UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number:
811-05577
The Glenmede Fund, Inc.
(Exact Name of Registrant as Specified in Charter)
100 Summer Street, Floor 7
SUM0703
Boston, MA 02110
(Address of Principal Executive Offices)(Zip Code)
Michael P. Malloy, Esq.
Secretary
Drinker Biddle & Reath LLP
One Logan Square
Suite 2000
Philadelphia, PA 19103-6996
(Name and Address of Agent for Service)
Registrant’s Telephone Number, including Area Code:
1-800-442-8299
Date of Fiscal Year End: October 31
Date of Reporting Period: April 30, 2019
Item 1. | Reports to Stockholders. |
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1 |
Beginning Account Value (November 1, 2018) | Ending Account Value (April 30, 2019) | Annualized Expense Ratio | Expenses Paid During Period* (November 1, 2018 to April 30, 2019) | ||||
Quantitative U.S. Large Cap Core Equity Portfolio – Advisor | |||||||
Actual | $1,000.00 | $1,056.40 | 0.86% | $4.38 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.50 | 0.86 | 4.31 | |||
Quantitative U.S. Large Cap Core Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,057.40 | 0.66 | 3.37 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.50 | 0.66 | 3.31 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,131.20 | 0.87 | 4.60 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.50 | 0.87 | 4.36 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,132.30 | 0.67 | 3.54 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.50 | 0.67 | 3.36 | |||
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||
Actual | 1,000.00 | 1,053.50 | 0.93 | 4.74 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.20 | 0.93 | 4.66 | |||
Quantitative U.S. Small Cap Equity Portfolio | |||||||
Actual | 1,000.00 | 1,037.00 | 0.95 | 4.80 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.10 | 0.95 | 4.76 | |||
Quantitative International Equity Portfolio | |||||||
Actual | 1,000.00 | 1,062.00 | 1.00 | 5.11 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,019.80 | 1.00 | 5.01 | |||
Responsible ESG U.S. Equity Portfolio | |||||||
Actual | 1,000.00 | 1,072.70 | 0.95 | 4.88 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.10 | 0.95 | 4.76 | |||
Women in Leadership U.S. Equity Portfolio | |||||||
Actual | 1,000.00 | 1,074.00 | 0.95 | 4.89 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.10 | 0.95 | 4.76 | |||
Quantitative U.S. Long/Short Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 977.40 | 1.23 | 6.03 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,018.70 | 1.23 | 6.16 | |||
Quantitative U.S. Total Market Equity Portfolio | |||||||
Actual | 1,000.00 | 1,047.00 | 1.25 | 6.34 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,018.60 | 1.25 | 6.26 |
2 |
Beginning Account Value (November 1, 2018) | Ending Account Value (April 30, 2019) | Annualized Expense Ratio | Expenses Paid During Period* (November 1, 2018 to April 30, 2019) | ||||
Strategic Equity Portfolio | |||||||
Actual | $1,000.00 | $1,096.70 | 0.84% | $4.37 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.60 | 0.84 | 4.21 | |||
Small Cap Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,034.10 | 0.92 | 4.64 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.20 | 0.92 | 4.61 | |||
Small Cap Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,035.30 | 0.72 | 3.63 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.20 | 0.72 | 3.61 | |||
Large Cap Value Portfolio | |||||||
Actual | 1,000.00 | 1,066.70 | 0.98 | 5.02 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,019.90 | 0.98 | 4.91 | |||
Equity Income Portfolio | |||||||
Actual | 1,000.00 | 1,112.80 | 0.85 | 4.45 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.60 | 0.85 | 4.26 | |||
Secured Options Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,019.30 | 0.87 | 4.36 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.50 | 0.87 | 4.36 | |||
Secured Options Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,021.70 | 0.67 | 3.36 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.50 | 0.67 | 3.36 | |||
Global Secured Options Portfolio | |||||||
Actual | 1,000.00 | 1,039.10 | 2.21 | 11.17 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,013.80 | 2.21 | 11.03 | |||
Alternative Risk Premia Portfolio** | |||||||
Actual | 1,000.00 | 1,040.00 | 1.00 | 3.66 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,014.40 | 1.00 | 3.61 | |||
Core Fixed Income Portfolio | |||||||
Actual | 1,000.00 | 1,051.00 | 0.53 | 2.70 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.20 | 0.53 | 2.66 | |||
Short Term Tax Aware Fixed Income Portfolio | |||||||
Actual | 1,000.00 | 1,016.40 | 0.55 | 2.75 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.10 | 0.55 | 2.76 | |||
High Yield Municipal Portfolio | |||||||
Actual | 1,000.00 | 1,051.70 | 1.00 | 5.09 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,019.80 | 1.00 | 5.01 |
* | Expenses are calculated using the Portfolio’s annualized expense ratio (as disclosed in the table), which is net of fee waivers, dividends on securities sold short and expense reimbursements, if any, multiplied by the average account value for the period, multiplied by the number of days in the period (181 days), and divided by the number of days in the calendar year (365 days). |
** | The Alternative Risk Premia Portfolio commenced operations on December 21, 2018. Expenses are calculated using the Portfolio’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (131 days) (the Portfolio began accruing expenses on December 21, 2018), and divided by the number of days in the calendar year (365 days). |
3 |
Beginning Account Value (November 1, 2018) | Ending Account Value (April 30, 2019) | Annualized Expense Ratio | Expenses Paid During Period* (November 1, 2018 to April 30, 2019) | ||||
Muni Intermediate Portfolio | |||||||
Actual | $1,000.00 | $1,043.10 | 0.24% | $1.22 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,023.60 | 0.24 | 1.20 |
* | Expenses are calculated using the Portfolio’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (181 days), and divided by the number of days in the calendar year (365 days). |
4 |
Quantitative U.S. Large Cap Core Equity Portfolio | Quantitative U.S. Large Cap Growth Equity Portfolio | Quantitative U.S. Large Cap Value Equity Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $2,762,638,397 | $3,262,181,043 | $1,986,248 | ||
Repurchase agreements at value1 | — | 5,820,133 | — | ||
Cash | — | — | 16,824 | ||
Receivable from Advisor | — | — | 6,883 | ||
Receivable for securities sold | 17,701,273 | — | — | ||
Receivable for fund shares sold | 1,296,346 | 741,984 | — | ||
Dividends receivable | 4,009,857 | 1,083,836 | 3,105 | ||
Interest receivable | — | 81 | — | ||
Securities lending receivable | 3,145 | 79 | 2 | ||
Prepaid Expenses | 47,383 | 57,151 | 19 | ||
Total assets | 2,785,696,401 | 3,269,884,307 | 2,013,081 | ||
Liabilities: | |||||
Due to custodian | 3,609,365 | — | — | ||
Obligation to return securities lending collateral | 72,192,981 | — | — | ||
Payable for fund shares redeemed | 2,386,822 | 3,438,417 | — | ||
Payable for Management fees | 1,232,276 | 1,456,819 | 871 | ||
Payable for Directors’ fees | 31,217 | 43,548 | 10 | ||
Payable for Shareholder Servicing fees | 324,428 | 382,134 | 317 | ||
Accrued expenses | 313,343 | 293,945 | 979 | ||
Total liabilities | 80,090,432 | 5,614,863 | 2,177 | ||
Net Assets | $2,705,605,969 | $3,264,269,444 | $2,010,904 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $100,720 | $103,153 | $197 | ||
Paid-in capital in excess of par value | 2,084,264,124 | 2,141,797,206 | 1,945,777 | ||
Total distributable earnings | 621,241,125 | 1,122,369,085 | 64,930 | ||
Total Net Assets | $2,705,605,969 | $3,264,269,444 | $2,010,904 | ||
Shares Outstanding3 | 100,720,044 | 103,153,202 | 197,114 | ||
Net Asset Value Per Share | $— | $— | $10.20 | ||
Advisor Class — based on net assets of $1,962,752,332 and $2,340,369,528, respectively and shares outstanding of 73,075,886 and 73,963,372, respectively | 26.86 | 31.64 | — | ||
Institutional Class — based on net assets of $742,853,637 and $923,899,916, respectively and shares outstanding of 27,644,158 and 29,189,830, respectively | 26.87 | 31.65 | — | ||
1Investments at cost | $2,203,480,256 | $2,400,376,954 | $1,877,562 | ||
2 Market value of securities on loan | $72,399,137 | $— | $19,891 | ||
3 Authorized shares | — | — | 80,000,000 | ||
Authorized shares - Advisor Class | 155,000,000 | 240,000,000 | — | ||
Authorized shares - Institutional Class | 155,000,000 | 140,000,000 | — |
5 |
Quantitative U.S. Small Cap Equity Portfolio | Quantitative International Equity Portfolio | Responsible ESG U.S. Equity Portfolio | |||
Assets: | |||||
Investments at value1,2 | $1,452,722 | $306,977,151 | $24,094,972 | ||
Repurchase agreements at value1 | — | 1,087,710 | — | ||
Cash | 2,463 | — | — | ||
Receivable from Advisor | 5,281 | 57,944 | 15,331 | ||
Receivable for securities sold | — | 467,234 | 134,153 | ||
Receivable for fund shares sold | — | 51,771 | 5,440 | ||
Dividends receivable | 136 | 928,694 | 31,642 | ||
Interest receivable | — | 15 | — | ||
Securities lending receivable | 12 | 24,148 | 47 | ||
Foreign tax reclaims receivable | — | 879,144 | — | ||
Prepaid expenses | 25 | 2,807 | 386 | ||
Total assets | 1,460,639 | 310,476,618 | 24,281,971 | ||
Liabilities: | |||||
Due to custodian | — | — | 120,126 | ||
Obligation to return securities lending collateral | 62,577 | 17,672,110 | 318,695 | ||
Payable for fund shares redeemed | — | 1,409,080 | — | ||
Payable for Management fees | 635 | 180,655 | 10,700 | ||
Payable for Directors’ fees | 11 | 4,675 | 175 | ||
Payable for Shareholder Servicing fees | 231 | 60,218 | 3,891 | ||
Accrued expenses | 970 | 49,434 | 2,277 | ||
Total liabilities | 64,424 | 19,376,172 | 455,864 | ||
Net Assets | $1,396,215 | $291,100,446 | $23,826,107 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $132 | $20,859 | $1,644 | ||
Paid-in capital in excess of par value | 1,311,364 | 274,512,942 | 20,361,218 | ||
Total distributable earnings | 84,719 | 16,566,645 | 3,463,245 | ||
Total Net Assets | $1,396,215 | $291,100,446 | $23,826,107 | ||
Shares Outstanding3 | 132,043 | 20,859,292 | 1,644,250 | ||
Net Asset Value Per Share | $10.57 | $13.96 | $14.49 | ||
1Investments at cost | $1,327,333 | $282,215,607 | $20,943,362 | ||
2 Market value of securities on loan | $103,658 | $18,071,350 | $605,176 | ||
3 Authorized shares | 80,000,000 | 120,000,000 | 80,000,000 |
6 |
Women in Leadership U.S. Equity Portfolio | Quantitative U.S. Long/Short Equity Portfolio | Quantitative U.S. Total Market Equity Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $20,671,671 | $285,682,071 | $103,759,198 | ||
Cash | 35,250 | — | 25,903 | ||
Receivable from Advisor | 14,066 | — | 5,335 | ||
Receivable for securities sold | — | 916,869 | 223,084 | ||
Receivable for fund shares sold | 5,840 | 53,050 | 9,073 | ||
Dividends receivable | 17,226 | 231,795 | 96,359 | ||
Interest receivable | — | 302,560 | — | ||
Securities lending receivable | 21 | 474 | 113 | ||
Cash collateral on deposit at broker (Note 1) | — | 200,696,684 | — | ||
Prepaid Expenses | 356 | 3,401 | 812 | ||
Total assets | 20,744,430 | 487,886,904 | 104,119,877 | ||
Liabilities: | |||||
Due to custodian | — | 2,523,316 | — | ||
Obligation to return securities lending collateral | 252,655 | 3,412,118 | — | ||
Payable for fund shares redeemed | — | 215,945 | 39,763 | ||
Dividend payable on securities sold short | — | 113,221 | 10,849 | ||
Payable for securities sold short, at value3 | — | 197,745,279 | 23,275,144 | ||
Payable for Management fees | 9,142 | 200,548 | 56,610 | ||
Payable for Directors’ fees | 162 | 3,582 | 908 | ||
Payable for Shareholder Servicing fees | 3,324 | 47,188 | 13,322 | ||
Accrued expenses | 2,680 | 36,413 | 22,918 | ||
Total liabilities | 267,963 | 204,297,610 | 23,419,514 | ||
Net Assets | $20,476,467 | $283,589,294 | $80,700,363 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $1,489 | $23,210 | $4,473 | ||
Paid-in capital in excess of par value | 17,674,127 | 254,012,076 | 55,459,433 | ||
Total distributable earnings | 2,800,851 | 29,554,008 | 25,236,457 | ||
Total Net Assets | $20,476,467 | $283,589,294 | $80,700,363 | ||
Shares Outstanding4 | 1,489,496 | 23,209,802 | 4,473,131 | ||
Net Asset Value Per Share | $13.75 | $— | $18.04 | ||
Advisor Class — based on net assets of $283,589,294 and shares outstanding of 23,209,802 | — | 12.22 | — | ||
1Investments at cost | $17,942,253 | $243,321,499 | $86,795,774 | ||
2 Market value of securities on loan | $344,672 | $5,193,564 | $849,142 | ||
3 Proceeds from securities sold short | $— | $187,197,249 | $23,559,552 | ||
4 Authorized shares | 80,000,000 | — | 120,000,000 | ||
Authorized shares - Advisor Class | — | 120,000,000 | — | ||
Authorized shares - Institutional Class | — | 120,000,000 | — |
7 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Large Cap Value Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $252,844,533 | $3,062,600,523 | $59,688,848 | ||
Repurchase agreements at value1 | 3,851,845 | 37,689,913 | 365,572 | ||
Receivable for securities sold | — | 1,874,837 | 249,882 | ||
Receivable for fund shares sold | 168,017 | 1,740,357 | 75,610 | ||
Dividends receivable | 267,204 | 228,355 | 32,825 | ||
Interest receivable | 53 | 524 | 5 | ||
Securities lending receivable | 219 | 49,759 | 126 | ||
Prepaid Expenses | 2,193 | 49,642 | 570 | ||
Total assets | 257,134,064 | 3,104,233,910 | 60,413,438 | ||
Liabilities: | |||||
Obligation to return securities lending collateral | 3,362,783 | 104,532,565 | 987,512 | ||
Payable for fund shares redeemed | 408,309 | 5,139,097 | 427,372 | ||
Payable for Management fees | 113,456 | 1,348,220 | 26,592 | ||
Payable for Directors’ fees | 2,397 | 39,268 | 866 | ||
Payable for Shareholder Servicing fees | 41,257 | 284,449 | 9,669 | ||
Accrued expenses | 18,281 | 218,727 | 8,964 | ||
Total liabilities | 3,946,483 | 111,562,326 | 1,460,975 | ||
Net Assets | $253,187,581 | $2,992,671,584 | $58,952,463 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $9,671 | $114,583 | $5,944 | ||
Paid-in capital in excess of par value | 145,716,727 | 2,877,507,295 | 50,085,248 | ||
Total distributable earnings | 107,461,183 | 115,049,706 | 8,861,271 | ||
Total Net Assets | $253,187,581 | $2,992,671,584 | $58,952,463 | ||
Shares Outstanding3 | 9,670,702 | 114,582,589 | 5,943,832 | ||
Net Asset Value Per Share | $26.18 | $— | $9.92 | ||
Advisor Class — based on net assets of $980,592,160 and shares outstanding of 38,999,076 | — | 25.14 | — | ||
Institutional Class — based on net assets of $2,012,079,424 and shares outstanding of 75,583,513 | — | 26.62 | — | ||
1Investments at cost | $150,571,791 | $2,829,883,209 | $52,774,223 | ||
2 Market value of securities on loan | $3,314,804 | $171,451,778 | $938,897 | ||
3 Authorized shares | 150,000,000 | — | 175,000,000 | ||
Authorized shares - Advisor Class | — | 180,000,000 | — | ||
Authorized shares - Institutional Class | — | 135,000,000 | — |
8 |
Equity Income Portfolio | Secured Options Portfolio | Global Secured Options Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $23,177,263 | $680,504,455 | $1,165,640 | ||
Repurchase agreements at value1 | 196,733 | 8,123,575 | — | ||
Cash | — | — | 2,088 | ||
Receivable from Advisor | 4,048 | — | 22,095 | ||
Receivable for fund shares sold | — | 457,547 | — | ||
Dividends receivable | 29,039 | — | — | ||
Interest receivable | 3 | 113 | — | ||
Securities lending receivable | 11 | — | — | ||
Cash collateral on deposit at broker (Note 1) | — | 4,678,130 | 2,697 | ||
Foreign tax reclaims receivable | — | — | 38,564 | ||
Prepaid Expenses | 332 | 13,905 | 1 | ||
Total assets | 23,407,429 | 693,777,725 | 1,231,085 | ||
Liabilities: | |||||
Payable for securities purchased | — | 7,914,968 | — | ||
Obligation to return securities lending collateral | 225,140 | — | — | ||
Payable for fund shares redeemed | — | 904,834 | — | ||
Options written, at value | — | 13,777,787 | 3,050 | ||
Payable for Management fees | 10,345 | 299,400 | 550 | ||
Payable for Directors’ fees | 171 | 8,792 | 117 | ||
Payable for Shareholder Servicing fees | 3,761 | 50,542 | 200 | ||
Accrued expenses | 5,359 | 51,842 | 4,912 | ||
Total liabilities | 244,776 | 23,008,165 | 8,829 | ||
Net Assets | $23,162,653 | $670,769,560 | $1,222,256 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $1,934 | $54,681 | $2,605 | ||
Paid-in capital in excess of par value | 20,627,491 | 655,404,729 | 8,003,606 | ||
Total distributable earnings | 2,533,228 | 15,310,150 | (6,783,955) | ||
Total Net Assets | $23,162,653 | $670,769,560 | $1,222,256 | ||
Shares Outstanding | 1,933,770 | 54,681,083 | 2,604,758 | ||
Net Asset Value Per Share | $11.98 | $— | $0.47 | ||
Advisor Class — based on net assets of $313,255,368 and shares outstanding of 25,603,414 | — | 12.23 | — | ||
Institutional Class — based on net assets of $357,514,192 and shares outstanding of 29,077,669 | — | 12.30 | — | ||
1Investments at cost | $20,325,278 | $672,069,263 | $1,159,862 | ||
2 Market value of securities on loan | $417,972 | $— | $— | ||
3 Premiums received from options written | $— | $10,565,107 | $19,855 | ||
4 Authorized shares | 80,000,000 | — | 120,000,000 | ||
Authorized shares - Advisor Class | — | 160,000,000 | — | ||
Authorized shares - Institutional Class | — | 160,000,000 | — |
9 |
Alternative Risk Premia Portfolio | Core Fixed Income Portfolio | Short Term Tax Aware Fixed Income Portfolio | |||
Assets: | |||||
Investments at value1,2 | $6,919,377 | $524,650,243 | $39,441,762 | ||
Repurchase agreements at value1 | — | 10,451,711 | 179,304 | ||
Receivable from Advisor | 16,963 | — | 12,954 | ||
Receivable for securities sold | — | 8,160,320 | — | ||
Receivable for fund shares sold | — | 955,053 | 20,000 | ||
Dividends receivable | 2,111 | — | — | ||
Interest receivable | — | 3,830,443 | 454,062 | ||
Securities lending receivable | — | 906 | 297 | ||
Cash collateral on deposit at broker (Note 1) | 1,134,653 | — | — | ||
Prepaid expenses | 56,218 | 5,256 | 545 | ||
Total assets | 8,129,322 | 548,053,932 | 40,108,924 | ||
Liabilities: | |||||
Payable for securities purchased | — | 4,998,958 | 300,000 | ||
Obligation to return securities lending collateral | — | 18,804,590 | 82,200 | ||
Payable for when-issued securities purchased | — | 8,244,000 | 1,095,585 | ||
Payable for fund shares redeemed | 301 | 1,016,688 | 167,813 | ||
Options written, at value | 73,086 | — | — | ||
Dividend payable on securities sold short | 1,557 | — | — | ||
Payable for securities sold short, at value | 2,499,623 | — | — | ||
Payable for Management fees | 2,506 | 147,578 | 11,028 | ||
Payable for Directors’ fees | 10 | 5,228 | 332 | ||
Payable for Shareholder Servicing fees | 911 | 42,165 | 3,151 | ||
Accrued expenses | 689 | 44,378 | 3,492 | ||
Total liabilities | 2,578,683 | 33,303,585 | 1,663,601 | ||
Net Assets | $5,550,639 | $514,750,347 | $38,445,323 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $534 | $47,274 | $3,844 | ||
Paid-in capital in excess of par value | 5,473,475 | 516,994,281 | 38,474,977 | ||
Total distributable earnings | 76,630 | (2,291,208) | (33,498) | ||
Total Net Assets | $5,550,639 | $514,750,347 | $38,445,323 | ||
Shares Outstanding | 533,575 | 47,274,358 | 3,843,562 | ||
Net Asset Value Per Share | $10.40 | $10.89 | $10.00 | ||
1Investments at cost | $6,676,119 | $535,094,426 | $39,558,749 | ||
2 Market value of securities on loan | $— | $18,435,097 | $1,032,496 | ||
3 Proceeds from securities sold short | $2,322,030 | $— | $— | ||
4 Premiums received from options written | $72,630 | $— | $— | ||
5 Authorized shares | 80,000,000 | 160,000,000 | 80,000,000 |
10 |
High Yield Municipal Portfolio | |
Assets: | |
Investments at value1 | $202,385,319 |
Cash | 919,306 |
Receivable from Advisor | 312 |
Receivable for securities sold | 156,750 |
Receivable for fund shares sold | 223,003 |
Interest receivable | 2,770,006 |
Prepaid expenses | 3,689 |
Total assets | 206,458,385 |
Liabilities: | |
Payable for securities purchased | 10,392 |
Payable for when-issued securities purchased | 150,000 |
Payable for fund shares redeemed | 72,053 |
Payable for Management fees | 109,581 |
Payable for Directors’ fees | 1,985 |
Payable for Shareholder Servicing fees | 42,146 |
Accrued expenses | 18,402 |
Total liabilities | 404,559 |
Net Assets | $206,053,826 |
Net Assets consist of: | |
Par value ($0.001 of shares outstanding) | $19,586 |
Paid-in capital in excess of par value | 201,008,638 |
Total distributable earnings | 5,025,602 |
Total Net Assets | $206,053,826 |
Shares Outstanding2 | 19,586,288 |
Net Asset Value Per Share | $10.52 |
1Investments at cost | $197,436,085 |
2 Authorized shares | 80,000,000 |
11 |
Quantitative U.S. Large Cap Core Equity Portfolio | Quantitative U.S. Large Cap Growth Equity Portfolio | Quantitative U.S. Large Cap Value Equity Portfolio | |||
Investment income: | |||||
Dividends1 | $31,426,846 | $22,147,752 | $22,748 | ||
Interest | 18,421 | 16,329 | 11 | ||
Income from security lending | 9,829 | 2,628 | 6 | ||
Total investment income | 31,455,096 | 22,166,709 | 22,765 | ||
Expenses: | |||||
Management fees | 7,356,130 | 8,689,619 | 4,039 | ||
Administration, transfer agent and custody fees | 1,096,302 | 1,339,251 | 16,083 | ||
Professional fees | 118,685 | 139,255 | 51 | ||
Shareholder report expenses | 92,833 | 190,779 | 645 | ||
Shareholder servicing fees | — | — | 1,469 | ||
Shareholder servicing fees (Advisor Class) | 1,950,064 | 2,353,313 | — | ||
Directors’ fees and expenses | 65,549 | 81,012 | 25 | ||
Offering expenses | — | — | 788 | ||
Registration and filing fees | 35,758 | 43,412 | 2,311 | ||
Other expenses | 59,096 | 75,986 | 721 | ||
Total expenses | 10,774,417 | 12,912,627 | 26,132 | ||
Less expenses waived/reimbursed | — | — | (19,269) | ||
Net expenses | 10,774,417 | 12,912,627 | 6,863 | ||
Net investment income | 20,680,679 | 9,254,082 | 15,902 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | 57,208,915 | 256,930,060 | (23,728) | ||
Net change in unrealized gain of: | |||||
Investments | 63,732,138 | 115,496,390 | 113,276 | ||
Net realized and unrealized gain | 120,941,053 | 372,426,450 | 89,548 | ||
Net increase in net assets resulting from operations | $141,621,732 | $381,680,532 | $105,450 |
1 | The Quantitative U.S. Large Cap Core Equity Portfolio and the Quantitative U.S. Large Cap Value Equity Portfolio had foreign dividend withholding taxes of $18,626 and $24, respectively. |
12 |
Quantitative U.S. Small Cap Equity Portfolio | Quantitative International Equity Portfolio | Responsible ESG U.S. Equity Portfolio | |||
Investment income: | |||||
Dividends1 | $10,441 | $5,243,463 | $248,346 | ||
Interest | — | 1,636 | 253 | ||
Income from security lending | 49 | 300,378 | 151 | ||
Total investment income | 10,490 | 5,545,477 | 248,750 | ||
Expenses: | |||||
Management fees | 3,576 | 1,152,773 | 60,856 | ||
Administration, transfer agent and custody fees | 15,051 | 123,015 | 20,813 | ||
Professional fees | 49 | 14,372 | 908 | ||
Shareholder report expenses | 644 | — | 985 | ||
Shareholder servicing fees | 1,300 | 384,258 | 22,130 | ||
Directors’ fees and expenses | 27 | 8,331 | 482 | ||
Offering expenses | 788 | — | — | ||
Registration and filing fees | 2,311 | 17,798 | 18,942 | ||
Other expenses | 726 | 4,545 | 1,091 | ||
Total expenses | 24,472 | 1,705,092 | 126,207 | ||
Less expenses waived/reimbursed | (18,326) | (168,062) | (21,528) | ||
Net expenses | 6,146 | 1,537,030 | 104,679 | ||
Net investment income | 4,344 | 4,008,447 | 144,071 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | (39,424) | (8,624,127) | 283,211 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 98,285 | 18,910,596 | 1,218,357 | ||
Foreign currency translation | — | (8) | — | ||
Net change in unrealized gain | 98,285 | 18,910,588 | 1,218,357 | ||
Net realized and unrealized gain | 58,861 | 10,286,461 | 1,501,568 | ||
Net increase in net assets resulting from operations | $63,205 | $14,294,908 | $1,645,639 |
1 | The Quantitative U.S. Small Cap Equity Portfolio and the Quantitative International Equity Portfolio had foreign dividend withholding taxes of $3 and $559,731, respectively. |
13 |
Women in Leadership U.S. Equity Portfolio | Quantitative U.S. Long/Short Equity Portfolio | Quantitative U.S. Total Market Equity Portfolio | |||
Investment income: | |||||
Dividends | $213,333 | $3,432,548 | $1,145,463 | ||
Interest | 263 | 1,871,355 | 520 | ||
Income from security lending | 135 | 1,840 | 311 | ||
Total investment income | 213,731 | 5,305,743 | 1,146,294 | ||
Expenses: | |||||
Management fees | 53,168 | 1,835,403 | 489,107 | ||
Administration, transfer agent and custody fees | 19,301 | 165,147 | 70,740 | ||
Professional fees | 800 | 26,418 | 3,614 | ||
Shareholder report expenses | 953 | 15,716 | 4,077 | ||
Shareholder servicing fees | 19,334 | — | 81,518 | ||
Shareholder servicing fees (Advisor Class) | — | 305,901 | — | ||
Dividends on securities sold short | — | 1,884,497 | 239,162 | ||
Directors’ fees and expenses | 430 | 7,770 | 2,027 | ||
Short position flex fees | — | — | 93,938 | ||
Registration and filing fees | 18,461 | 33,643 | 20,027 | ||
Other expenses | 1,057 | 19,176 | 1,497 | ||
Total expenses | 113,504 | 4,293,671 | 1,005,707 | ||
Less expenses waived/reimbursed | (21,944) | (535,326) | (163,121) | ||
Net expenses | 91,560 | 3,758,345 | 842,586 | ||
Net investment income | 122,171 | 1,547,398 | 303,708 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | 55,635 | 18,659,410 | 7,705,168 | ||
Securities sold short | — | (861,027) | 307,855 | ||
Net realized gain | 55,635 | 17,798,383 | 8,013,023 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 1,363,286 | (2,120,156) | (2,265,710) | ||
Securities sold short | — | (24,437,237) | (2,709,010) | ||
Net change in unrealized gain (loss) | 1,363,286 | (26,557,393) | (4,974,720) | ||
Net realized and unrealized gain (loss) | 1,418,921 | (8,759,010) | 3,038,303 | ||
Net increase (decrease) in net assets resulting from operations | $1,541,092 | $(7,211,612) | $3,342,011 |
14 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Large Cap Value Portfolio | |||
Investment income: | |||||
Dividends1 | $2,078,222 | $17,397,599 | $874,673 | ||
Interest | 8,764 | 123,628 | 671 | ||
Income from security lending | 3,105 | 961,789 | 414 | ||
Total investment income | 2,090,091 | 18,483,016 | 875,758 | ||
Expenses: | |||||
Management fees | 627,093 | 8,260,613 | 163,755 | ||
Administration, transfer agent and custody fees | 73,194 | 1,244,837 | 49,032 | ||
Professional fees | 9,728 | 134,621 | 2,799 | ||
Shareholder report expenses | 730 | 267,516 | 2,118 | ||
Shareholder servicing fees | 228,034 | — | 59,547 | ||
Shareholder servicing fees (Advisor Class) | — | 1,337,823 | — | ||
Shareholder servicing fees (Institutional Class) | — | 483,400 | — | ||
Directors’ fees and expenses | 5,211 | 79,143 | 1,618 | ||
Registration and filing fees | 5,356 | 37,255 | 10,868 | ||
Other expenses | 2,827 | 70,959 | 1,387 | ||
Total expenses | 952,173 | 11,916,167 | 291,124 | ||
Net expenses | 952,173 | 11,916,167 | 291,124 | ||
Net investment income | 1,137,918 | 6,566,849 | 584,634 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | 1,099,715 | (134,655,885) | 1,505,272 | ||
Net change in unrealized gain of: | |||||
Investments | 19,934,818 | 198,773,632 | 1,283,652 | ||
Net realized and unrealized gain | 21,034,533 | 64,117,747 | 2,788,924 | ||
Net increase in net assets resulting from operations | $22,172,451 | $70,684,596 | $3,373,558 |
1 | The Large Cap Value Portfolio had foreign dividend withholding taxes of $513. |
15 |
Equity Income Portfolio | Secured Options Portfolio | Global Secured Options Portfolio | |||
Investment income: | |||||
Dividends | $316,940 | $141,298 | $— | ||
Interest | 453 | 1,720,021 | 10,601 | ||
Income from security lending | 210 | — | — | ||
Total investment income | 317,603 | 1,861,319 | 10,601 | ||
Expenses: | |||||
Management fees | 55,841 | 1,964,646 | 3,491 | ||
Administration, transfer agent and custody fees | 23,289 | 298,451 | 13,407 | ||
Professional fees | 805 | 33,839 | 66,647 | ||
Shareholder report expenses | 994 | 21,744 | — | ||
Shareholder servicing fees | 20,306 | — | 1,269 | ||
Shareholder servicing fees (Advisor Class) | — | 357,338 | — | ||
Directors’ fees and expenses | 432 | 18,989 | 89 | ||
Interest expense | — | 1,430 | 161 | ||
Registration and filing fees | 3,301 | 36,294 | 1,760 | ||
Other expenses | 995 | 18,137 | 1,780 | ||
Total expenses | 105,963 | 2,750,868 | 88,604 | ||
Less expenses waived/reimbursed | (19,662) | — | (74,433) | ||
Net expenses | 86,301 | 2,750,868 | 14,171 | ||
Net investment income (loss) | 231,302 | (889,549) | (3,570) | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | (451,051) | 797 | (68,464) | ||
Written options | — | 93,519,167 | 358,153 | ||
Purchased options | — | (105,500,250) | (406,525) | ||
Net realized loss | (451,051) | (11,980,286) | (116,836) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 2,612,270 | 1,161,482 | 88,278 | ||
Written options | — | (128,475,522) | (132,697) | ||
Purchased options | — | 148,547,170 | 206,455 | ||
Net change in unrealized gain | 2,612,270 | 21,233,130 | 162,036 | ||
Net realized and unrealized gain | 2,161,219 | 9,252,844 | 45,200 | ||
Net increase in net assets resulting from operations | $2,392,521 | $8,363,295 | $41,630 |
16 |
Alternative Risk Premia Portfolio1 | Core Fixed Income Portfolio | Short Term Tax Aware Fixed Income Portfolio | |||
Investment income: | |||||
Dividends | $14,138 | $— | $18,137 | ||
Interest | 14,861 | 7,248,805 | 288,640 | ||
Income from security lending | — | 5,505 | 1,260 | ||
Total investment income | 28,999 | 7,254,310 | 308,037 | ||
Expenses: | |||||
Management fees | 7,379 | 858,779 | 56,533 | ||
Administration, transfer agent and custody fees | 16,007 | 140,625 | 25,465 | ||
Professional fees | 61 | 21,276 | 1,212 | ||
Shareholder report expenses | 789 | — | 602 | ||
Shareholder servicing fees | 2,683 | 245,365 | 16,152 | ||
Dividends on securities sold short | 12,338 | — | — | ||
Directors’ fees and expenses | 36 | 11,380 | 651 | ||
Interest expense | 100 | — | — | ||
Offering expenses | 14,815 | — | — | ||
Registration and filing fees | 2,357 | 6,377 | 8,653 | ||
Other expenses | 1,166 | 5,623 | 1,375 | ||
Total expenses | 57,731 | 1,289,425 | 110,643 | ||
Less expenses waived/reimbursed | (31,877) | — | (21,806) | ||
Net expenses | 25,854 | 1,289,425 | 88,837 | ||
Net investment income | 3,145 | 5,964,885 | 219,200 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | 1,137,229 | (1,123,979) | (7,465) | ||
Written options | (45,749) | — | — | ||
Securities sold short | (1,222,208) | — | — | ||
Purchased options | 139,005 | — | — | ||
Net realized gain (loss) | 8,277 | (1,123,979) | (7,465) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 202,673 | 19,666,440 | 320,613 | ||
Written options | (457) | — | — | ||
Securities sold short | (177,593) | — | — | ||
Purchased options | 40,585 | — | — | ||
Net change in unrealized gain | 65,208 | 19,666,440 | 320,613 | ||
Net realized and unrealized gain | 73,485 | 18,542,461 | 313,148 | ||
Net increase in net assets resulting from operations | $76,630 | $24,507,346 | $532,348 |
1 | Portfolio commenced operations on December 21, 2018. |
17 |
High Yield Municipal Portfolio | |
Investment income: | |
Interest | $4,097,799 |
Total investment income | 4,097,799 |
Expenses: | |
Management fees | 638,421 |
Administration, transfer agent and custody fees | 75,940 |
Professional fees | 8,963 |
Shareholder report expenses | 614 |
Shareholder servicing fees | 245,546 |
Directors’ fees and expenses | 4,523 |
Registration and filing fees | 3,879 |
Other expenses | 4,611 |
Total expenses | 982,497 |
Less expenses waived/reimbursed | (312) |
Net expenses | 982,185 |
Net investment income | 3,115,614 |
Realized and unrealized gain: | |
Net realized gain on: | |
Investment transactions | 279,651 |
Net change in unrealized gain of: | |
Investments | 6,605,887 |
Net realized and unrealized gain | 6,885,538 |
Net increase in net assets resulting from operations | $10,001,152 |
18 |
Quantitative U.S. Large Cap Core Equity Portfolio | Quantitative U.S. Large Cap Growth Equity Portfolio | Quantitative U.S. Large Cap Value Equity Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $20,680,679 | $9,254,082 | $15,902 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 57,208,915 | 256,930,060 | (23,728) | ||
Net change in unrealized gain of: | |||||
Investments | 63,732,138 | 115,496,390 | 113,276 | ||
Net increase in net assets resulting from operations | 141,621,732 | 381,680,532 | 105,450 | ||
Distributions from earnings | — | — | (18,181) | ||
Distributions from earnings: Advisor Class | (171,087,803) | (336,769,183) | — | ||
Distributions from earnings: Institutional Class | (62,760,476) | (112,374,845) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 6) | (44,549,081) | (75,154,948) | 831,861 | ||
Net increase (decrease) in net assets | (136,775,628) | (142,618,444) | 919,130 | ||
NET ASSETS: | |||||
Beginning of period | 2,842,381,597 | 3,406,887,888 | 1,091,774 | ||
End of period | $2,705,605,969 | $3,264,269,444 | $2,010,904 |
Quantitative U.S. Large Cap Core Equity Portfolio | Quantitative U.S. Large Cap Growth Equity Portfolio | Quantitative U.S. Large Cap Value Equity Portfolio1 | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $31,060,487 | $19,281,182 | $14,163 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 214,504,733 | 439,898,261 | (24,574) | ||
Net change in unrealized loss of: | |||||
Investments | (127,314,232) | (206,750,443) | (4,590) | ||
Net increase (decrease) in net assets resulting from operations | 118,250,988 | 252,429,000 | (15,001) | ||
Distributions from earnings* | — | — | (12,152) | ||
Distributions from earnings: Advisor Class* | (108,519,634) | (71,840,240) | — | ||
Distributions from earnings: Institutional Class* | (32,533,715) | (22,676,269) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 6) | 191,028,830 | (688,056,159) | 1,118,927 | ||
Net increase (decrease) in net assets | 168,226,469 | (530,143,668) | 1,091,774 | ||
NET ASSETS: | |||||
Beginning of year | 2,674,155,128 | 3,937,031,556 | — | ||
End of year** | $2,842,381,597 | $3,406,887,888 | $1,091,774 |
* | The SEC eliminated the requirement to disclose distributions to shareholders from net investment income and from net realized gains in 2018. |
** | The SEC eliminated the requirement to disclose undistributed net investment income in 2018. |
1 | Portfolio commenced operations on November 13, 2017. |
19 |
Quantitative U.S. Small Cap Equity Portfolio | Quantitative International Equity Portfolio | Responsible ESG U.S. Equity Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $4,344 | $4,008,447 | $144,071 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (39,424) | (8,624,127) | 283,211 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 98,285 | 18,910,596 | 1,218,357 | ||
Foreign currency translations | — | (8) | — | ||
Net increase in net assets resulting from operations | 63,205 | 14,294,908 | 1,645,639 | ||
Distributions from earnings | (7,654) | (2,613,454) | (915,855) | ||
Net increase (decrease) in net assets from capital share transactions (See note 6) | 267,110 | (107,769,387) | 1,349,995 | ||
Net increase (decrease) in net assets | 322,661 | (96,087,933) | 2,079,779 | ||
NET ASSETS: | |||||
Beginning of period | 1,073,554 | 387,188,379 | 21,746,328 | ||
End of period | $1,396,215 | $291,100,446 | $23,826,107 |
Quantitative U.S. Small Cap Equity Portfolio1 | Quantitative International Equity Portfolio | Responsible ESG U.S. Equity Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $4,780 | $8,708,828 | $153,830 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (3,730) | 12,416,904 | 787,318 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 27,104 | (69,083,516) | (480,378) | ||
Foreign currency translations | — | (24) | — | ||
Net increase (decrease) in net assets resulting from operations | 28,154 | (47,957,808) | 460,770 | ||
Distributions from earnings* | (3,800) | (8,716,752) | (202,750) | ||
Net increase (decrease) in net assets from capital share transactions (See note 6) | 1,049,200 | (17,822,688) | 7,899,714 | ||
Net increase (decrease) in net assets | 1,073,554 | (74,497,248) | 8,157,734 | ||
NET ASSETS: | |||||
Beginning of year | — | 461,685,627 | 13,588,594 | ||
End of year** | $1,073,554 | $387,188,379 | $21,746,328 |
* | The SEC eliminated the requirement to disclose distributions to shareholders from net investment income and from net realized gains in 2018. |
** | The SEC eliminated the requirement to disclose undistributed net investment income in 2018. |
1 | Portfolio commenced operations on November 13, 2017. |
20 |
Women in Leadership U.S. Equity Portfolio | Quantitative U.S. Long/Short Equity Portfolio | Quantitative U.S. Total Market Equity Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $122,171 | $1,547,398 | $303,708 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 55,635 | 18,659,410 | 7,705,168 | ||
Securities sold short | — | (861,027) | 307,855 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 1,363,286 | (2,120,156) | (2,265,710) | ||
Securities sold short | — | (24,437,237) | (2,709,010) | ||
Net increase (decrease) in net assets resulting from operations | 1,541,092 | (7,211,612) | 3,342,011 | ||
Distributions from earnings | (733,375) | — | (6,860,539) | ||
Distributions from earnings: Advisor Class | — | (1,106,937) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 6) | 695,173 | (41,897,893) | (6,391,221) | ||
Net increase (decrease) in net assets | 1,502,890 | (50,216,442) | (9,909,749) | ||
NET ASSETS: | |||||
Beginning of period | 18,973,577 | 333,805,736 | 90,610,112 | ||
End of period | $20,476,467 | $283,589,294 | $80,700,363 |
Women in Leadership U.S. Equity Portfolio | Quantitative U.S. Long/Short Equity Portfolio | Quantitative U.S. Total Market Equity Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $146,785 | $797,585 | $323,361 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 625,644 | 28,360,510 | 9,329,617 | ||
Securities sold short | — | (25,562,844) | (2,752,346) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (555,008) | (24,427,733) | (6,715,343) | ||
Securities sold short | — | 11,778,484 | 1,570,230 | ||
Net increase (decrease) in net assets resulting from operations | 217,421 | (9,053,998) | 1,755,519 | ||
Distributions from earnings* | (223,116) | — | (2,506,149) | ||
Net increase in net assets from capital share transactions (See note 6) | 7,125,920 | 42,075,902 | 17,093,541 | ||
Net increase in net assets | 7,120,225 | 33,021,904 | 16,342,911 | ||
NET ASSETS: | |||||
Beginning of year | 11,853,352 | 300,783,832 | 74,267,201 | ||
End of year** | $18,973,577 | $333,805,736 | $90,610,112 |
* | The SEC eliminated the requirement to disclose distributions to shareholders from net investment income and from net realized gains in 2018. |
** | The SEC eliminated the requirement to disclose undistributed net investment income in 2018. |
21 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Large Cap Value Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $1,137,918 | $6,566,849 | $584,634 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 1,099,715 | (134,655,885) | 1,505,272 | ||
Net change in unrealized gain of: | |||||
Investments | 19,934,818 | 198,773,632 | 1,283,652 | ||
Net increase in net assets resulting from operations | 22,172,451 | 70,684,596 | 3,373,558 | ||
Distributions from earnings | (3,791,525) | — | (6,796,305) | ||
Distributions from earnings: Advisor Class | — | (177,733,353) | — | ||
Distributions from earnings: Institutional Class | — | (278,914,916) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 6) | 8,774,593 | (142,962,308) | (9,221,301) | ||
Net increase (decrease) in net assets | 27,155,519 | (528,925,981) | (12,644,048) | ||
NET ASSETS: | |||||
Beginning of period | 226,032,062 | 3,521,597,565 | 71,596,511 | ||
End of period | $253,187,581 | $2,992,671,584 | $58,952,463 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Large Cap Value Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $1,795,225 | $6,865,007 | $1,314,985 | ||
Net realized gain on: | |||||
Investment transactions | 2,696,774 | 438,340,023 | 6,230,383 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 6,004,844 | (483,441,224) | (7,462,298) | ||
Net increase (decrease) in net assets resulting from operations | 10,496,843 | (38,236,194) | 83,070 | ||
Distributions from earnings* | (15,680,195) | — | (5,981,449) | ||
Distributions from earnings: Advisor Class* | — | (155,679,103) | — | ||
Distributions from earnings: Institutional Class* | — | (186,692,964) | — | ||
Net increase in net assets from capital share transactions (See note 6) | 21,876,413 | 447,569,616 | 1,030,019 | ||
Net increase (decrease) in net assets | 16,693,061 | 66,961,355 | (4,868,360) | ||
NET ASSETS: | |||||
Beginning of year | 209,339,001 | 3,454,636,210 | 76,464,871 | ||
End of year** | $226,032,062 | $3,521,597,565 | $71,596,511 |
* | The SEC eliminated the requirement to disclose distributions to shareholders from net investment income and from net realized gains in 2018. |
** | The SEC eliminated the requirement to disclose undistributed net investment income in 2018. |
22 |
Equity Income Portfolio | Secured Options Portfolio | Global Secured Options Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income (loss) | $231,302 | $(889,549) | $(3,570) | ||
Net realized gain (loss) on: | |||||
Investment transactions | (451,051) | 797 | (68,464) | ||
Options written | — | 93,519,167 | 358,153 | ||
Purchased options | — | (105,500,250) | (406,525) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 2,612,270 | 1,161,482 | 88,278 | ||
Options written | — | (128,475,522) | (132,697) | ||
Purchased options | — | 148,547,170 | 206,455 | ||
Net increase in net assets resulting from operations | 2,392,521 | 8,363,295 | 41,630 | ||
Distributions from earnings | (654,556) | — | (1,497,340) | ||
Distributions from earnings: Advisor Class | — | (9,563,688) | — | ||
Distributions from earnings: Institutional Class | — | (9,335,873) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 6) | 2,889,072 | (161,163,199) | 168,047 | ||
Net increase (decrease) in net assets | 4,627,037 | (171,699,465) | (1,287,663) | ||
NET ASSETS: | |||||
Beginning of period | 18,535,616 | 842,469,025 | 2,509,919 | ||
End of period | $23,162,653 | $670,769,560 | $1,222,256 |
Equity Income Portfolio | Secured Options Portfolio | Global Secured Options Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income (loss) | $352,092 | $(3,298,999) | $6,086 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 344,821 | 7,341 | 978,833 | ||
Options written | — | (74,422,576) | (215,170) | ||
Purchased options | — | 113,477,232 | 608,556 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (442,641) | 677,563 | (1,013,339) | ||
Options Written | — | 124,373,837 | 150,393 | ||
Purchased options | — | (141,199,630) | (214,780) | ||
Net increase in net assets resulting from operations | 254,272 | 19,614,768 | 300,579 | ||
Distributions from earnings* | (342,969) | — | (90,635) | ||
Distributions from earnings: Advisor Class* | — | (27,003,515) | — | ||
Distributions from earnings: Institutional Class* | — | (22,919,496) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 6) | 5,654,233 | 60,394,967 | (8,341,643) | ||
Net increase (decrease) in net assets | 5,565,536 | 30,086,724 | (8,131,699) | ||
NET ASSETS: | |||||
Beginning of year | 12,970,080 | 812,382,301 | 10,641,618 | ||
End of year** | $18,535,616 | $842,469,025 | $2,509,919 |
* | The SEC eliminated the requirement to disclose distributions to shareholders from net investment income and from net realized gains in 2018. |
** | The SEC eliminated the requirement to disclose undistributed net investment income in 2018. |
23 |
Alternative Risk Premia Portfolio1 | Core Fixed Income Portfolio | Short Term Tax Aware Fixed Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $3,145 | $5,964,885 | $219,200 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 1,137,229 | (1,123,979) | (7,465) | ||
Options written | (45,749) | — | — | ||
Securities sold short | (1,222,208) | — | — | ||
Purchased options | 139,005 | — | — | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 202,673 | 19,666,440 | 320,613 | ||
Options written | (457) | — | — | ||
Securities sold short | (177,593) | — | — | ||
Purchased options | 40,585 | — | — | ||
Net increase in net assets resulting from operations | 76,630 | 24,507,346 | 532,348 | ||
Distributions from earnings | — | (6,074,032) | (198,175) | ||
Net increase in net assets from capital share transactions (See note 6) | 5,474,009 | 11,115,964 | 11,817,259 | ||
Net increase in net assets | 5,550,639 | 29,549,278 | 12,151,432 | ||
NET ASSETS: | |||||
Beginning of period | — | 485,201,069 | 26,293,891 | ||
End of period | $5,550,639 | $514,750,347 | $38,445,323 |
1 | Portfolio commenced operations on December 21, 2018. |
Core Fixed Income Portfolio | Short Term Tax Aware Fixed Income Portfolio | ||
Increase (decrease) in net assets | |||
Operations: | |||
Net investment income | $10,739,347 | $277,428 | |
Net realized loss on: | |||
Investment transactions | (1,233,187) | (55,210) | |
Net change in unrealized loss of: | |||
Investments | (20,734,389) | (221,379) | |
Net increase (decrease) in net assets resulting from operations | (11,228,229) | 839 | |
Distributions from earnings* | (13,346,135) | (272,978) | |
Net increase (decrease) in net assets from capital share transactions (See note 6) | 21,227,341 | (7,334,294) | |
Net increase (decrease) in net assets | (3,347,023) | (7,606,433) | |
NET ASSETS: | |||
Beginning of year | 488,548,092 | 33,900,324 | |
End of year** | $485,201,069 | $26,293,891 |
* | The SEC eliminated the requirement to disclose distributions to shareholders from net investment income and from net realized gains in 2018. |
** | The SEC eliminated the requirement to disclose undistributed net investment income in 2018. |
24 |
High Yield Municipal Portfolio | |
Increase (decrease) in net assets | |
Operations: | |
Net investment income | $3,115,614 |
Net realized gain on: | |
Investment transactions | 279,651 |
Net change in unrealized gain of: | |
Investments | 6,605,887 |
Net increase in net assets resulting from operations | 10,001,152 |
Distributions from earnings | (3,072,145) |
Net increase in net assets from capital share transactions (See note 6) | 6,805,691 |
Net increase in net assets | 13,734,698 |
NET ASSETS: | |
