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)
1 Lincoln Street, Floor 8
SFC0805
Boston, MA 02111
(Address of Principal Executive Offices)(Zip Code)
Michael P. Malloy, Esq.
Secretary
Faegre 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, 2020
Item 1. Reports to Stockholders.
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1 |
Beginning Account Value (November 1, 2019) | Ending Account Value (April 30, 2020) | Annualized Expense Ratio | Expenses Paid During Period* (November 1, 2019 to April 30, 2020) | ||||
Quantitative U.S. Large Cap Core Equity Portfolio – Advisor | |||||||
Actual | $1,000.00 | $884.70 | 0.87% | $4.08 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.50 | 0.87 | 4.37 | |||
Quantitative U.S. Large Cap Core Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 885.10 | 0.67 | 3.14 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.50 | 0.67 | 3.37 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 972.30 | 0.87 | 4.27 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.50 | 0.87 | 4.37 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 973.10 | 0.67 | 3.29 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.50 | 0.67 | 3.37 | |||
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||
Actual | 1,000.00 | 823.70 | 0.85 | 3.85 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.60 | 0.85 | 4.27 | |||
Quantitative U.S. Small Cap Equity Portfolio | |||||||
Actual | 1,000.00 | 812.90 | 0.85 | 3.83 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.60 | 0.85 | 4.27 | |||
Quantitative International Equity Portfolio | |||||||
Actual | 1,000.00 | 829.70 | 1.00 | 4.55 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,019.90 | 1.00 | 5.02 | |||
Responsible ESG U.S. Equity Portfolio | |||||||
Actual | 1,000.00 | 905.80 | 0.85 | 4.03 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.60 | 0.85 | 4.27 | |||
Women in Leadership U.S. Equity Portfolio | |||||||
Actual | 1,000.00 | 875.10 | 0.85 | 3.96 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.60 | 0.85 | 4.27 | |||
Quantitative U.S. Long/Short Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 893.10 | 2.71 | 12.76 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,011.40 | 2.71 | 13.55 |
2 |
Beginning Account Value (November 1, 2019) | Ending Account Value (April 30, 2020) | Annualized Expense Ratio | Expenses Paid During Period* (November 1, 2019 to April 30, 2020) | ||||
Quantitative U.S. Long/Short Equity Portfolio – Institutional | |||||||
Actual | $1,000.00 | $894.30 | 2.44% | $11.49 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,012.70 | 2.44 | 12.21 | |||
Quantitative U.S. Total Market Equity Portfolio | |||||||
Actual | 1,000.00 | 810.50 | 2.07 | 9.32 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,014.60 | 2.07 | 10.37 | |||
Strategic Equity Portfolio | |||||||
Actual | 1,000.00 | 907.50 | 0.84 | 3.98 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.70 | 0.84 | 4.22 | |||
Small Cap Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 819.60 | 0.94 | 4.25 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.20 | 0.94 | 4.72 | |||
Small Cap Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 820.50 | 0.74 | 3.35 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.20 | 0.74 | 3.72 | |||
Large Cap Value Portfolio | |||||||
Actual | 1,000.00 | 841.90 | 1.08 | 4.95 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,019.50 | 1.08 | 5.42 | |||
Equity Income Portfolio | |||||||
Actual | 1,000.00 | 925.50 | 0.85 | 4.07 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.60 | 0.85 | 4.27 | |||
Secured Options Portfolio – Advisor | |||||||
Actual | 1,000.00 | 898.00 | 0.87 | 4.11 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.50 | 0.87 | 4.37 | |||
Secured Options Portfolio – Institutional | |||||||
Actual | 1,000.00 | 898.70 | 0.67 | 3.16 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.50 | 0.67 | 3.37 | |||
Global Secured Options Portfolio | |||||||
Actual | 1,000.00 | 872.80 | 1.00 | 4.66 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,019.90 | 1.00 | 5.02 | |||
Alternative Risk Premia Portfolio | |||||||
Actual | 1,000.00 | 949.90 | 1.07 | 10.43 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,039.30 | 1.07 | 10.91 | |||
Core Fixed Income Portfolio | |||||||
Actual | 1,000.00 | 1,055.30 | 0.53 | 2.71 | |||
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 | 999.80 | 0.55 | 2.73 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.10 | 0.55 | 2.77 | |||
High Yield Municipal Portfolio | |||||||
Actual | 1,000.00 | 928.90 | 1.00 | 4.80 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,019.90 | 1.00 | 5.02 |
* | Expenses are calculated using the Portfolio’s annualized expense ratio (as disclosed in the table), which is net of fee waivers, and include dividends on securities sold short, interest expense and expense reimbursements, if any, multiplied by the average account value for the period, multiplied by the number of days in the period (182 days), and divided by the number of days in the calendar year (366 days). |
3 |
Beginning Account Value (November 1, 2019) | Ending Account Value (April 30, 2020) | Annualized Expense Ratio | Expenses Paid During Period* (November 1, 2019 to April 30, 2020) | ||||
Muni Intermediate Portfolio | |||||||
Actual | $1,000.00 | $1,000.20 | 0.25% | $1.24 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,023.60 | 0.25 | 1.26 |
* | 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 (182 days), and divided by the number of days in the calendar year (366 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 | $1,309,557,347 | $2,712,475,514 | $1,691,958 | ||
Repurchase agreements at value1 | 5,104,473 | 11,306,328 | — | ||
Cash | — | — | 7,625 | ||
Receivable from Advisor | — | — | 3,152 | ||
Receivable for fund shares sold | 473,770 | 1,888,022 | — | ||
Dividends receivable | 1,826,370 | 1,224,060 | 2,576 | ||
Securities lending income receivable | 328 | 1,360 | 1 | ||
Prepaid expenses | 36,614 | 55,606 | 34 | ||
Total assets | 1,316,998,902 | 2,726,950,890 | 1,705,346 | ||
Liabilities: | |||||
Payable for fund shares redeemed | 2,589,530 | 3,625,454 | — | ||
Payable for Management fees | 573,697 | 1,182,914 | 712 | ||
Payable for Directors’ fees | 37,565 | 45,715 | 21 | ||
Payable for Shareholder Servicing fees | 180,141 | 280,628 | 259 | ||
Accrued expenses | 379,003 | 518,872 | 6,830 | ||
Total liabilities | 3,759,936 | 5,653,583 | 7,822 | ||
Net Assets | $1,313,238,966 | $2,721,297,307 | $1,697,524 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $57,957 | $96,531 | $202 | ||
Paid-in capital in excess of par value | 1,084,638,110 | 2,017,251,468 | 2,001,081 | ||
Total distributable earnings | 228,542,899 | 703,949,308 | (303,759) | ||
Total Net Assets | $1,313,238,966 | $2,721,297,307 | $1,697,524 | ||
Shares Outstanding3 | 57,957,335 | 96,530,849 | 202,475 | ||
Net Asset Value Per Share | $— | $— | $8.38 | ||
Advisor Class — based on net assets of $1,136,570,705 and $1,778,523,006, respectively and shares outstanding of 50,161,575 and 63,091,696, respectively | 22.66 | 28.19 | — | ||
Institutional Class — based on net assets of $176,668,261 and $942,774,301, respectively and shares outstanding of 7,795,760 and 33,439,153, respectively | 22.66 | 28.19 | — | ||
1Investments at cost | $1,191,719,488 | $2,195,216,913 | $1,890,045 | ||
2 Market value of securities on loan | $3,721,009 | $15,703,880 | $15,751 | ||
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 | $876,238 | $106,040,340 | $21,477,398 | ||
Repurchase agreements at value1 | — | 206,915 | — | ||
Cash | 8,431 | 21,162 | — | ||
Receivable from Advisor | 3,490 | 22,916 | 11,637 | ||
Receivable for securities sold | — | 181,230 | 91,081 | ||
Receivable for fund shares sold | — | 3,042 | — | ||
Dividends receivable | 228 | 270,269 | 23,320 | ||
Securities lending income receivable | 366 | 10,612 | 66 | ||
Foreign tax reclaims receivable | — | 846,485 | — | ||
Prepaid expenses | 15 | 3,025 | 381 | ||
Total assets | 888,768 | 107,605,996 | 21,603,883 | ||
Liabilities: | |||||
Due to custodian | — | — | 79,869 | ||
Obligation to return securities lending collateral | 19,933 | 7,334,289 | — | ||
Payable for fund shares redeemed | — | 252,107 | 5,743 | ||
Payable for Management fees | 352 | 63,317 | 9,186 | ||
Payable for Directors’ fees | 18 | 4,154 | 290 | ||
Payable for Shareholder Servicing fees | 128 | 21,106 | 3,340 | ||
Accrued expenses | 6,553 | 41,176 | 9,724 | ||
Total liabilities | 26,984 | 7,716,149 | 108,152 | ||
Net Assets | $861,784 | $99,889,847 | $21,495,731 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $102 | $8,691 | $1,668 | ||
Paid-in capital in excess of par value | 1,007,308 | 117,272,128 | 20,645,604 | ||
Total distributable earnings | (145,626) | (17,390,972) | 848,459 | ||
Total Net Assets | $861,784 | $99,889,847 | $21,495,731 | ||
Shares Outstanding3 | 102,492 | 8,691,144 | 1,668,480 | ||
Net Asset Value Per Share | $8.41 | $11.49 | $12.88 | ||
1Investments at cost | $949,771 | $109,990,847 | $20,942,701 | ||
2 Market value of securities on loan | $46,132 | $11,773,021 | $370,249 | ||
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 | $20,094,954 | $140,497,356 | $46,874,869 | ||
Repurchase agreements at value1 | 104,305 | — | — | ||
Receivable from Advisor | 12,019 | — | 8,034 | ||
Receivable for securities sold | — | 4,115,312 | 217,715 | ||
Receivable for fund shares sold | 200 | 2,571 | 289 | ||
Dividends receivable | 27,591 | 167,563 | 50,724 | ||
Securities lending income receivable | 32 | 123 | 12 | ||
Cash collateral on deposit at broker (Note 1) | — | 107,005,571 | — | ||
Prepaid expenses | 346 | 3,859 | 999 | ||
Total assets | 20,239,447 | 251,792,355 | 47,152,642 | ||
Liabilities: | |||||
Due to custodian | — | 4,680,029 | 6,108 | ||
Payable for securities purchased | — | 1,615,073 | — | ||
Payable for fund shares redeemed | 28,537 | 229,821 | 158,222 | ||
Dividend payable on securities sold short | — | 70,342 | 5,529 | ||
Payable for securities sold short, at value3 | — | 100,497,942 | 11,557,634 | ||
Payable for Management fees | 8,504 | 102,757 | 24,936 | ||
Payable for Directors’ fees | 256 | 4,190 | 1,125 | ||
Payable for Shareholder Servicing fees | 3,092 | 24,178 | 5,867 | ||
Accrued expenses | 9,219 | 95,777 | 35,024 | ||
Total liabilities | 49,608 | 107,320,109 | 11,794,445 | ||
Net Assets | $20,189,839 | $144,472,246 | $35,358,197 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $1,658 | $25,228 | $2,583 | ||
Paid-in capital in excess of par value | 19,771,151 | 147,404,374 | 25,872,466 | ||
Total distributable earnings | 417,030 | (2,957,356) | 9,483,148 | ||
Total Net Assets | $20,189,839 | $144,472,246 | $35,358,197 | ||
Shares Outstanding4 | 1,658,320 | 25,228,338 | 2,583,480 | ||
Net Asset Value Per Share | $12.17 | $— | $13.69 | ||
Advisor Class — based on net assets of $144,469,281 and shares outstanding of 13,606,045 | — | 10.62 | — | ||
Institutional Class — based on net assets of $2,965 and shares outstanding of 279 | — | 10.62 | — | ||
1Investments at cost | $19,747,528 | $136,537,022 | $44,706,383 | ||
2 Market value of securities on loan | $394,557 | $662,985 | $— | ||
3 Proceeds from securities sold short | $— | $112,372,627 | $13,548,448 | ||
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 | $226,129,384 | $1,460,134,414 | $23,904,309 | ||
Repurchase agreements at value1 | 1,546,208 | 16,283,445 | 502,119 | ||
Receivable for securities sold | 1,251,202 | — | 881,367 | ||
Receivable for fund shares sold | 3,170 | 2,517,913 | 5,174 | ||
Dividends receivable | 243,725 | 106,563 | 23,673 | ||
Securities lending income receivable | 6,119 | 4,225 | 232 | ||
Foreign tax reclaims receivable | — | — | 2,527 | ||
Prepaid expenses | 4,379 | 31,447 | 619 | ||
Total assets | 229,184,187 | 1,479,078,007 | 25,320,020 | ||
Liabilities: | |||||
Payable for securities purchased | — | — | 877,983 | ||
Obligation to return securities lending collateral | 672,823 | 9,971,446 | 49,000 | ||
Payable for fund shares redeemed | 413,052 | 2,140,904 | 18,790 | ||
Payable for Management fees | 98,918 | 611,497 | 11,120 | ||
Payable for Directors’ fees | 3,352 | 40,580 | 810 | ||
Payable for Shareholder Servicing fees | 35,970 | 121,887 | 4,044 | ||
Accrued expenses | 36,068 | 345,856 | 23,894 | ||
Total liabilities | 1,260,183 | 13,232,170 | 985,641 | ||
Net Assets | $227,924,004 | $1,465,845,837 | $24,334,379 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $9,444 | $72,724 | $3,201 | ||
Paid-in capital in excess of par value | 144,367,873 | 1,837,009,298 | 25,642,470 | ||
Total distributable earnings | 83,546,687 | (371,236,185) | (1,311,292) | ||
Total Net Assets | $227,924,004 | $1,465,845,837 | $24,334,379 | ||
Shares Outstanding3 | 9,444,063 | 72,723,682 | 3,201,022 | ||
Net Asset Value Per Share | $24.13 | $— | $7.60 | ||
Advisor Class — based on net assets of $430,624,976 and shares outstanding of 22,240,101 | — | 19.36 | — | ||
Institutional Class — based on net assets of $1,035,220,861 and shares outstanding of 50,483,581 | — | 20.51 | — | ||
1Investments at cost | $147,109,594 | $1,572,995,955 | $23,849,387 | ||
2 Market value of securities on loan | $654,991 | $44,635,097 | $221,308 | ||
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 | $19,909,038 | $778,010,743 | $5,270,460 | ||
Repurchase agreements at value1 | 313,459 | 7,095,359 | 1,321,039 | ||
Receivable from Advisor | 3,969 | — | 28,290 | ||
Receivable for fund shares sold | 6,500 | 104,039 | 13,500 | ||
Dividends receivable | 17,033 | — | — | ||
Cash collateral on deposit at broker (Note 1) | — | 16,782,521 | 2,081,635 | ||
Foreign tax reclaims receivable | — | — | 36,128 | ||
Prepaid expenses | 392 | 10,413 | 21 | ||
Total assets | 20,250,391 | 802,003,075 | 8,751,073 | ||
Liabilities: | |||||
Payable for fund shares redeemed | 105,020 | 876,738 | — | ||
Options written, at value2 | — | 313,678,853 | 1,580,733 | ||
Payable for Management fees | 8,617 | 215,605 | 2,878 | ||
Payable for Directors’ fees | 279 | 9,969 | 3 | ||
Payable for Shareholder Servicing fees | 3,133 | 23,024 | 1,046 | ||
Accrued expenses | 6,203 | 100,339 | 10,130 | ||
Total liabilities | 123,252 | 314,904,528 | 1,594,790 | ||
Net Assets | $20,127,139 | $487,098,547 | $7,156,283 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $1,802 | $44,622 | $1,676 | ||
Paid-in capital in excess of par value | 19,314,364 | 552,265,764 | 14,402,117 | ||
Total distributable earnings | 810,973 | (65,211,839) | (7,247,510) | ||
Total Net Assets | $20,127,139 | $487,098,547 | $7,156,283 | ||
Shares Outstanding3 | 1,802,279 | 44,621,574 | 1,676,093 | ||
Net Asset Value Per Share | $11.17 | $— | $4.27 | ||
Advisor Class — based on net assets of $133,601,200 and shares outstanding of 12,304,682 | — | 10.86 | — | ||
Institutional Class — based on net assets of $353,497,347 and shares outstanding of 32,316,892 | — | 10.94 | — | ||
1Investments at cost | $19,512,422 | $655,803,824 | $5,855,301 | ||
2 Premiums received from options written | $— | $203,525,660 | $912,277 | ||
3 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 | $1,029,952 | $470,058,916 | $47,134,889 | ||
Repurchase agreements at value1 | — | 10,142,529 | 1,582,331 | ||
Cash | 9,814 | — | — | ||
Receivable from Advisor | 3,105 | — | 4,698 | ||
Receivable for securities sold | — | — | 2,090,369 | ||
Receivable for fund shares sold | — | 87,544 | 8,000 | ||
Dividends receivable | 1,210 | — | 415 | ||
Interest receivable | — | 2,728,032 | 574,600 | ||
Securities lending income receivable | 2 | 754 | 63 | ||
Cash collateral on deposit at broker (Note 1) | 2,039,719 | — | — | ||
Prepaid expenses | 93 | 7,805 | 823 | ||
Total assets | 3,083,895 | 483,025,580 | 51,396,188 | ||
Liabilities: | |||||
Payable for securities purchased | — | — | 449,193 | ||
Obligation to return securities lending collateral | — | 12,756,024 | 206,500 | ||
Payable for when-issued securities purchased | — | — | 2,278,550 | ||
Payable for fund shares redeemed | — | 936,580 | 119,890 | ||
Options written, at value3 | 22,420 | — | — | ||
Dividend payable on securities sold short | 641 | — | — | ||
Payable for securities sold short, at value4 | 913,973 | — | — | ||
Payable for Management fees | 937 | 135,104 | 14,613 | ||
Payable for Directors’ fees | 67 | 7,017 | 471 | ||
Payable for Shareholder Servicing fees | 341 | 38,601 | 4,175 | ||
Accrued expenses | 7,862 | 69,902 | 13,025 | ||
Total liabilities | 946,241 | 13,943,228 | 3,086,417 | ||
Net Assets | $2,137,654 | $469,082,352 | $48,309,771 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $215 | $39,751 | $4,824 | ||
Paid-in capital in excess of par value | 2,733,110 | 431,627,674 | 48,406,887 | ||
Total distributable earnings | (595,671) | 37,414,927 | (101,940) | ||
Total Net Assets | $2,137,654 | $469,082,352 | $48,309,771 | ||
Shares Outstanding5 | 214,545 | 39,751,433 | 4,824,415 | ||
Net Asset Value Per Share | $9.96 | $11.80 | $10.01 | ||
1Investments at cost | $1,124,432 | $443,308,726 | $48,706,181 | ||
2 Market value of securities on loan | $14,707 | $12,514,421 | $202,285 | ||
3 Premiums received from options written | $79,175 | $— | $— | ||
4 Proceeds from securities sold short | $1,096,753 | $— | $— | ||
5 Authorized shares | 80,000,000 | 160,000,000 | 80,000,000 |
10 |
High Yield Municipal Portfolio | |
Assets: | |
Investments at value1 | $195,593,479 |
Cash | 2,309,478 |
Receivable from Advisor | 4,911 |
Receivable for securities sold | 1,213,739 |
Receivable for fund shares sold | 187,623 |
Interest receivable | 2,797,955 |
Prepaid expenses | 3,343 |
Total assets | 202,110,528 |
Liabilities: | |
Payable for when-issued securities purchased | 294,525 |
Payable for fund shares redeemed | 28,311 |
Payable for Management fees | 108,081 |
Payable for Directors’ fees | 2,848 |
Payable for Shareholder Servicing fees | 41,570 |
Accrued expenses | 35,008 |
Total liabilities | 510,343 |
Net Assets | $201,600,185 |
Net Assets consist of: | |
Par value ($0.001 of shares outstanding) | $20,309 |
Paid-in capital in excess of par value | 208,853,529 |
Total distributable earnings | (7,273,653) |
Total Net Assets | $201,600,185 |
Shares Outstanding2 | 20,308,997 |
Net Asset Value Per Share | $9.93 |
1Investments at cost | $203,316,656 |
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 | $18,959,501 | $21,776,343 | $27,328 | ||
Interest | 1,846 | 7,811 | — | ||
Income from security lending | 191,196 | 355,251 | 6 | ||
Total investment income | 19,152,543 | 22,139,405 | 27,334 | ||
Expenses: | |||||
Management fees | 5,622,087 | 8,978,012 | 5,429 | ||
Administration, transfer agent and custody fees | 851,857 | 1,312,262 | 14,768 | ||
Professional fees | 121,428 | 182,436 | 115 | ||
Shareholder report expenses | 119,430 | 267,149 | 691 | ||
Shareholder servicing fees | — | — | 1,974 | ||
Shareholder servicing fees (Advisor Class) | 1,492,121 | 2,086,395 | — | ||
Directors’ fees and expenses | 74,728 | 107,384 | 64 | ||
Registration and filing fees | 38,152 | 39,743 | 1,952 | ||
Other expenses | 60,210 | 85,865 | 1,184 | ||
Total expenses | 8,380,013 | 13,059,246 | 26,177 | ||
Less expenses waived/reimbursed | — | — | (17,787) | ||
Net expenses | 8,380,013 | 13,059,246 | 8,390 | ||
Net investment income | 10,772,530 | 9,080,159 | 18,944 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | 102,900,052 | 174,204,539 | (35,645) | ||
Net change in unrealized loss of: | |||||
Investments | (391,036,000) | (311,393,758) | (351,131) | ||
Net realized and unrealized loss | (288,135,948) | (137,189,219) | (386,776) | ||
Net decrease in net assets resulting from operations | $(277,363,418) | $(128,109,060) | $(367,832) |
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 $29,565 and $17, respectively. |
12 |
Quantitative U.S. Small Cap Equity Portfolio | Quantitative International Equity Portfolio | Responsible ESG U.S. Equity Portfolio | |||
Investment income: | |||||
Dividends1 | $5,838 | $1,927,871 | $211,072 | ||
Interest | — | 85 | 39 | ||
Income from security lending | 629 | 82,136 | 406 | ||
Total investment income | 6,467 | 2,010,092 | 211,517 | ||
Expenses: | |||||
Management fees | 2,754 | 613,192 | 63,771 | ||
Administration, transfer agent and custody fees | 16,000 | 74,125 | 19,543 | ||
Professional fees | 55 | 10,649 | 1,285 | ||
Shareholder report expenses | 673 | 4,481 | 1,188 | ||
Shareholder servicing fees | 1,002 | 204,397 | 23,190 | ||
Directors’ fees and expenses | 35 | 6,739 | 745 | ||
Registration and filing fees | 1,952 | 17,648 | 17,303 | ||
Other expenses | 1,166 | 4,564 | 1,720 | ||
Total expenses | 23,637 | 935,795 | 128,745 | ||
Less expenses waived/reimbursed | (19,381) | (118,206) | (30,189) | ||
Net expenses | 4,256 | 817,589 | 98,556 | ||
Net investment income | 2,211 | 1,192,503 | 112,961 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | (27,983) | (8,215,547) | 391,819 | ||
Foreign currency transactions | — | (56) | — | ||
Net realized gain (loss) | (27,983) | (8,215,603) | 391,819 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (173,255) | (23,072,058) | (2,679,797) | ||
Foreign currency translation | — | 260 | — | ||
Net change in unrealized loss | (173,255) | (23,071,798) | (2,679,797) | ||
Net realized and unrealized loss | (201,238) | (31,287,401) | (2,287,978) | ||
Net decrease in net assets resulting from operations | $(199,027) | $(30,094,898) | $(2,175,017) |
1 | The Quantitative U.S. Small Cap Equity Portfolio and the Quantitative International Equity Portfolio had foreign dividend withholding taxes of $4 and $150,010, 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 | $211,338 | $1,812,844 | $653,510 | ||
Interest | 51 | 511,160 | 18 | ||
Income from security lending | 66 | 2,273 | 327 | ||
Total investment income | 211,455 | 2,326,277 | 653,855 | ||
Expenses: | |||||
Management fees | 58,028 | 1,279,144 | 328,650 | ||
Administration, transfer agent and custody fees | 20,327 | 135,671 | 68,104 | ||
Professional fees | 1,162 | 12,624 | 3,242 | ||
Shareholder report expenses | 1,141 | 10,081 | 4,120 | ||
Shareholder servicing fees | 21,101 | — | 54,775 | ||
Shareholder servicing fees (Advisor Class) | — | 213,179 | — | ||
Dividends on securities sold short | — | 1,569,720 | 156,488 | ||
Directors’ fees and expenses | 669 | 7,825 | 2,108 | ||
Short position flex fees | — | — | 67,090 | ||
Registration and filing fees | 17,303 | 23,286 | 13,204 | ||
Other expenses | 1,667 | 8,193 | 2,324 | ||
Total expenses | 121,398 | 3,259,723 | 700,105 | ||
Less expenses waived/reimbursed | (31,718) | (373,084) | (134,184) | ||
Net expenses | 89,680 | 2,886,639 | 565,921 | ||
Net investment income (loss) | 121,775 | (560,362) | 87,934 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | (32,179) | 581,711 | 5,176,100 | ||
Securities sold short | — | (5,914,773) | 447,470 | ||
Net realized gain (loss) | (32,179) | (5,333,062) | 5,623,570 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (2,725,903) | (38,201,855) | (18,104,504) | ||
Securities sold short | — | 19,340,998 | 1,137,567 | ||
Net change in unrealized loss | (2,725,903) | (18,860,857) | (16,966,937) | ||
Net realized and unrealized loss | (2,758,082) | (24,193,919) | (11,343,367) | ||
Net decrease in net assets resulting from operations | $(2,636,307) | $(24,754,281) | $(11,255,433) |
14 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Large Cap Value Portfolio | |||
Investment income: | |||||
Dividends1 | $2,209,662 | $8,364,624 | $496,942 | ||
Interest | 2,397 | 6,109 | 34 | ||
Income from security lending | 8,254 | 63,437 | 631 | ||
Total investment income | 2,220,313 | 8,434,170 | 497,607 | ||
Expenses: | |||||
Management fees | 717,930 | 5,062,742 | 96,065 | ||
Administration, transfer agent and custody fees | 78,623 | 689,566 | 39,479 | ||
Professional fees | 14,292 | 111,162 | 2,082 | ||
