UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-04642
Virtus Variable Insurance Trust
(Exact name of registrant as specified in charter)
One Financial Plaza
Hartford, CT 06103-4506
(Address of principal executive offices) (Zip code)
Jennifer S. Fromm, Esq.
Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
One Financial Plaza
Hartford, CT 06103-4506
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800)367-5877
Date of fiscal year end: December 31
Date of reporting period: December 31, 2018
FormN-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
Virtus Duff & Phelps International Series |
Virtus Duff & Phelps Real Estate Securities Series |
Virtus KAR Capital Growth Series |
Virtus KAR Small-Cap Growth Series |
Virtus KAR Small-Cap Value Series* |
Virtus Newfleet Multi-Sector Intermediate Bond Series |
Virtus Rampart Enhanced Core Equity Series |
Virtus Strategic Allocation Series |
Message to Shareholders | 1 | |
Disclosure of Fund Expenses | 2 | |
Key Investment Terms | 4 | |
Series | Series Summary | Schedule of Investments |
Virtus Duff & Phelps International Series (“Duff & Phelps International Series”) | 7 | 28 |
Virtus Duff & Phelps Real Estate Securities Series (“Duff & Phelps Real Estate Security Series”) | 9 | 30 |
Virtus KAR Capital Growth Series (“KAR Capital Growth Series”) | 12 | 31 |
Virtus KAR Small-Cap Growth Series (“KAR Small-Cap Growth Series”) | 15 | 33 |
Virtus KAR Small-Cap Value Series (“KAR Small-Cap Value Series”) | 17 | 34 |
Virtus Newfleet Multi-Sector Intermediate Bond Series (“Newfleet Multi-Sector Intermediate Bond Series”) | 19 | 35 |
Virtus Rampart Enhanced Core Equity Series (“Rampart Enhanced Core Equity Series”) | 21 | 47 |
Virtus Strategic Allocation Series (“Strategic Allocation Series”) | 24 | 54 |
Statements of Assets and Liabilities | 64 | |
Statements of Operations | 67 | |
Statements of Changes in Net Assets | 70 | |
Financial Highlights | 73 | |
Notes to Financial Statements | 77 | |
Report of Independent Registered Public Accounting Firm | 91 | |
Tax Information Notice | 92 | |
Consideration of Advisory and Subadvisory Agreements by the Board of Trustees | 93 | |
Fund Management Tables | 97 |
President, Virtus Mutual Funds
Beginning Account Value July 1, 2018 | Ending Account value December 31, 2018 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps International Series | ||||||||
Class A | $ 1,000.00 | $ 835.60 | $ 1.18 | $ 5.46 | ||||
Class I | 1,000.00 | 836.50 | 0.93 | 4.30 | ||||
Duff & Phelps Real Estate Securities Series | ||||||||
Class A | 1,000.00 | 926.70 | 1.16 | 5.63 | ||||
Class I | 1,000.00 | 927.40 | 0.91 | 4.42 | ||||
KAR Capital Growth Series | ||||||||
Class A | 1,000.00 | 846.30 | 1.03 | 4.79 | ||||
KAR Small-Cap Growth Series | ||||||||
Class A | 1,000.00 | 896.80 | 1.19 | 5.69 | ||||
Class I | 1,000.00 | 897.90 | 0.94 | 4.50 | ||||
KAR Small-Cap Value Series | ||||||||
Class A | 1,000.00 | 851.70 | 1.20 | 5.60 | ||||
Newfleet Multi-Sector Intermediate Bond Series | ||||||||
Class A | 1,000.00 | 991.70 | 0.93 | 4.67 | ||||
Class I | 1,000.00 | 993.30 | 0.68 | 3.42 | ||||
Rampart Enhanced Core Equity Series | ||||||||
Class A | 1,000.00 | 912.40 | 0.98 | 4.72 | ||||
Strategic Allocation Series | ||||||||
Class A | 1,000.00 | 903.30 | 0.98 | 4.70 |
* | Expenses are equal to the relevant Series’ annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (184) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Beginning Account Value July 1, 2018 | Ending Account value December 31, 2018 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps International Series | ||||||||
Class A | $ 1,000.00 | $ 1,019.26 | $ 1.18 | $ 6.01 | ||||
Class I | 1,000.00 | 1,020.52 | 0.93 | 4.74 | ||||
Duff & Phelps Real Estate Securities Series | ||||||||
Class A | 1,000.00 | 1,019.36 | 1.16 | 5.90 | ||||
Class I | 1,000.00 | 1,020.62 | 0.91 | 4.63 | ||||
KAR Capital Growth Series | ||||||||
Class A | 1,000.00 | 1,020.01 | 1.03 | 5.24 | ||||
KAR Small-Cap Growth Series | ||||||||
Class A | 1,000.00 | 1,019.21 | 1.19 | 6.06 | ||||
Class I | 1,000.00 | 1,020.47 | 0.94 | 4.79 | ||||
KAR Small-Cap Value Series | ||||||||
Class A | 1,000.00 | 1,019.16 | 1.20 | 6.11 | ||||
Newfleet Multi-Sector Intermediate Bond Series | ||||||||
Class A | 1,000.00 | 1,020.52 | 0.93 | 4.74 | ||||
Class I | 1,000.00 | 1,021.78 | 0.68 | 3.47 | ||||
Rampart Enhanced Core Equity Series | ||||||||
Class A | 1,000.00 | 1,020.27 | 0.98 | 4.99 | ||||
Strategic Allocation Series | ||||||||
Class A | 1,000.00 | 1,020.27 | 0.98 | 4.99 |
* | Expenses are equal to the relevant Series’ annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (184) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
■ | For the fiscal year ended December 31, 2018, the Series’ Class A shares at NAV returned -16.67% and Class I shares at NAV returned -16.44%. For the same period, the MSCI EAFE® Index (net), which serves as the Series’ broad-based and style-specific benchmark appropriate for comparison, returned -13.79%. |
Financials | 26% |
Industrials | 19 |
Information Technology | 14 |
Energy | 9 |
Consumer Discretionary | 8 |
Materials | 7 |
Consumer Staples | 6 |
Other | 11 |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A Shares at NAV2 | -16.67% | -3.94% | 4.52% | —% | — | |||||||
Class I Shares at NAV2 | -16.44 | -3.70 | — | -3.07 | 4/30/13 | |||||||
MSCI EAFE® Index (net) | -13.79 | 0.53 | 6.32 | 2.333 | — | |||||||
Series Expense Ratios4: Class A Shares: Gross 1.21%, Net 1.18%; Class I Shares: Gross 0.96%, Net 0.93%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | The since inception index return is from the inception date of Class I shares. |
4 | The expense ratios of the Series, are set forth according to the prospectus for the Series effective April 30, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expenses: Expenses reduced by a contractual fee waiver, in effect through April 30, 2020. Gross Expenses: Do not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with underlying funds. |
■ | For the fiscal year ended December 31, 2018, the Series’ Class A shares at NAV returned -6.53% and Class I shares at NAV returned -6.36%. For the same period, the FTSE NAREIT Equity REITs Index, which serves as the Series’ broad-based and style-specific benchmark appropriate for comparison, returned -4.62%. |
Apartments | 21% |
Office | 19 |
Industrial | 12 |
Data Centers | 9 |
Lodging / Resorts | 8 |
Self Storage | 8 |
Shopping Centers | 7 |
Other (includes short-term investment) | 16 |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A Shares at NAV2 | -6.53% | 7.35% | 11.82% | —% | — | |||||||
Class I Shares at NAV2 | -6.36 | 7.61 | — | 4.62 | 4/30/13 | |||||||
FTSE NAREIT Equity REITs Index | -4.62 | 7.90 | 12.12 | 4.713 | — | |||||||
Series Expense Ratios4: Class A Shares: Gross 1.21%, Net 1.16%; Class I Shares: Gross 0.96%, Net 0.91%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | The since inception index return is from the inception date of Class I shares. |
4 | The expense ratios of the Series, are set forth according to the prospectus for the Series effective April 30, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expenses: Expenses reduced by a contractual fee waiver, in effect through April 30, 2020. Gross Expenses: Do not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with underlying funds. |
■ | For the fiscal year ended December 31, 2018, the Series’ Class A shares at NAV returned -7.25%. For the same period, the Russell 1000® Growth Index, which serves as the Series’ broad- based and style-specific benchmark appropriate for comparison, returned -1.51%. |
Consumer Discretionary | 27% |
Information Technology | 24 |
Communication Services | 14 |
Health Care | 10 |
Industrials | 8 |
Financials | 8 |
Consumer Staples | 3 |
Other | 6 |
Total | 100% |
1 Year | 5 Years | 10 Years | ||||||
Class A Shares at NAV2 | -7.25% | 8.84% | 12.34% | |||||
Russell 1000® Growth Index | -1.51 | 10.40 | 15.29 | |||||
Series Expense Ratios3: Class A Shares: Gross 1.13%, Net 1.03%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | The expense ratios of the Series, are set forth according to the prospectus for the Series effective April 30, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expenses: Expenses reduced by a contractual fee waiver, in effect through April 30, 2020. Gross Expenses: Do not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with underlying funds. |
■ | For the fiscal year ended December 31, 2018, the Series’ Class A shares at NAV returned 11.66% and Class I shares at NAV returned 11.95%. For the same period, the Russell 2000® Growth Index, which serves as the Series’ broad-based and style-specific benchmark appropriate for comparison, returned -9.31%. |
Information Technology | 23% |
Communication Services | 19 |
Industrials | 18 |
Financials | 18 |
Consumer Discretionary | 9 |
Health Care | 6 |
Consumer Staples | 5 |
Other (includes securities lending collateral) | 2 |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A Shares at NAV2 | 11.66% | 16.05% | 18.25% | —% | — | |||||||
Class I Shares at NAV2 | 11.95 | 16.35 | — | 19.07 | 4/30/13 | |||||||
Russell 2000® Growth Index | -9.31 | 5.13 | 13.52 | 9.073 | — | |||||||
Series Expense Ratios4: Class A Shares: Gross 1.31%, Net 1.20%; Class I Shares: Gross 1.06%, Net 0.95%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | The since inception index return is from the inception date of Class I shares. |
4 | The expense ratios of the Series, are set forth according to the prospectus for the Series effective April 30, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expenses: Expenses reduced by a contractual fee waiver, in effect through April 30, 2020. Gross Expenses: Do not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with underlying funds. |
■ | For the fiscal year ended December 31, 2018, the Series’ Class A shares at NAV returned -15.88%. For the same period, the Russell 2000® Value Index, which serves as the Series’ broad-based and style-specific benchmark appropriate for comparison, returned -12.86%. |
Industrials | 23% |
Financials | 18 |
Information Technology | 16 |
Consumer Discretionary | 11 |
Real Estate | 11 |
Consumer Staples | 7 |
Materials | 5 |
Other | 9 |
Total | 100% |
1 Year | 5 Years | 10 Years | ||||||
Class A Shares at NAV2 | -15.88% | 5.14% | 11.24% | |||||
Russell 2000® Value Index | -12.86 | 3.61 | 10.40 | |||||
Series Expense Ratios3: Class A Shares: Gross 1.34%, Net 1.10%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | The expense ratios of the Series, are set forth according to the prospectus for the Series effective December 1, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expenses: Expenses reduced by a contractual fee waiver, in effect through April 30, 2020. Gross Expenses: Do not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with underlying funds. |
■ | For the fiscal year ended December 31, 2018, the Series’ Class A shares at NAV returned -2.66% and Class I shares at NAV returned -2.51%. For the same period, the Bloomberg Barclays U.S. Aggregate Bond Index, which serves as the broad-based and style-specific benchmark index appropriate for comparison, returned 0.01%. |
Securities:There is a greater level of credit risk and price volatility involved with high yield securities than investment grade securities.
Corporate Bonds and Notes | 44% | |
Financials | 13% | |
Energy | 7 | |
Materials | 5 | |
All other Corporate Bonds and Notes | 19 | |
Mortgage-Backed Securities | 17 | |
Leveraged Loans | 12 | |
Asset-Backed Securities | 10 | |
Foreign Government Securities | 7 | |
U.S. Government Securities | 5 | |
Preferred Stocks | 2 | |
Other (includes securities lending collateral) | 3 | |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A Shares at NAV2 | -2.66% | 2.70% | 8.26% | —% | — | |||||||
Class I Shares at NAV2,3 | -2.51 | 2.94 | — | 2.43 | 4/30/13 | |||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01 | 2.52 | 3.48 | 1.694 | — | |||||||
Series Expense Ratios5: Class A Shares: Gross 0.99%, Net 0.97%; Class I Shares: Gross 0.73%, Net 0.72%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | Total Return for the report period presented in the table differs from the return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV at which shareholder transactions were processed. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and semiannual report. |
4 | The since inception index return is from the inception date of Class I shares. |
5 | The expense ratios of the Series, are set forth according to the prospectus for the Series effective April 30, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expenses: Expenses reduced by a contractual fee waiver, in effect through April 30, 2020. Gross Expenses: Do not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with underlying funds. |
■ | For the fiscal year ended December 31, 2018, the Series’ Class A shares at NAV returned -12.86%. For the same period, the S&P 500® Index, which serves as the broad-based and style-specific benchmark appropriate for comparison, returned -4.38%. |
Information Technology | 19% |
Health Care | 17 |
Financials | 13 |
Communication Services | 9 |
Consumer Discretionary | 9 |
Industrials | 9 |
Consumer Staples | 8 |
Other (includes short-term investment and written options) | 16 |
Total | 100% |
1 Year | 5 Years | 10 Years | ||||||
Class A Shares at NAV2 | -12.86% | 3.20% | 9.27% | |||||
S&P 500® Index | -4.38 | 8.49 | 13.12 | |||||
Series Expense Ratios3: Class A Shares: Gross 1.17%, Net 0.99%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | The expense ratios of the Series, are set forth according to the prospectus for the Series effective April 30, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expenses: Expenses reduced by a contractual fee waiver, in effect through April 30, 2020. Gross Expenses: Do not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with underlying funds. |
■ | For the fiscal year ended December 31, 2018, the Series’ Class A shares at NAV returned -5.89%. For the same period, the Bloomberg Barclays U.S. Aggregate Bond Index, a broad-based fixed income index, returned 0.01%. The MSCI EAFE® Index (net), a broad-based international equity index, returned -13.79%. The Russell 1000® Growth Index, a broad-based U.S. equity index, returned -1.51%. The Strategic Allocation Series linked benchmark for the Series, the Series’ style-specific benchmark appropriate for comparison, returned -2.49%. |
Securities:There is a greater level of credit risk and price volatility involved with high yield securities than investment grade securities.
Common Stocks | 57% | |
Consumer Discretionary | 13% | |
Information Technology | 12 | |
Financials | 7 | |
All other Common Stock sectors | 25 | |
Corporate Bonds and Notes | 18 | |
Financials | 7 | |
Real Estate | 2 | |
Health Care | 1 | |
All other Corporate Bonds and Notes sectors | 8 | |
Mortgage-Backed Securities | 10 | |
Asset-Backed Securities | 4 | |
U.S. Government Securities | 4 | |
Municipal Bonds | 3 | |
Leveraged Loans | 2 | |
Other (includes Securities Lending Collateral) | 2 | |
Total | 100% |
1 Year | 5 Years | 10 Years | ||||||
Class A Shares at NAV2 | -5.89% | 2.80% | 8.24% | |||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01 | 2.52 | 3.48 | |||||
MSCI EAFE® Index (net) | -13.79 | 0.53 | 6.32 | |||||
Russell 1000® Growth Index | -1.51 | 10.40 | 15.29 | |||||
Strategic Allocation Series Linked Benchmark | -2.49 | 6.52 | 9.57 | |||||
Series Expense Ratios3: Class A Shares: Gross 1.07%, Net 0.99%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | The expense ratios of the Series, are set forth according to the prospectus for the Series effective April 30, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expenses: Expenses reduced by a contractual fee waiver, in effect through April 30, 2020. Gross Expenses: Do not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with underlying funds. |
Shares | Value | ||
Preferred Stock—3.0% | |||
Consumer Staples—3.0% | |||
Cia Brasileira de Distribuicao, 1.370% (Brazil) | 199,200 | $4,162 | |
Total Preferred Stock (Identified Cost $4,429) | 4,162 | ||
Common Stocks—94.9% | |||
Communication Services—2.9% | |||
BT Group plc (United Kingdom) | 1,305,241 | 3,961 | |
Consumer Discretionary—8.3% | |||
Carnival plc (United Kingdom) | 59,949 | 2,875 | |
Ctrip.com International Ltd. ADR (China)(1) | 102,503 | 2,774 | |
Sony Corp. (Japan) | 118,220 | 5,745 | |
11,394 | |||
Consumer Staples—3.0% | |||
Mowi ASA (Norway) | 192,691 | 4,072 | |
Energy—8.5% | |||
Eni SpA (Italy) | 265,338 | 4,180 | |
Equinor ASA (Norway) | 204,435 | 4,344 | |
TechnipFMC plc (France) | 156,001 | 3,155 | |
11,679 | |||
Financials—25.9% | |||
Banco Bradesco SA ADR (Brazil) | 463,438 | 4,583 | |
BOC Hong Kong Holdings Ltd. (Hong Kong) | 953,500 | 3,544 | |
China Construction Bank Corp. Class H (China) | 5,546,000 | 4,575 | |
Credit Agricole SA (France) | 298,065 | 3,220 | |
DBS Group Holdings Ltd. (Singapore) | 303,710 | 5,279 | |
ORIX Corp. (Japan) | 320,490 | 4,695 | |
Ping An Insurance Group Co. of China Ltd. Class H (China) | 396,500 | 3,502 | |
Standard Life Aberdeen plc (United Kingdom) | 750,612 | 2,456 | |
UBS Group AG Registered Shares (Switzerland) | 299,638 | 3,730 | |
35,584 | |||
Health Care—4.8% | |||
Bayer AG Registered Shares (Germany) | 44,003 | 3,053 | |
Novartis AG Registered Shares (Switzerland) | 41,316 | 3,533 | |
6,586 | |||
Industrials—18.2% | |||
Airbus SE (France) | 43,898 | 4,223 | |
Ashtead Group plc (United Kingdom) | 223,521 | 4,664 | |
CK Hutchison Holdings Ltd. (Hong Kong) | 429,000 | 4,120 | |
easyJet plc (United Kingdom) | 255,249 | 3,595 |
Shares | Value | ||
Industrials—continued | |||
Golden Ocean Group Ltd. (Norway) | 649,750 | $3,934 | |
Nidec Corp. (Japan) | 40,235 | 4,579 | |
25,115 | |||
Information Technology—13.6% | |||
ASML Holding NV (Netherlands) | 31,099 | 4,887 | |
Broadcom, Inc. (United States) | 23,243 | 5,910 | |
Hitachi Ltd. (Japan) | 159,643 | 4,276 | |
SAP SE (Germany) | 37,129 | 3,698 | |
18,771 | |||
Materials—7.2% | |||
Anhui Conch Cement Co. Ltd. Class H (China) | 1,228,500 | 5,961 | |
Glencore plc (Switzerland) | 1,080,587 | 4,013 | |
9,974 | |||
Utilities—2.5% | |||
Veolia Environnement SA (France) | 166,853 | 3,432 | |
Total Common Stocks (Identified Cost $135,549) | 130,568 | ||
Total Long-Term Investments—97.9% (Identified Cost $139,978) | 134,730 | ||
TOTAL INVESTMENTS—97.9% (Identified Cost $139,978) | 134,730 | ||
Other assets and liabilities, net—2.1% | 2,916 | ||
NET ASSETS—100.0% | $137,646 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
Country Weightings (Unaudited)† | |
Japan | 14% |
United Kingdom | 13 |
China | 13 |
France | 10 |
Norway | 9 |
Switzerland | 8 |
Brazil | 7 |
Other | 26 |
Total | 100% |
† % of total investments as of December 31, 2018. |
Total Value at December 31, 2018 | Level 1 Quoted Prices | ||
Equity Securities: | |||
Common Stocks | $130,568 | $130,568 | |
Preferred Stock | 4,162 | 4,162 | |
Total Investments | $134,730 | $134,730 |
Shares | Value | ||
Common Stocks—99.0% | |||
Real Estate Investment Trusts—99.0% | |||
Data Centers—9.2% | |||
CoreSite Realty Corp. | 4,776 | $416 | |
CyrusOne, Inc. | 34,940 | 1,848 | |
Digital Realty Trust, Inc. | 35,055 | 3,735 | |
5,999 | |||
Health Care—4.4% | |||
Healthcare Realty Trust, Inc. | 26,031 | 740 | |
Healthcare Trust of America, Inc. Class A | 84,500 | 2,139 | |
2,879 | |||
Industrial/Office—30.6% | |||
Industrial—11.7% | |||
Duke Realty Corp. | 101,698 | 2,634 | |
Prologis, Inc. | 85,970 | 5,048 | |
7,682 | |||
Office—18.9% | |||
Alexandria Real Estate Equities, Inc. | 27,767 | 3,200 | |
Cousins Properties, Inc. | 237,050 | 1,873 | |
Douglas Emmett, Inc. | 58,474 | 1,996 | |
Highwoods Properties, Inc. | 22,667 | 877 | |
Kilroy Realty Corp. | 25,564 | 1,607 | |
Paramount Group, Inc. | 118,860 | 1,493 | |
Vornado Realty Trust | 21,900 | 1,358 | |
12,404 | |||
Total Industrial/Office | 20,086 | ||
Lodging/Resorts—8.2% | |||
Host Hotels & Resorts, Inc. | 146,304 | 2,439 | |
RLJ Lodging Trust | 90,453 | 1,483 | |
Ryman Hospitality Properties, Inc. | 11,000 | 734 | |
Summit Hotel Properties, Inc. | 76,400 | 743 | |
5,399 | |||
Residential—25.4% | |||
Apartments—17.2% | |||
Apartment Investment & Management Co. Class A | 52,400 | 2,299 | |
AvalonBay Communities, Inc. | 17,354 | 3,020 | |
Equity Residential | 24,231 | 1,600 | |
Essex Property Trust, Inc. | 6,905 | 1,693 | |
Mid-America Apartment Communities, Inc. | 27,500 | 2,632 | |
11,244 | |||
Manufactured Homes—4.8% | |||
Equity LifeStyle Properties, Inc. | 5,392 | 524 | |
Sun Communities, Inc. | 25,491 | 2,593 | |
3,117 | |||
Single Family Homes—3.4% | |||
American Homes 4 Rent Class A | 113,800 | 2,259 | |
Total Residential | 16,620 | ||
Retail—13.1% | |||
Free Standing—1.0% | |||
Spirit Realty Capital, Inc. | 18,200 | 642 |
Shares | Value | ||
Retail—continued | |||
Regional Malls—5.6% | |||
Simon Property Group, Inc. | 21,801 | $3,662 | |
Shopping Centers—6.5% | |||
Brixmor Property Group, Inc. | 101,002 | 1,484 | |
Federal Realty Investment Trust | 3,100 | 366 | |
Regency Centers Corp. | 41,750 | 2,450 | |
4,300 | |||
Total Retail | 8,604 | ||
Self Storage—8.1% | |||
CubeSmart | 77,800 | 2,232 | |
Extra Space Storage, Inc. | 29,548 | 2,673 | |
Public Storage | 2,000 | 405 | |
5,310 | |||
Total Common Stocks (Identified Cost $51,800) | 64,897 | ||
Total Long-Term Investments—99.0% (Identified Cost $51,800) | 64,897 | ||
Short-Term Investment—0.4% | |||
Money Market Mutual Fund—0.4% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 2.292%)(1) | 280,019 | 280 | |
Total Short-Term Investment (Identified Cost $280) | 280 | ||
TOTAL INVESTMENTS—99.4% (Identified Cost $52,080) | 65,177 | ||
Other assets and liabilities, net—0.6% | 395 | ||
NET ASSETS—100.0% | $65,572 |
Footnote Legend: | |
(1) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Total Value at December 31, 2018 | Level 1 Quoted Prices | ||
Equity Securities: | |||
Common Stocks | $64,897 | $64,897 | |
Short-Term Investment | 280 | 280 | |
Total Investments | $65,177 | $65,177 |
Shares | Value | ||
Convertible Preferred Stock—1.3% | |||
Information Technology—1.3% | |||
BDC Payments Holdings, Inc.(1)(2)(3) | 290,935 | $2,417 | |
Total Convertible Preferred Stock (Identified Cost $2,417) | 2,417 | ||
Common Stocks—97.0% | |||
Communication Services—13.5% | |||
Activision Blizzard, Inc. | 55,290 | 2,575 | |
Facebook, Inc. Class A(2) | 74,362 | 9,748 | |
Netflix, Inc.(2) | 28,500 | 7,628 | |
Tencent Holdings Ltd. ADR | 136,510 | 5,388 | |
25,339 | |||
Consumer Discretionary—26.7% | |||
Alibaba Group Holding Ltd. Sponsored ADR(2) | 72,018 | 9,871 | |
Amazon.com, Inc.(2) | 10,330 | 15,515 | |
Ctrip.com International Ltd. ADR(2) | 72,050 | 1,950 | |
Home Depot, Inc. (The) | 17,638 | 3,031 | |
Las Vegas Sands Corp. | 89,702 | 4,669 | |
McDonald’s Corp. | 17,960 | 3,189 | |
MercadoLibre, Inc. | 6,710 | 1,965 | |
NIKE, Inc. Class B | 76,095 | 5,642 | |
Ross Stores, Inc. | 49,197 | 4,093 | |
49,925 | |||
Consumer Staples—3.1% | |||
Monster Beverage Corp.(2) | 60,365 | 2,971 | |
Philip Morris International, Inc. | 43,031 | 2,873 | |
5,844 | |||
Energy—2.9% | |||
Cabot Oil & Gas Corp. | 131,753 | 2,945 | |
Pioneer Natural Resources Co. | 18,660 | 2,454 | |
5,399 | |||
Financials—8.1% | |||
Bank of America Corp. | 243,060 | 5,989 | |
Charles Schwab Corp. (The) | 83,417 | 3,464 | |
MarketAxess Holdings, Inc. | 13,420 | 2,836 | |
Progressive Corp. (The) | 25,540 | 1,541 | |
SEI Investments Co. | 29,140 | 1,346 | |
15,176 | |||
Health Care—9.5% | |||
Bluebird Bio, Inc.(2) | 10,910 | 1,082 | |
Danaher Corp. | 33,077 | 3,411 | |
HealthEquity, Inc.(2) | 59,420 | 3,544 | |
Illumina, Inc.(2) | 15,620 | 4,685 | |
Zoetis, Inc. | 60,474 | 5,173 | |
17,895 | |||
Industrials—8.2% | |||
Caterpillar, Inc. | 27,880 | 3,543 |
Shares | Value | ||
Industrials—continued | |||
CoStar Group, Inc.(2) | 9,530 | $3,215 | |
Kansas City Southern | 28,860 | 2,755 | |
