Thrivent Series Fund NPORT-P/A Thrivent Moderately Aggressive Allocation Portfolio (Mar 2020 report)

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

1

Shares

Common

Stock

(

47.1%

)

Value

Communications

Services

(2.6%)

28,788

Activision

Blizzard,

Inc.

a

$

1,712,310

7,337

Alphabet,

Inc.,

Class

A

a

8,525,227

1,696

Alphabet,

Inc.,

Class

C

a

1,972,126

28,074

AMC

Entertainment

Holdings,

Inc.

b

88,714

2,132

AMC

Networks,

Inc.

a

51,829

8,871

AT&T,

Inc.

258,590

15,600

Auto

Trader

Group

plc

c

84,299

681

Boingo

Wireless,

Inc.

a

7,225

1,027

Carsales.com,

Ltd.

7,379

9,653

CenturyLink,

Inc.

91,317

4,829

Cinemark

Holdings,

Inc.

49,208

59,786

Comcast

Corporation

2,055,443

2,673

Consolidated

Communications

Holdings,

Inc.

12,162

3,350

Discovery,

Inc.,

Class

A

a,b

65,124

20,937

DISH

Network

Corporation

a

418,531

4,210

EchoStar

Corporation

a

134,594

22,707

Facebook,

Inc.

a

3,787,528

16,881

Gannett

Company,

Inc.

24,984

770

Hemisphere

Media

Group,

Inc.

a

6,576

8,000

HKT

Trust

and

HKT,

Ltd.

10,880

5,831

Interpublic

Group

of

Companies,

Inc.

94,404

280

Ipsos

SA

5,810

7,914

Lions

Gate

Entertainment

Corporation,

Class

A

a

48,117

6,297

Lions

Gate

Entertainment

Corporation,

Class

B

a

35,137

46,056

Live

Nation

Entertainment,

Inc.

a,b

2,093,706

7,838

Mediaset

Espana

Comunicacion

SA

28,620

11,919

Meredith

Corporation

b

145,650

1,083

News

Corporation,

Class

B

9,736

935

Orange

SA

11,320

61,995

ORBCOMM,

Inc.

a

151,268

78,317

QuinStreet,

Inc.

a

630,452

681

Rightmove

plc

4,107

5,750

RingCentral,

Inc.

a

1,218,483

342

Roku,

Inc.

a

29,918

1,317

Scholastic

Corporation

33,570

3,581

Seven

West

Media,

Ltd.

a

174

1,700

Sinclair

Broadcast

Group,

Inc.

27,336

2,700

SoftBank

Corporation

34,394

400

SoftBank

Group

Corporation

14,161

12,278

Take-Two

Interactive

Software,

Inc.

a

1,456,294

15,347

Tegna,

Inc.

166,668

50,562

Telecom

Italia

SPA

20,466

4,855

Telefonica

SA

22,096

725

Telephone

&

Data

Systems,

Inc.

12,151

2,800

TV

Asahi

Holdings

Corporation

42,436

20,859

Twitter,

Inc.

a

512,297

31,299

Uber

Technologies,

Inc.

a

873,868

62,848

Verizon

Communications,

Inc.

3,376,823

12,695

ViacomCBS,

Inc.

177,857

3,442

Vodafone

Group

plc

4,762

6,820

Walt

Disney

Company

658,812

630

Wolters

Kluwer

NV

44,594

15,894

Zillow

Group,

Inc.

a

539,919

Total

31,889,452

Consumer

Discretionary

(5.1%)

2,757

Abercrombie

&

Fitch

Company

b

25,061

4,065

Adient

plc

a

36,870

12,934

Alibaba

Group

Holding,

Ltd.

ADR

a

2,515,404

7,455

Amazon.com,

Inc.

a

14,535,163

1,381

American

Axle

&

Manufacturing

Holdings,

Inc.

a

4,985

10,949

American

Eagle

Outfitters,

Inc.

87,045

Shares

Common

Stock

(47.1%)

Value

Consumer

Discretionary

(5.1%)

-

continued

678

American

Public

Education,

Inc.

a

$

16,225

300

AOKI

Holdings,

Inc.

2,009

600

Aoyama

Trading

Company,

Ltd.

5,133

12,719

Aptiv

plc

626,284

8,192

At

Home

Group,

Inc.

a

16,548

500

Autobacs

Seven

Company,

Ltd.

5,755

604

AutoZone,

Inc.

a

510,984

1,416

Beazer

Homes

USA,

Inc.

a

9,119

22,498

Bed

Bath

&

Beyond,

Inc.

b

94,717

561

Berkeley

Group

Holdings

plc

25,039

2,637

Big

Lots,

Inc.

37,498

393

Booking

Holdings,

Inc.

a

528,711

366

Boyd

Gaming

Corporation

5,278

200

Bridgestone

Corporation

6,122

14,908

Bright

Horizons

Family

Solutions,

Inc.

a

1,520,616

13,352

Burlington

Stores,

Inc.

a

2,115,758

1,767

Caleres,

Inc.

9,188

2,309

Carnival

Corporation

30,410

2,101

Century

Casinos,

Inc.

a

5,063

16,747

Chico's

FAS,

Inc.

21,604

4,585

Chipotle

Mexican

Grill,

Inc.

a

3,000,424

400

Chiyoda

Company,

Ltd.

4,304

651

Churchill

Downs,

Inc.

67,020

6,200

Citizen

Watch

Company,

Ltd.

21,875

77,451

Cooper-Standard

Holdings,

Inc.

a

795,422

53,340

Crocs,

Inc.

a

906,247

4,107

Culp,

Inc.

30,228

15,176

D.R.

Horton,

Inc.

515,984

4,484

Dana,

Inc.

35,020

3,000

Denso

Corporation

95,863

62,065

Designer

Brands,

Inc.

309,084

4,171

Domino's

Pizza,

Inc.

1,351,696

36,075

Duluth

Holdings,

Inc.

a,b

144,661

4,492

Eldorado

Resorts,

Inc.

a

64,685

8,099

Emerald

Holding,

Inc

20,976

3,469

Ethan

Allen

Interiors,

Inc.

35,453

31,557

Etsy,

Inc.

a

1,213,051

200

Exedy

Corporation

2,944

4,681

Express,

Inc.

a

6,975

4,508

Extended

Stay

America,

Inc.

32,953

27,218

Five

Below,

Inc.

a

1,915,603

7,619

Foot

Locker,

Inc.

167,999

13,960

Fossil,

Inc.

a

45,928

8,000

Galaxy

Entertainment

Group,

Ltd.

42,135

15,346

GameStop

Corporation

a

53,711

8,290

Garrett

Motion,

Inc.

a

23,709

8,776

Genuine

Parts

Company

590,888

7,472

Goodyear

Tire

&

Rubber

Company

43,487

6,014

Grand

Canyon

Education,

Inc.

a

458,778

147

Group

1

Automotive,

Inc.

6,506

2,461

GrubHub,

Inc.

a

100,237

2,413

Hertz

Global

Holdings,

Inc.

a

14,912

21,016

Home

Depot,

Inc.

3,923,897

1,449

Hooker

Furniture

Corporation

22,619

568

Industria

de

Diseno

Textil

SA

14,719

10,970

Knoll,

Inc.

113,210

5,336

L

Brands,

Inc.

61,684

5,738

Lear

Corporation

466,212

22,890

Lowe's

Companies,

Inc.

1,969,684

4,485

Lululemon

Athletica,

Inc.

a

850,132

1,580

Lumber

Liquidators

Holdings,

Inc.

a

7,410

12,674

Macy's,

Inc.

b

62,229

312

Madison

Square

Garden

Company

a

65,960

3,699

Marcus

Corporation

45,572

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

2

Shares

Common

Stock

(47.1%)

Value

Consumer

Discretionary

(5.1%)

-

continued

382

Marriott

Vacations

Worldwide

Corporation

$

21,232

27,752

Mattel,

Inc.

a

244,495

3,706

McDonald's

Corporation

612,787

18,914

Michaels

Companies,

Inc.

a

30,641

3,383

Modine

Manufacturing

Company

a

10,995

3,210

Mohawk

Industries,

Inc.

a

244,730

5,781

Moneysupermarket.com

Group

plc

21,483

45,637

Movado

Group,

Inc.

539,429

954

Netflix,

Inc.

a

358,227

496

Newell

Brands,

Inc.

6,587

2,100

NHK

Spring

Company,

Ltd.

13,698

24,054

NIKE,

Inc.

1,990,228

900

Nissan

Motor

Company,

Ltd.

3,011

1,359

Norwegian

Cruise

Line

Holdings,

Ltd.

a

14,895

655

NVR,

Inc.

a

1,682,767

15,818

Office

Depot,

Inc.

25,942

26,530

Ollie's

Bargain

Outlet

Holdings,

Inc.

a,b

1,229,400

400

Onward

Holdings

Company,

Ltd.

1,758

13,386

Oxford

Industries,

Inc.

485,376

7,295

Park

Hotels

&

Resorts,

Inc.

57,703

400

Park24

Company,

Ltd.

5,897

8,805

Party

City

Holdco,

Inc.

a

4,035

15,748

Penn

National

Gaming,

Inc.

a

199,212

50,748

Planet

Fitness,

Inc.

a

2,471,428

90,473

Playa

Hotels

and

Resorts

NV

a

158,328

300

PLENUS

Company,

Ltd.

b

5,130

535

PVH

Corporation

20,137

15,415

Qurate

Retail,

Inc.

a

94,109

35,035

Red

Rock

Resorts,

Inc.

299,549

3,621

Redrow

plc

16,051

6,559

RH

a

658,983

500

Rinnai

Corporation

35,245

2,644

Ruth's

Hospitality

Group,

Inc.

17,662

5,048

Sally

Beauty

Holdings,

Inc.

a

40,788

900

Sangetsu

Company,

Ltd.

13,321

400

SHIMAMURA

Company,

Ltd.

24,174

3,428

Signet

Jewelers,

Ltd.

22,111

6,181

Six

Flags

Entertainment

Corporation

77,510

12,823

Skyline

Corporation

a

201,065

15,080

Sony

Corporation

ADR

892,434

8,142

Standard

Motor

Products,

Inc.

338,463

9,400

Sumitomo

Electric

Industries,

Ltd.

98,211

200

Sumitomo

Forestry

Company,

Ltd.

2,553

5,100

Sumitomo

Rubber

Industries,

Ltd.

47,903

392

Super

Retail

Group,

Ltd.

1,121

6,513

Tailored

Brands,

Inc.

11,333

100

Takara

Standard

Company,

Ltd.

1,529

391

Tapestry,

Inc.

5,063

7,901

Taylor

Morrison

Home

Corporation

a

86,911

13,608

Taylor

Wimpey

plc

19,581

7,875

Tenneco,

Inc.

a

28,350

43,109

Texas

Roadhouse,

Inc.

1,780,402

2,301

Thor

Industries,

Inc.

97,056

10,018

TJX

Companies,

Inc.

478,961

526

Toll

Brothers,

Inc.

10,125

900

Toyoda

Gosei

Company,

Ltd.

15,317

14,009

Tupperware

Brands

Corporation

22,695

5,514

Ulta

Beauty,

Inc.

a

968,810

200

United

Arrows,

Ltd.

3,008

2,430

Urban

Outfitters,

Inc.

a

34,603

4,858

Vail

Resorts,

Inc.

717,575

133

Williams-Sonoma,

Inc.

5,655

16,332

Wingstop,

Inc.

1,301,660

4,965

Workhorse

Group,

Inc.

a,b

8,987

Shares

Common

Stock

(47.1%)

Value

Consumer

Discretionary

(5.1%)

-

continued

1,728

Wynn

Resorts,

Ltd.

$

104,008

31,869

Zumiez,

Inc.

a

551,971

Total

62,113,079

Consumer

Staples

(1.7%)

414

Andersons,

Inc.

7,763

797

Anheuser-Busch

InBev

NV

35,203

500

Arcs

Company,

Ltd.

8,983

6,450

B&G

Foods,

Inc.

116,681

129

Beyond

Meat,

Inc.

a

8,591

7,380

BJ's

Wholesale

Club

Holdings,

Inc.

a

187,969

635

Carlsberg

AS

71,488

18,560

Casey's

General

Stores,

Inc.

2,459,014

1,928

Central

Garden

&

Pet

Company

a

53,020

24,230

Coca-Cola

Company

1,072,178

11,420

Colgate-Palmolive

Company

757,831

1,779

Costco

Wholesale

Corporation

507,246

133,430

Cott

Corporation

1,208,876

3,014

Edgewell

Personal

Care

Company

a

72,577

513

Energizer

Holdings,

Inc.

15,518

671

ForFarmers

BV

4,174

158

Glanbia

plc

1,720

78,625

Hain

Celestial

Group,

Inc.

a

2,041,891

15,179

John

B.

Sanfilippo

&

Son,

Inc.

1,357,003

400

Kewpie

Corporation

8,006

4,790

Kimberly-Clark

Corporation

612,497

2

Lindt

&

Spruengli

AG

16,787

86

L'Oreal

SA

22,258

100

Ministop

Company,

Ltd.

1,349

12,709

Monster

Beverage

Corporation

a

715,008

1,795

Nestle

SA

183,750

6,924

PepsiCo,

Inc.

831,572

23,338

Philip

Morris

International,

Inc.

1,702,740

9,963

Procter

&

Gamble

Company

1,095,930

166

Reckitt

Benckiser

Group

plc

12,645

1,169

Seneca

Foods

Corporation

a

46,503

27,641

Simply

Good

Foods

Company

a

532,366

2,433

Sprouts

Farmers

Markets,

Inc.

a

45,229

900

Sugi

Holdings

Company,

Ltd.

48,194

2,300

Sundrug

Company,

Ltd.

73,702

2,785

TreeHouse

Foods,

Inc.

a

122,958

83,016

Turning

Point

Brands,

Inc.

1,752,468

799

Unilever

NV

39,272

6,651

United

Natural

Foods,

Inc.

a

61,056

3,221

Vector

Group,

Ltd.

30,342

24,014

Wal-Mart

Stores,

Inc.

2,728,471

Total

20,670,829

Energy

(0.9%)

7,965

Abraxas

Petroleum

Corporation

a

964

27,501

Antero

Midstream

Corporation

b

57,752

717

Apache

Corporation

2,997

53,063

Archrock,

Inc.

199,517

37,929

BP

plc

ADR

925,088

64,452

Callon

Petroleum

Company

a

35,313

10,057

Centennial

Resource

Development,

Inc.

a

2,645

13,802

Chevron

Corporation

1,000,093

20,565

Cimarex

Energy

Company

346,109

10,050

Concho

Resources,

Inc.

430,643

10,290

ConocoPhillips

316,932

17,787

Continental

Resources,

Inc.

b

135,893

9,052

Core

Laboratories

NV

93,598

6,240

Devon

Energy

Corporation

43,118

9,196

Diamond

Offshore

Drilling,

Inc.

a,b

16,829

11,765

Diamondback

Energy,

Inc.

308,243

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

3

Shares

Common

Stock

(47.1%)

Value

Energy

(0.9%)

-

continued

2,118

Eni

SPA

$

21,048

19,390

EnLink

Midstream,

LLC

21,329

26,477

Enterprise

Products

Partners,

LP

378,621

5,657

EOG

Resources,

Inc.

203,200

16,491

EQT

Corporation

116,591

7,678

Equitrans

Midstream

Corporation

38,620

115,140

Euronav

NV

1,298,779

685

Evolution

Petroleum

Corporation

1,788

6,246

Exterran

Corporation

a

29,981

13,258

Exxon

Mobil

Corporation

503,406

9,242

Frank's

International

NV

a

23,937

73

Gaztransport

Et

Technigaz

SA

5,256

20,227

Gran

Tierra

Energy,

Inc.

a

5,071

42,292

Halliburton

Company

289,700

9,882

Helmerich

&

Payne,

Inc.

154,653

20,000

JXTG

Holdings,

Inc.

68,148

7,752

Liberty

Oilfield

Services,

Inc.

20,853

88,772

Marathon

Oil

Corporation

292,060

22,950

Marathon

Petroleum

Corporation

542,079

36,238

Nabors

Industries,

Ltd.

14,136

20,418

NexTier

Oilfield

Solutions,

Inc.

a

23,889

94,842

Nine

Energy

Service,

Inc.

a

76,661

8,953

Oceaneering

International,

Inc.

a

26,322

2,192

Oil

States

International,

Inc.

a

4,450

153

OMV

AG

4,187

2,632

ONEOK,

Inc.

57,404

62,277

Patterson-UTI

Energy,

Inc.

146,351

4,200

PDC

Energy,

Inc.

a

26,082

4,767

Peabody

Energy

Corporation

13,824

1,416

Penn

Virginia

Corporation

a

4,375

9,322

Pioneer

Natural

Resources

Company

653,938

5,439

Plains

GP

Holdings,

LP

30,513

2,748

ProPetro

Holding

Corporation

a

6,870

113,427

QEP

Resources,

Inc.

37,941

3,759

Royal

Dutch

Shell

plc,

Class

A

65,308

6,057

Royal

Dutch

Shell

plc,

Class

B

101,600

8,965

RPC,

Inc.

18,468

5,817

Schlumberger,

Ltd.

78,471

37,802

SEACOR

Holdings,

Inc.

a

1,019,142

37,268

Southwestern

Energy

Company

a

62,983

51,655

Talos

Energy,

Inc.

a

297,016

3,465

Targa

Resources

Corporation

23,943

489

Total

SA

18,425

592

TransCanada

Energy

Corporation

26,313

63,824

Transocean,

Ltd.

a,b

74,036

54,527

WPX

Energy,

Inc.

a

166,307

Total

11,009,809

Financials

(6.3%)

137

1st

Source

Corporation

4,443

3,400

AB

Industrivarden

65,102

20,940

Aflac,

Inc.

716,986

7,530

AG

Mortgage

Investment

Trust,

Inc.

20,632

2,400

AIA

Group,

Ltd.

21,491

29,951

Air

Lease

Corporation

663,115

1,136

Alleghany

Corporation

627,470

886

Allianz

SE

150,884

37,925

Ally

Financial,

Inc.

547,258

1,045

American

Equity

Investment

Life

Holding

Company

19,646

10,458

American

Express

Company

895,309

25,655

American

Financial

Group,

Inc.

1,797,902

15,660

American

International

Group,

Inc.

379,755

4,018

Ameriprise

Financial,

Inc.

411,765

19,932

Ameris

Bancorp

473,584

1,617

Aon

plc

266,870

Shares

Common

Stock

(47.1%)

Value

Financials

(6.3%)

-

continued

1,069

Argo

Group

International

Holdings,

Ltd.

$

39,617

461

ARMOUR

Residential

REIT,

Inc.

4,061

12,146

Arthur

J.

Gallagher

&

Company

990,020

1,847

Artisan

Partners

Asset

Management,

Inc.

39,692

11,559

Associated

Banc-Corp

147,840

99,102

Assured

Guaranty,

Ltd.

2,555,841

707

Baloise

Holding

AG

92,173

9,010

Bank

Leumi

Le-Israel

BM

49,681

177,536

Bank

of

America

Corporation

3,769,089

1,580

Bank

of

Marin

Bancorp

47,400

1,183

Bank

of

Montreal

59,734

30,978

Bank

of

N.T.

Butterfield

&

Son,

Ltd.

527,555

4,805

Bank

of

New

York

Mellon

Corporation

161,832

3,849

BankFinancial

Corporation

33,910

3,783

BankUnited,

Inc.

70,742

8,688

Banner

Corporation

287,052

5,298

Berkshire

Hathaway,

Inc.

a

968,633

1,690

BlackRock,

Inc.

743,549

1,026

BOK

Financial

Corporation

43,667

25,451

Boston

Private

Financial

Holdings,

Inc.

181,975

65,101

Bridgewater

Bancshares,

Inc.

a

634,735

3,386

Brighthouse

Financial,

Inc.

a

81,840

45,558

BrightSphere

Investment

Group

291,116

1,553

Brown

&

Brown,

Inc.

56,250

2,423

Byline

Bancorp,

Inc.

25,127

950

Cadence

Bancorporation

6,222

17,467

Capital

One

Financial

Corporation

880,686

10,053

Cboe

Global

Markets,

Inc.

897,230

43,790

Charles

Schwab

Corporation

1,472,220

6,240

Chubb,

Ltd.

696,946

7,376

CI

Financial

Corporation

73,220

4,290

Cincinnati

Financial

Corporation

323,680

9,205

CIT

Group,

Inc.

158,878

49,436

Citigroup,

Inc.

2,082,244

20,216

Citizens

Financial

Group,

Inc.

380,263

1,173

CME

Group,

Inc.

202,823

369

CNP

Assurances

3,573

8,132

Cohen

&

Steers,

Inc.

369,599

34,077

Comerica,

Inc.

999,819

1,324

Commonwealth

Bank

of

Australia

49,955

402

Community

Bank

System,

Inc.

23,638

10,655

Community

Trust

Bancorp,

Inc.

338,722

11,254

Cullen/Frost

Bankers,

Inc.

627,861

5,300

DBS

Group

Holdings,

Ltd.

69,155

260

Deutsche

Boerse

AG

35,720

2,592

Deutsche

Pfandbriefbank

AG

c

19,567

289

Diamond

Hill

Investment

Group,

Inc.

26,079

7,923

Discover

Financial

Services

282,613

5,347

DnB

ASA

59,571

3,592

Ellington

Residential

Mortgage

REIT

19,038

5,440

Enstar

Group,

Ltd.

a

865,232

1,894

Enterprise

Financial

Services

Corporation

52,862

16,568

Essent

Group,

Ltd.

436,401

1,276

Euronext

NV

c

93,956

236,136

Everi

Holdings,

Inc.

a

779,249

1,616

FBL

Financial

Group,

Inc.

75,419

707

Federal

Agricultural

Mortgage

Corporation

39,330

10,967

Fifth

Third

Bancorp

162,860

4,926

Financial

Institutions,

Inc.

89,358

2,683

First

American

Financial

Corporation

113,786

755

First

Bancshares,

Inc.

14,398

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

4

Shares

Common

Stock

(47.1%)

Value

Financials

(6.3%)

-

continued

12,251

First

Busey

Corporation

$

209,615

1,123

First

Citizens

BancShares,

Inc.

373,813

15,015

First

Defiance

Financial

Corporation

221,321

3,777

First

Financial

Corporation

127,360

52,881

First

Interstate

BancSystem,

Inc.

1,525,088

424

First

Mid-Illinois

Bancshares,

Inc.

10,066

5,119

First

Midwest

Bancorp,

Inc.

67,750

486

First

of

Long

Island

Corporation

8,432

10,215

First

Republic

Bank

840,490

13,682

FlexiGroup,

Ltd.

6,324

2,434

Goldman

Sachs

Group,

Inc.

376,272

9,616

Great

Southern

Bancorp,

Inc.

388,486

9,313

Great

Western

Bancorp,

Inc.

190,730

26,296

Hamilton

Lane,

Inc.

1,454,432

2,354

Hancock

Whitney

Corporation

45,950

828

Hanmi

Financial

Corporation

8,984

4,127

Hanover

Insurance

Group,

Inc.

373,824

28,806

Hartford

Financial

Services

Group,

Inc.

1,015,123

34,141

Heartland

Financial

USA,

Inc.

1,031,058

105,764

Heritage

Commerce

Corporation

811,210

827

Heritage

Financial

Corporation

16,540

6,816

Hometrust

Bancshares,

Inc.

108,511

7,742

Horizon

Bancorp,

Inc.

76,336

12,722

Houlihan

Lokey,

Inc.

663,071

3,939

HSBC

Holdings

plc

22,113

9,238

Independent

Bank

Corporation

118,893

29,550

Interactive

Brokers

Group,

Inc.

1,275,673

7,297

Intercontinental

Exchange,

Inc.

589,233

2,125

International

Bancshares

Corporation

57,120

21,083

Israel

Discount

Bank,

Ltd.

61,475

17,234

J.P.

Morgan

Chase

&

Company

1,551,577

470

Janus

Henderson

Group

plc

7,200

16,139

Kemper

Corporation

1,200,257

92,172

KeyCorp

955,824

171

L

E

Lundbergforetagen

AB

6,932

3,250

Lakeland

Bancorp,

Inc.

35,132

1,346

Laurentian

Bank

of

Canada

29,229

4,043

Loews

Corporation

140,818

6,707

M&T

Bank

Corporation

693,705

5,442

Manulife

Financial

Corporation

68,330

974

Markel

Corporation

a

903,765

1,678

Marsh

&

McLennan

Companies,

Inc.

145,080

2,151

Mercantile

Bank

Corporation

45,537

15,119

Meridian

Bancorp,

Inc.

169,635

18,220

MetLife,

Inc.

556,985

11,570

MidWestOne

Financial

Group,

Inc.

242,276

457

Mizrahi

Tefahot

Bank,

Ltd.

8,411

27,050

Morgan

Stanley

919,700

144

Morningstar,

Inc.

16,740

2,145

Mr.

Cooper

Group,

Inc.

a

15,723

4,572

MSCI,

Inc.

1,321,125

442

National

Bank

of

Canada

17,083

97

National

Western

Life

Group,

Inc.

16,684

3,241

Natixis

10,320

873

NBT

Bancorp,

Inc.

28,276

9,642

Northern

Trust

Corporation

727,585

3,667

Northwest

Bancshares,

Inc.

42,427

1,761

OFG

Bancorp

19,688

1,254

Old

Republic

International

Corporation

19,123

3,679

Old

Second

Bancorp,

Inc.

25,422

339

Onex

Corporation

12,408

3,120

PacWest

Bancorp

55,910

411

Paragon

Banking

Group

plc

1,681

Shares

Common

Stock

(47.1%)

Value

Financials

(6.3%)

-

continued

352

Pargesa

Holding

SA

$

23,240

250

Park

National

Corporation

19,410

7,328

PCSB

Financial

Corporation

102,519

471

Peapack-Gladstone

Financial

Corporation

8,454

1,524

Peoples

Bancorp,

Inc.

33,757

5,740

PNC

Financial

Services

Group,

Inc.

549,433

31,222

Popular,

Inc.

1,092,770

1,403

Power

Corporation

of

Canada

22,571

11,892

Primerica,

Inc.

1,052,204

62,918

Prosight

Global,

Inc.

a

613,450

1,282

Provident

Financial

Services,

Inc.

16,487

4,522

Prudential

Financial,

Inc.

235,777

7,717

QCR

Holdings,

Inc.

208,899

30,028

Radian

Group,

Inc.

388,863

34,611

Raymond

James

Financial,

Inc.

2,187,415

596

Ready

Capital

Corporation

4,303

6,051

Reinsurance

Group

of

America,

Inc.

509,131

5,521

Renasant

Corporation

120,579

761

Royal

Bank

of

Canada

47,137

8,356

S&P

Global,

Inc.

2,047,638

1,151

Safety

Insurance

Group,

Inc.

97,179

2,055

Sandy

Spring

Bancorp,

Inc.

46,525

15,354

Santander

Consumer

USA

Holdings,

Inc.

b

213,574

70,080

Seacoast

Banking

Corporation

of

Florida

a

1,283,165

13,427

SEI

Investments

Company

622,207

681

Selective

Insurance

Group,

Inc.

33,846

500

Senshu

Ikeda

Holdings,

Inc.

754

1,000

Singapore

Exchange,

Ltd.

6,440

3,361

SLM

Corporation

24,166

20,013

Spirit

of

Texas

Bancshares,

Inc.

a

206,934

342

Starwood

Property

Trust,

Inc.

3,506

32,953

State

Auto

Financial

Corporation

915,764

2,715

Sun

Life

Financial,

Inc.

87,336

9,278

SVB

Financial

Group

a

1,401,720

289

Swiss

Life

Holding

AG

97,002

77,740

Synovus

Financial

Corporation

1,365,114

8,845

T.

Rowe

Price

Group,

Inc.

863,714

255

TCF

Financial

Corporation

5,778

1,540

Territorial

Bancorp,

Inc.

37,807

10,396

TMX

Group,

Ltd.

773,956

171

Topdanmark

AS

6,862

4,751

Toronto-Dominion

Bank

201,984

7,730

TPG

RE

Finance

Trust,

Inc.

42,438

3,143

TriCo

Bancshares

93,724

26,258

Triumph

Bancorp,

Inc.

a

682,708

11,638

TrustCo

Bank

Corporation

62,962

26,610

U.S.

Bancorp

916,715

248

UMB

Financial

Corporation

11,502

2,155

Umpqua

Holdings

Corporation

23,490

528

Univest

Financial

Corporation

8,617

39

Virtus

Investment

Partners,

Inc.

2,968

2,448

Washington

Trust

Bancorp,

Inc.

89,499

15,800

Webster

Financial

Corporation

361,820

4,768

Wells

Fargo

&

Company

136,842

3,670

WesBanco,

Inc.

86,979

636

Westamerica

Bancorporation

37,384

22,710

Western

Alliance

Bancorp

695,153

170

Westwood

Holdings

Group,

Inc.

3,113

18,933

Wintrust

Financial

Corporation

622,138

58,296

Zions

Bancorporations

NA

1,560,001

Total

76,890,820

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

5

Shares

Common

Stock

(47.1%)

Value

Health

Care

(7.5%)

9,400

Abbott

Laboratories

$

741,754

1,879

AbbVie,

Inc.

143,161

401

Acceleron

Pharma,

Inc.

a

36,038

6,200

ADMA

Biologics,

Inc.

a

17,856

2,966

Aduro

Biotech,

Inc.

a

8,127

15,757

Aerie

Pharmaceuticals,

Inc.

a,b

212,719

2,654

Agenus,

Inc.

a

6,502

3,471

Agile

Therapeutics,

Inc.

a

6,456

13,652

Agilent

Technologies,

Inc.

977,756

22,272

Agios

Pharmaceuticals,

Inc.

a,b

790,211

1,792

Akebia

Therapeutics,

Inc.

a

13,583

6,812

Alexion

Pharmaceuticals,

Inc.

a

611,649

3,429

Align

Technology,

Inc.

a

596,475

3,068

Alkermes

plc

a

44,241

3,373

AmerisourceBergen

Corporation

298,510

4,565

Amgen,

Inc.

925,462

3,239

AnaptysBio,

Inc.

a

45,767

2,461

Anavex

Life

Sciences

Corporation

a

7,752

5,674

Arena

Pharmaceuticals,

Inc.

a

238,308

1,983

Argenx

SE

ADR

a

261,221

794

Assembly

Biosciences,

Inc.

a

11,775

1,696

Atara

Biotherapeutics,

Inc.

a

14,433

706

Athenex,

Inc.

a

5,464

78

Atrion

Corporation

50,700

457

AVROBIO,

Inc.

a

7,111

41,744

Axonics

Modulation

Technologies,

Inc.

a,b

1,060,715

383

Axsome

Therapeutics,

Inc.

a

22,532

24,036

Bausch

Health

Companies,

Inc.

a

372,558

1,180

Becton,

Dickinson

and

Company

271,129

3,476

Biogen,

Inc.

a

1,099,737

8,629

Biohaven

Pharmaceutical

Holding

Company,

Ltd.

a

293,645

7,513

BioMarin

Pharmaceutical,

Inc.

a

634,849

1,798

Bio-Rad

Laboratories,

Inc.

a

630,307

12,459

Bio-Techne

Corporation

2,362,476

1,335

Bluebird

Bio,

Inc.

a

61,357

261

Blueprint

Medicines

Corporation

a

15,263

641

Bruker

Corporation

22,986

73,520

Catalent,

Inc.

a

3,819,364

1,867

CEL-SCI

Corporation

a

21,545

23,120

Centene

Corporation

a

1,373,559

3,468

Charles

River

Laboratories

International,

Inc.

a

437,696

760

Chemed

Corporation

329,232

5,887

Cigna

Holding

Company

1,043,059

1,990

Clovis

Oncology,

Inc.

a

12,656

3,237

Community

Health

Systems,

Inc.

a

10,812

8,997

CryoLife,

Inc.

a

152,229

928

CSL,

Ltd.

168,220

28,389

CVS

Health

Corporation

1,684,319

1,572

CytomX

Therapeutics,

Inc.

a

12,057

2,027

Danaher

Corporation

280,557

425

Deciphera

Pharmaceuticals,

Inc.

a

17,497

8,382

Dexcom,

Inc.

a

2,257,021

4,532

Dynavax

Technologies

Corporation

a

15,998

11,744

Edwards

Lifesciences

Corporation

a

2,215,153

1,658

Encompass

Health

Corporation

106,162

5,262

Endo

International

plc

a

19,469

12,371

Gilead

Sciences,

Inc.

924,856

9,821

GlaxoSmithKline

plc

184,282

448

Global

Blood

Therapeutics,

Inc.

a

22,888

1,131

Grifols

SA

37,840

36,021

Guardant

Health,

Inc.

a

2,507,062

64,376

Halozyme

Therapeutics,

Inc.

a

1,158,124

6,966

HCA

Healthcare,

Inc.

625,895

Shares

Common

Stock

(47.1%)

Value

Health

Care

(7.5%)

-

continued

751

HealthStream,

Inc.

a

$

17,986

5,868

Hill-Rom

Holdings,

Inc.

590,321

4,335

Humana,

Inc.

1,361,277

14,971

iBio,

Inc.

a

15,869

13,924

ImmunoGen,

Inc.

a

47,481

11,939

Immunomedics,

Inc.

a

160,938

1,151

Insmed,

Inc.

a

18,451

18,464

Inspire

Medical

Systems,

Inc.

a

1,113,010

5,457

Insulet

Corporation

a

904,116

462

Intra-Cellular

Therapies,

Inc.

a

7,101

5,520

Intuitive

Surgical,

Inc.

a

2,733,559

1,044

Invitae

Corporation

a

14,271

1,583

Iovance

Biotherapeutics,

Inc.

a

47,387

4,125

IQVIA

Holding,

Inc.

a

444,923

4,961

Jazz

Pharmaceuticals,

Inc.

a

494,810

29,238

Johnson

&

Johnson

3,833,979

3,584

Kadmon

Holdings,

Inc.

a

15,017

200

KYORIN

Holdings,

Inc.

4,084

1,948

Laboratory

Corporation

of

America

Holdings

a

246,208

34,186

LHC

Group,

Inc.

a

4,792,877

5,258

Ligand

Pharmaceuticals,

Inc.

a,b

382,362

72

LNA

Sante

3,008

1,686

MacroGenics,

Inc.

a

9,813

30,725

Medtronic

plc

2,770,781

34,003

Merck

&

Company,

Inc.

2,616,191

1,041

Mersana

Therapeutics,

Inc.

a

6,069

2,361

Mesa

Laboratories,

Inc.

b

533,798

164

Mirati

Therapeutics,

Inc.

a

12,607

3,371

Molina

Healthcare,

Inc.

a

470,962

435

Momenta

Pharmaceuticals,

Inc.

a

11,832

1,831

Myovant

Sciences,

Ltd.

a

13,824

987

Myriad

Genetics,

Inc.

a

14,124

31,939

Natera,

Inc.

a

953,699

4,515

National

Healthcare

Corporation

323,861

5,555

Nektar

Therapeutics

a

99,157

13,537

Neurocrine

Biosciences,

Inc.

a

1,171,627

7,236

Nevro

Corporation

a

723,455

3,455

Novartis

AG

285,033

3,397

Novo

Nordisk

AS

202,856

99,998

Optinose,

Inc.

a

448,991

2,099

Orthifix

Medical,

Inc.

a

58,793

6,077

PerkinElmer,

Inc.

457,477

37,389

Pfizer,

Inc.

1,220,377

1,298

Portola

Pharmaceuticals,

Inc.

a

9,255

4,123

PRA

Health

Sciences,

Inc.

a

342,374

1,492

Precision

BioSciences,

Inc.

a

8,997

1,286

Prothena

Corporation

plc

a

13,760

1,304

Puma

Biotechnology,

Inc.

a

11,006

1,459

Quest

Diagnostics,

Inc.

117,158

462

Reata

Pharmaceuticals,

Inc.

a

66,685

1,306

Recordati

SPA

55,025

9,797

Repligen

Corporation

a

945,802

6,986

ResMed,

Inc.

1,028,968

4,755

Rite

Aid

Corporation

a

71,325

918

Roche

Holding

AG

295,359

3,202

Sage

Therapeutics,

Inc.

a

91,961

3,743

Sarepta

Therapeutics,

Inc.

a

366,140

11

Siegfried

Holding

AG

4,427

22,484

Silk

Road

Medical,

Inc.

a,b

707,796

269

Sonova

Holding

AG

47,967

6,113

Spectrum

Pharmaceuticals,

Inc.

a

14,243

4,002

Stryker

Corporation

666,293

565

Surmodics,

Inc.

a

18,826

33,783

Syneos

Health,

Inc.

a

1,331,726

27,892

Tactile

Systems

Technology,

Inc.

a

1,120,143

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

6

Shares

Common

Stock

(47.1%)

Value

Health

Care

(7.5%)

-

continued

700

Takeda

Pharmaceutical

Company,

Ltd.

$

21,314

379

Teladoc

Health,

Inc.

a

58,749

8,294

Teleflex,

Inc.

2,428,981

5,817

Tenet

Healthcare

Corporation

a

83,765

9,889

Thermo

Fisher

Scientific,

Inc.

2,804,520

1,588

Tilray,

Inc.

a,b

10,925

100

Tsumura

&

Company

2,550

1,043

U.S.

Physical

Therapy,

Inc.

71,967

1,592

United

Therapeutics

Corporation

a

150,961

5,225

UnitedHealth

Group,

Inc.

1,303,011

5,624

Universal

Health

Services,

Inc.

557,226

2,432

Varian

Medical

Systems,

Inc.

a

249,669

29,624

Veeva

Systems,

Inc.

a

4,632,305

12,975

Vertex

Pharmaceuticals,

Inc.

a

3,087,401

2,585

Viking

Therapeutics,

Inc.

a

12,098

1,555

Waters

Corporation

a

283,088

892

West

Pharmaceutical

Services,

Inc.

135,807

78,549

Wright

Medical

Group

NV

a

2,250,429

3,264

Zimmer

Biomet

Holdings,

Inc.

329,925

37,216

Zoetis,

Inc.

4,379,951

Total

92,202,377

Industrials

(6.3%)

1,073

3M

Company

146,475

14,189

A.O.

Smith

Corporation

536,486

1,038

Aalberts

NV

24,868

2,534

AECOM

a

75,640

2,195

Aegion

Corporation

a

39,356

21,018

Aerojet

Rocketdyne

Holdings,

Inc.

a

879,183

61

Aeroports

de

Paris

SA

5,893

35,856

AGCO

Corporation

1,694,196

102,121

Altra

Industrial

Motion

Corporation

1,786,096

6,125

American

Airlines

Group,

Inc.

b

74,664

18,297

AMETEK,

Inc.

1,317,750

36,297

Arcosa,

Inc.

1,442,443

43,179

ASGN,

Inc.

a

1,525,082

2,017

Assa

Abloy

AB

37,655

2,977

Atlas

Air

Worldwide

Holdings,

Inc.

a

76,420

2,717

Atlas

Copco

AB,

Class

A

90,352

1,070

Atlas

Copco

AB,

Class

B

31,126

2,944

Avis

Budget

Group,

Inc.

a

40,922

13,768

AZZ,

Inc.

387,156

877

Bloom

Energy

Corporation

a

4,587

7,242

Boeing

Company

1,080,072

19,586

BWX

Technologies,

Inc.

954,034

681

Carlisle

Companies,

Inc.

85,316

21,643

Casella

Waste

Systems,

Inc.

a

845,376

4,115

Caterpillar,

Inc.

477,505

19,158

CBIZ,

Inc.

a

400,785

15,764

Chart

Industries,

Inc.

a

456,841

481

CIA

De

Distribucion

Integral

7,721

227

Columbus

McKinnon

Corporation

5,675

1,968

Cornerstone

Building

Brands,

Inc.

a

8,974

2,010

CRA

International,

Inc.

67,154

13,095

Crane

Company

644,012

7,557

CSW

Industrials,

Inc.

490,071

8,806

CSX

Corporation

504,584

25,153

Curtiss-Wright

Corporation

2,324,389

24,960

Delta

Air

Lines,

Inc.

712,109

1,405

Douglas

Dynamics,

Inc.

49,892

19,137

EMCOR

Group,

Inc.

1,173,481

12,129

Emerson

Electric

Company

577,947

23,417

Encore

Wire

Corporation

983,280

8,208

Expeditors

International

of

Washington,

Inc.

547,638

Shares

Common

Stock

(47.1%)

Value

Industrials

(6.3%)

-

continued

12,621

Fluor

Corporation

$

87,211

10,962

Forrester

Research,

Inc.

a

320,419

4,650

FuelCell

Energy,

Inc.

a

7,022

75

Geberit

AG

32,863

11,087

General

Dynamics

Corporation

1,466,921

4,921

Gorman-Rupp

Company

153,584

600

GS

Yuasa

Corporation

8,030

6,312

GWA

Group,

Ltd.

b

10,120

700

Hanwa

Company,

Ltd.

10,839

3,316

Heico

Corporation

247,407

12,619

Helios

Technologies,

Inc.

478,513

333

Herc

Holdings,

Inc.

a

6,813

2,200

Hino

Motors,

Ltd.

11,733

29,622

Honeywell

International,

Inc.

3,963,127

5,442

Hubbell,

Inc.

624,415

6,541

Huntington

Ingalls

Industries,

Inc.

1,191,836

1,100

ICF

International,

Inc.

75,570

20,236

IDEX

Corporation

2,794,794

1,500

Inaba

Denki

Sangyo

Company,

Ltd.

31,870

6,883

Ingersoll

-

Rand,

Inc.

a

170,698

1,639

Interface,

Inc.

12,391

9,334

John

Bean

Technologies

Corporation

693,236

20,140

Johnson

Controls

International

plc

542,974

3,940

Kansas

City

Southern

501,089

1,574

Kennametal,

Inc.

29,308

2,000

Kinden

Corporation

29,429

1,770

Koninklijke

Philips

NV

72,672

1,951

Legrand

SA

125,835

29,006

Lincoln

Electric

Holdings,

Inc.

2,001,414

6,372

Lockheed

Martin

Corporation

2,159,789

4,208

Manpower,

Inc.

222,982

11,900

Marubeni

Corporation

59,061

2,062

Masonite

International

Corporation

a

97,842

6,929

Mercury

Systems,

Inc.

a

494,315

103,249

Meritor,

Inc.

a

1,368,049

6,100

Mitsubishi

Corporation

129,029

500

Mitsuboshi

Belting,

Ltd.

5,583

9,000

Mitsui

&

Company,

Ltd.

124,953

2,732

MSC

Industrial

Direct

Company,

Inc.

150,178

2,456

National

Express

Group

plc

6,219

1,900

Nitto

Kogyo

Corporation

30,176

1,000

Nobina

AB

c

5,404

7,498

Nordson

Corporation

1,012,755

7,559

Norfolk

Southern

Corporation

1,103,614

362

Northrop

Grumman

Corporation

109,523

14,994

Old

Dominion

Freight

Line,

Inc.

1,968,112

3,034

PageGroup

plc

13,621

9,788

Parker-Hannifin

Corporation

1,269,797

92,119

Primoris

Services

Corporation

1,464,692

39,708

Raven

Industries,

Inc.

843,001

740

Redde

Northgate

plc

1,272

5,539

Regal-Beloit

Corporation

348,680

6,402

RELX

plc

136,634

878

Republic

Services,

Inc.

65,903

6,355

Resideo

Technologies,

Inc.

a

30,758

75,697

Ritchie

Brothers

Auctioneers,

Inc.

2,587,323

3,798

Rockwell

Automation,

Inc.

573,156

5,000

Roper

Industries,

Inc.

1,559,050

4,152

Ryder

System,

Inc.

109,779

20,373

Saia,

Inc.

a

1,498,230

1,429

Sandvik

AB

20,101

700

Sanwa

Holdings

Corporation

5,436

1,358

Schneider

Electric

SE

114,782

2,212

Signify

NV

c

42,869

9,029

SiteOne

Landscape

Supply,

Inc.

a

664,715

2,724

SKF

AB

37,120

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

7

Shares

Common

Stock

(47.1%)

Value

Industrials

(6.3%)

-

continued

40,700

Sojitz

Corporation

$

95,427

53,952

Southwest

Airlines

Company

1,921,231

703

SP

Plus

Corporation

a

14,587

298

Spirax-Sarco

Engineering

plc

29,917

1,260

Spirit

Airlines,

Inc.

a

16,241

708

SPX

FLOW,

Inc.

a

20,121

11,986

Standex

International

Corporation

587,554

6,100

Sumitomo

Corporation

69,566

300

Taikisha,

Ltd.

8,627

1,909

Teledyne

Technologies,

Inc.

a

567,488

1,004

Thermon

Group

Holdings,

Inc.

a

15,130

800

Toppan

Forms

Company,

Ltd.

7,129

7,800

Trane

Technologies

plc

644,202

544

Transcontinental,

Inc.

4,828

1,560

TransDigm

Group,

Inc.

499,496

3,725

Trex

Company,

Inc.

a

298,522

14,419

TriMas

Corporation

a

333,079

600

Tsubakimoto

Chain

Company

13,552

1,473

UniFirst

Corporation

222,556

1,307

Union

Pacific

Corporation

184,339

12,651

United

Airlines

Holdings,

Inc.

a,b

399,139

21,616

United

Rentals,

Inc.

a

2,224,286

18,999

United

Technologies

Corporation

1,792,176

18,764

Valmont

Industries,

Inc.

1,988,609

20,919

Verisk

Analytics,

Inc.

2,915,690

435

Vinci

SA

35,544

12,426

Waste

Connections,

Inc.

963,015

4,986

Watsco,

Inc.

787,938

41,246

Willdan

Group,

Inc.

a

881,427

4,248

XPO

Logistics,

Inc.

a

207,090

300

Yuasa

Trading

Company,

Ltd.

7,892

Total

76,506,240

Information

Technology

(11.9%)

5,782

Accenture

plc

943,969

8,305

Adobe,

Inc.

a

2,642,983

1,962

ADTRAN,

Inc.

15,068

11,092

Advanced

Energy

Industries,

Inc.

a

537,851

42,897

Advanced

Micro

Devices,

Inc.

a

1,950,956

15,244

Agilysys,

Inc.

a

254,575

21,885

Akamai

Technologies,

Inc.

a

2,002,259

8,789

Alliance

Data

Systems

Corporation

295,750

9,044

Alteryx,

Inc.

a,b

860,718

1,950

Amadeus

IT

Holding

SA

91,784

2,916

American

Software,

Inc.

41,436

26,108

Amphenol

Corporation

1,902,751

5,302

ANSYS,

Inc.

a

1,232,556

46,842

Apple,

Inc.

11,911,452

44

ASM

International

NV

4,477

399

ASML

Holding

NV

105,182

6,460

Atlassian

Corporation

plc

a

886,700

7,052

Automatic

Data

Processing,

Inc.

963,867

21,118

Avalara,

Inc.

a

1,575,403

1,934

Avnet,

Inc.

48,543

25,729

Bandwidth,

Inc.

a,b

1,731,304

1,316

BE

Semiconductor

Industries

NV

40,305

10,061

Benchmark

Electronics,

Inc.

201,119

33,061

Blackline,

Inc.

a

1,739,339

824

Broadcom,

Ltd.

195,370

4,116

Broadridge

Financial

Solutions,

Inc.

390,320

473

CACI

International,

Inc.

a

99,874

800

Canon,

Inc.

17,385

18,424

CDK

Global,

Inc.

605,228

2,986

CDW

Corporation

278,504

223

CEVA,

Inc.

a

5,559

2,589

CGI,

Inc.

a

140,166

Shares

Common

Stock

(47.1%)

Value

Information

Technology

(11.9%)

-

continued

82,801

Change

Healthcare,

Inc.

a

$

827,182

74,547

Ciena

Corporation

a

2,967,716

111,777

Cisco

Systems,

Inc.

4,393,954

20,558

Cognex

Corporation

867,959

3,297

CommScope

Holding

Company,

Inc.

a

30,036

23,735

Computer

Services,

Inc.

954,859

3,024

Computershare,

Ltd.

18,103

22,004

Coupa

Software,

Inc.

a

3,074,619

1,492

Cree,

Inc.

a

52,906

7,158

CTS

Corporation

178,163

19,104

Descartes

Systems

Group,

Inc.

a

656,987

213

Dialog

Semiconductor

plc

a

5,537

26,102

DocuSign,

Inc.

a

2,411,825

64,416

Dolby

Laboratories,

Inc.

3,491,991

1,294

DSP

Group,

Inc.

a

17,340

19,266

Elastic

NV

a

1,075,235

3,913

ePlus,

Inc.

a

245,032

9,203

Euronet

Worldwide,

Inc.

a

788,881

4,056

ExlService

Holdings,

Inc.

a

211,034

638

eXp

World

Holdings,

Inc.

a

5,398

5,318

F5

Networks,

Inc.

a

567,058

347

Fair

Isaac

Corporation

a

106,768

22,910

Five9,

Inc.

a

1,751,699

426

FLIR

Systems,

Inc.

13,585

700

Fuji

Soft,

Inc.

22,473

1,306

Gartner,

Inc.

a

130,038

11,626

Global

Payments,

Inc.

1,676,818

21,618

Guidewire

Software,

Inc.

a

1,714,524

5,232

Halma

plc

122,879

132

Infineon

Technologies

AG

1,906

5,032

Inphi

Corporation

a

398,383

9,731

Intel

Corporation

526,642

2,596

InterDigital,

Inc.

115,860

2,116

International

Business

Machines

Corporation

234,728

9,610

Intuit,

Inc.

2,210,300

1,357

Jack

Henry

&

Associates,

Inc.

210,661

4,329

Juniper

Networks,

Inc.

82,857

4,351

KLA-Tencor

Corporation

625,413

1,440

Kulicke

and

Soffa

Industries,

Inc.

30,053

4,766

Lam

Research

Corporation

1,143,840

63,249

Lattice

Semiconductor

Corporation

a

1,127,097

4,911

Littelfuse,

Inc.

655,226

1,623

ManTech

International

Corporation

117,943

22,631

MasterCard,

Inc.

5,466,744

8,869

Maxim

Integrated

Products,

Inc.

431,122

10,440

Methode

Electronics,

Inc.

275,929

103,172

Microsoft

Corporation

16,271,256

4,194

MicroStrategy,

Inc.

a

495,311

12,323

MKS

Instruments,

Inc.

1,003,708

4,839

MoneyGram

International,

Inc.

a

6,339

31,054

Monolithic

Power

Systems,

Inc.

5,200,303

4,497

MTS

Systems

Corporation

101,183

39,473

National

Instruments

Corporation

1,305,767

1,000

NEC

Networks

&

System

Integration

Corporation

40,536

270

NetApp,

Inc.

11,256

10,789

Nice,

Ltd.

ADR

a

1,548,869

16,969

Nova

Measuring

Instruments,

Ltd.

a

554,038

8,779

Novanta,

Inc.

a

701,267

53,235

Nuance

Communications,

Inc.

a

893,283

11,237

NVIDIA

Corporation

2,962,073

11,540

Oracle

Corporation

557,728

100

Oracle

Corporation

Japan

8,722

8,756

Palo

Alto

Networks,

Inc.

a

1,435,634

2,410

Paychex,

Inc.

151,637

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

8

Shares

Common

Stock

(47.1%)

Value

Information

Technology

(11.9%)

-

continued

24,351

PayPal

Holdings,

Inc.

a

$

2,331,365

14,091

Plexus

Corporation

a

768,805

1,348

Progress

Software

Corporation

43,136

9,171

Proofpoint,

Inc.

a

940,853

17,360

Q2

Holdings,

Inc.

a,b

1,025,282

4,078

QAD,

Inc.

162,835

9,330

QUALCOMM,

Inc.

631,175

3,679

Rogers

Corporation

a

347,371

1,032

Rubicon

Project,

Inc.

a

5,728

400

Ryoyo

Electro

Corporation

7,617

97,602

SailPoint

Technologies

Holdings,

Inc.

a

1,485,502

8,169

Salesforce.com,

Inc.

a

1,176,173

844

Samsung

Electronics

Company,

Ltd.

GDR

834,832

70

SAP

SE

7,815

3,279

ScanSource,

Inc.

a

70,138

17,623

ServiceNow,

Inc.

a

5,050,399

1,738

Silicon

Laboratories,

Inc.

a

148,443

27,709

Square,

Inc.

a

1,451,397

43,501

STMicroelectronics

NV

ADR

b

929,616

485

Sykes

Enterprises,

Inc.

a

13,153

13,220

Synopsys,

Inc.

a

1,702,604

13,640

TE

Connectivity,

Ltd.

859,047

16,317

Teradyne,

Inc.

883,892

34,389

Texas

Instruments,

Inc.

3,436,493

5,531

Tyler

Technologies,

Inc.

a

1,640,273

642

Unisys

Corporation

a

7,929

4,063

VeriSign,

Inc.

a

731,706

50,453

Virtusa

Corporation

a

1,432,865

37,012

Visa,

Inc.

5,963,373

3,660

VMware,

Inc.

a

443,226

5,868

WEX,

Inc.

a

613,499

18

Wirecard

AG

2,028

5,930

Xilinx,

Inc.

462,184

21,780

Zscaler,

Inc.

a,b

1,325,531

Total

145,933,251

Materials

(1.5%)

4,926

AdvanSix,

Inc.

a

46,994

2,500

Air

Water,

Inc.

34,237

371

Anglo

American

plc

6,501

3,556

AptarGroup,

Inc.

353,964

1,176

Arcelor

Mittal

11,102

1,272

Avery

Dennison

Corporation

129,579

109

Balchem

Corporation

10,760

12,891

Ball

Corporation

833,532

2,894

Cabot

Corporation

75,591

6,689

Celanese

Corporation

490,906

21,530

CF

Industries

Holdings,

Inc.

585,616

13,277

Chemours

Company

b

117,767

23,265

Coeur

Mining,

Inc.

a

74,681

27,015

Eastman

Chemical

Company

1,258,359

11,477

Ecolab,

Inc.

1,788,461

100,860

Element

Solutions,

Inc.

a

843,190

57

Eramet

SA

1,784

2,066

Ferro

Corporation

a

19,338

8,150

Ferroglobe

Representation

&

Warranty

Insurance

Trust

a,d

1

1,579

First

Majestic

Silver

Corporation

a

9,774

3,874

Gold

Road

Resources,

Ltd.

a

3,293

2,064

Granges

AB

10,140

9,876

Hecla

Mining

Company

17,974

2,932

Hexpol

AB

17,323

1,229

Hochschild

Mining

plc

1,606

500

Hokuetsu

Corporation

1,867

3,417

IAMGOLD

Corporation

a

7,791

Shares

Common

Stock

(47.1%)

Value

Materials

(1.5%)

-

continued

3,038

Ingevity

Corporation

a

$

106,938

6,780

Innospec,

Inc.

471,142

231,611

Ivanhoe

Mines,

Ltd.

a

385,113

8,178

Kaiser

Aluminum

Corporation

566,572

224

Kirkland

Lake

Gold,

Ltd.

6,598

1,064

Koninklijke

DSM

NV

119,688

4,852

Kraton

Performance

Polymers,

Inc.

a

39,301

1,700

Kyoei

Steel,

Ltd.

19,528

300

Lintec

Corporation

6,279

118,478

Louisiana-Pacific

Corporation

2,035,452

200

MAG

Silver

Corporation

a

1,543

6,827

Martin

Marietta

Materials,

Inc.

1,291,873

5,631

Materion

Corporation

197,141

3,921

Minerals

Technologies,

Inc.

142,175

8,430

Myers

Industries,

Inc.

90,623

6,886

Neenah,

Inc.

296,993

3,200

Nippon

Light

Metal

Holdings

Company,

Ltd.

4,982

9,100

Nippon

Steel

Corporation

77,571

544

Northern

Star

Resources,

Ltd.

3,524

16,032

Nucor

Corporation

577,473

28,474

Nutanix,

Inc.

a

449,889

2,846

O-I

Glass,

Inc.

20,235

4,750

Olin

Corporation

55,433

737

Olympic

Steel,

Inc.

7,628

11,798

PPG

Industries,

Inc.

986,313

212

Quaker

Chemical

Corporation

26,771

2,991

Ramelius

Resources,

Ltd.

1,837

1,854

Reliance

Steel

&

Aluminum

Company

162,392

6,188

Resolute

Mining,

Ltd.

a

3,068

289

Rio

Tinto,

Ltd.

14,889

925

RPM

International,

Inc.

55,038

5,647

Ryerson

Holding

Corporation

a

30,042

4,313

Sandfire

Resources,

Ltd.

8,642

100

Sanyo

Special

Steel

Company,

Ltd.

893

251

Schnitzer

Steel

Industries,

Inc.

3,273

329

Sensient

Technologies

Corporation

14,315

904

Sherwin-Williams

Company

415,406

1,525

St

Barbara,

Ltd.

2,014

40,312

Steel

Dynamics,

Inc.

908,632

13,400

Sumitomo

Chemical

Company,

Ltd.

39,590

300

Taiyo

Holdings

Company,

Ltd.

11,222

1,400

Toagosei

Company,

Ltd.

12,120

15,700

Toray

Industries,

Inc.

67,958

1,100

Ube

Industries,

Ltd.

16,780

12,749

UFP

Technologies,

Inc.

a

485,609

13,279

United

States

Lime

&

Minerals,

Inc.

980,654

14,638

United

States

Steel

Corporation

b

92,366

2,299

UPM-Kymmene

Oyj

62,687

701

W.

R.

Grace

&

Company

24,956

1,471

Worthington

Industries,

Inc.

38,614

Total

18,191,906

Real

Estate

(2.4%)

34,835

Agree

Realty

Corporation

2,156,287

6,310

Alexandria

Real

Estate

Equities,

Inc.

864,849

978

Allied

Properties

REIT

31,092

1,030

Alstria

Office

REIT

AG

14,782

40,253

American

Campus

Communities,

Inc.

1,117,021

8,113

American

Tower

Corporation

1,766,606

8,475

Apartment

Investment

&

Management

Company

297,896

565

Ares

Commercial

Real

Estate

Corporation

3,949

5,226

Armada

Hoffler

Properties,

Inc.

55,918

19,052

Ascendas

REIT

37,723

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

9

Shares

Common

Stock

(47.1%)

Value

Real

Estate

(2.4%)

-

continued

2,500

Ascott

Trust

$

1,379

17,365

Ashford

Hospitality

Trust,

Inc.

12,836

1,707

AvalonBay

Communities,

Inc.

251,219

1,737

BBX

Capital

Corporation

4,013

75

Bluerock

Residential

Growth

REIT,

Inc.

418

14,965

Camden

Property

Trust

1,185,827

1,534

Castellum

AB

25,864

10,195

CBL

&

Associates

Properties,

Inc.

a

2,040

20,243

Cedar

Realty

Trust,

Inc.

18,889

744

Choice

Properties

REIT

6,830

2,355

City

Office

REIT,

Inc.

17,027

36

Cofinimmo

SA

4,675

2,315

Colony

Credit

Real

Estate,

Inc.

9,121

4,012

Columbia

Property

Trust,

Inc.

50,150

1,442

Corepoint

Lodging,

Inc.

5,653

10,704

CoreSite

Realty

Corporation

1,240,594

3,564

CoStar

Group,

Inc.

a

2,092,816

38,416

Cousins

Properties,

Inc.

1,124,436

900

Daito

Trust

Construction

Company,

Ltd.

83,577

15,031

DiamondRock

Hospitality

Company

76,358

5,040

Digital

Realty

Trust,

Inc.

700,106

14,860

Diversified

Healthcare

Trust

53,942

12,769

Douglas

Emmett,

Inc.

389,582

22,963

Duke

Realty

Corporation

743,542

1,647

EastGroup

Properties,

Inc.

172,079

375

Entra

ASA

c

4,479

2,295

EPR

Properties

55,585

435

Equity

Lifestyle

Properties,

Inc.

25,004

17,955

Equity

Residential

1,108,003

31,629

Essential

Properties

Realty

Trust,

Inc.

413,075

1,867

Essex

Property

Trust,

Inc.

411,188

1,907

Farmland

Partners,

Inc.

11,576

18,101

First

Industrial

Realty

Trust,

Inc.

601,496

6,708

Four

Corners

Property

Trust,

Inc.

125,507

1,936

Franklin

Street

Properties

Corporation

11,093

3,755

Gaming

and

Leisure

Properties,

Inc.

104,051

744

Getty

Realty

Corporation

17,663

1,430

Granite

REIT

59,068

4,212

Healthcare

Realty

Trust,

Inc.

117,641

4,615

Healthcare

Trust

of

America,

Inc.

112,052

58,784

Host

Hotels

&

Resorts,

Inc.

648,975

1,337

Hudson

Pacific

Properties,

Inc.

33,906

3,000

Hysan

Development

Company,

Ltd.

9,688

5,602

Industrial

Logistics

Properties

Trust

98,259

2,027

Innovative

Industrial

Properties,

Inc.

153,910

1,334

Investors

Real

Estate

Trust

73,370

7,270

iSTAR

Financial,

Inc.

77,135

74

Japan

Hotel

REIT

Investment

Corporation

21,602

3,161

Jones

Lang

LaSalle,

Inc.

319,198

18,302

Kilroy

Realty

Corporation

1,165,837

7,743

Kite

Realty

Group

Trust

73,326

259

Kungsleden

AB

1,948

1,279

Lamar

Advertising

Company

65,587

3,356

Lexington

Realty

Trust

33,325

9,394

Macerich

Company

52,888

4,900

Mapletree

Commercial

Trust

6,285

23,733

Medical

Properties

Trust,

Inc.

410,344

529

National

Health

Investors,

Inc.

26,196

9,730

National

Retail

Properties,

Inc.

313,209

62,022

National

Storage

Affiliates

Trust

1,835,851

2,236

New

Residential

Investment

Corporation

11,202

Shares

Common

Stock

(47.1%)

Value

Real

Estate

(2.4%)

-

continued

2,454

One

Liberty

Properties,

Inc.

$

34,184

2,495

Pebblebrook

Hotel

Trust

27,171

2,125

Physicians

Realty

Trust

29,623

1,214

Plymouth

Industrial

REIT,

Inc.

13,548

1,608

PotlatchDeltic

Corporation

50,475

4,727

Preferred

Apartment

Communities,

Inc.

33,940

1,070

PS

Business

Parks,

Inc.

145,006

985

PSP

Swiss

Property

AG

123,173

3,732

QTS

Realty

Trust,

Inc.

216,493

1,953

Quebecor,

Inc.

43,173

9,917

Retail

Properties

of

America,

Inc.

51,271

12,903

Rexford

Industrial

Realty,

Inc.

529,152

538

RioCan

REIT

6,166

246

RMR

Group,

Inc.

6,635

3,000

Road

King

Infrastructure,

Ltd.

4,505

3,004

RPT

Realty

18,114

13,400

Sabra

Health

Care

REIT,

Inc.

146,328

6,196

SBA

Communications

Corporation

1,672,734

27,929

Service

Properties

Trust

150,817

3,875

Spirit

Realty

Capital,

Inc.

101,331

1,124

STAG

Industrial,

Inc.

25,313

5,418

Store

Capital

Corporation

98,174

1,629

Summit

Hotel

Properties,

Inc.

6,874

93,095

Sunstone

Hotel

Investors,

Inc.

810,857

384

Swiss

Prime

Site

AG

37,375

3,181

TAG

Immobilien

AG

62,559

3,393

Taubman

Centers,

Inc.

142,099

10,216

Terreno

Realty

Corporation

528,678

12,527

UDR,

Inc.

457,737

2,130

UMH

Properties,

Inc.

23,132

14,665

Uniti

Group,

Inc.

88,430

88

Universal

Health

Realty

Income

Trust

8,871

743

Urstadt

Biddle

Properties,

Inc.

10,476

7,166

Washington

Prime

Group,

Inc.

5,769

8,600

Wing

Tai

Holdings,

Ltd.

9,372

Total

28,948,173

Utilities

(0.9%)

724

AGL

Energy,

Ltd.

7,577

1,523

ALLETE,

Inc.

92,416

15,824

Alliant

Energy

Corporation

764,141

828

American

States

Water

Company

67,681

2,430

Artesian

Resources

Corporation

90,833

3,649

Avista

Corporation

155,046

2,239

Black

Hills

Corporation

143,363

1,244

California

Water

Service

Group

62,598

694

Chesapeake

Utilities

Corporation

59,483

13,333

CMS

Energy

Corporation

783,314

2,266

Consolidated

Water

Company,

Ltd.

37,162

2,819

DTE

Energy

Company

267,720

2,024

Enagas

SA

39,928

11,083

Enel

SPA

76,449

10,340

Entergy

Corporation

971,650

1,374

Essential

Utilities,

Inc

55,922

45,498

Exelon

Corporation

1,674,781

10,473

FirstEnergy

Corporation

419,653

1,621

IDACORP,

Inc.

142,308

959

MGE

Energy,

Inc.

62,786

358

Middlesex

Water

Company

21,523

1,395

National

Fuel

Gas

Company

52,020

5,422

New

Jersey

Resources

Corporation

184,185

494

NextEra

Energy,

Inc.

118,866

527

Northland

Power,

Inc.

10,519

1,599

Northwest

Natural

Holding

Company

98,738

10,409

NorthWestern

Corporation

622,770

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

10

Shares

Common

Stock

(47.1%)

Value

Utilities

(0.9%)

-

continued

5,693

OGE

Energy

Corporation

$

174,946

1,277

Otter

Tail

Corporation

56,775

30,073

PNM

Resources,

Inc.

1,142,774

12,791

Portland

General

Electric

Company

613,201

3,372

PPL

Corporation

83,221

5,400

Public

Service

Enterprise

Group,

Inc.

242,514

262

SJW

Group

15,136

3,789

South

Jersey

Industries,

Inc.

94,725

2,571

Southwest

Gas

Holdings,

Inc.

178,839

10,186

Spire,

Inc.

758,653

4,963

UGI

Corporation

132,363

1,540

Unitil

Corporation

80,573

148

Verbund

AG

5,338

Total

10,662,490

Total

Common

Stock

(cost

$567,891,557)

575,018,426

Shares

Registered

Investment

Companies

(

38.6%

)

Value

Unaffiliated  (0.7%)

11,597

Health

Care

Select

Sector

SPDR

Fund

1,027,262

11,763

iShares

Russell

2000

Value

Index

Fund

964,919

3,702

ProShares

Ultra

S&P

500

b

329,145

20,291

SPDR

S&P

500

ETF

Trust

b

5,230,005

9,051

SPDR

S&P

Biotech

ETF

b

700,910

Total

8,252,241

Affiliated  (37.9%)

1,824,278

Thrivent

Core

Emerging

Markets

Equity

Fund

a

14,265,856

6,785,137

Thrivent

Core

International

Equity

Fund

50,413,571

7,868,125

Thrivent

Core

Low

Volatility

Equity

Fund

77,737,071

4,131,407

Thrivent

Global

Stock

Portfolio

44,732,811

2,122,448

Thrivent

High

Yield

Portfolio

8,638,790

528,440

Thrivent

Income

Portfolio

5,396,643

13,468,075

Thrivent

International

Allocation

Portfolio

103,092,724

3,717,543

Thrivent

Large

Cap

Value

Portfolio

51,419,561

1,013,918

Thrivent

Limited

Maturity

Bond

Portfolio

9,727,933

4,394,573

Thrivent

Mid

Cap

Stock

Portfolio

61,321,876

2,577,880

Thrivent

Small

Cap

Stock

Portfolio

35,133,930

Total

461,880,766

Total

Registered

Investment

Companies

(cost

$549,813,201)

470,133,007

Principal

Amount

Long-Term

Fixed

Income

(

5.6%

)

Value

Collateralized

Mortgage

Obligations

(<0.1%)

MASTR

Alternative

Loans

Trust

$

18,847

1.397%, 

(LIBOR

1M

+

0.450%),

12/25/2035,

Ser.

2005-6,

Class

2A1

e

4,239

Sequoia

Mortgage

Trust

57,153

3.676%, 

9/20/2046,

Ser.

2007-1,

Class

4A1

e

40,290

WaMu

Mortgage

Pass

Through

Certificates

25,296

3.706%, 

9/25/2036,

Ser.

2006-AR10,

Class

1A2

e

21,372

Principal

Amount

Long-Term

Fixed

Income

(5.6%)

Value

Collateralized

Mortgage

Obligations

(<0.1%)

-

continued

$

37,991

3.689%, 

10/25/2036,

Ser.

2006-AR12,

Class

1A1

e

$

33,074

Total

98,975

Mortgage-Backed

Securities

(2.5%)

Federal

Home

Loan

Mortgage

Corporation

Conventional

15-Yr.

Pass

Through

1,349,121

3.500%, 

5/1/2034

1,421,976

Federal

Home

Loan

Mortgage

Corporation

Conventional

30-Yr.

Pass

Through

1,396,517

3.000%, 

3/25/2050

1,464,787

425,000

3.000%, 

4/1/2050

f

445,777

608,184

3.500%, 

7/1/2047

f

645,001

1,144,335

3.000%, 

8/1/2047

1,206,920

Federal

National

Mortgage

Association

563,421

4.500%, 

5/1/2048

607,764

931,447

3.500%, 

10/1/2048

983,645

2,341,535

3.500%, 

2/1/2049

2,470,404

382,819

3.500%, 

6/1/2049

404,659

1,056,280

3.500%, 

8/1/2049

1,118,605

Federal

National

Mortgage

Association

Conventional

15-Yr.

Pass

Through

2,075,000

2.500%, 

4/1/2035

f

2,153,056

3,400,000

2.000%, 

5/1/2035

f

3,489,250

1,500,000

2.500%, 

5/1/2035

f

1,555,312

2,267,000

3.000%, 

5/1/2035

f

2,367,781

Federal

National

Mortgage

Association

Conventional

30-Yr.

Pass

Through

5,000,000

2.500%, 

5/1/2050

f

5,173,279

2,102,233

4.000%, 

7/1/2048

2,244,982

2,773,000

3.000%, 

5/1/2049

f

2,903,735

25,024

3.500%, 

8/1/2049

f

26,415

Total

30,683,348

U.S.

Government

&

Agencies

(3.1%)

U.S.

Treasury

Bonds

920,000

2.250%, 

11/15/2027

1,034,964

5,000,000

2.875%, 

5/15/2028

5,897,656

170,000

5.250%, 

11/15/2028

236,167

120,000

3.000%, 

5/15/2042

161,095

2,413,000

2.500%, 

5/15/2046

3,035,573

U.S.

Treasury

Notes

665,000

1.375%, 

9/30/2020

669,156

100,000

2.500%, 

2/28/2021

102,164

1,045,000

1.125%, 

8/31/2021

1,058,634

1,475,000

1.500%, 

9/30/2021

1,503,348

940,000

2.000%, 

11/30/2022

982,961

500,000

2.125%, 

7/31/2024

537,813

2,330,000

2.250%, 

11/15/2024

2,530,416

2,040,000

2.125%, 

11/30/2024

2,205,511

640,000

2.625%, 

1/31/2026

719,075

15,030,000

2.500%, 

2/28/2026

16,790,741

Total

37,465,274

Total

Long-Term

Fixed

Income

(cost

$63,407,707)

68,247,597

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

11

Shares

Collateral

Held

for

Securities

Loaned

(

1.5%

)

Value

18,445,626

Thrivent

Cash

Management

Trust

$

18,445,626

Total

Collateral

Held

for

Securities

Loaned

(cost

$18,445,626)

18,445,626

Shares

or

Principal

Amount

Short-Term

Investments

(

10.2%

)

Value

Federal

Home

Loan

Bank

Discount

Notes

3,500,000

1.550%,

4/7/2020

g,h

3,499,959

3,700,000

1.535%,

4/8/2020

g,h

3,699,950

4,700,000

1.520%,

4/15/2020

g,h

4,699,872

200,000

1.560%,

4/23/2020

g,h

199,991

1,400,000

0.900%,

5/7/2020

g,h

1,399,902

200,000

0.720%,

5/8/2020

g,h

199,986

5,500,000

0.805%,

5/12/2020

g,h

5,499,562

6,500,000

0.500%,

5/13/2020

g,h

6,499,469

700,000

0.414%,

5/19/2020

g,h

699,935

3,000,000

0.150%,

5/20/2020

g,h

2,999,714

200,000

0.000%,

5/28/2020

h

199,978

200,000

0.150%,

6/4/2020

g,h

199,975

900,000

0.500%,

6/9/2020

g,h

899,879

1,100,000

0.530%,

6/12/2020

g,h

1,099,846

3,900,000

0.150%,

6/23/2020

g,h

3,899,371

700,000

0.028%,

6/29/2020

g,h

699,879

2,200,000

0.007%,

7/7/2020

g,h

2,199,466

400,000

0.150%,

7/31/2020

g,h

399,879

Thrivent

Core

Short-Term

Reserve

Fund

8,587,635

1.570%

85,704,596

Total

Short-Term

Investments

(cost

$124,787,744)

124,701,209

Total

Investments

(cost

$1,324,345,835)

103.0%

$1,256,545,865

Other

Assets

and

Liabilities,

Net

(3.0%)

(36,735,532)

Total

Net

Assets

100.0%

$1,219,810,333

a

Non-income

producing

security.

b

All

or

a

portion

of

the

security

is

on

loan.

c

Denotes

securities

sold

under

Rule

144A

of

the

Securities

Act

of

1933,

which

exempts

them

from

registration.

These

securities

may

be

resold

to

other

dealers

in

the

program

or

to

other

qualified

institutional

buyers.

As

of

March

31,

2020,

the

value

of

these

investments

was

$250,574

or

0.0%

of

total

net

assets.

d

Security

is

valued

using

significant

unobservable

inputs.

Further

information

on

valuation

can

be

found

in

the

Notes

to

Financial

Statements.

e

Denotes

variable

rate

securities.

The

rate

shown

is

as

of

March

31,

2020.

The

rates

of

certain

variable

rate

securities

are

based

on

a

published

reference

rate

and

spread;

these

may

vary

by

security

and

the

reference

rate

and

spread

are

indicated

in

their

description.  The

rates

of

other

variable

rate

securities

are

determined

by

the

issuer

or

agent

and

are

based

on

current

market

conditions.  These

securities

do

not

indicate

a

reference

rate

and

spread

in

their

description.  

f

Denotes

investments

purchased

on

a

when-issued

or

delayed

delivery

basis.

g

The

interest

rate

shown

reflects

the

yield,

coupon

rate

or

the

discount

rate

at

the

date

of

purchase.

h

All

or

a

portion

of

the

security

is

held

on

deposit

with

the

counterparty

and

pledged

as

the

initial

margin

deposit

for

open

futures

contracts.

The

following

table

presents

the

total

amount

of

securities

loaned

with

continuous

maturity,

by

type,

offset

by

the

gross

payable

upon

return

of

collateral

for

securities

loaned

by

Thrivent

Aggressive

Allocation

Portfolio

as

of

March

31,

2020:

Securities

Lending

Transactions

Common

Stock

$

18,014,659

Total

lending

$18,014,659

Gross

amount

payable

upon

return

of              

collateral

for

securities

loaned

$18,445,626

Net

amounts

due

to

counterparty

$430,967

Definitions:

ADR

-

American

Depositary

Receipt,

which

are

certificates

for

an

underlying

foreign

security's

shares

held

by

an

issuing

U.S.

depository

bank.

ETF

-

Exchange

Traded

Fund

GDR

-

Global

Depository

Receipts,

which

are

certificates

for

shares

of

an

underlying

foreign

security’s

shares

held

by

an

issuing

depository

bank

from

more

than

one

country.

REIT

-

Real

Estate

Investment

Trust

is

a

company

that

buys,

develops,

manages

and/or

sells

real

estate

assets.

Ser.

-

Series

SPDR

-

S&P

Depository

Receipts,

which

are

exchange-traded

funds

traded

in

the

U.S.,

Europe,

and

Asia-Pacific

and

managed

by

State

Street

Global

Advisors.

Reference

Rate

Index:

LIBOR

1M

-

ICE

Libor

USD

Rate

1

Month

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

12

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Aggressive

Allocation

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Common

Stock

Communications

Services

31,889,452

31,553,954

335,498

–

Consumer

Discretionary

62,113,079

61,558,190

554,889

–

Consumer

Staples

20,670,829

20,143,298

527,531

–

Energy

11,009,809

10,699,524

310,285

–

Financials

76,890,820

74,535,450

2,355,370

–

Health

Care

92,202,377

90,890,412

1,311,965

–

Industrials

76,506,240

74,970,492

1,535,748

–

Information

Technology

145,933,251

144,461,504

1,471,747

–

Materials

18,191,906

17,237,526

954,379

1

Real

Estate

28,948,173

28,352,858

595,315

–

Utilities

10,662,490

10,522,679

139,811

–

Registered

Investment

Companies

Unaffiliated

8,252,241

8,252,241

–

–

Affiliated

319,464,268

319,464,268

–

–

Long-Term

Fixed

Income

Collateralized

Mortgage

Obligations

98,975

–

98,975

–

Mortgage-Backed

Securities

30,683,348

–

30,683,348

–

U.S.

Government

&

Agencies

37,465,274

–

37,465,274

–

Short-Term

Investments

38,996,613

–

38,996,613

–

Subtotal

Investments

in

Securities

$1,009,979,145

$892,642,396

$117,336,748

$1

Other

Investments  *

Total

Affiliated

Short-Term

Investments

85,704,596

Affiliated

Registered

Investment

Companies

142,416,498

Collateral

Held

for

Securities

Loaned

18,445,626

Subtotal

Other

Investments

$246,566,720

Total

Investments

at

Value

$1,256,545,865

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Other

Financial

Instruments

Total

Level

1

Level

2

Level

3

Asset

Derivatives

Futures

Contracts

8,192,776

8,192,776

–

–

Total

Asset

Derivatives

$8,192,776

$8,192,776

$–

$–

Liability

Derivatives

Futures

Contracts

8,240,446

8,240,446

–

–

Total

Liability

Derivatives

$8,240,446

$8,240,446

$–

$–

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

13

Reference

Description:

CBOT

-

Chicago

Board

of

Trade

CME

-

Chicago

Mercantile

Exchange

EAFE

-

Europe,

Australasia

and

Far

East

ICE

-

Intercontinental

Exchange

MSCI

-

Morgan

Stanley

Capital

International

NASDAQ

-

National

Association

of

Securities

Dealers

Automated

Quotations

S&P

-

Standard

&

Poor's

The

following

table

presents

Aggressive

Allocation

Portfolio's

futures

contracts

held

as

of

March

31,

2020.

Investments

and/or

cash

totaling

$38,296,669

were

pledged

as

the

initial

margin

deposit

for

these

contracts.

Futures

Contracts

Description

Number

of

Contracts

Long/(Short)

Expiration

Date

Notional

Principal

Amount

Value

and

Unrealized

CBOT

10-Yr.

U.S.

Treasury

Note

2

June

2020

$

266,178

$

11,197

CBOT

2-Yr.

U.S.

Treasury

Note

30

June

2020

6,493,452

118,033

CBOT

U.S.

Long

Bond

19

June

2020

3,119,179

283,008

CME

E-mini

S&P

500

Index

1,411

June

2020

184,932,189

(

3,639,854)

CME

Euro

Foreign

Exchange

Currency

303

June

2020

42,861,771

(

1,011,790)

CME

Ultra

Long

Term

U.S.

Treasury

Bond

24

June

2020

4,757,517

567,483

Eurex

Euro

STOXX

50

Index

1,418

June

2020

38,624,216

3,726,550

ICE

mini

MSCI

EAFE

Index

137

June

2020

10,158,523

522,682

ICE

US

mini

MSCI

Emerging

Markets

Index

1,815

June

2020

77,427,630

(

934,455)

Total

Futures

Long

Contracts

$

368,640,655

(

$

357,146)

CBOT

5-Yr.

U.S.

Treasury

Note

(31)

June

2020

(

$

3,743,233)

(

$

142,907)

CME

E-mini

NASDAQ

100

Index

(327)

June

2020

(

48,844,151)

(

2,077,924)

CME

E-mini

Russell

2000

Index

(142)

June

2020

(

7,877,633)

(

270,327)

CME

E-mini

S&P

Mid-Cap

400

Index

(993)

June

2020

(

145,737,363)

2,963,823

Ultra

10-Yr.

U.S.

Treasury

Note

(20)

June

2020

(

2,957,436)

(

163,189)

Total

Futures

Short

Contracts

(

$

209,159,816)

$309,476

Total

Futures

Contracts

$

159,480,839

($47,670)

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Cash

Management

Trust

for

the

purpose

of

securities

lending

and

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Cash

Management

Trust

and

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Aggressive

Allocation

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Registered

Investment

Companies

Core

Emerging

Markets

Equity

$–

$17,000

$–

$14,266

1,824

1.2%

Core

International

Equity

66,155

–

–

50,414

6,785

4.1

Core

Low

Volatility

Equity

64,230

30,000

–

77,737

7,868

6.4

Global

Stock

57,741

–

–

44,733

4,131

3.7

High

Yield

10,023

133

–

8,639

2,122

0.7

Income

5,559

42

–

5,397

528

0.5

International

Allocation

138,230

–

–

103,093

13,468

8.4

Large

Cap

Value

71,333

–

–

51,420

3,718

4.2

Limited

Maturity

Bond

9,999

61

–

9,728

1,014

0.8

Mid

Cap

Stock

85,507

–

–

61,322

4,395

5.0

Small

Cap

Stock

50,260

–

–

35,134

2,578

2.9

Total

Affiliated

Registered

Investment

Companies

559,037

461,883

37.9

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

144,108

70,172

128,426

85,705

8,588

7.0

Total

Affiliated

Short-Term

Investments

144,108

85,705

7.0

Collateral

held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

10,245

35,027

26,826

18,446

18,446

1.5

Total

Collateral

Held

for

Securities

Loaned

10,245

18,446

1.5

Total

Value

$713,390

$566,034

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

14

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Registered

Investment

Companies

Core

Emerging

Markets

Equity

$–

$(2,734)

–

$–

Core

International

Equity

–

(15,741)

–

–

Core

Low

Volatility

Equity

–

(16,493)

–

–

Global

Stock

–

(13,008)

–

–

High

Yield

–

(1,517)

–

133

Income

–

(204)

–

42

International

Allocation

–

(35,137)

–

–

Large

Cap

Value

–

(19,913)

–

–

Limited

Maturity

Bond

–

(332)

–

61

Mid

Cap

Stock

–

(24,185)

–

–

Small

Cap

Stock

–

(15,126)

–

–

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

(46)

(103)

–

553

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$789

Collateral

Held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

–

–

–

19

Total

Affiliated

Income

from

Securities

Loaned,

Net

$19

Total

Value

$(46)

$(144,493

)

$–

All

Cap

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

15

Shares

Common

Stock

(

96.5%

)

Value

Communications

Services

(4.1%)

730

Alphabet,

Inc.,

Class

A

a

$

848,223

21,720

Comcast

Corporation

746,734

12,490

Facebook,

Inc.

a

2,083,332

27,950

QuinStreet

,

Inc.

a

224,998

Total

3,903,287

Consumer

Discretionary

(10.6%)

1,660

Amazon.com,

Inc.

a

3,236,535

1,140

AutoZone,

Inc.

a

964,440

930

Booking

Holdings,

Inc.

a

1,251,148

4,600

Burlington

Stores,

Inc.

a

728,916

10,720

Canada

Goose

Holdings,

Inc.

a

213,221

1,020

Chipotle

Mexican

Grill,

Inc.

a

667,488

6,130

Dollar

Tree,

Inc.

a

450,371

1,320

Domino's

Pizza,

Inc.

427,773

180

NVR,

Inc.

a

462,440

4,302

Planet

Fitness,

Inc.

a

209,507

17,980

Sony

Corporation

ADR

1,064,056

3,353

Wingstop

,

Inc.

267,234

Total

9,943,129

Consumer

Staples

(6.3%)

41,950

Alimentation

Couche-Tard,

Inc.

988,163

3,640

Casey's

General

Stores,

Inc.

482,264

13,360

Church

&

Dwight

Company,

Inc.

857,445

3,530

Costco

Wholesale

Corporation

1,006,509

18,270

Cott

Corporation

165,526

18,420

Philip

Morris

International,

Inc.

1,343,923

21,090

Turning

Point

Brands,

Inc.

445,210

5,240

Wal-Mart

Stores,

Inc.

595,369

Total

5,884,409

Energy

(2.5%)

26,590

BP

plc

ADR

648,530

47,350

Euronav

NV

534,108

20,780

Marathon

Petroleum

Corporation

490,824

55,170

Nine

Energy

Service,

Inc.

a

44,594

7,460

Pioneer

Natural

Resources

Company

523,319

39,880

WPX

Energy,

Inc.

a

121,634

Total

2,363,009

Financials

(11.8%)

7,090

American

Express

Company

606,975

13,510

Arch

Capital

Group,

Ltd.

a

384,495

24,660

Assured

Guaranty,

Ltd.

635,981

44,140

Bank

of

America

Corporation

937,092

1,910

Cboe

Global

Markets,

Inc.

170,468

20,060

Citigroup,

Inc.

844,927

13,850

Essent

Group,

Ltd.

364,809

89,911

Everi

Holdings,

Inc.

a

296,706

13,900

First

Republic

Bank

1,143,692

14,800

Hartford

Financial

Services

Group,

Inc.

521,552

7,770

IBERIABANK

Corporation

280,963

11,130

Interactive

Brokers

Group,

Inc.

480,482

10,160

Intercontinental

Exchange,

Inc.

820,420

10,800

J.P.

Morgan

Chase

&

Company

972,324

450

Markel

Corporation

a

417,551

24,351

Prosight

Global,

Inc.

a

237,422

4,130

S&P

Global,

Inc.

1,012,057

21,660

Spirit

of

Texas

Bancshares,

Inc.

a

223,964

2,250

SVB

Financial

Group

a

339,930

13,340

Zions

Bancorporations

NA

356,978

Total

11,048,788

Shares

Common

Stock

(96.5%)

Value

Health

Care

(14.3%)

13,180

Abbott

Laboratories

$

1,040,034

15,740

BioMarin

Pharmaceutical,

Inc.

a

1,330,030

10,220

Catalent

,

Inc.

a

530,929

17,880

Centene

Corporation

a

1,062,251

18,490

Horizon

Therapeutics

plc

a

547,674

5,790

Jazz

Pharmaceuticals,

Inc.

a

577,495

16,040

Johnson

&

Johnson

2,103,325

17,680

Medtronic

plc

1,594,382

8,750

Merck

&

Company,

Inc.

673,225

1,710

Teleflex,

Inc.

500,790

5,360

UnitedHealth

Group,

Inc.

1,336,677

6,460

Vertex

Pharmaceuticals,

Inc.

a

1,537,157

19,790

Wright

Medical

Group

NV

a

566,983

Total

13,400,952

Industrials

(11.0%)

12,950

A.O.

Smith

Corporation

489,639

19,990

Altra

Industrial

Motion

Corporation

349,625

15,740

Arcosa

,

Inc.

625,507

9,540

Honeywell

International,

Inc.

1,276,357

3,410

Huntington

Ingalls

Industries,

Inc.

621,336

10,440

Kansas

City

Southern

1,327,759

16,100

Meritor,

Inc.

a

213,325

9,160

Parker-Hannifin

Corporation

1,188,327

15,310

Ritchie

Brothers

Auctioneers,

Inc.

523,296

4,660

Roper

Industries,

Inc.

1,453,035

3,520

United

Technologies

Corporation

332,042

3,550

Valmont

Industries,

Inc.

376,229

7,150

Waste

Connections,

Inc.

554,125

18,540

Willdan

Group,

Inc.

a

396,200

9,160

Xylem,

Inc.

596,591

Total

10,323,393

Information

Technology

(25.0%)

4,010

Adobe,

Inc.

a

1,276,143

6,870

Akamai

Technologies,

Inc.

a

628,536

4,910

Alliance

Data

Systems

Corporation

165,222

1,880

ANSYS,

Inc.

a

437,044

9,100

Apple,

Inc.

2,314,039

8,920

Atlassian

Corporation

plc

a

1,224,359

8,080

Blackline,

Inc.

a

425,089

36,590

Change

Healthcare,

Inc.

a

365,534

12,400

Ciena

Corporation

a

493,644

17,820

Cisco

Systems,

Inc.

700,504

10,280

Dolby

Laboratories,

Inc.

557,279

4,870

F5

Networks,

Inc.

a

519,288

11,980

Five9,

Inc.

a

915,991

28,860

Juniper

Networks,

Inc.

552,380

28,660

Lattice

Semiconductor

Corporation

a

510,721

5,290

MasterCard,

Inc.

1,277,852

13,610

Microsoft

Corporation

2,146,433

18,350

National

Instruments

Corporation

607,018

8,430

New

Relic,

Inc.

a

389,803

25,210

Nuance

Communications,

Inc.

a

423,024

4,420

NVIDIA

Corporation

1,165,112

9,000

PayPal

Holdings,

Inc.

a

861,660

7,380

Salesforce.com,

Inc.

a

1,062,572

5,640

ServiceNow

,

Inc.

a

1,616,311

10,150

Visa,

Inc.

1,635,368

15,770

Xilinx,

Inc.

1,229,114

Total

23,500,040

Materials

(2.8%)

5,210

Ball

Corporation

336,879

15,490

Eastman

Chemical

Company

721,524

5,820

FMC

Corporation

475,436

All

Cap

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

16

Shares

Common

Stock

(96.5%)

Value

Materials

(2.8%)

-

continued

34,840

Louisiana-Pacific

Corporation

$

598,551

11,160

Nucor

Corporation

401,983

1,760

United

States

Lime

&

Minerals,

Inc.

129,976

Total

2,664,349

Real

Estate

(4.5%)

4,430

Alexandria

Real

Estate

Equities,

Inc.

607,176

1,530

AvalonBay

Communities,

Inc.

225,170

5,900

Camden

Property

Trust

467,516

10,615

Cousins

Properties,

Inc.

310,701

2,360

Crown

Castle

International

Corporation

340,784

19,750

Duke

Realty

Corporation

639,505

730

Equinix

,

Inc.

455,936

21,090

Physicians

Realty

Trust

293,995

4,390

Prologis,

Inc.

352,824

8,630

QTS

Realty

Trust,

Inc.

500,626

1,530

Simon

Property

Group,

Inc.

83,936

Total

4,278,169

Utilities

(3.6%)

10,600

Duke

Energy

Corporation

857,328

21,820

FirstEnergy

Corporation

874,327

8,860

NorthWestern

Corporation

530,094

12,800

PNM

Resources,

Inc.

486,400

37,330

Vistra

Energy

Corporation

595,787

Total

3,343,936

Total

Common

Stock

(cost

$101,148,326)

90,653,461

Shares

Registered

Investment

Companies

(

0.9%

)

Value

Unaffiliated  (0.9%)

12,930

Materials

Select

Sector

SPDR

Fund

582,367

7,740

SPDR

S&P

Homebuilders

ETF

230,575

Total

812,942

Total

Registered

Investment

Companies

(cost

$1,095,045)

812,942

Shares

Short-Term

Investments

(

2.7%

)

Value

Thrivent

Core

Short-Term

Reserve

Fund

258,053

1.570%

2,575,372

Total

Short-Term

Investments

(cost

$2,579,593)

2,575,372

Total

Investments

(cost

$104,822,964)

100.1%

$94,041,775

Other

Assets

and

Liabilities,

Net

(0.1%)

(84,376)

Total

Net

Assets

100.0%

$93,957,399

a

Non-income

producing

security.

Definitions:

ADR

-

American

Depositary

Receipt,

which

are

certificates

for

an

underlying

foreign

security's

shares

held

by

an

issuing

U.S.

depository

bank.

ETF

-

Exchange

Traded

Fund

SPDR

-

S&P

Depository

Receipts,

which

are

exchange-traded

funds

traded

in

the

U.S.,

Europe,

and

Asia-Pacific

and

managed

by

State

Street

Global

Advisors.

All

Cap

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

17

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

All

Cap

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Common

Stock

Communications

Services

3,903,287

3,903,287

–

–

Consumer

Discretionary

9,943,129

9,943,129

–

–

Consumer

Staples

5,884,409

4,896,246

988,163

–

Energy

2,363,009

2,363,009

–

–

Financials

11,048,788

11,048,788

–

–

Health

Care

13,400,952

13,400,952

–

–

Industrials

10,323,393

10,323,393

–

–

Information

Technology

23,500,040

23,500,040

–

–

Materials

2,664,349

2,664,349

–

–

Real

Estate

4,278,169

4,278,169

–

–

Utilities

3,343,936

3,343,936

–

–

Registered

Investment

Companies

Unaffiliated

812,942

812,942

–

–

Subtotal

Investments

in

Securities

$91,466,403

$90,478,240

$988,163

$–

Other

Investments  *

Total

Affiliated

Short-Term

Investments

2,575,372

Subtotal

Other

Investments

$2,575,372

Total

Investments

at

Value

$94,041,775

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

All

Cap

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$1,093

$4,623

$3,136

$2,575

258

2.7%

Total

Affiliated

Short-Term

Investments

1,093

2,575

2.7

Total

Value

$1,093

$2,575

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$(1)

$(4)

–

$10

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$10

Total

Value

$(1)

$(4)

$–

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

18

Principal

Amount

Bank

Loans

(

15.8%

)

a

Value

Basic

Materials

(0.6%)

Ball

Metalpack

Finco,

LLC,

Term

Loan

$

206,325

6.113%, 

(LIBOR

3M

+

4.500%),

7/31/2025

b

$

154,744

Big

River

Steel,

LLC,

Term

Loan

414,375

6.450%, 

(LIBOR

3M

+

5.000%),

8/23/2023

b,c

393,656

Hexion,

Inc.,

Term

Loan

208,425

5.410%, 

(LIBOR

3M

+

3.500%),

7/1/2026

b

173,514

Momentive

Performance

Materials

USA,

LLC,

Term

Loan

334,472

4.240%, 

(LIBOR

1M

+

3.250%),

5/15/2024

b

268,799

Nouryon

USA,

LLC,

Term

Loan

588,475

3.863%, 

(LIBOR

1M

+

3.000%),

10/1/2025

b

523,743

Pixelle

Specialty

Solutions,

LLC,

Term

Loan

690,215

7.500%, 

(LIBOR

1M

+

6.500%),

10/31/2024

b

598,416

Univar

Solutions

USA,

Inc.,

Term

Loan

144,638

3.450%, 

(LIBOR

3M

+

2.000%),

11/22/2026

b

125,473

Total

2,238,345

Capital

Goods

(1.5%)

Advanced

Disposal

Services,

Inc.,

Term

Loan

362,788

2.894%, 

(LIBOR

1W

+

2.250%),

11/10/2023

b

357,648

BWAY

Holding

Company,

Term

Loan

501,313

5.084%, 

(LIBOR

3M

+

3.250%),

4/3/2024

b

406,379

Flex

Acquisition

Company,

Inc.

Term

Loan

703,126

5.159%, 

(LIBOR

3M

+

3.250%),

6/29/2025

b,c

636,329

GFL

Environmental,

Inc.,

Term

Loan

908,737

3.990%, 

(LIBOR

1M

+

3.000%),

5/31/2025

b,d,e

876,931

Natgasoline,

LLC,

Term

Loan

429,563

5.438%, 

(LIBOR

3M

+

3.500%),

11/14/2025

b,c

369,424

Navistar,

Inc.,

Term

Loan

759,500

4.280%, 

(LIBOR

1M

+

3.500%),

11/6/2024

b

653,170

Reynolds

Group

Holdings,

Inc.,

Term

Loan

109,715

0.000%, 

(LIBOR

1M

+

2.750%),

2/5/2023

b,c,d,e

103,407

TransDigm,

Inc.,

Term

Loan

1,226,925

3.239%, 

(LIBOR

1M

+

2.250%),

12/9/2025

b

1,113,434

Vertiv

Group

Corporation,

Term

Loan

1,170,000

4.581%, 

(LIBOR

1M

+

3.000%),

3/2/2027

b,c

1,006,200

Total

5,522,922

Communications

Services

(4.0%)

Altice

France

SA,

Term

Loan

340,375

3.739%, 

(LIBOR

1M

+

2.750%),

7/31/2025

b

312,294

Principal

Amount

Bank

Loans

(15.8%)

a

Value

Communications

Services

(4.0%)

-

continued

CenturyLink,

Inc.,

Term

Loan

$

1,775,550

3.239%, 

(LIBOR

1M

+

2.250%),

3/15/2027

b

$

1,647,941

CommScope,

Inc.,

Term

Loan

910,425

4.239%, 

(LIBOR

1M

+

3.250%),

4/4/2026

b,c

855,800

Coral-US

Co-Borrower,

LLC,

Term

Loan

1,440,000

3.239%, 

(LIBOR

1M

+

2.250%),

1/31/2028

b

1,341,000

CSC

Holdings,

LLC,

Term

Loan

627,262

2.862%, 

(LIBOR

1M

+

2.250%),

7/17/2025

b

596,947

1,340,000

3.112%, 

(LIBOR

1M

+

2.500%),

4/15/2027

b

1,277,462

Diamond

Sports

Group,

LLC,

Term

Loan

895,500

4.180%, 

(LIBOR

1M

+

3.250%),

8/24/2026

b,c

689,535

Entercom

Media

Corporation,

Term

Loan

428,098

3.489%, 

(LIBOR

1M

+

2.500%),

11/17/2024

b,c

385,288

Frontier

Communications

Corporation,

Term

Loan

886,514

5.350%, 

(LIBOR

3M

+

3.750%),

6/15/2024

b

838,722

HCP

Acquisition,

LLC,

Term

Loan

688,318

4.000%, 

(LIBOR

1M

+

3.000%),

5/16/2024

b

594,246

Intelsat

Jackson

Holdings

SA,

Term

Loan

490,000

5.682%, 

(LIBOR

3M

+

3.750%),

11/27/2023

b

446,512

Mediacom

Illinois,

LLC,

Term

Loan

229,042

2.370%, 

(LIBOR

1W

+

1.750%),

2/15/2024

b,c

219,880

NEP

Group,

Inc.,

Term

Loan

711,000

4.700%, 

(LIBOR

3M

+

3.250%),

10/20/2025

b

434,599

SBA

Senior

Finance

II,

LLC,

Term

Loan

517,468

2.740%, 

(LIBOR

1M

+

1.750%),

4/11/2025

b,d,e

487,972

Sprint

Communications,

Inc.,

Term

Loan

942,695

3.500%, 

(LIBOR

1M

+

2.500%),

2/3/2024

b,c

935,625

Terrier

Media

Buyer,

Inc.,

Term

Loan

423,938

5.700%, 

(LIBOR

3M

+

4.250%),

12/17/2026

b,c

374,125

TNS,

Inc.,

Term

Loan

282,626

5.780%, 

(LIBOR

3M

+

4.000%),

8/14/2022

b

233,639

Virgin

Media

Bristol,

LLC,

Term

Loan

1,170,000

3.205%, 

(LIBOR

1M

+

2.500%),

1/31/2028

b

1,076,400

WideOpenWest

Finance,

LLC,

Term

Loan

587,925

4.250%, 

(LIBOR

1M

+

3.250%),

8/19/2023

b

539,421

Windstream

Services,

LLC,

Term

Loan

390,000

3.490%, 

(LIBOR

1M

+

2.500%),

2/26/2021

b

378,300

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

19

Principal

Amount

Bank

Loans

(15.8%)

a

Value

Communications

Services

(4.0%)

-

continued

$

203,439

8.250%, 

(PRIME

+

5.000%),

3/30/2021

b,f

$

125,115

Ziggo

Financing

Partnership,

Term

Loan

760,000

3.205%, 

(LIBOR

3M

+

2.500%),

4/30/2028

b,c,d,e

714,400

Total

14,505,223

Consumer

Cyclical

(2.6%)

1011778

B.C.,

LLC,

Term

Loan

1,256,850

2.739%, 

(LIBOR

1M

+

1.750%),

11/19/2026

b

1,156,302

Boyd

Gaming

Corporation,

Term

Loan

198,386

2.934%, 

(LIBOR

1W

+

2.250%),

9/15/2023

b

170,673

Cengage

Learning,

Inc.,

Term

Loan

690,066

5.250%, 

(LIBOR

1M

+

4.250%),

6/7/2023

b

556,076

Eldorado

Resorts,

Inc.,

Term

Loan

111,233

3.250%, 

(LIBOR

3M

+

2.250%),

4/17/2024

b

97,329

Four

Seasons

Hotels,

Ltd.,

Term

Loan

561,932

2.989%, 

(LIBOR

1M

+

2.000%),

11/30/2023

b

505,739

Golden

Entertainment,

Inc.,

Term

Loan

1,032,550

3.960%, 

(LIBOR

1M

+

3.000%),

10/20/2024

b,c

774,412

Golden

Nugget,

LLC,

Term

Loan

1,166,736

3.580%, 

(LIBOR

3M

+

2.500%),

10/4/2023

b

904,220

IAA,

Inc.,

Term

Loan

217,688

3.250%, 

(LIBOR

1M

+

2.250%),

6/28/2026

b,c

206,803

LCPR

Loan

Financing,

LLC,

Term

Loan

1,120,000

5.705%, 

(LIBOR

1M

+

5.000%),

10/25/2026

b

1,026,200

Mohegan

Gaming

and

Entertainment,

Term

Loan

895,521

5.375%, 

(LIBOR

1M

+

4.375%),

10/13/2023

b

631,342

Scientific

Games

International,

Inc.,

Term

Loan

1,814,851

4.250%, 

(LIBOR

1M

+

2.750%),

8/14/2024

b

1,457,925

Staples,

Inc.,

Term

Loan

243,162

6.015%, 

(LIBOR

1M

+

4.500%),

9/12/2024

b,c

165,350

789,312

6.515%, 

(LIBOR

1M

+

5.000%),

4/12/2026

b

619,610

Stars

Group

Holdings

BV,

Term

Loan

849,370

4.950%, 

(LIBOR

3M

+

3.500%),

7/10/2025

b

807,607

Tenneco,

Inc.,

Term

Loan

641,875

3.989%, 

(LIBOR

1M

+

3.000%),

10/1/2025

b

439,684

Total

9,519,272

Consumer

Non-Cyclical

(2.6%)

Air

Medical

Group

Holdings,

Inc.,

Term

Loan

1,764,387

4.932%, 

(LIBOR

2M

+

3.250%),

4/28/2022

b

1,627,648

Principal

Amount

Bank

Loans

(15.8%)

a

Value

Consumer

Non-Cyclical

(2.6%)

-

continued

Bausch

Health

Companies,

Inc.,

Term

Loan

$

1,182,375

3.612%, 

(LIBOR

1M

+

3.000%),

6/1/2025

b

$

1,118,822

Chobani,

LLC,

Term

Loan

534,480

4.500%, 

(LIBOR

1M

+

3.500%),

10/10/2023

b

474,351

Endo

International

plc,

Term

Loan

570,218

5.250%, 

(LIBOR

1M

+

4.250%),

4/27/2024

b,d,e

508,919

Energizer

Holdings,

Inc.,

Term

Loan

100,320

3.875%, 

(LIBOR

1M

+

2.250%),

12/17/2025

b,c

93,298

Grifols

Worldwide

Operations

USA,

Inc.,

Term

Loan

578,550

2.684%, 

(LIBOR

1W

+

2.000%),

11/15/2027

b

545,283

JBS

USA

LUX

SA,

Term

Loan

860,653

3.072%, 

(LIBOR

3M

+

2.000%),

5/1/2026

b

801,019

Libbey

Glass,

Inc.,

Term

Loan

293,799

4.005%, 

(LIBOR

1M

+

3.000%),

4/9/2021

b

119,723

Mallinckrodt

International

Finance

SA,

Term

Loan

356,636

4.704%, 

(LIBOR

3M

+

3.000%),

2/24/2025

b

238,279

McGraw-Hill

Global

Education

Holdings,

LLC,

Term

Loan

505,244

5.450%, 

(LIBOR

3M

+

4.000%),

5/4/2022

b

410,930

MPH

Acquisition

Holdings,

LLC,

Term

Loan

1,440,000

4.200%, 

(LIBOR

3M

+

2.750%),

6/7/2023

b

1,268,395

Ortho-Clinical

Diagnostics

SA,

Term

Loan

1,320,653

4.765%, 

(LIBOR

1M

+

3.250%),

6/30/2025

b

1,117,603

Plantronics,

Inc.,

Term

Loan

584,650

3.470%, 

(LIBOR

3M

+

2.500%),

7/2/2025

b

452,226

R.R.

Donnelley

&

Sons

Company,

Term

Loan

99,246

5.989%, 

(LIBOR

1M

+

5.000%),

1/15/2024

b

85,848

Sotera

Health

Holdings,

LLC,

Term

Loan

455,000

5.500%, 

(LIBOR

1M

+

4.500%),

12/13/2026

b

394,003

Total

9,256,347

Energy

(0.9%)

BCP

Raptor

II,

LLC,

Term

Loan

401,963

5.739%, 

(LIBOR

1M

+

4.750%),

11/3/2025

b

221,079

Buckeye

Partners,

LP,

Term

Loan

150,000

0.000%, 

(LIBOR

1M

+

2.750%),

11/1/2026

b,d,e

136,800

Calpine

Corporation,

Term

Loan

594,399

3.240%, 

(LIBOR

1M

+

2.250%),

1/15/2024

b

569,434

CONSOL

Energy,

Inc.,

Term

Loan

430,650

5.490%, 

(LIBOR

1M

+

4.500%),

9/28/2024

b

279,923

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

20

Principal

Amount

Bank

Loans

(15.8%)

a

Value

Energy

(0.9%)

-

continued

Consolidated

Energy

Finance

SA,

Term

Loan

$

393,000

3.205%, 

(LIBOR

1M

+

2.500%),

5/7/2025

b,c

$

275,100

Fieldwood

Energy,

LLC,

Term

Loan

570,000

7.027%, 

(LIBOR

3M

+

5.250%),

4/11/2022

b

178,125

Radiate

Holdco,

LLC,

Term

Loan

1,544,190

3.989%, 

(LIBOR

1M

+

3.000%),

2/1/2024

b

1,415,513

Total

3,075,974

Financials

(1.6%)

Avolon

TLB

Borrower

1

US,

LLC,

Term

Loan

408,618

2.523%, 

(LIBOR

1M

+

1.750%),

1/15/2025

b

362,310

Cyxtera

DC

Holdings,

Inc.,

Term

Loan

667,182

4.000%, 

(LIBOR

1M

+

3.000%),

5/1/2024

b

427,664

105,000

8.050%, 

(LIBOR

1M

+

7.250%),

5/1/2025

b

37,216

Digicel

International

Finance,

Ltd.,

Term

Loan

943,238

4.870%, 

(LIBOR

3M

+

3.250%),

5/27/2024

b

729,831

GGP

Nimbus,

LLC,

Term

Loan

1,039,175

3.489%, 

(LIBOR

1M

+

2.500%),

8/24/2025

b

727,422

Harland

Clarke

Holdings

Corporation,

Term

Loan

791,099

6.463%, 

(LIBOR

3M

+

4.750%),

11/3/2023

b

476,392

Level

3

Financing,

Inc.,

Term

Loan

725,000

2.739%, 

(LIBOR

1M

+

1.750%),

3/1/2027

b

674,250

MoneyGram

International,

Inc.,

Term

Loan

402,260

6.989%, 

(LIBOR

1M

+

6.000%),

6/30/2023

b

287,616

NCR

Corporation,

Term

Loan

611,925

3.490%, 

(LIBOR

1M

+

2.500%),

8/28/2026

b

550,732

Northriver

Midstream

Finance,

LP,

Term

Loan

588,510

5.159%, 

(LIBOR

3M

+

3.250%),

10/1/2025

b

448,862

Tronox

Finance,

LLC,

Term

Loan

1,235,476

3.930%, 

(LIBOR

1M

+

2.750%),

9/22/2024

b

1,075,741

Total

5,798,036

Technology

(1.4%)

Clear

Channel

Outdoor

Holdings,

Inc.,

Term

Loan

1,114,400

4.489%, 

(LIBOR

1M

+

3.500%),

8/21/2026

b,c

936,096

Prime

Security

Services

Borrower,

LLC,

Term

Loan

1,661,650

4.606%, 

(LIBOR

1M

+

3.250%),

9/23/2026

b

1,483,854

Rackspace

Hosting,

Inc.,

Term

Loan

1,493,179

4.763%, 

(LIBOR

3M

+

3.000%),

11/3/2023

b

1,291,600

Principal

Amount

Bank

Loans

(15.8%)

a

Value

Technology

(1.4%)

-

continued

SS&C

Technologies,

Inc.,

Term

Loan

$

260,452

2.739%, 

(LIBOR

1M

+

1.750%),

4/16/2025

b

$

242,871

185,850

2.739%, 

(LIBOR

1M

+

1.750%),

4/16/2025

b

173,305

Zayo

Group

Holdings,

Inc.,

Term

Loan

1,110,000

3.989%, 

(LIBOR

1M

+

3.000%),

3/9/2027

b,c,d,e

1,043,400

Total

5,171,126

Transportation

(0.3%)

Genesee

&

Wyoming,

Inc.,

Term

Loan

695,000

3.450%, 

(LIBOR

3M

+

2.000%),

12/30/2026

b

662,425

United

Airlines,

Inc.,

Term

Loan

520,000

2.739%, 

(LIBOR

3M

+

1.750%),

4/1/2024

b,c,d,e

468,000

Total

1,130,425

Utilities

(0.3%)

Core

and

Main,

LP,

Term

Loan

483,862

4.331%, 

(LIBOR

1M

+

2.750%),

8/1/2024

b

424,589

EnergySolutions,

LLC,

Term

Loan

343,875

5.200%, 

(LIBOR

3M

+

3.750%),

5/11/2025

b,c

295,733

Talen

Energy

Supply,

LLC,

Term

Loan

288,550

4.739%, 

(LIBOR

1M

+

3.750%),

7/8/2026

b

249,596

Total

969,918

Total

Bank

Loans

(cost

$66,220,227)

57,187,588

Shares

Common

Stock

(

42.3%

)

Value

Communications

Services

(2.6%)

4,182

Activision

Blizzard,

Inc.

g

248,745

1,504

Alphabet,

Inc.,

Class

A

g

1,747,573

795

Alphabet,

Inc.,

Class

C

g

924,434

5,046

AT&T,

Inc.

147,091

74,803

Auto

Trader

Group

plc

h

404,219

5,438

Carsales.com,

Ltd.

39,074

5,491

CenturyLink,

Inc.

51,945

155

Charter

Communications,

Inc.

g

67,628

24,393

Comcast

Corporation

838,631

1,349

Discovery,

Inc.,

Class

A

g,i

26,225

10,896

DISH

Network

Corporation

g

217,811

5,043

Facebook,

Inc.

g

841,172

39,000

HKT

Trust

and

HKT,

Ltd.

53,042

1,462

Ipsos

SA

30,336

2,460

Live

Nation

Entertainment,

Inc.

g

111,832

41,714

Mediaset

Espana

Comunicacion

SA

152,315

2,959

Meredith

Corporation

36,159

4,551

Orange

SA

55,101

15,089

QuinStreet,

Inc.

g

121,466

3,458

Rightmove

plc

20,855

211

Roku,

Inc.

g

18,458

19,505

Seven

West

Media,

Ltd.

g

949

13,100

SoftBank

Corporation

166,877

1,900

SoftBank

Group

Corporation

67,264

246,193

Telecom

Italia

SPA

99,653

23,638

Telefonica

SA

107,579

13,200

TV

Asahi

Holdings

Corporation

200,057

11,864

Twitter,

Inc.

g

291,380

5,001

Uber

Technologies,

Inc.

g

139,628

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

21

Shares

Common

Stock

(42.3%)

Value

Communications

Services

(2.6%)

-

continued

25,292

Verizon

Communications,

Inc.

$

1,358,939

4,623

ViacomCBS,

Inc.

64,768

16,760

Vodafone

Group

plc

23,186

3,830

Walt

Disney

Company

369,978

2,990

Wolters

Kluwer

NV

211,645

7,444

Zillow

Group,

Inc.

g

252,873

Total

9,508,888

Consumer

Discretionary

(3.7%)

1,890

Alibaba

Group

Holding,

Ltd.

ADR

g

367,567

1,479

Amazon.com,

Inc.

g

2,883,636

1,900

AOKI

Holdings,

Inc.

12,724

3,700

Aoyama

Trading

Company,

Ltd.

31,654

4,088

Aptiv

plc

201,293

2,100

Autobacs

Seven

Company,

Ltd.

24,172

240

AutoZone,

Inc.

g

203,040

2,731

Berkeley

Group

Holdings

plc

121,894

228

Booking

Holdings,

Inc.

g

306,733

1,200

Bridgestone

Corporation

36,733

1,027

Bright

Horizons

Family

Solutions,

Inc.

g

104,754

1,624

Burlington

Stores,

Inc.

g

257,339

1,186

Century

Casinos,

Inc.

g

2,858

245

Chipotle

Mexican

Grill,

Inc.

g

160,328

2,400

Chiyoda

Company,

Ltd.

25,824

359

Churchill

Downs,

Inc.

36,959

30,200

Citizen

Watch

Company,

Ltd.

106,552

6,926

Cooper-Standard

Holdings,

Inc.

g

71,130

10,280

Crocs,

Inc.

g

174,657

6,118

D.R.

Horton,

Inc.

208,012

14,900

Denso

Corporation

476,122

11,986

Designer

Brands,

Inc.

59,690

2,555

Eldorado

Resorts,

Inc.

g

36,792

1,009

Emerald

Holding,

Inc

2,613

7,764

Etsy,

Inc.

g

298,448

900

Exedy

Corporation

13,246

38,000

Galaxy

Entertainment

Group,

Ltd.

200,139

1,851

Genuine

Parts

Company

124,628

5,596

Home

Depot,

Inc.

1,044,829

2,760

Industria

de

Diseno

Textil

SA

71,522

9,209

Lowe's

Companies,

Inc.

792,434

2,101

Lululemon

Athletica,

Inc.

g

398,245

2,094

McDonald's

Corporation

346,243

1,284

Mohawk

Industries,

Inc.

g

97,892

28,149

Moneysupermarket.com

Group

plc

104,603

8,444

Movado

Group,

Inc.

99,808

543

Netflix,

Inc.

g

203,896

10,300

NHK

Spring

Company,

Ltd.

67,186

3,548

NIKE,

Inc.

293,562

4,600

Nissan

Motor

Company,

Ltd.

15,390

141

NVR,

Inc.

g

362,245

2,100

Onward

Holdings

Company,

Ltd.

9,230

2,586

Oxford

Industries,

Inc.

93,768

1,900

Park24

Company,

Ltd.

28,009

3,467

Penn

National

Gaming,

Inc.

g

43,858

2,928

Playa

Hotels

and

Resorts

NV

g

5,124

1,600

PLENUS

Company,

Ltd.

27,361

17,739

Redrow

plc

78,635

3,082

RH

g,i

309,649

2,500

Rinnai

Corporation

176,226

3,900

Sangetsu

Company,

Ltd.

57,725

2,000

SHIMAMURA

Company,

Ltd.

120,868

6,065

Sony

Corporation

ADR

358,927

45,700

Sumitomo

Electric

Industries,

Ltd.

477,473

1,000

Sumitomo

Forestry

Company,

Ltd.

12,768

24,500

Sumitomo

Rubber

Industries,

Ltd.

230,124

Shares

Common

Stock

(42.3%)

Value

Consumer

Discretionary

(3.7%)

-

continued

2,069

Super

Retail

Group,

Ltd.

$

5,918

800

Takara

Standard

Company,

Ltd.

12,228

66,666

Taylor

Wimpey

plc

95,930

4,278

Texas

Roadhouse,

Inc.

176,681

5,642

TJX

Companies,

Inc.

269,744

4,600

Toyoda

Gosei

Company,

Ltd.

78,286

900

United

Arrows,

Ltd.

13,535

1,067

Wynn

Resorts,

Ltd.

64,223

6,142

Zumiez,

Inc.

g

106,379

Total

13,300,061

Consumer

Staples

(2.3%)

3,880

Anheuser-Busch

InBev

NV

171,379

2,500

Arcs

Company,

Ltd.

44,913

1,513

B&G

Foods,

Inc.

27,370

5,356

Bunge,

Ltd.

219,757

3,060

Carlsberg

AS

344,494

934

Casey's

General

Stores,

Inc.

123,746

13,605

Coca-Cola

Company

602,021

6,496

Colgate-Palmolive

Company

431,075

1,001

Costco

Wholesale

Corporation

285,415

25,767

Cott

Corporation

233,449

3,555

ForFarmers

BV

22,113

799

Glanbia

plc

8,698

21,935

Hain

Celestial

Group,

Inc.

g

569,652

2,923

John

B.

Sanfilippo

&

Son,

Inc.

261,316

2,200

Kewpie

Corporation

44,033

1,935

Kimberly-Clark

Corporation

247,428

11

Lindt

&

Spruengli

AG

92,328

410

L'Oreal

SA

106,113

800

Ministop

Company,

Ltd.

10,792

8,759

Nestle

SA

896,640

3,888

PepsiCo,

Inc.

466,949

4,091

Philip

Morris

International,

Inc.

298,479

5,632

Procter

&

Gamble

Company

619,520

809

Reckitt

Benckiser

Group

plc

61,626

4,300

Sugi

Holdings

Company,

Ltd.

230,263

11,200

Sundrug

Company,

Ltd.

358,895

7,940

Turning

Point

Brands,

Inc.

167,613

3,876

Unilever

NV

190,510

10,146

Wal-Mart

Stores,

Inc.

1,152,789

Total

8,289,376

Energy

(1.6%)

15,265

BP

plc

ADR

372,313

5,864

Chevron

Corporation

424,905

5,027

Cimarex

Energy

Company

84,604

4,139

ConocoPhillips

127,481

2,051

Continental

Resources,

Inc.

15,670

6,067

Contura

Energy,

Inc.

g

14,258

6,035

Diamondback

Energy,

Inc.

158,117

18,650

Enbridge,

Inc.

542,529

10,315

Eni

SPA

102,505

40,547

Enterprise

Products

Partners,

LP

579,822

3,190

EOG

Resources,

Inc.

114,585

22,197

Euronav

NV

250,382

6,125

Exxon

Mobil

Corporation

232,566

384

Gaztransport

Et

Technigaz

SA

27,647

20,583

Halliburton

Company

140,994

2,521

Helmerich

&

Payne,

Inc.

39,454

97,200

JXTG

Holdings,

Inc.

331,198

26,398

Marathon

Oil

Corporation

86,849

9,234

Marathon

Petroleum

Corporation

218,107

6,394

NexTier

Oilfield

Solutions,

Inc.

g

7,481

9,376

Nine

Energy

Service,

Inc.

g

7,579

745

OMV

AG

20,388

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

22

Shares

Common

Stock

(42.3%)

Value

Energy

(1.6%)

-

continued

1,625

ONEOK,

Inc.

$

35,441

19,091

Pacific

Drilling

SA

g,i

8,209

27,695

Patterson-UTI

Energy,

Inc.

65,083

4,013

Pioneer

Natural

Resources

Company

281,512

18,158

Royal

Dutch

Shell

plc,

Class

A

315,471

29,400

Royal

Dutch

Shell

plc,

Class

B

493,156

3,595

Schlumberger,

Ltd.

48,497

7,286

SEACOR

Holdings,

Inc.

g

196,431

5,313

Talos

Energy,

Inc.

g

30,550

2,381

Total

SA

89,713

2,930

TransCanada

Energy

Corporation

130,229

25,513

WPX

Energy,

Inc.

g

77,815

Total

5,671,541

Financials

(6.5%)

16,555

AB

Industrivarden

316,987

8,428

Aflac,

Inc.

288,575

11,400

AIA

Group,

Ltd.

102,083

5,775

Air

Lease

Corporation

127,858

4,334

Allianz

SE

738,070

17,832

Ally

Financial,

Inc.

257,316

2,236

American

Express

Company

191,424

2,821

American

Financial

Group,

Inc.

197,696

6,316

American

International

Group,

Inc.

153,163

604

Ameriprise

Financial,

Inc.

61,898

908

Aon

plc

149,856

26,150

Assured

Guaranty,

Ltd.

674,408

3,442

Baloise

Holding

AG

448,740

43,397

Bank

Leumi

Le-Israel

BM

239,289

61,545

Bank

of

America

Corporation

1,306,600

308

Bank

of

Marin

Bancorp

9,240

5,852

Bank

of

Montreal

295,490

5,962

Bank

of

N.T.

Butterfield

&

Son,

Ltd.

101,533

2,698

Bank

of

New

York

Mellon

Corporation

90,869

2,975

Berkshire

Hathaway,

Inc.

g

543,919

960

BlackRock,

Inc.

422,371

12,550

Bridgewater

Bancshares,

Inc.

g

122,362

7,023

Capital

One

Financial

Corporation

354,100

6,387

Charles

Schwab

Corporation

214,731

2,521

Chubb,

Ltd.

281,570

35,912

CI

Financial

Corporation

356,492

20,742

Citigroup,

Inc.

873,653

2,358

Citizens

Financial

Group,

Inc.

44,354

658

CME

Group,

Inc.

113,775

1,988

CNP

Assurances

19,249

1,565

Cohen

&

Steers,

Inc.

71,129

9,545

Comerica,

Inc.

280,050

6,407

Commonwealth

Bank

of

Australia

241,737

1,246

Community

Trust

Bancorp,

Inc.

39,610

1,223

Cullen/Frost

Bankers,

Inc.

68,231

25,900

DBS

Group

Holdings,

Ltd.

337,947

1,273

Deutsche

Boerse

AG

174,890

12,620

Deutsche

Pfandbriefbank

AG

h

95,270

25,881

DnB

ASA

288,339

2,033

Ellington

Residential

Mortgage

REIT

10,775

1,050

Enstar

Group,

Ltd.

g

167,003

6,215

Euronext

NV

h

457,631

20,870

Everi

Holdings,

Inc.

g

68,871

313

FBL

Financial

Group,

Inc.

14,608

370

Financial

Institutions,

Inc.

6,712

2,571

First

Busey

Corporation

43,990

8,851

First

Interstate

BancSystem,

Inc.

255,263

239

First

Mid-Illinois

Bancshares,

Inc.

5,674

1,329

First

Republic

Bank

109,350

66,501

FlexiGroup,

Ltd.

30,737

1,062

Goldman

Sachs

Group,

Inc.

164,175

Shares

Common

Stock

(42.3%)

Value

Financials

(6.5%)

-

continued

1,426

Great

Southern

Bancorp,

Inc.

$

57,610

2,021

Hamilton

Lane,

Inc.

i

111,782

12,188

Hartford

Financial

Services

Group,

Inc.

429,505

6,581

Heartland

Financial

USA,

Inc.

198,746

19,180

Heritage

Commerce

Corporation

147,111

958

Hometrust

Bancshares,

Inc.

15,251

2,273

Houlihan

Lokey,

Inc.

118,469

19,481

HSBC

Holdings

plc

109,362

433

Independent

Bank

Corporation

5,573

5,331

Interactive

Brokers

Group,

Inc.

230,139

101,543

Israel

Discount

Bank,

Ltd.

296,086

7,812

J.P.

Morgan

Chase

&

Company

703,314

4,954

Kemper

Corporation

368,429

41,263

KeyCorp

427,897

900

L

E

Lundbergforetagen

AB

36,484

646

Lakeland

Bancorp,

Inc.

6,983

6,553

Laurentian

Bank

of

Canada

142,301

1,155

M&T

Bank

Corporation

119,462

26,341

Manulife

Financial

Corporation

330,736

456

Markel

Corporation

g

423,118

945

Marsh

&

McLennan

Companies,

Inc.

81,705

7,817

Meridian

Bancorp,

Inc.

87,707

7,330

MetLife,

Inc.

224,078

3,229

MidWestOne

Financial

Group,

Inc.

67,615

2,460

Mizrahi

Tefahot

Bank,

Ltd.

45,278

10,891

Morgan

Stanley

370,294

2,154

National

Bank

of

Canada

83,249

15,779

Natixis

50,244

1,360

New

York

Community

Bancorp,

Inc.

12,770

2,081

Northern

Trust

Corporation

157,032

1,653

Onex

Corporation

60,503

2,245

Paragon

Banking

Group

plc

9,182

1,723

Pargesa

Holding

SA

113,758

1,414

PCSB

Financial

Corporation

19,782

266

Peapack-Gladstone

Financial

Corporation

4,775

2,311

PNC

Financial

Services

Group,

Inc.

221,209

4,662

Popular,

Inc.

163,170

6,833

Power

Corporation

of

Canada

109,926

2,290

Primerica,

Inc.

202,619

8,364

Prosight

Global,

Inc.

g

81,549

1,829

Prudential

Financial,

Inc.

95,364

214

QCR

Holdings,

Inc.

5,793

14,064

Radian

Group,

Inc.

182,129

4,744

Raymond

James

Financial,

Inc.

299,821

3,660

Royal

Bank

of

Canada

226,705

1,217

S&P

Global,

Inc.

298,226

9,245

Seacoast

Banking

Corporation

of

Florida

g

169,276

2,600

Senshu

Ikeda

Holdings,

Inc.

3,920

5,500

Singapore

Exchange,

Ltd.

35,422

6,385

State

Auto

Financial

Corporation

177,439

13,218

Sun

Life

Financial,

Inc.

425,196

541

SVB

Financial

Group

g

81,734

1,409

Swiss

Life

Holding

AG

472,925

10,659

Synovus

Financial

Corporation

187,172

2,165

T.

Rowe

Price

Group,

Inc.

211,412

900

Topdanmark

AS

36,114

22,947

Toronto-Dominion

Bank

975,570

5,055

Triumph

Bancorp,

Inc.

g

131,430

10,697

U.S.

Bancorp

368,512

218

Washington

Trust

Bancorp,

Inc.

7,970

2,677

Wells

Fargo

&

Company

76,830

7,275

Western

Alliance

Bancorp

222,688

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

23

Shares

Common

Stock

(42.3%)

Value

Financials

(6.5%)

-

continued

19,089

Zions

Bancorporations

NA

$

510,822

Total

23,676,936

Health

Care

(6.4%)

5,278

Abbott

Laboratories

416,487

1,056

AbbVie,

Inc.

80,457

2,263

Alexion

Pharmaceuticals,

Inc.

g

203,195

1,630

Align

Technology,

Inc.

g

283,538

2,597

Amgen,

Inc.

526,490

469

Anthem,

Inc.

106,482

11,257

Bausch

Health

Companies,

Inc.

g

174,483

663

Becton,

Dickinson

and

Company

152,338

1,440

Biogen,

Inc.

g

455,587

5,815

Catalent,

Inc.

g

302,089

1,062

CEL-SCI

Corporation

g

12,255

9,321

Centene

Corporation

g

553,761

2,363

Cigna

Holding

Company

418,676

4,521

CSL,

Ltd.

819,530

11,420

CVS

Health

Corporation

677,549

4,743

Danaher

Corporation

656,479

2,733

Edwards

Lifesciences

Corporation

g

515,498

5,343

Gilead

Sciences,

Inc.

399,443

47,821

GlaxoSmithKline

plc

897,319

5,521

Grifols

SA

184,718

7,473

Halozyme

Therapeutics,

Inc.

g

134,439

3,064

HCA

Healthcare,

Inc.

275,300

636

Humana,

Inc.

199,717

8,516

iBio,

Inc.

g

9,027

294

Illumina,

Inc.

g

80,297

1,164

Intuitive

Surgical,

Inc.

g

576,424

2,317

IQVIA

Holding,

Inc.

g

249,912

2,324

Jazz

Pharmaceuticals,

Inc.

g

231,796

13,577

Johnson

&

Johnson

1,780,352

1,100

KYORIN

Holdings,

Inc.

22,463

349

Laboratory

Corporation

of

America

Holdings

g

44,110

2,180

LHC

Group,

Inc.

g

305,636

244

Ligand

Pharmaceuticals,

Inc.

g

17,744

381

LNA

Sante

15,915

13,936

Medtronic

plc

1,256,748

14,141

Merck

&

Company,

Inc.

1,088,009

1,205

Neurocrine

Biosciences,

Inc.

g

104,293

16,822

Novartis

AG

1,387,795

16,405

Novo

Nordisk

AS

979,643

9,298

Optinose,

Inc.

g

41,748

1,174

PerkinElmer,

Inc.

88,379

16,750

Pfizer,

Inc.

546,720

6,353

Recordati

SPA

267,669

4,465

Roche

Holding

AG

1,436,578

59

Siegfried

Holding

AG

23,744

1,308

Sonova

Holding

AG

233,235

2,276

Stryker

Corporation

378,931

6,524

Syneos

Health,

Inc.

g

257,176

630

Tactile

Systems

Technology,

Inc.

g

25,301

3,400

Takeda

Pharmaceutical

Company,

Ltd.

103,524

216

Teladoc

Health,

Inc.

g

33,482

2,806

Thermo

Fisher

Scientific,

Inc.

795,782

500

Tsumura

&

Company

12,750

2,972

UnitedHealth

Group,

Inc.

741,157

2,634

Universal

Health

Services,

Inc.

260,977

931

Veeva

Systems,

Inc.

g

145,580

1,639

Vertex

Pharmaceuticals,

Inc.

g

390,000

7,919

Wright

Medical

Group

NV

g

226,879

1,282

Zimmer

Biomet

Holdings,

Inc.

129,585

Shares

Common

Stock

(42.3%)

Value

Health

Care

(6.4%)

-

continued

3,420

Zoetis,

Inc.

$

402,500

Total

23,137,691

Industrials

(5.7%)

603

3M

Company

82,315

5,054

Aalberts

NV

121,082

296

Aeroports

de

Paris

SA

28,595

9,856

AGCO

Corporation

465,696

21,255

Altra

Industrial

Motion

Corporation

371,750

6,353

AMETEK,

Inc.

457,543

7,009

Arcosa,

Inc.

278,538

5,328

ASGN,

Inc.

g

188,185

9,737

Assa

Abloy

AB

181,777

13,229

Atlas

Copco

AB,

Class

A

439,921

5,233

Atlas

Copco

AB,

Class

B

152,225

1,843

Boeing

Company

274,865

2,341

Caterpillar,

Inc.

271,650

2,441

CIA

De

Distribucion

Integral

39,185

566

CSW

Industrials,

Inc.

36,705

3,537

CSX

Corporation

202,670

4,464

Curtiss-Wright

Corporation

412,518

10,046

Delta

Air

Lines,

Inc.

286,612

1,838

EMCOR

Group,

Inc.

112,706

6,875

Emerson

Electric

Company

327,594

4,516

Encore

Wire

Corporation

189,627

363

Geberit

AG

159,059

5,303

General

Dynamics

Corporation

701,640

289

Gorman-Rupp

Company

9,020

3,500

GS

Yuasa

Corporation

46,839

30,312

GWA

Group,

Ltd.

i

48,600

3,200

Hanwa

Company,

Ltd.

49,548

2,432

Helios

Technologies,

Inc.

92,221

10,800

Hino

Motors,

Ltd.

57,598

9,482

Honeywell

International,

Inc.

1,268,597

3,063

Huntington

Ingalls

Industries,

Inc.

558,109

2,362

IDEX

Corporation

326,216

7,200

Inaba

Denki

Sangyo

Company,

Ltd.

152,975

2,765

Ingersoll

-

Rand,

Inc.

g,i

68,572

8,102

Johnson

Controls

International

plc

218,430

1,581

Kansas

City

Southern

201,072

771

Kennametal,

Inc.

14,356

9,700

Kinden

Corporation

142,730

8,525

Koninklijke

Philips

NV

350,014

9,483

Legrand

SA

611,631

2,287

Lincoln

Electric

Holdings,

Inc.

i

157,803

1,399

Lockheed

Martin

Corporation

474,191

57,600

Marubeni

Corporation

285,872

11,503

Meritor,

Inc.

g

152,415

29,400

Mitsubishi

Corporation

621,876

3,000

Mitsuboshi

Belting,

Ltd.

33,495

43,900

Mitsui

&

Company,

Ltd.

609,495

12,813

National

Express

Group

plc

32,443

9,000

Nitto

Kogyo

Corporation

142,938

5,470

Nobina

AB

h

29,558

1,095

Norfolk

Southern

Corporation

159,870

224

Northrop

Grumman

Corporation

67,771

2,466

Old

Dominion

Freight

Line,

Inc.

323,687

14,713

PageGroup

plc

66,055

3,257

Parker-Hannifin

Corporation

422,531

795

Patrick

Industries,

Inc.

22,387

17,789

Primoris

Services

Corporation

282,845

7,656

Raven

Industries,

Inc.

162,537

3,906

Redde

Northgate

plc

6,716

30,827

RELX

plc

657,922

7,690

Ritchie

Brothers

Auctioneers,

Inc.

262,844

1,267

Rockwell

Automation,

Inc.

191,203

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

24

Shares

Common

Stock

(42.3%)

Value

Industrials

(5.7%)

-

continued

1,888

Saia,

Inc.

g

$

138,843

6,959

Sandvik

AB

97,890

4,000

Sanwa

Holdings

Corporation

31,064

6,544

Schneider

Electric

SE

553,118

10,769

Signify

NV

h

208,706

13,265

SKF

AB

180,764

196,300

Sojitz

Corporation

460,254

13,826

Southwest

Airlines

Company

492,344

1,446

Spirax-Sarco

Engineering

plc

145,168

29,600

Sumitomo

Corporation

337,566

1,500

Taikisha,

Ltd.

43,136

463

Teledyne

Technologies,

Inc.

g

137,636

4,200

Toppan

Forms

Company,

Ltd.

37,429

3,135

Trane

Technologies

plc

258,920

2,814

Transcontinental,

Inc.

24,975

2,800

Tsubakimoto

Chain

Company

63,245

736

Union

Pacific

Corporation

103,805

6,013

United

Airlines

Holdings,

Inc.

g,i

189,710

3,614

United

Rentals,

Inc.

g

371,881

7,899

United

Technologies

Corporation

745,113

1,895

Valmont

Industries,

Inc.

200,832

4,600

Verisk

Analytics,

Inc.

641,148

2,153

Vinci

SA

175,920

1,700

Yuasa

Trading

Company,

Ltd.

44,723

Total

20,849,630

Information

Technology

(8.6%)

3,289

Accenture

plc

536,962

1,844

Adobe,

Inc.

g

586,835

2,142

Advanced

Energy

Industries,

Inc.

g

103,866

28,173

Advanced

Micro

Devices,

Inc.

g

1,281,308

2,939

Agilysys,

Inc.

g

49,081

6,543

Akamai

Technologies,

Inc.

g

598,619

4,133

Alliance

Data

Systems

Corporation

139,075

9,563

Amadeus

IT

Holding

SA

450,120

5,028

Amphenol

Corporation

366,441

2,227

ANSYS,

Inc.

g

517,711

13,054

Apple,

Inc.

3,319,502

235

ASM

International

NV

23,909

1,973

ASML

Holding

NV

520,112

3,960

Automatic

Data

Processing,

Inc.

541,253

6,387

BE

Semiconductor

Industries

NV

195,614

3,407

Blackline,

Inc.

g

179,242

1,611

Broadcom,

Ltd.

381,968

1,158

Broadridge

Financial

Solutions,

Inc.

109,813

3,900

Canon,

Inc.

84,751

12,605

CGI,

Inc.

g

682,424

15,959

Change

Healthcare,

Inc.

g

159,430

16,324

Ciena

Corporation

g

649,858

48,383

Cisco

Systems,

Inc.

1,901,936

4,575

Computer

Services,

Inc.

184,052

14,638

Computershare,

Ltd.

87,628

1,131

Dialog

Semiconductor

plc

g

29,398

7,362

Dolby

Laboratories,

Inc.

399,094

268

Euronet

Worldwide,

Inc.

g

22,973

3,400

Fuji

Soft,

Inc.

109,153

742

Gartner,

Inc.

g

73,881

25,476

Halma

plc

598,329

643

Infineon

Technologies

AG

9,282

5,464

Intel

Corporation

295,712

1,188

International

Business

Machines

Corporation

131,785

2,374

Intuit,

Inc.

546,020

2,063

KLA-Tencor

Corporation

296,536

513

Lam

Research

Corporation

123,120

5,704

Lattice

Semiconductor

Corporation

g

101,645

Shares

Common

Stock

(42.3%)

Value

Information

Technology

(8.6%)

-

continued

868

Littelfuse,

Inc.

$

115,809

2,060

Lumentum

Holdings,

Inc.

g

151,822

5,362

MasterCard,

Inc.

1,295,245

2,573

Microchip

Technology,

Inc.

174,449

10,901

Micron

Technology,

Inc.

g

458,496

28,513

Microsoft

Corporation

4,496,785

904

Monolithic

Power

Systems,

Inc.

151,384

2,042

Motorola

Solutions,

Inc.

271,423

7,228

National

Instruments

Corporation

239,102

4,800

NEC

Networks

&

System

Integration

Corporation

194,572

1,537

Nice,

Ltd.

ADR

g

220,652

27,962

Nuance

Communications,

Inc.

g

469,202

1,952

NVIDIA

Corporation

514,547

4,642

Oracle

Corporation

224,348

500

Oracle

Corporation

Japan

43,611

1,353

Paychex,

Inc.

85,131

3,525

PayPal

Holdings,

Inc.

g

337,483

2,730

Plexus

Corporation

g

148,949

3,749

QUALCOMM,

Inc.

253,620

2,100

Ryoyo

Electro

Corporation

39,987

9,826

SailPoint

Technologies

Holdings,

Inc.

g

149,552

1,258

Salesforce.com,

Inc.

g

181,127

336

Samsung

Electronics

Company,

Ltd.

GDR

332,350

341

SAP

SE

38,072

1,310

ServiceNow,

Inc.

g

375,420

4,054

Square,

Inc.

g

212,349

1,893

Synopsys,

Inc.

g

243,799

4,388

TE

Connectivity,

Ltd.

276,356

7,642

Teradyne,

Inc.

413,967

11,776

Texas

Instruments,

Inc.

1,176,776

683

VeriSign,

Inc.

g

123,001

6,109

Virtusa

Corporation

g

173,496

6,440

Visa,

Inc.

1,037,613

1,470

VMware,

Inc.

g

178,017

89

Wirecard

AG

10,028

Total

31,196,978

Materials

(1.7%)

12,200

Air

Water,

Inc.

167,077

1,585

Allegheny

Technologies,

Inc.

g

13,473

1,809

Anglo

American

plc

31,700

5,728

Arcelor

Mittal

54,075

6,037

Ball

Corporation

390,353

8,682

CF

Industries

Holdings,

Inc.

236,150

5,306

Coeur

Mining,

Inc.

g

17,032

6,753

Eastman

Chemical

Company

314,555

3,215

Ecolab,

Inc.

500,994

19,427

Element

Solutions,

Inc.

g

162,410

280

Eramet

SA

8,764

7,690

First

Majestic

Silver

Corporation

g

47,601

18,865

Gold

Road

Resources,

Ltd.

g

16,037

9,221

Granges

AB

45,302

14,275

Hexpol

AB

84,341

5,983

Hochschild

Mining

plc

7,818

2,700

Hokuetsu

Corporation

10,081

16,640

IAMGOLD

Corporation

g

37,939

44,621

Ivanhoe

Mines,

Ltd.

g

74,194

1,092

Kirkland

Lake

Gold,

Ltd.

32,163

5,172

Koninklijke

DSM

NV

581,793

8,300

Kyoei

Steel,

Ltd.

95,341

1,600

Lintec

Corporation

33,486

16,079

Louisiana-Pacific

Corporation

276,237

975

MAG

Silver

Corporation

g

7,524

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

25

Shares

Common

Stock

(42.3%)

Value

Materials

(1.7%)

-

continued

17,500

Nippon

Light

Metal

Holdings

Company,

Ltd.

$

27,247

44,500

Nippon

Steel

Corporation

379,332

2,647

Northern

Star

Resources,

Ltd.

17,147

5,079

Nucor

Corporation

182,946

3,330

PPG

Industries,

Inc.

278,388

14,563

Ramelius

Resources,

Ltd.

8,946

30,128

Resolute

Mining,

Ltd.

g

14,939

1,404

Rio

Tinto,

Ltd.

72,334

22,087

Sandfire

Resources,

Ltd.

44,258

500

Sanyo

Special

Steel

Company,

Ltd.

4,467

507

Sherwin-Williams

Company

232,977

7,424

St

Barbara,

Ltd.

9,802

9,963

Steel

Dynamics,

Inc.

224,566

66,500

Sumitomo

Chemical

Company,

Ltd.

196,471

1,400

Taiyo

Holdings

Company,

Ltd.

52,368

6,300

Toagosei

Company,

Ltd.

54,539

76,200

Toray

Industries,

Inc.

329,834

5,200

Ube

Industries,

Ltd.

79,325

2,457

UFP

Technologies,

Inc.

g

93,587

2,558

United

States

Lime

&

Minerals,

Inc.

188,908

11,115

UPM-Kymmene

Oyj

i

303,072

10,156

Verso

Corporation

g

114,560

Total

6,156,453

Real

Estate

(2.1%)

2,772

Agree

Realty

Corporation

171,587

2,955

Alexandria

Real

Estate

Equities,

Inc.

405,012

4,760

Allied

Properties

REIT

151,327

4,997

Alstria

Office

REIT

AG

71,712

11,007

American

Campus

Communities,

Inc.

305,444

1,362

American

Tower

Corporation

296,575

91,904

Ascendas

REIT

181,971

13,100

Ascott

Trust

7,224

693

AvalonBay

Communities,

Inc.

101,989

4,632

Camden

Property

Trust

367,040

7,425

Castellum

AB

125,189

3,846

Choice

Properties

REIT

35,309

189

Cofinimmo

SA

24,546

1,185

CoreSite

Realty

Corporation

137,341

7,418

Cousins

Properties,

Inc.

217,125

4,200

Daito

Trust

Construction

Company,

Ltd.

390,027

2,360

Digital

Realty

Trust,

Inc.

327,828

5,692

Douglas

Emmett,

Inc.

173,663

10,755

Duke

Realty

Corporation

348,247

692

EastGroup

Properties,

Inc.

72,300

1,997

Entra

ASA

h

23,854

10,078

Equity

Residential

621,913

4,231

Essential

Properties

Realty

Trust,

Inc.

55,257

970

Essex

Property

Trust,

Inc.

213,633

6,961

Granite

REIT

287,531

25,687

Host

Hotels

&

Resorts,

Inc.

283,584

15,000

Hysan

Development

Company,

Ltd.

48,441

4,136

iSTAR

Financial,

Inc.

43,883

367

Japan

Hotel

REIT

Investment

Corporation

107,134

1,372

Kungsleden

AB

10,320

25,800

Mapletree

Commercial

Trust

33,091

10,976

MGIC

Investment

Corporation

69,698

7,792

National

Storage

Affiliates

Trust

230,643

690

Plymouth

Industrial

REIT,

Inc.

7,700

4,795

PSP

Swiss

Property

AG

599,611

9,507

Quebecor,

Inc.

210,163

2,619

RioCan

REIT

30,018

19,000

Road

King

Infrastructure,

Ltd.

28,534

Shares

Common

Stock

(42.3%)

Value

Real

Estate

(2.1%)

-

continued

17,946

Sunstone

Hotel

Investors,

Inc.

$

156,310

1,902

Swiss

Prime

Site

AG

185,123

15,470

TAG

Immobilien

AG

304,241

2,053

Terreno

Realty

Corporation

106,243

3,613

UDR,

Inc.

132,019

41,100

Wing

Tai

Holdings,

Ltd.

44,790

Total

7,745,190

Utilities

(1.1%)

3,830

AGL

Energy,

Ltd.

40,082

7,411

Alliant

Energy

Corporation

357,877

471

American

States

Water

Company

38,500

2,075

Avista

Corporation

88,167

774

Black

Hills

Corporation

49,559

708

California

Water

Service

Group

35,627

6,244

CMS

Energy

Corporation

366,835

614

DTE

Energy

Company

58,312

9,900

Enagas

SA

195,299

53,964

Enel

SPA

372,236

4,980

Entergy

Corporation

467,971

18,336

Exelon

Corporation

674,948

4,230

FirstEnergy

Corporation

169,496

545

MGE

Energy,

Inc.

35,681

305

NextEra

Energy,

Inc.

73,389

2,529

Northland

Power,

Inc.

50,479

910

Northwest

Natural

Holding

Company

56,192

2,009

NorthWestern

Corporation

120,198

4,701

PNM

Resources,

Inc.

178,638

2,465

Portland

General

Electric

Company

118,172

2,082

PPL

Corporation

51,384

2,536

Public

Service

Enterprise

Group,

Inc.

113,892

2,155

South

Jersey

Industries,

Inc.

53,875

1,886

Spire,

Inc.

140,469

262

Unitil

Corporation

13,708

723

Verbund

AG

26,076

Total

3,947,062

Total

Common

Stock

(cost

$169,259,590)

153,479,806

Principal

Amount

Long-Term

Fixed

Income

(

26.4%

)

Value

Asset-Backed

Securities

(2.1%)

Babson

CLO,

Ltd.

300,000

4.719%, 

(LIBOR

3M

+

2.900%),

7/20/2029,

Ser.

2018-3A,

Class

D

b,h

231,345

Benefit

Street

Partners

CLO

IV,

Ltd.

300,000

3.569%, 

(LIBOR

3M

+

1.750%),

1/20/2029,

Ser.

2014-IVA,

Class

A2RR

b,h

277,662

Business

Jet

Securities,

LLC

358,912

4.447%, 

6/15/2033,

Ser.

2018-2,

Class

A

h

290,042

Cent

CLO,

LP

850,000

4.094%, 

(LIBOR

3M

+

2.300%),

10/25/2028,

Ser.

2018-27A,

Class

B

b,h

746,516

College

Ave

Student

Loans,

LLC

216,328

2.597%, 

(LIBOR

1M

+

1.650%),

11/26/2046,

Ser.

2017-A,

Class

A1

b,h

210,468

Foundation

Finance

Trust

160,180

3.300%, 

7/15/2033,

Ser.

2017-1A,

Class

A

h

159,837

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

26

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Asset-Backed

Securities

(2.1%)

-

continued

Harley

Marine

Financing,

LLC

$

446,249

5.682%, 

5/15/2043,

Ser.

2018-1A,

Class

A2

h

$

393,815

Madison

Park

Funding

XIV,

Ltd.

500,000

3.202%, 

(LIBOR

3M

+

1.400%),

10/22/2030,

Ser.

2014-14A,

Class

A2RR

b,h

454,396

OHA

Credit

Funding

1,

Ltd.

390,000

3.269%, 

(LIBOR

3M

+

1.450%),

10/20/2030,

Ser.

2018-1A,

Class

A2

b,h

364,857

OZLM

Funding

II,

Ltd.

785,000

3.270%, 

(LIBOR

3M

+

1.500%),

7/30/2031,

Ser.

2012-2A,

Class

A1BR

b,h

718,216

OZLM

IX,

Ltd.

425,000

3.369%, 

(LIBOR

3M

+

1.550%),

10/20/2031,

Ser.

2014-9A,

Class

A1BR

b,h

386,929

Palmer

Square

Loan

Funding,

Ltd.

300,000

4.069%, 

(LIBOR

3M

+

2.250%),

4/20/2027,

Ser.

2019-1A,

Class

B

b,h

275,076

Park

Avenue

Institutional

Advisers

CLO,

Ltd.

800,000

3.319%, 

(LIBOR

3M

+

1.500%),

10/20/2031,

Ser.

2018-1A,

Class

A1B

b,h

734,586

Pretium

Mortgage

Credit

Partners,

LLC

472,553

3.721%, 

1/25/2059,

Ser.

2019-CFL1,

Class

A1

h,j

406,859

Riserva

CLO,

Ltd.

350,000

3.519%, 

(LIBOR

3M

+

1.700%),

10/18/2028,

Ser.

2016-3A,

Class

BR

b,h

323,664

Sound

Point

CLO

X,

Ltd.

400,000

4.519%, 

(LIBOR

3M

+

2.700%),

1/20/2028,

Ser.

2015-3A,

Class

DR

b,h

331,294

Sound

Point

CLO

XXI,

Ltd.

800,000

3.244%, 

(LIBOR

3M

+

1.450%),

10/26/2031,

Ser.

2018-3A,

Class

A1B

b,h

709,314

THL

Credit

Wind

River

CLO,

Ltd.

350,000

4.681%, 

(LIBOR

3M

+

2.850%),

7/15/2028,

Ser.

2016-1A,

Class

DR

b,h

282,878

Vericrest

Opportunity

Loan

Transferee

302,707

3.352%, 

9/25/2049,

Ser.

2019-NPL5,

Class

A1A

h,j

255,085

Total

7,552,839

Basic

Materials

(0.4%)

Anglo

American

Capital

plc

86,000

4.125%, 

9/27/2022

h

84,774

BHP

Billiton

Finance

USA,

Ltd.

144,000

6.750%, 

10/19/2075

b,h

152,677

Cleveland-Cliffs,

Inc.

120,000

5.750%, 

3/1/2025

92,700

First

Quantum

Minerals,

Ltd.

170,000

7.500%, 

4/1/2025

h

141,472

Freeport-McMoRan,

Inc.

90,000

4.125%, 

3/1/2028

78,785

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Basic

Materials

(0.4%)

-

continued

$

90,000

4.250%, 

3/1/2030

$

78,192

Kinross

Gold

Corporation

44,000

5.125%, 

9/1/2021

44,110

Krayton

Polymers,

LLC

120,000

7.000%, 

4/15/2025

h

106,200

Mosaic

Company

15,000

3.250%, 

11/15/2022

14,696

Norbord,

Inc.

130,000

5.750%, 

7/15/2027

h

118,679

Novelis

Corporation

150,000

5.875%, 

9/30/2026

h

147,205

40,000

4.750%, 

1/30/2030

h

35,600

Olin

Corporation

150,000

5.125%, 

9/15/2027

134,035

Peabody

Securities

Finance

Corporation

170,000

6.375%, 

3/31/2025

h

88,400

Syngenta

Finance

NV

71,000

3.933%, 

4/23/2021

h

66,905

Tronox

Finance

plc

130,000

5.750%, 

10/1/2025

h

116,025

Xstrata

Finance

Canada,

Ltd.

66,000

4.950%, 

11/15/2021

h

65,363

Total

1,565,818

Capital

Goods

(1.3%)

AECOM

200,000

5.125%, 

3/15/2027

180,000

Aerojet

Rocketdyne

Holdings,

Inc.,

Convertible

240,000

2.250%, 

12/15/2023

396,172

Amsted

Industries,

Inc.

150,000

5.625%, 

7/1/2027

h

145,937

Ardagh

Packaging

Finance

plc

220,000

6.000%, 

2/15/2025

h

220,616

Bombardier,

Inc.

215,000

7.500%, 

3/15/2025

h

148,888

Building

Materials

Corporation

of

America

245,000

6.000%, 

10/15/2025

h

240,786

Caterpillar

Financial

Services

Corporation

53,000

1.900%, 

9/6/2022

52,780

48,000

1.950%, 

11/18/2022

47,902

Cemex

SAB

de

CV

80,000

5.450%, 

11/19/2029

h

64,920

Chart

Industries,

Inc.,

Convertible

29,000

1.000%, 

11/15/2024

h

22,664

Cintas

Corporation

No.

2

64,000

2.900%, 

4/1/2022

63,999

CNH

Industrial

Capital,

LLC

64,000

4.875%, 

4/1/2021

62,552

Covanta

Holding

Corporation

120,000

6.000%, 

1/1/2027

99,950

Crown

Americas

Capital

Corporation

IV

190,000

4.500%, 

1/15/2023

194,562

Crown

Cork

&

Seal

Company,

Inc.

50,000

7.375%, 

12/15/2026

51,250

Dycom

Industries,

Inc.,

Convertible

156,000

0.750%, 

9/15/2021

131,625

General

Electric

Company

260,000

5.000%, 

1/21/2021

b,k

214,500

H&E

Equipment

Services,

Inc.

135,000

5.625%, 

9/1/2025

125,213

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

27

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Capital

Goods

(1.3%)

-

continued

Huntington

Ingalls

Industries,

Inc.

$

31,000

3.844%, 

5/1/2025

h

$

31,919

John

Deere

Capital

Corporation

47,000

1.200%, 

4/6/2023

46,013

48,000

2.050%, 

1/9/2025

47,928

KBR,

Inc.,

Convertible

214,000

2.500%, 

11/1/2023

221,760

Lockheed

Martin

Corporation

25,000

2.500%, 

11/23/2020

25,057

Otis

Worldwide

Corporation

47,000

2.056%, 

4/5/2025

h

45,943

Owens-Brockway

Glass

Container,

Inc.

225,000

5.000%, 

1/15/2022

h

227,284

Parker-Hannifin

Corporation

70,000

2.700%, 

6/14/2024

69,715

Patrick

Industries,

Inc.,

Convertible

106,000

1.000%, 

2/1/2023

83,284

Republic

Services,

Inc.

34,000

2.500%, 

8/15/2024

34,232

Reynolds

Group

Issuer,

Inc.

240,000

5.125%, 

7/15/2023

h

238,198

Rockwell

Collins,

Inc.

41,000

2.800%, 

3/15/2022

41,420

Roper

Technologies,

Inc.

33,000

2.350%, 

9/15/2024

32,083

Textron

Financial

Corporation

500,000

3.427%, 

(LIBOR

3M

+

1.735%),

2/15/2042

b,h

282,500

TransDigm,

Inc.

50,000

6.250%, 

3/15/2026

h

49,750

180,000

5.500%, 

11/15/2027

h

161,550

TTM

Technologies,

Inc.,

Convertible

114,000

1.750%, 

12/15/2020

127,808

United

Rentals

North

America,

Inc.

250,000

4.000%, 

7/15/2030

223,750

United

Technologies

Corporation

78,000

3.950%, 

8/16/2025

85,343

Waste

Management,

Inc.

35,000

2.950%, 

6/15/2024

35,588

WW

Grainger,

Inc.

30,000

1.850%, 

2/15/2025

30,033

Total

4,605,474

Collateralized

Mortgage

Obligations

(5.0%)

Antler

Mortgage

Trust

400,000

4.458%, 

6/27/2022,

Ser.

2019-RTL1,

Class

A1

h

348,741

1,225,000

4.335%, 

7/25/2022,

Ser.

2018-RTL1,

Class

A1

h

1,218,634

Banc

of

America

Alternative

Loan

Trust

241,978

6.000%, 

11/25/2035,

Ser.

2005-10,

Class

3CB1

208,761

Banc

of

America

Mortgage

Securities

Trust

282,217

3.985%, 

9/25/2035,

Ser.

2005-H,

Class

3A1

b

231,103

57,541

4.031%, 

9/25/2035,

Ser.

2005-H,

Class

2A1

b

46,689

Bear

Stearns

Adjustable

Rate

Mortgage

Trust

78,539

3.971%, 

1/25/2034,

Ser.

2003-8,

Class

5A

b

67,102

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Collateralized

Mortgage

Obligations

(5.0%)

-

continued

Bellemeade

Re,

Ltd.

$

499,489

2.547%, 

(LIBOR

1M

+

1.600%),

4/25/2028,

Ser.

2018-1A,

Class

M1B

b,h

$

495,691

CHL

Mortgage

Pass-Through

Trust

265,594

3.416%, 

11/20/2035,

Ser.

2005-HYB7,

Class

6A1

b

201,234

128,813

3.861%, 

12/20/2035,

Ser.

2005-HYB8,

Class

3A1

b

112,663

413,493

6.000%, 

11/25/2037,

Ser.

2007-18,

Class

1A2

306,340

CIM

Trust

292,999

5.000%, 

12/25/2057,

Ser.

2018-R3,

Class

A1

b,h

301,048

Citigroup

Mortgage

Loan

Trust,

Inc.

350,404

4.082%, 

4/25/2037,

Ser.

2007-AR5,

Class

1A1A

b

293,452

Countrywide

Alternative

Loan

Trust

282,718

6.500%, 

8/25/2036,

Ser.

2006-23CB,

Class

2A3

147,048

Countrywide

Home

Loan

Mortgage

Pass

Through

Trust

149,282

3.569%, 

11/25/2035,

Ser.

2005-22,

Class

2A1

b

124,079

Credit

Suisse

First

Boston

Mortgage

Securities

Corporation

111,130

5.250%, 

10/25/2035,

Ser.

2005-9,

Class

1A3

105,120

Credit

Suisse

Mortgage

Capital

Certificates

146,081

3.393%, 

2/25/2024,

Ser.

2020-BPL1,

Class

A1

h,j

144,535

286,143

3.322%, 

10/25/2058,

Ser.

2019-RPL8,

Class

A1

b,h

297,024

Deutsche

Alt-A

Securities,

Inc.,

Mortgage

Loan

Trust

218,270

5.250%, 

6/25/2035,

Ser.

2005-3,

Class

4A6

208,738

157,892

3.010%, 

8/25/2035,

Ser.

2005-AR1,

Class

2A3

b

132,668

Eagle

Re,

Ltd.

480,403

2.747%, 

(LIBOR

1M

+

1.800%),

4/25/2029,

Ser.

2019-1,

Class

M1B

b,h

478,237

Federal

Home

Loan

Mortgage

Corporation

942,942

3.500%, 

8/15/2035,

Ser.

345,

Class

C8

l

85,275

Federal

Home

Loan

Mortgage

Corporation

-

REMIC

856,309

3.000%, 

5/15/2027,

Ser.

4046,

Class

GI

l

52,013

867,007

3.500%, 

10/15/2032,

Ser.

4119,

Class

KI

l

108,261

978,688

3.000%, 

4/15/2033,

Ser.

4203,

Class

DI

l

79,085

Federal

National

Mortgage

Association

-

REMIC

1,093,441

3.000%, 

7/25/2027,

Ser.

2012-73,

Class

DI

l

66,011

867,344

3.000%, 

7/25/2027,

Ser.

2012-74,

Class

AI

l

46,884

1,731,649

3.000%, 

8/25/2027,

Ser.

2012-95,

Class

HI

l

93,342

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

28

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Collateralized

Mortgage

Obligations

(5.0%)

-

continued

$

2,002,263

3.000%, 

11/25/2027,

Ser.

2012-121,

Class

BI

l

$

127,900

1,245,656

3.000%, 

12/25/2027,

Ser.

2012-139,

Class

DI

l

71,885

613,977

2.500%, 

1/25/2028,

Ser.

2012-152,

Class

AI

l

35,466

1,644,532

3.000%, 

1/25/2028,

Ser.

2012-147,

Class

EI

l

97,213

690,853

3.000%, 

2/25/2028,

Ser.

2013-2,

Class

GI

l

45,300

2,581,711

3.000%, 

3/25/2028,

Ser.

2013-18,

Class

IL

l

153,819

635,132

2.500%, 

6/25/2028,

Ser.

2013-87,

Class

IW

l

38,483

979,902

3.000%, 

11/25/2031,

Ser.

2013-69,

Class

IO

l

50,628

609,759

3.000%, 

2/25/2033,

Ser.

2013-1,

Class

YI

l

66,875

Genworth

Mortgage

Insurance

Corporation

175,000

2.847%, 

(LIBOR

1M

+

1.900%),

11/26/2029,

Ser.

2019-1,

Class

M1

b,h

166,168

GMAC

Mortgage

Corporation

Loan

Trust

108,888

3.927%, 

5/25/2035,

Ser.

2005-AR2,

Class

4A

b

90,288

46,776

1.447%, 

(LIBOR

1M

+

0.500%),

8/25/2035,

Ser.

2005-HE1,

Class

A2

b,m

44,715

GMACM

Mortgage

Loan

Trust

70,970

4.281%, 

11/19/2035,

Ser.

2005-AR6,

Class

1A1

b

59,276

GSAA

Home

Equity

Trust

76,740

4.524%, 

8/25/2034,

Ser.

2004-10,

Class

M2

j

72,438

IndyMac

INDA

Mortgage

Loan

Trust

829,506

3.880%, 

8/25/2036,

Ser.

2006-AR1,

Class

A1

b

667,937

IndyMac

INDX

Mortgage

Loan

Trust

505,267

1.157%, 

(LIBOR

1M

+

0.210%),

4/25/2046,

Ser.

2006-AR2,

Class

1A1B

b

402,509

IndyMac

Seconds

Asset-Backed

Trust

157,775

1.287%, 

(LIBOR

1M

+

0.340%),

10/25/2036,

Ser.

2006-2B,

Class

A

b,m

77,147

J.P.

Morgan

Alternative

Loan

Trust

390,217

6.500%, 

3/25/2036,

Ser.

2006-S1,

Class

1A19

285,548

Legacy

Mortgage

Asset

Trust

402,113

4.000%, 

1/25/2059,

Ser.

2019-GS1,

Class

A1

h

362,740

464,722

3.250%, 

11/25/2059,

Ser.

2019-GS7,

Class

A1

h,j

469,005

Master

Asset

Securitization

Trust

510,000

1.447%, 

(LIBOR

1M

+

0.500%),

6/25/2036,

Ser.

2006-2,

Class

2A2

b

151,023

Merrill

Lynch

Mortgage

Investors

Trust

284,340

4.300%, 

6/25/2035,

Ser.

2005-A5,

Class

M1

b

122,135

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Collateralized

Mortgage

Obligations

(5.0%)

-

continued

Preston

Ridge

Partners

Mortgage

Trust,

LLC

$

133,356

4.500%, 

1/25/2024,

Ser.

2019-1A,

Class

A1

h,j

$

134,610

422,929

3.967%, 

4/25/2024,

Ser.

2019-2A,

Class

A1

h,j

378,297

397,920

3.500%, 

10/25/2024,

Ser.

2019-GS1,

Class

A1

b,h

395,647

234,071

4.750%, 

10/25/2024,

Ser.

2019-GS1,

Class

A2

b,h

233,785

Pretium

Mortgage

Credit

Partners,

LLC

442,143

2.858%, 

5/27/2059,

Ser.

2020-NPL1,

Class

A1

h,j

345,375

Radnor

RE,

Ltd.

525,000

3.647%, 

(LIBOR

1M

+

2.700%),

3/25/2028,

Ser.

2018-1,

Class

M2

b,h

529,263

RCO

Mortgage,

LLC

212,756

3.475%, 

11/25/2024,

Ser.

2019-2,

Class

A1

h,j

202,165

475,960

3.197%, 

11/25/2052,

Ser.

2017-INV1,

Class

A

b,h

455,210

Renaissance

Home

Equity

Loan

Trust

535,303

5.285%, 

1/25/2037,

Ser.

2006-4,

Class

AF2

j

227,489

Residential

Accredit

Loans,

Inc.

Trust

177,081

6.000%, 

8/25/2035,

Ser.

2005-QS10,

Class

2A

161,165

177,310

5.750%, 

9/25/2035,

Ser.

2005-QS13,

Class

2A3

159,272

144,147

6.000%, 

1/25/2037,

Ser.

2007-QS1,

Class

1A1

123,615

Residential

Asset

Securitization

Trust

200,212

3.475%, 

1/25/2034,

Ser.

2004-IP1,

Class

A1

b

174,701

309,659

5.500%, 

4/25/2035,

Ser.

2005-A1,

Class

A3

317,519

Residential

Funding

Mortgage

Security

I

Trust

285,906

6.000%, 

7/25/2037,

Ser.

2007-S7,

Class

A20

254,046

Stanwich

Mortgage

Loan

Trust

162,637

3.475%, 

11/16/2024,

Ser.

2019-NPB2,

Class

A1

h,j

158,862

Starwood

Mortgage

Residential

Trust

323,279

4.121%, 

10/25/2048,

Ser.

2018-IMC2,

Class

A1

b,h

317,548

Structured

Adjustable

Rate

Mortgage

Loan

Trust

96,668

4.212%, 

7/25/2035,

Ser.

2005-15,

Class

4A1

b

77,587

185,471

4.035%, 

9/25/2035,

Ser.

2005-18,

Class

1A1

b

132,293

Structured

Asset

Mortgage

Investments,

Inc.

375,121

1.257%, 

(LIBOR

1M

+

0.310%),

12/25/2035,

Ser.

2005-AR4,

Class

A1

b

319,047

Toorak

Mortgage

Corporation

500,000

4.375%, 

8/25/2021,

Ser.

2018-1,

Class

A1

h,j

436,284

500,000

4.458%, 

3/25/2022,

Ser.

2019-1,

Class

A1

h,j

438,158

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

29

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Collateralized

Mortgage

Obligations

(5.0%)

-

continued

$

300,000

2.734%, 

3/25/2023,

Ser.

2020-1,

Class

A1

h,j

$

296,301

Vericrest

Opportunity

Loan

Transferee

196,509

2.981%, 

3/25/2050,

Ser.

2020-NPL4,

Class

A1

h,j

171,528

250,000

3.475%, 

3/25/2050,

Ser.

2020-NPL5,

Class

A1B

h,j

181,187

170,501

3.352%, 

8/25/2049,

Ser.

2019-NPL4,

Class

A1A

h,j

154,636

900,000

4.090%, 

11/25/2049,

Ser.

2019-NPL8,

Class

A1B

h,j

670,428

107,208

3.426%, 

12/27/2049,

Ser.

2019-NP10,

Class

A1A

h,j

98,586

Verus

Securitization

Trust

282,096

3.345%, 

5/25/2059,

Ser.

2019-2,

Class

A2

b,h

276,168

Wachovia

Asset

Securitization,

Inc.

248,970

1.087%, 

(LIBOR

1M

+

0.140%),

7/25/2037,

Ser.

2007-HE1,

Class

A

b,h,m

223,834

WaMu

Mortgage

Pass

Through

Certificates

286,123

2.846%, 

(12

MTA

+

0.880%),

10/25/2046,

Ser.

2006-AR13,

Class

1A

b

226,609

Wells

Fargo

Home

Equity

Trust

208,993

1.447%, 

(LIBOR

1M

+

0.500%),

4/25/2034,

Ser.

2004-1,

Class

M1

b

192,408

Total

18,121,899

Commercial

Mortgage-Backed

Securities

(0.1%)

Federal

National

Mortgage

Association

-

ACES

4,988,476

1.468%, 

2/25/2031,

Ser.

2019-M21,

Class

X2

b,l

551,643

Total

551,643

Communications

Services

(2.1%)

AMC

Networks,

Inc.

140,000

5.000%, 

4/1/2024

134,400

American

Tower

Corporation

30,000

2.800%, 

6/1/2020

29,764

30,000

3.450%, 

9/15/2021

30,152

50,000

3.375%, 

5/15/2024

50,230

41,000

2.950%, 

1/15/2025

40,951

AT&T,

Inc.

140,000

4.450%, 

4/1/2024

148,296

CCO

Holdings,

LLC

125,000

5.500%, 

5/1/2026

h

126,575

110,000

5.125%, 

5/1/2027

h

110,712

60,000

4.500%, 

8/15/2030

h

58,800

CCOH

Safari,

LLC

235,000

5.750%, 

2/15/2026

h

237,444

Charter

Communications

Operating,

LLC

78,000

3.579%, 

7/23/2020

77,758

50,000

4.500%, 

2/1/2024

51,525

37,000

4.908%, 

7/23/2025

39,859

Clear

Channel

Worldwide

Holdings,

Inc.

110,000

5.125%, 

8/15/2027

h

103,004

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Communications

Services

(2.1%)

-

continued

Comcast

Corporation

$

58,000

1.625%, 

1/15/2022

$

58,137

39,000

3.700%, 

4/15/2024

41,859

39,000

3.950%, 

10/15/2025

42,939

Cox

Communications,

Inc.

51,000

2.950%, 

6/30/2023

h

51,027

Crown

Castle

International

Corporation

35,000

3.400%, 

2/15/2021

35,236

44,000

3.150%, 

7/15/2023

44,161

32,000

4.450%, 

2/15/2026

33,417

CSC

Holdings,

LLC

200,000

5.500%, 

5/15/2026

h

206,870

Deutsche

Telekom

International

Finance

BV

34,000

2.485%, 

9/19/2023

h

33,602

Discovery

Communications,

LLC

85,000

2.950%, 

3/20/2023

84,820

DISH

Network

Corporation,

Convertible

1,104,000

3.375%, 

8/15/2026

896,284

Embarq

Corporation

110,000

7.995%, 

6/1/2036

108,900

Fox

Corporation

76,000

4.030%, 

1/25/2024

h

78,960

Front

Range

BidCo,

Inc.

160,000

4.000%, 

3/1/2027

h

153,100

GCI

Liberty,

Inc.,

Convertible

679,000

1.750%, 

9/30/2046

h

854,704

Gray

Escrow,

Inc.

110,000

7.000%, 

5/15/2027

h

109,450

iHeartCommunications,

Inc.

170,000

4.750%, 

1/15/2028

h

153,000

Lamar

Media

Corporation

80,000

3.750%, 

2/15/2028

h

74,990

Level

3

Financing,

Inc.

100,000

5.250%, 

3/15/2026

99,938

210,000

4.625%, 

9/15/2027

h

208,719

Liberty

Interactive,

LLC,

Convertible

118,000

3.500%, 

1/15/2031

82,926

Moody's

Corporation

44,000

2.750%, 

12/15/2021

43,670

Neptune

Finco

Corporation

100,000

10.875%, 

10/15/2025

h

107,750

Netflix,

Inc.

200,000

4.875%, 

4/15/2028

204,000

Nexstar

Escrow

Corporation

74,000

5.625%, 

8/1/2024

h

69,652

100,000

5.625%, 

7/15/2027

h

97,750

SFR

Group

SA

150,000

7.375%, 

5/1/2026

h

151,500

Sirius

XM

Radio,

Inc.

220,000

5.000%, 

8/1/2027

h

223,278

Sprint

Corporation

220,000

7.250%, 

9/15/2021

226,754

230,000

7.625%, 

2/15/2025

254,530

Telesat

Canada

/

Telesat,

LLC

170,000

4.875%, 

6/1/2027

h

162,316

T-Mobile

USA,

Inc.

340,000

4.500%, 

2/1/2026

345,950

Twitter,

Inc.,

Convertible

309,000

0.250%, 

6/15/2024

277,095

VeriSign,

Inc.

130,000

4.750%, 

7/15/2027

134,732

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

30

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Communications

Services

(2.1%)

-

continued

Verizon

Communications,

Inc.

$

102,000

2.946%, 

3/15/2022

$

104,038

81,000

2.792%, 

(LIBOR

3M

+

1.100%),

5/15/2025

b

73,833

Viacom,

Inc.

65,000

4.250%, 

9/1/2023

66,280

100,000

5.875%, 

2/28/2057

b

85,125

Virgin

Media

Secured

Finance

plc

200,000

5.500%, 

8/15/2026

h

203,000

Vodafone

Group

plc

52,000

3.750%, 

1/16/2024

54,143

Windstream

Services,

LLC

130,000

8.625%, 

10/31/2025

f,h

78,000

Ziggo

BV

110,000

5.500%, 

1/15/2027

h

110,000

Total

7,765,905

Consumer

Cyclical

(1.3%)

1011778

B.C.,

ULC

240,000

4.375%, 

1/15/2028

h

221,736

Allison

Transmission,

Inc.

165,000

5.000%, 

10/1/2024

h

160,050

American

Honda

Finance

Corporation

52,000

2.050%, 

1/10/2023

51,209

BMW

Finance

NV

34,000

2.250%, 

8/12/2022

h

32,531

Brookfield

Property

REIT,

Inc.

80,000

5.750%, 

5/15/2026

h

64,910

Brookfield

Residential

Properties,

Inc.

240,000

6.250%, 

9/15/2027

h

208,176

Cedar

Fair,

LP

90,000

5.250%, 

7/15/2029

h

76,050

D.R.

Horton,

Inc.

60,000

2.550%, 

12/1/2020

59,165

Daimler

Finance

North

America,

LLC

32,000

2.550%, 

8/15/2022

h

30,680

Ford

Motor

Credit

Company,

LLC

240,000

4.063%, 

11/1/2024

217,800

250,000

4.134%, 

8/4/2025

221,750

General

Motors

Financial

Company,

Inc.

64,000

2.650%, 

4/13/2020

63,950

64,000

4.375%, 

9/25/2021

58,919

36,000

4.200%, 

11/6/2021

34,227

43,000

3.150%, 

6/30/2022

38,817

68,000

3.950%, 

4/13/2024

61,630

48,000

2.900%, 

2/26/2025

41,487

Hanesbrands,

Inc.

170,000

4.875%, 

5/15/2026

h

167,025

Harley-Davidson

Financial

Services,

Inc.

52,000

4.050%, 

2/4/2022

h

50,833

Herc

Holdings,

Inc.

60,000

5.500%, 

7/15/2027

h

55,800

Hilton

Domestic

Operating

Company,

Inc.

220,000

4.875%, 

1/15/2030

187,000

Home

Depot,

Inc.

65,000

2.625%, 

6/1/2022

66,116

31,000

3.750%, 

2/15/2024

32,735

Hyundai

Capital

America

52,000

3.000%, 

6/20/2022

h

50,509

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Consumer

Cyclical

(1.3%)

-

continued

L

Brands,

Inc.

$

55,000

6.694%, 

1/15/2027

$

39,710

Landry's,

Inc.

120,000

6.750%, 

10/15/2024

h

75,587

Lennar

Corporation

65,000

2.950%, 

11/29/2020

63,375

20,000

4.125%, 

1/15/2022

19,800

48,000

4.875%, 

12/15/2023

47,040

265,000

4.500%, 

4/30/2024

259,181

14,000

5.875%, 

11/15/2024

14,161

Live

Nation

Entertainment,

Inc.,

Convertible

173,000

2.500%, 

3/15/2023

164,442

Lowe's

Companies,

Inc.

31,000

4.000%, 

4/15/2025

33,139

Mattamy

Group

Corporation

200,000

5.250%, 

12/15/2027

h

186,000

McDonald's

Corporation

70,000

3.350%, 

4/1/2023

72,312

MGM

Resorts

International

110,000

6.000%, 

3/15/2023

106,150

122,000

5.750%, 

6/15/2025

109,190

Prime

Security

Services

Borrower,

LLC

235,000

5.750%, 

4/15/2026

h

230,300

Ralph

Lauren

Corporation

25,000

2.625%, 

8/18/2020

25,024

Ryman

Hospitality

Properties,

Inc.

80,000

4.750%, 

10/15/2027

h

60,000

Scientific

Games

International,

Inc.

110,000

5.000%, 

10/15/2025

h

95,700

40,000

7.000%, 

5/15/2028

h

24,600

ServiceMaster

Company,

LLC

220,000

5.125%, 

11/15/2024

h

217,250

Six

Flags

Entertainment

Corporation

70,000

5.500%, 

4/15/2027

h

58,975

Staples,

Inc.

130,000

7.500%, 

4/15/2026

h

113,751

Target

Corporation

31,000

2.250%, 

4/15/2025

31,472

TJX

Companies,

Inc.

31,000

3.500%, 

4/15/2025

31,707

Viking

Cruises,

Ltd.

80,000

5.875%, 

9/15/2027

h

46,809

Volkswagen

Group

of

America

Finance,

LLC

62,000

4.250%, 

11/13/2023

h

61,258

Yum!

Brands,

Inc.

160,000

4.750%, 

1/15/2030

h

149,024

Total

4,589,062

Consumer

Non-Cyclical

(1.9%)

Abbott

Laboratories

64,000

2.550%, 

3/15/2022

64,552

46,000

3.400%, 

11/30/2023

48,328

AbbVie,

Inc.

44,000

2.900%, 

11/6/2022

44,508

68,000

2.300%, 

11/21/2022

h

67,937

104,000

3.600%, 

5/14/2025

109,572

Albertson's

Companies,

Inc.

180,000

6.625%, 

6/15/2024

182,700

50,000

4.875%, 

2/15/2030

h

49,500

Allergan

Sales,

LLC

21,000

4.875%, 

2/15/2021

h

21,325

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

31

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Consumer

Non-Cyclical

(1.9%)

-

continued

Allergan,

Inc.

$

35,000

2.800%, 

3/15/2023

$

34,795

Altria

Group,

Inc.

47,000

3.800%, 

2/14/2024

47,645

35,000

4.400%, 

2/14/2026

36,244

Amgen,

Inc.

47,000

1.900%, 

2/21/2025

47,302

Anheuser-Busch

Companies,

LLC

35,000

3.650%, 

2/1/2026

36,759

Anheuser-Busch

InBev

Finance,

Inc.

40,000

3.300%, 

2/1/2023

41,160

Anheuser-Busch

InBev

Worldwide,

Inc.

56,000

4.150%, 

1/23/2025

60,406

Avantor,

Inc.

120,000

6.000%, 

10/1/2024

h

125,724

B&G

Foods,

Inc.

105,000

5.250%, 

9/15/2027

102,375

BAT

Capital

Corporation

44,000

2.764%, 

8/15/2022

43,335

56,000

3.222%, 

8/15/2024

56,247

Bausch

Health

Companies,

Inc.

100,000

7.000%, 

1/15/2028

h

103,700

30,000

5.000%, 

1/30/2028

h

28,401

30,000

5.250%, 

1/30/2030

h

28,050

Bayer

U.S.

Finance

II,

LLC

70,000

3.500%, 

6/25/2021

h

70,136

Becton,

Dickinson

and

Company

88,000

3.363%, 

6/6/2024

88,190

Boston

Scientific

Corporation

70,000

3.450%, 

3/1/2024

71,834

Bristol-Myers

Squibb

Company

56,000

3.625%, 

5/15/2024

h

59,172

Bunge,

Ltd.

Finance

Corporation

65,000

3.500%, 

11/24/2020

65,539

Cardtronics,

Inc.,

Convertible

207,000

1.000%, 

12/1/2020

197,003

Centene

Corporation

220,000

4.750%, 

1/15/2025

222,750

48,000

5.375%, 

8/15/2026

h

48,960

40,000

4.250%, 

12/15/2027

h

40,076

90,000

4.625%, 

12/15/2029

h

90,450

Cigna

Corporation

75,000

4.125%, 

11/15/2025

80,307

Conagra

Brands,

Inc.

37,000

3.800%, 

10/22/2021

37,288

37,000

4.300%, 

5/1/2024

38,416

Constellation

Brands,

Inc.

70,000

4.250%, 

5/1/2023

70,633

CVS

Health

Corporation

44,000

2.750%, 

12/1/2022

44,295

129,000

3.700%, 

3/9/2023

134,287

70,000

4.100%, 

3/25/2025

73,669

Encompass

Health

Corporation

110,000

4.500%, 

2/1/2028

107,883

Energizer

Holdings,

Inc.

160,000

6.375%, 

7/15/2026

h

161,600

Express

Scripts

Holding

Company

44,000

4.750%, 

11/15/2021

46,226

General

Mills,

Inc.

35,000

3.700%, 

10/17/2023

35,624

35,000

3.650%, 

2/15/2024

36,203

HCA,

Inc.

320,000

5.375%, 

2/1/2025

325,597

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Consumer

Non-Cyclical

(1.9%)

-

continued

Imperial

Brands

Finance

plc

$

34,000

3.125%, 

7/26/2024

h

$

33,240

JBS

USA,

LLC

120,000

5.750%, 

6/15/2025

h

121,200

240,000

5.500%, 

1/15/2030

h

247,800

Kellogg

Company

78,000

3.125%, 

5/17/2022

77,411

Keurig

Dr

Pepper,

Inc.

82,000

3.551%, 

5/25/2021

82,951

Kraft

Foods

Group,

Inc.

120,000

5.000%, 

6/4/2042

113,744

Kraft

Heinz

Foods

Company

180,000

3.750%, 

4/1/2030

h

171,675

Kroger

Company

43,000

2.800%, 

8/1/2022

43,597

Mead

Johnson

Nutrition

Company

65,000

3.000%, 

11/15/2020

64,874

Medtronic,

Inc.

15,000

3.500%, 

3/15/2025

16,157

Mondelez

International

Holdings

Netherlands

BV

65,000

2.000%, 

10/28/2021

h

64,714

Mylan

NV

41,000

3.150%, 

6/15/2021

40,622

Mylan,

Inc.

34,000

4.200%, 

11/29/2023

32,403

Novartis

Capital

Corporation

30,000

1.750%, 

2/14/2025

30,301

Par

Pharmaceutical,

Inc.

110,000

7.500%, 

4/1/2027

h

109,450

PepsiCo,

Inc.

46,000

2.250%, 

3/19/2025

47,752

Pernod

Ricard

SA

35,000

5.750%, 

4/7/2021

h

36,013

Post

Holdings,

Inc.

130,000

5.750%, 

3/1/2027

h

133,212

Reynolds

American,

Inc.

35,000

4.850%, 

9/15/2023

36,414

Scotts

Miracle-Gro

Company

130,000

4.500%, 

10/15/2029

123,825

Shire

Acquisitions

Investments

Ireland

Designated

Activity

Company

86,000

2.400%, 

9/23/2021

85,678

Simmons

Foods,

Inc.

90,000

5.750%, 

11/1/2024

h

81,702

Spectrum

Brands,

Inc.

170,000

5.750%, 

7/15/2025

158,950

50,000

5.000%, 

10/1/2029

h

42,500

Sysco

Corporation

65,000

5.650%, 

4/1/2025

67,680

Teleflex,

Inc.

180,000

4.625%, 

11/15/2027

179,802

Tenet

Healthcare

Corporation

60,000

4.625%, 

7/15/2024

57,150

170,000

5.125%, 

11/1/2027

h

162,350

Teva

Pharmaceutical

Finance

Netherlands

III

BV

17,000

2.200%, 

7/21/2021

16,238

125,000

2.800%, 

7/21/2023

114,061

Thermo

Fisher

Scientific,

Inc.

31,000

4.133%, 

3/25/2025

33,217

UnitedHealth

Group,

Inc.

65,000

3.350%, 

7/15/2022

67,266

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

32

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Consumer

Non-Cyclical

(1.9%)

-

continued

VRX

Escrow

Corporation

$

460,000

6.125%, 

4/15/2025

h

$

453,100

Zoetis,

Inc.

65,000

3.450%, 

11/13/2020

64,362

52,000

3.250%, 

2/1/2023

53,156

Total

6,791,270

Energy

(1.0%)

Archrock

Partners,

LP

70,000

6.250%, 

4/1/2028

h

48,300

BP

Capital

Markets

America,

Inc.

172,000

2.520%, 

9/19/2022

170,686

Buckeye

Partners,

LP

80,000

4.125%, 

3/1/2025

h

67,440

60,000

3.950%, 

12/1/2026

49,182

20,000

4.125%, 

12/1/2027

16,394

Canadian

Natural

Resources,

Ltd.

43,000

2.950%, 

1/15/2023

37,250

Canadian

Oil

Sands,

Ltd.

43,000

9.400%, 

9/1/2021

h

46,317

Cheniere

Corpus

Christi

Holdings,

LLC

170,000

7.000%, 

6/30/2024

149,207

Cheniere

Energy

Partners,

LP

235,000

5.625%, 

10/1/2026

218,550

Chesapeake

Energy

Corporation

68,000

11.500%, 

1/1/2025

h

10,880

Continental

Resources,

Inc.

23,000

5.000%, 

9/15/2022

14,258

50,000

4.500%, 

4/15/2023

27,502

Diamondback

Energy,

Inc.

34,000

2.875%, 

12/1/2024

23,753

Enagas

SA

355,000

5.500%, 

1/15/2028

h

184,600

Enbridge,

Inc.

42,000

2.900%, 

7/15/2022

38,569

267,000

6.250%, 

3/1/2078

b

200,250

Energy

Transfer

Operating,

LP

41,000

4.200%, 

9/15/2023

35,812

70,000

5.875%, 

1/15/2024

66,107

80,000

6.625%, 

2/15/2028

b,k

39,600

EnLink

Midstream

Partners,

LP

140,000

4.850%, 

7/15/2026

68,838

Enterprise

Products

Operating,

LLC

200,000

4.875%, 

8/16/2077

b

137,360

EOG

Resources,

Inc.

65,000

2.625%, 

3/15/2023

63,714

EQT

Corporation

30,000

3.900%, 

10/1/2027

20,691

Exxon

Mobil

Corporation

32,000

2.992%, 

3/19/2025

33,718

Hess

Corporation

41,000

3.500%, 

7/15/2024

32,559

Kinder

Morgan

Energy

Partners,

LP

88,000

3.450%, 

2/15/2023

86,004

Marathon

Petroleum

Corporation

35,000

4.750%, 

12/15/2023

33,139

MPLX,

LP

66,000

4.500%, 

7/15/2023

56,798

Murphy

Oil

Corporation

120,000

5.875%, 

12/1/2027

62,736

Nabors

Industries,

Inc.

100,000

5.750%, 

2/1/2025

22,000

Nabors

Industries,

Ltd.

40,000

7.250%, 

1/15/2026

h

13,600

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Energy

(1.0%)

-

continued

Newfield

Exploration

Company

$

47,000

5.625%, 

7/1/2024

$

25,225

Occidental

Petroleum

Corporation

14,000

4.850%, 

3/15/2021

11,728

ONEOK,

Inc.

16,000

2.200%, 

9/15/2025

12,347

Parsley

Energy,

LLC

170,000

5.625%, 

10/15/2027

h

119,850

Plains

All

American

Pipeline,

LP

94,000

5.000%, 

2/1/2021

91,702

169,000

6.125%, 

11/15/2022

b,k

84,500

13,000

2.850%, 

1/31/2023

11,317

Sabine

Pass

Liquefaction,

LLC

43,000

6.250%, 

3/15/2022

41,708

43,000

5.625%, 

4/15/2023

40,009

Southwestern

Energy

Company

185,000

7.500%, 

4/1/2026

121,175

Sunoco

Logistics

Partners

Operations,

LP

65,000

4.400%, 

4/1/2021

64,793

Sunoco,

LP

110,000

5.500%, 

2/15/2026

95,181

100,000

5.875%, 

3/15/2028

83,000

Targa

Resources

Partners,

LP

140,000

5.375%, 

2/1/2027

115,220

Transocean

Guardian,

Ltd.

91,851

5.875%, 

1/15/2024

h

73,481

Transocean,

Ltd.

90,000

8.000%, 

2/1/2027

h

42,750

Viper

Energy

Partners,

LP

170,000

5.375%, 

11/1/2027

h

142,800

W&T

Offshore,

Inc.

190,000

9.750%, 

11/1/2023

h

44,661

Western

Gas

Partners,

LP

44,000

4.000%, 

7/1/2022

28,531

Williams

Partners,

LP

88,000

4.000%, 

11/15/2021

83,481

WPX

Energy,

Inc.

130,000

5.750%, 

6/1/2026

74,100

70,000

5.250%, 

10/15/2027

38,500

Total

3,521,873

Financials

(4.5%)

ACE

INA

Holdings,

Inc.

65,000

2.875%, 

11/3/2022

65,963

AerCap

Ireland

Capital,

Ltd.

32,000

3.500%, 

1/15/2025

27,187

AIG

Global

Funding

56,000

2.150%, 

7/2/2020

h

55,756

Air

Lease

Corporation

83,000

2.500%, 

3/1/2021

76,338

Aircastle,

Ltd.

51,000

5.000%, 

4/1/2023

49,788

Ally

Financial,

Inc.

105,000

5.750%, 

11/20/2025

102,711

American

Express

Company

40,000

3.375%, 

5/17/2021

40,463

34,000

3.700%, 

8/3/2023

35,721

35,000

3.400%, 

2/22/2024

36,642

Ares

Capital

Corporation,

Convertible

42,000

4.625%, 

3/1/2024

36,356

Athene

Global

Funding

60,000

4.000%, 

1/25/2022

h

60,621

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

33

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Financials

(4.5%)

-

continued

Australia

and

New

Zealand

Banking

Group,

Ltd.

$

130,000

6.750%, 

6/15/2026

b,h,k

$

127,725

57,000

2.950%, 

7/22/2030

b,h

54,009

Avolon

Holdings

Funding,

Ltd.

18,000

5.250%, 

5/15/2024

h

15,330

BAC

Capital

Trust

XIV

92,000

4.000%, 

(LIBOR

3M

+

0.400%),

4/17/2020

b,k

74,750

Bank

of

America

Corporation

58,000

2.738%, 

1/23/2022

b

57,930

82,000

3.499%, 

5/17/2022

b

82,964

55,000

3.004%, 

12/20/2023

b

56,028

115,000

3.550%, 

3/5/2024

b

119,209

164,000

5.125%, 

6/20/2024

b,k

155,800

143,000

3.864%, 

7/23/2024

b

150,028

70,000

4.200%, 

8/26/2024

74,404

276,000

6.250%, 

9/5/2024

b,k

280,140

35,000

3.458%, 

3/15/2025

b

36,098

Bank

of

Montreal

105,000

3.300%, 

2/5/2024

109,643

Bank

of

New

York

Mellon

Corporation

58,000

2.600%, 

2/7/2022

58,475

Bank

of

Nova

Scotia

64,000

2.700%, 

3/7/2022

65,208

72,000

2.375%, 

1/18/2023

72,437

32,000

1.950%, 

2/1/2023

31,816

Barclays

plc

65,000

4.610%, 

2/15/2023

b

66,133

200,000

7.750%, 

9/15/2023

b,k

175,400

81,000

4.338%, 

5/16/2024

b

78,144

BB&T

Corporation

35,000

2.150%, 

2/1/2021

34,959

34,000

2.500%, 

8/1/2024

33,622

Blackstone

Mortgage

Trust,

Inc.,

Convertible

65,000

4.375%, 

5/5/2022

51,350

BNP

Paribas

SA

300,000

7.625%, 

3/30/2021

b,h,k

292,875

38,000

2.819%, 

11/19/2025

b,h

37,541

BPCE

SA

35,000

3.000%, 

5/22/2022

h

34,650

32,000

2.375%, 

1/14/2025

h

29,716

Camden

Property

Trust

35,000

4.875%, 

6/15/2023

36,909

Canadian

Imperial

Bank

of

Commerce

32,000

2.250%, 

1/28/2025

31,627

Capital

One

Bank

USA

NA

52,000

3.375%, 

2/15/2023

50,874

48,000

2.280%, 

1/28/2026

b

43,468

Capital

One

Financial

Corporation

129,000

3.050%, 

3/9/2022

128,803

Cascades

USA,

Inc.

120,000

5.125%, 

1/15/2026

h

116,100

Central

Fidelity

Capital

Trust

I

135,000

2.831%, 

(LIBOR

3M

+

1.000%),

4/15/2027

b

113,400

CIT

Group,

Inc.

185,000

4.750%, 

2/16/2024

180,837

Citigroup,

Inc.

58,000

2.350%, 

8/2/2021

57,944

43,000

2.750%, 

4/25/2022

43,223

43,000

2.484%, 

(LIBOR

3M

+

0.690%),

10/27/2022

b

40,662

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Financials

(4.5%)

-

continued

$

136,000

2.312%, 

11/4/2022

b

$

135,197

83,000

3.142%, 

1/24/2023

b

84,036

184,000

5.000%, 

9/12/2024

b,k

168,205

258,000

4.700%, 

1/30/2025

b,k

223,170

105,000

3.352%, 

4/24/2025

b

108,118

92,000

5.950%, 

5/15/2025

b,k

89,125

CNA

Financial

Corporation

35,000

5.750%, 

8/15/2021

35,864

40,000

3.950%, 

5/15/2024

41,553

Cooperatieve

Centrale

Raiffeisen-

Boerenleenbank

BA

86,000

3.950%, 

11/9/2022

86,501

Credit

Agricole

SA

43,000

3.375%, 

1/10/2022

h

42,903

122,700

8.125%, 

12/23/2025

b,h,k

126,381

Credit

Suisse

Group

AG

138,000

7.500%, 

12/11/2023

b,h,k

132,825

34,000

2.593%, 

9/11/2025

b,h

32,307

200,000

6.375%, 

8/21/2026

b,h,k

175,540

Credit

Suisse

Group

Funding

(Guernsey),

Ltd.

132,000

3.800%, 

9/15/2022

134,203

Danske

Bank

AS

61,000

5.000%, 

1/12/2022

h

62,456

Deutsche

Bank

AG

43,000

2.700%, 

7/13/2020

42,156

129,000

4.250%, 

10/14/2021

122,711

Deutsche

Bank

AG

of

New

York

34,000

3.950%, 

2/27/2023

33,771

Digital

Realty

Trust,

LP

65,000

2.750%, 

2/1/2023

64,626

Discover

Bank

35,000

4.200%, 

8/8/2023

37,162

51,000

2.450%, 

9/12/2024

48,861

Fidelity

National

Financial,

Inc.

57,000

5.500%, 

9/1/2022

62,553

Fifth

Third

Bancorp

65,000

2.600%, 

6/15/2022

64,229

35,000

3.650%, 

1/25/2024

36,396

FNB

Corporation

64,000

2.200%, 

2/24/2023

62,775

FTI

Consulting,

Inc.,

Convertible

496,000

2.000%, 

8/15/2023

646,925

General

Electric

Capital

Corporation

68,000

3.100%, 

1/9/2023

69,062

Goldman

Sachs

Group,

Inc.

86,000

5.375%, 

5/10/2020

b,k

76,862

88,000

5.250%, 

7/27/2021

91,481

65,000

2.862%, 

(LIBOR

3M

+

1.170%),

11/15/2021

b

63,700

88,000

3.000%, 

4/26/2022

88,635

59,000

2.876%, 

10/31/2022

b

59,301

43,000

2.364%, 

(LIBOR

3M

+

1.050%),

6/5/2023

b

41,159

70,000

3.625%, 

2/20/2024

72,428

206,000

5.500%, 

8/10/2024

b,i,k

197,989

67,000

4.950%, 

2/10/2025

b,k

59,630

31,000

3.500%, 

4/1/2025

31,435

49,000

3.272%, 

9/29/2025

b

49,969

Hannon

Armstrong

Sustainable

Infrastructure

Capital,

Convertible

191,000

4.125%, 

9/1/2022

181,226

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

34

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Financials

(4.5%)

-

continued

Hartford

Financial

Services

Group,

Inc.

$

66,000

3.817%, 

(LIBOR

3M

+

2.125%),

2/12/2047

b,h

$

42,670

HCP,

Inc.

33,000

4.250%, 

11/15/2023

31,184

Hospitality

Properties

Trust

60,000

4.250%, 

2/15/2021

57,049

HSBC

Holdings

plc

128,000

3.400%, 

3/8/2021

128,704

88,000

6.875%, 

6/1/2021

b,k

86,460

179,000

6.375%, 

9/17/2024

b,k

166,022

65,000

3.803%, 

3/11/2025

b

67,671

136,000

6.375%, 

3/30/2025

b,k

127,160

39,000

2.633%, 

11/7/2025

b

37,840

91,000

6.500%, 

3/23/2028

b,k

85,085

Huntington

Bancshares,

Inc.

45,000

3.150%, 

3/14/2021

45,115

Icahn

Enterprises,

LP

75,000

6.750%, 

2/1/2024

72,375

90,000

6.375%, 

12/15/2025

85,050

60,000

6.250%, 

5/15/2026

56,700

ILFC

E-Capital

Trust

II

138,000

3.570%, 

(H15T30Y

+

1.800%),

12/21/2065

b,h

55,200

ING

Groep

NV

150,000

6.000%, 

4/16/2020

b,k

142,200

70,000

4.100%, 

10/2/2023

71,835

International

Lease

Finance

Corporation

88,000

5.875%, 

8/15/2022

78,670

Iron

Mountain,

Inc.

122,936

6.000%, 

8/15/2023

123,551

80,000

4.875%, 

9/15/2027

h

77,600

iStar,

Inc.,

Convertible

81,000

3.125%, 

9/15/2022

79,288

J.P.

Morgan

Chase

&

Company

45,000

2.260%, 

(LIBOR

3M

+

0.680%),

6/1/2021

b

44,730

99,000

2.776%, 

4/25/2023

b

100,253

70,000

3.375%, 

5/1/2023

73,047

108,000

5.150%, 

5/1/2023

b,k

102,600

89,000

3.031%, 

(LIBOR

3M

+

1.230%),

10/24/2023

b

86,144

296,000

5.000%, 

8/1/2024

b,k

277,500

70,000

3.875%, 

9/10/2024

73,916

145,000

4.023%, 

12/5/2024

b

153,625

258,000

4.600%, 

2/1/2025

b,k

225,802

Liberty

Mutual

Group,

Inc.

35,000

5.000%, 

6/1/2021

h

35,899

Lincoln

National

Corporation

50,000

4.049%, 

(LIBOR

3M

+

2.358%),

5/17/2066

b

31,000

Lloyds

Banking

Group

plc

67,000

3.000%, 

1/11/2022

66,810

51,000

2.858%, 

3/17/2023

b

50,278

65,000

3.900%, 

3/12/2024

65,788

156,000

6.657%, 

5/21/2037

b,h,k

168,090

Macquarie

Bank,

Ltd.

178,000

6.125%, 

3/28/2027

b,h,k

160,200

MGIC

Investment

Corporation,

Convertible

459,000

9.000%, 

4/1/2063

h

594,788

Mitsubishi

UFJ

Financial

Group,

Inc.

44,000

2.998%, 

2/22/2022

44,857

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Financials

(4.5%)

-

continued

$

53,000

2.623%, 

7/18/2022

$

52,919

83,000

3.455%, 

3/2/2023

84,971

35,000

3.407%, 

3/7/2024

36,111

Mizuho

Financial

Group,

Inc.

53,000

2.721%, 

7/16/2023

b

53,302

Morgan

Stanley

64,000

2.800%, 

6/16/2020

63,991

86,000

5.500%, 

7/28/2021

89,280

43,000

2.750%, 

5/19/2022

43,456

10,000

4.875%, 

11/1/2022

10,499

84,000

3.125%, 

1/23/2023

85,912

66,000

4.100%, 

5/22/2023

68,354

34,000

2.720%, 

7/22/2025

b

34,421

MPT

Operating

Partnership,

LP

100,000

5.250%, 

8/1/2026

99,500

130,000

4.625%, 

8/1/2029

119,600

National

Australia

Bank,

Ltd.