Shareholder report expenses | 5,876 | 322,044 | 2,027 | ||
Shareholder servicing fees | 261,065 | — | 34,933 | ||
Shareholder servicing fees (Advisor Class) | — | 812,497 | — | ||
Shareholder servicing fees (Institutional Class) | — | 297,750 | — | ||
Directors’ fees and expenses | 8,267 | 67,628 | 1,333 | ||
Registration and filing fees | 6,200 | 34,868 | 10,427 | ||
Other expenses | 5,561 | 54,736 | 1,900 | ||
Total expenses | 1,097,814 | 7,452,993 | 188,246 | ||
Net expenses | 1,097,814 | 7,452,993 | 188,246 | ||
Net investment income | 1,122,499 | 981,177 | 309,361 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | 2,731,645 | (136,258,202) | (1,776,323) | ||
Net change in unrealized loss of: | |||||
Investments | (31,812,898) | (174,561,207) | (4,555,080) | ||
Net realized and unrealized loss | (29,081,253) | (310,819,409) | (6,331,403) | ||
Net decrease in net assets resulting from operations | $(27,958,754) | $(309,838,232) | $(6,022,042) |
1 | The Large Cap Value Portfolio had foreign dividend withholding taxes of $3,615. |
15 |
Equity Income Portfolio | Secured Options Portfolio | Global Secured Options Portfolio | |||
Investment income: | |||||
Dividends | $329,838 | $143,956 | $— | ||
Interest | 117 | 1,027,518 | 8,065 | ||
Income from security lending | 130 | — | — | ||
Total investment income | 330,085 | 1,171,474 | 8,065 | ||
Expenses: | |||||
Management fees | 63,052 | 1,686,950 | 10,213 | ||
Administration, transfer agent and custody fees | 20,096 | 231,537 | 19,449 | ||
Professional fees | 1,314 | 34,938 | 5,484 | ||
Shareholder report expenses | 1,100 | 30,488 | 375 | ||
Shareholder servicing fees | 22,928 | — | 3,714 | ||
Shareholder servicing fees (Advisor Class) | — | 227,693 | — | ||
Directors’ fees and expenses | 752 | 20,980 | 38 | ||
Registration and filing fees | 2,725 | 36,701 | 22,077 | ||
Other expenses | 1,711 | 19,507 | 1,175 | ||
Total expenses | 113,678 | 2,288,794 | 62,525 | ||
Less expenses waived/reimbursed | (16,235) | — | (43,956) | ||
Net expenses | 97,443 | 2,288,794 | 18,569 | ||
Net investment income (loss) | 232,642 | (1,117,320) | (10,504) | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | 563,053 | 3,126 | (407,142) | ||
Written options | — | 194,607,662 | 2,765,146 | ||
Purchased options | — | (269,226,290) | (2,924,764) | ||
Net realized gain (loss) | 563,053 | (74,615,502) | (566,760) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (2,725,460) | (631,894) | (4,864) | ||
Written options | — | (98,026,757) | (681,508) | ||
Purchased options | — | 100,542,285 | 740,854 | ||
Net change in unrealized gain (loss) | (2,725,460) | 1,883,634 | 54,482 | ||
Net realized and unrealized loss | (2,162,407) | (72,731,868) | (512,278) | ||
Net decrease in net assets resulting from operations | $(1,929,765) | $(73,849,188) | $(522,782) |
16 |
Alternative Risk Premia Portfolio | Core Fixed Income Portfolio | Short Term Tax Aware Fixed Income Portfolio | |||
Investment income: | |||||
Dividends1 | $28,488 | $— | $20,774 | ||
Interest | 8,917 | 6,319,888 | 453,093 | ||
Income from security lending | 181 | 2,907 | 2,652 | ||
Total investment income | 37,586 | 6,322,795 | 476,519 | ||
Expenses: | |||||
Management fees | 13,099 | 864,362 | 98,834 | ||
Administration, transfer agent and custody fees | 20,794 | 141,257 | 34,056 | ||
Professional fees | 295 | 26,632 | 2,884 | ||
Shareholder report expenses | 867 | 9,869 | 1,473 | ||
Shareholder servicing fees | 4,763 | 246,961 | 28,238 | ||
Dividends on securities sold short | 27,654 | — | — | ||
Directors’ fees and expenses | 169 | 15,630 | 1,463 | ||
Offering expenses | 12,005 | — | — | ||
Registration and filing fees | 1,069 | 5,497 | 2,961 | ||
Other expenses | 588 | 10,097 | 2,295 | ||
Total expenses | 81,303 | 1,320,305 | 172,204 | ||
Less expenses waived/reimbursed | (29,832) | — | (16,894) | ||
Net expenses | 51,471 | 1,320,305 | 155,310 | ||
Net investment income (loss) | (13,885) | 5,002,490 | 321,209 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | (239,133) | 4,088,911 | (38,300) | ||
Written options | 1,173,007 | — | — | ||
Securities sold short | (249,727) | — | — | ||
Purchased options | (1,362,614) | — | — | ||
Net realized gain (loss) | (678,467) | 4,088,911 | (38,300) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (287,787) | 16,853,565 | (293,936) | ||
Written options | 105,828 | — | — | ||
Securities sold short | 255,751 | — | — | ||
Purchased options | (100,174) | — | — | ||
Net change in unrealized gain (loss) | (26,382) | 16,853,565 | (293,936) | ||
Net realized and unrealized gain (loss) | (704,849) | 20,942,476 | (332,236) | ||
Net increase (decrease) in net assets resulting from operations | $(718,734) | $25,944,966 | $(11,027) |
1 | The Alternative Risk Premia Portfolio had foreign dividend withholding taxes of $24. |
17 |
High Yield Municipal Portfolio | |
Investment income: | |
Interest | $4,210,790 |
Total investment income | 4,210,790 |
Expenses: | |
Management fees | 697,152 |
Administration, transfer agent and custody fees | 85,012 |
Professional fees | 11,571 |
Shareholder report expenses | 5,191 |
Shareholder servicing fees | 268,135 |
Directors’ fees and expenses | 6,635 |
Registration and filing fees | 2,961 |
Other expenses | 6,451 |
Total expenses | 1,083,108 |
Less expenses waived/reimbursed | (10,566) |
Net expenses | 1,072,542 |
Net investment income | 3,138,248 |
Realized and unrealized gain (loss): | |
Net realized gain on: | |
Investment transactions | 7,011 |
Net change in unrealized loss of: | |
Investments | (18,697,511) |
Net realized and unrealized loss | (18,690,500) |
Net decrease in net assets resulting from operations | $(15,552,252) |
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 | $10,772,530 | $9,080,159 | $18,944 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 102,900,052 | 174,204,539 | (35,645) | ||
Net change in unrealized loss of: | |||||
Investments | (391,036,000) | (311,393,758) | (351,131) | ||
Net increase (decrease) in net assets resulting from operations | (277,363,418) | (128,109,060) | (367,832) | ||
Distributions from earnings | — | — | (19,493) | ||
Distributions from earnings: Advisor Class | (78,161,199) | (282,493,125) | — | ||
Distributions from earnings: Institutional Class | (31,422,960) | (162,479,536) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (648,325,972) | (194,342,865) | 45,178 | ||
Net increase (decrease) in net assets | (1,035,273,549) | (767,424,586) | (342,147) | ||
NET ASSETS: | |||||
Beginning of period | 2,348,512,515 | 3,488,721,893 | 2,039,671 | ||
End of period | $1,313,238,966 | $2,721,297,307 | $1,697,524 |
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 | $35,733,320 | $18,953,204 | $35,957 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 97,511,180 | 437,561,861 | (50,164) | ||
Net change in unrealized gain of: | |||||
Investments | 18,552,328 | 87,830,855 | 157,634 | ||
Net increase in net assets resulting from operations | 151,796,828 | 544,345,920 | 143,427 | ||
Distributions from earnings | — | — | (37,522) | ||
Distributions from earnings: Advisor Class | (182,021,130) | (341,173,938) | — | ||
Distributions from earnings: Institutional Class | (67,752,894) | (115,973,534) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (395,891,886) | (5,364,443) | 841,992 | ||
Net increase (decrease) in net assets | (493,869,082) | 81,834,005 | 947,897 | ||
NET ASSETS: | |||||
Beginning of year | 2,842,381,597 | 3,406,887,888 | 1,091,774 | ||
End of year | $2,348,512,515 | $3,488,721,893 | $2,039,671 |
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 | $2,211 | $1,192,503 | $112,961 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (27,983) | (8,215,547) | 391,819 | ||
Foreign currency transactions | — | (56) | — | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (173,255) | (23,072,058) | (2,679,797) | ||
Foreign currency translations | — | 260 | — | ||
Net increase (decrease) in net assets resulting from operations | (199,027) | (30,094,898) | (2,175,017) | ||
Distributions from earnings | (4,330) | (1,459,614) | (198,149) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 4,286 | (74,185,109) | 637,679 | ||
Net increase (decrease) in net assets | (199,071) | (105,739,621) | (1,735,487) | ||
NET ASSETS: | |||||
Beginning of period | 1,060,855 | 205,629,468 | 23,231,218 | ||
End of period | $861,784 | $99,889,847 | $21,495,731 |
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 | $6,703 | $8,192,259 | $263,559 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (40,194) | (3,094,467) | (9,932) | ||
Foreign currency transactions | — | 262 | — | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 72,618 | 12,389,808 | 1,281,319 | ||
Foreign currency translations | — | (13) | — | ||
Net increase in net assets resulting from operations | 39,127 | 17,487,849 | 1,534,946 | ||
Distributions from earnings | (10,564) | (8,209,500) | (1,046,782) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (41,262) | (190,837,260) | 996,726 | ||
Net increase (decrease) in net assets | (12,699) | (181,558,911) | 1,484,890 | ||
NET ASSETS: | |||||
Beginning of year | 1,073,554 | 387,188,379 | 21,746,328 | ||
End of year | $1,060,855 | $205,629,468 | $23,231,218 |
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 (loss) | $121,775 | $(560,362) | $87,934 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (32,179) | 581,711 | 5,176,100 | ||
Securities sold short | — | (5,914,773) | 447,470 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (2,725,903) | (38,201,855) | (18,104,504) | ||
Securities sold short | — | 19,340,998 | 1,137,567 | ||
Net increase (decrease) in net assets resulting from operations | (2,636,307) | (24,754,281) | (11,255,433) | ||
Distributions from earnings | (100,275) | — | (3,499,442) | ||
Distributions from earnings: Advisor Class | — | (182,275) | — | ||
Distributions from earnings: Institutional Class | — | (20) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 1,879,632 | (77,815,931) | (17,810,295) | ||
Net increase (decrease) in net assets | (856,950) | (102,752,507) | (32,565,170) | ||
NET ASSETS: | |||||
Beginning of period | 21,046,789 | 247,224,753 | 67,923,367 | ||
End of period | $20,189,839 | $144,472,246 | $35,358,197 |
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 | $225,916 | $2,595,803 | $466,755 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (41,509) | 20,522,413 | 4,551,491 | ||
Securities sold short | — | (12,916,841) | (1,352,071) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 1,811,502 | (2,318,539) | 1,043,855 | ||
Securities sold short | — | (21,355,520) | (2,140,171) | ||
Net increase (decrease) in net assets resulting from operations | 1,995,909 | (13,472,684) | 2,569,859 | ||
Distributions from earnings | (835,431) | — | (7,086,821) | ||
Distributions from earnings: Advisor Class | — | (2,429,241) | — | ||
Distributions from earnings: Institutional Class | — | (230) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 912,734 | (70,678,828) | (18,169,783) | ||
Net increase (decrease) in net assets | 2,073,212 | (86,580,983) | (22,686,745) | ||
NET ASSETS: | |||||
Beginning of year | 18,973,577 | 333,805,736 | 90,610,112 | ||
End of year | $21,046,789 | $247,224,753 | $67,923,367 |
21 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Large Cap Value Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $1,122,499 | $981,177 | $309,361 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 2,731,645 | (136,258,202) | (1,776,323) | ||
Net change in unrealized loss of: | |||||
Investments | (31,812,898) | (174,561,207) | (4,555,080) | ||
Net increase (decrease) in net assets resulting from operations | (27,958,754) | (309,838,232) | (6,022,042) | ||
Distributions from earnings | (6,286,968) | — | (3,678,399) | ||
Distributions from earnings: Advisor Class | — | (1,018,940) | — | ||
Distributions from earnings: Institutional Class | — | (3,167,965) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (6,863,772) | (261,634,849) | (5,833,721) | ||
Net increase (decrease) in net assets | (41,109,494) | (575,659,986) | (15,534,162) | ||
NET ASSETS: | |||||
Beginning of period | 269,033,498 | 2,041,505,823 | 39,868,541 | ||
End of period | $227,924,004 | $1,465,845,837 | $24,334,379 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Large Cap Value Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $2,171,853 | $8,842,365 | $1,109,014 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 5,229,853 | (115,736,254) | 3,163,193 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 26,189,127 | 6,349,518 | (884,425) | ||
Net increase (decrease) in net assets resulting from operations | 33,590,833 | (100,544,371) | 3,387,782 | ||
Distributions from earnings | (4,878,681) | — | (7,282,651) | ||
Distributions from earnings: Advisor Class | — | (177,960,747) | — | ||
Distributions from earnings: Institutional Class | — | (279,719,309) | — | ||
Return of capital distribution: Advisor Class | — | (273,516) | — | ||
Return of capital distribution: Institutional Class | — | (659,682) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 14,289,284 | (920,934,117) | (27,833,101) | ||
Net increase (decrease) in net assets | 43,001,436 | (1,480,091,742) | (31,727,970) | ||
NET ASSETS: | |||||
Beginning of year | 226,032,062 | 3,521,597,565 | 71,596,511 | ||
End of year | $269,033,498 | $2,041,505,823 | $39,868,541 |
22 |
Equity Income Portfolio | Secured Options Portfolio | Global Secured Options Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income (loss) | $232,642 | $(1,117,320) | $(10,504) | ||
Net realized gain (loss) on: | |||||
Investment transactions | 563,053 | 3,126 | (407,142) | ||
Options written | — | 194,607,662 | 2,765,146 | ||
Purchased options | — | (269,226,290) | (2,924,764) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (2,725,460) | (631,894) | (4,864) | ||
Options written | — | (98,026,757) | (681,508) | ||
Purchased options | — | 100,542,285 | 740,854 | ||
Net increase (decrease) in net assets resulting from operations | (1,929,765) | (73,849,188) | (522,782) | ||
Distributions from earnings | (240,475) | — | (1,977) | ||
Distributions from earnings: Advisor Class | — | (18,937,856) | — | ||
Distributions from earnings: Institutional Class | — | (29,130,823) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (1,602,923) | (69,290,309) | 6,461,488 | ||
Net increase (decrease) in net assets | (3,773,163) | (191,208,176) | 5,936,729 | ||
NET ASSETS: | |||||
Beginning of period | 23,900,302 | 678,306,723 | 1,219,554 | ||
End of period | $20,127,139 | $487,098,547 | $7,156,283 |
Equity Income Portfolio | Secured Options Portfolio | Global Secured Options Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income (loss) | $478,045 | $(1,603,381) | $4,020 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (394,873) | 3,207 | (70,761) | ||
Options written | — | 105,691,184 | 425,857 | ||
Purchased options | — | (79,484,333) | (406,525) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 2,999,086 | 1,642,104 | 82,708 | ||
Options Written | — | (137,389,277) | (136,449) | ||
Purchased options | — | 160,899,669 | 206,455 | ||
Net increase in net assets resulting from operations | 3,082,258 | 49,759,173 | 105,305 | ||
Distributions from earnings | (896,308) | — | (1,499,811)1 | ||
Distributions from earnings: Advisor Class | — | (9,563,689) | — | ||
Distributions from earnings: Institutional Class | — | (9,335,872) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 3,178,736 | (195,021,914) | 104,141 | ||
Net increase (decrease) in net assets | 5,364,686 | (164,162,302) | (1,290,365) | ||
NET ASSETS: | |||||
Beginning of year | 18,535,616 | 842,469,025 | 2,509,919 | ||
End of year | $23,900,302 | $678,306,723 | $1,219,554 |
1 | In recognition of the 2017 capital loss carryforward limitation (pursuant to Internal Revenue Code Section 382) identified in 2018, the Global Secured Options Portfolio issued a deficiency long-term capital gain distribution in the amount of $472,081 on March 6, 2019. |
23 |
Alternative Risk Premia Portfolio | Core Fixed Income Portfolio | Short Term Tax Aware Fixed Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income (loss) | $(13,885) | $5,002,490 | $321,209 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (239,133) | 4,088,911 | (38,300) | ||
Options written | 1,173,007 | — | — | ||
Securities sold short | (249,727) | — | — | ||
Purchased options | (1,362,614) | — | — | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (287,787) | 16,853,565 | (293,936) | ||
Options written | 105,828 | — | — | ||
Securities sold short | 255,751 | — | — | ||
Purchased options | (100,174) | — | — | ||
Net increase (decrease) in net assets resulting from operations | (718,734) | 25,944,966 | (11,027) | ||
Distributions from earnings | (2,415) | (5,712,823) | (324,532) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (2,784,184) | (56,752,679) | (2,293,583) | ||
Net increase (decrease) in net assets | (3,505,333) | (36,520,536) | (2,629,142) | ||
NET ASSETS: | |||||
Beginning of period | 5,642,987 | 505,602,888 | 50,938,913 | ||
End of period | $2,137,654 | $469,082,352 | $48,309,771 |
Alternative Risk Premia Portfolio1 | Core Fixed Income Portfolio | Short Term Tax Aware Fixed Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income (loss) | $(943) | $11,586,965 | $493,242 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (69,989) | (1,158,248) | 8,214 | ||
Options written | (55,470) | — | — | ||
Purchased options | 299,015 | — | — | ||
Securities sold short | (220,892) | — | — | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 193,307 | 39,698,066 | 563,271 | ||
Options Written | (49,073) | — | — | ||
Purchased options | 100,174 | — | — | ||
Securities sold short | (72,971) | — | — | ||
Net increase in net assets resulting from operations | 123,158 | 50,126,783 | 1,064,727 | ||
Distributions from earnings | — | (12,219,477) | (463,437) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 5,519,829 | (17,505,487) | 24,043,732 | ||
Net increase in net assets | 5,642,987 | 20,401,819 | 24,645,022 | ||
NET ASSETS: | |||||
Beginning of year | — | 485,201,069 | 26,293,891 | ||
End of year | $5,642,987 | $505,602,888 | $50,938,913 |
1 | Portfolio commenced operations on December 20, 2018. |
24 |
High Yield Municipal Portfolio | |
Increase (decrease) in net assets | |
Operations: | |
Net investment income | $3,138,248 |
Net realized gain on: | |
Investment transactions | 7,011 |
Net change in unrealized loss of: | |
Investments | (18,697,511) |
Net increase (decrease) in net assets resulting from operations | (15,552,252) |
Distributions from earnings | (3,013,990) |
Net increase in net assets from capital share transactions (See note 5) | 4,747,734 |
Net increase (decrease) in net assets | (13,818,508) |
NET ASSETS: | |
Beginning of period | 215,418,693 |
End of period | $201,600,185 |
High Yield Municipal Portfolio | |
Increase (decrease) in net assets | |
Operations: | |
Net investment income | $6,064,470 |
Net realized gain on: | |
Investment transactions | 556,733 |
Net change in unrealized gain of: | |
Investments | 12,630,987 |
Net increase in net assets resulting from operations | 19,252,190 |
Distributions from earnings | (6,056,196) |
Net increase in net assets from capital share transactions (See note 5) | 9,903,571 |
Net increase in net assets | 23,099,565 |
NET ASSETS: | |
Beginning of year | 192,319,128 |
End of year | $215,418,693 |
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 | $(24,754,281) |
Investments purchased | (96,784,320) |
Investments sold | 158,691,034 |
Purchases to cover securities sold short | (149,054,304) |
Securities sold short | 91,796,234 |
(Purchase)/Sale of short term investments, net | 1,386,900 |
Decrease in Interest receivable | 181,751 |
Decrease in Cash collateral on deposit at broker | 70,014,800 |
Increase in Securities lending receivable | (13) |
Decrease in Dividends receivable | 89,457 |
Increase in Prepaid expenses | (3,053) |
Decrease in Obligation to return securities lending collateral | (1,386,900) |
Decrease in Dividends payable for securities sold short | (62,534) |
Decrease in Payable for Management fees | (76,034) |
Increase in Payable for Directors’ fees | 432 |
Decrease in Payable for Shareholder Servicing fees | (17,882) |
Increase in Accrued expenses | 50,916 |
Net realized gain from investments | (581,711) |
Net realized loss from securities sold short | 5,914,773 |
Net change in unrealized gain (loss) on investments | 38,201,855 |
Net change in unrealized gain (loss) on securities sold short | (19,340,998) |
Net cash provided by (used in) operating activities | 74,266,122 |
Cash flows from financing activities | |
Proceeds from shares sold | 7,719,739 |
Payments on shares redeemed | (85,327,344) |
Cash distributions paid | (162,177) |
Net cash provided by (used in) financing activities | (77,769,782) |
Net increase (decrease) in cash | (3,503,660) |
Cash at beginning of period | (1,176,369) |
Cash at end of period | $(4,680,029) |
Supplemental disclosure of cash flow information |
Non-cash financing activities not included herein consist of a reinvestment of dividends of $20,118. |
The Portfolio did not pay any prime broker fees during the six months ended April 30, 2020. |
26 |
Quantitative U.S. Total Market 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 | $(11,255,433) |
Investments purchased | (21,020,195) |
Investments sold | 49,001,654 |
Purchases to cover securities sold short | (16,734,709) |
Securities sold short | 9,839,669 |
Increase in Receivable from Investment Advisor | (978) |
Decrease in Cash collateral on deposit at broker | 180,396 |
Decrease in Securities lending receivable | 105 |
Decrease in Dividends receivable | 33,503 |
Increase in Prepaid expenses | (807) |
Decrease in Obligation to return securities lending collateral | (180,396) |
Decrease in Dividends payable for securities sold short | (12,172) |
Decrease in Payable for Management fees | (23,887) |
Increase in Payable for Directors’ fees | 107 |
Decrease in Payable for Shareholder Servicing fees | (5,621) |
Increase in Accrued expenses | 3,784 |
Net realized gain from investments | (5,176,100) |
Net realized loss from securities sold short | (447,470) |
Net change in unrealized gain (loss) on investments | 18,104,504 |
Net change in unrealized gain (loss) on securities sold short | (1,137,567) |
Net cash provided by (used in) operating activities | 21,168,387 |
Cash flows from financing activities | |
Proceeds from shares sold | 981,532 |
Payments on shares redeemed | (21,846,025) |
Cash distributions paid | (287,227) |
Net cash provided by (used in) financing activities | (21,151,720) |
Net increase (decrease) in cash | 16,667 |
Cash at beginning of period | (22,775) |
Cash at end of period | $(6,108) |
Supplemental disclosure of cash flow information |
Cash paid for interest was $67,090. |
Non-cash financing activities not included herein consist of a reinvestment of dividends of $3,212,215. |
The Portfolio did not pay any prime broker fees during the six months ended April 30, 2020. |
27 |
Alternative Risk Premia 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 | $(718,734) |
Investments purchased | (2,070,532) |
Investments sold | 4,040,659 |
Cost of purchased options | (5,486,800) |
Proceeds from sales of purchased options | 9,100,700 |
Premiums on written options | 3,189,664 |
Written options expired/exercised/boughtback | (4,453,594) |
Purchases to cover securities sold short | (2,089,405) |
Securities sold short | 1,105,171 |
(Purchase)/Sale of short term investments, net | 10,247 |
Decrease in Interest receivable | 957 |
Decrease in Receivable from Investment Advisor | 7,599 |
Increase in Cash collateral on deposit at broker | (538,959) |