Rockwell Automation, Inc. | 10,840 | 1,631 | |
Roper Technologies, Inc. | 15,512 | 4,134 | |
15,278 | |||
Information Technology—22.6% | |||
Accenture plc Class A | 22,421 | 3,162 | |
Amphenol Corp. Class A | 69,344 | 5,618 | |
Avalara, Inc.(2) | 80,080 | 2,494 | |
Gartner, Inc.(2) | 17,610 | 2,251 | |
NVIDIA Corp. | 36,210 | 4,834 | |
Paycom Software, Inc.(2) | 43,642 | 5,344 | |
Trade Desk, Inc. (The) Class A(2) | 25,320 | 2,939 | |
Visa, Inc. Class A | 70,168 | 9,258 | |
Workday, Inc. Class A(2) | 39,740 | 6,346 | |
42,246 | |||
Materials—2.4% | |||
Ecolab, Inc. | 30,804 | 4,539 | |
Total Common Stocks (Identified Cost $112,625) | 181,641 | ||
Total Long-Term Investments—98.3% (Identified Cost $115,042) | 184,058 | ||
TOTAL INVESTMENTS—98.3% (Identified Cost $115,042) | 184,058 | ||
Other assets and liabilities, net—1.7% | 3,102 | ||
NET ASSETS—100.0% | $187,160 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments. |
(2) | Non-income producing. |
(3) | Restricted security. |
Country Weightings (Unaudited)† | |
United States | 89% |
China | 9 |
Switzerland | 2 |
Total | 100% |
† % of total investments as of December 31, 2018. |
Total Value at December 31, 2018 | Level 1 Quoted Prices | Level 3 Significant Unobservable Inputs | |||
Equity Securities: | |||||
Common Stocks | $181,641 | $181,641 | $— | ||
Convertible Preferred Stock | 2,417 | — | 2,417 | ||
Total Investments | $184,058 | $181,641 | $2,417 |
Convertible Preferred Stock | |
Investments in Securities | |
Balance as of December 31, 2017: | $— |
Purchases | 2,417 |
Balance as of December 31, 2018 | $2,417 |
Shares | Value | ||
Common Stocks—98.0% | |||
Communication Services—18.8% | |||
Auto Trader Group plc | 800,000 | $4,638 | |
Autohome, Inc. ADR | 88,470 | 6,921 | |
Rightmove plc | 770,000 | 4,242 | |
15,801 | |||
Consumer Discretionary—9.3% | |||
Fox Factory Holding Corp.(1) | 97,555 | 5,743 | |
Ollie’s Bargain Outlet Holdings, Inc.(1) | 31,670 | 2,106 | |
7,849 | |||
Consumer Staples—5.2% | |||
Chefs’ Warehouse, Inc. (The)(1) | 101,207 | 3,237 | |
PriceSmart, Inc. | 18,500 | 1,093 | |
4,330 | |||
Financials—17.4% | |||
FactSet Research Systems, Inc. | 11,300 | 2,262 | |
Interactive Brokers Group, Inc. Class A | 84,930 | 4,641 | |
MarketAxess Holdings, Inc. | 9,350 | 1,976 | |
Moelis & Co. Class A | 79,270 | 2,725 | |
Morningstar, Inc. | 27,340 | 3,003 | |
14,607 | |||
Health Care—6.4% | |||
National Research Corp. | 76,240 | 2,908 | |
U.S. Physical Therapy, Inc. | 24,000 | 2,456 | |
5,364 | |||
Industrials—17.8% | |||
AAON, Inc. | 91,200 | 3,198 | |
Copart, Inc.(1) | 74,700 | 3,569 | |
HEICO Corp. Class A | 38,938 | 2,453 | |
Old Dominion Freight Line, Inc. | 28,200 | 3,482 | |
Omega Flex, Inc. | 41,699 | 2,255 | |
14,957 | |||
Information Technology—23.1% | |||
ANSYS, Inc.(1) | 14,470 | 2,068 | |
Aspen Technology, Inc.(1) | 39,980 | 3,286 | |
Blackline, Inc.(1) | 24,045 | 985 | |
DocuSign, Inc.(1) | 63,075 | 2,528 | |
Ellie Mae, Inc.(1)(2) | 41,800 | 2,626 | |
Mesa Laboratories, Inc. | 7,035 | 1,466 | |
NVE Corp. | 35,200 | 3,081 | |
Paycom Software, Inc.(1) | 27,550 | 3,374 | |
19,414 | |||
Total Common Stocks (Identified Cost $46,039) | 82,322 |
Shares | Value | ||
Total Long-Term Investments—98.0% (Identified Cost $46,039) | $82,322 | ||
Securities Lending Collateral—1.6% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 2.292%)(3)(4) | 1,350,675 | 1,351 | |
Total Securities Lending Collateral (Identified Cost $1,351) | 1,351 | ||
TOTAL INVESTMENTS—99.6% (Identified Cost $47,390) | 83,673 | ||
Other assets and liabilities, net—0.4% | 301 | ||
NET ASSETS—100.0% | $83,974 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | All or a portion of security is on loan. |
(3) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(4) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings (Unaudited)† | |
United States | 81% |
United Kingdom | 11 |
China | 8 |
Total | 100% |
† % of total investments as of December 31, 2018. |
Total Value at December 31, 2018 | Level 1 Quoted Prices | ||
Equity Securities: | |||
Common Stocks | $82,322 | $82,322 | |
Securities Lending Collateral | 1,351 | 1,351 | |
Total Investments | $83,673 | $83,673 |
Shares | Value | ||
Common Stocks—97.7% | |||
Communication Services—4.1% | |||
Cinemark Holdings, Inc. | 79,600 | $2,850 | |
Consumer Discretionary—10.8% | |||
Cheesecake Factory, Inc. (The) | 81,750 | 3,557 | |
Sally Beauty Holdings, Inc.(1) | 136,852 | 2,333 | |
Thor Industries, Inc. | 32,100 | 1,669 | |
7,559 | |||
Consumer Staples—6.9% | |||
National Beverage Corp. | 33,250 | 2,386 | |
WD-40 Co. | 13,500 | 2,474 | |
4,860 | |||
Energy—2.6% | |||
Core Laboratories N.V. | 30,000 | 1,790 | |
Financials—17.9% | |||
Bank of Hawaii Corp. | 36,970 | 2,489 | |
First Financial Bankshares, Inc. | 43,120 | 2,488 | |
Houlihan Lokey, Inc. | 69,090 | 2,543 | |
Primerica, Inc. | 27,728 | 2,709 | |
RLI Corp. | 32,850 | 2,266 | |
12,495 | |||
Health Care—2.4% | |||
Anika Therapeutics, Inc.(1) | 50,130 | 1,685 | |
Industrials—22.4% | |||
Graco, Inc. | 56,510 | 2,365 | |
Landstar System, Inc. | 24,030 | 2,299 | |
Lincoln Electric Holdings, Inc. | 20,010 | 1,578 | |
RBC Bearings, Inc.(1) | 27,300 | 3,579 | |
SiteOne Landscape Supply, Inc.(1) | 57,254 | 3,164 | |
Watsco, Inc. | 19,050 | 2,651 | |
15,636 | |||
Information Technology—15.3% | |||
American Software, Inc. Class A | 88,100 | 921 | |
Badger Meter, Inc. | 62,966 | 3,098 | |
Brooks Automation, Inc. | 99,720 | 2,611 | |
Cass Information Systems, Inc. | 46,264 | 2,448 | |
Jack Henry & Associates, Inc. | 12,590 | 1,593 | |
10,671 | |||
Materials—4.6% | |||
Scotts Miracle-Gro Co. (The) | 52,042 | 3,198 |
Shares | Value | ||
Real Estate—10.7% | |||
HFF, Inc. Class A | 62,500 | $2,072 | |
MGM Growth Properties LLC Class A | 137,040 | 3,619 | |
RE/MAX Holdings, Inc. Class A | 58,100 | 1,787 | |
7,478 | |||
Total Common Stocks (Identified Cost $54,098) | 68,222 | ||
Total Long-Term Investments—97.7% (Identified Cost $54,098) | 68,222 | ||
TOTAL INVESTMENTS—97.7% (Identified Cost $54,098) | 68,222 | ||
Other assets and liabilities, net—2.3% | 1,639 | ||
NET ASSETS—100.0% | $69,861 |
Abbreviation: | |
LLC | Limited Liability Company |
Footnote Legend: | |
(1) | Non-income producing. |
Total Value at December 31, 2018 | Level 1 Quoted Prices | ||
Equity Securities: | |||
Common Stocks | $68,222 | $68,222 | |
Total Investments | $68,222 | $68,222 |
Par Value | Value | ||
U.S. Government Securities—5.1% | |||
U.S. Treasury Note | |||
1.375%, 1/15/20 | $1,250 | $1,234 | |
1.375%, 4/30/20 | 2,215 | 2,181 | |
1.875%, 2/28/22 | 310 | 304 | |
2.375%, 1/31/23 | 2,255 | 2,245 | |
Total U.S. Government Securities (Identified Cost $5,932) | 5,964 | ||
Municipal Bonds—0.7% | |||
Michigan—0.2% | |||
Tobacco Settlement Finance Authority Revenue Taxable Series A 7.309%, 6/1/34 | 180 | 176 | |
Virginia—0.5% | |||
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 640 | 604 | |
Total Municipal Bonds (Identified Cost $817) | 780 | ||
Foreign Government Securities—7.2% | |||
Argentine Republic | |||
6.875%, 1/26/27 | 290 | 221 | |
Series NY 8.280%, 12/31/33 | 128 | 100 | |
Bolivarian Republic of Venezuela | |||
9.375%, 1/13/34(1)(2) | 295 | 81 | |
REGS 7.650%, 4/21/25(1)(2) | 825 | 188 | |
Dominican Republic | |||
144A 5.950%, 1/25/27(3) | 100 | 100 | |
144A 6.000%, 7/19/28(3) | 250 | 249 | |
Federal Republic of Nigeria 144A 6.500%, 11/28/27(3) | 315 | 278 | |
Federative Republic of Brazil, Notas do Tesouro Nacional | |||
Series F 10.000%, 1/1/23 | 870BRL | 235 | |
Series F 10.000%, 1/1/25 | 170BRL | 46 | |
Kingdom of Morocco 144A 5.500%, 12/11/42(3) | 300 | 306 | |
Papua New Guinea Republic 144A 8.375%, 10/4/28(3) | 200 | 201 | |
Provincia de Buenos Aires 144A 7.875%, 6/15/27(3) | 465 | 335 | |
Republic of Angola 144A 9.375%, 5/8/48(3) | 200 | 187 | |
Republic of Chile 5.500%, 8/5/20 | 231,500CLP | 343 | |
Republic of Colombia 4.375%, 3/21/23 | 1,438,000COP | 419 | |
Republic of Costa Rica 144A 7.000%, 4/4/44(3) | 315 | 267 | |
Republic of Ecuador 144A 8.875%, 10/23/27(3) | 275 | 237 | |
Republic of Indonesia 144A 8.500%, 10/12/35(3) | 570 | 767 |
Par Value | Value | ||
Republic of Ivory Coast 144A 6.375%, 3/3/28(3) | $255 | $229 | |
Republic of Philippines 9.500%, 2/2/30 | 430 | 632 | |
Republic of South Africa | |||
5.650%, 9/27/47 | 390 | 347 | |
Series 2023 7.750%, 2/28/23 | 3,700ZAR | 254 | |
Republic of Turkey | |||
4.875%, 10/9/26 | 275 | 243 | |
6.000%, 3/25/27 | 280 | 263 | |
Russian Federation Series 6216 6.700%, 5/15/19 | 25,760RUB | 369 | |
Sultanate of Oman 144A 5.375%, 3/8/27(3) | 455 | 398 | |
Ukraine | |||
144A 7.750%, 9/1/23(3) | 170 | 153 | |
144A 7.750%, 9/1/26(3) | 425 | 362 | |
United Mexican States | |||
4.150%, 3/28/27 | 275 | 266 | |
Series M 6.500%, 6/9/22 | 6,713MXN | 321 | |
Total Foreign Government Securities (Identified Cost $9,998) | 8,397 | ||
Mortgage-Backed Securities—16.6% | |||
Agency—3.2% | |||
Federal National Mortgage Association | |||
Pool #AT2016 3.000%, 4/1/43 | 373 | 367 | |
Pool #AT7621 3.000%, 5/1/43 | 698 | 687 | |
Pool #AS4992 3.500%, 5/1/45 | 225 | 226 | |
Pool #AS5696 3.500%, 8/1/45 | 1,086 | 1,090 | |
Pool #AS9393 4.000%, 4/1/47 | 125 | 128 | |
Pool #MA3058 4.000%, 7/1/47 | 97 | 99 | |
Pool #MA3088 4.000%, 8/1/47 | 773 | 788 | |
Pool #MA3121 4.000%, 9/1/47 | 283 | 289 | |
3,674 | |||
Non-Agency—13.4% | |||
Agate Bay Mortgage Trust 2016-3, A5 144A 3.500%, 8/25/46(3)(4) | 238 | 237 | |
American Homes 4 Rent Trust | |||
2014-SFR2, C 144A 4.705%, 10/17/36(3) | 435 | 455 | |
2015-SFR2, C 144A 4.691%, 10/17/45(3) | 340 | 352 | |
2015-SFR1, A 144A 3.467%, 4/17/52(3) | 317 | 315 | |
Ameriquest Mortgage Securities, Inc. 2003-10, AF6 5.179%, 11/25/33(4) | 3 | 3 |
Par Value | Value | ||
Non-Agency—continued | |||
Ameriquest Mortgage Securities, Inc. Pass-Through Certificates, 2003-AR3, M4 (1 month LIBOR - 5.850%) 3.596%, 6/25/33(4) | $278 | $274 | |
Angel Oak Mortgage Trust I LLC 2018-2, A1 144A 3.674%, 7/27/48(3)(4) | 90 | 90 | |
Banc of America Funding Trust 2005-1, 1A1 5.500%, 2/25/35 | 83 | 82 | |
Bank of America (Countrywide) Asset-Backed Certificates 2005-1, AF5A 4.951%, 7/25/35(4) | 294 | 301 | |
Bank of America (Merrill Lynch - Countrywide) Alternative Loan Trust 2004-22CB, 1A1 6.000%, 10/25/34 | 132 | 137 | |
Bayview Opportunity Master Fund IVa Trust 2016-SPL1, B1 144A 4.250%, 4/28/55(3) | 275 | 279 | |
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A 4.250%, 6/28/53(3)(4) | 130 | 132 | |
Caesars Palace Las Vegas Trust 2017-VICI, C 144A 4.138%, 10/15/34(3) | 215 | 216 | |
CIT Home Equity Loan Trust 2003-1, A5 5.480%, 7/20/34 | 130 | 131 | |
Citigroup Mortgage Loan Trust, Inc. 2015-A, A1 144A 3.500%, 6/25/58(3)(4) | 125 | 125 | |
Colony Starwood Homes Trust 2016-2A, C (1 month LIBOR + 2.150%) 144A 4.605%, 12/17/33(3)(4) | 248 | 249 | |
COLT Mortgage Loan Trust Funding LLC | |||
2017-1, A3 144A 3.074%, 5/27/47(3)(4) | 115 | 114 | |
2018-1, A1 144A 2.930%, 2/25/48(3)(4) | 154 | 153 | |
Credit Suisse Mortgage Capital Trust 2014-IVR2, A2 144A 3.753%, 4/25/44(3)(4) | 105 | 103 | |
Deephaven Residential Mortgage Trust | |||
2017-1A, A2 144A 2.928%, 12/26/46(3)(4) | 29 | 29 | |
2018-1A, A1 144A 2.976%, 12/25/57(3)(4) | 126 | 125 | |
Ellington Financial Mortgage Trust 2018-1, A1FX 144A 4.140%, 10/25/58(3)(4) | 174 | 174 | |
GAHR Commercial Mortgage Trust 2015-NRF, CFX 144A 3.382%, 12/15/34(3)(4) | 290 | 288 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(3)(4) | 154 | 153 | |
2018-1, A23 144A 3.500%, 11/25/57(3)(4) | 261 | 257 | |
2018-2, A41 144A 4.500%, 10/25/58(3)(4) | 170 | 172 | |
GSAA Home Equity Trust 2005-12, AF3W 4.999%, 9/25/35(4) | 95 | 95 | |
JPMorgan Chase (Bear Stearns) Adjustable Rate Mortgage Trust 2004-1, 21A1 4.113%, 4/25/34(4) | 115 | 115 | |
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust 2004-CB1, 5A 5.000%, 6/25/19 | 1 | 1 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, 2A2 144A 3.500%, 6/25/29(3)(4) | 138 | 138 |
Par Value | Value | ||
Non-Agency—continued | |||
2014-1, 2A12 144A 3.500%, 1/25/44(3)(4) | $192 | $189 | |
2016-1, M2 144A 3.750%, 4/25/45(3)(4) | 268 | 268 | |
2016-2, M2 144A 3.750%, 12/25/45(3)(4) | 337 | 337 | |
2017-5, A1 144A 3.176%, 10/26/48(3)(4) | 410 | 408 | |
2017-4, A3 144A 3.500%, 11/25/48(3)(4) | 272 | 267 | |
2018-8, A3 144A 4.000%, 1/25/49(3)(4) | 480 | 481 | |
MASTR Alternative Loan Trust 2005-5, 2A3 5.500%, 7/25/25 | 104 | 103 | |
MASTR Specialized Loan Trust 2005-3, A2 144A 5.704%, 11/25/35(3) | 114 | 116 | |
MetLife Securitization Trust 2017-1A, M1 144A 3.693%, 4/25/55(3)(4) | 150 | 150 | |
Mill City Mortgage Trust 2017-1, A1 144A 2.750%, 11/25/58(3)(4) | 115 | 113 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust 2013-C13, AS 4.266%, 11/15/46 | 125 | 129 | |
New Residential Mortgage Loan Trust | |||
2018-4A, A1S (1 month LIBOR + 0.750%) 144A 3.256%, 1/25/48(3)(4) | 374 | 372 | |
2014-1A, A 144A 3.750%, 1/25/54(3)(4) | 231 | 231 | |
2015-2A, A1 144A 3.750%, 8/25/55(3)(4) | 192 | 192 | |
2016-1A, A1 144A 3.750%, 3/25/56(3)(4) | 163 | 163 | |
2016-4A, B1A 144A 4.500%, 11/25/56(3)(4) | 286 | 296 | |
Oak Hill Advisors Residential Loan Trust 2017-NPL2, A1 144A 3.000%, 7/25/57(3) | 187 | 183 | |
OBX Trust 2018-EXP2, 1A1 144A 4.000%, 11/25/48(3)(4) | 291 | 290 | |
One Market Plaza Trust 2017-1MKT, A 144A 3.614%, 2/10/32(3) | 260 | 261 | |
Pretium Mortgage Credit Partners I LLC 2017-NPL5, A1 144A 3.327%, 12/30/32(3)(4) | 90 | 89 | |
Progress Residential Trust | |||
2018-SFR1, B 144A 3.484%, 3/17/35(3) | 270 | 265 | |
2018-SFR2, B 144A 3.841%, 8/17/35(3) | 545 | 542 | |
Residential Asset Mortgage Products Trust | |||
2004-SL1, A8 6.500%, 11/25/31 | 18 | 19 | |
2005-SL2, A4 7.500%, 2/25/32 | 144 | 129 | |
Residential Asset Securitization Trust 2005-A1, A3 5.500%, 4/25/35 | 204 | 208 | |
RETL 2018-RVP, C (1 month LIBOR + 2.050%) 144A 4.505%, 3/15/33(3)(4) | 150 | 150 | |
Sequoia Mortgage Trust 2013-8, B1 3.529%, 6/25/43(4) | 183 | 180 | |
Structured Adjustable Rate Mortgage Loan Trust 2004-4, 3A1 4.369%, 4/25/34(4) | 111 | 111 | |
Sutherland Commercial Mortgage Loans 2017-SBC6, A 144A 3.192%, 5/25/37(3)(4) | 52 | 51 |
Par Value | Value | ||
Non-Agency—continued | |||
Towd Point Mortgage Trust | |||
2015-1, A2 144A 3.250%, 10/25/53(3)(4) | $255 | $253 | |
2016-1, M1 144A 3.500%, 2/25/55(3)(4) | 135 | 134 | |
2015-6, M1 144A 3.750%, 4/25/55(3)(4) | 130 | 130 | |
2015-5, A2 144A 3.500%, 5/25/55(3)(4) | 315 | 314 | |
2017-1, M1 144A 3.750%, 10/25/56(3)(4) | 135 | 133 | |
2018-4, A1 144A 3.000%, 6/25/58(3)(4) | 432 | 420 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(3)(4) | 190 | 190 | |
2015-2, 1M1 144A 3.250%, 11/25/60(3)(4) | 855 | 834 | |
Vericrest Opportunity Loan Trust LXIV LLC 2017-NP11, A1 144A 3.375%, 10/25/47(3) | 277 | 274 | |
Vericrest Opportunity Loan Trust LXIX LLC 2018-NPL5, A1A 144A 4.213%, 8/25/48(3) | 383 | 383 | |
Vericrest Opportunity Loan Trust LXXI LLC 2018-NPL7, A1A 144A 3.967%, 9/25/48(3)(4) | 278 | 276 | |
Verus Securitization Trust | |||
2018-1, A1 144A 2.929%, 2/25/48(3)(4) | 178 | 177 | |
2018-3, A1 144A 4.108%, 10/25/58(3)(4) | 292 | 290 | |
Wells Fargo Commercial Mortgage Trust 2015-LC20, B 3.719%, 4/15/50 | 150 | 145 | |
15,541 | |||
Total Mortgage-Backed Securities (Identified Cost $19,338) | 19,215 | ||
Asset-Backed Securities—9.3% | |||
Automobiles—5.9% | |||
ACC Trust 2018-1, B 144A 4.820%, 5/20/21(3) | 295 | 296 | |
American Credit Acceptance Receivables Trust | |||
2018-1, C 144A 3.550%, 4/10/24(3) | 400 | 400 | |
2018-4, C 144A 3.970%, 1/13/25(3) | 355 | 356 | |
Capital Auto Receivables Asset Trust 2017-1, D 144A 3.150%, 2/20/25(3) | 340 | 339 | |
CarNow Auto Receivables Trust 2016-1A, D 144A 7.340%, 11/15/21(3) | 325 | 328 | |
CPS Auto Receivables Trust 2018-C, D 144A 4.400%, 6/17/24(3) | 310 | 314 | |
DT Auto Owner Trust 2018-1A, C 144A 3.470%, 12/15/23(3) | 335 | 336 | |
Exeter Automobile Receivables Trust | |||
2015-2A, C 144A 3.900%, 3/15/21(3) | 313 | 314 | |
2018-1A, C 144A 3.030%, 1/17/23(3) | 410 | 407 |
Par Value | Value | ||
Automobiles—continued | |||
2018-4A, D 144A 4.350%, 9/16/24(3) | $365 | $370 | |
Flagship Credit Auto Trust 2016-3, D 144A 3.890%, 11/15/22(3) | 400 | 402 | |
Foursight Capital Automobile Receivables Trust 2017-1, B 144A 3.050%, 12/15/22(3) | 320 | 318 | |
GLS Auto Receivables Trust | |||
2017-1A, B 144A 2.980%, 12/15/21(3) | 405 | 404 | |
2018-1A, B 144A 3.520%, 8/15/23(3) | 410 | 409 | |
2018-3A, C 144A 4.180%, 7/15/24(3) | 455 | 458 | |
Hertz Vehicle Financing II LP 2016-4A, A 144A 2.650%, 7/25/22(3) | 405 | 396 | |
Tesla Auto Lease Trust 2018-A, D 144A 3.300%, 5/20/20(3) | 340 | 339 | |
Tricolor Auto Securitization Trust 2018-2A, B 144A 4.760%, 2/15/22(3) | 300 | 303 | |
Veros Automobile Receivables Trust 2018-1, B 144A 4.050%, 2/15/24(3) | 300 | 302 | |
6,791 | |||
Other—3.3% | |||
Arby’s Funding LLC 2015-1A, A2 144A 4.969%, 10/30/45(3) | 359 | 366 | |
AXIS Equipment Finance Receivables IV LLC 2018-1A, A2 144A 3.240%, 12/20/23(3) | 335 | 334 | |
DB Master Finance LLC 2017-1A, A2I 144A 3.629%, 11/20/47(3) | 337 | 325 | |
Diamond Resorts Owner Trust 2017-1A, A 144A 3.270%, 10/22/29(3) | 177 | 176 | |
Drug Royalty II LP 2 2014-1, A2 144A 3.484%, 7/15/23(3) | 99 | 99 | |
HOA Funding LLC 2014-1A, A2 144A 4.846%, 8/20/44(3) | 370 | 369 | |
Lendmark Funding Trust 2018-2A, A 144A 4.230%, 4/20/27(3) | 360 | 366 | |
OneMain Financial Issuance Trust 2018-1A, A 144A 3.300%, 3/14/29(3) | 335 | 335 | |
Oportun Funding VIII LLC 2018-A, A 144A 3.610%, 3/8/24(3) | 335 | 332 | |
Prosper Marketplace Issuance Trust 2017-2A, B 144A 3.480%, 9/15/23(3) | 340 | 340 | |
Regional Management Issuance Trust 2018-2, A 144A 4.560%, 1/18/28(3) | 295 | 297 | |
TGIF Funding LLC 2017-1A, A2 144A 6.202%, 4/30/47(3) | 257 | 257 | |
Upstart Securitization Trust 2018-1, B 144A 3.887%, 8/20/25(3) | 265 | 264 | |
3,860 | |||
Student Loan—0.1% | |||
SoFi Professional Loan Program LLC 2016-A, A2 144A 2.760%, 12/26/36(3) | 115 | 113 | |
Total Asset-Backed Securities (Identified Cost $10,750) | 10,764 | ||
Par Value | Value | ||
Corporate Bonds and Notes—43.6% | |||
Communication Services—3.7% | |||
America Movil SAB de C.V. 6.450%, 12/5/22 | $20 | $90 | |
AT&T, Inc. | |||
5.250%, 3/1/37 | 65 | 64 | |
4.800%, 6/15/44 | 265 | 238 | |
5.650%, 2/15/47 | 135 | 135 | |
Charter Communications Operating LLC | |||
4.500%, 2/1/24 | 190 | 190 | |
4.908%, 7/23/25 | 340 | 338 | |
Cincinnati Bell, Inc. 144A 7.000%, 7/15/24(3) | 275 | 227 | |
Clear Channel Worldwide Holdings, Inc. | |||
Series A 7.625%, 3/15/20 | 210 | 206 | |
Series B 7.625%, 3/15/20 | 65 | 63 | |
Comcast Corp. | |||
3.950%, 10/15/25 | 160 | 162 | |
4.150%, 10/15/28 | 78 | 79 | |
CSC Holdings LLC 144A 7.500%, 4/1/28(3) | 200 | 199 | |
Digicel Group Ltd. 144A 8.250%, 9/30/20(3) | 345 | 233 | |
Discovery Communications LLC 3.950%, 3/20/28 | 325 | 302 | |
DISH DBS Corp. | |||
5.875%, 7/15/22 | 125 | 115 | |
7.750%, 7/1/26 | 105 | 87 | |
Frontier Communications Corp. | |||
8.500%, 4/15/20 | 110 | 97 | |
7.625%, 4/15/24 | 265 | 136 | |
144A 8.500%, 4/1/26(3) | 110 | 96 | |
McGraw-Hill Global Education Holdings LLC Senior Unsecured Notes 144A 7.875%, 5/15/24(3) | 170 | 133 | |
Meredith Corp. 144A 6.875%, 2/1/26(3) | 145 | 142 | |
Sprint Spectrum Co. LLC 144A 5.152%, 3/20/28(3) | 200 | 196 | |
Sprint Spectrum Co., LLC 144A 3.360%, 9/20/21(3) | 137 | 136 | |
Verizon Communications, Inc. | |||
4.125%, 3/16/27 | 395 | 396 | |
(3 month LIBOR + 1.100%) 3.716%, 5/15/25(4) | 190 | 184 | |
4,244 | |||
Consumer Discretionary—3.7% | |||
Beazer Homes USA, Inc. | |||
6.750%, 3/15/25 | 100 | 86 | |
5.875%, 10/15/27 | 170 | 134 | |
Boyd Gaming Corp. 6.000%, 8/15/26 | 65 | 61 | |
Bunge Ltd. Finance Corp. 4.350%, 3/15/24 | 310 | 304 | |
Caesars Resort Collection LLC 144A 5.250%, 10/15/25(3) | 215 | 185 | |
Dollar Tree, Inc. 4.000%, 5/15/25 | 189 | 182 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
Downstream Development Authority of The Quapaw Tribe of Oklahoma 144A 10.500%, 2/15/23(3) | $75 | $74 | |
Eldorado Resorts, Inc. 144A 6.000%, 9/15/26(3) | 75 | 71 | |
frontdoor, Inc. 144A 6.750%, 8/15/26(3) | 155 | 147 | |
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24(3) | 200 | 203 | |
GLP Capital LP 5.250%, 6/1/25 | 185 | 184 | |
Graham Holdings Co. 144A 5.750%, 6/1/26(3) | 285 | 286 | |
Hilton Domestic Operating Co., Inc. 144A 5.125%, 5/1/26(3) | 280 | 269 | |
Horton (D.R.), Inc. 4.750%, 2/15/23 | 260 | 263 | |
Lear Corp. 3.800%, 9/15/27 | 405 | 370 | |
Lennar Corp. 4.750%, 11/29/27 | 230 | 207 | |
M/I Homes, Inc. 5.625%, 8/1/25 | 180 | 165 | |
MGM Resorts International 5.750%, 6/15/25 | 240 | 232 | |
Tenneco, Inc. 5.000%, 7/15/26 | 270 | 208 | |
Vista Outdoor, Inc. 5.875%, 10/1/23 | 235 | 214 | |
Weekley Homes LLC 6.625%, 8/15/25 | 215 | 197 | |
William Lyon Homes, Inc. 6.000%, 9/1/23 | 285 | 256 | |
4,298 | |||
Consumer Staples—1.5% | |||
Albertsons’s Cos LLC 5.750%, 3/15/25 | 125 | 109 | |
Anheuser-Busch Cos LLC 144A 3.650%, 2/1/26(3) | 210 | 199 | |
Bacardi Ltd. 144A 4.700%, 5/15/28(3) | 320 | 308 | |
BAT Capital Corp. 3.557%, 8/15/27 | 275 | 244 | |
CVS Health Corp. 4.300%, 3/25/28 | 390 | 382 | |
Kronos Acquisition Holdings, Inc. 144A 9.000%, 8/15/23(3) | 240 | 184 | |
Sigma Finance Netherlands BV 144A 4.875%, 3/27/28(3) | 295 | 281 | |
1,707 | |||
Energy—6.9% | |||
Alta Mesa Holdings LP 7.875%, 12/15/24 | 135 | 84 | |
Anadarko Finance Co. 7.500%, 5/1/31 | 160 | 189 | |
Anadarko Petroleum Corp. 6.600%, 3/15/46 | 200 | 221 | |
Blue Racer Midstream LLC 144A 6.625%, 7/15/26(3) | 260 | 242 |
Par Value | Value | ||
Energy—continued | |||
Bristow Group, Inc. 144A 8.750%, 3/1/23(3)(5) | $105 | $75 | |
Callon Petroleum Co. 6.125%, 10/1/24 | 213 | 198 | |
Cheniere Corpus Christi Holdings LLC 7.000%, 6/30/24 | 260 | 274 | |
Cheniere Energy Partners LP 144A 5.625%, 10/1/26(3) | 125 | 117 | |
Chesapeake Energy Corp. 8.000%, 6/15/27 | 215 | 181 | |
Citgo Holding, Inc. 144A 10.750%, 2/15/20(3) | 170 | 173 | |
Continental Resources, Inc. 4.500%, 4/15/23 | 145 | 143 | |
Denbury Resources, Inc. | |||
144A 9.250%, 3/31/22(3) | 169 | 156 | |
144A 7.500%, 2/15/24(3) | 125 | 101 | |
Ecopetrol S.A. 5.375%, 6/26/26 | 345 | 347 | |
Encana Corp. 8.125%, 9/15/30 | 155 | 195 | |
Energy Transfer LP 4.250%, 3/15/23 | 150 | 144 | |
Energy Transfer Partners LP 5.000%, 10/1/22 | 314 | 320 | |
EP Energy LLC | |||
6.375%, 6/15/23 | 155 | 49 | |
144A 8.000%, 11/29/24(3)(5) | 160 | 119 | |
144A 7.750%, 5/15/26(3) | 115 | 102 | |
Geopark Ltd. 144A 6.500%, 9/21/24(3) | 270 | 250 | |
HollyFrontier Corp. 5.875%, 4/1/26 | 360 | 364 | |
Jagged Peak Energy LLC 144A 5.875%, 5/1/26(3) | 265 | 246 | |
KazMunayGas National Co. JSC 144A 4.750%, 4/19/27(3) | 395 | 384 | |
Kinder Morgan, Inc. 7.750%, 1/15/32 | 400 | 480 | |
MPLX LP 4.000%, 3/15/28 | 148 | 139 | |
Nabors Industries, Inc. | |||
5.500%, 1/15/23 | 110 | 87 | |
5.750%, 2/1/25 | 125 | 95 | |
Odebrecht Offshore Drilling Finance Ltd. PIK Interest Capitalization 144A 7.720%, 12/1/26(3) | 400 | 104 | |
Odebrecht Oil & Gas Finance Ltd. 144A 0.000%,(3)(6)(7) | 60 | 1 | |
Petrobras Global Finance B.V. 7.375%, 1/17/27 | 655 | 673 | |
Petrobras Global Finance BV 5.999%, 1/27/28 | 180 | 170 | |
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(1)(3) | 650 | 98 | |
Petroleos Mexicanos | |||
6.500%, 6/2/41 | 220 | 182 | |
6.375%, 1/23/45 | 185 | 149 | |
Sanchez Energy Corp. 144A 7.250%, 2/15/23(3)(5) | 120 | 98 | |
State Oil Co. of the Azerbaijan Republic REGS 6.950%, 3/18/30(2) | 320 | 343 |
Par Value | Value | ||
Energy—continued | |||
Targa Resources Partners LP 144A 5.875%, 4/15/26(3) | $215 | $209 | |
Transocean, Inc. 144A 9.000%, 7/15/23(3) | 85 | 85 | |
USA Compression Partners LP 144A 6.875%, 4/1/26(3) | 215 | 206 | |
Vine Oil & Gas LP 144A 8.750%, 4/15/23(3) | 165 | 130 | |
Weatherford International Ltd. 9.875%, 2/15/24 | 65 | 40 | |
7,963 | |||
Financials—13.1% | |||
Acrisure LLC 144A 7.000%, 11/15/25(3) | 270 | 230 | |
AerCap Ireland Capital DAC 3.650%, 7/21/27 | 310 | 269 | |
AerCap Ireland Capital Ltd. 3.950%, 2/1/22 | 150 | 147 | |
Allstate Corp. (The) Series B 5.750%, 8/15/53(8) | 365 | 356 | |
