTIBLE BONDS (Cost $11,160,981) | $ | 8,497,890 | ||||||||||
TERM LOANS (M) - 3.0% | ||||||||||||
Consumer discretionary - 1.8% | ||||||||||||
Belk, Inc. | ||||||||||||
5.750%, 12/12/2022 | 3,491,250 | 2,749,359 | 0.8 | % | ||||||||
OTHER SECURITIES | 3,442,333 | 1.0 | % | |||||||||
6,191,692 | ||||||||||||
Health care - 0.4% | 1,501,237 | 0.4 | % | |||||||||
Industrials - 0.8% | 2,683,137 | 0.8 | % | |||||||||
TOTAL TERM LOANS (Cost $11,448,058) | $ | 10,376,066 | ||||||||||
ESCROW CERTIFICATES - 0.0% | ||||||||||||
Consumer discretionary - 0.0% | 850 | 0.0 | % | |||||||||
TOTAL ESCROW CERTIFICATES (Cost $326) | $ | 850 | ||||||||||
EQUITY LINKED SECURITIES - 2.3% | ||||||||||||
Ford Motor Company (Morgan | ||||||||||||
Stanley) | ||||||||||||
1.112%, 04/10/2017 | 24,900,000 | 3,095,294 | 0.9 | % | ||||||||
OTHER SECURITIES | 4,843,262 | 1.4 | % | |||||||||
TOTAL EQUITY LINKED | ||||||||||||
SECURITIES (Cost $8,196,560) | $ | 7,938,556 | ||||||||||
SECURITIES LENDING COLLATERAL - 4.4% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, 0.5557% (W)(Y) | 1,513,346 | 15,144,054 | 4.4 | % | ||||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $15,144,415) | $ | 15,144,054 | ||||||||||
SHORT-TERM INVESTMENTS - 2.4% | ||||||||||||
U.S. Government Agency - 2.4% | ||||||||||||
Federal Home Loan Bank Discount | ||||||||||||
Note, 0.081%, 07/01/2016 * | $ | 8,435,000 | $ | 8,435,000 | 2.4 | % | ||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $8,435,000) | $ | 8,435,000 | ||||||||||
Total Investments (Income Trust) | ||||||||||||
(Cost $332,598,606) - 100.6% | $ | 345,796,685 | 100.6 | % | ||||||||
Other assets and liabilities, net - (0.6%) | (2,147,659 | ) | (0.6 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 343,649,026 | 100.0 | % |
Investment Quality Bond Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS - 49.9% | ||||||||||||
Treasury Inflation Protected Securities - 7.3% | ||||||||||||
0.125%, 07/15/2024 | $ | 7,750,621 | $ | 7,830,243 | 2.5 | % | ||||||
0.250%, 01/15/2025 | 11,392,800 | 11,569,693 | 3.8 | % |
Investment Quality Bond Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS (continued) | �� | |||||||||||
Treasury Inflation Protected Securities (continued) | ||||||||||||
0.375%, 07/15/2025 | $ | 2,930,477 | $ | 3,018,353 | 1.0 | % | ||||||
22,418,289 | ||||||||||||
U.S. Treasury Bonds - 2.8% | ||||||||||||
2.500%, 02/15/2045 | ||||||||||||
to 02/15/2046 | 1,852,000 | 1,930,062 | 0.6 | % | ||||||||
3.000%, 11/15/2044 | ||||||||||||
to 11/15/2045 | 2,305,000 | 2,652,640 | 0.9 | % | ||||||||
4.500%, 02/15/2036 | 2,824,000 | 4,067,995 | 1.3 | % | ||||||||
OTHER SECURITIES | 4,450 | 0.0 | % | |||||||||
8,655,147 | ||||||||||||
U.S. Treasury Notes - 2.8% | ||||||||||||
1.375%, 04/30/2021 (D) | 2,873,000 | 2,923,053 | 1.0 | % | ||||||||
1.625%, 05/15/2026 | 3,317,000 | 3,359,497 | 1.1 | % | ||||||||
1.750%, 09/30/2019 (D) | 2,200,000 | 2,268,922 | 0.7 | % | ||||||||
OTHER SECURITIES | 72,873 | 0.0 | % | |||||||||
8,624,345 | ||||||||||||
Federal Home Loan Mortgage Corp. - 9.0% | ||||||||||||
3.000%, TBA (C) | 2,300,000 | 2,412,608 | 0.8 | % | ||||||||
3.000%, 04/01/2045 | ||||||||||||
to 10/01/2045 | 3,442,058 | 3,570,987 | 1.1 | % | ||||||||
3.500%, TBA (C) | 3,500,000 | 3,686,531 | 1.3 | % | ||||||||
3.500%, 03/01/2046 | 5,716,369 | 6,032,492 | 2.0 | % | ||||||||
4.000%, TBA (C) | 8,400,000 | 8,987,636 | 2.9 | % | ||||||||
4.500%, TBA (C) | 2,200,000 | 2,399,540 | 0.8 | % | ||||||||
OTHER SECURITIES | 357,013 | 0.1 | % | |||||||||
27,446,807 | ||||||||||||
Federal National Mortgage Association - 19.1% | ||||||||||||
2.500%, TBA (C) | 1,600,000 | 1,655,359 | 0.5 | % | ||||||||
2.500%, 12/01/2042 | ||||||||||||
to 04/01/2045 | 1,855,149 | 1,882,602 | 0.6 | % | ||||||||
2.970%, 06/01/2027 | ||||||||||||
to 06/01/2030 | 1,281,000 | 1,334,471 | 0.4 | % | ||||||||
3.000%, TBA (C) | 21,800,000 | 22,602,665 | 7.4 | % | ||||||||
3.500%, TBA (C) | 16,600,000 | 17,502,032 | 5.7 | % | ||||||||
3.500%, 02/01/2046 | 4,915,480 | 5,190,960 | 1.7 | % | ||||||||
4.000%, TBA (C) | 1,000,000 | 1,071,486 | 0.3 | % | ||||||||
4.500%, TBA (C) | 3,100,000 | 3,383,440 | 1.1 | % | ||||||||
5.000%, TBA (C) | 1,800,000 | 1,999,406 | 0.7 | % | ||||||||
OTHER SECURITIES | 2,001,677 | 0.7 | % | |||||||||
58,624,098 | ||||||||||||
Government National Mortgage Association - 8.9% | ||||||||||||
3.000%, TBA (C) | 7,500,000 | 7,834,367 | 2.6 | % | ||||||||
3.000%, 04/15/2045 | ||||||||||||
to 06/20/2046 | 8,738,443 | 9,139,112 | 3.0 | % | ||||||||
3.500%, TBA (C) | 2,400,000 | 2,545,784 | 0.9 | % | ||||||||
4.000%, TBA (C) | 4,300,000 | 4,596,888 | 1.5 | % | ||||||||
4.500%, TBA (C) | 2,300,000 | 2,468,904 | 0.8 | % | ||||||||
OTHER SECURITIES | 620,961 | 0.1 | % | |||||||||
27,206,016 | ||||||||||||
TOTAL U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS (Cost $150,304,874) | $ | 152,974,702 |
The accompanying notes are an integral part of the financial statements. | 18 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Investment Quality Bond Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
FOREIGN GOVERNMENT | ||||||||||||
OBLIGATIONS - 2.1% | ||||||||||||
Argentina - 0.1% | $ | 195,193 | 0.1 | % | ||||||||
Brazil - 0.5% | ||||||||||||
Federative Republic of Brazil | ||||||||||||
6.000%, 08/15/2016 | ||||||||||||
to 08/15/2022 | BRL | 1,621,000 | 1,484,555 | 0.5 | % | |||||||
1,484,555 | ||||||||||||
Colombia - 0.1% | 153,851 | 0.1 | % | |||||||||
Japan - 0.6% | ||||||||||||
Government of Japan | ||||||||||||
0.100%, 08/15/2016 | JPY | 210,000,000 | 2,034,335 | 0.6 | % | |||||||
Mexico - 0.1% | 438,570 | 0.1 | % | |||||||||
Slovenia - 0.2% | 539,376 | 0.2 | % | |||||||||
South Africa - 0.1% | 308,038 | 0.1 | % | |||||||||
Thailand - 0.1% | 464,021 | 0.1 | % | |||||||||
Tunisia - 0.1% | 180,621 | 0.1 | % | |||||||||
United Arab Emirates - 0.1% | 404,580 | 0.1 | % | |||||||||
Uruguay - 0.1% | 178,144 | 0.1 | % | |||||||||
Venezuela - 0.0% | 50,781 | 0.0 | % | |||||||||
TOTAL FOREIGN GOVERNMENT | ||||||||||||
OBLIGATIONS (Cost $6,053,763) | $ | 6,432,065 | ||||||||||
CORPORATE BONDS - 32.7% | ||||||||||||
Consumer discretionary - 4.3% | 13,107,961 | 4.3 | % | |||||||||
Consumer staples - 3.0% | ||||||||||||
Anheuser-Busch InBev | ||||||||||||
Finance, Inc. | ||||||||||||
3.300%, 02/01/2023 | $ | 1,730,000 | 1,820,091 | 0.6 | % | |||||||
Anheuser-Busch InBev | ||||||||||||
Finance, Inc. | ||||||||||||
4.900%, 02/01/2046 | 1,515,000 | 1,774,623 | 0.6 | % | ||||||||
OTHER SECURITIES | 5,757,089 | 1.8 | % | |||||||||
9,351,803 | ||||||||||||
Energy - 4.5% | 13,941,109 | 4.5 | % | |||||||||
Financials - 12.0% | ||||||||||||
Citigroup, Inc. | ||||||||||||
4.450%, 09/29/2027 | 1,170,000 | 1,202,861 | 0.4 | % | ||||||||
Morgan Stanley | ||||||||||||
6.625%, 04/01/2018 | 1,225,000 | 1,328,090 | 0.4 | % | ||||||||
Santander Issuances SAU | ||||||||||||
5.179%, 11/19/2025 | 1,200,000 | 1,199,401 | 0.4 | % | ||||||||
OTHER SECURITIES | 32,940,028 | 10.8 | % | |||||||||
36,670,380 | ||||||||||||
Health care - 2.6% | 7,927,013 | 2.6 | % | |||||||||
Industrials - 1.4% | 4,286,030 | 1.4 | % | |||||||||
Information technology - 1.0% | 3,107,844 | 1.0 | % | |||||||||
Materials - 0.6% | 1,801,369 | 0.6 | % | |||||||||
Telecommunication services - 2.6% | ||||||||||||
Verizon Communications, Inc. | ||||||||||||
4.672%, 03/15/2055 | 1,773,000 | 1,791,031 | 0.6 | % | ||||||||
OTHER SECURITIES | 6,093,040 | 2.0 | % | |||||||||
7,884,071 | ||||||||||||
Utilities - 0.7% | 2,214,937 | 0.7 | % | |||||||||
TOTAL CORPORATE BONDS (Cost $98,251,849) | $ | 100,292,517 |
Investment Quality Bond Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
CORPORATE BONDS (continued) | ||||||||||||
Municipal bonds - 1.3% | $ | 3,925,387 | 1.3 | % | ||||||||
TOTAL MUNICIPAL BONDS (Cost $3,736,812) | $ | 3,925,387 | ||||||||||
TERM LOANS (M) - 3.5% | ||||||||||||
Consumer discretionary - 1.3% | 4,098,907 | 1.3 | % | |||||||||
Consumer staples - 0.2% | 626,505 | 0.2 | % | |||||||||
Energy - 0.1% | 245,150 | 0.1 | % | |||||||||
Financials - 0.3% | 929,733 | 0.3 | % | |||||||||
Health care - 0.4% | 1,252,352 | 0.4 | % | |||||||||
Industrials - 0.4% | 1,318,942 | 0.4 | % | |||||||||
Information technology - 0.3% | 993,280 | 0.3 | % | |||||||||
Materials - 0.3% | 989,954 | 0.3 | % | |||||||||
Telecommunication services - 0.1% | 199,750 | 0.1 | % | |||||||||
Utilities - 0.1% | 133,313 | 0.1 | % | |||||||||
TOTAL TERM LOANS (Cost $11,208,721) | $ | 10,787,886 | ||||||||||
COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS - 12.2% | ||||||||||||
Commercial and residential - 10.5% | 32,158,565 | 10.5 | % | |||||||||
Federal Home Loan Mortgage Corp. - 1.7% | ||||||||||||
3.046%, 12/25/2027 (P) | $ | 1,129,000 | 1,150,627 | 0.4 | % | |||||||
OTHER SECURITIES | 3,855,585 | 1.3 | % | |||||||||
5,006,212 | ||||||||||||
Government National Mortgage Association - 0.0% | 23,628 | 0.0 | % | |||||||||
TOTAL COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS (Cost $37,457,815) | $ | 37,188,405 | ||||||||||
ASSET BACKED SECURITIES - 15.7% | ||||||||||||
Apidos CLO XVII, | ||||||||||||
2.133%, 04/17/2026 (P)(S) | 1,200,000 | 1,198,116 | 0.4 | % | ||||||||
Apidos CLO XVII, | ||||||||||||
2.683%, 04/17/2026 (P)(S) | 1,190,000 | 1,170,014 | 0.4 | % | ||||||||
Apidos CLO XXI, | ||||||||||||
2.063%, 07/18/2027 (P)(S) | 1,170,000 | 1,164,569 | 0.4 | % | ||||||||
Avery Point VI CLO, Ltd., | ||||||||||||
2.083%, 08/05/2027 (P)(S) | 1,230,000 | 1,223,112 | 0.4 | % | ||||||||
Babson CLO, Ltd., | ||||||||||||
2.064%, 04/20/2027 (P)(S) | 1,205,000 | 1,196,758 | 0.4 | % | ||||||||
BlueMountain CLO, Ltd., | ||||||||||||
2.114%, 10/20/2027 (P)(S) | 1,040,000 | 1,036,256 | 0.3 | % | ||||||||
Galaxy XV CLO, Ltd., | ||||||||||||
1.878%, 04/15/2025 (P)(S) | 1,140,000 | 1,129,959 | 0.4 | % | ||||||||
NRZ Advance Receivables Trust, | ||||||||||||
3.302%, 08/17/2048 (S) | 2,035,000 | 2,054,274 | 0.7 | % | ||||||||
OCP CLO, Ltd., | ||||||||||||
2.163%, 04/17/2027 (P)(S) | 1,065,000 | 1,051,591 | 0.3 | % | ||||||||
Shackleton 2015-VIII CLO, Ltd., | ||||||||||||
2.144%, 10/20/2027 (P)(S) | 1,035,000 | 1,027,168 | 0.3 | % | ||||||||
OTHER SECURITIES | 35,958,224 | 11.7 | % | |||||||||
TOTAL ASSET BACKED | ||||||||||||
SECURITIES (Cost $48,384,407) | $ | 48,210,041 |
The accompanying notes are an integral part of the financial statements. | 19 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Investment Quality Bond Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
SECURITIES LENDING COLLATERAL - 0.1% | ||||||||||||
John Hancock | ||||||||||||
Collateral Trust, | ||||||||||||
0.5557% (W)(Y) | 21,728 | $ | 217,428 | 0.1 | % | |||||||
TOTAL SECURITIES LENDING | ||||||||||||
COLLATERAL (Cost $217,432) | $ | 217,428 | ||||||||||
SHORT-TERM INVESTMENTS - 8.9% | ||||||||||||
Repurchase agreement - 8.9% | ||||||||||||
Deutsche Bank Tri-Party | ||||||||||||
Repurchase Agreement dated | ||||||||||||
06/30/2016 at 0.410% to be | ||||||||||||
repurchased at $15,400,175 on | ||||||||||||
07/01/2016, collateralized by | ||||||||||||
$12,011,400 U.S. Treasury | ||||||||||||
Bonds, 3.625% due | ||||||||||||
02/15/2044 (valued at | ||||||||||||
$15,708,064, | ||||||||||||
including interest) | $ | 15,400,000 | $ | 15,400,000 | 5.1 | % | ||||||
Goldman Sachs Tri-Party | ||||||||||||
Repurchase Agreement dated | ||||||||||||
06/30/2016 at 0.420% to be | ||||||||||||
repurchased at $11,700,137 on | ||||||||||||
07/01/2016, collateralized by | ||||||||||||
$4,623,086 Federal Home | ||||||||||||
Loan Mortgage Corp., | ||||||||||||
3.500% - 3.501% due | ||||||||||||
05/01/2041 - 06/01/2045 | ||||||||||||
(valued at $4,923,292, | ||||||||||||
including interest) and | ||||||||||||
$6,520,866 Federal National | ||||||||||||
Mortgage Association, | ||||||||||||
2.218% - 6.308% due | ||||||||||||
05/01/2035 - 05/01/2046 | ||||||||||||
(valued at $7,010,708, | ||||||||||||
including interest) | 11,700,000 | 11,700,000 | 3.8 | % | ||||||||
27,100,000 | ||||||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $27,100,000) | $ | 27,100,000 | ||||||||||
Total Investments (Investment Quality Bond Trust) | ||||||||||||
(Cost $382,715,673) - 126.4% | $ | 387,128,431 | 126.4 | % | ||||||||
Other assets and liabilities, net - (26.4%) | (80,764,424 | ) | (26.4 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 306,364,007 | 100.0 | % |
Money Market Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS - 100.3% | ||||||||||||
U.S. Treasury Bills - 18.5% | ||||||||||||
0.400%, 07/28/2016 to | ||||||||||||
08/18/2016 * | $ | 186,970,000 | $ | 186,884,741 | 7.9 | % | ||||||
0.405%, 07/28/2016 * | 55,000,000 | 54,983,294 | 2.4 | % | ||||||||
0.430%, 08/18/2016* | 60,000,000 | 59,965,600 | 2.6 | % | ||||||||
0.435%, 07/28/2016* | 60,000,000 | 59,980,425 | 2.6 | % | ||||||||
0.481%, 07/14/2016 * | 70,000,000 | 69,987,841 | 3.0 | % | ||||||||
Federal Agricultural Mortgage Corp. - 20.9% | ||||||||||||
0.350%, 08/03/2016 to | ||||||||||||
09/15/2016 * | 74,000,000 | 73,949,085 | 3.2 | % |
Money Market Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS (continued) | ||||||||||||
Federal Agricultural Mortgage Corp. (continued) | ||||||||||||
0.360%, 07/29/2016 to | ||||||||||||
09/06/2016 * | $ | 75,000,000 | $ | 74,956,490 | 3.2 | % | ||||||
0.370%, 07/05/2016* | 26,000,000 | 25,998,931 | 1.1 | % | ||||||||
0.380%, 07/05/2016 * | 45,000,000 | 44,998,100 | 1.9 | % | ||||||||
0.486%, 05/09/2017 (P)* | 75,000,000 | 75,000,000 | 3.2 | % | ||||||||
0.519%, 07/03/2017 (P)* | 75,000,000 | 75,000,000 | 3.2 | % | ||||||||
0.570%, 04/03/2017 (P)* | 60,000,000 | 60,000,000 | 2.5 | % | ||||||||
0.575%, 03/07/2017 (P)* | 60,000,000 | 60,000,000 | 2.6 | % | ||||||||
Federal Farm Credit Bank - 12.2% | ||||||||||||
0.310%, 07/11/2016 to | ||||||||||||
07/25/2016 * | 46,085,000 | 46,077,415 | 2.0 | % | ||||||||
0.320%, 08/05/2016 * | 25,000,000 | 24,992,222 | 1.1 | % | ||||||||
0.330%, 08/12/2016 * | 25,000,000 | 24,990,375 | 1.1 | % | ||||||||
0.360%, 10/03/2016 * | 10,000,000 | 9,990,600 | 0.4 | % | ||||||||
0.430%, 11/03/2016 * | 29,300,000 | 29,256,253 | 1.3 | % | ||||||||
0.497%, 05/24/2017 (P)* | 10,000,000 | 10,000,000 | 0.4 | % | ||||||||
0.500%, 04/27/2017 (P)* | 100,000,000 | 100,000,000 | 4.3 | % | ||||||||
0.503%, 04/20/2017 (P)* | 10,000,000 | 10,000,401 | 0.4 | % | ||||||||
0.508%, 02/27/2017 (P)* | 10,000,000 | 10,001,066 | 0.4 | % | ||||||||
0.580%, 12/14/2016 (P)* | 16,700,000 | 16,710,730 | 0.7 | % | ||||||||
OTHER SECURITIES | 3,357,531 | 0.1 | % | |||||||||
Federal Home Loan Bank - 40.0% | ||||||||||||
0.330%, 07/07/2016 to | ||||||||||||
07/12/2016 * | 60,610,000 | 60,603,916 | 2.6 | % | ||||||||
0.335%, 07/07/2016 to | ||||||||||||
08/03/2016 * | 26,777,000 | 26,770,110 | 1.1 | % | ||||||||
0.340%, 07/06/2016 to | ||||||||||||
08/12/2016 * | 34,542,000 | 34,533,584 | 1.5 | % | ||||||||
0.345%, 07/08/2016 to | ||||||||||||
07/22/2016 * | 66,800,000 | 66,788,421 | 2.9 | % | ||||||||
0.355%, 07/20/2016 * | 5,100,000 | 5,099,044 | 0.2 | % | ||||||||
0.360%, 07/27/2016 * | 51,450,000 | 51,436,623 | 2.2 | % | ||||||||
0.365%, 08/17/2016 * | 19,750,000 | 19,740,589 | 0.8 | % | ||||||||
0.375%, 08/01/2016 * | 12,230,000 | 12,226,051 | 0.5 | % | ||||||||
0.380%, 09/02/2016 to | ||||||||||||
09/23/2016 * | 36,310,000 | 36,278,267 | 1.6 | % | ||||||||
0.385%, 07/25/2016 to | ||||||||||||
11/18/2016 * | 19,000,000 | 18,987,680 | 0.9 | % | ||||||||
0.390%, 09/07/2016 to | ||||||||||||
10/05/2016 * | 45,445,000 | 45,409,907 | 1.9 | % | ||||||||
0.391%, 09/07/2016 to | ||||||||||||
09/09/2016 * | 16,115,000 | 16,102,792 | 0.7 | % | ||||||||
0.392%, 09/09/2016 * | 6,930,000 | 6,924,718 | 0.3 | % | ||||||||
0.395%, 09/09/2016 to | ||||||||||||
09/14/2016 * | 51,790,000 | 51,749,603 | 2.2 | % | ||||||||
0.396%, 09/09/2016 * | 5,320,000 | 5,315,903 | 0.2 | % | ||||||||
0.400%, 07/22/2016 to | ||||||||||||
10/19/2016 * | 153,873,000 | 153,704,078 | 6.5 | % | ||||||||
0.405%, 09/30/2016 * | 31,236,000 | 31,204,022 | 1.3 | % | ||||||||
0.420%, 08/10/2016 to | ||||||||||||
11/18/2016 * | 30,665,000 | 30,633,945 | 1.3 | % | ||||||||
0.430%, 08/15/2016 to | ||||||||||||
11/16/2016 * | 179,845,000 | 179,600,648 | 7.7 | % | ||||||||
0.440%, 11/02/2016 to | ||||||||||||
11/09/2016 * | 45,280,000 | 45,209,715 | 2.0 | % | ||||||||
0.445%, 11/02/2016 * | 8,400,000 | 8,387,125 | 0.4 | % | ||||||||
0.450%, 11/14/2016 * | 10,200,000 | 10,182,660 | 0.4 | % | ||||||||
OTHER SECURITIES | 19,817,280 | 0.8 | % | |||||||||
Federal Home Loan Mortgage Corp. - 3.4% | ||||||||||||
0.300%, 07/13/2016 * | 6,478,000 | 6,477,352 | 0.3 | % | ||||||||
0.360%, 07/22/2016 * | 5,000,000 | 4,998,950 | 0.2 | % |
The accompanying notes are an integral part of the financial statements. | 20 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Money Market Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS (continued) | ||||||||||||
Federal Home Loan Mortgage Corp. (continued) | ||||||||||||
0.370%, 10/04/2016 * | $ | 64,060,000 | $ | 63,997,453 | 2.7 | % | ||||||
OTHER SECURITIES | 3,998,827 | 0.2 | % | |||||||||
Federal National Mortgage Association - 5.3% | ||||||||||||
0.400%, 10/26/2016* | 68,184,000 | 68,095,361 | 2.9 | % | ||||||||
0.410%, 10/26/2016 * | 50,000,000 | 49,933,375 | 2.1 | % | ||||||||
OTHER SECURITIES | 6,160,446 | 0.3 | % | |||||||||
TOTAL U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS (Cost $2,347,449,545) | $ | 2,347,449,545 | ||||||||||
Total Investments (Money Market Trust) | ||||||||||||
(Cost $2,347,449,545) - 100.3% | $ | 2,347,449,545 | 100.3 | % | ||||||||
Other assets and liabilities, net - (0.3%) | (5,869,139 | ) | (0.3 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 2,341,580,406 | 100.0 | % |
New Income Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS - 44.3% | ||||||||||||
Treasury Inflation Protected Securities - 1.0% | ||||||||||||
0.625%, 01/15/2026 | $ | 13,445,547 | $ | 14,161,764 | 1.0 | % | ||||||
U.S. Treasury Bonds - 6.6% | ||||||||||||
2.500%, 02/15/2045 | 4,985,000 | 5,194,913 | 0.4 | % | ||||||||
3.000%, 11/15/2044 (D) | 12,750,000 | 14,671,961 | 1.1 | % | ||||||||
3.000%, 05/15/2045 | ||||||||||||
to 11/15/2045 | 16,495,000 | 18,981,303 | 1.4 | % | ||||||||
3.125%, 02/15/2043 | 26,395,000 | 31,139,924 | 2.2 | % | ||||||||
3.375%, 05/15/2044 | 8,055,000 | 9,935,657 | 0.7 | % | ||||||||
5.375%, 02/15/2031 | 7,760,000 | 11,511,479 | 0.8 | % | ||||||||
91,435,237 | ||||||||||||
U.S. Treasury Notes - 4.8% | ||||||||||||
1.250%, 10/31/2018 | 18,715,000 | 18,975,251 | 1.4 | % | ||||||||
1.500%, 05/31/2019 (D) | 31,530,000 | 32,245,573 | 2.3 | % | ||||||||
1.625%, 05/15/2026 | 9,215,000 | 9,333,063 | 0.7 | % | ||||||||
OTHER SECURITIES | 5,677,730 | 0.4 | % | |||||||||
66,231,617 | ||||||||||||
U.S. Treasury Strips - 0.0% | 208,930 | 0.0 | % | |||||||||
Federal Home Loan Mortgage Corp. - 4.1% | ||||||||||||
3.000%, 01/01/2043 | ||||||||||||
to 06/01/2043 | 16,257,740 | 16,907,213 | 1.2 | % | ||||||||
3.500%, 03/01/2043 | ||||||||||||
to 05/01/2046 | 11,602,305 | 12,269,712 | 1.0 | % | ||||||||
4.000%, 05/01/2026 | ||||||||||||
to 02/01/2041 | 10,855,463 | 11,704,722 | 0.9 | % | ||||||||
4.500%, 11/01/2018 | ||||||||||||
to 10/01/2039 | 6,884,058 | 7,553,948 | 0.5 | % | ||||||||
OTHER SECURITIES | 8,729,427 | 0.5 | % | |||||||||
57,165,022 | ||||||||||||
Federal National Mortgage Association - 18.2% | ||||||||||||
2.500%, TBA (C) | 4,450,000 | 4,603,968 | 0.3 | % | ||||||||
2.500%, 10/01/2027 | ||||||||||||
to 03/01/2043 | 19,724,084 | 20,411,809 | 1.6 | % | ||||||||
3.000%, TBA (C) | 22,560,000 | 23,496,117 | 1.7 | % | ||||||||
3.000%, 01/01/2027 | ||||||||||||
to 04/01/2045 | 35,274,738 | 36,849,104 | 2.6 | % |
New Income Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS (continued) | ||||||||||||
Federal National Mortgage Association (continued) | ||||||||||||
3.500%, 06/01/2042 | ||||||||||||
to 05/01/2046 | $ | 64,996,594 | $ | 68,851,564 | 5.2 | % | ||||||
4.000%, TBA (C) | 12,295,000 | 13,182,223 | 1.0 | % | ||||||||
4.000%, 11/01/2025 | ||||||||||||
to 12/01/2045 | 27,502,998 | 29,648,481 | 1.9 | % | ||||||||
4.500%, 05/01/2019 | ||||||||||||
to 09/01/2042 | 16,965,797 | 18,610,598 | 1.3 | % | ||||||||
5.000%, 05/01/2018 | ||||||||||||
to 07/01/2045 | 18,420,468 | 20,611,370 | 1.6 | % | ||||||||
5.500%, 11/01/2016 | ||||||||||||
to 09/01/2041 | 8,178,698 | 9,266,883 | 0.6 | % | ||||||||
6.000%, 09/01/2017 | ||||||||||||
to 09/01/2038 | 6,978,518 | 8,032,405 | 0.4 | % | ||||||||
OTHER SECURITIES | 1,233,724 | 0.0 | % | |||||||||
254,798,246 | ||||||||||||
Government National Mortgage Association - 9.6% | ||||||||||||
2.500%, 11/20/2042 | ||||||||||||
to 04/20/2046 | 14,275,701 | 14,609,419 | 1.2 | % | ||||||||
3.000%, 10/15/2042 | ||||||||||||
to 07/20/2046 | 42,649,888 | 44,585,737 | 3.2 | % | ||||||||
3.500%, 09/15/2041 | ||||||||||||
to 09/20/2043 | 30,444,756 | 32,432,713 | 2.3 | % | ||||||||
4.000%, 09/20/2040 | ||||||||||||
to 12/20/2045 | 19,739,903 | 21,230,672 | 1.7 | % | ||||||||
4.500%, 01/15/2019 | ||||||||||||
to 09/20/2040 | 7,295,144 | 8,003,009 | 0.5 | % | ||||||||
5.500%, 02/15/2029 | ||||||||||||
to 06/20/2044 | 4,309,519 | 4,929,415 | 0.2 | % | ||||||||
OTHER SECURITIES | 8,799,542 | 0.5 | % | |||||||||
134,590,507 | ||||||||||||
TOTAL U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS (Cost $595,391,143) | $ | 618,591,323 | ||||||||||
FOREIGN GOVERNMENT | ||||||||||||
OBLIGATIONS - 1.2% | ||||||||||||
Bermuda - 0.3% | 4,551,438 | 0.3 | % | |||||||||
Mexico - 0.8% | 10,327,548 | 0.8 | % | |||||||||
Morocco - 0.1% | 1,775,367 | 0.1 | % | |||||||||
TOTAL FOREIGN GOVERNMENT | ||||||||||||
OBLIGATIONS (Cost $17,944,665) | $ | 16,654,353 | ||||||||||
CORPORATE BONDS - 27.4% | ||||||||||||
Consumer discretionary - 5.0% | ||||||||||||
Amazon.com, Inc. | ||||||||||||
4.950%, 12/05/2044 | 5,310,000 | 6,444,949 | 0.5 | % | ||||||||
Sirius XM Radio, Inc. | ||||||||||||
5.250%, 08/15/2022 (S) | 4,271,000 | 4,495,228 | 0.3 | % | ||||||||
OTHER SECURITIES | 58,356,845 | 4.2 | % | |||||||||
69,297,022 | ||||||||||||
Consumer staples - 0.9% | 12,844,747 | 0.9 | % | |||||||||
Energy - 3.0% | ||||||||||||
Shell International Finance BV | ||||||||||||
3.250%, 05/11/2025 | 5,110,000 | 5,363,456 | 0.4 | % | ||||||||
OTHER SECURITIES | 37,165,924 | 2.6 | % | |||||||||
42,529,380 | ||||||||||||
Financials - 7.7% | ||||||||||||
Bank of America Corp. | ||||||||||||
3.300%, 01/11/2023 | 5,580,000 | 5,744,772 | 0.4 | % |
The accompanying notes are an integral part of the financial statements. | 21 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
New Income Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
CORPORATE BONDS (continued) | ||||||||||||
Financials (continued) | ||||||||||||
BPCE SA | ||||||||||||
5.700%, 10/22/2023 (S) | $ | 4,523,000 | $ | 4,851,198 | 0.3 | % | ||||||
Morgan Stanley | ||||||||||||
3.750%, 02/25/2023 | 8,280,000 | 8,771,178 | 0.6 | % | ||||||||
OTHER SECURITIES | 88,534,832 | 6.4 | % | |||||||||
107,901,980 | ||||||||||||
Health care - 3.3% | 45,463,315 | 3.3 | % | |||||||||
Industrials - 2.4% | 33,844,678 | 2.4 | % | |||||||||
Information technology - 1.6% | 22,721,033 | 1.6 | % | |||||||||
Materials - 0.7% | 9,373,634 | 0.7 | % | |||||||||
Telecommunication services - 2.1% | ||||||||||||
Verizon Communications, Inc. | ||||||||||||
4.272%, 01/15/2036 | 5,495,000 | 5,617,247 | 0.4 | % | ||||||||
Verizon Communications, Inc. | ||||||||||||
6.400%, 09/15/2033 | 6,750,000 | 8,634,985 | 0.6 | % | ||||||||
OTHER SECURITIES | 15,002,166 | 1.1 | % | |||||||||
29,254,398 | ||||||||||||
Utilities - 0.7% | 10,081,398 | 0.7 | % | |||||||||
TOTAL CORPORATE BONDS (Cost $363,478,733) | $ | 383,311,585 | ||||||||||
Municipal bonds 1.7% | 23,214,452 | 1.7 | % | |||||||||
TOTAL MUNICIPAL BONDS (Cost $19,422,498) | $ | 23,214,452 | ||||||||||
TERM LOANS (M) - 1.5% | ||||||||||||
Consumer discretionary - 0.2% | 2,614,816 | 0.2 | % | |||||||||
Financials - 0.3% | 4,007,356 | 0.3 | % | |||||||||
Health care - 0.1% | 1,944,114 | 0.1 | % | |||||||||
Industrials - 0.1% | 716,828 | 0.1 | % | |||||||||
Information technology - 0.7% | 10,250,326 | 0.7 | % | |||||||||
Telecommunication services - 0.1% | 1,920,594 | 0.1 | % | |||||||||
TOTAL TERM LOANS (Cost $21,747,477) | $ | 21,454,034 | ||||||||||
COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS - 11.9% | ||||||||||||
Commercial and residential - 10.1% | ||||||||||||
Commercial Mortgage Trust (Cantor | ||||||||||||
Fitzgerald/Deutsche Bank AG), | ||||||||||||
3.528%, 12/10/2047 | 7,265,000 | 7,849,803 | 0.6 | % | ||||||||
Commercial Mortgage Trust | ||||||||||||
(Goldman Sachs & Company/RBS | ||||||||||||
Greenwich Capital), | ||||||||||||
5.475%, 03/10/2039 | 5,095,000 | 5,153,123 | 0.4 | % | ||||||||
JPMorgan Chase Commercial | ||||||||||||
Mortgage Securities Trust, | ||||||||||||
5.699%, 02/12/2049 (P) | 8,480,000 | 8,633,527 | 0.6 | % | ||||||||
OTHER SECURITIES | 119,811,339 | 8.5 | % | |||||||||
141,447,792 | ||||||||||||
Federal Home Loan Mortgage Corp. - 1.4% | 18,976,784 | 1.4 | % | |||||||||
Federal National Mortgage Association - 0.3% | 4,920,897 | 0.3 | % | |||||||||
Government National Mortgage Association - 0.1% | 841,146 | 0.1 | % | |||||||||
TOTAL COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS (Cost $164,308,589) | $ | 166,186,619 | ||||||||||
ASSET BACKED SECURITIES - 9.4% | ||||||||||||
Ally Master Owner Trust, | ||||||||||||
1.630%, 05/15/2020 | 8,360,000 | 8,384,527 | 0.6 | % |
New Income Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
ASSET BACKED SECURITIES (continued) | ||||||||||||
Avis Budget Rental Car Funding | ||||||||||||
AESOP LLC, | ||||||||||||
2.460%, 07/20/2020 (S) | $ | 5,450,000 | $ | 5,526,981 | 0.4 | % | ||||||
Enterprise Fleet Financing LLC, | ||||||||||||
1.300%, 09/20/2020 (S) | 4,950,043 | 4,944,128 | 0.4 | % | ||||||||
Kubota Credit Owner Trust, | ||||||||||||
1.670%, 07/15/2020 (S) | 5,075,000 | 5,093,020 | 0.4 | % | ||||||||
Nordstrom Credit Card Master | ||||||||||||
Note Trust II, | ||||||||||||
2.280%, 11/15/2019 (S) | 5,085,000 | 5,103,520 | 0.4 | % | ||||||||
SMART Trust, | ||||||||||||
1.680%, 12/14/2019 | 4,755,000 | 4,758,252 | 0.3 | % | ||||||||
Synchrony Credit Card Master | ||||||||||||
Note Trust, | ||||||||||||
2.220%, 01/15/2022 | 5,465,000 | 5,568,595 | 0.4 | % | ||||||||
OTHER SECURITIES | 91,247,065 | 6.5 | % | |||||||||
TOTAL ASSET BACKED | ||||||||||||
SECURITIES (Cost $131,206,300) | $ | 130,626,088 | ||||||||||
SHORT-TERM INVESTMENTS - 7.0% | ||||||||||||
Money market funds - 7.0% | ||||||||||||
T. Rowe Price Prime Reserve | ||||||||||||
Fund, 0.3204% (Y) | 97,818,987 | $ | 97,818,987 | 7.0 | % | |||||||
Repurchase agreement - 0.0% | $ | 668,000 | 0.0 | % | ||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $98,486,987) | $ | 98,486,987 | ||||||||||
Total Investments (New Income Trust) | ||||||||||||
(Cost $1,411,986,392) - 104.4% | $ | 1,458,525,441 | 104.4 | % | ||||||||
Other assets and liabilities, net - (4.4%) | (61,620,515 | ) | (4.4 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,396,904,926 | 100.0 | % |
Short Term Government Income Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS - 87.7% | ||||||||||||
U.S. Treasury Notes - 23.6% | ||||||||||||
0.625%, 08/31/2017 | ||||||||||||
to 04/30/2018 | $ | 7,465,000 | $ | 7,471,817 | 2.2 | % | ||||||
0.750%, 03/31/2018 | 5,130,000 | 5,144,631 | 1.5 | % | ||||||||
0.875%, 01/31/2018 | ||||||||||||
to 07/15/2018 | 24,300,000 | 24,421,892 | 7.3 | % | ||||||||
1.000%, 03/15/2019 | 6,680,000 | 6,737,408 | 2.0 | % | ||||||||
1.250%, 03/31/2021 | 6,695,000 | 6,774,242 | 2.0 | % | ||||||||
1.375%, 09/30/2020 | 4,515,000 | 4,597,891 | 1.4 | % | ||||||||
1.625%, 06/30/2020 | 23,595,000 | 24,266,915 | 7.2 | % | ||||||||
79,414,796 | ||||||||||||
Federal Agricultural Mortgage Corp. - 10.0% | ||||||||||||
1.750%, 06/15/2020 | 6,225,000 | 6,383,843 | 1.9 | % | ||||||||
5.125%, 04/19/2017 (S) | 26,318,000 | 27,265,159 | 8.1 | % | ||||||||
33,649,002 | ||||||||||||
Federal Farm Credit Bank - 11.1% | ||||||||||||
0.900%, 12/26/2017 | 2,890,000 | 2,890,032 | 0.9 | % | ||||||||
1.240%, 11/13/2018 | 8,060,000 | 8,060,290 | 2.4 | % | ||||||||
1.680%, 04/05/2021 | 6,110,000 | 6,133,578 | 1.8 | % | ||||||||
1.700%, 10/08/2020 | ||||||||||||
to 02/17/2021 | 16,379,000 | 16,383,853 | 4.8 | % |
The accompanying notes are an integral part of the financial statements. | 22 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Short Term Government Income Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS (continued) | ||||||||||||
Federal Farm Credit Bank (continued) | ||||||||||||
1.800%, 03/24/2021 | $ | 3,885,000 | $ | 3,885,109 | 1.2 | % | ||||||
37,352,862 | ||||||||||||
Federal Home Loan Bank - 7.4% | ||||||||||||
1.000%, 10/16/2017 | 6,200,000 | 6,200,025 | 1.8 | % | ||||||||
1.150%, 06/22/2018 | 6,790,000 | 6,798,501 | 2.0 | % | ||||||||
1.550%, 10/26/2020 | 5,825,000 | 5,825,734 | 1.7 | % | ||||||||
1.700%, 04/26/2021 | 6,250,000 | 6,251,225 | 1.9 | % | ||||||||
25,075,485 | ||||||||||||
Federal Home Loan Mortgage Corp. - 11.3% | ||||||||||||
1.000%, 05/25/2018 | 6,265,000 | 6,266,209 | 1.9 | % | ||||||||
1.100%, 05/07/2018 | 6,395,000 | 6,396,074 | 1.9 | % | ||||||||
1.250%, 05/25/2018 | 11,100,000 | 11,108,492 | 3.3 | % | ||||||||
1.300%, 02/26/2019 | 6,180,000 | 6,181,866 | 1.8 | % | ||||||||
3.000%, 07/01/2030 | 3,203,711 | 3,372,578 | 1.0 | % | ||||||||
5.500%, 07/01/2040 | 4,122,484 | 4,700,758 | 1.4 | % | ||||||||
OTHER SECURITIES | 2,719 | 0.0 | % | |||||||||
38,028,696 | ||||||||||||
Federal National Mortgage Association - 14.3% | ||||||||||||
1.000%, 12/28/2017 | 4,250,000 | 4,250,769 | 1.2 | % | ||||||||
1.125%, 07/20/2018 | 2,400,000 | 2,422,296 | 0.7 | % | ||||||||
1.375%, 02/26/2021 | 3,550,000 | 3,587,165 | 1.1 | % | ||||||||
2.500%, 10/01/2027 | 2,358,463 | 2,447,988 | 0.7 | % | ||||||||
3.000%, 03/01/2028 | ||||||||||||
to 03/01/2031 | 29,111,491 | 30,675,455 | 9.1 | % | ||||||||
3.500%, 12/01/2025 | 1,304,044 | 1,384,521 | 0.4 | % | ||||||||
5.500%, 03/01/2035 | ||||||||||||
to 08/01/2040 | 2,065,358 | 2,345,084 | 0.7 | % | ||||||||
6.500%, 01/01/2039 | 1,085,464 | 1,262,048 | 0.4 | % | ||||||||
OTHER SECURITIES | 6,346 | 0.0 | % | |||||||||
48,381,672 | ||||||||||||
Government National Mortgage Association - 0.0% | 686 | 0.0 | % | |||||||||
Tennessee Valley Authority - 10.0% | ||||||||||||
1.750%, 10/15/2018 | 5,270,000 | 5,379,273 | 1.6 | % | ||||||||
3.875%, 02/15/2021 | 11,795,000 | 13,233,200 | 3.9 | % | ||||||||
4.500%, 04/01/2018 | 8,929,000 | 9,517,868 | 2.8 | % | ||||||||
5.500%, 07/18/2017 | 4,598,000 | 4,830,374 | 1.5 | % | ||||||||
6.250%, 12/15/2017 | 700,000 | 755,130 | 0.2 | % | ||||||||
33,715,845 | ||||||||||||
TOTAL U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS (Cost $292,962,719) | $ | 295,619,044 | ||||||||||
COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS - 4.5% | ||||||||||||
Federal Home Loan Mortgage Corp. - 2.7% | ||||||||||||
0.331%, 04/25/2023 | 148,572,310 | 1,861,269 | 0.5 | % | ||||||||
0.771%, 01/25/2022 | 21,132,330 | 641,447 | 0.2 | % | ||||||||
1.278%, 07/25/2022 | 12,137,032 | 763,450 | 0.2 | % | ||||||||
1.346%, 03/25/2024 | 8,687,859 | 630,284 | 0.2 | % | ||||||||
1.526%, 12/25/2021 | 24,997,631 | 1,509,172 | 0.4 | % | ||||||||
1.818%, 07/25/2019 | 7,636,372 | 329,332 | 0.1 | % | ||||||||