Beginning of period | 192,319,128 |
End of period | $206,053,826 |
High Yield Municipal Portfolio | |
Increase (decrease) in net assets | |
Operations: | |
Net investment income | $5,452,871 |
Net realized loss on: | |
Investment transactions | (302,326) |
Net change in unrealized loss of: | |
Investments | (3,329,635) |
Net increase in net assets resulting from operations | 1,820,910 |
Distributions from earnings* | (5,398,931) |
Net increase in net assets from capital share transactions (See note 6) | 25,457,385 |
Net increase in net assets | 21,879,364 |
NET ASSETS: | |
Beginning of year | 170,439,764 |
End of year** | $192,319,128 |
* | The SEC eliminated the requirement to disclose distributions to shareholders from net investment income and from net realized gains in 2018. |
** | The SEC eliminated the requirement to disclose undistributed net investment income in 2018. |
25 |
Quantitative U.S. Long/Short Equity Portfolio | |
Cash flows from operating activities | |
Adjustments to reconcile net decrease in net assets from operations to net cash provided by (used in) operating activities | |
Net decrease in net assets resulting from operations | $(7,211,612) |
Investments purchased | (114,203,458) |
Investments sold | 166,169,887 |
Purchases to cover securities sold short | (163,242,866) |
Securities sold short | 119,054,971 |
(Purchase)/Sale of short term investments, net | 13,435,934 |
Decrease in Interest receivable | 4,105 |
Decrease in Cash collateral on deposit at broker | 19,605,007 |
Increase in Securities lending receivable | (252) |
Decrease in Dividends receivable | 99,791 |
Increase in Prepaid expenses | (2,105) |
Decrease in Obligation to return securities lending collateral | (1,979,918) |
Decrease in Dividends payable for securities sold short | (5,317) |
Decrease in Payable for Management fees | (43,974) |
Decrease in Payable for Directors’ fees | (15) |
Decrease in Payable for Shareholder Servicing fees | (10,347) |
Decrease in Accrued expenses | (20,166) |
Net realized gain from investments | (18,659,410) |
Net realized loss from securities sold short | 861,027 |
Net change in unrealized gain (loss) on investments | 2,120,156 |
Net change in unrealized gain (loss) on securities sold short | 24,437,237 |
Net cash provided by (used in) operating activities | 40,408,675 |
Cash flows from financing activities | |
Proceeds from shares sold | 19,866,561 |
Payments on shares redeemed | (61,845,384) |
Cash distributions paid | (953,168) |
Net cash provided by (used in) financing activities | (42,931,991) |
Net increase (decrease) in cash | (2,523,316) |
Cash at beginning of period | — |
Cash at end of period | $(2,523,316) |
Non-cash financing activities not included herein consist of a reinvestment of dividends of $153,769. |
Short sale dividend expense for the period was $1,884,497. |
The Portfolio did not pay any prime broker fees during the six months ended April 30, 2019. |
26 |
Quantitative U.S. Total Market Equity Portfolio | |
Cash flows from operating activities | |
Adjustments to reconcile net increase in net assets from operations to net cash provided by (used in) operating activities | |
Net increase in net assets resulting from operations | $3,342,011 |
Investments purchased | (43,477,553) |
Investments sold | 57,752,280 |
Purchases to cover securities sold short | (17,246,036) |
Securities sold short | 15,117,645 |
(Purchase)/Sale of short term investments, net | 822,770 |
Decrease in Interest receivable | 10 |
Increase in Receivable from Investment Advisor | (2,719) |
Increase in Securities lending receivable | (113) |
Decrease in Dividends receivable | 13,972 |
Increase in Prepaid expenses | (475) |
Increase in Dividends payable for securities sold short | 77 |
Decrease in Payable for Management fees | (10,586) |
Decrease in Payable for Directors’ fees | (46) |
Decrease in Payable for Shareholder Servicing fees | (2,491) |
Decrease in Accrued expenses | (19,877) |
Net realized gain from investments | (7,705,168) |
Net realized loss from securities sold short | (307,855) |
Net change in unrealized gain (loss) on investments | 2,265,710 |
Net change in unrealized gain (loss) on securities sold short | 2,709,010 |
Net cash provided by (used in) operating activities | 13,250,566 |
Cash flows from financing activities | |
Proceeds from shares sold | 3,658,193 |
Payments on shares redeemed | (16,214,147) |
Cash distributions paid | (668,709) |
Net cash provided by (used in) financing activities | (13,224,663) |
Net increase (decrease) in cash | 25,903 |
Cash at beginning of period | — |
Cash at end of period | $25,903 |
Non-cash financing activities not included herein consist of a reinvestment of dividends of $6,191,830. |
Short sale dividend expense for the period was $239,162. |
The Portfolio did not pay any prime broker fees during the six months ended April 30, 2019. |
27 |
Alternative Risk Premia Portfolio | |
Cash flows from operating activities | |
Adjustments to reconcile net increase in net assets from operations to net cash provided by (used in) operating activities | |
Net increase in net assets resulting from operations | $76,630 |
Investments purchased | (6,851,943) |
Investments sold | 2,685,810 |
Cost of purchased options | (8,880,530) |
Proceeds from sales of purchased options | 6,512,995 |
Premiums on written options | 2,750,485 |
Written options expired/exercised/boughtback | (2,723,605) |
Purchases to cover securities sold short | (621,785) |
Securities sold short | 2,868,409 |
Increase in Receivable from Investment Advisor | (16,963) |
Increase in Cash collateral on deposit at broker | (1,134,653) |
Increase in Dividends receivable | (2,111) |
Increase in Prepaid expenses | (56,218) |
Increase in Dividends payable for securities sold short | 1,557 |
Increase in Payable for Management fees | 2,506 |
Increase in Payable for Directors’ fees | 10 |
Increase in Payable for Shareholder Servicing fees | 911 |
Increase in Accrued expenses | 689 |
Amortization of premium/(discount) on investments | (13,019) |
Net realized gain from investments | (1,137,229) |
Net realized (gain) loss from written options | 45,749 |
Net realized loss from securities sold short | 1,222,208 |
Net realized (gain) loss from purchased options | (139,005) |
Net change in unrealized gain (loss) on investments | (202,673) |
Net change in unrealized (appreciation) depreciation of written options | 457 |
Net change in unrealized gain (loss) on securities sold short | 177,593 |
Net change in unrealized (appreciation) depreciation of purchased options | (40,585) |
Net cash provided by (used in) operating activities | (5,474,310) |
Cash flows from financing activities | |
Proceeds from shares sold | 5,474,310 |
Net cash provided by (used in) financing activities | 5,474,310 |
Net increase (decrease) in cash | — |
Cash at beginning of period | — |
Cash at end of period | $— |
Short sale dividend expense for the period was $12,338. |
The Portfolio did not pay any prime broker fees during the six months ended April 30, 2019. |
28 |
Quantitative U.S. Large Cap Core Equity Portfolio Advisor Shares | |||||||||||
For the Period Ended April 30, 20191 | For The Years Ended October 31, | ||||||||||
20182 | 2017 | 20162 | 2015 | 2014 | |||||||
Net asset value, beginning of period | $27.88 | $28.08 | $22.36 | $22.34 | $21.76 | $18.57 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.20 | 0.29 | 0.23 | 0.25 | 0.22 | 0.18 | |||||
Net realized and unrealized gain on investments | 1.14 | 0.95 | 5.72 | 0.25 | 1.23 | 3.54 | |||||
Total from investment operations | 1.34 | 1.24 | 5.95 | 0.50 | 1.45 | 3.72 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.19) | (0.28) | (0.23) | (0.25) | (0.22) | (0.19) | |||||
Net realized capital gains | (2.17) | (1.16) | — | (0.23) | (0.65) | (0.34) | |||||
Total distributions | (2.36) | (1.44) | (0.23) | (0.48) | (0.87) | (0.53) | |||||
Net asset value, end of period | $26.86 | $27.88 | $28.08 | $22.36 | $22.34 | $21.76 | |||||
Total return | 5.64%3 | 4.42% | 26.74% | 2.34% | 6.83% | 20.46% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $1,962,752 | $2,075,264 | $2,124,803 | $1,691,802 | $1,643,278 | $724,089 | |||||
Ratio of operating expenses to average net assets | 0.86%4 | 0.85% | 0.86% | 0.88% | 0.87% | 0.87% | |||||
Ratio of net investment income to average net assets | 1.49%4 | 1.02% | 0.94% | 1.14% | 1.05% | 1.00% | |||||
Portfolio turnover rate5 | 43% | 71% | 62% | 111% | 122% | 73% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Total return calculation is not annualized. |
4 | Annualized. |
5 | Portfolio turnover is calculated at the fund level. |
29 |
Quantitative U.S. Large Cap Core Equity Portfolio Institutional Shares | |||||||
For the Period Ended April 30, 20192 | For The Years Ended October 31, | For the Period December 30, 20151 through October 31, 20163 | |||||
2018 | 2017 | ||||||
Net asset value, beginning of period | $27.89 | $28.09 | $22.37 | $21.85 | |||
Income from investment operations: | |||||||
Net investment income | 0.23 | 0.34 | 0.27 | 0.29 | |||
Net realized and unrealized gain on investments | 1.14 | 0.95 | 5.73 | 0.45 | |||
Total from investment operations | 1.37 | 1.29 | 6.00 | 0.74 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.22) | (0.33) | (0.28) | (0.22) | |||
Net realized capital gains | (2.17) | (1.16) | — | — | |||
Total distributions | (2.39) | (1.49) | (0.28) | (0.22) | |||
Net asset value, end of period | $26.87 | $27.89 | $28.09 | $22.37 | |||
Total return | 5.74%4 | 4.61% | 26.96% | 3.41%4 | |||
Ratios to average net assets/ Supplemental data: | |||||||
Net assets, at end of period (in 000s) | $742,854 | $767,117 | $549,352 | $274,982 | |||
Ratio of operating expenses to average net assets | 0.66%5 | 0.65% | 0.66% | 0.68%5 | |||
Ratio of net investment income to average net assets | 1.69%5 | 1.22% | 1.12% | 1.31%5 | |||
Portfolio turnover rate6 | 43% | 71% | 62% | 111% |
1 | Commencement of operations. |
2 | Unaudited. |
3 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
4 | Total return calculation is not annualized. |
5 | Annualized. |
6 | Portfolio turnover is calculated at the fund level. |
30 |
Quantitative U.S. Large Cap Growth Equity Portfolio Advisor Shares | |||||||||||
For the Period Ended April 30, 20191 | For The Years Ended October 31, | ||||||||||
2018 | 2017 | 20162 | 2015 | 2014 | |||||||
Net asset value, beginning of period | $32.52 | $31.54 | $24.76 | $24.70 | $23.05 | $19.65 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.08 | 0.16 | 0.16 | 0.16 | 0.13 | 0.14 | |||||
Net realized and unrealized gain on investments | 3.44 | 1.58 | 6.77 | 0.053 | 2.26 | 4.26 | |||||
Total from investment operations | 3.52 | 1.74 | 6.93 | 0.21 | 2.39 | 4.40 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.09) | (0.17) | (0.15) | (0.15) | (0.13) | (0.14) | |||||
Net realized capital gains | (4.31) | (0.59) | — | — | (0.61) | (0.86) | |||||
Total distributions | (4.40) | (0.76) | (0.15) | (0.15) | (0.74) | (1.00) | |||||
Net asset value, end of period | $31.64 | $32.52 | $31.54 | $24.76 | $24.70 | $23.05 | |||||
Total return | 13.12%4 | 5.53% | 28.05% | 0.87% | 10.60% | 23.36% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $2,340,370 | $2,660,858 | $3,076,616 | $2,988,342 | $1,959,171 | $630,362 | |||||
Ratio of operating expenses to average net assets | 0.87%5 | 0.85% | 0.86% | 0.88% | 0.87% | 0.88% | |||||
Ratio of net investment income to average net assets | 0.54%5 | 0.44% | 0.56% | 0.66% | 0.59% | 0.70% | |||||
Portfolio turnover rate6 | 36% | 63% | 69% | �� | 88% | 95% | 76% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized loss for the period due to the timing of purchases and redemptions of Portfolio shares in relation to the fluctuating net asset value per share of the Portfolio. |
4 | Total return calculation is not annualized. |
5 | Annualized. |
6 | Portfolio turnover is calculated at the fund level. |
31 |
Quantitative U.S. Large Cap Growth Equity Portfolio Institutional Shares | |||||||
For the Period Ended April 30, 20192 | For The Years Ended October 31, | For the Period November 5, 20151 through October 31, 20163 | |||||
2018 | 2017 | ||||||
Net asset value, beginning of period | $32.53 | $31.55 | $24.77 | $24.83 | |||
Income from investment operations: | |||||||
Net investment income | 0.11 | 0.21 | 0.18 | 0.22 | |||
Net realized and unrealized gain (loss) on investments | 3.44 | 1.59 | 6.80 | (0.08) | |||
Total from investment operations | 3.55 | 1.80 | 6.98 | 0.14 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.12) | (0.23) | (0.20) | (0.20) | |||
Net realized capital gains | (4.31) | (0.59) | — | — | |||
Total distributions | (4.43) | (0.82) | (0.20) | (0.20) | |||
Net asset value, end of period | $31.65 | $32.53 | $31.55 | $24.77 | |||
Total return | 13.23%4 | 5.74% | 28.28% | 0.60%4 | |||
Ratios to average net assets/ Supplemental data: | |||||||
Net assets, at end of period (in 000s) | $923,900 | $746,030 | $860,416 | $35,114 | |||
Ratio of operating expenses to average net assets | 0.67%5 | 0.65% | 0.66% | 0.68%5 | |||
Ratio of net investment income to average net assets | 0.71%5 | 0.64% | 0.66% | 0.90%5 | |||
Portfolio turnover rate6 | 36% | 63% | 69% | 88% |
1 | Commencement of operations. |
2 | Unaudited. |
3 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
4 | Total return calculation is not annualized. |
5 | Annualized. |
6 | Portfolio turnover is calculated at the fund level. |
32 |
Quantitative U.S. Large Cap Value Equity Portfolio | |||
For the Period Ended April 30, 20192,3 | For the Period November 13, 20171 through October 31, 2018 | ||
Net asset value, beginning of period | $9.82 | $10.00 | |
Income from investment operations: | |||
Net investment income | 0.10 | 0.14 | |
Net realized and unrealized gain (loss) on investments | 0.41 | (0.20) | |
Total from investment operations | 0.51 | (0.06) | |
Distributions to shareholders from: | |||
Net investment income | (0.13) | (0.12) | |
Total distributions | (0.13) | (0.12) | |
Net asset value, end of period | $10.20 | $9.82 | |
Total return4,5 | 5.35% | (0.69)% | |
Ratios to average net assets/ Supplemental data: | |||
Net assets, at end of period (in 000s) | $2,011 | $1,092 | |
Ratio of operating expenses before waiver/reimbursement to average net assets | 3.56%6 | 6.52%6 | |
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.93%6 | 1.00%6 | |
Ratio of net investment income to average net assets | 2.17%6 | 1.36%6 | |
Portfolio turnover rate | 36% | 61%7 |
1 | Commencement of operations. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Unaudited. |
4 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
5 | Total return calculation is not annualized. |
6 | Annualized. |
7 | Calculations represent portfolio turnover for the Portfolio for the period of November 13, 2017 through October 31, 2018. |
33 |
Quantitative U.S. Small Cap Equity Portfolio | |||
For the Period Ended April 30, 20192,3 | For the Period November 13, 20171 through October 31, 2018 | ||
Net asset value, beginning of period | $10.25 | $10.00 | |
Income from investment operations: | |||
Net investment income | 0.03 | 0.05 | |
Net realized and unrealized gain on investments | 0.34 | 0.24 | |
Total from investment operations | 0.37 | 0.29 | |
Distributions to shareholders from: | |||
Net investment income | (0.05) | (0.04) | |
Total distributions | (0.05) | (0.04) | |
Net asset value, end of period | $10.57 | $10.25 | |
Total return4,5 | 3.70% | 2.85% | |
Ratios to average net assets/ Supplemental data: | |||
Net assets, at end of period (in 000s) | $1,396 | $1,074 | |
Ratio of operating expenses before waiver/reimbursement to average net assets | 3.76%6 | 6.48%6 | |
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.95%6 | 1.00%6 | |
Ratio of net investment income to average net assets | 0.67%6 | 0.44%6 | |
Portfolio turnover rate | 60% | 80%7 |
1 | Commencement of operations. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Unaudited. |
4 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
5 | Total return calculation is not annualized. |
6 | Annualized. |
7 | Calculations represent portfolio turnover for the Portfolio for the period of November 13, 2017 through October 31, 2018. |
34 |
Quantitative International Equity Portfolio | |||||||||||
For the Period Ended April 30, 20191,2 | For the Years Ended October 31, | ||||||||||
2018 | 20172 | 20162 | 20152 | 20142 | |||||||
Net asset value, beginning of period | $13.26 | $15.16 | $12.76 | $13.45 | $13.83 | $14.52 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.17 | 0.29 | 0.25 | 0.24 | 0.15 | 0.24 | |||||
Net realized and unrealized gain (loss) on investments | 0.65 | (1.90) | 2.41 | (0.71) | (0.40) | (0.65) | |||||
Total from investment operations | 0.82 | (1.61) | 2.66 | (0.47) | (0.25) | (0.41) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.12) | (0.29) | (0.26) | (0.22) | (0.13) | (0.28) | |||||
Total distributions | (0.12) | (0.29) | (0.26) | (0.22) | (0.13) | (0.28) | |||||
Net asset value, end of period | $13.96 | $13.26 | $15.16 | $12.76 | $13.45 | $13.83 | |||||
Total return3 | 6.20%4 | (10.80)% | 20.96% | (3.44)% | (1.83)% | (2.94)% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $291,100 | $387,188 | $461,686 | $441,284 | $243,403 | $37,520 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.11%5 | 1.07% | 1.06% | 1.12% | 1.24% | 1.24% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 1.00%5 | 1.00% | 1.00% | 1.04% | 1.24% | 1.23% | |||||
Ratio of net investment income to average net assets | 2.61%5 | 1.90% | 1.82% | 1.88% | 1.10% | 1.64% | |||||
Portfolio turnover rate | 47% | 78% | 75% | 121% | 148% | 47% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | Total return calculation is not annualized. |
5 | Annualized. |
35 |
Responsible ESG U.S. Equity Portfolio | |||||||
For the Period Ended April 30, 20192,3 | For the Years Ended October 31, | For the Period December 22, 20151 through October 31, 20163 | |||||
2018 | 2017 | ||||||
Net asset value, beginning of period | $14.12 | $13.61 | $10.84 | $10.00 | |||
Income from investment operations: | |||||||
Net investment income | 0.09 | 0.11 | 0.09 | 0.07 | |||
Net realized and unrealized gain on investments | 0.87 | 0.57 | 2.77 | 0.82 | |||
Total from investment operations | 0.96 | 0.68 | 2.86 | 0.89 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.08) | (0.11) | (0.09) | (0.05) | |||
Net realized capital gains | (0.51) | (0.06) | — | — | |||
Total distributions | (0.59) | (0.17) | (0.09) | (0.05) | |||
Net asset value, end of period | $14.49 | $14.12 | $13.61 | $10.84 | |||
Total return4 | 7.27%5 | 5.01% | 26.42% | 8.87%5 | |||
Ratios to average net assets/ Supplemental data: | |||||||
Net assets, at end of period (in 000s) | $23,826 | $21,746 | $13,589 | $6,561 | |||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.14%6 | 1.09% | 1.23% | 2.21%6 | |||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.95%6 | 1.00% | 1.00% | 1.00%6 | |||
Ratio of net investment income to average net assets | 1.30%6 | 0.87% | 0.75% | 0.76%6 | |||
Portfolio turnover rate | 54% | 61% | 54% | 65%7 |
1 | Commencement of operations. |
2 | Unaudited. |
3 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
4 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
5 | Total return calculation is not annualized. |
6 | Annualized. |
7 | Calculations represent portfolio turnover for the Portfolio for the period of December 22, 2015 through October 31, 2016. |
36 |
Women in Leadership U.S. Equity Portfolio | |||||||
For the Period Ended April 30, 20192,3 | For the Years Ended October 31, | For the Period December 22, 20151 through October 31, 20162 | |||||
20182 | 2017 | ||||||
Net asset value, beginning of period | $13.34 | $13.10 | $10.65 | $10.00 | |||
Income from investment operations: | |||||||
Net investment income | 0.08 | 0.12 | 0.11 | 0.14 | |||
Net realized and unrealized gain on investments | 0.85 | 0.32 | 2.45 | 0.63 | |||
Total from investment operations | 0.93 | 0.44 | 2.56 | 0.77 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.08) | (0.11) | (0.11) | (0.12) | |||
Net realized capital gains | (0.44) | (0.09) | — | — | |||
Total distributions | (0.52) | (0.20) | (0.11) | (0.12) | |||
Net asset value, end of period | $13.75 | $13.34 | $13.10 | $10.65 | |||
Total return4 | 7.40%5 | 3.36% | 24.11% | 7.73%5 | |||
Ratios to average net assets/ Supplemental data: | |||||||
Net assets, at end of period (in 000s) | $20,476 | $18,974 | $11,853 | $6,517 | |||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.17%6 | 1.11% | 1.28% | 2.22%6 | |||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.95%6 | 1.00% | 1.00% | 1.00%6 | |||
Ratio of net investment income to average net assets | 1.26%6 | 0.88% | 0.88% | 1.31%6 | |||
Portfolio turnover rate | 49% | 81% | 70% | 81%7 |
1 | Commencement of operations. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Unaudited. |
4 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
5 | Total return calculation is not annualized. |
6 | Annualized. |
7 | Calculations represent portfolio turnover for the Portfolio for the period of December 22, 2015 through October 31, 2016. |
37 |
Quantitative U.S. Long/Short Equity Portfolio Advisor Shares | |||||||||||
For the Period Ended April 30, 20191,2 | For The Years Ended October 31, | ||||||||||
20182 | 20172 | 20162 | 20152 | 20142 | |||||||
Net asset value, beginning of period | $12.55 | $12.86 | $11.39 | $11.32 | $10.80 | $10.50 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.06 | 0.03 | (0.05) | (0.03) | (0.07) | (0.07) | |||||
Net realized and unrealized gain (loss) on investments | (0.34) | (0.34) | 1.52 | 0.10 | 0.59 | 0.37 | |||||
Total from investment operations | (0.28) | (0.31) | 1.47 | 0.07 | 0.52 | 0.30 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.05) | — | — | — | — | — | |||||
Net realized capital gains | — | — | — | — | — | — | |||||
Total distributions | (0.05) | — | — | — | — | — | |||||
Net asset value, end of period | $12.22 | $12.55 | $12.86 | $11.39 | $11.32 | $10.80 | |||||
Total return3 | (2.26)%4 | (2.41)% | 12.91% | 0.62% | 4.81%5 | 2.86%5 | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $283,589 | $333,806 | $300,784 | $239,413 | $193,480 | $109,965 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.81% | 2.61% | 2.77% | 2.73% | 2.64% | 2.48% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets6 | 2.46% | 2.26% | 2.42% | 2.38% | 2.29% | 2.13% | |||||
Ratio of net investment income (loss) (expenses in excess of income) to average net assets | 1.01% | 0.24% | (0.43)% | (0.41)% | (0.67)% | (0.63)% | |||||
Portfolio turnover rate7 | 54% | 84% | 65% | 98% | 119% | 150% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | Total return calculation is not annualized. |
5 | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value and returns for shareholder transactions as shown in the management discussion and analysis and as otherwise reported to shareholders. |
6 | The ratio of operating expenses after waiver/reimbursement excluding dividends on securities sold short was 1.23%, 1.15%, 1.15%, 1.17%, 1.16% and 1.22% for the period ended April 30, 2019 and the years ended October 31, 2018, 2017, 2016, 2015 and 2014, respectively. |
7 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
38 |
Quantitative U.S. Total Market Equity Portfolio | |||||||||||
For the Period Ended April 30, 20191 | For the Years Ended October 31, | ||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | |||||||
Net asset value, beginning of period | $18.85 | $18.88 | $14.65 | $14.68 | $15.07 | $12.78 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.07 | 0.07 | 0.04 | 0.09 | 0.08 | 0.06 | |||||
Net realized and unrealized gain (loss) on investments | 0.64 | 0.51 | 4.23 | (0.04) | 0.49 | 2.29 | |||||
Total from investment operations | 0.71 | 0.58 | 4.27 | 0.05 | 0.57 | 2.35 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.06) | (0.06) | (0.04) | (0.08) | (0.08) | (0.06) | |||||
Net realized capital gains | (1.46) | (0.55) | — | — | (0.88) | (0.00)2 | |||||
Total distributions | (1.52) | (0.61) | (0.04) | (0.08) | (0.96) | (0.06) | |||||
Net asset value, end of period | $18.04 | $18.85 | $18.88 | $14.65 | $14.68 | $15.07 | |||||
Total return3 | 4.70%4 | 3.01% | 29.18% | 0.37% | 3.94% | 18.43% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $80,700 | $90,610 | $74,267 | $61,083 | $88,734 | $61,467 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.47%5 | 2.31% | 2.40% | 2.59% | 2.29% | 2.23% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets6 | 2.07%5 | 1.96% | 2.05% | 2.16% | 1.93% | 1.85% | |||||
Ratio of net investment income to average net assets | 0.75%5 | 0.37% | 0.24% | 0.56% | 0.55% | 0.41% | |||||
Portfolio turnover rate7 | 47% | 82% | 70% | 88% | 129% | 117% |
1 | Unaudited. |
2 | Amount rounds to less than $0.01 per share. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | Total return calculation is not annualized. |
5 | Annualized. |
6 | The ratio of operating expenses after waiver/reimbursement excluding dividends sold short and flex fees was 1.25%, 1.25%, 1.23%, 1.25%, 1.25% and 1.25% for the period ended April 30, 2019 and the years ended October 31, 2018, 2017, 2016, 2015 and 2014, respectively. |
7 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
39 |
Strategic Equity Portfolio | |||||||||||
For the Period Ended April 30, 20191,2 | For the Years Ended October 31, | ||||||||||
20182 | 2017 | 2016 | 2015 | 2014 | |||||||
Net asset value, beginning of period | $24.30 | $24.90 | $20.94 | $21.80 | $23.89 | $23.14 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.12 | 0.20 | 0.19 | 0.21 | 0.23 | 0.23 | |||||
Net realized and unrealized gain on investments | 2.18 | 1.07 | 5.35 | 0.81 | 0.76 | 3.20 | |||||
Total from investment operations | 2.30 | 1.27 | 5.54 | 1.02 | 0.99 | 3.43 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.12) | (0.20) | (0.19) | (0.20) | (0.24) | (0.24) | |||||
Net realized capital gains | (0.30) | (1.67) | (1.39) | (1.68) | (2.84) | (2.44) | |||||
Total distributions | (0.42) | (1.87) | (1.58) | (1.88) | (3.08) | (2.68) | |||||
Net asset value, end of period | $26.18 | $24.30 | $24.90 | $20.94 | $21.80 | $23.89 | |||||
Total return | 9.67%3 | 5.14% | 27.83% | 5.22% | 4.49% | 16.48% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $253,188 | $226,032 | $209,339 | $176,864 | $174,409 | $184,368 | |||||
Ratio of operating expenses to average net assets | 0.84%4 | 0.83% | 0.82% | 0.84% | 0.84% | 0.86% | |||||
Ratio of net investment income to average net assets | 1.00%4 | 0.79% | 0.84% | 1.00% | 1.03% | 1.04% | |||||
Portfolio turnover rate | 7% | 6% | 15% | 22% | 23% | 22% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Total return calculation is not annualized. |
4 | Annualized. |
40 |
Small Cap Equity Portfolio Advisor Shares | |||||||||||
For the Period Ended April 30, 20191,2 | For The Years Ended October 31, | ||||||||||
2018 | 2017 | 2016 | 2015 | 20142 | |||||||
Net asset value, beginning of period | $28.82 | $32.13 | $25.61 | $26.02 | $26.30 | $26.12 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.04 | 0.02 | (0.01) | 0.03 | 0.02 | (0.02) | |||||
Net realized and unrealized gain (loss) on investments | 0.44 | (0.10) | 7.07 | (0.15) | 0.74 | 1.49 | |||||
Total from investment operations | 0.48 | (0.08) | 7.06 | (0.12) | 0.76 | 1.47 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.07) | (0.02) | (0.02) | (0.05) | (0.02) | (0.10) | |||||
Net realized capital gains | (4.09) | (3.21) | (0.52) | (0.24) | (1.02) | (1.19) | |||||
Total distributions | (4.16) | (3.23) | (0.54) | (0.29) | (1.04) | (1.29) | |||||
Net asset value, end of period | $25.14 | $28.82 | $32.13 | $25.61 | $26.02 | $26.30 | |||||
Total return | 3.41%3 | (0.58)% | 27.84% | (0.43)% | 3.03% | 5.86% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $980,592 | $1,390,136 | $1,574,979 | $1,367,160 | $1,399,042 | $1,139,273 | |||||
Ratio of operating expenses to average net assets | 0.92%4 | 0.90% | 0.90% | 0.91% | 0.91% | 0.94% | |||||
Ratio of net investment income (loss) (expenses in excess of income) to average net assets | 0.33%4 | 0.07% | (0.04)% | 0.12% | 0.07% | (0.07)% | |||||
Portfolio turnover rate5 | 26% | 44% | 63% | 58% | 53% | 45% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Total return calculation is not annualized. |
4 | Annualized. |
5 | Portfolio turnover is calculated at the fund level. |
41 |
Small Cap Equity Portfolio Institutional Shares | |||||||||||
For the Period Ended April 30, 20191 | For The Years Ended October 31, | ||||||||||
2018 | 2017 | 2016 | 2015 | 20142 | |||||||
Net asset value, beginning of period | $30.25 | $33.54 | $26.67 | $27.07 | $27.28 | $27.00 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.07 | 0.09 | 0.05 | 0.08 | 0.08 | 0.01 | |||||
Net realized and unrealized gain (loss) on investments | 0.49 | (0.10) | 7.37 | (0.16) | 0.76 | 1.57 | |||||
Total from investment operations | 0.56 | (0.01) | 7.42 | (0.08) | 0.84 | 1.58 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.10) | (0.07) | (0.03) | (0.08) | (0.03) | (0.11) | |||||
Net realized capital gains | (4.09) | (3.21) | (0.52) | (0.24) | (1.02) | (1.19) | |||||
Total distributions | (4.19) | (3.28) | (0.55) | (0.32) | (1.05) | (1.30) | |||||
Net asset value, end of period | $26.62 | $30.25 | $33.54 | $26.67 | $27.07 | $27.28 | |||||
Total return | 3.53%3 | (0.36)% | 28.10% | (0.25)% | 3.24% | 6.10% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $2,012,079 | $2,131,461 | $1,879,657 | $1,264,752 | $963,970 | $531,853 | |||||
Ratio of operating expenses to average net assets | 0.72%4 | 0.70% | 0.70% | 0.71% | 0.71% | 0.74% | |||||
Ratio of net investment income to average net assets | 0.50%4 | 0.27% | 0.16% | 0.30% | 0.26% | 0.03% | |||||
Portfolio turnover rate5 | 26% | 44% | 63% | 58% | 53% | 45% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Total return calculation is not annualized. |
4 | Annualized. |
5 | Portfolio turnover is calculated at the fund level. |
42 |
Large Cap Value Portfolio | |||||||||||
For the Period Ended April 30, 20191 | For the Years Ended October 31, | ||||||||||
20182 | 20172 | 2016 | 20152 | 2014 | |||||||
Net asset value, beginning of period | $10.51 | $11.37 | $10.22 | $11.15 | $12.85 | $12.96 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.09 | 0.19 | 0.21 | 0.19 | 0.12 | 0.03 | |||||
Net realized and unrealized gain (loss) on investments | 0.48 | (0.16) | 1.96 | 0.30 | 0.06 | 1.72 | |||||
Total from investment operations | 0.57 | 0.03 | 2.17 | 0.49 | 0.18 | 1.75 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.09) | (0.18) | (0.24) | (0.17) | (0.11) | (0.05) | |||||
Net realized capital gains | (1.07) | (0.71) | (0.78) | (1.25) | (1.77) | (1.81) | |||||
Total distributions | (1.16) | (0.89) | (1.02) | (1.42) | (1.88) | (1.86) | |||||
Net asset value, end of period | $9.92 | $10.51 | $11.37 | $10.22 | $11.15 | $12.85 | |||||
Total return | 6.67%3 | 0.04% | 22.17% | 5.58% | 1.28% | 15.48% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $58,952 | $71,597 | $76,465 | $72,154 | $83,065 | $98,642 | |||||
Ratio of operating expenses to average net assets | 0.98%4 | 0.91% | 0.91% | 0.91% | 0.91% | 0.92% | |||||
Ratio of net investment income to average net assets | 1.96%4 | 1.69% | 1.99% | 1.83% | 1.03% | 0.28% | |||||
Portfolio turnover rate | 30% | 71% | 93% | 110% | 106% | 106% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Total return calculation is not annualized. |
4 | Annualized. |
43 |
Equity Income Portfolio | |||||
For the Period Ended April 30, 20192 | For the Year Ended October 31, 2018 | For the Period December 21, 20161 through October 31, 20173 | |||
Net asset value, beginning of period | $11.15 | $11.06 | $10.00 | ||
Income from investment operations: | |||||
Net investment income | 0.13 | 0.22 | 0.16 | ||
Net realized and unrealized gain on investments | 1.08 | 0.09 | 1.01 | ||
Total from investment operations | 1.21 | 0.31 | 1.17 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.12) | (0.22) | (0.11) | ||
Net realized capital gains | (0.26) | (0.00)4 | — | ||
Total distributions | (0.38) | (0.22) | (0.11) | ||
Net asset value, end of period | $11.98 | $11.15 | $11.06 | ||
Total return5 | 11.28%6 | 2.79% | 11.77%6 | ||
Ratios to average net assets/ Supplemental data: | |||||
Net assets, at end of period (in 000s) | $23,163 | $18,536 | $12,970 | ||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.04%7 | 1.11% | 2.08%7 | ||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85%7 | 0.85% | 0.85%7 | ||
Ratio of net investment income to average net assets | 2.28%7 | 2.02% | 1.82%7 | ||
Portfolio turnover rate | 17% | 29% | 14%8 |
1 | Commencement of operations. |
2 | Unaudited. |
3 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
4 | Amount rounds to less than $0.01 per share. |
5 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
6 | Total return calculation is not annualized. |
7 | Annualized. |
8 | Calculations represent portfolio turnover for the Portfolio for the period of December 21, 2016 through October 31, 2017. |
44 |
Secured Options Portfolio Advisor Shares | |||||||||||
For the Period Ended April 30, 20191,2 | For The Years Ended October 31, | ||||||||||
2018 | 20172 | 20162 | 20152 | 20142 | |||||||
Net asset value, beginning of period | $12.30 | $12.75 | $12.45 | $12.57 | $12.47 | $13.24 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | (0.02) | (0.06) | (0.08) | (0.09) | (0.09) | (0.11) | |||||
Net realized and unrealized gain on investments | 0.24 | 0.40 | 0.99 | 0.68 | 0.84 | 0.85 | |||||
Total from investment operations | 0.22 | 0.34 | 0.91 | 0.59 | 0.75 | 0.74 | |||||
Distributions to shareholders from: | |||||||||||
Net realized capital gains | (0.29) | (0.79) | (0.61) | (0.71) | (0.65) | (1.51) | |||||
Total distributions | (0.29) | (0.79) | (0.61) | (0.71) | (0.65) | (1.51) | |||||
Net asset value, end of period | $12.23 | $12.30 | $12.75 | $12.45 | $12.57 | $12.47 | |||||
Total return | 1.93%3 | 2.81% | 7.53% | 5.08% | 6.37% | 6.22% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $313,255 | $445,946 | $446,859 | $574,200 | $395,163 | $365,675 | |||||
Ratio of operating expenses to average net assets4 | 0.87%5 | 0.84% | 0.85% | 0.85% | 0.84% | 0.87% | |||||
Ratio of net investment income (loss) (expenses in excess of income) to average net assets4 | (0.35)%5 | (0.50)% | (0.68)% | 0.95% | (0.77)% | (0.81)% | |||||
Portfolio turnover rate6 | —%7 | —%7 | —%7 | —%7 | —%7 | 1,108% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Total return calculation is not annualized. |
4 | This ratio does not include the expenses for the Exchange-Traded Funds held in the Portfolio. |
5 | Annualized. |
6 | Portfolio turnover is calculated at the fund level. |
7 | All trading activity in the Portfolio during the year was short term and is excluded for portfolio turnover calculations resulting in zero portfolio turnover percentage. |
45 |
Secured Options Portfolio Institutional Shares | |||||
For the Period Ended April 30, 20192 | For The Year Ended October 31, 20183 | For the Period November 9, 20161 through October 31, 20173 | |||
Net asset value, beginning of period | $12.34 | $12.77 | $12.61 | ||
Income from investment operations: | |||||
Net investment income (loss) | (0.01) | (0.04) | (0.06) | ||
Net realized and unrealized gain on investments | 0.26 | 0.40 | 0.83 | ||
Total from investment operations | 0.25 | 0.36 | 0.77 | ||
Distributions to shareholders from: | |||||
Net realized capital gains | (0.29) | (0.79) | (0.61) | ||
Total distributions | (0.29) | (0.79) | (0.61) | ||
Net asset value, end of period | $12.30 | $12.34 | $12.77 | ||
Total return | 2.17%4 | 2.97% | 6.34%4 | ||
Ratios to average net assets/ Supplemental data: | |||||
Net assets, at end of period (in 000s) | $357,514 | $396,523 | $365,523 | ||
Ratio of operating expenses to average net assets5 | 0.67%6 | 0.64% | 0.65%6 | ||
Ratio of net investment income (loss) (expenses in excess of income) to average net assets5 | (0.15)%6 | (0.30)% | (0.45)%6 | ||
Portfolio turnover rate7,8 | —% | —% | —% |
1 | Class commenced operations on November 9, 2016. |
2 | Unaudited. |
3 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
4 | Total return calculation is not annualized. |
5 | This ratio does not include the expenses for the Exchange-Traded Funds held in the Portfolio. |
6 | Annualized. |
7 | Portfolio turnover is calculated at the fund level. |
8 | All trading activity in the Portfolio during the year was short term and is excluded for portfolio turnover calculations resulting in zero portfolio turnover percentage. |
46 |
Global Secured Options Portfolio | |||||||||||
For the Period Ended April 30, 20191 | For the Years Ended October 31, | ||||||||||
20182 | 20172 | 20162 | 20152 | 20142 | |||||||
Net asset value, beginning of period | $10.41 | $10.58 | $9.60 | $9.96 | $10.58 | $11.52 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.00 | 0.01 | 0.06 | 0.15 | 0.19 | 0.13 | |||||
Net realized and unrealized gain (loss) on investments | (0.59) | (0.09) | 0.99 | (0.30) | (0.48) | (0.11) | |||||
Total from investment operations | (0.59) | (0.08) | 1.05 | (0.15) | (0.29) | 0.02 | |||||
Net investment income | — | (0.09) | (0.07) | (0.21) | (0.21) | (0.11) | |||||
Net realized capital gains | (9.35) | — | — | — | (0.12) | (0.85) | |||||
Total distributions | (9.35) | (0.09) | (0.07) | (0.21) | (0.33) | (0.96) | |||||
Net asset value, end of period | $0.47 | $10.41 | $10.58 | $9.60 | $9.96 | $10.58 | |||||
Total return | 3.91%3 | (0.76)% | 10.94% | (1.47)% | (2.78)% | 0.30% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $1,222 | $2,510 | $10,642 | $28,818 | $88,478 | $100,552 | |||||
Ratio of operating expenses to average net assets4 | —% | 1.17%5 | 1.13% | 0.91% | 0.84% | 0.87% | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets4 | 13.96%6 | —% | —% | —% | —% | —% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets4 | 2.23%5,6 | —% | —% | —% | —% | —% | |||||
Ratio of net investment income to average net assets4 | (0.56)%6 | 0.08% | 0.58% | 1.61% | 1.83% | 1.20% | |||||
Portfolio turnover rate | 34% | 224% | 9% | 70% | 106% | 81% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Total return calculation is not annualized. |
4 | This ratio does not include the expenses for the Exchange-Traded Funds held in the Portfolio. |
5 | The ratio of operating expenses after waiver/reimbursement excluding dividends on securities sold short and interest expense was 2.21% for the period ended April 30, 2019 and 1.11% for the year ended October 31, 2018. |
6 | Annualized. |
47 |
Alternative Risk Premia Portfolio | |
For the Period December 21, 20181 through April 30, 20192 | |
Net asset value, beginning of period | $10.00 |
Income from investment operations: | |
Net investment income | 0.01 |
Net realized and unrealized gain on investments | 0.39 |
Total from investment operations | 0.40 |
Net asset value, end of period | $10.40 |
Total return | 4.00%3,4 |
Ratios to average net assets/ Supplemental data: | |
Net assets, at end of period (in 000s) | $5,551 |
Ratio of operating expenses before waiver/reimbursement to average net assets | 4.30%5 |
Ratio of operating expenses after waiver/reimbursement to average net assets | 1.93%5,6 |
Ratio of net investment income to average net assets | 0.23%5 |
Portfolio turnover rate | 83%7 |
1 | Portfolio commenced operations on December 21, 2018. |
2 | Unaudited. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | Total return calculation is not annualized. |
5 | Annualized. |
6 | The ratio of operating expenses after waiver/reimbursement excluding dividends on securities sold short and interest expense was 1.00% for the period ended April 30, 2019. |
7 | Calculations represent portfolio turnover for the Portfolio for the period of December 21, 2018 through April 30, 2019. |
48 |
Core Fixed Income Portfolio | |||||||||||
For the Period Ended April 30, 20191,2 | For the Years Ended October 31, | ||||||||||
2018 | 20171 | 2016 | 2015 | 2014 | |||||||
Net asset value, beginning of period | $10.49 | $11.04 | $11.26 | $11.20 | $11.21 | $11.22 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.13 | 0.25 | 0.21 | 0.21 | 0.23 | 0.25 | |||||
Net realized and unrealized gain (loss) on investments | 0.40 | (0.50) | (0.13) | 0.14 | 0.01 | 0.02 | |||||
Total from investment operations | 0.53 | (0.25) | 0.08 | 0.35 | 0.24 | 0.27 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.13) | (0.26) | (0.22) | (0.23) | (0.25) | (0.26) | |||||
Net realized capital gains | — | (0.04) | (0.08) | (0.06) | — | (0.02) | |||||
Total distributions | (0.13) | (0.30) | (0.30) | (0.29) | (0.25) | (0.28) | |||||
Net asset value, end of period | $10.89 | $10.49 | $11.04 | $11.26 | $11.20 | $11.21 | |||||
Total return | 5.10%3 | (2.32)% | 0.75% | 3.15% | 2.20% | 2.52% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $514,750 | $485,201 | $488,548 | $486,872 | $433,086 | $426,528 | |||||
Ratio of operating expenses to average net assets | 0.53%4 | 0.52% | 0.52% | 0.54% | 0.53% | 0.56% | |||||
Ratio of net investment income to average net assets | 2.43%4 | 2.24% | 1.90% | 1.84% | 2.11% | 2.23% | |||||
Portfolio turnover rate | 22% | 29% | 46% | 24% | 27% | 18% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Unaudited. |
3 | Total return calculation is not annualized. |
4 | Annualized. |
49 |
Short Term Tax Aware Fixed Income Portfolio | |||||||
For the Period Ended April 30, 20192,3 | For the Years Ended October 31, | For the Period June 29, 20161 through October 31, 20162 | |||||
2018 | 20172 | ||||||
Net asset value, beginning of period | $9.90 | $9.98 | $9.99 | $10.00 | |||
Income from investment operations: | |||||||
Net investment income | 0.07 | 0.09 | 0.07 | 0.02 | |||
Net realized and unrealized gain (loss) on investments | 0.09 | (0.08) | (0.01) | (0.02) | |||
Total from investment operations | 0.16 | 0.01 | 0.06 | 0.00 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.06) | (0.09) | (0.07) | (0.01) | |||
Total distributions | (0.06) | (0.09) | (0.07) | (0.01) | |||
Net asset value, end of period | $10.00 | $9.90 | $9.98 | $9.99 | |||
Total return4 | 1.64%5 | 0.10% | 0.57% | (0.02)%5 | |||
Ratios to average net assets/ Supplemental data: | |||||||
Net assets, at end of period (in 000s) | $38,445 | $26,294 | $33,900 | $30,076 | |||
Ratio of operating expenses before waiver/reimbursement to average net assets6 | 0.69%7 | 0.61% | 0.69% | 0.90%7 | |||
Ratio of operating expenses after waiver/reimbursement to average net assets6 | 0.55%7 | 0.55% | 0.55% | 0.55%7 | |||
Ratio of net investment income to average net assets6 | 1.36%7 | 0.92% | 0.69% | 0.46%7 | |||
Portfolio turnover rate | 8% | 19% | 31% | 35%8 |
1 | Commencement of operations. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Unaudited. |
4 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
5 | Total return calculation is not annualized. |
6 | This ratio does not include the expenses for the Exchange-Traded Funds held in the Portfolio. |
7 | Annualized. |
8 | Calculations represent portfolio turnover for the Portfolio for the period of June 29, 2016 through October 31, 2016. |
50 |
High Yield Municipal Portfolio | |||||||
For the Period Ended April 30, 20192 | For the Years Ended October 31, | For the Period December 22, 20151 through October 31, 20163 | |||||
2018 | 2017 | ||||||
Net asset value, beginning of period | $10.16 | $10.35 | $10.39 | $10.00 | |||
Income from investment operations: | |||||||
Net investment income | 0.16 | 0.30 | 0.30 | 0.22 | |||
Net realized and unrealized gain (loss) on investments | 0.36 | (0.19) | (0.01) | 0.34 | |||
Total from investment operations | 0.52 | 0.11 | 0.29 | 0.56 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.16) | (0.30) | (0.29) | (0.17) | |||
Net realized capital gains | — | — | (0.04) | — | |||
Total distributions | (0.16) | (0.30) | (0.33) | (0.17) | |||
Net asset value, end of period | $10.52 | $10.16 | $10.35 | $10.39 | |||
Total return | 5.17%4,5 | 1.04% | 2.89% | 5.56%4,5 | |||
Ratios to average net assets/ Supplemental data: | |||||||
Net assets, at end of period (in 000s) | $206,054 | $192,319 | $170,440 | $153,893 | |||
Ratio of operating expenses to average net assets | —% | 0.99% | 1.00% | —% | |||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.00%6 | —% | —% | 1.08%6 | |||
Ratio of operating expenses after waiver/reimbursement to average net assets | 1.00%6 | —% | —% | 1.00%6 | |||
Ratio of net investment income to average net assets | 3.17%6 | 2.90% | 2.92% | 2.44%6 | |||
Portfolio turnover rate | 19%7 | 44%7 | 43%7 | 73%8 |
1 | Commencement of operations. |
2 | Unaudited. |
3 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
4 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
5 | Total return calculation is not annualized. |
6 | Annualized. |
7 | Variable Rate Demand Note (VRDN) securities are excluded from the portfolio turnover calculation. |
8 | Calculations represent portfolio turnover for the Portfolio for the period of December 22, 2015 through October 31, 2016. |
51 |
Shares | Value | ||
COMMON STOCKS* — 99.4% | |||
Aerospace & Defense — 2.2% | |||
118,690 | Boeing Co. (The) | $44,828,026 | |
76,282 | Raytheon Co. | 13,546,921 | |
58,374,947 | |||
Airlines — 1.0% | |||
521,443 | Southwest Airlines Co. | 28,277,854 | |
Automobiles — 0.6% | |||
1,497,468 | Ford Motor Co. | 15,648,541 | |
Banks — 6.6% | |||
551,300 | Bank of America Corp. | 16,858,754 | |
425,892 | Citigroup, Inc. | 30,110,564 | |
811,475 | Citizens Financial Group, Inc. | 29,375,395 | |
385,117 | Comerica, Inc. | 30,266,345 | |
1,070,661 | Fifth Third Bancorp | 30,856,450 | |
260,278 | JPMorgan Chase & Co. | 30,205,262 | |
148,137 | SunTrust Banks, Inc. | 9,700,011 | |
177,372,781 | |||
Beverages — 1.2% | |||
542,498 | Monster Beverage Corp.1 | 32,332,881 | |
Biotechnology — 3.0% | |||
142,320 | Amgen, Inc. | 25,520,822 | |
92,666 | Biogen, Inc.1 | 21,242,754 | |
248,291 | Celgene Corp.1 | 23,503,226 | |
31,557 | Regeneron Pharmaceuticals, Inc.1 | 10,828,469 | |
81,095,271 | |||
Building Products — 0.8% | |||
551,353 | Masco Corp. | 21,535,848 | |
Capital Markets — 2.6% | |||
201,254 | Ameriprise Financial, Inc. | 29,538,050 | |
168,477 | Intercontinental Exchange, Inc. | 13,705,604 | |
489,518 | TD Ameritrade Holding Corp. | 25,738,856 | |
68,982,510 | |||
Chemicals — 1.1% | |||
281,665 | Celanese Corp. | 30,388,837 | |
Communications Equipment — 3.5% | |||
800,373 | Cisco Systems, Inc. | 44,780,870 | |
181,807 | F5 Networks, Inc.1 | 28,525,518 | |
793,695 | Juniper Networks, Inc. | 22,040,910 | |
95,347,298 | |||
Consumer Finance — 2.9% | |||
1,121,873 | Ally Financial, Inc. | 33,330,847 | |