Apollo Management Holdings LP 144A 4.000%, 5/30/24(3) | 440 | 440 | |
Athene Holding Ltd. 4.125%, 1/12/28 | 325 | 295 | |
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26(3) | 335 | 324 | |
Aviation Capital Group LLC 144A 3.500%, 11/1/27(3) | 355 | 321 | |
Banco Bilbao Vizcaya Argentaria Bancomer S.A. | |||
144A 6.500%, 3/10/21(3) | 425 | 441 | |
144A 5.125%, 1/18/33(3) | 275 | 239 | |
Banco de Credito e Inversiones 144A 3.500%, 10/12/27(3) | 415 | 373 | |
Banco Internacional del Peru SAA Interbank 144A 6.625%, 3/19/29(3) | 120 | 126 | |
Banco Santander Chile 144A 3.875%, 9/20/22(3) | 505 | 503 | |
Bank of America Corp. | |||
4.200%, 8/26/24 | 458 | 454 | |
(3 month LIBOR + 0.770%) 3.352%, 2/5/26(4) | 200 | 189 | |
Bank of China Ltd. 144A 5.000%, 11/13/24(3) | 390 | 402 | |
Bank of Montreal 3.803%, 12/15/32 | 326 | 302 | |
Brighthouse Financial, Inc. 3.700%, 6/22/27 | 410 | 347 | |
BrightSphere Investment Group plc 4.800%, 7/27/26 | 270 | 260 | |
Capital One Financial Corp. 3.750%, 7/28/26 | 405 | 371 | |
Development Bank of Kazakhstan JSC 144A 8.950%, 5/4/23(3) | 85,000 | 191 | |
Discover Bank 4.682%, 8/9/28 | 340 | 333 | |
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21(3) | 440 | 440 | |
E*TRADE Financial Corp. 4.500%, 6/20/28 | 400 | 394 | |
Fairfax Financial Holdings Ltd. 144A 4.850%, 4/17/28(3) | 365 | 351 |
Par Value | Value | ||
Financials—continued | |||
FS KKR Capital Corp. | |||
4.250%, 1/15/20 | $135 | $135 | |
4.750%, 5/15/22 | 50 | 50 | |
Goldman Sachs Group, Inc. (The) (3 month LIBOR + 1.170%) 3.786%, 5/15/26(4) | 510 | 489 | |
Grupo de Inversiones Suramericana S.A. 144A 5.500%, 4/29/26(3) | 335 | 335 | |
iStar, Inc. 5.250%, 9/15/22 | 125 | 117 | |
Jefferies Financial Group, Inc. 5.500%, 10/18/23 | 250 | 255 | |
Jefferies Group LLC | |||
6.875%, 4/15/21 | 41 | 44 | |
5.125%, 1/20/23 | 66 | 67 | |
4.850%, 1/15/27 | 60 | 57 | |
JPMorgan Chase & Co. 2.950%, 10/1/26 | 475 | 439 | |
Liberty Mutual Insurance Co. 144A 8.500%, 5/15/25(3) | 25 | 30 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 4.509%, 4/20/67(4)(8) | 365 | 285 | |
Lloyds Bank plc 144A 6.500%, 9/14/20(3) | 600 | 622 | |
Navient Corp. 6.750%, 6/25/25 | 165 | 141 | |
Nuveen Finance LLC 144A 4.125%, 11/1/24(3) | 350 | 356 | |
Prudential Financial, Inc. 5.875%, 9/15/42 | 280 | 283 | |
Santander Holdings USA, Inc. | |||
4.450%, 12/3/21 | 188 | 191 | |
3.700%, 3/28/22 | 158 | 155 | |
4.400%, 7/13/27 | 200 | 189 | |
Sberbank of Russia 144A 5.500%, 2/26/24(3)(9) | 315 | 315 | |
Springleaf Finance Corp. | |||
6.875%, 3/15/25 | 110 | 98 | |
7.125%, 3/15/26 | 110 | 98 | |
Synchrony Financial 3.950%, 12/1/27 | 645 | 544 | |
Teachers Insurance & Annuity Association of America 144A 4.375%, 9/15/54(3) | 360 | 365 | |
Tempo Acquisition LLC 144A 6.750%, 6/1/25(3) | 260 | 241 | |
Toronto-Dominion Bank (The) 3.625%, 9/15/31 | 380 | 359 | |
Turkiye Vakiflar Bankasi TAO 144A 5.625%, 5/30/22(3) | 205 | 185 | |
Voya Financial, Inc. 5.650%, 5/15/53 | 240 | 226 | |
Wells Fargo & Co. Series S 5.900%,(7) | 475 | 453 | |
15,222 | |||
Health Care—3.3% | |||
Advanz Pharma Corp. 8.000%, 9/6/24(5) | 41 | 39 | |
Anthem, Inc. 3.650%, 12/1/27 | 90 | 86 | |
Avantor, Inc. | |||
144A 6.000%, 10/1/24(3) | 100 | 98 | |
144A 9.000%, 10/1/25(3) | 250 | 250 |
Par Value | Value | ||
Health Care—continued | |||
Bausch Health Cos., Inc. | |||
144A 6.500%, 3/15/22(3) | $20 | $20 | |
144A 7.000%, 3/15/24(3) | 30 | 30 | |
144A 5.500%, 11/1/25(3) | 160 | 149 | |
Bayer US Finance II LLC 144A 3.875%, 12/15/23(3) | 395 | 388 | |
Becton Dickinson & Co. 3.700%, 6/6/27 | 235 | 222 | |
Centene Corp. 144A 5.375%, 6/1/26(3) | 75 | 73 | |
Cigna Corp. | |||
144A 4.125%, 11/15/25(3) | 261 | 261 | |
144A 4.375%, 10/15/28(3) | 27 | 27 | |
DJO Finco, Inc. 144A 8.125%, 6/15/21(3) | 110 | 113 | |
Eagle Holding Co. II, LLC PIK Interest Capitalization, 144A 7.625%, 5/15/22(3)(10) | 125 | 119 | |
Endo Dac 144A 6.000%, 7/15/23(3) | 100 | 76 | |
HCA, Inc. | |||
5.250%, 6/15/26 | 130 | 129 | |
5.625%, 9/1/28 | 185 | 179 | |
MPH Acquisition Holdings LLC 144A 7.125%, 6/1/24(3) | 85 | 79 | |
Surgery Center Holdings, Inc. | |||
144A 8.875%, 4/15/21(3) | 215 | 215 | |
144A 6.750%, 7/1/25(3)(5) | 35 | 30 | |
Takeda Pharmaceutical Co., Ltd 144A 4.400%, 11/26/23(3) | 360 | 364 | |
Tenet Healthcare Corp. | |||
8.125%, 4/1/22 | 60 | 60 | |
4.625%, 7/15/24 | 70 | 65 | |
7.000%, 8/1/25(5) | 180 | 167 | |
Valeant Pharmaceuticals International 144A 9.250%, 4/1/26(3) | 90 | 90 | |
West Street Merger Sub, Inc. 144A 6.375%, 9/1/25(3) | 140 | 124 | |
Zimmer Biomet Holdings, Inc. 3.550%, 4/1/25 | 405 | 385 | |
3,838 | |||
Industrials—2.7% | |||
Ashtead Capital, Inc. 144A 4.375%, 8/15/27(3) | 540 | 486 | |
CNH Industrial N.V. 4.500%, 8/15/23 | 280 | 281 | |
DP World Ltd. 144A 6.850%, 7/2/37(3) | 200 | 223 | |
Garda World Security Corp. 144A 8.750%, 5/15/25(3) | 250 | 227 | |
Hillman Group, Inc. (The) 144A 6.375%, 7/15/22(3) | 120 | 97 | |
Masco Corp. 5.950%, 3/15/22 | 296 | 314 | |
New Enterprise Stone & Lime Co., Inc. 144A 10.125%, 4/1/22(3) | 95 | 93 | |
Oshkosh Corp. 4.600%, 5/15/28 | 424 | 417 | |
Owens Corning 3.400%, 8/15/26 | 330 | 301 | |
Topaz Marine S.A. 144A 9.125%, 7/26/22(3) | 200 | 200 |
Par Value | Value | ||
Industrials—continued | |||
TransDigm, Inc. | |||
6.500%, 7/15/24 | $120 | $117 | |
6.500%, 5/15/25 | 75 | 72 | |
United Air Lines, Inc. Pass-Through-Trust 2007-1, A 6.636%, 7/2/22 | 319 | 332 | |
3,160 | |||
Information Technology—1.4% | |||
Banff Merger Sub, Inc. 144A 9.750%, 9/1/26(3) | 35 | 32 | |
Broadcom Corp. 3.625%, 1/15/24 | 260 | 246 | |
Citrix Systems, Inc. 4.500%, 12/1/27 | 285 | 273 | |
Dell International LLC | |||
144A 5.450%, 6/15/23(3) | 70 | 71 | |
144A 8.100%, 7/15/36(3) | 140 | 151 | |
Everi Payments, Inc. 144A 7.500%, 12/15/25(3) | 50 | 47 | |
Exela Intermediate LLC 144A 10.000%, 7/15/23(3) | 170 | 162 | |
Radiate Holdco LLC | |||
144A 6.875%, 2/15/23(3) | 50 | 46 | |
144A 6.625%, 2/15/25(3) | 220 | 190 | |
VMware, Inc. | |||
2.950%, 8/21/22 | 217 | 207 | |
3.900%, 8/21/27 | 230 | 204 | |
1,629 | |||
Materials—4.6% | |||
Alpek SAB de C.V. 144A 5.375%, 8/8/23(3)(5) | 425 | 424 | |
Anglo American Capital plc 144A 4.000%, 9/11/27(3) | 435 | 393 | |
ArcelorMittal 6.125%, 6/1/25 | 280 | 293 | |
BHP Billiton Finance USA Ltd. 144A 6.750%, 10/19/75(3)(8) | 425 | 442 | |
CRH America Finance, Inc. 144A 3.400%, 5/9/27(3) | 300 | 276 | |
DowDuPont, Inc. | |||
4.493%, 11/15/25 | 60 | 62 | |
(3 month LIBOR + 1.110%) 3.817%, 11/15/23(4) | 295 | 290 | |
Equate Petrochemical BV 144A 4.250%, 11/3/26(3) | 340 | 329 | |
Glencore Funding LLC 144A 4.000%, 3/27/27(3) | 390 | 355 | |
Hexion, Inc. 6.625%, 4/15/20 | 135 | 108 | |
Inversiones CMPC S.A. 144A 4.375%, 5/15/23(3) | 300 | 297 | |
Kraton Polymers LLC 144A 7.000%, 4/15/25(3) | 155 | 143 | |
NOVA Chemicals Corp. | |||
144A 4.875%, 6/1/24(3) | 90 | 81 | |
144A 5.000%, 5/1/25(3) | 225 | 202 | |
Reynolds Group Issuer, Inc. 144A 7.000%, 7/15/24(3) | 235 | 224 | |
Rusal Capital Designated Activity Co. 144A 5.125%, 2/2/22(3) | 325 | 244 |
Par Value | Value | ||
Materials—continued | |||
SABIC Capital II BV 144A 4.500%, 10/10/28(3) | $305 | $303 | |
Severstal OAO Via Steel Capital S.A. 144A 5.900%, 10/17/22(3)(9) | 260 | 266 | |
Syngenta Finance N.V. 144A 4.441%, 4/24/23(3) | 400 | 385 | |
Teck Resources Ltd. 144A 8.500%, 6/1/24(3) | 80 | 86 | |
Trident Merger Sub, Inc. 144A 6.625%, 11/1/25(3) | 130 | 116 | |
5,319 | |||
Real Estate—1.3% | |||
EPR Properties | |||
4.750%, 12/15/26 | 130 | 129 | |
4.500%, 6/1/27 | 205 | 198 | |
Healthcare Trust of America Holdings LP 3.750%, 7/1/27 | 180 | 171 | |
Hospitality Properties Trust 4.375%, 2/15/30 | 135 | 124 | |
LifeStorage LP 3.875%, 12/15/27 | 135 | 128 | |
MPT Operating Partnership LP 5.000%, 10/15/27 | 125 | 114 | |
Physicians Realty LP 4.300%, 3/15/27 | 330 | 321 | |
Select Income REIT 4.500%, 2/1/25 | 385 | 363 | |
1,548 | |||
Utilities—1.4% | |||
Enel Finance International NV 144A 4.625%, 9/14/25(3) | 280 | 269 | |
Exelon Corp. 3.497%, 6/1/22 | 540 | 528 | |
Ferrellgas Partners LP 8.625%, 6/15/20 | 50 | 36 | |
Perusahaan Listrik Negara PT 144A 4.125%, 5/15/27(3) | 390 | 361 | |
TerraForm Power Operating LLC 144A 5.000%, 1/31/28(3) | 190 | 167 | |
Texas Competitive Electric Escrow 10.250%, 11/1/49(11) | 396 | — | |
Texas Competitive Electric Holdings Co. 144A 0.000%, 10/1/20(3)(11) | 465 | —(12) | |
Transportadora de Gas Internacional SA ESP 144A 5.550%, 11/1/28(3) | 305 | 308 | |
1,669 | |||
Total Corporate Bonds and Notes (Identified Cost $54,016) | 50,597 | ||
Leveraged Loans—12.2% | |||
Aerospace—0.3% | |||
Atlantic Aviation FBO, Inc. (1 month LIBOR + 3.750%) 6.130%, 12/6/25 | 55 | 54 | |
TransDigm, Inc. | |||
Tranche E (1 month LIBOR + 2.500%) 5.022%, 5/30/25 | 55 | 51 | |
Tranche F (1 month LIBOR + 2.500%) 5.022%, 6/9/23 | 201 | 190 |
Par Value | Value | ||
Aerospace—continued | |||
Tranche G (1 month LIBOR + 2.500%) 5.022%, 8/22/24 | $29 | $28 | |
323 | |||
Chemicals—0.1% | |||
New Arclin U.S. Holding Corp. First Lien (1 month LIBOR + 3.500%) 6.022%, 2/14/24 | 143 | 137 | |
Consumer Durables—0.2% | |||
Global Appliance, Inc. Tranche B (1 month LIBOR + 4.000%) 6.530%, 9/29/24 | 188 | 177 | |
Consumer Non-Durables—0.6% | |||
American Greetings Corp. (1 month LIBOR + 4.500%) 7.006%, 4/6/24 | 244 | 240 | |
Herbalife Nutrition Ltd. Tranche B (1 month LIBOR + 3.250%) 5.772%, 8/18/25 | 55 | 53 | |
Kronos Acquisition Intermediate, Inc. (1 month LIBOR + 4.000%) 6.522%, 5/15/23 | 121 | 114 | |
Parfums Holdings Co., Inc. First Lien (3 month LIBOR + 4.250%) 6.957%, 6/30/24 | 143 | 137 | |
Rodan & Fields LLC (1 month LIBOR + 4.000%) 6.455%, 6/16/25 | 154 | 141 | |
685 | |||
Energy—0.6% | |||
California Resources Corp. (1 month LIBOR + 10.375%) 12.897%, 12/31/21 | 190 | 186 | |
Medallion Midland Acquisition LLC (1 month LIBOR + 3.250%) 5.772%, 10/30/24 | 188 | 177 | |
Moda Ingleside Energy Center LLC (1 month LIBOR + 3.250%) 5.772%, 9/29/25 | 15 | 14 | |
Paragon Offshore Finance Co. (3 month LIBOR + 2.750%) 0.000%, 7/16/21(1)(11)(13) | 1 | — | |
Seadrill Operating LP (3 month LIBOR + 6.000%) 8.803%, 2/21/21 | 162 | 126 | |
Traverse Midstream Partners LLC (3 month LIBOR + 4.000%) 6.600%, 9/27/24 | 250 | 239 | |
742 | |||
Financial—0.9% | |||
Asurion LLC Tranche B-2, Second Lien (1 month LIBOR + 6.500%) 9.022%, 8/4/25 | 110 | 108 | |
Blackhawk Network Holdings, Inc. First Lien (1 month LIBOR + 3.000%) 5.522%, 6/15/25 | 169 | 161 | |
Ditech Holding Corp. Tranche B (1 month LIBOR + 6.000%) 8.522%, 6/30/22 | 203 | 175 | |
Financial & Risk US Holdings, Inc. (1 month LIBOR + 3.750%) 6.272%, 10/1/25 | 305 | 290 | |
FinCo I LLC 2018 (1 month LIBOR + 2.000%) 4.522%, 12/27/22 | 67 | 64 | |
Genworth Holdings, Inc. (1 month LIBOR + 4.500%) 6.955%, 3/7/23 | 20 | 19 |
Par Value | Value | ||
Financial—continued | |||
iStar, Inc. (1 month LIBOR + 2.750%) 5.175%, 6/28/23 | $219 | $210 | |
1,027 | |||
Food / Tobacco—0.4% | |||
H-Food Holdings, LLC | |||
(1 month LIBOR + 3.688%) 6.210%, 5/23/25 | 35 | 33 | |
Tranche B-2 (1 month LIBOR + 4.000%) 6.522%, 5/23/25 | 145 | 144 | |
Milk Specialties Co. (1 month LIBOR + 4.000%) 6.522%, 8/16/23 | 249 | 240 | |
417 | |||
Food and Drug—0.2% | |||
Albertson’s LLC Tranche B-7 (1 month LIBOR + 3.000%) 5.522%, 11/17/25 | 225 | 213 | |
Forest Prod / Containers—0.1% | |||
Spectrum Holdings III Corp. First Lien (1 month LIBOR + 3.250%) 5.772%, 1/31/25 | 81 | 77 | |
Gaming / Leisure—0.7% | |||
Affinity Gaming (1 month LIBOR + 3.250%) 5.772%, 7/1/23 | 354 | 336 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 5.270%, 4/29/24 | 157 | 146 | |
Scientific Games International, Inc. Tranche B-5 (2 month LIBOR + 2.750%) 5.259%, 8/14/24 | 129 | 121 | |
UFC Holdings LLC First Lien (1 month LIBOR + 3.250%) 5.780%, 8/18/23 | 173 | 168 | |
771 | |||
Healthcare—1.2% | |||
21st Century Oncology, Inc. Tranche B (3 month LIBOR + 6.125%) 8.565%, 1/16/23 | 41 | 37 | |
Accelerated Health Systems LLC (1 month LIBOR + 3.500%) 5.849%, 10/31/25 | 125 | 123 | |
AHP Health Partners, Inc. (1 month LIBOR + 4.500%) 7.022%, 6/30/25 | 189 | 186 | |
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 5.129%, 11/27/25 | 64 | 61 | |
(1 month LIBOR + 3.000%) 5.379%, 6/2/25 | 39 | 37 | |
CCS-CMGC Holdings, Inc. First Lien (1 month LIBOR + 5.500%) 8.022%, 10/1/25 | 130 | 125 | |
CHG Healthcare Services, Inc. First Lien (3 month LIBOR + 3.000%) 5.525%, 6/7/23 | 55 | 53 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 6.272%, 10/10/25 | 207 | 192 | |
NVA Holdings, Inc. Tranche B-3 (1 month LIBOR + 2.750%) 5.272%, 2/2/25 | 120 | 112 | |
Ortho-Clinical Diagnostics, Inc. (1 month LIBOR + 3.250%) 5.756%, 6/30/25 | 192 | 178 |
Par Value | Value | ||
Healthcare—continued | |||
Regionalcare Hospital Partners Holdings, Inc. Tranche B (3 month LIBOR + 4.500%) 7.129%, 11/16/25 | $190 | $180 | |
U.S. Renal Care, Inc. First Lien (3 month LIBOR + 4.250%) 7.053%, 12/30/22 | 124 | 118 | |
Universal Hospital Services (3 month LIBOR + 3.000%) 3.000%, 1/4/26(13)(14) | 25 | 24 | |
1,426 | |||
Housing—0.4% | |||
Capital Automotive LP Tranche B (1 month LIBOR + 6.000%) 8.522%, 3/24/25 | 61 | 60 | |
CPG International LLC (3 month LIBOR + 3.750%) 6.633%, 5/5/24 | 192 | 184 | |
Summit Materials LLC (1 month LIBOR + 2.000%) 4.522%, 11/21/24 | 259 | 248 | |
492 | |||
Information Technology—1.4% | |||
Applied Systems, Inc. Second Lien (1 month LIBOR + 7.000%) 9.522%, 9/19/25 | 112 | 109 | |
BMC Software Finance, Inc. (3 month LIBOR + 4.250%) 7.053%, 10/2/25 | 255 | 245 | |
Kronos, Inc. | |||
First Lien (3 month LIBOR + 3.000%) 5.541%, 11/1/23 | 318 | 301 | |
Second Lien (3 month LIBOR + 8.250%) 10.791%, 11/1/24 | 84 | 83 | |
Renaissance Holding Corp. First Lien (1 month LIBOR + 3.250%) 5.772%, 5/30/25 | 313 | 290 | |
SS&C Technologies Holdings, Inc. | |||
Tranche B-3 (1 month LIBOR + 2.250%) 4.772%, 4/16/25 | 338 | 318 | |
Tranche B-4 (1 month LIBOR + 2.250%) 4.772%, 4/16/25 | 128 | 121 | |
Vertafore, Inc. First Lien (3 month LIBOR + 3.250%) 6.053%, 7/2/25 | 230 | 218 | |
1,685 | |||
Manufacturing—0.8% | |||
Accudyne Industries Borrower S.C.A. (1 month LIBOR + 3.000%) 5.522%, 8/18/24 | 241 | 228 | |
CPI Acquisition, Inc. First Lien (3 month LIBOR + 4.500%) 7.020%, 8/17/22 | 358 | 225 | |
Deliver Buyer, Inc. (3 month LIBOR + 5.000%) 7.707%, 5/1/24 | 109 | 107 | |
Filtration Group Corp. (1 month LIBOR + 3.000%) 5.522%, 3/29/25 | 194 | 186 | |
Hillman Group, Inc. (The) (3 month LIBOR + 4.000%) 6.803%, 5/30/25 | 134 | 127 | |
873 | |||
Media / Telecom - Cable/Wireless Video—0.3% | |||
CSC Holdings LLC (3 month LIBOR + 2.250%) 4.745%, 1/15/26 | 100 | 94 |
Par Value | Value | ||
Media / Telecom - Cable/Wireless Video—continued | |||
Telenet Financing USD LLC (1 month LIBOR + 2.250%) 4.705%, 8/15/26 | $320 | $304 | |
398 | |||
Media / Telecom - Diversified Media—0.1% | |||
Crown Finance US, Inc. (1 month LIBOR + 2.500%) 5.022%, 2/28/25 | 144 | 136 | |
Media / Telecom - Telecommunications—0.5% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.750%) 5.272%, 1/31/25 | 173 | 161 | |
Securus Technologies Holdings, Inc. | |||
0.000%, 11/1/24(13) | 52 | 50 | |
First Lien (1 month LIBOR + 4.500%) 7.022%, 11/1/24 | 121 | 116 | |
Second Lien (1 month LIBOR + 8.250%) 10.772%, 11/1/25 | 150 | 144 | |
West Corp. Tranche B-1 (3 month LIBOR + 3.500%) 6.027%, 10/10/24 | 90 | 82 | |
553 | |||
Media / Telecom - Wireless Communications—0.0% | |||
Digicel International Finance Ltd. Tranche B (3 month LIBOR + 3.250%) 5.960%, 5/27/24 | 25 | 22 | |
Metals / Minerals—0.3% | |||
Covia Holdings Corp. (3 month LIBOR + 3.750%) 6.553%, 6/1/25 | 194 | 140 | |
Graftech International Ltd. (1 month LIBOR + 3.500%) 6.022%, 2/12/25 | 278 | 262 | |
402 | |||
Retail—0.2% | |||
Bass Pro Group LLC (1 month LIBOR + 5.000%) 7.522%, 9/25/24 | 85 | 81 | |
Neiman Marcus Group Ltd. LLC (1 month LIBOR + 3.250%) 5.630%, 10/25/20 | 163 | 138 | |
219 | |||
Service—2.2% | |||
Advantage Sales & Marketing, Inc. Tranche B-2 (1 month LIBOR + 3.250%) 5.772%, 7/23/21 | 172 | 152 | |
Carlisle Food Service Products, Inc. | |||
First Lien (1 month LIBOR + 3.000%) 5.506%, 3/20/25 | 16 | 15 | |
First Lien (3 month LIBOR + 1.000%) 1.000%, 3/20/25(14) | 4 | 4 | |
CSC SW Holdco, Inc. Tranche B-1 (3 month LIBOR + 3.250%) 5.686%, 11/14/22 | 50 | 48 | |
Frontdoor, Inc. (1 month LIBOR + 2.500%) 5.063%, 8/16/25 | 120 | 115 | |
GFL Environmental, Inc. (1 month LIBOR + 3.000%) 5.522%, 5/30/25 | 189 | 176 | |
Hoya Midco LLC First Lien (1 month LIBOR + 3.500%) 6.022%, 6/30/24 | 318 | 301 | |
Laureate Education, Inc. (3 month LIBOR + 3.500%) 6.027%, 4/26/24 | 117 | 115 | |
NAB Holdings LLC 2018 Refinancing (3 month LIBOR + 3.000%) 5.803%, 7/1/24 | 238 | 226 |
Par Value | Value | ||
Service—continued | |||
One Call Corp. First Lien (1 month LIBOR + 5.250%) 7.705%, 11/27/22 | $160 | $141 | |
Pearl Intermediate Parent LLC | |||
First Lien (1 month LIBOR + 2.310%) 2.300%, 2/14/25(14) | 10 | 10 | |
First Lien (1 month LIBOR + 2.310%) 2.300%, 2/14/25 | 32 | 30 | |
First Lien (1 month LIBOR + 2.750%) 5.254%, 2/14/25 | 142 | 134 | |
PI UK Holdco II Ltd. Tranche B-1 (1 month LIBOR + 3.500%) 6.022%, 1/3/25 | 347 | 335 | |
Prime Security Services Borrower LLC Tranche B-1 (1 month LIBOR + 2.750%) 5.272%, 5/2/22 | 204 | 194 | |
Red Ventures LLC Tranche B-1 (1 month LIBOR + 3.000%) 5.522%, 11/8/24 | 279 | 265 | |
Sedgwick Claims Management Services, Inc. (3 month LIBOR + 3.250%) 0.000%, 12/31/25(13) | 20 | 19 | |
St. George’s University Scholastic Services LLC | |||
(1 month LIBOR + 3.500%) 6.030%, 7/17/25 | 95 | 92 | |
(3 month LIBOR + 3.500%) 3.500%, 7/17/25(14) | 30 | 29 | |
TKC Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 6.280%, 2/1/23 | 172 | 163 | |
2,564 | |||
Utility—0.7% | |||
APLP Holdings LP (1 month LIBOR + 2.750%) 5.272%, 4/13/23 | 216 | 210 | |
Brookfield WEC Holdings, Inc. (Westinghouse Electric Co., LLC) First Lien (1 month LIBOR + 3.750%) 6.272%, 8/1/25 | 220 | 213 | |
Talen Energy Supply LLC (1 month LIBOR + 4.000%) 6.522%, 4/15/24 | 122 | 120 | |
Vistra Operations Co., LLC | |||
(1 month LIBOR + 2.000%) 4.522%, 8/4/23 | 147 | 141 | |
(1 month LIBOR + 2.000%) 4.489%, 12/31/25 | 144 | 139 | |
823 | |||
Total Leveraged Loans (Identified Cost $15,046) | 14,162 | ||
Shares | ||
Preferred Stocks—2.4% | ||
Financials—2.0% | ||
Bank of New York Mellon Corp. (The) Series E, 4.950% | 290(15) | 283 |
Huntington Bancshares, Inc. Series E, 5.700% | 225(15) | 200 |
JPMorgan Chase & Co. Series Z, 5.300% | 70(15) | 69 |
KeyCorp Series D, 5.000%(16) | 535(15) | 489 |
M&T Bank Corp. Series F, 5.125%(16) | 355(15) | 336 |
MetLife, Inc. Series D, 5.875% | 173(15) | 166 |
PNC Financial Services Group, Inc. (The) Series R, 4.850% | 405(15) | 370 |
Shares | Value | ||
Financials—continued | |||
PNC Financial Services Group, Inc. (The) Series S, 5.000% | 405(15) | $373 | |
2,286 | |||
Industrials—0.4% | |||
General Electric Co. Series D, 5.000% | 612(15) | 468 | |
Total Preferred Stocks (Identified Cost $3,012) | 2,754 | ||
Common Stocks—0.0% | |||
Consumer Discretionary—0.0% | |||
Mark IV Industries | 828 | 29 | |
Energy—0.0% | |||
Frontera Energy Corp.(17) | 2,618 | 25 | |
Total Common Stocks (Identified Cost $53) | 54 | ||
Affiliated Mutual Fund—1.4% | |||
Virtus Newfleet Credit Opportunities Fund Class R6(18) | 183,433 | 1,647 | |
Total Affiliated Mutual Fund (Identified Cost $1,833) | 1,647 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(6)(17) | 7,753 | 5 | |
Total Rights (Identified Cost $6) | 5 | ||
Total Long-Term Investments—98.5% (Identified Cost $120,801) | 114,339(19) | ||
Securities Lending Collateral—0.8% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 2.292%)(18)(20) | 976,743 | 977 | |
Total Securities Lending Collateral (Identified Cost $977) | 977 | ||
TOTAL INVESTMENTS—99.3% (Identified Cost $121,778) | 115,316 | ||
Other assets and liabilities, net—0.7% | 769 | ||
NET ASSETS—100.0% | $116,085 |
Abbreviations: | |
DB | Deutsche Bank AG |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
PIK | Payment-in-Kind Security |
REIT | Real Estate Investment Trust |
Foreign Currencies: | |
BRL | Brazilian Real |
CLP | Chilean Peso |
COP | Colombian Peso |
MXN | Mexican Peso |
RUB | Russian Ruble |
ZAR | South African Rand |
Footnote Legend: | |
(1) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(2) | Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2018, these securities amounted to a value of $51,708 or 44.5% of net assets. |
(4) | Variable rate security. Rate disclosed is as of December 31, 2018. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(5) | All or a portion of security is on loan. |
(6) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(7) | No contractual maturity date. |
(8) | Interest payments may be deferred. |
(9) | This Note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower. |
(10) | 100% of the income received was in cash. |
(11) | Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments. |
(12) | Amount is less than $500. |
(13) | This loan will settle after December 31, 2018, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected. |
(14) | Represents unfunded portion of security and commitment fee earned on this portion. |
(15) | Value shown as par value. |
(16) | Interest may be forfeited. |
(17) | Non-income producing. |
(18) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(19) | All or a portion segregated as collateral for a delayed delivery transaction. |
(20) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings (Unaudited)† | |
United States | 77% |
Canada | 3 |
Netherlands | 2 |
Mexico | 2 |
United Kingdom | 1 |
Chile | 1 |
Colombia | 1 |
Other | 13 |
Total | 100% |
† % of total investments as of December 31, 2018. |
Total Value at December 31, 2018 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Debt Securities: | |||||||
Asset-Backed Securities | $10,764 | $— | $10,764 | $— | |||
Corporate Bonds and Notes | 50,597 | — | 50,596 | 1 | |||
Foreign Government Securities | 8,397 | — | 8,397 | — | |||
Leveraged Loans | 14,162 | — | 14,162 | — | |||
Mortgage-Backed Securities | 19,215 | — | 19,215 | — | |||
Municipal Bonds | 780 | — | 780 | — | |||
U.S. Government Securities | 5,964 | — | 5,964 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 2,754 | — | 2,754 | — | |||
Common Stocks | 54 | 25 | 29 | — | |||
Rights | 5 | — | — | 5 | |||
Affiliated Mutual Fund | 1,647 | 1,647 | — | — | |||
Securities Lending Collateral | 977 | 977 | — | — | |||
Total Investments | $115,316 | $2,649 | $112,661 | $6 |
Shares | Value | ||
Common Stocks—96.6% | |||
Communication Services—9.4% | |||
Activision Blizzard, Inc. | 2,892 | $135 | |
Akamai Technologies, Inc.(1) | 653 | 40 | |
Alphabet, Inc. Class A(1)(2) | 1,140 | 1,191 | |
Alphabet, Inc. Class C(1)(2) | 1,171 | 1,213 | |
AT&T, Inc.(2) | 26,836 | 766 | |
CBS Corp. Class B | 1,260 | 55 | |
CenturyLink, Inc. | 3,524 | 53 | |
Charter Communications, Inc. Class A(1) | 671 | 191 | |
Comcast Corp. Class A(2) | 17,270 | 588 | |
Discovery, Inc. Class A(1) | 583 | 14 | |
Discovery, Inc. Class C(1) | 1,341 | 31 | |
DISH Network Corp. Class A(1) | 860 | 21 | |
Electronic Arts, Inc.(1) | 1,148 | 91 | |
Facebook, Inc. Class A(1)(2) | 9,064 | 1,188 | |
Interpublic Group of Cos., Inc. (The) | 1,498 | 31 | |
Netflix, Inc.(1) | 1,681 | 450 | |
News Corp. Class A | 1,473 | 17 | |
News Corp. Class B | 475 | 6 | |
Omnicom Group, Inc. | 852 | 62 | |
Take-Two Interactive Software, Inc.(1) | 435 | 45 | |
TripAdvisor, Inc.(1) | 386 | 21 | |
Twenty-First Century Fox, Inc. Class A(2) | 3,942 | 190 | |
Twenty-First Century Fox, Inc. Class B(2) | 1,823 | 87 | |
Twitter, Inc.(1) | 2,689 | 77 | |
Verizon Communications, Inc.(2) | 15,430 | 867 | |
Viacom, Inc. Class B | 1,343 | 35 | |
Walt Disney Co. (The)(2) | 5,611 | 615 | |
8,080 | |||
Consumer Discretionary—9.3% | |||
Advance Auto Parts, Inc. | 281 | 44 | |
Amazon.com, Inc.(1)(2) | 1,593 | 2,393 | |
Aptiv plc | 999 | 61 | |
AutoZone, Inc.(1) | 100 | 84 | |
Best Buy Co., Inc. | 916 | 49 | |
Booking Holdings, Inc.(1)(2) | 180 | 310 | |
BorgWarner, Inc. | 776 | 27 | |
Capri Holdings Ltd.(1) | 551 | 21 | |
CarMax, Inc.(1) | 671 | 42 | |