2.000%, 04/15/2031 | 1,227,269 | 1,250,499 | 0.4 | % | ||||||||
2.118%, 08/25/2018 | 17,853,527 | 610,730 | 0.2 | % | ||||||||
OTHER SECURITIES | 1,396,633 | 0.5 | % | |||||||||
8,992,816 | ||||||||||||
Federal National Mortgage Association - 1.7% | ||||||||||||
3.500%, 08/25/2043 | 1,713,703 | 1,847,170 | 0.5 | % | ||||||||
4.000%, 03/25/2039 | 3,860,749 | 4,107,490 | 1.2 | % | ||||||||
5,954,660 |
Short Term Government Income Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS (continued) | ||||||||||||
Government National Mortgage Association - 0.1% | $ | 216,938 | 0.1 | % | ||||||||
TOTAL COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS (Cost $14,942,457) | $ | 15,164,414 | ||||||||||
SHORT-TERM INVESTMENTS - 6.2% | ||||||||||||
U.S. GOVERNMENT AGENCY - 2.4% | ||||||||||||
Federal Home Loan Bank Discount | ||||||||||||
Note, 0.079%, 07/01/2016 * | $ | 8,085,000 | 8,085,000 | 2.4 | % | |||||||
Repurchase agreement - 3.8% | ||||||||||||
Barclays Tri-Party Repurchase | ||||||||||||
Agreement dated 06/30/2016 at | ||||||||||||
0.400% to be repurchased at | ||||||||||||
$7,479,083 on 07/01/2016, | ||||||||||||
collateralized by $7,480,800 | ||||||||||||
U.S. Treasury Notes, 1.375% due | ||||||||||||
10/31/2020 (valued at $7,628,764, | ||||||||||||
including interest) | 7,479,000 | 7,479,000 | 2.2 | % | ||||||||
Repurchase Agreement with State | ||||||||||||
Street Corp. dated 06/30/2016 at | ||||||||||||
0.030% to be repurchased at | ||||||||||||
$5,254,004 on 07/01/2016, | ||||||||||||
collateralized by $5,145,000 | ||||||||||||
U.S. Treasury Inflation Indexed | ||||||||||||
Notes, 0.125% due 04/15/2019 | ||||||||||||
(valued at $5,363,663, | ||||||||||||
including interest) | 5,254,000 | 5,254,000 | 1.6 | % | ||||||||
12,733,000 | ||||||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $20,818,000) | $ | 20,818,000 | ||||||||||
Total Investments (Short Term Government Income | ||||||||||||
Trust) (Cost $328,723,176) - 98.4% | $ | 331,601,458 | 98.4 | % | ||||||||
Other assets and liabilities, net - 1.6% | 5,500,033 | 1.6 | % | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 337,101,491 | 100.0 | % |
Strategic Income Opportunities Trust
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
FOREIGN GOVERNMENT | ||||||||||||
OBLIGATIONS - 21.1% | ||||||||||||
Australia - 3.0% | ||||||||||||
New South | ||||||||||||
Wales Treasury Corp. | ||||||||||||
6.000%, 05/01/2020 | ||||||||||||
to 03/01/2022 | AUD | 7,160,000 | $ | 6,297,230 | 1.1 | % | ||||||
Queensland Treasury Corp. | ||||||||||||
4.000%, 06/21/2019 (S) | 4,160,000 | 3,295,924 | 0.5 | % | ||||||||
Queensland Treasury Corp. | ||||||||||||
5.500%, 06/21/2021 | 3,755,000 | 3,268,056 | 0.5 | % | ||||||||
Queensland Treasury Corp. | ||||||||||||
6.000%, 07/21/2022 | 3,130,000 | 2,850,573 | 0.5 | % | ||||||||
OTHER SECURITIES | 2,195,893 | 0.4 | % | |||||||||
17,907,676 | ||||||||||||
Canada - 3.3% | ||||||||||||
Government of Canada | ||||||||||||
1.250%, 03/01/2018 | CAD | 4,220,000 | 3,305,805 | 0.5 | % |
The accompanying notes are an integral part of the financial statements. | 23 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Strategic Income Opportunities Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
FOREIGN GOVERNMENT | ||||||||||||
OBLIGATIONS (continued) | ||||||||||||
Canada (continued) | ||||||||||||
Government of Canada | ||||||||||||
1.500%, 02/01/2017 | CAD | 12,890,000 | $ | 10,033,138 | 1.7 | % | ||||||
Province of Ontario | ||||||||||||
1.900%, 09/08/2017 | 4,731,000 | 3,713,100 | 0.6 | % | ||||||||
OTHER SECURITIES | 3,057,373 | 0.5 | % | |||||||||
20,109,416 | ||||||||||||
Finland - 0.2% | 1,184,060 | 0.2 | % | |||||||||
Indonesia - 0.4% | 2,595,491 | 0.4 | % | |||||||||
Mexico - 2.6% | ||||||||||||
Government of Mexico | ||||||||||||
4.600%, 01/23/2046 | $ | 2,760,000 | 2,911,800 | 0.5 | % | |||||||
Government of Mexico | ||||||||||||
6.500%, 06/10/2021 | MXN | 48,740,000 | 2,785,950 | 0.5 | % | |||||||
Government of Mexico | ||||||||||||
10.000%, 12/05/2024 | 71,032,000 | 4,981,846 | 0.8 | % | ||||||||
OTHER SECURITIES | 5,195,887 | 0.8 | % | |||||||||
15,875,483 | ||||||||||||
New Zealand - 3.6% | ||||||||||||
Dominion of New Zealand | ||||||||||||
3.000%, 04/15/2020 | NZD | 4,865,000 | 3,593,353 | 0.6 | % | |||||||
Dominion of New Zealand | ||||||||||||
5.000%, 03/15/2019 | 4,485,000 | 3,450,478 | 0.6 | % | ||||||||
Dominion of New Zealand | ||||||||||||
6.000%, 12/15/2017 | ||||||||||||
to 05/15/2021 | 14,623,000 | 11,804,752 | 1.9 | % | ||||||||
OTHER SECURITIES | 3,301,152 | 0.5 | % | |||||||||
22,149,735 | ||||||||||||
Norway - 1.6% | ||||||||||||
Government of Norway | ||||||||||||
3.750%, 05/25/2021 (S) | NOK | 24,935,000 | 3,423,089 | 0.6 | % | |||||||
Government of Norway | ||||||||||||
4.500%, 05/22/2019 (S) | 31,072,000 | 4,138,079 | 0.7 | % | ||||||||
OTHER SECURITIES | 1,932,476 | 0.3 | % | |||||||||
9,493,644 | ||||||||||||
Philippines - 2.3% | ||||||||||||
Republic of Philippines | ||||||||||||
5.875%, 12/16/2020 | ||||||||||||
to 03/01/2032 | PHP | 157,303,440 | 3,827,675 | 0.6 | % | |||||||
Republic of Philippines | ||||||||||||
6.500%, 04/28/2021 | 106,400,000 | 2,592,793 | 0.4 | % | ||||||||
Republic of Philippines | ||||||||||||
8.000%, 07/19/2031 | 120,240,000 | 3,833,933 | 0.6 | % | ||||||||
OTHER SECURITIES | 3,782,811 | 0.7 | % | |||||||||
14,037,212 | ||||||||||||
Singapore - 2.2% | ||||||||||||
Republic of Singapore | ||||||||||||
2.375%, 04/01/2017 | SGD | 3,890,000 | 2,922,357 | 0.5 | % | |||||||
Republic of Singapore | ||||||||||||
2.500%, 06/01/2019 | 6,430,000 | 4,956,346 | 0.8 | % | ||||||||
Republic of Singapore | ||||||||||||
3.250%, 09/01/2020 | 6,550,000 | 5,240,545 | 0.9 | % | ||||||||
13,119,248 | ||||||||||||
South Korea - 0.1% | 355,016 | 0.1 | % | |||||||||
Sweden - 1.8% | ||||||||||||
Kingdom of Sweden | ||||||||||||
1.500%, 11/13/2023 | SEK | 39,490,000 | 5,207,217 | 0.9 | % |
Strategic Income Opportunities Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
FOREIGN GOVERNMENT | ||||||||||||
OBLIGATIONS (continued) | ||||||||||||
Sweden (continued) | ||||||||||||
Kingdom of Sweden | ||||||||||||
5.000%, 12/01/2020 | SEK | 19,835,000 | $ | 2,913,971 | 0.5 | % | ||||||
OTHER SECURITIES | 2,792,657 | 0.4 | % | |||||||||
10,913,845 | ||||||||||||
TOTAL FOREIGN GOVERNMENT | ||||||||||||
OBLIGATIONS (Cost $128,605,745) | $ | 127,740,826 | ||||||||||
CORPORATE BONDS - 49.6% | ||||||||||||
Consumer discretionary - 8.4% | 51,061,602 | 8.4 | % | |||||||||
Consumer staples - 5.4% | ||||||||||||
Anheuser-Busch InBev | ||||||||||||
Finance, Inc. | ||||||||||||
3.650%, 02/01/2026 | $ | 2,685,000 | 2,873,788 | 0.5 | % | |||||||
CVS Health Corp. | ||||||||||||
3.875%, 07/20/2025 | 2,825,000 | 3,108,918 | 0.5 | % | ||||||||
Kraft Heinz Foods Company | ||||||||||||
3.950%, 07/15/2025 (S) | 2,610,000 | 2,839,142 | 0.5 | % | ||||||||
OTHER SECURITIES | 23,829,942 | 3.9 | % | |||||||||
32,651,790 | ||||||||||||
Energy - 1.1% | 6,894,779 | 1.1 | % | |||||||||
Financials - 14.5% | ||||||||||||
American International | ||||||||||||
Group, Inc. (8.175% to | ||||||||||||
05/15/2038, then 3 month | ||||||||||||
LIBOR + 4.195%) | ||||||||||||
05/15/2068 | 3,195,000 | 4,015,904 | 0.7 | % | ||||||||
CapitaMalls Asia Treasury, Ltd. | ||||||||||||
3.950%, 08/24/2017 | SGD | 3,250,000 | 2,466,620 | 0.4 | % | |||||||
International Bank for | ||||||||||||
Reconstruction | ||||||||||||
& Development | ||||||||||||
4.625%, 02/26/2019 | ||||||||||||
to 10/06/2021 | NZD | 3,825,000 | 2,929,142 | 0.5 | % | |||||||
JPMorgan Chase & Co. | ||||||||||||
4.250%, 11/02/2018 | 3,255,000 | 2,367,642 | 0.4 | % | ||||||||
KFW | ||||||||||||
6.000%, 08/20/2020 | AUD | 2,925,000 | 2,501,667 | 0.4 | % | |||||||
Stifel Financial Corp. | ||||||||||||
4.250%, 07/18/2024 | $ | 2,505,000 | 2,570,258 | 0.4 | % | |||||||
OTHER SECURITIES | 71,149,028 | 11.7 | % | |||||||||
88,000,261 | ||||||||||||
Health care - 7.7% | ||||||||||||
LifePoint Health, Inc. | ||||||||||||
5.500%, 12/01/2021 | 3,260,000 | 3,398,550 | 0.6 | % | ||||||||
Merck & Company, Inc. | ||||||||||||
2.750%, 02/10/2025 | 3,085,000 | 3,227,262 | 0.5 | % | ||||||||
OTHER SECURITIES | 40,249,571 | 6.6 | % | |||||||||
46,875,383 | ||||||||||||
Industrials - 3.3% | ||||||||||||
General Electric Company | ||||||||||||
(5.000% to 01/21/2021, then | ||||||||||||
3 month LIBOR + 3.330%) | ||||||||||||
01/21/2021 (Q) | 2,888,000 | 3,068,500 | 0.5 | % | ||||||||
Huntington Ingalls | ||||||||||||
Industries, Inc. | ||||||||||||
5.000%, 11/15/2025 (S) | 2,330,000 | 2,461,063 | 0.4 | % | ||||||||
Lockheed Martin Corp. | ||||||||||||
2.900%, 03/01/2025 | 3,070,000 | 3,173,173 | 0.5 | % |
The accompanying notes are an integral part of the financial statements. | 24 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Strategic Income Opportunities Trust (continued)
Shares or Principal Amount | Value | % of Net Assets | ||||||||||
CORPORATE BONDS (continued) | ||||||||||||
Industrials (continued) | ||||||||||||
OTHER SECURITIES | $ | 11,074,127 | 1.9 | % | ||||||||
19,776,863 | ||||||||||||
Information technology - 3.8% | ||||||||||||
Apple, Inc. | ||||||||||||
0.677%, 05/12/2017 (P) | $ | 3,185,000 | 3,185,369 | 0.5 | % | |||||||
Apple, Inc. | ||||||||||||
3.200%, 05/13/2025 | 3,145,000 | 3,334,543 | 0.5 | % | ||||||||
Zebra Technologies Corp. | ||||||||||||
7.250%, 10/15/2022 | 2,810,000 | 2,978,600 | 0.5 | % | ||||||||
OTHER SECURITIES | 13,683,367 | 2.3 | % | |||||||||
23,181,879 | ||||||||||||
Materials - 2.7% | 16,101,917 | 2.7 | % | |||||||||
Telecommunication services - 1.9% | 11,168,111 | 1.9 | % | |||||||||
Utilities - 0.8% | 5,015,555 | 0.8 | % | |||||||||
TOTAL CORPORATE BONDS (Cost $298,691,287) | $ | 300,728,140 | ||||||||||
CAPITAL PREFERRED SECURITIES - 0.3% | ||||||||||||
Financials - 0.3% | 1,959,984 | 0.3 | % | |||||||||
TOTAL CAPITAL PREFERRED | ||||||||||||
SECURITIES (Cost $1,923,462) | $ | 1,959,984 | ||||||||||
CONVERTIBLE BONDS - 1.7% | ||||||||||||
Consumer discretionary - 0.1% | 524,143 | 0.1 | % | |||||||||
Consumer staples - 0.1% | 739,365 | 0.1 | % | |||||||||
Financials - 0.5% | 3,290,006 | 0.5 | % | |||||||||
Health care - 0.6% | 3,842,642 | 0.6 | % | |||||||||
Industrials - 0.2% | 983,603 | 0.2 | % | |||||||||
Information technology - 0.2% | 1,284,244 | 0.2 | % | |||||||||
TOTAL CONVERTIBLE BONDS (Cost $9,776,642) | $ | 10,664,003 | ||||||||||
MUNICIPAL BONDS - 5.3% | ||||||||||||
City of Houston (Texas) | ||||||||||||
6.290%, 03/01/2032 | 1,905,000 | 2,444,725 | 0.4 | % | ||||||||
OTHER SECURITIES | 29,506,047 | 4.9 | % | |||||||||
TOTAL MUNICIPAL BONDS (Cost $30,434,363) | $ | 31,950,772 | ||||||||||
COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS - 5.5% | ||||||||||||
Commercial and residential - 4.9% | 29,494,363 | 4.9 | % | |||||||||
Federal Home Loan Mortgage Corp. - 0.5% | 2,940,376 | 0.5 | % | |||||||||
Federal National Mortgage Association - 0.1% | 961,994 | 0.1 | % | |||||||||
TOTAL COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS (Cost $32,365,120) | $ | 33,396,733 | ||||||||||
ASSET BACKED SECURITIES - 5.8% | ||||||||||||
Applebee’s Funding LLC, | ||||||||||||
4.277%, 09/05/2044 (S) | 2,478,000 | 2,522,067 | 0.4 | % | ||||||||
CKE Restaurant Holdings, Inc., | ||||||||||||
4.474%, 03/20/2043 (S) | 2,730,088 | 2,732,324 | 0.5 | % | ||||||||
DB Master Finance LLC, | ||||||||||||
3.980%, 02/20/2045 (S) | 3,150,125 | 3,234,863 | 0.5 | % | ||||||||
Domino’s Pizza Master | ||||||||||||
Issuer LLC, | ||||||||||||
4.474%, 10/25/2045 (S) | 2,492,475 | 2,547,485 | 0.4 | % | ||||||||
Taco Bell Funding LLC, | �� | |||||||||||
4.970%, 05/25/2046 (S) | 2,810,000 | 2,881,655 | 0.5 | % |
Strategic Income Opportunities Trust (continued)
Shares or Principal Amount | Value | % of Net Assets | ||||||||||
ASSET BACKED SECURITIES (continued) | ||||||||||||
OTHER SECURITIES | $ | 21,255,165 | 3.5 | % | ||||||||
TOTAL ASSET BACKED | ||||||||||||
SECURITIES (Cost $34,897,092) | $ | 35,173,559 | ||||||||||
COMMON STOCKS - 2.9% | ||||||||||||
Consumer discretionary - 0.0% | 0 | 0.0 | % | |||||||||
Financials - 2.8% | 17,202,911 | 2.8 | % | |||||||||
Industrials - 0.1% | 381,453 | 0.1 | % | |||||||||
TOTAL COMMON STOCKS (Cost $16,888,886) | $ | 17,584,364 | ||||||||||
PREFERRED SECURITIES - 6.4% | ||||||||||||
Consumer staples - 0.4% | 2,329,289 | 0.4 | % | |||||||||
Financials - 4.2% | ||||||||||||
Crown Castle | ||||||||||||
International Corp., 4.500% | 22,754 | 2,750,048 | 0.5 | % | ||||||||
U.S. Bancorp, 3.500% | 2,829 | 2,394,041 | 0.4 | % | ||||||||
OTHER SECURITIES | 20,004,464 | 3.3 | % | |||||||||
25,148,553 | ||||||||||||
Utilities - 1.8% | ||||||||||||
Dominion | ||||||||||||
Resources, Inc., 6.375% | 64,220 | 3,329,165 | 0.5 | % | ||||||||
Exelon Corp., 6.500% | 56,187 | 2,772,267 | 0.5 | % | ||||||||
OTHER SECURITIES | 5,072,555 | 0.8 | % | |||||||||
11,173,987 | ||||||||||||
TOTAL PREFERRED | ||||||||||||
SECURITIES (Cost $35,557,100) | $ | 38,651,829 | ||||||||||
PURCHASED OPTIONS - 0.4% | ||||||||||||
Call options - 0.1% | 373,226 | 0.1 | % | |||||||||
Put options - 0.3% | 2,141,166 | 0.3 | % | |||||||||
TOTAL PURCHASED OPTIONS (Cost $2,819,263) | $ | 2,514,392 | ||||||||||
SHORT-TERM INVESTMENTS - 0.2% | ||||||||||||
U.S. Government Agency - 0.1% | $ | 703,000 | 0.1 | % | ||||||||
Repurchase agreement - 0.1% | 650,000 | 0.1 | % | |||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $1,353,000) | $ | 1,353,000 | ||||||||||
Total Investments (Strategic Income Opportunities | ||||||||||||
Trust) (Cost $593,311,960) - 99.2% | $ | 601,717,602 | 99.2 | % | ||||||||
Other assets and liabilities, net - 0.8% | 4,702,460 | 0.8 | % | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 606,420,062 | 100.0 | % | ||||||||
Total Bond Market Trust B | ||||||||||||
Shares or Principal Amount | Value | % of Net Assets | ||||||||||
U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS - 69.2% | ||||||||||||
U.S. Treasury Bonds - 8.8% | ||||||||||||
2.500%, 02/15/2046 | $ | 17,825,000 | $ | 18,577,696 | 3.2 | % | ||||||
4.250%, 05/15/2039 | ||||||||||||
to 11/15/2040 | 4,610,000 | 6,448,540 | 1.1 | % | ||||||||
4.375%, 05/15/2041 | 1,830,000 | 2,615,112 | 0.4 | % | ||||||||
4.625%, 02/15/2040 | 5,000,000 | 7,353,710 | 1.2 | % | ||||||||
4.750%, 02/15/2041 | 2,000,000 | 3,003,282 | 0.5 | % |
The accompanying notes are an integral part of the financial statements. | 25 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Total Bond Market Trust B (continued)
Shares or Principal Amount | Value | % of Net Assets | ||||||||||
U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS (continued) | ||||||||||||
U.S. Treasury Bonds (continued) | ||||||||||||
7.875%, 02/15/2021 | $ | 3,400,000 | $ | 4,460,110 | 0.8 | % | ||||||
8.125%, 08/15/2021 | 1,400,000 | 1,895,687 | 0.3 | % | ||||||||
8.750%, 08/15/2020 | 5,750,000 | 7,581,019 | 1.3 | % | ||||||||
51,935,156 | ||||||||||||
U.S. Treasury Notes - 28.9% | ||||||||||||
0.625%, 08/31/2017 | ||||||||||||
to 04/30/2018 | 9,600,000 | 9,608,086 | 1.6 | % | ||||||||
0.750%, 12/31/2017 | 3,700,000 | 3,710,116 | 0.6 | % | ||||||||
1.250%, 04/30/2019 | ||||||||||||
to 01/31/2020 | 2,000,000 | 2,030,586 | 0.4 | % | ||||||||
1.375%, 09/30/2018 | ||||||||||||
to 10/31/2020 | 31,400,000 | 31,971,323 | 5.5 | % | ||||||||
1.500%, 12/31/2018 | ||||||||||||
to 03/31/2019 | 18,200,000 | 18,590,389 | 3.2 | % | ||||||||
1.625%, 06/30/2019 | ||||||||||||
to 05/15/2026 | 48,385,000 | 49,462,587 | 8.5 | % | ||||||||
1.750%, 09/30/2019 | 7,000,000 | 7,219,296 | 1.2 | % | ||||||||
1.875%, 08/31/2017 | 2,000,000 | 2,030,782 | 0.3 | % | ||||||||
2.000%, 11/15/2021 | ||||||||||||
to 02/15/2022 | 15,250,000 | 15,990,384 | 2.7 | % | ||||||||
2.750%, 02/15/2019 | 7,000,000 | 7,378,987 | 1.2 | % | ||||||||
3.125%, 05/15/2021 | 13,100,000 | 14,415,633 | 2.4 | % | ||||||||
4.250%, 11/15/2017 | 7,300,000 | 7,668,708 | 1.3 | % | ||||||||
170,076,877 | ||||||||||||
Federal Home Loan Bank - 0.2% | 1,277,329 | 0.2 | % | |||||||||
Federal Home Loan Mortgage Corp. - 6.3% | ||||||||||||
2.500%, 04/01/2031 | 2,963,708 | 3,067,177 | 0.5 | % | ||||||||
3.000%, 10/01/2042 | 2,962,623 | 3,080,999 | 0.5 | % | ||||||||
3.500%, TBA (C) | 4,300,000 | 4,532,756 | 0.8 | % | ||||||||
3.500%, 12/01/2025 | ||||||||||||
to 03/01/2045 | 6,531,751 | 6,945,600 | 1.2 | % | ||||||||
4.000%, 02/01/2024 | ||||||||||||
to 12/01/2040 | 2,108,621 | 2,272,529 | 0.4 | % | ||||||||
4.500%, 05/01/2024 | ||||||||||||
to 11/01/2041 | 3,842,420 | 4,213,210 | 0.9 | % | ||||||||
5.000%, TBA (C) | 2,300,000 | 2,540,422 | 0.4 | % | ||||||||
5.500%, 08/23/2017 | ||||||||||||
to 01/01/2039 | 2,772,054 | 3,026,040 | 0.5 | % | ||||||||
OTHER SECURITIES | 7,308,083 | 1.1 | % | |||||||||
36,986,816 | ||||||||||||
Federal National Mortgage Association - 15.6% | ||||||||||||
2.500%, TBA (C) | 4,000,000 | 4,138,398 | 0.7 | % | ||||||||
2.500%, 05/01/2028 | 1,821,599 | 1,890,746 | 0.3 | % | ||||||||
3.000%, TBA (C) | 11,400,000 | 11,826,558 | 2.0 | % | ||||||||
3.000%, 01/01/2027 | ||||||||||||
to 04/01/2043 | 14,434,777 | 15,096,830 | 2.6 | % | ||||||||
3.500%, TBA (C) | 3,000,000 | 3,164,498 | 0.6 | % | ||||||||
3.500%, 12/01/2025 | ||||||||||||
to 08/01/2045 | 24,631,148 | 26,182,153 | 4.5 | % | ||||||||
4.000%, 08/01/2020 | ||||||||||||
to 12/01/2042 | 9,575,125 | 10,324,353 | 1.8 | % | ||||||||
4.500%, 06/01/2018 | ||||||||||||
to 06/01/2041 | 5,289,971 | 5,783,120 | 1.0 | % | ||||||||
5.000%, 12/01/2018 | ||||||||||||
to 07/01/2039 | 2,760,668 | 3,073,165 | 0.4 | % | ||||||||
5.500%, 08/01/2017 | ||||||||||||
to 11/01/2038 | 1,832,152 | 2,062,296 | 0.4 | % | ||||||||
7.250%, 05/15/2030 | 1,450,000 | 2,311,252 | 0.4 | % | ||||||||
OTHER SECURITIES | 5,939,795 | 0.9 | % | |||||||||
91,793,164 |
Total Bond Market Trust B (continued)
Shares or Principal Amount | Value | % of Net Assets | ||||||||||
U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS (continued) | ||||||||||||
Government National Mortgage Association - 9.1% | ||||||||||||
3.000%, TBA (C) | $ | 10,000,000 | $ | 10,407,458 | 1.8 | % | ||||||
3.000%, 08/15/2043 | 2,605,635 | 2,724,434 | 0.5 | % | ||||||||
3.500%, TBA (C) | 5,600,000 | 5,936,138 | 1.0 | % | ||||||||
3.500%, 04/15/2042 | ||||||||||||
to 07/20/2045 | 16,782,893 | 17,892,334 | 3.1 | % | ||||||||
4.000%, 11/15/2026 | ||||||||||||
to 08/20/2045 | 8,039,069 | 8,650,809 | 1.5 | % | ||||||||
4.500%, 05/15/2019 | ||||||||||||
to 10/20/2040 | 2,785,204 | 3,055,648 | 0.6 | % | ||||||||
5.000%, 05/15/2018 | ||||||||||||
to 07/20/2040 | 2,407,906 | 2,694,238 | 0.5 | % | ||||||||
OTHER SECURITIES | 2,133,191 | 0.1 | % | |||||||||
53,494,250 | ||||||||||||
Tennessee Valley Authority - 0.1% | 785,353 | 0.1 | % | |||||||||
The Financing Corp. - 0.2% | 836,604 | 0.2 | % | |||||||||
TOTAL U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS (Cost $387,454,301) | $ | 407,185,549 | ||||||||||
FOREIGN GOVERNMENT | ||||||||||||
OBLIGATIONS - 2.6% | ||||||||||||
Brazil - 0.3% | 1,698,713 | 0.3 | % | |||||||||
Canada - 0.6% | 3,888,796 | 0.6 | % | |||||||||
Chile - 0.1% | 552,075 | 0.1 | % | |||||||||
Colombia - 0.1% | 591,250 | 0.1 | % | |||||||||
Israel - 0.2% | 1,158,602 | 0.2 | % | |||||||||
Italy - 0.1% | 376,200 | 0.1 | % | |||||||||
Japan - 0.2% | 1,250,350 | 0.2 | % | |||||||||
Mexico - 0.3% | 1,635,770 | 0.3 | % | |||||||||
Panama - 0.1% | 493,025 | 0.1 | % | |||||||||
Peru - 0.1% | 474,875 | 0.1 | % | |||||||||
Philippines - 0.2% | 1,093,953 | 0.2 | % | |||||||||
Poland - 0.0% | 124,630 | 0.0 | % | |||||||||
South Africa - 0.1% | 799,200 | 0.1 | % | |||||||||
Turkey - 0.2% | 1,323,262 | 0.2 | % | |||||||||
TOTAL FOREIGN GOVERNMENT | ||||||||||||
OBLIGATIONS (Cost $14,794,383) | $ | 15,460,701 | ||||||||||
CORPORATE BONDS - 26.5% | ||||||||||||
Consumer discretionary - 2.5% | 14,794,009 | 2.5 | % | |||||||||
Consumer staples - 1.8% | 10,376,078 | 1.8 | % | |||||||||
Energy - 2.7% | 16,060,690 | 2.7 | % | |||||||||
Financials - 8.5% | ||||||||||||
Capital One Financial Corp. | ||||||||||||
3.200%, | 2,000,000 | 2,019,616 | 0.3 | % | ||||||||
OTHER SECURITIES | 47,998,568 | 8.2 | % | |||||||||
50,018,184 | ||||||||||||
Health care - 2.6% | 15,321,667 | 2.6 | % | |||||||||
Industrials - 2.1% | 12,518,759 | 2.1 | % | |||||||||
Information technology - 2.2% | 13,122,055 | 2.2 | % | |||||||||
Materials - 1.0% | 5,857,609 | 1.0 | % |
The accompanying notes are an integral part of the financial statements. | 26 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Total Bond Market Trust B (continued)
Shares or Principal Amount | Value | % of Net Assets | ||||||||||
CORPORATE BONDS (continued) | ||||||||||||
Telecommunication services - 1.3% | $ | 7,298,584 | 1.3 | % | ||||||||
Utilities - 1.8% | 10,782,898 | 1.8 | % | |||||||||
TOTAL CORPORATE BONDS (Cost $146,592,289) | $ | 156,150,533 | ||||||||||
Municipal bonds - 0.8% | 4,893,423 | 0.8 | % | |||||||||
TOTAL MUNICIPAL BONDS (Cost $3,854,543) | $ | 4,893,423 | ||||||||||
COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS - 0.9% | ||||||||||||
Commercial and residential - 0.5% | 3,108,582 | 0.5 | % | |||||||||
Federal Home Loan Mortgage Corp. - 0.4% | 2,250,420 | 0.4 | % | |||||||||
TOTAL COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS (Cost $5,067,821) | $ | 5,359,002 | ||||||||||
Asset backed securities 0.4% | 2,032,650 | 0.4 | % | |||||||||
TOTAL ASSET BACKED | ||||||||||||
SECURITIES (Cost $2,097,594) | $ | 2,032,650 | ||||||||||
SHORT-TERM INVESTMENTS - 6.1% | ||||||||||||
Money market funds - 6.1% | ||||||||||||
State Street Institutional | ||||||||||||
U.S. Government Money Market | ||||||||||||
Fund, Premier Class, 0.2499% (Y) | 35,899,807 | $ | 35,899,807 | 6.1 | % | |||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $35,899,807) | $ | 35,899,807 | ||||||||||
Total Investments (Total Bond Market Trust B) | ||||||||||||
(Cost $595,760,738) - 106.5% | $ | 626,981,665 | 106.5 | % | ||||||||
Other assets and liabilities, net - (6.5%) | (38,340,903 | ) | (6.5 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 588,640,762 | 100.0 | % | ||||||||
SALE COMMITMENTS OUTSTANDING - (1.4)% | ||||||||||||
Government National Mortgage Association - (1.4)% | ||||||||||||
3.000%, TBA (C) | (5,000,000 | ) | (5,187,890 | ) | (0.9 | )% | ||||||
3.500%, TBA (C) | (2,800,000 | ) | (2,964,170 | ) | (0.5 | )% | ||||||
(8,152,060 | ) | |||||||||||
TOTAL SALE COMMITMENTS | ||||||||||||
OUTSTANDING (Cost $(8,131,531)) | $ | (8,152,060 | ) | |||||||||
Ultra Short Term Bond Trust | ||||||||||||
Shares or Principal Amount | Value | % of Net Assets | ||||||||||
U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS - 26.3% | ||||||||||||
U.S. Treasury Bond - 4.7% | ||||||||||||
3.250%, 12/31/2016 | $ | 15,000,000 | $ | 15,211,410 | 4.7 | % | ||||||
U.S. Treasury Notes - 18.0% | ||||||||||||
0.875%, 09/15/2016 | ||||||||||||
to 11/30/2016 | 26,000,000 | 26,043,520 | 8.0 | % | ||||||||
3.125%, 10/31/2016 | 12,000,000 | 12,109,788 | 3.8 | % | ||||||||
3.250%, 07/31/2016 | 10,000,000 | 10,025,190 | 3.1 | % | ||||||||
4.875%, 08/15/2016 | 10,000,000 | 10,057,230 | 3.1 | % | ||||||||
58,235,728 | ||||||||||||
Federal Home Loan Mortgage Corp. - 0.9% | 3,028,038 | 0.9 | % | |||||||||
Federal National Mortgage Association - 2.4% | 7,728,934 | 2.4 | % |
Ultra Short Term Bond Trust (continued)
Shares or Principal Amount | Value | % of Net Assets | ||||||||||
U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS (continued) | ||||||||||||
Government National Mortgage Association - 0.3% | $ | 933,146 | 0.3 | % | ||||||||
TOTAL U.S. GOVERNMENT AND AGENCY | ||||||||||||
OBLIGATIONS (Cost $85,595,971) | $ | 85,137,256 | ||||||||||
CORPORATE BONDS - 51.9% | ||||||||||||
Consumer discretionary - 6.6% | ||||||||||||
Ford Motor Credit Company LLC | ||||||||||||
1.270%, 03/27/2017 (P) | $ | 2,030,000 | 2,030,761 | 0.6 | % | |||||||
Historic TW, Inc. | ||||||||||||
6.875%, 06/15/2018 | 3,500,000 | 3,866,114 | 1.2 | % | ||||||||
Toyota Motor Credit Corp. | ||||||||||||
1.700%, 02/19/2019 | 3,000,000 | 3,038,346 | 0.9 | % | ||||||||
OTHER SECURITIES | 12,527,812 | 3.9 | % | |||||||||
21,463,033 | ||||||||||||
Consumer staples - 5.8% | ||||||||||||
Anheuser-Busch InBev Finance, Inc. | ||||||||||||
1.900%, 02/01/2019 | 4,000,000 | 4,067,824 | 1.2 | % | ||||||||
Bunge, Ltd. Finance Corp. | ||||||||||||
3.200%, 06/15/2017 | 3,000,000 | 3,042,000 | 0.9 | % | ||||||||
Kraft Heinz Foods Company | ||||||||||||
2.000%, 07/02/2018 (S) | 2,500,000 | 2,534,150 | 0.8 | % | ||||||||
Reynolds American, Inc. | ||||||||||||
2.300%, 08/21/2017 | 2,500,000 | 2,530,150 | 0.8 | % | ||||||||
OTHER SECURITIES | 6,748,781 | 2.1 | % | |||||||||
18,922,905 | ||||||||||||
Energy - 0.7% | ||||||||||||
Kinder Morgan Energy Partners LP | ||||||||||||
5.950%, 02/15/2018 | 2,000,000 | 2,111,046 | 0.7 | % | ||||||||
Financials - 16.0% | ||||||||||||
Credit Suisse AG | ||||||||||||
1.750%, 01/29/2018 | 3,000,000 | 3,002,493 | 0.9 | % | ||||||||
ING Bank NV | ||||||||||||
3.750%, 03/07/2017 (S) | 2,785,000 | 2,833,097 | 0.9 | % | ||||||||
JPMorgan Chase & Co. | ||||||||||||
6.000%, 01/15/2018 | 3,000,000 | 3,210,021 | 1.0 | % | ||||||||
Morgan Stanley | ||||||||||||
5.625%, 09/23/2019 | 2,057,000 | 2,282,258 | 0.7 | % | ||||||||
National City Bank | ||||||||||||
1.052%, 06/07/2017 (P) | 2,500,000 | 2,496,183 | 0.8 | % | ||||||||
PNC Funding Corp. | ||||||||||||
5.625%, 02/01/2017 | 2,500,000 | 2,561,765 | 0.8 | % | ||||||||
Santander UK PLC | ||||||||||||
2.500%, 03/14/2019 | 2,000,000 | 2,020,580 | 0.6 | % | ||||||||
Welltower, Inc. | ||||||||||||
4.700%, 09/15/2017 | 2,900,000 | 3,005,740 | 0.9 | % | ||||||||
OTHER SECURITIES | 30,614,720 | 9.4 | % | |||||||||
52,026,857 | ||||||||||||
Health care - 10.8% | ||||||||||||
AbbVie, Inc. | ||||||||||||
1.800%, 05/14/2018 | 3,600,000 | 3,625,394 | 1.1 | % | ||||||||
Actavis Funding SCS | ||||||||||||
1.850%, 03/01/2017 | 3,000,000 | 3,010,188 | 0.9 | % | ||||||||
Aetna, Inc. | ||||||||||||
1.500%, 11/15/2017 | 3,000,000 | 3,013,731 | 1.0 | % | ||||||||
Express Scripts Holding Company | ||||||||||||
2.650%, 02/15/2017 | 2,500,000 | 2,526,593 | 0.8 | % | ||||||||
GlaxoSmithKline Capital PLC | ||||||||||||
5.650%, 05/15/2018 | 3,000,000 | 3,255,534 | 1.0 | % | ||||||||
Pfizer, Inc. | ||||||||||||
0.776%, 05/15/2017 (P) | 2,300,000 | 2,300,587 | 0.7 | % |
The accompanying notes are an integral part of the financial statements. | 27 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Ultra Short Term Bond Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
CORPORATE BONDS (continued) | ||||||||||||
Health care (continued) | ||||||||||||
UnitedHealth Group, Inc. | ||||||||||||
6.000%, 02/15/2018 | $ | 2,000,000 | $ | 2,156,666 | 0.7 | % | ||||||
Zimmer Biomet Holdings, Inc. | ||||||||||||
1.450%, 04/01/2017 | 2,909,000 | 2,910,876 | 0.9 | % | ||||||||
OTHER SECURITIES | 12,206,481 | 3.7 | % | |||||||||
35,006,050 | ||||||||||||
Industrials - 1.0% | 3,239,929 | 1.0 | % | |||||||||
Information technology - 4.6% | ||||||||||||
Apple, Inc. | ||||||||||||
1.700%, 02/22/2019 | 3,000,000 | 3,053,628 | 0.9 | % | ||||||||
IBM Corp. | ||||||||||||
1.800%, 05/17/2019 | 3,000,000 | 3,052,647 | 0.9 | % | ||||||||
OTHER SECURITIES | 8,867,794 | 2.8 | % | |||||||||
14,974,069 | ||||||||||||
Materials - 0.3% | 1,000,500 | 0.3 | % | |||||||||
Telecommunication services - 3.2% | ||||||||||||
AT&T, Inc. | ||||||||||||
2.400%, 08/15/2016 | 3,000,000 | 3,004,740 | 0.9 | % | ||||||||
Telefonica Emisiones SAU | ||||||||||||
6.221%, 07/03/2017 | 2,746,000 | 2,866,992 | 0.9 | % | ||||||||
Verizon Communications, Inc. | ||||||||||||
1.350%, 06/09/2017 | 3,000,000 | 3,007,923 | 0.9 | % | ||||||||
OTHER SECURITIES | 1,500,809 | 0.5 | % | |||||||||
10,380,464 | ||||||||||||
Utilities - 2.9% | ||||||||||||
Duke Energy Corp. | ||||||||||||
1.009%, 04/03/2017 (P) | 2,500,000 | 2,498,278 | 0.8 | % | ||||||||
Electricite de France SA | ||||||||||||
1.094%, 01/20/2017 (P)(S) | 2,822,000 | 2,823,894 | 0.9 | % | ||||||||
OTHER SECURITIES | 4,001,920 | 1.2 | % | |||||||||
9,324,092 | ||||||||||||
TOTAL CORPORATE BONDS (Cost $167,463,000) | $ | 168,448,945 | ||||||||||
COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS - 0.5% | ||||||||||||
Federal National Mortgage Association - 0.5% | 1,618,559 | 0.5 | % | |||||||||
TOTAL COLLATERALIZED MORTGAGE | ||||||||||||
OBLIGATIONS (Cost $1,630,043) | $ | 1,618,559 | ||||||||||
ASSET BACKED SECURITIES - 20.2% | ||||||||||||
American Express Credit Account | ||||||||||||
Master Trust, | ||||||||||||
1.260%, 01/15/2020 | 3,945,000 | 3,961,059 | 1.2 | % | ||||||||
AmeriCredit Automobile | ||||||||||||
Receivables Trust, | ||||||||||||
1.420%, 10/08/2019 | 3,000,000 | 3,004,315 | 0.9 | % | ||||||||
BA Credit Card Trust, | ||||||||||||
0.712%, 09/16/2019 (P) | 3,075,000 | 3,077,922 | 1.0 | % | ||||||||
Capital One Multi-Asset | ||||||||||||
Execution Trust, | ||||||||||||
0.492%, 11/15/2019 (P) | 3,000,000 | 2,998,027 | 0.9 | % | ||||||||
Chase Issuance Trust, | ||||||||||||
1.150%, 01/15/2019 | 3,000,000 | 3,006,034 | 0.9 | % | ||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
1.230%, 04/24/2019 | 4,496,000 | 4,509,222 | 1.4 | % | ||||||||
CNH Equipment Trust, | ||||||||||||
1.050%, 11/15/2019 | 3,538,933 | 3,538,148 | 1.1 | % | ||||||||
Discover Card Execution Note Trust, | ||||||||||||
0.826%, 08/15/2019 (P) | 2,910,000 | 2,910,263 | 0.9 | % |
Ultra Short Term Bond Trust (continued)
Shares or | % of | |||||||||||
Principal | Net | |||||||||||
Amount | Value | Assets | ||||||||||
ASSET BACKED SECURITIES (continued) | ||||||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
1.280%, 09/15/2019 | $ | 3,417,000 | $ | 3,430,744 | 1.1 | % | ||||||
Nissan Auto Receivables | ||||||||||||
Owner Trust, | ||||||||||||
1.060%, 02/15/2019 | 3,700,000 | 3,706,069 | 1.1 | % | ||||||||
Santander Drive Auto | ||||||||||||
Receivables Trust, | ||||||||||||
1.380%, 07/15/2019 | 3,000,000 | 3,000,796 | 0.9 | % | ||||||||
Toyota Auto Receivables | ||||||||||||
Owner Trust, | ||||||||||||
1.460%, 01/15/2019 | 3,630,000 | 3,643,777 | 1.1 | % | ||||||||
OTHER SECURITIES | 24,613,699 | 7.7 | % | |||||||||
TOTAL ASSET BACKED | ||||||||||||
SECURITIES (Cost $65,358,997) | $ | 65,400,075 | ||||||||||
SHORT-TERM INVESTMENTS - 7.9% | ||||||||||||
U.S. Government Agency - 4.1% | ||||||||||||
Federal Home Loan Bank Discount | ||||||||||||
Note | ||||||||||||
0.016%, 07/05/2016* | 13,299,000 | 13,299,000 | 4.1 | % | ||||||||
Repurchase agreement - 3.8% | ||||||||||||
Barclays Tri-Party Repurchase | ||||||||||||
Agreement dated 06/30/2016 at | ||||||||||||
0.400% to be repurchased at | ||||||||||||
$12,301,137 on 07/01/2016, | ||||||||||||
collateralized by $12,303,800 | ||||||||||||
U.S. Treasury Notes, 1.375% due | ||||||||||||
10/31/2020 (valued at | ||||||||||||
$12,547,159, including interest) | 12,301,000 | 12,301,000 | 3.8 | % | ||||||||
TOTAL SHORT-TERM | ||||||||||||
INVESTMENTS (Cost $25,600,000) | $ | 25,600,000 | ||||||||||
Total Investments (Ultra Short Term Bond Trust) | ||||||||||||
(Cost $345,648,011) - 106.8% | $ | 346,204,835 | 106.8 | % | ||||||||
Other assets and liabilities, net - (6.8%) | (21,955,986 | ) | (6.8 | )% | ||||||||
TOTAL NET ASSETS - 100.0% | $ | 324,248,849 | 100.0 | % |
Percentages are based upon net assets.