48,000

1.875%, 

12/13/2022

47,712

National

Bank

of

Canada

48,000

2.100%, 

2/1/2023

47,767

Nippon

Life

Insurance

Company

129,000

3.400%, 

1/23/2050

b,h

123,840

Nomura

Holdings,

Inc.

39,000

2.648%, 

1/16/2025

38,175

Nordea

Bank

Abp

200,000

6.625%, 

3/26/2026

b,h,k

181,000

Outfront

Media

Cap,

LLC

120,000

4.625%, 

3/15/2030

h

106,800

Park

Aerospace

Holdings,

Ltd.

17,000

4.500%, 

3/15/2023

h

14,744

PNC

Bank

NA

86,000

2.450%, 

11/5/2020

86,160

PNC

Financial

Services

Group,

Inc.

35,000

3.500%, 

1/23/2024

36,302

Preferred

Term

Securities

XXIII,

Ltd.

112,823

0.941%, 

(LIBOR

3M

+

0.200%),

12/22/2036

b,h

92,827

Quicken

Loans,

Inc.

245,000

5.750%, 

5/1/2025

h

243,775

Regions

Financial

Corporation

41,000

3.800%, 

8/14/2023

41,509

Reinsurance

Group

of

America,

Inc.

64,000

4.700%, 

9/15/2023

70,455

Royal

Bank

of

Canada

31,000

2.250%, 

11/1/2024

31,311

Royal

Bank

of

Scotland

Group

plc

208,000

8.625%, 

8/15/2021

b,k

202,800

35,000

6.125%, 

12/15/2022

36,102

35,000

6.100%, 

6/10/2023

35,987

88,000

4.269%, 

3/22/2025

b

90,417

25,000

3.754%, 

11/1/2029

b

23,122

Santander

UK

Group

Holdings

plc

86,000

2.875%, 

8/5/2021

84,639

Santander

UK

plc

48,000

2.100%, 

1/13/2023

46,556

Simon

Property

Group,

LP

40,000

2.500%, 

7/15/2021

39,451

34,000

2.000%, 

9/13/2024

32,631

Societe

Generale

SA

39,000

2.625%, 

10/16/2024

h

36,909

265,000

8.000%, 

9/29/2025

b,h,k

242,475

Springleaf

Finance

Corporation

100,000

7.125%, 

3/15/2026

97,875

Standard

Chartered

plc

52,000

2.744%, 

9/10/2022

b,h

51,478

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

35

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Financials

(4.5%)

-

continued

State

Street

Corporation

$

31,000

2.825%, 

3/30/2023

b,h

$

31,283

31,000

2.354%, 

11/1/2025

b

30,682

Sumitomo

Mitsui

Financial

Group,

Inc.

43,000

2.784%, 

7/12/2022

43,196

136,000

2.778%, 

10/18/2022

138,141

39,000

2.448%, 

9/27/2024

38,889

SunTrust

Banks,

Inc.

55,000

2.900%, 

3/3/2021

55,125

Synchrony

Financial

34,000

2.850%, 

7/25/2022

32,389

38,000

4.250%, 

8/15/2024

36,587

Toronto-Dominion

Bank

51,000

2.550%, 

1/25/2021

50,411

35,000

3.250%, 

3/11/2024

36,578

Truist

Financial

Corporation

112,000

4.800%, 

9/1/2024

b,k

96,320

UBS

Group

Funding

Jersey,

Ltd.

86,000

3.000%, 

4/15/2021

h

86,166

USB

Realty

Corporation

184,000

2.978%, 

(LIBOR

3M

+

1.147%),

1/15/2022

b,h,k

138,000

Ventas

Realty,

LP

41,000

3.100%, 

1/15/2023

40,167

35,000

3.750%, 

5/1/2024

33,090

VICI

Properties,

LP

/

VICI

Note

Company,

Inc.

50,000

4.250%, 

12/1/2026

h

45,875

30,000

3.750%, 

2/15/2027

h

28,275

50,000

4.625%, 

12/1/2029

h

45,500

30,000

4.125%, 

8/15/2030

h

28,425

Wachovia

Capital

Trust

II

50,000

2.331%, 

(LIBOR

3M

+

0.500%),

1/15/2027

b

41,000

Wells

Fargo

&

Company

50,000

2.100%, 

7/26/2021

49,930

43,000

2.625%, 

7/22/2022

43,502

70,000

4.125%, 

8/15/2023

72,166

60,000

3.007%, 

(LIBOR

3M

+

1.230%),

10/31/2023

b

57,245

38,000

3.750%, 

1/24/2024

40,229

68,000

2.406%, 

10/30/2025

b

67,006

Westpac

Banking

Corporation

32,000

2.000%, 

1/13/2023

31,633

32,000

2.894%, 

2/4/2030

b

30,702

Total

16,437,606

Mortgage-Backed

Securities

(4.3%)

Federal

Home

Loan

Mortgage

Corporation

Conventional

15-Yr.

Pass

Through

761,601

3.500%, 

5/1/2034

802,728

Federal

Home

Loan

Mortgage

Corporation

Conventional

30-Yr.

Pass

Through

847,885

3.000%, 

3/25/2050

889,335

133,040

3.500%, 

7/1/2047

e

141,094

643,689

3.000%, 

8/1/2047

678,892

Federal

Home

Loan

Mortgage

Corporation

Gold

30-Yr.

Pass

Through

262

9.000%, 

4/1/2025

292

1,936

8.000%, 

6/1/2027

2,183

926

8.000%, 

8/1/2030

1,109

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Mortgage-Backed

Securities

(4.3%)

-

continued

Federal

National

Mortgage

Association

$

314,853

4.500%, 

5/1/2048

$

339,633

525,080

3.500%, 

10/1/2048

554,506

1,568,829

3.500%, 

2/1/2049

1,655,171

95,705

3.500%, 

6/1/2049

101,165

600,906

3.500%, 

8/1/2049

636,362

Federal

National

Mortgage

Association

Conventional

15-Yr.

Pass

Through

300,000

2.500%, 

4/1/2035

e

311,285

1,950,000

2.000%, 

5/1/2035

e

2,001,187

1,400,000

2.500%, 

5/1/2035

e

1,451,625

1,110,000

3.000%, 

5/1/2035

e

1,159,346

Federal

National

Mortgage

Association

Conventional

30-Yr.

Pass

Through

2,900,000

2.500%, 

5/1/2050

e

3,000,502

323

8.000%, 

11/1/2026

359

2,742

8.500%, 

4/1/2030

3,417

1,131,972

4.000%, 

7/1/2048

1,208,837

768,000

3.000%, 

5/1/2049

e

804,208

5,783

3.500%, 

8/1/2049

e

6,105

Government

National

Mortgage

Association

30-Yr.

Pass

Through

496

9.000%, 

12/15/2026

566

Total

15,749,907

Technology

(1.3%)

Akamai

Technologies,

Inc.,

Convertible

432,000

0.375%, 

9/1/2027

h

430,252

Apple,

Inc.

60,000

2.400%, 

1/13/2023

61,837

122,000

3.450%, 

5/6/2024

131,721

Baidu,

Inc.

43,000

3.000%, 

6/30/2020

43,057

Booking

Holdings,

Inc.,

Convertible

62,000

0.350%, 

6/15/2020

68,622

Broadcom

Corporation

133,000

2.650%, 

1/15/2023

129,884

48,000

3.125%, 

1/15/2025

46,017

CommScope

Technologies

Finance,

LLC

210,000

6.000%, 

6/15/2025

h

192,192

Dell

International,

LLC/

EMC

Corporation

52,000

4.000%, 

7/15/2024

h

52,462

Diamond

1

Finance

Corporation

122,000

5.450%, 

6/15/2023

h

125,192

Diamond

Sports

Group,

LLC

230,000

6.625%, 

8/15/2027

h,i

153,812

Fiserv,

Inc.

75,000

2.750%, 

7/1/2024

74,572

Global

Payments,

Inc.

17,000

2.650%, 

2/15/2025

16,851

Harland

Clarke

Holdings

Corporation

95,000

8.375%, 

8/15/2022

h

73,269

Hewlett

Packard

Enterprise

Company

76,000

3.600%, 

10/15/2020

76,092

33,000

2.250%, 

4/1/2023

32,245

Intel

Corporation

65,000

3.100%, 

7/29/2022

67,457

j2

Global,

Inc.,

Convertible

104,000

3.250%, 

6/15/2029

126,808

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

36

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Technology

(1.3%)

-

continued

Lumentum

Holdings,

Inc.,

Convertible

$

44,000

0.250%, 

3/15/2024

$

59,424

Marvell

Technology

Group,

Ltd.

41,000

4.200%, 

6/22/2023

41,914

Microchip

Technology,

Inc.,

Convertible

119,000

1.625%, 

2/15/2027

122,135

Microsoft

Corporation

58,000

2.400%, 

2/6/2022

59,603

NCR

Corporation

230,000

6.125%, 

9/1/2029

h

214,797

Nuance

Communications,

Inc.,

Convertible

859,000

1.250%, 

4/1/2025

924,963

NXP

BV/NXP

Funding,

LLC

52,000

4.875%, 

3/1/2024

h

55,519

ON

Semiconductor

Corporation,

Convertible

57,000

1.000%, 

12/1/2020

56,623

212,000

1.625%, 

10/15/2023

210,563

Open

Text

Corporation

100,000

4.125%, 

2/15/2030

h

94,025

Oracle

Corporation

30,000

2.500%, 

5/15/2022

30,497

47,000

2.500%, 

4/1/2025

47,981

Panasonic

Corporation

53,000

2.536%, 

7/19/2022

h

52,180

Plantronics,

Inc.

130,000

5.500%, 

5/31/2023

h

94,575

PTC,

Inc.

40,000

3.625%, 

2/15/2025

h

37,400

Seagate

HDD

Cayman

34,000

4.250%, 

3/1/2022

34,067

SS&C

Technologies,

Inc.

170,000

5.500%, 

9/30/2027

h

175,313

Teradyne,

Inc.,

Convertible

70,000

1.250%, 

12/15/2023

125,300

Texas

Instruments,

Inc.

46,000

1.375%, 

3/12/2025

45,548

Verint

Systems,

Inc.,

Convertible

159,000

1.500%, 

6/1/2021

153,302

Vishay

Intertechnology,

Inc.,

Convertible

110,000

2.250%, 

6/15/2025

97,694

Total

4,635,765

Transportation

(0.3%)

AerCap

Holdings

NV

150,000

5.875%, 

10/10/2079

b

103,500

Air

Canada

Pass

Through

Trust

16,565

3.875%, 

3/15/2023

h

15,414

Air

Lease

Corporation

32,000

2.300%, 

2/1/2025

24,405

CSX

Corporation

35,000

3.700%, 

11/1/2023

36,833

Delta

Air

Lines,

Inc.

31,000

2.900%, 

10/28/2024

24,812

Hertz

Corporation

120,000

5.500%, 

10/15/2024

h

67,475

90,000

6.000%, 

1/15/2028

h

47,250

J.B.

Hunt

Transport

Services,

Inc.

65,000

3.300%, 

8/15/2022

62,476

Meritor,

Inc.,

Convertible

191,000

3.250%, 

10/15/2037

162,111

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Transportation

(0.3%)

-

continued

NCL

Corporation,

Ltd.

$

120,000

3.625%, 

12/15/2024

h

$

76,536

Penske

Truck

Leasing

Company,

LP

35,000

3.375%, 

2/1/2022

h

35,378

Ryder

System,

Inc.

75,000

3.500%, 

6/1/2021

74,979

Union

Pacific

Corporation

62,000

3.750%, 

7/15/2025

66,635

United

Airlines

Pass

Through

Trust

65,000

3.700%, 

12/1/2022

63,152

United

Continental

Holdings,

Inc.

120,000

4.875%, 

1/15/2025

103,200

XPO

Logistics,

Inc.

150,000

6.750%, 

8/15/2024

h

146,670

Total

1,110,826

Utilities

(0.8%)

Alabama

Power

Company

44,000

2.450%, 

3/30/2022

44,535

Ameren

Corporation

65,000

2.700%, 

11/15/2020

64,806

34,000

2.500%, 

9/15/2024

33,063

Berkshire

Hathaway

Energy

Company

31,000

4.050%, 

4/15/2025

h

33,435

Calpine

Corporation

220,000

4.500%, 

2/15/2028

h

213,235

CenterPoint

Energy,

Inc.

43,000

2.500%, 

9/1/2022

42,206

34,000

2.500%, 

9/1/2024

33,383

Dominion

Energy,

Inc.

35,000

2.715%, 

8/15/2021

34,525

35,000

3.071%, 

8/15/2024

34,980

135,000

4.650%, 

12/15/2024

b,k

121,312

DTE

Energy

Company

56,000

3.300%, 

6/15/2022

57,393

53,000

2.529%, 

10/1/2024

51,519

Duke

Energy

Corporation

86,000

2.400%, 

8/15/2022

85,842

138,000

4.875%, 

9/16/2024

b,k

115,920

Edison

International

109,000

2.950%, 

3/15/2023

105,452

16,000

3.550%, 

11/15/2024

15,893

31,000

4.950%, 

4/15/2025

30,928

Evergy,

Inc.

34,000

2.450%, 

9/15/2024

33,358

Eversource

Energy

43,000

2.500%, 

3/15/2021

43,157

FirstEnergy

Corporation

66,000

2.850%, 

7/15/2022

64,360

30,000

2.050%, 

3/1/2025

29,003

Florida

Power

&

Light

Company

31,000

2.850%, 

4/1/2025

32,600

Georgia

Power

Company

32,000

2.100%, 

7/30/2023

31,206

34,000

2.200%, 

9/15/2024

31,899

NextEra

Energy

Operating

Partners,

LP

220,000

3.875%, 

10/15/2026

h

209,000

NiSource,

Inc.

56,000

3.650%, 

6/15/2023

57,343

213,000

5.650%, 

6/15/2023

b,k

189,570

NRG

Energy,

Inc.,

Convertible

125,000

2.750%, 

6/1/2048

119,062

Pinnacle

West

Capital

Corporation

42,000

2.250%, 

11/30/2020

42,055

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

37

Principal

Amount

Long-Term

Fixed

Income

(26.4%)

Value

Utilities

(0.8%)

-

continued

PPL

Capital

Funding,

Inc.

$

70,000

3.950%, 

3/15/2024

$

72,194

PSEG

Power,

LLC

55,000

3.000%, 

6/15/2021

55,157

Public

Service

Enterprise

Group,

Inc.

35,000

2.875%, 

6/15/2024

34,889

Sempra

Energy

68,000

3.550%, 

6/15/2024

68,554

Southern

Company

43,000

2.350%, 

7/1/2021

43,109

TerraForm

Power

Operating,

LLC

190,000

5.000%, 

1/31/2028

h

199,082

TransCanada

Trust

350,000

5.875%, 

8/15/2076

b

273,875

Vistra

Operations

Company,

LLC

130,000

5.000%, 

7/31/2027

h

131,950

Total

2,879,850

Total

Long-Term

Fixed

Income

(cost

$102,673,088)

95,879,737

Shares

Registered

Investment

Companies

(

9.1%

)

Value

Unaffiliated  (1.7%)

13,850

AllianzGI

NFJ

Dividend

Interest

&

Premium

Strategy

Fund

133,099

18,983

BlackRock

Resources

&

Commodities

Strategy

Trust

95,674

2,235

Health

Care

Select

Sector

SPDR

Fund

197,976

26,350

Invesco

Senior

Loan

ETF

539,121

28,200

Invesco

Variable

Rate

Preferred

ETF

i

605,172

3,160

iShares

iBoxx

$

High

Yield

Corporate

Bond

ETF

243,541

2,267

iShares

Russell

2000

Value

Index

Fund

185,962

47,000

iShares

S&P

U.S.

Preferred

Stock

Index

Fund

1,496,480

23,867

SPDR

BBG

Barclay's

Convertible

Securities

ETF

1,142,275

42,782

Templeton

Global

Income

Fund

228,884

11,375

Vanguard

Short-Term

Corporate

Bond

ETF

899,762

56,396

Western

Asset

High

Income

Opportunity

Fund,

Inc.

237,427

Total

6,005,373

Affiliated  (7.4%)

3,036,390

Thrivent

Core

Emerging

Markets

Debt

Fund

26,841,684

Total

26,841,684

Total

Registered

Investment

Companies

(cost

$36,277,454)

32,847,057

Shares

Preferred

Stock

(

1.3%

)

Value

Communications

Services

(0.2%)

4,300

AT&T,

Inc.,

4.750%

k

91,160

415

Crown

Castle

International

Corporation,

Convertible,

6.875%

536,530

Total

627,690

Shares

Preferred

Stock

(1.3%)

Value

Consumer

Staples

(0.1%)

12,800

CHS,

Inc.,

7.100%

b,k

$

295,424

Total

295,424

Energy

(0.1%)

45,708

Crestwood

Equity

Partners,

LP,

9.250%

k

173,690

1,600

Energy

Transfer

Operating,

LP,

7.600%

b,k

19,888

3,136

Nustar

Logistics,

LP,

8.565%

b

41,521

Total

235,099

Financials

(0.7%)

2,750

Aegon

Funding

Corporation

II,

5.100%

57,255

3,174

Agribank

FCB,

6.875%

b,k

306,688

5,700

Allstate

Corporation,

5.100%

k

131,670

5,000

Bank

of

America

Corporation,

5.000%

k

117,400

120

Bank

of

America

Corporation,

Convertible,

7.250%

k

151,922

5,525

Capital

One

Financial

Corporation,

5.000%

k

110,776

2,485

Cobank

ACB,

6.250%

b,k

243,530

5,875

Equitable

Holdings,

Inc.,

5.250%

k

99,405

140

First

Horizon

Bank,

3.750%

b,h,k

91,000

7,800

GMAC

Capital

Trust

I,

7.477%

b

159,978

3,700

Hartford

Financial

Services

Group,

Inc.,

7.875%

b

96,681

3,650

J.P.

Morgan

Chase

&

Company,

4.750%

i,k

85,009

6,200

Morgan

Stanley,

7.125%

b,k

162,316

4,000

Regions

Financial

Corporation,

5.700%

b,k

94,000

775

Synovus

Financial

Corporation,

5.875%

b,k

15,926

540

Wells

Fargo

&

Company,

Convertible,

7.500%

k

687,971

Total

2,611,527

Health

Care

(0.1%)

440

Danaher

Corporation,

Convertible,

4.750%

458,735

Total

458,735

Industrials

(<0.1%)

111

Fortive

Corporation,

Convertible,

5.000%

79,890

1,589

Stanley

Black

&

Decker,

Inc.,

Convertible,

5.250%

111,167

Total

191,057

Utilities

(0.1%)

142

Sempra

Energy,

Convertible,

6.000%

13,138

4,918

Southern

Company,

Convertible,

6.750%

218,359

Total

231,497

Total

Preferred

Stock

(cost

$5,294,929)

4,651,029

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

38

Shares

Collateral

Held

for

Securities

Loaned

(

0.6%

)

Value

2,138,347

Thrivent

Cash

Management

Trust

$

2,138,347

Total

Collateral

Held

for

Securities

Loaned

(cost

$2,138,347)

2,138,347

Shares

or

Principal

Amount

Short-Term

Investments

(

7.6%

)

Value

Federal

Home

Loan

Bank

Discount

Notes

300,000

1.535%,

4/8/2020

n,o

299,996

600,000

1.180%,

5/12/2020

n,o

599,952

700,000

0.150%,

5/20/2020

n,o

699,933

200,000

0.000%,

5/28/2020

o

199,978

200,000

0.500%,

6/9/2020

n,o

199,973

200,000

0.530%,

6/12/2020

n,o

199,972

300,000

0.150%,

6/23/2020

n,o

299,952

1,000,000

0.150%,

7/31/2020

n,o

999,698

Thrivent

Core

Short-Term

Reserve

Fund

2,413,377

1.570%

24,085,500

Total

Short-Term

Investments

(cost

$27,593,363)

27,584,954

Total

Investments

(cost

$409,456,998)

103.1%

$373,768,518

Other

Assets

and

Liabilities,

Net

(3.1%)

(11,408,272)

Total

Net

Assets

100.0%

$362,360,246

a

The

stated

interest

rate

represents

the

weighted

average

of

all

contracts

within

the

bank

loan

facility.

b

Denotes

variable

rate

securities.

The

rate

shown

is

as

of

March

31,

2020.

The

rates

of

certain

variable

rate

securities

are

based

on

a

published

reference

rate

and

spread;

these

may

vary

by

security

and

the

reference

rate

and

spread

are

indicated

in

their

description.  The

rates

of

other

variable

rate

securities

are

determined

by

the

issuer

or

agent

and

are

based

on

current

market

conditions.  These

securities

do

not

indicate

a

reference

rate

and

spread

in

their

description.  

c

Security

is

valued

using

significant

unobservable

inputs.

Further

information

on

valuation

can

be

found

in

the

Notes

to

Financial

Statements.

d

All

or

a

portion

of

the

loan

is

unfunded.

e

Denotes

investments

purchased

on

a

when-issued

or

delayed

delivery

basis.

f

In

bankruptcy.  Interest

is

being

accrued

per

the

bankruptcy

agreement

terms.  

g

Non-income

producing

security.

h

Denotes

securities

sold

under

Rule

144A

of

the

Securities

Act

of

1933,

which

exempts

them

from

registration.

These

securities

may

be

resold

to

other

dealers

in

the

program

or

to

other

qualified

institutional

buyers.

As

of

March

31,

2020,

the

value

of

these

investments

was

$38,750,417

or

10.7%

of

total

net

assets.

i

All

or

a

portion

of

the

security

is

on

loan.

j

Denotes

step

coupon

securities.

Step

coupon

securities

pay

an

initial

coupon

rate

for

the

first

period

and

then

different

coupon

rates

for

following

periods.

The

rate

shown

is

as

of

March

31,

2020.

k

Denotes

perpetual

securities.

Perpetual

securities

pay

an

indefinite

stream

of

income

and

have

no

contractual

maturity

date.

Date

shown,

if

applicable,

is

next

call

date.

l

Denotes

interest

only

security.  Interest

only

securities

represent

the

right

to

receive

monthly

interest

payments

on

an

underlying

pool

of

mortgages

or

assets.  The

principal

shown

is

the

outstanding

par

amount

of

the

pool

as

of

the

end

of

the

period.

The

actual

effective

yield

of

the

security

is

different

than

the

stated

coupon

rate.

m

All

or

a

portion

of

the

security

is

insured

or

guaranteed.

n

The

interest

rate

shown

reflects

the

yield,

coupon

rate

or

the

discount

rate

at

the

date

of

purchase.

o

All

or

a

portion

of

the

security

is

held

on

deposit

with

the

counterparty

and

pledged

as

the

initial

margin

deposit

for

open

futures

contracts.

The

following

table

presents

the

total

amount

of

securities

loaned

with

continuous

maturity,

by

type,

offset

by

the

gross

payable

upon

return

of

collateral

for

securities

loaned

by

Thrivent

Balanced

Income

Plus

Portfolio

as

of

March

31,

2020:

Securities

Lending

Transactions

Long-Term

Fixed

Income

$

298,604

Common

Stock

1,735,948

Total

lending

$2,034,552

Gross

amount

payable

upon

return

of              

collateral

for

securities

loaned

$2,138,347

Net

amounts

due

to

counterparty

$103,795

Definitions:

ACES

-

Alternative

Credit

Enhancement

Securities

ADR

-

American

Depositary

Receipt,

which

are

certificates

for

an

underlying

foreign

security's

shares

held

by

an

issuing

U.S.

depository

bank.

CLO

-

Collateralized

Loan

Obligation

ETF

-

Exchange

Traded

Fund

GDR

-

Global

Depository

Receipts,

which

are

certificates

for

shares

of

an

underlying

foreign

security’s

shares

held

by

an

issuing

depository

bank

from

more

than

one

country.

REMIC

-

Real

Estate

Mortgage

Investment

Conduit

REIT

-

Real

Estate

Investment

Trust

is

a

company

that

buys,

develops,

manages

and/or

sells

real

estate

assets.

Ser.

-

Series

SPDR

-

S&P

Depository

Receipts,

which

are

exchange-traded

funds

traded

in

the

U.S.,

Europe,

and

Asia-Pacific

and

managed

by

State

Street

Global

Advisors.

Reference

Rate

Index:

12

MTA

-

12

Month

Treasury

Average

H15T30Y

-

U.

S.

Treasury

Yield

Curve

Rate

Treasury

Note

Constant

Maturity

30

Year

LIBOR

1W

-

ICE

Libor

USD

Rate

1

Week

LIBOR

1M

-

ICE

Libor

USD

Rate

1

Month

LIBOR

2M

-

ICE

Libor

USD

Rate

2

Month

LIBOR

3M

-

ICE

Libor

USD

Rate

3

Month

PRIME

-

Federal

Reserve

Prime

Loan

Rate

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

39

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Balanced

Income

Plus

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Bank

Loans

Basic

Materials

2,238,345

–

1,844,689

393,656

Capital

Goods

5,522,922

–

3,407,562

2,115,360

Communications

Services

14,505,223

–

10,330,570

4,174,653

Consumer

Cyclical

9,519,272

–

8,372,707

1,146,565

Consumer

Non-Cyclical

9,256,347

–

9,163,049

93,298

Energy

3,075,974

–

2,800,874

275,100

Financials

5,798,036

–

5,798,036

–

Technology

5,171,126

–

3,191,630

1,979,496

Transportation

1,130,425

–

662,425

468,000

Utilities

969,918

–

674,185

295,733

Common

Stock

Communications

Services

9,508,888

7,876,736

1,632,152

–

Consumer

Discretionary

13,300,061

10,567,984

2,732,077

–

Consumer

Staples

8,289,376

5,706,579

2,582,797

–

Energy

5,671,541

4,161,234

1,510,307

–

Financials

23,676,936

15,971,024

7,705,912

–

Health

Care

23,137,691

16,752,808

6,384,883

–

Industrials

20,849,630

13,377,523

7,472,107

–

Information

Technology

31,196,978

27,747,638

3,449,340

–

Materials

6,156,453

3,312,676

2,843,777

–

Real

Estate

7,745,190

4,845,034

2,900,156

–

Utilities

3,947,062

3,262,890

684,172

–

Long-Term

Fixed

Income

Asset-Backed

Securities

7,552,839

–

7,552,839

–

Basic

Materials

1,565,818

–

1,565,818

–

Capital

Goods

4,605,474

–

4,605,474

–

Collateralized

Mortgage

Obligations

18,121,899

–

18,121,899

–

Commercial

Mortgage-Backed

Securities

551,643

–

551,643

–

Communications

Services

7,765,905

–

7,765,905

–

Consumer

Cyclical

4,589,062

–

4,589,062

–

Consumer

Non-Cyclical

6,791,270

–

6,791,270

–

Energy

3,521,873

–

3,521,873

–

Financials

16,437,606

–

16,437,606

–

Mortgage-Backed

Securities

15,749,907

–

15,749,907

–

Technology

4,635,765

–

4,635,765

–

Transportation

1,110,826

–

1,110,826

–

Utilities

2,879,850

–

2,879,850

–

Registered

Investment

Companies

Unaffiliated

6,005,373

6,005,373

–

–

Preferred

Stock

Communications

Services

627,690

91,160

536,530

–

Consumer

Staples

295,424

295,424

–

–

Energy

235,099

235,099

–

–

Financials

2,611,527

1,970,309

641,218

–

Health

Care

458,735

–

458,735

–

Industrials

191,057

191,057

–

–

Utilities

231,497

231,497

–

–

Short-Term

Investments

3,499,454

–

3,499,454

–

Subtotal

Investments

in

Securities

$320,702,987

$122,602,045

$187,159,081

$10,941,861

Other

Investments  *

Total

Affiliated

Registered

Investment

Companies

26,841,684

Affiliated

Short-Term

Investments

24,085,500

Collateral

Held

for

Securities

Loaned

2,138,347

Subtotal

Other

Investments

$53,065,531

Total

Investments

at

Value

$373,768,518

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

40

Reference

Description:

CBOT

-

Chicago

Board

of

Trade

CME

-

Chicago

Mercantile

Exchange

EAFE

-

Europe,

Australasia

and

Far

East

ICE

-

Intercontinental

Exchange

MSCI

-

Morgan

Stanley

Capital

International

S&P

-

Standard

&

Poor's

Other

Financial

Instruments

Total

Level

1

Level

2

Level

3

Asset

Derivatives

Futures

Contracts

1,740,493

1,740,493

–

–

Total

Asset

Derivatives

$1,740,493

$1,740,493

$–

$–

Liability

Derivatives

Futures

Contracts

558,322

558,322

–

–

Total

Liability

Derivatives

$558,322

$558,322

$–

$–

The

following

table

presents

Balanced

Income

Plus

Portfolio's

futures

contracts

held

as

of

March

31,

2020.

Investments

and/or

cash

totaling

$3,499,454

were

pledged

as

the

initial

margin

deposit

for

these

contracts.

Futures

Contracts

Description

Number

of

Contracts

Long/(Short)

Expiration

Date

Notional

Principal

Amount

Value

and

Unrealized

CBOT

2-Yr.

U.S.

Treasury

Note

40

June

2020

$

8,657,935

$

157,377

CME

E-mini

Russell

2000

Index

30

June

2020

1,657,940

63,460

CME

E-mini

S&P

500

Index

54

June

2020

6,550,406

387,784

CME

E-mini

S&P

Mid-Cap

400

Index

16

June

2020

1,950,201

350,279

CME

Euro

Foreign

Exchange

Currency

44

June

2020

6,224,597

(

147,372)

CME

Ultra

Long

Term

U.S.

Treasury

Bond

10

June

2020

1,982,299

236,451

Eurex

Euro

STOXX

50

Index

207

June

2020

5,637,234

545,142

Total

Futures

Long

Contracts

$

32,660,612

$

1,593,121

CBOT

10-Yr.

U.S.

Treasury

Note

(21)

June

2020

(

$

2,792,932)

(

$

119,505)

CBOT

5-Yr.

U.S.

Treasury

Note

(1)

June

2020

(

120,750)

(

4,610)

CBOT

U.S.

Long

Bond

(11)

June

2020

(

1,826,566)

(

143,122)

ICE

mini

MSCI

EAFE

Index

(11)

June

2020

(

771,018)

(

86,597)

Ultra

10-Yr.

U.S.

Treasury

Note

(7)

June

2020

(

1,035,102)

(

57,116)

Total

Futures

Short

Contracts

(

$

6,546,368)

($410,950)

Total

Futures

Contracts

$

26,114,244

$1,182,171

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Cash

Management

Trust

for

the

purpose

of

securities

lending

and

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Cash

Management

Trust

and

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Balanced

Income

Plus

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Registered

Investment

Companies

Core

Emerging

Markets

Debt

$29,953

$330

$100

$26,842

3,036

7.4%

Total

Affiliated

Registered

Investment

Companies

29,953

26,842

7.4

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

24,791

46,692

47,363

24,086

2,413

6.6

Total

Affiliated

Short-Term

Investments

24,791

24,086

6.6

Collateral

held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

2,787

16,362

17,011

2,138

2,138

0.6

Total

Collateral

Held

for

Securities

Loaned

2,787

2,138

0.6

Total

Value

$57,531

$53,066

Balanced

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

41

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Registered

Investment

Companies

Core

Emerging

Markets

Debt

$(14)

$(3,327)

–

$330

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

(24)

(10)

–

99

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$429

Collateral

Held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

–

–

–

5

Total

Affiliated

Income

from

Securities

Loaned,

Net

$5

Total

Value

$(38

)

$(3,337)

$–

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

42

Principal

Amount

Bank

Loans

(

11.5%

)

a

Value

Basic

Materials

(0.5%)

Ball

Metalpack

Finco

,

LLC,

Term

Loan

$

137,550

6.113%, 

(LIBOR

3M

+

4.500%),

7/31/2025

b

$

103,163

Big

River

Steel,

LLC,

Term

Loan

550,875

6.450%, 

(LIBOR

3M

+

5.000%),

8/23/2023

b,c

523,331

Chemours

Company,

Term

Loan

436,100

2.740%, 

(LIBOR

1M

+

1.750%),

4/3/2025

b,c

396,851

Hexion

,

Inc.,

Term

Loan

287,825

5.410%, 

(LIBOR

3M

+

3.500%),

7/1/2026

b

239,614

Innophos

Holdings,

Inc.,

Term

Loan

250,000

4.755%, 

(LIBOR

1M

+

3.750%),

2/7/2027

b

211,875

Momentive

Performance

Materials

USA,

LLC,

Term

Loan

461,512

4.240%, 

(LIBOR

1M

+

3.250%),

5/15/2024

b

370,895

Nouryon

USA,

LLC,

Term

Loan

842,816

3.863%, 

(LIBOR

1M

+

3.000%),

10/1/2025

b

750,106

Peabody

Energy

Corporation,

Term

Loan

617,400

3.739%, 

(LIBOR

1M

+

2.750%),

3/31/2025

b

308,700

Pixelle

Specialty

Solutions,

LLC,

Term

Loan

986,234

7.500%, 

(LIBOR

1M

+

6.500%),

10/31/2024

b

855,065

Univar

Solutions

USA,

Inc.,

Term

Loan

199,500

3.450%, 

(LIBOR

3M

+

2.000%),

11/22/2026

b

173,066

Total

3,932,666

Capital

Goods

(1.1%)

Advanced

Disposal

Services,

Inc.,

Term

Loan

483,718

2.894%, 

(LIBOR

1W

+

2.250%),

11/10/2023

b

476,864

BWAY

Holding

Company,

Term

Loan

709,820

5.084%, 

(LIBOR

3M

+

3.250%),

4/3/2024

b

575,401

Flex

Acquisition

Company,

Inc.

Term

Loan

1,000,000

5.159%, 

(LIBOR

3M

+

3.250%),

6/29/2025

b,c

905,000

GFL

Environmental,

Inc.,

Term

Loan

1,364,304

3.990%, 

(LIBOR

1M

+

3.000%),

5/31/2025

b,d,e

1,316,554

Natgasoline

,

LLC,

Term

Loan

592,500

5.438%, 

(LIBOR

3M

+

3.500%),

11/14/2025

b,c

509,550

Navistar,

Inc.,

Term

Loan

1,004,500

4.280%, 

(LIBOR

1M

+

3.500%),

11/6/2024

b

863,870

Reynolds

Group

Holdings,

Inc.,

Term

Loan

299,224

0.000%, 

(LIBOR

1M

+

2.750%),

2/5/2023

b,c,d,e

282,019

TransDigm

,

Inc.,

Term

Loan

1,760,588

3.239%, 

(LIBOR

1M

+

2.250%),

12/9/2025

b

1,597,733

Principal

Amount

Bank

Loans

(11.5%)

a

Value

Capital

Goods

(1.1%)

-

continued

Vertiv

Group

Corporation,

Term

Loan

$

1,675,000

4.581%, 

(LIBOR

1M

+

3.000%),

3/2/2027

b,c

$

1,440,500

Total

7,967,491

Communications

Services

(3.0%)

Altice

France

SA,

Term

Loan

437,625

3.739%, 

(LIBOR

1M

+

2.750%),

7/31/2025

b

401,521

CenturyLink,

Inc.,

Term

Loan

2,548,613

3.239%, 

(LIBOR

1M

+

2.250%),

3/15/2027

b

2,365,444

Charter

Communications

Operating,

LLC,

Term

Loan

740,000

0.000%, 

(LIBOR

1M

+

1.750%),

4/30/2025

b,d,e

708,239

CommScope

,

Inc.,

Term

Loan

1,263,650

4.239%, 

(LIBOR

1M

+

3.250%),

4/4/2026

b,c

1,187,831

Coral-US

Co-Borrower,

LLC,

Term

Loan

2,065,000

3.239%, 

(LIBOR

1M

+

2.250%),

1/31/2028

b

1,923,031

CSC

Holdings,

LLC,

Term

Loan

802,312

2.862%, 

(LIBOR

1M

+

2.250%),

7/17/2025

b

763,537

1,860,000

3.112%, 

(LIBOR

1M

+

2.500%),

4/15/2027

b

1,773,194

Diamond

Sports

Group,

LLC,

Term

Loan

1,243,750

4.180%, 

(LIBOR

1M

+

3.250%),

8/24/2026

b,c

957,688

Entercom

Media

Corporation,

Term

Loan

605,241

3.489%, 

(LIBOR

1M

+

2.500%),

11/17/2024

b,c

544,717

Frontier

Communications

Corporation,

Term

Loan

1,232,921

5.350%, 

(LIBOR

3M

+

3.750%),

6/15/2024

b

1,166,454

HCP

Acquisition,

LLC,

Term

Loan

992,057

4.000%, 

(LIBOR

1M

+

3.000%),

5/16/2024

b

856,472

Intelsat

Jackson

Holdings

SA,

Term

Loan

810,000

5.682%, 

(LIBOR

3M

+

3.750%),

11/27/2023

b

738,112

Mediacom

Illinois,

LLC,

Term

Loan

308,708

2.370%, 

(LIBOR

1W

+

1.750%),

2/15/2024

b,c

296,360

NEP

Group,

Inc.,

Term

Loan

987,500

4.700%, 

(LIBOR

3M

+

3.250%),

10/20/2025

b

603,609

SBA

Senior

Finance

II,

LLC,

Term

Loan

776,341

2.740%, 

(LIBOR

1M

+

1.750%),

4/11/2025

b,d,e

732,090

Sprint

Communications,

Inc.,

Term

Loan

1,182,901

3.500%, 

(LIBOR

1M

+

2.500%),

2/3/2024

b,c

1,174,030

Terrier

Media

Buyer,

Inc.,

Term

Loan

603,488

5.700%, 

(LIBOR

3M

+

4.250%),

12/17/2026

b,c

532,578

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

43

Principal

Amount

Bank

Loans

(11.5%)

a

Value

Communications

Services

(3.0%)

-

continued

TNS,

Inc.,

Term

Loan

$

752,073

5.780%, 

(LIBOR

3M

+

4.000%),

8/14/2022

b

$

621,716

Virgin

Media

Bristol,

LLC,

Term

Loan

1,625,000

3.205%, 

(LIBOR

1M

+

2.500%),

1/31/2028

b

1,495,000

WideOpenWest

Finance,

LLC,

Term

Loan

753,675

4.250%, 

(LIBOR

1M

+

3.250%),

8/19/2023

b

691,497

Windstream

Services,

LLC,

Term

Loan

535,000

3.490%, 

(LIBOR

1M

+

2.500%),

2/26/2021

b

518,950

282,830

8.250%, 

(PRIME

+

5.000%),

3/30/2021

b,f

173,940

Ziggo

Financing

Partnership,

Term

Loan

1,090,000

3.205%, 

(LIBOR

3M

+

2.500%),

4/30/2028

b,c,d,e

1,024,600

Total

21,250,610

Consumer

Cyclical

(1.9%)

1011778

B.C.,

LLC,

Term

Loan

1,755,600

2.739%, 

(LIBOR

1M

+

1.750%),

11/19/2026

b

1,615,152

Boyd

Gaming

Corporation,

Term

Loan

253,323

2.934%, 

(LIBOR

1W

+

2.250%),

9/15/2023

b

217,937

Cengage

Learning,

Inc.,

Term

Loan

976,221

5.250%, 

(LIBOR

1M

+

4.250%),

6/7/2023

b

786,668

Eldorado

Resorts,

Inc.,

Term

Loan

141,569

3.250%, 

(LIBOR

3M

+

2.250%),

4/17/2024

b

123,873

Four

Seasons

Hotels,

Ltd.,

Term

Loan

767,159

2.989%, 

(LIBOR

1M

+

2.000%),

11/30/2023

b

690,443

Golden

Entertainment,

Inc.,

Term

Loan

1,375,125

3.960%, 

(LIBOR

1M

+

3.000%),

10/20/2024

b,c

1,031,344

Golden

Nugget,

LLC,

Term

Loan

1,675,313

3.580%, 

(LIBOR

3M

+

2.500%),

10/4/2023

b

1,298,368

IAA,

Inc.,

Term

Loan

304,763

3.250%, 

(LIBOR

1M

+

2.250%),

6/28/2026

b,c

289,524

LCPR

Loan

Financing,

LLC,

Term

Loan

1,550,000

5.705%, 

(LIBOR

1M

+

5.000%),

10/25/2026

b

1,420,188

Men's

Warehouse,

Inc.,

Term

Loan

599,019

4.831%, 

(LIBOR

3M

+

3.250%),

4/9/2025

b

203,667

Mohegan

Gaming

and

Entertainment,

Term

Loan

1,154,749

5.375%, 

(LIBOR

1M

+

4.375%),

10/13/2023

b

814,098

Scientific

Games

International,

Inc.,

Term

Loan

2,521,340

4.250%, 

(LIBOR

1M

+

2.750%),

8/14/2024

b

2,025,468

Principal

Amount

Bank

Loans

(11.5%)

a

Value

Consumer

Cyclical

(1.9%)

-

continued

Staples,

Inc.,

Term

Loan

$

337,450

6.015%, 

(LIBOR

1M

+

4.500%),

9/12/2024

b,c

$

229,466

1,136,986

6.515%, 

(LIBOR

1M

+

5.000%),

4/12/2026

b

892,534

Stars

Group

Holdings

BV,

Term

Loan

1,197,405

4.950%, 

(LIBOR

3M

+

3.500%),

7/10/2025

b

1,138,528

Tenneco,

Inc.,

Term

Loan

454,250

3.989%, 

(LIBOR

1M

+

3.000%),

10/1/2025

b

311,161

Wyndham

Hotels

&

Resorts,

Inc.,

Term

Loan

526,975

2.739%, 

(LIBOR

1M

+

1.750%),

5/30/2025

b

460,444

Total

13,548,863

Consumer

Non-Cyclical

(1.8%)

Air

Medical

Group

Holdings,

Inc.,

Term

Loan

2,189,600

4.932%, 

(LIBOR

2M

+

3.250%),

4/28/2022

b

2,019,906

239,488

5.863%, 

(LIBOR

3M

+

4.250%),

3/14/2025

b

213,144

Bausch

Health

Companies,

Inc.,

Term

Loan

1,699,625

3.612%, 

(LIBOR

1M

+

3.000%),

6/1/2025

b

1,608,270

Chobani

,

LLC,

Term

Loan

742,333

4.500%, 

(LIBOR

1M

+

3.500%),

10/10/2023

b

658,821

Elanco

Animal

Health,

Inc.,

Term

Loan

275,000

0.000%, 

(LIBOR

1M

+

1.750%),

2/4/2027

b,d,e

259,875

Endo

International

plc,

Term

Loan

791,596

5.250%, 

(LIBOR

1M

+

4.250%),

4/27/2024

b,d,e

706,499

Grifols

Worldwide

Operations

USA,

Inc.,

Term

Loan

728,175

2.684%, 

(LIBOR

1W

+

2.000%),

11/15/2027

b

686,305

JBS

USA

LUX

SA,

Term

Loan

1,223,819

3.072%, 

(LIBOR

3M

+

2.000%),

5/1/2026

b

1,139,021

Libbey

Glass,

Inc.,

Term

Loan

261,864

4.005%, 

(LIBOR

1M

+

3.000%),

4/9/2021

b

106,710

Mallinckrodt

International

Finance

SA,

Term

Loan

495,161

4.704%, 

(LIBOR

3M

+

3.000%),

2/24/2025

b

330,832

McGraw-Hill

Global

Education

Holdings,

LLC,

Term

Loan

724,663

5.450%, 

(LIBOR

3M

+

4.000%),

5/4/2022

b

589,390

MPH

Acquisition

Holdings,

LLC,

Term

Loan

2,003,523

4.200%, 

(LIBOR

3M

+

2.750%),

6/7/2023

b

1,764,763

Ortho-Clinical

Diagnostics

SA,

Term

Loan

1,883,499

4.765%, 

(LIBOR

1M

+

3.250%),

6/30/2025

b

1,593,911

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

44

Principal

Amount

Bank

Loans

(11.5%)

a

Value

Consumer

Non-Cyclical

(1.8%)

-

continued

Plantronics,

Inc.,

Term

Loan

$

404,757

3.470%, 

(LIBOR

3M

+

2.500%),

7/2/2025

b

$

313,080

R.R.

Donnelley

&

Sons

Company,

Term

Loan

138,945

5.989%, 

(LIBOR

1M

+

5.000%),

1/15/2024

b

120,187

Sotera

Health

Holdings,

LLC,

Term

Loan

650,000

5.500%, 

(LIBOR

1M

+

4.500%),

12/13/2026

b

562,861

Total

12,673,575

Energy

(0.7%)

BCP

Raptor

II,

LLC,

Term

Loan

560,762

5.739%, 

(LIBOR

1M

+

4.750%),

11/3/2025

b

308,419

Buckeye

Partners,

LP,

Term

Loan

550,000

0.000%, 

(LIBOR

1M

+

2.750%),

11/1/2026

b,d,e

501,600

Calpine

Corporation,

Term

Loan

784,412

3.240%, 

(LIBOR

1M

+

2.250%),

1/15/2024

b

751,466

CONSOL

Energy,

Inc.,

Term

Loan

594,000

5.490%, 

(LIBOR

1M

+

4.500%),

9/28/2024

b

386,100

Consolidated

Energy

Finance

SA,

Term

Loan

461,775

3.205%, 

(LIBOR

1M

+

2.500%),

5/7/2025

b,c

323,242

Fieldwood

Energy,

LLC,

Term

Loan

810,000

7.027%, 

(LIBOR

3M

+

5.250%),

4/11/2022

b

253,125

McDermott

Technology

(Americas),

Inc.,

Term

Loan

1,267,425

7.250%, 

(PRIME

+

4.000%),

5/10/2025

b,f

359,100

Radiate

Holdco,

LLC,

Term

Loan

2,071,951

3.989%, 

(LIBOR

1M

+

3.000%),

2/1/2024

b

1,899,296

Total

4,782,348

Financials

(1.1%)

Avolon

TLB

Borrower

1

US,

LLC,

Term

Loan

512,088

2.523%, 

(LIBOR

1M

+

1.750%),

1/15/2025

b

454,053

Blackstone

CQP

Holdco,

LP,

Term

Loan

292,788

4.616%, 

(LIBOR

3M

+

3.500%),

9/30/2024

b

227,789

Cyxtera

DC

Holdings,

Inc.,

Term

Loan

950,165

4.000%, 

(LIBOR

1M

+

3.000%),

5/1/2024

b

609,056

135,000

8.050%, 

(LIBOR

1M

+

7.250%),

5/1/2025

b

47,849

Digicel

International

Finance,

Ltd.,

Term

Loan

1,300,007

4.870%, 

(LIBOR

3M

+

3.250%),

5/27/2024

b

1,005,880

GGP

Nimbus,

LLC,

Term

Loan

1,300,200

3.489%, 

(LIBOR

1M

+

2.500%),

8/24/2025

b

910,140

Principal

Amount

Bank

Loans

(11.5%)

a

Value

Financials

(1.1%)

-

continued

Harland

Clarke

Holdings

Corporation,

Term

Loan

$

1,091,062

6.463%, 

(LIBOR

3M

+

4.750%),

11/3/2023

b

$

657,027

Level

3

Financing,

Inc.,

Term

Loan

1,030,000

2.739%, 

(LIBOR

1M

+

1.750%),

3/1/2027

b

957,900

MoneyGram

International,

Inc.,

Term

Loan

558,391

6.989%, 

(LIBOR

1M

+

6.000%),

6/30/2023

b

399,250

NCR

Corporation,

Term

Loan

845,750

3.490%, 

(LIBOR

1M

+

2.500%),

8/28/2026

b

761,175

Northriver

Midstream

Finance,

LP,

Term

Loan

837,879

5.159%, 

(LIBOR

3M

+

3.250%),

10/1/2025

b

639,059

Tronox

Finance,

LLC,

Term

Loan

1,734,763

3.930%, 

(LIBOR

1M

+

2.750%),

9/22/2024

b

1,510,475

Total

8,179,653

Technology

(1.0%)

Clear

Channel

Outdoor

Holdings,

Inc.,

Term

Loan

1,547,225

4.489%, 

(LIBOR

1M

+

3.500%),

8/21/2026

b,c

1,299,669

Prime

Security

Services

Borrower,

LLC,

Term

Loan

2,368,100

4.606%, 

(LIBOR

1M

+

3.250%),

9/23/2026

b

2,114,713

Rackspace

Hosting,

Inc.,

Term

Loan

2,074,548

4.763%, 

(LIBOR

3M

+

3.000%),

11/3/2023

b

1,794,484

SS&C

Technologies,

Inc.,

Term

Loan

358,471

2.739%, 

(LIBOR

1M

+

1.750%),

4/16/2025

b

334,274

255,794

2.739%, 

(LIBOR

1M

+

1.750%),

4/16/2025

b

238,528

Zayo

Group

Holdings,

Inc.,

Term

Loan

1,590,000

3.989%, 

(LIBOR

1M

+

3.000%),

3/9/2027

b,c,d,e

1,494,600

Total

7,276,268

Transportation

(0.2%)

Genesee

&

Wyoming,

Inc.,

Term

Loan

995,000

3.450%, 

(LIBOR

3M

+

2.000%),

12/30/2026

b

948,364

United

Airlines,

Inc.,

Term

Loan

745,000

2.739%, 

(LIBOR

3M

+

1.750%),

4/1/2024

b,c,d,e

670,500

Total

1,618,864

Utilities

(0.2%)

Core

and

Main,

LP,

Term

Loan

630,487

4.331%, 

(LIBOR

1M

+

2.750%),

8/1/2024

b

553,253

EnergySolutions

,

LLC,

Term

Loan

427,388

5.200%, 

(LIBOR

3M

+

3.750%),

5/11/2025

b,c

367,553

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

45

Principal

Amount

Bank

Loans

(11.5%)

a

Value

Utilities

(0.2%)

-

continued

Talen

Energy

Supply,

LLC,

Term

Loan

$

398,000

4.739%, 

(LIBOR

1M

+

3.750%),

7/8/2026

b

$

344,270

Total

1,265,076

Total

Bank

Loans

(cost

$96,470,383)

82,495,414

Principal

Amount

Long-Term

Fixed

Income

(

51.5%

)

Value

Asset-Backed

Securities

(3.9%)

Apidos

CLO

XXIV

1,570,000

3.269%, 

(LIBOR

3M

+

1.450%),

10/20/2030,

Ser.

2016-24A,

Class

A1BR

b,g

1,441,237

Babson

CLO,

Ltd.

1,200,000

4.719%, 

(LIBOR

3M

+

2.900%),

7/20/2029,

Ser.

2018-3A,

Class

D

b,g

925,379

Benefit

Street

Partners

CLO

IV,

Ltd.

1,000,000

3.569%, 

(LIBOR

3M

+

1.750%),

1/20/2029,

Ser.

2014-IVA,

Class

A2RR

b,g

925,539

Business

Jet

Securities,

LLC

1,264,737

4.447%, 

6/15/2033,

Ser.

2018-2,

Class

A

g

1,022,051

Cent

CLO,

LP

2,950,000

4.094%, 

(LIBOR

3M

+

2.300%),

10/25/2028,

Ser.

2018-27A,

Class

B

b,g

2,590,849

Foundation

Finance

Trust

436,047

3.300%, 

7/15/2033,

Ser.

2017-1A,

Class

A

g

435,113

Harley

Marine

Financing,

LLC

1,268,288

5.682%, 

5/15/2043,

Ser.

2018-1A,

Class

A2

g

1,119,264

Madison

Park

Funding

XIV,

Ltd.

1,450,000

3.202%, 

(LIBOR

3M

+

1.400%),

10/22/2030,

Ser.

2014-14A,

Class

A2RR

b,g

1,317,749

Myers

Park

CLO,

Ltd.

1,425,000

3.219%, 

(LIBOR

3M

+

1.400%),

10/20/2030,

Ser.

2018-1A,

Class

A2

b,g

1,305,425

OHA

Credit

Funding

1,

Ltd.

1,215,000

3.269%, 

(LIBOR

3M

+

1.450%),

10/20/2030,

Ser.

2018-1A,

Class

A2

b,g

1,136,669

OZLM

Funding

II,

Ltd.

2,435,000

3.270%, 

(LIBOR

3M

+

1.500%),

7/30/2031,

Ser.

2012-2A,

Class

A1BR

b,g

2,227,842

OZLM

IX,

Ltd.

1,875,000

3.369%, 

(LIBOR

3M

+

1.550%),

10/20/2031,

Ser.

2014-9A,

Class

A1BR

b,g

1,707,041

Palmer

Square

Loan

Funding,

Ltd.

1,000,000

4.069%, 

(LIBOR

3M

+

2.250%),

4/20/2027,

Ser.

2019-1A,

Class

B

b,g

916,919

Park

Avenue

Institutional

Advisers

CLO,

Ltd.

2,400,000

3.319%, 

(LIBOR

3M

+

1.500%),

10/20/2031,

Ser.

2018-1A,

Class

A1B

b,g

2,203,759

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Asset-Backed

Securities

(3.9%)

-

continued

Pretium

Mortgage

Credit

Partners,

LLC

$

1,984,721

3.721%, 

1/25/2059,

Ser.

2019-CFL1,

Class

A1

g,h

$

1,708,809

Riserva

CLO,

Ltd.

1,200,000

3.519%, 

(LIBOR

3M

+

1.700%),

10/18/2028,

Ser.

2016-3A,

Class

BR

b,g

1,109,704

Saxon

Asset

Securities

Trust

184,047

3.765%, 

8/25/2035,

Ser.

2004-2,

Class

MF2

b

153,532

Sound

Point

CLO

X,

Ltd.

1,150,000

4.519%, 

(LIBOR

3M

+

2.700%),

1/20/2028,

Ser.

2015-3A,

Class

DR

b,g

952,469

Sound

Point

CLO

XXI,

Ltd.

2,400,000

3.244%, 

(LIBOR

3M

+

1.450%),

10/26/2031,

Ser.

2018-3A,

Class

A1B

b,g

2,127,941

THL

Credit

Wind

River

CLO,

Ltd.

1,250,000

4.681%, 

(LIBOR

3M

+

2.850%),

7/15/2028,

Ser.

2016-1A,

Class

DR

b,g

1,010,280

Vericrest

Opportunity

Loan

Transferee

1,145,963

3.352%, 

9/25/2049,

Ser.

2019-NPL5,

Class

A1A

g,h

965,679

Voya

CLO,

Ltd.

1,100,000

2.059%, 

(LIBOR

3M

+

1.060%),

4/15/2031,

Ser.

2019-1A,

Class

AR

b,g

1,028,020

Total

28,331,270

Basic

Materials

(0.8%)

Anglo

American

Capital

plc

216,000

4.125%, 

9/27/2022

g

212,921

BHP

Billiton

Finance

USA,

Ltd.

480,000

6.750%, 

10/19/2075

b,g

508,925

Cleveland-Cliffs,

Inc.

500,000

5.750%, 

3/1/2025

386,250

First

Quantum

Minerals,

Ltd.

680,000

7.500%, 

4/1/2025

g

565,889

Freeport-McMoRan,

Inc.

360,000

4.125%, 

3/1/2028

315,140

390,000

4.250%, 

3/1/2030

338,832

Kinross

Gold

Corporation

108,000

5.125%, 

9/1/2021

108,270

Krayton

Polymers,

LLC

480,000

7.000%, 

4/15/2025

g

424,800

Mosaic

Company

55,000

3.250%, 

11/15/2022

53,884

Norbord,

Inc.

520,000

5.750%, 

7/15/2027

g

474,716

Novelis

Corporation

580,000

5.875%, 

9/30/2026

g

569,192

160,000

4.750%, 

1/30/2030

g

142,400

Olin

Corporation

600,000

5.125%, 

9/15/2027

536,139

Peabody

Securities

Finance

Corporation

745,000

6.375%, 

3/31/2025

g

387,400

Syngenta

Finance

NV

200,000

3.933%, 

4/23/2021

g

188,466

Tronox

Finance

plc

550,000

5.750%, 

10/1/2025

g

490,875

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

46

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Basic

Materials

(0.8%)

-

continued

Xstrata

Finance

Canada,

Ltd.

$

163,000

4.950%, 

11/15/2021

g

$

161,427

Total

5,865,526

Capital

Goods

(2.3%)

AECOM

1,105,000

5.125%, 

3/15/2027

994,500

Aerojet

Rocketdyne

Holdings,

Inc.,

Convertible

435,000

2.250%, 

12/15/2023

718,062

Amsted

Industries,

Inc.

665,000

5.625%, 

7/1/2027

g

646,989

Ardagh

Packaging

Finance

plc

940,000

6.000%, 

2/15/2025

g

942,632

Bombardier,

Inc.

880,000

7.500%, 

3/15/2025

g

609,400

Building

Materials

Corporation

of

America

785,000

6.000%, 

10/15/2025

g

771,498

Caterpillar

Financial

Services

Corporation

164,000

1.900%, 

9/6/2022

163,320

171,000

1.950%, 

11/18/2022

170,651

Cemex

SAB

de

CV

300,000

5.450%, 

11/19/2029

g

243,450

Chart

Industries,

Inc.,

Convertible

50,000

1.000%, 

11/15/2024

g

39,076

Cintas

Corporation

No.

2

162,000

2.900%, 

4/1/2022

161,996

CNH

Industrial

Capital,

LLC

165,000

4.875%, 

4/1/2021

161,266

Covanta

Holding

Corporation

470,000

6.000%, 

1/1/2027

391,470

Crown

Americas

Capital

Corporation

IV

730,000

4.500%, 

1/15/2023

747,527

Crown

Cork

&

Seal

Company,

Inc.

410,000

7.375%, 

12/15/2026

420,250

Dycom

Industries,

Inc.,

Convertible

286,000

0.750%, 

9/15/2021

241,313

General

Electric

Company

745,000

5.000%, 

1/21/2021

b,i

614,625

H&E

Equipment

Services,

Inc.

570,000

5.625%, 

9/1/2025

528,675

Huntington

Ingalls

Industries,

Inc.

111,000

3.844%, 

5/1/2025

g

114,291

John

Deere

Capital

Corporation

169,000

1.200%, 

4/6/2023

165,451

171,000

2.050%, 

1/9/2025

170,743

KBR,

Inc.,

Convertible

399,000

2.500%, 

11/1/2023

413,469

L3Harris

Technologies,

Inc.

280,000

4.950%, 

2/15/2021

g

286,010

Lockheed

Martin

Corporation

70,000

2.500%, 

11/23/2020

70,160

Otis

Worldwide

Corporation

172,000

2.056%, 

4/5/2025

g

168,133

Owens-Brockway

Glass

Container,

Inc.

1,070,000

5.000%, 

1/15/2022

g

1,080,861

Parker-Hannifin

Corporation

225,000

2.700%, 

6/14/2024

224,085

Patrick

Industries,

Inc.,

Convertible

228,000

1.000%, 

2/1/2023

179,139

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Capital

Goods

(2.3%)

-

continued

Republic

Services,

Inc.

$

105,000

2.500%, 

8/15/2024

$

105,716

Reynolds

Group

Issuer,

Inc.

1,125,000

5.125%, 

7/15/2023

g

1,116,551

Rockwell

Collins,

Inc.

112,000

2.800%, 

3/15/2022

113,147

Roper

Technologies,

Inc.

270,000

2.800%, 

12/15/2021

270,245

117,000

2.350%, 

9/15/2024

113,750

Standard

Industries,

Inc.

81,000

5.500%, 

2/15/2023

g

78,165

Textron

Financial

Corporation

1,350,000

3.427%, 

(LIBOR

3M

+

1.735%),

2/15/2042

b,g

762,750

TransDigm

,

Inc.

220,000

6.250%, 

3/15/2026

g

218,900

770,000

5.500%, 

11/15/2027

g

691,075

TTM

Technologies,

Inc.,

Convertible

210,000

1.750%, 

12/15/2020

j

235,437

United

Rentals

North

America,

Inc.

1,010,000

4.000%, 

7/15/2030

903,950

United

Technologies

Corporation

237,000

3.950%, 

8/16/2025

259,312

Waste

Management,

Inc.

110,000

2.950%, 

6/15/2024

111,848

WW

Grainger,

Inc.

115,000

1.850%, 

2/15/2025

115,128

Total

16,535,016

Collateralized

Mortgage

Obligations

(9.9%)

Alternative

Loan

Trust

545,884

6.000%, 

8/1/2036,

Ser.

2006-24CB,

Class

A9

375,296

Antler

Mortgage

Trust

1,250,000

4.458%, 

6/27/2022,

Ser.

2019-RTL1,

Class

A1

g

1,089,815

3,600,000

4.335%, 

7/25/2022,

Ser.

2018-RTL1,

Class

A1

g

3,581,293

Banc

of

America

Alternative

Loan

Trust

878,510

6.000%, 

11/25/2035,

Ser.

2005-10,

Class

3CB1

757,915

Banc

of

America

Mortgage

Securities

Trust

1,128,867

3.985%, 

9/25/2035,

Ser.

2005-H,

Class

3A1

b

924,411

Bear

Stearns

Adjustable

Rate

Mortgage

Trust

61,033

4.270%, 

(CMT

1Y

+

2.300%),

10/25/2035,

Ser.

2005-9,

Class

A1

b

56,777

Bellemeade

Re,

Ltd.

1,498,467

2.547%, 

(LIBOR

1M

+

1.600%),

4/25/2028,

Ser.

2018-1A,

Class

M1B

b,g

1,487,074

Cascade

Funding

Mortgage

Trust

969,085

4.580%, 

6/25/2048,

Ser.

2018-RM1,

Class

A1

g

973,700

1,473,826

4.000%, 

10/25/2068,

Ser.

2018-RM2,

Class

A

b,g

1,456,728

CHL

Mortgage

Pass-Through

Trust

1,065,185

3.416%, 

11/20/2035,

Ser.

2005-HYB7,

Class

6A1

b

807,065

363,539

3.861%, 

12/20/2035,

Ser.

2005-HYB8,

Class

3A1

b

317,959

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

47

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Collateralized

Mortgage

Obligations

(9.9%)

-

continued

$

1,292,166

6.000%, 

11/25/2037,

Ser.

2007-18,

Class

1A2

$

957,314

CIM

Trust

813,886

5.000%, 

12/25/2057,

Ser.

2018-R3,

Class

A1

b,g

836,245

Citigroup

Mortgage

Loan

Trust,

Inc.

161,828

5.500%, 

11/25/2035,

Ser.

2005-9,

Class

21A2

151,480

272,141

4.032%, 

3/25/2037,

Ser.

2007-AR4,

Class

2A1A

b

200,229

1,430,816

4.082%, 

4/25/2037,

Ser.

2007-AR5,

Class

1A1A

b

1,198,261

Countrywide

Alternative

Loan

Trust

638,873

5.000%, 

3/25/2035,

Ser.

2005-3CB,

Class

1A1

579,729

271,904

3.358%, 

10/25/2035,

Ser.

2005-43,

Class

4A1

b

229,677

296,100

3.619%, 

10/25/2035,

Ser.

2005-43,

Class

1A1

b

258,577

336,089

5.500%, 

2/25/2036,

Ser.

2005-85CB,

Class

2A2

293,944

258,546

6.000%, 

4/25/2036,

Ser.

2006-4CB,

Class

1A1

158,321

942,394

6.500%, 

8/25/2036,

Ser.

2006-23CB,

Class

2A3

490,159

Countrywide

Home

Loan

Mortgage

Pass

Through

Trust

437,894

3.569%, 

11/25/2035,

Ser.

2005-22,

Class

2A1

b

363,966

Credit

Suisse

Mortgage

Capital

Certificates

667,801

3.393%, 

2/25/2024,

Ser.

2020-BPL1,

Class

A1

g,h

660,733

1,144,572

3.322%, 

10/25/2058,

Ser.

2019-RPL8,

Class

A1

b,g

1,188,098

Deutsche

Alt-A

Securities,

Inc.,

Mortgage

Loan

Trust

909,459

5.250%, 

6/25/2035,

Ser.

2005-3,

Class

4A6

869,742

Eagle

Re,

Ltd.

1,297,088

2.747%, 

(LIBOR

1M

+

1.800%),

4/25/2029,

Ser.

2019-1,

Class

M1B

b,g

1,291,241

Federal

Home

Loan

Mortgage

Corporation

3,182,430

3.500%, 

8/15/2035,

Ser.

345,

Class

C8

k

287,804

Federal

Home

Loan

Mortgage

Corporation

-

REMIC

1,298,503

2.500%, 

12/15/2022,

Ser.

4155,

Class

AI

k

31,614

771,614

2.500%, 

5/15/2027,

Ser.

4106,

Class

HI

k

38,422

2,698,288

3.000%, 

5/15/2027,

Ser.

4046,

Class

GI

k

163,898

2,059,955

3.000%, 

7/15/2027,

Ser.

4084,

Class

NI

k

140,086

3,046,245

3.000%, 

7/15/2027,

Ser.

4074,

Class

IO

k

207,085

1,032,614

2.500%, 

2/15/2028,

Ser.

4162,

Class

AI

k

58,294

2,134,638

2.500%, 

2/15/2028,

Ser.

4161,

Class

UI

k

118,257

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Collateralized

Mortgage

Obligations

(9.9%)

-

continued

$

2,989,654

2.500%, 

3/15/2028,

Ser.

4177,

Class

EI

k

$

175,549

3,179,026

3.500%, 

10/15/2032,

Ser.

4119,

Class

KI

k

396,958

1,495,609

3.000%, 

2/15/2033,

Ser.

4170,

Class

IG

k

141,439

3,312,341

3.000%, 

4/15/2033,

Ser.

4203,

Class

DI

k

267,660

Federal

National

Mortgage

Association

-

REMIC

4,503,484

3.000%, 

7/25/2027,

Ser.

2012-73,

Class

DI

k

271,877

2,818,869

3.000%, 

7/25/2027,

Ser.

2012-74,

Class

AI

k

152,374

5,411,404

3.000%, 

8/25/2027,

Ser.

2012-95,

Class

HI

k

291,694

2,880,313

3.500%, 

9/25/2027,

Ser.

2012-98,

Class

YI

k

210,962

7,235,499

3.000%, 

11/25/2027,

Ser.

2012-121,

Class

BI

k

462,188

3,736,968

3.000%, 

12/25/2027,

Ser.

2012-139,

Class

DI

k

215,656

1,964,727

2.500%, 

1/25/2028,

Ser.

2012-152,

Class

AI

k

113,490

5,051,063

3.000%, 

1/25/2028,

Ser.

2012-147,

Class

EI

k

298,583

1,425,215

2.500%, 

2/25/2028,

Ser.

2013-46,

Class

CI

k

67,811

2,597,180

3.000%, 

2/25/2028,

Ser.

2013-2,

Class

GI

k

170,298

950,805

3.000%, 

4/25/2028,

Ser.

2013-30,

Class

DI

k

65,142

3,552,514

3.000%, 

11/25/2031,

Ser.

2013-69,

Class

IO

k

183,545

1,978,265

3.000%, 

2/25/2033,

Ser.

2013-1,

Class

YI

k

216,964

First

Horizon

Alternative

Mortgage

Securities

Trust

286,017

3.676%, 

3/25/2035,

Ser.

2005-AA2,

Class

1A1

b

237,982

302,880

3.787%, 

7/25/2035,

Ser.

2005-AA5,

Class

2A1

b

269,171

First

Horizon

Mortgage

Pass-Through

Trust

257,330

4.814%, 

8/25/2037,

Ser.

2007-AR2,

Class

1A2

b

163,179

Genworth

Mortgage

Insurance

Corporation

700,000

2.847%, 

(LIBOR

1M

+

1.900%),

11/26/2029,

Ser.

2019-1,

Class

M1

b,g

664,670

GMAC

Mortgage

Corporation

Loan

Trust

580,737

3.927%, 

5/25/2035,

Ser.

2005-AR2,

Class

4A

b

481,536

Government

National

Mortgage

Association

920,199

4.000%, 

1/16/2027,

Ser.

2012-3,

Class

IO

k

68,424

Greenpoint

Mortgage

Funding

Trust

398,884

1.147%, 

(LIBOR

1M

+

0.200%),

10/25/2045,

Ser.

2005-AR4,

Class

G41B

b

320,676

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

48

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Collateralized

Mortgage

Obligations

(9.9%)

-

continued

IndyMac

IMJA

Mortgage

Loan

Trust

$

695,975

6.250%, 

11/25/2037,

Ser.

2007-A3,

Class

A1

$

441,990

IndyMac

INDX

Mortgage

Loan

Trust

2,098,802

1.157%, 

(LIBOR

1M

+

0.210%),

4/25/2046,

Ser.

2006-AR2,

Class

1A1B

b

1,671,962

J.P.

Morgan

Alternative

Loan

Trust

635,186

6.500%, 

3/25/2036,

Ser.

2006-S1,

Class

1A19

464,807

J.P.

Morgan

Mortgage

Trust

119,639

6.500%, 

1/25/2035,

Ser.

2005-S1,

Class

1A2

123,561

498,317

4.018%, 

2/25/2036,

Ser.

2006-A1,

Class

2A2

b

401,058

Legacy

Mortgage

Asset

Trust

1,688,874

4.000%, 

1/25/2059,

Ser.

2019-GS1,

Class

A1

g

1,523,507

1,809,971

3.250%, 

11/25/2059,

Ser.

2019-GS7,

Class

A1

g,h

1,826,650

Lehman

Mortgage

Trust

212,834

1.697%, 

(LIBOR

1M

+

0.750%),

12/25/2035,

Ser.

2005-2,

Class

3A1

b

129,728

Master

Asset

Securitization

Trust

816,000

1.447%, 

(LIBOR

1M

+

0.500%),

6/25/2036,

Ser.

2006-2,

Class

2A2

b

241,638

MASTR

Alternative

Loans

Trust

263,852

1.397%, 

(LIBOR

1M

+

0.450%),

12/25/2035,

Ser.

2005-6,

Class

2A1

b

59,338

Merrill

Lynch

Alternative

Note

Asset

Trust

353,626

6.000%, 

3/25/2037,

Ser.

2007-F1,

Class

2A1

227,508

Merrill

Lynch

Mortgage

Investors

Trust

801,322

4.300%, 

6/25/2035,

Ser.

2005-A5,

Class

M1

b

344,197

Oaktown

Re

II,

Ltd.

826,866

2.497%, 

(LIBOR

1M

+

1.550%),

7/25/2028,

Ser.

2018-1A,

Class

M1

b,g

822,519

Preston

Ridge

Partners

Mortgage

Trust,

LLC

381,018

4.500%, 

1/25/2024,

Ser.

2019-1A,

Class

A1

g,h

384,601

1,480,250

3.967%, 

4/25/2024,

Ser.

2019-2A,

Class

A1

g,h

1,324,039

1,544,867

3.500%, 

10/25/2024,

Ser.

2019-GS1,

Class

A1

b,g

1,536,040

1,146,946

4.750%, 

10/25/2024,

Ser.

2019-GS1,

Class

A2

b,g

1,145,549

532,020

3.351%, 

11/25/2024,

Ser.

2019-4A,

Class

A1

g,h

523,809

Pretium

Mortgage

Credit

Partners,

LLC

982,541

2.858%, 

5/27/2059,

Ser.

2020-NPL1,

Class

A1

g,h

767,500

Radnor

RE,

Ltd.

629,565

2.347%, 

(LIBOR

1M

+

1.400%),

3/25/2028,

Ser.

2018-1,

Class

M1

b,g

628,162

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Collateralized

Mortgage

Obligations

(9.9%)

-

continued

$

1,700,000

3.647%, 

(LIBOR

1M

+

2.700%),

3/25/2028,

Ser.

2018-1,

Class

M2

b,g

$

1,713,805

RCO

Mortgage,

LLC

898,305

3.475%, 

11/25/2024,

Ser.

2019-2,

Class

A1

g,h

853,586

892,425

3.197%, 

11/25/2052,

Ser.

2017-INV1,

Class

A

b,g

853,519

Renaissance

Home

Equity

Loan

Trust

1,164,223

5.797%, 

8/25/2036,

Ser.

2006-2,

Class

AF3

h

588,358

Residential

Accredit

Loans,

Inc.

Trust

664,053

6.000%, 

8/25/2035,

Ser.

2005-QS10,

Class

2A

604,368

306,883

5.750%, 

9/25/2035,

Ser.

2005-QS13,

Class

2A3

275,663

384,392

6.000%, 

1/25/2037,

Ser.

2007-QS1,

Class

1A1

329,639

654,763

5.750%, 

4/25/2037,

Ser.

2007-QS6,

Class

A28

553,282

401,221

6.250%, 

4/25/2037,

Ser.

2007-QS6,

Class

A6

349,142

174,420

6.000%, 

6/25/2037,

Ser.

2007-QS8,

Class

A10

145,971

Residential

Asset

Securitization

Trust

469,940

6.207%, 

8/25/2022,

Ser.

2007-A8,

Class

3A1

b

344,159

600,636

3.475%, 

1/25/2034,

Ser.

2004-IP1,

Class

A1

b

524,102

1,337,164

5.500%, 

4/25/2035,

Ser.

2005-A1,

Class

A3

1,371,107

Residential

Funding

Mortgage

Security

I

Trust

902,033

6.000%, 

7/25/2037,

Ser.

2007-S7,

Class

A20

801,515

Sequoia

Mortgage

Trust

800,137

3.676%, 

9/20/2046,

Ser.

2007-1,

Class

4A1

b

564,064

Stanwich

Mortgage

Loan

Trust

650,549

3.475%, 

11/16/2024,

Ser.

2019-NPB2,

Class

A1

g,h

635,450

Starwood

Mortgage

Residential

Trust

1,228,459

4.121%, 

10/25/2048,

Ser.

2018-IMC2,

Class

A1

b,g

1,206,683

Structured

Adjustable

Rate

Mortgage

Loan

Trust

266,669

4.212%, 

7/25/2035,

Ser.

2005-15,

Class

4A1

b

214,034

175,038

4.035%, 

9/25/2035,

Ser.

2005-18,

Class

1A1

b

124,851

Structured

Asset

Mortgage

Investments,

Inc.

633,493

1.257%, 

(LIBOR

1M

+

0.310%),

12/25/2035,

Ser.

2005-AR4,

Class

A1

b

538,798

Toorak

Mortgage

Corporation

1,750,000

4.375%, 

8/25/2021,

Ser.

2018-1,

Class

A1

g,h

1,526,994

2,000,000

4.458%, 

3/25/2022,

Ser.

2019-1,

Class

A1

g,h

1,752,633

1,250,000

2.734%, 

3/25/2023,

Ser.

2020-1,

Class

A1

g,h

1,234,588

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

49

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Collateralized

Mortgage

Obligations

(9.9%)

-

continued

Vericrest

Opportunity

Loan

Transferee

$

1,080,798

2.981%, 

3/25/2050,

Ser.

2020-NPL4,

Class

A1

g,h

$

943,404

1,750,000

3.475%, 

3/25/2050,

Ser.

2020-NPL5,

Class

A1B

g,h

1,268,307

639,377

3.352%, 

8/25/2049,

Ser.

2019-NPL4,

Class

A1A

g,h

579,884

3,600,000

4.090%, 

11/25/2049,

Ser.

2019-NPL8,

Class

A1B

g,h

2,681,712

2,200,000

4.090%, 

11/26/2049,

Ser.

2019-NPL9,

Class

A1B

g,h

1,650,653

407,390

3.426%, 

12/27/2049,

Ser.

2019-NP10,

Class

A1A

g,h

374,627

Verus

Securitization

Trust

1,057,858

3.345%, 

5/25/2059,

Ser.

2019-2,

Class

A2

b,g

1,035,629

WaMu

Mortgage

Pass

Through

Certificates

762,994

2.846%, 

(12

MTA

+

0.880%),

10/25/2046,

Ser.

2006-AR13,

Class

1A

b

604,291

841,821

2.234%, 

(COF

11

+

1.250%),

3/25/2047,

Ser.

2007-OA2,

Class

2A

b

695,582

Washington

Mutual

Mortgage

Pass

Through

Certificates

401,585

6.000%, 

11/25/2035,

Ser.

2005-10,

Class

2A9

351,159

809,076

7.000%, 

4/25/2037,

Ser.

2007-2,

Class

1A1

407,344

Washington

Mutual

Mortgage

Pass-

Through

Certificates

338,704

6.000%, 

3/25/2035,

Ser.

2005-1,

Class

2A

310,139

Total

71,106,242

Commercial

Mortgage-Backed

Securities

(0.3%)

Federal

National

Mortgage

Association

-

ACES

20,951,597

1.468%, 

2/25/2031,

Ser.

2019-M21,

Class

X2

b,k

2,316,901

Total

2,316,901

Communications

Services

(3.5%)

AMC

Networks,

Inc.

570,000

5.000%, 

4/1/2024

547,200

American

Tower

Corporation

60,000

2.800%, 

6/1/2020

59,529

115,000

3.450%, 

9/15/2021

115,584

176,000

3.375%, 

5/15/2024

176,810

112,000

2.950%, 

1/15/2025

111,867

AT&T,

Inc.

452,000

4.450%, 

4/1/2024

478,783

British

Sky

Broadcasting

Group

plc

110,000

3.125%, 

11/26/2022

g

111,871

CCO

Holdings,

LLC

700,000

5.500%, 

5/1/2026

g

708,820

460,000

5.125%, 

5/1/2027

g

462,976

1,130,000

4.750%, 

3/1/2030

g

1,127,175

Charter

Communications

Operating,

LLC

311,000

3.579%, 

7/23/2020

310,033

170,000

4.500%, 

2/1/2024

175,186

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Communications

Services

(3.5%)

-

continued

$

120,000

4.908%, 

7/23/2025

$

129,274

Clear

Channel

Worldwide

Holdings,

Inc.

490,000

5.125%, 

8/15/2027

g

458,836

Comcast

Corporation

216,000

1.625%, 

1/15/2022

216,510

117,000

3.700%, 

4/15/2024

125,577

117,000

3.950%, 

10/15/2025

128,816

Cox

Communications,

Inc.

171,000

2.950%, 

6/30/2023

g

171,090

Crown

Castle

International

Corporation

140,000

3.400%, 

2/15/2021

140,942

109,000

3.150%, 

7/15/2023

109,398

118,000

4.450%, 

2/15/2026

123,225

CSC

Holdings,

LLC

725,000

5.500%, 

5/15/2026

g

749,904

Deutsche

Telekom

International

Finance

BV

105,000

2.485%, 

9/19/2023

g

103,772

Discovery

Communications,

LLC

216,000

2.950%, 

3/20/2023

215,543

DISH

Network

Corporation,

Convertible

1,989,000

3.375%, 

8/15/2026

1,614,773

Embarq

Corporation

480,000

7.995%, 

6/1/2036

475,200

Fox

Corporation

229,000

4.030%, 

1/25/2024

g

237,920

Front

Range

BidCo

,

Inc.

640,000

4.000%, 

3/1/2027

g

612,400

GCI

Liberty,

Inc.,

Convertible

1,239,000

1.750%, 

9/30/2046

g

1,559,613

Gray

Escrow,

Inc.

460,000

7.000%, 

5/15/2027

g

457,700

iHeartCommunications

,

Inc.

690,000

4.750%, 

1/15/2028

g

621,000

Lamar

Media

Corporation

330,000

3.750%, 

2/15/2028

g

309,335

Level

3

Financing,

Inc.

235,000

5.250%, 

3/15/2026

234,853

1,090,000

4.625%, 

9/15/2027

g

1,083,351

Liberty

Interactive,

LLC,

Convertible

172,000

3.500%, 

1/15/2031

120,876

Moody's

Corporation

108,000

2.750%, 

12/15/2021

107,191

Neptune

Finco

Corporation

512,000

10.875%, 

10/15/2025

g

551,680

Netflix,

Inc.

905,000

4.875%, 

4/15/2028

923,100

Nexstar

Escrow

Corporation

316,000

5.625%, 

8/1/2024

g

297,432

400,000

5.625%, 

7/15/2027

g

391,000

SFR

Group

SA

650,000

7.375%, 

5/1/2026

g

656,500

Sirius

XM

Radio,

Inc.

940,000

5.000%, 

8/1/2027

g

954,006

Sprint

Corporation

940,000

7.250%, 

9/15/2021

968,858

960,000

7.625%, 

2/15/2025

1,062,384

Telesat

Canada

/

Telesat

,

LLC

520,000

4.875%, 

6/1/2027

g

496,496

T-Mobile

USA,

Inc.

1,410,000

4.500%, 

2/1/2026

1,434,675

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

50

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Communications

Services

(3.5%)

-

continued

Twitter,

Inc.,

Convertible

$

276,000

0.250%, 

6/15/2024

$

247,503

VeriSign,

Inc.

540,000

4.750%, 

7/15/2027

559,656

Verizon

Communications,

Inc.

67,000

2.946%, 

3/15/2022

68,338

219,000

2.792%, 

(LIBOR

3M

+

1.100%),

5/15/2025

b

199,624

Viacom,

Inc.

161,000

4.250%, 

9/1/2023

164,170

270,000

5.875%, 

2/28/2057

b

229,837

Virgin

Media

Secured

Finance

plc

865,000

5.500%, 

8/15/2026

g

877,975

Vodafone

Group

plc

165,000

3.750%, 

1/16/2024

171,799

Windstream

Services,

LLC

520,000

8.625%, 

10/31/2025

f,g

312,000

Ziggo

BV

423,000

5.500%, 

1/15/2027

g

423,000

Total

25,482,966

Consumer

Cyclical

(2.5%)

1011778

B.C.,

ULC

960,000

4.375%, 

1/15/2028

g

886,944

Allison

Transmission,

Inc.

675,000

5.000%, 

10/1/2024

g

654,750

American

Honda

Finance

Corporation

163,000

2.050%, 

1/10/2023

160,521

BMW

Finance

NV

109,000

2.250%, 

8/12/2022

g

104,292

Brookfield

Property

REIT,

Inc.

315,000

5.750%, 

5/15/2026

g

255,585

Brookfield

Residential

Properties,

Inc.

920,000

6.250%, 

9/15/2027

g

798,008

Cedar

Fair,

LP

380,000

5.250%, 

7/15/2029

g

321,100

D.R.

Horton,

Inc.

160,000

2.550%, 

12/1/2020

157,774

Daimler

Finance

North

America,

LLC

118,000

2.550%, 

8/15/2022

g

113,132

Ford

Motor

Credit

Company,

LLC

990,000

4.063%, 

11/1/2024

898,425

1,020,000

4.134%, 

8/4/2025

904,740

General

Motors

Financial

Company,

Inc.

162,000

2.650%, 

4/13/2020

161,874

162,000

4.375%, 

9/25/2021

149,137

118,000

4.200%, 

11/6/2021

112,190

108,000

3.150%, 

6/30/2022

97,495

233,000

3.950%, 

4/13/2024

211,174

171,000

2.900%, 

2/26/2025

147,797

Hanesbrands,

Inc.

700,000

4.875%, 

5/15/2026

g

687,750

Harley-Davidson

Financial

Services,

Inc.

180,000

4.050%, 

2/4/2022

g

175,960

Herc

Holdings,

Inc.

260,000

5.500%, 

7/15/2027

g

241,800

Hilton

Domestic

Operating

Company,

Inc.

920,000

4.875%, 

1/15/2030

782,000

Home

Depot,

Inc.

110,000

2.000%, 

4/1/2021

110,146

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Consumer

Cyclical

(2.5%)

-

continued

$

65,000

2.625%, 

6/1/2022

$

66,116

111,000

3.750%, 

2/15/2024

117,212

Hyundai

Capital

America

165,000

3.000%, 

6/20/2022

g

160,270

L

Brands,

Inc.

260,000

6.694%, 

1/15/2027

187,720

Landry's,

Inc.

490,000

6.750%, 

10/15/2024

g

308,646

Lennar

Corporation

161,000

2.950%, 

11/29/2020

156,975

65,000

4.125%, 

1/15/2022

64,350

172,000

4.875%, 

12/15/2023

168,560

1,180,000

4.500%, 

4/30/2024

1,154,087

58,000

5.875%, 

11/15/2024

58,667

Live

Nation

Entertainment,

Inc.,

Convertible

325,000

2.500%, 

3/15/2023

308,922

Lowe's

Companies,

Inc.

111,000

4.000%, 

4/15/2025

118,658

Mattamy

Group

Corporation

830,000

5.250%, 

12/15/2027

g

771,900

McDonald's

Corporation

226,000

3.350%, 

4/1/2023

233,463

MGM

Resorts

International

325,000

6.000%, 

3/15/2023

313,625

575,000

5.750%, 

6/15/2025

514,625

Prime

Security

Services

Borrower,

LLC

990,000

5.750%, 

4/15/2026

g

970,200

Ralph

Lauren

Corporation

70,000

2.625%, 

8/18/2020

70,067

Ryman

Hospitality

Properties,

Inc.

320,000

4.750%, 

10/15/2027

g

240,000

Scientific

Games

International,

Inc.

470,000

5.000%, 

10/15/2025

g

408,900

170,000

7.000%, 

5/15/2028

g

104,550

ServiceMaster

Company,

LLC

930,000

5.125%, 

11/15/2024

g

918,375

Six

Flags

Entertainment

Corporation

290,000

5.500%, 

4/15/2027

g

244,325

Staples,

Inc.

520,000

7.500%, 

4/15/2026

g

455,003

Starbucks

Corporation

115,000

2.100%, 

2/4/2021

115,075

Target

Corporation

111,000

2.250%, 

4/15/2025

112,691

TJX

Companies,

Inc.

111,000

3.500%, 

4/15/2025

113,532

Viking

Cruises,

Ltd.

305,000

5.875%, 

9/15/2027

g

178,459

Visa,

Inc.

70,000

2.200%, 

12/14/2020

70,356

Volkswagen

Group

of

America

Finance,

LLC

200,000

4.250%, 

11/13/2023

g

197,606

Yum!

Brands,

Inc.

700,000

4.750%, 

1/15/2030

g

651,980

Total

17,687,509

Consumer

Non-Cyclical

(3.4%)

Abbott

Laboratories

216,000

2.550%, 

3/15/2022

217,863

113,000

3.400%, 

11/30/2023

118,718

AbbVie,

Inc.

108,000

2.900%, 

11/6/2022

109,247

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

51

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Consumer

Non-Cyclical

(3.4%)

-

continued

$

233,000

2.300%, 

11/21/2022

g

$

232,786

349,000

3.600%, 

5/14/2025

367,697

Albertson's

Companies,

Inc.

805,000

6.625%, 

6/15/2024

817,075

190,000

4.875%, 

2/15/2030

g

188,100

Allergan

Sales,

LLC

53,000

4.875%, 

2/15/2021

g

53,821

Allergan,

Inc.

107,000

2.800%, 

3/15/2023

106,373

Altria

Group,

Inc.

173,000

3.800%, 

2/14/2024

175,375

113,000

4.400%, 

2/14/2026

117,017

Amgen,

Inc.

172,000

1.900%, 

2/21/2025

173,105

Anheuser-Busch

Companies,

LLC

113,000

3.650%, 

2/1/2026

118,678

Anheuser-Busch

InBev

Finance,

Inc.

97,000

3.300%, 

2/1/2023

99,813

Anheuser-Busch

InBev

Worldwide,

Inc.

177,000

4.150%, 

1/23/2025

190,926

Avantor

,

Inc.

510,000

6.000%, 

10/1/2024

g

534,327

B&G

Foods,

Inc.

500,000

5.250%, 

9/15/2027

487,500

BAT

Capital

Corporation

110,000

2.764%, 

8/15/2022

108,338

177,000

3.222%, 

8/15/2024

177,780

Bausch

Health

Companies,

Inc.

440,000

7.000%, 

1/15/2028

g

456,280

120,000

5.000%, 

1/30/2028

g

113,604

120,000

5.250%, 

1/30/2030

g

112,200

Bayer

U.S.

Finance

II,

LLC

213,000

3.500%, 

6/25/2021

g

213,412

Becton,

Dickinson

and

Company

304,000

3.363%, 

6/6/2024

304,658

Boston

Scientific

Corporation

241,000

3.450%, 

3/1/2024

247,313

Bristol-Myers

Squibb

Company

177,000

3.625%, 

5/15/2024

g

187,027

Bunge,

Ltd.

Finance

Corporation

70,000

3.500%, 

11/24/2020

70,580

Cardtronics

,

Inc.,

Convertible

270,000

1.000%, 

12/1/2020

256,960

Centene

Corporation

920,000

4.750%, 

1/15/2025

931,500

172,000

5.375%, 

8/15/2026

g

175,440

150,000

4.250%, 

12/15/2027

g

150,285

360,000

4.625%, 

12/15/2029

g

361,800

Cigna

Corporation

235,000

4.125%, 

11/15/2025

251,630

Conagra

Brands,

Inc.

118,000

3.800%, 

10/22/2021

118,919

118,000

4.300%, 

5/1/2024

122,517

Constellation

Brands,

Inc.

220,000

4.250%, 

5/1/2023

221,989

CVS

Health

Corporation

108,000

2.750%, 

12/1/2022

108,723

327,000

3.700%, 

3/9/2023

340,403

220,000

4.100%, 

3/25/2025

231,532

Encompass

Health

Corporation

480,000

4.500%, 

2/1/2028

470,760

Energizer

Holdings,

Inc.

780,000

6.375%, 

7/15/2026

g

787,800

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Consumer

Non-Cyclical

(3.4%)

-

continued

Express

Scripts

Holding

Company

$

108,000

4.750%, 

11/15/2021

$

113,464

General

Mills,

Inc.

110,000

3.700%, 

10/17/2023

111,960

110,000

3.650%, 

2/15/2024

113,782

HCA,

Inc.

1,350,000

5.375%, 

2/1/2025

1,373,612

Imperial

Brands

Finance

plc

105,000

3.125%, 

7/26/2024

g

102,652

JBS

USA,

LLC

470,000

5.750%, 

6/15/2025

g

474,700

990,000

5.500%, 

1/15/2030

g

1,022,175

Kellogg

Company

220,000

3.125%, 

5/17/2022

218,337

Keurig

Dr

Pepper,

Inc.

224,000

3.551%, 

5/25/2021

226,598

Kraft

Foods

Group,

Inc.

500,000

5.000%, 

6/4/2042

473,933

Kraft

Heinz

Foods

Company

750,000

3.750%, 

4/1/2030

g

715,314

Kroger

Company

110,000

2.800%, 

8/1/2022

111,527

Mead

Johnson

Nutrition

Company

70,000

3.000%, 

11/15/2020

69,864

Medtronic,

Inc.

57,000

3.500%, 

3/15/2025

61,395

Mondelez

International

Holdings

Netherlands

BV

162,000

2.000%, 

10/28/2021

g

161,287

Mylan

NV

148,000

3.150%, 

6/15/2021

146,636

Mylan,

Inc.

105,000

4.200%, 

11/29/2023

100,067

Novartis

Capital

Corporation

114,000

1.750%, 

2/14/2025

115,143

Par

Pharmaceutical,

Inc.

470,000

7.500%, 

4/1/2027

g

467,650

PepsiCo,

Inc.

168,000

2.250%, 

3/19/2025

174,399

Pernod

Ricard

SA

190,000

5.750%, 

4/7/2021

g

195,500

Post

Holdings,

Inc.

560,000

5.750%, 

3/1/2027

g

573,838

Reynolds

American,

Inc.

110,000

4.850%, 

9/15/2023

114,445

Scotts

Miracle-

Gro

Company

530,000

4.500%, 

10/15/2029

504,825

Shire

Acquisitions

Investments

Ireland

Designated

Activity

Company

216,000

2.400%, 

9/23/2021

215,192

Simmons

Foods,

Inc.

380,000

5.750%, 

11/1/2024

g

344,964

Spectrum

Brands,

Inc.

700,000

5.750%, 

7/15/2025

654,500

240,000

5.000%, 

10/1/2029

g

204,000

Sysco

Corporation

223,000

5.650%, 

4/1/2025

232,195

Teleflex,

Inc.

725,000

4.875%, 

6/1/2026

706,875

Tenet

Healthcare

Corporation

240,000

4.625%, 

7/15/2024

228,600

700,000

5.125%, 

11/1/2027

g

668,500

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

52

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Consumer

Non-Cyclical

(3.4%)

-

continued

Teva

Pharmaceutical

Finance

Netherlands

III

BV

$

52,000

2.200%, 

7/21/2021

$

49,669

440,000

2.800%, 

7/21/2023

401,496

Thermo

Fisher

Scientific,

Inc.

112,000

4.133%, 

3/25/2025

120,009

Tyson

Foods,

Inc.

98,000

4.500%, 

6/15/2022

101,313

UnitedHealth

Group,

Inc.

70,000

3.350%, 

7/15/2022

72,441

VRX

Escrow

Corporation

1,895,000

6.125%, 

4/15/2025

g

1,866,575

Zoetis,

Inc.

161,000

3.450%, 

11/13/2020

159,420

161,000

3.250%, 

2/1/2023

164,579

Total

24,563,302

Energy

(1.8%)

Archrock

Partners,

LP

290,000

6.250%, 

4/1/2028

g

200,100

BP

Capital

Markets

America,

Inc.

442,000

2.520%, 

9/19/2022

438,622

Buckeye

Partners,

LP

120,000

4.125%, 

3/1/2025

g

101,160

390,000

3.950%, 

12/1/2026

319,683

140,000

4.125%, 

12/1/2027

114,758

Canadian

Natural

Resources,

Ltd.

110,000

2.950%, 

1/15/2023

95,291

Canadian

Oil

Sands,

Ltd.

108,000

9.400%, 

9/1/2021

g

116,332

Cheniere

Corpus

Christi

Holdings,

LLC

800,000

7.000%, 

6/30/2024

702,150

Cheniere

Energy

Partners,

LP

1,120,000

5.625%, 

10/1/2026

1,041,600

Chesapeake

Energy

Corporation

285,000

11.500%, 

1/1/2025

g

45,600

Continental

Resources,

Inc.

59,000

5.000%, 

9/15/2022

36,576

176,000

4.500%, 

4/15/2023

96,806

Diamondback

Energy,

Inc.

117,000

2.875%, 

12/1/2024

81,737

Enagas

SA

1,490,000

5.500%, 

1/15/2028

g

774,800

Enbridge,

Inc.

110,000

2.900%, 

7/15/2022

101,014

887,000

6.250%, 

3/1/2078

b

665,250

Energy

Transfer

Operating,

LP

112,000

4.200%, 

9/15/2023

97,827

220,000

5.875%, 

1/15/2024

207,765

264,000

6.625%, 

2/15/2028

b,i

130,680

EnLink

Midstream

Partners,

LP

560,000

4.850%, 

7/15/2026

275,352

Enterprise

Products

Operating,

LLC

440,000

4.875%, 

8/16/2077

b

302,192

EOG

Resources,

Inc.

180,000

2.625%, 

3/15/2023

176,440

EQT

Corporation

130,000

3.900%, 

10/1/2027

89,661

Exxon

Mobil

Corporation

113,000

2.992%, 

3/19/2025

119,067

Hess

Corporation

112,000

3.500%, 

7/15/2024

88,941

Kinder

Morgan

Energy

Partners,

LP

216,000

3.450%, 

2/15/2023

211,100

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Energy

(1.8%)

-

continued

Marathon

Petroleum

Corporation

$

110,000

4.750%, 

12/15/2023

$

104,152

MPLX,

LP

162,000

4.500%, 

7/15/2023

139,413

Murphy

Oil

Corporation

590,000

5.875%, 

12/1/2027

308,452

Nabors

Industries,

Inc.

440,000

5.750%, 

2/1/2025

96,800

Nabors

Industries,

Ltd.

150,000

7.250%, 

1/15/2026

g

51,000

Newfield

Exploration

Company

172,000

5.625%, 

7/1/2024

92,314

Occidental

Petroleum

Corporation

48,000

4.850%, 

3/15/2021

40,210

ONEOK,

Inc.

57,000

2.200%, 

9/15/2025

43,987

Parsley

Energy,

LLC

730,000

5.625%, 

10/15/2027

g

514,650

Plains

All

American

Pipeline,

LP

247,000

5.000%, 

2/1/2021

240,962

260,000

6.125%, 

11/15/2022

b,i

130,000

60,000

2.850%, 

1/31/2023

52,232

Sabine

Pass

Liquefaction,

LLC

108,000

6.250%, 

3/15/2022

104,755

108,000

5.625%, 

4/15/2023

100,487

Southwestern

Energy

Company

840,000

7.500%, 

4/1/2026

550,200

Sunoco

Logistics

Partners

Operations,

LP

175,000

4.400%, 

4/1/2021

174,443

Sunoco,

LP

475,000

5.500%, 

2/15/2026

411,008

460,000

5.875%, 

3/15/2028

381,800

Targa

Resources

Partners,

LP

570,000

5.375%, 

2/1/2027

469,110

Transocean

Guardian,

Ltd.

421,675

5.875%, 

1/15/2024

g

337,340

Transocean,

Ltd.

380,000

8.000%, 

2/1/2027

g

180,500

Viper

Energy

Partners,

LP

710,000

5.375%, 

11/1/2027

g

596,400

W&T

Offshore,

Inc.

750,000

9.750%, 

11/1/2023

g

176,295

Western

Gas

Partners,

LP

110,000

4.000%, 

7/1/2022

71,328

Williams

Partners,

LP

215,000

4.500%, 

11/15/2023

201,592

WPX

Energy,

Inc.

610,000

5.750%, 

6/1/2026

347,700

270,000

5.250%, 

10/15/2027

148,500

150,000

4.500%, 

1/15/2030

81,450

Total

12,777,584

Financials

(7.7%)

ACE

INA

Holdings,

Inc.

70,000

2.875%, 

11/3/2022

71,037

Aegon

NV

720,000

1.896%, 

(USISDA

10Y

+

0.100%),

7/15/2020

b,i

500,400

AerCap

Ireland

Capital,

Ltd.

118,000

3.500%, 

1/15/2025

100,251

AIG

Global

Funding

220,000

2.150%, 

7/2/2020

g

219,043

Air

Lease

Corporation

220,000

2.500%, 

3/1/2021

202,342

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

53

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Financials

(7.7%)

-

continued

Aircastle

,

Ltd.

$

178,000

5.000%, 

4/1/2023

$

173,769

Ally

Financial,

Inc.

430,000

5.750%, 

11/20/2025

420,626

American

Express

Company

112,000

3.375%, 

5/17/2021

113,296

105,000

3.700%, 

8/3/2023

110,314

113,000

3.400%, 

2/22/2024

118,301

Ares

Capital

Corporation,

Convertible

76,000

4.625%, 

3/1/2024

65,787

Athene

Global

Funding

165,000

4.000%, 

1/25/2022

g

166,707

Australia

and

New

Zealand

Banking

Group,

Ltd.

430,000

6.750%, 

6/15/2026

b,g,i

422,475

200,000

2.950%, 

7/22/2030

b,g

189,507

Avolon

Holdings

Funding,

Ltd.

57,000

5.250%, 

5/15/2024

g

48,544

BAC

Capital

Trust

XIV

248,000

4.000%, 

(LIBOR

3M

+

0.400%),

4/17/2020

b,i

201,500

Banco

Bilbao

Vizcaya

Argentaria

SA

200,000

6.500%, 

3/5/2025

b,i

155,000

200,000

6.125%, 

11/16/2027

b,i,j

147,000

Bank

of

America

Corporation

218,000

2.738%, 

1/23/2022

b

217,737

224,000

3.499%, 

5/17/2022

b

226,632

200,000

3.004%, 

12/20/2023

b

203,738

328,000

3.550%, 

3/5/2024

b

340,004

564,000

5.125%, 

6/20/2024

b,i

535,800

497,000

3.864%, 

7/23/2024

b

521,425

244,000

4.200%, 

8/26/2024

259,352

750,000

6.250%, 

9/5/2024

b,i

761,250

113,000

3.458%, 

3/15/2025

b

116,544

Bank

of

Montreal

330,000

3.300%, 

2/5/2024

344,592

Bank

of

New

York

Mellon

Corporation

216,000

2.600%, 

2/7/2022

217,770

Bank

of

Nova

Scotia

162,000

2.700%, 

3/7/2022

165,057

221,000

2.375%, 

1/18/2023

222,342

114,000

1.950%, 

2/1/2023

113,344

Barclays

Bank

plc

100,000

5.140%, 

10/14/2020

100,967

Barclays

plc

225,000

4.610%, 

2/15/2023

b

228,923

731,000

7.750%, 

9/15/2023

b,i

641,087

283,000

4.338%, 

5/16/2024

b

273,022

BB&T

Corporation

220,000

2.150%, 

2/1/2021

219,741

105,000

2.500%, 

8/1/2024

103,833

Blackstone

Mortgage

Trust,

Inc.,

Convertible

120,000

4.375%, 

5/5/2022

94,800

BNP

Paribas

SA

460,000

7.625%, 

3/30/2021

b,g,i

449,075

141,000

2.819%, 

11/19/2025

b,g

139,299

200,000

4.500%, 

2/25/2030

b,g,i

154,000

BNZ

International

Funding,

Ltd.

250,000

1.721%, 

(LIBOR

3M

+

0.980%),

9/14/2021

b,g

246,461

BPCE

SA

110,000

3.000%, 

5/22/2022

g

108,899

114,000

2.375%, 

1/14/2025

g

105,863

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Financials

(7.7%)

-

continued

Camden

Property

Trust

$

110,000

4.875%, 

6/15/2023

$

116,001

Canadian

Imperial

Bank

of

Commerce

114,000

2.250%, 

1/28/2025

112,670

Capital

One

Bank

USA

NA

165,000

3.375%, 

2/15/2023

161,428

171,000

2.280%, 

1/28/2026

b

154,854

Capital

One

Financial

Corporation

324,000

3.050%, 

3/9/2022

323,505

Cascades

USA,

Inc.

480,000

5.125%, 

1/15/2026

g

464,400

Central

Fidelity

Capital

Trust

I

445,000

2.831%, 

(LIBOR

3M

+

1.000%),

4/15/2027

b

373,800

CIT

Group,

Inc.

925,000

5.000%, 

8/15/2022

901,914

Citigroup,

Inc.

97,000

2.350%, 

8/2/2021

96,906

108,000

2.750%, 

4/25/2022

108,561

108,000

2.484%, 

(LIBOR

3M

+

0.690%),

10/27/2022

b

102,129

466,000

2.312%, 

11/4/2022

b

463,249

218,000

3.142%, 

1/24/2023

b

220,720

496,000

5.000%, 

9/12/2024

b,i,j

453,423

726,000

4.700%, 

1/30/2025

b,i

627,990

336,000

3.352%, 

4/24/2025

b

345,977

248,000

5.950%, 

5/15/2025

b,i

240,250

Citizens

Bank

NA

250,000

2.200%, 

5/26/2020

249,586

CNA

Financial

Corporation

103,000

5.750%, 

8/15/2021

105,542

126,000

3.950%, 

5/15/2024

130,893

Compass

Bank

250,000

3.500%, 

6/11/2021

248,660

Cooperatieve

Centrale

Raiffeisen-

Boerenleenbank

BA

216,000

3.950%, 

11/9/2022

217,259

Credit

Agricole

SA

108,000

3.375%, 

1/10/2022

g

107,755

406,000

8.125%, 

12/23/2025

b,g,i

418,180

Credit

Suisse

Group

AG

400,000

7.500%, 

7/17/2023

b,g,i

368,640

372,000

7.500%, 

12/11/2023

b,g,i

358,050

117,000

2.593%, 

9/11/2025

b,g

111,173

560,000

6.375%, 

8/21/2026

b,g,i

491,512

Credit

Suisse

Group

Funding

(Guernsey),

Ltd.

325,000

3.800%, 

9/15/2022

330,424

Danske

Bank

AS

177,000

5.000%, 

1/12/2022

g

181,225

Deutsche

Bank

AG

108,000

2.700%, 

7/13/2020

105,880

324,000

4.250%, 

10/14/2021

308,204

200,000

6.000%, 

10/30/2025

b,i

133,900

Deutsche

Bank

AG

of

New

York

117,000

3.950%, 

2/27/2023

116,212

Digital

Realty

Trust,

LP

165,000

2.750%, 

2/1/2023

164,052

Discover

Bank

107,000

4.200%, 

8/8/2023

113,609

175,000

2.450%, 

9/12/2024

167,662

Fidelity

National

Financial,

Inc.

180,000

5.500%, 

9/1/2022

197,535

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

54

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Financials

(7.7%)

-

continued

Fifth

Third

Bancorp

$

164,000

2.600%, 

6/15/2022

$

162,054

113,000

3.650%, 

1/25/2024

117,508

Five

Corners

Funding

Trust

275,000

4.419%, 

11/15/2023

g

295,828

FNB

Corporation

229,000

2.200%, 

2/24/2023

224,615

FTI

Consulting,

Inc.,

Convertible

929,000

2.000%, 

8/15/2023

1,211,679

General

Electric

Capital

Corporation

232,000

3.100%, 

1/9/2023

235,625

Goldman

Sachs

Group,

Inc.

216,000

5.375%, 

5/10/2020

b,i

193,050

216,000

5.250%, 

7/27/2021

224,545

160,000

2.862%, 

(LIBOR

3M

+

1.170%),

11/15/2021

b

156,800

216,000

3.000%, 

4/26/2022

217,557

164,000

2.876%, 

10/31/2022

b

164,836

108,000

2.364%, 

(LIBOR

3M

+

1.050%),

6/5/2023

b

103,377

226,000

3.625%, 

2/20/2024

233,839

548,000

5.500%, 

8/10/2024

b,i,j

526,688

263,000

4.950%, 

2/10/2025

b,i

234,070

111,000

3.500%, 

4/1/2025

112,559

176,000

3.272%, 

9/29/2025

b

179,480

Guardian

Life

Global

Funding

200,000

2.000%, 

4/26/2021

g

199,270

Hannon

Armstrong

Sustainable

Infrastructure

Capital,

Convertible

349,000

4.125%, 

9/1/2022

331,141

HCP,

Inc.

114,000

4.250%, 

11/15/2023

107,728

Hospitality

Properties

Trust

80,000

4.250%, 

2/15/2021

76,065

HSBC

Holdings

plc

324,000

3.400%, 

3/8/2021

325,782

216,000

6.875%, 

6/1/2021

b,i

212,220

210,000

3.400%, 

(LIBOR

3M

+

1.500%),

1/5/2022

b

201,344

546,000

6.375%, 

9/17/2024

b,i

506,415

225,000

3.803%, 

3/11/2025

b

234,245

372,000

6.375%, 

3/30/2025

b,i

347,820

141,000

2.633%, 

11/7/2025

b

136,806

248,000

6.500%, 

3/23/2028

b,i

231,880

Huntington

Bancshares,

Inc.

140,000

3.150%, 

3/14/2021

140,359

Icahn

Enterprises,

LP

325,000

6.750%, 

2/1/2024

313,625

430,000

6.375%, 

12/15/2025

406,350

200,000

6.250%, 

5/15/2026

189,000

ILFC

E-Capital

Trust

II

372,000

3.570%, 

(H15T30Y

+

1.800%),

12/21/2065

b,g

148,800

ING

Groep

NV

555,000

6.000%, 

4/16/2020

b,i

526,140

225,000

4.100%, 

10/2/2023

230,897

International

Lease

Finance

Corporation

216,000

5.875%, 

8/15/2022

193,098

Iron

Mountain,

Inc.

855,000

4.875%, 

9/15/2027

g

829,350

iStar

,

Inc.,

Convertible

145,000

3.125%, 

9/15/2022

141,935

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Financials

(7.7%)

-

continued

J.P.

Morgan

Chase

&

Company

$

161,000

2.260%, 

(LIBOR

3M

+

0.680%),

6/1/2021

b

$

160,035

210,000

2.295%, 

8/15/2021

209,597

272,000

2.776%, 

4/25/2023

b

275,442

252,000

3.375%, 

5/1/2023

262,969

362,000

5.150%, 

5/1/2023

b,i

343,900

215,000

3.031%, 

(LIBOR

3M

+

1.230%),

10/24/2023

b

208,101

1,132,000

5.000%, 

8/1/2024

b,i

1,061,250

245,000

3.875%, 

9/10/2024

258,706

476,000

4.023%, 

12/5/2024

b

504,313

726,000

4.600%, 

2/1/2025

b,i

635,395

KeyBank

NA

285,000

1.250%, 

3/10/2023

279,111

Liberty

Mutual

Group,

Inc.

25,000

5.000%, 

6/1/2021

g

25,642

Lincoln

National

Corporation

235,000

4.049%, 

(LIBOR

3M

+

2.358%),

5/17/2066

b

145,700

Lloyds

Banking

Group

plc

233,000

3.000%, 

1/11/2022

232,339

175,000

2.858%, 

3/17/2023

b

172,523

225,000

3.900%, 

3/12/2024

227,726

800,000

6.413%, 

10/1/2035

b,g,i

800,000

590,000

6.657%, 

5/21/2037

b,g,i

635,725

Macquarie

Bank,

Ltd.

540,000

6.125%, 

3/28/2027

b,g,i

486,000

MetLife

Capital

Trust

IV

823,000

7.875%, 

12/15/2037

g

954,680

MGIC

Investment

Corporation,

Convertible

805,000

9.000%, 

4/1/2063

g

1,043,146

Mitsubishi

UFJ

Financial

Group,

Inc.

108,000

2.998%, 

2/22/2022

110,104

163,000

2.623%, 

7/18/2022

162,752

220,000

3.455%, 

3/2/2023

225,225

113,000

3.407%, 

3/7/2024

116,587

Mizuho

Financial

Group,

Inc.

163,000

2.721%, 

7/16/2023

b

163,929

Morgan

Stanley

210,000

2.800%, 

6/16/2020

209,971

216,000

5.500%, 

7/28/2021

224,238

108,000

2.750%, 

5/19/2022

109,144

64,000

4.875%, 

11/1/2022

67,194

218,000

3.125%, 

1/23/2023

222,962

234,000

4.100%, 

5/22/2023

242,347

114,000

2.720%, 

7/22/2025

b

115,411

MPT

Operating

Partnership,

LP

510,000

5.250%, 

8/1/2026

507,450

460,000

4.625%, 

8/1/2029

423,200

National

Australia

Bank,

Ltd.

171,000

1.875%, 

12/13/2022

169,976

National

Bank

of

Canada

171,000

2.100%, 

2/1/2023

170,170

Nippon

Life

Insurance

Company

363,000

3.400%, 

1/23/2050

b,g

348,480

Nomura

Holdings,

Inc.

137,000

2.648%, 

1/16/2025

134,100

Nordea

Bank

Abp

200,000

6.625%, 

3/26/2026

b,g,i

181,000

Outfront

Media

Cap,

LLC

680,000

4.625%, 

3/15/2030

g

605,200

Park

Aerospace

Holdings,

Ltd.

57,000

4.500%, 

3/15/2023

g

49,437

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

55

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Financials

(7.7%)

-

continued

PNC

Bank

NA

$

216,000

2.450%, 

11/5/2020

$

216,403

PNC

Financial

Services

Group,

Inc.

110,000

3.500%, 

1/23/2024

114,092

Quicken

Loans,

Inc.

970,000

5.750%, 

5/1/2025

g

965,150

Regions

Financial

Corporation

112,000

3.800%, 

8/14/2023

113,389

Reinsurance

Group

of

America,

Inc.

162,000

4.700%, 

9/15/2023

178,340

Royal

Bank

of

Canada

118,000

2.250%, 

11/1/2024

119,184

Royal

Bank

of

Scotland

Group

plc

621,000

8.625%, 

8/15/2021

b,i

605,475

110,000

6.125%, 

12/15/2022

113,464

110,000

6.100%, 

6/10/2023

113,101

220,000

4.269%, 

3/22/2025

b

226,041

94,000

3.754%, 

11/1/2029

b

86,939

Santander

UK

Group

Holdings

plc

210,000

2.875%, 

8/5/2021

206,677

Santander

UK

plc

171,000

2.100%, 

1/13/2023

165,855

Simon

Property

Group,

LP

120,000

2.500%, 

7/15/2021

118,353

106,000

2.000%, 

9/13/2024

101,731

Societe

Generale

SA

141,000

2.625%, 

10/16/2024

g

133,441

805,000

8.000%, 

9/29/2025

b,g,i

736,575

Springleaf

Finance

Corporation

490,000

6.875%, 

3/15/2025

493,489

Standard

Chartered

plc

163,000

2.744%, 

9/10/2022

b,g

161,365

State

Street

Corporation

111,000

2.825%, 

3/30/2023

b,g

112,013

118,000

2.354%, 

11/1/2025

b

116,791

Sumitomo

Mitsui

Financial

Group,

Inc.

108,000

2.784%, 

7/12/2022

108,493

456,000

2.778%, 

10/18/2022

463,177

141,000

2.448%, 

9/27/2024

140,597

SunTrust

Banks,

Inc.

95,000

2.900%, 

3/3/2021

95,215

Synchrony

Financial

94,000

3.750%, 

8/15/2021

94,412

105,000

2.850%, 

7/25/2022

100,026

115,000

4.250%, 

8/15/2024

110,724

Toronto-Dominion

Bank

295,000

2.550%, 

1/25/2021

291,595

113,000

3.250%, 

3/11/2024

118,094

Truist

Bank

250,000

1.500%, 

3/10/2025

243,314

Truist

Financial

Corporation

600,000

4.800%, 

9/1/2024

b,i

516,000

UBS

Group

Funding

Jersey,

Ltd.

216,000

3.000%, 

4/15/2021

g

216,417

USB

Realty

Corporation

496,000

2.978%, 

(LIBOR

3M

+

1.147%),

1/15/2022

b,g,i

372,000

Ventas

Realty,

LP

112,000

3.100%, 

1/15/2023

109,725

110,000

3.750%, 

5/1/2024

103,997

VICI

Properties,

LP

/

VICI

Note

Company,

Inc.

180,000

4.250%, 

12/1/2026

g

165,150

110,000

3.750%, 

2/15/2027

g

103,675

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Financials

(7.7%)

-

continued

$

180,000

4.625%, 

12/1/2029

g

$

163,800

110,000

4.125%, 

8/15/2030

g

104,225

Wachovia

Capital

Trust

II

220,000

2.331%, 

(LIBOR

3M

+

0.500%),

1/15/2027

b

180,400

Wells

Fargo

&

Company

205,000

2.100%, 

7/26/2021

204,713

110,000

2.625%, 

7/22/2022

111,285

220,000

4.125%, 

8/15/2023

226,809

250,000

3.007%, 

(LIBOR

3M

+

1.230%),

10/31/2023

b

238,522

115,000

3.750%, 

1/24/2024

121,747

233,000

2.406%, 

10/30/2025

b

229,593

Westpac

Banking

Corporation

169,000

2.543%, 

(LIBOR

3M

+

0.850%),

8/19/2021

b

165,321

114,000

2.000%, 

1/13/2023

112,692

114,000

2.894%, 

2/4/2030

b

109,377

Total

55,055,706

Mortgage-Backed

Securities

(11.9%)

Federal

Home

Loan

Mortgage

Corporation

Conventional

15-Yr.

Pass

Through

3,372,803

3.500%, 

5/1/2034

3,554,940

Federal

Home

Loan

Mortgage

Corporation

Conventional

30-Yr.

Pass

Through

4,987,559

3.000%, 

3/25/2050

5,231,383

2,475,000

3.000%, 

4/1/2050

e

2,595,996

1,786,539

3.500%, 

7/1/2047

e

1,894,690

3,266,124

3.000%, 

8/1/2047

3,444,750

Federal

National

Mortgage

Association

1,375,411

4.500%, 

5/1/2048

1,483,658

2,739,550

3.500%, 

10/1/2048

2,893,073

749,291

3.500%, 

2/1/2049

790,529

1,124,532

3.500%, 

6/1/2049

1,188,685

3,098,422

3.500%, 

8/1/2049

3,281,242

Federal

National

Mortgage

Association

Conventional

15-Yr.

Pass

Through

3,800,000

2.500%, 

4/1/2035

e

3,942,945

9,500,000

2.000%, 

5/1/2035

e

9,749,375

7,375,000

2.500%, 

5/1/2035

e

7,646,953

5,102,000

3.000%, 

5/1/2035

e

5,328,812

Federal

National

Mortgage

Association

Conventional

30-Yr.

Pass

Through

16,200,000

2.500%, 

5/1/2050

e

16,761,424

4,107,441

4.000%, 

7/1/2048

4,386,350

10,638,000

3.000%, 

5/1/2049

e

11,139,537

72,152

3.500%, 

8/1/2049

e

76,165

Total

85,390,507

Technology

(1.8%)

Akamai

Technologies,

Inc.,

Convertible

827,000

0.375%, 

9/1/2027

g

823,653

Apple,

Inc.

217,000

2.400%, 

1/13/2023

223,645

385,000

3.450%, 

5/6/2024

415,677

Baidu,

Inc.

109,000

3.000%, 

6/30/2020

109,144

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

56

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Technology

(1.8%)

-

continued

Booking

Holdings,

Inc.,

Convertible

$

113,000

0.350%, 

6/15/2020

$

125,069

Broadcom

Corporation

441,000

2.650%, 

1/15/2023

430,668

171,000

3.125%, 

1/15/2025

163,937

CommScope

Technologies

Finance,

LLC

780,000

6.000%, 

6/15/2025

g

713,856

Dell

International,

LLC/

EMC

Corporation

170,000

4.000%, 

7/15/2024

g

171,510

Diamond

1

Finance

Corporation

330,000

5.450%, 

6/15/2023

g

338,633

Diamond

Sports

Group,

LLC

950,000

6.625%, 

8/15/2027

g,j

635,312

Fiserv,

Inc.

235,000

2.750%, 

7/1/2024

233,659

Global

Payments,

Inc.

52,000

2.650%, 

2/15/2025

51,543

Harland

Clarke

Holdings

Corporation

480,000

8.375%, 

8/15/2022

g

370,200

Hewlett

Packard

Enterprise

Company

268,000

3.600%, 

10/15/2020

268,326

106,000

2.250%, 

4/1/2023

103,575

Intel

Corporation

160,000

1.700%, 

5/19/2021

159,998

70,000

3.100%, 

7/29/2022

72,646

j2

Global,

Inc.,

Convertible

343,000

3.250%, 

6/15/2029

418,223

Lumentum

Holdings,

Inc.,

Convertible

87,000

0.250%, 

3/15/2024

117,497

Marvell

Technology

Group,

Ltd.

112,000

4.200%, 

6/22/2023

114,497

Microchip

Technology,

Inc.,

Convertible

181,000

1.625%, 

2/15/2027

185,768

Microsoft

Corporation

216,000

2.400%, 

2/6/2022

221,972

NCR

Corporation

920,000

6.125%, 

9/1/2029

g

859,188

Nuance

Communications,

Inc.,

Convertible

1,563,000

1.250%, 

4/1/2025

1,683,023

NXP

BV/NXP

Funding,

LLC

165,000

4.875%, 

3/1/2024

g

176,167

ON

Semiconductor

Corporation,

Convertible

432,000

1.625%, 

10/15/2023

429,073

Open

Text

Corporation

410,000

4.125%, 

2/15/2030

g

385,502

Oracle

Corporation

60,000

2.500%, 

5/15/2022

60,995

166,000

2.500%, 

4/1/2025

169,465

Panasonic

Corporation

163,000

2.536%, 

7/19/2022

g

160,479

Plantronics,

Inc.

510,000

5.500%, 

5/31/2023

g

371,025

PTC,

Inc.

160,000

3.625%, 

2/15/2025

g

149,600

Seagate

HDD

Cayman

116,000

4.250%, 

3/1/2022

116,227

SS&C

Technologies,

Inc.

700,000

5.500%, 

9/30/2027

g

721,875

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Technology

(1.8%)

-

continued

Teradyne,

Inc.,

Convertible

$

132,000

1.250%, 

12/15/2023

$

236,280

Texas

Instruments,

Inc.

60,000

1.750%, 

5/1/2020

59,972

167,000

1.375%, 

3/12/2025

165,359

Verint

Systems,

Inc.,

Convertible

282,000

1.500%, 

6/1/2021

271,894

Vishay

Intertechnology

,

Inc.,

Convertible

206,000

2.250%, 

6/15/2025

182,954

Total

12,668,086

Transportation

(0.5%)

AerCap

Holdings

NV

424,000

5.875%, 

10/10/2079

b

292,560

Air

Lease

Corporation

114,000

2.300%, 

2/1/2025

86,944

CSX

Corporation

110,000

3.700%, 

11/1/2023

115,762

Delta

Air

Lines,

Inc.

118,000

2.900%, 

10/28/2024

94,446

Hertz

Corporation

500,000

5.500%, 

10/15/2024

g

281,145

390,000

6.000%, 

1/15/2028

g

204,750

J.B.

Hunt

Transport

Services,

Inc.

70,000

3.300%, 

8/15/2022

67,282

Meritor,

Inc.,

Convertible

351,000

3.250%, 

10/15/2037

297,911

NCL

Corporation,

Ltd.

490,000

3.625%, 

12/15/2024

g

312,522

Penske

Truck

Leasing

Company,

LP

113,000

3.375%, 

2/1/2022

g

114,219

Ryder

System,

Inc.

238,000

3.500%, 

6/1/2021

237,933

Union

Pacific

Corporation

168,000

3.750%, 

7/15/2025

180,560

United

Airlines

Pass

Through

Trust

70,000

3.700%, 

12/1/2022

68,010

United

Continental

Holdings,

Inc.

470,000

4.875%, 

1/15/2025

404,200

XPO

Logistics,

Inc.

300,000

6.125%, 

9/1/2023

g

293,625

529,000

6.750%, 

8/15/2024

g

517,256

Total

3,569,125

Utilities

(1.2%)

Alabama

Power

Company

108,000

2.450%, 

3/30/2022

109,313

Ameren

Corporation

70,000

2.700%, 

11/15/2020

69,791

109,000

2.500%, 

9/15/2024

105,995

Berkshire

Hathaway

Energy

Company

114,000

4.050%, 

4/15/2025

g

122,955

Calpine

Corporation

900,000

4.500%, 

2/15/2028

g

872,325

CenterPoint

Energy,

Inc.

110,000

2.500%, 

9/1/2022

107,968

105,000

2.500%, 

9/1/2024

103,093

Dominion

Energy,

Inc.

110,000

2.715%, 

8/15/2021

108,509

110,000

3.071%, 

8/15/2024

109,938

375,000

4.650%, 

12/15/2024

b,i

336,979

DTE

Energy

Company

178,000

3.300%, 

6/15/2022

182,427

164,000

2.529%, 

10/1/2024

159,417

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

57

Principal

Amount

Long-Term

Fixed

Income

(51.5%)

Value

Utilities

(1.2%)

-

continued

Duke

Energy

Corporation

$

216,000

2.400%, 

8/15/2022

$

215,604

370,000

4.875%, 

9/16/2024

b,i

310,800

Edison

International

337,000

2.950%, 

3/15/2023

326,030

59,000

3.550%, 

11/15/2024

58,605

113,000

4.950%, 

4/15/2025

112,739

Evergy

,

Inc.

106,000

2.450%, 

9/15/2024

103,998

Eversource

Energy

109,000

2.500%, 

3/15/2021

109,398

FirstEnergy

Corporation

163,000

2.850%, 

7/15/2022

158,949

116,000

2.050%, 

3/1/2025

112,144

Florida

Power

&

Light

Company

111,000

2.850%, 

4/1/2025

116,730

Georgia

Power

Company

114,000

2.100%, 

7/30/2023

111,170

106,000

2.200%, 

9/15/2024

99,449

NextEra

Energy

Operating

Partners,

LP

920,000

3.875%, 

10/15/2026

g

874,000

NiSource,

Inc.

178,000

3.650%, 

6/15/2023

182,269

565,000

5.650%, 

6/15/2023

b,i

502,850

Pinnacle

West

Capital

Corporation

110,000

2.250%, 

11/30/2020

110,143

PPL

Capital

Funding,

Inc.

220,000

3.950%, 

3/15/2024

226,896

PSEG

Power,

LLC

100,000

3.000%, 

6/15/2021

100,286

Public

Service

Enterprise

Group,

Inc.

110,000

2.875%, 

6/15/2024

109,651

Sempra

Energy

233,000

3.550%, 

6/15/2024

234,897

Southern

Company

108,000

2.350%, 

7/1/2021

108,274

TerraForm

Power

Operating,

LLC

815,000

5.000%, 

1/31/2028

g

853,957

TransCanada

Trust

768,000

5.875%, 

8/15/2076

b

600,960

Vistra

Operations

Company,

LLC

570,000

5.000%, 

7/31/2027

g

578,550

Total

8,707,059

Total

Long-Term

Fixed

Income

(cost

$394,218,726)

370,056,799

Shares

Common

Stock

(

22.8%

)

Value

Communications

Services

(1.4%)

3,630

Activision

Blizzard,

Inc.

l

215,912

1,419

Alphabet,

Inc.,

Class

A

l

1,648,807

870

Alphabet,

Inc.,

Class

C

l

1,011,645

5,299

AT&T,

Inc.

154,466

76,012

Auto

Trader

Group

plc

g

410,752

5,085

Carsales.com,

Ltd.

36,538

5,766

CenturyLink,

Inc.

54,546

305

Charter

Communications,

Inc.

l

133,075

27,434

Comcast

Corporation

943,181

1,520

Discovery,

Inc.,

Class

A

j,l

29,549

12,924

DISH

Network

Corporation

l

258,351

4,802

Facebook,

Inc.

l

800,974

39,000

HKT

Trust

and

HKT,

Ltd.

53,042

1,272

Ipsos

SA

26,393

2,134

Live

Nation

Entertainment,

Inc.

l

97,012

Shares

Common

Stock

(22.8%)

Value

Communications

Services

(1.4%)

-

continued

38,984

Mediaset

Espana

Comunicacion

SA

$

142,346

3,107

Meredith

Corporation

37,967

4,653

Orange

SA

56,336

14,482

QuinStreet

,

Inc.

l

116,580

3,234

Rightmove

plc

19,504

204

Roku,

Inc.

l

17,846

16,932

Seven

West

Media,

Ltd.

l

823

13,200

SoftBank

Corporation

168,151

1,900

SoftBank

Group

Corporation

67,265

251,749

Telecom

Italia

SPA

101,902

24,172

Telefonica

SA

110,009

13,400

TV

Asahi

Holdings

Corporation

203,088

17,978

Twitter,

Inc.

l

441,540

3,975

Uber

Technologies,

Inc.

l

110,982

28,540

Verizon

Communications,

Inc.

1,533,454

5,220

ViacomCBS

,

Inc.

73,132

17,139

Vodafone

Group

plc

23,711

4,074

Walt

Disney

Company

393,548

3,052

Wolters

Kluwer

NV

216,033

8,134

Zillow

Group,

Inc.

l

276,312

Total

9,984,772

Consumer

Discretionary

(1.9%)

1,639

Alibaba

Group

Holding,

Ltd.

ADR

l

318,753

1,378

Amazon.com,

Inc.

l

2,686,714

1,700

AOKI

Holdings,

Inc.

11,385

3,400

Aoyama

Trading

Company,

Ltd.

29,088

4,608

Aptiv

plc

226,898

2,000

Autobacs

Seven

Company,

Ltd.

23,021

270

AutoZone,

Inc.

l

228,420

2,776

Berkeley

Group

Holdings

plc

123,902

235

Booking

Holdings,

Inc.

l

316,150

1,100

Bridgestone

Corporation

33,672

1,091

Bright

Horizons

Family

Solutions,

Inc.

l

111,282

1,774

Burlington

Stores,

Inc.

l

281,108

1,134

Century

Casinos,

Inc.

l

2,733

212

Chipotle

Mexican

Grill,

Inc.

l

138,733

2,200

Chiyoda

Company,

Ltd.

23,672

348

Churchill

Downs,

Inc.

35,827

30,700

Citizen

Watch

Company,

Ltd.

108,317

6,648

Cooper-Standard

Holdings,

Inc.

l

68,275

9,867

Crocs,

Inc.

l

167,640

6,900

D.R.

Horton,

Inc.

234,600

15,100

Denso

Corporation

482,513

11,504

Designer

Brands,

Inc.

57,290

2,683

Eldorado

Resorts,

Inc.

l

38,635

974

Emerald

Holding,

Inc

2,523

8,483

Etsy,

Inc.

l

326,086

900

Exedy

Corporation

13,246

39,000

Galaxy

Entertainment

Group,

Ltd.

205,406

1,966

Genuine

Parts

Company

132,371

5,526

Home

Depot,

Inc.

1,031,759

2,806

Industria

de

Diseno

Textil

SA

72,714

10,390

Lowe's

Companies,

Inc.

894,059

2,295

Lululemon

Athletica

,

Inc.

l

435,017

2,211

McDonald's

Corporation

365,589

1,450

Mohawk

Industries,

Inc.

l

110,548

28,569

Moneysupermarket.com

Group

plc

106,164

8,104

Movado

Group,

Inc.

95,789

570

Netflix,

Inc.

l

214,035

10,500

NHK

Spring

Company,

Ltd.

68,491

3,091

NIKE,

Inc.

255,749

4,700

Nissan

Motor

Company,

Ltd.

15,725

152

NVR,

Inc.

l

390,505

1,900

Onward

Holdings

Company,

Ltd.

8,351

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

58

Shares

Common

Stock

(22.8%)

Value

Consumer

Discretionary

(1.9%)

-

continued

2,482

Oxford

Industries,

Inc.

$

89,997

1,800

Park24

Company,

Ltd.

26,535

3,641

Penn

National

Gaming,

Inc.

l

46,059

2,831

Playa

Hotels

and

Resorts

NV

l

4,954

1,500

PLENUS

Company,

Ltd.

j

25,651

18,007

Redrow

plc

79,823

3,368

RH

j,l

338,383

2,500

Rinnai

Corporation

176,226

4,000

Sangetsu

Company,

Ltd.

59,205

2,000

SHIMAMURA

Company,

Ltd.

120,868

6,840

Sony

Corporation

ADR

404,791

46,300

Sumitomo

Electric

Industries,

Ltd.

483,742

900

Sumitomo

Forestry

Company,

Ltd.

11,491

25,000

Sumitomo

Rubber

Industries,

Ltd.

234,820

1,933

Super

Retail

Group,

Ltd.

5,529

800

Takara

Standard

Company,

Ltd.

12,228

67,671

Taylor

Wimpey

plc

97,376

4,106

Texas

Roadhouse,

Inc.

169,578

5,940

TJX

Companies,

Inc.

283,991

4,700

Toyoda

Gosei

Company,

Ltd.

79,988

800

United

Arrows,

Ltd.

12,031

1,032

Wynn

Resorts,

Ltd.

62,116

5,895

Zumiez

,

Inc.

l

102,101

Total

13,420,238

Consumer

Staples

(1.2%)

3,968

Anheuser-Busch

InBev

NV

175,266

2,400

Arcs

Company,

Ltd.

43,116

1,589

B&G

Foods,

Inc.

28,745

9,232

Bunge,

Ltd.

378,789

3,110

Carlsberg

AS

350,123

896

Casey's

General

Stores,

Inc.

118,711

14,474

Coca-Cola

Company

640,474

6,821

Colgate-Palmolive

Company

452,641

1,066

Costco

Wholesale

Corporation

303,949

24,732

Cott

Corporation

224,072

3,086

ForFarmers

BV

19,196

746

Glanbia

plc

8,121

23,218

Hain

Celestial

Group,

Inc.

l

602,971

2,805

John

B.

Sanfilippo

&

Son,

Inc.

250,767

2,000

Kewpie

Corporation

40,030

2,180

Kimberly-Clark

Corporation

278,757

12

Lindt

&

Spruengli

AG

100,722

415

L'Oreal

SA

107,407

800

Ministop

Company,

Ltd.

10,792

8,907

Nestle

SA

911,790

4,136

PepsiCo,

Inc.

496,734

3,636

Philip

Morris

International,

Inc.

265,283

5,990

Procter

&

Gamble

Company

658,900

827

Reckitt

Benckiser

Group

plc

62,997

4,400

Sugi

Holdings

Company,

Ltd.

235,617

11,500

Sundrug

Company,

Ltd.

368,509

7,621

Turning

Point

Brands,

Inc.

160,879

3,941

Unilever

NV

193,705

11,337

Wal-Mart

Stores,

Inc.

1,288,110

Total

8,777,173

Energy

(1.1%)

17,219

BP

plc

ADR

419,971

6,532

Chevron

Corporation

473,309

4,863

Cimarex

Energy

Company

81,844

4,670

ConocoPhillips

143,836

1,980

Continental

Resources,

Inc.

15,127

4,967

Contura

Energy,

Inc.

l

11,673

6,324

Diamondback

Energy,

Inc.

165,689

33,500

Enbridge,

Inc.

974,515

Shares

Common

Stock

(22.8%)

Value

Energy

(1.1%)

-

continued

10,548

Eni

SPA

$

104,821

65,717

Enterprise

Products

Partners,

LP

939,753

3,388

EOG

Resources,

Inc.

121,697

21,304

Euronav

NV

240,309

6,706

Exxon

Mobil

Corporation

254,627

358

Gaztransport

Et

Technigaz

SA

25,775

21,579

Halliburton

Company

147,816

2,439

Helmerich

&

Payne,

Inc.

38,170

98,800

JXTG

Holdings,

Inc.

336,650

66,700

Kinder

Morgan,

Inc.

928,464

29,772

Marathon

Oil

Corporation

97,950

10,422

Marathon

Petroleum

Corporation

246,168

6,185

NexTier

Oilfield

Solutions,

Inc.

l

7,236

8,999

Nine

Energy

Service,

Inc.

l

7,274

761

OMV

AG

20,826

1,572

ONEOK,

Inc.

34,285

19,251

Pacific

Drilling

SA

j,l

8,278

30,260

Patterson-UTI

Energy,

Inc.

71,111

4,401

Pioneer

Natural

Resources

Company

308,730

18,481

Royal

Dutch

Shell

plc,

Class

A

321,082

29,850

Royal

Dutch

Shell

plc,

Class

B

500,705

3,481

Schlumberger,

Ltd.

46,959

6,993

SEACOR

Holdings,

Inc.

l

188,531

5,100

Talos

Energy,

Inc.

l

29,325

2,435

Total

SA

91,748

2,985

TransCanada

Energy

Corporation

132,674

27,830

WPX

Energy,

Inc.

l

84,882

Total

7,621,810

Financials

(3.4%)

16,802

AB

Industrivarden

321,716

9,500

Aflac,

Inc.

325,280

11,600

AIA

Group,

Ltd.

103,874

5,543

Air

Lease

Corporation

122,722

4,407

Allianz

SE

750,502

19,485

Ally

Financial,

Inc.

281,169

2,120

American

Express

Company

181,493

2,991

American

Financial

Group,

Inc.

209,609

7,120

American

International

Group,

Inc.

172,660

584

Ameriprise

Financial,

Inc.

59,848

966

Aon

plc

159,429

27,079

Assured

Guaranty,

Ltd.

698,367

3,520

Baloise

Holding

AG

458,909

44,223

Bank

Leumi

Le-Israel

BM

243,844

67,271

Bank

of

America

Corporation

1,428,163

296

Bank

of

Marin

Bancorp

8,880

5,960

Bank

of

Montreal

300,943

5,722

Bank

of

N.T.

Butterfield

&

Son,

Ltd.

97,446

2,870

Bank

of

New

York

Mellon

Corporation

96,662

3,165

Berkshire

Hathaway,

Inc.

l

578,657

1,014

BlackRock,

Inc.

446,130

12,046

Bridgewater

Bancshares,

Inc.

l

117,448

7,930

Capital

One

Financial

Corporation

399,831

5,542

Charles

Schwab

Corporation

186,322

2,840

Chubb,

Ltd.

317,200

36,723

CI

Financial

Corporation

364,542

23,207

Citigroup,

Inc.

977,479

2,277

Citizens

Financial

Group,

Inc.

42,830

698

CME

Group,

Inc.

120,691

1,861

CNP

Assurances

18,019

1,503

Cohen

&

Steers,

Inc.

68,311

10,325

Comerica,

Inc.

302,935

6,514

Commonwealth

Bank

of

Australia

245,774

1,187

Community

Trust

Bancorp,

Inc.

37,735

1,179

Cullen/Frost

Bankers,

Inc.

65,776

26,300

DBS

Group

Holdings,

Ltd.

343,166

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

59

Shares

Common

Stock

(22.8%)

Value

Financials

(3.4%)

-

continued

1,294

Deutsche

Boerse

AG

$

177,775

12,905

Deutsche

Pfandbriefbank

AG

g

97,422

26,312

DnB

ASA

293,140

1,951

Ellington

Residential

Mortgage

REIT

10,340

1,008

Enstar

Group,

Ltd.

l

160,322

6,355

Euronext

NV

g

467,940

20,031

Everi

Holdings,

Inc.

l

66,102

295

FBL

Financial

Group,

Inc.

13,768

355

Financial

Institutions,

Inc.

6,440

2,470

First

Busey

Corporation

42,262

8,498

First

Interstate

BancSystem

,

Inc.

245,082

229

First

Mid-Illinois

Bancshares,

Inc.

5,436

1,437

First

Republic

Bank

118,236

62,271

FlexiGroup

,

Ltd.

28,782

1,164

Goldman

Sachs

Group,

Inc.

179,943

1,469

Great

Southern

Bancorp,

Inc.

59,348

1,939

Hamilton

Lane,

Inc.

107,246

13,610

Hartford

Financial

Services

Group,

Inc.

479,616

6,317

Heartland

Financial

USA,

Inc.

190,773

18,409

Heritage

Commerce

Corporation

141,197

923

Hometrust

Bancshares,

Inc.

14,694

2,182

Houlihan

Lokey

,

Inc.

113,726

19,843

HSBC

Holdings

plc

111,394

417

Independent

Bank

Corporation

5,367

5,826

Interactive

Brokers

Group,

Inc.

251,508

103,476

Israel

Discount

Bank,

Ltd.

301,722

8,582

J.P.

Morgan

Chase

&

Company

772,637

5,130

Kemper

Corporation

381,518

45,515

KeyCorp

471,991

842

L

E

Lundbergforetagen

AB

34,133

621

Lakeland

Bancorp,

Inc.

6,713

6,701

Laurentian

Bank

of

Canada

145,515

1,224

M&T

Bank

Corporation

126,598

26,780

Manulife

Financial

Corporation

336,249

498

Markel

Corporation

l

462,089

995

Marsh

&

McLennan

Companies,

Inc.

86,028

8,263

Meridian

Bancorp,

Inc.

92,711

8,270

MetLife,

Inc.

252,814

3,062

MidWestOne

Financial

Group,

Inc.

64,118

2,304

Mizrahi

Tefahot

Bank,

Ltd.

42,407

12,290

Morgan

Stanley

417,860

2,203

National

Bank

of

Canada

85,143

16,136

Natixis

51,381

2,510

New

York

Community

Bancorp,

Inc.

23,569

2,210

Northern

Trust

Corporation

166,767

1,690

Onex

Corporation

61,857

1,942

Paragon

Banking

Group

plc

7,943

1,751

Pargesa

Holding

SA

115,607

1,357

PCSB

Financial

Corporation

18,984

254

Peapack

-Gladstone

Financial

Corporation

4,559

2,620

PNC

Financial

Services

Group,

Inc.

250,786

4,909

Popular,

Inc.

171,815

6,987

Power

Corporation

of

Canada

112,404

2,198

Primerica,

Inc.

194,479

8,028

Prosight

Global,

Inc.

l

78,273

2,061

Prudential

Financial,

Inc.

107,461

206

QCR

Holdings,

Inc.

5,576

15,367

Radian

Group,

Inc.

199,003

5,350

Raymond

James

Financial,

Inc.

338,120

3,736

Royal

Bank

of

Canada

231,413

1,056

S&P

Global,

Inc.

258,773

8,874

Seacoast

Banking

Corporation

of

Florida

l

162,483

2,200

Senshu

Ikeda

Holdings,

Inc.

3,317

Shares

Common

Stock

(22.8%)

Value

Financials

(3.4%)

-

continued

5,100

Singapore

Exchange,

Ltd.

$

32,846

6,127

State

Auto

Financial

Corporation

170,269

13,516

Sun

Life

Financial,

Inc.

434,782

575

SVB

Financial

Group

l

86,871

1,441

Swiss

Life

Holding

AG

483,666

10,230

Synovus

Financial

Corporation

179,639

2,317

T.

Rowe

Price

Group,

Inc.

226,255

842

Topdanmark

AS

33,787

23,355

Toronto-Dominion

Bank

992,915

4,852

Triumph

Bancorp,

Inc.

l

126,152

12,070

U.S.

Bancorp

415,812

210

Washington

Trust

Bancorp,

Inc.

7,678

2,848

Wells

Fargo

&

Company

81,738

7,866

Western

Alliance

Bancorp

240,778

21,118

Zions

Bancorporations

NA

565,118

Total

24,765,343

Health

Care

(3.5%)

5,615

Abbott

Laboratories

443,080

1,123

AbbVie,

Inc.

85,561

2,473

Alexion

Pharmaceuticals,

Inc.

l

222,051

1,762

Align

Technology,

Inc.

l

306,500

2,727

Amgen,

Inc.

552,845

879

Anthem,

Inc.

199,568

12,300

Bausch

Health

Companies,

Inc.

l

190,650

705

Becton,

Dickinson

and

Company

161,988

1,602

Biogen,

Inc.

l

506,841

5,934

Catalent

,

Inc.

l

308,271

1,115

CEL-SCI

Corporation

l

12,867

10,520

Centene

Corporation

l

624,993

2,669

Cigna

Holding

Company

472,893

4,623

CSL,

Ltd.

838,020

12,887

CVS

Health

Corporation

764,586

9,396

Danaher

Corporation

1,300,500

2,704

Edwards

Lifesciences

Corporation

l

510,028

5,922

Gilead

Sciences,

Inc.

442,729

48,900

GlaxoSmithKline

plc

917,566

5,616

Grifols

SA

187,897

7,174

Halozyme

Therapeutics,

Inc.

l

129,060

3,340

HCA

Healthcare,

Inc.

300,099

551

Humana,

Inc.

173,025

8,942

iBio

,

Inc.

l

9,479

547

Illumina,

Inc.

l

149,397

1,100

Intuitive

Surgical,

Inc.

l

544,731

2,464

IQVIA

Holding,

Inc.

l

265,767

2,539

Jazz

Pharmaceuticals,

Inc.

l

253,240

14,904

Johnson

&

Johnson

1,954,362

1,100

KYORIN

Holdings,

Inc.

22,462

337

Laboratory

Corporation

of

America

Holdings

l

42,593

2,092

LHC

Group,

Inc.

l

293,298

264

Ligand

Pharmaceuticals,

Inc.

l

19,198

330

LNA

Sante

13,785

15,307

Medtronic

plc

1,380,385

15,863

Merck

&

Company,

Inc.

1,220,499

1,157

Neurocrine

Biosciences,

Inc.

l

100,138

17,202

Novartis

AG

1,419,145

16,697

Novo

Nordisk

AS

997,080

8,926

Optinose

,

Inc.

l

40,078

1,127

PerkinElmer,

Inc.

84,841

18,548

Pfizer,

Inc.

605,407

6,457

Recordati

SPA

272,051

4,542

Roche

Holding

AG

1,461,352

55

Siegfried

Holding

AG

22,134

1,337

Sonova

Holding

AG

238,406

2,390

Stryker

Corporation

397,911

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

60

Shares

Common

Stock

(22.8%)

Value

Health

Care

(3.5%)

-

continued

6,262

Syneos

Health,

Inc.

l

$

246,848

605

Tactile

Systems

Technology,

Inc.

l

24,297

3,500

Takeda

Pharmaceutical

Company,

Ltd.

106,568

227

Teladoc

Health,

Inc.

l

35,187

2,771

Thermo

Fisher

Scientific,

Inc.

785,856

500

Tsumura

&

Company

12,750

3,121

UnitedHealth

Group,

Inc.

778,315

2,878

Universal

Health

Services,

Inc.

285,152

807

Veeva

Systems,

Inc.

l

126,191

1,442

Vertex

Pharmaceuticals,

Inc.

l

343,124

7,601

Wright

Medical

Group

NV

l

217,769

1,442

Zimmer

Biomet

Holdings,

Inc.

145,757

3,005

Zoetis,

Inc.

353,658

Total

24,920,829

Industrials

(3.0%)

641

3M

Company

87,503

5,129

Aalberts

NV

122,879

303

Aeroports

de

Paris

SA

29,272

10,121

AGCO

Corporation

478,217

21,918

Altra

Industrial

Motion

Corporation

383,346

6,726

AMETEK,

Inc.

484,406

6,728

Arcosa

,

Inc.

267,371

5,113

ASGN,

Inc.

l

180,591

9,909

Assa

Abloy

AB

184,988

13,528

Atlas

Copco

AB,

Class

A

449,864

5,321

Atlas

Copco

AB,

Class

B

154,784

1,879

Boeing

Company

280,234

2,458

Caterpillar,

Inc.

285,226

2,287

CIA

De

Distribucion

Integral

36,712

548

CSW

Industrials,

Inc.

35,538

3,996

CSX

Corporation

228,971

4,457

Curtiss-Wright

Corporation

411,871

11,330

Delta

Air

Lines,

Inc.

323,245

1,956

EMCOR

Group,

Inc.

119,942

7,191

Emerson

Electric

Company

342,651

4,335

Encore

Wire

Corporation

182,027

369

Geberit

AG

161,688

5,745

General

Dynamics

Corporation

760,121

277

Gorman-Rupp

Company

8,645

3,200

GS

Yuasa

Corporation

42,825

28,732

GWA

Group,

Ltd.

j

46,066

3,300

Hanwa

Company,

Ltd.

51,097

2,334

Helios

Technologies,

Inc.

88,505

11,000

Hino

Motors,

Ltd.

58,665

9,916

Honeywell

International,

Inc.

1,326,662

3,347

Huntington

Ingalls

Industries,

Inc.

609,857

2,480

IDEX

Corporation

342,513

7,200

Inaba

Denki

Sangyo

Company,

Ltd.

152,975

3,123

Ingersoll

-

Rand,

Inc.

j,l

77,450

9,140

Johnson

Controls

International

plc

246,414

1,780

Kansas

City

Southern

226,380

832

Kennametal,

Inc.

15,492

9,900

Kinden

Corporation

145,673

8,687

Koninklijke

Philips

NV

356,666

9,644

Legrand

SA

622,015

2,195

Lincoln

Electric

Holdings,

Inc.

151,455

1,336

Lockheed

Martin

Corporation

452,837

58,600

Marubeni

Corporation

290,836

11,041

Meritor,

Inc.

l

146,293

30,200

Mitsubishi

Corporation

638,798

2,800

Mitsuboshi

Belting,

Ltd.

31,262

44,600

Mitsui

&

Company,

Ltd.

619,213

11,166

National

Express

Group

plc

28,273

9,200

Nitto

Kogyo

Corporation

146,114

Shares

Common

Stock

(22.8%)

Value

Industrials

(3.0%)

-

continued

4,738

Nobina

AB

g

$

25,602

950

Norfolk

Southern

Corporation

138,700

215

Northrop

Grumman

Corporation

65,048

2,694

Old

Dominion

Freight

Line,

Inc.

353,614

14,960

PageGroup

plc

67,164

3,617

Parker-Hannifin

Corporation

469,233

1,480

Patrick

Industries,

Inc.

41,677

17,074

Primoris

Services

Corporation

271,477

7,348

Raven

Industries,

Inc.

155,998

3,397

Redde

Northgate

plc

5,841

31,459

RELX

plc

671,410

7,380

Ritchie

Brothers

Auctioneers,

Inc.

252,248

1,338

Rockwell

Automation,

Inc.

201,918

1,812

Saia,

Inc.

l

133,254

7,063

Sandvik

AB

99,353

3,800

Sanwa

Holdings

Corporation

29,511

6,661

Schneider

Electric

SE

563,007

11,012

Signify

NV

g

213,415

13,565

SKF

AB

184,852

199,700

Sojitz

Corporation

468,226

15,106

Southwest

Airlines

Company

537,925

1,474

Spirax-Sarco

Engineering

plc

147,979

30,200

Sumitomo

Corporation

344,408

1,400

Taikisha,

Ltd.

40,261

491

Teledyne

Technologies,

Inc.

l

145,960

3,700

Toppan

Forms

Company,

Ltd.

32,973

3,540

Trane

Technologies

plc

292,369

2,629

Transcontinental,

Inc.

23,333

2,900

Tsubakimoto

Chain

Company

65,503

775

Union

Pacific

Corporation

109,306

6,502

United

Airlines

Holdings,

Inc.

j,l

205,138

3,907

United

Rentals,

Inc.

l

402,030

8,844

United

Technologies

Corporation

834,255

1,819

Valmont

Industries,

Inc.

192,778

4,982

Verisk

Analytics,

Inc.

694,391

2,193

Vinci

SA

179,189

1,600

Yuasa

Trading

Company,

Ltd.

42,093

Total

21,615,867

Information

Technology

(4.7%)

3,454

Accenture

plc

563,900

1,766

Adobe,

Inc.

l

562,012

2,056

Advanced

Energy

Industries,

Inc.

l

99,695

45,888

Advanced

Micro

Devices,

Inc.

l

2,086,986

2,821

Agilysys

,

Inc.

l

47,111

7,273

Akamai

Technologies,

Inc.

l

665,407

4,516

Alliance

Data

Systems

Corporation

151,963

9,726

Amadeus

IT

Holding

SA

457,792

5,280

Amphenol

Corporation

384,806

2,378

ANSYS,

Inc.

l

552,814

13,064

Apple,

Inc.

3,322,044

220

ASM

International

NV

22,383

2,009

ASML

Holding

NV

529,602

4,213

Automatic

Data

Processing,

Inc.

575,833

6,493

BE

Semiconductor

Industries

NV

198,860

3,270

Blackline,

Inc.

l

172,035

2,590

Broadcom,

Ltd.

614,089

1,237

Broadridge

Financial

Solutions,

Inc.

117,305

3,900

Canon,

Inc.

84,751

12,890

CGI,

Inc.

l

697,853

15,317

Change

Healthcare,

Inc.

l

153,017

16,822

Ciena

Corporation

l

669,684

53,778

Cisco

Systems,

Inc.

2,114,013

4,391

Computer

Services,

Inc.

176,650

14,881

Computershare,

Ltd.

89,083

1,058

Dialog

Semiconductor

plc

l

27,501

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

61

Shares

Common

Stock

(22.8%)

Value

Information

Technology

(4.7%)

-

continued

7,237

Dolby

Laboratories,

Inc.

$

392,318

337

Euronet

Worldwide,

Inc.

l

28,888

3,500

Fuji

Soft,

Inc.

112,364

780

Gartner,

Inc.

l

77,665

26,051

Halma

plc

611,834

658

Infineon

Technologies

AG

9,499

5,813

Intel

Corporation

314,599

1,264

International

Business

Machines

Corporation

140,215

2,297

Intuit,

Inc.

528,310

2,236

KLA-Tencor

Corporation

321,403

962

Lam

Research

Corporation

230,880

5,474

Lattice

Semiconductor

Corporation

l

97,547

833

Littelfuse

,

Inc.

111,139

3,848

Lumentum

Holdings,

Inc.

l

283,598

5,191

MasterCard,

Inc.

1,253,938

5,167

Microchip

Technology,

Inc.

350,323

20,782

Micron

Technology,

Inc.

l

874,091

29,013

Microsoft

Corporation

4,575,640

868

Monolithic

Power

Systems,

Inc.

145,355

3,883

Motorola

Solutions,

Inc.

516,128

6,938

National

Instruments

Corporation

229,509

4,800

NEC

Networks

&

System

Integration

Corporation

194,572

1,679

Nice,

Ltd.

ADR

l

241,037

32,775

Nuance

Communications,

Inc.

l

549,964

1,770

NVIDIA

Corporation

466,572

5,230

Oracle

Corporation

252,766

500

Oracle

Corporation

Japan

43,611

1,440

Paychex,

Inc.

90,605

3,050

PayPal

Holdings,

Inc.

l

292,007

2,621

Plexus

Corporation

l

143,002

4,230

QUALCOMM,

Inc.

286,159

1,900

Ryoyo

Electro

Corporation

36,179

9,431

SailPoint

Technologies

Holdings,

Inc.

l

143,540

1,108

Salesforce.com,

Inc.

l

159,530

375

Samsung

Electronics

Company,

Ltd.

GDR

370,927

349

SAP

SE

38,965

1,138

ServiceNow

,

Inc.

l

326,128

3,517

Square,

Inc.

l

184,220

2,014

Synopsys,

Inc.

l

259,383

4,509

TE

Connectivity,

Ltd.

283,977

8,350

Teradyne,

Inc.

452,319

12,270

Texas

Instruments,

Inc.

1,226,141

719

VeriSign,

Inc.

l

129,485

5,864

Virtusa

Corporation

l

166,538

5,838

Visa,

Inc.

940,618

1,660

VMware,

Inc.

l

201,026

91

Wirecard

AG

10,253

Total

33,831,956

Materials

(0.9%)

12,400

Air

Water,

Inc.

169,816

2,960

Allegheny

Technologies,

Inc.

l

25,160

1,850

Anglo

American

plc

32,419

5,858

Arcelor

Mittal

55,302

6,597

Ball

Corporation

426,562

9,790

CF

Industries

Holdings,

Inc.

266,288

5,132

Coeur

Mining,

Inc.

l

16,474

7,620

Eastman

Chemical

Company

354,940

2,996

Ecolab,

Inc.

466,867

18,647

Element

Solutions,

Inc.

l

155,889

286

Eramet

SA

8,952

7,864

First

Majestic

Silver

Corporation

l

48,678

19,290

Gold

Road

Resources,

Ltd.

l

16,398

Shares

Common

Stock

(22.8%)

Value

Materials

(0.9%)

-

continued

9,410

Granges

AB

$

46,231

14,489

Hexpol

AB

85,605

6,118

Hochschild

Mining

plc

7,994

2,400

Hokuetsu

Corporation

8,961

17,015

IAMGOLD

Corporation

l

38,794

42,828

Ivanhoe

Mines,

Ltd.

l

71,213

1,117

Kirkland

Lake

Gold,

Ltd.

32,900

5,258

Koninklijke

DSM

NV

591,467

8,500

Kyoei

Steel,

Ltd.

97,639

1,500

Lintec

Corporation

31,393

15,433

Louisiana-Pacific

Corporation

265,139

997

MAG

Silver

Corporation

l

7,694

16,400

Nippon

Light

Metal

Holdings

Company,

Ltd.

25,534

45,300

Nippon

Steel

Corporation

386,151

2,706

Northern

Star

Resources,

Ltd.

17,529

5,730

Nucor

Corporation

206,395

3,542

PPG

Industries,

Inc.

296,111

14,892

Ramelius

Resources,

Ltd.

9,149

30,808

Resolute

Mining,

Ltd.

l

15,276

1,427

Rio

Tinto,

Ltd.

73,518

20,713

Sandfire

Resources,

Ltd.

41,505

500

Sanyo

Special

Steel

Company,

Ltd.

4,467

540

Sherwin-Williams

Company

248,141

7,592

St

Barbara,

Ltd.

10,024

10,886

Steel

Dynamics,

Inc.

245,370

67,700

Sumitomo

Chemical

Company,

Ltd.

200,017

1,400

Taiyo

Holdings

Company,

Ltd.

52,368

6,300

Toagosei

Company,

Ltd.

54,539

78,000

Toray

Industries,

Inc.

337,625

5,400

Ube

Industries,

Ltd.

82,375

2,359

UFP

Technologies,

Inc.

l

89,854

2,455

United

States

Lime

&

Minerals,

Inc.

181,302

11,315

UPM-

Kymmene

Oyj

j

308,526

9,002

Verso

Corporation

l

101,543

Total

6,316,094

Real

Estate

(1.1%)

2,660

Agree

Realty

Corporation

164,654

3,229

Alexandria

Real

Estate

Equities,

Inc.

442,567

4,868

Allied

Properties

REIT

154,760

5,085

Alstria

Office

REIT

AG

72,975

11,608

American

Campus

Communities,

Inc.

322,122

1,028

American

Tower

Corporation

223,847

93,600

Ascendas

REIT

185,329

12,200

Ascott

Trust

6,728

780

AvalonBay

Communities,

Inc.

114,793

5,061

Camden

Property

Trust

401,034

7,548

Castellum

AB

127,263

3,592

Choice

Properties

REIT

32,977

177

Cofinimmo

SA

22,987

1,138

CoreSite

Realty

Corporation

131,894

7,121

Cousins

Properties,

Inc.

208,432

1,420

Crown

Castle

International

Corporation

205,048

4,300

Daito

Trust

Construction

Company,

Ltd.

399,313

2,579

Digital

Realty

Trust,

Inc.

358,249

6,224

Douglas

Emmett,

Inc.

189,894

11,751

Duke

Realty

Corporation

380,497

670

EastGroup

Properties,

Inc.

70,002

1,864

Entra

ASA

g

22,265

10,686

Equity

Residential

659,433

4,093

Essential

Properties

Realty

Trust,

Inc.

53,455

1,032

Essex

Property

Trust,

Inc.

227,288

7,118

Granite

REIT

294,016

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

62

Shares

Common

Stock

(22.8%)

Value

Real

Estate

(1.1%)

-

continued

28,469

Host

Hotels

&

Resorts,

Inc.

$

314,298

15,000

Hysan

Development

Company,

Ltd.

48,441

4,343

iSTAR

Financial,

Inc.

46,079

374

Japan

Hotel

REIT

Investment

Corporation

109,178

1,282

Kungsleden

AB

9,643

24,200

Mapletree

Commercial

Trust

31,038

20,030

MGIC

Investment

Corporation

127,190

7,887

National

Storage

Affiliates

Trust

233,455

725

Plymouth

Industrial

REIT,

Inc.

8,091

4,903

PSP

Swiss

Property

AG

613,116

9,722

Quebecor,

Inc.

214,916

2,678

RioCan

REIT

30,694

17,000

Road

King

Infrastructure,

Ltd.

25,531

17,225

Sunstone

Hotel

Investors,

Inc.

150,030

1,937

Swiss

Prime

Site

AG

188,529

15,724

TAG

Immobilien

AG

309,236

1,969

Terreno

Realty

Corporation

101,896

3,844

UDR,

Inc.

140,460

39,000

Wing

Tai

Holdings,

Ltd.

42,501

Total

8,216,144

Utilities

(0.6%)

3,579

AGL

Energy,

Ltd.

37,456

8,098

Alliant

Energy

Corporation

391,052

495

American

States

Water

Company

40,461

2,179

Avista

Corporation

92,586

748

Black

Hills

Corporation

47,895

743

California

Water

Service

Group

37,388

6,823

CMS

Energy

Corporation

400,851

594

DTE

Energy

Company

56,412

10,066

Enagas

SA

198,574

55,182

Enel

SPA

380,637

5,417

Entergy

Corporation

509,036

20,688

Exelon

Corporation

761,525

4,767

FirstEnergy

Corporation

191,014

573

MGE

Energy,

Inc.

37,514

295

NextEra

Energy,

Inc.

70,983

2,580

Northland

Power,

Inc.

51,497

955

Northwest

Natural

Holding

Company

58,971

1,930

NorthWestern

Corporation

115,472

4,513

PNM

Resources,

Inc.

171,494

2,366

Portland

General

Electric

Company

113,426

2,014

PPL

Corporation

49,706

2,818

Public

Service

Enterprise

Group,

Inc.

126,556

2,263

South

Jersey

Industries,

Inc.

56,575

1,810

Spire,

Inc.

134,809

381

Unitil

Corporation

19,934

739

Verbund

AG

26,653

Total

4,178,477

Total

Common

Stock

(cost

$183,825,350)

163,648,703

Shares

Registered

Investment

Companies

(

7.4%

)

Value

Unaffiliated  (2.1%)

2,145

Health

Care

Select

Sector

SPDR

Fund

190,004

135,300

Invesco

Senior

Loan

ETF

2,768,238

2,176

iShares

Russell

2000

Value

Index

Fund

178,497

8,000

iShares

S&P

U.S.

Preferred

Stock

Index

Fund

254,720

44,234

SPDR

BBG

Barclay's

Convertible

Securities

ETF

2,117,039

Shares

Registered

Investment

Companies

(7.4%)

Value

Unaffiliated  (2.1%)-

continued

39,880

SPDR

Bloomberg

Barclays

High

Yield

Bond

ETF

$

3,778,231

25,000

Vanguard

High

Dividend

Yield

ETF

j

1,768,750

51,075

Vanguard

Short-Term

Corporate

Bond

ETF

4,040,033

Total

15,095,512

Affiliated  (5.3%)

4,271,706

Thrivent

Core

Emerging

Markets

Debt

Fund

37,761,878

Total

37,761,878

Total

Registered

Investment

Companies

(cost

$57,144,857)

52,857,390

Shares

Preferred

Stock

(

1.8%

)

Value

Communications

Services

(0.2%)

12,100

AT&T,

Inc.,

4.750%

i

256,520

865

Crown

Castle

International

Corporation,

Convertible,

6.875%

1,118,309

Total

1,374,829

Consumer

Staples

(0.2%)

26,000

CHS,

Inc.,

6.750%

b,i

579,020

31,200

CHS,

Inc.,

7.100%

b,i

720,096

Total

1,299,116

Energy

(0.1%)

195,459

Crestwood

Equity

Partners,

LP,

9.250%

i

742,744

5,300

Energy

Transfer

Operating,

LP,

7.600%

b,i

65,879

11,309

Nustar

Logistics,

LP,

8.565%

b

149,731

Total

958,354

Financials

(1.1%)

7,525

Aegon

Funding

Corporation

II,

5.100%

156,670

6,475

Agribank

FCB,

6.875%

b,i

625,647

15,500

Allstate

Corporation,

5.100%

i

358,050

13,200

Bank

of

America

Corporation,

5.000%

i

309,936

284

Bank

of

America

Corporation,

Convertible,

7.250%

i

359,550

14,875

Capital

One

Financial

Corporation,

5.000%

i

298,244

8,650

Cobank

ACB,

6.250%

b,i

847,700

16,200

Equitable

Holdings,

Inc.,

5.250%

i

274,104

425

First

Horizon

Bank,

3.750%

b,g,i

276,250

29,050

GMAC

Capital

Trust

I,

7.477%

b

595,816

16,585

Hartford

Financial

Services

Group,

Inc.,

7.875%

b

433,366

9,925

J.P.

Morgan

Chase

&

Company,

4.750%

i

231,153

22,200

Morgan

Stanley,

7.125%

b,i

581,196

13,500

Regions

Financial

Corporation,

5.700%

b,i

317,250

2,675

Synovus

Financial

Corporation,

5.875%

b,i

54,971

1,641

Wells

Fargo

&

Company,

Convertible,

7.500%

i

2,090,667

Total

7,810,570

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

63

Shares

Preferred

Stock

(1.8%)

Value

Health

Care

(0.1%)

582

Danaher

Corporation,

Convertible,

4.750%

$

606,782

Total

606,782

Industrials

(<0.1%)

234

Fortive

Corporation,

Convertible,

5.000%

168,417

2,895

Stanley

Black

&

Decker,

Inc.,

Convertible,

5.250%

202,534

Total

370,951

Utilities

(0.1%)

268

Sempra

Energy,

Convertible,

6.000%

24,795

8,836

Southern

Company,

Convertible,

6.750%

392,319

Total

417,114

Total

Preferred

Stock

(cost

$15,172,071)

12,837,716

Shares

Collateral

Held

for

Securities

Loaned

(

0.6%

)

Value

4,641,073

Thrivent

Cash

Management

Trust

4,641,073

Total

Collateral

Held

for

Securities

Loaned

(cost

$4,641,073)

4,641,073

Shares

or

Principal

Amount

Short-Term

Investments

(

13.1%

)

Value

Federal

Home

Loan

Bank

Discount

Notes

600,000

1.537%,

4/8/2020

m,n

599,992

200,000

1.520%,

4/15/2020

m,n

199,995

700,000

1.555%,

4/16/2020

m,n

699,980

600,000

0.900%,

5/7/2020

m,n

599,958

200,000

0.500%,

5/19/2020

m,n

199,981

200,000

0.150%,

5/20/2020

m,n

199,981

200,000

0.150%,

6/4/2020

m,n

199,975

200,000

0.500%,

6/9/2020

m,n

199,973

300,000

0.007%,

7/7/2020

m,n

299,927

Thrivent

Core

Short-Term

Reserve

Fund

9,074,515

1.570%

90,563,653

Total

Short-Term

Investments

(cost

$93,917,397)

93,763,415

Total

Investments

(cost

$845,389,857)

108.7%

$780,300,510

Other

Assets

and

Liabilities,

Net

(8.7%)

(62,495,634)

Total

Net

Assets

100.0%

$717,804,876

a

The

stated

interest

rate

represents

the

weighted

average

of

all

contracts

within

the

bank

loan

facility.

b

Denotes

variable

rate

securities.

The

rate

shown

is

as

of

March

31,

2020.

The

rates

of

certain

variable

rate

securities

are

based

on

a

published

reference

rate

and

spread;

these

may

vary

by

security

and

the

reference

rate

and

spread

are

indicated

in

their

description.  The

rates

of

other

variable

rate

securities

are

determined

by

the

issuer

or

agent

and

are

based

on

current

market

conditions.  These

securities

do

not

indicate

a

reference

rate

and

spread

in

their

description.  

c

Security

is

valued

using

significant

unobservable

inputs.

Further

information

on

valuation

can

be

found

in

the

Notes

to

Financial

Statements.

d

All

or

a

portion

of

the

loan

is

unfunded.

e

Denotes

investments

purchased

on

a

when-issued

or

delayed

delivery

basis.

f

In

bankruptcy.  Interest

is

being

accrued

per

the

bankruptcy

agreement

terms.  

g

Denotes

securities

sold

under

Rule

144A

of

the

Securities

Act

of

1933,

which

exempts

them

from

registration.

These

securities

may

be

resold

to

other

dealers

in

the

program

or

to

other

qualified

institutional

buyers.

As

of

March

31,

2020,

the

value

of

these

investments

was

$146,144,705

or

20.4%

of

total

net

assets.

h

Denotes

step

coupon

securities.

Step

coupon

securities

pay

an

initial

coupon

rate

for

the

first

period

and

then

different

coupon

rates

for

following

periods.

The

rate

shown

is

as

of

March

31,

2020.

i

Denotes

perpetual

securities.

Perpetual

securities

pay

an

indefinite

stream

of

income

and

have

no

contractual

maturity

date.

Date

shown,

if

applicable,

is

next

call

date.

j

All

or

a

portion

of

the

security

is

on

loan.

k

Denotes

interest

only

security.  Interest

only

securities

represent

the

right

to

receive

monthly

interest

payments

on

an

underlying

pool

of

mortgages

or

assets.  The

principal

shown

is

the

outstanding

par

amount

of

the

pool

as

of

the

end

of

the

period.

The

actual

effective

yield

of

the

security

is

different

than

the

stated

coupon

rate.

l

Non-income

producing

security.

m

The

interest

rate

shown

reflects

the

yield,

coupon

rate

or

the

discount

rate

at

the

date

of

purchase.

n

All

or

a

portion

of

the

security

is

held

on

deposit

with

the

counterparty

and

pledged

as

the

initial

margin

deposit

for

open

futures

contracts.

The

following

table

presents

the

total

amount

of

securities

loaned

with

continuous

maturity,

by

type,

offset

by

the

gross

payable

upon

return

of

collateral

for

securities

loaned

by

Thrivent

Diversified

Income

Plus

Portfolio

as

of

March

31,

2020:

Securities

Lending

Transactions

Long-Term

Fixed

Income

$

1,831,408

Common

Stock

2,608,857

Total

lending

$4,440,265

Gross

amount

payable

upon

return

of              

collateral

for

securities

loaned

$4,641,073

Net

amounts

due

to

counterparty

$200,808

Definitions:

ACES

-

Alternative

Credit

Enhancement

Securities

ADR

-

American

Depositary

Receipt,

which

are

certificates

for

an

underlying

foreign

security's

shares

held

by

an

issuing

U.S.

depository

bank.

CLO

-

Collateralized

Loan

Obligation

ETF

-

Exchange

Traded

Fund

GDR

-

Global

Depository

Receipts,

which

are

certificates

for

shares

of

an

underlying

foreign

security’s

shares

held

by

an

issuing

depository

bank

from

more

than

one

country.

REMIC

-

Real

Estate

Mortgage

Investment

Conduit

REIT

-

Real

Estate

Investment

Trust

is

a

company

that

buys,

develops,

manages

and/or

sells

real

estate

assets.

Ser.

-

Series

SPDR

-

S&P

Depository

Receipts,

which

are

exchange-traded

funds

traded

in

the

U.S.,

Europe,

and

Asia-Pacific

and

managed

by

State

Street

Global

Advisors.

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

64

Reference

Rate

Index:

12

MTA

-

12

Month

Treasury

Average

CMT

1Y

-

Constant

Maturity

Treasury

Yield

1

Year

COF

11

-

11th

District

Cost

of

Funds

H15T30Y

-

U.

S.

Treasury

Yield

Curve

Rate

Treasury

Note

Constant

Maturity

30

Year

LIBOR

1W

-

ICE

Libor

USD

Rate

1

Week

LIBOR

1M

-

ICE

Libor

USD

Rate

1

Month

LIBOR

2M

-

ICE

Libor

USD

Rate

2

Month

LIBOR

3M

-

ICE

Libor

USD

Rate

3

Month

PRIME

-

Federal

Reserve

Prime

Loan

Rate

USISDA

10Y

-

ICE

Swap

USD

Rate

10

Year

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

65

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Diversified

Income

Plus

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Bank

Loans

Basic

Materials

3,932,666

–

3,012,484

920,182

Capital

Goods

7,967,491

–

4,830,422

3,137,069

Communications

Services

21,250,610

–

15,532,806

5,717,804

Consumer

Cyclical

13,548,863

–

11,998,529

1,550,334

Consumer

Non-Cyclical

12,673,575

–

12,673,575

–

Energy

4,782,348

–

4,459,106

323,242

Financials

8,179,653

–

8,179,653

–

Technology

7,276,268

–

4,481,999

2,794,269

Transportation

1,618,864

–

948,364

670,500

Utilities

1,265,076

–

897,523

367,553

Long-Term

Fixed

Income

Asset-Backed

Securities

28,331,270

–

28,331,270

–

Basic

Materials

5,865,526

–

5,865,526

–

Capital

Goods

16,535,016

–

16,535,016

–

Collateralized

Mortgage

Obligations

71,106,242

–

71,106,242

–

Commercial

Mortgage-Backed

Securities

2,316,901

–

2,316,901

–

Communications

Services

25,482,966

–

25,482,966

–

Consumer

Cyclical

17,687,509

–

17,687,509

–

Consumer

Non-Cyclical

24,563,302

–

24,563,302

–

Energy

12,777,584

–

12,777,584

–

Financials

55,055,706

–

55,055,706

–

Mortgage-Backed

Securities

85,390,507

–

85,390,507

–

Technology

12,668,086

–

12,668,086

–

Transportation

3,569,125

–

3,569,125

–

Utilities

8,707,059

–

8,707,059

–

Common

Stock

Communications

Services

9,984,772

8,348,879

1,635,893

–

Consumer

Discretionary

13,420,238

10,669,058

2,751,180

–

Consumer

Staples

8,777,173

6,149,782

2,627,391

–

Energy

7,621,810

6,087,529

1,534,281

–

Financials

24,765,343

16,930,514

7,834,829

–

Health

Care

24,920,829

18,411,613

6,509,216

–

Industrials

21,615,867

14,041,082

7,574,785

–

Information

Technology

33,831,956

30,295,927

3,536,029

–

Materials

6,316,094

3,433,507

2,882,587

–

Real

Estate

8,216,144

5,274,708

2,941,436

–

Utilities

4,178,477

3,483,660

694,817

–

Registered

Investment

Companies

Unaffiliated

15,095,512

15,095,512

–

–

Preferred

Stock

Communications

Services

1,374,829

256,520

1,118,309

–

Consumer

Staples

1,299,116

1,299,116

–

–

Energy

958,354

958,354

–

–

Financials

7,810,570

6,060,973

1,749,597

–

Health

Care

606,782

–

606,782

–

Industrials

370,951

370,951

–

–

Utilities

417,114

417,114

–

–

Short-Term

Investments

3,199,762

–

3,199,762

–

Subtotal

Investments

in

Securities

$647,333,906

$147,584,799

$484,268,154

$15,480,953

Other

Investments  *

Total

Affiliated

Short-Term

Investments

90,563,653

Affiliated

Registered

Investment

Companies

37,761,878

Collateral

Held

for

Securities

Loaned

4,641,073

Subtotal

Other

Investments

$132,966,604

Total

Investments

at

Value

$780,300,510

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

66

Reference

Description:

CBOT

-

Chicago

Board

of

Trade

CME

-

Chicago

Mercantile

Exchange

EAFE

-

Europe,

Australasia

and

Far

East

ICE

-

Intercontinental

Exchange

MSCI

-

Morgan

Stanley

Capital

International

S&P

-

Standard

&

Poor's

Other

Financial

Instruments

Total

Level

1

Level

2

Level

3

Asset

Derivatives

Futures

Contracts

2,012,151

2,012,151

–

–

Total

Asset

Derivatives

$2,012,151

$2,012,151

$–

$–

Liability

Derivatives

Futures

Contracts

416,479

416,479

–

–

Total

Liability

Derivatives

$416,479

$416,479

$–

$–

The

following

table

presents

Diversified

Income

Plus

Portfolio's

futures

contracts

held

as

of

March

31,

2020.

Investments

and/or

cash

totaling

$3,199,762

were

pledged

as

the

initial

margin

deposit

for

these

contracts.

Futures

Contracts

Description

Number

of

Contracts

Long/(Short)

Expiration

Date

Notional

Principal

Amount

Value

and

Unrealized

CBOT

10-Yr.

U.S.

Treasury

Note

28

June

2020

$

3,726,497

$

156,754

CBOT

2-Yr.

U.S.

Treasury

Note

167

June

2020

36,146,879

657,050

CBOT

5-Yr.

U.S.

Treasury

Note

51

June

2020

6,199,050

194,278

CBOT

U.S.

Long

Bond

18

June

2020

2,955,012

268,113

CME

Euro

Foreign

Exchange

Currency

39

June

2020

5,513,095

(

126,464)

CME

Ultra

Long

Term

U.S.

Treasury

Bond

1

June

2020

198,230

23,645

Eurex

Euro

STOXX

50

Index

181

June

2020

4,929,032

476,813

ICE

mini

MSCI

EAFE

Index

7

June

2020

518,117

27,638

Total

Futures

Long

Contracts

$

60,185,912

$

1,677,827

CME

E-mini

Russell

2000

Index

(73)

June

2020

(

$

4,045,595)

(

$

143,145)

CME

E-mini

S&P

500

Index

(37)

June

2020

(

4,961,805)

207,860

Ultra

10-Yr.

U.S.

Treasury

Note

(18)

June

2020

(

2,661,692)

(

146,870)

Total

Futures

Short

Contracts

(

$

11,669,092)

($82,155)

Total

Futures

Contracts

$

48,516,820

$1,595,672

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Cash

Management

Trust

for

the

purpose

of

securities

lending

and

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Cash

Management

Trust

and

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Diversified

Income

Plus

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Registered

Investment

Companies

Core

Emerging

Markets

Debt

$41,621

$829

$–

$37,762

4,272

5.3%

Total

Affiliated

Registered

Investment

Companies

41,621

37,762

5.3

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

99,710

82,399

91,332

90,564

9,075

12.6

Total

Affiliated

Short-Term

Investments

99,710

90,564

12.6

Collateral

held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

4,288

52,309

51,956

4,641

4,641

0.6

Total

Collateral

Held

for

Securities

Loaned

4,288

4,641

0.6

Total

Value

$145,619

$132,967

Diversified

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

67

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Registered

Investment

Companies

Core

Emerging

Markets

Debt

$–

$(4,688)

–

$462

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

(58)

(155)

–

469

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$931

Collateral

Held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

–

–

–

14

Total

Affiliated

Income

from

Securities

Loaned,

Net

$14

Total

Value

$(58)

$(4,843)

$–

Global

Stock

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

68

Shares

Common

Stock

(

80.8%

)

Value

Communications

Services

(5.6%)

47,778

Activision

Blizzard,

Inc.

a

$

2,841,835

10,425

Alphabet,

Inc.,

Class

A

a

12,113,329

2,037

Alphabet,

Inc.,

Class

C

a

2,368,644

25,942

AMC

Entertainment

Holdings,

Inc.

81,977

1,676

AMC

Networks,

Inc.

a

40,744

525,329

Auto

Trader

Group

plc

b

2,838,763

770

Boingo

Wireless,

Inc.

a

8,170

35,142

Carsales.com,

Ltd.

252,510

4,029

Cinemark

Holdings,

Inc.

41,055

114,391

Comcast

Corporation

3,932,763

3,022

Consolidated

Communications

Holdings,

Inc.

13,750

6,680

Discovery,

Inc.,

Class

A

a

129,859

3,903

EchoStar

Corporation

a

124,779

30,789

Facebook,

Inc.

a

5,135,605

16,330

Gannett

Company,

Inc.

24,168

1,188

Hemisphere

Media

Group,

Inc.

a

10,145

267,000

HKT

Trust

and

HKT,

Ltd.

363,133

6,596

Interpublic

Group

of

Companies,

Inc.

106,789

8,758

Ipsos

SA

181,723

7,435

Lions

Gate

Entertainment

Corporation,

Class

A

a

45,205

6,015

Lions

Gate

Entertainment

Corporation,

Class

B

a

33,564

43,359

Live

Nation

Entertainment,

Inc.

a,c

1,971,100

267,790

Mediaset

Espana

Comunicacion

SA

977,809

5,941

Meredith

Corporation

72,599

1,564

News

Corporation,

Class

B

14,060

32,192

Orange

SA

389,764

30,200

ORBCOMM,

Inc.

a

73,688

22,317

Rightmove

plc

134,593

3,025

RingCentral,

Inc.

a

641,028

1,471

Scholastic

Corporation

37,496

116,927

Seven

West

Media,

Ltd.

a

5,686

1,337

Sinclair

Broadcast

Group,

Inc.

21,499

91,500

SoftBank

Corporation

1,165,590

13,200

SoftBank

Group

Corporation

467,312

6,460

Take-Two

Interactive

Software,

Inc.

a

766,221

13,079

Tegna,

Inc.

142,038

1,741,664

Telecom

Italia

SPA

704,981

167,225

Telefonica

SA

761,057

820

Telephone

&

Data

Systems,

Inc.

13,743

93,400

TV

Asahi

Holdings

Corporation

1,415,557

51,970

Uber

Technologies,

Inc.

a

1,451,002

124,455

Verizon

Communications,

Inc.

6,686,967

23,728

ViacomCBS,

Inc.

332,429

118,570

Vodafone

Group

plc

164,035

21,018

Wolters

Kluwer

NV

1,487,742

Total

50,586,506

Consumer

Discretionary

(8.4%)

3,116

Abercrombie

&

Fitch

Company

28,324

3,679

Adient

plc

a

33,369

21,482

Alibaba

Group

Holding,

Ltd.

ADR

a

4,177,819

10,822

Amazon.com,

Inc.

a

21,099,870

1,561

American

Axle

&

Manufacturing

Holdings,

Inc.

a

5,635

9,140

American

Eagle

Outfitters,

Inc.

72,663

535

American

Public

Education,

Inc.

a

12,803

11,400

AOKI

Holdings,

Inc.

76,343

23,800

Aoyama

Trading

Company,

Ltd.

203,615

22,069

Aptiv

plc

1,086,678

7,795

At

Home

Group,

Inc.

a

15,746

13,200

Autobacs

Seven

Company,

Ltd.

151,941

1,218

AutoZone,

Inc.

a

1,030,428

1,600

Beazer

Homes

USA,

Inc.

a

10,304

Shares

Common

Stock

(80.8%)

Value

Consumer

Discretionary

(8.4%)

-

continued

19,900

Bed

Bath

&

Beyond,

Inc.

$

83,779

19,181

Berkeley

Group

Holdings

plc

856,114

2,614

Big

Lots,

Inc.

37,171

414

Boyd

Gaming

Corporation

5,970

7,700

Bridgestone

Corporation

235,702

9,164

Bright

Horizons

Family

Solutions,

Inc.

a

934,728

5,169

Burlington

Stores,

Inc.

a

819,080

1,997

Caleres,

Inc.

10,384

1,834

Carnival

Corporation

24,154

16,782

Chico's

FAS,

Inc.

21,649

4,328

Chipotle

Mexican

Grill,

Inc.

a

2,832,243

14,500

Chiyoda

Company,

Ltd.

156,020

78

Churchill

Downs,

Inc.

8,030

211,700

Citizen

Watch

Company,

Ltd.

746,926

22,655

Cooper-Standard

Holdings,

Inc.

a

232,667

4,584

Culp,

Inc.

33,738

30,137

D.R.

Horton,

Inc.

1,024,658

3,561

Dana,

Inc.

27,811

104,200

Denso

Corporation

3,329,656

2,193

Domino's

Pizza,

Inc.

710,685

16,766

Duluth

Holdings,

Inc.

a

67,232

6,232

Emerald

Holding,

Inc

16,141

3,516

Ethan

Allen

Interiors,

Inc.

35,934

6,843

Etsy,

Inc.

a

263,045

6,400

Exedy

Corporation

94,194

5,292

Express,

Inc.

a

7,885

3,566

Extended

Stay

America,

Inc.

26,067

13,367

Five

Below,

Inc.

a

940,769

6,401

Foot

Locker,

Inc.

141,142

12,907

Fossil,

Inc.

a

42,464

268,000

Galaxy

Entertainment

Group,

Ltd.

1,411,508

14,286

GameStop

Corporation

a

50,001

6,553

Garrett

Motion,

Inc.

a

18,742

4,352

Genuine

Parts

Company

293,020

6,308

Goodyear

Tire

&

Rubber

Company

36,713

3,568

Grand

Canyon

Education,

Inc.

a

272,185

166

Group

1

Automotive,

Inc.

7,347

1,935

GrubHub,

Inc.

a

78,813

2,728

Hertz

Global

Holdings,

Inc.

a

16,859

24,817

Home

Depot,

Inc.

4,633,582

1,142

Hooker

Furniture

Corporation

17,827

19,389

Industria

de

Diseno

Textil

SA

502,440

9,222

Knoll,

Inc.

95,171

6,032

L

Brands,

Inc.

69,730

5,071

Lear

Corporation

412,019

45,315

Lowe's

Companies,

Inc.

3,899,356

1,243

Lumber

Liquidators

Holdings,

Inc.

a

5,830

12,680

Macy's,

Inc.

62,259

334

Madison

Square

Garden

Company

a

70,611

3,466

Marcus

Corporation

42,701

435

Marriott

Vacations

Worldwide

Corporation

24,177

23,245

Mattel,

Inc.

a

204,788

16,482

Michaels

Companies,

Inc.

a

26,701

2,901

Modine

Manufacturing

Company

a

9,428

6,345

Mohawk

Industries,

Inc.

a

483,743

198,072

Moneysupermarket.com

Group

plc

736,047

560

Newell

Brands,

Inc.

7,437

72,300

NHK

Spring

Company,

Ltd.

471,608

39,499

NIKE,

Inc.

3,268,147

32,600

Nissan

Motor

Company,

Ltd.

109,070

1,068

Norwegian

Cruise

Line

Holdings,

Ltd.

a

11,705

188

NVR,

Inc.

a

482,993

17,882

Office

Depot,

Inc.

29,326

Global

Stock

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

69

Shares

Common

Stock

(80.8%)

Value

Consumer

Discretionary

(8.4%)

-

continued

13,384

Ollie's

Bargain

Outlet

Holdings,

Inc.

a

$

620,215

13,800

Onward

Holdings

Company,

Ltd.

60,652

5,736

Park

Hotels

&

Resorts,

Inc.

45,372

12,600

Park24

Company,

Ltd.

185,745

9,954

Party

City

Holdco,

Inc.

a

4,562

8,086

Penn

National

Gaming,

Inc.

a

102,288

25,163

Planet

Fitness,

Inc.

a

1,225,438

54,078

Playa

Hotels

and

Resorts

NV

a

94,636

10,000

PLENUS

Company,

Ltd.

171,005

425

PVH

Corporation

15,997

15,805

Qurate

Retail,

Inc.

a

96,490

16,017

Red

Rock

Resorts,

Inc.

136,945

124,429

Redrow

plc

551,577

17,300

Rinnai

Corporation

1,219,486

2,445

Ruth's

Hospitality

Group,

Inc.

16,333

3,969

Sally

Beauty

Holdings,

Inc.

a

32,070

27,300

Sangetsu

Company,

Ltd.

404,073

14,100

SHIMAMURA

Company,

Ltd.

852,117

3,467

Signet

Jewelers,

Ltd.

22,362

5,475

Six

Flags

Entertainment

Corporation

68,656

6,086

Skyline

Corporation

a

95,428

29,924

Sony

Corporation

ADR

1,770,902

7,129

Standard

Motor

Products,

Inc.

296,353

321,200

Sumitomo

Electric

Industries,

Ltd.

3,355,892

6,400

Sumitomo

Forestry

Company,

Ltd.

81,712

172,700

Sumitomo

Rubber

Industries,

Ltd.

1,622,137

13,366

Super

Retail

Group,

Ltd.

38,230

7,362

Tailored

Brands,

Inc.

12,810

5,200

Takara

Standard

Company,

Ltd.

79,485

441

Tapestry,

Inc.

5,711

6,942

Taylor

Morrison

Home

Corporation

a

76,362

467,611

Taylor

Wimpey

plc

672,872

6,866

Tenneco,

Inc.

a

24,718

9,541

Texas

Roadhouse,

Inc.

394,043

1,873

Thor

Industries,

Inc.

79,003

594

Toll

Brothers,

Inc.

11,434

32,400

Toyoda

Gosei

Company,

Ltd.

551,409

11,015

Tupperware

Brands

Corporation

17,844

2,898

Ulta

Beauty,

Inc.

a

509,179

5,500

United

Arrows,

Ltd.

82,714

1,911

Urban

Outfitters,

Inc.

a

27,213

3,854

Vail

Resorts,

Inc.

569,274

150

Williams-Sonoma,

Inc.

6,378

7,461

Wingstop,

Inc.

594,642

5,613

Workhorse

Group,

Inc.

a

10,160

Total

76,545,384

Consumer

Staples

(3.3%)

468

Andersons,

Inc.

8,775

27,450

Anheuser-Busch

InBev

NV

1,212,464

16,400

Arcs

Company,

Ltd.

294,629

2,979

B&G

Foods,

Inc.

53,890

145

Beyond

Meat,

Inc.

a

9,657

5,802

BJ's

Wholesale

Club

Holdings,

Inc.

a

147,777

21,494

Carlsberg

AS

2,419,791

6,691

Casey's

General

Stores,

Inc.

886,491

1,519

Central

Garden

&

Pet

Company

a

41,772

2,369

Edgewell

Personal

Care

Company

a

57,045

580

Energizer

Holdings,

Inc.

17,545

21,277

ForFarmers

BV

132,351

5,160

Glanbia

plc

56,170

8,286

Hain

Celestial

Group,

Inc.

a

215,187

14,000

Kewpie

Corporation

280,207

9,488

Kimberly-Clark

Corporation

1,213,231

80

Lindt

&

Spruengli

AG

671,478

2,884

L'Oreal

SA

746,411

Shares

Common

Stock

(80.8%)

Value

Consumer

Staples

(3.3%)

-

continued

5,200

Ministop

Company,

Ltd.

$

70,149

6,684

Monster

Beverage

Corporation

a

376,042

61,383

Nestle

SA

6,283,642

36,359

Philip

Morris

International,

Inc.

2,652,753

5,723

Reckitt

Benckiser

Group

plc

435,952

1,306

Seneca

Foods

Corporation

a

51,953

12,637

Simply

Good

Foods

Company

a

243,389

1,913

Sprouts

Farmers

Markets,

Inc.

a

35,563

30,300

Sugi

Holdings

Company,

Ltd.

1,622,548

79,500

Sundrug

Company,

Ltd.

2,547,516

2,190

TreeHouse

Foods,

Inc.

a

96,688

18,935

Turning

Point

Brands,

Inc.

399,718

27,247

Unilever

NV

1,339,226

6,378

United

Natural

Foods,

Inc.

a

58,550

3,641

Vector

Group,

Ltd.

34,298

41,495

Wal-Mart

Stores,

Inc.

4,714,662

Total

29,427,520

Energy

(2.3%)

25,845

Antero

Midstream

Corporation

54,274

814

Apache

Corporation

3,402

50,165

Archrock,

Inc.

188,620

75,104

BP

plc

ADR

1,831,787

54,399

Callon

Petroleum

Company

a

29,805

11,409

Centennial

Resource

Development,

Inc.

a

3,001

23,568

Chevron

Corporation

1,707,737

12,144

Cimarex

Energy

Company

204,383

5,287

Concho

Resources,

Inc.

226,548

20,360

ConocoPhillips

627,088

12,200

Continental

Resources,

Inc.

93,208

8,730

Core

Laboratories

NV

90,268

7,059

Devon

Energy

Corporation

48,778

10,428

Diamond

Offshore

Drilling,

Inc.

a

19,083

72,971

Eni

SPA

725,148

21,919

EnLink

Midstream,

LLC

24,111

52,480

Enterprise

Products

Partners,

LP

750,464

14,429

EQT

Corporation

102,013

7,556

Equitrans

Midstream

Corporation

38,007

6,976

Exterran

Corporation

a

33,485

16,740

Exxon

Mobil

Corporation

635,618

10,323

Frank's

International

NV

a

26,737

2,477

Gaztransport

Et

Technigaz

SA

178,340

15,836

Gran

Tierra

Energy,

Inc.

a

3,970

51,066

Halliburton

Company

349,802

5,415

Helmerich

&

Payne,

Inc.

84,745

683,100

JXTG

Holdings,

Inc.

2,327,586

7,336

Liberty

Oilfield

Services,

Inc.

19,734

152,812

Marathon

Oil

Corporation

502,751

45,435

Marathon

Petroleum

Corporation

1,073,175

41,095

Nabors

Industries,

Ltd.

16,031

7,973

NexTier

Oilfield

Solutions,

Inc.

a

9,328

20,281

Nine

Energy

Service,

Inc.

a

16,393

8,854

Oceaneering

International,

Inc.

a

26,031

1,734

Oil

States

International,

Inc.

a

3,520

5,267

OMV

AG

144,142

3,557

Patterson-UTI

Energy,

Inc.

8,359

3,317

PDC

Energy,

Inc.

a

20,599

5,389

Peabody

Energy

Corporation

15,628

1,116

Penn

Virginia

Corporation

a

3,448

16,065

Pioneer

Natural

Resources

Company

1,126,960

6,148

Plains

GP

Holdings,

LP

34,490

3,139

ProPetro

Holding

Corporation

a

7,847

97,679

QEP

Resources,

Inc.

32,674

127,713

Royal

Dutch

Shell

plc,

Class

A

2,218,840

206,560

Royal

Dutch

Shell

plc,

Class

B

3,464,842

Global

Stock

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

70

Shares

Common

Stock

(80.8%)

Value

Energy

(2.3%)

-

continued

7,091

RPC,

Inc.

$

14,607

42,130

Southwestern

Energy

Company

a

71,200

11,032

Talos

Energy,

Inc.

a

63,434

3,917

Targa

Resources

Corporation

27,066

16,846

Total

SA

634,738

20,604

TransCanada

Energy

Corporation

915,782

54,642

Transocean,

Ltd.

a

63,385

Total

20,943,012

Financials

(12.3%)

210

1st

Source

Corporation

6,810

116,491

AB

Industrivarden

2,230,512

41,467

Aflac,

Inc.

1,419,830

7,826

AG

Mortgage

Investment

Trust,

Inc.

21,443

80,400

AIA

Group,

Ltd.

719,953

966

Alleghany

Corporation

533,570

30,426

Allianz

SE

5,181,477

1,194

American

Equity

Investment

Life

Holding

Company

22,447

14,398

American

Express

Company

1,232,613

18,193

American

Financial

Group,

Inc.

1,274,965

31,225

American

International

Group,

Inc.

757,206

2,405

Ameriprise

Financial,

Inc.

246,464

9,253

Ameris

Bancorp

219,851

1,210

Argo

Group

International

Holdings,

Ltd.

44,843

522

ARMOUR

Residential

REIT,

Inc.

4,599

6,389

Arthur

J.

Gallagher

&

Company

520,767

2,109

Artisan

Partners

Asset

Management,

Inc.

45,322

10,567

Associated

Banc-Corp

135,152

4,130

Assured

Guaranty,

Ltd.

106,513

24,353

Baloise

Holding

AG

3,174,946

305,537

Bank

Leumi

Le-Israel

BM

1,684,720

317,241

Bank

of

America

Corporation

6,735,026

814

Bank

of

Marin

Bancorp

24,420

41,140

Bank

of

Montreal

2,077,317

4,632

BankFinancial

Corporation

40,808

3,204

BankUnited,

Inc.

59,915

7,648

Banner

Corporation

252,690

1,177

BOK

Financial

Corporation

50,093

25,024

Boston

Private

Financial

Holdings,

Inc.

178,922

3,069

Brighthouse

Financial,

Inc.

a

74,178

40,865

BrightSphere

Investment

Group

261,127

1,769

Brown

&

Brown,

Inc.

64,073

2,409

Byline

Bancorp,

Inc.

24,981

1,074

Cadence

Bancorporation

7,035

34,593

Capital

One

Financial

Corporation

1,744,179

5,286

Cboe

Global

Markets,

Inc.

471,776

72,748

Charles

Schwab

Corporation

2,445,788

12,366

Chubb,

Ltd.

1,381,159

254,058

CI

Financial

Corporation

2,521,986

3,396

Cincinnati

Financial

Corporation

256,228

7,796

CIT

Group,

Inc.

134,559

87,338

Citigroup,

Inc.

3,678,677

12,971

Citizens

Financial

Group,

Inc.

243,985

12,845

CNP

Assurances

124,373

28,434

Comerica,

Inc.

834,254

45,021

Commonwealth

Bank

of

Australia

1,698,646

459

Community

Bank

System,

Inc.

26,989

7,162

Community

Trust

Bancorp,

Inc.

227,680

9,056

Cullen/Frost

Bankers,

Inc.

505,234

182,000

DBS

Group

Holdings,

Ltd.

2,374,763

8,935

Deutsche

Boerse

AG

1,227,528

89,280

Deutsche

Pfandbriefbank

AG

b

673,986

Shares

Common

Stock

(80.8%)

Value

Financials

(12.3%)

-

continued

265

Diamond

Hill

Investment

Group,

Inc.

$

23,914

6,248

Discover

Financial

Services

222,866

181,859

DnB

ASA

2,026,079

2,145

Enterprise

Financial

Services

Corporation

59,867

7,714

Essent

Group,

Ltd.

203,187

43,965

Euronext

NV

b

3,237,287

58,396

Everi

Holdings,

Inc.

a

192,707

1,192

FBL

Financial

Group,

Inc.

55,631

698

Federal

Agricultural

Mortgage

Corporation

38,830

8,648

Fifth

Third

Bancorp

128,423

4,637

Financial

Institutions,

Inc.

84,115

3,035

First

American

Financial

Corporation

128,714

596

First

Bancshares,

Inc.

11,366

7,758

First

Busey

Corporation

132,739

1,052

First

Citizens

BancShares,

Inc.

350,179

12,785

First

Defiance

Financial

Corporation

188,451

3,925

First

Financial

Corporation

132,351

7,197

First

Interstate

BancSystem,

Inc.

207,562

5,718

First

Midwest

Bancorp,

Inc.

75,678

747

First

of

Long

Island

Corporation

12,960

3,902

First

Republic

Bank

321,057

429,454

FlexiGroup,

Ltd.

198,496

4,028

Goldman

Sachs

Group,

Inc.

622,689

6,837

Great

Southern

Bancorp,

Inc.

276,215

8,087

Great

Western

Bancorp,

Inc.

165,622

7,239

Hamilton

Lane,

Inc.

400,389

2,647

Hancock

Whitney

Corporation

51,669

653

Hanmi

Financial

Corporation

7,085

4,610

Hanover

Insurance

Group,

Inc.

417,574

38,988

Hartford

Financial

Services

Group,

Inc.

1,373,937

5,996

Heritage

Commerce

Corporation

45,989

653

Heritage

Financial

Corporation

13,060

5,458

Hometrust

Bancshares,

Inc.

86,891

8,231

Horizon

Bancorp,

Inc.

81,158

1,089

Houlihan

Lokey,

Inc.

56,759

136,962

HSBC

Holdings

plc

768,871

8,211

Independent

Bank

Corporation

105,676

9,235

Interactive

Brokers

Group,

Inc.

398,675

3,839

Intercontinental

Exchange,

Inc.

309,999

2,390

International

Bancshares

Corporation

64,243

714,920

Israel

Discount

Bank,

Ltd.

2,084,612

23,649

J.P.

Morgan

Chase

&

Company

2,129,119

531

Janus

Henderson

Group

plc

8,135

59,330

KeyCorp

615,252

5,805

L

E

Lundbergforetagen

AB

235,321

2,354

Lakeland

Bancorp,

Inc.

25,447

46,361

Laurentian

Bank

of

Canada

c

1,006,745

3,181

Loews

Corporation

110,794

3,659

M&T

Bank

Corporation

378,450

185,090

Manulife

Financial

Corporation

2,323,982

1,802

Mercantile

Bank

Corporation

38,148

36,089

MetLife,

Inc.

1,103,241

6,571

MidWestOne

Financial

Group,

Inc.

137,597

15,900

Mizrahi

Tefahot

Bank,

Ltd.

292,651

53,728

Morgan

Stanley

1,826,752

165

Morningstar,

Inc.