Decrease in Dividends receivable | 1,405 |
Decrease in Prepaid expenses | 11,920 |
Decrease in Obligation to return securities lending collateral | (10,247) |
Decrease in Dividends payable for securities sold short | (1,189) |
Decrease in Payable for Management fees | (1,680) |
Decrease in Payable for Shareholder Servicing fees | (610) |
Increase in Accrued expenses | 3,024 |
Amortization of premium/(discount) on investments | (8,989) |
Net realized loss from investments | 239,133 |
Net realized (gain) loss from written options | (1,173,007) |
Net realized loss from securities sold short | 249,727 |
Net realized (gain) loss from purchased options | 1,362,614 |
Net change in unrealized gain (loss) on investments | 287,787 |
Net change in unrealized (appreciation) depreciation of written options | (105,828) |
Net change in unrealized gain (loss) on securities sold short | (255,751) |
Net change in unrealized (appreciation) depreciation of purchased options | 100,174 |
Net cash provided by (used in) operating activities | 2,795,456 |
Cash flows from financing activities | |
Payments on shares redeemed | (2,785,084) |
Cash distributions paid | (1,515) |
Net cash provided by (used in) financing activities | (2,786,599) |
Net increase (decrease) in cash | 8,857 |
Cash at beginning of period | 957 |
Cash at end of period | $9,814 |
Supplemental disclosure of cash flow information |
Non-cash financing activities not included herein consist of a reinvestment of dividends of $900. |
The Portfolio did not pay any prime broker fees during the six months ended April 30, 2020. |
28 |
Quantitative U.S. Large Cap Core Equity Portfolio Advisor Shares | |||||||||||
For the Period Ended April 30, 20201,2 | For The Years Ended October 31, | ||||||||||
20192 | 20182 | 2017 | 20162 | 2015 | |||||||
Net asset value, beginning of period | $26.89 | $27.88 | $28.08 | $22.36 | $22.34 | $21.76 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.13 | 0.35 | 0.29 | 0.23 | 0.25 | 0.22 | |||||
Net realized and unrealized gain (loss) on investments | (3.04) | 1.18 | 0.95 | 5.72 | 0.25 | 1.23 | |||||
Total from investment operations | (2.91) | 1.53 | 1.24 | 5.95 | 0.50 | 1.45 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.15) | (0.35) | (0.28) | (0.23) | (0.25) | (0.22) | |||||
Net realized capital gains | (1.17) | (2.17) | (1.16) | — | (0.23) | (0.65) | |||||
Total distributions | (1.32) | (2.52) | (1.44) | (0.23) | (0.48) | (0.87) | |||||
Net asset value, end of period | $22.66 | $26.89 | $27.88 | $28.08 | $22.36 | $22.34 | |||||
Total return | (11.53)%3 | 6.42% | 4.42% | 26.74% | 2.34% | 6.83% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $1,136,571 | $1,674,687 | $2,075,264 | $2,124,803 | $1,691,802 | $1,643,278 | |||||
Ratio of operating expenses to average net assets | 0.87%4 | 0.86% | 0.85% | 0.86% | 0.88% | 0.87% | |||||
Ratio of net investment income to average net assets | 1.02%4 | 1.32% | 1.02% | 0.94% | 1.14% | 1.05% | |||||
Portfolio turnover rate5 | 33% | 80% | 71% | 62% | 111% | 122% |
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, 20202,3 | For The Years Ended October 31, | For the Period December 30, 20151 through October 31, 20163 | |||||||
20193 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $26.91 | $27.89 | $28.09 | $22.37 | $21.85 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.15 | 0.40 | 0.34 | 0.27 | 0.29 | ||||
Net realized and unrealized gain (loss) on investments | (3.05) | 1.20 | 0.95 | 5.73 | 0.45 | ||||
Total from investment operations | (2.90) | 1.60 | 1.29 | 6.00 | 0.74 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.18) | (0.41) | (0.33) | (0.28) | (0.22) | ||||
Net realized capital gains | (1.17) | (2.17) | (1.16) | — | — | ||||
Total distributions | (1.35) | (2.58) | (1.49) | (0.28) | (0.22) | ||||
Net asset value, end of period | $22.66 | $26.91 | $27.89 | $28.09 | $22.37 | ||||
Total return | (11.49)%4 | 6.68% | 4.61% | 26.96% | 3.41%4 | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of period (in 000s) | $176,668 | $673,825 | $767,117 | $549,352 | $274,982 | ||||
Ratio of operating expenses to average net assets | 0.67%5 | 0.66% | 0.65% | 0.66% | 0.68%5 | ||||
Ratio of net investment income to average net assets | 1.15%5 | 1.52% | 1.22% | 1.12% | 1.31%5 | ||||
Portfolio turnover rate6 | 33% | 80% | 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, 20201,2 | For The Years Ended October 31, | ||||||||||
20191 | 2018 | 2017 | 20161 | 2015 | |||||||
Net asset value, beginning of period | $33.08 | $32.52 | $31.54 | $24.76 | $24.70 | $23.05 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.07 | 0.16 | 0.16 | 0.16 | 0.16 | 0.13 | |||||
Net realized and unrealized gain (loss) on investments | (0.66) | 4.86 | 1.58 | 6.77 | 0.053 | 2.26 | |||||
Total from investment operations | (0.59) | 5.02 | 1.74 | 6.93 | 0.21 | 2.39 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.07) | (0.15) | (0.17) | (0.15) | (0.15) | (0.13) | |||||
Net realized capital gains | (4.23) | (4.31) | (0.59) | — | — | (0.61) | |||||
Total distributions | (4.30) | (4.46) | (0.76) | (0.15) | (0.15) | (0.74) | |||||
Net asset value, end of period | $28.19 | $33.08 | $32.52 | $31.54 | $24.76 | $24.70 | |||||
Total return | (2.77)%4 | 18.50% | 5.53% | 28.05% | 0.87% | 10.60% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $1,778,523 | $2,237,727 | $2,660,858 | $3,076,616 | $2,988,342 | $1,959,171 | |||||
Ratio of operating expenses to average net assets | 0.87%5 | 0.86% | 0.85% | 0.86% | 0.88% | 0.87% | |||||
Ratio of net investment income to average net assets | 0.48%5 | 0.53% | 0.44% | 0.56% | 0.66% | 0.59% | |||||
Portfolio turnover rate6 | 33% | 80% | 63% | 69% | 88% | 95% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Unaudited. |
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, 20202,3 | For The Years Ended October 31, | For the Period November 5, 20151 through October 31, 20163 | |||||||
20193 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $33.09 | $32.53 | $31.55 | $24.77 | $24.83 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.10 | 0.21 | 0.21 | 0.18 | 0.22 | ||||
Net realized and unrealized gain (loss) on investments | (0.66) | 4.88 | 1.59 | 6.80 | (0.08) | ||||
Total from investment operations | (0.56) | 5.09 | 1.80 | 6.98 | 0.14 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.11) | (0.22) | (0.23) | (0.20) | (0.20) | ||||
Net realized capital gains | (4.23) | (4.31) | (0.59) | — | — | ||||
Total distributions | (4.34) | (4.53) | (0.82) | (0.20) | (0.20) | ||||
Net asset value, end of period | $28.19 | $33.09 | $32.53 | $31.55 | $24.77 | ||||
Total return | (2.69)%4 | 18.74% | 5.74% | 28.28% | 0.60%4 | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of period (in 000s) | $942,774 | $1,250,995 | $746,030 | $860,416 | $35,114 | ||||
Ratio of operating expenses to average net assets | 0.67%5 | 0.66% | 0.65% | 0.66% | 0.68%5 | ||||
Ratio of net investment income to average net assets | 0.69%5 | 0.69% | 0.64% | 0.66% | 0.90%5 | ||||
Portfolio turnover rate6 | 33% | 80% | 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, 20202,3 | For The Year Ended October 31, 20193 | For the Period November 13, 20171 through October 31, 2018 | |||
Net asset value, beginning of period | $10.29 | $9.82 | $10.00 | ||
Income from investment operations: | |||||
Net investment income | 0.09 | 0.21 | 0.14 | ||
Net realized and unrealized gain (loss) on investments | (1.90) | 0.49 | (0.20) | ||
Total from investment operations | (1.81) | 0.70 | (0.06) | ||
Distributions to shareholders from: | |||||
Net investment income | (0.10) | (0.23) | (0.12) | ||
Total distributions | (0.10) | (0.23) | (0.12) | ||
Net asset value, end of period | $8.38 | $10.29 | $9.82 | ||
Total return | (17.63)%4,5 | 7.33%4 | (0.69)%4,5 | ||
Ratios to average net assets/ Supplemental data: | |||||
Net assets, at end of period (in 000s) | $1,698 | $2,040 | $1,092 | ||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.65%6 | 3.20% | 6.52%6 | ||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85%6 | 0.89% | 1.00%6 | ||
Ratio of net investment income to average net assets | 1.92%6 | 2.08% | 1.36%6 | ||
Portfolio turnover rate | 41% | 77% | 61%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 November 13, 2017 through October 31, 2018. |
33 |
Quantitative U.S. Small Cap Equity Portfolio | |||||
For the Period Ended April 30, 20202,3 | For The Year Ended October 31, 20193 | For the Period November 13, 20171 through October 31, 2018 | |||
Net asset value, beginning of period | $10.39 | $10.25 | $10.00 | ||
Income from investment operations: | |||||
Net investment income | 0.02 | 0.05 | 0.05 | ||
Net realized and unrealized gain (loss) on investments | (1.96) | 0.17 | 0.24 | ||
Total from investment operations | (1.94) | 0.22 | 0.29 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.04) | (0.08) | (0.04) | ||
Total distributions | (0.04) | (0.08) | (0.04) | ||
Net asset value, end of period | $8.41 | $10.39 | $10.25 | ||
Total return | (18.71)%4,5 | 2.19%4 | 2.85%4,5 | ||
Ratios to average net assets/ Supplemental data: | |||||
Net assets, at end of period (in 000s) | $862 | $1,061 | $1,074 | ||
Ratio of operating expenses before waiver/reimbursement to average net assets | 4.72%6 | 4.12% | 6.48%6 | ||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85%6 | 0.90% | 1.00%6 | ||
Ratio of net investment income to average net assets | 0.44%6 | 0.53% | 0.44%6 | ||
Portfolio turnover rate | 49% | 133% | 80%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 November 13, 2017 through October 31, 2018. |
34 |
Quantitative International Equity Portfolio | |||||||||||
For the Period Ended April 30, 20201,2 | For The Years Ended October 31, | ||||||||||
20192 | 2018 | 20172 | 20162 | 20152 | |||||||
Net asset value, beginning of period | $13.97 | $13.26 | $15.16 | $12.76 | $13.45 | $13.83 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.10 | 0.39 | 0.29 | 0.25 | 0.24 | 0.15 | |||||
Net realized and unrealized gain (loss) on investments | (2.46) | 0.73 | (1.90) | 2.41 | (0.71) | (0.40) | |||||
Total from investment operations | (2.36) | 1.12 | (1.61) | 2.66 | (0.47) | (0.25) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.12) | (0.41) | (0.29) | (0.26) | (0.22) | (0.13) | |||||
Total distributions | (0.12) | (0.41) | (0.29) | (0.26) | (0.22) | (0.13) | |||||
Net asset value, end of period | $11.49 | $13.97 | $13.26 | $15.16 | $12.76 | $13.45 | |||||
Total return3 | (17.03)%4 | 8.60% | (10.80)% | 20.96% | (3.44)% | (1.83)% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $99,890 | $205,629 | $387,188 | $461,686 | $441,284 | $243,403 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.14%5 | 1.10% | 1.07% | 1.06% | 1.12% | 1.24% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 1.00%5 | 1.00% | 1.00% | 1.00% | 1.04% | 1.24% | |||||
Ratio of net investment income to average net assets | 1.46%5 | 2.90% | 1.90% | 1.82% | 1.88% | 1.10% | |||||
Portfolio turnover rate | 31% | 93% | 78% | 75% | 121% | 148% |
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, 20202,3 | For The Years Ended October 31, | For the Period December 22, 20151 through October 31, 20163 | |||||||
20193 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $14.34 | $14.12 | $13.61 | $10.84 | $10.00 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.07 | 0.16 | 0.11 | 0.09 | 0.07 | ||||
Net realized and unrealized gain (loss) on investments | (1.41) | 0.74 | 0.57 | 2.77 | 0.82 | ||||
Total from investment operations | (1.34) | 0.90 | 0.68 | 2.86 | 0.89 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.06) | (0.17) | (0.11) | (0.09) | (0.05) | ||||
Net realized capital gains | (0.06) | (0.51) | (0.06) | — | — | ||||
Total distributions | (0.12) | (0.68) | (0.17) | (0.09) | (0.05) | ||||
Net asset value, end of period | $12.88 | $14.34 | $14.12 | $13.61 | $10.84 | ||||
Total return4 | (9.42)%5 | 6.78% | 5.01% | 26.42% | 8.87%5 | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of period (in 000s) | $21,496 | $23,231 | $21,746 | $13,589 | $6,561 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.11%6 | 1.07% | 1.09% | 1.23% | 2.21%6 | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85%6 | 0.90% | 1.00% | 1.00% | 1.00%6 | ||||
Ratio of net investment income to average net assets | 0.97%6 | 1.17% | 0.87% | 0.75% | 0.76%6 | ||||
Portfolio turnover rate | 47% | 102% | 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, 20202,3 | For The Years Ended October 31, | For the Period December 22, 20151 through October 31, 20162 | |||||||
20192 | 20182 | 2017 | |||||||
Net asset value, beginning of period | $13.98 | $13.34 | $13.10 | $10.65 | $10.00 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.08 | 0.15 | 0.12 | 0.11 | 0.14 | ||||
Net realized and unrealized gain (loss) on investments | (1.83) | 1.08 | 0.32 | 2.45 | 0.63 | ||||
Total from investment operations | (1.75) | 1.23 | 0.44 | 2.56 | 0.77 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.06) | (0.15) | (0.11) | (0.11) | (0.12) | ||||
Net realized capital gains | — | (0.44) | (0.09) | — | — | ||||
Total distributions | (0.06) | (0.59) | (0.20) | (0.11) | (0.12) | ||||
Net asset value, end of period | $12.17 | $13.98 | $13.34 | $13.10 | $10.65 | ||||
Total return4 | (12.49)%5 | 9.75% | 3.36% | 24.11% | 7.73%5 | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of period (in 000s) | $20,190 | $21,047 | $18,974 | $11,853 | $6,517 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.15%6 | 1.11% | 1.11% | 1.28% | 2.22%6 | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85%6 | 0.90% | 1.00% | 1.00% | 1.00%6 | ||||
Ratio of net investment income to average net assets | 1.15%6 | 1.14% | 0.88% | 0.88% | 1.31%6 | ||||
Portfolio turnover rate | 48% | 89% | 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, 20201,2 | For The Years Ended October 31, | ||||||||||
20191 | 20181 | 20171 | 20161 | 20151 | |||||||
Net asset value, beginning of period | $11.90 | $12.55 | $12.86 | $11.39 | $11.32 | $10.80 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | (0.03) | 0.11 | 0.03 | (0.05) | (0.03) | (0.07) | |||||
Net realized and unrealized gain (loss) on investments | (1.24) | (0.65) | (0.34) | 1.52 | 0.10 | 0.59 | |||||
Total from investment operations | (1.27) | (0.54) | (0.31) | 1.47 | 0.07 | 0.52 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.01) | (0.11) | — | — | — | — | |||||
Total distributions | (0.01) | (0.11) | — | — | — | — | |||||
Net asset value, end of period | $10.62 | $11.90 | $12.55 | $12.86 | $11.39 | $11.32 | |||||
Total return3 | (10.69)%4 | (4.33)% | (2.41)% | 12.91% | 0.62% | 4.81%5 | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $144,469 | $247,209 | $333,806 | $300,784 | $239,413 | $193,480 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 3.06%6 | 2.78% | 2.61% | 2.77% | 2.73% | 2.64% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets7 | 2.71%6 | 2.43% | 2.26% | 2.42% | 2.38% | 2.29% | |||||
Ratio of net investment income (loss) to average net assets | (0.53)%6 | 0.91% | 0.24% | (0.43)% | (0.41)% | (0.67)% | |||||
Portfolio turnover rate8,9 | 70% | 108% | 84% | 65% | 98% | 119% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
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 | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions as shown in the management discussion and analysis and as otherwise reported to shareholders. |
6 | Annualized. |
7 | The ratio of operating expenses after waiver/reimbursement excluding dividends on securities sold short was 1.24% for the period ended April 30, 2020 and 1.21%, 1.15%, 1.15%, 1.17% and 1.16% for the years ended October 31, 2019, 2018, 2017, 2016 and 2015, respectively. |
8 | Portfolio turnover is calculated at the fund level. |
9 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
38 |
Quantitative U.S. Long/Short Equity Portfolio Institutional Shares | |||
For the Period Ended April 30, 20202,3 | For the Period September 13, 20191 through October 31, 20192 | ||
Net asset value, beginning of period | $11.89 | $12.00 | |
Income from investment operations: | |||
Net investment income (loss) | (0.01) | 0.01 | |
Net realized and unrealized gain (loss) on investments | (1.24) | (0.08) | |
Total from investment operations | (1.25) | (0.07) | |
Distributions to shareholders from: | |||
Net investment income | (0.02) | (0.04) | |
Total distributions | (0.02) | (0.04) | |
Net asset value, end of period | $10.62 | $11.89 | |
Total return4 | (10.57)%5 | (0.62)% | |
Ratios to average net assets/ Supplemental data: | |||
Net assets, at end of period (in 000s) | $3 | $16 | |
Ratio of operating expenses before waiver/reimbursement to average net assets6 | 2.80% | 2.36% | |
Ratio of operating expenses after waiver/reimbursement to average net assets6,7 | 2.44% | 2.01% | |
Ratio of net investment income (loss) to average net assets6 | (0.24)% | 0.36% | |
Portfolio turnover rate8,9 | 70% | 108% |
1 | Shareholder activity commenced on September 13, 2019. |
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 | The ratio of operating expenses after waiver/reimbursement excluding dividends on securities sold short was 1.01% and 1.01% for the periods ended April 30, 2020 and October 31, 2019, respectively. |
8 | Portfolio turnover is calculated at the fund level. |
9 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
39 |
Quantitative U.S. Total Market Equity Portfolio | |||||||||||
For the Period Ended April 30, 20201,2 | For The Years Ended October 31, | ||||||||||
20192 | 2018 | 2017 | 2016 | 2015 | |||||||
Net asset value, beginning of period | $17.88 | $18.85 | $18.88 | $14.65 | $14.68 | $15.07 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.03 | 0.11 | 0.07 | 0.04 | 0.09 | 0.08 | |||||
Net realized and unrealized gain (loss) on investments | (3.19) | 0.49 | 0.51 | 4.23 | (0.04) | 0.49 | |||||
Total from investment operations | (3.16) | 0.60 | 0.58 | 4.27 | 0.05 | 0.57 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.05) | (0.11) | (0.06) | (0.04) | (0.08) | (0.08) | |||||
Net realized capital gains | (0.98) | (1.46) | (0.55) | — | — | (0.88) | |||||
Total distributions | (1.03) | (1.57) | (0.61) | (0.04) | (0.08) | (0.96) | |||||
Net asset value, end of period | $13.69 | $17.88 | $18.85 | $18.88 | $14.65 | $14.68 | |||||
Total return3 | (18.95)%4 | 4.11% | 3.01% | 29.18% | 0.37% | 3.94% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $35,358 | $67,923 | $90,610 | $74,267 | $61,083 | $88,734 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.56%5 | 2.48% | 2.31% | 2.40% | 2.59% | 2.29% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets6 | 2.07%5 | 2.07% | 1.96% | 2.05% | 2.16% | 1.93% | |||||
Ratio of net investment income to average net assets | 0.32%5 | 0.60% | 0.37% | 0.24% | 0.56% | 0.55% | |||||
Portfolio turnover rate7 | 43% | 92% | 82% | 70% | 88% | 129% |
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. |
6 | The ratio of operating expenses after waiver/reimbursement excluding dividends on securities sold short and flex fees was 1.25% for the period ended April 30, 2020 and 1.25%, 1.25%, 1.23%, 1.25% and 1.25% for the years ended October 31, 2019, 2018, 2017, 2016 and 2015, respectively. |
7 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
40 |
Strategic Equity Portfolio | |||||||||||
For the Period Ended April 30, 20201,2 | For The Years Ended October 31, | ||||||||||
20192 | 2018 | 2017 | 2016 | 2015 | |||||||
Net asset value, beginning of period | $27.22 | $24.30 | $24.90 | $20.94 | $21.80 | $23.89 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.11 | 0.23 | 0.20 | 0.19 | 0.21 | 0.23 | |||||
Net realized and unrealized gain (loss) on investments | (2.56) | 3.22 | 1.07 | 5.35 | 0.81 | 0.76 | |||||
Total from investment operations | (2.45) | 3.45 | 1.27 | 5.54 | 1.02 | 0.99 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.11) | (0.23) | (0.20) | (0.19) | (0.20) | (0.24) | |||||
Net realized capital gains | (0.53) | (0.30) | (1.67) | (1.39) | (1.68) | (2.84) | |||||
Total distributions | (0.64) | (0.53) | (1.87) | (1.58) | (1.88) | (3.08) | |||||
Net asset value, end of period | $24.13 | $27.22 | $24.30 | $24.90 | $20.94 | $21.80 | |||||
Total return | (9.25)%3 | 14.51% | 5.14% | 27.83% | 5.22% | 4.49% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $227,924 | $269,033 | $226,032 | $209,339 | $176,864 | $174,409 | |||||
Ratio of operating expenses to average net assets | 0.84%4 | 0.84% | 0.83% | 0.82% | 0.84% | 0.84% | |||||
Ratio of net investment income to average net assets | 0.86%4 | 0.89% | 0.79% | 0.84% | 1.00% | 1.03% | |||||
Portfolio turnover rate | 11% | 19% | 6% | 15% | 22% | 23% |
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. |
41 |
Small Cap Equity Portfolio Advisor Shares | |||||||||||
For the Period Ended April 30, 20201,2 | For The Years Ended October 31, | ||||||||||
20191 | 2018 | 2017 | 2016 | 2015 | |||||||
Net asset value, beginning of period | $23.66 | $28.82 | $32.13 | $25.61 | $26.02 | $26.30 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | — | 0.05 | 0.02 | (0.01) | 0.03 | 0.02 | |||||
Net realized and unrealized gain (loss) on investments | (4.26) | (1.04) | (0.10) | 7.07 | (0.15) | 0.74 | |||||
Total from investment operations | (4.26) | (0.99) | (0.08) | 7.06 | (0.12) | 0.76 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.04) | (0.07) | (0.02) | (0.02) | (0.05) | (0.02) | |||||
Net realized capital gains | — | (4.09) | (3.21) | (0.52) | (0.24) | (1.02) | |||||
Net return of capital | — | (0.01) | — | — | — | — | |||||
Total distributions | (0.04) | (4.17) | (3.23) | (0.54) | (0.29) | (1.04) | |||||
Net asset value, end of period | $19.36 | $23.66 | $28.82 | $32.13 | $25.61 | $26.02 | |||||
Total return | (18.04)%3 | (2.61)% | (0.58)% | 27.84% | (0.43)% | 3.03% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $430,625 | $761,813 | $1,390,136 | $1,574,979 | $1,367,160 | $1,399,042 | |||||
Ratio of operating expenses to average net assets | 0.94%4 | 0.93% | 0.90% | 0.90% | 0.91% | 0.91% | |||||
Ratio of net investment income (loss) to average net assets | (0.01)%4 | 0.21% | 0.07% | (0.04)% | 0.12% | 0.07% | |||||
Portfolio turnover rate5 | 16% | 54% | 44% | 63% | 58% | 53% |
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. |
5 | Portfolio turnover is calculated at the fund level. |
42 |
Small Cap Equity Portfolio Institutional Shares | |||||||||||
For the Period Ended April 30, 20201,2 | For The Years Ended October 31, | ||||||||||
20192 | 2018 | 2017 | 2016 | 2015 | |||||||
Net asset value, beginning of period | $25.07 | $30.25 | $33.54 | $26.67 | $27.07 | $27.28 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.02 | 0.10 | 0.09 | 0.05 | 0.08 | 0.08 | |||||
Net realized and unrealized gain (loss) on investments | (4.52) | (1.06) | (0.10) | 7.37 | (0.16) | 0.76 | |||||
Total from investment operations | (4.50) | (0.96) | (0.01) | 7.42 | (0.08) | 0.84 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.06) | (0.12) | (0.07) | (0.03) | (0.08) | (0.03) | |||||
Net realized capital gains | — | (4.09) | (3.21) | (0.52) | (0.24) | (1.02) | |||||
Net return of capital | — | (0.01) | — | — | — | — | |||||
Total distributions | (0.06) | (4.22) | (3.28) | (0.55) | (0.32) | (1.05) | |||||
Net asset value, end of period | $20.51 | $25.07 | $30.25 | $33.54 | $26.67 | $27.07 | |||||
Total return | (17.95)%3 | (2.38)% | (0.36)% | 28.10% | (0.25)% | 3.24% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $1,035,221 | $1,279,693 | $2,131,461 | $1,879,657 | $1,264,752 | $963,970 | |||||
Ratio of operating expenses to average net assets | 0.74%4 | 0.73% | 0.70% | 0.70% | 0.71% | 0.71% | |||||
Ratio of net investment income to average net assets | 0.17%4 | 0.39% | 0.27% | 0.16% | 0.30% | 0.26% | |||||
Portfolio turnover rate5 | 16% | 54% | 44% | 63% | 58% | 53% |
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. |