125,723 | American Express Co. | 14,738,507 | |
383,190 | Discover Financial Services | 31,226,153 | |
79,295,507 | |||
Containers & Packaging — 1.4% | |||
514,981 | International Paper Co. | 24,106,261 | |
150,575 | Packaging Corp. of America | 14,931,017 | |
39,037,278 | |||
Diversified Telecommunication Services — 0.5% | |||
229,716 | Verizon Communications, Inc. | 13,137,458 |
52 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electric Utilities — 1.5% | |||
773,907 | Exelon Corp. | $39,430,562 | |
Electrical Equipment — 2.5% | |||
407,254 | AMETEK, Inc. | 35,907,585 | |
382,285 | Eaton Corp. PLC | 31,660,844 | |
67,568,429 | |||
Entertainment — 1.2% | |||
651,878 | Activision Blizzard, Inc. | 31,427,038 | |
Equity Real Estate Investment Trusts — 2.7% | |||
940,006 | Host Hotels & Resorts, Inc. | 18,085,715 | |
301,992 | National Retail Properties, Inc. | 15,890,819 | |
146,334 | Simon Property Group, Inc. | 25,418,216 | |
424,678 | STORE Capital Corp. | 14,150,271 | |
73,545,021 | |||
Food & Staples Retailing — 1.1% | |||
413,798 | Sysco Corp. | 29,118,965 | |
Food Products — 2.3% | |||
367,007 | General Mills, Inc. | 18,889,850 | |
289,435 | McCormick & Co., Inc.2 | 44,564,307 | |
63,454,157 | |||
Health Care Providers & Services — 6.1% | |||
144,728 | Anthem, Inc. | 38,067,806 | |
274,715 | Cardinal Health, Inc. | 13,381,368 | |
447,776 | Centene Corp.1 | 23,087,330 | |
335,023 | Henry Schein, Inc.1,2 | 21,461,573 | |
78,107 | Humana, Inc. | 19,949,309 | |
204,217 | McKesson Corp. | 24,352,877 | |
109,111 | UnitedHealth Group, Inc. | 25,430,501 | |
165,730,764 | |||
Hotels, Restaurants & Leisure — 1.1% | |||
396,723 | Starbucks Corp. | 30,817,443 | |
Household Products — 1.3% | |||
209,054 | Church & Dwight Co., Inc. | 15,668,597 | |
182,175 | Procter & Gamble Co. (The) | 19,397,994 | |
35,066,591 | |||
Independent Power & Renewable Electricity Producer — 1.7% | |||
2,655,810 | AES Corp. | 45,467,467 | |
Industrial Conglomerates — 1.2% | |||
187,005 | Honeywell International, Inc. | 32,469,678 | |
Insurance — 3.9% | |||
661,100 | Aflac, Inc. | 33,306,218 | |
311,314 | Athene Holding, Ltd. - Class A1 | 14,058,940 | |
376,003 | Fidelity National Financial, Inc. | 15,021,320 | |
640,040 | MetLife, Inc. | 29,525,045 | |
337,189 | Unum Group | 12,449,018 | |
104,360,541 | |||
Interactive Media & Services — 2.5% | |||
25,796 | Alphabet, Inc. - Class A1 | 30,928,372 | |
184,532 | Facebook, Inc. - Class A1 | 35,688,489 | |
66,616,861 |
53 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Internet & Direct Marketing Retail — 1.0% | |||
732,516 | eBay, Inc. | $28,384,995 | |
IT Services — 6.5% | |||
177,838 | Accenture PLC - Class A | 32,485,668 | |
405,042 | Cognizant Technology Solutions Corp. - Class A | 29,551,865 | |
108,119 | DXC Technology Co. | 7,107,743 | |
470,138 | PayPal Holdings, Inc.1 | 53,017,462 | |
132,938 | Total System Services, Inc. | 13,591,581 | |
236,882 | Visa, Inc. - Class A | 38,950,507 | |
174,704,826 | |||
Life Sciences Tools & Services — 0.9% | |||
114,638 | Waters Corp.1 | 24,479,799 | |
Machinery — 2.6% | |||
329,309 | Ingersoll-Rand PLC | 40,376,576 | |
162,574 | Parker-Hannifin Corp. | 29,438,900 | |
69,815,476 | |||
Media — 4.7% | |||
833,234 | Comcast Corp. - Class A | 36,270,676 | |
1,240,693 | Interpublic Group of Cos., Inc. (The) | 28,535,939 | |
2,191,550 | News Corp. - Class A | 27,219,051 | |
434,324 | Omnicom Group, Inc. | 34,758,950 | |
126,784,616 | |||
Metals & Mining — 1.8% | |||
760,606 | Newmont Goldcorp Corp.2 | 23,624,422 | |
451,366 | Nucor Corp. | 25,759,458 | |
49,383,880 | |||
Multi-line Retail — 2.5% | |||
475,529 | Kohl’s Corp. | 33,810,112 | |
447,668 | Target Corp. | 34,658,457 | |
68,468,569 | |||
Multi-Utilities — 0.6% | |||
523,055 | CenterPoint Energy, Inc. | 16,214,705 | |
Oil, Gas & Consumable Fuels — 4.4% | |||
112,869 | Chevron Corp. | 13,551,052 | |
401,148 | ConocoPhillips | 25,320,461 | |
731,294 | Kinder Morgan, Inc. | 14,530,812 | |
619,694 | Marathon Petroleum Corp. | 37,720,774 | |
302,465 | Valero Energy Corp. | 27,421,477 | |
118,544,576 | |||
Pharmaceuticals — 3.0% | |||
93,829 | Allergan PLC | 13,792,863 | |
511,289 | Bristol-Myers Squibb Co. | 23,739,148 | |
221,377 | Elanco Animal Health, Inc.1 | 6,973,376 | |
311,773 | Eli Lilly & Co. | 36,489,912 | |
80,995,299 | |||
Real Estate Management & Development — 1.2% | |||
646,889 | CBRE Group, Inc. - Class A1 | 33,683,510 | |
Road & Rail — 0.5% | |||
177,150 | CSX Corp. | 14,106,455 |
54 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Semiconductors & Semiconductor Equipment — 4.2% | |||
694,528 | Intel Corp. | $35,448,709 | |
92,970 | Lam Research Corp. | 19,284,767 | |
343,607 | NXP Semiconductors N.V. | 36,291,771 | |
198,733 | Texas Instruments, Inc. | 23,416,710 | |
114,441,957 | |||
Software — 3.5% | |||
171,460 | Citrix Systems, Inc. | 17,310,602 | |
218,775 | Fortinet, Inc.1 | 20,437,960 | |
269,262 | Microsoft Corp. | 35,165,617 | |
400,415 | Oracle Corp. | 22,154,962 | |
95,069,141 | |||
Specialty Retail — 2.3% | |||
427,364 | Best Buy Co., Inc. | 31,800,155 | |
307,229 | Ross Stores, Inc. | 30,003,984 | |
61,804,139 | |||
Technology Hardware, Storage & Peripherals — 2.7% | |||
1,725,159 | Hewlett Packard Enterprise Co. | 27,274,764 | |
640,050 | NetApp, Inc. | 46,627,642 | |
73,902,406 | |||
Tobacco — 0.5% | |||
253,277 | Altria Group, Inc. | 13,760,539 | |
TOTAL COMMON STOCKS (Cost $2,131,287,275) | 2,690,445,416 | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 2.7% | |||
72,192,981 | State Street Navigator Securities Lending Government Money Market Portfolio | 72,192,981 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $72,192,981) | 72,192,981 | ||
TOTAL INVESTMENTS (Cost $2,203,480,256) | 102.1% | $2,762,638,397 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (2.1) | (57,032,428) | |
NET ASSETS | 100.0% | $2,705,605,969 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
55 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 6.6% | $177,372,781 | |
IT Services | 6.5 | 174,704,826 | |
Health Care Providers & Services | 6.1 | 165,730,764 | |
Media | 4.7 | 126,784,616 | |
Oil, Gas & Consumable Fuels | 4.4 | 118,544,576 | |
Semiconductors & Semiconductor Equipment | 4.2 | 114,441,957 | |
Insurance | 3.9 | 104,360,541 | |
Communications Equipment | 3.5 | 95,347,298 | |
Software | 3.5 | 95,069,141 | |
Biotechnology | 3.0 | 81,095,271 | |
Pharmaceuticals | 3.0 | 80,995,299 | |
Consumer Finance | 2.9 | 79,295,507 | |
Technology Hardware, Storage & Peripherals | 2.7 | 73,902,406 | |
Equity Real Estate Investment Trusts | 2.7 | 73,545,021 | |
Machinery | 2.6 | 69,815,476 | |
Capital Markets | 2.6 | 68,982,510 | |
Multi-line Retail | 2.5 | 68,468,569 | |
Electrical Equipment | 2.5 | 67,568,429 | |
Interactive Media & Services | 2.5 | 66,616,861 | |
Food Products | 2.3 | 63,454,157 | |
Specialty Retail | 2.3 | 61,804,139 | |
Aerospace & Defense | 2.2 | 58,374,947 | |
Metals & Mining | 1.8 | 49,383,880 | |
Independent Power & Renewable Electricity Producer | 1.7 | 45,467,467 | |
Electric Utilities | 1.5 | 39,430,562 | |
Containers & Packaging | 1.4 | 39,037,278 | |
Household Products | 1.3 | 35,066,591 | |
Real Estate Management & Development | 1.2 | 33,683,510 | |
Industrial Conglomerates | 1.2 | 32,469,678 | |
Beverages | 1.2 | 32,332,881 | |
Entertainment | 1.2 | 31,427,038 | |
Hotels, Restaurants & Leisure | 1.1 | 30,817,443 | |
Chemicals | 1.1 | 30,388,837 | |
Food & Staples Retailing | 1.1 | 29,118,965 | |
Internet & Direct Marketing Retail | 1.0 | 28,384,995 | |
Airlines | 1.0 | 28,277,854 | |
Life Sciences Tools & Services | 0.9 | 24,479,799 | |
Building Products | 0.8 | 21,535,848 | |
Multi-Utilities | 0.6 | 16,214,705 | |
Automobiles | 0.6 | 15,648,541 | |
Road & Rail | 0.5 | 14,106,455 | |
Tobacco | 0.5 | 13,760,539 | |
Diversified Telecommunication Services | 0.5 | 13,137,458 | |
TOTAL COMMON STOCKS | 99.4% | $2,690,445,416 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 2.7 | 72,192,981 | |
TOTAL INVESTMENTS | 102.1% | $2,762,638,397 |
56 |
Shares | Value | ||
COMMON STOCKS* — 99.9% | |||
Aerospace & Defense — 2.5% | |||
215,946 | Boeing Co. (The) | $81,560,645 | |
Air Freight & Logistics — 0.9% | |||
179,115 | CH Robinson Worldwide, Inc. | 14,508,315 | |
205,195 | Expeditors International of Washington, Inc. | 16,296,587 | |
30,804,902 | |||
Airlines — 0.9% | |||
542,849 | Southwest Airlines Co. | 29,438,701 | |
Beverages — 3.0% | |||
1,209,905 | Monster Beverage Corp.1 | 72,110,338 | |
196,314 | PepsiCo, Inc. | 25,138,008 | |
97,248,346 | |||
Biotechnology — 5.0% | |||
331,385 | Amgen, Inc. | 59,423,958 | |
161,737 | Biogen, Inc.1 | 37,076,590 | |
712,266 | Celgene Corp.1 | 67,423,100 | |
163,923,648 | |||
Building Products — 1.2% | |||
965,961 | Masco Corp. | 37,730,437 | |
Capital Markets — 2.5% | |||
273,861 | Ameriprise Financial, Inc. | 40,194,579 | |
505,956 | Intercontinental Exchange, Inc. | 41,159,520 | |
81,354,099 | |||
Chemicals — 0.5% | |||
154,230 | Celanese Corp. | 16,639,875 | |
Communications Equipment — 1.1% | |||
237,792 | F5 Networks, Inc.1 | 37,309,565 | |
Consumer Finance — 1.0% | |||
983,213 | Synchrony Financial | 34,087,995 | |
Containers & Packaging — 2.2% | |||
379,830 | Avery Dennison Corp. | 42,028,189 | |
303,307 | International Paper Co. | 14,197,801 | |
169,055 | Packaging Corp. of America | 16,763,494 | |
72,989,484 | |||
Electrical Equipment — 1.9% | |||
689,838 | AMETEK, Inc. | 60,823,016 | |
Electronic Equipment, Instruments & Components — 4.6% | |||
637,573 | Amphenol Corp. - Class A | 63,476,768 | |
807,749 | CDW Corp. | 85,298,294 | |
148,775,062 | |||
Entertainment — 1.2% | |||
279,271 | Walt Disney Co. (The) | 38,251,749 | |
Equity Real Estate Investment Trusts — 0.5% | |||
88,081 | Simon Property Group, Inc. | 15,299,670 | |
Food & Staples Retailing — 0.8% | |||
107,632 | Costco Wholesale Corp. | 26,426,885 | |
Food Products — 0.7% | |||
180,719 | Hershey Co. (The) | 22,562,767 |
57 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Health Care Providers & Services — 5.5% | |||
699,131 | Centene Corp.1 | $36,047,194 | |
260,458 | DaVita, Inc.1 | 14,387,700 | |
305,228 | Henry Schein, Inc.1 | 19,552,906 | |
114,201 | Humana, Inc. | 29,168,077 | |
339,215 | UnitedHealth Group, Inc. | 79,060,840 | |
178,216,717 | |||
Hotels, Restaurants & Leisure — 3.7% | |||
579,882 | Hilton Worldwide Holdings, Inc. | 50,443,935 | |
886,280 | Starbucks Corp. | 68,846,231 | |
119,290,166 | |||
Household Products — 1.4% | |||
629,338 | Church & Dwight Co., Inc. | 47,168,883 | |
Industrial Conglomerates — 1.1% | |||
204,186 | Honeywell International, Inc. | 35,452,815 | |
Insurance — 2.5% | |||
447,937 | Marsh & McLennan Cos., Inc. | 42,235,980 | |
523,280 | Progressive Corp. (The) | 40,894,332 | |
83,130,312 | |||
Interactive Media & Services — 7.4% | |||
65,414 | Alphabet, Inc. - Class A1 | 78,428,770 | |
494,251 | Facebook, Inc. - Class A1 | 95,588,143 | |
305,688 | IAC/InterActiveCorp1 | 68,730,890 | |
242,747,803 | |||
Internet & Direct Marketing Retail — 0.8% | |||
679,290 | eBay, Inc. | 26,322,487 | |
IT Services — 17.3% | |||
414,268 | Accenture PLC - Class A | 75,674,335 | |
360,017 | Automatic Data Processing, Inc. | 59,183,195 | |
618,621 | Cognizant Technology Solutions Corp. - Class A | 45,134,588 | |
387,059 | Mastercard, Inc. - Class A | 98,405,880 | |
832,728 | Paychex, Inc. | 70,207,298 | |
830,401 | PayPal Holdings, Inc.1 | 93,644,321 | |
159,815 | VeriSign, Inc.1 | 31,555,472 | |
553,843 | Visa, Inc. - Class A | 91,068,404 | |
564,873,493 | |||
Life Sciences Tools & Services — 1.3% | |||
200,130 | Waters Corp.1 | 42,735,760 | |
Machinery — 3.6% | |||
811,603 | Ingersoll-Rand PLC | 99,510,644 | |
95,964 | Parker-Hannifin Corp. | 17,377,161 | |
116,887,805 | |||
Media — 2.3% | |||
935,026 | Omnicom Group, Inc. | 74,830,131 | |
Metals & Mining — 0.5% | |||
500,000 | Steel Dynamics, Inc. | 15,840,000 | |
Multi-line Retail — 1.2% | |||
320,261 | Dollar General Corp. | 40,381,709 |
58 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Oil, Gas & Consumable Fuels — 0.5% | |||
106,362 | Pioneer Natural Resources Co. | $17,705,018 | |
Professional Services — 0.5% | |||
252,874 | Robert Half International, Inc. | 15,700,947 | |
Real Estate Management & Development — 2.3% | |||
1,460,629 | CBRE Group, Inc. - Class A1 | 76,054,952 | |
Semiconductors & Semiconductor Equipment — 4.2% | |||
522,702 | KLA-Tencor Corp. | 66,634,051 | |
589,585 | Texas Instruments, Inc. | 69,470,800 | |
136,104,851 | |||
Software — 2.8% | |||
689,636 | Microsoft Corp. | 90,066,462 | |
Specialty Retail — 7.8% | |||
997,985 | Best Buy Co., Inc. | 74,260,064 | |
311,267 | Home Depot, Inc. (The) | 63,405,088 | |
812,654 | Ross Stores, Inc. | 79,363,790 | |
694,888 | TJX Cos., Inc. (The) | 38,135,453 | |
255,164,395 | |||
Technology Hardware, Storage & Peripherals — 2.2% | |||
361,304 | Apple, Inc. | 72,502,874 | |
Tobacco — 0.5% | |||
290,385 | Altria Group, Inc. | 15,776,617 | |
TOTAL COMMON STOCKS (Cost $2,394,556,821) | 3,262,181,043 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.2% | |||
$5,820,133 | With Fixed Income Clearing Corp., dated 4/30/19, 0.50%, principal and interest in the amount of $5,820,214, due 5/1/19, (collateralized by a U.S. Treasury Note with a par value of $5,835,000, coupon rate of 2.750%, due 11/30/2020, market value of $5,938,670) | 5,820,133 | |
TOTAL REPURCHASE AGREEMENT (Cost $5,820,133) | 5,820,133 | ||
TOTAL INVESTMENTS (Cost $2,400,376,954) | 100.1% | $3,268,001,176 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.1) | (3,731,732) | |
NET ASSETS | 100.0% | $3,264,269,444 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
59 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
IT Services | 17.3% | $564,873,493 | |
Specialty Retail | 7.8 | 255,164,395 | |
Interactive Media & Services | 7.4 | 242,747,803 | |
Health Care Providers & Services | 5.5 | 178,216,717 | |
Biotechnology | 5.0 | 163,923,648 | |
Electronic Equipment, Instruments & Components | 4.6 | 148,775,062 | |
Semiconductors & Semiconductor Equipment | 4.2 | 136,104,851 | |
Hotels, Restaurants & Leisure | 3.7 | 119,290,166 | |
Machinery | 3.6 | 116,887,805 | |
Beverages | 3.0 | 97,248,346 | |
Software | 2.8 | 90,066,462 | |
Insurance | 2.5 | 83,130,312 | |
Aerospace & Defense | 2.5 | 81,560,645 | |
Capital Markets | 2.5 | 81,354,099 | |
Real Estate Management & Development | 2.3 | 76,054,952 | |
Media | 2.3 | 74,830,131 | |
Containers & Packaging | 2.2 | 72,989,484 | |
Technology Hardware, Storage & Peripherals | 2.2 | 72,502,874 | |
Electrical Equipment | 1.9 | 60,823,016 | |
Household Products | 1.4 | 47,168,883 | |
Life Sciences Tools & Services | 1.3 | 42,735,760 | |
Multi-line Retail | 1.2 | 40,381,709 | |
Entertainment | 1.2 | 38,251,749 | |
Building Products | 1.2 | 37,730,437 | |
Communications Equipment | 1.1 | 37,309,565 | |
Industrial Conglomerates | 1.1 | 35,452,815 | |
Consumer Finance | 1.0 | 34,087,995 | |
Air Freight & Logistics | 0.9 | 30,804,902 | |
Airlines | 0.9 | 29,438,701 | |
Food & Staples Retailing | 0.8 | 26,426,885 | |
Internet & Direct Marketing Retail | 0.8 | 26,322,487 | |
Food Products | 0.7 | 22,562,767 | |
Oil, Gas & Consumable Fuels | 0.5 | 17,705,018 | |
Chemicals | 0.5 | 16,639,875 | |
Metals & Mining | 0.5 | 15,840,000 | |
Tobacco | 0.5 | 15,776,617 | |
Professional Services | 0.5 | 15,700,947 | |
Equity Real Estate Investment Trusts | 0.5 | 15,299,670 | |
TOTAL COMMON STOCKS | 99.9% | $3,262,181,043 | |
REPURCHASE AGREEMENT | 0.2 | 5,820,133 | |
TOTAL INVESTMENTS | 100.1% | $3,268,001,176 |
60 |
Shares | Value | ||
COMMON STOCKS* — 98.8% | |||
Airlines — 1.0% | |||
329 | Delta Air Lines, Inc. | $19,177 | |
Automobiles — 0.5% | |||
1,018 | Ford Motor Co. | 10,638 | |
Banks — 12.2% | |||
1,429 | Bank of America Corp. | 43,699 | |
506 | Citigroup, Inc. | 35,774 | |
1,039 | Citizens Financial Group, Inc. | 37,612 | |
245 | Comerica, Inc. | 19,255 | |
353 | JPMorgan Chase & Co. | 40,966 | |
511 | KeyCorp | 8,968 | |
630 | SunTrust Banks, Inc. | 41,252 | |
359 | Zions Bancorp N.A. | 17,709 | |
245,235 | |||
Biotechnology — 2.5% | |||
66 | Amgen, Inc. | 11,835 | |
581 | Gilead Sciences, Inc. | 37,788 | |
49,623 | |||
Building Products — 1.0% | |||
506 | Masco Corp. | 19,764 | |
Capital Markets — 3.3% | |||
279 | Ameriprise Financial, Inc. | 40,949 | |
484 | E*TRADE Financial Corp. | 24,519 | |
65,468 | |||
Chemicals — 0.5% | |||
94 | Celanese Corp. | 10,142 | |
Communications Equipment — 1.8% | |||
354 | Cisco Systems, Inc. | 19,806 | |
583 | Juniper Networks, Inc. | 16,190 | |
35,996 | |||
Consumer Finance — 3.5% | |||
997 | Ally Financial, Inc. | 29,621 | |
1,196 | Synchrony Financial | 41,465 | |
71,086 | |||
Containers & Packaging — 2.5% | |||
825 | International Paper Co. | 38,618 | |
312 | WestRock Co. | 11,975 | |
50,593 | |||
Diversified Consumer Services — 1.0% | |||
731 | H&R Block, Inc.1 | 19,891 | |
Diversified Telecommunication Services — 2.7% | |||
887 | AT&T, Inc. | 27,461 | |
2,278 | CenturyLink, Inc. | 26,015 | |
53,476 | |||
Electric Utilities — 2.2% | |||
872 | Exelon Corp. | 44,428 | |
Electrical Equipment — 1.9% | |||
470 | Eaton Corp. PLC | 38,925 |
61 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Energy Equipment & Services — 0.8% | |||
695 | Baker Hughes a GE Co. | $16,694 | |
Equity Real Estate Investment Trusts — 3.2% | |||
180 | Apartment Investment & Management Co. - Class A | 8,885 | |
1,892 | Host Hotels & Resorts, Inc. | 36,402 | |
235 | Prologis, Inc. | 18,017 | |
63,304 | |||
Food & Staples Retailing — 1.8% | |||
1,382 | Kroger Co. (The) | 35,628 | |
Food Products — 3.7% | |||
339 | Conagra Brands, Inc. | 10,434 | |
391 | General Mills, Inc. | 20,125 | |
593 | Tyson Foods, Inc. - Class A | 44,481 | |
75,040 | |||
Health Care Providers & Services — 8.0% | |||
129 | Anthem, Inc. | 33,931 | |
616 | Cardinal Health, Inc. | 30,005 | |
178 | Centene Corp.2 | 9,178 | |
464 | CVS Health Corp. | 25,232 | |
183 | DaVita, Inc.2 | 10,109 | |
318 | Henry Schein, Inc.2 | 20,371 | |
270 | McKesson Corp. | 32,198 | |
161,024 | |||
Household Products — 2.0% | |||
376 | Procter & Gamble Co. (The) | 40,037 | |
Independent Power & Renewable Electricity Producer — 1.3% | |||
1,507 | AES Corp. | 25,800 | |
Insurance — 5.8% | |||
320 | Hartford Financial Services Group, Inc. (The) | 16,739 | |
400 | Lincoln National Corp. | 26,688 | |
741 | MetLife, Inc. | 34,182 | |
194 | Prudential Financial, Inc. | 20,508 | |
503 | Unum Group | 18,571 | |
116,688 | |||
IT Services — 1.1% | |||
86 | Amdocs, Ltd. | 4,737 | |
130 | International Business Machines Corp. | 18,235 | |
22,972 | |||
Machinery — 4.2% | |||
118 | Cummins, Inc. | 19,622 | |
334 | Ingersoll-Rand PLC | 40,952 | |
136 | Parker-Hannifin Corp. | 24,627 | |
85,201 | |||
Media — 3.8% | |||
702 | Comcast Corp. - Class A | 30,558 | |
723 | Discovery, Inc. - Class C2 | 20,794 | |
312 | Omnicom Group, Inc. | 24,969 | |
76,321 | |||
Metals & Mining — 2.4% | |||
526 | Nucor Corp. | 30,019 |
62 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Metals & Mining — (Continued) | |||
583 | Steel Dynamics, Inc. | $18,469 | |
48,488 | |||
Multi-line Retail — 0.4% | |||
125 | Kohl’s Corp. | 8,888 | |
Multi-Utilities — 2.8% | |||
252 | Ameren Corp. | 18,338 | |
1,241 | CenterPoint Energy, Inc. | 38,471 | |
56,809 | |||
Oil, Gas & Consumable Fuels — 8.4% | |||
293 | Chevron Corp. | 35,178 | |
586 | ConocoPhillips | 36,988 | |
818 | Marathon Oil Corp. | 13,939 | |
574 | Marathon Petroleum Corp. | 34,939 | |
88 | Phillips 66 | 8,296 | |
437 | Valero Energy Corp. | 39,618 | |
168,958 | |||
Pharmaceuticals — 4.3% | |||
224 | Allergan PLC | 32,928 | |
864 | Bristol-Myers Squibb Co. | 40,116 | |
96 | Jazz Pharmaceuticals PLC2 | 12,458 | |
85,502 | |||
Real Estate Management & Development — 2.0% | |||
771 | CBRE Group, Inc. - Class A2 | 40,146 | |
Semiconductors & Semiconductor Equipment — 3.7% | |||
632 | Intel Corp. | 32,257 | |
391 | NXP Semiconductors N.V. | 41,298 | |
73,555 | |||
Specialty Retail — 0.5% | |||
136 | Best Buy Co., Inc. | 10,120 | |
Technology Hardware, Storage & Peripherals — 1.6% | |||
2,004 | Hewlett Packard Enterprise Co. | 31,683 | |
Textiles, Apparel & Luxury Goods — 0.4% | |||
203 | Capri Holdings, Ltd. | 8,948 | |
TOTAL COMMON STOCKS (Cost $1,877,562) | 1,986,248 | ||
TOTAL INVESTMENTS (Cost $1,877,562) | 98.8% | $1,986,248 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 1.2 | 24,656 | |
NET ASSETS | 100.0% | $2,010,904 |
* | Percentages indicated are based on net assets. |
1 | Securities or partial securities on loan. See Note 1. |
2 | Non income-producing security. |
63 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 12.2% | $245,235 | |
Oil, Gas & Consumable Fuels | 8.4 | 168,958 | |
Health Care Providers & Services | 8.0 | 161,024 | |
Insurance | 5.8 | 116,688 | |
Pharmaceuticals | 4.3 | 85,502 | |
Machinery | 4.2 | 85,201 | |
Media | 3.8 | 76,321 | |
Food Products | 3.7 | 75,040 | |
Semiconductors & Semiconductor Equipment | 3.7 | 73,555 | |
Consumer Finance | 3.5 | 71,086 | |
Capital Markets | 3.3 | 65,468 | |
Equity Real Estate Investment Trusts | 3.2 | 63,304 | |
Multi-Utilities | 2.8 | 56,809 | |
Diversified Telecommunication Services | 2.7 | 53,476 | |
Containers & Packaging | 2.5 | 50,593 | |
Biotechnology | 2.5 | 49,623 | |
Metals & Mining | 2.4 | 48,488 | |
Electric Utilities | 2.2 | 44,428 | |
Real Estate Management & Development | 2.0 | 40,146 | |
Household Products | 2.0 | 40,037 | |
Electrical Equipment | 1.9 | 38,925 | |
Communications Equipment | 1.8 | 35,996 | |
Food & Staples Retailing | 1.8 | 35,628 | |
Technology Hardware, Storage & Peripherals | 1.6 | 31,683 | |
Independent Power & Renewable Electricity Producer | 1.3 | 25,800 | |
IT Services | 1.1 | 22,972 | |
Diversified Consumer Services | 1.0 | 19,891 | |
Building Products | 1.0 | 19,764 | |
Airlines | 1.0 | 19,177 | |
Energy Equipment & Services | 0.8 | 16,694 | |
Automobiles | 0.5 | 10,638 | |
Chemicals | 0.5 | 10,142 | |
Specialty Retail | 0.5 | 10,120 | |
Textiles, Apparel & Luxury Goods | 0.4 | 8,948 | |
Multi-line Retail | 0.4 | 8,888 | |
TOTAL COMMON STOCKS | 98.8% | $1,986,248 | |
TOTAL INVESTMENTS | 98.8% | $1,986,248 |
64 |
Shares | Value | ||
COMMON STOCKS* — 99.5% | |||
Auto Components — 0.8% | |||
601 | Dana, Inc. | $11,719 | |
Banks — 9.9% | |||
256 | BancorpSouth Bank | 7,803 | |
632 | Cadence BanCorp | 14,378 | |
199 | Cathay General Bancorp | 7,321 | |
178 | Community Trust Bancorp, Inc. | 7,521 | |
181 | Eagle Bancorp, Inc.1 | 10,002 | |
300 | Financial Institutions, Inc. | 8,250 | |
1,042 | First BanCorp | 11,775 | |
149 | Great Southern Bancorp, Inc. | 8,635 | |
324 | Great Western Bancorp, Inc. | 11,395 | |
287 | Hancock Whitney Corp. | 12,553 | |
978 | Investors Bancorp, Inc. | 11,491 | |
238 | NBT Bancorp, Inc. | 9,049 | |
237 | Preferred Bank/Los Angeles CA | 11,658 | |
186 | Renasant Corp. | 6,744 | |
138,575 | |||
Biotechnology — 5.8% | |||
646 | Acorda Therapeutics, Inc.1 | 6,751 | |
1,704 | Akebia Therapeutics, Inc.1,2 | 10,292 | |
296 | Anika Therapeutics, Inc.1 | 9,427 | |
888 | Flexion Therapeutics, Inc.1,2 | 9,413 | |
168 | Genomic Health, Inc.1 | 10,807 | |
93 | Ligand Pharmaceuticals, Inc.1,2 | 11,704 | |
997 | MacroGenics, Inc.1 | 16,720 | |
120 | REGENXBIO, Inc.1,2 | 6,048 | |
81,162 | |||
Building Products — 1.5% | |||
110 | Continental Building Products, Inc.1 | 2,821 | |
260 | Gibraltar Industries, Inc.1 | 10,314 | |
662 | NCI Building Systems, Inc.1 | 3,787 | |
291 | PGT Innovations, Inc.1 | 4,266 | |
21,188 | |||
Capital Markets — 1.0% | |||
461 | Federated Investors, Inc. - Class B | 14,167 | |
Chemicals — 2.9% | |||
165 | AdvanSix, Inc.1 | 4,988 | |
157 | Innospec, Inc. | 13,317 | |
370 | PolyOne Corp. | 10,227 | |
128 | Stepan Co. | 11,845 | |
40,377 | |||
Commercial Services & Supplies — 1.1% | |||
1,602 | ACCO Brands Corp. | 14,642 | |
Communications Equipment — 1.2% | |||
313 | Plantronics, Inc. | 16,113 | |
Diversified Consumer Services — 2.7% | |||
236 | Adtalem Global Education, Inc.1 | 11,640 | |
629 | K12, Inc.1 | 18,945 | |
164 | Sotheby’s1,2 | 6,918 | |
37,503 |
65 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electric Utilities — 1.3% | |||
124 | ALLETE, Inc. | $10,100 | |
169 | Otter Tail Corp. | 8,669 | |
18,769 | |||
Electrical Equipment — 1.9% | |||
570 | Atkore International Group, Inc.1 | 14,113 | |
207 | Encore Wire Corp. | 12,273 | |
26,386 | |||
Electronic Equipment, Instruments & Components — 4.4% | |||
266 | Fabrinet1 | 16,098 | |
202 | Insight Enterprises, Inc.1 | 11,429 | |
128 | OSI Systems, Inc.1 | 11,537 | |
352 | Sanmina Corp.1 | 11,940 | |
754 | TTM Technologies, Inc.1 | 9,983 | |
60,987 | |||
Energy Equipment & Services — 1.6% | |||
517 | Matrix Service Co.1 | 10,139 | |
1,536 | McDermott International, Inc.1,2 | 12,426 | |
22,565 | |||
Equity Real Estate Investment Trusts — 6.9% | |||
508 | CareTrust REIT, Inc. | 12,319 | |
288 | Chesapeake Lodging Trust | 8,208 | |
104 | EastGroup Properties, Inc. | 11,890 | |
246 | First Industrial Realty Trust, Inc. | 8,676 | |
300 | GEO Group, Inc. (The) | 6,006 | |
100 | LTC Properties, Inc. | 4,506 | |
420 | National Storage Affiliates Trust | 12,289 | |
410 | STAG Industrial, Inc. | 11,800 | |
550 | Sunstone Hotel Investors, Inc. | 7,920 | |
278 | Terreno Realty Corp. | 12,413 | |
96,027 | |||
Food & Staples Retailing — 0.9% | |||
322 | Performance Food Group Co.1 | 13,186 | |
Food Products — 0.5% | |||
480 | Hostess Brands, Inc.1 | 6,432 | |
Health Care Equipment & Supplies — 4.1% | |||
1,388 | Accuray, Inc.1 | 5,746 | |
168 | Avanos Medical, Inc.1 | 7,048 | |
129 | CONMED Corp. | 10,324 | |
1,645 | Invacare Corp. | 12,173 | |
198 | Orthofix Medical, Inc.1 | 10,848 | |
662 | Oxford Immunotec Global PLC1 | 10,744 | |
56,883 | |||
Health Care Providers & Services — 2.3% | |||
151 | Addus HomeCare Corp.1 | 10,253 | |
782 | Select Medical Holdings Corp.1 | 11,237 | |
504 | Tenet Healthcare Corp.1 | 11,038 | |
32,528 | |||
Hotels, Restaurants & Leisure — 1.6% | |||
531 | Bloomin’ Brands, Inc. | 10,615 |
66 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Hotels, Restaurants & Leisure — (Continued) | |||
527 | Penn National Gaming, Inc.1 | $11,420 | |
22,035 | |||
Household Products — 0.8% | |||
466 | Central Garden & Pet Co. - Class A1 | 11,408 | |
Independent Power & Renewable Electricity Producer — 0.7% | |||
624 | Clearway Energy, Inc. - Class C | 9,903 | |
Insurance — 3.2% | |||
381 | American Equity Investment Life Holding Co. | 11,205 | |
190 | AMERISAFE, Inc. | 11,252 | |
627 | CNO Financial Group, Inc. | 10,377 | |
261 | Employers Holdings, Inc. | 11,202 | |
44,036 | |||
Interactive Media & Service — 0.7% | |||
1,871 | Meet Group, Inc. (The)1 | 10,403 | |
IT Services — 4.0% | |||
470 | Cardtronics PLC - Class A1 | 16,807 | |
163 | ManTech International Corp. - Class A | 10,104 | |
887 | NIC, Inc. | 15,310 | |
473 | Perficient, Inc.1 | 13,925 | |
56,146 | |||
Machinery — 6.8% | |||
208 | Barnes Group, Inc. | 11,569 | |
356 | Columbus McKinnon Corp. | 14,012 | |
526 | Harsco Corp.1 | 11,909 | |
533 | Meritor, Inc.1 | 12,930 | |
445 | Rexnord Corp.1 | 12,727 | |
301 | SPX FLOW, Inc.1 | 10,818 | |
803 | Wabash National Corp. | 12,109 | |
110 | Watts Water Technologies, Inc. - Class A | 9,415 | |
95,489 | |||
Media — 1.6% | |||
419 | Gray Television, Inc.1 | 9,817 | |
758 | TEGNA, Inc. | 12,068 | |
21,885 | |||
Metals & Mining — 0.2% | |||
28 | Kaiser Aluminum Corp. | 2,755 | |
Mortgage Real Estate Investment Trusts — 2.9% | |||
802 | Arbor Realty Trust, Inc.2 | 10,956 | |
1,173 | Dynex Capital, Inc.2 | 7,155 | |
691 | Invesco Mortgage Capital, Inc. | 11,277 | |
557 | PennyMac Mortgage Investment Trust | 11,697 | |
41,085 | |||
Multi-Utilities — 0.9% | |||
166 | Black Hills Corp. | 12,078 | |
Oil, Gas & Consumable Fuels — 2.4% | |||
249 | Delek US Holdings, Inc. | 9,228 | |
1,558 | SRC Energy, Inc.1 | 9,581 | |
461 | World Fuel Services Corp. | 14,222 | |
33,031 |
67 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Paper & Forest Products — 2.5% | |||
429 | Boise Cascade Co. | $11,879 | |
457 | Louisiana-Pacific Corp. | 11,448 | |
792 | Mercer International, Inc. | 11,215 | |
34,542 | |||
Pharmaceuticals — 1.7% | |||
583 | Horizon Pharma PLC1 | 14,884 | |
586 | Mallinckrodt PLC1,2 | 9,060 | |
23,944 | |||
Professional Services — 2.4% | |||
150 | FTI Consulting, Inc.1 | 12,747 | |
260 | Korn Ferry | 12,225 | |
345 | Navigant Consulting, Inc. | 7,877 | |
32,849 | |||
Real Estate Management & Development — 0.9% | |||
294 | Marcus & Millichap, Inc.1 | 12,671 | |
Road & Rail — 0.4% | |||
199 | ArcBest Corp. | 6,081 | |
Semiconductors & Semiconductor Equipment — 2.9% | |||
80 | Cabot Microelectronics Corp. | 10,100 | |
646 | Cohu, Inc. | 9,580 | |
256 | Diodes, Inc.1 | 9,323 | |
489 | Xperi Corp. | 12,152 | |
41,155 | |||
Software — 1.9% | |||
217 | Verint Systems, Inc.1 | 13,105 | |
1,729 | Zix Corp.1 | 14,091 | |
27,196 | |||
Specialty Retail — 3.2% | |||
416 | American Eagle Outfitters, Inc. | 9,893 | |
200 | Boot Barn Holdings, Inc.1 | 5,758 | |
568 | MarineMax, Inc.1 | 9,821 | |
1,363 | Party City Holdco, Inc.1,2 | 9,132 | |
296 | Shoe Carnival, Inc.2 | 10,555 | |
45,159 | |||
Textiles, Apparel & Luxury Goods — 1.5% | |||
110 | Deckers Outdoor Corp.1 | 17,403 | |
90 | Movado Group, Inc. | 3,209 | |
20,612 | |||
Thrifts & Mortgage Finance — 3.4% | |||
725 | Meridian Bancorp, Inc. | 12,485 | |
531 | Northwest Bancshares, Inc. | 9,255 | |
469 | Provident Financial Services, Inc. | 12,438 | |
569 | Radian Group, Inc. | 13,326 | |
47,504 | |||
Trading Companies & Distributors — 1.2% | |||
494 | NOW, Inc.1 | 7,222 | |
210 | Rush Enterprises, Inc. - Class A | 8,906 | |
16,128 |
68 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Water Utilities — 0.5% | |||
113 | SJW Group | $7,013 | |
Wireless Telecommunication Services — 0.4% | |||
141 | Shenandoah Telecommunications Co. | 5,828 | |
TOTAL COMMON STOCKS (Cost $1,264,756) | 1,390,145 | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 4.5% | |||
62,577 | State Street Navigator Securities Lending Government Money Market Portfolio | 62,577 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $62,577) | 62,577 | ||
TOTAL INVESTMENTS (Cost $1,327,333) | 104.0% | $1,452,722 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (4.0) | (56,507) | |
NET ASSETS | 100.0% | $1,396,215 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
69 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 9.9% | $138,575 | |
Equity Real Estate Investment Trusts | 6.9 | 96,027 | |
Machinery | 6.8 | 95,489 | |
Biotechnology | 5.8 | 81,162 | |
Electronic Equipment, Instruments & Components | 4.4 | 60,987 | |
Health Care Equipment & Supplies | 4.1 | 56,883 | |
IT Services | 4.0 | 56,146 | |
Thrifts & Mortgage Finance | 3.4 | 47,504 | |
Specialty Retail | 3.2 | 45,159 | |
Insurance | 3.2 | 44,036 | |
Semiconductors & Semiconductor Equipment | 2.9 | 41,155 | |
Mortgage Real Estate Investment Trusts | 2.9 | 41,085 | |
Chemicals | 2.9 | 40,377 | |
Diversified Consumer Services | 2.7 | 37,503 | |
Paper & Forest Products | 2.5 | 34,542 | |
Oil, Gas & Consumable Fuels | 2.4 | 33,031 | |
Professional Services | 2.4 | 32,849 | |
Health Care Providers & Services | 2.3 | 32,528 | |
Software | 1.9 | 27,196 | |
Electrical Equipment | 1.9 | 26,386 | |
Pharmaceuticals | 1.7 | 23,944 | |
Energy Equipment & Services | 1.6 | 22,565 | |
Hotels, Restaurants & Leisure | 1.6 | 22,035 | |
Media | 1.6 | 21,885 | |
Building Products | 1.5 | 21,188 | |
Textiles, Apparel & Luxury Goods | 1.5 | 20,612 | |
Electric Utilities | 1.3 | 18,769 | |
Trading Companies & Distributors | 1.2 | 16,128 | |
Communications Equipment | 1.2 | 16,113 | |
Commercial Services & Supplies | 1.1 | 14,642 | |
Capital Markets | 1.0 | 14,167 | |
Food & Staples Retailing | 0.9 | 13,186 | |
Real Estate Management & Development | 0.9 | 12,671 | |
Multi-Utilities | 0.9 | 12,078 | |
Auto Components | 0.8 | 11,719 | |
Household Products | 0.8 | 11,408 | |
Interactive Media & Service | 0.7 | 10,403 | |
Independent Power & Renewable Electricity Producer | 0.7 | 9,903 | |
Water Utilities | 0.5 | 7,013 | |
Food Products | 0.5 | 6,432 | |
Road & Rail | 0.4 | 6,081 | |
Wireless Telecommunication Services | 0.4 | 5,828 | |
Metals & Mining | 0.2 | 2,755 | |
TOTAL COMMON STOCKS | 99.5% | $1,390,145 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 4.5 | 62,577 | |
TOTAL INVESTMENTS | 104.0% | $1,452,722 |
70 |
Shares | Value | ||
COMMON STOCKS* — 99.4% | |||
Japan — 23.6% | |||
278,601 | Astellas Pharma, Inc., Unsponsored ADR | $3,694,249 | |
190,155 | Daito Trust Construction Co., Ltd., Sponsored ADR1 | 6,357,832 | |
133,125 | Daiwa House Industry Co., Ltd., Unsponsored ADR1 | 3,736,153 | |
101,696 | FUJIFILM Holdings Corp., Unsponsored ADR1 | 4,754,796 | |
93,908 | Hitachi, Ltd., ADR | 6,256,621 | |
55,781 | Honda Motor Co., Ltd., Sponsored ADR1 | 1,555,732 | |
75,476 | Hoya Corp., Sponsored ADR | 5,328,606 | |
205,652 | ITOCHU Corp., Unsponsored ADR1 | 7,452,829 | |
190,048 | Japan Tobacco, Inc., Unsponsored ADR | 2,174,149 | |
77,716 | Mitsubishi Corp., Sponsored ADR1 | 4,270,106 | |
9,170 | Mitsui & Co., Ltd., Sponsored ADR1 | 2,959,709 | |
310,743 | Nikon Corp., Unsponsored ADR1 | 4,342,633 | |
99,117 | Nippon Telegraph & Telephone Corp., ADR1 | 4,133,179 | |
135,128 | Shionogi & Co, Ltd., Unsponsored ADR1 | 1,975,571 | |
95,693 | Suntory Beverage & Food, Ltd., Unsponsored ADR | 2,110,988 | |
82,306 | Tokyo Electron, Ltd., Unsponsored ADR1 | 3,207,876 | |
35,863 | Toyota Motor Corp., Sponsored ADR | 4,432,667 | |
68,743,696 | |||
United Kingdom — 15.9% | |||
64,088 | Ashtead Group PLC, Unsponsored ADR | 7,155,425 | |
32,847 | BP PLC, Sponsored ADR | 1,436,399 | |
113,032 | BT Group PLC, Sponsored ADR1 | 1,705,653 | |
108,063 | GlaxoSmithKline PLC, Sponsored ADR | 4,444,631 | |
146,353 | Imperial Brands PLC, Sponsored ADR | 4,683,296 | |
207,105 | J Sainsbury PLC, Sponsored ADR1 | 2,423,128 | |
368,528 | Legal & General Group PLC, Sponsored ADR | 6,808,555 | |
44,181 | National Grid PLC, Sponsored ADR | 2,417,584 | |
199,665 | Pearson PLC, Sponsored ADR1 | 2,164,369 | |
111,537 | Smith & Nephew PLC, Sponsored ADR | 4,355,520 | |
42,654 | Unilever N.V. | 2,580,994 | |
50,858 | Unilever PLC, Sponsored ADR | 3,092,166 | |
51,039 | WPP PLC, Sponsored ADR1 | 3,179,730 | |
46,447,450 | |||
France — 13.1% | |||
70,367 | Arkema SA, Sponsored ADR | 7,266,800 | |
98,597 | Atos SE, Unsponsored ADR1 | 2,029,619 | |
172,534 | BNP Paribas SA, ADR | 4,596,306 | |
73,928 | Cie Generale des Etablissements Michelin SCA, Unsponsored ADR | 1,912,887 | |
241,044 | Danone SA, Sponsored ADR | 3,909,734 | |
299,348 | Engie SA, Sponsored ADR | 4,430,350 | |
82,888 | Peugeot SA, Unsponsored ADR | 2,157,575 | |
106,751 | Renault SA, Unsponsored ADR | 1,457,151 | |
192,299 | Sodexo SA, Sponsored ADR1 | 4,428,646 | |
104,567 | Total SA, Sponsored ADR | 5,821,245 | |
38,010,313 | |||
Germany — 9.9% | |||
34,374 | adidas AG, Sponsored ADR | 4,418,434 | |
243,995 | Allianz SE, Sponsored ADR | 5,885,160 | |
284,021 | Deutsche Lufthansa AG, Sponsored ADR | 6,847,746 | |
113,208 | HeidelbergCement AG, Unsponsored ADR | 1,832,272 | |
223,752 | Muenchener Rueckversicherungs-Gesellschaft AG, Unsponsored ADR2 | 5,526,674 | |
73,440 | Siemens AG, Sponsored ADR | 4,406,400 | |
28,916,686 |
71 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Australia — 6.9% | |||
73,547 | Macquarie Group, Ltd., ADR | $6,989,171 | |
100,320 | Newcrest Mining, Ltd., Sponsored ADR1 | 1,774,661 | |
336,168 | QBE Insurance Group, Ltd., Sponsored ADR1 | 3,089,384 | |
460,112 | South32, Ltd., ADR | 5,392,513 | |
153,048 | Westpac Banking Corp., Sponsored ADR1 | 2,985,966 | |
20,231,695 | |||
Switzerland — 5.8% | |||
9,822 | Alcon, Inc.1,2 | 571,641 | |
178,789 | LafargeHolcim, Ltd., Unsponsored ADR1 | 1,835,269 | |
49,114 | Novartis AG, Sponsored ADR | 4,038,644 | |
184,271 | Roche Holding AG, Sponsored ADR | 6,091,999 | |
137,643 | Zurich Insurance Group AG, ADR1 | 4,389,435 | |
16,926,988 | |||
Netherlands — 5.6% | |||
344,934 | ING Groep N.V., Sponsored ADR | 4,401,358 | |
219,440 | Koninklijke Ahold Delhaize N.V., Sponsored ADR1 | 5,286,309 | |
86,000 | Koninklijke DSM N.V., Sponsored ADR | 2,456,590 | |
26,911 | Royal Dutch Shell PLC - Class B, Sponsored ADR1 | 1,746,255 | |
32,750 | Wolters Kluwer N.V., Sponsored ADR | 2,289,225 | |
16,179,737 | |||
Hong Kong — 3.3% | |||
170,372 | Sun Hung Kai Properties, Ltd., Sponsored ADR | 2,951,695 | |
285,459 | WH Group, Ltd., Sponsored ADR | 6,759,669 | |
9,711,364 | |||
Italy — 3.1% | |||
278,561 | Intesa Sanpaolo SPA, Sponsored ADR | 4,381,764 | |
139,302 | Mediobanca Banca di Credito Finanziario SPA, Unsponsored ADR | 1,475,905 | |
172,674 | Terna Rete Elettrica Nazionale SPA, Unsponsored ADR | 3,105,542 | |
8,963,211 | |||
Spain — 3.0% | |||
162,338 | ACS Actividades de Construccion y Servicios SA, Unsponsored ADR2 | 1,488,640 | |
137,361 | Red Electrica Corp. SA, Unsponsored ADR | 1,457,400 | |
220,134 | Repsol SA, Sponsored ADR1 | 3,744,479 | |
243,548 | Telefonica SA, Sponsored ADR1 | 2,021,449 | |
8,711,968 | |||
Sweden — 3.0% | |||
432,822 | Skandinaviska Enskilda Banken AB, ADR | 4,146,435 | |
239,427 | SKF AB, Sponsored ADR1 | 4,465,313 | |
8,611,748 | |||
Singapore — 2.4% | |||
55,108 | DBS Group Holdings, Ltd., Sponsored ADR | 4,597,661 | |
28,422 | Singapore Exchange, Ltd., Unsponsored ADR | 2,318,951 | |
6,916,612 | |||
Finland — 2.3% | |||
233,889 | UPM-Kymmene OYJ, Sponsored ADR | 6,599,178 | |
Norway — 1.5% | |||
195,331 | Equinor ASA, Sponsored ADR | 4,334,395 | |
TOTAL COMMON STOCKS (Cost $263,455,787) | 289,305,041 |
72 |
Shares | Value | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 6.0% | |||
17,672,110 | State Street Navigator Securities Lending Government Money Market Portfolio | $17,672,110 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $17,672,110) | 17,672,110 | ||
Face Amount | |||
REPURCHASE AGREEMENT*—0.4% | |||
$1,087,710 | With Fixed Income Clearing Corp., dated 4/30/19, 0.50%, principal and interest in the amount of $1,087,725, due 5/1/19, (collateralized by a U.S. Treasury Note with a par value of $1,095,000, coupon rate of 2.750%, due 11/30/2020, market value of $1,114,455) | 1,087,710 | |
TOTAL REPURCHASE AGREEMENT (Cost $1,087,710) | 1,087,710 | ||
TOTAL INVESTMENTS (Cost $282,215,607) | 105.8% | $308,064,861 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (5.8) | (16,964,415) | |
NET ASSETS | 100.0% | $291,100,446 |
* | Percentages indicated are based on net assets. |
1 | Securities or partial securities on loan. See Note 1. |
2 | Non income-producing security. |
Abbreviatons: |
ADR — American Depositary Receipt |
73 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 9.1% | $26,585,395 | |
Insurance | 8.8 | 25,699,208 | |
Trading Companies & Distributors | 7.5 | 21,838,069 | |
Pharmaceuticals | 7.0 | 20,245,095 | |
Oil, Gas & Consumable Fuels | 5.9 | 17,082,773 | |
Real Estate Management & Development | 4.5 | 13,045,680 | |
Food Products | 3.7 | 10,669,403 | |
Health Care Equipment & Supplies | 3.5 | 10,255,766 | |
Chemicals | 3.3 | 9,723,390 | |
Automobiles | 3.3 | 9,603,125 | |
Capital Markets | 3.2 | 9,308,122 | |
Diversified Telecommunication Services | 2.7 | 7,860,280 | |
Food & Staples Retailing | 2.6 | 7,709,438 | |
Metals & Mining | 2.5 | 7,167,173 | |
Tobacco | 2.4 | 6,857,445 | |
Multi-Utilities | 2.4 | 6,847,935 | |
Airlines | 2.4 | 6,847,746 | |
Paper & Forest Products | 2.3 | 6,599,178 | |
Electronic Equipment, Instruments & Components | 2.1 | 6,256,621 | |
Personal Products | 1.9 | 5,673,160 | |
Media | 1.8 | 5,344,098 | |
Technology Hardware, Storage & Peripherals | 1.6 | 4,754,797 | |
Electric Utilities | 1.6 | 4,562,942 | |
Machinery | 1.5 | 4,465,314 | |
Hotels, Restaurants & Leisure | 1.5 | 4,428,646 | |
Textiles, Apparel & Luxury Goods | 1.5 | 4,418,434 | |
Industrial Conglomerates | 1.5 | 4,406,400 | |
Household Durables | 1.5 | 4,342,633 | |
Construction Materials | 1.3 | 3,667,541 | |
Semiconductors & Semiconductor Equipment | 1.1 | 3,207,876 | |
Professional Services | 0.8 | 2,289,225 | |
Beverages | 0.7 | 2,110,988 | |
IT Services | 0.7 | 2,029,619 | |
Auto Components | 0.7 | 1,912,887 | |
Construction & Engineering | 0.5 | 1,488,639 | |
TOTAL COMMON STOCKS | 99.4% | $289,305,041 | |
REPURCHASE AGREEMENT | 0.4 | 1,087,710 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 6.0 | 17,672,110 | |
TOTAL INVESTMENTS | 105.8% | $308,064,861 |
74 |
Shares | Value | ||
COMMON STOCKS* — 99.8% | |||
Aerospace & Defense — 2.9% | |||
923 | Boeing Co. (The) | $348,608 | |
1,955 | Raytheon Co. | 347,188 | |
695,796 | |||
Air Freight & Logistics — 1.4% | |||
4,070 | Expeditors International of Washington, Inc. | 323,239 | |
Banks — 6.6% | |||
9,529 | Bank of America Corp. | 291,397 | |
9,307 | Citizens Financial Group, Inc. | 336,913 | |
3,689 | Comerica, Inc. | 289,919 | |
5,294 | Fifth Third Bancorp | 152,573 | |
2,014 | JPMorgan Chase & Co. | 233,725 | |
5,552 | Zions Bancorp N.A.1 | 273,880 | |
1,578,407 | |||
Biotechnology — 3.4% | |||
1,646 | Amgen, Inc. | 295,161 | |
1,042 | Biogen, Inc.2 | 238,868 | |
4,168 | Gilead Sciences, Inc. | 271,087 | |
805,116 | |||
Capital Markets — 2.4% | |||
1,338 | Ameriprise Financial, Inc. | 196,378 | |
1,603 | LPL Financial Holdings, Inc. | 118,766 | |
2,393 | T Rowe Price Group, Inc. | 257,248 | |
572,392 | |||
Chemicals — 2.4% | |||
2,142 | Air Products & Chemicals, Inc. | 440,802 | |
1,112 | Celanese Corp. | 119,974 | |
560,776 | |||
Communications Equipment — 4.4% | |||
7,356 | Cisco Systems, Inc. | 411,568 | |
1,955 | F5 Networks, Inc.2 | 306,740 | |
11,690 | Juniper Networks, Inc. | 324,631 | |
1,042,939 | |||
Construction & Engineering — 0.6% | |||
3,396 | Quanta Services, Inc. | 137,878 | |
Consumer Finance — 3.2% | |||
12,677 | Ally Financial, Inc. | 376,634 | |
3,295 | American Express Co. | 386,273 | |
762,907 | |||
Containers & Packaging — 1.0% | |||
4,879 | International Paper Co. | 228,386 | |
Diversified Consumer Services — 1.2% | |||
10,154 | H&R Block, Inc.1 | 276,290 | |
Diversified Telecommunication Services — 0.5% | |||
3,672 | AT&T, Inc. | 113,685 | |
Electric Utilities — 1.5% | |||
7,009 | Exelon Corp. | 357,109 | |
Electrical Equipment — 0.5% | |||
997 | Hubbell, Inc. | 127,217 |
75 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Energy Equipment & Services — 1.0% | |||
9,415 | TechnipFMC PLC | $231,515 | |
Entertainment — 3.2% | |||
8,250 | Activision Blizzard, Inc. | 397,732 | |
3,760 | Electronic Arts, Inc.2 | 355,884 | |
753,616 | |||
Equity Real Estate Investment Trusts — 1.6% | |||
1,220 | Boston Properties, Inc. | 167,896 | |
11,232 | Host Hotels & Resorts, Inc. | 216,104 | |
384,000 | |||
Food & Staples Retailing — 1.0% | |||
6,706 | US Foods Holding Corp.2 | 245,104 | |
Food Products — 3.6% | |||
7,484 | General Mills, Inc. | 385,201 | |
1,046 | Hershey Co. (The) | 130,593 | |
5,033 | Lamb Weston Holdings, Inc. | 352,562 | |
868,356 | |||
Health Care Providers & Services — 6.7% | |||
975 | Amedisys, Inc.2 | 124,625 | |
2,413 | AmerisourceBergen Corp. | 180,396 | |
898 | Anthem, Inc. | 236,201 | |
4,802 | Cardinal Health, Inc. | 233,905 | |
1,516 | Centene Corp.2 | 78,165 | |
778 | HCA Healthcare, Inc. | 98,985 | |
4,903 | Henry Schein, Inc.1,2 | 314,086 | |
1,295 | Humana, Inc. | 330,756 | |
1,597,119 | |||
Hotels, Restaurants & Leisure — 1.6% | |||
4,810 | Starbucks Corp. | 373,641 | |
Household Products — 1.6% | |||
3,341 | Church & Dwight Co., Inc. | 250,408 | |
1,250 | Procter & Gamble Co. (The) | 133,100 | |
383,508 | |||
Independent Power & Renewable Electricity Producer — 1.6% | |||
21,660 | AES Corp. | 370,819 | |
Industrial Conglomerates — 1.3% | |||
1,830 | Honeywell International, Inc. | 317,743 | |
Insurance — 3.8% | |||
1,855 | Lincoln National Corp. | 123,766 | |
6,937 | Principal Financial Group, Inc. | 396,519 | |
3,720 | Prudential Financial, Inc. | 393,241 | |
913,526 | |||
Interactive Media & Services — 2.1% | |||
315 | Alphabet, Inc. - Class A2 | 377,673 | |
663 | Facebook, Inc. - Class A2 | 128,224 | |
505,897 | |||
IT Services — 7.1% | |||
2,147 | Accenture PLC - Class A | 392,192 | |
707 | Automatic Data Processing, Inc. | 116,224 | |
4,879 | Cognizant Technology Solutions Corp. - Class A | 355,972 |
76 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
IT Services — (Continued) | |||
3,761 | PayPal Holdings, Inc.2 | $424,128 | |
2,401 | Visa, Inc. - Class A | 394,796 | |
1,683,312 | |||
Life Sciences Tools & Services — 1.3% | |||
3,918 | Agilent Technologies, Inc. | 307,563 | |
Machinery — 2.8% | |||
3,829 | Allison Transmission Holdings, Inc. | 179,427 | |
3,098 | Ingersoll-Rand PLC | 379,846 | |
670 | Snap-on, Inc. | 112,747 | |
672,020 | |||
Media — 2.9% | |||
11,136 | Discovery, Inc. - Class C2 | 320,272 | |
4,640 | Omnicom Group, Inc. | 371,339 | |
691,611 | |||
Metals & Mining — 0.9% | |||
3,928 | Nucor Corp. | 224,171 | |
Multi-line Retail — 1.7% | |||
1,645 | Kohl’s Corp. | 116,960 | |
3,848 | Target Corp. | 297,912 | |
414,872 | |||
Oil, Gas & Consumable Fuels — 3.8% | |||
5,295 | ConocoPhillips | 334,220 | |
5,031 | Marathon Petroleum Corp. | 306,237 | |
3,041 | Valero Energy Corp. | 275,697 | |
916,154 | |||
Pharmaceuticals — 2.2% | |||
6,297 | Bristol-Myers Squibb Co. | 292,370 | |
1,200 | Elanco Animal Health, Inc.2 | 37,800 | |
1,687 | Eli Lilly & Co. | 197,446 | |
527,616 | |||
Professional Services — 0.8% | |||
2,901 | Robert Half International, Inc. | 180,123 | |
Real Estate Management & Development — 2.8% | |||
6,816 | CBRE Group, Inc. - Class A2 | 354,909 | |
2,044 | Jones Lang LaSalle, Inc. | 315,941 | |
670,850 | |||
Semiconductors & Semiconductor Equipment — 4.1% | |||
5,842 | Applied Materials, Inc. | 257,457 | |
6,815 | Intel Corp. | 347,838 | |
1,792 | Lam Research Corp. | 371,714 | |
977,009 | |||
Software — 3.3% | |||
1,400 | Citrix Systems, Inc. | 141,344 | |
4,269 | Fortinet, Inc.2 | 398,810 | |
10,592 | Symantec Corp. | 256,432 | |
796,586 | |||
Specialty Retail — 3.9% | |||
17,223 | American Eagle Outfitters, Inc. | 409,563 |
77 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Specialty Retail — (Continued) | |||
4,438 | Best Buy Co., Inc. | $330,231 | |
1,960 | Ross Stores, Inc. | 191,414 | |
931,208 | |||
Technology Hardware, Storage & Peripherals — 1.1% | |||
16,205 | Hewlett Packard Enterprise Co. | 256,201 | |
TOTAL COMMON STOCKS (Cost $20,624,667) | 23,776,277 | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 1.3% | |||
318,695 | State Street Navigator Securities Lending Government Money Market Portfolio | 318,695 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $318,695) | 318,695 | ||
TOTAL INVESTMENTS (Cost $20,943,362) | 101.1% | $24,094,972 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.1) | (268,865) | |