19,181

2,425

Mr.

Cooper

Group,

Inc.

a

17,775

2,404

MSCI,

Inc.

694,660

15,238

National

Bank

of

Canada

588,925

109

National

Western

Life

Group,

Inc.

18,748

111,630

Natixis

355,457

689

NBT

Bancorp,

Inc.

22,317

Global

Stock

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

71

Shares

Common

Stock

(80.8%)

Value

Financials

(12.3%)

-

continued

4,656

Northern

Trust

Corporation

$

351,342

2,897

Northwest

Bancshares,

Inc.

33,518

1,394

OFG

Bancorp

15,585

1,418

Old

Republic

International

Corporation

21,625

4,109

Old

Second

Bancorp,

Inc.

28,393

11,694

Onex

Corporation

428,024

2,472

PacWest

Bancorp

44,298

13,422

Paragon

Banking

Group

plc

54,897

12,091

Pargesa

Holding

SA

798,288

197

Park

National

Corporation

15,295

1,536

Peoples

Bancorp,

Inc.

34,022

11,500

PNC

Financial

Services

Group,

Inc.

1,100,780

21,363

Popular,

Inc.

747,705

48,338

Power

Corporation

of

Canada

777,640

9,290

Prosight

Global,

Inc.

a

90,578

1,012

Provident

Financial

Services,

Inc.

13,014

9,002

Prudential

Financial,

Inc.

469,364

6,721

QCR

Holdings,

Inc.

181,937

37,040

Raymond

James

Financial,

Inc.

2,340,928

673

Ready

Capital

Corporation

4,859

5,811

Reinsurance

Group

of

America,

Inc.

488,938

4,574

Renasant

Corporation

99,896

25,742

Royal

Bank

of

Canada

1,594,493

13,881

S&P

Global,

Inc.

3,401,539

968

Safety

Insurance

Group,

Inc.

81,728

2,348

Sandy

Spring

Bancorp,

Inc.

53,159

7,007

Santander

Consumer

USA

Holdings,

Inc.

97,467

10,256

Seacoast

Banking

Corporation

of

Florida

a

187,787

12,521

SEI

Investments

Company

580,223

537

Selective

Insurance

Group,

Inc.

26,689

15,100

Senshu

Ikeda

Holdings,

Inc.

22,765

35,500

Singapore

Exchange,

Ltd.

228,636

3,799

SLM

Corporation

27,315

9,145

Spirit

of

Texas

Bancshares,

Inc.

a

94,559

386

Starwood

Property

Trust,

Inc.

3,957

93,507

Sun

Life

Financial,

Inc.

3,007,931

5,275

SVB

Financial

Group

a

796,947

9,969

Swiss

Life

Holding

AG

3,346,056

21,454

Synovus

Financial

Corporation

376,732

3,907

T.

Rowe

Price

Group,

Inc.

381,519

288

TCF

Financial

Corporation

6,526

1,625

Territorial

Bancorp,

Inc.

39,894

4,745

TMX

Group,

Ltd.

353,254

5,818

Topdanmark

AS

233,457

161,396

Toronto-Dominion

Bank

6,861,595

6,550

TPG

RE

Finance

Trust,

Inc.

35,960

3,553

TriCo

Bancshares

105,950

13,000

TrustCo

Bank

Corporation

70,330

52,546

U.S.

Bancorp

1,810,210

282

UMB

Financial

Corporation

13,079

2,378

Umpqua

Holdings

Corporation

25,920

632

Univest

Financial

Corporation

10,314

40

Virtus

Investment

Partners,

Inc.

3,044

2,302

Washington

Trust

Bancorp,

Inc.

84,161

15,041

Webster

Financial

Corporation

344,439

3,131

WesBanco,

Inc.

74,205

503

Westamerica

Bancorporation

29,566

3,375

Western

Alliance

Bancorp

103,309

16,900

Wintrust

Financial

Corporation

555,334

50,229

Zions

Bancorporations

NA

1,344,128

Total

111,873,750

Shares

Common

Stock

(80.8%)

Value

Health

Care

(13.1%)

458

Acceleron

Pharma,

Inc.

a

$

41,160

7,009

ADMA

Biologics,

Inc.

a

20,186

3,352

Aduro

Biotech,

Inc.

a

9,184

7,118

Aerie

Pharmaceuticals,

Inc.

a

96,093

3,001

Agenus,

Inc.

a

7,352

3,924

Agile

Therapeutics,

Inc.

a

7,299

8,280

Agilent

Technologies,

Inc.

593,014

11,035

Agios

Pharmaceuticals,

Inc.

a

391,522

2,025

Akebia

Therapeutics,

Inc.

a

15,349

1,564

Alexion

Pharmaceuticals,

Inc.

a

140,432

3,498

Alkermes

plc

a

50,441

2,654

AmerisourceBergen

Corporation

234,879

3,714

AnaptysBio,

Inc.

a

52,479

2,782

Anavex

Life

Sciences

Corporation

a

8,763

2,636

Arena

Pharmaceuticals,

Inc.

a

110,712

905

Argenx

SE

ADR

a

119,216

897

Assembly

Biosciences,

Inc.

a

13,303

1,918

Atara

Biotherapeutics,

Inc.

a

16,322

798

Athenex,

Inc.

a

6,177

88

Atrion

Corporation

57,200

516

AVROBIO,

Inc.

a

8,029

19,062

Axonics

Modulation

Technologies,

Inc.

a

484,365

433

Axsome

Therapeutics,

Inc.

a

25,473

6,463

Biogen,

Inc.

a

2,044,764

3,939

Biohaven

Pharmaceutical

Holding

Company,

Ltd.

a

134,044

3,953

BioMarin

Pharmaceutical,

Inc.

a

334,028

1,577

Bio-Rad

Laboratories,

Inc.

a

552,833

7,074

Bio-Techne

Corporation

1,341,372

1,514

Bluebird

Bio,

Inc.

a

69,583

295

Blueprint

Medicines

Corporation

a

17,252

687

Bruker

Corporation

24,636

25,934

Catalent,

Inc.

a

1,347,271

46,130

Centene

Corporation

a

2,740,583

3,204

Charles

River

Laboratories

International,

Inc.

a

404,377

859

Chemed

Corporation

372,119

11,646

Cigna

Holding

Company

2,063,438

2,250

Clovis

Oncology,

Inc.

a

14,310

3,660

Community

Health

Systems,

Inc.

a

12,224

8,503

CryoLife,

Inc.

a

143,871

31,981

CSL,

Ltd.

5,797,255

56,220

CVS

Health

Corporation

3,335,533

1,777

CytomX

Therapeutics,

Inc.

a

13,630

480

Deciphera

Pharmaceuticals,

Inc.

a

19,762

4,409

Dexcom,

Inc.

a

1,187,211

5,124

Dynavax

Technologies

Corporation

a

18,088

14,221

Edwards

Lifesciences

Corporation

a

2,682,365

1,515

Encompass

Health

Corporation

97,005

5,949

Endo

International

plc

a

22,011

19,644

Gilead

Sciences,

Inc.

1,468,585

338,305

GlaxoSmithKline

plc

6,347,997

506

Global

Blood

Therapeutics,

Inc.

a

25,852

38,879

Grifols

SA

1,300,791

17,783

Guardant

Health,

Inc.

a

1,237,697

11,914

Halozyme

Therapeutics,

Inc.

a

214,333

11,420

HCA

Healthcare,

Inc.

1,026,087

845

HealthStream,

Inc.

a

20,238

5,583

Hill-Rom

Holdings,

Inc.

561,650

7,222

Humana,

Inc.

2,267,852

12,656

ImmunoGen,

Inc.

a

43,157

5,542

Immunomedics,

Inc.

a

74,706

1,301

Insmed,

Inc.

a

20,855

8,441

Inspire

Medical

Systems,

Inc.

a

508,823

2,870

Insulet

Corporation

a

475,502

Global

Stock

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

72

Shares

Common

Stock

(80.8%)

Value

Health

Care

(13.1%)

-

continued

522

Intra-Cellular

Therapies,

Inc.

a

$

8,023

7,743

Intuitive

Surgical,

Inc.

a

3,834,411

1,181

Invitae

Corporation

a

16,144

1,790

Iovance

Biotherapeutics,

Inc.

a

53,584

35,315

Johnson

&

Johnson

4,630,856

4,052

Kadmon

Holdings,

Inc.

a

16,978

7,000

KYORIN

Holdings,

Inc.

142,943

1,060

Laboratory

Corporation

of

America

Holdings

a

133,973

10,956

LHC

Group,

Inc.

a

1,536,031

2,203

Ligand

Pharmaceuticals,

Inc.

a

160,202

2,275

LNA

Sante

95,031

1,906

MacroGenics,

Inc.

a

11,093

42,030

Medtronic

plc

3,790,265

61,839

Merck

&

Company,

Inc.

4,757,893

1,177

Mersana

Therapeutics,

Inc.

a

6,862

1,078

Mesa

Laboratories,

Inc.

243,725

186

Mirati

Therapeutics,

Inc.

a

14,298

2,651

Molina

Healthcare,

Inc.

a

370,371

497

Momenta

Pharmaceuticals,

Inc.

a

13,518

2,070

Myovant

Sciences,

Ltd.

a

15,628

1,115

Myriad

Genetics,

Inc.

a

15,956

14,595

Natera,

Inc.

a

435,807

4,471

National

Healthcare

Corporation

320,705

4,367

Nektar

Therapeutics

a

77,951

3,481

Neurocrine

Biosciences,

Inc.

a

301,281

3,303

Nevro

Corporation

a

330,234

119,009

Novartis

AG

9,818,104

115,385

Novo

Nordisk

AS

6,890,341

24,569

Optinose,

Inc.

a

110,315

1,979

Orthifix

Medical,

Inc.

a

55,432

53,193

Pfizer,

Inc.

1,736,220

1,468

Portola

Pharmaceuticals,

Inc.

a

10,467

3,663

PRA

Health

Sciences,

Inc.

a

304,176

1,687

Precision

BioSciences,

Inc.

a

10,173

1,014

Prothena

Corporation

plc

a

10,850

1,474

Puma

Biotechnology,

Inc.

a

12,441

1,156

Quest

Diagnostics,

Inc.

92,827

528

Reata

Pharmaceuticals,

Inc.

a

76,212

44,622

Recordati

SPA

1,880,044

4,475

Repligen

Corporation

a

432,016

3,673

ResMed,

Inc.

540,996

4,555

Rite

Aid

Corporation

a

68,325

31,350

Roche

Holding

AG

10,086,612

1,873

Sage

Therapeutics,

Inc.

a

53,793

1,967

Sarepta

Therapeutics,

Inc.

a

192,412

381

Siegfried

Holding

AG

153,331

10,260

Silk

Road

Medical,

Inc.

a

322,985

9,250

Sonova

Holding

AG

1,649,408

6,910

Spectrum

Pharmaceuticals,

Inc.

a

16,100

446

Surmodics,

Inc.

a

14,861

11,430

Tactile

Systems

Technology,

Inc.

a

459,029

24,100

Takeda

Pharmaceutical

Company,

Ltd.

733,799

4,133

Teleflex,

Inc.

1,210,390

4,742

Tenet

Healthcare

Corporation

a

68,285

11,060

Thermo

Fisher

Scientific,

Inc.

3,136,616

1,795

Tilray,

Inc.

a

12,350

3,500

Tsumura

&

Company

89,251

966

U.S.

Physical

Therapy,

Inc.

66,654

1,662

United

Therapeutics

Corporation

a

157,599

1,912

Varian

Medical

Systems,

Inc.

a

196,286

22,190

Veeva

Systems,

Inc.

a

3,469,850

17,657

Vertex

Pharmaceuticals,

Inc.

a

4,201,483

2,944

Viking

Therapeutics,

Inc.

a

13,778

1,217

Waters

Corporation

a

221,555

Shares

Common

Stock

(80.8%)

Value

Health

Care

(13.1%)

-

continued

1,009

West

Pharmaceutical

Services,

Inc.

$

153,620

18,598

Wright

Medical

Group

NV

a

532,833

6,422

Zimmer

Biomet

Holdings,

Inc.

649,136

43,013

Zoetis,

Inc.

5,062,200

Total

119,199,558

Industrials

(10.9%)

7,450

A.O.

Smith

Corporation

281,684

35,561

Aalberts

NV

851,957

1,993

AECOM

a

59,491

2,476

Aegion

Corporation

a

44,395

9,606

Aerojet

Rocketdyne

Holdings,

Inc.

a

401,819

2,098

Aeroports

de

Paris

SA

202,680

12,884

Altra

Industrial

Motion

Corporation

225,341

4,816

American

Airlines

Group,

Inc.

58,707

5,458

AMETEK,

Inc.

393,085

7,240

ASGN,

Inc.

a

255,717

68,484

Assa

Abloy

AB

1,278,508

2,493

Atlas

Air

Worldwide

Holdings,

Inc.

a

63,995

93,589

Atlas

Copco

AB,

Class

A

3,112,233

36,735

Atlas

Copco

AB,

Class

B

1,068,597

2,315

Avis

Budget

Group,

Inc.

a

32,178

12,803

AZZ,

Inc.

360,020

991

Bloom

Energy

Corporation

a

5,183

11,797

Boeing

Company

1,759,405

10,293

BWX

Technologies,

Inc.

501,372

772

Carlisle

Companies,

Inc.

96,716

9,899

Casella

Waste

Systems,

Inc.

a

386,655

17,804

CBIZ,

Inc.

a

372,460

7,208

Chart

Industries,

Inc.

a

208,888

15,805

CIA

De

Distribucion

Integral

253,713

179

Columbus

McKinnon

Corporation

4,475

2,225

Cornerstone

Building

Brands,

Inc.

a

10,146

1,954

CRA

International,

Inc.

65,283

11,880

Crane

Company

584,258

6,284

CSW

Industrials,

Inc.

407,517

17,438

CSX

Corporation

999,197

7,078

Curtiss-Wright

Corporation

654,078

49,430

Delta

Air

Lines,

Inc.

1,410,238

1,593

Douglas

Dynamics,

Inc.

56,567

13,739

EMCOR

Group,

Inc.

842,475

6,453

Expeditors

International

of

Washington,

Inc.

430,544

10,707

Fluor

Corporation

73,985

9,775

Forrester

Research,

Inc.

a

285,723

5,257

FuelCell

Energy,

Inc.

a

7,938

2,553

Geberit

AG

1,118,672

11,399

General

Dynamics

Corporation

1,508,202

3,819

Gorman-Rupp

Company

119,191

22,400

GS

Yuasa

Corporation

299,772

197,964

GWA

Group,

Ltd.

c

317,399

22,700

Hanwa

Company,

Ltd.

351,483

1,513

Heico

Corporation

112,885

480

Herc

Holdings,

Inc.

a

9,821

75,900

Hino

Motors,

Ltd.

404,787

41,916

Honeywell

International,

Inc.

5,607,942

4,892

Hubbell,

Inc.

561,308

1,257

ICF

International,

Inc.

86,356

9,172

IDEX

Corporation

1,266,745

50,000

Inaba

Denki

Sangyo

Company,

Ltd.

1,062,325

13,598

Ingersoll

-

Rand,

Inc.

a

337,230

1,285

Interface,

Inc.

9,715

4,265

John

Bean

Technologies

Corporation

316,762

39,875

Johnson

Controls

International

plc

1,075,030

7,800

Kansas

City

Southern

992,004

68,100

Kinden

Corporation

1,002,053

Global

Stock

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

73

Shares

Common

Stock

(80.8%)

Value

Industrials

(10.9%)

-

continued

60,017

Koninklijke

Philips

NV

$

2,464,142

66,636

Legrand

SA

4,297,864

12,562

Lincoln

Electric

Holdings,

Inc.

866,778

8,727

Lockheed

Martin

Corporation

2,958,017

3,334

Manpower,

Inc.

176,669

404,800

Marubeni

Corporation

2,009,048

1,754

Masonite

International

Corporation

a

83,227

3,159

Mercury

Systems,

Inc.

a

225,363

19,887

Meritor,

Inc.

a

263,503

206,100

Mitsubishi

Corporation

4,359,476

19,000

Mitsuboshi

Belting,

Ltd.

212,136

308,400

Mitsui

&

Company,

Ltd.

4,281,735

2,489

MSC

Industrial

Direct

Company,

Inc.

136,820

76,893

National

Express

Group

plc

194,695

63,600

Nitto

Kogyo

Corporation

1,010,093

32,771

Nobina

AB

b

177,083

3,780

Nordson

Corporation

510,565

12,535

Norfolk

Southern

Corporation

1,830,110

5,115

Old

Dominion

Freight

Line,

Inc.

671,395

103,241

PageGroup

plc

463,505

12,972

Parker-Hannifin

Corporation

1,682,858

23,378

Redde

Northgate

plc

40,196

5,254

Regal-Beloit

Corporation

330,739

217,191

RELX

plc

4,635,375

693

Republic

Services,

Inc.

52,017

4,996

Resideo

Technologies,

Inc.

a

24,181

16,365

Ritchie

Brothers

Auctioneers,

Inc.

559,356

1,223

Rockwell

Automation,

Inc.

184,563

2,628

Roper

Industries,

Inc.

819,437

3,546

Ryder

System,

Inc.

93,756

4,846

Saia,

Inc.

a

356,375

48,968

Sandvik

AB

688,818

26,000

Sanwa

Holdings

Corporation

201,916

45,912

Schneider

Electric

SE

3,880,619

76,184

Signify

NV

b

1,476,465

4,192

SiteOne

Landscape

Supply,

Inc.

a

308,615

93,844

SKF

AB

1,278,828

1,380,400

Sojitz

Corporation

3,236,548

13,303

Southwest

Airlines

Company

473,720

803

SP

Plus

Corporation

a

16,662

10,170

Spirax-Sarco

Engineering

plc

1,020,994

990

Spirit

Airlines,

Inc.

a

12,761

781

SPX

FLOW,

Inc.

a

22,196

10,928

Standex

International

Corporation

535,691

208,500

Sumitomo

Corporation

2,377,785

9,200

Taikisha,

Ltd.

264,570

1,075

Teledyne

Technologies,

Inc.

a

319,565

1,445

Thermon

Group

Holdings,

Inc.

a

21,776

25,300

Toppan

Forms

Company,

Ltd.

225,466

15,411

Trane

Technologies

plc

1,272,794

18,207

Transcontinental,

Inc.

c

161,590

820

TransDigm

Group,

Inc.

262,556

1,831

Trex

Company,

Inc.

a

146,736

14,339

TriMas

Corporation

a

331,231

19,800

Tsubakimoto

Chain

Company

447,231

1,464

UniFirst

Corporation

221,196

7,372

United

Rentals,

Inc.

a

758,579

33,865

United

Technologies

Corporation

3,194,485

8,001

Valmont

Industries,

Inc.

847,946

7,053

Verisk

Analytics,

Inc.

983,047

15,138

Vinci

SA

1,236,917

7,747

Waste

Connections,

Inc.

600,392

2,730

Watsco,

Inc.

431,422

18,837

Willdan

Group,

Inc.

a

402,547

3,340

XPO

Logistics,

Inc.

a

162,825

Shares

Common

Stock

(80.8%)

Value

Industrials

(10.9%)

-

continued

11,700

Yuasa

Trading

Company,

Ltd.

$

307,802

Total

98,770,273

Information

Technology

(16.2%)

11,279

Adobe,

Inc.

a

3,589,429

1,697

ADTRAN,

Inc.

13,033

12,495

Advanced

Micro

Devices,

Inc.

a

568,273

4,372

Akamai

Technologies,

Inc.

a

399,994

4,130

Alteryx,

Inc.

a

393,052

67,384

Amadeus

IT

Holding

SA

3,171,691

2,283

American

Software,

Inc.

32,441

10,134

Amphenol

Corporation

738,566

570

ANSYS,

Inc.

a

132,508

59,320

Apple,

Inc.

15,084,483

1,517

ASM

International

NV

154,343

13,867

ASML

Holding

NV

3,655,550

3,404

Atlassian

Corporation

plc

a

467,233

9,635

Avalara,

Inc.

a

718,771

2,218

Avnet,

Inc.

55,672

11,757

Bandwidth,

Inc.

a

791,128

44,890

BE

Semiconductor

Industries

NV

1,374,840

9,455

Benchmark

Electronics,

Inc.

189,005

7,143

Blackline,

Inc.

a

375,793

1,611

Broadridge

Financial

Solutions,

Inc.

152,771

528

CACI

International,

Inc.

a

111,487

26,900

Canon,

Inc.

584,562

16,048

CDK

Global,

Inc.

527,177

2,348

CDW

Corporation

218,998

246

CEVA,

Inc.

a

6,133

89,176

CGI,

Inc.

a

4,827,911

8,612

Ciena

Corporation

a

342,844

180,286

Cisco

Systems,

Inc.

7,087,043

9,384

Cognex

Corporation

396,192

3,727

CommScope

Holding

Company,

Inc.

a

33,953

102,854

Computershare,

Ltd.

615,719

10,897

Coupa

Software,

Inc.

a

1,522,638

1,173

Cree,

Inc.

a

41,595

6,554

CTS

Corporation

163,129

8,869

Descartes

Systems

Group,

Inc.

a

305,005

7,324

Dialog

Semiconductor

plc

a

190,373

13,705

DocuSign,

Inc.

a

1,266,342

20,583

Dolby

Laboratories,

Inc.

1,115,804

1,463

DSP

Group,

Inc.

a

19,604

10,122

Elastic

NV

a

564,909

3,464

ePlus,

Inc.

a

216,916

4,842

Euronet

Worldwide,

Inc.

a

415,056

4,175

ExlService

Holdings,

Inc.

a

217,225

976

eXp

World

Holdings,

Inc.

a

8,257

4,583

F5

Networks,

Inc.

a

488,685

393

Fair

Isaac

Corporation

a

120,922

10,636

Five9,

Inc.

a

813,229

456

FLIR

Systems,

Inc.

14,542

23,900

Fuji

Soft,

Inc.

767,283

6,115

Global

Payments,

Inc.

881,966

10,638

Guidewire

Software,

Inc.

a

843,700

180,228

Halma

plc

4,232,835

4,550

Infineon

Technologies

AG

65,683

2,295

Inphi

Corporation

a

181,695

2,033

InterDigital,

Inc.

90,733

12,152

Intuit,

Inc.

2,794,960

1,067

Jack

Henry

&

Associates,

Inc.

165,641

4,898

Juniper

Networks,

Inc.

93,748

1,151

Kulicke

and

Soffa

Industries,

Inc.

24,021

2,507

Lam

Research

Corporation

601,680

15,652

Lattice

Semiconductor

Corporation

a

278,919

467

Littelfuse,

Inc.

62,307

Global

Stock

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

74

Shares

Common

Stock

(80.8%)

Value

Information

Technology

(16.2%)

-

continued

1,813

ManTech

International

Corporation

$

131,751

29,277

MasterCard,

Inc.

7,072,152

6,973

Maxim

Integrated

Products,

Inc.

338,958

8,209

Methode

Electronics,

Inc.

216,964

145,741

Microsoft

Corporation

22,984,813

3,993

MicroStrategy,

Inc.

a

471,573

5,781

MKS

Instruments,

Inc.

470,862

5,470

MoneyGram

International,

Inc.

a

7,166

13,422

Monolithic

Power

Systems,

Inc.

2,247,648

4,021

MTS

Systems

Corporation

90,472

2,288

National

Instruments

Corporation

75,687

33,400

NEC

Networks

&

System

Integration

Corporation

1,353,895

212

NetApp,

Inc.

8,838

3,943

Nice,

Ltd.

ADR

a

566,057

7,878

Nova

Measuring

Instruments,

Ltd.

a

257,217

4,076

Novanta,

Inc.

a

325,591

17,436

NVIDIA

Corporation

4,596,130

22,838

Oracle

Corporation

1,103,761

3,300

Oracle

Corporation

Japan

287,836

4,606

Palo

Alto

Networks,

Inc.

a

755,200

40,347

PayPal

Holdings,

Inc.

a

3,862,822

1,529

Progress

Software

Corporation

48,928

4,194

Proofpoint,

Inc.

a

430,262

7,933

Q2

Holdings,

Inc.

a

468,523

3,580

QAD,

Inc.

142,949

18,472

QUALCOMM,

Inc.

1,249,631

1,682

Rogers

Corporation

a

158,814

1,167

Rubicon

Project,

Inc.

a

6,477

12,500

Ryoyo

Electro

Corporation

c

238,019

21,690

SailPoint

Technologies

Holdings,

Inc.

a

330,122

13,077

Salesforce.com,

Inc.

a

1,882,826

1,666

Samsung

Electronics

Company,

Ltd.

GDR

1,647,903

2,413

SAP

SE

269,407

3,580

ScanSource,

Inc.

a

76,576

19,487

ServiceNow,

Inc.

a

5,584,584

1,965

Silicon

Laboratories,

Inc.

a

167,831

46,036

Square,

Inc.

a

2,411,366

22,645

STMicroelectronics

NV

ADR

483,924

550

Sykes

Enterprises,

Inc.

a

14,916

5,494

Synopsys,

Inc.

a

707,572

4,789

TE

Connectivity,

Ltd.

301,611

45,272

Texas

Instruments,

Inc.

4,524,031

2,789

Tyler

Technologies,

Inc.

a

827,106

725

Unisys

Corporation

a

8,954

2,243

VeriSign,

Inc.

a

403,942

8,731

Virtusa

Corporation

a

247,960

57,274

Visa,

Inc.

9,227,987

7,290

VMware,

Inc.

a

882,819

3,088

WEX,

Inc.

a

322,850

631

Wirecard

AG

71,095

3,120

Xilinx,

Inc.

243,173

11,459

Zscaler,

Inc.

a

697,395

Total

146,684,943

Materials

(3.5%)

3,891

AdvanSix,

Inc.

a

37,120

85,900

Air

Water,

Inc.

1,176,386

12,796

Anglo

American

plc

224,232

3,686

AptarGroup,

Inc.

366,904

40,524

Arcelor

Mittal

382,565

1,438

Avery

Dennison

Corporation

146,489

116

Balchem

Corporation

11,451

2,713

Cabot

Corporation

70,864

3,984

Celanese

Corporation

292,386

Shares

Common

Stock

(80.8%)

Value

Materials

(3.5%)

-

continued

42,779

CF

Industries

Holdings,

Inc.

$

1,163,589

11,328

Chemours

Company

100,479

15,025

Coeur

Mining,

Inc.

a

48,230

42,643

Eastman

Chemical

Company

1,986,311

13,632

Ecolab,

Inc.

2,124,275

1,978

Eramet

SA

61,913

1,630

Ferro

Corporation

a

15,257

54,404

First

Majestic

Silver

Corporation

a

336,761

133,455

Gold

Road

Resources,

Ltd.

a

113,450

65,042

Granges

AB

319,546

11,164

Hecla

Mining

Company

20,318

100,450

Hexpol

AB

593,490

42,328

Hochschild

Mining

plc

55,311

16,300

Hokuetsu

Corporation

60,861

117,717

IAMGOLD

Corporation

a

268,395

2,694

Ingevity

Corporation

a

94,829

6,263

Innospec,

Inc.

435,216

7,470

Kaiser

Aluminum

Corporation

517,522

7,728

Kirkland

Lake

Gold,

Ltd.

227,617

36,334

Koninklijke

DSM

NV

4,087,174

3,853

Kraton

Performance

Polymers,

Inc.

a

31,209

58,500

Kyoei

Steel,

Ltd.

671,985

10,700

Lintec

Corporation

223,937

16,239

Louisiana-Pacific

Corporation

278,986

6,897

MAG

Silver

Corporation

a

53,223

3,608

Martin

Marietta

Materials,

Inc.

682,742

5,336

Materion

Corporation

186,813

3,571

Minerals

Technologies,

Inc.

129,484

9,119

Myers

Industries,

Inc.

98,029

6,181

Neenah,

Inc.

266,587

112,900

Nippon

Light

Metal

Holdings

Company,

Ltd.

175,783

312,500

Nippon

Steel

Corporation

2,663,848

18,723

Northern

Star

Resources,

Ltd.

121,288

27,696

Nucor

Corporation

997,610

14,998

Nutanix,

Inc.

a

236,968

2,238

O-I

Glass,

Inc.

15,912

4,122

Olin

Corporation

48,104

1,133

Olympic

Steel,

Inc.

11,727

4,614

PPG

Industries,

Inc.

385,730

238

Quaker

Chemical

Corporation

30,055

103,027

Ramelius

Resources,

Ltd.

63,292

1,634

Reliance

Steel

&

Aluminum

Company

143,122

213,139

Resolute

Mining,

Ltd.

a

105,682

9,862

Rio

Tinto,

Ltd.

508,086

1,033

RPM

International,

Inc.

61,463

5,792

Ryerson

Holding

Corporation

a

30,813

142,577

Sandfire

Resources,

Ltd.

285,696

3,400

Sanyo

Special

Steel

Company,

Ltd.

30,377

198

Schnitzer

Steel

Industries,

Inc.

2,582

368

Sensient

Technologies

Corporation

16,012

52,522

St

Barbara,

Ltd.

69,348

17,299

Steel

Dynamics,

Inc.

389,919

467,200

Sumitomo

Chemical

Company,

Ltd.

1,380,322

9,300

Taiyo

Holdings

Company,

Ltd.

347,874

43,700

Toagosei

Company,

Ltd.

378,312

539,300

Toray

Industries,

Inc.

2,334,377

37,100

Ube

Industries,

Ltd.

565,949

11,622

United

States

Steel

Corporation

73,335

78,067

UPM-Kymmene

Oyj

c

2,128,649

783

W.

R.

Grace

&

Company

27,875

1,165

Worthington

Industries,

Inc.

30,581

Total

31,622,627

Real

Estate

(4.0%)

18,816

Agree

Realty

Corporation

1,164,710

Global

Stock

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

75

Shares

Common

Stock

(80.8%)

Value

Real

Estate

(4.0%)

-

continued

33,676

Allied

Properties

REIT

$

1,070,606

35,051

Alstria

Office

REIT

AG

503,016

30,628

American

Campus

Communities,

Inc.

849,927

13,481

American

Tower

Corporation

2,935,488

7,961

Apartment

Investment

&

Management

Company

279,829

646

Ares

Commercial

Real

Estate

Corporation

4,516

5,133

Armada

Hoffler

Properties,

Inc.

54,923

645,632

Ascendas

REIT

1,278,360

84,300

Ascott

Trust

46,487

17,028

Ashford

Hospitality

Trust,

Inc.

12,587

3,435

AvalonBay

Communities,

Inc.

505,529

1,465

BBX

Capital

Corporation

3,384

86

Bluerock

Residential

Growth

REIT,

Inc.

479

4,601

Camden

Property

Trust

364,583

52,168

Castellum

AB

879,576

15,582

CBL

&

Associates

Properties,

Inc.

a

3,118

18,556

Cedar

Realty

Trust,

Inc.

17,315

24,823

Choice

Properties

REIT

227,893

2,630

City

Office

REIT,

Inc.

19,015

1,221

Cofinimmo

SA

158,572

2,617

Colony

Credit

Real

Estate,

Inc.

10,311

2,984

Columbia

Property

Trust,

Inc.

37,300

2,204

Corepoint

Lodging,

Inc.

8,640

2,120

CoreSite

Realty

Corporation

245,708

1,871

CoStar

Group,

Inc.

a

1,098,670

30,100

Daito

Trust

Construction

Company,

Ltd.

2,795,191

12,696

DiamondRock

Hospitality

Company

64,496

11,684

Diversified

Healthcare

Trust

42,413

675

Douglas

Emmett,

Inc.

20,594

595

EastGroup

Properties,

Inc.

62,166

12,877

Entra

ASA

b

153,815

2,151

EPR

Properties

52,097

470

Equity

Lifestyle

Properties,

Inc.

27,016

22,048

Essential

Properties

Realty

Trust,

Inc.

287,947

109

Essex

Property

Trust,

Inc.

24,006

2,915

Farmland

Partners,

Inc.

17,694

16,797

First

Industrial

Realty

Trust,

Inc.

558,164

5,890

Four

Corners

Property

Trust,

Inc.

110,202

2,211

Franklin

Street

Properties

Corporation

12,669

4,275

Gaming

and

Leisure

Properties,

Inc.

118,460

850

Getty

Realty

Corporation

20,179

49,244

Granite

REIT

2,034,075

3,909

Healthcare

Realty

Trust,

Inc.

109,178

5,155

Healthcare

Trust

of

America,

Inc.

125,163

55,388

Host

Hotels

&

Resorts,

Inc.

611,484

1,493

Hudson

Pacific

Properties,

Inc.

37,862

102,000

Hysan

Development

Company,

Ltd.

329,399

4,649

Industrial

Logistics

Properties

Trust

81,543

1,775

Innovative

Industrial

Properties,

Inc.

134,776

1,365

Investors

Real

Estate

Trust

75,075

2,581

Japan

Hotel

REIT

Investment

Corporation

753,442

2,475

Jones

Lang

LaSalle,

Inc.

249,925

16,818

Kilroy

Realty

Corporation

1,071,307

6,902

Kite

Realty

Group

Trust

65,362

8,861

Kungsleden

AB

66,655

1,428

Lamar

Advertising

Company

73,228

3,796

Lexington

Realty

Trust

37,694

7,386

Macerich

Company

41,583

166,500

Mapletree

Commercial

Trust

213,549

23,025

Medical

Properties

Trust,

Inc.

398,102

Shares

Common

Stock

(80.8%)

Value

Real

Estate

(4.0%)

-

continued

591

National

Health

Investors,

Inc.

$

29,266

9,506

National

Retail

Properties,

Inc.

305,998

31,353

National

Storage

Affiliates

Trust

928,049

2,528

New

Residential

Investment

Corporation

12,665

2,342

One

Liberty

Properties,

Inc.

32,624

2,821

Pebblebrook

Hotel

Trust

30,721

2,373

Physicians

Realty

Trust

33,080

1,796

PotlatchDeltic

Corporation

56,376

4,879

Preferred

Apartment

Communities,

Inc.

35,031

1,034

PS

Business

Parks,

Inc.

140,128

33,919

PSP

Swiss

Property

AG

4,241,543

2,948

QTS

Realty

Trust,

Inc.

171,013

67,259

Quebecor,

Inc.

1,486,838

9,904

Retail

Properties

of

America,

Inc.

51,204

5,886

Rexford

Industrial

Realty,

Inc.

241,385

18,528

RioCan

REIT

212,362

377

RMR

Group,

Inc.

10,168

115,000

Road

King

Infrastructure,

Ltd.

172,709

3,356

RPT

Realty

20,237

12,288

Sabra

Health

Care

REIT,

Inc.

134,185

3,260

SBA

Communications

Corporation

880,102

23,938

Service

Properties

Trust

129,265

3,738

Spirit

Realty

Capital,

Inc.

97,749

1,255

STAG

Industrial,

Inc.

28,263

6,129

Store

Capital

Corporation

111,057

1,867

Summit

Hotel

Properties,

Inc.

7,879

13,369

Swiss

Prime

Site

AG

1,301,211

108,665

TAG

Immobilien

AG

2,137,062

3,003

Taubman

Centers,

Inc.

125,766

4,819

UDR,

Inc.

176,086

2,379

UMH

Properties,

Inc.

25,836

13,949

Uniti

Group,

Inc.

84,112

100

Universal

Health

Realty

Income

Trust

10,081

1,143

Urstadt

Biddle

Properties,

Inc.

16,116

5,635

Washington

Prime

Group,

Inc.

4,537

269,300

Wing

Tai

Holdings,

Ltd.

293,475

Total

36,431,232

Utilities

(1.2%)

24,730

AGL

Energy,

Ltd.

258,808

1,197

ALLETE,

Inc.

72,634

2,650

Artesian

Resources

Corporation

99,057

1,115

Black

Hills

Corporation

71,393

675

Chesapeake

Utilities

Corporation

57,854

2,531

Consolidated

Water

Company,

Ltd.

41,508

1,429

DTE

Energy

Company

135,712

69,492

Enagas

SA

1,370,884

381,764

Enel

SPA

2,633,351

1,080

Essential

Utilities,

Inc

43,956

90,629

Exelon

Corporation

3,336,054

20,922

FirstEnergy

Corporation

838,345

1,813

IDACORP,

Inc.

159,163

407

Middlesex

Water

Company

24,469

1,097

National

Fuel

Gas

Company

40,907

4,591

New

Jersey

Resources

Corporation

155,956

17,793

Northland

Power,

Inc.

355,152

4,476

OGE

Energy

Corporation

137,547

1,347

Otter

Tail

Corporation

59,888

5,211

PNM

Resources,

Inc.

198,018

296

SJW

Group

17,100

2,109

Southwest

Gas

Holdings,

Inc.

146,702

366

Spire,

Inc.

27,260

3,903

UGI

Corporation

104,093

1,118

Unitil

Corporation

58,494

Global

Stock

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

76

Shares

Common

Stock

(80.8%)

Value

Utilities

(1.2%)

-

continued

5,113

Verbund

AG

$

184,407

Total

10,628,712

Total

Common

Stock

(cost

$762,490,001)

732,713,517

Shares

Registered

Investment

Companies

(

3.2%

)

Value

Unaffiliated  (2.3%)

394,760

iShares

Russell

Mid

Cap

ETF

17,041,789

12,825

SPDR

S&P

500

ETF

Trust

3,305,644

4,132

SPDR

S&P

Biotech

ETF

319,982

Total

20,667,415

Affiliated  (0.9%)

1,074,567

Thrivent

Core

Emerging

Markets

Equity

Fund

a

8,403,114

Total

8,403,114

Total

Registered

Investment

Companies

(cost

$36,381,324)

29,070,529

Shares

Collateral

Held

for

Securities

Loaned

(

0.5%

)

Value

4,749,008

Thrivent

Cash

Management

Trust

4,749,008

Total

Collateral

Held

for

Securities

Loaned

(cost

$4,749,008)

4,749,008

Shares

or

Principal

Amount

Short-Term

Investments

(

15.8%

)

Value

Federal

Home

Loan

Bank

Discount

Notes

500,000

1.540%,

4/8/2020

d,e

499,993

6,000,000

1.520%,

4/15/2020

d,e

5,999,837

200,000

1.560%,

4/23/2020

d,e

199,992

300,000

1.285%,

5/5/2020

d,e

299,980

800,000

0.900%,

5/7/2020

d,e

799,944

200,000

0.720%,

5/8/2020

d,e

199,986

11,500,000

1.272%,

5/12/2020

d,e

11,499,083

6,600,000

0.500%,

5/13/2020

d,e

6,599,461

3,900,000

0.392%,

5/19/2020

d,e

3,899,636

2,100,000

0.150%,

5/20/2020

d,e

2,099,800

300,000

0.000%,

5/28/2020

e

299,967

400,000

0.150%,

6/4/2020

d,e

399,950

1,100,000

0.500%,

6/9/2020

d,e

1,099,852

1,600,000

0.530%,

6/12/2020

d,e

1,599,776

4,000,000

0.150%,

6/23/2020

d,e

3,999,354

1,600,000

0.004%,

7/7/2020

d,e

1,599,612

Thrivent

Core

Short-Term

Reserve

Fund

10,256,951

1.570%

102,364,376

Total

Short-Term

Investments

(cost

$143,538,554)

143,460,599

Total

Investments

(cost

$947,158,887)

100.3%

$909,993,653

Other

Assets

and

Liabilities,

Net

(0.3%)

(2,824,457)

Total

Net

Assets

100.0%

$907,169,196

a

Non-income

producing

security.

b

Denotes

securities

sold

under

Rule

144A

of

the

Securities

Act

of

1933,

which

exempts

them

from

registration.

These

securities

may

be

resold

to

other

dealers

in

the

program

or

to

other

qualified

institutional

buyers.

As

of

March

31,

2020,

the

value

of

these

investments

was

$8,557,399

or

0.9%

of

total

net

assets.

c

All

or

a

portion

of

the

security

is

on

loan.

d

The

interest

rate

shown

reflects

the

yield,

coupon

rate

or

the

discount

rate

at

the

date

of

purchase.

e

All

or

a

portion

of

the

security

is

held

on

deposit

with

the

counterparty

and

pledged

as

the

initial

margin

deposit

for

open

futures

contracts.

The

following

table

presents

the

total

amount

of

securities

loaned

with

continuous

maturity,

by

type,

offset

by

the

gross

payable

upon

return

of

collateral

for

securities

loaned

by

Thrivent

Global

Stock

Portfolio

as

of

March

31,

2020:

Securities

Lending

Transactions

Common

Stock

$

4,672,419

Total

lending

$4,672,419

Gross

amount

payable

upon

return

of              

collateral

for

securities

loaned

$4,749,008

Net

amounts

due

to

counterparty

$76,589

Definitions:

ADR

-

American

Depositary

Receipt,

which

are

certificates

for

an

underlying

foreign

security's

shares

held

by

an

issuing

U.S.

depository

bank.

ETF

-

Exchange

Traded

Fund

GDR

-

Global

Depository

Receipts,

which

are

certificates

for

shares

of

an

underlying

foreign

security’s

shares

held

by

an

issuing

depository

bank

from

more

than

one

country.

REIT

-

Real

Estate

Investment

Trust

is

a

company

that

buys,

develops,

manages

and/or

sells

real

estate

assets.

SPDR

-

S&P

Depository

Receipts,

which

are

exchange-traded

funds

traded

in

the

U.S.,

Europe,

and

Asia-Pacific

and

managed

by

State

Street

Global

Advisors.

Global

Stock

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

77

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Global

Stock

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Common

Stock

Communications

Services

50,586,506

39,276,251

11,310,255

–

Consumer

Discretionary

76,545,384

57,535,094

19,010,290

–

Consumer

Staples

29,427,520

11,314,986

18,112,534

–

Energy

20,943,012

10,333,594

10,609,418

–

Financials

111,873,750

57,358,081

54,515,669

–

Health

Care

119,199,558

74,214,651

44,984,907

–

Industrials

98,770,273

46,495,197

52,275,076

–

Information

Technology

146,684,943

123,175,998

23,508,945

–

Materials

31,622,627

12,212,054

19,410,573

–

Real

Estate

36,431,232

16,075,396

20,355,836

–

Utilities

10,628,712

5,826,110

4,802,602

–

Registered

Investment

Companies

Unaffiliated

20,667,415

20,667,415

–

–

Short-Term

Investments

41,096,223

–

41,096,223

–

Subtotal

Investments

in

Securities

$794,477,155

$474,484,827

$319,992,328

$–

Other

Investments  *

Total

Affiliated

Short-Term

Investments

102,364,376

Affiliated

Registered

Investment

Companies

8,403,114

Collateral

Held

for

Securities

Loaned

4,749,008

Subtotal

Other

Investments

$115,516,498

Total

Investments

at

Value

$909,993,653

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Other

Financial

Instruments

Total

Level

1

Level

2

Level

3

Asset

Derivatives

Futures

Contracts

6,139,085

6,139,085

–

–

Total

Asset

Derivatives

$6,139,085

$6,139,085

$–

$–

Liability

Derivatives

Futures

Contracts

10,474,165

10,474,165

–

–

Total

Liability

Derivatives

$10,474,165

$10,474,165

$–

$–

Global

Stock

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

78

Reference

Description:

CME

-

Chicago

Mercantile

Exchange

EAFE

-

Europe,

Australasia

and

Far

East

ICE

-

Intercontinental

Exchange

MSCI

-

Morgan

Stanley

Capital

International

S&P

-

Standard

&

Poor's

The

following

table

presents

Global

Stock

Portfolio's

futures

contracts

held

as

of

March

31,

2020.

Investments

and/or

cash

totaling

$40,496,272

were

pledged

as

the

initial

margin

deposit

for

these

contracts.

Futures

Contracts

Description

Number

of

Contracts

Long/(Short)

Expiration

Date

Notional

Principal

Amount

Value

and

Unrealized

CME

E-mini

S&P

500

Index

642

June

2020

$

84,144,356

(

$

1,656,986)

CME

Euro

Foreign

Exchange

Currency

499

June

2020

70,585,815

(

1,664,559)

Eurex

Euro

STOXX

50

Index

2,336

June

2020

63,629,174

6,139,085

ICE

US

mini

MSCI

Emerging

Markets

Index

1,396

June

2020

59,576,973

(

742,553)

Total

Futures

Long

Contracts

$

277,936,318

$

2,074,987

CME

E-mini

Russell

2000

Index

(433)

June

2020

(

$

24,017,059)

(

$

828,481)

ICE

mini

MSCI

EAFE

Index

(709)

June

2020

(

49,695,599)

(

5,581,586)

Total

Futures

Short

Contracts

(

$

73,712,658)

($6,410,067)

Total

Futures

Contracts

$

204,223,660

($4,335,080)

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Cash

Management

Trust

for

the

purpose

of

securities

lending

and

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Cash

Management

Trust

and

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Global

Stock

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Registered

Investment

Companies

Core

Emerging

Markets

Equity

$–

$10,000

$–

$8,403

1,075

0.9%

Total

Affiliated

Registered

Investment

Companies

–

8,403

0.9

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

181,119

97,620

176,186

102,364

10,257

11.3

Total

Affiliated

Short-Term

Investments

181,119

102,364

11.3

Collateral

held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

3,577

15,548

14,376

4,749

4,749

0.5

Total

Collateral

Held

for

Securities

Loaned

3,577

4,749

0.5

Total

Value

$184,696

$115,516

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Registered

Investment

Companies

Core

Emerging

Markets

Equity

$–

$(1,597)

–

$–

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

(82)

(107)

–

737

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$737

Collateral

Held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

–

–

–

9

Total

Affiliated

Income

from

Securities

Loaned,

Net

$9

Total

Value

$(82)

$(1,704)

$–

Government

Bond

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

79

Principal

Amount

Long-Term

Fixed

Income

(

99.9%

)

Value

Asset-Backed

Securities

(1.3%)

Brazos

Higher

Education

Authority,

Inc.

$

219,496

2.644%, 

(LIBOR

3M

+

0.850%),

7/25/2029,

Ser.

2011-2,

Class

A2

a

$

218,219

Goodgreen

1,793,895

3.860%, 

10/15/2054,

Ser.

2019-1A,

Class

A

b

1,809,601

SLM

Student

Loan

Trust

561,616

1.347%, 

(LIBOR

1M

+

0.400%),

3/25/2025,

Ser.

2010-1,

Class

A

a

533,710

Total

2,561,530

Collateralized

Mortgage

Obligations

(11.2%)

Federal

Home

Loan

Mortgage

Corporation

-

REMIC

1,134,509

1.750%, 

12/15/2042,

Ser.

4141,

Class

KM

1,142,642

1,024,083

3.000%, 

5/15/2045,

Ser.

4631,

Class

PA

1,088,599

2,367,028

3.000%, 

7/15/2046,

Ser.

4750,

Class

PA

2,526,556

1,115,030

3.000%, 

3/15/2047,

Ser.

4734,

Class

JA

1,189,101

2,200,467

3.500%, 

8/15/2047,

Ser.

4860,

Class

CA

2,366,627

1,863,188

2.000%, 

9/25/2049,

Ser.

4906,

Class

KE

1,899,626

Federal

National

Mortgage

Association

-

REMIC

1,671,258

3.000%, 

2/25/2040,

Ser.

2018-13,

Class

EB

1,710,692

1,431,061

3.000%, 

1/25/2043,

Ser.

2013-114,

Class

AB

1,469,593

1,248,542

3.250%, 

6/25/2043,

Ser.

2013-60,

Class

PT

1,340,639

1,874,673

3.000%, 

3/25/2046,

Ser.

2016-66,

Class

PA

1,935,639

752,742

3.000%, 

6/25/2046,

Ser.

2017-58,

Class

P

806,679

1,153,325

3.500%, 

12/25/2047,

Ser.

2018-41,

Class

PB

1,211,958

GMAC

Mortgage

Corporation

Loan

Trust

46,776

1.447%, 

(LIBOR

1M

+

0.500%),

8/25/2035,

Ser.

2005-HE1,

Class

A2

a,c

44,715

IndyMac

Seconds

Asset-Backed

Trust

210,366

1.287%, 

(LIBOR

1M

+

0.340%),

10/25/2036,

Ser.

2006-2B,

Class

A

a,c

102,862

Seasoned

Credit

Risk

Transfer

Trust

1,829,220

3.000%, 

8/25/2056,

Ser.

2017-2,

Class

HA

c

1,899,901

1,883,598

2.500%, 

8/25/2059,

Ser.

2020-1,

Class

MT

c

1,824,279

Wachovia

Asset

Securitization,

Inc.

331,960

1.087%, 

(LIBOR

1M

+

0.140%),

7/25/2037,

Ser.

2007-HE1,

Class

A

a,b,c

298,445

Total

22,858,553

Principal

Amount

Long-Term

Fixed

Income

(99.9%)

Value

Commercial

Mortgage-Backed

Securities

(4.7%)

Federal

Home

Loan

Mortgage

Corporation

Multifamily

Structured

Pass

Through

Certificates

$

1,380,169

3.000%, 

3/15/2045,

Ser.

4741,

Class

GA

$

1,454,247

Federal

National

Mortgage

Association

-

ACES

1,238,371

3.560%, 

9/25/2021,

Ser.

2018-M5,

Class

A2

a

1,254,822

1,500,000

3.346%, 

3/25/2024,

Ser.

2014-M4,

Class

A2

a

1,595,101

1,250,000

2.961%, 

2/25/2027,

Ser.

2017-M7,

Class

A2

a

1,374,721

2,000,000

3.555%, 

9/25/2028,

Ser.

2019-M1,

Class

A2

a

2,280,861

FRESB

Multifamily

Mortgage

Pass-

Through

Trust

1,588,428

2.950%, 

8/25/2027,

Ser.

2017-SB40,

Class

A10F

a,c

1,649,596

Total

9,609,348

Energy

(0.1%)

Petroleos

Mexicanos

165,000

2.378%, 

4/15/2025

169,161

Total

169,161

Financials

(2.6%)

HSBC

Bank

Canada

750,000

3.300%, 

11/28/2021

b

769,045

Nationwide

Building

Society

750,000

1.700%, 

2/13/2023

b

768,699

Oesterreichische

Kontrollbank

AG

2,000,000

2.875%, 

9/7/2021

2,063,370

Preferred

Term

Securities

XXIII,

Ltd.

112,823

0.941%, 

(LIBOR

3M

+

0.200%),

12/22/2036

a,b

92,827

Santander

UK

plc

700,000

1.625%, 

2/12/2023

b

718,448

Westpac

Banking

Corporation

750,000

2.000%, 

1/16/2025

b

776,336

Total

5,188,725

Foreign

Government

(5.3%)

CPPIB

Capital,

Inc.

2,000,000

3.125%, 

9/25/2023

b

2,157,522

Development

Bank

of

Japan,

Inc.

750,000

2.125%, 

9/1/2022

b

775,700

Export

Development

Canada

2,000,000

2.500%, 

1/24/2023

2,099,865

Jordan

Government

International

Bond

500,000

2.503%, 

10/30/2020

505,757

Kommunalbanken

AS

2,000,000

2.500%, 

1/11/2023

b

2,105,046

Province

of

British

Columbia

Canada

1,550,000

1.750%, 

9/27/2024

1,602,700

Province

of

Ontario

Canada

1,000,000

3.400%, 

10/17/2023

1,088,765

Province

of

Quebec

400,000

7.500%, 

7/15/2023

484,018

Total

10,819,373

Government

Bond

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

80

Principal

Amount

Long-Term

Fixed

Income

(99.9%)

Value

Mortgage-Backed

Securities

(26.8%)

Federal

Home

Loan

Mortgage

Corporation

Conventional

30-Yr.

Pass

Through

$

2,493,780

3.000%, 

3/25/2050

$

2,615,691

2,590,000

3.000%, 

4/1/2050

d

2,716,617

1,816,495

3.500%, 

7/1/2047

d

1,926,459

2,145,629

3.000%, 

8/1/2047

2,262,975

Federal

National

Mortgage

Association

2,000,000

3.830%, 

10/1/2028

2,284,989

1,620,900

3.500%, 

10/1/2048

1,711,735

4,214,763

3.500%, 

2/1/2049

4,446,728

1,830,886

3.500%, 

8/1/2049

1,938,916

Federal

National

Mortgage

Association

Conventional

15-Yr.

Pass

Through

4,155,000

2.500%, 

4/1/2035

d

4,311,299

5,800,000

2.000%, 

5/1/2035

d

5,952,250

1,610,000

3.000%, 

5/1/2035

d

1,681,573

Federal

National

Mortgage

Association

Conventional

30-Yr.

Pass

Through

12,600,000

2.500%, 

5/1/2050

d

13,036,663

743

8.000%, 

4/1/2030

910

2,781,416

4.000%, 

7/1/2048

2,970,284

6,350,000

3.000%, 

5/1/2049

d

6,649,376

Total

54,506,465

U.S.

Government

&

Agencies

(47.9%)

Federal

Farm

Credit

Bank

400,000

2.210%, 

8/1/2024

427,565

Federal

Home

Loan

Bank

2,500,000

2.500%, 

2/13/2024

2,693,051

Federal

National

Mortgage

Association

500,000

5.960%, 

9/11/2028

687,266

Tennessee

Valley

Authority

1,625,000

5.250%, 

9/15/2039

2,490,968

U.S.

Treasury

Bonds

1,375,000

2.250%, 

11/15/2027

1,546,821

300,000

5.500%, 

8/15/2028

419,871

1,500,000

5.250%, 

11/15/2028

2,083,828

9,375,000

2.625%, 

2/15/2029

10,962,158

4,660,000

1.500%, 

2/15/2030

5,023,698

1,115,000

3.000%, 

5/15/2042

1,496,844

4,180,000

2.500%, 

5/15/2046

5,258,473

3,420,000

2.875%, 

5/15/2049

4,670,304

U.S.

Treasury

Bonds,

TIPS

2,091,400

0.500%, 

1/15/2028

2,180,741

1,095,264

0.875%, 

2/15/2047

1,303,982

U.S.

Treasury

Notes

360,000

1.375%, 

9/30/2020

362,250

1,000,000

2.750%, 

11/30/2020

1,017,305

600,000

1.875%, 

12/15/2020

607,406

1,000,000

2.250%, 

7/31/2021

1,027,266

5,095,000

1.125%, 

8/31/2021

5,161,474

7,125,000

1.500%, 

9/30/2021

7,261,934

8,000,000

1.125%, 

2/28/2022

8,134,688

1,500,000

1.875%, 

7/31/2022

1,555,840

225,000

2.000%, 

11/30/2022

235,283

4,000,000

1.375%, 

2/15/2023

4,126,875

275,000

2.750%, 

7/31/2023

297,322

1,600,000

2.500%, 

1/31/2024

1,732,438

250,000

2.125%, 

7/31/2024

268,906

5,850,000

1.250%, 

8/31/2024

6,081,715

Principal

Amount

Long-Term

Fixed

Income

(99.9%)

Value

U.S.

Government

&

Agencies

(47.9%)

-

continued

$

6,850,000

2.250%, 

11/15/2024

$

7,439,207

250,000

2.125%, 

11/30/2024

270,283

5,300,000

1.375%, 

1/31/2025

5,552,992

1,350,000

2.875%, 

7/31/2025

1,523,918

2,625,000

2.625%, 

1/31/2026

2,949,331

750,000

1.750%, 

12/31/2026

810,234

Total

97,662,237

Total

Long-Term

Fixed

Income

(cost

$192,016,622)

203,375,392

Shares

or

Principal

Amount

Short-Term

Investments

(

19.1%

)

Value

Federal

Home

Loan

Bank

Discount

Notes

200,000

1.540%,

4/8/2020

e,f

199,997

400,000

0.500%,

5/12/2020

e,f

399,968

400,000

0.500%,

5/13/2020

e

399,967

100,000

0.150%,

5/20/2020

e,f

99,991

200,000

0.530%,

6/12/2020

e,f

199,972

200,000

0.150%,

6/23/2020

e,f

199,968

Thrivent

Core

Short-Term

Reserve

Fund

3,749,469

1.570%

37,419,705

Total

Short-Term

Investments

(cost

$38,959,926)

38,919,568

Total

Investments

(cost

$230,976,548)

119.0%

$242,294,960

Other

Assets

and

Liabilities,

Net

(19.0%)

(38,603,555)

Total

Net

Assets

100.0%

$203,691,405

a

Denotes

variable

rate

securities.

The

rate

shown

is

as

of

March

31,

2020.

The

rates

of

certain

variable

rate

securities

are

based

on

a

published

reference

rate

and

spread;

these

may

vary

by

security

and

the

reference

rate

and

spread

are

indicated

in

their

description.  The

rates

of

other

variable

rate

securities

are

determined

by

the

issuer

or

agent

and

are

based

on

current

market

conditions.  These

securities

do

not

indicate

a

reference

rate

and

spread

in

their

description.  

b

Denotes

securities

sold

under

Rule

144A

of

the

Securities

Act

of

1933,

which

exempts

them

from

registration.

These

securities

may

be

resold

to

other

dealers

in

the

program

or

to

other

qualified

institutional

buyers.

As

of

March

31,

2020,

the

value

of

these

investments

was

$10,271,669

or

5.0%

of

total

net

assets.

c

All

or

a

portion

of

the

security

is

insured

or

guaranteed.

d

Denotes

investments

purchased

on

a

when-issued

or

delayed

delivery

basis.

e

The

interest

rate

shown

reflects

the

yield,

coupon

rate

or

the

discount

rate

at

the

date

of

purchase.

f

All

or

a

portion

of

the

security

is

held

on

deposit

with

the

counterparty

and

pledged

as

the

initial

margin

deposit

for

open

futures

contracts.

Definitions:

ACES

-

Alternative

Credit

Enhancement

Securities

REMIC

-

Real

Estate

Mortgage

Investment

Conduit

Ser.

-

Series

TIPS

-

Treasury

Inflation

Protected

Security

Government

Bond

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

81

Reference

Rate

Index:

LIBOR

1M

-

ICE

Libor

USD

Rate

1

Month

LIBOR

3M

-

ICE

Libor

USD

Rate

3

Month

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Government

Bond

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Long-Term

Fixed

Income

Asset-Backed

Securities

2,561,530

–

2,561,530

–

Collateralized

Mortgage

Obligations

22,858,553

–

22,858,553

–

Commercial

Mortgage-Backed

Securities

9,609,348

–

9,609,348

–

Energy

169,161

–

169,161

–

Financials

5,188,725

–

5,188,725

–

Foreign

Government

10,819,373

–

10,819,373

–

Mortgage-Backed

Securities

54,506,465

–

54,506,465

–

U.S.

Government

&

Agencies

97,662,237

–

97,662,237

–

Short-Term

Investments

1,499,863

–

1,499,863

–

Subtotal

Investments

in

Securities

$204,875,255

$–

$204,875,255

$–

Other

Investments  *

Total

Affiliated

Short-Term

Investments

37,419,705

Subtotal

Other

Investments

$37,419,705

Total

Investments

at

Value

$242,294,960

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Other

Financial

Instruments

Total

Level

1

Level

2

Level

3

Asset

Derivatives

Futures

Contracts

2,000,092

2,000,092

–

–

Total

Asset

Derivatives

$2,000,092

$2,000,092

$–

$–

Liability

Derivatives

Futures

Contracts

633,321

633,321

–

–

Total

Liability

Derivatives

$633,321

$633,321

$–

$–

Government

Bond

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

82

Reference

Description:

CBOT

-

Chicago

Board

of

Trade

CME

-

Chicago

Mercantile

Exchange

The

following

table

presents

Government

Bond

Portfolio's

futures

contracts

held

as

of

March

31,

2020.

Investments

and/or

cash

totaling

$1,099,896

were

pledged

as

the

initial

margin

deposit

for

these

contracts.

Futures

Contracts

Description

Number

of

Contracts

Long/(Short)

Expiration

Date

Notional

Principal

Amount

Value

and

Unrealized

CBOT

2-Yr.

U.S.

Treasury

Note

45

June

2020

$

9,740,177

$

177,049

CBOT

5-Yr.

U.S.

Treasury

Note

46

June

2020

5,694,034

72,497

CBOT

U.S.

Long

Bond

39

June

2020

6,509,729

473,709

CME

Ultra

Long

Term

U.S.

Treasury

Bond

54

June

2020

10,704,414

1,276,837

Total

Futures

Long

Contracts

$

32,648,354

$

2,000,092

CBOT

10-Yr.

U.S.

Treasury

Note

(23)

June

2020

(

$

3,103,176)

(

$

86,637)

Ultra

10-Yr.

U.S.

Treasury

Note

(67)

June

2020

(

9,907,409)

(

546,684)

Total

Futures

Short

Contracts

(

$

13,010,585)

($633,321)

Total

Futures

Contracts

$

19,637,769

$1,366,771

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Government

Bond

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$32,356

$31,532

$26,405

$37,420

3,749

18.4%

Total

Affiliated

Short-Term

Investments

32,356

37,420

18.4

Total

Value

$32,356

$37,420

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$(22)

$(41)

–

$154

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$154

Total

Value

$(22)

$(41)

$–

High

Yield

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

83

Principal

Amount

Bank

Loans

(

4.5%

)

a

Value

Basic

Materials

(0.3%)

Nouryon

USA,

LLC,

Term

Loan

$

2,318,990

3.863%, 

(LIBOR

1M

+

3.000%),

10/1/2025

b

$

2,063,901

Total

2,063,901

Capital

Goods

(1.0%)

BWAY

Holding

Company,

Term

Loan

2,621,522

5.084%, 

(LIBOR

3M

+

3.250%),

4/3/2024

b

2,125,084

Navistar,

Inc.,

Term

Loan

4,216,970

4.280%, 

(LIBOR

1M

+

3.500%),

11/6/2024

b

3,626,594

Vertiv

Group

Corporation,

Term

Loan

2,035,000

4.581%, 

(LIBOR

1M

+

3.000%),

3/2/2027

b,c

1,750,100

Total

7,501,778

Communications

Services

(0.5%)

Windstream

Services,

LLC,

Term

Loan

6,355,000

8.250%, 

(PRIME

+

5.000%),

3/30/2021

b,d

3,908,325

Total

3,908,325

Consumer

Cyclical

(1.0%)

Cengage

Learning,

Inc.,

Term

Loan

4,101,389

5.250%, 

(LIBOR

1M

+

4.250%),

6/7/2023

b

3,305,023

Golden

Nugget,

LLC,

Term

Loan

2,094,141

3.580%, 

(LIBOR

3M

+

2.500%),

10/4/2023

b

1,622,959

Staples,

Inc.,

Term

Loan

3,669,850

6.515%, 

(LIBOR

1M

+

5.000%),

4/12/2026

b

2,880,832

Total

7,808,814

Consumer

Non-Cyclical

(0.7%)

Chobani,

LLC,

Term

Loan

1,579,608

4.500%, 

(LIBOR

1M

+

3.500%),

10/10/2023

b

1,401,902

Dole

Food

Company,

Inc.,

Term

Loan

2,595,165

3.750%, 

(LIBOR

1M

+

2.750%),

4/6/2024

b

2,325,917

Endo

International

plc,

Term

Loan

1,798,321

5.250%, 

(LIBOR

1M

+

4.250%),

4/27/2024

b,e,f

1,605,002

Total

5,332,821

Energy

(0.1%)

Fieldwood

Energy,

LLC,

Term

Loan

2,630,000

7.027%, 

(LIBOR

3M

+

5.250%),

4/11/2022

b

821,875

Total

821,875

Financials

(0.9%)

Forest

City

Enterprises,

LP,

Term

Loan

3,688,313

4.489%, 

(LIBOR

1M

+

3.500%),

12/7/2025

b,c

3,135,066

Principal

Amount

Bank

Loans

(4.5%)

a

Value

Financials

(0.9%)

-

continued

Northriver

Midstream

Finance,

LP,

Term

Loan

$

4,246,250

5.159%, 

(LIBOR

3M

+

3.250%),

10/1/2025

b

$

3,238,657

Total

6,373,723

Total

Bank

Loans

(cost

$43,105,619)

33,811,237

Principal

Amount

Long-Term

Fixed

Income

(

89.9%

)

Value

Basic

Materials

(5.9%)

Alcoa,

Inc.

1,605,000

5.125%, 

10/1/2024

1,584,937

Big

River

Steel,

LLC

3,610,000

7.250%, 

9/1/2025

g

3,285,100

Cleveland-Cliffs,

Inc.

4,255,000

5.750%, 

3/1/2025

3,286,987

First

Quantum

Minerals,

Ltd.

4,245,000

7.250%, 

4/1/2023

g

3,634,781

2,140,000

6.875%, 

3/1/2026

g

1,717,350

Freeport-McMoRan,

Inc.

2,610,000

4.125%, 

3/1/2028

2,284,768

3,390,000

4.250%, 

3/1/2030

2,945,232

Grinding

Media,

Inc.

3,250,000

7.375%, 

12/15/2023

g

3,031,600

Hexion,

Inc.

1,595,000

7.875%, 

7/15/2027

g

1,355,750

Krayton

Polymers,

LLC

2,675,000

7.000%, 

4/15/2025

g

2,367,375

Mercer

International,

Inc.

1,370,000

7.375%, 

1/15/2025

1,140,539

3,215,000

5.500%, 

1/15/2026

2,442,918

Midwest

Vanadium,

Pty.

Ltd.

3,197,756

11.500%, 

2/15/2018

*,h,i

1,759

Norbord,

Inc.

1,570,000

5.750%, 

7/15/2027

g

1,433,277

Novelis

Corporation

2,240,000

5.875%, 

9/30/2026

g

2,198,258

2,090,000

4.750%, 

1/30/2030

g

1,860,100

Olin

Corporation

2,650,000

5.625%, 

8/1/2029

2,438,662

3,195,000

5.000%, 

2/1/2030

2,744,185

Peabody

Securities

Finance

Corporation

3,180,000

6.000%, 

3/31/2022

g,j

2,162,400

Tronox

Finance

plc

3,210,000

5.750%, 

10/1/2025

g

2,864,925

Total

44,780,903

Capital

Goods

(9.6%)

Abengoa

Abenewco

2

Bis

SA,

Convertible

3,918,590

0.000%,PIK

1.500%,

4/26/2024

*,k

223,360

Advanced

Disposal

Services,

Inc.

3,155,000

5.625%, 

11/15/2024

g

3,194,437

Advanced

Drainage

Systems,

Inc.

2,640,000

5.000%, 

9/30/2027

g

2,349,600

AECOM

1,065,000

5.875%, 

10/15/2024

1,041,037

3,195,000

5.125%, 

3/15/2027

2,875,500

Amsted

Industries,

Inc.

2,125,000

5.625%, 

7/1/2027

g

2,067,444

2,630,000

4.625%, 

5/15/2030

g

2,347,275

High

Yield

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

84

Principal

Amount

Long-Term

Fixed

Income

(89.9%)

Value

Capital

Goods

(9.6%)

-

continued

Arconic,

Inc.

$

1,605,000

5.900%, 

2/1/2027

$

1,498,588

ARD

Finance

SA

2,100,000

6.500%, 

6/30/2027

g

1,803,690

Ardagh

Packaging

Finance

plc

5,295,000

5.250%, 

8/15/2027

g

5,427,375

Berry

Global,

Inc.

1,740,000

4.500%, 

2/15/2026

g

1,694,238

Berry

Plastics

Corporation

4,260,000

5.125%, 

7/15/2023

4,269,372

Bombardier,

Inc.

2,945,000

7.500%, 

3/15/2025

g

2,039,412

3,400,000

7.875%, 

4/15/2027

g

2,346,000

BWAY

Holding

Company

3,205,000

7.250%, 

4/15/2025

g

2,427,980

Cemex

SAB

de

CV

3,135,000

5.450%, 

11/19/2029

g

2,544,053

Clean

Harbors,

Inc.

2,080,000

5.125%, 

7/15/2029

g

1,934,400

Covanta

Holding

Corporation

1,600,000

5.875%, 

7/1/2025

j

1,472,000

1,060,000

6.000%, 

1/1/2027

882,890

Crown

Cork

&

Seal

Company,

Inc.

3,210,000

7.375%, 

12/15/2026

3,290,250

Flex

Acquisition

Company,

Inc.

3,205,000

6.875%, 

1/15/2025

g

2,996,675

1,300,000

7.875%, 

7/15/2026

g

1,197,385

GFL

Environmental,

Inc.

1,926,000

7.000%, 

6/1/2026

g

1,864,204

H&E

Equipment

Services,

Inc.

1,951,000

5.625%, 

9/1/2025

1,809,553

Jeld-Wen,

Inc.

2,670,000

4.875%, 

12/15/2027

g

2,356,275

New

Enterprise

Stone

&

Lime

Company,

Inc.

2,145,000

6.250%, 

3/15/2026

g

1,973,400

Owens-Brockway

Glass

Container,

Inc.

3,070,000

5.875%, 

8/15/2023

g

3,008,600

Reynolds

Group

Issuer,

Inc.

2,175,000

5.125%, 

7/15/2023

g

2,158,666

TransDigm,

Inc.

4,445,000

6.250%, 

3/15/2026

g

4,422,775

United

Rentals

North

America,

Inc.

1,060,000

5.500%, 

7/15/2025

1,038,800

4,240,000

5.875%, 

9/15/2026

4,294,272

Total

72,849,506

Communications

Services

(16.7%)

CCO

Holdings,

LLC

3,680,000

5.875%, 

4/1/2024

g

3,762,800

3,450,000

5.375%, 

6/1/2029

g

3,545,220

3,940,000

4.750%, 

3/1/2030

g

3,930,150

4,695,000

4.500%, 

8/15/2030

g

4,601,100

CCOH

Safari,

LLC

5,455,000

5.750%, 

2/15/2026

g

5,511,732

Cengage

Learning,

Inc.

1,705,000

9.500%, 

6/15/2024

g,j

1,261,700

CSC

Holdings,

LLC

5,590,000

6.500%, 

2/1/2029

g

6,028,759

Embarq

Corporation

5,325,000

7.995%, 

6/1/2036

5,271,750

Front

Range

BidCo,

Inc.

1,560,000

4.000%, 

3/1/2027

g

1,492,725

2,080,000

6.125%, 

3/1/2028

g

1,976,000

Principal

Amount

Long-Term

Fixed

Income

(89.9%)

Value

Communications

Services

(16.7%)

-

continued

Gray

Escrow,

Inc.

$

2,040,000

7.000%, 

5/15/2027

g

$

2,029,800

iHeartCommunications,

Inc.

2,650,000

5.250%, 

8/15/2027

g

2,309,210

3,800,000

4.750%, 

1/15/2028

g

3,420,000

Intelsat

Jackson

Holdings

SA

5,225,000

5.500%, 

8/1/2023

3,213,375

LCPR

Senior

Secured

Financing

DAC

2,500,000

6.750%, 

10/15/2027

g

2,462,500

Level

3

Financing,

Inc.

5,510,000

5.375%, 

5/1/2025

5,482,450

1,700,000

5.250%, 

3/15/2026

1,698,937

Neptune

Finco

Corporation

4,733,000

10.875%, 

10/15/2025

g

5,099,807

Nexstar

Escrow

Corporation

2,300,000

5.625%, 

7/15/2027

g

2,248,250

Qualitytech,

LP

3,740,000

4.750%, 

11/15/2025

g

3,609,100

Scripps

Escrow,

Inc.

3,715,000

5.875%, 

7/15/2027

g

3,269,200

SFR

Group

SA

2,650,000

7.375%, 

5/1/2026

g

2,676,500

Sinclair

Television

Group,

Inc.

1,570,000

5.875%, 

3/15/2026

g

1,389,450

Sirius

XM

Radio,

Inc.

2,000,000

4.625%, 

7/15/2024

g

2,029,860

2,660,000

5.500%, 

7/1/2029

g

2,713,200

Sprint

Corporation

4,965,000

7.250%, 

9/15/2021

5,117,426

8,240,000

7.625%, 

2/15/2025

9,118,796

Telesat

Canada

/

Telesat,

LLC

2,900,000

4.875%, 

6/1/2027

g

2,768,920

Terrier

Media

Buyer,

Inc.

2,100,000

8.875%, 

12/15/2027

g

1,764,000

T-Mobile

USA,

Inc.

3,450,000

6.000%, 

4/15/2024

3,501,750

3,725,000

4.500%, 

2/1/2026

3,790,188

T-Mobile

USA,

Inc.

Contingent

Consent

Payment

3,450,000

0.000%, 

4/15/2024

c

27,245

VeriSign,

Inc.

2,630,000

4.750%, 

7/15/2027

2,725,732

Virgin

Media

Secured

Finance

plc

2,395,000

5.500%, 

8/15/2026

g

2,430,925

3,500,000

5.500%, 

5/15/2029

g

3,500,000

WMG

Acquisition

Corporation

2,675,000

5.500%, 

4/15/2026

g

2,614,813

YPSO

Finance

BIS

SA

2,660,000

10.500%, 

5/15/2027

g

2,806,300

Ziggo

Bond

Company

BV

2,610,000

5.125%, 

2/28/2030

g

2,557,800

Ziggo

BV

2,640,000

4.875%, 

1/15/2030

g,j

2,571,188

Total

126,328,658

Consumer

Cyclical

(12.0%)

1011778

B.C.,

ULC

3,690,000

4.375%, 

1/15/2028

g

3,409,191

Allison

Transmission,

Inc.

3,835,000

5.000%, 

10/1/2024

g

3,719,950

Asbury

Automotive

Group,

Inc.

277,000

4.500%, 

3/1/2028

g

235,450

277,000

4.750%, 

3/1/2030

g

235,450

Brookfield

Property

REIT,

Inc.

2,875,000

5.750%, 

5/15/2026

g

2,332,717

High

Yield

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

85

Principal

Amount

Long-Term

Fixed

Income

(89.9%)

Value

Consumer

Cyclical

(12.0%)

-

continued

Brookfield

Residential

Properties,

Inc.

$

3,440,000

6.250%, 

9/15/2027

g

$

2,983,856

Cedar

Fair,

LP

1,600,000

5.250%, 

7/15/2029

g

1,352,000

Choice

Hotels

International,

Inc.

3,445,000

5.750%, 

7/1/2022

3,150,246

Cinemark

USA,

Inc.

715,000

4.875%, 

6/1/2023

534,463

Dana

Financing

Luxembourg

SARL

3,925,000

6.500%, 

6/1/2026

g

3,454,000

Ford

Motor

Credit

Company,

LLC

2,610,000

4.134%, 

8/4/2025

2,315,070

Hanesbrands,

Inc.

4,145,000

4.875%, 

5/15/2026

g

4,072,463

Herc

Holdings,

Inc.

4,830,000

5.500%, 

7/15/2027

g

4,491,900

Hertz

Corporation

598,000

7.625%, 

6/1/2022

g

484,380

Hilton

Escrow

Issuer,

LLC

2,090,000

4.250%, 

9/1/2024

1,954,150

International

Game

Technology

plc

1,600,000

6.250%, 

1/15/2027

g

1,392,000

KAR

Auction

Services,

Inc.

2,670,000

5.125%, 

6/1/2025

g

2,549,850

KB

Home

2,130,000

6.875%, 

6/15/2027

2,130,000

2,110,000

4.800%, 

11/15/2029

1,772,400

Landry's,

Inc.

1,970,000

6.750%, 

10/15/2024

g

1,240,883

Lennar

Corporation

1,525,000

4.500%, 

4/30/2024

1,491,511

1,590,000

4.750%, 

5/30/2025

j

1,530,375

3,165,000

4.750%, 

11/29/2027

3,157,088

Live

Nation

Entertainment,

Inc.

2,710,000

4.875%, 

11/1/2024

g

2,467,076

Mattamy

Group

Corporation

3,685,000

5.250%, 

12/15/2027

g

3,427,050

1,300,000

4.625%, 

3/1/2030

g

1,118,000

New

Red

Finance,

Inc.

2,410,000

5.000%, 

10/15/2025

g

2,301,526

PGT

Escrow

Issuer,

Inc.

3,195,000

6.750%, 

8/1/2026

g

3,012,613

Prime

Security

Services

Borrower,

LLC

4,770,000

5.750%, 

4/15/2026

g

4,674,600

1,050,000

6.250%, 

1/15/2028

g,j

905,625

RHP

Hotel

Properties,

LP

420,000

5.000%, 

4/15/2023

327,600

Ryman

Hospitality

Properties,

Inc.

3,175,000

4.750%, 

10/15/2027

g

2,381,250

Scientific

Games

International,

Inc.

2,190,000

6.625%, 

5/15/2021

1,746,744

2,650,000

5.000%, 

10/15/2025

g

2,305,500

2,300,000

7.250%, 

11/15/2029

g

1,423,470

ServiceMaster

Company,

LLC

4,260,000

5.125%, 

11/15/2024

g

4,206,750

Six

Flags

Entertainment

Corporation

2,610,000

4.875%, 

7/31/2024

g

2,211,975

Staples,

Inc.

1,855,000

7.500%, 

4/15/2026

g

1,623,136

Stars

Group

Holdings

BV

2,550,000

7.000%, 

7/15/2026

g

2,397,510

Station

Casinos,

LLC

530,000

5.000%, 

10/1/2025

g

441,389

Principal

Amount

Long-Term

Fixed

Income

(89.9%)

Value

Consumer

Cyclical

(12.0%)

-

continued

Viking

Cruises,

Ltd.

$

2,610,000

5.875%, 

9/15/2027

g

$

1,527,137

Yum!

Brands,

Inc.

2,090,000

5.250%, 

6/1/2026

g

2,087,074

720,000

4.750%, 

1/15/2030

g

670,608

Total

91,246,026

Consumer

Non-Cyclical

(15.6%)

Air

Medical

Merger

Sub

Corporation

3,190,000

6.375%, 

5/15/2023

g,j

2,831,125

Albertson's

Companies,

Inc.

2,660,000

7.500%, 

3/15/2026

g

2,866,948

1,930,000

4.625%, 

1/15/2027

g

1,920,350

4,410,000

5.875%, 

2/15/2028

g

4,488,498

650,000

4.875%, 

2/15/2030

g

643,500

B&G

Foods,

Inc.

1,045,000

5.250%, 

4/1/2025

1,019,565

2,650,000

5.250%, 

9/15/2027

2,583,750

Bausch

Health

Companies,

Inc.

2,090,000

6.500%, 

3/15/2022

g

2,110,900

3,415,000

5.000%, 

1/30/2028

g,j

3,232,980

2,125,000

7.250%, 

5/30/2029

g

2,205,325

625,000

5.250%, 

1/30/2030

g

584,375

Centene

Corporation

2,130,000

5.375%, 

6/1/2026

g

2,194,134

1,150,000

4.250%, 

12/15/2027

g

1,152,185

3,050,000

4.625%, 

12/15/2029

g

3,065,250

4,440,000

3.375%, 

2/15/2030

g

4,129,200

Dole

Food

Company,

Inc.

2,660,000

7.250%, 

6/15/2025

g

2,101,400

Encompass

Health

Corporation

2,645,000

4.500%, 

2/1/2028

2,594,084

Energizer

Holdings,

Inc.

4,240,000

5.500%, 

6/15/2025

g

4,112,800

HCA,

Inc.

3,065,000

4.750%, 

5/1/2023

3,139,849

3,705,000

5.375%, 

2/1/2025

3,769,800

2,130,000

5.875%, 

2/1/2029

2,252,475

JBS

USA,

LLC

3,240,000

5.750%, 

6/15/2025

g

3,272,400

4,655,000

6.500%, 

4/15/2029

g

4,993,418

3,100,000

5.500%, 

1/15/2030

g

3,200,750

Kraft

Foods

Group,

Inc.

1,565,000

3.500%, 

6/6/2022

1,555,094

Kraft

Heinz

Foods

Company

2,610,000

3.750%, 

4/1/2030

g

2,489,294

Mattel,

Inc.

2,085,000

5.875%, 

12/15/2027

g

2,126,700

MPH

Acquisition

Holdings,

LLC

4,190,000

7.125%, 

6/1/2024

g

3,645,551

Ortho-Clinical

Diagnostics,

Inc.

2,620,000

7.250%, 

2/1/2028

g

2,252,938

Par

Pharmaceutical,

Inc.

2,650,000

7.500%, 

4/1/2027

g

2,636,750

Performance

Food

Group,

Inc.

2,430,000

5.500%, 

6/1/2024

g

2,259,900

Pilgrim's

Pride

Corporation

3,215,000

5.750%, 

3/15/2025

g

3,231,075

Post

Holdings,

Inc.

4,170,000

5.000%, 

8/15/2026

g

4,291,556

Pyxus

International,

Inc.

3,035,000

9.875%, 

7/15/2021

546,300

Simmons

Foods,

Inc.

2,445,000

5.750%, 

11/1/2024

g

2,219,571

High

Yield

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

86

Principal

Amount

Long-Term

Fixed

Income

(89.9%)

Value

Consumer

Non-Cyclical

(15.6%)

-

continued

Spectrum

Brands,

Inc.

$

4,280,000

5.750%, 

7/15/2025

$

4,001,800

930,000

5.000%, 

10/1/2029

g

790,500

Tenet

Healthcare

Corporation

7,930,000

4.875%, 

1/1/2026

g

7,553,325

4,240,000

5.125%, 

11/1/2027

g

4,049,200

Teva

Pharmaceutical

Finance

Netherlands

III

BV

2,945,000

3.150%, 

10/1/2026

2,480,721

Valeant

Pharmaceuticals

International,

Inc.

2,680,000

8.500%, 

1/31/2027

g

2,800,600

VRX

Escrow

Corporation

5,295,000

6.125%, 

4/15/2025

g

5,215,575

Total

118,611,511

Energy

(7.4%)

Antero

Resources

Corporation

2,640,000

5.625%, 

6/1/2023

1,056,000

Boardwalk

Pipelines,

LP

3,695,000

5.950%, 

6/1/2026

3,000,057

Buckeye

Partners,

LP

1,570,000

4.125%, 

3/1/2025

g

1,323,510

4,265,000

4.125%, 

12/1/2027

3,496,021

1,570,000

4.500%, 

3/1/2028

g

1,287,400

California

Resources

Corporation

4,790,000

8.000%, 

12/15/2022

g

71,850

Centennial

Resource

Production,

LLC

5,085,000

5.375%, 

1/15/2026

g

1,220,400

Cheniere

Energy

Partners,

LP

3,875,000

5.625%, 

10/1/2026

3,603,750

5,785,000

4.500%, 

10/1/2029

g

5,148,650

Chesapeake

Energy

Corporation

3,678,000

11.500%, 

1/1/2025

g

588,480

CrownRock

Finance,

Inc.

3,750,000

5.625%, 

10/15/2025

g

1,950,000

Enagas

SA

4,285,000

5.500%, 

1/15/2028

g

2,228,200

Endeavor

Energy

Resources,

LP

1,800,000

5.750%, 

1/30/2028

g

1,224,000

EQM

Midstream

Partners,

LP

3,675,000

4.125%, 

12/1/2026

2,099,344

Murphy

Oil

Corporation

2,800,000

5.875%, 

12/1/2027

1,463,840

Nabors

Industries,

Inc.

3,200,000

5.750%, 

2/1/2025

704,000

Nabors

Industries,

Ltd.

500,000

7.250%, 

1/15/2026

g

170,000

Noble

Holding

International,

Ltd.

3,210,000

7.750%, 

1/15/2024

j

288,900

Pacific

Drilling

First

Lien

Escrow

Issuer,

Ltd.

2,115,000

8.375%, 

10/1/2023

g

571,050

Pacific

Drilling

Second

Lien

Escrow

Issuer,

Ltd.

562,682

11.000%,PIK

12.000%,

4/1/2024

g,k

56,268

Parsley

Energy,

LLC

3,200,000

5.625%, 

10/15/2027

g

2,256,000

Precision

Drilling

Corporation

1,180,000

7.750%, 

12/15/2023

472,000

1,740,000

7.125%, 

1/15/2026

g

574,200

Sanchez

Energy

Corporation

3,740,000

7.250%, 

2/15/2023

*,d,j

561,000

Principal

Amount

Long-Term

Fixed

Income

(89.9%)

Value

Energy

(7.4%)

-

continued

SM

Energy

Company

$

2,675,000

5.000%, 

1/15/2024

$

789,125

Southwestern

Energy

Company

4,285,000

7.500%, 

4/1/2026

2,806,675

Sunoco,

LP

2,675,000

4.875%, 

1/15/2023

2,583,167

1,090,000

5.500%, 

2/15/2026

943,155

Tallgrass

Energy

Partners,

LP

3,250,000

4.750%, 

10/1/2023

g

2,007,070

Targa

Resources

Partners,

LP

2,090,000

5.125%, 

2/1/2025

1,781,516

2,105,000

5.000%, 

1/15/2028

1,696,767

Transocean

Pontus,

Ltd.

446,725

6.125%, 

8/1/2025

g

361,847

Transocean,

Inc.

3,150,000

7.250%, 

11/1/2025

g

1,583,820

1,070,000

7.500%, 

1/15/2026

g

502,900

2,645,000

7.500%, 

4/15/2031

674,078

USA

Compression

Partners

LP

2,390,000

6.875%, 

9/1/2027

1,481,800

Valaris

plc

3,745,000

4.750%, 

1/15/2024

749,000

W&T

Offshore,

Inc.

3,445,000

9.750%, 

11/1/2023

g

809,782

WPX

Energy,

Inc.

1,835,000

8.250%, 

8/1/2023

1,348,725

930,000

5.250%, 

10/15/2027

511,500

250,000

4.500%, 

1/15/2030

135,750

Total

56,181,597

Financials

(10.8%)

Ally

Financial,

Inc.

1,575,000

4.625%, 

5/19/2022

1,519,875

4,000,000

5.750%, 

11/20/2025

3,912,800

Avolon

Holdings

Funding,

Ltd.

1,070,000

5.500%, 

1/15/2023

g

959,978

2,670,000

5.125%, 

10/1/2023

g

2,305,834

Chobani,

LLC

2,130,000

7.500%, 

4/15/2025

g

1,938,300

CIT

Group,

Inc.

1,429,000

5.000%, 

8/15/2022

1,393,335

1,251,000

5.000%, 

8/1/2023

1,203,600

Credit

Acceptance

Corporation

1,580,000

5.125%, 

12/31/2024

g

1,437,800

4,220,000

6.625%, 

3/15/2026

3,987,900

Drawbridge

Special

Opportunities

Fund,

LP

3,785,000

5.000%, 

8/1/2021

g

3,635,240

Fortress

Transportation

and

Infrastructure

Investors,

LLC

1,000,000

6.750%, 

3/15/2022

g

925,570

Global

Aircraft

Leasing

Company,

Ltd.

5,820,000

6.500%,PIK

 %,

9/15/2024

g,k

3,748,080

Icahn

Enterprises,

LP

2,650,000

4.750%, 

9/15/2024

2,431,375

5,310,000

6.250%, 

5/15/2026

5,017,950

3,155,000

5.250%, 

5/15/2027

2,914,431

Iron

Mountain,

Inc.

2,140,000

5.750%, 

8/15/2024

j

2,129,300

MGM

Growth

Properties

Operating

Partnership,

LP

2,350,000

5.750%, 

2/1/2027

2,044,500

MPT

Operating

Partnership,

LP

890,000

5.500%, 

5/1/2024

865,525

High

Yield

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

87

Principal

Amount

Long-Term

Fixed

Income

(89.9%)

Value

Financials

(10.8%)

-

continued

$

2,100,000

5.250%, 

8/1/2026

$

2,089,500

1,340,000

5.000%, 

10/15/2027

1,299,800

2,650,000

4.625%, 

8/1/2029

2,438,000

Outfront

Media

Cap,

LLC

2,400,000

4.625%, 

3/15/2030

g

2,136,000

Park

Aerospace

Holdings,

Ltd.

1,605,000

5.250%, 

8/15/2022

g

1,449,938

4,285,000

4.500%, 

3/15/2023

g

3,716,418

1,995,000

5.500%, 

2/15/2024

g

1,716,923

Quicken

Loans,

Inc.

4,015,000

5.750%, 

5/1/2025

g

3,994,925

Royal

Bank

of

Scotland

Group

plc

3,100,000

5.125%, 

5/28/2024

3,130,545

Springleaf

Finance

Corporation

835,000

6.125%, 

3/15/2024

824,654

730,000

6.875%, 

3/15/2025

735,198

780,000

7.125%, 

3/15/2026

763,425

2,090,000

6.625%, 

1/15/2028

1,957,076

Synchrony

Financial

1,340,000

4.250%, 

8/15/2024

1,290,181

4,280,000

3.950%, 

12/1/2027

3,806,508

Trivium

Packaging

Finance

1,060,000

5.500%, 

8/15/2026

g

1,054,700

530,000

8.500%, 

8/15/2027

g

532,650

VICI

Properties,

LP

/

VICI

Note

Company,

Inc.

1,050,000

4.250%, 

12/1/2026

g

963,375

2,090,000

3.750%, 

2/15/2027

g

1,969,825

1,050,000

4.625%, 

12/1/2029

g

955,500

2,090,000

4.125%, 

8/15/2030

g,j

1,980,275

Ypso

Finance

Bis

SA

1,050,000

6.000%, 

2/15/2028

g

923,664

Total

82,100,473

Technology

(5.6%)

Anixter,

Inc.

2,455,000

5.125%, 

10/1/2021

2,471,596

CommScope

Technologies

Finance,

LLC

2,090,000

6.000%, 

6/15/2025

g

1,912,768

CommScope,

Inc.

2,615,000

5.500%, 

3/1/2024

g

2,646,380

Diamond

Finance

Corporation

4,795,000

7.125%, 

6/15/2024

g

4,950,837

Diamond

Sports

Group,

LLC

2,390,000

5.375%, 

8/15/2026

g

1,941,923

4,470,000

6.625%, 

8/15/2027

g,j

2,989,312

Harland

Clarke

Holdings

Corporation

4,020,000

8.375%, 

8/15/2022

g

3,100,425

Inception

Merger

Sub,

Inc.

5,265,000

8.625%, 

11/15/2024

g,j

4,684,271

Iron

Mountain,

Inc.

3,745,000

5.250%, 

3/15/2028

g

3,699,311

NCR

Corporation

4,240,000

5.750%, 

9/1/2027

g

3,858,400

Plantronics,

Inc.

2,390,000

5.500%, 

5/31/2023

g

1,738,725

Presidio

Holdings,

Inc.

520,000

8.250%, 

2/1/2028

g

458,250

PTC,

Inc.

390,000

3.625%, 

2/15/2025

g,j

364,650

520,000

4.000%, 

2/15/2028

g

499,356

Qorvo,

Inc.

2,615,000

4.375%, 

10/15/2029

g

2,431,950

Principal

Amount

Long-Term

Fixed

Income

(89.9%)

Value

Technology

(5.6%)

-

continued

Seagate

HDD

Cayman

$

1,096,000

4.750%, 

1/1/2025

$

1,090,021

SS&C

Technologies,

Inc.

3,200,000

5.500%, 

9/30/2027

g

3,300,000

Total

42,138,175

Transportation

(1.7%)

AerCap

Holdings

NV

2,640,000

5.875%, 

10/10/2079

b

1,821,600

Hertz

Corporation

2,100,000

5.500%, 

10/15/2024

g

1,180,809

5,270,000

6.000%, 

1/15/2028

g

2,766,750

United

Continental

Holdings,

Inc.

3,000,000

4.250%, 

10/1/2022

2,736,900

XPO

Logistics,

Inc.

2,670,000

6.125%, 

9/1/2023

g

2,613,262

2,130,000

6.750%, 

8/15/2024

g

2,082,714

Total

13,202,035

U.S.

Government

&

Agencies

(0.1%)

U.S.

Treasury

Notes

600,000

1.375%, 

8/31/2020

l,m

603,141

Total

603,141

Utilities

(4.5%)

AES

Corporation

2,675,000

4.500%, 

3/15/2023

2,621,500

Calpine

Corporation

4,305,000

4.500%, 

2/15/2028

g

4,172,621

DCP

Midstream

Operating,

LP

1,315,000

8.125%, 

8/16/2030

789,131

Dynegy,

Inc.

3,745,000

8.125%, 

1/30/2026

g

3,889,183

GFL

Environmental,

Inc.

636,000

8.500%, 

5/1/2027

g

638,989

NextEra

Energy

Operating

Partners,

LP

5,290,000

3.875%, 

10/15/2026

g

5,025,500

NRG

Energy,

Inc.

1,680,000

7.250%, 

5/15/2026

1,759,800

1,330,000

5.250%, 

6/15/2029

g

1,369,900

Suburban

Propane

Partners,

LP

3,195,000

5.875%, 

3/1/2027

2,943,394

Talen

Energy

Supply,

LLC

2,140,000

6.500%, 

6/1/2025

1,385,222

1,590,000

7.250%, 

5/15/2027

g

1,436,883

Terraform

Global

Operating,

LLC

2,660,000

6.125%, 

3/1/2026

g

2,593,500

TerraForm

Power

Operating,

LLC

2,140,000

4.250%, 

1/31/2023

g

2,123,950

2,940,000

5.000%, 

1/31/2028

g

3,080,532

Total

33,830,105

Total

Long-Term

Fixed

Income

(cost

$788,722,678)

681,872,130

Shares

Collateral

Held

for

Securities

Loaned

(

2.3%

)

Value

17,794,332

Thrivent

Cash

Management

Trust

17,794,332

Total

Collateral

Held

for

Securities

Loaned

(cost

$17,794,332)

17,794,332

High

Yield

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

88

Shares

Preferred

Stock

(

0.6%

)

Value

Financials

(0.6%)

92,627

Bank

of

America

Corporation,

5.000%

n

$

2,174,882

520

Bank

of

America

Corporation,

Convertible,

7.250%

n

658,331

53,000

Federal

National

Mortgage

Association,

0.000%

b,j,n,o

335,490

21,000

J.P.

Morgan

Chase

&

Company,

4.750%

n

489,090

520

Wells

Fargo

&

Company,

Convertible,

7.500%

n

662,490

Total

4,320,283

Total

Preferred

Stock

(cost

$4,575,130)

4,320,283

Shares

or

Principal

Amount

Short-Term

Investments

(

3.3%

)

Value

Thrivent

Core

Short-Term

Reserve

Fund

2,438,944

1.570%

24,340,668

U.S.

Treasury

Bills

550,000

0.023%,

9/24/2020

l,m,p

549,663

Total

Short-Term

Investments

(cost

$24,915,938)

24,890,331

Total

Investments

(cost

$879,113,697)

100.6%

$762,688,313

Other

Assets

and

Liabilities,

Net

(0.6%)

(4,603,722)

Total

Net

Assets

100.0%

$758,084,591

a

The

stated

interest

rate

represents

the

weighted

average

of

all

contracts

within

the

bank

loan

facility.

b

Denotes

variable

rate

securities.

The

rate

shown

is

as

of

March

31,

2020.

The

rates

of

certain

variable

rate

securities

are

based

on

a

published

reference

rate

and

spread;

these

may

vary

by

security

and

the

reference

rate

and

spread

are

indicated

in

their

description.  The

rates

of

other

variable

rate

securities

are

determined

by

the

issuer

or

agent

and

are

based

on

current

market

conditions.  These

securities

do

not

indicate

a

reference

rate

and

spread

in

their

description.  

c

Security

is

valued

using

significant

unobservable

inputs.

Further

information

on

valuation

can

be

found

in

the

Notes

to

Financial

Statements.

d

In

bankruptcy.  Interest

is

being

accrued

per

the

bankruptcy

agreement

terms.  

e

All

or

a

portion

of

the

loan

is

unfunded.

f

Denotes

investments

purchased

on

a

when-issued

or

delayed

delivery

basis.

g

Denotes

securities

sold

under

Rule

144A

of

the

Securities

Act

of

1933,

which

exempts

them

from

registration.

These

securities

may

be

resold

to

other

dealers

in

the

program

or

to

other

qualified

institutional

buyers.

As

of

March

31,

2020,

the

value

of

these

investments

was

$460,081,834

or

60.7%

of

total

net

assets.

h

Defaulted

security.  Interest

is

not

being

accrued.

i

In

bankruptcy.  Interest

is

not

being

accrued.

j

All

or

a

portion

of

the

security

is

on

loan.

k

Denotes

payment-in-kind

security.  The

security

may

pay

an

interest

or

dividend

payment

with

additional

fixed

income

or

equity

securities

in

lieu

of,

or

in

addition

to

a

cash

payment.  The

cash

rate

and/or

payment-in-kind

rate

shown

are

as

of

March

31,

2020.

l

All

or

a

portion

of

the

security

was

earmarked

to

cover

written

options.

m

All

or

a

portion

of

the

security

is

pledged

as

collateral

under

the

agreement

between

the

counterparty,

the

custodian

and

the

fund

for

open

swap

contracts.

n

Denotes

perpetual

securities.

Perpetual

securities

pay

an

indefinite

stream

of

income

and

have

no

contractual

maturity

date.

Date

shown,

if

applicable,

is

next

call

date.

o

Non-income

producing

security.

p

The

interest

rate

shown

reflects

the

yield,

coupon

rate

or

the

discount

rate

at

the

date

of

purchase.

*

Denotes

restricted

securities.

Restricted

securities

are

investment

securities

which

cannot

be

offered

for

public

sale

without

first

being

registered

under

the

Securities

Act

of

1933.

The

value

of

all

restricted

securities

held

in

High

Yield

Portfolio

as

of

March

31,

2020

was

$786,119

or

0.1%

of

total

net

assets.

The

following

table

indicates

the

acquisition

date

and

cost

of

restricted

securities

shown

in

the

schedule

as

of

March

31,

2020.

Security

Acquisition

Date

Cost

Abengoa

Abenewco

2

Bis

SA,

Convertible,

4/26/2024

4/26/2019

$

518,651

Midwest

Vanadium,

Pty.

Ltd.,

2/15/2018

2/9/2011

3,028,997

Sanchez

Energy

Corporation,

2/15/2023

2/7/2018

3,681,952

The

following

table

presents

the

total

amount

of

securities

loaned

with

continuous

maturity,

by

type,

offset

by

the

gross

payable

upon

return

of

collateral

for

securities

loaned

by

Thrivent

High

Yield

Portfolio

as

of

March

31,

2020:

Securities

Lending

Transactions

Long-Term

Fixed

Income

$

17,200,703

Common

Stock

318,399

Total

lending

$17,519,102

Gross

amount

payable

upon

return

of              

collateral

for

securities

loaned

$17,794,332

Net

amounts

due

to

counterparty

$275,230

Definitions:

PIK

-

Payment-In-Kind

REIT

-

Real

Estate

Investment

Trust

is

a

company

that

buys,

develops,

manages

and/or

sells

real

estate

assets.

Reference

Rate

Index:

LIBOR

1M

-

ICE

Libor

USD

Rate

1

Month

LIBOR

3M

-

ICE

Libor

USD

Rate

3

Month

PRIME

-

Federal

Reserve

Prime

Loan

Rate

High

Yield

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

89

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

High

Yield

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Bank

Loans

Basic

Materials

2,063,901

–

2,063,901

–

Capital

Goods

7,501,778

–

5,751,678

1,750,100

Communications

Services

3,908,325

–

3,908,325

–

Consumer

Cyclical

7,808,814

–

7,808,814

–

Consumer

Non-Cyclical

5,332,821

–

5,332,821

–

Energy

821,875

–

821,875

–

Financials

6,373,723

–

3,238,657

3,135,066

Long-Term

Fixed

Income

Basic

Materials

44,780,903

–

44,780,903

–

Capital

Goods

72,849,506

–

72,849,506

–

Communications

Services

126,328,658

–

126,301,413

27,245

Consumer

Cyclical

91,246,026

–

91,246,026

–

Consumer

Non-Cyclical

118,611,511

–

118,611,511

–

Energy

56,181,597

–

56,181,597

–

Financials

82,100,473

–

82,100,473

–

Technology

42,138,175

–

42,138,175

–

Transportation

13,202,035

–

13,202,035

–

U.S.

Government

&

Agencies

603,141

–

603,141

–

Utilities

33,830,105

–

33,830,105

–

Preferred

Stock

Financials

4,320,283

4,320,283

–

–

Short-Term

Investments

549,663

–

549,663

–

Subtotal

Investments

in

Securities

$720,553,313

$4,320,283

$711,320,619

$4,912,411

Other

Investments  *

Total

Affiliated

Short-Term

Investments

24,340,668

Collateral

Held

for

Securities

Loaned

17,794,332

Subtotal

Other

Investments

$42,135,000

Total

Investments

at

Value

$762,688,313

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Other

Financial

Instruments

Total

Level

1

Level

2

Level

3

Liability

Derivatives

Credit

Default

Swaps

322,006

–

322,006

–

Total

Liability

Derivatives

$322,006

$–

$322,006

$–

High

Yield

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

90

The

following

table

presents

High

Yield

Portfolio's

swaps

contracts

held

as

of

March

31,

2020.

Investments

totaling

$1,152,804

were

pledged

as

collateral

under

the

agreement

between

the

counterparty,

the

custodian

and

the

fund

for

open

swap

contracts.

Credit

Default

Swaps

Buy/Sell

Protection

1

Termination

Date

Notional

Principal

Amount

2

Upfront

Payments/

(Receipts)

Value

3

Unrealized

Gain/

(Loss)

CDX

HY

34,

5

Year,

at

5.00%,

Quarterly

Sell

6/20/2025

(

$

11,000,000)

$

–

(

$

322,006)

(

$

322,006)

Total

Credit

Default

Swaps

$–

($322,006)

($322,006)

1

As

the

buyer

of

protection,

High

Yield

Portfolio

pays

periodic

fees

in

return

for

payment

by

the

seller

which

is

contingent

upon

an

adverse

credit

event

occurring

in

the

underlying

issuer

or

reference

entity.

As

the

seller

of

protection,

High

Yield

Portfolio

collects

periodic

fees

from

the

buyer

and

profits

if

the

credit

of

the

underlying

issuer

or

reference

entity

remains

stable

or

improves

while

the

swap

is

outstanding,

but

the

seller

in

a

credit

default

swap

contract

would

be

required

to

pay

the

amount

of

credit

loss,

determined

as

specified

in

the

agreement,

to

the

buyer

in

the

event

of

an

adverse

credit

event

in

the

reference

entity.

2

The

maximum

potential

amount

of

future

payments

High

Yield

Portfolio

could

be

required

to

make

as

the

seller

or

receive

as

the

buyer

of

protection.

3

The

values

for

credit

indexes

(CDX

or

LCDX)

serve

as

an

indicator

of

the

current

status

of

the

payment/performance

risk

and

represent

the

liability

or

profit

for

the

credit

default

swap

contract

had

the

contract

been

closed

as

of

the

reporting

date.

When

protection

has

been

sold,

the

value

of

the

swap

will

increase

when

the

swap

spread

declines

representing

an

improvement

in

the

reference

entity's

credit

worthiness.

The

value

of

the

swap

will

decrease

when

the

swap

spread

increases

representing

a

deterioration

in

the

reference

entity's

credit

worthiness.

When

protection

has

been

purchased,

the

value

of

the

swap

will

increase

when

the

swap

spread

increases

representing

a

deterioration

in

the

reference

entity's

credit

worthiness.

The

value

of

the

swap

will

decrease

when

the

swap

spread

declines

representing

an

improvement

in

the

reference

entity's

credit

worthiness.

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Cash

Management

Trust

for

the

purpose

of

securities

lending

and

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Cash

Management

Trust

and

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

High

Yield

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$28,490

$56,413

$60,476

$24,341

2,439

3.2%

Total

Affiliated

Short-Term

Investments

28,490

24,341

3.2

Collateral

held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

16,377

32,499

31,082

17,794

17,794

2.3

Total

Collateral

Held

for

Securities

Loaned

16,377

17,794

2.3

Total

Value

$44,867

$42,135

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$(61)

$(25)

–

$137

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$137

Collateral

Held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

–

–

–

77

Total

Affiliated

Income

from

Securities

Loaned,

Net

$77

Total

Value

$(61)

$(25)

$–

Income

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

91

Principal

Amount

Bank

Loans

(

0.8%

)

a

Value

Basic

Materials

(<0.1%)

Ball

Metalpack

Finco,

LLC,

Term

Loan

$

98,250

6.113%, 

(LIBOR

3M

+

4.500%),

7/31/2025

b

$

73,687

Big

River

Steel,

LLC,

Term

Loan

238,875

6.450%, 

(LIBOR

3M

+

5.000%),

8/23/2023

b,c

226,931

MRC

Global

(US),

Inc.,

Term

Loan

254,782

3.989%, 

(LIBOR

1M

+

3.000%),

9/22/2024

b,c

201,278

Total

501,896

Capital

Goods

(0.1%)

Advanced

Disposal

Services,

Inc.,

Term

Loan

442,890

2.894%, 

(LIBOR

1W

+

2.250%),

11/10/2023

b

436,614

GFL

Environmental,

Inc.,

Term

Loan

531,437

3.990%, 

(LIBOR

1M

+

3.000%),

5/31/2025

b

512,837

Total

949,451

Communications

Services

(0.2%)

Altice

France

SA,

Term

Loan

194,500

3.739%, 

(LIBOR

1M

+

2.750%),

7/31/2025

b

178,454

Coral-US

Co-Borrower,

LLC,

Term

Loan

420,000

3.239%, 

(LIBOR

1M

+

2.250%),

1/31/2028

b

391,125

Frontier

Communications

Corporation,

Term

Loan

437,625

5.350%, 

(LIBOR

3M

+

3.750%),

6/15/2024

b

414,033

HCP

Acquisition,

LLC,

Term

Loan

350,833

4.000%, 

(LIBOR

1M

+

3.000%),

5/16/2024

b

302,885

Intelsat

Jackson

Holdings

SA,

Term

Loan

300,000

5.682%, 

(LIBOR

3M

+

3.750%),

11/27/2023

b

273,375

Sprint

Communications,

Inc.,

Term

Loan

627,844

3.500%, 

(LIBOR

1M

+

2.500%),

2/3/2024

b,c

623,136

TNS,

Inc.,

Term

Loan

344,900

5.780%, 

(LIBOR

3M

+

4.000%),

8/14/2022

b

285,118

Virgin

Media

Bristol,

LLC,

Term

Loan

490,000

3.205%, 

(LIBOR

1M

+

2.500%),

1/31/2028

b

450,800

WideOpenWest

Finance,

LLC,

Term

Loan

326,625

4.250%, 

(LIBOR

1M

+

3.250%),

8/19/2023

b

299,678

Windstream

Services,

LLC,

Term

Loan

248,097

8.250%, 

(PRIME

+

5.000%),

3/30/2021

b,f

152,579

Total

3,371,183

Principal

Amount

Bank

Loans

(0.8%)

a

Value

Consumer

Cyclical

(0.1%)

Golden

Entertainment,

Inc.,

Term

Loan

$

593,475

3.960%, 

(LIBOR

1M

+

3.000%),

10/20/2024

b,c

$

445,107

LCPR

Loan

Financing,

LLC,

Term

Loan

465,000

5.705%, 

(LIBOR

1M

+

5.000%),

10/25/2026

b

426,056

Scientific

Games

International,

Inc.,

Term

Loan

882,000

4.250%, 

(LIBOR

1M

+

2.750%),

8/14/2024

b

708,537

Stars

Group

Holdings

BV,

Term

Loan

172,360

4.950%, 

(LIBOR

3M

+

3.500%),

7/10/2025

b

163,885

Tenneco,

Inc.,

Term

Loan

296,250

3.989%, 

(LIBOR

1M

+

3.000%),

10/1/2025

b

202,931

Total

1,946,516

Consumer

Non-Cyclical

(0.2%)

Air

Medical

Group

Holdings,

Inc.,

Term

Loan

772,225

4.932%, 

(LIBOR

2M

+

3.250%),

4/28/2022

b

712,377

190,613

5.863%, 

(LIBOR

3M

+

4.250%),

3/14/2025

b

169,645

Bausch

Health

Companies,

Inc.,

Term

Loan

482,625

3.612%, 

(LIBOR

1M

+

3.000%),

6/1/2025

b

456,684

Endo

International

plc,

Term

Loan

211,602

5.250%, 

(LIBOR

1M

+

4.250%),

4/27/2024

b,d,e

188,855

JBS

USA

LUX

SA,

Term

Loan

253,719

3.072%, 

(LIBOR

3M

+

2.000%),

5/1/2026

b

236,138

McGraw-Hill

Global

Education

Holdings,

LLC,

Term

Loan

145,420

5.450%, 

(LIBOR

3M

+

4.000%),

5/4/2022

b

118,275

MPH

Acquisition

Holdings,

LLC,

Term

Loan

385,308

4.200%, 

(LIBOR

3M

+

2.750%),

6/7/2023

b

339,391

Plantronics,

Inc.,

Term

Loan

539,676

3.470%, 

(LIBOR

3M

+

2.500%),

7/2/2025

b

417,440

Sotera

Health

Holdings,

LLC,

Term

Loan

140,000

5.500%, 

(LIBOR

1M

+

4.500%),

12/13/2026

b

121,232

Total

2,760,037

Energy

(<0.1%)

Radiate

Holdco,

LLC,

Term

Loan

972,449

3.989%, 

(LIBOR

1M

+

3.000%),

2/1/2024

b

891,415

Total

891,415

Financials

(0.1%)

Avolon

TLB

Borrower

1

US,

LLC,

Term

Loan

164,850

2.523%, 

(LIBOR

1M

+

1.750%),

1/15/2025

b

146,168

Income

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

92

Principal

Amount

Bank

Loans

(0.8%)

a

Value

Financials

(0.1%)

-

continued

GGP

Nimbus,

LLC,

Term

Loan

$

418,625

3.489%, 

(LIBOR

1M

+

2.500%),

8/24/2025

b

$

293,038

Harland

Clarke

Holdings

Corporation,

Term

Loan

466,878

6.463%, 

(LIBOR

3M

+

4.750%),

11/3/2023

b

281,149

Tronox

Finance,

LLC,

Term

Loan

611,331

3.930%, 

(LIBOR

1M

+

2.750%),

9/22/2024

b

532,292

Total

1,252,647

Technology

(0.1%)

Prime

Security

Services

Borrower,

LLC,

Term

Loan

492,525

4.606%, 

(LIBOR

1M

+

3.250%),

9/23/2026

b

439,825

Rackspace

Hosting,

Inc.,

Term

Loan

530,317

4.763%, 

(LIBOR

3M

+

3.000%),

11/3/2023

b

458,724

Total

898,549

Total

Bank

Loans

(cost

$14,421,281)

12,571,694

Principal

Amount

Long-Term

Fixed

Income

(

95.1%

)

Value

Asset-Backed

Securities

(1.2%)

Magnetite

XII,

Ltd.

3,200,000

2.931%, 

(LIBOR

3M

+

1.100%),

10/15/2031,

Ser.

2015-12A,

Class

ARR

b,g

3,001,177

Neuberger

Berman

CLO

XIV,

Ltd.

3,200,000

2.646%, 

(LIBOR

3M

+

1.030%),

1/28/2030,

Ser.

2013-14A,

Class

AR2

b,g

3,066,656

Octagon

Investment

Partners

XVI,

Ltd.

2,600,000

3.236%, 

(LIBOR

3M

+

1.400%),

7/17/2030,

Ser.

2013-1A,

Class

A2R

b,g

2,386,550

Shackleton

CLO,

Ltd.

2,150,000

3.001%, 

(LIBOR

3M

+

1.170%),

7/15/2031,

Ser.

2015-7RA,

Class

A1

b,g

1,999,915

Sound

Point

CLO

X,

Ltd.

3,200,000

4.519%, 

(LIBOR

3M

+

2.700%),

1/20/2028,

Ser.

2015-3A,

Class

DR

b,g

2,650,349

THL

Credit

Wind

River

CLO,

Ltd.

3,200,000

4.681%, 

(LIBOR

3M

+

2.850%),

7/15/2028,

Ser.

2016-1A,

Class

DR

b,g

2,586,317

Voya

CLO,

Ltd.

3,200,000

2.059%, 

(LIBOR

3M

+

1.060%),

4/15/2031,

Ser.

2019-1A,

Class

AR

b,g

2,990,605

Total

18,681,569

Basic

Materials

(2.1%)

Alcoa,

Inc.

640,000

5.125%, 

10/1/2024

632,000

Anglo

American

Capital

plc

3,200,000

3.625%, 

9/11/2024

g

3,011,424

2,550,000

4.750%, 

4/10/2027

g

2,491,361

Principal

Amount

Long-Term

Fixed

Income

(95.1%)

Value

Basic

Materials

(2.1%)

-

continued

Cleveland-Cliffs,

Inc.

$

640,000

5.750%, 

3/1/2025

$

494,400

Freeport-McMoRan,

Inc.

320,000

4.125%, 

3/1/2028

280,125

Glencore

Funding,

LLC

3,180,000

4.125%, 

5/30/2023

g

2,929,923

2,880,000

4.000%, 

3/27/2027

g

2,621,929

International

Paper

Company

2,240,000

3.000%, 

2/15/2027

h

2,303,748

Kinross

Gold

Corporation

640,000

5.950%, 

3/15/2024

646,400

3,980,000

4.500%, 

7/15/2027

3,746,016

LyondellBasell

Industries

NV

1,900,000

6.000%, 

11/15/2021

1,967,789

Novelis

Corporation

640,000

5.875%, 

9/30/2026

g

628,074

Syngenta

Finance

NV

3,175,000

4.441%, 

4/24/2023

g

2,990,750

Teck

Resources,

Ltd.

3,270,000

6.125%, 

10/1/2035

3,006,374

Tronox

Finance

plc

640,000

5.750%, 

10/1/2025

g

571,200

Vale

Overseas,

Ltd.

1,920,000

6.250%, 

8/10/2026

2,073,638

Westlake

Chemical

Corporation

3,200,000

3.600%, 

8/15/2026

2,915,533

WestRock

Company

1,270,000

3.750%, 

3/15/2025

1,276,916

Total

34,587,600

Capital

Goods

(3.2%)

Amsted

Industries,

Inc.

260,000

5.625%, 

7/1/2027

g

252,958

BAE

Systems

plc

1,970,000

4.750%, 

10/11/2021

g

2,041,463

Bombardier,

Inc.

350,000

7.500%, 

3/15/2025

g

242,375

Cemex

SAB

de

CV

310,000

5.450%, 

11/19/2029

g

251,565

CNH

Industrial

Capital,

LLC

2,560,000

4.875%, 

4/1/2021

2,502,071

CNH

Industrial

NV

2,560,000

3.850%, 

11/15/2027

2,467,434

Crown

Cork

&

Seal

Company,

Inc.

640,000

7.375%, 

12/15/2026

656,000

General

Electric

Capital

Corporation

3,200,000

1.741%, 

(LIBOR

3M

+

1.000%),

3/15/2023

b

2,971,819

General

Electric

Company

5,200,000

5.000%, 

1/21/2021

b,i

4,290,000

Huntington

Ingalls

Industries,

Inc.

1,900,000

3.844%, 

5/1/2025

g

1,956,329

John

Deere

Capital

Corporation

3,250,000

1.750%, 

3/9/2027

3,126,859

L3Harris

Technologies,

Inc.

1,280,000

4.950%, 

2/15/2021

g

1,307,472

Northrop

Grumman

Corporation

2,250,000

3.250%, 

1/15/2028

2,360,593

Owens-Brockway

Glass

Container,

Inc.

1,000,000

5.875%, 

8/15/2023

g

980,000

Parker-Hannifin

Corporation

3,250,000

4.000%, 

6/14/2049

h

3,384,777

Roper

Technologies,

Inc.

1,920,000

3.125%, 

11/15/2022

1,884,039

Income

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

93

Principal

Amount

Long-Term

Fixed

Income

(95.1%)

Value

Capital

Goods

(3.2%)

-

continued

$

2,240,000

3.800%, 

12/15/2026

$

2,303,117

Spirit

AeroSystems,

Inc.

3,200,000

1.541%, 

(LIBOR

3M

+

0.800%),

6/15/2021

b

3,046,757

Textron,

Inc.

1,280,000

4.300%, 

3/1/2024

1,302,732

630,000

3.875%, 

3/1/2025

630,046

2,560,000

3.650%, 

3/15/2027

2,508,892

United

Rentals

North

America,

Inc.

640,000

4.000%, 

7/15/2030

572,800

United

Technologies

Corporation

1,925,000

3.950%, 

8/16/2025

2,106,227

3,825,000

4.450%, 

11/16/2038

4,383,157

3,850,000

4.625%, 

11/16/2048

h

4,556,010

Total

52,085,492

Collateralized

Mortgage

Obligations

(<0.1%)

GMAC

Mortgage

Corporation

Loan

Trust

187,104

1.447%, 

(LIBOR

1M

+

0.500%),

8/25/2035,

Ser.

2005-HE1,

Class

A2

b,j

178,858

IndyMac

Seconds

Asset-Backed

Trust

315,550

1.287%, 

(LIBOR

1M

+

0.340%),

10/25/2036,

Ser.

2006-2B,

Class

A

b,j

154,294

Wachovia

Mortgage

Loan

Trust,

LLC

451,364

4.180%, 

5/20/2036,

Ser.

2006-A,

Class

2A1

b

410,192

Total

743,344

Communications

Services

(8.2%)

AMC

Networks,

Inc.

320,000

5.000%, 

4/1/2024

307,200

American

Tower

Corporation

2,560,000

3.125%, 

1/15/2027

2,513,494

AT&T,

Inc.

3,190,000

4.450%, 

4/1/2024

h

3,379,020

3,850,000

1.964%, 

(LIBOR

3M

+

1.180%),

6/12/2024

b

3,575,503

1,240,000

3.400%, 

5/15/2025

1,282,534

5,120,000

4.250%, 

3/1/2027

5,473,730

2,643,000

4.300%, 

2/15/2030

2,844,717

3,190,000

4.300%, 

12/15/2042

3,369,651

3,200,000

4.500%, 

3/9/2048

3,472,831

4,500,000

4.550%, 

3/9/2049

4,842,928

British

Telecommunications

plc

3,200,000

4.500%, 

12/4/2023

3,352,551

CCO

Holdings,

LLC

380,000

5.500%, 

5/1/2026

g

384,788

640,000

4.750%, 

3/1/2030

g

638,400

260,000

4.500%, 

8/15/2030

g

254,800

Charter

Communications

Operating,

LLC

4,500,000

4.800%, 

3/1/2050

4,688,680

3,300,000

4.908%, 

7/23/2025

3,555,025

2,475,000

6.484%, 

10/23/2045

3,025,950

Clear

Channel

Worldwide

Holdings,

Inc.

640,000

5.125%, 

8/15/2027

g

599,296

Comcast

Corporation

3,600,000

4.950%, 

10/15/2058

4,971,805

1,920,000

3.375%, 

8/15/2025

2,039,040

3,200,000

3.300%, 

4/1/2027

3,407,003

605,000

6.400%, 

5/15/2038

882,453

Principal

Amount

Long-Term

Fixed

Income

(95.1%)

Value

Communications

Services

(8.2%)

-

continued

$

3,150,000

4.600%, 

10/15/2038

$

3,924,547

3,150,000

3.750%, 

4/1/2040

3,481,358

3,200,000

4.650%, 

7/15/2042

4,068,416

Cox

Communications,

Inc.

3,200,000

3.350%, 

9/15/2026

g

3,146,459

560,000

4.800%, 

2/1/2035

g

608,665

2,405,000

4.700%, 

12/15/2042

g

2,368,109

Crown

Castle

International

Corporation

4,160,000

5.250%, 

1/15/2023

4,411,938

2,200,000

3.150%, 

7/15/2023

2,208,024

Discovery

Communications,

LLC

1,830,000

3.500%, 

6/15/2022

1,862,495

1,600,000

4.900%, 

3/11/2026

1,627,195

Fox

Corporation

3,200,000

5.476%, 

1/25/2039

g

3,711,911

Front

Range

BidCo,

Inc.

320,000

4.000%, 

3/1/2027

g

306,200

iHeartCommunications,

Inc.

320,000

4.750%, 

1/15/2028

g

288,000

Interpublic

Group

of

Companies,

Inc.

3,200,000

3.750%, 

10/1/2021

3,230,309

Level

3

Financing,

Inc.

640,000

5.250%, 

3/15/2026

639,600

Nexstar

Escrow

Corporation

640,000

5.625%, 

7/15/2027

g

625,600

Omnicom

Group,

Inc.

940,000

3.650%, 

11/1/2024

956,026

2,600,000

4.200%, 

6/1/2030

2,681,092

SFR

Group

SA

320,000

7.375%, 

5/1/2026

g

323,200

Sinclair

Television

Group,

Inc.

640,000

5.875%, 

3/15/2026

g

566,400

Sprint

Corporation

730,000

7.125%, 

6/15/2024

802,073

Time

Warner

Cable,

Inc.

3,800,000

4.125%, 

2/15/2021

3,811,240

Time

Warner

Entertainment

Company,

LP

1,720,000

8.375%, 

3/15/2023

1,888,391

T-Mobile

USA,

Inc.

640,000

4.500%, 

2/1/2026

651,200

VeriSign,

Inc.

640,000

4.750%, 

7/15/2027

663,296

Verizon

Communications,

Inc.

2,600,000

4.000%, 

3/22/2050

3,085,697

2,740,000

3.500%, 

11/1/2024

2,914,630

4,400,000

2.792%, 

(LIBOR

3M

+

1.100%),

5/15/2025

b

4,010,703

3,850,000

4.272%, 

1/15/2036

4,497,806

1,920,000

5.250%, 

3/16/2037

2,455,940

Viacom,

Inc.

3,200,000

4.375%, 

3/15/2043

2,839,090

Virgin

Media

Secured

Finance

plc

960,000

5.500%, 

8/15/2026

g

974,400

Vodafone

Group

plc

2,150,000

5.000%, 

5/30/2038

2,392,204

Walt

Disney

Company

1,900,000

7.625%, 

11/30/2028

2,501,146

Windstream

Services,

LLC

200,000

8.625%, 

10/31/2025

f,g

120,000

Total

133,504,759

Income

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

94

Principal

Amount

Long-Term

Fixed

Income

(95.1%)

Value

Consumer

Cyclical

(4.8%)

Amazon.com,

Inc.

$

4,480,000

4.050%, 

8/22/2047

$

5,718,847

American

Honda

Finance

Corporation

2,600,000

2.150%, 

9/10/2024

2,538,118

Brookfield

Property

REIT,

Inc.

320,000

5.750%, 

5/15/2026

g

259,642

Brookfield

Residential

Properties,

Inc.

400,000

6.250%, 

9/15/2027

g

346,960

Cedar

Fair,

LP

480,000

5.250%, 

7/15/2029

g

405,600

CVS

Health

Corporation

1,950,000

4.250%, 

4/1/2050

2,027,279

1,300,000

3.625%, 

4/1/2027

1,332,203

Daimler

Finance

North

America,

LLC

1,900,000

2.301%, 

(LIBOR

3M

+

0.550%),

5/4/2021

b,g

1,826,579

1,900,000

1.750%, 

3/10/2023

g

1,789,005

2,550,000

2.125%, 

3/10/2025

g

2,346,798

Ford

Motor

Credit

Company,

LLC

1,900,000

3.470%, 

4/5/2021

1,823,430

3,200,000

2.979%, 

8/3/2022

2,976,000

2,575,000

4.250%, 

9/20/2022

2,413,290

General

Motors

Company

3,200,000

1.796%, 

(LIBOR

3M

+

0.900%),

9/10/2021

b

2,887,886

1,230,000

5.000%, 

4/1/2035

924,336

General

Motors

Financial

Company,

Inc.

3,100,000

3.450%, 

4/10/2022

2,863,173

2,510,000

4.000%, 

1/15/2025

2,230,745

Hanesbrands,

Inc.

640,000

4.625%, 

5/15/2024

g

633,600

Harley-Davidson

Financial

Services,

Inc.

3,380,000

4.050%, 

2/4/2022

g

3,304,140

Hertz

Corporation

179,000

7.625%, 

6/1/2022

g

144,990

Home

Depot,

Inc.

2,600,000

3.350%, 

4/15/2050

2,827,131

3,250,000

2.500%, 

4/15/2027

3,282,421

3,180,000

4.250%, 

4/1/2046

3,798,757

Hyundai

Capital

America

1,850,000

3.000%, 

3/18/2021

g

1,845,166

3,850,000

2.450%, 

6/15/2021

g

3,807,737

Hyundai

Capital

Services,

Inc.

1,920,000

3.000%, 

3/6/2022

g

1,910,072

L

Brands,

Inc.

160,000

6.694%, 

1/15/2027

115,520

Lennar

Corporation

2,005,000

2.950%, 

11/29/2020

1,954,875

1,900,000

4.125%, 

1/15/2022

1,881,000

1,900,000

4.500%, 

4/30/2024

1,858,276

Lowe's

Companies,

Inc.

1,900,000

5.000%, 

4/15/2040

2,150,114

Mastercard,

Inc.

1,900,000

3.850%, 

3/26/2050

2,319,110

McDonald's

Corporation

3,175,000

4.450%, 

3/1/2047

3,438,555

ServiceMaster

Company,

LLC

640,000

5.125%, 

11/15/2024

g

632,000

Six

Flags

Entertainment

Corporation

110,000

5.500%, 

4/15/2027

g

92,675

Principal

Amount

Long-Term

Fixed

Income

(95.1%)

Value

Consumer

Cyclical

(4.8%)

-

continued

Viking

Cruises,

Ltd.

$

215,000

5.875%, 

9/15/2027

g

$

125,799

Visa,

Inc.

2,600,000

1.900%, 

4/15/2027

2,592,668

Volkswagen

Group

of

America

Finance,

LLC

3,800,000

4.250%, 

11/13/2023

g

3,754,514

Total

77,179,011

Consumer

Non-Cyclical

(11.0%)

Abbott

Laboratories

2,901,000

3.750%, 

11/30/2026

3,238,538

1,440,000

4.750%, 

11/30/2036

1,823,323

2,500,000

6.000%, 

4/1/2039

3,353,113

AbbVie,

Inc.

4,460,000

3.200%, 

5/14/2026

4,620,811

2,550,000

2.950%, 

11/21/2026

g

2,598,086

3,200,000

4.050%, 

11/21/2039

g

3,355,909

Albertson's

Companies,

Inc.

640,000

6.625%, 

6/15/2024

649,600

Allergan

Sales,

LLC

2,550,000

5.000%, 

12/15/2021

g

2,641,588

Altria

Group,

Inc.

3,200,000

4.800%, 

2/14/2029

3,348,246

5,150,000

5.800%, 

2/14/2039

5,643,142

Amgen,

Inc.

3,200,000

3.375%, 

2/21/2050

3,336,463

Anheuser-Busch

Companies,

LLC

3,210,000

4.700%, 

2/1/2036

3,353,213

Anheuser-Busch

InBev

Worldwide,

Inc.

3,825,000

4.000%, 

4/13/2028

4,038,707

2,550,000

4.600%, 

4/15/2048

2,701,283

3,200,000

4.439%, 

10/6/2048

3,268,759

3,200,000

5.550%, 

1/23/2049

3,765,963

Avantor,

Inc.

640,000

6.000%, 

10/1/2024

g

670,528

BAT

Capital

Corporation

2,750,000

5.282%, 

4/2/2050

2,759,435

2,550,000

3.222%, 

8/15/2024

2,561,232

3,250,000

4.700%, 

4/2/2027

3,314,261

Bausch

Health

Companies,

Inc.

50,000

5.000%, 

1/30/2028

g

47,335

50,000

5.250%, 

1/30/2030

g

46,750

Baxalta,

Inc.

1,511,000

4.000%, 

6/23/2025

1,608,855

Becton,

Dickinson

and

Company

3,250,000

3.363%, 

6/6/2024

3,257,030

3,850,000

3.700%, 

6/6/2027

3,912,492

Biogen,

Inc.

3,200,000

5.200%, 

9/15/2045

4,140,314

Boston

Scientific

Corporation

2,660,000

3.375%, 

5/15/2022

2,744,257

1,950,000

3.750%, 

3/1/2026

2,045,392

1,722,000

7.375%, 

1/15/2040

2,484,953

Bristol-Myers

Squibb

Company

1,910,000

3.250%, 

8/15/2022

g

1,982,706

Bunge,

Ltd.

Finance

Corporation

1,920,000

3.500%, 

11/24/2020

1,935,913

Cargill,

Inc.

3,250,000

3.250%, 

5/23/2029

g

3,279,062

Centene

Corporation

160,000

4.250%, 

12/15/2027

g

160,304

480,000

4.625%, 

12/15/2029

g

482,400

7,105,000

3.375%, 

2/15/2030

g

6,607,650

Income

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

95

Principal

Amount

Long-Term

Fixed

Income

(95.1%)

Value

Consumer

Non-Cyclical

(11.0%)

-

continued

Cigna

Corporation

$

3,200,000

4.125%, 

11/15/2025

$

3,426,448

3,850,000

2.400%, 

3/15/2030

3,641,831

3,200,000

4.800%, 

8/15/2038

3,596,375

Conagra

Brands,

Inc.

1,000,000

4.600%, 

11/1/2025

1,058,779

Constellation

Brands,

Inc.

1,700,000

4.400%, 

11/15/2025

1,715,000

640,000

3.500%, 

5/9/2027

600,851

3,300,000

5.250%, 

11/15/2048

3,495,908

CVS

Health

Corporation

1,870,000

4.750%, 

12/1/2022

1,979,627

3,175,000

4.100%, 

3/25/2025

3,341,424

1,600,000

3.875%, 

7/20/2025

1,653,191

5,210,000

5.050%, 

3/25/2048

5,916,506

HCA,

Inc.

640,000

5.375%, 

2/1/2025

651,194

Imperial

Brands

Finance

plc

3,200,000

3.500%, 

7/26/2026

g

2,954,148

Imperial

Tobacco

Finance

plc

2,190,000

3.750%, 

7/21/2022

g

2,189,070

JBS

USA,

LLC

640,000

6.500%, 

4/15/2029

g

686,528

Kellogg

Company

2,550,000

3.125%, 

5/17/2022

2,530,729

Kraft

Foods

Group,

Inc.

230,000

5.000%, 

6/4/2042

218,009

Kraft

Heinz

Foods

Company

1,280,000

3.000%, 

6/1/2026

1,243,843

450,000

3.750%, 

4/1/2030

g

429,189

Kroger

Company

3,200,000

2.650%, 

10/15/2026

3,257,393

Nestle

Holdings,

Inc.

3,850,000

3.900%, 

9/24/2038

g

4,432,097

Par

Pharmaceutical,

Inc.

640,000

7.500%, 

4/1/2027

g

636,800

Reckitt

Benckiser

Treasury

Services

plc

2,880,000

2.750%, 

6/26/2024

g

2,854,016

Reynolds

American,

Inc.

4,000,000

4.850%, 

9/15/2023

4,161,645

1,560,000

5.850%, 

8/15/2045

1,677,514

Shire

Acquisitions

Investments

Ireland

Designated

Activity

Company

3,200,000

2.875%, 

9/23/2023

3,264,744

Smithfield

Foods,

Inc.

7,500,000

2.650%, 

10/3/2021

g

7,020,709

Sysco

Corporation

1,600,000

5.950%, 

4/1/2030

1,684,781

Tenet

Healthcare

Corporation

640,000

5.125%, 

11/1/2027

g

611,200

Thermo

Fisher

Scientific,

Inc.

1,280,000

2.950%, 

9/19/2026

1,295,531

Tyson

Foods,

Inc.

1,280,000

3.550%, 

6/2/2027

1,326,254

UnitedHealth

Group,

Inc.

3,200,000

2.950%, 

10/15/2027

3,355,062

1,240,000

4.750%, 

7/15/2045

1,581,047

3,225,000

4.450%, 

12/15/2048

4,048,472

VRX

Escrow

Corporation

700,000

6.125%, 

4/15/2025

g

689,500

Total

179,003,028

Principal

Amount

Long-Term

Fixed

Income

(95.1%)

Value

Energy

(6.3%)

BP

Capital

Markets

America,

Inc.

$

3,200,000

3.000%, 

2/24/2050

$

2,975,042

1,590,000

3.119%, 

5/4/2026

1,608,167

2,560,000

3.017%, 

1/16/2027

2,599,496

BP

Capital

Markets

plc

2,490,000

3.814%, 

2/10/2024

2,520,876

Buckeye

Partners,

LP

350,000

4.125%, 

3/1/2025

g

295,050

Cenovus

Energy,

Inc.

3,200,000

4.250%, 

4/15/2027

1,568,613

Centennial

Resource

Production,

LLC

640,000

5.375%, 

1/15/2026

g

153,600

Cheniere

Corpus

Christi

Holdings,

LLC

3,250,000

3.700%, 

11/15/2029

g

2,430,461

Cheniere

Energy

Partners,

LP

960,000

4.500%, 

10/1/2029

g

854,400

Chesapeake

Energy

Corporation

448,000

11.500%, 

1/1/2025

g

71,680

Continental

Resources,

Inc.

3,200,000

4.500%, 

4/15/2023

1,760,115

Diamondback

Energy,

Inc.

4,600,000

3.500%, 

12/1/2029

3,243,976

El

Paso

Pipeline

Partners

Operating

Company,

LLC

1,280,000

4.700%, 

11/1/2042

1,186,322

Enagas

SA

640,000

5.500%, 

1/15/2028

g

332,800

Energy

Transfer

Operating,

LP

4,150,000

3.750%, 

5/15/2030

3,250,468

3,200,000

6.000%, 

6/15/2048

2,686,878

Energy

Transfer

Partners,

LP

4,480,000

4.200%, 

4/15/2027

3,628,597

Enterprise

Products

Operating,

LLC

2,490,000

3.700%, 

2/15/2026

2,485,233

3,200,000

4.875%, 

8/16/2077

b

2,197,760

Exxon

Mobil

Corporation

3,250,000

4.327%, 

3/19/2050

3,976,990

Hess

Corporation

1,280,000

3.500%, 

7/15/2024

1,016,472

1,300,000

4.300%, 

4/1/2027

961,570

Kinder

Morgan,

Inc.

1,280,000

5.000%, 

2/15/2021

g

1,273,125

3,175,000

5.200%, 

3/1/2048

3,353,662

Marathon

Petroleum

Corporation

2,560,000

4.750%, 

12/15/2023

2,423,900

3,220,000

6.500%, 

3/1/2041

2,988,331

MPLX,

LP

2,550,000

3.500%, 

12/1/2022

g,h

2,440,720

2,550,000

4.875%, 

6/1/2025

2,099,954

3,250,000

4.800%, 

2/15/2029

2,864,750

1,920,000

5.200%, 

3/1/2047

1,531,993

Murphy

Oil

Corporation

640,000

5.875%, 

12/1/2027

334,592

Newfield

Exploration

Company

2,000,000

5.625%, 

7/1/2024

1,073,422

2,956,000

5.375%, 

1/1/2026

1,544,288

Noble

Energy,

Inc.

3,240,000

3.900%, 

11/15/2024

2,672,756

2,600,000

5.050%, 

11/15/2044

1,605,934

ONEOK,

Inc.

1,900,000

2.200%, 

9/15/2025

1,466,231

2,550,000

3.100%, 

3/15/2030

1,917,154

Petrobras

Global

Finance

BV

2,671,000

5.093%, 

1/15/2030

g

2,437,288

Income

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

96

Principal

Amount

Long-Term

Fixed

Income

(95.1%)

Value

Energy

(6.3%)

-

continued

Plains

All

American

Pipeline,

LP

$

3,200,000

3.650%, 

6/1/2022

$

2,924,038

3,200,000

4.500%, 

12/15/2026

2,585,795

3,200,000

3.550%, 

12/15/2029

2,186,277

Sabine

Pass

Liquefaction,

LLC

1,910,000

5.750%, 

5/15/2024

1,792,615

Schlumberger

Holdings

Corporation

3,250,000

3.900%, 

5/17/2028

g

3,022,309

Suncor

Energy,

Inc.

1,920,000

3.600%, 

12/1/2024

1,858,468

Sunoco

Logistics

Partners

Operations,

LP

3,200,000

3.450%, 

1/15/2023

2,756,687

4,500,000

4.000%, 

10/1/2027

3,561,662

Sunoco,

LP

640,000

5.500%, 

2/15/2026

553,779

Transocean,

Inc.

640,000

7.500%, 

1/15/2026

g

300,800

Williams

Companies,

Inc.

3,200,000

7.500%, 

1/15/2031

3,722,138

Williams

Partners,

LP

1,930,000

4.500%, 

11/15/2023

1,809,644

1,600,000

3.750%, 

6/15/2027

1,466,902

Total

102,373,780

Financials

(26.0%)

Aegon

NV

2,600,000

1.896%, 

(USISDA

10Y

+

0.100%),

7/15/2020

b,i

1,807,000

AerCap

Ireland

Capital,

Ltd.

960,000

3.950%, 

2/1/2022

836,274

3,800,000

3.875%, 

1/23/2028

2,897,512

Air

Lease

Corporation

2,510,000

3.750%, 

2/1/2022

2,322,334

1,260,000

4.250%, 

9/15/2024

1,121,057

Ally

Financial,

Inc.

300,000

5.750%, 

11/20/2025

293,460

American

International

Group,

Inc.

2,700,000

4.200%, 

4/1/2028

2,833,392

Associated

Banc-Corporation

3,150,000

4.250%, 

1/15/2025

3,244,561

Australia

and

New

Zealand

Banking

Group,

Ltd.

3,200,000

2.950%, 

7/22/2030

b,g

3,032,111

Avolon

Holdings

Funding,

Ltd.

1,300,000

5.250%, 

5/15/2024

g

1,107,147

6,400,000

4.375%, 

5/1/2026

g

5,122,726

Banco

Bilbao

Vizcaya

Argentaria

SA

2,600,000

6.500%, 

3/5/2025

b,i

2,015,000

Banco

Santander

SA

1,800,000

4.379%, 

4/12/2028

1,843,555

Bank

of

America

Corporation

1,900,000

3.499%, 

5/17/2022

b

1,922,327

1,000,000

4.100%, 

7/24/2023

1,065,301

3,649,000

3.004%, 

12/20/2023

b

3,717,195

2,830,000

4.200%, 

8/26/2024

3,008,053

2,860,000

6.500%, 

10/23/2024

b,i

3,017,300

3,200,000

4.000%, 

1/22/2025

3,379,176

2,750,000

3.950%, 

4/21/2025

2,891,919

1,270,000

3.875%, 

8/1/2025

1,361,672

3,200,000

3.093%, 

10/1/2025

b

3,265,104

3,200,000

3.705%, 

4/24/2028

b

3,346,143

2,550,000

4.271%, 

7/23/2029

b

2,767,387

3,970,000

3.194%, 

7/23/2030

b

4,054,041

Principal

Amount

Long-Term

Fixed

Income

(95.1%)

Value

Financials

(26.0%)

-

continued

Barclays

Bank

plc

$

1,910,000

10.179%, 

6/12/2021

g

$

2,029,963

Barclays

plc

3,900,000

4.610%, 

2/15/2023

b

3,968,005

2,800,000

4.338%, 

5/16/2024

b

2,701,275

1,280,000

4.836%, 

5/9/2028

1,320,219

Berkshire

Hathaway

Finance

Corporation

1,950,000

4.250%, 

1/15/2049

2,401,447

BNP

Paribas

SA

2,850,000

4.500%, 

2/25/2030

b,g,i

2,194,500

Boston

Properties,

LP

3,200,000

2.750%, 

10/1/2026

3,063,039

BPCE

SA

1,920,000

3.000%, 

5/22/2022

g

1,900,792

1,265,000

5.700%, 

10/22/2023

g

1,299,509

2,190,000

5.150%, 

7/21/2024

g

2,309,010

Camden

Property

Trust

2,000,000

4.100%, 

10/15/2028

2,098,169

Capital

One

Bank

USA

NA

2,000,000

3.375%, 

2/15/2023

1,956,700

Capital

One

Financial

Corporation

3,190,000

4.200%, 

10/29/2025

3,178,790

Capital

One

NA

3,200,000

2.150%, 

9/6/2022

3,119,765

CIT

Group,

Inc.

320,000

4.125%, 

3/9/2021

315,200

960,000

5.250%, 

3/7/2025

936,000

1,900,000

6.125%, 

3/9/2028

1,786,000

Citigroup,

Inc.

1,900,000

3.142%, 

1/24/2023

b

1,923,706

2,560,000

3.010%, 

(LIBOR

3M

+

1.430%),

9/1/2023

b

2,502,385

3,200,000

4.700%, 

1/30/2025

b,i

2,768,000

3,600,000

3.352%, 

4/24/2025

b

3,706,894

4,370,000

4.400%, 

6/10/2025

4,728,004

3,305,000

5.500%, 

9/13/2025

3,672,279

1,910,000

3.700%, 

1/12/2026

2,030,873

2,490,000

4.450%, 

9/29/2027

2,610,907

2,550,000

4.650%, 

7/23/2048

3,069,681

Citizens

Bank

NA

1,280,000

2.650%, 

5/26/2022

1,278,460

Citizens

Financial

Group,

Inc.

1,280,000

2.375%, 

7/28/2021

1,289,850

CNA

Financial

Corporation

1,870,000

7.250%, 

11/15/2023

2,107,067

650,000

3.950%, 

5/15/2024

675,243

3,250,000

3.450%, 

8/15/2027

3,010,223

Commerzbank

AG

3,200,000

8.125%, 

9/19/2023

g

3,345,116

CoreStates

Capital

III

2,440,000

2.262%, 

(LIBOR

3M

+

0.570%),

2/15/2027

b,g

2,049,600

Credit

Agricole

SA

1,280,000

3.375%, 

1/10/2022

g

1,277,099

3,800,000

3.250%, 

1/14/2030

g

3,609,248

Credit

Suisse

Group

AG

3,200,000

3.574%, 

1/9/2023

g

3,229,130

3,950,000

7.500%, 

7/17/2023

b,g,i

3,640,320

600,000

5.100%, 

1/24/2030

b,g,i

463,500

Credit

Suisse

Group

Funding,

Ltd.

3,900,000

3.750%, 

3/26/2025

3,940,709

Danske

Bank

AS

5,600,000

5.000%, 

1/12/2022

g

5,733,663

1,950,000

3.244%, 

12/20/2025

b,g

1,812,631

Income

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

97

Principal

Amount

Long-Term

Fixed

Income

(95.1%)

Value

Financials

(26.0%)

-

continued

Deutsche

Bank

AG

$

2,560,000

2.700%, 

7/13/2020

$

2,509,746

4,000,000

6.000%, 

10/30/2025

b,i

2,678,000

5,200,000

3.961%, 

11/26/2025

b

4,809,797

Digital

Realty

Trust,

LP

2,700,000

2.750%, 

2/1/2023

2,684,481

Discover

Bank

1,635,000

4.200%, 

8/8/2023

1,735,995

2,600,000

2.450%, 

9/12/2024

2,490,974

4,490,000

4.682%, 

8/9/2028

b

4,571,763

Duke

Realty,

LP

3,220,000

3.875%, 

10/15/2022

3,336,561

Fidelity

National

Financial,

Inc.

1,250,000

5.500%, 

9/1/2022

1,371,774

Fidelity

National

Information

Services,

Inc.

1,900,000

3.750%, 

5/21/2029

2,067,889

Five

Corners

Funding

Trust

5,110,000

4.419%, 

11/15/2023

g

5,497,025

GE

Capital

International

Funding

Company

7,200,000

4.418%, 

11/15/2035

7,778,667

Glitnir

HoldCo

ehf.,

Convertible

362

Zero

Coupon, 

12/31/2030

c

0

Goldman

Sachs

Group,

Inc.

2,100,000

2.876%, 

10/31/2022

b

2,110,710

1,920,000

2.908%, 

6/5/2023

b

1,925,044

2,190,000

4.000%, 

3/3/2024

2,296,608

4,450,000

3.850%, 

7/8/2024

4,650,922

3,200,000

4.950%, 

2/10/2025

b,i

2,848,000

2,490,000

4.250%, 

10/21/2025

2,617,785

3,760,000

5.150%, 

5/22/2045

4,446,003

HCP,

Inc.

1,595,000

4.250%, 

11/15/2023

1,507,242

Host

Hotels

&

Resorts,

LP

1,240,000

4.000%, 

6/15/2025

1,153,117

HSBC

Holdings

plc

1,280,000

6.875%, 

6/1/2021

b,i

1,257,600

3,200,000

2.692%, 

(LIBOR

3M

+

1.000%),

5/18/2024

b

2,984,213

2,100,000

3.803%, 

3/11/2025

b

2,186,291

2,560,000

4.300%, 

3/8/2026

2,732,816

1,600,000

6.000%, 

5/22/2027

b,i

1,516,000

1,920,000

4.041%, 

3/13/2028

b

1,954,115

Icahn

Enterprises,

LP

640,000

6.250%, 

5/15/2026

604,800

ING

Groep

NV

4,500,000

4.100%, 

10/2/2023

4,617,944

International

Lease

Finance

Corporation

2,560,000

5.875%, 

8/15/2022

2,288,570

Itau

Unibanco

Holding

SA

3,800,000

2.900%, 

1/24/2023

g

3,610,000

J.P.

Morgan

Chase

&

Company

1,280,000

2.295%, 

8/15/2021

1,277,541

2,500,000

2.972%, 

1/15/2023

2,545,184

3,190,000

3.031%, 

(LIBOR

3M

+

1.230%),

10/24/2023

b

3,087,633

1,270,000

6.750%, 

2/1/2024

b,h,i

1,327,150

3,200,000

5.000%, 

8/1/2024

b,i

3,000,000

4,000,000

3.875%, 

9/10/2024

4,223,764

3,200,000

4.600%, 

2/1/2025

b,i

2,800,640

3,800,000

3.900%, 

7/15/2025

4,064,419

3,200,000

2.950%, 

10/1/2026

3,306,897

2,600,000

3.882%, 

7/24/2038

b

2,905,365

Principal

Amount

Long-Term

Fixed

Income

(95.1%)

Value

Financials

(26.0%)

-

continued

$

3,150,000

5.500%, 

10/15/2040

$

4,312,551

Kilroy

Realty,

LP

2,550,000

4.250%, 

8/15/2029

2,619,969

Kimco

Realty

Corporation

5,100,000

3.300%, 

2/1/2025

5,132,622

Liberty

Mutual

Group,

Inc.

1,935,000

4.950%, 

5/1/2022

g

1,971,611

Lincoln

National

Corporation

4,150,000

4.000%, 

9/1/2023

4,150,737

Lloyds

Bank

plc

1,910,000

4.650%, 

3/24/2026

1,967,488

Lloyds

Banking

Group

plc

4,000,000

2.858%, 

3/17/2023

b

3,943,392

1,900,000

2.438%, 

2/5/2026

b

1,794,439

Marsh

&

McLennan

Companies,

Inc.

1,700,000

4.375%, 

3/15/2029

1,888,414

MGM

Growth

Properties

Operating

Partnership,

LP

640,000

4.500%, 

9/1/2026

531,200

Mitsubishi

UFJ

Financial

Group,

Inc.

1,950,000

3.455%, 

3/2/2023

1,996,314

Mizuho

Financial

Group,

Inc.

2,560,000

3.663%, 

2/28/2027

2,577,243

Morgan

Stanley

3,205,000

4.875%, 

11/1/2022

3,364,928

3,190,000

3.201%, 

(LIBOR

3M

+

1.400%),

10/24/2023

b

3,096,112

2,000,000

2.720%, 

7/22/2025

b

2,024,758

1,870,000

4.000%, 

7/23/2025

2,001,352

1,280,000

3.125%, 

7/27/2026

1,323,127

2,510,000

4.350%, 

9/8/2026

2,704,820

4,600,000

3.622%, 

4/1/2031

b

4,787,399

1,570,000

4.300%, 

1/27/2045

1,899,003

MPT

Operating

Partnership,

LP

640,000

5.000%, 

10/15/2027

620,800

Nationwide

Building

Society

2,490,000

3.900%, 

7/21/2025

g

2,634,394

1,920,000

4.000%, 

9/14/2026

g

1,881,290

Nippon

Life

Insurance

Company

2,550,000

3.400%, 

1/23/2050

b,g

2,448,000

Park

Aerospace

Holdings,

Ltd.

1,300,000

4.500%, 

3/15/2023

g

1,127,501

Peachtree

Corners

Funding

Trust

2,800,000

3.976%, 

2/15/2025

g

2,810,725

Preferred

Term

Securities

XXIII,

Ltd.

526,509

0.941%, 

(LIBOR

3M

+

0.200%),

12/22/2036

b,g

433,193

Prudential

Financial,

Inc.

3,800,000

3.700%, 

3/13/2051

3,560,962

1,957,000

3.935%, 

12/7/2049

1,921,235

Realty

Income

Corporation

3,830,000

3.875%, 

7/15/2024

3,814,957

Regency

Centers,

LP

2,560,000

3.600%, 

2/1/2027

2,578,203

Reinsurance

Group

of

America,

Inc.

3,050,000

4.700%, 

9/15/2023

3,357,640

2,600,000

3.900%, 

5/15/2029

2,538,541

Royal

Bank

of

Scotland

Group

plc

1,920,000

8.625%, 

8/15/2021

b,i

1,872,000

2,560,000

3.498%, 

5/15/2023

b

2,527,472

2,560,000

3.875%, 

9/12/2023

2,585,951

2,750,000

4.269%, 

3/22/2025

b

2,825,517

1,000,000

3.754%, 

11/1/2029

b

924,881

Santander

UK

Group

Holdings

plc

1,700,000

3.125%, 

1/8/2021

1,696,032

Income

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

98

Principal

Amount

Long-Term

Fixed

Income

(95.1%)

Value

Financials

(26.0%)

-

continued

$

2,500,000

4.750%, 

9/15/2025

g

$

2,464,130

Standard

Chartered

plc

2,700,000

2.744%, 

9/10/2022

b,g

2,672,915

3,250,000

2.969%, 

(LIBOR

3M

+

1.150%),

1/20/2023

b,g

3,137,648

3,200,000

4.644%, 

4/1/2031

b,g

3,281,408

Synchrony

Financial

3,250,000

4.250%, 

8/15/2024

3,129,170

3,850,000

3.950%, 

12/1/2027

3,424,079

UBS

Group

Funding

Jersey,

Ltd.

1,600,000

2.650%, 

2/1/2022

g

1,597,605

2,490,000

4.125%, 

9/24/2025

g

2,586,925

UBS

Group

Funding

Switzerland

AG

2,560,000

4.253%, 

3/23/2028

g

2,685,162

UnionBanCal

Corporation

2,580,000

3.500%, 

6/18/2022

2,629,250

Ventas

Realty,

LP

1,280,000

3.500%, 

2/1/2025

1,257,322

1,920,000

3.850%, 

4/1/2027

1,861,888

3,200,000

4.000%, 

3/1/2028

3,010,908

VICI

Properties,

LP

/

VICI

Note

Company,

Inc.

180,000

4.250%, 

12/1/2026

g

165,150

180,000

4.625%, 

12/1/2029

g

163,800

Wells

Fargo

&

Company

4,000,000

4.125%, 

8/15/2023

4,123,794

2,560,000

3.000%, 

4/22/2026

2,634,966

Welltower,

Inc.

2,200,000

4.000%, 

6/1/2025

2,226,303

Westpac

Banking

Corporation

2,900,000

2.894%, 

2/4/2030

b

2,782,401

Total

422,785,360

Foreign

Government

(0.6%)

Bahrain

Government

International

Bond

3,250,000

5.875%, 

1/26/2021

3,167,938

Banco

del

Estado

de

Chile

3,850,000

2.704%, 

1/9/2025

g

3,583,426

Dominican

Republic

Government

International

Bond

950,000

6.000%, 

7/19/2028

g

900,457

Qatar

Government

International

Bond

1,900,000

4.500%, 

4/23/2028

g

2,079,436

Total

9,731,257

Mortgage-Backed

Securities

(8.0%)

Federal

Home

Loan

Mortgage

Corporation

Conventional

15-Yr.

Pass

Through

3,133,442

3.500%, 

5/1/2034

3,302,654

Federal

Home

Loan

Mortgage

Corporation

Conventional

30-Yr.

Pass

Through

9,376,611

3.000%, 

3/25/2050

9,835,000

1,600,000

3.000%, 

4/1/2050

e

1,678,219

6,309,904

3.500%, 

7/1/2047

e

6,691,883

6,103,123

3.000%, 

8/1/2047

6,436,906

Federal

National

Mortgage

Association

1,292,554

4.500%, 

5/1/2048

1,394,281

4,976,848

3.500%, 

10/1/2048

5,255,750

3,995,679

3.500%, 

6/1/2049

4,223,625

5,727,387

3.500%, 

8/1/2049

6,065,326

Principal

Amount

Long-Term

Fixed

Income

(95.1%)

Value

Mortgage-Backed

Securities

(8.0%)

-

continued

Federal

National

Mortgage

Association

Conventional

15-Yr.

Pass

Through

$

3,500,000

2.500%, 

4/1/2035

e

$

3,631,660

15,900,000

2.000%, 

5/1/2035

e

16,317,375

5,000,000

2.500%, 

5/1/2035

e

5,184,375

9,795,000

3.000%, 

5/1/2035

e

10,230,442

Federal

National

Mortgage

Association

Conventional

30-Yr.

Pass

Through

16,000,000

2.500%, 

5/1/2050

e

16,554,492

24,500,000

3.000%, 

4/1/2048

e

25,691,504

5,207,070

4.000%, 

7/1/2048

5,560,648

1,025,000

3.000%, 

5/1/2049

e

1,073,325

252,939

3.500%, 

8/1/2049

e

267,005

Total

129,394,470

Technology

(5.0%)

Apple,

Inc.

4,450,000

3.250%, 

2/23/2026

4,846,009

1,920,000

3.750%, 

9/12/2047

2,259,847

Applied

Materials,

Inc.

1,280,000

3.300%, 

4/1/2027

1,362,911

Broadcom

Corporation

7,650,000

3.875%, 

1/15/2027

7,292,488

3,200,000

3.500%, 

1/15/2028

2,965,376

Broadcom,

Inc.

3,850,000

4.250%, 

4/15/2026

g

3,912,247

Diamond

1

Finance

Corporation

423,000

5.875%, 

6/15/2021

g

421,414

9,925,000

6.020%, 

6/15/2026

g

10,560,612

Diamond

Sports

Group,

LLC

640,000

6.625%, 

8/15/2027

g,h

428,000

Fiserv,

Inc.

1,300,000

2.750%, 

7/1/2024

1,292,584

3,225,000

3.200%, 

7/1/2026

3,319,406

Hewlett

Packard

Enterprise

Company

2,560,000

4.400%, 

10/15/2022

2,608,337

2,250,000

2.250%, 

4/1/2023

2,198,525

Iron

Mountain,

Inc.

640,000

4.875%, 

9/15/2029

g

601,203

Lam

Research

Corporation

3,250,000

4.000%, 

3/15/2029

3,690,360

Marvell

Technology

Group,

Ltd.

1,600,000

4.200%, 

6/22/2023

1,635,665

1,900,000

4.875%, 

6/22/2028

1,968,519

NVIDIA

Corporation

3,200,000

3.500%, 

4/1/2040

3,404,277

NXP

BV/NXP

Funding,

LLC

3,250,000

4.875%, 

3/1/2024

g

3,469,962

3,250,000

5.350%, 

3/1/2026

g

3,513,421

Oracle

Corporation

3,900,000

2.800%, 

4/1/2027

3,975,359

3,200,000

4.300%, 

7/8/2034

3,746,950

3,250,000

3.600%, 

4/1/2040

3,235,230

Panasonic

Corporation

2,900,000

3.113%, 

7/19/2029

g

2,941,624

Seagate

HDD

Cayman

994,000

4.250%, 

3/1/2022

995,946

Texas

Instruments,

Inc.

3,200,000

4.150%, 

5/15/2048

3,957,711

Total

80,603,983

Income

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

99

Principal

Amount

Long-Term

Fixed

Income

(95.1%)

Value

Transportation

(1.6%)

AerCap

Holdings

NV

$

3,200,000

5.875%, 

10/10/2079

b

$

2,208,000

Aircastle,

Ltd.

3,215,000

4.400%, 

9/25/2023

3,107,957

Burlington

Northern

Santa

Fe,

LLC

2,500,000

4.700%, 

9/1/2045

3,046,402

3,200,000

4.050%, 

6/15/2048

3,698,566

CSX

Corporation

1,900,000

2.400%, 

2/15/2030

1,871,074

Delta

Air

Lines,

Inc.

1,308,543

4.250%, 

7/30/2023

1,200,197

3,200,000

2.900%, 

10/28/2024

2,561,242

Hertz

Corporation

640,000

6.000%, 

1/15/2028

g

336,000

Penske

Truck

Leasing

Company,

LP

2,600,000

3.375%, 

2/1/2022

g

2,628,042

Union

Pacific

Corporation

3,200,000

3.250%, 

2/5/2050

3,109,346

United

Airlines

Pass

Through

Trust

1,185,853

3.750%, 

9/3/2026

1,194,546

XPO

Logistics,

Inc.

640,000

6.125%, 

9/1/2023

g

626,400

Total

25,587,772

U.S.

Government

&

Agencies

(8.5%)

U.S.

Treasury

Bonds

16,950,000

2.000%, 

2/15/2050

19,686,498

8,000,000

2.375%, 

5/15/2029

9,206,250

14,000,000

1.625%, 

8/15/2029

15,201,484

19,000,000

1.750%, 

11/15/2029

20,885,156

18,250,000

1.500%, 

2/15/2030

19,674,356

9,400,000

3.000%, 

2/15/2049

13,108,227

32,250,000

2.250%, 

8/15/2049

39,236,660

U.S.

Treasury

Notes

360,000

1.375%, 

9/30/2020

362,250

Total

137,360,881

Utilities

(8.6%)

AEP

Transmission

Company,

LLC

4,480,000

3.100%, 

12/1/2026

4,656,649

Ameren

Illinois

Company

1,950,000

4.500%, 

3/15/2049

2,314,139

American

Electric

Power

Company,

Inc.

3,250,000

3.250%, 

3/1/2050

2,824,445

2,565,000

2.950%, 

12/15/2022

2,488,162

Arizona

Public

Service

Company

3,200,000

3.500%, 

12/1/2049

3,255,279

Baltimore

Gas

and

Electric

Company

2,560,000

2.400%, 

8/15/2026

2,461,101

Berkshire

Hathaway

Energy

Company

2,575,000

4.450%, 

1/15/2049

2,970,172

CenterPoint

Energy,

Inc.

4,160,000

2.500%, 

9/1/2022

4,083,153

3,250,000

2.950%, 

3/1/2030

3,074,716

CMS

Energy

Corporation

2,560,000

3.450%, 

8/15/2027

2,595,358

Consolidated

Edison

Company

of

New

York,

Inc.

1,280,000

2.900%, 

12/1/2026

1,294,522

4,750,000

4.125%, 

5/15/2049

5,143,157

Consumers

Energy

Company

1,950,000

4.350%, 

4/15/2049

2,345,077

Dominion

Energy,

Inc.

1,700,000

2.715%, 

8/15/2021

1,676,955

Principal

Amount

Long-Term

Fixed

Income

(95.1%)

Value

Utilities

(8.6%)

-

continued

$

2,900,000

3.071%, 

8/15/2024

$

2,898,357

2,250,000

4.650%, 

12/15/2024

b,i

2,021,873

Duke

Energy

Corporation

3,840,000

2.650%, 

9/1/2026

3,810,810

3,840,000

3.150%, 

8/15/2027

3,782,395

3,200,000

3.750%, 

9/1/2046

3,067,571

Edison

International

1,775,000

3.550%, 

11/15/2024

1,763,130

9,000,000

5.750%, 

6/15/2027

9,355,159

Exelon

Corporation

1,600,000

3.497%, 

6/1/2022

1,548,816

3,120,000

3.950%, 

6/15/2025

3,134,261

1,660,000

3.400%, 

4/15/2026

1,609,457

FirstEnergy

Corporation

4,480,000

3.900%, 

7/15/2027

4,528,162

1,300,000

4.850%, 

7/15/2047

1,453,755

FirstEnergy

Transmission,

LLC

3,150,000

5.450%, 

7/15/2044

g

3,551,450

Georgia

Power

Company

3,200,000

2.650%, 

9/15/2029

3,131,406

ITC

Holdings

Corporation

5,080,000

4.050%, 

7/1/2023

5,201,930

National

Rural

Utilities

Cooperative

Finance

Corporation

2,600,000

4.400%, 

11/1/2048

2,995,958

Nevada

Power

Company

2,800,000

6.750%, 

7/1/2037

3,695,172

NextEra

Energy

Operating

Partners,

LP

640,000

3.875%, 

10/15/2026

g

608,000

NiSource

Finance

Corporation

1,920,000

4.375%, 

5/15/2047

1,947,151

Oncor

Electric

Delivery

Company,

LLC

2,490,000

3.750%, 

4/1/2045

2,643,771

Pacific

Gas

and

Electric

Company

1,270,000

2.950%, 

3/1/2026

k,l

1,200,150

1,900,000

3.300%, 

12/1/2027

k,l

1,814,500

1,900,000

3.950%, 

12/1/2047

k,l

1,714,750

PPL

Capital

Funding,

Inc.

3,205,000

3.500%, 

12/1/2022

3,207,252

3,190,000

3.950%, 

3/15/2024

3,289,997

PPL

Electric

Utilities

Corporation

3,800,000

3.000%, 

10/1/2049

3,651,972

San

Diego

Gas

and

Electric

Company

3,200,000

4.150%, 

5/15/2048

3,446,296

Sempra

Energy

3,200,000

3.250%, 

6/15/2027

3,110,261

South

Carolina

Electric

&

Gas

Company

2,835,000

5.100%, 

6/1/2065

3,548,074

Southern

California

Edison

Company

3,200,000

3.650%, 

2/1/2050

3,081,364

Southern

Company

7,630,000

3.250%, 

7/1/2026

7,695,362

TerraForm

Power

Operating,

LLC

640,000

5.000%, 

1/31/2028

g

670,592

Total

140,362,039

Total

Long-Term

Fixed

Income

(cost

$1,530,495,138)

1,543,984,345

Income

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

100

Shares

Collateral

Held

for

Securities

Loaned

(

0.8%

)

Value

12,377,900

Thrivent

Cash

Management

Trust

$

12,377,900

Total

Collateral

Held

for

Securities

Loaned

(cost

$12,377,900)

12,377,900

Shares

Registered

Investment

Companies

(

0.3%

)

Value

Unaffiliated  (0.3%)

60,000

Vanguard

Short-Term

Corporate

Bond

ETF

4,746,000

Total

4,746,000

Total

Registered

Investment

Companies

(cost

$4,695,996)

4,746,000

Shares

Preferred

Stock

(

0.1%

)

Value

Financials

(0.1%)

22,500

Cobank

ACB,

6.250%

b,i

2,205,000

Total

2,205,000

Total

Preferred

Stock

(cost

$2,250,000)

2,205,000

Shares

Common

Stock

(

<0.1%

)

Value

Financials

(<0.1%)

2,247

Glitnir

HoldCo

ehf.

c,m

0

Total

0

Total

Common

Stock

(cost

$–)

0

Shares

or

Principal

Amount

Short-Term

Investments

(

9.0%

)

Value

Federal

Home

Loan

Bank

Discount

Notes

200,000

1.550%,

4/7/2020

n,o

199,998

500,000

1.520%,

4/15/2020

n,o

499,986

800,000

1.350%,

4/17/2020

n

799,975

200,000

0.500%,

5/12/2020

n,o

199,984

200,000

0.500%,

5/13/2020

n

199,984

200,000

0.150%,

5/20/2020

n,o

199,981

200,000

0.500%,

6/9/2020

n,o

199,973

200,000

0.530%,

6/12/2020

n,o

199,972

200,000

0.170%,

6/16/2020

n,o

199,971

Thrivent

Core

Short-Term

Reserve

Fund

14,404,127

1.570%

143,753,189

U.S.

Treasury

Bills

300,000

1.243%,

4/30/2020

n,p,q

299,985

200,000

0.275%,

7/23/2020

n,p,q

199,933

Total

Short-Term

Investments

(cost

$147,058,110)

146,952,931

Total

Investments

(cost

$1,711,298,425)

106.1%

$1,722,837,870

Other

Assets

and

Liabilities,

Net

(6.1%)

(99,323,567)

Total

Net

Assets

100.0%

$1,623,514,303

a

The

stated

interest

rate

represents

the

weighted

average

of

all

contracts

within

the

bank

loan

facility.

b

Denotes

variable

rate

securities.

The

rate

shown

is

as

of

March

31,

2020.

The

rates

of

certain

variable

rate

securities

are

based

on

a

published

reference

rate

and

spread;

these

may

vary

by

security

and

the

reference

rate

and

spread

are

indicated

in

their

description.  The

rates

of

other

variable

rate

securities

are

determined

by

the

issuer

or

agent

and

are

based

on

current

market

conditions.  These

securities

do

not

indicate

a

reference

rate

and

spread

in

their

description.  

c

Security

is

valued

using

significant

unobservable

inputs.

Further

information

on

valuation

can

be

found

in

the

Notes

to

Financial

Statements.

d

All

or

a

portion

of

the

loan

is

unfunded.

e

Denotes

investments

purchased

on

a

when-issued

or

delayed

delivery

basis.

f

In

bankruptcy.  Interest

is

being

accrued

per

the

bankruptcy

agreement

terms.  

g

Denotes

securities

sold

under

Rule

144A

of

the

Securities

Act

of

1933,

which

exempts

them

from

registration.

These

securities

may

be

resold

to

other

dealers

in

the

program

or

to

other

qualified

institutional

buyers.

As

of

March

31,

2020,

the

value

of

these

investments

was

$263,244,538

or

16.2%

of

total

net

assets.

h

All

or

a

portion

of

the

security

is

on

loan.

i

Denotes

perpetual

securities.

Perpetual

securities

pay

an

indefinite

stream

of

income

and

have

no

contractual

maturity

date.

Date

shown,

if

applicable,

is

next

call

date.

j

All

or

a

portion

of

the

security

is

insured

or

guaranteed.

k

Defaulted

security.  Interest

is

not

being

accrued.

l

In

bankruptcy.  Interest

is

not

being

accrued.

m

Non-income

producing

security.

n

The

interest

rate

shown

reflects

the

yield,

coupon

rate

or

the

discount

rate

at

the

date

of

purchase.

o

All

or

a

portion

of

the

security

is

held

on

deposit

with

the

counterparty

and

pledged

as

the

initial

margin

deposit

for

open

futures

contracts.

p

All

or

a

portion

of

the

security

was

earmarked

to

cover

written

options.

q

All

or

a

portion

of

the

security

is

pledged

as

collateral

under

the

agreement

between

the

counterparty,

the

custodian

and

the

fund

for

open

swap

contracts.

The

following

table

presents

the

total

amount

of

securities

loaned

with

continuous

maturity,

by

type,

offset

by

the

gross

payable

upon

return

of

collateral

for

securities

loaned

by

Thrivent

Income

Portfolio

as

of

March

31,

2020:

Securities

Lending

Transactions

Long-Term

Fixed

Income

$

11,976,887

Total

lending

$11,976,887

Gross

amount

payable

upon

return

of              

collateral

for

securities

loaned

$12,377,900

Net

amounts

due

to

counterparty

$401,013

Definitions:

CLO

-

Collateralized

Loan

Obligation

ETF

-

Exchange

Traded

Fund

REIT

-

Real

Estate

Investment

Trust

is

a

company

that

buys,

develops,

manages

and/or

sells

real

estate

assets.

Ser.

-

Series

Income

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

101

Reference

Rate

Index:

LIBOR

1W

-

ICE

Libor

USD

Rate

1

Week

LIBOR

1M

-

ICE

Libor

USD

Rate

1

Month

LIBOR

2M

-

ICE

Libor

USD

Rate

2

Month

LIBOR

3M

-

ICE

Libor

USD

Rate

3

Month

PRIME

-

Federal

Reserve

Prime

Loan

Rate

USISDA

10Y

-

ICE

Swap

USD

Rate

10

Year

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Income

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Bank

Loans

Basic

Materials

501,896

–

73,687

428,209

Capital

Goods

949,451

–

949,451

–

Communications

Services

3,371,183

–

2,748,047

623,136

Consumer

Cyclical

1,946,516

–

1,501,409

445,107

Consumer

Non-Cyclical

2,760,037

–

2,760,037

–

Energy

891,415

–

891,415

–

Financials

1,252,647

–

1,252,647

–

Technology

898,549

–

898,549

–

Long-Term

Fixed

Income

Asset-Backed

Securities

18,681,569

–

18,681,569

–

Basic

Materials

34,587,600

–

34,587,600

–

Capital

Goods

52,085,492

–

52,085,492

–

Collateralized

Mortgage

Obligations

743,344

–

743,344

–

Communications

Services

133,504,759

–

133,504,759

–

Consumer

Cyclical

77,179,011

–

77,179,011

–

Consumer

Non-Cyclical

179,003,028

–

179,003,028

–

Energy

102,373,780

–

102,373,780

–

Financials^

422,785,360

–

422,785,360

0

Foreign

Government

9,731,257

–

9,731,257

–

Mortgage-Backed

Securities

129,394,470

–

129,394,470

–

Technology

80,603,983

–

80,603,983

–

Transportation

25,587,772

–

25,587,772

–

U.S.

Government

&

Agencies

137,360,881

–

137,360,881

–

Utilities

140,362,039

–

140,362,039

–

Registered

Investment

Companies

Unaffiliated

4,746,000

4,746,000

–

–

Preferred

Stock

Financials

2,205,000

–

2,205,000

–

Common

Stock

Financials^

0

–

–

0

Short-Term

Investments

3,199,742

–

3,199,742

–

Subtotal

Investments

in

Securities

$1,566,706,781

$4,746,000

$1,560,464,329

$1,496,452

Other

Investments  *

Total

Affiliated

Short-Term

Investments

143,753,189

Collateral

Held

for

Securities

Loaned

12,377,900

Subtotal

Other

Investments

$156,131,089

Total

Investments

at

Value

$1,722,837,870

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

^

Level

3

security

in

this

section

is

fair

valued

at

<$1.

Other

Financial

Instruments

Total

Level

1

Level

2

Level

3

Asset

Derivatives

Futures

Contracts

3,068,405

3,068,405

–

–

Credit

Default

Swaps

446,655

–

446,655

–

Total

Asset

Derivatives

$3,515,060

$3,068,405

$446,655

$–

Income

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

102

Reference

Description:

CBOT

-

Chicago

Board

of

Trade

The

following

table

presents

Income

Portfolio's

futures

contracts

held

as

of

March

31,

2020.

Investments

and/or

cash

totaling

$1,699,865

were

pledged

as

the

initial

margin

deposit

for

these

contracts.

Futures

Contracts

Description

Number

of

Contracts

Long/(Short)

Expiration

Date

Notional

Principal

Amount

Value

and

Unrealized

CBOT

U.S.

Long

Bond

206

June

2020

$

33,818,470

$

3,068,405

Total

Futures

Long

Contracts

$

33,818,470

$

3,068,405

Total

Futures

Contracts

$

33,818,470

$3,068,405

The

following

table

presents

Income

Portfolio's

swaps

contracts

held

as

of

March

31,

2020.

Investments

totaling

$499,918

were

pledged

as

collateral

under

the

agreement

between

the

counterparty,

the

custodian

and

the

fund

for

open

swap

contracts.

Credit

Default

Swaps

Buy/Sell

Protection

1

Termination

Date

Notional

Principal

Amount

2

Upfront

Payments/

(Receipts)

Value

3

Unrealized

Gain/

(Loss)

CDX

IG

33,

5

Year,

at

1.00%,

Quarterly

Buy

12/20/2024

$

25,000,000

$

–

$

446,655

$

446,655

Total

Credit

Default

Swaps

$–

$446,655

$446,655

1

As

the

buyer

of

protection,

Income

Portfolio

pays

periodic

fees

in

return

for

payment

by

the

seller

which

is

contingent

upon

an

adverse

credit

event

occurring

in

the

underlying

issuer

or

reference

entity.

As

the

seller

of

protection,

Income

Portfolio

collects

periodic

fees

from

the

buyer

and

profits

if

the

credit

of

the

underlying

issuer

or

reference

entity

remains

stable

or

improves

while

the

swap

is

outstanding,

but

the

seller

in

a

credit

default

swap

contract

would

be

required

to

pay

the

amount

of

credit

loss,

determined

as

specified

in

the

agreement,

to

the

buyer

in

the

event

of

an

adverse

credit

event

in

the

reference

entity.

2

The

maximum

potential

amount

of

future

payments

Income

Portfolio

could

be

required

to

make

as

the

seller

or

receive

as

the

buyer

of

protection.

3

The

values

for

credit

indexes

(CDX

or

LCDX)

serve

as

an

indicator

of

the

current

status

of

the

payment/performance

risk

and

represent

the

liability

or

profit

for

the

credit

default

swap

contract

had

the

contract

been

closed

as

of

the

reporting

date.

When

protection

has

been

sold,

the

value

of

the

swap

will

increase

when

the

swap

spread

declines

representing

an

improvement

in

the

reference

entity's

credit

worthiness.

The

value

of

the

swap

will

decrease

when

the

swap

spread

increases

representing

a

deterioration

in

the

reference

entity's

credit

worthiness.

When

protection

has

been

purchased,

the

value

of

the

swap

will

increase

when

the

swap

spread

increases

representing

a

deterioration

in

the

reference

entity's

credit

worthiness.

The

value

of

the

swap

will

decrease

when

the

swap

spread

declines

representing

an

improvement

in

the

reference

entity's

credit

worthiness.

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Cash

Management

Trust

for

the

purpose

of

securities

lending

and

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Cash

Management

Trust

and

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Income

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$153,682

$161,637

$171,372

$143,753

14,404

8.8%

Total

Affiliated

Short-Term

Investments

153,682

143,753

8.8

Collateral

held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

7,425

54,333

49,380

12,378

12,378

0.8

Total

Collateral

Held

for

Securities

Loaned

7,425

12,378

0.8

Total

Value

$161,107

$156,131

Income

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

103

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$(87)

$(107)

–

$662

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$662

Collateral

Held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

–

–

–

21

Total

Affiliated

Income

from

Securities

Loaned,

Net

$21

Total

Value

$(87)

$(107)

$–

International

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

104

Shares

Common

Stock

(

85.1%

)

Value

Australia

(3.9%)

40,269

Ansell,

Ltd.

$

666,851

193,457

Aristocrat

Leisure,

Ltd.

2,506,750

314,565

Austal,

Ltd.

568,121

1,146,222

Beach

Energy,

Ltd.

798,795

125,179

BHP

Group,

Ltd.

2,270,913

56,378

Breville

Group,

Ltd.

588,510

208,886

BWP

Trust

429,809

86,448

Carsales.com,

Ltd.

621,164

378,610

Charter

Hall

Group

1,588,099

205,451

Commonwealth

Bank

of

Australia

7,751,684

22,206

Computershare,

Ltd.

132,933

109,479

CSL,

Ltd.

19,845,461

141,077

CSR,

Ltd.

270,342

233,775

Evolution

Mining,

Ltd.

546,365

470,180

Genworth

Mortgage

Insurance

Australia,

Ltd.

638,898

347,086

Independence

Group

NL

891,649

323,871

IPH,

Ltd.

1,421,909

19,457

IRESS,

Ltd.

123,729

3,446

JB

Hi-Fi,

Ltd.

59,332

7,370

Mineral

Resources,

Ltd.

62,358

16,572

Newcrest

Mining,

Ltd.

227,579

21,504

Nick

Scali,

Ltd.

44,654

95,593

Northern

Star

Resources,

Ltd.

619,252

29,292

Perpetual,

Ltd.

446,477

943,993

Perseus

Mining,

Ltd.

a

536,476

81,968

Pro

Medicus,

Ltd.

968,812

410,565

Ramelius

Resources,

Ltd.

252,220

848,224

Regis

Resources,

Ltd.

1,885,107

68,357

Rio

Tinto,

Ltd.

3,521,721

483,852

Saracen

Mineral

Holdings,

Ltd.

a

1,088,040

102,856

Select

Harvests,

Ltd.

440,136

309,463

Silver

Lake

Resources,

Ltd.

a

263,527

45,596

Super

Retail

Group,

Ltd.

130,414

226,814

Technology

One,

Ltd.

1,095,592

215,835

Transurban

Group

1,607,678

831,604

Vita

Group,

Ltd.

392,341

159,408

Westgold

Resources,

Ltd.

a

185,260

38,702

Woodside

Petroleum,

Ltd.

429,456

Total

55,918,414

Austria

(0.2%)

9,232

AT&S

Austria

Technologie

&

Systemtechnik

AG

133,725

19,741

BAWAG

Group

AG

b

550,681

660

EVN

AG

9,648

9,914

Immofinanz

AG

179,523

40,863

OMV

AG

1,118,294

7,707

S

IMMO

AG

149,601

38,285

UNIQA

Insurance

Group

AG

294,448

60,603

Wienerberger

AG

946,784

Total

3,382,704

Belgium

(0.2%)

9,434

Barco

NV

1,441,442

5,035

bpost

SA

35,498

4,217

Gimv

NV

219,124

14,402

KBC

Ancora

399,877

10,133

Mobistar

SA

178,155

5,480

NV

Bekaert

SA

91,328

16,979

SA

D'Ieteren

NV

842,180

Total

3,207,604

Bermuda

(0.1%)

13,198

Golden

Ocean

Group,

Ltd.

41,093

11,000

K

Wah

International

Holdings,

Ltd.

4,726

Shares

Common

Stock

(85.1%)

Value

Bermuda

(0.1%)

-

continued

74,000

Road

King

Infrastructure,

Ltd.

$

111,135

271,000

Shanghai

Industrial

Urban

Development

Group,

Ltd.

25,585

1,968,000

Yuexiu

Transport

Infrastructure,

Ltd.

1,191,010

Total

1,373,549

Brazil

(0.5%)

189,700

Banco

ABC

Brasil

SA

487,019

57,600

Banco

do

Brasil

SA

307,615

471,900

BR

Malls

Participacoes

SA

897,283

53,800

Cosan

SA

556,627

160,700

EDP

-

Energias

do

Brasil

SA

502,564

26,702

Embraer

SA

ADR

a

197,595

128,747

Gerdau

SA

ADR

245,907

47,900

GOL

Linhas

Aereas

Inteligentes

SA

a

103,892

122,000

Iochpe-Maxion

SA

259,679

131,952

Itau

Unibanco

Holding

SA

ADR

592,465

825,900

Metalurgica

Gerdau

SA

727,973

65,100

Petrobras

Distribuidora

SA

197,201

273,078

Petroleo

Brasileiro

SA

733,134

81,677

Petroleo

Brasileiro

SA

ADR

449,223

190,400

Randon

SA

Implementos

e

Participacoes

199,337

32,800

Tupy

SA

82,188

23,200

Vale

SA

ADR

192,328

Total

6,732,030

Canada

(5.9%)

4,748

Agnico

Eagle

Mines,

Ltd.

189,542

95,218

Alaris

Royalty

Corporation

558,196

94,296

Allied

Properties

REIT

2,997,800

64,785

Bank

of

Montreal

3,271,244

130,356

Barrick

Gold

Corporation

2,395,371

32,324

Canadian

Natural

Resources,

Ltd.

442,150

189,524

CGI,

Inc.

a

10,260,665

754,507

CI

Financial

Corporation

7,489,848

69,052

First

Quantum

Minerals,

Ltd.

352,792

200,488

Granite

REIT

8,281,367

5,493

Kirkland

Lake

Gold,

Ltd.

161,789

192,002

Laurentian

Bank

of

Canada

c

4,169,389

414,316

Manulife

Financial

Corporation

5,202,134

287,183

Northland

Power,

Inc.

5,732,232

86,668

Onex

Corporation

3,172,222

90,402

Peyto

Exploration

&

Development

Corporation

c

95,714

63,203

Power

Corporation

of

Canada

1,016,781

180,802

Quebecor,

Inc.

3,996,838

70,370

RioCan

REIT

806,557

1,278

Shopify

Inc.

532,836

180,590

Sun

Life

Financial,

Inc.

5,809,216

17,406

Suncor

Energy,

Inc.

277,794

18,688

TMX

Group,

Ltd.

1,391,275

358,838

Toronto-Dominion

Bank

15,255,651

15,374

TransCanada

Energy

Corporation

683,325

Total

84,542,728

Cayman

Islands

(1.8%)

145,500

3SBio,

Inc.

a,b

149,682

42,300

ASM

Pacific

Technology,

Ltd.

392,220

78,000

Ausnutria

Dairy

Corporation,

Ltd.

122,564

16,686

Baidu.com,

Inc.

ADR

a

1,681,782

358,800

Budweiser

Brewing

Company

APAC,

Ltd.

b

922,736

94,000

Central

China

Real

Estate,

Ltd.

47,528

346,000

China

Aoyuan

Group,

Ltd.

398,665

35,000

China

Mengniu

Dairy

Company,

Ltd.

120,705

International

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

105

Shares

Common

Stock

(85.1%)

Value

Cayman

Islands

(1.8%)

-

continued

525,334

China

Resources

Land,

Ltd.

$

2,144,148

135,000

China

Shineway

Pharmaceutical

Group,

Ltd.

100,706

290,000

Consun

Pharmaceutical

Group,

Ltd.

130,083

121,000

Fu

Shou

Yuan

International

Group,

Ltd.

105,759

234,000

Goodbaby

International

Holdings,

Ltd.

a

25,441

323,000

IGG,

Inc.

191,163

261,500

Kingboard

Holdings,

Ltd.

606,218

78,000

Longfor

Group

Holdings,

Ltd.

b

375,406

5,514

NetEase,

Inc.

ADR

1,769,773

8,736

New

Oriental

Education

&

Technology

Group,

Inc.

ADR

a

945,584

262,400

Sands

China,

Ltd.

954,636

3,943,500

Shui

On

Land,

Ltd.

657,140

63,000

SITC

International

Holdings

Company,

Ltd.

58,641

6,777

TAL

Education

Group

ADR

a

360,943

211,924

Tencent

Holdings,

Ltd.

10,474,898

238,000

Tingyi

(Cayman

Islands)

Holding

Corporation

386,948

799,000

Value

Partners

Group,

Ltd.

339,464

17,000

Vinda

International

Holdings,

Ltd.

40,936

22,177

Vipshop

Holdings,

Ltd.

ADR

a

345,518

221,500

WH

Group,

Ltd.

b

204,447

48,000

Wisdom

Marine

Lines

Company,

Ltd.

34,291

373,200

Wynn

Macau,

Ltd.

559,692

8,474

ZTO

Express,

Inc.

ADR

a

224,391

Total

24,872,108

Chile

(0.1%)

28,985

Banco

Santander

Chile

SA

ADR

438,543

82,162

CAP

SA

352,397

Total

790,940

China

(2.6%)

60,186

Alibaba

Group

Holding,

Ltd.

ADR

a

11,704,974

23,800

Anhui

Conch

Cement

Company,

Ltd.,

Class

A

182,264

168,500

Anhui

Conch

Cement

Company,

Ltd.,

Class

H

1,157,531

1,412,000

Bank

of

China,

Ltd.

537,497

2,021,000

Bank

of

Communications

Company,

Ltd.

1,230,914

22,500

Bank

of

Ningbo

Company,

Ltd.

72,678

92,200

Beijing

SL

Pharmaceutical

Company,

Ltd.

154,057

1,680,000

China

Coal

Energy

Company,

Ltd.

462,090

2,143,000

China

Construction

Bank

Corporation

1,741,931

346,000

China

Everbright

Bank

Company,

Ltd.

131,617

38,300

China

National

Accord

Medicines

Corporation,

Ltd.

214,260

490,000

China

National

Building

Material

Company,

Ltd.

526,412

12,988

China

Petroleum

&

Chemical

Corporation

ADR

632,516

302,600

China

Resources

Double-Crane

Pharmaceutical

Company,

Ltd.

536,139

127,672

China

Resources

Sanjiu

Medical

and

Pharmaceutical

Company,

Ltd.

496,660

4,976,000

China

Telecom

Corporation,

Ltd.

1,507,652

37,600

China

Vanke

Company,

Ltd.

134,564

261,000

China

Vanke

Company,

Ltd.

850,040

303,600

China

Yangtze

Power

Company,

Ltd.

738,317

613,000

CNOOC,

Ltd.

637,014

Shares

Common

Stock

(85.1%)

Value

China

(2.6%)

-

continued

140,100

Huaan

Securities

Company,

Ltd.

$

151,654

96,140

Hualan

Biological

Engineering,

Inc.

644,117

1,904,000

Industrial

and

Commercial

Bank

of

China,

Ltd.

1,298,869

375,449

Inner

Mongolia

Eerduosi

Resources

Company,

Ltd.

394,567

54,130

JD.com,

Inc.

ADR

a

2,192,265

158,000

Jiangxi

Copper

Company,

Ltd.

144,984

6,792

Kweichow

Moutai

Company,

Ltd.

1,055,528

40,600

Livzon

Pharmaceutical

Group,

Inc.

222,661

62,133

Midea

Group

Company,

Ltd.

420,457

348,278

Ping

An

Insurance

Company

of

China,

Ltd.

3,401,374

288,000

Shandong

Weigao

Group

Medical

Polymer

Company,

Ltd.

361,543

8,500

Shanghai

Haohai

Biological

Technology

Company,

Ltd.

b

31,581

124,600

Shanghai

Pharmaceuticals

Holding

Company,

Ltd.

210,244

69,200

Sinopharm

Group

Company,

Ltd.

153,326

391,000

Tong

Ren

Tang

Technologies

Company,

Ltd.

309,637

32,000

Tsingtao

Brewery

Company,

Ltd.

161,751

56,800

Winning

Health

Technology

Group

Company,

Ltd.

165,811

13,800

Wuliangye

Yibin

Company,

Ltd.

221,986

1,225,000

Xiamen

C&D,

Inc.

1,311,535

485,000

Zoomlion

Heavy

Industry

Science

and

Technology

Company,

Ltd.

385,660

Total

36,888,677

Colombia

(<0.1%)

3,034

Bancolombia

SA

ADR

75,729

Total

75,729

Czech

Republic

(<0.1%)

68

Philip

Morris

CR

36,489

Total

36,489

Denmark

(1.8%)

27,448

Coloplast

AS

3,980,685

36,261

DSV

AS

3,297,179

26,320

GN

Store

Nord

AS

1,166,980

247,893

Novo

Nordisk

AS

14,803,201

7,014

Per

Aarsleff

Holding

AS

153,604

13,667

Scandinavian

Tobacco

Group

AS

b

137,232

8,734

SimCorp

AS

728,225

35,215

Topdanmark

AS

1,413,058

Total

25,680,164

Egypt

(<0.1%)

235,464

EFG

Hermes

Holding

Company

124,015

Total

124,015

Finland

(0.6%)

10,533

Kesko

Oyj

595,629

27,164

Raisio

Oyj

88,036

193,781

UPM-Kymmene

Oyj

c

5,283,817

32,561

Uponor

Oyj

293,206

93,247

Valmet

Oyj

1,810,222

Total

8,070,910

France

(4.4%)

10,206

Beneteau

SA

67,212

75,316

CNP

Assurances

729,254

103,369

Coface

SA

656,397

International

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

106

Shares

Common

Stock

(85.1%)

Value

France

(4.4%)

-

continued

46,021

Credit

Agricole

SA

$

325,640

75,847

Derichebourg

207,503

29,665

Electricite

de

France

231,966

145,714

Engie

1,492,179

6,837

Gaztransport

Et

Technigaz

SA

492,253

4,518

Hermes

International

3,074,100

17,348

Innate

Pharma

SA

a

113,879

8,370

Jacquet

Metal

Service

78,234

14,355

Kaufman

&

Broad

SA

440,993

21,533

Klepierre

SA

410,453

207,263

Legrand

SA

13,367,972

17,427

L'Oreal

SA

4,510,300

25,472

LVMH

Moet

Hennessy

Louis

Vuitton

SE

9,341,899

3,467

Maisons

du

Monde

SA

b

27,363

31,183

Metropole

Television

SA

345,120

12,594

Orange

SA

152,481

21,738

Quadient

SAS

381,580

186,803

Rexel

SA

1,375,500

8,891

Sanofi

769,738

162,327

Schneider

Electric

SE

13,720,360

4,867

Societe

BIC

SA

270,328

2,537

Sopra

Group

SA

277,507

187,890

Total

SA

7,079,477

29,377

Vinci

SA

2,400,377

282

Virbac

SA

a

49,542

Total

62,389,607

Germany

(4.6%)

47,532

Aareal

Bank

AG

781,481

18,797

Adidas

AG

4,173,451

99,628

Allianz

SE

16,966,416

153,575

Alstria

Office

REIT

AG

2,203,951

2,936

Amadeus

Fire

AG

248,150

42,457

Bayer

AG

2,432,724

4,341

Bechtle

AG

546,588

23,306

CANCOM

SE

979,709

26,785

Daimler

AG

799,913

71,281

Deutsche

Boerse

AG

9,792,881

544,774

Deutsche

Pfandbriefbank

AG

b

4,112,570

106,482

Deutsche

Telekom

AG

1,375,263

127,907

Deutz

AG

465,280

29,606

Dialog

Semiconductor

plc

a

769,550

3,560

Eckert

&

Ziegler

Strahlen-

und

Medizintechnik

AG

552,909

38,368

Freenet

AG

671,299

35,150

Gerresheimer

AG

2,216,505

7,729

Hamburger

Hafen

und

Logistik

AG

107,088

5,419

HelloFresh

SE

a

176,959

45,529

Jungheinrich

AG

692,842

33,597

Klockner

&

Company

SE

122,389

7,495

Nemetschek

SE

365,364

1,690

New

Work

SE

355,636

11,561

Rheinmetall

AG

803,453

33,473

SAP

SE

3,737,195

21,884

Scout24

AG

b

1,308,203

17,735

Siltronic

AG

1,283,013

7,989

Software

AG

238,101

1,225

STO

SE

&

Company

112,137

326,799

TAG

Immobilien

AG

6,426,998

30,951

Takkt

AG

239,187

Total

65,057,205

Greece

(<0.1%)

8,304

Motor

Oil

(Hellas)

Diilistiria

Korinthou

AE

101,355

Shares

Common

Stock

(85.1%)

Value

Greece

(<0.1%)

-

continued

69,796

Mytilineos

SA

$

466,486

Total

567,841

Hong

Kong

(1.4%)

594,071

AIA

Group,

Ltd.

5,319,692

31,500

BOC

Hong

Kong

(Holdings),

Ltd.

86,468

132,624

China

Mobile,

Ltd.

993,922

275,500

China

Resources

Pharmaceutical

Group,

Ltd.

b

164,495

320,000

China

Traditional

Chinese

Medicine

Holdings

Company,

Ltd.

144,359

1,130,000

CITIC

Telecom

International

Holdings,

Ltd.

372,856

1,960,000

CITIC,

Ltd.

2,031,327

142,000

CSPC

Pharmaceutical

Group,

Ltd.

279,327

252,000

Far

East

Horizon,

Ltd.

201,702

186,000

Fosun

International,

Ltd.

213,529

592,000

Galaxy

Entertainment

Group,

Ltd.

3,117,958

424,778

Hang

Lung

Group,

Ltd.

887,780

40,500

Hong

Kong

Exchanges

&

Clearing,

Ltd.

1,213,352

141,000

Hysan

Development

Company,

Ltd.

455,345

12,000

Link

REIT

101,142

591,000

Melco

International

Development,

Ltd.

847,123

750,000

New

World

Development

Company,

Ltd.

799,707

271,000

Shanghai

Industrial

Holdings,

Ltd.

405,917

816,000

Shun

Tak

Holdings,

Ltd.

275,878

289,000

Sun

Hung

Kai

&

Company,

Ltd.

108,223

74,500

Sun

Hung

Kai

Properties,

Ltd.

974,016

328,000

United

Laboratories

International

Holdings

261,856

4,440,000

Yuexiu

Property

Company,

Ltd.

793,337

Total

20,049,311

India

(0.9%)

33,116

Alembic

Pharmaceuticals,

Ltd.

231,463

117,114

Amara

Raja

Batteries,

Ltd.

740,736

10,607

Asian

Paints,

Ltd.

233,648

20,708

Bajaj

Auto,

Ltd.

552,102

117,116

Coal

India,

Ltd.

215,210

26,182

Divi's

Laboratories,

Ltd.

683,074

2,928

Dr.

Lal

PathLabs,

Ltd.

b

53,853

15,536

Dr.

Reddy's

Laboratories,

Ltd.

ADR

626,567

421

Gillette

India,

Ltd.

30,381

77,085

Granules

India,

Ltd.

143,490

16,246

Greaves

Cotton,

Ltd.

a

14,936

239,172

HCL

Technologies,

Ltd.

1,379,628

58,728

Heidelberg

Cement

India,

Ltd.

109,605

78,543

Housing

Development

Finance

Corporation

1,695,299

7,949

ICICI

Bank,

Ltd.

ADR

67,567

47,245

Infosys,

Ltd.

ADR

387,881

104,427

Jindal

Saw,

Ltd.

63,330

6,036

Maruti

Suzuki

India,

Ltd.

340,462

14,457

Mindtree,

Ltd.

158,365

9,410

Multi

Commodity

Exchange

of

India,

Ltd.

139,527

1,933

Nestle

India,

Ltd.

417,944

4,232

NIIT

Technologies,

Ltd.

64,056

382,684

Oil

and

Natural

Gas

Corporation,

Ltd.

342,633

10,935

Persistent

Systems,

Ltd.

79,625

26,198

Polycab

India,

Ltd.

255,159

13,673

PVR,

Ltd.

213,795

20,396

Reliance

Industries,

Ltd.

297,419

International

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

107

Shares

Common

Stock

(85.1%)

Value

India

(0.9%)

-

continued

29,272

Syngene

International,

Ltd.

b

$

91,682

43,165

Tata

Consultancy

Services,

Ltd.

1,038,423

80,448

Tata

Elxsi,

Ltd.

665,731

145,508

Tech

Mahindra,

Ltd.

1,083,883

255,489

Wipro,

Ltd.

ADR

792,016

Total

13,209,490

Indonesia

(0.1%)

2,589,056

Astra

International

Tbk

PT

615,548

569,600

Industri

Jamu

Dan

Farmasi

Sido

Muncul

Tbk

PT

40,692

1,441,000

Media

Nusantara

Citra

Tbk

PT

79,617

2,063,100

Mitra

Adiperkasa

Tbk

PT

59,735

1,815,500

PT

PP

(Persero)

Tbk

61,039

23,864

Telekomunikasi

Indonesia

Persero

Tbk

PT

ADR

459,382

1,716,800

Wijaya

Karya

Persero

Tbk

PT

86,964

Total

1,402,977

Ireland

(0.1%)

112,817

Glanbia

plc

1,228,084

168,430

Greencore

Group

plc

343,947

119,764

Hibernia

REIT

plc

138,162

Total

1,710,193

Israel

(1.1%)

624,255

Bank

Leumi

Le-Israel

BM

3,442,119

96,337

First

International

Bank

of

Israel,

Ltd.

2,327,539

2,758,653

Israel

Discount

Bank,

Ltd.

8,043,867

10,491

Mizrahi

Tefahot

Bank,

Ltd.

193,094

842

Paz

Oil

Company,

Ltd.

70,318

160,435

Plus500,

Ltd.

2,122,177

Total

16,199,114

Italy

(2.0%)

804,739

A2A

SPA

992,844

10,631

Acea SPA

168,734

19,281

Amplifon

SPA

391,660

112,151

Anima

Holding

SPA

b

298,028

32,509

ASTM

SPA

572,950

84,840

Azimut

Holding

SPA

1,207,505

87,783

Banca

Generali

SPA

1,824,086

32,676

Banca

Popolare

Di

Sondrio

SCRL

49,307

60,630

Buzzi

Unicem

SPA

1,107,307

38,372

Cerved

Information

Solutions

SPA

227,463

9,223

DiaSorin

SPA

1,215,723

87,060

Enav

SPA

b

383,868

801,406

Enel

SPA

5,527,980

89,634

Eni

SPA

890,736

33,469

Falck

Renewables

SPA

172,956

199,287

Hera

SPA

720,998

12,411

Infrastrutture

Wireless

Italiane

SPA

b

134,384

632,865

Intesa

Sanpaolo

SPA

1,024,015

328,319

Iren

SPA

818,099

82,568

Italgas

SPA

451,761

13,206

La

Doria

SPA

126,789

927,233

Piaggio

&

C.

SPA

1,638,288

140,727

Recordati

SPA

5,929,205

2,910

Reply

SPA

176,923

2,143,802

Telecom

Italia

SPA

867,756

203,078

UniCredit

SPA

1,571,132

87,215

Unipol

Gruppo

SPA

297,427

Total

28,787,924

Japan

(19.4%)

26,000

Adeka

Corporation

323,723

Shares

Common

Stock

(85.1%)

Value

Japan

(19.4%)

-

continued

122

AEON

REIT

Investment

Corporation

$

117,267

12,700

Aica

Kogyo

Company,

Ltd.

362,362

55,500

Aichi

Corporation

347,931

206,300

Air

Water,

Inc.

2,825,244

14,800

Aisan

Industry

Company,

Ltd.

68,854

900

Alpen

Company,

Ltd.

13,341

53,400

AOKI

Holdings,

Inc.

357,609

44,200

Aoyama

Trading

Company,

Ltd.

378,142

1,000

Arata

Corporation

42,757

19,900

Arcland

Sakamoto

Company,

Ltd.

178,963

11,900

Arcs

Company,

Ltd.

213,786

5,000

Argo

Graphics,

Inc.

163,385

5,200

Asahi

Holdings,

Inc.

109,028

2,800

ASKUL

Corporation

82,503

18,000

Autobacs

Seven

Company,

Ltd.

207,192

22,700

Avex,

Inc.

179,114

14,800

BayCurrent

Consulting,

Inc.

693,572

5,800

BML,

Inc.