43 |
Large Cap Value Portfolio | |||||||||||
For the Period Ended April 30, 20201,2 | For The Years Ended October 31, | ||||||||||
20192 | 20182 | 20172 | 2016 | 20152 | |||||||
Net asset value, beginning of period | $9.95 | $10.51 | $11.37 | $10.22 | $11.15 | $12.85 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.08 | 0.20 | 0.19 | 0.21 | 0.19 | 0.12 | |||||
Net realized and unrealized gain (loss) on investments | (1.47) | 0.51 | (0.16) | 1.96 | 0.30 | 0.06 | |||||
Total from investment operations | (1.39) | 0.71 | 0.03 | 2.17 | 0.49 | 0.18 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.09) | (0.20) | (0.18) | (0.24) | (0.17) | (0.11) | |||||
Net realized capital gains | (0.87) | (1.07) | (0.71) | (0.78) | (1.25) | (1.77) | |||||
Total distributions | (0.96) | (1.27) | (0.89) | (1.02) | (1.42) | (1.88) | |||||
Net asset value, end of period | $7.60 | $9.95 | $10.51 | $11.37 | $10.22 | $11.15 | |||||
Total return | (15.81)%3 | 8.24%4 | 0.04% | 22.17% | 5.58% | 1.28% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $24,334 | $39,869 | $71,597 | $76,465 | $72,154 | $83,065 | |||||
Ratio of operating expenses to average net assets | 1.08%5 | 1.00% | 0.91% | 0.91% | 0.91% | 0.91% | |||||
Ratio of net investment income to average net assets | 1.77%5 | 2.01% | 1.69% | 1.99% | 1.83% | 1.03% | |||||
Portfolio turnover rate | 46% | 64% | 71% | 93% | 110% | 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 | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions as shown in the management discussion and analysis and as otherwise reported to shareholders. |
5 | Annualized. |
44 |
Equity Income Portfolio | |||||||
For the Period Ended April 30, 20202,3 | For The Years Ended October 31, | For the Period December 21, 20161 through October 31, 20173 | |||||
20193 | 2018 | ||||||
Net asset value, beginning of period | $12.22 | $11.15 | $11.06 | $10.00 | |||
Income from investment operations: | �� | ||||||
Net investment income | 0.12 | 0.25 | 0.22 | 0.16 | |||
Net realized and unrealized gain (loss) on investments | (1.04) | 1.33 | 0.09 | 1.01 | |||
Total from investment operations | (0.92) | 1.58 | 0.31 | 1.17 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.13) | (0.25) | (0.22) | (0.11) | |||
Net realized capital gains | — | (0.26) | (0.00)4 | — | |||
Total distributions | (0.13) | (0.51) | (0.22) | (0.11) | |||
Net asset value, end of period | $11.17 | $12.22 | $11.15 | $11.06 | |||
Total return5 | (7.45)%6 | 14.69% | 2.79% | 11.77%6 | |||
Ratios to average net assets/ Supplemental data: | |||||||
Net assets, at end of period (in 000s) | $20,127 | $23,900 | $18,536 | $12,970 | |||
Ratio of operating expenses before waiver/reimbursement to average net assets | 0.99%7 | 1.01% | 1.11% | 2.08%7 | |||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85%7 | 0.85% | 0.85% | 0.85%7 | |||
Ratio of net investment income to average net assets | 2.03%7 | 2.19% | 2.02% | 1.82%7 | |||
Portfolio turnover rate | 42% | 39% | 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. |
45 |
Secured Options Portfolio Advisor Shares | |||||||||||
For the Period Ended April 30, 20201,2 | For The Years Ended October 31, | ||||||||||
20192 | 2018 | 20172 | 20162 | 20152 | |||||||
Net asset value, beginning of period | $13.01 | $12.30 | $12.75 | $12.45 | $12.57 | $12.47 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | (0.03) | (0.04) | (0.06) | (0.08) | (0.09) | (0.09) | |||||
Net realized and unrealized gain (loss) on investments | (1.19) | 1.04 | 0.40 | 0.99 | 0.68 | 0.84 | |||||
Total from investment operations | (1.22) | 1.00 | 0.34 | 0.91 | 0.59 | 0.75 | |||||
Distributions to shareholders from: | |||||||||||
Net realized capital gains | (0.93) | (0.29) | (0.79) | (0.61) | (0.71) | (0.65) | |||||
Total distributions | (0.93) | (0.29) | (0.79) | (0.61) | (0.71) | (0.65) | |||||
Net asset value, end of period | $10.86 | $13.01 | $12.30 | $12.75 | $12.45 | $12.57 | |||||
Total return | (10.20)%3 | 8.43% | 2.81% | 7.53% | 5.08% | 6.37% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $133,601 | $268,478 | $445,946 | $446,859 | $574,200 | $395,163 | |||||
Ratio of operating expenses to average net assets4 | 0.87%5 | 0.87%6 | 0.84% | 0.85% | 0.85% | 0.84% | |||||
Ratio of net investment income (loss) to average net assets4 | (0.48)%5 | (0.34)% | (0.50)% | (0.68)% | 0.95% | (0.77)% | |||||
Portfolio turnover rate7,8 | —% | —% | —% | —% | —% | —% |
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 | The ratio of operating expenses excluding interest expense was 0.86% for the year ended October 31, 2019. |
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 |
Secured Options Portfolio Institutional Shares | |||||||
For the Period Ended April 30, 20202,3 | For The Years Ended October 31, | For the Period November 9, 20161 through October 31, 20173 | |||||
20193 | 20183 | ||||||
Net asset value, beginning of period | $13.09 | $12.34 | $12.77 | $12.61 | |||
Income from investment operations: | |||||||
Net investment income (loss) | (0.02) | (0.02) | (0.04) | (0.06) | |||
Net realized and unrealized gain (loss) on investments | (1.20) | 1.06 | 0.40 | 0.83 | |||
Total from investment operations | (1.22) | 1.04 | 0.36 | 0.77 | |||
Distributions to shareholders from: | |||||||
Net realized capital gains | (0.93) | (0.29) | (0.79) | (0.61) | |||
Total distributions | (0.93) | (0.29) | (0.79) | (0.61) | |||
Net asset value, end of period | $10.94 | $13.09 | $12.34 | $12.77 | |||
Total return | (10.13)%4 | 8.73% | 2.97% | 6.34%4 | |||
Ratios to average net assets/ Supplemental data: | |||||||
Net assets, at end of period (in 000s) | $353,497 | $409,829 | $396,523 | $365,523 | |||
Ratio of operating expenses to average net assets5 | 0.67%6 | 0.67%7 | 0.64% | 0.65%6 | |||
Ratio of net investment income (loss) to average net assets5 | (0.29)%6 | (0.14)% | (0.30)% | (0.45)%6 | |||
Portfolio turnover rate8,9 | —% | —% | —% | —% |
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 | The ratio of operating expenses excluding interest expense was 0.66% for the year ended October 31, 2019. |
8 | Portfolio turnover is calculated at the fund level. |
9 | 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. |
47 |
Global Secured Options Portfolio | |||||||||||
For the Period Ended April 30, 20201,2,3 | For The Years Ended October 31, | ||||||||||
20192,3 | 20182,3 | 20172,3 | 20162,3 | 20152,3 | |||||||
Net asset value, beginning of period | $4.90 | $104.10 | $105.80 | $96.00 | $99.60 | $105.80 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | (0.01) | 0.02 | 0.10 | 0.60 | 1.50 | 1.90 | |||||
Net realized and unrealized gain (loss) on investments | (0.61) | (5.71) | (0.90) | 9.90 | (3.00) | (4.80) | |||||
Total from investment operations | (0.62) | (5.69) | (0.80) | 10.50 | (1.50) | (2.90) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.01) | (0.01) | (0.90) | (0.70) | (2.10) | (2.10) | |||||
Net realized capital gains | — | (93.50) | — | — | — | (1.20) | |||||
Total distributions | (0.01) | (93.51) | (0.90) | (0.70) | (2.10) | (3.30) | |||||
Net asset value, end of period | $4.27 | $4.90 | $104.10 | $105.80 | $96.00 | $99.60 | |||||
Total return | (12.72)%4,5 | 8.56%4 | (0.76)% | 10.94% | (1.47)% | (2.78)% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $7,156 | $1,220 | $2,510 | $10,642 | $28,818 | $88,478 | |||||
Ratio of operating expenses to average net assets6 | —% | —% | 1.17%7 | 1.13% | 0.91% | 0.84% | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets6 | 3.37%8 | 9.76% | —% | —% | —% | —% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets6 | 1.00%8 | 1.63%7 | —% | —% | —% | —% | |||||
Ratio of net investment income to average net assets6 | (0.57)%8 | 0.32% | 0.08% | 0.58% | 1.61% | 1.83% | |||||
Portfolio turnover rate | 776% | 685% | 224% | 9% | 70% | 106% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | On March 16, 2020, the Global Secured Options Portfolio underwent a 1-for-10 reverse share split. The per share activity presented here has been retroactively adjusted to reflect this split. See Note 6. |
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 | The ratio of operating expenses after waiver/reimbursement excluding dividends on securities sold short and interest expense was 1.62% for the year ended October 31, 2019 and 1.11% for the year ended October 31, 2018. |
8 | Annualized. |
48 |
Alternative Risk Premia Portfolio | |||
For the Period Ended April 30, 20202,3 | For the Period December 20, 20181 through October 31, 20193 | ||
Net asset value, beginning of period | $10.49 | $10.00 | |
Income from investment operations: | |||
Net investment income (loss) | (0.03) | 0.004 | |
Net realized and unrealized gain (loss) on investments | (0.50) | 0.49 | |
Total from investment operations | (0.53) | 0.49 | |
Distributions to shareholders from: | |||
Net investment income | (0.00)4 | — | |
Total distributions | (0.00) | — | |
Net asset value, end of period | $9.96 | $10.49 | |
Total return5 | (5.01)%6 | 4.90%6 | |
Ratios to average net assets/ Supplemental data: | |||
Net assets, at end of period (in 000s) | $2,138 | $5,643 | |
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.70%7 | 4.34%7 | |
Ratio of operating expenses after waiver/reimbursement to average net assets | 1.07%7,8 | 1.92%7,8 | |
Ratio of net investment income to average net assets | (0.29)%7 | (0.02)%7 | |
Portfolio turnover rate9 | 87% | 120%10 |
1 | Portfolio commenced operations on December 20, 2018. |
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 | Total return calculation is not annualized. |
6 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
7 | Annualized. |
8 | The ratio of operating expenses after waiver/reimbursement excluding dividends on securities sold short and interest expense was 1.00% and 1.00% for the periods ended April 30, 2020 and October 31, 2019, respectively. |
9 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
10 | Calculations represent portfolio turnover for the Portfolio for the period of December 20, 2018 through April 30, 2020. |
49 |
Core Fixed Income Portfolio | |||||||||||
For the Period Ended April 30, 20201,2 | For The Years Ended October 31, | ||||||||||
20192 | 2018 | 2017 | 2016 | 2015 | |||||||
Net asset value, beginning of period | $11.31 | $10.49 | $11.04 | $11.26 | $11.20 | $11.21 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.11 | 0.25 | 0.25 | 0.21 | 0.21 | 0.23 | |||||
Net realized and unrealized gain (loss) on investments | 0.51 | 0.83 | (0.50) | (0.13) | 0.14 | 0.01 | |||||
Total from investment operations | 0.62 | 1.08 | (0.25) | 0.08 | 0.35 | 0.24 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.13) | (0.26) | (0.26) | (0.22) | (0.23) | (0.25) | |||||
Net realized capital gains | — | — | (0.04) | (0.08) | (0.06) | — | |||||
Total distributions | (0.13) | (0.26) | (0.30) | (0.30) | (0.29) | (0.25) | |||||
Net asset value, end of period | $11.80 | $11.31 | $10.49 | $11.04 | $11.26 | $11.20 | |||||
Total return | 5.53%3 | 10.46% | (2.32)% | 0.75% | 3.15% | 2.20% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $469,082 | $505,603 | $485,201 | $488,548 | $486,872 | $433,086 | |||||
Ratio of operating expenses to average net assets | 0.53%4 | 0.53% | 0.52% | 0.52% | 0.54% | 0.53% | |||||
Ratio of net investment income to average net assets | 2.03%4 | 2.30% | 2.24% | 1.90% | 1.84% | 2.11% | |||||
Portfolio turnover rate | 20% | 36% | 29% | 46% | 24% | 27% |
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. |
50 |
Short Term Tax Aware Fixed Income Portfolio | |||||||||
For the Period Ended April 30, 20202,3 | For The Years Ended October 31, | For the Period June 29, 20161 through October 31, 2016 | |||||||
2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $10.07 | $9.90 | $9.98 | $9.99 | $10.00 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.06 | 0.13 | 0.09 | 0.07 | 0.02 | ||||
Net realized and unrealized gain (loss) on investments | (0.06) | 0.17 | (0.08) | (0.01) | (0.02) | ||||
Total from investment operations | — | 0.30 | 0.01 | 0.06 | 0.00 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.06) | (0.13) | (0.09) | (0.07) | (0.01) | ||||
Total distributions | (0.06) | (0.13) | (0.09) | (0.07) | (0.01) | ||||
Net asset value, end of period | $10.01 | $10.07 | $9.90 | $9.98 | $9.99 | ||||
Total return4 | (0.02)%5 | 3.03% | 0.10% | 0.57% | (0.02)%5 | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of period (in 000s) | $48,310 | $50,939 | $26,294 | $33,900 | $30,076 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets6 | 0.61%7 | 0.66% | 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% | 0.55%7 | ||||
Ratio of net investment income to average net assets6 | 1.14%7 | 1.33% | 0.92% | 0.69% | 0.46%7 | ||||
Portfolio turnover rate | 39% | 25% | 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. |
51 |
High Yield Municipal Portfolio | |||||||||
For the Period Ended April 30, 20202,3 | For The Years Ended October 31, | For the Period December 22, 20151 through October 31, 20163 | |||||||
20193 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $10.84 | $10.16 | $10.35 | $10.39 | $10.00 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.16 | 0.31 | 0.30 | 0.30 | 0.22 | ||||
Net realized and unrealized gain (loss) on investments | (0.92) | 0.68 | (0.19) | (0.01) | 0.34 | ||||
Total from investment operations | (0.76) | 0.99 | 0.11 | 0.29 | 0.56 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.15) | (0.31) | (0.30) | (0.29) | (0.17) | ||||
Net realized capital gains | — | — | — | (0.04) | — | ||||
Total distributions | (0.15) | (0.31) | (0.30) | (0.33) | (0.17) | ||||
Net asset value, end of period | $9.93 | $10.84 | $10.16 | $10.35 | $10.39 | ||||
Total return | (7.11)%4,5 | 9.90%4 | 1.04% | 2.89% | 5.56%4,5 | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of period (in 000s) | $201,600 | $215,419 | $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 | 1.01%6 | 1.00% | —% | —% | 1.08%6 | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 1.00%6 | 1.00% | —% | —% | 1.00%6 | ||||
Ratio of net investment income to average net assets | 2.93%6 | 2.95% | 2.90% | 2.92% | 2.44%6 | ||||
Portfolio turnover rate | 16%7 | 27%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. |
52 |
Shares | Value | ||
COMMON STOCKS* — 99.6% | |||
Airlines — 0.3% | |||
177,753 | Delta Air Lines, Inc. | $4,605,580 | |
Banks — 5.4% | |||
549,751 | Bank of America Corp. | 13,221,511 | |
358,676 | Citigroup, Inc. | 17,417,306 | |
683,405 | Citizens Financial Group, Inc. | 15,301,438 | |
767,814 | Fifth Third Bancorp | 14,350,444 | |
109,239 | JPMorgan Chase & Co. | 10,460,727 | |
70,751,426 | |||
Beverages — 1.4% | |||
303,873 | Monster Beverage Corp.1 | 18,782,390 | |
Biotechnology — 4.5% | |||
126,471 | AbbVie, Inc. | 10,395,916 | |
87,079 | Alexion Pharmaceuticals, Inc.1 | 9,358,380 | |
101,986 | Amgen, Inc. | 24,397,091 | |
27,045 | Biogen, Inc.1 | 8,027,768 | |
79,741 | Gilead Sciences, Inc. | 6,698,244 | |
58,877,399 | |||
Building Products — 2.0% | |||
154,258 | Fortune Brands Home & Security, Inc. | 7,435,236 | |
212,139 | Trane Technologies PLC | 18,545,191 | |
25,980,427 | |||
Capital Markets — 3.4% | |||
124,249 | Ameriprise Financial, Inc. | 14,281,180 | |
85,040 | Intercontinental Exchange, Inc. | 7,606,828 | |
334,952 | Morgan Stanley | 13,207,157 | |
147,160 | State Street Corp. | 9,276,967 | |
44,372,132 | |||
Chemicals — 0.6% | |||
308,423 | Corteva, Inc.1 | 8,077,598 | |
Communications Equipment — 1.5% | |||
452,050 | Cisco Systems, Inc. | 19,157,879 | |
Consumer Finance — 1.4% | |||
637,576 | Ally Financial, Inc. | 10,449,871 | |
372,947 | Synchrony Financial | 7,380,621 | |
17,830,492 | |||
Distributors — 0.6% | |||
284,628 | LKQ Corp.1 | 7,443,022 | |
Diversified Consumer Services — 1.0% | |||
798,102 | H&R Block, Inc.2 | 13,288,398 | |
Diversified Telecommunication Services — 1.2% | |||
523,088 | AT&T, Inc. | 15,938,491 | |
Electric Utilities — 0.5% | |||
111,882 | Southern Co. (The) | 6,347,066 | |
Electrical Equipment — 1.1% | |||
166,988 | Eaton Corp. PLC | 13,943,498 | |
Electronic Equipment, Instruments & Components — 1.4% | |||
192,135 | Keysight Technologies, Inc.1 | 18,592,904 |
53 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Energy Equipment & Services — 1.1% | |||
445,279 | Baker Hughes Co. | $6,211,642 | |
783,601 | Halliburton Co. | 8,227,810 | |
14,439,452 | |||
Entertainment — 3.2% | |||
288,594 | Activision Blizzard, Inc. | 18,392,096 | |
206,270 | Electronic Arts, Inc.1 | 23,568,410 | |
41,960,506 | |||
Equity Real Estate Investment Trusts — 3.3% | |||
47,472 | American Tower Corp. | 11,298,336 | |
41,669 | Crown Castle International Corp. | 6,643,289 | |
9,503 | Equinix, Inc. | 6,416,426 | |
215,563 | Prologis, Inc. | 19,234,686 | |
43,592,737 | |||
Food & Staples Retailing — 1.6% | |||
682,375 | Kroger Co. (The) | 21,569,874 | |
Food Products — 1.4% | |||
309,085 | General Mills, Inc. | 18,511,101 | |
Health Care Providers & Services — 5.8% | |||
53,772 | Anthem, Inc. | 15,095,413 | |
231,358 | Cardinal Health, Inc. | 11,447,594 | |
220,665 | Centene Corp.1 | 14,691,876 | |
174,729 | DaVita, Inc.1 | 13,805,338 | |
147,220 | McKesson Corp. | 20,794,825 | |
75,835,046 | |||
Household Durables — 1.1% | |||
184,174 | DR Horton, Inc. | 8,696,696 | |
216,039 | PulteGroup, Inc. | 6,107,423 | |
14,804,119 | |||
Household Products — 1.6% | |||
126,018 | Church & Dwight Co., Inc. | 8,820,000 | |
175,838 | Colgate-Palmolive Co. | 12,356,136 | |
21,176,136 | |||
Independent Power & Renewable Electricity Producer — 1.7% | |||
1,664,981 | AES Corp. (The) | 22,060,998 | |
Industrial Conglomerates — 1.5% | |||
142,711 | Honeywell International, Inc. | 20,250,691 | |
Insurance — 2.8% | |||
124,237 | Allstate Corp. (The) | 12,637,388 | |
316,661 | Fidelity National Financial, Inc. | 8,565,680 | |
426,566 | MetLife, Inc. | 15,390,501 | |
36,593,569 | |||
Interactive Media & Services — 3.5% | |||
14,874 | Alphabet, Inc. - Class A1 | 20,030,816 | |
129,962 | Facebook, Inc. - Class A1 | 26,604,521 | |
46,635,337 | |||
Internet & Direct Marketing Retail — 2.5% | |||
616,908 | eBay, Inc. | 24,571,446 |
54 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Internet & Direct Marketing Retail — (Continued) | |||
117,325 | Expedia Group, Inc. | $8,327,728 | |
32,899,174 | |||
IT Services — 7.5% | |||
126,773 | Accenture PLC - Class A | 23,477,092 | |
316,341 | Amdocs, Ltd. | 20,385,014 | |
161,583 | Cognizant Technology Solutions Corp. - Class A | 9,375,046 | |
201,826 | PayPal Holdings, Inc.1 | 24,824,598 | |
112,552 | Visa, Inc. - Class A | 20,115,293 | |
98,177,043 | |||
Machinery — 0.6% | |||
47,398 | Parker-Hannifin Corp. | 7,494,572 | |
Media — 3.3% | |||
600,547 | Comcast Corp. - Class A | 22,598,584 | |
365,777 | Omnicom Group, Inc. | 20,860,262 | |
43,458,846 | |||
Metals & Mining — 2.2% | |||
386,957 | Newmont Corp. | 23,016,203 | |
73,509 | Reliance Steel & Aluminum Co. | 6,584,936 | |
29,601,139 | |||
Multi-line Retail — 1.8% | |||
214,432 | Target Corp. | 23,531,768 | |
Multi-Utilities — 0.5% | |||
61,316 | DTE Energy Co. | 6,360,922 | |
Oil, Gas & Consumable Fuels — 1.3% | |||
521,892 | Marathon Petroleum Corp. | 16,742,295 | |
Pharmaceuticals — 3.9% | |||
213,538 | Bristol-Myers Squibb Co. | 12,985,246 | |
94,670 | Jazz Pharmaceuticals PLC1 | 10,437,368 | |
245,604 | Merck & Co., Inc. | 19,486,221 | |
527,798 | Mylan N.V.1 | 8,851,172 | |
51,760,007 | |||
Professional Services — 1.0% | |||
450,738 | Nielsen Holdings PLC | 6,639,371 | |
83,072 | TransUnion | 6,545,243 | |
13,184,614 | |||
Real Estate Management & Development — 1.8% | |||
544,795 | CBRE Group, Inc. - Class A1 | 23,388,049 | |
Road & Rail — 1.0% | |||
202,327 | CSX Corp. | 13,400,117 | |
Semiconductors & Semiconductor Equipment — 4.3% | |||
244,105 | Applied Materials, Inc. | 12,127,136 | |
233,520 | Intel Corp. | 14,006,530 | |
79,231 | Lam Research Corp. | 20,226,090 | |
213,872 | Micron Technology, Inc.1 | 10,242,330 | |
56,602,086 | |||
Software — 5.7% | |||
172,366 | Fortinet, Inc.1 | 18,570,713 | |
139,460 | Microsoft Corp. | 24,992,627 |
55 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Software — (Continued) | |||
337,220 | Oracle Corp. | $17,862,543 | |
88,396 | Synopsys, Inc.1 | 13,888,779 | |
75,314,662 | |||
Specialty Retail — 3.6% | |||
319,466 | Best Buy Co., Inc. | 24,512,626 | |
143,248 | Ross Stores, Inc. | 13,087,137 | |
188,193 | TJX Cos., Inc. (The) | 9,230,867 | |
46,830,630 | |||
Technology Hardware, Storage & Peripherals — 3.7% | |||
27,849 | Apple, Inc. | 8,182,036 | |
633,087 | Hewlett Packard Enterprise Co. | 6,368,855 | |
413,219 | HP, Inc. | 6,409,027 | |
466,535 | NetApp, Inc. | 20,420,237 | |
386,547 | Xerox Holdings Corp.1 | 7,069,945 | |
48,450,100 | |||
TOTAL COMMON STOCKS (Cost $1,186,169,625) | 1,308,614,292 | ||
RIGHTS* — 0.1% | |||
Pharmaceuticals — 0.1% | |||
209,103 | Bristol-Myers Squibb Co. (expiring 3/31/21)1 | 943,055 | |
TOTAL RIGHTS (Cost $445,390) | 943,055 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.4% | |||
$5,104,473 | With Fixed Income Clearing Corp., dated 4/30/20, 0.00%, principal and interest in the amount of $5,104,473, due 5/1/20, (collateralized by U.S. Treasury Notes with a par value of $5,035,000, coupon rate of 2.625% - 2.00%, due 6/15/2021 - 8/31/2021, market value of $5,210,922) | 5,104,473 | |
TOTAL REPURCHASE AGREEMENT (Cost $5,104,473) | 5,104,473 | ||
TOTAL INVESTMENTS (Cost $1,191,719,488) | 100.1% | $1,314,661,820 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.1) | (1,422,854) | |
NET ASSETS | 100.0% | $1,313,238,966 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
56 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
IT Services | 7.5% | $98,177,043 | |
Health Care Providers & Services | 5.8 | 75,835,046 | |
Software | 5.7 | 75,314,662 | |
Banks | 5.4 | 70,751,426 | |
Biotechnology | 4.5 | 58,877,399 | |
Semiconductors & Semiconductor Equipment | 4.3 | 56,602,086 | |
Pharmaceuticals | 4.0 | 52,703,062 | |
Technology Hardware, Storage & Peripherals | 3.7 | 48,450,100 | |
Specialty Retail | 3.6 | 46,830,630 | |
Interactive Media & Services | 3.5 | 46,635,337 | |
Capital Markets | 3.4 | 44,372,132 | |
Equity Real Estate Investment Trusts | 3.3 | 43,592,737 | |
Media | 3.3 | 43,458,846 | |
Entertainment | 3.2 | 41,960,506 | |
Insurance | 2.8 | 36,593,569 | |
Internet & Direct Marketing Retail | 2.5 | 32,899,174 | |
Metals & Mining | 2.2 | 29,601,139 | |
Building Products | 2.0 | 25,980,427 | |
Multi-line Retail | 1.8 | 23,531,768 | |
Real Estate Management & Development | 1.8 | 23,388,049 | |
Independent Power & Renewable Electricity Producer | 1.7 | 22,060,998 | |
Food & Staples Retailing | 1.6 | 21,569,874 | |
Household Products | 1.6 | 21,176,136 | |
Industrial Conglomerates | 1.5 | 20,250,691 | |
Communications Equipment | 1.5 | 19,157,879 | |
Beverages | 1.4 | 18,782,390 | |
Electronic Equipment, Instruments & Components | 1.4 | 18,592,904 | |
Food Products | 1.4 | 18,511,101 | |
Consumer Finance | 1.4 | 17,830,492 | |
Oil, Gas & Consumable Fuels | 1.3 | 16,742,295 | |
Diversified Telecommunication Services | 1.2 | 15,938,491 | |
Household Durables | 1.1 | 14,804,119 | |
Energy Equipment & Services | 1.1 | 14,439,452 | |
Electrical Equipment | 1.1 | 13,943,498 | |
Road & Rail | 1.0 | 13,400,117 | |
Diversified Consumer Services | 1.0 | 13,288,398 | |
Professional Services | 1.0 | 13,184,614 | |
Chemicals | 0.6 | 8,077,598 | |
Machinery | 0.6 | 7,494,572 | |
Distributors | 0.6 | 7,443,022 | |
Multi-Utilities | 0.5 | 6,360,922 | |
Electric Utilities | 0.5 | 6,347,066 | |
Airlines | 0.3 | 4,605,580 | |
TOTAL COMMON STOCKS AND RIGHTS | 99.7% | $1,309,557,347 | |
REPURCHASE AGREEMENT | 0.4 | 5,104,473 | |
TOTAL INVESTMENTS | 100.1% | $1,314,661,820 |
57 |
Shares | Value | ||
COMMON STOCKS* — 99.6% | |||
Aerospace & Defense — 1.0% | |||