Footnotes
Key to Currency Abbreviations
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PHP | Philippine Peso |
SEK | Swedish Krona |
SGD | Singapore Dollar |
The accompanying notes are an integral part of the financial statements. | 28 |
John Hancock Variable Insurance Trust
SUMMARY PORTFOLIO OF INVESTMENTS — June 30, 2016 (unaudited) (showing percentage of total net assets)
Key to Security Abbreviations and Legend
ADR | American Depositary Receipts |
LIBOR | London Interbank Offered Rate |
PIK | Payment-in-kind |
TBA | To Be Announced. A forward mortgage-backed securities trade issued by a U.S. Government Agency, to be delivered at an agreed-upon future settlement date. |
(C) | Security purchased or sold on a when-issued or delayed delivery basis. |
(D) | All or a portion of this security is segregated at the custodian as collateral pursuant to certain derivative instrument contracts. |
(I) | Non-income producing security. |
(L) | A portion of the security is on loan as of June 30, 2016. |
(M) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(P) | Variable rate obligation. Securities reset coupon rates periodically. The coupon rate shown represents the rate at period end. |
(Q) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. |
(S) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. |
(W) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
(Y) | The rate shown is the annualized seven-day yield as of June 30, 2016. |
(Z) | Zero coupon bonds are issued at a discount from their principal amount in lieu of paying interest periodically. Rate shown is the effective yield at period end. |
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
The accompanying notes are an integral part of the financial statements. | 29 |
High Yield Trust | |||||||||||||||
United States | 83.0 | % | |||||||||||||
Luxembourg | 3.0 | % | |||||||||||||
United Kingdom | 2.6 | % | |||||||||||||
Canada | 2.2 | % | |||||||||||||
Cayman Islands | 2.1 | % | |||||||||||||
France | 1.9 | % | |||||||||||||
Ireland | 1.3 | % | |||||||||||||
Australia | 1.0 | % | |||||||||||||
Other countries | 2.9 | % | |||||||||||||
Total | 100.0 | % | |||||||||||||
Income Trust | |||||||||||||||
United States | 78.2 | % | |||||||||||||
United Kingdom | 4.0 | % | |||||||||||||
Netherlands | 3.9 | % | |||||||||||||
France | 2.2 | % | |||||||||||||
Luxembourg | 2.1 | % | |||||||||||||
Germany | 1.9 | % | |||||||||||||
Bermuda | 1.7 | % | |||||||||||||
Switzerland | 1.3 | % | |||||||||||||
Canada | 1.3 | % | |||||||||||||
Australia | 1.2 | % | |||||||||||||
Other countries | 2.2 | % | |||||||||||||
Total | 100.0 | % | |||||||||||||
Investment Quality Bond Trust | |||||||||||||||
United States | 78.8 | % | |||||||||||||
Cayman Islands | 11.3 | % | |||||||||||||
United Kingdom | 1.9 | % | |||||||||||||
France | 1.0 | % | |||||||||||||
Other countries | 7.0 | % | |||||||||||||
Total | 100.0 | % | |||||||||||||
Strategic Income Opportunities Trust | |||||||||||||||
United States | 72.2 | % | |||||||||||||
Mexico | 4.1 | % | |||||||||||||
Canada | 4.1 | % | |||||||||||||
New Zealand | 3.7 | % | |||||||||||||
Australia | 3.6 | % | |||||||||||||
Singapore | 3.3 | % | |||||||||||||
Philippines | 3.1 | % | |||||||||||||
Sweden | 1.8 | % | |||||||||||||
Norway | 1.6 | % | |||||||||||||
Other countries | 2.5 | % | |||||||||||||
Total | 100.0 | % |
Assets | Active Bond Trust | | Bond Trust | | Core Bond Trust | | Global Bond Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 776,859,783 | $ | 8,848,303,325 | $ | 1,407,949,621 | $ | 703,390,290 | |||||||||||
Affiliated investments, at value | 4,251,380 | 38,055,056 | — | — | |||||||||||||||
Repurchase agreements, at value | 3,030,000 | 86,671,000 | — | — | |||||||||||||||
Total investments, at value | 784,141,163 | 8,973,029,381 | 1,407,949,621 | 703,390,290 | |||||||||||||||
Cash | 920,813 | 25,664,716 | — | 382,804 | |||||||||||||||
Foreign currency, at value | 437,452 | — | — | 1,591,809 | |||||||||||||||
Cash held at broker for futures contract | — | — | — | 2,319,000 | |||||||||||||||
Receivable for investments sold | 126,094 | 94,673,282 | 39,696,733 | 118,158 | |||||||||||||||
Receivable for delayed delivery securities sold | 510,293 | — | 204,859,759 | 59,956,754 | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | — | 7,436,561 | |||||||||||||||
Receivable for fund shares sold | 91,659 | 344,415 | — | 17,216 | |||||||||||||||
Dividends and interest receivable | 5,994,860 | 57,103,876 | 5,217,607 | 3,874,464 | |||||||||||||||
Swap contracts, at value | — | — | — | 1,874,489 | |||||||||||||||
Receivable for futures variation margin | — | — | — | 9,348,022 | |||||||||||||||
Receivable for securities lending income | 2,663 | 21,442 | 2,243 | — | |||||||||||||||
Other assets | 84,203 | 77,485 | 34,112 | 264,744 | |||||||||||||||
Total assets | 792,309,200 | 9,150,914,597 | 1,657,760,075 | 790,574,311 | |||||||||||||||
Liabilities | |||||||||||||||||||
Payable for collateral held by portfolio | — | — | 90,000 | 4,885,000 | |||||||||||||||
Payable for investments purchased | 74,179 | 103,089,361 | 58,426,094 | 2,653,473 | |||||||||||||||
Payable for delayed delivery securities purchased | 17,578,272 | — | 291,357,813 | 81,406,454 | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | — | 13,034,334 | |||||||||||||||
Payable for open reverse repurchase agreement | — | — | — | 35,259,334 | |||||||||||||||
Payable for fund shares repurchased | 425,719 | 34,152,444 | 344,592 | 902,329 | |||||||||||||||
Payable upon return of securities loaned | 4,249,070 | 38,044,149 | — | — | |||||||||||||||
Written options, at value | — | — | — | 1,211,861 | |||||||||||||||
Payable for sale commitments outstanding, at value | — | — | 16,431,360 | 25,612,295 | |||||||||||||||
Swap contracts, at value | — | — | — | 3,772,036 | |||||||||||||||
Payable for exchange cleared swaps | — | — | — | 3,740,025 | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 21,853 | 257,358 | 36,881 | 17,778 | |||||||||||||||
Trustees’ fees | 430 | 5,438 | 1,053 | 350 | |||||||||||||||
Other liabilities and accrued expenses | 73,015 | 534,352 | 134,563 | 89,599 | |||||||||||||||
Total liabilities | 22,422,538 | 176,083,102 | 366,822,356 | 172,584,868 | |||||||||||||||
Net assets | $ | 769,886,662 | $ | 8,974,831,495 | $ | 1,290,937,719 | $ | 617,989,443 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 733,964,990 | $ | 8,713,282,013 | $ | 1,236,185,998 | $ | 603,265,489 | |||||||||||
Undistributed net investment income (loss) | 19,145,268 | 182,804,971 | 17,908,804 | 3,750,587 | |||||||||||||||
Accumulated undistributed net realized gain (loss) on investments | (8,723,742 | ) | (151,037,237 | ) | 12,388,146 | (5,779,240 | ) | ||||||||||||
Net unrealized appreciation (depreciation) on investments | 25,500,146 | 229,781,748 | 24,454,771 | 16,752,607 | |||||||||||||||
Net assets | $ | 769,886,662 | $ | 8,974,831,495 | $ | 1,290,937,719 | $ | 617,989,443 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 753,350,361 | $ | 8,704,495,689 | $ | 1,383,415,826 | $ | 690,260,709 | |||||||||||
Affiliated investments, at cost | $ | 4,251,343 | $ | 38,054,324 | — | — | |||||||||||||
Foreign currency, at cost | $ | 1,467,865 | — | — | $ | 1,570,567 | |||||||||||||
Proceeds received on sale commitments outstanding | — | — | $ | 16,352,336 | $ | 25,538,750 | |||||||||||||
Premiums received on written options | — | — | — | $ | 1,230,177 | ||||||||||||||
Net unamortized upfront payment on swaps | — | — | — | $ | 563,870 | ||||||||||||||
Securities loaned, unaffiliated investments, at value | $ | 4,161,758 | $ | 37,466,678 | — | — | |||||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 43,395,650 | $ | 206,464,848 | $ | 132,579,167 | $ | 44,560,594 | |||||||||||
Shares outstanding | 4,384,596 | 14,773,250 | 9,682,639 | 3,435,366 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 9.90 | $ | 13.98 | $ | 13.69 | $ | 12.97 | |||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 174,194,424 | $ | 549,620,937 | $ | 126,798,963 | $ | 89,726,445 | |||||||||||
Shares outstanding | 17,583,851 | 39,313,805 | 9,277,989 | 7,005,079 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 9.91 | $ | 13.98 | $ | 13.67 | $ | 12.81 | |||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 552,296,588 | $ | 8,218,745,710 | $ | 1,031,559,589 | $ | 483,702,404 | |||||||||||
Shares outstanding | 55,760,480 | 588,181,577 | 75,637,717 | 37,431,218 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 9.90 | $ | 13.97 | $ | 13.64 | $ | 12.92 |
Assets | High Yield Trust | | Income Trust | | Investment Quality Bond Trust | | Money Market Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 238,135,151 | $ | 330,652,631 | $ | 359,811,003 | $ | 2,347,449,545 | |||||||||||
Affiliated investments, at value | 7,247,233 | 15,144,054 | 217,428 | — | |||||||||||||||
Repurchase agreements, at value | 102,049 | — | 27,100,000 | — | |||||||||||||||
Total investments, at value | 245,484,433 | 345,796,685 | 387,128,431 | 2,347,449,545 | |||||||||||||||
Cash | — | 9,813,122 | 33,193 | 2,373 | |||||||||||||||
Foreign currency, at value | 89,276 | — | — | — | |||||||||||||||
Cash held at broker for futures contracts | 339,042 | — | — | — | |||||||||||||||
Receivable for investments sold | 3,241,132 | 517,854 | 570,032 | — | |||||||||||||||
Receivable for delayed delivery securities sold | — | — | 36,178,626 | — | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts | 61,410 | — | 84,642 | — | |||||||||||||||
Cash segregated at custodian for derivative contracts | — | — | 1,250,000 | — | |||||||||||||||
Receivable for fund shares sold | — | — | 255,398 | — | |||||||||||||||
Dividends and interest receivable | 4,212,918 | 2,703,407 | 1,732,989 | 170,066 | |||||||||||||||
Receivable for securities lending income | 5,368 | 9,459 | 164 | — | |||||||||||||||
Swap contracts, at value | — | — | 258,776 | — | |||||||||||||||
Receivable for futures variation margin | 32,641 | — | 7,152 | — | |||||||||||||||
Receivable for exchange cleared swaps | 134,261 | — | 87,834 | — | |||||||||||||||
Receivable due from advisor | — | — | — | 7,042 | |||||||||||||||
Other assets | 146,838 | 6,486 | 71,149 | 71,959 | |||||||||||||||
Total assets | 253,747,319 | 358,847,013 | 427,658,386 | 2,347,700,985 | |||||||||||||||
Liabilities | |||||||||||||||||||
Due to custodian | 1,649,874 | — | — | — | |||||||||||||||
Payable for investments purchased | 1,821,817 | — | 1,132,180 | — | |||||||||||||||
Payable for delayed delivery securities purchased | — | — | 117,014,332 | — | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | 29,480 | — | 451,577 | — | |||||||||||||||
Payable for fund shares repurchased | 1,920,104 | — | — | 5,850,485 | |||||||||||||||
Payable upon return of securities loaned | 7,248,275 | 15,143,828 | 217,395 | — | |||||||||||||||
Swap contracts, at value | — | — | 2,415,476 | — | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 6,788 | 9,650 | 7,988 | 67,675 | |||||||||||||||
Trustees’ fees | 131 | 199 | 146 | 1,048 | |||||||||||||||
Other liabilities and accrued expenses | 49,490 | 44,310 | 55,285 | 201,371 | |||||||||||||||
Total liabilities | 12,725,959 | 15,197,987 | 121,294,379 | 6,120,579 | |||||||||||||||
Net assets | $ | 241,021,360 | $ | 343,649,026 | $ | 306,364,007 | $ | 2,341,580,406 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 652,441,557 | $ | 378,168,628 | $ | 295,487,920 | $ | 2,341,508,861 | |||||||||||
Undistributed net investment income (loss) | 11,794,876 | 10,442,330 | 5,984,910 | 56,156 | |||||||||||||||
Accumulated undistributed net realized gain (loss) on investments | (400,196,814 | ) | (58,157,563 | ) | 2,799,355 | 15,389 | |||||||||||||
Net unrealized appreciation (depreciation) on investments | (23,018,259 | ) | 13,195,631 | 2,091,822 | — | ||||||||||||||
Net assets | $ | 241,021,360 | $ | 343,649,026 | $ | 306,364,007 | $ | 2,341,580,406 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 261,985,724 | $ | 317,454,191 | $ | 382,498,241 | $ | 2,347,449,545 | |||||||||||
Affiliated investments, at cost | $ | 7,247,320 | $ | 15,144,415 | $ | 217,432 | — | ||||||||||||
Foreign currency, at cost | $ | 84,972 | — | — | — | ||||||||||||||
Net unamortized upfront payment on swaps | — | — | $ | 265,365 | — | ||||||||||||||
Securities loaned, unaffiliated investments, at value | $ | 7,077,808 | $ | 14,996,427 | $ | 214,462 | — | ||||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | $ | 84,141,176 | — | $ | 165,178,502 | $ | 1,712,914,302 | ||||||||||||
Shares outstanding | 16,093,870 | — | 14,433,489 | 1,712,880,398 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 5.23 | — | $ | 11.44 | $ | 1.00 | ||||||||||||
Series II | |||||||||||||||||||
Net assets | $ | 63,357,425 | — | $ | 88,385,038 | $ | 230,096,339 | ||||||||||||
Shares outstanding | 11,898,440 | — | 7,724,902 | 230,074,120 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 5.32 | — | $ | 11.44 | $ | 1.00 | ||||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 93,522,759 | $ | 343,649,026 | $ | 52,800,467 | $ | 398,569,765 | |||||||||||
Shares outstanding | 18,123,574 | 30,326,773 | 4,628,449 | 398,555,432 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 5.16 | $ | 11.33 | $ | 11.41 | $ | 1.00 |
Assets | New Income Trust | | Short Term Government Income Trust | | Strategic Income Opportunities Trust | | Total Bond Market Trust B | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 1,457,857,441 | $ | 318,868,458 | $ | 601,067,602 | $ | 626,981,665 | |||||||||||
Repurchase agreements, at value | 668,000 | 12,733,000 | 650,000 | — | |||||||||||||||
Total investments, at value | 1,458,525,441 | 331,601,458 | 601,717,602 | 626,981,665 | |||||||||||||||
Cash | 1,331,635 | 10,547,315 | — | — | |||||||||||||||
Foreign currency, at value | — | — | 582,457 | — | |||||||||||||||
Cash segregated at custodian for derivative contracts | — | — | 3,160,000 | — | |||||||||||||||
Receivable for investments sold | 19,937,054 | — | 2,891,257 | — | |||||||||||||||
Receivable for delayed delivery securities sold | 13,595,936 | — | — | — | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts | 499,382 | — | 12,649,978 | — | |||||||||||||||
Receivable for fund shares sold | — | 39,958 | 4,601 | 265,263 | |||||||||||||||
Dividends and interest receivable | 7,481,958 | 1,413,563 | 5,191,684 | 3,891,975 | |||||||||||||||
Receivable for securities lending income | 31 | — | — | — | |||||||||||||||
Receivable for exchange cleared swaps | 50,891 | — | — | — | |||||||||||||||
Receivable due from advisor | — | — | — | 4,026 | |||||||||||||||
Other assets | 233,656 | 72,369 | 118,327 | 32,464 | |||||||||||||||
Total assets | 1,501,655,984 | 343,674,663 | 626,315,906 | 631,175,393 | |||||||||||||||
Liabilities | |||||||||||||||||||
Due to custodian | — | — | 44,213 | — | |||||||||||||||
Payable for investments purchased | 13,520,418 | 6,490,349 | 3,053,625 | — | |||||||||||||||
Payable for delayed delivery securities purchased | 90,317,090 | — | — | 34,127,828 | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | 140,250 | — | 16,156,805 | — | |||||||||||||||
Payable for fund shares repurchased | 557,588 | 21,409 | 547,896 | 189,669 | |||||||||||||||
Payable for sale commitments outstanding, at value | — | — | — | 8,152,060 | |||||||||||||||
Payable for futures variation margin | 61,250 | — | — | — | |||||||||||||||
Payable to affiliates | |||||||||||||||||||
Accounting and legal services fees | 40,097 | 9,844 | 16,899 | 15,943 | |||||||||||||||
Trustees’ fees | 862 | 185 | 289 | 262 | |||||||||||||||
Other liabilities and accrued expenses | 113,503 | 51,385 | 76,117 | 48,869 | |||||||||||||||
Total liabilities | 104,751,058 | 6,573,172 | 19,895,844 | 42,534,631 | |||||||||||||||
Net assets | $ | 1,396,904,926 | $ | 337,101,491 | $ | 606,420,062 | $ | 588,640,762 | |||||||||||
Net assets consist of | |||||||||||||||||||
Paid-in capital | $ | 1,318,072,461 | $ | 405,326,041 | $ | 654,643,936 | $ | 549,944,082 | |||||||||||
Undistributed net investment income (loss) | 30,787,494 | 3,066,745 | 11,801,066 | 10,059,844 | |||||||||||||||
Accumulated undistributed net realized gain (loss) on investments | 694,084 | (74,169,577 | ) | (64,947,297 | ) | (2,563,562 | ) | ||||||||||||
Net unrealized appreciation (depreciation) on investments | 47,350,887 | 2,878,282 | 4,922,357 | 31,200,398 | |||||||||||||||
Net assets | $ | 1,396,904,926 | $ | 337,101,491 | $ | 606,420,062 | $ | 588,640,762 | |||||||||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 1,411,986,392 | $ | 328,723,176 | $ | 593,311,960 | $ | 595,760,738 | |||||||||||
Foreign currency, at cost | — | — | $ | 582,097 | — | ||||||||||||||
Proceeds received on sale commitments outstanding | — | — | — | $ | 8,131,531 | ||||||||||||||
Net asset value per share | |||||||||||||||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||||||||||||||
Series I | |||||||||||||||||||
Net assets | — | $ | 44,391,610 | $ | 482,511,190 | $ | 218,769,458 | ||||||||||||
Shares outstanding | — | 3,565,925 | 35,609,168 | 20,545,512 | |||||||||||||||
Net asset value, offering price and redemption price per share | — | $ | 12.45 | $ | 13.55 | $ | 10.65 | ||||||||||||
Series II | |||||||||||||||||||
Net assets | — | $ | 35,327,775 | $ | 48,755,670 | $ | 89,158,946 | ||||||||||||
Shares outstanding | — | 2,838,686 | 3,592,683 | 8,370,162 | |||||||||||||||
Net asset value, offering price and redemption price per share | — | $ | 12.45 | $ | 13.57 | $ | 10.65 | ||||||||||||
Series NAV | |||||||||||||||||||
Net assets | $ | 1,396,904,926 | $ | 257,382,106 | $ | 75,153,202 | $ | 280,712,358 | |||||||||||
Shares outstanding | 105,229,561 | 20,671,688 | 5,561,157 | 26,365,878 | |||||||||||||||
Net asset value, offering price and redemption price per share | $ | 13.27 | $ | 12.45 | $ | 13.51 | $ | 10.65 |
Assets | Ultra Short Term Bond Trust | ||||||
---|---|---|---|---|---|---|---|
Unaffiliated investments, at value | $ | 333,903,835 | |||||
Repurchase agreements, at value | 12,301,000 | ||||||
Total investments, at value | 346,204,835 | ||||||
Cash | 6,283,077 | ||||||
Receivable for fund shares sold | 84,769 | ||||||
Dividends and interest receivable | 1,797,216 | ||||||
Receivable for securities lending income | 99 | ||||||
Other assets | 485 | ||||||
Total assets | 354,370,481 | ||||||
Liabilities | |||||||
Payable for investments purchased | 29,965,773 | ||||||
Payable for fund shares repurchased | 106,400 | ||||||
Payable to affiliates | |||||||
Accounting and legal services fees | 8,676 | ||||||
Trustees’ fees | 127 | ||||||
Other liabilities and accrued expenses | 40,656 | ||||||
Total liabilities | 30,121,632 | ||||||
Net assets | $ | 324,248,849 | |||||
Net assets consist of | |||||||
Paid-in capital | $ | 336,348,384 | |||||
Undistributed net investment income (loss) | 1,209,373 | ||||||
Accumulated undistributed net realized gain (loss) on investments | (13,865,732 | ) | |||||
Net unrealized appreciation (depreciation) on investments | 556,824 | ||||||
Net assets | $ | 324,248,849 | |||||
Unaffiliated investments, including repurchase agreements, at cost | $ | 345,648,011 | |||||
Net asset value per share | |||||||
The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||||||
Series I | |||||||
Net assets | $ | 12,225,469 | |||||
Shares outstanding | 1,044,915 | ||||||
Net asset value, offering price and redemption price per share | $ | 11.70 | |||||
Series II | |||||||
Net assets | $ | 294,825,797 | |||||
Shares outstanding | 25,225,038 | ||||||
Net asset value, offering price and redemption price per share | $ | 11.69 | |||||
Series NAV | |||||||
Net assets | $ | 17,197,583 | |||||
Shares outstanding | 1,468,989 | ||||||
Net asset value, offering price and redemption price per share | $ | 11.71 |
Investment income | Active Bond Trust | | Bond Trust | | Core Bond Trust | | Global Bond Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Interest | $ | 14,708,013 | $ | 132,966,167 | $ | 15,182,510 | $ | 9,795,045 | |||||||||||
Dividends | 122,620 | 299,666 | — | 3,864 | |||||||||||||||
Securities lending | 35,126 | 238,095 | 11,303 | — | |||||||||||||||
Total investment income | 14,865,759 | 133,503,928 | 15,193,813 | 9,798,909 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 2,286,673 | 25,451,612 | 3,770,800 | 2,153,431 | |||||||||||||||
Series I distribution and service fees | 10,715 | 50,607 | 34,849 | 10,767 | |||||||||||||||
Series II distribution and service fees | 221,650 | 673,737 | 159,168 | 111,190 | |||||||||||||||
Accounting and legal services fees | 51,408 | 606,643 | 86,662 | 41,329 | |||||||||||||||
Professional fees | 33,328 | 85,344 | 46,263 | 49,742 | |||||||||||||||
Printing and postage | 10,855 | 49,987 | — | 6,832 | |||||||||||||||
Custodian fees | (20,183 | ) | 609,494 | 47,770 | (57,224 | ) | |||||||||||||
Trustees’ fees | 7,045 | 82,281 | 11,525 | 5,747 | |||||||||||||||
Interest expense | — | — | — | 11,663 | |||||||||||||||
Other | 9,944 | 62,033 | 3,497 | 11,545 | |||||||||||||||
Total expenses before reductions | 2,611,435 | 27,671,738 | 4,160,534 | 2,345,022 | |||||||||||||||
Less expense reductions | (27,632 | ) | (325,948 | ) | (46,585 | ) | (22,220 | ) | |||||||||||
Net expenses | 2,583,803 | 27,345,790 | 4,113,949 | 2,322,802 | |||||||||||||||
Net investment income (loss) | 12,281,956 | 106,158,138 | 11,079,864 | 7,476,107 | |||||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | 5,624,776 | 54,873,749 | 16,211,837 | 17,132,105 | |||||||||||||||
Affiliated investments | 2,421 | 15,357 | 2,302 | — | |||||||||||||||
Futures contracts | — | — | — | 5,879,303 | |||||||||||||||
Written options | — | — | — | 949,801 | |||||||||||||||
Swap contracts | — | — | — | (12,960,254 | ) | ||||||||||||||
5,627,197 | 54,889,106 | 16,214,139 | 11,000,955 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 22,023,478 | 290,211,852 | 38,817,241 | 33,308,162 | |||||||||||||||
Affiliated investments | 82 | 942 | — | — | |||||||||||||||
Futures contracts | — | — | — | 10,342,766 | |||||||||||||||
Written options | — | — | — | (239,855 | ) | ||||||||||||||
Swap contracts | — | — | — | (2,857,638 | ) | ||||||||||||||
22,023,560 | 290,212,794 | 38,817,241 | 40,553,435 | ||||||||||||||||
Net realized and unrealized gain (loss) | 27,650,757 | 345,101,900 | 55,031,380 | 51,554,390 | |||||||||||||||
Increase (decrease) in net assets from operations | $ | 39,932,713 | $ | 451,260,038 | $ | 66,111,244 | $ | 59,030,497 |
Investment income | High Yield Trust | | Income Trust | | Investment Quality Bond Trust | | Money Market Trust | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Interest | �� | $ | 8,986,989 | $ | 4,514,401 | $ | 4,606,970 | $ | 4,388,467 | ||||||||||
Dividends | 116,091 | 4,369,805 | — | — | |||||||||||||||
Securities lending | 31,346 | 66,277 | 1,660 | — | |||||||||||||||
Less foreign taxes withheld | — | (168,012 | ) | — | — | ||||||||||||||
Total investment income | 9,134,426 | 8,782,471 | 4,608,630 | 4,388,467 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 799,680 | 1,345,761 | 808,210 | 4,435,325 | |||||||||||||||
Series I distribution and service fees | 21,073 | — | 41,141 | 434,315 | |||||||||||||||
Series II distribution and service fees | 81,075 | — | 111,308 | 299,572 | |||||||||||||||
Accounting and legal services fees | 15,695 | 22,586 | 18,744 | 140,923 | |||||||||||||||
Professional fees | 36,592 | 30,323 | 38,661 | 57,858 | |||||||||||||||
Printing and postage | 4,804 | 3,349 | 4,214 | 5,956 | |||||||||||||||
Custodian fees | (128,770 | ) | 18,714 | (49,439 | ) | 60,289 | |||||||||||||
Trustees’ fees | 2,220 | 3,223 | 2,625 | 18,760 | |||||||||||||||
Other | 5,215 | 5,101 | 4,212 | 14,502 | |||||||||||||||
Total expenses before reductions | 837,584 | 1,429,057 | 979,676 | 5,467,500 | |||||||||||||||
Less expense reductions | (8,456 | ) | (62,628 | ) | (10,078 | ) | (1,482,612 | ) | |||||||||||
Net expenses | 829,128 | 1,366,429 | 969,598 | 3,984,888 | |||||||||||||||
Net investment income (loss) | 8,305,298 | 7,416,042 | 3,639,032 | 403,579 | |||||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | (16,215,042 | ) | 9,080,021 | 1,785,231 | 1 | 33,652 | |||||||||||||
Affiliated investments | 572 | 2,323 | 36 | — | |||||||||||||||
Futures contracts | 319,526 | — | 731,957 | — | |||||||||||||||
Written options | — | — | 3,258 | — | |||||||||||||||
Swap contracts | (43,809 | ) | — | (717,412 | ) | — | |||||||||||||
(15,938,753 | ) | 9,082,344 | 1,803,070 | 33,652 | |||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 27,182,565 | 2,692,863 | 10,251,988 | — | |||||||||||||||
Affiliated investments | 239 | 880 | 4 | — | |||||||||||||||
Futures contracts | 516,745 | — | 600,722 | — | |||||||||||||||
Swap contracts | 16,948 | — | (1,071,183 | ) | — | ||||||||||||||
27,716,497 | 2,693,743 | 9,781,531 | — | ||||||||||||||||
Net realized and unrealized gain (loss) | 11,777,744 | 11,776,087 | 11,584,601 | 33,652 | |||||||||||||||
Increase (decrease) in net assets from operations | $ | 20,083,042 | $ | 19,192,129 | $ | 15,223,633 | $ | 437,231 |
1 | Net of foreign tax $2,108. |
Investment income | New Income Trust | | Short Term Government Income Trust | | Strategic Income Opportunities Trust | | Total Bond Market Trust B | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Interest | $ | 21,205,970 | $ | 2,430,210 | $ | 9,360,904 | $ | 7,554,743 | |||||||||||
Dividends | — | — | 1,346,182 | — | |||||||||||||||
Securities lending | 31 | — | — | 1,719 | |||||||||||||||
Less foreign taxes withheld | — | — | (73,182 | ) | — | ||||||||||||||
Total investment income | 21,206,001 | 2,430,210 | 10,633,904 | 7,556,462 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment management fees | 3,867,551 | 920,020 | 1,861,789 | 1,291,568 | |||||||||||||||
Series I distribution and service fees | — | 11,190 | 114,562 | 48,799 | |||||||||||||||
Series II distribution and service fees | — | 45,935 | 61,641 | 104,630 | |||||||||||||||
Accounting and legal services fees | 94,498 | 22,016 | 39,616 | 36,928 | |||||||||||||||
Professional fees | 42,872 | 35,176 | 41,842 | 27,634 | |||||||||||||||
Printing and postage | 8,011 | 4,090 | 5,105 | 6,130 | |||||||||||||||
Custodian fees | (123,954 | ) | (51,267 | ) | (55,101 | ) | 273 | ||||||||||||
Trustees’ fees | 13,254 | 3,087 | 5,338 | 4,845 | |||||||||||||||
Other | 12,554 | 4,376 | 112 | 7,278 | |||||||||||||||
Total expenses before reductions | 3,914,786 | 994,623 | 2,074,904 | 1,528,085 | |||||||||||||||
Less expense reductions | (114,361 | ) | (11,905 | ) | (21,290 | ) | (717,558 | ) | |||||||||||
Net expenses | 3,800,425 | 982,718 | 2,053,614 | 810,527 | |||||||||||||||
Net investment income (loss) | 17,405,576 | 1,447,492 | 8,580,290 | 6,745,935 | |||||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||||||
Net realized gain (loss) on | |||||||||||||||||||
Unaffiliated investments and foreign currency transactions | 2,262,634 | 943,656 | (1,564,014 | ) | 4,311,005 | ||||||||||||||
Affiliated investments | 22 | — | — | 39 | |||||||||||||||
Futures contracts | (1,106,977 | ) | — | (2,606,244 | ) | — | |||||||||||||
Swap contracts | (361,699 | ) | — | — | — | ||||||||||||||
793,980 | 943,656 | (4,170,258 | ) | 4,311,044 | |||||||||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 52,159,030 | 3,075,648 | 17,508,680 | 17,646,712 | |||||||||||||||
Affiliated investments | — | — | — | (7 | ) | ||||||||||||||
Futures contracts | (126,761 | ) | — | (174,933 | ) | — | |||||||||||||
Swap contracts | (9,656 | ) | — | — | — | ||||||||||||||
52,022,613 | 3,075,648 | 17,333,747 | 17,646,705 | ||||||||||||||||
Net realized and unrealized gain (loss) | 52,816,593 | 4,019,304 | 13,163,489 | 21,957,749 | |||||||||||||||
Increase (decrease) in net assets from operations | $ | 70,222,169 | $ | 5,466,796 | $ | 21,743,779 | $ | 28,703,684 |
Investment income | Ultra Short Term Bond Trust | ||||||
---|---|---|---|---|---|---|---|
Interest | $ | 1,521,881 | |||||
Securities lending | 1,325 | ||||||
Total investment income | 1,523,206 | ||||||
Expenses | |||||||
Investment management fees | 811,653 | ||||||
Series I distribution and service fees | 2,806 | ||||||
Series II distribution and service fees | 338,441 | ||||||
Accounting and legal services fees | 19,917 | ||||||
Professional fees | 28,064 | ||||||
Printing and postage | 4,736 | ||||||
Custodian fees | 17,706 | ||||||
Trustees’ fees | 2,588 | ||||||
Other | 4,010 | ||||||
Total expenses before reductions | 1,229,921 | ||||||
Less expense reductions | (10,730 | ) | |||||
Net expenses | 1,219,191 | ||||||
Net investment income (loss) | 304,015 | ||||||
Realized and unrealized gain (loss) | |||||||
Net realized gain (loss) on | |||||||
Unaffiliated investments and foreign currency transactions | 6,403 | ||||||
Affiliated investments | 99 | ||||||
6,502 | |||||||
Change in net unrealized appreciation (depreciation) of | |||||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 1,023,333 | ||||||
1,023,333 | |||||||
Net realized and unrealized gain (loss) | 1,029,835 | ||||||
Increase (decrease) in net assets from operations | $ | 1,333,850 |
Active Bond Trust | Bond Trust | Core Bond Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | ||||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 12,281,956 | $ | 26,834,000 | $ | 106,158,138 | $ | 222,801,352 | $ | 11,079,864 | $ | 20,292,407 | |||||||||||||||
Net realized gain (loss) | 5,627,197 | 725,264 | 54,889,106 | 19,861,810 | 16,214,139 | 2,305,342 | |||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 22,023,560 | (26,285,885 | ) | 290,212,794 | (207,734,036 | ) | 38,817,241 | (26,593,557 | ) | ||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 39,932,713 | 1,273,379 | 451,260,038 | 34,929,126 | 66,111,244 | (3,995,808 | ) | ||||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (2,281,571 | ) | — | (6,053,397 | ) | — | (2,444,933 | ) | ||||||||||||||||||
Series II | — | (9,136,300 | ) | — | (14,008,990 | ) | — | (1,986,488 | ) | ||||||||||||||||||
Series NAV | — | (28,505,136 | ) | — | (263,742,669 | ) | — | (18,650,122 | ) | ||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | — | — | — | — | (336,571 | ) | ||||||||||||||||||||
Series II | — | — | — | — | — | (312,078 | ) | ||||||||||||||||||||
Series NAV | — | — | — | — | — | (2,508,382 | ) | ||||||||||||||||||||
Total distributions | — | (39,923,007 | ) | — | (283,805,056 | ) | — | (26,238,574 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (43,262,022 | ) | (24,982,593 | ) | (712,036,887 | ) | (1,217,341,492 | ) | (93,408,919 | ) | (191,855,142 | ) | |||||||||||||||
Issued in reorganization | — | — | 62,114,922 | — | — | 513,006,633 | |||||||||||||||||||||
Total from portfolio share transactions | (43,262,022 | ) | (24,982,593 | ) | (649,921,965 | ) | (1,217,341,492 | ) | (93,408,919 | ) | 321,151,491 | ||||||||||||||||
Total increase (decrease) | (3,329,309 | ) | (63,632,221 | ) | (198,661,927 | ) | (1,466,217,422 | ) | (27,297,675 | ) | 290,917,109 | ||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 773,215,971 | 836,848,192 | 9,173,493,422 | 10,639,710,844 | 1,318,235,394 | 1,027,318,285 | |||||||||||||||||||||
End of period | $ | 769,886,662 | $ | 773,215,971 | $ | 8,974,831,495 | $ | 9,173,493,422 | $ | 1,290,937,719 | $ | 1,318,235,394 | |||||||||||||||
Undistributed net investment income (loss) | $ | 19,145,268 | $ | 6,863,312 | $ | 182,804,971 | $ | 76,646,833 | $ | 17,908,804 | $ | 6,828,940 |
Global Bond Trust | High Yield Trust | Income Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | ||||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 7,476,107 | $ | 13,367,280 | $ | 8,305,298 | $ | 17,615,766 | $ | 7,416,042 | $ | 16,378,415 | |||||||||||||||
Net realized gain (loss) | 11,000,955 | (20,260,442 | ) | (15,938,753 | ) | (10,172,203 | ) | 9,082,344 | (24,832,579 | ) | |||||||||||||||||
Change in net unrealized appreciation (depreciation) | 40,553,435 | (17,145,511 | ) | 27,716,497 | (28,482,578 | ) | 2,693,743 | (16,060,144 | ) | ||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 59,030,497 | (24,038,673 | ) | 20,083,042 | (21,039,015 | ) | 19,192,129 | (24,514,308 | ) | ||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (1,154,479 | ) | — | (6,998,290 | ) | — | — | |||||||||||||||||||
Series II | — | (2,536,952 | ) | — | (5,575,011 | ) | — | — | |||||||||||||||||||
Series NAV | — | (13,716,691 | ) | — | (6,445,416 | ) | — | (16,579,926 | ) | ||||||||||||||||||
Total distributions | — | (17,408,122 | ) | — | (19,018,717 | ) | — | (16,579,926 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | (65,879,276 | ) | (55,091,418 | ) | (12,363,156 | ) | (11,948,493 | ) | (25,835,602 | ) | (28,420,556 | ) | |||||||||||||||
Total increase (decrease) | (6,848,779 | ) | (96,538,213 | ) | 7,719,886 | (52,006,225 | ) | (6,643,473 | ) | (69,514,790 | ) | ||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 624,838,222 | 721,376,435 | 233,301,474 | 285,307,699 | 350,292,499 | 419,807,289 | |||||||||||||||||||||
End of period | $ | 617,989,443 | $ | 624,838,222 | $ | 241,021,360 | $ | 233,301,474 | $ | 343,649,026 | $ | 350,292,499 | |||||||||||||||
Undistributed net investment income (loss) | $ | 3,750,587 | ($3,725,520 | ) | $ | 11,794,876 | $ | 3,489,578 | $ | 10,442,330 | $ | 3,026,288 |
Investment Quality Bond Trust | Money Market Trust | New Income Trust | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | ||||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 3,639,032 | $ | 6,649,298 | $ | 403,579 | — | $ | 17,405,576 | $ | 38,478,102 | ||||||||||||||||
Net realized gain (loss) | 1,803,070 | 1,911,096 | 33,652 | ($18,263 | ) | 793,980 | 12,759,576 | ||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 9,781,531 | (10,904,173 | ) | — | — | 52,022,613 | (46,122,105 | ) | |||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 15,223,633 | (2,343,779 | ) | 437,231 | (18,263 | ) | 70,222,169 | 5,115,573 | |||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (3,214,739 | ) | (255,537 | ) | — | — | — | |||||||||||||||||||
Series II | — | (1,580,676 | ) | — | — | — | — | ||||||||||||||||||||
Series NAV | — | (458,846 | ) | (91,886 | )1 | — | — | (47,210,806 | ) | ||||||||||||||||||
From net realized gain | |||||||||||||||||||||||||||
Series I | — | (7,604,354 | ) | — | (1,963 | ) | — | — | |||||||||||||||||||
Series II | — | (4,244,254 | ) | — | (298 | ) | — | — | |||||||||||||||||||
Series NAV | — | (1,018,716 | ) | — | — | — | (4,350,141 | ) | |||||||||||||||||||
Total distributions | — | (18,121,585 | ) | (347,423 | ) | (2,261 | ) | — | (51,560,947 | ) | |||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | 10,503,535 | (14,372,614 | ) | (27,212,169 | ) | (141,903,531 | ) | (137,372,204 | ) | (223,219,286 | ) | ||||||||||||||||