NET ASSETS | 100.0% | $23,826,107 |
* | Percentages indicated are based on net assets. |
1 | Securities or partial securities on loan. See Note 1. |
2 | Non income-producing security. |
78 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
IT Services | 7.1% | $1,683,312 | |
Health Care Providers & Services | 6.7 | 1,597,119 | |
Banks | 6.6 | 1,578,407 | |
Communications Equipment | 4.4 | 1,042,939 | |
Semiconductors & Semiconductor Equipment | 4.1 | 977,009 | |
Specialty Retail | 3.9 | 931,208 | |
Oil, Gas & Consumable Fuels | 3.8 | 916,154 | |
Insurance | 3.8 | 913,526 | |
Food Products | 3.6 | 868,356 | |
Biotechnology | 3.4 | 805,116 | |
Software | 3.3 | 796,586 | |
Consumer Finance | 3.2 | 762,907 | |
Entertainment | 3.2 | 753,616 | |
Aerospace & Defense | 2.9 | 695,796 | |
Media | 2.9 | 691,611 | |
Machinery | 2.8 | 672,020 | |
Real Estate Management & Development | 2.8 | 670,850 | |
Capital Markets | 2.4 | 572,392 | |
Chemicals | 2.4 | 560,776 | |
Pharmaceuticals | 2.2 | 527,616 | |
Interactive Media & Services | 2.1 | 505,897 | |
Multi-line Retail | 1.7 | 414,872 | |
Equity Real Estate Investment Trusts | 1.6 | 384,000 | |
Household Products | 1.6 | 383,508 | |
Hotels, Restaurants & Leisure | 1.6 | 373,641 | |
Independent Power & Renewable Electricity Producer | 1.6 | 370,819 | |
Electric Utilities | 1.5 | 357,109 | |
Air Freight & Logistics | 1.4 | 323,239 | |
Industrial Conglomerates | 1.3 | 317,743 | |
Life Sciences Tools & Services | 1.3 | 307,563 | |
Diversified Consumer Services | 1.2 | 276,290 | |
Technology Hardware, Storage & Peripherals | 1.1 | 256,201 | |
Food & Staples Retailing | 1.0 | 245,104 | |
Energy Equipment & Services | 1.0 | 231,515 | |
Containers & Packaging | 1.0 | 228,386 | |
Metals & Mining | 0.9 | 224,171 | |
Professional Services | 0.8 | 180,123 | |
Construction & Engineering | 0.6 | 137,878 | |
Electrical Equipment | 0.5 | 127,217 | |
Diversified Telecommunication Services | 0.5 | 113,685 | |
TOTAL COMMON STOCKS | 99.8% | $23,776,277 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 1.3 | 318,695 | |
TOTAL INVESTMENTS | 101.1% | $24,094,972 |
79 |
Shares | Value | ||
COMMON STOCKS* — 99.7% | |||
Aerospace & Defense — 2.3% | |||
1,258 | Boeing Co. (The) | $475,134 | |
Airlines — 1.1% | |||
4,214 | Southwest Airlines Co. | 228,525 | |
Banks — 6.4% | |||
10,257 | Bank of America Corp. | 313,659 | |
9,707 | Citizens Financial Group, Inc. | 351,393 | |
2,264 | Comerica, Inc. | 177,928 | |
10,569 | Fifth Third Bancorp | 304,598 | |
1,473 | JPMorgan Chase & Co. | 170,942 | |
1,318,520 | |||
Biotechnology — 4.9% | |||
1,994 | Amgen, Inc. | 357,564 | |
628 | Biogen, Inc.1 | 143,963 | |
5,283 | Celgene Corp.1 | 500,089 | |
1,001,616 | |||
Capital Markets — 3.0% | |||
2,208 | E*TRADE Financial Corp. | 111,857 | |
6,184 | Intercontinental Exchange, Inc. | 503,069 | |
614,926 | |||
Commercial Services & Supplies — 0.5% | |||
1,350 | Republic Services, Inc. | 111,807 | |
Communications Equipment — 4.3% | |||
10,869 | Cisco Systems, Inc. | 608,121 | |
1,758 | F5 Networks, Inc.1 | 275,830 | |
883,951 | |||
Consumer Finance — 2.2% | |||
14,812 | Ally Financial, Inc. | 440,065 | |
Containers & Packaging — 3.0% | |||
8,793 | International Paper Co. | 411,601 | |
3,337 | Sonoco Products Co. | 210,431 | |
622,032 | |||
Diversified Consumer Services — 0.5% | |||
3,516 | H&R Block, Inc.2 | 95,670 | |
Electrical Equipment — 3.6% | |||
6,024 | AMETEK, Inc. | 531,136 | |
2,600 | Eaton Corp. PLC | 215,332 | |
746,468 | |||
Equity Real Estate Investment Trusts — 1.1% | |||
1,234 | Simon Property Group, Inc. | 214,346 | |
Food & Staples Retailing — 1.6% | |||
3,280 | Kroger Co. (The) | 84,558 | |
6,707 | US Foods Holding Corp.1 | 245,141 | |
329,699 | |||
Food Products — 3.1% | |||
6,027 | General Mills, Inc. | 310,210 | |
4,381 | Tyson Foods, Inc. - Class A | 328,619 | |
638,829 |
80 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Gas Utilities — 0.8% | |||
2,833 | UGI Corp. | $154,427 | |
Health Care Equipment & Supplies — 1.2% | |||
1,870 | Varian Medical Systems, Inc.1 | 254,638 | |
Health Care Providers & Services — 5.0% | |||
920 | Anthem, Inc. | 241,988 | |
3,887 | Henry Schein, Inc.1,2 | 249,001 | |
907 | Humana, Inc. | 231,657 | |
2,580 | McKesson Corp. | 307,665 | |
1,030,311 | |||
Hotels, Restaurants & Leisure — 2.5% | |||
6,543 | Starbucks Corp. | 508,260 | |
Household Products — 1.5% | |||
2,951 | Procter & Gamble Co. (The) | 314,222 | |
Industrial Conglomerates — 0.6% | |||
695 | Honeywell International, Inc. | 120,673 | |
Insurance — 4.6% | |||
4,692 | First American Financial Corp. | 267,726 | |
9,502 | MetLife, Inc. | 438,327 | |
4,242 | Principal Financial Group, Inc. | 242,473 | |
948,526 | |||
Interactive Media & Services — 4.9% | |||
346 | Alphabet, Inc. - Class A1 | 414,840 | |
2,993 | Facebook, Inc. - Class A1 | 578,846 | |
993,686 | |||
IT Services — 6.9% | |||
2,564 | Accenture PLC - Class A | 468,366 | |
5,377 | Akamai Technologies, Inc.1 | 430,483 | |
4,517 | PayPal Holdings, Inc.1 | 509,382 | |
1,408,231 | |||
Machinery — 2.1% | |||
3,574 | Ingersoll-Rand PLC | 438,208 | |
Media — 4.0% | |||
13,076 | Comcast Corp. - Class A | 569,198 | |
3,140 | Omnicom Group, Inc. | 251,294 | |
820,492 | |||
Metals & Mining — 1.9% | |||
6,759 | Nucor Corp. | 385,736 | |
Multi-line Retail — 4.0% | |||
5,992 | Kohl’s Corp. | 426,031 | |
4,983 | Target Corp. | 385,784 | |
811,815 | |||
Multi-Utilities — 2.5% | |||
16,402 | CenterPoint Energy, Inc. | 508,462 | |
Oil, Gas & Consumable Fuels — 5.0% | |||
4,626 | ConocoPhillips | 291,993 | |
7,373 | EQT Corp. | 150,778 | |
2,277 | Phillips 66 | 214,653 |
81 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Oil, Gas & Consumable Fuels — (Continued) | |||
4,061 | Valero Energy Corp. | $368,170 | |
1,025,594 | |||
Pharmaceuticals — 1.5% | |||
2,425 | Jazz Pharmaceuticals PLC1 | 314,692 | |
Real Estate Management & Development — 3.1% | |||
9,640 | CBRE Group, Inc. - Class A1 | 501,955 | |
816 | Jones Lang LaSalle, Inc. | 126,129 | |
628,084 | |||
Semiconductors & Semiconductor Equipment — 3.4% | |||
7,988 | Intel Corp. | 407,708 | |
3,321 | Teradyne, Inc. | 162,729 | |
998 | Texas Instruments, Inc. | 117,594 | |
688,031 | |||
Software — 2.8% | |||
847 | Microsoft Corp. | 110,618 | |
3,770 | Oracle Corp. | 208,594 | |
10,877 | Symantec Corp. | 263,332 | |
582,544 | |||
Specialty Retail — 1.1% | |||
2,215 | Ross Stores, Inc. | 216,317 | |
Technology Hardware, Storage & Peripherals — 2.2% | |||
6,057 | NetApp, Inc. | 441,252 | |
Tobacco — 0.5% | |||
1,900 | Altria Group, Inc. | 103,227 | |
TOTAL COMMON STOCKS (Cost $17,689,598) | 20,419,016 | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 1.3% | |||
252,655 | State Street Navigator Securities Lending Government Money Market Portfolio | 252,655 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $252,655) | 252,655 | ||
TOTAL INVESTMENTS (Cost $17,942,253) | 101.0% | $20,671,671 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.0) | (195,204) | |
NET ASSETS | 100.0% | $20,476,467 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
82 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
IT Services | 6.9% | $1,408,231 | |
Banks | 6.4 | 1,318,520 | |
Health Care Providers & Services | 5.0 | 1,030,311 | |
Oil, Gas & Consumable Fuels | 5.0 | 1,025,594 | |
Biotechnology | 4.9 | 1,001,616 | |
Interactive Media & Services | 4.9 | 993,686 | |
Insurance | 4.6 | 948,526 | |
Communications Equipment | 4.3 | 883,951 | |
Media | 4.0 | 820,492 | |
Multi-line Retail | 4.0 | 811,815 | |
Electrical Equipment | 3.6 | 746,468 | |
Semiconductors & Semiconductor Equipment | 3.4 | 688,031 | |
Food Products | 3.1 | 638,829 | |
Real Estate Management & Development | 3.1 | 628,084 | |
Containers & Packaging | 3.0 | 622,032 | |
Capital Markets | 3.0 | 614,926 | |
Software | 2.8 | 582,544 | |
Multi-Utilities | 2.5 | 508,462 | |
Hotels, Restaurants & Leisure | 2.5 | 508,260 | |
Aerospace & Defense | 2.3 | 475,134 | |
Technology Hardware, Storage & Peripherals | 2.2 | 441,252 | |
Consumer Finance | 2.2 | 440,065 | |
Machinery | 2.1 | 438,208 | |
Metals & Mining | 1.9 | 385,736 | |
Food & Staples Retailing | 1.6 | 329,699 | |
Pharmaceuticals | 1.5 | 314,692 | |
Household Products | 1.5 | 314,222 | |
Health Care Equipment & Supplies | 1.2 | 254,638 | |
Airlines | 1.1 | 228,525 | |
Specialty Retail | 1.1 | 216,317 | |
Equity Real Estate Investment Trusts | 1.1 | 214,346 | |
Gas Utilities | 0.8 | 154,427 | |
Industrial Conglomerates | 0.6 | 120,673 | |
Commercial Services & Supplies | 0.5 | 111,807 | |
Tobacco | 0.5 | 103,227 | |
Diversified Consumer Services | 0.5 | 95,670 | |
TOTAL COMMON STOCKS | 99.7% | $20,419,016 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 1.3 | 252,655 | |
TOTAL INVESTMENTS | 101.0% | $20,671,671 |
83 |
Shares | Value | ||
COMMON STOCKS* — 99.5% | |||
Aerospace & Defense — 1.1% | |||
148,260 | Arconic, Inc. | $3,184,625 | |
Air Freight & Logistics — 1.3% | |||
47,980 | Expeditors International of Washington, Inc. | 3,810,572 | |
Airlines — 0.9% | |||
49,520 | Southwest Airlines Co. | 2,685,470 | |
Banks — 5.2% | |||
165,000 | Bank of America Corp.1 | 5,045,700 | |
91,280 | Citizens Financial Group, Inc. | 3,304,336 | |
26,900 | East West Bancorp, Inc. | 1,384,812 | |
51,640 | PacWest Bancorp | 2,042,362 | |
62,476 | Zions Bancorp N.A. | 3,081,941 | |
14,859,151 | |||
Beverages — 1.3% | |||
60,920 | Monster Beverage Corp.2 | 3,630,832 | |
Biotechnology — 0.5% | |||
142,120 | Acorda Therapeutics, Inc.2 | 1,485,154 | |
Capital Markets — 2.0% | |||
61,460 | E*TRADE Financial Corp.1 | 3,113,564 | |
130,700 | Waddell & Reed Financial, Inc. - Class A3 | 2,448,011 | |
5,561,575 | |||
Chemicals — 1.8% | |||
160,700 | Huntsman Corp. | 3,573,968 | |
57,152 | PolyOne Corp. | 1,579,681 | |
5,153,649 | |||
Commercial Services & Supplies — 2.6% | |||
81,500 | Herman Miller, Inc. | 3,163,830 | |
64,540 | Tetra Tech, Inc. | 4,177,029 | |
7,340,859 | |||
Construction & Engineering — 2.7% | |||
49,460 | EMCOR Group, Inc.1 | 4,161,564 | |
158,860 | KBR, Inc. | 3,529,869 | |
7,691,433 | |||
Consumer Finance — 2.7% | |||
311,100 | SLM Corp. | 3,160,776 | |
127,600 | Synchrony Financial | 4,423,892 | |
7,584,668 | |||
Containers & Packaging — 2.3% | |||
159,340 | Owens-Illinois, Inc. | 3,148,559 | |
53,820 | Sonoco Products Co. | 3,393,889 | |
6,542,448 | |||
Distributors — 1.2% | |||
114,020 | LKQ Corp.2 | 3,432,002 | |
Diversified Financial Services — 0.8% | |||
41,080 | Voya Financial, Inc. | 2,254,881 | |
Electric Utilities — 2.1% | |||
71,940 | OGE Energy Corp. | 3,045,940 |
84 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electric Utilities — (Continued) | |||
94,100 | PPL Corp. | $2,936,861 | |
5,982,801 | |||
Electrical Equipment — 2.9% | |||
44,940 | AMETEK, Inc. | 3,962,359 | |
35,300 | EnerSys | 2,442,407 | |
22,560 | Regal Beloit Corp. | 1,919,405 | |
8,324,171 | |||
Electronic Equipment, Instruments & Components — 2.6% | |||
69,180 | Methode Electronics, Inc. | 2,041,502 | |
16,940 | Tech Data Corp.2 | 1,805,973 | |
183,120 | Vishay Intertechnology, Inc. | 3,627,607 | |
7,475,082 | |||
Equity Real Estate Investment Trusts — 6.5% | |||
200,000 | Brixmor Property Group, Inc.3 | 3,576,000 | |
39,760 | EPR Properties1 | 3,135,473 | |
47,380 | Gaming and Leisure Properties, Inc. | 1,913,204 | |
119,980 | Hospitality Properties Trust | 3,119,480 | |
100,220 | Host Hotels & Resorts, Inc. | 1,928,233 | |
98,960 | Park Hotels & Resorts, Inc. | 3,174,637 | |
47,490 | STORE Capital Corp. | 1,582,367 | |
18,429,394 | |||
Food & Staples Retailing — 1.0% | |||
38,480 | Sysco Corp. | 2,707,838 | |
Food Products — 2.0% | |||
77,720 | General Mills, Inc. | 4,000,249 | |
20,940 | Tyson Foods, Inc. - Class A | 1,570,709 | |
5,570,958 | |||
Health Care Providers & Services — 5.5% | |||
41,160 | Amedisys, Inc.1,2 | 5,261,071 | |
66,750 | Cardinal Health, Inc. | 3,251,392 | |
47,920 | Centene Corp.1,2 | 2,470,755 | |
36,520 | Molina Healthcare, Inc.2 | 4,734,088 | |
15,717,306 | |||
Health Care Technology — 1.0% | |||
92,700 | HMS Holdings Corp.1,2 | 2,820,861 | |
Hotels, Restaurants & Leisure — 2.6% | |||
58,580 | Aramark | 1,820,666 | |
84,120 | Bloomin’ Brands, Inc.1 | 1,681,559 | |
44,720 | Hilton Worldwide Holdings, Inc. | 3,890,193 | |
7,392,418 | |||
Household Products — 1.3% | |||
48,020 | Church & Dwight Co., Inc. | 3,599,099 | |
Independent Power & Renewable Electricity Producer — 0.8% | |||
130,000 | AES Corp.1 | 2,225,600 | |
Insurance — 6.0% | |||
36,500 | Aflac, Inc. | 1,838,870 | |
43,700 | CNA Financial Corp. | 2,024,621 | |
37,760 | Hartford Financial Services Group, Inc. (The) | 1,975,226 | |
76,960 | MetLife, Inc. | 3,550,165 |
85 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Insurance — (Continued) | |||
142,040 | Old Republic International Corp. | $3,176,014 | |
24,900 | Prudential Financial, Inc. | 2,632,179 | |
49,500 | Unum Group1 | 1,827,540 | |
17,024,615 | |||
IT Services — 5.8% | |||
28,240 | Akamai Technologies, Inc.2 | 2,260,894 | |
23,580 | Cognizant Technology Solutions Corp. - Class A | 1,720,397 | |
94,693 | Conduent, Inc.1,2 | 1,214,911 | |
18,700 | Euronet Worldwide, Inc.2,3 | 2,802,943 | |
19,460 | FleetCor Technologies, Inc.1,2 | 5,078,087 | |
118,900 | Sykes Enterprises, Inc.2 | 3,299,475 | |
16,376,707 | |||
Life Sciences Tools & Services — 1.3% | |||
26,260 | Agilent Technologies, Inc. | 2,061,410 | |
30,000 | Medpace Holdings, Inc.2 | 1,685,100 | |
3,746,510 | |||
Machinery — 3.8% | |||
47,480 | AGCO Corp.1 | 3,360,634 | |
36,080 | Ingersoll-Rand PLC1 | 4,423,769 | |
17,340 | Snap-on, Inc. | 2,917,975 | |
10,702,378 | |||
Media — 3.9% | |||
76,280 | Comcast Corp. - Class A | 3,320,468 | |
113,420 | Interpublic Group of Cos., Inc. (The) | 2,608,660 | |
129,160 | News Corp. - Class A | 1,604,167 | |
44,580 | Omnicom Group, Inc. | 3,567,738 | |
11,101,033 | |||
Metals & Mining — 1.3% | |||
13,960 | Reliance Steel & Aluminum Co. | 1,283,762 | |
75,192 | Steel Dynamics, Inc. | 2,382,082 | |
3,665,844 | |||
Mortgage Real Estate Investment Trust — 1.1% | |||
417,240 | MFA Financial, Inc. | 3,133,472 | |
Multi-line Retail — 0.6% | |||
22,800 | Target Corp. | 1,765,176 | |
Multi-Utilities — 0.6% | |||
24,140 | Ameren Corp. | 1,756,668 | |
Oil, Gas & Consumable Fuels — 2.7% | |||
48,620 | Marathon Petroleum Corp. | 2,959,499 | |
293,900 | Range Resources Corp.3 | 2,656,856 | |
23,460 | Valero Energy Corp. | 2,126,884 | |
7,743,239 | |||
Paper & Forest Products — 1.5% | |||
85,680 | Domtar Corp.1 | 4,189,752 | |
Pharmaceuticals — 1.8% | |||
57,420 | Bristol-Myers Squibb Co. | 2,666,011 | |
65,940 | Supernus Pharmaceuticals, Inc.2 | 2,421,976 | |
5,087,987 |
86 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Professional Services — 2.1% | |||
56,300 | Korn Ferry | $2,647,226 | |
53,980 | Robert Half International, Inc. | 3,351,618 | |
5,998,844 | |||
Semiconductors & Semiconductor Equipment — 4.2% | |||
39,480 | Applied Materials, Inc. | 1,739,884 | |
54,260 | Intel Corp. | 2,769,430 | |
74,060 | Micron Technology, Inc.1,2 | 3,114,964 | |
180,140 | ON Semiconductor Corp.2 | 4,154,028 | |
11,778,306 | |||
Software — 4.2% | |||
46,980 | ACI Worldwide, Inc.2 | 1,668,729 | |
86,049 | Cadence Design Systems, Inc.1,2 | 5,970,080 | |
32,080 | Microsoft Corp. | 4,189,648 | |
11,828,457 | |||
Specialty Retail — 2.1% | |||
59,980 | Best Buy Co., Inc.1 | 4,463,112 | |
28,200 | TJX Cos., Inc. (The) | 1,547,616 | |
6,010,728 | |||
Technology Hardware, Storage & Peripherals — 0.6% | |||
48,560 | Xerox Corp. | 1,619,962 | |
Textiles, Apparel & Luxury Goods — 1.2% | |||
33,800 | Capri Holdings, Ltd. | 1,489,904 | |
56,460 | Skechers U.S.A., Inc. - Class A2 | 1,787,524 | |
3,277,428 | |||
TOTAL COMMON STOCKS (Cost $239,909,381) | 282,269,953 | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 1.2% | |||
3,412,118 | State Street Navigator Securities Lending Government Money Market Portfolio | 3,412,118 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $3,412,118) | 3,412,118 | ||
TOTAL LONG INVESTMENTS (Cost $243,321,499) | 100.7% | $285,682,071 | |
COMMON STOCKS SOLD SHORT* — (69.7)% | |||
Aerospace & Defense — (0.6)% | |||
(3,820) | TransDigm Group, Inc.2 | (1,843,226) | |
Air Freight & Logistics — (0.8)% | |||
(11,500) | FedEx Corp. | (2,178,790) | |
Airlines — (0.9)% | |||
(39,980) | Alaska Air Group, Inc. | (2,474,762) | |
Banks — (1.5)% | |||
(71,500) | Ameris Bancorp | (2,606,890) | |
(92,000) | People’s United Financial, Inc. | (1,590,680) | |
(4,197,570) | |||
Beverages — (2.6)% | |||
(64,780) | Brown-Forman Corp. - Class B | (3,452,126) | |
(77,500) | Coca-Cola Co. (The) | (3,802,150) | |
(7,254,276) |
87 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Capital Markets — (5.1)% | |||
(15,840) | FactSet Research Systems, Inc. | $(4,369,781) | |
(10,060) | Goldman Sachs Group, Inc. (The) | (2,071,555) | |
(21,240) | Moody’s Corp. | (4,176,209) | |
(18,040) | S&P Global, Inc. | (3,980,706) | |
(14,598,251) | |||
Chemicals — (2.6)% | |||
(1) | Dow, Inc.2 | (57) | |
(56,280) | DowDuPont, Inc. | (2,163,966) | |
(11,340) | Ecolab, Inc. | (2,087,467) | |
(22,080) | International Flavors & Fragrances, Inc. | (3,042,403) | |
(7,293,893) | |||
Commercial Services & Supplies — (4.0)% | |||
(129,400) | Covanta Holding Corp. | (2,338,258) | |
(46,530) | Rollins, Inc. | (1,799,315) | |
(50,720) | Stericycle, Inc.2 | (2,961,541) | |
(40,200) | Waste Management, Inc. | (4,315,068) | |
(11,414,182) | |||
Communications Equipment — (0.8)% | |||
(15,640) | Motorola Solutions, Inc. | (2,266,392) | |
Construction Materials — (2.3)% | |||
(12,920) | Martin Marietta Materials, Inc. | (2,866,948) | |
(29,600) | Vulcan Materials Co. | (3,732,856) | |
(6,599,804) | |||
Distributors — (1.0)% | |||
(15,300) | Pool Corp. | (2,811,222) | |
Equity Real Estate Investment Trusts — (5.5)% | |||
(75,260) | Acadia Realty Trust | (2,125,342) | |
(29,940) | Digital Realty Trust, Inc. | (3,524,237) | |
(3,915) | Equinix, Inc. | (1,780,151) | |
(48,040) | Kilroy Realty Corp. | (3,694,757) | |
(13,140) | Mid-America Apartment Communities, Inc. | (1,437,647) | |
(14,440) | SBA Communications Corp.2 | (2,941,861) | |
(15,503,995) | |||
Health Care Equipment & Supplies — (3.8)% | |||
(12,560) | Align Technology, Inc.2 | (4,077,981) | |
(14,960) | Becton Dickinson & Co. | (3,601,470) | |
(28,880) | ResMed, Inc. | (3,018,249) | |
(10,697,700) | |||
Health Care Providers & Services — (0.5)% | |||
(51,720) | MEDNAX, Inc.2 | (1,446,608) | |
Hotels, Restaurants & Leisure — (0.8)% | |||
(28,400) | Jack in the Box, Inc. | (2,189,640) | |
Household Durables — (1.7)% | |||
(12,000) | Mohawk Industries, Inc.2 | (1,635,000) | |
(21,980) | Whirlpool Corp. | (3,051,264) | |
(4,686,264) | |||
Household Products — (1.2)% | |||
(26,160) | Kimberly-Clark Corp. | (3,358,421) |
88 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Industrial Conglomerates — (2.4)% | |||
(16,480) | 3M Co. | $(3,123,125) | |
(365,980) | General Electric Co. | (3,722,016) | |
(6,845,141) | |||
Insurance — (3.4)% | |||
(30,260) | Assurant, Inc. | (2,874,700) | |
(2,900) | Markel Corp.2 | (3,107,379) | |
(70,780) | Mercury General Corp. | (3,806,549) | |
(9,788,628) | |||
IT Services — (2.5)% | |||
(42,710) | Fiserv, Inc.2 | (3,726,020) | |
(21,600) | Gartner, Inc.2 | (3,433,752) | |
(7,159,772) | |||
Leisure Product — (1.9)% | |||
(37,940) | Hasbro, Inc. | (3,864,568) | |
(16,460) | Polaris Industries, Inc. | (1,586,744) | |
(5,451,312) | |||
Life Sciences Tools & Services — (1.0)% | |||
(14,300) | Bio-Techne Corp. | (2,925,637) | |
Machinery — (2.4)% | |||
(21,360) | Deere & Co. | (3,537,857) | |
(22,580) | Stanley Black & Decker, Inc. | (3,310,228) | |
(6,848,085) | |||
Media — (0.9)% | |||
(52,660) | John Wiley & Sons, Inc. - Class A | (2,431,839) | |
Multi-line Retail — (0.9)% | |||
(23,700) | Dollar Tree, Inc.2 | (2,637,336) | |
Multi-Utilities — (1.3)% | |||
(128,700) | NiSource, Inc. | (3,575,286) | |
Oil, Gas & Consumable Fuels — (1.4)% | |||
(194,180) | Kinder Morgan, Inc. | (3,858,357) | |
Pharmaceuticals — (1.1)% | |||
(56,440) | Mylan N.V.2 | (1,523,316) | |
(31,100) | Perrigo Co. PLC | (1,490,312) | |
(3,013,628) | |||
Professional Services — (1.4)% | |||
(32,420) | Equifax, Inc. | (4,083,299) | |
Road & Rail — (0.9)% | |||
(28,420) | JB Hunt Transport Services, Inc. | (2,685,122) | |
Semiconductors & Semiconductor Equipment — (4.0)% | |||
(189,120) | Advanced Micro Devices, Inc.2 | (5,225,386) | |
(7,660) | NVIDIA Corp. | (1,386,460) | |
(55,200) | QUALCOMM, Inc. | (4,754,376) | |
(11,366,222) | |||
Software — (6.1)% | |||
(27,360) | Autodesk, Inc.2 | (4,875,826) | |
(16,800) | Fair Isaac Corp.2 | (4,699,800) | |
(41,960) | PTC, Inc.2 | (3,796,121) |
89 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Software — (Continued) | |||
(17,400) | Tyler Technologies, Inc.2 | $(4,035,234) | |
(17,406,981) | |||
Specialty Retail — (0.6)% | |||
(16,200) | Tiffany & Co. | (1,746,684) | |
Thrifts & Mortgage Finance — (0.5)% | |||
(39,700) | Flagstar Bancorp, Inc. | (1,419,275) | |
Water Utilities — (1.3)% | |||
(23,480) | American States Water Co. | (1,671,071) | |
(40,020) | California Water Service Group | (2,016,608) | |
(3,687,679) | |||
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(187,197,249)) | (197,745,279) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(187,197,249)) | (69.7)% | $(197,745,279) | |
TOTAL INVESTMENTS (Cost $56,124,250) | 31.0% | $87,936,792 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 69.0 | 195,652,502 | |
NET ASSETS | 100.0% | $283,589,294 |
* | Percentages indicated are based on net assets. |
1 | All or portion of security pledged as collateral for securities sold short. The total market value of collateral is $44,775,290. |
2 | Non income-producing security. |
3 | Securities or partial securities on loan. See Note 1. |
90 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Long Positions: | |||
Equity Real Estate Investment Trusts | 6.5% | $18,429,394 | |
Insurance | 6.0 | 17,024,615 | |
IT Services | 5.8 | 16,376,707 | |
Health Care Providers & Services | 5.5 | 15,717,306 | |
Banks | 5.2 | 14,859,151 | |
Software | 4.2 | 11,828,457 | |
Semiconductors & Semiconductor Equipment | 4.2 | 11,778,306 | |
Media | 3.9 | 11,101,033 | |
Machinery | 3.8 | 10,702,378 | |
Electrical Equipment | 2.9 | 8,324,171 | |
Oil, Gas & Consumable Fuels | 2.7 | 7,743,239 | |
Construction & Engineering | 2.7 | 7,691,433 | |
Consumer Finance | 2.7 | 7,584,668 | |
Electronic Equipment, Instruments & Components | 2.6 | 7,475,082 | |
Hotels, Restaurants & Leisure | 2.6 | 7,392,418 | |
Commercial Services & Supplies | 2.6 | 7,340,859 | |
Containers & Packaging | 2.3 | 6,542,448 | |
Specialty Retail | 2.1 | 6,010,728 | |
Professional Services | 2.1 | 5,998,844 | |
Electric Utilities | 2.1 | 5,982,801 | |
Food Products | 2.0 | 5,570,958 | |
Capital Markets | 2.0 | 5,561,575 | |
Chemicals | 1.8 | 5,153,649 | |
Pharmaceuticals | 1.8 | 5,087,987 | |
Paper & Forest Products | 1.5 | 4,189,752 | |
Air Freight & Logistics | 1.3 | 3,810,572 | |
Life Sciences Tools & Services | 1.3 | 3,746,510 | |
Metals & Mining | 1.3 | 3,665,844 | |
Beverages | 1.3 | 3,630,832 | |
Household Products | 1.3 | 3,599,099 | |
Distributors | 1.2 | 3,432,002 | |
Textiles, Apparel & Luxury Goods | 1.2 | 3,277,428 | |
Aerospace & Defense | 1.1 | 3,184,625 | |
Mortgage Real Estate Investment Trust | 1.1 | 3,133,472 | |
Health Care Technology | 1.0 | 2,820,861 | |
Food & Staples Retailing | 1.0 | 2,707,838 | |
Airlines | 0.9 | 2,685,470 | |
Diversified Financial Services | 0.8 | 2,254,881 | |
Independent Power & Renewable Electricity Producer | 0.8 | 2,225,600 | |
Multi-line Retail | 0.6 | 1,765,176 | |
Multi-Utilities | 0.6 | 1,756,668 | |
Technology Hardware, Storage & Peripherals | 0.6 | 1,619,962 | |
Biotechnology | 0.5 | 1,485,154 | |
Short Positions: | |||
Thrifts & Mortgage Finance | (0.5) | (1,419,275) | |
Health Care Providers & Services | (0.5) | (1,446,608) | |
Specialty Retail | (0.6) | (1,746,684) | |
Aerospace & Defense | (0.6) | (1,843,226) | |
Air Freight & Logistics | (0.8) | (2,178,790) | |
Hotels, Restaurants & Leisure | (0.8) | (2,189,640) | |
Communications Equipment | (0.8) | (2,266,392) | |
Media | (0.9) | (2,431,839) | |
Airlines | (0.9) | (2,474,762) |
91 |
% of Net Assets | Value | ||
INDUSTRIES: — (Continued) | |||
Short Positions: — (Continued) | |||
Multi-line Retail | (0.9)% | $(2,637,336) | |
Road & Rail | (0.9) | (2,685,122) | |
Distributors | (1.0) | (2,811,222) | |
Life Sciences Tools & Services | (1.0) | (2,925,637) | |
Pharmaceuticals | (1.1) | (3,013,628) | |
Household Products | (1.2) | (3,358,421) | |
Multi-Utilities | (1.3) | (3,575,286) | |
Water Utilities | (1.3) | (3,687,679) | |
Oil, Gas & Consumable Fuels | (1.4) | (3,858,357) | |
Professional Services | (1.4) | (4,083,299) | |
Banks | (1.5) | (4,197,570) | |
Household Durables | (1.7) | (4,686,264) | |
Leisure Product | (1.9) | (5,451,312) | |
Construction Materials | (2.3) | (6,599,804) | |
Industrial Conglomerates | (2.4) | (6,845,141) | |
Machinery | (2.4) | (6,848,085) | |
IT Services | (2.5) | (7,159,772) | |
Beverages | (2.6) | (7,254,276) | |
Chemicals | (2.6) | (7,293,893) | |
Insurance | (3.4) | (9,788,628) | |
Health Care Equipment & Supplies | (3.8) | (10,697,700) | |
Semiconductors & Semiconductor Equipment | (4.0) | (11,366,222) | |
Commercial Services & Supplies | (4.0) | (11,414,182) | |
Capital Markets | (5.1) | (14,598,251) | |
Equity Real Estate Investment Trusts | (5.5) | (15,503,995) | |
Software | (6.1) | (17,406,981) | |
TOTAL COMMON STOCKS | 29.8% | $84,524,674 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 1.2 | 3,412,118 | |
TOTAL INVESTMENTS | 31.0% | $87,936,792 |
92 |
Shares | Value | ||
COMMON STOCKS* — 128.6% | |||
Air Freight & Logistics — 1.5% | |||
15,340 | Expeditors International of Washington, Inc.1 | $1,218,303 | |
Airlines — 1.3% | |||
10,380 | SkyWest, Inc. | 639,304 | |
7,880 | Southwest Airlines Co. | 427,333 | |
1,066,637 | |||
Banks — 9.0% | |||
36,300 | Bank of America Corp. | 1,110,054 | |
20,480 | Citizens Financial Group, Inc. | 741,376 | |
4,780 | Comerica, Inc. | 375,660 | |
5,960 | East West Bancorp, Inc. | 306,821 | |
48,380 | Fifth Third Bancorp1 | 1,394,312 | |
75,400 | FNB Corp. | 914,602 | |
24,280 | Huntington Bancshares, Inc. | 337,978 | |
10,097 | JPMorgan Chase & Co. | 1,171,757 | |
19,080 | Zions Bancorp N.A. | 941,216 | |
7,293,776 | |||
Biotechnology — 2.0% | |||
12,760 | Acceleron Pharma, Inc.2 | 519,715 | |
16,540 | Gilead Sciences, Inc. | 1,075,761 | |
1,595,476 | |||
Building Products — 0.0% | |||
1,226 | Resideo Technologies, Inc.2 | 27,830 | |
Capital Markets — 1.3% | |||
20,560 | E*TRADE Financial Corp. | 1,041,570 | |
Chemicals — 1.4% | |||
51,980 | Huntsman Corp.1 | 1,156,035 | |
Commercial Services & Supplies — 1.1% | |||
21,760 | Herman Miller, Inc. | 844,723 | |
Communications Equipment — 1.8% | |||
26,180 | Cisco Systems, Inc.1 | 1,464,771 | |
Construction & Engineering — 2.1% | |||
20,340 | EMCOR Group, Inc.1 | 1,711,408 | |
Consumer Finance — 3.7% | |||
30,440 | Ally Financial, Inc. | 904,372 | |
53,800 | SLM Corp. | 546,608 | |
44,940 | Synchrony Financial1 | 1,558,070 | |
3,009,050 | |||
Containers & Packaging — 1.0% | |||
12,320 | Sonoco Products Co. | 776,899 | |
Diversified Financial Services — 1.2% | |||
17,480 | Voya Financial, Inc. | 959,477 | |
Electric Utilities — 2.9% | |||
29,220 | Exelon Corp.1 | 1,488,759 | |
10,640 | Hawaiian Electric Industries, Inc. | 441,347 | |
12,720 | PPL Corp. | 396,991 | |
2,327,097 | |||
Electrical Equipment — 1.8% | |||
16,080 | AMETEK, Inc.1 | 1,417,774 |
93 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electronic Equipment, Instruments & Components — 2.3% | |||
17,520 | Tech Data Corp.1,2 | $1,867,807 | |
Entertainment — 1.2% | |||
32,500 | Viacom, Inc. - Class B | 939,575 | |
Equity Real Estate Investment Trusts — 7.0% | |||
6,680 | EPR Properties | 526,785 | |
19,300 | Gaming and Leisure Properties, Inc. | 779,334 | |
30,880 | Hospitality Properties Trust | 802,880 | |
60,780 | Host Hotels & Resorts, Inc. | 1,169,407 | |
6,200 | National Health Investors, Inc. REIT | 467,666 | |
17,200 | Omega Healthcare Investors, Inc. | 608,708 | |
8,760 | Park Hotels & Resorts, Inc. | 281,021 | |
29,480 | STORE Capital Corp. | 982,273 | |
5,618,074 | |||
Food & Staples Retailing — 2.0% | |||
9,320 | Sysco Corp. | 655,848 | |
9,620 | Walmart, Inc. | 989,321 | |
1,645,169 | |||
Food Products — 3.8% | |||
19,200 | Flowers Foods, Inc. | 417,408 | |
28,920 | General Mills, Inc.1 | 1,488,513 | |
15,140 | Tyson Foods, Inc. - Class A | 1,135,651 | |
3,041,572 | |||
Health Care Providers & Services — 7.7% | |||
10,640 | Amedisys, Inc.1,2 | 1,360,005 | |
11,080 | AmerisourceBergen Corp. | 828,341 | |
3,640 | Anthem, Inc. | 957,429 | |
22,240 | Cardinal Health, Inc. | 1,083,310 | |
5,280 | Centene Corp.2 | 272,237 | |
13,380 | Molina Healthcare, Inc.1,2 | 1,734,449 | |
6,235,771 | |||
Hotels, Restaurants & Leisure — 4.0% | |||
19,860 | Bloomin’ Brands, Inc. | 397,001 | |
16,550 | Hilton Worldwide Holdings, Inc.1 | 1,439,685 | |
17,620 | Starbucks Corp.1 | 1,368,722 | |
3,205,408 | |||
Household Products — 1.1% | |||
12,320 | Church & Dwight Co., Inc. | 923,384 | |
Independent Power & Renewable Electricity Producer — 1.5% | |||
72,300 | AES Corp.1 | 1,237,776 | |
Insurance — 5.7% | |||
26,960 | Aflac, Inc.1 | 1,358,245 | |
8,140 | Allstate Corp. (The) | 806,348 | |
26,380 | MetLife, Inc. | 1,216,910 | |
31,640 | Old Republic International Corp. | 707,470 | |
14,780 | Unum Group | 545,678 | |
4,634,651 | |||
IT Services — 9.1% | |||
6,160 | Akamai Technologies, Inc.2 | 493,170 | |
16,920 | Cognizant Technology Solutions Corp. - Class A1 | 1,234,483 | |
43,500 | Conduent, Inc.2 | 558,105 |
94 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
IT Services — (Continued) | |||
4,920 | FleetCor Technologies, Inc.1,2 | $1,283,874 | |
49,500 | Genpact, Ltd.1 | 1,796,850 | |
8,080 | ManTech International Corp. - Class A | 500,879 | |
13,880 | MAXIMUS, Inc. | 1,022,262 | |
2,800 | Visa, Inc. - Class A | 460,404 | |
7,350,027 | |||
Life Sciences Tools & Services — 2.4% | |||
18,000 | Medpace Holdings, Inc.2 | 1,011,060 | |
24,320 | QIAGEN N.V.2 | 947,507 | |
1,958,567 | |||
Machinery — 5.8% | |||
8,960 | AGCO Corp. | 634,189 | |
6,520 | Crane Co. | 554,526 | |
5,540 | IDEX Corp. | 867,896 | |
11,660 | Ingersoll-Rand PLC1 | 1,429,632 | |
5,020 | Snap-on, Inc. | 844,766 | |
11,300 | Terex Corp. | 376,629 | |
4,707,638 | |||
Media — 7.4% | |||
7,860 | AMC Networks, Inc. - Class A2,3 | 459,103 | |
35,320 | Comcast Corp. - Class A1 | 1,537,479 | |
36,720 | Discovery, Inc. - Class A2 | 1,134,648 | |
51,840 | Interpublic Group of Cos., Inc. (The) | 1,192,320 | |
74,480 | News Corp. - Class A | 925,042 | |
8,780 | Omnicom Group, Inc. | 702,663 | |
5,951,255 | |||
Metals & Mining — 3.0% | |||
11,320 | Nucor Corp. | 646,032 | |
11,140 | Reliance Steel & Aluminum Co. | 1,024,434 | |
24,520 | Steel Dynamics, Inc. | 776,794 | |
2,447,260 | |||
Mortgage Real Estate Investment Trust — 0.7% | |||
76,400 | MFA Financial, Inc. | 573,764 | |
Multi-line Retail — 2.3% | |||
14,910 | Kohl’s Corp. | 1,060,101 | |
9,840 | Target Corp. | 761,813 | |
1,821,914 | |||
Multi-Utilities — 1.0% | |||
30,080 | MDU Resources Group, Inc. | 786,592 | |
Oil, Gas & Consumable Fuels — 4.8% | |||
5,480 | ConocoPhillips | 345,898 | |
16,260 | Delek US Holdings, Inc. | 602,596 | |
16,740 | Marathon Petroleum Corp. | 1,018,964 | |
69,440 | Range Resources Corp.3 | 627,737 | |
14,300 | Valero Energy Corp.1 | 1,296,438 | |
3,891,633 | |||
Paper & Forest Products — 1.5% | |||
24,800 | Domtar Corp. | 1,212,720 | |
Pharmaceuticals — 2.5% | |||
22,460 | Bristol-Myers Squibb Co. | 1,042,818 |
95 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Pharmaceuticals — (Continued) | |||
25,540 | Supernus Pharmaceuticals, Inc.2 | $938,084 | |
1,980,902 | |||
Professional Services — 1.5% | |||
18,920 | Robert Half International, Inc. | 1,174,743 | |
Road & Rail — 1.1% | |||
8,320 | Landstar System, Inc. | 906,547 | |
Semiconductors & Semiconductor Equipment — 4.1% | |||
13,260 | Applied Materials, Inc. | 584,368 | |
11,380 | Entegris, Inc. | 464,987 | |
9,000 | Intel Corp. | 459,360 | |
18,320 | Micron Technology, Inc.2 | 770,539 | |
44,400 | ON Semiconductor Corp.2 | 1,023,864 | |
3,303,118 | |||
Software — 1.7% | |||
6,480 | CommVault Systems, Inc.2 | 340,848 | |
15,100 | SS&C Technologies Holdings, Inc. | 1,021,666 | |
1,362,514 | |||
Specialty Retail — 4.4% | |||
14,760 | Best Buy Co., Inc. | 1,098,292 | |
9,300 | Foot Locker, Inc. | 532,053 | |
12,220 | Ross Stores, Inc.1 | 1,193,405 | |
13,560 | TJX Cos., Inc. (The) | 744,173 | |
3,567,923 | |||
Technology Hardware, Storage & Peripherals — 2.6% | |||
53,680 | Hewlett Packard Enterprise Co. | 848,681 | |
16,660 | NetApp, Inc.1 | 1,213,681 | |
2,062,362 | |||
Textiles, Apparel & Luxury Goods — 2.3% | |||
17,800 | Capri Holdings, Ltd. | 784,624 | |
11,920 | NIKE, Inc. - Class B | 1,046,934 | |
1,831,558 | |||
Trading Companies & Distributors — 1.6% | |||
22,180 | WESCO International, Inc.1,2 | 1,269,582 | |
Wireless Telecommunication Services — 0.4% | |||
10,620 | Telephone & Data Systems, Inc. | 338,566 | |
TOTAL COMMON STOCKS (Cost $86,795,774) | 103,759,198 | ||
COMMON STOCKS SOLD SHORT* — (28.9)% | |||
Air Freight & Logistics — (0.8)% | |||
(1,400) | FedEx Corp. | (265,244) | |
(3,420) | United Parcel Service, Inc. - Class B | (363,272) | |
(628,516) | |||
Airlines — (0.4)% | |||
(5,140) | Alaska Air Group, Inc. | (318,166) | |
Banks — (2.0)% | |||
(7,540) | Ameris Bancorp | (274,908) | |
(8,840) | Columbia Banking System, Inc. | (331,854) | |
(14,360) | CVB Financial Corp. | (311,612) |
96 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Banks — (Continued) | |||
(18,980) | Old National Bancorp | $(324,178) | |
(2,920) | Signature Bank | (385,645) | |
(1,628,197) | |||
Beverages — (0.5)% | |||
(7,480) | Brown-Forman Corp. - Class B | (398,609) | |
Capital Markets — (2.4)% | |||
(840) | BlackRock, Inc. | (407,602) | |
(1,560) | FactSet Research Systems, Inc. | (430,357) | |
(1,020) | Goldman Sachs Group, Inc. (The) | (210,038) | |
(2,400) | Moody’s Corp. | (471,888) | |
(1,780) | S&P Global, Inc. | (392,775) | |
(1,912,660) | |||
Chemicals — (1.2)% | |||
(2,060) | Dow, Inc.2 | (116,864) | |
(6,180) | DowDuPont, Inc. | (237,621) | |
(4,080) | FMC Corp. | (322,565) | |
(2,000) | International Flavors & Fragrances, Inc. | (275,580) | |
(3,816) | Livent Corp.2 | (41,136) | |
(993,766) | |||
Commercial Services & Supplies — (1.6)% | |||
(5,100) | Copart, Inc.2 | (343,332) | |
(9,390) | Rollins, Inc. | (363,112) | |
(4,680) | Stericycle, Inc.2 | (273,265) | |
(3,200) | Waste Management, Inc. | (343,488) | |
(1,323,197) | |||
Construction Materials — (1.3)% | |||
(3,420) | Eagle Materials, Inc. | (310,913) | |
(2,080) | Martin Marietta Materials, Inc. | (461,552) | |
(2,420) | Vulcan Materials Co. | (305,186) | |
(1,077,651) | |||
Distributors — (0.5)% | |||
(1,960) | Pool Corp. | (360,130) | |
Electric Utilities — (0.8)% | |||
(3,380) | Entergy Corp. | (327,522) | |
(3,160) | IDACORP, Inc. | (312,903) | |
(640,425) | |||
Equity Real Estate Investment Trusts — (2.9)% | |||
(8,120) | Acadia Realty Trust | (229,309) | |
(3,000) | Digital Realty Trust, Inc. | (353,130) | |
(11,460) | Healthcare Realty Trust, Inc. | (353,885) | |
(5,200) | Kilroy Realty Corp. | (399,932) | |
(1,220) | Public Storage | (269,840) | |
(1,620) | SBA Communications Corp.2 | (330,042) | |
(3,500) | Ventas, Inc. | (213,885) | |
(2,900) | Vornado Realty Trust | (200,506) | |
(2,350,529) | |||
Health Care Equipment & Supplies — (1.3)% | |||
(1,520) | Becton Dickinson & Co. | (365,925) | |
(5,920) | DENTSPLY SIRONA, Inc. | (302,689) |
97 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Health Care Equipment & Supplies — (Continued) | |||
(3,280) | ResMed, Inc. | $(342,793) | |
(1,011,407) | |||
Hotels, Restaurants & Leisure — (0.3)% | |||
(2,940) | Jack in the Box, Inc. | (226,674) | |
Household Durables — (1.8)% | |||
(9,920) | Leggett & Platt, Inc. | (390,452) | |
(2,940) | Mohawk Industries, Inc.2 | (400,575) | |
(20,540) | Newell Brands, Inc. | (295,365) | |
(2,300) | Whirlpool Corp. | (319,286) | |
(1,405,678) | |||
Industrial Conglomerates — (0.6)% | |||
(1,660) | 3M Co. | (314,586) | |
(17,580) | General Electric Co. | (178,789) | |
(493,375) | |||
Insurance — (0.9)% | |||
(3,940) | American International Group, Inc. | (187,426) | |
(300) | Markel Corp.2 | (321,453) | |
(4,120) | Mercury General Corp. | (221,574) | |
(730,453) | |||
Leisure Product — (0.8)% | |||
(2,940) | Hasbro, Inc. | (299,468) | |
(3,340) | Polaris Industries, Inc. | (321,976) | |
(621,444) | |||
Machinery — (1.2)% | |||
(1,800) | Deere & Co. | (298,134) | |
(2,580) | Illinois Tool Works, Inc. | (401,525) | |
(1,940) | Stanley Black & Decker, Inc. | (284,404) | |
(94) | Wabtec Corp. | (6,963) | |
(991,026) | |||
Multi-line Retail — (0.8)% | |||
(8,540) | Big Lots, Inc. | (317,346) | |
(3,000) | Dollar Tree, Inc.2 | (333,840) | |
(651,186) | |||
Multi-Utilities — (0.5)% | |||
(14,240) | NiSource, Inc. | (395,587) | |
Oil, Gas & Consumable Fuels — (0.4)% | |||
(16,100) | Kinder Morgan, Inc. | (319,907) | |
(40) | Williams Cos., Inc. (The) | (1,133) | |
(321,040) | |||
Professional Services — (0.3)% | |||
(2,100) | Equifax, Inc. | (264,495) | |
Road & Rail — (2.1)% | |||
(880) | AMERCO | (328,390) | |
(4,240) | CSX Corp. | (337,631) | |
(3,180) | JB Hunt Transport Services, Inc. | (300,446) | |
(3,220) | Kansas City Southern | (396,511) | |
(10,200) | Knight-Swift Transportation Holdings, Inc. | (340,170) | |
(1,703,148) |
98 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Semiconductors & Semiconductor Equipment — (1.4)% | |||
(10,860) | Advanced Micro Devices, Inc.2 | $(300,062) | |
(3,280) | Microchip Technology, Inc. | (327,639) | |
(6,040) | QUALCOMM, Inc. | (520,225) | |
(1,147,926) | |||
Software — (0.8)% | |||
(1,820) | Autodesk, Inc.2 | (324,342) | |
(3,320) | PTC, Inc.2 | (300,361) | |
(624,703) | |||
Specialty Retail — (0.4)% | |||
(12,100) | L Brands, Inc. | (310,244) | |
Water Utilities — (0.9)% | |||
(4,760) | American States Water Co. | (338,768) | |
(8,060) | California Water Service Group | (406,144) | |
(744,912) | |||
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(23,559,552)) | (23,275,144) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(23,559,552)) | (28.9)% | $(23,275,144) | |
TOTAL INVESTMENTS (Cost $63,236,222) | 99.7% | $80,484,054 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.3 | 216,309 | |
NET ASSETS | 100.0% | $80,700,363 |
* | Percentages indicated are based on net assets. |
1 | All or portion of security pledged as collateral for securities sold short. The total market value of collateral is $28,952,676. |
2 | Non income-producing security. |
3 | Securities or partial securities on loan. See Note 1. |
99 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Long Positions: | |||
IT Services | 9.1% | $7,350,027 | |
Banks | 9.0 | 7,293,776 | |
Health Care Providers & Services | 7.7 | 6,235,771 | |
Media | 7.4 | 5,951,255 | |
Equity Real Estate Investment Trusts | 7.0 | 5,618,074 | |
Machinery | 5.8 | 4,707,638 | |
Insurance | 5.7 | 4,634,651 | |
Oil, Gas & Consumable Fuels | 4.8 | 3,891,633 | |
Specialty Retail | 4.4 | 3,567,923 | |
Semiconductors & Semiconductor Equipment | 4.1 | 3,303,118 | |
Hotels, Restaurants & Leisure | 4.0 | 3,205,408 | |
Food Products | 3.8 | 3,041,572 | |
Consumer Finance | 3.7 | 3,009,050 | |
Metals & Mining | 3.0 | 2,447,260 | |
Electric Utilities | 2.9 | 2,327,097 | |
Technology Hardware, Storage & Peripherals | 2.6 | 2,062,362 | |
Pharmaceuticals | 2.5 | 1,980,902 | |
Life Sciences Tools & Services | 2.4 | 1,958,567 | |
Electronic Equipment, Instruments & Components | 2.3 | 1,867,807 | |
Textiles, Apparel & Luxury Goods | 2.3 | 1,831,558 | |
Multi-line Retail | 2.3 | 1,821,914 | |
Construction & Engineering | 2.1 | 1,711,408 | |
Food & Staples Retailing | 2.0 | 1,645,169 | |
Biotechnology | 2.0 | 1,595,476 | |
Communications Equipment | 1.8 | 1,464,771 | |
Electrical Equipment | 1.8 | 1,417,774 | |
Software | 1.7 | 1,362,514 | |
Trading Companies & Distributors | 1.6 | 1,269,582 | |
Independent Power & Renewable Electricity Producer | 1.5 | 1,237,776 | |
Air Freight & Logistics | 1.5 | 1,218,303 | |
Paper & Forest Products | 1.5 | 1,212,720 | |
Professional Services | 1.5 | 1,174,743 | |
Chemicals | 1.4 | 1,156,035 | |
Airlines | 1.3 | 1,066,637 | |
Capital Markets | 1.3 | 1,041,570 | |
Diversified Financial Services | 1.2 | 959,477 | |
Entertainment | 1.2 | 939,575 | |
Household Products | 1.1 | 923,384 | |
Road & Rail | 1.1 | 906,547 | |
Commercial Services & Supplies | 1.1 | 844,723 | |
Multi-Utilities | 1.0 | 786,592 | |
Containers & Packaging | 1.0 | 776,899 | |
Mortgage Real Estate Investment Trust | 0.7 | 573,764 | |
Wireless Telecommunication Services | 0.4 | 338,566 | |
Building Products | 0.0 | 27,830 | |
Short Positions: | |||
Hotels, Restaurants & Leisure | (0.3) | (226,674) | |
Professional Services | (0.3) | (264,495) | |
Specialty Retail | (0.4) | (310,244) | |
Airlines | (0.4) | (318,166) | |
Oil, Gas & Consumable Fuels | (0.4) | (321,040) | |
Distributors | (0.5) | (360,130) | |
Multi-Utilities | (0.5) | (395,587) |
100 |
% of Net Assets | Value | ||
INDUSTRIES: — (Continued) | |||
Short Positions: — (Continued) | |||
Beverages | (0.5)% | $(398,609) | |
Industrial Conglomerates | (0.6) | (493,375) | |
Leisure Product | (0.8) | (621,444) | |
Software | (0.8) | (624,703) | |
Air Freight & Logistics | (0.8) | (628,516) | |
Electric Utilities | (0.8) | (640,425) | |
Multi-line Retail | (0.8) | (651,186) | |
Insurance | (0.9) | (730,453) | |
Water Utilities | (0.9) | (744,912) | |
Machinery | (1.2) | (991,026) | |
Chemicals | (1.2) | (993,766) | |
Health Care Equipment & Supplies | (1.3) | (1,011,407) | |
Construction Materials | (1.3) | (1,077,651) | |
Semiconductors & Semiconductor Equipment | (1.4) | (1,147,926) | |
Commercial Services & Supplies | (1.6) | (1,323,197) | |
Household Durables | (1.8) | (1,405,678) | |
Banks | (2.0) | (1,628,197) | |
Road & Rail | (2.1) | (1,703,148) | |
Capital Markets | (2.4) | (1,912,660) | |
Equity Real Estate Investment Trusts | (2.9) | (2,350,529) | |
TOTAL COMMON STOCKS | 99.7% | $80,484,054 | |
TOTAL INVESTMENTS | 99.7% | $80,484,054 |
101 |
Shares | Value | ||
COMMON STOCKS* — 98.6% | |||
Aerospace & Defense — 8.3% | |||
23,614 | Boeing Co. (The) | $8,918,772 | |
35,714 | Raytheon Co. | 6,342,449 | |
39,370 | United Technologies Corp. | 5,614,556 | |
20,875,777 | |||
Banks — 7.0% | |||
54,161 | JPMorgan Chase & Co. | 6,285,384 | |
39,485 | PNC Financial Services Group, Inc. (The) | 5,406,681 | |
125,724 | Wells Fargo & Co. | 6,086,299 | |
17,778,364 | |||
Beverages — 2.0% | |||
39,903 | PepsiCo, Inc. | 5,109,579 | |
Biotechnology — 3.3% | |||
18,102 | Biogen, Inc.1 | 4,149,703 | |
65,085 | Gilead Sciences, Inc. | 4,233,128 | |
8,382,831 | |||
Capital Markets — 2.2% | |||
55,633 | Northern Trust Corp. | 5,482,632 | |
Communications Equipment — 3.6% | |||
163,271 | Cisco Systems, Inc. | 9,135,012 | |
Consumer Finance — 2.5% | |||
78,309 | Discover Financial Services | 6,381,400 | |
Electrical Equipment — 3.4% | |||
96,220 | AMETEK, Inc. | 8,483,717 | |
Electronic Equipment, Instruments & Components — 2.2% | |||
56,289 | Amphenol Corp. - Class A | 5,604,133 | |
Energy Equipment & Services — 1.6% | |||
139,827 | Halliburton Co. | 3,961,299 | |
Food & Staples Retailing — 2.0% | |||
49,914 | Walmart, Inc. | 5,133,156 | |
Food Products — 1.3% | |||
85,676 | Campbell Soup Co.2 | 3,314,804 | |
Health Care Equipment & Supplies — 4.7% | |||
64,162 | Abbott Laboratories | 5,104,729 | |
170,727 | Smith & Nephew PLC, Sponsored ADR | 6,666,889 | |
11,771,618 | |||
Health Care Providers & Services — 2.1% | |||
33,431 | Laboratory Corp. of America Holdings1 | 5,346,286 | |
Household Products — 2.4% | |||
81,607 | Colgate-Palmolive Co. | 5,940,174 | |
Insurance — 2.0% | |||
34,658 | Chubb, Ltd. | 5,032,342 | |
Interactive Media & Service — 3.6% | |||
7,704 | Alphabet, Inc. - Class C1 | 9,156,050 | |
Internet & Catalog Retail — 2.6% | |||
3,595 | Booking Holdings, Inc.1 | 6,668,689 |
102 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
IT Services — 13.7% | |||
31,508 | Accenture PLC - Class A | $5,755,566 | |
74,619 | Cognizant Technology Solutions Corp. - Class A | 5,444,202 | |
24,225 | Gartner, Inc.1 | 3,851,048 | |
59,340 | Global Payments, Inc. | 8,667,794 | |
43,114 | Mastercard, Inc. - Class A | 10,961,304 | |
34,679,914 | |||
Life Sciences Tools & Services — 2.1% | |||
25,013 | Waters Corp.1 | 5,341,276 | |
Machinery — 2.1% | |||
29,680 | Parker-Hannifin Corp. | 5,374,454 | |
Media — 2.0% | |||
62,258 | Omnicom Group, Inc. | 4,982,508 | |
Multi-line Retail — 4.7% | |||
57,829 | Dollar General Corp. | 7,291,659 | |
40,589 | Dollar Tree, Inc.1 | 4,516,744 | |
11,808,403 | |||
Oil, Gas & Consumable Fuels — 2.1% | |||
45,151 | Chevron Corp. | 5,420,829 | |
Pharmaceuticals — 3.3% | |||
115,377 | Elanco Animal Health, Inc.1 | 3,634,376 | |
40,507 | Eli Lilly & Co. | 4,740,939 | |
8,375,315 | |||
Software — 3.3% | |||
149,877 | Oracle Corp. | 8,292,694 | |
Specialty Retail — 2.7% | |||
33,343 | Home Depot, Inc. (The) | 6,791,969 | |
Technology Hardware, Storage & Peripherals — 3.9% | |||
49,602 | Apple, Inc. | 9,953,633 | |
Textiles, Apparel & Luxury Goods — 1.9% | |||
46,293 | Carter’s, Inc. | 4,902,892 | |
TOTAL COMMON STOCKS (Cost $143,357,163) | 249,481,750 | ||
Face Amount | |||
REPURCHASE AGREEMENT — 1.5% | |||
$3,851,845 | With Fixed Income Clearing Corp., dated 4/30/19, 0.50%, principal and interest in the amount of $3,851,898, due 5/1/19, (collateralized by a U.S. Treasury Note with a par value of $3,865,000, coupon rate of 2.750%, due 11/30/2020, market value of $3,933,669) | 3,851,845 | |
TOTAL REPURCHASE AGREEMENT (Cost $3,851,845) | 3,851,845 |
103 |
Shares | Value | ||
INVESTMENT OF SECURITY LENDING COLLATERAL — 1.3% | |||
3,362,783 | State Street Navigator Securities Lending Government Money Market Portfolio | $3,362,783 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $3,362,783) | 3,362,783 | ||
TOTAL INVESTMENTS (Cost $150,571,791) | 101.4% | $256,696,378 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.4) | (3,508,797) | |
NET ASSETS | 100.0% | $253,187,581 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
Abbreviations: |
ADR — American Depositary Receipt |
104 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
IT Services | 13.7% | $34,679,914 | |
Aerospace & Defense | 8.3 | 20,875,777 | |
Banks | 7.0 | 17,778,364 | |