Carnival Corp. | 1,512 | 75 | |
Chipotle Mexican Grill, Inc.(1) | 94 | 41 | |
Darden Restaurants, Inc. | 468 | 47 | |
Dollar General Corp. | 1,002 | 108 | |
Dollar Tree, Inc.(1) | 880 | 79 | |
eBay, Inc.(1) | 3,486 | 98 | |
Expedia Group, Inc. | 449 | 51 | |
Foot Locker, Inc. | 443 | 24 | |
Ford Motor Co.(2) | 14,582 | 112 | |
Gap, Inc. (The) | 811 | 21 | |
Garmin Ltd. | 458 | 29 | |
General Motors Co.(2) | 4,901 | 164 | |
Genuine Parts Co. | 555 | 53 | |
Goodyear Tire & Rubber Co. (The) | 908 | 19 | |
H&R Block, Inc. | 769 | 20 | |
Hanesbrands, Inc. | 1,369 | 17 | |
Harley-Davidson, Inc. | 626 | 21 | |
Hasbro, Inc. | 435 | 35 | |
Hilton Worldwide Holdings, Inc. | 1,119 | 80 | |
Home Depot, Inc. (The)(2) | 4,310 | 741 | |
Horton (D.R.), Inc. | 1,302 | 45 | |
Kohl’s Corp. | 622 | 41 |
Shares | Value | ||
Consumer Discretionary—continued | |||
L Brands, Inc. | 863 | $22 | |
Leggett & Platt, Inc. | 492 | 18 | |
Lennar Corp. Class A | 1,108 | 43 | |
LKQ Corp.(1) | 1,218 | 29 | |
Lowe’s Cos., Inc.(2) | 3,058 | 282 | |
Macy’s, Inc. | 1,153 | 34 | |
Marriott International, Inc. Class A | 1,087 | 118 | |
Mattel, Inc.(1) | 1,317 | 13 | |
McDonald’s Corp.(2) | 2,946 | 523 | |
MGM Resorts International | 1,920 | 47 | |
Mohawk Industries, Inc.(1) | 239 | 28 | |
Newell Brands, Inc. | 1,674 | 31 | |
NIKE, Inc. Class B(2) | 4,808 | 356 | |
Nordstrom, Inc. | 431 | 20 | |
Norwegian Cruise Line Holdings Ltd.(1) | 814 | 34 | |
O’Reilly Automotive, Inc.(1) | 306 | 105 | |
PulteGroup, Inc. | 983 | 26 | |
PVH Corp. | 291 | 27 | |
Ralph Lauren Corp. | 211 | 22 | |
Ross Stores, Inc. | 1,434 | 119 | |
Royal Caribbean Cruises Ltd. | 628 | 61 | |
Starbucks Corp.(2) | 4,743 | 305 | |
Tapestry, Inc. | 1,082 | 37 | |
Target Corp.(2) | 1,951 | 129 | |
Tiffany & Co. | 412 | 33 | |
TJX Cos., Inc. (The) | 4,743 | 212 | |
Tractor Supply Co. | 469 | 39 | |
Ulta Beauty, Inc.(1) | 216 | 53 | |
Under Armour, Inc. Class A(1) | 687 | 12 | |
Under Armour, Inc. Class C(1) | 716 | 12 | |
VF Corp. | 1,232 | 88 | |
Whirlpool Corp. | 249 | 27 | |
Wynn Resorts Ltd. | 370 | 37 | |
Yum! Brands, Inc. | 1,208 | 111 | |
8,005 | |||
Consumer Staples—7.7% | |||
Altria Group, Inc.(2) | 7,682 | 379 | |
Archer-Daniels-Midland Co. | 2,350 | 96 | |
Brown-Forman Corp. Class B | 710 | 34 | |
Campbell Soup Co. | 808 | 27 | |
Church & Dwight Co., Inc. | 1,030 | 68 | |
Clorox Co. (The) | 536 | 83 | |
Coca-Cola Co. (The)(2) | 15,836 | 750 | |
Colgate-Palmolive Co.(2) | 3,635 | 216 | |
Conagra Brands, Inc. | 1,988 | 42 | |
Constellation Brands, Inc. Class A | 705 | 113 | |
Costco Wholesale Corp.(2) | 1,928 | 393 | |
Coty, Inc. Class A | 1,953 | 13 | |
Estee Lauder Cos., Inc. (The) Class A | 969 | 126 | |
General Mills, Inc. | 2,534 | 99 | |
Hershey Co. (The) | 594 | 64 | |
Hormel Foods Corp. | 1,152 | 49 | |
J.M. Smucker Co. (The) | 483 | 45 | |
Kellogg Co. | 1,067 | 61 | |
Kimberly-Clark Corp. | 1,462 | 166 | |
Kraft Heinz Co.(The)(2) | 2,648 | 114 | |
Kroger Co. (The) | 3,346 | 92 | |
Lamb Weston Holdings, Inc. | 1,252 | 92 | |
McCormick & Co., Inc. | 520 | 72 | |
Molson Coors Brewing Co. Class B | 796 | 45 | |
Mondelez International, Inc. Class A(2) | 6,228 | 249 |
Shares | Value | ||
Consumer Staples—continued | |||
Monster Beverage Corp.(1) | 1,682 | $83 | |
PepsiCo, Inc.(2) | 6,062 | 670 | |
Philip Morris International, Inc.(2) | 6,558 | 438 | |
Procter & Gamble Co. (The)(2) | 10,256 | 943 | |
Sysco Corp. | 2,010 | 126 | |
Tyson Foods, Inc. Class A | 1,251 | 67 | |
Walgreens Boots Alliance, Inc.(2) | 3,677 | 251 | |
Walmart, Inc.(2) | 5,994 | 558 | |
6,624 | |||
Energy—5.0% | |||
Anadarko Petroleum Corp. | 1,970 | 86 | |
Apache Corp. | 1,478 | 39 | |
Baker Hughes a GE Co. | 1,949 | 42 | |
Cabot Oil & Gas Corp. | 1,704 | 38 | |
Chevron Corp.(2) | 7,287 | 793 | |
Cimarex Energy Co. | 372 | 23 | |
Concho Resources, Inc.(1) | 785 | 81 | |
ConocoPhillips(2) | 4,445 | 277 | |
Devon Energy Corp. | 1,818 | 41 | |
Diamondback Energy, Inc. | 589 | 55 | |
EOG Resources, Inc. | 2,222 | 194 | |
Exxon Mobil Corp.(2) | 16,100 | 1,098 | |
Halliburton Co.(2) | 3,388 | 90 | |
Helmerich & Payne, Inc. | 423 | 20 | |
Hess Corp. | 964 | 39 | |
HollyFrontier Corp. | 625 | 32 | |
Kinder Morgan, Inc.(2) | 7,191 | 111 | |
Marathon Oil Corp. | 3,312 | 47 | |
Marathon Petroleum Corp. | 2,598 | 153 | |
National Oilwell Varco, Inc. | 1,473 | 38 | |
Newfield Exploration Co.(1) | 799 | 12 | |
Noble Energy, Inc. | 1,880 | 35 | |
Occidental Petroleum Corp.(2) | 2,925 | 179 | |
ONEOK, Inc. | 1,568 | 85 | |
Phillips 66 | 1,631 | 140 | |
Pioneer Natural Resources Co. | 643 | 84 | |
Schlumberger Ltd.(2) | 5,421 | 196 | |
TechnipFMC plc | 1,691 | 33 | |
Valero Energy Corp. | 1,599 | 120 | |
Williams Cos., Inc. (The) | 4,594 | 101 | |
4,282 | |||
Financials—12.4% | |||
Affiliated Managers Group, Inc. | 206 | 20 | |
Aflac, Inc. | 2,940 | 134 | |
Allstate Corp. (The)(2) | 1,314 | 109 | |
American Express Co.(2) | 2,661 | 254 | |
American International Group, Inc.(2) | 3,299 | 130 | |
Ameriprise Financial, Inc. | 540 | 56 | |
Aon plc | 919 | 134 | |
Assurant, Inc. | 197 | 18 | |
Bank of America Corp.(2) | 34,569 | 852 | |
Bank of New York Mellon Corp. (The)(2) | 3,394 | 160 | |
BB&T Corp. | 2,914 | 126 | |
Berkshire Hathaway, Inc. Class B(1)(2) | 7,367 | 1,504 | |
BlackRock, Inc.(2) | 465 | 183 | |
Brighthouse Financial, Inc.(1)(2) | 463 | 14 | |
Capital One Financial Corp.(2) | 1,824 | 138 | |
Cboe Global Markets, Inc. | 426 | 42 | |
Charles Schwab Corp. (The) | 4,516 | 188 | |
Chubb Ltd. | 1,744 | 225 |
Shares | Value | ||
Financials—continued | |||
Cincinnati Financial Corp. | 566 | $44 | |
Citigroup, Inc.(2) | 9,524 | 496 | |
Citizens Financial Group, Inc. | 1,814 | 54 | |
CME Group, Inc. | 1,323 | 249 | |
Comerica, Inc. | 610 | 42 | |
Discover Financial Services | 1,308 | 77 | |
E*TRADE Financial Corp. | 985 | 43 | |
Everest Re Group Ltd. | 154 | 33 | |
Fifth Third Bancorp | 2,551 | 60 | |
Franklin Resources, Inc. | 1,161 | 34 | |
Gallagher (Arthur J.) & Co. | 693 | 51 | |
Goldman Sachs Group, Inc. (The)(2) | 1,335 | 223 | |
Hartford Financial Services Group, Inc. (The) | 1,340 | 60 | |
Huntington Bancshares, Inc. | 4,204 | 50 | |
Intercontinental Exchange, Inc. | 2,155 | 162 | |
Invesco Ltd. | 1,560 | 26 | |
Jefferies Financial Group, Inc. | 1,131 | 20 | |
JPMorgan Chase & Co.(2) | 12,652 | 1,235 | |
KeyCorp | 4,022 | 59 | |
Lincoln National Corp. | 822 | 42 | |
Loews Corp. | 1,049 | 48 | |
M&T Bank Corp. | 544 | 78 | |
Marsh & McLennan Cos., Inc. | 1,909 | 152 | |
MetLife, Inc.(2) | 3,775 | 155 | |
Moody’s Corp. | 638 | 89 | |
Morgan Stanley(2) | 5,071 | 201 | |
MSCI, Inc. | 337 | 50 | |
Nasdaq, Inc. | 432 | 35 | |
Northern Trust Corp. | 839 | 70 | |
People’s United Financial, Inc. | 1,410 | 20 | |
PNC Financial Services Group, Inc. (The) | 1,754 | 205 | |
Principal Financial Group, Inc. | 981 | 43 | |
Progressive Corp. (The) | 2,217 | 134 | |
Prudential Financial, Inc. | 1,564 | 128 | |
Raymond James Financial, Inc. | 498 | 37 | |
Regions Financial Corp. | 3,949 | 53 | |
S&P Global, Inc. | 956 | 162 | |
State Street Corp. | 1,409 | 89 | |
SunTrust Banks, Inc. | 1,750 | 88 | |
SVB Financial Group(1) | 204 | 39 | |
Synchrony Financial | 2,553 | 60 | |
T. Rowe Price Group, Inc. | 921 | 85 | |
Torchmark Corp. | 391 | 29 | |
Travelers Cos., Inc. (The) | 1,007 | 121 | |
U.S. Bancorp(2) | 5,769 | 264 | |
Unum Group | 835 | 24 | |
Wells Fargo & Co.(2) | 16,354 | 754 | |
Willis Towers Watson plc | 497 | 75 | |
Zions Bancorp NA | 742 | 30 | |
10,665 | |||
Health Care—16.3% | |||
Abbott Laboratories(2) | 7,376 | 534 | |
AbbVie, Inc.(2) | 6,394 | 589 | |
ABIOMED, Inc.(1) | 187 | 61 | |
Agilent Technologies, Inc. | 1,347 | 91 | |
Alexion Pharmaceuticals, Inc.(1) | 944 | 92 | |
Align Technology, Inc.(1) | 303 | 63 | |
Allergan plc(2) | 1,338 | 179 | |
AmerisourceBergen Corp. | 684 | 51 | |
Amgen, Inc.(2) | 2,744 | 534 | |
Anthem, Inc. | 1,090 | 286 |
Shares | Value | ||
Health Care—continued | |||
Baxter International, Inc. | 2,087 | $137 | |
Becton, Dickinson & Co. | 1,129 | 254 | |
Biogen, Inc.(1)(2) | 845 | 254 | |
Boston Scientific Corp.(1) | 5,887 | 208 | |
Bristol-Myers Squibb Co.(2) | 6,922 | 360 | |
Cardinal Health, Inc. | 1,332 | 59 | |
Celgene Corp.(1)(2) | 2,964 | 190 | |
Centene Corp.(1) | 882 | 102 | |
Cerner Corp.(1) | 1,377 | 72 | |
Cigna Corp. | 1,603 | 305 | |
Cooper Cos., Inc. (The) | 209 | 53 | |
CVS Health Corp.(2) | 5,435 | 356 | |
Danaher Corp.(2) | 2,591 | 267 | |
DaVita, Inc.(1) | 535 | 28 | |
DENTSPLY SIRONA, Inc. | 935 | 35 | |
Edwards Lifesciences Corp.(1) | 884 | 135 | |
Eli Lilly & Co.(2) | 4,043 | 468 | |
Gilead Sciences, Inc.(2) | 5,488 | 343 | |
HCA Healthcare, Inc. | 1,197 | 149 | |
Henry Schein, Inc.(1) | 656 | 52 | |
Hologic, Inc.(1) | 1,146 | 47 | |
Humana, Inc. | 591 | 169 | |
IDEXX Laboratories, Inc.(1) | 366 | 68 | |
Illumina, Inc.(1) | 621 | 186 | |
Incyte Corp.(1) | 738 | 47 | |
Intuitive Surgical, Inc.(1) | 488 | 234 | |
IQVIA Holdings, Inc.(1) | 688 | 80 | |
Johnson & Johnson(2) | 12,290 | 1,586 | |
Laboratory Corporation of America Holdings(1) | 427 | 54 | |
McKesson Corp. | 867 | 96 | |
Medtronic plc(2) | 5,672 | 516 | |
Merck & Co., Inc.(2) | 11,323 | 865 | |
Mettler-Toledo International, Inc.(1) | 106 | 60 | |
Mylan NV(1) | 2,197 | 60 | |
Nektar Therapeutics(1) | 739 | 24 | |
PerkinElmer, Inc. | 469 | 37 | |
Perrigo Co. plc | 533 | 21 | |
Pfizer, Inc.(2) | 24,584 | 1,073 | |
Quest Diagnostics, Inc. | 582 | 48 | |
Regeneron Pharmaceuticals, Inc.(1) | 318 | 119 | |
ResMed, Inc. | 601 | 68 | |
Stryker Corp. | 1,327 | 208 | |
Thermo Fisher Scientific, Inc. | 1,712 | 383 | |
UnitedHealth Group, Inc.(2) | 4,073 | 1,015 | |
Universal Health Services, Inc. Class B | 386 | 45 | |
Varian Medical Systems, Inc.(1) | 384 | 44 | |
Vertex Pharmaceuticals, Inc.(1) | 1,074 | 178 | |
Waters Corp.(1) | 321 | 61 | |
WellCare Health Plans, Inc.(1) | 213 | 50 | |
Zimmer Biomet Holdings, Inc. | 865 | 90 | |
Zoetis, Inc. | 2,042 | 175 | |
14,014 | |||
Industrials���8.6% | |||
3M Co.(2) | 2,258 | 430 | |
A.O. Smith Corp. | 551 | 24 | |
Alaska Air Group, Inc. | 453 | 28 | |
Allegion plc | 359 | 29 | |
American Airlines Group, Inc. | 1,533 | 49 | |
AMETEK, Inc. | 883 | 60 | |
Arconic, Inc. | 1,621 | 27 | |
Boeing Co. (The)(2) | 2,037 | 657 |
Shares | Value | ||
Industrials—continued | |||
Caterpillar, Inc.(2) | 2,204 | $280 | |
Cintas Corp. | 325 | 55 | |
Copart, Inc.(1) | 785 | 37 | |
CSX Corp. | 3,186 | 198 | |
Cummins, Inc. | 563 | 75 | |
Deere & Co. | 1,195 | 178 | |
Delta Air Lines, Inc. | 2,350 | 117 | |
Dover Corp. | 564 | 40 | |
Eaton Corp. plc | 1,623 | 111 | |
Emerson Electric Co.(2) | 2,357 | 141 | |
Equifax, Inc. | 450 | 42 | |
Expeditors International of Washington, Inc. | 654 | 45 | |
Fastenal Co. | 1,088 | 57 | |
FedEx Corp.(2) | 923 | 149 | |
Flowserve Corp. | 508 | 19 | |
Fluor Corp. | 535 | 17 | |
Fortive Corp. | 1,166 | 79 | |
Fortune Brands Home & Security, Inc. | 540 | 20 | |
General Dynamics Corp.(2) | 1,053 | 166 | |
General Electric Co.(2) | 32,906 | 249 | |
Harris Corp. | 439 | 59 | |
Honeywell International, Inc.(2) | 2,821 | 373 | |
Hunt (JB) Transport Services, Inc. | 338 | 31 | |
Huntington Ingalls Industries, Inc. | 163 | 31 | |
IHS Markit Ltd.(1) | 1,351 | 65 | |
Illinois Tool Works, Inc. | 1,171 | 148 | |
Ingersoll-Rand plc | 928 | 85 | |
Jacobs Engineering Group, Inc. | 454 | 27 | |
Johnson Controls International plc | 3,471 | 103 | |
Kansas City Southern | 384 | 37 | |
L3 Technologies, Inc. | 294 | 51 | |
Lockheed Martin Corp.(2) | 940 | 246 | |
Masco Corp. | 1,148 | 34 | |
Nielsen Holdings plc | 1,341 | 31 | |
Norfolk Southern Corp. | 1,091 | 163 | |
Northrop Grumman Corp. | 663 | 162 | |
PACCAR, Inc. | 1,325 | 76 | |
Parker-Hannifin Corp. | 505 | 75 | |
Pentair plc | 612 | 23 | |
Quanta Services, Inc. | 561 | 17 | |
Raytheon Co.(2) | 1,081 | 166 | |
Republic Services, Inc. | 818 | 59 | |
Robert Half International, Inc. | 463 | 26 | |
Robinson (C.H.) Worldwide, Inc. | 518 | 44 | |
Rockwell Automation, Inc. | 462 | 70 | |
Rollins, Inc. | 565 | 20 | |
Roper Technologies, Inc. | 396 | 106 | |
Snap-on, Inc. | 214 | 31 | |
Southwest Airlines Co. | 1,935 | 90 | |
Stanley Black & Decker, Inc. | 569 | 68 | |
Textron, Inc. | 937 | 43 | |
TransDigm Group, Inc.(1) | 182 | 62 | |
Union Pacific Corp.(2) | 2,823 | 390 | |
United Continental Holdings, Inc.(1) | 852 | 71 | |
United Parcel Service, Inc. Class B(2) | 2,644 | 258 | |
United Rentals, Inc.(1) | 318 | 33 | |
United Technologies Corp.(2) | 3,036 | 323 | |
Verisk Analytics, Inc.(1) | 624 | 68 | |
W.W. Grainger, Inc. | 170 | 48 | |
Waste Management, Inc. | 1,477 | 131 |
Shares | Value | ||
Industrials—continued | |||
Xylem, Inc. | 672 | $45 | |
7,368 | |||
Information Technology—19.0% | |||
Accenture plc Class A(2) | 2,465 | 348 | |
Adobe, Inc.(1) | 1,972 | 446 | |
Advanced Micro Devices, Inc.(1) | 3,197 | 59 | |
Alliance Data Systems Corp. | 179 | 27 | |
Amphenol Corp. Class A | 1,143 | 93 | |
Analog Devices, Inc. | 1,407 | 121 | |
ANSYS, Inc.(1) | 325 | 46 | |
Apple, Inc.(2) | 17,698 | 2,792 | |
Applied Materials, Inc. | 3,790 | 124 | |
Arista Networks, Inc.(1) | 200 | 42 | |
Autodesk, Inc.(1) | 841 | 108 | |
Automatic Data Processing, Inc. | 1,676 | 220 | |
Broadcom, Inc. | 1,634 | 416 | |
Broadridge Financial Solutions, Inc. | 440 | 42 | |
Cadence Design Systems, Inc.(1) | 1,077 | 47 | |
Cisco Systems, Inc.(2) | 17,683 | 766 | |
Citrix Systems, Inc. | 486 | 50 | |
Cognizant Technology Solutions Corp. Class A | 2,208 | 140 | |
Corning, Inc. | 3,076 | 93 | |
DXC Technology Co. | 1,073 | 57 | |
F5 Networks, Inc.(1) | 232 | 38 | |
Fidelity National Information Services, Inc. | 1,242 | 127 | |
Fiserv, Inc.(1) | 1,541 | 113 | |
FleetCor Technologies, Inc.(1) | 335 | 62 | |
FLIR Systems, Inc. | 525 | 23 | |
Fortinet, Inc.(1) | 549 | 39 | |
Gartner, Inc.(1) | 352 | 45 | |
Global Payments, Inc. | 603 | 62 | |
Hewlett Packard Enterprise Co. | 5,599 | 74 | |
HP, Inc. | 5,983 | 122 | |
Intel Corp.(2) | 17,370 | 815 | |
International Business Machines Corp.(2) | 3,432 | 390 | |
Intuit, Inc. | 1,002 | 197 | |
IPG Photonics Corp.(1) | 137 | 16 | |
Jack Henry & Associates, Inc. | 294 | 37 | |
Juniper Networks, Inc. | 1,303 | 35 | |
Keysight Technologies, Inc.(1) | 690 | 43 | |
KLA-Tencor Corp. | 604 | 54 | |
Lam Research Corp. | 603 | 82 | |
Mastercard, Inc. Class A(2) | 3,469 | 654 | |
Maxim Integrated Products, Inc. | 1,050 | 53 | |
Microchip Technology, Inc. | 890 | 64 | |
Micron Technology, Inc.(1) | 4,434 | 141 | |
Microsoft Corp.(2) | 29,554 | 3,002 | |
Motorola Solutions, Inc. | 618 | 71 | |
NetApp, Inc. | 988 | 59 | |
NVIDIA Corp. | 2,308 | 308 | |
Oracle Corp.(2) | 10,697 | 483 | |
Paychex, Inc. | 1,222 | 80 | |
PayPal Holdings, Inc.(1)(2) | 4,504 | 379 | |
Qorvo, Inc.(1) | 471 | 29 | |
QUALCOMM, Inc.(2) | 4,563 | 260 | |
Red Hat, Inc.(1) | 663 | 116 | |
salesforce.com, Inc.(1) | 2,910 | 399 | |
Seagate Technology plc | 997 | 38 | |
Skyworks Solutions, Inc. | 677 | 45 | |
Symantec Corp. | 2,419 | 46 | |
Synopsys, Inc.(1) | 565 | 48 |
Shares | Value | ||
Information Technology—continued | |||
TE Connectivity Ltd. | 1,312 | $99 | |
Texas Instruments, Inc.(2) | 3,691 | 349 | |
Total System Services, Inc. | 636 | 52 | |
VeriSign, Inc.(1) | 410 | 61 | |
Visa, Inc. Class A(2) | 6,754 | 891 | |
Western Digital Corp. | 1,121 | 41 | |
Western Union Co. (The) | 1,718 | 29 | |
Xerox Corp. | 784 | 15 | |
Xilinx, Inc. | 948 | 81 | |
16,304 | |||
Materials—2.5% | |||
Air Products & Chemicals, Inc. | 828 | 133 | |
Albemarle Corp. | 419 | 32 | |
Avery Dennison Corp. | 325 | 29 | |
Ball Corp. | 1,298 | 60 | |
CF Industries Holdings, Inc. | 863 | 38 | |
DowDuPont, Inc.(2) | 8,778 | 469 | |
Eastman Chemical Co. | 531 | 39 | |
Ecolab, Inc. | 953 | 140 | |
FMC Corp. | 509 | 38 | |
Freeport-McMoRan, Inc. | 5,590 | 58 | |
International Flavors & Fragrances, Inc. | 378 | 51 | |
International Paper Co. | 1,514 | 61 | |
Linde plc | 2,072 | 323 | |
LyondellBasell Industries NV Class A | 1,212 | 101 | |
Martin Marietta Materials, Inc. | 236 | 41 | |
Mosaic Co. (The) | 1,323 | 39 | |
Newmont Mining Corp. | 2,035 | 70 | |
Nucor Corp. | 1,166 | 60 | |
Packaging Corporation of America | 352 | 29 | |
PPG Industries, Inc. | 910 | 93 | |
Sealed Air Corp. | 566 | 20 | |
Sherwin-Williams Co. (The) | 306 | 120 | |
Vulcan Materials Co. | 489 | 48 | |
Westrock Co. | 942 | 36 | |
2,128 | |||
Real Estate—3.0% | |||
Alexandria Real Estate Equities, Inc. | 439 | 51 | |
American Tower Corp. | 1,823 | 288 | |
Apartment Investment & Management Co. Class A | 646 | 28 | |
AvalonBay Communities, Inc. | 570 | 99 | |
Boston Properties, Inc. | 639 | 72 | |
CBRE Group, Inc. Class A(1) | 1,319 | 53 | |
Crown Castle International Corp. | 1,721 | 187 | |
Digital Realty Trust, Inc. | 859 | 92 | |
Duke Realty Corp. | 1,476 | 38 | |
Equinix, Inc. | 330 | 116 | |
Equity Residential | 1,522 | 101 | |
Essex Property Trust, Inc. | 272 | 67 | |
Extra Space Storage, Inc. | 523 | 47 | |
Federal Realty Investment Trust | 305 | 36 | |
HCP, Inc. | 1,943 | 54 | |
Host Hotels & Resorts, Inc. | 3,063 | 51 | |
Iron Mountain, Inc. | 1,179 | 38 | |
Kimco Realty Corp. | 1,730 | 25 | |
Macerich Co. (The) | 446 | 19 | |
Mid-America Apartment Communities, Inc. | 470 | 45 | |
Prologis, Inc. | 2,612 | 153 | |
Public Storage | 605 | 122 | |
Realty Income Corp. | 1,197 | 75 |
Shares | Value | ||
Real Estate—continued | |||
Regency Centers Corp. | 709 | $42 | |
SBA Communications, Corp.(1) | 473 | 77 | |
Simon Property Group, Inc.(2) | 1,287 | 216 | |
SL Green Realty Corp. | 360 | 29 | |
UDR, Inc. | 1,102 | 44 | |
Ventas, Inc. | 1,468 | 86 | |
Vornado Realty Trust | 720 | 45 | |
Welltower, Inc. | 1,536 | 107 | |
Weyerhaeuser Co. | 3,191 | 70 | |
2,573 | |||
Utilities—3.4% | |||
AES Corp. | 2,706 | 39 | |
Alliant Energy Corp. | 983 | 42 | |
Ameren Corp. | 1,018 | 66 | |
American Electric Power Co., Inc. | 2,047 | 153 | |
American Water Works Co., Inc. | 750 | 68 | |
CenterPoint Energy, Inc. | 2,037 | 57 | |
CMS Energy Corp. | 1,184 | 59 | |
Consolidated Edison, Inc. | 1,288 | 98 | |
Dominion Energy, Inc. | 2,672 | 191 | |
DTE Energy Co. | 761 | 84 | |
Duke Energy Corp.(2) | 2,949 | 254 | |
Edison International | 1,344 | 76 | |
Entergy Corp. | 753 | 65 | |
Evergy, Inc. | 1,117 | 63 | |
Eversource Energy | 1,319 | 86 | |
Exelon Corp.(2) | 3,983 | 180 | |
FirstEnergy Corp. | 2,025 | 76 | |
NextEra Energy, Inc.(2) | 1,960 | 341 | |
NiSource, Inc. | 1,507 | 38 | |
NRG Energy, Inc. | 1,265 | 50 | |
PG&E Corp.(1) | 2,178 | 52 | |
Pinnacle West Capital Corp. | 468 | 40 | |
PPL Corp. | 2,915 | 83 | |
Public Service Enterprise Group, Inc. | 2,093 | 109 | |
SCANA Corp. | 555 | 27 | |
Sempra Energy | 1,122 | 121 | |
Southern Co. (The)(2) | 4,212 | 185 | |
WEC Energy Group, Inc. | 1,315 | 91 | |
Xcel Energy, Inc. | 2,126 | 105 | |
2,899 | |||
Total Common Stocks (Identified Cost $77,969) | 82,942 | ||
Exchange-Traded Fund—2.1% | |||
Invesco S&P 500 Low Volatility ETF(3) | 38,954 | 1,817 | |
Total Exchange-Traded Fund (Identified Cost $1,898) | 1,817 | ||
Total Long-Term Investments—98.7% (Identified Cost $79,867) | 84,759 | ||
Short-Term Investments—0.0% | |||
Purchased Options—0.0% | |||
(See the open purchased options contracts table on page 52 for the detailed information) | |||
Total Purchased Options (Premiums paid $97) | 22 |
Shares | Value | ||
Total Short-Term Investments (Identified Cost $97) | $22 | ||
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—98.7% (Identified Cost $79,964) | 84,781 | ||
Written Options—(0.0)% | |||
(See open written options schedule) | |||
Total Written Options (Premiums received $(164)) | (54) | ||
TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—98.7% (Identified Cost $79,800) | 84,727 | ||
Other assets and liabilities, net—1.3% | 1,118 | ||
NET ASSETS—100.0% | $85,845 |
Abbreviations: | |
ETF | Exchange-Traded Fund |
S&P | Standard & Poor’s |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | All or a portion of the security is segregated as collateral for written options. |
(3) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Open Purchased Options contracts as of December 31, 2018 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options | |||||
S&P 500® Index | 70 | $19,040 | $2,720 | 01/04/19 | $—(2) |
S&P 500® Index | 55 | 14,988 | 2,725 | 01/07/19 | —(2) |
S&P 500® Index | 60 | 16,500 | 2,750 | 01/09/19 | 1 |
S&P 500® Index | 56 | 15,820 | 2,825 | 01/11/19 | 1 |
S&P 500® Index | 56 | 15,540 | 2,775 | 01/14/19 | 2 |
4 | |||||
Put Options | |||||
S&P 500® Index | 70 | 14,805 | 2,115 | 01/04/19 | 2 |
S&P 500® Index | 55 | 10,725 | 1,950 | 01/07/19 | —(2) |
S&P 500® Index | 60 | 12,300 | 2,050 | 01/09/19 | 1 |
S&P 500® Index | 56 | 11,480 | 2,050 | 01/11/19 | 4 |
S&P 500® Index | 56 | 11,900 | 2,125 | 01/14/19 | 11 |
18 | |||||
Total Purchased Options | $22 |
Open Written Options Contracts as of December 31, 2018 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options | |||||
S&P 500® Index | 70 | $18,620 | $2,660 | 01/04/19 | $(1) |
S&P 500® Index | 55 | 14,575 | 2,650 | 01/07/19 | (4) |
S&P 500® Index | 60 | 16,080 | 2,680 | 01/09/19 | (6) |
S&P 500® Index | 56 | 15,400 | 2,750 | 01/11/19 | (1) |
S&P 500® Index | 56 | 15,120 | 2,700 | 01/14/19 | (7) |
(19) | |||||
Put Options | |||||
S&P 500® Index | 70 | 15,225 | 2,175 | 01/04/19 | (3) |
S&P 500® Index | 55 | 11,138 | 2,025 | 01/07/19 | (2) |
S&P 500® Index | 60 | 12,720 | 2,120 | 01/09/19 | (3) |
S&P 500® Index | 56 | 11,900 | 2,125 | 01/11/19 | (8) |
S&P 500® Index | 56 | 12,320 | 2,200 | 01/14/19 | (19) |
(35) | |||||
Total Written Options | $(54) |
Footnote Legend | |
(1) | Strike price not reported in thousands. |
(2) | Amount is less than $500. |
Total Value at December 31, 2018 | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $82,942 | $82,942 | $— | ||
Exchange-Traded Fund | 1,817 | 1,817 | — | ||
Purchased Options | 22 | 21 | 1 | ||
Total Investments before Written Options | $84,781 | $84,780 | $1 | ||
Liabilities: | |||||
Written Options | $(54) | $(45) | $(9) | ||
Total Investments Net of Written Options | $84,727 | $84,735 | $(8) |
Par Value | Value | ||
U.S. Government Securities—3.7% | |||
U.S. Treasury Bond | |||
2.500%, 2/15/46 | $2,784 | $2,518 | |
3.000%, 8/15/48 | 440 | 439 | |
Total U.S. Government Securities (Identified Cost $3,019) | 2,957 | ||
Municipal Bonds—2.7% | |||
California—1.0% | |||
San Diego County Regional Airport Authority Rental Car Center Project Series B - Taxable 5.594%, 7/1/43 | 275 | 301 | |
State of California, Build America Bonds Taxable 7.600%, 11/1/40 | 265 | 386 | |
University of California, Series B-A, Taxable 4.428%, 5/15/48 | 75 | 76 | |
763 | |||
Idaho—0.1% | |||
Idaho Health Facilities Authority Saint Luke’s Health System Revenue Taxable 5.020%, 3/1/48 | 90 | 95 | |
New York—0.9% | |||
New York City Transitional Finance Authority Future Tax Secured Revenue Series A-3 5.000%, 8/1/40 | 315 | 358 | |
Port Authority of New York & New Jersey, Consolidated Bonds Revenue 5.000%, 4/15/57 | 335 | 373 | |
731 | |||
Texas—0.3% | |||
State of Texas 3.011%, 10/1/26 | 200 | 198 | |
Virginia—0.4% | |||
City of Bristol, General Obligation Taxable 4.210%, 1/1/42 | 135 | 137 | |
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 205 | 193 | |
330 | |||
Total Municipal Bonds (Identified Cost $2,135) | 2,117 | ||
Foreign Government Securities—0.6% | |||
Argentine Republic 7.125%, 7/6/36 | 180 | 129 | |
Bolivarian Republic of Venezuela 9.375%, 1/13/34(1) | 65 | 18 | |
Kingdom of Abu Dhabi 144A 2.500%, 10/11/22(2) | 200 | 194 | |
Republic of Chile 5.500%, 8/5/20 | 52,000COP | 77 |
Par Value | Value | ||
United Mexican States | |||
4.750%, 3/8/44 | $54 | $49 | |
Series M 6.500%, 6/9/22 | 925MXN | 44 | |
Total Foreign Government Securities (Identified Cost $595) | 511 | ||
Mortgage-Backed Securities—9.7% | |||
Agency—1.2% | |||
Federal National Mortgage Association | |||
Pool #813881 4.000%, 6/1/20 | 4 | 4 | |
Pool #825985 4.500%, 7/1/20 | —(3) | —(3) | |
Pool #254007 6.500%, 10/1/31 | 2 | 2 | |
Pool #656288 6.000%, 9/1/32 | 8 | 9 | |
Pool #835144 5.000%, 10/1/35 | 22 | 24 | |
Pool #882224 6.000%, 9/1/36 | 1 | 1 | |