Issued in reorganization | — | — | 401,438,296 | — | — | — | |||||||||||||||||||||
Total from portfolio share transactions | 10,503,535 | (14,372,614 | ) | 374,226,127 | (141,903,531 | ) | (137,372,204 | ) | (223,219,286 | ) | |||||||||||||||||
Total increase (decrease) | 25,727,168 | (34,837,978 | ) | 374,315,935 | (141,924,055 | ) | (67,150,035 | ) | (269,664,660 | ) | |||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 280,636,839 | 315,474,817 | 1,967,264,471 | 2,109,188,526 | 1,464,054,961 | 1,733,719,621 | |||||||||||||||||||||
End of period | $ | 306,364,007 | $ | 280,636,839 | $ | 2,341,580,406 | $ | 1,967,264,471 | $ | 1,396,904,926 | $ | 1,464,054,961 | |||||||||||||||
Undistributed net investment income (loss) | $ | 5,984,910 | $ | 2,345,878 | $ | 56,156 | — | $ | 30,787,494 | $ | 13,381,918 |
1 | The inception date for Class NAV shares is 5-2-16. |
Short Term Government Income Trust | Strategic Income Opportunities Trust | Total Bond Market Trust B | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | ||||||||||||||||
From operations | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 1,447,492 | $ | 2,693,082 | $ | 8,580,290 | $ | 17,261,997 | $ | 6,745,935 | $ | 12,676,170 | |||||||||||||||
Net realized gain (loss) | 943,656 | 712,677 | (4,170,258 | ) | 8,034,736 | 4,311,044 | 1,755,126 | ||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 3,075,648 | (896,276 | ) | 17,333,747 | (19,559,075 | ) | 17,646,705 | (13,423,776 | ) | ||||||||||||||||||
Increase (decrease) in net assets resulting from operations | 5,466,796 | 2,509,483 | 21,743,779 | 5,737,658 | 28,703,684 | 1,007,520 | |||||||||||||||||||||
Distributions to shareholders | |||||||||||||||||||||||||||
From net investment income | |||||||||||||||||||||||||||
Series I | — | (822,207 | ) | — | (10,980,357 | ) | — | (4,683,456 | ) | ||||||||||||||||||
Series II | — | (594,207 | ) | — | (1,199,190 | ) | — | (1,771,006 | ) | ||||||||||||||||||
Series NAV | — | (4,709,248 | ) | — | (1,620,322 | ) | — | (7,822,749 | ) | ||||||||||||||||||
Total distributions | — | (6,125,662 | ) | — | (13,799,869 | ) | — | (14,277,211 | ) | ||||||||||||||||||
From portfolio share transactions | |||||||||||||||||||||||||||
Portfolio share transactions | 3,484,621 | (60,325,814 | ) | 8,283,288 | 59,348,410 | 53,627,253 | 32,172,795 | ||||||||||||||||||||
Total increase (decrease) | 8,951,417 | (63,941,993 | ) | 30,027,067 | 51,286,199 | 82,330,937 | 18,903,104 | ||||||||||||||||||||
Net assets | |||||||||||||||||||||||||||
Beginning of period | 328,150,074 | 392,092,067 | 576,392,995 | 525,106,796 | 506,309,825 | 487,406,721 | |||||||||||||||||||||
End of period | $ | 337,101,491 | $ | 328,150,074 | $ | 606,420,062 | $ | 576,392,995 | $ | 588,640,762 | $ | 506,309,825 | |||||||||||||||
Undistributed net investment income (loss) | $ | 3,066,745 | $ | 1,619,253 | $ | 11,801,066 | $ | 3,220,776 | $ | 10,059,844 | $ | 3,313,909 |
Ultra Short Term Bond Trust | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Increase (decrease) in net assets | Six months ended 6-30-16 (unaudited) | | Year ended 12-31-15 | ||||||||
From operations | |||||||||||
Net investment income (loss) | $ | 304,015 | ($128,868 | ) | |||||||
Net realized gain (loss) | 6,502 | (137,509 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 1,023,333 | (226,387 | ) | ||||||||
Increase (decrease) in net assets resulting from operations | 1,333,850 | (492,764 | ) | ||||||||
Distributions to shareholders | |||||||||||
From net investment income | |||||||||||
Series I | — | (138,916 | ) | ||||||||
Series II | — | (2,840,906 | ) | ||||||||
Series NAV | — | (183,932 | ) | ||||||||
Total distributions | — | (3,163,754 | ) | ||||||||
From portfolio share transactions | |||||||||||
Portfolio share transactions | 63,934,831 | 25,788,112 | |||||||||
Total increase (decrease) | 65,268,681 | 22,131,594 | |||||||||
Net assets | |||||||||||
Beginning of period | 258,980,168 | 236,848,574 | |||||||||
End of period | $ | 324,248,849 | $ | 258,980,168 | |||||||
Undistributed net investment income (loss) | $ | 1,209,373 | $ | 905,358 |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($) 1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Active Bond Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 9.40 | 0.15 | 0.35 | 0.50 | — | — | — | — | 9.90 | 5.32 | 4 | 0.68 | 5,6 | 0.67 | 5,6 | 3.22 | 5 | 43 | 42 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 9.88 | 0.33 | (0.31 | ) | 0.02 | (0.50 | ) | — | — | (0.50 | ) | 9.40 | 0.17 | 0.69 | 0.69 | 3.31 | 44 | 60 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 9.60 | 0.31 | 0.34 | 0.65 | (0.37 | ) | — | — | (0.37 | ) | 9.88 | 6.81 | 0.69 | 0.68 | 3.13 | 49 | 62 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.16 | 0.36 | (0.33 | ) | 0.03 | (0.59 | ) | — | — | (0.59 | ) | 9.60 | 0.24 | 0.69 | 0.68 | 3.52 | 51 | 82 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.72 | 0.40 | 0.54 | 0.94 | (0.43 | ) | (0.07 | ) | — | (0.50 | ) | 10.16 | 9.71 | 0.69 | 0.68 | 3.97 | 60 | 86 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 9.71 | 0.48 | 0.08 | 0.56 | (0.55 | ) | — | — | (0.55 | ) | 9.72 | 5.81 | 0.68 | 0.68 | 4.73 | 67 | 101 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 9.41 | 0.14 | 0.36 | 0.50 | — | — | — | — | 9.91 | 5.31 | 4 | 0.88 | 5,6 | 0.88 | 5,6 | 3.01 | 5 | 174 | 42 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 9.90 | 0.31 | (0.32 | ) | (0.01 | ) | (0.48 | ) | — | — | (0.48 | ) | 9.41 | (0.14 | ) | 0.89 | 0.89 | 3.13 | 184 | 60 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 9.62 | 0.29 | 0.34 | 0.63 | (0.35 | ) | — | — | (0.35 | ) | 9.90 | 6.59 | 0.89 | 0.88 | 2.94 | 215 | 62 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.18 | 0.34 | (0.33 | ) | 0.01 | (0.57 | ) | — | — | (0.57 | ) | 9.62 | 0.05 | 0.89 | 0.88 | 3.31 | 253 | 82 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.74 | 0.38 | 0.54 | 0.92 | (0.41 | ) | (0.07 | ) | — | (0.48 | ) | 10.18 | 9.48 | 0.89 | 0.88 | 3.78 | 279 | 86 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 9.72 | 0.46 | 0.09 | 0.55 | (0.53 | ) | — | — | (0.53 | ) | 9.74 | 5.70 | 0.88 | 0.88 | 4.54 | 298 | 101 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 9.40 | 0.15 | 0.35 | 0.50 | — | — | — | — | 9.90 | 5.32 | 4 | 0.63 | 5,6 | 0.62 | 5,6 | 3.27 | 5 | 552 | 42 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 9.89 | 0.33 | (0.32 | ) | 0.01 | (0.50 | ) | — | — | (0.50 | ) | 9.40 | 0.12 | 0.64 | 0.64 | 3.35 | 546 | 60 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 9.60 | 0.32 | 0.35 | 0.67 | (0.38 | ) | — | — | (0.38 | ) | 9.89 | 6.97 | 0.64 | 0.63 | 3.17 | 573 | 62 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.17 | 0.36 | (0.34 | ) | 0.02 | (0.59 | ) | — | — | (0.59 | ) | 9.60 | 0.19 | 0.64 | 0.63 | 3.54 | 552 | 82 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 9.73 | 0.41 | 0.53 | 0.94 | (0.43 | ) | (0.07 | ) | — | (0.50 | ) | 10.17 | 9.76 | 0.64 | 0.63 | 4.02 | 920 | 86 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 9.71 | 0.48 | 0.10 | 0.58 | (0.56 | ) | — | — | (0.56 | ) | 9.73 | 5.97 | 0.63 | 0.63 | 4.76 | 889 | 101 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.01%. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Bond Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 13.30 | 0.16 | 0.52 | 0.68 | — | — | — | — | 13.98 | 5.11 | 4 | 0.65 | 5 | 0.64 | 5 | 2.32 | 5 | 206 | 41 | 6 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.67 | 0.31 | (0.27 | ) | 0.04 | (0.41 | ) | — | — | (0.41 | ) | 13.30 | 0.24 | 0.65 | 0.64 | 2.23 | 203 | 62 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.30 | 0.31 | 0.42 | 0.73 | (0.36 | ) | — | — | (0.36 | ) | 13.67 | 5.53 | 0.64 | 0.64 | 2.23 | 228 | 104 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.99 | 0.27 | (0.46 | ) | (0.19 | ) | (0.40 | ) | (0.10 | ) | — | (0.50 | ) | 13.30 | (1.36 | ) | 0.65 | 0.64 | 1.97 | 249 | 104 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.62 | 0.31 | 0.55 | 0.86 | (0.39 | ) | (0.10 | ) | — | (0.49 | ) | 13.99 | 6.34 | 0.65 | 0.64 | 2.23 | 244 | 114 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-20117 | 13.87 | 0.02 | 0.08 | 0.10 | (0.35 | ) | — | — | (0.35 | ) | 13.62 | 0.75 | 4 | 0.66 | 5 | 0.65 | 5 | 0.75 | 5 | 230 | 108 | 6,8 | |||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 13.32 | 0.14 | 0.52 | 0.66 | — | — | — | — | 13.98 | 4.95 | 4 | 0.85 | 5 | 0.84 | 5 | 2.12 | 5 | 550 | 41 | 6 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.69 | 0.28 | (0.27 | ) | 0.01 | (0.38 | ) | — | — | (0.38 | ) | 13.32 | 0.04 | 0.85 | 0.84 | 2.03 | 511 | 62 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.31 | 0.28 | 0.44 | 0.72 | (0.34 | ) | — | — | (0.34 | ) | 13.69 | 5.40 | 0.84 | 0.84 | 2.03 | 558 | 104 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 14.01 | 0.24 | (0.46 | ) | (0.22 | ) | (0.38 | ) | (0.10 | ) | — | (0.48 | ) | 13.31 | (1.63 | ) | 0.85 | 0.84 | 1.77 | 629 | 104 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.64 | 0.29 | 0.54 | 0.83 | (0.36 | ) | (0.10 | ) | — | (0.46 | ) | 14.01 | 6.12 | 0.85 | 0.84 | 2.03 | 634 | 114 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-20117 | 13.87 | 0.01 | 0.09 | 0.10 | (0.33 | ) | — | — | (0.33 | ) | 13.64 | 0.73 | 4 | 0.86 | 5 | 0.85 | 5 | 0.55 | 5 | 642 | 108 | 6,8 | |||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 13.29 | 0.16 | 0.52 | 0.68 | — | — | — | — | 13.97 | 5.12 | 4 | 0.60 | 5 | 0.59 | 5 | 2.37 | 5 | 8,219 | 41 | 6 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.66 | 0.31 | (0.27 | ) | 0.04 | (0.41 | ) | — | — | (0.41 | ) | 13.29 | 0.29 | 0.60 | 0.59 | 2.28 | 8,459 | 62 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.29 | 0.31 | 0.43 | 0.74 | (0.37 | ) | — | — | (0.37 | ) | 13.66 | 5.59 | 0.59 | 0.59 | 2.25 | 9,854 | 104 | 6 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.98 | 0.28 | (0.46 | ) | (0.18 | ) | (0.41 | ) | (0.10 | ) | — | (0.51 | ) | 13.29 | (1.32 | ) | 0.60 | 0.59 | 2.03 | 7,366 | 104 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.62 | 0.32 | 0.54 | 0.86 | (0.40 | ) | (0.10 | ) | — | (0.50 | ) | 13.98 | 6.31 | 0.60 | 0.59 | 2.26 | 7,070 | 114 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 13.48 | 0.41 | 0.34 | 0.75 | (0.46 | ) | (0.15 | ) | — | (0.61 | ) | 13.62 | 5.58 | 0.61 | 0.60 | 2.96 | 5,101 | 108 | 6 | ||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Excludes merger activity. 7. The inception date for Series I and Series II shares is 10-31-11. 8. Portfolio turnover is shown for the period from 1-1-11 to 12-31-11. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($) 1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Core Bond Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 13.01 | 0.11 | 0.57 | 0.68 | — | — | — | — | 13.69 | 5.23 | 4 | 0.67 | 5 | 0.66 | 5 | 1.70 | 5 | 133 | 275 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.22 | 0.21 | (0.17 | ) | 0.04 | (0.22 | ) | (0.03 | ) | — | (0.25 | ) | 13.01 | 0.31 | 0.68 | 0.67 | 1.57 | 141 | 425 | 6 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.85 | 0.21 | 0.55 | 0.76 | (0.39 | ) | — | — | (0.39 | ) | 13.22 | 5.93 | 0.67 | 0.67 | 1.59 | 1 | 356 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.96 | 0.21 | (0.50 | ) | (0.29 | ) | (0.29 | ) | (0.53 | ) | — | (0.82 | ) | 12.85 | (2.16 | ) | 0.67 | 0.66 | 1.54 | 1 | 326 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.83 | 0.25 | 0.64 | 0.89 | (0.39 | ) | (0.37 | ) | — | (0.76 | ) | 13.96 | 6.47 | 0.67 | 0.67 | 1.79 | 2 | 367 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 13.68 | 0.35 | 0.77 | 1.12 | (0.44 | ) | (0.53 | ) | — | (0.97 | ) | 13.83 | 8.32 | 0.67 | 0.67 | 2.51 | 2 | 436 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 13.00 | 0.10 | 0.57 | 0.67 | — | — | — | — | 13.67 | 5.15 | 4 | 0.87 | 5 | 0.86 | 5 | 1.50 | 5 | 127 | 275 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.21 | 0.18 | (0.16 | ) | 0.02 | (0.20 | ) | (0.03 | ) | — | (0.23 | ) | 13.00 | 0.11 | 0.88 | 0.87 | 1.36 | 128 | 425 | 6 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.84 | 0.18 | 0.55 | 0.73 | (0.36 | ) | — | — | (0.36 | ) | 13.21 | 5.73 | 0.87 | 0.87 | 1.40 | 8 | 356 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.95 | 0.18 | (0.50 | ) | (0.32 | ) | (0.26 | ) | (0.53 | ) | — | (0.79 | ) | 12.84 | (2.35 | ) | 0.87 | 0.86 | 1.34 | 9 | 326 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.82 | 0.23 | 0.63 | 0.86 | (0.36 | ) | (0.37 | ) | — | (0.73 | ) | 13.95 | 6.27 | 0.87 | 0.87 | 1.60 | 12 | 367 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 13.68 | 0.33 | 0.75 | 1.08 | (0.41 | ) | (0.53 | ) | — | (0.94 | ) | 13.82 | 8.04 | 0.87 | 0.87 | 2.33 | 14 | 436 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 12.96 | 0.12 | 0.56 | 0.68 | — | — | — | — | 13.64 | 5.25 | 4 | 0.62 | 5 | 0.61 | 5 | 1.75 | 5 | 1,032 | 275 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.17 | 0.21 | (0.16 | ) | 0.05 | (0.23 | ) | (0.03 | ) | — | (0.26 | ) | 12.96 | 0.36 | 0.63 | 0.62 | 1.60 | 1,049 | 425 | 6 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.80 | 0.22 | 0.55 | 0.77 | (0.40 | ) | — | — | (0.40 | ) | 13.17 | 6.01 | 0.62 | 0.62 | 1.65 | 1,018 | 356 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.91 | 0.22 | (0.51 | ) | (0.29 | ) | (0.29 | ) | (0.53 | ) | — | (0.82 | ) | 12.80 | (2.11 | ) | 0.62 | 0.61 | 1.60 | 1,690 | 326 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.78 | 0.26 | 0.63 | 0.89 | (0.39 | ) | (0.37 | ) | — | (0.76 | ) | 13.91 | 6.54 | 0.62 | 0.62 | 1.84 | 1,734 | 367 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 13.64 | 0.36 | 0.76 | 1.12 | (0.45 | ) | (0.53 | ) | — | (0.98 | ) | 13.78 | 8.32 | 0.62 | 0.62 | 2.59 | 1,676 | 436 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Excludes merger activity. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Global Bond Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.80 | 0.15 | 1.02 | 1.17 | — | — | — | — | 12.97 | 9.92 | 4 | 0.79 | 5,6 | 0.79 | 5,6 | 2.42 | 5 | 45 | 28 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.54 | 0.24 | (0.66 | ) | (0.42 | ) | (0.32 | ) | — | — | (0.32 | ) | 11.80 | (3.50 | ) | 0.83 | 0.82 | 1.95 | 42 | 81 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.39 | 0.31 | (0.04 | ) | 0.27 | (0.12 | ) | — | — | (0.12 | ) | 12.54 | 2.28 | 0.83 | 0.83 | 2.43 | 52 | 69 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.16 | 0.27 | (0.98 | ) | (0.71 | ) | (0.06 | ) | — | — | (0.06 | ) | 12.39 | (5.42 | ) | 0.85 | 0.85 | 2.11 | 60 | 123 | |||||||||||||||||||||||||||||||||||||||||||
12-31-20127 | 13.23 | 0.36 | 0.55 | 0.91 | (0.98 | ) | — | — | (0.98 | ) | 13.16 | 7.03 | 0.86 | 0.86 | 2.71 | 75 | 131 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.92 | 0.35 | 0.82 | 1.17 | (0.86 | ) | — | — | (0.86 | ) | 13.23 | 9.08 | 0.82 | 0.81 | 2.60 | 82 | 103 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.66 | 0.13 | 1.02 | 1.15 | — | — | — | — | 12.81 | 9.78 | 4 | 0.99 | 5,6 | 0.99 | 5,6 | 2.19 | 5 | 90 | 28 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.42 | 0.21 | (0.66 | ) | (0.45 | ) | (0.31 | ) | — | — | (0.31 | ) | 11.66 | (3.73 | ) | 1.03 | 1.02 | 1.75 | 88 | 81 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.27 | 0.28 | (0.03 | ) | 0.25 | (0.10 | ) | — | — | (0.10 | ) | 12.42 | 2.13 | 1.03 | 1.03 | 2.23 | 113 | 69 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.04 | 0.24 | (0.98 | ) | (0.74 | ) | (0.03 | ) | — | — | (0.03 | ) | 12.27 | (5.67 | ) | 1.05 | 1.05 | 1.91 | 137 | 123 | |||||||||||||||||||||||||||||||||||||||||||
12-31-20127 | 13.14 | 0.33 | 0.55 | 0.88 | (0.98 | ) | — | — | (0.98 | ) | 13.04 | 6.81 | 1.06 | 1.06 | 2.51 | 164 | 131 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.84 | 0.32 | 0.82 | 1.14 | (0.84 | ) | — | — | (0.84 | ) | 13.14 | 8.85 | 1.02 | 1.01 | 2.40 | 175 | 103 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.75 | 0.15 | 1.02 | 1.17 | — | — | — | — | 12.92 | 9.96 | 4 | 0.74 | 5,6 | 0.74 | 5,6 | 2.45 | 5 | 484 | 28 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.49 | 0.24 | (0.66 | ) | (0.42 | ) | (0.32 | ) | — | — | (0.32 | ) | 11.75 | (3.50 | ) | 0.78 | 0.77 | 2.00 | 495 | 81 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.33 | 0.32 | (0.03 | ) | 0.29 | (0.13 | ) | — | — | (0.13 | ) | 12.49 | 2.42 | 0.78 | 0.78 | 2.48 | 557 | 69 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.12 | 0.27 | (1.00 | ) | (0.73 | ) | (0.06 | ) | — | — | (0.06 | ) | 12.33 | (5.54 | ) | 0.80 | 0.80 | 2.17 | 683 | 123 | |||||||||||||||||||||||||||||||||||||||||||
12-31-20127 | 13.18 | 0.37 | 0.55 | 0.92 | (0.98 | ) | — | — | (0.98 | ) | 13.12 | 7.15 | 0.81 | 0.81 | 2.76 | 724 | 131 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.88 | 0.35 | 0.82 | 1.17 | (0.87 | ) | — | — | (0.87 | ) | 13.18 | 9.08 | 0.77 | 0.76 | 2.65 | 703 | 103 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.02%. 7. In accordance with Accounting Standards Update 2011-03, Reconsideration of Effective Control for Repurchase Agreements, the portfolio now recognizes sale-buybacks as secured borrowings and not as purchases and sales of securities. Accordingly, the portfolio has excluded these transactions from its portfolio turnover calculation. Had these transactions been included, the portfolio turnover rate would have been 202%. The portfolio also recorded additional income and expenses which were offset by corresponding adjustments to realized and unrealized gain/loss. These adjustments had no overall impact to the per share net asset value but did increase the net investment income per share by $0.02, the ratio of net investment income to average net assets by 0.14% and the ratio of expenses to average net assets by 0.02%. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($) 1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
High Yield Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 4.81 | 0.17 | 0.25 | 0.42 | — | — | — | — | 5.23 | 8.51 | 4 | 0.74 | 5,6 | 0.74 | 5,6 | 6.96 | 5 | 84 | 30 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 5.70 | 0.37 | (0.84 | ) | (0.47 | ) | (0.42 | ) | — | — | (0.42 | ) | 4.81 | (8.32 | ) | 0.80 | 0.79 | 6.51 | 83 | 74 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 6.09 | 0.39 | (0.36 | ) | 0.03 | (0.42 | ) | — | — | (0.42 | ) | 5.70 | 0.28 | 0.78 | 0.77 | 6.33 | 105 | 72 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 6.01 | 0.40 | 0.10 | 0.50 | (0.42 | ) | — | — | (0.42 | ) | 6.09 | 8.35 | 0.79 | 0.78 | 6.44 | 122 | 99 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 5.46 | 0.44 | 0.58 | 1.02 | (0.47 | ) | — | — | (0.47 | ) | 6.01 | 18.99 | 0.77 | 0.77 | 7.39 | 75 | 80 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 5.94 | 0.47 | (0.42 | ) | 0.05 | (0.53 | ) | — | — | (0.53 | ) | 5.46 | 0.90 | 0.77 | 0.76 | 7.68 | 74 | 91 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 4.91 | 0.17 | 0.24 | 0.41 | — | — | — | — | 5.32 | 8.35 | 4 | 0.94 | 5,6 | 0.94 | 5,6 | 6.74 | 5 | 63 | 30 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 5.80 | 0.36 | (0.84 | ) | (0.48 | ) | (0.41 | ) | — | — | (0.41 | ) | 4.91 | (8.55 | ) | 1.00 | 0.99 | 6.32 | 69 | 74 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 6.19 | 0.39 | (0.37 | ) | 0.02 | (0.41 | ) | — | — | (0.41 | ) | 5.80 | 0.08 | 0.98 | 0.97 | 6.12 | 90 | 72 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 6.11 | 0.40 | 0.09 | 0.49 | (0.41 | ) | — | — | (0.41 | ) | 6.19 | 8.01 | 0.99 | 0.98 | 6.24 | 116 | 99 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 5.54 | 0.43 | 0.60 | 1.03 | (0.46 | ) | — | — | (0.46 | ) | 6.11 | 18.87 | 0.97 | 0.97 | 7.20 | 82 | 80 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 6.02 | 0.46 | (0.42 | ) | 0.04 | (0.52 | ) | — | — | (0.52 | ) | 5.54 | 0.67 | 0.97 | 0.96 | 7.46 | 81 | 91 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 4.75 | 0.17 | 0.24 | 0.41 | — | — | — | — | 5.16 | 8.63 | 4 | 0.69 | 5,6 | 0.68 | 5,6 | 7.01 | 5 | 94 | 30 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 5.63 | 0.36 | (0.81 | ) | (0.45 | ) | (0.43 | ) | — | — | (0.43 | ) | 4.75 | (8.38 | ) | 0.75 | 0.74 | 6.56 | 81 | 74 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 6.02 | 0.39 | (0.36 | ) | 0.03 | (0.42 | ) | — | — | (0.42 | ) | 5.63 | 0.33 | 0.73 | 0.72 | 6.38 | 90 | 72 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 5.95 | 0.40 | 0.09 | 0.49 | (0.42 | ) | — | — | (0.42 | ) | 6.02 | 8.31 | 0.74 | 0.73 | 6.46 | 97 | 99 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 5.41 | 0.44 | 0.57 | 1.01 | (0.47 | ) | — | — | (0.47 | ) | 5.95 | 19.06 | 0.72 | 0.72 | 7.44 | 100 | 80 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 5.88 | 0.47 | (0.41 | ) | 0.06 | (0.53 | ) | — | — | (0.53 | ) | 5.41 | 1.13 | 0.72 | 0.71 | 7.77 | 83 | 91 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.06%. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 10.69 | 0.24 | 0.40 | 0.64 | — | — | — | — | 11.33 | 5.99 | 4 | 0.85 | 5 | 0.81 | 5 | 4.41 | 5 | 344 | 29 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.94 | 0.49 | (1.22 | ) | (0.73 | ) | (0.52 | ) | — | — | (0.52 | ) | 10.69 | (6.22 | ) | 0.85 | 0.83 | 4.17 | 350 | 27 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 11.92 | 0.52 | 0.05 | 0.57 | (0.55 | ) | — | — | (0.55 | ) | 11.94 | 4.65 | 0.85 | 0.84 | 4.17 | 420 | 27 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.86 | 0.51 | 1.08 | 1.59 | (0.53 | ) | — | — | (0.53 | ) | 11.92 | 14.75 | 0.85 | 0.85 | 4.39 | 462 | 22 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.18 | 0.60 | 0.73 | 1.33 | (0.65 | ) | — | — | (0.65 | ) | 10.86 | 13.23 | 0.86 | 0.85 | 5.56 | 414 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 10.57 | 0.62 | (0.34 | ) | 0.28 | (0.67 | ) | — | — | (0.67 | ) | 10.18 | 2.72 | 0.85 | 0.85 | 5.76 | 405 | 23 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Quality Bond Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 10.84 | 0.15 | 0.45 | 0.60 | — | — | — | — | 11.44 | 5.54 | 4 | 0.67 | 5,6 | 0.66 | 5,6 | 2.64 | 5 | 165 | 29 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.65 | 0.26 | (0.36 | ) | (0.10 | ) | (0.21 | ) | (0.50 | ) | — | (0.71 | ) | 10.84 | (0.82 | ) | 0.69 | 0.69 | 2.28 | 166 | 97 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 11.41 | 0.31 | 0.31 | 0.62 | (0.35 | ) | (0.03 | ) | — | (0.38 | ) | 11.65 | 5.47 | 0.69 | 0.69 | 2.60 | 190 | 109 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.34 | 0.32 | (0.55 | ) | (0.23 | ) | (0.47 | ) | (0.23 | ) | — | (0.70 | ) | 11.41 | (1.93 | ) | 0.69 | 0.68 | 2.68 | 205 | 79 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.71 | 0.32 | 0.57 | 0.89 | (0.26 | ) | — | — | (0.26 | ) | 12.34 | 7.59 | 0.68 | 0.68 | 2.66 | 220 | 77 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.30 | 0.41 | 0.50 | 0.91 | (0.50 | ) | — | — | (0.50 | ) | 11.71 | 8.07 | 0.68 | 0.68 | 3.49 | 222 | 62 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 10.85 | 0.14 | 0.45 | 0.59 | — | — | — | — | 11.44 | 5.44 | 4 | 0.87 | 5,6 | 0.86 | 5,6 | 2.44 | 5 | 88 | 29 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.66 | 0.24 | (0.36 | ) | (0.12 | ) | (0.19 | ) | (0.50 | ) | — | (0.69 | ) | 10.85 | (1.02 | ) | 0.89 | 0.89 | 2.08 | 91 | 97 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 11.42 | 0.28 | 0.32 | 0.60 | (0.33 | ) | (0.03 | ) | — | (0.36 | ) | 11.66 | 5.26 | 0.89 | 0.89 | 2.40 | 107 | 109 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.35 | 0.30 | (0.56 | ) | (0.26 | ) | (0.44 | ) | (0.23 | ) | — | (0.67 | ) | 11.42 | (2.12 | ) | 0.89 | 0.88 | 2.48 | 116 | 79 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.72 | 0.30 | 0.56 | 0.86 | (0.23 | ) | — | — | (0.23 | ) | 12.35 | 7.37 | 0.88 | 0.88 | 2.46 | 137 | 77 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.31 | 0.39 | 0.49 | 0.88 | (0.47 | ) | — | — | (0.47 | ) | 11.72 | 7.85 | 0.88 | 0.88 | 3.32 | 140 | 62 | ||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 10.81 | 0.15 | 0.45 | 0.60 | — | — | — | — | 11.41 | 5.55 | 4 | 0.62 | 5,6 | 0.61 | 5,6 | 2.77 | 5 | 53 | 29 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.61 | 0.27 | (0.35 | ) | (0.08 | ) | (0.22 | ) | (0.50 | ) | — | (0.72 | ) | 10.81 | (0.68 | ) | 0.64 | 0.64 | 2.35 | 24 | 97 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 11.37 | 0.31 | 0.32 | 0.63 | (0.36 | ) | (0.03 | ) | — | (0.39 | ) | 11.61 | 5.54 | 0.64 | 0.64 | 2.63 | 19 | 109 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.30 | 0.33 | (0.56 | ) | (0.23 | ) | (0.47 | ) | (0.23 | ) | — | (0.70 | ) | 11.37 | (1.88 | ) | 0.64 | 0.63 | 2.71 | 17 | 79 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 11.67 | 0.33 | 0.56 | 0.89 | (0.26 | ) | — | — | (0.26 | ) | 12.30 | 7.66 | 0.63 | 0.63 | 2.69 | 26 | 77 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 11.27 | 0.41 | 0.49 | 0.90 | (0.50 | ) | — | — | (0.50 | ) | 11.67 | 8.05 | 0.63 | 0.63 | 3.54 | 18 | 62 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.03%. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($) 1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Money Market Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 1.00 | — | 4 | — | 4 | — | 4 | — | — | 4 | — | — | 4 | 1.00 | 0.01 | 6 | 0.51 | 7 | 0.39 | 7 | 0.03 | 7 | 1,713 | — | |||||||||||||||||||||||||||||||||||||||
12-31-2015 | 1.00 | — | — | 4 | — | 4 | — | — | 4 | — | — | 4 | 1.00 | 0.00 | 5 | 0.56 | 0.17 | — | 1,714 | — | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 1.00 | — | — | 4 | — | 4 | — | — | 4 | — | — | 4 | 1.00 | 0.00 | 5 | 0.56 | 0.16 | — | 1,794 | — | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 1.00 | — | — | 4 | — | 4 | — | — | 4 | — | — | 4 | 1.00 | 0.01 | 0.56 | 0.24 | — | 2,110 | — | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 1.00 | — | — | 4 | — | 4 | — | — | 4 | — | — | 4 | 1.00 | 0.01 | 0.55 | 0.30 | — | 2,599 | — | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 1.00 | — | — | 4 | — | 4 | — | — | 4 | — | — | 4 | 1.00 | 0.07 | 0.55 | 0.17 | — | 2,927 | — | ||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 1.00 | — | 4 | — | 4 | — | 4 | — | — | — | — | 1.00 | 0.00 | 6 | 0.71 | 7 | 0.41 | 7 | 0.00 | 5,7 | 230 | — | |||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 1.00 | — | — | 4 | — | 4 | — | — | 4 | — | — | 4 | 1.00 | 0.00 | 5 | 0.76 | 0.17 | — | 253 | — | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 1.00 | — | — | 4 | — | 4 | — | — | 4 | — | — | 4 | 1.00 | 0.00 | 5 | 0.76 | 0.16 | — | 315 | — | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 1.00 | — | — | 4 | — | 4 | — | — | 4 | — | — | 4 | 1.00 | 0.01 | 0.76 | 0.24 | — | 436 | — | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 1.00 | — | — | 4 | — | 4 | — | — | 4 | — | — | 4 | 1.00 | 0.01 | 0.75 | 0.30 | — | 701 | — | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 1.00 | — | — | 4 | — | 4 | — | — | 4 | — | — | 4 | 1.00 | 0.07 | 0.75 | 0.17 | — | 923 | — | ||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20168 | 1.00 | — | 4 | — | 4 | — | 4 | — | — | 4 | — | — | 4 | 1.00 | 0.02 | 6 | 0.39 | 7 | 0.28 | 7 | 0.16 | 7 | 399 | — | |||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Less than $0.005 per share. 5. Less than 0.005%. 6. Not annualized. 7. Annualized. 8. After the close of business on April 29, 2016, holders of Series NAV shares of Money Market Trust B became owners of an equal number of full and fractional Series NAV shares of Money Market Trust. These shares were first offered on 5-2-16. Unaudited. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
New Income Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 12.63 | 0.16 | 0.48 | 0.64 | — | — | — | — | 13.27 | 5.07 | 4 | 0.57 | 5,6 | 0.56 | 5,6 | 2.46 | 5 | 1,397 | 21 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.04 | 0.31 | (0.28 | ) | 0.03 | (0.40 | ) | (0.04 | ) | — | (0.44 | ) | 12.63 | 0.22 | 0.59 | 0.57 | 2.38 | 1,464 | 47 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.90 | 0.33 | 0.42 | 0.75 | (0.61 | ) | — | — | (0.61 | ) | 13.04 | 5.83 | 0.62 | 0.60 | 2.52 | 1,734 | 54 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.80 | 0.33 | (0.62 | ) | (0.29 | ) | (0.43 | ) | (0.18 | ) | — | (0.61 | ) | 12.90 | (2.12 | ) | 0.65 | 0.63 | 2.40 | 2,783 | 57 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 13.55 | 0.36 | 0.43 | 0.79 | (0.47 | ) | (0.07 | ) | — | (0.54 | ) | 13.80 | 5.91 | 0.65 | 0.63 | 2.60 | 2,853 | 77 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 13.36 | 0.43 | 0.35 | 0.78 | (0.56 | ) | (0.03 | ) | — | (0.59 | ) | 13.55 | 5.91 | 0.65 | 0.63 | 3.17 | 2,771 | 65 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.02%. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Short Term Government Income Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 12.25 | 0.05 | 0.15 | 0.20 | — | — | — | — | 12.45 | 1.63 | 4 | 0.64 | 5,7 | 0.63 | 5,7 | 0.84 | 5 | 44 | 43 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.39 | 0.09 | (0.01 | ) | 0.08 | (0.22 | ) | — | — | (0.22 | ) | 12.25 | 0.64 | 0.66 | 0.65 | 0.70 | 45 | 43 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.50 | 0.08 | 0.06 | 0.14 | (0.25 | ) | — | — | (0.25 | ) | 12.39 | 1.15 | 0.66 | 0.65 | 0.64 | 51 | 46 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.87 | 0.08 | (0.19 | ) | (0.11 | ) | (0.26 | ) | — | — | (0.26 | ) | 12.50 | (0.86 | ) | 0.65 | 0.65 | 0.62 | 63 | 55 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.93 | 0.14 | 0.02 | 0.16 | (0.22 | ) | — | — | (0.22 | ) | 12.87 | 1.21 | 0.65 | 0.65 | 1.10 | 76 | 71 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.92 | 0.16 | 0.20 | 0.36 | (0.32 | ) | (0.03 | ) | — | (0.35 | ) | 12.93 | 2.77 | 0.65 | 0.65 | 1.22 | 89 | 88 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 12.25 | 0.04 | 0.16 | 0.20 | — | — | — | — | 12.45 | 1.63 | 4 | 0.84 | 5,7 | 0.83 | 5,7 | 0.64 | 5 | 35 | 43 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.40 | 0.06 | (0.01 | ) | 0.05 | (0.20 | ) | — | — | (0.20 | ) | 12.25 | 0.36 | 0.86 | 0.85 | 0.50 | 36 | 43 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.51 | 0.06 | 0.06 | 0.12 | (0.23 | ) | — | — | (0.23 | ) | 12.40 | 0.94 | 0.86 | 0.85 | 0.44 | 38 | 46 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.88 | 0.05 | (0.19 | ) | (0.14 | ) | (0.23 | ) | — | — | (0.23 | ) | 12.51 | (1.06 | ) | 0.85 | 0.85 | 0.43 | 49 | 55 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.94 | 0.12 | 0.01 | 0.13 | (0.19 | ) | — | — | (0.19 | ) | 12.88 | 1.01 | 0.85 | 0.85 | 0.90 | 61 | 71 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.93 | 0.13 | 0.20 | 0.33 | (0.29 | ) | (0.03 | ) | — | (0.32 | ) | 12.94 | 2.56 | 0.85 | 0.85 | 1.02 | 77 | 88 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 12.25 | 0.06 | 0.14 | 0.20 | — | — | — | — | 12.45 | 1.63 | 4 | 0.59 | 5,7 | 0.58 | 5,7 | 0.89 | 5 | 257 | 43 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 12.39 | 0.09 | — | 6 | 0.09 | (0.23 | ) | — | — | (0.23 | ) | 12.25 | 0.69 | 0.61 | 0.60 | 0.75 | 247 | 43 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 12.50 | 0.09 | 0.06 | 0.15 | (0.26 | ) | — | — | (0.26 | ) | 12.39 | 1.20 | 0.61 | 0.60 | 0.69 | 303 | 46 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.86 | 0.09 | (0.18 | ) | (0.09 | ) | (0.27 | ) | — | — | (0.27 | ) | 12.50 | (0.74 | ) | 0.60 | 0.60 | 0.67 | 311 | 55 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.93 | 0.15 | — | 6 | 0.15 | (0.22 | ) | — | — | (0.22 | ) | 12.86 | 1.18 | 0.60 | 0.60 | 1.14 | 417 | 71 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.92 | 0.17 | 0.19 | 0.36 | (0.32 | ) | (0.03 | ) | — | (0.35 | ) | 12.93 | 2.82 | 0.60 | 0.60 | 1.27 | 390 | 88 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Less than $0.005 per share. 7. Includes reimbursement for overbilling of custody expenses in prior years of 0.02%. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($) 1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Strategic Income Opportunities Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 13.07 | 0.19 | 0.29 | 0.48 | — | — | — | — | 13.55 | 3.67 | 4 | 0.71 | 5,6 | 0.71 | 5,6 | 2.91 | 5 | 483 | 16 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.24 | 0.43 | (0.27 | ) | 0.16 | (0.33 | ) | — | — | (0.33 | ) | 13.07 | 1.22 | 0.74 | 0.74 | 3.18 | 441 | 49 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.17 | 0.56 | 0.11 | 0.67 | (0.60 | ) | — | — | (0.60 | ) | 13.24 | 5.14 | 0.75 | 0.74 | 4.13 | 415 | 50 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.44 | 0.65 | (0.15 | ) | 0.50 | (0.77 | ) | — | — | (0.77 | ) | 13.17 | 3.74 | 0.78 | 0.78 | 4.75 | 380 | 45 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.75 | 0.80 | 0.82 | 1.62 | (0.93 | ) | — | — | (0.93 | ) | 13.44 | 12.86 | 0.79 | 0.79 | 5.91 | 359 | 44 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 14.00 | 0.97 | (0.70 | ) | 0.27 | (1.52 | ) | — | — | (1.52 | ) | 12.75 | 2.02 | 0.78 | 0.78 | 6.87 | 318 | 50 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 13.10 | 0.18 | 0.29 | 0.47 | — | — | — | — | 13.57 | 3.59 | 4 | 0.92 | 5,6 | 0.91 | 5,6 | 2.70 | 5 | 49 | 16 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.27 | 0.40 | (0.26 | ) | 0.14 | (0.31 | ) | — | — | (0.31 | ) | 13.10 | 1.01 | 0.94 | 0.94 | 2.98 | 51 | 49 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.20 | 0.53 | 0.12 | 0.65 | (0.58 | ) | — | — | (0.58 | ) | 13.27 | 4.92 | 0.95 | 0.94 | 3.94 | 57 | 50 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.47 | 0.63 | (0.16 | ) | 0.47 | (0.74 | ) | — | — | (0.74 | ) | 13.20 | 3.53 | 0.98 | 0.98 | 4.56 | 65 | 45 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.78 | 0.77 | 0.82 | 1.59 | (0.90 | ) | — | — | (0.90 | ) | 13.47 | 12.61 | 0.99 | 0.99 | 5.72 | 73 | 44 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 14.02 | 0.94 | (0.69 | ) | 0.25 | (1.49 | ) | — | — | (1.49 | ) | 12.78 | 1.89 | 0.98 | 0.98 | 6.67 | 75 | 50 | |||||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 13.03 | 0.19 | 0.29 | 0.48 | — | — | — | — | 13.51 | 3.68 | 4 | 0.67 | 5,6 | 0.66 | 5,6 | 2.94 | 5 | 75 | 16 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 13.20 | 0.43 | (0.26 | ) | 0.17 | (0.34 | ) | — | — | (0.34 | ) | 13.03 | 1.27 | 0.69 | 0.69 | 3.22 | 84 | 49 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 13.13 | 0.56 | 0.12 | 0.68 | (0.61 | ) | — | — | (0.61 | ) | 13.20 | 5.21 | 0.70 | 0.69 | 4.18 | 53 | 50 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 13.41 | 0.65 | (0.15 | ) | 0.50 | (0.78 | ) | — | — | (0.78 | ) | 13.13 | 3.72 | 0.73 | 0.73 | 4.79 | 51 | 45 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.72 | 0.80 | 0.82 | 1.62 | (0.93 | ) | — | — | (0.93 | ) | 13.41 | 12.95 | 0.74 | 0.74 | 5.95 | 33 | 44 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 13.97 | 0.97 | (0.69 | ) | 0.28 | (1.53 | ) | — | — | (1.53 | ) | 12.72 | 2.08 | 0.73 | 0.73 | 6.91 | 26 | 50 | |||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.02%. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Bond Market Trust B | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 10.11 | 0.13 | 0.41 | 0.54 | — | — | — | — | 10.65 | 5.34 | 4 | 0.56 | 5,6 | 0.29 | 5,6 | 2.46 | 5 | 219 | 33 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 10.37 | 0.26 | (0.23 | ) | 0.03 | (0.29 | ) | — | — | (0.29 | ) | 10.11 | 0.25 | 0.56 | 0.30 | 2.53 | 172 | 67 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 10.09 | 0.29 | 0.32 | 0.61 | (0.33 | ) | — | — | (0.33 | ) | 10.37 | 6.11 | 0.56 | 0.30 | 2.76 | 135 | 64 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.71 | 0.27 | (0.53 | ) | (0.26 | ) | (0.36 | ) | — | — | (0.36 | ) | 10.09 | (2.49 | ) | 0.54 | 0.30 | 2.55 | 106 | 62 | |||||||||||||||||||||||||||||||||||||||||||