155,796

54,800

Bridgestone

Corporation

1,677,462

41,400

Bunka

Shutter

Company,

Ltd.

301,424

28,100

Canon

Electronics,

Inc.

413,231

18,600

Central

Glass

Company,

Ltd.

321,601

88,000

Chiyoda

Company,

Ltd.

946,879

8,000

Chiyoda

Integre

Company,

Ltd.

118,631

264,626

Citizen

Watch

Company,

Ltd.

933,661

8,300

Cocokara

Fine,

Inc.

430,133

23,000

Computer

Engineering

&

Consulting,

Ltd.

290,210

5,200

CONEXIO

Corporation

65,066

12,000

Cosel

Company,

Ltd.

108,800

2,500

Create

SD

Holdings

Company,

Ltd.

62,539

6,500

Daiichi

Jitsugyo

Company,

Ltd.

205,384

23,600

Daiichikosho

Company,

Ltd.

631,586

13,200

Daiseki

Company,

Ltd.

279,504

60,823

Daito

Trust

Construction

Company,

Ltd.

5,648,236

158,700

DCM

Holdings

Company,

Ltd.

1,467,895

184,100

Dena

Company,

Ltd.

2,016,525

267,600

Denso

Corporation

8,551,017

33,000

Dexerials

Corporation

211,410

8,100

Doshisha

Company,

Ltd.

95,767

2,900

Doutor

Nichires

Holdings

Company,

Ltd.

44,000

120,822

DTS

Corporation

2,097,811

2,200

Earth

Chemical

Company,

Ltd.

116,453

8,000

Ebara

Corporation

150,477

59,600

EDION

Corporation

491,646

22,900

EPS

Holdings,

Inc.

238,248

25,500

eREX

Company,

Ltd.

289,426

287,400

Exedy

Corporation

4,229,916

2,100

Ezaki

Glico

Company,

Ltd.

87,942

86,400

F@N

Communications,

Inc.

333,699

500

Fancl

Corporation

11,165

105

Frontier

Real

Estate

Investment

Corporation

297,464

49,200

Fuji

Oil

Holdings,

Inc.

1,184,052

99,100

Fuji

Soft,

Inc.

3,181,496

2,600

Fujibo

Holdings,

Inc.

69,179

28

Fukuoka

REIT

Corporation

29,056

5,900

Fuyo

General

Lease

Company,

Ltd.

298,694

39,200

Glory,

Ltd.

900,681

29,600

Goldcrest

Company,

Ltd.

444,923

165,800

Gree,

Inc.

639,090

346,391

GS

Yuasa

Corporation

4,635,637

55,800

Hachijuni

Bank,

Ltd.

201,039

900

Hamakyorex

Company,

Ltd.

21,855

International

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

108

Shares

Common

Stock

(85.1%)

Value

Japan

(19.4%)

-

continued

299,400

Hanwa

Company,

Ltd.

$

4,635,860

943

Heiwa

Real

Estate

REIT,

Inc.

878,432

268,087

Hino

Motors,

Ltd.

1,429,753

24,900

Hogy

Medical

Company,

Ltd.

777,858

161,200

Hokuetsu

Corporation

601,886

8,000

Hosiden

Corporation

55,552

4,700

House

Foods

Group,

Inc.

152,939

85,800

IBIDEN

Company,

Ltd.

1,872,499

790

Ichigo

Real

Estate

Investment

Corporation

548,140

40,300

Ichigo,

Inc.

93,108

33,300

Iida

Group

Holdings

Company,

Ltd.

460,244

6,600

Inabata

&

Company,

Ltd.

71,622

33,300

INES

Corporation

417,676

2,600

Internet

Initiative

Japan

Inc.

85,342

2,585

Invincible

Investment

Corporation

583,178

11,200

Izumi

Company,

Ltd.

308,507

3,100

JAFCO

Company,

Ltd.

80,595

27,200

Japan

Aviation

Electronics

Industry,

Ltd.

325,488

12,152

Japan

Hotel

REIT

Investment

Corporation

3,547,395

75,500

Japan

Lifeline

Company,

Ltd.

946,038

163

Japan

Logistics

Fund,

Inc.

363,119

292,800

JVCKENWOOD

Corporation

526,305

1,918,959

JXTG

Holdings,

Inc.

6,538,636

6,400

Kadokawa

Dwango

Corporation

80,318

10,700

Kaken

Pharmaceutical

Company,

Ltd.

498,793

589,211

Kandenko

Company,

Ltd.

4,682,727

1,700

Kanematsu

Corporation

17,332

5,400

Kanematsu

Electronics,

Ltd.

169,153

2,029

Kao

Corporation

165,299

1,167

Kenedix

Retail

REIT

Corporation

1,657,558

35,400

Kenedix,

Inc.

134,352

1,000

Kewpie

Corporation

20,015

7,400

Keyence

Corporation

2,379,193

247,000

Kinden

Corporation

3,634,464

41,900

KITZ

Corporation

251,849

41,500

KLab,

Inc.

a

259,834

3,700

Koei

Tecmo

Holdings

Company,

Ltd.

95,142

39,100

Kohnan

Shoji

Company,

Ltd.

791,891

71,400

Kokuyo

Company,

Ltd.

994,074

22,500

KOMEDA

Holdings

Company,

Ltd.

346,549

72,700

KOMERI

Company,

Ltd.

1,298,408

63,800

Konoike

Transport

Company,

Ltd.

680,517

176,200

K's

Holdings

Corporation

1,665,063

14,200

Kureha

Corporation

575,790

18,200

Kyokuto

Kaihatsu

Kogyo

Company,

Ltd.

197,905

83,700

KYORIN

Holdings,

Inc.

1,709,193

74,100

Lintec

Corporation

1,550,814

25,900

Macnica

Fuji

Electronics

Holdings,

Inc.

318,193

29,500

Mandom

Corporation

563,732

1,191,600

Marubeni

Corporation

5,913,987

19,068

Maruichi

Steel

Tube,

Ltd.

456,680

62,000

Matsumotokiyoshi

Holdings

Company,

Ltd.

2,260,112

1,409

MCUBS

MidCity

Investment

Corporation

998,425

5,900

Megmilk

Snow

Brand

Company,

Ltd.

134,013

22,300

Meiko

Network

Japan

Company,

Ltd.

157,000

800

Ministop

Company,

Ltd.

10,792

36,400

MIRAIT

Holdings

Corporation

451,910

655,700

Mitsubishi

Corporation

13,869,521

5,000

Mitsubishi

Logistics

Corporation

100,652

Shares

Common

Stock

(85.1%)

Value

Japan

(19.4%)

-

continued

79,200

Mitsubishi

Materials

Corporation

$

1,619,094

4,800

Mitsubishi

Pencil

Company,

Ltd.

63,009

6,200

Mitsubishi

Research

Institute,

Inc.

188,552

12,600

Mitsubishi

Shokuhin

Company,

Ltd.

322,580

939,100

Mitsui

&

Company,

Ltd.

13,038,189

27,400

Mitsui

Mining

and

Smelting

Company,

Ltd.

455,008

8,400

Mitsui

Sugar

Company,

Ltd.

161,507

11,300

Morinaga

Milk

Industry

Company,

Ltd.

435,860

12,700

Nagase

&

Company.,

Ltd.

149,263

44,600

NEC

Networks

&

System

Integration

Corporation

1,807,896

7,300

Nichiha

Corporation

137,935

130,800

Nichi-Iko

Pharmaceutical

Company,

Ltd.

1,731,665

32,800

Nichirei

Corporation

923,578

19,400

Nihon

Chouzai

Company,

Ltd.

297,069

49,700

Nihon

Unisys,

Ltd.

1,325,661

24,000

Nikkiso

Company,

Ltd.

177,063

27,600

Nikkon

Holdings

Company,

Ltd.

538,129

1,400

Nintendo

Company,

Ltd.

544,115

47,600

Nippon

Electric

Glass

Company,

Ltd.

633,890

27,600

Nippon

Flour

Mills

Company,

Ltd.

431,045

4,313,144

Nippon

Light

Metal

Holdings

Company,

Ltd.

6,715,474

818,847

Nippon

Steel

Corporation

6,980,108

63,300

Nippon

Steel

Trading

Corporation

2,134,051

60,600

Nippon

Suisan

Kaisha,

Ltd.

266,683

66,418

Nishimatsu

Construction

Company,

Ltd.

1,268,090

8,800

Nishio

Rent

All

Company,

Ltd.

183,883

160,405

Nissan

Motor

Company,

Ltd.

536,669

32,600

Nisshin

Oillio

Group,

Ltd.

1,097,142

3,600

Nitto

Kogyo

Corporation

57,175

14,000

Nojima

Corporation

230,136

10,800

NOK

Corporation

118,285

24,800

Nomura

Company,

Ltd.

187,715

4,600

Noritake

Company,

Ltd.

145,265

57,600

NSD

Company,

Ltd.

767,673

8,700

OBIC

Business

Consultants

Company,

Ltd.

353,193

4,500

Oki

Electric

Industry

Company,

Ltd.

42,066

30,850

Okinawa

Electric

Power

Company,

Inc.

564,706

410,400

Onward

Holdings

Company,

Ltd.

1,803,729

26,700

Open

House

Company,

Ltd.

549,413

15,400

Oracle

Corporation

Japan

1,343,234

2,500

Organo

Corporation

126,430

45,200

Otsuka

Corporation

1,926,900

12,900

Paramount

Bed

Holdings

Company,

Ltd.

533,231

158,302

Park24

Company,

Ltd.

2,333,634

1,249

Premier

Investment

Corporation

1,382,118

21,100

Prima

Meat

Packers,

Ltd.

477,686

6,184

Recruit

Holdings

Company,

Ltd.

159,741

29,400

Relia,

Inc.

284,661

59,000

Rengo

Company,

Ltd.

458,616

10,000

Restar

Holdings

Corporation

138,304

67,300

Rinnai

Corporation

4,744,011

165,800

Riso

Kyoiku

Corporation,

Ltd.

439,433

6,100

ROHTO

Pharmaceutical

Company,

Ltd.

166,665

17,100

Saint

Marc

Holdings

Company,

Ltd.

274,240

6,700

Saizeriya

Company,

Ltd.

126,411

64,200

Samty

Corporation,

Ltd.

711,401

26,500

Sanki

Engineering

Company,

Ltd.

296,680

90,600

Sanyo

Special

Steel

Company,

Ltd.

809,464

29,400

Sato

Holdings

Corporation

573,546

International

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

109

Shares

Common

Stock

(85.1%)

Value

Japan

(19.4%)

-

continued

40,700

Sawai

Pharmaceutical

Company,

Ltd.

$

2,180,742

7,000

SB

Technology

Corporation

137,931

36,800

SCSK

Corporation

1,628,103

57,800

Seiko

Holdings

Corporation

926,756

40,200

Seino

Holdings

Company,

Ltd.

436,451

900

SEIREN

Company,

Ltd.

10,780

38,700

Senko

Group

Holdings

Company,

Ltd.

299,385

21,400

Shikoku

Electric

Power

Company

168,799

18,800

Shimachu

Company,

Ltd.

462,137

48,800

SHIMAMURA

Company,

Ltd.

2,949,170

93,200

Shinko

Electric

Industries

Company,

Ltd.

887,668

10,109

Shiseido

Company,

Ltd.

594,131

400

Showa

Sangyo

Company,

Ltd.

11,905

118,500

SKY

Perfect

JSAT

Holdings,

Inc.

423,665

183,200

SoftBank

Corporation

2,333,728

79,500

SoftBank

Group

Corporation

2,814,490

2,783,400

Sojitz

Corporation

6,526,085

63

Star

Asia

Investment

Corporation

49,924

7,400

Starts

Corporation,

Inc.

137,126

49,900

Sugi

Holdings

Company,

Ltd.

2,672,117

1,162,000

Sumitomo

Chemical

Company,

Ltd.

3,433,078

170,400

Sumitomo

Corporation

1,943,284

886,900

Sumitomo

Electric

Industries,

Ltd.

9,266,316

15,800

Sumitomo

Forestry

Company,

Ltd.

201,726

20,600

Sumitomo

Osaka

Cement

Company,

Ltd.

613,363

331,300

Sumitomo

Rubber

Industries,

Ltd.

3,111,836

43,100

Sumitomo

Warehouse

Company,

Ltd.

470,084

276,002

Sundrug

Company,

Ltd.

8,844,270

23,500

Taiho

Kogyo

Company,

Ltd.

116,584

2,100

Taikisha,

Ltd.

60,391

184,800

Takara

Leben

Company,

Ltd.

594,488

135,300

Takeda

Pharmaceutical

Company,

Ltd.

4,119,629

34,600

Takuma

Company,

Ltd.

382,098

11,500

Tama

Home

Company,

Ltd.

129,387

3,900

Tamron

Company,

Ltd.

65,376

37,700

TANSEISHA

Company,

Ltd.

253,393

3,400

T-GAIA

Corporation

64,287

161,100

TIS,

Inc.

2,671,661

3,900

TKC

Corporation

175,096

10,200

Toa

Corporation

135,733

40,500

Toho

Holdings

Company,

Ltd.

847,800

5,300

Tokyo

Seimitsu

Company,

Ltd.

149,179

33,800

Topre

Corporation

373,212

1,359,800

Toray

Industries,

Inc.

5,885,936

81,500

Tosei

Corporation

700,265

38,300

Towa

Pharmaceutical

Company,

Ltd.

800,574

24,400

Toyo

Tanso

Company,

Ltd.

313,900

22,500

Transcosmos,

Inc.

397,922

79,700

Tsubakimoto

Chain

Company

1,800,217

333,100

TV

Asahi

Holdings

Corporation

5,048,417

202,000

Ube

Industries,

Ltd.

3,081,449

949

Unicharm

Corporation

35,525

22,600

Universal

Entertainment

Corporation

340,261

89,600

Ushio,

Inc.

852,689

1,200

Valor

Company,

Ltd.

21,306

9,400

Vision,

Inc.

a

58,179

48,100

Wakita

&

Company,

Ltd.

437,366

35,000

Yellow

Hat,

Ltd.

485,170

18,200

Zenrin

Company,

Ltd.

177,650

Total

276,382,061

Jersey

(0.2%)

617,586

boohoo

group

plc

a

1,452,724

Shares

Common

Stock

(85.1%)

Value

Jersey

(0.2%)

-

continued

1,009,570

Man

Group

plc

$

1,544,989

15,278

Sanne

Group

PLC

117,456

Total

3,115,169

Luxembourg

(0.1%)

100,872

Arcelor

Mittal

952,278

51,946

B&M

European

Value

Retail

SA

176,419

Total

1,128,697

Malaysia

(<0.1%)

11,800

AEON

Credit

Service

(M)

Berhad

22,843

152,700

Berjaya

Sports

Toto

Berhad

81,296

45,500

Kuala

Lumpur

Kepong

Berhad

220,643

378,800

Serba

Dinamik

Holdings

Berhad

131,194

104,700

Yinson

Holdings

Berhad

115,374

Total

571,350

Mauritius

(<0.1%)

174,300

Golden

Agri-Resources,

Ltd.

17,253

Total

17,253

Mexico

(0.2%)

16,622

America

Movil

SAB

de

CV

ADR

195,807

789,100

Corporacion

Inmobiliaria

Vesta,

SAB

de

CV

912,758

6,639

Fomento

Economico

Mexicano

SAB

de

CV

ADR

401,726

197,533

Grupo

Financiero

Banorte

SAB

de

CV

ADR

541,243

18,805

Industrias

Penoles,

SAB

de

CV

126,374

350,800

Wal-Mart

de

Mexico,

SAB

de

CV

826,482

Total

3,004,390

Netherlands

(3.9%)

167,624

Aalberts

NV

4,015,874

54,616

ASM

International

NV

5,556,737

42,289

ASML

Holding

NV

11,148,016

141,704

BE

Semiconductor

Industries

NV

4,339,951

79,765

Euronext

NV

b

5,873,359

7,007

Ferrari

NV

1,079,324

1,542

ForFarmers

BV

9,592

28,890

Koninklijke

DSM

NV

3,249,806

201,205

Koninklijke

Philips

NV

8,260,955

4,963

NSI

NV

199,442

1,019,243

Pharming

Group

NV

a

1,082,409

164,100

Signify

NV

b

3,180,299

115,020

STMicroelectronics

NV

2,472,541

16,253

TKH

Group

NV

451,050

10,633

TomTom

NV

82,425

76,089

Unilever

NV

3,739,874

Total

54,741,654

New

Zealand

(0.1%)

4,025

Air

New

Zealand,

Ltd.

2,017

103,816

Contact

Energy,

Ltd.

353,336

362,155

Z

Energy,

Ltd.

620,372

Total

975,725

Norway

(1.4%)

86,839

Austevoll

Seafood

ASA

617,990

588,497

DnB

ASA

6,556,406

371,788

Elkem

ASA

b

468,551

512,150

Entra

ASA

b

6,117,593

250,634

Europris

ASA

727,046

12,299

Fjordkraft

Holding

ASA

b

79,973

66,434

Grieg

Seafood

ASA

613,848

International

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

110

Shares

Common

Stock

(85.1%)

Value

Norway

(1.4%)

-

continued

314,740

Leroy

Seafood

Group

ASA

$

1,540,638

60,391

Nordic

Semiconductor

ASA

a

266,511

1,749

Norway

Royal

Salmon

ASA

35,134

53,624

SalMar

ASA

1,774,093

30,876

SpareBank

1

SMN

196,561

13,051

Tomra

Systems

ASA

364,439

16,381

Veidekke

ASA

136,593

Total

19,495,376

Panama

(<0.1%)

36,985

Avianca

Holdings

SA

ADR

35,424

Total

35,424

Philippines

(<0.1%)

119,310

Bank

of

the

Philippine

Islands

145,147

31,630

Manila

Electric

Company

139,046

Total

284,193

Poland

(0.1%)

45,736

Asseco

Poland

SA

638,920

38,548

Polski

Koncern

Naftowy

Orlen

SA

515,843

Total

1,154,763

Portugal

(<0.1%)

49,081

Redes

Energeticas

Nacionais

SGPS

SA

125,340

Total

125,340

Russian

Federation

(0.5%)

127,010

Aeroflot

PJSC

108,492

131,767

Gazprom

OAO

ADR

600,857

26,176

Lukoil

ADR

1,542,596

105,440

M.Video

PJSC

517,433

1,019,910

Moscow

Exchange

MICEX-RTS

PJSC

1,252,306

559

PAO

Transneft

1,039,074

151,675

Rosneft

Oil

Company

PJSC

GDR

610,516

128,022

Surgutneftegas

ADR

532,572

2,531,000

Surgutneftegas

PJSC

1,209,431

Total

7,413,277

Singapore

(0.6%)

880,436

AEM

Holdings,

Ltd.

1,029,494

232,200

Ascendas

REIT

459,759

144,300

China

Aviation

Oil

(Singapore)

Corporation,

Ltd.

86,713

4,256

China

Yuchai

International,

Ltd.

45,795

431,300

DBS

Group

Holdings,

Ltd.

5,627,667

84,800

Mapletree

Greater

China

Commercial

Trust

47,723

233,200

Sheng

Siong

Group,

Ltd.

194,847

185,900

Singapore

Exchange,

Ltd.

1,197,280

53,200

Singapore

Post,

Ltd.

23,901

357,800

Yanlord

Land

Group,

Ltd.

246,929

Total

8,960,108

South

Africa

(0.4%)

102,971

AECI,

Ltd.

426,407

237,679

Barloworld,

Ltd.

863,531

177,311

DataTec,

Ltd.

277,901

48,666

Emira

Property

Fund,

Ltd.

17,142

178,369

FirstRand,

Ltd.

400,283

65,293

Impala

Platinum

Holdings,

Ltd.

272,051

264,450

Investec,

Ltd.

500,866

514,166

Momentum

Metropolitan

Holdings

448,176

58,199

Motus

Holdings,

Ltd.

88,871

11,654

Naspers,

Ltd.

1,656,201

Shares

Common

Stock

(85.1%)

Value

South

Africa

(0.4%)

-

continued

132,225

Ninety

One,

Ltd.

a

$

253,945

186,509

RMB

Holdings,

Ltd.

509,980

Total

5,715,354

South

Korea

(1.2%)

2,637

AK

Holdings,

Inc.

38,377

3,041

Binggrae

Company,

Ltd.

120,568

29,034

Cheil

Worldwide,

Inc.

376,243

8,648

DB

HiTek

Company,

Ltd.

151,071

33,373

Dongkuk

Steel

Mill

Corporation

,

Ltd.

a

99,987

34,078

Doosan

Heavy

Construction

Corporation,

Ltd.

a

94,395

1,619

Green

Cross

Corporation

181,354

14,373

GS

Holdings

Corporation

433,298

6,134

Hana

Tour

Service,

Inc.

185,705

4,834

Handsome

Corporation

76,807

19,831

Hanwha

Corporation

245,828

24,108

Hanwha

Investment

&

Securities

Corporation,

Ltd.

a

27,383

108,689

Hanwha

Life

Insurance

Corporation,

Ltd.

122,613

528

Hugel,

Inc.

a

145,423

6,020

Hyundai

Department

Store

Company,

Ltd.

289,477

8,333

Hyundai

Steel

Company

121,831

9,102

Hyundai

Wia

Corporation

197,729

78,980

JB

Financial

Group

Corporation,

Ltd.

288,947

4,800

Kakao

Corporation

607,119

13,021

Kangwon

Land,

Inc.

209,832

3,729

KEPCO

Plant

Service

&

Engineering

Company,

Ltd.

88,594

5,219

Korea

Zinc

Company,

Ltd.

1,518,822

6,232

LG

Electronics,

Inc.

245,029

206

LG

Household

&

Health

Care,

Ltd.

188,694

17,529

LG

International

Corporation

130,810

4,028

LS

Industrial

Systems

Company,

Ltd.

112,922

2,928

NAVER

Corporation

407,093

1,025

NCSoft

Corporation

547,047

5,915

POSCO

778,342

22,023

Samsung

Card

Corporation,

Ltd.

542,696

165,755

Samsung

Electronics

Company,

Ltd.

6,444,806

26,531

Samsung

Securities

Corporation,

Ltd.

635,622

4,480

SeAH

Besteel

Corporation

27,393

6,137

Seegene,

Inc.

560,086

6,409

Seojin

System

Company,

Ltd.

133,660

11,872

SK

Hynix,

Inc.

802,595

1,251

Soulbrain

Company,

Ltd.

64,144

431

Taekwang

Industrial

Corporation,

Ltd.

221,702

87

YoungPoong

Corporation

34,200

Total

17,498,244

Spain

(2.2%)

4,056

Almirall

SA

46,914

151,387

Amadeus

IT

Holding

SA

7,125,619

66,329

Applus

Services

SA

420,120

559,492

Banco

Bilbao

Vizcaya

Argentaria

SA

1,732,499

632,809

Banco

Santander

SA

1,505,341

154,870

CIA

De

Distribucion

Integral

2,486,080

3,217

Construcciones

y

Auxiliar

de

Ferrocarriles

SA

100,782

194,763

Enagas

SA

3,842,132

75,339

Faes

Farma

SA

289,988

28,492

Global

Dominion

Access

SA

a,b

78,392

127,502

Grifols

SA

4,265,888

110,495

Iberdrola

SA

1,080,753

48,431

Industria

de

Diseno

Textil

SA

1,255,025

International

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

111

Shares

Common

Stock

(85.1%)

Value

Spain

(2.2%)

-

continued

20,691

Inmobiliaria

Colonial

Socimi

SA

$

195,047

14,048

Lar

Espana

Real

Estate

SOCIMI

SA

62,362

8,997

Let's

GOWEX

SA

a,d,e

1

19,509

Masmovil

Ibercom

SA

a

307,821

634,270

Mediaset

Espana

Comunicacion

SA

2,315,976

244,008

Merlin

Properties

Socimi

SA

1,841,442

31,005

Neinor

Homes

SA

b

236,927

11,293

Solaria

Energia

y

Medio

Ambiente

SA

a

93,763

270,140

Telefonica

SA

1,229,433

1,085

Viscofan

SA

59,407

Total

30,571,712

Sweden

(2.4%)

319,423

AB

Industrivarden

6,116,153

161,401

Arjo

AB

797,643

56,198

Assa

Abloy

AB

1,049,144

27,626

Axfood

AB

561,791

142,228

Betsson

AB

558,790

37,441

Bilia

AB

230,882

3,501

BioGaia

AB

147,009

49,311

Biotage

AB

491,633

33,928

Bure

Equity

AB

527,159

152,754

Castellum

AB

2,575,500

609,825

Cloetta

AB

1,438,684

126,472

Dios

Fastigheter

AB

845,306

36,237

Essity

Aktiebolag

1,110,069

22,488

Evolution

Gaming

Group

AB

b

762,453

34,715

Fabege

AB

442,910

13,143

Fortnox

AB

217,886

70,456

Granges

AB

346,144

330,697

Hexpol

AB

1,953,861

64,617

Inwido

AB

367,045

708,134

Kungsleden

AB

5,326,752

10,530

L

E

Lundbergforetagen

AB

426,862

9,621

Lifco

AB

352,723

74,891

Lindab

International

AB

572,636

35,058

Micronic

Mydata

AB

425,108

85,234

NetEnt

AB

209,408

38,805

Nobia

AB

137,724

107,042

Nobina

AB

b

578,418

25,024

Nolato

AB

1,128,363

110,231

Skandinaviska

Enskilda

Banken

AB

a

738,224

180,706

SKF

AB

2,462,510

89,075

Svenska

Handelsbanken

AB

a

734,611

32,408

Volvo

AB

385,200

Total

34,018,601

Switzerland

(8.7%)

2,943

Allreal

Holding

AG

546,342

2,235

ALSO

Holding

AG

351,287

864

Bachem

Holding

AG

172,200

60,998

Baloise

Holding

AG

7,952,422

6

Belimo

Holding

AG

38,238

2,234

BKW

FMB

Energie

181,918

5,296

Bucher

Industries

AG

1,395,893

504

Flughafen

Zuerich

AG

56,384

45,564

Galenica

AG

b

3,108,953

2,994

Geberit

AG

1,311,910

225

Givaudan

SA

692,320

743,008

Glencore

Xstrata

plc

1,124,576

1,365

Helvetia

Holding

AG

116,621

17,424

Huber

&

Suhner

AG

1,079,990

46

Interroll

Holding

AG

76,101

2,953

Kardex

AG

406,088

24,699

Landis+Gyr

Group

AG

1,689,961

111

Lindt

&

Spruengli

AG

931,675

Shares

Common

Stock

(85.1%)

Value

Switzerland

(8.7%)

-

continued

79,477

Logitech

International

SA

$

3,403,796

190,758

Nestle

SA

19,527,476

258,031

Novartis

AG

21,287,258

98,952

PSP

Swiss

Property

AG

12,373,867

73,378

Roche

Holding

AG

23,608,786

6,495

Roche

Holding

AG-BR

2,056,754

3,965

Siegfried

Holding

AG

1,595,690

23,243

Sonova

Holding

AG

4,144,562

1,602

Straumann

Holding

AG

1,171,230

6,661

Sunrise

Communications

Group

AG

b

533,894

17,778

Swiss

Life

Holding

AG

5,967,117

5,933

Swiss

Prime

Site

AG

577,462

12,562

Tecan

Group

AG

3,762,378

14,267

VAT

Group

AG

b

1,945,193

Total

123,188,342

Taiwan

(1.8%)

160,000

Capital

Securities

Corporation

49,543

65,000

Cheng

Loong

Corporation

44,030

4,210,000

China

Development

Financial

Holding

Corporation

1,031,513

434,520

China

Man-Made

Fiber

Corporation

74,503

1,260,000

CTBC

Financial

Holding

Company,

Ltd.

741,938

166,000

Far

Eastern

Department

Stores,

Ltd.

118,522

42,000

Feng

Hsin

Iron

&

Steel

Company,

Ltd.

63,945

2,216,000

Fubon

Financial

Holding

Company,

Ltd.

2,739,035

1,108,000

Hon

Hai

Precision

Industry

Company,

Ltd.

2,550,912

65,000

Huaku

Development

Company,

Ltd.

177,160

553,130

IBF

Financial

Holdings

Company,

Ltd.

189,193

56,000

MediaTek,

Inc.

601,061

58,000

Namchow

Holdings

Company,

Ltd.

77,326

446,000

Powertech

Technology,

Inc.

1,263,073

81,000

President

Chain

Store

Corporation

757,251

272,000

SerComm

Corporation

564,067

10,000

Shin

Zu

Shing

Company,

Ltd.

38,183

962,000

Shinkong

Synthetic

Fibers

Corporation

317,294

117,645

Sigurd

Microelectronics

Corporation

119,632

277,000

Supreme

Electronics

Company,

Ltd.

275,272

131,000

Syncmold

Enterprise

Corporation

278,958

272,000

Synnex

Technology

International

Corporation

332,439

118,000

Systex

Corporation

285,676

573,000

Taichung

Commercial

Bank

Company,

Ltd.

195,322

80,000

Taiwan

Hon

Chuan

Enterprise

Company,

Ltd.

130,174

844,515

Taiwan

Semiconductor

Manufacturing

Company,

Ltd.

7,602,591

238,000

TECO

Electric

&

Machinery

Company,

Ltd.

189,037

126,000

Topco

Scientific

Company,

Ltd.

373,827

183,000

Transcend

Information,

Inc.

402,281

149,000

TXC

Corporation

215,162

1,018,000

Uni-President

Enterprises

Corporation

2,203,377

31,000

United

Integrated

Services

Company,

Ltd.

168,542

190,000

Wistron

Corporation

153,602

51,000

WT

Microelectronics

Company,

Ltd.

57,484

1,796,000

Yuanta

Financial

Holding

Company,

Ltd.

916,956

Total

25,298,881

International

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

112

Shares

Common

Stock

(85.1%)

Value

Thailand

(0.2%)

100,000

Advanced

Info

Service

Public

Company,

Ltd.

NVDR

$

606,312

512,700

Bangkok

Dusit

Medical

Services

Public

Company,

Ltd.

NVDR

293,570

681,300

Charoen

Pokphand

Foods

Public

Company,

Ltd.

NVDR

501,773

476,400

CP

ALL

Public

Company,

Ltd.

NVDR

880,670

82,500

Intouch

Holdings

Public

Company,

Ltd.

NVDR

124,932

589,500

Major

Cineplex

Group

Public

Company,

Ltd.

NVDR

241,137

1,269,600

Thai

Union

Group

Public

Company,

Ltd.

NVDR

527,128

421,600

Thai

Vegetable

Oil

Public

Company,

Ltd.

NVDR

287,650

Total

3,463,172

Turkey

(0.1%)

621,165

Haci

Omer

Sabanci

Holding

AS

700,324

101,996

Koza

Anadolu

Metal

Madencilik

Isletmeleri

AS

a

139,956

157,762

Turk

Hava

Yollari

Anonim

Ortakligi

a

216,369

Total

1,056,649

United

Kingdom

(9.2%)

2,436

A.G.

BARR

plc

14,551

40,279

Abcam

plc

571,848

25,540

Aggreko

plc

152,640

9,526

Ashmore

Group

plc

41,945

17,860

AstraZeneca

plc

1,591,302

256,424

Auto

Trader

Group

plc

b

1,385,659

172,100

Aviva

plc

565,821

106,286

Barratt

Developments

plc

574,508

83,875

Beazley

plc

404,589

60,957

Bellway

plc

1,614,868

57,217

BHP

Group

plc

887,986

97,832

Bodycote

plc

684,897

84,976

BP

plc

348,481

63,283

Brewin

Dolphin

Holdings

plc

171,803

121,568

British

American

Tobacco

plc

4,141,236

66,016

BT

Group

plc

96,024

126,545

Card

Factory

plc

50,762

586,386

Centrica

plc

276,300

32,986

Computacenter

plc

584,806

189,506

ConvaTec

Group

plc

b

435,720

40,982

Diageo

plc

1,299,517

28,918

Diploma

plc

578,998

995,382

Direct

Line

Insurance

Group

plc

3,633,837

85,733

Drax

Group

plc

162,137

33,590

Dunelm

Group

plc

290,934

13,027

Euromoney

Institutional

Investor

plc

131,065

8,533

Forterra

plc

b

18,718

26,471

Frasers

Group

plc

a

59,645

7,393

Games

Workshop

Group

plc

392,727

1,813

Genus

plc

73,262

1,047,995

GlaxoSmithKline

plc

19,664,708

5,544

Go-Ahead

Group

plc

56,145

281,675

Great

Portland

Estates

plc

2,373,146

75,975

Greggs

plc

1,511,912

268,785

Halma

plc

6,312,686

156,783

HomeServe

plc

2,042,186

2,750,951

HSBC

Holdings

plc

15,443,172

205,094

Ibstock

plc

b

385,104

312,500

IG

Group

Holdings

plc

2,681,367

12,115

IMI

plc

111,840

17,772

Inchcape

plc

94,846

Shares

Common

Stock

(85.1%)

Value

United

Kingdom

(9.2%)

-

continued

247,462

Jupiter

Fund

Management

plc

$

606,743

2,979,953

Lloyds

TSB

Group

plc

1,165,017

83,598

Marshalls

plc

607,890

1,690,665

Moneysupermarket.com

Group

plc

6,282,613

8,055

Morgan

Sindall

Group

plc

118,711

1,099,288

National

Express

Group

plc

2,783,426

53,352

PageGroup

plc

239,526

264,237

Paragon

Banking

Group

plc

1,080,754

61,502

Pennon

Group

plc

822,352

6,450

PZ

Cussons

plc

15,258

22,416

Reckitt

Benckiser

Group

plc

1,707,548

350,324

Redrow

plc

1,552,939

183,392

RELX

plc

3,914,023

62,264

Rio

Tinto

plc

2,854,317

117,258

Rotork

plc

310,241

418,651

Royal

Dutch

Shell

plc,

Class

A

7,273,492

464,673

Royal

Dutch

Shell

plc,

Class

B

7,794,436

49,972

RWS

Holdings

plc

282,709

92,933

Safestore

Holdings

plc

734,876

739,277

Sage

Group

plc

5,375,673

85,537

Smith

&

Nephew

plc

1,506,860

7,788

Spectris

plc

234,643

146,150

Spirent

Communications

plc

370,697

14,957

Stagecoach

Group

plc

12,808

126,523

Tate

&

Lyle

plc

1,029,369

863,068

Taylor

Wimpey

plc

1,241,918

2,121

Telecom

plus

plc

32,720

142,357

Unilever

plc

7,179,074

4,326

UNITE

Group

plc

43,171

151,387

Vistry

Group

plc

1,079,063

903,702

Vodafone

Group

plc

1,250,219

8,967

Watkin

Jones

plc

17,144

1,418

Workspace

Group

plc

13,303

Total

131,447,231

United

States

(0.1%)

25,709

Yum

China

Holding,

Inc.

1,095,975

Total

1,095,975

Total

Common

Stock

(cost

$1,425,774,369)

1,211,828,664

Shares

Collateral

Held

for

Securities

Loaned

(

0.7%

)

10,049,455

Thrivent

Cash

Management

Trust

10,049,455

Total

Collateral

Held

for

Securities

Loaned

(cost

$10,049,455)

10,049,455

Shares

Preferred

Stock

(

<0.1%

)

South

Korea

(0.1%)

48,470

Samsung

Electronics

Company,

Ltd.

1,579,523

Total

1,579,523

Total

Preferred

Stock

(cost

$772,026)

1,579,523

Principal

Amount

Long-Term

Fixed

Income

(

<0.1%

)

Venezuela

(0.1%)

Petroleos

de

Venezuela

SA

$

11,370,000

6.000%, 

10/28/2022

f

568,500

7,010,000

6.000%, 

5/16/2024

f

420,600

1,326,000

6.000%, 

11/15/2026

f

79,560

1,410,000

5.375%, 

4/12/2027

f

84,600

International

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

113

Principal

Amount

Long-Term

Fixed

Income

(<0.1%)

Value

Venezuela

(0.1%)

-

continued

$

210,000

5.500%, 

4/12/2037

f

$

12,600

Total

1,165,860

Total

Long-Term

Fixed

Income

(cost

$7,583,707)

1,165,860

Shares

or

Principal

Amount

Short-Term

Investments

(

14.1%

)

Federal

Home

Loan

Bank

Discount

Notes

380,000

0.000%,

 4/1/2020

380,000

1,600,000

1.538%,

 4/8/2020

g,h

1,599,978

3,300,000

1.560%,

 4/9/2020

g,h

3,299,949

11,700,000

1.531%,

 4/15/2020

g,h

11,699,682

600,000

1.560%,

 4/23/2020

g,h

599,974

1,200,000

0.955%,

 5/7/2020

g

1,199,916

300,000

0.720%,

 5/8/2020

g,h

299,978

600,000

0.500%,

 5/12/2020

g

599,952

900,000

0.500%,

 5/13/2020

g,h

899,927

2,100,000

0.403%,

 5/19/2020

g,h

2,099,804

400,000

0.150%,

 5/20/2020

g,h

399,962

200,000

1.320%,

 5/27/2020

g

199,978

500,000

0.000%,

 5/28/2020

h

499,945

200,000

0.150%,

 6/4/2020

g,h

199,975

1,700,000

0.500%,

 6/9/2020

g,h

1,699,772

3,800,000

0.530%,

 6/12/2020

g,h

3,799,468

200,000

0.170%,

 6/16/2020

g,h

199,970

5,800,000

0.150%,

 6/23/2020

g,h

5,799,064

3,200,000

0.006%,

 7/7/2020

g,h

3,199,224

9,100,000

0.150%,

 7/31/2020

g,h

9,097,247

Thrivent

Core

Short-Term

Reserve

Fund

15,302,626

1.570%

152,720,210

Total

Short-Term

Investments

(cost

$200,669,226)

200,493,975

Total

Investments

(cost

$1,644,848,783)

100.1%

$1,425,117,477

Other

Assets

and

Liabilities,

Net

(0.1%)

(1,651,779)

Total

Net

Assets

100.0%

$1,423,465,698

a

Non-income

producing

security.

b

Denotes

securities

sold

under

Rule

144A

of

the

Securities

Act

of

1933,

which

exempts

them

from

registration.

These

securities

may

be

resold

to

other

dealers

in

the

program

or

to

other

qualified

institutional

buyers.

As

of

March

31,

2020,

the

value

of

these

investments

was

$34,135,417

or

2.4%

of

total

net

assets.

c

All

or

a

portion

of

the

security

is

on

loan.

d

Security

is

valued

using

significant

unobservable

inputs.

Further

information

on

valuation

can

be

found

in

the

Notes

to

Financial

Statements.

e

In

bankruptcy.  Interest

is

being

accrued

per

the

bankruptcy

agreement

terms.  

f

Defaulted

security.  Interest

is

not

being

accrued.

g

The

interest

rate

shown

reflects

the

yield,

coupon

rate

or

the

discount

rate

at

the

date

of

purchase.

h

All

or

a

portion

of

the

security

is

held

on

deposit

with

the

counterparty

and

pledged

as

the

initial

margin

deposit

for

open

futures

contracts.

The

following

table

presents

the

total

amount

of

securities

loaned

with

continuous

maturity,

by

type,

offset

by

the

gross

payable

upon

return

of

collateral

for

securities

loaned

by

Thrivent

International

Allocation

Portfolio

as

of

March

31,

2020:

Securities

Lending

Transactions

Common

Stock

$

9,796,562

Total

lending

$9,796,562

Gross

amount

payable

upon

return

of              

collateral

for

securities

loaned

$10,049,455

Net

amounts

due

to

counterparty

$252,893

Definitions:

ADR

-

American

Depositary

Receipt,

which

are

certificates

for

an

underlying

foreign

security's

shares

held

by

an

issuing

U.S.

depository

bank.

GDR

-

Global

Depository

Receipts,

which

are

certificates

for

shares

of

an

underlying

foreign

security’s

shares

held

by

an

issuing

depository

bank

from

more

than

one

country.

NVDR

-

Non-Voting

Depository

Receipts

REIT

-

Real

Estate

Investment

Trust

is

a

company

that

buys,

develops,

manages

and/or

sells

real

estate

assets.

International

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

114

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

International

Allocation

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Common

Stock

Communications

Services

48,790,910

1,877,589

46,913,320

1

Consumer

Discretionary

128,598,764

16,869,650

111,729,114

–

Consumer

Staples

89,744,400

401,726

89,342,674

–

Energy

46,928,722

2,215,168

44,713,554

–

Financials

224,068,393

1,174,304

222,894,089

–

Health

Care

168,782,161

626,567

168,155,594

–

Industrials

173,141,087

278,814

172,862,273

–

Information

Technology

133,307,768

3,482,506

129,825,262

–

Materials

84,120,307

438,235

83,682,072

–

Real

Estate

89,797,461

–

89,797,461

–

Utilities

24,548,691

–

24,548,691

–

Preferred

Stock

Information

Technology

1,579,523

–

1,579,523

–

Long-Term

Fixed

Income

Energy

1,165,860

–

1,165,860

–

Short-Term

Investments

47,773,765

–

47,773,765

–

Subtotal

Investments

in

Securities

$1,262,347,812

$27,364,559

$1,234,983,252

$1

Other

Investments  *

Total

Affiliated

Short-Term

Investments

152,720,210

Collateral

Held

for

Securities

Loaned

10,049,455

Subtotal

Other

Investments

$162,769,665

Total

Investments

at

Value

$1,425,117,477

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Other

Financial

Instruments

Total

Level

1

Level

2

Level

3

Asset

Derivatives

Futures

Contracts

14,796,667

14,796,667

–

–

Total

Asset

Derivatives

$14,796,667

$14,796,667

$–

$–

Liability

Derivatives

Futures

Contracts

4,605,921

4,605,921

–

–

Total

Liability

Derivatives

$4,605,921

$4,605,921

$–

$–

International

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

115

Reference

Description:

ASX

-

Australian

Securities

Exchange

CME

-

Chicago

Mercantile

Exchange

EAFE

-

Europe,

Australasia

and

Far

East

FTSE

-

Financial

Times

Stock

Exchange

ICE

-

Intercontinental

Exchange

MSCI

-

Morgan

Stanley

Capital

International

S&P

-

Standard

&

Poor's

SFE

-

Sydney

Futures

Exchange

TSE

-

Tokyo

Stock

Exchange

The

following

table

presents

International

Allocation

Portfolio's

futures

contracts

held

as

of

March

31,

2020.

Investments

and/or

cash

totaling

$44,153,457

were

pledged

as

the

initial

margin

deposit

for

these

contracts.

Futures

Contracts

Description

Number

of

Contracts

Long/(Short)

Expiration

Date

Notional

Principal

Amount

Value

and

Unrealized

CME

Euro

Foreign

Exchange

Currency

686

June

2020

$

97,049,288

(

$

2,299,825)

Eurex

Euro

STOXX

50

Index

3,222

June

2020

87,748,648

8,481,372

FTSE

100

Index

1

June

2020

61,328

7,937

ICE

mini

MSCI

EAFE

Index

1,655

June

2020

122,725,165

6,306,910

SFE

S&P

ASX

Share

Price

Index

200

1

June

2020

78,982

(

418)

TSE

Tokyo

Price

Index

1

June

2020

130,034

448

Total

Futures

Long

Contracts

$

307,793,445

$

12,496,424

ICE

US

mini

MSCI

Emerging

Markets

Index

(1,100)

June

2020

(

$

44,053,822)

(

$

2,305,678)

Total

Futures

Short

Contracts

(

$

44,053,822)

($2,305,678)

Total

Futures

Contracts

$

263,739,623

$10,190,746

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Cash

Management

Trust

for

the

purpose

of

securities

lending

and

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Cash

Management

Trust

and

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

International

Allocation

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$242,400

$100,813

$190,226

$152,720

15,303

10.7%

Total

Affiliated

Short-Term

Investments

242,400

152,720

10.7

Collateral

held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

12,877

58,741

61,569

10,049

10,049

0.7

Total

Collateral

Held

for

Securities

Loaned

12,877

10,049

0.7

Total

Value

$255,277

$162,769

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$(73)

$(194)

–

$971

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$971

Collateral

Held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

–

–

–

28

Total

Affiliated

Income

from

Securities

Loaned,

Net

$28

Total

Value

$(73)

$(194)

$–

Large

Cap

Growth

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

116

Shares

Common

Stock

(

97.8%

)

Value

Communications

Services

(12.7%)

348,956

Activision

Blizzard,

Inc.

a

$

20,755,903

75,929

Alphabet,

Inc.,

Class

A

a

88,225,701

223,697

Facebook,

Inc.

a

37,312,660

204,256

Live

Nation

Entertainment,

Inc.

a,b

9,285,478

384,581

Uber

Technologies,

Inc.

a

10,737,501

Total

166,317,243

Consumer

Discretionary

(19.4%)

156,061

Alibaba

Group

Holding,

Ltd.

ADR

a

30,350,743

78,556

Amazon.com,

Inc.

a

153,162,204

20,407

Chipotle

Mexican

Grill,

Inc.

a

13,354,341

180,452

Home

Depot,

Inc.

33,692,193

289,761

NIKE,

Inc.

23,974,825

Total

254,534,306

Consumer

Staples

(1.5%)

265,750

Philip

Morris

International,

Inc.

19,389,120

Total

19,389,120

Financials

(4.8%)

106,521

American

Express

Company

9,119,263

544,333

Bank

of

America

Corporation

11,556,189

531,818

Charles

Schwab

Corporation

17,879,721

101,193

S&P

Global,

Inc.

24,797,345

Total

63,352,518

Health

Care

(12.0%)

103,579

Edwards

Lifesciences

Corporation

a

19,537,071

52,741

Humana,

Inc.

16,561,729

56,431

Intuitive

Surgical,

Inc.

a

27,945,195

80,735

Thermo

Fisher

Scientific,

Inc.

22,896,446

77,237

Veeva

Systems,

Inc.

a

12,077,550

117,345

Vertex

Pharmaceuticals,

Inc.

a

27,922,243

253,898

Zoetis,

Inc.

29,881,255

Total

156,821,489

Industrials

(5.0%)

55,083

Boeing

Company

8,215,079

161,628

Honeywell

International,

Inc.

21,624,210

63,245

Lockheed

Martin

Corporation

21,436,893

91,723

Norfolk

Southern

Corporation

13,391,558

Total

64,667,740

Information

Technology

(39.6%)

82,311

Adobe,

Inc.

a

26,194,653

365,598

Apple,

Inc.

92,967,916

88,260

Intuit,

Inc.

20,299,800

213,047

MasterCard,

Inc.

51,463,633

759,349

Microsoft

Corporation

119,756,931

127,202

NVIDIA

Corporation

33,530,447

293,292

PayPal

Holdings,

Inc.

a

28,079,776

95,588

Salesforce.com,

Inc.

a

13,762,760

108,602

ServiceNow

,

Inc.

a

31,123,161

335,710

Square,

Inc.

a

17,584,490

168,480

Texas

Instruments,

Inc.

16,836,206

416,842

Visa,

Inc.

67,161,583

Total

518,761,356

Materials

(1.2%)

99,156

Ecolab,

Inc.

15,451,480

Total

15,451,480

Shares

Common

Stock

(97.8%)

Value

Real

Estate

(1.6%)

97,765

American

Tower

Corporation

$

21,288,329

Total

21,288,329

Total

Common

Stock

(cost

$912,200,255)

1,280,583,581

Shares

Collateral

Held

for

Securities

Loaned

(

0.7%

)

Value

8,972,500

Thrivent

Cash

Management

Trust

8,972,500

Total

Collateral

Held

for

Securities

Loaned

(cost

$8,972,500)

8,972,500

Shares

Short-Term

Investments

(

2.2%

)

Value

Thrivent

Core

Short-Term

Reserve

Fund

2,940,202

1.570%

29,343,215

Total

Short-Term

Investments

(cost

$29,361,302)

29,343,215

Total

Investments

(cost

$950,534,057)

100.7%

$1,318,899,296

Other

Assets

and

Liabilities,

Net

(0.7%)

(9,327,179)

Total

Net

Assets

100.0%

$1,309,572,117

a

Non-income

producing

security.

b

All

or

a

portion

of

the

security

is

on

loan.

The

following

table

presents

the

total

amount

of

securities

loaned

with

continuous

maturity,

by

type,

offset

by

the

gross

payable

upon

return

of

collateral

for

securities

loaned

by

Thrivent

Large

Cap

Growth

Portfolio

as

of

March

31,

2020:

Securities

Lending

Transactions

Common

Stock

$

8,819,240

Total

lending

$8,819,240

Gross

amount

payable

upon

return

of              

collateral

for

securities

loaned

$8,972,500

Net

amounts

due

to

counterparty

$153,260

Definitions:

ADR

-

American

Depositary

Receipt,

which

are

certificates

for

an

underlying

foreign

security's

shares

held

by

an

issuing

U.S.

depository

bank.

Large

Cap

Growth

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

117

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Large

Cap

Growth

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Common

Stock

Communications

Services

166,317,243

166,317,243

–

–

Consumer

Discretionary

254,534,306

254,534,306

–

–

Consumer

Staples

19,389,120

19,389,120

–

–

Financials

63,352,518

63,352,518

–

–

Health

Care

156,821,489

156,821,489

–

–

Industrials

64,667,740

64,667,740

–

–

Information

Technology

518,761,356

518,761,356

–

–

Materials

15,451,480

15,451,480

–

–

Real

Estate

21,288,329

21,288,329

–

–

Subtotal

Investments

in

Securities

$1,280,583,581

$1,280,583,581

$–

$–

Other

Investments  *

Total

Affiliated

Short-Term

Investments

29,343,215

Collateral

Held

for

Securities

Loaned

8,972,500

Subtotal

Other

Investments

$38,315,715

Total

Investments

at

Value

$1,318,899,296

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Cash

Management

Trust

for

the

purpose

of

securities

lending

and

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Cash

Management

Trust

and

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Large

Cap

Growth

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$20,434

$74,662

$65,710

$29,343

2,940

2.2%

Total

Affiliated

Short-Term

Investments

20,434

29,343

2.2

Collateral

held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

3,542

9,229

3,798

8,973

8,973

0.7

Total

Collateral

Held

for

Securities

Loaned

3,542

8,973

0.7

Total

Value

$23,976

$38,316

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$(25)

$(18)

–

$98

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$98

Collateral

Held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

–

–

–

0

Total

Affiliated

Income

from

Securities

Loaned,

Net

$0

Total

Value

$(25)

$(18)

$–

Large

Cap

Index

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

118

Shares

Common

Stock

(

99.1%

)

Value

Communications

Services

(9.9%)

35,016

Activision

Blizzard,

Inc.

a

$

2,082,752

13,657

Alphabet,

Inc.,

Class

A

a

15,868,751

13,623

Alphabet,

Inc.,

Class

C

a

15,840,961

332,954

AT&T,

Inc.

9,705,609

44,722

CenturyLink,

Inc.

423,070

7,146

Charter

Communications,

Inc.

a

3,117,871

206,919

Comcast

Corporation

7,113,875

7,208

Discovery,

Inc.,

Class

A

a,b

140,123

15,288

Discovery,

Inc.,

Class

C

a

268,151

11,622

DISH

Network

Corporation

a

232,324

13,308

Electronic

Arts,

Inc.

a

1,333,062

109,684

Facebook,

Inc.

a

18,295,291

16,158

Fox

Corporation,

Class

A

381,814

7,400

Fox

Corporation,

Class

B

169,312

17,672

Interpublic

Group

of

Companies,

Inc.

286,110

6,423

Live

Nation

Entertainment,

Inc.

a,b

291,990

17,710

News

Corporation,

Class

A

158,947

5,550

News

Corporation,

Class

B

49,894

9,924

Omnicom

Group,

Inc.

544,828

5,159

Take-Two

Interactive

Software,

Inc.

a

611,909

14,429

T-Mobile

US,

Inc.

a

1,210,593

35,385

Twitter,

Inc.

a

869,056

188,504

Verizon

Communications,

Inc.

10,128,320

24,631

ViacomCBS

,

Inc.

345,080

82,151

Walt

Disney

Company

7,935,787

Total

97,405,480

Consumer

Discretionary

(10.5%)

3,157

Advance

Auto

Parts,

Inc.

294,611

18,982

Amazon.com,

Inc.

a

37,009,585

11,636

Aptiv

plc

572,957

1,086

AutoZone,

Inc.

a

918,756

10,379

Best

Buy

Company,

Inc.

591,603

1,908

Booking

Holdings,

Inc.

a

2,566,871

9,412

BorgWarner,

Inc.

229,370

6,911

Capri

Holdings,

Ltd.

a

74,570

7,495

CarMax,

Inc.

a

403,456

18,257

Carnival

Corporation

b

240,445

1,166

Chipotle

Mexican

Grill,

Inc.

a

763,030

15,284

D.R.

Horton,

Inc.

519,656

5,588

Darden

Restaurants,

Inc.

304,322

11,604

Dollar

General

Corporation

1,752,320

10,787

Dollar

Tree,

Inc.

a

792,521

34,855

eBay,

Inc.

1,047,741

6,369

Expedia

Group,

Inc.

358,384

177,486

Ford

Motor

Company

857,257

9,698

Gap,

Inc.

68,274

6,585

Garmin,

Ltd.

493,612

57,308

General

Motors

Company

1,190,860

6,622

Genuine

Parts

Company

445,859

8,899

H&R

Block,

Inc.

125,298

16,486

Hanesbrands,

Inc.

129,745

7,032

Harley-Davidson,

Inc.

133,116

5,800

Hasbro,

Inc.

414,990

12,861

Hilton

Worldwide

Holdings,

Inc.

877,635

49,719

Home

Depot,

Inc.

9,283,034

7,136

Kohl's

Corporation

104,114

10,585

L

Brands,

Inc.

122,363

15,403

Las

Vegas

Sands

Corporation

654,165

5,998

Leggett

&

Platt,

Inc.

160,027

12,757

Lennar

Corporation

487,317

13,968

LKQ

Corporation

a

286,484

34,935

Lowe's

Companies,

Inc.

3,006,157

14,084

Macy's,

Inc.

69,152

12,368

Marriott

International,

Inc.

925,250

34,325

McDonald's

Corporation

5,675,639

Shares

Common

Stock

(99.1%)

Value

Consumer

Discretionary

(10.5%)

-

continued

23,472

MGM

Resorts

International

$

276,970

2,709

Mohawk

Industries,

Inc.

a

206,534

19,975

Netflix,

Inc.

a

7,500,612

17,368

Newell

Brands,

Inc.

230,647

56,793

NIKE,

Inc.

4,699,053

4,883

Nordstrom,

Inc.

b

74,905

9,697

Norwegian

Cruise

Line

Holdings,

Ltd.

a

106,279

158

NVR,

Inc.

a

405,919

3,448

O'Reilly

Automotive,

Inc.

a

1,038,020

11,611

PulteGroup,

Inc.

259,158

3,379

PVH

Corporation

127,186

2,267

Ralph

Lauren

Corporation

151,504

16,487

Ross

Stores,

Inc.

1,433,874

7,835

Royal

Caribbean

Cruises,

Ltd.

b

252,052

53,829

Starbucks

Corporation

3,538,718

12,577

Tapestry,

Inc.

162,872

23,096

Target

Corporation

2,147,235

4,920

Tiffany

&

Company

637,140

55,272

TJX

Companies,

Inc.

2,642,554

5,396

Tractor

Supply

Company

456,232

2,605

Ulta

Beauty,

Inc.

a

457,699

8,578

Under

Armour

,

Inc.,

Class

A

a

79,003

8,869

Under

Armour

,

Inc.,

Class

C

a

71,484

14,926

VF

Corporation

807,198

2,881

Whirlpool

Corporation

247,190

4,404

Wynn

Resorts,

Ltd.

265,077

13,786

Yum!

Brands,

Inc.

944,755

Total

103,170,416

Consumer

Staples

(7.7%)

85,147

Altria

Group,

Inc.

3,292,634

25,373

Archer-Daniels-Midland

Company

892,622

8,304

Brown-Forman

Corporation

460,955

7,699

Campbell

Soup

Company

355,386

11,185

Church

&

Dwight

Company,

Inc.

717,853

5,720

Clorox

Company

990,990

175,754

Coca-Cola

Company

7,777,114

39,063

Colgate-Palmolive

Company

2,592,221

22,181

Conagra

Brands,

Inc.

650,791

7,634

Constellation

Brands,

Inc.

1,094,410

20,136

Costco

Wholesale

Corporation

5,741,378

13,472

Coty,

Inc.

69,516

10,144

Estee

Lauder

Companies,

Inc.

1,616,345

27,548

General

Mills,

Inc.

1,453,708

6,760

Hershey

Company

895,700

12,674

Hormel

Foods

Corporation

591,115

5,199

J.M.

Smucker

Company

577,089

11,349

Kellogg

Company

680,826

15,625

Kimberly-Clark

Corporation

1,997,969

28,386

Kraft

Heinz

Company

702,270

36,554

Kroger

Company

1,101,006

6,657

Lamb

Weston

Holdings,

Inc.

380,115

5,632

McCormick

&

Company,

Inc.

795,295

8,562

Molson

Coors

Beverage

Company

334,004

65,626

Mondelez

International,

Inc.

3,286,550

17,400

Monster

Beverage

Corporation

a

978,924

63,557

PepsiCo,

Inc.

7,633,196

70,915

Philip

Morris

International,

Inc.

5,173,958

113,665

Procter

&

Gamble

Company

12,503,150

23,256

Sysco

Corporation

1,061,171

13,454

Tyson

Foods,

Inc.

778,583

34,172

Walgreens

Boots

Alliance,

Inc.

1,563,369

64,658

Wal-Mart

Stores,

Inc.

7,346,442

Total

76,086,655

Large

Cap

Index

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

119

Shares

Common

Stock

(99.1%)

Value

Energy

(2.6%)

17,139

Apache

Corporation

$

71,641

29,620

Baker

Hughes

Company

311,010

18,593

Cabot

Oil

&

Gas

Corporation

319,614

86,184

Chevron

Corporation

6,244,893

9,163

Concho

Resources,

Inc.

392,635

50,012

ConocoPhillips

1,540,370

17,639

Devon

Energy

Corporation

121,885

7,345

Diamondback

Energy,

Inc.

192,439

26,516

EOG

Resources,

Inc.

952,455

192,849

Exxon

Mobil

Corporation

7,322,477

40,009

Halliburton

Company

274,062

4,943

Helmerich

&

Payne,

Inc.

77,358

11,805

Hess

Corporation

393,106

6,767

HollyFrontier

Corporation

165,859

88,782

Kinder

Morgan,

Inc.

1,235,845

36,460

Marathon

Oil

Corporation

119,953

29,595

Marathon

Petroleum

Corporation

699,034

17,586

National

Oilwell

Varco,

Inc.

172,870

21,800

Noble

Energy,

Inc.

131,672

40,716

Occidental

Petroleum

Corporation

b

471,491

18,828

ONEOK,

Inc.

410,639

20,253

Phillips

66

1,086,573

7,550

Pioneer

Natural

Resources

Company

529,632

63,099

Schlumberger,

Ltd.

851,206

19,154

TechnipFMC

plc

129,098

18,717

Valero

Energy

Corporation

849,003

55,244

Williams

Companies,

Inc.

781,703

Total

25,848,523

Financials

(10.8%)

33,456

Aflac,

Inc.

1,145,533

14,766

Allstate

Corporation

1,354,485

30,583

American

Express

Company

2,618,211

39,651

American

International

Group,

Inc.

961,537

5,775

Ameriprise

Financial,

Inc.

591,822

10,672

Aon

plc

1,761,307

8,502

Arthur

J.

Gallagher

&

Company

692,998

2,764

Assurant,

Inc.

287,705

368,988

Bank

of

America

Corporation

7,833,615

38,250

Bank

of

New

York

Mellon

Corporation

1,288,260

89,154

Berkshire

Hathaway,

Inc.

a

16,300,026

5,375

BlackRock,

Inc.

2,364,839

21,227

Capital

One

Financial

Corporation

1,070,265

5,053

Cboe

Global

Markets,

Inc.

450,980

52,109

Charles

Schwab

Corporation

1,751,905

20,656

Chubb,

Ltd.

2,307,069

6,925

Cincinnati

Financial

Corporation

522,491

99,507

Citigroup,

Inc.

4,191,235

19,814

Citizens

Financial

Group,

Inc.

372,701

16,334

CME

Group,

Inc.

2,824,312

6,570

Comerica,

Inc.

192,764

14,288

Discover

Financial

Services

509,653

10,297

E*TRADE

Financial

Corporation

353,393

1,859

Everest

Re

Group,

Ltd.

357,709

32,346

Fifth

Third

Bancorp

480,338

7,681

First

Republic

Bank

631,993

12,713

Franklin

Resources,

Inc.

212,180

14,525

Goldman

Sachs

Group,

Inc.

2,245,420

16,428

Hartford

Financial

Services

Group,

Inc.

578,923

47,072

Huntington

Bancshares,

Inc.

386,461

25,381

Intercontinental

Exchange,

Inc.

2,049,516

16,964

Invesco,

Ltd.

154,033

142,957

J.P.

Morgan

Chase

&

Company

12,870,419

44,893

KeyCorp

465,540

9,040

Lincoln

National

Corporation

237,933

Shares

Common

Stock

(99.1%)

Value

Financials

(10.8%)

-

continued

11,659

Loews

Corporation

$

406,083

6,015

M&T

Bank

Corporation

622,131

1,729

MarketAxess

Holdings,

Inc.

575,014

23,002

Marsh

&

McLennan

Companies,

Inc.

1,988,753

35,628

MetLife,

Inc.

1,089,148

7,401

Moody's

Corporation

1,565,312

53,082

Morgan

Stanley

1,804,788

3,861

MSCI,

Inc.

1,115,675

5,230

Nasdaq,

Inc.

496,589

9,657

Northern

Trust

Corporation

728,717

20,243

People's

United

Financial,

Inc.

223,685

19,971

PNC

Financial

Services

Group,

Inc.

1,911,624

11,770

Principal

Financial

Group,

Inc.

368,872

26,647

Progressive

Corporation

1,967,614

18,323

Prudential

Financial,

Inc.

955,361

5,627

Raymond

James

Financial,

Inc.

355,626

43,967

Regions

Financial

Corporation

394,384

11,139

S&P

Global,

Inc.

2,729,612

16,574

State

Street

Corporation

882,897

2,350

SVB

Financial

Group

a

355,038

25,725

Synchrony

Financial

413,915

10,651

T.

Rowe

Price

Group,

Inc.

1,040,070

4,541

Torchmark

Corporation

326,816

11,764

Travelers

Companies,

Inc.

1,168,753

61,124

Truist

Financial

Corporation

1,885,064

64,781

U.S.

Bancorp

2,231,705

9,401

Unum

Group

141,109

6,614

W.R.

Berkley

Corporation

345,052

175,420

Wells

Fargo

&

Company

5,034,554

5,860

Willis

Towers

Watson

plc

995,321

7,770

Zions

Bancorporations

NA

207,925

Total

106,744,778

Health

Care

(15.2%)

80,556

Abbott

Laboratories

6,356,674

67,403

AbbVie,

Inc.

5,135,435

2,058

ABIOMED,

Inc.

a

298,739

14,105

Agilent

Technologies,

Inc.

1,010,200

10,086

Alexion

Pharmaceuticals,

Inc.

a

905,622

3,269

Align

Technology,

Inc.

a

568,643

14,962

Allergan

plc

2,649,770

6,852

AmerisourceBergen

Corporation

606,402

27,082

Amgen,

Inc.

5,490,334

11,557

Anthem,

Inc.

2,623,901

23,271

Baxter

International,

Inc.

1,889,372

12,327

Becton,

Dickinson

and

Company

2,832,375

8,224

Biogen,

Inc.

a

2,601,909

63,529

Boston

Scientific

Corporation

a

2,072,951

106,845

Bristol-Myers

Squibb

Company

5,955,540

13,331

Cardinal

Health,

Inc.

639,088

26,610

Centene

Corporation

a

1,580,900

14,316

Cerner

Corporation

901,765

17,020

Cigna

Holding

Company

3,015,604

2,260

Cooper

Companies,

Inc.

623,014

59,296

CVS

Health

Corporation

3,518,032

29,137

Danaher

Corporation

4,032,852

4,087

DaVita,

Inc.

a

310,857

10,137

Dentsply

Sirona,

Inc.

393,620

9,506

Edwards

Lifesciences

Corporation

a

1,793,022

38,510

Eli

Lilly

and

Company

5,342,107

57,664

Gilead

Sciences,

Inc.

4,310,961

12,058

HCA

Healthcare,

Inc.

1,083,411

6,688

Henry

Schein,

Inc.

a

337,878

12,222

Hologic

,

Inc.

a

428,992

6,036

Humana,

Inc.

1,895,425

3,910

IDEXX

Laboratories,

Inc.

a

947,158

Large

Cap

Index

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

120

Shares

Common

Stock

(99.1%)

Value

Health

Care

(15.2%)

-

continued

6,700

Illumina,

Inc.

a

$

1,829,904

8,149

Incyte

Corporation

a

596,751

5,268

Intuitive

Surgical,

Inc.

a

2,608,766

8,225

IQVIA

Holding,

Inc.

a

887,149

119,958

Johnson

&

Johnson

15,730,093

4,426

Laboratory

Corporation

of

America

Holdings

a

559,402

7,361

McKesson

Corporation

995,649

61,093

Medtronic

plc

5,509,367

116,043

Merck

&

Company,

Inc.

8,928,348

1,110

Mettler

-Toledo

International,

Inc.

a

766,466

23,525

Mylan

NV

a

350,758

5,064

PerkinElmer,

Inc.

381,218

6,204

Perrigo

Company

plc

298,350

252,239

Pfizer,

Inc.

8,233,081

6,139

Quest

Diagnostics,

Inc.

492,962

3,641

Regeneron

Pharmaceuticals,

Inc.

a

1,777,864

6,554

ResMed

,

Inc.

965,339

3,864

STERIS

plc

540,844

14,676

Stryker

Corporation

2,443,407

2,110

Teleflex,

Inc.

617,935

18,277

Thermo

Fisher

Scientific,

Inc.

5,183,357

43,182

UnitedHealth

Group,

Inc.

10,768,727

3,661

Universal

Health

Services,

Inc.

362,732

4,143

Varian

Medical

Systems,

Inc.

a

425,320

11,721

Vertex

Pharmaceuticals,

Inc.

a

2,789,012

2,937

Waters

Corporation

a

534,681

9,375

Zimmer

Biomet

Holdings,

Inc.

947,625

21,709

Zoetis,

Inc.

2,554,932

Total

150,232,592

Industrials

(8.7%)

26,210

3M

Company

3,577,927

6,247

A.O.

Smith

Corporation

236,199

5,614

Alaska

Air

Group,

Inc.

159,831

4,235

Allegion

plc

389,705

17,770

American

Airlines

Group,

Inc.

b

216,616

10,419

AMETEK,

Inc.

750,376

17,656

Arconic

,

Inc.

a

283,555

24,369

Boeing

Company

3,634,393

6,166

C.H.

Robinson

Worldwide,

Inc.

408,189

25,190

Caterpillar,

Inc.

2,923,048

3,821

Cintas

Corporation

661,874

9,324

Copart

,

Inc.

a

638,880

34,111

Corteva

,

Inc.

801,608

35,444

CSX

Corporation

2,030,941

6,983

Cummins,

Inc.

944,940

14,352

Deere

&

Company

1,982,872

26,235

Delta

Air

Lines,

Inc.

748,485

6,621

Dover

Corporation

555,767

18,842

Eaton

Corporation

plc

1,463,835

27,765

Emerson

Electric

Company

1,323,002

5,519

Equifax,

Inc.

659,245

7,762

Expeditors

International

of

Washington,

Inc.

517,881

26,141

Fastenal

Company

816,906

10,941

FedEx

Corporation

1,326,706

5,964

Flowserve

Corporation

142,480

13,469

Fortive

Corporation

743,354

6,342

Fortune

Brands

Home

and

Security,

Inc.

274,292

10,681

General

Dynamics

Corporation

1,413,203

398,065

General

Electric

Company

3,160,636

32,568

Honeywell

International,

Inc.

4,357,273

1,864

Huntington

Ingalls

Industries,

Inc.

339,639

3,467

IDEX

Corporation

478,827

Shares

Common

Stock

(99.1%)

Value

Industrials

(8.7%)

-

continued

18,277

IHS

Markit

,

Ltd.

$

1,096,620

13,331

Illinois

Tool

Works,

Inc.

1,894,602

15,773

Ingersoll

-

Rand,

Inc.

a,b

391,170

6,176

Jacobs

Engineering

Group,

Inc.

489,572

3,886

JB

Hunt

Transport

Services,

Inc.

358,406

35,160

Johnson

Controls

International

plc

947,914

4,518

Kansas

City

Southern

574,599

10,076

L3Harris

Technologies,

Inc.

1,814,889

24,484

Linde

Public

Limited

Company

4,235,732

11,314

Lockheed

Martin

Corporation

3,834,880

12,949

Masco

Corporation

447,647

16,217

Nielsen

Holdings

plc

203,361

11,885

Norfolk

Southern

Corporation

1,735,210

7,144

Northrop

Grumman

Corporation

2,161,417

4,366

Old

Dominion

Freight

Line,

Inc.

573,081

15,765

PACCAR,

Inc.

963,714

5,855

Parker-Hannifin

Corporation

759,569

7,661

Pentair,

Ltd.

227,991

6,486

Quanta

Services,

Inc.

205,801

12,693

Raytheon

Company

1,664,687

9,601

Republic

Services,

Inc.

720,651

5,358

Robert

Half

International,

Inc.

202,265

5,267

Rockwell

Automation,

Inc.

794,843

6,418

Rollins,

Inc.

231,947

4,743

Roper

Industries,

Inc.

1,478,915

2,500

Snap-On,

Inc.

272,050

21,588

Southwest

Airlines

Company

768,749

6,929

Stanley

Black

&

Decker,

Inc.

692,900

10,404

Textron,

Inc.

277,475

10,921

Trane

Technologies

plc

901,965

2,270

TransDigm

Group,

Inc.

726,831

31,641

Union

Pacific

Corporation

4,462,647

9,919

United

Airlines

Holdings,

Inc.

a,b

312,944

31,940

United

Parcel

Service,

Inc.

2,983,835

3,426

United

Rentals,

Inc.

a

352,535

36,979

United

Technologies

Corporation

3,488,229

7,469

Verisk

Analytics,

Inc.

1,041,029

1,989

W.W.

Grainger,

Inc.

494,267

8,300

Wabtec

Corporation

399,479

17,790

Waste

Management,

Inc.

1,646,642

8,208

Xylem,

Inc.

534,587

Total

85,328,132

Information

Technology

(25.3%)

28,945

Accenture

plc

4,725,561

22,064

Adobe,

Inc.

a

7,021,647

53,312

Advanced

Micro

Devices,

Inc.

a

2,424,630

7,366

Akamai

Technologies,

Inc.

a

673,915

1,868

Alliance

Data

Systems

Corporation

62,858

13,514

Amphenol

Corporation

984,900

16,787

Analog

Devices,

Inc.

1,504,955

3,901

ANSYS,

Inc.

a

906,865

190,368

Apple,

Inc.

48,408,679

42,104

Applied

Materials,

Inc.

1,929,205

2,472

Arista

Networks,

Inc.

a

500,704

10,029

Autodesk,

Inc.

a

1,565,527

19,722

Automatic

Data

Processing,

Inc.

2,695,603

18,080

Broadcom,

Ltd.

4,286,768

5,225

Broadridge

Financial

Solutions,

Inc.

495,487

12,789

Cadence

Design

Systems,

Inc.

a

844,586

6,549

CDW

Corporation

610,825

193,358

Cisco

Systems,

Inc.

7,600,903

5,242

Citrix

Systems,

Inc.

742,005

24,957

Cognizant

Technology

Solutions

Corporation

1,159,752

35,055

Corning,

Inc.

720,030

Large

Cap

Index

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

121

Shares

Common

Stock

(99.1%)

Value

Information

Technology

(25.3%)

-

continued

11,668

DXC

Technology

Company

$

152,267

2,771

F5

Networks,

Inc.

a

295,472

28,013

Fidelity

National

Information

Services,

Inc.

3,407,501

26,031

Fiserv,

Inc.

a

2,472,685

3,955

FleetCor

Technologies,

Inc.

a

737,766

6,115

FLIR

Systems,

Inc.

195,007

6,470

Fortinet,

Inc.

a

654,570

4,077

Gartner,

Inc.

a

405,947

13,699

Global

Payments,

Inc.

1,975,807

58,979

Hewlett

Packard

Enterprise

Company

572,686

67,544

HP,

Inc.

1,172,564

198,268

Intel

Corporation

10,730,264

40,366

International

Business

Machines

Corporation

4,477,800

11,864

Intuit,

Inc.

2,728,720

1,621

IPG

Photonics

Corporation

a

178,764

3,507

Jack

Henry

&

Associates,

Inc.

544,427

15,256

Juniper

Networks,

Inc.

292,000

8,550

Keysight

Technologies,

Inc.

a

715,464

7,192

KLA-Tencor

Corporation

1,033,778

6,613

Lam

Research

Corporation

1,587,120

6,065

Leidos

Holdings,

Inc.

555,857

40,462

MasterCard,

Inc.

9,774,001

12,334

Maxim

Integrated

Products,

Inc.

599,556

10,892

Microchip

Technology,

Inc.

738,478

50,458

Micron

Technology,

Inc.

a

2,122,263

347,712

Microsoft

Corporation

54,837,659

7,809

Motorola

Solutions,

Inc.

1,037,972

10,402

NetApp,

Inc.

433,659

26,134

NortonLifeLock

,

Inc.

488,967

27,894

NVIDIA

Corporation

7,352,858

98,745

Oracle

Corporation

4,772,346

14,520

Paychex,

Inc.

913,598

2,235

Paycom

Software,

Inc.

a

451,492

53,518

PayPal

Holdings,

Inc.

a

5,123,813

5,295

Qorvo

,

Inc.

a

426,936

52,044

QUALCOMM,

Inc.

3,520,777

40,428

Salesforce.com,

Inc.

a

5,820,823

10,537

Seagate

Technology

plc

514,206

8,596

ServiceNow

,

Inc.

a

2,463,442

7,765

Skyworks

Solutions,

Inc.

694,036

6,852

Synopsys,

Inc.

a

882,469

15,245

TE

Connectivity,

Ltd.

960,130

42,606

Texas

Instruments,

Inc.

4,257,618

4,709

VeriSign,

Inc.

a

848,044

78,024

Visa,

Inc.

12,571,227

13,555

Western

Digital

Corporation

564,159

19,109

Western

Union

Company

346,446

8,474

Xerox

Holdings

Corporation

160,498

11,462

Xilinx,

Inc.

893,348

2,458

Zebra

Technologies

Corporation

a

451,289

Total

248,773,981

Materials

(1.9%)

10,047

Air

Products

and

Chemicals,

Inc.

2,005,482

4,833

Albemarle

Corporation

272,436

73,844

Amcor

plc

599,613

3,806

Avery

Dennison

Corporation

387,717

14,910

Ball

Corporation

964,081

5,509

Celanese

Corporation

404,306

9,910

CF

Industries

Holdings,

Inc.

269,552

33,797

Dow,

Inc.

988,224

33,765

DuPont

de

Nemours,

Inc.

1,151,386

6,198

Eastman

Chemical

Company

288,703

11,430

Ecolab,

Inc.

1,781,137

Shares

Common

Stock

(99.1%)

Value

Materials

(1.9%)

-

continued

5,908

FMC

Corporation

$

482,625

66,131

Freeport-McMoRan,

Inc.

446,384

4,867

International

Flavors

&

Fragrances,

Inc.

b

496,823

17,872

International

Paper

Company

556,355

11,701

LyondellBasell

Industries

NV

580,721

2,849

Martin

Marietta

Materials,

Inc.

539,116

15,936

Mosaic

Company

172,428

37,367

Newmont

Mining

Corporation

1,691,978

13,820

Nucor

Corporation

497,796

4,314

Packaging

Corporation

of

America

374,585

10,778

PPG

Industries,

Inc.

901,041

7,045

Sealed

Air

Corporation

174,082

3,745

Sherwin-Williams

Company

1,720,902

6,033

Vulcan

Materials

Company

651,986

11,755

WestRock

Company

332,196

Total

18,731,655

Real

Estate

(3.0%)

5,588

Alexandria

Real

Estate

Equities,

Inc.

765,891

20,189

American

Tower

Corporation

4,396,155

6,786

Apartment

Investment

&

Management

Company

238,528

6,366

AvalonBay

Communities,

Inc.

936,884

6,554

Boston

Properties,

Inc.

604,475

15,258

CBRE

Group,

Inc.

a

575,379

18,950

Crown

Castle

International

Corporation

2,736,380

11,981

Digital

Realty

Trust,

Inc.

1,664,281

16,753

Duke

Realty

Corporation

542,462

3,887

Equinix

,

Inc.

2,427,704

15,910

Equity

Residential

981,806

3,012

Essex

Property

Trust,

Inc.

663,363

5,903

Extra

Space

Storage,

Inc.

565,271

3,201

Federal

Realty

Investment

Trust

238,827

22,559

Healthpeak

Properties,

Inc.

538,032

32,688

Host

Hotels

&

Resorts,

Inc.

360,876

13,088

Iron

Mountain,

Inc.

311,494

19,245

Kimco

Realty

Corporation

186,099

5,199

Mid-America

Apartment

Communities,

Inc.

535,653

33,657

Prologis,

Inc.

2,705,013

6,847

Public

Storage,

Inc.

1,359,883

15,620

Realty

Income

Corporation

778,813

7,637

Regency

Centers

Corporation

293,490

5,132

SBA

Communications

Corporation

1,385,486

13,986

Simon

Property

Group,

Inc.

767,272

3,715

SL

Green

Realty

Corporation

160,117

13,357

UDR,

Inc.

488,065

16,989

Ventas,

Inc.

455,305

7,220

Vornado

Realty

Trust

261,436

18,494

Welltower

,

Inc.

846,655

33,963

Weyerhaeuser

Company

575,673

Total

29,346,768

Utilities

(3.5%)

30,259

AES

Corporation

411,522

10,955

Alliant

Energy

Corporation

529,017

11,214

Ameren

Corporation

816,716

22,514

American

Electric

Power

Company,

Inc.

1,800,670

8,240

American

Water

Works

Company,

Inc.

985,174

5,440

Atmos

Energy

Corporation

539,811

22,892

CenterPoint

Energy,

Inc.

353,681

12,937

CMS

Energy

Corporation

760,049

15,152

Consolidated

Edison,

Inc.

1,181,856

Large

Cap

Index

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

122

Shares

Common

Stock

(99.1%)

Value

Utilities

(3.5%)

-

continued

37,516

Dominion

Energy,

Inc.

$

2,708,280

8,756

DTE

Energy

Company

831,557

33,228

Duke

Energy

Corporation

2,687,481

16,345

Edison

International,

Inc.

895,543

9,075

Entergy

Corporation

852,778

10,388

Evergy

,

Inc.

571,859

14,757

Eversource

Energy

1,154,145

44,308

Exelon

Corporation

1,630,978

24,627

FirstEnergy

Corporation

986,804

22,278

NextEra

Energy,

Inc.

5,360,532

17,026

NiSource,

Inc.

425,139

11,467

NRG

Energy,

Inc.

312,590

5,124

Pinnacle

West

Capital

Corporation

388,348

34,996

PPL

Corporation

863,701

23,050

Public

Service

Enterprise

Group,

Inc.

1,035,176

12,848

Sempra

Energy

1,451,696

47,800

Southern

Company

2,587,892

14,377

WEC

Energy

Group,

Inc.

1,267,045

23,901

Xcel

Energy,

Inc.

1,441,230

Total

34,831,270

Total

Common

Stock

(cost

$644,471,360)

976,500,250

Shares

Collateral

Held

for

Securities

Loaned

(

0.3%

)

Value

2,754,585

Thrivent

Cash

Management

Trust

2,754,585

Total

Collateral

Held

for

Securities

Loaned

(cost

$2,754,585)

2,754,585

Shares

or

Principal

Amount

Short-Term

Investments

(

0.8%

)

Value

Federal

Home

Loan

Bank

Discount

Notes

200,000

1.570%,

4/22/2020

c,d

199,992

200,000

0.000%,

5/28/2020

d

199,978

200,000

0.150%,

6/23/2020

c,d

199,967

500,000

0.150%,

7/31/2020

c,d

499,849

Thrivent

Core

Short-Term

Reserve

Fund

700,206

1.570%

6,988,053

Total

Short-Term

Investments

(cost

$8,091,048)

8,087,839

Total

Investments

(cost

$655,316,993)

100.2%

$987,342,674

Other

Assets

and

Liabilities,

Net

(0.2%)

(2,294,555)

Total

Net

Assets

100.0%

$985,048,119

a

Non-income

producing

security.

b

All

or

a

portion

of

the

security

is

on

loan.

c

The

interest

rate

shown

reflects

the

yield,

coupon

rate

or

the

discount

rate

at

the

date

of

purchase.

d

All

or

a

portion

of

the

security

is

held

on

deposit

with

the

counterparty

and

pledged

as

the

initial

margin

deposit

for

open

futures

contracts.

The

following

table

presents

the

total

amount

of

securities

loaned

with

continuous

maturity,

by

type,

offset

by

the

gross

payable

upon

return

of

collateral

for

securities

loaned

by

Thrivent

Large

Cap

Index

Portfolio

as

of

March

31,

2020:

Securities

Lending

Transactions

Common

Stock

$

2,733,399

Total

lending

$2,733,399

Gross

amount

payable

upon

return

of              

collateral

for

securities

loaned

$2,754,585

Net

amounts

due

to

counterparty

$21,186

Large

Cap

Index

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

123

Reference

Description:

CME

-

Chicago

Mercantile

Exchange

S&P

-

Standard

&

Poor's

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Large

Cap

Index

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Common

Stock

Communications

Services

97,405,480

97,405,480

–

–

Consumer

Discretionary

103,170,416

103,170,416

–

–

Consumer

Staples

76,086,655

76,086,655

–

–

Energy

25,848,523

25,848,523

–

–

Financials

106,744,778

106,744,778

–

–

Health

Care

150,232,592

150,232,592

–

–

Industrials

85,328,132

85,328,132

–

–

Information

Technology

248,773,981

248,773,981

–

–

Materials

18,731,655

18,731,655

–

–

Real

Estate

29,346,768

29,346,768

–

–

Utilities

34,831,270

34,831,270

–

–

Short-Term

Investments

1,099,786

–

1,099,786

–

Subtotal

Investments

in

Securities

$977,600,036

$976,500,250

$1,099,786

$–

Other

Investments  *

Total

Affiliated

Short-Term

Investments

6,988,053

Collateral

Held

for

Securities

Loaned

2,754,585

Subtotal

Other

Investments

$9,742,638

Total

Investments

at

Value

$987,342,674

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Other

Financial

Instruments

Total

Level

1

Level

2

Level

3

Liability

Derivatives

Futures

Contracts

21,066

21,066

–

–

Total

Liability

Derivatives

$21,066

$21,066

$–

$–

The

following

table

presents

Large

Cap

Index

Portfolio's

futures

contracts

held

as

of

March

31,

2020.

Investments

and/or

cash

totaling

$1,099,786

were

pledged

as

the

initial

margin

deposit

for

these

contracts.

Futures

Contracts

Description

Number

of

Contracts

Long/(Short)

Expiration

Date

Notional

Principal

Amount

Value

and

Unrealized

CME

E-mini

S&P

500

Index

69

June

2020

$

8,886,531

(

$

21,066)

Total

Futures

Long

Contracts

$

8,886,531

(

$

21,066)

Total

Futures

Contracts

$

8,886,531

($21,066)

Large

Cap

Index

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

124

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Cash

Management

Trust

for

the

purpose

of

securities

lending

and

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Cash

Management

Trust

and

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Large

Cap

Index

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$6,051

$13,458

$12,514

$6,988

700

0.7%

Total

Affiliated

Short-Term

Investments

6,051

6,988

0.7

Collateral

held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

1,403

12,590

11,238

2,755

2,755

0.3

Total

Collateral

Held

for

Securities

Loaned

1,403

2,755

0.3

Total

Value

$7,454

$9,743

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$(4)

$(3)

–

$27

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$27

Collateral

Held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

–

–

–

4

Total

Affiliated

Income

from

Securities

Loaned,

Net

$4

Total

Value

$(4)

$(3)

$–

Large

Cap

Value

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

125

Shares

Common

Stock

(

97.9%

)

Value

Communications

Services

(9.3%)

17,920

Alphabet,

Inc.

a

$

20,837,555

1,004,180

Comcast

Corporation

34,523,708

58,770

Discovery,

Inc.,

Class

A

a,b

1,142,489

1,092,584

Verizon

Communications,

Inc.

58,704,538

200,054

ViacomCBS

,

Inc.

2,802,757

Total

118,011,047

Consumer

Discretionary

(6.4%)

176,858

Aptiv

plc

8,708,488

10,728

AutoZone,

Inc.

a

9,075,888

264,616

D.R.

Horton,

Inc.

8,996,944

397,840

Lowe's

Companies,

Inc.

34,234,132

55,750

Mohawk

Industries,

Inc.

a

4,250,380

262,990

Sony

Corporation

ADR

15,563,748

Total

80,829,580

Consumer

Staples

(4.1%)

83,270

Kimberly-Clark

Corporation

10,647,735

364,351

Wal-Mart

Stores,

Inc.

41,397,561

Total

52,045,296

Energy

(5.9%)

659,356

BP

plc

ADR

b

16,081,693

206,966

Chevron

Corporation

14,996,756

178,810

ConocoPhillips

5,507,348

460,922

Enterprise

Products

Partners,

LP

6,591,185

147,000

Exxon

Mobil

Corporation

5,581,590

448,260

Halliburton

Company

3,070,581

1,138,426

Marathon

Oil

Corporation

3,745,421

398,950

Marathon

Petroleum

Corporation

9,423,199

141,038

Pioneer

Natural

Resources

Company

9,893,816

Total

74,891,589

Financials

(19.4%)

364,010

Aflac,

Inc.

12,463,702

274,750

American

International

Group,

Inc.

6,662,687

2,127,507

Bank

of

America

Corporation

45,166,974

303,630

Capital

One

Financial

Corporation

15,309,025

108,540

Chubb,

Ltd.

12,122,833

766,750

Citigroup,

Inc.

32,295,510

129,970

Comerica,

Inc.

3,813,320

35,330

Goldman

Sachs

Group,

Inc.

5,461,665

342,290

Hartford

Financial

Services

Group,

Inc.

12,062,300

207,620

J.P.

Morgan

Chase

&

Company

18,692,029

521,800

KeyCorp

5,411,066

316,750

MetLife,

Inc.

9,683,047

471,830

Morgan

Stanley

16,042,220

101,200

PNC

Financial

Services

Group,

Inc.

9,686,864

79,145

Prudential

Financial,

Inc.

4,126,620

205,110

Raymond

James

Financial,

Inc.

12,962,952

461,230

U.S.

Bancorp

15,889,373

317,520

Zions

Bancorporations

NA

8,496,835

Total

246,349,022

Health

Care

(19.5%)

56,940

Biogen,

Inc.

a

18,014,677

405,810

Centene

Corporation

a

24,109,172

102,312

Cigna

Holding

Company

18,127,640

493,527

CVS

Health

Corporation

29,280,957

171,590

Gilead

Sciences,

Inc.

12,828,068

100,700

HCA

Healthcare,

Inc.

9,047,895

310,150

Johnson

&

Johnson

40,669,970

369,040

Medtronic

plc

33,280,027

543,342

Merck

&

Company,

Inc.

41,804,734

468,450

Pfizer,

Inc.

15,290,208

Shares

Common

Stock

(97.9%)

Value

Health

Care

(19.5%)

-

continued

55,751

Zimmer

Biomet

Holdings,

Inc.

$

5,635,311

Total

248,088,659

Industrials

(10.7%)

37,040

Boeing

Company

5,524,146

153,060

CSX

Corporation

8,770,338

433,890

Delta

Air

Lines,

Inc.

12,378,882

100,140

General

Dynamics

Corporation

13,249,523

172,113

Honeywell

International,

Inc.

23,026,998

119,388

Ingersoll

-

Rand,

Inc.

a,b

2,960,822

350,100

Johnson

Controls

International

plc

9,438,696

68,490

Kansas

City

Southern

8,710,558

97,400

Parker-Hannifin

Corporation

12,635,702

135,300

Trane

Technologies

plc

11,174,427

297,220

United

Technologies

Corporation

28,036,763

Total

135,906,855

Information

Technology

(15.9%)

79,950

Apple,

Inc.

20,330,485

1,582,670

Cisco

Systems,

Inc.

62,214,758

364,550

Microsoft

Corporation

57,493,181

200,530

Oracle

Corporation

9,691,615

162,180

QUALCOMM,

Inc.

10,971,477

14,644

Samsung

Electronics

Company,

Ltd.

GDR

14,484,931

193,350

Texas

Instruments,

Inc.

19,321,466

64,220

VMware,

Inc.

a

7,777,042

Total

202,284,955

Materials

(2.5%)

375,710

CF

Industries

Holdings,

Inc.

10,219,312

291,961

Eastman

Chemical

Company

13,599,543

219,620

Nucor

Corporation

7,910,713

Total

31,729,568

Real

Estate

(1.3%)

269,114

American

Campus

Communities,

Inc.

7,467,913

30,221

AvalonBay

Communities,

Inc.

4,447,625

486,260

Host

Hotels

&

Resorts,

Inc.

5,368,310

Total

17,283,848

Utilities

(2.9%)

798,234

Exelon

Corporation

29,382,994

184,002

FirstEnergy

Corporation

7,372,960

Total

36,755,954

Total

Common

Stock

(cost

$1,198,177,020)

1,244,176,373

Shares

Collateral

Held

for

Securities

Loaned

(

1.5%

)

Value

18,509,586

Thrivent

Cash

Management

Trust

18,509,586

Total

Collateral

Held

for

Securities

Loaned

(cost

$18,509,586)

18,509,586

Large

Cap

Value

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

126

Shares

Short-Term

Investments

(

1.9%

)

Value

Thrivent

Core

Short-Term

Reserve

Fund

2,490,064

1.570%

$

24,850,834

Total

Short-Term

Investments

(cost

$24,896,445)

24,850,834

Total

Investments

(cost

$1,241,583,051)

101.3%

$1,287,536,793

Other

Assets

and

Liabilities,

Net

(1.3%)

(16,947,256)

Total

Net

Assets

100.0%

$1,270,589,537

a

Non-income

producing

security.

b

All

or

a

portion

of

the

security

is

on

loan.

The

following

table

presents

the

total

amount

of

securities

loaned

with

continuous

maturity,

by

type,

offset

by

the

gross

payable

upon

return

of

collateral

for

securities

loaned

by

Thrivent

Large

Cap

Value

Portfolio

as

of

March

31,

2020:

Securities

Lending

Transactions

Common

Stock

$

16,556,485

Total

lending

$16,556,485

Gross

amount

payable

upon

return

of              

collateral

for

securities

loaned

$18,509,586

Net

amounts

due

to

counterparty

$1,953,101

Definitions:

ADR

-

American

Depositary

Receipt,

which

are

certificates

for

an

underlying

foreign

security's

shares

held

by

an

issuing

U.S.

depository

bank.

GDR

-

Global

Depository

Receipts,

which

are

certificates

for

shares

of

an

underlying

foreign

security’s

shares

held

by

an

issuing

depository

bank

from

more

than

one

country.

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Large

Cap

Value

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Common

Stock

Communications

Services

118,011,047

118,011,047

–

–

Consumer

Discretionary

80,829,580

80,829,580

–

–

Consumer

Staples

52,045,296

52,045,296

–

–

Energy

74,891,589

74,891,589

–

–

Financials

246,349,022

246,349,022

–

–

Health

Care

248,088,659

248,088,659

–

–

Industrials

135,906,855

135,906,855

–

–

Information

Technology

202,284,955

187,800,024

14,484,931

–

Materials

31,729,568

31,729,568

–

–

Real

Estate

17,283,848

17,283,848

–

–

Utilities

36,755,954

36,755,954

–

–

Subtotal

Investments

in

Securities

$1,244,176,373

$1,229,691,442

$14,484,931

$–

Other

Investments  *

Total

Affiliated

Short-Term

Investments

24,850,834

Collateral

Held

for

Securities

Loaned

18,509,586

Subtotal

Other

Investments

$43,360,420

Total

Investments

at

Value

$1,287,536,793

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Large

Cap

Value

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

127

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Cash

Management

Trust

for

the

purpose

of

securities

lending

and

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Cash

Management

Trust

and

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Large

Cap

Value

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$32,029

$27,832

$34,948

$24,851

2,490

1.9%

Total

Affiliated

Short-Term

Investments

32,029

24,851

1.9

Collateral

held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

8,485

37,138

27,113

18,510

18,510

1.5

Total

Collateral

Held

for

Securities

Loaned

8,485

18,510

1.5

Total

Value

$40,514

$43,361

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$(16)

$(46)

–

$166

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$166

Collateral

Held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

–

–

–

8

Total

Affiliated

Income

from

Securities

Loaned,

Net

$8

Total

Value

$(16)

$(46)

$–

Limited

Maturity

Bond

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

128

Principal

Amount

Long-Term

Fixed

Income

(

98.1%

)

Value

Asset-Backed

Securities

(16.9%)

Ares

XXXVII

CLO,

Ltd.

$

3,400,000

3.001%, 

(LIBOR

3M

+

1.170%),

10/15/2030,

Ser.

2015-4A,

Class

A1R

a,b

$

3,225,352

ARI

Fleet

Lease

Trust

301,386

1.910%, 

4/15/2026,

Ser.

2017-A,

Class

A2

a

300,787

Ascentium

Equipment

Receivables,

LLC

2,200,965

3.210%, 

9/11/2023,

Ser.

2018-1A,

Class

A3

a

2,203,415

Assurant

CLO

III,

Ltd.

4,500,000

3.049%, 

(LIBOR

3M

+

1.230%),

10/20/2031,

Ser.

2018-2A,

Class

A

a,b

4,111,236

Axis

Equipment

Finance

Receivables

Trust

2,000,000

2.630%, 

6/20/2024,

Ser.

2019-1A,

Class

A2

a

1,987,688

Bank

of

the

West

Auto

Trust

1,517,226

2.110%, 

1/15/2023,

Ser.

2017-1,

Class

A3

a

1,511,243

BCC

Funding

XIV,

LLC

845,167

2.960%, 

6/20/2023,

Ser.

2018-1A,

Class

A2

a

843,385

Benefit

Street

Partners

CLO

IV,

Ltd.

4,950,000

3.069%, 

(LIBOR

3M

+

1.250%),

1/20/2029,

Ser.

2014-IVA,

Class

A1RR

a,b

4,793,639

Betony

CLO,

Ltd.

3,425,000

2.850%, 

(LIBOR

3M

+

1.080%),

4/30/2031,

Ser.

2018-1A,

Class

A1

a,b

3,206,321

BlueMountain

CLO,

Ltd.

3,000,000

3.049%, 

(LIBOR

3M

+

1.230%),

1/20/2029,

Ser.

2013-1A,

Class

A1R2

a,b

2,906,820

1,000,000

2.819%, 

(LIBOR

3M

+

1.000%),

4/20/2031,

Ser.

2015-3A,

Class

A1R

a,b

939,729

Business

Jet

Securities,

LLC

448,776

4.335%, 

2/15/2033,

Ser.

2018-1,

Class

A

a

370,531

Canadian

Pacer

Auto

Receivables

Trust

161,113

2.050%, 

3/19/2021,

Ser.

2017-1A,

Class

A3

a

160,777

CBAM,

Ltd.

5,000,000

3.111%, 

(LIBOR

3M

+

1.280%),

2/12/2030,

Ser.

2019-9A,

Class

A

a,b

4,792,180

CCG

Receivables

Trust

843,673

2.500%, 

6/16/2025,

Ser.

2018-1,

Class

A2

a

841,887

Cedar

Funding

VI

CLO,

Ltd.

6,000,000

2.909%, 

(LIBOR

3M

+

1.090%),

10/20/2028,

Ser.

2016-6A,

Class

AR

a,b

5,745,600

Commonbond

Student

Loan

Trust

145,593

3.200%, 

6/25/2032,

Ser.

2015-A,

Class

A

a

145,530

1,014,876

2.550%, 

5/25/2041,

Ser.

2017-AGS,

Class

A1

a

1,024,418

Principal

Amount

Long-Term

Fixed

Income

(98.1%)

Value

Asset-Backed

Securities

(16.9%)

-

continued

$

2,201,625

1.447%, 

(LIBOR

1M

+

0.500%),

2/25/2044,

Ser.

2018-AGS,

Class

A2

a,b

$

2,142,736

CoreVest

American

Finance

Trust

1,928,581

3.804%, 

6/15/2051,

Ser.

2018-1,

Class

A

a

1,946,163

Credit

Acceptance

Auto

Loan

Trust

2,200,000

3.470%, 

5/17/2027,

Ser.

2018-2A,

Class

A

a

2,179,895

Deephaven

Residential

Mortgage

Trust

1,893,588

4.080%, 

10/25/2058,

Ser.

2018-4A,

Class

A1

a,b

1,920,120

DRB

Prime

Student

Loan

Trust

651,089

3.516%, 

(LIBOR

1M

+

1.900%),

10/27/2031,

Ser.

2015-B,

Class

A1

a,b

653,178

Earnest

Student

Loan

Program,

LLC

1,094,896

2.650%, 

1/25/2041,

Ser.

2017-A,

Class

A2

a

1,090,949

Edlinc

Student

Loan

Funding

Trust

171,573

3.270%, 

(CMT

3M

+

3.150%),

10/1/2025,

Ser.

2012-A,

Class

AT

a,b

171,645

Education

Funding

Trust

4,247,274

2.790%, 

7/25/2041,

Ser.

2020-A,

Class

A

a

4,181,620

Fifth

Third

Auto

Trust

421,410

1.800%, 

2/15/2022,

Ser.

2017-1,

Class

A3

420,588

Freedom

ABS

Trust

2,519,435

2.520%, 

3/18/2027,

Ser.

2020-FP1,

Class

A

a

2,393,469

Garrison

BSL

CLO,

Ltd.

5,000,000

2.806%, 

(LIBOR

3M

+

0.970%),

7/17/2028,

Ser.

2018-1A,

Class

A1

a,b

4,805,775

GM

Financial

Automobile

Leasing

Trust

6,500,000

3.080%, 

12/20/2022,

Ser.

2019-1,

Class

A4

6,515,632

GoldenTree

Loan

Opportunities,

Ltd.

3,000,000

3.075%, 

(LIBOR

3M

+

1.300%),

10/29/2029,

Ser.

2014-9A,

Class

AJR2

a,b

2,773,158

Golub

Capital

Partners,

Ltd.

6,000,000

2.969%, 

(LIBOR

3M

+

1.150%),

10/20/2028,

Ser.

2018-39A,

Class

A1

a,b

5,785,542

HSI

Asset

Securitization

Corporation

Trust

1,328,072

1.317%, 

(LIBOR

1M

+

0.370%),

1/25/2036,

Ser.

2006-OPT2,

Class

M1

b

1,319,021

Invitation

Homes

Trust

4,248,923

1.900%, 

(LIBOR

1M

+

1.100%),

1/17/2038,

Ser.

2018-SFR4,

Class

A

a,b

3,940,495

Marlette

Funding

Trust

651,763

3.200%, 

9/15/2028,

Ser.

2018-3A,

Class

A

a

647,380

2,132,459

3.440%, 

4/16/2029,

Ser.

2019-1A,

Class

A

a

2,058,964

Limited

Maturity

Bond

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

129

Principal

Amount

Long-Term

Fixed

Income

(98.1%)

Value

Asset-Backed

Securities

(16.9%)

-

continued

National

Collegiate

Trust

$

1,397,393

1.242%, 

(LIBOR

1M

+

0.295%),

5/25/2031,

Ser.

2007-A,

Class

A

a,b

$

1,315,093

Nationstar

HECM

Loan

Trust

3,072,561

2.272%, 

11/25/2029,

Ser.

2019-2A,

Class

A

a,b

3,033,990

Navient

Private

Education

Loan

Trust

1,890,428

2.820%, 

2/15/2068,

Ser.

2019-CA,

Class

A1

a

1,891,287

Navient

Student

Loan

Trust

2,099,328

2.180%, 

8/15/2068,

Ser.

2019-FA,

Class

A1

a

2,096,143

2,710,616

1.547%, 

(LIBOR

1M

+

0.600%),

7/26/2066,

Ser.

2017-3A,

Class

A2

a,b

2,679,440

2,088,981

1.697%, 

(LIBOR

1M

+

0.750%),

7/26/2066,

Ser.

2017-1A,

Class

A2

a,b

2,070,646

Neuberger

Berman

CLO

XIV,

Ltd.

2,500,000

2.646%, 

(LIBOR

3M

+

1.030%),

1/28/2030,

Ser.

2013-14A,

Class

AR2

a,b

2,395,825

Neuberger

Berman

CLO,

Ltd.

3,000,000

2.646%, 

(LIBOR

3M

+

1.030%),

4/22/2029,

Ser.

2014-17A,

Class

AR2

a,b

2,867,373

NextGear

Floorplan

Master

Owner

Trust

4,000,000

2.560%, 

10/17/2022,

Ser.

2017-2A,

Class

A2

a

3,857,344

Northstar

Education

Finance,

Inc.

885,696

1.647%, 

(LIBOR

1M

+

0.700%),

12/26/2031,

Ser.

2012-1,

Class

A

a,b

866,174

NRZ

Excess

Spread-Collateralized

Notes

Series

1,760,438

3.193%, 

1/25/2023,

Ser.

2018-PLS1,

Class

A

a

1,755,364

OZLM

VIII,

Ltd.

4,100,000

3.006%, 

(LIBOR

3M

+

1.170%),

10/17/2029,

Ser.

2014-8A,

Class

A1RR

a,b

3,900,449

Pretium

Mortgage

Credit

Partners,

LLC

3,307,868

3.721%, 

1/25/2059,

Ser.

2019-CFL1,

Class

A1

a,c

2,848,015

Progress

Residential

Trust

3,000,000

3.422%, 

8/17/2035,

Ser.

2019-SFR1,

Class

A

a

2,974,725

Prosper

Marketplace

Issuance

Trust

308,609

3.350%, 

10/15/2024,

Ser.

2018-2A,

Class

A

a

306,728

RCO

Mortgage,

LLC

5,813,816

4.458%, 

10/25/2023,

Ser.

2018-2,

Class

A1

a,c

5,503,550

Residential

Asset

Mortgage

Program

Series

Trust

802,892

1.237%, 

(LIBOR

1M

+

0.290%),

8/25/2036,

Ser.

2006-RZ3,

Class

A3

b

797,019

Santander

Retail

Auto

Lease

Trust

90,164

2.220%, 

1/20/2021,

Ser.

2017-A,

Class

A3

a

90,124

Principal

Amount

Long-Term

Fixed

Income

(98.1%)

Value

Asset-Backed

Securities

(16.9%)

-

continued

SLM

Student

Loan

Trust

$

2,776,724

1.347%, 

(LIBOR

1M

+

0.400%),

3/25/2025,

Ser.

2010-1,

Class

A

b

$

2,638,749

197,109

1.467%, 

(LIBOR

1M

+

0.520%),

3/25/2026,

Ser.

2011-1,

Class

A1

b

196,927

Small

Business

Lending

Trust

1,021,753

2.850%, 

7/15/2026,

Ser.

2019-A,

Class

A

a

1,001,326

1,742,011

2.620%, 

12/15/2026,

Ser.

2020-A,

Class

A

a

1,697,138

SoFi

Consumer

Loan

Program

Trust

2,732,695

3.010%, 

4/25/2028,

Ser.

2019-2,

Class

A

a

2,650,787

952,608

2.020%, 

1/25/2029,

Ser.

2020-1,

Class

A

a

885,767

SoFi

Consumer

Loan

Program,

LLC

514,345

2.770%, 

5/25/2026,

Ser.

2017-3,

Class

A

a

509,876

990,683

3.060%, 

9/25/2028,

Ser.

2016-5,

Class

A

a

972,271

SoFi

Professional

Loan

Program,

LLC

522,655

2.510%, 

8/25/2033,

Ser.

2015-C,

Class

A2

a

526,378

263,312

1.797%, 

(LIBOR

1M

+

0.850%),

7/25/2039,

Ser.

2016-E,

Class

A1

a,b

260,701

Sound

Point

CLO

XX,

Ltd.

4,000,000

2.894%, 

(LIBOR

3M

+

1.100%),

7/26/2031,

Ser.

2018-2A,

Class

A

a,b

3,662,104

Springleaf

Funding

Trust

369,654

2.900%, 

11/15/2029,

Ser.

2016-AA,

Class

A

a

366,520

Synchrony

Credit

Card

Master

Note

Trust

1,500,000

3.470%, 

5/15/2026,

Ser.

2018-2,

Class

A

1,541,797

THL

Credit

Wind

River

CLO,

Ltd.

2,500,000

3.049%, 

(LIBOR

3M

+

1.230%),

7/20/2030,

Ser.

2017-2A,

Class

A

a,b

2,371,022

Upstart

Securitization

Trust

250,040

3.450%, 

4/20/2026,

Ser.

2019-1,

Class

A

a

248,110

2,795,169

2.897%, 

9/20/2029,

Ser.

2019-2,

Class

A

a

2,589,322

3,465,635

2.684%, 

1/21/2030,

Ser.

2019-3,

Class

A

a

3,441,398

3,800,000

2.322%, 

4/22/2030,

Ser.

2020-1,

Class

A

a

3,585,140

Vericrest

Opportunity

Loan

Transferee

3,459,510

3.352%, 

9/25/2049,

Ser.

2019-NPL5,

Class

A1A

a,c

2,915,258

Voya

CLO,

Ltd.

1,250,000

3.031%, 

(LIBOR

3M

+

1.200%),

10/15/2030,

Ser.

2012-4A,

Class

A1AR

a,b

1,173,680

2,500,000

2.059%, 

(LIBOR

3M

+

1.060%),

4/15/2031,

Ser.

2019-1A,

Class

AR

a,b

2,336,410

Limited

Maturity

Bond

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

130

Principal

Amount

Long-Term

Fixed

Income

(98.1%)

Value

Asset-Backed

Securities

(16.9%)

-

continued

Wheels

SPV

2,

LLC

$

15,556

1.880%, 

4/20/2026,

Ser.

2017-1A,

Class

A2

a

$

15,541

Total

160,892,379

Basic

Materials

(0.8%)

Dow

Chemical

Company

1,500,000

3.150%, 

5/15/2024

1,477,387

DowDuPont

,

Inc.

2,000,000

4.205%, 

11/15/2023

2,098,539

Glencore

Funding,

LLC

1,500,000

3.000%, 

10/27/2022

a

1,371,375

Kinross

Gold

Corporation

1,000,000

5.950%, 

3/15/2024

1,010,000

Mosaic

Company

650,000

3.250%, 

11/15/2022

636,818

Syngenta

Finance

NV

1,000,000

4.892%, 

4/24/2025

a

980,658

Total

7,574,777

Capital

Goods

(1.8%)

Caterpillar

Financial

Services

Corporation

1,420,000

1.950%, 

11/18/2022

1,417,103

General

Electric

Company

795,000

3.450%, 

5/15/2024

785,415

Huntington

Ingalls

Industries,

Inc.

700,000

3.844%, 

5/1/2025

a

720,753

Lockheed

Martin

Corporation

1,000,000

2.500%, 

11/23/2020

1,002,286

Northrop

Grumman

Corporation

2,000,000

2.550%, 

10/15/2022

1,998,886

Otis

Worldwide

Corporation

1,875,000

2.056%, 

4/5/2025

a

1,832,848

Republic

Services,

Inc.

1,250,000

2.500%, 

8/15/2024

1,258,520

Roper

Technologies,

Inc.

500,000

2.800%, 

12/15/2021

500,454

1,250,000

3.650%, 

9/15/2023

1,285,091

750,000

2.350%, 

9/15/2024

729,167

Siemens

Financieringsmaatschappij

NV

2,000,000

1.351%, 

(LIBOR

3M

+

0.610%),

3/16/2022

a,b

1,949,298

Textron,

Inc.

2,000,000

3.875%, 

3/1/2025

2,000,146

Waste

Management,

Inc.

750,000

2.950%, 

6/15/2024

762,603

WW

Grainger,

Inc.

875,000

1.850%, 

2/15/2025

875,974

Total

17,118,544

Collateralized

Mortgage

Obligations

(18.5%)

Ajax

Mortgage

Loan

Trust

4,512,581

2.956%, 

9/25/2065,

Ser.

2019-D,

Class

A1

a

4,408,854

Angel

Oak

Mortgage

Trust

I,

LLC

2,333,696

3.258%, 

4/27/2048,

Ser.

2018-1,

Class

A1

a,b

2,287,759

2,407,622

3.674%, 

7/27/2048,

Ser.

2018-2,

Class

A1

a,b

2,296,672

Antler

Mortgage

Trust

2,500,000

4.458%, 

6/27/2022,

Ser.

2019-RTL1,

Class

A1

a

2,179,631

Principal

Amount

Long-Term

Fixed

Income

(98.1%)

Value

Collateralized

Mortgage

Obligations

(18.5%)

-

continued

$

3,250,000

4.335%, 

7/25/2022,

Ser.

2018-RTL1,

Class

A1

a

$

3,233,112

Banc

of

America

Funding

Trust

937,101

3.443%, 

1/25/2035,

Ser.

2004-D,

Class

4A1

b

778,719

1,543,679

5.750%, 

3/25/2036,

Ser.

2006-3,

Class

3A1

1,472,953

Bear

Stearns

Adjustable

Rate

Mortgage

Trust

256,096

4.270%, 

(CMT

1Y

+

2.300%),

10/25/2035,

Ser.

2005-9,

Class

A1

b

238,237

595,973

4.753%, 

10/25/2036,

Ser.

2006-4,

Class

1A1

b

542,449

BRAVO

Residential

Funding

Trust

1,947,051

3.500%, 

3/25/2058,

Ser.

2019-1,

Class

A1C

a

1,952,952

4,284,504

2.748%, 

11/25/2059,

Ser.

2019-NQM2,

Class

A1

a,b

4,138,342

Cascade

Funding

Mortgage

Trust

2,538,255

4.000%, 

10/25/2068,

Ser.

2018-RM2,

Class

A

a,b

2,508,810

Civic

Mortgage,

LLC

1,559,470

4.349%, 

11/25/2022,

Ser.

2018-2,

Class

A1

a,c

1,553,984

COLT

Funding,

LLC

491,359

3.470%, 

7/27/2048,

Ser.

2018-2,

Class

A1

a,b

484,404

1,962,320

2.764%, 

8/25/2049,

Ser.

2019-3,

Class

A1

a,b

1,898,079

Countrywide

Alternative

Loan

Trust

260,706

5.500%, 

11/25/2035,

Ser.

2005-49CB,

Class

A1

232,422

287,051

5.500%, 

2/25/2036,

Ser.

2005-85CB,

Class

2A2

251,055

Credit

Suisse

Mortgage

Capital

Certificates

2,295,564

3.393%, 

2/25/2024,

Ser.

2020-BPL1,

Class

A1

a,c

2,271,269

5,000,000

1.685%, 

(LIBOR

1M

+

0.980%),

5/15/2036,

Ser.

2019-ICE4,

Class

A

a,b

4,699,535

4,769,052

3.322%, 

10/25/2058,

Ser.

2019-RPL8,

Class

A1

a,b

4,950,408

Deephaven

Residential

Mortgage

Trust

4,505,981

2.791%, 

10/25/2059,

Ser.

2019-4A,

Class

A1

a,b

4,233,943

Ellington

Financial

Mortgage

Trust

1,173,367

4.140%, 

10/25/2058,

Ser.

2018-1,

Class

A1FX

a,b

1,159,089

Federal

Home

Loan

Mortgage

Corporation

-

REMIC

1,845,940

3.000%, 

8/15/2040,

Ser.

4364,

Class

A

1,927,049

Federal

National

Mortgage

Association

-

REMIC

1,844,332

4.000%, 

3/25/2029,

Ser.

2012-74,

Class

V

1,957,832

5,464,053

3.000%, 

2/25/2040,

Ser.

2018-13,

Class

EB

5,592,980

802,080

3.000%, 

1/25/2041,

Ser.

2015-79,

Class

BA

824,482

Limited

Maturity

Bond

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

131

Principal

Amount

Long-Term

Fixed

Income

(98.1%)

Value

Collateralized

Mortgage

Obligations

(18.5%)

-

continued

$

871,862

3.000%, 

8/25/2041,

Ser.

2015-80,

Class

LA

$

911,615

2,971,659

3.000%, 

2/25/2044,

Ser.

2016-81,

Class

PA

3,185,181

Federal

National

Mortgage

Association

Conventional

15-Yr.

Pass

Through

131,362

2.250%, 

6/25/2025,

Ser.

2010-58,

Class

PT

131,918

FWD

Securitization

Trust

3,386,985

2.810%, 

6/25/2049,

Ser.

2019-INV1,

Class

A1

a,b

3,356,789

GCAT

Trust

3,484,181

2.985%, 

2/25/2059,

Ser.

2019-NQM1,

Class

A1

a,c

3,415,987

Genworth

Mortgage

Insurance

Corporation

2,000,000

2.847%, 

(LIBOR

1M

+

1.900%),

11/26/2029,

Ser.

2019-1,

Class

M1

a,b

1,899,058

GMAC

Mortgage

Corporation

Loan

Trust

56,131

1.447%, 

(LIBOR

1M

+

0.500%),

8/25/2035,

Ser.

2005-HE1,

Class

A2

b,d

53,657

297,298

5.750%, 

10/25/2036,

Ser.

2006-HE3,

Class

A2

b

294,085

GS

Mortgage-Backed

Securities

Trust

3,083,871

3.750%, 

10/25/2057,

Ser.

2018-RPL1,

Class

A1A

a

3,133,649

1,204,523

2.625%, 

1/25/2059,

Ser.

2019-SL1,

Class

A1

a,b

1,179,182

GSAA

Home

Equity

Trust

844,141

4.524%, 

8/25/2034,

Ser.

2004-10,

Class

M2

c

796,814

Homeward

Opportunities

Fund

I

Trust

4,316,619

3.454%, 

1/25/2059,

Ser.

2019-1,

Class

A1

a,b

4,152,604

Homeward

Opportunities

Fund

Trust

2,142,573

3.766%, 

6/25/2048,

Ser.

2018-1,

Class

A1

a,b

2,069,171

J.P.

Morgan

Alternative

Loan

Trust

1,088,486

3.828%, 

3/25/2036,

Ser.

2006-A1,

Class

2A1

b

913,841

Legacy

Mortgage

Asset

Trust

3,562,721

4.000%, 

1/25/2059,

Ser.

2019-GS1,

Class

A1

a

3,213,875

3,424,270

3.250%, 

11/25/2059,

Ser.

2019-GS7,

Class

A1

a,c

3,455,825

Long

Beach

Mortgage

Loan

Trust

868,686

1.817%, 

(LIBOR

1M

+

0.870%),

2/25/2035,

Ser.

2005-1,

Class

M3

b

852,304

Master

Asset

Securitization

Trust

918,000

1.447%, 

(LIBOR

1M

+

0.500%),

6/25/2036,

Ser.

2006-2,

Class

2A2

b

271,842

Merrill

Lynch

Mortgage

Investors

Trust

250,472

2.132%, 

(LIBOR

1M

+

1.185%),

7/25/2035,

Ser.

2004-WMC5,

Class

M3

b

243,822

Principal

Amount

Long-Term

Fixed

Income

(98.1%)

Value

Collateralized

Mortgage

Obligations

(18.5%)

-

continued

Mortgage

Equity

Conversion

Asset

Trust

$

2,951,636

0.660%, 

(CMT

1Y

+

0.490%),

1/25/2042,

Ser.

2007-FF1,

Class

A

a,b

$

2,690,595

2,881,089

0.660%, 

(CMT

1Y

+

0.470%),

2/25/2042,

Ser.

2007-FF2,

Class

A

a,b

2,650,398

New

Residential

Mortgage,

LLC

2,593,692

3.790%, 

7/25/2054,

Ser.

2018-FNT2,

Class

A

a

2,588,578

Oaktown

Re

II,

Ltd.

413,433

2.497%, 

(LIBOR

1M

+

1.550%),

7/25/2028,

Ser.

2018-1A,

Class

M1

a,b

411,260

Preston

Ridge

Partners

Mortgage

Trust,

LLC

1,124,004

4.500%, 

1/25/2024,

Ser.

2019-1A,

Class

A1

a,c

1,134,572

2,072,350

3.967%, 

4/25/2024,

Ser.

2019-2A,

Class

A1

a,c

1,853,654

3,745,131

3.500%, 

10/25/2024,

Ser.

2019-GS1,

Class

A1

a,b

3,723,734

2,901,927

3.351%, 

11/25/2024,

Ser.

2019-4A,

Class

A1

a,c

2,857,142

1,972,606

2.981%, 

2/25/2025,

Ser.

2020-1A,

Class

A1

a,c

1,558,767

Pretium

Mortgage

Credit

Partners,

LLC

3,930,163

2.858%, 

5/27/2059,

Ser.

2020-NPL1,

Class

A1

a,c

3,070,000

Radnor

RE,

Ltd.

1,079,254

2.347%, 

(LIBOR

1M

+

1.400%),

3/25/2028,

Ser.

2018-1,

Class

M1

a,b

1,076,849

RCO

Mortgage,

LLC

3,782,337

3.475%, 

11/25/2024,

Ser.

2019-2,

Class

A1

a,c

3,594,047

3,144,075

4.270%, 

12/26/2053,

Ser.

2018-VFS1,

Class

A1

a,b

3,083,944

Renaissance

Home

Equity

Loan

Trust

1,143,810

5.285%, 

1/25/2037,

Ser.

2006-4,

Class

AF2

c

486,087

Residential

Asset

Securitization

Trust

588,886

5.750%, 

2/25/2036,

Ser.

2005-A15,

Class

5A1

352,161

Residential

Funding

Mortgage

Security

I

Trust

361,609

5.500%, 

10/25/2021,

Ser.

2006-S10,

Class

2A1

339,492

Silver

Hill

Trust

1,906,336

3.046%, 

11/25/2049,

Ser.

2019-SBC1,

Class

A1

a,b

1,773,777

Specialty

Underwriting

and

Residential

Finance

Trust

3,069,670

1.947%, 

(LIBOR

1M

+

1.000%),

7/25/2035,

Ser.

2004-BC3,

Class

A2C

b

2,488,454

3,415,622

1.927%, 

(LIBOR

1M

+

0.980%),

10/25/2035,

Ser.

2004-BC4,

Class

A2C

b

2,999,130

Stanwich

Mortgage

Loan

Trust

3,252,744

3.475%, 

11/16/2024,

Ser.

2019-NPB2,

Class

A1

a,c

3,177,249

Limited

Maturity

Bond

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

132

Principal

Amount

Long-Term

Fixed

Income

(98.1%)

Value

Collateralized

Mortgage

Obligations

(18.5%)

-

continued

Starwood

Mortgage

Residential

Trust

$

2,586,229

4.121%, 

10/25/2048,

Ser.

2018-IMC2,

Class

A1

a,b

$

2,540,386

Terwin

Mortgage

Trust

1,402,919

1.947%, 

(LIBOR

1M

+

1.000%),

12/25/2034,

Ser.

2004-21HE,

Class

2M2

a,b

1,260,666

Toorak

Mortgage

Corporation

3,500,000

4.375%, 

8/25/2021,

Ser.

2018-1,

Class

A1

a,c

3,053,988

5,250,000

4.458%, 

3/25/2022,

Ser.

2019-1,

Class

A1

a,c

4,600,663

2,500,000

3.721%, 

9/25/2022,

Ser.

2019-2,

Class

A1

2,232,967

2,500,000

2.734%, 

3/25/2023,

Ser.

2020-1,

Class

A1

a,c

2,469,176

TVC

Mortgage

Trust

2,800,000

3.474%, 

9/25/2024,

Ser.

2020-RTL1,

Class

A1

a

2,229,839

Vericrest

Opportunity

Loan

Transferee

2,456,358

2.981%, 

3/25/2050,

Ser.

2020-NPL4,

Class

A1

a,c

2,144,100

1,278,754

3.352%, 

8/25/2049,

Ser.

2019-NPL4,

Class

A1A

a,c

1,159,767

2,500,000

4.090%, 

11/25/2049,

Ser.

2019-NPL8,

Class

A1B

a,c

1,862,300

3,406,351

3.376%, 

11/26/2049,

Ser.

2019-NPL9,

Class

A1A

a,c

3,013,376

2,000,000

4.090%, 

11/26/2049,

Ser.

2019-NPL9,

Class

A1B

a,c

1,500,593

2,572,988

3.426%, 

12/27/2049,

Ser.

2019-NP10,

Class

A1A

a,c

2,366,063

Verus

Securitization

Trust

2,833,861

3.836%, 

2/25/2059,

Ser.

2019-1,

Class

A1

a,b

2,749,957

3,526,136

3.211%, 

5/25/2059,

Ser.

2019-2,

Class

A1

a,b

3,452,497

3,490,615

2.913%, 

7/25/2059,

Ser.

2019-INV2,

Class

A1

a,b

3,436,449

Wachovia

Asset

Securitization,

Inc.

414,949

1.087%, 

(LIBOR

1M

+

0.140%),

7/25/2037,

Ser.

2007-HE1,

Class

A

a,b,d

373,056

Wachovia

Mortgage

Loan

Trust,

LLC

273,554

4.180%, 

5/20/2036,

Ser.

2006-A,

Class

2A1

b

248,601

WaMu

Mortgage

Pass

Through

Certificates

1,898,816

2.846%, 

(12

MTA

+

0.880%),

10/25/2046,

Ser.

2006-AR13,

Class

1A

b

1,503,860

Total

175,714,434

Commercial

Mortgage-Backed

Securities

(0.3%)

Federal

National

Mortgage

Association

-

ACES

2,012,353

3.560%, 

9/25/2021,

Ser.

2018-M5,

Class

A2

b

2,039,085

Principal

Amount

Long-Term

Fixed

Income

(98.1%)

Value

Commercial

Mortgage-Backed

Securities

(0.3%)

-

continued

GSAA

Home

Equity

Trust

$

1,025,867

2.897%, 

(LIBOR

1M

+

1.950%),

5/25/2034,

Ser.

2004-4,

Class

M2

b

$

997,184

Total

3,036,269

Communications

Services

(2.2%)

American

Tower

Corporation

2,200,000

3.450%, 

9/15/2021

2,211,179

1,500,000

3.375%, 

5/15/2024

1,506,901

AT&T,

Inc.

1,000,000

3.200%, 

3/1/2022

1,014,429

2,000,000

2.594%, 

(LIBOR

3M

+

0.890%),

2/15/2023

b

1,887,480

Charter

Communications

Operating,

LLC

1,000,000

3.579%, 

7/23/2020

996,891

1,875,000

4.500%, 

2/1/2024

1,932,197

Cox

Communications,

Inc.

1,500,000

3.150%, 

8/15/2024

a

1,533,912

Crown

Castle

International

Corporation

250,000

3.400%, 

2/15/2021

251,682

1,000,000

2.250%, 

9/1/2021

985,995

1,000,000

3.200%, 

9/1/2024

997,042

Discovery

Communications,

LLC

2,000,000

2.950%, 

3/20/2023

1,995,767

Fox

Corporation

1,000,000

3.666%, 

1/25/2022

a

1,021,310

940,000

3.050%, 

4/7/2025

e

938,534

Omnicom

Group,

Inc.

1,242,000

3.625%, 

5/1/2022

1,262,655

Vodafone

Group

PLC

1,875,000

2.950%, 

2/19/2023

1,914,090

Total

20,450,064

Consumer

Cyclical

(2.6%)

Alibaba

Group

Holding,

Ltd.

500,000

2.800%, 

6/6/2023

508,402

American

Honda

Finance

Corporation

950,000

1.950%, 

5/10/2023

926,382

BMW

U.S.

Capital,

LLC

2,000,000

3.150%, 

4/18/2024

a

1,983,569

Daimler

Finance

North

America,

LLC

2,000,000

2.271%, 

(LIBOR

3M

+

0.530%),

5/5/2020

a,b

1,996,906

875,000

1.750%, 

3/10/2023

a

823,884

1,000,000

2.591%, 

(LIBOR

3M

+

0.840%),

5/4/2023

a,b

869,403

Ford

Motor

Credit

Company,

LLC

1,000,000

2.927%, 

(LIBOR

3M

+

1.235%),

2/15/2023

b

789,281

General

Motors

Financial

Company,

Inc.

1,900,000

3.950%, 

4/13/2024

1,722,017

1,420,000

2.900%, 

2/26/2025

1,227,321

Harley-Davidson

Financial

Services,

Inc.

511,000

4.050%, 

2/4/2022

a

499,531

Home

Depot,

Inc.

1,900,000

4.400%, 

4/1/2021

1,934,019

Hyundai

Capital

Services,

Inc.

1,000,000

3.000%, 

3/6/2022

a

994,829

Limited

Maturity

Bond

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

133

Principal

Amount

Long-Term

Fixed

Income

(98.1%)

Value

Consumer

Cyclical

(2.6%)

-

continued

$

1,500,000

3.000%, 

8/29/2022

a

$

1,491,616

Lennar

Corporation

990,000

4.875%, 

12/15/2023

970,200

350,000

5.875%, 

11/15/2024

354,025

Lowe's

Companies,

Inc.

700,000

4.000%, 

4/15/2025

748,296

Ralph

Lauren

Corporation

275,000

2.625%, 

8/18/2020

275,262

Target

Corporation

940,000

2.250%, 

4/15/2025

954,322

TJX

Companies,

Inc.

1,175,000

3.500%, 

4/15/2025

1,201,804

Toyota

Motor

Credit

Corporation

925,000

1.800%, 

2/13/2025

892,609

Volkswagen

Group

of

America

Finance,

LLC

2,000,000

4.250%, 

11/13/2023

a

1,976,060

1,500,000

2.850%, 

9/26/2024

a

1,414,076

Total

24,553,814

Consumer

Non-Cyclical

(5.0%)

Abbott

Laboratories

1,263,000

2.550%, 

3/15/2022

1,273,895

AbbVie,

Inc.

1,900,000

2.300%, 

11/21/2022

a

1,898,252

1,920,000

3.600%, 

5/14/2025

2,022,858

Allergan

Funding

SCS

2,000,000

3.850%, 

6/15/2024

2,094,691

Altria

Group,

Inc.

2,000,000

3.800%, 

2/14/2024

2,027,453

Amgen,

Inc.

1,320,000

1.900%, 

2/21/2025

1,328,483

Anheuser-Busch

InBev

Finance,

Inc.

1,272,000

3.300%, 

2/1/2023

1,308,890

Becton,

Dickinson

and

Company

750,000

2.250%, 

(LIBOR

3M

+

0.875%),

12/29/2020

b

724,687

2,050,000

3.125%, 

11/8/2021

2,056,666

Boston

Scientific

Corporation

1,840,000

3.450%, 

3/1/2024

1,888,198

Bristol-Myers

Squibb

Company

2,000,000

3.625%, 

5/15/2024

a

2,113,294

Cargill,

Inc.

1,000,000

3.250%, 

3/1/2023

a

1,039,553

Centene

Corporation

1,050,000

5.375%, 

8/15/2026

a

1,071,000

CK

Hutchison

International,

Ltd.

2,000,000

2.750%, 

3/29/2023

a

2,042,902

Coca-Cola

Company

900,000

2.950%, 

3/25/2025

962,831

Conagra

Brands,

Inc.

1,750,000

4.300%, 

5/1/2024

1,816,996

Constellation

Brands,

Inc.

1,000,000

2.700%, 

5/9/2022

979,166

500,000

3.200%, 

2/15/2023

498,697

CVS

Health

Corporation

1,750,000

3.700%, 

3/9/2023

1,821,729

1,000,000

4.000%, 

12/5/2023

1,044,169

1,000,000

4.100%, 

3/25/2025

1,052,417

General

Mills,

Inc.

1,500,000

2.846%, 

(LIBOR

3M

+

1.010%),

10/17/2023

b

1,449,997

Imperial

Brands

Finance

plc

1,750,000

3.125%, 

7/26/2024

a

1,710,870

Principal

Amount

Long-Term

Fixed

Income

(98.1%)

Value

Consumer

Non-Cyclical

(5.0%)

-

continued

Imperial

Tobacco

Finance

plc

$

1,500,000

3.750%, 

7/21/2022

a

$

1,499,363

Mead

Johnson

Nutrition

Company

1,000,000

3.000%, 

11/15/2020

998,064

Mylan

NV

975,000

3.150%, 

6/15/2021

966,017

Novartis

Capital

Corporation

2,100,000

1.750%, 

2/14/2025

2,121,057

PepsiCo,

Inc.

1,400,000

2.250%, 

3/19/2025

1,453,322

Smithfield

Foods,

Inc.

2,000,000

2.650%, 

10/3/2021

a

1,872,189

Thermo

Fisher

Scientific,

Inc.

700,000

4.133%, 

3/25/2025

750,055

UnitedHealth

Group,

Inc.

1,000,000

3.500%, 

2/15/2024

1,064,070

Zimmer

Biomet

Holdings,

Inc.

1,500,000

1.802%, 

(LIBOR

3M

+

0.750%),

3/19/2021

b

1,481,920

Zoetis,

Inc.

1,450,000

3.250%, 

2/1/2023

1,482,233

Total

47,915,984

Energy

(2.6%)

BP

Capital

Markets

America,

Inc.

1,500,000

1.702%, 

(LIBOR

3M

+

0.650%),

9/19/2022

b

1,435,078

1,000,000

3.790%, 

2/6/2024

1,036,230

Continental

Resources,

Inc.

1,900,000

4.500%, 

4/15/2023

1,045,068

Diamondback

Energy,

Inc.

950,000

2.875%, 

12/1/2024

663,678

Encana

Corporation

1,000,000

3.900%, 

11/15/2021

685,737

Energy

Transfer

Operating,

LP

1,660,000

4.200%, 

9/15/2023

1,449,932

950,000

2.900%, 

5/15/2025

802,169

EOG

Resources,

Inc.

1,025,000

2.625%, 

3/15/2023

1,004,728

Exxon

Mobil

Corporation

1,785,000

1.371%, 

(LIBOR

3M

+

0.370%),

3/6/2022

b

1,680,147

1,100,000

2.992%, 

3/19/2025

1,159,062

Hess

Corporation

2,000,000

3.500%, 

7/15/2024

1,588,238

Marathon

Oil

Corporation

1,000,000

2.800%, 

11/1/2022

765,412

Marathon

Petroleum

Corporation

1,325,000

3.400%, 

12/15/2020

1,312,648

MPLX,

LP

500,000

3.500%, 

12/1/2022

a

478,573

1,500,000

4.875%, 

6/1/2025

1,235,267

Newfield

Exploration

Company

1,000,000

5.750%, 

1/30/2022

680,888

550,000

5.625%, 

7/1/2024

295,191

ONEOK,

Inc.

1,000,000

2.750%, 

9/1/2024

816,543

Petroleos

Mexicanos

1,201,750

2.378%, 

4/15/2025

1,232,056

Plains

All

American

Pipeline,

LP

2,000,000

3.850%, 

10/15/2023

1,760,565

Schlumberger

Holdings

Corporation

1,500,000

3.750%, 

5/1/2024

a

1,419,616

Limited

Maturity

Bond

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

134

Principal

Amount

Long-Term

Fixed

Income

(98.1%)

Value

Energy

(2.6%)

-

continued

Transcontinental

Gas

Pipe

Line

Company,

LLC

$

600,000

7.850%, 

2/1/2026

$

683,245

Williams

Partners,

LP

1,325,000

3.600%, 

3/15/2022

1,284,256

Total

24,514,327

Financials

(15.6%)

ABN

AMRO

Bank

NV

1,900,000

2.450%, 

6/4/2020

a

1,890,933

AerCap

Ireland

Capital

Designated

Activity

Company

and

AerCap

Global

Aviation

Trust

1,000,000

3.300%, 

1/23/2023

829,996

American

Express

Credit

Corporation

850,000

1.791%, 

(LIBOR

3M

+

1.050%),

9/14/2020

b

845,398

American

International

Group,

Inc.

1,150,000

3.300%, 

3/1/2021

1,150,852

Athene

Global

Funding

2,000,000

3.138%, 

(LIBOR

3M

+

1.230%),

7/1/2022

a,b

2,012,512

Australia

and

New

Zealand

Banking

Group,

Ltd.

1,890,000

2.950%, 

7/22/2030

a,b

1,790,841

Banco

Santander

SA

800,000

2.968%, 

(LIBOR

3M

+

1.120%),

4/12/2023

b

768,811

Bank

of

America

Corporation

500,000

2.816%, 

7/21/2023

b

501,925

1,775,000

4.200%, 

8/26/2024

1,886,676

1,000,000

3.458%, 

3/15/2025

b

1,031,364

1,900,000

2.456%, 

10/22/2025

b

1,916,075

Bank

of

Montreal

1,500,000

3.300%, 

2/5/2024

1,566,326

Bank

of

New

York

Mellon

Corporation

1,885,000

1.850%, 

1/27/2023

1,893,078

Bank

of

New

Zealand

875,000

2.000%, 

2/21/2025

a

856,350

Bank

of

Nova

Scotia

1,175,000

1.950%, 

2/1/2023

1,168,234

Barclays

plc

1,250,000

3.250%, 

1/12/2021

1,241,613

1,000,000

3.684%, 

1/10/2023

1,002,553

2,000,000

3.072%, 

(LIBOR

3M

+

1.380%),

5/16/2024

b

1,761,211

BNP

Paribas

SA

960,000

2.819%, 

11/19/2025

a,b

948,418

BPCE

SA

1,000,000

2.903%, 

(LIBOR

3M

+

1.220%),

5/22/2022

a,b

960,660

950,000

2.375%, 

1/14/2025

a

882,195

Branch

Banking

and

Trust

Company

1,800,000

2.150%, 

12/6/2024

1,783,009

Canadian

Imperial

Bank

of

Commerce

1,875,000

2.250%, 

1/28/2025

1,853,120

Capital

One

Bank

USA

NA

1,875,000

2.014%, 

1/27/2023

b

1,831,179

Capital

One

Financial

Corporation

2,000,000

2.473%, 

(LIBOR

3M

+

0.760%),

5/12/2020

b

1,997,422

1,500,000

3.900%, 

1/29/2024

1,504,225

Principal

Amount

Long-Term

Fixed

Income

(98.1%)

Value

Financials

(15.6%)

-

continued

Capital

One

NA

$

1,000,000

2.554%, 

(LIBOR

3M

+

0.820%),

8/8/2022

b

$

978,541

Citigroup,

Inc.

1,500,000

2.754%, 

(LIBOR

3M

+

0.960%),

4/25/2022

b

1,468,643

1,890,000

2.312%, 

11/4/2022

b

1,878,844

1,800,000

4.000%, 

8/5/2024

1,865,562

CNA

Financial

Corporation

1,250,000

5.750%, 

8/15/2021

1,280,846

Comerica,

Inc.

750,000

3.700%, 

7/31/2023

769,666

Compass

Bank

1,500,000

2.875%, 

6/29/2022

1,462,160

Cooperatieve

Centrale

Raiffeisen-

Boerenleenbank

BA

1,600,000

2.500%, 

1/19/2021

1,600,739

Credit

Suisse

Group

AG

1,500,000

6.500%, 

8/8/2023

a

1,521,870

990,000

7.500%, 

12/11/2023

a,b,f

952,875

Danske

Bank

AS

1,500,000

5.375%, 

1/12/2024

a

1,579,002

Discover

Bank

1,250,000

2.450%, 

9/12/2024

1,197,584

Fifth

Third

Bancorp

1,185,000

2.875%, 

10/1/2021

1,195,323

1,900,000

2.375%, 

1/28/2025

1,850,489

First

Republic

Bank

940,000

1.912%, 

2/12/2024

b

901,535

FNB

Corporation

1,315,000

2.200%, 

2/24/2023

1,289,822

Goldman

Sachs

Group,

Inc.

940,000

3.500%, 

4/1/2025

953,199

1,915,000

3.272%, 

9/29/2025

b

1,952,868

HCP,

Inc.

1,175,000

4.250%, 

11/15/2023

1,110,350

HSBC

Bank

Canada

1,000,000

3.300%, 

11/28/2021

a

1,025,393

HSBC

Holdings

plc

1,325,000

3.400%, 

(LIBOR

3M

+

1.500%),

1/5/2022

b

1,270,388

2,000,000

3.262%, 

3/13/2023

b

2,002,913

1,500,000

6.250%, 

3/23/2023

b,f,g

1,389,375

Huntington

Bancshares,

Inc.

1,550,000

3.150%, 

3/14/2021

1,553,972

ING

Groep

NV

1,650,000

6.000%, 

4/16/2020

b,f

1,564,200

2,600,000

2.525%, 

(LIBOR

3M

+

1.150%),

3/29/2022

b

2,506,982

500,000

4.625%, 

1/6/2026

a

526,979

International

Lease

Finance

Corporation

1,560,000

5.875%, 

8/15/2022

1,394,598

J.P.

Morgan

Chase

&

Company

1,250,000

5.300%, 

5/1/2020

b,f

1,171,875

1,750,000

3.875%, 

9/10/2024

1,847,897

1,500,000

2.684%, 

(LIBOR

3M

+

0.850%),

1/10/2025

b

1,351,535

JPMorgan

Chase

&

Company

800,000

2.005%, 

3/13/2026

b

790,096

Kilroy

Realty,

LP

750,000

3.800%, 

1/15/2023

763,362

Lincoln

National

Corporation

1,000,000

4.000%, 

9/1/2023

1,000,178

Limited

Maturity

Bond

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

135

Principal

Amount

Long-Term

Fixed

Income

(98.1%)

Value

Financials

(15.6%)

-

continued

Lloyds

Banking

Group

plc

$

1,500,000

2.858%, 

3/17/2023

b

$

1,478,772

2,000,000

2.907%, 

11/7/2023

b

1,997,451

350,000

4.582%, 

12/10/2025

360,077

Macquarie

Group,

Ltd.

1,500,000

2.633%, 

(LIBOR

3M

+

1.020%),

11/28/2023

a,b

1,399,860

Mitsubishi

UFJ

Financial

Group,

Inc.

1,121,000

1.833%, 

(LIBOR

3M

+

1.060%),

9/13/2021

b

1,104,008

1,400,000

2.599%, 

(LIBOR

3M

+

0.920%),

2/22/2022

b

1,262,963

875,000

2.193%, 

2/25/2025

866,365

Mizuho

Financial

Group

Cayman

3,

Ltd.

825,000

4.600%, 

3/27/2024

a

865,399

Mizuho

Financial

Group,

Inc.

1,325,000

1.913%, 

(LIBOR

3M

+

1.140%),

9/13/2021

b

1,286,624

1,500,000

2.555%, 

9/13/2025

b

1,481,601

Morgan

Stanley

1,000,000

5.441%, 

(LIBOR

3M

+

3.610%),

7/15/2020

b,f

842,500

1,800,000

4.100%, 

5/22/2023

1,864,207

750,000

2.720%, 

7/22/2025

b

759,284

1,750,000

5.000%, 

11/24/2025

1,934,437

National

Bank

of

Canada

950,000

2.100%, 

2/1/2023

945,389

Nationwide

Building

Society

2,000,000

3.766%, 

3/8/2024

a,b

1,941,098

New

York

Life

Global

Funding

950,000

2.000%, 

1/22/2025

a,g

944,061

Nomura

Holdings,

Inc.

1,890,000

2.648%, 

1/16/2025

1,849,997

PayPal

Holdings,

Inc.

1,000,000

2.200%, 

9/26/2022

995,118

1,000,000

2.400%, 

10/1/2024

1,004,902

Peachtree

Corners

Funding

Trust

1,375,000

3.976%, 

2/15/2025

a

1,380,267

Realty

Income

Corporation

2,000,000

3.250%, 

10/15/2022

2,007,723

Reinsurance

Group

of

America,

Inc.

2,000,000

4.700%, 

9/15/2023

2,201,731

Royal

Bank

of

Canada

1,900,000

1.950%, 

1/17/2023

1,880,782

Royal

Bank

of

Scotland

Group

plc

2,000,000

3.162%, 

(LIBOR

3M

+

1.470%),

5/15/2023

b

1,899,431

1,000,000

3.498%, 

5/15/2023

b

987,294

Santander

Holdings

USA,

Inc.

1,000,000

3.400%, 

1/18/2023

987,914

Santander

UK

Group

Holdings

plc

750,000

3.125%, 

1/8/2021

748,249

Santander

UK

plc

950,000

2.100%, 

1/13/2023

921,417

Simon

Property

Group,

LP

1,390,000

2.500%, 

9/1/2020

1,379,992

1,600,000

2.500%, 

7/15/2021

1,578,040

Societe

Generale

SA

1,800,000

2.625%, 

10/16/2024

a

1,703,502

Stadshypotek

AB

2,000,000

2.500%, 

4/5/2022

a

2,030,456

Standard

Chartered

plc

1,175,000

3.950%, 

1/11/2023

a

1,120,257

Principal

Amount

Long-Term

Fixed

Income

(98.1%)

Value

Financials

(15.6%)

-

continued

State

Street

Corporation

$

2,499,000

2.592%, 

(LIBOR

3M

+

0.900%),

8/18/2020

b

$

2,485,006

250,000

2.825%, 

3/30/2023

a,b

252,282

1,415,000

2.354%, 

11/1/2025

b

1,400,500

Sumitomo

Mitsui

Financial

Group,

Inc.

1,700,000

2.448%, 

9/27/2024

1,695,143

SunTrust

Banks,

Inc.

775,000

2.900%, 

3/3/2021

776,756

Synchrony

Financial

250,000

2.850%, 

7/25/2022

238,157

1,485,000

4.250%, 

8/15/2024

1,429,790

Synovus

Bank

940,000

2.289%, 

2/10/2023

b

926,334

U.S.

Bank

NA

1,800,000

2.050%, 

1/21/2025

1,790,838

USB

Realty

Corporation

95,000

2.978%, 

(LIBOR

3M

+

1.147%),

1/15/2022

a,b,f

71,250

Ventas

Realty,

LP

2,000,000

3.100%, 

1/15/2023

1,959,370

Voya

Financial,

Inc.

500,000

5.650%, 

5/15/2053

b

458,255

Wells

Fargo

&

Company

750,000

3.450%, 

2/13/2023

771,116

1,500,000

3.750%, 

1/24/2024

1,587,999

1,890,000

2.406%, 

10/30/2025

b

1,862,361

Westpac

Banking

Corporation

945,000

2.000%, 

1/13/2023

934,156

500,000

2.000%, 

1/16/2025

a

517,557

940,000

2.894%, 

2/4/2030

b

901,882

Total

147,914,557

Mortgage-Backed

Securities

(4.2%)

Federal

Home

Loan

Mortgage

Corporation

Conventional

30-Yr.

Pass

Through

1,995,024

3.000%, 

3/25/2050

2,092,553

357,605

3.000%, 

8/1/2047

377,162

Federal

National

Mortgage

Association

821,865

3.500%, 

10/1/2048

867,922

3,301,565

3.500%, 

2/1/2049

3,483,270

938,916

3.500%, 

8/1/2049

994,316

Federal

National

Mortgage

Association

Conventional

15-Yr.

Pass

Through

14,400,000

2.000%, 

5/1/2035

e

14,778,000

10,100,000

2.500%, 

5/1/2035

e

10,472,437

1,878,000

3.000%, 

5/1/2035

e

1,961,488

Federal

National

Mortgage

Association

Conventional

30-Yr.

Pass

Through

2,200,000

2.500%, 

5/1/2050

e

2,276,243

297,570

3.443%, 

(LIBOR

12M

+

1.482%),

1/1/2043

b

299,523

2,199,259

4.000%, 

7/1/2048

2,348,597

112,000

3.000%, 

5/1/2049

e

117,280

Total

40,068,791

Technology

(1.9%)

Apple,

Inc.

1,735,000

2.007%, 

(LIBOR

3M

+

0.300%),

5/6/2020

b

1,734,548

Limited

Maturity

Bond

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

136

Principal

Amount

Long-Term

Fixed

Income

(98.1%)

Value

Technology

(1.9%)

-

continued

Broadcom

Corporation

$

2,000,000

3.125%, 

1/15/2025

$

1,917,392

Dell

International,

LLC/

EMC

Corporation

1,500,000

4.000%, 

7/15/2024

a

1,513,323

Fiserv,

Inc.

2,000,000

2.750%, 

7/1/2024

1,988,591

Global

Payments,

Inc.

875,000

2.650%, 

2/15/2025

867,315

Hewlett

Packard

Enterprise

Company

1,750,000

3.500%, 

10/5/2021

1,758,606

Intel

Corporation

900,000

3.400%, 

3/25/2025

972,006

Marvell

Technology

Group,

Ltd.

1,000,000

4.200%, 

6/22/2023

1,022,291

Oracle

Corporation

1,055,000

2.500%, 

4/1/2025

1,077,019

Panasonic

Corporation

1,000,000

2.536%, 

7/19/2022

a

984,537

1,000,000

2.679%, 

7/19/2024

a

976,378

Seagate

HDD

Cayman

1,060,000

4.250%, 

3/1/2022

1,062,075

Texas

Instruments,

Inc.

1,000,000

1.750%, 

5/1/2020

999,527

500,000

1.375%, 

3/12/2025

495,087

VMware,

Inc.

1,000,000

2.950%, 

8/21/2022

1,002,506

Total

18,371,201

Transportation

(2.1%)

Air

Canada

Pass

Through

Trust

987,255

3.875%, 

3/15/2023

a

918,652

Air

Lease

Corporation

1,750,000

3.500%, 

1/15/2022

1,594,828

1,500,000

4.250%, 

2/1/2024

1,275,263

Aircastle

,

Ltd.

1,500,000

4.400%, 

9/25/2023

1,450,058

American

Airlines

Pass

Through

Trust

707,723

4.950%, 

1/15/2023

719,189

657,607

3.700%, 

5/1/2023

589,044

Avolon

Holdings

Funding,

Ltd.

1,500,000

3.950%, 

7/1/2024

a

1,254,214

British

Airways

plc

1,052,297

4.625%, 

6/20/2024

a

1,044,119

Continental

Airlines,

Inc.

2,210,255

4.150%, 

4/11/2024

2,381,520

Delta

Air

Lines,

Inc.

323,434

4.750%, 

5/7/2020

323,531

1,900,000

2.900%, 

10/28/2024

1,520,738

ERAC

USA

Finance,

LLC

1,600,000

2.600%, 

12/1/2021

a

1,601,639

J.B.

Hunt

Transport

Services,

Inc.

1,175,000

3.300%, 

8/15/2022

1,129,373

Penske

Truck

Leasing

Company,

LP

750,000

3.650%, 

7/29/2021

a

759,204

1,000,000

2.700%, 

11/1/2024

a

933,260

1,000,000

3.950%, 

3/10/2025

a

1,034,639

Ryder

System,

Inc.

1,000,000

3.400%, 

3/1/2023

1,009,763

TTX

Company

800,000

4.125%, 

10/1/2023

a

833,704

Total

20,372,738

Principal

Amount

Long-Term

Fixed

Income

(98.1%)

Value

U.S.

Government

&

Agencies

(20.3%)

Federal

Home

Loan

Bank

$

6,500,000

2.500%, 

2/13/2024

$

7,001,932

3,000,000

1.500%, 

8/15/2024

3,127,626

Federal

National

Mortgage

Association

3,000,000

2.875%, 

9/12/2023

3,244,366

U.S.

Treasury

Bonds

1,325,000

2.250%, 

11/15/2027

1,490,573

1,335,000

5.500%, 

8/15/2028

1,868,426

17,250,000

2.625%, 

2/15/2029

20,170,371

6,100,000

1.500%, 

2/15/2030

6,576,086

U.S.

Treasury

Notes

4,395,000

1.125%, 

8/31/2021

4,452,341

31,400,000

2.500%, 

1/15/2022

32,670,719

7,000,000

1.125%, 

2/28/2022

7,117,852

1,500,000

1.875%, 

7/31/2022

1,555,840

14,585,000

2.000%, 

11/30/2022

15,251,580

4,000,000

1.375%, 

2/15/2023

4,126,875

7,350,000

2.750%, 

7/31/2023

7,946,613

17,345,000

2.500%, 

1/31/2024

18,780,705

3,575,000

1.250%, 

8/31/2024

3,716,604

29,800,000

1.375%, 

1/31/2025

31,222,484

2,000,000

2.875%, 

7/31/2025

2,257,656

18,125,000

2.625%, 

1/31/2026

20,364,429

Total

192,943,078

Utilities

(3.3%)

Ameren

Corporation

1,150,000

2.700%, 

11/15/2020

1,146,574

750,000

2.500%, 

9/15/2024

729,323

American

Electric

Power

Company,

Inc.

1,000,000

3.650%, 

12/1/2021

1,012,116

Berkshire

Hathaway

Energy

Company

1,575,000

4.050%, 

4/15/2025

a

1,698,718

CenterPoint

Energy,

Inc.

1,750,000

3.850%, 

2/1/2024

1,775,222

DTE

Energy

Company

1,500,000

3.700%, 

8/1/2023

1,513,782

1,500,000

2.529%, 

10/1/2024

1,458,079

Edison

International

1,420,000

2.950%, 

3/15/2023

1,373,777

Enel

Finance

International

NV

2,000,000

2.750%, 

4/6/2023

a

1,886,497

Exelon

Corporation

1,650,000

2.850%, 

6/15/2020

1,649,818

1,250,000

3.497%, 

6/1/2022

1,210,013

Florida

Power

&

Light

Company

1,150,000

2.850%, 

4/1/2025

1,209,364

Georgia

Power

Company

950,000

2.100%, 

7/30/2023

926,415

ITC

Holdings

Corporation

1,500,000

2.700%, 

11/15/2022

1,489,427

Jersey

Central

Power

&

Light

Company

1,500,000

4.300%, 

1/15/2026

a

1,603,586

National

Rural

Utilities

Cooperative

Finance

Corporation

1,150,000

4.750%, 

4/30/2043

b

1,145,078

NiSource

Finance

Corporation

1,000,000

2.650%, 

11/17/2022

1,008,755

NiSource,

Inc.

1,250,000

5.650%, 

6/15/2023

b,f

1,112,500

PPL

Capital

Funding,

Inc.

1,580,000

3.500%, 

12/1/2022

1,581,110

Limited

Maturity

Bond

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

137

Principal

Amount

Long-Term

Fixed

Income

(98.1%)

Value

Utilities

(3.3%)

-

continued

Public

Service

Enterprise

Group,

Inc.

$

2,000,000

2.875%, 

6/15/2024

$

1,993,648

Sempra

Energy

1,875,000

3.550%, 

6/15/2024

1,890,268

Southern

Company

1,500,000

2.950%, 

7/1/2023

1,508,807

Total

30,922,877

Total

Long-Term

Fixed

Income

(cost

$946,364,984)

932,363,834

Shares

Preferred

Stock

(

0.2%

)

Value

Financials

(0.2%)

66,000

Citigroup

Capital

XIII,

8.140%

b

1,689,600

Total

1,689,600

Total

Preferred

Stock

(cost

$1,821,600)

1,689,600

Shares

Collateral

Held

for

Securities

Loaned

(

0.1%

)

Value

1,099,750

Thrivent

Cash

Management

Trust

1,099,750

Total

Collateral

Held

for

Securities

Loaned

(cost

$1,099,750)

1,099,750

Shares

or

Principal

Amount

Short-Term

Investments

(

4.0%

)

Value

Federal

Home

Loan

Bank

Discount

Notes

1,200,000

0.900%,

5/7/2020

h,i

1,199,916

400,000

0.150%,

5/20/2020

h,i

399,962

400,000

0.170%,

6/16/2020

h,i

399,941

Thrivent

Core

Short-Term

Reserve

Fund

3,576,126

1.570%

35,689,734

U.S.

Treasury

Bills

410,000

0.035%,

9/24/2020

h,j,k

409,749

Total

Short-Term

Investments

(cost

$38,102,459)

38,099,302

Total

Investments

(cost

$987,388,793)

102.4%

$973,252,486

Other

Assets

and

Liabilities,

Net

(2.4%)

(22,696,274)

Total

Net

Assets

100.0%

$950,556,212

a

Denotes

securities

sold

under

Rule

144A

of

the

Securities

Act

of

1933,

which

exempts

them

from

registration.

These

securities

may

be

resold

to

other

dealers

in

the

program

or

to

other

qualified

institutional

buyers.

As

of

March

31,

2020,

the

value

of

these

investments

was

$371,875,198

or

39.1%

of

total

net

assets.

b

Denotes

variable

rate

securities.

The

rate

shown

is

as

of

March

31,

2020.

The

rates

of

certain

variable

rate

securities

are

based

on

a

published

reference

rate

and

spread;

these

may

vary

by

security

and

the

reference

rate

and

spread

are

indicated

in

their

description.  The

rates

of

other

variable

rate

securities

are

determined

by

the

issuer

or

agent

and

are

based

on

current

market

conditions.  These

securities

do

not

indicate

a

reference

rate

and

spread

in

their

description.  

c

Denotes

step

coupon

securities.

Step

coupon

securities

pay

an

initial

coupon

rate

for

the

first

period

and

then

different

coupon

rates

for

following

periods.

The

rate

shown

is

as

of

March

31,

2020.

d

All

or

a

portion

of

the

security

is

insured

or

guaranteed.

e

Denotes

investments

purchased

on

a

when-issued

or

delayed

delivery

basis.

f

Denotes

perpetual

securities.

Perpetual

securities

pay

an

indefinite

stream

of

income

and

have

no

contractual

maturity

date.

Date

shown,

if

applicable,

is

next

call

date.

g

All

or

a

portion

of

the

security

is

on

loan.

h

The

interest

rate

shown

reflects

the

yield,

coupon

rate

or

the

discount

rate

at

the

date

of

purchase.

i

All

or

a

portion

of

the

security

is

held

on

deposit

with

the

counterparty

and

pledged

as

the

initial

margin

deposit

for

open

futures

contracts.

j

All

or

a

portion

of

the

security

was

earmarked

to

cover

written

options.

k

All

or

a

portion

of

the

security

is

pledged

as

collateral

under

the

agreement

between

the

counterparty,

the

custodian

and

the

fund

for

open

swap

contracts.

The

following

table

presents

the

total

amount

of

securities

loaned

with

continuous

maturity,

by

type,

offset

by

the

gross

payable

upon

return

of

collateral

for

securities

loaned

by

Thrivent

Limited

Maturity

Bond

Portfolio

as

of

March

31,

2020:

Securities

Lending

Transactions

Long-Term

Fixed

Income

$

1,079,624

Total

lending

$1,079,624

Gross

amount

payable

upon

return

of              

collateral

for

securities

loaned

$1,099,750

Net

amounts

due

to

counterparty

$20,126

Definitions:

ACES

-

Alternative

Credit

Enhancement

Securities

CLO

-

Collateralized

Loan

Obligation

HECM

-

Home

Equity

Conversion

Mortgage

REMIC

-

Real

Estate

Mortgage

Investment

Conduit

Ser.

-

Series

Reference

Rate

Index:

12

MTA

-

12

Month

Treasury

Average

CMT

1Y

-

Constant

Maturity

Treasury

Yield

1

Year

CMT

3M

-

Constant

Maturity

Treasury

Yield

3

Month

LIBOR

1M

-

ICE

Libor

USD

Rate

1

Month

LIBOR

3M

-

ICE

Libor

USD

Rate

3

Month

LIBOR

12M

-

ICE

Libor

USD

Rate

12

Month

Limited

Maturity

Bond

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

138

Reference

Description:

CBOT

-

Chicago

Board

of

Trade

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Limited

Maturity

Bond

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Long-Term

Fixed

Income

Asset-Backed

Securities

160,892,379

–

160,892,379

–

Basic

Materials

7,574,777

–

7,574,777

–

Capital

Goods

17,118,544

–

17,118,544

–

Collateralized

Mortgage

Obligations

175,714,434

–

175,714,434

–

Commercial

Mortgage-Backed

Securities

3,036,269

–

3,036,269

–

Communications

Services

20,450,064

–

20,450,064

–

Consumer

Cyclical

24,553,814

–

24,553,814

–

Consumer

Non-Cyclical

47,915,984

–

47,915,984

–

Energy

24,514,327

–

24,514,327

–

Financials

147,914,557

–

147,914,557

–

Mortgage-Backed

Securities

40,068,791

–

40,068,791

–

Technology

18,371,201

–

18,371,201

–

Transportation

20,372,738

–

20,372,738

–

U.S.

Government

&

Agencies

192,943,078

–

192,943,078

–

Utilities

30,922,877

–

30,922,877

–

Preferred

Stock

Financials

1,689,600

1,689,600

–

–

Short-Term

Investments

2,409,568

–

2,409,568

–

Subtotal

Investments

in

Securities

$936,463,002

$1,689,600

$934,773,402

$–

Other

Investments  *

Total

Affiliated

Short-Term

Investments

35,689,734

Collateral

Held

for

Securities

Loaned

1,099,750

Subtotal

Other

Investments

$36,789,484

Total

Investments

at

Value

$973,252,486

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Other

Financial

Instruments

Total

Level

1

Level

2

Level

3

Asset

Derivatives

Futures

Contracts

1,565,903

1,565,903

–

–

Total

Asset

Derivatives

$1,565,903

$1,565,903

$–

$–

Liability

Derivatives

Futures

Contracts

4,768,370

4,768,370

–

–

Credit

Default

Swaps

114,898

–

114,898

–

Total

Liability

Derivatives

$4,883,268

$4,768,370

$114,898

$–

The

following

table

presents

Limited

Maturity

Bond

Portfolio's

futures

contracts

held

as

of

March

31,

2020.

Investments

and/or

cash

totaling

$1,999,819

were

pledged

as

the

initial

margin

deposit

for

these

contracts.

Futures

Contracts

Description

Number

of

Contracts

Long/(Short)

Expiration

Date

Notional

Principal

Amount

Value

and

Unrealized

CBOT

2-Yr.

U.S.

Treasury

Note

398

June

2020

$

86,146,455

$

1,565,903

Total

Futures

Long

Contracts

$

86,146,455

$

1,565,903

CBOT

10-Yr.

U.S.

Treasury

Note

(163)

June

2020

(

$

21,766,225)

(

$

839,837)

CBOT

5-Yr.

U.S.

Treasury

Note

(730)

June

2020

(

88,413,501)

(

3,098,847)

CBOT

U.S.

Long

Bond

(54)

June

2020

(

9,321,098)

(

348,277)

Ultra

10-Yr.

U.S.

Treasury

Note

(59)

June

2020

(

8,724,435)

(

481,409)

Total

Futures

Short

Contracts

(

$

128,225,259)

($4,768,370)

Total

Futures

Contracts

(

$

42,078,804)

($3,202,467)

Limited

Maturity

Bond

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

139

The

following

table

presents

Limited

Maturity

Bond

Portfolio's

swaps

contracts

held

as

of

March

31,

2020.

Investments

totaling

$409,749

were

pledged

as

collateral

under

the

agreement

between

the

counterparty,

the

custodian

and

the

fund

for

open

swap

contracts.

Credit

Default

Swaps

Buy/Sell

Protection

1

Termination

Date

Notional

Principal

Amount

2

Upfront

Payments/

(Receipts)

Value

3

Unrealized

Gain/

(Loss)

CDX

HY

34,

5

Year,

at

5.00%,

Quarterly

Sell

6/20/2025

(

$

3,925,000)

$

–

(

$

114,898)

(

$

114,898)

Total

Credit

Default

Swaps

$–

($114,898)

($114,898)

1

As

the

buyer

of

protection,

Limited

Maturity

Bond

Portfolio

pays

periodic

fees

in

return

for

payment

by

the

seller

which

is

contingent

upon

an

adverse

credit

event

occurring

in

the

underlying

issuer

or

reference

entity.

As

the

seller

of

protection,

Limited

Maturity

Bond

Portfolio

collects

periodic

fees

from

the

buyer

and

profits

if

the

credit

of

the

underlying

issuer

or

reference

entity

remains

stable

or

improves

while

the

swap

is

outstanding,

but

the

seller

in

a

credit

default

swap

contract

would

be

required

to

pay

the

amount

of

credit

loss,

determined

as

specified

in

the

agreement,

to

the

buyer

in

the

event

of

an

adverse

credit

event

in

the

reference

entity.

2

The

maximum

potential

amount

of

future

payments

Limited

Maturity

Bond

Portfolio

could

be

required

to

make

as

the

seller

or

receive

as

the

buyer

of

protection.

3

The

values

for

credit

indexes

(CDX

or

LCDX)

serve

as

an

indicator

of

the

current

status

of

the

payment/performance

risk

and

represent

the

liability

or

profit

for

the

credit

default

swap

contract

had

the

contract

been

closed

as

of

the

reporting

date.

When

protection

has

been

sold,

the

value

of

the

swap

will

increase

when

the

swap

spread

declines

representing

an

improvement

in

the

reference

entity's

credit

worthiness.

The

value

of

the

swap

will

decrease

when

the

swap

spread

increases

representing

a

deterioration

in

the

reference

entity's

credit

worthiness.

When

protection

has

been

purchased,

the

value

of

the

swap

will

increase

when

the

swap

spread

increases

representing

a

deterioration

in

the

reference

entity's

credit

worthiness.

The

value

of

the

swap

will

decrease

when

the

swap

spread

declines

representing

an

improvement

in

the

reference

entity's

credit

worthiness.

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Cash

Management

Trust

for

the

purpose

of

securities

lending

and

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Cash

Management

Trust

and

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Limited

Maturity

Bond

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$36,822

$104,802

$105,859

$35,690

3,576

3.8%

Total

Affiliated

Short-Term

Investments

36,822

35,690

3.8

Collateral

held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

220

2,560

1,680

1,100

1,100

0.1

Total

Collateral

Held

for

Securities

Loaned

220

1,100

0.1

Total

Value

$37,042

$36,790

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$(71)

$(4)

–

$188

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$188

Collateral

Held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

–

–

–

1

Total

Affiliated

Income

from

Securities

Loaned,

Net

$1

Total

Value

$(71)

$(4)

$–

Low

Volatility

Equity

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

140

Shares

Common

Stock

(

98.6%

)

Value

Communications

Services

(9.9%)

2,769

Auto

Trader

Group

plc

a

$

14,963

2,983

BCE,

Inc.

122,368

12,082

Deutsche

Telekom

AG

156,045

2,603

Elisa

Oyj

160,666

1,000

Hakuhodo

Dy

Holdings,

Inc.

10,090

421,000

HKT

Trust

and

HKT,

Ltd.

572,580

805

IAC/

InterActiveCorp

b

144,280

29,563

Koninklijke

(Royal)

KPN

NV

70,697

7,000

Nippon

Telegraph

&

Telephone

Corporation

167,416

25,100

NTT

DOCOMO,

Inc.

784,955

18,841

Orange

SA

228,117

564,000

PCCW,

Ltd.

309,279

3,264

Proximus

SA

74,956

1,481

Rogers

Communications,

Inc.

61,816

57,784

Telecom

Italia

SPA

23,390

14,663

Verizon

Communications,

Inc.

787,843

Total

3,689,461

Consumer

Discretionary

(7.3%)

325

AutoZone,

Inc.

b

274,950

92

Hermes

International

62,598

2,270

Home

Depot,

Inc.

423,832

1,300

Iida

Group

Holdings

Company,

Ltd.

17,967

4,059

McDonald's

Corporation

671,156

7,000

Nissan

Motor

Company,

Ltd.

23,420

800

Oriental

Land

Company,

Ltd.

102,126

5,800

Rinnai

Corporation

408,845

461

Ross

Stores,

Inc.

40,093

5,600

SHIMAMURA

Company,

Ltd.

338,429

10,970

SmartCentres

REIT

146,859

4,731

TJX

Companies,

Inc.

226,189

Total

2,736,464

Consumer

Staples

(16.0%)

1,111

Carlsberg

AS

125,076

186

Clorox

Company

32,225

14,962

Coca-Cola

Company

662,069

3,711

Colgate-Palmolive

Company

246,262

474

Hershey

Company

62,805

1,697

Hormel

Foods

Corporation

79,148

24,400

Japan

Tobacco,

Inc.

451,319

7,654

Koninklijke

Ahold

Delhaize

NV

178,312

5,800

Lawson,

Inc.

318,361

55

Lindt

&

Spruengli

AG

461,641

1,019

Loblaw

Companies,

Ltd.

52,532

1,481

Mondelez

International,

Inc.

74,168

5,923

Nestle

SA

606,324

10,961

Orkla

ASA

93,911

5,858

PepsiCo,

Inc.

703,546

6,741

Procter

&

Gamble

Company

741,510

11,500

Seven

&

I

Holdings

Company,

Ltd.

379,786

7,900

Sundrug

Company,

Ltd.

253,149

1,306

Sysco

Corporation

59,593

859

Unilever

NV

42,221

2,895

Wal-Mart

Stores,

Inc.

328,930

Total

5,952,888

Financials

(12.2%)

572

Alleghany

Corporation

315,944

3,009

Allstate

Corporation

276,016

4,715

American

Financial

Group,

Inc.

330,427

1,801

Aon

plc

297,237

5,748

Arthur

J.

Gallagher

&

Company

468,520

2,955

Baloise

Holding

AG

385,249

5,955

Bank

Leumi

Le-Israel

BM

32,836

Shares

Common

Stock

(98.6%)

Value

Financials

(12.2%)

-

continued

3,047

Berkshire

Hathaway,

Inc.

b

$

557,083

1,518

Chubb,

Ltd.

169,545

15,589

CI

Financial

Corporation

154,749

1,512

CME

Group,

Inc.

261,440

1,203

Deutsche

Boerse

AG

165,273

1,200

Hang

Seng

Bank,

Ltd.

20,445

15,227

Israel

Discount

Bank,

Ltd.

44,400

5,500

Japan

Post

Bank

Company,

Ltd.

50,793

145

Markel

Corporation

b

134,544

5,072

Marsh

&

McLennan

Companies,

Inc.

438,525

103

Reinsurance

Group

of

America,

Inc.

8,666

9,828

Toronto-Dominion

Bank

417,828

Total

4,529,520

Health

Care

(12.8%)

1,018

Abbott

Laboratories

80,330

165

Amgen,

Inc.

33,450

713

Baxter

International,

Inc.

57,888

3,747

Danaher

Corporation

518,622

2,107

Eli

Lilly

and

Company

292,283

11,668

GlaxoSmithKline

plc

218,940

6,022

Johnson

&

Johnson

789,665

4,028

Medtronic

plc

363,245

7,091

Merck

&

Company,

Inc.

545,582

3,530

Novartis

AG

291,221

6,461

Novo

Nordisk

AS

385,826

2,308

Roche

Holding

AG

742,581

395

Sonova

Holding

AG

70,434

862

Stryker

Corporation

143,514

1,004

UnitedHealth

Group,

Inc.

250,378

Total

4,783,959

Industrials

(9.1%)

631

AMETEK,

Inc.

45,445

865

Geberit

AG

379,025

809

General

Dynamics

Corporation

107,039

2,915

Honeywell

International,

Inc.

389,998

900

Keio

Corporation

53,130

2,600

Kintetsu

Group

Holdings

Company,

Ltd.

120,334

500

Kyushu

Railway

Company

14,363

1,316

Lockheed

Martin

Corporation

446,058

12,900

Mitsubishi

Corporation

272,864

600

Mitsui

&

Company,

Ltd.

8,330

9,450

RELX

plc

201,686

7,320

Republic

Services,

Inc.

549,439

100

Sumitomo

Corporation

1,140

1,362

United

Technologies

Corporation

128,477

1,925

Verisk

Analytics,

Inc.

268,307

1,168

Waste

Connections,

Inc.

90,520

3,411

Waste

Management,

Inc.

315,722

Total

3,391,877

Information

Technology

(9.2%)

2,125

Accenture

plc

346,928

2,448

Amphenol

Corporation

178,410

1,841

Automatic

Data

Processing,

Inc.

251,628

12,600

Canon,

Inc.

273,810

6,946

CGI,

Inc.

b

376,051

2,827

Cisco

Systems,

Inc.

111,129

833

Citrix

Systems,

Inc.

117,911

951

Fiserv,

Inc.

b

90,336

71

Jack

Henry

&

Associates,

Inc.

11,022

1,754

MasterCard,

Inc.

423,696

2,409

Microsoft

Corporation

379,923

533

Motorola

Solutions,

Inc.

70,846

Low

Volatility

Equity

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

141

Shares

Common

Stock

(98.6%)

Value

Information

Technology

(9.2%)

-

continued

9,712

Paychex,

Inc.

$

611,079

1,314

Synopsys,

Inc.

b

169,230

Total

3,411,999

Materials

(4.3%)

2,195

Agnico

Eagle

Mines,

Ltd.

87,625

15,137

Barrick

Gold

Corporation

278,152

1,832

Franco-Nevada

Corporation

182,321

19,828

Kinross

Gold

Corporation

b

78,915

7,317

Kirkland

Lake

Gold,

Ltd.

215,512

9,257

Newmont

Mining

Corporation

419,157

3,100

Nippon

Steel

Corporation

26,425

33,500

Toray

Industries,

Inc.

145,006

5,482

Wheaton

Precious

Metals

Corporation

150,919

Total

1,584,032

Real

Estate

(10.9%)

842

American

Tower

Corporation

183,346

210,832

Ascendas

REIT

417,450

2,349

AvalonBay

Communities,

Inc.

345,702

2,785

Camden

Property

Trust

220,683

90,700

CapitaLand

Mall

Trust

113,726

2,200

Daito

Trust

Construction

Company,

Ltd.

204,300

9,949

Equity

Residential

613,953

208,300

Mapletree

Commercial

Trust

267,161

8,374

National

Retail

Properties,

Inc.

269,559

13,425

Quebecor,

Inc.

296,775

29,057

RioCan

REIT

333,042

6,809

Swiss

Prime

Site

AG

662,723

1,348

UDR,

Inc.

49,256

98

United

Urban

Investment

Corporation

98,045

Total

4,075,721

Utilities

(6.9%)

1,375

Ameren

Corporation

100,141

4,047

American

Electric

Power

Company,

Inc.

323,679

7,499

Consolidated

Edison,

Inc.

584,922

6,454

DTE

Energy

Company

612,936

5,577

Duke

Energy

Corporation

451,068

937

Enagas

SA

18,485

19,480

Enel

SPA

134,370

310

NextEra

Energy,

Inc.

74,592

206

Southern

Company

11,153

4,143

Xcel

Energy,

Inc.

249,823

Total

2,561,169

Total

Common

Stock

(cost

$39,591,581)

36,717,090

Shares

or

Principal

Amount

Short-Term

Investments

(

1.1%

)

Value

Federal

Home

Loan

Bank

Discount

Notes

200,000

1.555%,

4/16/2020

c,d

199,994

Shares

or

Principal

Amount

Short-Term

Investments

(1.1%)

Value

Thrivent

Core

Short-Term

Reserve

Fund

19,961

1.570%

$

199,211

Total

Short-Term

Investments

(cost

$398,881)

399,205

Total

Investments

(cost

$39,990,462)

99.7%

$37,116,295

Other

Assets

and

Liabilities,

Net

0.3%

107,048

Total

Net

Assets

100.0%

$37,223,343

a

Denotes

securities

sold

under

Rule

144A

of

the

Securities

Act

of

1933,

which

exempts

them

from

registration.

These

securities

may

be

resold

to

other

dealers

in

the

program

or

to

other

qualified

institutional

buyers.

As

of

March

31,

2020,

the

value

of

these

investments

was

$14,963

or

0.0%

of

total

net

assets.

b

Non-income

producing

security.

c

The

interest

rate

shown

reflects

the

yield,

coupon

rate

or

the

discount

rate

at

the

date

of

purchase.

d

All

or

a

portion

of

the

security

is

held

on

deposit

with

the

counterparty

and

pledged

as

the

initial

margin

deposit

for

open

futures

contracts.

Definitions:

REIT

-

Real

Estate

Investment

Trust

is

a

company

that

buys,

develops,

manages

and/or

sells

real

estate

assets.

Low

Volatility

Equity

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

142

Reference

Description:

MSCI

-

Morgan

Stanley

Capital

International

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Low

Volatility

Equity

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Common

Stock

Communications

Services

3,689,461

932,123

2,757,338

–

Consumer

Discretionary

2,736,464

1,636,220

1,100,244

–

Consumer

Staples

5,952,888

2,990,256

2,962,632

–

Financials

4,529,520

3,257,947

1,271,573

–

Health

Care

4,783,959

3,074,957

1,709,002

–

Industrials

3,391,877

2,341,005

1,050,872

–

Information

Technology

3,411,999

2,762,138

649,861

–

Materials

1,584,032

831,312

752,720

–

Real

Estate

4,075,721

1,682,499

2,393,222

–

Utilities

2,561,169

2,408,314

152,855

–

Short-Term

Investments

199,994

–

199,994

–

Subtotal

Investments

in

Securities

$36,917,084

$21,916,771

$15,000,313

$–

Other

Investments  *

Total

Affiliated

Short-Term

Investments

199,211

Subtotal

Other

Investments

$199,211

Total

Investments

at

Value

$37,116,295

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Other

Financial

Instruments

Total

Level

1

Level

2

Level

3

Asset

Derivatives

Futures

Contracts

26,968

26,968

–

–

Total

Asset

Derivatives

$26,968

$26,968

$–

$–

The

following

table

presents

Low

Volatility

Equity

Portfolio's

futures

contracts

held

as

of

March

31,

2020.

Investments

and/or

cash

totaling

$199,994

were

pledged

as

the

initial

margin

deposit

for

these

contracts.

Futures

Contracts

Description

Number

of

Contracts

Long/(Short)

Expiration

Date

Notional

Principal

Amount

Value

and

Unrealized

Eurex

MSCI

World

Index

7

June

2020

$

360,482

$

26,968

Total

Futures

Long

Contracts

$

360,482

$

26,968

Total

Futures

Contracts

$

360,482

$26,968

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Low

Volatility

Equity

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$1,587

$4,494

$5,880

$199

20

0.5%

Total

Affiliated

Short-Term

Investments

1,587

199

0.5

Collateral

held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

360

205

565

–

–

–

Total

Collateral

Held

for

Securities

Loaned

360

–

–

Total

Value

$1,947

$199

Low

Volatility

Equity

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

143

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$(2)

$0

–

$2

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$2

Cash

Management

Trust-

Collateral

Investment

–

–

–

0

Total

Affiliated

Income

from

Securities

Loaned,

Net

$0

Total

Value

$(2)

$0

$–

Mid

Cap

Index

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

144

Shares

Common

Stock

(

96.1%

)

Value

Communications

Services

(1.8%)

11,516

AMC

Networks,

Inc.

a,b

$

279,954

1,313

Cable

One,

Inc.

2,158,585

27,855

Cinemark

Holdings,

Inc.

283,842

11,431

John

Wiley

and

Sons,

Inc.

428,548

10,503

Meredith

Corporation

a

128,347

37,562

New

York

Times

Company

1,153,529

56,676

Tegna,

Inc.

615,501

25,555

Telephone

&

Data

Systems,

Inc.

428,302

12,400

World

Wrestling

Entertainment,

Inc.

420,732

16,692

Yelp,

Inc.

b

300,957

Total

6,198,297

Consumer

Discretionary

(11.9%)

17,546

Aaron's,

Inc.

399,698

22,745

Adient

plc

b

206,297

14,109

Adtalem

Global

Education,

Inc.

b

377,980

41,500

American

Eagle

Outfitters,

Inc.

329,925

15,385

AutoNation,

Inc.

b

431,703

33,071

Bed

Bath

&

Beyond,

Inc.

a

139,229

20,914

Boyd

Gaming

Corporation

301,580

9,765

Brinker

International,

Inc.

117,278

21,315

Brunswick

Corporation

753,912

145,838

Caesars

Entertainment

Corporation

b

985,865

11,535

Carter's,

Inc.

758,196

10,730

Cheesecake

Factory,

Inc.

a

183,268

8,300

Choice

Hotels

International,

Inc.

508,375

9,263

Churchill

Downs,

Inc.

953,626

7,587

Columbia

Sportswear

Company

529,345

6,287

Cracker

Barrel

Old

Country

Store,

Inc.

523,204

37,607

Dana,

Inc.

293,711

7,310

Deckers

Outdoor

Corporation

b

979,540

22,490

Delphi

Technologies

plc

b

181,045

16,617

Dick's

Sporting

Goods,

Inc.

353,277

2,576

Dillard's,

Inc.

a

95,183

10,103

Domino's

Pizza,

Inc.

3,274,079

21,646

Dunkin'

Brands

Group,

Inc.

1,149,403

17,069

Eldorado

Resorts,

Inc.

b

245,794

30,960

Etsy,

Inc.

b

1,190,102

14,547

Five

Below,

Inc.

b

1,023,818

27,969

Foot

Locker,

Inc.

616,716

66,100

Gentex

Corporation

1,464,776

60,768

Goodyear

Tire

&

Rubber

Company

353,670

1,137

Graham

Holdings

Company

387,910

12,601

Grand

Canyon

Education,

Inc.

b

961,267

23,895

GrubHub,

Inc.

b

973,243

6,575

Helen

of

Troy,

Ltd.

b

946,997

6,180

Jack

in

the

Box,

Inc.

216,609

22,385

KB

Home

405,168

14,378

Lear

Corporation

1,168,212

9,777

Marriott

Vacations

Worldwide

Corporation

543,406

90,594

Mattel,

Inc.

b

798,133

7,555

Murphy

USA,

Inc.

b

637,340

14,289

Ollie's

Bargain

Outlet

Holdings,

Inc.

b

662,152

5,760

Papa

John's

International,

Inc.

a

307,411

62,550

Park

Hotels

&

Resorts,

Inc.

494,771

28,470

Penn

National

Gaming,

Inc.

b

360,146

15,025

Polaris,

Inc.

723,454

10,462

Pool

Corporation

2,058,608

4,254

RH

b

427,399

30,395

Sally

Beauty

Holdings,

Inc.

b

245,592

14,132

Scientific

Games

Corporation

a,b

137,080

47,760

Service

Corporation

International

1,867,894

20,540

Six

Flags

Entertainment

Corporation

257,572

34,991

Skechers

USA,

Inc.

b

830,686

34,560

Taylor

Morrison

Home

Corporation

b

380,160

Shares

Common

Stock

(96.1%)

Value

Consumer

Discretionary

(11.9%)

-

continued

11,872

Tempur

Sealy

International,

Inc.

b

$

518,925

17,048

Texas

Roadhouse,

Inc.

704,082

14,423

Thor

Industries,

Inc.

a

608,362

31,541

Toll

Brothers,

Inc.

607,164

36,382

Tri

Pointe

Homes,

Inc.

b

319,070

27,454

TripAdvisor,

Inc.

477,425

18,432

Urban

Outfitters,

Inc.

b

262,472

7,307

Visteon

Corporation

b

350,590

12,138

Weight

Watchers

International,

Inc.

b

205,254

48,088

Wendy's

Company

715,549

20,280

Williams-Sonoma,

Inc.

a

862,306

23,700

Wyndham

Destinations,

Inc.

514,290

24,867

Wyndham

Hotels

&

Resorts,

Inc.

783,559

Total

41,440,853

Consumer

Staples

(3.5%)

31,921

BJ's

Wholesale

Club

Holdings,

Inc.

b

813,028

2,408

Boston

Beer

Company,

Inc.

b

885,085

9,611

Casey's

General

Stores,

Inc.

1,273,361

42,776

Darling

Ingredients,

Inc.

b

820,016

14,164

Edgewell

Personal

Care

Company

b

341,069

16,810

Energizer

Holdings,

Inc.

a

508,503

50,293

Flowers

Foods,

Inc.

1,032,012

20,992

Hain

Celestial

Group,

Inc.

b

545,162

17,445

Ingredion,

Inc.

1,317,098

5,171

Lancaster

Colony

Corporation

747,933

14,514

Nu

Skin

Enterprises,

Inc.

317,131

13,694

Pilgrim's

Pride

Corporation

b

248,135

17,367

Post

Holdings,

Inc.

b

1,440,940

5,152

Sanderson

Farms,

Inc.

635,345

30,869

Sprouts

Farmers

Markets,

Inc.

b

573,855

4,515

Tootsie

Roll

Industries,

Inc.

162,359

14,688

TreeHouse

Foods,

Inc.

b

648,475

Total

12,309,507

Energy

(1.0%)

77,609

Antero

Midstream

Corporation

a

162,979

20,240

Apergy

Corporation

a,b

116,380

26,602

Cimarex

Energy

Company

447,712

48,754

CNX

Resources

Corporation

b

259,371

11,595

Core

Laboratories

NV

a

119,892

66,798

EQT

Corporation

472,262

53,250

Equitrans

Midstream

Corporation

a

267,847

28,649

Matador

Resources

Company

b

71,049

39,029

Murphy

Oil

Corporation

a

239,248

50,833

Patterson-UTI

Energy,

Inc.

119,458

26,617

PBF

Energy,

Inc.

188,448

150,283

Transocean,

Ltd.

a,b

174,328

17,087

World

Fuel

Services

Corporation

430,251

108,892

WPX

Energy,

Inc.

b

332,121

Total

3,401,346

Financials

(15.2%)

12,874

Affiliated

Managers

Group,

Inc.

761,368

3,761

Alleghany

Corporation

2,077,388

19,557

American

Financial

Group,

Inc.

1,370,555

41,635

Associated

Banc-Corp

532,512

25,072

BancorpSouth

Bank

474,362

10,523

Bank

of

Hawaii

Corporation

581,291

31,586

Bank

OZK

527,486

28,550

Brighthouse

Financial,

Inc.

b

690,053

61,103

Brown

&

Brown,

Inc.

2,213,151

19,786

Cathay

General

Bancorp

454,089

24,750

CIT

Group,

Inc.

427,185

39,492

CNO

Financial

Group,

Inc.

489,306

27,099

Commerce

Bancshares,

Inc.

1,364,435

Mid

Cap

Index

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

145

Shares

Common

Stock

(96.1%)

Value

Financials

(15.2%)

-

continued

14,877

Cullen/Frost

Bankers,

Inc.

$

829,988

38,051

East

West

Bancorp,

Inc.

979,433

29,564

Eaton

Vance

Corporation

953,439

10,213

Evercore,

Inc.

470,411

84,901

F.N.B.

Corporation

625,720

9,915

FactSet

Research

Systems,

Inc.

2,584,642

25,103

Federated

Hermes,

Inc

478,212

29,353

First

American

Financial

Corporation

1,244,861

35,495

First

Financial

Bankshares,

Inc.

952,686

81,309

First

Horizon

National

Corporation

655,351

11,152

FirstCash,

Inc.

800,044

42,884

Fulton

Financial

Corporation

492,737

131,513

Genworth

Financial,

Inc.

b

436,623

22,788

Hancock

Whitney

Corporation

444,822

10,293

Hanover

Insurance

Group,

Inc.

932,340

40,542

Home

BancShares,

Inc.

486,099

20,054

Interactive

Brokers

Group,

Inc.

865,731

14,991

International

Bancshares

Corporation

402,958

40,661

Janus

Henderson

Group

plc

622,927

62,501

Jefferies

Financial

Group,

Inc.

854,389

16,370

Kemper

Corporation

1,217,437

21,320

Legg

Mason,

Inc.

1,041,482

2,004

LendingTree,

Inc.

a,b

367,514

7,087

Mercury

General

Corporation

288,583

44,454

Navient

Corporation

336,961

122,116

New

York

Community

Bancorp,

Inc.

1,146,669

74,562

Old

Republic

International

Corporation

1,137,071

31,311

PacWest

Bancorp

561,093

18,806

Pinnacle

Financial

Partners,

Inc.

705,977

10,807

Primerica,

Inc.

956,203

24,667

Prosperity

Bancshares,

Inc.

1,190,183

16,360

Reinsurance

Group

of

America,

Inc.

1,376,530

11,539

RenaissanceRe

Holdings,

Ltd.

1,723,003

10,427

RLI

Corporation

916,846

32,979

SEI

Investments

Company

1,528,247

15,521

Selective

Insurance

Group,

Inc.

771,394

14,107

Signature

Bank

1,134,062

110,310

SLM

Corporation

793,129

52,793

Sterling

Bancorp

551,687

17,866

Stifel

Financial

Corporation

737,508

38,291

Synovus

Financial

Corporation

672,390

40,084

TCF

Financial

Corporation

908,303

13,149

Texas

Capital

Bancshares,

Inc.

b

291,513

16,791

Trustmark

Corporation

391,230

11,288

UMB

Financial

Corporation

523,537

57,541

Umpqua

Holdings

Corporation

627,197

26,529

United

Bankshares,

Inc.

612,289

102,345

Valley

National

Bancorp

748,142

20,471

Washington

Federal,

Inc.

531,427

24,047

Webster

Financial

Corporation

550,676

14,913

Wintrust

Financial

Corporation

490,041

Total

52,904,918

Health

Care

(11.4%)

23,143

Acadia

Healthcare

Company,

Inc.

b

424,674

42,425

Allscripts

Healthcare

Solutions,

Inc.

b

298,672

8,428

Amedisys,

Inc.

b

1,546,875

26,157

Arrowhead

Research

Corporation

b

752,537

12,524

Avanos

Medical,

Inc.

b

337,271

5,646

Bio-Rad

Laboratories,

Inc.

b

1,979,262

9,958

Bio-Techne

Corporation

1,888,236

9,790

Cantel

Medical

Corporation

351,461

40,436

Catalent,

Inc.

b

2,100,650

Shares

Common

Stock

(96.1%)

Value

Health

Care

(11.4%)

-

continued

12,761

Charles

River

Laboratories

International,

Inc.

b

$

1,610,566

4,183

Chemed

Corporation

1,812,076

25,764

Encompass

Health

Corporation

1,649,669

79,393

Exelixis,

Inc.

b

1,367,147

20,113

Globus

Medical,

Inc.

b

855,406

13,243

Haemonetics

Corporation

b

1,319,797

18,520

HealthEquity,

Inc.

b

936,927

17,444

Hill-Rom

Holdings,

Inc.

1,754,866

5,024

ICU

Medical,

Inc.

b

1,013,692

18,622

Integra

LifeSciences

Holdings

Corporation

b

831,845

4,313

Ligand

Pharmaceuticals,

Inc.

a,b

313,641

12,647

LivaNova

plc

b

572,277

12,819

Masimo

Corporation

b

2,270,501

22,027

Mednax,

Inc.

b

256,394

16,383

Molina

Healthcare,

Inc.

b

2,288,869

45,967

Nektar

Therapeutics

b

820,511

13,607

NuVasive,

Inc.

b

689,331

22,510

Patterson

Companies,

Inc.

344,178

8,393

Penumbra,

Inc.

b

1,354,043

16,526

PRA

Health

Sciences,

Inc.

b

1,372,319

13,126

Prestige

Consumer

Healthcare,

Inc.

b

481,462

12,242

Repligen

Corporation

b

1,181,843

16,273

Syneos

Health,

Inc.

b

641,482

27,147

Tenet

Healthcare

Corporation

b

390,917

11,466

United

Therapeutics

Corporation

b

1,087,263

19,333

West

Pharmaceutical

Services,

Inc.

2,943,449

Total

39,840,109

Industrials

(15.6%)

10,353

Acuity

Brands,

Inc.

886,838

41,046

AECOM

b

1,225,223

16,379

AGCO

Corporation

773,908

13,796

ASGN,

Inc.

b

487,275

14,853

Avis

Budget

Group,

Inc.

b

206,457

15,505

Axon

Enterprise,

Inc.

b

1,097,289

13,071

Brink's

Company

680,346

14,808

Carlisle

Companies,

Inc.

1,855,146

13,416

Clean

Harbors,

Inc.

b

688,777

21,846

Colfax

Corporation

b

432,551

13,321

Crane

Company

655,127

11,154

Curtiss-Wright

Corporation

1,030,741

11,001

Deluxe

Corporation

285,256

33,070

Donaldson

Company,

Inc.

1,277,494

8,237

Dycom

Industries,

Inc.

b

211,279

14,672

EMCOR

Group,

Inc.

899,687

11,049

EnerSys

547,146

36,627

Fluor

Corporation

253,093

9,833

FTI

Consulting,

Inc.

b

1,177,698

9,171

GATX

Corporation

573,738

16,342

Generac

Holdings,

Inc.

b

1,522,584

43,579

Graco,

Inc.

2,123,605

19,367

Healthcare

Services

Group,

Inc.

a

463,065

15,431

Herman

Miller,

Inc.

342,568

11,190

HNI

Corporation

281,876

14,211

Hubbell,

Inc.

1,630,570

9,824

Insperity,

Inc.

366,435

22,915

ITT

Corporation

1,039,424

75,434

JetBlue

Airways

Corporation

b

675,134

33,648

KAR

Auction

Services,

Inc.

403,776

37,029

KBR,

Inc.

765,760

21,650

Kennametal,

Inc.

403,123

15,664

Kirby

Corporation

b

680,914

32,104

Knight-Swift

Transportation

Holdings,

Inc.

a

1,053,011

Mid

Cap

Index

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

146

Shares

Common

Stock

(96.1%)

Value

Industrials

(15.6%)

-

continued

10,311

Landstar

System,

Inc.

$

988,412

9,162

Lennox

International,

Inc.

1,665,560

15,978

Lincoln

Electric

Holdings,

Inc.

a

1,102,482

15,406

Manpower,

Inc.

816,364

15,757

MasTec,

Inc.

b

515,727

14,511

Mercury

Systems,

Inc.

b

1,035,215

9,312

MSA

Safety,

Inc.

942,374

11,770

MSC

Industrial

Direct

Company,

Inc.

646,997

13,369

Nordson

Corporation

1,805,751

28,429

NOW,

Inc.

b

146,694

40,662

nVent

Electric

plc

685,968

17,783

Oshkosh

Corporation

1,143,980

28,425

Owens

Corning,

Inc.

1,103,174

10,698

Regal-Beloit

Corporation

673,439

32,092

Resideo

Technologies,

Inc.

b

155,325

13,925

Ryder

System,

Inc.

368,177

23,811

Stericycle,

Inc.

b

1,156,738

9,529

Teledyne

Technologies,

Inc.

b

2,832,686

17,140

Terex

Corporation

246,130

14,264

Tetra

Tech,

Inc.

1,007,324

17,714

Timken

Company

572,871

27,854

Toro

Company

1,813,017

15,243

Trex

Company,

Inc.

b

1,221,574

25,645

Trinity

Industries,

Inc.

412,115

5,625

Valmont

Industries,

Inc.

596,138

8,531

Watsco,

Inc.

1,348,154

11,573

Werner

Enterprises,

Inc.

419,637

14,734

Woodward,

Inc.

875,789

24,117

XPO

Logistics,

Inc.

b

1,175,704

Total

54,470,430

Information

Technology

(15.7%)

30,205

ACI

Worldwide,

Inc.

b

729,451

21,282

Arrow

Electronics,

Inc.

b

1,103,897

26,381

Avnet,

Inc.

662,163

10,096

Belden,

Inc.

364,264

12,852

Blackbaud,

Inc.

713,929

7,605

Cabot

Microelectronics

Corporation

868,035

6,543

CACI

International,

Inc.

b

1,381,554

31,721

CDK

Global,

Inc.

1,042,035

26,334

Ceridian

HCM

Holding,

Inc.

b

1,318,543

40,421

Ciena

Corporation

b

1,609,160

15,103

Cirrus

Logic,

Inc.

b

991,210

44,654

Cognex

Corporation

1,885,292

6,311

Coherent,

Inc.

b

671,553

10,988

CommVault

Systems,

Inc.

b

444,794

20,778

CoreLogic,

Inc.

634,560

28,144

Cree,

Inc.

b

997,986

96,500

Cypress

Semiconductor

Corporation

2,250,380

7,568

Fair

Isaac

Corporation

b

2,328,598

19,830

First

Solar,

Inc.

b

715,070

22,789

II-VI,

Inc.

b

649,486

8,135

InterDigital,

Inc.

363,065

12,096

j2

Global,

Inc.

905,386

36,298

Jabil,

Inc.

892,205

6,365

Littelfuse,

Inc.

849,218

17,689

LiveRamp

Holding,

Inc.

b

582,322

12,755

LogMeIn,

Inc.

1,062,236

20,172

Lumentum

Holdings,

Inc.

b

1,486,676

16,697

Manhattan

Associates,

Inc.

b

831,845

16,717

MAXIMUS,

Inc.

972,929

14,243

MKS

Instruments,

Inc.

1,160,092

10,556

Monolithic

Power

Systems,

Inc.

1,767,708

30,820

National

Instruments

Corporation

1,019,526

33,341

NCR

Corporation

b

590,136

17,208

NetScout

Systems,

Inc.

b

407,313

Shares

Common

Stock

(96.1%)

Value

Information

Technology

(15.7%)

-

continued

35,930

Perspecta,

Inc.

$

655,363

27,160

PTC,

Inc.

b

1,662,464

71,565

Sabre

Corporation

424,380

12,820

Science

Applications

International

Corporation

956,757

17,310

Semtech

Corporation

b

649,125

11,333

Silicon

Laboratories,

Inc.

b

967,952

12,702

Solaredge

Technology,

Ltd.

a,b

1,040,040

8,744

Synaptics,

Inc.

b

506,015

10,676

SYNNEX

Corporation

780,416

9,256

Tech

Data

Corporation

b

1,211,148

29,396

Teradata

Corporation

b

602,324

43,787

Teradyne,

Inc.

2,371,942

65,097

Trimble,

Inc.

b

2,072,037

10,187

Tyler

Technologies,

Inc.

b

3,021,057

11,079

Universal

Display

Corporation

1,459,991

15,069

ViaSat,

Inc.

b

541,278

34,582

Vishay

Intertechnology,

Inc.

498,327

11,311

WEX,

Inc.

b

1,182,565

Total

54,855,798

Materials

(5.7%)

32,945

Allegheny

Technologies,

Inc.

b

280,032

16,704

AptarGroup,

Inc.

1,662,716

15,737

Ashland

Global

Holdings,

Inc.

787,952

14,888

Cabot

Corporation

388,875

12,469

Carpenter

Technology

Corporation

243,146

42,722

Chemours

Company

a

378,944

31,003

Commercial

Metals

Company

489,537

8,854

Compass

Minerals

International,

Inc.

340,613

14,965

Domtar

Corporation

323,843

10,878

Eagle

Materials,

Inc.

635,493

6,861

Greif,

Inc.

213,308

10,928

Ingevity

Corporation

b

384,666

30,690

Louisiana-Pacific

Corporation

527,254

9,107

Minerals

Technologies,

Inc.

330,220

1,930

NewMarket

Corporation

738,939

40,665

O-I

Glass,

Inc.

289,128

41,721

Olin

Corporation

486,884

23,581

PolyOne

Corporation

447,332

17,417

Reliance

Steel

&

Aluminum

Company

1,525,555

17,139

Royal

Gold,

Inc.

1,503,262

33,885

RPM

International,

Inc.

2,016,158

10,353

Scotts

Miracle-Gro

Company

1,060,147

11,058

Sensient

Technologies

Corporation

481,134

20,260

Silgan

Holdings,

Inc.

587,945

26,155

Sonoco

Products

Company

1,212,284

56,296

Steel

Dynamics,

Inc.

1,268,912

44,430

United

States

Steel

Corporation

a

280,353

49,227

Valvoline,

Inc.

644,381

9,644

Worthington

Industries,

Inc.

253,155

Total

19,782,168

Real

Estate

(9.4%)

35,903

American

Campus

Communities,

Inc.

996,308

77,825

Brixmor

Property

Group,

Inc.

739,338

25,302

Camden

Property

Trust

2,004,931

31,119

CoreCivic,

Inc.

347,599

9,847

CoreSite

Realty

Corporation

1,141,267

29,280

Corporate

Office

Properties

Trust

647,966

38,348

Cousins

Properties,

Inc.

1,122,446

29,578

CyrusOne,

Inc.

1,826,442

62,162

Diversified

Healthcare

Trust

225,648

43,069

Douglas

Emmett,

Inc.

1,314,035

10,036

EastGroup

Properties,

Inc.

1,048,561

20,501

EPR

Properties

496,534

Mid

Cap

Index

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

147

Shares

Common

Stock

(96.1%)

Value

Real

Estate

(9.4%)

-

continued

33,172

First

Industrial

Realty

Trust,

Inc.

$

1,102,306

31,688

GEO

Group,

Inc.

385,326

34,944

Healthcare

Realty

Trust,

Inc.

975,986

27,108

Highwoods

Properties,

Inc.

960,165

30,841

JBG

SMITH

Properties

981,669

13,466

Jones

Lang

LaSalle,

Inc.

1,359,797

25,484

Kilroy

Realty

Corporation

1,623,331

22,474

Lamar

Advertising

Company

1,152,467

12,189

Life

Storage,

Inc.

1,152,470

28,791

Macerich

Company

162,093

23,661

Mack-Cali

Realty

Corporation

360,357

135,204

Medical

Properties

Trust,

Inc.

2,337,677

44,848

National

Retail

Properties,

Inc.

1,443,657

57,093

Omega

Healthcare

Investors,

Inc.

1,515,248

34,134

Pebblebrook

Hotel

Trust

371,719

17,564

PotlatchDeltic

Corporation

551,334

5,233

PS

Business

Parks,

Inc.

709,176

33,789

Rayonier,

Inc.

REIT

795,731

53,636

Sabra

Health

Care

REIT,

Inc.

585,705

43,000

Service

Properties

Trust

232,200

26,059

Spirit

Realty

Capital,

Inc.