Pool #914724 5.500%, 4/1/37 | 6 | 6 | |
Pool #940524 5.500%, 7/1/37 | 18 | 19 | |
Pool #949301 6.000%, 10/1/37 | 6 | 6 | |
Pool #975097 5.000%, 6/1/38 | 16 | 17 | |
Pool #929637 5.500%, 6/1/38 | 3 | 3 | |
Pool #986012 5.500%, 6/1/38 | 3 | 3 | |
Pool #994383 5.500%, 11/1/38 | 12 | 13 | |
Pool #930486 4.000%, 1/1/39 | 37 | 38 | |
Pool #991124 5.000%, 1/1/39 | 5 | 6 | |
Pool #994322 6.000%, 1/1/39 | 3 | 4 | |
Pool #AA4418 4.500%, 3/1/39 | 9 | 9 | |
Pool #AA4434 5.000%, 3/1/39 | 8 | 9 | |
Pool #AA4436 6.000%, 3/1/39 | 5 | 5 | |
Pool #930919 4.500%, 4/1/39 | 69 | 72 | |
Pool #993579 4.000%, 5/1/39 | 65 | 67 | |
Pool #AC9564 4.500%, 2/1/40 | 51 | 53 | |
Pool #AE4799 4.000%, 10/1/40 | 110 | 113 | |
Pool #AH8935 4.500%, 4/1/41 | 107 | 112 | |
Pool #AH7627 4.000%, 7/1/41 | 74 | 76 | |
Pool #AJ5753 3.500%, 1/1/42 | 25 | 25 |
Par Value | Value | ||
Agency—continued | |||
Pool #AS6515 4.000%, 1/1/46 | $185 | $188 | |
Pool #AS9393 4.000%, 4/1/47 | 39 | 40 | |
Government National Mortgage Association | |||
Pool #368053 6.500%, 11/15/23 | 17 | 19 | |
Pool #351336 6.500%, 12/15/23 | 1 | 1 | |
Pool #385198 6.500%, 2/15/24 | 12 | 13 | |
Pool #563381 6.500%, 11/15/31 | 17 | 18 | |
Pool #581072 6.500%, 2/15/32 | 18 | 20 | |
995 | |||
Non-Agency—8.5% | |||
Access Point Funding I LLC 2017-A, A 144A 3.060%, 4/15/29(2) | 96 | 95 | |
Agate Bay Mortgage Trust 2016-3, A5 144A 3.500%, 8/25/46(2)(4) | 68 | 68 | |
American Homes 4 Rent Trust | |||
2015-SFR2, C 144A 4.691%, 10/17/45(2) | 110 | 114 | |
2015-SFR1, A 144A 3.467%, 4/17/52(2) | 103 | 102 | |
Ameriquest Mortgage Securities, Inc. Pass-Through Certificates, 2003-AR3, M4 (1 month LIBOR - 5.850%) 3.596%, 6/25/33(4) | 132 | 131 | |
Angel Oak Mortgage Trust I LLC | |||
2018-1, A1 144A 3.258%, 4/27/48(2)(4) | 40 | 39 | |
2018-2, A1 144A 3.674%, 7/27/48(2)(4) | 45 | 45 | |
Arroyo Mortgage Trust 2018-1, A1 144A 3.763%, 4/25/48(2)(4) | 88 | 88 | |
Aventura Mall Trust 2013-AVM, C 144A 3.743%, 12/5/32(2)(4) | 300 | 305 | |
Bayview Opportunity Master Fund IVa Trust 2016-SPL1, B1 144A 4.250%, 4/28/55(2) | 100 | 101 | |
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A 4.250%, 6/28/53(2)(4) | 100 | 101 | |
BX Trust 2018-GW, B (1 month LIBOR + 1.020%) 144A 3.475%, 5/15/35(2)(4) | 125 | 122 | |
CIT Home Equity Loan Trust 2003-1, A5 5.480%, 7/20/34 | 108 | 109 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2004-NCM2, 2CB2 6.750%, 8/25/34 | 54 | 58 | |
2014-A, A 144A 4.000%, 1/25/35(2)(4) | 34 | 35 | |
2015-A, A1 144A 3.500%, 6/25/58(2)(4) | 43 | 43 | |
Cold Storage Trust 2017-ICE3, A (1 month LIBOR + 1.000%) 144A 3.455%, 4/15/36(2)(4) | 115 | 113 | |
Colony Starwood Homes Trust 2016-2A, C (1 month LIBOR + 2.150%) 144A 4.605%, 12/17/33(2)(4) | 74 | 74 |
Par Value | Value | ||
Non-Agency—continued | |||
COLT Mortgage Loan Trust Funding LLC | |||
2018-1, A1 144A 2.930%, 2/25/48(2)(4) | $55 | $55 | |
2018-2, A1 144A 3.470%, 7/27/48(2)(4) | 76 | 76 | |
Credit Suisse Mortgage Capital Trust 2013-HYB1, A16 144A 3.002%, 4/25/43(2)(4) | 25 | 25 | |
Deephaven Residential Mortgage Trust 2018-1A, A1 144A 2.976%, 12/25/57(2)(4) | 61 | 61 | |
Ellington Financial Mortgage Trust 2018-1, A1FX 144A 4.140%, 10/25/58(2)(4) | 97 | 97 | |
GAHR Commercial Mortgage Trust 2015-NRF, CFX 144A 3.382%, 12/15/34(2)(4) | 100 | 99 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(2)(4) | 58 | 58 | |
2018-2, A41 144A 4.500%, 10/25/58(2)(4) | 94 | 96 | |
GMAC Mortgage Corp. Loan Trust 2004-AR1, 12A 4.317%, 6/25/34(4) | 22 | 22 | |
Goldman Sachs Mortgage Securities Trust 2012-ALOH, A 144A 3.551%, 4/10/34(2) | 100 | 101 | |
GSAA Home Equity Trust 2005-12, AF3W 4.999%, 9/25/35(4) | 26 | 26 | |
IMC Home Equity Loan Trust 1997-5, A9 7.310%, 11/20/28 | 59 | 58 | |
JPMorgan Chase (Bear Stearns) Adjustable Rate Mortgage Trust 2004-1, 21A1 4.113%, 4/25/34(4) | 33 | 33 | |
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust | |||
2003-AR6, A1 4.222%, 6/25/33(4) | 35 | 35 | |
2003-AR4, 2A1 3.950%, 8/25/33(4) | 48 | 47 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
2011-C4, A4 144A 4.388%, 7/15/46(2) | 219 | 225 | |
2014-C22, A4 3.801%, 9/15/47 | 150 | 152 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, 2A2 144A 3.500%, 6/25/29(2)(4) | 90 | 89 | |
2016-1, M2 144A 3.750%, 4/25/45(2)(4) | 65 | 65 | |
2016-2, M2 144A 3.750%, 12/25/45(2)(4) | 72 | 72 | |
2017-5, A1 144A 3.176%, 10/26/48(2)(4) | 234 | 232 | |
2018-8, A3 144A 4.000%, 1/25/49(2)(4) | 49 | 49 | |
MASTR Alternative Loan Trust 2003-8, 2A1 5.750%, 11/25/33 | 84 | 86 | |
MASTR Specialized Loan Trust 2005-3, A2 144A 5.704%, 11/25/35(2) | 36 | 37 | |
MetLife Securitization Trust 2017-1A, M1 144A 3.693%, 4/25/55(2)(4) | 100 | 100 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust 2015-C22, AS 3.561%, 4/15/48 | 225 | 224 | |
Morgan Stanley Capital I Trust 2017-CLS, A (1 month LIBOR + 0.700%) 144A 3.155%, 11/15/34(2)(4) | 108 | 106 |
Par Value | Value | ||
Non-Agency—continued | |||
Motel 6 Trust 2017-MTL6, A (1 month LIBOR + 0.920%) 144A 3.375%, 8/15/34(2)(4) | $124 | $122 | |
New Residential Mortgage Loan Trust | |||
2016-2A, A1 144A 3.750%, 11/26/35(2)(4) | 140 | 140 | |
2014-1A, A 144A 3.750%, 1/25/54(2)(4) | 61 | 61 | |
2015-2A, A1 144A 3.750%, 8/25/55(2)(4) | 115 | 115 | |
2016-1A, A1 144A 3.750%, 3/25/56(2)(4) | 49 | 49 | |
2016-3A, A1 144A 3.750%, 9/25/56(2)(4) | 62 | 62 | |
2016-4A, A1 144A 3.750%, 11/25/56(2)(4) | 95 | 95 | |
2016-4A, B1A 144A 4.500%, 11/25/56(2)(4) | 92 | 95 | |
NovaStar Mortgage Funding Trust 2004-4, M5 (1 month LIBOR + 1.725%) 4.231%, 3/25/35(4) | 78 | 78 | |
Oak Hill Advisors Residential Loan Trust 2017-NPL2, A1 144A 3.000%, 7/25/57(2) | 87 | 85 | |
OBX Trust 2018-EXP2, 1A1 144A 4.000%, 11/25/48(2)(4) | 97 | 97 | |
One Market Plaza Trust 2017-1MKT, A 144A 3.614%, 2/10/32(2) | 100 | 100 | |
Progress Residential Trust 2018-SFR1, B 144A 3.484%, 3/17/35(2) | 110 | 108 | |
Residential Asset Mortgage Products Trust 2005-SL2, A4 7.500%, 2/25/32 | 43 | 39 | |
RETL 2018-RVP, C (1 month LIBOR + 2.050%) 144A 4.505%, 3/15/33(2)(4) | 60 | 60 | |
Structured Adjustable Rate Mortgage Loan Trust 2004-1, 6A 4.522%, 2/25/34(4) | 73 | 73 | |
Towd Point Mortgage Trust | |||
2015-1, A2 144A 3.250%, 10/25/53(2)(4) | 100 | 99 | |
2015-6, M1 144A 3.750%, 4/25/55(2)(4) | 100 | 100 | |
2015-5, A1B 144A 2.750%, 5/25/55(2)(4) | 63 | 62 | |
2015-5, A2 144A 3.500%, 5/25/55(2)(4) | 100 | 100 | |
2016-4, A1 144A 2.250%, 7/25/56(2)(4) | 57 | 56 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(2)(4) | 100 | 100 | |
2015-2, 1M1 144A 3.250%, 11/25/60(2)(4) | 145 | 141 | |
Vericrest Opportunity Loan Trust LXIV LLC 2017-NP11, A1 144A 3.375%, 10/25/47(2) | 102 | 101 | |
Vericrest Opportunity Loan Trust LXIX LLC 2018-NPL5, A1A 144A 4.213%, 8/25/48(2) | 110 | 109 | |
Verus Securitization Trust | |||
2018-1, A1 144A 2.929%, 2/25/48(2)(4) | 119 | 118 | |
2018-2, A1 144A 3.677%, 6/1/58(2)(4) | 87 | 87 | |
2018-3, A1 144A 4.108%, 10/25/58(2)(4) | 97 | 97 |
Par Value | Value | ||
Non-Agency—continued | |||
Wells Fargo Commercial Mortgage Trust 2015-LC20, B 3.719%, 4/15/50 | $140 | $136 | |
6,754 | |||
Total Mortgage-Backed Securities (Identified Cost $7,750) | 7,749 | ||
Asset-Backed Securities—4.1% | |||
Automobiles—2.7% | |||
American Credit Acceptance Receivables Trust | |||
2017-2, C 144A 2.860%, 6/12/23(2) | 95 | 95 | |
2018-3, C 144A 3.750%, 10/15/24(2) | 105 | 105 | |
2018-4, C 144A 3.970%, 1/13/25(2) | 100 | 100 | |
Avis Budget Rental Car Funding LLC (AESOP) 2015-2A, A 144A 2.630%, 12/20/21(2) | 180 | 178 | |
Capital Auto Receivables Asset Trust 2017-1, C 144A 2.700%, 9/20/22(2) | 90 | 89 | |
Centre Point Funding LLC 2012-2A, 1 144A 2.610%, 8/20/21(2) | 43 | 43 | |
Drive Auto Receivables Trust 2018-4, D 4.090%, 1/15/26 | 105 | 106 | |
DT Auto Owner Trust | |||
2016-4A, C 144A 2.740%, 10/17/22(2) | 65 | 65 | |
2018-3A, C 144A 3.790%, 7/15/24(2) | 75 | 75 | |
Exeter Automobile Receivables Trust | |||
2014-3A, D 144A 5.690%, 4/15/21(2) | 115 | 116 | |
2015-1A, C 144A 4.100%, 12/15/20(2) | 65 | 65 | |
2018-3A, C 144A 3.710%, 6/15/23(2) | 105 | 106 | |
2018-4A, D 144A 4.350%, 9/16/24(2) | 100 | 101 | |
Flagship Credit Auto Trust | |||
2016-1, A 144A 2.770%, 12/15/20(2) | 10 | 10 | |
2016-2, B 144A 3.840%, 9/15/22(2) | 82 | 82 | |
GLS Auto Receivables Trust | |||
2017-1A, B 144A 2.980%, 12/15/21(2) | 115 | 115 | |
2018-3A, C 144A 4.180%, 7/15/24(2) | 130 | 131 | |
Hertz Vehicle Financing II LP 2015-1A, A 144A 2.730%, 3/25/21(2) | 110 | 109 | |
Skopos Auto Receivables Trust 2018-1A, A 144A 3.190%, 9/15/21(2) | 52 | 52 | |
Tesla Auto Lease Trust 2018-B, B 144A 4.120%, 10/20/21(2) | 85 | 85 | |
Tricolor Auto Securitization Trust 2018-2A, B 144A 4.760%, 2/15/22(2) | 100 | 101 | |
Veros Automobile Receivables Trust 2018-1, B 144A 4.050%, 2/15/24(2) | 85 | 86 |
Par Value | Value | ||
Automobiles—continued | |||
Westlake Automobile Receivables Trust 2017-2A, C 144A 2.590%, 12/15/22(2) | $110 | $109 | |
2,124 | |||
Home Equity Loans—0.0% | |||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates 2001-SB1, A2 3.375%, 8/25/31 | 34 | 33 | |
Other—1.1% | |||
BXG Receivables Note Trust 2012-A, A 144A 2.660%, 12/2/27(2) | 21 | 21 | |
CCG Receivables Trust 2018-1, A2 144A 2.500%, 6/16/25(2) | 217 | 216 | |
Dell Equipment Finance Trust 2017-2, A3 144A 2.190%, 10/24/22(2) | 100 | 99 | |
Diamond Resorts Owner Trust 2017-1A, A 144A 3.270%, 10/22/29(2) | 52 | 52 | |
Hilton Grand Vacations Trust 2018-AA, A 144A 3.540%, 2/25/32(2) | 100 | 100 | |
MVW Owner Trust 2017-1A, A 144A 2.420%, 12/20/34(2) | 79 | 77 | |
OneMain Financial Issuance Trust 2015-1A, A 144A 3.190%, 3/18/26(2) | 24 | 24 | |
Prosper Marketplace Issuance Trust | |||
2017-2A, B 144A 3.480%, 9/15/23(2) | 100 | 100 | |
2018-2A, B 144A 3.960%, 10/15/24(2) | 100 | 100 | |
SoFi Consumer Loan Program LLC | |||
2016-3, A 144A 3.050%, 12/26/25(2) | 65 | 65 | |
2017-1, A 144A 3.280%, 1/26/26(2) | 41 | 41 | |
895 | |||
Student Loan—0.3% | |||
Earnest Student Loan Program LLC 2017-A, A2 144A 2.650%, 1/25/41(2) | 58 | 58 | |
Laurel Road Prime Student Loan Trust 2017-B, A2FX 144A 2.770%, 8/25/42(2) | 104 | 102 | |
SoFi Professional Loan Program LLC 2016-A, A2 144A 2.760%, 12/26/36(2) | 43 | 43 | |
203 | |||
Total Asset-Backed Securities (Identified Cost $3,259) | 3,255 | ||
Corporate Bonds and Notes—17.6% | |||
Communication Services—0.9% | |||
AT&T, Inc. | |||
5.250%, 3/1/37 | 20 | 20 | |
4.800%, 6/15/44 | 90 | 81 | |
Charter Communications Operating LLC 4.908%, 7/23/25 | 105 | 104 | |
Comcast Corp. | |||
3.950%, 10/15/25 | 45 | 46 | |
4.150%, 10/15/28 | 22 | 22 | |
Discovery Communications LLC 3.950%, 3/20/28 | 100 | 93 |
Par Value | Value | ||
Communication Services—continued | |||
Meredith Corp. 144A 6.875%, 2/1/26(2) | $40 | $39 | |
Sprint Spectrum Co., LLC 144A 4.738%, 3/20/25(2) | 200 | 196 | |
Verizon Communications, Inc. | |||
4.125%, 3/16/27 | 105 | 105 | |
(3 month LIBOR + 1.100%) 3.716%, 5/15/25(4) | 35 | 34 | |
740 | |||
Consumer Discretionary—1.4% | |||
Aptiv Corp. 4.150%, 3/15/24 | 90 | 90 | |
Bunge Ltd. Finance Corp. 4.350%, 3/15/24 | 70 | 69 | |
CRH America, Inc. 144A 3.875%, 5/18/25(2) | 90 | 87 | |
Dollar Tree, Inc. 4.000%, 5/15/25 | 90 | 87 | |
General Motors Financial Co., Inc. | |||
3.500%, 7/10/19 | 130 | 130 | |
4.200%, 3/1/21 | 45 | 45 | |
3.550%, 4/9/21 | 17 | 17 | |
GLP Capital LP 5.750%, 6/1/28 | 100 | 101 | |
Graham Holdings Co. 144A 5.750%, 6/1/26(2) | 80 | 80 | |
Horton (D.R.), Inc. 4.750%, 2/15/23 | 115 | 116 | |
Lear Corp. 3.800%, 9/15/27 | 120 | 110 | |
Lennar Corp. 4.750%, 11/29/27 | 60 | 54 | |
TRI Pointe Group, Inc. 5.875%, 6/15/24 | 55 | 49 | |
William Lyon Homes, Inc. 6.000%, 9/1/23 | 65 | 58 | |
1,093 | |||
Consumer Staples—0.8% | |||
Anheuser-Busch InBev Worldwide, Inc. 4.000%, 4/13/28 | 110 | 105 | |
Conagra Brands, Inc. 4.300%, 5/1/24 | 85 | 85 | |
CVS Health Corp. | |||
2.875%, 6/1/26 | 120 | 110 | |
4.300%, 3/25/28 | 83 | 81 | |
Flowers Foods, Inc. 4.375%, 4/1/22 | 130 | 131 | |
Kraft Heinz Foods Co. (The) | |||
3.500%, 7/15/22 | 53 | 52 | |
4.000%, 6/15/23 | 40 | 40 | |
604 | |||
Energy—1.4% | |||
Cheniere Energy Partners LP 144A 5.625%, 10/1/26(2) | 35 | 33 | |
CNOOC Finance 2013 Ltd. 3.000%, 5/9/23 | 200 | 193 | |
Enbridge Energy Partners LP 5.875%, 10/15/25 | 105 | 114 |
Par Value | Value | ||
Energy—continued | |||
EP Energy LLC 144A 8.000%, 11/29/24(2)(5) | $30 | $22 | |
Helmerich & Payne, Inc. 144A 4.650%, 3/15/25(2) | 80 | 82 | |
HollyFrontier Corp. 5.875%, 4/1/26 | 100 | 101 | |
Kinder Morgan, Inc. | |||
4.300%, 6/1/25 | 165 | 164 | |
7.750%, 1/15/32 | 65 | 78 | |
MPLX LP 4.875%, 12/1/24 | 120 | 122 | |
NuStar Logistics LP 5.625%, 4/28/27 | 70 | 65 | |
Range Resources Corp. 5.000%, 3/15/23 | 35 | 31 | |
Valero Energy Partners LP 4.500%, 3/15/28 | 90 | 88 | |
1,093 | |||
Financials—6.6% | |||
Allstate Corp. (The) Series B 5.750%, 8/15/53(6) | 145 | 141 | |
Apollo Management Holdings LP 144A 4.000%, 5/30/24(2) | 150 | 150 | |
Ares Capital Corp. 3.500%, 2/10/23 | 45 | 43 | |
Ares Finance Co., LLC 144A 4.000%, 10/8/24(2) | 140 | 134 | |
Athene Holding Ltd. 4.125%, 1/12/28 | 95 | 86 | |
Aviation Capital Group LLC | |||
144A 3.875%, 5/1/23(2) | 108 | 106 | |
144A 3.500%, 11/1/27(2) | 100 | 90 | |
Banco de Credito e Inversiones 144A 3.500%, 10/12/27(2) | 215 | 194 | |
Bank of America Corp. | |||
3.004%, 12/20/23 | 90 | 87 | |
4.200%, 8/26/24 | 170 | 169 | |
Bank of Montreal 3.803%, 12/15/32 | 156 | 144 | |
Brighthouse Financial, Inc. 3.700%, 6/22/27 | 100 | 85 | |
BrightSphere Investment Group plc 4.800%, 7/27/26 | 65 | 63 | |
Brookfield Finance LLC 4.000%, 4/1/24 | 92 | 91 | |
Capital One Financial Corp. 3.750%, 7/28/26 | 115 | 105 | |
Citigroup, Inc. | |||
3.200%, 10/21/26 | 66 | 61 | |
(3 month LIBOR + 1.250%) 4.047%, 7/1/26(4) | 160 | 156 | |
E*TRADE Financial Corp. 4.500%, 6/20/28 | 110 | 108 | |
FS KKR Capital Corp. | |||
4.250%, 1/15/20 | 125 | 125 | |
4.750%, 5/15/22 | 35 | 35 | |
Goldman Sachs Group, Inc. (The) 4.250%, 10/21/25 | 195 | 187 | |
Guanay Finance Ltd. 144A 6.000%, 12/15/20(2) | 109 | 110 |
Par Value | Value | ||
Financials—continued | |||
Huntington Bancshares, Inc. 7.000%, 12/15/20 | $95 | $101 | |
ICAHN Enterprises LP 6.375%, 12/15/25 | 70 | 67 | |
iStar, Inc. 5.250%, 9/15/22 | 70 | 65 | |
Jefferies Group LLC 6.875%, 4/15/21 | 42 | 45 | |
JPMorgan Chase & Co. 3.300%, 4/1/26 | 165 | 157 | |
KeyCorp 5.100%, 3/24/21 | 180 | 187 | |
Liberty Mutual Group, Inc. 144A 4.250%, 6/15/23(2) | 150 | 151 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 4.509%, 4/20/67(4)(6) | 55 | 43 | |
Lloyds Bank plc 144A 6.500%, 9/14/20(2) | 150 | 156 | |
Morgan Stanley | |||
4.100%, 5/22/23 | 90 | 90 | |
3.125%, 7/27/26 | 125 | 115 | |
Navient Corp. 6.750%, 6/25/25 | 85 | 72 | |
Nuveen Finance LLC 144A 4.125%, 11/1/24(2) | 135 | 138 | |
Prudential Financial, Inc. | |||
5.875%, 9/15/42 | 100 | 101 | |
5.625%, 6/15/43(6) | 65 | 64 | |
S&P Global, Inc. 4.000%, 6/15/25 | 135 | 138 | |
Santander Holdings USA, Inc. | |||
4.450%, 12/3/21 | 86 | 88 | |
3.700%, 3/28/22 | 93 | 91 | |
SBA Tower Trust 144A 2.877%, 7/9/21(2) | 100 | 98 | |
Synchrony Financial 3.950%, 12/1/27 | 90 | 76 | |
Teachers Insurance & Annuity Association of America 144A 4.375%, 9/15/54(2) | 120 | 122 | |
Toronto-Dominion Bank (The) 3.625%, 9/15/31 | 155 | 146 | |
Trinity Acquisition plc 4.400%, 3/15/26 | 90 | 90 | |
Wells Fargo & Co. | |||
Series M 3.450%, 2/13/23 | 125 | 122 | |
Series S 5.900%,(7) | 140 | 133 | |
Willis Towers Watson plc 5.750%, 3/15/21 | 135 | 141 | |
5,267 | |||
Health Care—1.5% | |||
AbbVie, Inc. | |||
3.600%, 5/14/25 | 50 | 48 | |
3.200%, 5/14/26 | 75 | 69 | |
Allergan Funding SCS 3.450%, 3/15/22 | 70 | 69 | |
Anthem, Inc. | |||
3.650%, 12/1/27 | 29 | 28 | |
4.101%, 3/1/28 | 95 | 93 |
Par Value | Value | ||
Health Care—continued | |||
Bausch Health Cos., Inc. | |||
144A 7.000%, 3/15/24(2) | $15 | $15 | |
144A 5.500%, 11/1/25(2) | 65 | 61 | |
Becton Dickinson and Co. 3.300%, 3/1/23 | 150 | 147 | |
Cardinal Health, Inc. | |||
3.200%, 3/15/23 | 70 | 67 | |
3.410%, 6/15/27 | 40 | 36 | |
Centene Corp. 144A 5.375%, 6/1/26(2) | 15 | 15 | |
Cigna Corp. | |||
144A 4.125%, 11/15/25(2) | 74 | 74 | |
144A 4.375%, 10/15/28(2) | 95 | 96 | |
Fresenius U.S. Finance II, Inc. 144A 4.500%, 1/15/23(2) | 15 | 15 | |
HCA, Inc. | |||
5.375%, 2/1/25 | 15 | 15 | |
5.625%, 9/1/28 | 35 | 34 | |
Shire Acquisitions Investments Ireland DAC 2.400%, 9/23/21 | 130 | 126 | |
Zimmer Biomet Holdings, Inc. | |||
3.550%, 4/1/25 | 70 | 66 | |
(3 month LIBOR + 0.750%) 3.554%, 3/19/21(4) | 110 | 109 | |
1,183 | |||
Industrials—0.5% | |||
CNH Industrial N.V. 4.500%, 8/15/23 | 89 | 89 | |
Oshkosh Corp. 4.600%, 5/15/28 | 117 | 115 | |
Penske Truck Leasing Co., LP 144A 4.125%, 8/1/23(2) | 90 | 90 | |
TransDigm, Inc. 6.375%, 6/15/26 | 35 | 33 | |
United Air Lines, Inc. Pass-Through-Trust 2007-1, A 6.636%, 7/2/22 | 90 | 93 | |
420 | |||
Information Technology—0.8% | |||
Apple, Inc. | |||
3.250%, 2/23/26 | 90 | 88 | |
3.350%, 2/9/27 | 90 | 88 | |
Broadcom Corp. | |||
3.000%, 1/15/22 | 45 | 43 | |
3.625%, 1/15/24 | 80 | 76 | |
Citrix Systems, Inc. 4.500%, 12/1/27 | 75 | 72 | |
Dell International LLC 144A 6.020%, 6/15/26(2) | 100 | 100 | |
Hewlett Packard Enterprise Co. 4.900%, 10/15/25 | 65 | 66 | |
Verisk Analytics, Inc. 4.000%, 6/15/25 | 135 | 135 | |
668 | |||
Materials—1.0% | |||
Anglo American Capital plc 144A 4.000%, 9/11/27(2) | 200 | 181 | |
ArcelorMittal 6.125%, 6/1/25 | 110 | 115 |
Par Value | Value | ||
Materials—continued | |||
DowDuPont, Inc. 4.493%, 11/15/25 | $97 | $100 | |
Glencore Funding LLC 144A 4.125%, 5/30/23(2) | 105 | 103 | |
NewMarket Corp. 4.100%, 12/15/22 | 157 | 161 | |
NOVA Chemicals Corp. | |||
144A 4.875%, 6/1/24(2) | 25 | 23 | |
144A 5.000%, 5/1/25(2) | 55 | 49 | |
Vulcan Materials Co. 3.900%, 4/1/27 | 105 | 99 | |
831 | |||
Real Estate—1.9% | |||
Alexandria Real Estate Equities, Inc. | |||
4.000%, 1/15/24 | 58 | 59 | |
3.950%, 1/15/27 | 65 | 63 | |
Brixmor Operating Partnership LP 3.875%, 8/15/22 | 35 | 35 | |
Corporate Office Properties LP 3.600%, 5/15/23 | 165 | 160 | |
EPR Properties 4.750%, 12/15/26 | 120 | 119 | |
Healthcare Realty Trust, Inc. 3.875%, 5/1/25 | 90 | 88 | |
Healthcare Trust of America Holdings LP | |||
3.375%, 7/15/21 | 55 | 55 | |
3.750%, 7/1/27 | 110 | 105 | |
Hospitality Properties Trust 4.500%, 3/15/25 | 105 | 102 | |
Kilroy Realty LP 4.375%, 10/1/25 | 120 | 120 | |
LifeStorage LP | |||
3.500%, 7/1/26 | 55 | 52 | |
3.875%, 12/15/27 | 40 | 38 | |
MPT Operating Partnership LP 5.000%, 10/15/27 | 35 | 32 | |
Physicians Realty LP 4.300%, 3/15/27 | 105 | 102 | |
Retail Opportunity Investments Partnership LP 4.000%, 12/15/24 | 105 | 99 | |
Select Income REIT 4.500%, 2/1/25 | 135 | 127 | |
Welltower, Inc. 4.000%, 6/1/25 | 150 | 148 | |
1,504 | |||
Utilities—0.8% | |||
American Electric Power Co., Inc. Series I 3.650%, 12/1/21 | 39 | 39 | |
Exelon Corp. 3.497%, 6/1/22 | 150 | 147 | |
Kansas City Power & Light Co. 3.150%, 3/15/23 | 120 | 119 | |
PNM Resources, Inc. 3.250%, 3/9/21 | 85 | 84 | |
PSEG Power LLC 3.850%, 6/1/23 | 30 | 30 | |
Southern Power Co. 4.150%, 12/1/25 | 160 | 159 | |
TerraForm Power Operating LLC 144A 5.000%, 1/31/28(2) | 55 | 48 |
Par Value | Value | ||
Utilities—continued | |||
Texas Competitive Electric Holdings Co. 144A 0.000%, 10/1/20(2)(8) | $65 | $—(3) | |
626 | |||
Total Corporate Bonds and Notes (Identified Cost $14,436) | 14,029 | ||
Leveraged Loans(4)—1.8% | |||
Aerospace—0.0% | |||
TransDigm, Inc. Tranche E (1 month LIBOR + 2.500%) 5.022%, 5/30/25 | 35 | 33 | |
Consumer Durables—0.2% | |||
Fluidra, S.A. (1 month LIBOR + 2.250%) 4.772%, 7/2/25 | 70 | 67 | |
Global Appliance, Inc. Tranche B (1 month LIBOR + 4.000%) 6.530%, 9/29/24 | 54 | 52 | |
119 | |||
Consumer Non-Durables—0.0% | |||
Herbalife Nutrition Ltd. Tranche B (1 month LIBOR + 3.250%) 5.772%, 8/18/25 | 10 | 10 | |
Energy—0.0% | |||
Paragon Offshore Finance Co. (3 month LIBOR + 2.750%) 0.000%, 7/16/21(1)(8) | —(3) | —(3) | |
Financial—0.1% | |||
Delos Finance S.a.r.l. (3 month LIBOR + 1.750%) 4.553%, 10/6/23 | 80 | 78 | |
Food / Tobacco—0.0% | |||
Aramark Intermediate HoldCo Corp. Tranche B-3 (1 month LIBOR + 1.750%) 4.272%, 3/11/25 | 33 | 32 | |
Gaming / Leisure—0.2% | |||
GVC Holdings plc Tranche B-2 (1 month LIBOR + 2.500%) 5.022%, 3/29/24 | 50 | 48 | |
Seminole Tribe of Florida Tranche B (1 month LIBOR + 1.750%) 4.272%, 7/8/24 | 59 | 58 | |
Wyndham Hotels & Resorts, Inc. Tranche B (1 month LIBOR + 1.750%) 4.272%, 5/30/25 | 55 | 53 | |
159 | |||
Healthcare—0.3% | |||
Bausch Health Cos., Inc. (1 month LIBOR + 3.000%) 5.379%, 6/2/25 | 5 | 4 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 6.272%, 10/10/25 | 72 | 67 | |
Iqvia, Inc. Tranche B-3 (1 month LIBOR + 1.750%) 4.272%, 6/11/25 | 69 | 67 | |
Regionalcare Hospital Partners Holdings, Inc. Tranche B (3 month LIBOR + 4.500%) 7.129%, 11/16/25 | 70 | 66 | |
204 | |||
Housing—0.2% | |||
American Builders & Contractors Supply Co., Inc. Tranche B-2 (1 month LIBOR + 2.000%) 4.522%, 10/31/23 | 89 | 85 |
Par Value | Value | ||
Housing—continued | |||
Summit Materials LLC (1 month LIBOR + 2.000%) 4.522%, 11/21/24 | $70 | $67 | |
152 | |||
Information Technology—0.1% | |||
Rackspace Hosting, Inc. Tranche B (3 month LIBOR + 3.000%) 5.582%, 11/3/23 | 106 | 94 | |
Manufacturing—0.1% | |||
Accudyne Industries Borrower S.C.A. (1 month LIBOR + 3.000%) 5.522%, 8/18/24 | 66 | 62 | |
Media / Telecom - Cable/Wireless Video—0.1% | |||
CSC Holdings LLC (3 month LIBOR + 2.250%) 4.745%, 1/15/26 | 65 | 61 | |
Media / Telecom - Diversified Media—0.1% | |||
Crown Finance US, Inc. (1 month LIBOR + 2.500%) 5.022%, 2/28/25 | 74 | 70 | |
Media / Telecom - Telecommunications—0.1% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.750%) 5.272%, 1/31/25 | 89 | 83 | |
Media / Telecom - Wireless Communications—0.1% | |||
Digicel International Finance Ltd. Tranche B (3 month LIBOR + 3.250%) 5.960%, 5/27/24 | 10 | 9 | |
SBA Senior Finance II LLC (1 month LIBOR + 2.000%) 4.530%, 4/11/25 | 40 | 38 | |
47 | |||
Metals / Minerals—0.0% | |||
Covia Holdings Corp. (3 month LIBOR + 3.750%) 6.553%, 6/1/25 | 55 | 39 | |
Service—0.1% | |||
Frontdoor, Inc. (1 month LIBOR + 2.500%) 5.063%, 8/16/25 | 50 | 48 | |
Red Ventures LLC Tranche B-1 (1 month LIBOR + 3.000%) 5.522%, 11/8/24 | 57 | 54 | |
102 | |||
Utility—0.1% | |||
Vistra Operations Co., LLC | |||
(1 month LIBOR + 2.000%) 4.522%, 8/4/23 | 24 | 23 | |
(1 month LIBOR + 2.000%) 4.473%, 12/31/25 | 40 | 38 | |
61 | |||
Total Leveraged Loans (Identified Cost $1,494) | 1,406 | ||
Shares | ||
Convertible Preferred Stock—0.6% | ||
Information Technology—0.6% | ||
BDC Payments Holdings, Inc.(8)(9)(10) | 55,370 | 460 |
Total Convertible Preferred Stock (Identified Cost $460) | 460 |
Shares | Value | ||
Preferred Stocks—0.8% | |||
Financials—0.6% | |||
Bank of New York Mellon Corp. (The) Series E, 4.950% | 45(11) | $44 | |
JPMorgan Chase & Co. Series Z, 5.300% | 105(11) | 104 | |
JPMorgan Chase & Co. Series V, 5.000% | 55(11) | 53 | |
M&T Bank Corp. Series F, 5.125%(12) | 90(11) | 85 | |
MetLife, Inc. Series D, 5.875% | 40(11) | 39 | |
PNC Financial Services Group, Inc. (The) Series R, 4.850% | 105(11) | 96 | |
PNC Financial Services Group, Inc. (The) Series S, 5.000% | 110(11) | 101 | |
522 | |||
Industrials—0.2% | |||
General Electric Co. Series D, 5.000% | 165(11) | 126 | |
Total Preferred Stocks (Identified Cost $728) | 648 | ||
Common Stocks—56.7% | |||
Communication Services—6.5% | |||
Activision Blizzard, Inc. | 10,430 | 486 | |
BT Group plc Sponsored ADR(5) | 19,909 | 303 | |
Facebook, Inc. Class A(9) | 14,230 | 1,865 | |
Netflix, Inc.(9) | 5,380 | 1,440 | |
Tencent Holdings Ltd. ADR | 26,120 | 1,031 | |
5,125 | |||
Consumer Discretionary—13.1% | |||
Alibaba Group Holding Ltd. Sponsored ADR(9) | 13,730 | 1,882 | |
Amazon.com, Inc.(9) | 1,970 | 2,959 | |
Carnival Corp. | 4,494 | 221 | |
Ctrip.com International Ltd. ADR(9) | 21,842 | 591 | |
Home Depot, Inc. (The) | 3,370 | 579 | |
Las Vegas Sands Corp. | 17,230 | 897 | |
McDonald’s Corp. | 3,410 | 605 | |
MercadoLibre, Inc. | 1,290 | 378 | |
NIKE, Inc. Class B | 14,550 | 1,079 | |
Ross Stores, Inc. | 9,450 | 786 | |