Multi-line Retail | 4.7 | 11,808,403 | |
Health Care Equipment & Supplies | 4.7 | 11,771,618 | |
Technology Hardware, Storage & Peripherals | 3.9 | 9,953,633 | |
Interactive Media & Service | 3.6 | 9,156,050 | |
Communications Equipment | 3.6 | 9,135,012 | |
Electrical Equipment | 3.4 | 8,483,717 | |
Biotechnology | 3.3 | 8,382,831 | |
Pharmaceuticals | 3.3 | 8,375,315 | |
Software | 3.3 | 8,292,694 | |
Specialty Retail | 2.7 | 6,791,969 | |
Internet & Catalog Retail | 2.6 | 6,668,689 | |
Consumer Finance | 2.5 | 6,381,400 | |
Household Products | 2.4 | 5,940,174 | |
Electronic Equipment, Instruments & Components | 2.2 | 5,604,133 | |
Capital Markets | 2.2 | 5,482,632 | |
Oil, Gas & Consumable Fuels | 2.1 | 5,420,829 | |
Machinery | 2.1 | 5,374,454 | |
Health Care Providers & Services | 2.1 | 5,346,286 | |
Life Sciences Tools & Services | 2.1 | 5,341,276 | |
Food & Staples Retailing | 2.0 | 5,133,156 | |
Beverages | 2.0 | 5,109,579 | |
Insurance | 2.0 | 5,032,342 | |
Media | 2.0 | 4,982,508 | |
Textiles, Apparel & Luxury Goods | 1.9 | 4,902,892 | |
Energy Equipment & Services | 1.6 | 3,961,299 | |
Food Products | 1.3 | 3,314,804 | |
TOTAL COMMON STOCKS | 98.6% | $249,481,750 | |
REPURCHASE AGREEMENT | 1.5 | 3,851,845 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 1.3 | 3,362,783 | |
TOTAL INVESTMENTS | 101.4% | $256,696,378 |
105 |
Shares | Value | ||
COMMON STOCKS* — 98.8% | |||
Advertising — 1.3% | |||
1,572,519 | Outfront Media, Inc. | $37,473,128 | |
Aerospace & Defense — 0.7% | |||
639,313 | AAR Corp. | 21,589,600 | |
Airlines — 0.9% | |||
562,189 | Atlas Air Worldwide Holdings, Inc.1 | 27,148,107 | |
Automotive — 1.4% | |||
1,240,274 | American Axle & Manufacturing Holdings, Inc.1 | 18,294,041 | |
261,820 | LCI Industries | 23,000,887 | |
41,294,928 | |||
Banking — 11.2% | |||
720,003 | Chemical Financial Corp. | 31,629,732 | |
1,161,927 | First Midwest Bancorp, Inc. | 24,946,573 | |
3,428,576 | FNB Corp. | 41,588,627 | |
2,096,549 | Home BancShares, Inc. | 40,232,775 | |
577,937 | IBERIABANK Corp. | 45,945,992 | |
552,450 | LegacyTexas Financial Group, Inc. | 22,142,196 | |
1,605,391 | Umpqua Holdings Corp. | 27,869,588 | |
1,063,493 | United Community Banks, Inc. | 29,862,883 | |
819,503 | Western Alliance Bancorp1 | 39,155,853 | |
434,117 | Wintrust Financial Corp. | 33,079,715 | |
336,453,934 | |||
Beverages, Food & Tobacco — 1.0% | |||
2,236,588 | Hostess Brands, Inc.1 | 29,970,279 | |
Building Materials — 2.9% | |||
2,240,649 | Builders FirstSource, Inc.1 | 30,876,143 | |
461,731 | EMCOR Group, Inc. | 38,850,046 | |
364,519 | US Concrete, Inc.1,2 | 17,179,781 | |
86,905,970 | |||
Commercial Services — 8.8% | |||
541,974 | Aaron’s, Inc. | 30,182,532 | |
571,740 | AMN Healthcare Services, Inc.1 | 29,764,784 | |
343,000 | ASGN, Inc.1 | 21,622,720 | |
450,033 | Etsy, Inc.1 | 30,395,229 | |
1,621,188 | Evolent Health, Inc. - Class A1 | 21,967,097 | |
411,122 | HealthEquity, Inc.1 | 27,853,516 | |
1,107,983 | NeoGenomics, Inc.1,2 | 23,079,286 | |
2,627,315 | R1 RCM, Inc.1 | 27,507,988 | |
200,019 | SPS Commerce, Inc.1 | 20,749,971 | |
659,705 | Syneos Health, Inc.1 | 30,959,956 | |
264,083,079 | |||
Communications — 2.7% | |||
602,316 | Ciena Corp.1 | 23,104,842 | |
975,707 | NETGEAR, Inc.1 | 30,276,188 | |
876,942 | Vocera Communications, Inc.1,2 | 27,930,603 | |
81,311,633 | |||
Computer Software & Processing — 4.1% | |||
236,568 | CACI International, Inc. - Class A1 | 46,116,566 | |
570,980 | CommVault Systems, Inc.1 | 30,033,548 | |
789,813 | Verint Systems, Inc.1 | 47,696,807 | |
123,846,921 |
106 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Computers & Information — 1.2% | |||
2,160,270 | FireEye, Inc.1 | $34,607,525 | |
Diversified Financial Services — 1.0% | |||
888,997 | Blucora, Inc.1 | 31,114,895 | |
Electric Utilities — 1.0% | |||
510,284 | Ormat Technologies, Inc. | 29,780,174 | |
Electrical Equipment — 2.0% | |||
478,976 | Energizer Holdings, Inc. | 22,938,161 | |
533,989 | EnerSys | 36,946,699 | |
59,884,860 | |||
Electronics — 6.1% | |||
982,282 | Diodes, Inc.1 | 35,774,710 | |
890,980 | Finisar Corp.1 | 21,481,528 | |
1,177,093 | MaxLinear, Inc.1 | 31,675,573 | |
403,091 | Mercury Systems, Inc.1 | 29,433,705 | |
3,230,206 | TTM Technologies, Inc.1 | 42,767,927 | |
852,989 | Xperi Corp. | 21,196,777 | |
182,330,220 | |||
Entertainment & Leisure — 1.2% | |||
2,035,661 | Callaway Golf Co. | 35,746,207 | |
Financial Services — 5.2% | |||
329,894 | Evercore, Inc. - Class A | 32,141,572 | |
975,209 | Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 25,930,807 | |
1,546,534 | Hudson Pacific Properties, Inc. | 53,912,175 | |
1,316,067 | Pebblebrook Hotel Trust | 42,851,142 | |
154,835,696 | |||
Forest Products & Paper — 3.9% | |||
681,353 | Beacon Roofing Supply, Inc.1 | 25,659,754 | |
610,898 | Boise Cascade Co. | 16,915,766 | |
3,320,383 | Graphic Packaging Holding Co.2 | 46,086,916 | |
550,011 | Masonite International Corp.1 | 28,320,066 | |
116,982,502 | |||
Health Care Providers — 1.2% | |||
1,701,783 | Tivity Health, Inc.1,2 | 36,792,548 | |
Heavy Construction — 3.7% | |||
731,658 | Granite Construction, Inc. | 32,844,128 | |
886,159 | MasTec, Inc.1,2 | 44,883,953 | |
2,569,619 | TRI Pointe Group, Inc.1 | 33,533,528 | |
111,261,609 | |||
Heavy Machinery — 5.0% | |||
1,175,234 | Brooks Automation, Inc. | 44,083,027 | |
464,777 | Dycom Industries, Inc.1 | 23,048,292 | |
927,005 | Entegris, Inc. | 37,877,424 | |
1,578,324 | Rexnord Corp.1 | 45,140,066 | |
150,148,809 | |||
Home Construction, Furnishings & Appliances — 1.0% | |||
210,965 | Helen of Troy, Ltd.1 | 30,378,960 | |
Household Products — 1.7% | |||
557,114 | Apogee Enterprises, Inc. | 22,451,694 |
107 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Household Products — (Continued) | |||
1,650,294 | Ferro Corp.1 | $29,490,754 | |
51,942,448 | |||
Industrial - Diversified — 0.8% | |||
527,685 | Hillenbrand, Inc. | 22,701,009 | |
Insurance — 1.7% | |||
2,205,613 | Radian Group, Inc. | 51,655,456 | |
Lodging — 2.7% | |||
1,468,281 | Boyd Gaming Corp. | 42,257,127 | |
1,764,714 | Penn National Gaming, Inc.1 | 38,241,353 | |
80,498,480 | |||
Media - Broadcasting & Publishing — 1.8% | |||
290,487 | Nexstar Media Group, Inc. - Class A | 34,001,503 | |
438,511 | Sinclair Broadcast Group, Inc. - Class A | 20,079,419 | |
54,080,922 | |||
Medical Supplies — 4.6% | |||
144,789 | ICU Medical, Inc.1 | 32,939,498 | |
838,037 | Luminex Corp. | 19,115,624 | |
490,918 | Merit Medical Systems, Inc.1 | 27,579,773 | |
480,232 | NuVasive, Inc.1 | 29,102,059 | |
945,999 | Wright Medical Group N.V.1 | 27,973,190 | |
136,710,144 | |||
Miscellaneous — 2.1% | |||
1,029,111 | B&G Foods, Inc.2 | 26,756,886 | |
1,537,400 | Columbia Property Trust, Inc. | 34,914,354 | |
61,671,240 | |||
Oil & Gas — 3.9% | |||
3,463,780 | Callon Petroleum Co.1,2 | 26,012,988 | |
2,036,476 | Carrizo Oil & Gas, Inc.1,2 | 26,107,622 | |
461,145 | Delek US Holdings, Inc. | 17,090,034 | |
1,112,481 | Matador Resources Co.1,2 | 21,904,751 | |
1,195,307 | ProPetro Holding Corp.1 | 26,452,144 | |
117,567,539 | |||
Pharmaceuticals — 5.0% | |||
601,230 | Cambrex Corp.1 | 25,864,915 | |
195,529 | Emergent BioSolutions, Inc.1 | 10,104,939 | |
1,811,131 | Horizon Pharma PLC1 | 46,238,174 | |
1,084,747 | Supernus Pharmaceuticals, Inc.1 | 39,842,757 | |
1,679,931 | Vanda Pharmaceuticals, Inc.1 | 27,366,076 | |
149,416,861 | |||
Restaurants — 1.8% | |||
1,326,864 | Bloomin’ Brands, Inc. | 26,524,011 | |
489,197 | Dave & Buster’s Entertainment, Inc.2 | 27,805,958 | |
54,329,969 | |||
Retailers — 1.3% | |||
166,075 | Five Below, Inc.1 | 24,311,719 | |
1,939,699 | Party City Holdco, Inc.1,2 | 12,995,984 | |
37,307,703 | |||
Technology — 1.5% | |||
526,679 | j2 Global, Inc. | 46,147,614 |
108 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Telecommunications — 1.5% | |||
4,566,753 | Vonage Holdings Corp.1 | $44,388,839 | |
Textiles, Clothing & Fabrics — 0.9% | |||
309,513 | Oxford Industries, Inc. | 25,708,150 | |
TOTAL COMMON STOCKS (Cost $2,687,660,731) | 2,958,067,958 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 1.3% | |||
$37,689,913 | With Fixed Income Clearing Corp., dated 4/30/19, 0.50%, principal and interest in the amount of $37,690,437, due 5/1/19, (collateralized by a U.S. Treasury Note with a par value of $37,775,000, coupon rate of 2.750%, due 11/30/2020, market value of $38,446,148) | 37,689,913 | |
TOTAL REPURCHASE AGREEMENT (Cost $37,689,913) | 37,689,913 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 3.5% | |||
104,532,565 | State Street Navigator Securities Lending Government Money Market Portfolio | 104,532,565 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $104,532,565) | 104,532,565 | ||
TOTAL INVESTMENTS (Cost $2,829,883,209) | 103.6% | $3,100,290,436 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (3.6) | (107,618,852) | |
NET ASSETS | 100.0% | $2,992,671,584 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
109 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banking | 11.2% | $336,453,934 | |
Commercial Services | 8.8 | 264,083,079 | |
Electronics | 6.1 | 182,330,220 | |
Financial Services | 5.2 | 154,835,696 | |
Heavy Machinery | 5.0 | 150,148,809 | |
Pharmaceuticals | 5.0 | 149,416,861 | |
Medical Supplies | 4.6 | 136,710,144 | |
Computer Software & Processing | 4.1 | 123,846,921 | |
Oil & Gas | 3.9 | 117,567,539 | |
Forest Products & Paper | 3.9 | 116,982,502 | |
Heavy Construction | 3.7 | 111,261,609 | |
Building Materials | 2.9 | 86,905,970 | |
Communications | 2.7 | 81,311,633 | |
Lodging | 2.7 | 80,498,480 | |
Miscellaneous | 2.1 | 61,671,240 | |
Electrical Equipment | 2.0 | 59,884,860 | |
Restaurants | 1.8 | 54,329,969 | |
Media - Broadcasting & Publishing | 1.8 | 54,080,922 | |
Household Products | 1.7 | 51,942,448 | |
Insurance | 1.7 | 51,655,456 | |
Technology | 1.5 | 46,147,614 | |
Telecommunications | 1.5 | 44,388,839 | |
Automotive | 1.4 | 41,294,928 | |
Advertising | 1.3 | 37,473,128 | |
Retailers | 1.3 | 37,307,703 | |
Health Care Providers | 1.2 | 36,792,548 | |
Entertainment & Leisure | 1.2 | 35,746,207 | |
Computers & Information | 1.2 | 34,607,525 | |
Diversified Financial Services | 1.0 | 31,114,895 | |
Home Construction, Furnishings & Appliances | 1.0 | 30,378,960 | |
Beverages, Food & Tobacco | 1.0 | 29,970,279 | |
Electric Utilities | 1.0 | 29,780,174 | |
Airlines | 0.9 | 27,148,107 | |
Textiles, Clothing & Fabrics | 0.9 | 25,708,150 | |
Industrial - Diversified | 0.8 | 22,701,009 | |
Aerospace & Defense | 0.7 | 21,589,600 | |
TOTAL COMMON STOCKS | 98.8% | $2,958,067,958 | |
REPURCHASE AGREEMENT | 1.3 | 37,689,913 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 3.5 | 104,532,565 | |
TOTAL INVESTMENTS | 103.6% | $3,100,290,436 |
110 |
Shares | Value | ||
COMMON STOCKS* — 99.6% | |||
Advertising — 1.5% | |||
10,920 | Omnicom Group, Inc. | $873,928 | |
Airlines — 2.3% | |||
3,460 | FedEx Corp. | 655,532 | |
12,385 | Southwest Airlines Co. | 671,638 | |
1,327,170 | |||
Automotive — 0.9% | |||
19,850 | Honda Motor Co., Ltd., Sponsored ADR | 553,616 | |
Banking — 11.3% | |||
9,415 | Capital One Financial Corp. | 873,994 | |
22,305 | Citigroup, Inc. | 1,576,963 | |
22,465 | Citizens Financial Group, Inc. | 813,233 | |
9,935 | Comerica, Inc. | 780,792 | |
17,765 | E*TRADE Financial Corp. | 899,975 | |
53,060 | Regions Financial Corp. | 824,022 | |
3,510 | SVB Financial Group1 | 883,537 | |
6,652,516 | |||
Beverages, Food & Tobacco — 4.9% | |||
13,865 | Altria Group, Inc. | 753,286 | |
16,355 | Archer-Daniels-Midland Co. | 729,433 | |
5,475 | JM Smucker Co. (The) | 671,399 | |
9,915 | Tyson Foods, Inc. - Class A | 743,724 | |
2,897,842 | |||
Chemicals — 1.3% | |||
9,420 | Eastman Chemical Co. | 743,050 | |
Commercial Services — 2.8% | |||
501 | Booking Holdings, Inc.1 | 929,350 | |
18,825 | eBay, Inc. | 729,469 | |
1,658,819 | |||
Computer Software & Processing — 2.7% | |||
8,565 | DXC Technology Co. | 563,063 | |
18,350 | Oracle Corp. | 1,015,306 | |
1,578,369 | |||
Computers & Information — 1.3% | |||
5,465 | International Business Machines Corp. | 766,576 | |
Electric Utilities — 6.4% | |||
10,910 | American Electric Power Co., Inc. | 933,350 | |
8,920 | Entergy Corp. | 864,348 | |
20,825 | Exelon Corp. | 1,061,034 | |
15,365 | Public Service Enterprise Group, Inc. | 916,522 | |
3,775,254 | |||
Electronics — 3.6% | |||
29,775 | Intel Corp. | 1,519,716 | |
6,445 | TE Connectivity, Ltd. | 616,464 | |
2,136,180 | |||
Financial Services — 10.7% | |||
8,921 | Ameriprise Financial, Inc. | 1,309,335 | |
68,920 | Bank of America Corp. | 2,107,574 | |
10,640 | JPMorgan Chase & Co. | 1,234,772 | |
8,235 | Mid-America Apartment Communities, Inc. | 900,991 |
111 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Financial Services — (Continued) | |||
3,465 | Public Storage | $766,389 | |
6,319,061 | |||
Forest Products & Paper — 2.5% | |||
16,835 | International Paper Co. | 788,047 | |
17,985 | WestRock Co. | 690,264 | |
1,478,311 | |||
Health Care Providers — 1.5% | |||
5,475 | Laboratory Corp. of America Holdings1 | 875,562 | |
Heavy Machinery — 4.8% | |||
3,460 | Caterpillar, Inc. | 482,393 | |
4,450 | Cummins, Inc. | 739,991 | |
12,390 | Eaton Corp. PLC | 1,026,140 | |
3,280 | Parker-Hannifin Corp. | 593,942 | |
2,842,466 | |||
Insurance — 3.8% | |||
14,985 | Aflac, Inc. | 754,944 | |
8,425 | Allstate Corp. (The) | 834,581 | |
8,155 | Progressive Corp. (The) | 637,313 | |
2,226,838 | |||
Media - Broadcasting & Publishing — 2.9% | |||
17,860 | Comcast Corp. - Class A | 777,446 | |
30,255 | Discovery, Inc. - Class A1,2 | 934,879 | |
1,712,325 | |||
Medical Supplies — 1.6% | |||
7,425 | Ingersoll-Rand PLC | 910,379 | |
Metals & Mining — 0.9% | |||
17,355 | Corning, Inc. | 552,757 | |
Oil & Gas — 10.1% | |||
14,860 | Chevron Corp. | 1,784,092 | |
13,240 | ConocoPhillips | 835,709 | |
27,280 | Exxon Mobil Corp. | 2,190,038 | |
12,670 | Valero Energy Corp. | 1,148,662 | |
5,958,501 | |||
Pharmaceuticals — 12.7% | |||
14,870 | Cardinal Health, Inc. | 724,318 | |
5,244 | Cigna Corp.1 | 832,957 | |
14,860 | Johnson & Johnson | 2,098,232 | |
23,425 | Merck & Co., Inc. | 1,843,782 | |
48,950 | Pfizer, Inc. | 1,987,859 | |
7,487,148 | |||
Real Estate Investment Trusts — 2.3% | |||
8,920 | Lamar Advertising Co. - Class A | 737,416 | |
10,415 | Ventas, Inc. | 636,461 | |
1,373,877 | |||
Retailers — 1.8% | |||
1,005 | AutoZone, Inc.1 | 1,033,451 | |
Technology — 2.7% | |||
28,770 | Cisco Systems, Inc. | 1,609,681 |
112 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Telecommunications — 2.3% | |||
43,852 | AT&T, Inc. | $1,357,659 | |
TOTAL COMMON STOCKS (Cost $51,421,139) | 58,701,336 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.6% | |||
$365,572 | With Fixed Income Clearing Corp., dated 4/30/19, 0.50%, principal and interest in the amount of $365,577, due 5/1/19, (collateralized by a U.S. Treasury Note with a par value of $370,000, coupon rate of 2.750%, due 11/30/2020, market value of $376,574) | 365,572 | |
TOTAL REPURCHASE AGREEMENT (Cost $365,572) | 365,572 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 1.7% | |||
987,512 | State Street Navigator Securities Lending Government Money Market Portfolio | 987,512 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $987,512) | 987,512 | ||
TOTAL INVESTMENTS (Cost $52,774,223) | 101.9% | $60,054,420 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.9) | (1,101,957) | |
NET ASSETS | 100.0% | $58,952,463 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
Abbreviations: |
ADR — American Depositary Receipt |
113 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Pharmaceuticals | 12.7% | $7,487,148 | |
Banking | 11.3 | 6,652,516 | |
Financial Services | 10.7 | 6,319,061 | |
Oil & Gas | 10.1 | 5,958,501 | |
Electric Utilities | 6.4 | 3,775,254 | |
Beverages, Food & Tobacco | 4.9 | 2,897,842 | |
Heavy Machinery | 4.8 | 2,842,466 | |
Insurance | 3.8 | 2,226,838 | |
Electronics | 3.6 | 2,136,180 | |
Media - Broadcasting & Publishing | 2.9 | 1,712,325 | |
Commercial Services | 2.8 | 1,658,819 | |
Technology | 2.7 | 1,609,681 | |
Computer Software & Processing | 2.7 | 1,578,369 | |
Forest Products & Paper | 2.5 | 1,478,311 | |
Real Estate Investment Trusts | 2.3 | 1,373,877 | |
Telecommunications | 2.3 | 1,357,659 | |
Airlines | 2.3 | 1,327,170 | |
Retailers | 1.8 | 1,033,451 | |
Medical Supplies | 1.6 | 910,379 | |
Health Care Providers | 1.5 | 875,562 | |
Advertising | 1.5 | 873,928 | |
Computers & Information | 1.3 | 766,576 | |
Chemicals | 1.3 | 743,050 | |
Automotive | 0.9 | 553,616 | |
Metals & Mining | 0.9 | 552,757 | |
TOTAL COMMON STOCKS | 99.6% | $58,701,336 | |
REPURCHASE AGREEMENT | 0.6 | 365,572 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 1.7 | 987,512 | |
TOTAL INVESTMENTS | 101.9% | $60,054,420 |
114 |
Shares | Value | ||
COMMON STOCKS* — 99.1% | |||
Aerospace & Defense — 2.3% | |||
1,610 | Lockheed Martin Corp. | $536,661 | |
Air Freight & Logistics — 1.0% | |||
2,145 | United Parcel Service, Inc. - Class B | 227,842 | |
Banks — 3.1% | |||
8,635 | BB&T Corp. | 442,112 | |
2,065 | PNC Financial Services Group, Inc. (The) | 282,760 | |
724,872 | |||
Beverages — 1.6% | |||
2,960 | PepsiCo, Inc. | 379,028 | |
Biotechnology — 4.1% | |||
6,140 | AbbVie, Inc. | 487,454 | |
2,630 | Amgen, Inc. | 471,612 | |
959,066 | |||
Capital Markets — 5.5% | |||
1,615 | Ameriprise Financial, Inc. | 237,034 | |
750 | BlackRock, Inc. | 363,930 | |
2,830 | Northern Trust Corp. | 278,896 | |
3,670 | T Rowe Price Group, Inc. | 394,525 | |
1,274,385 | |||
Chemicals — 3.1% | |||
2,140 | Air Products & Chemicals, Inc. | 440,391 | |
4,605 | RPM International, Inc. | 279,293 | |
719,684 | |||
Communications Equipment — 3.9% | |||
15,980 | Cisco Systems, Inc. | 894,081 | |
Distributors — 1.7% | |||
3,910 | Genuine Parts Co. | 400,931 | |
Diversified Telecommunication Services — 3.4% | |||
13,446 | AT&T, Inc. | 416,288 | |
6,665 | Verizon Communications, Inc. | 381,172 | |
797,460 | |||
Electric Utilities — 1.2% | |||
6,795 | OGE Energy Corp. | 287,700 | |
Electrical Equipment — 1.4% | |||
3,910 | Eaton Corp. PLC | 323,826 | |
Electronic Equipment, Instruments & Components — 3.6% | |||
9,670 | Corning, Inc. | 307,990 | |
5,370 | TE Connectivity, Ltd. | 513,640 | |
821,630 | |||
Equity Real Estate Investment Trusts — 1.8% | |||
5,115 | Lamar Advertising Co. - Class A | 422,857 | |
Food Products — 3.4% | |||
2,895 | Hershey Co. (The) | 361,441 | |
10,465 | Hormel Foods Corp.1 | 417,972 | |
779,413 | |||
Health Care Providers & Services — 2.6% | |||
3,430 | Cardinal Health, Inc. | 167,075 |
115 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Health Care Providers & Services — (Continued) | |||
4,515 | Quest Diagnostics, Inc. | $435,156 | |
602,231 | |||
Hotels, Restaurants & Leisure — 4.3% | |||
3,350 | McDonald’s Corp. | 661,859 | |
4,175 | Starbucks Corp. | 324,314 | |
986,173 | |||
Household Products — 1.6% | |||
2,955 | Kimberly-Clark Corp. | 379,363 | |
Industrial Conglomerates — 2.3% | |||
2,825 | 3M Co. | 535,366 | |
Insurance — 4.4% | |||
6,840 | Aflac, Inc. | 344,599 | |
3,040 | Allstate Corp. (The) | 301,142 | |
6,610 | Principal Financial Group, Inc. | 377,828 | |
1,023,569 | |||
IT Services — 5.6% | |||
2,075 | Accenture PLC - Class A | 379,040 | |
10,995 | Paychex, Inc. | 926,989 | |
1,306,029 | |||
Leisure Product — 1.3% | |||
2,830 | Hasbro, Inc. | 288,264 | |
Machinery — 1.2% | |||
1,610 | Snap-on, Inc. | 270,931 | |
Media — 1.7% | |||
4,815 | Omnicom Group, Inc. | 385,344 | |
Multi-Utilities — 3.4% | |||
2,440 | DTE Energy Co. | 306,732 | |
3,730 | Public Service Enterprise Group, Inc. | 222,495 | |
3,360 | WEC Energy Group, Inc. | 263,525 | |
792,752 | |||
Oil, Gas & Consumable Fuels — 6.0% | |||
3,685 | Chevron Corp. | 442,421 | |
6,475 | Exxon Mobil Corp. | 519,813 | |
4,605 | Valero Energy Corp. | 417,489 | |
1,379,723 | |||
Pharmaceuticals — 7.3% | |||
5,445 | Johnson & Johnson | 768,834 | |
5,370 | Merck & Co., Inc. | 422,673 | |
12,495 | Pfizer, Inc. | 507,422 | |
1,698,929 | |||
Road & Rail — 1.2% | |||
1,545 | Union Pacific Corp. | 273,527 | |
Semiconductors & Semiconductor Equipment — 9.7% | |||
8,355 | Intel Corp. | 426,439 | |
2,300 | Lam Research Corp. | 477,089 | |
11,975 | Maxim Integrated Products, Inc. | 718,500 | |
5,195 | Texas Instruments, Inc. | 612,127 | |
2,234,155 |
116 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Software — 2.2% | |||
3,830 | Microsoft Corp. | $500,198 | |
Specialty Retail — 2.1% | |||
2,400 | Home Depot, Inc. (The) | 488,880 | |
Tobacco — 1.1% | |||
4,735 | Altria Group, Inc. | 257,253 | |
TOTAL COMMON STOCKS (Cost $19,903,405) | 22,952,123 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.8% | |||
$196,733 | With Fixed Income Clearing Corp., dated 4/30/19, 0.50%, principal and interest in the amount of $196,736, due 5/1/19, (collateralized by a U.S. Treasury Note with a par value of $200,000, coupon rate of 2.750%, due 11/30/2020, market value of $203,553) | 196,733 | |
TOTAL REPURCHASE AGREEMENT (Cost $196,733) | 196,733 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 1.0% | |||
225,140 | State Street Navigator Securities Lending Government Money Market Portfolio | 225,140 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $225,140) | 225,140 | ||
TOTAL INVESTMENTS (Cost $20,325,278) | 100.9% | $23,373,996 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.9) | (211,343) | |
NET ASSETS | 100.0% | $23,162,653 |
* | Percentages indicated are based on net assets. |
1 | Securities or partial securities on loan. See Note 1. |
117 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Semiconductors & Semiconductor Equipment | 9.7% | $2,234,155 | |
Pharmaceuticals | 7.3 | 1,698,929 | |
Oil, Gas & Consumable Fuels | 6.0 | 1,379,723 | |
IT Services | 5.6 | 1,306,029 | |
Capital Markets | 5.5 | 1,274,385 | |
Insurance | 4.4 | 1,023,569 | |
Hotels, Restaurants & Leisure | 4.3 | 986,173 | |
Biotechnology | 4.1 | 959,066 | |
Communications Equipment | 3.9 | 894,081 | |
Electronic Equipment, Instruments & Components | 3.6 | 821,630 | |
Diversified Telecommunication Services | 3.4 | 797,460 | |
Multi-Utilities | 3.4 | 792,752 | |
Food Products | 3.4 | 779,413 | |
Banks | 3.1 | 724,872 | |
Chemicals | 3.1 | 719,684 | |
Health Care Providers & Services | 2.6 | 602,231 | |
Aerospace & Defense | 2.3 | 536,661 | |
Industrial Conglomerates | 2.3 | 535,366 | |
Software | 2.2 | 500,198 | |
Specialty Retail | 2.1 | 488,880 | |
Equity Real Estate Investment Trusts | 1.8 | 422,857 | |
Distributors | 1.7 | 400,931 | |
Media | 1.7 | 385,344 | |
Household Products | 1.6 | 379,363 | |
Beverages | 1.6 | 379,028 | |
Electrical Equipment | 1.4 | 323,826 | |
Leisure Product | 1.3 | 288,264 | |
Electric Utilities | 1.2 | 287,700 | |
Road & Rail | 1.2 | 273,527 | |
Machinery | 1.2 | 270,931 | |
Tobacco | 1.1 | 257,253 | |
Air Freight & Logistics | 1.0 | 227,842 | |
TOTAL COMMON STOCKS | 99.1% | $22,952,123 | |
REPURCHASE AGREEMENT | 0.8 | 196,733 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 1.0 | 225,140 | |
TOTAL INVESTMENTS | 100.9% | $23,373,996 |
118 |
Shares | Value | ||
EXCHANGE-TRADED FUNDS* — 2.2% | |||
22,100 | SPDR S&P 500 ETF Trust1 | $6,497,842 | |
30,000 | Vanguard S&P 500 ETF1 | 8,100,300 | |
TOTAL EXCHANGE-TRADED FUNDS (Cost $6,430,609) | 14,598,142 | ||
Face Amount | |||
U.S. TREASURY BILL* — 19.9% | |||
$135,000,000 | U.S. Treasury Bills, 2.426% due 10/10/191 | 133,557,188 | |
TOTAL U.S. TREASURY BILL (Cost $133,549,369) | 133,557,188 | ||
REPURCHASE AGREEMENT* — 1.2% | |||
8,123,575 | With Fixed Income Clearing Corp., dated 4/30/19, 0.50%, principal and interest in the amount of $8,123,688, due 5/1/19, (collateralized by a U.S. Treasury Note with a par value of $8,145,000, coupon rate of 2.750%, due 11/30/2020, market value of $8,289,712) | 8,123,575 | |
TOTAL REPURCHASE AGREEMENT (Cost $8,123,575) | 8,123,575 | ||
TOTAL PURCHASED OPTIONS (Cost $523,965,710) | 79.4% | 532,349,125 | |
TOTAL INVESTMENTS (Cost $672,069,263) | 102.7% | $688,628,030 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (2.7) | (17,858,470) | |
NET ASSETS2 | 100.0% | $670,769,560 |
* | Percentages indicated are based on net assets. |
1 | All or a portion of this security is held as collateral for written options. |
2 | Cash in the amount of $4,678,130 is held as collateral to secure the open written call and put options contracts. |
119 |
Description | Counterparty | Exercise Price/ FX Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Recieved by Fund) | Unrealized Appreciation/ (Depreciation) | |||||||||
PURCHASED OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 06/21/19 | USD | 5,225 | $1,539,196,175 | $493,971,500 | $430,132,167 | $63,839,333 | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 3,000.00 | 06/21/19 | USD | 5,225 | 1,539,196,175 | 38,377,625 | 93,833,543 | (55,455,918) | ||||||||
TOTAL PURCHASED OPTIONS | $3,078,392,350 | $532,349,125 | $523,965,710 | $8,383,415 | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALL: | |||||||||||||||||
S&P 500 Index | OCC** | 3,000.00 | 06/21/19 | USD | 5,225 | (1,539,196,175) | (11,573,375) | (4,077,168) | (7,496,207) | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,750.00 | 05/17/19 | USD | 740 | (217,991,420) | (214,600) | (2,281,128) | 2,066,528 | ||||||||
S&P 500 Index | OCC** | 2,850.00 | 05/17/19 | USD | 580 | (170,858,140) | (406,000) | (947,209) | 541,209 | ||||||||
S&P 500 Index | OCC** | 2,900.00 | 05/17/19 | USD | 270 | (79,537,410) | (342,900) | (799,764) | 456,864 | ||||||||
S&P 500 Index | OCC** | 2,950.00 | 05/17/19 | USD | 360 | (106,049,880) | (966,600) | (1,465,920) | 499,320 | ||||||||
S&P 500 Index | OCC** | 2,000.00 | 06/21/19 | USD | 5,225 | (1,539,196,175) | (274,312) | (993,918) | 719,606 | ||||||||
TOTAL PUTS | $(2,113,633,025) | $(2,204,412) | $(6,487,939) | $4,283,527 | |||||||||||||
TOTAL WRITTEN OPTIONS | $(3,652,829,200) | $(13,777,787) | $(10,565,107) | $(3,212,680) |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
Purchased Options | 79.4% | $532,349,125 | |
U.S. Treasury Bill | 19.9 | 133,557,188 | |
Exchange-Traded Funds | 2.2 | 14,598,142 | |
TOTAL | 101.5% | $680,504,455 | |
REPURCHASE AGREEMENT | 1.2 | 8,123,575 | |
TOTAL INVESTMENTS | 102.7% | $688,628,030 |
120 |
Shares | Value | ||
EXCHANGE-TRADED FUND* — 4.4% | |||
800 | iShares MSCI EAFE ETF1 | $53,408 | |
TOTAL EXCHANGE-TRADED FUND (Cost $47,682) | 53,408 | ||
Face Amount | |||
U.S. TREASURY BILLS* — 91.0% | |||
$700,000 | U.S. Treasury Bills, 2.392% due 07/11/191 | 696,721 | |
420,000 | U.S. Treasury Bills, 2.426% due 10/10/191 | 415,511 | |
TOTAL U.S. TREASURY BILLS (Cost $1,112,180) | 1,112,232 | ||
TOTAL INVESTMENTS (Cost $1,159,862) | 95.4% | $1,165,640 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 4.6 | 56,616 | |
NET ASSETS2 | 100.0% | $1,222,256 |
* | Percentages indicated are based on net assets. |
1 | All or a portion of this security is held as collateral for written options. |
2 | Cash in the amount of $2,697 is held as collateral to secure the open written call and put options contracts. |
121 |
Description | Counterparty | Exercise Price/ FX Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Recieved by Fund) | Unrealized Appreciation/ (Depreciation) | |||||||||
WRITTEN OPTIONS | |||||||||||||||||
PUTS: | |||||||||||||||||
iShares MSCI Emerging Market ETF | OCC** | 42.00 | 05/17/19 | USD | 25 | $(109,825) | $(225) | $(1,760) | $1,535 | ||||||||
iShares MSCI EAFE ETF | OCC** | 63.00 | 05/17/19 | USD | 50 | (333,800) | (675) | (2,475) | 1,800 | ||||||||
Russell 2000 Index | OCC** | 1,550.00 | 05/17/19 | USD | 1 | (159,121) | (750) | (3,335) | 2,585 | ||||||||
S&P 500 Index | OCC** | 2,850.00 | 05/17/19 | USD | 2 | (589,166) | (1,400) | (12,285) | 10,885 | ||||||||
TOTAL PUTS | $(1,191,912) | $(3,050) | $(19,855) | $16,805 | |||||||||||||
TOTAL WRITTEN OPTIONS | $(1,191,912) | $(3,050) | $(19,855) | $16,805 |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
U.S. Treasury Bills | 91.0% | $1,112,232 | |
Exchange-Traded Fund | 4.4 | 53,408 | |
TOTAL | 95.4% | $1,165,640 | |
TOTAL INVESTMENTS | 95.4% | $1,165,640 |
122 |
Shares | Value | ||
COMMON STOCKS* — 50.0% | |||
Aerospace & Defense — 0.2% | |||
221 | Vectrus, Inc.1,2 | $8,962 | |
Air Freight & Logistics — 0.5% | |||
371 | Expeditors International of Washington, Inc.2 | 29,465 | |
Automobiles — 0.6% | |||
3,109 | Ford Motor Co.2 | 32,489 | |
Banks — 6.3% | |||
937 | Bank of America Corp.2 | 28,653 | |
838 | Bank OZK2 | 27,361 | |
571 | Cadence BanCorp2 | 12,990 | |
709 | Cathay General Bancorp2 | 26,084 | |
746 | Citizens Financial Group, Inc.2 | 27,005 | |
500 | East West Bancorp, Inc.2 | 25,740 | |
2,435 | First BanCorp2 | 27,516 | |
1,027 | First Hawaiian, Inc.2 | 28,397 | |
2,259 | FNB Corp.2 | 27,402 | |
742 | Great Western Bancorp, Inc.2 | 26,096 | |
355 | IBERIABANK Corp.2 | 28,222 | |
1,668 | Regions Financial Corp.2 | 25,904 | |
620 | Umpqua Holdings Corp.2 | 10,763 | |
542 | Zions Bancorp N.A.2 | 26,737 | |
348,870 | |||
Beverages — 0.5% | |||
449 | Monster Beverage Corp.1,2 | 26,760 | |
Building Products — 1.0% | |||
369 | Armstrong World Industries, Inc.2 | 31,981 | |
1,054 | Resideo Technologies, Inc.1,2 | 23,926 | |
55,907 | |||
Capital Markets — 1.4% | |||
562 | E*TRADE Financial Corp.2 | 28,471 | |
907 | Federated Investors, Inc. - Class B2 | 27,872 | |
216 | SEI Investments Co.2 | 11,761 | |
594 | Waddell & Reed Financial, Inc. - Class A2 | 11,126 | |
79,230 | |||
Chemicals — 0.9% | |||
1,111 | Huntsman Corp.2 | 24,709 | |
164 | Innospec, Inc.2 | 13,910 | |
412 | Olin Corp.2 | 8,936 | |
47,555 | |||
Commercial Services & Supplies — 1.6% | |||
316 | ABM Industries, Inc.2 | 11,999 | |
409 | Brady Corp. - Class A2 | 19,955 | |
1,591 | Steelcase, Inc. - Class A2 | 27,508 | |
464 | Tetra Tech, Inc.2 | 30,030 | |
89,492 | |||
Communications Equipment — 0.5% | |||
705 | EchoStar Corp. - Class A1,2 | 28,094 | |
Construction & Engineering — 1.7% | |||
899 | AECOM1,2 | 30,476 | |
389 | EMCOR Group, Inc.2 | 32,730 |
123 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Construction & Engineering — (Continued) | |||
771 | Quanta Services, Inc.2 | $31,303 | |
94,509 | |||
Consumer Finance — 1.8% | |||
1,031 | Ally Financial, Inc.2 | 30,631 | |
134 | Capital One Financial Corp.2 | 12,439 | |
2,485 | SLM Corp.2 | 25,248 | |
861 | Synchrony Financial2 | 29,851 | |
98,169 | |||
Containers & Packaging — 0.6% | |||
527 | Berry Global Group, Inc.1,2 | 30,988 | |
Diversified Consumer Services — 0.4% | |||
207 | Adtalem Global Education, Inc.1,2 | 10,209 | |
240 | Service Corp. International2 | 9,987 | |
20,196 | |||
Diversified Financial Services — 0.5% | |||
555 | Voya Financial, Inc.2 | 30,464 | |
Electric Utilities — 0.7% | |||
658 | OGE Energy Corp.2 | 27,860 | |
354 | PPL Corp.2 | 11,048 | |
38,908 | |||
Electrical Equipment — 1.0% | |||
147 | AMETEK, Inc.2 | 12,961 | |
1,004 | nVent Electric PLC2 | 28,062 | |
144 | Regal Beloit Corp.2 | 12,251 | |
53,274 | |||
Electronic Equipment, Instruments & Components — 0.5% | |||
463 | Fabrinet1,2 | 28,021 | |
Energy Equipment & Services — 0.2% | |||
475 | Baker Hughes a GE Co.2 | 11,410 | |
Equity Real Estate Investment Trusts — 4.5% | |||
638 | American Assets Trust, Inc.2 | 29,469 | |
902 | CubeSmart2 | 28,783 | |
378 | EPR Properties2 | 29,809 | |
755 | Gaming and Leisure Properties, Inc.2 | 30,487 | |
405 | Hospitality Properties Trust2 | 10,530 | |
581 | Host Hotels & Resorts, Inc.2 | 11,178 | |
610 | LTC Properties, Inc.2 | 27,486 | |
886 | Park Hotels & Resorts, Inc.2 | 28,423 | |
2,209 | Retail Properties of America, Inc. - Class A2 | 27,149 | |
859 | STORE Capital Corp.2 | 28,622 | |
251,936 | |||
Food & Staples Retailing — 0.2% | |||
317 | US Foods Holding Corp.1,2 | 11,586 | |
Food Products — 0.5% | |||
259 | General Mills, Inc.2 | 13,331 | |
188 | Tyson Foods, Inc. - Class A2 | 14,102 | |
27,433 | |||
Gas Utilities — 0.2% | |||
181 | UGI Corp.2 | 9,866 |
124 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Health Care Equipment & Supplies — 1.8% | |||
623 | Avanos Medical, Inc.1,2 | $26,135 | |
365 | CONMED Corp.2 | 29,211 | |
190 | Orthofix Medical, Inc.1,2 | 10,410 | |
2,166 | SeaSpine Holdings Corp.1,2 | 31,905 | |
97,661 | |||
Health Care Providers & Services — 0.5% | |||
1,847 | Select Medical Holdings Corp.1,2 | 26,541 | |
Hotels, Restaurants & Leisure — 1.4% | |||
551 | Bloomin’ Brands, Inc.2 | 11,014 | |
144 | Hilton Worldwide Holdings, Inc.2 | 12,527 | |
505 | Wyndham Hotels & Resorts, Inc.2 | 28,139 | |
589 | Yum China Holdings, Inc.2 | 28,001 | |
79,681 | |||
Household Durables — 0.2% | |||
388 | PulteGroup, Inc.2 | 12,207 | |
Household Products — 0.1% | |||
58 | Procter & Gamble Co. (The)2 | 6,176 | |
Independent Power & Renewable Electricity Producer — 0.5% | |||
1,607 | AES Corp.2 | 27,512 | |
Insurance — 2.4% | |||
866 | American Equity Investment Life Holding Co.2 | 25,469 | |
195 | American National Insurance Co.2 | 22,092 | |
316 | Athene Holding, Ltd. - Class A1,2 | 14,271 | |
134 | Brighthouse Financial, Inc.1,2 | 5,600 | |
255 | MetLife, Inc.2 | 11,763 | |
482 | Old Republic International Corp.2 | 10,777 | |
323 | Torchmark Corp.2 | 28,314 | |
347 | Unum Group2 | 12,811 | |
131,097 | |||
Internet & Direct Marketing Retail — 0.4% | |||
1,243 | Qurate Retail, Inc.1,2 | 21,193 | |
IT Services — 1.3% | |||
396 | Akamai Technologies, Inc.1,2 | 31,704 | |
387 | Cognizant Technology Solutions Corp. - Class A2 | 28,236 | |
184 | Leidos Holdings, Inc.2 | 13,520 | |
73,460 | |||
Leisure Product — 0.2% | |||
222 | Brunswick Corp.2 | 11,369 | |
Life Sciences Tools & Services — 0.5% | |||
498 | Medpace Holdings, Inc.1,2 | 27,973 | |
Machinery — 2.6% | |||
243 | AGCO Corp.2 | 17,199 | |
1,028 | Colfax Corp.1,2 | 31,015 | |
472 | ITT, Inc.2 | 28,580 | |
1,014 | Rexnord Corp.1,2 | 29,000 | |
70 | Snap-on, Inc.2 | 11,780 | |
786 | Terex Corp.2 | 26,197 | |
143,771 |
125 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Media — 0.5% | |||
435 | AMC Networks, Inc. - Class A1,2 | $25,408 | |
Metals & Mining — 0.6% | |||
805 | Newmont Goldcorp Corp.2 | 25,003 | |
186 | Nucor Corp.2 | 10,615 | |
35,618 | |||
Mortgage Real Estate Investment Trust — 0.5% | |||
1,301 | PennyMac Mortgage Investment Trust2 | 27,321 | |
Multi-Utilities — 1.0% | |||
890 | CenterPoint Energy, Inc.2 | 27,590 | |
1,062 | MDU Resources Group, Inc.2 | 27,771 | |
55,361 | |||
Oil, Gas & Consumable Fuels — 1.2% | |||
708 | California Resources Corp.1,2 | 14,925 | |
2,508 | Range Resources Corp.2 | 22,672 | |
6,300 | Southwestern Energy Co.1,2 | 24,885 | |
230 | World Fuel Services Corp.2 | 7,096 | |
69,578 | |||
Paper & Forest Products — 0.4% | |||
426 | Domtar Corp.2 | 20,831 | |
Professional Services — 0.5% | |||
211 | Navigant Consulting, Inc.2 | 4,817 | |
409 | Robert Half International, Inc.2 | 25,395 | |
30,212 | |||
Real Estate Management & Development — 0.2% | |||
247 | CBRE Group, Inc. - Class A1,2 | 12,861 | |
Semiconductors & Semiconductor Equipment — 1.3% | |||
517 | Diodes, Inc.1,2 | 18,829 | |
113 | Intel Corp.2 | 5,767 | |
1,193 | ON Semiconductor Corp.1,2 | 27,511 | |
381 | Versum Materials, Inc.2 | 19,881 | |
71,988 | |||
Software — 0.3% | |||
586 | Symantec Corp.2 | 14,187 | |
Specialty Retail — 2.1% | |||
160 | Aaron’s, Inc.2 | 8,910 | |
1,370 | American Eagle Outfitters, Inc.2 | 32,579 | |
1,656 | Bed Bath & Beyond, Inc.2 | 27,672 | |
652 | Dick’s Sporting Goods, Inc.2 | 24,124 | |
571 | Penske Automotive Group, Inc.2 | 26,220 | |
119,505 | |||
Technology Hardware, Storage & Peripherals — 1.0% | |||
1,647 | Hewlett Packard Enterprise Co.2 | 26,039 | |
878 | Xerox Corp.2 | 29,290 | |
55,329 | |||
Textiles, Apparel & Luxury Goods — 0.8% | |||
606 | Capri Holdings, Ltd.2 | 26,712 | |
448 | Skechers U.S.A., Inc. - Class A1,2 | 14,184 | |
143 | Tapestry, Inc.2 | 4,615 | |
45,511 |
126 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Thrifts & Mortgage Finance — 1.1% | |||
637 | Essent Group, Ltd.1,2 | $30,226 | |
1,345 | Radian Group, Inc.2 | 31,500 | |
61,726 | |||
Trading Companies & Distributors — 0.2% | |||
213 | WESCO International, Inc.1,2 | 12,192 | |
Wireless Telecommunication Services — 0.1% | |||
148 | Telephone & Data Systems, Inc.2 | 4,718 | |
TOTAL COMMON STOCKS (Cost $2,571,914) | 2,774,571 | ||
Face Amount | |||
U.S. TREASURY BILL — 28.7% | |||
$1,600,000 | U.S. Treasury Bill, 2.310% due 05/23/19 | 1,597,681 | |
TOTAL U.S. TREASURY BILL (Cost $1,597,665) | 1,597,681 | ||
TOTAL PURCHASED OPTIONS (Cost $2,506,540) | 45.9% | 2,547,125 | |
TOTAL LONG INVESTMENTS (Cost $6,676,119) | 124.6% | $6,919,377 | |
Shares | |||
COMMON STOCKS SOLD SHORT — (45.0)% | |||
Aerospace & Defense — (0.3)% | |||
(101) | United Technologies Corp. | (14,404) | |
Air Freight & Logistics — (0.5)% | |||
(152) | FedEx Corp. | (28,798) | |
Auto Components — (0.8)% | |||
(509) | LCI Industries | (44,716) | |
Banks — (5.4)% | |||
(673) | Ameris Bancorp | (24,538) | |
(892) | Berkshire Hills Bancorp, Inc. | (26,751) | |
(1,056) | CenterState Bank Corp. | (26,062) | |
(540) | CIT Group, Inc. | (28,766) | |
(1,258) | CVB Financial Corp. | (27,299) | |
(266) | First Republic Bank | (28,095) | |
(2,339) | Old National Bancorp | (39,950) | |
(1,560) | People’s United Financial, Inc. | (26,972) | |
(956) | Seacoast Banking Corp. of Florida1 | (27,112) | |
(45) | Signature Bank | (5,943) | |
(1,023) | Simmons First National Corp. - Class A | (25,974) | |
(330) | Southside Bancshares, Inc. | (11,593) | |
(299,055) | |||
Beverages — (0.5)% | |||
(484) | Brown-Forman Corp. - Class B | (25,792) | |
Capital Markets — (3.3)% | |||
(4,488) | BGC Partners, Inc. - Class A | (24,235) | |
(589) | Charles Schwab Corp. (The) | (26,964) | |
(78) | CME Group, Inc. | (13,954) |
127 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT — (Continued) | |||
Capital Markets — (Continued) | |||
(61) | FactSet Research Systems, Inc. | $(16,828) | |
(138) | Goldman Sachs Group, Inc. (The) | (28,417) | |
(172) | Intercontinental Exchange, Inc. | (13,992) | |
(73) | Moody’s Corp. | (14,353) | |
(153) | Nasdaq, Inc. | (14,107) | |
(137) | S&P Global, Inc. | (30,231) | |
(183,081) | |||
Chemicals — (0.9)% | |||
(505) | DowDuPont, Inc. | (19,417) | |
(220) | International Flavors & Fragrances, Inc. | (30,314) | |
(49,731) | |||
Commercial Services & Supplies — (2.0)% | |||
(789) | Casella Waste Systems, Inc. - Class A1 | (29,445) | |
(1,632) | Covanta Holding Corp. | (29,490) | |
(612) | Stericycle, Inc.1 | (35,735) | |
(131) | Waste Management, Inc. | (14,062) | |
(108,732) | |||
Communications Equipment — (0.3)% | |||
(175) | ViaSat, Inc.1 | (15,894) | |
Construction & Engineering — (1.0)% | |||
(370) | Jacobs Engineering Group, Inc. | (28,838) | |
(205) | Valmont Industries, Inc. | (27,642) | |
(56,480) | |||
Construction Materials — (0.7)% | |||
(164) | Eagle Materials, Inc. | (14,909) | |
(107) | Martin Marietta Materials, Inc. | (23,744) | |
(38,653) | |||
Consumer Finance — (0.2)% | |||
(204) | Nelnet, Inc. - Class A | (11,842) | |
Distributors — (1.1)% | |||
(484) | LKQ Corp.1 | (14,568) | |
(256) | Pool Corp. | (47,038) | |
(61,606) | |||
Diversified Consumer Services — (0.2)% | |||
(67) | Strategic Education, Inc. | (9,604) | |
Diversified Telecommunication Services — (0.2)% | |||
(221) | Cogent Communications Holdings, Inc. | (12,206) | |
Electronic Equipment, Instruments & Components — (1.0)% | |||
(513) | Cognex Corp. | (25,871) | |
(144) | Littelfuse, Inc. | (28,951) | |
(54,822) | |||
Equity Real Estate Investment Trusts — (4.2)% | |||
(240) | Digital Realty Trust, Inc. | (28,251) | |
(61) | Equinix, Inc. | (27,737) | |
(734) | Equity Commonwealth | (23,341) | |
(353) | HCP, Inc. | (10,512) | |
(797) | Healthcare Realty Trust, Inc. | (24,611) | |
(638) | Macerich Co. (The) | (25,609) | |
(153) | SBA Communications Corp.1 | (31,171) |
128 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT — (Continued) | |||
Equity Real Estate Investment Trusts — (Continued) | |||
(306) | SL Green Realty Corp. | $(27,032) | |
(520) | Taubman Centers, Inc. REIT | (25,636) | |
(409) | Washington Real Estate Investment Trust | (11,550) | |
(235,450) | |||
Food Products — (0.2)% | |||
(598) | Hain Celestial Group, Inc. (The)1 | (13,048) | |
Gas Utilities — (0.4)% | |||
(491) | New Jersey Resources Corp. | (24,589) | |
Health Care Equipment & Supplies — (1.3)% | |||
(133) | Baxter International, Inc. | (10,148) | |
(109) | Becton Dickinson & Co. | (26,240) | |
(82) | Edwards Lifesciences Corp.1 | (14,438) | |
(202) | LivaNova PLC1 | (13,916) | |
(91) | ResMed, Inc. | (9,510) | |
(74,252) | |||
Health Care Providers & Services — (0.4)% | |||
(813) | MEDNAX, Inc.1 | (22,740) | |
Hotels, Restaurants & Leisure — (0.8)% | |||
(291) | Cheesecake Factory, Inc. (The) | (14,439) | |
(349) | Jack in the Box, Inc. | (26,908) | |
(41,347) | |||
Household Durables — (0.6)% | |||
(592) | Leggett & Platt, Inc. | (23,301) | |
(63) | Mohawk Industries, Inc.1 | (8,584) | |
(31,885) | |||
Household Products — (0.2)% | |||
(65) | Clorox Co. (The) | (10,382) | |
Industrial Conglomerates — (0.7)% | |||
(132) | 3M Co. | (25,015) | |
(1,305) | General Electric Co. | (13,272) | |
(38,287) | |||
Insurance — (1.5)% | |||
(204) | American International Group, Inc. | (9,704) | |
(171) | Arthur J Gallagher & Co. | (14,299) | |
(27) | Markel Corp.1 | (28,931) | |
(521) | Mercury General Corp. | (28,019) | |
(80,953) | |||
Internet & Direct Marketing Retail — (0.2)% | |||
(7) | Amazon.com, Inc.1 | (13,486) | |
Leisure Product — (1.1)% | |||
(324) | Hasbro, Inc. | (33,003) | |
(316) | Polaris Industries, Inc. | (30,462) | |
(63,465) | |||
Life Sciences Tools & Services — (0.5)% | |||
(144) | Bio-Techne Corp. | (29,461) | |
Machinery — (2.1)% | |||
(254) | Deere & Co. | (42,070) | |
(100) | Illinois Tool Works, Inc. | (15,563) |
129 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT — (Continued) | |||
Machinery — (Continued) | |||
(203) | Nordson Corp. | $(29,628) | |
(204) | Stanley Black & Decker, Inc. | (29,906) | |
(7) | Wabtec Corp. | (519) | |
(117,686) | |||
Mortgage Real Estate Investment Trust — (0.5)% | |||
(803) | Blackstone Mortgage Trust, Inc. - Class A | (28,579) | |
Multi-line Retail — (0.6)% | |||
(287) | Dollar Tree, Inc.1 | (31,937) | |
Multi-Utilities — (0.6)% | |||
(196) | CMS Energy Corp. | (10,888) | |
(125) | Consolidated Edison, Inc. | (10,770) | |
(379) | NiSource, Inc. | (10,528) | |
(32,186) | |||
Oil, Gas & Consumable Fuels — (1.4)% | |||
(97) | Chevron Corp. | (11,646) | |
(74) | Exxon Mobil Corp. | (5,941) | |
(1,317) | Kinder Morgan, Inc. | (26,169) | |
(1,260) | Noble Energy, Inc. | (34,095) | |
(77,851) | |||
Professional Services — (0.6)% | |||
(250) | Equifax, Inc. | (31,488) | |
Road & Rail — (0.4)% | |||
(256) | JB Hunt Transport Services, Inc. | (24,187) | |
Semiconductors & Semiconductor Equipment — (1.4)% | |||
(836) | Advanced Micro Devices, Inc.1 | (23,099) | |
(241) | Qorvo, Inc.1 | (18,222) | |
(262) | QUALCOMM, Inc. | (22,566) | |
(108) | Texas Instruments, Inc. | (12,725) | |
(76,612) | |||
Software — (2.1)% | |||
(170) | Autodesk, Inc.1 | (30,296) | |
(112) | Fair Isaac Corp.1 | (31,332) | |
(215) | Pegasystems, Inc. | (16,127) | |
(297) | PTC, Inc.1 | (26,870) | |
(55) | Tyler Technologies, Inc.1 | (12,755) | |
(117,380) | |||
Specialty Retail — (0.6)% | |||
(512) | Guess?, Inc. | (10,430) | |
(145) | Monro, Inc. | (12,155) | |
(105) | Tiffany & Co. | (11,321) | |
(33,906) | |||
Textiles, Apparel & Luxury Goods — (0.5)% | |||
(346) | Oxford Industries, Inc. | (28,739) | |
Thrifts & Mortgage Finance — (1.0)% | |||
(2,093) | Capitol Federal Financial, Inc. | (28,883) | |
(2,061) | Kearny Financial Corp. | (28,854) | |
(57,737) | |||
Trading Companies & Distributors — (1.2)% | |||
(353) | GATX Corp. | (27,227) |
130 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT — (Continued) | |||
Trading Companies & Distributors — (Continued) | |||
(417) | Kaman Corp. | $(25,817) | |
(71) | Watsco, Inc. | (11,251) | |
(64,295) | |||
Water Utilities — (1.5)% | |||
(354) | American States Water Co. | (25,194) | |
(770) | Aqua America, Inc. | (30,076) | |
(536) | California Water Service Group | (27,009) | |
(82,279) | |||
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(2,322,030)) | (2,499,623) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(2,322,030)) | (45.0)% | $(2,499,623) | |
TOTAL INVESTMENTS (Cost $4,354,089) | 79.6% | $4,419,754 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 20.4 | 1,130,885 | |
NET ASSETS | 100.0% | $5,550,639 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | All or portion of security pledged as collateral for securities sold short. The total market value of collateral is $2,704,553. |
131 |
Description | Counterparty | Exercise Price/ FX Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Recieved by Fund) | Unrealized Appreciation/ (Depreciation) | |||||||||
PURCHASED OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 06/21/19 | USD | 2,500 | $7,364,575 | $2,363,500 | $2,053,832 | $309,668 | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 3,000.00 | 06/21/19 | USD | 25 | 7,364,575 | 183,625 | 452,708 | (269,083) | ||||||||
TOTAL PURCHASED OPTIONS | $14,729,150 | $2,547,125 | $2,506,540 | $40,585 | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALL: | |||||||||||||||||
S&P 500 Index | OCC** | 3,000.00 | 06/21/19 | USD | 25 | (7,364,575) | (55,375) | (19,083) | (36,292) | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,855.00 | 05/17/19 | USD | 4 | (1,178,332) | (2,940) | (8,385) | 5,445 | ||||||||
iShares MSCI Emerging Markets ETF | OCC** | 40.00 | 06/21/19 | USD | 64 | (281,152) | (1,024) | (3,744) | 2,720 | ||||||||
iShares MSCI EAFE ETF | OCC** | 61.00 | 06/21/19 | USD | 170 | (1,134,920) | (3,060) | (11,006) | 7,946 | ||||||||
iShares 20 Year Treasury Bond | OCC** | 118.00 | 06/21/19 | USD | 140 | (1,731,100) | (2,870) | (12,610) | 9,740 | ||||||||
iShares 20 Year Treasury Bond | OCC** | 122.00 | 06/21/19 | USD | 50 | (618,250) | (4,675) | (7,825) | 3,150 | ||||||||
Russell 2000 Index | OCC** | 1,475.00 | 06/21/19 | USD | 2 | (318,242) | (1,830) | (5,145) | 3,315 | ||||||||
S&P 500 Index | OCC** | 2,000.00 | 06/21/19 | USD | 25 | (7,364,575) | (1,312) | (4,832) | 3,520 | ||||||||
TOTAL PUTS | $(12,626,571) | $(17,711) | $(53,547) | $35,836 | |||||||||||||
TOTAL WRITTEN OPTIONS | $(19,991,146) | $(73,086) | $(72,630) | $(456) |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
Common Stocks | 50.0% | $2,774,571 | |
Purchased Options | 45.9 | 2,547,125 | |
U.S. Treasury Bill | 28.7 | 1,597,681 | |
TOTAL | 124.6% | $6,919,377 | |
Common Stocks Sold Short | (45.0) | (2,499,623) | |
TOTAL INVESTMENTS | 79.6% | $4,419,754 |
132 |
Face Amount | Value | ||
AGENCY NOTES* — 18.6% | |||
Federal Home Loan Bank — 8.6% | |||
$10,000,000 | 3.250% due 11/8/21 | $10,001,545 | |