681,443

15,996

Taubman

Centers,

Inc.

669,913

30,091

Urban

Edge

Properties

265,102

31,604

Weingarten

Realty

Investors

456,046

Total

32,741,993

Utilities

(4.9%)

13,501

ALLETE,

Inc.

819,241

16,058

Black

Hills

Corporation

1,028,194

56,398

Essential

Utilities,

Inc

2,295,398

28,474

Hawaiian

Electric

Industries,

Inc.

1,225,806

13,168

IDACORP,

Inc.

1,156,019

52,359

MDU

Resources

Group,

Inc.

1,125,718

22,556

National

Fuel

Gas

Company

841,113

24,954

New

Jersey

Resources

Corporation

847,687

13,181

NorthWestern

Corporation

788,619

52,305

OGE

Energy

Corporation

1,607,333

13,780

ONE

Gas,

Inc.

1,152,283

20,813

PNM

Resources,

Inc.

790,894

14,273

Southwest

Gas

Holdings,

Inc.

992,830

13,320

Spire,

Inc.

992,074

54,613

UGI

Corporation

1,456,529

Total

17,119,738

Total

Common

Stock

(cost

$385,913,863)

335,065,157

Shares

Collateral

Held

for

Securities

Loaned

(

2.5%

)

Value

8,830,866

Thrivent

Cash

Management

Trust

8,830,866

Total

Collateral

Held

for

Securities

Loaned

(cost

$8,830,866)

8,830,866

Shares

or

Principal

Amount

Short-Term

Investments

(

3.8%

)

Value

Federal

Home

Loan

Bank

Discount

Notes

1,000,000

0.460%,

5/12/2020

c,d

999,920

1,100,000

0.500%,

5/13/2020

c,d

1,099,910

600,000

0.150%,

5/20/2020

c,d

599,943

100,000

0.170%,

6/16/2020

c,d

99,985

Shares

or

Principal

Amount

Short-Term

Investments

(3.8%)

Value

Thrivent

Core

Short-Term

Reserve

Fund

1,053,818

1.570%

$

10,517,100

Total

Short-Term

Investments

(cost

$13,326,451)

13,316,858

Total

Investments

(cost

$408,071,180)

102.4%

$357,212,881

Other

Assets

and

Liabilities,

Net

(2.4%)

(8,448,155)

Total

Net

Assets

100.0%

$348,764,726

a

All

or

a

portion

of

the

security

is

on

loan.

b

Non-income

producing

security.

c

The

interest

rate

shown

reflects

the

yield,

coupon

rate

or

the

discount

rate

at

the

date

of

purchase.

d

All

or

a

portion

of

the

security

is

held

on

deposit

with

the

counterparty

and

pledged

as

the

initial

margin

deposit

for

open

futures

contracts.

The

following

table

presents

the

total

amount

of

securities

loaned

with

continuous

maturity,

by

type,

offset

by

the

gross

payable

upon

return

of

collateral

for

securities

loaned

by

Thrivent

Mid

Cap

Index

Portfolio

as

of

March

31,

2020:

Securities

Lending

Transactions

Common

Stock

$

8,589,556

Total

lending

$8,589,556

Gross

amount

payable

upon

return

of              

collateral

for

securities

loaned

$8,830,866

Net

amounts

due

to

counterparty

$241,310

Definitions:

REIT

-

Real

Estate

Investment

Trust

is

a

company

that

buys,

develops,

manages

and/or

sells

real

estate

assets.

Mid

Cap

Index

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

148

Reference

Description:

CME

-

Chicago

Mercantile

Exchange

S&P

-

Standard

&

Poor's

I

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Mid

Cap

Index

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Common

Stock

Communications

Services

6,198,297

6,198,297

–

–

Consumer

Discretionary

41,440,853

41,440,853

–

–

Consumer

Staples

12,309,507

12,309,507

–

–

Energy

3,401,346

3,401,346

–

–

Financials

52,904,918

52,904,918

–

–

Health

Care

39,840,109

39,840,109

–

–

Industrials

54,470,430

54,470,430

–

–

Information

Technology

54,855,798

54,855,798

–

–

Materials

19,782,168

19,782,168

–

–

Real

Estate

32,741,993

32,741,993

–

–

Utilities

17,119,738

17,119,738

–

–

Short-Term

Investments

2,799,758

–

2,799,758

–

Subtotal

Investments

in

Securities

$337,864,915

$335,065,157

$2,799,758

$–

Other

Investments  *

Total

Affiliated

Short-Term

Investments

10,517,100

Collateral

Held

for

Securities

Loaned

8,830,866

Subtotal

Other

Investments

$19,347,966

Total

Investments

at

Value

$357,212,881

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Other

Financial

Instruments

Total

Level

1

Level

2

Level

3

Liability

Derivatives

Futures

Contracts

749,071

749,071

–

–

Total

Liability

Derivatives

$749,071

$749,071

$–

$–

The

following

table

presents

Mid

Cap

Index

Portfolio's

futures

contracts

held

as

of

March

31,

2020.

Investments

and/or

cash

totaling

$1,799,840

were

pledged

as

the

initial

margin

deposit

for

these

contracts.

Futures

Contracts

Description

Number

of

Contracts

Long/(Short)

Expiration

Date

Notional

Principal

Amount

Value

and

Unrealized

CME

E-mini

S&P

Mid-Cap

400

Index

94

June

2020

$

14,264,391

(

$

749,071)

Total

Futures

Long

Contracts

$

14,264,391

(

$

749,071)

Total

Futures

Contracts

$

14,264,391

($749,071)

Mid

Cap

Index

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

149

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Cash

Management

Trust

for

the

purpose

of

securities

lending

and

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Cash

Management

Trust

and

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Mid

Cap

Index

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$15,779

$12,161

$17,403

$10,517

1,054

3.0%

Total

Affiliated

Short-Term

Investments

15,779

10,517

3.0

Collateral

held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

9,595

22,043

22,807

8,831

8,831

2.5

Total

Collateral

Held

for

Securities

Loaned

9,595

8,831

2.5

Total

Value

$25,374

$19,348

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$(9)

$(11)

–

$68

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$68

Collateral

Held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

–

–

–

14

Total

Affiliated

Income

from

Securities

Loaned,

Net

$14

Total

Value

$(9)

$(11)

$–

Mid

Cap

Stock

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

150

Shares

Common

Stock

(

97.0%

)

Value

Communications

Services

(4.0%)

766,793

DISH

Network

Corporation

a

$

15,328,192

763,954

Twitter,

Inc.

a

18,762,710

579,866

Zillow

Group,

Inc.

a

19,698,048

Total

53,788,950

Consumer

Discretionary

(9.3%)

127,763

Burlington

Stores,

Inc.

a

20,245,325

604,784

Etsy,

Inc.

a

23,247,897

164,409

Lululemon

Athletica

,

Inc.

a

31,163,726

10,791

NVR,

Inc.

a

27,723,266

238,340

RH

a,b

23,946,020

Total

126,326,234

Consumer

Staples

(2.4%)

1,269,275

Hain

Celestial

Group,

Inc.

a

32,963,072

Total

32,963,072

Energy

(1.4%)

300,852

Diamondback

Energy,

Inc.

7,882,322

2,157,311

Patterson-UTI

Energy,

Inc.

5,069,681

2,010,083

WPX

Energy,

Inc.

a

6,130,753

Total

19,082,756

Financials

(16.0%)

1,377,929

Ally

Financial,

Inc.

19,883,515

1,152,254

Assured

Guaranty,

Ltd.

29,716,631

101,419

First

Republic

Bank

8,344,755

332,982

Hartford

Financial

Services

Group,

Inc.

11,734,286

411,559

Interactive

Brokers

Group,

Inc.

17,767,002

236,045

Kemper

Corporation

17,554,667

2,288,923

KeyCorp

23,736,131

35,721

Markel

Corporation

a

33,145,159

1,099,734

Radian

Group,

Inc.

14,241,555

555,214

Western

Alliance

Bancorp

16,995,101

913,880

Zions

Bancorporations

NA

24,455,429

Total

217,574,231

Health

Care

(9.1%)

176,290

Alexion

Pharmaceuticals,

Inc.

a

15,829,079

124,417

Align

Technology,

Inc.

a

21,642,337

880,270

Bausch

Health

Companies,

Inc.

a

13,644,185

220,901

Catalent

,

Inc.

a

11,475,807

115,863

Edwards

Lifesciences

Corporation

a

21,854,079

181,798

Jazz

Pharmaceuticals,

Inc.

a

18,132,533

18,585

Ligand

Pharmaceuticals,

Inc.

a,b

1,351,501

206,049

Universal

Health

Services,

Inc.

20,415,335

Total

124,344,856

Industrials

(16.0%)

390,131

AGCO

Corporation

18,433,690

927,829

Altra

Industrial

Motion

Corporation

16,227,729

239,641

Huntington

Ingalls

Industries,

Inc.

43,664,987

57,050

Kennametal,

Inc.

1,062,271

194,047

Old

Dominion

Freight

Line,

Inc.

25,470,609

1,081,101

Southwest

Airlines

Company

38,498,007

458,937

United

Airlines

Holdings,

Inc.

a,b

14,479,462

275,657

United

Rentals,

Inc.

a

28,365,105

232,268

Verisk

Analytics,

Inc.

32,373,514

Total

218,575,374

Information

Technology

(18.1%)

634,268

Advanced

Micro

Devices,

Inc.

a

28,846,508

498,028

Akamai

Technologies,

Inc.

a

45,564,582

319,358

Alliance

Data

Systems

Corporation

10,746,397

126,848

ANSYS,

Inc.

a

29,488,354

Shares

Common

Stock

(97.0%)

Value

Information

Technology

(18.1%)

-

continued

679,349

Ciena

Corporation

a

$

27,044,884

160,160

KLA-Tencor

Corporation

23,021,398

119,712

Nice,

Ltd.

ADR

a,b

17,185,855

1,958,559

Nuance

Communications,

Inc.

a

32,864,620

597,606

Teradyne,

Inc.

32,372,317

Total

247,134,915

Materials

(3.5%)

472,147

Ball

Corporation

30,529,025

779,119

Steel

Dynamics,

Inc.

17,561,342

Total

48,090,367

Real

Estate

(10.2%)

231,173

Alexandria

Real

Estate

Equities,

Inc.

31,684,572

362,189

Camden

Property

Trust

28,699,856

184,687

Digital

Realty

Trust,

Inc.

25,654,871

448,592

Douglas

Emmett,

Inc.

13,686,542

841,070

Duke

Realty

Corporation

27,233,847

1,128,478

Host

Hotels

&

Resorts,

Inc.

12,458,397

Total

139,418,085

Utilities

(7.0%)

579,593

Alliant

Energy

Corporation

27,988,546

488,329

CMS

Energy

Corporation

28,689,329

325,050

Entergy

Corporation

30,544,948

193,375

Public

Service

Enterprise

Group,

Inc.

8,684,471

Total

95,907,294

Total

Common

Stock

(cost

$1,359,462,781)

1,323,206,134

Shares

Collateral

Held

for

Securities

Loaned

(

2.6%

)

Value

35,330,176

Thrivent

Cash

Management

Trust

35,330,176

Total

Collateral

Held

for

Securities

Loaned

(cost

$35,330,176)

35,330,176

Shares

Short-Term

Investments

(

3.3%

)

Value

Thrivent

Core

Short-Term

Reserve

Fund

4,460,257

1.570%

44,513,361

Total

Short-Term

Investments

(cost

$44,602,215)

44,513,361

Total

Investments

(cost

$1,439,395,172)

102.9%

$1,403,049,671

Other

Assets

and

Liabilities,

Net

(2.9%)

(39,807,748)

Total

Net

Assets

100.0%

$1,363,241,923

a

Non-income

producing

security.

b

All

or

a

portion

of

the

security

is

on

loan.

Mid

Cap

Stock

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

151

The

following

table

presents

the

total

amount

of

securities

loaned

with

continuous

maturity,

by

type,

offset

by

the

gross

payable

upon

return

of

collateral

for

securities

loaned

by

Thrivent

Mid

Cap

Stock

Portfolio

as

of

March

31,

2020:

Securities

Lending

Transactions

Common

Stock

$

33,899,266

Total

lending

$33,899,266

Gross

amount

payable

upon

return

of              

collateral

for

securities

loaned

$35,330,176

Net

amounts

due

to

counterparty

$1,430,910

Definitions:

ADR

-

American

Depositary

Receipt,

which

are

certificates

for

an

underlying

foreign

security's

shares

held

by

an

issuing

U.S.

depository

bank.

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Mid

Cap

Stock

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Common

Stock

Communications

Services

53,788,950

53,788,950

–

–

Consumer

Discretionary

126,326,234

126,326,234

–

–

Consumer

Staples

32,963,072

32,963,072

–

–

Energy

19,082,756

19,082,756

–

–

Financials

217,574,231

217,574,231

–

–

Health

Care

124,344,856

124,344,856

–

–

Industrials

218,575,374

218,575,374

–

–

Information

Technology

247,134,915

247,134,915

–

–

Materials

48,090,367

48,090,367

–

–

Real

Estate

139,418,085

139,418,085

–

–

Utilities

95,907,294

95,907,294

–

–

Subtotal

Investments

in

Securities

$1,323,206,134

$1,323,206,134

$–

$–

Other

Investments  *

Total

Affiliated

Short-Term

Investments

44,513,361

Collateral

Held

for

Securities

Loaned

35,330,176

Subtotal

Other

Investments

$79,843,537

Total

Investments

at

Value

$1,403,049,671

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Cash

Management

Trust

for

the

purpose

of

securities

lending

and

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Cash

Management

Trust

and

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Mid

Cap

Stock

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$86,402

$7,765

$49,498

$44,513

4,460

3.3%

Total

Affiliated

Short-Term

Investments

86,402

44,513

3.3

Collateral

held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

55,911

86,841

107,422

35,330

35,330

2.6

Total

Collateral

Held

for

Securities

Loaned

55,911

35,330

2.6

Total

Value

$142,313

$79,843

Mid

Cap

Stock

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

152

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$(67)

$(89)

–

$346

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$346

Collateral

Held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

–

–

–

32

Total

Affiliated

Income

from

Securities

Loaned,

Net

$32

Total

Value

$(67)

$(89)

$–

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

153

Principal

Amount

Bank

Loans

(

1.4%

)

a

Value

Basic

Materials

(0.1%)

Arch

Coal,

Inc.,

Term

Loan

$

1,499,091

3.750%, 

(LIBOR

1M

+

2.750%),

3/7/2024

b

$

1,131,814

Ball

Metalpack

Finco,

LLC,

Term

Loan

702,487

6.113%, 

(LIBOR

3M

+

4.500%),

7/31/2025

b

526,866

Big

River

Steel,

LLC,

Term

Loan

1,077,375

6.450%, 

(LIBOR

3M

+

5.000%),

8/23/2023

b,c

1,023,506

Chemours

Company,

Term

Loan

1,499,400

2.740%, 

(LIBOR

1M

+

1.750%),

4/3/2025

b,c

1,364,454

MRC

Global

(US),

Inc.,

Term

Loan

1,303,308

3.989%, 

(LIBOR

1M

+

3.000%),

9/22/2024

b,c

1,029,613

Nouryon

USA,

LLC,

Term

Loan

1,406,355

3.863%, 

(LIBOR

1M

+

3.000%),

10/1/2025

b

1,251,656

Peabody

Energy

Corporation,

Term

Loan

1,063,300

3.739%, 

(LIBOR

1M

+

2.750%),

3/31/2025

b

531,650

Pixelle

Specialty

Solutions,

LLC,

Term

Loan

1,094,447

7.500%, 

(LIBOR

1M

+

6.500%),

10/31/2024

b

948,885

Total

7,808,444

Capital

Goods

(0.1%)

Advanced

Disposal

Services,

Inc.,

Term

Loan

1,004,645

2.894%, 

(LIBOR

1W

+

2.250%),

11/10/2023

b

990,409

BWAY

Holding

Company,

Term

Loan

1,279,665

5.084%, 

(LIBOR

3M

+

3.250%),

4/3/2024

b

1,037,335

Flex

Acquisition

Company,

Inc.

Term

Loan

1,809,584

5.159%, 

(LIBOR

3M

+

3.250%),

6/29/2025

b,c

1,637,674

GFL

Environmental,

Inc.,

Term

Loan

1,404,463

3.990%, 

(LIBOR

1M

+

3.000%),

5/31/2025

b,d,e

1,355,307

Reynolds

Group

Holdings,

Inc.,

Term

Loan

249,353

0.000%, 

(LIBOR

1M

+

2.750%),

2/5/2023

b,c,d,e

235,015

TransDigm,

Inc.,

Term

Loan

1,406,475

3.239%, 

(LIBOR

1M

+

2.250%),

12/9/2025

b

1,276,376

Vertiv

Group

Corporation,

Term

Loan

2,800,000

4.581%, 

(LIBOR

1M

+

3.000%),

3/2/2027

b,c

2,408,000

Total

8,940,116

Communications

Services

(0.3%)

Altice

France

SA,

Term

Loan

860,662

3.739%, 

(LIBOR

1M

+

2.750%),

7/31/2025

b

789,658

CenturyLink,

Inc.,

Term

Loan

1,945,125

3.239%, 

(LIBOR

1M

+

2.250%),

3/15/2027

b

1,805,329

Principal

Amount

Bank

Loans

(1.4%)

a

Value

Communications

Services

(0.3%)

-

continued

Coral-US

Co-Borrower,

LLC,

Term

Loan

$

3,450,000

3.239%, 

(LIBOR

1M

+

2.250%),

1/31/2028

b

$

3,212,812

Diamond

Sports

Group,

LLC,

Term

Loan

1,358,175

4.180%, 

(LIBOR

1M

+

3.250%),

8/24/2026

b,c

1,045,795

Frontier

Communications

Corporation,

Term

Loan

3,088,670

5.350%, 

(LIBOR

3M

+

3.750%),

6/15/2024

b

2,922,159

HCP

Acquisition,

LLC,

Term

Loan

1,383,025

4.000%, 

(LIBOR

1M

+

3.000%),

5/16/2024

b

1,194,007

Intelsat

Jackson

Holdings

SA,

Term

Loan

1,765,000

5.682%, 

(LIBOR

3M

+

3.750%),

11/27/2023

b

1,608,356

Mediacom

Illinois,

LLC,

Term

Loan

527,792

2.370%, 

(LIBOR

1W

+

1.750%),

2/15/2024

b,c

506,680

NEP

Group,

Inc.,

Term

Loan

1,338,062

4.700%, 

(LIBOR

3M

+

3.250%),

10/20/2025

b

817,891

195,000

8.450%, 

(LIBOR

3M

+

7.000%),

10/19/2026

b

92,625

SBA

Senior

Finance

II,

LLC,

Term

Loan

1,417,848

2.740%, 

(LIBOR

1M

+

1.750%),

4/11/2025

b,d,e

1,337,031

Sprint

Communications,

Inc.,

Term

Loan

2,628,987

3.500%, 

(LIBOR

1M

+

2.500%),

2/3/2024

b,c

2,609,269

Terrier

Media

Buyer,

Inc.,

Term

Loan

1,097,250

5.700%, 

(LIBOR

3M

+

4.250%),

12/17/2026

b,c

968,323

TNS,

Inc.,

Term

Loan

1,523,307

5.780%, 

(LIBOR

3M

+

4.000%),

8/14/2022

b

1,259,272

WideOpenWest

Finance,

LLC,

Term

Loan

1,486,875

4.250%, 

(LIBOR

1M

+

3.250%),

8/19/2023

b

1,364,208

Windstream

Services,

LLC,

Term

Loan

2,551,366

8.250%, 

(PRIME

+

5.000%),

3/30/2021

b,f

1,569,090

Ziggo

Financing

Partnership,

Term

Loan

1,825,000

3.205%, 

(LIBOR

3M

+

2.500%),

4/30/2028

b,c,d,e

1,715,500

Total

24,818,005

Consumer

Cyclical

(0.3%)

Cengage

Learning,

Inc.,

Term

Loan

1,651,570

5.250%, 

(LIBOR

1M

+

4.250%),

6/7/2023

b

1,330,885

Four

Seasons

Hotels,

Ltd.,

Term

Loan

1,309,545

2.989%, 

(LIBOR

1M

+

2.000%),

11/30/2023

b

1,178,591

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

154

Principal

Amount

Bank

Loans

(1.4%)

a

Value

Consumer

Cyclical

(0.3%)

-

continued

Golden

Entertainment,

Inc.,

Term

Loan

$

2,692,350

3.960%, 

(LIBOR

1M

+

3.000%),

10/20/2024

b,c

$

2,019,263

Golden

Nugget,

LLC,

Term

Loan

822,698

3.580%, 

(LIBOR

3M

+

2.500%),

10/4/2023

b

637,591

LCPR

Loan

Financing,

LLC,

Term

Loan

3,255,000

5.705%, 

(LIBOR

1M

+

5.000%),

10/25/2026

b

2,982,394

Men's

Warehouse,

Inc.,

Term

Loan

1,374,798

4.831%, 

(LIBOR

3M

+

3.250%),

4/9/2025

b

467,431

Mohegan

Gaming

and

Entertainment,

Term

Loan

1,860,882

5.375%, 

(LIBOR

1M

+

4.375%),

10/13/2023

b

1,311,922

Penn

National

Gaming,

Inc.,

Term

Loan

1,881,188

3.239%, 

(LIBOR

1M

+

2.250%),

10/15/2025

b

1,407,523

Scientific

Games

International,

Inc.,

Term

Loan

5,290,112

4.250%, 

(LIBOR

1M

+

2.750%),

8/14/2024

b

4,249,705

Staples,

Inc.,

Term

Loan

347,375

6.015%, 

(LIBOR

1M

+

4.500%),

9/12/2024

b,c

236,215

2,323,871

6.515%, 

(LIBOR

1M

+

5.000%),

4/12/2026

b

1,824,239

Stars

Group

Holdings

BV,

Term

Loan

2,900,289

4.950%, 

(LIBOR

3M

+

3.500%),

7/10/2025

b

2,757,681

Tenneco,

Inc.,

Term

Loan

2,192,250

3.989%, 

(LIBOR

1M

+

3.000%),

10/1/2025

b

1,501,691

Wyndham

Hotels

&

Resorts,

Inc.,

Term

Loan

911,125

2.739%, 

(LIBOR

1M

+

1.750%),

5/30/2025

b

796,096

Total

22,701,227

Consumer

Non-Cyclical

(0.3%)

Air

Medical

Group

Holdings,

Inc.,

Term

Loan

5,810,501

4.932%, 

(LIBOR

2M

+

3.250%),

4/28/2022

b

5,360,187

Bausch

Health

Companies,

Inc.,

Term

Loan

2,921,750

3.612%, 

(LIBOR

1M

+

3.000%),

6/1/2025

b

2,764,706

Chobani,

LLC,

Term

Loan

1,558,900

4.500%, 

(LIBOR

1M

+

3.500%),

10/10/2023

b

1,383,524

Endo

International

plc,

Term

Loan

909,263

5.250%, 

(LIBOR

1M

+

4.250%),

4/27/2024

b,d,e

811,517

Energizer

Holdings,

Inc.,

Term

Loan

683,430

3.875%, 

(LIBOR

1M

+

2.250%),

12/17/2025

b,c

635,590

JBS

USA

LUX

SA,

Term

Loan

1,757,250

3.072%, 

(LIBOR

3M

+

2.000%),

5/1/2026

b

1,635,490

Principal

Amount

Bank

Loans

(1.4%)

a

Value

Consumer

Non-Cyclical

(0.3%)

-

continued

Mallinckrodt

International

Finance

SA,

Term

Loan

$

1,039,439

4.704%, 

(LIBOR

3M

+

3.000%),

2/24/2025

b

$

694,481

McGraw-Hill

Global

Education

Holdings,

LLC,

Term

Loan

1,232,919

5.450%, 

(LIBOR

3M

+

4.000%),

5/4/2022

b

1,002,770

MPH

Acquisition

Holdings,

LLC,

Term

Loan

4,200,000

4.200%, 

(LIBOR

3M

+

2.750%),

6/7/2023

b

3,699,486

Ortho-Clinical

Diagnostics

SA,

Term

Loan

4,257,886

4.765%, 

(LIBOR

1M

+

3.250%),

6/30/2025

b

3,603,236

Plantronics,

Inc.,

Term

Loan

4,002,601

3.470%, 

(LIBOR

3M

+

2.500%),

7/2/2025

b

3,096,011

R.R.

Donnelley

&

Sons

Company,

Term

Loan

277,889

5.989%, 

(LIBOR

1M

+

5.000%),

1/15/2024

b

240,374

Sotera

Health

Holdings,

LLC,

Term

Loan

1,180,000

5.500%, 

(LIBOR

1M

+

4.500%),

12/13/2026

b

1,021,809

Total

25,949,181

Energy

(0.1%)

BCP

Raptor

II,

LLC,

Term

Loan

535,950

5.739%, 

(LIBOR

1M

+

4.750%),

11/3/2025

b

294,772

Buckeye

Partners,

LP,

Term

Loan

355,000

0.000%, 

(LIBOR

1M

+

2.750%),

11/1/2026

b,d,e

323,760

Calpine

Corporation,

Term

Loan

1,578,568

3.240%, 

(LIBOR

1M

+

2.250%),

1/15/2024

b

1,512,268

Consolidated

Energy

Finance

SA,

Term

Loan

889,163

3.205%, 

(LIBOR

1M

+

2.500%),

5/7/2025

b,c

622,414

Fieldwood

Energy,

LLC,

Term

Loan

2,052,773

7.027%, 

(LIBOR

3M

+

5.250%),

4/11/2022

b

641,492

McDermott

Technology

(Americas),

Inc.,

Term

Loan

2,188,519

7.250%, 

(PRIME

+

4.000%),

5/10/2025

b,f

620,073

Radiate

Holdco,

LLC,

Term

Loan

4,285,616

3.989%, 

(LIBOR

1M

+

3.000%),

2/1/2024

b

3,928,496

Total

7,943,275

Financials

(0.1%)

Avolon

TLB

Borrower

1

US,

LLC,

Term

Loan

968,057

2.523%, 

(LIBOR

1M

+

1.750%),

1/15/2025

b

858,347

Cyxtera

DC

Holdings,

Inc.,

Term

Loan

1,716,176

4.000%, 

(LIBOR

1M

+

3.000%),

5/1/2024

b

1,100,069

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

155

Principal

Amount

Bank

Loans

(1.4%)

a

Value

Financials

(0.1%)

-

continued

Digicel

International

Finance,

Ltd.,

Term

Loan

$

3,172,055

4.870%, 

(LIBOR

3M

+

3.250%),

5/27/2024

b

$

2,454,377

GGP

Nimbus,

LLC,

Term

Loan

2,457,575

3.489%, 

(LIBOR

1M

+

2.500%),

8/24/2025

b

1,720,303

Harland

Clarke

Holdings

Corporation,

Term

Loan

2,415,345

6.463%, 

(LIBOR

3M

+

4.750%),

11/3/2023

b

1,454,497

Level

3

Financing,

Inc.,

Term

Loan

1,865,000

2.739%, 

(LIBOR

1M

+

1.750%),

3/1/2027

b

1,734,450

MoneyGram

International,

Inc.,

Term

Loan

1,176,113

6.989%, 

(LIBOR

1M

+

6.000%),

6/30/2023

b

840,920

Northriver

Midstream

Finance,

LP,

Term

Loan

1,137,121

5.159%, 

(LIBOR

3M

+

3.250%),

10/1/2025

b

867,294

Tronox

Finance,

LLC,

Term

Loan

2,145,984

3.930%, 

(LIBOR

1M

+

2.750%),

9/22/2024

b

1,868,530

Total

12,898,787

Technology

(0.1%)

Clear

Channel

Outdoor

Holdings,

Inc.,

Term

Loan

1,069,625

4.489%, 

(LIBOR

1M

+

3.500%),

8/21/2026

b,c

898,485

Prime

Security

Services

Borrower,

LLC,

Term

Loan

4,293,425

4.606%, 

(LIBOR

1M

+

3.250%),

9/23/2026

b

3,834,029

Rackspace

Hosting,

Inc.,

Term

Loan

3,704,095

4.763%, 

(LIBOR

3M

+

3.000%),

11/3/2023

b

3,204,042

SS&C

Technologies,

Inc.,

Term

Loan

602,120

2.739%, 

(LIBOR

1M

+

1.750%),

4/16/2025

b

561,477

429,654

2.739%, 

(LIBOR

1M

+

1.750%),

4/16/2025

b

400,652

1,477,265

2.739%, 

(LIBOR

1M

+

1.750%),

4/16/2025

b

1,378,480

Zayo

Group

Holdings,

Inc.,

Term

Loan

2,655,000

3.989%, 

(LIBOR

1M

+

3.000%),

3/9/2027

b,c,d,e

2,495,700

Total

12,772,865

Transportation

(<0.1%)

Genesee

&

Wyoming,

Inc.,

Term

Loan

1,660,000

3.450%, 

(LIBOR

3M

+

2.000%),

12/30/2026

b

1,582,196

United

Airlines,

Inc.,

Term

Loan

1,245,000

2.739%, 

(LIBOR

3M

+

1.750%),

4/1/2024

b,c,d,e

1,120,500

Total

2,702,696

Utilities

(<0.1%)

Core

and

Main,

LP,

Term

Loan

1,246,312

4.331%, 

(LIBOR

1M

+

2.750%),

8/1/2024

b

1,093,639

Principal

Amount

Bank

Loans

(1.4%)

a

Value

Utilities

(<0.1%)

-

continued

EnergySolutions,

LLC,

Term

Loan

$

1,021,800

5.200%, 

(LIBOR

3M

+

3.750%),

5/11/2025

b,c

$

878,748

Total

1,972,387

Total

Bank

Loans

(cost

$153,509,294)

128,506,983

Shares

Registered

Investment

Companies

(

37.6%

)

Value

Unaffiliated  (0.6%)

15,834

Health

Care

Select

Sector

SPDR

Fund

1,402,576

198,000

Invesco

Senior

Loan

ETF

4,051,080

16,064

iShares

Russell

2000

Value

Index

Fund

1,317,730

21,128

ProShares

Ultra

S&P

500

g

1,878,490

115,752

SPDR

Bloomberg

Barclays

High

Yield

Bond

ETF

10,966,345

114,850

SPDR

S&P

500

ETF

Trust

g

29,602,588

22,920

SPDR

S&P

Biotech

ETF

1,774,925

Total

50,993,734

Affiliated  (37.0%)

22,775,232

Thrivent

Core

Emerging

Markets

Debt

Fund

201,333,051

1,824,278

Thrivent

Core

Emerging

Markets

Equity

Fund

h

14,265,856

10,770,058

Thrivent

Core

International

Equity

Fund

80,021,532

34,884,965

Thrivent

Core

Low

Volatility

Equity

Fund

344,663,457

27,107,661

Thrivent

Global

Stock

Portfolio

293,508,205

41,913,811

Thrivent

High

Yield

Portfolio

170,597,592

57,911,371

Thrivent

Income

Portfolio

591,414,086

55,936,322

Thrivent

International

Allocation

Portfolio

428,170,172

35,530,142

Thrivent

Large

Cap

Value

Portfolio

491,438,710

34,005,318

Thrivent

Limited

Maturity

Bond

Portfolio

326,260,623

20,466,490

Thrivent

Mid

Cap

Stock

Portfolio

285,589,401

5,622,490

Thrivent

Small

Cap

Stock

Portfolio

76,628,921

Total

3,303,891,606

Total

Registered

Investment

Companies

(cost

$3,497,994,025)

3,354,885,340

Principal

Amount

Long-Term

Fixed

Income

(

32.8%

)

Value

Asset-Backed

Securities

(1.2%)

Access

Group,

Inc.

354,972

1.447%, 

(LIBOR

1M

+

0.500%),

2/25/2036,

Ser.

2013-1,

Class

A

b,i

338,622

Aimco

3,100,000

3.122%, 

(LIBOR

3M

+

1.320%),

7/22/2032,

Ser.

2019-10A,

Class

A

b,i

2,877,222

Ares

CLO,

Ltd.

4,250,000

3.236%, 

(LIBOR

3M

+

1.400%),

10/17/2030,

Ser.

2018-28RA,

Class

A2

b,i

3,919,677

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

156

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

Asset-Backed

Securities

(1.2%)

-

continued

Ares

XXXIIR

CLO,

Ltd.

$

2,750,000

2.632%, 

(LIBOR

3M

+

0.940%),

5/15/2030,

Ser.

2014-32RA,

Class

A1A

b,i

$

2,597,793

Benefit

Street

Partners

CLO

IV,

Ltd.

3,100,000

3.569%, 

(LIBOR

3M

+

1.750%),

1/20/2029,

Ser.

2014-IVA,

Class

A2RR

b,i

2,869,171

Betony

CLO,

Ltd.

1,260,000

2.850%, 

(LIBOR

3M

+

1.080%),

4/30/2031,

Ser.

2018-1A,

Class

A1

b,i

1,179,552

Buttermilk

Park

CLO,

Ltd.

7,100,000

3.231%, 

(LIBOR

3M

+

1.400%),

10/15/2031,

Ser.

2018-1A,

Class

A2

b,i

6,477,926

Carlyle

Global

Market

Strategies

CLO,

Ltd.

4,650,000

3.281%, 

(LIBOR

3M

+

1.450%),

7/15/2031,

Ser.

2014-5A,

Class

A2RR

b,i

4,178,513

Carvana

Auto

Receivables

Trust

650,000

2.340%, 

6/15/2023,

Ser.

2019-3A,

Class

A3

i

638,319

CBAM,

Ltd.

4,500,000

3.111%, 

(LIBOR

3M

+

1.280%),

2/12/2030,

Ser.

2019-9A,

Class

A

b,i

4,312,962

Colony

American

Finance

Trust

4,922,173

2.835%, 

6/15/2052,

Ser.

2019-2,

Class

A

i

4,686,292

Commonbond

Student

Loan

Trust

872,342

1.447%, 

(LIBOR

1M

+

0.500%),

2/25/2044,

Ser.

2018-AGS,

Class

A2

b,i

849,009

CoreVest

American

Finance

Trust

5,722,066

2.705%, 

10/15/2052,

Ser.

2019-3,

Class

A

i

5,431,340

DRB

Prime

Student

Loan

Trust

198,427

3.516%, 

(LIBOR

1M

+

1.900%),

10/27/2031,

Ser.

2015-B,

Class

A1

b,i

199,064

Dryden

Senior

Loan

Fund

3,950,000

3.219%, 

(LIBOR

3M

+

1.400%),

7/18/2030,

Ser.

2018-65A,

Class

A2

b,i

3,652,048

Earnest

Student

Loan

Program

2016-D,

LLC

789,641

2.770%, 

1/25/2041,

Ser.

2016-D,

Class

A2

i

794,245

Edlinc

Student

Loan

Funding

Trust

7,244

3.270%, 

(CMT

3M

+

3.150%),

10/1/2025,

Ser.

2012-A,

Class

AT

b,i

7,247

Galaxy

XX

CLO,

Ltd.

4,500,000

2.819%, 

(LIBOR

3M

+

1.000%),

4/20/2031,

Ser.

2015-20A,

Class

AR

b,i

4,226,881

Golub

Capital

Partners,

Ltd.

2,500,000

2.999%, 

(LIBOR

3M

+

1.180%),

1/20/2031,

Ser.

2015-22A,

Class

AR

b,i

2,319,123

3,683,000

3.019%, 

(LIBOR

3M

+

1.200%),

1/20/2031,

Ser.

2015-23A,

Class

AR

b,i

3,410,528

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

Asset-Backed

Securities

(1.2%)

-

continued

Goodgreen

$

4,170,806

3.860%, 

10/15/2054,

Ser.

2019-1A,

Class

A

i

$

4,207,323

Home

Partners

of

America

Trust

5,613,673

2.908%, 

9/17/2039,

Ser.

2019-1,

Class

A

i

5,443,966

5,615,904

2.703%, 

10/19/2039,

Ser.

2019-2,

Class

A

i

5,276,321

Laurel

Road

Prime

Student

Loan

Trust

1,850,776

2.810%, 

11/25/2042,

Ser.

2017-C,

Class

A2B

i

1,853,577

Madison

Park

Funding

XIV,

Ltd.

3,125,000

3.202%, 

(LIBOR

3M

+

1.400%),

10/22/2030,

Ser.

2014-14A,

Class

A2RR

b,i

2,839,975

Magnetite

XII,

Ltd.

4,425,000

2.931%, 

(LIBOR

3M

+

1.100%),

10/15/2031,

Ser.

2015-12A,

Class

ARR

b,i

4,150,066

Mountain

View

CLO,

Ltd.

3,175,000

2.951%, 

(LIBOR

3M

+

1.120%),

7/15/2031,

Ser.

2015-9A,

Class

A1R

b,i

2,911,323

National

Collegiate

Trust

1,760,716

1.242%, 

(LIBOR

1M

+

0.295%),

5/25/2031,

Ser.

2007-A,

Class

A

b,i

1,657,017

Neuberger

Berman

CLO

XIV,

Ltd.

3,300,000

2.646%, 

(LIBOR

3M

+

1.030%),

1/28/2030,

Ser.

2013-14A,

Class

AR2

b,i

3,162,489

Neuberger

Berman

CLO,

Ltd.

1,350,000

2.646%, 

(LIBOR

3M

+

1.030%),

4/22/2029,

Ser.

2014-17A,

Class

AR2

b,i

1,290,318

Octagon

Investment

Partners

XVI,

Ltd.

750,000

3.236%, 

(LIBOR

3M

+

1.400%),

7/17/2030,

Ser.

2013-1A,

Class

A2R

b,i

688,428

OZLM

VIII,

Ltd.

1,300,000

3.006%, 

(LIBOR

3M

+

1.170%),

10/17/2029,

Ser.

2014-8A,

Class

A1RR

b,i

1,236,728

Palmer

Square

Loan

Funding,

Ltd.

3,268,405

2.669%, 

(LIBOR

3M

+

0.850%),

1/20/2027,

Ser.

2018-5A,

Class

A1

b,i

3,157,838

2,200,000

3.469%, 

(LIBOR

3M

+

1.650%),

4/20/2027,

Ser.

2019-1A,

Class

A2

b,i

2,121,484

PPM

CLO

3,

Ltd.

2,250,000

3.236%, 

(LIBOR

3M

+

1.400%),

7/17/2030,

Ser.

2019-3A,

Class

A

b,i

2,110,653

RCO

Mortgage,

LLC

1,918,559

4.458%, 

10/25/2023,

Ser.

2018-2,

Class

A1

i,j

1,816,171

Saxon

Asset

Securities

Trust

1,204,048

3.765%, 

8/25/2035,

Ser.

2004-2,

Class

MF2

b

1,004,411

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

157

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

Asset-Backed

Securities

(1.2%)

-

continued

Shackleton

CLO,

Ltd.

$

3,000,000

3.001%, 

(LIBOR

3M

+

1.170%),

7/15/2031,

Ser.

2015-7RA,

Class

A1

b,i

$

2,790,579

SLM

Student

Loan

Trust

1,331,031

1.347%, 

(LIBOR

1M

+

0.400%),

3/25/2025,

Ser.

2010-1,

Class

A

b

1,264,891

U.S.

Small

Business

Administration

260,062

3.191%, 

3/10/2024,

Ser.

2014-10A,

Class

1

267,911

Voya

CLO,

Ltd.

2,100,000

3.031%, 

(LIBOR

3M

+

1.200%),

10/15/2030,

Ser.

2012-4A,

Class

A1AR

b,i

1,971,782

Total

106,188,785

Basic

Materials

(0.2%)

Anglo

American

Capital

plc

1,115,000

4.875%, 

5/14/2025

i

1,081,892

Cleveland-Cliffs,

Inc.

940,000

5.750%, 

3/1/2025

726,150

Dow

Chemical

Company

700,000

4.800%, 

11/30/2028

755,183

DowDuPont,

Inc.

1,475,000

4.493%, 

11/15/2025

1,586,305

First

Quantum

Minerals,

Ltd.

1,330,000

7.500%, 

4/1/2025

i

1,106,813

Freeport-McMoRan,

Inc.

660,000

4.125%, 

3/1/2028

577,757

710,000

4.250%, 

3/1/2030

616,848

Glencore

Funding,

LLC

760,000

4.125%, 

5/30/2023

i

700,233

950,000

4.000%, 

3/27/2027

i

864,872

International

Paper

Company

1,888,000

4.350%, 

8/15/2048

1,828,092

Kinross

Gold

Corporation

770,000

5.950%, 

3/15/2024

777,700

1,950,000

4.500%, 

7/15/2027

1,835,360

Krayton

Polymers,

LLC

910,000

7.000%, 

4/15/2025

i

805,350

Norbord,

Inc.

970,000

5.750%, 

7/15/2027

i

885,528

Novelis

Corporation

1,125,000

5.875%, 

9/30/2026

i

1,104,036

290,000

4.750%, 

1/30/2030

i

258,100

Olin

Corporation

1,135,000

5.125%, 

9/15/2027

1,014,196

Peabody

Securities

Finance

Corporation

1,665,000

6.375%, 

3/31/2025

i

865,800

Syngenta

Finance

NV

1,375,000

3.933%, 

4/23/2021

i

1,295,702

Teck

Resources,

Ltd.

1,267,000

6.125%, 

10/1/2035

1,164,855

Tronox

Finance

plc

1,050,000

5.750%, 

10/1/2025

i

937,125

Vale

Overseas,

Ltd.

1,135,000

6.250%, 

8/10/2026

1,225,823

514,000

6.875%, 

11/21/2036

570,802

Total

22,584,522

Capital

Goods

(0.5%)

AECOM

1,730,000

5.125%, 

3/15/2027

1,557,000

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

Capital

Goods

(0.5%)

-

continued

Amsted

Industries,

Inc.

$

1,260,000

5.625%, 

7/1/2027

i

$

1,225,873

Ardagh

Packaging

Finance

plc

1,810,000

6.000%, 

2/15/2025

i

1,815,068

Bombardier,

Inc.

1,645,000

7.500%, 

3/15/2025

i

1,139,163

Building

Materials

Corporation

of

America

1,855,000

6.000%, 

10/15/2025

i

1,823,094

Cemex

SAB

de

CV

580,000

5.450%, 

11/19/2029

i

470,670

Cintas

Corporation

No.

2

1,125,000

3.700%, 

4/1/2027

1,153,291

CNH

Industrial

Capital,

LLC

1,452,000

4.875%, 

4/1/2021

1,419,143

CNH

Industrial

NV

915,000

3.850%, 

11/15/2027

881,915

Covanta

Holding

Corporation

890,000

6.000%, 

1/1/2027

741,294

Crown

Cork

&

Seal

Company,

Inc.

1,670,000

7.375%, 

12/15/2026

1,711,750

H&E

Equipment

Services,

Inc.

890,000

5.625%, 

9/1/2025

825,475

Ingersoll-Rand

Luxembourg

Finance

SA

1,575,000

3.500%, 

3/21/2026

1,575,649

L3Harris

Technologies,

Inc.

2,150,000

3.950%, 

5/28/2024

i

2,253,657

Lockheed

Martin

Corporation

1,496,000

3.600%, 

3/1/2035

1,760,620

1,544,000

4.500%, 

5/15/2036

1,769,654

374,000

6.150%, 

9/1/2036

499,483

Northrop

Grumman

Corporation

2,575,000

3.850%, 

4/15/2045

2,720,303

Owens-Brockway

Glass

Container,

Inc.

1,460,000

5.000%, 

1/15/2022

i

1,474,819

Republic

Services,

Inc.

1,100,000

2.900%, 

7/1/2026

1,111,859

Reynolds

Group

Issuer,

Inc.

1,935,000

5.125%, 

7/15/2023

i

1,920,468

Roper

Technologies,

Inc.

605,000

3.650%, 

9/15/2023

621,984

668,000

4.200%, 

9/15/2028

719,217

Siemens

Financieringsmaatschappij

NV

615,000

4.200%, 

3/16/2047

i

718,131

Textron,

Inc.

1,010,000

3.375%, 

3/1/2028

968,273

TransDigm,

Inc.

500,000

6.250%, 

3/15/2026

i

497,500

1,410,000

5.500%, 

11/15/2027

i

1,265,475

United

Rentals

North

America,

Inc.

340,000

4.875%, 

1/15/2028

329,800

1,870,000

4.000%, 

7/15/2030

1,673,650

United

Technologies

Corporation

1,850,000

4.450%, 

11/16/2038

2,119,958

1,200,000

3.750%, 

11/1/2046

1,258,694

1,900,000

4.050%, 

5/4/2047

2,087,495

Total

42,110,425

Collateralized

Mortgage

Obligations

(0.8%)

Ajax

Mortgage

Loan

Trust

3,747,458

4.360%, 

9/25/2065,

Ser.

2018-C,

Class

A

b,i

3,688,241

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

158

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

Collateralized

Mortgage

Obligations

(0.8%)

-

continued

Alternative

Loan

Trust

$

777,884

6.000%, 

8/1/2036,

Ser.

2006-24CB,

Class

A9

$

534,796

Angel

Oak

Mortgage

Trust

I,

LLC

1,247,713

3.500%, 

7/25/2046,

Ser.

2016-1,

Class

A1

i

1,214,619

Bayview

Koitere

Fund

Trust

1,544,451

4.000%, 

11/28/2053,

Ser.

2017-SPL3,

Class

A

b,i

1,541,605

Bellemeade

Re,

Ltd.

1,061,414

2.547%, 

(LIBOR

1M

+

1.600%),

4/25/2028,

Ser.

2018-1A,

Class

M1B

b,i

1,053,344

2,081,645

2.047%, 

(LIBOR

1M

+

1.100%),

7/25/2029,

Ser.

2019-3A,

Class

M1A

b,i

2,071,427

BRAVO

Residential

Funding

Trust

545,174

3.500%, 

3/25/2058,

Ser.

2019-1,

Class

A1C

i

546,827

2,356,477

2.748%, 

11/25/2059,

Ser.

2019-NQM2,

Class

A1

b,i

2,276,088

Citicorp

Mortgage

Securities,

Inc.

3,513,262

6.000%, 

7/25/2037,

Ser.

2007-6,

Class

1A4

3,162,448

Citigroup

Mortgage

Loan

Trust,

Inc.

460,975

5.500%, 

11/25/2035,

Ser.

2005-9,

Class

21A2

431,498

COLT

Funding,

LLC

751,078

3.470%, 

7/27/2048,

Ser.

2018-2,

Class

A1

b,i

740,447

Countrywide

Alternative

Loan

Trust

901,169

3.358%, 

10/25/2035,

Ser.

2005-43,

Class

4A1

b

761,216

1,082,287

6.000%, 

4/25/2036,

Ser.

2006-4CB,

Class

1A1

662,740

2,020,458

7.000%, 

10/25/2037,

Ser.

2007-24,

Class

A10

1,065,778

Countrywide

Home

Loans,

Inc.

540,215

5.750%, 

4/25/2037,

Ser.

2007-3,

Class

A27

387,941

Credit

Suisse

Mortgage

Capital

Certificates

3,172,052

3.393%, 

2/25/2024,

Ser.

2020-BPL1,

Class

A1

i,j

3,138,481

Credit

Suisse

Mortgage

Trust

4,507,464

3.850%, 

9/25/2057,

Ser.

2018-RPL9,

Class

A1

b,i

4,591,034

Deutsche

Alt-A

Securities,

Inc.,

Mortgage

Loan

Trust

263,819

6.000%, 

10/25/2021,

Ser.

2006-AR5,

Class

23A

223,993

Ellington

Financial

Mortgage

Trust

2,464,070

4.140%, 

10/25/2058,

Ser.

2018-1,

Class

A1FX

b,i

2,434,086

Federal

Home

Loan

Mortgage

Corporation

-

REMIC

3,049,390

4.000%, 

7/15/2031,

Ser.

4104,

Class

KI

k

201,500

2,392,974

3.000%, 

2/15/2033,

Ser.

4170,

Class

IG

k

226,302

4,831,514

3.000%, 

3/15/2033,

Ser.

4180,

Class

PI

k

436,819

932,466

3.000%, 

7/15/2046,

Ser.

4750,

Class

PA

995,310

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

Collateralized

Mortgage

Obligations

(0.8%)

-

continued

Federal

National

Mortgage

Association

-

REMIC

$

8,176,922

3.000%, 

12/25/2027,

Ser.

2012-137,

Class

AI

k

$

525,930

FWD

Securitization

Trust

2,963,612

2.810%, 

6/25/2049,

Ser.

2019-INV1,

Class

A1

b,i

2,937,191

Galton

Funding

Mortgage

Trust

2017-1

2,629,575

4.500%, 

10/25/2058,

Ser.

2018-2,

Class

A41

b,i

2,637,364

GCAT

Trust

232,279

2.985%, 

2/25/2059,

Ser.

2019-NQM1,

Class

A1

i,j

227,733

GS

Mortgage-Backed

Securities

Trust

1,224,598

2.625%, 

1/25/2059,

Ser.

2019-SL1,

Class

A1

b,i

1,198,835

J.P.

Morgan

Alternative

Loan

Trust

1,151,618

6.500%, 

3/25/2036,

Ser.

2006-S1,

Class

1A19

842,714

MASTR

Alternative

Loans

Trust

1,375,802

1.397%, 

(LIBOR

1M

+

0.450%),

12/25/2035,

Ser.

2005-6,

Class

2A1

b

309,407

Merrill

Lynch

Alternative

Note

Asset

Trust

442,032

6.000%, 

3/25/2037,

Ser.

2007-F1,

Class

2A1

284,385

MFRA

Trust

2,399,739

4.164%, 

7/25/2048,

Ser.

2018-NPL2,

Class

A1

i,j

2,377,068

Preston

Ridge

Partners

Mortgage

Trust,

LLC

3,048,147

4.500%, 

1/25/2024,

Ser.

2019-1A,

Class

A1

i,j

3,076,806

RCO

Mortgage,

LLC

1,179,028

4.270%, 

12/26/2053,

Ser.

2018-VFS1,

Class

A1

b,i

1,156,479

Renaissance

Home

Equity

Loan

Trust

3,359,718

5.580%, 

11/25/2036,

Ser.

2006-3,

Class

AF2

j

1,548,334

Residential

Accredit

Loans,

Inc.

Trust

1,475,674

6.000%, 

8/25/2035,

Ser.

2005-QS10,

Class

2A

1,343,041

Sequoia

Mortgage

Trust

1,371,664

3.676%, 

9/20/2046,

Ser.

2007-1,

Class

4A1

b

966,966

Toorak

Mortgage

Corporation

2,750,000

4.458%, 

3/25/2022,

Ser.

2019-1,

Class

A1

i,j

2,409,871

11,500,000

3.721%, 

9/25/2022,

Ser.

2019-2,

Class

A1

10,271,648

1,750,000

2.734%, 

3/25/2023,

Ser.

2020-1,

Class

A1

i,j

1,728,423

Verus

Securitization

Trust

987,802

2.485%, 

7/25/2047,

Ser.

2017-2A,

Class

A1

b,i

957,749

684,508

3.836%, 

2/25/2059,

Ser.

2019-1,

Class

A1

b,i

664,241

528,920

3.211%, 

5/25/2059,

Ser.

2019-2,

Class

A1

b,i

517,875

1,057,858

3.345%, 

5/25/2059,

Ser.

2019-2,

Class

A2

b,i

1,035,629

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

159

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

Collateralized

Mortgage

Obligations

(0.8%)

-

continued

$

3,926,942

2.913%, 

7/25/2059,

Ser.

2019-INV2,

Class

A1

b,i

$

3,866,005

WaMu

Mortgage

Pass

Through

Certificates

128,782

3.706%, 

9/25/2036,

Ser.

2006-AR10,

Class

1A2

b

108,805

463,492

3.689%, 

10/25/2036,

Ser.

2006-AR12,

Class

1A1

b

403,501

Total

73,782,540

Commercial

Mortgage-Backed

Securities

(0.4%)

Citigroup

Commercial

Mortgage

Trust

4,700,000

3.102%, 

12/15/2072,

Ser.

2019-C7,

Class

A4

4,864,675

Federal

Home

Loan

Mortgage

Corporation

Multifamily

Structured

Pass

Through

Certificates

1,680,205

3.000%, 

3/15/2045,

Ser.

4741,

Class

GA

1,770,387

Federal

National

Mortgage

Association

-

ACES

5,750,000

3.555%, 

9/25/2028,

Ser.

2019-M1,

Class

A2

b

6,557,475

9,025,000

3.639%, 

8/25/2030,

Ser.

2018-M12,

Class

A2

b

10,303,006

GS

Mortgage

Securities

Trust

6,600,000

3.666%, 

9/10/2047,

Ser.

2014-GC24,

Class

A4

6,837,337

UBS

Commercial

Mortgage

Trust

3,525,000

2.921%, 

10/15/2052,

Ser.

2019-C17,

Class

A4

3,657,305

Total

33,990,185

Communications

Services

(1.0%)

AMC

Networks,

Inc.

955,000

5.000%, 

4/1/2024

916,800

American

Tower

Corporation

900,000

2.900%, 

1/15/2030

875,806

AT&T,

Inc.

1,825,000

4.350%, 

3/1/2029

1,962,292

1,037,000

4.300%, 

2/15/2030

1,116,145

1,475,000

5.250%, 

3/1/2037

1,717,228

1,460,000

4.900%, 

8/15/2037

1,638,570

1,140,000

6.350%, 

3/15/2040

1,443,935

1,300,000

5.550%, 

8/15/2041

1,480,233

1,630,000

5.450%, 

3/1/2047

1,957,191

British

Sky

Broadcasting

Group

plc

1,450,000

3.125%, 

11/26/2022

i

1,474,660

British

Telecommunications

plc

1,475,000

4.500%, 

12/4/2023

1,545,317

CCO

Holdings,

LLC

900,000

5.125%, 

5/1/2027

i

905,823

2,100,000

4.750%, 

3/1/2030

i

2,094,750

CCOH

Safari,

LLC

1,300,000

5.750%, 

2/15/2026

i

1,313,520

Charter

Communications

Operating,

LLC

700,000

4.500%, 

2/1/2024

721,354

1,800,000

4.200%, 

3/15/2028

1,847,633

1,525,000

6.484%, 

10/23/2045

1,864,474

Clear

Channel

Worldwide

Holdings,

Inc.

910,000

5.125%, 

8/15/2027

i

852,124

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

Communications

Services

(1.0%)

-

continued

Comcast

Corporation

$

1,550,000

4.950%, 

10/15/2058

$

2,140,638

800,000

4.049%, 

11/1/2052

953,460

1,225,000

2.750%, 

3/1/2023

1,259,473

900,000

3.950%, 

10/15/2025

990,896

1,500,000

4.250%, 

10/15/2030

1,758,659

1,265,000

4.400%, 

8/15/2035

1,532,234

1,305,000

4.750%, 

3/1/2044

1,649,354

550,000

4.600%, 

8/15/2045

701,739

Cox

Communications,

Inc.

1,815,000

3.350%, 

9/15/2026

i

1,784,632

748,000

4.600%, 

8/15/2047

i

773,401

Crown

Castle

International

Corporation

1,158,000

5.250%, 

1/15/2023

1,228,131

1,496,000

3.200%, 

9/1/2024

1,491,574

Discovery

Communications,

LLC

1,850,000

4.900%, 

3/11/2026

1,881,444

Embarq

Corporation

960,000

7.995%, 

6/1/2036

950,400

Fox

Corporation

900,000

3.500%, 

4/8/2030

e

898,191

Front

Range

BidCo,

Inc.

1,180,000

4.000%, 

3/1/2027

i

1,129,112

Gray

Television,

Inc.

935,000

5.875%, 

7/15/2026

i

900,218

iHeartCommunications,

Inc.

1,300,000

4.750%, 

1/15/2028

i

1,170,000

Lamar

Media

Corporation

600,000

3.750%, 

2/15/2028

i

562,428

Level

3

Financing,

Inc.

1,980,000

4.625%, 

9/15/2027

i

1,967,922

Neptune

Finco

Corporation

2,517,000

10.875%, 

10/15/2025

i

2,712,067

Netflix,

Inc.

1,860,000

4.875%, 

4/15/2028

1,897,200

Nexstar

Escrow

Corporation

603,000

5.625%, 

8/1/2024

i

567,568

750,000

5.625%, 

7/15/2027

i

733,125

Omnicom

Group,

Inc.

750,000

3.600%, 

4/15/2026

748,594

875,000

4.200%, 

6/1/2030

902,291

SFR

Group

SA

1,250,000

7.375%, 

5/1/2026

i

1,262,500

Sirius

XM

Radio,

Inc.

1,760,000

5.000%, 

8/1/2027

i

1,786,224

Sprint

Corporation

1,750,000

7.250%, 

9/15/2021

1,803,725

1,680,000

7.625%, 

2/15/2025

1,859,172

Telefonica

Emisiones

SAU

900,000

4.570%, 

4/27/2023

961,075

Telesat

Canada

/

Telesat,

LLC

1,000,000

4.875%, 

6/1/2027

i

954,800

Time

Warner

Entertainment

Company,

LP

1,691,000

8.375%, 

3/15/2023

1,856,552

T-Mobile

USA,

Inc.

2,870,000

4.500%, 

2/1/2026

2,920,225

VeriSign,

Inc.

400,000

4.750%, 

7/15/2027

414,560

Verizon

Communications,

Inc.

1,876,000

3.376%, 

2/15/2025

2,012,333

820,000

2.792%, 

(LIBOR

3M

+

1.100%),

5/15/2025

b

747,449

4,065,000

4.272%, 

1/15/2036

4,748,983

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

160

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

Communications

Services

(1.0%)

-

continued

Viacom,

Inc.

$

735,000

4.250%, 

9/1/2023

$

749,474

1,140,000

5.850%, 

9/1/2043

1,169,237

Virgin

Media

Secured

Finance

plc

1,590,000

5.500%, 

8/15/2026

i

1,613,850

Vodafone

Group

plc

1,600,000

4.875%, 

6/19/2049

1,767,586

Windstream

Services,

LLC

980,000

8.625%, 

10/31/2025

f,i

588,000

Ziggo

BV

809,000

5.500%, 

1/15/2027

i

809,000

Total

87,037,351

Consumer

Cyclical

(0.8%)

1011778

B.C.,

ULC

1,790,000

4.375%, 

1/15/2028

i

1,653,781

Allison

Transmission,

Inc.

1,270,000

5.000%, 

10/1/2024

i

1,231,900

Amazon.com,

Inc.

1,870,000

3.875%, 

8/22/2037

2,241,214

1,122,000

4.050%, 

8/22/2047

1,432,265

American

Honda

Finance

Corporation

1,600,000

2.150%, 

9/10/2024

1,561,919

Brookfield

Property

REIT,

Inc.

620,000

5.750%, 

5/15/2026

i

503,056

Brookfield

Residential

Properties,

Inc.

1,615,000

6.250%, 

9/15/2027

i

1,400,851

Cedar

Fair,

LP

720,000

5.250%, 

7/15/2029

i

608,400

CVS

Health

Corporation

1,500,000

3.625%, 

4/1/2027

1,537,157

D.R.

Horton,

Inc.

1,515,000

2.550%, 

12/1/2020

1,493,926

Daimler

Finance

North

America,

LLC

150,000

2.301%, 

(LIBOR

3M

+

0.550%),

5/4/2021

b,i

144,204

1,500,000

1.750%, 

3/10/2023

i

1,412,373

Ford

Motor

Credit

Company,

LLC

570,000

3.200%, 

1/15/2021

550,762

575,000

2.645%, 

(LIBOR

3M

+

1.270%),

3/28/2022

b

467,354

1,650,000

2.979%, 

8/3/2022

1,534,500

1,940,000

4.063%, 

11/1/2024

1,760,550

1,870,000

4.134%, 

8/4/2025

1,658,690

General

Motors

Company

1,500,000

1.796%, 

(LIBOR

3M

+

0.900%),

9/10/2021

b

1,353,696

General

Motors

Financial

Company,

Inc.

772,000

4.200%, 

3/1/2021

742,973

1,635,000

3.150%, 

6/30/2022

1,475,959

760,000

3.950%, 

4/13/2024

688,807

Hanesbrands,

Inc.

1,400,000

4.875%, 

5/15/2026

i

1,375,500

Herc

Holdings,

Inc.

480,000

5.500%, 

7/15/2027

i

446,400

Hilton

Domestic

Operating

Company,

Inc.

1,790,000

4.875%, 

1/15/2030

1,521,500

Home

Depot,

Inc.

900,000

3.350%, 

4/15/2050

978,622

1,755,000

5.400%, 

9/15/2040

2,284,520

1,140,000

4.250%, 

4/1/2046

1,361,818

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

Consumer

Cyclical

(0.8%)

-

continued

$

1,870,000

3.900%, 

6/15/2047

$

2,103,051

Hyundai

Capital

America

2,250,000

3.000%, 

6/20/2022

i

2,185,496

L

Brands,

Inc.

490,000

6.694%, 

1/15/2027

353,780

Landry's,

Inc.

905,000

6.750%, 

10/15/2024

i

570,050

Lennar

Corporation

925,000

4.125%, 

1/15/2022

915,750

1,895,000

4.875%, 

12/15/2023

1,857,100

585,000

4.500%, 

4/30/2024

572,153

Mastercard,

Inc.

1,135,000

3.300%, 

3/26/2027

1,233,353

1,070,000

3.950%, 

2/26/2048

1,234,517

Mattamy

Group

Corporation

1,540,000

5.250%, 

12/15/2027

i

1,432,200

McDonald's

Corporation

1,500,000

2.125%, 

3/1/2030

g

1,397,505

1,755,000

4.450%, 

3/1/2047

1,900,682

MGM

Resorts

International

1,940,000

6.000%, 

3/15/2023

1,872,100

Prime

Security

Services

Borrower,

LLC

1,820,000

5.750%, 

4/15/2026

i

1,783,600

Ryman

Hospitality

Properties,

Inc.

610,000

4.750%, 

10/15/2027

i

457,500

Scientific

Games

International,

Inc.

910,000

5.000%, 

10/15/2025

i

791,700

310,000

7.000%, 

5/15/2028

i

190,650

ServiceMaster

Company,

LLC

1,700,000

5.125%, 

11/15/2024

i

1,678,750

Six

Flags

Entertainment

Corporation

550,000

5.500%, 

4/15/2027

i

463,375

Staples,

Inc.

970,000

7.500%, 

4/15/2026

i

848,756

Target

Corporation

1,300,000

2.250%, 

4/15/2025

1,319,808

TJX

Companies,

Inc.

1,500,000

3.750%, 

4/15/2027

1,540,290

875,000

3.875%, 

4/15/2030

905,405

Viking

Cruises,

Ltd.

615,000

5.875%, 

9/15/2027

i

359,843

Visa,

Inc.

900,000

1.900%, 

4/15/2027

897,462

1,500,000

2.700%, 

4/15/2040

1,488,960

Volkswagen

Group

of

America

Finance,

LLC

1,800,000

4.250%, 

11/13/2023

i

1,778,454

Walmart,

Inc.

1,300,000

3.250%, 

7/8/2029

1,430,082

Yum!

Brands,

Inc.

1,290,000

4.750%, 

1/15/2030

i

1,201,506

Total

68,186,575

Consumer

Non-Cyclical

(1.3%)

Abbott

Laboratories

1,445,000

4.750%, 

11/30/2036

1,829,654

AbbVie,

Inc.

1,910,000

3.600%, 

5/14/2025

2,012,323

875,000

2.950%, 

11/21/2026

i

891,500

726,000

4.700%, 

5/14/2045

815,612

2,500,000

4.875%, 

11/14/2048

2,916,266

Albertson's

Companies,

Inc.

1,660,000

7.500%, 

3/15/2026

i

1,789,148

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

161

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

Consumer

Non-Cyclical

(1.3%)

-

continued

Allergan,

Inc.

$

1,450,000

2.800%, 

3/15/2023

$

1,441,509

Altria

Group,

Inc.

875,000

4.400%, 

2/14/2026

906,104

1,500,000

5.800%, 

2/14/2039

1,643,633

Amgen,

Inc.

1,500,000

3.375%, 

2/21/2050

1,563,967

100,000

3.125%, 

5/1/2025

104,793

Anheuser-Busch

Companies,

LLC

3,040,000

4.700%, 

2/1/2036

3,175,628

Anheuser-Busch

InBev

Worldwide,

Inc.

3,525,000

4.750%, 

4/15/2058

3,620,581

1,740,000

4.375%, 

4/15/2038

1,753,329

415,000

4.600%, 

4/15/2048

439,620

Anthem,

Inc.

1,870,000

4.625%, 

5/15/2042

2,079,970

Avantor,

Inc.

950,000

6.000%, 

10/1/2024

i

995,315

B&G

Foods,

Inc.

925,000

5.250%, 

9/15/2027

901,875

BAT

Capital

Corporation

1,122,000

3.222%, 

8/15/2024

1,126,942

1,496,000

4.540%, 

8/15/2047

1,365,207

Bausch

Health

Companies,

Inc.

850,000

7.000%, 

1/15/2028

i

881,450

230,000

5.000%, 

1/30/2028

i

217,741

230,000

5.250%, 

1/30/2030

i

215,050

Baxalta,

Inc.

721,000

4.000%, 

6/23/2025

767,693

Becton,

Dickinson

and

Company

1,594,000

3.734%, 

12/15/2024

1,634,252

900,000

3.700%, 

6/6/2027

914,608

Biogen,

Inc.

1,600,000

5.200%, 

9/15/2045

2,070,157

Boston

Scientific

Corporation

1,140,000

7.375%, 

1/15/2040

1,645,091

Bristol-Myers

Squibb

Company

1,520,000

2.875%, 

8/15/2020

i

1,525,330

Bunge,

Ltd.

Finance

Corporation

800,000

3.500%, 

11/24/2020

806,630

Cargill,

Inc.

1,650,000

3.250%, 

5/23/2029

i

1,664,754

Centene

Corporation

2,050,000

4.750%, 

1/15/2025

2,075,625

280,000

4.250%, 

12/15/2027

i

280,532

670,000

4.625%, 

12/15/2029

i

673,350

Cigna

Corporation

405,000

2.721%, 

(LIBOR

3M

+

0.890%),

7/15/2023

b

376,567

1,200,000

4.125%, 

11/15/2025

1,284,918

875,000

3.050%, 

10/15/2027

845,197

1,500,000

4.800%, 

8/15/2038

1,685,801

Clorox

Company

2,175,000

3.100%, 

10/1/2027

2,267,963

Conagra

Brands,

Inc.

1,210,000

4.300%, 

5/1/2024

1,256,323

Constellation

Brands,

Inc.

1,450,000

3.600%, 

2/15/2028

1,418,806

CVS

Health

Corporation

714,000

3.700%, 

3/9/2023

743,265

400,000

4.000%, 

12/5/2023

417,668

1,780,000

4.100%, 

3/25/2025

1,873,302

2,560,000

4.875%, 

7/20/2035

2,911,807

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

Consumer

Non-Cyclical

(1.3%)

-

continued

Encompass

Health

Corporation

$

870,000

4.500%, 

2/1/2028

$

853,253

Energizer

Holdings,

Inc.

1,849,000

5.500%, 

6/15/2025

i

1,793,530

Express

Scripts

Holding

Company

1,600,000

4.800%, 

7/15/2046

1,715,845

General

Mills,

Inc.

715,000

2.875%, 

4/15/2030

713,570

HCA,

Inc.

2,610,000

5.375%, 

2/1/2025

2,655,649

Imperial

Brands

Finance

plc

1,600,000

3.875%, 

7/26/2029

i

1,497,826

JBS

USA,

LLC

930,000

5.750%, 

6/15/2025

i

939,300

1,900,000

5.500%, 

1/15/2030

i

1,961,750

Kimberly-Clark

Corporation

845,000

3.100%, 

3/26/2030

907,385

1,900,000

3.900%, 

5/4/2047

2,106,519

Kraft

Foods

Group,

Inc.

910,000

5.000%, 

6/4/2042

862,559

Kraft

Heinz

Foods

Company

1,900,000

3.375%, 

6/15/2021

1,903,496

1,370,000

3.750%, 

4/1/2030

i

1,306,641

Kroger

Company

935,000

2.800%, 

8/1/2022

947,976

Medtronic,

Inc.

2,733,000

4.375%, 

3/15/2035

3,403,369

105,000

4.625%, 

3/15/2045

138,875

Merck

&

Company,

Inc.

330,000

3.700%, 

2/10/2045

388,942

Mylan,

Inc.

450,000

3.125%, 

1/15/2023

i

436,393

Nestle

Holdings,

Inc.

850,000

3.900%, 

9/24/2038

i

978,515

Par

Pharmaceutical,

Inc.

910,000

7.500%, 

4/1/2027

i

905,450

Post

Holdings,

Inc.

1,040,000

5.750%, 

3/1/2027

i

1,065,698

Reynolds

American,

Inc.

2,338,000

5.700%, 

8/15/2035

2,574,252

Roche

Holdings,

Inc.

1,158,000

4.000%, 

11/28/2044

i

1,290,906

Scotts

Miracle-Gro

Company

990,000

4.500%, 

10/15/2029

942,975

Shire

Acquisitions

Investments

Ireland

Designated

Activity

Company

2,262,000

2.400%, 

9/23/2021

2,253,535

Simmons

Foods,

Inc.

710,000

5.750%, 

11/1/2024

i

644,538

Smithfield

Foods,

Inc.

1,060,000

2.650%, 

10/3/2021

i

992,260

Spectrum

Brands,

Inc.

1,580,000

5.750%, 

7/15/2025

1,477,300

Tenet

Healthcare

Corporation

510,000

4.625%, 

7/15/2024

485,775

1,340,000

5.125%, 

11/1/2027

i

1,279,700

Teva

Pharmaceutical

Finance

Netherlands

III

BV

820,000

2.800%, 

7/21/2023

748,242

Thermo

Fisher

Scientific,

Inc.

900,000

4.133%, 

3/25/2025

964,356

Tyson

Foods,

Inc.

748,000

3.550%, 

6/2/2027

775,030

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

162

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

Consumer

Non-Cyclical

(1.3%)

-

continued

UnitedHealth

Group,

Inc.

$

1,815,000

2.950%, 

10/15/2027

$

1,902,949

3,450,000

4.625%, 

7/15/2035

4,112,389

VRX

Escrow

Corporation

3,610,000

6.125%, 

4/15/2025

i

3,555,850

Zoetis,

Inc.

2,490,000

4.700%, 

2/1/2043

2,802,940

Total

116,112,394

Energy

(0.7%)

Archrock

Partners,

LP

550,000

6.250%, 

4/1/2028

i

379,500

BP

Capital

Markets

America,

Inc.

415,000

3.119%, 

5/4/2026

419,742

BP

Capital

Markets

plc

1,085,000

3.535%, 

11/4/2024

1,145,097

2,550,000

3.279%, 

9/19/2027

2,567,063

Buckeye

Partners,

LP

380,000

4.125%, 

3/1/2025

i

320,340

540,000

3.950%, 

12/1/2026

442,638

210,000

4.125%, 

12/1/2027

172,137

Canadian

Oil

Sands,

Ltd.

1,000,000

9.400%, 

9/1/2021

i

1,077,146

Cheniere

Corpus

Christi

Holdings,

LLC

1,695,000

5.875%, 

3/31/2025

1,541,892

Cheniere

Energy

Partners,

LP

1,930,000

5.625%, 

10/1/2026

1,794,900

Chesapeake

Energy

Corporation

545,000

11.500%, 

1/1/2025

i

87,200

ConocoPhillips

1,870,000

6.500%, 

2/1/2039

2,360,235

Continental

Resources,

Inc.

925,000

4.500%, 

4/15/2023

508,783

Diamondback

Energy,

Inc.

2,550,000

3.500%, 

12/1/2029

1,798,291

El

Paso

Pipeline

Partners

Operating

Company,

LLC

1,120,000

4.300%, 

5/1/2024

1,119,377

Enagas

SA

2,860,000

5.500%, 

1/15/2028

i

1,487,200

Enbridge,

Inc.

1,285,000

2.900%, 

7/15/2022

1,180,027

Energy

Transfer

Operating,

LP

730,000

4.200%, 

9/15/2023

637,621

1,600,000

6.000%, 

6/15/2048

1,343,439

Energy

Transfer

Partners,

LP

970,000

4.900%, 

3/15/2035

763,177

800,000

5.150%, 

2/1/2043

603,061

EnLink

Midstream

Partners,

LP

1,110,000

4.850%, 

7/15/2026

545,787

EQT

Corporation

250,000

3.900%, 

10/1/2027

172,425

Exxon

Mobil

Corporation

1,500,000

4.327%, 

3/19/2050

1,835,534

Kinder

Morgan

Energy

Partners,

LP

1,870,000

6.500%, 

9/1/2039

1,831,757

Kinder

Morgan,

Inc.

50,000

6.500%, 

9/15/2020

50,112

Magellan

Midstream

Partners,

LP

1,070,000

5.000%, 

3/1/2026

1,057,977

Marathon

Petroleum

Corporation

2,244,000

4.750%, 

12/15/2023

2,124,700

846,000

6.500%, 

3/1/2041

785,133

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

Energy

(0.7%)

-

continued

MPLX,

LP

$

1,425,000

4.875%, 

12/1/2024

$

1,247,526

2,244,000

4.875%, 

6/1/2025

1,847,960

Murphy

Oil

Corporation

950,000

5.875%, 

12/1/2027

496,660

Nabors

Industries,

Inc.

845,000

5.750%, 

2/1/2025

185,900

Nabors

Industries,

Ltd.

290,000

7.250%, 

1/15/2026

i

98,600

Newfield

Exploration

Company

1,725,000

5.625%, 

7/1/2024

925,827

700,000

5.375%, 

1/1/2026

365,697

Noble

Energy,

Inc.

1,850,000

5.050%, 

11/15/2044

1,142,684

ONEOK,

Inc.

1,070,000

2.200%, 

9/15/2025

825,720

900,000

3.100%, 

3/15/2030

676,643

Parsley

Energy,

LLC

1,405,000

5.625%, 

10/15/2027

i

990,525

Petrobras

Global

Finance

BV

949,000

5.093%, 

1/15/2030

i

865,962

Pioneer

Natural

Resources

Company

750,000

4.450%, 

1/15/2026

742,415

Plains

All

American

Pipeline,

LP

1,600,000

4.500%, 

12/15/2026

1,292,897

1,500,000

3.550%, 

12/15/2029

1,024,817

Sabine

Pass

Liquefaction,

LLC

1,125,000

6.250%, 

3/15/2022

1,091,193

1,300,000

5.625%, 

4/15/2023

1,209,561

1,500,000

5.750%, 

5/15/2024

1,407,812

Schlumberger

Holdings

Corporation

995,000

4.000%, 

12/21/2025

i

916,918

Southwestern

Energy

Company

1,530,000

7.500%, 

4/1/2026

1,002,150

Suncor

Energy,

Inc.

990,000

3.600%, 

12/1/2024

958,272

Sunoco

Logistics

Partners

Operations,

LP

950,000

4.000%, 

10/1/2027

751,906

Sunoco,

LP

860,000

5.500%, 

2/15/2026

744,141

1,285,000

5.875%, 

3/15/2028

1,066,550

Targa

Resources

Partners,

LP

1,160,000

5.375%, 

2/1/2027

954,680

Transocean

Pontus,

Ltd.

835,000

6.125%, 

8/1/2025

i

676,350

Transocean,

Inc.

885,000

7.250%, 

11/1/2025

i

444,978

Viper

Energy

Partners,

LP

1,320,000

5.375%, 

11/1/2027

i

1,108,800

W&T

Offshore,

Inc.

965,000

9.750%, 

11/1/2023

i

226,833

Western

Gas

Partners,

LP

1,496,000

4.000%, 

7/1/2022

970,065

Williams

Companies,

Inc.

1,815,000

7.500%, 

1/15/2031

2,111,150

Williams

Partners,

LP

950,000

4.000%, 

11/15/2021

901,217

560,000

3.600%, 

3/15/2022

542,780

935,000

4.500%, 

11/15/2023

876,693

WPX

Energy,

Inc.

1,145,000

5.750%, 

6/1/2026

652,650

500,000

4.500%, 

1/15/2030

271,500

Total

61,768,323

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

163

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

Financials

(2.3%)

ACE

INA

Holdings,

Inc.

$

1,115,000

4.350%, 

11/3/2045

$

1,351,516

AerCap

Ireland

Capital,

Ltd.

1,240,000

3.500%, 

1/15/2025

1,053,482

1,250,000

3.875%, 

1/23/2028

953,129

Aircastle,

Ltd.

1,700,000

5.000%, 

4/1/2023

1,659,594

Ally

Financial,

Inc.

175,000

5.750%, 

11/20/2025

171,185

American

International

Group,

Inc.

60,000

4.125%, 

2/15/2024

62,965

2,245,000

3.750%, 

7/10/2025

2,247,496

2,085,000

3.900%, 

4/1/2026

2,172,399

Australia

and

New

Zealand

Banking

Group,

Ltd.

700,000

2.950%, 

7/22/2030

b,i

663,274

Aviation

Capital

Group,

LLC

1,300,000

2.875%, 

1/20/2022

i

1,174,947

Avolon

Holdings

Funding,

Ltd.

800,000

5.250%, 

5/15/2024

i

681,321

Banco

Santander

SA

1,400,000

2.968%, 

(LIBOR

3M

+

1.120%),

4/12/2023

b

1,345,419

Bank

of

America

Corporation

1,280,000

3.300%, 

1/11/2023

1,325,761

1,490,000

2.881%, 

4/24/2023

b

1,495,722

1,520,000

4.000%, 

4/1/2024

1,620,419

1,800,000

4.200%, 

8/26/2024

1,913,249

2,070,000

4.000%, 

1/22/2025

2,185,905

1,800,000

3.458%, 

3/15/2025

b

1,856,455

1,825,000

3.093%, 

10/1/2025

b

1,862,130

1,550,000

3.824%, 

1/20/2028

b

1,607,666

1,500,000

2.496%, 

2/13/2031

b

1,439,129

Bank

of

Nova

Scotia

800,000

2.700%, 

3/7/2022

815,097

Barclays

Bank

plc

386,000

10.179%, 

6/12/2021

i

410,244

Barclays

plc

2,415,000

3.250%, 

1/12/2021

2,398,795

1,575,000

4.610%, 

2/15/2023

b

1,602,464

83,000

3.650%, 

3/16/2025

81,173

Boston

Properties,

LP

950,000

4.500%, 

12/1/2028

1,044,758

BPCE

SA

975,000

3.000%, 

5/22/2022

i

965,246

2,541,000

3.500%, 

10/23/2027

i

2,475,494

Camden

Property

Trust

1,975,000

3.150%, 

7/1/2029

1,946,555

Capital

One

Financial

Corporation

1,520,000

3.050%, 

3/9/2022

1,517,676

1,800,000

4.200%, 

10/29/2025

1,793,675

Capital

One

NA

1,600,000

2.150%, 

9/6/2022

1,559,883

Cascades

USA,

Inc.

970,000

5.125%, 

1/15/2026

i

938,475

CIT

Group,

Inc.

1,770,000

5.000%, 

8/15/2022

1,725,824

310,000

5.250%, 

3/7/2025

302,250

Citigroup,

Inc.

150,000

2.750%, 

4/25/2022

150,779

850,000

4.050%, 

7/30/2022

865,279

1,075,000

3.142%, 

1/24/2023

b

1,088,413

2,515,000

4.400%, 

6/10/2025

2,721,037

1,520,000

3.200%, 

10/21/2026

1,574,316

2,244,000

3.668%, 

7/24/2028

b

2,325,234

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

Financials

(2.3%)

-

continued

$

1,140,000

4.125%, 

7/25/2028

$

1,169,914

1,815,000

3.520%, 

10/27/2028

b

1,817,371

978,000

4.650%, 

7/23/2048

1,177,313

CNA

Financial

Corporation

650,000

3.900%, 

5/1/2029

648,464

Comerica,

Inc.

45,000

3.700%, 

7/31/2023

46,180

Commerzbank

AG

1,850,000

8.125%, 

9/19/2023

i

1,933,895

Cooperatieve

Centrale

Raiffeisen-

Boerenleenbank

BA

1,715,000

3.950%, 

11/9/2022

1,724,995

988,000

4.625%, 

12/1/2023

1,021,697

Credit

Agricole

SA

1,125,000

3.250%, 

1/14/2030

i

1,068,527

Credit

Suisse

Group

AG

900,000

7.250%, 

9/12/2025

b,i,l

816,750

1,385,000

3.869%, 

1/12/2029

b,i

1,401,960

Credit

Suisse

Group

Funding

(Guernsey),

Ltd.

236,000

3.125%, 

12/10/2020

235,765

Credit

Suisse

Group

Funding,

Ltd.

1,544,000

3.750%, 

3/26/2025

1,560,117

Danske

Bank

AS

1,225,000

3.244%, 

12/20/2025

b,i

1,138,704

Deutsche

Bank

AG

2,300,000

3.375%, 

5/12/2021

2,219,748

950,000

4.250%, 

10/14/2021

903,685

1,125,000

3.961%, 

11/26/2025

b

1,040,581

Discover

Bank

900,000

2.450%, 

9/12/2024

862,260

1,670,000

4.682%, 

8/9/2028

b

1,700,411

Duke

Realty,

LP

925,000

2.875%, 

11/15/2029

889,557

ERP

Operating,

LP

337,000

3.375%, 

6/1/2025

349,038

Fidelity

National

Financial,

Inc.

1,300,000

5.500%, 

9/1/2022

1,426,645

Fifth

Third

Bancorp

1,200,000

2.600%, 

6/15/2022

1,185,760

Five

Corners

Funding

Trust

3,070,000

4.419%, 

11/15/2023

i

3,302,518

GE

Capital

International

Funding

Company

3,130,000

4.418%, 

11/15/2035

3,381,559

Goldman

Sachs

Group,

Inc.

2,600,000

5.375%, 

5/10/2020

b,l

2,323,750

2,243,000

5.250%, 

7/27/2021

2,331,737

2,150,000

2.876%, 

10/31/2022

b

2,160,964

1,496,000

2.908%, 

6/5/2023

b

1,499,930

1,000,000

3.625%, 

2/20/2024

1,034,684

1,130,000

4.750%, 

10/21/2045

1,349,956

HCP,

Inc.

660,000

3.400%, 

2/1/2025

660,795

HSBC

Holdings

plc

1,475,000

6.875%, 

6/1/2021

b,l

1,449,188

1,225,000

2.650%, 

1/5/2022

1,223,060

1,850,000

3.803%, 

3/11/2025

b

1,926,018

1,460,000

3.900%, 

5/25/2026

1,485,390

1,400,000

4.950%, 

3/31/2030

1,543,975

Icahn

Enterprises,

LP

345,000

6.750%, 

2/1/2024

332,925

1,215,000

6.375%, 

12/15/2025

1,148,175

ING

Groep

NV

1,125,000

3.150%, 

3/29/2022

1,130,071

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

164

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

Financials

(2.3%)

-

continued

$

1,300,000

4.100%, 

10/2/2023

$

1,334,073

International

Lease

Finance

Corporation

750,000

5.875%, 

8/15/2022

670,480

Iron

Mountain,

Inc.

1,090,000

6.000%, 

8/15/2023

1,095,450

J.P.

Morgan

Chase

&

Company

900,000

2.295%, 

8/15/2021

898,271

1,950,000

2.700%, 

5/18/2023

2,000,552

825,000

3.031%, 

(LIBOR

3M

+

1.230%),

10/24/2023

b

798,526

1,320,000

3.625%, 

5/13/2024

1,376,624

1,550,000

3.875%, 

9/10/2024

1,636,709

2,585,000

3.125%, 

1/23/2025

2,692,992

3,200,000

3.900%, 

7/15/2025

3,422,669

1,475,000

4.203%, 

7/23/2029

b

1,620,315

2,240,000

3.882%, 

7/24/2038

b

2,503,084

Kimco

Realty

Corporation

2,992,000

3.300%, 

2/1/2025

3,011,138

Liberty

Mutual

Group,

Inc.

760,000

4.950%, 

5/1/2022

i

774,380

Lloyds

Banking

Group

plc

1,815,000

2.907%, 

11/7/2023

b

1,812,687

MassMutual

Global

Funding

1,230,000

2.750%, 

6/22/2024

i

1,213,460

MetLife,

Inc.

1,300,000

4.050%, 

3/1/2045

1,360,979

Mitsubishi

UFJ

Financial

Group,

Inc.

2,160,000

3.455%, 

3/2/2023

2,211,301

1,870,000

3.287%, 

7/25/2027

1,939,447

Morgan

Stanley

760,000

5.550%, 

7/15/2020

b,l

668,450

899,000

2.999%, 

(LIBOR

3M

+

1.180%),

1/20/2022

b

894,370

1,683,000

2.750%, 

5/19/2022

1,700,833

670,000

4.875%, 

11/1/2022

703,433

1,450,000

3.125%, 

1/23/2023

1,483,004

1,925,000

4.350%, 

9/8/2026

2,074,414

2,244,000

3.591%, 

7/22/2028

b

2,351,892

1,440,000

3.772%, 

1/24/2029

b

1,519,462

1,600,000

3.622%, 

4/1/2031

b

1,665,182

MPT

Operating

Partnership,

LP

870,000

6.375%, 

3/1/2024

870,000

990,000

4.625%, 

8/1/2029

910,800

Nasdaq,

Inc.

55,000

3.850%, 

6/30/2026

56,769

Nationwide

Building

Society

950,000

3.622%, 

4/26/2023

b,i

944,439

Outfront

Media

Cap,

LLC

980,000

4.625%, 

3/15/2030

i

872,200

Park

Aerospace

Holdings,

Ltd.

800,000

4.500%, 

3/15/2023

i

693,847

Prudential

Financial,

Inc.

1,250,000

3.700%, 

3/13/2051

1,171,369

Quicken

Loans,

Inc.

1,725,000

5.750%, 

5/1/2025

i

1,716,375

Realty

Income

Corporation

1,475,000

4.125%, 

10/15/2026

1,528,852

Regency

Centers,

LP

2,100,000

4.125%, 

3/15/2028

2,119,059

Reinsurance

Group

of

America,

Inc.

1,100,000

4.700%, 

9/15/2023

1,210,952

1,000,000

3.900%, 

5/15/2029

976,362

Royal

Bank

of

Scotland

Group

plc

525,000

6.125%, 

12/15/2022

541,534

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

Financials

(2.3%)

-

continued

$

650,000

6.100%, 

6/10/2023

$

668,325

1,000,000

3.875%, 

9/12/2023

1,010,137

1,550,000

4.269%, 

3/22/2025

b

1,592,564

1,375,000

4.445%, 

5/8/2030

b

1,441,276

Santander

UK

Group

Holdings

plc

1,351,000

2.875%, 

10/16/2020

1,350,478

Simon

Property

Group,

LP

1,520,000

4.250%, 

11/30/2046

1,370,696

Societe

Generale

SA

1,122,000

4.750%, 

11/24/2025

i

1,123,888

Springleaf

Finance

Corporation

910,000

6.875%, 

3/15/2025

916,479

440,000

6.625%, 

1/15/2028

412,016

Standard

Chartered

plc

1,500,000

2.819%, 

1/30/2026

b,i

1,412,122

Sumitomo

Mitsui

Financial

Group,

Inc.

1,280,000

2.784%, 

7/12/2022

1,285,838

1,090,000

3.102%, 

1/17/2023

1,091,327

1,140,000

3.010%, 

10/19/2026

1,186,180

Synchrony

Financial

590,000

4.250%, 

8/15/2024

568,065

1,850,000

3.950%, 

12/1/2027

1,645,336

UBS

Group

Funding

Jersey,

Ltd.

1,158,000

4.125%, 

9/24/2025

i

1,203,076

UBS

Group

Funding

Switzerland

AG

110,000

3.491%, 

5/23/2023

i

111,181

Ventas

Realty,

LP

1,550,000

3.100%, 

1/15/2023

1,518,512

1,790,000

4.000%, 

3/1/2028

1,684,226

VICI

Properties,

LP

/

VICI

Note

Company,

Inc.

340,000

4.250%, 

12/1/2026

i

311,950

200,000

3.750%, 

2/15/2027

i

188,500

340,000

4.625%, 

12/1/2029

i

309,400

200,000

4.125%, 

8/15/2030

i

189,500

Voya

Financial,

Inc.

2,618,000

3.125%, 

7/15/2024

2,641,073

Wells

Fargo

&

Company

680,000

2.625%, 

7/22/2022

687,942

1,520,000

3.450%, 

2/13/2023

1,562,795

1,550,000

4.125%, 

8/15/2023

1,597,970

1,320,000

3.000%, 

2/19/2025

1,362,358

125,000

3.000%, 

4/22/2026

128,660

1,475,000

3.000%, 

10/23/2026

1,511,010

2,680,000

4.900%, 

11/17/2045

3,177,705

Welltower,

Inc.

610,000

3.950%, 

9/1/2023

604,127

ZB

NA

1,550,000

3.500%, 

8/27/2021

1,548,184

Total

208,229,493

Mortgage-Backed

Securities

(10.7%)

Federal

Home

Loan

Mortgage

Corporation

Conventional

15-Yr.

Pass

Through

37,791,581

3.500%, 

5/1/2034

39,832,399

Federal

Home

Loan

Mortgage

Corporation

Conventional

30-Yr.

Pass

Through

53,366,882

3.000%, 

3/25/2050

55,975,798

32,500,000

3.000%, 

4/1/2050

e

34,088,829

28,128,490

3.500%, 

7/1/2047

e

29,831,286

41,005,355

3.000%, 

8/1/2047

43,247,959

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

165

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

Mortgage-Backed

Securities

(10.7%)

-

continued

Federal

National

Mortgage

Association

$

3,690,280

3.230%, 

11/1/2020

$

3,690,340

15,444,368

4.500%, 

5/1/2048

16,659,873

30,386,170

3.500%, 

10/1/2048

32,089,002

54,439,158

3.500%, 

2/1/2049

57,435,279

17,920,738

3.500%, 

6/1/2049

18,943,086

34,967,376

3.500%, 

8/1/2049

37,030,590

Federal

National

Mortgage

Association

Conventional

15-Yr.

Pass

Through

48,950,000

2.500%, 

4/1/2035

e

50,791,362

107,000,000

2.000%, 

5/1/2035

e

109,808,750

58,000,000

2.500%, 

5/1/2035

e

60,138,750

43,203,000

3.000%, 

5/1/2035

e

45,123,613

Federal

National

Mortgage

Association

Conventional

30-Yr.

Pass

Through

143,000,000

2.500%, 

5/1/2050

e

147,955,775

61,904,188

4.000%, 

7/1/2048

66,107,700

101,530,000

3.000%, 

5/1/2049

e

106,316,711

1,131,846

3.500%, 

8/1/2049

e

1,194,791

Total

956,261,893

Technology

(0.7%)

Adobe,

Inc.

975,000

2.150%, 

2/1/2027

985,572

Apple,

Inc.

1,500,000

3.200%, 

5/11/2027

1,625,554

1,405,000

3.000%, 

11/13/2027

1,510,761

2,570,000

3.750%, 

9/12/2047

3,024,900

Applied

Materials,

Inc.

736,000

3.300%, 

4/1/2027

783,674

Avnet,

Inc.

1,100,000

3.750%, 

12/1/2021

1,121,042

Broadcom

Corporation

1,146,000

3.875%, 

1/15/2027

1,092,443

1,350,000

3.500%, 

1/15/2028

1,251,018

Broadcom,

Inc.

1,875,000

4.750%, 

4/15/2029

i

1,904,415

CommScope

Technologies

Finance,

LLC

1,470,000

6.000%, 

6/15/2025

i

1,345,344

Diamond

1

Finance

Corporation

4,460,000

6.020%, 

6/15/2026

i

4,745,625

Diamond

Sports

Group,

LLC

1,810,000

6.625%, 

8/15/2027

i

1,210,437

Harland

Clarke

Holdings

Corporation

1,135,000

8.375%, 

8/15/2022

i

875,369

Hewlett

Packard

Enterprise

Company

1,600,000

2.620%, 

(LIBOR

3M

+

0.720%),

10/5/2021

b

1,506,640

760,000

4.400%, 

10/15/2022

774,350

Intel

Corporation

3,000,000

3.100%, 

2/15/2060

3,253,589

Iron

Mountain,

Inc.

750,000

4.875%, 

9/15/2029

i

704,535

KLA

Corporation

1,800,000

3.300%, 

3/1/2050

1,715,350

Marvell

Technology

Group,

Ltd.

950,000

4.200%, 

6/22/2023

971,176

1,265,000

4.875%, 

6/22/2028

1,310,619

Microsoft

Corporation

2,400,000

4.750%, 

11/3/2055

3,387,720

2,400,000

4.200%, 

11/3/2035

3,008,178

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

Technology

(0.7%)

-

continued

$

4,500,000

3.700%, 

8/8/2046

$

5,337,887

NCR

Corporation

1,770,000

6.125%, 

9/1/2029

i

1,653,003

NVIDIA

Corporation

1,500,000

3.500%, 

4/1/2040

1,595,755

NXP

BV/NXP

Funding,

LLC

1,500,000

4.875%, 

3/1/2024

i

1,601,521

Open

Text

Corporation

760,000

4.125%, 

2/15/2030

i

714,590

Oracle

Corporation

3,565,000

2.950%, 

5/15/2025

3,697,445

1,800,000

2.800%, 

4/1/2027

1,834,781

1,815,000

3.850%, 

7/15/2036

1,895,167

1,500,000

3.600%, 

4/1/2040

1,493,183

Plantronics,

Inc.

970,000

5.500%, 

5/31/2023

i

705,675

PTC,

Inc.

300,000

3.625%, 

2/15/2025

g,i

280,500

SS&C

Technologies,

Inc.

1,580,000

5.500%, 

9/30/2027

i

1,629,375

Texas

Instruments,

Inc.

1,630,000

4.150%, 

5/15/2048

2,015,959

Tyco

Electronics

Group

SA

374,000

3.450%, 

8/1/2024

381,816

748,000

3.125%, 

8/15/2027

772,819

Total

63,717,787

Transportation

(0.2%)

Air

Canada

Pass

Through

Trust

351,171

3.875%, 

3/15/2023

i

326,769

Air

Lease

Corporation

610,000

3.500%, 

1/15/2022

555,912

Burlington

Northern

Santa

Fe,

LLC

1,120,000

5.750%, 

5/1/2040

1,517,686

1,720,000

5.050%, 

3/1/2041

2,125,348

1,175,000

4.450%, 

3/15/2043

1,389,992

CSX

Corporation

900,000

3.800%, 

4/15/2050

945,361

119,000

3.700%, 

11/1/2023

125,233

1,250,000

3.350%, 

9/15/2049

1,183,697

Hertz

Corporation

970,000

5.500%, 

10/15/2024

i

545,421

720,000

6.000%, 

1/15/2028

i

378,000

NCL

Corporation,

Ltd.

930,000

3.625%, 

12/15/2024

i

593,154

Penske

Truck

Leasing

Company,

LP

1,350,000

3.375%, 

2/1/2022

i

1,364,560

United

Continental

Holdings,

Inc.

960,000

4.875%, 

1/15/2025

825,600

United

Parcel

Service,

Inc.

1,200,000

4.450%, 

4/1/2030

1,358,329

XPO

Logistics,

Inc.

1,703,000

6.750%, 

8/15/2024

i

1,665,193

Total

14,900,255

U.S.

Government

&

Agencies

(11.2%)

U.S.

Treasury

Bonds

1,500,000

2.000%, 

2/15/2050

1,742,168

7,285,000

2.250%, 

11/15/2027

8,195,340

72,550,000

2.875%, 

5/15/2028

85,574,992

19,330,000

5.250%, 

11/15/2028

26,853,598

13,650,000

1.625%, 

8/15/2029

14,821,447

4,050,000

1.500%, 

2/15/2030

4,366,090

2,975,000

4.375%, 

5/15/2040

4,730,134

1,340,000

3.000%, 

5/15/2042

1,798,898

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

166

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

U.S.

Government

&

Agencies

(11.2%)

-

continued

$

68,726,000

2.500%, 

5/15/2046

$

86,457,845

46,050,000

2.875%, 

5/15/2049

62,885,232

1,350,000

2.375%, 

11/15/2049

1,684,969

U.S.

Treasury

Notes

2,600,000

1.375%, 

8/31/2020

m,n

2,613,609

67,025,000

1.375%, 

9/30/2020

67,443,906

14,000,000

2.750%, 

11/30/2020

14,242,266

1,015,000

1.875%, 

12/15/2020

1,027,529

33,900,000

2.500%, 

2/28/2021

34,633,617

5,000,000

1.375%, 

5/31/2021

5,073,047

36,909,000

1.125%, 

8/31/2021

37,390,547

150,440,000

1.500%, 

9/30/2021

153,331,269

4,300,000

2.500%, 

1/15/2022

4,474,016

5,080,000

1.125%, 

2/28/2022

5,165,527

22,810,000

1.875%, 

7/31/2022

23,659,138

16,300,000

2.000%, 

11/30/2022

17,044,961

4,910,000

2.500%, 

3/31/2023

5,234,520

82,790,000

2.500%, 

1/31/2024

89,642,813

27,885,000

2.125%, 

7/31/2024

29,993,803

3,300,000

1.500%, 

10/31/2024

3,470,801

28,665,000

2.250%, 

11/15/2024

31,130,638

19,170,000

2.125%, 

11/30/2024

20,725,316

52,575,000

2.625%, 

1/31/2026

59,070,888

90,300,000

2.500%, 

2/28/2026

100,878,504

Total

1,005,357,428

Utilities

(0.8%)

Ameren

Illinois

Company

830,000

4.500%, 

3/15/2049

984,992

American

Electric

Power

Company,

Inc.

1,502,000

2.950%, 

12/15/2022

1,457,006

Appalachian

Power

Company

750,000

3.300%, 

6/1/2027

763,625

Arizona

Public

Service

Company

900,000

3.500%, 

12/1/2049

915,547

Berkshire

Hathaway

Energy

Company

1,165,000

4.500%, 

2/1/2045

1,310,025

Calpine

Corporation

1,680,000

4.500%, 

2/15/2028

i

1,628,340

CenterPoint

Energy,

Inc.

605,000

3.850%, 

2/1/2024

613,720

1,400,000

2.500%, 

9/1/2024

1,374,576

900,000

4.250%, 

11/1/2028

923,116

CMS

Energy

Corporation

1,140,000

2.950%, 

2/15/2027

1,123,977

Commonwealth

Edison

Company

1,300,000

3.700%, 

3/1/2045

1,366,973

Consolidated

Edison

Company

of

New

York,

Inc.

2,650,000

4.125%, 

5/15/2049

2,869,340

Consolidated

Edison,

Inc.

579,000

4.500%, 

12/1/2045

641,295

Consumers

Energy

Company

1,200,000

4.350%, 

4/15/2049

1,443,124

DTE

Electric

Company

965,000

3.700%, 

3/15/2045

1,020,207

1,225,000

3.700%, 

6/1/2046

1,298,278

Duke

Energy

Carolinas,

LLC

2,540,000

3.700%, 

12/1/2047

2,794,355

Duke

Energy

Corporation

1,520,000

3.750%, 

9/1/2046

1,457,096

Duke

Energy

Florida,

LLC

1,030,000

3.200%, 

1/15/2027

1,070,158

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

Utilities

(0.8%)

-

continued

Duke

Energy

Indiana,

LLC

$

1,550,000

3.750%, 

5/15/2046

$

1,684,233

Edison

International

520,000

2.950%, 

3/15/2023

503,073

2,925,000

5.750%, 

6/15/2027

3,040,427

Energy

Transfer

Operating,

LP

1,630,000

5.200%, 

2/1/2022

1,533,885

Exelon

Corporation

1,525,000

4.700%, 

4/15/2050

1,592,935

1,158,000

4.450%, 

4/15/2046

1,172,049

FirstEnergy

Corporation

460,000

2.850%, 

7/15/2022

448,568

1,395,000

4.850%, 

7/15/2047

1,559,991

ITC

Holdings

Corporation

294,000

4.050%, 

7/1/2023

301,057

760,000

5.300%, 

7/1/2043

791,205

Mississippi

Power

Company

1,040,000

3.950%, 

3/30/2028

1,071,395

Monongahela

Power

Company

990,000

5.400%, 

12/15/2043

i

1,105,575

National

Rural

Utilities

Cooperative

Finance

Corporation

550,000

3.900%, 

11/1/2028

536,257

1,050,000

3.700%, 

3/15/2029

1,184,245

NextEra

Energy

Operating

Partners,

LP

1,740,000

3.875%, 

10/15/2026

i

1,653,000

NiSource

Finance

Corporation

748,000

3.490%, 

5/15/2027

756,813

2,200,000

5.650%, 

2/1/2045

2,528,863

Oncor

Electric

Delivery

Company,

LLC

2,992,000

3.750%, 

4/1/2045

3,176,772

Pacific

Gas

and

Electric

Company

900,000

3.300%, 

12/1/2027

o,p

859,500

900,000

3.950%, 

12/1/2047

o,p

812,250

PPL

Capital

Funding,

Inc.

552,000

3.400%, 

6/1/2023

566,860

1,400,000

5.000%, 

3/15/2044

1,496,300

PPL

Electric

Utilities

Corporation

1,122,000

3.950%, 

6/1/2047

1,191,724

Public

Service

Electric

&

Gas

Company

1,900,000

3.000%, 

5/15/2027

1,942,393

San

Diego

Gas

and

Electric

Company

1,540,000

4.150%, 

5/15/2048

1,658,530

South

Carolina

Electric

&

Gas

Company

1,850,000

5.100%, 

6/1/2065

2,315,321

Southern

California

Edison

Company

1,500,000

4.000%, 

4/1/2047

1,561,331

Southern

Company

1,843,000

3.250%, 

7/1/2026

1,858,788

Southern

Company

Gas

Capital

Corporation

1,870,000

4.400%, 

5/30/2047

1,853,389

Southwestern

Electric

Power

Company

620,000

3.900%, 

4/1/2045

553,122

TerraForm

Power

Operating,

LLC

1,570,000

5.000%, 

1/31/2028

i

1,645,046

Virginia

Electric

and

Power

Company

850,000

4.600%, 

12/1/2048

966,095

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

167

Principal

Amount

Long-Term

Fixed

Income

(32.8%)

Value

Utilities

(0.8%)

-

continued

Vistra

Operations

Company,

LLC

$

170,000

5.000%, 

7/31/2027

i

$

172,550

Total

69,149,292

Total

Long-Term

Fixed

Income

(cost

$2,837,296,973)

2,929,377,248

Shares

Common

Stock

(

25.5%

)

Value

Communications

Services

(1.7%)

181,369

Activision

Blizzard,

Inc.

h

10,787,828

44,990

Alphabet,

Inc.,

Class

A

h

52,276,130

6,467

Alphabet,

Inc.,

Class

C

h

7,519,892

169,812

AMC

Entertainment

Holdings,

Inc.

g

536,606

7,236

AMC

Networks,

Inc.

h

175,907

45,449

AT&T,

Inc.

1,324,838

140,972

Auto

Trader

Group

plc

i

761,782

6,829

Boingo

Wireless,

Inc.

h

72,456

9,264

Carsales.com,

Ltd.

66,566

49,456

CenturyLink,

Inc.

467,854

20,841

Cinemark

Holdings,

Inc.

212,370

179,953

Comcast

Corporation

6,186,784

26,800

Consolidated

Communications

Holdings,

Inc.

121,940

9,840

Discovery,

Inc.,

Class

A

g,h

191,290

56,241

DISH

Network

Corporation

h

1,124,258

25,034

EchoStar

Corporation

h

800,337

138,147

Facebook,

Inc.

h

23,042,920

116,204

Gannett

Company,

Inc.

g

171,982

10,038

Hemisphere

Media

Group,

Inc.

h

85,725

71,000

HKT

Trust

and

HKT,

Ltd.

96,563

58,415

Interpublic

Group

of

Companies,

Inc.

945,739

2,525

Ipsos

SA

52,392

50,214

Lions

Gate

Entertainment

Corporation,

Class

A

g,h

305,301

41,871

Lions

Gate

Entertainment

Corporation,

Class

B

h

233,640

195,639

Live

Nation

Entertainment,

Inc.

g,h

8,893,749

71,215

Mediaset

Espana

Comunicacion

SA

260,035

62,161

Meredith

Corporation

g

759,607

12,818

News

Corporation,

Class

B

115,234

8,453

Orange

SA

102,344

165,031

ORBCOMM,

Inc.

h

402,676

106,960

QuinStreet,

Inc.

h

861,028

6,088

Rightmove

plc

36,716

17,666

RingCentral,

Inc.

h

3,743,602

1,752

Roku,

Inc.

h

153,265

12,050

Scholastic

Corporation

307,154

32,339

Seven

West

Media,

Ltd.

h

1,573

5,770

Sinclair

Broadcast

Group,

Inc.

92,782

24,100

SoftBank

Corporation

307,002

3,500

SoftBank

Group

Corporation

123,908

37,719

Take-Two

Interactive

Software,

Inc.

h

4,473,851

71,594

Tegna,

Inc.

777,511

457,342

Telecom

Italia

SPA

185,120

43,912

Telefonica

SA

199,848

7,271

Telephone

&

Data

Systems,

Inc.

121,862

25,400

TV

Asahi

Holdings

Corporation

384,959

56,032

Twitter,

Inc.

h

1,376,146

197,352

Uber

Technologies,

Inc.

h

5,510,068

184,557

Verizon

Communications,

Inc.

9,916,248

37,829

ViacomCBS,

Inc.

529,984

31,135

Vodafone

Group

plc

43,073

34,943

Walt

Disney

Company

3,375,494

5,688

Wolters

Kluwer

NV

402,620

Shares

Common

Stock

(25.5%)

Value

Communications

Services

(1.7%)

-

continued

42,696

Zillow

Group,

Inc.

h

$

1,450,383

Total

152,468,942

Consumer

Discretionary

(3.1%)

27,637

Abercrombie

&

Fitch

Company

251,220

23,099

Adient

plc

h

209,508

81,514

Alibaba

Group

Holding,

Ltd.

ADR

h

15,852,843

45,939

Amazon.com,

Inc.

h

89,568,187

13,848

American

Axle

&

Manufacturing

Holdings,

Inc.

h

49,991

47,397

American

Eagle

Outfitters,

Inc.

376,806

2,302

American

Public

Education,

Inc.

h

55,087

3,200

AOKI

Holdings,

Inc.

21,430

6,300

Aoyama

Trading

Company,

Ltd.

53,898

38,532

Aptiv

plc

1,897,316

53,873

At

Home

Group,

Inc.

g,h

108,823

3,600

Autobacs

Seven

Company,

Ltd.

41,438

1,789

AutoZone,

Inc.

h

1,513,494

14,194

Beazer

Homes

USA,

Inc.

h

91,409

118,931

Bed

Bath

&

Beyond,

Inc.

g

500,700

5,060

Berkeley

Group

Holdings

plc

225,845

19,358

Big

Lots,

Inc.

g

275,271

2,016

Booking

Holdings,

Inc.

h

2,712,165

3,669

Boyd

Gaming

Corporation

52,907

2,000

Bridgestone

Corporation

61,221

65,461

Bright

Horizons

Family

Solutions,

Inc.

h

6,677,022

38,964

Burlington

Stores,

Inc.

h

6,174,235

17,713

Caleres,

Inc.

92,108

7,840

Carnival

Corporation

g

103,253

10,556

Century

Casinos,

Inc.

h

25,440

126,492

Chico's

FAS,

Inc.

163,175

19,513

Chipotle

Mexican

Grill,

Inc.

h

12,769,307

4,100

Chiyoda

Company,

Ltd.

44,116

3,676

Churchill

Downs,

Inc.

378,444

56,400

Citizen

Watch

Company,

Ltd.

198,992

171,808

Cooper-Standard

Holdings,

Inc.

h

1,764,468

72,816

Crocs,

Inc.

h

1,237,144

39,054

Culp,

Inc.

287,437

44,575

D.R.

Horton,

Inc.

1,515,550

15,223

Dana,

Inc.

118,892

27,500

Denso

Corporation

878,748

85,154

Designer

Brands,

Inc.

424,067

12,794

Domino's

Pizza,

Inc.

4,146,152

91,639

Duluth

Holdings,

Inc.

g,h

367,472

23,012

Eldorado

Resorts,

Inc.

h

331,373

53,485

Emerald

Holding,

Inc

138,526

26,817

Ethan

Allen

Interiors,

Inc.

274,070

82,475

Etsy,

Inc.

h

3,170,339

1,700

Exedy

Corporation

25,020

46,931

Express,

Inc.

h

69,927

15,306

Extended

Stay

America,

Inc.

111,887

76,368

Five

Below,

Inc.

h

5,374,780

33,774

Foot

Locker,

Inc.

744,717

84,580

Fossil,

Inc.

g,h

278,268

70,000

Galaxy

Entertainment

Group,

Ltd.

368,677

94,864

GameStop

Corporation

g,h

332,024

28,142

Garrett

Motion,

Inc.

h

80,486

35,490

Genuine

Parts

Company

2,389,542

33,726

Goodyear

Tire

&

Rubber

Company

196,285

18,132

Grand

Canyon

Education,

Inc.

h

1,383,200

1,472

Group

1

Automotive,

Inc.

65,151

8,352

GrubHub,

Inc.

h

340,177

24,193

Hertz

Global

Holdings,

Inc.

h

149,513

125,305

Home

Depot,

Inc.

23,395,697

4,911

Hooker

Furniture

Corporation

76,661

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

168

Shares

Common

Stock

(25.5%)

Value

Consumer

Discretionary

(3.1%)

-

continued

5,115

Industria

de

Diseno

Textil

SA

$

132,548

48,071

Knoll,

Inc.

496,093

53,502

L

Brands,

Inc.

618,483

30,024

Lear

Corporation

2,439,450

67,199

Lowe's

Companies,

Inc.

5,782,474

12,048

Lululemon

Athletica,

Inc.

h

2,283,698

5,364

Lumber

Liquidators

Holdings,

Inc.

h

25,157

95,340

Macy's,

Inc.

g

468,119

3,050

Madison

Square

Garden

Company

h

644,800

22,752

Marcus

Corporation

280,305

3,828

Marriott

Vacations

Worldwide

Corporation

212,760

121,646

Mattel,

Inc.

h

1,071,701

19,042

McDonald's

Corporation

3,148,595

95,225

Michaels

Companies,

Inc.

h

154,265

15,798

Modine

Manufacturing

Company

h

51,344

9,414

Mohawk

Industries,

Inc.

h

717,723

52,273

Moneysupermarket.com

Group

plc

194,250

60,168

Movado

Group,

Inc.

711,186

4,886

Netflix,

Inc.

h

1,834,693

4,969

Newell

Brands,

Inc.

65,988

19,000

NHK

Spring

Company,

Ltd.

123,936

151,229

NIKE,

Inc.

12,512,687

8,600

Nissan

Motor

Company,

Ltd.

28,773

4,612

Norwegian

Cruise

Line

Holdings,

Ltd.

h

50,548

1,900

NVR,

Inc.

h

4,881,309

158,592

Office

Depot,

Inc.

260,091

75,525

Ollie's

Bargain

Outlet

Holdings,

Inc.

g,h

3,499,829

3,700

Onward

Holdings

Company,

Ltd.

16,262

18,367

Oxford

Industries,

Inc.

665,987

24,760

Park

Hotels

&

Resorts,

Inc.

195,852

3,300

Park24

Company,

Ltd.

48,647

88,286

Party

City

Holdco,

Inc.

h

40,461

73,534

Penn

National

Gaming,

Inc.

h

930,205

143,150

Planet

Fitness,

Inc.

h

6,971,405

339,404

Playa

Hotels

and

Resorts

NV

h

593,957

2,800

PLENUS

Company,

Ltd.

47,881

1,817

PVH

Corporation

68,392

123,309

Qurate

Retail,

Inc.

h

752,801

88,753

Red

Rock

Resorts,

Inc.

758,838

32,767

Redrow

plc

145,252

17,621

RH

h

1,770,382

4,600

Rinnai

Corporation

324,256

16,997

Ruth's

Hospitality

Group,

Inc.

113,540

17,131

Sally

Beauty

Holdings,

Inc.

h

138,418

7,700

Sangetsu

Company,

Ltd.

113,969

3,700

SHIMAMURA

Company,

Ltd.

223,605

26,494

Signet

Jewelers,

Ltd.

170,886

32,822

Six

Flags

Entertainment

Corporation

411,588

35,075

Skyline

Corporation

h

549,976

44,310

Sony

Corporation

ADR

2,622,266

41,786

Standard

Motor

Products,

Inc.

1,737,044

84,800

Sumitomo

Electric

Industries,

Ltd.

885,989

1,700

Sumitomo

Forestry

Company,

Ltd.

21,705

45,600

Sumitomo

Rubber

Industries,

Ltd.

428,312

3,519

Super

Retail

Group,

Ltd.

10,065

65,297

Tailored

Brands,

Inc.

g

113,617

1,500

Takara

Standard

Company,

Ltd.

22,928

3,915

Tapestry,

Inc.

50,699

40,866

Taylor

Morrison

Home

Corporation

h

449,526

123,141

Taylor

Wimpey

plc

177,195

38,820

Tenneco,

Inc.

h

139,752

83,249

Texas

Roadhouse,

Inc.

3,438,184

9,045

Thor

Industries,

Inc.

g

381,518

51,251

TJX

Companies,

Inc.

2,450,310

Shares

Common

Stock

(25.5%)

Value

Consumer

Discretionary

(3.1%)

-

continued

5,271

Toll

Brothers,

Inc.

$

101,467

8,400

Toyoda

Gosei

Company,

Ltd.

142,958

47,545

Tupperware

Brands

Corporation

77,023

16,908

Ulta

Beauty,

Inc.

h

2,970,736

1,500

United

Arrows,

Ltd.

22,558

8,248

Urban

Outfitters,

Inc.

h

117,452

24,968

Vail

Resorts,

Inc.

3,688,023

1,330

Williams-Sonoma,

Inc.

56,552

41,371

Wingstop,

Inc.

3,297,269

49,784

Workhorse

Group,

Inc.

g,h

90,109

8,853

Wynn

Resorts,

Ltd.

532,862

43,506

Zumiez,

Inc.

h

753,524

Total

273,104,909

Consumer

Staples

(0.8%)

4,152

Andersons,

Inc.

77,850

7,208

Anheuser-Busch

InBev

NV

318,377

4,600

Arcs

Company,

Ltd.

82,640

26,492

B&G

Foods,

Inc.

479,240

1,290

Beyond

Meat,

Inc.

g,h

85,914

25,046

BJ's

Wholesale

Club

Holdings,

Inc.

h

637,922

5,730

Carlsberg

AS

645,082

44,688

Casey's

General

Stores,

Inc.

5,920,713

6,534

Central

Garden

&

Pet

Company

h

179,685

124,145

Coca-Cola

Company

5,493,416

58,510

Colgate-Palmolive

Company

3,882,724

9,159

Costco

Wholesale

Corporation

2,611,506

183,065

Cott

Corporation

1,658,569

10,228

Edgewell

Personal

Care

Company

h

246,290

5,142

Energizer

Holdings,

Inc.

155,546

6,051

ForFarmers

BV

37,639

1,414

Glanbia

plc

15,392

178,949

Hain

Celestial

Group,

Inc.

h

4,647,306

20,733

John

B.

Sanfilippo

&

Son,

Inc.

1,853,530

3,700

Kewpie

Corporation

74,055

14,065

Kimberly-Clark

Corporation

1,798,492

21

Lindt

&

Spruengli

AG

176,263

777

L'Oreal

SA

201,096

1,500

Ministop

Company,

Ltd.

20,235

39,067

Monster

Beverage

Corporation

h

2,197,909

16,101

Nestle

SA

1,648,224

35,477

PepsiCo,

Inc.

4,260,788

145,374

Philip

Morris

International,

Inc.

10,606,487

51,254

Procter

&

Gamble

Company

5,637,940

1,503

Reckitt

Benckiser

Group

plc

114,492

11,030

Seneca

Foods

Corporation

h

438,773

70,019

Simply

Good

Foods

Company

h

1,348,566

8,258

Sprouts

Farmers

Markets,

Inc.

h

153,516

8,100

Sugi

Holdings

Company,

Ltd.

433,750

20,900

Sundrug

Company,

Ltd.

669,724

9,453

TreeHouse

Foods,

Inc.

h

417,350

160,012

Turning

Point

Brands,

Inc.

3,377,853

7,174

Unilever

NV

352,612

44,706

United

Natural

Foods,

Inc.

g,h

410,401

32,290

Vector

Group,

Ltd.

304,172

77,211

Wal-Mart

Stores,

Inc.

8,772,714

Total

72,444,753

Energy

(0.4%)

103,503

Abraxas

Petroleum

Corporation

h

12,524

174,679

Antero

Midstream

Corporation

g

366,826

7,158

Apache

Corporation

29,920

342,438

Archrock,

Inc.

1,287,567

111,379

BP

plc

ADR

2,716,534

290,213

Callon

Petroleum

Company

h

159,008

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

169

Shares

Common

Stock

(25.5%)

Value

Energy

(0.4%)

-

continued

100,615

Centennial

Resource

Development,

Inc.

h

$

26,462

44,653

Chevron

Corporation

3,235,556

127,773

Cimarex

Energy

Company

2,150,420

30,869

Concho

Resources,

Inc.

1,322,737

30,200

ConocoPhillips

930,160

81,744

Continental

Resources,

Inc.

g

624,524

52,332

Contura

Energy,

Inc.

h

122,980

61,339

Core

Laboratories

NV

g

634,245

62,513

Devon

Energy

Corporation

431,965

91,888

Diamond

Offshore

Drilling,

Inc.

g,h

168,155

40,391

Diamondback

Energy,

Inc.

1,058,244

19,161

Eni

SPA

190,412

194,404

EnLink

Midstream,

LLC

213,844

77,749

Enterprise

Products

Partners,

LP

1,111,811

29,021

EOG

Resources,

Inc.

1,042,434

84,153

EQT

Corporation

594,962

55,337

Equitrans

Midstream

Corporation

278,345

157,172

Euronav

NV

1,772,900

8,914

Evolution

Petroleum

Corporation

23,265

60,457

Exterran

Corporation

h

290,194

49,414

Exxon

Mobil

Corporation

1,876,250

86,909

Frank's

International

NV

h

225,094

658

Gaztransport

Et

Technigaz

SA

47,375

68,722

Gran

Tierra

Energy,

Inc.

h

17,229

160,300

Halliburton

Company

1,098,055

59,694

Helmerich

&

Payne,

Inc.

934,211

180,100

JXTG

Holdings,

Inc.

613,670

50,662

Liberty

Oilfield

Services,

Inc.

136,281

364,367

Marathon

Oil

Corporation

1,198,767

67,393

Marathon

Petroleum

Corporation

1,591,823

361,189

Nabors

Industries,

Ltd.

140,900

87,219

NexTier

Oilfield

Solutions,

Inc.

h

102,046

178,760

Nine

Energy

Service,

Inc.

h

144,492

63,698

Oceaneering

International,

Inc.

h

187,272

7,443

Oil

States

International,

Inc.

h

15,109

1,383

OMV

AG

37,848

13,485

ONEOK,

Inc.

294,108

77,809

Pacific

Drilling

SA

g,h

33,458

190,346

Patterson-UTI

Energy,

Inc.

447,313

14,251

PDC

Energy,

Inc.

h

88,499

47,794

Peabody

Energy

Corporation

138,603

4,807

Penn

Virginia

Corporation

h

14,854

30,060

Pioneer

Natural

Resources

Company

2,108,709

54,529

Plains

GP

Holdings,

LP

305,908

27,710

ProPetro

Holding

Corporation

h

69,275

540,933

QEP

Resources,

Inc.

180,942

33,962

Royal

Dutch

Shell

plc,

Class

A

590,044

54,641

Royal

Dutch

Shell

plc,

Class

B

916,549

30,437

RPC,

Inc.

g

62,700

29,788

Schlumberger,

Ltd.

401,840

51,611

SEACOR

Holdings,

Inc.

h

1,391,433

373,654

Southwestern

Energy

Company

h

631,475

98,904

Talos

Energy,

Inc.

h

568,698

34,740

Targa

Resources

Corporation

240,053

4,424

Total

SA

166,691

5,375

TransCanada

Energy

Corporation

238,902

294,814

Transocean,

Ltd.

g,h

341,984

146,501

WPX

Energy,

Inc.

h

446,828

Total

38,841,282

Financials

(3.2%)

1,766

1st

Source

Corporation

57,271

30,743

AB

Industrivarden

588,652

61,483

Aflac,

Inc.

2,105,178

58,456

AG

Mortgage

Investment

Trust,

Inc.

160,169

Shares

Common

Stock

(25.5%)

Value

Financials

(3.2%)

-

continued

21,200

AIA

Group,

Ltd.

$

189,838

40,887

Air

Lease

Corporation

905,238

5,241

Alleghany

Corporation

2,894,866

8,017

Allianz

SE

1,365,276

101,875

Ally

Financial,

Inc.

1,470,056

10,538

American

Equity

Investment

Life

Holding

Company

198,114

63,898

American

Express

Company

5,470,308

135,658

American

Financial

Group,

Inc.

9,506,913

46,018

American

International

Group,

Inc.

1,115,936

15,333

Ameriprise

Financial,

Inc.

1,571,326

50,621

Ameris

Bancorp

1,202,755

8,287

Aon

plc

1,367,686

10,713

Argo

Group

International

Holdings,

Ltd.

397,024

4,625

ARMOUR

Residential

REIT,

Inc.

40,746

37,268

Arthur

J.

Gallagher

&

Company

3,037,715

18,619

Artisan

Partners

Asset

Management,

Inc.

400,122

66,921

Associated

Banc-Corp

855,920

187,785

Assured

Guaranty,

Ltd.

4,842,975

6,395

Baloise

Holding

AG

833,728

81,109

Bank

Leumi

Le-Israel

BM

447,232

695,052

Bank

of

America

Corporation

14,755,954

6,272

Bank

of

Marin

Bancorp

188,160

10,732

Bank

of

Montreal

541,900

42,324

Bank

of

N.T.

Butterfield

&

Son,

Ltd.

720,778

24,617

Bank

of

New

York

Mellon

Corporation

829,101

39,365

BankFinancial

Corporation

346,806

16,845

BankUnited,

Inc.

315,001

44,572

Banner

Corporation

1,472,659

27,145

Berkshire

Hathaway,

Inc.

h

4,962,920

8,646

BlackRock,

Inc.

3,803,981

9,398

BOK

Financial

Corporation

399,979

178,178

Boston

Private

Financial

Holdings,

Inc.

1,273,973

88,872

Bridgewater

Bancshares,

Inc.

h

866,502

19,338

Brighthouse

Financial,

Inc.

h

467,399

245,119

BrightSphere

Investment

Group

1,566,310

15,559

Brown

&

Brown,

Inc.

563,547

14,729

Byline

Bancorp,

Inc.

152,740

9,523

Cadence

Bancorporation

62,376

51,290

Capital

One

Financial

Corporation

2,586,042

30,833

Cboe

Global

Markets,

Inc.

2,751,845

275,979

Charles

Schwab

Corporation

9,278,414

18,336

Chubb,

Ltd.

2,047,948

66,713

CI

Financial

Corporation

662,247

14,558

Cincinnati

Financial

Corporation

1,098,401

41,932

CIT

Group,

Inc.

723,746

156,826

Citigroup,

Inc.

6,605,511

75,201

Citizens

Financial

Group,

Inc.

1,414,531

5,990

CME

Group,

Inc.

1,035,731

3,351

CNP

Assurances

32,446

11,110

Cohen

&

Steers,

Inc.

504,950

165,261

Comerica,

Inc.

4,848,758

11,865

Commonwealth

Bank

of

Australia

447,667

4,055

Community

Bank

System,

Inc.

238,434

50,520

Community

Trust

Bancorp,

Inc.

1,606,031

74,855

Cullen/Frost

Bankers,

Inc.

4,176,160

48,100

DBS

Group

Holdings,

Ltd.

627,616

2,354

Deutsche

Boerse

AG

323,402

23,444

Deutsche

Pfandbriefbank

AG

i

176,982

1,447

Diamond

Hill

Investment

Group,

Inc.

130,577

26,903

Discover

Financial

Services

959,630

47,929

DnB

ASA

533,974

18,072

Ellington

Residential

Mortgage

REIT

95,782

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

170

Shares

Common

Stock

(25.5%)

Value

Financials

(3.2%)

-

continued

7,465

Enstar

Group,

Ltd.

h

$

1,187,308

18,971

Enterprise

Financial

Services

Corporation

529,481

41,923

Essent

Group,

Ltd.

1,104,252

11,545

Euronext

NV

i

850,096

471,646

Everi

Holdings,

Inc.

h

1,556,432

12,864

FBL

Financial

Group,

Inc.

600,363

4,878

Federal

Agricultural

Mortgage

Corporation

271,363

37,237

Fifth

Third

Bancorp

552,969

39,061

Financial

Institutions,

Inc.

708,567

26,878

First

American

Financial

Corporation

1,139,896

2,564

First

Bancshares,

Inc.

48,895

79,709

First

Busey

Corporation

1,363,821

6,918

First

Citizens

BancShares,

Inc.

2,302,795

72,250

First

Defiance

Financial

Corporation

1,064,965

29,625

First

Financial

Corporation

998,955

108,107

First

Interstate

BancSystem,

Inc.

3,117,806

2,119

First

Mid-Illinois

Bancshares,

Inc.

50,305

51,504

First

Midwest

Bancorp,

Inc.

681,655

6,304

First

of

Long

Island

Corporation

109,374

30,306

First

Republic

Bank

2,493,578

125,536

FlexiGroup,

Ltd.

58,023

8,045

Goldman

Sachs

Group,

Inc.

1,243,677

58,293

Great

Southern

Bancorp,

Inc.

2,355,037

45,430

Great

Western

Bancorp,

Inc.

930,406

54,468

Hamilton

Lane,

Inc.

3,012,625

23,393

Hancock

Whitney

Corporation

456,631

2,813

Hanmi

Financial

Corporation

30,521

41,523

Hanover

Insurance

Group,

Inc.

3,761,153

82,304

Hartford

Financial

Services

Group,

Inc.

2,900,393

46,591

Heartland

Financial

USA,

Inc.

1,407,048

178,743

Heritage

Commerce

Corporation

1,370,959

2,807

Heritage

Financial

Corporation

56,140

49,579

Hometrust

Bancshares,

Inc.

789,298

69,592

Horizon

Bancorp,

Inc.

686,177

25,733

Houlihan

Lokey,

Inc.

1,341,204

35,728

HSBC

Holdings

plc

200,568

61,948

Independent

Bank

Corporation

797,271

83,334

Interactive

Brokers

Group,

Inc.

3,597,529

22,413

Intercontinental

Exchange,

Inc.

1,809,850

21,181

International

Bancshares

Corporation

569,345

189,785

Israel

Discount

Bank,

Ltd.

553,388

62,197

J.P.

Morgan

Chase

&

Company

5,599,596

4,711

Janus

Henderson

Group

plc

72,173

30,695

Kemper

Corporation

2,282,787

255,055

KeyCorp

2,644,920

1,538

L

E

Lundbergforetagen

AB

62,347

25,626

Lakeland

Bancorp,

Inc.

277,017

12,174

Laurentian

Bank

of

Canada

g

264,363

13,722

Loews

Corporation

477,937

26,287

M&T

Bank

Corporation

2,718,864

48,781

Manulife

Financial

Corporation

612,492

2,616

Markel

Corporation

h

2,427,360

8,582

Marsh

&

McLennan

Companies,

Inc.

742,000

8,794

Mercantile

Bank

Corporation

186,169

76,668

Meridian

Bancorp,

Inc.

860,215

53,502

MetLife,

Inc.

1,635,556

81,758

MidWestOne

Financial

Group,

Inc.

1,712,013

4,148

Mizrahi

Tefahot

Bank,

Ltd.

76,347

79,459

Morgan

Stanley

2,701,606

1,447

Morningstar,

Inc.

168,214

21,510

Mr.

Cooper

Group,

Inc.

h

157,668

14,024

MSCI,

Inc.

4,052,375

Shares

Common

Stock

(25.5%)

Value

Financials

(3.2%)

-

continued

4,001

National

Bank

of

Canada

$

154,633

919

National

Western

Life

Group,

Inc.

158,068

29,313

Natixis

93,340

2,964

NBT

Bancorp,

Inc.

96,004

39,242

Northern

Trust

Corporation

2,961,201

12,452

Northwest

Bancshares,

Inc.

144,070

5,977

OFG

Bancorp

66,823

12,562

Old

Republic

International

Corporation

191,571

34,704

Old

Second

Bancorp,

Inc.

239,805

3,071

Onex

Corporation

112,405

10,593

PacWest

Bancorp

189,827

3,698

Paragon

Banking

Group

plc

15,125

3,186

Pargesa

Holding

SA

210,350

848

Park

National

Corporation

65,839

10,003

PCSB

Financial

Corporation

139,942

2,364

Peapack-Gladstone

Financial

Corporation

42,434

11,255

Peoples

Bancorp,

Inc.

249,298

16,890

PNC

Financial

Services

Group,

Inc.

1,616,711

181,191

Popular,

Inc.

6,341,685

12,693

Power

Corporation

of

Canada

204,199

16,245

Primerica,

Inc.

1,437,358

109,963

Prosight

Global,

Inc.

h

1,072,139

4,352

Provident

Financial

Services,

Inc.

55,967

13,270

Prudential

Financial,

Inc.

691,898

40,997

QCR

Holdings,

Inc.

1,109,789

80,662

Radian

Group,

Inc.

1,044,573

106,847

Raymond

James

Financial,

Inc.

6,752,730

5,971

Ready

Capital

Corporation

43,111

40,899

Reinsurance

Group

of

America,

Inc.

3,441,242

22,812

Renasant

Corporation

498,214

6,835

Royal

Bank

of

Canada

423,369

52,661

S&P

Global,

Inc.

12,904,578

5,033

Safety

Insurance

Group,

Inc.

424,936

20,723

Sandy

Spring

Bancorp,

Inc.

469,169

38,887

Santander

Consumer

USA

Holdings,

Inc.

g

540,918

121,584

Seacoast

Banking

Corporation

of

Florida

h

2,226,203

84,829

SEI

Investments

Company

3,930,976

2,310

Selective

Insurance

Group,

Inc.

114,807

4,200

Senshu

Ikeda

Holdings,

Inc.

6,332

9,400

Singapore

Exchange,

Ltd.

60,540

33,698

SLM

Corporation

242,289

50,694

Spirit

of

Texas

Bancshares,

Inc.

h

524,176

3,425

Starwood

Property

Trust,

Inc.

35,106

45,038

State

Auto

Financial

Corporation

1,251,606

24,554

Sun

Life

Financial,

Inc.

789,853

37,186

SVB

Financial

Group

h

5,618,061

2,618

Swiss

Life

Holding

AG

878,722

220,175

Synovus

Financial

Corporation

3,866,273

36,890

T.

Rowe

Price

Group,

Inc.

3,602,309

2,552

TCF

Financial

Corporation

57,828

15,069

Territorial

Bancorp,

Inc.

369,944

26,332

TMX

Group,

Ltd.

1,960,352

1,535

Topdanmark

AS

61,594

42,920

Toronto-Dominion

Bank

1,824,702

31,972

TPG

RE

Finance

Trust,

Inc.

175,526

31,512

TriCo

Bancshares

939,688

35,881

Triumph

Bancorp,

Inc.

h

932,906

117,098

TrustCo

Bank

Corporation

633,500

78,122

U.S.

Bancorp

2,691,303

2,480

UMB

Financial

Corporation

115,022

21,717

Umpqua

Holdings

Corporation

236,715

4,567

Univest

Financial

Corporation

74,533

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

171

Shares

Common

Stock

(25.5%)

Value

Financials

(3.2%)

-

continued

361

Virtus

Investment

Partners,

Inc.

$

27,476

22,682

Washington

Trust

Bancorp,

Inc.

829,254

101,074

Webster

Financial

Corporation

2,314,595

24,428

Wells

Fargo

&

Company

701,084

16,697

WesBanco,

Inc.

395,719

2,161

Westamerica

Bancorporation

127,024

59,858

Western

Alliance

Bancorp

1,832,253

2,210

Westwood

Holdings

Group,

Inc.

40,465

104,847

Wintrust

Financial

Corporation

3,445,272

216,541

Zions

Bancorporations

NA

5,794,637

Total

288,546,059

Health

Care

(3.9%)

48,159

Abbott

Laboratories

3,800,227

9,629

AbbVie,

Inc.

733,634

4,013

Acceleron

Pharma,

Inc.

h

360,648

62,159

ADMA

Biologics,

Inc.

h

179,018

29,733

Aduro

Biotech,

Inc.

h

81,468

38,807

Aerie

Pharmaceuticals,

Inc.

g,h

523,894

26,612

Agenus,

Inc.

h

65,199

34,805

Agile

Therapeutics,

Inc.

h

64,737

43,299

Agilent

Technologies,

Inc.

3,101,074

62,727

Agios

Pharmaceuticals,

Inc.

h

2,225,554

17,962

Akebia

Therapeutics,

Inc.

h

136,152

19,704

Alexion

Pharmaceuticals,

Inc.

h

1,769,222

9,212

Align

Technology,

Inc.

h

1,602,427

30,743

Alkermes

plc

h

443,314

11,449

AmerisourceBergen

Corporation

1,013,236

23,391

Amgen,

Inc.

4,742,057

32,421

AnaptysBio,

Inc.

h

458,109

24,672

Anavex

Life

Sciences

Corporation

g,h

77,717

14,364

Arena

Pharmaceuticals,

Inc.

h

603,288

5,023

Argenx

SE

ADR

h

661,680

7,959

Assembly

Biosciences,

Inc.

h

118,032

17,008

Atara

Biotherapeutics,

Inc.

h

144,738

7,076

Athenex,

Inc.

h

54,768

777

Atrion

Corporation

505,050

4,578

AVROBIO,

Inc.

h

71,234

105,733

Axonics

Modulation

Technologies,

Inc.

g,h

2,686,676

3,842

Axsome

Therapeutics,

Inc.

h

226,025

64,564

Bausch

Health

Companies,

Inc.

h

1,000,742

6,044

Becton,

Dickinson

and

Company

1,388,730

10,730

Biogen,

Inc.

h

3,394,757

21,854

Biohaven

Pharmaceutical

Holding

Company,

Ltd.

h

743,692

23,079

BioMarin

Pharmaceutical,

Inc.

h

1,950,175

9,255

Bio-Rad

Laboratories,

Inc.

h

3,244,433

44,042

Bio-Techne

Corporation

8,351,244

13,355

Bluebird

Bio,

Inc.

h

613,796

2,616

Blueprint

Medicines

Corporation

h

152,984

6,279

Bruker

Corporation

225,165

184,178

Catalent,

Inc.

h

9,568,047

9,567

CEL-SCI

Corporation

h

110,403

67,940

Centene

Corporation

h

4,036,315

20,956

Charles

River

Laboratories

International,

Inc.

h

2,644,857

7,616

Chemed

Corporation

3,299,251

17,282

Cigna

Holding

Company

3,062,025

19,952

Clovis

Oncology,

Inc.

g,h

126,895

32,458

Community

Health

Systems,

Inc.

h

108,410

57,341

CryoLife,

Inc.

h

970,210

8,398

CSL,

Ltd.

1,522,321

83,364

CVS

Health

Corporation

4,945,986

15,757

CytomX

Therapeutics,

Inc.

h

120,856

10,433

Danaher

Corporation

1,444,032

Shares

Common

Stock

(25.5%)

Value

Health

Care

(3.9%)

-

continued

4,261

Deciphera

Pharmaceuticals,

Inc.

h

$

175,425

25,749

Dexcom,

Inc.

h

6,933,433

45,443

Dynavax

Technologies

Corporation

g,h

160,414

62,515

Edwards

Lifesciences

Corporation

h

11,791,579

9,514

Encompass

Health

Corporation

609,181

52,760

Endo

International

plc

h

195,212

41,197

Gilead

Sciences,

Inc.

3,079,888

88,835

GlaxoSmithKline

plc

1,666,911

4,489

Global

Blood

Therapeutics,

Inc.

h

229,343

10,211

Grifols

SA

341,634

101,554

Guardant

Health,

Inc.

h

7,068,158

118,421

Halozyme

Therapeutics,

Inc.

h

2,130,394

23,226

HCA

Healthcare,

Inc.

2,086,856

7,483

HealthStream,

Inc.

h

179,218

38,314

Hill-Rom

Holdings,

Inc.

3,854,388

27,340

Humana,

Inc.

8,585,307

76,703

iBio,

Inc.

h

81,305

79,333

ImmunoGen,

Inc.

h

270,526

30,383

Immunomedics,

Inc.

h

409,563

11,538

Insmed,

Inc.

h

184,954

46,772

Inspire

Medical

Systems,

Inc.

h

2,819,416

16,769

Insulet

Corporation

h

2,778,288

4,632

Intra-Cellular

Therapies,

Inc.

h

71,194

33,795

Intuitive

Surgical,

Inc.

h

16,735,622

10,472

Invitae

Corporation

h

143,152

15,876

Iovance

Biotherapeutics,

Inc.

h

475,248

21,135

IQVIA

Holding,

Inc.

h

2,279,621

13,325

Jazz

Pharmaceuticals,

Inc.

h

1,329,036

110,812

Johnson

&

Johnson

14,530,778

35,937

Kadmon

Holdings,

Inc.

h

150,576

2,000

KYORIN

Holdings,

Inc.

40,841

7,507

Laboratory

Corporation

of

America

Holdings

h

948,810

77,328

LHC

Group,

Inc.

h

10,841,386

13,432

Ligand

Pharmaceuticals,

Inc.

g,h

976,775

652

LNA

Sante

27,235

16,906

MacroGenics,

Inc.

h

98,393

110,966

Medtronic

plc

10,006,914

106,085

Merck

&

Company,

Inc.

8,162,180

10,438

Mersana

Therapeutics,

Inc.

h

60,854

5,980

Mesa

Laboratories,

Inc.

g

1,352,018

1,647

Mirati

Therapeutics,

Inc.

h

126,605

11,442

Molina

Healthcare,

Inc.

h

1,598,562

4,386

Momenta

Pharmaceuticals,

Inc.

h

119,299

18,355

Myovant

Sciences,

Ltd.

h

138,580

9,893

Myriad

Genetics,

Inc.

h

141,569

80,896

Natera,

Inc.

h

2,415,555

33,624

National

Healthcare

Corporation

2,411,850

18,852

Nektar

Therapeutics

h

336,508

26,239

Neurocrine

Biosciences,

Inc.

h

2,270,985

18,326

Nevro

Corporation

h

1,832,233

31,250

Novartis

AG

2,578,089

30,684

Novo

Nordisk

AS

1,832,329

199,766

Optinose,

Inc.

h

896,949

13,060

Orthifix

Medical,

Inc.

h

365,811

8,338

PerkinElmer,

Inc.

627,685

133,171

Pfizer,

Inc.

4,346,701

13,016

Portola

Pharmaceuticals,

Inc.

h

92,804

22,219

PRA

Health

Sciences,

Inc.

h

1,845,066

14,958

Precision

BioSciences,

Inc.

h

90,197

4,366

Prothena

Corporation

plc

h

46,716

13,070

Puma

Biotechnology,

Inc.

h

110,311

4,952

Quest

Diagnostics,

Inc.

397,646

4,657

Reata

Pharmaceuticals,

Inc.

h

672,191

11,771

Recordati

SPA

495,944

24,816

Repligen

Corporation

h

2,395,737

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

172

Shares

Common

Stock

(25.5%)

Value

Health

Care

(3.9%)

-

continued

21,424

ResMed,

Inc.

$

3,155,541

31,874

Rite

Aid

Corporation

h

478,110

8,281

Roche

Holding

AG

2,664,346

12,489

Sage

Therapeutics,

Inc.

h

358,684

11,503

Sarepta

Therapeutics,

Inc.

h

1,125,223

100

Siegfried

Holding

AG

40,244

56,932

Silk

Road

Medical,

Inc.

h

1,792,219

2,429

Sonova

Holding

AG

433,126

61,286

Spectrum

Pharmaceuticals,

Inc.

h

142,796

20,502

Stryker

Corporation

3,413,378

1,918

Surmodics,

Inc.

h

63,908

46,350

Syneos

Health,

Inc.

h

1,827,117

66,997

Tactile

Systems

Technology,

Inc.

h

2,690,600

6,400

Takeda

Pharmaceutical

Company,

Ltd.

194,868

1,943

Teladoc

Health,

Inc.

h

301,184

23,493

Teleflex,

Inc.

6,880,160

22,991

Tenet

Healthcare

Corporation

h

331,070

58,504

Thermo

Fisher

Scientific,

Inc.

16,591,734

15,917

Tilray,

Inc.

g,h

109,509

900

Tsumura

&

Company

22,950

6,170

U.S.

Physical

Therapy,

Inc.

425,730

13,581

United

Therapeutics

Corporation

h

1,287,818

26,772

UnitedHealth

Group,

Inc.

6,676,401

15,110

Universal

Health

Services,

Inc.

1,497,099

8,254

Varian

Medical

Systems,

Inc.

h

847,356

106,048

Veeva

Systems,

Inc.

h

16,582,726

71,974

Vertex

Pharmaceuticals,

Inc.

h

17,126,213

25,898

Viking

Therapeutics,

Inc.

g,h

121,203

5,283

Waters

Corporation

h

961,770

8,946

West

Pharmaceutical

Services,

Inc.

1,362,029

162,626

Wright

Medical

Group

NV

h

4,659,235

9,691

Zimmer

Biomet

Holdings,

Inc.

979,566

183,173

Zoetis,

Inc.

21,557,630

Total

348,223,995

Industrials

(3.1%)

5,499

3M

Company

750,668

43,599

A.O.

Smith

Corporation

1,648,478

9,385

Aalberts

NV

224,842

8,601

AECOM

h

256,740

20,095

Aegion

Corporation

h

360,303

53,239

Aerojet

Rocketdyne

Holdings,

Inc.

h

2,226,987

551

Aeroports

de

Paris

SA

53,230

63,191

AGCO

Corporation

2,985,775

206,079

Altra

Industrial

Motion

Corporation

3,604,322

20,787

American

Airlines

Group,

Inc.

g

253,394

81,918

AMETEK,

Inc.

5,899,734

49,798

Arcosa,

Inc.

1,978,973

77,456

ASGN,

Inc.

h

2,735,746

18,073

Assa

Abloy

AB

337,400

12,669

Atlas

Air

Worldwide

Holdings,

Inc.

h

325,213

24,575

Atlas

Copco

AB,

Class

A

817,223

9,679

Atlas

Copco

AB,

Class

B

281,556

9,994

Avis

Budget

Group,

Inc.

h

138,917

84,484

AZZ,

Inc.

2,375,690

8,794

Bloom

Energy

Corporation

g,h

45,993

37,839

Boeing

Company

5,643,308

60,041

BWX

Technologies,

Inc.

2,924,597

6,801

Carlisle

Companies,

Inc.

852,029

54,829

Casella

Waste

Systems,

Inc.

h

2,141,621

21,084

Caterpillar,

Inc.

2,446,587

117,841

CBIZ,

Inc.

h

2,465,234

39,934

Chart

Industries,

Inc.

h

1,157,287

4,322

CIA

De

Distribucion

Integral

69,380

770

Columbus

McKinnon

Corporation

19,250

Shares

Common

Stock

(25.5%)

Value

Industrials

(3.1%)

-

continued

19,735

Cornerstone

Building

Brands,

Inc.

h

$

89,992

13,054

CRA

International,

Inc.

436,134

76,896

Crane

Company

3,781,745

48,170

CSW

Industrials,

Inc.

3,123,824

25,856

CSX

Corporation

1,481,549

82,470

Curtiss-Wright

Corporation

7,621,053

73,289

Delta

Air

Lines,

Inc.

2,090,935

14,062

Douglas

Dynamics,

Inc.

499,342

95,752

EMCOR

Group,

Inc.

5,871,513

62,359

Emerson

Electric

Company

2,971,406

31,967

Encore

Wire

Corporation

1,342,294

27,856

Expeditors

International

of

Washington,

Inc.

1,858,552

57,942

Fluor

Corporation

400,379

59,828

Forrester

Research,

Inc.

h

1,748,772

46,627

FuelCell

Energy,

Inc.

g,h

70,407

674

Geberit

AG

295,333

44,304

General

Dynamics

Corporation

5,861,862

24,200

Gorman-Rupp

Company

755,282

5,800

GS

Yuasa

Corporation

77,619

56,977

GWA

Group,

Ltd.

g

91,352

5,900

Hanwa

Company,

Ltd.

91,355

8,395

Heico

Corporation

626,351

17,231

Helios

Technologies,

Inc.

653,400

3,904

Herc

Holdings,

Inc.

h

79,876

19,800

Hino

Motors,

Ltd.

105,597

145,748

Honeywell

International,

Inc.

19,499,625

30,303

Hubbell,

Inc.

3,476,966

17,569

Huntington

Ingalls

Industries,

Inc.

3,201,247

11,093

ICF

International,

Inc.

762,089

71,557

IDEX

Corporation

9,882,737

13,400

Inaba

Denki

Sangyo

Company,

Ltd.

284,703

20,181

Ingersoll

-

Rand,

Inc.

h

500,489

5,542

Interface,

Inc.

41,898

23,643

John

Bean

Technologies

Corporation

1,755,966

59,140

Johnson

Controls

International

plc

1,594,414

11,570

Kansas

City

Southern

1,471,473

4,245

Kennametal,

Inc.

79,042

17,800

Kinden

Corporation

261,917

15,932

Koninklijke

Philips

NV

654,127

17,528

Legrand

SA

1,130,514

101,363

Lincoln

Electric

Holdings,

Inc.

6,994,047

38,854

Lockheed

Martin

Corporation

13,169,563

14,283

Manpower,

Inc.

756,856

106,500

Marubeni

Corporation

528,566

9,357

Masonite

International

Corporation

h

443,990

17,541

Mercury

Systems,

Inc.

h

1,251,375

191,796

Meritor,

Inc.

h

2,541,297

55,300

Mitsubishi

Corporation

1,169,719

5,500

Mitsuboshi

Belting,

Ltd.

61,408

81,400

Mitsui

&

Company,

Ltd.

1,130,134

15,713

MSC

Industrial

Direct

Company,

Inc.

863,744

22,176

National

Express

Group

plc

56,150

16,600

Nitto

Kogyo

Corporation

263,641

9,018

Nobina

AB

i

48,730

21,796

Nordson

Corporation

2,943,986

47,608

Norfolk

Southern

Corporation

6,950,768

1,852

Northrop

Grumman

Corporation

560,323

43,979

Old

Dominion

Freight

Line,

Inc.

5,772,684

27,265

PageGroup

plc

122,407

33,784

Parker-Hannifin

Corporation

4,382,798

126,386

Primoris

Services

Corporation

2,009,537

54,207

Raven

Industries,

Inc.

1,150,815

6,686

Redde

Northgate

plc

11,496

36,310

Regal-Beloit

Corporation

2,285,714

56,597

RELX

plc

1,207,915

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

173

Shares

Common

Stock

(25.5%)

Value

Industrials

(3.1%)

-

continued

2,981

Republic

Services,

Inc.

$

223,754

21,567

Resideo

Technologies,

Inc.

h

104,384

145,500

Ritchie

Brothers

Auctioneers,

Inc.

4,973,190

16,803

Rockwell

Automation,

Inc.

2,535,741

15,332

Roper

Industries,

Inc.

4,780,671

19,524

Ryder

System,

Inc.

516,215

40,260

Saia,

Inc.

h

2,960,720

12,923

Sandvik

AB

181,784

6,800

Sanwa

Holdings

Corporation

52,809

12,248

Schneider

Electric

SE

1,035,237

20,005

Signify

NV

i

387,702

22,931

SiteOne

Landscape

Supply,

Inc.

h

1,688,180

24,642

SKF

AB

335,801

364,300

Sojitz

Corporation

854,154

156,897

Southwest

Airlines

Company

5,587,102

7,085

SP

Plus

Corporation

h

147,014

2,693

Spirax-Sarco

Engineering

plc

270,358

4,275

Spirit

Airlines,

Inc.

h

55,105

7,001

SPX

FLOW,

Inc.

h

198,968

69,867

Standex

International

Corporation

3,424,880

55,300

Sumitomo

Corporation

630,655

2,600

Taikisha,

Ltd.

74,770

12,158

Teledyne

Technologies,

Inc.

h

3,614,209

11,764

Thermon

Group

Holdings,

Inc.

h

177,283

7,300

Toppan

Forms

Company,

Ltd.

65,055

22,871

Trane

Technologies

plc

1,888,916

4,894

Transcontinental,

Inc.

43,435

4,784

TransDigm

Group,

Inc.

1,531,789

10,535

Trex

Company,

Inc.

h

844,275

105,918

TriMas

Corporation

h

2,446,706

5,600

Tsubakimoto

Chain

Company

126,490

10,769

UniFirst

Corporation

1,627,088

6,686

Union

Pacific

Corporation

942,993

33,984

United

Airlines

Holdings,

Inc.

g,h

1,072,195

63,460

United

Rentals,

Inc.

h

6,530,034

59,525

United

Technologies

Corporation

5,614,993

63,540

Valmont

Industries,

Inc.

6,733,969

68,931

Verisk

Analytics,

Inc.

9,607,603

3,949

Vinci

SA

322,670

39,685

Waste

Connections,

Inc.

3,075,588

16,483

Watsco,

Inc.

2,604,808

104,454

Willdan

Group,

Inc.

h

2,232,182

14,419

XPO

Logistics,

Inc.

g,h

702,926

3,500

Yuasa

Trading

Company,

Ltd.

92,078

Total

271,237,750

Information

Technology

(6.8%)

29,622

Accenture

plc

4,836,088

50,588

Adobe,

Inc.

h

16,099,125

23,236

ADTRAN,

Inc.

178,452

15,219

Advanced

Energy

Industries,

Inc.

h

737,969

129,154

Advanced

Micro

Devices,

Inc.

h

5,873,924

20,810

Agilysys,

Inc.

h

347,527

61,921

Akamai

Technologies,

Inc.

h

5,665,152

23,611

Alliance

Data

Systems

Corporation

794,510

22,910

Alteryx,

Inc.

g,h

2,180,345

17,687

Amadeus

IT

Holding

SA

832,508

9,907

American

Software,

Inc.

140,778

99,658

Amphenol

Corporation

7,263,075

17,377

ANSYS,

Inc.

h

4,039,631

265,521

Apple,

Inc.

67,519,335

396

ASM

International

NV

40,290

3,617

ASML

Holding

NV

953,496

19,857

Atlassian

Corporation

plc

h

2,725,572

36,134

Automatic

Data

Processing,

Inc.

4,938,795

53,487

Avalara,

Inc.

h

3,990,130

Shares

Common

Stock

(25.5%)

Value

Information

Technology

(6.8%)

-

continued

19,358

Avnet,

Inc.

$

485,886

65,169

Bandwidth,

Inc.

g,h

4,385,222

11,819

BE

Semiconductor

Industries

NV

361,979

63,921

Benchmark

Electronics,

Inc.

1,277,781

63,200

Blackline,

Inc.

h

3,324,952

4,224

Broadcom,

Ltd.

1,001,510

17,473

Broadridge

Financial

Solutions,

Inc.

1,656,965

4,756

CACI

International,

Inc.

h

1,004,229

7,100

Canon,

Inc.

154,290

92,625

CDK

Global,

Inc.

3,042,731

10,135

CDW

Corporation

945,291

2,168

CEVA,

Inc.

h

54,048

23,417

CGI,

Inc.

h

1,267,776

113,046

Change

Healthcare,

Inc.

h

1,129,330

154,138

Ciena

Corporation

h

6,136,234

374,159

Cisco

Systems,

Inc.

14,708,190

52,057

Cognex

Corporation

2,197,847

33,059

CommScope

Holding

Company,

Inc.

h

301,167

32,398

Computer

Services,

Inc.

1,303,372

27,107

Computershare,

Ltd.

162,272

61,862

Coupa

Software,

Inc.

h

8,643,977

5,062

Cree,

Inc.

h

179,498

42,446

CTS

Corporation

1,056,481

48,489

Descartes

Systems

Group,

Inc.

h

1,667,537

1,924

Dialog

Semiconductor

plc

h

50,011

80,201

DocuSign,

Inc.

h

7,410,572

181,136

Dolby

Laboratories,

Inc.

9,819,383

12,977

DSP

Group,

Inc.

h

173,892

59,203

Elastic

NV

h

3,304,119

21,277

ePlus,

Inc.

h

1,332,366

28,275

Euronet

Worldwide,

Inc.

h

2,423,733

32,590

ExlService

Holdings,

Inc.

h

1,695,658

8,213

eXp

World

Holdings,

Inc.

g,h

69,482

26,079

F5

Networks,

Inc.

h

2,780,804

3,479

Fair

Isaac

Corporation

h

1,070,453

58,187

Five9,

Inc.

h

4,448,978

4,173

FLIR

Systems,

Inc.

133,077

6,200

Fuji

Soft,

Inc.

199,044

6,691

Gartner,

Inc.

h

666,223

35,704

Global

Payments,

Inc.

5,149,588

60,569

Guidewire

Software,

Inc.

h

4,803,727

47,326

Halma

plc

1,111,499

1,195

Infineon

Technologies

AG

17,251

12,745

Inphi

Corporation

h

1,009,022

49,860

Intel

Corporation

2,698,423

8,821

InterDigital,

Inc.

393,681

10,844

International

Business

Machines

Corporation

1,202,925

57,859

Intuit,

Inc.

13,307,570

4,605

Jack

Henry

&

Associates,

Inc.

714,880

43,373

Juniper

Networks,

Inc.

830,159

11,718

KLA-Tencor

Corporation

1,684,345

4,892

Kulicke

and

Soffa

Industries,

Inc.

102,096

14,643

Lam

Research

Corporation

3,514,320

126,149

Lattice

Semiconductor

Corporation

h

2,247,975

10,266

Littelfuse,

Inc.

1,369,690

16,334

ManTech

International

Corporation

1,186,992

136,565

MasterCard,

Inc.

32,988,641

30,100

Maxim

Integrated

Products,

Inc.

1,463,161

35,433

Methode

Electronics,

Inc.

936,494

556,778

Microsoft

Corporation

87,809,458

27,630

MicroStrategy,

Inc.

h

3,263,103

31,601

MKS

Instruments,

Inc.

2,573,901

48,516

MoneyGram

International,

Inc.

g,h

63,556

84,429

Monolithic

Power

Systems,

Inc.

14,138,480

23,891

MTS

Systems

Corporation

537,547

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

174

Shares

Common

Stock

(25.5%)

Value

Information

Technology

(6.8%)

-

continued

71,660

National

Instruments

Corporation

$

2,370,513

9,100

NEC

Networks

&

System

Integration

Corporation

368,876

914

NetApp,

Inc.

38,105

31,883

Nice,

Ltd.

ADR

h

4,577,123

43,101

Nova

Measuring

Instruments,

Ltd.

h

1,407,248

22,300

Novanta,

Inc.

h

1,781,324

143,004

Nuance

Communications,

Inc.

h

2,399,607

69,940

NVIDIA

Corporation

18,436,184

33,878

Oracle

Corporation

1,637,324

900

Oracle

Corporation

Japan

78,501

26,906

Palo

Alto

Networks,

Inc.

h

4,411,508

12,349

Paychex,

Inc.

776,999

153,348

PayPal

Holdings,

Inc.

h

14,681,538

19,259

Plexus

Corporation

h

1,050,771

13,485

Progress

Software

Corporation

431,520

23,231

Proofpoint,

Inc.

h

2,383,268

43,971

Q2

Holdings,

Inc.

h

2,596,927

22,059

QAD,

Inc.

880,816

27,393

QUALCOMM,

Inc.

1,853,136

9,318

Rogers

Corporation

h

879,806

10,350

Rubicon

Project,

Inc.

h

57,442

3,500

Ryoyo

Electro

Corporation

66,645

188,474

SailPoint

Technologies

Holdings,

Inc.

h

2,868,574

51,119

Salesforce.com,

Inc.

h

7,360,114

2,471

Samsung

Electronics

Company,

Ltd.

GDR

2,444,159

634

SAP

SE

70,785

30,158

ScanSource,

Inc.

h

645,080

83,141

ServiceNow,

Inc.

h

23,826,548

17,428

Silicon

Laboratories,

Inc.

h

1,488,525

174,655

Square,

Inc.

h

9,148,429

133,621

STMicroelectronics

NV

ADR

g

2,855,481

4,861

Sykes

Enterprises,

Inc.

h

131,830

47,915

Synopsys,

Inc.

h

6,170,973

59,347

TE

Connectivity,

Ltd.

3,737,674

43,828

Teradyne,

Inc.

2,374,163

168,531

Texas

Instruments,

Inc.

16,841,303

16,048

Tyler

Technologies,

Inc.

h

4,759,195

6,433

Unisys

Corporation

h

79,448

15,878

VeriSign,

Inc.

h

2,859,469

91,300

Virtusa

Corporation

h

2,592,920

230,239

Visa,

Inc.

37,096,108

10,750

VMware,

Inc.

h

1,301,825

18,031

WEX,

Inc.

h

1,885,141

166

Wirecard

AG

18,703

18,221

Xilinx,

Inc.

1,420,145

66,911

Zscaler,

Inc.

g,h

4,072,203

Total

605,515,522

Materials

(0.8%)

16,717

AdvanSix,

Inc.

h

159,480

22,700

Air

Water,

Inc.

310,873

3,360

Anglo

American

plc

58,879

28,859

AptarGroup,

Inc.

2,872,625

10,641

Arcelor

Mittal

100,456

12,753

Avery

Dennison

Corporation

1,299,148

1,062

Balchem

Corporation

104,841

34,627

Ball

Corporation

2,238,982

15,834

Cabot

Corporation

413,584

21,230

Celanese

Corporation

1,558,070

63,255

CF

Industries

Holdings,

Inc.

1,720,536

60,584

Chemours

Company

g

537,380

161,016

Coeur

Mining,

Inc.

h

516,861

109,455

Eastman

Chemical

Company

5,098,414

68,484

Ecolab,

Inc.

10,671,862

Shares

Common

Stock

(25.5%)

Value

Materials

(0.8%)

-

continued

137,748

Element

Solutions,

Inc.

h

$

1,151,573

519

Eramet

SA

16,245

7,004

Ferro

Corporation

h

65,558

90,800

Ferroglobe

Representation

&

Warranty

Insurance

Trust

c,h

9

14,286

First

Majestic

Silver

Corporation

h

88,430

35,044

Gold

Road

Resources,

Ltd.

h

29,791

18,628

Granges

AB

91,518

99,016

Hecla

Mining

Company

180,209

26,510

Hexpol

AB

156,629

11,115

Hochschild

Mining

plc

14,524

4,500

Hokuetsu

Corporation

16,802

30,911

IAMGOLD

Corporation

h

70,477

16,607

Ingevity

Corporation

h

584,566

40,962

Innospec,

Inc.

2,846,449

316,301

Ivanhoe

Mines,

Ltd.

h

525,932

47,798

Kaiser

Aluminum

Corporation

3,311,445

2,029

Kirkland

Lake

Gold,

Ltd.

59,761

9,585

Koninklijke

DSM

NV

1,078,207

16,472

Kraton

Performance

Polymers,

Inc.

h

133,423

15,500

Kyoei

Steel,

Ltd.

178,047

2,900

Lintec

Corporation

60,693

202,825

Louisiana-Pacific

Corporation

3,484,534

1,811

MAG

Silver

Corporation

h

13,975

21,049

Martin

Marietta

Materials,

Inc.

3,983,102

36,802

Materion

Corporation

1,288,438

22,783

Minerals

Technologies,

Inc.

826,112

77,907

Myers

Industries,

Inc.

837,500

37,411

Neenah,

Inc.

1,613,536

29,400

Nippon

Light

Metal

Holdings

Company,

Ltd.

45,775

82,300

Nippon

Steel

Corporation

701,551

4,916

Northern

Star

Resources,

Ltd.

31,846

48,649

Nucor

Corporation

1,752,337

87,491

Nutanix,

Inc.

h

1,382,358

9,658

O-I

Glass,

Inc.

68,668

23,580

Olin

Corporation

275,179

9,566

Olympic

Steel,

Inc.

99,008

50,300

PPG

Industries,

Inc.

4,205,080

2,106

Quaker

Chemical

Corporation

265,946

27,054

Ramelius

Resources,

Ltd.

16,620

9,403

Reliance

Steel

&

Aluminum

Company

823,609

55,968

Resolute

Mining,

Ltd.

h

27,751

2,594

Rio

Tinto,

Ltd.

133,642

8,447

RPM

International,

Inc.

502,597

43,537

Ryerson

Holding

Corporation

h

231,617

38,929

Sandfire

Resources,

Ltd.

78,006

900

Sanyo

Special

Steel

Company,

Ltd.

8,041

851

Schnitzer

Steel

Industries,

Inc.

11,097

3,295

Sensient

Technologies

Corporation

143,366

4,632

Sherwin-Williams

Company

2,128,497

13,792

St

Barbara,

Ltd.

18,210

174,115

Steel

Dynamics,

Inc.

3,924,552

121,900

Sumitomo

Chemical

Company,

Ltd.

360,148

2,600

Taiyo

Holdings

Company,

Ltd.

97,255

12,700

Toagosei

Company,

Ltd.

109,944

141,600

Toray

Industries,

Inc.

612,920

9,700

Ube

Industries,

Ltd.

147,971

17,400

UFP

Technologies,

Inc.

h

662,766

18,136

United

States

Lime

&

Minerals,

Inc.

1,339,344

49,690

United

States

Steel

Corporation

g

313,544

20,804

UPM-Kymmene

Oyj

g

567,262

73,858

Verso

Corporation

h

833,118

6,600

W.

R.

Grace

&

Company

234,960

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

175

Shares

Common

Stock

(25.5%)

Value

Materials

(0.8%)

-

continued

4,992

Worthington

Industries,

Inc.

$

131,040

Total

72,655,101

Real

Estate

(1.3%)

139,816

Agree

Realty

Corporation

8,654,610

16,951

Alexandria

Real

Estate

Equities,

Inc.

2,323,304

8,843

Allied

Properties

REIT

281,131

9,285

Alstria

Office

REIT

AG

133,249

79,372

American

Campus

Communities,

Inc.

2,202,573

51,143

American

Tower

Corporation

11,136,388

53,350

Apartment

Investment

&

Management

Company

1,875,253

5,686

Ares

Commercial

Real

Estate

Corporation

39,745

36,293

Armada

Hoffler

Properties,

Inc.

388,335

172,064

Ascendas

REIT

340,689

22,300

Ascott

Trust

12,297

101,962

Ashford

Hospitality

Trust,

Inc.

75,370

5,028

AvalonBay

Communities,

Inc.

739,971

7,282

BBX

Capital

Corporation

16,821

758

Bluerock

Residential

Growth

REIT,

Inc.

4,222

55,699

Camden

Property

Trust

4,413,589

13,749

Castellum

AB

231,814

131,036

CBL

&

Associates

Properties,

Inc.

h

26,220

117,661

Cedar

Realty

Trust,

Inc.

109,789

6,670

Choice

Properties

REIT

61,235

22,182

City

Office

REIT,

Inc.

160,376

320

Cofinimmo

SA

41,559

23,207

Colony

Credit

Real

Estate,

Inc.

91,436

15,884

Columbia

Property

Trust,

Inc.

198,550

18,533

Corepoint

Lodging,

Inc.

72,649

20,048

CoreSite

Realty

Corporation

2,323,563

10,953

CoStar

Group,

Inc.

h

6,431,711

52,705

Cousins

Properties,

Inc.

1,542,675

7,900

Daito

Trust

Construction

Company,

Ltd.

733,622

61,577

DiamondRock

Hospitality

Company

312,811

13,538

Digital

Realty

Trust,

Inc.

1,880,564

50,433

Diversified

Healthcare

Trust

183,072

37,964

Douglas

Emmett,

Inc.

1,158,282

61,684

Duke

Realty

Corporation

1,997,328

10,889

EastGroup

Properties,

Inc.

1,137,683

3,391

Entra

ASA

i

40,505

13,869

EPR

Properties

335,907

4,102

Equity

Lifestyle

Properties,

Inc.

235,783

91,724

Equity

Residential

5,660,288

165,510

Essential

Properties

Realty

Trust,

Inc.

2,161,561

9,325

Essex

Property

Trust,

Inc.

2,053,738

24,520

Farmland

Partners,

Inc.

148,836

109,847

First

Industrial

Realty

Trust,

Inc.

3,650,216

33,778

Four

Corners

Property

Trust,

Inc.

631,986

19,515

Franklin

Street

Properties

Corporation

111,821

37,610

Gaming

and

Leisure

Properties,

Inc.

1,042,173

7,482

Getty

Realty

Corporation

177,623

12,931

Granite

REIT

534,129

25,840

Healthcare

Realty

Trust,

Inc.

721,711

46,439

Healthcare

Trust

of

America,

Inc.

1,127,539

164,914

Host

Hotels

&

Resorts,

Inc.

1,820,651

12,610

Hudson

Pacific

Properties,

Inc.

319,790

27,000

Hysan

Development

Company,

Ltd.

87,194

23,376

Industrial

Logistics

Properties

Trust

410,015

10,364

Innovative

Industrial

Properties,

Inc.

786,939

10,502

Investors

Real

Estate

Trust

577,610

37,249

iSTAR

Financial,

Inc.

395,212

Shares

Common

Stock

(25.5%)

Value

Real

Estate

(1.3%)

-

continued

673

Japan

Hotel

REIT

Investment

Corporation

$

196,461

10,740

Jones

Lang

LaSalle,

Inc.

1,084,525

107,323

Kilroy

Realty

Corporation

6,836,475

40,758

Kite

Realty

Group

Trust

385,978

2,331

Kungsleden

AB

17,534

12,866

Lamar

Advertising

Company

659,768

33,620

Lexington

Realty

Trust

333,847

31,881

Macerich

Company

179,490

44,200

Mapletree

Commercial

Trust

56,690

161,345

Medical

Properties

Trust,

Inc.

2,789,655

4,993

National

Health

Investors,

Inc.

247,253

66,571

National

Retail

Properties,

Inc.

2,142,921

252,556

National

Storage

Affiliates

Trust

7,475,658

22,417

New

Residential

Investment

Corporation

112,309

15,892

One

Liberty

Properties,

Inc.

221,376

25,020

Pebblebrook

Hotel

Trust

272,468

20,036

Physicians

Realty

Trust

279,302

6,218

Plymouth

Industrial

REIT,

Inc.

69,393

15,101

PotlatchDeltic

Corporation

474,020

38,381

Preferred

Apartment

Communities,

Inc.

275,576

7,391

PS

Business

Parks,

Inc.

1,001,628

8,907

PSP

Swiss

Property

AG

1,113,813

12,674

QTS

Realty

Trust,

Inc.

735,219

17,661

Quebecor,

Inc.

390,417

73,812

Retail

Properties

of

America,

Inc.

381,608

32,668

Rexford

Industrial

Realty,

Inc.

1,339,715

4,865

RioCan

REIT

55,761

3,178

RMR

Group,

Inc.

85,711

29,000

Road

King

Infrastructure,

Ltd.

43,553

28,229

RPT

Realty

170,221

79,246

Sabra

Health

Care

REIT,

Inc.

865,366

19,037

SBA

Communications

Corporation

5,139,419

131,505

Service

Properties

Trust

710,127

27,210

Spirit

Realty

Capital,

Inc.

711,542

10,599

STAG

Industrial,

Inc.

238,689

54,278

Store

Capital

Corporation

983,517

16,297

Summit

Hotel

Properties,

Inc.

68,773

127,072

Sunstone

Hotel

Investors,

Inc.

1,106,797

3,487

Swiss

Prime

Site

AG

339,391

28,665

TAG

Immobilien

AG

563,741

17,974

Taubman

Centers,

Inc.

752,751

13,193

Terreno

Realty

Corporation

682,738

53,656

UDR,

Inc.

1,960,590

20,065

UMH

Properties,

Inc.

217,906

95,664

Uniti

Group,

Inc.

576,854

877

Universal

Health

Realty

Income

Trust

88,410

9,649

Urstadt

Biddle

Properties,

Inc.

136,051

24,323

Washington

Prime

Group,

Inc.

19,582

77,400

Wing

Tai

Holdings,

Ltd.

84,348

Total

119,038,650

Utilities

(0.4%)

6,524

AGL

Energy,

Ltd.

68,276

5,169

ALLETE,

Inc.

313,655

42,507

Alliant

Energy

Corporation

2,052,663

4,242

American

States

Water

Company

346,741

25,292

Artesian

Resources

Corporation

945,415

18,694

Avista

Corporation

794,308

16,305

Black

Hills

Corporation

1,044,009

6,374

California

Water

Service

Group

320,740

4,706

Chesapeake

Utilities

Corporation

403,351

35,814

CMS

Energy

Corporation

2,104,073

21,383

Consolidated

Water

Company,

Ltd.

350,681

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

176

Shares

Common

Stock

(25.5%)

Value

Utilities

(0.4%)

-

continued

11,294

DTE

Energy

Company

$

1,072,591

18,310

Enagas

SA

361,205

100,247

Enel

SPA

691,489

31,347

Entergy

Corporation

2,945,678

4,662

Essential

Utilities,

Inc

189,743

133,660

Exelon

Corporation

4,920,025

30,762

FirstEnergy

Corporation

1,232,633

16,248

IDACORP,

Inc.

1,426,412

4,911

MGE

Energy,

Inc.

321,523

3,584

Middlesex

Water

Company

215,470

4,734

National

Fuel

Gas

Company

176,531

24,716

New

Jersey

Resources

Corporation

839,603

2,530

NextEra

Energy,

Inc.

608,769

4,738

Northland

Power,

Inc.

94,571

8,193

Northwest

Natural

Holding

Company

505,918

14,281

NorthWestern

Corporation

854,432

19,321

OGE

Energy

Corporation

593,734

10,335

Otter

Tail

Corporation

459,494

66,467

PNM

Resources,

Inc.

2,525,746

17,457

Portland

General

Electric

Company

836,889

17,276

PPL

Corporation

426,372

14,401

Public

Service

Enterprise

Group,

Inc.

646,749

2,624

SJW

Group

151,588

19,411

South

Jersey

Industries,

Inc.

485,275

10,379

Southwest

Gas

Holdings,

Inc.

721,963

15,447

Spire,

Inc.

1,150,493

16,846

UGI

Corporation

449,283

10,826

Unitil

Corporation

566,416

1,343

Verbund

AG

48,437

Total

34,262,944

Total

Common

Stock

(cost

$2,159,748,151)

2,276,339,907

Shares

Collateral

Held

for

Securities

Loaned

(

0.8%

)

Value

68,815,135

Thrivent

Cash

Management

Trust

68,815,135

Total

Collateral

Held

for

Securities

Loaned

(cost

$68,815,135)

68,815,135

Shares

or

Principal

Amount

Short-Term

Investments

(

9.2%

)

Value

Federal

Home

Loan

Bank

Discount

Notes

9,700,000

1.550%,

4/7/2020

q,r

9,699,887

30,800,000

1.531%,

4/8/2020

q,r

30,799,581

8,900,000

1.560%,

4/9/2020

q,r

8,899,861

100,000

1.560%,

4/13/2020

q,r

99,998

500,000

1.560%,

4/23/2020

q,r

499,979

1,100,000

1.285%,

5/5/2020

q,r

1,099,927

1,300,000

0.900%,

5/7/2020

q,r

1,299,909

900,000

0.720%,

5/8/2020

q,r

899,935

10,000,000

0.827%,

5/12/2020

q,r

9,999,203

30,300,000

0.500%,

5/13/2020

q,r

30,297,525

7,200,000

0.485%,

5/19/2020

q,r

7,199,328

12,400,000

0.150%,

5/20/2020

q,r

12,398,818

500,000

0.000%,

5/28/2020

r

499,945

5,900,000

0.150%,

6/4/2020

q,r

5,899,266

3,100,000

0.500%,

6/9/2020

q,r

3,099,584

4,300,000

0.530%,

6/12/2020

q,r

4,299,398

700,000

0.170%,

6/16/2020

q,r

699,897

14,300,000

0.150%,

6/23/2020

q,r

14,297,692

1,300,000

0.028%,

6/29/2020

q,r

1,299,775

3,800,000

0.006%,

7/7/2020

q,r

3,799,078

Shares

or

Principal

Amount

Short-Term

Investments

(9.2%)

Value

Thrivent

Core

Short-Term

Reserve

Fund

67,579,221

1.570%

$

674,440,631

U.S.

Treasury

Bills

1,300,000

0.100%,

6/11/2020

q

1,299,704

900,000

0.023%,

9/24/2020

m,n,q

899,449

Total

Short-Term

Investments

(cost

$824,772,950)

823,728,370

Total

Investments

(cost

$9,542,136,528)

107.3%

$9,581,652,983

Other

Assets

and

Liabilities,

Net

(7.3%)

(650,434,948)

Total

Net

Assets

100.0%

$8,931,218,035

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

177

a

The

stated

interest

rate

represents

the

weighted

average

of

all

contracts

within

the

bank

loan

facility.

b

Denotes

variable

rate

securities.

The

rate

shown

is

as

of

March

31,

2020.

The

rates

of

certain

variable

rate

securities

are

based

on

a

published

reference

rate

and

spread;

these

may

vary

by

security

and

the

reference

rate

and

spread

are

indicated

in

their

description.  The

rates

of

other

variable

rate

securities

are

determined

by

the

issuer

or

agent

and

are

based

on

current

market

conditions.  These

securities

do

not

indicate

a

reference

rate

and

spread

in

their

description.  

c

Security

is

valued

using

significant

unobservable

inputs.

Further

information

on

valuation

can

be

found

in

the

Notes

to

Financial

Statements.

d

All

or

a

portion

of

the

loan

is

unfunded.

e

Denotes

investments

purchased

on

a

when-issued

or

delayed

delivery

basis.

f

In

bankruptcy.  Interest

is

being

accrued

per

the

bankruptcy

agreement

terms.  

g

All

or

a

portion

of

the

security

is

on

loan.

h

Non-income

producing

security.

i

Denotes

securities

sold

under

Rule

144A

of

the

Securities

Act

of

1933,

which

exempts

them

from

registration.

These

securities

may

be

resold

to

other

dealers

in

the

program

or

to

other

qualified

institutional

buyers.

As

of

March

31,

2020,

the

value

of

these

investments

was

$319,934,824

or

3.6%

of

total

net

assets.

j

Denotes

step

coupon

securities.

Step

coupon

securities

pay

an

initial

coupon

rate

for

the

first

period

and

then

different

coupon

rates

for

following

periods.

The

rate

shown

is

as

of

March

31,

2020.

k

Denotes

interest

only

security.  Interest

only

securities

represent

the

right

to

receive

monthly

interest

payments

on

an

underlying

pool

of

mortgages

or

assets.  The

principal

shown

is

the

outstanding

par

amount

of

the

pool

as

of

the

end

of

the

period.

The

actual

effective

yield

of

the

security

is

different

than

the

stated

coupon

rate.

l

Denotes

perpetual

securities.

Perpetual

securities

pay

an

indefinite

stream

of

income

and

have

no

contractual

maturity

date.

Date

shown,

if

applicable,

is

next

call

date.

m

All

or

a

portion

of

the

security

was

earmarked

to

cover

written

options.

n

All

or

a

portion

of

the

security

is

pledged

as

collateral

under

the

agreement

between

the

counterparty,

the

custodian

and

the

fund

for

open

swap

contracts.

o

Defaulted

security.  Interest

is

not

being

accrued.

p

In

bankruptcy.  Interest

is

not

being

accrued.

q

The

interest

rate

shown

reflects

the

yield,

coupon

rate

or

the

discount

rate

at

the

date

of

purchase.

r

All

or

a

portion

of

the

security

is

held

on

deposit

with

the

counterparty

and

pledged

as

the

initial

margin

deposit

for

open

futures

contracts.

The

following

table

presents

the

total

amount

of

securities

loaned

with

continuous

maturity,

by

type,

offset

by

the

gross

payable

upon

return

of

collateral

for

securities

loaned

by

Thrivent

Moderate

Allocation

Portfolio

as

of

March

31,

2020:

Securities

Lending

Transactions

Long-Term

Fixed

Income

$

1,584,772

Common

Stock

65,468,597

Total

lending

$67,053,369

Gross

amount

payable

upon

return

of              

collateral

for

securities

loaned

$68,815,135

Net

amounts

due

to

counterparty

$1,761,766

Definitions:

ACES

-

Alternative

Credit

Enhancement

Securities

ADR

-

American

Depositary

Receipt,

which

are

certificates

for

an

underlying

foreign

security's

shares

held

by

an

issuing

U.S.

depository

bank.

CLO

-

Collateralized

Loan

Obligation

ETF

-

Exchange

Traded

Fund

GDR

-

Global

Depository

Receipts,

which

are

certificates

for

shares

of

an

underlying

foreign

security’s

shares

held

by

an

issuing

depository

bank

from

more

than

one

country.

REMIC

-

Real

Estate

Mortgage

Investment

Conduit

REIT

-

Real

Estate

Investment

Trust

is

a

company

that

buys,

develops,

manages

and/or

sells

real

estate

assets.

Ser.

-

Series

SPDR

-

S&P

Depository

Receipts,

which

are

exchange-traded

funds

traded

in

the

U.S.,

Europe,

and

Asia-Pacific

and

managed

by

State

Street

Global

Advisors.

Reference

Rate

Index:

CMT

3M

-

Constant

Maturity

Treasury

Yield

3

Month

LIBOR

1W

-

ICE

Libor

USD

Rate

1

Week

LIBOR

1M

-

ICE

Libor

USD

Rate

1

Month

LIBOR

2M

-

ICE

Libor

USD

Rate

2

Month

LIBOR

3M

-

ICE

Libor

USD

Rate

3

Month

PRIME

-

Federal

Reserve

Prime

Loan

Rate

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

178

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Moderate

Allocation

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Bank

Loans

Basic

Materials

7,808,444

–

4,390,871

3,417,573

Capital

Goods

8,940,116

–

4,659,427

4,280,689

Communications

Services

24,818,005

–

17,972,438

6,845,567

Consumer

Cyclical

22,701,227

–

20,445,749

2,255,478

Consumer

Non-Cyclical

25,949,181

–

25,313,591

635,590

Energy

7,943,275

–

7,320,861

622,414

Financials

12,898,787

–

12,898,787

–

Technology

12,772,865

–

9,378,680

3,394,185

Transportation

2,702,696

–

1,582,196

1,120,500

Utilities

1,972,387

–

1,093,639

878,748

Long-Term

Fixed

Income

Asset-Backed

Securities

106,188,785

–

106,188,785

–

Basic

Materials

22,584,522

–

22,584,522

–

Capital

Goods

42,110,425

–

42,110,425

–

Collateralized

Mortgage

Obligations

73,782,540

–

73,782,540

–

Commercial

Mortgage-Backed

Securities

33,990,185

–

33,990,185

–

Communications

Services

87,037,351

–

87,037,351

–

Consumer

Cyclical

68,186,575

–

68,186,575

–

Consumer

Non-Cyclical

116,112,394

–

116,112,394

–

Energy

61,768,323

–

61,768,323

–

Financials

208,229,493

–

208,229,493

–

Mortgage-Backed

Securities

956,261,893

–

956,261,893

–

Technology

63,717,787

–

63,717,787

–

Transportation

14,900,255

–

14,900,255

–

U.S.

Government

&

Agencies

1,005,357,428

–

1,005,357,428

–

Utilities

69,149,292

–

69,149,292

–

Registered

Investment

Companies

Unaffiliated

50,993,734

50,993,734

–

–

Affiliated

2,663,607,710

2,663,607,710

–

–

Common

Stock

Communications

Services

152,468,942

149,444,441

3,024,501

–

Consumer

Discretionary

273,104,909

268,074,435

5,030,474

–

Consumer

Staples

72,444,753

67,655,172

4,789,581

–

Energy

38,841,282

36,039,791

2,801,491

–

Financials

288,546,059

272,301,959

16,244,100

–

Health

Care

348,223,995

336,363,157

11,860,838

–

Industrials

271,237,750

257,388,438

13,849,312

–

Information

Technology

605,515,522

597,317,437

8,198,085

–

Materials

72,655,101

66,985,818

5,669,274

9

Real

Estate

119,038,650

113,679,517

5,359,133

–

Utilities

34,262,944

32,998,966

1,263,978

–

Short-Term

Investments

149,287,739

–

149,287,739

–

Subtotal

Investments

in

Securities

$8,198,113,321

$4,912,850,575

$3,261,811,993

$23,450,753

Other

Investments  *

Total

Affiliated

Short-Term

Investments

674,440,631

Affiliated

Registered

Investment

Companies

640,283,896

Collateral

Held

for

Securities

Loaned

68,815,135

Subtotal

Other

Investments

$1,383,539,662

Total

Investments

at

Value

$9,581,652,983

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

179

Reference

Description:

CBOT

-

Chicago

Board

of

Trade

CME

-

Chicago

Mercantile

Exchange

EAFE

-

Europe,

Australasia

and

Far

East

ICE

-

Intercontinental

Exchange

MSCI

-

Morgan

Stanley

Capital

International

S&P

-

Standard

&

Poor's

Other

Financial

Instruments

Total

Level

1

Level

2

Level

3

Asset

Derivatives

Futures

Contracts

43,840,369

43,840,369

–

–

Total

Asset

Derivatives

$43,840,369

$43,840,369

$–

$–

Liability

Derivatives

Futures

Contracts

32,364,192

32,364,192

–

–

Credit

Default

Swaps

1,004,074

–

1,004,074

–

Total

Liability

Derivatives

$33,368,266

$32,364,192

$1,004,074

$–

The

following

table

presents

Moderate

Allocation

Portfolio's

futures

contracts

held

as

of

March

31,

2020.

Investments

and/or

cash

totaling

$146,788,611

were

pledged

as

the

initial

margin

deposit

for

these

contracts.

Futures

Contracts

Description

Number

of

Contracts

Long/(Short)

Expiration

Date

Notional

Principal

Amount

Value

and

Unrealized

CBOT

2-Yr.

U.S.

Treasury

Note

644

June

2020

$

139,392,757

$

2,533,773

CBOT

5-Yr.

U.S.

Treasury

Note

712

June

2020

87,183,285

2,072,593

CBOT

U.S.

Long

Bond

483

June

2020

79,292,820

7,194,367

CME

E-mini

S&P

500

Index

4,317

June

2020

565,828,289

(

11,158,544)

CME

Euro

Foreign

Exchange

Currency

760

June

2020

107,514,848

(

2,544,598)

CME

Ultra

Long

Term

U.S.

Treasury

Bond

222

June

2020

44,007,033

5,249,217

Eurex

Euro

STOXX

50

Index

3,561

June

2020

96,995,217

9,359,564

ICE

mini

MSCI

EAFE

Index

2,724

June

2020

201,995,168

10,381,492

ICE

US

mini

MSCI

Emerging

Markets

Index

4,754

June

2020

203,029,507

(

2,672,177)

Total

Futures

Long

Contracts

$

1,525,238,924

$

20,415,687

CBOT

10-Yr.

U.S.

Treasury

Note

(96)

June

2020

(

$

12,767,691)

(

$

546,309)

CME

E-mini

Russell

2000

Index

(7,471)

June

2020

(

414,459,177)

(

14,226,803)

CME

E-mini

S&P

Mid-Cap

400

Index

(2,365)

June

2020

(

347,089,063)

7,049,363

Ultra

10-Yr.

U.S.

Treasury

Note

(149)

June

2020

(

22,032,895)

(

1,215,761)

Total

Futures

Short

Contracts

(

$

796,348,826)

($8,939,510)

Total

Futures

Contracts

$

728,890,098

$11,476,177

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

180

The

following

table

presents

Moderate

Allocation

Portfolio's

swaps

contracts

held

as

of

March

31,

2020.

Investments

totaling

$3,513,058

were

pledged

as

collateral

under

the

agreement

between

the

counterparty,

the

custodian

and

the

fund

for

open

swap

contracts.

Credit

Default

Swaps

Buy/Sell

Protection

1

Termination

Date

Notional

Principal

Amount

2

Upfront

Payments/

(Receipts)

Value

3

Unrealized

Gain/

(Loss)

CDX

HY

34,

5

Year,

at

5.00%,

Quarterly

Sell

6/20/2025

(

$

34,300,000)

$

–

(

$

1,004,074)

(

$

1,004,074)

Total

Credit

Default

Swaps

$–

($1,004,074)

($1,004,074)

1

As

the

buyer

of

protection,

Moderate

Allocation

Portfolio

pays

periodic

fees

in

return

for

payment

by

the

seller

which

is

contingent

upon

an

adverse

credit

event

occurring

in

the

underlying

issuer

or

reference

entity.

As

the

seller

of

protection,

Moderate

Allocation

Portfolio

collects

periodic

fees

from

the

buyer

and

profits

if

the

credit

of

the

underlying

issuer

or

reference

entity

remains

stable

or

improves

while

the

swap

is

outstanding,

but

the

seller

in

a

credit

default

swap

contract

would

be

required

to

pay

the

amount

of

credit

loss,

determined

as

specified

in

the

agreement,

to

the

buyer

in

the

event

of

an

adverse

credit

event

in

the

reference

entity.

2

The

maximum

potential

amount

of

future

payments

Moderate

Allocation

Portfolio

could

be

required

to

make

as

the

seller

or

receive

as

the

buyer

of

protection.

3

The

values

for

credit

indexes

(CDX

or

LCDX)

serve

as

an

indicator

of

the

current

status

of

the

payment/performance

risk

and

represent

the

liability

or

profit

for

the

credit

default

swap

contract

had

the

contract

been

closed

as

of

the

reporting

date.

When

protection

has

been

sold,

the

value

of

the

swap

will

increase

when

the

swap

spread

declines

representing

an

improvement

in

the

reference

entity's

credit

worthiness.

The

value

of

the

swap

will

decrease

when

the

swap

spread

increases

representing

a

deterioration

in

the

reference

entity's

credit

worthiness.

When

protection

has

been

purchased,

the

value

of

the

swap

will

increase

when

the

swap

spread

increases

representing

a

deterioration

in

the

reference

entity's

credit

worthiness.

The

value

of

the

swap

will

decrease

when

the

swap

spread

declines

representing

an

improvement

in

the

reference

entity's

credit

worthiness.

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Cash

Management

Trust

for

the

purpose

of

securities

lending

and

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Cash

Management

Trust

and

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Moderate

Allocation

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Registered

Investment

Companies

Core

Emerging

Markets

Debt

$211,495

$13,380

$–

$201,333

22,775

2.3%

Core

Emerging

Markets

Equity

–

17,000

–

14,266

1,824

0.2

Core

International

Equity

105,008

–

–

80,022

10,770

0.9

Core

Low

Volatility

Equity

332,941

84,000

–

344,663

34,885

3.9

Global

Stock

378,859

–

–

293,508

27,108

3.3

High

Yield

197,930

2,621

–

170,598

41,914

1.9

Income

609,212

4,607

–

591,414

57,911

6.6

International

Allocation

574,102

–

–

428,170

55,936

4.8

Large

Cap

Value

681,756

–

–

491,439

35,530

5.5

Limited

Maturity

Bond

335,345

2,037

–

326,261

34,005

3.6

Mid

Cap

Stock

398,223

–

–

285,589

20,466

3.2

Small

Cap

Stock

109,621

–

–

76,629

5,622

0.8

Total

Affiliated

Registered

Investment

Companies

3,934,492

3,303,892

37.0

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

839,897

356,272

520,354

674,441

67,579

7.5

Total

Affiliated

Short-Term

Investments

839,897

674,441

7.5

Collateral

held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

31,479

112,738

75,402

68,815

68,815

0.8

Total

Collateral

Held

for

Securities

Loaned

31,479

68,815

0.8

Total

Value

$4,805,868

$4,047,148

Moderate

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

181

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Registered

Investment

Companies

Core

Emerging

Markets

Debt

$–

$(23,542)

–

$2,380

Core

Emerging

Markets

Equity

–

(2,734)

–

–

Core

International

Equity

–

(24,986)

–

–

Core

Low

Volatility

Equity

–

(72,278)

–

–

Global

Stock

–

(85,351)

–

–

High

Yield

–

(29,953)

–

2,619

Income

–

(22,405)

–

4,622

International

Allocation

–

(145,932)

–

–

Large

Cap

Value

–

(190,317)

–

–

Limited

Maturity

Bond

–

(11,121)

–

2,038

Mid

Cap

Stock

–

(112,634)

–

–

Small

Cap

Stock

–

(32,992)

–

–

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

(274)

(1,100)

–

3,643

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$15,302

Collateral

Held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

–

–

–

85

Total

Affiliated

Income

from

Securities

Loaned,

Net

$85

Total

Value

$(274)

$(755,345

)

$–

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

182

Principal

Amount

Bank

Loans

(

0.9%

)

a

Value

Basic

Materials

(0.1%)

Arch

Coal,

Inc.,

Term

Loan

$

499,697

3.750%, 

(LIBOR

1M

+

2.750%),

3/7/2024

b

$

377,271

Ball

Metalpack

Finco,

LLC,

Term

Loan

221,063

6.113%, 

(LIBOR

3M

+

4.500%),

7/31/2025

b

165,797

Big

River

Steel,

LLC,

Term

Loan

433,875

6.450%, 

(LIBOR

3M

+

5.000%),

8/23/2023

b,c

412,181

Chemours

Company,

Term

Loan

499,800

2.740%, 

(LIBOR

1M

+

1.750%),

4/3/2025

b,c

454,818

Momentive

Performance

Materials

USA,

LLC,

Term

Loan

335,465

4.240%, 

(LIBOR

1M

+

3.250%),

5/15/2024

b

269,597

MRC

Global

(US),

Inc.,

Term

Loan

431,169

3.989%, 

(LIBOR

1M

+

3.000%),

9/22/2024

b,c

340,624

Nouryon

USA,

LLC,

Term

Loan

518,656

3.863%, 

(LIBOR

1M

+

3.000%),

10/1/2025

b

461,604

Peabody

Energy

Corporation,

Term

Loan

352,800

3.739%, 

(LIBOR

1M

+

2.750%),

3/31/2025

b

176,400

Pixelle

Specialty

Solutions,

LLC,

Term

Loan

610,173

7.500%, 

(LIBOR

1M

+

6.500%),

10/31/2024

b

529,020

Total

3,187,312

Capital

Goods

(0.1%)

Advanced

Disposal

Services,

Inc.,

Term

Loan

437,207

2.894%, 

(LIBOR

1W

+

2.250%),

11/10/2023

b

431,011

BWAY

Holding

Company,

Term

Loan

472,570

5.084%, 

(LIBOR

3M

+

3.250%),

4/3/2024

b

383,080

Flex

Acquisition

Company,

Inc.