12-31-20127 | 10.82 | 0.01 | (0.02 | ) | (0.01 | ) | (0.10 | ) | — | — | (0.10 | ) | 10.71 | (0.14 | )4 | 0.56 | 5 | 0.30 | 5 | 0.62 | 5 | 127 | 29 | 8,9 | |||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 10.12 | 0.12 | 0.41 | 0.53 | — | — | — | — | 10.65 | 5.24 | 4 | 0.76 | 5,6 | 0.49 | 5,6 | 2.26 | 5 | 89 | 33 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 10.38 | 0.24 | (0.23 | ) | 0.01 | (0.27 | ) | — | — | (0.27 | ) | 10.12 | 0.05 | 0.76 | 0.50 | 2.33 | 68 | 67 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 10.10 | 0.27 | 0.32 | 0.59 | (0.31 | ) | — | — | (0.31 | ) | 10.38 | 5.90 | 0.76 | 0.50 | 2.56 | 69 | 64 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.73 | 0.25 | (0.54 | ) | (0.29 | ) | (0.34 | ) | — | — | (0.34 | ) | 10.10 | (2.77 | ) | 0.74 | 0.50 | 2.33 | 79 | 62 | |||||||||||||||||||||||||||||||||||||||||||
12-31-20127 | 10.82 | 0.01 | (0.02 | ) | (0.01 | ) | (0.08 | ) | — | — | (0.08 | ) | 10.73 | (0.11 | )4 | 0.76 | 5 | 0.50 | 5 | 0.42 | 5 | 145 | 29 | 8,9 | |||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 10.10 | 0.13 | 0.42 | 0.55 | — | — | — | — | 10.65 | 5.45 | 4 | 0.51 | 5,6 | 0.24 | 5,6 | 2.50 | 5 | 281 | 33 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 10.36 | 0.27 | (0.24 | ) | 0.03 | (0.29 | ) | — | — | (0.29 | ) | 10.10 | 0.30 | 0.51 | 0.25 | 2.58 | 266 | 67 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 10.09 | 0.29 | 0.32 | 0.61 | (0.34 | ) | — | — | (0.34 | ) | 10.36 | 6.06 | 0.51 | 0.25 | 2.82 | 284 | 64 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 10.71 | 0.27 | (0.53 | ) | (0.26 | ) | (0.36 | ) | — | — | (0.36 | ) | 10.09 | (2.44 | ) | 0.49 | 0.25 | �� | 2.60 | 286 | 62 | ||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 10.46 | 0.34 | 0.09 | 0.43 | (0.18 | ) | — | — | (0.18 | ) | 10.71 | 4.08 | 0.52 | 0.25 | 3.16 | 297 | 29 | 8 | |||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 10.15 | 0.40 | 0.37 | 0.77 | (0.46 | ) | — | — | (0.46 | ) | 10.46 | 7.60 | 0.53 | 0.25 | 3.87 | 162 | 21 | ||||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Includes reimbursement for overbilling of custody expenses in prior years of 0.01%. 7. The inception date for Series I and Series II shares is 11-5-12. 8. Excludes merger activity. 9. Portfolio turnover is shown for the period from 1-1-12 to 12-31-12. |
Per share operating performance for a share outstanding throughout the period | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($) 1 | Net real- ized and unrealized gain (loss) on invest- ments ($) | Total from investment oper- ations ($) | From net investment income ($) | From net realized gain ($) | From tax return of capital ($) | Total distri- butions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||||||||||||||||||||||||||||||||||||||||||||||
Ultra Short Term Bond Trust | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SERIES I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.64 | 0.02 | 0.04 | 0.06 | — | — | — | — | 11.70 | 0.52 | 4 | 0.65 | 5 | 0.64 | 5 | 0.39 | 5 | 12 | 51 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.80 | 0.01 | (0.01 | ) | — | 6 | (0.16 | ) | — | — | (0.16 | ) | 11.64 | (0.04 | ) | 0.66 | 0.65 | 0.12 | 10 | 86 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 11.98 | 0.01 | (0.01 | ) | — | 6 | (0.18 | ) | — | — | (0.18 | ) | 11.80 | (0.02 | ) | 0.66 | 0.65 | 0.05 | 9 | 69 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.13 | 0.02 | (0.03 | ) | (0.01 | ) | (0.14 | ) | — | — | (0.14 | ) | 11.98 | (0.07 | ) | 0.67 | 0.67 | 0.15 | 11 | 135 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.20 | 0.04 | 0.03 | 0.07 | (0.14 | ) | — | — | (0.14 | ) | 12.13 | 0.54 | 0.70 | 0.69 | 0.34 | 8 | 196 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.36 | 0.06 | (0.05 | ) | 0.01 | (0.17 | ) | — | — | (0.17 | ) | 12.20 | 0.12 | 0.72 | 7 | 0.72 | 0.49 | 3 | 171 | ||||||||||||||||||||||||||||||||||||||||||||
SERIES II | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.64 | 0.01 | 0.04 | 0.05 | — | — | — | — | 11.69 | 0.43 | 4 | 0.85 | 5 | 0.84 | 5 | 0.18 | 5 | 295 | 51 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.79 | (0.01 | ) | (0.01 | ) | (0.02 | ) | (0.13 | ) | — | — | (0.13 | ) | 11.64 | (0.15 | ) | 0.86 | 0.85 | (0.07 | ) | 235 | 86 | |||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 11.98 | (0.02 | ) | (0.02 | ) | (0.04 | ) | (0.15 | ) | — | — | (0.15 | ) | 11.79 | (0.30 | ) | 0.86 | 0.85 | (0.14 | ) | 214 | 69 | |||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.13 | (0.01 | ) | (0.02 | ) | (0.03 | ) | (0.12 | ) | — | — | (0.12 | ) | 11.98 | (0.27 | ) | 0.87 | 0.87 | (0.08 | ) | 202 | 135 | |||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.20 | 0.02 | 0.03 | 0.05 | (0.12 | ) | — | — | (0.12 | ) | 12.13 | 0.37 | 0.90 | 0.89 | 0.15 | 127 | 196 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.36 | 0.04 | (0.05 | ) | (0.01 | ) | (0.15 | ) | — | — | (0.15 | ) | 12.20 | (0.08 | ) | 0.92 | 7 | 0.92 | 0.29 | 131 | 171 | ||||||||||||||||||||||||||||||||||||||||||
SERIES NAV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20163 | 11.64 | 0.03 | 0.04 | 0.07 | — | — | — | — | 11.71 | 0.60 | 4 | 0.60 | 5 | 0.59 | 5 | 0.44 | 5 | 17 | 51 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2015 | 11.80 | 0.02 | (0.02 | ) | — | 6 | (0.16 | ) | — | — | (0.16 | ) | 11.64 | 0.01 | 0.61 | 0.60 | 0.18 | 14 | 86 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2014 | 11.98 | 0.01 | (0.01 | ) | — | 6 | (0.18 | ) | — | — | (0.18 | ) | 11.80 | 0.03 | 0.61 | 0.60 | 0.12 | 14 | 69 | ||||||||||||||||||||||||||||||||||||||||||||
12-31-2013 | 12.13 | 0.02 | (0.02 | ) | — | 6 | (0.15 | ) | — | — | (0.15 | ) | 11.98 | (0.02 | ) | 0.62 | 0.62 | 0.17 | 9 | 135 | |||||||||||||||||||||||||||||||||||||||||||
12-31-2012 | 12.19 | 0.05 | 0.03 | 0.08 | (0.14 | ) | — | — | (0.14 | ) | 12.13 | 0.66 | 0.65 | 0.64 | 0.39 | 4 | 196 | ||||||||||||||||||||||||||||||||||||||||||||||
12-31-2011 | 12.36 | 0.06 | (0.05 | ) | 0.01 | (0.18 | ) | — | — | (0.18 | ) | 12.19 | 0.09 | 0.67 | 7 | 0.67 | 0.53 | 3 | 171 | ||||||||||||||||||||||||||||||||||||||||||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-16. Unaudited. 4. Not annualized. 5. Annualized. 6. Less than $0.005 per share. 7. Includes the impact of expense recapture which amounted to 0.03% of average net assets. |
Total Value at 6-30-16 | | Level 1 Quoted Price | | Level 2 Significant Observable Inputs | | Level 3 Significant Unobservable Inputs | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Active Bond Trust | |||||||||||||||||||
U.S. Government and Agency obligations | $ | 195,036,697 | — | $ | 195,036,697 | — | |||||||||||||
Foreign government obligations | 4,974,717 | — | 4,974,717 | — | |||||||||||||||
Corporate bonds | 317,192,381 | — | 317,192,381 | — | |||||||||||||||
Capital preferred securities | 4,793,844 | — | 4,793,844 | — | |||||||||||||||
Convertible bonds | 262,200 | — | 262,200 | — | |||||||||||||||
Term loans | 1,368,952 | — | 1,368,952 | — | |||||||||||||||
Municipal bonds | 2,950,666 | — | 2,950,666 | — | |||||||||||||||
Collateralized mortgage obligations | 130,419,201 | — | 130,419,201 | — | |||||||||||||||
Asset backed securities | 81,126,112 | — | 81,126,112 | — | |||||||||||||||
Preferred securities | 3,669,144 | $ | 3,108,660 | 559,882 | $ | 602 | |||||||||||||
Securities lending collateral | 4,251,381 | 4,251,381 | — | — | |||||||||||||||
Short-term investments | 38,095,868 | 32,239,868 | 5,856,000 | — | |||||||||||||||
Total investments in securities | $ | 784,141,163 | $ | 39,599,909 | $ | 744,540,652 | $ | 602 | |||||||||||
Core Bond Trust | |||||||||||||||||||
U.S. Government and Agency obligations | $ | 789,280,709 | — | $ | 789,280,709 | — | |||||||||||||
Foreign government obligations | 29,305,365 | — | 29,305,365 | — | |||||||||||||||
Corporate bonds | 303,802,440 | — | 303,802,440 | — | |||||||||||||||
Municipal bonds | 13,018,025 | — | 13,018,025 | — | |||||||||||||||
Collateralized mortgage obligations | 65,579,669 | — | 62,969,680 | $ | 2,609,989 | ||||||||||||||
Asset backed securities | 195,687,104 | — | 195,687,104 | — | |||||||||||||||
Short-term investments | 11,276,309 | $ | 11,276,309 | — | — | ||||||||||||||
Total investments in securities | $ | 1,407,949,621 | $ | 11,276,309 | $ | 1,394,063,323 | $ | 2,609,989 | |||||||||||
Sale commitments outstanding | ($16,431,360 | ) | — | ($16,431,360 | ) | — | |||||||||||||
Global Bond Trust | |||||||||||||||||||
U.S. Government and Agency obligations | $ | 124,107,663 | — | $ | 124,107,663 | — | |||||||||||||
Foreign government obligations | 214,534,727 | — | 214,534,727 | — | |||||||||||||||
Corporate bonds | 166,337,306 | — | 166,337,306 | — | |||||||||||||||
Term loans | 2,294,328 | — | 2,294,328 | — | |||||||||||||||
Municipal bonds | 1,196,464 | — | 1,196,464 | — | |||||||||||||||
Collateralized mortgage obligations | 70,802,636 | — | 70,802,636 | — | |||||||||||||||
Asset backed securities | 28,590,915 | — | 28,590,915 | — | |||||||||||||||
Common stocks | 45,486 | $ | 45,486 | — | — | ||||||||||||||
Preferred securities | 236,670 | 236,670 | — | — | |||||||||||||||
Escrow shares | 735,175 | — | 735,175 | — | |||||||||||||||
Purchased options | 484,582 | 5,352 | 479,230 | — | |||||||||||||||
Short-term investments | 94,024,338 | — | 94,024,338 | — | |||||||||||||||
Total investments in securities | $ | 703,390,290 | $ | 287,508 | $ | 703,102,782 | — | ||||||||||||
Sale commitments outstanding | ($25,612,295 | ) | — | ($25,612,295 | ) | — | |||||||||||||
Other financial instruments: | |||||||||||||||||||
Futures | $ | 9,355,837 | $ | 9,355,837 | — | — | |||||||||||||
Forward foreign currency contracts | (5,597,773 | ) | — | ($5,597,773 | ) | — | |||||||||||||
Written options | (1,211,861 | ) | (150,311 | ) | (1,061,550 | ) | — | ||||||||||||
Interest rate swaps | (12,934,566 | ) | — | (12,934,566 | ) | — | |||||||||||||
Credit default swaps | (839,170 | ) | — | (839,170 | ) | — | |||||||||||||
Currency swaps | (1,873,397 | ) | — | (1,873,397 | ) | — | |||||||||||||
Volatility swaps | 242,844 | — | 242,844 | — | |||||||||||||||
High Yield Trust | |||||||||||||||||||
U.S. Government and Agency obligations | $ | 2,545,899 | — | $ | 2,545,899 | — | |||||||||||||
Foreign government obligations | 1,579,159 | — | 1,579,159 | — | |||||||||||||||
Corporate bonds | 208,485,235 | — | 207,398,993 | $ | 1,086,242 | ||||||||||||||
Capital preferred securities | 785,000 | — | 785,000 | — | |||||||||||||||
Convertible bonds | 440,469 | — | 440,469 | — | |||||||||||||||
Term loans | 9,678,973 | — | 9,678,973 | — | |||||||||||||||
Collateralized mortgage obligations | 933,217 | — | 933,217 | — | |||||||||||||||
Asset backed securities | 5,161,752 | — | 5,161,752 | — | |||||||||||||||
Common stocks | 5,453,983 | $ | 1,900,583 | 1,326,993 | 2,226,407 | ||||||||||||||
Preferred securities | 3,040,589 | 3,040,589 | — | — | |||||||||||||||
Escrow certificates | 30,875 | — | 30,375 | 500 | |||||||||||||||
Securities lending collateral | 7,247,233 | 7,247,233 | — | — | |||||||||||||||
Short-term investments | 102,049 | — | 102,049 | — | |||||||||||||||
Total investments in securities | $ | 245,484,433 | $ | 12,188,405 | $ | 229,982,879 | $ | 3,313,149 | |||||||||||
Other financial instruments: | |||||||||||||||||||
Futures | $ | 629,118 | $ | 629,118 | — | — | |||||||||||||
Forward foreign currency contracts | 31,930 | — | $ | 31,930 | — | ||||||||||||||
Credit default swaps | (58,640 | ) | — | (58,640 | ) | — |
Total Value at 6-30-16 | | Level 1 Quoted Price | | Level 2 Significant Observable Inputs | | Level 3 Significant Unobservable Inputs | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Income Trust | |||||||||||||||||||
Common stocks | $ | 165,336,697 | $ | 148,688,654 | $ | 16,257,768 | $ | 390,275 | |||||||||||
Preferred securities | 14,712,065 | 12,279,748 | 2,042,200 | 390,117 | |||||||||||||||
Corporate bonds | 115,355,507 | — | 115,355,507 | — | |||||||||||||||
Convertible bonds | 8,497,890 | — | 8,497,890 | — | |||||||||||||||
Term loans | 10,376,066 | — | 10,376,066 | — | |||||||||||||||
Escrow certificates | 850 | — | — | 850 | |||||||||||||||
Equity linked securities | 7,938,556 | 1,539,999 | 6,398,557 | — | |||||||||||||||
Securities lending collateral | 15,144,054 | 15,144,054 | — | — | |||||||||||||||
Short-term investments | 8,435,000 | — | 8,435,000 | — | |||||||||||||||
Total investments in securities | $ | 345,796,685 | $ | 177,652,455 | $ | 167,362,988 | $ | 781,242 | |||||||||||
Strategic Income Opportunities Trust | |||||||||||||||||||
Foreign government obligations | $ | 127,740,826 | — | $ | 127,740,826 | — | |||||||||||||
Corporate bonds | 300,728,140 | — | 300,728,140 | — | |||||||||||||||
Capital preferred securities | 1,959,984 | — | 1,959,984 | — | |||||||||||||||
Convertible bonds | 10,664,003 | — | 10,664,003 | — | |||||||||||||||
Municipal bonds | 31,950,772 | — | 31,950,772 | — | |||||||||||||||
Collateralized mortgage obligations | 33,396,733 | — | 33,396,733 | — | |||||||||||||||
Asset backed securities | 35,173,559 | — | 35,173,559 | — | |||||||||||||||
Common stocks | 17,584,364 | $ | 17,584,364 | — | — | ||||||||||||||
Preferred securities | 38,651,829 | 36,694,595 | 1,957,234 | — | |||||||||||||||
Purchased options | 2,514,392 | — | 2,514,392 | — | |||||||||||||||
Short-term investments | 1,353,000 | — | 1,353,000 | — | |||||||||||||||
Total investments in securities | $ | 601,717,602 | $ | 54,278,959 | $ | 547,438,643 | — | ||||||||||||
Other financial instruments: | |||||||||||||||||||
Forward foreign currency contracts | ($3,506,827 | ) | — | ($3,506,827 | ) | — |
High Yield Trust | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds | Conventible Bonds | Common Stocks | Escrow Certificarties | Total | ||||||||||||||||||||
Balance as of 12-31-15 | $ | 910,305 | $ | 405,098 | $ | 1,631,608 | — | $ | 2,947,011 | |||||||||||||||
Realized gain (loss) | — | — | 405,120 | — | 405,120 | |||||||||||||||||||
Change in unrealized appreciation (depreciation) | 142,699 | — | 1,352,179 | $ | 500 | 1,495,378 | ||||||||||||||||||
Purchases | 45,336 | — | 139,610 | — | 184,946 | |||||||||||||||||||
Sales | (12,098 | ) | — | (1,302,110 | ) | — | (1,314,208 | ) | ||||||||||||||||
Transfers into Level 3 | — | — | — | — | — | |||||||||||||||||||
Transfers out of Level 3 | — | (405,098 | ) | — | — | (405,098 | ) | |||||||||||||||||
Balance as of 6-30-16 | $ | 1,086,242 | — | $ | 2,226,407 | $ | 500 | $ | 3,313,149 | |||||||||||||||
Change in unrealized at period end* | $ | 138,268 | — | $ | 1,349,073 | — | $ | 1,487,341 |
* | Change in unrealized appreciation (depreciation) attributable to level 3 securities held at the period end. This balance is included in the change in unrealized appreciation (depreciation) on the Statement of operations. |
High Yield Trust | | Fair Value at 6-30-16 | | Valuation Technique | | Significant Unobservable Inputs | | Input/ Range | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stocks | $ | 1,571,781 | Market Approach | EV/EBITDA multiple Discount | 9.55x – 11.83x (weighted average 11.12x) 17.5% | |||||||||||||
$ | 543,842 | Market Approach | Expected future value Discount | $11.56 – $13.91 (weighted average $12.18) 10.8% – 20% (weighted average 17.6%) | ||||||||||||||
$ | 2,115,623 | |||||||||||||||||
Corporate Bonds | $ | 1,086,242 | Market Approach | Yield | 1280bps – 1720bps (weighted average 1450bps) | |||||||||||||
Escrow certificates | $ | 500 | Market Approach | Estimated liquidation value | $0.03 | |||||||||||||
Total | $ | 3,202,365 | * |
Significant Unobservable Input | Impact to Valuation if input increases | | Impact to Valuation if input decreases | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Discount | Decrease | Increase | ||||||||
Enterprise value to earnings before interest, taxes, depreciation and amortization (“EV/EBITDA”) multiple | Increase | Decrease | ||||||||
Estimated liquidation value | Increase | Decrease | ||||||||
Expected future value | Increase | Decrease | ||||||||
Yield | Decrease | Increase |
Portfolio | | Counterparty | | Borrowing rate | | Settlement date | | Maturity date | | Borrowing amount | | Payable for reverse repurchase agreements | | USD Payable for reverse repurchase agreements | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | BNP Paribas SA1 | 0.750 | % | 5/11/2016 | 8/10/2016 | GBP 5,599,259 | (GBP 5,605,092 | ) | ($7,461,775 | ) | ||||||||||||||||||||
Global Bond Trust | HSBC Bank2 | 0.370 | % | 4/12/2016 | 7/13/2016 | EUR 5,186,940 | (EUR 5,191,152 | ) | ($5,760,879 | ) | ||||||||||||||||||||
Global Bond Trust | HSBC Bank3 | 0.410 | % | 4/12/2016 | 7/13/2016 | EUR 10,487,400 | (EUR 10,496,836 | ) | ($11,648,862 | ) | ||||||||||||||||||||
Global Bond Trust | HSBC Bank4 | 0.750 | % | 5/11/2016 | 8/10/2016 | GBP 7,794,939 | (GBP 7,803,059 | ) | ($10,387,818 | ) |
1 | Reverse repurchase agreement with BNP Paribas SA dated 5/11/2016 at 0.750% to be repurchased at GBP 5,609,874 on 8/10/2016, collateralized by GBP 4,000,000 United Kingdom Gilts, 4.250% due 12/7/2040 (valued at GBP 6,066,600, including interest) |
2 | Reverse repurchase agreement with HSBC Bank dated 4/12/2016 at 0.370% to be repurchased at EUR 5,191,845 on 7/13/2016, collateralized by EUR 3,300,000 France Government Bonds, 4.000% due 10/25/2038 (valued at EUR 5,430,619, including interest) |
3 | Reverse repurchase agreement with HSBC Bank dated 4/12/2016 at 0.410% to be repurchased at EUR 10,498,388 on 7/13/2016, collateralized by EUR 6,000,000 France Government Bonds, 4.500% due 4/25/2041 (valued at EUR 10,831,122, including interest) |
4 | Reverse repurchase agreement with HSBC Bank dated 5/11/2016 at 0.750% to be repurchased at GBP 7,809,717 on 8/10/2016, collateralized by GBP 6,500,000 United Kingdom Gilts, 3.250% due 1/22/2044 (valued at GBP 8,638,838, including interest) |
fluctuations. No interest accrues to the portfolio until settlement takes place. At the time that the portfolio enters into this type of transaction, the portfolio is required to have sufficient cash and/or liquid securities to cover its commitments.
Portfolio | | Counterparty | Collateral Received | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Core Bond Trust | JPMorgan Chase Bank | $ | 90,000 |
Portfolio | | Average Borrowing | | Weighted Average Interest Rate | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | $ | 4,241,927 | 0.275 | % |
Portfolio | | Market Value of Securities on Loan | | Cash Collateral Received | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Active Bond Trust | $ | 4,161,758 | $ | 4,249,070 | ||||||
Bond Trust | 37,466,678 | 38,044,149 | ||||||||
High Yield Trust | 7,077,808 | 7,248,275 | ||||||||
Income Trust | 14,996,427 | 15,143,828 | ||||||||
Investment Quality Bond Trust | 214,462 | 217,395 |
Portfolio | | Amount | ||||
---|---|---|---|---|---|---|
Active Bond Trust | $ | 1,014 | ||||
Bond Trust | 5,424 | |||||
Global Bond Trust | 941 | |||||
High Yield Trust | 739 | |||||
Income Trust | 800 | |||||
Investment Quality Bond Trust | 759 | |||||
Money Market Trust | $ | 1,632 | ||||
New Income Trust | 1,383 | |||||
Short Term Government Income Trust | 789 | |||||
Strategic Income Opportunities Trust | 901 | |||||
Total Bond Market Trust B | 879 | |||||
Ultra Short Term Bond Trust | 750 |
Portfolio | | Amount | ||||
---|---|---|---|---|---|---|
Active Bond Trust | $ | 62,805 | ||||
Bond Trust | 623,059 | |||||
Core Bond Trust | 79,213 | |||||
Global Bond Trust | 89,865 | |||||
High Yield Trust | 17,704 | |||||
Income Trust | 24,659 | |||||
Investment Quality Bond Trust | 21,240 | |||||
Money Market Trust | $ | 135,684 | ||||
New Income Trust | 107,032 | |||||
Short Term Government Income Trust | 20,558 | |||||
Strategic Income Opportunities Trust | 62,232 | |||||
Total Bond Market Trust B | 31,850 | |||||
Ultra Short Term Bond Trust | 17,706 |
| | | No Expiration Date | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | 2016 | | 2017 | | 2018 | | Short Term | | Long Term | |||||||||||||
Active Bond Trust | — | — | — | $ | 854,246 | $ | 4,250,758 | |||||||||||||||
Bond Trust | — | — | — | 74,711,520 | 63,248,092 | |||||||||||||||||
Global Bond Trust | — | $ | 15,036,874 | — | — | — | ||||||||||||||||
High Yield Trust | $ | 88,168,936 | 255,192,811 | — | 4,662,356 | 35,032,299 | ||||||||||||||||
Income Trust | 4,263,540 | 30,421,084 | $ | 7,902,499 | 1,309,647 | 22,654,471 | ||||||||||||||||
Money Market Trust | — | — | — | 18,263 | — | |||||||||||||||||
Short Term Government Income Trust | 6,266,872 | 49,933,390 | — | 4,280,435 | 9,316,678 | |||||||||||||||||
Strategic Income Opportunities Trust | 28,966,187 | 29,809,523 | — | — | — | |||||||||||||||||
Total Bond Market Trust B | 612,440 | 886,914 | — | 643,221 | 978,372 | |||||||||||||||||
Ultra Short Term Bond Trust | — | — | 59,426 | 4,364,295 | 6,566,505 |
Portfolio | Aggregate Cost | | Unrealized Appreciation | | Unrealized (Depreciation) | | Net Unrealized Appreciation/ (Depreciation) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Active Bond Trust | $ | 766,794,221 | $ | 28,462,185 | ($11,115,243 | ) | $ | 17,346,942 | ||||||||||
Bond Trust | 8,814,341,547 | 241,947,240 | (83,259,406 | ) | 158,687,834 | |||||||||||||
Core Bond Trust | 1,387,733,580 | 23,027,513 | (2,811,472 | ) | 20,216,041 | |||||||||||||
Global Bond Trust | 692,764,479 | 32,622,215 | (21,996,404 | ) | 10,625,811 | |||||||||||||
High Yield Trust | 270,132,330 | 6,817,004 | (31,464,901 | ) | (24,647,897 | ) | ||||||||||||
Income Trust | 333,290,292 | 37,070,647 | (24,564,254 | ) | 12,506,393 | |||||||||||||
Investment Quality Bond Trust | 383,463,750 | 7,371,121 | (3,706,440 | ) | 3,664,681 | |||||||||||||
Money Market Trust | 2,347,449,545 | — | — | — | ||||||||||||||
New Income Trust | 1,415,784,216 | 50,868,031 | (8,126,806 | ) | 42,741,225 | |||||||||||||
Short Term Government Income Trust | 333,668,130 | 2,326,964 | (4,393,636 | ) | (2,066,672 | ) | ||||||||||||
Strategic Income Opportunities Trust | 598,281,535 | 21,588,389 | (18,152,322 | ) | 3,436,067 | |||||||||||||
Total Bond Market Trust B | 599,809,111 | 28,784,048 | (1,611,494 | ) | 27,172,554 | |||||||||||||
Ultra Short Term Bond Trust | 347,819,031 | 447,440 | (2,061,636 | ) | (1,614,196 | ) |
Portfolio | | Open Contracts | | Number of Contracts | | Position | | Expiration Date | | Notional Basis | | Notional Value | | Unrealized Appreciation (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | 5-Year U.S. Treasury Note Futures | 1,393 | Long | Sep 2016 | $ | 167,177,712 | $ | 170,174,540 | $ | 2,996,828 | ||||||||||||||||||||
10-Year U.S. Treasury Note Futures | 1,306 | Long | Sep 2016 | 169,381,650 | 173,677,594 | 4,295,944 | ||||||||||||||||||||||||
10-Year Japan Government Bond Futures | 14 | Long | Sep 2016 | 20,694,572 | 20,731,903 | 37,331 | ||||||||||||||||||||||||
Euro-BTP Italian Government Bond Futures | 168 | Long | Sep 2016 | 26,441,167 | 26,587,919 | 146,752 | ||||||||||||||||||||||||
Euro-BUXL Futures | 33 | Long | Sep 2016 | 6,685,097 | 7,183,721 | 498,624 | ||||||||||||||||||||||||
Euro-OAT Futures | 87 | Long | Sep 2016 | 15,134,018 | 15,523,991 | 389,973 | ||||||||||||||||||||||||
German Euro BOBL Futures | 66 | Long | Sep 2016 | 9,685,049 | 9,785,330 | 100,281 | ||||||||||||||||||||||||
U.K. Long Gilt Bond Futures | 46 | Long | Sep 2016 | 7,501,636 | 7,868,403 | 366,767 | ||||||||||||||||||||||||
Ultra U.S. Treasury Bond Futures | 140 | Long | Sep 2016 | 25,164,703 | 26,092,500 | 927,797 | ||||||||||||||||||||||||
10-Year Canada Government Bond Futures | 24 | Short | Sep 2016 | (2,684,278 | ) | (2,750,075 | ) | (65,797 | ) | |||||||||||||||||||||
10-Year Spainish Government Bond Futures | 14 | Short | Sep 2016 | (2,168,415 | ) | (2,215,971 | ) | (47,556 | ) | |||||||||||||||||||||
Eurodollar Futures | 249 | Short | Dec 2017 | (61,448,816 | ) | (61,736,438 | ) | (287,622 | ) | |||||||||||||||||||||
German Euro BUND Futures | 19 | Short | Sep 2016 | (3,515,947 | ) | (3,523,766 | ) | (7,819 | ) | |||||||||||||||||||||
U.S. Treasury Long Bond Futures | 25 | Short | Sep 2016 | (4,312,928 | ) | (4,308,594 | ) | 4,334 | ||||||||||||||||||||||
$ | 9,355,837 |
Portfolio | | Open Contracts | | Number of Contracts | | Position | | Expiration Date | | Notional Basis | | Notional Value | | Unrealized Appreciation (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
High Yield Trust | 2-Year U.S. Treasury Note Futures | 138 | Long | Sep 2016 | $ | 30,062,245 | $ | 30,267,281 | $ | 205,036 | ||||||||||||||||||||
5-Year U.S. Treasury Note Futures | 237 | Long | Sep 2016 | 28,593,897 | 28,952,883 | 358,986 | ||||||||||||||||||||||||
Ultra U.S. Treasury Bond Futures | 8 | Long | Sep 2016 | 1,397,886 | 1,491,000 | 93,114 | ||||||||||||||||||||||||
U.S. Treasury Long Bond Futures | 3 | Short | Sep 2016 | (489,013 | ) | (517,031 | ) | (28,018 | ) | |||||||||||||||||||||
$ | 629,118 |
Portfolio | | Open Contracts | | Number of Contracts | | Position | | Expiration Date | | Notional Basis | | Notional Value | | Unrealized Appreciation (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment Quality Bond Trust | 2-Year U.S. Treasury Note Futures | 80 | Long | Sep 2016 | $ | 17,477,734 | $ | 17,546,250 | $ | 68,516 | ||||||||||||||||||||
5-Year U.S. Treasury Note Futures | 479 | Long | Sep 2016 | 57,548,458 | 58,516,586 | 968,128 | ||||||||||||||||||||||||
U.S. Treasury Long Bond Futures | 36 | Long | Sep 2016 | 5,856,506 | 6,204,375 | 347,869 | ||||||||||||||||||||||||
Ultra U.S. Treasury Bond Futures | 32 | Long | Sep 2016 | 5,743,328 | 5,964,000 | 220,672 | ||||||||||||||||||||||||
10-Year U.S. Treasury Note Futures | 256 | Short | Sep 2016 | (33,139,483 | ) | (34,044,000 | ) | (904,517 | ) | |||||||||||||||||||||
German Euro BUND Futures | 11 | Short | Sep 2016 | (1,984,119 | ) | (2,040,075 | ) | (55,956 | ) | |||||||||||||||||||||
$ | 644,712 |
Portfolio | | Open Contracts | | Number of Contracts | | Position | | Expiration Date | | Notional Basis | | Notional Value | | Unrealized Appreciation (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
New Income Trust | 2-Year U.S. Treasury Note Futures | 213 | Long | Sep 2016 | $ | 46,394,346 | $ | 46,716,891 | $ | 322,545 | ||||||||||||||||||||
U.S. Treasury Long Bond Futures | 120 | Long | Sep 2016 | 19,813,965 | 20,681,250 | 867,285 | ||||||||||||||||||||||||
Ultra U.S. Treasury Bond Futures | 9 | Long | Sep 2016 | 1,576,561 | 1,677,375 | 100,814 | ||||||||||||||||||||||||
10-Year U.S. Treasury Note Futures | 127 | Short | Sep 2016 | (16,429,430 | ) | (16,889,016 | ) | (459,586 | ) | |||||||||||||||||||||
5-Year U.S. Treasury Note Futures | 182 | Short | Sep 2016 | (21,860,507 | ) | (22,233,859 | ) | (373,352 | ) | |||||||||||||||||||||
$ | 457,706 |
Portfolio | | Contract to Buy | | Contract to Sell | | Counterparty | | Contractual Settlement Date | | Unrealized Appreciation | | Unrealized Depreciation | | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | ||||||||||||||||||||||||||||||
AUD 20,454,664 | USD 15,146,679 | BNP Paribas SA | 7/5/2016 | $ | 108,410 | — | $ | 108,410 | ||||||||||||||||||||||
AUD 82,873 | USD 61,770 | Citibank N.A. | 9/14/2016 | — | ($121 | ) | (121 | ) | ||||||||||||||||||||||
AUD 1,319,000 | USD 978,546 | UBS AG | 9/14/2016 | 2,645 | — | 2,645 | ||||||||||||||||||||||||
BRL 6,907,557 | USD 1,893,000 | Bank of America, N.A. | 7/5/2016 | 257,346 | — | 257,346 | ||||||||||||||||||||||||
BRL 7,583,445 | USD 2,155,000 | Barclays Capital | 7/5/2016 | 205,752 | — | 205,752 | ||||||||||||||||||||||||
BRL 24,802,870 | USD 7,636,685 | BNP Paribas SA | 7/5/2016 | 84,534 | — | 84,534 | ||||||||||||||||||||||||
BRL 1,179,846 | USD 324,000 | Citibank N.A. | 7/5/2016 | 43,290 | — | 43,290 | ||||||||||||||||||||||||
BRL 6,769,437 | USD 1,900,257 | JPMorgan Chase Bank | 7/5/2016 | 207,092 | — | 207,092 | ||||||||||||||||||||||||
BRL 22,972,904 | USD 6,688,670 | BNP Paribas SA | 8/2/2016 | 400,858 | — | 400,858 | ||||||||||||||||||||||||
BRL 12,700,000 | USD 3,624,429 | JPMorgan Chase Bank | 10/4/2016 | 221,893 | — | 221,893 | ||||||||||||||||||||||||
CAD 22,911,000 | USD 17,618,425 | Citibank N.A. | 7/5/2016 | 115,233 | — | 115,233 | ||||||||||||||||||||||||
CAD 200,000 | USD 155,248 | Goldman Sachs Bank USA | 7/5/2016 | — | (443 | ) | (443 | ) | ||||||||||||||||||||||
CAD 200,000 | USD 153,270 | Standard Chartered Bank | 7/5/2016 | 1,535 | — | 1,535 | ||||||||||||||||||||||||
CHF 769,000 | USD 801,313 | Morgan Stanley Bank, N.A. | 8/12/2016 | — | (11,956 | ) | (11,956 | ) | ||||||||||||||||||||||
CNY 7,741,328 | USD 1,186,956 | JPMorgan Chase Bank | 9/9/2016 | — | (24,307 | ) | (24,307 | ) | ||||||||||||||||||||||
CNY 2,750,425 | USD 419,912 | HSBC Bank USA | 9/21/2016 | — | (7,019 | ) | (7,019 | ) | ||||||||||||||||||||||
CNY 68,356,083 | USD 10,484,062 | UBS AG | 9/21/2016 | — | (222,466 | ) | (222,466 | ) | ||||||||||||||||||||||
CNY 3,280,200 | USD 497,000 | BNP Paribas SA | 10/20/2016 | — | (5,050 | ) | (5,050 | ) | ||||||||||||||||||||||
CNY 11,663,496 | USD 1,780,279 | Citibank N.A. | 10/20/2016 | — | (31,040 | ) | (31,040 | ) | ||||||||||||||||||||||
CNY 46,851,944 | USD 7,112,248 | Standard Chartered Bank London | 10/20/2016 | — | (85,604 | ) | (85,604 | ) | ||||||||||||||||||||||
CNY 5,190,086 | USD 786,615 | HSBC Bank USA | 1/6/2017 | — | (9,954 | ) | (9,954 | ) | ||||||||||||||||||||||
CNY 13,522,700 | USD 2,040,392 | Bank of America, N.A. | 1/13/2017 | — | (17,266 | ) | (17,266 | ) | ||||||||||||||||||||||
CNY 13,580,872 | USD 2,050,872 | HSBC Bank USA | 1/13/2017 | — | (19,042 | ) | (19,042 | ) | ||||||||||||||||||||||
EUR 1,019,000 | USD 1,124,550 | BNP Paribas SA | 8/12/2016 | 7,836 | — | 7,836 | ||||||||||||||||||||||||
EUR 6,984,000 | USD 7,936,120 | Citibank N.A. | 8/12/2016 | — | (174,995 | ) | (174,995 | ) | ||||||||||||||||||||||
EUR 96,589,769 | USD 110,343,736 | Goldman Sachs Bank USA | 8/12/2016 | — | (3,006,222 | ) | (3,006,222 | ) | ||||||||||||||||||||||
EUR 1,189,000 | USD 1,330,696 | JPMorgan Chase Bank N.A. | 8/12/2016 | — | (9,394 | ) | (9,394 | ) | ||||||||||||||||||||||
EUR 7,047,000 | USD 7,821,337 | UBS AG | 8/12/2016 | 9,798 | — | 9,798 | ||||||||||||||||||||||||
GBP 11,457,000 | USD 16,534,056 | Citibank N.A. | 8/12/2016 | — | (1,276,853 | ) | (1,276,853 | ) | ||||||||||||||||||||||
GBP 552,000 | USD 736,386 | Goldman Sachs Bank USA | 8/12/2016 | — | (1,291 | ) | (1,291 | ) | ||||||||||||||||||||||
GBP 1,155,000 | USD 1,604,827 | Morgan Stanley Bank, N.A. | 8/12/2016 | — | (66,723 | ) | (66,723 | ) | ||||||||||||||||||||||
GBP 4,508,000 | USD 6,499,659 | Standard Chartered Bank | 8/12/2016 | — | (496,389 | ) | (496,389 | ) | ||||||||||||||||||||||
IDR 1,921,257,000 | USD 143,592 | UBS AG | 8/18/2016 | 774 | — | 774 | ||||||||||||||||||||||||
INR 424,468,352 | USD 6,277,725 | Citibank N.A. | 8/18/2016 | — | (36,676 | ) | (36,676 | ) | ||||||||||||||||||||||
JPY 8,445,963,093 | USD 78,253,526 | HSBC Bank USA | 8/12/2016 | 3,630,476 | — | 3,630,476 | ||||||||||||||||||||||||
KRW 1,618,113,083 | USD 1,396,129 | Goldman Sachs Bank USA | 8/18/2016 | 8,017 | — | 8,017 | ||||||||||||||||||||||||
MXN 21,403,000 | USD 1,138,473 | Barclays Bank PLC Wholesale | 8/25/2016 | 26,459 | — | 26,459 | ||||||||||||||||||||||||
MXN 69,868,676 | USD 3,857,810 | JPMorgan Chase Bank N.A. | 8/25/2016 | — | (54,967 | ) | (54,967 | ) | ||||||||||||||||||||||
NZD 7,600,000 | USD 5,373,876 | Bank of America, N.A. | 7/5/2016 | 52,524 | — | 52,524 | ||||||||||||||||||||||||
SEK 18,250,000 | USD 2,246,494 | JPMorgan Chase Bank N.A. | 8/12/2016 | — | (85,946 | ) | (85,946 | ) | ||||||||||||||||||||||
SGD 1,213,335 | USD 894,720 | HSBC Bank USA | 9/15/2016 | 5,323 | — | 5,323 | ||||||||||||||||||||||||
SGD 6,700 | USD 5,000 | Morgan Stanley Bank, N.A. | 9/15/2016 | — | (30 | ) | (30 | ) | ||||||||||||||||||||||
SGD 137,516 | USD 102,000 | UBS AG | 9/15/2016 | 9 | — | 9 | ||||||||||||||||||||||||
USD 14,503,186 | AUD 20,184,664 | Standard Chartered Bank | 7/5/2016 | — | (550,537 | ) | (550,537 | ) | ||||||||||||||||||||||
USD 199,652 | AUD 270,000 | UBS AG | 7/5/2016 | — | (1,715 | ) | (1,715 | ) | ||||||||||||||||||||||
USD 15,131,338 | AUD 20,454,664 | BNP Paribas SA | 8/2/2016 | — | (108,025 | ) | (108,025 | ) |
Portfolio | | Contract to Buy | | Contract to Sell | | Counterparty | | Contractual Settlement Date | | Unrealized Appreciation | | Unrealized Depreciation | | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust (continued) | ||||||||||||||||||||||||||||||
USD 111,512 | AUD 150,000 | Bank of America, N.A. | 9/14/2016 | — | ($72 | ) | ($72 | ) | ||||||||||||||||||||||
USD 272,933 | AUD 365,000 | Citibank N.A. | 9/14/2016 | $ | 1,413 | — | 1,413 | |||||||||||||||||||||||
USD 975,180 | AUD 1,301,000 | Morgan Stanley Bank, N.A. | 9/14/2016 | 7,379 | — | 7,379 | ||||||||||||||||||||||||
USD 112,125 | AUD 150,000 | UBS AG | 9/14/2016 | 541 | — | 541 | ||||||||||||||||||||||||
USD 2,152,021 | BRL 6,907,557 | Bank of America, N.A. | 7/5/2016 | 1,675 | — | 1,675 | ||||||||||||||||||||||||
USD 2,362,591 | BRL 7,583,445 | Barclays Capital | 7/5/2016 | 1,839 | — | 1,839 | ||||||||||||||||||||||||
USD 7,264,891 | BRL 24,802,870 | BNP Paribas SA | 7/5/2016 | — | (456,327 | ) | (456,327 | ) | ||||||||||||||||||||||
USD 367,576 | BRL 1,179,846 | Citibank N.A. | 7/5/2016 | 286 | — | 286 | ||||||||||||||||||||||||
USD 2,108,990 | BRL 6,769,437 | JPMorgan Chase Bank | 7/5/2016 | 1,641 | — | 1,641 | ||||||||||||||||||||||||
USD 1,817,238 | BRL 7,000,000 | Bank of America, N.A. | 10/4/2016 | — | (302,782 | ) | (302,782 | ) | ||||||||||||||||||||||
USD 8,158,478 | BRL 31,300,000 | Barclays Capital | 10/4/2016 | — | (1,321,042 | ) | (1,321,042 | ) | ||||||||||||||||||||||
USD 4,752,630 | BRL 18,300,000 | JPMorgan Chase Bank | 10/4/2016 | — | (789,709 | ) | (789,709 | ) | ||||||||||||||||||||||
USD 3,499,679 | BRL 13,100,000 | JPMorgan Chase Bank | 7/5/2017 | — | (191,449 | ) | (191,449 | ) | ||||||||||||||||||||||
USD 514,279 | CAD 663,000 | Citibank N.A. | 7/5/2016 | 1,101 | — | 1,101 | ||||||||||||||||||||||||