10,500,000 | 3.030% due 3/14/24 | 10,503,876 | |
8,244,000 | 2.900% due 5/9/241 | 8,244,033 | |
15,000,000 | 2.750% due 12/13/24 | 15,260,451 | |
44,009,905 | |||
Federal Home Loan Mortgage Corporation — 1.9% | |||
10,000,000 | 2.375% due 1/13/22 | 10,020,840 | |
Federal National Mortgage Association — 8.1% | |||
10,000,000 | 2.000% due 10/5/222 | 9,905,066 | |
10,000,000 | 2.625% due 9/6/242 | 10,133,856 | |
7,960,000 | 2.125% due 4/24/26 | 7,754,066 | |
10,000,000 | 6.625% due 11/15/30 | 13,723,404 | |
41,516,392 | |||
TOTAL AGENCY NOTES (Cost $96,092,757) | 95,547,137 | ||
MORTGAGE-BACKED SECURITIES*,3 — 31.0% | |||
Federal Home Loan Mortgage Corporation — 7.8% | |||
44,448 | # G12342, 5.500% due 8/1/21 | 45,194 | |
17,473 | # J03604, 5.500% due 10/1/21 | 17,754 | |
10,794 | # J03649, 5.500% due 10/1/21 | 10,942 | |
23,948 | # G12442, 6.000% due 11/1/21 | 24,569 | |
38,698 | # J03536, 5.500% due 11/1/21 | 38,844 | |
22,217 | # G18163, 5.500% due 1/1/22 | 22,716 | |
90,366 | # G13396, 5.500% due 12/1/23 | 93,284 | |
44,783 | # D78677, 8.000% due 3/1/27 | 45,664 | |
117,851 | # C00742, 6.500% due 4/1/29 | 131,922 | |
4,098,134 | # J38111, 3.000% due 12/1/32 | 4,125,853 | |
5,309 | # A57845, 7.000% due 2/1/37 | 5,308 | |
40,719 | # A68937, 6.000% due 11/1/37 | 45,199 | |
269,775 | # A69653, 5.500% due 12/1/37 | 295,013 | |
345,598 | # A73370, 5.000% due 2/1/38 | 370,966 | |
330,575 | # A90421, 4.500% due 12/1/39 | 351,551 | |
439,087 | # A92890, 4.500% due 7/1/40 | 466,979 | |
1,554,384 | # A97620, 4.500% due 3/1/41 | 1,653,126 | |
2,723,718 | # C03770, 3.500% due 2/1/42 | 2,772,147 | |
1,226,010 | # Q07651, 3.500% due 4/1/42 | 1,246,536 | |
3,493,235 | # Q41208, 3.500% due 6/1/46 | 3,539,138 | |
12,767,673 | # Q46279, 3.500% due 2/1/47 | 12,925,582 | |
11,852,994 | # Q47596, 4.000% due 4/1/47 | 12,210,365 | |
40,438,652 | |||
Federal National Mortgage Association — 22.9% | |||
903 | # 125275, 7.000% due 3/1/24 | 944 | |
619,115 | # AH6827, 4.000% due 3/1/26 | 637,612 | |
637,917 | # AI1657, 4.000% due 4/1/26 | 657,006 | |
898,427 | # AB3900, 3.000% due 11/1/26 | 906,536 | |
19,467 | # 373328, 8.000% due 3/1/27 | 19,484 | |
1,166,916 | # AK4751, 3.000% due 4/1/27 | 1,177,458 | |
14,329 | # 390895, 8.000% due 6/1/27 | 14,445 | |
2,419,886 | # AO0533, 3.000% due 6/1/27 | 2,441,749 | |
76,897 | # 397602, 8.000% due 8/1/27 | 82,863 | |
741 | # 499335, 6.500% due 8/1/29 | 816 | |
4,757 | # 252806, 7.500% due 10/1/29 | 5,536 | |
332 | # 523497, 7.500% due 11/1/29 | 365 | |
6,881,589 | # BC2462, 3.000% due 2/1/31 | 6,920,622 |
133 |
Face Amount | Value | ||
MORTGAGE-BACKED SECURITIES*,3 — (Continued) | |||
Federal National Mortgage Association — (Continued) | |||
$1,921 | # 588945, 7.000% due 6/1/31 | $2,068 | |
9,944,701 | # AS7429, 2.500% due 6/1/31 | 9,852,905 | |
54,323 | # 607862, 7.000% due 9/1/31 | 58,419 | |
3,675 | # 656872, 6.500% due 8/1/32 | 4,047 | |
9,771,529 | # MA3391, 3.000% due 6/1/33 | 9,822,765 | |
217,066 | # 789856, 6.000% due 8/1/34 | 242,694 | |
59,292 | # 829202, 5.000% due 7/1/35 | 63,589 | |
122,703 | # 826586, 5.000% due 8/1/35 | 131,714 | |
28,816 | # 256216, 7.000% due 4/1/36 | 34,069 | |
136,833 | # 898412, 5.000% due 10/1/36 | 146,507 | |
15,874 | # 910894, 5.000% due 2/1/37 | 16,919 | |
19,520 | # 912456, 6.500% due 3/1/37 | 21,492 | |
363,599 | # 973241, 5.000% due 3/1/38 | 389,654 | |
116,474 | # 975593, 5.000% due 6/1/38 | 124,977 | |
118,018 | # 257573, 5.500% due 2/1/39 | 127,001 | |
487,988 | # AD7128, 4.500% due 7/1/40 | 517,101 | |
4,508,554 | # AH1568, 4.500% due 12/1/40 | 4,778,133 | |
2,116,592 | # AH6991, 4.000% due 1/1/41 | 2,190,669 | |
1,126,175 | # AH4004, 4.500% due 3/1/41 | 1,182,735 | |
1,201,321 | # AH8351, 4.000% due 3/1/41 | 1,243,365 | |
886,557 | # AJ1315, 4.000% due 9/1/41 | 920,666 | |
1,335,553 | # AI8779, 4.000% due 11/1/41 | 1,382,321 | |
2,272,378 | # AJ5958, 4.000% due 12/1/41 | 2,351,959 | |
961,563 | # AK5070, 3.500% due 3/1/42 | 976,578 | |
3,632,904 | # AK5426, 3.500% due 3/1/42 | 3,694,521 | |
6,057,480 | # AT7682, 3.500% due 6/1/43 | 6,169,580 | |
5,874,731 | # AS6326, 3.500% due 12/1/45 | 5,945,299 | |
6,459,613 | # AS6881, 3.500% due 3/1/46 | 6,541,685 | |
6,052,922 | # BC0960, 4.000% due 6/1/46 | 6,244,011 | |
7,754,801 | # AS8966, 4.000% due 3/1/47 | 7,997,208 | |
8,047,931 | # AS9988, 4.500% due 7/1/47 | 8,425,840 | |
7,688,005 | # MA3210, 3.500% due 12/1/47 | 7,766,137 | |
9,539,211 | # BJ9251, 3.500% due 6/1/48 | 9,636,042 | |
5,874,680 | # BK4718, 4.000% due 9/1/48 | 6,039,827 | |
117,907,933 | |||
Government National Mortgage Association — 0.3% | |||
11,080 | # 460389, 7.000% due 5/15/28 | 11,094 | |
6,002 | # 464049, 7.000% due 7/15/28 | 6,304 | |
12,118 | # 476259, 7.000% due 8/15/28 | 12,133 | |
8,403 | # 485264, 7.500% due 2/15/31 | 8,486 | |
17,983 | # 559304, 7.000% due 9/15/31 | 19,644 | |
246,627 | # 651859, 5.000% due 6/15/36 | 264,275 | |
174,720 | # 782150, 5.500% due 4/15/37 | 192,991 | |
30,074 | # 662521, 6.000% due 8/15/37 | 33,337 | |
55,751 | # 677545, 6.000% due 11/15/37 | 60,447 | |
113,451 | # 676291, 6.000% due 12/15/37 | 125,243 | |
68,578 | # 685836, 5.500% due 4/15/38 | 74,751 | |
393,188 | # 698235, 5.000% due 6/15/39 | 421,378 | |
123,540 | # 716655, 5.000% due 8/15/39 | 128,855 | |
1,358,938 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $160,752,632) | 159,705,523 |
134 |
Face Amount | Value | ||
CORPORATE NOTES* — 32.4% | |||
Automotive — 0.8% | |||
$2,000,000 | American Honda Finance Corp., 2.650% due 2/12/21 | $2,000,325 | |
2,000,000 | American Honda Finance Corp., 3.450% due 7/14/232 | 2,054,687 | |
4,055,012 | |||
Banking — 8.7% | |||
10,000,000 | Bank of America Corp., 7.625% due 6/1/19 | 10,038,697 | |
7,000,000 | Branch Banking & Trust Co., 3.625% due 9/16/25 | 7,138,144 | |
11,000,000 | Citibank NA, 3.650% due 1/23/24 | 11,322,243 | |
10,000,000 | PNC Bank NA, 2.625% due 2/17/222 | 9,999,113 | |
6,500,000 | PNC Bank NA, 3.250% due 6/1/25 | 6,584,371 | |
45,082,568 | |||
Beverages, Food & Tobacco — 3.9% | |||
5,000,000 | Coca-Cola Co. (The), 2.875% due 10/27/25 | 5,053,185 | |
6,000,000 | Coca-Cola Co. (The), 2.250% due 9/1/26 | 5,721,502 | |
9,000,000 | PepsiCo, Inc., 3.000% due 8/25/21 | 9,099,757 | |
19,874,444 | |||
Communications — 3.1% | |||
14,000,000 | Amazon.com, Inc., 4.800% due 12/5/34 | 16,156,356 | |
Computer Software & Processing — 6.0% | |||
11,250,000 | Apple, Inc., 4.500% due 2/23/36 | 12,485,606 | |
8,000,000 | Microsoft Corp., 3.450% due 8/8/36 | 7,952,114 | |
10,750,000 | Oracle Corp., 2.400% due 9/15/23 | 10,586,297 | |
31,024,017 | |||
Financial — 3.4% | |||
10,533,000 | JPMorgan Chase & Co., 4.950% due 3/25/20 | 10,743,502 | |
5,000,000 | JPMorgan Chase & Co., 6.400% due 5/15/38 | 6,552,481 | |
17,295,983 | |||
Heavy Machinery — 1.1% | |||
5,700,000 | John Deere Capital Corp., 2.800% due 3/4/212 | 5,713,693 | |
Insurance — 3.0% | |||
5,100,000 | Aflac, Inc., 2.875% due 10/15/26 | 4,996,553 | |
10,000,000 | Berkshire Hathaway Finance Corp., 4.250% due 1/15/212 | 10,287,280 | |
15,283,833 |
135 |
Face Amount | Value | ||
CORPORATE NOTES* — (Continued) | |||
Pharmaceuticals — 1.0% | |||
$5,000,000 | Merck & Co., Inc., 2.750% due 2/10/25 | $4,986,146 | |
Retailers — 1.4% | |||
5,325,000 | Target Corp., 7.000% due 1/15/38 | 7,413,794 | |
TOTAL CORPORATE NOTES (Cost $165,259,427) | 166,885,846 | ||
U.S. TREASURY NOTES/BONDS* — 16.3% | |||
15,000,000 | U.S. Treasury Bonds, 6.250% due 8/15/23 | 17,415,234 | |
5,000,000 | U.S. Treasury Bonds, 6.625% due 2/15/27 | 6,476,172 | |
5,000,000 | U.S. Treasury Bonds, 3.125% due 11/15/41 | 5,216,016 | |
9,000,000 | U.S. Treasury Bonds, 3.750% due 11/15/43 | 10,335,586 | |
5,000,000 | U.S. Treasury Bonds, 3.000% due 5/15/47 | 5,064,648 | |
5,000,000 | U.S. Treasury Bonds, 2.750% due 8/15/47 | 4,815,039 | |
13,000,000 | U.S. Treasury Notes, 1.500% due 11/30/19 | 12,927,891 | |
10,000,000 | U.S. Treasury Notes, 2.875% due 5/31/25 | 10,289,844 | |
6,000,000 | U.S. Treasury Notes, 2.250% due 8/15/27 | 5,904,609 | |
5,000,000 | U.S. Treasury Notes, 3.125% due 11/15/28 | 5,262,108 | |
TOTAL U.S. TREASURY NOTES/BONDS (Cost $83,733,309) | 83,707,147 | ||
REPURCHASE AGREEMENT* — 2.0% | |||
10,451,711 | With Fixed Income Clearing Corp., dated 4/30/19, 0.50%, principal and interest in the amount of $10,451,856, due 5/1/19, (collateralized by a U.S. Treasury Note with a par value of $10,475,000, coupon rate of 2.750%, due 11/30/2020, market value of $10,661,109) | 10,451,711 | |
TOTAL REPURCHASE AGREEMENT (Cost $10,451,711) | 10,451,711 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 3.7% | |||
18,804,590 | State Street Navigator Securities Lending Government Money Market Portfolio | 18,804,590 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $18,804,590) | 18,804,590 | ||
TOTAL INVESTMENTS (Cost $535,094,426) | 104.0% | $535,101,954 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (4.0) | (20,351,607) | |
NET ASSETS | 100.0% | $514,750,347 |
* | Percentages indicated are based on net assets. |
1 | When-issued security. |
2 | Securities or partial securities on loan. See Note 1. |
3 | Represents current face amount at April 30, 2019. |
136 |
% of Net Assets | Value | ||
Sector: | |||
Corporate | 32.4% | $166,885,846 | |
Federal National Mortgage Association | 31.0 | 159,424,325 | |
U.S. Treasury Notes/Bonds | 16.3 | 83,707,147 | |
Federal Home Loan Mortgage Corporation | 9.7 | 50,459,492 | |
Federal Home Loan Bank | 8.6 | 44,009,905 | |
Government National Mortgage Association | 0.3 | 1,358,938 | |
TOTAL | 98.3% | $505,845,653 | |
REPURCHASE AGREEMENT | 2.0 | 10,451,711 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 3.7 | 18,804,590 | |
TOTAL INVESTMENTS | 104.0% | $535,101,954 |
137 |
Face Amount | Value | ||
CORPORATE NOTES* — 0.9% | |||
Financial — 0.9% | |||
$359,000 | JPMorgan Chase & Co., (3M USD LIBOR + 3.47%), 6.053% due 12/29/491 | $360,641 | |
TOTAL CORPORATE NOTES (Cost $359,000) | 360,641 | ||
MUNICIPAL BONDS* — 89.8% | |||
Alabama — 1.4% | |||
250,000 | Alabama Federal Aid Highway Finance Authority, Revenue Bonds, 5.000% due 9/1/20 | 260,702 | |
250,000 | Black Belt Energy Gas District, AL, Gas Supply Revenue, Revenue Bonds, Series A, 4.000% due 7/1/46 | 260,373 | |
521,075 | |||
Alaska — 2.4% | |||
300,000 | Alaska State, General Obligation Unlimited, Series B, 5.000% due 8/1/20 | 312,234 | |
400,000 | North Slope Boro, AK, General Obligation Unlimited, Series B, 5.000% due 6/30/20 | 415,432 | |
200,000 | Valdez, AK, Marine Terminal Revenue, Revenue Bonds, Refunding, Series B, (SPA : British Petroleum PLC), 5.000% due 1/1/21 | 209,968 | |
937,634 | |||
Arizona — 1.1% | |||
400,000 | Yuma, AZ, Municipal Property Corp., Excise Tax Revenue, Revenue Bonds, Refunding, 5.000% due 7/1/22 | 439,916 | |
California — 1.3% | |||
210,000 | La Quinta, CA, Financing Authority, Local Agency Revenue, Tax Allocation, Series A, Prerefunded 9/1/20 @ 100, 7.900% due 9/1/31 | 225,053 | |
250,000 | San Diego, CA, Redevelopment Agency Tax Allocation Revenue, Series A, Prerefunded 9/1/20 @ 100, 7.750% due 9/1/40 | 267,090 | |
492,143 | |||
Colorado — 0.4% | |||
150,000 | Weld County, CO, Reorganized School District No. RE-8, General Obligation Unlimited, (State Aid Withholding), 4.000% due 12/1/20 | 155,619 | |
Connecticut — 0.8% | |||
270,000 | Connecticut, CT, General Obligation Unlimited, Refunding, Series C, 5.000% due 6/1/24 | 293,801 | |
Florida — 2.9% | |||
575,000 | Citizens Property Insurance Corp., FL, Revenue Bonds, Series A-1, 5.000% due 6/1/19 | 576,530 | |
255,000 | Orlando & Orange County, FL, Expressway Authority, Revenue Bonds, Refunding, 5.000% due 7/1/23 | 280,446 | |
250,000 | Orlando & Orange County, FL, Expressway Authority, Revenue Bonds, Refunding, Series B (AGMC Insured), 5.000% due 7/1/21 | 259,510 | |
1,116,486 | |||
Georgia — 1.5% | |||
200,000 | Atlanta, GA, Airport General Revenue, Revenue Bonds, Series C, 5.000% due 1/1/23 | 216,248 | |
350,000 | Georgia State, Road & Tollway Authority, Federal Highway Reimbursement, Revenue Bonds, Series A, 5.000% due 6/1/20 | 362,618 | |
578,866 |
138 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Idaho — 0.5% | |||
$200,000 | Idaho, Housing & Finance Association, Revenue Bonds, 5.000% due 7/15/20 | $207,770 | |
Illinois — 12.9% | |||
150,000 | Chicago, IL, O’Hare International Airport Revenue Bonds, Refunding, Series B, 5.000% due 1/1/21 | 158,058 | |
300,000 | Cook County, IL, School District No. 100 South Berwyn, General Obligation Unlimited, Refunding, (BAM), 4.000% due 12/1/23 | 320,040 | |
500,000 | DeKalb County, IL, Community Unit School District No. 428 DeKalb, General Obligation Unlimited, Refunding, 5.000% due 1/1/242 | 566,610 | |
400,000 | Du Page & Will Counties, IL, Community School District No. 204 Indian Prairie, General Obligation Unlimited, Refunding, Series A, 5.000% due 12/30/20 | 420,980 | |
400,000 | Illinois State Finance Authority, Revenue Bonds, 5.000% due 1/1/20 | 408,828 | |
500,000 | Illinois State Finance Authority, Revenue Bonds, Series L, 4.000% due 12/1/20 | 518,015 | |
Illinois State, General Obligation Unlimited: | |||
100,000 | 4.000% due 9/1/20 | 102,054 | |
130,000 | 5.000% due 1/1/21 | 135,217 | |
150,000 | Illinois State, General Obligation Unlimited, Series A, 4.000% due 1/1/24 | 152,339 | |
300,000 | Illinois State, Health Facilities Authority Revenue, Revenue Bonds, (SPA : JP Morgan Chase Bank N.A.), 2.260% due 10/1/221 | 300,000 | |
300,000 | Illinois State, IL, Sales Tax Revenue, Revenue Bonds, Series B, 5.250% due 6/15/34 | 301,290 | |
100,000 | Lake County, IL, Community College District No. 532, General Obligation Unlimited, Series A, 4.000% due 6/1/19 | 100,186 | |
255,000 | McHenry County, IL, Conservation District, General Obligation Unlimited, Refunding, 5.000% due 2/1/24 | 290,664 | |
300,000 | Regional Transportation Authority, IL, Revenue Bonds, Series A, 5.000% due 6/1/21 | 318,474 | |
450,000 | Regional Transportation Authority, IL, Revenue Bonds, Series A (NPFG Insured), 5.500% due 7/1/20 | 468,706 | |
350,000 | Will County, IL, Forest Preservation District, General Obligation Unlimited, Refunding, 5.000% due 12/15/23 | 396,925 | |
4,958,386 | |||
Kentucky — 2.9% | |||
300,000 | Kentucky State, Property & Building Commission Revenue, Project No. 84, Revenue Bonds, Refunding, (NPFG Insured), 5.000% due 8/1/20 | 311,817 | |
200,000 | Kentucky State, Property and Building Commission Revenues, Revenue Bonds, Refunding, Series B, 5.000% due 8/1/20 | 207,878 | |
300,000 | Louisville & Jefferson County, KY, Metropolitan Government Health System Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/23 | 337,779 | |
250,000 | Louisville & Jefferson County, KY, Metropolitan Government Health System Revenue, Revenue Bonds, Series A, 5.000% due 10/1/19 | 253,215 | |
1,110,689 | |||
Louisiana — 2.9% | |||
300,000 | Louisiana State, General Obligation Unlimited, Series A, 4.000% due 9/1/21 | 315,582 | |
250,000 | Louisiana State, University & Agricultural and Mechanical College, Auxiliary, Revenue Bonds, Refunding, 5.000% due 7/1/19 | 251,307 |
139 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Louisiana — (Continued) | |||
$500,000 | New Orleans, LA, Sewage Service Revenue, Revenue Bonds, Refunding, 5.000% due 6/1/22 | $544,075 | |
1,110,964 | |||
Maryland — 0.3% | |||
125,000 | Baltimore, MD, Water Utility Project Revenue, Revenue Bonds, Series A, 5.000% due 7/1/19 | 125,670 | |
Massachusetts — 0.7% | |||
250,000 | Massachusetts State, MA, General Obligation Limited, Refunding, Series B, 5.000% due 1/1/212 | 263,915 | |
Michigan — 7.0% | |||
Dansville, MI, Schools, General Obligation Unlimited, (QSBLF Insured): | |||
125,000 | 4.000% due 5/1/19 | 125,000 | |
140,000 | 4.000% due 5/1/20 | 143,087 | |
250,000 | Detroit, MI, City School District, General Obligation Unlimited, Series A, (QSBLF Insured), 6.000% due 5/1/21 | 270,045 | |
260,000 | L’Anse Creuse, MI, Public Schools, General Obligation Unlimited, Refunding, (QSBLF Insured), 5.000% due 5/1/20 | 268,421 | |
360,000 | Michigan Finance Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/20 | 378,562 | |
400,000 | Michigan State Finance Authority Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/19 | 406,688 | |
200,000 | Michigan State Finance Authority Revenue, Revenue Bonds, Refunding, Series MI-1, 5.000% due 12/1/23 | 228,024 | |
250,000 | Pinconning, MI, Area Schools, General Obligation Unlimited, Refunding, (QSBLF Insured), 3.000% due 5/1/19 | 250,000 | |
200,000 | Ypsilanti, MI, School District, General Obligation Unlimited, Refunding, Series A, (QSBLF Insured), 5.000% due 5/1/21 | 211,650 | |
400,000 | Ypsilanti, MI, School District, General Obligation Unlimited, Refunding, Series B, (QSBLF Insured), 2.250% due 5/1/21 | 401,556 | |
2,683,033 | |||
Minnesota — 2.3% | |||
100,000 | Minneapolis, MN, St. Paul, Housing & Redevelopment Authority Health Care, Revenue Bonds, Refunding, Series A, 5.000% due 11/15/20 | 105,091 | |
250,000 | St. Paul, MN, Housing & Redevelopment Authority Health Care, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/21 | 267,202 | |
500,000 | St. Paul, MN, Housing & Redevelopment Authority Health Care, Revenue Bonds, Refunding, Series B, 2.353% due 7/1/19 | 499,665 | |
871,958 | |||
Mississippi — 1.4% | |||
500,000 | Mississippi State, Development Bank, Special Obligation, Jackson Public School District Project, Revenue Bonds, Refunding, Series A, 5.000% due 4/1/21 | 530,250 | |
New Jersey — 3.5% | |||
350,000 | Camden County, NJ, Improvement Authority, Revenue Bonds, (County Guaranteed), 4.000% due 1/15/20 | 355,593 | |
455,000 | New Jersey State Economic Development Authority Revenue, Revenue Bonds, Refunding, Series NN, 5.000% due 3/1/22 | 488,588 | |
500,000 | New Jersey State Turnpike Authority, Revenue Bonds, Refunding, Series C-1, (1M USD LIBOR * 0.7+ 0.34%), 2.091% due 1/1/211 | 500,180 | |
1,344,361 |
140 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New York — 1.5% | |||
$200,000 | New York State, Dormitory Authority, State Personal Income Tax Revenue, Refunding, Series A, 5.000% due 12/15/19 | $204,284 | |
350,000 | New York, Metropolitan Transportation Authority Revenue, Dedicated Tax Fund, Series A, 5.255% due 11/15/22 | 381,087 | |
585,371 | |||
North Carolina — 0.3% | |||
100,000 | New Hanover County, NC, Hospital Revenue Bonds, Refunding, 5.000% due 10/1/21 | 107,360 | |
Ohio — 3.9% | |||
500,000 | Lake, OH, Local School District Wood County, General Obligation Unlimited, Refunding, (School District Credit Program), 2.000% due 12/1/20 | 503,265 | |
265,000 | Ohio State University, General Receipts Athens, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/20 | 278,491 | |
255,000 | Ohio State, Higher Educational Facility Commission, Revenue Bonds, 4.000% due 12/1/19 | 258,402 | |
425,000 | Ohio State, Hospital Facilities Revenue, Revenue Bonds, Series A, 5.000% due 1/15/23 | 458,843 | |
1,499,001 | |||
Oklahoma — 0.3% | |||
125,000 | Grand River, OK, Dam Authority, Revenue Bonds, Series A, 4.000% due 6/1/19 | 125,231 | |
Pennsylvania — 15.1% | |||
400,000 | Allegheny County, PA, General Obligation Unlimited, Refunding, Series C-75, 4.000% due 11/1/21 | 421,920 | |
235,000 | Allegheny County, PA, Hospital Development Authority, Revenue Bonds, University of Pittsburgh Medical Center, Series A, 5.000% due 5/15/19 | 235,277 | |
400,000 | Bucks County, CA, Centennial School District, General Obligation Limited, Refunding, Series B, (State Aid Withholding), 5.000% due 12/15/21 | 433,900 | |
390,000 | Danville, PA, Area School District, General Obligation Limited, Refunding, Series B, (State Aid Withholding), 4.000% due 11/1/20 | 403,556 | |
350,000 | East Penn, PA, School District, General Obligation Limited, (State Aid Withholding), 2.000% due 11/15/21 | 350,042 | |
300,000 | East Stroudsburg, PA, Area School District, General Obligation Limited, Refunding, Series A, (State Aid Withholding), 5.000% due 9/1/20 | 312,882 | |
140,000 | Monroeville, PA, Finance Authority UPMC Revenue, Revenue Bonds, 5.000% due 2/15/20 | 143,622 | |
250,000 | Pennsylvania State Turnpike Authority, Revenue Bonds, Refunding, 5.000% due 12/1/222 | 273,455 | |
190,000 | Pennsylvania State, General Obligation Unlimited, Refunding, 5.000% due 7/1/20 | 197,304 | |
200,000 | Pennsylvania State, General Obligation Unlimited, Refunding, First Series, 5.000% due 8/15/20 | 208,460 | |
300,000 | Pittsburgh, PA, Public Parking Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/23 | 339,075 | |
Pittsburgh, PA, School District, General Obligation Unlimited, Refunding, Series A, (State Aid Withholding): | |||
225,000 | 4.000% due 9/1/19 | 226,814 | |
200,000 | 5.000% due 9/1/22 | 214,650 | |
300,000 | Red Lion, PA, Area School District, General Obligation Limited, Refunding, Series A, (State Aid Withholding), 4.000% due 4/15/20 | 306,606 | |
350,000 | Schuylkill Haven, PA, Area School District, General Obligation Limited, (AGMC State Aid Withholding), 2.000% due 9/1/19 | 350,101 |
141 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
$100,000 | Scranton, PA, School District, General Obligation Limited, Refunding, Series A, (State Aid Withholding), 5.000% due 6/1/19 | $100,211 | |
305,000 | Springfield Township, PA, School District, Montgomery County, General Obligation Limited, Refunding, (State Aid Withholding), 4.000% due 11/15/20 | 315,544 | |
310,000 | State Public School Building Authority, Community College of Philadelphia, Revenue Bonds, Refunding, Series A, 5.000% due 6/15/22 | 337,950 | |
350,000 | Susquehanna Township, PA, School District, General Obligation Unlimited, Series A, (State Aid Withholding), 2.300% due 5/15/22 | 350,129 | |
240,000 | Westmoreland County, PA, General Obligation Unlimited, Series A, 4.000% due 8/15/24 | 264,223 | |
5,785,721 | |||
Rhode Island — 1.1% | |||
400,000 | Rhode Island State, RI, Health and Educational Building Corporation, Public School Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 5/15/22 | 433,180 | |
Tennessee — 1.0% | |||
370,000 | Tennessee, TN, Housing Development Agency Residential Finance Program Revenue, Revenue Bonds, 1.800% due 7/1/21 | 370,507 | |
Texas — 13.0% | |||
575,000 | Arlington, TX, Higher Education Finance Corp., Revenue Bonds, Refunding, Brown Fellowship Leadership Academy, Series A, (PSF Guaranteed), 4.000% due 8/15/19 | 578,709 | |
200,000 | Arlington, TX, Higher Education Finance Corp., Revenue Bonds, Refunding, Series A, (PSF Guaranteed), 4.000% due 2/15/21 | 207,660 | |
100,000 | Brushy Creek, TX, Regional Utility Authority, Inc., Contract Revenue, Refunding, 3.000% due 8/1/20 | 101,633 | |
290,000 | Dallas, TX, Independent School District, General Obligation Unlimited, Series B-5, (PSF-GTD), 5.000% due 2/15/36 | 306,127 | |
200,000 | Denton, TX, Independent School District, General Obligation Unlimited, (PSF Guaranteed), 2.000% due 8/1/43 | 200,390 | |
200,000 | Georgetown, TX, Independent School District, General Obligation Unlimited, Series B, (PSF Guaranteed), 2.000% due 8/1/41 | 203,858 | |
500,000 | Harris County, TX, Senior Lien, Revenue Bonds, Refunding, Series A, 5.000% due 8/15/21 | 536,995 | |
225,000 | Houston, TX, Community College, General Obligation Limited, 5.000% due 2/15/23 | 252,198 | |
400,000 | Houston, TX, Independent School District, General Obligation Limited, Refunding, (PSF Guaranteed), 1.450% due 6/1/29 | 398,336 | |
390,000 | Lower Colorado River Texas Authority, Transmission Contract Revenue, Revenue Bonds, Refunding, 5.000% due 5/15/22 | 403,236 | |
200,000 | North East, TX, Independent School District, General Obligation Unlimited, Series B, (PSF Guaranteed), 1.420% due 8/1/40 | 197,090 | |
400,000 | North Texas, Tollway Authority Revenue, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/23 | 446,104 | |
210,000 | Taft, TX, Independent School District, General Obligation Unlimited, Refunding, (PSF Guaranteed), 3.000% due 8/15/20 | 213,698 | |
300,000 | Texas State, TX, A&M University Revenue, Revenue Bonds, Series B, 5.000% due 5/15/32 | 338,832 | |
565,000 | Texas, TX, College Student Loan, General Obligation Unlimited, 5.500% due 8/1/21 | 610,618 | |
4,995,484 |
142 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Washington — 3.1% | |||
$500,000 | Energy Northwest, WA, Taxable Columbia Generating Electicity Reveune, Revenue Bonds, Series E, 2.803% due 7/1/21 | $503,140 | |
300,000 | Grant County, WA, Public Utility District No. 2, Revenue Bonds, Refunding, 2.000% due 1/1/441,3 | 300,075 | |
125,000 | Lewis County, WA, Public Utility District No 1, Cowlitz Falls Hydroelectric Project, Revenue Bonds, Refunding, 5.000% due 10/1/22 | 138,905 | |
225,000 | Whatcom County,WA, School District No. 502 Ferndale, General Obligation Unlimited, Refunding, 3.000% due 12/1/21 | 232,477 | |
1,174,597 | |||
Wisconsin — 3.3% | |||
250,000 | Wisconsin State, Health & Educational Facilities Authority Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/23 | 283,902 | |
450,000 | Wisconsin State, Health & Educational Facilities Authority Revenue, Revenue Bonds, Series 2013B-1, 1.375% due 11/15/38 | 448,704 | |
500,000 | Wisconsin State, WI, Transportation Revenue, Revenue Bonds, Series 2, 5.000% due 7/1/23 | 551,525 | |
1,284,131 | |||
Wyoming — 1.0% | |||
400,000 | Wyoming State, Community Development Authority, Revenue Bonds, Series 1, 1.950% due 12/1/222 | 400,996 | |
TOTAL MUNICIPAL BONDS (Cost $34,446,979) | 34,504,115 | ||
Shares | |||
REGISTERED INVESTMENT COMPANIES* — 3.5% | |||
41,460 | BlackRock Municipal 2020 Term Trust | 623,144 | |
3,932 | PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund4 | 395,992 | |
3,850 | Vanguard Short-Term Corporate Bond ETF | 306,960 | |
TOTAL REGISTERED INVESTMENT COMPANIES (Cost $1,327,341) | 1,326,096 | ||
Face Amount | |||
U.S. TREASURY NOTES/BONDS* — 8.2% | |||
900,000 | U.S. Treasury Bill, 2.285% due 5/16/19 | 899,102 | |
500,000 | U.S. Treasury Notes, 1.250% due 5/31/194 | 499,518 | |
400,000 | U.S. Treasury Notes, 1.750% due 9/30/194 | 398,812 | |
350,000 | U.S. Treasury Notes, 3.375% due 11/15/19 | 351,682 | |
400,000 | U.S. Treasury Notes, 1.375% due 1/15/20 | 397,031 | |
400,000 | U.S. Treasury Notes, 2.500% due 1/31/21 | 401,156 | |
220,000 | U.S. Treasury Notes, 2.500% due 1/15/22 | 221,409 | |
TOTAL U.S. TREASURY NOTES/BONDS (Cost $3,163,925) | 3,168,710 |
143 |
Face Amount | Value | ||
REPURCHASE AGREEMENT* — 0.5% | |||
$179,304 | With Fixed Income Clearing Corp., dated 4/30/19, 0.50%, principal and interest in the amount of $179,306, due 5/1/19, (collateralized by a U.S. Treasury Note with a par value of $180,000, coupon rate of 2.750%, due 11/30/2020, market value of $183,198) | $179,304 | |
TOTAL REPURCHASE AGREEMENT (Cost $179,304) | 179,304 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.2% | |||
82,200 | State Street Navigator Securities Lending Government Money Market Portfolio | 82,200 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $82,200) | 82,200 | ||
TOTAL INVESTMENTS (Cost $39,558,749) | 103.1% | $39,621,066 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (3.1) | (1,175,743) | |
NET ASSETS | 100.0% | $38,445,323 |
* | Percentages indicated are based on net assets. |
1 | Floating Rate Bond. Rate shown is as of April 30, 2019. |
2 | When-issued security. |
3 | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. |
4 | Securities or partial securities on loan. See Note 1. |
Abbreviations: |
AGMC — Assured Guaranty Municipal Corporation |
BAM — Build America Mutual |
NPFG — National Public Finance Guarantee Corporation |
PSF — Permanent School Fund |
QSBLF — Michigan Qualified School Bond Loan Fund |
SPA — Stand-By Purchase Agreement |
144 |
% of Net Assets | Value | ||
SECTOR: | |||
Municipal Bonds | 89.8% | $34,504,115 | |
U.S. Treasury Notes/Bonds | 8.2 | 3,168,710 | |
Registered Investment Companies | 3.5 | 1,326,096 | |
Corporate Notes | 0.9 | 360,641 | |
TOTAL | 102.4% | $39,359,562 | |
REPURCHASE AGREEMENT | 0.5 | 179,304 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 0.2 | 82,200 | |
TOTAL INVESTMENTS | 103.1% | $39,621,066 |
145 |
Face Amount | Value | ||
MUNICIPAL BONDS* — 98.2% | |||
Alabama — 1.2% | |||
$500,000 | Jefferson County, AL, Sewer Revenue Warrants, Series E, 0.000% due 10/1/341 | $194,045 | |
500,000 | Jefferson County, AL, Sewer Revenue, Series B, (AGMC Insured), 0.000% due 10/1/251 | 416,970 | |
1,070,000 | Jefferson County, AL, Sewer Revenue, Series D, Warrants, 6.000% due 10/1/42 | 1,245,630 | |
500,000 | Montgomery, AL, Medical Clinic, Board Health Care Facility Revenue, Refunding, 5.000% due 3/1/30 | 561,605 | |
2,418,250 | |||
Alaska — 0.7% | |||
1,350,000 | Alaska State, Housing Finance Corp., Revenue Bonds, Series A, 4.000% due 12/1/48 | 1,438,506 | |
Arizona — 2.9% | |||
300,000 | Arizona State, Industrial Development Authority, Education Revenue, Basis Schools Projects, Revenue Bonds, Refunding, Series A, 5.250% due 7/1/472 | 317,964 | |
500,000 | Arizona State, Industrial Development Authority, Education Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/322 | 512,055 | |
125,000 | Arizona State, Industrial Development Authority, Education Revenue, Revenue Bonds, Series A, 5.000% due 7/15/492 | 132,138 | |
300,000 | Arizona State, Industrial Development Authority, Education Revenue, Revenue Bonds, Series B, 5.500% due 7/1/382 | 319,245 | |
500,000 | Arizona State, Industrial Development Authority, Education Revenue, Traditional Schools Project, Revenue Bonds, 5.250% due 7/1/222 | 497,965 | |
100,000 | Florence Town, Inc., AZ, Industrial Development Authority, Legacy Traditional School Project, Revenue Bonds, 5.000% due 7/1/23 | 103,718 | |
750,000 | Maricopa County, AZ, Industrial Development Authority, Educational Revenue, Revenue Bonds, Refunding, 5.000% due 7/1/362 | 800,130 | |
375,000 | Maricopa County, AZ, Industrial Development Authority, Revenue Bonds, Series A, 6.000% due 7/1/522 | 414,757 | |
250,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Basis Schools, Inc., Revenue Bonds, 5.000% due 7/1/452 | 260,060 | |
500,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Basis Schools, Inc., Revenue Bonds, Refunding, 5.000% due 7/1/352 | 528,730 | |
405,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Basis Schools, Inc., Revenue Bonds, Refunding, Series A, 3.000% due 7/1/202 | 404,668 | |
Phoenix, AZ, Industrial Development Authority, Education Revenue, Legacy Traditional Schools Project, Revenue Bonds, Series A: | |||
300,000 | 5.750% due 7/1/242 | 322,044 | |
500,000 | 6.750% due 7/1/442 | 566,535 | |
500,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Revenue Bonds, Series A, 5.000% due 7/1/462 | 521,670 | |
250,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Revenue Bonds, Series B, 4.000% due 7/1/222 | 247,435 | |
5,949,114 | |||
California — 3.9% | |||
410,000 | Alhambra City, CA, Atherton Baptist Homes, Revenue Bonds, Series A, Prerefunded 1/1/20 @ 100, 7.500% due 1/1/30 | 426,179 |
146 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
California — (Continued) | |||
$250,000 | California Public Finance Authority, Revenue Bonds, Refunding, 5.000% due 10/15/47 | $275,388 | |
400,000 | California State, Infrastructure and Economic Development Bank, Revenue Bonds, Refunding, Series E, 1.750% due 11/1/26 | 378,000 | |
California State, Municipal Finance Authority, Educational Revenue, Refunding, Series A: | |||
360,000 | 5.000% due 6/1/36 | 398,581 | |
500,000 | 5.000% due 6/1/46 | 545,350 | |
300,000 | California State, Municipal Finance Authority, Revenue Bonds, Series A, 5.000% due 11/1/462 | 332,160 | |
335,000 | California State, School Financing Authority, Rocketship Education Obligated Group, Revenue Bonds, Series A, 5.250% due 6/1/522 | 350,078 | |
250,000 | California State, Statewide Communities Development Authority, CHF Irvine LLC, Revenue Bonds, 5.000% due 5/15/29 | 290,140 | |
945,000 | California State, Statewide Communities Development Authority, Student Housing Revenue, Revenue Bonds, 4.305% due 7/1/32 | 1,012,917 | |
255,000 | Corona-Norco, CA, Unified School District, Refunding, 5.000% due 9/1/24 | 289,366 | |
749,282 | Federal Home Loan Mortgage Corporation Multifamily ML Certificates, Revenue Bonds, 3.400% due 1/25/36 | 777,883 | |
500,000 | Northern, CA, Gas Authority No. 1, Gas Project Revenue, Revenue Bonds, Series B, (3M USD LIBOR * 0.67 + 0.72%), 2.457% due 7/1/273 | 489,365 | |
500,000 | Oroville, CA, Revenue Bonds, 5.250% due 4/1/54 | 563,915 | |
500,000 | River Islands, CA, Public Financing Authority, Special Tax, Series A, 5.000% due 9/1/48 | 538,870 | |
1,000,000 | Riverside County, Redevelopment Successor Agency, Revenue Bonds, Series B, 0.000% due 10/1/391 | 475,160 | |
500,000 | Saugus/Hart, CA, School Facilities Financing Authority, Special Tax, Refunding, 5.000% due 9/1/24 | 562,270 | |
200,000 | Seal Beach, CA, Community Facilities District No. 2005-1, Special Tax, Refunding, 3.000% due 9/1/29 | 195,464 | |
100,000 | University of California, Medical Center Pooled Revenue, Revenue Bonds, Series C2, 2.468% due 5/15/374 | 95,192 | |
7,996,278 | |||
Colorado — 10.2% | |||
500,000 | Amber Creek, Metropolitan District, General Obligation Limited, Refunding, Series A, 5.125% due 12/1/47 | 506,805 | |
1,000,000 | Arista, CO, Metropolitan District, General Obligation Limited, Series A, 4.375% due 12/1/28 | 1,020,350 | |
1,000,000 | Arkansas River Power Authority, CO, Power Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/33 | 1,135,710 | |
500,000 | Base Village Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 5.750% due 12/1/46 | 520,015 | |
500,000 | Belleview Station, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, 5.000% due 12/1/36 | 514,435 | |
500,000 | Big Dry Creek, Metropolitan District, General Obligation Limited, Series A, 5.750% due 12/1/47 | 519,935 | |
520,000 | Bradburn, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 4.000% due 12/1/28 | 515,902 | |
750,000 | Buffalo Ridge, CO, Metropolitan District, General Obligation Limited, Series B, 7.375% due 12/15/475 | 760,943 | |
500,000 | Clear Creek Station, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 5.000% due 12/1/47 | 510,940 |
147 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Colorado — (Continued) | |||
$625,000 | Colorado International Center, CO, Metropolitan District No. 14, General Obligation Limited, 5.875% due 12/1/46 | $674,669 | |
500,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Christian Living Neighborhoods Project, Revenue Bonds, Refunding, 5.000% due 1/1/31 | 543,435 | |
400,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Refunding, 5.000% due 1/1/37 | 427,920 | |
700,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Refunding, Series A, 5.250% due 5/15/37 | 777,903 | |
700,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Revenue Bonds, Refunding, 5.000% due 6/1/37 | 787,633 | |
650,000 | Colorado State, Health Facilities Authority, Refunding, Series A, 5.000% due 6/1/45 | 709,111 | |
165,000 | Colorado State, Health Facilities Authority, Revenue Bonds, 5.625% due 6/1/43 | 181,795 | |
495,000 | Colorado State, Housing and Finance Authority, Non Amount Non ACE SF Mortgage, Revenue Bonds, Series C, (GNMA Insured), 4.250% due 11/1/48 | 532,387 | |
250,000 | Denver, CO, Urban Renewal Authority, Tax Increment Revenue, Series A, 5.250% due 12/1/392 | 258,353 | |
150,000 | E-470, CO, Public Highway Authority, Revenue Bonds, Refunding, Series B, (1M USD LIBOR * 0.67 + 1.05%), 2.709% due 9/1/393 | 151,157 | |
750,000 | Forest Trace, CO, Metropolitan District No. 3, Limited Tax, General Obligation Unlimited, Series A, 5.000% due 12/1/46 | 763,853 | |
1,000,000 | Gardens on Havana, CO, Metropolitan District No. 3, Revenue Bonds, Series A, 4.625% due 12/1/27 | 1,041,440 | |
945,000 | Harmony Technology Park, Metropolitan District No. 2, General Obligation Limited, 4.500% due 12/1/32 | 950,859 | |
500,000 | Independence Metropolitan District No 3, General Obligation Limited, Series A, 6.250% due 12/1/49 | 508,520 | |
500,000 | Leyden Ranch, Metropolitan District, General Obligation Unlimited, Series A, 5.125% due 12/1/47 | 518,185 | |
750,000 | Leyden Rock, Metropolitan District No. 10, General Obligation Limited, Series A, 5.000% due 12/1/45 | 763,853 | |
500,000 | Midcities Metropolitan District No. 2, CO, Special Revenue, Revenue Bonds, Refunding, Series B, 7.750% due 12/15/465 | 501,435 | |
271,000 | Mountain Shadows, CO, Metropolitan District, General Obligation Limited, 3.250% due 12/1/20 | 272,409 | |
500,000 | Parkside, CO, Centre Business Improvement District, Company Special Revenue, Revenue Bonds, Series A, 6.250% due 12/1/48 | 501,540 | |
500,000 | Serenity Ridge, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 5.125% due 12/1/43 | 513,720 | |
750,000 | Solaris, CO, Metropolitan District No. 3, General Obligation Limited, Refunding, Series A, 5.000% due 12/1/36 | 772,777 | |
Southglenn, CO, Metropolitan District, Special Revenue, General Obligation Limited, Refunding: | |||
500,000 | 3.000% due 12/1/21 | 496,675 | |
750,000 | 5.000% due 12/1/30 | 788,302 | |
Southlands, CO, Metropolitan District No. 1, General Obligation Unlimited, Series A-2: | |||
215,000 | 3.500% due 12/1/27 | 215,501 | |
325,000 | 5.000% due 12/1/47 | 345,244 | |
500,000 | Tallyns Reach, CO, Metropolitan District No. 3, General Obligation Limited, Series A, 6.750% due 11/1/385 | 503,095 | |
500,000 | Westcreek Metropolitan District No 2, General Obligation Limited, Series A, 5.375% due 12/1/48 | 501,600 | |
21,008,406 |
148 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Connecticut — 1.1% | |||
$425,000 | Connecticut State Health & Educational Facilities Authority, Church Home of Hartford, Inc. Project, Revenue Bonds, Series A, 5.000% due 9/1/532 | $440,806 | |
750,000 | Hamden, CT, Facilities Revenue Bonds, Series A, 7.750% due 1/1/43 | 764,760 | |
250,000 | Harbor Point, CT, Infrastructure Improvement District, Special Obligation Revenue, Tax Allocation, Refunding, 5.000% due 4/1/302 | 278,830 | |
800,000 | Mohegan Tribe of Indians, CT, Gaming Authority, Revenue Bonds, Series A, 5.500% due 8/1/262 | 846,664 | |
2,331,060 | |||
District Of Columbia — 1.0% | |||
225,000 | District of Columbia, KIPP DC Obligated Group, Revenue Bonds, Series A, 5.000% due 7/1/27 | 262,766 | |
5,415,000 | District of Columbia, Tobacco Settlement Financing Corp., Revenue Bonds, Series A, 0.000% due 6/15/461 | 831,419 | |
2,000,000 | Metropolitan Washington, DC, Airports Authority Dulles Toll Road Revenue, Revenue Bonds, Series B, (AGMC Insured), 0.000% due 10/1/401 | 901,500 | |
1,995,685 | |||
Florida — 5.2% | |||
Atlantic, FL, Beach Floating Healthcare Facilities, Revenue Bonds, Series A: | |||
505,000 | 5.000% due 11/15/33 | 566,342 | |
250,000 | 5.000% due 11/15/53 | 274,298 | |
160,000 | Capital Trust Agency, FL, Educational Facilities Revenue, Viera Charter School, Inc. Project, Revenue Bonds, Series A, 5.000% due 10/15/372 | 167,171 | |
150,000 | Collier County, FL, Health Facilities Authority, Residential Care Facility Revenue, Refunding, Series A, 3.000% due 5/1/20 | 151,251 | |
200,000 | Florida Development Finance Corp., Healthcare Facilities Revenue, University of Florida Health Project, Series A, 6.000% due 2/1/33 | 220,094 | |
200,000 | Florida State Higher Educational Facilities Financial Authority, Jacksonville University Project, Revenue Bonds, Series A-1, 5.000% due 6/1/482 | 213,214 | |
1,375,000 | Florida State Housing Finance Corp., Revenue Bonds, Series 1 (GNMA/FNMA/FHLMC Insured), 4.000% due 7/1/49 | 1,463,275 | |
250,000 | Jacksonville, FL, Educational Facilities Revenue, Jacksonville University Project, Revenue Bonds, Series B, 5.000% due 6/1/532 | 264,188 | |
300,000 | Lakewood Ranch, FL, Stewardship District, Special Assessment Revenue, 5.375% due 5/1/47 | 315,000 | |
500,000 | Miami, FL, World Center Community Development District, Special Assessment, 5.125% due 11/1/39 | 519,715 | |
1,250,000 | North Broward, FL, Hospital District, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/48 | 1,371,762 | |
Orange County, FL, Health Facilities Authority Revenue: | |||
150,000 | 4.000% due 8/1/19 | 150,708 | |
750,000 | 5.000% due 8/1/40 | 816,877 | |
1,000,000 | Orange County, FL, Health Facilities Authority, Revenue Bonds, Refunding, 5.000% due 8/1/41 | 1,087,760 | |
Palm Beach County, FL, Health Facilities Authority, Lifespace Communities, Revenue Bonds, Refunding, Series C: | |||
295,000 | 5.000% due 5/15/20 | 302,154 | |
55,000 | 5.000% due 5/15/25 | 60,300 | |
200,000 | Pompano Beach, FL, John Knox Project, Revenue Bonds, 4.000% due 9/1/19 | 201,392 |
149 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — (Continued) | |||
$550,000 | Sarasota County, FL, Health Facilities Authority, Retirement Facilities Revenue, Revenue Bonds, Series A, 5.000% due 1/1/37 | $587,087 | |
Southeast Overtown Park West Community Redevelopment Agency, FL, Series A-1: | |||
325,000 | 5.000% due 3/1/202 | 333,362 | |
500,000 | 5.000% due 3/1/302 | 554,570 | |
185,000 | Town Center at Palm Coast, FL, Community Development District, Special Assessment, 6.000% due 5/1/365 | 185,723 | |
Winter Garden Village at Fowler Groves, FL, Community Development District, Special Assessment, Refunding: | |||
500,000 | 3.750% due 5/1/31 | 495,705 | |
500,000 | 4.125% due 5/1/37 | 495,295 | |
10,797,243 | |||
Georgia — 0.4% | |||
500,000 | DeKalb County, GA, Hospital Authority, DeKalb Medical Center, Inc. Project, Revenue Bonds, Prerefunded 9/1/20 @ 100, 6.000% due 9/1/30 | 527,065 | |
340,000 | Macon-Bibb County, GA, Urban Development Authority, Revenue Bonds, 5.750% due 6/15/372 | 348,163 | |
875,228 | |||
Idaho — 0.6% | |||
500,000 | Idaho Health Facilities Authority, Revenue Bonds, Series A, 4.750% due 7/1/442 | 526,470 | |
250,000 | Idaho State, Health Facilities Authority Revenue, Kootenai Health Project, Revenue Bonds, Series A, 4.375% due 7/1/342 | 262,313 | |
365,000 | Idaho State, Housing and Finance Association, Nonprofit Facilities Revenue, Compass Charter School Project, Revenue Bonds, Series A, 6.000% due 7/1/392 | 407,460 | |
1,196,243 | |||
Illinois — 15.2% | |||
250,000 | Bolingbrook, IL, Special Service Area No 1, Special Tax, Refunding, 5.250% due 3/1/41 | 254,223 | |
Chicago, IL, Board of Education, General Obligation Unlimited, Series A: | |||
750,000 | 5.000% due 12/1/41 | 764,520 | |
400,000 | 7.000% due 12/1/462 | 484,276 | |
400,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series A, (NPFG Insured), 0.000% due 12/1/251 | 317,764 | |
600,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series B, 7.000% due 12/1/422 | 728,610 | |
Chicago, IL, Board of Education, General Obligation Unlimited, Series B-1 (NPFG Insured): | |||
350,000 | 0.000% due 12/1/191 | 344,298 | |
150,000 | 0.000% due 12/1/201 | 143,096 | |
1,030,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series B1, (NPFG Insured), 0.000% due 12/1/311 | 617,948 | |
640,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series C, 5.250% due 12/1/39 | 673,293 | |
500,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series H, 5.000% due 12/1/46 | 525,340 | |
600,000 | Chicago, IL, General Obligation Unlimited, (NPFG Insured), 0.000% due 1/1/311 | 387,474 | |
Chicago, IL, General Obligation Unlimited, Refunding, Series A: | |||
250,000 | 5.750% due 1/1/33 | 285,275 | |
1,000,000 | 6.000% due 1/1/38 | 1,139,540 | |
250,000 | Chicago, IL, General Obligation Unlimited, Refunding, Series C, 5.000% due 1/1/24 | 270,345 |
150 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
Chicago, IL, General Obligation Unlimited, Series C: | |||
$410,000 | 0.000% due 1/1/311 | $259,969 | |
105,000 | 5.000% due 1/1/34 | 105,217 | |
250,000 | Chicago, IL, Transitional Authority, Sales Tax Receipts Revenue Bonds, 5.000% due 12/1/51 | 273,665 | |
305,000 | Chicago, IL, Wastewater Transmission Revenue, Revenue Bonds, Refunding, 5.500% due 1/1/30 | 360,278 | |
200,000 | Chicago, IL, Waterworks Revenue, Revenue Bonds, 5.000% due 11/1/24 | 217,590 | |
500,000 | Cook County, IL, Community College District No. 508, General Obligation Unlimited, 5.250% due 12/1/43 | 520,805 | |
400,000 | Illinois State Finance Authority, Christian Homes, Inc., Revenue Bonds, 5.000% due 5/15/36 | 420,804 | |
150,000 | Illinois State Finance Authority, Presbyterian Homes, Revenue Bonds, Series B, (1M USD LIBOR * 0.70 + 1.35%), 3.101% due 5/1/363 | 150,446 | |
350,000 | Illinois State Finance Authority, Revenue Bonds, 4.000% due 7/1/35 | 375,186 | |
255,000 | Illinois State Finance Authority, Revenue Bonds, Refunding, 3.000% due 5/15/20 | 255,490 | |
150,000 | Illinois State Finance Authority, Revenue Bonds, Refunding, Lifespace Communities Project, Series A, 5.000% due 5/15/22 | 158,676 | |
Illinois State Finance Authority, Revenue Bonds, Refunding, Series A: | |||
300,000 | 5.000% due 7/1/35 | 339,693 | |
250,000 | 5.000% due 8/15/37 | 277,060 | |
Illinois State Finance Authority, Revenue Bonds, Refunding, Series C: | |||
1,000,000 | 5.000% due 2/15/31 | 1,180,860 | |
1,000,000 | 4.125% due 8/15/37 | 1,021,070 | |
135,000 | Illinois State Finance Authority, Revenue Bonds, Series B, Prerefunded 8/15/19 @ 100, 5.750% due 8/15/30 | 136,581 | |
500,000 | Illinois State Finance Authority, Silver Cross Hospital & Medical Center, Revenue Bonds, Series C, 5.000% due 8/15/44 | 547,930 | |
Illinois State Finance Authority, Student Housing Revenue, Dekalb II Northern Illinois, Revenue Bonds: | |||
395,000 | 5.750% due 10/1/21 | 414,734 | |
250,000 | 6.875% due 10/1/43 | 265,775 | |
500,000 | Illinois State Finance Authority, Student Housing Revenue, Northern Illinois University Project, Revenue Bonds, 6.000% due 10/1/24 | 527,845 | |
Illinois State Finance Authority, Student Housing Revenue, Northern Illinois University Project, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 7/1/35 | 250,508 | |
500,000 | 5.000% due 7/1/47 | 488,880 | |
500,000 | Illinois State Finance Authority, Swedish Covenant Hospital, Revenue Bonds, Refunding, Series A, 5.000% due 8/15/34 | 558,985 | |
500,000 | Illinois State Housing Development Authority, Revenue Bonds, Refunding, Series A, 4.250% due 10/1/49 | 541,070 | |
755,000 | Illinois State Housing Development Authority, Revenue Bonds, Refunding, Series C, 3.500% due 8/1/46 | 783,101 | |
475,000 | Illinois State Sports Facilities Authority, Revenue Bonds, Refunding, 5.000% due 6/15/24 | 509,385 | |
Illinois State Sports Facilities Authority, State Tax Supported, Capital Apprec, Revenue Bonds, (AMBAC Insured): | |||
500,000 | 0.000% due 6/15/231 | 434,185 | |
415,000 | 0.000% due 6/15/261 | 319,201 | |
500,000 | Illinois State University, Revenue Bonds, (AGMC Insured), 5.000% due 4/1/24 | 557,235 |