Term

Loan

659,878

5.159%, 

(LIBOR

3M

+

3.250%),

6/29/2025

b,c

597,189

GFL

Environmental,

Inc.,

Term

Loan

511,369

3.990%, 

(LIBOR

1M

+

3.000%),

5/31/2025

b

493,471

Navistar,

Inc.,

Term

Loan

107,800

4.280%, 

(LIBOR

1M

+

3.500%),

11/6/2024

b

92,708

Reynolds

Group

Holdings,

Inc.,

Term

Loan

89,767

0.000%, 

(LIBOR

1M

+

2.750%),

2/5/2023

b,c,d,e

84,606

TransDigm,

Inc.,

Term

Loan

518,700

3.239%, 

(LIBOR

1M

+

2.250%),

12/9/2025

b

470,720

Vertiv

Group

Corporation,

Term

Loan

1,030,000

4.581%, 

(LIBOR

1M

+

3.000%),

3/2/2027

b,c

885,800

Total

3,438,585

Principal

Amount

Bank

Loans

(0.9%)

a

Value

Communications

Services

(0.2%)

Altice

France

SA,

Term

Loan

$

301,475

3.739%, 

(LIBOR

1M

+

2.750%),

7/31/2025

b

$

276,603

CenturyLink,

Inc.,

Term

Loan

718,200

3.239%, 

(LIBOR

1M

+

2.250%),

3/15/2027

b

666,583

Coral-US

Co-Borrower,

LLC,

Term

Loan

1,270,000

3.239%, 

(LIBOR

1M

+

2.250%),

1/31/2028

b

1,182,688

CSC

Holdings,

LLC,

Term

Loan

87,525

2.862%, 

(LIBOR

1M

+

2.250%),

7/17/2025

b

83,295

Diamond

Sports

Group,

LLC,

Term

Loan

467,650

4.180%, 

(LIBOR

1M

+

3.250%),

8/24/2026

b,c

360,091

Entercom

Media

Corporation,

Term

Loan

398,574

3.489%, 

(LIBOR

1M

+

2.500%),

11/17/2024

b,c

358,716

Frontier

Communications

Corporation,

Term

Loan

1,038,119

5.350%, 

(LIBOR

3M

+

3.750%),

6/15/2024

b

982,154

HCP

Acquisition,

LLC,

Term

Loan

684,605

4.000%, 

(LIBOR

1M

+

3.000%),

5/16/2024

b

591,040

Intelsat

Jackson

Holdings

SA,

Term

Loan

685,000

5.682%, 

(LIBOR

3M

+

3.750%),

11/27/2023

b

624,206

Mediacom

Illinois,

LLC,

Term

Loan

179,250

2.370%, 

(LIBOR

1W

+

1.750%),

2/15/2024

b,c

172,080

NEP

Group,

Inc.,

Term

Loan

711,000

4.700%, 

(LIBOR

3M

+

3.250%),

10/20/2025

b

434,599

70,000

8.450%, 

(LIBOR

3M

+

7.000%),

10/19/2026

b

33,250

SBA

Senior

Finance

II,

LLC,

Term

Loan

477,570

2.740%, 

(LIBOR

1M

+

1.750%),

4/11/2025

b

450,348

Sprint

Communications,

Inc.,

Term

Loan

975,236

3.500%, 

(LIBOR

1M

+

2.500%),

2/3/2024

b,c

967,922

Terrier

Media

Buyer,

Inc.,

Term

Loan

399,000

5.700%, 

(LIBOR

3M

+

4.250%),

12/17/2026

b,c

352,118

TNS,

Inc.,

Term

Loan

388,012

5.780%, 

(LIBOR

3M

+

4.000%),

8/14/2022

b

320,758

WideOpenWest

Finance,

LLC,

Term

Loan

509,925

4.250%, 

(LIBOR

1M

+

3.250%),

8/19/2023

b

467,856

Windstream

Services,

LLC,

Term

Loan

799,211

8.250%, 

(PRIME

+

5.000%),

3/30/2021

b,f

491,515

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

183

Principal

Amount

Bank

Loans

(0.9%)

a

Value

Communications

Services

(0.2%)

-

continued

Ziggo

Financing

Partnership,

Term

Loan

$

675,000

3.205%, 

(LIBOR

3M

+

2.500%),

4/30/2028

b,c,d,e

$

634,500

Total

9,450,322

Consumer

Cyclical

(0.1%)

Boyd

Gaming

Corporation,

Term

Loan

36,625

2.934%, 

(LIBOR

1W

+

2.250%),

9/15/2023

b

31,509

Cengage

Learning,

Inc.,

Term

Loan

612,990

5.250%, 

(LIBOR

1M

+

4.250%),

6/7/2023

b

493,966

Eldorado

Resorts,

Inc.,

Term

Loan

20,224

3.250%, 

(LIBOR

3M

+

2.250%),

4/17/2024

b

17,696

Four

Seasons

Hotels,

Ltd.,

Term

Loan

439,773

2.989%, 

(LIBOR

1M

+

2.000%),

11/30/2023

b

395,795

Golden

Entertainment,

Inc.,

Term

Loan

936,050

3.960%, 

(LIBOR

1M

+

3.000%),

10/20/2024

b,c

702,037

Golden

Nugget,

LLC,

Term

Loan

304,149

3.580%, 

(LIBOR

3M

+

2.500%),

10/4/2023

b

235,716

IAA,

Inc.,

Term

Loan

222,525

3.250%, 

(LIBOR

1M

+

2.250%),

6/28/2026

b,c

211,399

LCPR

Loan

Financing,

LLC,

Term

Loan

1,120,000

5.705%, 

(LIBOR

1M

+

5.000%),

10/25/2026

b

1,026,200

Mohegan

Gaming

and

Entertainment,

Term

Loan

735,297

5.375%, 

(LIBOR

1M

+

4.375%),

10/13/2023

b

518,384

Penn

National

Gaming,

Inc.,

Term

Loan

370,312

3.239%, 

(LIBOR

1M

+

2.250%),

10/15/2025

b

277,072

Scientific

Games

International,

Inc.,

Term

Loan

1,815,962

4.250%, 

(LIBOR

1M

+

2.750%),

8/14/2024

b

1,458,817

Staples,

Inc.,

Term

Loan

124,063

6.015%, 

(LIBOR

1M

+

4.500%),

9/12/2024

b,c

84,363

846,044

6.515%, 

(LIBOR

1M

+

5.000%),

4/12/2026

b

664,144

Stars

Group

Holdings

BV,

Term

Loan

907,376

4.950%, 

(LIBOR

3M

+

3.500%),

7/10/2025

b

862,760

Tenneco,

Inc.,

Term

Loan

686,313

3.989%, 

(LIBOR

1M

+

3.000%),

10/1/2025

b

470,124

Wyndham

Hotels

&

Resorts,

Inc.,

Term

Loan

305,350

2.739%, 

(LIBOR

1M

+

1.750%),

5/30/2025

b

266,800

Total

7,716,782

Principal

Amount

Bank

Loans

(0.9%)

a

Value

Consumer

Non-Cyclical

(0.2%)

Air

Medical

Group

Holdings,

Inc.,

Term

Loan

$

1,948,221

4.932%, 

(LIBOR

2M

+

3.250%),

4/28/2022

b

$

1,797,234

53,762

5.863%, 

(LIBOR

3M

+

4.250%),

3/14/2025

b

47,848

Bausch

Health

Companies,

Inc.,

Term

Loan

816,750

3.612%, 

(LIBOR

1M

+

3.000%),

6/1/2025

b

772,850

Chobani,

LLC,

Term

Loan

534,480

4.500%, 

(LIBOR

1M

+

3.500%),

10/10/2023

b

474,351

Endo

International

plc,

Term

Loan

304,770

5.250%, 

(LIBOR

1M

+

4.250%),

4/27/2024

b,d,e

272,007

Energizer

Holdings,

Inc.,

Term

Loan

217,883

3.875%, 

(LIBOR

1M

+

2.250%),

12/17/2025

b,c

202,631

JBS

USA

LUX

SA,

Term

Loan

805,930

3.072%, 

(LIBOR

3M

+

2.000%),

5/1/2026

b

750,087

Libbey

Glass,

Inc.,

Term

Loan

63,869

4.005%, 

(LIBOR

1M

+

3.000%),

4/9/2021

b

26,027

Mallinckrodt

International

Finance

SA,

Term

Loan

359,521

4.704%, 

(LIBOR

3M

+

3.000%),

2/24/2025

b

240,207

McGraw-Hill

Global

Education

Holdings,

LLC,

Term

Loan

447,889

5.450%, 

(LIBOR

3M

+

4.000%),

5/4/2022

b

364,281

MPH

Acquisition

Holdings,

LLC,

Term

Loan

1,440,000

4.200%, 

(LIBOR

3M

+

2.750%),

6/7/2023

b

1,268,395

Ortho-Clinical

Diagnostics

SA,

Term

Loan

1,331,374

4.765%, 

(LIBOR

1M

+

3.250%),

6/30/2025

b

1,126,676

Plantronics,

Inc.,

Term

Loan

1,250,251

3.470%, 

(LIBOR

3M

+

2.500%),

7/2/2025

b

967,069

Sotera

Health

Holdings,

LLC,

Term

Loan

430,000

5.500%, 

(LIBOR

1M

+

4.500%),

12/13/2026

b

372,354

Total

8,682,017

Energy

(<0.1%)

BCP

Raptor

II,

LLC,

Term

Loan

441,663

5.739%, 

(LIBOR

1M

+

4.750%),

11/3/2025

b

242,914

Buckeye

Partners,

LP,

Term

Loan

130,000

0.000%, 

(LIBOR

1M

+

2.750%),

11/1/2026

b,d,e

118,560

Calpine

Corporation,

Term

Loan

540,806

3.240%, 

(LIBOR

1M

+

2.250%),

1/15/2024

b

518,092

Consolidated

Energy

Finance

SA,

Term

Loan

397,912

3.205%, 

(LIBOR

1M

+

2.500%),

5/7/2025

b,c

278,539

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

184

Principal

Amount

Bank

Loans

(0.9%)

a

Value

Energy

(<0.1%)

-

continued

Fieldwood

Energy,

LLC,

Term

Loan

$

535,000

7.027%, 

(LIBOR

3M

+

5.250%),

4/11/2022

b

$

167,187

McDermott

Technology

(Americas),

Inc.,

Term

Loan

729,506

7.250%, 

(PRIME

+

4.000%),

5/10/2025

b,f

206,691

Radiate

Holdco,

LLC,

Term

Loan

1,661,470

3.989%, 

(LIBOR

1M

+

3.000%),

2/1/2024

b

1,523,020

Total

3,055,003

Financials

(0.1%)

Avolon

TLB

Borrower

1

US,

LLC,

Term

Loan

310,410

2.523%, 

(LIBOR

1M

+

1.750%),

1/15/2025

b

275,231

Blackstone

CQP

Holdco,

LP,

Term

Loan

714,600

4.616%, 

(LIBOR

3M

+

3.500%),

9/30/2024

b

555,959

Cyxtera

DC

Holdings,

Inc.,

Term

Loan

624,203

4.000%, 

(LIBOR

1M

+

3.000%),

5/1/2024

b

400,114

70,000

8.050%, 

(LIBOR

1M

+

7.250%),

5/1/2025

b

24,811

Digicel

International

Finance,

Ltd.,

Term

Loan

1,095,949

4.870%, 

(LIBOR

3M

+

3.250%),

5/27/2024

b

847,991

GGP

Nimbus,

LLC,

Term

Loan

788,000

3.489%, 

(LIBOR

1M

+

2.500%),

8/24/2025

b

551,600

Harland

Clarke

Holdings

Corporation,

Term

Loan

834,511

6.463%, 

(LIBOR

3M

+

4.750%),

11/3/2023

b

502,534

Level

3

Financing,

Inc.,

Term

Loan

680,000

2.739%, 

(LIBOR

1M

+

1.750%),

3/1/2027

b

632,400

MoneyGram

International,

Inc.,

Term

Loan

402,042

6.989%, 

(LIBOR

1M

+

6.000%),

6/30/2023

b

287,460

Northriver

Midstream

Finance,

LP,

Term

Loan

553,598

5.159%, 

(LIBOR

3M

+

3.250%),

10/1/2025

b

422,235

Tronox

Finance,

LLC,

Term

Loan

847,432

3.930%, 

(LIBOR

1M

+

2.750%),

9/22/2024

b

737,867

Total

5,238,202

Technology

(0.1%)

Prime

Security

Services

Borrower,

LLC,

Term

Loan

1,791,000

4.606%, 

(LIBOR

1M

+

3.250%),

9/23/2026

b

1,599,363

Rackspace

Hosting,

Inc.,

Term

Loan

1,314,223

4.763%, 

(LIBOR

3M

+

3.000%),

11/3/2023

b

1,136,803

SS&C

Technologies,

Inc.,

Term

Loan

235,247

2.739%, 

(LIBOR

1M

+

1.750%),

4/16/2025

b

219,368

Principal

Amount

Bank

Loans

(0.9%)

a

Value

Technology

(0.1%)

-

continued

$

167,865

2.739%, 

(LIBOR

1M

+

1.750%),

4/16/2025

b

$

156,534

216,666

2.739%, 

(LIBOR

1M

+

1.750%),

4/16/2025

b

202,177

Zayo

Group

Holdings,

Inc.,

Term

Loan

980,000

3.989%, 

(LIBOR

1M

+

3.000%),

3/9/2027

b,c,d,e

921,200

Total

4,235,445

Transportation

(<0.1%)

Genesee

&

Wyoming,

Inc.,

Term

Loan

610,000

3.450%, 

(LIBOR

3M

+

2.000%),

12/30/2026

b

581,409

United

Airlines,

Inc.,

Term

Loan

230,000

2.739%, 

(LIBOR

3M

+

1.750%),

4/1/2024

b,c,d,e

207,000

Total

788,409

Utilities

(<0.1%)

Core

and

Main,

LP,

Term

Loan

498,525

4.331%, 

(LIBOR

1M

+

2.750%),

8/1/2024

b

437,455

EnergySolutions,

LLC,

Term

Loan

319,312

5.200%, 

(LIBOR

3M

+

3.750%),

5/11/2025

b,c

274,609

Talen

Energy

Supply,

LLC,

Term

Loan

288,550

4.739%, 

(LIBOR

1M

+

3.750%),

7/8/2026

b

249,596

Total

961,660

Total

Bank

Loans

(cost

$55,481,651)

46,753,737

Shares

Registered

Investment

Companies

(

43.7%

)

Value

Unaffiliated  (0.7%)

26,683

Health

Care

Select

Sector

SPDR

Fund

2,363,580

20,000

Invesco

Senior

Loan

ETF

409,200

27,064

iShares

Russell

2000

Value

Index

Fund

2,220,060

17,333

ProShares

Ultra

S&P

500

g

1,541,077

41,039

SPDR

Bloomberg

Barclays

High

Yield

Bond

ETF

3,888,035

94,773

SPDR

S&P

500

ETF

Trust

g

24,427,741

25,543

SPDR

S&P

Biotech

ETF

g

1,978,050

20,000

Vanguard

Short-Term

Corporate

Bond

ETF

1,582,000

Total

38,409,743

Affiliated  (43.0%)

8,160,711

Thrivent

Core

Emerging

Markets

Debt

Fund

72,140,685

1,499,423

Thrivent

Core

Emerging

Markets

Equity

Fund

h

11,725,485

22,617,120

Thrivent

Core

International

Equity

Fund

168,045,203

28,116,060

Thrivent

Core

Low

Volatility

Equity

Fund

277,786,674

29,253,896

Thrivent

Global

Stock

Portfolio

316,746,558

13,049,471

Thrivent

High

Yield

Portfolio

53,113,955

17,179,971

Thrivent

Income

Portfolio

175,448,736

55,987,573

Thrivent

International

Allocation

Portfolio

428,562,479

25,537,074

Thrivent

Large

Cap

Value

Portfolio

353,218,590

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

185

Shares

Registered

Investment

Companies

(43.7%)

Value

Affiliated  (43.0%)-

continued

10,249,134

Thrivent

Limited

Maturity

Bond

Portfolio

$

98,334,293

24,776,142

Thrivent

Mid

Cap

Stock

Portfolio

345,726,283

5,774,013

Thrivent

Small

Cap

Stock

Portfolio

78,694,028

Total

2,379,542,969

Total

Registered

Investment

Companies

(cost

$2,636,297,130)

2,417,952,712

Shares

Common

Stock

(

29.7%

)

Value

Communications

Services

(1.8%)

129,574

Activision

Blizzard,

Inc.

h

7,707,062

31,465

Alphabet,

Inc.,

Class

A

h

36,560,757

2,790

Alphabet,

Inc.,

Class

C

h

3,244,240

126,771

AMC

Entertainment

Holdings,

Inc.

g

400,596

6,678

AMC

Networks,

Inc.

h

162,342

26,964

AT&T,

Inc.

786,001

39,770

Auto

Trader

Group

plc

i

214,908

4,487

Boingo

Wireless,

Inc.

h

47,607

2,653

Carsales.com,

Ltd.

19,063

29,342

CenturyLink,

Inc.

277,575

17,447

Cinemark

Holdings,

Inc.

177,785

47,785

Comcast

Corporation

1,642,848

17,609

Consolidated

Communications

Holdings,

Inc.

80,121

2,410

Discovery,

Inc.,

Class

A

g,h

46,850

23,452

DISH

Network

Corporation

h

468,805

18,750

EchoStar

Corporation

h

599,438

96,147

Facebook,

Inc.

h

16,037,320

83,571

Gannett

Company,

Inc.

g

123,685

6,302

Hemisphere

Media

Group,

Inc.

h

53,819

21,000

HKT

Trust

and

HKT,

Ltd.

28,561

38,319

Interpublic

Group

of

Companies,

Inc.

620,385

742

Ipsos

SA

15,396

36,958

Lions

Gate

Entertainment

Corporation,

Class

A

h

224,705

30,405

Lions

Gate

Entertainment

Corporation,

Class

B

h

169,660

148,136

Live

Nation

Entertainment,

Inc.

g,h

6,734,263

20,342

Mediaset

Espana

Comunicacion

SA

74,277

43,476

Meredith

Corporation

g

531,277

7,793

News

Corporation,

Class

B

70,059

2,423

Orange

SA

29,336

185,092

ORBCOMM,

Inc.

h

451,624

180,195

QuinStreet,

Inc.

h

1,450,570

1,885

Rightmove

plc

11,368

14,276

RingCentral,

Inc.

h

3,025,227

1,041

Roku,

Inc.

h

91,067

8,722

Scholastic

Corporation

222,324

18,782

Seven

West

Media,

Ltd.

h

913

5,326

Sinclair

Broadcast

Group,

Inc.

85,642

6,900

SoftBank

Corporation

87,897

1,000

SoftBank

Group

Corporation

35,402

30,483

Take-Two

Interactive

Software,

Inc.

h

3,615,589

58,238

Tegna,

Inc.

632,465

131,111

Telecom

Italia

SPA

53,070

12,589

Telefonica

SA

57,294

4,777

Telephone

&

Data

Systems,

Inc.

80,063

7,300

TV

Asahi

Holdings

Corporation

110,638

23,365

Twitter,

Inc.

h

573,844

140,222

Uber

Technologies,

Inc.

h

3,914,998

45,322

Verizon

Communications,

Inc.

2,435,151

12,028

ViacomCBS,

Inc.

168,512

8,926

Vodafone

Group

plc

12,349

20,774

Walt

Disney

Company

2,006,768

Shares

Common

Stock

(29.7%)

Value

Communications

Services

(1.8%)

-

continued

1,650

Wolters

Kluwer

NV

$

116,794

17,804

Zillow

Group,

Inc.

h

604,802

Total

96,993,112

Consumer

Discretionary

(3.6%)

18,159

Abercrombie

&

Fitch

Company

g

165,065

17,580

Adient

plc

h

159,451

58,220

Alibaba

Group

Holding,

Ltd.

ADR

h

11,322,626

32,214

Amazon.com,

Inc.

h

62,808,280

9,099

American

Axle

&

Manufacturing

Holdings,

Inc.

h

32,847

39,631

American

Eagle

Outfitters,

Inc.

315,066

2,125

American

Public

Education,

Inc.

h

50,851

1,000

AOKI

Holdings,

Inc.

6,697

1,900

Aoyama

Trading

Company,

Ltd.

16,255

15,337

Aptiv

plc

755,194

39,244

At

Home

Group,

Inc.

g,h

79,273

1,100

Autobacs

Seven

Company,

Ltd.

12,662

431

AutoZone,

Inc.

h

364,626

9,326

Beazer

Homes

USA,

Inc.

h

60,059

92,655

Bed

Bath

&

Beyond,

Inc.

g

390,078

1,447

Berkeley

Group

Holdings

plc

64,585

13,683

Big

Lots,

Inc.

194,572

1,196

Booking

Holdings,

Inc.

h

1,609,003

2,411

Boyd

Gaming

Corporation

34,767

600

Bridgestone

Corporation

18,366

53,558

Bright

Horizons

Family

Solutions,

Inc.

h

5,462,916

30,783

Burlington

Stores,

Inc.

h

4,877,874

11,638

Caleres,

Inc.

60,518

7,232

Carnival

Corporation

95,245

7,742

Century

Casinos,

Inc.

h

18,658

88,748

Chico's

FAS,

Inc.

114,485

14,784

Chipotle

Mexican

Grill,

Inc.

h

9,674,650

1,200

Chiyoda

Company,

Ltd.

12,912

2,229

Churchill

Downs,

Inc.

229,476

16,100

Citizen

Watch

Company,

Ltd.

56,804

207,619

Cooper-Standard

Holdings,

Inc.

h

2,132,247

122,731

Crocs,

Inc.

h

2,085,200

24,549

Culp,

Inc.

180,681

10,945

D.R.

Horton,

Inc.

372,130

14,043

Dana,

Inc.

109,676

7,900

Denso

Corporation

252,440

142,792

Designer

Brands,

Inc.

711,104

10,618

Domino's

Pizza,

Inc.

3,440,975

102,685

Duluth

Holdings,

Inc.

g,h

411,767

13,653

Eldorado

Resorts,

Inc.

h

196,603

36,952

Emerald

Holding,

Inc

95,706

18,674

Ethan

Allen

Interiors,

Inc.

190,848

60,885

Etsy,

Inc.

h

2,340,419

500

Exedy

Corporation

7,359

30,836

Express,

Inc.

h

45,946

14,120

Extended

Stay

America,

Inc.

103,217

72,229

Five

Below,

Inc.

h

5,083,477

27,990

Foot

Locker,

Inc.

617,179

63,111

Fossil,

Inc.

g,h

207,635

20,000

Galaxy

Entertainment

Group,

Ltd.

105,336

70,358

GameStop

Corporation

g,h

246,253

25,949

Garrett

Motion,

Inc.

h

74,214

27,169

Genuine

Parts

Company

1,829,289

27,733

Goodyear

Tire

&

Rubber

Company

161,406

16,872

Grand

Canyon

Education,

Inc.

h

1,287,080

967

Group

1

Automotive,

Inc.

42,799

7,709

GrubHub,

Inc.

h

313,988

15,896

Hertz

Global

Holdings,

Inc.

h

98,237

85,777

Home

Depot,

Inc.

16,015,424

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

186

Shares

Common

Stock

(29.7%)

Value

Consumer

Discretionary

(3.6%)

-

continued

4,537

Hooker

Furniture

Corporation

$

70,823

1,463

Industria

de

Diseno

Textil

SA

37,912

39,988

Knoll,

Inc.

412,676

35,153

L

Brands,

Inc.

406,369

23,471

Lear

Corporation

1,907,019

16,500

Lowe's

Companies,

Inc.

1,419,825

5,024

Lululemon

Athletica,

Inc.

h

952,299

4,950

Lumber

Liquidators

Holdings,

Inc.

h

23,215

66,960

Macy's,

Inc.

g

328,774

2,040

Madison

Square

Garden

Company

h

431,276

16,286

Marcus

Corporation

200,643

2,508

Marriott

Vacations

Worldwide

Corporation

139,395

101,238

Mattel,

Inc.

h

891,907

11,282

McDonald's

Corporation

1,865,479

75,415

Michaels

Companies,

Inc.

h

122,172

12,814

Modine

Manufacturing

Company

h

41,645

2,315

Mohawk

Industries,

Inc.

h

176,496

14,985

Moneysupermarket.com

Group

plc

55,685

105,312

Movado

Group,

Inc.

1,244,788

2,899

Netflix,

Inc.

h

1,088,574

3,265

Newell

Brands,

Inc.

43,359

5,400

NHK

Spring

Company,

Ltd.

35,224

107,835

NIKE,

Inc.

8,922,268

2,500

Nissan

Motor

Company,

Ltd.

8,364

4,257

Norwegian

Cruise

Line

Holdings,

Ltd.

h

46,657

1,223

NVR,

Inc.

h

3,142,022

104,203

Office

Depot,

Inc.

170,893

70,250

Ollie's

Bargain

Outlet

Holdings,

Inc.

g,h

3,255,385

1,100

Onward

Holdings

Company,

Ltd.

4,835

30,798

Oxford

Industries,

Inc.

1,116,735

22,852

Park

Hotels

&

Resorts,

Inc.

180,759

900

Park24

Company,

Ltd.

13,267

58,008

Party

City

Holdco,

Inc.

h

26,585

53,739

Penn

National

Gaming,

Inc.

h

679,798

135,674

Planet

Fitness,

Inc.

h

6,607,324

305,328

Playa

Hotels

and

Resorts

NV

h

534,324

900

PLENUS

Company,

Ltd.

g

15,390

1,676

PVH

Corporation

63,085

85,274

Qurate

Retail,

Inc.

h

520,598

98,983

Red

Rock

Resorts,

Inc.

846,305

9,342

Redrow

plc

41,412

7,349

RH

h

738,354

1,300

Rinnai

Corporation

91,638

12,564

Ruth's

Hospitality

Group,

Inc.

83,928

15,811

Sally

Beauty

Holdings,

Inc.

h

127,753

2,300

Sangetsu

Company,

Ltd.

34,043

1,100

SHIMAMURA

Company,

Ltd.

66,477

18,479

Signet

Jewelers,

Ltd.

119,190

25,534

Six

Flags

Entertainment

Corporation

320,196

37,492

Skyline

Corporation

h

587,875

10,870

Sony

Corporation

ADR

643,287

32,901

Standard

Motor

Products,

Inc.

1,367,695

24,300

Sumitomo

Electric

Industries,

Ltd.

253,886

500

Sumitomo

Forestry

Company,

Ltd.

6,384

13,100

Sumitomo

Rubber

Industries,

Ltd.

123,046

1,007

Super

Retail

Group,

Ltd.

2,880

42,903

Tailored

Brands,

Inc.

g

74,651

400

Takara

Standard

Company,

Ltd.

6,114

2,573

Tapestry,

Inc.

33,320

32,070

Taylor

Morrison

Home

Corporation

h

352,770

35,109

Taylor

Wimpey

plc

50,520

30,960

Tenneco,

Inc.

h

111,456

110,084

Texas

Roadhouse,

Inc.

4,546,469

7,852

Thor

Industries,

Inc.

g

331,197

Shares

Common

Stock

(29.7%)

Value

Consumer

Discretionary

(3.6%)

-

continued

30,437

TJX

Companies,

Inc.

$

1,455,193

3,463

Toll

Brothers,

Inc.

66,663

2,400

Toyoda

Gosei

Company,

Ltd.

40,845

43,883

Tupperware

Brands

Corporation

71,090

14,035

Ulta

Beauty,

Inc.

h

2,465,949

400

United

Arrows,

Ltd.

6,016

7,613

Urban

Outfitters,

Inc.

h

108,409

18,818

Vail

Resorts,

Inc.

2,779,607

874

Williams-Sonoma,

Inc.

37,162

46,138

Wingstop,

Inc.

3,677,199

32,711

Workhorse

Group,

Inc.

g,h

59,207

5,263

Wynn

Resorts,

Ltd.

316,780

73,327

Zumiez,

Inc.

h

1,270,024

Total

198,341,330

Consumer

Staples

(0.9%)

2,728

Andersons,

Inc.

51,150

2,066

Anheuser-Busch

InBev

NV

91,255

1,400

Arcs

Company,

Ltd.

25,151

19,958

B&G

Foods,

Inc.

361,040

847

Beyond

Meat,

Inc.

g,h

56,410

23,117

BJ's

Wholesale

Club

Holdings,

Inc.

h

588,790

1,627

Carlsberg

AS

183,167

48,133

Casey's

General

Stores,

Inc.

6,377,141

6,037

Central

Garden

&

Pet

Company

h

166,017

73,806

Coca-Cola

Company

3,265,915

34,713

Colgate-Palmolive

Company

2,303,555

5,407

Costco

Wholesale

Corporation

1,541,698

306,981

Cott

Corporation

2,781,248

9,440

Edgewell

Personal

Care

Company

h

227,315

3,379

Energizer

Holdings,

Inc.

102,215

1,810

ForFarmers

BV

11,259

400

Glanbia

plc

4,354

144,024

Hain

Celestial

Group,

Inc.

h

3,740,303

34,924

John

B.

Sanfilippo

&

Son,

Inc.

3,122,206

1,100

Kewpie

Corporation

22,016

3,454

Kimberly-Clark

Corporation

441,663

6

Lindt

&

Spruengli

AG

50,361

219

L'Oreal

SA

56,680

400

Ministop

Company,

Ltd.

5,396

32,331

Monster

Beverage

Corporation

h

1,818,942

4,574

Nestle

SA

468,230

21,092

PepsiCo,

Inc.

2,533,149

102,952

Philip

Morris

International,

Inc.

7,511,378

30,282

Procter

&

Gamble

Company

3,331,020

431

Reckitt

Benckiser

Group

plc

32,832

6,928

Seneca

Foods

Corporation

h

275,596

78,086

Simply

Good

Foods

Company

h

1,503,936

7,622

Sprouts

Farmers

Markets,

Inc.

h

141,693

2,300

Sugi

Holdings

Company,

Ltd.

123,164

6,000

Sundrug

Company,

Ltd.

192,265

8,725

TreeHouse

Foods,

Inc.

h

385,209

215,605

Turning

Point

Brands,

Inc.

4,551,422

2,053

Unilever

NV

100,908

32,365

United

Natural

Foods,

Inc.

h

297,111

21,216

Vector

Group,

Ltd.

199,855

24,389

Wal-Mart

Stores,

Inc.

2,771,078

Total

51,814,093

Energy

(0.4%)

64,948

Abraxas

Petroleum

Corporation

h

7,859

128,524

Antero

Midstream

Corporation

g

269,900

4,718

Apache

Corporation

19,721

250,773

Archrock,

Inc.

942,906

27,348

BP

plc

ADR

667,018

239,001

Callon

Petroleum

Company

h

130,949

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

187

Shares

Common

Stock

(29.7%)

Value

Energy

(0.4%)

-

continued

65,811

Centennial

Resource

Development,

Inc.

h

$

17,308

14,333

Chevron

Corporation

1,038,569

86,589

Cimarex

Energy

Company

1,457,293

24,926

Concho

Resources,

Inc.

1,068,079

7,420

ConocoPhillips

228,536

63,486

Continental

Resources,

Inc.

g

485,033

4,778

Contura

Energy,

Inc.

h

11,228

44,156

Core

Laboratories

NV

g

456,573

41,008

Devon

Energy

Corporation

283,365

60,440

Diamond

Offshore

Drilling,

Inc.

g,h

110,605

20,101

Diamondback

Energy,

Inc.

526,646

5,493

Eni

SPA

54,587

127,734

EnLink

Midstream,

LLC

140,507

19,087

Enterprise

Products

Partners,

LP

272,944

17,186

EOG

Resources,

Inc.

617,321

66,340

EQT

Corporation

469,024

39,304

Equitrans

Midstream

Corporation

197,699

264,922

Euronav

NV

2,988,320

5,593

Evolution

Petroleum

Corporation

14,598

41,375

Exterran

Corporation

h

198,600

20,686

Exxon

Mobil

Corporation

785,447

54,606

Frank's

International

NV

h

141,430

188

Gaztransport

Et

Technigaz

SA

13,536

63,400

Gran

Tierra

Energy,

Inc.

h

15,894

68,878

Halliburton

Company

471,814

40,802

Helmerich

&

Payne,

Inc.

638,551

51,600

JXTG

Holdings,

Inc.

175,821

37,013

Liberty

Oilfield

Services,

Inc.

99,565

168,423

Marathon

Oil

Corporation

554,112

16,550

Marathon

Petroleum

Corporation

390,911

238,850

Nabors

Industries,

Ltd.

93,175

63,043

NexTier

Oilfield

Solutions,

Inc.

h

73,760

241,852

Nine

Energy

Service,

Inc.

h

195,489

45,157

Oceaneering

International,

Inc.

h

132,762

6,866

Oil

States

International,

Inc.

h

13,938

397

OMV

AG

10,865

8,017

ONEOK,

Inc.

174,851

18,481

Pacific

Drilling

SA

g,h

7,947

86,902

Patterson-UTI

Energy,

Inc.

204,220

13,125

PDC

Energy,

Inc.

h

81,506

31,403

Peabody

Energy

Corporation

91,069

4,436

Penn

Virginia

Corporation

h

13,707

9,567

Pioneer

Natural

Resources

Company

671,125

35,829

Plains

GP

Holdings,

LP

201,001

18,127

ProPetro

Holding

Corporation

h

45,318

435,430

QEP

Resources,

Inc.

145,651

9,722

Royal

Dutch

Shell

plc,

Class

A

168,907

15,679

Royal

Dutch

Shell

plc,

Class

B

263,000

28,078

RPC,

Inc.

g

57,841

17,592

Schlumberger,

Ltd.

237,316

86,980

SEACOR

Holdings,

Inc.

h

2,344,981

245,510

Southwestern

Energy

Company

h

414,912

131,496

Talos

Energy,

Inc.

h

756,102

22,826

Targa

Resources

Corporation

157,728

1,268

Total

SA

47,777

1,547

TransCanada

Energy

Corporation

68,759

240,603

Transocean,

Ltd.

g,h

279,099

61,094

WPX

Energy,

Inc.

h

186,337

Total

23,101,412

Financials

(3.7%)

1,110

1st

Source

Corporation

35,997

8,813

AB

Industrivarden

168,747

15,101

Aflac,

Inc.

517,058

43,594

AG

Mortgage

Investment

Trust,

Inc.

119,448

Shares

Common

Stock

(29.7%)

Value

Financials

(3.7%)

-

continued

6,000

AIA

Group,

Ltd.

$

53,728

68,915

Air

Lease

Corporation

1,525,778

4,285

Alleghany

Corporation

2,366,820

2,294

Allianz

SE

390,663

42,491

Ally

Financial,

Inc.

613,145

6,894

American

Equity

Investment

Life

Holding

Company

129,607

44,049

American

Express

Company

3,771,035

100,766

American

Financial

Group,

Inc.

7,061,681

11,285

American

International

Group,

Inc.

273,661

12,501

Ameriprise

Financial,

Inc.

1,281,102

56,709

Ameris

Bancorp

1,347,406

4,927

Aon

plc

813,152

7,028

Argo

Group

International

Holdings,

Ltd.

260,458

3,039

ARMOUR

Residential

REIT,

Inc.

26,774

30,929

Arthur

J.

Gallagher

&

Company

2,521,023

12,180

Artisan

Partners

Asset

Management,

Inc.

261,748

50,604

Associated

Banc-Corp

647,225

195,285

Assured

Guaranty,

Ltd.

5,036,400

1,833

Baloise

Holding

AG

238,972

23,178

Bank

Leumi

Le-Israel

BM

127,803

321,787

Bank

of

America

Corporation

6,831,538

5,278

Bank

of

Marin

Bancorp

158,340

3,089

Bank

of

Montreal

155,976

71,274

Bank

of

N.T.

Butterfield

&

Son,

Ltd.

1,213,796

14,635

Bank

of

New

York

Mellon

Corporation

492,907

24,740

BankFinancial

Corporation

217,959

13,908

BankUnited,

Inc.

260,080

35,035

Banner

Corporation

1,157,556

16,138

Berkshire

Hathaway,

Inc.

h

2,950,511

5,137

BlackRock,

Inc.

2,260,126

6,795

BOK

Financial

Corporation

289,195

127,810

Boston

Private

Financial

Holdings,

Inc.

913,841

149,790

Bridgewater

Bancshares,

Inc.

h

1,460,453

14,694

Brighthouse

Financial,

Inc.

h

355,154

189,463

BrightSphere

Investment

Group

1,210,669

10,196

Brown

&

Brown,

Inc.

369,299

10,993

Byline

Bancorp,

Inc.

113,997

6,257

Cadence

Bancorporation

40,983

12,597

Capital

One

Financial

Corporation

635,141

25,591

Cboe

Global

Markets,

Inc.

2,283,997

197,141

Charles

Schwab

Corporation

6,627,880

4,506

Chubb,

Ltd.

503,275

19,125

CI

Financial

Corporation

189,850

13,396

Cincinnati

Financial

Corporation

1,010,728

34,357

CIT

Group,

Inc.

593,002

48,041

Citigroup,

Inc.

2,023,487

62,962

Citizens

Financial

Group,

Inc.

1,184,315

3,556

CME

Group,

Inc.

614,868

964

CNP

Assurances

9,334

18,710

Cohen

&

Steers,

Inc.

850,370

105,303

Comerica,

Inc.

3,089,590

3,403

Commonwealth

Bank

of

Australia

128,395

2,653

Community

Bank

System,

Inc.

155,996

39,122

Community

Trust

Bancorp,

Inc.

1,243,688

52,455

Cullen/Frost

Bankers,

Inc.

2,926,464

13,800

DBS

Group

Holdings,

Ltd.

180,064

674

Deutsche

Boerse

AG

92,597

6,721

Deutsche

Pfandbriefbank

AG

i

50,738

1,147

Diamond

Hill

Investment

Group,

Inc.

103,505

24,826

Discover

Financial

Services

885,543

13,745

DnB

ASA

153,132

13,243

Ellington

Residential

Mortgage

REIT

70,188

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

188

Shares

Common

Stock

(29.7%)

Value

Financials

(3.7%)

-

continued

12,519

Enstar

Group,

Ltd.

h

$

1,991,147

12,443

Enterprise

Financial

Services

Corporation

347,284

47,221

Essent

Group,

Ltd.

1,243,801

3,310

Euronext

NV

i

243,726

610,151

Everi

Holdings,

Inc.

h

2,013,498

8,373

FBL

Financial

Group,

Inc.

390,768

3,260

Federal

Agricultural

Mortgage

Corporation

181,354

34,361

Fifth

Third

Bancorp

510,261

26,642

Financial

Institutions,

Inc.

483,286

17,632

First

American

Financial

Corporation

747,773

2,366

First

Bancshares,

Inc.

45,120

53,898

First

Busey

Corporation

922,195

5,126

First

Citizens

BancShares,

Inc.

1,706,292

58,139

First

Defiance

Financial

Corporation

856,969

20,534

First

Financial

Corporation

692,406

138,052

First

Interstate

BancSystem,

Inc.

3,981,420

1,557

First

Mid-Illinois

Bancshares,

Inc.

36,963

33,911

First

Midwest

Bancorp,

Inc.

448,812

3,956

First

of

Long

Island

Corporation

68,637

21,599

First

Republic

Bank

1,777,166

33,226

FlexiGroup,

Ltd.

15,357

2,700

Goldman

Sachs

Group,

Inc.

417,393

40,868

Great

Southern

Bancorp,

Inc.

1,651,067

36,336

Great

Western

Bancorp,

Inc.

744,161

68,801

Hamilton

Lane,

Inc.

3,805,383

15,340

Hancock

Whitney

Corporation

299,437

2,596

Hanmi

Financial

Corporation

28,167

27,339

Hanover

Insurance

Group,

Inc.

2,476,367

24,410

Hartford

Financial

Services

Group,

Inc.

860,208

78,556

Heartland

Financial

USA,

Inc.

2,372,391

263,264

Heritage

Commerce

Corporation

2,019,235

2,591

Heritage

Financial

Corporation

51,820

34,380

Hometrust

Bancshares,

Inc.

547,330

46,939

Horizon

Bancorp,

Inc.

462,819

33,373

Houlihan

Lokey,

Inc.

1,739,401

10,284

HSBC

Holdings

plc

57,732

45,793

Independent

Bank

Corporation

589,356

60,734

Interactive

Brokers

Group,

Inc.

2,621,887

18,105

Intercontinental

Exchange,

Inc.

1,461,979

13,959

International

Bancshares

Corporation

375,218

54,235

Israel

Discount

Bank,

Ltd.

158,142

24,707

J.P.

Morgan

Chase

&

Company

2,224,371

3,095

Janus

Henderson

Group

plc

47,415

29,450

Kemper

Corporation

2,190,197

91,381

KeyCorp

947,621

442

L

E

Lundbergforetagen

AB

17,918

16,686

Lakeland

Bancorp,

Inc.

180,376

3,490

Laurentian

Bank

of

Canada

75,787

12,662

Loews

Corporation

441,017

20,799

M&T

Bank

Corporation

2,151,241

13,989

Manulife

Financial

Corporation

175,645

1,093

Markel

Corporation

h

1,014,184

5,097

Marsh

&

McLennan

Companies,

Inc.

440,687

7,521

Mercantile

Bank

Corporation

159,220

45,592

Meridian

Bancorp,

Inc.

511,542

13,137

MetLife,

Inc.

401,598

52,686

MidWestOne

Financial

Group,

Inc.

1,103,245

1,194

Mizrahi

Tefahot

Bank,

Ltd.

21,976

19,493

Morgan

Stanley

662,762

948

Morningstar,

Inc.

110,205

14,133

Mr.

Cooper

Group,

Inc.

h

103,595

11,639

MSCI,

Inc.

3,363,205

Shares

Common

Stock

(29.7%)

Value

Financials

(3.7%)

-

continued

1,147

National

Bank

of

Canada

$

44,330

577

National

Western

Life

Group,

Inc.

99,244

8,403

Natixis

26,757

2,735

NBT

Bancorp,

Inc.

88,587

29,871

Northern

Trust

Corporation

2,254,066

11,492

Northwest

Bancshares,

Inc.

132,962

5,500

OFG

Bancorp

61,490

8,241

Old

Republic

International

Corporation

125,675

21,799

Old

Second

Bancorp,

Inc.

150,631

880

Onex

Corporation

32,210

9,767

PacWest

Bancorp

175,025

1,135

Paragon

Banking

Group

plc

4,642

911

Pargesa

Holding

SA

60,147

782

Park

National

Corporation

60,714

16,859

PCSB

Financial

Corporation

235,857

1,734

Peapack-Gladstone

Financial

Corporation

31,125

7,641

Peoples

Bancorp,

Inc.

169,248

4,130

PNC

Financial

Services

Group,

Inc.

395,324

128,576

Popular,

Inc.

4,500,160

3,639

Power

Corporation

of

Canada

58,543

27,362

Primerica,

Inc.

2,420,990

156,580

Prosight

Global,

Inc.

h

1,526,655

4,017

Provident

Financial

Services,

Inc.

51,659

3,256

Prudential

Financial,

Inc.

169,768

31,409

QCR

Holdings,

Inc.

850,242

33,636

Radian

Group,

Inc.

435,586

69,365

Raymond

James

Financial,

Inc.

4,383,868

3,924

Ready

Capital

Corporation

28,331

29,523

Reinsurance

Group

of

America,

Inc.

2,484,065

19,396

Renasant

Corporation

423,609

1,950

Royal

Bank

of

Canada

120,786

37,610

S&P

Global,

Inc.

9,216,331

4,189

Safety

Insurance

Group,

Inc.

353,677

13,557

Sandy

Spring

Bancorp,

Inc.

306,930

43,365

Santander

Consumer

USA

Holdings,

Inc.

g

603,207

173,000

Seacoast

Banking

Corporation

of

Florida

h

3,167,630

62,622

SEI

Investments

Company

2,901,903

2,134

Selective

Insurance

Group,

Inc.

106,060

2,500

Senshu

Ikeda

Holdings,

Inc.

3,769

2,700

Singapore

Exchange,

Ltd.

17,389

22,141

SLM

Corporation

159,194

56,536

Spirit

of

Texas

Bancshares,

Inc.

h

584,582

2,250

Starwood

Property

Trust,

Inc.

23,063

75,657

State

Auto

Financial

Corporation

2,102,508

7,039

Sun

Life

Financial,

Inc.

226,430

29,432

SVB

Financial

Group

h

4,446,587

750

Swiss

Life

Holding

AG

251,735

232,756

Synovus

Financial

Corporation

4,087,195

27,322

T.

Rowe

Price

Group,

Inc.

2,667,993

1,677

TCF

Financial

Corporation

38,001

9,468

Territorial

Bancorp,

Inc.

232,439

29,364

TMX

Group,

Ltd.

2,186,077

441

Topdanmark

AS

17,696

12,286

Toronto-Dominion

Bank

522,327

26,927

TPG

RE

Finance

Trust,

Inc.

147,829

20,705

TriCo

Bancshares

617,423

60,415

Triumph

Bancorp,

Inc.

h

1,570,790

77,099

TrustCo

Bank

Corporation

417,106

19,195

U.S.

Bancorp

661,268

1,625

UMB

Financial

Corporation

75,368

14,238

Umpqua

Holdings

Corporation

155,194

3,138

Univest

Financial

Corporation

51,212

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

189

Shares

Common

Stock

(29.7%)

Value

Financials

(3.7%)

-

continued

237

Virtus

Investment

Partners,

Inc.

$

18,038

15,081

Washington

Trust

Bancorp,

Inc.

551,361

74,136

Webster

Financial

Corporation

1,697,714

14,523

Wells

Fargo

&

Company

416,810

13,451

WesBanco,

Inc.

318,789

1,994

Westamerica

Bancorporation

117,207

38,026

Western

Alliance

Bancorp

1,163,976

1,387

Westwood

Holdings

Group,

Inc.

25,396

80,567

Wintrust

Financial

Corporation

2,647,432

111,382

Zions

Bancorporations

NA

2,980,582

Total

202,894,007

Health

Care

(4.5%)

28,631

Abbott

Laboratories

2,259,272

5,724

AbbVie,

Inc.

436,112

2,635

Acceleron

Pharma,

Inc.

h

236,807

40,842

ADMA

Biologics,

Inc.

h

117,625

19,536

Aduro

Biotech,

Inc.

h

53,529

43,625

Aerie

Pharmaceuticals,

Inc.

g,h

588,937

17,486

Agenus,

Inc.

h

42,841

22,869

Agile

Therapeutics,

Inc.

h

42,536

36,646

Agilent

Technologies,

Inc.

2,624,587

58,947

Agios

Pharmaceuticals,

Inc.

h

2,091,440

11,802

Akebia

Therapeutics,

Inc.

h

89,459

11,618

Alexion

Pharmaceuticals,

Inc.

h

1,043,180

3,842

Align

Technology,

Inc.

h

668,316

20,169

Alkermes

plc

h

290,837

10,564

AmerisourceBergen

Corporation

934,914

13,878

Amgen,

Inc.

2,813,487

21,154

AnaptysBio,

Inc.

h

298,906

16,211

Anavex

Life

Sciences

Corporation

g,h

51,065

16,157

Arena

Pharmaceuticals,

Inc.

h

678,594

5,599

Argenx

SE

ADR

h

737,556

5,229

Assembly

Biosciences,

Inc.

h

77,546

11,175

Atara

Biotherapeutics,

Inc.

h

95,099

4,649

Athenex,

Inc.

h

35,983

510

Atrion

Corporation

331,500

3,008

AVROBIO,

Inc.

h

46,804

117,908

Axonics

Modulation

Technologies,

Inc.

g,h

2,996,042

2,524

Axsome

Therapeutics,

Inc.

h

148,487

26,923

Bausch

Health

Companies,

Inc.

h

417,306

3,593

Becton,

Dickinson

and

Company

825,564

3,032

Biogen,

Inc.

h

959,264

24,354

Biohaven

Pharmaceutical

Holding

Company,

Ltd.

h

828,767

18,652

BioMarin

Pharmaceutical,

Inc.

h

1,576,094

7,274

Bio-Rad

Laboratories,

Inc.

h

2,549,973

37,952

Bio-Techne

Corporation

7,196,458

8,735

Bluebird

Bio,

Inc.

h

401,461

1,719

Blueprint

Medicines

Corporation

h

100,527

4,200

Bruker

Corporation

150,612

180,741

Catalent,

Inc.

h

9,389,495

5,676

CEL-SCI

Corporation

h

65,501

16,660

Centene

Corporation

h

989,771

15,650

Charles

River

Laboratories

International,

Inc.

h

1,975,186

5,004

Chemed

Corporation

2,167,733

4,249

Cigna

Holding

Company

752,838

13,109

Clovis

Oncology,

Inc.

g,h

83,373

21,327

Community

Health

Systems,

Inc.

h

71,232

42,142

CryoLife,

Inc.

h

713,043

2,408

CSL,

Ltd.

436,503

20,473

CVS

Health

Corporation

1,214,663

10,353

CytomX

Therapeutics,

Inc.

h

79,408

6,472

Danaher

Corporation

895,790

Shares

Common

Stock

(29.7%)

Value

Health

Care

(4.5%)

-

continued

2,800

Deciphera

Pharmaceuticals,

Inc.

h

$

115,276

20,796

Dexcom,

Inc.

h

5,599,739

29,859

Dynavax

Technologies

Corporation

h

105,402

42,109

Edwards

Lifesciences

Corporation

h

7,942,600

7,208

Encompass

Health

Corporation

461,528

34,666

Endo

International

plc

h

128,264

14,167

Gilead

Sciences,

Inc.

1,059,125

25,467

GlaxoSmithKline

plc

477,866

2,950

Global

Blood

Therapeutics,

Inc.

h

150,716

2,913

Grifols

SA

97,461

95,298

Guardant

Health,

Inc.

h

6,632,741

162,068

Halozyme

Therapeutics,

Inc.

h

2,915,603

7,936

HCA

Healthcare,

Inc.

713,050

4,931

HealthStream,

Inc.

h

118,097

27,964

Hill-Rom

Holdings,

Inc.

2,813,178

19,512

Humana,

Inc.

6,127,158

45,507

iBio,

Inc.

h

48,237

60,317

ImmunoGen,

Inc.

h

205,681

33,964

Immunomedics,

Inc.

h

457,835

7,581

Insmed,

Inc.

h

121,523

52,156

Inspire

Medical

Systems,

Inc.

h

3,143,964

13,585

Insulet

Corporation

h

2,250,763

3,044

Intra-Cellular

Therapies,

Inc.

h

46,786

23,590

Intuitive

Surgical,

Inc.

h

11,682,004

6,880

Invitae

Corporation

h

94,050

10,431

Iovance

Biotherapeutics,

Inc.

h

312,252

12,565

IQVIA

Holding,

Inc.

h

1,355,261

5,557

Jazz

Pharmaceuticals,

Inc.

h

554,255

47,602

Johnson

&

Johnson

6,242,050

23,612

Kadmon

Holdings,

Inc.

h

98,934

600

KYORIN

Holdings,

Inc.

12,252

6,043

Laboratory

Corporation

of

America

Holdings

h

763,775

88,195

LHC

Group,

Inc.

h

12,364,939

14,077

Ligand

Pharmaceuticals,

Inc.

g,h

1,023,679

193

LNA

Sante

8,062

11,108

MacroGenics,

Inc.

h

64,649

44,162

Medtronic

plc

3,982,529

31,155

Merck

&

Company,

Inc.

2,397,066

6,859

Mersana

Therapeutics,

Inc.

h

39,988

6,666

Mesa

Laboratories,

Inc.

g

1,507,116

1,082

Mirati

Therapeutics,

Inc.

h

83,173

10,561

Molina

Healthcare,

Inc.

h

1,475,477

2,869

Momenta

Pharmaceuticals,

Inc.

h

78,037

12,060

Myovant

Sciences,

Ltd.

h

91,053

6,500

Myriad

Genetics,

Inc.

h

93,015

90,192

Natera,

Inc.

h

2,693,133

23,985

National

Healthcare

Corporation

1,720,444

17,400

Nektar

Therapeutics

h

310,590

35,686

Neurocrine

Biosciences,

Inc.

h

3,088,623

20,424

Nevro

Corporation

h

2,041,992

8,959

Novartis

AG

739,107

8,783

Novo

Nordisk

AS

524,486

261,364

Optinose,

Inc.

h

1,173,524

9,327

Orthifix

Medical,

Inc.

h

261,249

13,980

PerkinElmer,

Inc.

1,052,414

51,865

Pfizer,

Inc.

1,692,874

8,552

Portola

Pharmaceuticals,

Inc.

h

60,976

17,201

PRA

Health

Sciences,

Inc.

h

1,428,371

9,828

Precision

BioSciences,

Inc.

h

59,263

4,029

Prothena

Corporation

plc

h

43,110

8,587

Puma

Biotechnology,

Inc.

h

72,474

4,567

Quest

Diagnostics,

Inc.

366,730

3,046

Reata

Pharmaceuticals,

Inc.

h

439,660

3,367

Recordati

SPA

141,861

27,675

Repligen

Corporation

h

2,671,745

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

190

Shares

Common

Stock

(29.7%)

Value

Health

Care

(4.5%)

-

continued

17,782

ResMed,

Inc.

$

2,619,111

23,093

Rite

Aid

Corporation

h

346,395

2,376

Roche

Holding

AG

764,459

11,284

Sage

Therapeutics,

Inc.

h

324,076

9,315

Sarepta

Therapeutics,

Inc.

h

911,193

29

Siegfried

Holding

AG

11,671

63,442

Silk

Road

Medical,

Inc.

h

1,997,154

696

Sonova

Holding

AG

124,107

40,268

Spectrum

Pharmaceuticals,

Inc.

h

93,824

12,163

Stryker

Corporation

2,025,018

1,770

Surmodics,

Inc.

h

58,976

77,725

Syneos

Health,

Inc.

h

3,063,920

77,579

Tactile

Systems

Technology,

Inc.

h

3,115,573

1,800

Takeda

Pharmaceutical

Company,

Ltd.

54,807

1,153

Teladoc

Health,

Inc.

h

178,727

22,145

Teleflex,

Inc.

6,485,385

19,913

Tenet

Healthcare

Corporation

h

286,747

39,783

Thermo

Fisher

Scientific,

Inc.

11,282,459

10,459

Tilray,

Inc.

g,h

71,958

300

Tsumura

&

Company

7,650

4,490

U.S.

Physical

Therapy,

Inc.

309,810

9,243

United

Therapeutics

Corporation

h

876,467

15,883

UnitedHealth

Group,

Inc.

3,960,903

6,300

Universal

Health

Services,

Inc.

624,204

7,618

Varian

Medical

Systems,

Inc.

h

782,064

91,034

Veeva

Systems,

Inc.

h

14,234,987

52,227

Vertex

Pharmaceuticals,

Inc.

h

12,427,415

16,971

Viking

Therapeutics,

Inc.

g,h

79,424

4,874

Waters

Corporation

h

887,312

5,878

West

Pharmaceutical

Services,

Inc.

894,926

193,131

Wright

Medical

Group

NV

h

5,533,203

2,643

Zimmer

Biomet

Holdings,

Inc.

267,154

136,003

Zoetis,

Inc.

16,006,193

Total

251,018,130

Industrials

(3.7%)

3,269

3M

Company

446,251

35,265

A.O.

Smith

Corporation

1,333,370

2,690

Aalberts

NV

64,446

7,939

AECOM

h

236,979

12,220

Aegion

Corporation

h

219,105

59,378

Aerojet

Rocketdyne

Holdings,

Inc.

h

2,483,782

158

Aeroports

de

Paris

SA

15,264

69,917

AGCO

Corporation

3,303,578

219,793

Altra

Industrial

Motion

Corporation

3,844,180

19,186

American

Airlines

Group,

Inc.

g

233,877

56,258

AMETEK,

Inc.

4,051,701

83,507

Arcosa,

Inc.

3,318,568

107,835

ASGN,

Inc.

h

3,808,732

5,190

Assa

Abloy

AB

96,891

10,658

Atlas

Air

Worldwide

Holdings,

Inc.

h

273,591

7,045

Atlas

Copco

AB,

Class

A

234,276

2,769

Atlas

Copco

AB,

Class

B

80,548

9,224

Avis

Budget

Group,

Inc.

h

128,214

62,810

AZZ,

Inc.

1,766,217

5,778

Bloom

Energy

Corporation

g,h

30,219

23,751

Boeing

Company

3,542,224

49,843

BWX

Technologies,

Inc.

2,427,853

4,474

Carlisle

Companies,

Inc.

560,503

61,150

Casella

Waste

Systems,

Inc.

h

2,388,519

12,509

Caterpillar,

Inc.

1,451,544

87,529

CBIZ,

Inc.

h

1,831,107

44,538

Chart

Industries,

Inc.

h

1,290,711

1,334

CIA

De

Distribucion

Integral

21,414

711

Columbus

McKinnon

Corporation

17,775

Shares

Common

Stock

(29.7%)

Value

Industrials

(3.7%)

-

continued

12,967

Cornerstone

Building

Brands,

Inc.

h

$

59,130

10,146

CRA

International,

Inc.

338,978

58,016

Crane

Company

2,853,227

34,553

CSW

Industrials,

Inc.

2,240,762

6,347

CSX

Corporation

363,683

77,636

Curtiss-Wright

Corporation

7,174,343

18,000

Delta

Air

Lines,

Inc.

513,540

9,238

Douglas

Dynamics,

Inc.

328,041

72,697

EMCOR

Group,

Inc.

4,457,780

36,865

Emerson

Electric

Company

1,756,617

53,879

Encore

Wire

Corporation

2,262,379

25,710

Expeditors

International

of

Washington,

Inc.

1,715,371

47,405

Fluor

Corporation

327,569

46,503

Forrester

Research,

Inc.

h

1,359,283

30,636

FuelCell

Energy,

Inc.

g,h

46,260

193

Geberit

AG

84,569

20,345

General

Dynamics

Corporation

2,691,847

18,775

Gorman-Rupp

Company

585,968

1,700

GS

Yuasa

Corporation

22,751

16,816

GWA

Group,

Ltd.

g

26,961

1,700

Hanwa

Company,

Ltd.

26,323

9,352

Heico

Corporation

697,753

29,036

Helios

Technologies,

Inc.

1,101,045

2,382

Herc

Holdings,

Inc.

h

48,736

5,700

Hino

Motors,

Ltd.

30,399

86,584

Honeywell

International,

Inc.

11,584,073

23,211

Hubbell,

Inc.

2,663,230

7,326

Huntington

Ingalls

Industries,

Inc.

1,334,870

7,257

ICF

International,

Inc.

498,556

54,314

IDEX

Corporation

7,501,307

3,800

Inaba

Denki

Sangyo

Company,

Ltd.

80,737

4,957

Ingersoll

-

Rand,

Inc.

h

122,934

5,120

Interface,

Inc.

38,707

26,359

John

Bean

Technologies

Corporation

1,957,683

14,518

Johnson

Controls

International

plc

391,405

2,840

Kansas

City

Southern

361,191

1,772

Kennametal,

Inc.

32,995

5,100

Kinden

Corporation

75,044

4,553

Koninklijke

Philips

NV

186,934

5,015

Legrand

SA

323,456

96,224

Lincoln

Electric

Holdings,

Inc.

6,639,456

27,033

Lockheed

Martin

Corporation

9,162,835

13,171

Manpower,

Inc.

697,931

30,500

Marubeni

Corporation

151,373

7,681

Masonite

International

Corporation

h

364,463

19,539

Mercury

Systems,

Inc.

h

1,393,912

260,274

Meritor,

Inc.

h

3,448,630

15,700

Mitsubishi

Corporation

332,090

1,600

Mitsuboshi

Belting,

Ltd.

17,864

23,300

Mitsui

&

Company,

Ltd.

323,490

11,904

MSC

Industrial

Direct

Company,

Inc.

654,363

6,532

National

Express

Group

plc

16,539

5,000

Nitto

Kogyo

Corporation

79,410

2,777

Nobina

AB

i

15,006

19,382

Nordson

Corporation

2,617,927

33,993

Norfolk

Southern

Corporation

4,962,978

1,100

Northrop

Grumman

Corporation

332,805

30,663

Old

Dominion

Freight

Line,

Inc.

4,024,825

7,785

PageGroup

plc

34,951

17,024

Parker-Hannifin

Corporation

2,208,524

211,935

Primoris

Services

Corporation

3,369,766

91,363

Raven

Industries,

Inc.

1,939,636

1,983

Redde

Northgate

plc

3,410

26,475

Regal-Beloit

Corporation

1,666,601

16,430

RELX

plc

350,655

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

191

Shares

Common

Stock

(29.7%)

Value

Industrials

(3.7%)

-

continued

2,752

Republic

Services,

Inc.

$

206,565

19,906

Resideo

Technologies,

Inc.

h

96,345

192,926

Ritchie

Brothers

Auctioneers,

Inc.

6,594,211

11,700

Rockwell

Automation,

Inc.

1,765,647

12,725

Roper

Industries,

Inc.

3,967,782

15,836

Ryder

System,

Inc.

418,704

52,432

Saia,

Inc.

h

3,855,849

3,705

Sandvik

AB

52,117

2,000

Sanwa

Holdings

Corporation

15,532

3,482

Schneider

Electric

SE

294,309

5,735

Signify

NV

i

111,146

25,691

SiteOne

Landscape

Supply,

Inc.

h

1,891,371

7,064

SKF

AB

96,262

104,600

Sojitz

Corporation

245,250

97,431

Southwest

Airlines

Company

3,469,518

4,635

SP

Plus

Corporation

h

96,176

783

Spirax-Sarco

Engineering

plc

78,608

3,946

Spirit

Airlines,

Inc.

h

50,864

4,645

SPX

FLOW,

Inc.

h

132,011

52,805

Standex

International

Corporation

2,588,501

15,800

Sumitomo

Corporation

180,187

800

Taikisha,

Ltd.

23,006

8,105

Teledyne

Technologies,

Inc.

h

2,409,373

7,179

Thermon

Group

Holdings,

Inc.

h

108,188

2,200

Toppan

Forms

Company,

Ltd.

19,606

5,618

Trane

Technologies

plc

463,991

1,510

Transcontinental,

Inc.

13,401

3,970

TransDigm

Group,

Inc.

1,271,154

9,820

Trex

Company,

Inc.

h

786,975

74,845

TriMas

Corporation

h

1,728,919

1,500

Tsubakimoto

Chain

Company

33,881

7,602

UniFirst

Corporation

1,148,586

3,971

Union

Pacific

Corporation

560,070

14,174

United

Airlines

Holdings,

Inc.

g,h

447,190

43,245

United

Rentals,

Inc.

h

4,449,911

18,106

United

Technologies

Corporation

1,707,939

60,972

Valmont

Industries,

Inc.

6,461,813

47,159

Verisk

Analytics,

Inc.

6,573,021

1,137

Vinci

SA

92,904

33,857

Waste

Connections,

Inc.

2,623,918

15,941

Watsco,

Inc.

2,519,156

116,433

Willdan

Group,

Inc.

h

2,488,173

13,308

XPO

Logistics,

Inc.

g,h

648,765

1,000

Yuasa

Trading

Company,

Ltd.

26,308

Total

205,390,519

Information

Technology

(8.1%)

17,575

Accenture

plc

2,869,294

35,098

Adobe,

Inc.

h

11,169,588

14,113

ADTRAN,

Inc.

108,388

25,520

Advanced

Energy

Industries,

Inc.

h

1,237,465

84,327

Advanced

Micro

Devices,

Inc.

h

3,835,192

35,074

Agilysys,

Inc.

h

585,736

35,817

Akamai

Technologies,

Inc.

h

3,276,897

9,848

Alliance

Data

Systems

Corporation

331,385

25,548

Alteryx,

Inc.

g,h

2,431,403

5,065

Amadeus

IT

Holding

SA

238,404

9,140

American

Software,

Inc.

129,879

72,432

Amphenol

Corporation

5,278,844

9,496

ANSYS,

Inc.

h

2,207,535

175,890

Apple,

Inc.

44,727,068

114

ASM

International

NV

11,599

1,041

ASML

Holding

NV

274,423

16,468

Atlassian

Corporation

plc

h

2,260,398

21,482

Automatic

Data

Processing,

Inc.

2,936,160

59,641

Avalara,

Inc.

h

4,449,219

Shares

Common

Stock

(29.7%)

Value

Information

Technology

(8.1%)

-

continued

12,630

Avnet,

Inc.

$

317,013

72,658

Bandwidth,

Inc.

h

4,889,157

3,383

BE

Semiconductor

Industries

NV

103,611

47,027

Benchmark

Electronics,

Inc.

940,070

84,442

Blackline,

Inc.

h

4,442,494

2,511

Broadcom,

Ltd.

595,358

12,986

Broadridge

Financial

Solutions,

Inc.

1,231,462

3,131

CACI

International,

Inc.

h

661,111

2,000

Canon,

Inc.

43,462

73,393

CDK

Global,

Inc.

2,410,960

9,354

CDW

Corporation

872,448

1,424

CEVA,

Inc.

h

35,500

6,713

CGI,

Inc.

h

363,436

190,518

Change

Healthcare,

Inc.

h

1,903,275

153,622

Ciena

Corporation

h

6,115,692

128,668

Cisco

Systems,

Inc.

5,057,939

58,017

Cognex

Corporation

2,449,478

21,722

CommScope

Holding

Company,

Inc.

h

197,887

54,613

Computer

Services,

Inc.

2,197,081

7,774

Computershare,

Ltd.

46,538

58,572

Coupa

Software,

Inc.

h

8,184,266

4,672

Cree,

Inc.

h

165,669

31,880

CTS

Corporation

793,493

54,355

Descartes

Systems

Group,

Inc.

h

1,869,268

549

Dialog

Semiconductor

plc

h

14,270

64,854

DocuSign,

Inc.

h

5,992,510

188,629

Dolby

Laboratories,

Inc.

10,225,578

8,527

DSP

Group,

Inc.

h

114,262

47,915

Elastic

NV

h

2,674,136

16,447

ePlus,

Inc.

h

1,029,911

22,873

Euronet

Worldwide,

Inc.

h

1,960,674

22,511

ExlService

Holdings,

Inc.

h

1,171,247

5,152

eXp

World

Holdings,

Inc.

g,h

43,586

20,842

F5

Networks,

Inc.

h

2,222,382

2,282

Fair

Isaac

Corporation

h

702,149

65,185

Five9,

Inc.

h

4,984,045

2,791

FLIR

Systems,

Inc.

89,005

1,800

Fuji

Soft,

Inc.

57,787

3,978

Gartner,

Inc.

h

396,089

28,818

Global

Payments,

Inc.

4,156,420

58,321

Guidewire

Software,

Inc.

h

4,625,438

13,567

Halma

plc

318,635

343

Infineon

Technologies

AG

4,951

14,199

Inphi

Corporation

h

1,124,135

29,642

Intel

Corporation

1,604,225

8,138

InterDigital,

Inc.

363,199

6,447

International

Business

Machines

Corporation

715,166

39,906

Intuit,

Inc.

9,178,380

4,250

Jack

Henry

&

Associates,

Inc.

659,770

28,452

Juniper

Networks,

Inc.

544,571

4,896

KLA-Tencor

Corporation

703,751

4,513

Kulicke

and

Soffa

Industries,

Inc.

94,186

11,860

Lam

Research

Corporation

2,846,400

163,877

Lattice

Semiconductor

Corporation

h

2,920,288

13,054

Littelfuse,

Inc.

1,741,665

10,755

ManTech

International

Corporation

781,566

94,532

MasterCard,

Inc.

22,835,150

27,782

Maxim

Integrated

Products,

Inc.

1,350,483

32,703

Methode

Electronics,

Inc.

864,340

357,231

Microsoft

Corporation

56,338,901

20,117

MicroStrategy,

Inc.

h

2,375,818

34,951

MKS

Instruments,

Inc.

2,846,759

31,877

MoneyGram

International,

Inc.

g,h

41,759

84,847

Monolithic

Power

Systems,

Inc.

14,208,479

19,319

MTS

Systems

Corporation

434,677

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

192

Shares

Common

Stock

(29.7%)

Value

Information

Technology

(8.1%)

-

continued

99,520

National

Instruments

Corporation

$

3,292,122

2,500

NEC

Networks

&

System

Integration

Corporation

101,339

844

NetApp,

Inc.

35,186

22,337

Nice,

Ltd.

ADR

h

3,206,700

48,284

Nova

Measuring

Instruments,

Ltd.

h

1,576,473

24,982

Novanta,

Inc.

h

1,995,562

59,644

Nuance

Communications,

Inc.

h

1,000,826

49,492

NVIDIA

Corporation

13,046,091

8,315

Oracle

Corporation

401,864

300

Oracle

Corporation

Japan

26,167

21,799

Palo

Alto

Networks,

Inc.

h

3,574,164

7,342

Paychex,

Inc.

461,959

109,491

PayPal

Holdings,

Inc.

h

10,482,668

32,350

Plexus

Corporation

h

1,765,016

8,820

Progress

Software

Corporation

282,240

25,910

Proofpoint,

Inc.

h

2,658,107

49,024

Q2

Holdings,

Inc.

h

2,895,357

16,523

QAD,

Inc.

659,763

6,731

QUALCOMM,

Inc.

455,352

10,392

Rogers

Corporation

h

981,213

6,801

Rubicon

Project,

Inc.

h

37,746

1,100

Ryoyo

Electro

Corporation

20,946

249,985

SailPoint

Technologies

Holdings,

Inc.

h

3,804,772

36,331

Salesforce.com,

Inc.

h

5,230,937

603

Samsung

Electronics

Company,

Ltd.

GDR

596,450

182

SAP

SE

20,320

20,843

ScanSource,

Inc.

h

445,832

61,911

ServiceNow,

Inc.

h

17,742,454

11,451

Silicon

Laboratories,

Inc.

h

978,030

124,613

Square,

Inc.

h

6,527,229

107,944

STMicroelectronics

NV

ADR

g

2,306,763

3,188

Sykes

Enterprises,

Inc.

h

86,459

35,496

Synopsys,

Inc.

h

4,571,530

42,025

TE

Connectivity,

Ltd.

2,646,734

18,276

Teradyne,

Inc.

990,011

99,207

Texas

Instruments,

Inc.

9,913,755

14,353

Tyler

Technologies,

Inc.

h

4,256,526

4,227

Unisys

Corporation

h

52,203

12,611

VeriSign,

Inc.

h

2,271,115

126,294

Virtusa

Corporation

h

3,586,750

162,871

Visa,

Inc.

26,241,776

2,630

VMware,

Inc.

h

318,493

14,611

WEX,

Inc.

h

1,527,580

47

Wirecard

AG

5,295

14,760

Xilinx,

Inc.

1,150,394

54,093

Zscaler,

Inc.

g,h

3,292,100

Total

447,122,657

Materials

(1.0%)

15,397

AdvanSix,

Inc.

h

146,887

6,500

Air

Water,

Inc.

89,016

963

Anglo

American

plc

16,875

19,924

AptarGroup,

Inc.

1,983,235

3,051

Arcelor

Mittal

28,803

8,379

Avery

Dennison

Corporation

853,569

711

Balchem

Corporation

70,190

14,439

Ball

Corporation

933,626

12,716

Cabot

Corporation

332,142

18,122

Celanese

Corporation

1,329,974

15,531

CF

Industries

Holdings,

Inc.

422,443

49,663

Chemours

Company

g

440,511

107,142

Coeur

Mining,

Inc.

h

343,926

57,432

Eastman

Chemical

Company

2,675,183

46,912

Ecolab,

Inc.

7,310,297

Shares

Common

Stock

(29.7%)

Value

Materials

(1.0%)

-

continued

232,059

Element

Solutions,

Inc.

h

$

1,940,013

149

Eramet

SA

4,664

6,469

Ferro

Corporation

h

60,550

57,670

Ferroglobe

Representation

&

Warranty

Insurance

Trust

c,h

6

4,095

First

Majestic

Silver

Corporation

h

25,348

10,046

Gold

Road

Resources,

Ltd.

h

8,540

5,492

Granges

AB

26,982

65,059

Hecla

Mining

Company

118,407

7,599

Hexpol

AB

44,897

3,186

Hochschild

Mining

plc

4,163

1,400

Hokuetsu

Corporation

5,227

8,862

IAMGOLD

Corporation

h

20,205

12,791

Ingevity

Corporation

h

450,243

30,591

Innospec,

Inc.

2,125,769

532,897

Ivanhoe

Mines,

Ltd.

h

886,079

36,059

Kaiser

Aluminum

Corporation

2,498,168

582

Kirkland

Lake

Gold,

Ltd.

17,142

2,742

Koninklijke

DSM

NV

308,445

15,195

Kraton

Performance

Polymers,

Inc.

h

123,079

4,400

Kyoei

Steel,

Ltd.

50,542

900

Lintec

Corporation

18,836

291,578

Louisiana-Pacific

Corporation

5,009,310

519

MAG

Silver

Corporation

h

4,005

17,425

Martin

Marietta

Materials,

Inc.

3,297,333

26,856

Materion

Corporation

940,229

17,198

Minerals

Technologies,

Inc.

623,599

52,161

Myers

Industries,

Inc.

560,731

28,833

Neenah,

Inc.

1,243,567

8,500

Nippon

Light

Metal

Holdings

Company,

Ltd.

13,234

23,600

Nippon

Steel

Corporation

201,174

1,409

Northern

Star

Resources,

Ltd.

9,127

19,767

Nucor

Corporation

712,007

70,776

Nutanix,

Inc.

h

1,118,261

8,914

O-I

Glass,

Inc.

63,379

18,766

Olin

Corporation

218,999

6,008

Olympic

Steel,

Inc.

62,183

36,445

PPG

Industries,

Inc.

3,046,802

1,381

Quaker

Chemical

Corporation

174,393

7,756

Ramelius

Resources,

Ltd.

4,765

7,236

Reliance

Steel

&

Aluminum

Company

633,801

16,045

Resolute

Mining,

Ltd.

h

7,956

742

Rio

Tinto,

Ltd.

38,227

6,125

RPM

International,

Inc.

364,438

29,112

Ryerson

Holding

Corporation

h

154,876

12,045

Sandfire

Resources,

Ltd.

24,136

500

Sanyo

Special

Steel

Company,

Ltd.

4,467

785

Schnitzer

Steel

Industries,

Inc.

10,236

2,164

Sensient

Technologies

Corporation

94,156

2,754

Sherwin-Williams

Company

1,265,518

3,954

St

Barbara,

Ltd.

5,221

110,746

Steel

Dynamics,

Inc.

2,496,215

35,100

Sumitomo

Chemical

Company,

Ltd.

103,701

800

Taiyo

Holdings

Company,

Ltd.

29,925

3,700

Toagosei

Company,

Ltd.

32,031

40,600

Toray

Industries,

Inc.

175,738

2,800

Ube

Industries,

Ltd.

42,713

29,336

UFP

Technologies,

Inc.

h

1,117,408

30,553

United

States

Lime

&

Minerals,

Inc.

2,256,339

45,840

United

States

Steel

Corporation

g

289,250

5,944

UPM-Kymmene

Oyj

g

162,075

14,172

Verso

Corporation

h

159,860

4,147

W.

R.

Grace

&

Company

147,633

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

193

Shares

Common

Stock

(29.7%)

Value

Materials

(1.0%)

-

continued

4,594

Worthington

Industries,

Inc.

$

120,593

Total

52,753,593

Real

Estate

(1.6%)

123,209

Agree

Realty

Corporation

7,626,637

7,068

Alexandria

Real

Estate

Equities,

Inc.

968,740

2,535

Allied

Properties

REIT

80,591

2,669

Alstria

Office

REIT

AG

38,303

68,232

American

Campus

Communities,

Inc.

1,893,438

36,530

American

Tower

Corporation

7,954,407

39,232

Apartment

Investment

&

Management

Company

1,379,005

3,735

Ares

Commercial

Real

Estate

Corporation

26,108

24,932

Armada

Hoffler

Properties,

Inc.

266,772

49,156

Ascendas

REIT

97,330

6,400

Ascott

Trust

3,529

76,879

Ashford

Hospitality

Trust,

Inc.

56,829

1,230

AvalonBay

Communities,

Inc.

181,019

6,385

BBX

Capital

Corporation

14,749

496

Bluerock

Residential

Growth

REIT,

Inc.

2,763

33,174

Camden

Property

Trust

2,628,708

3,943

Castellum

AB

66,481

82,218

CBL

&

Associates

Properties,

Inc.

h

16,452

86,002

Cedar

Realty

Trust,

Inc.

80,248

2,071

Choice

Properties

REIT

19,013

13,919

City

Office

REIT,

Inc.

100,634

93

Cofinimmo

SA

12,078

15,248

Colony

Credit

Real

Estate,

Inc.

60,077

13,757

Columbia

Property

Trust,

Inc.

171,962

11,629

Corepoint

Lodging,

Inc.

45,586

27,113

CoreSite

Realty

Corporation

3,142,397

8,860

CoStar

Group,

Inc.

h

5,202,681

88,378

Cousins

Properties,

Inc.

2,586,824

2,300

Daito

Trust

Construction

Company,

Ltd.

213,586

52,615

DiamondRock

Hospitality

Company

267,284

5,645

Digital

Realty

Trust,

Inc.

784,147

46,548

Diversified

Healthcare

Trust

168,969

16,957

Douglas

Emmett,

Inc.

517,358

25,722

Duke

Realty

Corporation

832,878

6,739

EastGroup

Properties,

Inc.

704,091

967

Entra

ASA

i

11,551

10,889

EPR

Properties

263,732

2,580

Equity

Lifestyle

Properties,

Inc.

148,298

54,455

Equity

Residential

3,360,418

122,510

Essential

Properties

Realty

Trust,

Inc.

1,599,981

5,699

Essex

Property

Trust,

Inc.

1,255,148

15,385

Farmland

Partners,

Inc.

93,387

81,774

First

Industrial

Realty

Trust,

Inc.

2,717,350

26,705

Four

Corners

Property

Trust,

Inc.

499,651

12,766

Franklin

Street

Properties

Corporation

73,149

24,647

Gaming

and

Leisure

Properties,

Inc.

682,968

4,915

Getty

Realty

Corporation

116,682

3,707

Granite

REIT

153,122

19,596

Healthcare

Realty

Trust,

Inc.

547,316

30,576

Healthcare

Trust

of

America,

Inc.

742,385

54,687

Host

Hotels

&

Resorts,

Inc.

603,744

7,912

Hudson

Pacific

Properties,

Inc.

200,648

8,000

Hysan

Development

Company,

Ltd.

25,835

19,825

Industrial

Logistics

Properties

Trust

347,730

8,158

Innovative

Industrial

Properties,

Inc.

619,437

7,288

Investors

Real

Estate

Trust

400,840

22,100

iSTAR

Financial,

Inc.

234,481

Shares

Common

Stock

(29.7%)

Value

Real

Estate

(1.6%)

-

continued

194

Japan

Hotel

REIT

Investment

Corporation

$

56,632

9,908

Jones

Lang

LaSalle,

Inc.

1,000,510

80,895

Kilroy

Realty

Corporation

5,153,012

30,933

Kite

Realty

Group

Trust

292,936

667

Kungsleden

AB

5,017

8,471

Lamar

Advertising

Company

434,393

22,054

Lexington

Realty

Trust

218,996

29,425

Macerich

Company

165,663

13,300

Mapletree

Commercial

Trust

17,058

116,067

Medical

Properties

Trust,

Inc.

2,006,798

3,132

National

Health

Investors,

Inc.

155,097

47,701

National

Retail

Properties,

Inc.

1,535,495

213,702

National

Storage

Affiliates

Trust

6,325,579

14,729

New

Residential

Investment

Corporation

73,792

11,206

One

Liberty

Properties,

Inc.

156,100

16,439

Pebblebrook

Hotel

Trust

179,021

12,572

Physicians

Realty

Trust

175,254

3,689

Plymouth

Industrial

REIT,

Inc.

41,169

9,475

PotlatchDeltic

Corporation

297,420

26,444

Preferred

Apartment

Communities,

Inc.

189,868

5,295

PS

Business

Parks,

Inc.

717,578

2,553

PSP

Swiss

Property

AG

319,251

11,697

QTS

Realty

Trust,

Inc.

678,543

5,063

Quebecor,

Inc.

111,923

53,448

Retail

Properties

of

America,

Inc.

276,326

36,399

Rexford

Industrial

Realty,

Inc.

1,492,723

1,395

RioCan

REIT

15,989

1,994

RMR

Group,

Inc.

53,778

10,000

Road

King

Infrastructure,

Ltd.

15,018

17,802

RPT

Realty

107,346

59,567

Sabra

Health

Care

REIT,

Inc.

650,472

15,424

SBA

Communications

Corporation

4,164,017

106,486

Service

Properties

Trust

575,024

19,502

Spirit

Realty

Capital,

Inc.

509,977

6,651

STAG

Industrial,

Inc.

149,781

35,606

Store

Capital

Corporation

645,181

10,637

Summit

Hotel

Properties,

Inc.

44,888

214,201

Sunstone

Hotel

Investors,

Inc.

1,865,691

1,004

Swiss

Prime

Site

AG

97,720

8,199

TAG

Immobilien

AG

161,246

13,993

Taubman

Centers,

Inc.

586,027

22,758

Terreno

Realty

Corporation

1,177,727

38,683

UDR,

Inc.

1,413,477

12,590

UMH

Properties,

Inc.

136,727

69,838

Uniti

Group,

Inc.

421,123

575

Universal

Health

Realty

Income

Trust

57,966

6,055

Urstadt

Biddle

Properties,

Inc.

85,376

22,449

Washington

Prime

Group,

Inc.

18,074

22,800

Wing

Tai

Holdings,

Ltd.

24,847

Total

87,963,153

Utilities

(0.4%)

1,866

AGL

Energy,

Ltd.

19,528

4,770

ALLETE,

Inc.

289,444

17,726

Alliant

Energy

Corporation

855,989

2,517

American

States

Water

Company

205,740

15,720

Artesian

Resources

Corporation

587,614

11,091

Avista

Corporation

471,257

10,312

Black

Hills

Corporation

660,277

3,782

California

Water

Service

Group

190,310

3,257

Chesapeake

Utilities

Corporation

279,157

14,934

CMS

Energy

Corporation

877,373

13,436

Consolidated

Water

Company,

Ltd.

220,350

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

194

Shares

Common

Stock

(29.7%)

Value

Utilities

(0.4%)

-

continued

8,748

DTE

Energy

Company

$

830,798

5,239

Enagas

SA

103,351

28,739

Enel

SPA

198,237

14,404

Entergy

Corporation

1,353,544

4,303

Essential

Utilities,

Inc

175,132

32,782

Exelon

Corporation

1,206,705

7,537

FirstEnergy

Corporation

302,008

10,670

IDACORP,

Inc.

936,719

2,914

MGE

Energy,

Inc.

190,780

2,354

Middlesex

Water

Company

141,522

4,369

National

Fuel

Gas

Company

162,920

20,274

New

Jersey

Resources

Corporation

688,708

1,504

NextEra

Energy,

Inc.

361,892

1,420

Northland

Power,

Inc.

28,344

4,861

Northwest

Natural

Holding

Company

300,167

23,946

NorthWestern

Corporation

1,432,689

17,832

OGE

Energy

Corporation

547,977

7,652

Otter

Tail

Corporation

340,208

81,053

PNM

Resources,

Inc.

3,080,014

29,431

Portland

General

Electric

Company

1,410,922

10,271

PPL

Corporation

253,488

6,066

Public

Service

Enterprise

Group,

Inc.

272,424

1,724

SJW

Group

99,595

11,516

South

Jersey

Industries,

Inc.

287,900

8,910

Southwest

Gas

Holdings,

Inc.

619,780

24,108

Spire,

Inc.

1,795,564

15,548

UGI

Corporation

414,665

7,320

Unitil

Corporation

382,982

385

Verbund

AG

13,886

Total

22,589,960

Total

Common

Stock

(cost

$1,549,288,239)

1,639,981,966

Principal

Amount

Long-Term

Fixed

Income

(

20.3%

)

Value

Asset-Backed

Securities

(0.7%)

Access

Group,

Inc.

164,808

1.447%, 

(LIBOR

1M

+

0.500%),

2/25/2036,

Ser.

2013-1,

Class

A

b,i

157,217

Aimco

1,000,000

3.122%, 

(LIBOR

3M

+

1.320%),

7/22/2032,

Ser.

2019-10A,

Class

A

b,i

928,136

Ares

CLO,

Ltd.

1,500,000

3.236%, 

(LIBOR

3M

+

1.400%),

10/17/2030,

Ser.

2018-28RA,

Class

A2

b,i

1,383,416

Ares

XXXIIR

CLO,

Ltd.

750,000

2.632%, 

(LIBOR

3M

+

0.940%),

5/15/2030,

Ser.

2014-32RA,

Class

A1A

b,i

708,489

Benefit

Street

Partners

CLO

IV,

Ltd.

1,000,000

3.569%, 

(LIBOR

3M

+

1.750%),

1/20/2029,

Ser.

2014-IVA,

Class

A2RR

b,i

925,539

Betony

CLO,

Ltd.

350,000

2.850%, 

(LIBOR

3M

+

1.080%),

4/30/2031,

Ser.

2018-1A,

Class

A1

b,i

327,653

Buttermilk

Park

CLO,

Ltd.

2,575,000

3.231%, 

(LIBOR

3M

+

1.400%),

10/15/2031,

Ser.

2018-1A,

Class

A2

b,i

2,349,389

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Asset-Backed

Securities

(0.7%)

-

continued

Carlyle

Global

Market

Strategies

CLO,

Ltd.

$

1,675,000

3.281%, 

(LIBOR

3M

+

1.450%),

7/15/2031,

Ser.

2014-5A,

Class

A2RR

b,i

$

1,505,163

Carvana

Auto

Receivables

Trust

100,000

2.340%, 

6/15/2023,

Ser.

2019-3A,

Class

A3

i

98,203

CBAM,

Ltd.

1,600,000

3.111%, 

(LIBOR

3M

+

1.280%),

2/12/2030,

Ser.

2019-9A,

Class

A

b,i

1,533,498

Colony

American

Finance

Trust

1,722,761

2.835%, 

6/15/2052,

Ser.

2019-2,

Class

A

i

1,640,202

Commonbond

Student

Loan

Trust

373,861

1.447%, 

(LIBOR

1M

+

0.500%),

2/25/2044,

Ser.

2018-AGS,

Class

A2

b,i

363,861

CoreVest

American

Finance

Trust

1,990,284

2.705%, 

10/15/2052,

Ser.

2019-3,

Class

A

i

1,889,162

Deephaven

Residential

Mortgage

Trust

757,435

4.080%, 

10/25/2058,

Ser.

2018-4A,

Class

A1

b,i

768,048

DRB

Prime

Student

Loan

Trust

111,616

3.516%, 

(LIBOR

1M

+

1.900%),

10/27/2031,

Ser.

2015-B,

Class

A1

b,i

111,973

Dryden

Senior

Loan

Fund

1,450,000

3.219%, 

(LIBOR

3M

+

1.400%),

7/18/2030,

Ser.

2018-65A,

Class

A2

b,i

1,340,625

Earnest

Student

Loan

Program,

LLC

576,674

3.020%, 

5/25/2034,

Ser.

2016-B,

Class

A2

i

572,603

Edlinc

Student

Loan

Funding

Trust

26,117

3.270%, 

(CMT

3M

+

3.150%),

10/1/2025,

Ser.

2012-A,

Class

AT

b,i

26,128

Galaxy

XX

CLO,

Ltd.

1,200,000

2.819%, 

(LIBOR

3M

+

1.000%),

4/20/2031,

Ser.

2015-20A,

Class

AR

b,i

1,127,168

Golub

Capital

Partners,

Ltd.

750,000

2.999%, 

(LIBOR

3M

+

1.180%),

1/20/2031,

Ser.

2015-22A,

Class

AR

b,i

695,737

1,095,000

3.019%, 

(LIBOR

3M

+

1.200%),

1/20/2031,

Ser.

2015-23A,

Class

AR

b,i

1,013,991

Goodgreen

1,345,422

3.860%, 

10/15/2054,

Ser.

2019-1A,

Class

A

i

1,357,201

Home

Partners

of

America

Trust

1,952,582

2.908%, 

9/17/2039,

Ser.

2019-1,

Class

A

i

1,893,554

1,953,358

2.703%, 

10/19/2039,

Ser.

2019-2,

Class

A

i

1,835,242

Laurel

Road

Prime

Student

Loan

Trust

605,061

2.810%, 

11/25/2042,

Ser.

2017-C,

Class

A2B

i

605,977

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

195

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Asset-Backed

Securities

(0.7%)

-

continued

Madison

Park

Funding

XIV,

Ltd.

$

1,200,000

3.202%, 

(LIBOR

3M

+

1.400%),

10/22/2030,

Ser.

2014-14A,

Class

A2RR

b,i

$

1,090,550

Magnetite

XII,

Ltd.

1,200,000

2.931%, 

(LIBOR

3M

+

1.100%),

10/15/2031,

Ser.

2015-12A,

Class

ARR

b,i

1,125,442

Mountain

View

CLO,

Ltd.

850,000

2.951%, 

(LIBOR

3M

+

1.120%),

7/15/2031,

Ser.

2015-9A,

Class

A1R

b,i

779,409

National

Collegiate

Trust

621,064

1.242%, 

(LIBOR

1M

+

0.295%),

5/25/2031,

Ser.

2007-A,

Class

A

b,i

584,486

Neuberger

Berman

CLO

XIV,

Ltd.

1,250,000

2.646%, 

(LIBOR

3M

+

1.030%),

1/28/2030,

Ser.

2013-14A,

Class

AR2

b,i

1,197,913

Neuberger

Berman

CLO,

Ltd.

500,000

2.646%, 

(LIBOR

3M

+

1.030%),

4/22/2029,

Ser.

2014-17A,

Class

AR2

b,i

477,896

Octagon

Investment

Partners

XVI,

Ltd.

250,000

3.236%, 

(LIBOR

3M

+

1.400%),

7/17/2030,

Ser.

2013-1A,

Class

A2R

b,i

229,476

OZLM

VIII,

Ltd.

385,000

3.006%, 

(LIBOR

3M

+

1.170%),

10/17/2029,

Ser.

2014-8A,

Class

A1RR

b,i

366,262

Palmer

Square

Loan

Funding,

Ltd.

1,452,624

2.669%, 

(LIBOR

3M

+

0.850%),

1/20/2027,

Ser.

2018-5A,

Class

A1

b,i

1,403,483

850,000

3.469%, 

(LIBOR

3M

+

1.650%),

4/20/2027,

Ser.

2019-1A,

Class

A2

b,i

819,664

PPM

CLO

3,

Ltd.

750,000

3.236%, 

(LIBOR

3M

+

1.400%),

7/17/2030,

Ser.

2019-3A,

Class

A

b,i

703,551

Progress

Residential

Trust

2,000,000

3.422%, 

8/17/2035,

Ser.

2019-SFR1,

Class

A

i

1,983,150

RCO

Mortgage,

LLC

639,520

4.458%, 

10/25/2023,

Ser.

2018-2,

Class

A1

i,j

605,391

Saxon

Asset

Securities

Trust

430,017

3.765%, 

8/25/2035,

Ser.

2004-2,

Class

MF2

b

358,718

Shackleton

CLO,

Ltd.

800,000

3.001%, 

(LIBOR

3M

+

1.170%),

7/15/2031,

Ser.

2015-7RA,

Class

A1

b,i

744,154

SLM

Student

Loan

Trust

35,396

1.467%, 

(LIBOR

1M

+

0.520%),

3/25/2026,

Ser.

2011-1,

Class

A1

b

35,364

U.S.

Small

Business

Administration

148,235

3.191%, 

3/10/2024,

Ser.

2014-10A,

Class

1

152,709

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Asset-Backed

Securities

(0.7%)

-

continued

Voya

CLO,

Ltd.

$

750,000

3.031%, 

(LIBOR

3M

+

1.200%),

10/15/2030,

Ser.

2012-4A,

Class

A1AR

b,i

$

704,208

Total

38,520,001

Basic

Materials

(0.2%)

Anglo

American

Capital

plc

13,000

4.125%, 

9/27/2022

i

12,815

470,000

4.875%, 

5/14/2025

i

456,044

Cleveland-Cliffs,

Inc.

400,000

5.750%, 

3/1/2025

g

309,000

Dow

Chemical

Company

350,000

4.800%, 

11/30/2028

377,591

DowDuPont,

Inc.

700,000

4.493%, 

11/15/2025

752,823

First

Quantum

Minerals,

Ltd.

570,000

7.500%, 

4/1/2025

i

474,348

Freeport-McMoRan,

Inc.

280,000

4.125%, 

3/1/2028

245,109

310,000

4.250%, 

3/1/2030

269,328

Glencore

Funding,

LLC

224,000

4.125%, 

5/30/2023

i

206,385

300,000

4.000%, 

3/27/2027

i

273,118

International

Paper

Company

600,000

4.350%, 

8/15/2048

580,962

Kinross

Gold

Corporation

7,000

5.125%, 

9/1/2021

7,017

218,000

5.950%, 

3/15/2024

220,180

635,000

4.500%, 

7/15/2027

597,668

Krayton

Polymers,

LLC

380,000

7.000%, 

4/15/2025

i

336,300

Norbord,

Inc.

420,000

5.750%, 

7/15/2027

i

383,424

Novelis

Corporation

485,000

5.875%, 

9/30/2026

i

475,962

130,000

4.750%, 

1/30/2030

i

115,700

Olin

Corporation

495,000

5.125%, 

9/15/2027

442,315

Peabody

Securities

Finance

Corporation

775,000

6.375%, 

3/31/2025

i

403,000

Sherwin-Williams

Company

540,000

3.125%, 

6/1/2024

537,141

Syngenta

Finance

NV

525,000

3.933%, 

4/23/2021

i

494,723

Teck

Resources,

Ltd.

839,000

6.125%, 

10/1/2035

771,360

Tronox

Finance

plc

450,000

5.750%, 

10/1/2025

i

401,625

Vale

Overseas,

Ltd.

340,000

6.250%, 

8/10/2026

367,207

168,000

6.875%, 

11/21/2036

186,566

WestRock

Company

470,000

3.750%, 

3/15/2025

472,559

Xstrata

Finance

Canada,

Ltd.

10,000

4.950%, 

11/15/2021

i

9,903

Total

10,180,173

Capital

Goods

(0.3%)

AECOM

770,000

5.125%, 

3/15/2027

693,000

Amsted

Industries,

Inc.

555,000

5.625%, 

7/1/2027

i

539,968

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

196

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Capital

Goods

(0.3%)

-

continued

Ardagh

Packaging

Finance

plc

$

760,000

6.000%, 

2/15/2025

i

$

762,128

Bombardier,

Inc.

705,000

7.500%, 

3/15/2025

i

488,213

Building

Materials

Corporation

of

America

710,000

6.000%, 

10/15/2025

i

697,788

Cemex

SAB

de

CV

260,000

5.450%, 

11/19/2029

i

210,990

Cintas

Corporation

No.

2

10,000

2.900%, 

4/1/2022

10,000

345,000

3.700%, 

4/1/2027

353,676

CNH

Industrial

Capital,

LLC

480,000

4.875%, 

4/1/2021

469,138

CNH

Industrial

NV

300,000

3.850%, 

11/15/2027

289,152

Covanta

Holding

Corporation

390,000

6.000%, 

1/1/2027

324,837

Crown

Americas

Capital

Corporation

IV

720,000

4.500%, 

1/15/2023

737,287

H&E

Equipment

Services,

Inc.

370,000

5.625%, 

9/1/2025

343,175

Ingersoll-Rand

Luxembourg

Finance

SA

650,000

3.500%, 

3/21/2026

650,268

L3Harris

Technologies,

Inc.

705,000

3.950%, 

5/28/2024

i

738,990

Lockheed

Martin

Corporation

480,000

3.600%, 

3/1/2035

564,905

448,000

4.500%, 

5/15/2036

513,475

120,000

6.150%, 

9/1/2036

160,262

Northrop

Grumman

Corporation

820,000

3.850%, 

4/15/2045

866,271

Owens-Brockway

Glass

Container,

Inc.

960,000

5.000%, 

1/15/2022

i

969,744

Republic

Services,

Inc.

335,000

2.900%, 

7/1/2026

338,611

Reynolds

Group

Issuer,

Inc.

820,000

5.125%, 

7/15/2023

i

813,842

Rockwell

Collins,

Inc.

420,000

2.800%, 

3/15/2022

424,301

Roper

Technologies,

Inc.

185,000

3.650%, 

9/15/2023

190,194

240,000

4.200%, 

9/15/2028

258,401

Siemens

Financieringsmaatschappij

NV

682,000

4.200%, 

3/16/2047

i

796,366

Textron,

Inc.

720,000

3.375%, 

3/1/2028

690,254

TransDigm,

Inc.

210,000

6.250%, 

3/15/2026

i

208,950

600,000

5.500%, 

11/15/2027

i

538,500

United

Rentals

North

America,

Inc.

150,000

4.875%, 

1/15/2028

145,500

805,000

4.000%, 

7/15/2030

720,475

United

Technologies

Corporation

750,000

4.450%, 

11/16/2038

859,443

600,000

3.750%, 

11/1/2046

629,347

600,000

4.050%, 

5/4/2047

659,209

Total

17,656,660

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Collateralized

Mortgage

Obligations

(0.5%)

Ajax

Mortgage

Loan

Trust

$

1,374,068

4.360%, 

9/25/2065,

Ser.

2018-C,

Class

A

b,i

$

1,352,355

Angel

Oak

Mortgage

Trust

I,

LLC

463,436

3.500%, 

7/25/2046,

Ser.

2016-1,

Class

A1

i

451,144

Banc

of

America

Alternative

Loan

Trust

25,838

6.000%, 

11/25/2035,

Ser.

2005-10,

Class

3CB1

22,292

Bayview

Koitere

Fund

Trust

596,104

4.000%, 

11/28/2053,

Ser.

2017-SPL3,

Class

A

b,i

595,005

Bellemeade

Re,

Ltd.

374,617

2.547%, 

(LIBOR

1M

+

1.600%),

4/25/2028,

Ser.

2018-1A,

Class

M1B

b,i

371,769

787,650

2.047%, 

(LIBOR

1M

+

1.100%),

7/25/2029,

Ser.

2019-3A,

Class

M1A

b,i

783,783

BRAVO

Residential

Funding

Trust

311,528

3.500%, 

3/25/2058,

Ser.

2019-1,

Class

A1C

i

312,472

856,901

2.748%, 

11/25/2059,

Ser.

2019-NQM2,

Class

A1

b,i

827,668

Citicorp

Mortgage

Securities,

Inc.

1,251,507

6.000%, 

7/25/2037,

Ser.

2007-6,

Class

1A4

1,126,539

Citigroup

Mortgage

Loan

Trust,

Inc.

197,561

5.500%, 

11/25/2035,

Ser.

2005-9,

Class

21A2

184,928

9,896

4.032%, 

3/25/2037,

Ser.

2007-AR4,

Class

2A1A

b

7,281

COLT

Funding,

LLC

224,621

3.470%, 

7/27/2048,

Ser.

2018-2,

Class

A1

b,i

221,442

Countrywide

Alternative

Loan

Trust

238,240

3.358%, 

10/25/2035,

Ser.

2005-43,

Class

4A1

b

201,241

282,718

6.500%, 

8/25/2036,

Ser.

2006-23CB,

Class

2A3

147,048

697,417

7.000%, 

10/25/2037,

Ser.

2007-24,

Class

A10

367,883

Countrywide

Home

Loans,

Inc.

240,095

5.750%, 

4/25/2037,

Ser.

2007-3,

Class

A27

172,418

Credit

Suisse

First

Boston

Mortgage

Securities

Corporation

18,522

5.250%, 

10/25/2035,

Ser.

2005-9,

Class

1A3

17,520

Credit

Suisse

Mortgage

Capital

Certificates

1,252,126

3.393%, 

2/25/2024,

Ser.

2020-BPL1,

Class

A1

i,j

1,238,874

Credit

Suisse

Mortgage

Trust

1,590,870

3.850%, 

9/25/2057,

Ser.

2018-RPL9,

Class

A1

b,i

1,620,365

Deutsche

Alt-A

Securities,

Inc.,

Mortgage

Loan

Trust

114,736

6.000%, 

10/25/2021,

Ser.

2006-AR5,

Class

23A

97,415

Ellington

Financial

Mortgage

Trust

1,026,696

4.140%, 

10/25/2058,

Ser.

2018-1,

Class

A1FX

b,i

1,014,203

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

197

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Collateralized

Mortgage

Obligations

(0.5%)

-

continued

Federal

Home

Loan

Mortgage

Corporation

-

REMIC

$

914,968

4.000%, 

7/15/2031,

Ser.

4104,

Class

KI

k

$

60,460

710,414

3.000%, 

2/15/2033,

Ser.

4170,

Class

IG

k

67,183

1,610,505

3.000%, 

3/15/2033,

Ser.

4180,

Class

PI

k

145,606

Federal

National

Mortgage

Association

-

REMIC

2,569,890

3.000%, 

12/25/2027,

Ser.

2012-137,

Class

AI

k

165,292

Galton

Funding

Mortgage

Trust

2017-1

930,823

4.500%, 

10/25/2058,

Ser.

2018-2,

Class

A41

b,i

933,580

GS

Mortgage-Backed

Securities

Trust

1,565,879

2.625%, 

1/25/2059,

Ser.

2019-SL1,

Class

A1

b,i

1,532,937

J.P.

Morgan

Alternative

Loan

Trust

85,883

6.500%, 

3/25/2036,

Ser.

2006-S1,

Class

1A19

62,846

MASTR

Alternative

Loans

Trust

461,742

1.397%, 

(LIBOR

1M

+

0.450%),

12/25/2035,

Ser.

2005-6,

Class

2A1

b

103,842

Merrill

Lynch

Alternative

Note

Asset

Trust

189,442

6.000%, 

3/25/2037,

Ser.

2007-F1,

Class

2A1

121,880

MFRA

Trust

912,577

4.164%, 

7/25/2048,

Ser.

2018-NPL2,

Class

A1

i,j

903,955

Preston

Ridge

Partners

Mortgage

Trust,

LLC

952,546

4.500%, 

1/25/2024,

Ser.

2019-1A,

Class

A1

i,j

961,502

RCO

Mortgage,

LLC

1,375,533

4.270%, 

12/26/2053,

Ser.

2018-VFS1,

Class

A1

b,i

1,349,226

Renaissance

Home

Equity

Loan

Trust

1,119,906

5.580%, 

11/25/2036,

Ser.

2006-3,

Class

AF2

j

516,111

Residential

Accredit

Loans,

Inc.

Trust

472,215

6.000%, 

8/25/2035,

Ser.

2005-QS10,

Class

2A

429,773

33,143

5.750%, 

9/25/2035,

Ser.

2005-QS13,

Class

2A3

29,772

Residential

Funding

Mortgage

Security

I

Trust

109,597

6.000%, 

7/25/2037,

Ser.

2007-S7,

Class

A20

97,384

Sequoia

Mortgage

Trust

342,916

3.676%, 

9/20/2046,

Ser.

2007-1,

Class

4A1

b

241,742

Structured

Adjustable

Rate

Mortgage

Loan

Trust

42,310

4.035%, 

9/25/2035,

Ser.

2005-18,

Class

1A1

b

30,179

Structured

Asset

Mortgage

Investments,

Inc.

57,711

1.257%, 

(LIBOR

1M

+

0.310%),

12/25/2035,

Ser.

2005-AR4,

Class

A1

b

49,084

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Collateralized

Mortgage

Obligations

(0.5%)

-

continued

Toorak

Mortgage

Corporation

$

1,050,000

4.458%, 

3/25/2022,

Ser.

2019-1,

Class

A1

i,j

$

920,133

4,000,000

3.721%, 

9/25/2022,

Ser.

2019-2,

Class

A1

3,572,747

750,000

2.734%, 

3/25/2023,

Ser.

2020-1,

Class

A1

i,j

740,753

Verus

Securitization

Trust

222,194

2.853%, 

1/25/2047,

Ser.

2017-1A,

Class

A1

b,i

216,807

370,426

2.485%, 

7/25/2047,

Ser.

2017-2A,

Class

A1

b,i

359,156

248,912

3.836%, 

2/25/2059,

Ser.

2019-1,

Class

A1

b,i

241,542

176,307

3.211%, 

5/25/2059,

Ser.

2019-2,

Class

A1

b,i

172,625

352,619

3.345%, 

5/25/2059,

Ser.

2019-2,

Class

A2

b,i

345,210

1,439,879

2.913%, 

7/25/2059,

Ser.

2019-INV2,

Class

A1

b,i

1,417,535

WaMu

Mortgage

Pass

Through

Certificates

91,987

3.706%, 

9/25/2036,

Ser.

2006-AR10,

Class

1A2

b

77,718

216,549

3.689%, 

10/25/2036,

Ser.

2006-AR12,

Class

1A1

b

188,521

Total

27,188,746

Commercial

Mortgage-Backed

Securities

(0.2%)

Citigroup

Commercial

Mortgage

Trust

1,700,000

3.102%, 

12/15/2072,

Ser.

2019-C7,

Class

A4

1,759,563

Federal

Home

Loan

Mortgage

Corporation

Multifamily

Structured

Pass

Through

Certificates

800,098

3.000%, 

3/15/2045,

Ser.

4741,

Class

GA

843,042

Federal

National

Mortgage

Association

-

ACES

2,250,000

3.555%, 

9/25/2028,

Ser.

2019-M1,

Class

A2

b

2,565,968

3,250,000

3.639%, 

8/25/2030,

Ser.

2018-M12,

Class

A2

b

3,710,224

GS

Mortgage

Securities

Trust

2,450,000

3.666%, 

9/10/2047,

Ser.

2014-GC24,

Class

A4

2,538,102

UBS

Commercial

Mortgage

Trust

1,350,000

2.921%, 

10/15/2052,

Ser.

2019-C17,

Class

A4

1,400,670

Total

12,817,569

Communications

Services

(0.7%)

AMC

Networks,

Inc.

310,000

5.000%, 

4/1/2024

297,600

American

Tower

Corporation

10,000

2.800%, 

6/1/2020

9,921

525,000

2.900%, 

1/15/2030

510,887

AT&T,

Inc.

750,000

4.350%, 

3/1/2029

806,421

281,000

4.300%, 

2/15/2030

302,446

480,000

5.250%, 

3/1/2037

558,827

700,000

4.900%, 

8/15/2037

785,616

336,000

6.350%, 

3/15/2040

425,581

355,000

5.550%, 

8/15/2041

404,217

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

198

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Communications

Services

(0.7%)

-

continued

$

580,000

5.450%, 

3/1/2047

$

696,424

British

Sky

Broadcasting

Group

plc

455,000

3.125%, 

11/26/2022

i

462,738

British

Telecommunications

plc

700,000

4.500%, 

12/4/2023

733,371

CCO

Holdings,

LLC

600,000

5.500%, 

5/1/2026

i

607,560

380,000

5.125%, 

5/1/2027

i

382,459

900,000

4.750%, 

3/1/2030

i

897,750

CCOH

Safari,

LLC

30,000

5.750%, 

2/15/2026

i

30,312

Charter

Communications

Operating,

LLC

217,000

6.834%, 

10/23/2055

257,029

300,000

4.500%, 

2/1/2024

309,151

595,000

4.200%, 

3/15/2028

610,745

1,410,000

6.484%, 

10/23/2045

1,723,875

Clear

Channel

Worldwide

Holdings,

Inc.

370,000

5.125%, 

8/15/2027

i

346,468

Comcast

Corporation

625,000

4.950%, 

10/15/2058

863,161

370,000

4.049%, 

11/1/2052

440,975

14,000

1.625%, 

1/15/2022

14,033

360,000

2.750%, 

3/1/2023

370,131

420,000

3.950%, 

10/15/2025

462,418

725,000

4.250%, 

10/15/2030

850,019

960,000

4.400%, 

8/15/2035

1,162,802

490,000

4.750%, 

3/1/2044

619,298

250,000

4.600%, 

8/15/2045

318,972

Cox

Communications,

Inc.

600,000

3.350%, 

9/15/2026

i

589,961

240,000

4.600%, 

8/15/2047

i

248,150

Crown

Castle

International

Corporation

336,000

5.250%, 

1/15/2023

356,349

480,000

3.200%, 

9/1/2024

478,580

CSC

Holdings,

LLC

220,000

5.500%, 

5/15/2026

i

227,557

Discovery

Communications,

LLC

600,000

4.900%, 

3/11/2026

610,198

Embarq

Corporation

400,000

7.995%, 

6/1/2036

396,000

Fox

Corporation

400,000

3.500%, 

4/8/2030

e

399,196

Front

Range

BidCo,

Inc.

510,000

4.000%, 

3/1/2027

i

488,006

Gray

Television,

Inc.

395,000

5.875%, 

7/15/2026

i

380,306

iHeartCommunications,

Inc.

550,000

4.750%, 

1/15/2028

i

495,000

Lamar

Media

Corporation

260,000

3.750%, 

2/15/2028

i

243,719

Level

3

Financing,

Inc.

920,000

4.625%, 

9/15/2027

i

914,388

Neptune

Finco

Corporation

798,000

10.875%, 

10/15/2025

i

859,845

Netflix,

Inc.

875,000

4.875%, 

4/15/2028

892,500

Nexstar

Escrow

Corporation

240,000

5.625%, 

8/1/2024

i

225,898

320,000

5.625%, 

7/15/2027

i

312,800

Omnicom

Group,

Inc.

224,000

3.600%, 

4/15/2026

223,580

400,000

4.200%, 

6/1/2030

412,476

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Communications

Services

(0.7%)

-

continued

SFR

Group

SA

$

540,000

7.375%, 

5/1/2026

i

$

545,400

Sirius

XM

Radio,

Inc.

780,000

5.000%, 

8/1/2027

i

791,622

Sprint

Corporation

750,000

7.250%, 

9/15/2021

773,025

695,000

7.625%, 

2/15/2025

769,122

Telefonica

Emisiones

SAU

525,000

4.570%, 

4/27/2023

560,627

Telesat

Canada

/

Telesat,

LLC

420,000

4.875%, 

6/1/2027

i

401,016

Time

Warner

Entertainment

Company,

LP

459,000

8.375%, 

3/15/2023

503,937

T-Mobile

USA,

Inc.

1,180,000

4.500%, 

2/1/2026

1,200,650

Verizon

Communications,

Inc.

874,000

3.376%, 

2/15/2025

937,515

245,000

2.792%, 

(LIBOR

3M

+

1.100%),

5/15/2025

b

223,323

1,594,000

4.272%, 

1/15/2036

1,862,209

Viacom,

Inc.

249,000

4.250%, 

9/1/2023

253,903

336,000

5.850%, 

9/1/2043

344,617

Virgin

Media

Secured

Finance

plc

635,000

5.500%, 

8/15/2026

i

644,525

Vodafone

Group

plc

800,000

4.875%, 

6/19/2049

883,793

Windstream

Services,

LLC

410,000

8.625%, 

10/31/2025

f,i

246,000

Ziggo

BV

342,000

5.500%, 

1/15/2027

i

342,000

Total

36,299,000

Consumer

Cyclical

(0.5%)

1011778

B.C.,

ULC

760,000

4.375%, 

1/15/2028

i

702,164

Allison

Transmission,

Inc.

545,000

5.000%, 

10/1/2024

i

528,650

Amazon.com,

Inc.

600,000

3.875%, 

8/22/2037

719,106

360,000

4.050%, 

8/22/2047

459,550

American

Honda

Finance

Corporation

800,000

2.150%, 

9/10/2024

780,959

Brookfield

Property

REIT,

Inc.

250,000

5.750%, 

5/15/2026

i

202,845

Brookfield

Residential

Properties,

Inc.

810,000

6.250%, 

9/15/2027

i

702,594

Cedar

Fair,

LP

290,000

5.250%, 

7/15/2029

i

245,050

CVS

Health

Corporation

600,000

3.625%, 

4/1/2027

614,863

D.R.

Horton,

Inc.

534,000

2.550%, 

12/1/2020

526,572

Daimler

Finance

North

America,

LLC

425,000

2.301%, 

(LIBOR

3M

+

0.550%),

5/4/2021

b,i

408,577

600,000

1.750%, 

3/10/2023

i

564,949

Ford

Motor

Credit

Company,

LLC

168,000

3.200%, 

1/15/2021

162,330

170,000

2.645%, 

(LIBOR

3M

+

1.270%),

3/28/2022

b

138,174

650,000

2.979%, 

8/3/2022

604,500

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

199

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Consumer

Cyclical

(0.5%)

-

continued

$

820,000

4.063%, 

11/1/2024

$

744,150

800,000

4.134%, 

8/4/2025

709,600

General

Motors

Company

625,000

1.796%, 

(LIBOR

3M

+

0.900%),

9/10/2021

b

564,040

General

Motors

Financial

Company,

Inc.

10,000

2.650%, 

4/13/2020

9,992

224,000

4.200%, 

3/1/2021

215,578

515,000

2.728%, 

(LIBOR

3M

+

0.850%),

4/9/2021

b

463,637

10,000

4.375%, 

9/25/2021

9,206

531,000

3.150%, 

6/30/2022

479,348

224,000

3.950%, 

4/13/2024

203,017

385,000

4.300%, 

7/13/2025

353,591

Hanesbrands,

Inc.

580,000

4.875%, 

5/15/2026

i

569,850

Herc

Holdings,

Inc.

210,000

5.500%, 

7/15/2027

i

195,300

Hilton

Domestic

Operating

Company,

Inc.

770,000

4.875%, 

1/15/2030

654,500

Home

Depot,

Inc.

360,000

3.350%, 

4/15/2050

391,449

10,000

2.625%, 

6/1/2022

10,172

575,000

5.400%, 

9/15/2040

748,489

336,000

4.250%, 

4/1/2046

401,378

840,000

3.900%, 

6/15/2047

944,686

Hyundai

Capital

America

1,200,000

3.000%, 

6/20/2022

i

1,165,598

L

Brands,

Inc.

199,000

6.694%, 

1/15/2027

143,678

Landry's,

Inc.

395,000

6.750%, 

10/15/2024

i

248,807

Lennar

Corporation

9,000

2.950%, 

11/29/2020

8,775

350,000

4.125%, 

1/15/2022

346,500

50,000

4.750%, 

11/15/2022

49,000

1,000,000

4.875%, 

12/15/2023

980,000

Mastercard,

Inc.

600,000

3.300%, 

3/26/2027

651,993

700,000

3.950%, 

2/26/2048

807,628

Mattamy

Group

Corporation

670,000

5.250%, 

12/15/2027

i

623,100

McDonald's

Corporation

335,000

2.750%, 

12/9/2020

333,509

600,000

2.125%, 

3/1/2030

g

559,002

575,000

4.450%, 

3/1/2047

622,730

MGM

Resorts

International

795,000

6.000%, 

3/15/2023

767,175

20,000

5.750%, 

6/15/2025

17,900

Prime

Security

Services

Borrower,

LLC

790,000

5.750%, 

4/15/2026

i

774,200

Ralph

Lauren

Corporation

10,000

2.625%, 

8/18/2020

10,010

Ryman

Hospitality

Properties,

Inc.

260,000

4.750%, 

10/15/2027

i

195,000

Scientific

Games

International,

Inc.

380,000

5.000%, 

10/15/2025

i

330,600

130,000

7.000%, 

5/15/2028

i

79,950

ServiceMaster

Company,

LLC

790,000

5.125%, 

11/15/2024

i

780,125

Six

Flags

Entertainment

Corporation

240,000

5.500%, 

4/15/2027

i

202,200

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Consumer

Cyclical

(0.5%)

-

continued

Staples,

Inc.

$

420,000

7.500%, 

4/15/2026

i

$

367,503

Target

Corporation

575,000

2.250%, 

4/15/2025

583,761

TJX

Companies,

Inc.

650,000

3.750%, 

4/15/2027

667,459

400,000

3.875%, 

4/15/2030

413,899

Viking

Cruises,

Ltd.

260,000

5.875%, 

9/15/2027

i

152,129

Visa,

Inc.

10,000

2.200%, 

12/14/2020

10,051

385,000

1.900%, 

4/15/2027

383,914

650,000

2.700%, 

4/15/2040

645,216

Volkswagen

Group

of

America

Finance,

LLC

860,000

4.250%, 

11/13/2023

i

849,706

Walmart,

Inc.

600,000

3.250%, 

7/8/2029

660,038

Yum!

Brands,

Inc.

550,000

4.750%, 

1/15/2030

i

512,270

Total

29,972,292

Consumer

Non-Cyclical

(0.8%)

Abbott

Laboratories

184,000

3.400%, 

11/30/2023

193,310

941,000

4.750%, 

11/30/2036

1,191,491

AbbVie,

Inc.

7,000

2.900%, 

11/6/2022

7,081

540,000

3.600%, 

5/14/2025

568,929

500,000

2.950%, 

11/21/2026

i

509,429

240,000

4.700%, 

5/14/2045

269,624

1,200,000

4.875%, 

11/14/2048

1,399,807

Albertson's

Companies,

Inc.

720,000

7.500%, 

3/15/2026

i

776,016

Allergan,

Inc.

700,000

2.800%, 

3/15/2023

695,901

Altria

Group,

Inc.

400,000

4.400%, 

2/14/2026

414,219

700,000

5.800%, 

2/14/2039

767,029

Amgen,

Inc.

600,000

3.375%, 

2/21/2050

625,587

300,000

3.125%, 

5/1/2025

314,380

Anheuser-Busch

Companies,

LLC

201,000

3.650%, 

2/1/2026

211,100

896,000

4.700%, 

2/1/2036

935,975

Anheuser-Busch

InBev

Finance,

Inc.

6,000

3.300%, 

2/1/2023

6,174

Anheuser-Busch

InBev

Worldwide,

Inc.

1,150,000

4.750%, 

4/15/2058

1,181,182

575,000

4.375%, 

4/15/2038

579,405

75,000

4.600%, 

4/15/2048

79,449

Anthem,

Inc.

590,000

4.625%, 

5/15/2042

656,247

Avantor,

Inc.

400,000

6.000%, 

10/1/2024

i

419,080

B&G

Foods,

Inc.

410,000

5.250%, 

9/15/2027

399,750

BAT

Capital

Corporation

360,000

3.222%, 

8/15/2024

361,586

480,000

4.540%, 

8/15/2047

438,034

Bausch

Health

Companies,

Inc.

355,000

7.000%, 

1/15/2028

i

368,135

100,000

5.000%, 

1/30/2028

i

94,670

100,000

5.250%, 

1/30/2030

i

93,500

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

200

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Consumer

Non-Cyclical

(0.8%)

-

continued

Baxalta,

Inc.

$

246,000

4.000%, 

6/23/2025

$

261,931

Becton,

Dickinson

and

Company

516,000

3.734%, 

12/15/2024

529,030

375,000

3.700%, 

6/6/2027

381,087

Biogen,

Inc.

650,000

5.200%, 

9/15/2045

841,001

Boston

Scientific

Corporation

336,000

7.375%, 

1/15/2040

484,869

Bristol-Myers

Squibb

Company

445,000

2.875%, 

8/15/2020

i

446,561

Bunge,

Ltd.

Finance

Corporation

190,000

3.500%, 

11/24/2020

191,575

Cargill,

Inc.

800,000

3.250%, 

5/23/2029

i

807,154

Centene

Corporation

780,000

4.750%, 

1/15/2025

789,750

120,000

4.250%, 

12/15/2027

i

120,228

280,000

4.625%, 

12/15/2029

i

281,400

Cigna

Corporation

120,000

2.721%, 

(LIBOR

3M

+

0.890%),

7/15/2023

b

111,575

480,000

4.125%, 

11/15/2025

513,967

525,000

3.050%, 

10/15/2027

507,118

590,000

4.800%, 

8/15/2038

663,082

Clorox

Company

720,000

3.100%, 

10/1/2027

750,774

Conagra

Brands,

Inc.

455,000

4.300%, 

5/1/2024

472,419

Constellation

Brands,

Inc.

470,000

3.600%, 

2/15/2028

459,889

CVS

Health

Corporation

7,000

2.750%, 

12/1/2022

7,047

236,000

3.700%, 

3/9/2023

245,673

110,000

4.000%, 

12/5/2023

114,859

580,000

4.100%, 

3/25/2025

610,402

1,440,000

4.875%, 

7/20/2035

1,637,892

Encompass

Health

Corporation

380,000

4.500%, 

2/1/2028

372,685

Energizer

Holdings,

Inc.

820,000

5.500%, 

6/15/2025

i

795,400

Express

Scripts

Holding

Company

7,000

4.750%, 

11/15/2021

7,354

740,000

4.800%, 

7/15/2046

793,578

General

Mills,

Inc.

320,000

2.875%, 

4/15/2030

319,360

HCA,

Inc.

1,120,000

5.375%, 

2/1/2025

1,139,589

Imperial

Brands

Finance

plc

825,000

3.875%, 

7/26/2029

i

772,317

Imperial

Tobacco

Finance

plc

80,000

2.950%, 

7/21/2020

i

79,847

JBS

USA,

LLC

395,000

5.750%, 

6/15/2025

i

398,950

810,000

5.500%, 

1/15/2030

i

836,325

Kimberly-Clark

Corporation

450,000

3.100%, 

3/26/2030

483,223

600,000

3.900%, 

5/4/2047

665,216

Kraft

Foods

Group,

Inc.

390,000

5.000%, 

6/4/2042

369,668

Kraft

Heinz

Foods

Company

750,000

3.375%, 

6/15/2021

751,380

570,000

3.750%, 

4/1/2030

i

543,639

Kroger

Company

300,000

2.800%, 

8/1/2022

304,163

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Consumer

Non-Cyclical

(0.8%)

-

continued

Medtronic,

Inc.

$

1,231,000

4.375%, 

3/15/2035

$

1,532,948

35,000

4.625%, 

3/15/2045

46,291

Merck

&

Company,

Inc.

88,000

3.700%, 

2/10/2045

103,718

Mylan,

Inc.

120,000

3.125%, 

1/15/2023

i

116,371

Nestle

Holdings,

Inc.

750,000

3.900%, 

9/24/2038

i

863,395

Par

Pharmaceutical,

Inc.

390,000

7.500%, 

4/1/2027

i

388,050

Pernod

Ricard

SA

5,000

5.750%, 

4/7/2021

i

5,145

Post

Holdings,

Inc.

440,000

5.750%, 

3/1/2027

i

450,872

Reynolds

American,

Inc.

672,000

5.700%, 

8/15/2035

739,905

Roche

Holdings,

Inc.

336,000

4.000%, 

11/28/2044

i

374,563

Scotts

Miracle-Gro

Company

420,000

4.500%, 

10/15/2029

400,050

Shire

Acquisitions

Investments

Ireland

Designated

Activity

Company

702,000

2.400%, 

9/23/2021

699,373

Simmons

Foods,

Inc.

310,000

5.750%, 

11/1/2024

i

281,418

Smithfield

Foods,

Inc.

350,000

2.650%, 

10/3/2021

i

327,633

Spectrum

Brands,

Inc.

650,000

5.750%, 

7/15/2025

607,750

Tenet

Healthcare

Corporation

210,000

4.625%, 

7/15/2024

200,025

570,000

5.125%, 

11/1/2027

i

544,350

Teva

Pharmaceutical

Finance

Netherlands

III

BV

3,000

2.200%, 

7/21/2021

2,866

340,000

2.800%, 

7/21/2023

310,247

Thermo

Fisher

Scientific,

Inc.

360,000

4.133%, 

3/25/2025

385,743

Tyson

Foods,

Inc.

236,000

3.550%, 

6/2/2027

244,528

UnitedHealth

Group,

Inc.

600,000

2.950%, 

10/15/2027

629,074

1,460,000

4.625%, 

7/15/2035

1,740,315

VRX

Escrow

Corporation

1,535,000

6.125%, 

4/15/2025

i

1,511,975

Zoetis,

Inc.

9,000

3.450%, 

11/13/2020

8,912

768,000

4.700%, 

2/1/2043

864,521

Total

46,799,105

Energy

(0.5%)

Archrock

Partners,

LP

230,000

6.250%, 

4/1/2028

i

158,700

BP

Capital

Markets

America,

Inc.

120,000

3.119%, 

5/4/2026

121,371

BP

Capital

Markets

plc

335,000

3.535%, 

11/4/2024

353,555

840,000

3.279%, 

9/19/2027

845,621

Buckeye

Partners,

LP

200,000

4.125%, 

3/1/2025

i

168,600

230,000

3.950%, 

12/1/2026

188,531

80,000

4.125%, 

12/1/2027

65,576

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

201

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Energy

(0.5%)

-

continued

Canadian

Natural

Resources,

Ltd.

$

585,000

3.450%, 

11/15/2021

$

546,000

Canadian

Oil

Sands,

Ltd.

315,000

9.400%, 

9/1/2021

i

339,301

Cheniere

Corpus

Christi

Holdings,

LLC

685,000

5.875%, 

3/31/2025

623,124

Cheniere

Energy

Partners,

LP

995,000

5.625%, 

10/1/2026

925,350

Chesapeake

Energy

Corporation

251,000

11.500%, 

1/1/2025

i

40,160

ConocoPhillips

590,000

6.500%, 

2/1/2039

744,673

Continental

Resources,

Inc.

525,000

4.500%, 

4/15/2023

288,769

Diamondback

Energy,

Inc.

1,200,000

3.500%, 

12/1/2029

846,255

El

Paso

Pipeline

Partners

Operating

Company,

LLC

355,000

4.300%, 

5/1/2024

354,803

Enagas

SA

1,140,000

5.500%, 

1/15/2028

i

592,800

Enbridge,

Inc.

400,000

2.900%, 

7/15/2022

367,324

Energy

Transfer

Operating,

LP

200,000

4.200%, 

9/15/2023

174,691

600,000

6.000%, 

6/15/2048

503,790

Energy

Transfer

Partners,

LP

265,000

4.900%, 

3/15/2035

208,497

250,000

5.150%, 

2/1/2043

188,457

EnLink

Midstream

Partners,

LP

450,000

4.850%, 

7/15/2026

221,265

Enterprise

Products

Operating,

LLC

172,000

5.100%, 

2/15/2045

172,051

EQT

Corporation

100,000

3.900%, 

10/1/2027

68,970

Exxon

Mobil

Corporation

600,000

4.327%, 

3/19/2050

734,213

Kinder

Morgan

Energy

Partners,

LP

14,000

3.450%, 

2/15/2023

13,682

585,000

6.500%, 

9/1/2039

573,036

Kinder

Morgan,

Inc.

530,000

6.500%, 

9/15/2020

531,189

Magellan

Midstream

Partners,

LP

315,000

5.000%, 

3/1/2026

311,460

Marathon

Petroleum

Corporation

708,000

4.750%, 

12/15/2023

670,360

230,000

6.500%, 

3/1/2041

213,452

MPLX,

LP

10,000

4.500%, 

7/15/2023

8,606

650,000

4.875%, 

12/1/2024

569,047

708,000

4.875%, 

6/1/2025

583,046

Murphy

Oil

Corporation

400,000

5.875%, 

12/1/2027

209,120

Nabors

Industries,

Inc.

370,000

5.750%, 

2/1/2025

81,400

Nabors

Industries,

Ltd.

120,000

7.250%, 

1/15/2026

i

40,800

Newfield

Exploration

Company

800,000

5.625%, 

7/1/2024

429,369

280,000

5.375%, 

1/1/2026

146,279

Noble

Energy,

Inc.

1,000,000

5.050%, 

11/15/2044

617,667

ONEOK,

Inc.

480,000

2.200%, 

9/15/2025

370,416

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Energy

(0.5%)

-

continued

$

360,000

3.100%, 

3/15/2030

$

270,657

Parsley

Energy,

LLC

650,000

5.625%, 

10/15/2027

i

458,250

Petrobras

Global

Finance

BV

385,000

5.093%, 

1/15/2030

i

351,313

Pioneer

Natural

Resources

Company

225,000

4.450%, 

1/15/2026

222,724

Plains

All

American

Pipeline,

LP

800,000

4.500%, 

12/15/2026

646,449

750,000

3.550%, 

12/15/2029

512,409

Regency

Energy

Partners,

LP

448,000

5.875%, 

3/1/2022

420,819

Sabine

Pass

Liquefaction,

LLC

351,000

6.250%, 

3/15/2022

340,452

426,000

5.625%, 

4/15/2023

396,364

480,000

5.750%, 

5/15/2024

450,500

Schlumberger

Holdings

Corporation

280,000

4.000%, 

12/21/2025

i

258,027

Southwestern

Energy

Company

665,000

7.500%, 

4/1/2026

435,575

Suncor

Energy,

Inc.

270,000

3.600%, 

12/1/2024

261,347

Sunoco

Logistics

Partners

Operations,

LP

10,000

4.400%, 

4/1/2021

9,968

475,000

4.000%, 

10/1/2027

375,953

Sunoco,

LP

290,000

5.500%, 

2/15/2026

250,931

435,000

5.875%, 

3/15/2028

361,050

Targa

Resources

Partners,

LP

490,000

5.375%, 

2/1/2027

403,270

Transocean,

Inc.

750,000

7.250%, 

11/1/2025

i

377,100

Viper

Energy

Partners,

LP

570,000

5.375%, 

11/1/2027

i

478,800

W&T

Offshore,

Inc.

395,000

9.750%, 

11/1/2023

i

92,849

Western

Gas

Partners,

LP

472,000

4.000%, 

7/1/2022

306,063

Williams

Companies,

Inc.

600,000

7.500%, 

1/15/2031

697,901

Williams

Partners,

LP

294,000

4.000%, 

11/15/2021

278,903

165,000

3.600%, 

3/15/2022

159,926

300,000

4.500%, 

11/15/2023

281,292

475,000

6.300%, 

4/15/2040

479,448

WPX

Energy,

Inc.

335,000

5.750%, 

6/1/2026

190,950

240,000

4.500%, 

1/15/2030

130,320

Total

25,110,986

Financials

(1.6%)

ABN

AMRO

Bank

NV

450,000

4.750%, 

7/28/2025

i

450,579

ACE

INA

Holdings,

Inc.

10,000

2.875%, 

11/3/2022

10,148

335,000

4.350%, 

11/3/2045

406,061

AerCap

Ireland

Capital,

Ltd.

224,000

4.625%, 

10/30/2020

217,293

420,000

3.500%, 

1/15/2025

356,825

575,000

3.875%, 

1/23/2028

438,439

Air

Lease

Corporation

1,000

2.500%, 

3/1/2021

920

Aircastle,

Ltd.

700,000

5.000%, 

4/1/2023

683,362

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

202

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Financials

(1.6%)

-

continued

Ally

Financial,

Inc.

$

270,000

5.750%, 

11/20/2025

$

264,114

American

International

Group,

Inc.

336,000

4.125%, 

2/15/2024

352,604

720,000

3.750%, 

7/10/2025

720,800

650,000

3.900%, 

4/1/2026

677,247

Athene

Global

Funding

6,000

4.000%, 

1/25/2022

i

6,062

Australia

and

New

Zealand

Banking

Group,

Ltd.

450,000

2.950%, 

7/22/2030

b,i

426,391

AvalonBay

Communities,

Inc.

500,000

3.500%, 

11/15/2025

513,859

Aviation

Capital

Group,

LLC

485,000

2.875%, 

1/20/2022

i

438,346

Avolon

Holdings

Funding,

Ltd.

350,000

5.250%, 

5/15/2024

i

298,078

Banco

Santander

SA

600,000

2.968%, 

(LIBOR

3M

+

1.120%),

4/12/2023

b

576,608

Bank

of

America

Corporation

5,000

2.738%, 

1/23/2022

b

4,994

300,000

3.499%, 

5/17/2022

b

303,525

595,000

3.300%, 

1/11/2023

616,272

475,000

2.881%, 

4/24/2023

b

476,824

10,000

3.550%, 

3/5/2024

b

10,366

448,000

4.000%, 

4/1/2024

477,597

750,000

4.200%, 

8/26/2024

797,187

1,070,000

4.000%, 

1/22/2025

1,129,912

650,000

3.458%, 

3/15/2025

b

670,386

600,000

3.093%, 

10/1/2025

b

612,207

500,000

3.824%, 

1/20/2028

b

518,602

600,000

2.496%, 

2/13/2031

b

575,651

561,000

5.875%, 

2/7/2042

794,790

Bank

of

Montreal

465,000

2.308%, 

(LIBOR

3M

+

0.460%),

4/13/2021

b

451,216

Bank

of

New

York

Mellon

Corporation

40,000

2.500%, 

4/15/2021

39,977

14,000

2.600%, 

2/7/2022

14,115

Bank

of

Nova

Scotia

950,000

2.259%, 

(LIBOR

3M

+

0.440%),

4/20/2021

b

930,960

510,000

2.700%, 

3/7/2022

519,624

Barclays

Bank

plc

112,000

10.179%, 

6/12/2021

i

119,034

Barclays

plc

790,000

3.250%, 

1/12/2021

784,699

725,000

4.610%, 

2/15/2023

b

737,642

448,000

3.650%, 

3/16/2025

438,140

Boston

Properties,

LP

525,000

4.500%, 

12/1/2028

577,366

BPCE

SA

300,000

3.000%, 

5/22/2022

i

296,999

840,000

3.500%, 

10/23/2027

i

818,345

Camden

Property

Trust

900,000

3.150%, 

7/1/2029

887,038

Capital

One

Financial

Corporation

466,000

3.050%, 

3/9/2022

465,288

750,000

4.200%, 

10/29/2025

747,364

Capital

One

NA

800,000

2.150%, 

9/6/2022

779,941

Cascades

USA,

Inc.

390,000

5.125%, 

1/15/2026

i

377,325

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Financials

(1.6%)

-

continued

CIT

Group,

Inc.

$

905,000

5.000%, 

8/15/2022

$

882,413

160,000

5.250%, 

3/7/2025

156,000

Citigroup,

Inc.

537,000

2.750%, 

4/25/2022

539,789

244,000

4.050%, 

7/30/2022

248,386

366,000

3.142%, 

1/24/2023

b

370,567

910,000

4.400%, 

6/10/2025

984,550

448,000

3.200%, 

10/21/2026

464,009

1,070,000

3.668%, 

7/24/2028

b

1,108,734

336,000

4.125%, 

7/25/2028

344,817

600,000

3.520%, 

10/27/2028

b

600,784

700,000

3.878%, 

1/24/2039

b

693,367

348,000

4.650%, 

7/23/2048

418,921

CNA

Financial

Corporation

250,000

3.900%, 

5/1/2029

249,409

Comerica,

Inc.

180,000

3.700%, 

7/31/2023

184,720

Commerzbank

AG

600,000

8.125%, 

9/19/2023

i

627,209

Compass

Bank

500,000

3.500%, 

6/11/2021

497,320

Cooperatieve

Centrale

Raiffeisen-

Boerenleenbank

BA

620,000

3.950%, 

11/9/2022

623,613

1,416,000

4.625%, 

12/1/2023

1,464,294

Credit

Agricole

SA

807,000

3.375%, 

1/10/2022

i

805,171

600,000

3.250%, 

1/14/2030

i

569,881

Credit

Suisse

Group

AG

250,000

2.997%, 

12/14/2023

b,i

243,368

350,000

7.250%, 

9/12/2025

b,i,l

317,625

450,000

3.869%, 

1/12/2029

b,i

455,511

Credit

Suisse

Group

Funding

(Guernsey),

Ltd.

535,000

3.125%, 

12/10/2020

534,468

21,000

3.800%, 

9/15/2022

21,350

Credit

Suisse

Group

Funding,

Ltd.

448,000

3.750%, 

3/26/2025

452,676

Danske

Bank

AS

675,000

3.244%, 

12/20/2025

b,i

627,449

Deutsche

Bank

AG

675,000

3.375%, 

5/12/2021

651,448

301,000

4.250%, 

10/14/2021

286,326

650,000

3.961%, 

11/26/2025

b

601,225

Discover

Bank

400,000

2.450%, 

9/12/2024

383,227

600,000

4.682%, 

8/9/2028

b

610,926

Duke

Realty,

LP

450,000

2.875%, 

11/15/2029

432,757

ERP

Operating,

LP

90,000

3.375%, 

6/1/2025

93,215

Fidelity

National

Financial,

Inc.

500,000

5.500%, 

9/1/2022

548,710

Fifth

Third

Bancorp

148,000

2.875%, 

7/27/2020

147,244

396,000

2.600%, 

6/15/2022

391,301

Five

Corners

Funding

Trust

1,090,000

4.419%, 

11/15/2023

i

1,172,555

GE

Capital

International

Funding

Company

1,390,000

4.418%, 

11/15/2035

1,501,715

Goldman

Sachs

Group,

Inc.

842,000

5.375%, 

5/10/2020

b,l

752,537

710,000

5.250%, 

7/27/2021

738,089

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

203

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Financials

(1.6%)

-

continued

$

10,000

2.862%, 

(LIBOR

3M

+

1.170%),

11/15/2021

b

$

9,800

14,000

3.000%, 

4/26/2022

14,101

729,000

2.876%, 

10/31/2022

b

732,718

472,000

2.908%, 

6/5/2023

b

473,240

700,000

3.625%, 

2/20/2024

724,279

790,000

4.750%, 

10/21/2045

943,774

Guardian

Life

Global

Funding

10,000

2.000%, 

4/26/2021

i

9,964

HCP,

Inc.

176,000

3.400%, 

2/1/2025

176,212

Hospitality

Properties

Trust

10,000

4.250%, 

2/15/2021

9,508

HSBC

Holdings

plc

464,000

6.875%, 

6/1/2021

b,l

455,880

350,000

2.650%, 

1/5/2022

349,446

750,000

3.803%, 

3/11/2025

b

780,818

425,000

3.900%, 

5/25/2026

432,391

725,000

4.950%, 

3/31/2030

799,559

Huntington

Bancshares,

Inc.

10,000

3.150%, 

3/14/2021

10,026

Icahn

Enterprises,

LP

345,000

6.750%, 

2/1/2024

332,925

410,000

6.375%, 

12/15/2025

387,450

ING

Groep

NV

375,000

3.150%, 

3/29/2022

376,690

525,000

4.100%, 

10/2/2023

538,760

International

Lease

Finance

Corporation

284,000

5.875%, 

8/15/2022

253,888

Iron

Mountain,

Inc.

526,748

6.000%, 

8/15/2023

529,382

J.P.

Morgan

Chase

&

Company

509,000

2.260%, 

(LIBOR

3M

+

0.680%),

6/1/2021

b

505,950

265,000

2.295%, 

8/15/2021

264,491

10,000

2.776%, 

4/25/2023

b

10,127

575,000

2.700%, 

5/18/2023

589,906

259,000

3.031%, 

(LIBOR

3M

+

1.230%),

10/24/2023

b

250,689

352,000

3.625%, 

5/13/2024

367,100

750,000

3.875%, 

9/10/2024

791,956

690,000

3.125%, 

1/23/2025

718,826

1,080,000

3.900%, 

7/15/2025

1,155,151

360,000

3.300%, 

4/1/2026

377,781

675,000

4.203%, 

7/23/2029

b

741,500

720,000

3.882%, 

7/24/2038

b

804,563

J.P.

Morgan

Chase

Bank

NA

400,000

3.086%, 

4/26/2021

b

399,833

KeyCorp

300,000

2.900%, 

9/15/2020

299,313

Kimco

Realty

Corporation

960,000

3.300%, 

2/1/2025

966,141

Liberty

Mutual

Group,

Inc.

4,000

5.000%, 

6/1/2021

i

4,103

224,000

4.950%, 

5/1/2022

i

228,238

Lloyds

Banking

Group

plc

600,000

2.907%, 

11/7/2023

b

599,235

MassMutual

Global

Funding

400,000

2.750%, 

6/22/2024

i

394,621

MetLife,

Inc.

355,000

4.050%, 

3/1/2045

371,652

Mitsubishi

UFJ

Financial

Group,

Inc.

7,000

2.998%, 

2/22/2022

7,136

725,000

3.455%, 

3/2/2023

742,219

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Financials

(1.6%)

-

continued

$

600,000

3.287%, 

7/25/2027

$

622,282

Morgan

Stanley

14,000

2.800%, 

6/16/2020

13,998

224,000

5.550%, 

7/15/2020

b,l

197,017

12,000

5.500%, 

7/28/2021

12,458

290,000

2.625%, 

11/17/2021

290,395

254,000

2.999%, 

(LIBOR

3M

+

1.180%),

1/20/2022

b

252,692

537,000

2.750%, 

5/19/2022

542,690

155,000

4.875%, 

11/1/2022

162,734

485,000

3.125%, 

1/23/2023

496,039

540,000

4.350%, 

9/8/2026

581,914

720,000

3.591%, 

7/22/2028

b

754,618

600,000

3.772%, 

1/24/2029

b

633,109

720,000

3.622%, 

4/1/2031

b

749,332

MPT

Operating

Partnership,

LP

385,000

6.375%, 

3/1/2024

385,000

445,000

4.625%, 

8/1/2029

409,400

Nasdaq,

Inc.

295,000

3.850%, 

6/30/2026

304,489

Nationwide

Building

Society

400,000

3.622%, 

4/26/2023

b,i

397,659

Outfront

Media

Cap,

LLC

420,000

4.625%, 

3/15/2030

i

373,800

Park

Aerospace

Holdings,

Ltd.

350,000

4.500%, 

3/15/2023

i

303,558

PNC

Bank

NA

11,000

2.450%, 

11/5/2020

11,021

Prudential

Financial,

Inc.

675,000

3.700%, 

3/13/2051

632,539

Quicken

Loans,

Inc.

800,000

5.750%, 

5/1/2025

i

796,000

Realty

Income

Corporation

475,000

4.125%, 

10/15/2026

492,342

Regency

Centers,

LP

720,000

4.125%, 

3/15/2028

726,534

Reinsurance

Group

of

America,

Inc.

510,000

4.700%, 

9/15/2023

561,442

400,000

3.900%, 

5/15/2029

390,545

Royal

Bank

of

Scotland

Group

plc

300,000

6.125%, 

12/15/2022

309,448

400,000

6.100%, 

6/10/2023

411,277

300,000

3.875%, 

9/12/2023

303,041

575,000

4.269%, 

3/22/2025

b

590,790

475,000

4.445%, 

5/8/2030

b

497,895

Santander

UK

Group

Holdings

plc

380,000

2.875%, 

10/16/2020

379,853

Simon

Property

Group,

LP

15,000

2.500%, 

7/15/2021

14,794

448,000

4.250%, 

11/30/2046

403,995

Societe

Generale

SA

354,000

4.750%, 

11/24/2025

i

354,596

Springleaf

Finance

Corporation

390,000

6.875%, 

3/15/2025

392,777

190,000

6.625%, 

1/15/2028

177,916

Standard

Chartered

plc

800,000

2.819%, 

1/30/2026

b,i

753,132

Sumitomo

Mitsui

Financial

Group,

Inc.

426,000

2.784%, 

7/12/2022

427,943

360,000

3.102%, 

1/17/2023

360,438

336,000

3.010%, 

10/19/2026

349,611

SunTrust

Banks,

Inc.

10,000

2.900%, 

3/3/2021

10,023

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

204

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Financials

(1.6%)

-

continued

Synchrony

Financial

$

155,000

4.250%, 

8/15/2024

$

149,237

700,000

3.950%, 

12/1/2027

622,560

UBS

Group

Funding

Jersey,

Ltd.

336,000

4.125%, 

9/24/2025

i

349,079

UBS

Group

Funding

Switzerland

AG

450,000

3.491%, 

5/23/2023

i

454,831

Ventas

Realty,

LP

500,000

3.100%, 

1/15/2023

489,842

595,000

4.000%, 

3/1/2028

559,841

VICI

Properties,

LP

/

VICI

Note

Company,

Inc.

150,000

4.250%, 

12/1/2026

i

137,625

80,000

3.750%, 

2/15/2027

i

75,400

150,000

4.625%, 

12/1/2029

i

136,500

80,000

4.125%, 

8/15/2030

i

75,800

Voya

Financial,

Inc.

825,000

3.125%, 

7/15/2024

832,271

Wells

Fargo

&

Company

450,000

2.550%, 

12/7/2020

451,080

8,000

2.100%, 

7/26/2021

7,989

540,000

2.625%, 

7/22/2022

546,307

550,000

3.069%, 

1/24/2023

559,041

448,000

3.450%, 

2/13/2023

460,613

750,000

4.125%, 

8/15/2023

773,211

10,000

3.007%, 

(LIBOR

3M

+

1.230%),

10/31/2023

b

9,541

350,000

3.000%, 

2/19/2025

361,231

450,000

3.000%, 

4/22/2026

463,178

450,000

3.000%, 

10/23/2026

460,986

810,000

4.900%, 

11/17/2045

960,426

Welltower,

Inc.

180,000

3.950%, 

9/1/2023

178,267

ZB

NA

575,000

3.500%, 

8/27/2021

574,326

Total

91,060,458

Mortgage-Backed

Securities

(6.3%)

Federal

Home

Loan

Mortgage

Corporation

Conventional

15-Yr.

Pass

Through

13,199,626

3.500%, 

5/1/2034

13,912,431

Federal

Home

Loan

Mortgage

Corporation

Conventional

30-Yr.

Pass

Through

19,451,480

3.000%, 

3/25/2050

20,402,394

8,050,000

3.000%, 

4/1/2050

e

8,443,541

9,882,983

3.500%, 

7/1/2047

e

10,481,263

14,924,042

3.000%, 

8/1/2047

15,740,246

Federal

National

Mortgage

Association

1,435,109

3.230%, 

11/1/2020

1,435,132

5,352,832

4.500%, 

5/1/2048

5,774,112

11,118,005

3.500%, 

10/1/2048

11,741,055

18,146,899

3.500%, 

2/1/2049

19,145,633

6,268,669

3.500%, 

6/1/2049

6,626,286

12,675,364

3.500%, 

8/1/2049

13,423,261

Federal

National

Mortgage

Association

Conventional

15-Yr.

Pass

Through

19,000,000

2.500%, 

4/1/2035

e

19,714,727

39,700,000

2.000%, 

5/1/2035

e

40,742,125

22,200,000

2.500%, 

5/1/2035

e

23,018,625

18,894,000

3.000%, 

5/1/2035

e

19,733,943

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Mortgage-Backed

Securities

(6.3%)

-

continued

Federal

National

Mortgage

Association

Conventional

30-Yr.

Pass

Through

$

46,375,000

2.500%, 

5/1/2050

e

$

47,982,161

22,348,357

4.000%, 

7/1/2048

23,865,889

41,186,000

3.000%, 

5/1/2049

e

43,127,746

394,325

3.500%, 

8/1/2049

e

416,254

Total

345,726,824

Technology

(0.5%)

Adobe,

Inc.

450,000

2.150%, 

2/1/2027

454,879

Apple,

Inc.

11,000

2.400%, 

1/13/2023

11,337

300,000

3.000%, 

2/9/2024

317,823

475,000

3.200%, 

5/11/2027

514,759

640,000

3.000%, 

6/20/2027

g

692,455

960,000

3.000%, 

11/13/2027

1,032,263

835,000

3.750%, 

9/12/2047

982,798

Applied

Materials,

Inc.

240,000

3.300%, 

4/1/2027

255,546

Avnet,

Inc.

335,000

3.750%, 

12/1/2021

341,408

Broadcom

Corporation

391,000

3.875%, 

1/15/2027

372,727

500,000

3.500%, 

1/15/2028

463,340

Broadcom,

Inc.

900,000

4.750%, 

4/15/2029

i

914,119

CommScope

Technologies

Finance,

LLC

595,000

6.000%, 

6/15/2025

i

544,544

Diamond

1

Finance

Corporation

1,850,000

6.020%, 

6/15/2026

i

1,968,477

Diamond

Sports

Group,

LLC

770,000

6.625%, 

8/15/2027

g,i

514,937

Harland

Clarke

Holdings

Corporation

515,000

8.375%, 

8/15/2022

i

397,194

Hewlett

Packard

Enterprise

Company

17,000

3.600%, 

10/15/2020

17,021

600,000

2.620%, 

(LIBOR

3M

+

0.720%),

10/5/2021

b

564,990

140,000

4.400%, 

10/15/2022

142,643

Intel

Corporation

1,200,000

3.100%, 

2/15/2060

1,301,436

10,000

3.100%, 

7/29/2022

10,378

Iron

Mountain,

Inc.

320,000

4.875%, 

9/15/2029

i

300,602

KLA

Corporation

720,000

3.300%, 

3/1/2050

686,140

Marvell

Technology

Group,

Ltd.

350,000

4.200%, 

6/22/2023

357,802

475,000

4.875%, 

6/22/2028

492,130

Microsoft

Corporation

700,000

4.750%, 

11/3/2055

988,085

14,000

2.400%, 

2/6/2022

14,387

700,000

4.200%, 

11/3/2035

877,385

1,690,000

3.700%, 

8/8/2046

2,004,673

NCR

Corporation

750,000

6.125%, 

9/1/2029

i

700,425

NVIDIA

Corporation

675,000

3.500%, 

4/1/2040

718,090

NXP

BV/NXP

Funding,

LLC

700,000

4.875%, 

3/1/2024

i

747,376

Open

Text

Corporation

330,000

4.125%, 

2/15/2030

i

310,283

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

205

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Technology

(0.5%)

-

continued

Oracle

Corporation

$

10,000

2.500%, 

5/15/2022

$

10,166

332,000

2.400%, 

9/15/2023

338,862

1,060,000

2.950%, 

5/15/2025

1,099,381

750,000

2.800%, 

4/1/2027

764,492

600,000

3.850%, 

7/15/2036

626,501

625,000

3.600%, 

4/1/2040

622,160

Plantronics,

Inc.

420,000

5.500%, 

5/31/2023

i

305,550

PTC,

Inc.

130,000

3.625%, 

2/15/2025

i

121,550

SS&C

Technologies,

Inc.

600,000

5.500%, 

9/30/2027

i

618,750

Texas

Instruments,

Inc.

580,000

4.150%, 

5/15/2048

717,335

Tyco

Electronics

Group

SA

120,000

3.450%, 

8/1/2024

122,508

240,000

3.125%, 

8/15/2027

247,963

Total

25,607,670

Transportation

(0.1%)

Air

Canada

Pass

Through

Trust

96,075

3.875%, 

3/15/2023

i

89,399

Air

Lease

Corporation

180,000

3.500%, 

1/15/2022

164,040

Burlington

Northern

Santa

Fe,

LLC

355,000

5.750%, 

5/1/2040

481,052

1,050,000

5.050%, 

3/1/2041

1,297,451

385,000

4.450%, 

3/15/2043

455,444

CSX

Corporation

360,000

3.800%, 

4/15/2050

378,144

115,000

3.700%, 

11/1/2023

121,023

700,000

3.350%, 

9/15/2049

662,870

Hertz

Corporation

410,000

5.500%, 

10/15/2024

i

230,539

310,000

6.000%, 

1/15/2028

i

162,750

NCL

Corporation,

Ltd.

400,000

3.625%, 

12/15/2024

i

255,120

Penske

Truck

Leasing

Company,

LP

600,000

3.375%, 

2/1/2022

i

606,471

United

Airlines

Pass

Through

Trust

10,000

3.700%, 

12/1/2022

9,716

United

Continental

Holdings,

Inc.

410,000

4.875%, 

1/15/2025

352,600

United

Parcel

Service,

Inc.

480,000

4.450%, 

4/1/2030

543,332

XPO

Logistics,

Inc.

517,000

6.750%, 

8/15/2024

i

505,523

Total

6,315,474

U.S.

Government

&

Agencies

(6.9%)

U.S.

Treasury

Bonds

600,000

2.000%, 

2/15/2050

696,867

20,580,000

2.250%, 

11/15/2027

23,151,696

18,050,000

2.875%, 

5/15/2028

21,290,539

5,830,000

5.250%, 

11/15/2028

8,099,145

7,700,000

1.625%, 

8/15/2029

8,360,816

1,620,000

1.500%, 

2/15/2030

1,746,436

2,050,000

4.375%, 

5/15/2040

3,259,420

11,465,000

3.000%, 

5/15/2042

15,391,315

25,124,000

2.500%, 

5/15/2046

31,606,188

4,000,000

2.750%, 

8/15/2047

5,287,344

16,725,000

2.875%, 

5/15/2049

22,839,425

550,000

2.375%, 

11/15/2049

686,469

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

U.S.

Government

&

Agencies

(6.9%)

-

continued

U.S.

Treasury

Notes

$

950,000

1.375%, 

8/31/2020

m,n

$

954,973

1,060,000

1.375%, 

9/30/2020

1,066,625

300,000

1.875%, 

12/15/2020

303,703

500,000

2.500%, 

2/28/2021

510,820

1,500,000

1.375%, 

5/31/2021

1,521,914

22,640,000

1.125%, 

8/31/2021

22,935,381

6,425,000

1.500%, 

9/30/2021

6,548,481

1,700,000

2.500%, 

1/15/2022

1,768,797

1,900,000

1.125%, 

2/28/2022

1,931,988

8,320,000

1.875%, 

7/31/2022

8,629,725

8,190,000

2.000%, 

11/30/2022

8,564,309

11,580,000

2.500%, 

3/31/2023

12,345,366

16,710,000

2.500%, 

1/31/2024

18,093,144

2,335,000

2.125%, 

7/31/2024

2,511,584

1,800,000

1.500%, 

10/31/2024

1,893,164

95,000

2.250%, 

11/15/2024

103,172

13,150,000

2.125%, 

11/30/2024

14,216,896

43,700,000

2.875%, 

5/31/2025

49,184,691

12,650,000

2.625%, 

1/31/2026

14,212,967

64,360,000

2.500%, 

2/28/2026

71,899,674

Total

381,613,034

Utilities

(0.5%)

Alabama

Power

Company

7,000

2.450%, 

3/30/2022

7,085

Ameren

Corporation

10,000

2.700%, 

11/15/2020

9,970

Ameren

Illinois

Company

450,000

4.500%, 

3/15/2049

534,032

American

Electric

Power

Company,

Inc.

718,000

2.950%, 

12/15/2022

696,491

Appalachian

Power

Company

238,000

3.300%, 

6/1/2027

242,323

Arizona

Public

Service

Company

450,000

3.500%, 

12/1/2049

457,774

Berkshire

Hathaway

Energy

Company

375,000

4.500%, 

2/1/2045

421,682

Calpine

Corporation

720,000

4.500%, 

2/15/2028

i

697,860

CenterPoint

Energy,

Inc.

185,000

3.850%, 

2/1/2024

187,666

700,000

2.500%, 

9/1/2024

687,288

420,000

4.250%, 

11/1/2028

430,788

CMS

Energy

Corporation

336,000

2.950%, 

2/15/2027

331,277

Commonwealth

Edison

Company

355,000

3.700%, 

3/1/2045

373,289

180,000

4.350%, 

11/15/2045

207,030

Consolidated

Edison

Company

of

New

York,

Inc.

1,150,000

4.125%, 

5/15/2049

1,245,185

Consolidated

Edison,

Inc.

168,000

4.500%, 

12/1/2045

186,075

Consumers

Energy

Company

550,000

4.350%, 

4/15/2049

661,432

DTE

Electric

Company

265,000

3.700%, 

3/15/2045

280,160

360,000

3.700%, 

6/1/2046

381,535

Duke

Energy

Carolinas,

LLC

840,000

3.700%, 

12/1/2047

924,117

Duke

Energy

Corporation

448,000

3.750%, 

9/1/2046

429,460

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

206

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Utilities

(0.5%)

-

continued

Duke

Energy

Florida,

LLC

$

320,000

3.200%, 

1/15/2027

$

332,476

Duke

Energy

Indiana,

LLC

450,000

3.750%, 

5/15/2046

488,971

Edison

International

200,000

2.950%, 

3/15/2023

193,490

1,350,000

5.750%, 

6/15/2027

1,403,274

Energy

Transfer

Operating,

LP

580,000

5.200%, 

2/1/2022

545,800

Exelon

Corporation

750,000

4.700%, 

4/15/2050

783,411

240,000

5.100%, 

6/15/2045

262,782

336,000

4.450%, 

4/15/2046

340,076

FirstEnergy

Corporation

150,000

2.850%, 

7/15/2022

146,272

845,000

4.850%, 

7/15/2047

944,941

ITC

Holdings

Corporation

67,000

4.050%, 

7/1/2023

68,608

224,000

5.300%, 

7/1/2043

233,197

Mississippi

Power

Company

340,000

3.950%, 

3/30/2028

350,264

Monongahela

Power

Company

275,000

5.400%, 

12/15/2043

i

307,104

National

Rural

Utilities

Cooperative

Finance

Corporation

295,000

3.900%, 

11/1/2028

287,629

575,000

3.700%, 

3/15/2029

648,515

NextEra

Energy

Operating

Partners,

LP

750,000

3.875%, 

10/15/2026

i

712,500

NiSource

Finance

Corporation

236,000

3.490%, 

5/15/2027

238,781

615,000

5.650%, 

2/1/2045

706,932

Oncor

Electric

Delivery

Company,

LLC

944,000

3.750%, 

4/1/2045

1,002,297

Pacific

Gas

and

Electric

Company

350,000

3.300%, 

12/1/2027

o,p

334,250

350,000

3.950%, 

12/1/2047

o,p

315,875

PPL

Capital

Funding,

Inc.

236,000

3.400%, 

6/1/2023

242,353

515,000

5.000%, 

3/15/2044

550,425

PPL

Electric

Utilities

Corporation

354,000

3.950%, 

6/1/2047

375,999

PSEG

Power,

LLC

9,000

3.000%, 

6/15/2021

9,026

Public

Service

Electric

&

Gas

Company

600,000

3.000%, 

5/15/2027

613,387

San

Diego

Gas

and

Electric

Company

600,000

4.150%, 

5/15/2048

646,181

South

Carolina

Electric

&

Gas

Company

700,000

5.100%, 

6/1/2065

876,068

Southern

California

Edison

Company

485,000

4.000%, 

4/1/2047

504,830

Southern

Company

6,000

2.350%, 

7/1/2021

6,015

320,000

2.950%, 

7/1/2023

321,879

575,000

3.250%, 

7/1/2026

579,926

450,000

4.400%, 

7/1/2046

470,388

Southern

Company

Gas

Capital

Corporation

590,000

4.400%, 

5/30/2047

584,759

Principal

Amount

Long-Term

Fixed

Income

(20.3%)

Value

Utilities

(0.5%)

-

continued

Southwestern

Electric

Power

Company

$

180,000

3.900%, 

4/1/2045

$

160,584

TerraForm

Power

Operating,

LLC

645,000

5.000%, 

1/31/2028

i

675,831

Virginia

Electric

and

Power

Company

425,000

4.600%, 

12/1/2048

483,047

Vistra

Operations

Company,

LLC

430,000

5.000%, 

7/31/2027

i

436,450

Total

27,577,112

Total

Long-Term

Fixed

Income

(cost

$1,075,993,374)

1,122,445,104

Shares

Collateral

Held

for

Securities

Loaned

(

0.9%

)

Value

51,565,852

Thrivent

Cash

Management

Trust

51,565,852

Total

Collateral

Held

for

Securities

Loaned

(cost

$51,565,852)

51,565,852

Shares

or

Principal

Amount

Short-Term

Investments

(

9.3%

)

Value

Federal

Home

Loan

Bank

Discount

Notes

24,600,000

1.550%,

4/7/2020

q,r

24,599,713

2,900,000

1.533%,

4/8/2020

q,r

2,899,960

100,000

1.560%,

4/13/2020

q,r

99,998

800,000

1.520%,

4/15/2020

q,r

799,978

400,000

1.560%,

4/23/2020

q,r

399,983

900,000

1.285%,

5/5/2020

q,r

899,940

4,500,000

0.900%,

5/7/2020

q,r

4,499,685

900,000

0.720%,

5/8/2020

q,r

899,935

25,200,000

1.236%,

5/12/2020

q,r

25,197,991

10,000,000

0.500%,

5/13/2020

q,r

9,999,183

7,900,000

0.457%,

5/19/2020

q,r

7,899,263

9,900,000

0.150%,

5/20/2020

q,r

9,899,057

500,000

0.000%,

5/28/2020

r

499,945

5,100,000

0.150%,

6/4/2020

q,r

5,099,365

2,500,000

0.500%,

6/9/2020

q,r

2,499,665

8,800,000

0.530%,

6/12/2020

q,r

8,798,768

9,800,000

0.150%,

6/23/2020

q,r

9,798,418

200,000

0.028%,

6/29/2020

q,r

199,965

3,000,000

0.005%,

7/7/2020

q,r

2,999,272

Thrivent

Core

Short-Term

Reserve

Fund

39,962,858

1.570%

398,829,320

U.S.

Treasury

Bills

300,000

0.100%,

6/11/2020

q

299,932

350,000

0.023%,

9/24/2020

m,n,q

349,786

Total

Short-Term

Investments

(cost

$518,086,201)

517,469,122

Total

Investments

(cost

$5,886,712,447)

104.8%

$5,796,168,493

Other

Assets

and

Liabilities,

Net

(4.8%)

(265,474,068)

Total

Net

Assets

100.0%

$5,530,694,425

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

207

a

The

stated

interest

rate

represents

the

weighted

average

of

all

contracts

within

the

bank

loan

facility.

b

Denotes

variable

rate

securities.

The

rate

shown

is

as

of

March

31,

2020.

The

rates

of

certain

variable

rate

securities

are

based

on

a

published

reference

rate

and

spread;

these

may

vary

by

security

and

the

reference

rate

and

spread

are

indicated

in

their

description.  The

rates

of

other

variable

rate

securities

are

determined

by

the

issuer

or

agent

and

are

based

on

current

market

conditions.  These

securities

do

not

indicate

a

reference

rate

and

spread

in

their

description.  

c

Security

is

valued

using

significant

unobservable

inputs.

Further

information

on

valuation

can

be

found

in

the

Notes

to

Financial

Statements.

d

All

or

a

portion

of

the

loan

is

unfunded.

e

Denotes

investments

purchased

on

a

when-issued

or

delayed

delivery

basis.

f

In

bankruptcy.  Interest

is

being

accrued

per

the

bankruptcy

agreement

terms.  

g

All

or

a

portion

of

the

security

is

on

loan.

h

Non-income

producing

security.

i

Denotes

securities

sold

under

Rule

144A

of

the

Securities

Act

of

1933,

which

exempts

them

from

registration.

These

securities

may

be

resold

to

other

dealers

in

the

program

or

to

other

qualified

institutional

buyers.

As

of

March

31,

2020,

the

value

of

these

investments

was

$129,979,110

or

2.4%

of

total

net

assets.

j

Denotes

step

coupon

securities.

Step

coupon

securities

pay

an

initial

coupon

rate

for

the

first

period

and

then

different

coupon

rates

for

following

periods.

The

rate

shown

is

as

of

March

31,

2020.

k

Denotes

interest

only

security.  Interest

only

securities

represent

the

right

to

receive

monthly

interest

payments

on

an

underlying

pool

of

mortgages

or

assets.  The

principal

shown

is

the

outstanding

par

amount

of

the

pool

as

of

the

end

of

the

period.

The

actual

effective

yield

of

the

security

is

different

than

the

stated

coupon

rate.

l

Denotes

perpetual

securities.

Perpetual

securities

pay

an

indefinite

stream

of

income

and

have

no

contractual

maturity

date.

Date

shown,

if

applicable,

is

next

call

date.

m

All

or

a

portion

of

the

security

was

earmarked

to

cover

written

options.

n

All

or

a

portion

of

the

security

is

pledged

as

collateral

under

the

agreement

between

the

counterparty,

the

custodian

and

the

fund

for

open

swap

contracts.

o

Defaulted

security.  Interest

is

not

being

accrued.

p

In

bankruptcy.  Interest

is

not

being

accrued.

q

The

interest

rate

shown

reflects

the

yield,

coupon

rate

or

the

discount

rate

at

the

date

of

purchase.

r

All

or

a

portion

of

the

security

is

held

on

deposit

with

the

counterparty

and

pledged

as

the

initial

margin

deposit

for

open

futures

contracts.

The

following

table

presents

the

total

amount

of

securities

loaned

with

continuous

maturity,

by

type,

offset

by

the

gross

payable

upon

return

of

collateral

for

securities

loaned

by

Thrivent

Moderately

Aggressive

Allocation

Portfolio

as

of

March

31,

2020:

Securities

Lending

Transactions

Long-Term

Fixed

Income

$

1,795,002

Common

Stock

48,407,317

Total

lending

$50,202,319

Gross

amount

payable

upon

return

of              

collateral

for

securities

loaned

$51,565,852

Net

amounts

due

to

counterparty

$1,363,533

Definitions:

ACES

-

Alternative

Credit

Enhancement

Securities

ADR

-

American

Depositary

Receipt,

which

are

certificates

for

an

underlying

foreign

security's

shares

held

by

an

issuing

U.S.

depository

bank.

CLO

-

Collateralized

Loan

Obligation

ETF

-

Exchange

Traded

Fund

GDR

-

Global

Depository

Receipts,

which

are

certificates

for

shares

of

an

underlying

foreign

security’s

shares

held

by

an

issuing

depository

bank

from

more

than

one

country.

REMIC

-

Real

Estate

Mortgage

Investment

Conduit

REIT

-

Real

Estate

Investment

Trust

is

a

company

that

buys,

develops,

manages

and/or

sells

real

estate

assets.

Ser.

-

Series

SPDR

-

S&P

Depository

Receipts,

which

are

exchange-traded

funds

traded

in

the

U.S.,

Europe,

and

Asia-Pacific

and

managed

by

State

Street

Global

Advisors.

Reference

Rate

Index:

CMT

3M

-

Constant

Maturity

Treasury

Yield

3

Month

LIBOR

1W

-

ICE

Libor

USD

Rate

1

Week

LIBOR

1M

-

ICE

Libor

USD

Rate

1

Month

LIBOR

2M

-

ICE

Libor

USD

Rate

2

Month

LIBOR

3M

-

ICE

Libor

USD

Rate

3

Month

PRIME

-

Federal

Reserve

Prime

Loan

Rate

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

208

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Moderately

Aggressive

Allocation

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Bank

Loans

Basic

Materials

3,187,312

–

1,979,689

1,207,623

Capital

Goods

3,438,585

–

1,870,990

1,567,595

Communications

Services

9,450,322

–

6,604,895

2,845,427

Consumer

Cyclical

7,716,782

–

6,718,983

997,799

Consumer

Non-Cyclical

8,682,017

–

8,479,386

202,631

Energy

3,055,003

–

2,776,464

278,539

Financials

5,238,202

–

5,238,202

–

Technology

4,235,445

–

3,314,245

921,200

Transportation

788,409

–

581,409

207,000

Utilities

961,660

–

687,051

274,609

Registered

Investment

Companies

Unaffiliated

38,409,743

38,409,743

–

–

Affiliated

1,849,844,922

1,849,844,922

–

–

Common

Stock

Communications

Services

96,993,112

96,125,846

867,266

–

Consumer

Discretionary

198,341,330

196,893,976

1,447,354

–

Consumer

Staples

51,814,093

50,447,055

1,367,038

–

Energy

23,101,412

22,298,160

803,252

–

Financials

202,894,007

196,614,887

6,279,120

–

Health

Care

251,018,130

247,617,838

3,400,292

–

Industrials

205,390,519

201,413,201

3,977,318

–

Information

Technology

447,122,657

444,875,024

2,247,633

–

Materials

52,753,593

50,384,881

2,368,706

6

Real

Estate

87,963,153

86,417,033

1,546,120

–

Utilities

22,589,960

22,226,614

363,346

–

Long-Term

Fixed

Income

Asset-Backed

Securities

38,520,001

–

38,520,001

–

Basic

Materials

10,180,173

–

10,180,173

–

Capital

Goods

17,656,660

–

17,656,660

–

Collateralized

Mortgage

Obligations

27,188,746

–

27,188,746

–

Commercial

Mortgage-Backed

Securities

12,817,569

–

12,817,569

–

Communications

Services

36,299,000

–

36,299,000

–

Consumer

Cyclical

29,972,292

–

29,972,292

–

Consumer

Non-Cyclical

46,799,105

–

46,799,105

–

Energy

25,110,986

–

25,110,986

–

Financials

91,060,458

–

91,060,458

–

Mortgage-Backed

Securities

345,726,824

–

345,726,824

–

Technology

25,607,670

–

25,607,670

–

Transportation

6,315,474

–

6,315,474

–

U.S.

Government

&

Agencies

381,613,034

–

381,613,034

–

Utilities

27,577,112

–

27,577,112

–

Short-Term

Investments

118,639,802

–

118,639,802

–

Subtotal

Investments

in

Securities

$4,816,075,274

$3,503,569,180

$1,304,003,665

$8,502,429

Other

Investments  *

Total

Affiliated

Short-Term

Investments

398,829,320

Affiliated

Registered

Investment

Companies

529,698,047

Collateral

Held

for

Securities

Loaned

51,565,852

Subtotal

Other

Investments

$980,093,219

Total

Investments

at

Value

$5,796,168,493

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

209

Reference

Description:

CBOT

-

Chicago

Board

of

Trade

CME

-

Chicago

Mercantile

Exchange

EAFE

-

Europe,

Australasia

and

Far

East

ICE

-

Intercontinental

Exchange

MSCI

-

Morgan

Stanley

Capital

International

NASDAQ

-

National

Association

of

Securities

Dealers

Automated

Quotations

S&P

-

Standard

&

Poor's

Other

Financial

Instruments

Total

Level

1

Level

2

Level

3

Asset

Derivatives

Futures

Contracts

22,099,265

22,099,265

–

–

Total

Asset

Derivatives

$22,099,265

$22,099,265

$–

$–

Liability

Derivatives

Futures

Contracts

40,641,970

40,641,970

–

–

Credit

Default

Swaps

362,989

–

362,989

–

Total

Liability

Derivatives

$41,004,959

$40,641,970

$362,989

$–

The

following

table

presents

Moderately

Aggressive

Allocation

Portfolio's

futures

contracts

held

as

of

March

31,

2020.

Investments

and/or

cash

totaling

$108,090,907

were

pledged

as

the

initial

margin

deposit

for

these

contracts.

Futures

Contracts

Description

Number

of

Contracts

Long/(Short)

Expiration

Date

Notional

Principal

Amount

Value

and

Unrealized

CBOT

2-Yr.

U.S.

Treasury

Note

491

June

2020

$

106,276,154

$

1,931,805

CBOT

5-Yr.

U.S.

Treasury

Note

1

June

2020

122,941

2,419

CBOT

U.S.

Long

Bond

188

June

2020

30,863,458

2,800,292

CME

E-mini

S&P

500

Index

5,088

June

2020

666,875,385

(

13,143,705)

CME

Euro

Foreign

Exchange

Currency

774

June

2020

109,492,428

(

2,588,515)

Eurex

Euro

STOXX

50

Index

3,626

June

2020

98,766,860

9,529,247

ICE

US

mini

MSCI

Emerging

Markets

Index

3,535

June

2020

150,960,916

(

1,978,341)

Total

Futures

Long

Contracts

$

1,163,358,142

(

$

3,446,798)

CBOT

10-Yr.

U.S.

Treasury

Note

(262)

June

2020

(

$

34,845,156)

(

$

1,490,969)

CME

E-mini

NASDAQ

100

Index

(1,234)

June

2020

(

184,355,338)

(

7,809,312)

CME

E-mini

Russell

2000

Index

(3,124)

June

2020

(

173,307,925)

(

5,947,195)

CME

E-mini

S&P

Mid-Cap

400

Index

(2,629)

June

2020

(

385,833,122)

7,835,502

CME

Ultra

Long

Term

U.S.

Treasury

Bond

(13)

June

2020

(

2,616,518)

(

267,857)

ICE

mini

MSCI

EAFE

Index

(856)

June

2020

(

59,999,200)

(

6,738,840)

Ultra

10-Yr.

U.S.

Treasury

Note

(83)

June

2020

(

12,273,358)

(

677,236)

Total

Futures

Short

Contracts

(

$

853,230,617)

($15,095,907)

Total

Futures

Contracts

$

310,127,525

($18,542,705)

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

210

The

following

table

presents

Moderately

Aggressive

Allocation

Portfolio's

swaps

contracts

held

as

of

March

31,

2020.

Investments

totaling

$1,304,759

were

pledged

as

collateral

under

the

agreement

between

the

counterparty,

the

custodian

and

the

fund

for

open

swap

contracts.

Credit

Default

Swaps

Buy/Sell

Protection

1

Termination

Date

Notional

Principal

Amount

2

Upfront

Payments/

(Receipts)

Value

3

Unrealized

Gain/

(Loss)

CDX

HY

34,

5

Year,

at

5.00%,

Quarterly

Sell

6/20/2025

(

$

12,400,000)

$

–

(

$

362,989)

(

$

362,989)

Total

Credit

Default

Swaps

$–

($362,989)

($362,989)

1

As

the

buyer

of

protection,

Moderately

Aggressive

Allocation

Portfolio

pays

periodic

fees

in

return

for

payment

by

the

seller

which

is

contingent

upon

an

adverse

credit

event

occurring

in

the

underlying

issuer

or

reference

entity.

As

the

seller

of

protection,

Moderately

Aggressive

Allocation

Portfolio

collects

periodic

fees

from

the

buyer

and

profits

if

the

credit

of

the

underlying

issuer

or

reference

entity

remains

stable

or

improves

while

the

swap

is

outstanding,

but

the

seller

in

a

credit

default

swap

contract

would

be

required

to

pay

the

amount

of

credit

loss,

determined

as

specified

in

the

agreement,

to

the

buyer

in

the

event

of

an

adverse

credit

event

in

the

reference

entity.

2

The

maximum

potential

amount

of

future

payments

Moderately

Aggressive

Allocation

Portfolio

could

be

required

to

make

as

the

seller

or

receive

as

the

buyer

of

protection.

3

The

values

for

credit

indexes

(CDX

or

LCDX)

serve

as

an

indicator

of

the

current

status

of

the

payment/performance

risk

and

represent

the

liability

or

profit

for

the

credit

default

swap

contract

had

the

contract

been

closed

as

of

the

reporting

date.

When

protection

has

been

sold,

the

value

of

the

swap

will

increase

when

the

swap

spread

declines

representing

an

improvement

in

the

reference

entity's

credit

worthiness.

The

value

of

the

swap

will

decrease

when

the

swap

spread

increases

representing

a

deterioration

in

the

reference

entity's

credit

worthiness.

When

protection

has

been

purchased,

the

value

of

the

swap

will

increase

when

the

swap

spread

increases

representing

a

deterioration

in

the

reference

entity's

credit

worthiness.

The

value

of

the

swap

will

decrease

when

the

swap

spread

declines

representing

an

improvement

in

the

reference

entity's

credit

worthiness.

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Cash

Management

Trust

for

the

purpose

of

securities

lending

and

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Cash

Management

Trust

and

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Moderately

Aggressive

Allocation

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Registered

Investment

Companies

Core

Emerging

Markets

Debt

$75,829

$4,753

$–

$72,141

8,161

1.3%

Core

Emerging

Markets

Equity

–

14,000

–

11,725

1,499

0.2

Core

International

Equity

220,517

–

–

168,045

22,617

3.0

Core

Low

Volatility

Equity

242,502

94,000

–

277,787

28,116

5.0

Global

Stock

408,855

–

–

316,747

29,254

5.7

High

Yield

61,624

816

–

53,114

13,049

0.9

Income

180,729

1,367

–

175,449

17,180

3.2

International

Allocation

574,628

–

–

428,562

55,988

7.8

Large

Cap

Value

490,008

–

–

353,219

25,537

6.4

Limited

Maturity

Bond

101,072

614

–

98,334

10,249

1.8

Mid

Cap

Stock

482,077

–

–

345,726

24,776

6.3

Small

Cap

Stock

112,575

–

–

78,694

5,774

1.4

Total

Affiliated

Registered

Investment

Companies

2,950,416

2,379,543

43.0

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

527,067

209,714

337,089

398,829

39,963

7.2

Total

Affiliated

Short-Term

Investments

527,067

398,829

7.2

Collateral

held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

30,577

99,777

78,788

51,566

51,566

0.9

Total

Collateral

Held

for

Securities

Loaned

30,577

51,566

0.9

Total

Value

$3,508,060

$2,829,938

Moderately

Aggressive

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

211

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Registered

Investment

Companies

Core

Emerging

Markets

Debt

$–

$(8,441)

–

$853

Core

Emerging

Markets

Equity

–

(2,275)

–

–

Core

International

Equity

–

(52,472)

–

–

Core

Low

Volatility

Equity

–

(58,715)

–

–

Global

Stock

–

(92,108)

–

–

High

Yield

–

(9,326)

–

816

Income

–

(6,647)

–

1,371

International

Allocation

–

(146,066)

–

–

Large

Cap

Value

–

(136,789)

–

–

Limited

Maturity

Bond

–

(3,352)

–

614

Mid

Cap

Stock

–

(136,351)

–

–

Small

Cap

Stock

–

(33,881)

–

–

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

(177)

(686)

–

2,183

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$5,837

Collateral

Held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

–

–

–

70

Total

Affiliated

Income

from

Securities

Loaned,

Net

$70

Total

Value

$(177)

$(687,109)

$–

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

212

Principal

Amount

Bank

Loans

(

2.0%

)

a

Value

Basic

Materials

(0.1%)

Arch

Coal,

Inc.,

Term

Loan

$

1,038,586

3.750%, 

(LIBOR

1M

+

2.750%),

3/7/2024

b

$

784,132

Ball

Metalpack

Finco,

LLC,

Term

Loan

505,987

6.113%, 

(LIBOR

3M

+

4.500%),

7/31/2025

b

379,491

Big

River

Steel,

LLC,

Term

Loan

799,500

6.450%, 

(LIBOR

3M

+

5.000%),

8/23/2023

b,c

759,525

Hexion,

Inc.,

Term

Loan

436,700

5.410%, 

(LIBOR

3M

+

3.500%),

7/1/2026

b

363,553

MRC

Global

(US),

Inc.,

Term

Loan

930,934

3.989%, 

(LIBOR

1M

+

3.000%),

9/22/2024

b,c

735,438

Nouryon

USA,

LLC,

Term

Loan

1,017,363

3.863%, 

(LIBOR

1M

+

3.000%),

10/1/2025

b

905,453

Pixelle

Specialty

Solutions,

LLC,

Term

Loan

1,224,769

7.500%, 

(LIBOR

1M

+

6.500%),

10/31/2024

b

1,061,875

Total

4,989,467

Capital

Goods

(0.2%)

Advanced

Disposal

Services,

Inc.,

Term

Loan

720,926

2.894%, 

(LIBOR

1W

+

2.250%),

11/10/2023

b

710,710

BWAY

Holding

Company,

Term

Loan

931,696

5.084%, 

(LIBOR

3M

+

3.250%),

4/3/2024

b

755,261

Flex

Acquisition

Company,

Inc.

Term

Loan

1,316,914

5.159%, 

(LIBOR

3M

+

3.250%),

6/29/2025

b,c

1,191,807

GFL

Environmental,

Inc.,

Term

Loan

1,859,555

3.990%, 

(LIBOR

1M

+

3.000%),

5/31/2025

b,d,e

1,794,471

Navistar,

Inc.,

Term

Loan

1,509,200

4.280%, 

(LIBOR

1M

+

3.500%),

11/6/2024

b

1,297,912

Reynolds

Group

Holdings,

Inc.,

Term

Loan

359,069

0.000%, 

(LIBOR

1M

+

2.750%),

2/5/2023

b,c,d,e

338,422

TransDigm,

Inc.,

Term

Loan

1,017,450

3.239%, 

(LIBOR

1M

+

2.250%),

12/9/2025

b

923,336

Vertiv

Group

Corporation,

Term

Loan

2,025,000

4.581%, 

(LIBOR

1M

+

3.000%),

3/2/2027

b,c

1,741,500

Total

8,753,419

Communications

Services

(0.4%)

Altice

France

SA,

Term

Loan

627,263

3.739%, 

(LIBOR

1M

+

2.750%),

7/31/2025

b

575,513

CenturyLink,

Inc.,

Term

Loan

1,406,475

3.239%, 

(LIBOR

1M

+

2.250%),

3/15/2027

b

1,305,392

Principal

Amount

Bank

Loans

(2.0%)

a

Value

Communications

Services

(0.4%)

-

continued

Charter

Communications

Operating,

LLC,

Term

Loan

$

1,350,000

0.000%, 

(LIBOR

1M

+

1.750%),

4/30/2025

b,d,e

$

1,292,058

Coral-US

Co-Borrower,

LLC,

Term

Loan

2,495,000

3.239%, 

(LIBOR

1M

+

2.250%),

1/31/2028

b

2,323,469

Diamond

Sports

Group,

LLC,

Term

Loan

980,075

4.180%, 

(LIBOR

1M

+

3.250%),

8/24/2026

b,c

754,658

Frontier

Communications

Corporation,

Term

Loan

2,190,433

5.350%, 

(LIBOR

3M

+

3.750%),

6/15/2024

b

2,072,347

HCP

Acquisition,

LLC,

Term

Loan

973,720

4.000%, 

(LIBOR

1M

+

3.000%),

5/16/2024

b

840,641

Intelsat

Jackson

Holdings

SA,

Term

Loan

1,315,000

5.682%, 

(LIBOR

3M

+

3.750%),

11/27/2023

b

1,198,294

Mediacom

Illinois,

LLC,

Term

Loan

371,778

2.370%, 

(LIBOR

1W

+

1.750%),

2/15/2024

b,c

356,907

NEP

Group,

Inc.,

Term

Loan

1,491,125

4.700%, 

(LIBOR

3M

+

3.250%),

10/20/2025

b

911,450

140,000

8.450%, 

(LIBOR

3M

+

7.000%),

10/19/2026

b

66,500

SBA

Senior

Finance

II,

LLC,

Term

Loan

1,079,708

2.740%, 

(LIBOR

1M

+

1.750%),

4/11/2025

b,d,e

1,018,165

Sprint

Communications,

Inc.,

Term

Loan

1,924,640

3.500%, 

(LIBOR

1M

+

2.500%),

2/3/2024

b,c

1,910,205

Terrier

Media

Buyer,

Inc.,

Term

Loan

798,000

5.700%, 

(LIBOR

3M

+

4.250%),

12/17/2026

b,c

704,235

TNS,

Inc.,

Term

Loan

550,881

5.780%, 

(LIBOR

3M

+

4.000%),

8/14/2022

b

455,397

WideOpenWest

Finance,

LLC,

Term

Loan

1,067,625

4.250%, 

(LIBOR

1M

+

3.250%),

8/19/2023

b

979,546

Windstream

Services,

LLC,

Term

Loan

1,861,405

8.250%, 

(PRIME

+

5.000%),

3/30/2021

b,f

1,144,764

Ziggo

Financing

Partnership,

Term

Loan

1,320,000

3.205%, 

(LIBOR

3M

+

2.500%),

4/30/2028

b,c,d,e

1,240,800

Total

19,150,341

Consumer

Cyclical

(0.3%)

Cengage

Learning,

Inc.,

Term

Loan

1,192,916

5.250%, 

(LIBOR

1M

+

4.250%),

6/7/2023

b

961,287

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

213

Principal

Amount

Bank

Loans

(2.0%)

a

Value

Consumer

Cyclical

(0.3%)

-

continued

Four

Seasons

Hotels,

Ltd.,

Term

Loan

$

918,636

2.989%, 

(LIBOR

1M

+

2.000%),

11/30/2023

b

$

826,773

Golden

Entertainment,

Inc.,

Term

Loan

1,992,725

3.960%, 

(LIBOR

1M

+

3.000%),

10/20/2024

b,c

1,494,544

Golden

Nugget,

LLC,

Term

Loan

593,340

3.580%, 

(LIBOR

3M

+

2.500%),

10/4/2023

b

459,839

LCPR

Loan

Financing,

LLC,

Term

Loan

2,345,000

5.705%, 

(LIBOR

1M

+

5.000%),

10/25/2026

b

2,148,606

Men's

Warehouse,

Inc.,

Term

Loan

991,819

4.831%, 

(LIBOR

3M

+

3.250%),

4/9/2025

b

337,218

Mohegan

Gaming

and

Entertainment,

Term

Loan

1,436,883

5.375%, 

(LIBOR

1M

+

4.375%),

10/13/2023

b

1,013,003

Penn

National

Gaming,

Inc.,

Term

Loan

1,155,375

3.239%, 

(LIBOR

1M

+

2.250%),

10/15/2025

b

864,463

Scientific

Games

International,

Inc.,

Term

Loan

3,802,153

4.250%, 

(LIBOR

1M

+

2.750%),

8/14/2024

b

3,054,384

Staples,

Inc.,

Term

Loan

253,088

6.015%, 

(LIBOR

1M

+

4.500%),

9/12/2024

b,c

172,100

1,686,951

6.515%, 

(LIBOR

1M

+

5.000%),

4/12/2026

b

1,324,256

Stars

Group

Holdings

BV,

Term

Loan

2,079,921

4.950%, 

(LIBOR

3M

+

3.500%),

7/10/2025

b

1,977,651

Tenneco,

Inc.,

Term

Loan

1,575,063

3.989%, 

(LIBOR

1M

+

3.000%),

10/1/2025

b

1,078,918

Wyndham

Hotels

&

Resorts,

Inc.,

Term

Loan

635,325

2.739%, 

(LIBOR

1M

+

1.750%),

5/30/2025

b

555,115

Total

16,268,157

Consumer

Non-Cyclical

(0.4%)

Air

Medical

Group

Holdings,

Inc.,

Term

Loan

4,200,327

4.932%, 

(LIBOR

2M

+

3.250%),

4/28/2022

b

3,874,802

Bausch

Health

Companies,

Inc.,

Term

Loan

1,924,000

3.612%, 

(LIBOR

1M

+

3.000%),

6/1/2025

b

1,820,585

Endo

International

plc,

Term

Loan

637,719

5.250%, 

(LIBOR

1M

+

4.250%),

4/27/2024

b,d,e

569,164

Energizer

Holdings,

Inc.,

Term

Loan

487,493

3.875%, 

(LIBOR

1M

+

2.250%),

12/17/2025

b,c

453,368

JBS

USA

LUX

SA,

Term

Loan

1,267,200

3.072%, 

(LIBOR

3M

+

2.000%),

5/1/2026

b

1,179,396

Principal

Amount

Bank

Loans

(2.0%)

a

Value

Consumer

Non-Cyclical

(0.4%)

-

continued

Mallinckrodt

International

Finance

SA,

Term

Loan

$

747,653

4.704%, 

(LIBOR

3M

+

3.000%),

2/24/2025

b

$

499,530

McGraw-Hill

Global

Education

Holdings,

LLC,

Term

Loan

868,511

5.450%, 

(LIBOR

3M

+

4.000%),

5/4/2022

b

706,386

MPH

Acquisition

Holdings,

LLC,

Term

Loan

3,020,000

4.200%, 

(LIBOR

3M

+

2.750%),

6/7/2023

b

2,660,106

Ortho-Clinical

Diagnostics

SA,

Term

Loan

3,050,907

4.765%, 

(LIBOR

1M

+

3.250%),

6/30/2025

b

2,581,830

Plantronics,

Inc.,

Term

Loan

2,869,280

3.470%, 

(LIBOR

3M

+

2.500%),

7/2/2025

b

2,219,388

Sotera

Health

Holdings,

LLC,

Term

Loan

855,000

5.500%, 

(LIBOR

1M

+

4.500%),

12/13/2026

b

740,379

Total

17,304,934

Energy

(0.1%)

BCP

Raptor

II,

LLC,

Term

Loan

927,988

5.739%, 

(LIBOR

1M

+

4.750%),

11/3/2025

b

510,393

Buckeye

Partners,

LP,

Term

Loan

510,000

0.000%, 

(LIBOR

1M

+

2.750%),

11/1/2026

b,d,e

465,120

Calpine

Corporation,

Term

Loan

1,135,205

3.240%, 

(LIBOR

1M

+

2.250%),

1/15/2024

b

1,087,526

Consolidated

Energy

Finance

SA,

Term

Loan

668,100

3.205%, 

(LIBOR

1M

+

2.500%),

5/7/2025

b,c

467,670

Fieldwood

Energy,

LLC,

Term

Loan

1,069,760

7.027%, 

(LIBOR

3M

+

5.250%),

4/11/2022

b

334,300

McDermott

Technology

(Americas),

Inc.,

Term

Loan

1,517,962

7.250%, 

(PRIME

+

4.000%),

5/10/2025

b,f

430,085

Radiate

Holdco,

LLC,

Term

Loan

3,073,720

3.989%, 

(LIBOR

1M

+

3.000%),

2/1/2024

b

2,817,587

Total

6,112,681

Financials

(0.2%)

Avolon

TLB

Borrower

1

US,

LLC,

Term

Loan

717,274

2.523%, 

(LIBOR

1M

+

1.750%),

1/15/2025

b

635,986

Cyxtera

DC

Holdings,

Inc.,

Term

Loan

1,248,581

4.000%, 

(LIBOR

1M

+

3.000%),

5/1/2024

b

800,340

Digicel

International

Finance,

Ltd.,

Term

Loan

2,291,120

4.870%, 

(LIBOR

3M

+

3.250%),

5/27/2024

b

1,772,754

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

214

Principal

Amount

Bank

Loans

(2.0%)

a

Value

Financials

(0.2%)

-

continued

GGP

Nimbus,

LLC,

Term

Loan

$

1,817,325

3.489%, 

(LIBOR

1M

+

2.500%),

8/24/2025

b

$

1,272,127

Harland

Clarke

Holdings

Corporation,

Term

Loan

1,744,318

6.463%, 

(LIBOR

3M

+

4.750%),

11/3/2023

b

1,050,411

Level

3

Financing,

Inc.,

Term

Loan

1,355,000

2.739%, 

(LIBOR

1M

+

1.750%),

3/1/2027

b

1,260,150

MoneyGram

International,

Inc.,

Term

Loan

843,625

6.989%, 

(LIBOR

1M

+

6.000%),

6/30/2023

b

603,192

Northriver

Midstream

Finance,

LP,

Term

Loan

827,904

5.159%, 

(LIBOR

3M

+

3.250%),

10/1/2025

b

631,451

Tronox

Finance,

LLC,

Term

Loan

1,543,085

3.930%, 

(LIBOR

1M

+

2.750%),

9/22/2024

b

1,343,579

Total

9,369,990

Technology

(0.2%)

Prime

Security

Services

Borrower,

LLC,

Term

Loan

3,119,325

4.606%, 

(LIBOR

1M

+

3.250%),

9/23/2026

b

2,785,557

Rackspace

Hosting,

Inc.,

Term

Loan

2,678,010

4.763%, 

(LIBOR

3M

+

3.000%),

11/3/2023

b

2,316,479

SS&C

Technologies,

Inc.,

Term

Loan

420,084

2.739%, 

(LIBOR

1M

+

1.750%),

4/16/2025

b

391,728

299,758

2.739%, 

(LIBOR

1M

+

1.750%),

4/16/2025

b

279,525

1,112,873

2.739%, 

(LIBOR

1M

+

1.750%),

4/16/2025

b

1,038,455

Western

Digital

Corporation,

Term

Loan

1,486,323

3.353%, 

(LIBOR

1M

+

1.750%),

4/29/2023

b,c

1,426,870

Zayo

Group

Holdings,

Inc.,

Term

Loan

1,920,000

3.989%, 

(LIBOR

1M

+

3.000%),

3/9/2027

b,c,d,e

1,804,800

Total

10,043,414

Transportation

(0.1%)

Genesee

&

Wyoming,

Inc.,

Term

Loan

1,200,000

3.450%, 

(LIBOR

3M

+

2.000%),

12/30/2026

b

1,143,756

United

Airlines,

Inc.,

Term

Loan

900,000

2.739%, 

(LIBOR

3M

+

1.750%),

4/1/2024

b,c,d,e

810,000

Total

1,953,756

Utilities

(<0.1%)

Core

and

Main,

LP,

Term

Loan

909,075

4.331%, 

(LIBOR

1M

+

2.750%),

8/1/2024

b

797,713

EnergySolutions,

LLC,

Term

Loan

731,962

5.200%, 

(LIBOR

3M

+

3.750%),

5/11/2025

b,c

629,488

Principal

Amount

Bank

Loans

(2.0%)

a

Value

Utilities

(<0.1%)

-

continued

Talen

Energy

Supply,

LLC,

Term

Loan

$

601,975

4.739%, 

(LIBOR

1M

+

3.750%),

7/8/2026

b

$

520,708

Total

1,947,909

Total

Bank

Loans

(cost

$113,632,049)

95,894,068

Principal

Amount

Long-Term

Fixed

Income

(

45.2%

)

Value

Asset-Backed

Securities

(1.6%)

Access

Group,

Inc.

494,425

1.447%, 

(LIBOR

1M

+

0.500%),

2/25/2036,

Ser.

2013-1,

Class

A

b,g

471,652

Aimco

2,150,000

3.122%, 

(LIBOR

3M

+

1.320%),

7/22/2032,

Ser.

2019-10A,

Class

A

b,g

1,995,492

Ares

CLO,

Ltd.

3,000,000

3.236%, 

(LIBOR

3M

+

1.400%),

10/17/2030,

Ser.

2018-28RA,

Class

A2

b,g

2,766,831

Ares

XXXIIR

CLO,

Ltd.

1,500,000

2.632%, 

(LIBOR

3M

+

0.940%),

5/15/2030,

Ser.

2014-32RA,

Class

A1A

b,g

1,416,978

Benefit

Street

Partners

CLO

IV,

Ltd.

2,200,000

3.569%, 

(LIBOR

3M

+

1.750%),

1/20/2029,

Ser.

2014-IVA,

Class

A2RR

b,g

2,036,186

Betony

CLO,

Ltd.

750,000

2.850%, 

(LIBOR

3M

+

1.080%),

4/30/2031,

Ser.

2018-1A,

Class

A1

b,g

702,114

Buttermilk

Park

CLO,

Ltd.

5,250,000

3.231%, 

(LIBOR

3M

+

1.400%),

10/15/2031,

Ser.

2018-1A,

Class

A2

b,g

4,790,016

Carlyle

Global

Market

Strategies

CLO,

Ltd.

3,425,000

3.281%, 

(LIBOR

3M

+

1.450%),

7/15/2031,

Ser.

2014-5A,

Class

A2RR

b,g

3,077,722

Carvana

Auto

Receivables

Trust

150,000

2.340%, 

6/15/2023,

Ser.

2019-3A,

Class

A3

g

147,304

CBAM,

Ltd.

3,500,000

3.111%, 

(LIBOR

3M

+

1.280%),

2/12/2030,

Ser.

2019-9A,

Class

A

b,g

3,354,526

Colony

American

Finance

Trust

3,396,299

2.835%, 

6/15/2052,

Ser.

2019-2,

Class

A

g

3,233,542

Commonbond

Student

Loan

Trust

913,882

1.447%, 

(LIBOR

1M

+

0.500%),

2/25/2044,

Ser.

2018-AGS,

Class

A2

b,g

889,438

CoreVest

American

Finance

Trust

3,980,568

2.705%, 

10/15/2052,

Ser.

2019-3,

Class

A

g

3,778,323

DRB

Prime

Student

Loan

Trust

372,051

3.516%, 

(LIBOR

1M

+

1.900%),

10/27/2031,

Ser.

2015-B,

Class

A1

b,g

373,245

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

215

Principal

Amount

Long-Term

Fixed

Income

(45.2%)

Value

Asset-Backed

Securities

(1.6%)

-

continued

Dryden

Senior

Loan

Fund

$

3,000,000

3.219%, 

(LIBOR

3M

+

1.400%),

7/18/2030,

Ser.

2018-65A,

Class

A2

b,g

$

2,773,707

Earnest

Student

Loan

Program

2016-D,

LLC

564,030

2.770%, 

1/25/2041,

Ser.

2016-D,

Class

A2

g

567,318

Earnest

Student

Loan

Program,

LLC

538,229

3.020%, 

5/25/2034,

Ser.

2016-B,

Class

A2

g

534,430

Edlinc

Student

Loan

Funding

Trust

78,809

3.270%, 

(CMT

3M

+

3.150%),

10/1/2025,

Ser.

2012-A,

Class

AT

b,g

78,842

Galaxy

XX

CLO,

Ltd.

2,650,000

2.819%, 

(LIBOR

3M

+

1.000%),

4/20/2031,

Ser.

2015-20A,

Class

AR

b,g

2,489,164

Golub

Capital

Partners,

Ltd.

1,750,000

2.999%, 

(LIBOR

3M

+

1.180%),

1/20/2031,

Ser.

2015-22A,

Class

AR

b,g

1,623,386

2,569,000

3.019%, 

(LIBOR

3M

+

1.200%),

1/20/2031,

Ser.

2015-23A,

Class

AR

b,g

2,378,943

Goodgreen

3,004,774

3.860%, 

10/15/2054,

Ser.

2019-1A,

Class

A

g

3,031,082

Home

Partners

of

America

Trust

3,905,164

2.908%, 

9/17/2039,

Ser.

2019-1,

Class

A

g

3,787,107

3,906,715

2.703%, 

10/19/2039,

Ser.

2019-2,

Class

A

g

3,670,484

Laurel

Road

Prime

Student

Loan

Trust

1,388,082

2.810%, 

11/25/2042,

Ser.

2017-C,

Class

A2B

g

1,390,183

Madison

Park

Funding

XIV,

Ltd.

2,375,000

3.202%, 

(LIBOR

3M

+

1.400%),

10/22/2030,

Ser.

2014-14A,

Class

A2RR

b,g

2,158,381

Magnetite

XII,

Ltd.

2,600,000

2.931%, 

(LIBOR

3M

+

1.100%),

10/15/2031,

Ser.

2015-12A,

Class

ARR

b,g

2,438,457

Mountain

View

CLO,

Ltd.

1,825,000

2.951%, 

(LIBOR

3M

+

1.120%),

7/15/2031,

Ser.

2015-9A,

Class

A1R

b,g

1,673,437

National

Collegiate

Trust

1,319,760

1.242%, 

(LIBOR

1M

+

0.295%),

5/25/2031,

Ser.

2007-A,

Class

A

b,g

1,242,032

Neuberger

Berman

CLO

XIV,

Ltd.

2,375,000

2.646%, 

(LIBOR

3M

+

1.030%),

1/28/2030,

Ser.

2013-14A,

Class

AR2

b,g

2,276,034

Neuberger

Berman

CLO,

Ltd.

1,000,000

2.646%, 

(LIBOR

3M

+

1.030%),

4/22/2029,

Ser.

2014-17A,

Class

AR2

b,g

955,791

Principal

Amount

Long-Term

Fixed

Income

(45.2%)

Value

Asset-Backed

Securities

(1.6%)

-

continued

Octagon

Investment

Partners

XVI,

Ltd.

$

600,000

3.236%, 

(LIBOR

3M

+

1.400%),

7/17/2030,

Ser.

2013-1A,

Class

A2R

b,g

$

550,742

OZLM

VIII,

Ltd.

825,000

3.006%, 

(LIBOR

3M

+

1.170%),

10/17/2029,

Ser.

2014-8A,

Class

A1RR

b,g

784,846

Palmer

Square

Loan

Funding,

Ltd.

2,542,092

2.669%, 

(LIBOR

3M

+

0.850%),

1/20/2027,

Ser.

2018-5A,

Class

A1

b,g

2,456,096

1,700,000

3.469%, 

(LIBOR

3M

+

1.650%),

4/20/2027,

Ser.

2019-1A,

Class

A2

b,g

1,639,329

PPM

CLO

3,

Ltd.

2,000,000

3.236%, 

(LIBOR

3M

+

1.400%),

7/17/2030,

Ser.

2019-3A,

Class

A

b,g

1,876,136

Progress

Residential

Trust

2,000,000

3.422%, 

8/17/2035,

Ser.

2019-SFR1,

Class

A

g

1,983,150

RCO

Mortgage,

LLC

1,453,454

4.458%, 

10/25/2023,

Ser.

2018-2,

Class

A1

g,h

1,375,887

Saxon

Asset

Securities

Trust

860,035

3.765%, 

8/25/2035,

Ser.

2004-2,

Class

MF2

b

717,437

Shackleton

CLO,

Ltd.

1,750,000

3.001%, 

(LIBOR

3M

+

1.170%),

7/15/2031,

Ser.

2015-7RA,

Class

A1

b,g

1,627,838

SLM

Student

Loan

Trust

1,123,233

1.347%, 

(LIBOR

1M

+

0.400%),

3/25/2025,

Ser.

2010-1,

Class

A

b

1,067,419

U.S.

Small

Business

Administration

111,827

3.191%, 

3/10/2024,

Ser.

2014-10A,

Class

1

115,202

Voya

CLO,

Ltd.

1,500,000

3.031%, 

(LIBOR

3M

+

1.200%),

10/15/2030,

Ser.

2012-4A,

Class

A1AR

b,g

1,408,416

Total

77,704,645

Basic

Materials

(0.3%)

Anglo

American

Capital

plc

720,000

4.875%, 

5/14/2025

g

698,621

Cleveland-Cliffs,

Inc.

690,000

5.750%, 

3/1/2025

i

533,025

Dow

Chemical

Company

600,000

4.800%, 

11/30/2028

647,300

DowDuPont,

Inc.

1,275,000

4.493%, 

11/15/2025

1,371,213

First

Quantum

Minerals,

Ltd.

965,000

7.500%, 

4/1/2025

g

803,063

Freeport-McMoRan,

Inc.

490,000

4.125%, 

3/1/2028

428,941

520,000

4.250%, 

3/1/2030

451,776

Glencore

Funding,

LLC

560,000

4.125%, 

5/30/2023

g

515,961

725,000

4.000%, 

3/27/2027

g

660,034

International

Paper

Company

1,420,000

4.350%, 

8/15/2048

1,374,942

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

216

Principal

Amount

Long-Term

Fixed

Income

(45.2%)

Value

Basic

Materials

(0.3%)

-

continued

Kinross

Gold

Corporation

$

470,000

5.950%, 

3/15/2024

$

474,700

1,510,000

4.500%, 

7/15/2027

1,421,227

Krayton

Polymers,

LLC

670,000

7.000%, 

4/15/2025

g

592,950

Norbord,

Inc.

710,000

5.750%, 

7/15/2027

g

648,170

Novelis

Corporation

830,000

5.875%, 

9/30/2026

g

814,533

210,000

4.750%, 

1/30/2030

g

186,900

Olin

Corporation

805,000

5.125%, 

9/15/2027

719,320

Peabody

Securities

Finance

Corporation

1,000,000

6.375%, 

3/31/2025

g

520,000

Syngenta

Finance

NV

1,200,000

3.933%, 

4/23/2021

g

1,130,795

Teck

Resources,

Ltd.

964,000

6.125%, 

10/1/2035

886,283

Tronox

Finance

plc

760,000

5.750%, 

10/1/2025

g

678,300

Vale

Overseas,

Ltd.

840,000

6.250%, 

8/10/2026

907,217

401,000

6.875%, 

11/21/2036

445,314

Total

16,910,585

Capital

Goods

(0.7%)

AECOM

1,280,000

5.125%, 

3/15/2027

1,152,000

Amsted

Industries,

Inc.

925,000

5.625%, 

7/1/2027

g

899,946

Ardagh

Packaging

Finance

plc

1,310,000

6.000%, 

2/15/2025

g

1,313,668

Bombardier,

Inc.

1,195,000

7.500%, 

3/15/2025

g

827,538

Building

Materials

Corporation

of

America

1,325,000

6.000%, 

10/15/2025

g

1,302,210

Cemex

SAB

de

CV

410,000

5.450%, 

11/19/2029

g

332,715

Cintas

Corporation

No.

2

840,000

3.700%, 

4/1/2027

861,124

CNH

Industrial

Capital,

LLC

1,120,000

4.875%, 

4/1/2021

1,094,656

CNH

Industrial

NV

700,000

3.850%, 

11/15/2027

674,689

Covanta

Holding

Corporation

650,000

6.000%, 

1/1/2027

541,395

Crown

Cork

&

Seal

Company,

Inc.

1,460,000

7.375%, 

12/15/2026

1,496,500

H&E

Equipment

Services,

Inc.

530,000

5.625%, 

9/1/2025

491,575

Ingersoll-Rand

Luxembourg

Finance

SA

1,225,000

3.500%, 

3/21/2026

1,225,505

L3Harris

Technologies,

Inc.