USD 17,272,899 | CAD 22,648,000 | JPMorgan Chase Bank N.A. | 7/5/2016 | — | (257,192 | ) | (257,192 | ) | ||||||||||||||||||||||
USD 17,620,051 | CAD 22,911,000 | Citibank N.A. | 8/2/2016 | — | (115,598 | ) | (115,598 | ) | ||||||||||||||||||||||
USD 388,672 | CHF 384,000 | Goldman Sachs Bank USA | 8/12/2016 | — | (5,493 | ) | (5,493 | ) | ||||||||||||||||||||||
USD 513,972 | CHF 507,000 | Morgan Stanley Bank, N.A. | 8/12/2016 | — | (6,450 | ) | (6,450 | ) | ||||||||||||||||||||||
USD 6,126,000 | CNY 40,332,811 | Standard Chartered Bank London | 8/19/2016 | 64,434 | — | 64,434 | ||||||||||||||||||||||||
USD 982,699 | CNY 6,431,372 | UBS AG | 8/19/2016 | 16,136 | — | 16,136 | ||||||||||||||||||||||||
USD 582,000 | CNY 3,870,882 | Barclays Capital | 9/9/2016 | 642 | — | 642 | ||||||||||||||||||||||||
USD 291,000 | CNY 1,935,586 | Citibank N.A. | 9/9/2016 | 299 | — | 299 | ||||||||||||||||||||||||
USD 291,000 | CNY 1,934,859 | HSBC Bank USA | 9/9/2016 | 409 | — | 409 | ||||||||||||||||||||||||
USD 460,696 | CNY 3,045,200 | Bank of America, N.A. | 9/21/2016 | 3,551 | — | 3,551 | ||||||||||||||||||||||||
USD 3,072,752 | CNY 20,309,353 | BNP Paribas SA | 9/21/2016 | 23,917 | — | 23,917 | ||||||||||||||||||||||||
USD 5,743,136 | CNY 37,962,127 | JPMorgan Chase Bank | 9/21/2016 | 44,272 | — | 44,272 | ||||||||||||||||||||||||
USD 1,481,063 | CNY 9,789,828 | UBS AG | 9/21/2016 | 11,417 | — | 11,417 | ||||||||||||||||||||||||
USD 497,000 | CNY 3,276,970 | BNP Paribas SA | 10/20/2016 | 5,535 | — | 5,535 | ||||||||||||||||||||||||
USD 1,784,493 | CNY 11,668,800 | Citibank N.A. | 10/20/2016 | 34,458 | — | 34,458 | ||||||||||||||||||||||||
USD 7,116,659 | CNY 46,841,843 | Standard Chartered Bank London | 10/20/2016 | 91,528 | — | 91,528 | ||||||||||||||||||||||||
USD 754,977 | CNY 5,190,086 | Standard Chartered Bank London | 1/6/2017 | — | (21,684 | ) | (21,684 | ) | ||||||||||||||||||||||
USD 1,133,000 | CNY 7,821,666 | Bank of America, N.A. | 1/13/2017 | — | (37,197 | ) | (37,197 | ) | ||||||||||||||||||||||
USD 2,786,000 | CNY 19,281,906 | BNP Paribas SA | 1/13/2017 | — | (98,760 | ) | (98,760 | ) | ||||||||||||||||||||||
USD 3,508,698 | DKK 23,234,600 | Bank of America, N.A. | 7/1/2016 | 41,857 | — | 41,857 | ||||||||||||||||||||||||
USD 10,481,309 | DKK 69,595,890 | UBS AG | 7/1/2016 | 96,885 | — | 96,885 | ||||||||||||||||||||||||
USD 4,310,111 | DKK 28,370,000 | JPMorgan Chase Bank N.A. | 7/8/2016 | 76,567 | — | 76,567 | ||||||||||||||||||||||||
USD 870,168 | DKK 5,795,000 | HSBC Bank USA | 8/12/2016 | 4,322 | — | 4,322 | ||||||||||||||||||||||||
USD 15,521,305 | DKK 101,231,000 | JPMorgan Chase Bank N.A. | 8/12/2016 | 396,120 | — | 396,120 | ||||||||||||||||||||||||
USD 1,470,014 | DKK 9,780,000 | Bank of America, N.A. | 10/3/2016 | 5,782 | — | 5,782 | ||||||||||||||||||||||||
USD 1,730,818 | DKK 11,555,000 | Goldman Sachs Bank USA | 10/3/2016 | 839 | — | 839 | ||||||||||||||||||||||||
USD 886,049 | DKK 5,829,600 | JPMorgan Chase Bank N.A. | 10/3/2016 | 13,259 | — | 13,259 | ||||||||||||||||||||||||
USD 7,678,450 | EUR 6,882,000 | Bank of America, N.A. | 8/12/2016 | 30,675 | — | 30,675 | ||||||||||||||||||||||||
USD 13,858,945 | EUR 12,185,000 | Citibank N.A. | 8/12/2016 | 318,095 | — | 318,095 | ||||||||||||||||||||||||
USD 2,344,338 | EUR 2,076,000 | Goldman Sachs Bank USA | 8/12/2016 | 37,337 | — | 37,337 | ||||||||||||||||||||||||
USD 2,640,000 | EUR 2,348,000 | JPMorgan Chase Bank N.A. | 8/12/2016 | 30,733 | — | 30,733 | ||||||||||||||||||||||||
USD 1,088,545 | EUR 981,000 | UBS AG | 8/12/2016 | — | (1,613 | ) | (1,613 | ) | ||||||||||||||||||||||
USD 3,297,953 | GBP 2,325,000 | Citibank N.A. | 8/12/2016 | 201,768 | — | 201,768 | ||||||||||||||||||||||||
USD 9,329,352 | GBP 6,668,000 | UBS AG | 8/12/2016 | 449,626 | — | 449,626 | ||||||||||||||||||||||||
USD 2,798,000 | INR 190,236,020 | Citibank N.A. | 8/18/2016 | 919 | — | 919 | ||||||||||||||||||||||||
USD 3,360,000 | INR 228,807,415 | Standard Chartered Bank London | 8/18/2016 | — | (4,204 | ) | (4,204 | ) | ||||||||||||||||||||||
USD 9,258,865 | JPY 1,000,000,000 | JPMorgan Chase Bank N.A. | 7/11/2016 | — | (426,647 | ) | (426,647 | ) | ||||||||||||||||||||||
USD 3,915,489 | JPY 427,100,000 | Goldman Sachs Bank USA | 8/12/2016 | — | (225,265 | ) | (225,265 | ) | ||||||||||||||||||||||
USD 59,236,016 | JPY 6,290,000,000 | JPMorgan Chase Bank N.A. | 9/12/2016 | — | (1,809,943 | ) | (1,809,943 | ) | ||||||||||||||||||||||
USD 1,286,138 | MXN 24,054,000 | Citibank N.A. | 8/25/2016 | — | (23,083 | ) | (23,083 | ) | ||||||||||||||||||||||
USD 539,775 | NOK 4,380,000 | Goldman Sachs Bank USA | 8/12/2016 | 16,431 | — | 16,431 | ||||||||||||||||||||||||
USD 5,116,261 | NZD 7,600,000 | JPMorgan Chase Bank N.A. | 7/5/2016 | — | (310,139 | ) | (310,139 | ) | ||||||||||||||||||||||
USD 5,366,162 | NZD 7,600,000 | Bank of America, N.A. | 8/2/2016 | — | (52,419 | ) | (52,419 | ) | ||||||||||||||||||||||
USD 11,098,771 | SGD 15,277,661 | Citibank N.A. | 8/18/2016 | — | (237,790 | ) | (237,790 | ) | ||||||||||||||||||||||
USD 95,000 | SGD 127,594 | Bank of America, N.A. | 9/15/2016 | 352 | — | 352 | ||||||||||||||||||||||||
USD 688,000 | SGD 924,015 | JPMorgan Chase Bank N.A. | 9/15/2016 | 2,572 | — | 2,572 | ||||||||||||||||||||||||
USD 437,000 | SGD 590,470 | Morgan Stanley Bank, N.A. | 9/15/2016 | — | (1,007 | ) | (1,007 | ) | ||||||||||||||||||||||
USD 192,000 | SGD 259,584 | UBS AG | 9/15/2016 | — | (558 | ) | (558 | ) | ||||||||||||||||||||||
USD 5,667,985 | TWD 183,586,040 | Bank of America, N.A. | 8/18/2016 | — | (28,657 | ) | (28,657 | ) | ||||||||||||||||||||||
USD 327,693 | ZAR 4,939,000 | Morgan Stanley Bank, N.A. | 8/10/2016 | — | (5,223 | ) | (5,223 | ) | ||||||||||||||||||||||
ZAR 4,927,566 | USD 322,000 | Goldman Sachs Bank USA | 8/10/2016 | 10,145 | — | 10,145 | ||||||||||||||||||||||||
$ | 7,436,561 | ($13,034,334 | ) | ($5,597,773 | ) |
Portfolio | | Contract to Buy | | Contract to Sell | | Counterparty | | Contractual Settlement Date | | Unrealized Appreciation | | Unrealized Depreciation | | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
High Yield Trust | ||||||||||||||||||||||||||||||
CAD 2,322,428 | USD 1,811,051 | Citibank N.A. | 8/12/2016 | — | ($13,202 | ) | ($13,202 | ) | ||||||||||||||||||||||
EUR 822,062 | USD 923,676 | Citibank N.A. | 8/12/2016 | — | (10,141 | ) | (10,141 | ) | ||||||||||||||||||||||
EUR 591,389 | USD 663,332 | UBS AG London | 8/12/2016 | — | (6,137 | ) | (6,137 | ) | ||||||||||||||||||||||
USD 1,122,012 | EUR 978,598 | Citibank N.A. | 8/12/2016 | $ | 34,523 | — | 34,523 | |||||||||||||||||||||||
USD 862,024 | EUR 751,514 | UBS AG London | 8/12/2016 | 26,887 | — | 26,887 | ||||||||||||||||||||||||
$ | 61,410 | ($29,480 | ) | $ | 31,930 |
Portfolio | | Contract to Buy | | Contract to Sell | | Counterparty | | Contractual Settlement Date | | Unrealized Appreciation | | Unrealized Depreciation | | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment Quality Bond Trust | ||||||||||||||||||||||||||||||
BRL 895,000 | USD 278,834 | Goldman Sachs International | 7/5/2016 | — | ($217 | ) | ($217 | ) | ||||||||||||||||||||||
BRL 300,000 | USD 84,715 | Morgan Stanley and Company International PLC | 7/5/2016 | $ | 8,676 | — | 8,676 | |||||||||||||||||||||||
BRL 595,000 | USD 177,347 | Credit Agricole Cib | 7/5/2016 | 7,878 | — | 7,878 | ||||||||||||||||||||||||
CNY 1,110,000 | USD 177,062 | JPMorgan Chase Bank | 7/28/2016 | — | (10,122 | ) | (10,122 | ) | ||||||||||||||||||||||
EUR 75,000 | USD 82,742 | JPMorgan Chase Bank N.A. | 7/29/2016 | 562 | — | 562 | ||||||||||||||||||||||||
EUR 248,000 | USD 274,486 | Royal Bank of Canada | 7/29/2016 | 972 | — | 972 | ||||||||||||||||||||||||
EUR 130,000 | USD 148,968 | Bank of America, N.A. | 3/15/2017 | — | (3,290 | ) | (3,290 | ) | ||||||||||||||||||||||
EUR 75,000 | USD 83,250 | Citibank N.A. | 3/15/2017 | 795 | — | 795 | ||||||||||||||||||||||||
EUR 160,000 | USD 183,459 | UBS AG | 3/15/2017 | — | (4,164 | ) | (4,164 | ) | ||||||||||||||||||||||
GBP 20,000 | USD 26,413 | JPMorgan Chase Bank N.A. | 7/29/2016 | 217 | — | 217 | ||||||||||||||||||||||||
IDR 7,303,000,000 | USD 539,166 | Goldman Sachs International | 9/21/2016 | 6,059 | — | 6,059 | ||||||||||||||||||||||||
MXN 15,850,000 | USD 846,552 | Royal Bank of Canada | 7/20/2016 | 19,185 | — | 19,185 | ||||||||||||||||||||||||
THB 10,840,000 | USD 307,431 | Barclays Bank PLC Wholesale | 9/21/2016 | 658 | — | 658 | ||||||||||||||||||||||||
USD 236,697 | BRL 895,000 | Goldman Sachs International | 7/5/2016 | — | (41,919 | ) | (41,919 | ) | ||||||||||||||||||||||
USD 93,464 | BRL 300,000 | Morgan Stanley and Company International PLC | 7/5/2016 | 73 | — | 73 | ||||||||||||||||||||||||
USD 185,370 | BRL 595,000 | Credit Agricole Cib | 7/5/2016 | 144 | — | 144 | ||||||||||||||||||||||||
USD 175,994 | BRL 595,000 | Credit Agricole Cib | 8/2/2016 | — | (7,625 | ) | (7,625 | ) | ||||||||||||||||||||||
USD 223,027 | BRL 770,000 | BNP Paribas SA | 8/17/2016 | — | (13,539 | ) | (13,539 | ) | ||||||||||||||||||||||
USD 898,775 | BRL 3,390,000 | Morgan Stanley and Company International PLC | 8/17/2016 | — | (142,730 | ) | (142,730 | ) | ||||||||||||||||||||||
USD 135,812 | CNY 895,000 | Deutsche Bank AG London | 7/28/2016 | 1,207 | — | 1,207 | ||||||||||||||||||||||||
USD 32,700 | CNY 215,000 | Goldman Sachs International | 7/28/2016 | 364 | — | 364 | ||||||||||||||||||||||||
USD 151,718 | COP 454,700,000 | State Street Bank and Trust Company | 7/21/2016 | — | (3,383 | ) | (3,383 | ) | ||||||||||||||||||||||
USD 22,538 | EUR 20,000 | Bank of Montreal | 7/29/2016 | 324 | — | 324 | ||||||||||||||||||||||||
USD 1,699,128 | EUR 1,540,000 | JPMorgan Chase Bank N.A. | 7/29/2016 | — | (11,377 | ) | (11,377 | ) | ||||||||||||||||||||||
USD 198,829 | EUR 175,000 | UBS AG | 9/21/2016 | 4,072 | — | 4,072 | ||||||||||||||||||||||||
USD 392,401 | EUR 365,000 | Bank of America, N.A. | 3/15/2017 | — | (16,617 | ) | (16,617 | ) | ||||||||||||||||||||||
USD 650,771 | GBP 494,000 | BNP Paribas SA | 7/29/2016 | — | (6,998 | ) | (6,998 | ) | ||||||||||||||||||||||
USD 133,755 | IDR 1,825,750,000 | Deutsche Bank AG London | 9/21/2016 | — | (2,552 | ) | (2,552 | ) | ||||||||||||||||||||||
USD 268,987 | IDR 3,651,500,000 | HSBC Bank USA | 9/21/2016 | — | (3,625 | ) | (3,625 | ) | ||||||||||||||||||||||
USD 133,951 | IDR 1,825,750,000 | Standard Chartered Bank | 9/21/2016 | — | (2,355 | ) | (2,355 | ) | ||||||||||||||||||||||
USD 1,872,961 | JPY 210,206,000 | Morgan Stanley and Company International PLC | 8/15/2016 | — | (165,185 | ) | (165,185 | ) | ||||||||||||||||||||||
USD 899,194 | MXN 15,850,000 | Bank of America, N.A. | 7/20/2016 | 33,456 | — | 33,456 | ||||||||||||||||||||||||
USD 314,639 | THB 11,080,000 | Bank of America, N.A. | 9/21/2016 | — | (271 | ) | (271 | ) | ||||||||||||||||||||||
USD 458,093 | THB 16,189,000 | Citibank N.A. | 9/21/2016 | — | (2,021 | ) | (2,021 | ) | ||||||||||||||||||||||
USD 174,893 | UYU 5,531,000 | HSBC Bank USA | 9/28/2016 | — | (1,422 | ) | (1,422 | ) | ||||||||||||||||||||||
USD 71,034 | ZAR 1,060,000 | Bank of America, N.A. | 7/20/2016 | — | (720 | ) | (720 | ) | ||||||||||||||||||||||
USD 232,924 | ZAR 3,610,000 | JPMorgan Chase Bank N.A. | 7/20/2016 | — | (11,445 | ) | (11,445 | ) | ||||||||||||||||||||||
$ | 84,642 | ($451,577 | ) | ($366,935 | ) |
Portfolio | | Contract to Buy | | Contract to Sell | | Counterparty | | Contractual Settlement Date | | Unrealized Appreciation | | Unrealized Depreciation | | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
New Income Trust | ||||||||||||||||||||||||||||||
MXN 132,815,000 | USD 7,073,299 | Bank of America, N.A. | 7/5/2016 | $ | 191,278 | — | $ | 191,278 | ||||||||||||||||||||||
USD 7,572,682 | MXN 132,815,000 | Morgan Stanley and Company International PLC | 7/5/2016 | 308,104 | — | 308,104 | ||||||||||||||||||||||||
USD 4,014,554 | MXN 76,130,000 | Bank of America, N.A. | 7/29/2016 | — | ($140,250 | ) | (140,250 | ) | ||||||||||||||||||||||
$ | 499,382 | ($140,250 | ) | $ | 359,132 |
Portfolio | | Contract to Buy | | Contract to Sell | | Counterparty | | Contractual Settlement Date | | Unrealized Appreciation | | Unrealized Depreciation | | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategic Income Opportunities Trust | ||||||||||||||||||||||||||||||
AUD 25,245,000 | USD 18,116,670 | Deutsche Bank AG London | 8/3/2016 | $ | 690,959 | — | $ | 690,959 | ||||||||||||||||||||||
AUD 795,000 | USD 586,987 | State Street Bank and Trust Company | 8/3/2016 | 5,291 | — | 5,291 | ||||||||||||||||||||||||
CAD 12,165,890 | EUR 8,420,000 | Toronto Dominion Bank | 8/3/2016 | 63,780 | — | 63,780 | ||||||||||||||||||||||||
CAD 16,509,295 | GBP 8,665,000 | U.S. Bank | 8/3/2016 | 1,241,905 | — | 1,241,905 | ||||||||||||||||||||||||
CAD 22,165,877 | NZD 25,310,000 | JPMorgan Chase Bank N.A. | 8/3/2016 | — | ($885,457 | ) | (885,457 | ) | ||||||||||||||||||||||
CAD 3,795,746 | NZD 4,235,000 | U.S. Bank | 8/3/2016 | — | (80,937 | ) | (80,937 | ) | ||||||||||||||||||||||
CAD 32,414,676 | USD 25,335,000 | Canadian Imperial Bank of Commerce | 8/3/2016 | — | (242,357 | ) | (242,357 | ) | ||||||||||||||||||||||
CAD 5,085,500 | USD 3,945,000 | Citibank N.A. | 8/3/2016 | — | (8,245 | ) | (8,245 | ) | ||||||||||||||||||||||
CAD 5,472,211 | USD 4,190,000 | Goldman Sachs Bank USA | 8/3/2016 | 46,113 | — | 46,113 | ||||||||||||||||||||||||
CAD 99,703,551 | USD 77,165,000 | Royal Bank of Canada | 8/3/2016 | 16,879 | — | 16,879 | ||||||||||||||||||||||||
CAD 40,025,994 | USD 31,355,000 | Toronto Dominion Bank | 8/3/2016 | — | (370,332 | ) | (370,332 | ) | ||||||||||||||||||||||
EUR 3,780,000 | CAD 5,479,923 | Royal Bank of Canada | 8/3/2016 | — | (42,781 | ) | (42,781 | ) | ||||||||||||||||||||||
EUR 8,420,000 | CAD 12,109,560 | Toronto Dominion Bank | 8/3/2016 | — | (20,175 | ) | (20,175 | ) | ||||||||||||||||||||||
EUR 2,110,000 | GBP 1,672,576 | Toronto Dominion Bank | 8/3/2016 | 116,881 | — | 116,881 | ||||||||||||||||||||||||
EUR 8,190,000 | USD 9,377,550 | Royal Bank of Canada | 8/3/2016 | — | (279,063 | ) | (279,063 | ) | ||||||||||||||||||||||
GBP 8,665,000 | CAD 16,496,418 | U.S. Bank | 8/3/2016 | — | (1,231,937 | ) | (1,231,937 | ) | ||||||||||||||||||||||
GBP 7,809,563 | EUR 10,300,000 | Toronto Dominion Bank | 8/3/2016 | — | (1,043,462 | ) | (1,043,462 | ) | ||||||||||||||||||||||
GBP 17,370,000 | USD 25,033,436 | Deutsche Bank AG London | 8/3/2016 | — | (1,903,842 | ) | (1,903,842 | ) | ||||||||||||||||||||||
GBP 6,317,500 | USD 8,898,253 | Goldman Sachs Bank USA | 8/3/2016 | — | (485,979 | ) | (485,979 | ) | ||||||||||||||||||||||
GBP 340,000 | USD 500,463 | HSBC Bank USA | 8/3/2016 | — | (47,725 | ) | (47,725 | ) | ||||||||||||||||||||||
GBP 6,290,000 | USD 9,143,878 | JPMorgan Chase Bank N.A. | 8/3/2016 | — | (768,222 | ) | (768,222 | ) | ||||||||||||||||||||||
GBP 25,317,500 | USD 36,779,061 | State Street Bank and Trust Company | 8/3/2016 | — | (3,066,714 | ) | (3,066,714 | ) | ||||||||||||||||||||||
MXN 58,045,923 | USD 3,050,000 | State Street Bank and Trust Company | 8/3/2016 | 116,397 | — | 116,397 | ||||||||||||||||||||||||
NZD 2,137,398 | USD 1,517,174 | State Street Bank and Trust Company | 8/3/2016 | 6,651 | — | 6,651 | ||||||||||||||||||||||||
NZD 21,090,000 | USD 14,166,319 | Toronto Dominion Bank | 8/3/2016 | 869,464 | — | 869,464 | ||||||||||||||||||||||||
NZD 13,115,000 | USD 8,890,527 | U.S. Bank | 8/3/2016 | 459,605 | — | 459,605 | ||||||||||||||||||||||||
SGD 4,972,121 | MXN 67,068,000 | Goldman Sachs Bank USA | 8/3/2016 | 31,544 | — | 31,544 | ||||||||||||||||||||||||
USD 32,667,016 | AUD 44,505,471 | Australia and New Zealand Banking Group | 8/3/2016 | — | (489,745 | ) | (489,745 | ) | ||||||||||||||||||||||
USD 18,278,895 | AUD 25,245,000 | Deutsche Bank AG London | 8/3/2016 | — | (528,735 | ) | (528,735 | ) | ||||||||||||||||||||||
USD 13,373,472 | AUD 18,095,000 | Morgan Stanley Capital Services, Inc. | 8/3/2016 | — | (107,378 | ) | (107,378 | ) | ||||||||||||||||||||||
USD 24,540,527 | AUD 33,395,000 | Royal Bank of Canada | 8/3/2016 | — | (338,886 | ) | (338,886 | ) | ||||||||||||||||||||||
USD 6,160,813 | AUD 8,345,000 | State Street Bank and Trust Company | 8/3/2016 | — | (56,247 | ) | (56,247 | ) | ||||||||||||||||||||||
USD 25,335,000 | CAD 32,127,896 | Canadian Imperial Bank of Commerce | 8/3/2016 | 464,357 | — | 464,357 | ||||||||||||||||||||||||
USD 3,945,000 | CAD 5,065,262 | Citibank N.A. | 8/3/2016 | 23,912 | — | 23,912 | ||||||||||||||||||||||||
USD 5,992,000 | CAD 7,753,944 | Goldman Sachs Bank USA | 8/3/2016 | — | (10,434 | ) | (10,434 | ) | ||||||||||||||||||||||
USD 88,780,168 | CAD 115,035,892 | Royal Bank of Canada | 8/3/2016 | — | (270,685 | ) | (270,685 | ) | ||||||||||||||||||||||
USD 46,639,350 | CAD 59,864,335 | Toronto Dominion Bank | 8/3/2016 | 297,551 | — | 297,551 | ||||||||||||||||||||||||
USD 8,415,000 | CAD 10,777,217 | U.S. Bank | 8/3/2016 | 72,210 | — | 72,210 | ||||||||||||||||||||||||
USD 961,655 | EUR 842,146 | Royal Bank of Canada | 8/3/2016 | 26,093 | — | 26,093 | ||||||||||||||||||||||||
USD 4,217,535 | EUR 3,780,000 | U.S. Bank | 8/3/2016 | 18,233 | — | 18,233 | ||||||||||||||||||||||||
USD 25,083,496 | GBP 17,370,000 | Deutsche Bank AG London | 8/3/2016 | 1,953,902 | — | 1,953,902 | ||||||||||||||||||||||||
USD 14,948,621 | GBP 10,470,000 | Goldman Sachs Bank USA | 8/3/2016 | 1,006,949 | — | 1,006,949 | ||||||||||||||||||||||||
USD 12,411,704 | GBP 8,593,280 | HSBC Bank USA | 8/3/2016 | 969,040 | — | 969,040 | ||||||||||||||||||||||||
USD 9,261,237 | GBP 6,360,000 | JPMorgan Chase Bank N.A. | 8/3/2016 | 792,370 | — | 792,370 | ||||||||||||||||||||||||
USD 30,644,754 | GBP 21,095,000 | State Street Bank and Trust Company | 8/3/2016 | 2,555,014 | — | 2,555,014 | ||||||||||||||||||||||||
USD 11,120,808 | MXN 202,170,735 | State Street Bank and Trust Company | 8/3/2016 | 92,424 | — | 92,424 | ||||||||||||||||||||||||
USD 12,039,881 | NOK 98,718,774 | Goldman Sachs Bank USA | 8/3/2016 | 244,155 | — | 244,155 | ||||||||||||||||||||||||
USD 47,825,265 | NZD 70,538,739 | State Street Bank and Trust Company | 8/3/2016 | — | (2,464,214 | ) | (2,464,214 | ) | ||||||||||||||||||||||
USD 14,206,823 | NZD 21,090,000 | Toronto Dominion Bank | 8/3/2016 | — | (828,960 | ) | (828,960 | ) |
Portfolio | | Contract to Buy | | Contract to Sell | | Counterparty | | Contractual Settlement Date | | Unrealized Appreciation | | Unrealized Depreciation | | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategic Income Opportunities Trust (continued) | ||||||||||||||||||||||||||||||
USD 12,357,873 | SEK 100,469,504 | Citibank N.A. | 8/3/2016 | $ | 468,299 | — | $ | 468,299 | ||||||||||||||||||||||
USD 35,603,883 | SGD 48,760,821 | HSBC Bank USA | 8/3/2016 | — | ($584,293 | ) | (584,293 | ) | ||||||||||||||||||||||
$ | 12,649,978 | ($16,156,805 | ) | ($3,506,827 | ) |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CNY | Chinese Yuan Renminbi |
COP | Colombian Peso |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai Baht |
TWD | Taiwan New Dollar |
USD | United States Dollar |
UYU | Uruguayan Peso |
ZAR | South African Rand |
Portfolio | | Market Value Range | | Reason for purchasing options | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | $96.0 thousand to $484.6 thousand | To manage duration of the portfolio, manage against anticipated interest rate changes and maintain diversity and liquidity of the portfolio. | ||||||||
Investment Quality Bond Trust | Up to $19.9 thousand | To manage against currency exchange rates. | ||||||||
Strategic Income Opportunities Trust | $1.1 million to $2.5 million | To manage against anticipated currency exchange rates. |
| AUD Notional Amount | | CHF Notional Amount | | EUR Notional Amount | | GBP Notional Amount | | JPY Notional Amount | | USD Notional Amount | | Premiums Received | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | ||||||||||||||||||||||||||||||
Outstanding, beginning of period | — | — | 19,000,000 | 34,400,000 | — | 40,190,000 | $ | 775,585 | ||||||||||||||||||||||
Options written | 20,780,000 | 12,676,000 | 60,366,158 | 12,100,000 | 1,040,000,000 | 76,116,078 | 1,814,781 | |||||||||||||||||||||||
Option closed | (3,590,000 | ) | (6,200,000 | ) | (19,000,000 | ) | — | — | (14,400,000 | ) | (448,071 | ) | ||||||||||||||||||
Options exercised | — | — | (41 | ) | (12,800,000 | ) | — | (25,300,000 | ) | (247,599 | ) | |||||||||||||||||||
Options expired | — | — | (24,616,000 | ) | (21,600,000 | ) | — | (35,006,078 | ) | (664,519 | ) | |||||||||||||||||||
Outstanding, end of period | 17,190,000 | 6,476,000 | 35,750,117 | 12,100,000 | 1,040,000,000 | 41,600,000 | $ | 1,230,177 |
Portfolio | | Name of Issuer | | Exercise Price | | Expiration Date | | Number of Contracts | | Premium | | Value | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | CALLS | |||||||||||||||||||||||||
Eurodollar Futures | 116.50 | Jul 2016 | EUR 117 | $ | 39,836 | ($150,311 | ) | |||||||||||||||||||
$ | 39,836 | ($150,311 | ) | |||||||||||||||||||||||
Portfolio | | Description | | Counterparty | | Exercise Rate | | Expiration Date | | | Notional Amount | | Premium | | Value | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | CALLS | |||||||||||||||||||||||||||||||||
Australian Dollar versus U.S. Dollar | Bank of America N.A. | 0.80 | Jul 2016 | AUD | 500,000 | $ | 3,516 | ($52 | ) | |||||||||||||||||||||||||
Australian Dollar versus U.S. Dollar | Bank of America N.A. | 0.80 | Aug 2016 | AUD | 1,800,000 | 13,837 | (311 | ) | ||||||||||||||||||||||||||
Australian Dollar versus U.S. Dollar | Bank of America N.A. | 0.78 | Aug 2016 | AUD | 2,100,000 | 15,583 | (1,720 | ) | ||||||||||||||||||||||||||
Australian Dollar versus U.S. Dollar | Citibank N.A. | 0.80 | Jul 2016 | AUD | 1,000,000 | 7,105 | (92 | ) | ||||||||||||||||||||||||||
Australian Dollar versus U.S. Dollar | Deutsche Bank AG | 0.80 | Jul 2016 | AUD | 1,400,000 | 10,593 | (184 | ) | ||||||||||||||||||||||||||
British Pound versus U.S. Dollar | Bank of America N.A. | 1.38 | Sep 2016 | GBP | 900,000 | 38,765 | (16,619 | ) | ||||||||||||||||||||||||||
British Pound versus U.S. Dollar | BNP PARIBAS | 1.37 | Sep 2016 | GBP | 1,000,000 | 45,458 | (21,014 | ) | ||||||||||||||||||||||||||
Euro versus Japanese Yen | Citibank N.A. | 113.15 | Sep 2016 | EUR | 1,300,000 | 48,170 | (48,666 | ) | ||||||||||||||||||||||||||
Euro versus U.S. Dollar | Deutsche Bank AG | 1.14 | Sep 2016 | EUR | 3,414,000 | 57,608 | (32,935 | ) | ||||||||||||||||||||||||||
Euro versus U.S. Dollar | Standard Chartered Bank, London | 1.16 | Jul 2016 | EUR | 2,650,000 | 10,022 | (15 | ) | ||||||||||||||||||||||||||
Euro versus U.S. Dollar | Standard Chartered Bank, London | 1.14 | Sep 2016 | EUR | 2,386,000 | 38,493 | (23,018 | ) | ||||||||||||||||||||||||||
Swiss Franc versus Swedish Krona | Bank of America N.A. | 8.60 | Jul 2016 | CHF | 3,476,000 | 26,851 | (50,914 | ) | ||||||||||||||||||||||||||
Swiss Franc versus Swedish Krona | JPMorgan Chase | 8.60 | Jul 2016 | CHF | 3,000,000 | 25,342 | (44,694 | ) | ||||||||||||||||||||||||||
U.S. Dollar versus Japanese Yen | JPMorgan Chase | 114.00 | Aug 2016 | USD | 3,400,000 | 24,582 | (2,156 | ) | ||||||||||||||||||||||||||
U.S. Dollar versus Brazilian Real | Credit Suisse International | 6.30 | Jan 2018 | USD | 1,300,000 | 69,225 | (13,820 | ) | ||||||||||||||||||||||||||
$ | 435,150 | ($256,210 | ) | |||||||||||||||||||||||||||||||
PUTS | ||||||||||||||||||||||||||||||||||
Australian Dollar versus U.S. Dollar | Bank of America N.A. | 0.73 | Jul 2016 | AUD | 500,000 | $ | 3,882 | ($2,202 | ) | |||||||||||||||||||||||||
Australian Dollar versus U.S. Dollar | Bank of America N.A. | 0.73 | Aug 2016 | AUD | 1,800,000 | 12,810 | (7,303 | ) | ||||||||||||||||||||||||||
Australian Dollar versus U.S. Dollar | Bank of America N.A. | 0.72 | Aug 2016 | AUD | 2,100,000 | 15,583 | (5,287 | ) | ||||||||||||||||||||||||||
Australian Dollar versus U.S. Dollar | Citibank N.A. | 0.74 | Jul 2016 | AUD | 3,590,000 | 26,661 | (21,010 | ) | ||||||||||||||||||||||||||
Australian Dollar versus U.S. Dollar | Citibank N.A. | 0.73 | Jul 2016 | AUD | 1,000,000 | 7,563 | (4,630 | ) | ||||||||||||||||||||||||||
Australian Dollar versus U.S. Dollar | Deutsche Bank AG | 0.73 | Jul 2016 | AUD | 1,400,000 | 9,814 | (5,204 | ) | ||||||||||||||||||||||||||
British Pound versus U.S. Dollar | Bank of America N.A. | 1.38 | Sep 2016 | GBP | 900,000 | 44,148 | (57,190 | ) | ||||||||||||||||||||||||||
British Pound versus U.S. Dollar | Bank of America N.A. | 1.30 | Sep 2016 | GBP | 3,500,000 | 87,645 | (88,673 | ) | ||||||||||||||||||||||||||
British Pound versus U.S. Dollar | Bank of America N.A. | 1.26 | Sep 2016 | GBP | 3,500,000 | 51,525 | (51,561 | ) | ||||||||||||||||||||||||||
British Pound versus U.S. Dollar | BNP PARIBAS | 1.37 | Sep 2016 | GBP | 1,000,000 | 45,471 | (58,603 | ) | ||||||||||||||||||||||||||
British Pound versus U.S. Dollar | Nomura Global Financial Products, Inc. | 1.35 | Aug 2016 | GBP | 1,300,000 | 32,837 | (50,278 | ) | ||||||||||||||||||||||||||
Euro versus Japanese Yen | Citibank N.A. | 113.15 | Sep 2016 | EUR | 1,300,000 | 43,843 | (29,849 | ) | ||||||||||||||||||||||||||
Euro versus U.S. Dollar | Deutsche Bank AG | 1.05 | Sep 2016 | EUR | 3,414,000 | 25,831 | (16,333 | ) | ||||||||||||||||||||||||||
Euro versus U.S. Dollar | Standard Chartered Bank, London | 1.10 | Jul 2016 | EUR | 5,300,000 | 13,333 | (12,746 | ) | ||||||||||||||||||||||||||
Euro versus U.S. Dollar | Standard Chartered Bank, London | 1.05 | Sep 2016 | EUR | 2,386,000 | 17,171 | (11,415 | ) | ||||||||||||||||||||||||||
U.S. Dollar versus Japanese Yen | JPMorgan Chase | 106.50 | Aug 2016 | USD | 3,400,000 | 32,504 | (138,261 | ) | ||||||||||||||||||||||||||
U.S. Dollar versus Korean Won | Nomura Global Financial Products, Inc. | 1,145.00 | Jan 2017 | USD | 1,500,000 | 38,177 | (45,495 | ) | ||||||||||||||||||||||||||
U.S. Dollar versus Korean Won | UBS AG Stamford | 1,145.00 | Jan 2017 | USD | 2,200,000 | 49,258 | (65,934 | ) | ||||||||||||||||||||||||||
$ | 558,056 | ($671,974 | ) | |||||||||||||||||||||||||||||||
Portfolio | | Description | | Counterparty | | Floating Rate Index | | Pay/Receive Floating Rate | | Excercise Rate | | Expiration Date | | | Notional Amount | | Premium | | Value | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | CALLS | |||||||||||||||||||||||||||||||||||||||||
5-Year Interest Rate Swap | Citibank N.A. | 3-Month USD LIBOR | Receive | 0.77% | Dec 2016 | USD | 11,200,000 | $ | 45,920 | ($45,920 | ) | |||||||||||||||||||||||||||||||
5-Year Interest Rate Swap | Morgan Stanley Capital Services LLC | 3-Month USD LIBOR | Receive | 0.77% | Dec 2016 | USD | 16,600,000 | 70,758 | (65,655 | ) | ||||||||||||||||||||||||||||||||
$ | 116,678 | ($111,575 | ) | |||||||||||||||||||||||||||||||||||||||
PUTS | ||||||||||||||||||||||||||||||||||||||||||
2-Year Interest Rate Swap | JPMorgan Chase | 6-Month JPY LIBOR | Receive | 0.00% | Mar 2017 | JPY | 1,040,000,000 | $ | 10,985 | ($7,022 | ) | |||||||||||||||||||||||||||||||
$ | 10,985 | ($7,022 | ) |
Portfolio | | Description | | Counterparty | | Index | | Buy/Sell Protection | | Excercise Rate | | Expiration Date | | | Notional Amount | | Premium | | Value | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | PUTS | |||||||||||||||||||||||||||||||||||||||||
5-Year Credit Default Swap | Deutsche Bank AG | ITRAXX.O | Sell | 1.25% | Sep 2016 | EUR | 2,000,000 | $ | 5,983 | ($2,126 | ) | |||||||||||||||||||||||||||||||
5-Year Credit Default Swap | Citibank N.A. | ITRAXX.O | Sell | 1.25% | Sep 2016 | EUR | 8,000,000 | 26,481 | (8,503 | ) | ||||||||||||||||||||||||||||||||
5-Year Credit Default Swap | BNP PARIBAS | ITRAXX.O | Sell | 1.25% | Sep 2016 | EUR | 3,600,000 | 11,208 | (3,827 | ) | ||||||||||||||||||||||||||||||||
$ | 43,672 | ($14,456 | ) |
Portfolio | | Description | | Counterparty | | Initial Index | | Exercise Index | | Expiration Date | | | Notional Amount | | Premium | | Value | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | Floor- OTC CPURNSA Index | Citibank N.A. | 217.965 | Maximum of ((1+0.0%)10— (Final Index/Initial Index)) or $0 | Sep 2020 | USD | 2,000,000 | $ | 25,800 | ($313 | ) | |||||||||||||||||||||||||||
$ | 25,800 | ($313 | ) |
Portfolio | | Counterparty | | Notional Amount | | Currency | | USD Notional Amount | | Payments Made by Portfolio | | Payments Received by Portfolio | | Maturity Date | | Unamortized Upfront Payment Paid (Received) | | Unrealized Appreciation (Depreciation) | | Market Value | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | |||||||||||||||||||||||||||||||||||||||||||
Deutsche Bank AG | 12,700,000 | JPY | $3,650,849 | BRL-CDI | Fixed 12.36% | Jan 2021 | ($16,616 | ) | $ | 65,169 | $ | 48,553 | |||||||||||||||||||||||||||||||
Exchange-Cleared Swaps | |||||||||||||||||||||||||||||||||||||||||||
9,700,000 | AUD | 7,048,020 | Fixed 3.50% | AUD-BBR-BBSW | Dec 2025 | (236,949 | ) | (610,080 | ) | (847,029 | ) | ||||||||||||||||||||||||||||||||
100,000 | AUD | 71,875 | Fixed 3.25% | AUD-BBR-BBSW | Jun 2026 | (778 | ) | (6,522 | ) | (7,300 | ) | ||||||||||||||||||||||||||||||||
19,400,000 | BRL | 5,586,596 | Fixed 12.36% | BRL-CDI | Jan 2021 | (33,452 | ) | 96,896 | 63,444 | ||||||||||||||||||||||||||||||||||
3,200,000 | BRL | 916,118 | Fixed 12.80% | BRL-CDI | Jan 2025 | 711 | 23,465 | 24,176 | |||||||||||||||||||||||||||||||||||
21,100,000 | CAD | 15,739,549 | Fixed 2.20% | CAD-BA-CDOR | Jun 2026 | (1,070,025 | ) | (373,778 | ) | (1,443,803 | ) | ||||||||||||||||||||||||||||||||
24,600,000 | EUR | 27,435,148 | EUR-EURIBOR-Reuters | 0.00% | Sep 2021 | (200,692 | ) | 274,257 | 73,565 | ||||||||||||||||||||||||||||||||||
5,400,000 | EUR | 6,046,382 | EUR-EURIBOR-Reuters | Fixed 0.75% | Sep 2026 | 68,812 | 117,875 | 186,687 | |||||||||||||||||||||||||||||||||||
7,650,000 | EUR | 8,602,039 | Fixed 1.25% | EUR-EURIBOR-Reuters | Mar 2047 | (344,166 | ) | (504,310 | ) | (848,476 | ) | ||||||||||||||||||||||||||||||||
2,400,000 | EUR | 2,709,960 | Fixed 2.307% | EUR-EURIBOR-Reuters | Oct 2044 | (303,375 | ) | (242,638 | ) | (546,013 | ) | ||||||||||||||||||||||||||||||||
11,300,000 | GBP | 16,244,314 | Fixed 1.00% | GBP-LIBOR-BBA | Sep 2018 | (25,243 | ) | (137,287 | ) | (162,530 | ) | ||||||||||||||||||||||||||||||||
23,100,000 | GBP | 36,048,689 | Fixed 1.750% | GBP-LIBOR-BBA | Sep 2018 | 20,641 | (812,861 | ) | (792,220 | ) | |||||||||||||||||||||||||||||||||
21,500,000 | GBP | 30,753,132 | GBP-LIBOR-BBA | Fixed 1.250% | Sep 2021 | 88,495 | 840,001 | 928,496 | |||||||||||||||||||||||||||||||||||
1,100,000 | GBP | 1,569,590 | GBP-LIBOR-BBA | Fixed 1.5% | Sep 2026 | (7,681 | ) | 78,520 | 70,839 | ||||||||||||||||||||||||||||||||||
1,500,000 | GBP | 2,173,126 | Fixed 1.75% | GBP-LIBOR-BBA | Mar 2047 | (36,597 | ) | (240,186 | ) | (276,783 | ) | ||||||||||||||||||||||||||||||||
11,600,000,000 | JPY | 96,661,387 | JPY-LIBOR-BBA | Fixed 0.15% | Mar 2018 | 34,148 | 540,796 | 574,944 | |||||||||||||||||||||||||||||||||||
1,790,000,000 | JPY | 17,039,093 | Fixed 0.30% | JPY-LIBOR-BBA | Mar 2026 | (491,551 | ) | (96,670 | ) | (588,221 | ) | ||||||||||||||||||||||||||||||||
1,740,000,000 | JPY | 16,787,197 | JPY-LIBOR-BBA | Fixed 1.50% | Jun 2033 | 279,060 | 3,734,047 | 4,013,107 | |||||||||||||||||||||||||||||||||||
10,000,000 | JPY | 85,255 | JPY-LIBOR-BBA | Fixed 1.50% | Dec 2044 | (3,463 | ) | (32,665 | ) | (36,128 | ) | ||||||||||||||||||||||||||||||||
620,000,000 | JPY | 5,448,830 | Fixed 1.507% | JPY-LIBOR-BBA | Dec 2045 | (1,175,604 | ) | (1,136,761 | ) | (2,312,365 | ) | ||||||||||||||||||||||||||||||||
190,300,000 | MXN | 13,486,172 | MXN-TIIE-Banxico | Fixed 4.30% | Sep 2016 | 8,681 | (8,544 | ) | 137 | ||||||||||||||||||||||||||||||||||
46,200,000 | MXN | 2,674,052 | Fixed 5.61% | MXN-TIIE-Banxico | Jul 2021 | (33,937 | ) | 24,643 | (9,294 | ) | |||||||||||||||||||||||||||||||||
1,700,000 | SEK | 207,683 | SEK-STIBOR-SIDE | Fixed 1.01% | Jan 2025 | — | 8,393 | 8,393 | |||||||||||||||||||||||||||||||||||
1,400,000 | SEK | 171,033 | SEK-STIBOR-SIDE | Fixed 1.02% | Jan 2025 | — | 7,060 | 7,060 | |||||||||||||||||||||||||||||||||||
3,000,000 | SEK | 366,499 | SEK-STIBOR-SIDE | Fixed 1.03% | Jan 2025 | — | 15,550 | 15,550 | |||||||||||||||||||||||||||||||||||
3,400,000 | SEK | 413,075 | SEK-STIBOR-SIDE | Fixed 1.08% | Jan 2025 | — | 19,158 | 19,158 | |||||||||||||||||||||||||||||||||||
4,000,000 | SEK | 485,971 | SEK-STIBOR-SIDE | Fixed 1.085% | Jan 2025 | — | 22,750 | 22,750 | |||||||||||||||||||||||||||||||||||
34,900,000 | USD | 34,900,000 | Fixed 1.25% | USD-LIBOR-BBA | Jun 2018 | (196,277 | ) | (161,593 | ) | (357,870 | ) | ||||||||||||||||||||||||||||||||
5,400,000 | USD | 5,400,000 | Fixed 2.00% | USD-LIBOR-BBA | Dec 2020 | 21,435 | (273,733 | ) | (252,298 | ) | |||||||||||||||||||||||||||||||||
49,900,000 | USD | 49,900,000 | Fixed 2.00% | USD-LIBOR-BBA | Jun 2021 | (1,847,257.00 | ) | (628,093 | ) | (2,475,350 | ) | ||||||||||||||||||||||||||||||||
9,400,000 | USD | 9,400,000 | Fixed 2.30% | USD-LIBOR-BBA | Jan 2023 | (34,892 | ) | (749,368 | ) | (784,260 | ) | ||||||||||||||||||||||||||||||||
35,700,000 | USD | 35,700,000 | Fixed 2.00% | USD-LIBOR-BBA | Jun 2023 | (1,301,874 | ) | (762,385 | ) | (2,064,259 | ) | ||||||||||||||||||||||||||||||||
62,000,000 | USD | 62,000,000 | Fixed 1.75% | USD-LIBOR-BBA | Dec 2023 | (1,304,200 | ) | (861,293 | ) | (2,165,493 | ) | ||||||||||||||||||||||||||||||||
21,900,000 | USD | 21,900,000 | Fixed 1.75% | USD-LIBOR-BBA | Dec 2023 | (482,816 | ) | (250,806 | ) | (733,622 | ) | ||||||||||||||||||||||||||||||||
10,400,000 | USD | 10,400,000 | Fixed 2.25% | USD-LIBOR-BBA | Jun 2026 | (517,364.00 | ) | (342,478 | ) | (859,842 | ) | ||||||||||||||||||||||||||||||||
78,200,000 | USD | 78,200,000 | Fixed 1.75% | USD-LIBOR-BBA | Dec 2026 | (1,539,271 | ) | (622,631 | ) | (2,161,902 | ) | ||||||||||||||||||||||||||||||||
2,400,000 | USD | 2,400,000 | USD-LIBOR-BBA | Fixed 2.50% | Jun 2036 | 92,868 | 221,503 | 314,371 | |||||||||||||||||||||||||||||||||||
6,500,000 | USD | 6,500,000 | Fixed 2.0975% | USD-LIBOR-BBA | Jul 2041 | 15,795 | — | 15,795 | |||||||||||||||||||||||||||||||||||
2,000,000 | USD | 2,000,000 | USD-LIBOR-BBA | Fixed 2.50% | Jun 2046 | 122,341 | 187,079 | 309,420 | |||||||||||||||||||||||||||||||||||
1,100,000 | USD | 1,100,000 | Fixed 2.25% | USD-LIBOR-BBA | Dec 2046 | (96,603 | ) | 190,650 | 94,047 | ||||||||||||||||||||||||||||||||||
$638,221,634 | ($10,547,696 | ) | ($2,386,870 | ) | ($12,934,566 | ) |