Sony Corp. Sponsored ADR | 9,063 | 438 | |
10,415 | |||
Consumer Staples—2.2% | |||
Companhia Brasileira de Distribuicao Grupo Pao de Acucar Sponsored ADR | 16,068 | 334 | |
Marine Harvest ASA Sponsored ADR | 15,032 | 318 | |
Monster Beverage Corp.(9) | 11,550 | 568 | |
Philip Morris International, Inc. | 8,250 | 551 | |
1,771 | |||
Energy—2.4% | |||
Cabot Oil & Gas Corp. | 25,310 | 566 | |
Eni SpA. Sponsored ADR | 10,257 | 323 | |
Equinor ASA. Sponsored ADR | 15,681 | 332 | |
Frontera Energy Corp.(9) | 1,088 | 11 | |
Pioneer Natural Resources Co. | 3,570 | 469 | |
TechnipFMC plc | 12,129 | 237 | |
1,938 | |||
Financials—7.1% | |||
Banco Bradesco SA ADR | 35,893 | 355 | |
Bank of America Corp. | 46,430 | 1,144 | |
BOC Hong Kong Holdings Ltd. Sponsored ADR | 3,733 | 276 |
Shares | Value | ||
Financials—continued | |||
Charles Schwab Corp. (The) | 15,960 | $663 | |
China Construction Bank Corp. ADR(5) | 21,477 | 350 | |
Credit Agricole S.A. ADR | 46,448 | 248 | |
DBS Group Holdings Ltd. Sponsored ADR | 5,878 | 410 | |
MarketAxess Holdings, Inc. | 2,610 | 552 | |
ORIX Corp. Sponsored ADR | 5,017 | 359 | |
Ping An Insurance Group Co. of China Ltd. ADR | 15,319 | 266 | |
Progressive Corp. (The) | 4,880 | 294 | |
SEI Investments Co. | 5,530 | 256 | |
Standard Life Aberdeen plc | 14,556 | 187 | |
UBS Group AG Registered Shares | 23,286 | 288 | |
5,648 | |||
Health Care—4.9% | |||
Bayer AG Sponsored ADR | 13,688 | 240 | |
Bluebird Bio, Inc.(9) | 2,095 | 208 | |
Danaher Corp. | 6,290 | 649 | |
HealthEquity, Inc.(9) | 11,320 | 675 | |
Illumina, Inc.(9) | 2,990 | 897 | |
Novartis AG Sponsored ADR | 3,167 | 272 | |
Zoetis, Inc. | 11,440 | 978 | |
3,919 | |||
Industrials—6.1% | |||
Airbus SE ADR | 13,676 | 325 | |
Ashtead Group plc ADR | 4,282 | 359 | |
Caterpillar, Inc. | 5,240 | 666 | |
CK Hutchison Holdings Ltd. ADR | 33,805 | 321 | |
CoStar Group, Inc.(9) | 1,800 | 607 | |
easyJet plc Sponsored ADR | 19,852 | 286 | |
Golden Ocean Group Ltd. | 50,047 | 308 | |
Kansas City Southern | 5,480 | 523 | |
Nidec Corp. Sponsored ADR | 12,426 | 349 | |
Rockwell Automation, Inc. | 2,080 | 313 | |
Roper Technologies, Inc. | 2,980 | 794 | |
4,851 | |||
Information Technology—12.0% | |||
Accenture plc Class A | 4,300 | 606 | |
Amphenol Corp. Class A | 13,320 | 1,079 | |
ASML Holding NV Registered Shares | 2,422 | 377 | |
Avalara, Inc.(9) | 15,360 | 479 | |
Broadcom, Inc. | 1,787 | 454 | |
Gartner, Inc.(9) | 3,370 | 431 | |
Hitachi Ltd. ADR | 6,184 | 328 | |
NVIDIA Corp. | 6,910 | 923 | |
Paycom Software, Inc.(9) | 8,380 | 1,026 | |
SAP SE Sponsored ADR | 2,911 | 290 | |
Trade Desk, Inc. (The) Class A(9) | 4,850 | 563 | |
Visa, Inc. Class A | 13,380 | 1,765 | |
Workday, Inc. Class A(9) | 7,630 | 1,218 | |
9,539 | |||
Materials—2.1% | |||
Anhui Conch Cement Co., Ltd. ADR | 19,032 | 457 | |
Ecolab, Inc. | 5,920 | 872 |
Shares | Value | ||
Materials—continued | |||
Glencore plc ADR | 42,239 | $306 | |
1,635 | |||
Utilities—0.3% | |||
Veolia Environnement S.A. ADR | 12,897 | 263 | |
Total Common Stocks (Identified Cost $38,990) | 45,104 | ||
Affiliated Mutual Fund—0.3% | |||
Virtus Newfleet Credit Opportunities Fund Class R6(13) | 24,433 | 219 | |
Total Affiliated Mutual Fund (Identified Cost $244) | 219 | ||
Exchange-Traded Fund—0.2% | |||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 1,222 | 138 | |
Total Exchange-Traded Fund (Identified Cost $140) | 138 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(9)(14) | 1,084 | 1 | |
Total Rights (Identified Cost $1) | 1 | ||
Total Long-Term Investments—98.8% (Identified Cost $73,251) | 78,594 | ||
Securities Lending Collateral—0.4% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 2.292%)(13)(15) | 325,854 | 326 | |
Total Securities Lending Collateral (Identified Cost $326) | 326 | ||
TOTAL INVESTMENTS—99.2% (Identified Cost $73,577) | 78,920 | ||
Other assets and liabilities, net—0.8% | 616 | ||
NET ASSETS—100.0% | $79,536 |
Abbreviations: | |
ADR | American Depositary Receipt |
ETF | Exchange-Traded Fund |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
REIT | Real Estate Investment Trust |
S&P | Standard & Poor’s |
Foreign Currencies: | |
COP | Colombian Peso |
MXN | Mexican Peso |
Footnote Legend: | |
(1) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2018, these securities amounted to a value of $11,615 or 14.6% of net assets. |
(3) | Amount is less than $500. |
(4) | Variable rate security. Rate disclosed is as of December 31, 2018. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(5) | All or a portion of security is on loan. |
(6) | Interest payments may be deferred. |
(7) | No contractual maturity date. |
(8) | Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments. |
(9) | Non-income producing. |
(10) | Restricted security. |
(11) | Value shown as par value. |
(12) | Interest may be forfeited. |
(13) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(14) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(15) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings (Unaudited)† | |
United States | 80% |
China | 6 |
United Kingdom | 2 |
Japan | 2 |
Switzerland | 2 |
France | 1 |
Norway | 1 |
Other | 6 |
Total | 100% |
† % of total investments as of December 31, 2018. |
Total Value at December 31, 2018 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Debt Securities: | |||||||
Asset-Backed Securities | $3,255 | $— | $3,255 | $— | |||
Corporate Bonds and Notes | 14,029 | — | 14,029 | —(1) | |||
Foreign Government Securities | 511 | — | 511 | — | |||
Leveraged Loans | 1,406 | — | 1,406 | —(1) | |||
Mortgage-Backed Securities | 7,749 | — | 7,749 | — | |||
Municipal Bonds | 2,117 | — | 2,117 | — | |||
U.S. Government Securities | 2,957 | — | 2,957 | — | |||
Equity Securities: | |||||||
Common Stocks | 45,104 | 45,104 | — | — | |||
Preferred Stocks | 648 | — | 648 | — | |||
Exchange-Traded Fund | 138 | 138 | — | — | |||
Convertible Preferred Stock | 460 | — | — | 460 | |||
Rights | 1 | — | — | 1 | |||
Affiliated Mutual Fund | 219 | 219 | — | — | |||
Securities Lending Collateral | 326 | 326 | — | — | |||
Total Investments | $78,920 | $45,787 | $32,672 | $461 |
(1) | Amount is less than $500. |
Total | Corporate Bonds And Notes | Leveraged Loans | Convertible Preferred Stocks | Right | |||||
Investments in Securities | |||||||||
Balance as of December 31, 2017: | $1 | $— | $—(a) | $— | $1 | ||||
Change in unrealized appreciation (depreciation)(b) | —(a) | —(a) | — | — | —(a) | ||||
Purchases | 460 | — | — | 460 | — | ||||
Balance as of December 31, 2018 | $461 | $—(a) | $—(a) | $460 | $1 |
Duff & Phelps International Series | Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | |||
Assets | |||||
Investment in unaffiliated securities at value(1) | $134,730 | $65,177 | $184,058 | ||
Cash | 2,375 | 288 | 3,254 | ||
Receivables | |||||
Investment securities sold | — | 323 | — | ||
Series shares sold | 494 | 43 | — | ||
Dividends and interest | 142 | 342 | 122 | ||
Tax reclaims | 98 | — | — | ||
Prepaid expenses | 1 | 1 | 2 | ||
Other assets | 393 | 192 | 539 | ||
Total assets | 138,233 | 66,366 | 187,975 | ||
Liabilities | |||||
Foreign currency overdraft(2) | —(a) | — | — | ||
Payables | |||||
Series shares repurchased | 1 | 99 | 61 | ||
Investment securities purchased | — | 404 | — | ||
Investment advisory fees | 90 | 40 | 98 | ||
Distribution and service fees | 30 | 15 | 43 | ||
Administration and accounting fees | 15 | 8 | 20 | ||
Transfer agent and sub-transfer agent fees and expenses | —(a) | —(a) | —(a) | ||
Professional fees | 21 | 20 | 17 | ||
Trustee deferred compensation plan | 393 | 192 | 539 | ||
Other accrued expenses | 37 | 16 | 37 | ||
Total liabilities | 587 | 794 | 815 | ||
Net Assets | $137,646 | $65,572 | $187,160 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $153,982 | $52,544 | $116,819 | ||
Accumulated earnings (loss) | (16,336) | 13,028 | 70,341 | ||
Total Net Assets | $137,646 | $65,572 | $187,160 | ||
Net Assets: | |||||
Class A | $137,562 | $65,357 | $187,160 | ||
Class I | $84 | $215 | $— | ||
Shares of Beneficial Interest Outstanding $1 par value, unlimited authorization: | |||||
Class A | 13,635,937 | 3,985,965 | 7,305,280 | ||
Class I | 8,318 | 13,143 | — | ||
Net Asset Value Per Share: | |||||
Class A | $10.09 | $16.40 | $25.62 | ||
Class I | $10.07 | $16.35 | $— | ||
(1)Investment in unaffiliated securities at cost | $139,978 | $52,080 | $115,042 | ||
(2) Foreign currency at cost | —(a) | — | — |
(a) | Amount is less than $500. |
KAR Small-Cap Growth Series | KAR Small-Cap Value Series | Newfleet Multi-Sector Intermediate Bond Series | |||
Assets | |||||
Investment in unaffiliated securities at value(1)(2) | $83,673 | $68,222 | $113,669 | ||
Investment in affiliated fund at value(3) | — | — | 1,647 | ||
Foreign currency at value(4) | —(a) | — | — | ||
Cash | 1,829 | 1,409 | 1,040 | ||
Receivables | |||||
Investment securities sold | — | — | 168 | ||
Series shares sold | —(a) | 130 | 29 | ||
Dividends and interest | 63 | 195 | 1,063 | ||
Securities lending | —(a) | — | 1 | ||
Prepaid expenses | 2 | 1 | 13 | ||
Other assets | 240 | 202 | 326 | ||
Total assets | 85,807 | 70,159 | 117,956 | ||
Liabilities | |||||
Payables | |||||
Series shares repurchased | 55 | — | 212 | ||
Investment securities purchased | 69 | — | 225 | ||
Collateral on securities loaned | 1,351 | — | 977 | ||
Investment advisory fees | 55 | 40 | 45 | ||
Distribution and service fees | 18 | 15 | 25 | ||
Administration and accounting fees | 10 | 8 | 11 | ||
Transfer agent and sub-transfer agent fees and expenses | —(a) | —(a) | —(a) | ||
Professional fees | 18 | 18 | 22 | ||
Trustee deferred compensation plan | 240 | 202 | 326 | ||
Other accrued expenses | 17 | 15 | 28 | ||
Total liabilities | 1,833 | 298 | 1,871 | ||
Net Assets | $83,974 | $69,861 | $116,085 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $46,156 | $56,426 | $127,145 | ||
Accumulated earnings (loss) | 37,818 | 13,435 | (11,060) | ||
Total Net Assets | $ 83,974 | $69,861 | $116,085 | ||
Net Assets: | |||||
Class A | $80,309 | $69,861 | $115,379 | ||
Class I | $3,665 | $— | $706 | ||
Shares of Beneficial Interest Outstanding $1 par value, unlimited authorization: | |||||
Class A | 3,007,919 | 5,389,393 | 13,235,681 | ||
Class I | 134,484 | — | 81,131 | ||
Net Asset Value Per Share: | |||||
Class A | $26.70 | $12.96 | $8.72 | ||
Class I | $27.25 | $— | $8.70 | ||
(1)Investment in unaffiliated securities at cost | $47,390 | $54,098 | $119,945 | ||
(2) Market value of securities on loan | 1,301 | — | 932 | ||
(3) Investment in affiliated fund at cost | — | — | 1,833 | ||
(4)Foreign currency at cost | —(a) | — | — |
(a) | Amount is less than $500. |
Rampart Enhanced Core Equity Series | Strategic Allocation Series | ||
Assets | |||
Investment in unaffiliated securities at value(1)(2) | $84,781 | $78,701 | |
Investment in affiliated securities at value(3) | — | 219 | |
Cash | 1,058 | 791 | |
Receivables | |||
Investment securities sold | 30 | 58 | |
Series shares sold | 49 | — | |
Dividends and interest | 99 | 278 | |
Tax reclaims | — | 4 | |
Securities lending | — | 2 | |
Prepaid trustee retainer | — | —(a) | |
Prepaid expenses | 1 | 2 | |
Other assets | 249 | 224 | |
Total assets | 86,267 | 80,279 | |
Liabilities | |||
Written options, at value(4) | 54 | — | |
Payables | |||
Series shares repurchased | — | 77 | |
Investment securities purchased | 13 | 15 | |
Collateral on securities loaned | — | 326 | |
Investment advisory fees | 36 | 34 | |
Distribution and service fees | 19 | 17 | |
Administration and accounting fees | 10 | 8 | |
Transfer agent and sub-transfer agent fees and expenses | —(a) | 1 | |
Professional fees | 18 | 22 | |
Trustee deferred compensation plan | 249 | 226 | |
Other accrued expenses | 23 | 17 | |
Total liabilities | 422 | 743 | |
Net Assets | $85,845 | $79,536 | |
Net Assets Consist of: | |||
Capital paid in on shares of beneficial interest | $88,645 | $74,646 | |
Accumulated earnings (loss) | (2,800) | 4,890 | |
Total Net Assets | $ 85,845 | $ 79,536 | |
Net Assets: | |||
Class A | $85,845 | $79,536 | |
Shares of Beneficial Interest Outstanding$1 par value, unlimited authorization: | |||
Class A | 8,298,590 | 7,087,851 | |
Net Asset Value Per Share: | |||
Class A | $10.34 | $11.22 | |
(1)Investments in unaffiliated securities at cost | $79,964 | $73,333 | |
(2) Market value of securities on loan | — | 322 | |
(3) Investments in affiliated fund at cost | — | 244 | |
(4)Premiums Received | 164 | — |
(a) | Amount is less than $500. |
Duff & Phelps International Series | Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | |||
Investment Income | |||||
Dividends | $5,838 | $1,951 | $1,717 | ||
Interest | 2 | 4 | —(a) | ||
Security lending, net of fees | 2 | — | — | ||
Foreign taxes withheld | (442) | — | (7) | ||
Total investment income | 5,400 | 1,955 | 1,710 | ||
Expenses | |||||
Investment advisory fees | 1,287 | 544 | 1,591 | ||
Distribution and service fees, Class A | 429 | 181 | 568 | ||
Administration and accounting fees | 185 | 81 | 244 | ||
Custodian fees | — | 1 | —(a) | ||
Printing fees and expenses | 48 | 18 | 46 | ||
Professional fees | 33 | 26 | 30 | ||
Trustees’ fees and expenses | 15 | 6 | 19 | ||
Miscellaneous expenses | 9 | 8 | 15 | ||
Total expenses | 2,006 | 865 | 2,513 | ||
Less expenses reimbursed and/or waived by investment adviser(b) | 18 | (24) | (172) | ||
Net expenses | 2,024 | 841 | 2,341 | ||
Net investment income (loss) | 3,376 | 1,114 | (631) | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Unaffiliated investments | 1,515 | 4,587 | 23,183 | ||
Foreign currency transactions | (18) | — | — | ||
Net change in unrealized appreciation (depreciation) from: | |||||
Unaffiliated investments | (32,333) | (10,433) | (35,528) | ||
Foreign currency transactions | (4) | — | — | ||
Net realized and unrealized gain (loss) on investments | (30,840) | (5,846) | (12,345) | ||
Net increase (decrease) in net assets resulting from operations | $(27,464) | $(4,732) | $(12,976) |
(a) | Amount is less than $500. |
(b) | See note 4D in the Notes to Financial Statements for information on recapture of expenses previously waived. |
KAR Small-Cap Growth Series | KAR Small-Cap Value Series | Newfleet Multi-Sector Intermediate Bond Series | |||
Investment Income | |||||
Dividends | $1,002 | $1,684 | $60 | ||
Dividends from affiliated fund | — | — | 137 | ||
Interest | 5 | — | 6,344 | ||
Security lending, net of fees | 2 | — | 5 | ||
Foreign taxes withheld | — | (10) | (10) | ||
Total investment income | 1,009 | 1,674 | 6,536 | ||
Expenses | |||||
Investment advisory fees | 789 | 782 | 634 | ||
Distribution and service fees, Class A | 223 | 217 | 314 | ||
Administration and accounting fees | 102 | 96 | 137 | ||
Custodian fees | 1 | —(a) | 4 | ||
Printing fees and expenses | 18 | 21 | 27 | ||
Professional fees | 25 | 25 | 32 | ||
Trustees’ fees and expenses | 7 | 7 | 11 | ||
Miscellaneous expenses | 8 | 5 | 17 | ||
Total expenses | 1,173 | 1,153 | 1,176 | ||
Less expenses reimbursed and/or waived by investment adviser(b) | (78) | (117) | (1) | ||
Net expenses | 1,095 | 1,036 | 1,175 | ||
Net investment income (loss) | (86) | 638 | 5,361 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Unaffiliated investments | 14,311 | 5,575 | (2,086) | ||
Affiliated fund | — | — | (77) | ||
Foreign currency transactions | (3) | — | (3) | ||
Net change in unrealized appreciation (depreciation) from: | |||||
Unaffiliated investments | (4,378) | (19,533) | (6,497) | ||
Affiliated fund | — | — | (88) | ||
Foreign currency transactions | — | — | (2) | ||
Net realized and unrealized gain (loss) on investments | 9,930 | (13,958) | (8,753) | ||
Net increase (decrease) in net assets resulting from operations | $9,844 | $(13,320) | $(3,392) |
(a) | Amount is less than $500. |
(b) | See note 4D in the Notes to Financial Statements for information on recapture of expenses previously waived. |
Rampart Enhanced Core Equity Series | Strategic Allocation Series | ||
Investment Income | |||
Dividends | $1,973 | $799 | |
Dividends from affiliated fund | — | 19 | |
Interest | 1 | 1,344 | |
Security lending, net of fees | — | 5 | |
Foreign taxes withheld | — | (32) | |
Total investment income | 1,974 | 2,135 | |
Expenses | |||
Investment advisory fees | 707 | 511 | |
Distribution and service fees, Class A | 252 | 232 | |
Administration and accounting fees | 111 | 87 | |
Transfer agent fees and expenses | — | 1 | |
Sub-Administration fees | — | 22 | |
Custodian fees | 11 | 23 | |
Printing fees and expenses | 30 | 28 | |
Professional fees | 27 | 32 | |
Trustees’ fees and expenses | 8 | 8 | |
Miscellaneous expenses | 7 | 6 | |
Total expenses | 1,153 | 950 | |
Less expenses reimbursed and/or waived by investment adviser(a) | (163) | (42) | |
Net expenses | 990 | 908 | |
Net investment income (loss) | 984 | 1,227 | |
Net Realized and Unrealized Gain (Loss) on Investments | |||
Net realized gain (loss) from: | |||
Unaffiliated investments | 1,724 | 2,701 | |
Affiliated fund | — | (6) | |
Foreign currency transactions | — | — | |
Written options | (8,793) | — | |
Net change in unrealized appreciation (depreciation) from: | |||
Unaffiliated investments | (6,866) | (8,529) | |
Affiliated fund | — | (15) | |
Foreign currency transactions | — | — | |
Written options | 34 | — | |
Net realized and unrealized gain (loss) on investments | (13,901) | (5,849) | |
Net increase (decrease) in net assets resulting from operations | $(12,917) | $(4,622) |
(a) | See note 4D in the Notes to Financial Statements for information on recapture of expenses previously waived. |
Duff & Phelps International Series | Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | |||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||
INCREASE/(DECREASE) IN NET ASSETS From Operations | |||||||||||
Net investment income (loss) | $3,376 | $2,250 | $1,114 | $985 | $(631) | $(340) | |||||
Net realized gain (loss) | 1,497 | 4,614 | 4,587 | 5,909 | 23,183 | 19,080 | |||||
Net change in unrealized appreciation (depreciation) | (32,337) | 19,963 | (10,433) | (2,287) | (35,528) | 44,560 | |||||
Increase (decrease) in net assets from operations | (27,464) | 26,827 | (4,732) | 4,607 | (12,976) | 63,300 | |||||
Dividends and Distributions to Shareholders: | |||||||||||
Net Investment Income and Net Realized Gains | |||||||||||
Class A | (4,849) | (2,824)(1) | (6,458) | (8,557)(1) | (24,960) | (9,483)(1) | |||||
Class I | (3) | (2)(1) | (21) | (22)(1) | — | —(1) | |||||
Dividends and Distributions to Shareholder | (4,852) | (2,826) | (6,479) | (8,579) | (24,960) | (9,483) | |||||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||||||
Class A | (13,544) | (18,454) | (1,031) | 282 | 843 | (15,083) | |||||
Class I | 3 | 2 | 43 | 19 | — | — | |||||
Total change in net assets from capital transactions | (13,541) | (18,452) | (988) | 301 | 843 | (15,083) | |||||
Net increase (decrease) in net assets | (45,857) | 5,549 | (12,199) | (3,671) | (37,093) | 38,734 | |||||
Net Assets | |||||||||||
Beginning of period | 183,503 | 177,954 | 77,771 | 81,442 | 224,253 | 185,519 | |||||
End of Period | $137,646 | $183,503 | $65,572 | $77,771 | $187,160 | $224,253 | |||||
Accumulated undistributed net investment income (loss) at end of period | N/A | $(433) | N/A | $(25) | N/A | $(455) |
(1) | For the fiscal year ended December 31, 2017, the distributions to shareholders for the Series were as follows. |
Dividends and Distributions to Shareholders | ||||||||||
Net investment income: | ||||||||||
Class A | $(2,824) | $(1,113) | $— | |||||||
Class I | (2) | (3) | — | |||||||
Net realized gains: | ||||||||||
Class A | — | (7,444) | (9,483) | |||||||
Class I | — | (19) | — | |||||||
Total | $(2,826) | $(8,579) | $(9,483) |
KAR Small-Cap Growth Series | KAR Small-Cap Value Series | Newfleet Multi-Sector Intermediate Bond Series | |||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||
INCREASE/(DECREASE) IN NET ASSETS From Operations | |||||||||||
Net investment income (loss) | $(86) | $(346) | $638 | $244 | $5,361 | $5,822 | |||||
Net realized gain (loss) | 14,308 | 7,396 | 5,575 | 11,084 | (2,166) | 530 | |||||
Net change in unrealized appreciation (depreciation) | (4,378) | 17,596 | (19,533) | 5,753 | (6,587) | 2,275 | |||||
Increase (decrease) in net assets from operations | 9,844 | 24,646 | (13,320) | 17,081 | (3,392) | 8,627 | |||||
Dividends and Distributions to Shareholders: | |||||||||||
Net Investment Income and Net Realized Gains | |||||||||||
Class A | (14,632) | (4,641)(1) | (8,965) | (13,015)(1) | (4,818) | (5,734)(1) | |||||
Class I | (617) | (106)(1) | — | —(1) | (31) | (59)(1) | |||||
Dividends and Distributions to Shareholder | (15,249) | (4,747) | (8,965) | (13,015) | (4,849) | (5,793) | |||||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||||||
Class A | 5,710 | (2,955) | (2,492) | (4,394) | (9,868) | 1,622 | |||||
Class I | 2,214 | 1,150 | — | — | (614) | 1,141 | |||||
Total change in net assets from capital transactions | 7,924 | (1,805) | (2,492) | (4,394) | (10,482) | 2,763 | |||||
Net increase (decrease) in net assets | 2,519 | 18,094 | (24,777) | (328) | (18,723) | 5,597 | |||||
Net Assets | |||||||||||
Beginning of period | 81,455 | 63,361 | 94,638 | 94,966 | 134,808 | 129,211 | |||||
End of Period | $83,974 | $81,455 | $69,861 | $94,638 | $116,085 | $134,808 | |||||
Accumulated undistributed net investment income (loss) at end of period | N/A | $(145) | N/A | $(155) | N/A | $(139) |
(1) | For the fiscal year ended December 31, 2017, the distributions to shareholders for the Series were as follows. |
Dividends and Distributions to Shareholders | ||||||||||
Net investment income: | ||||||||||
Class A | $— | $(600) | $(5,734) | |||||||
Class I | — | — | (59) | |||||||
Net realized gains: | ||||||||||
Class A | (4,641) | (12,415) | — | |||||||
Class I | (106) | — | — | |||||||
Total | $(4,747) | $(13,015) | $(5,793) |
Rampart Enhanced Core Equity Series | Strategic Allocation Series | ||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||
INCREASE/(DECREASE) IN NET ASSETS From Operations | |||||||
Net investment income (loss) | $984 | $1,024 | $1,227 | $1,259 | |||
Net realized gain (loss) | (7,069) | 16,205 | 2,695 | 998 | |||
Net change in unrealized appreciation (depreciation) | (6,832) | 4,855 | (8,544) | 14,479 | |||
Increase (decrease) in net assets from operations | (12,917) | 22,084 | (4,622) | 16,736 | |||
Dividends and Distributions to Shareholders: | |||||||
Net Investment Income and Net Realized Gains | |||||||
Class A | (1,020) | (20,543)(1) | (4,685) | (2,442)(1) | |||
Return of Capital | |||||||
Class A | — | (531) | — | — | |||
Dividends and Distributions to Shareholder | (1,020) | (21,074) | (4,685) | (2,442) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (11,604) | 5,789 | (8,185) | (10,542) | |||
Total change in net assets from capital transactions | (11,604) | 5,789 | (8,185) | (10,542) | |||
Net increase (decrease) in net assets | (25,541) | 6,799 | (17,492) | 3,752 | |||
Net Assets | |||||||
Beginning of period | 111,386 | 104,587 | 97,028 | 93,276 | |||
End of Period | $85,845 | $111,386 | $79,536 | $97,028 | |||
Accumulated undistributed net investment income (loss) at end of period | N/A | $(298) | N/A | $(246) |
(1) | For the fiscal year ended December 31, 2017, the distributions to shareholders for the Series were as follows. |
Dividends and Distributions to Shareholders | ||||
Net investment income: | ||||
Class A | $(1,783) | $(1,796) | ||
Net realized gains: | ||||
Class A | (18,760) | (646) | ||
Total | $(20,543) | $(2,442) |
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in thousands) | Ratio of Net expenses to Average Net Assets(3) | Ratio of Gross Expenses to Average Net Assets(3) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | ||
Duff & Phelps International Series | ||||||||||||||||
Class A | ||||||||||||||||
1/1/18 to 12/31/18 | $12.50 | 0.24 | (2.29) | (2.05) | (0.36) | — | (0.36) | (2.41) | $10.09 | (16.67) % | $137,562 | 1.18 % | 1.17 % (4) | 1.97 % | 40 % | |