70,393 | Lockheed Martin Corp. | $27,387,101 | |
Air Freight & Logistics — 0.9% | |||
333,097 | Expeditors International of Washington, Inc. | 23,851,411 | |
Airlines — 0.8% | |||
882,454 | Delta Air Lines, Inc. | 22,864,383 | |
Beverages — 2.0% | |||
889,855 | Monster Beverage Corp.1 | 55,001,938 | |
Biotechnology — 7.7% | |||
311,805 | AbbVie, Inc. | 25,630,371 | |
292,992 | Amgen, Inc. | 70,089,546 | |
225,797 | Biogen, Inc.1 | 67,023,324 | |
87,584 | Regeneron Pharmaceuticals, Inc.1 | 46,058,674 | |
208,801,915 | |||
Building Products — 1.6% | |||
504,718 | Trane Technologies PLC | 44,122,448 | |
Capital Markets — 2.8% | |||
153,627 | Ameriprise Financial, Inc. | 17,657,887 | |
648,927 | Intercontinental Exchange, Inc. | 58,046,520 | |
75,704,407 | |||
Chemicals — 0.4% | |||
133,638 | PPG Industries, Inc. | 12,138,340 | |
Communications Equipment — 2.4% | |||
1,520,972 | Cisco Systems, Inc. | 64,458,793 | |
Containers & Packaging — 0.6% | |||
432,721 | Berry Global Group, Inc.1 | 17,217,969 | |
Diversified Consumer Services — 0.7% | |||
1,167,759 | H&R Block, Inc.2 | 19,443,187 | |
Electrical Equipment — 0.5% | |||
153,064 | AMETEK, Inc. | 12,837,478 | |
Electronic Equipment, Instruments & Components — 5.5% | |||
729,181 | CDW Corp. | 80,793,255 | |
698,826 | Keysight Technologies, Inc.1 | 67,625,392 | |
148,418,647 | |||
Entertainment — 3.9% | |||
702,945 | Electronic Arts, Inc.1 | 80,318,495 | |
218,976 | Take-Two Interactive Software, Inc.1 | 26,507,045 | |
106,825,540 | |||
Equity Real Estate Investment Trusts — 3.4% | |||
168,335 | American Tower Corp. | 40,063,730 | |
765,457 | Simon Property Group, Inc. | 51,109,564 | |
91,173,294 | |||
Food & Staples Retailing — 1.3% | |||
70,161 | Costco Wholesale Corp. | 21,258,783 | |
270,999 | Sysco Corp. | 15,249,114 | |
36,507,897 | |||
Health Care Providers & Services — 6.3% | |||
583,605 | AmerisourceBergen Corp. | 52,326,025 |
58 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Health Care Providers & Services — (Continued) | |||
206,190 | Centene Corp.1 | $13,728,130 | |
320,893 | McKesson Corp. | 45,326,136 | |
201,694 | UnitedHealth Group, Inc. | 58,989,444 | |
170,369,735 | |||
Hotels, Restaurants & Leisure — 0.5% | |||
36,995 | Domino’s Pizza, Inc. | 13,389,600 | |
Household Durables — 2.0% | |||
1,067,456 | Lennar Corp. - Class A | 53,447,522 | |
Household Products — 0.5% | |||
208,806 | Church & Dwight Co., Inc. | 14,614,332 | |
Industrial Conglomerates — 1.3% | |||
170,200 | Carlisle Cos., Inc. | 20,587,392 | |
94,478 | Honeywell International, Inc. | 13,406,428 | |
33,993,820 | |||
Insurance — 2.3% | |||
633,681 | Marsh & McLennan Cos., Inc. | 61,676,172 | |
Interactive Media & Services — 5.6% | |||
49,875 | Alphabet, Inc. - Class A1 | 67,166,662 | |
416,170 | Facebook, Inc. - Class A1 | 85,194,161 | |
152,360,823 | |||
Internet & Direct Marketing Retail — 1.8% | |||
1,247,544 | eBay, Inc. | 49,689,677 | |
IT Services — 11.4% | |||
73,789 | Accenture PLC - Class A | 13,664,985 | |
130,212 | FleetCor Technologies, Inc.1 | 31,413,645 | |
239,482 | Mastercard, Inc. - Class A | 65,850,365 | |
612,430 | Paychex, Inc. | 41,963,704 | |
647,829 | PayPal Holdings, Inc.1 | 79,682,967 | |
435,545 | Visa, Inc. - Class A | 77,840,602 | |
310,416,268 | |||
Media — 2.1% | |||
1,006,594 | Omnicom Group, Inc. | 57,406,056 | |
Multi-line Retail — 0.7% | |||
114,696 | Dollar General Corp. | 20,106,209 | |
Pharmaceuticals — 0.7% | |||
228,647 | Merck & Co., Inc. | 18,140,853 | |
Professional Services — 0.5% | |||
850,337 | Nielsen Holdings PLC | 12,525,464 | |
Semiconductors & Semiconductor Equipment — 4.7% | |||
964,492 | Applied Materials, Inc. | 47,915,962 | |
213,531 | KLA-Tencor Corp. | 35,038,302 | |
177,418 | Lam Research Corp. | 45,291,267 | |
128,245,531 | |||
Software — 11.4% | |||
956,244 | Cadence Design Systems, Inc.1 | 77,580,076 | |
724,955 | Fortinet, Inc.1 | 78,106,652 | |
442,951 | Microsoft Corp. | 79,381,249 | |
1,092,423 | Oracle Corp. | 57,865,646 |
59 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Software — (Continued) | |||
336,909 | SS&C Technologies Holdings, Inc. | $18,583,900 | |
311,517,523 | |||
Specialty Retail — 9.3% | |||
1,002,012 | Best Buy Co., Inc. | 76,884,381 | |
229,781 | Home Depot, Inc. (The) | 50,512,757 | |
276,020 | Lowe’s Cos., Inc. | 28,913,095 | |
659,527 | Ross Stores, Inc. | 60,254,386 | |
748,075 | TJX Cos., Inc. (The) | 36,693,079 | |
253,257,698 | |||
Technology Hardware, Storage & Peripherals — 3.0% | |||
276,893 | Apple, Inc. | 81,351,163 | |
TOTAL COMMON STOCKS (Cost $2,182,393,458) | 2,709,263,194 | ||
RIGHTS* — 0.1% | |||
Pharmaceuticals — 0.1% | |||
712,266 | Bristol-Myers Squibb Co. (expiring 3/31/21)1 | 3,212,320 | |
TOTAL RIGHTS (Cost $1,517,127) | 3,212,320 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.4% | |||
$11,306,328 | With Fixed Income Clearing Corp., dated 4/30/20, 0.00%, principal and interest in the amount of $11,306,328, due 5/1/20, (collateralized by a U.S. Treasury Note with a par value of $11,120,000, coupon rate of 2.625%, due 6/15/2021, market value of $11,535,210) | 11,306,328 | |
TOTAL REPURCHASE AGREEMENT (Cost $11,306,328) | 11,306,328 | ||
TOTAL INVESTMENTS (Cost $2,195,216,913) | 100.1% | $2,723,781,842 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.1) | (2,484,535) | |
NET ASSETS | 100.0% | $2,721,297,307 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
60 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 11.4% | $311,517,523 | |
IT Services | 11.4 | 310,416,268 | |
Specialty Retail | 9.3 | 253,257,698 | |
Biotechnology | 7.7 | 208,801,915 | |
Health Care Providers & Services | 6.3 | 170,369,735 | |
Interactive Media & Services | 5.6 | 152,360,823 | |
Electronic Equipment, Instruments & Components | 5.5 | 148,418,647 | |
Semiconductors & Semiconductor Equipment | 4.7 | 128,245,531 | |
Entertainment | 3.9 | 106,825,540 | |
Equity Real Estate Investment Trusts | 3.4 | 91,173,294 | |
Technology Hardware, Storage & Peripherals | 3.0 | 81,351,163 | |
Capital Markets | 2.8 | 75,704,407 | |
Communications Equipment | 2.4 | 64,458,793 | |
Insurance | 2.3 | 61,676,172 | |
Media | 2.1 | 57,406,056 | |
Beverages | 2.0 | 55,001,938 | |
Household Durables | 2.0 | 53,447,522 | |
Internet & Direct Marketing Retail | 1.8 | 49,689,677 | |
Building Products | 1.6 | 44,122,448 | |
Food & Staples Retailing | 1.3 | 36,507,897 | |
Industrial Conglomerates | 1.3 | 33,993,820 | |
Aerospace & Defense | 1.0 | 27,387,101 | |
Air Freight & Logistics | 0.9 | 23,851,411 | |
Airlines | 0.8 | 22,864,383 | |
Pharmaceuticals | 0.8 | 21,353,173 | |
Multi-line Retail | 0.7 | 20,106,209 | |
Diversified Consumer Services | 0.7 | 19,443,187 | |
Containers & Packaging | 0.6 | 17,217,969 | |
Household Products | 0.5 | 14,614,332 | |
Hotels, Restaurants & Leisure | 0.5 | 13,389,600 | |
Electrical Equipment | 0.5 | 12,837,478 | |
Professional Services | 0.5 | 12,525,464 | |
Chemicals | 0.4 | 12,138,340 | |
TOTAL COMMON STOCKS AND RIGHTS | 99.7% | $2,712,475,514 | |
REPURCHASE AGREEMENT | 0.4 | 11,306,328 | |
TOTAL INVESTMENTS | 100.1% | $2,723,781,842 |
61 |
Shares | Value | ||
COMMON STOCKS* — 99.7% | |||
Airlines — 1.7% | |||
1,110 | Delta Air Lines, Inc. | $28,760 | |
Banks — 10.0% | |||
1,429 | Bank of America Corp. | 34,368 | |
578 | Citigroup, Inc. | 28,068 | |
1,039 | Citizens Financial Group, Inc. | 23,263 | |
1,642 | Fifth Third Bancorp | 30,689 | |
167 | JPMorgan Chase & Co. | 15,992 | |
1,593 | KeyCorp. | 18,558 | |
1,739 | Regions Financial Corp. | 18,694 | |
169,632 | |||
Biotechnology — 3.4% | |||
66 | Amgen, Inc. | 15,789 | |
41 | Biogen, Inc.1 | 12,170 | |
358 | Gilead Sciences, Inc. | 30,072 | |
58,031 | |||
Building Products — 2.2% | |||
153 | Fortune Brands Home & Security, Inc. | 7,375 | |
334 | Trane Technologies PLC | 29,198 | |
36,573 | |||
Capital Markets — 5.4% | |||
279 | Ameriprise Financial, Inc. | 32,068 | |
121 | CME Group, Inc. | 21,564 | |
431 | Intercontinental Exchange, Inc. | 38,553 | |
92,185 | |||
Chemicals — 2.6% | |||
649 | Axalta Coating Systems, Ltd.1 | 12,812 | |
317 | Corteva, Inc.1 | 8,302 | |
225 | Dow, Inc.1 | 8,255 | |
244 | LyondellBasell Industries N.V. - Class A | 14,140 | |
43,509 | |||
Consumer Finance — 2.9% | |||
1,588 | Ally Financial, Inc. | 26,027 | |
1,196 | Synchrony Financial | 23,669 | |
49,696 | |||
Diversified Consumer Services — 0.9% | |||
946 | H&R Block, Inc.2 | 15,751 | |
Diversified Telecommunication Services — 4.1% | |||
1,132 | AT&T, Inc. | 34,492 | |
3,226 | CenturyLink, Inc. | 34,260 | |
68,752 | |||
Electric Utilities — 4.5% | |||
726 | Exelon Corp. | 26,920 | |
236 | FirstEnergy Corp. | 9,740 | |
708 | Southern Co. (The) | 40,165 | |
76,825 | |||
Electrical Equipment — 2.0% | |||
412 | Eaton Corp. PLC | 34,402 | |
Energy Equipment & Services — 0.7% | |||
666 | Halliburton Co. | 6,993 |
62 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Energy Equipment & Services — (Continued) | |||
443 | National Oilwell Varco, Inc. | $5,600 | |
12,593 | |||
Equity Real Estate Investment Trusts — 4.3% | |||
87 | Boston Properties, Inc. | 8,455 | |
1,763 | Host Hotels & Resorts, Inc. | 21,702 | |
486 | Prologis, Inc. | 43,366 | |
73,523 | |||
Food & Staples Retailing — 1.9% | |||
765 | Kroger Co. (The) | 24,181 | |
182 | Walgreens Boots Alliance, Inc. | 7,879 | |
32,060 | |||
Food Products — 4.0% | |||
644 | General Mills, Inc. | 38,569 | |
476 | Tyson Foods, Inc. - Class A | 29,603 | |
68,172 | |||
Health Care Providers & Services — 6.2% | |||
111 | Anthem, Inc. | 31,161 | |
233 | Cardinal Health, Inc. | 11,529 | |
511 | CVS Health Corp. | 31,452 | |
224 | McKesson Corp. | 31,640 | |
105,782 | |||
Household Durables — 2.4% | |||
442 | DR Horton, Inc. | 20,871 | |
693 | PulteGroup, Inc. | 19,591 | |
40,462 | |||
Household Products — 1.2% | |||
283 | Colgate-Palmolive Co. | 19,886 | |
Independent Power & Renewable Electricity Producer — 1.2% | |||
1,507 | AES Corp. (The) | 19,968 | |
Insurance — 4.6% | |||
914 | Fidelity National Financial, Inc. | 24,724 | |
956 | MetLife, Inc. | 34,492 | |
533 | Principal Financial Group, Inc. | 19,407 | |
78,623 | |||
IT Services — 0.6% | |||
83 | International Business Machines Corp. | 10,421 | |
Machinery — 2.8% | |||
121 | Cummins, Inc. | 19,784 | |
119 | Oshkosh Corp. | 8,036 | |
119 | Parker-Hannifin Corp. | 18,816 | |
46,636 | |||
Media — 4.4% | |||
558 | Comcast Corp. - Class A | 20,998 | |
865 | Fox Corp. - Class A1 | 22,109 | |
541 | Omnicom Group, Inc. | 30,853 | |
73,960 | |||
Metals & Mining — 1.5% | |||
197 | Reliance Steel & Aluminum Co. | 17,647 |
63 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Metals & Mining — (Continued) | |||
336 | Steel Dynamics, Inc. | $8,155 | |
25,802 | |||
Multi-line Retail — 0.9% | |||
146 | Target Corp. | 16,022 | |
Oil, Gas & Consumable Fuels — 6.8% | |||
192 | Concho Resources, Inc. | 10,890 | |
649 | ConocoPhillips | 27,323 | |
306 | HollyFrontier Corp. | 10,110 | |
1,318 | Marathon Petroleum Corp. | 42,282 | |
400 | Valero Energy Corp. | 25,340 | |
115,945 | |||
Pharmaceuticals — 5.3% | |||
93 | Allergan PLC | 17,423 | |
666 | Bristol-Myers Squibb Co. | 40,499 | |
96 | Jazz Pharmaceuticals PLC1 | 10,584 | |
553 | Pfizer, Inc. | 21,213 | |
89,719 | |||
Professional Services — 0.5% | |||
580 | Nielsen Holdings PLC | 8,543 | |
Real Estate Management & Development — 2.0% | |||
771 | CBRE Group, Inc. - Class A1 | 33,099 | |
Semiconductors & Semiconductor Equipment — 3.3% | |||
659 | Applied Materials, Inc. | 32,739 | |
233 | Intel Corp. | 13,975 | |
201 | Micron Technology, Inc.1 | 9,626 | |
56,340 | |||
Specialty Retail — 1.9% | |||
417 | Best Buy Co., Inc. | 31,996 | |
Technology Hardware, Storage & Peripherals — 2.3% | |||
747 | Hewlett Packard Enterprise Co. | 7,515 | |
1,644 | HP, Inc. | 25,498 | |
293 | Xerox Holdings Corp.1 | 5,359 | |
38,372 | |||
Tobacco — 1.2% | |||
267 | Philip Morris International, Inc. | 19,918 | |
TOTAL COMMON STOCKS (Cost $1,890,045) | 1,691,958 | ||
TOTAL INVESTMENTS (Cost $1,890,045) | 99.7% | $1,691,958 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.3 | 5,566 | |
NET ASSETS | 100.0% | $1,697,524 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
64 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 10.0% | $169,632 | |
Oil, Gas & Consumable Fuels | 6.8 | 115,945 | |
Health Care Providers & Services | 6.2 | 105,782 | |
Capital Markets | 5.4 | 92,185 | |
Pharmaceuticals | 5.3 | 89,719 | |
Insurance | 4.6 | 78,623 | |
Electric Utilities | 4.5 | 76,825 | |
Media | 4.4 | 73,960 | |
Equity Real Estate Investment Trusts | 4.3 | 73,523 | |
Diversified Telecommunication Services | 4.1 | 68,752 | |
Food Products | 4.0 | 68,172 | |
Biotechnology | 3.4 | 58,031 | |
Semiconductors & Semiconductor Equipment | 3.3 | 56,340 | |
Consumer Finance | 2.9 | 49,696 | |
Machinery | 2.8 | 46,636 | |
Chemicals | 2.6 | 43,509 | |
Household Durables | 2.4 | 40,462 | |
Technology Hardware, Storage & Peripherals | 2.3 | 38,372 | |
Building Products | 2.2 | 36,573 | |
Electrical Equipment | 2.0 | 34,402 | |
Real Estate Management & Development | 2.0 | 33,099 | |
Food & Staples Retailing | 1.9 | 32,060 | |
Specialty Retail | 1.9 | 31,996 | |
Airlines | 1.7 | 28,760 | |
Metals & Mining | 1.5 | 25,802 | |
Independent Power & Renewable Electricity Producer | 1.2 | 19,968 | |
Tobacco | 1.2 | 19,918 | |
Household Products | 1.2 | 19,886 | |
Multi-line Retail | 0.9 | 16,022 | |
Diversified Consumer Services | 0.9 | 15,751 | |
Energy Equipment & Services | 0.7 | 12,593 | |
IT Services | 0.6 | 10,421 | |
Professional Services | 0.5 | 8,543 | |
TOTAL COMMON STOCKS | 99.7% | $1,691,958 | |
TOTAL INVESTMENTS | 99.7% | $1,691,958 |
65 |
Shares | Value | ||
COMMON STOCKS* — 99.4% | |||
Airlines — 0.3% | |||
188 | Hawaiian Holdings, Inc. | $2,707 | |
Banks — 10.5% | |||
1,003 | Cadence BanCorp | 6,640 | |
261 | Cathay General Bancorp | 7,287 | |
236 | Financial Institutions, Inc. | 4,566 | |
211 | First Financial Corp. | 7,495 | |
427 | First Midwest Bancorp, Inc. | 6,311 | |
226 | Hancock Whitney Corp. | 4,726 | |
467 | Home BancShares, Inc. | 7,159 | |
626 | Hope Bancorp, Inc. | 6,229 | |
224 | Independent Bank Group, Inc. | 6,789 | |
715 | Investors Bancorp, Inc. | 6,657 | |
527 | Lakeland Bancorp, Inc. | 5,897 | |
342 | Pacific Premier Bancorp, Inc. | 7,302 | |
271 | Peoples Bancorp, Inc. | 6,588 | |
187 | Preferred Bank/Los Angeles CA | 7,134 | |
90,780 | |||
Biotechnology — 8.9% | |||
263 | AnaptysBio, Inc.1 | 4,108 | |
1,076 | CytomX Therapeutics, Inc.1 | 11,104 | |
400 | Dicerna Pharmaceuticals, Inc.1 | 7,880 | |
182 | Editas Medicine, Inc.1,2 | 4,208 | |
597 | Intellia Therapeutics, Inc.1,2 | 8,042 | |
73 | Ligand Pharmaceuticals, Inc.1,2 | 7,196 | |
957 | MacroGenics, Inc.1 | 6,890 | |
240 | REGENXBIO, Inc.1 | 9,557 | |
721 | Retrophin, Inc.1 | 10,974 | |
621 | Vanda Pharmaceuticals, Inc.1 | 7,141 | |
77,100 | |||
Building Products — 4.1% | |||
1,568 | Cornerstone Building Brands, Inc.1 | 8,357 | |
205 | Gibraltar Industries, Inc.1 | 9,492 | |
64 | Masonite International Corp.1 | 3,781 | |
227 | Patrick Industries, Inc. | 9,357 | |
337 | Quanex Building Products Corp. | 4,202 | |
35,189 | |||
Capital Markets — 1.8% | |||
363 | Federated Hermes, Inc. | 8,265 | |
156 | Stifel Financial Corp. | 6,908 | |
15,173 | |||
Chemicals — 1.8% | |||
123 | Innospec, Inc. | 8,920 | |
265 | PolyOne Corp. | 6,172 | |
15,092 | |||
Commercial Services & Supplies — 1.2% | |||
109 | Brady Corp. - Class A | 4,746 | |
137 | Herman Miller, Inc. | 3,088 | |
211 | Knoll, Inc. | 2,460 | |
10,294 | |||
Communications Equipment — 0.8% | |||
617 | Digi International, Inc.1 | 7,003 |
66 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Construction & Engineering — 1.1% | |||
246 | Arcosa, Inc. | $9,168 | |
Diversified Consumer Services — 2.7% | |||
495 | K12, Inc.1 | 11,241 | |
538 | Laureate Education, Inc. - Class A1 | 5,095 | |
517 | Perdoceo Education Corp.1 | 6,721 | |
23,057 | |||
Electric Utilities — 1.6% | |||
98 | ALLETE, Inc. | 5,641 | |
179 | Otter Tail Corp. | 7,944 | |
13,585 | |||
Electrical Equipment — 0.6% | |||
211 | Atkore International Group, Inc.1 | 5,136 | |
Electronic Equipment, Instruments & Components — 4.6% | |||
153 | Fabrinet1 | 9,601 | |
159 | Insight Enterprises, Inc.1 | 8,632 | |
141 | Itron, Inc.1 | 9,845 | |
277 | Sanmina Corp.1 | 7,681 | |
300 | TTM Technologies, Inc.1 | 3,477 | |
39,236 | |||
Energy Equipment & Services — 0.2% | |||
418 | Oceaneering International, Inc.1 | 2,148 | |
Equity Real Estate Investment Trusts — 7.0% | |||
150 | American Assets Trust, Inc. | 4,248 | |
571 | City Office REIT, Inc. | 5,767 | |
787 | DiamondRock Hospitality Co. | 4,903 | |
82 | EastGroup Properties, Inc. | 8,692 | |
193 | First Industrial Realty Trust, Inc. | 7,290 | |
520 | Lexington Realty Trust | 5,434 | |
331 | National Storage Affiliates Trust | 9,427 | |
322 | STAG Industrial, Inc. | 8,452 | |
635 | Sunstone Hotel Investors, Inc. | 5,836 | |
60,049 | |||
Food & Staples Retailing — 1.2% | |||
200 | BJ’s Wholesale Club Holdings, Inc.1,2 | 5,262 | |
281 | SpartanNash Co. | 4,819 | |
10,081 | |||
Health Care Equipment & Supplies — 4.0% | |||
1,092 | Accuray, Inc.1 | 2,441 | |
1,295 | Invacare Corp. | 9,738 | |
1,204 | OraSure Technologies, Inc.1 | 19,192 | |
288 | SeaSpine Holdings Corp.1 | 2,966 | |
34,337 | |||
Health Care Providers & Services — 3.5% | |||
94 | Addus HomeCare Corp.1 | 7,616 | |
677 | Cross Country Healthcare, Inc.1 | 4,259 | |
615 | Select Medical Holdings Corp.1 | 10,498 | |
396 | Tenet Healthcare Corp.1 | 7,991 | |
30,364 | |||
Health Care Technology — 0.5% | |||
730 | Allscripts Healthcare Solutions, Inc.1 | 4,745 |
67 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Hotels, Restaurants & Leisure — 1.5% | |||
415 | Penn National Gaming, Inc.1 | $7,395 | |
365 | Twin River Worldwide Holdings, Inc. | 5,760 | |
13,155 | |||
Household Durables — 2.6% | |||
126 | Meritage Homes Corp.1 | 6,623 | |
248 | Taylor Morrison Home Corp.1 | 3,608 | |
52 | TopBuild Corp.1 | 4,846 | |
629 | TRI Pointe Group, Inc.1 | 7,221 | |
22,298 | |||
Household Products — 0.5% | |||
141 | Central Garden & Pet Co. - Class A1 | 4,288 | |
Insurance — 2.7% | |||
150 | AMERISAFE, Inc. | 9,551 | |
486 | CNO Financial Group, Inc. | 6,833 | |
201 | Horace Mann Educators Corp. | 7,067 | |
23,451 | |||
Interactive Media & Services — 1.7% | |||
1,710 | Meet Group, Inc. (The)1 | 10,551 | |
166 | Yelp, Inc.1 | 3,710 | |
14,261 | |||
IT Services — 3.4% | |||
134 | Cardtronics PLC - Class A1 | 3,069 | |
536 | NIC, Inc. | 12,987 | |
372 | Perficient, Inc.1 | 12,957 | |
29,013 | |||
Machinery — 2.4% | |||
203 | Meritor, Inc.1 | 4,162 | |
350 | Rexnord Corp. | 9,544 | |
86 | Watts Water Technologies, Inc. - Class A | 7,086 | |
20,792 | |||
Marine — 0.6% | |||
1,001 | Costamare, Inc. | 5,025 | |
Media — 1.3% | |||
235 | Meredith Corp. | 3,485 | |
181 | TechTarget, Inc.1 | 4,221 | |
341 | TEGNA, Inc. | 3,655 | |
11,361 | |||
Metals & Mining — 1.1% | |||
210 | Commercial Metals Co. | 3,347 | |
90 | Kaiser Aluminum Corp. | 6,501 | |
9,848 | |||
Mortgage Real Estate Investment Trusts — 1.2% | |||
11 | Great Ajax Corp. | 95 | |
1,533 | Invesco Mortgage Capital, Inc.2 | 4,660 | |
707 | TPG RE Finance Trust, Inc. | 5,437 | |
10,192 | |||
Multi-Utilities — 1.3% | |||
122 | Avista Corp. | 5,251 |
68 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Multi-Utilities — (Continued) | |||
116 | Unitil Corp. | $5,836 | |
11,087 | |||
Oil, Gas & Consumable Fuels — 3.4% | |||
422 | Delek US Holdings, Inc. | 9,854 | |
527 | Teekay Tankers, Ltd. - Class A1 | 10,703 | |
363 | World Fuel Services Corp. | 9,075 | |
29,632 | |||
Pharmaceuticals — 3.4% | |||
781 | Alder Biopharmaceuticals, Inc.1,3 | 0 | |
337 | Collegium Pharmaceutical, Inc.1 | 6,969 | |
262 | Horizon Therapeutics PLC1 | 9,443 | |
3,101 | Mallinckrodt PLC1,2 | 12,590 | |
29,002 | |||
Professional Services — 3.1% | |||
162 | ASGN, Inc.1 | 7,525 | |
104 | Barrett Business Services, Inc. | 5,087 | |
314 | Heidrick & Struggles International, Inc. | 7,046 | |
286 | Kelly Services, Inc. - Class A | 4,419 | |
106 | Korn Ferry | 3,056 | |
27,133 | |||
Real Estate Management & Development — 1.1% | |||
343 | Cushman & Wakefield PLC1,2 | 4,174 | |
1,434 | Newmark Group, Inc. - Class A | 5,564 | |
9,738 | |||
Semiconductors & Semiconductor Equipment — 2.5% | |||
178 | Diodes, Inc.1 | 9,059 | |
289 | Kulicke & Soffa Industries, Inc. | 6,927 | |
385 | Xperi Corp. | 5,883 | |
21,869 | |||
Software — 2.4% | |||
104 | Progress Software Corp. | 4,255 | |
165 | SPS Commerce, Inc.1 | 9,159 | |
171 | Verint Systems, Inc.1 | 7,308 | |
20,722 | |||
Specialty Retail — 2.3% | |||
257 | Boot Barn Holdings, Inc.1 | 4,744 | |
108 | Group 1 Automotive, Inc. | 6,112 | |
233 | Shoe Carnival, Inc. | 5,504 | |
174 | Zumiez, Inc.1 | 3,678 | |
20,038 | |||
Textiles, Apparel & Luxury Goods — 1.5% | |||
86 | Deckers Outdoor Corp.1 | 12,793 | |
Thrifts & Mortgage Finance — 2.2% | |||
297 | First Defiance Financial Corp. | 5,162 | |
571 | Meridian Bancorp, Inc. | 6,726 | |
447 | Radian Group, Inc. | 6,696 | |
18,584 |
69 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Trading Companies & Distributors — 0.8% | |||
319 | BMC Stock Holdings, Inc.1 | $6,779 | |
TOTAL COMMON STOCKS (Cost $929,838) | 856,305 | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 2.3% | |||
19,933 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 19,933 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $19,933) | 19,933 | ||
TOTAL INVESTMENTS (Cost $949,771) | 101.7% | $876,238 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.7) | (14,454) | |
NET ASSETS | 100.0% | $861,784 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
3 | For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 1 of the Notes to Financial Statements). |
4 | Represents an investment of securities lending cash collateral. |
70 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 10.5% | $90,780 | |
Biotechnology | 8.9 | 77,100 | |
Equity Real Estate Investment Trusts | 7.0 | 60,049 | |
Electronic Equipment, Instruments & Components | 4.6 | 39,236 | |
Building Products | 4.1 | 35,189 | |
Health Care Equipment & Supplies | 4.0 | 34,337 | |
Health Care Providers & Services | 3.5 | 30,364 | |
Oil, Gas & Consumable Fuels | 3.4 | 29,632 | |
IT Services | 3.4 | 29,013 | |
Pharmaceuticals | 3.4 | 29,002 | |
Professional Services | 3.1 | 27,133 | |
Insurance | 2.7 | 23,451 | |
Diversified Consumer Services | 2.7 | 23,057 | |
Household Durables | 2.6 | 22,298 | |
Semiconductors & Semiconductor Equipment | 2.5 | 21,869 | |
Machinery | 2.4 | 20,792 | |
Software | 2.4 | 20,722 | |
Specialty Retail | 2.3 | 20,038 | |
Thrifts & Mortgage Finance | 2.2 | 18,584 | |
Capital Markets | 1.8 | 15,173 | |
Chemicals | 1.8 | 15,092 | |
Interactive Media & Services | 1.7 | 14,261 | |
Electric Utilities | 1.6 | 13,585 | |
Hotels, Restaurants & Leisure | 1.5 | 13,155 | |
Textiles, Apparel & Luxury Goods | 1.5 | 12,793 | |
Media | 1.3 | 11,361 | |
Multi-Utilities | 1.3 | 11,087 | |
Commercial Services & Supplies | 1.2 | 10,294 | |
Mortgage Real Estate Investment Trusts | 1.2 | 10,192 | |
Food & Staples Retailing | 1.2 | 10,081 | |
Metals & Mining | 1.1 | 9,848 | |
Real Estate Management & Development | 1.1 | 9,738 | |
Construction & Engineering | 1.1 | 9,168 | |
Communications Equipment | 0.8 | 7,003 | |
Trading Companies & Distributors | 0.8 | 6,779 | |
Electrical Equipment | 0.6 | 5,136 | |
Marine | 0.6 | 5,025 | |
Health Care Technology | 0.5 | 4,745 | |
Household Products | 0.5 | 4,288 | |
Airlines | 0.3 | 2,707 | |
Energy Equipment & Services | 0.2 | 2,148 | |
TOTAL COMMON STOCKS | 99.4% | $856,305 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 2.3 | 19,933 | |
TOTAL INVESTMENTS | 101.7% | $876,238 |
71 |
Shares | Value | ||
COMMON STOCKS* — 98.8% | |||
Japan — 26.4% | |||
167,216 | Astellas Pharma, Inc., Unsponsored ADR | $2,733,982 | |