Portfolio | | Counterparty | | Notional Amount | | Currency | | USD Notional Amount | | Payments Made by Portfolio | | Payments Received by Portfolio | | Maturity Date | | Unamortized Upfront Payment Paid (Received) | | Unrealized Appreciation (Depreciation) | | Market Value | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment Quality Bond Trust | |||||||||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 5,100,000 | USD | $5,100,000 | Fixed 4.3175% | USD-LIBOR-BBA | Dec 2028 | — | ($1,691,132 | ) | ($1,691,132 | ) | ||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 2,100,000 | USD | 2,100,000 | Fixed 3.425% | USD-LIBOR-BBA | Jun 2039 | — | (692,088 | ) | (692,088 | ) | ||||||||||||||||||||||||||||||||
Exchange-Cleared Swaps | |||||||||||||||||||||||||||||||||||||||||||
4,989,000 | USD | 4,989,000 | Fixed 1.63375% | USD-LIBOR-BBA | Jun 2039 | — | (126,895 | ) | (126,895 | ) | |||||||||||||||||||||||||||||||||
$12,189,000 | — | ($2,510,115 | ) | ($2,510,115 | ) |
BBA | The British Bankers’ Association |
CDI | Brazil Interbank Deposit Rate |
EURIBOR | Euro Interbank Offered Rate |
LIBOR | London Interbank Offered Rate |
STIBOR | Stockholm Interbank Offered Rate |
TIIE | Tasa de Interes Interbancaria de Equilibrio (Interbank Equilibrium Interest Rate) |
Portfolio | | Counterparty | | Receive | | Pay | | Maturity Date* | | | Notional Amount of Currency Received | | Notional Amount of Currency Paid | | Unamortized Upfront Payment Paid (Received) | | Unrealized Appreciation (Depreciation) | | Market Value | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | |||||||||||||||||||||||||||||||||||||||||||
Bank of America | Floating rate equal to 3 Month GBP-LIBOR less 0.1500% based on the notional amount of the currency received | Floating rate equal to 3 Month USD-LIBOR based on the notional amount of currency delivered | Mar 2019 | GBP | 11,300,000 | $ | 16,068,300 | ($10,862 | ) | ($1,023,313 | ) | ($1,034,175 | ) | ||||||||||||||||||||||||||||||
Bank of America | Floating rate equal to 3 Month EUR-LIBOR less 0.5000% based on the notional amount of the currency received | Floating rate equal to 3 Month USD-LIBOR based on the notional amount of currency delivered | Sep 2021 | EUR | 13,200,000 | 14,308,800 | 34,972 | 271,358 | 306,330 | ||||||||||||||||||||||||||||||||||
Bank of America | Floating rate equal to 3 Month EUR-LIBOR less 0.5000% based on the notional amount of the currency received | Floating rate equal to 3 Month USD-LIBOR based on the notional amount of currency delivered | Sep 2026 | EUR | 2,200,000 | 2,384,800 | 68,750 | (26,724 | ) | 42,026 | |||||||||||||||||||||||||||||||||
BNP Paribas | Floating rate equal to 3 Month EUR-LIBOR less 0.5000% based on the notional amount of the currency received | Floating rate equal to 3 Month USD-LIBOR based on the notional amount of currency delivered | Sep 2021 | EUR | 11,800,000 | 12,791,200 | 368,749 | (94,908 | ) | 273,841 | |||||||||||||||||||||||||||||||||
Citibank | Floating rate equal to 3 Month EUR-LIBOR less 0.5000% based on the notional amount of the currency received | Floating rate equal to 3 Month USD-LIBOR based on the notional amount of currency delivered | Sep 2021 | EUR | 5,500,000 | 5,962,000 | 66,824 | 60,814 | 127,638 | ||||||||||||||||||||||||||||||||||
Citibank N.A. | Floating rate equal to 3 Month GBP-LIBOR less 0.1400% based on the notional amount of the currency received | Floating rate equal to 3 Month USD-LIBOR based on the notional amount of currency delivered | Mar 2019 | GBP | 8,200,000 | 11,562,000 | 40,916 | (690,505 | ) | (649,589 | ) | ||||||||||||||||||||||||||||||||
Citibank N.A. | Floating rate equal to 3 Month EUR-LIBOR less 0.5000% based on the notional amount of the currency received | Floating rate equal to 3 Month USD-LIBOR based on the notional amount of currency delivered | Sep 2026 | EUR | 11,790,000 | 12,780,360 | 195,119 | 30,104 | 225,223 | ||||||||||||||||||||||||||||||||||
Deutsche Bank AG | Floating rate equal to 3 Month EUR-LIBOR less 0.5000% based on the notional amount of the currency received | Floating rate equal to 3 Month USD-LIBOR based on the notional amount of currency delivered | Sep 2021 | EUR | 11,600,000 | 12,574,400 | 276,796 | (7,597 | ) | 269,199 | |||||||||||||||||||||||||||||||||
Goldman Sachs | Floating rate equal to 3 Month USD-LIBOR based on the notional amount of currency received | Floating rate equal to 3 Month JPY-LIBOR less 0.7550% based on the notional amount of the currency delivered | Sep 2018 | USD | 5,544,747 | 570,000,000 | 24,968 | — | 24,968 | ||||||||||||||||||||||||||||||||||
Goldman Sachs | Floating rate equal to 3 Month GBP-LIBOR less 0.1200% based on the notional amount of the currency received | Floating rate equal to 3 Month USD-LIBOR based on the notional amount of currency delivered | Mar 2019 | GBP | 12,500,000 | 18,096,100 | (166,898 | ) | (1,287,705 | ) | (1,454,603 | ) | |||||||||||||||||||||||||||||||
Goldman Sachs | Floating rate equal to 3 Month EUR-LIBOR less 0.4200% based on the notional amount of the currency received | Floating rate equal to 3 Month USD-LIBOR based on the notional amount of currency delivered | Sep 2026 | EUR | 700,000 | 758,800 | 26,846 | (7,004 | ) | 19,842 | |||||||||||||||||||||||||||||||||
UBS AG Stamford | Floating rate equal to 3 Month EUR-LIBOR less 0.4300% based on the notional amount of the currency received | Floating rate equal to 3 Month USD-LIBOR based on the notional amount of currency delivered | Mar 2026 | EUR | 1,600,000 | 1,801,600 | (960 | ) | (23,137 | ) | (24,097 | ) | |||||||||||||||||||||||||||||||
$ | 925,220 | ($2,798,617 | ) | ($1,873,397 | ) |
* | At the maturity date, the notional amount of the currency received will be exchanged back for the notional amount of the currency delivered. |
Portfolio | | Counterparty | | Reference Obligation | | Notional Amount | | Currency | | USD Notional Amount | | (Pay)/ Receive Fixed Rate | | Maturity Date | | Unamortized Upfront Payment Paid (Received) | | Unrealized Appreciation (Depreciation) | | Market Value | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | |||||||||||||||||||||||||||||||||||||||||||
Bank of America N.A. | Computer Sciences Corp. | 2,050,000 | USD | $ | 2,050,000 | (0.970 | )% | Mar 2018 | — | ($27,918 | ) | ($27,918 | ) | ||||||||||||||||||||||||||||||
Bank of America N.A. | Intesa San Paolo SPA | 1,200,000 | USD | 1,200,000 | (1.000 | )% | Mar 2026 | $ | 191,532 | 54,969 | 246,501 | ||||||||||||||||||||||||||||||||
Bank of America N.A. | Reynolds American, Inc. | 200,000 | USD | 200,000 | (1.000 | )% | Dec 2020 | (5,337 | ) | (307 | ) | (5,644 | ) | ||||||||||||||||||||||||||||||
Bank of America N.A. | Starwood Hotels & Resorts Worldwide, Inc. | 3,000,000 | USD | 3,000,000 | (1.490 | )% | Jun 2018 | — | (84,215 | ) | (84,215 | ) | |||||||||||||||||||||||||||||||
Bank of America N.A. | Veolia Environment | 100,000 | EUR | 112,945 | (1.000 | )% | Dec 2020 | (596 | ) | (1,259 | ) | (1,855 | ) | ||||||||||||||||||||||||||||||
Barclays Capital | Altria Group, Inc. | 400,000 | USD | 400,000 | (1.000 | )% | Dec 2020 | (12,618 | ) | (133 | ) | (12,751 | ) | ||||||||||||||||||||||||||||||
Barclays Capital | BASF SE | 200,000 | EUR | 220,240 | (1.000 | )% | Dec 2020 | (3,812 | ) | (1,436 | ) | (5,248 | ) | ||||||||||||||||||||||||||||||
Barclays Capital | Bayer Aktiengesellschaft | 200,000 | EUR | 218,730 | (1.000 | )% | Dec 2020 | (4,181 | ) | (21 | ) | (4,202 | ) | ||||||||||||||||||||||||||||||
Barclays Capital | British American Tobacco PLC | 100,000 | EUR | 109,365 | (1.000 | )% | Dec 2020 | (2,090 | ) | (136 | ) | (2,226 | ) | ||||||||||||||||||||||||||||||
Barclays Capital | Koninklijke DSM N.V. | 300,000 | EUR | 328,095 | (1.000 | )% | Dec 2020 | (6,271 | ) | (3,269 | ) | (9,540 | ) | ||||||||||||||||||||||||||||||
Barclays Capital | Reynolds American, Inc. | 500,000 | USD | 500,000 | (1.000 | )% | Dec 2020 | (13,698 | ) | (412 | ) | (14,110 | ) | ||||||||||||||||||||||||||||||
Barclays Capital | Springleaf Finance Corp. | 1,400,000 | USD | 1,400,000 | (5.000 | )% | Jun 2020 | (122,279 | ) | 135,882 | 13,603 | ||||||||||||||||||||||||||||||||
Barclays Capital | UnitedHealth Group, Inc. | 400,000 | USD | 400,000 | (1.000 | )% | Dec 2020 | (12,278 | ) | 336 | (11,942 | ) | |||||||||||||||||||||||||||||||
BNP Paribas | BASF SE | 100,000 | EUR | 110,060 | (1.000 | )% | Dec 2020 | (1,806 | ) | (818 | ) | (2,624 | ) | ||||||||||||||||||||||||||||||
BNP Paribas | Koninklijke DSM N.V. | 200,000 | EUR | 219,230 | (1.000 | )% | Dec 2020 | (4,294 | ) | (2,066 | ) | (6,360 | ) | ||||||||||||||||||||||||||||||
BNP Paribas | TeliaSonera Aktiebolag | 300,000 | EUR | 338,835 | (1.000 | )% | Dec 2020 | (2,388 | ) | (5,388 | ) | (7,776 | ) | ||||||||||||||||||||||||||||||
BNP Paribas | UBS AG | 500,000 | USD | 500,000 | (1.000 | )% | Mar 2017 | — | (354 | ) | (354 | ) | |||||||||||||||||||||||||||||||
BNP Paribas | UBS AG | 1,300,000 | USD | 1,300,000 | (1.000 | )% | Mar 2017 | 1,865 | (2,784 | ) | (919 | ) | |||||||||||||||||||||||||||||||
BNP Paribas | Veolia Environment | 100,000 | EUR | 112,945 | (1.000 | )% | Dec 2020 | (546 | ) | (1,309 | ) | (1,855 | ) | ||||||||||||||||||||||||||||||
Citibank N.A. | Altria Group, Inc. | 100,000 | USD | 100,000 | (1.000 | )% | Dec 2020 | (3,118 | ) | (70 | ) | (3,188 | ) | ||||||||||||||||||||||||||||||
Citibank N.A. | Bayer Aktiengesellschaft | 300,000 | EUR | 338,835 | (1.000 | )% | Dec 2020 | (5,876 | ) | (427 | ) | (6,303 | ) | ||||||||||||||||||||||||||||||
Citibank N.A. | British American Tobacco PLC | 300,000 | EUR | 338,835 | (1.000 | )% | Dec 2020 | (6,182 | ) | (497 | ) | (6,679 | ) | ||||||||||||||||||||||||||||||
Citibank N.A. | UBS AG | 1,300,000 | USD | 1,300,000 | (1.000 | )% | Mar 2017 | 279 | (1,198 | ) | (919 | ) | |||||||||||||||||||||||||||||||
Citibank N.A. | UnitedHealth Group, Inc. | 300,000 | USD | 300,000 | (1.000 | )% | Dec 2020 | (8,656 | ) | (301 | ) | (8,957 | ) | ||||||||||||||||||||||||||||||
Credit Suisse International | Altria Group, Inc. | 400,000 | USD | 400,000 | (1.000 | )% | Dec 2020 | (12,112 | ) | (639 | ) | (12,751 | ) | ||||||||||||||||||||||||||||||
Credit Suisse International | Reynolds American, Inc. | 500,000 | USD | 500,000 | (1.000 | )% | Dec 2020 | (13,779 | ) | (331 | ) | (14,110 | ) | ||||||||||||||||||||||||||||||
Goldman Sachs International | Altria Group, Inc. | 300,000 | USD | 300,000 | (1.000 | )% | Dec 2020 | (9,194 | ) | (370 | ) | (9,564 | ) | ||||||||||||||||||||||||||||||
Goldman Sachs International | BASF SE | 100,000 | EUR | 112,285 | (1.000 | )% | Dec 2020 | (2,556 | ) | (68 | ) | (2,624 | ) | ||||||||||||||||||||||||||||||
Goldman Sachs International | British American Tobacco PLC | 200,000 | EUR | 219,230 | (1.000 | )% | Dec 2020 | (4,492 | ) | 39 | (4,453 | ) | |||||||||||||||||||||||||||||||
Goldman Sachs International | Koninklijke DSM N.V. | 400,000 | EUR | 451,780 | (1.000 | )% | Dec 2020 | (8,141 | ) | (4,579 | ) | (12,720 | ) | ||||||||||||||||||||||||||||||
Goldman Sachs International | Reynolds American, Inc. | 100,000 | USD | 100,000 | (1.000 | )% | Dec 2020 | (2,824 | ) | 2 | (2,822 | ) | |||||||||||||||||||||||||||||||
Goldman Sachs International | SAB Miller PLC | 200,000 | USD | 200,000 | (1.000 | )% | Jan 2022 | (5,224 | ) | (1,942 | ) | (7,166 | ) | ||||||||||||||||||||||||||||||
Goldman Sachs International | United Utilities PLC | 200,000 | EUR | 225,890 | (1.000 | )% | Dec 2020 | (396 | ) | (2,449 | ) | (2,845 | ) | ||||||||||||||||||||||||||||||
Goldman Sachs International | Veolia Environment | 100,000 | EUR | 112,945 | (1.000 | )% | Dec 2020 | (447 | ) | (1,408 | ) | (1,855 | ) | ||||||||||||||||||||||||||||||
JPMorgan Chase Bank | Ally Financial, Inc. | 1,300,000 | USD | 1,300,000 | (5.000 | )% | Jun 2018 | (79,205 | ) | (4,618 | ) | (83,823 | ) | ||||||||||||||||||||||||||||||
JPMorgan Chase Bank | Altria Group, Inc. | 300,000 | USD | 300,000 | (1.000 | )% | Dec 2020 | (9,052 | ) | (512 | ) | (9,564 | ) | ||||||||||||||||||||||||||||||
JPMorgan Chase Bank | British American Tobacco PLC | 200,000 | EUR | 218,730 | (1.000 | )% | Dec 2020 | (4,131 | ) | (322 | ) | (4,453 | ) | ||||||||||||||||||||||||||||||
JPMorgan Chase Bank | Fortum OYJ | 200,000 | EUR | 225,890 | (1.000 | )% | Dec 2020 | (396 | ) | (2,519 | ) | (2,915 | ) | ||||||||||||||||||||||||||||||
JPMorgan Chase Bank | Koninklijke DSM N.V. | 100,000 | EUR | 109,615 | (1.000 | )% | Dec 2020 | (2,196 | ) | (984 | ) | (3,180 | ) | ||||||||||||||||||||||||||||||
JPMorgan Chase Bank | Pfizer, Inc. | 700,000 | USD | 700,000 | (1.000 | )% | Dec 2020 | (24,368 | ) | 406 | (23,962 | ) | |||||||||||||||||||||||||||||||
JPMorgan Chase Bank | Reynolds American, Inc. | 100,000 | USD | 100,000 | (1.000 | )% | Dec 2020 | (2,757 | ) | (65 | ) | (2,822 | ) | ||||||||||||||||||||||||||||||
JPMorgan Chase Bank | UnitedHealth Group, Inc. | 300,000 | USD | 300,000 | (1.000 | )% | Dec 2020 | (8,520 | ) | (437 | ) | (8,957 | ) | ||||||||||||||||||||||||||||||
Morgan Stanley Capital Services Inc. | Pfizer, Inc. | 300,000 | USD | 300,000 | (1.000 | )% | Dec 2020 | (10,548 | ) | 278 | (10,270 | ) | |||||||||||||||||||||||||||||||
Morgan Stanley Capital Services Inc. | Reynolds American, Inc. | 200,000 | USD | 200,000 | (1.000 | )% | Dec 2020 | (5,247 | ) | (397 | ) | (5,644 | ) | ||||||||||||||||||||||||||||||
Morgan Stanley Capital Services Inc. | UnitedHealth Group, Inc. | 100,000 | USD | 100,000 | (1.000 | )% | Dec 2020 | (2,840 | ) | (146 | ) | (2,986 | ) | ||||||||||||||||||||||||||||||
The Royal Bank of Scotland PLC | The Cleveland Electric Illuminating Company | 3,000,000 | USD | 3,000,000 | (0.940 | )% | Jun 2017 | — | (23,023 | ) | (23,023 | ) | |||||||||||||||||||||||||||||||
Exchange-Cleared Swaps | |||||||||||||||||||||||||||||||||||||||||||
iTraxx Europe Senior Financials Series 25 Version 1 | 39,000,000 | EUR | 43,818,712 | (1.000 | )% | Jun 2021 | (26,915 | ) | 76,689 | 49,774 | |||||||||||||||||||||||||||||||||
iTraxx Europe Series 25 Version 1 | 58,100,000 | EUR | 65,985,277 | (1.000 | )% | Jun 2021 | (757,066 | ) | 129,545 | (627,521 | ) | ||||||||||||||||||||||||||||||||
$ | 134,378,469 | ($1,014,756 | ) | $ | 219,019 | ($795,737 | ) |
Portfolio | | Counterparty | | Reference Obligation | | Notional Amount | | Currency | | USD Notional Amount | | (Pay)/ Receive Fixed Rate | | Maturity Date | | Unamortized Upfront Payment Paid (Received) | | Unrealized Appreciation (Depreciation) | | Market Value | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
High Yield Trust | |||||||||||||||||||||||||||||||||||||||||||
Exchange-Cleared Swaps | |||||||||||||||||||||||||||||||||||||||||||
MARKIT CDX.NA.HY.23 | 2,463,800 | USD | $ | 2,463,800 | (5.000 | )% | Dec 2019 | ($141,556 | ) | ($21,505 | ) | ($163,061 | ) | ||||||||||||||||||||||||||||||
MARKIT CDX.NA.HY.25 | 2,415,600 | USD | 2,415,600 | (5.000 | )% | Dec 2020 | 17,901 | 86,520 | 104,421 | ||||||||||||||||||||||||||||||||||
$ | 4,879,400 | ($123,655 | ) | $ | 65,015 | ($58,640 | ) |
Portfolio | | Counterparty | | Reference Obligation | | Notional Amount | | Currency | | USD Notional Amount | | (Pay)/ Receive Fixed Rate | | Maturity Date | | Unamortized Upfront Payment Paid (Received) | | Unrealized Appreciation (Depreciation) | | Market Value | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment Quality Bond Trust | |||||||||||||||||||||||||||||||||||||||||||
Bank of America | CDX-EMS25V1-5Y | 246,000 | USD | $ | 246,000 | (1.00 | )% | Jun 2021 | $ | 21,207 | ($2,586 | ) | $ | 18,621 | |||||||||||||||||||||||||||||
Goldman Sachs International | CDX-EMS25V1-5Y | 2,844,000 | USD | 2,844,000 | (0.01 | )% | Jun 2021 | 247,391 | (32,116 | ) | 215,275 | ||||||||||||||||||||||||||||||||
Goldman Sachs International | Brazil Republic | 175,000 | USD | 175,000 | (0.01 | )% | Jun 2021 | 19,557 | (2,904 | ) | 16,653 | ||||||||||||||||||||||||||||||||
Goldman Sachs International | Columbia Republic | 135,000 | USD | 135,000 | (1.00 | )% | Jun 2021 | 8,253 | (1,963 | ) | 6,290 | ||||||||||||||||||||||||||||||||
Goldman Sachs International | United Mexican States | 175,000 | USD | 175,000 | (1.00 | )% | Jun 2018 | (549 | ) | (486 | ) | (1,035 | ) | ||||||||||||||||||||||||||||||
Goldman Sachs International | United Mexican States | 175,000 | USD | 175,000 | (1.00 | )% | Jun 2018 | (687 | ) | (348 | ) | (1,035 | ) | ||||||||||||||||||||||||||||||
JPMorgan Chase Bank | Marathon Oil Corporation | 25,000 | USD | 25,000 | (1.00 | )% | Jun 2020 | 5,264 | (3,327 | ) | 1,937 | ||||||||||||||||||||||||||||||||
Exchange-Cleared Swaps | |||||||||||||||||||||||||||||||||||||||||||
CDX-EMS25V1-5Y | 3,924,000 | USD | 3,924,000 | (1.00 | )% | Jun 2021 | 314,800 | (17,775 | ) | 297,025 | |||||||||||||||||||||||||||||||||
ITRAXX-XOVERS25V1-5Y | 951,000 | EUR | 1,055,896 | (0.50 | )% | Jun 2021 | (58,289 | ) | (11,312 | ) | (69,601 | ) | |||||||||||||||||||||||||||||||
ITRAXX-EUROPES25V1-5Y | 2,226,000 | EUR | 2,471,529 | (1.00 | )% | Jun 2021 | (16,981 | ) | (7,061 | ) | (24,042 | ) | |||||||||||||||||||||||||||||||
CDX-NAHYS26V1-5Y | 9,013,000 | USD | 9,013,000 | (5.00 | )% | Jun 2021 | (166,959 | ) | (137,631 | ) | (304,590 | ) | |||||||||||||||||||||||||||||||
CDX-NAIGS26V1-5Y | 4,497,000 | USD | 4,497,000 | (1.00 | )% | Jun 2021 | (40,959 | ) | (9,729 | ) | (50,688 | ) | |||||||||||||||||||||||||||||||
$ | 24,736,425 | 5 | $ | 332,048 | ($227,238 | ) | $ | 104,810 |
Portfolio | | Counterparty | | Reference Obligation | | Notional Amount | | Currency | | USD Notional Amount | | (Pay)/ Receive Fixed Rate | | Maturity Date | | Unamortized Upfront Payment Paid (Received) | | Unrealized Appreciation (Depreciation) | | Market Value | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
New Income Trust | |||||||||||||||||||||||||||||||||||||||||||
Exchange-Cleared Swaps | |||||||||||||||||||||||||||||||||||||||||||
CDX.NA.HY.26 | 3,500,000.00 | USD | $ | 3,500,000 | (5.000 | )% | Jun 2021 | ($44,821 | ) | ($5,396 | ) | ($50,217 | ) | ||||||||||||||||||||||||||||||
$ | 3,500,000 | ($44,821 | ) | ($5,396 | ) | ($50,217 | ) |
Portfolio | | Counterparty | | Reference Obligation | | Implied Credit Spreads at 6-30-16 | | Notional Amount | | Currency | | USD Notional Amount | | (Pay)/ Receive Fixed Rate | | Maturity Date | | Unamortized Upfront Payment Paid (Received) | | Unrealized Appreciation (Depreciation) | | Market Value | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | |||||||||||||||||||||||||||||||||||||||||||||||
Bank of America N.A. | Volkswagen Aktiengesellschaft | 0.33% | 700,000 | EUR | $744,240 | 1.00% | Dec 2016 | ($2,494 | ) | $ | 5,216 | $ | 2,722 | ||||||||||||||||||||||||||||||||||
Barclays Capital | People’s Republic of China | 0.68% | 600,000 | USD | 600,000 | 1.00% | Mar 2019 | 540 | 4,876 | 5,416 | |||||||||||||||||||||||||||||||||||||
Credit Suisse International | Tesco PLC | 2.53% | 200,000 | EUR | 212,930 | 1.00% | Dec 2020 | (13,864 | ) | (513 | ) | (14,377 | ) | ||||||||||||||||||||||||||||||||||
Deutsche Bank AG | People’s Republic of China | 0.68% | 600,000 | USD | 600,000 | 1.00% | Mar 2019 | 154 | 5,262 | 5,416 | |||||||||||||||||||||||||||||||||||||
Goldman Sachs International | Tesco PLC | 2.53% | 800,000 | EUR | 910,080 | 1.00% | Dec 2020 | (59,524 | ) | 2,018 | (57,506 | ) | |||||||||||||||||||||||||||||||||||
Goldman Sachs International | Tesco PLC | 2.53% | 100,000 | EUR | 113,760 | 1.00% | Dec 2020 | (7,397 | ) | 209 | (7,188 | ) | |||||||||||||||||||||||||||||||||||
Goldman Sachs International | United Mexican States | 1.09% | 800,000 | USD | 800,000 | 1.00% | Sep 2019 | 4,427 | (6,344 | ) | (1,917 | ) | |||||||||||||||||||||||||||||||||||
HSBC Bank USA | United Mexican States | 1.09% | 600,000 | USD | 600,000 | 1.00% | Sep 2019 | 3,228 | (4,666 | ) | (1,438 | ) | |||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | People’s Republic of China | 0.68% | 1,400,000 | USD | 1,400,000 | 1.00% | Mar 2019 | 2,525 | 10,112 | 12,637 | |||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | Tesco PLC | 2.53% | 600,000 | EUR | 641,130 | 1.00% | Mar 2021 | (41,451 | ) | (1,679 | ) | (43,130 | ) | ||||||||||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | People’s Republic of China | 0.68% | 200,000 | USD | 200,000 | 1.00% | Mar 2019 | (103 | ) | 1,911 | 1,808 | ||||||||||||||||||||||||||||||||||||
Exchange-Cleared Swaps | |||||||||||||||||||||||||||||||||||||||||||||||
CDX.NA.HY.26 | 4.26% | 1,600,000 | USD | 1,600,000 | 0.50% | Jun 2021 | 57,020 | (2,896 | ) | 54,124 | |||||||||||||||||||||||||||||||||||||
$8,422,140 | ($56,939 | ) | $ | 13,506 | ($43,433 | ) |
Portfolio | | Counterparty | | Reference Obligation | | Implied Credit Spread at 6-30-16 | | Notional Amount | | Currency | | USD Notional Amount | | (Pay)/ Receive Fixed Rate | | Maturity Date | | Unamortized Upfront Payment Paid (Received) | | Unrealized Appreciation (Depreciation) | | Market Value | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment Quality Bond Trust | |||||||||||||||||||||||||||||||||||||||||||||||
JP Morgan Chase Bank | Russian Federation | 2.29% | 500,000 | USD | $500,000 | 1.00% | Jun 2021 | ($35,071.00 | ) | $ | 4,885 | ($30,186 | ) | ||||||||||||||||||||||||||||||||||
Exchange-Cleared Swaps | |||||||||||||||||||||||||||||||||||||||||||||||
CMBX.NA.AAA.6 | 0.78% | 200,000 | USD | 200,000 | 0.50% | May 2063 | (6,446.00 | ) | 3,296 | (3,150 | ) | ||||||||||||||||||||||||||||||||||||
CMBX.NA.AAA.6 | 0.78% | 360,000 | USD | 360,000 | 0.50% | May 2063 | (12,248.00 | ) | 6,578 | (5,670 | ) | ||||||||||||||||||||||||||||||||||||
CMBX.NA.AAA.6 | 0.78% | 270,000 | USD | 270,000 | 0.50% | May 2063 | (9,181.00 | ) | 4,929 | (4,252 | ) | ||||||||||||||||||||||||||||||||||||
CMBX.NA.AAA.6 | 0.78% | 460,000 | USD | 460,000 | 0.50% | May 2063 | (15,448.00 | ) | 8,203 | (7,245 | ) | ||||||||||||||||||||||||||||||||||||
CMBX.NA.AAA.6 | 0.78% | 285,000 | USD | 285,000 | 0.50% | May 2063 | (9,488.00 | ) | 4,999 | (4,489 | ) | ||||||||||||||||||||||||||||||||||||
CMBX.NA.AAA.6 | 0.78% | 5,516,000 | USD | 5,516,000 | 0.50% | May 2063 | (179,501.00 | ) | 92,626 | (86,875 | ) | ||||||||||||||||||||||||||||||||||||
CMBX.NA.AAA.6 | 0.78% | 365,000 | USD | 365,000 | 0.50% | May 2063 | (8,572.00 | ) | 2,823 | (5,749 | ) | ||||||||||||||||||||||||||||||||||||
CMBX.NA.AAA.6 | 0.78% | 755,000 | USD | 755,000 | 0.50% | May 2063 | (17,932.00 | ) | 6,041 | (11,891 | ) | ||||||||||||||||||||||||||||||||||||
�� | CMBX.NA.AAA.6 | 0.78% | 1,211,000 | USD | 1,211,000 | 0.50% | May 2063 | (28,808.00 | ) | 9,735 | (19,073 | ) | |||||||||||||||||||||||||||||||||||
$9,922,000 | ($322,695 | ) | $ | 144,115 | ($178,580 | ) |
Portfolio | | Counterparty | | Reference Entity | | Currency | | Notional Amount | | USD Notional Amount | | Pay/ Receive Volatility | | Volatility Strike Rate | | Maturity Date | | Unamortized Upfront Payment Paid (Received) | | Unrealized Appreciation (Depreciation) | | Market Value | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | |||||||||||||||||||||||||||||||||||||||||||||||
Deutsche Bank | EUR versus BRL | EUR | 5,000 | $5,686 | Receive | 24.00% | Jul 2016 | — | $ | 32,940 | $ | 32,940 | |||||||||||||||||||||||||||||||||||
Deutsche Bank | EUR versus CHF | CHF | 8,000 | 8,334 | Receive | 8.45% | Aug 2016 | — | 16,214 | 16,214 | |||||||||||||||||||||||||||||||||||||
Deutsche Bank | EUR versus CHF | CHF | 6,000 | 6,164 | Receive | 8.80% | Aug 2016 | — | 14,335 | 14,335 | |||||||||||||||||||||||||||||||||||||
Deutsche Bank | EUR versus CHF | CHF | 18,000 | 18,439 | Receive | 8.35% | Aug 2016 | — | 34,339 | 34,339 | |||||||||||||||||||||||||||||||||||||
Deutsche Bank | EUR versus CHF | CHF | 8,000 | 8,195 | Receive | 8.65% | Aug 2016 | — | 17,724 | 17,724 | |||||||||||||||||||||||||||||||||||||
Deutsche Bank | EUR versus CHF | CHF | 8,000 | 8,314 | Receive | 8.70% | Aug 2016 | — | 17,949 | 17,949 | |||||||||||||||||||||||||||||||||||||
Deutsche Bank | EUR versus CHF | CHF | 8,000 | 8,258 | Receive | 9.00% | Aug 2016 | — | 20,930 | 20,930 | |||||||||||||||||||||||||||||||||||||
Deutsche Bank | EUR versus CHF | CHF | 8,000 | 8,195 | Pay | 10.25% | Aug 2016 | — | (2,966 | ) | (2,966 | ) | |||||||||||||||||||||||||||||||||||
Deutsche Bank | EUR versus CHF | CHF | 7,000 | 7,088 | Receive | 8.50% | Sep 2016 | — | 9,744 | 9,744 | |||||||||||||||||||||||||||||||||||||
Deutsche Bank | EUR versus CHF | CHF | 9,000 | 9,217 | Receive | 7.25% | Jan 2017 | — | — | — | |||||||||||||||||||||||||||||||||||||
Deutsche Bank | EUR versus CHF | CHF | 11,000 | 11,307 | Receive | 8.50% | Mar 2017 | — | 5,193 | 5,193 | |||||||||||||||||||||||||||||||||||||
Deutsche Bank | EUR versus CHF | CHF | 7,000 | 7,258 | Receive | 8.15% | Mar 2017 | — | 184 | 184 | |||||||||||||||||||||||||||||||||||||
Deutsche Bank | USD versus CHF | CHF | 18,000 | 18,439 | Pay | 10.55% | Aug 2016 | — | (1,134 | ) | (1,134 | ) | |||||||||||||||||||||||||||||||||||
Deutsche Bank | USD versus CHF | CHF | 8,000 | 8,314 | Pay | 10.90% | Aug 2016 | — | 5,264 | 5,264 | |||||||||||||||||||||||||||||||||||||
Deutsche Bank | USD versus CHF | CHF | 6,000 | 6,164 | Pay | 11.20% | Aug 2016 | — | 5,462 | 5,462 | |||||||||||||||||||||||||||||||||||||
Deutsche Bank | USD versus CHF | CHF | 8,000 | 8,258 | Pay | 11.20% | Aug 2016 | — | 7,122 | 7,122 | |||||||||||||||||||||||||||||||||||||
Deutsche Bank | USD versus CHF | CHF | 8,000 | 8,334 | Pay | 10.45% | Aug 2016 | — | (1,481 | ) | (1,481 | ) | |||||||||||||||||||||||||||||||||||
Deutsche Bank | USD versus CHF | CHF | 7,000 | 7,088 | Pay | 10.00% | Sep 2016 | — | 2,501 | 2,501 | |||||||||||||||||||||||||||||||||||||
Deutsche Bank | USD versus CHF | CHF | 4,000 | 4,012 | Pay | 10.80% | Dec 2016 | — | 2,116 | 2,116 | |||||||||||||||||||||||||||||||||||||
Deutsche Bank | USD versus CHF | CHF | 4,000 | 4,012 | Receive | 8.40% | Dec 2016 | — | 4,535 | 4,535 | |||||||||||||||||||||||||||||||||||||
Deutsche Bank | USD versus CHF | CHF | 9,000 | 9,217 | Pay | 9.25% | Jan 2017 | — | — | — | |||||||||||||||||||||||||||||||||||||
Deutsche Bank | USD versus CHF | CHF | 11,000 | 11,307 | Pay | 10.30% | Mar 2017 | — | 1,762 | 1,762 | |||||||||||||||||||||||||||||||||||||
Deutsche Bank | USD versus CHF | CHF | 7,000 | 7,258 | Pay | 10.05% | Mar 2017 | — | (341 | ) | (341 | ) | |||||||||||||||||||||||||||||||||||
HSBC Bank USA | EUR versus BRL | EUR | 3,000 | 3,412 | Receive | 24.50% | Jul 2016 | — | 22,255 | 22,255 | |||||||||||||||||||||||||||||||||||||
HSBC Bank USA | EUR versus BRL | EUR | 4,000 | 4,512 | Receive | 23.75% | Jul 2016 | — | 28,197 | 28,197 | |||||||||||||||||||||||||||||||||||||
$206,782 | — | $ | 242,844 | $ | 242,844 |
Portfolio | | Risk | | Statements of Assets and Liabilities Location | | Financial Instruments Location | | Asset Derivatives Fair Value | | Liability Derivatives Fair Value | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | Interest rate | Receivable/payable for futures | Futures† | $ | 9,764,631 | ($408,794 | ) | |||||||||||||||
Interest rate | Written options, at value | Written options | — | (269,221 | ) | |||||||||||||||||
Credit | Written options, at value | Written options | — | (14,456 | ) | |||||||||||||||||
Foreign currency | Written options, at value | Written options | — | (928,184 | ) | |||||||||||||||||
Foreign currency | Swap contracts, at value | Currency Swaps | 1,289,067 | (3,162,464 | ) | |||||||||||||||||
Foreign currency | Swap contracts, at value | Volatility Swaps | 248,766 | (5,922 | ) | |||||||||||||||||
Interest rate | Swap contracts, at value | Interest rate swapsˆ | 6,790,492 | (19,725,058 | ) | |||||||||||||||||
Foreign currency | Unaffiliated investments, at value* | Purchased options | 345,916 | — | ||||||||||||||||||
Interest rate | Unaffiliated investments, at value* | Purchased options | 138,666 | — | ||||||||||||||||||
Credit | Swap contracts, at value | Credit default swapsˆ | 392,001 | (1,231,171 | ) | |||||||||||||||||
Foreign currency | Unrealized appreciation/depreciation on forward foreign currency exchange contracts | Forward foreign currency contracts | 7,436,561 | (13,034,334 | ) | |||||||||||||||||
$ | 26,406,100 | ($38,779,604 | ) | |||||||||||||||||||
High Yield Trust | Interest rate | Receivable/payable for futures | Futures† | $ | 657,136 | ($28,018 | ) | |||||||||||||||
Credit | Swap contracts, at value | Credit default swapsˆ | 104,421 | (163,061 | ) | |||||||||||||||||
Foreign currency | Unrealized appreciation/depreciation on forward foreign currency exchange contracts | Forward foreign currency contracts | 61,410 | (29,480 | ) | |||||||||||||||||
$ | 822,967 | ($220,559 | ) | |||||||||||||||||||
Investment Quality Bond Trust | Interest rate | Receivable/payable for futures | Futures† | $ | 1,605,185 | ($960,473 | ) | |||||||||||||||
Interest rate | Swap contracts, at value | Interest rate swapsˆ | — | (2,510,115 | ) | |||||||||||||||||
Credit | Swap contracts, at value | Credit default swapsˆ | 555,801 | (629,571 | ) | |||||||||||||||||
Foreign currency | Unrealized appreciation/depreciation on forward foreign currency exchange contracts | Forward foreign currency contracts | 84,642 | (451,577 | ) | |||||||||||||||||
$ | 2,245,628 | ($4,551,736 | ) |
Portfolio | | Risk | | Statements of Assets and Liabilities Location | | Financial Instruments Location | | Asset Derivatives Fair Value | | Liability Derivatives Fair Value | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
New Income Trust | Interest rate | Receivable/payable for futures | Futures† | $ | 1,290,644 | ($832,938 | ) | |||||||||||||||
Foreign currency | Unrealized appreciation/depreciation on forward foreign currency exchange contracts | Forward foreign currency contracts | 499,382 | (140,250 | ) | |||||||||||||||||
Credit | Swap contracts, at value | Credit default swapsˆ | — | (50,217 | ) | |||||||||||||||||
$ | 1,790,026 | ($1,023,405.00 | ) | |||||||||||||||||||
Strategic Income Opportunities Trust | Foreign currency | Unrealized appreciation/depreciation on forward foreign currency exchange contracts | Forward foreign currency contracts | $ | 12,649,978 | ($16,156,805 | ) | |||||||||||||||
Foreign currency | Unaffiliated investments, at value* | Purchased options | 2,514,392 | — | ||||||||||||||||||
$ | 15,164,370 | ($16,156,805.00 | ) |
† | Reflects cumulative appreciation/depreciation on futures as disclosed in Note 3. Only the period end variation margin is separately disclosed in the Statements of assets and liabilities. |
* | Purchased options are included in the Portfolio’s Investments |
ˆ | Reflects cumulative appreciation/depreciation on swap contracts. Period end variation margin for centrally cleared swaps and appreciation/depreciation for OTC swaps are shown separately in the Statements of assets and liabilities. |
OTC Derivatives | | Asset | | Liability | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | |||||||||||
Credit default swaps | $ | 288,103 | ($603,650 | ) | |||||||
Currency swaps | 1,289,067 | (3,162,464 | ) | ||||||||
Forward foreign currency contracts | 7,436,561 | (13,034,334 | ) | ||||||||
Interest rate swaps | 48,553 | — | |||||||||
Purchased options | 479,230 | — | |||||||||
Volatility swaps | 248,766 | (5,922 | ) | ||||||||
Written options | — | (1,061,550 | ) | ||||||||
$ | 9,790,280 | ($17,867,920 | ) | ||||||||
Strategic Income Opportunities Trust | |||||||||||
Forward foreign currency contracts | $ | 12,649,978 | ($16,156,805 | ) | |||||||
Purchased Options | 2,514,392 | — | |||||||||
$ | 15,164,370 | ($16,156,805 | ) |
Counterparty | Total Market Value of OTC Derivatives | | Collateral Posted by Counterparty | | Collateral Posted by Portfolio | | Net Exposure | | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Global Bond Trust | ||||||||||||||||||||||
Bank of America N.A. | ($744,541 | ) | — | — | ($744,541 | ) | ||||||||||||||||
Barclays Capital | (1,127,350 | ) | — | $ | 1,123,516 | (3,834 | ) | |||||||||||||||
BNP Paribas SA | 133,437 | — | — | 133,437 | ||||||||||||||||||
Citibank N.A. | (1,889,068 | ) | — | 1,342,729 | (546,339 | ) | ||||||||||||||||
Credit Suisse International | (55,058 | ) | — | 48,484 | (6,574 | ) | ||||||||||||||||
Deutsche Bank AG | 528,554 | $ | 370,107 | — | 158,447 | |||||||||||||||||
Goldman Sachs Bank USA | (3,165,945 | ) | — | 3,165,945 | — | |||||||||||||||||
Goldman Sachs International | (1,520,453 | ) | — | 208,691 | (1,311,762 | ) | ||||||||||||||||
HSBC Bank USA | 3,694,057 | 3,694,057 | — | — | ||||||||||||||||||
JPMorgan Chase Bank N.A. | (3,178,390 | ) | — | 3,178,390 | — | |||||||||||||||||
Morgan Stanley Bank, N.A. | (84,010 | ) | — | — | (84,010 | ) | ||||||||||||||||
Morgan Stanley Capital Services, Inc. | (16,536 | ) | — | 16,536 | — | |||||||||||||||||
Nomura Global Financial Products, Inc. | (45,250 | ) | — | — | (45,250 | ) | ||||||||||||||||
Standard Chartered Bank, London | (921,446 | ) | — | 906,696 | (14,750 | ) | ||||||||||||||||
The Royal Bank of Scotland PLC | (23,023 | ) | — | — | (23,023 | ) | ||||||||||||||||
UBS AG | 337,382 | 320,007 | — | 17,375 | ||||||||||||||||||
Totals | ($8,077,640 | ) | $ | 4,384,171 | $ | 9,990,987 | ($2,470,824 | ) | ||||||||||||||
Strategic Income Opportunities Trust | ||||||||||||||||||||||
Australia and New Zealand Banking Group | ($489,745 | ) | — | $ | 310,000 | ($179,745 | ) | |||||||||||||||
Bank of America International | 18 | — | — | 18 | ||||||||||||||||||
Canadian Imperial Bank of Commerce | 1,075,436 | $ | 734,930 | — | 340,506 | |||||||||||||||||
Citibank N.A. | 483,966 | 483,966 | — | — | ||||||||||||||||||
Deutsche Bank Securities | 231,945 | 231,945 | — | — | ||||||||||||||||||
Goldman Sachs & Company | 988,805 | 988,805 | — | — | ||||||||||||||||||
HSBC Bank USA | 503,189 | 297,377 | — | 205,812 |
Counterparty | Total Market Value of OTC Derivatives | | Collateral Posted by Counterparty | | Collateral Posted by Portfolio | | Net Exposure | | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPMorgan Chase Bank N.A. | (861,309 | ) | — | 860,000 | (1,309 | ) | ||||||||||||||||
Morgan Stanley Capital Services, Inc. | (107,378 | ) | — | — | (107,378 | ) | ||||||||||||||||
Royal Bank of Canada | 429,987 | 417,719 | — | 12,268 | ||||||||||||||||||
Royal Bank of Scotland | 223 | — | — | 223 | ||||||||||||||||||
State Street Bank and Trust Company | (2,811,398 | ) | — | 2,390,000 | (421,398 | ) | ||||||||||||||||
Toronto Dominion Bank | (915,253 | ) | — | 360,000 | (555,253 | ) | ||||||||||||||||
U.S. Bank | 479,079 | 479,079 | — | — | ||||||||||||||||||
($992,435 | ) | $ | 3,633,821 | $ | 3,920,000 | ($706,256 | ) |
Statements of operations Location—Net Realized Gain (Loss) on: | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | | Risk | | Unaffiliated Investments and Foreign Currency Transactions1 | | Written Options | | Futures Contracts | | Swap Contracts | | Unaffiliated Investments and Foreign Currency Transactions2 | | Total | ||||||||||||||||
Global Bond Trust | Interest rate | ($14,130 | ) | $ | 445,137 | $ | 5,879,303 | ($12,701,349 | ) | — | ($6,391,039 | ) | ||||||||||||||||||
Credit | — | — | — | (427,630 | ) | — | (427,630 | ) | ||||||||||||||||||||||