1/1/17 to 12/31/17 | 10.95 | 0.15 | 1.59 | 1.74 | (0.19) | — | (0.19) | 1.55 | 12.50 | 15.95 | 183,403 | 1.18 | 1.21 | 1.24 | 81 | |
1/1/16 to 12/31/16 | 14.01 | 0.08 | (0.44) | (0.36) | (0.09) | (2.61) | (2.70) | (3.06) | 10.95 | (1.61) (5) | 177,868 | 1.18 (5),(6) | 1.26 | 0.62 (5) | 83 | |
1/1/15 to 12/31/15 | 16.67 | 0.35 | (2.04) | (1.69) | (0.37) | (0.60) | (0.97) | (2.66) | 14.01 | (10.48) | 209,990 | 1.19 (6) | 1.30 | 2.16 | 104 | |
1/1/14 to 12/31/14 | 18.23 | 0.67 | (1.34) | (0.67) | (0.71) | (0.18) | (0.89) | (1.56) | 16.67 | (3.90) | 261,281 | 1.18 | 1.26 | 3.60 | 9 | |
Class I | ||||||||||||||||
1/1/18 to 12/31/18 | $12.48 | 0.27 | (2.29) | (2.02) | (0.39) | — | (0.39) | (2.41) | $10.07 | (16.44) % | $84 | 0.93 % | 0.92 % (4) | 2.23 % | 40 % | |
1/1/17 to 12/31/17 | 10.94 | 0.17 | 1.59 | 1.76 | (0.22) | — | (0.22) | 1.54 | 12.48 | 16.17 | 100 | 0.93 | 0.96 | 1.48 | 81 | |
1/1/16 to 12/31/16 | 13.99 | 0.11 | (0.42) | (0.31) | (0.13) | (2.61) | (2.74) | (3.05) | 10.94 | (1.28) (5) | 86 | 0.93 (5),(6) | 1.01 | 0.88 (5) | 83 | |
1/1/15 to 12/31/15 | 16.65 | 0.38 | (2.03) | (1.65) | (0.41) | (0.60) | (1.01) | (2.66) | 13.99 | (10.26) | 87 | 0.94 (6) | 1.05 | 2.39 | 104 | |
1/1/14 to 12/31/14 | 18.22 | 0.69 | (1.32) | (0.63) | (0.76) | (0.18) | (0.94) | (1.57) | 16.65 | (3.71) | 97 | 0.93 | 1.01 | 3.71 | 9 | |
Duff & Phelps Real Estate Securities Series | ||||||||||||||||
Class A | ||||||||||||||||
1/1/18 to 12/31/18 | $19.23 | 0.28 | (1.41) | (1.13) | (0.30) | (1.40) | (1.70) | (2.83) | $16.40 | (6.53) % | $65,357 | 1.16 % | 1.19 % | 1.54 % | 20 % | |
1/1/17 to 12/31/17 | 20.31 | 0.25 | 0.92 | 1.17 | (0.29) | (1.96) | (2.25) | (1.08) | 19.23 | 5.97 | 77,564 | 1.16 | 1.21 | 1.24 | 24 | |
1/1/16 to 12/31/16 | 22.85 | 0.34 | 1.17 | 1.51 | (0.43) | (3.62) | (4.05) | (2.54) | 20.31 | 6.82 (5) | 81,243 | 1.17 (5),(6) | 1.25 | 1.42 (5) | 35 | |
1/1/15 to 12/31/15 | 27.05 | 0.44 | 0.17 | 0.61 | (0.37) | (4.44) | (4.81) | (4.20) | 22.85 | 2.38 | 87,899 | 1.18 (6) | 1.29 | 1.64 | 18 | |
1/1/14 to 12/31/14 | 23.33 | 0.29 | 7.00 | 7.29 | (0.31) | (3.26) | (3.57) | 3.72 | 27.05 | 31.62 | 105,508 | 1.16 | 1.27 | 1.10 | 22 | |
Class I | ||||||||||||||||
1/1/18 to 12/31/18 | $19.19 | 0.34 | (1.43) | (1.09) | (0.35) | (1.40) | (1.75) | (2.84) | $16.35 | (6.36) % | $215 | 0.91 % | 0.94 % | 1.85 % | 20 % | |
1/1/17 to 12/31/17 | 20.27 | 0.30 | 0.93 | 1.23 | (0.35) | (1.96) | (2.31) | (1.08) | 19.19 | 6.25 | 207 | 0.91 | 0.96 | 1.49 | 24 | |
1/1/16 to 12/31/16 | 22.81 | 0.35 | 1.22 | 1.57 | (0.49) | (3.62) | (4.11) | (2.54) | 20.27 | 7.10 (5) | 199 | 0.92 (5),(6) | 1.00 | 1.46 (5) | 35 | |
1/1/15 to 12/31/15 | 27.02 | 0.48 | 0.19 | 0.67 | (0.44) | (4.44) | (4.88) | (4.21) | 22.81 | 2.62 | 158 | 0.94 (6) | 1.05 | 1.79 | 18 | |
1/1/14 to 12/31/14 | 23.30 | 0.34 | 7.02 | 7.36 | (0.38) | (3.26) | (3.64) | 3.72 | 27.02 | 31.98 | 134 | 0.91 | 1.02 | 1.30 | 22 | |
KAR Capital Growth Series | ||||||||||||||||
Class A | ||||||||||||||||
1/1/18 to 12/31/18 | $31.40 | (0.09) | (1.92) | (2.01) | — | (3.77) | (3.77) | (5.78) | $25.62 | (7.25) % | $187,160 | 1.03 % | 1.11 % | (0.28) % | 15 % | |
1/1/17 to 12/31/17 | 24.09 | (0.05) | 8.75 | 8.70 | — | (1.39) | (1.39) | 7.31 | 31.40 | 36.07 | 224,253 | 1.03 | 1.13 | (0.16) | 21 | |
1/1/16 to 12/31/16 | 24.91 | — (7) | (0.22) | (0.22) | (0.60) | — | (0.60) | (0.82) | 24.09 | (0.86) (5) | 185,519 | 1.04 (5),(6) | 1.18 | (0.10) (5) | 23 | |
1/1/15 to 12/31/15 | 22.79 | (0.01) | 2.13 | 2.12 | — | — | — | 2.12 | 24.91 | 9.26 | 210,094 | 1.04 (6) | 1.21 | (0.04) | 19 | |
1/1/14 to 12/31/14 | 20.41 | — | 2.39 | 2.39 | (0.01) | — | (0.01) | 2.38 | 22.79 | 11.73 | 217,038 | 1.03 | 1.19 | (0.01) | 29 |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Payments from Affiliates | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in thousands) | Ratio of Net expenses to Average Net Assets(3) | Ratio of Gross Expenses to Average Net Assets(3) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | ||
KAR Small-Cap Growth Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/18 to 12/31/18 | $28.66 | (0.03) | 3.66 | 3.63 | — | (5.59) | (5.59) | — | (1.96) | $26.70 | 11.66 % | $80,309 | 1.19 % | 1.27 % | (0.10) % | 20 % | |
1/1/17 to 12/31/17 | 21.61 | (0.12) | 8.93 | 8.81 | — | (1.76) | (1.76) | — | 7.05 | 28.66 | 40.85 | 79,597 | 1.19 | 1.30 | (0.49) | 18 | |
1/1/16 to 12/31/16 | 18.75 | (0.06) | 4.85 | 4.79 | — | (1.93) | (1.93) | — | 2.86 | 21.61 | 25.92 (5) | 63,008 | 1.20 (5),(6) | 1.37 | (0.37) (5) | 18 | |
1/1/15 to 12/31/15 | 20.73 | (0.04) | 0.23 | 0.19 | — | (2.17) | (2.17) | — | (1.98) | 18.75 | 0.73 | 55,872 | 1.20 (6) | 1.41 | (0.17) | 18 | |
1/1/14 to 12/31/14 | 21.72 | (0.13) | 1.29 | 1.16 | — | (2.15) | (2.15) | — | (0.99) | 20.73 | 5.50 | 63,483 | 1.19 | 1.38 | (0.62) | 20 | |
Class I | |||||||||||||||||
1/1/18 to 12/31/18 | $29.08 | 0.04 | 3.72 | 3.76 | — | (5.59) | (5.59) | — | (1.83) | $27.25 | 11.95 % | $3,665 | 0.94 % | 1.03 % | 0.12 % | 20 % | |
1/1/17 to 12/31/17 | 21.86 | (0.06) | 9.04 | 8.98 | — | (1.76) | (1.76) | — | 7.22 | 29.08 | 41.16 | 1,858 | 0.94 | 1.05 | (0.24) | 18 | |
1/1/16 to 12/31/16 | 18.90 | 0.01 | 4.88 | 4.89 | — | (1.93) | (1.93) | — | 2.96 | 21.86 | 26.25 (5) | 353 | 0.95 (5),(6) | 1.12 | (0.10) (5) | 18 | |
1/1/15 to 12/31/15 | 20.82 | — (7) | 0.25 | 0.25 | — | (2.17) | (2.17) | — | (1.92) | 18.90 | 1.01 | 179 | 0.96 (6) | 1.17 | (0.02) | 18 | |
1/1/14 to 12/31/14 | 21.75 | (0.07) | 1.29 | 1.22 | — | (2.15) | (2.15) | — | (0.93) | 20.82 | 5.78 | 275 | 0.94 | 1.14 | (0.34) | 20 | |
KAR Small-Cap Value Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/18 to 12/31/18 | $17.36 | 0.12 | (2.72) | (2.60) | (0.15) | (1.65) | (1.80) | — | (4.40) | $12.96 | (15.88) % | $69,861 | 1.19 % (8) | 1.33 % | 0.74 % | 11 % | |
1/1/17 to 12/31/17 | 16.69 | 0.05 | 3.23 | 3.28 | (0.12) | (2.49) | (2.61) | — | 0.67 | 17.36 | 20.16 | 94,638 | 1.20 | 1.34 | 0.26 | 20 | |
1/1/16 to 12/31/16 | 15.17 | 0.32 | 3.66 | 3.98 | (0.34) | (2.12) | (2.46) | — | 1.52 | 16.69 | 26.54 (5) | 94,966 | 1.21 (5),(6) | 1.40 | 1.85 (5) | 22 | |
1/1/15 to 12/31/15 | 17.03 | 0.09 | (0.29) | (0.20) | (0.09) | (1.57) | (1.66) | — | (1.86) | 15.17 | (1.37) | 92,834 | 1.22 (6) | 1.43 | 0.56 | 16 | |
1/1/14 to 12/31/14 | 17.72 | 0.10 | 0.24 | 0.34 | (0.11) | (0.92) | (1.03) | — | (0.69) | 17.03 | 1.83 | 113,030 | 1.20 | 1.41 | 0.61 | 26 | |
Newfleet Multi-Sector Intermediate Bond Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/18 to 12/31/18 | $9.34 | 0.39 | (0.64) | (0.25) | (0.37) | — | (0.37) | — | (0.62) | $8.72 | (2.66) % | $115,379 | 0.93 % | 0.93 % | 4.23 % | 64 % | |
1/1/17 to 12/31/17 | 9.14 | 0.41 | 0.20 | 0.61 | (0.41) | — | (0.41) | — | 0.20 | 9.34 | 6.72 | 133,430 | 0.93 | 0.96 | 4.35 | 62 | |
1/1/16 to 12/31/16 | 8.75 | 0.44 | 0.37 | 0.81 | (0.42) | — | (0.42) | — | 0.39 | 9.14 | 9.29 (5) | 128,969 | 0.94 (5),(6) | 1.00 | 4.82 (5) | 68 | |
1/1/15 to 12/31/15 | 9.25 | 0.45 | (0.56) | (0.11) | (0.39) | — | (0.39) | — (7) | (0.50) | 8.75 | (1.26) (9) | 134,558 | 0.95 (6) | 1.03 | 4.89 | 55 | |
1/1/14 to 12/31/14 | 9.54 | 0.48 | (0.29) | 0.19 | (0.48) | — | (0.48) | — | (0.29) | 9.25 | 1.90 | 154,915 | 0.94 | 1.01 | 4.93 | 48 | |
Class I | |||||||||||||||||
1/1/18 to 12/31/18 | $9.32 | 0.41 | (0.63) | (0.22) | (0.40) | — | (0.40) | — | (0.62) | $8.70 | (2.41) % | $706 | 0.68 % | 0.68 % | 4.46 % | 64 % | |
1/1/17 to 12/31/17 | 9.12 | 0.43 | 0.20 | 0.63 | (0.43) | — | (0.43) | — | 0.20 | 9.32 | 7.00 | 1,378 | 0.68 | 0.70 | 4.54 | 62 | |
1/1/16 to 12/31/16 | 8.74 | 0.47 | 0.35 | 0.82 | (0.44) | — | (0.44) | — | 0.38 | 9.12 | 9.46 (5) | 242 | 0.69 (5),(6) | 0.75 | 5.08 (5) | 68 | |
1/1/15 to 12/31/15 | 9.24 | 0.47 | (0.56) | (0.09) | (0.41) | — | (0.41) | — (7) | (0.50) | 8.74 | (1.00) (9) | 213 | 0.70 (6) | 0.78 | 5.11 | 55 | |
1/1/14 to 12/31/14 | 9.53 | 0.51 | (0.29) | 0.22 | (0.51) | — | (0.51) | — | (0.29) | 9.24 | 2.16 | 223 | 0.69 | 0.76 | 5.19 | 48 |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from investment Operations | Dividends from Net Investment Income | Distributions from Tax Return of Capital | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in thousands) | Ratio of Net expenses to Average Net Assets(3) | Ratio of Gross Expenses to Average Net Assets(3) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | ||
Rampart Enhanced Core Equity Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/18 to 12/31/18 | $12.00 | 0.11 | (1.65) | (1.54) | (0.12) | — | — | (0.12) | (1.66) | $10.34 | (12.86) % | $85,845 | 0.98 % | 1.14 % | 0.97 % | 26 % | |
1/1/17 to 12/31/17 | 11.97 | 0.12 | 2.58 | 2.70 | (0.21) | (0.07) | (2.39) | (2.67) | 0.03 | 12.00 | 22.96 | 111,386 | 0.98 | 1.16 | 0.96 | 241 | |
1/1/16 to 12/31/16 | 13.67 | 0.25 | 1.01 | 1.26 | (0.18) | — | (2.78) | (2.96) | (1.70) | 11.97 | 9.41 (5) | 104,587 | 0.99 (5),(6) | 1.20 | 1.41 (5) | 241 (10) | |
1/1/15 to 12/31/15 | 16.91 | 0.13 | (1.55) | (1.42) | (0.14) | — | (1.68) | (1.82) | (3.24) | 13.67 | (8.91) | 109,913 | 0.99 (6) | 1.23 | 0.83 | 94 | |
1/1/14 to 12/31/14 | 17.23 | 0.16 | 1.51 | 1.67 | (0.17) | — | (1.82) | (1.99) | (0.32) | 16.91 | 9.64 | 139,122 | 0.98 | 1.20 | 0.91 | 53 | |
Strategic Allocation Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/18 to 12/31/18 | $12.62 | 0.17 | (0.89) | (0.72) | (0.18) | — | (0.50) | (0.68) | (1.40) | $11.22 | (5.89) % | $79,536 | 0.98 % | 1.02 % | 1.32 % | 33 % | |
1/1/17 to 12/31/17 | 10.88 | 0.16 | 1.89 | 2.05 | (0.23) | — | (0.08) | (0.31) | 1.74 | 12.62 | 18.97 | 97,028 | 0.98 | 1.06 | 1.31 | 38 | |
1/1/16 to 12/31/16 | 12.34 | 0.24 | (0.14) | 0.10 | (0.21) | — | (1.35) | (1.56) | (1.46) | 10.88 | 0.82 (5) | 93,276 | 0.99 (5),(6) | 1.09 | 1.96 (5) | 114 | |
1/1/15 to 12/31/15 | 14.30 | 0.25 | (0.98) | (0.73) | (0.24) | — | (0.99) | (1.23) | (1.96) | 12.34 | (5.38) | 106,825 | 0.99 (6) | 1.13 | 1.79 | 75 | |
1/1/14 to 12/31/14 | 14.41 | 0.28 | 0.80 | 1.08 | (0.32) | — | (0.87) | (1.19) | (0.11) | 14.30 | 7.51 | 129,473 | 0.98 | 1.11 | 1.89 | 47 |
(1) | Computed using average shares outstanding. |
(2) | The total return does not include the expenses associated with the annuity or life insurance policy through which you invest. |
(3) | Each Series will indirectly bear their prorated share of expenses of the underlying funds in which they invest. Such expenses are not included in the calculation of this ratio. |
(4) | See Note 4D in the Notes to Financial Statements for information on recapture of expenses previously waived. |
(5) | State Street Bank & Trust, custodian for some of the Series through January 29, 2010, reimbursed the Series for out-of-pocket custody expenses overbilled for the period 1998 through January 29, 2010. Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and Ratio of Net Investment Income (Loss) to Average Net Assets. If included the impact would have been to lower the Ratio of Net Expenses to Average Net Assets and increase the Ratio of Net Investment Income (Loss) to Average Net Assets as follows: Duff & Phelps International Series 0.04%, Duff & Phelps Real Estate Securities Series 0.02% (Class A) and 0.03% (Class I), KAR Capital Growth Series 0.10%, KAR Small-Cap Growth Series 0.09% (Class A) and 0.14% (Class I), KAR Small-Cap Value Series 0.08%, Newfleet Multi-Sector Intermediate Bond Series 0.04% (Class A) and 0.05% (Class I), Rampart Enhanced Core Equity Series 0.46%, Strategic Allocation Series 0.03%. Custody fees reimbursed were included in Total Return. If excluded the impact would have been to lower the Total Return as follows: Duff & Phelps International Series 0.04%, Duff & Phelps Real Estate Securities Series 0.03%, KAR Capital Growth Series 0.10%, KAR Small-Cap Growth Series 0.08%, KAR Small-Cap Value Series 0.08%, Newfleet Multi-Sector Intermediate Bond Series 0.04%, Rampart Enhanced Core Equity Series 0.44%, Strategic Allocation Series 0.03%. The amounts reflected in the Statements of Operations for 2017 were immaterial and do not impact the financial highlights. |
(6) | Net expense ratio includes proxy expenses. |
(7) | Amount is less than $0.005 per share. |
(8) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(9) | Payment from affiliate had no impact on total performance. |
(10) | The increase in portfolio turnover rate is due to a change in the subadviser associated with a strategy change on the Series. |
A. | Security Valuation |
Each Series utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Series’ policy is to recognize transfers into or out of Level 3 at the end of the reporting period. |
• | Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
• | Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3 – prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sales of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as a Series is notified. Interest income is recorded on the accrual basis. Each Series amortizes premiums and accretes discounts using the effective interest method. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. | |
Dividend income from REIT investments is recorded using management’s estimate of the percentage of income included in distributions received from the REIT investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed its cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. | |
C. | Income Taxes |
Each Series is treated as a separate taxable entity. It is the intention of each Series to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made. | |
Certain Series may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Series will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. | |
Management of the Series has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. As of December 31, 2018, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2015 forward (with limited exceptions). | |
D. | Distributions to Shareholders |
Distributions are recorded by each Series on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. | |
E. | Expenses |
Expenses incurred together by a Series and other affiliated open- and closed-end funds are allocated in proportion to the net assets of each such Series, except where allocation of direct expense to each Series or an alternative allocation method can be more appropriately used. | |
In addition to the net annual operating expenses that a Series bears directly, the contract owners, as investors in the Series, indirectly bear the Series’ pro-rata expenses of any underlying open- and closed-end funds in which the Series invests. | |
F. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Series do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
G. | When-issued Purchases and Forward Commitments (Delayed Delivery) |
Certain Series may engage in when-issued or forward commitment transactions. Securities purchased on a when-issued or forward commitment basis are also known as delayed delivery transactions. Delayed delivery transactions involve a commitment by a Series to purchase or sell a security at a future date (ordinarily up to 90 days later). When-issued or forward commitments enable the Series to lock in what is believed to be an attractive price or yield on a particular security for a period of time, regardless of future changes in interest rates. Each Series records when-issued and forward commitment securities on the trade date. Each Series maintains collateral for the securities purchased. Securities purchased on a when-issued or forward commitment basis begin earning interest on the settlement date. | |
H. | Interest-Only and Principal-Only Securities |
Certain Series may invest in stripped mortgage-backed securities. Stripped mortgage-backed securities represent a participation in, or are secured by, or payable from, mortgage loans on real property, and may be structured in classes with rights to receive varying proportions of principal and interest. Stripped mortgage-backed securities include interest-only securities (IOs) which receive all of the interest, and principal-only securities (POs) which receive all of the principal. The market value of these securities is highly sensitive to changes in interest rates and a rapid (slow) rate of principal payments may have an adverse (positive) effect on yield to maturity. Payments received for IOs are included in interest income. Because principal will not be received at the maturity of an IO, adjustments are made to the book value of the security on a daily basis until maturity and these adjustments are also included in interest income. Payments received for POs are treated as reductions to the cost and par value of the securities. Any paydown gains or losses associated with the payments received are included in interest income. If the underlying mortgage assets are greater than anticipated payments of principal, a Series may fail to recoup some or all of its initial investment in these securities. |
I. | Leveraged Loans |
Certain Series may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Leveraged loans are generally non-investment grade and often involve borrowers that are highly leveraged. The Series may invest in obligations of borrowers who are in bankruptcy proceedings. Leveraged loans are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. A Series’ investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, a Series has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. A Series generally has no right to enforce compliance with the terms of the leveraged loan with the borrower. As a result, a Series may be subject to the credit risk of both the borrower and the lender that is selling the leveraged loan. When a Series purchases assignments from lenders it acquires direct rights against the borrower on the loan. | |
A Series may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Leveraged loans may involve foreign borrowers and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due. | |
The leveraged loans have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR, the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a leveraged loan is purchased a Series may pay an assignment fee. On an ongoing basis, a Series may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a leveraged loan. Prepayment penalty fees are received upon the prepayment of a leveraged loan by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid. | |
As of December 31, 2018, the Newfleet Multi-Sector Intermediate Bond Series had unfunded loan commitments as follows: |
Unfunded | ||
Loan | ||
Borrower | Commitment | |
Carlisle FoodService Products, Inc. | $4 | |
Pearl Intermediate Parent LLC | 10 | |
St. George’s University Scholastic Services LLC | 29 | |
Universal Hospital Services | 24 |
J. | Regulation S-X |
In August 2018, the SEC adopted amendments to Regulation S-X which are intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the information provided to investors. The amendments include eliminating the requirement to: separately state book basis components of net assets on the Statement of Assets & Liabilities; separately state the sources of distributions paid (except tax return of capital distributions must still be separately disclosed) on the Statements of Changes in Net Assets; and state the book basis amount of undistributed net investment income on the Statements of Changes in Net Assets. Certain prior year amounts have been reclassified for consistency with the current year presentation (see footnotes on Statement of Changes for separate disclosure). These reclassifications have no effect on total net assets, total distributions, the statement of operations, financial highlights, net asset value or total return. | |
K. | Securities Lending |
($ reported in thousands) | |
Certain Series may loan securities to qualified brokers through a securities lending agency agreement with The Bank of New York Mellon (“BNYM”). Under the securities lending policy, when a Series lends securities, it is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Fund net of fees and rebates charged/paid by BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral. At December 31, 2018, the following Series had securities on loan: |
Market Value | Cash Collateral | ||
KAR Small-Cap Growth Series | $ 1,301 | $ 1,351 | |
Newfleet Multi-Sector Intermediate Bond Series | 932 | 977 | |
Strategic Allocation Series | 322 | 326 |
A. | Forward Currency Contracts |
($ reported in thousands) | |
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Forward foreign currency exchange contracts, when used by a Series, help to manage the overall exposure to the currencies in which some of the investments held by the Series are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Series as an unrealized appreciation or depreciation. When the contract is closed, the Series records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward foreign currency exchange contracts involves the risk that the value of the contract changes unfavorably due to movements in the value of the referenced foreign currencies. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency. | |
B. | Options Contracts |
($ reported in thousands) | |
An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed-upon price. Certain Series may purchase or write both put and call options on portfolio securities for hedging purposes or to facilitate the rapid implementation of investment strategies if the Series anticipates a significant market or sector advance. A Series doing so is subject to equity price risk in the normal course of pursuing its investment objective(s). | |
When a Series purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When a Series writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. Holdings of the Series designated to cover outstanding written options are noted in the Schedule of Investments. Purchased options are reported as an asset within “Investment in unaffiliated securities at value” on the Statements of Assets and Liabilities. Written Options are reported as a liability within “Written option at value.” Changes in value of the purchased option are included in “Net change in unrealized appreciation (depreciation) from unaffiliated investments” in the Statements of Operations. Changes in value of written options are included in “Net change in unrealized appreciation (depreciation) from written options” in the Statements of Operations. | |
If an option expires unexercised, the Series realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in “Net realized gain (loss) on investments” in the Statements of Operations. Gain or loss on written options is presented separately as “Net realized gain (loss) from written options” in the Statements of Operations. | |
The risk in writing call options is that the Series gives up the opportunity for profit if the market price of the referenced security increases and the option is exercised. The risk in writing put options is that the Series may incur a loss if the market price of the referenced security decreases and the option is exercised. The risk in buying options is that the Series pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be significantly different from the then-market value. | |
The Rampart Enhanced Core Equity Series invests in written covered call options contracts in an attempt to manage equity price risk and with the purpose of generating realized gains. |
Statements of Assets and Liabilities | |
Rampart Enhanced Core Equity | |
Assets: | |
Purchased options at value | 22(1) |
Liabilities: | |
Written options at value | (54) |
Net asset (liability) balance | (32) |
Statements of Operations | |
Rampart Enhanced Core Equity | |
Net realized gain (loss) from purchased options | 136(2) |
Net realized gain (loss) from written options | (8,793) |
Net change in unrealized appreciation (depreciation) from purchased options | (37)(3) |
Net change in unrealized appreciation depreciation) from written options | 34 |
Total net realized and unrealized gain (loss) | (8,660) |
(2) Amount included in Net realized gain (loss) from unaffiliated investments.
(3) Amount included in Net change in unrealized appreciation (depreciation) on unaffiliated investments.