151 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
$320,000 | Illinois State, Finance Authority, Charter School Revenue, Refunding and Improvement, Chicago International Charter School Project, Revenue Bonds, 5.000% due 12/1/47 | $342,678 | |
Illinois State, General Obligation Unlimited: | |||
500,000 | 5.000% due 1/1/30 | 538,485 | |
1,000,000 | 5.000% due 2/1/39 | 1,038,120 | |
200,000 | 5.000% due 1/1/41 | 210,022 | |
500,000 | Illinois State, General Obligation Unlimited, Series A, 5.000% due 5/1/20 | 513,085 | |
850,000 | Illinois State, General Obligation Unlimited, Series B, 5.000% due 11/1/19 | 862,427 | |
1,250,000 | Illinois State, General Obligation Unlimited, Series C, 5.000% due 11/1/29 | 1,370,387 | |
1,000,000 | Illinois State, General Obligation Unlimited, Series D, 5.000% due 11/1/28 | 1,104,650 | |
250,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Refunding (BAM, NPFG Insured), 0.000% due 6/15/281 | 187,990 | |
1,000,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Series A, (NPFG Insured), 0.000% due 6/15/361 | 516,160 | |
500,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Series B, (AGMC Insured), 0.000% due 6/15/271 | 393,780 | |
2,000,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax, Revenue Bonds, Series A, (AGMC Insured MBIA), 0.000% due 12/15/291 | 1,413,980 | |
500,000 | Metropolitan Pier & Exposition Authority, IL, McCormick Place Expansion Project, Revenue Bonds, Series B, 5.000% due 12/15/40 | 533,630 | |
250,000 | Southern Illinois State University, Housing & Auxiliary Facilities System, Revenue Bonds, Series A, (NPFG Insured), 0.000% due 4/1/221 | 230,470 | |
500,000 | Southern Illinois State University, Housing & Auxiliary Facilities System, Revenue Bonds, Series B1, 5.000% due 4/1/22 | 526,260 | |
1,000,000 | University of Illinois, Auxiliary Facilities, Revenue Bonds, Series A, (AGMC Insured), 4.000% due 4/1/36 | 1,054,280 | |
500,000 | Volo Village, IL, Special Service Area No. 3 & 6, Special Tax, Symphony Meadows/Lancaster Falls Project, (AGMC Insured), 2.875% due 3/1/25 | 505,115 | |
497,000 | Yorkville, IL, United City Special Service, Special Tax, (AGMC Insured), 3.000% due 3/1/25 | 505,683 | |
250,000 | Yorkville, IL, United City Special Service, Special Tax, Refunding, (AGMC Insured), 4.000% due 3/1/36 | 256,195 | |
31,291,623 | |||
Indiana — 1.3% | |||
Indiana Finance Authority, Midwestern Disaster Relief Revenue, Revenue Bonds, Ohio Valley Electric Corp. Project, Series A: | |||
750,000 | 5.000% due 6/1/32 | 757,852 | |
300,000 | 5.000% due 6/1/39 | 301,440 | |
Indiana State Finance Authority, Greencroft Obligated Group, Revenue Bonds, Series A: | |||
95,000 | 5.750% due 11/15/28 | 102,241 | |
195,000 | 6.500% due 11/15/33 | 213,767 | |
600,000 | Indiana State Finance Authority, Revenue Bonds, 5.000% due 11/15/38 | 663,180 |
152 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Indiana — (Continued) | |||
Knox County, IN, Economic Development Authority, Revenue Bonds, Refunding, Series A: | |||
$300,000 | 5.000% due 4/1/23 | $317,034 | |
350,000 | 5.000% due 4/1/28 | 367,630 | |
2,723,144 | |||
Iowa — 1.6% | |||
150,000 | Iowa State, Finance Authority, Midwestern Disaster Area Revenue, Iowa Fertilizer Co. LLC Project, Revenue Bonds, 5.250% due 12/1/25 | 161,609 | |
250,000 | Iowa State, Finance Authority, Midwestern Disaster Area Revenue, Lowa Fertilizer Co. LLC Project, Revenue Bonds, Refunding, 5.000% due 12/1/19 | 253,328 | |
525,000 | Iowa State, Finance Authority, Midwestern Disaster Relief Revenue, Iowa Fertilizer Co. LLC Project, Revenue Bonds, Refunding, Series A, 5.250% due 12/1/506 | 553,917 | |
750,000 | Iowa State, Finance Authority, Midwestern Disaster Relief Revenue, Iowa Fertilizer Co. LLC Project, Revenue Bonds, Refunding, Series B, 5.250% due 12/1/506 | 803,752 | |
250,000 | Iowa State, Finance Authority, Senior Housing Revenue, Revenue Bonds, Series A, 5.000% due 3/1/33 | 267,692 | |
Tobacco Settlement Authority, IA, Revenue Bonds, Series C: | |||
690,000 | 5.375% due 6/1/38 | 681,561 | |
500,000 | 5.625% due 6/1/46 | 493,445 | |
3,215,304 | |||
Kansas — 0.2% | |||
140,000 | Wichita, KS, Sales Tax, Special Obligation Revenue, Revenue Bonds, Refunding, 3.000% due 9/1/23 | 141,058 | |
150,000 | Wyandotte County, Kansas City Unified Government, Revenue Bonds, 5.000% due 12/1/34 | 152,844 | |
80,000 | Wyandotte County, KS, Kansas City Unified Government, Wyandotte Plaza Project, Revenue Bonds, 4.000% due 12/1/28 | 81,158 | |
375,060 | |||
Kentucky — 0.8% | |||
305,000 | Ashland, KY, Medical Center Revenue, Revenue Bonds, Refunding, Series A, 4.000% due 2/1/32 | 305,863 | |
785,000 | Kentucky Public Transportation Infrastructure Authority, Toll Revenue, Downtown Crossing Project, Revenue Bonds, Series B, 0.000% due 7/1/211 | 734,917 | |
100,000 | Kentucky Public Transportation Infrastructure Authority, Toll Revenue, Downtown Crossing Project, Series A, 6.000% due 7/1/53 | 109,603 | |
250,000 | Kentucky, KY, Economic Development Finance Authority, Healthcare Revenue, Revenue Bonds, Refunding, 5.750% due 11/15/45 | 262,613 | |
170,000 | Louisville & Jefferson County, KY, Metropolitan Government Healthcare System, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/31 | 196,180 | |
1,609,176 | |||
Louisiana — 0.4% | |||
895,000 | Juban Crossing Economic Development District, LA, Revenue Bonds, Refunding, Series C, 7.000% due 9/15/442 | 911,844 | |
Maine — 0.2% | |||
440,000 | Maine Health & Higher Educational Facilities Authority, Revenue Bonds, 5.000% due 7/1/43 | 466,422 |
153 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Maryland — 1.7% | |||
$1,125,000 | Baltimore, MD, Special Obligation, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/38 | $1,203,975 | |
250,000 | Howard County, MD, Special Obligation, Revenue Bonds, Series A, 4.125% due 2/15/342 | 252,867 | |
435,000 | Maryland State, Community Development Administration, Department Housing & Community Development, Revenue Bonds, Refunding, Series A, 4.500% due 9/1/48 | 473,785 | |
250,000 | Maryland State, Economic Development Corp., Special Obligation, Tax Allocation, 4.500% due 7/1/44 | 255,187 | |
750,000 | Maryland State, Health & Higher Educational Facilities Authority, Revenue Bonds, Series A, 5.000% due 1/1/21 | 785,160 | |
500,000 | Prince George’s County, MD, Revenue Authority, Suitland-Naylor Road Project, 5.000% due 7/1/462 | 513,070 | |
3,484,044 | |||
Michigan — 2.4% | |||
385,000 | Dearborn, MI, Economic Development Corp., Revenue Bonds, 7.500% due 11/15/442 | 370,220 | |
250,000 | Detroit, MI, General Obligation Unlimited, 5.000% due 4/1/34 | 269,985 | |
280,000 | Flint, MI, Hospital Building Authority Rental, Revenue Bonds, Series A, 5.250% due 7/1/39 | 292,191 | |
600,000 | Grand Rapids, MI, Economic Development Corp., Beacon Hill Eastgate Project, Revenue Bonds, Refunding, Series A, 5.000% due 11/1/37 | 630,942 | |
Kentwood, MI, Economic Development Corp., Revenue Bonds, Refunding: | |||
50,000 | 4.500% due 11/15/21 | 52,242 | |
25,000 | 4.750% due 11/15/22 | 26,432 | |
250,000 | 5.000% due 11/15/37 | 268,310 | |
250,000 | 5.625% due 11/15/41 | 264,507 | |
2,430,000 | Michigan State Housing Development Authority, Safe Mortgage Revenue, Revenue Bonds, Series C, 4.250% due 6/1/49 | 2,611,885 | |
200,000 | Michigan State Strategic Fund, Limited Obligation Revenue, Revenue Bonds, Refunding, Series CC, 1.450% due 9/1/30 | 194,890 | |
4,981,604 | |||
Minnesota — 0.1% | |||
240,000 | St. Paul, MN, Housing & Redevelopment Authority, Charter School Lease Revenue, Revenue Bonds, Series A, 5.500% due 7/1/382 | 253,543 | |
Missouri — 1.4% | |||
450,000 | Cape Girardeau County, MO, Industrial Development Authority, Southeast Health, Revenue Bonds, Series A, 6.000% due 3/1/33 | 512,667 | |
195,000 | Lees Summit, MO, Special Obligation Tax Increment, Tax Allocation, Refunding, 3.500% due 11/1/232 | 194,158 | |
500,000 | Maryland Heights, MO, Industrial Development Authority, State Louis Community ICE Center Project, Revenue Bonds, Series A, 4.375% due 3/15/30 | 510,860 | |
100,000 | Missouri State Health & Educational Facilities Authority, Lutheran Senior Services, Revenue Bonds, 5.000% due 2/1/25 | 109,518 | |
125,000 | Missouri State Health & Educational Facilities Authority, Revenue Bonds, 5.000% due 2/1/26 | 136,651 | |
Missouri State Health & Educational Facilities Authority, Revenue Bonds, Series A: | |||
100,000 | 5.000% due 2/1/28 | 112,087 | |
250,000 | 5.000% due 2/1/42 | 272,500 |
154 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Missouri — (Continued) | |||
$355,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Facilities, Revenue Bonds, Refunding, 5.000% due 9/1/32 | $387,277 | |
500,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Facilities, Revenue Bonds, Series A, 5.250% due 9/1/53 | 541,590 | |
150,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Revenue, Revenue Bonds, Refunding, 5.000% due 9/1/48 | 158,353 | |
2,935,661 | |||
Nebraska — 0.2% | |||
300,000 | Nebraska State, Investment Finance Authority, Safe Housing Revenue, Revenue Bonds, Series C, 4.000% due 9/1/48 | 319,473 | |
Nevada — 1.0% | |||
750,000 | Clark County, NV, Pollution Control Revenue, Revenue Bonds, Refunding, Series A, 1.875% due 6/1/314 | 745,470 | |
335,000 | Department of Business & Industry, NV, Revenue Bonds, Series A, 5.000% due 7/15/272 | 365,515 | |
Las Vegas, NV, Sales Tax Increment Revenue: | |||
100,000 | 2.750% due 6/15/212 | 99,346 | |
385,000 | 3.500% due 6/15/252 | 374,224 | |
500,000 | Nevada State, Department of Business and Industry, Revenue Bonds, Series A, 5.000% due 12/15/482 | 519,660 | |
2,104,215 | |||
New Jersey — 8.8% | |||
250,000 | Casino Reinvestment Development Authority, NJ, Luxury Tax Revenue, Refunding, (AGMC Insured), 5.000% due 11/1/24 | 280,347 | |
500,000 | New Jersey Economic Development Authority, Revenue Bonds, Refunding, Series K, (AMBAC Insured), 5.500% due 12/15/19 | 511,175 | |
1,085,000 | New Jersey State Economic Development Authority Revenue, Refunding, School Facilities Construction, Revenue Bonds, Series NN, 5.000% due 3/1/24 | 1,180,296 | |
1,000,000 | New Jersey State Economic Development Authority Revenue, Revenue Bonds, Refunding, (AGMC Insured), 5.000% due 6/1/29 | 1,177,750 | |
345,000 | New Jersey State Economic Development Authority School Revenue, Foundation Academy Charter School Project, Revenue Bonds, Series A, 5.000% due 7/1/38 | 372,131 | |
500,000 | New Jersey State Economic Development Authority, Revenue Bonds, Refunding, Series I, (SIFMA MUNI SWAP INDEX + 1.60%), 3.900% due 3/1/283 | 498,220 | |
2,500,000 | New Jersey State Economic Development Authority, Revenue Bonds, Refunding, Series XX, 5.000% due 6/15/25 | 2,817,350 | |
New Jersey State Economic Development Authority, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 1/1/24 | 274,110 | |
600,000 | 5.000% due 7/1/32 | 657,900 | |
1,000,000 | New Jersey State Housing and Mortgage Finance Agency, Revenue Bonds, Refunding, Series C, 4.750% due 10/1/50 | 1,101,740 | |
250,000 | New Jersey State Transportation Trust Fund Authority, Refunding, FED Highway Reimbursement, Revenue Bonds, Series A, 5.000% due 6/15/23 | 277,152 | |
New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series A: | |||
875,000 | 5.000% due 12/15/19 | 891,879 | |
1,000,000 | 0.000% due 12/15/351 | 529,900 | |
1,300,000 | 0.000% due 12/15/391 | 565,825 | |
1,000,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series A, (BAM Insured), 0.000% due 12/15/271 | 773,640 |
155 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New Jersey — (Continued) | |||
$330,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series AA, 5.000% due 6/15/19 | $331,261 | |
1,000,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series B, (NPFG Insured), 5.500% due 12/15/21 | 1,087,830 | |
1,195,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series B-4, 5.250% due 12/15/19 | 1,219,880 | |
1,000,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series C, (AGMC Insured), 0.000% due 12/15/341 | 570,480 | |
500,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series C, (AMBAC Insured), 0.000% due 12/15/351 | 264,950 | |
1,000,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series C, (NPFG Insured), 0.000% due 12/15/311 | 639,470 | |
95,000 | New Jersey State, Economic Development Authority, Revenue Bonds, Series A, Prerefunded 6/1/20 @ 100, 5.000% due 6/1/21 | 98,486 | |
South Jersey, NJ, Transportation Authority LLC, Revenue Bonds, Refunding, Series A: | |||
200,000 | 5.000% due 11/1/26 | 226,032 | |
750,000 | 5.000% due 11/1/32 | 830,505 | |
250,000 | 5.000% due 11/1/33 | 276,245 | |
500,000 | Tobacco Settlement Financing Corp., NJ, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/29 | 592,890 | |
18,047,444 | |||
New Mexico — 0.3% | |||
650,000 | New Mexico Mortgage Finance Authority, Revenue Bonds, Series A, (GNMA/FNMA/FHLMC Insured), 4.250% due 1/1/50 | 703,202 | |
New York — 1.5% | |||
500,000 | Glen Cove, NY, Local Economic Assistance Corp., Revenue Bonds, Series C, 0.000% due 1/1/551 | 442,770 | |
500,000 | New York City, NY, Housing Development Corp., Multi-Family Mortgage Revenue, Series E, 3.500% due 2/15/48 | 510,495 | |
500,000 | New York City, NY, Housing Development Corp., Multi-Family Mortgage Revenue, Series F, 4.500% due 2/15/48 | 523,060 | |
700,000 | New York State, Dormitory Authority Revenue, Non State Supported Debt, Refunding, 5.000% due 12/1/322 | 804,188 | |
760,000 | New York State, Mortgage Agency, Homeowner Mortgage, Revenue Bonds, Refunding, Series 195, 4.000% due 10/1/46 | 795,302 | |
3,075,815 | |||
North Carolina — 0.5% | |||
500,000 | North Carolina State Medical Care Commission, Revenue Bonds, 5.000% due 10/1/20 | 518,025 | |
500,000 | North Carolina State, Medical Care Commission, Retirement Facilities Revenue, Revenue Bonds, Series B, 5.000% due 4/1/47 | 523,590 | |
1,041,615 | |||
Ohio — 5.3% | |||
450,000 | American Municipal Power, Inc., OH, Combination Hydroelectric Project, Revenue Bonds, Series A, 2.250% due 2/15/484 | 451,652 | |
2,000,000 | American Municipal Power, Inc., OH, Revenue Bonds, Refunding, Series A, 2.300% due 2/15/384 | 2,020,020 | |
Buckeye Tobacco Settlement Financing Authority, OH, Revenue Bonds, Series A-2: | |||
1,000,000 | 6.500% due 6/1/47 | 995,070 | |
545,000 | 5.875% due 6/1/47 | 516,387 | |
600,000 | Centerville, OH, Healthcare Revenue, Refunding, 5.250% due 11/1/50 | 630,618 |
156 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Ohio — (Continued) | |||
$1,045,000 | Cuyahoga County, OH, Hospital Revenue, Refunding, 5.500% due 2/15/52 | $1,174,371 | |
700,000 | Hamilton County, OH, Healthcare Revenue, Refunding and Improvement, Life Enriching Communities Project, Revenue Bonds, Refunding, 5.000% due 1/1/51 | 729,736 | |
815,000 | Licking County, OH, Health Care Facilities Authority Revenue, Refunding, Series A, 6.000% due 7/1/50 | 859,475 | |
1,000,000 | Lucas County, OH, Hospital Revenue, Promedica Healthcare Obligated Group, Revenue Bonds, Refunding, Series A, 5.250% due 11/15/48 | 1,122,880 | |
500,000 | Ohio State, Air Quality Development Authority, Pollution Control, Revenue Bonds, Refunding, Series C, 5.625% due 6/1/497 | 500,000 | |
380,000 | Ohio State, Air Quality Development Authority, Revenue Bonds, Ohio Valley Electric Corp. Project, Series E, 5.625% due 10/1/19 | 384,993 | |
Southeastern Ohio Port Authority Hospital Facilities, Revenue Bonds: | |||
690,000 | 5.000% due 12/1/19 | 697,866 | |
300,000 | 5.750% due 12/1/32 | 323,583 | |
500,000 | 6.000% due 12/1/42 | 532,120 | |
10,938,771 | |||
Oklahoma — 0.1% | |||
105,000 | Fort Sill Apache Tribe, OK, Economic Development Authority, Gaming Enterprise Revenue, Series A, 8.500% due 8/25/262,5 | 118,060 | |
Pennsylvania — 5.6% | |||
500,000 | Allentown , PA, Commercial & Industrial Development Authority, Revenue Bonds, Series A, 6.250% due 7/1/472 | 501,040 | |
125,000 | Chester County, PA, Industrial Development Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/15/51 | 130,144 | |
500,000 | Chester County, PA, Industrial Development Authority, Special Obligation Revenue, Woodlands at Greystone Project, Revenue Bonds, 5.000% due 3/1/382 | 516,915 | |
Crawford County, PA, Hospital Authority, Revenue Bonds, Refunding, Series A: | |||
400,000 | 6.000% due 6/1/36 | 453,676 | |
250,000 | 6.000% due 6/1/46 | 281,158 | |
1,000,000 | Doylestown, PA, Hospital Authority, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/41 | 1,077,750 | |
175,000 | East Hempfield Township, PA, Industrial Development Authority, Revenue Bonds, Refunding, 5.000% due 12/1/26 | 202,312 | |
200,000 | Franklin County, PA, Industrial Development Authority, Menno-Haven, Inc. Project, Revenue Bonds, Refunding, 5.000% due 12/1/43 | 213,482 | |
445,000 | Montgomery County, PA, Higher Education & Health Authority, Revenue Bonds, Refunding, 5.000% due 12/1/47 | 472,550 | |
Montgomery County, PA, Industrial Development Authority, Health System Revenue, Revenue Bonds, Refunding, Series A: | |||
420,000 | 5.250% due 1/15/27 | 475,343 | |
250,000 | 5.250% due 1/15/46 | 273,378 | |
Montgomery County, PA, Industrial Development Authority, Revenue Bonds, Refunding: | |||
105,000 | 5.000% due 11/15/23 | 113,756 | |
500,000 | 5.000% due 11/15/36 | 560,500 | |
100,000 | 5.000% due 12/1/46 | 106,550 | |
530,000 | Pennsylvania State, Higher Educational Facilities Authority Revenue, Revenue Bonds, Prerefunded 10/1/21 @ 100, 6.000% due 10/1/31 | 584,198 |
157 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
Pennsylvania State, Higher Educational Facilities Authority, Revenue Bonds, Prerefunded 7/1/20 @ 100: | |||
$1,080,000 | 5.800% due 7/1/30 | $1,130,663 | |
650,000 | 6.000% due 7/1/43 | 681,980 | |
500,000 | Pennsylvania State, Higher Educational Facilities Authority, Student Housing Revenue, 5.000% due 7/1/31 | 510,010 | |
545,000 | Pennsylvania State, Higher Educational Facilities Authority, Student Housing Revenue, Refunding, Series A, 5.000% due 7/1/25 | 606,225 | |
2,225,000 | Pennsylvania State, Housing Finance Agency, Revenue Bonds, (GNMA/FNMA/FHLMC Insured), 2.450% due 7/1/223 | 2,238,305 | |
Philadelphia, PA, Authority for Industrial Development, Senior Living Revenue, Revenue Bonds, Refunding, Series A: | |||
200,000 | 5.000% due 7/1/31 | 212,942 | |
100,000 | 5.000% due 7/1/32 | 106,043 | |
150,000 | Washington County, PA, Redevelopment Authority Revenue, Tax Allocation, Refunding, 5.000% due 7/1/28 | 156,555 | |
11,605,475 | |||
Puerto Rico — 5.8% | |||
Cofina Class 2 Trust, Revenue Bonds: | |||
1,254,292 | 0.000% due 8/1/471 | 335,724 | |
2,277,953 | 0.000% due 8/1/541 | 437,276 | |
Cofina, PR, Series 2007A Senior, National Custodian Trust, Taxable Trust Unit, Revenue Bonds: | |||
76,023 | Cofina, PR, Series 2007A Senior, National Custodian Trust, Taxable Trust Unit, Revenue Bonds, 0.000% due 8/1/431 | 264,446 | |
69,899 | Cofina, PR, Series 2007A Senior, National Custodian Trust, Taxable Trust Unit, Revenue Bonds, 0.000% due 8/1/441 | 243,137 | |
13,849 | Cofina, PR, Series 2007A Senior, National Custodian Trust, Taxable Trust Unit, Revenue Bonds, 0.000% due 8/1/461 | 46,713 | |
35,000 | Commonwealth of Puerto Rico, General Obligation Unlimited, Refunding, (AGMC Insured), 4.500% due 7/1/23 | 35,059 | |
260,000 | Commonwealth of Puerto Rico, General Obligation Unlimited, Refunding, Series A, (NPFG Insured), 5.500% due 7/1/20 | 266,287 | |
1,335,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bonds, Series A, 5.250% due 7/1/42 | 1,326,656 | |
350,000 | Puerto Rico Commonwealth, General Obligation Unlimited, Refunding, Series A, (AGC-ICC Insured), 5.500% due 7/1/29 | 388,216 | |
200,000 | Puerto Rico Commonwealth, General Obligation Unlimited, Refunding, Series A, (AGMC Insured), 5.000% due 7/1/35 | 206,418 | |
315,000 | Puerto Rico Commonwealth, General Obligation Unlimited, Refunding, Series A, (AMBAC Insured), 4.600% due 7/1/19 | 315,762 | |
25,000 | Puerto Rico Electric Power Authority, Revenue Bonds, (AGMC Insured), 5.000% due 7/1/27 | 25,505 | |
610,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series DDD, (AGMC Insured), 3.625% due 7/1/23 | 609,860 | |
60,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series SS, (AGMC Insured), 5.000% due 7/1/30 | 60,907 | |
230,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series UU, 5.000% due 7/1/20 | 232,530 | |
500,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series UU, (AGMC Insured), (3M USD LIBOR * 0.67 + 0.52%), 2.257% due 7/1/293 | 493,750 | |
Puerto Rico Electric Power Authority, Revenue Bonds, Series NN, (NPFG Insured): | |||
500,000 | 5.250% due 7/1/19 | 501,615 | |
300,000 | 4.750% due 7/1/33 | 299,370 | |
505,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series RR, 5.000% due 7/1/28 | 514,342 |
158 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Puerto Rico — (Continued) | |||
$750,000 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, Refunding, Series N, (AMBAC Insured), 2.671% due 7/1/284 | $681,525 | |
800,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Auxilio Muto, Revenue Bonds, Series A, 6.000% due 7/1/33 | 837,472 | |
250,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, International American University Project, Revenue Bonds, 5.000% due 10/1/31 | 259,155 | |
430,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, International American University Project, Revenue Bonds, (NPFG Insured), 4.500% due 10/1/29 | 430,396 | |
100,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Refunding, ANA G Mendez University Project, Revenue Bonds, 5.500% due 12/1/31 | 99,784 | |
500,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Revenue Bonds, 5.000% due 3/1/36 | 494,225 | |
500,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Revenue Bonds, Refunding, 5.000% due 10/1/20 | 511,285 | |
540,000 | Puerto Rico Infrastructure Financing Authority, Special Tax Revenue,Revenue Bonds, Series A, 0.000% due 7/1/371 | 201,571 | |
700,000 | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds, Series A-1, 5.000% due 7/1/58 | 689,892 | |
University of Puerto Rico, Revenue Bonds, Refunding, Series P: | |||
495,000 | 5.000% due 6/1/19 | 493,762 | |
50,000 | 5.000% due 6/1/20 | 49,875 | |
185,000 | University of Puerto Rico, Revenue Bonds, Refunding, Series P, (NPFG Insured), 5.000% due 6/1/25 | 187,044 | |
University of Puerto Rico, Revenue Bonds, Series Q: | |||
145,000 | 5.000% due 6/1/19 | 144,638 | |
100,000 | 5.000% due 6/1/25 | 99,125 | |
150,000 | 5.000% due 6/1/36 | 146,625 | |
11,929,947 | |||
Rhode Island — 1.4% | |||
Rhode Island Health & Educational Building Corp., Revenue Bonds, Refunding, Series B: | |||
900,000 | 5.000% due 9/1/31 | 1,003,833 | |
750,000 | 5.000% due 9/1/36 | 825,150 | |
625,000 | Rhode Island State, Housing and Mortgage Finance Corp., Revenue Bonds, Series 69-B, (GNMA/FNMA/FHLMC Insured), 4.000% due 10/1/48 | 666,250 | |
4,000,000 | Tobacco Settlement Financing Corp., RI, Revenue Bonds, Series A, 0.000% due 6/1/521 | 408,760 | |
2,903,993 | |||
South Carolina — 1.8% | |||
1,786,324 | Connector 2000 Association, Inc., Revenue Bonds, Series A-1, 0.000% due 1/1/421 | 352,049 | |
500,000 | Connector 2000 Association, Inc., SC, Toll Road Revenue, Series A-1, 0.000% due 1/1/321 | 207,750 | |
420,000 | South Carolina State, Housing Finance & Development Authority, Revenue Bonds, (GNMA / FNMA / FHLMC / FHA Insured), 4.000% due 7/1/36 | 441,395 |
159 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
South Carolina — (Continued) | |||
South Carolina State, Jobs-Economic Development Authority, Health Facilities Revenue, Revenue Bonds, Refunding: | |||
$410,000 | 5.000% due 10/1/362 | $422,788 | |
1,090,000 | 5.000% due 10/1/412 | 1,119,146 | |
800,000 | South Carolina State, Jobs-Economic Development Authority, Residential Facilities Revenue, Revenue Bonds, Refunding, 5.000% due 4/1/47 | 833,384 | |
200,000 | South Carolina State, Public Service Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/33 | 229,282 | |
3,605,794 | |||
Texas — 5.6% | |||
645,000 | Arlington, TX, Higher Education Finance Corp., Revenue Bonds, Refunding, Series A, 5.000% due 12/1/51 | 699,522 | |
455,000 | Arlington, TX, Higher Education Finance Corp., Revenue Bonds, Refunding, Uplift Education, Series A, 2.750% due 12/1/26 | 455,892 | |
250,000 | Brazoria County, TX, Health Facilities Development Corp., Revenue Bonds, Prerefunded 7/1/20 @ 100, 5.250% due 7/1/32 | 276,080 | |
360,000 | Fort Bend County, TX, Industrial Development Corp., NRG Energy, Inc., Revenue Bonds, Series A, 4.750% due 5/1/38 | 370,033 | |
250,000 | Gregg County, TX, Health Facilities Development Corp., Revenue Bonds, Series C, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/32 | 274,978 | |
1,510,000 | Harris County, TX, Cultural Education Facilities Finance Corp., Brazos Presbyterian Homes Project, Revenue Bonds, Refunding, 5.000% due 1/1/48 | 1,610,792 | |
150,000 | Harris County, TX, Cultural Education Facilities Finance Corp., Revenue Bonds, Series A, 5.000% due 1/1/43 | 155,420 | |
505,000 | Harrison County, TX, Health Facilities Development Corp., Good Shepard Health System, Revenue Bonds, Prerefunded 7/1/20 @ 100, 5.250% due 7/1/28 | 525,503 | |
1,000,000 | Mission, TX, Economic Development Corp., Solid Waste Disposal Revenue, Revenue Bonds, Series A, 1.750% due 1/1/204 | 999,880 | |
250,000 | New Hope Cultural Education Facilities Corp., TX, Housing Revenue, Tarleton State University Project, Revenue Bonds, Series A, 5.000% due 4/1/47 | 263,445 | |
New Hope Cultural Education Facilities Corp., TX, Revenue Bonds, Series A: | |||
500,000 | 5.000% due 4/1/29 | 539,665 | |
600,000 | 5.000% due 4/1/30 | 653,370 | |
950,000 | New Hope Cultural Education Facilities Finance Corp., TX, Retirement Facilities Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/36 | 1,005,565 | |
200,000 | New Hope Cultural Education Facilities Finance Corp., TX, Retirement Facilities Revenue, Revenue Bonds, Series A, 5.500% due 11/15/46 | 203,448 | |
500,000 | New Hope Cultural Education Facilities Finance Corp., TX, Student Housing Revenue Bonds, Series A, 5.000% due 4/1/42 | 504,365 | |
Newark Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds: | |||
300,000 | 5.000% due 6/15/33 | 308,526 | |
500,000 | 5.000% due 6/15/38 | 510,385 | |
230,000 | Newark Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds, Series A, 5.000% due 6/15/37 | 235,115 | |
Tarrant County, TX, Cultural Education Facilities Finance Corp., Retirement Facilities, Revenue Bonds, Refunding: | |||
150,000 | 5.000% due 11/15/35 | 145,725 | |
750,000 | 5.000% due 5/15/45 | 782,032 | |
500,000 | 5.250% due 11/15/47 | 457,310 |
160 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Texas — (Continued) | |||
$200,000 | Texas State, Department of Housing and Community Affairs, Revenue Bonds, Series A, (GNMA Insured), 4.750% due 3/1/49 | $219,078 | |
350,000 | Wood County, TX, Central Hospital District, East Texas Medical Center, Revenue Bonds, Prerefunded 11/1/21 @ 100, 6.000% due 11/1/41 | 384,297 | |
11,580,426 | |||
Utah — 0.3% | |||
500,000 | Hideout Local District No. 1, UT, Special Assessment, 6.750% due 8/1/372,5 | 503,425 | |
Virginia — 2.5% | |||
750,000 | Farmville, VA, Industrial Development Authority Facilities, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/38 | 825,375 | |
500,000 | Hanover County, VA, Economic Development Authority, Care Facilities Revenue, Refunding, Covenant Woods, Revenue Bonds, 5.000% due 7/1/38 | 537,760 | |
295,000 | Henrico County, VA, Economic Development Authority Health Care Facilities Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 12/1/37 | 320,479 | |
500,000 | Henrico County, VA, Economic Development Authority, Residencial Care Facility Revenue, Revenue Bonds, Series A, 5.000% due 6/1/39 | 532,645 | |
500,000 | Newport News, VA, Industrial Development Authority, Health System Revenue, Revenue Bonds, Series A, 5.000% due 7/1/462 | 537,585 | |
1,000,000 | Newport News, VA, Industrial Development Authority, System Revenue, Revenue Bonds, 5.330% due 7/1/452 | 1,071,660 | |
750,000 | Norfolk, VA, Redevelopment and Housing Authority, Revenue Bonds, Series A, 5.250% due 1/1/54 | 793,252 | |
500,000 | Virginia State, Small Business Financing Authority, Residential Care Facility Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 6/1/42 | 526,455 | |
5,145,211 | |||
Washington — 1.2% | |||
200,000 | Kalispel Tribe of Indians Priority District, WA, Revenue Bonds, Series B, 5.250% due 1/1/382 | 217,074 | |
100,000 | Skagit County, WA, Public Hospital District No.1, Refunding, Series A, 5.000% due 12/1/19 | 101,605 | |
1,000,000 | Washington State, Health Care Facilities Authority, Revenue Bonds, 5.000% due 12/1/36 | 1,093,280 | |
235,000 | Washington State, Housing Finance Commission, Refunding, Hearthstone Project, Revenue Bonds, Series B, 3.125% due 7/1/232 | 235,024 | |
325,000 | Washington State, Housing Finance Commission, Refunding, Judson Park Project, Revenue Bonds, 5.000% due 7/1/382 | 341,877 | |
500,000 | Washington State, Housing Finance Commission, Revenue Bonds, Series A, 7.000% due 7/1/452 | 541,965 | |
2,530,825 | |||
West Virginia — 0.1% | |||
250,000 | West Virginia State, Hospital Finance Authority, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/43 | 283,715 | |
Wisconsin — 3.7% | |||
500,000 | Public Finance Authority, WI, Charter School Revenue, Revenue Bonds, Series A, 5.375% due 7/15/472 | 535,005 | |
1,000,000 | Public Finance Authority, WI, Revenue Bonds, 5.750% due 4/1/42 | 1,048,770 |
161 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Wisconsin — (Continued) | |||
$260,000 | Public Finance Authority, WI, Revenue Bonds, Refunding, 5.875% due 4/1/45 | $284,866 | |
350,000 | Public Finance Authority, WI, Senior Living Revenue, Mary’s Woods at Marylhurst Project, Revenue Bonds, Refunding, Series A, 5.250% due 5/15/372 | 373,121 | |
90,000 | Public Finance Authority, WI, Senior Living Revenue, Rose Village Project, Revenue Bonds, Series A, 5.000% due 11/15/242 | 96,272 | |
500,000 | Public Finance Authority, WI, Student Housing, Revenue Bonds, 5.000% due 7/1/53 | 556,950 | |
1,060,000 | Public Finance Authority, WI, Student Housing, Revenue Bonds, Series A, 5.000% due 7/1/25 | 1,167,548 | |
2,350,000 | Public Finance Authority, WI, Tax Allocation, Increment Finance Grant Revenue, 0.000% due 9/1/281 | 1,570,270 | |
955,000 | Wisconsin State, Health & Educational Facilities Authority Revenue, Revenue Bonds, Refunding, 5.000% due 6/1/41 | 996,753 | |
1,000,000 | Wisconsin State, Housing and Economic Development Authority, Home Ownership Revenue, Revenue Bonds, Series D, 4.000% due 3/1/47 | 1,064,920 | |
7,694,475 | |||
TOTAL MUNICIPAL BONDS (Cost $197,436,085) | 202,385,319 | ||
TOTAL INVESTMENTS (Cost $197,436,085) | 98.2% | $202,385,319 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 1.8 | 3,668,507 | |
NET ASSETS | 100.0% | $206,053,826 |
* | Percentages indicated are based on net assets. |
1 | Zero Coupon Bond. |
2 | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. This security may be resold in transactions exempt from registration, normally to qualified buyers. At April 30, 2019, these securities, which are not illiquid, amounted to $24,431,676 or 11.9% of net assets for the Portfolio. |
3 | Floating Rate Bond. Rate shown is as of April 30, 2019. |
4 | Variable/Floating interest rate security. Certain variable/floating interest 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. These securities do not indicate a reference rate and spread in their description above. Rate presented is as of April 30, 2019. |
5 | Illiquid security. |
6 | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. |
7 | This security is in default. See Note 1. |
Abbreviations: |
AGC-ICC — Assured Guaranty Corporation Insured Custody Certificates |
AGMC — Assured Guaranty Municipal Corporation |
AMBAC — American Municipal Bond Assurance Corporation |
BAM — Build America Mutual |
FHA — Federal Housing Administration |
FHLMC — Federal Home Loan Mortgage Corporation |
FNMA — Federal National Mortgage Association |
GNMA — Government National Mortgage Association |
MBIA — Municipal Bond Investors Assurance |
NPFG — National Public Finance Guarantee Corporation |
SIFMA — Securities Industry and Financial Markets Association |
162 |
% of Net Assets | Value | ||
STATE: | |||
Illinois | 15.2% | $31,291,623 | |
Colorado | 10.2 | 21,008,406 | |
New Jersey | 8.8 | 18,047,444 | |
Puerto Rico | 5.8 | 11,929,947 | |
Pennsylvania | 5.6 | 11,605,475 | |
Texas | 5.6 | 11,580,426 | |
Ohio | 5.3 | 10,938,771 | |
Florida | 5.2 | 10,797,243 | |
California | 3.9 | 7,996,278 | |
Wisconsin | 3.7 | 7,694,475 | |
Arizona | 2.9 | 5,949,114 | |
Virginia | 2.5 | 5,145,211 | |
Michigan | 2.4 | 4,981,604 | |
South Carolina | 1.8 | 3,605,794 | |
Maryland | 1.7 | 3,484,044 | |
Iowa | 1.6 | 3,215,304 | |
New York | 1.5 | 3,075,815 | |
Missouri | 1.4 | 2,935,661 | |
Rhode Island | 1.4 | 2,903,993 | |
Indiana | 1.3 | 2,723,144 | |
Washington | 1.2 | 2,530,825 | |
Alabama | 1.2 | 2,418,250 | |
Connecticut | 1.1 | 2,331,060 | |
Nevada | 1.0 | 2,104,215 | |
District of Columbia | 1.0 | 1,995,685 | |
Kentucky | 0.8 | 1,609,176 | |
Alaska | 0.7 | 1,438,506 | |
Idaho | 0.6 | 1,196,243 | |
North Carolina | 0.5 | 1,041,615 | |
Louisiana | 0.4 | 911,844 | |
Georgia | 0.4 | 875,228 | |
New Mexico | 0.3 | 703,202 | |
Utah | 0.3 | 503,425 | |
Maine | 0.2 | 466,422 | |
Kansas | 0.2 | 375,060 | |
Nebraska | 0.2 | 319,473 | |
West Virginia | 0.1 | 283,715 | |
Minnesota | 0.1 | 253,543 | |
Oklahoma | 0.1 | 118,060 | |
TOTAL MUNICIPAL BONDS | 98.2% | $202,385,319 | |
TOTAL INVESTMENTS | 98.2% | $202,385,319 |
163 |
164 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Exchange-Traded Funds | $14,598,142 | $— | $— | $14,598,142 | ||||
U.S. Treasury Bill | — | 133,557,188 | — | 133,557,188 | ||||
Repurchase Agreement | — | 8,123,575 | — | 8,123,575 | ||||
Purchased Options | ||||||||
Calls | 493,971,500 | — | — | 493,971,500 | ||||
Puts | 38,377,625 | — | — | 38,377,625 | ||||
Total Purchased Options | 532,349,125 | — | — | 532,349,125 | ||||
Total Investments | 546,947,267 | 141,680,763 | — | 688,628,030 | ||||
Total | $546,947,267 | $141,680,763 | $— | $688,628,030 |
165 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Written Options | ||||||||
Call | $(11,573,375) | $— | $— | $(11,573,375) | ||||
Puts | (2,204,412) | — | — | (2,204,412) | ||||
Total Written Options | (13,777,787) | — | — | (13,777,787) | ||||
Total | $(13,777,787) | $— | $— | $(13,777,787) |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Exchange-Traded Fund | $53,408 | $— | $— | $53,408 | ||||
U.S. Treasury Bills | — | 1,112,232 | — | 1,112,232 | ||||
Total Investments | 53,408 | 1,112,232 | — | 1,165,640 | ||||
Total | $53,408 | $1,112,232 | $— | $1,165,640 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Written Options | ||||||||
Puts | $(3,050) | $— | $— | $(3,050) | ||||
Total | $(3,050) | $— | $— | $(3,050) |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Common Stocks | ||||||||
Aerospace & Defense | $8,962 | $— | $— | $8,962 | ||||
Air Freight & Logistics | 29,465 | — | — | 29,465 | ||||
Automobiles | 32,489 | — | — | 32,489 | ||||
Banks | 348,870 | — | — | 348,870 | ||||
Beverages | 26,760 | — | — | 26,760 | ||||
Building Products | 55,907 | — | — | 55,907 |
166 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Capital Markets | $79,230 | $— | $— | $79,230 | ||||
Chemicals | 47,555 | — | — | 47,555 | ||||
Commercial Services & Supplies | 89,492 | — | — | 89,492 | ||||
Communications Equipment | 28,094 | — | — | 28,094 | ||||
Construction & Engineering | 94,509 | — | — | 94,509 | ||||
Consumer Finance | 98,169 | — | — | 98,169 | ||||
Containers & Packaging | 30,988 | — | — | 30,988 | ||||
Diversified Consumer Services | 20,196 | — | — | 20,196 | ||||
Diversified Financial Services | 30,464 | — | — | 30,464 | ||||
Electric Utilities | 38,908 | — | — | 38,908 | ||||
Electrical Equipment | 53,274 | — | — | 53,274 | ||||
Electronic Equipment, Instruments & Components | 28,021 | — | — | 28,021 | ||||
Energy Equipment & Services | 11,410 | — | — | 11,410 | ||||
Equity Real Estate Investment Trusts | 251,936 | — | — | 251,936 | ||||
Food & Staples Retailing | 11,586 | — | — | 11,586 | ||||
Food Products | 27,433 | — | — | 27,433 | ||||
Gas Utilities | 9,866 | — | — | 9,866 | ||||
Health Care Equipment & Supplies | 97,661 | — | — | 97,661 | ||||
Health Care Providers & Services | 26,541 | — | — | 26,541 | ||||
Hotels, Restaurants & Leisure | 79,681 | — | — | 79,681 | ||||
Household Durables | 12,207 | — | — | 12,207 | ||||
Household Products | 6,176 | — | — | 6,176 | ||||
Independent Power & Renewable Electricity Producer | 27,512 | — | — | 27,512 | ||||
Insurance | 131,097 | — | — | 131,097 | ||||
Internet & Direct Marketing Retail | 21,193 | — | — | 21,193 | ||||
IT Services | 73,460 | — | — | 73,460 | ||||
Leisure Product | 11,369 | — | — | 11,369 | ||||
Life Sciences Tools & Services | 27,973 | — | — | 27,973 | ||||
Machinery | 143,771 | — | — | 143,771 | ||||
Media | 25,408 | — | — | 25,408 | ||||
Metals & Mining | 35,618 | — | — | 35,618 | ||||
Mortgage Real Estate Investment Trust | 27,321 | — | — | 27,321 | ||||
Multi-Utilities | 55,361 | — | — | 55,361 | ||||
Oil, Gas & Consumable Fuels | 69,578 | — | — | 69,578 | ||||
Paper & Forest Products | 20,831 | — | — | 20,831 | ||||
Professional Services | 30,212 | — | — | 30,212 | ||||
Real Estate Management & Development | 12,861 | — | — | 12,861 | ||||
Semiconductors & Semiconductor Equipment | 71,988 | — | — | 71,988 | ||||
Software | 14,187 | — | — | 14,187 | ||||
Specialty Retail | 119,505 | — | — | 119,505 | ||||
Technology Hardware, Storage & Peripherals | 55,329 | — | — | 55,329 | ||||
Textiles, Apparel & Luxury Goods | 45,511 | — | — | 45,511 | ||||
Thrifts & Mortgage Finance | 61,726 | — | — | 61,726 | ||||
Trading Companies & Distributors | 12,192 | — | — | 12,192 | ||||
Wireless Telecommunication Services | 4,718 | — | — | 4,718 | ||||
Total Common Stocks | 2,774,571 | — | — | 2,774,571 | ||||
U.S. Treasury Bill | — | 1,597,681 | — | 1,597,681 | ||||
Purchased Options | ||||||||
Calls | 2,363,500 | — | — | 2,363,500 | ||||
Puts | 183,625 | — | — | 183,625 | ||||
Total Purchased Options | 2,547,125 | — | — | 2,547,125 | ||||
Total Investments | 5,321,696 | 1,597,681 | — | 6,919,377 | ||||
Total | $5,321,696 | $1,597,681 | $— | $6,919,377 |
167 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Written Options | ||||||||
Call | $(55,375) | $— | $— | $(55,375) | ||||
Puts | (17,711) | — | — | (17,711) | ||||
Total Written Options | (73,086) | — | — | (73,086) | ||||
Common Stocks Sold Short | ||||||||
Aerospace & Defense | (14,404) | — | — | (14,404) | ||||
Air Freight & Logistics | (28,798) | — | — | (28,798) | ||||
Auto Components | (44,716) | — | — | (44,716) | ||||
Banks | (299,055) | — | — | (299,055) | ||||
Beverages | (25,792) | — | — | (25,792) | ||||
Capital Markets | (183,081) | — | — | (183,081) | ||||
Chemicals | (49,731) | — | — | (49,731) | ||||
Commercial Services & Supplies | (108,732) | — | — | (108,732) | ||||
Communications Equipment | (15,894) | — | — | (15,894) | ||||
Construction & Engineering | (56,480) | — | — | (56,480) | ||||
Construction Materials | (38,653) | — | — | (38,653) | ||||
Consumer Finance | (11,842) | — | — | (11,842) | ||||
Distributors | (61,606) | — | — | (61,606) | ||||
Diversified Consumer Services | (9,604) | — | — | (9,604) | ||||
Diversified Telecommunication Services | (12,206) | — | — | (12,206) | ||||
Electronic Equipment, Instruments & Components | (54,822) | — | — | (54,822) | ||||
Equity Real Estate Investment Trusts | (235,450) | — | — | (235,450) | ||||
Food Products | (13,048) | — | — | (13,048) | ||||
Gas Utilities | (24,589) | — | — | (24,589) | ||||
Health Care Equipment & Supplies | (74,252) | — | — | (74,252) | ||||
Health Care Providers & Services | (22,740) | — | — | (22,740) | ||||
Hotels, Restaurants & Leisure | (41,347) | — | — | (41,347) | ||||
Household Durables | (31,885) | — | — | (31,885) | ||||
Household Products | (10,382) | — | — | (10,382) | ||||
Industrial Conglomerates | (38,287) | — | — | (38,287) | ||||
Insurance | (80,953) | — | — | (80,953) | ||||
Internet & Direct Marketing Retail | (13,486) | — | — | (13,486) | ||||
Leisure Product | (63,465) | — | — | (63,465) | ||||
Life Sciences Tools & Services | (29,461) | — | — | (29,461) | ||||
Machinery | (117,686) | — | — | (117,686) | ||||
Mortgage Real Estate Investment Trust | (28,579) | — | — | (28,579) | ||||
Multi-line Retail | (31,937) | — | — | (31,937) | ||||
Multi-Utilities | (32,186) | — | — | (32,186) | ||||
Oil, Gas & Consumable Fuels | (77,851) | — | — | (77,851) | ||||
Professional Services | (31,488) | — | — | (31,488) | ||||
Road & Rail | (24,187) | — | — | (24,187) | ||||
Semiconductors & Semiconductor Equipment | (76,612) | — | — | (76,612) | ||||
Software | (117,380) | — | — | (117,380) | ||||
Specialty Retail | (33,906) | — | — | (33,906) | ||||
Textiles, Apparel & Luxury Goods | (28,739) | — | — | (28,739) | ||||
Thrifts & Mortgage Finance | (57,737) | — | — | (57,737) | ||||
Trading Companies & Distributors | (64,295) | — | — | (64,295) | ||||
Water Utilities | (82,279) | — | — | (82,279) | ||||
Total Common Stocks Sold Short | (2,499,623) | — | — | (2,499,623) | ||||
Total | $(2,572,709) | $— | $— | $(2,572,709) |
168 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Agency Notes | ||||||||
Federal Home Loan Bank | $— | $44,009,905 | $— | $44,009,905 | ||||
Federal Home Loan Mortgage Corporation | — | 10,020,840 | — | 10,020,840 | ||||
Federal National Mortgage Association | — | 41,516,392 | — | 41,516,392 | ||||
Total Agency Notes | — | 95,547,137 | — | 95,547,137 | ||||
Mortgage-Backed Securities | ||||||||
Federal Home Loan Mortgage Corporation | — | 40,438,652 | — | 40,438,652 | ||||
Federal National Mortgage Association | — | 117,907,933 | — | 117,907,933 | ||||
Government National Mortgage Association | — | 1,358,938 | — | 1,358,938 | ||||
Total Mortgage-Backed Securities | — | 159,705,523 | — | 159,705,523 | ||||
Corporate Notes | ||||||||
Automotive | — | 4,055,012 | — | 4,055,012 | ||||
Banking | — | 45,082,568 | — | 45,082,568 | ||||
Beverages, Food & Tobacco | — | 19,874,444 | — | 19,874,444 | ||||
Communications | — | 16,156,356 | — | 16,156,356 | ||||
Computer Software & Processing | — | 31,024,017 | — | 31,024,017 | ||||
Financial | — | 17,295,983 | — | 17,295,983 | ||||
Heavy Machinery | — | 5,713,693 | — | 5,713,693 | ||||
Insurance | — | 15,283,833 | — | 15,283,833 | ||||
Pharmaceuticals | — | 4,986,146 | — | 4,986,146 | ||||
Retailers | — | 7,413,794 | — | 7,413,794 | ||||
Total Corporate Notes | — | 166,885,846 | — | 166,885,846 | ||||
U.S. Treasury Notes/Bonds | — | 83,707,147 | — | 83,707,147 | ||||
Repurchase Agreement | — | 10,451,711 | — | 10,451,711 | ||||
Investment of Security Lending Collateral | 18,804,590 | — | — | 18,804,590 | ||||
Total Investments | 18,804,590 | 516,297,364 | — | 535,101,954 | ||||
Total | $18,804,590 | $516,297,364 | $— | $535,101,954 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Corporate Notes | ||||||||
Financial | $— | $360,641 | $— | $360,641 | ||||
Municipal Bonds | ||||||||
Alabama | — | 521,075 | — | 521,075 | ||||
Alaska | — | 937,634 | — | 937,634 | ||||
Arizona | — | 439,916 | — | 439,916 | ||||
California | — | 492,143 | — | 492,143 | ||||
Colorado | — | 155,619 | — | 155,619 | ||||
Connecticut | — | 293,801 | — | 293,801 | ||||
Florida | — | 1,116,486 | — | 1,116,486 | ||||
Georgia | — | 578,866 | — | 578,866 |
169 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Idaho | $— | $207,770 | $— | $207,770 | ||||
Illinois | — | 4,958,386 | — | 4,958,386 | ||||
Kentucky | — | 1,110,689 | — | 1,110,689 | ||||
Louisiana | — | 1,110,964 | — | 1,110,964 | ||||
Maryland | — | 125,670 | — | 125,670 | ||||
Massachusetts | — | 263,915 | — | 263,915 | ||||
Michigan | — | 2,683,033 | — | 2,683,033 | ||||
Minnesota | — | 871,958 | — | 871,958 | ||||
Mississippi | — | 530,250 | — | 530,250 | ||||
New Jersey | — | 1,344,361 | — | 1,344,361 | ||||
New York | — | 585,371 | — | 585,371 | ||||
North Carolina | — | 107,360 | — | 107,360 | ||||
Ohio | — | 1,499,001 | — | 1,499,001 | ||||
Oklahoma | — | 125,231 | — | 125,231 | ||||
Pennsylvania | — | 5,785,721 | — | 5,785,721 | ||||
Rhode Island | — | 433,180 | — | 433,180 | ||||
Tennessee | — | 370,507 | — | 370,507 | ||||
Texas | — | 4,995,484 | — | 4,995,484 | ||||
Washington | — | 1,174,597 | — | 1,174,597 | ||||
Wisconsin | — | 1,284,131 | — | 1,284,131 | ||||
Wyoming | — | 400,996 | — | 400,996 | ||||
Total Municipal Bonds | — | 34,504,115 | — | 34,504,115 | ||||
U.S. Treasury Notes/Bonds | — | 3,168,710 | — | 3,168,710 | ||||
Repurchase Agreement | — | 179,304 | — | 179,304 | ||||
Investment of Security Lending Collateral | 82,200 | — | — | 82,200 | ||||
Registered Investment Companies | 1,326,096 | — | — | 1,326,096 | ||||
Total Investments | 1,408,296 | 38,212,770 | — | 39,621,066 | ||||
Total | $1,408,296 | $38,212,770 | $— | $39,621,066 |
170 |
171 |
172 |
173 |
Portfolio | Unlimited (Short Term) | Unlimited (Long Term) | ||
Quantitative U.S. Large Cap Value Equity Portfolio | $24,532 | $— | ||
Quantitative U.S. Small Cap Equity Portfolio | 2,798 | — | ||
Quantitative International Equity Portfolio | 2,136,441 | — | ||
Quantitative U.S. Long/Short Equity Portfolio | 19,680,918 | — | ||
Global Secured Options Portfolio* | 5,059,957 | 1,642,909 | ||
Core Fixed Income Portfolio | 188,259 | 1,793,311 | ||
Short Term Tax Aware Fixed Income Portfolio | 104,157 | 27,826 | ||
High Yield Municipal Portfolio | 430,216 | 298,379 |
Quantitative International Equity Portfolio | $12,291,805 |
Quantitative U.S. Long/Short Equity Portfolio | 1,573,567 |
Global Secured Options Portfolio | 260,887 |
Portfolio | Undistributed Tax-exempt Income | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation/ (Depreciation) | Other Temporary Differences | Loss Carryforwards | Total Distributable Earnings | |||||||
Quantitative U.S. Large Cap Core Equity Portfolio | $— | $3,602,100 | $214,187,260 | $495,678,312 | $— | $— | $713,467,672 | |||||||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 3 | 438,972,348 | 750,860,230 | — | — | 1,189,832,581 | |||||||
Quantitative U.S. Large Cap Value Equity Portfolio | — | 6,286 | — | (4,093) | — | (24,532) | (22,339) | |||||||
Quantitative U.S. Small Cap Equity Portfolio | — | 5,038 | — | 26,928 | — | (2,798) | 29,168 | |||||||
Quantitative International Equity Portfolio | — | 204,147 | — | 6,817,485 | — | (2,136,441) | 4,885,191 | |||||||
Responsible ESG U.S. Equity Portfolio | — | 25,300 | 782,741 | 1,925,420 | — | — | 2,733,461 | |||||||