1,656,000

3.950%, 

5/28/2024

g

1,735,840

Lockheed

Martin

Corporation

1,136,000

3.600%, 

3/1/2035

1,336,942

1,024,000

4.500%, 

5/15/2036

1,173,656

284,000

6.150%, 

9/1/2036

379,287

Northrop

Grumman

Corporation

1,960,000

3.850%, 

4/15/2045

2,070,599

Principal

Amount

Long-Term

Fixed

Income

(45.2%)

Value

Capital

Goods

(0.7%)

-

continued

Owens-Brockway

Glass

Container,

Inc.

$

1,405,000

5.000%, 

1/15/2022

g

$

1,419,261

Republic

Services,

Inc.

850,000

2.900%, 

7/1/2026

859,163

Reynolds

Group

Issuer,

Inc.

1,270,000

5.125%, 

7/15/2023

g

1,260,462

Roper

Technologies,

Inc.

435,000

3.650%, 

9/15/2023

447,212

564,000

4.200%, 

9/15/2028

607,243

Siemens

Financieringsmaatschappij

NV

455,000

4.200%, 

3/16/2047

g

531,300

Textron,

Inc.

710,000

3.375%, 

3/1/2028

i

680,667

TransDigm,

Inc.

370,000

6.250%, 

3/15/2026

g

368,150

1,030,000

5.500%, 

11/15/2027

g

924,425

United

Rentals

North

America,

Inc.

240,000

4.875%, 

1/15/2028

232,800

1,370,000

4.000%, 

7/15/2030

1,226,150

United

Technologies

Corporation

1,575,000

4.450%, 

11/16/2038

1,804,829

1,000,000

3.750%, 

11/1/2046

1,048,912

1,410,000

4.050%, 

5/4/2047

1,549,141

Total

31,869,560

Collateralized

Mortgage

Obligations

(1.0%)

Ajax

Mortgage

Loan

Trust

2,789,774

4.360%, 

9/25/2065,

Ser.

2018-C,

Class

A

b,g

2,745,691

Alternative

Loan

Trust

928,002

6.000%, 

8/1/2036,

Ser.

2006-24CB,

Class

A9

638,003

Angel

Oak

Mortgage

Trust

I,

LLC

1,092,640

3.500%, 

7/25/2046,

Ser.

2016-1,

Class

A1

g

1,063,659

Bayview

Koitere

Fund

Trust

1,110,921

4.000%, 

11/28/2053,

Ser.

2017-SPL3,

Class

A

b,g

1,108,874

Bellemeade

Re,

Ltd.

749,234

2.547%, 

(LIBOR

1M

+

1.600%),

4/25/2028,

Ser.

2018-1A,

Class

M1B

b,g

743,537

1,519,038

2.047%, 

(LIBOR

1M

+

1.100%),

7/25/2029,

Ser.

2019-3A,

Class

M1A

b,g

1,511,582

BRAVO

Residential

Funding

Trust

467,292

3.500%, 

3/25/2058,

Ser.

2019-1,

Class

A1C

g

468,708

1,799,492

2.748%, 

11/25/2059,

Ser.

2019-NQM2,

Class

A1

b,g

1,738,104

Citicorp

Mortgage

Securities,

Inc.

2,505,963

6.000%, 

7/25/2037,

Ser.

2007-6,

Class

1A4

2,255,732

Citigroup

Mortgage

Loan

Trust,

Inc.

250,244

5.500%, 

11/25/2035,

Ser.

2005-9,

Class

21A2

234,242

COLT

Funding,

LLC

589,631

3.470%, 

7/27/2048,

Ser.

2018-2,

Class

A1

b,g

581,285

Countrywide

Alternative

Loan

Trust

947,781

3.358%, 

10/25/2035,

Ser.

2005-43,

Class

4A1

b

800,589

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

217

Principal

Amount

Long-Term

Fixed

Income

(45.2%)

Value

Collateralized

Mortgage

Obligations

(1.0%)

-

continued

$

628,262

6.500%, 

8/25/2036,

Ser.

2006-23CB,

Class

2A3

$

326,773

1,312,785

7.000%, 

10/25/2037,

Ser.

2007-24,

Class

A10

692,485

Countrywide

Home

Loans,

Inc.

300,119

5.750%, 

4/25/2037,

Ser.

2007-3,

Class

A27

215,523

Credit

Suisse

Mortgage

Capital

Certificates

2,337,302

3.393%, 

2/25/2024,

Ser.

2020-BPL1,

Class

A1

g,h

2,312,565

Credit

Suisse

Mortgage

Trust

3,333,251

3.850%, 

9/25/2057,

Ser.

2018-RPL9,

Class

A1

b,g

3,395,051

Deutsche

Alt-A

Securities,

Inc.,

Mortgage

Loan

Trust

144,842

6.000%, 

10/25/2021,

Ser.

2006-AR5,

Class

23A

122,977

Ellington

Financial

Mortgage

Trust

1,686,715

4.140%, 

10/25/2058,

Ser.

2018-1,

Class

A1FX

b,g

1,666,190

Federal

Home

Loan

Mortgage

Corporation

-

REMIC

2,147,373

4.000%, 

7/15/2031,

Ser.

4104,

Class

KI

j

141,896

2,696,033

3.000%, 

2/15/2033,

Ser.

4170,

Class

IG

j

254,962

3,221,009

3.000%, 

3/15/2033,

Ser.

4180,

Class

PI

j

291,213

Federal

National

Mortgage

Association

-

REMIC

5,980,835

3.000%, 

12/25/2027,

Ser.

2012-137,

Class

AI

j

384,680

Galton

Funding

Mortgage

Trust

2017-1

1,977,999

4.500%, 

10/25/2058,

Ser.

2018-2,

Class

A41

b,g

1,983,858

GCAT

Trust

154,852

2.985%, 

2/25/2059,

Ser.

2019-NQM1,

Class

A1

g,h

151,822

Greenpoint

Mortgage

Funding

Trust

767,851

1.147%, 

(LIBOR

1M

+

0.200%),

10/25/2045,

Ser.

2005-AR4,

Class

G41B

b

617,301

GS

Mortgage-Backed

Securities

Trust

943,543

2.625%, 

1/25/2059,

Ser.

2019-SL1,

Class

A1

b,g

923,692

MASTR

Alternative

Loans

Trust

1,130,796

1.397%, 

(LIBOR

1M

+

0.450%),

12/25/2035,

Ser.

2005-6,

Class

2A1

b

254,307

Merrill

Lynch

Alternative

Note

Asset

Trust

239,960

6.000%, 

3/25/2037,

Ser.

2007-F1,

Class

2A1

154,381

MFRA

Trust

1,858,953

4.164%, 

7/25/2048,

Ser.

2018-NPL2,

Class

A1

g,h

1,841,390

Preston

Ridge

Partners

Mortgage

Trust,

LLC

2,286,110

4.500%, 

1/25/2024,

Ser.

2019-1A,

Class

A1

g,h

2,307,604

Principal

Amount

Long-Term

Fixed

Income

(45.2%)

Value

Collateralized

Mortgage

Obligations

(1.0%)

-

continued

RCO

Mortgage,

LLC

$

1,784,850

3.197%, 

11/25/2052,

Ser.

2017-INV1,

Class

A

b,g

$

1,707,038

1,179,028

4.270%, 

12/26/2053,

Ser.

2018-VFS1,

Class

A1

b,g

1,156,479

Renaissance

Home

Equity

Loan

Trust

2,239,812

5.580%, 

11/25/2036,

Ser.

2006-3,

Class

AF2

h

1,032,223

Residential

Accredit

Loans,

Inc.

Trust

1,032,971

6.000%, 

8/25/2035,

Ser.

2005-QS10,

Class

2A

940,128

340,981

5.750%, 

9/25/2035,

Ser.

2005-QS13,

Class

2A3

306,292

Residential

Asset

Securitization

Trust

1,244,728

5.375%, 

7/25/2035,

Ser.

2005-A8CB,

Class

A9

947,665

Sequoia

Mortgage

Trust

1,200,206

3.676%, 

9/20/2046,

Ser.

2007-1,

Class

4A1

b

846,095

Toorak

Mortgage

Corporation

2,450,000

4.458%, 

3/25/2022,

Ser.

2019-1,

Class

A1

g,h

2,146,976

Verus

Securitization

Trust

526,681

2.853%, 

1/25/2047,

Ser.

2017-1A,

Class

A1

b,g

513,914

926,065

2.485%, 

7/25/2047,

Ser.

2017-2A,

Class

A1

b,g

897,890

497,824

3.836%, 

2/25/2059,

Ser.

2019-1,

Class

A1

b,g

483,084

387,875

3.211%, 

5/25/2059,

Ser.

2019-2,

Class

A1

b,g

379,775

811,025

3.345%, 

5/25/2059,

Ser.

2019-2,

Class

A2

b,g

793,982

2,836,125

2.913%, 

7/25/2059,

Ser.

2019-INV2,

Class

A1

b,g

2,792,115

WaMu

Mortgage

Pass

Through

Certificates

177,075

3.706%, 

9/25/2036,

Ser.

2006-AR10,

Class

1A2

b

149,607

172,226

3.689%, 

10/25/2036,

Ser.

2006-AR12,

Class

1A1

b

149,934

Total

47,171,873

Commercial

Mortgage-Backed

Securities

(0.5%)

Citigroup

Commercial

Mortgage

Trust

3,400,000

3.102%, 

12/15/2072,

Ser.

2019-C7,

Class

A4

3,519,127

Federal

Home

Loan

Mortgage

Corporation

Multifamily

Structured

Pass

Through

Certificates

1,388,170

3.000%, 

3/15/2045,

Ser.

4741,

Class

GA

1,462,677

Federal

National

Mortgage

Association

-

ACES

4,500,000

3.555%, 

9/25/2028,

Ser.

2019-M1,

Class

A2

b

5,131,937

6,700,000

3.639%, 

8/25/2030,

Ser.

2018-M12,

Class

A2

b

7,648,769

GS

Mortgage

Securities

Trust

4,000,000

3.666%, 

9/10/2047,

Ser.

2014-GC24,

Class

A4

4,143,840

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

218

Principal

Amount

Long-Term

Fixed

Income

(45.2%)

Value

Commercial

Mortgage-Backed

Securities

(0.5%)

-

continued

UBS

Commercial

Mortgage

Trust

$

2,600,000

2.921%, 

10/15/2052,

Ser.

2019-C17,

Class

A4

$

2,697,587

Total

24,603,937

Communications

Services

(1.4%)

AMC

Networks,

Inc.

695,000

5.000%, 

4/1/2024

667,200

American

Tower

Corporation

700,000

2.900%, 

1/15/2030

681,183

AT&T,

Inc.

1,550,000

4.350%, 

3/1/2029

1,666,604

822,000

4.300%, 

2/15/2030

884,736

1,100,000

5.250%, 

3/1/2037

1,280,645

1,090,000

4.900%, 

8/15/2037

1,223,316

840,000

6.350%, 

3/15/2040

1,063,952

950,000

5.550%, 

8/15/2041

1,081,709

1,380,000

5.450%, 

3/1/2047

1,657,008

British

Sky

Broadcasting

Group

plc

1,100,000

3.125%, 

11/26/2022

g

1,118,707

British

Telecommunications

plc

1,225,000

4.500%, 

12/4/2023

1,283,398

CCO

Holdings,

LLC

570,000

5.500%, 

5/1/2026

g

577,182

640,000

5.125%, 

5/1/2027

g

644,141

1,530,000

4.750%, 

3/1/2030

g

1,526,175

510,000

4.500%, 

8/15/2030

g

499,800

Charter

Communications

Operating,

LLC

700,000

4.500%, 

2/1/2024

721,354

1,400,000

4.200%, 

3/15/2028

1,437,048

1,320,000

6.484%, 

10/23/2045

1,613,840

Clear

Channel

Worldwide

Holdings,

Inc.

710,000

5.125%, 

8/15/2027

g

664,844

Comcast

Corporation

1,325,000

4.950%, 

10/15/2058

1,829,900

850,000

4.049%, 

11/1/2052

1,013,051

875,000

2.750%, 

3/1/2023

899,623

750,000

3.950%, 

10/15/2025

825,747

1,250,000

4.250%, 

10/15/2030

1,465,550

690,000

4.400%, 

8/15/2035

835,764

1,115,000

4.750%, 

3/1/2044

1,409,218

550,000

4.600%, 

8/15/2045

701,739

Cox

Communications,

Inc.

1,400,000

3.350%, 

9/15/2026

g

1,376,576

568,000

4.600%, 

8/15/2047

g

587,289

Crown

Castle

International

Corporation

792,000

5.250%, 

1/15/2023

839,965

1,136,000

3.200%, 

9/1/2024

1,132,639

Discovery

Communications,

LLC

1,420,000

4.900%, 

3/11/2026

1,444,135

Embarq

Corporation

700,000

7.995%, 

6/1/2036

693,000

Fox

Corporation

680,000

3.500%, 

4/8/2030

e

678,633

Front

Range

BidCo,

Inc.

870,000

4.000%, 

3/1/2027

g

832,481

Gray

Television,

Inc.

670,000

5.875%, 

7/15/2026

g

645,076

iHeartCommunications,

Inc.

940,000

4.750%, 

1/15/2028

g

846,000

Principal

Amount

Long-Term

Fixed

Income

(45.2%)

Value

Communications

Services

(1.4%)

-

continued

Lamar

Media

Corporation

$

440,000

3.750%, 

2/15/2028

g

$

412,447

Level

3

Financing,

Inc.

1,655,000

4.625%, 

9/15/2027

g

1,644,904

Neptune

Finco

Corporation

1,769,000

10.875%, 

10/15/2025

g

1,906,097

Netflix,

Inc.

1,365,000

4.875%, 

4/15/2028

1,392,300

Nexstar

Escrow

Corporation

261,000

5.625%, 

8/1/2024

g

245,664

550,000

5.625%, 

7/15/2027

g,i

537,625

Omnicom

Group,

Inc.

530,000

3.600%, 

4/15/2026

529,007

660,000

4.200%, 

6/1/2030

680,585

SFR

Group

SA

930,000

7.375%, 

5/1/2026

g

939,300

Sirius

XM

Radio,

Inc.

1,250,000

5.000%, 

8/1/2027

g

1,268,625

Sprint

Corporation

1,270,000

7.250%, 

9/15/2021

1,308,989

1,255,000

7.625%, 

2/15/2025

1,388,846

Telefonica

Emisiones

SAU

825,000

4.570%, 

4/27/2023

880,986

Telesat

Canada

/

Telesat,

LLC

720,000

4.875%, 

6/1/2027

g

687,456

Time

Warner

Entertainment

Company,

LP

1,341,000

8.375%, 

3/15/2023

1,472,286

T-Mobile

USA,

Inc.

1,990,000

4.500%, 

2/1/2026

2,024,825

VeriSign,

Inc.

800,000

4.750%, 

7/15/2027

829,120

Verizon

Communications,

Inc.

1,311,000

3.376%, 

2/15/2025

1,406,273

575,000

2.792%, 

(LIBOR

3M

+

1.100%),

5/15/2025

b

524,126

3,054,000

4.272%, 

1/15/2036

3,567,870

Viacom,

Inc.

560,000

4.250%, 

9/1/2023

571,028

840,000

5.850%, 

9/1/2043

861,543

Virgin

Media

Secured

Finance

plc

1,300,000

5.500%, 

8/15/2026

g

1,319,500

Vodafone

Group

plc

1,250,000

4.875%, 

6/19/2049

1,380,927

Windstream

Services,

LLC

710,000

8.625%, 

10/31/2025

f,g

426,000

Ziggo

BV

584,000

5.500%, 

1/15/2027

g

584,000

Total

67,139,557

Consumer

Cyclical

(1.1%)

1011778

B.C.,

ULC

1,310,000

4.375%, 

1/15/2028

g

1,210,309

Allison

Transmission,

Inc.

950,000

5.000%, 

10/1/2024

g

921,500

Amazon.com,

Inc.

1,420,000

3.875%, 

8/22/2037

1,701,884

852,000

4.050%, 

8/22/2047

1,087,602

American

Honda

Finance

Corporation

1,250,000

2.150%, 

9/10/2024

1,220,249

Brookfield

Property

REIT,

Inc.

405,000

5.750%, 

5/15/2026

g

328,609

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

219

Principal

Amount

Long-Term

Fixed

Income

(45.2%)

Value

Consumer

Cyclical

(1.1%)

-

continued

Brookfield

Residential

Properties,

Inc.

$

900,000

6.250%, 

9/15/2027

g

$

780,660

Cedar

Fair,

LP

490,000

5.250%, 

7/15/2029

g

414,050

CVS

Health

Corporation

1,200,000

3.625%, 

4/1/2027

1,229,726

D.R.

Horton,

Inc.

1,175,000

2.550%, 

12/1/2020

1,158,655

Daimler

Finance

North

America,

LLC

1,200,000

1.750%, 

3/10/2023

g

1,129,898

Ford

Motor

Credit

Company,

LLC

420,000

3.200%, 

1/15/2021

405,825

385,000

2.645%, 

(LIBOR

3M

+

1.270%),

3/28/2022

b

312,924

1,500,000

2.979%, 

8/3/2022

1,395,000

1,420,000

4.063%, 

11/1/2024

1,288,650

1,400,000

4.134%, 

8/4/2025

1,241,800

General

Motors

Company

1,365,000

1.796%, 

(LIBOR

3M

+

0.900%),

9/10/2021

b

1,231,864

General

Motors

Financial

Company,

Inc.

512,000

4.200%, 

3/1/2021

492,749

1,250,000

3.150%, 

6/30/2022

1,128,409

560,000

3.950%, 

4/13/2024

507,542

Hanesbrands,

Inc.

1,000,000

4.875%, 

5/15/2026

g

982,500

Herc

Holdings,

Inc.

350,000

5.500%, 

7/15/2027

g

325,500

Hilton

Domestic

Operating

Company,

Inc.

1,290,000

4.875%, 

1/15/2030

1,096,500

Home

Depot,

Inc.

720,000

3.350%, 

4/15/2050

782,898

1,330,000

5.400%, 

9/15/2040

1,731,289

840,000

4.250%, 

4/1/2046

1,003,445

1,400,000

3.900%, 

6/15/2047

1,574,477

Hyundai

Capital

America

1,850,000

3.000%, 

6/20/2022

g

1,796,963

L

Brands,

Inc.

350,000

6.694%, 

1/15/2027

252,700

Landry's,

Inc.

670,000

6.750%, 

10/15/2024

g

422,026

Lennar

Corporation

825,000

4.125%, 

1/15/2022

816,750

1,985,000

4.875%, 

12/15/2023

1,945,300

Mastercard,

Inc.

875,000

3.300%, 

3/26/2027

950,823

830,000

3.950%, 

2/26/2048

957,616

Mattamy

Group

Corporation

1,130,000

5.250%, 

12/15/2027

g

1,050,900

McDonald's

Corporation

1,200,000

2.125%, 

3/1/2030

i

1,118,004

1,365,000

4.450%, 

3/1/2047

1,478,308

MGM

Resorts

International

1,315,000

6.000%, 

3/15/2023

1,268,975

Prime

Security

Services

Borrower,

LLC

1,310,000

5.750%, 

4/15/2026

g

1,283,800

Ryman

Hospitality

Properties,

Inc.

430,000

4.750%, 

10/15/2027

g

322,500

Scientific

Games

International,

Inc.

650,000

5.000%, 

10/15/2025

g

565,500

230,000

7.000%, 

5/15/2028

g

141,450

Principal

Amount

Long-Term

Fixed

Income

(45.2%)

Value

Consumer

Cyclical

(1.1%)

-

continued

ServiceMaster

Company,

LLC

$

1,300,000

5.125%, 

11/15/2024

g

$

1,283,750

Six

Flags

Entertainment

Corporation

400,000

5.500%, 

4/15/2027

g,i

337,000

Staples,

Inc.

710,000

7.500%, 

4/15/2026

g

621,254

Target

Corporation

1,000,000

2.250%, 

4/15/2025

1,015,237

TJX

Companies,

Inc.

1,150,000

3.750%, 

4/15/2027

1,180,890

675,000

3.875%, 

4/15/2030

698,455

Viking

Cruises,

Ltd.

425,000

5.875%, 

9/15/2027

g

248,672

Visa,

Inc.

680,000

1.900%, 

4/15/2027

678,082

1,150,000

2.700%, 

4/15/2040

1,141,536

Volkswagen

Group

of

America

Finance,

LLC

1,500,000

4.250%, 

11/13/2023

g

1,482,045

Walmart,

Inc.

825,000

3.250%, 

7/8/2029

907,552

Yum!

Brands,

Inc.

950,000

4.750%, 

1/15/2030

g

884,830

Total

51,535,432

Consumer

Non-Cyclical

(1.8%)

Abbott

Laboratories

1,000,000

4.750%, 

11/30/2036

1,266,197

AbbVie,

Inc.

1,320,000

3.600%, 

5/14/2025

1,390,715

675,000

2.950%, 

11/21/2026

g

687,729

560,000

4.700%, 

5/14/2045

629,122

2,000,000

4.875%, 

11/14/2048

2,333,012

Albertson's

Companies,

Inc.

1,210,000

7.500%, 

3/15/2026

g

1,304,138

Allergan,

Inc.

1,100,000

2.800%, 

3/15/2023

1,093,558

Altria

Group,

Inc.

700,000

4.400%, 

2/14/2026

724,883

1,225,000

5.800%, 

2/14/2039

1,342,301

Amgen,

Inc.

1,200,000

3.375%, 

2/21/2050

1,251,174

Anheuser-Busch

Companies,

LLC

2,240,000

4.700%, 

2/1/2036

2,339,937

Anheuser-Busch

InBev

Worldwide,

Inc.

2,725,000

4.750%, 

4/15/2058

2,798,888

1,350,000

4.375%, 

4/15/2038

1,360,341

150,000

4.600%, 

4/15/2048

158,899

Anthem,

Inc.

1,400,000

4.625%, 

5/15/2042

1,557,197

Avantor,

Inc.

710,000

6.000%, 

10/1/2024

g

743,867

B&G

Foods,

Inc.

690,000

5.250%, 

9/15/2027

672,750

BAT

Capital

Corporation

852,000

3.222%, 

8/15/2024

855,753

1,136,000

4.540%, 

8/15/2047

1,036,681

Bausch

Health

Companies,

Inc.

615,000

7.000%, 

1/15/2028

g

637,755

170,000

5.000%, 

1/30/2028

g

160,939

170,000

5.250%, 

1/30/2030

g

158,950

Baxalta,

Inc.

569,000

4.000%, 

6/23/2025

605,850

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

220

Principal

Amount

Long-Term

Fixed

Income

(45.2%)

Value

Consumer

Non-Cyclical

(1.8%)

-

continued

Becton,

Dickinson

and

Company

$

214,000

3.734%, 

12/15/2024

$

219,404

865,000

3.700%, 

6/6/2027

879,040

Biogen,

Inc.

1,200,000

5.200%, 

9/15/2045

1,552,618

Boston

Scientific

Corporation

840,000

7.375%, 

1/15/2040

1,212,172

Bristol-Myers

Squibb

Company

1,185,000

2.875%, 

8/15/2020

g

1,189,156

Bunge,

Ltd.

Finance

Corporation

300,000

3.500%, 

11/24/2020

302,486

Cargill,

Inc.

1,200,000

3.250%, 

5/23/2029

g

1,210,730

Centene

Corporation

1,640,000

4.750%, 

1/15/2025

i

1,660,500

210,000

4.250%, 

12/15/2027

g

210,399

490,000

4.625%, 

12/15/2029

g

492,450

Cigna

Corporation

290,000

2.721%, 

(LIBOR

3M

+

0.890%),

7/15/2023

b

269,641

1,050,000

4.125%, 

11/15/2025

1,124,303

760,000

3.050%, 

10/15/2027

734,114

1,325,000

4.800%, 

8/15/2038

1,489,124

Clorox

Company

1,680,000

3.100%, 

10/1/2027

1,751,806

Conagra

Brands,

Inc.

935,000

4.300%, 

5/1/2024

970,795

Constellation

Brands,

Inc.

1,120,000

3.600%, 

2/15/2028

1,095,905

CVS

Health

Corporation

556,000

3.700%, 

3/9/2023

578,789

275,000

4.000%, 

12/5/2023

287,146

1,370,000

4.100%, 

3/25/2025

1,441,811

1,870,000

4.875%, 

7/20/2035

2,126,984

Encompass

Health

Corporation

650,000

4.500%, 

2/1/2028

637,487

Energizer

Holdings,

Inc.

1,300,000

5.500%, 

6/15/2025

g,i

1,261,000

Express

Scripts

Holding

Company

1,685,000

4.800%, 

7/15/2046

1,806,999

General

Mills,

Inc.

550,000

2.875%, 

4/15/2030

548,900

HCA,

Inc.

1,900,000

5.375%, 

2/1/2025

1,933,231

Imperial

Brands

Finance

plc

1,200,000

3.875%, 

7/26/2029

g

1,123,370

JBS

USA,

LLC

610,000

5.750%, 

6/15/2025

g

616,100

1,370,000

5.500%, 

1/15/2030

g

1,414,525

Kimberly-Clark

Corporation

650,000

3.100%, 

3/26/2030

697,989

1,410,000

3.900%, 

5/4/2047

1,563,259

Kraft

Foods

Group,

Inc.

670,000

5.000%, 

6/4/2042

635,071

Kraft

Heinz

Foods

Company

1,650,000

3.375%, 

6/15/2021

1,653,036

1,030,000

3.750%, 

4/1/2030

g

982,365

Kroger

Company

710,000

2.800%, 

8/1/2022

719,854

Medtronic,

Inc.

945,000

4.375%, 

3/15/2035

1,176,796

80,000

4.625%, 

3/15/2045

105,809

Merck

&

Company,

Inc.

260,000

3.700%, 

2/10/2045

306,439

Principal

Amount

Long-Term

Fixed

Income

(45.2%)

Value

Consumer

Non-Cyclical

(1.8%)

-

continued

Mylan,

Inc.

$

260,000

3.125%, 

1/15/2023

g

$

252,138

Nestle

Holdings,

Inc.

900,000

3.900%, 

9/24/2038

g

1,036,075

Par

Pharmaceutical,

Inc.

660,000

7.500%, 

4/1/2027

g

656,700

Post

Holdings,

Inc.

760,000

5.750%, 

3/1/2027

g

778,780

Reynolds

American,

Inc.

1,563,000

5.700%, 

8/15/2035

1,720,939

Roche

Holdings,

Inc.

768,000

4.000%, 

11/28/2044

g

856,145

Scotts

Miracle-Gro

Company

720,000

4.500%, 

10/15/2029

685,800

Shire

Acquisitions

Investments

Ireland

Designated

Activity

Company

1,680,000

2.400%, 

9/23/2021

1,673,713

Simmons

Foods,

Inc.

515,000

5.750%, 

11/1/2024

g

467,517

Smithfield

Foods,

Inc.

820,000

2.650%, 

10/3/2021

g

767,598

Spectrum

Brands,

Inc.

1,250,000

5.750%, 

7/15/2025

1,168,750

Tenet

Healthcare

Corporation

350,000

4.625%, 

7/15/2024

333,375

970,000

5.125%, 

11/1/2027

g

926,350

Teva

Pharmaceutical

Finance

Netherlands

III

BV

590,000

2.800%, 

7/21/2023

538,369

Thermo

Fisher

Scientific,

Inc.

720,000

4.133%, 

3/25/2025

771,485

Tyson

Foods,

Inc.

560,000

3.550%, 

6/2/2027

580,236

UnitedHealth

Group,

Inc.

1,400,000

2.950%, 

10/15/2027

1,467,840

2,470,000

4.625%, 

7/15/2035

2,944,232

VRX

Escrow

Corporation

2,555,000

6.125%, 

4/15/2025

g

2,516,675

Zoetis,

Inc.

1,870,000

4.700%, 

2/1/2043

2,105,019

Total

85,339,975

Energy

(1.0%)

Archrock

Partners,

LP

400,000

6.250%, 

4/1/2028

g

276,000

BP

Capital

Markets

America,

Inc.

285,000

3.119%, 

5/4/2026

288,256

BP

Capital

Markets

plc

760,000

3.535%, 

11/4/2024

802,095

1,960,000

3.279%, 

9/19/2027

1,973,115

Buckeye

Partners,

LP

200,000

4.125%, 

3/1/2025

g

168,600

440,000

3.950%, 

12/1/2026

360,668

160,000

4.125%, 

12/1/2027

131,152

Canadian

Oil

Sands,

Ltd.

750,000

9.400%, 

9/1/2021

g

807,860

Cheniere

Corpus

Christi

Holdings,

LLC

700,000

7.000%, 

6/30/2024

614,381

1,185,000

5.875%, 

3/31/2025

1,077,960

Cheniere

Energy

Partners,

LP

1,365,000

5.625%, 

10/1/2026

1,269,450

Chesapeake

Energy

Corporation

344,000

11.500%, 

1/1/2025

g

55,040

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

221

Principal

Amount

Long-Term

Fixed

Income

(45.2%)

Value

Energy

(1.0%)

-

continued

ConocoPhillips

$

1,400,000

6.500%, 

2/1/2039

$

1,767,021

Continental

Resources,

Inc.

650,000

4.500%, 

4/15/2023

357,523

Diamondback

Energy,

Inc.

1,975,000

3.500%, 

12/1/2029

1,392,794

El

Paso

Pipeline

Partners

Operating

Company,

LLC

840,000

4.300%, 

5/1/2024

839,533

Enagas

SA

2,060,000

5.500%, 

1/15/2028

g

1,071,200

Enbridge,

Inc.

975,000

2.900%, 

7/15/2022

895,351

Energy

Transfer

Operating,

LP

450,000

4.200%, 

9/15/2023

393,054

1,340,000

6.000%, 

6/15/2048

1,125,130

Energy

Transfer

Partners,

LP

765,000

4.900%, 

3/15/2035

601,887

600,000

5.150%, 

2/1/2043

452,296

EnLink

Midstream

Partners,

LP

800,000

4.850%, 

7/15/2026

393,360

EQT

Corporation

180,000

3.900%, 

10/1/2027

124,146

Exxon

Mobil

Corporation

1,200,000

4.327%, 

3/19/2050

1,468,427

Kinder

Morgan

Energy

Partners,

LP

1,400,000

6.500%, 

9/1/2039

1,371,369

Magellan

Midstream

Partners,

LP

750,000

5.000%, 

3/1/2026

741,572

Marathon

Petroleum

Corporation

1,680,000

4.750%, 

12/15/2023

1,590,684

636,000

6.500%, 

3/1/2041

590,242

MPLX,

LP

1,200,000

4.875%, 

12/1/2024

1,050,548

1,680,000

4.875%, 

6/1/2025

1,383,499

Murphy

Oil

Corporation

690,000

5.875%, 

12/1/2027

360,732

Nabors

Industries,

Inc.

625,000

5.750%, 

2/1/2025

137,500

Nabors

Industries,

Ltd.

210,000

7.250%, 

1/15/2026

g

71,400

Newfield

Exploration

Company

1,000,000

5.625%, 

7/1/2024

536,711

560,000

5.375%, 

1/1/2026

292,558

Noble

Energy,

Inc.

1,250,000

5.050%, 

11/15/2044

772,084

ONEOK,

Inc.

860,000

2.200%, 

9/15/2025

663,663

720,000

3.100%, 

3/15/2030

541,314

Parsley

Energy,

LLC

1,025,000

5.625%, 

10/15/2027

g

722,625

Petrobras

Global

Finance

BV

712,000

5.093%, 

1/15/2030

g

649,700

Pioneer

Natural

Resources

Company

500,000

4.450%, 

1/15/2026

494,943

Plains

All

American

Pipeline,

LP

1,200,000

4.500%, 

12/15/2026

969,673

1,100,000

3.550%, 

12/15/2029

751,533

Sabine

Pass

Liquefaction,

LLC

840,000

6.250%, 

3/15/2022

814,758

1,000,000

5.625%, 

4/15/2023

930,431

1,140,000

5.750%, 

5/15/2024

1,069,938

Schlumberger

Holdings

Corporation

880,000

4.000%, 

12/21/2025

g

810,943

Principal

Amount

Long-Term

Fixed

Income

(45.2%)

Value

Energy

(1.0%)

-

continued

Southwestern

Energy

Company

$

1,130,000

7.500%, 

4/1/2026

$

740,150

Suncor

Energy,

Inc.

780,000

3.600%, 

12/1/2024

755,003

Sunoco

Logistics

Partners

Operations,

LP

700,000

4.000%, 

10/1/2027

554,036

Sunoco,

LP

625,000

5.500%, 

2/15/2026

540,800

935,000

5.875%, 

3/15/2028

776,050

Targa

Resources

Partners,

LP

780,000

5.375%, 

2/1/2027

641,940

Transocean

Guardian,

Ltd.

638,775

5.875%, 

1/15/2024

g

511,020

Transocean,

Ltd.

520,000

8.000%, 

2/1/2027

g

247,000

Viper

Energy

Partners,

LP

970,000

5.375%, 

11/1/2027

g

814,800

W&T

Offshore,

Inc.

860,000

9.750%, 

11/1/2023

g

202,152

Western

Gas

Partners,

LP

1,120,000

4.000%, 

7/1/2022

726,252

Williams

Companies,

Inc.

1,400,000

7.500%, 

1/15/2031

1,628,435

Williams

Partners,

LP

700,000

4.000%, 

11/15/2021

664,054

375,000

3.600%, 

3/15/2022

363,469

710,000

4.500%, 

11/15/2023

665,724

WPX

Energy,

Inc.

1,210,000

5.750%, 

6/1/2026

689,700

Total

46,545,304

Financials

(3.2%)

ACE

INA

Holdings,

Inc.

737,000

4.350%, 

11/3/2045

893,334

AerCap

Ireland

Capital,

Ltd.

980,000

3.500%, 

1/15/2025

832,591

950,000

3.875%, 

1/23/2028

724,378

Aircastle,

Ltd.

1,650,000

5.000%, 

4/1/2023

1,610,782

Ally

Financial,

Inc.

810,000

5.750%, 

11/20/2025

792,342

American

International

Group,

Inc.

1,705,000

3.750%, 

7/10/2025

1,706,896

1,560,000

3.900%, 

4/1/2026

1,625,392

Australia

and

New

Zealand

Banking

Group,

Ltd.

500,000

2.950%, 

7/22/2030

b,g

473,767

Aviation

Capital

Group,

LLC

1,135,000

2.875%, 

1/20/2022

g

1,025,819

Avolon

Holdings

Funding,

Ltd.

700,000

5.250%, 

5/15/2024

g

596,156

Banco

Santander

SA

1,200,000

2.968%, 

(LIBOR

3M

+

1.120%),

4/12/2023

b

1,153,216

Bank

of

America

Corporation

1,065,000

3.300%, 

1/11/2023

1,103,075

1,130,000

2.881%, 

4/24/2023

b

1,134,339

1,056,000

4.000%, 

4/1/2024

1,125,764

1,000,000

4.200%, 

8/26/2024

1,062,916

1,580,000

4.000%, 

1/22/2025

1,668,468

1,450,000

3.458%, 

3/15/2025

b

1,495,477

1,400,000

3.093%, 

10/1/2025

b

1,428,483

1,160,000

3.824%, 

1/20/2028

b

1,203,157

1,200,000

2.496%, 

2/13/2031

b

1,151,303

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

222

Principal

Amount

Long-Term

Fixed

Income

(45.2%)

Value

Financials

(3.2%)

-

continued

Bank

of

Nova

Scotia

$

600,000

2.700%, 

3/7/2022

$

611,323

Barclays

Bank

plc

264,000

10.179%, 

6/12/2021

g

280,581

Barclays

plc

1,825,000

3.250%, 

1/12/2021

1,812,754

1,300,000

4.610%, 

2/15/2023

b

1,322,668

Boston

Properties,

LP

850,000

4.500%, 

12/1/2028

934,783

BPCE

SA

725,000

3.000%, 

5/22/2022

g

717,747

1,960,000

3.500%, 

10/23/2027

g

1,909,472

Camden

Property

Trust

1,500,000

3.150%, 

7/1/2029

1,478,396

Capital

One

Financial

Corporation

1,120,000

3.050%, 

3/9/2022

1,118,288

1,000,000

4.200%, 

10/29/2025

996,486

Capital

One

NA

1,050,000

2.150%, 

9/6/2022

1,023,673

Cascades

USA,

Inc.

660,000

5.125%, 

1/15/2026

g

638,550

CIT

Group,

Inc.

1,325,000

5.000%, 

8/15/2022

1,291,931

230,000

5.250%, 

3/7/2025

224,250

Citigroup,

Inc.

690,000

4.050%, 

7/30/2022

702,403

840,000

3.142%, 

1/24/2023

b

850,481

1,990,000

4.400%, 

6/10/2025

2,153,027

1,120,000

3.200%, 

10/21/2026

1,160,022

1,704,000

3.668%, 

7/24/2028

b

1,765,685

840,000

4.125%, 

7/25/2028

862,042

1,400,000

3.520%, 

10/27/2028

b

1,401,829

828,000

4.650%, 

7/23/2048

996,744

CNA

Financial

Corporation

450,000

3.900%, 

5/1/2029

448,937

Commerzbank

AG

1,400,000

8.125%, 

9/19/2023

g

1,463,488

Cooperatieve

Centrale

Raiffeisen-

Boerenleenbank

BA

1,360,000

3.950%, 

11/9/2022

1,367,926

1,330,000

4.625%, 

12/1/2023

1,375,361

Credit

Agricole

SA

400,000

3.375%, 

1/10/2022

g

399,093

850,000

3.250%, 

1/14/2030

g

807,332

Credit

Suisse

Group

AG

775,000

7.250%, 

9/12/2025

b,g,k

703,312

1,065,000

3.869%, 

1/12/2029

b,g

1,078,042

Credit

Suisse

Group

Funding,

Ltd.

1,024,000

3.750%, 

3/26/2025

1,034,689

Danske

Bank

AS

900,000

3.244%, 

12/20/2025

b,g

836,599

Deutsche

Bank

AG

1,630,000

3.375%, 

5/12/2021

1,573,126

700,000

4.250%, 

10/14/2021

665,873

850,000

3.961%, 

11/26/2025

b

786,217

Discover

Bank

600,000

2.450%, 

9/12/2024

574,840

1,410,000

4.682%, 

8/9/2028

b

1,435,676

Duke

Realty,

LP

700,000

2.875%, 

11/15/2029

673,178

ERP

Operating,

LP

267,000

3.375%, 

6/1/2025

276,537

Fidelity

National

Financial,

Inc.

1,125,000

5.500%, 

9/1/2022

1,234,597

Principal

Amount

Long-Term

Fixed

Income

(45.2%)

Value

Financials

(3.2%)

-

continued

Fifth

Third

Bancorp

$

915,000

2.600%, 

6/15/2022

$

904,142

Five

Corners

Funding

Trust

2,450,000

4.419%, 

11/15/2023

g

2,635,560

GE

Capital

International

Funding

Company

3,115,000

4.418%, 

11/15/2035

3,365,354

Goldman

Sachs

Group,

Inc.

1,975,000

5.375%, 

5/10/2020

b,k

1,765,156

1,685,000

2.876%, 

10/31/2022

b

1,693,593

1,120,000

2.908%, 

6/5/2023

b

1,122,943

1,000,000

3.625%, 

2/20/2024

1,034,684

460,000

4.750%, 

10/21/2045

549,540

HCP,

Inc.

520,000

3.400%, 

2/1/2025

520,626

HSBC

Holdings

plc

1,075,000

6.875%, 

6/1/2021

b,k

1,056,188

925,000

2.650%, 

1/5/2022

923,535

1,525,000

3.803%, 

3/11/2025

b

1,587,664

1,040,000

3.900%, 

5/25/2026

1,058,086

1,100,000

4.950%, 

3/31/2030

1,213,124

Icahn

Enterprises,

LP

250,000

6.750%, 

2/1/2024

241,250

885,000

6.375%, 

12/15/2025

836,325

ING

Groep

NV

855,000

3.150%, 

3/29/2022

858,854

1,050,000

4.100%, 

10/2/2023

1,077,520

International

Lease

Finance

Corporation

550,000

5.875%, 

8/15/2022

491,685

Iron

Mountain,

Inc.

745,000

6.000%, 

8/15/2023

748,725

J.P.

Morgan

Chase

&

Company

670,000

2.295%, 

8/15/2021

668,713

1,400,000

2.700%, 

5/18/2023

1,436,294

565,000

3.031%, 

(LIBOR

3M

+

1.230%),

10/24/2023

b

546,869

1,040,000

3.625%, 

5/13/2024

1,084,613

1,200,000

3.875%, 

9/10/2024

1,267,129

1,040,000

3.125%, 

1/23/2025

1,083,448

25,000

3.900%, 

7/15/2025

26,740

105,000

3.300%, 

4/1/2026

110,186

1,350,000

4.203%, 

7/23/2029

b

1,483,000

1,700,000

3.882%, 

7/24/2038

b

1,899,662

Kimco

Realty

Corporation

2,272,000

3.300%, 

2/1/2025

2,286,533

Liberty

Mutual

Group,

Inc.

560,000

4.950%, 

5/1/2022

g

570,595

Lloyds

Banking

Group

plc

1,405,000

2.907%, 

11/7/2023

b

1,403,209

MassMutual

Global

Funding

920,000

2.750%, 

6/22/2024

g

907,628

MetLife,

Inc.

1,025,000

4.050%, 

3/1/2045

1,073,080

Mitsubishi

UFJ

Financial

Group,

Inc.

1,680,000

3.455%, 

3/2/2023

1,719,901

1,420,000

3.287%, 

7/25/2027

1,472,735

Morgan

Stanley

560,000

5.550%, 

7/15/2020

b,k

492,542

1,260,000

2.750%, 

5/19/2022

1,273,351

445,000

4.875%, 

11/1/2022

467,205

1,120,000

3.125%, 

1/23/2023

1,145,492

1,350,000

4.350%, 

9/8/2026

1,454,784

1,704,000

3.591%, 

7/22/2028

b

1,785,929

1,250,000

3.622%, 

4/1/2031

b

1,300,924

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

223

Principal

Amount

Long-Term

Fixed

Income

(45.2%)

Value

Financials

(3.2%)

-

continued

MPT

Operating

Partnership,

LP

$

665,000

6.375%, 

3/1/2024

$

665,000

675,000

4.625%, 

8/1/2029

621,000

Nationwide

Building

Society

650,000

3.622%, 

4/26/2023

b,g

646,195

Outfront

Media

Cap,

LLC

720,000

4.625%, 

3/15/2030

g

640,800

Park

Aerospace

Holdings,

Ltd.

700,000

4.500%, 

3/15/2023

g

607,116

Prudential

Financial,

Inc.

900,000

3.700%, 

3/13/2051

843,386

Quicken

Loans,

Inc.

1,315,000

5.750%, 

5/1/2025

g

1,308,425

Realty

Income

Corporation

1,120,000

4.125%, 

10/15/2026

1,160,891

Regency

Centers,

LP

1,680,000

4.125%, 

3/15/2028

1,695,247

Reinsurance

Group

of

America,

Inc.

965,000

4.700%, 

9/15/2023

1,062,335

650,000

3.900%, 

5/15/2029

634,635

Royal

Bank

of

Scotland

Group

plc

425,000

6.125%, 

12/15/2022

438,385

500,000

6.100%, 

6/10/2023

514,096

800,000

3.875%, 

9/12/2023

808,110

1,250,000

4.269%, 

3/22/2025

b

1,284,326

850,000

4.445%, 

5/8/2030

b

890,971

Santander

UK

Group

Holdings

plc

896,000

2.875%, 

10/16/2020

895,654

Simon

Property

Group,

LP

1,120,000

4.250%, 

11/30/2046

1,009,987

Societe

Generale

SA

840,000

4.750%, 

11/24/2025

g

841,413

Springleaf

Finance

Corporation

680,000

6.875%, 

3/15/2025

684,842

340,000

6.625%, 

1/15/2028

318,376

Standard

Chartered

plc

1,150,000

2.819%, 

1/30/2026

b,g

1,082,627

Sumitomo

Mitsui

Financial

Group,

Inc.

975,000

2.784%, 

7/12/2022

979,447

840,000

3.102%, 

1/17/2023

841,023

840,000

3.010%, 

10/19/2026

874,028

Synchrony

Financial

330,000

4.250%, 

8/15/2024

317,731

1,650,000

3.950%, 

12/1/2027

1,467,462

UBS

Group

Funding

Jersey,

Ltd.

768,000

4.125%, 

9/24/2025

g

797,895

Ventas

Realty,

LP

200,000

3.100%, 

1/15/2023

195,937

1,400,000

4.000%, 

3/1/2028

1,317,272

VICI

Properties,

LP

/

VICI

Note

Company,

Inc.

250,000

4.250%, 

12/1/2026

g

229,375

140,000

3.750%, 

2/15/2027

g

131,950

250,000

4.625%, 

12/1/2029

g

227,500

140,000

4.125%, 

8/15/2030

g

132,650

Voya

Financial,

Inc.

1,979,000

3.125%, 

7/15/2024

1,996,441

Wells

Fargo

&

Company

530,000

2.625%, 

7/22/2022

536,190

1,120,000

3.450%, 

2/13/2023

1,151,533

1,200,000

4.125%, 

8/15/2023

1,237,138

1,040,000

3.000%, 

2/19/2025

1,073,373

600,000

3.000%, 

4/22/2026

617,570

1,140,000

3.000%, 

10/23/2026

1,167,832

Principal

Amount

Long-Term

Fixed

Income

(45.2%)

Value

Financials

(3.2%)

-

continued

$

1,930,000

4.900%, 

11/17/2045

$

2,288,422

Welltower,

Inc.

435,000

3.950%, 

9/1/2023

430,812

ZB

NA

1,350,000

3.500%, 

8/27/2021

1,348,418

Total

152,454,545

Mortgage-Backed

Securities

(15.0%)

Federal

Home

Loan

Mortgage

Corporation

Conventional

15-Yr.

Pass

Through

27,635,221

3.500%, 

5/1/2034

29,127,576

Federal

Home

Loan

Mortgage

Corporation

Conventional

30-Yr.

Pass

Through

40,399,228

3.000%, 

3/25/2050

42,374,202

22,925,000

3.000%, 

4/1/2050

e

24,045,736

28,496,187

3.500%, 

7/1/2047

e

30,221,242

29,752,722

3.000%, 

8/1/2047

31,379,915

Federal

National

Mortgage

Association

2,870,218

3.230%, 

11/1/2020

2,870,264

11,400,993

4.500%, 

5/1/2048

12,298,276

22,327,329

3.500%, 

10/1/2048

23,578,546

18,825,944

3.500%, 

2/1/2049

19,862,051

19,093,123

3.500%, 

6/1/2049

20,182,353

25,538,512

3.500%, 

8/1/2049

27,045,386

Federal

National

Mortgage

Association

Conventional

15-Yr.

Pass

Through

43,000,000

2.500%, 

4/1/2035

e

44,617,539

81,150,000

2.000%, 

5/1/2035

e

83,280,187

45,500,000

2.500%, 

5/1/2035

e

47,177,813

43,500,000

3.000%, 

5/1/2035

e

45,433,816

Federal

National

Mortgage

Association

Conventional

30-Yr.

Pass

Through

107,175,000

2.500%, 

5/1/2050

e

110,889,232

45,505,265

4.000%, 

7/1/2048

48,595,232

76,475,000

3.000%, 

5/1/2049

e

80,080,474

1,203,890

3.500%, 

8/1/2049

e

1,270,841

Total

724,330,681

Technology

(1.0%)

Adobe,

Inc.

725,000

2.150%, 

2/1/2027

732,861

Apple,

Inc.

1,120,000

3.200%, 

5/11/2027

1,213,747

2,250,000

3.000%, 

11/13/2027

2,419,368

1,975,000

3.750%, 

9/12/2047

2,324,583

Applied

Materials,

Inc.

560,000

3.300%, 

4/1/2027

596,273

Avnet,

Inc.

820,000

3.750%, 

12/1/2021

835,686

Broadcom

Corporation

851,000

3.875%, 

1/15/2027

811,230

1,100,000

3.500%, 

1/15/2028

1,019,348

Broadcom,

Inc.

1,425,000

4.750%, 

4/15/2029

g

1,447,355

CommScope

Technologies

Finance,

LLC

1,065,000

6.000%, 

6/15/2025

g

974,688

Diamond

1

Finance

Corporation

3,520,000

6.020%, 

6/15/2026

g

3,745,426

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

224

Principal

Amount

Long-Term

Fixed

Income

(45.2%)

Value

Technology

(1.0%)

-

continued

Diamond

Sports

Group,

LLC

$

1,310,000

6.625%, 

8/15/2027

g,i

$

876,062

Harland

Clarke

Holdings

Corporation

990,000

8.375%, 

8/15/2022

g

763,537

Hewlett

Packard

Enterprise

Company

1,350,000

2.620%, 

(LIBOR

3M

+

0.720%),

10/5/2021

b

1,271,228

565,000

4.400%, 

10/15/2022

575,668

Intel

Corporation

2,400,000

3.100%, 

2/15/2060

2,602,871

Iron

Mountain,

Inc.

540,000

4.875%, 

9/15/2029

g

507,265

KLA

Corporation

1,440,000

3.300%, 

3/1/2050

1,372,280

Marvell

Technology

Group,

Ltd.

825,000

4.200%, 

6/22/2023

843,390

1,090,000

4.875%, 

6/22/2028

1,129,308

Microsoft

Corporation

1,575,000

4.750%, 

11/3/2055

2,223,191

1,575,000

4.200%, 

11/3/2035

1,974,117

3,350,000

3.700%, 

8/8/2046

3,973,761

NCR

Corporation

1,280,000

6.125%, 

9/1/2029

g

1,195,392

NVIDIA

Corporation

1,100,000

3.500%, 

4/1/2040

1,170,220

NXP

BV/NXP

Funding,

LLC

1,250,000

4.875%, 

3/1/2024

g

1,334,601

Open

Text

Corporation

560,000

4.125%, 

2/15/2030

g

526,540

Oracle

Corporation

2,765,000

2.950%, 

5/15/2025

2,867,724

1,300,000

2.800%, 

4/1/2027

1,325,120

1,400,000

3.850%, 

7/15/2036

1,461,837

1,200,000

3.600%, 

4/1/2040

1,194,547

Plantronics,

Inc.

710,000

5.500%, 

5/31/2023

g

516,525

PTC,

Inc.

220,000

3.625%, 

2/15/2025

g

205,700

SS&C

Technologies,

Inc.

1,250,000

5.500%, 

9/30/2027

g,i

1,289,062

Texas

Instruments,

Inc.

1,380,000

4.150%, 

5/15/2048

1,706,763

Tyco

Electronics

Group

SA

284,000

3.450%, 

8/1/2024

289,935

568,000

3.125%, 

8/15/2027

586,846

Total

49,904,055

Transportation

(0.2%)

Air

Canada

Pass

Through

Trust

205,402

3.875%, 

3/15/2023

g

191,129

Air

Lease

Corporation

435,000

3.500%, 

1/15/2022

396,429

Burlington

Northern

Santa

Fe,

LLC

850,000

5.750%, 

5/1/2040

i

1,151,815

1,285,000

5.050%, 

3/1/2041

1,587,833

900,000

4.450%, 

3/15/2043

1,064,675

CSX

Corporation

720,000

3.800%, 

4/15/2050

756,289

900,000

3.350%, 

9/15/2049

852,261

Hertz

Corporation

690,000

5.500%, 

10/15/2024

g

387,980

530,000

6.000%, 

1/15/2028

g

278,250

NCL

Corporation,

Ltd.

680,000

3.625%, 

12/15/2024

g

433,704

Principal

Amount

Long-Term

Fixed

Income

(45.2%)

Value

Transportation

(0.2%)

-

continued

Penske

Truck

Leasing

Company,

LP

$

1,175,000

3.375%, 

2/1/2022

g

$

1,187,673

United

Continental

Holdings,

Inc.

650,000

4.875%, 

1/15/2025

559,000

United

Parcel

Service,

Inc.

960,000

4.450%, 

4/1/2030

1,086,663

XPO

Logistics,

Inc.

1,178,000

6.750%, 

8/15/2024

g,i

1,151,848

Total

11,085,549

U.S.

Government

&

Agencies

(15.3%)

U.S.

Treasury

Bonds

1,200,000

2.000%, 

2/15/2050

1,393,734

16,625,000

2.250%, 

11/15/2027

18,702,476

31,750,000

2.875%, 

5/15/2028

37,450,117

14,120,000

5.250%, 

11/15/2028

19,615,769

38,250,000

1.625%, 

8/15/2029

41,532,627

8,540,000

1.500%, 

2/15/2030

9,206,520

1,075,000

4.375%, 

5/15/2040

1,709,208

600,000

3.000%, 

5/15/2042

805,477

27,658,000

2.500%, 

5/15/2046

34,793,980

35,100,000

2.875%, 

5/15/2049

47,932,066

1,000,000

2.375%, 

11/15/2049

1,248,125

U.S.

Treasury

Notes

1,900,000

1.375%, 

8/31/2020

l,m

1,909,945

72,000,000

1.375%, 

9/30/2020

72,450,000

21,800,000

2.750%, 

11/30/2020

22,177,242

715,000

1.875%, 

12/15/2020

723,826

28,600,000

2.500%, 

2/28/2021

29,218,922

10,250,000

1.375%, 

5/31/2021

10,399,746

58,454,000

1.125%, 

8/31/2021

59,216,642

57,800,000

1.500%, 

9/30/2021

58,910,844

2,000,000

2.500%, 

1/15/2022

2,080,938

3,990,000

1.125%, 

2/28/2022

4,057,175

22,230,000

1.875%, 

7/31/2022

23,057,546

53,005,000

2.000%, 

11/30/2022

55,427,494

6,540,000

2.500%, 

3/31/2023

6,972,253

65,780,000

2.500%, 

1/31/2024

71,224,837

12,780,000

2.125%, 

7/31/2024

13,746,488

2,550,000

1.500%, 

10/31/2024

2,681,982

15,100,000

2.250%, 

11/15/2024

16,398,836

8,000,000

2.125%, 

11/30/2024

8,649,062

3,750,000

1.375%, 

1/31/2025

3,929,004

32,800,000

2.625%, 

1/31/2026

36,852,594

22,580,000

2.500%, 

2/28/2026

25,225,212

Total

739,700,687

Utilities

(1.1%)

Ameren

Illinois

Company

720,000

4.500%, 

3/15/2049

854,451

American

Electric

Power

Company,

Inc.

1,022,000

2.950%, 

12/15/2022

991,385

Appalachian

Power

Company

560,000

3.300%, 

6/1/2027

570,173

Arizona

Public

Service

Company

700,000

3.500%, 

12/1/2049

712,092

Berkshire

Hathaway

Energy

Company

900,000

4.500%, 

2/1/2045

1,012,036

Calpine

Corporation

1,230,000

4.500%, 

2/15/2028

g

1,192,177

CenterPoint

Energy,

Inc.

435,000

3.850%, 

2/1/2024

441,269

1,100,000

2.500%, 

9/1/2024

1,080,024

750,000

4.250%, 

11/1/2028

769,264

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

225

Principal

Amount

Long-Term

Fixed

Income

(45.2%)

Value

Utilities

(1.1%)

-

continued

CMS

Energy

Corporation

$

840,000

2.950%, 

2/15/2027

$

828,194

Commonwealth

Edison

Company

1,025,000

3.700%, 

3/1/2045

1,077,806

Consolidated

Edison

Company

of

New

York,

Inc.

1,900,000

4.125%, 

5/15/2049

2,057,263

Consolidated

Edison,

Inc.

384,000

4.500%, 

12/1/2045

425,315

Consumers

Energy

Company

1,025,000

4.350%, 

4/15/2049

1,232,669

DTE

Electric

Company

760,000

3.700%, 

3/15/2045

803,479

890,000

3.700%, 

6/1/2046

943,238

Duke

Energy

Carolinas,

LLC

1,960,000

3.700%, 

12/1/2047

2,156,274

Duke

Energy

Corporation

1,120,000

3.750%, 

9/1/2046

1,073,650

Duke

Energy

Florida,

LLC

775,000

3.200%, 

1/15/2027

805,216

Duke

Energy

Indiana,

LLC

1,085,000

3.750%, 

5/15/2046

1,178,963

Edison

International

290,000

2.950%, 

3/15/2023

280,560

2,200,000

5.750%, 

6/15/2027

2,286,817

Energy

Transfer

Operating,

LP

1,380,000

5.200%, 

2/1/2022

1,298,626

Exelon

Corporation

1,175,000

4.700%, 

4/15/2050

1,227,343

792,000

4.450%, 

4/15/2046

801,609

FirstEnergy

Corporation

350,000

2.850%, 

7/15/2022

341,302

1,015,000

4.850%, 

7/15/2047

1,135,047

ITC

Holdings

Corporation

284,000

4.050%, 

7/1/2023

290,817

560,000

5.300%, 

7/1/2043

582,993

Mississippi

Power

Company

800,000

3.950%, 

3/30/2028

824,150

Monongahela

Power

Company

780,000

5.400%, 

12/15/2043

g

871,059

National

Rural

Utilities

Cooperative

Finance

Corporation

500,000

3.900%, 

11/1/2028

487,507

1,000,000

3.700%, 

3/15/2029

1,127,853

NextEra

Energy

Operating

Partners,

LP

1,260,000

3.875%, 

10/15/2026

g

1,197,000

NiSource

Finance

Corporation

560,000

3.490%, 

5/15/2027

566,598

1,475,000

5.650%, 

2/1/2045

1,695,487

Oncor

Electric

Delivery

Company,

LLC

2,240,000

3.750%, 

4/1/2045

2,378,332

Pacific

Gas

and

Electric

Company

800,000

3.300%, 

12/1/2027

n,o

764,000

800,000

3.950%, 

12/1/2047

n,o

722,000

PPL

Capital

Funding,

Inc.

1,275,000

5.000%, 

3/15/2044

1,362,701

PPL

Electric

Utilities

Corporation

840,000

3.950%, 

6/1/2047

892,200

Public

Service

Electric

&

Gas

Company

1,410,000

3.000%, 

5/15/2027

1,441,460

San

Diego

Gas

and

Electric

Company

1,450,000

4.150%, 

5/15/2048

1,561,603

Principal

Amount

Long-Term

Fixed

Income

(45.2%)

Value

Utilities

(1.1%)

-

continued

South

Carolina

Electric

&

Gas

Company

$

1,560,000

5.100%, 

6/1/2065

$

1,952,379

Southern

California

Edison

Company

1,135,000

4.000%, 

4/1/2047

1,181,407

Southern

Company

1,415,000

3.250%, 

7/1/2026

1,427,121

85,000

4.400%, 

7/1/2046

88,851

Southern

Company

Gas

Capital

Corporation

1,400,000

4.400%, 

5/30/2047

1,387,564

Southwestern

Electric

Power

Company

460,000

3.900%, 

4/1/2045

410,381

TerraForm

Power

Operating,

LLC

1,120,000

5.000%, 

1/31/2028

g

1,173,536

Virginia

Electric

and

Power

Company

750,000

4.600%, 

12/1/2048

852,437

Vistra

Operations

Company,

LLC

800,000

5.000%, 

7/31/2027

g

812,000

Total

53,627,678

Total

Long-Term

Fixed

Income

(cost

$2,123,368,907)

2,179,924,063

Shares

Registered

Investment

Companies

(

32.3%

)

Value

Unaffiliated  (0.5%)

7,287

Health

Care

Select

Sector

SPDR

Fund

645,482

53,250

Invesco

Senior

Loan

ETF

1,089,495

50,000

iShares

iBoxx

$

Investment

Grade

Corporate

Bond

ETF

i

6,175,500

7,393

iShares

Russell

2000

Value

Index

Fund

606,448

7,411

ProShares

Ultra

S&P

500

i

658,912

84,183

SPDR

Bloomberg

Barclays

High

Yield

Bond

ETF

7,975,497

40,569

SPDR

S&P

500

ETF

Trust

i

10,456,660

3,790

SPDR

S&P

Biotech

ETF

293,497

Total

27,901,491

Affiliated  (31.8%)

16,828,810

Thrivent

Core

Emerging

Markets

Debt

Fund

148,766,681

1,174,567

Thrivent

Core

Emerging

Markets

Equity

Fund

p

9,185,114

5,492,730

Thrivent

Core

International

Equity

Fund

40,810,987

13,346,682

Thrivent

Core

Low

Volatility

Equity

Fund

131,865,221

3,056,906

Thrivent

Global

Stock

Portfolio

33,098,652

29,498,979

Thrivent

High

Yield

Portfolio

120,066,746

39,957,288

Thrivent

Income

Portfolio

408,059,803

18,959,203

Thrivent

International

Allocation

Portfolio

145,125,118

10,339,689

Thrivent

Large

Cap

Value

Portfolio

143,014,444

24,998,144

Thrivent

Limited

Maturity

Bond

Portfolio

239,842,194

5,154,158

Thrivent

Mid

Cap

Stock

Portfolio

71,921,128

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

226

Shares

Registered

Investment

Companies

(32.3%)

Value

Affiliated  (31.8%)-

continued

2,627,460

Thrivent

Small

Cap

Stock

Portfolio

$

35,809,656

Total

1,527,565,744

Total

Registered

Investment

Companies

(cost

$1,636,221,089)

1,555,467,235

Shares

Common

Stock

(

16.3%

)

Value

Communications

Services

(1.2%)

56,677

Activision

Blizzard,

Inc.

p

3,371,148

14,416

Alphabet,

Inc.,

Class

A

p

16,750,671

3,613

Alphabet,

Inc.,

Class

C

p

4,201,233

51,191

AMC

Entertainment

Holdings,

Inc.

i

161,764

2,764

AMC

Networks,

Inc.

p

67,193

17,159

AT&T,

Inc.

500,185

1,780

Boingo

Wireless,

Inc.

p

18,886

18,672

CenturyLink,

Inc.

176,637

7,145

Cinemark

Holdings,

Inc.

72,808

133,944

Comcast

Corporation

4,604,995

6,984

Consolidated

Communications

Holdings,

Inc.

31,777

7,540

Discovery,

Inc.,

Class

A

i,p

146,578

13,290

DISH

Network

Corporation

p

265,667

7,618

EchoStar

Corporation

p

243,547

44,554

Facebook,

Inc.

p

7,431,607

33,579

Gannett

Company,

Inc.

49,697

2,250

Hemisphere

Media

Group,

Inc.

p

19,215

15,213

Interpublic

Group

of

Companies,

Inc.

246,298

14,896

Lions

Gate

Entertainment

Corporation,

Class

A

p

90,568

12,233

Lions

Gate

Entertainment

Corporation,

Class

B

p

68,260

61,526

Live

Nation

Entertainment,

Inc.

i,p

2,796,972

21,294

Meredith

Corporation

i

260,213

3,138

News

Corporation,

Class

B

28,211

25,991

ORBCOMM,

Inc.

p

63,418

49,227

QuinStreet,

Inc.

p

396,277

5,597

RingCentral,

Inc.

p

1,186,060

661

Roku,

Inc.

p

57,824

2,950

Scholastic

Corporation

75,196

2,204

Sinclair

Broadcast

Group,

Inc.

35,440

11,952

Take-Two

Interactive

Software,

Inc.

p

1,417,627

23,770

Tegna,

Inc.

258,142

1,895

Telephone

&

Data

Systems,

Inc.

31,760

13,241

Twitter,

Inc.

p

325,199

61,663

Uber

Technologies,

Inc.

p

1,721,631

141,500

Verizon

Communications,

Inc.

7,602,795

27,449

ViacomCBS,

Inc.

384,560

13,193

Walt

Disney

Company

1,274,444

10,089

Zillow

Group,

Inc.

p

342,723

Total

56,777,226

Consumer

Discretionary

(1.8%)

7,202

Abercrombie

&

Fitch

Company

i

65,466

7,116

Adient

plc

p

64,542

25,469

Alibaba

Group

Holding,

Ltd.

ADR

p

4,953,211

14,667

Amazon.com,

Inc.

p

28,596,543

3,609

American

Axle

&

Manufacturing

Holdings,

Inc.

p

13,028

16,228

American

Eagle

Outfitters,

Inc.

129,013

880

American

Public

Education,

Inc.

p

21,058

26,201

Aptiv

plc

1,290,137

15,795

At

Home

Group,

Inc.

p

31,906

1,369

AutoZone,

Inc.

p

1,158,174

3,699

Beazer

Homes

USA,

Inc.

p

23,822

37,620

Bed

Bath

&

Beyond,

Inc.

i

158,380

Shares

Common

Stock

(16.3%)

Value

Consumer

Discretionary

(1.8%)

-

continued

5,484

Big

Lots,

Inc.

$

77,982

761

Booking

Holdings,

Inc.

p

1,023,789

956

Boyd

Gaming

Corporation

13,786

18,407

Bright

Horizons

Family

Solutions,

Inc.

p

1,877,514

9,908

Burlington

Stores,

Inc.

p

1,570,022

4,616

Caleres,

Inc.

24,003

2,994

Carnival

Corporation

i

39,431

4,169

Century

Casinos,

Inc.

p

10,047

35,535

Chico's

FAS,

Inc.

45,840

6,135

Chipotle

Mexican

Grill,

Inc.

p

4,014,744

1,306

Churchill

Downs,

Inc.

134,453

50,242

Cooper-Standard

Holdings,

Inc.

p

515,985

33,512

Crocs,

Inc.

p

569,369

10,812

Culp,

Inc.

79,576

34,178

D.R.

Horton,

Inc.

1,162,052

5,814

Dana,

Inc.

45,407

39,195

Designer

Brands,

Inc.

195,191

4,073

Domino's

Pizza,

Inc.

1,319,937

15,101

Duluth

Holdings,

Inc.

i,p

60,555

8,688

Eldorado

Resorts,

Inc.

p

125,107

14,856

Emerald

Holding,

Inc

38,477

7,473

Ethan

Allen

Interiors,

Inc.

76,374

16,795

Etsy,

Inc.

p

645,600

12,229

Express,

Inc.

p

18,221

5,846

Extended

Stay

America,

Inc.

42,734

19,030

Five

Below,

Inc.

p

1,339,331

11,449

Foot

Locker,

Inc.

252,450

25,483

Fossil,

Inc.

p

83,839

28,387

GameStop

Corporation

i,p

99,354

10,745

Garrett

Motion,

Inc.

p

30,731

13,486

Genuine

Parts

Company

908,012

11,326

Goodyear

Tire

&

Rubber

Company

65,917

5,491

Grand

Canyon

Education,

Inc.

p

418,881

384

Group

1

Automotive,

Inc.

16,996

3,191

GrubHub,

Inc.

p

129,969

6,304

Hertz

Global

Holdings,

Inc.

p

38,959

41,180

Home

Depot,

Inc.

7,688,718

1,877

Hooker

Furniture

Corporation

29,300

16,362

Knoll,

Inc.

168,856

13,942

L

Brands,

Inc.

161,170

9,529

Lear

Corporation

774,231

51,521

Lowe's

Companies,

Inc.

4,433,382

2,847

Lululemon

Athletica,

Inc.

p

539,649

2,049

Lumber

Liquidators

Holdings,

Inc.

p

9,610

26,816

Macy's,

Inc.

i

131,667

807

Madison

Square

Garden

Company

p

170,608

7,049

Marcus

Corporation

86,844

1,000

Marriott

Vacations

Worldwide

Corporation

55,580

41,432

Mattel,

Inc.

p

365,016

7,153

McDonald's

Corporation

1,182,749

30,682

Michaels

Companies,

Inc.

p

49,705

5,253

Modine

Manufacturing

Company

p

17,072

7,222

Mohawk

Industries,

Inc.

p

550,605

27,691

Movado

Group,

Inc.

327,308

1,845

Netflix,

Inc.

p

692,797

1,295

Newell

Brands,

Inc.

17,198

47,323

NIKE,

Inc.

3,915,505

1,762

Norwegian

Cruise

Line

Holdings,

Ltd.

p

19,312

537

NVR,

Inc.

p

1,379,612

41,326

Office

Depot,

Inc.

67,775

19,655

Ollie's

Bargain

Outlet

Holdings,

Inc.

p

910,813

8,454

Oxford

Industries,

Inc.

306,542

9,459

Park

Hotels

&

Resorts,

Inc.

74,821

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

227

Shares

Common

Stock

(16.3%)

Value

Consumer

Discretionary

(1.8%)

-

continued

23,006

Party

City

Holdco,

Inc.

p

$

10,544

26,201

Penn

National

Gaming,

Inc.

p

331,443

35,441

Planet

Fitness,

Inc.

p

1,725,977

85,798

Playa

Hotels

and

Resorts

NV

p

150,147

694

PVH

Corporation

26,122

34,074

Qurate

Retail,

Inc.

p

208,022

14,670

Red

Rock

Resorts,

Inc.

125,428

4,164

RH

i,p

418,357

5,051

Ruth's

Hospitality

Group,

Inc.

33,741

6,545

Sally

Beauty

Holdings,

Inc.

p

52,884

7,394

Signet

Jewelers,

Ltd.

47,691

10,366

Six

Flags

Entertainment

Corporation

129,990

6,131

Skyline

Corporation

p

96,134

33,970

Sony

Corporation

ADR

2,010,345

13,376

Standard

Motor

Products,

Inc.

556,040

17,015

Tailored

Brands,

Inc.

29,606

1,020

Tapestry,

Inc.

13,209

13,033

Taylor

Morrison

Home

Corporation

p

143,363

12,609

Tenneco,

Inc.

p

45,392

22,705

Texas

Roadhouse,

Inc.

937,717

3,229

Thor

Industries,

Inc.

136,199

19,320

TJX

Companies,

Inc.

923,689

1,373

Toll

Brothers,

Inc.

26,430

18,164

Tupperware

Brands

Corporation

29,426

5,386

Ulta

Beauty,

Inc.

p

946,320

3,151

Urban

Outfitters,

Inc.

p

44,870

7,541

Vail

Resorts,

Inc.

1,113,881

347

Williams-Sonoma,

Inc.

14,754

6,838

Wingstop,

Inc.

544,989

12,973

Workhorse

Group,

Inc.

i,p

23,481

3,342

Wynn

Resorts,

Ltd.

201,155

20,023

Zumiez,

Inc.

p

346,798

Total

89,186,504

Consumer

Staples

(0.5%)

1,082

Andersons,

Inc.

20,287

10,060

B&G

Foods,

Inc.

181,985

336

Beyond

Meat,

Inc.

i,p

22,378

9,569

BJ's

Wholesale

Club

Holdings,

Inc.

p

243,722

12,271

Casey's

General

Stores,

Inc.

1,625,785

2,497

Central

Garden

&

Pet

Company

p

68,667

46,873

Coca-Cola

Company

2,074,130

22,090

Colgate-Palmolive

Company

1,465,892

3,458

Costco

Wholesale

Corporation

985,980

84,262

Cott

Corporation

763,414

3,907

Edgewell

Personal

Care

Company

p

94,081

1,340

Energizer

Holdings,

Inc.

40,535

55,410

Hain

Celestial

Group,

Inc.

p

1,438,998

9,542

John

B.

Sanfilippo

&

Son,

Inc.

853,055

10,780

Kimberly-Clark

Corporation

1,378,439

11,901

Monster

Beverage

Corporation

p

669,550

13,395

PepsiCo,

Inc.

1,608,739

45,910

Philip

Morris

International,

Inc.

3,349,594

19,422

Procter

&

Gamble

Company

2,136,420

3,070

Seneca

Foods

Corporation

p

122,125

11,573

Simply

Good

Foods

Company

p

222,896

3,155

Sprouts

Farmers

Markets,

Inc.

p

58,651

3,612

TreeHouse

Foods,

Inc.

p

159,470

42,973

Turning

Point

Brands,

Inc.

907,160

13,015

United

Natural

Foods,

Inc.

p

119,478

8,414

Vector

Group,

Ltd.

79,260

53,112

Wal-Mart

Stores,

Inc.

6,034,585

Total

26,725,276

Energy

(0.4%)

23,163

Abraxas

Petroleum

Corporation

p

2,803

Shares

Common

Stock

(16.3%)

Value

Energy

(0.4%)

-

continued

51,799

Antero

Midstream

Corporation

i

$

108,778

1,877

Apache

Corporation

7,846

101,012

Archrock,

Inc.

379,805

85,388

BP

plc

ADR

2,082,613

97,729

Callon

Petroleum

Company

p

53,546

26,258

Centennial

Resource

Development,

Inc.

p

6,906

30,467

Chevron

Corporation

2,207,639

40,607

Cimarex

Energy

Company

683,416

9,782

Concho

Resources,

Inc.

419,159

23,160

ConocoPhillips

713,328

28,276

Continental

Resources,

Inc.

i

216,029

23,750

Contura

Energy,

Inc.

p

55,812

17,825

Core

Laboratories

NV

i

184,311

16,280

Devon

Energy

Corporation

112,495

23,962

Diamond

Offshore

Drilling,

Inc.

i,p

43,850

12,149

Diamondback

Energy,

Inc.

318,304

50,658

EnLink

Midstream,

LLC

55,724

59,604

Enterprise

Products

Partners,

LP

852,337

10,970

EOG

Resources,

Inc.

394,042

26,975

EQT

Corporation

190,713

15,765

Equitrans

Midstream

Corporation

i

79,298

72,336

Euronav

NV

815,950

1,994

Evolution

Petroleum

Corporation

5,204

16,406

Exterran

Corporation

p

78,749

28,322

Exxon

Mobil

Corporation

1,075,386

24,277

Frank's

International

NV

p

62,877

26,268

Gran

Tierra

Energy,

Inc.

i,p

6,585

89,991

Halliburton

Company

616,438

19,281

Helmerich

&

Payne,

Inc.

301,748

14,878

Liberty

Oilfield

Services,

Inc.

40,022

196,485

Marathon

Oil

Corporation

646,436

51,667

Marathon

Petroleum

Corporation

1,220,375

94,822

Nabors

Industries,

Ltd.

i

36,990

33,074

NexTier

Oilfield

Solutions,

Inc.

p

38,697

49,409

Nine

Energy

Service,

Inc.

p

39,937

18,285

Oceaneering

International,

Inc.

p

53,758

2,843

Oil

States

International,

Inc.

p

5,771

5,092

ONEOK,

Inc.

111,057

41,070

Pacific

Drilling

SA

i,p

17,660

45,739

Patterson-UTI

Energy,

Inc.

107,487

5,434

PDC

Energy,

Inc.

p

33,745

12,454

Peabody

Energy

Corporation

36,117

1,837

Penn

Virginia

Corporation

p

5,676

20,602

Pioneer

Natural

Resources

Company

1,445,230

14,209

Plains

GP

Holdings,

LP

79,712

7,193

ProPetro

Holding

Corporation

p

17,982

178,329

QEP

Resources,

Inc.

59,651

11,626

RPC,

Inc.

i

23,950

11,262

Schlumberger,

Ltd.

151,924

23,753

SEACOR

Holdings,

Inc.

p

640,381

97,368

Southwestern

Energy

Company

p

164,552

27,484

Talos

Energy,

Inc.

p

158,033

9,053

Targa

Resources

Corporation

62,556

98,261

Transocean,

Ltd.

i,p

113,983

34,583

WPX

Energy,

Inc.

p

105,478

Total

17,548,851

Financials

(2.2%)

397

1st

Source

Corporation

12,875

47,140

Aflac,

Inc.

1,614,074

17,385

AG

Mortgage

Investment

Trust,

Inc.

47,635

18,817

Air

Lease

Corporation

416,608

1,750

Alleghany

Corporation

966,613

24,077

Ally

Financial,

Inc.

347,431

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

228

Shares

Common

Stock

(16.3%)

Value

Financials

(2.2%)

-

continued

2,736

American

Equity

Investment

Life

Holding

Company

$

51,437

20,536

American

Express

Company

1,758,087

44,472

American

Financial

Group,

Inc.

3,116,598

35,269

American

International

Group,

Inc.

855,273

5,835

Ameriprise

Financial,

Inc.

597,971

8,343

Ameris

Bancorp

198,230

3,129

Aon

plc

516,410

2,790

Argo

Group

International

Holdings,

Ltd.

103,397

1,205

ARMOUR

Residential

REIT,

Inc.

10,616

11,848

Arthur

J.

Gallagher

&

Company

965,731

4,833

Artisan

Partners

Asset

Management,

Inc.

103,861

20,505

Associated

Banc-Corp

262,259

60,589

Assured

Guaranty,

Ltd.

1,562,590

383,779

Bank

of

America

Corporation

8,147,628

2,434

Bank

of

Marin

Bancorp

73,020

19,479

Bank

of

N.T.

Butterfield

&

Son,

Ltd.

331,727

9,295

Bank

of

New

York

Mellon

Corporation

313,056

10,331

BankFinancial

Corporation

91,016

5,700

BankUnited,

Inc.

106,590

14,241

Banner

Corporation

470,523

10,249

Berkshire

Hathaway,

Inc.

p

1,873,825

3,282

BlackRock,

Inc.

1,443,982

2,694

BOK

Financial

Corporation

114,657

51,321

Boston

Private

Financial

Holdings,

Inc.

366,945

40,902

Bridgewater

Bancshares,

Inc.

p

398,795

5,947

Brighthouse

Financial,

Inc.

p

143,739

77,239

BrightSphere

Investment

Group

493,557

4,063

Brown

&

Brown,

Inc.

147,162

4,242

Byline

Bancorp,

Inc.

43,990

2,482

Cadence

Bancorporation

16,257

39,319

Capital

One

Financial

Corporation

1,982,464

9,820

Cboe

Global

Markets,

Inc.

876,435

86,240

Charles

Schwab

Corporation

2,899,389

14,058

Chubb,

Ltd.

1,570,138

5,547

Cincinnati

Financial

Corporation

418,521

14,027

CIT

Group,

Inc.

242,106

109,612

Citigroup,

Inc.

4,616,857

28,642

Citizens

Financial

Group,

Inc.

538,756

2,265

CME

Group,

Inc.

391,641

5,114

Cohen

&

Steers,

Inc.

232,431

65,554

Comerica,

Inc.

1,923,354

1,053

Community

Bank

System,

Inc.

61,916

17,518

Community

Trust

Bancorp,

Inc.

556,897

22,517

Cullen/Frost

Bankers,

Inc.

1,256,223

453

Diamond

Hill

Investment

Group,

Inc.

40,879

10,281

Discover

Financial

Services

366,723

7,138

Ellington

Residential

Mortgage

REIT

37,831

3,435

Enstar

Group,

Ltd.

p

546,337

4,936

Enterprise

Financial

Services

Corporation

137,764

6,954

Essent

Group,

Ltd.

183,168

121,608

Everi

Holdings,

Inc.

p

401,306

3,908

FBL

Financial

Group,

Inc.

182,386

1,322

Federal

Agricultural

Mortgage

Corporation

73,543

14,230

Fifth

Third

Bancorp

211,316

11,055

Financial

Institutions,

Inc.

200,538

7,000

First

American

Financial

Corporation

296,870

980

First

Bancshares,

Inc.

18,689

25,162

First

Busey

Corporation

430,522

2,075

First

Citizens

BancShares,

Inc.

690,705

23,676

First

Defiance

Financial

Corporation

348,984

Shares

Common

Stock

(16.3%)

Value

Financials

(2.2%)

-

continued

8,244

First

Financial

Corporation

$

277,988

42,676

First

Interstate

BancSystem,

Inc.

1,230,776

838

First

Mid-Illinois

Bancshares,

Inc.

19,894

13,446

First

Midwest

Bancorp,

Inc.

177,958

1,411

First

of

Long

Island

Corporation

24,481

8,997

First

Republic

Bank

740,273

5,361

Goldman

Sachs

Group,

Inc.

828,757

18,782

Great

Southern

Bancorp,

Inc.

758,793

14,823

Great

Western

Bancorp,

Inc.

303,575

13,236

Hamilton

Lane,

Inc.

732,083

6,068

Hancock

Whitney

Corporation

118,447

1,075

Hanmi

Financial

Corporation

11,664

10,840

Hanover

Insurance

Group,

Inc.

981,887

50,091

Hartford

Financial

Services

Group,

Inc.

1,765,207

21,443

Heartland

Financial

USA,

Inc.

647,579

75,250

Heritage

Commerce

Corporation

577,168

1,073

Heritage

Financial

Corporation

21,460

14,718

Hometrust

Bancshares,

Inc.

234,311

18,681

Horizon

Bancorp,

Inc.

184,195

9,933

Houlihan

Lokey,

Inc.

517,708

18,784

Independent

Bank

Corporation

241,750

21,898

Interactive

Brokers

Group,

Inc.

945,337

7,102

Intercontinental

Exchange,

Inc.

573,487

5,521

International

Bancshares

Corporation

148,405

37,127

J.P.

Morgan

Chase

&

Company

3,342,544

1,228

Janus

Henderson

Group

plc

18,813

10,215

Kemper

Corporation

759,690

106,484

KeyCorp

1,104,239

6,724

Lakeland

Bancorp,

Inc.

72,686

5,242

Loews

Corporation

182,579

10,001

M&T

Bank

Corporation

1,034,403

618

Markel

Corporation

p

573,436

3,235

Marsh

&

McLennan

Companies,

Inc.

279,698

3,043

Mercantile

Bank

Corporation

64,420

27,728

Meridian

Bancorp,

Inc.

311,108

41,025

MetLife,

Inc.

1,254,134

25,561

MidWestOne

Financial

Group,

Inc.

535,247

60,919

Morgan

Stanley

2,071,246

378

Morningstar,

Inc.

43,943

5,605

Mr.

Cooper

Group,

Inc.

p

41,085

4,467

MSCI,

Inc.

1,290,784

206

National

Western

Life

Group,

Inc.

35,432

1,133

NBT

Bancorp,

Inc.

36,698

14,917

Northern

Trust

Corporation

1,125,637

4,758

Northwest

Bancshares,

Inc.

55,050

2,277

OFG

Bancorp

25,457

3,272

Old

Republic

International

Corporation

49,898

9,663

Old

Second

Bancorp,

Inc.

66,771

4,044

PacWest

Bancorp

72,469

324

Park

National

Corporation

25,155

4,604

PCSB

Financial

Corporation

64,410

934

Peapack-Gladstone

Financial

Corporation

16,765

2,816

Peoples

Bancorp,

Inc.

62,374

12,940

PNC

Financial

Services

Group,

Inc.

1,238,617

57,846

Popular,

Inc.

2,024,610

7,476

Primerica,

Inc.

661,476

35,561

Prosight

Global,

Inc.

p

346,720

1,663

Provident

Financial

Services,

Inc.

21,386

10,178

Prudential

Financial,

Inc.

530,681

12,982

QCR

Holdings,

Inc.

351,423

19,061

Radian

Group,

Inc.

246,840

50,885

Raymond

James

Financial,

Inc.

3,215,932

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

229

Shares

Common

Stock

(16.3%)

Value

Financials

(2.2%)

-

continued

1,556

Ready

Capital

Corporation

$

11,234

11,876

Reinsurance

Group

of

America,

Inc.

999,247

7,961

Renasant

Corporation

173,868

16,454

S&P

Global,

Inc.

4,032,053

1,716

Safety

Insurance

Group,

Inc.

144,882

5,379

Sandy

Spring

Bancorp,

Inc.

121,781

6,429

Santander

Consumer

USA

Holdings,

Inc.

i

89,427

39,459

Seacoast

Banking

Corporation

of

Florida

p

722,494

25,242

SEI

Investments

Company

1,169,714

883

Selective

Insurance

Group,

Inc.

43,885

8,781

SLM

Corporation

63,135

8,380

Spirit

of

Texas

Bancshares,

Inc.

p

86,649

893

Starwood

Property

Trust,

Inc.

9,153

20,719

State

Auto

Financial

Corporation

575,781

11,266

SVB

Financial

Group

p

1,702,067

77,731

Synovus

Financial

Corporation

1,364,956

13,984

T.

Rowe

Price

Group,

Inc.

1,365,538

665

TCF

Financial

Corporation

15,069

4,077

Territorial

Bancorp,

Inc.

100,090

4,353

TMX

Group,

Ltd.

324,070

11,093

TPG

RE

Finance

Trust,

Inc.

60,901

8,212

TriCo

Bancshares

244,882

16,514

Triumph

Bancorp,

Inc.

p

429,364

30,570

TrustCo

Bank

Corporation

165,384

59,905

U.S.

Bancorp

2,063,727

648

UMB

Financial

Corporation

30,054

5,663

Umpqua

Holdings

Corporation

61,727

1,178

Univest

Financial

Corporation

19,225

94

Virtus

Investment

Partners,

Inc.

7,154

6,183

Washington

Trust

Bancorp,

Inc.

226,050

30,025

Webster

Financial

Corporation

687,573

9,223

Wells

Fargo

&

Company

264,700

5,334

WesBanco,

Inc.

126,416

826

Westamerica

Bancorporation

48,552

12,817

Western

Alliance

Bancorp

392,328

494

Westwood

Holdings

Group,

Inc.

9,045

32,663

Wintrust

Financial

Corporation

1,073,306

85,265

Zions

Bancorporations

NA

2,281,691

Total

106,443,065

Health

Care

(2.5%)

18,183

Abbott

Laboratories

1,434,821

3,635

AbbVie,

Inc.

276,951

1,053

Acceleron

Pharma,

Inc.

p

94,633

16,198

ADMA

Biologics,

Inc.

p

46,650

7,748

Aduro

Biotech,

Inc.

p

21,230

6,597

Aerie

Pharmaceuticals,

Inc.

p

89,059

6,935

Agenus,

Inc.

p

16,991

9,070

Agile

Therapeutics,

Inc.

p

16,870

14,653

Agilent

Technologies,

Inc.

1,049,448

15,809

Agios

Pharmaceuticals,

Inc.

i,p

560,903

4,681

Akebia

Therapeutics,

Inc.

p

35,482

5,637

Alexion

Pharmaceuticals,

Inc.

p

506,146

2,177

Align

Technology,

Inc.

p

378,689

8,042

Alkermes

plc

p

115,966

4,373

AmerisourceBergen

Corporation

387,010

8,831

Amgen,

Inc.

1,790,309

8,495

AnaptysBio,

Inc.

p

120,034

6,429

Anavex

Life

Sciences

Corporation

p

20,251

2,380

Arena

Pharmaceuticals,

Inc.

p

99,960

830

Argenx

SE

ADR

p

109,336

2,074

Assembly

Biosciences,

Inc.

p

30,757

4,432

Atara

Biotherapeutics,

Inc.

p

37,716

1,844

Athenex,

Inc.

p

14,273

Shares

Common

Stock

(16.3%)

Value

Health

Care

(2.5%)

-

continued

202

Atrion

Corporation

$

131,300

1,193

AVROBIO,

Inc.

p

18,563

17,479

Axonics

Modulation

Technologies,

Inc.

i,p

444,141

1,001

Axsome

Therapeutics,

Inc.

p

58,889

15,257

Bausch

Health

Companies,

Inc.

p

236,483

2,282

Becton,

Dickinson

and

Company

524,335

7,758

Biogen,

Inc.

p

2,454,476

3,612

Biohaven

Pharmaceutical

Holding

Company,

Ltd.

p

122,916

7,313

BioMarin

Pharmaceutical,

Inc.

p

617,949

2,957

Bio-Rad

Laboratories,

Inc.

p

1,036,606

11,479

Bio-Techne

Corporation

2,176,648

3,485

Bluebird

Bio,

Inc.

p

160,171

682

Blueprint

Medicines

Corporation

p

39,883

1,662

Bruker

Corporation

59,599

50,147

Catalent,

Inc.

p

2,605,137

3,612

CEL-SCI

Corporation

p

41,682

52,070

Centene

Corporation

p

3,093,479

6,319

Charles

River

Laboratories

International,

Inc.

p

797,521

1,985

Chemed

Corporation

859,902

13,252

Cigna

Holding

Company

2,347,989

5,199

Clovis

Oncology,

Inc.

i,p

33,066

8,458

Community

Health

Systems,

Inc.

p

28,250

16,984

CryoLife,

Inc.

p

287,369

63,913

CVS

Health

Corporation

3,791,958

4,106

CytomX

Therapeutics,

Inc.

p

31,493

3,945

Danaher

Corporation

546,027

1,110

Deciphera

Pharmaceuticals,

Inc.

p

45,699

8,157

Dexcom,

Inc.

p

2,196,435

11,842

Dynavax

Technologies

Corporation

p

41,802

18,886

Edwards

Lifesciences

Corporation

p

3,562,277

2,923

Encompass

Health

Corporation

187,160

13,748

Endo

International

plc

p

50,868

27,076

Gilead

Sciences,

Inc.

2,024,202

1,170

Global

Blood

Therapeutics,

Inc.

p

59,775

25,688

Guardant

Health,

Inc.

p

1,787,885

35,207

Halozyme

Therapeutics,

Inc.

p

633,374

15,310

HCA

Healthcare,

Inc.

1,375,604

1,950

HealthStream,

Inc.

p

46,703

11,260

Hill-Rom

Holdings,

Inc.

1,132,756

8,543

Humana,

Inc.

2,682,673

28,958

iBio,

Inc.

p

30,695

24,419

ImmunoGen,

Inc.

p

83,269

5,005

Immunomedics,

Inc.

p

67,467

3,007

Insmed,

Inc.

p

48,202

7,731

Inspire

Medical

Systems,

Inc.

p

466,025

5,313

Insulet

Corporation

p

880,258

1,207

Intra-Cellular

Therapies,

Inc.

p

18,552

10,849

Intuitive

Surgical,

Inc.

p

5,372,533

2,729

Invitae

Corporation

p

37,305

4,137

Iovance

Biotherapeutics,

Inc.

p

123,841

7,980

IQVIA

Holding,

Inc.

p

860,723

3,149

Jazz

Pharmaceuticals,

Inc.

p

314,081

62,212

Johnson

&

Johnson

8,157,860

9,364

Kadmon

Holdings,

Inc.

p

39,235

2,857

Laboratory

Corporation

of

America

Holdings

p

361,096

20,663

LHC

Group,

Inc.

p

2,896,953

2,312

Ligand

Pharmaceuticals,

Inc.

p

168,129

4,405

MacroGenics,

Inc.

p

25,637

66,158

Medtronic

plc

5,966,128

75,675

Merck

&

Company,

Inc.

5,822,435

2,720

Mersana

Therapeutics,

Inc.

p

15,858

988

Mesa

Laboratories,

Inc.

i

223,377

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

230

Shares

Common

Stock

(16.3%)

Value

Health

Care

(2.5%)

-

continued

429

Mirati

Therapeutics,

Inc.

p

$

32,977

4,371

Molina

Healthcare,

Inc.

p

610,672

1,139

Momenta

Pharmaceuticals,

Inc.

p

30,981

4,783

Myovant

Sciences,

Ltd.

p

36,112

2,578

Myriad

Genetics,

Inc.

p

36,891

13,373

Natera,

Inc.

p

399,318

9,638

National

Healthcare

Corporation

691,334

7,202

Nektar

Therapeutics

p

128,556

7,071

Neurocrine

Biosciences,

Inc.

p

611,995

3,029

Nevro

Corporation

p

302,839

52,117

Optinose,

Inc.

p

234,005

4,034

Orthifix

Medical,

Inc.

p

112,992

3,837

PerkinElmer,

Inc.

288,849

80,858

Pfizer,

Inc.

2,639,205

3,392

Portola

Pharmaceuticals,

Inc.

p

24,185

6,978

PRA

Health

Sciences,

Inc.

p

579,453

3,898

Precision

BioSciences,

Inc.

p

23,505

1,669

Prothena

Corporation

plc

p

17,858

3,406

Puma

Biotechnology,

Inc.

p

28,747

1,891

Quest

Diagnostics,

Inc.

151,847

1,209

Reata

Pharmaceuticals,

Inc.

p

174,507

4,102

Repligen

Corporation

p

396,007

6,822

ResMed,

Inc.

1,004,812

9,287

Rite

Aid

Corporation

p

139,305

2,612

Sage

Therapeutics,

Inc.

p

75,017

3,644

Sarepta

Therapeutics,

Inc.

i,p

356,456

9,413

Silk

Road

Medical,

Inc.

i,p

296,321

15,970

Spectrum

Pharmaceuticals,

Inc.

p

37,210

7,740

Stryker

Corporation

1,288,633

733

Surmodics,

Inc.

p

24,424

21,334

Syneos

Health,

Inc.

p

840,986

12,361

Tactile

Systems

Technology,

Inc.

p

496,418

734

Teladoc

Health,

Inc.

p

113,777

6,038

Teleflex,

Inc.

1,768,289

8,187

Tenet

Healthcare

Corporation

p

117,893

19,359

Thermo

Fisher

Scientific,

Inc.

5,490,212

4,148

Tilray,

Inc.

i,p

28,538

1,937

U.S.

Physical

Therapy,

Inc.

133,653

3,686

United

Therapeutics

Corporation

p

349,525

10,107

UnitedHealth

Group,

Inc.

2,520,484

3,570

Universal

Health

Services,

Inc.

353,716

3,153

Varian

Medical

Systems,

Inc.

p

323,687

29,484

Veeva

Systems,

Inc.

p

4,610,413

22,665

Vertex

Pharmaceuticals,

Inc.

p

5,393,137

6,763

Viking

Therapeutics,

Inc.

i,p

31,651

2,019

Waters

Corporation

p

367,559

2,331

West

Pharmaceutical

Services,

Inc.

354,895

53,494

Wright

Medical

Group

NV

p

1,532,603

7,270

Zimmer

Biomet

Holdings,

Inc.

734,852

58,646

Zoetis,

Inc.

6,902,048

Total

120,845,538

Industrials

(1.9%)

2,076

3M

Company

283,395

13,812

A.O.

Smith

Corporation

522,232

3,286

AECOM

p

98,087

4,908

Aegion

Corporation

p

88,000

8,801

Aerojet

Rocketdyne

Holdings,

Inc.

p

368,146

22,679

AGCO

Corporation

1,071,583

58,423

Altra

Industrial

Motion

Corporation

1,021,818

7,941

American

Airlines

Group,

Inc.

i

96,801

31,081

AMETEK,

Inc.

2,238,454

22,922

Arcosa,

Inc.

910,920

23,948

ASGN,

Inc.

p

845,843

4,368

Atlas

Air

Worldwide

Holdings,

Inc.

p

112,127

3,818

Avis

Budget

Group,

Inc.

p

53,070

Shares

Common

Stock

(16.3%)

Value

Industrials

(1.9%)

-

continued

25,342

AZZ,

Inc.

$

712,617

2,291

Bloom

Energy

Corporation

p

11,982

14,848

Boeing

Company

2,214,431

19,135

BWX

Technologies,

Inc.

932,066

1,774

Carlisle

Companies,

Inc.

222,247

9,062

Casella

Waste

Systems,

Inc.

p

353,962

7,960

Caterpillar,

Inc.

923,678

35,321

CBIZ,

Inc.

p

738,915

6,600

Chart

Industries,

Inc.

p

191,268

294

Columbus

McKinnon

Corporation

7,350

5,143

Cornerstone

Building

Brands,

Inc.

p

23,452

4,073

CRA

International,

Inc.

136,079

23,464

Crane

Company

1,153,960

14,511

CSW

Industrials,

Inc.

941,038

19,827

CSX

Corporation

1,136,087

29,083

Curtiss-Wright

Corporation

2,687,560

56,190

Delta

Air

Lines,

Inc.

1,603,101

3,677

Douglas

Dynamics,

Inc.

130,570

31,911

EMCOR

Group,

Inc.

1,956,783

23,594

Emerson

Electric

Company

1,124,254

14,713

Encore

Wire

Corporation

617,799

10,642

Expeditors

International

of

Washington,

Inc.

710,034

19,362

Fluor

Corporation

133,791

18,912

Forrester

Research,

Inc.

p

552,798

12,150

FuelCell

Energy,

Inc.

i,p

18,346

23,330

General

Dynamics

Corporation

3,086,792

8,205

Gorman-Rupp

Company

256,078

1,389

Heico

Corporation

103,633

7,930

Helios

Technologies,

Inc.

300,706

973

Herc

Holdings,

Inc.

p

19,908

60,820

Honeywell

International,

Inc.

8,137,108

9,403

Hubbell,

Inc.

1,078,900

4,152

Huntington

Ingalls

Industries,

Inc.

756,536

2,880

ICF

International,

Inc.

197,856

24,570

IDEX

Corporation

3,393,363

15,475

Ingersoll

-

Rand,

Inc.

p

383,780

2,115

Interface,

Inc.

15,989

3,908

John

Bean

Technologies

Corporation

290,247

45,338

Johnson

Controls

International

plc

1,222,312

8,870

Kansas

City

Southern

1,128,087

1,007

Kennametal,

Inc.

18,750

29,533

Lincoln

Electric

Holdings,

Inc.

i

2,037,777

12,514

Lockheed

Martin

Corporation

4,241,620

5,453

Manpower,

Inc.

288,954

3,138

Masonite

International

Corporation

p

148,898

2,901

Mercury

Systems,

Inc.

p

206,957

55,739

Meritor,

Inc.

p

738,542

4,817

MSC

Industrial

Direct

Company,

Inc.

264,790

6,020

Nordson

Corporation

813,121

14,879

Norfolk

Southern

Corporation

2,172,334

698

Northrop

Grumman

Corporation

211,180

12,846

Old

Dominion

Freight

Line,

Inc.

1,686,166

19,201

Parker-Hannifin

Corporation

2,490,946

58,174

Primoris

Services

Corporation

924,967

24,948

Raven

Industries,

Inc.

529,646

10,661

Regal-Beloit

Corporation

671,110

1,139

Republic

Services,

Inc.

85,493

8,239

Resideo

Technologies,

Inc.

p

39,877

40,169

Ritchie

Brothers

Auctioneers,

Inc.

1,372,976

6,346

Rockwell

Automation,

Inc.

957,675

4,882

Roper

Industries,

Inc.

1,522,256

6,461

Ryder

System,

Inc.

170,829

10,611

Saia,

Inc.

p

780,333

3,779

SiteOne

Landscape

Supply,

Inc.

p

278,210

42,521

Southwest

Airlines

Company

1,514,173

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

231

Shares

Common

Stock

(16.3%)

Value

Industrials

(1.9%)

-

continued

1,839

SP

Plus

Corporation

p

$

38,159

1,633

Spirit

Airlines,

Inc.

p

21,049

1,846

SPX

FLOW,

Inc.

p

52,463

21,320

Standex

International

Corporation

1,045,106

3,844

Teledyne

Technologies,

Inc.

p

1,142,706

2,933

Thermon

Group

Holdings,

Inc.

p

44,200

17,538

Trane

Technologies

plc

1,448,463

1,523

TransDigm

Group,

Inc.

487,649

2,692

Trex

Company,

Inc.

p

215,737

30,001

TriMas

Corporation

p

693,023

3,050

UniFirst

Corporation

460,825

2,520

Union

Pacific

Corporation

355,421

8,032

United

Airlines

Holdings,

Inc.

i,p

253,410

18,464

United

Rentals,

Inc.

p

1,899,946

41,978

United

Technologies

Corporation

3,959,785

21,720

Valmont

Industries,

Inc.

2,301,886

22,162

Verisk

Analytics,

Inc.

3,088,940

13,601

Waste

Connections,

Inc.

1,054,078

3,463

Watsco,

Inc.

547,258

17,269

Willdan

Group,

Inc.

p

369,039

5,509

XPO

Logistics,

Inc.

i,p

268,564

Total

91,231,226

Information

Technology

(4.2%)

11,184

Accenture

plc

1,825,900

16,315

Adobe,

Inc.

p

5,192,086

5,695

ADTRAN,

Inc.

43,738

7,005

Advanced

Energy

Industries,

Inc.

p

339,672

37,796

Advanced

Micro

Devices,

Inc.

p

1,718,962

9,577

Agilysys,

Inc.

p

159,936

16,711

Akamai

Technologies,

Inc.

p

1,528,889

5,580

Alliance

Data

Systems

Corporation

187,767

3,787

Alteryx,

Inc.

i,p

360,409

3,787

American

Software,

Inc.

53,813

35,226

Amphenol

Corporation

2,567,271

5,162

ANSYS,

Inc.

p

1,200,010

93,124

Apple,

Inc.

23,680,502

6,313

Atlassian

Corporation

plc

p

866,522

13,643

Automatic

Data

Processing,

Inc.

1,864,725

8,842

Avalara,

Inc.

p

659,613

5,072

Avnet,

Inc.

127,307

10,773

Bandwidth,

Inc.

i,p

724,915

18,953

Benchmark

Electronics,

Inc.

378,870

17,543

Blackline,

Inc.

p

922,937

1,595

Broadcom,

Ltd.

378,175

6,690

Broadridge

Financial

Solutions,

Inc.

634,413

1,242

CACI

International,

Inc.

p

262,248

29,861

CDK

Global,

Inc.

980,934

3,872

CDW

Corporation

361,141

566

CEVA,

Inc.

p

14,110

52,028

Change

Healthcare,

Inc.

p

519,760

52,670

Ciena

Corporation

p

2,096,793

245,124

Cisco

Systems,

Inc.

9,635,824

8,607

Cognex

Corporation

363,388

8,615

CommScope

Holding

Company,

Inc.

p

78,483

14,911

Computer

Services,

Inc.

599,870

15,433

Coupa

Software,

Inc.

p

2,156,453

1,934

Cree,

Inc.

p

68,580

12,888

CTS

Corporation

320,782

7,999

Descartes

Systems

Group,

Inc.

p

275,086

25,410

DocuSign,

Inc.

p

2,347,884

55,794

Dolby

Laboratories,

Inc.

3,024,593

4,313

DSP

Group,

Inc.

p

57,794

18,752

Elastic

NV

i,p

1,046,549

6,673

ePlus,

Inc.

p

417,863

8,958

Euronet

Worldwide,

Inc.

p

767,880

Shares

Common

Stock

(16.3%)

Value

Information

Technology

(4.2%)

-

continued

8,994

ExlService

Holdings,

Inc.

p

$

467,958

1,851

eXp

World

Holdings,

Inc.

p

15,659

8,494

F5

Networks,

Inc.

p

905,715

906

Fair

Isaac

Corporation

p

278,767

9,590

Five9,

Inc.

p

733,251

1,104

FLIR

Systems,

Inc.

35,207

2,526

Gartner,

Inc.

p

251,514

11,315

Global

Payments,

Inc.

1,631,962

14,903

Guidewire

Software,

Inc.

p

1,181,957

2,106

Inphi

Corporation

p

166,732

18,825

Intel

Corporation

1,018,809

3,372

InterDigital,

Inc.

150,492

4,094

International

Business

Machines

Corporation

454,147

18,845

Intuit,

Inc.

4,334,350

1,759

Jack

Henry

&

Associates,

Inc.

273,067

11,296

Juniper

Networks,

Inc.

216,205

2,788

KLA-Tencor

Corporation

400,747

1,870

Kulicke

and

Soffa

Industries,

Inc.

39,027

4,639

Lam

Research

Corporation

1,113,360

32,766

Lattice

Semiconductor

Corporation

p

583,890

3,897

Littelfuse,

Inc.

519,938

4,264

ManTech

International

Corporation

309,865

44,384

MasterCard,

Inc.

10,721,399

11,500

Maxim

Integrated

Products,

Inc.

559,015

13,537

Methode

Electronics,

Inc.

357,783

208,299

Microsoft

Corporation

32,850,835

8,096

MicroStrategy,

Inc.

p

956,138

5,552

MKS

Instruments,

Inc.

452,210

12,642

MoneyGram

International,

Inc.

p

16,561

21,698

Monolithic

Power

Systems,

Inc.

3,633,547

7,828

MTS

Systems

Corporation

176,130

28,982

National

Instruments

Corporation

958,725

349

NetApp,

Inc.

14,550

9,391

Nice,

Ltd.

ADR

p

1,348,172

7,103

Nova

Measuring

Instruments,

Ltd.

p

231,913

3,674

Novanta,

Inc.

p

293,479

33,798

Nuance

Communications,

Inc.

p

567,130

22,100

NVIDIA

Corporation

5,825,560

25,967

Oracle

Corporation

1,254,985

8,523

Palo

Alto

Networks,

Inc.

p

1,397,431

4,663

Paychex,

Inc.

293,396

47,925

PayPal

Holdings,

Inc.

p

4,588,340

8,860

Plexus

Corporation

p

483,402

3,519

Progress

Software

Corporation

112,608

3,840

Proofpoint,

Inc.

p

393,946

7,268

Q2

Holdings,

Inc.

i,p

429,248

6,716

QAD,

Inc.

268,170

21,001

QUALCOMM,

Inc.

1,420,718

1,541

Rogers

Corporation

p

145,501

2,697

Rubicon

Project,

Inc.

p

14,968

51,688

SailPoint

Technologies

Holdings,

Inc.

p

786,691

16,056

Salesforce.com,

Inc.

p

2,311,743

1,897

Samsung

Electronics

Company,

Ltd.

GDR

1,876,394

8,278

ScanSource,

Inc.

p

177,066

26,092

ServiceNow,

Inc.

p

7,477,445

4,541

Silicon

Laboratories,

Inc.

p

387,847

54,573

Square,

Inc.

p

2,858,534

42,340

STMicroelectronics

NV

ADR

904,806

1,265

Sykes

Enterprises,

Inc.

p

34,307

16,492

Synopsys,

Inc.

p

2,124,005

22,499

TE

Connectivity,

Ltd.

1,416,987

10,357

Teradyne,

Inc.

561,039

70,632

Texas

Instruments,

Inc.

7,058,256

4,412

Tyler

Technologies,

Inc.

p

1,308,423

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

232

Shares

Common

Stock

(16.3%)

Value

Information

Technology

(4.2%)

-

continued

1,676

Unisys

Corporation

p

$

20,699

6,034

VeriSign,

Inc.

p

1,086,663

27,838

Virtusa

Corporation

p

790,599

72,781

Visa,

Inc.

11,726,475

8,240

VMware,

Inc.

p

997,864

5,713

WEX,

Inc.

p

597,294

5,773

Xilinx,

Inc.

449,948

21,200

Zscaler,

Inc.

i,p

1,290,232

Total

201,904,243

Materials

(0.5%)

6,375

AdvanSix,

Inc.

p

60,817

7,976

AptarGroup,

Inc.

793,931

3,323

Avery

Dennison

Corporation

338,514

281

Balchem

Corporation

27,740

8,183

Ball

Corporation

529,113

4,742

Cabot

Corporation

123,861

6,949

Celanese

Corporation

509,987

48,496

CF

Industries

Holdings,

Inc.

1,319,091

20,293

Chemours

Company

i

179,999

48,979

Coeur

Mining,

Inc.

p

157,223

56,164

Eastman

Chemical

Company

2,616,119

22,493

Ecolab,

Inc.

3,505,084

63,396

Element

Solutions,

Inc.

p

529,991

2,675

Ferro

Corporation

p

25,038

19,660

Ferroglobe

Representation

&

Warranty

Insurance

Trust

c,p

2

25,802

Hecla

Mining

Company

46,960

5,191

Ingevity

Corporation

p

182,723

12,354

Innospec,

Inc.

858,479

145,573

Ivanhoe

Mines,

Ltd.

p

242,053

14,581

Kaiser

Aluminum

Corporation

1,010,172

6,291

Kraton

Performance

Polymers,

Inc.

p

50,957

67,079

Louisiana-Pacific

Corporation

1,152,417

6,554

Martin

Marietta

Materials,

Inc.

1,240,213

10,816

Materion

Corporation

378,668

6,960

Minerals

Technologies,

Inc.

252,370

20,754

Myers

Industries,

Inc.

223,105

11,722

Neenah,

Inc.

505,570

32,850

Nucor

Corporation

1,183,257

27,717

Nutanix,

Inc.

p

437,929

3,690

O-I

Glass,

Inc.

26,236

7,639

Olin

Corporation

89,147

2,143

Olympic

Steel,

Inc.

22,180

19,080

PPG

Industries,

Inc.

1,595,088

546

Quaker

Chemical

Corporation

68,949

3,089

Reliance

Steel

&

Aluminum

Company

270,566

2,429

RPM

International,

Inc.

144,525

10,733

Ryerson

Holding

Corporation

p

57,100

325

Schnitzer

Steel

Industries,

Inc.

4,238

858

Sensient

Technologies

Corporation

37,332

1,749

Sherwin-Williams

Company

803,700

48,593

Steel

Dynamics,

Inc.

1,095,286

8,008

UFP

Technologies,

Inc.

p

305,025

8,346

United

States

Lime

&

Minerals,

Inc.

616,352

18,978

United

States

Steel

Corporation

i

119,751

9,695

Verso

Corporation

p

109,360

1,841

W.

R.

Grace

&

Company

65,540

1,902

Worthington

Industries,

Inc.

49,927

Total

23,961,685

Real

Estate

(0.8%)

45,652

Agree

Realty

Corporation

2,825,859

4,006

Alexandria

Real

Estate

Equities,

Inc.

549,062

50,409

American

Campus

Communities,

Inc.

1,398,850

15,979

American

Tower

Corporation

3,479,427

Shares

Common

Stock

(16.3%)

Value

Real

Estate

(0.8%)

-

continued

15,876

Apartment

Investment

&

Management

Company

$

558,041

1,484

Ares

Commercial

Real

Estate

Corporation

10,373

10,866

Armada

Hoffler

Properties,

Inc.

116,266

29,767

Ashford

Hospitality

Trust,

Inc.

22,004

3,852

AvalonBay

Communities,

Inc.

566,899

2,650

BBX

Capital

Corporation

6,121

197

Bluerock

Residential

Growth

REIT,

Inc.

1,097

15,237

Camden

Property

Trust

1,207,380

29,533

CBL

&

Associates

Properties,

Inc.

p

5,910

32,867

Cedar

Realty

Trust,

Inc.

30,668

4,980

City

Office

REIT,

Inc.

36,005

6,047

Colony

Credit

Real

Estate,

Inc.

23,825

5,587

Columbia

Property

Trust,

Inc.

69,838

4,177

Corepoint

Lodging,

Inc.

16,374

5,790

CoreSite

Realty

Corporation

671,061

3,470

CoStar

Group,

Inc.

p

2,037,619

24,259

Cousins

Properties,

Inc.

710,061

21,273

DiamondRock

Hospitality

Company

108,067

3,199

Digital

Realty

Trust,

Inc.

444,373

19,267

Diversified

Healthcare

Trust

69,939

8,910

Douglas

Emmett,

Inc.

271,844

14,576

Duke

Realty

Corporation

471,971

3,549

EastGroup

Properties,

Inc.

370,800

4,386

EPR

Properties

106,229

926

Equity

Lifestyle

Properties,

Inc.

53,226

34,683

Equity

Residential

2,140,288

54,668

Essential

Properties

Realty

Trust,

Inc.

713,964

3,523

Essex

Property

Trust,

Inc.

775,906

5,526

Farmland

Partners,

Inc.

33,543

33,111

First

Industrial

Realty

Trust,

Inc.

1,100,279

10,887

Four

Corners

Property

Trust,

Inc.

203,696

5,066

Franklin

Street

Properties

Corporation

29,028

9,821

Gaming

and

Leisure

Properties,

Inc.

272,140

1,953

Getty

Realty

Corporation

46,364

7,903

Healthcare

Realty

Trust,

Inc.

220,731

12,124

Healthcare

Trust

of

America,

Inc.

294,371

82,540

Host

Hotels

&

Resorts,

Inc.

911,242

3,512

Hudson

Pacific

Properties,

Inc.

89,064

8,133

Industrial

Logistics

Properties

Trust

142,653

3,318

Innovative

Industrial

Properties,

Inc.

251,936

2,923

Investors

Real

Estate

Trust

160,765

14,063

iSTAR

Financial,

Inc.

149,208

4,105

Jones

Lang

LaSalle,

Inc.

414,523

32,743

Kilroy

Realty

Corporation

2,085,729

13,239

Kite

Realty

Group

Trust

125,373

3,359

Lamar

Advertising

Company

172,250

8,756

Lexington

Realty

Trust

86,947

12,180

Macerich

Company

68,573

46,686

Medical

Properties

Trust,

Inc.

807,201

1,391

National

Health

Investors,

Inc.

68,882

19,337

National

Retail

Properties,

Inc.

622,458

85,598

National

Storage

Affiliates

Trust

2,533,701

5,841

New

Residential

Investment

Corporation

29,263

4,218

One

Liberty

Properties,

Inc.

58,757

6,520

Pebblebrook

Hotel

Trust

71,003

5,581

Physicians

Realty

Trust

77,799

2,348

Plymouth

Industrial

REIT,

Inc.

26,204

4,223

PotlatchDeltic

Corporation

132,560

10,563

Preferred

Apartment

Communities,

Inc.

75,842

2,123

PS

Business

Parks,

Inc.

287,709

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

233

Shares

Common

Stock

(16.3%)

Value

Real

Estate

(0.8%)

-

continued

4,843

QTS

Realty

Trust,

Inc.

$

280,942

21,389

Retail

Properties

of

America,

Inc.

110,581

5,402

Rexford

Industrial

Realty,

Inc.

221,536

714

RMR

Group,

Inc.

19,257

7,891

RPT

Realty

47,583

24,074

Sabra

Health

Care

REIT,

Inc.

262,888

6,032

SBA

Communications

Corporation

1,628,459

43,416

Service

Properties

Trust

234,446

7,831

Spirit

Realty

Capital,

Inc.

204,781

2,372

STAG

Industrial,

Inc.

53,417

14,136

Store

Capital

Corporation

256,144

4,271

Summit

Hotel

Properties,

Inc.

18,024

58,483

Sunstone

Hotel

Investors,

Inc.

509,387

5,681

Taubman

Centers,

Inc.

237,920

6,019

Terreno

Realty

Corporation

311,483

20,349

UDR,

Inc.

743,552

4,503

UMH

Properties,

Inc.

48,903

28,120

Uniti

Group,

Inc.

169,564

293

Universal

Health

Realty

Income

Trust

29,537

2,160

Urstadt

Biddle

Properties,

Inc.

30,456

9,292

Washington

Prime

Group,

Inc.

7,481

Total

36,945,482

Utilities

(0.3%)

1,975

ALLETE,

Inc.

119,843

10,045

Alliant

Energy

Corporation

485,073

1,602

American

States

Water

Company

130,948

6,332

Artesian

Resources

Corporation

236,690

7,058

Avista

Corporation

299,894

5,000

Black

Hills

Corporation

320,150

2,407

California

Water

Service

Group

121,120

1,216

Chesapeake

Utilities

Corporation

104,223

8,463

CMS

Energy

Corporation

497,201

5,951

Consolidated

Water

Company,

Ltd.

97,596

4,294

DTE

Energy

Company

407,801

8,467

Entergy

Corporation

795,644

1,781

Essential

Utilities,

Inc

72,487

102,456

Exelon

Corporation

3,771,405

23,585

FirstEnergy

Corporation

945,051

4,233

IDACORP,

Inc.

371,615

1,854

MGE

Energy,

Inc.

121,381

939

Middlesex

Water

Company

56,453

1,809

National

Fuel

Gas

Company

67,458

8,283

New

Jersey

Resources

Corporation

281,374

955

NextEra

Energy,

Inc.

229,792

3,093

Northwest

Natural

Holding

Company

190,993

6,573

NorthWestern

Corporation

393,263

7,381

OGE

Energy

Corporation

226,818

3,045

Otter

Tail

Corporation

135,381

25,504

PNM

Resources,

Inc.

969,152

8,034

Portland

General

Electric

Company

385,150

6,523

PPL

Corporation

160,988

3,462

Public

Service

Enterprise

Group,

Inc.

155,478

684

SJW

Group

39,515

7,328

South

Jersey

Industries,

Inc.

183,200

3,663

Southwest

Gas

Holdings,

Inc.

254,798

6,838

Spire,

Inc.

509,294

6,436

UGI

Corporation

171,648

3,236

Unitil

Corporation

169,308

Total

13,478,185

Total

Common

Stock

(cost

$746,046,591)

785,047,281

Shares

Collateral

Held

for

Securities

Loaned

(

0.8%

)

Value

38,075,636

Thrivent

Cash

Management

Trust

$

38,075,636

Total

Collateral

Held

for

Securities

Loaned

(cost

$38,075,636)

38,075,636

Shares

or

Principal

Amount

Short-Term

Investments

(

13.6%

)

Value

Federal

Home

Loan

Bank

Discount

Notes

5,200,000

1.550%,

4/7/2020

q,r

5,199,939

1,400,000

1.533%,

4/8/2020

q,r

1,399,981

5,700,000

1.520%,

4/15/2020

q,r

5,699,845

200,000

1.560%,

4/23/2020

q,r

199,991

1,100,000

1.285%,

5/5/2020

q,r

1,099,927

3,100,000

0.900%,

5/7/2020

q,r

3,099,783

700,000

0.720%,

5/8/2020

q,r

699,950

12,500,000

1.160%,

5/12/2020

q,r

12,499,004

9,900,000

0.500%,

5/13/2020

q,r

9,899,192

6,000,000

0.450%,

5/19/2020

q,r

5,999,440

5,800,000

0.150%,

5/20/2020

q,r

5,799,447

300,000

0.000%,

5/28/2020

r

299,967

300,000

1.420%,

6/2/2020

q,r

299,964

3,500,000

0.150%,

6/4/2020

q,r

3,499,564

1,500,000

0.500%,

6/9/2020

q,r

1,499,799

3,900,000

0.530%,

6/12/2020

q,r

3,899,454

4,800,000

0.150%,

6/23/2020

q,r

4,799,225

1,500,000

0.005%,

7/7/2020

q,r

1,499,636

Thrivent

Core

Short-Term

Reserve

Fund

59,057,180

1.570%

589,390,657

U.S.

Treasury

Bills

820,000

0.100%,

6/11/2020

q

819,814

700,000

0.023%,

9/24/2020

l,m,q

699,571

Total

Short-Term

Investments

(cost

$659,309,104)

658,304,150

Total

Investments

(cost

$5,316,653,376)

110.2%

$5,312,712,433

Other

Assets

and

Liabilities,

Net

(10.2%)

(493,165,694)

Total

Net

Assets

100.0%

$4,819,546,739

a

The

stated

interest

rate

represents

the

weighted

average

of

all

contracts

within

the

bank

loan

facility.

b

Denotes

variable

rate

securities.

The

rate

shown

is

as

of

March

31,

2020.

The

rates

of

certain

variable

rate

securities

are

based

on

a

published

reference

rate

and

spread;

these

may

vary

by

security

and

the

reference

rate

and

spread

are

indicated

in

their

description.  The

rates

of

other

variable

rate

securities

are

determined

by

the

issuer

or

agent

and

are

based

on

current

market

conditions.  These

securities

do

not

indicate

a

reference

rate

and

spread

in

their

description.  

c

Security

is

valued

using

significant

unobservable

inputs.

Further

information

on

valuation

can

be

found

in

the

Notes

to

Financial

Statements.

d

All

or

a

portion

of

the

loan

is

unfunded.

e

Denotes

investments

purchased

on

a

when-issued

or

delayed

delivery

basis.

f

In

bankruptcy.  Interest

is

being

accrued

per

the

bankruptcy

agreement

terms.  

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

234

g

Denotes

securities

sold

under

Rule

144A

of

the

Securities

Act

of

1933,

which

exempts

them

from

registration.

These

securities

may

be

resold

to

other

dealers

in

the

program

or

to

other

qualified

institutional

buyers.

As

of

March

31,

2020,

the

value

of

these

investments

was

$236,015,886

or

4.9%

of

total

net

assets.

h

Denotes

step

coupon

securities.

Step

coupon

securities

pay

an

initial

coupon

rate

for

the

first

period

and

then

different

coupon

rates

for

following

periods.

The

rate

shown

is

as

of

March

31,

2020.

i

All

or

a

portion

of

the

security

is

on

loan.

j

Denotes

interest

only

security.  Interest

only

securities

represent

the

right

to

receive

monthly

interest

payments

on

an

underlying

pool

of

mortgages

or

assets.  The

principal

shown

is

the

outstanding

par

amount

of

the

pool

as

of

the

end

of

the

period.

The

actual

effective

yield

of

the

security

is

different

than

the

stated

coupon

rate.

k

Denotes

perpetual

securities.

Perpetual

securities

pay

an

indefinite

stream

of

income

and

have

no

contractual

maturity

date.

Date

shown,

if

applicable,

is

next

call

date.

l

All

or

a

portion

of

the

security

was

earmarked

to

cover

written

options.

m

All

or

a

portion

of

the

security

is

pledged

as

collateral

under

the

agreement

between

the

counterparty,

the

custodian

and

the

fund

for

open

swap

contracts.

n

Defaulted

security.  Interest

is

not

being

accrued.

o

In

bankruptcy.  Interest

is

not

being

accrued.

p

Non-income

producing

security.

q

The

interest

rate

shown

reflects

the

yield,

coupon

rate

or

the

discount

rate

at

the

date

of

purchase.

r

All

or

a

portion

of

the

security

is

held

on

deposit

with

the

counterparty

and

pledged

as

the

initial

margin

deposit

for

open

futures

contracts.

The

following

table

presents

the

total

amount

of

securities

loaned

with

continuous

maturity,

by

type,

offset

by

the

gross

payable

upon

return

of

collateral

for

securities

loaned

by

Thrivent

Moderately

Conservative

Allocation

Portfolio

as

of

March

31,

2020:

Securities

Lending

Transactions

Long-Term

Fixed

Income

$

8,239,862

Common

Stock

28,697,973

Total

lending

$36,937,835

Gross

amount

payable

upon

return

of              

collateral

for

securities

loaned

$38,075,636

Net

amounts

due

to

counterparty

$1,137,801

Definitions:

ACES

-

Alternative

Credit

Enhancement

Securities

ADR

-

American

Depositary

Receipt,

which

are

certificates

for

an

underlying

foreign

security's

shares

held

by

an

issuing

U.S.

depository

bank.

CLO

-

Collateralized

Loan

Obligation

ETF

-

Exchange

Traded

Fund

GDR

-

Global

Depository

Receipts,

which

are

certificates

for

shares

of

an

underlying

foreign

security’s

shares

held

by

an

issuing

depository

bank

from

more

than

one

country.

REMIC

-

Real

Estate

Mortgage

Investment

Conduit

REIT

-

Real

Estate

Investment

Trust

is

a

company

that

buys,

develops,

manages

and/or

sells

real

estate

assets.

Ser.

-

Series

SPDR

-

S&P

Depository

Receipts,

which

are

exchange-traded

funds

traded

in

the

U.S.,

Europe,

and

Asia-Pacific

and

managed

by

State

Street

Global

Advisors.

Reference

Rate

Index:

CMT

3M

-

Constant

Maturity

Treasury

Yield

3

Month

LIBOR

1W

-

ICE

Libor

USD

Rate

1

Week

LIBOR

1M

-

ICE

Libor

USD

Rate

1

Month

LIBOR

2M

-

ICE

Libor

USD

Rate

2

Month

LIBOR

3M

-

ICE

Libor

USD

Rate

3

Month

PRIME

-

Federal

Reserve

Prime

Loan

Rate

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

235

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Moderately

Conservative

Allocation

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Bank

Loans

Basic

Materials

4,989,467

–

3,494,504

1,494,963

Capital

Goods

8,753,419

–

5,481,690

3,271,729

Communications

Services

19,150,341

–

14,183,536

4,966,805

Consumer

Cyclical

16,268,157

–

14,601,513

1,666,644

Consumer

Non-Cyclical

17,304,934

–

16,851,566

453,368

Energy

6,112,681

–

5,645,011

467,670

Financials

9,369,990

–

9,369,990

–

Technology

10,043,414

–

6,811,744

3,231,670

Transportation

1,953,756

–

1,143,756

810,000

Utilities

1,947,909

–

1,318,421

629,488

Long-Term

Fixed

Income

Asset-Backed

Securities

77,704,645

–

77,704,645

–

Basic

Materials

16,910,585

–

16,910,585

–

Capital

Goods

31,869,560

–

31,869,560

–

Collateralized

Mortgage

Obligations

47,171,873

–

47,171,873

–

Commercial

Mortgage-Backed

Securities

24,603,937

–

24,603,937

–

Communications

Services

67,139,557

–

67,139,557

–

Consumer

Cyclical

51,535,432

–

51,535,432

–

Consumer

Non-Cyclical

85,339,975

–

85,339,975

–

Energy

46,545,304

–

46,545,304

–

Financials

152,454,545

–

152,454,545

–

Mortgage-Backed

Securities

724,330,681

–

724,330,681

–

Technology

49,904,055

–

49,904,055

–

Transportation

11,085,549

–

11,085,549

–

U.S.

Government

&

Agencies

739,700,687

–

739,700,687

–

Utilities

53,627,678

–

53,627,678

–

Registered

Investment

Companies

Unaffiliated

27,901,491

27,901,491

–

–

Affiliated

1,196,937,741

1,196,937,741

–

–

Common

Stock

Communications

Services

56,777,226

56,777,226

–

–

Consumer

Discretionary

89,186,504

89,186,504

–

–

Consumer

Staples

26,725,276

26,725,276

–

–

Energy

17,548,851

17,548,851

–

–

Financials

106,443,065

106,118,995

324,070

–

Health

Care

120,845,538

120,845,538

–

–

Industrials

91,231,226

91,231,226

–

–

Information

Technology

201,904,243

200,027,849

1,876,394

–

Materials

23,961,685

23,719,630

242,053

2

Real

Estate

36,945,482

36,945,482

–

–

Utilities

13,478,185

13,478,185

–

–

Short-Term

Investments

68,913,493

–

68,913,493

–

Subtotal

Investments

in

Securities

$4,354,618,137

$2,007,443,994

$2,330,181,804

$16,992,339

Other

Investments  *

Total

Affiliated

Short-Term

Investments

589,390,657

Affiliated

Registered

Investment

Companies

330,628,003

Collateral

Held

for

Securities

Loaned

38,075,636

Subtotal

Other

Investments

$958,094,296

Total

Investments

at

Value

$5,312,712,433

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

236

Reference

Description:

CBOT

-

Chicago

Board

of

Trade

CME

-

Chicago

Mercantile

Exchange

EAFE

-

Europe,

Australasia

and

Far

East

ICE

-

Intercontinental

Exchange

MSCI

-

Morgan

Stanley

Capital

International

S&P

-

Standard

&

Poor's

Other

Financial

Instruments

Total

Level

1

Level

2

Level

3

Asset

Derivatives

Futures

Contracts

23,249,325

23,249,325

–

–

Total

Asset

Derivatives

$23,249,325

$23,249,325

$–

$–

Liability

Derivatives

Futures

Contracts

11,025,432

11,025,432

–

–

Credit

Default

Swaps

741,346

–

741,346

–

Total

Liability

Derivatives

$11,766,778

$11,025,432

$741,346

$–

The

following

table

presents

Moderately

Conservative

Allocation

Portfolio's

futures

contracts

held

as

of

March

31,

2020.

Investments

and/or

cash

totaling

$63,394,450

were

pledged

as

the

initial

margin

deposit

for

these

contracts.

Futures

Contracts

Description

Number

of

Contracts

Long/(Short)

Expiration

Date

Notional

Principal

Amount

Value

and

Unrealized

CBOT

2-Yr.

U.S.

Treasury

Note

208

June

2020

$

45,652,608

$

187,017

CBOT

5-Yr.

U.S.

Treasury

Note

971

June

2020

118,493,689

3,230,269

CBOT

U.S.

Long

Bond

822

June

2020

134,945,545

12,243,830

CME

E-mini

S&P

500

Index

389

June

2020

50,980,651

(

999,987)

CME

Euro

Foreign

Exchange

Currency

400

June

2020

56,584,739

(

1,337,239)

Eurex

Euro

STOXX

50

Index

1,875

June

2020

51,071,079

4,928,701

ICE

mini

MSCI

EAFE

Index

331

June

2020

24,545,795

1,260,620

ICE

US

mini

MSCI

Emerging

Markets

Index

2,552

June

2020

108,980,562

(

1,426,522)

Ultra

10-Yr.

U.S.

Treasury

Note

89

June

2020

13,101,321

785,461

Total

Futures

Long

Contracts

$

604,355,989

$

18,872,150

CBOT

10-Yr.

U.S.

Treasury

Note

(159)

June

2020

(

$

21,146,488)

(

$

904,825)

CME

E-mini

Russell

2000

Index

(3,337)

June

2020

(

185,120,201)

(

6,356,859)

CME

E-mini

S&P

Mid-Cap

400

Index

(206)

June

2020

(

30,232,107)

613,427

Total

Futures

Short

Contracts

(

$

236,498,796)

($6,648,257)

Total

Futures

Contracts

$

367,857,193

$12,223,893

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

237

The

following

table

presents

Moderately

Conservative

Allocation

Portfolio's

swaps

contracts

held

as

of

March

31,

2020.

Investments

totaling

$2,609,517

were

pledged

as

collateral

under

the

agreement

between

the

counterparty,

the

custodian

and

the

fund

for

open

swap

contracts.

Credit

Default

Swaps

Buy/Sell

Protection

1

Termination

Date

Notional

Principal

Amount

2

Upfront

Payments/

(Receipts)

Value

3

Unrealized

Gain/

(Loss)

CDX

HY

34,

5

Year,

at

5.00%,

Quarterly

Sell

6/20/2025

(

$

25,325,000)

$

–

(

$

741,346)

(

$

741,346)

Total

Credit

Default

Swaps

$–

($741,346)

($741,346)

1

As

the

buyer

of

protection,

Moderately

Conservative

Allocation

Portfolio

pays

periodic

fees

in

return

for

payment

by

the

seller

which

is

contingent

upon

an

adverse

credit

event

occurring

in

the

underlying

issuer

or

reference

entity.

As

the

seller

of

protection,

Moderately

Conservative

Allocation

Portfolio

collects

periodic

fees

from

the

buyer

and

profits

if

the

credit

of

the

underlying

issuer

or

reference

entity

remains

stable

or

improves

while

the

swap

is

outstanding,

but

the

seller

in

a

credit

default

swap

contract

would

be

required

to

pay

the

amount

of

credit

loss,

determined

as

specified

in

the

agreement,

to

the

buyer

in

the

event

of

an

adverse

credit

event

in

the

reference

entity.

2

The

maximum

potential

amount

of

future

payments

Moderately

Conservative

Allocation

Portfolio

could

be

required

to

make

as

the

seller

or

receive

as

the

buyer

of

protection.

3

The

values

for

credit

indexes

(CDX

or

LCDX)

serve

as

an

indicator

of

the

current

status

of

the

payment/performance

risk

and

represent

the

liability

or

profit

for

the

credit

default

swap

contract

had

the

contract

been

closed

as

of

the

reporting

date.

When

protection

has

been

sold,

the

value

of

the

swap

will

increase

when

the

swap

spread

declines

representing

an

improvement

in

the

reference

entity's

credit

worthiness.

The

value

of

the

swap

will

decrease

when

the

swap

spread

increases

representing

a

deterioration

in

the

reference

entity's

credit

worthiness.

When

protection

has

been

purchased,

the

value

of

the

swap

will

increase

when

the

swap

spread

increases

representing

a

deterioration

in

the

reference

entity's

credit

worthiness.

The

value

of

the

swap

will

decrease

when

the

swap

spread

declines

representing

an

improvement

in

the

reference

entity's

credit

worthiness.

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Cash

Management

Trust

for

the

purpose

of

securities

lending

and

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Cash

Management

Trust

and

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Moderately

Conservative

Allocation

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Registered

Investment

Companies

Core

Emerging

Markets

Debt

$154,966

$11,232

$–

$148,767

16,829

3.1%

Core

Emerging

Markets

Equity

–

11,000

–

9,185

1,175

0.2

Core

International

Equity

53,554

–

–

40,811

5,493

0.9

Core

Low

Volatility

Equity

116,663

43,000

–

131,865

13,347

2.7

Global

Stock

42,724

–

–

33,099

3,057

0.7

High

Yield

139,303

1,845

–

120,067

29,499

2.5

Income

420,340

3,179

–

408,060

39,957

8.5

International

Allocation

194,588

–

–

145,125

18,959

3.0

Large

Cap

Value

198,399

–

–

143,014

10,340

3.0

Limited

Maturity

Bond

246,521

1,496

–

239,842

24,998

5.0

Mid

Cap

Stock

100,286

–

–

71,921

5,154

1.5

Small

Cap

Stock

51,227

–

–

35,810

2,627

0.7

Total

Affiliated

Registered

Investment

Companies

1,718,571

1,527,566

31.8

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

614,264

237,896

261,591

589,391

59,057

12.2

Total

Affiliated

Short-Term

Investments

614,264

589,391

12.2

Collateral

held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

11,361

65,848

39,133

38,076

38,076

0.8

Total

Collateral

Held

for

Securities

Loaned

11,361

38,076

0.8

Total

Value

$2,344,196

$2,155,033

Moderately

Conservative

Allocation

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

238

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Registered

Investment

Companies

Core

Emerging

Markets

Debt

$–

$(17,431)

–

$1,751

Core

Emerging

Markets

Equity

–

(1,815)

–

–

Core

International

Equity

–

(12,743)

–

–

Core

Low

Volatility

Equity

–

(27,798)

–

–

Global

Stock

–

(9,625)

–

–

High

Yield

–

(21,081)

–

1,843

Income

–

(15,459)

–

3,189

International

Allocation

–

(49,463)

–

–

Large

Cap

Value

–

(55,385)

–

–

Limited

Maturity

Bond

–

(8,175)

–

1,498

Mid

Cap

Stock

–

(28,365)

–

–

Small

Cap

Stock

–

(15,417)

–

–

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

(133)

(1,045)

–

2,854

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$11,135

Collateral

Held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

–

–

–

33

Total

Affiliated

Income

from

Securities

Loaned,

Net

$33

Total

Value

$(133)

$(263,802)

$–

Multidimensional

Income

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

239

Principal

Amount

Long-Term

Fixed

Income

(

51.8%

)

Value

Basic

Materials

(2.1%)

BHP

Billiton

Finance

USA,

Ltd.

$

100,000

6.750%, 

10/19/2075

a,b

$

106,026

Cleveland-Cliffs,

Inc.

35,000

5.750%, 

3/1/2025

27,037

First

Quantum

Minerals,

Ltd.

65,000

7.250%, 

4/1/2023

a

55,656

Freeport-McMoRan,

Inc.

30,000

4.125%, 

3/1/2028

26,262

30,000

4.250%, 

3/1/2030

26,064

Krayton

Polymers,

LLC

40,000

7.000%, 

4/15/2025

a

35,400

Novelis

Corporation

20,000

4.750%, 

1/30/2030

a

17,800

Olin

Corporation

75,000

5.125%, 

9/15/2027

67,017

Peabody

Securities

Finance

Corporation

65,000

6.375%, 

3/31/2025

a

33,800

Tronox

Finance

plc

65,000

5.750%, 

10/1/2025

a

58,013

Total

453,075

Capital

Goods

(4.3%)

AECOM

55,000

5.125%, 

3/15/2027

49,500

Aerojet

Rocketdyne

Holdings,

Inc.,

Convertible

18,000

2.250%, 

12/15/2023

29,713

Amsted

Industries,

Inc.

50,000

5.625%, 

7/1/2027

a

48,646

Ardagh

Packaging

Finance

plc

125,000

6.000%, 

2/15/2025

a

125,350

Bombardier,

Inc.

50,000

7.500%, 

3/15/2025

a

34,625

Building

Materials

Corporation

of

America

50,000

6.000%, 

10/15/2025

a

49,140

Covanta

Holding

Corporation

50,000

6.000%, 

1/1/2027

41,646

Crown

Cork

&

Seal

Company,

Inc.

50,000

7.375%, 

12/15/2026

51,250

Dycom

Industries,

Inc.,

Convertible

12,000

0.750%, 

9/15/2021

10,125

General

Electric

Company

100,000

5.000%, 

1/21/2021

b,c

82,500

H&E

Equipment

Services,

Inc.

85,000

5.625%, 

9/1/2025

78,837

KBR,

Inc.,

Convertible

16,000

2.500%, 

11/1/2023

16,580

Patrick

Industries,

Inc.,

Convertible

10,000

1.000%, 

2/1/2023

7,857

Textron

Financial

Corporation

150,000

3.427%, 

(LIBOR

3M

+

1.735%),

2/15/2042

a,b

84,750

TransDigm,

Inc.

20,000

6.250%, 

3/15/2026

a

19,900

55,000

5.500%, 

11/15/2027

a

49,363

TTM

Technologies,

Inc.,

Convertible

7,000

1.750%, 

12/15/2020

7,848

United

Rentals

North

America,

Inc.

65,000

5.500%, 

5/15/2027

63,365

80,000

4.000%, 

7/15/2030

71,600

Total

922,595

Principal

Amount

Long-Term

Fixed

Income

(51.8%)

Value

Collateralized

Mortgage

Obligations

(0.5%)

GMACM

Mortgage

Loan

Trust

$

43,674

4.281%, 

11/19/2035,

Ser.

2005-AR6,

Class

1A1

b

$

36,477

Residential

Accredit

Loans,

Inc.

Trust

74,476

6.000%, 

1/25/2037,

Ser.

2007-QS1,

Class

1A1

63,868

Total

100,345

Communications

Services

(7.6%)

AMC

Networks,

Inc.

75,000

5.000%, 

4/1/2024

72,000

CCO

Holdings,

LLC

55,000

5.500%, 

5/1/2026

a

55,693

120,000

4.500%, 

8/15/2030

a

117,600

Clear

Channel

Worldwide

Holdings,

Inc.

35,000

5.125%, 

8/15/2027

a

32,774

DISH

Network

Corporation,

Convertible

86,000

3.375%, 

8/15/2026

69,819

Embarq

Corporation

30,000

7.995%, 

6/1/2036

29,700

Front

Range

BidCo,

Inc.

50,000

4.000%, 

3/1/2027

a

47,844

GCI

Liberty,

Inc.,

Convertible

50,000

1.750%, 

9/30/2046

a

62,938

Gray

Television,

Inc.

45,000

5.875%, 

7/15/2026

a

43,326

iHeartCommunications,

Inc.

55,000

4.750%, 

1/15/2028

a

49,500

Level

3

Financing,

Inc.

125,000

4.625%, 

9/15/2027

a

124,237

Neptune

Finco

Corporation

55,000

10.875%, 

10/15/2025

a

59,262

Netflix,

Inc.

65,000

4.875%, 

4/15/2028

66,300

Nexstar

Escrow

Corporation

115,000

5.625%, 

7/15/2027

a

112,413

SFR

Group

SA

50,000

7.375%, 

5/1/2026

a

50,500

Sirius

XM

Radio,

Inc.

50,000

5.000%, 

8/1/2027

a

50,745

Sprint

Corporation

70,000

7.250%, 

9/15/2021

72,149

75,000

7.625%, 

2/15/2025

82,999

Telesat

Canada

/

Telesat,

LLC

45,000

4.875%, 

6/1/2027

a

42,966

T-Mobile

USA,

Inc.

65,000

4.500%, 

2/1/2026

66,138

VeriSign,

Inc.

125,000

4.750%, 

7/15/2027

129,550

Viacom,

Inc.

100,000

5.875%, 

2/28/2057

b

85,125

Virgin

Media

Secured

Finance

plc

60,000

5.500%, 

8/15/2026

a

60,900

Windstream

Services,

LLC

40,000

8.625%, 

10/31/2025

a,d

24,000

Ziggo

BV

40,000

5.500%, 

1/15/2027

a

40,000

Total

1,648,478

Consumer

Cyclical

(5.0%)

1011778

B.C.,

ULC

65,000

4.375%, 

1/15/2028

a

60,054

Multidimensional

Income

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

240

Principal

Amount

Long-Term

Fixed

Income

(51.8%)

Value

Consumer

Cyclical

(5.0%)

-

continued

Allison

Transmission,

Inc.

$

65,000

4.750%, 

10/1/2027

a

$

59,800

Brookfield

Property

REIT,

Inc.

30,000

5.750%, 

5/15/2026

a

24,341

Brookfield

Residential

Properties,

Inc.

50,000

6.250%, 

9/15/2027

a

43,370

Cedar

Fair,

LP

25,000

5.250%, 

7/15/2029

a

21,125

Ford

Motor

Credit

Company,

LLC

70,000

4.063%, 

11/1/2024

63,525

80,000

4.134%, 

8/4/2025

70,960

Hanesbrands,

Inc.

125,000

4.875%, 

5/15/2026

a

122,812

Herc

Holdings,

Inc.

30,000

5.500%, 

7/15/2027

a

27,900

Hilton

Worldwide

Finance,

LLC

50,000

4.875%, 

4/1/2027

47,500

Landry's,

Inc.

40,000

6.750%, 

10/15/2024

a

25,196

Lennar

Corporation

65,000

4.750%, 

5/30/2025

62,563

Live

Nation

Entertainment,

Inc.,

Convertible

11,000

2.500%, 

3/15/2023

10,456

Mattamy

Group

Corporation

50,000

5.250%, 

12/15/2027

a

46,500

MGM

Resorts

International

55,000

5.500%, 

4/15/2027

50,050

Prime

Security

Services

Borrower,

LLC

65,000

5.750%, 

4/15/2026

a

63,700

Ryman

Hospitality

Properties,

Inc.

20,000

4.750%, 

10/15/2027

a

15,000

Scientific

Games

International,

Inc.

65,000

5.000%, 

10/15/2025

a

56,550

ServiceMaster

Company,

LLC

65,000

5.125%, 

11/15/2024

a

64,188

Six

Flags

Entertainment

Corporation

20,000

5.500%, 

4/15/2027

a

16,850

Staples,

Inc.

50,000

7.500%, 

4/15/2026

a

43,750

Viking

Cruises,

Ltd.

30,000

5.875%, 

9/15/2027

a

17,553

Yum!

Brands,

Inc.

60,000

4.750%, 

1/15/2030

a

55,884

Total

1,069,627

Consumer

Non-Cyclical

(5.4%)

Albertson's

Companies,

Inc.

85,000

6.625%, 

6/15/2024

86,275

B&G

Foods,

Inc.

40,000

5.250%, 

9/15/2027

39,000

Bausch

Health

Companies,

Inc.

30,000

7.000%, 

1/15/2028

a

31,110

10,000

5.000%, 

1/30/2028

a

9,467

10,000

5.250%, 

1/30/2030

a

9,350

Cardtronics,

Inc.,

Convertible

9,000

1.000%, 

12/1/2020

8,565

Centene

Corporation

50,000

5.375%, 

6/1/2026

a

51,505

10,000

4.250%, 

12/15/2027

a

10,019

20,000

4.625%, 

12/15/2029

a

20,100

Encompass

Health

Corporation

30,000

4.500%, 

2/1/2028

29,423

Principal

Amount

Long-Term

Fixed

Income

(51.8%)

Value

Consumer

Non-Cyclical

(5.4%)

-

continued

Energizer

Holdings,

Inc.

$

125,000

6.375%, 

7/15/2026

a

$

126,250

HCA,

Inc.

100,000

5.375%, 

2/1/2025

101,749

JBS

USA,

LLC

125,000

6.500%, 

4/15/2029

a

134,088

Kraft

Foods

Group,

Inc.

30,000

5.000%, 

6/4/2042

28,436

Kraft

Heinz

Foods

Company

60,000

3.750%, 

4/1/2030

a

57,225

Par

Pharmaceutical,

Inc.

40,000

7.500%, 

4/1/2027

a

39,800

Post

Holdings,

Inc.

40,000

5.750%, 

3/1/2027

a

40,988

Scotts

Miracle-Gro

Company

40,000

4.500%, 

10/15/2029

38,100

Simmons

Foods,

Inc.

30,000

5.750%, 

11/1/2024

a

27,234

Spectrum

Brands,

Inc.

50,000

5.750%, 

7/15/2025

46,750

10,000

5.000%, 

10/1/2029

a

8,500

Tenet

Healthcare

Corporation

15,000

4.625%, 

7/15/2024

14,288

50,000

5.125%, 

11/1/2027

a

47,750

Teva

Pharmaceutical

Finance

Netherlands

III

BV

40,000

2.800%, 

7/21/2023

36,500

VRX

Escrow

Corporation

125,000

6.125%, 

4/15/2025

a

123,125

Total

1,165,597

Energy

(3.7%)

Archrock

Partners,

LP

35,000

6.250%, 

4/1/2028

a

24,150

Buckeye

Partners,

LP

30,000

3.950%, 

12/1/2026

24,591

10,000

4.125%, 

12/1/2027

8,197

Cheniere

Corpus

Christi

Holdings,

LLC

125,000

7.000%, 

6/30/2024

109,711

Enagas

SA

65,000

5.500%, 

1/15/2028

a

33,800

Enbridge,

Inc.

87,000

6.250%, 

3/1/2078

b

65,250

Energy

Transfer

Operating,

LP

25,000

6.625%, 

2/15/2028

b,c

12,375

Enterprise

Products

Operating,

LLC

75,000

4.875%, 

8/16/2077

b

51,510

Murphy

Oil

Corporation

50,000

5.875%, 

12/1/2027

26,140

Nabors

Industries,

Ltd.

45,000

7.250%, 

1/15/2026

a

15,300

Parsley

Energy,

LLC

65,000

5.625%, 

10/15/2027

a

45,825

Plains

All

American

Pipeline,

LP

60,000

6.125%, 

11/15/2022

b,c

30,000

Sunoco,

LP

125,000

5.500%, 

2/15/2026

108,160

Targa

Resources

Partners,

LP

50,000

5.375%, 

2/1/2027

41,150

TransCanada

Trust

100,000

5.300%, 

3/15/2077

b

74,550

Transocean

Guardian,

Ltd.

41,751

5.875%, 

1/15/2024

a

33,400

Multidimensional

Income

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

241

Principal

Amount

Long-Term

Fixed

Income

(51.8%)

Value

Energy

(3.7%)

-

continued

Viper

Energy

Partners,

LP

$

60,000

5.375%, 

11/1/2027

a

$

50,400

WPX

Energy,

Inc.

65,000

5.250%, 

10/15/2027

35,750

Total

790,259

Financials

(13.7%)

Ally

Financial,

Inc.

45,000

5.750%, 

11/20/2025

44,019

Ares

Capital

Corporation,

Convertible

4,000

4.625%, 

3/1/2024

3,462

Australia

and

New

Zealand

Banking

Group,

Ltd.

100,000

6.750%, 

6/15/2026

a,b,c

98,250

BAC

Capital

Trust

XIV

34,000

4.000%, 

(LIBOR

3M

+

0.400%),

4/17/2020

b,c

27,625

Bank

of

America

Corporation

202,000

6.250%, 

9/5/2024

b,c

205,030

Barclays

plc

25,000

7.750%, 

9/15/2023

b,c

21,925

Blackstone

Mortgage

Trust,

Inc.,

Convertible

5,000

4.375%, 

5/5/2022

3,950

BNP

Paribas

SA

100,000

7.625%, 

3/30/2021

a,b,c

97,625

Cascades

USA,

Inc.

40,000

5.125%, 

1/15/2026

a

38,700

CIT

Group,

Inc.

65,000

4.750%, 

2/16/2024

63,537

Citigroup,

Inc.

68,000

5.000%, 

9/12/2024

b,c

62,163

144,000

4.700%, 

1/30/2025

b,c

124,560

34,000

5.950%, 

5/15/2025

b,c

32,937

Credit

Agricole

SA

100,000

8.125%, 

12/23/2025

a,b,c

103,000

Credit

Suisse

Group

AG

51,000

7.500%, 

12/11/2023

a,b,c

49,088

Euronet

Worldwide,

Inc.,

Convertible

8,000

0.750%, 

3/15/2049

7,265

FTI

Consulting,

Inc.,

Convertible

38,000

2.000%, 

8/15/2023

49,563

Goldman

Sachs

Group,

Inc.

50,000

5.500%, 

8/10/2024

b,c

48,056

64,000

4.950%, 

2/10/2025

b,c

56,960

Hannon

Armstrong

Sustainable

Infrastructure

Capital,

Convertible

15,000

4.125%, 

9/1/2022

14,232

Hartford

Financial

Services

Group,

Inc.

100,000

3.817%, 

(LIBOR

3M

+

2.125%),

2/12/2047

a,b

64,651

HSBC

Holdings

plc

111,000

6.375%, 

9/17/2024

b,c

102,953

55,000

6.375%, 

3/30/2025

b,c

51,425

36,000

6.500%, 

3/23/2028

b,c

33,660

Icahn

Enterprises,

LP

70,000

6.375%, 

12/15/2025

66,150

ING

Groep

NV

50,000

6.000%, 

4/16/2020

b,c

47,400

Iron

Mountain,

Inc.

65,000

4.875%, 

9/15/2027

a

63,050

iStar,

Inc.,

Convertible

5,000

3.125%, 

9/15/2022

4,894

Principal

Amount

Long-Term

Fixed

Income

(51.8%)

Value

Financials

(13.7%)

-

continued

J.P.

Morgan

Chase

&

Company

$

100,000

5.150%, 

5/1/2023

b,c

$

95,000

68,000

5.000%, 

8/1/2024

b,c

63,750

144,000

4.600%, 

2/1/2025

b,c

126,029

J.P.

Morgan

Chase

Capital

XXIII

100,000

2.692%, 

(LIBOR

3M

+

1.000%),

5/15/2047

b

68,000

Lincoln

National

Corporation

100,000

4.049%, 

(LIBOR

3M

+

2.358%),

5/17/2066

b

62,000

Lloyds

Banking

Group

plc

100,000

6.657%, 

5/21/2037

a,b,c

107,750

Macquarie

Bank,

Ltd.

100,000

6.125%, 

3/28/2027

a,b,c

90,000

MGIC

Investment

Corporation,

Convertible

37,000

9.000%, 

4/1/2063

a

47,946

MGM

Growth

Properties

Operating

Partnership,

LP

35,000

4.500%, 

9/1/2026

29,050

MPT

Operating

Partnership,

LP

50,000

4.625%, 

8/1/2029

46,000

Nippon

Life

Insurance

Company

72,000

3.400%, 

1/23/2050

a,b

69,120

Outfront

Media

Cap,

LLC

60,000

4.625%, 

3/15/2030

a

53,400

Quicken

Loans,

Inc.

50,000

5.750%, 

5/1/2025

a

49,750

Royal

Bank

of

Scotland

Group

plc

100,000

8.625%, 

8/15/2021

b,c

97,500

Societe

Generale

SA

100,000

8.000%, 

9/29/2025

a,b,c

91,500

Springleaf

Finance

Corporation

35,000

7.125%, 

3/15/2026

34,256

Standard

Chartered

plc

100,000

7.500%, 

4/2/2022

a,b,c

97,561

Truist

Financial

Corporation

37,000

4.800%, 

9/1/2024

b,c

31,820

USB

Realty

Corporation

68,000

2.978%, 

(LIBOR

3M

+

1.147%),

1/15/2022

a,b,c

51,000

VICI

Properties,

LP

/

VICI

Note

Company,

Inc.

10,000

4.250%, 

12/1/2026

a

9,175

10,000

3.750%, 

2/15/2027

a

9,425

10,000

4.625%, 

12/1/2029

a

9,100

10,000

4.125%, 

8/15/2030

a

9,475

Wachovia

Capital

Trust

II

30,000

2.331%, 

(LIBOR

3M

+

0.500%),

1/15/2027

b

24,600

Total

2,959,337

Technology

(2.0%)

Akamai

Technologies,

Inc.,

Convertible

10,000

0.125%, 

5/1/2025

11,160

20,000

0.375%, 

9/1/2027

a

19,919

Booking

Holdings,

Inc.,

Convertible

5,000

0.350%, 

6/15/2020

5,534

CommScope

Technologies

Finance,

LLC

60,000

6.000%, 

6/15/2025

a

54,912

Diamond

Sports

Group,

LLC

65,000

6.625%, 

8/15/2027

a

43,469

Multidimensional

Income

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

242

Principal

Amount

Long-Term

Fixed

Income

(51.8%)

Value

Technology

(2.0%)

-

continued

Harland

Clarke

Holdings

Corporation

$

55,000

8.375%, 

8/15/2022

a

$

42,419

j2

Global,

Inc.,

Convertible

4,000

1.750%, 

11/1/2026

a

3,650

12,000

3.250%, 

6/15/2029

14,632

Lumentum

Holdings,

Inc.,

Convertible

4,000

0.250%, 

3/15/2024

5,402

Microchip

Technology,

Inc.,

Convertible

13,000

1.625%, 

2/15/2027

13,342

NCR

Corporation

60,000

6.125%, 

9/1/2029

a

56,034

Nuance

Communications,

Inc.,

Convertible

65,000

1.250%, 

4/1/2025

69,991

ON

Semiconductor

Corporation,

Convertible

19,000

1.625%, 

10/15/2023

18,871

Open

Text

Corporation

30,000

4.125%, 

2/15/2030

a

28,208

PTC,

Inc.

10,000

3.625%, 

2/15/2025

a

9,350

Teradyne,

Inc.,

Convertible

5,000

1.250%, 

12/15/2023

8,950

Verint

Systems,

Inc.,

Convertible

11,000

1.500%, 

6/1/2021

10,606

Vishay

Intertechnology,

Inc.,

Convertible

7,000

2.250%, 

6/15/2025

6,217

Total

422,666

Transportation

(0.7%)

Hertz

Corporation

50,000

5.500%, 

10/15/2024

a

28,115

Meritor,

Inc.,

Convertible

16,000

3.250%, 

10/15/2037

13,580

NCL

Corporation,

Ltd.

40,000

3.625%, 

12/15/2024

a

25,512

United

Continental

Holdings,

Inc.

40,000

4.875%, 

1/15/2025

34,400

XPO

Logistics,

Inc.

50,000

6.750%, 

8/15/2024

a

48,890

Total

150,497

U.S.

Government

&

Agencies

(4.7%)

U.S.

Treasury

Bonds

890,000

2.375%, 

5/15/2029

1,024,195

Total

1,024,195

Utilities

(2.1%)

Calpine

Corporation

50,000

4.500%, 

2/15/2028

a

48,462

Dominion

Energy,

Inc.

56,000

4.650%, 

12/15/2024

b,c

50,322

Duke

Energy

Corporation

51,000

4.875%, 

9/16/2024

b,c

42,840

NextEra

Energy

Operating

Partners,

LP

65,000

3.875%, 

10/15/2026

a

61,750

NiSource,

Inc.

77,000

5.650%, 

6/15/2023

b,c

68,530

TerraForm

Power

Operating,

LLC

65,000

5.000%, 

1/31/2028

a

68,107

Principal

Amount

Long-Term

Fixed

Income

(51.8%)

Value

Utilities

(2.1%)

-

continued

TransCanada

Trust

$

85,000

5.875%, 

8/15/2076

b

$

66,513

Vistra

Operations

Company,

LLC

50,000

5.000%, 

7/31/2027

a

50,750

Total

457,274

Total

Long-Term

Fixed

Income

(cost

$12,348,770)

11,163,945

Shares

Registered

Investment

Companies

(

39.2%

)

Value

Unaffiliated  (29.3%)

15,000

Aberdeen

Asia-Pacific

Income

Fund,

Inc.

50,700

8,356

AllianceBernstein

Global

High

Income

Fund,

Inc.

77,377

9,650

AllianzGI

NFJ

Dividend

Interest

&

Premium

Strategy

Fund

92,737

8,174

BlackRock

Core

Bond

Trust

108,142

13,047

BlackRock

Corporate

High

Yield

Fund,

Inc.

114,814

7,607

BlackRock

Credit

Allocation

Income

Trust

88,698

13,963

BlackRock

Enhanced

Equity

Dividend

Trust

91,178

3,542

BlackRock

Enhanced

Global

Dividend

Trust

29,363

6,640

BlackRock

Floating

Rate

Income

Strategies

Fund,

Inc.

66,466

7,362

BlackRock

Multi-Sector

Income

Trust

88,859

16,383

BlackRock

Resources

&

Commodities

Strategy

Trust

82,570

33,350

BNY

Mellon

High

Yield

Strategies

Fund

75,704

4,218

Brookfield

Real

Assets

Income

Fund,

Inc.

61,920

5,495

Clough

Global

Opportunities

Fund

39,399

5,520

Cohen

&

Steers

Quality

Income

Realty

Fund,

Inc.

49,901

9,110

Eaton

Vance

Limited

Duration

Income

Fund

96,293

8,100

Eaton

Vance

Senior

Floating-Rate

Trust

80,028

8,788

Eaton

Vance

Tax-Managed

Global

Diversified

Equity

Income

Fund

56,068

3,370

GSO

Senior

Floating

Rate

Term

Fund

39,564

7,451

Invesco

Dynamic

Credit

Opportunities

Fund

59,459

20,004

Invesco

Senior

Income

Trust

64,413

4,700

Invesco

Senior

Loan

ETF

96,162

5,500

Invesco

Variable

Rate

Preferred

ETF

118,030

1,200

iShares

International

Select

27,120

840

iShares

Residential

Real

Estate

ETF

46,368

65,712

iShares

S&P

U.S.

Preferred

Stock

Index

Fund

2,092,270

7,371

Ivy

High

Income

Opportunities

Fund

76,658

6,325

Neuberger

Berman

MLP

Income

Fund,

Inc.

11,954

9,469

New

America

High

Income

Fund,

Inc.

65,715

14,762

Nuveen

Credit

Strategies

Income

Fund

83,701

11,600

Nuveen

Floating

Rate

Income

Fund

87,580

7,199

Nuveen

Global

High

Income

Fund

80,485

2,423

Nuveen

Mortgage

and

Income

Fund

39,858

14,908

Nuveen

Senior

Income

Fund

65,893

Multidimensional

Income

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

243

Shares

Registered

Investment

Companies

(39.2%)

Value

Unaffiliated  (29.3%)-

continued

2,529

Nuveen

Short

Duration

Credit

Opportunities

Fund

$

27,515

7,646

PGIM

Global

High

Yield

Fund,

Inc.

84,565

7,052

PGIM

High

Yield

Bond

Fund,

Inc.

81,662

4,850

Pimco

Dynamic

Credit

And

Mortgage

Income

Fund

81,577

4,159

Pioneer

High

Income

Trust

26,701

4,650

Royce

Micro-Cap

Trust,

Inc.

25,854

5,557

Royce

Value

Trust,

Inc.

53,736

1,700

SPDR

BBG

Barclay's

Convertible

Securities

ETF

81,362

9,205

SPDR

Bloomberg

Barclays

High

Yield

Bond

ETF

872,082

8,030

Templeton

Global

Income

Fund

42,960

7,848

Tortoise

Midstream

Energy

Fund,

Inc.

6,703

4,608

Voya

Asia

Pacific

High

Dividend

Equity

Income

Fund

29,998

18,497

Voya

Global

Equity

Dividend

&

Premium

Opportunity

Fund

84,346

8,850

Voya

Infrastructure

Industrials

and

Materials

Fund

71,951

23,000

Wells

Fargo

Global

Dividend

Opportunity

Fund

85,100

13,195

Wells

Fargo

Income

Opportunities

Fund

84,184

16,060

Western

Asset

High

Income

Fund

II,

Inc.

80,461

22,034

Western

Asset

High

Income

Opportunity

Fund,

Inc.

92,763

Total

6,318,967

Affiliated  (9.9%)

242,340

Thrivent

Core

Emerging

Markets

Debt

Fund

2,142,289

Total

2,142,289

Total

Registered

Investment

Companies

(cost

$10,409,426)

8,461,256

Shares

Preferred

Stock

(

3.3%

)

Value

Communications

Services

(0.4%)

2,400

AT&T,

Inc.,

4.750%

c

50,880

32

Crown

Castle

International

Corporation,

Convertible,

6.875%

41,371

Total

92,251

Consumer

Staples

(0.2%)

2,000

CHS,

Inc.,

6.750%

b,c

44,540

Total

44,540

Energy

(0.3%)

10,535

Crestwood

Equity

Partners,

LP,

9.250%

c

40,033

525

Energy

Transfer

Operating,

LP,

7.600%

b,c

6,526

1,415

Nustar

Logistics,

LP,

8.565%

b

18,734

Total

65,293

Financials

(2.1%)

1,050

Aegon

Funding

Corporation

II,

5.100%

21,861

1,500

Allstate

Corporation,

5.100%

c

34,650

12

Bank

of

America

Corporation,

Convertible,

7.250%

c

15,192

Shares

Preferred

Stock

(3.3%)

Value

Financials

(2.1%)

-

continued

2,050

Capital

One

Financial

Corporation,

5.000%

c

$

41,102

2,000

Citigroup

Capital

XIII,

8.140%

b

51,200

2,400

Equitable

Holdings,

Inc.,

5.250%

c

40,608

65

First

Horizon

Bank,

3.750%

a,b,c

42,250

1,300

GMAC

Capital

Trust

I,

7.477%

b

26,663

1,450

J.P.

Morgan

Chase

&

Company,

4.750%

c

33,771

2,000

Morgan

Stanley,

5.850%

b,c

49,240

1,200

Regions

Financial

Corporation,

5.700%

b,c

28,200

250

Synovus

Financial

Corporation,

5.875%

b,c

5,138

52

Wells

Fargo

&

Company,

Convertible,

7.500%

c

66,249

Total

456,124

Health

Care

(0.1%)

18

Danaher

Corporation,

Convertible,

4.750%

18,766

Total

18,766

Industrials

(0.1%)

123

Stanley

Black

&

Decker,

Inc.,

Convertible,

5.250%

8,605

Total

8,605

Utilities

(0.1%)

377

Southern

Company,

Convertible,

6.750%

16,739

Total

16,739

Total

Preferred

Stock

(cost

$878,074)

702,318

Shares

Common

Stock

(

3.2%

)

Value

Communications

Services

(0.1%)

20

Charter

Communications,

Inc.

e

8,726

327

Twitter,

Inc.

e

8,031

Total

16,757

Consumer

Staples

(0.1%)

359

Bunge,

Ltd.

14,730

Total

14,730

Energy

(0.8%)

2,070

Enbridge,

Inc.

60,216

3,300

Enterprise

Products

Partners,

LP

47,190

4,100

Kinder

Morgan,

Inc.

57,072

Total

164,478

Financials

(0.6%)

5,636

AG

Mortgage

Investment

Trust,

Inc.

15,443

12,858

Annaly

Capital

Management,

Inc.

65,190

5,511

Granite

Point

Mortgage

Trust,

Inc.

27,941

110

New

York

Community

Bancorp,

Inc.

1,033

7,047

Two

Harbors

Investment

Corporation

26,849

Total

136,456

Health

Care

(0.3%)

35

Anthem,

Inc.

7,946

350

Danaher

Corporation

48,444

20

Illumina,

Inc.

e

5,462

Total

61,852

Multidimensional

Income

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

244

Shares

Common

Stock

(3.2%)

Value

Industrials

(<0.1%)

55

Patrick

Industries,

Inc.

$

1,549

Total

1,549

Information

Technology

(0.8%)

1,458

Advanced

Micro

Devices,

Inc.

e

66,310

34

Akamai

Technologies,

Inc.

e

3,110

61

Broadcom,

Ltd.

14,463

40

Lam

Research

Corporation

9,600

145

Lumentum

Holdings,

Inc.

e

10,686

156

Microchip

Technology,

Inc.

10,577

796

Micron

Technology,

Inc.

e

33,480

212

Motorola

Solutions,

Inc.

28,179

265

Nuance

Communications,

Inc.

e

4,447

Total

180,852

Materials

(<0.1%)

120

Allegheny

Technologies,

Inc.

e

1,020

Total

1,020

Real

Estate

(0.5%)

7,034

AGNC

Investment

Corporation

74,420

425

iSTAR

Financial,

Inc.

4,509

912

MGIC

Investment

Corporation

5,791

5,694

New

Residential

Investment

Corporation

28,527

Total

113,247

Total

Common

Stock

(cost

$1,157,379)

690,941

Shares

Short-Term

Investments

(

2.0%

)

Value

Thrivent

Core

Short-Term

Reserve

Fund

43,278

1.570%

431,918

Total

Short-Term

Investments

(cost

$431,380)

431,918

Total

Investments

(cost

$25,225,029)

99.5%

$21,450,378

Other

Assets

and

Liabilities,

Net

0.5%

101,010

Total

Net

Assets

100.0%

$21,551,388

a

Denotes

securities

sold

under

Rule

144A

of

the

Securities

Act

of

1933,

which

exempts

them

from

registration.

These

securities

may

be

resold

to

other

dealers

in

the

program

or

to

other

qualified

institutional

buyers.

As

of

March

31,

2020,

the

value

of

these

investments

was

$5,238,489

or

24.3%

of

total

net

assets.

b

Denotes

variable

rate

securities.

The

rate

shown

is

as

of

March

31,

2020.

The

rates

of

certain

variable

rate

securities

are

based

on

a

published

reference

rate

and

spread;

these

may

vary

by

security

and

the

reference

rate

and

spread

are

indicated

in

their

description.  The

rates

of

other

variable

rate

securities

are

determined

by

the

issuer

or

agent

and

are

based

on

current

market

conditions.  These

securities

do

not

indicate

a

reference

rate

and

spread

in

their

description.  

c

Denotes

perpetual

securities.

Perpetual

securities

pay

an

indefinite

stream

of

income

and

have

no

contractual

maturity

date.

Date

shown,

if

applicable,

is

next

call

date.

d

In

bankruptcy.  Interest

is

being

accrued

per

the

bankruptcy

agreement

terms.  

e

Non-income

producing

security.

Definitions:

ETF

-

Exchange

Traded

Fund

REIT

-

Real

Estate

Investment

Trust

is

a

company

that

buys,

develops,

manages

and/or

sells

real

estate

assets.

Ser.

-

Series

SPDR

-

S&P

Depository

Receipts,

which

are

exchange-traded

funds

traded

in

the

U.S.,

Europe,

and

Asia-Pacific

and

managed

by

State

Street

Global

Advisors.

Reference

Rate

Index:

LIBOR

3M

-

ICE

Libor

USD

Rate

3

Month

Multidimensional

Income

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

245

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Multidimensional

Income

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Long-Term

Fixed

Income

Basic

Materials

453,075

–

453,075

–

Capital

Goods

922,595

–

922,595

–

Collateralized

Mortgage

Obligations

100,345

–

100,345

–

Communications

Services

1,648,478

–

1,648,478

–

Consumer

Cyclical

1,069,627

–

1,069,627

–

Consumer

Non-Cyclical

1,165,597

–

1,165,597

–

Energy

790,259

–

790,259

–

Financials

2,959,337

–

2,959,337

–

Technology

422,666

–

422,666

–

Transportation

150,497

–

150,497

–

U.S.

Government

&

Agencies

1,024,195

–

1,024,195

–

Utilities

457,274

–

457,274

–

Registered

Investment

Companies

Unaffiliated

6,318,967

6,318,967

–

–

Preferred

Stock

Communications

Services

92,251

50,880

41,371

–

Consumer

Staples

44,540

44,540

–

–

Energy

65,293

65,293

–

–

Financials

456,124

413,874

42,250

–

Health

Care

18,766

–

18,766

–

Industrials

8,605

8,605

–

–

Utilities

16,739

16,739

–

–

Common

Stock

Communications

Services

16,757

16,757

–

–

Consumer

Staples

14,730

14,730

–

–

Energy

164,478

164,478

–

–

Financials

136,456

136,456

–

–

Health

Care

61,852

61,852

–

–

Industrials

1,549

1,549

–

–

Information

Technology

180,852

180,852

–

–

Materials

1,020

1,020

–

–

Real

Estate

113,247

113,247

–

–

Subtotal

Investments

in

Securities

$18,876,171

$7,609,839

$11,266,332

$–

Other

Investments  *

Total

Affiliated

Registered

Investment

Companies

2,142,289

Affiliated

Short-Term

Investments

431,918

Subtotal

Other

Investments

$2,574,207

Total

Investments

at

Value

$21,450,378

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Multidimensional

Income

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

246

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

 The

Portfolio

owns

shares

of

Thrivent

Cash

Management

Trust

for

the

purpose

of

securities

lending

and

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Cash

Management

Trust

and

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Multidimensional

Income

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Registered

Investment

Companies

Core

Emerging

Markets

Debt

$2,616

$144

$300

$2,142

242

9.9%

Total

Affiliated

Registered

Investment

Companies

2,616

2,142

9.9

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

1,088

5,870

6,526

432

43

2.0

Total

Affiliated

Short-Term

Investments

1,088

432

2.0

Collateral

held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

160

3,209

3,369

–

–

–

Total

Collateral

Held

for

Securities

Loaned

160

–

–

Total

Value

$3,864

$2,574

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Registered

Investment

Companies

Core

Emerging

Markets

Debt

$(52)

$(266)

–

$28

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

(1)

1

–

4

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$32

Collateral

Held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

–

–

–

1

Total

Affiliated

Income

from

Securities

Loaned,

Net

$1

Total

Value

$(53)

$(265)

$–

Opportunity

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

247

Principal

Amount

Bank

Loans

(

25.2%

)

a

Value

Basic

Materials

(1.4%)

Arch

Coal,

Inc.,

Term

Loan

$

548,687

3.750%, 

(LIBOR

1M

+

2.750%),

3/7/2024

b

$

414,259

Ball

Metalpack

Finco

,

LLC,

Term

Loan

83,512

6.113%, 

(LIBOR

3M

+

4.500%),

7/31/2025

b

62,634

Big

River

Steel,

LLC,

Term

Loan

331,500

6.450%, 

(LIBOR

3M

+

5.000%),

8/23/2023

b,c

314,925

Chemours

Company,

Term

Loan

548,800

2.740%, 

(LIBOR

1M

+

1.750%),

4/3/2025

b,c

499,408

Innophos

Holdings,

Inc.,

Term

Loan

155,000

4.755%, 

(LIBOR

1M

+

3.750%),

2/7/2027

b

131,363

Momentive

Performance

Materials

USA,

LLC,

Term

Loan

290,802

4.240%, 

(LIBOR

1M

+

3.250%),

5/15/2024

b

233,703

Nouryon

USA,

LLC,

Term

Loan

523,643

3.863%, 

(LIBOR

1M

+

3.000%),

10/1/2025

b

466,042

Peabody

Energy

Corporation,

Term

Loan

387,100

3.739%, 

(LIBOR

1M

+

2.750%),

3/31/2025

b

193,550

Pixelle

Specialty

Solutions,

LLC,

Term

Loan

612,360

7.500%, 

(LIBOR

1M

+

6.500%),

10/31/2024

b

530,916

Univar

Solutions

USA,

Inc.,

Term

Loan

124,688

3.450%, 

(LIBOR

3M

+

2.000%),

11/22/2026

b

108,166

Total

2,954,966

Capital

Goods

(2.6%)

Advanced

Disposal

Services,

Inc.,

Term

Loan

572,090

2.894%, 

(LIBOR

1W

+

2.250%),

11/10/2023

b

563,983

BWAY

Holding

Company,

Term

Loan

436,798

5.084%, 

(LIBOR

3M

+

3.250%),

4/3/2024

b

354,081

Flex

Acquisition

Company,

Inc.

Term

Loan

613,770

5.159%, 

(LIBOR

3M

+

3.250%),

6/29/2025

b,c

555,462

GFL

Environmental,

Inc.,

Term

Loan

955,710

3.990%, 

(LIBOR

1M

+

3.000%),

5/31/2025

b,d,e

922,261

Natgasoline

,

LLC,

Term

Loan

370,312

5.438%, 

(LIBOR

3M

+

3.500%),

11/14/2025

b,c

318,469

Navistar,

Inc.,

Term

Loan

627,200

4.280%, 

(LIBOR

1M

+

3.500%),

11/6/2024

b

539,392

Reynolds

Group

Holdings,

Inc.,

Term

Loan

369,043

0.000%, 

(LIBOR

1M

+

2.750%),

2/5/2023

b,c,d,e

347,823

TransDigm

,

Inc.,

Term

Loan

1,097,250

3.239%, 

(LIBOR

1M

+

2.250%),

12/9/2025

b

995,754

Principal

Amount

Bank

Loans

(25.2%)

a

Value

Capital

Goods

(2.6%)

-

continued

Vertiv

Group

Corporation,

Term

Loan

$

1,040,000

4.581%, 

(LIBOR

1M

+

3.000%),

3/2/2027

b,c

$

894,400

Total

5,491,625

Communications

Services

(6.6%)

Altice

France

SA,

Term

Loan

257,713

3.739%, 

(LIBOR

1M

+

2.750%),

7/31/2025

b

236,451

CenturyLink,

Inc.,

Term

Loan

1,581,038

3.239%, 

(LIBOR

1M

+

2.250%),

3/15/2027

b

1,467,408

Charter

Communications

Operating,

LLC,

Term

Loan

1,385,000

0.000%, 

(LIBOR

1M

+

1.750%),

4/30/2025

b,d,e

1,325,556

CommScope

,

Inc.,

Term

Loan

786,050

4.239%, 

(LIBOR

1M

+

3.250%),

4/4/2026

b,c

738,887

Coral-US

Co-Borrower,

LLC,

Term

Loan

1,280,000

3.239%, 

(LIBOR

1M

+

2.250%),

1/31/2028

b

1,192,000

CSC

Holdings,

LLC,

Term

Loan

471,662

2.862%, 

(LIBOR

1M

+

2.250%),

7/17/2025

b

448,867

1,155,000

3.112%, 

(LIBOR

1M

+

2.500%),

4/15/2027

b

1,101,096

Diamond

Sports

Group,

LLC,

Term

Loan

771,125

4.180%, 

(LIBOR

1M

+

3.250%),

8/24/2026

b,c

593,766

Entercom

Media

Corporation,

Term

Loan

373,970

3.489%, 

(LIBOR

1M

+

2.500%),

11/17/2024

b,c

336,573

Frontier

Communications

Corporation,

Term

Loan

765,321

5.350%, 

(LIBOR

3M

+

3.750%),

6/15/2024

b

724,062

HCP

Acquisition,

LLC,

Term

Loan

615,485

4.000%, 

(LIBOR

1M

+

3.000%),

5/16/2024

b

531,367

Intelsat

Jackson

Holdings

SA,

Term

Loan

500,000

5.682%, 

(LIBOR

3M

+

3.750%),

11/27/2023

b

455,625

Mediacom

Illinois,

LLC,

Term

Loan

195,847

2.370%, 

(LIBOR

1W

+

1.750%),

2/15/2024

b,c

188,013

NEP

Group,

Inc.,

Term

Loan

612,250

4.700%, 

(LIBOR

3M

+

3.250%),

10/20/2025

b

374,238

SBA

Senior

Finance

II,

LLC,

Term

Loan

552,543

2.740%, 

(LIBOR

1M

+

1.750%),

4/11/2025

b,d,e

521,049

Sprint

Communications,

Inc.,

Term

Loan

692,927

3.500%, 

(LIBOR

1M

+

2.500%),

2/3/2024

b,c

687,730

Terrier

Media

Buyer,

Inc.,

Term

Loan

374,063

5.700%, 

(LIBOR

3M

+

4.250%),

12/17/2026

b,c

330,110

Opportunity

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

248

Principal

Amount

Bank

Loans

(25.2%)

a

Value

Communications

Services

(6.6%)

-

continued

TNS,

Inc.,

Term

Loan

$

464,656

5.780%, 

(LIBOR

3M

+

4.000%),

8/14/2022

b

$

384,118

Virgin

Media

Bristol,

LLC,

Term

Loan

1,010,000

3.205%, 

(LIBOR

1M

+

2.500%),

1/31/2028

b

929,200

WideOpenWest

Finance,

LLC,

Term

Loan

463,125

4.250%, 

(LIBOR

1M

+

3.250%),

8/19/2023

b

424,917

Windstream

Services,

LLC,

Term

Loan

325,000

3.490%, 

(LIBOR

1M

+

2.500%),

2/26/2021

b

315,250

183,591

8.250%, 

(PRIME

+

5.000%),

3/30/2021

b,f

112,909

Ziggo

Financing

Partnership,

Term

Loan

680,000

3.205%, 

(LIBOR

3M

+

2.500%),

4/30/2028

b,c,d,e

639,200

Total

14,058,392

Consumer

Cyclical

(3.6%)

1011778

B.C.,

LLC,

Term

Loan

1,092,263

2.739%, 

(LIBOR

1M

+

1.750%),

11/19/2026

b

1,004,882

Cengage

Learning,

Inc.,

Term

Loan

453,938

5.250%, 

(LIBOR

1M

+

4.250%),

6/7/2023

b

365,797

Eldorado

Resorts,

Inc.,

Term

Loan

84,267

3.250%, 

(LIBOR

3M

+

2.250%),

4/17/2024

b

73,734

Four

Seasons

Hotels,

Ltd.,

Term

Loan

483,750

2.989%, 

(LIBOR

1M

+

2.000%),

11/30/2023

b

435,375

Golden

Entertainment,

Inc.,

Term

Loan

825,075

3.960%, 

(LIBOR

1M

+

3.000%),

10/20/2024

b,c

618,806

Golden

Nugget,

LLC,

Term

Loan

1,037,099

3.580%, 

(LIBOR

3M

+

2.500%),

10/4/2023

b

803,751

LCPR

Loan

Financing,

LLC,

Term

Loan

965,000

5.705%, 

(LIBOR

1M

+

5.000%),

10/25/2026

b

884,181

Mohegan

Gaming

and

Entertainment,

Term

Loan

523,238

5.375%, 

(LIBOR

1M

+

4.375%),

10/13/2023

b

368,883

Scientific

Games

International,

Inc.,

Term

Loan

1,564,248

4.250%, 

(LIBOR

1M

+

2.750%),

8/14/2024

b

1,256,607

Staples,

Inc.,

Term

Loan

213,387

6.015%, 

(LIBOR

1M

+

4.500%),

9/12/2024

b,c

145,103

690,062

6.515%, 

(LIBOR

1M

+

5.000%),

4/12/2026

b

541,699

Stars

Group

Holdings

BV,

Term

Loan

766,505

4.950%, 

(LIBOR

3M

+

3.500%),

7/10/2025

b

728,816

Tenneco,

Inc.,

Term

Loan

291,312

3.989%, 

(LIBOR

1M

+

3.000%),

10/1/2025

b

199,549

Principal

Amount

Bank

Loans

(25.2%)

a

Value

Consumer

Cyclical

(3.6%)

-

continued

Wyndham

Hotels

&

Resorts,

Inc.,

Term

Loan

$

334,900

2.739%, 

(LIBOR

1M

+

1.750%),

5/30/2025

b

$

292,619

Total

7,719,802

Consumer

Non-Cyclical

(4.4%)

Air

Medical

Group

Holdings,

Inc.,

Term

Loan

1,363,612

4.932%, 

(LIBOR

2M

+

3.250%),

4/28/2022

b

1,257,933

166,175

5.863%, 

(LIBOR

3M

+

4.250%),

3/14/2025

b

147,896

Aramark

Services,

Inc.,

Term

Loan

255,000

0.000%, 

(LIBOR

1M

+

1.750%),

3/11/2025

b,d,e

237,150

Bausch

Health

Companies,

Inc.,

Term

Loan

1,542,500

3.612%, 

(LIBOR

1M

+

3.000%),

6/1/2025

b

1,459,591

Chobani

,

LLC,

Term

Loan

460,247

4.500%, 

(LIBOR

1M

+

3.500%),

10/10/2023

b

408,469

Diamond

BC

BV,

Term

Loan

478,975

4.777%, 

(LIBOR

3M

+

3.000%),

9/6/2024

b

354,441

Elanco

Animal

Health,

Inc.,

Term

Loan

255,000

0.000%, 

(LIBOR

1M

+

1.750%),

2/4/2027

b,d,e

240,975

Endo

International

plc,

Term

Loan

491,530

5.250%, 

(LIBOR

1M

+

4.250%),

4/27/2024

b,d,e

438,690

Energizer

Holdings,

Inc.,

Term

Loan

90,915

3.875%, 

(LIBOR

1M

+

2.250%),

12/17/2025

b,c

84,551

Grifols

Worldwide

Operations

USA,

Inc.,

Term

Loan

423,937

2.684%, 

(LIBOR

1W

+

2.000%),

11/15/2027

b

399,561

JBS

USA

LUX

SA,

Term

Loan

751,206

3.072%, 

(LIBOR

3M

+

2.000%),

5/1/2026

b

699,155

Mallinckrodt

International

Finance

SA,

Term

Loan

348,884

4.704%, 

(LIBOR

3M

+

3.000%),

2/24/2025

b

233,100

McGraw-Hill

Global

Education

Holdings,

LLC,

Term

Loan

450,428

5.450%, 

(LIBOR

3M

+

4.000%),

5/4/2022

b

366,346

MPH

Acquisition

Holdings,

LLC,

Term

Loan

1,241,682

4.200%, 

(LIBOR

3M

+

2.750%),

6/7/2023

b

1,093,711

Ortho-Clinical

Diagnostics

SA,

Term

Loan

1,158,506

4.765%, 

(LIBOR

1M

+

3.250%),

6/30/2025

b

980,386

Plantronics,

Inc.,

Term

Loan

526,185

3.470%, 

(LIBOR

3M

+

2.500%),

7/2/2025

b

407,004

Opportunity

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

249

Principal

Amount

Bank

Loans

(25.2%)

a

Value

Consumer

Non-Cyclical

(4.4%)

-

continued

R.R.

Donnelley

&

Sons

Company,

Term

Loan

$

79,397

5.989%, 

(LIBOR

1M

+

5.000%),

1/15/2024

b

$

68,678

Sotera

Health

Holdings,

LLC,

Term

Loan

400,000

5.500%, 

(LIBOR

1M

+

4.500%),

12/13/2026

b

346,376

Total

9,224,013

Energy

(1.4%)

BCP

Raptor

II,

LLC,

Term

Loan

153,838

5.739%, 

(LIBOR

1M

+

4.750%),

11/3/2025

b

84,611

Buckeye

Partners,

LP,

Term

Loan

525,000

0.000%, 

(LIBOR

1M

+

2.750%),

11/1/2026

b,d,e

478,800

Calpine

Corporation,

Term

Loan

482,340

3.240%, 

(LIBOR

1M

+

2.250%),

1/15/2024

b

462,082

CONSOL

Energy,

Inc.,

Term

Loan

371,250

5.490%, 

(LIBOR

1M

+

4.500%),

9/28/2024

b

241,312

Consolidated

Energy

Finance

SA,

Term

Loan

314,400

3.205%, 

(LIBOR

1M

+

2.500%),

5/7/2025

b,c

220,080

Fieldwood

Energy,

LLC,

Term

Loan

500,000

7.027%, 

(LIBOR

3M

+

5.250%),

4/11/2022

b

156,250

McDermott

Technology

(Americas),

Inc.,

Term

Loan

795,825

7.250%, 

(PRIME

+

4.000%),

5/10/2025

b,f

225,481

Radiate

Holdco,

LLC,

Term

Loan

1,275,423

3.989%, 

(LIBOR

1M

+

3.000%),

2/1/2024

b

1,169,142

Total

3,037,758

Financials

(2.3%)

Avolon

TLB

Borrower

1

US,

LLC,

Term

Loan

347,238

2.523%, 

(LIBOR

1M

+

1.750%),

1/15/2025

b

307,885

Blackstone

CQP

Holdco,

LP,

Term

Loan

307,675

4.616%, 

(LIBOR

3M

+

3.500%),

9/30/2024

b

239,371

Cyxtera

DC

Holdings,

Inc.,

Term

Loan

583,960

4.000%, 

(LIBOR

1M

+

3.000%),

5/1/2024

b

374,319

80,000

8.050%, 

(LIBOR

1M

+

7.250%),

5/1/2025

b

28,355

Digicel

International

Finance,

Ltd.,

Term

Loan

830,832

4.870%, 

(LIBOR

3M

+

3.250%),

5/27/2024

b

642,856

GGP

Nimbus,

LLC,

Term

Loan

881,575

3.489%, 

(LIBOR

1M

+

2.500%),

8/24/2025

b

617,103

Harland

Clarke

Holdings

Corporation,

Term

Loan

701,417

6.463%, 

(LIBOR

3M

+

4.750%),

11/3/2023

b

422,386

Principal

Amount

Bank

Loans

(25.2%)

a

Value

Financials

(2.3%)

-

continued

Level

3

Financing,

Inc.,

Term

Loan

$

635,000

2.739%, 

(LIBOR

1M

+

1.750%),

3/1/2027

b

$

590,550

MoneyGram

International,

Inc.,

Term

Loan

346,203

6.989%, 

(LIBOR

1M

+

6.000%),

6/30/2023

b

247,535

NCR

Corporation,

Term

Loan

527,350

3.490%, 

(LIBOR

1M

+

2.500%),

8/28/2026

b

474,615

Northriver

Midstream

Finance,

LP,

Term

Loan

513,699

5.159%, 

(LIBOR

3M

+

3.250%),

10/1/2025

b

391,804

Tronox

Finance,

LLC,

Term

Loan

649,276

3.930%, 

(LIBOR

1M

+

2.750%),

9/22/2024

b

565,331

Total

4,902,110

Technology

(2.1%)

Clear

Channel

Outdoor

Holdings,

Inc.,

Term

Loan

960,175

4.489%, 

(LIBOR

1M

+

3.500%),

8/21/2026

b,c

806,547

Prime

Security

Services

Borrower,

LLC,

Term

Loan

1,452,700

4.606%, 

(LIBOR

1M

+

3.250%),

9/23/2026

b

1,297,261

Rackspace

Hosting,

Inc.,

Term

Loan

1,286,930

4.763%, 

(LIBOR

3M

+

3.000%),

11/3/2023

b

1,113,194

SS&C

Technologies,

Inc.,

Term

Loan

224,045

2.739%, 

(LIBOR

1M

+

1.750%),

4/16/2025

b

208,922

159,871

2.739%, 

(LIBOR

1M

+

1.750%),

4/16/2025

b

149,080

Zayo

Group

Holdings,

Inc.,

Term

Loan

985,000

3.989%, 

(LIBOR

1M

+

3.000%),

3/9/2027

b,c,d,e

925,900

Total

4,500,904

Transportation

(0.5%)

Genesee

&

Wyoming,

Inc.,

Term

Loan

620,000

3.450%, 

(LIBOR

3M

+

2.000%),

12/30/2026

b

590,940

United

Airlines,

Inc.,

Term

Loan

465,000

2.739%, 

(LIBOR

3M

+

1.750%),

4/1/2024

b,c,d,e

418,500

Total

1,009,440

Utilities

(0.3%)

Core

and

Main,

LP,

Term

Loan

410,550

4.331%, 

(LIBOR

1M

+

2.750%),

8/1/2024

b

360,258

EnergySolutions

,

LLC,

Term

Loan

289,837

5.200%, 

(LIBOR

3M

+

3.750%),

5/11/2025

b,c

249,260

Total

609,518

Total

Bank

Loans

(cost

$61,910,667)

53,508,528

Opportunity

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

250

Principal

Amount

Long-Term

Fixed

Income

(

53.7%

)

Value

Asset-Backed

Securities

(4.7%)

Apidos

CLO

XXIV

$

460,000

3.269%, 

(LIBOR

3M

+

1.450%),

10/20/2030,

Ser.

2016-24A,

Class

A1BR

b,g

$

422,273

Assurant

CLO

III,

Ltd.

450,000

3.049%, 

(LIBOR

3M

+

1.230%),

10/20/2031,

Ser.

2018-2A,

Class

A

b,g

411,124

Babson

CLO,

Ltd.

300,000

4.719%, 

(LIBOR

3M

+

2.900%),

7/20/2029,

Ser.

2018-3A,

Class

D

b,g

231,345

Benefit

Street

Partners

CLO

IV,

Ltd.

250,000

3.569%, 

(LIBOR

3M

+

1.750%),

1/20/2029,

Ser.

2014-IVA,

Class

A2RR

b,g

231,385

Business

Jet

Securities,

LLC

273,457

4.447%, 

6/15/2033,

Ser.

2018-2,

Class

A

g

220,984

Cent

CLO,

LP

875,000

4.094%, 

(LIBOR

3M

+

2.300%),

10/25/2028,

Ser.

2018-27A,

Class

B

b,g

768,472

College

Ave

Student

Loans,

LLC

183,046

2.597%, 

(LIBOR

1M

+

1.650%),

11/26/2046,

Ser.

2017-A,

Class

A1

b,g

178,089

Education

Funding

Trust

736,194

2.790%, 

7/25/2041,

Ser.

2020-A,

Class

A

g

724,814

Foundation

Finance

Trust

133,484

3.300%, 

7/15/2033,

Ser.

2017-1A,

Class

A

g

133,198

Freedom

ABS

Trust

458,079

2.520%, 

3/18/2027,

Ser.

2020-FP1,

Class

A

g

435,176

Harley

Marine

Financing,

LLC

258,355

5.682%, 

5/15/2043,

Ser.

2018-1A,

Class

A2

g

227,998

Madison

Park

Funding

XIV,

Ltd.

425,000

3.202%, 

(LIBOR

3M

+

1.400%),

10/22/2030,

Ser.

2014-14A,

Class

A2RR

b,g

386,237

Myers

Park

CLO,

Ltd.

425,000

3.219%, 

(LIBOR

3M

+

1.400%),

10/20/2030,

Ser.

2018-1A,

Class

A2

b,g

389,337

OHA

Credit

Funding

1,

Ltd.

360,000

3.269%, 

(LIBOR

3M

+

1.450%),

10/20/2030,

Ser.

2018-1A,

Class

A2

b,g

336,791

OZLM

Funding

II,

Ltd.

710,000

3.270%, 

(LIBOR

3M

+

1.500%),

7/30/2031,

Ser.

2012-2A,

Class

A1BR

b,g

649,597

OZLM

IX,

Ltd.

550,000

3.369%, 

(LIBOR

3M

+

1.550%),

10/20/2031,

Ser.

2014-9A,

Class

A1BR

b,g

500,732

Palmer

Square

Loan

Funding,

Ltd.

250,000

4.069%, 

(LIBOR

3M

+

2.250%),

4/20/2027,

Ser.

2019-1A,

Class

B

b,g

229,230

Principal

Amount

Long-Term

Fixed

Income

(53.7%)

Value

Asset-Backed

Securities

(4.7%)

-

continued

Park

Avenue

Institutional

Advisers

CLO,

Ltd.

$

700,000

3.319%, 

(LIBOR

3M

+

1.500%),

10/20/2031,

Ser.

2018-1A,

Class

A1B

b,g

$

642,763

Pretium

Mortgage

Credit

Partners,

LLC

756,084

3.721%, 

1/25/2059,

Ser.

2019-CFL1,

Class

A1

g,h

650,975

Riserva

CLO,

Ltd.

375,000

3.519%, 

(LIBOR

3M

+

1.700%),

10/18/2028,

Ser.

2016-3A,

Class

BR

b,g

346,782

Saxon

Asset

Securities

Trust

51,602

3.765%, 

8/25/2035,

Ser.

2004-2,

Class

MF2

b

43,046

Sound

Point

CLO

X,

Ltd.

375,000

4.519%, 

(LIBOR

3M

+

2.700%),

1/20/2028,

Ser.

2015-3A,

Class

DR

b,g

310,588

Sound

Point

CLO

XXI,

Ltd.

700,000

3.244%, 

(LIBOR

3M

+

1.450%),

10/26/2031,

Ser.

2018-3A,

Class

A1B

b,g

620,649

THL

Credit

Wind

River

CLO,

Ltd.

325,000

4.681%, 

(LIBOR

3M

+

2.850%),

7/15/2028,

Ser.

2016-1A,

Class

DR

b,g

262,673

Vericrest

Opportunity

Loan

Transferee

389,195

3.352%, 

9/25/2049,

Ser.

2019-NPL5,

Class

A1A

g,h

327,966

Voya

CLO,

Ltd.

350,000

2.059%, 

(LIBOR

3M

+

1.060%),

4/15/2031,

Ser.

2019-1A,

Class

AR

b,g

327,097

Total

10,009,321

Basic

Materials

(0.7%)

Anglo

American

Capital

plc

74,000

4.125%, 

9/27/2022

g

72,945

BHP

Billiton

Finance

USA,

Ltd.

75,000

6.750%, 

10/19/2075

b,g

79,519

Cleveland-Cliffs,

Inc.

140,000

5.750%, 

3/1/2025

108,150

First

Quantum

Minerals,

Ltd.

190,000

7.500%, 

4/1/2025

g

158,116

Freeport-McMoRan,

Inc.

95,000

4.125%, 

3/1/2028

83,162

100,000

4.250%, 

3/1/2030

86,880

Kinross

Gold

Corporation

38,000

5.125%, 

9/1/2021

38,095

Krayton

Polymers,

LLC

110,000

7.000%, 

4/15/2025

g

97,350

Mosaic

Company

19,000

3.250%, 

11/15/2022

18,615

Norbord,

Inc.

165,000

5.750%, 

7/15/2027

g

150,631

Novelis

Corporation

170,000

5.875%, 

9/30/2026

g

166,832

40,000

4.750%, 

1/30/2030

g

35,600

Olin

Corporation

150,000

5.125%, 

9/15/2027

134,035

Opportunity

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

251

Principal

Amount

Long-Term

Fixed

Income

(53.7%)

Value

Basic

Materials

(0.7%)

-

continued

Peabody

Securities

Finance

Corporation

$

170,000

6.375%, 

3/31/2025

g

$

88,400

Syngenta

Finance

NV

75,000

3.933%, 

4/23/2021

g

70,675

Tronox

Finance

plc

130,000

5.750%, 

10/1/2025

g

116,025

Xstrata

Finance

Canada,

Ltd.

57,000

4.950%, 

11/15/2021

g

56,450

Total

1,561,480

Capital

Goods

(1.8%)

AECOM

260,000

5.125%, 

3/15/2027

234,000

Amsted

Industries,

Inc.

150,000

5.625%, 

7/1/2027

g

145,937

Ardagh

Packaging

Finance

plc

220,000

6.000%, 

2/15/2025

g

220,616

Bombardier,

Inc.

245,000

7.500%, 

3/15/2025

g

169,662

Building

Materials

Corporation

of

America

175,000

6.000%, 

10/15/2025

g

171,990

Caterpillar

Financial

Services

Corporation

55,000

1.900%, 

9/6/2022

54,772

60,000

1.950%, 

11/18/2022

59,878

Cemex

SAB

de

CV

90,000

5.450%, 

11/19/2029

g

73,035

Cintas

Corporation

No.

2

57,000

2.900%, 

4/1/2022

56,999

CNH

Industrial

Capital,

LLC

60,000

4.875%, 

4/1/2021

58,642

Covanta

Holding

Corporation

120,000

6.000%, 

1/1/2027

99,950

Crown

Americas

Capital

Corporation

IV

120,000

4.500%, 

1/15/2023

122,881

Crown

Cork

&

Seal

Company,

Inc.

170,000

7.375%, 

12/15/2026

174,250

General

Electric

Company

133,000

5.000%, 

1/21/2021

b,i

109,725

H&E

Equipment

Services,

Inc.

150,000

5.625%, 

9/1/2025

139,125

Huntington

Ingalls

Industries,

Inc.

44,000

3.844%, 

5/1/2025

g

45,304

John

Deere

Capital

Corporation

64,000

1.200%, 

4/6/2023

62,656

60,000

2.050%, 

1/9/2025

59,910

L3Harris

Technologies,

Inc.

75,000

4.950%, 

2/15/2021

g

76,610

Lockheed

Martin

Corporation

35,000

2.500%, 

11/23/2020

35,080

Otis

Worldwide

Corporation

61,000

2.056%, 

4/5/2025

g

59,629

Owens-Brockway

Glass

Container,

Inc.

270,000

5.000%, 

1/15/2022

g

272,740

Parker-Hannifin

Corporation

71,000

2.700%, 

6/14/2024

70,711

Republic

Services,

Inc.

34,000

2.500%, 

8/15/2024

34,232

Reynolds

Group

Issuer,

Inc.

240,000

5.125%, 

7/15/2023

g

238,198

Principal

Amount

Long-Term

Fixed

Income

(53.7%)

Value

Capital

Goods

(1.8%)

-

continued

Rockwell

Collins,

Inc.

$

42,000

2.800%, 

3/15/2022

$

42,430

Roper

Technologies,

Inc.

60,000

2.800%, 

12/15/2021

60,054

39,000

2.350%, 

9/15/2024

37,917

Textron

Financial

Corporation

200,000

3.427%, 

(LIBOR

3M

+

1.735%),

2/15/2042

b,g

113,000

TransDigm

,

Inc.

70,000

6.250%, 

3/15/2026

g

69,650

200,000

5.500%, 

11/15/2027

g

179,500

United

Rentals

North

America,

Inc.

40,000

4.875%, 

1/15/2028

38,800

270,000

4.000%, 

7/15/2030

241,650

United

Technologies

Corporation

80,000

3.950%, 

8/16/2025

87,532

Waste

Management,

Inc.

34,000

2.950%, 

6/15/2024

34,571

WW

Grainger,

Inc.

41,000

1.850%, 

2/15/2025

41,046

Total

3,792,682

Collateralized

Mortgage

Obligations

(10.1%)

Antler

Mortgage

Trust

350,000

4.458%, 

6/27/2022,

Ser.

2019-RTL1,

Class

A1

g

305,148

1,075,000

4.335%, 

7/25/2022,

Ser.

2018-RTL1,

Class

A1

g

1,069,414

Banc

of

America

Alternative

Loan

Trust

193,789

6.000%, 

11/25/2035,

Ser.

2005-10,

Class

3CB1

167,187

Banc

of

America

Funding

Trust

323,962

5.500%, 

1/25/2036,

Ser.

2005-8,

Class

1A1

286,352

Banc

of

America

Mortgage

Securities

Trust

356,520

3.985%, 

9/25/2035,

Ser.

2005-H,

Class

3A1

b

291,949

Bear

Stearns

Adjustable

Rate

Mortgage

Trust

139,068

3.971%, 

1/25/2034,

Ser.

2003-8,

Class

5A

b

118,817

59,508

4.270%, 

(CMT

1Y

+

2.300%),

10/25/2035,

Ser.