66,831 | Dai Nippon Printing Co, Ltd., Sponsored ADR1 | 706,404 | |
69,120 | Daito Trust Construction Co., Ltd., Sponsored ADR1 | 1,656,115 | |
117,125 | Daiwa House Industry Co., Ltd., Unsponsored ADR1 | 2,959,749 | |
30,261 | FUJIFILM Holdings Corp., Unsponsored ADR | 1,437,095 | |
105,738 | Fujitsu, Ltd., Unsponsored ADR | 2,035,456 | |
23,297 | Hitachi, Ltd., ADR1 | 1,384,075 | |
74,560 | ITOCHU Corp., Unsponsored ADR1 | 2,925,734 | |
70,372 | KDDI Corp., Unsponsored ADR1 | 1,007,727 | |
100,266 | Nippon Telegraph & Telephone Corp., ADR | 2,266,022 | |
40,093 | Sekisui House, Ltd., Sponsored ADR1 | 682,383 | |
45,104 | Sony Corp., Sponsored ADR | 2,897,932 | |
7,861 | TDK Corp., Sponsored ADR1 | 675,181 | |
46,154 | Tokyo Electron, Ltd., Unsponsored ADR | 2,466,931 | |
4,201 | Toyota Motor Corp., Sponsored ADR | 519,202 | |
26,353,988 | |||
United Kingdom — 14.2% | |||
113,403 | Anglo American PLC, Sponsored ADR1 | 1,009,275 | |
85,919 | BAE Systems PLC, Sponsored ADR | 2,199,526 | |
75,426 | British American Tobacco PLC, Sponsored ADR1 | 2,877,502 | |
69,142 | GlaxoSmithKline PLC, Sponsored ADR1 | 2,908,804 | |
34,725 | Imperial Brands PLC, Sponsored ADR1 | 734,121 | |
44,318 | RELX PLC, Sponsored ADR | 1,004,246 | |
9,677 | Rio Tinto PLC, Sponsored ADR | 446,981 | |
30,393 | Smith & Nephew PLC, Sponsored ADR1 | 1,205,690 | |
46,704 | Vodafone Group PLC, Sponsored ADR | 660,395 | |
30,504 | WPP PLC, Sponsored ADR1 | 1,180,810 | |
14,227,350 | |||
France — 10.6% | |||
151,598 | BNP Paribas SA, ADR | 2,386,152 | |
57,899 | Cie Generale des Etablissements Michelin SCA, Unsponsored ADR | 1,122,083 | |
213,305 | Danone SA, Sponsored ADR | 2,941,476 | |
118,648 | Engie SA, Sponsored ADR | 1,292,670 | |
75,874 | Peugeot SA, Unsponsored ADR | 1,069,672 | |
96,293 | Publicis Groupe SA, ADR | 708,716 | |
68,342 | Sodexo SA, Sponsored ADR | 1,109,874 | |
10,630,643 | |||
Germany — 7.4% | |||
80,674 | Deutsche Post AG, Sponsored ADR | 2,389,564 | |
50,111 | Deutsche Telekom AG, Sponsored ADR2 | 727,617 | |
70,891 | Henkel AG & Co. KGaA, Sponsored ADR | 1,567,754 | |
95,805 | Muenchener Rueckversicherungs-Gesellschaft AG, Unsponsored ADR | 2,165,193 | |
12,259 | Siemens AG, Sponsored ADR | 565,931 | |
7,416,059 | |||
Switzerland — 6.8% | |||
60,204 | Credit Suisse Group AG, Sponsored ADR | 544,244 | |
32,590 | Novartis AG, Sponsored ADR | 2,761,351 | |
64,925 | Roche Holding AG, Sponsored ADR | 2,822,290 | |
19,513 | Sonova Holding AG, Unsponsored ADR1 | 700,712 | |
6,828,597 | |||
Canada — 6.6% | |||
63,030 | Barrick Gold Corp. | 1,621,131 | |
47,274 | Enbridge, Inc. | 1,450,366 |
72 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Canada — (Continued) | |||
25,291 | Royal Bank of Canada | $1,557,673 | |
42,813 | TC Energy Corp. | 1,984,811 | |
6,613,981 | |||
Sweden — 4.0% | |||
38,729 | Essity AB, Sponsored ADR2 | 1,254,626 | |
334,652 | Skandinaviska Enskilda Banken AB, ADR1 | 2,777,612 | |
4,032,238 | |||
Spain — 4.0% | |||
27,768 | Iberdrola SA, Sponsored ADR1 | 1,098,502 | |
165,372 | Industria de Diseno Textil SA, Unsponsored ADR | 2,085,341 | |
95,196 | Red Electrica Corp. SA, Unsponsored ADR | 828,205 | |
4,012,048 | |||
Singapore — 3.7% | |||
6,643 | DBS Group Holdings, Ltd., Sponsored ADR | 371,344 | |
26,522 | Singapore Exchange, Ltd., Unsponsored ADR1 | 2,688,800 | |
23,231 | United Overseas Bank, Ltd., Sponsored ADR1 | 657,207 | |
3,717,351 | |||
Australia — 3.2% | |||
492,093 | QBE Insurance Group, Ltd., Sponsored ADR1 | 2,647,509 | |
43,293 | Wesfarmers, Ltd., Unsponsored ADR1 | 519,906 | |
3,167,415 | |||
Netherlands — 3.1% | |||
22,419 | Akzo Nobel N.V., Sponsored ADR1,2 | 566,752 | |
69,119 | Koninklijke Ahold Delhaize N.V., Sponsored ADR | 1,667,150 | |
56,636 | NN Group N.V., Unsponsored ADR1 | 814,426 | |
3,048,328 | |||
Ireland — 2.3% | |||
77,239 | CRH PLC, Sponsored ADR | 2,326,439 | |
Hong Kong — 2.2% | |||
13,426 | BOC Hong Kong Holdings, Ltd., Sponsored ADR1 | 816,032 | |
70,740 | WH Group, Ltd., Sponsored ADR | 1,334,871 | |
2,150,903 | |||
Italy — 1.5% | |||
160,691 | Intesa Sanpaolo SPA, Sponsored ADR | 1,481,571 | |
Bermuda — 1.4% | |||
30,616 | Jardine Matheson Holdings, Ltd., Sponsored ADR | 1,351,697 | |
Finland — 1.4% | |||
76,690 | Neste Oyj, Sponsored ADR1 | 1,347,443 | |
TOTAL COMMON STOCKS (Cost $102,449,643) | 98,706,051 | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 7.4% | |||
7,334,289 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 7,334,289 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $7,334,289) | 7,334,289 |
73 |
Face Amount | Value | ||
REPURCHASE AGREEMENT*—0.2% | |||
$206,915 | With Fixed Income Clearing Corp., dated 4/30/20, 0.00%, principal and interest in the amount of $206,915, due 5/1/20, (collateralized by a a U.S. Treasury Note with a par value of $205,000, coupon rate of 2.625%, due 6/15/2021, market value of $212,655) | $206,915 | |
TOTAL REPURCHASE AGREEMENT (Cost $206,915) | 206,915 | ||
TOTAL INVESTMENTS (Cost $109,990,847) | 106.4% | $106,247,255 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (6.4) | (6,357,408) | |
NET ASSETS | 100.0% | $99,889,847 |
* | Percentages indicated are based on net assets. |
1 | Securities or partial securities on loan. See Note 1. |
2 | Non income-producing security. |
3 | Represents an investment of securities lending cash collateral. |
Abbreviatons: |
ADR — American Depositary Receipt |
74 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Pharmaceuticals | 11.3% | $11,226,426 | |
Banks | 10.1 | 10,047,591 | |
Insurance | 5.6 | 5,627,128 | |
Oil, Gas & Consumable Fuels | 4.8 | 4,782,620 | |
Real Estate Management & Development | 4.6 | 4,615,864 | |
Food Products | 4.3 | 4,276,347 | |
Tobacco | 3.6 | 3,611,623 | |
Household Durables | 3.6 | 3,580,315 | |
Capital Markets | 3.2 | 3,233,045 | |
Metals & Mining | 3.1 | 3,077,388 | |
Diversified Telecommunication Services | 3.0 | 2,993,638 | |
Trading Companies & Distributors | 2.9 | 2,925,734 | |
Household Products | 2.8 | 2,822,381 | |
Semiconductors & Semiconductor Equipment | 2.5 | 2,466,931 | |
Air Freight & Logistics | 2.4 | 2,389,564 | |
Construction Materials | 2.3 | 2,326,439 | |
Aerospace & Defense | 2.2 | 2,199,526 | |
Specialty Retail | 2.1 | 2,085,341 | |
Electronic Equipment, Instruments & Components | 2.1 | 2,059,256 | |
IT Services | 2.0 | 2,035,457 | |
Electric Utilities | 1.9 | 1,926,707 | |
Industrial Conglomerates | 1.9 | 1,917,627 | |
Health Care Equipment & Supplies | 1.9 | 1,906,402 | |
Media | 1.9 | 1,889,526 | |
Wireless Telecommunication Services | 1.7 | 1,668,122 | |
Food & Staples Retailing | 1.7 | 1,667,150 | |
Automobiles | 1.6 | 1,588,873 | |
Technology Hardware, Storage & Peripherals | 1.4 | 1,437,095 | |
Multi-Utilities | 1.3 | 1,292,670 | |
Auto Components | 1.1 | 1,122,083 | |
Hotels, Restaurants & Leisure | 1.1 | 1,109,874 | |
Professional Services | 1.0 | 1,004,246 | |
Commercial Services & Supplies | 0.7 | 706,404 | |
Chemicals | 0.6 | 566,752 | |
Multi-line Retail | 0.5 | 519,906 | |
TOTAL COMMON STOCKS | 98.8% | $98,706,051 | |
REPURCHASE AGREEMENT | 0.2 | 206,915 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 7.4 | 7,334,289 | |
TOTAL INVESTMENTS | 106.4% | $106,247,255 |
75 |
Shares | Value | ||
COMMON STOCKS* — 99.9% | |||
Aerospace & Defense — 1.4% | |||
4,564 | Raytheon Technologies Corp. | $295,793 | |
Air Freight & Logistics — 1.5% | |||
4,354 | Expeditors International of Washington, Inc. | 311,768 | |
Banks — 5.9% | |||
12,114 | Bank of America Corp. | 291,342 | |
7,033 | Citigroup, Inc. | 341,522 | |
8,822 | Comerica, Inc. | 307,535 | |
5,294 | Fifth Third Bancorp | 98,945 | |
7,665 | First Horizon National Corp. | 69,598 | |
15,019 | Regions Financial Corp. | 161,454 | |
1,270,396 | |||
Beverages — 0.6% | |||
4,500 | Keurig Dr Pepper, Inc. | 119,070 | |
Biotechnology — 5.6% | |||
2,643 | AbbVie, Inc. | 217,255 | |
1,646 | Amgen, Inc. | 393,756 | |
1,350 | Biogen, Inc.1 | 400,720 | |
2,197 | Gilead Sciences, Inc. | 184,548 | |
1,196,279 | |||
Building Products — 0.9% | |||
2,176 | Trane Technologies PLC | 190,226 | |
Capital Markets — 3.6% | |||
2,715 | Ameriprise Financial, Inc. | 312,062 | |
1,603 | LPL Financial Holdings, Inc. | 96,533 | |
1,200 | Northern Trust Corp. | 94,992 | |
2,393 | T Rowe Price Group, Inc. | 276,702 | |
780,289 | |||
Chemicals — 1.9% | |||
4,865 | Axalta Coating Systems, Ltd.1 | 96,035 | |
12,105 | Corteva, Inc.1 | 317,030 | |
413,065 | |||
Communications Equipment — 3.3% | |||
8,406 | Cisco Systems, Inc. | 356,246 | |
16,105 | Juniper Networks, Inc. | 347,868 | |
704,114 | |||
Consumer Finance — 1.1% | |||
13,977 | Ally Financial, Inc. | 229,083 | |
Diversified Consumer Services — 1.2% | |||
16,081 | H&R Block, Inc.2 | 267,749 | |
Diversified Telecommunication Services — 0.5% | |||
3,672 | AT&T, Inc. | 111,886 | |
Electric Utilities — 1.0% | |||
5,904 | Exelon Corp. | 218,920 | |
Electrical Equipment — 0.5% | |||
883 | Hubbell, Inc. | 109,872 | |
Electronic Equipment, Instruments & Components — 2.0% | |||
3,461 | Keysight Technologies, Inc.1 | 334,921 |
76 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electronic Equipment, Instruments & Components — (Continued) | |||
1,371 | TE Connectivity, Ltd. | $100,714 | |
435,635 | |||
Energy Equipment & Services — 2.1% | |||
17,768 | National Oilwell Varco, Inc. | 224,587 | |
24,323 | TechnipFMC PLC | 216,718 | |
441,305 | |||
Entertainment — 4.9% | |||
6,342 | Activision Blizzard, Inc. | 404,176 | |
3,860 | Electronic Arts, Inc.1 | 441,044 | |
1,706 | Take-Two Interactive Software, Inc.1 | 206,511 | |
1,051,731 | |||
Equity Real Estate Investment Trusts — 2.6% | |||
990 | American Tower Corp. | 235,620 | |
156 | Equinix, Inc. | 105,331 | |
2,450 | Prologis, Inc. | 218,614 | |
559,565 | |||
Food & Staples Retailing — 1.9% | |||
4,937 | Kroger Co. (The) | 156,059 | |
4,322 | Sysco Corp. | 243,199 | |
399,258 | |||
Food Products — 2.6% | |||
7,484 | General Mills, Inc. | 448,217 | |
1,347 | Ingredion, Inc. | 109,376 | |
557,593 | |||
Health Care Equipment & Supplies — 1.7% | |||
1,928 | West Pharmaceutical Services, Inc. | 364,893 | |
Health Care Providers & Services — 4.4% | |||
2,436 | AmerisourceBergen Corp. | 218,412 | |
5,359 | Centene Corp.1 | 356,802 | |
959 | Humana, Inc. | 366,165 | |
941,379 | |||
Hotels, Restaurants & Leisure — 0.5% | |||
6,250 | Norwegian Cruise Line Holdings, Ltd.1,2 | 102,500 | |
Household Durables — 0.7% | |||
49 | NVR, Inc.1 | 151,900 | |
Household Products — 1.3% | |||
4,102 | Colgate-Palmolive Co. | 288,248 | |
Independent Power & Renewable Electricity Producer — 1.3% | |||
21,660 | AES Corp. (The) | 286,995 | |
Industrial Conglomerates — 1.2% | |||
1,830 | Honeywell International, Inc. | 259,677 | |
Insurance — 2.7% | |||
8,794 | MetLife, Inc. | 317,287 | |
2,708 | Principal Financial Group, Inc. | 98,598 | |
947 | Willis Towers Watson PLC | 168,841 | |
584,726 |
77 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Interactive Media & Services — 3.6% | |||
276 | Alphabet, Inc. - Class A1 | $371,689 | |
1,969 | Facebook, Inc. - Class A1 | 403,074 | |
774,763 | |||
Internet & Direct Marketing Retail — 1.8% | |||
9,492 | eBay, Inc. | 378,066 | |
IT Services — 6.6% | |||
1,647 | Accenture PLC - Class A | 305,008 | |
2,213 | Cognizant Technology Solutions Corp. - Class A | 128,398 | |
3,255 | Leidos Holdings, Inc. | 321,627 | |
3,761 | PayPal Holdings, Inc.1 | 462,603 | |
1,178 | Visa, Inc. - Class A | 210,532 | |
1,428,168 | |||
Machinery — 1.3% | |||
3,829 | Allison Transmission Holdings, Inc. | 139,146 | |
2,000 | Oshkosh Corp. | 135,060 | |
274,206 | |||
Media — 1.5% | |||
5,641 | Omnicom Group, Inc. | 321,706 | |
Metals & Mining — 1.3% | |||
2,000 | Newmont Corp. | 118,960 | |
1,885 | Reliance Steel & Aluminum Co. | 168,858 | |
287,818 | |||
Multi-line Retail — 2.9% | |||
11,125 | Nordstrom, Inc. | 208,927 | |
3,848 | Target Corp. | 422,280 | |
631,207 | |||
Oil, Gas & Consumable Fuels — 0.9% | |||
5,883 | Marathon Petroleum Corp. | 188,727 | |
Pharmaceuticals — 2.5% | |||
6,297 | Bristol-Myers Squibb Co. | 382,920 | |
992 | Eli Lilly and Co. | 153,403 | |
536,323 | |||
Professional Services — 1.1% | |||
2,050 | ManpowerGroup, Inc. | 152,192 | |
1,040 | TransUnion | 81,942 | |
234,134 | |||
Real Estate Management & Development — 1.9% | |||
7,316 | CBRE Group, Inc. - Class A1 | 314,076 | |
847 | Jones Lang LaSalle, Inc. | 89,426 | |
403,502 | |||
Semiconductors & Semiconductor Equipment — 4.1% | |||
7,730 | Applied Materials, Inc. | 384,026 | |
2,372 | Intel Corp. | 142,273 | |
1,018 | Lam Research Corp. | 259,875 | |
2,124 | Micron Technology, Inc.1 | 101,718 | |
887,892 | |||
Software — 6.0% | |||
4,176 | Cadence Design Systems, Inc.1 | 338,799 |
78 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Software — (Continued) | |||
4,269 | Fortinet, Inc.1 | $459,942 | |
2,772 | Microsoft Corp. | 496,770 | |
1,295,511 | |||
Specialty Retail — 2.6% | |||
4,774 | Best Buy Co., Inc. | 366,309 | |
3,729 | TJX Cos., Inc. (The) | 182,908 | |
549,217 | |||
Technology Hardware, Storage & Peripherals — 1.6% | |||
15,302 | Hewlett Packard Enterprise Co. | 153,938 | |
10,854 | Xerox Holdings Corp.1 | 198,520 | |
352,458 | |||
Textiles, Apparel & Luxury Goods — 1.3% | |||
1,948 | Deckers Outdoor Corp.1 | 289,785 | |
TOTAL COMMON STOCKS (Cost $20,942,701) | 21,477,398 | ||
TOTAL INVESTMENTS (Cost $20,942,701) | 99.9% | $21,477,398 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.1 | 18,333 | |
NET ASSETS | 100.0% | $21,495,731 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
79 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
IT Services | 6.6% | $1,428,168 | |
Software | 6.0 | 1,295,511 | |
Banks | 5.9 | 1,270,396 | |
Biotechnology | 5.6 | 1,196,279 | |
Entertainment | 4.9 | 1,051,731 | |
Health Care Providers & Services | 4.4 | 941,379 | |
Semiconductors & Semiconductor Equipment | 4.1 | 887,892 | |
Capital Markets | 3.6 | 780,289 | |
Interactive Media & Services | 3.6 | 774,763 | |
Communications Equipment | 3.3 | 704,114 | |
Multi-line Retail | 2.9 | 631,207 | |
Insurance | 2.7 | 584,726 | |
Equity Real Estate Investment Trusts | 2.6 | 559,565 | |
Food Products | 2.6 | 557,593 | |
Specialty Retail | 2.6 | 549,217 | |
Pharmaceuticals | 2.5 | 536,323 | |
Energy Equipment & Services | 2.1 | 441,305 | |
Electronic Equipment, Instruments & Components | 2.0 | 435,635 | |
Chemicals | 1.9 | 413,065 | |
Real Estate Management & Development | 1.9 | 403,502 | |
Food & Staples Retailing | 1.9 | 399,258 | |
Internet & Direct Marketing Retail | 1.8 | 378,066 | |
Health Care Equipment & Supplies | 1.7 | 364,893 | |
Technology Hardware, Storage & Peripherals | 1.6 | 352,458 | |
Media | 1.5 | 321,706 | |
Air Freight & Logistics | 1.5 | 311,768 | |
Aerospace & Defense | 1.4 | 295,793 | |
Textiles, Apparel & Luxury Goods | 1.3 | 289,785 | |
Household Products | 1.3 | 288,248 | |
Metals & Mining | 1.3 | 287,818 | |
Independent Power & Renewable Electricity Producer | 1.3 | 286,995 | |
Machinery | 1.3 | 274,206 | |
Diversified Consumer Services | 1.2 | 267,749 | |
Industrial Conglomerates | 1.2 | 259,677 | |
Professional Services | 1.1 | 234,134 | |
Consumer Finance | 1.1 | 229,083 | |
Electric Utilities | 1.0 | 218,920 | |
Building Products | 0.9 | 190,226 | |
Oil, Gas & Consumable Fuels | 0.9 | 188,727 | |
Household Durables | 0.7 | 151,900 | |
Beverages | 0.6 | 119,070 | |
Diversified Telecommunication Services | 0.5 | 111,886 | |
Electrical Equipment | 0.5 | 109,872 | |
Hotels, Restaurants & Leisure | 0.5 | 102,500 | |
TOTAL COMMON STOCKS | 99.9% | $21,477,398 | |
TOTAL INVESTMENTS | 99.9% | $21,477,398 |
80 |
Shares | Value | ||
COMMON STOCKS* — 99.4% | |||
Airlines — 0.6% | |||
3,746 | Alaska Air Group, Inc. | $121,820 | |
Banks — 5.0% | |||
6,895 | Bank of America Corp. | 165,825 | |
10,103 | Citigroup, Inc. | 490,602 | |
3,063 | Comerica, Inc. | 106,776 | |
6,900 | East West Bancorp, Inc. | 241,983 | |
1,005,186 | |||
Biotechnology — 3.8% | |||
3,718 | AbbVie, Inc. | 305,620 | |
974 | Alexion Pharmaceuticals, Inc.1 | 104,676 | |
820 | Amgen, Inc. | 196,160 | |
551 | Biogen, Inc.1 | 163,553 | |
770,009 | |||
Building Products — 1.5% | |||
3,574 | Trane Technologies PLC | 312,439 | |
Capital Markets — 3.1% | |||
1,083 | Ameriprise Financial, Inc. | 124,480 | |
5,580 | Intercontinental Exchange, Inc. | 499,131 | |
623,611 | |||
Chemicals — 0.9% | |||
7,300 | Corteva, Inc.1 | 191,187 | |
Communications Equipment — 2.1% | |||
10,015 | Cisco Systems, Inc. | 424,436 | |
Consumer Finance — 2.1% | |||
11,582 | Ally Financial, Inc. | 189,829 | |
11,589 | Synchrony Financial | 229,346 | |
419,175 | |||
Diversified Consumer Services — 3.0% | |||
19,770 | H&R Block, Inc.2 | 329,170 | |
7,374 | Service Corp. International | 270,921 | |
600,091 | |||
Diversified Telecommunication Services — 1.5% | |||
9,621 | AT&T, Inc. | 293,152 | |
Electric Utilities — 1.4% | |||
4,846 | PPL Corp. | 123,185 | |
2,800 | Southern Co. (The) | 158,844 | |
282,029 | |||
Electrical Equipment — 2.8% | |||
4,241 | AMETEK, Inc. | 355,693 | |
2,600 | Eaton Corp. PLC | 217,100 | |
572,793 | |||
Electronic Equipment, Instruments & Components — 1.8% | |||
3,079 | Jabil, Inc. | 87,567 | |
2,829 | Keysight Technologies, Inc.1 | 273,762 | |
361,329 | |||
Energy Equipment & Services — 2.1% | |||
7,162 | Baker Hughes Co. | 99,910 |
81 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Energy Equipment & Services — (Continued) | |||
25,875 | National Oilwell Varco, Inc. | $327,060 | |
426,970 | |||
Entertainment — 2.1% | |||
3,680 | Electronic Arts, Inc.1 | 420,477 | |
Equity Real Estate Investment Trusts — 2.9% | |||
1,946 | American Tower Corp. | 463,148 | |
175 | Equinix, Inc. | 118,160 | |
581,308 | |||
Food & Staples Retailing — 1.7% | |||
2,600 | Sysco Corp. | 146,302 | |
8,907 | US Foods Holding Corp.1 | 191,501 | |
337,803 | |||
Food Products — 2.7% | |||
7,887 | General Mills, Inc. | 472,353 | |
1,181 | Tyson Foods, Inc. - Class A | 73,446 | |
545,799 | |||
Health Care Providers & Services — 6.3% | |||
794 | Anthem, Inc. | 222,900 | |
2,063 | Cardinal Health, Inc. | 102,077 | |
6,794 | DaVita, Inc.1 | 536,794 | |
2,961 | McKesson Corp. | 418,241 | |
1,280,012 | |||
Hotels, Restaurants & Leisure — 0.3% | |||
3,987 | Norwegian Cruise Line Holdings, Ltd.1,2 | 65,387 | |
Household Durables — 1.2% | |||
4,925 | DR Horton, Inc. | 232,559 | |
Household Products — 1.7% | |||
4,904 | Colgate-Palmolive Co. | 344,604 | |
Independent Power & Renewable Electricity Producer — 1.2% | |||
17,919 | AES Corp. (The) | 237,427 | |
Industrial Conglomerates — 0.5% | |||
695 | Honeywell International, Inc. | 98,621 | |
Insurance — 3.5% | |||
7,994 | Fidelity National Financial, Inc. | 216,238 | |
10,524 | MetLife, Inc. | 379,706 | |
6,100 | Unum Group | 106,445 | |
702,389 | |||
Interactive Media & Service — 3.0% | |||
2,993 | Facebook, Inc. - Class A1 | 612,697 | |
Internet & Direct Marketing Retail — 1.5% | |||
3,000 | eBay, Inc. | 119,490 | |
2,585 | Expedia Group, Inc. | 183,483 | |
302,973 | |||
IT Services — 7.2% | |||
1,190 | Accenture PLC - Class A | 220,376 | |
5,377 | Akamai Technologies, Inc.1 | 525,387 | |
4,291 | Genpact, Ltd. | 147,739 |
82 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
IT Services — (Continued) | |||
4,517 | PayPal Holdings, Inc.1 | $555,591 | |
1,449,093 | |||
Media — 4.1% | |||
13,076 | Comcast Corp. - Class A | 492,050 | |
5,932 | Omnicom Group, Inc. | 338,302 | |
830,352 | |||
Metals & Mining — 1.7% | |||
3,937 | Reliance Steel & Aluminum Co. | 352,676 | |
Multi-line Retail — 2.2% | |||
4,022 | Target Corp. | 441,374 | |
Pharmaceuticals — 4.1% | |||
9,323 | Bristol-Myers Squibb Co. | 566,932 | |
2,425 | Jazz Pharmaceuticals PLC1 | 267,356 | |
834,288 | |||
Professional Services — 1.3% | |||
1,321 | ManpowerGroup, Inc. | 98,071 | |
11,091 | Nielsen Holdings PLC | 163,370 | |
261,441 | |||
Real Estate Management & Development — 2.1% | |||
9,640 | CBRE Group, Inc. - Class A1 | 413,845 | |
Road & Rail — 0.5% | |||
937 | Landstar System, Inc. | 96,801 | |
Semiconductors & Semiconductor Equipment — 4.1% | |||
4,400 | Intel Corp. | 263,912 | |
1,830 | Lam Research Corp. | 467,162 | |
1,702 | Teradyne, Inc. | 106,443 | |
837,517 | |||
Software — 4.9% | |||
1,576 | Cadence Design Systems, Inc.1 | 127,861 | |
1,600 | Fortinet, Inc.1 | 172,384 | |
2,712 | Microsoft Corp. | 486,017 | |
3,770 | Oracle Corp. | 199,697 | |
985,959 | |||
Specialty Retail — 3.2% | |||
5,898 | Best Buy Co., Inc. | 452,554 | |
2,215 | Ross Stores, Inc. | 202,362 | |
654,916 | |||
Technology Hardware, Storage & Peripherals — 3.2% | |||
738 | Apple, Inc. | 216,824 | |
17,787 | Hewlett Packard Enterprise Co. | 178,937 | |
13,578 | Xerox Holdings Corp.1 | 248,342 | |
644,103 | |||
Textiles, Apparel & Luxury Goods — 0.5% | |||
1,389 | Ralph Lauren Corp. | 102,480 | |
TOTAL COMMON STOCKS (Cost $19,631,970) | 20,071,128 |
83 |
Shares | Value | ||
RIGHTS* — 0.1% | |||
Pharmaceuticals — 0.1% | |||
5,283 | Bristol-Myers Squibb Co. (expiring 3/31/21)1 | $23,826 | |
TOTAL RIGHTS (Cost $11,253) | 23,826 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.5% | |||
$104,305 | With Fixed Income Clearing Corp., dated 4/30/20, 0.00%, principal and interest in the amount of $104,305, due 5/1/20, (collateralized by a U.S. Treasury Note with a par value of $105,000, coupon rate of 2.625%, due 6/15/2021, market value of $108,921) | 104,305 | |
TOTAL REPURCHASE AGREEMENT (Cost $104,305) | 104,305 | ||
TOTAL INVESTMENTS (Cost $19,747,528) | 100.0% | $20,199,259 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.0) | (9,420) | |
NET ASSETS | 100.0% | $20,189,839 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
84 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
IT Services | 7.2% | $1,449,093 | |
Health Care Providers & Services | 6.3 | 1,280,012 | |
Banks | 5.0 | 1,005,186 | |
Software | 4.9 | 985,959 | |
Pharmaceuticals | 4.2 | 858,114 | |
Semiconductors & Semiconductor Equipment | 4.1 | 837,517 | |
Media | 4.1 | 830,352 | |
Biotechnology | 3.8 | 770,009 | |
Insurance | 3.5 | 702,389 | |
Specialty Retail | 3.2 | 654,916 | |
Technology Hardware, Storage & Peripherals | 3.2 | 644,103 | |
Capital Markets | 3.1 | 623,611 | |
Interactive Media & Service | 3.0 | 612,697 | |
Diversified Consumer Services | 3.0 | 600,091 | |
Equity Real Estate Investment Trusts | 2.9 | 581,308 | |
Electrical Equipment | 2.8 | 572,793 | |
Food Products | 2.7 | 545,799 | |
Multi-line Retail | 2.2 | 441,374 | |
Energy Equipment & Services | 2.1 | 426,970 | |
Communications Equipment | 2.1 | 424,436 | |
Entertainment | 2.1 | 420,477 | |
Consumer Finance | 2.1 | 419,175 | |
Real Estate Management & Development | 2.1 | 413,845 | |
Electronic Equipment, Instruments & Components | 1.8 | 361,329 | |
Metals & Mining | 1.7 | 352,676 | |
Household Products | 1.7 | 344,604 | |
Food & Staples Retailing | 1.7 | 337,803 | |
Building Products | 1.5 | 312,439 | |
Internet & Direct Marketing Retail | 1.5 | 302,973 | |
Diversified Telecommunication Services | 1.5 | 293,152 | |
Electric Utilities | 1.4 | 282,029 | |
Professional Services | 1.3 | 261,441 | |
Independent Power & Renewable Electricity Producer | 1.2 | 237,427 | |
Household Durables | 1.2 | 232,559 | |
Chemicals | 0.9 | 191,187 | |
Airlines | 0.6 | 121,820 | |
Textiles, Apparel & Luxury Goods | 0.5 | 102,480 | |
Industrial Conglomerates | 0.5 | 98,621 | |
Road & Rail | 0.5 | 96,801 | |
Hotels, Restaurants & Leisure | 0.3 | 65,387 | |
TOTAL COMMON STOCKS AND RIGHTS | 99.5% | $20,094,954 | |
REPURCHASE AGREEMENT | 0.5 | 104,305 | |
TOTAL INVESTMENTS | 100.0% | $20,199,259 |
85 |
Shares | Value | ||
COMMON STOCKS* — 97.3% | |||
Aerospace & Defense — 1.3% | |||
148,260 | Howmet Aerospace, Inc. | $1,937,758 | |
Airlines — 3.3% | |||
50,580 | Alaska Air Group, Inc. | 1,644,862 | |
63,100 | Delta Air Lines, Inc. | 1,634,921 | |
24,500 | Southwest Airlines Co. | 765,625 | |