A. | Investment Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect, wholly owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Series. The Adviser manages the Series’ investment programs and general operations of the Series, including oversight of the Series’ subadvisers. | |
As compensation for its services to the Series, the Adviser is entitled to a fee, which is calculated daily and paid monthly based upon the following annual rates as a percentage of the average daily net assets of each Series: |
Series | First $250 Million | Next $250 Million | Over $500 Million | |||
Duff & Phelps International Series | 0.75% | 0.70% | 0.65% | |||
KAR Capital Growth Series | 0.70 | 0.65 | 0.60 | |||
Newfleet Multi-Sector Intermediate Bond Series | 0.50 | 0.45 | 0.40 | |||
Rampart Enhanced Core Equity Series | 0.70 | 0.65 | 0.60 | |||
Strategic Allocation Series | 0.55 | 0.50 | 0.45 | |||
First $1 Billion | Next $1 Billion | Over $2 Billion | ||||
Duff & Phelps Real Estate Securities Series | 0.75% | 0.70% | 0.65% | |||
First $1 Billion | $1+ Billion | |||||
KAR Small-Cap Growth Series | 0.85% | 0.80% | ||||
First $400 Million | $400 Million to $1 Billion | Over $1 Billion | ||||
KAR Small-Cap Value Series | 0.90% | 0.85% | 0.80% |
B. | Subadvisers |
The subadvisers manage the investments of each Series for which they are paid a fee by the Adviser. Each subadviser is an indirect, wholly owned subsidiary of Virtus. A list of the subadvisers and the Series they serve is as follows: |
Series | Subadviser | |
Duff & Phelps International Series | DPIM(1) | |
Duff & Phelps Real Estate Securities Series | DPIM(1) | |
KAR Capital Growth Series | KAR(2) | |
KAR Small-Cap Growth Series | KAR(2) | |
KAR Small-Cap Value Series | KAR(2) | |
Newfleet Multi-Sector Intermediate Bond Series | Newfleet(3) |
Series | Subadviser | |
Rampart Enhanced Core Equity Series | Rampart(4) | |
Strategic Allocation Series | ||
(Domestic Equity Portfolio) | KAR(2) | |
(International Equity Portfolio) | DPIM(1) | |
(Fixed Income Portfolio) | Newfleet(3) |
(1) | Duff & Phelps Investment Management Co. (“DPIM”). |
(2) | Kayne Anderson Rudnick Investment Management, LLC (“KAR”). |
(3) | Newfleet Asset Management, LLC (“Newfleet”) |
(4) | Rampart Investment Management Company, LLC (“Rampart”) |
C. | Expense Limits |
The Adviser has contractually agreed to limit the total operating expenses (excluding front-end or contingent deferred loads, taxes, leverage expenses, interest, brokerage commissions, expenses incurred in connection with any merger or reorganization, unusual or infrequently occurring expenses (such as litigation), acquired fund fees and expenses, and dividend expenses, if any) of each Series, so that such expenses do not exceed, on an annualized basis, the following percentages of average net assets, through April 30, 2020. The waivers and reimbursements are accrued daily and received monthly. |
Series | Class A | Class I | ||
Duff & Phelps International Series | 1.18 % | 0.93 % | ||
Duff & Phelps Real Estate Securities Series | 1.16 | 0.91 | ||
KAR Capital Growth Series | 1.03 | N/A | ||
KAR Small-Cap Growth Series | 1.19 | 0.94 | ||
KAR Small-Cap Value Series | 1.10* | N/A | ||
Newfleet Multi-Sector Intermediate Bond Series | 0.94 | 0.69 | ||
Rampart Enhanced Core Equity Series | 0.98 | N/A | ||
Strategic Allocation Series | 0.98 | N/A |
D. | Expense Recapture |
($ reported in thousands) | |
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. A Series must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser reimbursed expenses may be recaptured by the fiscal year ending: |
Expiration | ||||||||
Series | 2019 | 2020 | 2021 | Total | ||||
Duff & Phelps International Series | ||||||||
Class A | $ 126 | $ 63 | $ 1 | $ 190 | ||||
Class I | —(a) | —(a) | —(a) | —(a) | ||||
Duff & Phelps Real Estate Securities Series | ||||||||
Class A | 72 | 40 | 24 | 136 | ||||
Class I | —(a) | —(a) | —(a) | —(a) | ||||
KAR Capital Growth Series | ||||||||
Class A | 275 | 212 | 172 | 659 | ||||
KAR Small-Cap Growth Series | ||||||||
Class A | 100 | 80 | 75 | 255 | ||||
Class I | —(a) | 2 | 3 | 5 | ||||
KAR Small-Cap Value Series | ||||||||
Class A | 172 | 134 | 117 | 423 |
Expiration | ||||||||
Series | 2019 | 2020 | 2021 | Total | ||||
Newfleet Multi-Sector Intermediate Bond Series | ||||||||
Class A | $71 | $26 | $3 | $100 | ||||
Class I | —(a) | —(a) | —(a) | —(a) | ||||
Rampart Enhanced Core Equity Series | ||||||||
Class A | 209 | 196 | 163 | 568 | ||||
Strategic Allocation Series | ||||||||
Class A | 102 | 75 | 42 | 219 |
(a) | Amount is less than $500. |
Series | Class A | Class I | Total | |||
Duff & Phelps International Series | $ 19 | $ —(a) | $ 19 | |||
Newfleet Multi-Sector Intermediate Bond Series | 17 | —(a) | 17 | |||
Strategic Allocation Series | 2 | — | 2 |
(a) | Amount is less than $500. |
E. | Administrator and Distributor |
($ reported in thousands) | |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as the administrator to the Series. | |
For the year ended December 31, 2018 (the “period”), the Series incurred administration fees totaling $920 which are included in the Statements of Operations within the line item “Administration and accounting fees.” A portion of these fees was paid to an outside entity that also provides services to the Series. The fees are calculated daily and paid monthly. | |
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of each Series’ shares. Each Series pays VP Distributors distribution and/or service fees under a Board-approved Rule 12b-1 plan, at the annual rate of 0.25% of the average daily net assets of such Series’ Class A shares. Class I shares are not subject to a Rule 12b-1 plan. For the period ended December 31, 2018, the Series incurred distribution fees totaling $2,416 which are included in the Statements of Operations within the line item “Distribution and service fees.” A portion of these fees was paid to certain insurance companies for marketing and/or shareholder services provided to contract owners. The fees are calculated daily and paid monthly. | |
F. | Investments in Affiliates |
($ reported in thousands) | |
A summary of the total long-term and short-term purchases and sales of an affiliated fund, Virtus Newfleet Credit Opportunities Fund, during the period ended December 31, 2018, is as follows: |
Value, beginning of period | Purchases | Sales Proceeds | Net realized gain (loss) on affiliated fund | Net change in unrealized appreciation (depreciation) on affiliated fund | Value, end of period | Shares | Dividend Income | Distributions of Realized Gains | |||||||||
Newfleet Multi-Sector Intermediate Bond Series | |||||||||||||||||
Affiliated Mutual Fund—1.4% | |||||||||||||||||
Virtus Newfleet Credit Opportunities Fund Class R6* | $3,002 | $— | $(1,190) | $(77) | $(88) | $1,647 | 183 | $137 | $— |
* | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Value, beginning of period | Purchases | Sales Proceeds | Net realized gain (loss) on affiliated fund | Net change in unrealized appreciation (depreciation) on affiliated fund | Value, end of period | Shares | Dividend Income | Distributions of Realized Gains | |||||||||
Strategic Allocation Series | |||||||||||||||||
Affiliated Mutual Fund—0.3% | |||||||||||||||||
Virtus Newfleet Credit Opportunities Fund Class R6* | $324 | $— | $(84) | $(6) | $(15) | $219 | 24 | $19 | $— |
* | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
G. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other Assets” on the Statement of Assets and Liabilities at December 31, 2018. |
Purchases | Sales | ||
Duff & Phelps International Series | $66,741 | $82,258 | |
Duff & Phelps Real Estate Securities Series | 14,375 | 19,917 | |
KAR Capital Growth Series | 33,901 | 61,444 | |
KAR Small-Cap Growth Series | 17,507 | 22,810 | |
KAR Small-Cap Value Series | 9,298 | 20,716 | |
Newfleet Multi-Sector Intermediate Bond Series | 69,133 | 77,573 | |
Rampart Enhanced Core Equity Series | 25,515 | 45,133 | |
Strategic Allocation Series | 27,450 | 37,544 |
Purchases | Sales | ||
Newfleet Multi-Sector Intermediate Bond Series | $11,046 | $11,514 | |
Strategic Allocation Series | 2,378 | 3,711 |
Duff & Phelps International Series | |||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Sale of shares | 335 | $4,004 | 251 | $2,956 | |||
Reinvestment of distributions | 435 | 4,848 | 233 | 2,824 | |||
Shares repurchased | (1,806) | (22,396) | (2,051) | (24,234) | |||
Net Increase / (Decrease) | (1,036) | $(13,544) | (1,567) | $(18,454) |
Duff & Phelps International Series | |||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class I | |||||||
Reinvestment of distributions | —(a) | $3 | —(a) | $2 | |||
Net Increase / (Decrease) | —(a) | $3 | —(a) | $2 |
(a) | Amount is less than $500. |
Duff & Phelps Real Estate Securities Series | |||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Sale of shares | 178 | $3,243 | 197 | $4,023 | |||
Reinvestment of distributions | 358 | 6,458 | 440 | 8,557 | |||
Shares repurchased | (582) | (10,732) | (604) | (12,298) | |||
Net Increase / (Decrease) | (46) | $(1,031) | 33 | $282 | |||
Class I | |||||||
Sale of shares | 3 | $50 | 3 | $53 | |||
Reinvestment of distributions | 1 | 21 | 1 | 22 | |||
Shares repurchased | (2) | (28) | (3) | (56) | |||
Net Increase / (Decrease) | 2 | $43 | 1 | $19 |
KAR Capital Growth Series | |||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Sale of shares | 73 | $2,380 | 116 | $3,454 | |||
Reinvestment of distributions | 889 | 24,960 | 301 | 9,483 | |||
Shares repurchased | (797) | (26,497) | (976) | (28,020) | |||
Net Increase / (Decrease) | 165 | $843 | (559) | $(15,083) |
KAR Small-Cap Growth Series | |||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Sale of shares | 119 | $4,029 | 51 | $1,300 | |||
Reinvestment of distributions | 508 | 14,632 | 163 | 4,642 | |||
Shares repurchased | (396) | (12,951) | (352) | (8,897) | |||
Net Increase / (Decrease) | 231 | $5,710 | (138) | $(2,955) | |||
Class I | |||||||
Sale of shares | 79 | $2,529 | 69 | $1,671 | |||
Reinvestment of distributions | 21 | 617 | 4 | 105 | |||
Shares repurchased | (29) | (932) | (25) | (626) | |||
Net Increase / (Decrease) | 71 | $2,214 | 48 | $1,150 |
KAR Small-Cap Value Series | |||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Sale of shares | 79 | $1,272 | 66 | $1,167 | |||
Reinvestment of distributions | 618 | 8,965 | 751 | 13,015 | |||
Shares repurchased | (757) | (12,729) | (1,057) | (18,576) | |||
Net Increase / (Decrease) | (60) | $(2,492) | (240) | $(4,394) |
Newfleet Multi-Sector Intermediate Bond Series | |||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Sale of shares | 832 | $7,717 | 1,809 | $17,075 | |||
Reinvestment of distributions | 549 | 4,818 | 614 | 5,734 | |||
Shares repurchased | (2,440) | (22,403) | (2,246) | (21,187) | |||
Net Increase / (Decrease) | (1,059) | $(9,868) | 177 | $1,622 | |||
Class I | |||||||
Sale of shares | 5 | $45 | 149 | $1,404 | |||
Reinvestment of distributions | 4 | 31 | 6 | 59 | |||
Shares repurchased | (75) | (690) | (34) | (322) | |||
Net Increase / (Decrease) | (66) | $(614) | 121 | $1,141 |
Rampart Enhanced Core Equity Series | |||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Sale of shares | 110 | $1,268 | 70 | $907 | |||
Reinvestment of distributions | 93 | 1,020 | 1,735 | 21,074 | |||
Shares repurchased | (1,188) | (13,892) | (1,255) | (16,192) | |||
Net Increase / (Decrease) | (985) | $(11,604) | 550 | $5,789 |
Strategic Allocation Series | |||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Sale of shares | 44 | $575 | 43 | $531 | |||
Reinvestment of distributions | 398 | 4,684 | 199 | 2,442 | |||
Shares repurchased | (1,040) | (13,444) | (1,131) | (13,515) | |||
Net Increase / (Decrease) | (598) | $(8,185) | (889) | $(10,542) |
% of Shares Outstanding | Number of Accounts | ||
Duff & Phelps International Series | 98% | 2 | |
Duff & Phelps Real Estate Securities Series | 86 | 2 | |
KAR Capital Growth Series | 100 | 2 | |
KAR Small-Cap Growth Series | 94 | 2 | |
KAR Small-Cap Value Series | 100 | 2 | |
Newfleet Multi-Sector Intermediate Bond Series | 90 | 3 | |
Rampart Enhanced Core Equity Series | 99 | 2 | |
Strategic Allocation Series | 100 | 2 |
Series | Sector | Percentage of Total Investments | ||
Duff & Phelps International Series | Financials | 26% | ||
KAR Capital Growth Series | Consumer Discretionary | 27 |
Series | Investments | Date of Acquisition | Cost | Value | Percentage of Net Assets | |||||
KAR Capital Growth Series | BDC Payments Holdings, Inc | 12/21/18 | $2,417 | 2,417 | 1.3% |
Series | Investments | Date of Acquisition | Cost | Value | Percentage of Net Assets | |||||
Strategic Allocation Series | BDC Payments Holdings, Inc | 12/21/18 | $460 | 460 | 0.6% |
Series | Federal tax cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Duff & Phelps International Series | $140,267 | $16,522 | $(22,059) | $(5,537) | ||||
Duff & Phelps Real Estate Securities Series | 52,563 | 16,389 | (3,775) | 12,614 | ||||
KAR Capital Growth Series | 115,356 | 76,626 | (7,924) | 68,702 | ||||
KAR Small-Cap Growth Series | 47,390 | 37,729 | (1,446) | 36,283 | ||||
KAR Small-Cap Value Series | 54,130 | 19,745 | (5,653) | 14,092 | ||||
Newfleet Multi-Sector Intermediate Bond Series | 121,853 | 434 | (6,971) | (6,537) | ||||
Rampart Enhanced Core Equity Series (Including Purchased Options) | 80,417 | 10,373 | (6,009) | 4,364 | ||||
Rampart Enhanced Core Equity Series (Written Options) | (54) | — | — | — | ||||
Strategic Allocation Series | 73,640 | 9,774 | (4,494) | 5,280 |
No Expiration | Total | ||||||
Short - Term | Long-Term | Short - Term | Long-Term | ||||
Duff & Phelps International Series | $6,485 | $— | $6,485 | $— | |||
Newfleet Multi-Sector Intermediate Bond Series | 511 | 3,372 | 511 | 3,372 | |||
Rampart Enhanced Core Equity Series | 2,329 | 4,024 | 2,329 | 4,024 |
Series | |
Duff & Phelps International Series | $ 2,882 |
Series | Late Year Ordinary Losses Deferred | Late Year Ordinary Losses Recognized | Capital Loss Deferred | Capital Loss Recognized | ||||
Duff & Phelps International Series | $ 471 | $ — | $ 3,287 | $ — | ||||
KAR Capital Growth Series | — | — | 53 | — | ||||
KAR Small-Cap Value Series | — | — | 470 | — | ||||
Newfleet Multi-Sector Intermediate Bond Series | 40 | — | 265 | (27) | ||||
Rampart Enhanced Core Equity Series | — | — | 561 | — | ||||
Strategic Allocation Series | 18 | — | 119 | — |
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Undistributed Tax-Exempt Income | |||
Duff & Phelps Real Estate Securities Series | $152 | $440 | $ — | ||
KAR Capital Growth Series | — | 2,103 | — | ||
KAR Small-Cap Growth Series | — | 1,660 | — | ||
KAR Small-Cap Value Series | 33 | — | — | ||
Rampart Enhanced Core Equity Series | 26 | — | — |
Ordinary Income | Long-Term Capital Gains | Return of Capital | Total | ||||
Duff & Phelps International Series | |||||||
12/31/18 | $ 4,852 | $— | $ — | $4,852 | |||
12/31/17 | 2,826 | — | — | 2,826 | |||
Duff & Phelps Real Estate Securities Series | |||||||
12/31/18 | 1,320 | 5,159 | — | 6,479 | |||
12/31/17 | 1,692 | 6,887 | — | 8,579 | |||
KAR Capital Growth Series | |||||||
12/31/18 | — | 24,960 | — | 24,960 | |||
12/31/17 | — | 9,483 | — | 9,483 | |||
KAR Small-Cap Growth Series | |||||||
12/31/18 | 93 | 15,156 | — | 15,249 | |||
12/31/17 | 445 | 4,302 | — | 4,747 | |||
KAR Small-Cap Value Series | |||||||
12/31/18 | 797 | 8,168 | — | 8,965 | |||
12/31/17 | 1,924 | 11,091 | — | 13,015 | |||
Newfleet Multi-Sector Intermediate Bond Series | |||||||
12/31/18 | 4,849 | — | — | 4,849 | |||
12/31/17 | 5,793 | — | — | 5,793 | |||
Rampart Enhanced Core Equity Series | |||||||
12/31/18 | 1,020 | — | — | 1,020 | |||
12/31/17 | 15,209 | 5,334 | 531 | 21,074 | |||
Strategic Allocation Series | |||||||
12/31/18 | 1,424 | 3,261 | — | 4,685 | |||
12/31/17 | 1,796 | 646 | — | 2,442 |
Capital Paid in on Shares of Beneficial Interest | Total Distributable Earnings (Loss) | ||
KAR Capital Growth Series | $ (136) | $ 136 | |
KAR Small-Cap Growth Series | (18) | 18 | |
Rampart Enhanced Core Equity Series | (4) | 4 |
DRD | LTCG | ||
Duff & Phelps International Series | 4 % | $ — | |
Duff & Phelps Real Estate Securities Series | — | 4,520 | |
KAR Capital Growth Series | — | 22,547 | |
KAR Small-Cap Growth Series | — | 14,220 | |
KAR Small-Cap Value Series | 100 | 6,057 | |
Rampart Enhanced Core Equity Series | 100 | 6 | |
Strategic Allocation Series | 27 | 2,799 |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Complex | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee |
Brown, Thomas J. YOB: 1945 Served Since: 2011 70 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (58 portfolios) and Virtus Alternative Solutions Trust (4 portfolios); Trustee (since 2011), Virtus Variable Insurance Trust (8 portfolios); Director (since 2010), D’Youville Senior Care Center; and Director (since 2005), VALIC Company Funds (49 portfolios). |
Burke, Donald C. YOB: 1960 Served Since: 2016 74 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (58 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (4 portfolios); Director (since 2014) closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director, Avista Corp. (energy company) (since 2011); Trustee, Goldman Sachs Fund Complex (2010 to 2014); and Director, BlackRock Luxembourg and Cayman Funds (2006 to 2010). |
Harris, Sidney E. YOB: 1949 Served Since: 2017 70 Portfolios | Professor and Dean Emeritus (since April 2015), Professor (1997 to 2014), Dean (1997 to 2004), J. Mack Robinson College of Business, Georgia State University; Trustee (since 2019), Mutual Fund Directors Forum; Trustee (since 2017), Virtus Mutual Fund Family (58 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (4 portfolios); Trustee (since 2013), KIPP Metro Atlanta; Trustee (since 1999) Total System Services, Inc.; Trustee (2004 to 2017), RidgeWorth Funds; Trustee (since 2012), International University of the Grand Bassam; and Trustee (2011 to 2015), Genspring Family Offices, LLC. |
Mallin, John R. YOB: 1950 Served Since: 1999 70 Portfolios | Partner/Attorney (since 2003), McCarter & English LLP (law firm), Real Property Practice Group; and Member (since 2014), Counselors of Real Estate. Trustee (since 2016), Virtus Mutual Fund Family (58 portfolios) and Virtus Alternative Solutions Trust (4 portfolios); Director (since 2013), Horizons, Inc. (non-profit); and Trustee (since 1999), Virtus Variable Insurance Trust (8 portfolios). |
McClellan, Hassell H. YOB: 1945 Served Since: 2008 70 Portfolios | Retired (since 2013); and Professor (1984 to 2013), Wallace E. Carroll School of Management, Boston College. Chairperson of the Board (since 2017) and Trustee (since 2000), John Hancock Fund Complex (collectively, 227 portfolios); Trustee (since 2016), Virtus Alternative Solutions Trust (4 portfolios); Trustee (since 2015), Virtus Mutual Fund Family (58 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); and Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 70 Portfolios | Retired (since 2013); and Vice President, Chief of Internal Audit, Corporate Audit Department (2009 to 2013); Vice President Global Finance Transformation (2007 to 2009); Vice President and Controller (1999 to 2007), The Coca-Cola Company. Trustee (since 2017), Virtus Mutual Fund Family (58 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (4 portfolios); Trustee (since 2014), Total System Services, Inc.; and Trustee (2005 to 2017), RidgeWorth Funds. |
McLoughlin, Philip YOB: 1946 Served Since: 2003 78 Portfolios | Retired. Director and Chairman (since 2016), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Director and Chairman (since 2014) Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (4 portfolios); Trustee and Chairman (since 2011), Virtus Global Multi-Sector Income Fund; Chairman and Trustee (since 2003), Virtus Variable Insurance Trust (8 portfolios); Director (since 1995), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director (since 1991) and Chairman (since 2010), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (58 portfolios). |
McNamara, Geraldine M. YOB: 1951 Served Since: 2015 74 Portfolios | Retired. Trustee (since 2016), Virtus Alternative Solutions Trust (4 portfolios); Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); and Trustee (since 2001), Virtus Mutual Fund Family (58 portfolios). |
Oates, James M. YOB: 1946 Served Since: 2016 74 Portfolios | Managing Director (since 1994), Wydown Group (consulting firm). Director (since 2016), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Trustee (since 2016), Virtus Variable Insurance Trust (8 portfolios); Director (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2013), Virtus Alternative Solutions Trust (4 portfolios); Trustee (since 2011), Virtus Global Multi-Sector Income Fund; Trustee (since 2005) and Chairman (2005 to 2017), John Hancock Fund Complex (227 portfolios); Director (2002 to 2014), New Hampshire Trust Company; Chairman (2000 to 2016), Emerson Investment Management, Inc.; Non-Executive Chairman (2000 to 2014), Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services); Chairman and Director (1999 to 2014), Connecticut River Bank; Director (since 1996), Stifel Financial; and Trustee (since 1987), Virtus Mutual Fund Family (58 portfolios). |
Segerson, Richard E. YOB: 1948 Served Since: 2016 70 Portfolios | Retired; and Managing Director (1998 to 2013), Northway Management Company. Trustee (since 2016), Virtus Alternative Solutions Trust (4 portfolios) and Virtus Variable Insurance Trust (8 portfolios); and Trustee (since 1983), Virtus Mutual Fund Family (58 portfolios).. |
Name, Year of Birth, Year Elected and Number of Funds Overseen | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee |
Aylward, George R.* Trustee and President YOB: 1964 Elected: 2012 75 Portfolios | Director, President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions with Virtus affiliates (since 2005). Chairman and Trustee (since 2015), Virtus ETF Trust II (1 portfolio); Director, President and Chief Executive Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and President (since 2013), Virtus Alternative Solutions Trust (4 portfolios); Director (since 2013), Virtus Global Funds, PLC (4 portfolios); Trustee (since 2012) and President (since 2010), Virtus Variable Insurance Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2011), Virtus Global Multi-Sector Income Fund; Trustee and President (since 2006) and Executive Vice President (2004 to 2006), Virtus Mutual Fund Family (58 portfolios); and Director, President and Chief Executive Officer (since 2006), Virtus Global Dividend & Income Fund Inc. and Virtus Total Return Fund Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Batchelar, Peter YOB: 1970 | Senior Vice President (since 2017), Vice President (2008 to 2017). | Senior Vice President (since 2017) and Vice President (2008 to 2017), Product Development, Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Virtus Asset Trust and Virtus Retirement Trust; Senior Vice President (since 2017) and Vice President (2008 to 2017), Virtus Equity Trust and Virtus Opportunities Trust; Senior Vice President (since 2017) and Vice President (2010 to 2017), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Senior Vice President (since 2017) and Vice President (2016 to 2017), Virtus Global Multi-Sector Income Fund and Duff & Phelps Select Energy MLP Fund Inc.; and Senior Vice President (since 2017) and Vice President (2013 to 2017), Virtus Alternative Solutions Trust. |
Bradley, W. Patrick YOB: 1972 | Executive Vice President (since 2016); Senior Vice President (2013 to 2016); Vice President (2011 to 2013); Chief Financial Officer and Treasurer (since 2006). | Executive Vice President, Fund Services (since 2016), Senior Vice President, Fund Services (2010 to 2016), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2006) with Virtus affiliates; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2004), Virtus Variable Insurance Trust; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2006), Virtus Mutual Fund Family; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2012 to 2013) and Treasurer and Chief Financial Officer (since 2010), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2011), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2016), Senior Vice President (2014 to 2016), Chief Financial Officer and Treasurer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Vice President and Assistant Treasurer (since 2011), Duff & Phelps Global Utility Income Fund Inc.; Director (since 2013), Virtus Global Funds, PLC; and Executive Vice President (since 2016), Senior Vice President (2013 to 2016), and Chief Financial Officer and Treasurer (since 2013), Virtus Alternative Solutions Trust. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Carr, Kevin J. YOB: 1954 | Senior Vice President (since 2017), Assistant Secretary (since 2013), Vice President, Chief Legal Officer, Counsel and Secretary (2010 to 2013). | Vice President and Senior Counsel (2017 to Present), Senior Vice President (2009 to 2017), Vice President, Counsel and Secretary (2008 to 2009), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions (since 2005) with Virtus affiliates; Senior Vice President (since 2013), Vice President (2005 to 2013), Chief Legal Officer, Counsel and Secretary (since 2005), Virtus Mutual Fund Family; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Senior Vice President (since 2017), Assistant Secretary (since 2013), Vice President, Chief Legal Officer, Counsel and Secretary (2010 to 2013), Virtus Variable Insurance Trust; Senior Vice President(2013 to 2014), Vice President(2011 to 2013), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Senior Vice President (since 2017) and Assistant Secretary (since 2013), Virtus Alternative Solutions Trust; Secretary (since 2015), ETFis Series Trust I; and Secretary (since 2015), Virtus ETF Trust II. |
Engberg, Nancy J. YOB: 1956 | Senior Vice President (since 2017); Vice President (2011 to 2017); and Chief Compliance Officer (since 2011). | Senior Vice President (since 2017), Vice President (2008 to 2017) and Chief Compliance Officer (2008 to 2011 and since 2016), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2003) with Virtus affiliates; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2017) and Chief Compliance Officer (since 2011), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2011 to 2016) and Chief Compliance Officer (since 2011), Virtus Global Multi-Sector Income Fund; Senior Vice President (since 2017), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Senior Vice President (since 2017), Vice President (2013 to 2016) and Chief Compliance Officer (since 2013), Virtus Alternative Solutions Trust; Senior Vice President (since 2017), Vice President (2014 to 2017) and Chief Compliance Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. |
Fromm, Jennifer S. YOB: 1973 | Vice President, Chief Legal Officer and Secretary (since 2013). | Vice President (since 2016) and Senior Counsel (since 2007), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Vice President (since 2017) and Assistant Secretary (since 2008), Virtus Asset Trust, Virtus Equity Trust, Virtus Opportunities Trust and Virtus Retirement Trust; Vice President, Chief Legal Officer, and Secretary of Virtus Variable Insurance Trust (since 2013); and Vice President, Chief Legal Officer, and Secretary (since 2013), Virtus Alternative Solutions Trust. |
Short, Julia R. YOB: 1972 | Senior Vice President (since 2017). | Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Virtus Mutual Fund Family; Senior Vice President (since 2018), Virtus Closed-End Funds; President and Chief Executive Officer, RidgeWorth Funds (2007 to 2017); and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). |
Waltman, Francis G. YOB: 1962 | Executive Vice President (since 2013); Senior Vice President (2008 to 2013). | Executive Vice President, Product Development (since 2009), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions (since 2006) with Virtus affiliates; Executive Vice President (since 2013), Senior Vice President (2008 to 2013), Virtus Mutual Fund Family; Executive Vice President (since 2013), Senior Vice President (2010 to 2013), Virtus Variable Insurance Trust; Executive Vice President (since 2013), Senior Vice President (2011 to 2013), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2013), Virtus Global Funds PLC; and Executive Vice President (since 2013), Virtus Alternative Solutions Trust. |
and Statutory Prospectus, each dated April 30, 2018
Annual Fund Operating Expenses(expenses that you pay each year as a percentage of the value of your investment) | Class A |
Management Fees | 0.90% |
Distribution and Shareholder Servicing (12b-1) Fees | 0.25% |
Other Expenses | 0.19% |
Total Annual Fund Operating Expenses | 1.34% |
Less: Expense Reimbursement(a) | (0.24%) |
Total Annual Series Operating Expenses After Expense Reimbursement(a) | 1.10% |
(a) | The Series’ investment adviser has contractually agreed to limit the Series’ total operating expenses (excluding certain expenses, such as front-end or contingent deferred sales charges, taxes, leverage expenses, interest, brokerage commissions, expenses incurred in connection with any merger or reorganization, unusual or infrequently occurring expenses (such as litigation), acquired fund fees and expenses, and dividend expenses, if any) so that such expenses do not exceed 1.10% through April 30, 2020. Following the contractual period, the adviser may discontinue these expense reimbursement arrangements at any time. Under certain conditions, the adviser may recapture operating expenses reimbursed under these arrangements for a period of three years after the date on which incurred or waived. |
1 Year | 3 Years | 5 Years | 10 Years | |
Class A | $112 | $401 | $711 | $1,592 |
Mutual Fund Services | 1-800-367-5877 |
Website | Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-243-1574.
please contact us at1-800-367-5877, orVirtus.com.
8510 | 02-19 |
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics described in Item 2(b) of the instructions for completion of FormN-CSR. |
(d) | The registrant has not granted any waivers, during the period covered by this report, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of the instructions for completion of this Item. |
Item 3. Audit Committee Financial Expert.
(a)(1) | The Registrant’s Board of Trustees has determined that the Registrant has an “audit committee financial expert” serving on its Audit Committee. |
(a)(2) | The Registrant’s Board of Trustees has determined that each of Thomas J. Brown, Donald C. Burke, Connie D. McDaniel and Richard E. Segerson possesses the technical attributes identified in Instruction 2(b) of Item 3 to FormN-CSR to qualify as an “audit committee financial expert.” Each of Messrs. Brown, Burke and Segerson is an “independent” trustee pursuant to paragraph (a)(2) of Item 3 to FormN-CSR. |
(a)(3) | Not applicable. |
Item 4. Principal Accountant Fees and Services.
• | Registrant may incorporate the following information by reference, if this information has been disclosed in the registrant’s definitive proxy statement or definitive information statement. The proxy statement or information statementmust be filed no later than 120 days after the end of the fiscal year covered by the Annual Report. |
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $141,920 for 2018 and $207,494 for 2017. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $22,377 for 2018 and $9,729 for 2017. Such audit-related fees include out of pocket expenses and system conversion fees. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $61,941 for 2018 and $0 for 2017. |
“Tax Fees” are those primarily associated with review of the Trust’s tax provision and qualification as a regulated investment company (RIC) in connection with audits of the Trust’s financial statement, review ofyear-end distributions by the Fund to avoid excise tax for the Trust, periodic discussion with management on tax issues affecting the Trust, and reviewing and signing the Fund’s federal income tax returns.
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2018 and $0 for 2017. |
(e)(1) | Disclose the audit committee’spre-approval policies and procedures described in paragraph (c)(7) of Rule2-01 of RegulationS-X. |
The Virtus Variable Insurance Trust (the “Fund”) Board has adopted policies and procedures with regard to thepre-approval of services provided by PwC. Audit, audit-related and tax compliance services provided to the Fund on an annual basis require specificpre-approval by the Board. The Audit Committee must approve othernon-audit
services provided to the Fund and thosenon-audit services provided to the Fund’s Affiliated Service Providers that relate directly to the operations and financial reporting of the Fund. Certain of thesenon-audit services that the Audit Committee believes are a) consistent with the SEC’s auditor independence rules and b) routine and recurring services that will not impair the independence of the independent auditors may be approved by the Audit Committee without consideration on a specificcase-by-case basis (“generalpre-approval”).
The Audit Committee has determined that Mr. Thomas J. Brown, Chair of the Audit Committee, may providepre-approval for such services that meet the above requirements in the event such approval is sought between regularly scheduled meetings. In any event, the Audit Committee is informed of each service approved subject to generalpre-approval at the next regularly scheduledin-person Audit Committee meeting.
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule2-01 of RegulationS-X are as follows: |
(b) 0%
(c) 0%
(d) N/A
(f) | The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent. |
(g) | The aggregatenon-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including anysub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $84,318 for 2018 and $9,729* for 2017. |
* Prior year fees were restated to removenon-audit fees paid by affiliated registrants not requested by the item.
(h) | The registrant’s audit committee of the board of directors has considered whether the provision ofnon-audit services that were rendered to the registrant’s investment adviser (not including anysub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were notpre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X is compatible with maintaining the principal accountant’s independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers ofClosed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of RegulationS-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule30a-3(b) under the 1940 Act (17 CFR270.30a-3(b)) |
and Rules13a-15(b) or15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR240.13a-15(b) or240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act (17 CFR270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities forClosed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Virtus Variable Insurance Trust |
By (Signature and Title)* | /s/ George R. Aylward | |
George R. Aylward, President | ||
(principal executive officer) |
Date | 3/8/2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ George R. Aylward | |
George R. Aylward, President | ||
(principal executive officer) |
Date | 3/8/2019 |
By (Signature and Title)* | /s/ W. Patrick Bradley | |
W. Patrick Bradley, Executive Vice President, | ||
Chief Financial Officer and Treasurer | ||
(principal financial officer) |
Date | 3/8/2019 |
* Print the name and title of each signing officer under his or her signature.