Women in Leadership U.S. Equity Portfolio | — | 18,444 | 614,530 | 1,360,160 | — | — | 1,993,134 |
174 |
Portfolio | Undistributed Tax-exempt Income | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation/ (Depreciation) | Other Temporary Differences | Loss Carryforwards | Total Distributable Earnings | |||||||
Quantitative U.S. Long/Short Equity Portfolio | $— | $— | $— | $57,574,273 | $(20,798) | $(19,680,918) | $37,872,557 | |||||||
Quantitative U.S. Total Market Equity Portfolio | — | 57,048 | 6,593,129 | 22,116,014 | (11,206) | — | 28,754,985 | |||||||
Strategic Equity Portfolio | — | 229,232 | 2,691,438 | 86,159,587 | — | — | 89,080,257 | |||||||
Small Cap Equity Portfolio | — | 58,747,688 | 389,455,454 | 52,810,237 | — | — | 501,013,379 | |||||||
Large Cap Value Portfolio | — | 39,870 | 6,239,316 | 6,004,832 | — | — | 12,284,018 | |||||||
Equity Income Portfolio | — | 163,305 | 300,464 | 331,494 | — | — | 795,263 | |||||||
Secured Options Portfolio | — | 5,534,681 | 13,316,289 | 7,013,832 | (18,386) | — | 25,846,416 | |||||||
Global Secured Options Portfolio | — | 179,322 | 844,921 | (121,703) | 472,081** | (6,702,866) | (5,328,245) | |||||||
Core Fixed Income Portfolio | — | 915,960 | — | (19,658,912) | — | (1,981,570) | (20,724,522) | |||||||
Short Term Tax Aware Fixed Income Portfolio | 22,719 | — | — | (258,407) | — | (131,983) | (367,671) | |||||||
High Yield Municipal Portfolio | 489,648 | — | — | (1,664,458) | — | (728,595) | (1,903,405) |
Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | |||
Quantitative U.S. Large Cap Core Equity Portfolio | $— | $29,331,979 | $111,721,370 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 21,319,668 | 73,196,841 | |||
Quantitative U.S. Large Cap Value Equity Portfolio | — | 12,152 | — | |||
Quantitative U.S. Small Cap Equity Portfolio | — | 3,800 | — | |||
Quantitative International Equity Portfolio | — | 8,716,752 | — | |||
Responsible ESG U.S. Equity Portfolio | — | 140,449 | 62,301 | |||
Women in Leadership U.S. Equity Portfolio | — | 138,167 | 84,949 | |||
Quantitative U.S. Total Market Equity Portfolio | — | 272,471 | 2,233,678 | |||
Strategic Equity Portfolio | — | 1,954,304 | 13,725,891 | |||
Small Cap Equity Portfolio | — | 8,032,428 | 334,339,639 | |||
Large Cap Value Portfolio | — | 2,424,660 | 3,556,789 | |||
Equity Income Portfolio | — | 342,890 | 79 | |||
Secured Options Portfolio | — | 17,251,876 | 32,671,135 | |||
Global Secured Options Portfolio | — | 90,635 | — | |||
Core Fixed Income Portfolio | — | 11,591,006 | 1,755,129 | |||
Short Term Tax Aware Fixed Income Portfolio | 214,377 | 58,601 | — | |||
High Yield Municipal Portfolio | 5,272,841 | 126,090 | — |
175 |
Portfolio | Total distributable earnings | Paid-in capital | ||
Quantitative U.S. Large Cap Core Equity Portfolio | $2,123 | $(2,123) | ||
Quantitative U.S. Large Cap Value Equity Portfolio | 4,814 | (4,814) | ||
Quantitative U.S. Small Cap Equity Portfolio | 4,814 | (4,814) | ||
Responsible ESG U.S. Equity Portfolio | 191 | (191) | ||
Quantitative U.S. Long/Short Equity Portfolio | 6,693 | (6,693) |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Quantitative U.S. Large Cap Core Equity Portfolio | $2,202,728,634 | $587,468,170 | $27,558,407 | $559,909,763 | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio | 2,400,449,316 | 893,853,441 | 26,301,581 | 867,551,860 | ||||
Quantitative U.S. Large Cap Value Equity Portfolio | 1,877,101 | 157,500 | 48,353 | 109,147 | ||||
Quantitative U.S. Small Cap Equity Portfolio | 1,327,478 | 179,750 | 54,506 | 125,244 | ||||
Quantitative International Equity Portfolio | 282,247,977 | 31,536,292 | 5,719,408 | 25,816,884 | ||||
Responsible ESG U.S. Equity Portfolio | 20,970,764 | 3,330,414 | 206,206 | 3,124,208 | ||||
Women in Leadership U.S. Equity Portfolio | 17,950,334 | 2,820,657 | 99,320 | 2,721,337 | ||||
Quantitative U.S. Long/Short Equity Portfolio | 57,042,365 | 60,143,919 | 29,249,492 | 30,894,427 | ||||
Quantitative U.S. Total Market Equity Portfolio | 63,431,694 | 20,170,800 | 3,118,440 | 17,052,360 | ||||
Strategic Equity Portfolio | 150,620,462 | 108,925,883 | 2,849,967 | 106,075,916 | ||||
Small Cap Equity Portfolio | 2,863,475,891 | 439,092,917 | 202,278,372 | 236,814,545 | ||||
Large Cap Value Portfolio | 52,913,257 | 8,208,364 | 1,067,201 | 7,141,163 | ||||
Equity Income Portfolio | 20,610,907 | 2,929,268 | 166,179 | 2,763,089 | ||||
Secured Options Portfolio | 666,674,891 | 8,175,351 | — | 8,175,351 | ||||
Global Secured Options Portfolio | 1,153,477 | 9,113 | — | 9,113 | ||||
Alternative Risk Premia Portfolio | 4,298,032 | 293,933 | 245,297 | 48,636 | ||||
Core Fixed Income Portfolio | 535,094,426 | 4,051,887 | 4,044,359 | 7,528 | ||||
Short Term Tax Aware Fixed Income Portfolio | 39,558,860 | 136,645 | 74,439 | 62,206 | ||||
High Yield Municipal Portfolio | 197,448,635 | 5,696,674 | 759,990 | 4,936,684 |
As of October 31, 2017 | |||||
As Reported | Adjustment | As Revised | |||
Undistributed Long Term Gain | $— | $472,081 | $472,081 | ||
Capital Loss Carryforwards | (6,491,672) | (472,081) | (6,963,753) | ||
Undistributed Ordinary Income | 79,478 | — | 79,478 | ||
Unrealized Appreciation/(Depreciation) | 874,005 | — | 874,005 | ||
Total Distributable Earnings | (5,538,189) | — | (5,538,189) |
176 |
Equity Contracts Risk | Total | ||
Options Purchased1 | $532,349,125 | $532,349,125 | |
Total Value | $532,349,125 | $532,349,125 |
Equity Contracts Risk | Total | ||
Options Written2 | $(13,777,787) | $(13,777,787) | |
Total Value | $(13,777,787) | $(13,777,787) |
Equity Contracts Risk | Total | ||
Options Purchased3 | $(105,500,250) | $(105,500,250) | |
Options Written4 | 93,519,166 | 93,519,166 | |
Total Realized Gain (Loss) | $(11,981,084) | $(11,981,084) |
Equity Contracts Risk | Total | ||
Options Purchased5 | $148,547,170 | $148,547,170 | |
Options Written6 | (128,475,522) | (128,475,522) | |
Total Change in Appreciation (Depreciation) | $20,071,648 | $20,071,648 |
Equity Contracts Risk | Total | ||
Options Purchased | 5,595 | 5,595 | |
Options Written | (6,846) | (6,846) |
177 |
Equity Contracts Risk | Total | ||
Options Written2 | $(3,050) | $(3,050) | |
Total Value | $(3,050) | $(3,050) |
Equity Contracts Risk | Total | ||
Options Purchased3 | $(406,525) | $(406,525) | |
Options Written4 | 358,153 | 358,153 | |
Total Realized Gain (Loss) | $(48,372) | $(48,372) |
Equity Contracts Risk | Total | ||
Options Purchased5 | $206,455 | $206,455 | |
Options Written6 | (132,697) | (132,697) | |
Total Change in Appreciation (Depreciation) | $73,758 | $73,758 |
Equity Contracts Risk | Total | ||
Options Purchased | 1 | 1 | |
Options Written | (53) | (53) |
Equity Contracts Risk | Total | ||
Options Purchased1 | $2,547,125 | $2,547,125 | |
Total Value | $2,547,125 | $2,547,125 |
Equity Contracts Risk | Total | ||
Options Written2 | $(73,086) | $(73,086) | |
Total Value | $(73,086) | $(73,086) |
178 |
Equity Contracts Risk | Total | ||
Options Purchased3 | $139,005 | $139,005 | |
Options Written4 | (45,749) | (45,749) | |
Total Realized Gain (Loss) | $93,256 | $93,256 |
Equity Contracts Risk | Total | ||
Options Purchased5 | $40,585 | $40,585 | |
Options Written6 | (457) | (457) | |
Total Change in Appreciation (Depreciation) | $40,128 | $40,128 |
Equity Contracts Risk | Total | ||
Options Purchased | 13 | 13 | |
Options Written | (141) | (141) |
1 | Statement of Assets and Liabilities location: Investments at value. |
2 | Statement of Assets and Liabilities location: Options written, at value. |
3 | Statement of Operations location: Amount is included in Net realized gain (loss) on Investments. |
4 | Statement of Operations location: Amount is included in Net realized gain (loss) on Options written. |
5 | Statement of Operations location: Amount is included in Net change in unrealized gain (loss) of Investments. |
6 | Statement of Operations location: Amount is included in Net change in unrealized gain (loss) of Options written. |
7 | Amounts disclosed represents average number of contracts, notional amounts, or shares/units outstanding during the period ended April 30, 2019. |
179 |
Fund Name | Management Fee on Net Assets | |
Quantitative U.S. Large Cap Core Equity Portfolio | 0.55% | |
Quantitative U.S. Large Cap Growth Equity Portfolio | 0.55% | |
Quantitative U.S. Large Cap Value Equity Portfolio | 0.55%* | |
Quantitative U.S. Small Cap Equity Portfolio | 0.55%* | |
Quantitative International Equity Portfolio | 0.75%** | |
Responsible ESG U.S. Equity Portfolio | 0.55%* | |
Women in Leadership U.S. Equity Portfolio | 0.55%* | |
Quantitative U.S. Long/Short Equity Portfolio | 1.20%*** | |
Quantitative U.S. Total Market Equity Portfolio | 1.20%*** | |
Strategic Equity Portfolio | 0.55% | |
Small Cap Equity Portfolio | 0.55% | |
Large Cap Value Portfolio | 0.55% | |
Equity Income Portfolio | 0.55%* | |
Secured Options Portfolio | 0.55% | |
Global Secured Options Portfolio | 0.55%** | |
Alternative Risk Premia Portfolio | 0.55%** | |
Core Fixed Income Portfolio | 0.35% | |
Short Term Tax Aware Fixed Income Portfolio | 0.35%**** | |
High Yield Municipal Portfolio | 0.65%** |
180 |
Shareholder Servicing Fee on Net Assets | |
Quantitative U.S. Large Cap Core Equity Portfolio (Advisor Class) | 0.20% |
Quantitative U.S. Large Cap Growth Equity Portfolio (Advisor Class) | 0.20% |
Quantitative U.S. Large Cap Value Equity Portfolio | 0.20% |
Quantitative U.S. Small Cap Equity Portfolio | 0.20% |
Quantitative International Equity Portfolio | 0.25% |
Responsible ESG U.S. Equity Portfolio | 0.20% |
Women in Leadership U.S. Equity Portfolio | 0.20% |
Quantitative U.S. Long/Short Equity Portfolio (Advisor Class) | 0.20% |
Quantitative U.S. Total Market Equity Portfolio | 0.20% |
Strategic Equity Portfolio | 0.20% |
Small Cap Equity Portfolio (Advisor Class) | 0.25% |
Small Cap Equity Portfolio (Institutional Class) | 0.05% |
Large Cap Value Portfolio | 0.20% |
Equity Income Portfolio | 0.20% |
Secured Options Portfolio (Advisor Class) | 0.20% |
Global Secured Options Portfolio | 0.20% |
Alternative Risk Premia Portfolio | 0.20% |
Core Fixed Income Portfolio | 0.10% |
Short Term Tax Aware Fixed Income Portfolio | 0.10% |
High Yield Municipal Portfolio | 0.25% |
Portfolio | Purchases | Sales | ||
Quantitative U.S. Large Cap Core Equity Portfolio | $1,152,595,728 | $1,409,479,854 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio | 1,150,605,961 | 1,659,621,075 | ||
Quantitative U.S. Large Cap Value Equity Portfolio | 1,367,463 | 537,873 | ||
Quantitative U.S. Small Cap Equity Portfolio | 1,041,918 | 765,547 | ||
Quantitative International Equity Portfolio | 146,666,602 | 253,560,455 | ||
Responsible ESG U.S. Equity Portfolio | 12,791,253 | 11,937,946 | ||
Women in Leadership U.S. Equity Portfolio | 9,871,843 | 9,589,585 | ||
Quantitative U.S. Long/Short Equity Portfolio | 275,908,478 | 285,990,509 | ||
Quantitative U.S. Total Market Equity Portfolio | 60,723,660 | 73,085,775 |
181 |
Portfolio | Purchases | Sales | ||
Strategic Equity Portfolio | $20,123,117 | $16,526,368 | ||
Small Cap Equity Portfolio | 787,357,755 | 1,305,306,764 | ||
Large Cap Value Portfolio | 18,357,812 | 33,136,473 | ||
Equity Income Portfolio | 5,735,707 | 3,383,058 | ||
Secured Options Portfolio | — | — | ||
Global Secured Options Portfolio | 55,825 | 969,401 | ||
Alternative Risk Premia Portfolio | 3,596,525 | 3,260,887 | ||
Core Fixed Income Portfolio | 15,977,481 | 64,635,170 | ||
Short Term Tax Aware Fixed Income Portfolio | 15,835,183 | 2,400,037 | ||
High Yield Municipal Portfolio | 39,787,522 | 35,831,363 |
Portfolio | Purchases | Sales | ||
Core Fixed Income Portfolio | $95,831,740 | $40,187,327 |
Period Ended 04/30/19 | Year Ended 10/31/18 | ||||||
Shares | Amount | Shares | Amount | ||||
Quantitative U.S. Large Cap Core Equity Portfolio — Advisor | |||||||
Sold | 5,798,384 | $148,313,498 | 11,436,924 | $328,633,948 | |||
Issued as reinvestment of dividends | 6,399,147 | 156,438,512 | 3,462,603 | 97,124,284 | |||
Redeemed | (13,564,772) | (348,772,754) | (16,137,755) | (464,126,218) | |||
Net Decrease | (1,367,241) | $(44,020,744) | (1,238,228) | $(38,367,986) | |||
Quantitative U.S. Large Cap Core Equity Portfolio — Institutional | |||||||
Sold | 4,810,482 | $123,373,105 | 9,524,939 | $275,611,925 | |||
Issued as reinvestment of dividends | 2,280,041 | 55,809,405 | 1,037,112 | 29,172,255 | |||
Redeemed | (6,950,093) | (179,710,847) | (2,618,343) | (75,387,364) | |||
Net Increase (Decrease) | 140,430 | $(528,337) | 7,943,708 | $229,396,816 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio — Advisor | |||||||
Sold | 4,214,027 | $122,812,728 | 13,654,036 | $456,555,937 | |||
Issued as reinvestment of dividends | 11,620,638 | 314,943,552 | 2,076,091 | 66,958,982 | |||
Redeemed | (23,688,049) | (698,285,972) | (31,460,232) | (1,054,413,273) | |||
Net Decrease | (7,853,384) | $(260,529,692) | (15,730,105) | $(530,898,354) | |||
Quantitative U.S. Large Cap Growth Equity Portfolio — Institutional | |||||||
Sold | 10,063,553 | $302,438,642 | 8,907,593 | $298,176,710 | |||
Issued as reinvestment of dividends | 3,701,238 | 100,380,396 | 637,383 | 20,607,718 | |||
Redeemed | (7,506,398) | (217,444,294) | (13,887,458) | (475,942,233) | |||
Net Increase (Decrease) | 6,258,393 | $185,374,744 | (4,342,482) | $(157,157,805) | |||
Quantitative U.S. Large Cap Value Equity Portfolio1 | |||||||
Sold | 84,484 | $818,192 | 110,464 | $1,111,439 | |||
Issued as reinvestment of dividends | 1,448 | 13,669 | 718 | 7,488 | |||
Net Increase | 85,932 | $831,861 | 111,182 | $1,118,927 |
182 |
Period Ended 04/30/19 | Year Ended 10/31/18 | ||||||
Shares | Amount | Shares | Amount | ||||
Quantitative U.S. Small Cap Equity Portfolio1 | |||||||
Sold | 38,054 | $374,999 | 104,551 | $1,047,000 | |||
Issued as reinvestment of dividends | 564 | 5,414 | 199 | 2,200 | |||
Redeemed | (11,325) | (113,303) | — | — | |||
Net Increase | 27,293 | $267,110 | 104,750 | $1,049,200 | |||
Quantitative International Equity Portfolio | |||||||
Sold | 1,473,502 | $19,550,482 | 2,986,388 | $45,382,680 | |||
Issued as reinvestment of dividends | 4,224 | 55,327 | 9,425 | 138,826 | |||
Redeemed | (9,808,492) | (127,375,196) | (4,252,311) | (63,344,194) | |||
Net Decrease | (8,330,766) | $(107,769,387) | (1,256,498) | $(17,822,688) | |||
Responsible ESG U.S. Equity Portfolio | |||||||
Sold | 213,107 | $2,874,844 | 594,885 | $8,663,609 | |||
Issued as reinvestment of dividends | 59,223 | 770,141 | 4,781 | 67,264 | |||
Redeemed | (168,129) | (2,294,990) | (57,712) | (831,159) | |||
Net Increase | 104,201 | $1,349,995 | 541,954 | $7,899,714 | |||
Women in Leadership U.S. Equity Portfolio | |||||||
Sold | 175,619 | $2,175,498 | 563,130 | $7,760,641 | |||
Issued as reinvestment of dividends | 50,229 | 617,532 | 7,076 | 95,546 | |||
Redeemed | (158,374) | (2,097,857) | (53,235) | (730,267) | |||
Net Increase | 67,474 | $695,173 | 516,971 | $7,125,920 | |||
Quantitative U.S. Long/Short Equity Portfolio — Advisor2 | |||||||
Sold | 1,585,539 | $19,415,374 | — | $— | |||
Issued as reinvestment of dividends | 12,553 | 153,769 | — | — | |||
Redeemed | (4,982,173) | (61,467,036) | — | — | |||
Net Decrease | (3,384,081) | $(41,897,893) | — | $— | |||
Quantitative U.S. Total Market Equity Portfolio | |||||||
Sold | 213,315 | $3,647,602 | 1,723,936 | $33,819,877 | |||
Issued as reinvestment of dividends | 384,376 | 6,191,830 | 120,421 | 2,304,688 | |||
Redeemed | (932,016) | (16,230,653) | (970,888) | (19,031,024) | |||
Net Increase (Decrease) | (334,325) | $(6,391,221) | 873,469 | $17,093,541 | |||
Strategic Equity Portfolio | |||||||
Sold | 1,058,022 | $25,327,059 | 1,145,929 | $28,701,105 | |||
Issued as reinvestment of dividends | 114,524 | 2,622,270 | 574,373 | 13,884,433 | |||
Redeemed | (803,877) | (19,174,736) | (824,116) | (20,709,125) | |||
Net Increase | 368,669 | $8,774,593 | 896,186 | $21,876,413 | |||
Small Cap Equity Portfolio — Advisor | |||||||
Sold | 4,145,895 | $98,721,353 | 3,287,497 | $101,730,528 | |||
Issued as reinvestment of dividends | 6,924,340 | 155,278,815 | 4,554,760 | 135,920,304 | |||
Redeemed | (20,311,454) | (491,956,638) | (8,626,027) | (268,783,662) | |||
Net Decrease | (9,241,219) | $(237,956,470) | (783,770) | $(31,132,830) | |||
Small Cap Equity Portfolio — Institutional | |||||||
Sold | 21,715,808 | $534,016,331 | 27,435,565 | $900,043,906 | |||
Issued as reinvestment of dividends | 4,246,296 | 100,830,012 | 2,364,451 | 74,045,002 | |||
Redeemed | (20,845,449) | (539,852,181) | (15,368,773) | (495,386,462) | |||
Net Increase | 5,116,655 | $94,994,162 | 14,431,243 | $478,702,446 | |||
Large Cap Value Portfolio | |||||||
Sold | 781,137 | $7,173,787 | 998,661 | $11,022,329 | |||
Issued as reinvestment of dividends | 693,631 | 6,231,939 | 449,330 | 4,939,648 | |||
Redeemed | (2,343,744) | (22,627,027) | (1,359,618) | (14,931,958) | |||
Net Increase (Decrease) | (868,976) | $(9,221,301) | 88,373 | $1,030,019 |
183 |
Period Ended 04/30/19 | Year Ended 10/31/18 | ||||||
Shares | Amount | Shares | Amount | ||||
Equity Income Portfolio | |||||||
Sold | 468,435 | $4,985,771 | 719,858 | $8,280,206 | |||
Issued as reinvestment of dividends | 41,016 | 438,870 | 442 | 5,065 | |||
Redeemed | (237,757) | (2,535,569) | (230,561) | (2,631,038) | |||
Net Increase | 271,694 | $2,889,072 | 489,739 | $5,654,233 | |||
Secured Options Portfolio — Advisor | |||||||
Sold | 5,083,791 | $60,294,856 | 9,995,489 | $124,211,619 | |||
Issued as reinvestment of dividends | 780,736 | 9,103,403 | 2,170,190 | 26,085,680 | |||
Redeemed | (16,527,668) | (195,719,017) | (10,947,356) | (135,365,729) | |||
Net Increase (Decrease) | (10,663,141) | $(126,320,758) | 1,218,323 | $14,931,570 | |||
Secured Options Portfolio — Institutional | |||||||
Sold | 10,170,618 | $118,263,161 | 11,550,437 | $145,823,677 | |||
Issued as reinvestment of dividends | 599,104 | 7,015,540 | 1,552,885 | 18,712,267 | |||
Redeemed | (13,814,617) | (160,121,142) | (9,602,946) | (119,072,547) | |||
Net Increase (Decrease) | (3,044,895) | $(34,842,441) | 3,500,376 | $45,463,397 | |||
Global Secured Options Portfolio | |||||||
Sold | 25,330 | $249,999 | 5,989 | $63,788 | |||
Issued as reinvestment of dividends | 2,491,580 | 1,497,340 | 3 | 32 | |||
Redeemed | (153,225) | (1,579,292) | (770,906) | (8,405,463) | |||
Net Increase (Decrease) | 2,363,685 | $168,047 | (764,914) | $(8,341,643) | |||
Alternative Risk Premia Portfolio3 | |||||||
Sold | 533,604 | $5,474,310 | — | $— | |||
Redeemed | (29) | (301) | — | — | |||
Net Increase | 533,575 | $5,474,009 | — | $— | |||
Core Fixed Income Portfolio | |||||||
Sold | 5,212,744 | $55,861,785 | 8,648,799 | $92,745,217 | |||
Issued as reinvestment of dividends | 23,891 | 254,415 | 226,667 | 2,473,400 | |||
Redeemed | (4,221,288) | (45,000,236) | (6,870,199) | (73,991,276) | |||
Net Increase | 1,015,347 | $11,115,964 | 2,005,267 | $21,227,341 | |||
Short Term Tax Aware Fixed Income Portfolio | |||||||
Sold | 1,663,959 | $16,566,026 | 506,071 | $5,018,252 | |||
Redeemed | (476,753) | (4,748,767) | (1,244,972) | (12,352,546) | |||
Net Increase (Decrease) | 1,187,206 | $11,817,259 | (738,901) | $(7,334,294) | |||
High Yield Municipal Portfolio | |||||||
Sold | 1,585,325 | $16,345,058 | 3,870,050 | $39,914,227 | |||
Redeemed | (924,625) | (9,539,367) | (1,408,224) | (14,456,842) | |||
Net Increase | 660,700 | $6,805,691 | 2,461,826 | $25,457,385 |
1 | Portfolio commenced operations on November 13, 2017. |
2 | Class was re-named Advisor Class on February 14, 2019. |
3 | Portfolio commenced operations on December 21, 2018. |
184 |
5% or Greater Shareholders | ||||
Portfolio | # of Shareholders | % of Shares Held | ||
Quantitative U.S Large Cap Core Equity Portfolio (Advisor Class) | 2 | 53 | ||
Quantitative U.S. Large Cap Core Equity Portfolio (Institutional Class) | 3 | 87 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio (Advisor Class) | 2 | 69 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio (Institutional Class) | 3 | 83 | ||
Quantitative U.S. Large Cap Value Equity Portfolio | 5 | 93 | ||
Quantitative U.S. Small Cap Equity Portfolio | 2 | 93 | ||
Responsible ESG U.S. Equity Portfolio | 4 | 30 | ||
Women in Leadership U.S. Equity Portfolio | 5 | 40 | ||
Quantitative U.S. Long/Short Equity Portfolio (Advisor Class) | 2 | 13 | ||
Quantitative U.S. Total Market Equity Portfolio | 3 | 40 | ||
Small Cap Equity Portfolio (Advisor Class) | 2 | 51 | ||
Small Cap Equity Portfolio (Institutional Class) | 2 | 80 | ||
Large Cap Value Portfolio | 2 | 16 | ||
Equity Income Portfolio | 4 | 30 | ||
Secured Options Portfolio (Advisor Class) | 2 | 32 | ||
Secured Options Portfolio (Institutional Class) | 5 | 95 | ||
Global Secured Options Portfolio | 2 | 95 | ||
Alternative Risk Premia Portfolio | 4 | 56 | ||
Short Term Tax Aware Fixed Income Portfolio | 4 | 40 |
Portfolio | Market Value of Loaned Securities | Market Value of Cash Collateral | Market Value of Non-Cash Collateral | % of Total Assets on Loan | ||||
Quantitative U.S. Large Cap Core Equity Portfolio | $72,399,137 | $72,192,981 | 1,332,630 | 2.60 | ||||
Quantitative U.S. Large Cap Value Equity Portfolio | 19,891 | — | 20,285 | 0.99 | ||||
Quantitative U.S. Small Cap Equity Portfolio | 103,658 | 62,577 | 49,000 | 7.10 | ||||
Quantitative International Equity Portfolio | 18,071,350 | 17,672,110 | 816,058 | 5.82 | ||||
Responsible ESG U.S. Equity Portfolio | 605,176 | 318,695 | 296,924 | 2.49 | ||||
Women in Leadership U.S. Equity Portfolio | 344,672 | 252,655 | 97,569 | 1.66 | ||||
Quantitative U.S. Long/Short Equity Portfolio | 5,193,564 | 3,412,118 | 1,946,461 | 1.06 | ||||
Quantitative U.S. Total Market Equity Portfolio | 849,142 | — | 906,028 | 0.82 | ||||
Strategic Equity Portfolio | 3,314,804 | 3,362,783 | — | 1.29 | ||||
Small Cap Equity Portfolio | 171,451,778 | 104,532,565 | 72,833,953 | 5.52 | ||||
Large Cap Value Portfolio | 938,897 | 987,512 | — | 1.55 | ||||
Equity Income Portfolio | 417,972 | 225,140 | 198,693 | 1.79 | ||||
Core Fixed Income Portfolio | 18,435,097 | 18,804,590 | — | 3.36 | ||||
Short Term Tax Aware Fixed Income Portfolio | 1,032,496 | 82,200 | 971,375 | 2.57 |
185 |
186 |
Muni Intermediate Portfolio | |
Assets: | |
Investments at value1 | $309,827,625 |
Cash | 947,270 |
Receivable for fund shares sold | 225,128 |
Interest receivable | 3,792,564 |
Prepaid expenses | 3,083 |
Total assets | 314,795,670 |
Liabilities: | |
Payable for when-issued securities purchased | 3,836,390 |
Payable for fund shares redeemed | 78,582 |
Payable for Trustees’ fees | 8,865 |
Payable for Shareholder Servicing fees | 38,173 |
Accrued expenses | 27,733 |
Total liabilities | 3,989,743 |
Net Assets | $310,805,927 |
Net Assets consist of: | |
Par value ($0.001 of shares outstanding) | $28,062 |
Paid-in capital in excess of par value | 304,732,782 |
Total distributable earnings | 6,045,083 |
Total Net Assets | $310,805,927 |
Shares Outstanding | 28,062,015 |
Net Asset Value Per Share | $11.08 |
1Investments at cost | $303,749,317 |
187 |
Muni Intermediate Portfolio | |
Investment income: | |
Interest | $3,316,871 |
Total investment income | 3,316,871 |
Expenses: | |
Administration, transfer agent and custody fees | 85,928 |
Professional fees | 11,611 |
Shareholder report expenses | 9,135 |
Shareholder servicing fees | 220,339 |
Trustees’ fees and expenses | 17,936 |
Registration and filing fees | 5,907 |
Other expenses | 3,780 |
Total expenses | 354,636 |
Net investment income | 2,962,235 |
Realized and unrealized gain (loss): | |
Net realized loss on: | |
Investment transactions | (98,199) |
Net change in unrealized gain of: | |
Investments | 9,321,787 |
Net realized and unrealized gain | 9,223,588 |
Net increase in net assets resulting from operations | $12,185,823 |
188 |
Muni Intermediate Portfolio | |
Increase (decrease) in net assets | |
Operations: | |
Net investment income | $2,962,235 |
Net realized loss on: | |
Investment transactions | (98,199) |
Net change in unrealized gain of: | |
Investments | 9,321,787 |
Net increase in net assets resulting from operations | 12,185,823 |
Distributions from earnings | (2,971,907) |
Net increase in net assets from capital share transactions (See note 4) | 12,190,828 |
Net increase in net assets | 21,404,744 |
NET ASSETS: | |
Beginning of period | 289,401,183 |
End of period | $310,805,927 |
Muni Intermediate Portfolio | |
Increase (decrease) in net assets | |
Operations: | |
Net investment income | $5,611,226 |
Net realized loss on: | |
Investment transactions | (102,884) |
Net change in unrealized loss of: | |
Investments | (7,566,031) |
Net increase (decrease) in net assets resulting from operations | (2,057,689) |
Distributions from earnings* | (5,577,383) |
Net increase (decrease) in net assets from capital share transactions (See note 4) | (6,945,937) |
Net increase (decrease) in net assets | (14,581,009) |
NET ASSETS: | |
Beginning of year | 303,982,192 |
End of year** | $289,401,183 |
* | The SEC eliminated the requirement to disclose distributions to shareholders from net investment income and from net realized gains in 2018. |
** | The SEC eliminated the requirement to disclose undistributed net investment income in 2018. |
189 |
Muni Intermediate Portfolio | |||||||||||
For the Period Ended April 30, 20191,2 | For the Years Ended October 31, | ||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | |||||||
Net asset value, beginning of period | $10.73 | $11.01 | $11.08 | $10.98 | $11.04 | $10.94 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.11 | 0.20 | 0.19 | 0.17 | 0.16 | 0.18 | |||||
Net realized and unrealized gain (loss) on investments | 0.35 | (0.28) | (0.04) | 0.10 | — | 0.15 | |||||
Total from investment operations | 0.46 | (0.08) | 0.15 | 0.27 | 0.16 | 0.33 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.11) | (0.20) | (0.18) | (0.17) | (0.16) | (0.18) | |||||
Net realized capital gains | — | — | (0.04) | — | (0.06) | (0.05) | |||||
Total distributions | (0.11) | (0.20) | (0.22) | (0.17) | (0.22) | (0.23) | |||||
Net asset value, end of period | $11.08 | $10.73 | $11.01 | $11.08 | $10.98 | $11.04 | |||||
Total return | 4.31%3 | (0.73)% | 1.38% | 2.45% | 1.45% | 3.09% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $310,806 | $289,401 | $303,982 | $331,243 | $299,121 | $263,867 | |||||
Ratio of operating expenses to average net assets | 0.24%4 | 0.23% | 0.23% | 0.25% | 0.23% | 0.25% | |||||
Ratio of net investment income to average net assets | 2.02%4 | 1.86% | 1.70% | 1.53% | 1.44% | 1.67% | |||||
Portfolio turnover rate | 7% | 31% | 19% | 34% | 71% | 46% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Total return calculation is not annualized. |
4 | Annualized. |
190 |
Face Amount | Value | ||
MUNICIPAL BONDS* — 99.7% | |||
Alabama — 1.0% | |||
$3,000,000 | Black Belt Energy Gas District, AL, Gas Supply Revenue, Revenue Bonds, Series A, 4.000% due 7/1/46 | $3,124,470 | |
Alaska — 3.4% | |||
1,630,000 | Alaska State, General Obligation Unlimited, Refunding, Series B, 5.000% due 8/1/22 | 1,799,503 | |
1,000,000 | Alaska State, General Obligation Unlimited, Series B, 5.000% due 8/1/20 | 1,040,780 | |
2,745,000 | Anchorage, AK, Electric Utility, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/21 | 2,893,834 | |
4,645,000 | Valdez, AK, Marine Terminal Revenue, Revenue Bonds, Refunding, Series B, (SPA : British Petroleum PLC), 5.000% due 1/1/21 | 4,876,507 | |
10,610,624 | |||
Arizona — 1.5% | |||
4,015,000 | Yuma, AZ, Municipal Property Corp., Road & Excise Tax, Revenue Bonds, Refunding, 5.000% due 7/1/26 | 4,727,141 | |
California — 3.2% | |||
3,935,000 | California State, CA, General Obligation Unlimited, Refunding, 5.000% due 11/1/30 | 4,842,883 | |
4,300,000 | Los Angeles, CA, Unified School District, General Obligation Unlimited, Series B-1, 5.000% due 7/1/38 | 5,086,083 | |
9,928,966 | |||
Colorado — 1.1% | |||
2,750,000 | Colorado State, Certificate of Participation, Series A, 5.000% due 12/15/29 | 3,413,712 | |
Connecticut — 0.4% | |||
1,000,000 | University of Connecticut, Revenue Bonds, Series A, 5.000% due 11/1/251 | 1,173,160 | |
Delaware — 1.0% | |||
2,640,000 | Delaware State, DE, General Obligation Unlimited, Refunding, Series B, 5.000% due 7/1/24 | 3,078,002 | |
District Of Columbia — 1.0% | |||
2,700,000 | District of Columbia, General Obligation Unlimited, Series D, 5.000% due 6/1/25 | 3,212,379 | |
Florida — 11.9% | |||
1,025,000 | Broward County, FL, School Broward Corporation, Certificate of Participation, Refunding, Series A, 5.000% due 7/1/27 | 1,228,104 | |
2,820,000 | Central, FL, Expressway Authority, Revenue Bonds, Refunding, Series B, 5.000% due 7/1/28 | 3,379,037 | |
3,180,000 | Citizens Property Insurance Corp., FL, Revenue Bonds, Series A-1, 5.000% due 6/1/20 | 4,817,672 | |
5,000,000 | Florida State, Board of Education Capital Outlay, Public Education, General Obligation Unlimited, Refunding, Series E, 5.000% due 6/1/26 | 5,936,150 | |
2,765,000 | Florida State, Department of Environmental Protection, Preservation Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/22 | 3,048,108 | |
491,000 | Florida State, Water Pollution Control Financing Corp., Revenue Bonds, Water Pollution Control, Series A, 5.000% due 1/15/20 | 492,404 | |
2,630,000 | Hillsborough County, FL, Industrial Development Authority, Revenue Bonds, Prerefunded 8/15/19 @ 101, 8.000% due 8/15/32 | 2,703,377 |
191 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — (Continued) | |||
Lakeland, FL, Energy System Revenue Bonds, Refunding: | |||
$3,750,000 | 5.000% due 10/1/24 | $4,374,187 | |
2,750,000 | 5.000% due 10/1/25 | 3,278,440 | |
3,000,000 | Lee County, FL, School Board, Certificate of Participation, Refunding, Series A, 5.000% due 8/1/27 | 3,436,740 | |
2,025,000 | Orlando & Orange County, FL, Expressway Authority, Revenue Bonds, Refunding, 5.000% due 7/1/23 | 2,227,075 | |
1,875,000 | Orlando & Orange County, FL, Expressway Authority, Revenue Bonds, Refunding, Series B (AGMC Insured), 5.000% due 7/1/21 | 1,946,325 | |
36,867,619 | |||
Hawaii — 0.9% | |||
2,700,000 | Hawaii State, HI, General Obligation Unlimited, Refunding, Series EA, 5.000% due 12/1/22 | 2,927,664 | |
Illinois — 4.6% | |||
Chicago, IL, O’Hare International Airport Revenue Bonds, Refunding, Series B: | |||
2,545,000 | 5.000% due 1/1/30 | 2,922,551 | |
2,000,000 | 5.000% due 1/1/32 | 2,277,260 | |
4,000,000 | McHenry County, IL, Conservation District, General Obligation Unlimited, Refunding, 5.000% due 2/1/25 | 4,669,200 | |
4,000,000 | Regional Transportation Authority, IL, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/23 | 4,479,280 | |
14,348,291 | |||
Indiana — 0.8% | |||
2,500,000 | Indiana State, Health & Educational Facilities Financing Authority, Revenue Bonds, Series 2006B-3, 1.750% due 11/15/31 | 2,502,575 | |
Kansas — 1.4% | |||
Kansas State, KS, Department of Transportation Highway Revenue, Revenue Bonds, Series C: | |||
1,190,000 | 5.000% due 9/1/23 | 1,316,806 | |
2,750,000 | 5.000% due 9/1/24 | 3,039,273 | |
4,356,079 | |||
Kentucky — 0.7% | |||
2,000,000 | Kentucky State, Property & Building Commission, Revenue Bonds, Refunding, 4.000% due 8/1/21 | 2,050,580 | |
Louisiana — 1.7% | |||
3,000,000 | Louisiana State, General Obligation Unlimited, Series A, 5.000% due 4/1/28 | 3,646,980 | |
1,550,000 | New Orleans, LA, Sewage Service Revenue, Revenue Bonds, Refunding, 5.000% due 6/1/22 | 1,686,632 | |
5,333,612 | |||
Maine — 1.1% | |||
Maine State Municipal Bond Bank, Infrastructure Revenue, Refunding, Series A: | |||
1,175,000 | 5.000% due 9/1/21 | 1,263,313 | |
1,985,000 | 5.000% due 9/1/22 | 2,195,827 | |
3,459,140 | |||
Maryland — 3.7% | |||
4,000,000 | Maryland State, General Obligation Unlimited, 5.000% due 8/1/24 | 4,669,040 | |
4,500,000 | Maryland, MD, Economic Development Corporation, Economic Development Revenue, Revenue Bonds, Series B, 5.375% due 6/1/25 | 4,680,720 |
192 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Maryland — (Continued) | |||
$2,000,000 | Washington, MD, Suburban Sanitary Commission, General Obligation Unlimited, Public Improvement, 4.000% due 6/1/21 | $2,097,220 | |
11,446,980 | |||
Massachusetts — 2.1% | |||
2,000,000 | Massachusetts State, General Obligation Limited, Series A, 5.000% due 3/1/23 | 2,250,040 | |
3,850,000 | Massachusetts State, General Obligation Limited, Series C, 5.000% due 5/1/30 | 4,327,554 | |
6,577,594 | |||
Michigan — 4.6% | |||
4,000,000 | Detroit, MI, City School District, General Obligation Unlimited, Series A, (QSBLF Insured), 5.000% due 5/1/26 | 4,341,120 | |
1,500,000 | Grand Valley, MI, State University, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/26 | 1,781,550 | |
5,000,000 | Michigan Finance Authority, Revenue Bonds, (1M USD LIBOR * 0.67+ 0.54%), 2.199% due 12/1/392 | 5,010,050 | |
3,100,000 | Michigan Finance Authority, Revenue Bonds, Refunding Detroit School District, Series A, (QSBLF Insured), 5.000% due 5/1/21 | 3,288,077 | |
14,420,797 | |||
Minnesota — 3.6% | |||
1,190,000 | Lake Superior, MN, Independent School District No. 381, General Obligation Unlimited, Refunding, Series A, (School District Credit Program), 5.000% due 10/1/20 | 1,247,346 | |
2,900,000 | Minneapolis, MN, Saint Paul Housing and Redevelopment Authority, Revenue Bonds, Series B-1, (SPA : JP Morgan Chase Bank N.A.), 2.300% due 11/15/35 | 2,900,000 | |
2,010,000 | Sartell, MN, Independent School District No. 748, General Obligation Unlimited, Series B, (School District Credit Program), 0.000% due 2/1/283 | 1,608,101 | |
4,800,000 | St. Paul, MN, Housing & Redevelopment Authority Health Care Facilities Revenue, Refunding, HealthPartners Obligated Group, Series A, 5.000% due 7/1/28 | 5,563,392 | |
11,318,839 | |||
Mississippi — 1.4% | |||
1,000,000 | Mississippi Development Bank, Special Obligation, Revenue Bonds, Refunding, Series A, 5.000% due 4/1/20 | 1,029,600 | |
3,160,000 | Mississippi State, Development Bank, Special Obligation, Jackson Public School District Project, Revenue Bonds, Refunding, Series A, 5.000% due 4/1/21 | 3,351,180 | |
4,380,780 | |||
Missouri — 0.8% | |||
2,000,000 | City of Kansas, MO, Sanitary Sewer System Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 2,345,540 | |
Nevada — 1.2% | |||
3,500,000 | Clark County, NV, Water Reclamation District, General Obligation Limited, Refunding, 5.000% due 7/1/20 | 3,637,445 | |
New Mexico — 2.0% | |||
6,300,000 | New Mexico State, Municipal Energy Acquisition Authority, Revenue Bonds, Subseries B, (1M USD LIBOR * 0.67+ 0.75%), 2.426% due 11/1/392 | 6,301,512 |
193 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New York — 4.5% | |||
$1,000,000 | New York City, NY, Municipal Water Finance Authority, Water & Sewer System, Revenue Bonds, Series DD-2, 5.000% due 6/15/25 | $1,151,750 | |
1,650,000 | New York City, NY, Transitional Finance Authority Revenue, Future Tax Secured, Series C, 5.000% due 11/1/26 | 2,024,665 | |
2,275,000 | New York City, NY, Transitional Finance Authority, Future Tax Secured, Revenue Bonds, Subseries E-1, 5.000% due 2/1/30 | 2,696,808 | |
1,150,000 | New York State, Thruway Authority Personal Income Tax, Revenue Bonds, Series A, 5.000% due 3/15/23 | 1,203,395 | |
3,500,000 | New York State, Urban Development Corp., Revenue Bonds, Series A, 5.000% due 3/15/36 | 4,240,145 | |
2,470,000 | New York, Metropolitan Transportation Authority Revenue, Dedicated Tax Fund, Series B-1, 5.000% due 11/15/21 | 2,687,681 | |
14,004,444 | |||
North Carolina — 4.3% | |||
1,220,000 | Duplin County, NC, Limited Obligation, Revenue Bonds, 5.000% due 4/1/23 | 1,361,447 | |
Mooresville, NC, Limited Obligation, Revenue Bonds, Refunding: | |||
3,375,000 | 5.000% due 11/1/22 | 3,737,441 | |
3,550,000 | 5.000% due 11/1/23 | 4,032,623 | |
2,000,000 | New Hanover County, NC, Hospital Revenue Bonds, 5.000% due 10/1/19 | 2,027,480 | |
2,000,000 | Raleigh City, North Carolina, Combined Enterprise System Revenue, Refunding, Series B, 5.000% due 12/1/24 | 2,357,280 | |
13,516,271 | |||
Ohio — 4.2% | |||
2,060,000 | Ohio State, Adult Correctional Capital Facilities, Lease Revenue, Series A, 5.000% due 4/1/21 | 2,190,254 | |
3,250,000 | Ohio State, General Obligation Unlimited, Series A, 5.000% due 6/15/28 | 3,633,012 | |
1,400,000 | Ohio State, Hospital Facilities Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/25 | 1,642,690 | |
2,670,000 | Ohio State, Hospital Revenue Bonds, Series A, 5.000% due 1/15/24 | 2,960,576 | |
1,000,000 | Ohio State, Revenue Bonds, Refunding, Series B, 5.000% due 10/1/21 | 1,079,760 | |
1,360,000 | Ohio State, Special Obligation, Revenue Bonds, 5.000% due 10/1/21 | 1,467,794 | |
12,974,086 | |||
Oklahoma — 0.7% | |||
2,000,000 | Grand River, OK, Dam Authority, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/24 | 2,311,100 | |
Oregon — 1.5% | |||
1,970,000 | Oregon State, General Obligation Unlimited, Refunding, Series N, 5.000% due 12/1/23 | 2,136,110 | |
2,000,000 | Washington County, OR, Beaverton School District No. 48J, Series D, 5.000% due 6/15/26 | 2,428,720 | |
4,564,830 | |||
Pennsylvania — 2.9% | |||
2,500,000 | Allegheny County, PA, General Obligation Unlimited, Refunding, Series C-73, 5.000% due 12/1/20 | 2,631,700 | |
500,000 | Conneaut, PA, School District, Refunding, Series B, (AGMC Insured State Aid Withholding), 5.000% due 11/1/20 | 522,085 |
194 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
$2,500,000 | Pennsylvania State Turnpike Authority, Revenue Bonds, Refunding, 5.000% due 12/1/221 | $2,734,550 | |
2,500,000 | Pennsylvania State, General Obligation Unlimited, Series 2, 5.000% due 9/15/25 | 2,967,550 | |
8,855,885 | |||
Rhode Island — 0.4% | |||
1,020,000 | Rhode Island State, RI, Health and Educational Building Corporation, Public School Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 5/15/22 | 1,104,609 | |
South Carolina — 0.4% | |||
1,010,000 | Beaufort County, SC, General Obligation Unlimited, Series B, (State Aid Withholding), 5.000% due 5/1/22 | 1,109,738 | |
Texas — 12.8% | |||
1,420,000 | Alamo, TX, Community College District, General Obligation Limited, 5.000% due 2/15/23 | 1,504,419 | |
1,065,000 | Alamo, TX, Community College District, General Obligation Limited, Refunding, 5.000% due 2/15/24 | 1,225,059 | |
3,000,000 | Dallas, TX, Area Rapid Transit, Sales Tax Revenue, Revenue Bonds, Refunding, 5.000% due 12/1/25 | 3,601,770 | |
2,500,000 | Dallas, TX, Independent School District, General Obligation Unlimited, Refunding, (PSF Guaranteed), 5.000% due 2/15/22 | 2,646,350 | |
Harris County, Texas, Cultural Education Facilities Finance Corp., Revenue Bonds, Refunding, Children’s Hospital Project: | |||
2,850,000 | 5.000% due 10/1/26 | 3,367,360 | |
2,000,000 | 5.000% due 10/1/27 | 2,355,160 | |
3,000,000 | Harris County, Texas, Flood Control District, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/28 | 3,697,680 | |
Harris County, Texas, Revenue Bonds, Refunding, Series A: | |||
1,300,000 | 5.000% due 8/15/24 | 1,511,744 | |
3,000,000 | 5.000% due 8/15/25 | 3,568,410 | |
3,000,000 | Plano, TX, Independent School District, General Obligation Unlimited, Refunding, Series B, (PSF Guaranteed), 5.000% due 2/15/21 | 3,177,180 | |
2,550,000 | Texas State, General Obligation Unlimited, Series A, 5.000% due 10/1/26 | 3,108,169 | |
1,000,000 | Texas State, Transportation Commission Highway Fund Revenue, Revenue Bonds, Refunding, 5.000% due 10/1/22 | 1,110,880 | |
1,165,000 | Texas State, TX, A&M University Permanent University Fund, Revenue Bonds, 5.000% due 7/1/22 | 1,285,811 | |
3,500,000 | University of Texas, Revenue Bonds, Series D , 5.000% due 8/15/25 | 4,176,900 | |
3,090,000 | Waco, TX, Independent School District, General Obligation Unlimited, Refunding, (PSF Guaranteed), 5.000% due 8/15/23 | 3,509,653 | |
39,846,545 | |||
Utah — 0.9% | |||
2,440,000 | Nebo, UT, School District, General Obligation Unlimited, Series C, 4.000% due 7/1/23 | 2,672,166 | |
Virginia — 4.2% | |||
1,500,000 | Fairfax County, VA, General Obligation Unlimited, Refunding, Series C, (State Aid Withholding), 5.000% due 10/1/24 | 1,760,685 | |
2,800,000 | Richmond, VA, Convention Center Authority, Hotel Tax Revenue Bonds, Refunding, 5.000% due 6/15/27 | 3,270,484 | |
2,450,000 | Virginia State, Commonwealth University Health System Authority Revenue, Revenue Bonds, Series B, 5.000% due 7/1/29 | 2,982,630 |
195 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Virginia — (Continued) | |||
$4,555,000 | Virginia State, Public Building Authority, Public Facilities Revenue, Revenue Bonds, Series A, 4.000% due 8/1/35 | $5,098,503 | |
13,112,302 | |||
Washington — 6.5% | |||
4,150,000 | Central Puget Sound, WA, Regional Transit Authority, Revenue Bonds, Refunding, Series P-1, 5.000% due 2/1/28 | 4,507,813 | |
1,205,000 | Grays Harbor County, WA, Public Utility District No. 1, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 1,390,305 | |
3,600,000 | King County, WA, Bellevue School District No. 405, General Obligation Unlimited, 5.000% due 12/1/25 | 4,111,236 | |
2,240,000 | Washington State, Certificate of Participation, Refunding, Series C, (State Aid Intercept), 5.000% due 1/1/20 | 2,290,198 | |
4,000,000 | Washington State, General Obligation Unlimited, Refunding, Series R-2013A, 4.000% due 7/1/28 | 4,261,240 | |
3,000,000 | Washington State, General Obligation Unlimited, Series D, 5.000% due 2/1/26 | 3,617,010 | |
20,177,802 | |||
Wisconsin — 1.3% | |||
2,100,000 | Wisconsin State, Department of Transportation Revenue, Revenue Bonds, Refunding, Series 2, 5.000% due 7/1/29 | 2,579,535 | |
15,000 | Wisconsin State, General Obligation Unlimited, Series B, Prerefunded 5/1/20 @ 100, 5.000% due 5/1/26 | 15,495 | |
1,350,000 | Wisconsin State, General Obligation Unlimited, Unrefunded, Series 1, 5.000% due 5/1/21 | 1,439,316 | |
4,034,346 | |||
TOTAL MUNICIPAL BONDS (Cost $303,749,317) | 309,827,625 | ||
TOTAL INVESTMENTS (Cost $303,749,317) | 99.7% | $309,827,625 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.3 | 978,302 | |
NET ASSETS | 100.0% | $310,805,927 |
* | Percentages indicated are based on net assets. |
1 | When-issued security. |
2 | Floating Rate Bond. Rate shown is as of April 30, 2019. |
3 | Zero Coupon Bond. |
Abbreviations: |
AGMC — Assured Guaranty Municipal Corporation |
PSF — Permanent School Fund |
QSBLF — Michigan Qualified School Bond Loan Fund |
SPA — Stand-By Purchase Agreement |
196 |
% of Net Assets | Value | ||
STATE: | |||
Texas | 12.8% | $39,846,545 | |
Florida | 11.9 | 36,867,619 | |
Washington | 6.5 | 20,177,802 | |
Michigan | 4.6 | 14,420,797 | |
Illinois | 4.6 | 14,348,291 | |
New York | 4.5 | 14,004,444 | |
North Carolina | 4.3 | 13,516,271 | |
Virginia | 4.2 | 13,112,302 | |
Ohio | 4.2 | 12,974,086 | |
Maryland | 3.7 | 11,446,980 | |
Minnesota | 3.6 | 11,318,839 | |
Alaska | 3.4 | 10,610,624 | |
California | 3.2 | 9,928,966 | |
Pennsylvania | 2.9 | 8,855,885 | |
Massachusetts | 2.1 | 6,577,594 | |
New Mexico | 2.0 | 6,301,512 | |
Louisiana | 1.7 | 5,333,612 | |
Arizona | 1.5 | 4,727,141 | |
Oregon | 1.5 | 4,564,830 | |
Mississippi | 1.4 | 4,380,780 | |
Kansas | 1.4 | 4,356,079 | |
Wisconsin | 1.3 | 4,034,346 | |
Nevada | 1.2 | 3,637,445 | |
Maine | 1.1 | 3,459,140 | |
Colorado | 1.1 | 3,413,712 | |
District of Columbia | 1.0 | 3,212,379 | |
Alabama | 1.0 | 3,124,470 | |
Delaware | 1.0 | 3,078,002 | |
Hawaii | 0.9 | 2,927,664 | |
Utah | 0.9 | 2,672,166 | |
Indiana | 0.8 | 2,502,575 | |
Missouri | 0.8 | 2,345,540 | |
Oklahoma | 0.7 | 2,311,100 | |
Kentucky | 0.7 | 2,050,580 | |
Connecticut | 0.4 | 1,173,160 | |
South Carolina | 0.4 | 1,109,738 | |
Rhode Island | 0.4 | 1,104,609 | |
TOTAL MUNICIPAL BONDS | 99.7% | $309,827,625 | |
TOTAL INVESTMENTS | 99.7% | $309,827,625 |
197 |
198 |
Portfolio | Unlimited (Short Term) | Unlimited (Long Term) | ||
Muni Intermediate Portfolio | $288,263 | $117,564 |
Portfolio | Undistributed Tax-exempt Income | Unrealized Appreciation/ (Depreciation) | Loss Carryforwards | Total Distributable Earnings | ||||
Muni Intermediate Portfolio | $480,473 | $(3,243,479) | $(405,827) | $(3,168,833) |
Portfolio | Tax Exempt | Ordinary Income | ||
Muni Intermediate Portfolio | $5,430,555 | $146,828 |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Muni Intermediate Portfolio | $303,749,317 | $6,266,238 | $187,930 | $6,078,308 |
199 |
Portfolio | Purchases | Sales | ||
Muni Intermediate Portfolio | $57,625,819 | $18,564,489 |
Period Ended 04/30/19 | Year Ended 10/31/18 | ||||||
Shares | Amount | Shares | Amount | ||||
Muni Intermediate Portfolio | |||||||
Sold | 4,581,129 | $50,156,392 | 5,096,672 | $55,280,588 | |||
Redeemed | (3,482,223) | (37,965,564) | (5,741,062) | (62,226,525) | |||
Net Increase (Decrease) | 1,098,906 | $12,190,828 | (644,390) | $(6,945,937) |
200 |
201 |
Item 2. | Code of Ethics. |
Not applicable.
Item 3. | Audit Committee Financial Expert. |
Not applicable.
Item 4. | Principal Accountant Fees and Services. |
Not applicable.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Investments. |
(a) Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period are 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 Investment Management 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 Directors.
Item 11. | Controls and Procedures. |
(a) The Registrant’s Principal Executive Officer and Principal Financial Officer 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 based on the evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days prior to the filing date of this report.
(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 most recent fiscal half-year that have materially affected, or are 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. |
(a) Not applicable.
(b) Not applicable.
Item 13. | Exhibits. |
(a)(1) Not applicable.
(a)(2) Certifications of the Principal Executive Officer and Principal Financial Officer of the Registrant, as required by Rule30a-2(a) under the 1940 Act (17 CFR270.30a-2(a)), are attached hereto as Exhibit 99.CERT.
(a)(3) Not applicable.
(a)(4) Not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule30a-2(b) under the 1940 Act (17 CFR270.30a-2(b)), Rule15d-14(b) under the Securities Exchange Act of 1934, as amended (17 CFR240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350), are attached hereto as Exhibit 99.906CERT.
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) THE GLENMEDE FUND, INC. |
By (Signature and Title) | /s/ Mary Ann B. Wirts | |||||
Mary Ann B. Wirts President (Principal Executive Officer) | ||||||
Date June 25, 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/ Mary Ann B. Wirts | |||||
Mary Ann B. Wirts President (Principal Executive Officer) | ||||||
Date June 25, 2019 | ||||||
/s/ Kent E. Weaver | ||||||
Kent E. Weaver Treasurer (Principal Financial Officer) | ||||||
Date June 25, 2019 |