23,700 | United Airlines Holdings, Inc.1 | 701,046 | |
4,746,454 | |||
Banks — 2.8% | |||
58,500 | Bank of America Corp.2 | 1,406,925 | |
16,140 | Citigroup, Inc. | 783,759 | |
207,740 | First Horizon National Corp. | 1,886,279 | |
4,076,963 | |||
Beverages — 0.6% | |||
14,920 | Monster Beverage Corp.1 | 922,205 | |
Building Products — 2.6% | |||
41,620 | Fortune Brands Home & Security, Inc. | 2,006,084 | |
19,880 | Trane Technologies PLC | 1,737,910 | |
3,743,994 | |||
Capital Markets — 2.4% | |||
76,400 | Franklin Resources, Inc. | 1,439,376 | |
7,477 | Nasdaq, Inc. | 820,003 | |
80,400 | Waddell & Reed Financial, Inc. - Class A3 | 1,169,820 | |
3,429,199 | |||
Chemicals — 2.6% | |||
62,940 | Corteva, Inc.1 | 1,648,399 | |
58,440 | Dow, Inc.1 | 2,144,163 | |
3,792,562 | |||
Commercial Services & Supplies — 2.5% | |||
36,900 | Herman Miller, Inc. | 831,726 | |
36,360 | Tetra Tech, Inc.2 | 2,737,181 | |
3,568,907 | |||
Communications Equipment — 1.0% | |||
117,380 | Viavi Solutions, Inc.1 | 1,417,950 | |
Construction & Engineering — 1.6% | |||
35,740 | EMCOR Group, Inc.2 | 2,270,562 | |
Consumer Finance — 1.3% | |||
92,180 | Synchrony Financial | 1,824,242 | |
Distributors — 1.8% | |||
98,400 | LKQ Corp.1 | 2,573,160 | |
Diversified Financial Services — 1.1% | |||
85,140 | Equitable Holdings, Inc. | 1,559,765 | |
Diversified Telecommunication Services — 0.5% | |||
23,380 | AT&T, Inc. | 712,389 | |
Electric Utilities — 3.7% | |||
27,900 | Exelon Corp. | 1,034,532 | |
94,100 | PPL Corp. | 2,392,022 | |
35,180 | Southern Co. (The) | 1,995,761 | |
5,422,315 |
86 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Entertainment — 1.3% | |||
28,960 | Activision Blizzard, Inc. | $1,845,621 | |
Equity Real Estate Investment Trusts — 7.3% | |||
15,739 | Boston Properties, Inc. | 1,529,516 | |
49,440 | Brixmor Property Group, Inc. | 566,088 | |
69,300 | Gaming and Leisure Properties, Inc. | 1,957,032 | |
109,420 | Medical Properties Trust, Inc. | 1,875,459 | |
43,200 | Omega Healthcare Investors, Inc. | 1,259,280 | |
37,880 | Realty Income Corp.2 | 2,080,369 | |
71,400 | VICI Properties, Inc. | 1,243,788 | |
10,511,532 | |||
Food Products — 3.4% | |||
52,140 | General Mills, Inc. | 3,122,664 | |
27,920 | Tyson Foods, Inc. - Class A | 1,736,345 | |
4,859,009 | |||
Health Care Providers & Services — 6.0% | |||
3,038 | Amedisys, Inc.1,2 | 559,478 | |
38,720 | Centene Corp.1,2 | 2,577,978 | |
37,140 | DaVita, Inc.1 | 2,934,431 | |
16,222 | Molina Healthcare, Inc.1,2 | 2,659,921 | |
8,731,808 | |||
Hotels, Restaurants & Leisure — 0.7% | |||
131,494 | International Game Technology PLC | 991,465 | |
Household Durables — 2.6% | |||
30,660 | DR Horton, Inc. | 1,447,765 | |
81,120 | PulteGroup, Inc. | 2,293,263 | |
3,741,028 | |||
Household Products — 0.8% | |||
15,620 | Church & Dwight Co., Inc. | 1,093,244 | |
Insurance — 3.1% | |||
7,720 | Allstate Corp. (The) | 785,278 | |
47,580 | Fidelity National Financial, Inc. | 1,287,039 | |
65,780 | MetLife, Inc. | 2,373,343 | |
4,445,660 | |||
Internet & Direct Marketing Retail — 1.6% | |||
58,160 | eBay, Inc.2 | 2,316,513 | |
IT Services — 6.5% | |||
7,700 | Akamai Technologies, Inc.1 | 752,367 | |
34,380 | Amdocs, Ltd. | 2,215,447 | |
18,700 | Euronet Worldwide, Inc.1 | 1,715,912 | |
63,880 | Genpact, Ltd. | 2,199,388 | |
127,640 | KBR, Inc. | 2,585,987 | |
9,469,101 | |||
Machinery — 2.7% | |||
14,340 | Snap-on, Inc. | 1,868,359 | |
24,280 | Watts Water Technologies, Inc. - Class A | 2,000,672 | |
3,869,031 | |||
Media — 2.4% | |||
70,180 | Comcast Corp. - Class A2 | 2,640,873 |
87 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Media — (Continued) | |||
15,834 | Omnicom Group, Inc. | $903,013 | |
3,543,886 | |||
Metals & Mining — 3.3% | |||
37,065 | Arconic Corp.1 | 323,207 | |
26,560 | Reliance Steel & Aluminum Co. | 2,379,245 | |
87,160 | Steel Dynamics, Inc. | 2,115,373 | |
4,817,825 | |||
Multi-line Retail — 1.7% | |||
22,800 | Target Corp. | 2,502,072 | |
Multi-Utilities — 1.5% | |||
10,744 | DTE Energy Co. | 1,114,582 | |
20,900 | Public Service Enterprise Group, Inc. | 1,059,839 | |
2,174,421 | |||
Oil, Gas & Consumable Fuels — 3.5% | |||
67,920 | Delek US Holdings, Inc. | 1,585,932 | |
76,180 | Marathon Petroleum Corp. | 2,443,854 | |
38,800 | World Fuel Services Corp. | 970,000 | |
4,999,786 | |||
Pharmaceuticals — 3.2% | |||
93,540 | Elanco Animal Health, Inc.1 | 2,311,373 | |
15,400 | Merck & Co., Inc. | 1,221,836 | |
25,120 | Pacira BioSciences, Inc.1 | 1,037,205 | |
4,570,414 | |||
Professional Services — 0.6% | |||
32,020 | Korn Ferry | 923,137 | |
Semiconductors & Semiconductor Equipment — 4.6% | |||
55,220 | Applied Materials, Inc. | 2,743,330 | |
32,980 | Diodes, Inc.1 | 1,678,352 | |
35,320 | Teradyne, Inc.2 | 2,208,913 | |
6,630,595 | |||
Software — 3.7% | |||
15,800 | Microsoft Corp.2 | 2,831,518 | |
44,960 | SS&C Technologies Holdings, Inc.2 | 2,479,994 | |
5,311,512 | |||
Specialty Retail — 2.2% | |||
42,043 | Best Buy Co., Inc.2 | 3,225,959 | |
Technology Hardware, Storage & Peripherals — 2.0% | |||
149,020 | Hewlett Packard Enterprise Co. | 1,499,141 | |
73,200 | Xerox Holdings Corp.1 | 1,338,828 | |
2,837,969 | |||
Textiles, Apparel & Luxury Goods — 1.6% | |||
68,400 | Hanesbrands, Inc. | 679,896 | |
56,460 | Skechers U.S.A., Inc. - Class A1 | 1,591,043 | |
2,270,939 | |||
Thrifts & Mortgage Finance — 1.9% | |||
264,400 | MGIC Investment Corp. | 1,932,764 |
88 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Thrifts & Mortgage Finance — (Continued) | |||
58,988 | Radian Group, Inc. | $883,640 | |
2,816,404 | |||
TOTAL COMMON STOCKS (Cost $136,537,022) | 140,497,356 | ||
COMMON STOCKS SOLD SHORT* — (69.6)% | |||
Aerospace & Defense — (1.9)% | |||
(6,960) | Boeing Co. (The) | (981,499) | |
(4,660) | TransDigm Group, Inc. | (1,691,953) | |
(2,673,452) | |||
Air Freight & Logistics — (1.4)% | |||
(15,600) | FedEx Corp. | (1,977,612) | |
Banks — (3.0)% | |||
(44,436) | Commerce Bancshares, Inc. | (2,719,039) | |
(6,400) | First Republic Bank | (667,456) | |
(40,363) | WesBanco, Inc. | (996,159) | |
(4,382,654) | |||
Beverages — (1.3)% | |||
(47,340) | Molson Coors Beverage Co. - Class B | (1,941,413) | |
Building Products — (1.3)% | |||
(9,980) | Lennox International, Inc. | (1,863,066) | |
Capital Markets — (3.3)% | |||
(9,340) | FactSet Research Systems, Inc. | (2,568,500) | |
(7,680) | S&P Global, Inc. | (2,249,318) | |
(4,817,818) | |||
Chemicals — (5.3)% | |||
(18,865) | Albemarle Corp. | (1,158,877) | |
(37,660) | DuPont de Nemours, Inc. | (1,770,773) | |
(22,080) | International Flavors & Fragrances, Inc. | (2,893,143) | |
(38,180) | WR Grace & Co. | (1,803,241) | |
(7,626,034) | |||
Commercial Services & Supplies — (3.1)% | |||
(129,400) | Covanta Holding Corp. | (1,006,732) | |
(46,530) | Rollins, Inc. | (1,861,200) | |
(16,480) | Waste Management, Inc. | (1,648,329) | |
(4,516,261) | |||
Containers & Packaging — (0.6)% | |||
(8,220) | AptarGroup, Inc. | (880,198) | |
Distributors — (0.7)% | |||
(13,280) | Genuine Parts Co. | (1,052,838) | |
Entertainment — (1.4)% | |||
(18,660) | Walt Disney Co. (The) | (2,018,079) | |
Equity Real Estate Investment Trusts — (4.2)% | |||
(11,380) | Digital Realty Trust, Inc. | (1,701,196) | |
(55,680) | Healthpeak Properties, Inc. | (1,455,475) | |
(100,660) | Mack-Cali Realty Corp. | (1,629,686) | |
(41,120) | Ventas, Inc. | (1,330,232) | |
(6,116,589) |
89 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Food Products — (2.6)% | |||
(41,020) | Kellogg Co. | $(2,686,810) | |
(7,240) | McCormick & Co., Inc. | (1,135,522) | |
(3,822,332) | |||
Gas Utilities — (1.6)% | |||
(36,120) | Northwest Natural Holding Co. | (2,351,412) | |
Health Care Equipment & Supplies — (3.6)% | |||
(29,040) | Abbott Laboratories | (2,674,293) | |
(10,160) | Becton Dickinson and Co. | (2,565,705) | |
(5,239,998) | |||
Health Care Technology — (1.7)% | |||
(34,400) | Cerner Corp. | (2,387,016) | |
Hotels, Restaurants & Leisure — (0.7)% | |||
(9,640) | Cracker Barrel Old Country Store, Inc. | (938,936) | |
Industrial Conglomerates — (1.7)% | |||
(16,480) | 3M Co. | (2,503,642) | |
Insurance — (1.1)% | |||
(19,800) | Progressive Corp. (The) | (1,530,540) | |
IT Services — (2.2)% | |||
(7,800) | Fidelity National Information Services, Inc. | (1,028,742) | |
(9,920) | VeriSign, Inc.1 | (2,078,141) | |
(3,106,883) | |||
Leisure Product — (1.2)% | |||
(24,640) | Hasbro, Inc. | (1,779,254) | |
Life Sciences Tools & Services — (1.4)% | |||
(10,640) | Waters Corp.1 | (1,989,680) | |
Machinery — (2.0)% | |||
(19,660) | Deere & Co. | (2,851,880) | |
Multi-line Retail — (1.5)% | |||
(26,460) | Dollar Tree, Inc.1 | (2,108,068) | |
Multi-Utilities — (1.1)% | |||
(20,840) | Consolidated Edison, Inc. | (1,642,192) | |
Oil, Gas & Consumable Fuels — (1.9)% | |||
(20,640) | Cheniere Energy, Inc.1 | (963,682) | |
(19,500) | Chevron Corp. | (1,794,000) | |
(2,757,682) | |||
Road & Rail — (2.0)% | |||
(4,420) | AMERCO | (1,238,175) | |
(15,900) | JB Hunt Transport Services, Inc. | (1,607,808) | |
(2,845,983) | |||
Semiconductors & Semiconductor Equipment — (3.8)% | |||
(9,940) | Analog Devices, Inc. | (1,089,424) | |
(46,260) | Cree, Inc.1 | (1,995,194) | |
(26,620) | Microchip Technology, Inc. | (2,335,372) | |
(5,419,990) | |||
Software — (5.8)% | |||
(3,420) | Fair Isaac Corp.1 | (1,207,055) | |
(36,100) | Pegasystems, Inc. | (3,018,682) |
90 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Software — (Continued) | |||
(19,854) | PTC, Inc.1 | $(1,374,889) | |
(8,640) | Tyler Technologies, Inc.1 | (2,770,762) | |
(8,371,388) | |||
Specialty Retail — (2.6)% | |||
(13,780) | CarMax, Inc.1 | (1,014,897) | |
(89,660) | L Brands, Inc. | (1,066,058) | |
(30,380) | Monro, Inc. | (1,685,786) | |
(3,766,741) | |||
Textiles, Apparel & Luxury Goods — (1.2)% | |||
(29,600) | VF Corp. | (1,719,760) | |
Water Utilities — (2.4)% | |||
(40,020) | California Water Service Group | (1,797,698) | |
(40,700) | Essential Utilities, Inc. | (1,700,853) | |
(3,498,551) | |||
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(112,372,627)) | (100,497,942) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(112,372,627)) | (69.6)% | $(100,497,942) | |
TOTAL INVESTMENTS (Cost $24,164,395) | 27.7% | $39,999,414 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 72.3 | 104,472,832 | |
NET ASSETS | 100.0% | $144,472,246 |
* | 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 $23,893,308. |
3 | Securities or partial securities on loan. See Note 1. |
91 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Long Positions: | |||
Equity Real Estate Investment Trusts | 7.3% | $10,511,532 | |
IT Services | 6.5 | 9,469,101 | |
Health Care Providers & Services | 6.0 | 8,731,808 | |
Semiconductors & Semiconductor Equipment | 4.6 | 6,630,595 | |
Electric Utilities | 3.7 | 5,422,315 | |
Software | 3.7 | 5,311,512 | |
Oil, Gas & Consumable Fuels | 3.5 | 4,999,786 | |
Food Products | 3.4 | 4,859,009 | |
Metals & Mining | 3.3 | 4,817,825 | |
Airlines | 3.3 | 4,746,454 | |
Pharmaceuticals | 3.2 | 4,570,414 | |
Insurance | 3.1 | 4,445,660 | |
Banks | 2.8 | 4,076,963 | |
Machinery | 2.7 | 3,869,031 | |
Chemicals | 2.6 | 3,792,562 | |
Building Products | 2.6 | 3,743,994 | |
Household Durables | 2.6 | 3,741,028 | |
Commercial Services & Supplies | 2.5 | 3,568,907 | |
Media | 2.4 | 3,543,886 | |
Capital Markets | 2.4 | 3,429,199 | |
Specialty Retail | 2.2 | 3,225,959 | |
Technology Hardware, Storage & Peripherals | 2.0 | 2,837,969 | |
Thrifts & Mortgage Finance | 1.9 | 2,816,404 | |
Distributors | 1.8 | 2,573,160 | |
Multi-line Retail | 1.7 | 2,502,072 | |
Internet & Direct Marketing Retail | 1.6 | 2,316,513 | |
Textiles, Apparel & Luxury Goods | 1.6 | 2,270,939 | |
Construction & Engineering | 1.6 | 2,270,562 | |
Multi-Utilities | 1.5 | 2,174,421 | |
Aerospace & Defense | 1.3 | 1,937,758 | |
Entertainment | 1.3 | 1,845,621 | |
Consumer Finance | 1.3 | 1,824,242 | |
Diversified Financial Services | 1.1 | 1,559,765 | |
Communications Equipment | 1.0 | 1,417,950 | |
Household Products | 0.8 | 1,093,244 | |
Hotels, Restaurants & Leisure | 0.7 | 991,465 | |
Professional Services | 0.6 | 923,137 | |
Beverages | 0.6 | 922,205 | |
Diversified Telecommunication Services | 0.5 | 712,389 | |
Short Positions: | |||
Containers & Packaging | (0.6) | (880,198) | |
Hotels, Restaurants & Leisure | (0.7) | (938,936) | |
Distributors | (0.7) | (1,052,838) | |
Insurance | (1.1) | (1,530,540) | |
Multi-Utilities | (1.1) | (1,642,192) | |
Textiles, Apparel & Luxury Goods | (1.2) | (1,719,760) | |
Leisure Product | (1.2) | (1,779,254) | |
Building Products | (1.3) | (1,863,066) | |
Beverages | (1.3) | (1,941,413) | |
Air Freight & Logistics | (1.4) | (1,977,612) | |
Life Sciences Tools & Services | (1.4) | (1,989,680) | |
Entertainment | (1.4) | (2,018,079) | |
Multi-line Retail | (1.5) | (2,108,068) |
92 |
% of Net Assets | Value | ||
INDUSTRIES: — (Continued) | |||
Short Positions: — (Continued) | |||
Gas Utilities | (1.6)% | (2,351,412) | |
Health Care Technology | (1.7) | (2,387,016) | |
Industrial Conglomerates | (1.7) | (2,503,642) | |
Aerospace & Defense | (1.9) | (2,673,452) | |
Oil, Gas & Consumable Fuels | (1.9) | (2,757,682) | |
Road & Rail | (2.0) | (2,845,983) | |
Machinery | (2.0) | (2,851,880) | |
IT Services | (2.2) | (3,106,883) | |
Water Utilities | (2.4) | (3,498,551) | |
Specialty Retail | (2.6) | (3,766,741) | |
Food Products | (2.6) | (3,822,332) | |
Banks | (3.0) | (4,382,654) | |
Commercial Services & Supplies | (3.1) | (4,516,261) | |
Capital Markets | (3.3) | (4,817,818) | |
Health Care Equipment & Supplies | (3.6) | (5,239,998) | |
Semiconductors & Semiconductor Equipment | (3.8) | (5,419,990) | |
Equity Real Estate Investment Trusts | (4.2) | (6,116,589) | |
Chemicals | (5.3) | (7,626,034) | |
Software | (5.8) | (8,371,388) | |
TOTAL COMMON STOCKS | 27.7% | $39,999,414 | |
TOTAL INVESTMENTS | 27.7% | $39,999,414 |
93 |
Shares | Value | ||
COMMON STOCKS* — 132.6% | |||
Aerospace & Defense — 1.2% | |||
33,240 | Howmet Aerospace, Inc. | $434,447 | |
Airlines — 2.9% | |||
16,345 | Alaska Air Group, Inc. | 531,539 | |
18,439 | Delta Air Lines, Inc. | 477,755 | |
1,009,294 | |||
Banks — 8.1% | |||
36,300 | Bank of America Corp.1 | 873,015 | |
13,080 | Citizens Financial Group, Inc. | 292,861 | |
40,920 | Fifth Third Bancorp1 | 764,795 | |
20,720 | First Horizon National Corp. | 188,137 | |
75,400 | FNB Corp. | 609,986 | |
1,360 | JPMorgan Chase & Co. | 130,234 | |
2,859,028 | |||
Beverages — 0.6% | |||
3,260 | Monster Beverage Corp.2 | 201,501 | |
Building Products — 2.1% | |||
8,640 | Trane Technologies PLC | 755,309 | |
Capital Markets — 2.7% | |||
6,360 | E*TRADE Financial Corp. | 258,280 | |
9,260 | Federated Hermes, Inc. | 210,850 | |
5,300 | Intercontinental Exchange, Inc. | 474,085 | |
943,215 | |||
Chemicals — 2.4% | |||
23,080 | Axalta Coating Systems, Ltd.2 | 455,599 | |
16,960 | PolyOne Corp. | 394,999 | |
850,598 | |||
Commercial Services & Supplies — 1.1% | |||
17,860 | Herman Miller, Inc. | 402,564 | |
Communications Equipment — 2.3% | |||
12,660 | Cisco Systems, Inc. | 536,531 | |
23,280 | Viavi Solutions, Inc.2 | 281,222 | |
817,753 | |||
Construction & Engineering — 2.6% | |||
14,601 | EMCOR Group, Inc.1 | 927,602 | |
Consumer Finance — 2.7% | |||
69,316 | SLM Corp. | 578,096 | |
18,860 | Synchrony Financial1 | 373,239 | |
951,335 | |||
Diversified Telecommunication Services — 1.6% | |||
18,240 | AT&T, Inc. | 555,773 | |
Electric Utilities — 3.7% | |||
16,800 | Exelon Corp.1 | 622,944 | |
26,780 | PPL Corp. | 680,748 | |
1,303,692 | |||
Electrical Equipment — 0.8% | |||
3,380 | AMETEK, Inc.1 | 283,481 | |
Electronic Equipment, Instruments & Components — 2.1% | |||
26,360 | Sanmina Corp.2 | 730,963 |
94 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Entertainment — 2.5% | |||
13,780 | Activision Blizzard, Inc.1 | $878,199 | |
Equity Real Estate Investment Trusts — 6.4% | |||
1,802 | Boston Properties, Inc. | 175,118 | |
9,300 | Gaming and Leisure Properties, Inc. | 262,632 | |
18,480 | Host Hotels & Resorts, Inc. | 227,489 | |
10,669 | Lamar Advertising Co. - Class A | 615,068 | |
4,300 | National Health Investors, Inc. | 236,758 | |
17,191 | Service Properties Trust | 119,134 | |
23,680 | STORE Capital Corp. | 475,257 | |
9,280 | VICI Properties, Inc. | 161,658 | |
2,273,114 | |||
Food & Staples Retailing — 1.8% | |||
5,320 | Sysco Corp. | 299,356 | |
2,740 | Walmart, Inc. | 333,047 | |
632,403 | |||
Food Products — 4.2% | |||
11,880 | General Mills, Inc.1 | 711,493 | |
12,690 | Tyson Foods, Inc. - Class A1 | 789,191 | |
1,500,684 | |||
Health Care Providers & Services — 11.4% | |||
10,180 | AmerisourceBergen Corp.1 | 912,739 | |
3,510 | Anthem, Inc.1 | 985,362 | |
5,280 | Centene Corp.2 | 351,542 | |
10,160 | DaVita, Inc.2 | 802,742 | |
5,945 | Molina Healthcare, Inc.1,2 | 974,802 | |
4,027,187 | |||
Hotels, Restaurants & Leisure — 1.8% | |||
86,800 | International Game Technology PLC | 654,472 | |
Household Durables — 0.5% | |||
6,100 | PulteGroup, Inc. | 172,447 | |
Household Products — 0.7% | |||
3,304 | Colgate-Palmolive Co. | 232,172 | |
Independent Power & Renewable Electricity Producer — 0.6% | |||
16,350 | AES Corp. (The)1 | 216,637 | |
Insurance — 4.3% | |||
7,740 | Allstate Corp. (The) | 787,313 | |
6,860 | Fidelity National Financial, Inc. | 185,563 | |
15,680 | MetLife, Inc.1 | 565,734 | |
1,538,610 | |||
Internet & Direct Marketing Retail — 0.6% | |||
5,620 | eBay, Inc. | 223,845 | |
IT Services — 9.6% | |||
13,220 | Amdocs, Ltd. | 851,897 | |
1,880 | FleetCor Technologies, Inc.2 | 453,550 | |
30,140 | Genpact, Ltd.1 | 1,037,720 | |
6,480 | ManTech International Corp. - Class A | 483,149 | |
5,840 | MAXIMUS, Inc. | 393,149 | |
8,080 | Perspecta, Inc. | 174,285 | |
3,393,750 |
95 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Life Sciences Tools & Services — 4.2% | |||
1,600 | Agilent Technologies, Inc. | $122,656 | |
10,340 | Bruker Corp. | 406,569 | |
12,140 | Medpace Holdings, Inc.1,2 | 969,500 | |
1,498,725 | |||
Media — 6.3% | |||
24,340 | Comcast Corp. - Class A1 | 915,914 | |
74,480 | News Corp. - Class A | 738,097 | |
10,080 | Omnicom Group, Inc. | 574,862 | |
2,228,873 | |||
Metals & Mining — 3.8% | |||
8,310 | Arconic Corp.2 | 72,463 | |
8,260 | Reliance Steel & Aluminum Co.1 | 739,931 | |
22,220 | Steel Dynamics, Inc. | 539,279 | |
1,351,673 | |||
Multi-line Retail — 2.8% | |||
8,920 | Target Corp.1 | 978,881 | |
Oil, Gas & Consumable Fuels — 3.4% | |||
16,740 | Marathon Petroleum Corp. | 537,019 | |
10,261 | Valero Energy Corp. | 650,035 | |
1,187,054 | |||
Pharmaceuticals — 3.5% | |||
8,920 | Bristol-Myers Squibb Co.1 | 542,425 | |
8,740 | Elanco Animal Health, Inc.2 | 215,966 | |
6,080 | Merck & Co., Inc. | 482,387 | |
1,240,778 | |||
Professional Services — 1.2% | |||
4,480 | ASGN, Inc.2 | 208,096 | |
7,580 | Korn Ferry | 218,531 | |
426,627 | |||
Semiconductors & Semiconductor Equipment — 7.7% | |||
17,300 | Applied Materials, Inc. | 859,464 | |
17,620 | Diodes, Inc.1,2 | 896,682 | |
8,080 | Entegris, Inc. | 438,178 | |
8,200 | Teradyne, Inc. | 512,828 | |
2,707,152 | |||
Software — 3.6% | |||
10,440 | SPS Commerce, Inc.2 | 579,525 | |
12,520 | SS&C Technologies Holdings, Inc. | 690,603 | |
1,270,128 | |||
Specialty Retail — 7.4% | |||
14,760 | Best Buy Co., Inc.1 | 1,132,535 | |
8,960 | Ross Stores, Inc.1 | 818,585 | |
13,560 | TJX Cos., Inc. (The) | 665,118 | |
2,616,238 | |||
Technology Hardware, Storage & Peripherals — 2.6% | |||
29,380 | Hewlett Packard Enterprise Co. | 295,563 | |
13,860 | NetApp, Inc. | 606,652 | |
902,215 |
96 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Textiles, Apparel & Luxury Goods — 1.5% | |||
19,000 | Skechers U.S.A., Inc. - Class A2 | $535,420 | |
Thrifts & Mortgage Finance — 2.4% | |||
82,290 | MGIC Investment Corp. | 601,540 | |
17,040 | Radian Group, Inc. | 255,259 | |
856,799 | |||
Trading Companies & Distributors — 0.9% | |||
11,760 | WESCO International, Inc.2 | 304,231 | |
TOTAL COMMON STOCKS (Cost $44,706,383) | 46,874,869 | ||
COMMON STOCKS SOLD SHORT* — (32.7)% | |||
Aerospace & Defense — (0.6)% | |||
(600) | Boeing Co. (The) | (84,612) | |
(380) | TransDigm Group, Inc. | (137,970) | |
(222,582) | |||
Air Freight & Logistics — (1.3)% | |||
(1,400) | FedEx Corp. | (177,478) | |
(2,945) | United Parcel Service, Inc. - Class B | (278,774) | |
(456,252) | |||
Banks — (5.0)% | |||
(3,040) | BOK Financial Corp. | (157,442) | |
(4,746) | Commerce Bancshares, Inc. | (290,408) | |
(3,580) | Community Bank System, Inc. | (223,714) | |
(2,980) | First Republic Bank | (310,784) | |
(7,180) | Glacier Bancorp, Inc. | (273,414) | |
(3,300) | Independent Bank Corp. | (240,537) | |
(4,300) | TCF Financial Corp. | (127,667) | |
(5,280) | WesBanco, Inc. | (130,310) | |
(1,754,276) | |||
Building Products — (0.5)% | |||
(1,000) | Lennox International, Inc. | (186,680) | |
Capital Markets — (0.9)% | |||
(1,100) | FactSet Research Systems, Inc. | (302,500) | |
Chemicals — (2.7)% | |||
(3,940) | Albemarle Corp. | (242,034) | |
(1) | Dow, Inc. | (37) | |
(2,060) | DuPont de Nemours, Inc. | (96,861) | |
(2,000) | International Flavors & Fragrances, Inc. | (262,060) | |
(420) | Sherwin-Williams Co. (The) | (225,276) | |
(2,883) | WR Grace & Co. | (136,164) | |
(962,432) | |||
Commercial Services & Supplies — (1.1)% | |||
(9,390) | Rollins, Inc. | (375,600) | |
Containers & Packaging — (0.7)% | |||
(3,919) | Ball Corp. | (257,047) | |
Distributors — (0.6)% | |||
(920) | Pool Corp. | (194,727) | |
Equity Real Estate Investment Trusts — (0.8)% | |||
(8,120) | Acadia Realty Trust | (100,607) |
97 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Equity Real Estate Investment Trusts — (Continued) | |||
(7,280) | Healthpeak Properties, Inc. | $(190,299) | |
(290,906) | |||
Food Products — (1.4)% | |||
(3,900) | Kellogg Co. | (255,450) | |
(1,480) | McCormick & Co., Inc. | (232,123) | |
(487,573) | |||
Gas Utilities — (0.7)% | |||
(3,560) | Northwest Natural Holding Co. | (231,756) | |
Health Care Equipment & Supplies — (3.3)% | |||
(2,500) | Abbott Laboratories | (230,225) | |
(1,520) | Becton Dickinson and Co. | (383,846) | |
(1,140) | ICU Medical, Inc.2 | (250,013) | |
(7,560) | Merit Medical Systems, Inc.2 | (308,599) | |
(1,172,683) | |||
Health Care Providers & Services — (0.7)% | |||
(1,500) | Laboratory Corp. of America Holdings2 | (246,675) | |
Hotels, Restaurants & Leisure — (0.4)% | |||
(1,580) | Cracker Barrel Old Country Store, Inc. | (153,892) | |
Independent Power & Renewable Electricity Producer — (0.4)% | |||
(2,480) | Ormat Technologies, Inc. | (154,777) | |
Industrial Conglomerates — (0.7)% | |||
(1,660) | 3M Co. | (252,187) | |
Insurance — (0.6)% | |||
(2,120) | Marsh & McLennan Cos., Inc. | (206,340) | |
Machinery — (0.7)% | |||
(1,800) | Deere & Co. | (261,108) | |
Multi-line Retail — (0.6)% | |||
(2,800) | Dollar Tree, Inc.2 | (223,076) | |
Road & Rail — (1.6)% | |||
(880) | AMERCO | (246,514) | |
(3,180) | JB Hunt Transport Services, Inc. | (321,562) | |
(568,076) | |||
Semiconductors & Semiconductor Equipment — (3.2)% | |||
(2,020) | Analog Devices, Inc. | (221,392) | |
(1,960) | Cabot Microelectronics Corp. | (240,178) | |
(5,880) | Cree, Inc.2 | (253,605) | |
(2,580) | Microchip Technology, Inc. | (226,343) | |
(1,780) | Texas Instruments, Inc. | (206,605) | |
(1,148,123) | |||
Software — (1.4)% | |||
(700) | Fair Isaac Corp.2 | (247,058) | |
(3,320) | PTC, Inc.2 | (229,910) | |
(476,968) | |||
Specialty Retail — (1.4)% | |||
(2,540) | CarMax, Inc.2 | (187,071) | |
(8,680) | L Brands, Inc. | (103,205) | |
(3,440) | Monro, Inc. | (190,886) | |
(481,162) |
98 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Thrifts & Mortgage Finance — (0.5)% | |||
(20,360) | Kearny Financial Corp. | $(189,348) | |
Water Utilities — (0.9)% | |||
(7,200) | Essential Utilities, Inc. | (300,888) | |