2005-9,

Class

A1

b

55,358

Bellemeade

Re,

Ltd.

530,707

2.547%, 

(LIBOR

1M

+

1.600%),

4/25/2028,

Ser.

2018-1A,

Class

M1B

b,g

526,672

Cascade

Funding

Mortgage

Trust

166,562

4.580%, 

6/25/2048,

Ser.

2018-RM1,

Class

A1

g

167,355

ChaseFlex

Trust

235,200

6.500%, 

2/25/2035,

Ser.

2005-1,

Class

1A5

209,301

CHL

Mortgage

Pass-Through

Trust

234,107

3.416%, 

11/20/2035,

Ser.

2005-HYB7,

Class

6A1

b

177,377

143,125

3.861%, 

12/20/2035,

Ser.

2005-HYB8,

Class

3A1

b

125,181

109,490

6.000%, 

4/25/2037,

Ser.

2007-3,

Class

A18

80,297

Opportunity

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

252

Principal

Amount

Long-Term

Fixed

Income

(53.7%)

Value

Collateralized

Mortgage

Obligations

(10.1%)

-

continued

CIM

Trust

$

218,121

5.000%, 

12/25/2057,

Ser.

2018-R3,

Class

A1

b,g

$

224,114

Citigroup

Mortgage

Loan

Trust,

Inc.

467,205

4.082%, 

4/25/2037,

Ser.

2007-AR5,

Class

1A1A

b

391,269

Countrywide

Alternative

Loan

Trust

141,972

5.000%, 

3/25/2035,

Ser.

2005-3CB,

Class

1A1

128,829

192,536

5.500%, 

5/25/2035,

Ser.

2005-J3,

Class

1A5

168,548

81,962

5.500%, 

10/25/2035,

Ser.

2005-46CB,

Class

A8

59,934

28,705

5.500%, 

2/25/2036,

Ser.

2005-85CB,

Class

2A2

25,105

Countrywide

Home

Loan

Mortgage

Pass

Through

Trust

124,402

3.569%, 

11/25/2035,

Ser.

2005-22,

Class

2A1

b

103,399

Credit

Suisse

Mortgage

Capital

Certificates

250,425

3.393%, 

2/25/2024,

Ser.

2020-BPL1,

Class

A1

g,h

247,775

476,905

3.322%, 

10/25/2058,

Ser.

2019-RPL8,

Class

A1

b,g

495,041

Deutsche

Alt-A

Securities,

Inc.,

Mortgage

Loan

Trust

181,892

5.250%, 

6/25/2035,

Ser.

2005-3,

Class

4A6

173,948

Eagle

Re,

Ltd.

720,604

2.747%, 

(LIBOR

1M

+

1.800%),

4/25/2029,

Ser.

2019-1,

Class

M1B

b,g

717,356

Federal

Home

Loan

Mortgage

Corporation

848,648

3.500%, 

8/15/2035,

Ser.

345,

Class

C8

j

76,748

Federal

Home

Loan

Mortgage

Corporation

-

REMIC

770,939

3.000%, 

5/15/2027,

Ser.

4046,

Class

GI

j

46,828

617,987

3.000%, 

7/15/2027,

Ser.

4084,

Class

NI

j

42,026

867,007

3.500%, 

10/15/2032,

Ser.

4119,

Class

KI

j

108,261

927,456

3.000%, 

4/15/2033,

Ser.

4203,

Class

DI

j

74,945

Federal

National

Mortgage

Association

-

REMIC

568,007

3.000%, 

7/25/2027,

Ser.

2012-73,

Class

DI

j

34,291

867,344

3.000%, 

7/25/2027,

Ser.

2012-74,

Class

AI

j

46,884

1,298,737

3.000%, 

8/25/2027,

Ser.

2012-95,

Class

HI

j

70,006

1,884,483

3.000%, 

11/25/2027,

Ser.

2012-121,

Class

BI

j

120,377

1,121,091

3.000%, 

12/25/2027,

Ser.

2012-139,

Class

DI

j

64,697

491,182

2.500%, 

1/25/2028,

Ser.

2012-152,

Class

AI

j

28,373

1,468,332

3.000%, 

1/25/2028,

Ser.

2012-147,

Class

EI

j

86,797

Principal

Amount

Long-Term

Fixed

Income

(53.7%)

Value

Collateralized

Mortgage

Obligations

(10.1%)

-

continued

$

2,335,833

3.000%, 

3/25/2028,

Ser.

2013-18,

Class

IL

j

$

139,169

866,089

2.500%, 

6/25/2028,

Ser.

2013-87,

Class

IW

j

52,476

1,036,150

3.000%, 

11/25/2031,

Ser.

2013-69,

Class

IO

j

53,534

549,518

3.000%, 

2/25/2033,

Ser.

2013-1,

Class

YI

j

60,268

First

Horizon

Alternative

Mortgage

Securities

Trust

79,705

3.787%, 

7/25/2035,

Ser.

2005-AA5,

Class

2A1

b

70,835

FWD

Securitization

Trust

423,373

2.810%, 

6/25/2049,

Ser.

2019-INV1,

Class

A1

b,g

419,599

Genworth

Mortgage

Insurance

Corporation

250,000

2.847%, 

(LIBOR

1M

+

1.900%),

11/26/2029,

Ser.

2019-1,

Class

M1

b,g

237,382

GMAC

Mortgage

Corporation

Loan

Trust

84,715

3.927%, 

5/25/2035,

Ser.

2005-AR2,

Class

4A

b

70,244

37,421

1.447%, 

(LIBOR

1M

+

0.500%),

8/25/2035,

Ser.

2005-HE1,

Class

A2

b,k

35,772

14,546

4.008%, 

9/19/2035,

Ser.

2005-AR5,

Class

5A1

b

12,018

GSAA

Home

Equity

Trust

76,740

4.524%, 

8/25/2034,

Ser.

2004-10,

Class

M2

h

72,438

Home

Equity

Asset

Trust

384,777

2.267%, 

(LIBOR

1M

+

1.320%),

8/25/2033,

Ser.

2003-2,

Class

M1

b

351,271

IndyMac

INDA

Mortgage

Loan

Trust

888,902

3.880%, 

8/25/2036,

Ser.

2006-AR1,

Class

A1

b

715,765

IndyMac

INDX

Mortgage

Loan

Trust

738,467

1.157%, 

(LIBOR

1M

+

0.210%),

4/25/2046,

Ser.

2006-AR2,

Class

1A1B

b

588,283

J.P.

Morgan

Alternative

Loan

Trust

87,541

6.500%, 

3/25/2036,

Ser.

2006-S1,

Class

1A19

64,060

J.P.

Morgan

Mortgage

Trust

67,796

6.500%, 

1/25/2035,

Ser.

2005-S1,

Class

1A2

70,018

90,002

4.172%, 

7/25/2035,

Ser.

2007-A1,

Class

2A1

b

80,558

94,188

3.953%, 

6/25/2036,

Ser.

2006-A4,

Class

2A2

b

74,596

Legacy

Mortgage

Asset

Trust

482,536

4.000%, 

1/25/2059,

Ser.

2019-GS1,

Class

A1

g

435,288

660,395

3.250%, 

11/25/2059,

Ser.

2019-GS7,

Class

A1

g,h

666,480

Long

Beach

Mortgage

Loan

Trust

303,964

2.447%, 

(LIBOR

1M

+

1.500%),

9/25/2034,

Ser.

2004-5,

Class

M3

b

240,002

Opportunity

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

253

Principal

Amount

Long-Term

Fixed

Income

(53.7%)

Value

Collateralized

Mortgage

Obligations

(10.1%)

-

continued

Master

Asset

Securitization

Trust

$

437,143

1.447%, 

(LIBOR

1M

+

0.500%),

6/25/2036,

Ser.

2006-2,

Class

2A2

b

$

129,449

MASTR

Alternative

Loans

Trust

60,299

5.000%, 

4/27/2020,

Ser.

2004-10,

Class

3A1

55,792

Merrill

Lynch

Alternative

Note

Asset

Trust

101,036

6.000%, 

3/25/2037,

Ser.

2007-F1,

Class

2A1

65,002

Merrill

Lynch

Mortgage

Investors

Trust

206,793

4.300%, 

6/25/2035,

Ser.

2005-A5,

Class

M1

b

88,825

Oaktown

Re

II,

Ltd.

103,358

2.497%, 

(LIBOR

1M

+

1.550%),

7/25/2028,

Ser.

2018-1A,

Class

M1

b,g

102,815

Oaktown

Re

III,

Ltd.

353,926

2.347%, 

(LIBOR

1M

+

1.400%),

7/25/2029,

Ser.

2019-1A,

Class

M1A

b,g

352,266

Preston

Ridge

Partners

Mortgage

Trust,

LLC

114,306

4.500%, 

1/25/2024,

Ser.

2019-1A,

Class

A1

g,h

115,380

380,636

3.967%, 

4/25/2024,

Ser.

2019-2A,

Class

A1

g,h

340,467

561,770

3.500%, 

10/25/2024,

Ser.

2019-GS1,

Class

A1

b,g

558,560

397,920

4.750%, 

10/25/2024,

Ser.

2019-GS1,

Class

A2

b,g

397,435

193,462

3.351%, 

11/25/2024,

Ser.

2019-4A,

Class

A1

g,h

190,476

Pretium

Mortgage

Credit

Partners,

LLC

393,016

2.858%, 

5/27/2059,

Ser.

2020-NPL1,

Class

A1

g,h

307,000

Radnor

RE,

Ltd.

227,843

2.347%, 

(LIBOR

1M

+

1.400%),

3/25/2028,

Ser.

2018-1,

Class

M1

b,g

227,335

RCO

Mortgage,

LLC

307,315

3.475%, 

11/25/2024,

Ser.

2019-2,

Class

A1

g,h

292,016

237,980

3.197%, 

11/25/2052,

Ser.

2017-INV1,

Class

A

b,g

227,605

Renaissance

Home

Equity

Loan

Trust

223,031

5.797%, 

8/25/2036,

Ser.

2006-2,

Class

AF3

h

112,712

183,010

5.285%, 

1/25/2037,

Ser.

2006-4,

Class

AF2

h

77,774

Residential

Accredit

Loans,

Inc.

Trust

258,243

6.000%, 

8/25/2035,

Ser.

2005-QS10,

Class

2A

235,032

96,098

6.000%, 

1/25/2037,

Ser.

2007-QS1,

Class

1A1

82,410

Residential

Asset

Securitization

Trust

478,564

5.500%, 

4/25/2035,

Ser.

2005-A1,

Class

A3

490,712

Stanwich

Mortgage

Loan

Trust

232,339

3.475%, 

11/16/2024,

Ser.

2019-NPB2,

Class

A1

g,h

226,946

Principal

Amount

Long-Term

Fixed

Income

(53.7%)

Value

Collateralized

Mortgage

Obligations

(10.1%)

-

continued

Starwood

Mortgage

Residential

Trust

$

274,787

4.121%, 

10/25/2048,

Ser.

2018-IMC2,

Class

A1

b,g

$

269,916

Structured

Asset

Mortgage

Investments,

Inc.

165,053

1.257%, 

(LIBOR

1M

+

0.310%),

12/25/2035,

Ser.

2005-AR4,

Class

A1

b

140,381

Toorak

Mortgage

Corporation

550,000

4.375%, 

8/25/2021,

Ser.

2018-1,

Class

A1

g,h

479,912

450,000

4.458%, 

3/25/2022,

Ser.

2019-1,

Class

A1

g,h

394,342

450,000

2.734%, 

3/25/2023,

Ser.

2020-1,

Class

A1

g,h

444,452

Vericrest

Opportunity

Loan

Transferee

245,636

2.981%, 

3/25/2050,

Ser.

2020-NPL4,

Class

A1

g,h

214,410

400,000

3.475%, 

3/25/2050,

Ser.

2020-NPL5,

Class

A1B

g,h

289,899

191,813

3.352%, 

8/25/2049,

Ser.

2019-NPL4,

Class

A1A

g,h

173,965

1,200,000

4.090%, 

11/25/2049,

Ser.

2019-NPL8,

Class

A1B

g,h

893,904

700,000

4.090%, 

11/26/2049,

Ser.

2019-NPL9,

Class

A1B

g,h

525,208

128,649

3.426%, 

12/27/2049,

Ser.

2019-NP10,

Class

A1A

g,h

118,303

Verus

Securitization

Trust

352,619

3.345%, 

5/25/2059,

Ser.

2019-2,

Class

A2

b,g

345,210

Wachovia

Asset

Securitization,

Inc.

165,980

1.087%, 

(LIBOR

1M

+

0.140%),

7/25/2037,

Ser.

2007-HE1,

Class

A

b,g,k

149,222

WaMu

Mortgage

Pass

Through

Certificates

130,689

3.689%, 

10/25/2036,

Ser.

2006-AR12,

Class

1A1

b

113,774

323,232

2.846%, 

(12

MTA

+

0.880%),

10/25/2046,

Ser.

2006-AR13,

Class

1A

b

255,999

Washington

Mutual

Mortgage

Pass-

Through

Certificates

112,901

6.000%, 

3/25/2035,

Ser.

2005-1,

Class

2A

103,380

Wells

Fargo

Home

Equity

Trust

117,247

1.447%, 

(LIBOR

1M

+

0.500%),

4/25/2034,

Ser.

2004-1,

Class

M1

b

107,943

Total

21,322,244

Commercial

Mortgage-Backed

Securities

(0.4%)

Federal

National

Mortgage

Association

-

ACES

6,983,866

1.468%, 

2/25/2031,

Ser.

2019-M21,

Class

X2

b,j

772,300

Total

772,300

Communications

Services

(2.9%)

AMC

Networks,

Inc.

125,000

5.000%, 

4/1/2024

120,000

Opportunity

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

254

Principal

Amount

Long-Term

Fixed

Income

(53.7%)

Value

Communications

Services

(2.9%)

-

continued

American

Tower

Corporation

$

30,000

2.800%, 

6/1/2020

$

29,764

41,000

3.450%, 

9/15/2021

41,208

60,000

3.375%, 

5/15/2024

60,276

42,000

2.950%, 

1/15/2025

41,950

AT&T,

Inc.

144,000

4.450%, 

4/1/2024

152,533

CCO

Holdings,

LLC

155,000

5.500%, 

5/1/2026

g

156,953

110,000

5.125%, 

5/1/2027

g

110,712

170,000

4.500%, 

8/15/2030

g

166,600

CCOH

Safari,

LLC

185,000

5.750%, 

2/15/2026

g

186,924

Charter

Communications

Operating,

LLC

98,000

3.579%, 

7/23/2020

97,695

60,000

4.500%, 

2/1/2024

61,830

34,000

4.908%, 

7/23/2025

36,628

Clear

Channel

Worldwide

Holdings,

Inc.

150,000

5.125%, 

8/15/2027

g

140,460

Comcast

Corporation

76,000

1.625%, 

1/15/2022

76,179

39,000

3.700%, 

4/15/2024

41,859

39,000

3.950%, 

10/15/2025

42,939

Cox

Communications,

Inc.

54,000

2.950%, 

6/30/2023

g

54,028

Crown

Castle

International

Corporation

35,000

3.400%, 

2/15/2021

35,236

42,000

3.150%, 

7/15/2023

42,153

40,000

4.450%, 

2/15/2026

41,771

CSC

Holdings,

LLC

245,000

5.500%, 

5/15/2026

g

253,416

Deutsche

Telekom

International

Finance

BV

34,000

2.485%, 

9/19/2023

g

33,602

Discovery

Communications,

LLC

75,000

2.950%, 

3/20/2023

74,841

Embarq

Corporation

120,000

7.995%, 

6/1/2036

118,800

Fox

Corporation

73,000

4.030%, 

1/25/2024

g

75,844

Front

Range

BidCo

,

Inc.

170,000

4.000%, 

3/1/2027

g

162,669

Gray

Escrow,

Inc.

125,000

7.000%, 

5/15/2027

g

124,375

iHeartCommunications

,

Inc.

170,000

4.750%, 

1/15/2028

g

153,000

Lamar

Media

Corporation

90,000

3.750%, 

2/15/2028

g

84,364

Level

3

Financing,

Inc.

140,000

5.250%, 

3/15/2026

139,913

235,000

4.625%, 

9/15/2027

g

233,567

Moody's

Corporation

38,000

2.750%, 

12/15/2021

37,715

Neptune

Finco

Corporation

115,000

10.875%, 

10/15/2025

g

123,913

Netflix,

Inc.

275,000

4.875%, 

4/15/2028

280,500

Nexstar

Escrow

Corporation

73,000

5.625%, 

8/1/2024

g

68,711

140,000

5.625%, 

7/15/2027

g

136,850

SFR

Group

SA

180,000

7.375%, 

5/1/2026

g

181,800

Principal

Amount

Long-Term

Fixed

Income

(53.7%)

Value

Communications

Services

(2.9%)

-

continued

Sirius

XM

Radio,

Inc.

$

220,000

5.000%, 

8/1/2027

g

$

223,278

Sprint

Corporation

250,000

7.250%, 

9/15/2021

257,675

255,000

7.625%, 

2/15/2025

282,196

Telesat

Canada

/

Telesat

,

LLC

190,000

4.875%, 

6/1/2027

g

181,412

T-Mobile

USA,

Inc.

340,000

4.500%, 

2/1/2026

345,950

VeriSign,

Inc.

150,000

4.750%, 

7/15/2027

155,460

Verizon

Communications,

Inc.

86,000

2.946%, 

3/15/2022

87,718

84,000

2.792%, 

(LIBOR

3M

+

1.100%),

5/15/2025

b

76,568

Viacom,

Inc.

58,000

4.250%, 

9/1/2023

59,142

85,000

5.875%, 

2/28/2057

b

72,356

Virgin

Media

Secured

Finance

plc

200,000

5.500%, 

8/15/2026

g

203,000

Vodafone

Group

plc

51,000

3.750%, 

1/16/2024

53,101

Windstream

Services,

LLC

140,000

8.625%, 

10/31/2025

f,g

84,000

Ziggo

BV

150,000

5.500%, 

1/15/2027

g

150,000

Total

6,253,434

Consumer

Cyclical

(2.2%)

1011778

B.C.,

ULC

230,000

4.375%, 

1/15/2028

g

212,497

Allison

Transmission,

Inc.

185,000

5.000%, 

10/1/2024

g

179,450

American

Honda

Finance

Corporation

55,000

2.050%, 

1/10/2023

54,163

BMW

Finance

NV

40,000

2.250%, 

8/12/2022

g

38,272

Brookfield

Property

REIT,

Inc.

90,000

5.750%, 

5/15/2026

g

73,024

Brookfield

Residential

Properties,

Inc.

235,000

6.250%, 

9/15/2027

g

203,839

Cedar

Fair,

LP

90,000

5.250%, 

7/15/2029

g

76,050

D.R.

Horton,

Inc.

62,000

2.550%, 

12/1/2020

61,137

Daimler

Finance

North

America,

LLC

39,000

2.550%, 

8/15/2022

g

37,391

Ford

Motor

Credit

Company,

LLC

270,000

4.063%, 

11/1/2024

245,025

280,000

4.134%, 

8/4/2025

248,360

General

Motors

Financial

Company,

Inc.

57,000

2.650%, 

4/13/2020

56,956

57,000

4.375%, 

9/25/2021

52,474

37,000

4.200%, 

11/6/2021

35,178

38,000

3.150%, 

6/30/2022

34,304

80,000

3.950%, 

4/13/2024

72,506

60,000

2.900%, 

2/26/2025

51,859

Hanesbrands,

Inc.

170,000

4.875%, 

5/15/2026

g

167,025

Harley-Davidson

Financial

Services,

Inc.

64,000

4.050%, 

2/4/2022

g

62,564

Opportunity

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

255

Principal

Amount

Long-Term

Fixed

Income

(53.7%)

Value

Consumer

Cyclical

(2.2%)

-

continued

Herc

Holdings,

Inc.

$

60,000

5.500%, 

7/15/2027

g

$

55,800

Hilton

Domestic

Operating

Company,

Inc.

230,000

4.875%, 

1/15/2030

195,500

Home

Depot,

Inc.

35,000

2.625%, 

6/1/2022

35,601

44,000

3.750%, 

2/15/2024

46,462

Hyundai

Capital

America

51,000

3.000%, 

6/20/2022

g

49,538

L

Brands,

Inc.

69,000

6.694%, 

1/15/2027

49,818

Landry's,

Inc.

120,000

6.750%, 

10/15/2024

g

75,587

Lennar

Corporation

57,000

2.950%, 

11/29/2020

55,575

22,000

4.125%, 

1/15/2022

21,780

60,000

4.875%, 

12/15/2023

58,800

270,000

4.500%, 

4/30/2024

264,071

20,000

5.875%, 

11/15/2024

20,230

Lowe's

Companies,

Inc.

44,000

4.000%, 

4/15/2025

47,036

Mattamy

Group

Corporation

195,000

5.250%, 

12/15/2027

g

181,350

McDonald's

Corporation

72,000

3.350%, 

4/1/2023

74,378

MGM

Resorts

International

100,000

6.000%, 

3/15/2023

96,500

145,000

5.750%, 

6/15/2025

129,775

Prime

Security

Services

Borrower,

LLC

240,000

5.750%, 

4/15/2026

g

235,200

Ralph

Lauren

Corporation

35,000

2.625%, 

8/18/2020

35,033

Ryman

Hospitality

Properties,

Inc.

70,000

4.750%, 

10/15/2027

g

52,500

Scientific

Games

International,

Inc.

110,000

5.000%, 

10/15/2025

g

95,700

40,000

7.000%, 

5/15/2028

g

24,600

ServiceMaster

Company,

LLC

220,000

5.125%, 

11/15/2024

g

217,250

Six

Flags

Entertainment

Corporation

70,000

5.500%, 

4/15/2027

g

58,975

Staples,

Inc.

120,000

7.500%, 

4/15/2026

g

105,001

Target

Corporation

44,000

2.250%, 

4/15/2025

44,670

TJX

Companies,

Inc.

44,000

3.500%, 

4/15/2025

45,004

Viking

Cruises,

Ltd.

100,000

5.875%, 

9/15/2027

g

58,511

Visa,

Inc.

35,000

2.200%, 

12/14/2020

35,178

Volkswagen

Group

of

America

Finance,

LLC

63,000

4.250%, 

11/13/2023

g

62,246

Yum!

Brands,

Inc.

200,000

4.750%, 

1/15/2030

g

186,280

Total

4,676,023

Consumer

Non-Cyclical

(3.4%)

Abbott

Laboratories

76,000

2.550%, 

3/15/2022

76,656

40,000

3.400%, 

11/30/2023

42,024

Principal

Amount

Long-Term

Fixed

Income

(53.7%)

Value

Consumer

Non-Cyclical

(3.4%)

-

continued

AbbVie,

Inc.

$

38,000

2.900%, 

11/6/2022

$

38,439

81,000

2.300%, 

11/21/2022

g

80,925

120,000

3.600%, 

5/14/2025

126,429

Albertson's

Companies,

Inc.

210,000

6.625%, 

6/15/2024

213,150

50,000

4.875%, 

2/15/2030

g

49,500

Allergan

Sales,

LLC

19,000

4.875%, 

2/15/2021

g

19,294

Allergan,

Inc.

34,000

2.800%, 

3/15/2023

33,801

Altria

Group,

Inc.

62,000

3.800%, 

2/14/2024

62,851

36,000

4.400%, 

2/14/2026

37,280

Amgen,

Inc.

61,000

1.900%, 

2/21/2025

61,392

Anheuser-Busch

Companies,

LLC

36,000

3.650%, 

2/1/2026

37,809

Anheuser-Busch

InBev

Finance,

Inc.

34,000

3.300%, 

2/1/2023

34,986

Anheuser-Busch

InBev

Worldwide,

Inc.

59,000

4.150%, 

1/23/2025

63,642

Avantor

,

Inc.

140,000

6.000%, 

10/1/2024

g

146,678

B&G

Foods,

Inc.

140,000

5.250%, 

9/15/2027

136,500

BAT

Capital

Corporation

41,000

2.764%, 

8/15/2022

40,380

59,000

3.222%, 

8/15/2024

59,260

Bausch

Health

Companies,

Inc.

100,000

7.000%, 

1/15/2028

g

103,700

30,000

5.000%, 

1/30/2028

g

28,401

30,000

5.250%, 

1/30/2030

g

28,050

Bayer

U.S.

Finance

II,

LLC

38,000

3.500%, 

6/25/2021

g

38,074

Becton,

Dickinson

and

Company

114,000

3.363%, 

6/6/2024

114,247

Boston

Scientific

Corporation

85,000

3.450%, 

3/1/2024

87,227

Bristol-Myers

Squibb

Company

59,000

3.625%, 

5/15/2024

g

62,342

Bunge,

Ltd.

Finance

Corporation

35,000

3.500%, 

11/24/2020

35,290

Centene

Corporation

225,000

4.750%, 

1/15/2025

227,812

61,000

5.375%, 

8/15/2026

g

62,220

40,000

4.250%, 

12/15/2027

g

40,076

90,000

4.625%, 

12/15/2029

g

90,450

Cigna

Corporation

76,000

4.125%, 

11/15/2025

81,378

Conagra

Brands,

Inc.

38,000

3.800%, 

10/22/2021

38,296

38,000

4.300%, 

5/1/2024

39,455

Constellation

Brands,

Inc.

69,000

4.250%, 

5/1/2023

69,624

CVS

Health

Corporation

38,000

2.750%, 

12/1/2022

38,255

128,000

3.700%, 

3/9/2023

133,246

69,000

4.100%, 

3/25/2025

72,617

Encompass

Health

Corporation

150,000

4.500%, 

2/1/2028

147,112

Energizer

Holdings,

Inc.

240,000

6.375%, 

7/15/2026

g

242,400

Opportunity

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

256

Principal

Amount

Long-Term

Fixed

Income

(53.7%)

Value

Consumer

Non-Cyclical

(3.4%)

-

continued

Express

Scripts

Holding

Company

$

38,000

4.750%, 

11/15/2021

$

39,922

General

Mills,

Inc.

34,000

3.700%, 

10/17/2023

34,606

34,000

3.650%, 

2/15/2024

35,169

HCA,

Inc.

410,000

5.375%, 

2/1/2025

417,171

Imperial

Brands

Finance

plc

34,000

3.125%, 

7/26/2024

g

33,240

JBS

USA,

LLC

60,000

5.750%, 

6/15/2025

g

60,600

240,000

5.500%, 

1/15/2030

g

247,800

Kellogg

Company

90,000

3.125%, 

5/17/2022

89,320

Keurig

Dr

Pepper,

Inc.

84,000

3.551%, 

5/25/2021

84,974

Kraft

Foods

Group,

Inc.

140,000

5.000%, 

6/4/2042

132,701

Kraft

Heinz

Foods

Company

200,000

3.750%, 

4/1/2030

g

190,750

Kroger

Company

38,000

2.800%, 

8/1/2022

38,527

Mead

Johnson

Nutrition

Company

35,000

3.000%, 

11/15/2020

34,932

Medtronic,

Inc.

21,000

3.500%, 

3/15/2025

22,619

Mondelez

International

Holdings

Netherlands

BV

58,000

2.000%, 

10/28/2021

g

57,745

Mylan

NV

53,000

3.150%, 

6/15/2021

52,512

Mylan,

Inc.

34,000

4.200%, 

11/29/2023

32,402

Novartis

Capital

Corporation

40,000

1.750%, 

2/14/2025

40,401

Par

Pharmaceutical,

Inc.

110,000

7.500%, 

4/1/2027

g

109,450

PepsiCo,

Inc.

64,000

2.250%, 

3/19/2025

66,438

Pernod

Ricard

SA

50,000

5.750%, 

4/7/2021

g

51,447

Pilgrim's

Pride

Corporation

150,000

5.875%, 

9/30/2027

g

149,460

Post

Holdings,

Inc.

180,000

5.750%, 

3/1/2027

g

184,448

Reynolds

American,

Inc.

34,000

4.850%, 

9/15/2023

35,374

Scotts

Miracle-

Gro

Company

130,000

4.500%, 

10/15/2029

123,825

Shire

Acquisitions

Investments

Ireland

Designated

Activity

Company

74,000

2.400%, 

9/23/2021

73,723

Simmons

Foods,

Inc.

100,000

5.750%, 

11/1/2024

g

90,780

Spectrum

Brands,

Inc.

170,000

5.750%, 

7/15/2025

158,950

50,000

5.000%, 

10/1/2029

g

42,500

Sysco

Corporation

85,000

5.650%, 

4/1/2025

88,505

Teleflex,

Inc.

200,000

4.875%, 

6/1/2026

195,000

Tenet

Healthcare

Corporation

50,000

4.625%, 

7/15/2024

47,625

170,000

5.125%, 

11/1/2027

g

162,350

Principal

Amount

Long-Term

Fixed

Income

(53.7%)

Value

Consumer

Non-Cyclical

(3.4%)

-

continued

Teva

Pharmaceutical

Finance

Netherlands

III

BV

$

12,000

2.200%, 

7/21/2021

$

11,462

140,000

2.800%, 

7/21/2023

127,749

Thermo

Fisher

Scientific,

Inc.

43,000

4.133%, 

3/25/2025

46,075

UnitedHealth

Group,

Inc.

35,000

3.350%, 

7/15/2022

36,220

VRX

Escrow

Corporation

455,000

6.125%, 

4/15/2025

g

448,175

Zoetis,

Inc.

57,000

3.450%, 

11/13/2020

56,441

52,000

3.250%, 

2/1/2023

53,156

Total

7,145,812

Energy

(1.7%)

Archrock

Partners,

LP

120,000

6.250%, 

4/1/2028

g

82,800

BP

Capital

Markets

America,

Inc.

162,000

2.520%, 

9/19/2022

160,762

Buckeye

Partners,

LP

165,000

3.950%, 

12/1/2026

135,251

60,000

4.125%, 

12/1/2027

49,182

Canadian

Natural

Resources,

Ltd.

40,000

2.950%, 

1/15/2023

34,651

Canadian

Oil

Sands,

Ltd.

40,000

9.400%, 

9/1/2021

g

43,086

Cheniere

Corpus

Christi

Holdings,

LLC

305,000

7.000%, 

6/30/2024

267,695

Cheniere

Energy

Partners,

LP

280,000

5.625%, 

10/1/2026

260,400

Chesapeake

Energy

Corporation

68,000

11.500%, 

1/1/2025

g

10,880

Continental

Resources,

Inc.

21,000

5.000%, 

9/15/2022

13,019

60,000

4.500%, 

4/15/2023

33,002

Diamondback

Energy,

Inc.

40,000

2.875%, 

12/1/2024

27,944

Enagas

SA

355,000

5.500%, 

1/15/2028

g

184,600

Enbridge,

Inc.

39,000

2.900%, 

7/15/2022

35,814

139,000

6.250%, 

3/1/2078

b

104,250

Energy

Transfer

Operating,

LP

42,000

4.200%, 

9/15/2023

36,685

69,000

5.875%, 

1/15/2024

65,163

43,000

6.625%, 

2/15/2028

b,i

21,285

EnLink

Midstream

Partners,

LP

150,000

4.850%, 

7/15/2026

73,755

Enterprise

Products

Operating,

LLC

105,000

4.875%, 

8/16/2077

b

72,114

EOG

Resources,

Inc.

45,000

2.625%, 

3/15/2023

44,110

EQT

Corporation

40,000

3.900%, 

10/1/2027

27,588

Exxon

Mobil

Corporation

42,000

2.992%, 

3/19/2025

44,255

Hess

Corporation

42,000

3.500%, 

7/15/2024

33,353

Kinder

Morgan

Energy

Partners,

LP

76,000

3.450%, 

2/15/2023

74,276

Marathon

Petroleum

Corporation

34,000

4.750%, 

12/15/2023

32,192

Opportunity

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

257

Principal

Amount

Long-Term

Fixed

Income

(53.7%)

Value

Energy

(1.7%)

-

continued

MPLX,

LP

$

58,000

4.500%, 

7/15/2023

$

49,913

Murphy

Oil

Corporation

170,000

5.875%, 

12/1/2027

88,876

Nabors

Industries,

Inc.

120,000

5.750%, 

2/1/2025

26,400

Nabors

Industries,

Ltd.

40,000

7.250%, 

1/15/2026

g

13,600

Newfield

Exploration

Company

61,000

5.625%, 

7/1/2024

32,739

Occidental

Petroleum

Corporation

16,000

4.850%, 

3/15/2021

13,403

ONEOK,

Inc.

21,000

2.200%, 

9/15/2025

16,206

Parsley

Energy,

LLC

180,000

5.625%, 

10/15/2027

g

126,900

Plains

All

American

Pipeline,

LP

92,000

5.000%, 

2/1/2021

89,751

87,000

6.125%, 

11/15/2022

b,i

43,500

21,000

2.850%, 

1/31/2023

18,281

Sabine

Pass

Liquefaction,

LLC

37,000

6.250%, 

3/15/2022

35,888

37,000

5.625%, 

4/15/2023

34,426

Southwestern

Energy

Company

205,000

7.500%, 

4/1/2026

134,275

Sunoco

Logistics

Partners

Operations,

LP

35,000

4.400%, 

4/1/2021

34,889

Sunoco,

LP

120,000

5.500%, 

2/15/2026

103,834

115,000

5.875%, 

3/15/2028

95,450

Targa

Resources

Partners,

LP

190,000

5.375%, 

2/1/2027

156,370

Transocean

Guardian,

Ltd.

100,201

5.875%, 

1/15/2024

g

80,161

Transocean,

Ltd.

100,000

8.000%, 

2/1/2027

g

47,500

Viper

Energy

Partners,

LP

170,000

5.375%, 

11/1/2027

g

142,800

W&T

Offshore,

Inc.

200,000

9.750%, 

11/1/2023

g

47,012

Western

Gas

Partners,

LP

39,000

4.000%, 

7/1/2022

25,289

Williams

Partners,

LP

54,000

4.000%, 

11/15/2021

51,227

WPX

Energy,

Inc.

155,000

5.750%, 

6/1/2026

88,350

60,000

5.250%, 

10/15/2027

33,000

50,000

4.500%, 

1/15/2030

27,150

Total

3,625,302

Financials

(6.2%)

ACE

INA

Holdings,

Inc.

35,000

2.875%, 

11/3/2022

35,518

AerCap

Ireland

Capital,

Ltd.

41,000

3.500%, 

1/15/2025

34,833

AIG

Global

Funding

78,000

2.150%, 

7/2/2020

g

77,661

Air

Lease

Corporation

78,000

2.500%, 

3/1/2021

71,739

Aircastle

,

Ltd.

62,000

5.000%, 

4/1/2023

60,526

Ally

Financial,

Inc.

150,000

5.750%, 

11/20/2025

146,730

Principal

Amount

Long-Term

Fixed

Income

(53.7%)

Value

Financials

(6.2%)

-

continued

American

Express

Company

$

44,000

3.375%, 

5/17/2021

$

44,509

34,000

3.700%, 

8/3/2023

35,721

36,000

3.400%, 

2/22/2024

37,689

Athene

Global

Funding

63,000

4.000%, 

1/25/2022

g

63,652

Australia

and

New

Zealand

Banking

Group,

Ltd.

68,000

6.750%, 

6/15/2026

b,g,i

66,810

71,000

2.950%, 

7/22/2030

b,g

67,275

Avolon

Holdings

Funding,

Ltd.

18,000

5.250%, 

5/15/2024

g

15,330

BAC

Capital

Trust

XIV

42,000

4.000%, 

(LIBOR

3M

+

0.400%),

4/17/2020

b,i

34,125

Bank

of

America

Corporation

82,000

2.738%, 

1/23/2022

b

81,901

84,000

3.499%, 

5/17/2022

b

84,987

73,000

3.004%, 

12/20/2023

b

74,364

117,000

3.550%, 

3/5/2024

b

121,282

87,000

5.125%, 

6/20/2024

b,i

82,650

183,000

3.864%, 

7/23/2024

b

191,993

87,000

4.200%, 

8/26/2024

92,474

125,000

6.250%, 

9/5/2024

b,i

126,875

36,000

3.458%, 

3/15/2025

b

37,129

Bank

of

Montreal

103,000

3.300%, 

2/5/2024

107,554

Bank

of

New

York

Mellon

Corporation

76,000

2.600%, 

2/7/2022

76,623

Bank

of

Nova

Scotia

57,000

2.700%, 

3/7/2022

58,076

71,000

2.375%, 

1/18/2023

71,431

40,000

1.950%, 

2/1/2023

39,770

Barclays

plc

76,000

4.610%, 

2/15/2023

b

77,325

115,000

7.750%, 

9/15/2023

b,i

100,855

99,000

4.338%, 

5/16/2024

b

95,509

BB&T

Corporation

81,000

2.150%, 

2/1/2021

80,905

34,000

2.500%, 

8/1/2024

33,622

BNP

Paribas

SA

157,000

7.625%, 

3/30/2021

b,g,i

153,271

49,000

2.819%, 

11/19/2025

b,g

48,409

BPCE

SA

34,000

3.000%, 

5/22/2022

g

33,660

40,000

2.375%, 

1/14/2025

g

37,145

Camden

Property

Trust

34,000

4.875%, 

6/15/2023

35,855

Canadian

Imperial

Bank

of

Commerce

40,000

2.250%, 

1/28/2025

39,533

Capital

One

Bank

USA

NA

51,000

3.375%, 

2/15/2023

49,896

60,000

2.280%, 

1/28/2026

b

54,335

Capital

One

Financial

Corporation

115,000

3.050%, 

3/9/2022

114,824

Cascades

USA,

Inc.

120,000

5.125%, 

1/15/2026

g

116,100

Central

Fidelity

Capital

Trust

I

175,000

2.831%, 

(LIBOR

3M

+

1.000%),

4/15/2027

b

147,000

CIT

Group,

Inc.

220,000

4.750%, 

2/16/2024

215,050

Citigroup,

Inc.

69,000

2.350%, 

8/2/2021

68,933

Opportunity

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

258

Principal

Amount

Long-Term

Fixed

Income

(53.7%)

Value

Financials

(6.2%)

-

continued

$

37,000

2.750%, 

4/25/2022

$

37,192

40,000

2.484%, 

(LIBOR

3M

+

0.690%),

10/27/2022

b

37,826

160,000

2.312%, 

11/4/2022

b

159,056

81,000

3.142%, 

1/24/2023

b

82,011

84,000

5.000%, 

9/12/2024

b,i

76,789

126,000

4.700%, 

1/30/2025

b,i

108,990

105,000

3.352%, 

4/24/2025

b

108,118

42,000

5.950%, 

5/15/2025

b,i

40,687

CNA

Financial

Corporation

32,000

5.750%, 

8/15/2021

32,790

36,000

3.950%, 

5/15/2024

37,398

Cooperatieve

Centrale

Raiffeisen-

Boerenleenbank

BA

74,000

3.950%, 

11/9/2022

74,431

Credit

Agricole

SA

37,000

3.375%, 

1/10/2022

g

36,916

64,300

8.125%, 

12/23/2025

b,g,i

66,229

Credit

Suisse

Group

AG

63,000

7.500%, 

12/11/2023

b,g,i

60,637

39,000

2.593%, 

9/11/2025

b,g

37,058

Credit

Suisse

Group

Funding

(Guernsey),

Ltd.

114,000

3.800%, 

9/15/2022

115,902

Danske

Bank

AS

56,000

5.000%, 

1/12/2022

g

57,337

Deutsche

Bank

AG

42,000

2.700%, 

7/13/2020

41,175

112,000

4.250%, 

10/14/2021

106,540

Deutsche

Bank

AG

of

New

York

40,000

3.950%, 

2/27/2023

39,730

Digital

Realty

Trust,

LP

60,000

2.750%, 

2/1/2023

59,655

Discover

Bank

34,000

4.200%, 

8/8/2023

36,100

59,000

2.450%, 

9/12/2024

56,526

Fidelity

National

Financial,

Inc.

62,000

5.500%, 

9/1/2022

68,040

Fifth

Third

Bancorp

57,000

2.600%, 

6/15/2022

56,324

36,000

3.650%, 

1/25/2024

37,436

Five

Corners

Funding

Trust

100,000

4.419%, 

11/15/2023

g

107,574

FNB

Corporation

81,000

2.200%, 

2/24/2023

79,449

General

Electric

Capital

Corporation

81,000

3.100%, 

1/9/2023

82,266

Goldman

Sachs

Group,

Inc.

74,000

5.375%, 

5/10/2020

b,i

66,137

76,000

5.250%, 

7/27/2021

79,007

55,000

2.862%, 

(LIBOR

3M

+

1.170%),

11/15/2021

b

53,900

76,000

3.000%, 

4/26/2022

76,548

63,000

2.876%, 

10/31/2022

b

63,321

39,000

2.364%, 

(LIBOR

3M

+

1.050%),

6/5/2023

b

37,331

72,000

3.625%, 

2/20/2024

74,497

86,000

5.500%, 

8/10/2024

b,i

82,655

45,000

4.950%, 

2/10/2025

b,i

40,050

44,000

3.500%, 

4/1/2025

44,618

61,000

3.272%, 

9/29/2025

b

62,206

Guardian

Life

Global

Funding

40,000

2.000%, 

4/26/2021

g

39,854

Principal

Amount

Long-Term

Fixed

Income

(53.7%)

Value

Financials

(6.2%)

-

continued

Hartford

Financial

Services

Group,

Inc.

$

34,000

3.817%, 

(LIBOR

3M

+

2.125%),

2/12/2047

b,g

$

21,981

HCP,

Inc.

40,000

4.250%, 

11/15/2023

37,799

Hospitality

Properties

Trust

40,000

4.250%, 

2/15/2021

38,033

HSBC

Holdings

plc

114,000

3.400%, 

3/8/2021

114,627

76,000

6.875%, 

6/1/2021

b,i

74,670

88,000

6.375%, 

9/17/2024

b,i

81,620

76,000

3.803%, 

3/11/2025

b

79,123

63,000

6.375%, 

3/30/2025

b,i

58,905

49,000

2.633%, 

11/7/2025

b

47,543

42,000

6.500%, 

3/23/2028

b,i

39,270

Huntington

Bancshares,

Inc.

55,000

3.150%, 

3/14/2021

55,141

Icahn

Enterprises,

LP

75,000

6.750%, 

2/1/2024

72,375

175,000

6.375%, 

12/15/2025

165,375

ILFC

E-Capital

Trust

II

63,000

3.570%, 

(H15T30Y

+

1.800%),

12/21/2065

b,g

25,200

ING

Groep

NV

80,000

6.000%, 

4/16/2020

b,i

75,840

66,000

4.100%, 

10/2/2023

67,730

International

Lease

Finance

Corporation

76,000

5.875%, 

8/15/2022

67,942

Iron

Mountain,

Inc.

64,810

6.000%, 

8/15/2023

65,134

165,000

4.875%, 

9/15/2027

g

160,050

J.P.

Morgan

Chase

&

Company

57,000

2.260%, 

(LIBOR

3M

+

0.680%),

6/1/2021

b

56,658

91,000

2.776%, 

4/25/2023

b

92,151

96,000

3.375%, 

5/1/2023

100,179

57,000

5.150%, 

5/1/2023

b,i

54,150

71,000

3.031%, 

(LIBOR

3M

+

1.230%),

10/24/2023

b

68,722

144,000

5.000%, 

8/1/2024

b,i

135,000

87,000

3.875%, 

9/10/2024

91,867

176,000

4.023%, 

12/5/2024

b

186,469

126,000

4.600%, 

2/1/2025

b,i

110,275

Liberty

Mutual

Group,

Inc.

10,000

5.000%, 

6/1/2021

g

10,257

Lincoln

National

Corporation

40,000

4.049%, 

(LIBOR

3M

+

2.358%),

5/17/2066

b

24,800

Lloyds

Banking

Group

plc

81,000

3.000%, 

1/11/2022

80,770

59,000

2.858%, 

3/17/2023

b

58,165

75,000

3.900%, 

3/12/2024

75,909

80,000

6.657%, 

5/21/2037

b,g,i

86,200

Macquarie

Bank,

Ltd.

93,000

6.125%, 

3/28/2027

b,g,i

83,700

Mitsubishi

UFJ

Financial

Group,

Inc.

38,000

2.998%, 

2/22/2022

38,740

52,000

2.623%, 

7/18/2022

51,921

82,000

3.455%, 

3/2/2023

83,948

36,000

3.407%, 

3/7/2024

37,143

Mizuho

Financial

Group,

Inc.

52,000

2.721%, 

7/16/2023

b

52,297

Opportunity

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

259

Principal

Amount

Long-Term

Fixed

Income

(53.7%)

Value

Financials

(6.2%)

-

continued

Morgan

Stanley

$

76,000

2.800%, 

6/16/2020

$

75,989

75,000

5.500%, 

7/28/2021

77,860

37,000

2.750%, 

5/19/2022

37,392

26,000

4.875%, 

11/1/2022

27,297

82,000

3.125%, 

1/23/2023

83,866

81,000

4.100%, 

5/22/2023

83,889

36,000

2.720%, 

7/22/2025

b

36,446

MPT

Operating

Partnership,

LP

110,000

5.250%, 

8/1/2026

109,450

120,000

4.625%, 

8/1/2029

110,400

National

Australia

Bank,

Ltd.

60,000

1.875%, 

12/13/2022

59,641

National

Bank

of

Canada

60,000

2.100%, 

2/1/2023

59,709

Nippon

Life

Insurance

Company

63,000

3.400%, 

1/23/2050

b,g

60,480

Nomura

Holdings,

Inc.

48,000

2.648%, 

1/16/2025

46,984

Outfront

Media

Cap,

LLC

205,000

4.625%, 

3/15/2030

g

182,450

Park

Aerospace

Holdings,

Ltd.

18,000

4.500%, 

3/15/2023

g

15,612

PNC

Bank

NA

75,000

2.450%, 

11/5/2020

75,140

PNC

Financial

Services

Group,

Inc.

34,000

3.500%, 

1/23/2024

35,265

Quicken

Loans,

Inc.

255,000

5.750%, 

5/1/2025

g

253,725

Regions

Financial

Corporation

42,000

3.800%, 

8/14/2023

42,521

Reinsurance

Group

of

America,

Inc.

57,000

4.700%, 

9/15/2023

62,749

Royal

Bank

of

Canada

41,000

2.250%, 

11/1/2024

41,411

Royal

Bank

of

Scotland

Group

plc

108,000

8.625%, 

8/15/2021

b,i

105,300

34,000

6.125%, 

12/15/2022

35,071

34,000

6.100%, 

6/10/2023

34,958

81,000

4.269%, 

3/22/2025

b

83,224

33,000

3.754%, 

11/1/2029

b

30,521

Santander

UK

Group

Holdings

plc

85,000

2.875%, 

8/5/2021

83,655

Santander

UK

plc

60,000

2.100%, 

1/13/2023

58,195

Simon

Property

Group,

LP

60,000

2.500%, 

7/15/2021

59,177

35,000

2.000%, 

9/13/2024

33,590

Societe

Generale

SA

48,000

2.625%, 

10/16/2024

g

45,427

135,000

8.000%, 

9/29/2025

b,g,i

123,525

Springleaf

Finance

Corporation

30,000

6.875%, 

3/15/2025

30,214

110,000

7.125%, 

3/15/2026

107,662

60,000

6.625%, 

1/15/2028

56,184

Standard

Chartered

plc

60,000

2.744%, 

9/10/2022

b,g

59,398

State

Street

Corporation

44,000

2.825%, 

3/30/2023

b,g

44,402

41,000

2.354%, 

11/1/2025

b

40,580

Sumitomo

Mitsui

Financial

Group,

Inc.

37,000

2.784%, 

7/12/2022

37,169

144,000

2.778%, 

10/18/2022

146,267

48,000

2.448%, 

9/27/2024

47,863

Principal

Amount

Long-Term

Fixed

Income

(53.7%)

Value

Financials

(6.2%)

-

continued

SunTrust

Banks,

Inc.

$

35,000

2.900%, 

3/3/2021

$

35,079

Synchrony

Financial

34,000

2.850%, 

7/25/2022

32,389

42,000

4.250%, 

8/15/2024

40,438

Toronto-Dominion

Bank

74,000

2.550%, 

1/25/2021

73,146

36,000

3.250%, 

3/11/2024

37,623

Truist

Financial

Corporation

60,000

4.800%, 

9/1/2024

b,i

51,600

UBS

Group

Funding

Jersey,

Ltd.

74,000

3.000%, 

4/15/2021

g

74,143

USB

Realty

Corporation

84,000

2.978%, 

(LIBOR

3M

+

1.147%),

1/15/2022

b,g,i

63,000

Ventas

Realty,

LP

42,000

3.100%, 

1/15/2023

41,147

34,000

3.750%, 

5/1/2024

32,145

VICI

Properties,

LP

/

VICI

Note

Company,

Inc.

40,000

4.250%, 

12/1/2026

g

36,700

30,000

3.750%, 

2/15/2027

g

28,275

40,000

4.625%, 

12/1/2029

g

36,400

30,000

4.125%, 

8/15/2030

g

28,425

Wachovia

Capital

Trust

II

50,000

2.331%, 

(LIBOR

3M

+

0.500%),

1/15/2027

b

41,000

Wells

Fargo

&

Company

35,000

2.100%, 

7/26/2021

34,951

38,000

2.625%, 

7/22/2022

38,444

69,000

4.125%, 

8/15/2023

71,135

80,000

3.007%, 

(LIBOR

3M

+

1.230%),

10/31/2023

b

76,327

36,000

3.750%, 

1/24/2024

38,112

80,000

2.406%, 

10/30/2025

b

78,830

Westpac

Banking

Corporation

60,000

2.543%, 

(LIBOR

3M

+

0.850%),

8/19/2021

b

58,694

40,000

2.000%, 

1/13/2023

39,541

40,000

2.894%, 

2/4/2030

b

38,378

Total

13,096,019

Mortgage-Backed

Securities

(16.8%)

Federal

Home

Loan

Mortgage

Corporation

Conventional

15-Yr.

Pass

Through

1,392,641

3.500%, 

5/1/2034

1,467,846

Federal

Home

Loan

Mortgage

Corporation

Conventional

30-Yr.

Pass

Through

2,194,526

3.000%, 

3/25/2050

2,301,809

1,325,000

3.000%, 

4/1/2050

e

1,389,775

1,026,310

3.500%, 

7/1/2047

e

1,088,439

1,358,898

3.000%, 

8/1/2047

1,433,217

Federal

National

Mortgage

Association

563,421

4.500%, 

5/1/2048

607,764

1,138,413

3.500%, 

10/1/2048

1,202,209

983,445

3.500%, 

2/1/2049

1,037,570

717,787

3.500%, 

6/1/2049

758,735

1,291,009

3.500%, 

8/1/2049

1,367,184

Federal

National

Mortgage

Association

Conventional

15-Yr.

Pass

Through

3,500,000

2.000%, 

5/1/2035

e

3,591,875

Opportunity

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

260

Principal

Amount

Long-Term

Fixed

Income

(53.7%)

Value

Mortgage-Backed

Securities

(16.8%)

-

continued

$

3,650,000

2.500%, 

5/1/2035

e

$

3,784,594

1,777,000

3.000%, 

5/1/2035

e

1,855,997

Federal

National

Mortgage

Association

Conventional

30-Yr.

Pass

Through

7,325,000

2.500%, 

5/1/2050

e

7,578,853

1,940,523

4.000%, 

7/1/2048

2,072,291

3,888,000

3.000%, 

5/1/2049

e

4,071,303

45,129

3.500%, 

8/1/2049

e

47,639

Total

35,657,100

Technology

(1.2%)

Apple,

Inc.

80,000

2.400%, 

1/13/2023

82,450

120,000

3.450%, 

5/6/2024

129,562

Baidu,

Inc.

40,000

3.000%, 

6/30/2020

40,053

Broadcom

Corporation

155,000

2.650%, 

1/15/2023

151,369

60,000

3.125%, 

1/15/2025

57,522

CommScope

Technologies

Finance,

LLC

195,000

6.000%, 

6/15/2025

g

178,464

Dell

International,

LLC/

EMC

Corporation

54,000

4.000%, 

7/15/2024

g

54,480

Diamond

1

Finance

Corporation

112,000

5.450%, 

6/15/2023

g

114,930

Diamond

Sports

Group,

LLC

230,000

6.625%, 

8/15/2027

g,l

153,812

Fiserv,

Inc.

73,000

2.750%, 

7/1/2024

72,584

Global

Payments,

Inc.

17,000

2.650%, 

2/15/2025

16,851

Harland

Clarke

Holdings

Corporation

120,000

8.375%, 

8/15/2022

g

92,550

Hewlett

Packard

Enterprise

Company

96,000

3.600%, 

10/15/2020

96,117

35,000

2.250%, 

4/1/2023

34,199

Intel

Corporation

60,000

1.700%, 

5/19/2021

59,999

35,000

3.100%, 

7/29/2022

36,323

Marvell

Technology

Group,

Ltd.

42,000

4.200%, 

6/22/2023

42,936

Microsoft

Corporation

76,000

2.400%, 

2/6/2022

78,101

NCR

Corporation

220,000

6.125%, 

9/1/2029

g

205,458

NXP

BV/NXP

Funding,

LLC

51,000

4.875%, 

3/1/2024

g

54,452

Open

Text

Corporation

110,000

4.125%, 

2/15/2030

g

103,427

Oracle

Corporation

30,000

2.500%, 

5/15/2022

30,497

66,000

2.500%, 

4/1/2025

67,377

Panasonic

Corporation

52,000

2.536%, 

7/19/2022

g

51,196

Plantronics,

Inc.

140,000

5.500%, 

5/31/2023

g

101,850

PTC,

Inc.

40,000

3.625%, 

2/15/2025

g

37,400

Seagate

HDD

Cayman

41,000

4.250%, 

3/1/2022

41,080

SS&C

Technologies,

Inc.

160,000

5.500%, 

9/30/2027

g

165,000

Principal

Amount

Long-Term

Fixed

Income

(53.7%)

Value

Technology

(1.2%)

-

continued

Texas

Instruments,

Inc.

$

30,000

1.750%, 

5/1/2020

$

29,986

66,000

1.375%, 

3/12/2025

65,351

Total

2,445,376

Transportation

(0.4%)

Air

Canada

Pass

Through

Trust

9,939

3.875%, 

3/15/2023

g

9,248

Air

Lease

Corporation

40,000

2.300%, 

2/1/2025

30,507

CSX

Corporation

34,000

3.700%, 

11/1/2023

35,781

Delta

Air

Lines,

Inc.

41,000

2.900%, 

10/28/2024

32,816

Hertz

Corporation

120,000

5.500%, 

10/15/2024

g

67,475

90,000

6.000%, 

1/15/2028

g

47,250

J.B.

Hunt

Transport

Services,

Inc.

35,000

3.300%, 

8/15/2022

33,641

NCL

Corporation,

Ltd.

220,000

3.625%, 

12/15/2024

g

140,316

Penske

Truck

Leasing

Company,

LP

36,000

3.375%, 

2/1/2022

g

36,388

Ryder

System,

Inc.

78,000

3.500%, 

6/1/2021

77,978

Union

Pacific

Corporation

63,000

3.750%, 

7/15/2025

67,710

United

Airlines

Pass

Through

Trust

35,000

3.700%, 

12/1/2022

34,005

United

Continental

Holdings,

Inc.

140,000

4.875%, 

1/15/2025

120,400

XPO

Logistics,

Inc.

80,000

6.125%, 

9/1/2023

g

78,300

150,000

6.750%, 

8/15/2024

g

146,670

Total

958,485

Utilities

(1.2%)

Alabama

Power

Company

38,000

2.450%, 

3/30/2022

38,462

Ameren

Corporation

35,000

2.700%, 

11/15/2020

34,896

40,000

2.500%, 

9/15/2024

38,897

Berkshire

Hathaway

Energy

Company

42,000

4.050%, 

4/15/2025

g

45,299

Calpine

Corporation

210,000

4.500%, 

2/15/2028

g

203,542

CenterPoint

Energy,

Inc.

40,000

2.500%, 

9/1/2022

39,261

34,000

2.500%, 

9/1/2024

33,383

Dominion

Energy,

Inc.

34,000

2.715%, 

8/15/2021

33,539

34,000

3.071%, 

8/15/2024

33,981

64,000

4.650%, 

12/15/2024

b,i

57,511

DTE

Energy

Company

54,000

3.300%, 

6/15/2022

55,343

53,000

2.529%, 

10/1/2024

51,519

Duke

Energy

Corporation

80,000

2.400%, 

8/15/2022

79,853

63,000

4.875%, 

9/16/2024

b,i

52,920

Edison

International

108,000

2.950%, 

3/15/2023

104,484

21,000

3.550%, 

11/15/2024

20,860

42,000

4.950%, 

4/15/2025

41,903

Evergy

,

Inc.

35,000

2.450%, 

9/15/2024

34,339

Opportunity

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

261

Principal

Amount

Long-Term

Fixed

Income

(53.7%)

Value

Utilities

(1.2%)

-

continued

Eversource

Energy

$

43,000

2.500%, 

3/15/2021

$

43,157

FirstEnergy

Corporation

59,000

2.850%, 

7/15/2022

57,534

41,000

2.050%, 

3/1/2025

39,637

Florida

Power

&

Light

Company

44,000

2.850%, 

4/1/2025

46,271

Georgia

Power

Company

40,000

2.100%, 

7/30/2023

39,007

35,000

2.200%, 

9/15/2024

32,837

NextEra

Energy

Operating

Partners,

LP

220,000

3.875%, 

10/15/2026

g

209,000

NiSource,

Inc.

59,000

3.650%, 

6/15/2023

60,415

95,000

5.650%, 

6/15/2023

b,i

84,550

Pinnacle

West

Capital

Corporation

40,000

2.250%, 

11/30/2020

40,052

PPL

Capital

Funding,

Inc.

69,000

3.950%, 

3/15/2024

71,163

PSEG

Power,

LLC

75,000

3.000%, 

6/15/2021

75,214

Public

Service

Enterprise

Group,

Inc.

34,000

2.875%, 

6/15/2024

33,892

Sempra

Energy

80,000

3.550%, 

6/15/2024

80,651

Southern

Company

37,000

2.350%, 

7/1/2021

37,094

TerraForm

Power

Operating,

LLC

225,000

5.000%, 

1/31/2028

g

235,755

TransCanada

Trust

165,000

5.875%, 

8/15/2076

b

129,113

Vistra

Operations

Company,

LLC

180,000

5.000%, 

7/31/2027

g

182,700

Total

2,498,034

Total

Long-Term

Fixed

Income

(cost

$120,156,635)

113,813,612

Shares

Registered

Investment

Companies

(

18.9%

)

Value

Unaffiliated  (4.3%)

6,450

AllianzGI

NFJ

Dividend

Interest

&

Premium

Strategy

Fund

61,984

8,866

BlackRock

Resources

&

Commodities

Strategy

Trust

44,685

147,450

Invesco

Senior

Loan

ETF

3,016,827

13,800

Invesco

Variable

Rate

Preferred

ETF

l

296,148

17,525

iShares

S&P

U.S.

Preferred

Stock

Index

Fund

557,996

14,900

SPDR

Bloomberg

Barclays

High

Yield

Bond

ETF

1,411,626

16,600

Templeton

Global

Income

Fund

88,810

44,225

Vanguard

Short-Term

Corporate

Bond

ETF

3,498,198

Shares

Registered

Investment

Companies

(18.9%)

Value

Unaffiliated  (4.3%)-

continued

39,553

Western

Asset

High

Income

Opportunity

Fund,

Inc.

$

166,518

Total

9,142,792

Affiliated  (14.6%)

3,496,738

Thrivent

Core

Emerging

Markets

Debt

Fund

30,911,163

Total

30,911,163

Total

Registered

Investment

Companies

(cost

$43,991,230)

40,053,955

Shares

Preferred

Stock

(

0.7%

)

Value

Communications

Services

(<0.1%)

2,075

AT&T,

Inc.,

4.750%

i

43,990

Total

43,990

Consumer

Staples

(0.1%)

5,280

CHS,

Inc.,

7.100%

b,i

121,863

Total

121,863

Energy

(<0.1%)

17,735

Crestwood

Equity

Partners,

LP,

9.250%

i

67,393

825

Energy

Transfer

Operating,

LP,

7.600%

b,i

10,255

1,736

Nustar

Logistics,

LP,

8.565%

b

22,984

Total

100,632

Financials

(0.6%)

1,250

Aegon

Funding

Corporation

II,

5.100%

26,025

1,870

Agribank

FCB,

6.875%

b,i

180,689

2,400

Allstate

Corporation,

5.100%

i

55,440

2,200

Bank

of

America

Corporation,

5.000%

i

51,656

2,500

Capital

One

Financial

Corporation,

5.000%

i

50,125

1,445

Cobank

ACB,

6.250%

b,i

141,610

2,775

Equitable

Holdings,

Inc.,

5.250%

i

46,953

70

First

Horizon

Bank,

3.750%

b,g,i

45,500

5,000

GMAC

Capital

Trust

I,

7.477%

b

102,550

1,950

Hartford

Financial

Services

Group,

Inc.,

7.875%

b

50,953

1,750

J.P.

Morgan

Chase

&

Company,

4.750%

i,l

40,758

3,700

Morgan

Stanley,

7.125%

b,i

96,866

2,000

Regions

Financial

Corporation,

5.700%

b,i

47,000

425

Synovus

Financial

Corporation,

5.875%

b,i

8,734

213

Wells

Fargo

&

Company,

Convertible,

7.500%

i

271,366

Total

1,216,225

Total

Preferred

Stock

(cost

$1,742,342)

1,482,710

Shares

Collateral

Held

for

Securities

Loaned

(

0.1%

)

Value

227,455

Thrivent

Cash

Management

Trust

227,455

Total

Collateral

Held

for

Securities

Loaned

(cost

$227,455)

227,455

Opportunity

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

262

Shares

Common

Stock

(

<0.1%

)

Value

Energy

(<0.1%)

5,383

Contura

Energy,

Inc.

m

$

12,650

8,182

Pacific

Drilling

SA

m

3,518

Total

16,168

Materials

(<0.1%)

3,878

Verso

Corporation

m

43,744

Total

43,744

Total

Common

Stock

(cost

$341,135)

59,912

Shares

or

Principal

Amount

Short-Term

Investments

(

13.5%

)

Value

Federal

Home

Loan

Bank

Discount

Notes

300,000

1.535%,

4/8/2020

n,o

299,996

Thrivent

Core

Short-Term

Reserve

Fund

2,833,807

1.570%

28,281,392

Total

Short-Term

Investments

(cost

$28,631,385)

28,581,388

Total

Investments

(cost

$257,000,849)

112.1%

$237,727,560

Other

Assets

and

Liabilities,

Net

(12.1%)

(25,694,625)

Total

Net

Assets

100.0%

$212,032,935

a

The

stated

interest

rate

represents

the

weighted

average

of

all

contracts

within

the

bank

loan

facility.

b

Denotes

variable

rate

securities.

The

rate

shown

is

as

of

March

31,

2020.

The

rates

of

certain

variable

rate

securities

are

based

on

a

published

reference

rate

and

spread;

these

may

vary

by

security

and

the

reference

rate

and

spread

are

indicated

in

their

description.  The

rates

of

other

variable

rate

securities

are

determined

by

the

issuer

or

agent

and

are

based

on

current

market

conditions.  These

securities

do

not

indicate

a

reference

rate

and

spread

in

their

description.  

c

Security

is

valued

using

significant

unobservable

inputs.

Further

information

on

valuation

can

be

found

in

the

Notes

to

Financial

Statements.

d

All

or

a

portion

of

the

loan

is

unfunded.

e

Denotes

investments

purchased

on

a

when-issued

or

delayed

delivery

basis.

f

In

bankruptcy.  Interest

is

being

accrued

per

the

bankruptcy

agreement

terms.  

g

Denotes

securities

sold

under

Rule

144A

of

the

Securities

Act

of

1933,

which

exempts

them

from

registration.

These

securities

may

be

resold

to

other

dealers

in

the

program

or

to

other

qualified

institutional

buyers.

As

of

March

31,

2020,

the

value

of

these

investments

was

$40,726,409

or

19.2%

of

total

net

assets.

h

Denotes

step

coupon

securities.

Step

coupon

securities

pay

an

initial

coupon

rate

for

the

first

period

and

then

different

coupon

rates

for

following

periods.

The

rate

shown

is

as

of

March

31,

2020.

i

Denotes

perpetual

securities.

Perpetual

securities

pay

an

indefinite

stream

of

income

and

have

no

contractual

maturity

date.

Date

shown,

if

applicable,

is

next

call

date.

j

Denotes

interest

only

security.  Interest

only

securities

represent

the

right

to

receive

monthly

interest

payments

on

an

underlying

pool

of

mortgages

or

assets.  The

principal

shown

is

the

outstanding

par

amount

of

the

pool

as

of

the

end

of

the

period.

The

actual

effective

yield

of

the

security

is

different

than

the

stated

coupon

rate.

k

All

or

a

portion

of

the

security

is

insured

or

guaranteed.

l

All

or

a

portion

of

the

security

is

on

loan.

m

Non-income

producing

security.

n

The

interest

rate

shown

reflects

the

yield,

coupon

rate

or

the

discount

rate

at

the

date

of

purchase.

o

All

or

a

portion

of

the

security

is

held

on

deposit

with

the

counterparty

and

pledged

as

the

initial

margin

deposit

for

open

futures

contracts.

The

following

table

presents

the

total

amount

of

securities

loaned

with

continuous

maturity,

by

type,

offset

by

the

gross

payable

upon

return

of

collateral

for

securities

loaned

by

Thrivent

Opportunity

Income

Plus

Portfolio

as

of

March

31,

2020:

Securities

Lending

Transactions

Long-Term

Fixed

Income

$

145,788

Common

Stock

71,051

Total

lending

$216,839

Gross

amount

payable

upon

return

of              

collateral

for

securities

loaned

$227,455

Net

amounts

due

to

counterparty

$10,616

Definitions:

ACES

-

Alternative

Credit

Enhancement

Securities

CLO

-

Collateralized

Loan

Obligation

ETF

-

Exchange

Traded

Fund

REMIC

-

Real

Estate

Mortgage

Investment

Conduit

REIT

-

Real

Estate

Investment

Trust

is

a

company

that

buys,

develops,

manages

and/or

sells

real

estate

assets.

Ser.

-

Series

SPDR

-

S&P

Depository

Receipts,

which

are

exchange-traded

funds

traded

in

the

U.S.,

Europe,

and

Asia-Pacific

and

managed

by

State

Street

Global

Advisors.

Reference

Rate

Index:

12

MTA

-

12

Month

Treasury

Average

CMT

1Y

-

Constant

Maturity

Treasury

Yield

1

Year

H15T30Y

-

U.

S.

Treasury

Yield

Curve

Rate

Treasury

Note

Constant

Maturity

30

Year

LIBOR

1W

-

ICE

Libor

USD

Rate

1

Week

LIBOR

1M

-

ICE

Libor

USD

Rate

1

Month

LIBOR

2M

-

ICE

Libor

USD

Rate

2

Month

LIBOR

3M

-

ICE

Libor

USD

Rate

3

Month

PRIME

-

Federal

Reserve

Prime

Loan

Rate

Opportunity

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

263

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Opportunity

Income

Plus

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Bank

Loans

Basic

Materials

2,954,966

–

2,140,633

814,333

Capital

Goods

5,491,625

–

3,375,471

2,116,154

Communications

Services

14,058,392

–

10,544,113

3,514,279

Consumer

Cyclical

7,719,802

–

6,955,893

763,909

Consumer

Non-Cyclical

9,224,013

–

9,139,462

84,551

Energy

3,037,758

–

2,817,678

220,080

Financials

4,902,110

–

4,902,110

–

Technology

4,500,904

–

2,768,457

1,732,447

Transportation

1,009,440

–

590,940

418,500

Utilities

609,518

–

360,258

249,260

Long-Term

Fixed

Income

Asset-Backed

Securities

10,009,321

–

10,009,321

–

Basic

Materials

1,561,480

–

1,561,480

–

Capital

Goods

3,792,682

–

3,792,682

–

Collateralized

Mortgage

Obligations

21,322,244

–

21,322,244

–

Commercial

Mortgage-Backed

Securities

772,300

–

772,300

–

Communications

Services

6,253,434

–

6,253,434

–

Consumer

Cyclical

4,676,023

–

4,676,023

–

Consumer

Non-Cyclical

7,145,812

–

7,145,812

–

Energy

3,625,302

–

3,625,302

–

Financials

13,096,019

–

13,096,019

–

Mortgage-Backed

Securities

35,657,100

–

35,657,100

–

Technology

2,445,376

–

2,445,376

–

Transportation

958,485

–

958,485

–

Utilities

2,498,034

–

2,498,034

–

Registered

Investment

Companies

Unaffiliated

9,142,792

9,142,792

–

–

Preferred

Stock

Communications

Services

43,990

43,990

–

–

Consumer

Staples

121,863

121,863

–

–

Energy

100,632

100,632

–

–

Financials

1,216,225

848,426

367,799

–

Common

Stock

Energy

16,168

16,168

–

–

Materials

43,744

43,744

–

–

Short-Term

Investments

299,996

–

299,996

–

Subtotal

Investments

in

Securities

$178,307,550

$10,317,615

$158,076,422

$9,913,513

Other

Investments  *

Total

Affiliated

Registered

Investment

Companies

30,911,163

Affiliated

Short-Term

Investments

28,281,392

Collateral

Held

for

Securities

Loaned

227,455

Subtotal

Other

Investments

$59,420,010

Total

Investments

at

Value

$237,727,560

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Other

Financial

Instruments

Total

Level

1

Level

2

Level

3

Asset

Derivatives

Futures

Contracts

696,242

696,242

–

–

Total

Asset

Derivatives

$696,242

$696,242

$–

$–

Liability

Derivatives

Futures

Contracts

325,557

325,557

–

–

Total

Liability

Derivatives

$325,557

$325,557

$–

$–

Opportunity

Income

Plus

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

264

Reference

Description:

CBOT

-

Chicago

Board

of

Trade

CME

-

Chicago

Mercantile

Exchange

S&P

-

Standard

&

Poor's

The

following

table

presents

Opportunity

Income

Plus

Portfolio's

futures

contracts

held

as

of

March

31,

2020.

Investments

and/or

cash

totaling

$299,996

were

pledged

as

the

initial

margin

deposit

for

these

contracts.

Futures

Contracts

Description

Number

of

Contracts

Long/(Short)

Expiration

Date

Notional

Principal

Amount

Value

and

Unrealized

CBOT

2-Yr.

U.S.

Treasury

Note

70

June

2020

$

15,151,387

$

275,410

CBOT

5-Yr.

U.S.

Treasury

Note

45

June

2020

5,501,734

139,438

CME

Ultra

Long

Term

U.S.

Treasury

Bond

10

June

2020

1,982,299

236,451

Total

Futures

Long

Contracts

$

22,635,420

$

651,299

CBOT

10-Yr.

U.S.

Treasury

Note

(14)

June

2020

(

$

1,861,955)

(

$

79,670)

CBOT

U.S.

Long

Bond

(12)

June

2020

(

1,992,617)

(

156,133)

CME

E-mini

S&P

500

Index

(8)

June

2020

(

1,072,823)

44,943

Ultra

10-Yr.

U.S.

Treasury

Note

(11)

June

2020

(

1,626,590)

(

89,754)

Total

Futures

Short

Contracts

(

$

6,553,985)

($280,614)

Total

Futures

Contracts

$

16,081,435

$370,685

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Cash

Management

Trust

for

the

purpose

of

securities

lending

and

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Cash

Management

Trust

and

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Opportunity

Income

Plus

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Registered

Investment

Companies

Core

Emerging

Markets

Debt

$32,562

$2,216

$–

$30,911

3,497

14.6%

Total

Affiliated

Registered

Investment

Companies

32,562

30,911

14.6

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

35,398

42,561

49,608

28,281

2,834

13.3

Total

Affiliated

Short-Term

Investments

35,398

28,281

13.3

Collateral

held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

370

6,482

6,625

227

227

0.1

Total

Collateral

Held

for

Securities

Loaned

370

227

0.1

Total

Value

$68,330

$59,419

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Registered

Investment

Companies

Core

Emerging

Markets

Debt

$–

$(3,867)

–

$370

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

(20)

(50)

–

154

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$524

Collateral

Held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

–

–

–

3

Total

Affiliated

Income

from

Securities

Loaned,

Net

$3

Total

Value

$(20)

$(3,917)

$–

Partner

Emerging

Markets

Equity

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

265

Shares

Common

Stock

(

92.2%

)

Value

Bermuda

(0.5%)

70,000

China

Resources

Gas

Group,

Ltd.

$

351,278

Total

351,278

Brazil

(6.7%)

336,118

Banco

Bradesco

SA

ADR

1,364,639

52,675

Lojas

Renner

SA

340,718

103,217

Multiplan

Empreendimentos

Imobiliarios

SA

384,375

202,770

Petroleo

Brasileiro

SA

544,378

181,302

Vale

SA

ADR

1,502,994

45,442

WEG

SA

292,621

Total

4,429,725

Cayman

Islands

(18.7%)

234,000

Budweiser

Brewing

Company

APAC,

Ltd.

a

601,784

462,000

China

Resources

Land,

Ltd.

1,885,650

31,122

Huazhu

Group,

Ltd.

ADR

894,135

57,300

Meituan

Dianping

b

683,087

5,057

New

Oriental

Education

&

Technology

Group,

Inc.

ADR

b

547,370

278,800

Sands

China,

Ltd.

1,014,301

116,500

Tencent

Holdings,

Ltd.

5,758,317

70,000

Wuxi

Biologics

(Cayman),

Inc.

a,b

893,678

Total

12,278,322

Chile

(0.7%)

29,770

Banco

Santander

Chile

SA

ADR

450,420

Total

450,420

China

(16.8%)

22,694

58.com,

Inc.

ADR

b

1,105,652

13,921

Autohome, Inc. ADR

b

988,669

114,800

China

International

Travel

Service

Corporation,

Ltd.

1,075,222

220,000

China

Merchants

Bank

Company,

Ltd.

984,230

9,295

Kweichow

Moutai

Company,

Ltd.

1,444,513

97,200

LONGi

Green

Energy

Technology

Company,

Ltd.

337,227

154,425

Midea

Group

Company,

Ltd.

1,045,002

305,000

Ping

An

Insurance

Company

of

China,

Ltd.

2,978,709

88,282

Shanghai

International

Airport

Company,

Ltd.

750,364

29,600

Shenzhou

International

Group

Holdings,

Ltd.

310,506

Total

11,020,094

Hong

Kong

(5.2%)

220,000

AIA

Group,

Ltd.

1,970,021

48,500

China

Mobile,

Ltd.

363,473

35,130

Hong

Kong

Exchanges

&

Clearing,

Ltd.

1,052,470

Total

3,385,964

India

(12.3%)

37,793

Grasim

Industries,

Ltd.

236,399

30,183

Hindustan

Unilever,

Ltd.

915,360

98,906

Housing

Development

Finance

Corporation

2,134,821

370,180

ITC,

Ltd.

834,742

74,390

Kotak

Mahindra

Bank,

Ltd.

1,269,749

87,121

SBI

Life

Insurance

Company,

Ltd.

a

738,348

51,303

Tata

Consultancy

Services,

Ltd.

1,234,199

Shares

Common

Stock

(92.2%)

Value

India

(12.3%)

-

continued

16,447

Ultra

Tech

Cement,

Ltd.

$

703,764

Total

8,067,382

Indonesia

(4.6%)

3,098,000

Astra

International

Tbk

PT

736,550

699,100

Bank

Central

Asia

Tbk

PT

1,177,927

3,713,800

Bank

Rakyat

Indonesia

Persero

Tbk

PT

681,130

556,600

Indocement

Tunggal

Prakarsa

Tbk

PT

423,902

Total

3,019,509

Mexico

(3.8%)

18,300

Fomento

Economico

Mexicano

SAB

de

CV

ADR

1,107,333

63,400

Grupo

Aeroportuario

del

Sureste,

SAB

de

CV

597,613

288,913

Grupo

Financiero

Banorte

SAB

de

CV

ADR

791,626

Total

2,496,572

Netherlands

(3.2%)

2,900

ASML

Holding

NV

764,484

14,515

Prosus

NV

b

1,010,943

10,400

Yandex

NV

b

354,120

Total

2,129,547

Philippines

(2.3%)

1,693,000

Ayala

Land,

Inc.

999,048

405,076

Bank

of

the

Philippine

Islands

492,795

Total

1,491,843

Russian

Federation

(3.1%)

14,249

Lukoil

ADR

839,718

48,566

NovaTek

PJSC

558,601

284,498

Sberbank

of

Russia

PJSC

660,536

Total

2,058,855

South

Africa

(2.3%)

10,725

Naspers,

Ltd.

1,524,177

Total

1,524,177

South

Korea

(1.9%)

5,086

LG

Chem,

Ltd.

1,259,709

Total

1,259,709

Taiwan

(7.5%)

546,499

Taiwan

Semiconductor

Manufacturing

Company,

Ltd.

4,919,757

Total

4,919,757

Turkey

(0.9%)

75,908

BIM

Birlesik

Magazalar

AS

575,630

Total

575,630

United

States

(1.7%)

1,340

Mercadolibre,

Inc.

b

654,697

10,258

Yum

China

Holding,

Inc.

437,299

Total

1,091,996

Total

Common

Stock

(cost

$60,795,311)

60,550,780

Partner

Emerging

Markets

Equity

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

266

Shares

Preferred

Stock

(

7.0%

)

Value

South

Korea

(7.0%)

140,480

Samsung

Electronics

Company,

Ltd.

$

4,577,911

Total

4,577,911

Total

Preferred

Stock

(cost

$2,189,038)

4,577,911

Shares

Short-Term

Investments

(

1.0%

)

Thrivent

Core

Short-Term

Reserve

Fund

65,572

1.570%

654,410

Total

Short-Term

Investments

(cost

$653,902)

654,410

Total

Investments

(cost

$63,638,251)

100.2%

$65,783,101

Other

Assets

and

Liabilities,

Net

(0.2%)

(142,094)

Total

Net

Assets

100.0%

$65,641,007

a

Denotes

securities

sold

under

Rule

144A

of

the

Securities

Act

of

1933,

which

exempts

them

from

registration.

These

securities

may

be

resold

to

other

dealers

in

the

program

or

to

other

qualified

institutional

buyers.

As

of

March

31,

2020,

the

value

of

these

investments

was

$2,233,810

or

3.4%

of

total

net

assets.

b

Non-income

producing

security.

Definitions:

ADR

-

American

Depositary

Receipt,

which

are

certificates

for

an

underlying

foreign

security's

shares

held

by

an

issuing

U.S.

depository

bank.

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Partner

Emerging

Markets

Equity

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Common

Stock

Communications

Services

10,094,408

2,448,441

7,645,967

–

Consumer

Discretionary

7,738,887

2,533,501

5,205,386

–

Consumer

Staples

5,479,362

1,107,333

4,372,029

–

Energy

2,293,975

–

2,293,975

–

Financials

17,758,364

1,815,059

15,943,305

–

Health

Care

893,678

–

893,678

–

Industrials

3,526,248

–

3,526,248

–

Information

Technology

6,918,440

–

6,918,440

–

Materials

4,126,768

1,502,994

2,623,774

–

Real

Estate

1,383,423

–

1,383,423

–

Utilities

337,227

–

337,227

–

Preferred

Stock

Information

Technology

4,577,911

–

4,577,911

–

Subtotal

Investments

in

Securities

$65,128,691

$9,407,328

$55,721,363

$–

Other

Investments  *

Total

Affiliated

Short-Term

Investments

654,410

Subtotal

Other

Investments

$654,410

Total

Investments

at

Value

$65,783,101

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Partner

Emerging

Markets

Equity

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

267

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Partner

Emerging

Markets

Equity

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$733

$4,973

$5,050

$654

66

1.0%

Total

Affiliated

Short-Term

Investments

733

654

1.0

Total

Value

$733

$654

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$(3)

$1

–

$4

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$4

Total

Value

$(3)

$1

$–

Partner

Growth

Stock

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

268

Shares

Common

Stock

(

97.4%

)

Value

Communications

Services

(13.5%)

6,375

Alphabet,

Inc.,

Class

A

a

$

7,407,431

5,545

Alphabet,

Inc.,

Class

C

a

6,447,782

67,715

Facebook,

Inc.

a

11,294,862

6,736

IAC/

InterActiveCorp

a

1,207,293

11,706

Match

Group,

Inc.

a

773,064

10,802

Spotify

Technology

SA

a

1,311,795

40,600

Tencent

Holdings,

Ltd.

2,006,761

Total

30,448,988

Consumer

Discretionary

(21.5%)

32,628

Alibaba

Group

Holding,

Ltd.

ADR

a

6,345,494

10,430

Amazon.com,

Inc.

a

20,335,580

19,407

Aptiv

plc

955,601

970

Booking

Holdings,

Inc.

a

1,304,960

8,792

Carvana

Company

a

484,351

1,909

Chipotle

Mexican

Grill,

Inc.

a

1,249,250

16,468

Dollar

Tree,

Inc.

a

1,209,904

33,921

Dollarama

,

Inc.

941,005

14,304

Ferrari

NV

2,182,361

32,423

Las

Vegas

Sands

Corporation

1,377,005

9,346

Lululemon

Athletica

,

Inc.

a

1,771,534

12,078

Marriott

International,

Inc.

903,555

15,832

Netflix,

Inc.

a

5,944,916

15,770

Ross

Stores,

Inc.

1,371,517

3,990

Ulta

Beauty,

Inc.

a

701,043

23,739

Wynn

Resorts,

Ltd.

1,428,850

Total

48,506,926

Energy

(0.4%)

9,035

Concho

Resources,

Inc.

387,150

7,346

Pioneer

Natural

Resources

Company

515,322

Total

902,472

Financials

(2.3%)

11,566

Chubb,

Ltd.

1,291,807

6,110

Goldman

Sachs

Group,

Inc.

944,545

1,843

MSCI,

Inc.

532,553

5,962

S&P

Global,

Inc.

1,460,988

23,461

TD

Ameritrade

Holding

Corporation

813,158

9,286

XP,

Inc.

a

179,127

Total

5,222,178

Health

Care

(13.6%)

16,100

AbbVie,

Inc.

1,226,659

22,645

Alcon,

Inc.

a

1,160,120

10,207

Anthem,

Inc.

2,317,397

7,661

Becton,

Dickinson

and

Company

1,760,268

4,882

Biogen,

Inc.

a

1,544,567

49,186

Centene

Corporation

a

2,922,140

15,105

Cigna

Holding

Company

2,676,304

17,538

HCA

Healthcare,

Inc.

1,575,789

2,200

Humana,

Inc.

690,844

7,784

Incyte

Corporation

a

570,022

6,848

Intuitive

Surgical,

Inc.

a

3,391,198

19,048

Stryker

Corporation

3,171,302

17,144

UnitedHealth

Group,

Inc.

4,275,371

14,081

Vertex

Pharmaceuticals,

Inc.

a

3,350,574

Total

30,632,555

Industrials

(8.0%)

13,838

Boeing

Company

2,063,800

5,700

Cintas

Corporation

987,354

11,229

Equifax,

Inc.

1,341,304

28,585

Fortive

Corporation

1,577,606

190,737

General

Electric

Company

1,514,452

11,113

JB

Hunt

Transport

Services,

Inc.

1,024,952

Shares

Common

Stock

(97.4%)

Value

Industrials

(8.0%)

-

continued

7,507

Linde

Public

Limited

Company

$

1,298,711

8,116

Roper

Industries,

Inc.

2,530,650

3,693

Teledyne

Technologies,

Inc.

a

1,097,818

34,795

TransUnion

2,302,733

7,200

Union

Pacific

Corporation

1,015,488

25,687

Wabtec

Corporation

1,236,315

Total

17,991,183

Information

Technology

(37.5%)

2,700

Adobe,

Inc.

a

859,248

33,298

Advanced

Micro

Devices,

Inc.

a

1,514,393

42,678

Apple,

Inc.

10,852,589

9,486

ASML

Holding

NV

GDR

2,481,917

17,300

Datadog

,

Inc.

a

622,454

39,222

Fidelity

National

Information

Services,

Inc.

4,770,964

33,990

Fiserv,

Inc.

a

3,228,710

19,592

Global

Payments,

Inc.

2,825,754

8,421

Hexagon

AB

356,084

15,515

Intuit,

Inc.

3,568,450

76,973

Marvell

Technology

Group,

Ltd.

1,741,899

31,233

MasterCard,

Inc.

7,544,643

100,283

Microsoft

Corporation

15,815,632

4,841

NVIDIA

Corporation

1,276,088

5,773

Paycom

Software,

Inc.

a

1,166,204

27,688

PayPal

Holdings,

Inc.

a

2,650,849

28,307

Salesforce.com,

Inc.

a

4,075,642

8,056

ServiceNow

,

Inc.

a

2,308,688

33,066

Slack

Technologies,

Inc.

a

887,491

136,067

Snap,

Inc.

a

1,617,837

17,089

Splunk

,

Inc.

a

2,157,144

8,936

Temenos

AG

1,164,804

51,210

Visa,

Inc.

8,250,955

14,228

VMware,

Inc.

a

1,723,011

8,480

Workday,

Inc.

a

1,104,266

Total

84,565,716

Utilities

(0.6%)

11,880

Sempra

Energy

1,342,321

Total

1,342,321

Total

Common

Stock

(cost

$144,746,889)

219,612,339

Shares

Preferred

Stock

(

0.1%

)

Value

Consumer

Discretionary

(0.1%)

2,943

Airbnb,

Inc.,

Series

D,

Convertible

a,b

224,021

Total

224,021

Total

Preferred

Stock

(cost

$119,819)

224,021

Shares

Short-Term

Investments

(

3.6%

)

Value

Thrivent

Core

Short-Term

Reserve

Fund

811,994

1.570%

8,103,704

Total

Short-Term

Investments

(cost

$8,094,495)

8,103,704

Total

Investments

(cost

$152,961,203)

101.1%

$227,940,064

Other

Assets

and

Liabilities,

Net

(1.1%)

(2,566,043)

Total

Net

Assets

100.0%

$225,374,021

Partner

Growth

Stock

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

269

a

Non-income

producing

security.

b

Security

is

valued

using

significant

unobservable

inputs.

Further

information

on

valuation

can

be

found

in

the

Notes

to

Financial

Statements.

Definitions:

ADR

-

American

Depositary

Receipt,

which

are

certificates

for

an

underlying

foreign

security's

shares

held

by

an

issuing

U.S.

depository

bank.

GDR

-

Global

Depository

Receipts,

which

are

certificates

for

shares

of

an

underlying

foreign

security’s

shares

held

by

an

issuing

depository

bank

from

more

than

one

country.

Partner

Growth

Stock

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

270

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Partner

Growth

Stock

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Common

Stock

Communications

Services

30,448,988

28,442,227

2,006,761

–

Consumer

Discretionary

48,506,926

47,565,921

941,005

–

Energy

902,472

902,472

–

–

Financials

5,222,178

5,222,178

–

–

Health

Care^

30,632,555

29,472,435

1,160,120

–

Industrials

17,991,183

17,991,183

–

–

Information

Technology

84,565,716

83,044,828

1,520,888

–

Utilities

1,342,321

1,342,321

–

–

Preferred

Stock

Consumer

Discretionary

224,021

–

–

224,021

Subtotal

Investments

in

Securities

$219,836,360

$213,983,565

$5,628,774

$224,021

Other

Investments  *

Total

Affiliated

Short-Term

Investments

8,103,704

Subtotal

Other

Investments

$8,103,704

Total

Investments

at

Value

$227,940,064

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Partner

Growth

Stock

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$827

$23,785

$16,507

$8,104

812

3.6%

Total

Affiliated

Short-Term

Investments

827

8,104

3.6

Total

Value

$827

$8,104

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$(10)

$9

–

$8

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$8

Total

Value

$(10)

$9

$–

Partner

Healthcare

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

271

Shares

Common

Stock

(

99.2%

)

Value

Biotechnology

(20.9%)

2,543

10X

Genomics,

Inc.

a

$

158,480

5,702

ACADIA

Pharmaceuticals,

Inc.

a

240,909

19,840

Acceleron

Pharma,

Inc.

a

1,783,021

12,941

Agios

Pharmaceuticals,

Inc.

a

459,147

11,959

Alexion

Pharmaceuticals,

Inc.

a

1,073,799

16,209

Allakos

,

Inc.

a

721,138

3,936

Allogene

Therapeutics,

Inc.

a

76,516

16,419

Alnylam

Pharmaceuticals,

Inc.

a

1,787,208

32,471

Amgen,

Inc.

6,582,846

6,025

Arcutis

Biotherapeutics

,

Inc.

a

179,545

16,117

Arena

Pharmaceuticals,

Inc.

a

676,914

10,516

Atreca

,

Inc.

a

174,040

7,884

Biogen,

Inc.

a

2,494,340

30,465

BioMarin

Pharmaceutical,

Inc.

a

2,574,292

5,212

Blueprint

Medicines

Corporation

a

304,798

3,933

ChemoCentryx

,

Inc.

a

158,028

7,700

Dicerna

Pharmaceuticals,

Inc.

a

141,449

4,658

Eidos

Therapeutics,

Inc.

a

228,195

3,245

Galapagos

NV

ADR

a

635,760

3,833

Genfit

ADR

a

55,233

7,680

Genmab

AS

a

1,542,671

21,248

Genmab

AS

ADR

a

450,245

40,712

Gilead

Sciences,

Inc.

3,043,629

14,935

Halozyme

Therapeutics,

Inc.

a

268,681

9,800

Immunomedics

,

Inc.

a

132,104

18,067

Immunovant

,

Inc.

a

281,213

14,098

Incyte

Corporation

a

1,032,397

2,400

Kodiak

Sciences,

Inc.

a

114,480

5,456

Mirati

Therapeutics,

Inc.

a

419,403

11,469

Molecular

Templates,

Inc.

a

152,423

18,895

Neurocrine

Biosciences,

Inc.

a

1,635,362

5,702

NextCure

,

Inc.

a

211,373

4,388

Passage

Bio,

Inc.

a

69,111

41,575

PPD,

Inc.

a

740,451

2,324

Principia

Biopharma,

Inc.

a

137,999

26,498

Ra

Pharmaceuticals,

Inc.

a

1,272,169

4,450

RAPT

Therapeutics,

Inc.

a

94,651

4,300

Regeneron

Pharmaceuticals,

Inc.

a

2,099,647

4,562

Sarepta

Therapeutics,

Inc.

a

446,255

32,683

Seattle

Genetics,

Inc.

a

3,770,965

11,877

Syndax

Pharmaceuticals,

Inc.

a

130,291

3,822

Urovant

Sciences,

Ltd.

a

35,239

22,043

Vertex

Pharmaceuticals,

Inc.

a

5,245,132

Total

43,831,549

Health

Care

Distributors

(0.3%)

7,300

AmerisourceBergen

Corporation

646,050

Total

646,050

Health

Care

Equipment

(28.1%)

115,715

Abbott

Laboratories

9,131,071

5,604

ABIOMED,

Inc.

a

813,477

74,043

Avantor

,

Inc.

a

924,797

65,155

Baxter

International,

Inc.

5,289,934

9,409

Becton,

Dickinson

and

Company

2,161,906

146,343

Boston

Scientific

Corporation

a

4,775,172

5,077

Cerner

Corporation

319,800

608,250

ConvaTec

Group

plc

b

1,398,514

27,568

Edwards

Lifesciences

Corporation

a

5,199,876

19,793

Envista

Holdings

Corporation

a

295,707

9,054

Intuitive

Surgical,

Inc.

a

4,483,631

15,924

Masimo

Corporation

a

2,820,459

75,426

Medtronic

plc

6,801,917

7,669

Nevro

Corporation

a

766,747

13,118

ResMed

,

Inc.

1,932,150

2,373

SI-BONE,

Inc.

a

28,357

Shares

Common

Stock

(99.2%)

Value

Health

Care

Equipment

(28.1%)

-

continued

5,114

Silk

Road

Medical,

Inc.

a

$

160,989

31,864

Stryker

Corporation

5,305,037

10,008

Teleflex,

Inc.

2,930,943

22,418

Varian

Medical

Systems,

Inc.

a

2,301,432

12,585

Zimmer

Biomet

Holdings,

Inc.

1,272,092

Total

59,114,008

Health

Care

Facilities

(1.5%)

19,965

Encompass

Health

Corporation

1,278,359

21,275

HCA

Healthcare,

Inc.

1,911,559

Total

3,189,918

Health

Care

Services

(5.6%)

9,571

Amedisys

,

Inc.

a

1,756,661

27,643

Cigna

Holding

Company

4,897,787

10,341

LHC

Group,

Inc.

a

1,449,808

6,627

Quest

Diagnostics,

Inc.

532,148

20,352

Teladoc

Health,

Inc.

a

3,154,764

Total

11,791,168

Health

Care

Supplies

(1.5%)

60,266

Alcon,

Inc.

a

3,062,718

Total

3,062,718

Life

Sciences

Tools

&

Services

(4.2%)

14,963

Agilent

Technologies,

Inc.

1,071,650

7,571

Illumina,

Inc.

a

2,067,791

13,863

IQVIA

Holding,

Inc.

a

1,495,263

10,778

Thermo

Fisher

Scientific,

Inc.

3,056,641

87,840

WuXi

AppTec

Company,

Ltd.

b

1,067,773

Total

8,759,118

Managed

Health

Care

(14.7%)

21,531

Anthem,

Inc.

4,888,398

42,683

Centene

Corporation

a

2,535,797

16,439

Humana,

Inc.

5,162,175

73,762

UnitedHealth

Group,

Inc.

18,394,768

Total

30,981,138

Pharmaceuticals

(22.4%)

11,339

Alector

,

Inc.

a

273,610

12,164

Apellis

Pharmaceuticals,

Inc.

a

325,873

21,354

AstraZeneca

plc

1,902,613

85,228

Bristol-Myers

Squibb

Company

4,750,609

19,368

Corbus

Pharmaceuticals

Holdings,

Inc.

a

101,488

16,200

Eisai

Company,

Ltd.

1,184,988

38,639

Eli

Lilly

and

Company

5,360,002

51,517

GlaxoSmithKline

plc

966,671

444,000

Hansoh

Pharmaceutical

Group

Company,

Ltd.

a,b

1,483,614

183,000

Hua

Medicine

a,b

71,994

37,428

Johnson

&

Johnson

4,907,934

72,862

Merck

&

Company,

Inc.

5,606,002

13,216

Merck

KGaA

1,334,316

7,417

MyoKardia

,

Inc.

a

347,709

12,781

Nektar

Therapeutics

a

228,141

145,042

Pfizer,

Inc.

4,734,171

2,274

Reata

Pharmaceuticals,

Inc.

a

328,229

6,502

Roche

Holding

AG

2,091,967

35,799

Sanofi

3,099,297

28,461

Sanofi

ADR

1,244,315

7,166

Tricida

,

Inc.

a

157,652

62,500

Wuxi

Biologics

(Cayman),

Inc.

a,b

797,927

Partner

Healthcare

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

272

a

Shares

Common

Stock

(99.2%)

Value

Pharmaceuticals

(22.4%)

-

continued

49,029

Zoetis,

Inc.

$

5,770,223

Total

47,069,345

Total

Common

Stock

(cost

$175,908,432)

208,445,012

Shares

Short-Term

Investments

(

1.3%

)

Value

Thrivent

Core

Short-Term

Reserve

Fund

277,667

1.570%

2,771,121

Total

Short-Term

Investments

(cost

$2,769,148)

2,771,121

Total

Investments

(cost

$178,677,580)

100.5%

$211,216,133

Other

Assets

and

Liabilities,

Net

(0.5%)

(1,026,111)

Total

Net

Assets

100.0%

$210,190,022

a

Non-income

producing

security.

b

Denotes

securities

sold

under

Rule

144A

of

the

Securities

Act

of

1933,

which

exempts

them

from

registration.

These

securities

may

be

resold

to

other

dealers

in

the

program

or

to

other

qualified

institutional

buyers.

As

of

March

31,

2020,

the

value

of

these

investments

was

$4,819,822

or

2.3%

of

total

net

assets.

Definitions:

ADR

-

American

Depositary

Receipt,

which

are

certificates

for

an

underlying

foreign

security's

shares

held

by

an

issuing

U.S.

depository

bank.

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Partner

Healthcare

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Common

Stock

Biotechnology

43,831,549

42,288,878

1,542,671

–

Health

Care

Distributors

646,050

646,050

–

–

Health

Care

Equipment

59,114,008

57,715,494

1,398,514

–

Health

Care

Facilities

3,189,918

3,189,918

–

–

Health

Care

Services

11,791,168

11,791,168

–

–

Health

Care

Supplies

3,062,718

3,062,718

–

–

Life

Sciences

Tools

&

Services

8,759,118

7,691,345

1,067,773

–

Managed

Health

Care

30,981,138

30,981,138

–

–

Pharmaceuticals

47,069,345

34,135,958

12,933,387

–

Subtotal

Investments

in

Securities

$208,445,012

$191,502,667

$16,942,345

$–

Other

Investments  *

Total

Affiliated

Short-Term

Investments

2,771,121

Subtotal

Other

Investments

$2,771,121

Total

Investments

at

Value

$211,216,133

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Partner

Healthcare

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$305

$11,981

$9,510

$2,771

278

1.3%

Total

Affiliated

Short-Term

Investments

305

2,771

1.3

Total

Value

$305

$2,771

Partner

Healthcare

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

273

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$(7)

$2

–

$10

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$10

Total

Value

$(7)

$2

$–

Real

Estate

Securities

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

274

Shares

Common

Stock

(

99.3%

)

Value

Diversified

REITs

(4.6%)

12,736

American

Assets

Trust,

Inc.

$

318,400

42,667

Cousins

Properties,

Inc.

1,248,863

86,570

Duke

Realty

Corporation

2,803,136

25,274

Spirit

Realty

Capital,

Inc.

660,915

61,440

Store

Capital

Corporation

1,113,293

125,320

VEREIT,

Inc.

612,815

3,484

WP

Carey,

Inc.

202,351

Total

6,959,773

Health

Care

REITs

(7.7%)

29,462

Healthcare

Realty

Trust,

Inc.

822,874

55,525

Healthcare

Trust

of

America,

Inc.

1,348,147

128,203

Healthpeak

Properties,

Inc.

3,057,641

51,544

Medical

Properties

Trust,

Inc.

891,196

13,455

Omega

Healthcare

Investors,

Inc.

357,096

35,476

Physicians

Realty

Trust

494,535

48,398

Ventas,

Inc.

1,297,066

70,601

Welltower,

Inc.

3,232,114

Total

11,500,669

Hotel

&

Resort

REITs

(3.0%)

151,351

Host

Hotels

&

Resorts,

Inc.

1,670,915

51,182

MGM

Growth

Properties

LLC

1,211,478

45,500

Park

Hotels

&

Resorts,

Inc.

359,905

13,445

Pebblebrook

Hotel

Trust

146,416

30,634

RLJ

Lodging

Trust

236,495

11,587

Ryman

Hospitality

Properties

415,394

55,189

Sunstone

Hotel

Investors,

Inc.

480,696

Total

4,521,299

Industrial

REITs

(15.6%)

74,192

Americold

Realty

Trust

2,525,496

5,724

EastGroup

Properties,

Inc.

598,044

38,996

First

Industrial

Realty

Trust,

Inc.

1,295,837

170,550

Prologis,

Inc.

13,707,103

48,514

Rexford

Industrial

Realty,

Inc.

1,989,559

8,208

SBA

Communications

Corporation

2,215,914

27,933

STAG

Industrial,

Inc.

629,051

10,145

Terreno

Realty

Corporation

525,004

Total

23,486,008

Office

REITs

(10.5%)

33,873

Alexandria

Real

Estate

Equities,

Inc.

4,642,634

29,483

Boston

Properties,

Inc.

2,719,217

17,007

Corporate

Office

Properties

Trust

376,365

39,590

Douglas

Emmett,

Inc.

1,207,891

25,312

Highwoods

Properties,

Inc.

896,551

69,676

Hudson

Pacific

Properties,

Inc.

1,766,983

21,108

JBG

SMITH

Properties

671,868

35,146

Kilroy

Realty

Corporation

2,238,800

15,741

SL

Green

Realty

Corporation

678,437

14,954

Vornado

Realty

Trust

541,484

Total

15,740,230

Real

Estate

Operating

Companies

(0.3%)

29,737

Essential

Properties

Realty

Trust,

Inc.

388,365

Total

388,365

Residential

REITs

(22.8%)

21,262

American

Campus

Communities,

Inc.

590,021

95,894

American

Homes

4

Rent

2,224,741

34,237

Apartment

Investment

&

Management

Company

1,203,431

33,438

AvalonBay

Communities,

Inc.

4,921,071

30,131

Camden

Property

Trust

2,387,580

55,930

Equity

Lifestyle

Properties,

Inc.

3,214,856

Shares

Common

Stock

(99.3%)

Value

Residential

REITs

(22.8%)

-

continued

78,477

Equity

Residential

$

4,842,816

15,985

Essex

Property

Trust,

Inc.

3,520,536

173,746

Invitation

Homes,

Inc.

3,712,952

19,505

Mid-America

Apartment

Communities,

Inc.

2,009,600

28,918

Sun

Communities,

Inc.

3,610,412

54,324

UDR,

Inc.

1,984,999

Total

34,223,015

Retail

REITs

(7.2%)

20,613

Acadia

Realty

Trust

255,395

17,497

Agree

Realty

Corporation

1,083,064

53,491

Brixmor

Property

Group,

Inc.

508,164

12,395

Federal

Realty

Investment

Trust

924,791

38,787

Kimco

Realty

Corporation

375,070

34,214

National

Retail

Properties,

Inc.

1,101,349

29,469

Realty

Income

Corporation

1,469,324

44,697

Regency

Centers

Corporation

1,717,706

44,096

Simon

Property

Group,

Inc.

2,419,107

48,606

SITE

Centers

Corporation

253,237

25,301

Urban

Edge

Properties

222,902

27,842

Weingarten

Realty

Investors

401,760

Total

10,731,869

Specialized

REITs

(27.6%)

24,721

American

Tower

Corporation

5,382,998

6,142

CoreSite

Realty

Corporation

711,858

24,479

Crown

Castle

International

Corporation

3,534,768

46,586

CubeSmart

1,248,039

29,259

CyrusOne,

Inc.

1,806,743

33,822

Digital

Realty

Trust,

Inc.

4,698,214

19,484

Equinix,

Inc.

12,169,122

33,370

Extra

Space

Storage,

Inc.

3,195,511

19,759

Four

Corners

Property

Trust,

Inc.

369,691

17,709

Gaming

and

Leisure

Properties,

Inc.

490,716

8,574

GDS

Holdings,

Ltd.

ADR

a

497,035

7,353

Life

Storage,

Inc.

695,226

9,965

National

Storage

Affiliates

Trust

294,964

15,904

Public

Storage,

Inc.

3,158,693

15,594

QTS

Realty

Trust,

Inc.

904,608

110,720

VICI

Properties,

Inc.

1,842,381

27,139

Weyerhaeuser

Company

460,006

Total

41,460,573

Total

Common

Stock

(cost

$137,817,043)

149,011,801

Shares

Short-Term

Investments

(

0.4%

)

Value

Thrivent

Core

Short-Term

Reserve

Fund

64,718

1.570%

645,886

Total

Short-Term

Investments

(cost

$645,239)

645,886

Total

Investments

(cost

$138,462,282)

99.7%

$149,657,687

Other

Assets

and

Liabilities,

Net

0.3%

480,731

Total

Net

Assets

100.0%

$150,138,418

a

Non-income

producing

security.

Real

Estate

Securities

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

275

Definitions:

ADR

-

American

Depositary

Receipt,

which

are

certificates

for

an

underlying

foreign

security's

shares

held

by

an

issuing

U.S.

depository

bank.

REIT

-

Real

Estate

Investment

Trust

is

a

company

that

buys,

develops,

manages

and/or

sells

real

estate

assets.

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Real

Estate

Securities

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Common

Stock

Diversified

REITs

6,959,773

6,959,773

–

–

Health

Care

REITs

11,500,669

11,500,669

–

–

Hotel

&

Resort

REITs

4,521,299

4,521,299

–

–

Industrial

REITs

23,486,008

23,486,008

–

–

Office

REITs

15,740,230

15,740,230

–

–

Real

Estate

Operating

Companies

388,365

388,365

–

–

Residential

REITs

34,223,015

34,223,015

–

–

Retail

REITs

10,731,869

10,731,869

–

–

Specialized

REITs

41,460,573

41,460,573

–

–

Subtotal

Investments

in

Securities

$149,011,801

$149,011,801

$–

$–

Other

Investments  *

Total

Affiliated

Short-Term

Investments

645,886

Subtotal

Other

Investments

$645,886

Total

Investments

at

Value

$149,657,687

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Real

Estate

Securities

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$1,173

$5,991

$6,518

$646

65

0.4%

Total

Affiliated

Short-Term

Investments

1,173

646

0.4

Total

Value

$1,173

$646

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$(1)

$1

–

$3

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$3

Total

Value

$(1)

$1

$–

Small

Cap

Growth

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

276

Shares

Common

Stock

(

99.0%

)

Value

Communications

Services

(0.2%)

13,001

ORBCOMM,

Inc.

a

$

31,722

Total

31,722

Consumer

Discretionary

(11.3%)

1,586

Bright

Horizons

Family

Solutions,

Inc.

a

161,772

786

Burlington

Stores,

Inc.

a

124,549

8,137

Cooper-Standard

Holdings,

Inc.

a

83,567

9,489

Duluth

Holdings,

Inc.

a,b

38,051

4,011

Etsy,

Inc.

a

154,183

3,570

Five

Below,

Inc.

a

251,256

470

Grand

Canyon

Education,

Inc.

a

35,854

3,024

Ollie's

Bargain

Outlet

Holdings,

Inc.

a

140,132

6,638

Planet

Fitness,

Inc.

a

323,271

14,145

Playa

Hotels

and

Resorts

NV

a

24,754

9,154

Red

Rock

Resorts,

Inc.

78,267

3,151

Skyline

Corporation

a

49,408

5,348

Texas

Roadhouse,

Inc.

220,872

4,318

Wingstop

,

Inc.

344,145

Total

2,030,081

Consumer

Staples

(3.5%)

1,999

Casey's

General

Stores,

Inc.

264,847

7,168

Simply

Good

Foods

Company

a

138,056

10,327

Turning

Point

Brands,

Inc.

218,003

Total

620,906

Energy

(0.2%)

11,411

Nine

Energy

Service,

Inc.

a

9,224

5,964

Talos

Energy,

Inc.

a

34,293

Total

43,517

Financials

(7.0%)

5,169

Ameris

Bancorp

122,815

2,283

Assured

Guaranty,

Ltd.

58,879

4,336

Essent

Group,

Ltd.

114,210

34,682

Everi

Holdings,

Inc.

a

114,451

4,130

Hamilton

Lane,

Inc.

b

228,430

1,394

Interactive

Brokers

Group,

Inc.

60,179

4,806

Prosight

Global,

Inc.

a

46,859

3,882

Santander

Consumer

USA

Holdings,

Inc.

53,999

5,769

Seacoast

Banking

Corporation

of

Florida

a

105,630

5,206

Spirit

of

Texas

Bancshares,

Inc.

a

53,830

368

SVB

Financial

Group

a

55,597

2,369

TMX

Group,

Ltd.

176,366

1,868

Western

Alliance

Bancorp

57,180

Total

1,248,425

Health

Care

(27.8%)

4,072

Aerie

Pharmaceuticals,

Inc.

a

54,972

2,741

Agios

Pharmaceuticals,

Inc.

a

97,251

1,448

Arena

Pharmaceuticals,

Inc.

a

60,816

508

Argenx

SE

ADR

a

66,919

11,420

Axonics

Modulation

Technologies,

Inc.

a,b

290,182

2,206

Biohaven

Pharmaceutical

Holding

Company,

Ltd.

a

75,070

1,353

Bio-

Techne

Corporation

256,556

6,613

Catalent

,

Inc.

a

343,545

4,571

Guardant

Health,

Inc.

a

318,142

6,672

Halozyme

Therapeutics,

Inc.

a

120,029

3,079

Immunomedics

,

Inc.

a

41,505

4,810

Inspire

Medical

Systems,

Inc.

a

289,947

4,165

LHC

Group,

Inc.

a

583,933

Shares

Common

Stock

(99.0%)

Value

Health

Care

(27.8%)

-

continued

1,235

Ligand

Pharmaceuticals,

Inc.

a,b

$

89,809

605

Mesa

Laboratories,

Inc.

b

136,784

8,681

Natera

,

Inc.

a

259,215

1,922

Neurocrine

Biosciences,

Inc.

a

166,349

1,741

Nevro

Corporation

a

174,065

11,150

Optinose

,

Inc.

a

50,064

2,620

Repligen

Corporation

a

252,935

646

Sage

Therapeutics,

Inc.

a

18,553

5,681

Silk

Road

Medical,

Inc.

a

178,838

6,437

Tactile

Systems

Technology,

Inc.

a

258,510

930

Teleflex,

Inc.

272,360

2,657

Veeva

Systems,

Inc.

a

415,475

3,962

Wright

Medical

Group

NV

a

113,511

Total

4,985,335

Industrials

(14.8%)

5,481

Aerojet

Rocketdyne

Holdings,

Inc.

a

229,270

7,131

Altra

Industrial

Motion

Corporation

124,721

3,973

ASGN,

Inc.

a

140,326

5,680

Casella

Waste

Systems,

Inc.

a

221,861

4,120

Chart

Industries,

Inc.

a

119,398

844

Heico

Corporation

62,971

2,469

John

Bean

Technologies

Corporation

183,373

1,992

Lincoln

Electric

Holdings,

Inc.

b

137,448

1,747

Mercury

Systems,

Inc.

a

124,631

11,151

Meritor,

Inc.

a

147,751

583

Nordson

Corporation

78,746

9,352

Ritchie

Brothers

Auctioneers,

Inc.

319,651

2,773

Saia,

Inc.

a

203,926

2,405

SiteOne

Landscape

Supply,

Inc.

a

177,056

428

Trex

Company,

Inc.

a

34,300

786

Watsco

,

Inc.

124,212

10,576

Willdan

Group,

Inc.

a

226,009

Total

2,655,650

Information

Technology

(31.8%)

2,453

Alteryx

,

Inc.

a

233,452

5,609

Avalara,

Inc.

a

418,431

6,993

Bandwidth,

Inc.

a,b

470,559

3,920

Blackline,

Inc.

a

206,231

5,262

Cognex

Corporation

222,162

2,757

Coupa

Software,

Inc.

a

385,236

4,933

Descartes

Systems

Group,

Inc.

a

169,646

4,784

Dolby

Laboratories,

Inc.

259,341

6,270

Five9,

Inc.

a

479,404

3,043

Guidewire

Software,

Inc.

a

241,340

1,279

Inphi

Corporation

a

101,258

9,007

Lattice

Semiconductor

Corporation

a

160,505

3,092

MKS

Instruments,

Inc.

251,843

4,010

Monolithic

Power

Systems,

Inc.

671,515

4,545

Nova

Measuring

Instruments,

Ltd.

a

148,394

2,342

Novanta

,

Inc.

a

187,079

2,400

Proofpoint

,

Inc.

a

246,216

4,717

Q2

Holdings,

Inc.

a,b

278,586

958

Rogers

Corporation

a

90,454

12,357

SailPoint

Technologies

Holdings,

Inc.

a

188,074

455

Tyler

Technologies,

Inc.

a

134,935

4,893

Virtusa

Corporation

a

138,961

Total

5,683,622

Materials

(0.9%)

9,034

Louisiana-Pacific

Corporation

155,204

Total

155,204

Real

Estate

(1.5%)

1,204

CoreSite

Realty

Corporation

139,543

Small

Cap

Growth

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

277

Shares

Common

Stock

(99.0%)

Value

Real

Estate

(1.5%)

-

continued

3,289

Rexford

Industrial

Realty,

Inc.

$

134,882

Total

274,425

Total

Common

Stock

(cost

$20,102,795)

17,728,887

Shares

Collateral

Held

for

Securities

Loaned

(

8.3%

)

Value

1,483,437

Thrivent

Cash

Management

Trust

1,483,437

Total

Collateral

Held

for

Securities

Loaned

(cost

$1,483,437)

1,483,437

Shares

Short-Term

Investments

(

1.2%

)

Value

Thrivent

Core

Short-Term

Reserve

Fund

21,737

1.570%

216,934

Total

Short-Term

Investments

(cost

$216,696)

216,934

Total

Investments

(cost

$21,802,928)

108.5%

$19,429,258

Other

Assets

and

Liabilities,

Net

(8.5%)

(1,529,115)

Total

Net

Assets

100.0%

$17,900,143

a

Non-income

producing

security.

b

All

or

a

portion

of

the

security

is

on

loan.

The

following

table

presents

the

total

amount

of

securities

loaned

with

continuous

maturity,

by

type,

offset

by

the

gross

payable

upon

return

of

collateral

for

securities

loaned

by

Thrivent

Small

Cap

Growth

Portfolio

as

of

March

31,

2020:

Securities

Lending

Transactions

Common

Stock

$

1,447,066

Total

lending

$1,447,066

Gross

amount

payable

upon

return

of              

collateral

for

securities

loaned

$1,483,437

Net

amounts

due

to

counterparty

$36,371

Definitions:

ADR

-

American

Depositary

Receipt,

which

are

certificates

for

an

underlying

foreign

security's

shares

held

by

an

issuing

U.S.

depository

bank.

Small

Cap

Growth

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

278

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Small

Cap

Growth

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Common

Stock

Communications

Services

31,722

31,722

–

–

Consumer

Discretionary

2,030,081

2,030,081

–

–

Consumer

Staples

620,906

620,906

–

–

Energy

43,517

43,517

–

–

Financials

1,248,425

1,072,059

176,366

–

Health

Care

4,985,335

4,985,335

–

–

Industrials

2,655,650

2,655,650

–

–

Information

Technology

5,683,622

5,683,622

–

–

Materials

155,204

155,204

–

–

Real

Estate

274,425

274,425

–

–

Subtotal

Investments

in

Securities

$17,728,887

$17,552,521

$176,366

$–

Other

Investments  *

Total

Affiliated

Short-Term

Investments

216,934

Collateral

Held

for

Securities

Loaned

1,483,437

Subtotal

Other

Investments

$1,700,371

Total

Investments

at

Value

$19,429,258

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Cash

Management

Trust

for

the

purpose

of

securities

lending

and

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Cash

Management

Trust

and

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Small

Cap

Growth

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$1,003

$3,150

$3,936

$217

22

1.2%

Total

Affiliated

Short-Term

Investments

1,003

217

1.2

Collateral

held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

1,532

4,557

4,606

1,483

1,483

8.3

Total

Collateral

Held

for

Securities

Loaned

1,532

1,483

8.3

Total

Value

$2,535

$1,700

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$0

$0

–

$3

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$3

Collateral

Held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

–

–

–

2

Total

Affiliated

Income

from

Securities

Loaned,

Net

$2

Total

Value

$0

$0

$–

Small

Cap

Index

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

279

Shares

Common

Stock

(

97.6%

)

Value

Communications

Services

(2.5%)

9,117

ATN

International,

Inc.

$

535,259

42,257

Cincinnati

Bell,

Inc.

a

618,642

34,932

Cogent

Communications

Holdings

2,863,376

60,404

Consolidated

Communications

Holdings,

Inc.

274,838

45,672

E.W.

Scripps

Company

344,367

109,798

Gannett

Company,

Inc.

162,501

81,303

Iridium

Communications,

Inc.

a

1,815,496

38,638

QuinStreet

,

Inc.

a

311,036

25,761

Scholastic

Corporation

656,648

39,277

Shenandoah

Telecommunications

Company

1,934,392

14,695

Spok

Holdings,

Inc.

157,090

191,142

Vonage

Holdings

Corporation

a

1,381,957

Total

11,055,602

Consumer

Discretionary

(11.3%)

52,596

Abercrombie

&

Fitch

Company

b

478,098

94,265

American

Axle

&

Manufacturing

Holdings,

Inc.

a

340,297

12,905

American

Public

Education,

Inc.

a

308,817

5,168

America's

Car-Mart,

Inc.

a

291,217

16,215

Asbury

Automotive

Group,

Inc.

a

895,554

32,382

Barnes

&

Noble

Education,

Inc.

a

44,039

32,699

Big

Lots,

Inc.

b

464,980

16,060

BJ's

Restaurants,

Inc.

223,073

72,801

Bloomin

'

Brands,

Inc.

519,799

23,939

Boot

Barn

Holdings,

Inc.

a

309,531

23,927

Buckle,

Inc.

b

328,039

34,123

Caleres

,

Inc.

177,440

78,870

Callaway

Golf

Company

806,051

18,211

Cato

Corporation

194,311

7,196

Cavco

Industries,

Inc.

a

1,042,988

23,837

Century

Communities,

Inc.

a

345,875

99,414

Chico's

FAS,

Inc.

128,244

12,160

Children's

Place,

Inc.

b

237,850

13,925

Chuy's

Holdings,

Inc.

a

140,225

15,987

Conn's,

Inc.

a

66,826

42,059

Cooper

Tire

&

Rubber

Company

685,562

14,113

Cooper-Standard

Holdings,

Inc.

a

144,940

38,189

Core-Mark

Holding

Company,

Inc.

1,091,060

57,495

Crocs,

Inc.

a

976,840

25,839

Dave

&

Buster's

Entertainment,

Inc.

b

337,974

46,242

Designer

Brands,

Inc.

230,285

14,073

Dine

Brands

Global,

Inc.

403,614

24,450

Dorman

Products,

Inc.

a

1,351,351

16,372

El

Pollo

Loco

Holdings,

Inc.

a

138,343

20,501

Ethan

Allen

Interiors,

Inc.

209,520

56,376

Express,

Inc.

a

84,000

16,971

Fiesta

Restaurant

Group,

Inc.

a

68,393

38,950

Fossil,

Inc.

a,b

128,145

14,771

Foundation

Building

Materials,

Inc.

a

151,994

32,287

Fox

Factory

Holding

Corporation

a

1,356,054

55,248

GameStop

Corporation

a,b

193,368

62,711

Garrett

Motion,

Inc.

a

179,353

11,942

Genesco,

Inc.

a

159,306

27,441

Gentherm

,

Inc.

a

861,647

36,073

G-III

Apparel

Group,

Ltd.

a

277,762

14,668

Group

1

Automotive,

Inc.

649,206

35,757

Guess

?,

Inc.

242,075

15,162

Haverty

Furniture

Companies,

Inc.

180,276

14,775

Hibbett

Sports,

Inc.

a,b

161,565

17,861

Installed

Building

Products,

Inc.

a

712,118

23,694

iRobot

Corporation

a,b

969,085

252,094

J.C.

Penney

Company,

Inc.

a,b

90,754

39,134

Kontoor

Brands,

Inc.

b

750,199

Shares

Common

Stock

(97.6%)

Value

Consumer

Discretionary

(11.3%)

-

continued

38,873

La-Z-Boy,

Inc.

$

798,840

20,976

LCI

Industries

1,401,826

18,491

LGI

Homes,

Inc.

a

834,869

22,562

Liquidity

Services,

Inc.

a

87,541

18,979

Lithia

Motors,

Inc.

1,552,292

24,062

Lumber

Liquidators

Holdings,

Inc.

a,b

112,851

41,971

M.D.C.

Holdings,

Inc.

973,727

23,586

M/I

Homes,

Inc.

a

389,877

19,266

Marcus

Corporation

237,357

17,981

MarineMax

,

Inc.

a

187,362

30,172

Meritage

Homes

Corporation

a

1,101,580

63,970

Michaels

Companies,

Inc.

a

103,631

10,002

Monarch

Casino

&

Resort,

Inc.

a

280,756

27,885

Monro

,

Inc.

1,221,642

15,888

Motorcar

Parts

of

America,

Inc.

a

199,871

13,756

Movado

Group,

Inc.

162,596

458,002

Office

Depot,

Inc.

751,123

14,277

Oxford

Industries,

Inc.

517,684

58,982

Perdoceo

Education

Corporation

a

636,416

16,908

PetMed

Express,

Inc.

b

486,612

10,845

Red

Robin

Gourmet

Burgers,

Inc.

a

92,399

20,259

Regis

Corporation

a

119,731

41,300

Rent-A-Center,

Inc.

583,982

22,746

Ruth's

Hospitality

Group,

Inc.

151,943

26,024

Shake

Shack,

Inc.

a,b

982,146

7,494

Shoe

Carnival,

Inc.

b

155,650

16,047

Shutterstock

,

Inc.

516,071

43,871

Signet

Jewelers,

Ltd.

282,968

23,824

Sleep

Number

Corporation

a

456,468

20,334

Sonic

Automotive,

Inc.

270,036

13,594

Stamps.com,

Inc.

a

1,768,308

16,938

Standard

Motor

Products,

Inc.

704,113

64,842

Steven

Madden,

Ltd.

1,506,280

18,409

Strategic

Education,

Inc.

2,572,842

13,921

Sturm,

Ruger

&

Company,

Inc.

708,718

42,443

Tailored

Brands,

Inc.

b

73,851

19,235

TechTarget

,

Inc.

a

396,433

28,451

TopBuild

Corporation

a

2,038,230

40,982

Tupperware

Brands

Corporation

66,391

12,246

Unifi,

Inc.

a

141,441

11,673

Universal

Electronics,

Inc.

a

447,893

19,655

Vera

Bradley,

Inc.

a

80,979

48,464

Vista

Outdoor,

Inc.

a

426,483

24,684

Wingstop

,

Inc.

1,967,315

28,231

Winnebago

Industries,

Inc.

785,104

67,781

Wolverine

World

Wide,

Inc.

1,030,271

17,085

Zumiez

,

Inc.

a

295,912

Total

50,788,454

Consumer

Staples

(3.8%)

27,322

Andersons,

Inc.

512,287

53,675

B&G

Foods,

Inc.

970,981

13,714

Calavo

Growers,

Inc.

b

791,161

25,382

Cal-Maine

Foods,

Inc.

1,116,300

8,219

Central

Garden

&

Pet

Company

a

226,023

33,675

Central

Garden

&

Pet

Company,

Class

A

a

861,070

21,354

Chefs'

Warehouse,

Inc.

a

215,035

3,890

Coca-Cola

Consolidated,

Inc.

811,182

25,387

Fresh

Del

Monte

Produce,

Inc.

700,935

14,767

Inter

Parfums

,

Inc.

684,450

12,513

J

&

J

Snack

Foods

Corporation

1,514,073

7,368

John

B.

Sanfilippo

&

Son,

Inc.

658,699

9,734

Medifast

,

Inc.

b

608,375

11,131

MGP

Ingredients,

Inc.

299,313

9,756

National

Beverage

Corporation

a,b

416,093

Small

Cap

Index

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

280

Shares

Common

Stock

(97.6%)

Value

Consumer

Staples

(3.8%)

-

continued

18,683

PriceSmart

,

Inc.

$

981,792

5,734

Seneca

Foods

Corporation

a

228,099

30,462

SpartanNash

Company

436,216

44,686

United

Natural

Foods,

Inc.

a

410,217

20,788

Universal

Corporation

919,037

10,520

USANA

Health

Sciences,

Inc.

a

607,635

96,612

Vector

Group,

Ltd.

910,085

11,485

WD-40

Company

b

2,306,762

Total

17,185,820

Energy

(1.8%)

106,944

Archrock

,

Inc.

402,109

15,565

Bonanza

Creek

Energy,

Inc.

a

175,106

327,246

Callon

Petroleum

Company

a

179,298

21,707

CONSOL

Energy,

Inc.

a,b

80,099

412,934

Denbury

Resources,

Inc.

a,b

76,228

54,238

Diamond

Offshore

Drilling,

Inc.

a,b

99,256

24,251

Dorian

LPG,

Ltd.

a

211,226

30,323

Dril

-Quip,

Inc.

a

924,851

16,593

Era

Group,

Inc.

a

88,441

23,581

Exterran

Corporation

a

113,189

11,424

Geospace

Technologies

Corporation

a

73,114

28,325

Green

Plains,

Inc.

137,376

121,804

Gulfport

Energy

Corporation

a

54,166

118,479

Helix

Energy

Solutions

Group,

Inc.

a

194,306

91,330

HighPoint

Resources

Corporation

a

17,353

17,607

KLX

Energy

Services

Holdings,

Inc.

a

12,325

151,042

Laredo

Petroleum

Holdings,

Inc.

a

57,366

22,764

Matrix

Service

Company

a

215,575

283,254

Nabors

Industries,

Ltd.

110,497

75,188

Newpark

Resources,

Inc.

a

67,444

208,852

Noble

Corporation

a,b

54,302

242,358

Oasis

Petroleum,

Inc.

a

84,825

82,912

Oceaneering

International,

Inc.

a

243,761

50,707

Oil

States

International,

Inc.

a

102,935

30,884

Par

Pacific

Holdings,

Inc.

a

219,276

81,368

PDC

Energy,

Inc.

a

505,295

11,280

Penn

Virginia

Corporation

a

34,855

69,012

ProPetro

Holding

Corporation

a

172,530

199,291

QEP

Resources,

Inc.

66,663

174,896

Range

Resources

Corporation

b

398,763

32,655

Renewable

Energy

Group,

Inc.

a

670,407

4,694

REX

American

Resources

Corporation

a

218,318

50,012

Ring

Energy,

Inc.

a,b

32,943

43,145

RPC,

Inc.

b

88,879

14,713

SEACOR

Holdings,

Inc.

a

396,662

88,909

SM

Energy

Company

b

108,469

453,655

Southwestern

Energy

Company

a

766,677

16,806

Talos

Energy,

Inc.

a

96,634

105,214

TETRA

Technologies,

Inc.

a

33,668

61,656

U.S.

Silica

Holdings,

Inc.

b

110,981

165,838

Valaris

plc

a,b

74,644

42,803

Warrior

Met

Coal,

Inc.

454,568

76,517

Whiting

Petroleum

Corporation

a,b

51,297

Total

8,276,677

Financials

(16.9%)

16,046

Allegiance

Bancshares,

Inc.

386,869

38,178

Ambac

Financial

Group,

Inc.

a

471,116

76,305

American

Equity

Investment

Life

Holding

Company

1,434,534

54,879

Ameris

Bancorp

1,303,925

16,175

AMERISAFE,

Inc.

1,042,802

119,670

Apollo

Commercial

Real

Estate

Finance,

Inc.

887,951

Shares

Common

Stock

(97.6%)

Value

Financials

(16.9%)

-

continued

49,355

ARMOUR

Residential

REIT,

Inc.

$

434,818

44,688

Axos

Financial,

Inc.

a

810,193

37,599

Banc

of

California,

Inc.

300,792

31,236

Banner

Corporation

1,032,037

35,993

Berkshire

Hills

Bancorp,

Inc.

534,856

41,019

Blucora

,

Inc.

a

494,279

69,764

Boston

Private

Financial

Holdings,

Inc.

498,813

66,853

Brookline

Bancorp,

Inc.

754,102

107,288

Cadence

Bancorporation

702,736

79,288

Capstead

Mortgage

Corporation

333,010

23,782

Central

Pacific

Financial

Corporation

378,134

13,663

City

Holding

Company

908,999

60,456

Columbia

Banking

System,

Inc.

1,620,221

43,331

Community

Bank

System,

Inc.

2,547,863

24,149

Customers

Bancorp,

Inc.

a

263,949

111,551

CVB

Financial

Corporation

2,236,598

25,844

Dime

Community

Bancshares,

Inc.

354,321

26,159

Donnelley

Financial

Solutions,

Inc.

a

137,858

28,146

Eagle

Bancorp,

Inc.

850,291

20,867

eHealth,

Inc.

a

2,938,491

26,664

Employers

Holdings,

Inc.

1,080,159

23,167

Encore

Capital

Group,

Inc.

a,b

541,644

28,302

Enova

International,

Inc.

a

410,096

44,054

EZCORP,

Inc.

a

183,705

109,605

FGL

Holdings

b

1,074,129

182,166

First

BanCorp

969,123

82,397

First

Commonwealth

Financial

Corporation

753,109

83,291

First

Financial

Bancorp

1,241,869

92,165

First

Midwest

Bancorp,

Inc.

1,219,804

28,891

Flagstar

Bancorp,

Inc.

572,909

11,224

Franklin

Financial

Network,

Inc.

228,857

71,853

Glacier

Bancorp,

Inc.

2,443,361

45,972

Granite

Point

Mortgage

Trust,

Inc.

233,078

47,171

Great

Western

Bancorp,

Inc.

966,062

39,707

Green

Dot

Corporation

a

1,008,161

12,473

Greenhill

&

Company,

Inc.

122,734

26,076

Hanmi

Financial

Corporation

282,925

5,376

HCI

Group,

Inc.

216,384

30,689

Heritage

Financial

Corporation

613,780

20,459

HomeStreet

,

Inc.

454,804

106,185

Hope

Bancorp,

Inc.

872,841

34,546

Horace

Mann

Educators

Corporation

1,264,038

28,808

Independent

Bank

Corporation

1,854,371

13,652

INTL

FCStone

,

Inc.

a

495,021

134,772

Invesco

Mortgage

Capital.

Inc.

459,572

25,482

James

River

Group

Holdings,

Ltd.

923,468

17,270

Kinsale

Capital

Group,

Inc.

1,805,233

20,235

KKR

Real

Estate

Finance

Trust,

Inc.

303,727

28,979

Meta

Financial

Group,

Inc.

629,424

26,124

National

Bank

Holdings

Corporation

624,364

36,702

NBT

Bancorp,

Inc.

1,188,778

306,128

New

York

Mortgage

Trust,

Inc.

474,498

56,974

NMI

Holdings,

Inc.

a

661,468

36,267

Northfield

Bancorp,

Inc.

405,828

84,037

Northwest

Bancshares,

Inc.

972,308

43,033

OFG

Bancorp

481,109

142,501

Old

National

Bancorp

1,879,588

18,106

Opus

Bank

313,777

49,752

Pacific

Premier

Bancorp,

Inc.

937,328

83,961

PennyMac

Mortgage

Investment

Trust

891,666

14,514

Piper

Sandler

Companies

733,973

38,058

PRA

Group,

Inc.

a

1,054,968

11,404

Preferred

Bank

385,683

Small

Cap

Index

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

281

Shares

Common

Stock

(97.6%)

Value

Financials

(16.9%)

-

continued

45,082

ProAssurance

Corporation

$

1,127,050

50,327

Provident

Financial

Services,

Inc.

647,205

29,549

Ready

Capital

Corporation

213,344

94,444

Redwood

Trust,

Inc.

477,887

32,295

S&T

Bancorp,

Inc.

882,299

12,248

Safety

Insurance

Group,

Inc.

1,034,099

43,146

Seacoast

Banking

Corporation

of

Florida

a

790,003

38,627

ServisFirst

Bancshares,

Inc.

1,132,544

95,512

Simmons

First

National

Corporation

1,757,421

26,603

Southside

Bancshares,

Inc.

808,465

19,869

Stewart

Information

Services

Corporation

529,906

67,121

Third

Point

Reinsurance,

Ltd.

a

497,367

10,267

Tompkins

Financial

Corporation

737,171

19,552

Triumph

Bancorp,

Inc.

a

508,352

81,225

TrustCo

Bank

Corporation

439,427

66,194

United

Community

Banks,

Inc.

1,212,012

17,832

United

Fire

Group,

Inc.

581,502

17,392

United

Insurance

Holdings

Corporation

160,702

25,607

Universal

Insurance

Holdings,

Inc.

458,877

39,585

Veritex

Holdings,

Inc.

553,002

6,138

Virtus

Investment

Partners,

Inc.

467,163

58,937

Waddell

&

Reed

Financial,

Inc.

b

670,703

24,019

Walker

&

Dunlop,

Inc.

967,245

22,674

Westamerica

Bancorporation

1,332,778

98,862

WisdomTree

Investments,

Inc.

230,348

4,643

World

Acceptance

Corporation

a,b

253,554

Total

76,359,708

Health

Care

(13.6%)

40,253

Acorda

Therapeutics,

Inc.

a,b

37,540

11,345

Addus

HomeCare

Corporation

a

766,922

79,291

Akorn

,

Inc.

a,b

44,498

28,425

AMAG

Pharmaceuticals,

Inc.

a,b

175,666

39,148

AMN

Healthcare

Services,

Inc.

a

2,263,146

28,717

Amphastar

Pharmaceuticals,

Inc.

a

426,160

31,529

AngioDynamics

,

Inc.

a

328,847

7,796

ANI

Pharmaceuticals,

Inc.

a

317,609

11,959

Anika

Therapeutics,

Inc.

a

345,735

28,487

Biotelemetry,

Inc.

a

1,097,034

29,501

Cardiovascular

Systems,

Inc.

a

1,038,730

98,764

Community

Health

Systems,

Inc.

a,b

329,872

10,467

Computer

Programs

and

Systems,

Inc.

232,891

23,784

CONMED

Corporation

1,362,110

86,200

Corcept

Therapeutics,

Inc.

a,b

1,024,918

7,507

CorVel

Corporation

a

409,207

81,753

Covetrus

,

Inc.

a,b

665,469

30,906

Cross

Country

Healthcare,

Inc.

a

208,306

31,432

CryoLife

,

Inc.

a

531,829

11,929

Cutera

,

Inc.

a

155,793

49,516

Cytokinetics,

Inc.

a,b

583,794

8,479

Eagle

Pharmaceuticals,

Inc.

a

390,034

36,776

Emergent

Biosolutions

,

Inc.

a

2,127,859

13,391

Enanta

Pharmaceuticals,

Inc.

a

688,699

169,152

Endo

International

plc

a

625,862

42,032

Ensign

Group,

Inc.

1,580,824

32,679

Glaukos

Corporation

a,b

1,008,474

31,293

Hanger,

Inc.

a

487,545

21,437

HealthStream

,

Inc.

a

513,416

5,904

Heska

Corporation

a

326,491

73,834

HMS

Holdings

Corporation

a

1,865,785

56,021

Innoviva

,

Inc.

a

658,807

15,302

Inogen

,

Inc.

a

790,501

Shares

Common

Stock

(97.6%)

Value

Health

Care

(13.6%)

-

continued

27,388

Integer

Holdings

Corporation

a

$

1,721,610

28,222

Invacare

Corporation

209,689

28,058

Lannett

Company,

Inc.

a,b

195,003

32,893

Lantheus

Holdings,

Inc.

a

419,715

13,738

LeMaitre

Vascular,

Inc.

342,351

24,824

LHC

Group,

Inc.

a

3,480,325

35,115

Luminex

Corporation

966,716

18,251

Magellan

Health

Services,

Inc.

a

878,056

22,949

Medpace

Holdings,

Inc.

a

1,683,998

35,822

Meridian

Bioscience,

Inc.

a

300,905

46,270

Merit

Medical

Systems,

Inc.

a

1,445,938

3,366

Mesa

Laboratories,

Inc.

761,019

95,156

Momenta

Pharmaceuticals,

Inc.

a

2,588,243

62,345

Myriad

Genetics,

Inc.

a

892,157

28,570

Natus

Medical,

Inc.

a

660,824

43,935

Neogen

Corporation

a

2,943,206

87,503

NeoGenomics

,

Inc.

a

2,415,958

40,581

NextGen

Healthcare,

Inc.

a

423,666

35,148

Omnicell

,

Inc.

a

2,305,006

51,732

OraSure

Technologies,

Inc.

a

556,636

15,970

Orthifix

Medical,

Inc.

a

447,320

52,676

Owens

&

Minor,

Inc.

481,985

34,974

Pacira

Pharmaceuticals,

Inc.

a

1,172,678

21,938

Pennant

Group,

Inc.

a

310,642

17,003

Phibro

Animal

Health

Corporation

410,963

72,429

Progenics

Pharmaceuticals,

Inc.

a

275,230

9,621

Providence

Service

Corporation

a

528,000

34,970

RadNet

,

Inc.

a

367,535

26,268

REGENXBIO,

Inc.

a

850,558

90,062

Select

Medical

Holdings

Corporation

a

1,350,930

94,681

Spectrum

Pharmaceuticals,

Inc.

a

220,607

43,969

Supernus

Pharmaceuticals,

Inc.

a

791,002

11,355

Surmodics

,

Inc.

a

378,349

16,475

Tabula

Rasa

HealthCare,

Inc.

a,b

861,478

15,947

Tactile

Systems

Technology,

Inc.

a

640,432

36,201

Tivity

Health,

Inc.

a,b

227,704

10,706

U.S.

Physical

Therapy,

Inc.

738,714

44,701

Vanda

Pharmaceuticals,

Inc.

a

463,102

32,158

Varex

Imaging

Corporation

a

730,308

41,357

Xencor

,

Inc.

a

1,235,747

Total

61,084,678

Industrials

(17.5%)

20,663

A.

Schulman,

Inc.

CVR

a,c

15,911

34,057

AAON,

Inc.

1,645,634

27,549

AAR

Corporation

489,270

55,662

ABM

Industries,

Inc.

1,355,926

25,779

Aegion

Corporation

a

462,217

60,675

Aerojet

Rocketdyne

Holdings,

Inc.

a

2,538,035

18,096

Aerovironment

,

Inc.

a

1,103,132

8,127

Alamo

Group,

Inc.

721,515

25,729

Albany

International

Corporation

1,217,754

11,057

Allegiant

Travel

Company

904,463

13,048

American

Woodmark

Corporation

a

594,597

22,254

Apogee

Enterprises,

Inc.

463,328

32,397

Applied

Industrial

Technologies,

Inc.

1,481,191

21,377

ArcBest

Corporation

374,525

40,555

Arcosa

,

Inc.

1,611,656

18,896

Astec

Industries,

Inc.

660,793

21,682

Atlas

Air

Worldwide

Holdings,

Inc.

a

556,577

21,918

AZZ,

Inc.

616,334

39,953

Barnes

Group,

Inc.

1,671,234

41,708

Brady

Corporation

1,882,282

35,605

Briggs

&

Stratton

Corporation

b

64,445

30,003

Chart

Industries,

Inc.

a

869,487

16,686

CIRCOR

International,

Inc.

a

194,058

Small

Cap

Index

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

282

Shares

Common

Stock

(97.6%)

Value

Industrials

(17.5%)

-

continued

30,738

Comfort

Systems

USA,

Inc.

$

1,123,474

26,210

Cubic

Corporation

1,082,735

13,425

DXP

Enterprises,

Inc.

a

164,591

22,876

Echo

Global

Logistics,

Inc.

a

390,722

17,568

Encore

Wire

Corporation

737,680

45,154

Enerpac

Tool

Group

Corporation

747,299

17,419

EnPro

Industries,

Inc.

689,444

21,774

ESCO

Technologies,

Inc.

1,652,864

43,437

Exponent,

Inc.

3,123,555

50,711

Federal

Signal

Corporation

1,383,396

8,896

Forrester

Research,

Inc.

a

260,030

23,611

Forward

Air

Corporation

1,195,897

32,250

Franklin

Electric

Company,

Inc.

1,519,943

27,047

Gibraltar

Industries,

Inc.

a

1,160,857

35,341

GMS,

Inc.

a

555,914

39,173

Granite

Construction,

Inc.

b

594,646

27,318

Greenbrier

Companies,

Inc.

484,621

35,697

Griffon

Corporation

451,567

65,880

Harsco

Corporation

a

459,184

39,048

Hawaiian

Holdings,

Inc.

407,661

39,182

Heartland

Express,

Inc.

727,610

16,066

Heidrick

&

Struggles

International,

Inc.

361,485

62,110

Hillenbrand,

Inc.

1,186,922

27,971

Hub

Group,

Inc.

a

1,271,841

15,335

Insteel

Industries,

Inc.

203,189

48,960

Interface,

Inc.

370,138

26,540

John

Bean

Technologies

Corporation

1,971,126

23,350

Kaman

Corporation

898,275

27,813

Kelly

Services,

Inc.

352,947

46,359

Korn

Ferry

1,127,451

9,062

Lindsay

Corporation

829,898

14,686

Lydall

,

Inc.

a

94,872

32,542

Marten

Transport,

Ltd.

667,762

35,926

Matson,

Inc.

1,100,054

26,266

Matthews

International

Corporation

635,375

61,945

Meritor,

Inc.

a

820,771

36,978

Mobile

Mini,

Inc.

969,933

27,017

Moog,

Inc.

1,365,169

47,731

Mueller

Industries,

Inc.

1,142,680

13,952

MYR

Group,

Inc.

a

365,403

4,222

National

Presto

Industries,

Inc.

298,960

18,721

Patrick

Industries,

Inc.

527,183

48,949

PGT

Innovations,

Inc.

a

410,682

143,186

Pitney

Bowes,

Inc.

b

292,099

7,382

Powell

Industries,

Inc.

189,496

22,426

Proto

Labs,

Inc.

a

1,707,291

27,793

Quanex

Building

Products

Corporation

280,153

59,420

R.R.

Donnelley

&

Sons

Company

56,954

29,970

Raven

Industries,

Inc.

636,263

25,231

Resources

Connection,

Inc.

276,784

21,737

Saia,

Inc.

a

1,598,539

33,806

Simpson

Manufacturing

Company,

Inc.

2,095,296

42,257

SkyWest,

Inc.

1,106,711

36,997

SPX

Corporation

a

1,207,582

35,675

SPX

FLOW,

Inc.

a

1,013,884

10,444

Standex

International

Corporation

511,965

65,302

Sunrun

,

Inc.

a,b

659,550

25,448

Team,

Inc.

a

165,412

15,309

Tennant

Company

887,157

41,937

Titan

International,

Inc.

65,002

41,976

Triumph

Group,

Inc.

283,758

32,648

TrueBlue

,

Inc.

a

416,588

12,824

UniFirst

Corporation

1,937,578

Shares

Common

Stock

(97.6%)

Value

Industrials

(17.5%)

-

continued

51,450

Universal

Forest

Products,

Inc.

$

1,913,426

21,328

US

Ecology,

Inc.

648,371

10,660

Veritiv

Corporation

a

83,788

17,035

Viad

Corporation

361,653

15,365

Vicor

Corporation

a

684,357

45,335

Wabash

National

Corporation

327,319

23,133

Watts

Water

Technologies,

Inc.

1,958,208

Total

78,745,354

Information

Technology

(15.1%)

99,247

3D

Systems

Corporation

a,b

765,194

83,998

8x8,

Inc.

a

1,164,212

40,082

ADTRAN,

Inc.

307,830

32,106

Advanced

Energy

Industries,

Inc.

a

1,556,820

17,052

Agilysys

,

Inc.

a

284,768

30,531

Alarm.com

Holdings,

Inc.

a

1,187,961

25,232

Anixter

International,

Inc.

a

2,217,136

16,018

Applied

Optoelectronics,

Inc.

a,b

121,577

63,450

Arlo

Technologies,

Inc.

a

154,183

27,172

Axcelis

Technologies,

Inc.

a

497,519

24,398

Badger

Meter,

Inc.

1,307,733

8,489

Bel

Fuse,

Inc.

82,683

31,535

Benchmark

Electronics,

Inc.

630,385

31,942

Bottomline

Technologies

(de),

Inc.

a

1,170,674

60,592

Brooks

Automation,

Inc.

1,848,056

28,596

CalAmp

Corporation

a

128,682

30,279

Cardtronics

,

Inc.

a

633,437

18,432

CEVA,

Inc.

a

459,510

34,585

Cohu

,

Inc.

428,162

20,441

Comtech

Telecommunications

Corporation

271,661

27,612

CSG

Systems

International,

Inc.

1,155,562

27,323

CTS

Corporation

680,069

31,406

Daktronics,

Inc.

154,832

64,360

Diebold

Nixdorf,

Inc.

a

226,547

23,730

Digi

International,

Inc.

a

226,384

34,650

Diodes,

Inc.

a

1,408,003

19,279

DSP

Group,

Inc.

a

258,339

18,658

Ebix

,

Inc.

b

283,228

11,319

ePlus

,

Inc.

a

708,796

50,033

EVERTEC,

Inc.

1,137,250

28,575

ExlService

Holdings,

Inc.

a

1,486,757

101,884

Extreme

Networks,

Inc.

a

314,822

31,012

Fabrinet

a

1,692,015

14,586

FARO

Technologies,

Inc.

a

649,077

63,443

FormFactor

,

Inc.

a

1,274,570

96,523

Glu

Mobile,

Inc.

a

607,130

80,368

Harmonic,

Inc.

a

462,920

18,853

Ichor

Holdings,

Ltd.

a

361,223

29,994

Insight

Enterprises,

Inc.

a

1,263,647

29,514

Itron

,

Inc.

a

1,647,767

48,687

KEMET

Corporation

1,176,278

72,119

Knowles

Corporation

a

964,952

53,142

Kulicke

and

Soffa

Industries,

Inc.

1,109,074

51,596

LivePerson

,

Inc.

a

1,173,809

22,556

ManTech

International

Corporation

1,639,145

54,581

MaxLinear

,

Inc.

a

636,960

31,086

Methode

Electronics,

Inc.

821,603

6,899

MicroStrategy

,

Inc.

a

814,772

14,918

MTS

Systems

Corporation

335,655

25,267

NETGEAR,

Inc.

a

577,098

56,123

NIC,

Inc.

1,290,829

27,291

OneSpan

,

Inc.

a

495,332

41,117

Onto

Innovation,

Inc.

a

1,219,941

14,308

OSI

Systems,

Inc.

a

986,107

16,336

Park

Aerospace

Corporation

205,834

Small

Cap

Index

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

283

Shares

Common

Stock

(97.6%)

Value

Information

Technology

(15.1%)

-

continued

9,264

PC

Connection,

Inc.

$

381,769

23,316

PDF

Solutions,

Inc.

a

273,264

27,331

Perficient

,

Inc.

a

740,397

56,317

Photronics

,

Inc.

a

577,812

27,432

Plantronics,

Inc.

b

275,966

24,455

Plexus

Corporation

a

1,334,265

24,658

Power

Integrations,

Inc.

2,178,041

37,535

Progress

Software

Corporation

1,201,120

27,938

Qualys

,

Inc.

a

2,430,327

93,441

Rambus,

Inc.

a

1,037,195

15,565

Rogers

Corporation

a

1,469,647

58,647

Sanmina

Corporation

a

1,599,890

21,175

ScanSource

,

Inc.

a

452,933

11,026

SMART

Global

Holdings,

Inc.

a

267,932

29,198

SPS

Commerce,

Inc.

a

1,357,999

32,295

Sykes

Enterprises,

Inc.

a

875,840

106,138

TiVo

Corp

751,457

14,805

TTEC

Holdings,

Inc.

543,640

82,224

TTM

Technologies,

Inc.

a

850,196

33,361

Ultra

Clean

Holdings,

Inc.

a

460,382

43,403

Unisys

Corporation

a

536,027

40,985

Veeco

Instruments,

Inc.

a

392,226

192,584

Viavi

Solutions,

Inc.

a

2,158,867

25,012

Virtusa

Corporation

a

710,341

41,521

Xperi

Corporation

577,557

Total

68,099,600

Materials

(4.5%)

23,393

AdvanSix

,

Inc.

a

223,169

22,263

American

Vanguard

Corporation

321,923

26,960

Balchem

Corporation

2,661,491

32,665

Boise

Cascade

Company

776,774

41,721

Century

Aluminum

Company

a

151,030

13,842

Clearwater

Paper

Corporation

a

301,894

332,448

Cleveland-Cliffs,

Inc.

b

1,313,170

12,275

DMC

Global,

Inc.

b

282,448

68,696

Ferro

Corporation

a

642,995

21,630

FutureFuel

Corporation

243,770

45,079

GCP

Applied

Technologies,

Inc.

a

802,406

42,727

H.B.

Fuller

Company

1,193,365

7,928

Hawkins,

Inc.

282,237

10,488

Haynes

International,

Inc.

216,158

20,530

Innospec

,

Inc.

1,426,630

13,308

Kaiser

Aluminum

Corporation

921,978

17,347

Koppers

Holdings,

Inc.

a

214,582

26,571

Kraton

Performance

Polymers,

Inc.

a

215,225

122,345

Livent

Corporation

a,b

642,311

18,333

LSB

Industries,

Inc.

a

38,499

17,100

Materion

Corporation

598,671

33,552

Mercer

International,

Inc.

242,916

29,769

Myers

Industries,

Inc.

320,017

14,092

Neenah,

Inc.

607,788

7,649

Olympic

Steel,

Inc.

79,167

37,019

PH

Glatfelter

Company

452,372

10,849

Quaker

Chemical

Corporation

1,370,012

41,851

Rayonier

Advanced

Materials,

Inc.

44,362

25,894

Schweitzer-Mauduit

International,

Inc.

720,371

16,786

Stepan

Company

1,484,890

72,708

SunCoke

Energy,

Inc.

279,926

33,431

TimkenSteel

Corporation

a

107,982

20,683

Tredegar

Corporation

323,275

32,836

Trinseo

SA

594,660

13,295

US

Concrete,

Inc.

a

241,171

Total

20,339,635

Shares

Common

Stock

(97.6%)

Value

Real

Estate

(7.8%)

72,871

Acadia

Realty

Trust

$

902,872

38,192

Agree

Realty

Corporation

2,364,085

56,878

Alexander

&

Baldwin,

Inc.

638,171

40,199

American

Assets

Trust,

Inc.

1,004,975

46,449

Armada

Hoffler

Properties,

Inc.

497,004

80,085

CareTrust

REIT,

Inc.

1,184,457

145,411

CBL

&

Associates

Properties,

Inc.

a

29,097

72,027

Cedar

Realty

Trust,

Inc.

67,208

39,327

Chatham

Lodging

Trust

233,602

17,045

Community

Healthcare

Trust,

Inc.

652,483

167,783

DiamondRock

Hospitality

Company

852,338

62,152

Easterly

Government

Properties,

Inc.

1,531,425

73,696

Essential

Properties

Realty

Trust,

Inc.

962,470

57,759

Four

Corners

Property

Trust,

Inc.

1,080,671

89,869

Franklin

Street

Properties

Corporation

514,949

28,660

Getty

Realty

Corporation

680,388

74,974

Global

Net

Lease,

Inc.

1,002,402

30,094

Hersha

Hospitality

Trust

107,737

76,178

Independence

Realty

Trust,

Inc.

681,031

54,627

Industrial

Logistics

Properties

Trust

958,158

14,278

Innovative

Industrial

Properties,

Inc.

1,084,129

9,743

Investors

Real

Estate

Trust

535,865

62,635

iSTAR

Financial,

Inc.

664,557

70,381

Kite

Realty

Group

Trust

666,508

207,739

Lexington

Realty

Trust

2,062,848

33,316

LTC

Properties,

Inc.

1,029,464

19,678

Marcus

and

Millichap,

Inc.

a

533,274

49,723

National

Storage

Affiliates

Trust

1,471,801

18,883

NexPoint

Residential

Trust,

Inc.

476,041

40,398

Office

Properties

Income

Trust

1,100,846

50,072

Pennsylvania

REIT

45,646

14,948

RE/MAX

Holdings,

Inc.

327,660

95,828

Realogy

Holdings

Corporation

288,442

97,215

Retail

Opportunity

Investments

Corporation

805,912

67,362

RPT

Realty

406,193

11,079

Safehold

,

Inc.

700,525

9,874

Saul

Centers,

Inc.

323,275

26,391

St.

Joe

Company

a,b

442,841

88,138

Summit

Hotel

Properties,

Inc.

371,942

77,853

Tanger

Factory

Outlet

Centers,

Inc.

389,265

161,982

Uniti

Group,

Inc.

976,752

10,607

Universal

Health

Realty

Income

Trust

1,069,292

25,052

Urstadt

Biddle

Properties,

Inc.

353,233

156,387

Washington

Prime

Group,

Inc.

125,907

67,546

Washington

REIT

1,612,323

34,055

Whitestone

REIT

211,141

94,404

Xenia

Hotels

&

Resorts,

Inc.

972,361

Total

34,993,566

Utilities

(2.8%)

30,874

American

States

Water

Company

2,523,641

55,909

Avista

Corporation

2,375,574

40,350

California

Water

Service

Group

2,030,412

34,140

El

Paso

Electric

Company

2,320,154

25,508

Northwest

Natural

Holding

Company

1,575,119

77,433

South

Jersey

Industries,

Inc.

1,935,825

Total

12,760,725

Total

Common

Stock

(cost

$540,846,966)

439,689,819

Small

Cap

Index

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

284

/

Shares

Collateral

Held

for

Securities

Loaned

(

5.1%

)

Value

23,013,777

Thrivent

Cash

Management

Trust

$

23,013,777

Total

Collateral

Held

for

Securities

Loaned

(cost

$23,013,777)

23,013,777

Shares

Registered

Investment

Companies

(

2.3%

)

Value

Unaffiliated  (2.3%)

181,241

iShares

Core

S&P

Small-Cap

ETF

10,169,432

Total

10,169,432

Total

Registered

Investment

Companies

(cost

$12,857,788)

10,169,432

Shares

or

Principal

Amount

Short-Term

Investments

(

0.2%

)

Value

Federal

Home

Loan

Bank

Discount

Notes

200,000

1.565%,

4/8/2020

d,e

199,998

Thrivent

Core

Short-Term

Reserve

Fund

72,790

1.570%

726,439

Total

Short-Term

Investments

(cost

$925,650)

926,437

Total

Investments

(cost

$577,644,181)

105.2%

$473,799,465

Other

Assets

and

Liabilities,

Net

(5.2%)

(23,334,845)

Total

Net

Assets

100.0%

$450,464,620

a

Non-income

producing

security.

b

All

or

a

portion

of

the

security

is

on

loan.

c

Security

is

valued

using

significant

unobservable

inputs.

Further

information

on

valuation

can

be

found

in

the

Notes

to

Financial

Statements.

d

The

interest

rate

shown

reflects

the

yield,

coupon

rate

or

the

discount

rate

at

the

date

of

purchase.

e

All

or

a

portion

of

the

security

is

held

on

deposit

with

the

counterparty

and

pledged

as

the

initial

margin

deposit

for

open

futures

contracts.

The

following

table

presents

the

total

amount

of

securities

loaned

with

continuous

maturity,

by

type,

offset

by

the

gross

payable

upon

return

of

collateral

for

securities

loaned

by

Thrivent

Small

Cap

Index

Portfolio

as

of

March

31,

2020:

Securities

Lending

Transactions

Common

Stock

$

21,475,600

Total

lending

$21,475,600

Gross

amount

payable

upon

return

of              

collateral

for

securities

loaned

$23,013,777

Net

amounts

due

to

counterparty

$1,538,177

Definitions:

ETF

-

Exchange

Traded

Fund

REIT

-

Real

Estate

Investment

Trust

is

a

company

that

buys,

develops,

manages

and/or

sells

real

estate

assets.

Small

Cap

Index

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

285

Reference

Description:

CME

-

Chicago

Mercantile

Exchange

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Small

Cap

Index

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Common

Stock

Communications

Services

11,055,602

11,055,602

–

–

Consumer

Discretionary

50,788,454

50,788,454

–

–

Consumer

Staples

17,185,820

17,185,820

–

–

Energy

8,276,677

8,276,677

–

–

Financials

76,359,708

76,359,708

–

–

Health

Care

61,084,678

61,084,678

–

–

Industrials

78,745,354

78,729,443

–

15,911

Information

Technology

68,099,600

68,099,600

–

–

Materials

20,339,635

20,339,635

–

–

Real

Estate

34,993,566

34,993,566

–

–

Utilities

12,760,725

12,760,725

–

–

Registered

Investment

Companies

Unaffiliated

10,169,432

10,169,432

–

–

Short-Term

Investments

199,998

–

199,998

–

Subtotal

Investments

in

Securities

$450,059,249

$449,843,340

$199,998

$15,911

Other

Investments  *

Total

Affiliated

Short-Term

Investments

726,439

Collateral

Held

for

Securities

Loaned

23,013,777

Subtotal

Other

Investments

$23,740,216

Total

Investments

at

Value

$473,799,465

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Other

Financial

Instruments

Total

Level

1

Level

2

Level

3

Asset

Derivatives

Futures

Contracts

1,181

1,181

–

–

Total

Asset

Derivatives

$1,181

$1,181

$–

$–

The

following

table

presents

Small

Cap

Index

Portfolio's

futures

contracts

held

as

of

March

31,

2020.

Investments

and/or

cash

totaling

$199,998

were

pledged

as

the

initial

margin

deposit

for

these

contracts.

Futures

Contracts

Description

Number

of

Contracts

Long/(Short)

Expiration

Date

Notional

Principal

Amount

Value

and

Unrealized

CME

E-mini

Russell

2000

Index

11

June

2020

$

629,999

$

1,181

Total

Futures

Long

Contracts

$

629,999

$

1,181

Total

Futures

Contracts

$

629,999

$1,181

Small

Cap

Index

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

286

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Cash

Management

Trust

for

the

purpose

of

securities

lending

and

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Cash

Management

Trust

and

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Small

Cap

Index

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$628

$36,134

$36,037

$726

73

0.2%

Total

Affiliated

Short-Term

Investments

628

726

0.2

Collateral

held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

31,813

38,053

46,852

23,014

23,014

5.1

Total

Collateral

Held

for

Securities

Loaned

31,813

23,014

5.1

Total

Value

$32,441

$23,740

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$0

$1

–

$4

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$4

Collateral

Held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

–

–

–

69

Total

Affiliated

Income

from

Securities

Loaned,

Net

$69

Total

Value

$0

$1

$–

Small

Cap

Stock

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

287

Shares

Common

Stock

(

96.2%

)

Value

Communications

Services

(0.8%)

453,127

QuinStreet

,

Inc.

a

$

3,647,672

Total

3,647,672

Consumer

Discretionary

(5.4%)

206,727

Cooper-Standard

Holdings,

Inc.

a

2,123,086

308,132

Crocs,

Inc.

a

5,235,163

362,939

Designer

Brands,

Inc.

1,807,436

257,096

Movado

Group,

Inc.

3,038,875

78,282

Oxford

Industries,

Inc.

2,838,506

128,370

Texas

Roadhouse,

Inc.

5,301,681

184,104

Zumiez

,

Inc.

a

3,188,681

Total

23,533,428

Consumer

Staples

(6.4%)

27,970

Casey's

General

Stores,

Inc.

3,705,745

771,259

Cott

Corporation

6,987,606

168,339

Hain

Celestial

Group,

Inc.

a

4,371,764

87,210

John

B.

Sanfilippo

&

Son,

Inc.

7,796,574

242,125

Turning

Point

Brands,

Inc.

5,111,259

Total

27,972,948

Energy

(3.3%)

663,290

Euronav

NV

7,481,911

285,904

Nine

Energy

Service,

Inc.

a

231,096

218,449

SEACOR

Holdings,

Inc.

a

5,889,385

160,874

Talos

Energy,

Inc.

a

925,026

Total

14,527,418

Financials

(19.8%)

172,401

Air

Lease

Corporation

3,816,958

337,513

Assured

Guaranty,

Ltd.

8,704,460

180,529

Bank

of

N.T.

Butterfield

&

Son,

Ltd.

3,074,409

374,505

Bridgewater

Bancshares,

Inc.

a

3,651,424

47,397

Cohen

&

Steers,

Inc.

2,154,194

31,487

Enstar

Group,

Ltd.

a

5,008,007

627,332

Everi

Holdings,

Inc.

a

2,070,196

256,882

First

Interstate

BancSystem

,

Inc.

7,408,477

61,162

Hamilton

Lane,

Inc.

b

3,382,870

196,673

Heartland

Financial

USA,

Inc.

5,939,525

580,784

Heritage

Commerce

Corporation

4,454,613

68,820

Houlihan

Lokey

,

Inc.

3,586,898

56,317

Kemper

Corporation

4,188,295

42,188

PCSB

Financial

Corporation

590,210

68,964

Primerica,

Inc.

6,101,935

253,266

Prosight

Global,

Inc.

a

2,469,344

279,957

Seacoast

Banking

Corporation

of

Florida

a

5,126,013

193,081

State

Auto

Financial

Corporation

5,365,721

322,754

Synovus

Financial

Corporation

5,667,560

152,590

Triumph

Bancorp,

Inc.

a

3,967,340

Total

86,728,449

Health

Care

(9.2%)

87,603

Catalent

,

Inc.

a

4,550,976

224,065

Halozyme

Therapeutics,

Inc.

a

4,030,929

65,093

LHC

Group,

Inc.

a

9,126,039

36,470

Neurocrine

Biosciences,

Inc.

a

3,156,479

281,574

Optinose

,

Inc.

a

1,264,267

35,537

PerkinElmer,

Inc.

2,675,225

197,553

Syneos

Health,

Inc.

a

7,787,539

18,829

Tactile

Systems

Technology,

Inc.

a

756,173

239,048

Wright

Medical

Group

NV

a

6,848,725

Total

40,196,352

Industrials

(18.8%)

145,890

AGCO

Corporation

6,893,302

Shares

Common

Stock

(96.2%)

Value

Industrials

(18.8%)

-

continued

280,326

Altra

Industrial

Motion

Corporation

$

4,902,902

209,452

Arcosa

,

Inc.

8,323,622

159,686

ASGN,

Inc.

a

5,640,109

83,814

Curtiss-Wright

Corporation

7,745,252

134,814

Encore

Wire

Corporation

5,660,840

72,931

Helios

Technologies,

Inc.

2,765,544

68,853

Lincoln

Electric

Holdings,

Inc.

b

4,750,857

344,804

Meritor,

Inc.

a

4,568,653

531,680

Primoris

Services

Corporation

8,453,712

228,429

Raven

Industries,

Inc.

4,849,548

230,547

Ritchie

Brothers

Auctioneers,

Inc.

7,880,096

57,163

Saia,

Inc.

a

4,203,767

56,562

Valmont

Industries,

Inc.

5,994,441

Total

82,632,645

Information

Technology

(16.2%)

64,863

Advanced

Energy

Industries,

Inc.

a

3,145,207

87,740

Agilysys

,

Inc.

a

1,465,258

101,615

Blackline,

Inc.

a

5,345,965

478,457

Change

Healthcare,

Inc.

a

4,779,785

228,204

Ciena

Corporation

a

9,084,801

136,476

Computer

Services,

Inc.

5,490,430

170,635

Dolby

Laboratories,

Inc.

9,250,123

172,700

Lattice

Semiconductor

Corporation

a

3,077,514

25,915

Littelfuse

,

Inc.

3,457,579

27,111

Monolithic

Power

Systems,

Inc.

4,540,008

216,861

National

Instruments

Corporation

7,173,762

81,567

Plexus

Corporation

a

4,450,296

297,505

SailPoint

Technologies

Holdings,

Inc.

a

4,528,026

183,189

Virtusa

Corporation

a

5,202,568

Total

70,991,322

Materials

(5.4%)

583,977

Element

Solutions,

Inc.

a

4,882,048

1,339,597

Ivanhoe

Mines,

Ltd.

a

2,227,426

479,665

Louisiana-Pacific

Corporation

8,240,645

73,484

UFP

Technologies,

Inc.

a

2,799,005

76,815

United

States

Lime

&

Minerals,

Inc.

5,672,788

Total

23,821,912

Real

Estate

(7.1%)

83,090

Agree

Realty

Corporation

5,143,271

143,181

American

Campus

Communities,

Inc.

3,973,273

35,530

CoreSite

Realty

Corporation

4,117,927

224,639

Cousins

Properties,

Inc.

6,575,183

115,196

National

Storage

Affiliates

Trust

3,409,802

536,254

Sunstone

Hotel

Investors,

Inc.

4,670,772

62,232

Terreno

Realty

Corporation

3,220,506

Total

31,110,734

Utilities

(3.8%)

60,865

NorthWestern

Corporation

3,641,553

142,364

PNM

Resources,

Inc.

b

5,409,832

73,691

Portland

General

Electric

Company

3,532,746

57,087

Spire,

Inc.

4,251,840

Total

16,835,971

Total

Common

Stock

(cost

$488,958,642)

421,998,851

Shares

Registered

Investment

Companies

(

2.6%

)

Value

Unaffiliated  (2.6%)

67,034

Health

Care

Select

Sector

SPDR

Fund

5,937,872

Small

Cap

Stock

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

288

Shares

Registered

Investment

Companies

(2.6%)

Value

Unaffiliated  (2.6%)-

continued

68,031

iShares

Russell

2000

Value

Index

Fund

$

5,580,583

Total

11,518,455

Total

Registered

Investment

Companies

(cost

$14,672,649)

11,518,455

Shares

Collateral

Held

for

Securities

Loaned

(

2.0%

)

Value

8,817,275

Thrivent

Cash

Management

Trust

8,817,275

Total

Collateral

Held

for

Securities

Loaned

(cost

$8,817,275)

8,817,275

Shares

Short-Term

Investments

(

0.9%

)

Value

Thrivent

Core

Short-Term

Reserve

Fund

405,668

1.570%

4,048,571

Total

Short-Term

Investments

(cost

$4,044,371)

4,048,571

Total

Investments

(cost

$516,492,937)

101.7%

$446,383,152

Other

Assets

and

Liabilities,

Net

(1.7%)

(7,618,561)

Total

Net

Assets

100.0%

$438,764,591

a

Non-income

producing

security.

b

All

or

a

portion

of

the

security

is

on

loan.

The

following

table

presents

the

total

amount

of

securities

loaned

with

continuous

maturity,

by

type,

offset

by

the

gross

payable

upon

return

of

collateral

for

securities

loaned

by

Thrivent

Small

Cap

Stock

Portfolio

as

of

March

31,

2020:

Securities

Lending

Transactions

Common

Stock

$

8,438,534

Total

lending

$8,438,534

Gross

amount

payable

upon

return

of              

collateral

for

securities

loaned

$8,817,275

Net

amounts

due

to

counterparty

$378,741

Definitions:

SPDR

-

S&P

Depository

Receipts,

which

are

exchange-traded

funds

traded

in

the

U.S.,

Europe,

and

Asia-Pacific

and

managed

by

State

Street

Global

Advisors.

Small

Cap

Stock

Portfolio

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

The

accompanying

Notes

to

Schedule

of

Investments

are

an

integral

part

of

this

schedule.

289

Fair

Valuation

Measurements

The

following

table

is

a

summary

of

the

inputs

used,

as

of

March

31,

2020,

in

valuing

Small

Cap

Stock

Portfolio's

assets

carried

at

fair

value.

Investments

in

Securities

Total

Level

1

Level

2

Level

3

Common

Stock

Communications

Services

3,647,672

3,647,672

–

–

Consumer

Discretionary

23,533,428

23,533,428

–

–

Consumer

Staples

27,972,948

27,972,948

–

–

Energy

14,527,418

14,527,418

–

–

Financials

86,728,449

86,728,449

–

–

Health

Care

40,196,352

40,196,352

–

–

Industrials

82,632,645

82,632,645

–

–

Information

Technology

70,991,322

70,991,322

–

–

Materials

23,821,912

21,594,486

2,227,426

–

Real

Estate

31,110,734

31,110,734

–

–

Utilities

16,835,971

16,835,971

–

–

Registered

Investment

Companies

Unaffiliated

11,518,455

11,518,455

–

–

Subtotal

Investments

in

Securities

$433,517,306

$431,289,880

$2,227,426

$–

Other

Investments  *

Total

Affiliated

Short-Term

Investments

4,048,571

Collateral

Held

for

Securities

Loaned

8,817,275

Subtotal

Other

Investments

$12,865,846

Total

Investments

at

Value

$446,383,152

*

Certain

investments

are

measured

at

fair

value

using

a

net

asset

value

per

share

that

is

not

publicly

available

(practical

expedient).  According

to

disclosure

requirements

of

Accounting

Standards

Codification

(ASC)

820,

Fair

Value

Measurement,

securities

valued

using

the

practical

expedient

are

not

classified

in

the

fair

value

hierarchy.  The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Statement

of

Assets

and

Liabilities.  

Investment

in

Affiliates

Affiliated

issuers,

as

defined

under

the

Investment

Company

Act

of

1940,

include

those

in

which

the

Portfolio's

holdings

of

an

issuer

represent

5%

or

more

of

the

outstanding

voting

securities

of

an

issuer,

any

affiliated

mutual

fund,

or

a

company

which

is

under

common

ownership

or

control

with

the

Portfolio.

The

Portfolio

owns

shares

of

Thrivent

Cash

Management

Trust

for

the

purpose

of

securities

lending

and

Thrivent

Core

Short-Term

Reserve

Fund,

a

series

of

Thrivent

Core

Funds,

primarily

to

serve

as

a

cash

sweep

vehicle

for

the

Portfolio.

Thrivent

Cash

Management

Trust

and

Thrivent

Core

Funds

are

established

solely

for

investment

by

Thrivent

entities.

A

summary

of

transactions

(in

thousands;

values

shown

as

zero

are

less

than

$500)

for

the

fiscal

year

to

date,

in

Small

Cap

Stock

Portfolio,

is

as

follows:

Portfolio

Value

12/31/2019

Gross

Purchases

Gross

Sales

Value

3/31/2020

Shares

Held

at

3/31/2020

%

of

Net

Assets

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$18,699

$30,989

$45,626

$4,049

406

0.9%

Total

Affiliated

Short-Term

Investments

18,699

4,049

0.9

Collateral

held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

18,293

88,056

97,532

8,817

8,817

2.0

Total

Collateral

Held

for

Securities

Loaned

18,293

8,817

2.0

Total

Value

$36,992

$12,866

Portfolio

Net

Realized

Gain/(Loss)

Change

in

Unrealized

Appreciation/

(Depreciation)

Distributions

of

Realized

Capital

Gains

Income

Earned

1/1/2020

-

3/31/2020

Affiliated

Short-Term

Investments

Core

Short-Term

Reserve,

1.570%

$(17)

$4

–

$68

Total

Income/Non

Income

Cash

from

Affiliated

Investments

$68

Collateral

Held

for

Securities

Loaned

Cash

Management

Trust-

Collateral

Investment

–

–

–

10

Total

Affiliated

Income

from

Securities

Loaned,

Net

$10

Total

Value

$(17)

$4

$–

Notes

to

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

290

SIGNIFICANT

ACCOUNTING

POLICIES

Valuation

of

Investments

—

Securities

traded

on

U.S.

or

foreign

securities

exchanges

or

included

in

a

national

market

system

are

valued

at

the last

sale price

on

the

principal exchange as

of the

close

of

regular

trading

on

such

exchange

or

the

official

closing

price

of

the

national

market

system. 

Over-the-counter

securities

and

listed

securities

for

which

no

price

is

readily

available

are

valued

at

the

current

bid

price

considered

best

to

represent

the

value

at

that

time. 

Security

prices

are

based

on

quotes

that

are

obtained

from

an

independent

pricing

service

approved

by

the

Fund's

Board

of

Directors

(the

“Board”).

The

pricing

service,

in

determining

values

of

fixed-income

securities,

takes

into

consideration

such

factors

as

current

quotations

by

broker/dealers,

coupon,

maturity,

quality,

type

of

issue,

trading

characteristics,

and

other

yield

and

risk

factors

it

deems

relevant

in

determining

valuations.

Securities

which

cannot

be

valued

by

the

approved

pricing

service

are

valued

using

valuations

from dealers

that

make

markets

in

the

securities.

Exchange-listed

options and

futures

contracts

are

valued

at

the

primary

exchange

settle

price. 

Exchange

cleared

swap

agreements

are

valued using the

clearinghouse

end

of

day

price. Swap

agreements

not

cleared

on

exchanges

will

be

valued

using

the

mid-price

from

the

primary

approved

pricing

service.  Forward

foreign

currency

exchange

contracts

are

marked-to-market

based

upon

foreign

currency

exchange rates

provided

by the

pricing

service. 

Investments

in

open-ended

mutual

funds

are

valued

at

their

net

asset

value

at

the

close

of

each

business

day.

Securities

held

by

the

Money

Market

Portfolio

are

valued

on

the

basis

of

amortized

cost

(which

approximates

market

value),

whereby

a

portfolio

security

is

valued

at

its

cost

initially

and

thereafter

valued

to

reflect

a

constant

amortization

to

maturity

of

any

discount

or

premium.

The Money

Market

Portfolio

and

the

Adviser

follow

procedures

designed

to

help

maintain

a

constant

net

asset

value

of

$1.00

per

share.

The

Board

has

delegated

responsibility

for

daily

valuation

of

the

Portfolios'

securities to

the

Portfolios'

Investment

Adviser. 

The

Adviser

has

formed

a

Valuation

Committee

(“Committee”)

that

is

responsible

for

overseeing

the

Portfolios’

valuation

policies

in

accordance

with

Valuation

Policies

and

Procedures. 

The

Committee

meets

on

a

monthly

and

on

an

as-needed

basis

to

review

price

challenges,

price

overrides,

stale

prices,

shadow

prices,

manual

prices,

money

market

pricing,

international

fair

valuation,

and

other

securities

requiring

fair

valuation.

The

Committee

monitors

for

significant

events

occurring

prior

to

the

close

of

trading

on

the

New

York

Stock

Exchange

that

could

have

a

material

impact

on

the

value

of

any

securities

that

are

held

by

the

Portfolios. 

Examples

of

such

events

include

trading

halts,

national

news/events,

and

issuer-

specific

developments. 

If

the

Committee

decides

that

such

events

warrant

using

fair

value

estimates,

the

Committee

will

take

such

events

into

consideration

in

determining

the

fair

value

of

such

securities. 

If

market

quotations

or

prices

are

not

readily

available

or

determined

to

be

unreliable,

the

securities

will

be

valued

at

fair

value

as

determined

in

good

faith

pursuant

to

procedures

adopted

by

the

Board.

In

accordance

with U.S.

Generally

Accepted

Accounting

Principles

(“GAAP”),

the

various

inputs

used

to

determine

the

fair

value

of

the

Portfolios’

investments

are

summarized

in

three

broad

levels.

Level

1

includes

quoted

prices

in

active

markets

for

identical

securities,

typically included

in

this

level

are

U.S.

equity

securities,

futures, options

and

registered

investment

company

funds.

Level

2

includes

other

significant

observable

inputs

such

as

quoted

prices

for

similar

securities,

interest

rates,

prepayment

speeds

and

credit

risk,

typically

included

in

this

level

are

fixed

income

securities,

international securities,

swaps

and

forward

contracts.

Level

3

includes

significant

unobservable

inputs

such

as

the

Adviser’s

own

assumptions

and

broker

evaluations

in

determining

the

fair

value

of

investments.

The

valuation

levels

are

not

necessarily

an

indication

of

the

risk

associated

with

investing

in

these

securities

or

other

investments. 

Investments

measured

using

net

asset

value

per

share

as

a

practical

expedient

for

fair

value

and

that

are

not

publicly

available-for-sale are

not

categorized

within

the

fair

value

hierarchy. 

Valuation

of

International

Securities 

—

The

Portfolios

value

certain

foreign

securities

traded

on

foreign

exchanges

that

close

prior

to

the

close

of

the

New

York

Stock

Exchange

using

a

fair

value

pricing

service. 

The

fair

value

pricing

service

uses

a

multi-factor

model

that

may

take

into

account

the

local

close,

relevant

general

and

sector

indices,

currency

fluctuation,

prices

of

other

securities

(including

ADRs,

New

York

registered

shares,

and

ETFs),

and

futures,

as

applicable,

to

determine

price

adjustments

for

each

security

in

order

to

reflect

the

effects

of

post-closing

events. 

The

Board

has

authorized

the

Adviser

to

make

fair

valuation

determinations

pursuant

to

policies

approved

by

the

Board.

Foreign

Currency

Translation

—

The

accounting

records

of

each

Portfolio

are

maintained

in

U.S.

dollars.

Securities

and

other

assets

and

liabilities

that

are

denominated

in

foreign

currencies

are

translated

into

U.S.

dollars

at

the

daily

closing

rates

of

exchange.

Foreign

currency

amounts

related

to

the

purchase

or

sale

of

securities

and

income

and

expenses

are

translated

at

the

exchange

rate

on

the

transaction

date.

Net

realized

and

unrealized

currency

gains

and

losses

are

recorded

from

closed currency

contracts,

disposition

of foreign

currencies,

exchange

gains

or

losses

between

the

trade

date

and

settlement

date

on

securities

transactions,

and

other

translation

gains

or

losses

on

dividends,

interest

income

and

Notes

to

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

291

foreign

withholding

taxes.

The

Portfolios

do

not

separately

report

the

effect

of

changes

in

foreign

exchange

rates

from

changes

in

prices

on

securities

held.

Such

changes

are

included

in

net

realized

and

unrealized

gain

or

loss

from

investments

in

the

Statement

of

Operations.

For

federal

income

tax

purposes,

the

Portfolios

treat

the

effect

of

changes

in

foreign

exchange

rates

arising

from

actual

foreign

currency

transactions

and

the

changes

in

foreign

exchange

rates

between

the

trade

date

and

settlement

date

as

ordinary

income.

Foreign

Denominated

Investments

—

Foreign

denominated

assets

and

currency

contracts

may

involve

more

risks

than

domestic

transactions

including

currency

risk,

political

and

economic

risk,

regulatory

risk,

and

market

risk.

Certain

Portfolios

may

also

invest

in

securities

of

companies

located

in

emerging

markets.

Future

economic

or

political

developments

could

adversely

affect

the

liquidity

or

value,

or

both,

of

such

securities.

Derivative

Financial

Instruments

—

Each

of

the

Portfolios,

with

the

exception

of

the Money

Market

Portfolio,

may

invest

in

derivatives,

a

category

that

includes

options,

futures,

swaps,

foreign

currency

forward

contracts and

hybrid

instruments.

Derivatives

are

financial

instruments

whose

value

is

derived

from

another

security,

an

index

or

a

currency.

Each

applicable Portfolio

may

use

derivatives

for

hedging

(attempting

to

offset

a

potential

loss

in

one

position

by

establishing

an

interest

in

an

opposite

position).

This

includes

the

use

of

currency-based

derivatives

to

manage

the

risk

of

its

positions

in foreign

securities.

Each

applicable

Portfolio

may

also

use

derivatives

for

replication

of

a

certain

asset

class

or

speculation

(investing

for

potential

income

or

capital

gain).

These

contracts

may

be

transacted

on

an

exchange

or

over-the-counter

("OTC").

A

derivative

may

incur

a

mark

to

market

loss

if

the

value

of

the

derivative

decreases

due

to

an

unfavorable

change

in

the

market

rates

or

values

of

the

underlying

derivative.

Losses

can

also

occur

if

the

counterparty

does

not

perform

under

the

derivative.

A

Portfolio’s

risk

of

loss

from

the

counterparty

credit

risk

on

OTC

derivatives

is

generally

limited

to

the

aggregate

unrealized

gain

netted

against

any

collateral

held

by

such

Portfolio.

With

exchange

traded

futures

and

centrally

cleared

swaps,

there

is

minimal

counterparty

credit

risk

to

the

Portfolios

because

the

exchange’s

clearinghouse,

as

counterparty

to

such

derivatives,

guarantees

against

a

possible

default.

The

clearinghouse

stands

between

the

buyer

and

the

seller

of

the

derivative;

thus,

the

credit

risk

is

limited

to

the

failure

of

the

clearinghouse.

However,

credit

risk

still

exists

in

exchange

traded

futures

and

centrally

cleared

swaps

with

respect

to

initial

and

variation

margin

that

is

held

in

a

broker’s

customer

accounts.

While

brokers

are

required

to

segregate

customer

margin

from

their

own

assets,

in

the

event

that

a

broker

becomes

insolvent

or

goes

into

bankruptcy

and

at

that

time

there

is

a

shortfall

in

the

aggregate

amount

of

margin

held

by

the

broker

for

all

its

clients,

U.S.

bankruptcy

laws

will

typically

allocate

that

shortfall

on

a

pro-rata

basis

across

all

of the

broker’s

customers,

potentially

resulting

in

losses to

the

Portfolios.

Using

derivatives

to

hedge

can

guard

against

potential

risks,

but

it

also

adds

to

the

Portfolios’

expenses

and

can

eliminate

some

opportunities

for

gains.

In

addition,

a

derivative

used

for

mitigating

exposure

or

replication

may

not

accurately

track

the

value

of

the

underlying

asset.

Another

risk

with

derivatives

is

that

some

types

can

amplify

a

gain

or

loss,

potentially

earning

or

losing

substantially

more

money

than

the

actual

cost

of

the

derivative.

In

order

to

define

their

contractual

rights

and

to

secure

rights

that

will

help

the

Portfolios

mitigate

their

counterparty

risk,

the

Portfolios

may

enter

into

an

International

Swaps

and

Derivatives

Association,

Inc.

Master

Agreement

(“ISDA

Master

Agreement”)

or

similar

agreement

with derivative

contract

counterparties.

An

ISDA

Master

Agreement

is

a

bilateral

agreement

between

a

Portfolio

and

a

counterparty

that

governs

OTC

derivatives

and

foreign

exchange

contracts

and

typically

includes,

among

other

things,

collateral

posting

terms

and

netting

provisions

in

the

event

of

a

default

and/

or

termination

event.

Under

an

ISDA

Master

Agreement,

each

Portfolio

may,

under

certain

circumstances,

offset

with

the

counterparty

certain

derivatives'

payables

and/or

receivables

with

collateral

held

and/or

posted

and

create

one

single

net

payment.

The

provisions

of

the

ISDA

Master

Agreement

typically

permit

a

single

net

payment

in

the

event

of

a

default

(close-out

netting)

including

the

bankruptcy

or

insolvency

of

the

counterparty.

Note,

however,

that

bankruptcy

and

insolvency

laws

of

a

particular

jurisdiction

may

impose

restrictions

on

or

prohibitions

against

the

right

of

offset

in

bankruptcy,

insolvency

or

other

events.

Collateral

and

margin

requirements

vary

by

type

of

derivative.

Margin

requirements

are

established

by

the

broker

or

clearinghouse

for

exchange

traded

and

centrally

cleared

derivatives

(futures,

options,

and

centrally

cleared

swaps).

Brokers

can

ask

for

margining

in

excess

of

the

minimum requirements

in

certain

situations.

Collateral

terms

are

contract

specific

for

OTC

derivatives

(foreign

currency

exchange

contracts,

options,

and swaps).

For

derivatives

traded

under

an

ISDA

Master

Agreement,

the

collateral

requirements

are

typically

calculated

by

netting

the

mark

to

market

amount

for

each

transaction

under

such

agreement

and

comparing

that

amount

to

the

value

of

any

collateral

currently

pledged

by

the

Portfolio

and

the

counterparty.

For

financial

reporting

purposes,

non-cash

collateral

that

has

been

pledged

to

cover

obligations

of

the

Portfolio

has

been

noted

in

the

Schedule

of

Investments.

To

the

extent

amounts

due

to a

Portfolio

from

its

counterparties

are

not

fully

collateralized,

contractually

or

otherwise,

the

Portfolio

bears

the

risk

of

loss

from

counterparty

nonperformance.

The

Portfolios

attempt

to

mitigate

counterparty

risk

by

only

entering

into

agreements

with

counterparties

that

Notes

to

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

292

they

believe

have

the

financial

resources

to

honor

their

obligations

and

by

monitoring

the

financial

stability

of

those

counterparties.

Options

—

All

Portfolios,

with

the

exception

of

the Money

Market

Portfolio,

may

buy

put

and

call

options

and

write

put

and

covered

call

options.

The

Portfolios

intend

to

use

such

derivative

instruments

as

hedges

to

facilitate

buying

or

selling

securities

or

to

provide

protection

against

adverse

movements

in

security

prices

or

interest

rates.

The

Portfolios

may

also

enter

into

options

contracts

to

protect

against

adverse

foreign

exchange

rate

fluctuations.

Option

contracts

are

valued

daily

and

unrealized

appreciation

or

depreciation

is

recorded.

A

Portfolio

will

realize

a

gain

or

loss

upon

expiration

or

closing

of

the

option

transaction.

When

an

option

is

exercised,

the

proceeds

upon

sale

for

a

written

call

option

or

the

cost

of

a

security

for

purchased

put

and

call

options

is

adjusted

by

the

amount

of

premium

received

or

paid.

Buying

put

options

tends

to

decrease

a

Portfolio’s

exposure

to

the

underlying

security

while

buying

call

options

tends

to

increase

a

Portfolio’s

exposure

to

the

underlying

security.

The

risk

associated

with

purchasing

put

and

call

options

is

limited

to

the

premium

paid.

There

is

no

significant

counterparty

risk

on

exchange-traded

options

as

the

exchange

guarantees

the

contract

against

default.

Writing

put

options

tends

to

increase

a

Portfolio’s

exposure

to

the

underlying

security

while

writing

call

options

tends

to

decrease

a

Portfolio’s

exposure

to

the

underlying

security.

The

writer

of

an

option

has

no

control

over

whether

the

underlying

security

may

be

bought

or

sold,

and

therefore

bears

the

market

risk

of

an

unfavorable

change

in

the

price

of

the

underlying

security.

The

counterparty

risk

for

purchased

options

arises

when

the

Portfolio

has

purchased

an

option,

exercises

that

option,

and

the

counterparty

doesn’t

buy

from

the

Portfolio

or

sell

to

the

Portfolio

the

underlying

asset

as

required.

In

the

case

where

the

Portfolio

has

written

an

option,

the

Portfolio

doesn’t

have

counterparty

risk.

Counterparty

risk

on

purchased

over-

the-counter

options

is

partially

mitigated

by

the

Portfolio’s

collateral

posting

requirements.

As

the

option

increases

in

value

to

the

Portfolio,

the

Portfolio

receives

collateral

from

the

counterparty.

Risks

of

loss

may

exceed

amounts

recognized

on

the

Statement

of

Assets

and

Liabilities.

Futures

Contracts

—

All

Portfolios, with

the

exception

of

the

Money

Market

Portfolio, may

use

futures

contracts

to

manage

the

exposure

to

interest

rate

and

market

or

currency

fluctuations.

Gains

or

losses

on

futures

contracts

can

offset

changes

in

the

yield

of

securities.

When

a

futures

contract

is

opened,

cash

or

other

investments

equal

to

the

required

“initial

margin

deposit”

are

held

on

deposit

with

and

pledged

to

the

broker.

Additional

securities

held

by

the

Portfolios

may

be

earmarked

to

cover

open

futures

contracts. A

futures

contract’s

daily

change

in

value

(“variation

margin”)

is

either

paid

to

or

received

from

the

broker,

and

is

recorded

as

an

unrealized

gain

or

loss.

When

the

contract

is

closed,

realized

gain

or

loss

is

recorded

equal

to

the

difference

between

the

value

of

the

contract

when

opened

and

the

value

of

the

contract

when

closed.

Futures

contracts

involve,

to

varying

degrees,

risk

of

loss

in

excess

of

the

variation

margin

disclosed

in

the

Statement

of

Assets

and

Liabilities.

Exchange-traded

futures

have

no

significant

counterparty

risk

as

the

exchange

guarantees

the

contracts

against

default.

During

the period

ended

March

31,

2020,

Aggressive

Allocation

Portfolio,

Balanced

Income

Plus

Portfolio,

Diversified

Income

Plus

Portfolio, Government

Bond

Portfolio, Income

Portfolio, Limited

Maturity

Bond

Portfolio,

Moderate

Allocation

Portfolio,

Moderately

Aggressive

Allocation

Portfolio,

Moderately

Conservative

Allocation

Portfolio, and Opportunity

Income

Plus

Portfolio used

treasury

futures

to

manage

the

duration

and

yield

curve

exposure

of

the

respective

Portfolio

versus its

benchmark.

During

the period

ended

March

31,

2020,

Aggressive

Allocation

Portfolio,

Balanced

Income

Plus

Portfolio,

Diversified

Income

Plus

Portfolio,

Global

Stock

Portfolio, International

Allocation

Portfolio,

Large

Cap Index

Portfolio,

Low

Volatility

Equity

Portfolio,

Mid

Cap

Index

Portfolio,

Moderate

Allocation

Portfolio,

Moderately

Aggressive

Allocation

Portfolio,

Moderately

Conservative

Allocation

Portfolio,

Opportunity

Income

Plus

Portfolio,

and

Small

Cap

Index

Portfolio used

equity

futures

to

manage

exposure

to

the

equities

market.

During

the period

ended

March

31,

2020,

Aggressive

Allocation

Portfolio,

Balanced

Income

Plus

Portfolio,

Diversified

Income

Plus

Portfolio,

Global

Stock

Portfolio,

International

Allocation

Portfolio,

Moderate

Allocation

Portfolio,

Moderately

Aggressive

Allocation

Portfolio,

and

Moderately

Conservative

Allocation

Portfolio used foreign

exchange futures

to

hedge

currency

risk.

Foreign

Currency

Forward

Contracts 

—

In

connection

with

purchases

and

sales

of

securities

denominated

in

foreign

currencies,

all

Portfolios,

with

the

exception

of

the Money

Market

Portfolio,

may

enter

into

foreign

currency

forward

contracts.

Additionally,

the

Portfolios

may

enter

into

such

contracts

to mitigate

currency

and

counterparty

exposure

to

other

foreign-currency-denominated

investments.

These

contracts

are

recorded

at

value

and

the realized-

and

change

in unrealized-

foreign

exchange

gains

and

losses

are

included

in

the

Statement

of

Operations.

In

the

event

that

counterparties

fail

to

settle

these

forward

contracts,

the

Portfolios

could

be

exposed

to

foreign

currency

fluctuations.

Foreign

currency

contracts

are

valued

daily

and

unrealized

appreciation

or

depreciation

is

recorded

daily

as

the

difference

between

the

contract

exchange

rate

and

the

closing

forward

rate

applied

to

the

face

amount

of

the

contract.

A

realized

gain

or

loss

is

recorded

at

the

time

a

forward

contract

is

closed.

These

contracts

are

over-the-

Notes

to

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

293

counter

and a

Portfolio

is

exposed

to

counterparty

risk

equal

to

the

discounted

net

amount

of

payments

to

the

Portfolio.

During

the period ended March

31,

2020,

Partner

Healthcare

Portfolio used

foreign

currency

forward

contracts

in

order

to

hedge

unwanted

currency

exposure.

Swap

Agreements

—

All

Portfolios,

with

the

exception

of

the

Money

Market

Portfolio,

may enter

into

swap

transactions,

which

involve

swapping

one

or

more

investment

characteristics

of

a

security

or

a

basket

of

securities

with

another

party.

Such

transactions

include

market

risk,

risk

of

default

by

the

other

party

to

the

transaction,

risk

of

imperfect

correlation

and

manager

risk

and

may

involve

commissions

or

other

costs.

Swap

transactions

generally

do

not

involve

delivery

of

securities,

other

underlying

assets

or

principal.

Accordingly,

the

risk

of

loss

with

respect

to

swap

transactions

is

generally

limited

to

the

net

amount

of

payments

that

the

Portfolio

is

contractually

obligated

to

make,

or

in

the

case

of

the

counterparty

defaulting,

the

net

amount

of

payments

that

the

Portfolio

is

contractually

entitled

to

receive.

Risks

of

loss

may

exceed

amounts

recognized

on

the

Statement

of

Assets

and

Liabilities.

If

there

is

a

default

by

the

counterparty,

the

Portfolio

may

have

contractual

remedies

pursuant

to

the

agreements

related

to

the

transaction.

The

contracts

are

valued

daily

and

unrealized

appreciation

or

depreciation

is

recorded.

Swap

agreements

are

valued

at

the

clearinghouse

end

of

day

prices

as

furnished

by

an

independent

pricing

service.

The

pricing

service

takes

into

account

such

factors

as

swap

curves,

default

probabilities,

recent

trades,

recovery

rates

and

other

factors

it

deems

relevant

in

determining

valuations.

Daily

fluctuations

in

the

value

of

the

centrally

cleared

credit

default

contracts

are

recorded

in

variation

margin

in

the

Statement

of

Assets

and

Liabilities

and

recorded

as

unrealized

gain

or

loss. 

The

Portfolio

accrues

for

the

periodic

payment

and

amortizes

upfront

payments,

if

any,

on

swap

agreements

on

a

daily

basis

with

the

net

amount

recorded

as

realized

gains

or

losses

in

the

Statement

of

Operations.

Receipts

and

payments

received

or

made

as

a

result

of

a

credit

event

or

termination

of

the

contract

are

also

recognized

as

realized

gains

or

losses

in

the

Statement

of

Operations.

Collateral,

in

the

form

of

cash

or

securities,

may

be

required

to

be

held

with

the

Portfolio’s

custodian,

or

a

third

party,

in

connection

with

these

agreements.

Certain swap

agreements

are

over-the-

counter. In

these

types

of transactions,

the

Portfolio

is

exposed

to

counterparty

risk,

which

is

the

discounted

net

amount

of

payments

owed

to

the

Portfolio.

This

risk

is

partially

mitigated

by

the

Portfolio’s

collateral

posting

requirements.

As

the

swap

increases

in

value

to

the

Portfolio,

the

Portfolio

receives

collateral

from

the

counterparty. 

Certain

interest

rate

and

credit

default

index

swaps

must

be

cleared

through

a

clearinghouse

or

central

counterparty.

Credit

Default

Swaps

—

A

credit

default

swap

is

a

swap

agreement

between

two

parties

to

exchange

the

credit

risk

of

a

particular

issuer,

basket

of

securities

or

reference

entity.

In

a

credit

default

swap

transaction,

a

buyer

pays

periodic

fees

in

return

for

payment

by

the

seller

which

is

contingent

upon

an

adverse

credit

event

occurring

in

the

underlying

issuer

or

reference

entity.

The

seller

collects

periodic

fees

from

the

buyer

and

profits

if

the

credit

of

the

underlying

issuer

or

reference

entity

remains

stable

or

improves

while

the

swap

is

outstanding,

but

the

seller

in

a

credit

default

swap

contract

would

be

required

to

pay

the

amount

of

credit

loss,

determined

as

specified

in

the

agreement,

to

the

buyer

in

the

event

of

an

adverse

credit

event

in

the

reference

entity.

A

buyer

of

a

credit

default

swap

is

said

to

buy

protection

whereas

a

seller

of

a

credit

default

swap

is

said

to

sell

protection.

The

Portfolios

may

be

either

the

protection

buyer

or

the

protection

seller.

Certain

Portfolios

enter

into

credit

default

derivative

contracts

directly

through

credit

default

swaps

("CDS")

or

through

credit

default

swap

indices

("CDX

Indices").

CDX

Indices

are

static

pools

of

equally

weighted

credit

default

swaps

referencing

corporate

bonds

and/or

loans

designed

to increase

or

decrease diversified

credit

exposure

to

these

asset

classes.

Portfolios

sell

default

protection

and

assume

long-risk

positions

in

individual

credits

or

indices.

Index

positions

are

entered

into

to

gain

exposure

to

the

corporate

bond

and/or

loan

markets

in

a

cost-efficient

and

diversified

structure.

In

the

event

that

a

position

defaults,

by

going

into

bankruptcy

and

failing

to

pay

interest

or

principal

on

borrowed

money,

within

any

given

CDX

Index

held,

the

maximum

potential

amount

of

future

payments

required

would

be

equal

to

the

pro-rata

share

of

that

position

within

the

index

based

on

the

notional

amount

of

the

index.

In

the

event

of

a

default

under

a

CDS

contract,

the

maximum

potential

amount

of

future

payments

would

be

the

notional

amount.

Portfolios

buy

default

protection

in

order

to reduce

their

overall

credit

exposure

to

the

corporate

bond

and/or

loan

markets

in

a

cost-efficient

and

diversified

structure. 

If

a

default

event

as

specified

in

the

CDS

reference

entity

agreement

occurs,

the

Portfolio

has

the

option

to

receive

a

cash

payment

in

exchange

for

the

credit

loss

of

the

reference

entity

obligation

as

of

the

date

of

the

credit

event. A

realized

gain

or

loss

is

recorded

upon

a

default

event

or

the

maturity

or

termination

of

the

CDS

agreement.   

For

CDS,

the

default

events

could

be

bankruptcy

and

failing

to

pay

interest

or

principal

on

borrowed

money

or

a

restructuring.

A

restructuring

is

a

change

in

the

underlying

obligations

which

could

include

a

reduction

in

interest

or

Notes

to

Schedule

of

Investments

as

of

March

31,

2020

(unaudited)

294

principal,

maturity

extension or

subordination

to

other

obligations.

During

the period

ended

March

31,

2020,

High

Yield

Portfolio,

Income

Portfolio,

Limited

Maturity

Bond

Portfolio,

Moderate

Allocation

Portfolio,

Moderately

Aggressive

Allocation

Portfolio,

and

Moderately

Conservative

Allocation

Portfolio used

CDX

indices

(comprised

of

credit

default

swaps)

to

help

manage

credit

risk

exposure

within

the

Portfolio.

Total

Return

Swaps

—

A

total

return

swap

is

a

swap

agreement

between

two

parties

to

exchange

the

total

return of

a

particular reference

asset. A

total

return

swap

involves

commitments

to

pay

interest

in

exchange

for

a

market

linked

return

based

on

a

notional

amount. 

To

the

extent

that

the

total

return

of

the

security,

group

of

securities,

or

index

underlying

the

transactions

exceeds

or

falls

short

of

the

offsetting

interest

obligation,

the

Portfolios

will

receive

a

payment

from

or

make

a

payment

to

the

counterparty.  The

Portfolios

may

take

a

"long"

or

"short"

position

with

respect

to

the

underlying

referenced

asset.

       For

financial

reporting

purposes,

the

Portfolios

do

not

offset

derivative

assets

and

derivative

liabilities

that

are

subject

to

netting

arrangements

in

the

Statement

of

Assets

and

Liabilities.

    Additional

information

for

the

Portfolio's

policy

regarding

valuation

of

investments

and

other

significant

accounting

policies

can

be

obtained

by

referring

to

the

Portfolio's

most

recent

annual

or

semiannual

shareholder

report.