Foreign currency | (683,893 | ) | 504,664 | — | 168,725 | $ | 6,865,559 | 6,855,055 | ||||||||||||||||||||||
Total | ($698,023 | ) | $ | 949,801 | $ | 5,879,303 | ($12,960,254 | ) | $ | 6,865,559 | $ | 36,386 | ||||||||||||||||||
High Yield Trust | Interest rate | — | — | $ | 319,526 | — | — | $ | 319,526 | |||||||||||||||||||||
Credit | — | — | — | ($43,809 | ) | — | (43,809 | ) | ||||||||||||||||||||||
Foreign currency | — | — | — | — | ($38,636 | ) | (38,636 | ) | ||||||||||||||||||||||
Total | — | — | $ | 319,526 | ($43,809 | ) | ($38,636 | ) | $ | 237,081 | ||||||||||||||||||||
Investment Quality Bond Trust | Interest rate | $ | 15,007 | — | $ | 731,957 | ($337,352 | ) | — | $ | 409,612 | |||||||||||||||||||
Credit | — | $ | 3,258 | — | (379,513 | ) | — | (376,255 | ) | |||||||||||||||||||||
Foreign currency | — | — | — | (547 | ) | ($121,197 | ) | (121,744 | ) | |||||||||||||||||||||
Total | $ | 15,007 | $ | 3,258 | $ | 731,957 | ($717,412 | ) | ($121,197 | ) | ($88,387 | ) | ||||||||||||||||||
New Income Trust | Interest rate | — | — | ($1,106,977 | ) | — | — | ($1,106,977 | ) | |||||||||||||||||||||
Credit | — | — | — | ($361,699 | ) | — | (361,699 | ) | ||||||||||||||||||||||
Foreign currency | — | — | — | — | $ | 14,832 | 14,832 | |||||||||||||||||||||||
Total | — | — | ($1,106,977 | ) | ($361,699 | ) | $ | 14,832 | ($1,453,844 | ) | ||||||||||||||||||||
Strategic Income Opportunities Trust | Interest rate | — | — | ($2,606,244 | ) | — | — | ($2,606,244 | ) | |||||||||||||||||||||
Foreign currency | $ | 476,472 | — | — | — | ($1,899,044 | ) | (1,422,572 | ) | |||||||||||||||||||||
Total | $ | 476,472 | — | ($2,606,244 | ) | — | ($1,899,044 | ) | ($4,028,816 | ) |
1 | Realized gain/loss associated with purchased options is included in this caption on the Statements of operations. |
2 | Realized gain/loss associated with forward foreign currency contracts is included in this caption on the Statements of operations. |
Statements of operations Location—Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | | Risk | | Unaffiliated Investments and Translation of Assets and Liabilities in Foreign Currencies1 | | Written Options | | Futures Contracts | | Swap Contracts | | Unaffiliated Investments and Translation of Assets and Liabilities in Foreign Currencies2 | | Total | ||||||||||||||||
Global Bond Trust | Interest rate | ($123,057 | ) | ($262,885 | ) | $ | 10,342,766 | ($755,755 | ) | — | $ | 9,201,069 | ||||||||||||||||||
Credit | — | 14,446 | 848,696 | — | 863,142 | |||||||||||||||||||||||||
Foreign currency | (151,747 | ) | 8,584 | (2,950,579 | ) | ($10,296,525 | ) | (13,390,267 | ) | |||||||||||||||||||||
Total | ($274,804 | ) | ($239,855 | ) | $ | 10,342,766 | ($2,857,638 | ) | ($10,296,525 | ) | ($3,326,056 | ) | ||||||||||||||||||
High Yield Trust | Interest rate | — | — | $ | 516,745 | — | — | $ | 516,745 | |||||||||||||||||||||
Credit | — | — | — | $ | 16,948 | — | 16,948 | |||||||||||||||||||||||
Foreign currency | — | — | — | — | $ | 111,421 | 111,421 | |||||||||||||||||||||||
Total | — | — | $ | 516,745 | $ | 16,948 | $ | 111,421 | $ | 645,114 | ||||||||||||||||||||
Investment Quality Bond Trust | Interest rate | — | — | $ | 600,722 | ($1,008,191 | ) | — | ($407,469 | ) | ||||||||||||||||||||
Credit | — | — | — | (58,390 | ) | — | (58,390 | ) | ||||||||||||||||||||||
Foreign currency | — | — | — | (4,602 | ) | ($405,210 | ) | (409,812 | ) | |||||||||||||||||||||
Total | — | — | $ | 600,722 | ($1,071,183 | ) | ($405,210 | ) | ($875,671 | ) | ||||||||||||||||||||
New Income Trust | Interest rate | — | — | ($126,761 | ) | — | — | ($126,761 | ) | |||||||||||||||||||||
Credit | — | — | — | ($9,656 | ) | — | (9,656 | ) | ||||||||||||||||||||||
Foreign currency | — | — | — | — | $ | 183,382 | 183,382 | |||||||||||||||||||||||
Total | — | — | ($126,761 | ) | ($9,656 | ) | $ | 183,382 | $ | 46,965 | ||||||||||||||||||||
Strategic Income Opportunities Trust | Interest rate | — | — | ($174,933 | ) | — | — | ($174,933 | ) | |||||||||||||||||||||
Foreign currency | $ | 251,727 | — | — | — | ($2,489,892 | ) | ($2,238,165 | ) | |||||||||||||||||||||
Total | $ | 251,727 | — | ($174,933 | ) | — | ($2,489,892 | ) | ($2,413,098 | ) |
1 | Change in unrealized appreciation/depreciation associated with purchased options is included in this caption on the Statements of operations. |
2 | Change in unrealized appreciation/depreciation associated with forward foreign currency contracts is included in this caption on the Statements of operations. |
• | Active Bond Trust — a) 0.60% of the first $2.5 billion of aggregate net assets; b) 0.575% of aggregate net assets between $2.5 billion and $5.0 billion; and c) 0.55% of the excess over $5.0 billion of aggregate net assets. |
• | Bond Trust — a) 0.65% of the first $500 million of aggregate net assets; b) 0.60% of aggregate net assets between $500 million and $1.5 billion; c) 0.575% of aggregate net assets between $1.5 billion and $2.5 billion; and d) 0.55% of the excess over $2.5 billion of aggregate net assets. |
• | Core Bond Trust — a) 0.69% of the first $200 million of aggregate net assets; b) 0.64% of aggregate net assets between $200 million and $400 million; and c) 0.57% of the excess over $400 million of aggregate net assets. |
• | Global Bond Trust — 0.70% of the aggregate net assets. |
• | High Yield Trust — a) 0.70% of the first $500 million of aggregate net assets and b) 0.65% of the excess over $500 million of aggregate net assets. |
• | Income Trust — Aggregate net assets for this portfolio include the net assets of Income Trust, International Value Trust, Global Trust and Mutual Shares Trust, the net assets of similar funds of JHF II for all the funds listed and JHF II International Small Cap Fund. The financial statements for the other portfolios listed are not included in this report. The monthly management fee paid on these assets is a) 1.075% on the first $50 million of aggregate net assets; b) 0.915% of aggregate net assets between $50 million and $200 million; c) 0.825% of the aggregate net assets between $200 million and $500 million; and d) 0.80% of the excess over $500 million of aggregate net assets. When aggregate net assets exceed $500 million, the rate is 0.80% of all assets. |
• | Investment Quality Bond Trust — a) 0.60% of the first $500 million of aggregate net assets and b) 0.55% of the excess over $500 million of aggregate net assets. |
• | Money Market Trust — as of April 6, 2016, the management fee rates are as follows: a) 0.50% of the first $500 million of aggregate net assets; b) 0.425% of the next $250 million aggregate net assets; c) 0.375% of the next $250 million aggregate net assets; d) 0.35% of the next $500 million aggregate net assets; e) 0.325% of the next $500 million aggregate net assets; f) 0.30% of the next $500 million aggregate net assets; and g) 0.275% of the excess over $2.5 billion of aggregate net assets. Prior to April 6, 2016 the management fee rates were as follows: a) 0.50% of the first $500 million of net assets and b) 0.47% of the excess of $500 million of net assets. Aggregate net assets include net assets of the portfolio and Money Market Fund, a series of John Hancock Current Interest. |
• | New Income Trust — a) If the average net assets of the portfolio are less than $100 million i) 0.725% of the first $50 million average net assets and ii) 0.675% of the next $50 million average net assets; b) 0.650% of average net assets if the average net assets are between $100 million and $250 million; c) 0.600% of average net assets if the average net assets are between $250 million and $500 million; d) if the average net assets are between $500 million and $1 billion i) 0.575% of the first $500 million average net assets and ii) 0.550% of average net assets over $500 million and e) 0.550% of average net assets if the average net assets exceed $1 billion. |
• | Short Term Government Income Trust — a) 0.57% of the first $250 million of aggregate net assets and b) 0.55% of the excess over $250 million of aggregate net assets. Aggregate net assets include net assets of the portfolio and the Short Term Government Income Fund, a series of John Hancock Funds II. |
• | Strategic Income Opportunities Trust — a) 0.70% of the first $500 million of aggregate net assets and b) 0.65% of the next $3 billion of aggregate net assets; and c) 0.60% of the excess over $3.5 billion of aggregate net assets. Aggregate net assets include net assets of the portfolio, the Strategic Income Opportunities Fund (a sub-fund of John Hancock Worldwide Investors, PLC), the Strategic Income Opportunities Fund (a series of John Hancock Funds II), and the Income Allocation Fund (a series of John Hancock Funds II, but only with respect to the assets of the Income Allocation Fund managed according to that Fund’s subadvisor’s strategic income opportunities strategy). |
• | Total Bond Market Trust B — a) 0.47% of the first $1.5 billion of aggregate net assets and b) 0.46% of the excess over $1.5 billion of aggregate net assets. |
• | Ultra Short Term Bond Trust — a) 0.55% of the first $250 million of average net assets and b) 0.53% of the excess over $250 million of average net assets. |
Portfolio | | Subadvisors | ||||
---|---|---|---|---|---|---|
Active Bond Trust | Declaration Management and Research, LLC1 and John Hancock Asset Management a division of Manulife Asset Management (US) LLC1 | |||||
Bond Trust | John Hancock Asset Management a division of Manulife Asset Management (US) LLC1 | |||||
Core Bond Trust | Wells Capital Management, Inc. | |||||
Global Bond Trust | Pacific Investment Management Company, LLC | |||||
High Yield Trust | Western Asset Management Company (Sub-Subadvisor is Western Asset Management Company Limited) | |||||
Income Trust | Franklin Advisers, Inc. | |||||
Investment Quality Bond Trust | Wellington Management Company, LLP |
Portfolio | | Subadvisors | ||||
---|---|---|---|---|---|---|
Money Market Trust | John Hancock Asset Management a division of Manulife Asset Management (North America) Limited1 | |||||
New Income Trust | T. Rowe Price Associates, Inc. | |||||
Short Term Government Income Trust | John Hancock Asset Management a division of Manulife Asset Management (US) LLC1 | |||||
Strategic Income Opportunities Trust | John Hancock Asset Management a division of Manulife Asset Management (US) LLC1 | |||||
Total Bond Market Trust B | Declaration Management and Research, LLC1 | |||||
Ultra Short Term Bond Trust | John Hancock Asset Management a division of Manulife Asset Management (US) LLC1 |
1 | An affiliate of the Advisor. |
Portfolio | | Expense limitation as a percentage of average net assets | ||||
---|---|---|---|---|---|---|
Active Bond Trust | 0.15 | % | ||||
Bond Trust | 0.15 | % | ||||
Core Bond Trust | 0.15 | % | ||||
Global Bond Trust | 0.15 | % | ||||
High Yield Trust | 0.15 | % | ||||
Income Trust | 0.15 | % | ||||
Investment Quality Bond Trust | 0.15 | % | ||||
Money Market Trust | 0.15 | % | ||||
New Income Trust | 0.15 | % | ||||
Short Term Government Income Trust | 0.15 | % | ||||
Strategic Income Opportunities Trust | 0.15 | % | ||||
Ultra Short Term Bond Trust | 0.15 | % |
Expense Reimbursement by Class | ||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | Series I | | Series II | | Series NAV | | Total | |||||||||||||
Active Bond Trust | $ | 1,547 | $ | 6,401 | $ | 19,684 | $ | 27,632 | ||||||||||||
Bond Trust | 7,314 | 19,457 | 299,177 | 325,948 | ||||||||||||||||
Core Bond Trust | 5,032 | 4,599 | 36,954 | 46,585 | ||||||||||||||||
Global Bond Trust | 1,557 | 3,216 | 17,447 | 22,220 | ||||||||||||||||
High Yield Trust | 3,051 | 2,343 | 3,062 | 8,456 | ||||||||||||||||
Income Trust | — | — | 62,628 | 62,628 | ||||||||||||||||
Investment Quality Bond Trust | 5,940 | 3,213 | 925 | 10,078 |
Expense Reimbursement by Class | ||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | Series I | | Series II | | Series NAV | | Total | |||||||||||||
Money Market Trust | 1,056,872 | 350,994 | 74,746 | 1,482,612 | ||||||||||||||||
New Income Trust | — | — | 114,361 | 114,361 | ||||||||||||||||
Short Term Government Income Trust | 1,615 | 1,325 | 8,965 | 11,905 | ||||||||||||||||
Strategic Income Opportunities Trust | 16,570 | 1,780 | 2,940 | 21,290 | ||||||||||||||||
Total Bond Market Trust B | 254,881 | 109,368 | 353,309 | 717,558 | ||||||||||||||||
Ultra Short Term Bond Trust | 406 | 9,786 | 538 | 10,730 |
Portfolio | | Annual Effective Rate | ||||
---|---|---|---|---|---|---|
Active Bond Trust | 0.59 | % | ||||
Bond Trust | 0.56 | % | ||||
Core Bond Trust | 0.58 | % | ||||
Global Bond Trust | 0.69 | % | ||||
High Yield Trust | 0.68 | % | ||||
Income Trust | 0.76 | % | ||||
Investment Quality Bond Trust | 0.57 | % | ||||
Money Market Trust | 0.28 | % | ||||
New Income Trust | 0.53 | % | ||||
Short Term Government Income Trust | 0.55 | % | ||||
Strategic Income Opportunities Trust | 0.62 | % | ||||
Total Bond Market Trust B | 0.21 | % | ||||
Ultra Short Term Bond Trust | 0.54 | % |
Class | | Rule 12b-1 Fee | ||||
---|---|---|---|---|---|---|
Series I | 0.15 | % | ||||
Series II | 0.35 | % |
Portfolio | | Borrower or Lender | Weighted Average Loan Balance | | Days Outstanding | | Weighted Average Interest Rate | | Interest Income | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Active Bond Trust | Lender | $ | 19,257,985 | 1 | 0.70 | % | $ | 374 | ||||||||||||||
New Income Trust | Lender | $ | 11,309,959 | 1 | 0.67 | % | $ | 209 | ||||||||||||||
Total Bond Market Trust B | Lender | $ | 28,860,438 | 3 | 0.70 | % | $ | 1,684 |
Active Bond Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 120,166 | $ | 1,159,308 | 263,331 | $ | 2,617,889 | |||||||||||||
Distributions reinvested | — | — | 238,455 | 2,281,571 | |||||||||||||||
Repurchased | (386,608 | ) | (3,704,990 | ) | (796,162 | ) | (7,892,992 | ) | |||||||||||
Net decrease | (266,442 | ) | ($2,545,682 | ) | (294,376 | ) | ($2,993,532 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 1,975 | $ | 18,644 | 1,034,018 | $ | 9,967,663 | |||||||||||||
Distributions reinvested | — | — | 952,662 | 9,136,300 | |||||||||||||||
Repurchased | (1,928,675 | ) | (18,558,900 | ) | (4,170,702 | ) | (41,237,444 | ) | |||||||||||
Net decrease | (1,926,700 | ) | ($18,540,256 | ) | (2,184,022 | ) | ($22,133,481 | ) |
Active Bond Trust (continued) | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 485,342 | $ | 4,647,062 | 946,680 | $ | 9,379,685 | |||||||||||||
Distributions reinvested | — | — | 2,978,601 | 28,505,136 | |||||||||||||||
Repurchased | (2,784,535 | ) | (26,823,146 | ) | (3,821,235 | ) | (37,740,401 | ) | |||||||||||
Net increase (decrease) | (2,299,193 | ) | ($22,176,084 | ) | 104,046 | $ | 144,420 | ||||||||||||
Total net decrease | (4,492,335 | ) | ($43,262,022 | ) | (2,374,352 | ) | ($24,982,593 | ) | |||||||||||
Bond Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 33,383 | $ | 465,171 | 1,015,939 | $ | 13,803,693 | |||||||||||||
Issued in reorganization (Note 10) | 363,902 | 4,996,868 | — | — | |||||||||||||||
Distributions reinvested | — | — | 450,984 | 6,053,397 | |||||||||||||||
Repurchased | (927,419 | ) | (12,626,622 | ) | (2,855,373 | ) | (39,169,916 | ) | |||||||||||
Net decrease | (530,134 | ) | ($7,164,583 | ) | (1,388,450 | ) | ($19,312,826 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 12,910,907 | $ | 175,164,614 | 10,845,661 | $ | 147,797,490 | |||||||||||||
Issued in reorganization (Note 10) | 2,125,600 | 29,207,548 | — | — | |||||||||||||||
Distributions reinvested | — | — | 1,042,114 | 14,008,990 | |||||||||||||||
Repurchased | (14,092,315 | ) | (191,538,818 | ) | (14,258,346 | ) | (195,092,332 | ) | |||||||||||
Net increase (decrease) | 944,192 | $ | 12,833,344 | (2,370,571 | ) | ($33,285,852 | ) | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 35,498,231 | $ | 478,937,695 | 12,766,181 | $ | 175,138,534 | |||||||||||||
Issued in reorganization (Note 10) | 2,033,139 | 27,910,506 | — | — | |||||||||||||||
Distributions reinvested | — | — | 19,661,048 | 263,742,669 | |||||||||||||||
Repurchased | (85,756,409 | ) | (1,162,438,927 | ) | (117,135,922 | ) | (1,603,624,017 | ) | |||||||||||
Net decrease | (48,225,039 | ) | ($655,590,726 | ) | (84,708,693 | ) | ($1,164,742,814 | ) | |||||||||||
Total net decrease | (47,810,981 | ) | ($649,921,965 | ) | (88,467,714 | ) | ($1,217,341,492 | ) | |||||||||||
Core Bond Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 153,040 | $ | 2,026,575 | 812,463 | $ | 10,838,265 | |||||||||||||
Issued in reorganization (Note 10) | — | — | 11,468,071 | 154,715,892 | |||||||||||||||
Distributions reinvested | — | — | 212,381 | 2,781,504 | |||||||||||||||
Repurchased | (1,275,141 | ) | (17,142,286 | ) | (1,800,830 | ) | (23,837,486 | ) | |||||||||||
Net increase (decrease) | (1,122,101 | ) | ($15,115,711 | ) | 10,692,085 | $ | 144,498,175 | ||||||||||||
Series II shares | |||||||||||||||||||
Sold | 418,201 | $ | 5,559,021 | 219,788 | $ | 2,912,314 | |||||||||||||
Issued in reorganization (Note 10) | — | — | 11,126,674 | 149,886,010 | |||||||||||||||
Distributions reinvested | — | — | 175,609 | 2,298,566 | |||||||||||||||
Repurchased | (1,021,250 | ) | (13,608,817 | ) | (2,253,898 | ) | (29,862,909 | ) | |||||||||||
Net increase (decrease) | (603,049 | ) | ($8,049,796 | ) | 9,268,173 | $ | 125,233,981 | ||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 1,813,717 | $ | 24,190,406 | 870,802 | $ | 11,498,263 | |||||||||||||
Issued in reorganization (Note 10) | — | — | 15,509,241 | 208,404,731 | |||||||||||||||
Distributions reinvested | — | — | 1,622,199 | 21,158,504 | |||||||||||||||
Repurchased | (7,130,468 | ) | (94,433,818 | ) | (14,336,509 | ) | (189,642,163 | ) | |||||||||||
Net increase (decrease) | (5,316,751 | ) | ($70,243,412 | ) | 3,665,733 | $ | 51,419,335 | ||||||||||||
Total net increase (decrease) | (7,041,901 | ) | ($93,408,919 | ) | 23,625,991 | $ | 321,151,491 | ||||||||||||
Global Bond Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 198,722 | $ | 2,473,892 | 103,870 | $ | 1,267,844 | |||||||||||||
Distributions reinvested | — | — | 96,448 | 1,154,479 | |||||||||||||||
Repurchased | (297,448 | ) | (3,693,978 | ) | (800,519 | ) | (9,760,294 | ) | |||||||||||
Net decrease | (98,726 | ) | ($1,220,086 | ) | (600,201 | ) | ($7,337,971 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 348,407 | $ | 4,260,452 | 562,014 | $ | 6,784,022 | |||||||||||||
Distributions reinvested | — | — | 214,270 | 2,536,952 | |||||||||||||||
Repurchased | (899,918 | ) | (11,078,241 | ) | (2,311,580 | ) | (27,794,986 | ) | |||||||||||
Net decrease | (551,511 | ) | ($6,817,789 | ) | (1,535,296 | ) | ($18,474,012 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 129,817 | $ | 1,598,671 | 544,876 | $ | 6,636,072 | |||||||||||||
Distributions reinvested | — | — | 1,150,729 | 13,716,691 | |||||||||||||||
Repurchased | (4,838,358 | ) | (59,440,072 | ) | (4,113,918 | ) | (49,632,198 | ) | |||||||||||
Net decrease | (4,708,541 | ) | ($57,841,401 | ) | (2,418,313 | ) | ($29,279,435 | ) | |||||||||||
Total net decrease | (5,358,778 | ) | ($65,879,276 | ) | (4,553,810 | ) | ($55,091,418 | ) |
High Yield Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 1,092,405 | $ | 5,086,372 | 2,835,288 | $ | 15,653,328 | |||||||||||||
Distributions reinvested | — | — | 1,372,858 | 6,998,290 | |||||||||||||||
Repurchased | (2,318,457 | ) | (11,590,336 | ) | (5,401,018 | ) | (30,338,133 | ) | |||||||||||
Net decrease | (1,226,052 | ) | ($6,503,964 | ) | (1,192,872 | ) | ($7,686,515 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 1,147,562 | $ | 5,622,644 | 3,281,161 | $ | 18,618,521 | |||||||||||||
Distributions reinvested | — | — | 1,072,685 | 5,575,011 | |||||||||||||||
Repurchased | (3,329,301 | ) | (16,627,758 | ) | (5,725,896 | ) | (32,655,241 | ) | |||||||||||
Net decrease | (2,181,739 | ) | ($11,005,114 | ) | (1,372,050 | ) | ($8,461,709 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 3,250,301 | $ | 15,762,037 | 5,600,367 | $ | 30,099,862 | |||||||||||||
Distributions reinvested | — | — | 1,279,721 | 6,445,416 | |||||||||||||||
Repurchased | (2,160,218 | ) | (10,616,115 | ) | (5,886,957 | ) | (32,345,547 | ) | |||||||||||
Net increase | 1,090,083 | $ | 5,145,922 | 993,131 | $ | 4,199,731 | |||||||||||||
Total net decrease | (2,317,708 | ) | ($12,363,156 | ) | (1,571,791 | ) | ($11,948,493 | ) | |||||||||||
Income Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | — | — | 144,745 | $ | 1,677,262 | ||||||||||||||
Distributions reinvested | — | — | 1,509,621 | 16,579,926 | |||||||||||||||
Repurchased | (2,430,522 | ) | ($25,835,602 | ) | (4,045,125 | ) | (46,677,744 | ) | |||||||||||
Net decrease | (2,430,522 | ) | ($25,835,602 | ) | (2,390,759 | ) | ($28,420,556 | ) |
Investment Quality Bond Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 132,024 | $ | 1,458,113 | 670,382 | $ | 7,573,924 | |||||||||||||
Distributions reinvested | — | — | 983,916 | 10,819,093 | |||||||||||||||
Repurchased | (1,011,438 | ) | (11,249,757 | ) | (2,633,613 | ) | (30,085,470 | ) | |||||||||||
Net decrease | (879,414 | ) | ($9,791,644 | ) | (979,315 | ) | ($11,692,453 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 93,667 | $ | 1,036,756 | 473,377 | $ | 5,351,962 | |||||||||||||
Distributions reinvested | — | — | 529,510 | 5,824,930 | |||||||||||||||
Repurchased | (738,360 | ) | (8,218,396 | ) | (1,775,970 | ) | (20,237,855 | ) | |||||||||||
Net decrease | (644,693 | ) | ($7,181,640 | ) | (773,083 | ) | ($9,060,963 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 2,701,332 | $ | 30,500,519 | 736,050 | $ | 8,424,767 | |||||||||||||
Distributions reinvested | — | — | 134,788 | 1,477,562 | |||||||||||||||
Repurchased | (274,036 | ) | (3,023,700 | ) | (309,526 | ) | (3,521,527 | ) | |||||||||||
Net increase | 2,427,296 | $ | 27,476,819 | 561,312 | $ | 6,380,802 | |||||||||||||
Total net increase (decrease) | 903,189 | $ | 10,503,535 | (1,191,086 | ) | ($14,372,614 | ) | ||||||||||||
Money Market Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 167,498,386 | $ | 167,498,386 | 304,418,581 | $ | 304,418,581 | |||||||||||||
Distributions reinvested | 255,537 | 255,537 | 1,963 | 1,963 | |||||||||||||||
Repurchased | (169,323,751 | ) | (169,324,816 | ) | (383,785,591 | ) | (383,785,591 | ) | |||||||||||
Net decrease | (1,569,828 | ) | ($1,570,893 | ) | (79,365,047 | ) | ($79,365,047 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 445,576 | $ | 445,576 | 317,127 | $ | 317,127 | |||||||||||||
Distributions reinvested | — | — | 298 | 298 | |||||||||||||||
Repurchased | (23,203,988 | ) | (23,203,988 | ) | (62,855,909 | ) | (62,855,909 | ) | |||||||||||
Net decrease | (22,758,412 | ) | ($22,758,412 | ) | (62,538,484 | ) | ($62,538,484 | ) | |||||||||||
Series NAV shares1 | |||||||||||||||||||
Sold | 22,423,025 | $ | 22,423,025 | — | — | ||||||||||||||
Issued in reorganization (Note 10) | 401,438,296 | 401,438,296 | — | — | |||||||||||||||
Distributions reinvested | 91,886 | 91,886 | — | — | |||||||||||||||
Repurchased | (25,397,775 | ) | (25,397,775 | ) | — | — | |||||||||||||
Net increase | 398,555,432 | $ | 398,555,432 | — | — | ||||||||||||||
Total net increase (decrease) | 374,227,192 | $ | 374,226,127 | (141,903,531 | ) | ($141,903,531 | ) |
1 | After the close of business on April 29, 2016, holders of Series NAV shares of Money Market Trust B became owners of an equal number of full and fractional Series NAV shares of Money Market Trust. These shares were first offered on 5-2-16. |
New Income Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | — | — | 5,344 | $ | 67,753 | ||||||||||||||
Distributions reinvested | — | — | 4,039,464 | 51,560,947 | |||||||||||||||
Repurchased | (10,666,429 | ) | ($137,372,204 | ) | (21,083,902 | ) | (274,847,986 | ) | |||||||||||
Net decrease | (10,666,429 | ) | ($137,372,204 | ) | (17,039,094 | ) | ($223,219,286 | ) |
Short Term Government Income Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 391,308 | $ | 4,827,841 | 531,433 | $ | 6,630,232 | |||||||||||||
Distributions reinvested | — | — | 66,792 | 822,207 | |||||||||||||||
Repurchased | (480,565 | ) | (5,946,176 | ) | (1,067,063 | ) | (13,280,876 | ) | |||||||||||
Net decrease | (89,257 | ) | ($1,118,335 | ) | (468,838 | ) | ($5,828,437 | ) | |||||||||||
Series II shares | |||||||||||||||||||
Sold | 506,555 | $ | 6,256,370 | 1,266,707 | $ | 15,793,289 | |||||||||||||
Distributions reinvested | — | — | 48,232 | 594,207 | |||||||||||||||
Repurchased | (604,332 | ) | (7,474,906 | ) | (1,472,451 | ) | (18,324,240 | ) | |||||||||||
Net decrease | (97,777 | ) | ($1,218,536 | ) | (157,512 | ) | ($1,936,744 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 1,447,967 | $ | 17,926,044 | 2,615,816 | $ | 32,619,899 | |||||||||||||
Distributions reinvested | — | — | 382,331 | 4,709,248 | |||||||||||||||
Repurchased | (980,283 | ) | (12,104,552 | ) | (7,216,877 | ) | (89,889,780 | ) | |||||||||||
Net increase (decrease) | 467,684 | $ | 5,821,492 | (4,218,730 | ) | ($52,560,633 | ) | ||||||||||||
Total net increase (decrease) | 280,650 | $ | 3,484,621 | (4,845,080 | ) | ($60,325,814 | ) | ||||||||||||
Strategic Income Opportunities Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 2,702,961 | $ | 35,798,755 | 4,143,908 | $ | 55,569,914 | |||||||||||||
Distributions reinvested | — | — | 832,194 | 10,980,357 | |||||||||||||||
Repurchased | (825,519 | ) | (10,991,538 | ) | (2,592,396 | ) | (34,645,434 | ) | |||||||||||
Net increase | 1,877,442 | $ | 24,807,217 | 2,383,706 | $ | 31,904,837 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 22,303 | $ | 295,806 | 269,956 | $ | 3,617,301 | |||||||||||||
Distributions reinvested | — | — | 90,681 | 1,199,190 | |||||||||||||||
Repurchased | (337,577 | ) | (4,474,799 | ) | (733,025 | ) | (9,831,351 | ) | |||||||||||
Net decrease | (315,274 | ) | ($4,178,993 | ) | (372,388 | ) | ($5,014,860 | ) | |||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 228,038 | $ | 2,984,609 | 3,488,578 | $ | 46,289,411 | |||||||||||||
Distributions reinvested | — | — | 123,237 | 1,620,322 | |||||||||||||||
Repurchased | (1,152,947 | ) | (15,329,545 | ) | (1,155,717 | ) | (15,451,300 | ) | |||||||||||
Net increase (decrease) | (924,909 | ) | ($12,344,936 | ) | 2,456,098 | $ | 32,458,433 | ||||||||||||
Total net increase | 637,259 | $ | 8,283,288 | 4,467,416 | $ | 59,348,410 | |||||||||||||
Total Bond Market Trust B | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 4,259,714 | $ | 44,154,690 | 4,956,570 | $ | 51,552,733 | |||||||||||||
Distributions reinvested | — | — | 460,064 | 4,683,456 | |||||||||||||||
Repurchased | (705,196 | ) | (7,327,818 | ) | (1,407,739 | ) | (14,538,190 | ) | |||||||||||
Net increase | 3,554,518 | $ | 36,826,872 | 4,008,895 | $ | 41,697,999 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 2,652,407 | $ | 27,337,390 | 2,425,676 | $ | 25,268,691 | |||||||||||||
Distributions reinvested | — | — | 173,782 | 1,771,006 | |||||||||||||||
Repurchased | (1,037,161 | ) | (10,768,355 | ) | (2,454,026 | ) | (25,553,051 | ) | |||||||||||
Net increase | 1,615,246 | $ | 16,569,035 | 145,432 | $ | 1,486,646 | |||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 1,483,575 | $ | 15,479,437 | 3,912,454 | $ | 40,624,978 | |||||||||||||
Distributions reinvested | — | — | 768,943 | 7,822,749 | |||||||||||||||
Repurchased | (1,467,424 | ) | (15,248,091 | ) | (5,759,888 | ) | (59,459,577 | ) | |||||||||||
Net increase (decrease) | 16,151 | $ | 231,346 | (1,078,491 | ) | ($11,011,850 | ) | ||||||||||||
Total net increase | 5,185,915 | $ | 53,627,253 | 3,075,836 | $ | 32,172,795 | |||||||||||||
Ultra Short Term Bond Trust | Six months ended 6/30/16 | Year ended 12/31/15 | |||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||
Series I shares | |||||||||||||||||||
Sold | 408,659 | $ | 4,767,972 | 1,390,848 | $ | 16,410,139 | |||||||||||||
Distributions reinvested | — | — | 11,895 | 138,916 | |||||||||||||||
Repurchased | (232,973 | ) | (2,718,792 | ) | (1,333,460 | ) | (15,728,613 | ) | |||||||||||
Net increase | 175,686 | $ | 2,049,180 | 69,283 | $ | 820,442 | |||||||||||||
Series II shares | |||||||||||||||||||
Sold | 9,661,889 | $ | 112,620,408 | 17,141,008 | $ | 201,801,393 | |||||||||||||
Distributions reinvested | — | — | 243,250 | 2,840,906 | |||||||||||||||
Repurchased | (4,596,853 | ) | (53,592,597 | ) | (15,356,964 | ) | (180,550,979 | ) | |||||||||||
Net increase | 5,065,036 | $ | 59,027,811 | 2,027,294 | $ | 24,091,320 | |||||||||||||
Series NAV shares | |||||||||||||||||||
Sold | 527,679 | $ | 6,161,918 | 545,844 | $ | 6,425,324 | |||||||||||||
Distributions reinvested | — | — | 15,750 | 183,932 | |||||||||||||||
Repurchased | (283,262 | ) | (3,304,078 | ) | (486,015 | ) | (5,732,906 | ) | |||||||||||
Net increase | 244,417 | $ | 2,857,840 | 75,579 | $ | 876,350 | |||||||||||||
Total net increase | 5,485,139 | $ | 63,934,831 | 2,172,156 | $ | 25,788,112 |
Purchases | Sales and Maturities | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | U.S. Government | | Other issuers | | U.S. Government | | Other issuers | |||||||||||
Active Bond Trust | $ | 198,133,160 | $ | 117,207,505 | $ | 202,567,581 | $ | 145,201,929 | ||||||||||
Bond Trust | 2,076,473,983 | 1,539,498,165 | 2,333,315,535 | 1,592,249,484 | ||||||||||||||
Core Bond Trust | 2,881,702,120 | 879,712,021 | 2,907,349,381 | 908,724,802 | ||||||||||||||
Global Bond Trust | 23,874,846 | 155,055,199 | 54,312,656 | 182,002,343 | ||||||||||||||
High Yield Trust | — | 77,148,796 | — | 67,108,083 | ||||||||||||||
Income Trust | — | 89,702,419 | — | 99,351,930 | ||||||||||||||
Investment Quality Bond Trust | 21,634,358 | 89,538,078 | 9,791,906 | 87,139,655 | ||||||||||||||
New Income Trust | 58,947,920 | 232,526,968 | 135,493,957 | 304,962,226 | ||||||||||||||
Short Term Government Income Trust | 22,194,254 | 115,568,698 | 20,484,295 | 128,087,303 | ||||||||||||||
Strategic Income Opportunities Trust | — | 125,914,736 | — | 92,391,303 | ||||||||||||||
Total Bond Market Trust B | 137,592,458 | 103,215,123 | 116,441,697 | 64,623,331 | ||||||||||||||
Ultra Short Term Bond Trust | 97,891,094 | 120,736,694 | 59,000,449 | 88,092,539 |
Portfolio | | Affiliated Concentration | ||||
---|---|---|---|---|---|---|
Bond Trust | 91.1 | % | ||||
Core Bond Trust | 62.5 | % | ||||
Global Bond Trust | 63.8 | % | ||||
Income Trust | 100.0 | % | ||||
New Income Trust | 100.0 | % | ||||
Short Term Government Income Trust | 37.7 | % |
Portfolio | Purchases | | | | Sales | |||||
---|---|---|---|---|---|---|---|---|---|---|
Active Bond Trust | $ | 73,824 | $ | 18,576,792 | ||||||
Global Bond Trust | 11,065,512 | 26,664,365 |
ACQUIRING PORTFOLIO | | ACQUIRED PORTFOLIO | NET ASSET VALUE OF THE ACQUIRED PORTFOLIO | | DEPRECIATION OF THE ACQUIRED PORTFOLIO INVESTMENT | | SHARES REDEEMED BY THE ACQUIRED PORTFOLIO | | SHARES ISSUED BY THE ACQUIRING PORTFOLIO | | ACQUIRING PORTFOLIO NET ASSETS PRIOR TO COMBINATION | | ACQUIRING PORTFOLIO TOTAL NET ASSETS AFTER COMBINATION | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Trust | Real Return Bond Trust | $ | 62,114,923 | ($572,777 | ) | 5,556,689 | 4,522,641 | $ | 9,007,220,699 | $ | 9,069,335,622 |
Net investment income | $ | 106,303,667 | ||||
Net realized and unrealized gain (loss) | 345,388,277 | |||||
Increase in net assets from operations | $ | 451,691,944 |
ACQUIRING PORTFOLIO | | ACQUIRED PORTFOLIO | NET ASSET VALUE OF THE ACQUIRED PORTFOLIO | | APPRECIATION OF THE ACQUIRED PORTFOLIO INVESTMENT | | SHARES REDEEMED BY THE ACQUIRED PORTFOLIO | | SHARES ISSUED BY THE ACQUIRING PORTFOLIO | | ACQUIRING PORTFOLIO NET ASSETS PRIOR TO COMBINATION | | ACQUIRING PORTFOLIO TOTAL NET ASSETS AFTER COMBINATION | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Money Market Trust | Money Market Trust B | $ | 401,438,296 | — | 401,438,296 | 401,438,296 | $ | 1,988,580,331 | $ | 2,390,018,627 |
Net investment income | $ | 596,908 | ||||
Net realized and unrealized gain (loss) | 35,186 | |||||
Increase in net assets from operations | $ | 632,094 |
ACQUIRING PORTFOLIO | | ACQUIRED PORTFOLIO | NET ASSET VALUE OF THE ACQUIRED PORTFOLIO | | SHARES REDEEMED BY THE ACQUIRED PORTFOLIO | | SHARES ISSUED BY THE ACQUIRING PORTFOLIO | | ACQUIRING PORTFOLIO NET ASSETS PRIOR TO COMBINATION | | ACQUIRING PORTFOLIO TOTAL NET ASSETS AFTER COMBINATION | | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Core Bond Trust | Total Return Trust | $ | 513,006,633 | 44,226,144 | 38,103,986 | $ | 1,012,403,433 | $ | 1,525,410,066 |
Net investment income | $ | 28,420,013 | ||||
Net realized and unrealized gain (loss) | 21,609,607 | |||||
Increase in net assets from operations | $ | 49,849,620 |
Proposal One: | Approval of an Agreement and Plan of Reorganization providing for the reorganization of Money Market Trust B into Money Market Trust. |
FOR | AGAINST | ABSTAIN | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
392,183,907.560 | 34,204,709.470 | 24,918,974.407 |
Proposal Two: | Approval of an Agreement and Plan of Reorganization providing for the reorganization of Real Return Bond Trust into Bond Trust. |
FOR | AGAINST | ABSTAIN | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
6,191,442.110 | 148,097.141 | 278,423.406 |
(1) | information relating to each Subadvisor’s business, including current subadvisory services to the Trust (and other funds in the John Hancock family of funds); |
(2) | the historical and current performance of each Fund and comparative performance information relating to the Fund’s benchmark and comparable funds; |
(3) | the subadvisory fee for each Fund, including any breakpoints, and comparative fee information, where available, prepared by an independent third-party provider of mutual fund data; and |
(4) | information relating to the nature and scope of any material relationships and their significance to the Trust’s Advisor and unaffiliated Subadvisors. |
(1) | Each Subadvisor has extensive experience and demonstrated skills as a manager; |
(2) | The performance of each Fund managed by a Subadvisor generally has been in line with or outperformed the historical performance of comparable funds and the Fund’s respective benchmarks, or, with respect to those Funds that have generally underperformed the historical performance of comparable funds and/or the Fund’s benchmark as noted in Appendix A, the Board concluded that performance is being monitored and reasonably addressed); |
(3) | The subadvisory fees are reasonable in relation to the level and quality of services being provided; and |
(4) | With respect to those Funds that have subadvisory fees that contain breakpoints, certain breakpoints are reflected as breakpoints in the advisory fees for the Funds in order to permit shareholders to benefit from economies of scale if those Funds grow. |