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(13,548,448)) | (11,557,634) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(13,548,448)) | (32.7)% | $(11,557,634) | |
TOTAL INVESTMENTS (Cost $31,157,935) | 99.9% | $35,317,235 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.1 | 40,962 | |
NET ASSETS | 100.0% | $35,358,197 |
* | 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 $14,842,133. |
2 | Non income-producing security. |
99 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Long Positions: | |||
Health Care Providers & Services | 11.4% | $4,027,187 | |
IT Services | 9.6 | 3,393,750 | |
Banks | 8.1 | 2,859,028 | |
Semiconductors & Semiconductor Equipment | 7.7 | 2,707,152 | |
Specialty Retail | 7.4 | 2,616,238 | |
Equity Real Estate Investment Trusts | 6.4 | 2,273,114 | |
Media | 6.3 | 2,228,873 | |
Insurance | 4.3 | 1,538,610 | |
Food Products | 4.2 | 1,500,684 | |
Life Sciences Tools & Services | 4.2 | 1,498,725 | |
Metals & Mining | 3.8 | 1,351,673 | |
Electric Utilities | 3.7 | 1,303,692 | |
Software | 3.6 | 1,270,128 | |
Pharmaceuticals | 3.5 | 1,240,778 | |
Oil, Gas & Consumable Fuels | 3.4 | 1,187,054 | |
Airlines | 2.9 | 1,009,294 | |
Multi-line Retail | 2.8 | 978,881 | |
Consumer Finance | 2.7 | 951,335 | |
Capital Markets | 2.7 | 943,215 | |
Construction & Engineering | 2.6 | 927,602 | |
Technology Hardware, Storage & Peripherals | 2.6 | 902,215 | |
Entertainment | 2.5 | 878,199 | |
Thrifts & Mortgage Finance | 2.4 | 856,799 | |
Chemicals | 2.4 | 850,598 | |
Communications Equipment | 2.3 | 817,753 | |
Building Products | 2.1 | 755,309 | |
Electronic Equipment, Instruments & Components | 2.1 | 730,963 | |
Hotels, Restaurants & Leisure | 1.8 | 654,472 | |
Food & Staples Retailing | 1.8 | 632,403 | |
Diversified Telecommunication Services | 1.6 | 555,773 | |
Textiles, Apparel & Luxury Goods | 1.5 | 535,420 | |
Aerospace & Defense | 1.2 | 434,447 | |
Professional Services | 1.2 | 426,627 | |
Commercial Services & Supplies | 1.1 | 402,564 | |
Trading Companies & Distributors | 0.9 | 304,231 | |
Electrical Equipment | 0.8 | 283,481 | |
Household Products | 0.7 | 232,172 | |
Internet & Direct Marketing Retail | 0.6 | 223,845 | |
Independent Power & Renewable Electricity Producer | 0.6 | 216,637 | |
Beverages | 0.6 | 201,501 | |
Household Durables | 0.5 | 172,447 | |
Short Positions: | |||
Hotels, Restaurants & Leisure | (0.4) | (153,892) | |
Independent Power & Renewable Electricity Producer | (0.4) | (154,777) | |
Building Products | (0.5) | (186,680) | |
Thrifts & Mortgage Finance | (0.5) | (189,348) | |
Distributors | (0.6) | (194,727) | |
Insurance | (0.6) | (206,340) | |
Aerospace & Defense | (0.6) | (222,582) | |
Multi-line Retail | (0.6) | (223,076) | |
Gas Utilities | (0.7) | (231,756) | |
Health Care Providers & Services | (0.7) | (246,675) | |
Industrial Conglomerates | (0.7) | (252,187) |
100 |
% of Net Assets | Value | ||
INDUSTRIES: — (Continued) | |||
Short Positions: — (Continued) | |||
Containers & Packaging | (0.7)% | $(257,047) | |
Machinery | (0.7) | (261,108) | |
Equity Real Estate Investment Trusts | (0.8) | (290,906) | |
Water Utilities | (0.9) | (300,888) | |
Capital Markets | (0.9) | (302,500) | |
Commercial Services & Supplies | (1.1) | (375,600) | |
Air Freight & Logistics | (1.3) | (456,252) | |
Software | (1.4) | (476,968) | |
Specialty Retail | (1.4) | (481,162) | |
Food Products | (1.4) | (487,573) | |
Road & Rail | (1.6) | (568,076) | |
Chemicals | (2.7) | (962,432) | |
Semiconductors & Semiconductor Equipment | (3.2) | (1,148,123) | |
Health Care Equipment & Supplies | (3.3) | (1,172,683) | |
Banks | (5.0) | (1,754,276) | |
TOTAL COMMON STOCKS | 99.9% | $35,317,235 | |
TOTAL INVESTMENTS | 99.9% | $35,317,235 |
101 |
Shares | Value | ||
COMMON STOCKS* — 98.9% | |||
Aerospace & Defense — 3.3% | |||
117,684 | Raytheon Technologies Corp. | $7,627,100 | |
Banks — 5.4% | |||
52,040 | JPMorgan Chase & Co. | 4,983,350 | |
38,044 | PNC Financial Services Group, Inc. (The) | 4,058,154 | |
110,848 | Wells Fargo & Co. | 3,220,134 | |
12,261,638 | |||
Beverages — 2.3% | |||
40,290 | PepsiCo, Inc. | 5,329,964 | |
Biotechnology — 4.5% | |||
14,092 | Biogen, Inc.1 | 4,182,928 | |
71,355 | Gilead Sciences, Inc. | 5,993,820 | |
10,176,748 | |||
Capital Markets — 1.9% | |||
53,444 | Northern Trust Corp. | 4,230,627 | |
Communications Equipment — 2.3% | |||
124,563 | Cisco Systems, Inc. | 5,278,980 | |
Consumer Finance — 1.4% | |||
75,205 | Discover Financial Services | 3,231,559 | |
Electrical Equipment — 3.1% | |||
85,520 | AMETEK, Inc. | 7,172,562 | |
Electronic Equipment, Instruments & Components — 2.4% | |||
62,029 | Amphenol Corp. - Class A | 5,474,680 | |
Food & Staples Retailing — 2.6% | |||
48,174 | Walmart, Inc. | 5,855,550 | |
Health Care Equipment & Supplies — 4.1% | |||
45,550 | Abbott Laboratories | 4,194,700 | |
131,090 | Smith & Nephew PLC, Sponsored ADR2 | 5,200,340 | |
9,395,040 | |||
Health Care Providers & Services — 2.5% | |||
34,266 | Laboratory Corp. of America Holdings1 | 5,635,044 | |
Household Products — 2.5% | |||
80,909 | Colgate-Palmolive Co. | 5,685,475 | |
Insurance — 2.1% | |||
43,287 | Chubb, Ltd. | 4,675,429 | |
Interactive Media & Services — 6.3% | |||
6,590 | Alphabet, Inc. - Class C1 | 8,887,669 | |
26,652 | Facebook, Inc. - Class A1 | 5,455,931 | |
14,343,600 | |||
Internet & Direct Marketing Retail — 3.0% | |||
4,626 | Booking Holdings, Inc.1 | 6,849,117 | |
IT Services — 13.0% | |||
30,275 | Accenture PLC - Class A | 5,606,627 | |
71,867 | Cognizant Technology Solutions Corp. - Class A | 4,169,723 | |
23,283 | Gartner, Inc.1 | 2,766,253 | |
45,618 | Global Payments, Inc. | 7,573,501 | |
34,470 | Mastercard, Inc. - Class A | 9,478,216 | |
29,594,320 |
102 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Life Sciences Tools & Services — 2.0% | |||
24,034 | Waters Corp.1 | $4,494,358 | |
Machinery — 3.1% | |||
18,884 | Otis Worldwide Corp.1 | 961,385 | |
38,743 | Parker-Hannifin Corp. | 6,126,043 | |
7,087,428 | |||
Media — 4.0% | |||
173,336 | Comcast Corp. - Class A | 6,522,633 | |
45,025 | Omnicom Group, Inc. | 2,567,776 | |
9,090,409 | |||
Multi-line Retail — 3.1% | |||
40,236 | Dollar General Corp. | 7,053,371 | |
Oil, Gas & Consumable Fuels — 3.0% | |||
74,848 | Chevron Corp. | 6,886,016 | |
Pharmaceuticals — 4.8% | |||
93,358 | Bristol-Myers Squibb Co. | 5,677,100 | |
33,920 | Eli Lilly and Co. | 5,245,389 | |
10,922,489 | |||
Software — 3.3% | |||
143,569 | Oracle Corp. | 7,604,850 | |
Specialty Retail — 6.6% | |||
21,930 | Home Depot, Inc. (The) | 4,820,872 | |
63,218 | Tractor Supply Co. | 6,412,202 | |
17,846 | Ulta Beauty, Inc.1 | 3,889,000 | |
15,122,074 | |||
Technology Hardware, Storage & Peripherals — 4.3% | |||
33,035 | Apple, Inc. | 9,705,683 | |
Textiles, Apparel & Luxury Goods — 2.0% | |||
59,750 | Carter’s, Inc. | 4,672,450 | |
TOTAL COMMON STOCKS (Cost $144,890,563) | 225,456,561 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.7% | |||
$1,546,208 | With Fixed Income Clearing Corp., dated 4/30/20, 0.00%, principal and interest in the amount of $1,546,208, due 5/1/20, (collateralized by a U.S. Treasury Note with a par value of $1,525,000, coupon rate of 2.625%, due 6/15/2021, market value of $1,581,942) | 1,546,208 | |
TOTAL REPURCHASE AGREEMENT (Cost $1,546,208) | 1,546,208 |
103 |
Shares | Value | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.3% | |||
672,823 | State Street Navigator Securities Lending Government Money Market Portfolio3 | $672,823 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $672,823) | 672,823 | ||
TOTAL INVESTMENTS (Cost $147,109,594) | 99.9% | $227,675,592 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.1 | 248,412 | |
NET ASSETS | 100.0% | $227,924,004 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
3 | Represents an investment of securities lending cash collateral. |
Abbreviations: |
ADR — American Depositary Receipt |
104 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
IT Services | 13.0% | $29,594,320 | |
Specialty Retail | 6.6 | 15,122,074 | |
Interactive Media & Services | 6.3 | 14,343,600 | |
Banks | 5.4 | 12,261,638 | |
Pharmaceuticals | 4.8 | 10,922,489 | |
Biotechnology | 4.5 | 10,176,748 | |
Technology Hardware, Storage & Peripherals | 4.3 | 9,705,683 | |
Health Care Equipment & Supplies | 4.1 | 9,395,040 | |
Media | 4.0 | 9,090,409 | |
Aerospace & Defense | 3.3 | 7,627,100 | |
Software | 3.3 | 7,604,850 | |
Electrical Equipment | 3.1 | 7,172,562 | |
Machinery | 3.1 | 7,087,428 | |
Multi-line Retail | 3.1 | 7,053,371 | |
Oil, Gas & Consumable Fuels | 3.0 | 6,886,016 | |
Internet & Direct Marketing Retail | 3.0 | 6,849,117 | |
Food & Staples Retailing | 2.6 | 5,855,550 | |
Household Products | 2.5 | 5,685,475 | |
Health Care Providers & Services | 2.5 | 5,635,044 | |
Electronic Equipment, Instruments & Components | 2.4 | 5,474,680 | |
Beverages | 2.3 | 5,329,964 | |
Communications Equipment | 2.3 | 5,278,980 | |
Insurance | 2.1 | 4,675,429 | |
Textiles, Apparel & Luxury Goods | 2.0 | 4,672,450 | |
Life Sciences Tools & Services | 2.0 | 4,494,358 | |
Capital Markets | 1.9 | 4,230,627 | |
Consumer Finance | 1.4 | 3,231,559 | |
TOTAL COMMON STOCKS | 98.9% | $225,456,561 | |
REPURCHASE AGREEMENT | 0.7 | 1,546,208 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 0.3 | 672,823 | |
TOTAL INVESTMENTS | 99.9% | $227,675,592 |
105 |
Shares | Value | ||
COMMON STOCKS* — 98.9% | |||
Advertising — 1.1% | |||
996,634 | Outfront Media, Inc. | $15,637,187 | |
Aerospace & Defense — 0.5% | |||
400,104 | AAR Corp. | 7,834,036 | |
Airlines — 1.7% | |||
773,869 | Atlas Air Worldwide Holdings, Inc.1 | 25,421,597 | |
Automotive — 2.0% | |||
230,256 | Asbury Automotive Group, Inc.1 | 15,542,280 | |
163,324 | LCI Industries | 14,163,457 | |
29,705,737 | |||
Banking — 13.1% | |||
545,904 | Ameris Bancorp | 13,882,339 | |
947,206 | First Midwest Bancorp, Inc. | 13,999,705 | |
2,620,852 | FNB Corp. | 21,202,693 | |
601,297 | Hancock Whitney Corp. | 12,573,120 | |
416,882 | IBERIABANK Corp. | 17,283,928 | |
741,256 | Simmons First National Corp. - Class A | 13,861,487 | |
710,830 | TCF Financial Corp. | 21,104,543 | |
1,481,865 | Umpqua Holdings Corp. | 18,560,359 | |
690,843 | United Community Banks, Inc. | 14,607,875 | |
755,261 | Western Alliance Bancorp | 27,098,765 | |
429,315 | Wintrust Financial Corp. | 17,988,298 | |
192,163,112 | |||
Beverages, Food & Tobacco — 1.4% | |||
1,666,577 | Hostess Brands, Inc.1 | 20,032,256 | |
Building Materials — 2.7% | |||
1,155,184 | Builders FirstSource, Inc.1 | 21,197,626 | |
288,018 | EMCOR Group, Inc. | 18,297,784 | |
39,495,410 | |||
Commercial Services — 10.1% | |||
261,115 | AMN Healthcare Services, Inc.1 | 12,267,183 | |
353,705 | ASGN, Inc.1 | 16,429,597 | |
2,044,773 | Evolent Health, Inc. - Class A1,2 | 14,742,813 | |
352,767 | HealthEquity, Inc.1 | 19,850,199 | |
696,947 | NeoGenomics, Inc.1 | 19,054,531 | |
2,154,526 | R1 RCM, Inc.1 | 22,234,708 | |
380,061 | SPS Commerce, Inc.1 | 21,097,186 | |
388,883 | Syneos Health, Inc.1 | 21,695,783 | |
147,372,000 | |||
Communications — 2.9% | |||
588,583 | Ciena Corp.1 | 27,221,964 | |
809,503 | Vocera Communications, Inc.1,2 | 15,348,177 | |
42,570,141 | |||
Computer Software & Processing — 5.1% | |||
118,748 | CACI International, Inc. - Class A1 | 29,703,625 | |
558,190 | CommVault Systems, Inc.1 | 23,829,131 | |
497,433 | Verint Systems, Inc.1 | 21,260,286 | |
74,793,042 | |||
Computers & Information — 1.3% | |||
1,699,915 | FireEye, Inc.1 | 19,566,022 |
106 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Containers & Packaging — 0.9% | |||
392,036 | Silgan Holdings, Inc. | $13,525,242 | |
Diversified Financial Services — 0.6% | |||
573,728 | Blucora, Inc.1 | 8,072,353 | |
Electric Utilities — 2.5% | |||
114,723 | Ormat Technologies, Inc. | 7,159,862 | |
237,228 | Otter Tail Corp. | 10,528,179 | |
401,259 | Portland General Electric Co. | 18,774,909 | |
36,462,950 | |||
Electrical Equipment — 2.9% | |||
597,625 | Energizer Holdings, Inc. | 23,283,470 | |
325,270 | EnerSys | 18,992,515 | |
42,275,985 | |||
Electronics — 5.3% | |||
512,549 | Diodes, Inc.1 | 26,083,619 | |
211,472 | Mercury Systems, Inc.1 | 18,854,843 | |
1,977,094 | TTM Technologies, Inc.1 | 22,914,519 | |
406,755 | WESCO International, Inc.1 | 10,522,752 | |
78,375,733 | |||
Entertainment & Leisure — 1.3% | |||
1,293,977 | Callaway Golf Co. | 18,529,751 | |
Financial Services — 5.1% | |||
338,742 | Evercore, Inc. - Class A | 17,479,087 | |
751,860 | Hannon Armstrong Sustainable Infrastructure Capital, Inc.2 | 21,044,562 | |
711,916 | Hudson Pacific Properties, Inc. | 17,498,895 | |
1,759,768 | Lexington Realty Trust | 18,389,576 | |
74,412,120 | |||
Forest Products & Paper — 4.7% | |||
703,411 | Beacon Roofing Supply, Inc.1 | 15,475,042 | |
462,913 | Boise Cascade Co. | 14,475,289 | |
1,424,365 | Graphic Packaging Holding Co. | 19,015,273 | |
345,096 | Masonite International Corp.1 | 20,388,272 | |
69,353,876 | |||
Heavy Construction — 2.0% | |||
435,055 | MasTec, Inc.1 | 15,618,474 | |
1,163,485 | TRI Pointe Group, Inc.1 | 13,356,808 | |
28,975,282 | |||
Heavy Machinery — 6.6% | |||
500,384 | Arcosa, Inc. | 18,649,312 | |
267,283 | Dycom Industries, Inc.1 | 8,713,426 | |
477,815 | Entegris, Inc. | 25,911,908 | |
999,346 | Rexnord Corp. | 27,252,165 | |
442,330 | Timken Co. (The) | 16,622,761 | |
97,149,572 | |||
Home Construction, Furnishings & Appliances — 1.1% | |||
101,503 | Helen of Troy, Ltd.1 | 16,674,913 | |
Household Products — 0.8% | |||
1,242,718 | Ferro Corp.1 | 12,389,898 | |
Industrial - Diversified — 1.1% | |||
781,924 | Hillenbrand, Inc. | 16,381,308 |
107 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Insurance — 1.2% | |||
1,153,916 | Radian Group, Inc. | $17,285,662 | |
Lodging — 2.4% | |||
1,131,988 | Boyd Gaming Corp. | 18,892,880 | |
897,047 | Penn National Gaming, Inc.1,2 | 15,985,377 | |
34,878,257 | |||
Media - Broadcasting & Publishing — 1.5% | |||
323,027 | Nexstar Media Group, Inc. - Class A | 22,624,811 | |
Medical Supplies — 7.7% | |||
279,111 | Cantel Medical Corp. | 10,327,107 | |
90,244 | ICU Medical, Inc.1 | 19,791,412 | |
606,014 | II-VI, Inc.1,2 | 20,859,002 | |
545,281 | Luminex Corp. | 19,657,380 | |
580,393 | Merit Medical Systems, Inc.1 | 23,691,642 | |
299,045 | NuVasive, Inc.1 | 18,205,859 | |
112,532,402 | |||
Oil & Gas — 0.9% | |||
350,296 | Delek US Holdings, Inc.2 | 8,179,412 | |
708,555 | Matador Resources Co.1,2 | 4,988,227 | |
13,167,639 | |||
Pharmaceuticals — 4.7% | |||
779,136 | Horizon Therapeutics PLC1 | 28,080,061 | |
177,146 | Neogen Corp.1 | 11,087,568 | |
322,810 | Prestige Consumer Healthcare, Inc.1 | 13,135,139 | |
683,024 | Supernus Pharmaceuticals, Inc.1 | 15,982,762 | |
68,285,530 | |||
Technology — 1.5% | |||
278,188 | j2 Global, Inc.2 | 22,433,080 | |
Telecommunications — 1.4% | |||
2,458,354 | Vonage Holdings Corp.1 | 20,551,839 | |
Textiles, Clothing & Fabrics — 0.8% | |||
267,992 | Oxford Industries, Inc. | 11,234,225 | |
TOTAL COMMON STOCKS (Cost $1,546,741,064) | 1,450,162,968 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 1.1% | |||
$16,283,445 | With Fixed Income Clearing Corp., dated 4/30/20, 0.00%, principal and interest in the amount of $16,283,445, due 5/1/20, (collateralized by a U.S. Treasury Note with a par value of $16,015,000, coupon rate of 2.625%, due 6/15/2021, market value of $16,612,984) | 16,283,445 | |
TOTAL REPURCHASE AGREEMENT (Cost $16,283,445) | 16,283,445 |
108 |
Shares | Value | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.7% | |||
9,971,446 | State Street Navigator Securities Lending Government Money Market Portfolio3 | $9,971,446 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $9,971,446) | 9,971,446 | ||
TOTAL INVESTMENTS (Cost $1,572,995,955) | 100.7% | $1,476,417,859 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.7) | (10,572,022) | |
NET ASSETS | 100.0% | $1,465,845,837 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
3 | Represents an investment of securities lending cash collateral. |
109 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banking | 13.1% | $192,163,112 | |
Commercial Services | 10.1 | 147,372,000 | |
Medical Supplies | 7.7 | 112,532,402 | |
Heavy Machinery | 6.6 | 97,149,572 | |
Electronics | 5.3 | 78,375,733 | |
Computer Software & Processing | 5.1 | 74,793,042 | |
Financial Services | 5.1 | 74,412,120 | |
Forest Products & Paper | 4.7 | 69,353,876 | |
Pharmaceuticals | 4.7 | 68,285,530 | |
Communications | 2.9 | 42,570,141 | |
Electrical Equipment | 2.9 | 42,275,985 | |
Building Materials | 2.7 | 39,495,410 | |
Electric Utilities | 2.5 | 36,462,950 | |
Lodging | 2.4 | 34,878,257 | |
Automotive | 2.0 | 29,705,737 | |
Heavy Construction | 2.0 | 28,975,282 | |
Airlines | 1.7 | 25,421,597 | |
Media - Broadcasting & Publishing | 1.5 | 22,624,811 | |
Technology | 1.5 | 22,433,080 | |
Telecommunications | 1.4 | 20,551,839 | |
Beverages, Food & Tobacco | 1.4 | 20,032,256 | |
Computers & Information | 1.3 | 19,566,022 | |
Entertainment & Leisure | 1.3 | 18,529,751 | |
Insurance | 1.2 | 17,285,662 | |
Home Construction, Furnishings & Appliances | 1.1 | 16,674,913 | |
Industrial - Diversified | 1.1 | 16,381,308 | |
Advertising | 1.1 | 15,637,187 | |
Containers & Packaging | 0.9 | 13,525,242 | |
Oil & Gas | 0.9 | 13,167,639 | |
Household Products | 0.8 | 12,389,898 | |
Textiles, Clothing & Fabrics | 0.8 | 11,234,225 | |
Diversified Financial Services | 0.6 | 8,072,353 | |
Aerospace & Defense | 0.5 | 7,834,036 | |
TOTAL COMMON STOCKS | 98.9% | $1,450,162,968 | |
REPURCHASE AGREEMENT | 1.1 | 16,283,445 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 0.7 | 9,971,446 | |
TOTAL INVESTMENTS | 100.7% | $1,476,417,859 |
110 |
Shares | Value | ||
COMMON STOCKS* — 98.0% | |||
Advertising — 1.5% | |||
6,260 | Omnicom Group, Inc. | $357,008 | |
Aerospace & Defense — 2.5% | |||
2,074 | General Dynamics Corp. | 270,906 | |
5,221 | Raytheon Technologies Corp. | 338,373 | |
609,279 | |||
Airlines — 1.4% | |||
10,515 | Southwest Airlines Co. | 328,594 | |
Automotive — 2.7% | |||
3,690 | Genuine Parts Co. | 292,543 | |
14,679 | Honda Motor Co., Ltd., Sponsored ADR1 | 353,030 | |
645,573 | |||
Banking — 8.1% | |||
5,297 | Capital One Financial Corp. | 343,034 | |
12,907 | Citigroup, Inc. | 626,764 | |
2,531 | M&T Bank Corp. | 283,674 | |
3,792 | PNC Financial Services Group, Inc. (The) | 404,493 | |
5,154 | State Street Corp. | 324,908 | |
1,982,873 | |||
Beverages, Food & Tobacco — 7.4% | |||
14,034 | Archer-Daniels-Midland Co. | 521,223 | |
3,225 | Constellation Brands, Inc. - Class A | 531,125 | |
5,660 | General Mills, Inc. | 338,978 | |
6,685 | Tyson Foods, Inc. - Class A | 415,740 | |
1,807,066 | |||
Chemicals — 1.0% | |||
4,152 | LyondellBasell Industries N.V. - Class A | 240,608 | |
Commercial Services — 1.4% | |||
8,755 | eBay, Inc. | 348,712 | |
Computer Software & Processing — 1.0% | |||
4,615 | Oracle Corp. | 244,457 | |
Computers & Information — 1.1% | |||
2,050 | International Business Machines Corp. | 257,398 | |
Electric Utilities — 9.4% | |||
2,995 | DTE Energy Co. | 310,701 | |
6,465 | Duke Energy Corp. | 547,327 | |
9,679 | Exelon Corp. | 358,897 | |
16,137 | PPL Corp. | 410,203 | |
6,918 | Public Service Enterprise Group, Inc. | 350,812 | |
2,520 | Sempra Energy | 312,102 | |
2,290,042 | |||
Electronics — 3.0% | |||
12,324 | Intel Corp. | 739,193 | |
Financial Services — 7.6% | |||
32,040 | Bank of America Corp. | 770,562 | |
4,143 | Camden Property Trust REIT | 364,874 | |
9,225 | Morgan Stanley | 363,742 | |
1,886 | Public Storage | 349,758 | |
1,848,936 |
111 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Forest Products & Paper — 1.1% | |||
8,299 | Westrock Co. | $267,145 | |
Health Care Providers — 1.2% | |||
1,845 | Laboratory Corp. of America Holdings2 | 303,410 | |
Heavy Machinery — 3.2% | |||
5,760 | Applied Materials, Inc. | 286,157 | |
1,548 | Cummins, Inc. | 253,098 | |
2,767 | Eaton Corp. PLC | 231,044 | |
770,299 | |||
Household Products — 1.1% | |||
2,540 | Stanley Black & Decker, Inc. | 279,908 | |
Insurance — 6.4% | |||
8,109 | Aflac, Inc. | 301,979 | |
2,741 | Allstate Corp. (The) | 278,814 | |
1,415 | Everest Re Group, Ltd. | 244,979 | |
8,796 | MetLife, Inc. | 317,360 | |
11,295 | Principal Financial Group, Inc. | 411,251 | |
1,554,383 | |||
Media - Broadcasting & Publishing — 3.6% | |||
13,709 | Comcast Corp. - Class A | 515,870 | |
13,930 | Fox Corp. - Class A | 360,369 | |
876,239 | |||
Medical Supplies — 1.6% | |||
3,920 | Medtronic PLC | 382,710 | |
Metals & Mining — 1.1% | |||
2,935 | Reliance Steel & Aluminum Co. | 262,917 | |
Oil & Gas — 6.0% | |||
5,424 | EOG Resources, Inc. | 257,694 | |
3,298 | Pioneer Natural Resources Co. | 294,544 | |
8,301 | Valero Energy Corp. | 525,868 | |
20,050 | Williams Cos., Inc. (The) | 388,369 | |
1,466,475 | |||
Pharmaceuticals — 14.8% | |||
7,141 | Bristol-Myers Squibb Co. | 434,244 | |
6,915 | Cardinal Health, Inc. | 342,154 | |
2,618 | Cigna Corp.2 | 512,552 | |
6,911 | Johnson & Johnson | 1,036,927 | |
5,074 | Merck & Co., Inc. | 402,571 | |
23,052 | Pfizer, Inc. | 884,275 | |
3,612,723 | |||
Real Estate Investment Trusts — 1.5% | |||
6,213 | Lamar Advertising Co. - Class A | 358,179 | |
Retailers — 2.9% | |||
3,505 | Target Corp. | 384,639 | |
7,610 | Walgreens Boots Alliance, Inc. | 329,437 | |
714,076 | |||
Telecommunications — 3.0% | |||
23,994 | AT&T, Inc. | 731,097 |
112 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Textiles, Clothing & Fabrics — 1.3% | |||
4,278 | Ralph Lauren Corp. | $315,631 | |
Transportation — 1.1% | |||
4,615 | Westinghouse Air Brake Technologies Corp. | 260,378 | |
TOTAL COMMON STOCKS (Cost $23,298,268) | 23,855,309 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 2.1% | |||
$502,119 | With Fixed Income Clearing Corp., dated 4/30/20, 0.00%, principal and interest in the amount of $502,119, due 5/1/20, (collateralized by a U.S. Treasury Note with a par value of $495,000, coupon rate of 2.625%, due 6/15/2021, market value of $513,483) | 502,119 | |
TOTAL REPURCHASE AGREEMENT (Cost $502,119) | 502,119 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.2% | |||
49,000 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 49,000 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $49,000) | 49,000 | ||
TOTAL INVESTMENTS (Cost $23,849,387) | 100.3% | $24,406,428 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.3) | (72,049) | |
NET ASSETS | 100.0% | $24,334,379 |
* | Percentages indicated are based on net assets. |
1 | Securities or partial securities on loan. See Note 1. |
2 | Non income-producing security. |
3 | Represents an investment of securities lending cash collateral. |
Abbreviations: |
ADR — American Depositary Receipt |
113 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Pharmaceuticals | 14.8% | $3,612,723 | |
Electric Utilities | 9.4 | 2,290,042 | |
Banking | 8.1 | 1,982,873 | |
Financial Services | 7.6 | 1,848,936 | |
Beverages, Food & Tobacco | 7.4 | 1,807,066 | |
Insurance | 6.4 | 1,554,383 | |
Oil & Gas | 6.0 | 1,466,475 | |
Media - Broadcasting & Publishing | 3.6 | 876,239 | |
Heavy Machinery | 3.2 | 770,299 | |
Electronics | 3.0 | 739,193 | |
Telecommunications | 3.0 | 731,097 | |
Retailers | 2.9 | 714,076 | |
Automotive | 2.7 | 645,573 | |
Aerospace & Defense | 2.5 | 609,279 | |
Medical Supplies | 1.6 | 382,710 | |
Real Estate Investment Trusts | 1.5 | 358,179 | |
Advertising | 1.5 | 357,008 | |
Commercial Services | 1.4 | 348,712 | |
Airlines | 1.4 | 328,594 | |
Textiles, Clothing & Fabrics | 1.3 | 315,631 | |
Health Care Providers | 1.2 | 303,410 | |
Household Products | 1.1 | 279,908 | |
Forest Products & Paper | 1.1 | 267,145 | |
Metals & Mining | 1.1 | 262,917 | |
Transportation | 1.1 | 260,378 | |
Computers & Information | 1.1 | 257,398 | |
Computer Software & Processing | 1.0 | 244,457 | |
Chemicals | 1.0 | 240,608 | |
TOTAL COMMON STOCKS | 98.0% | $23,855,309 | |
REPURCHASE AGREEMENT | 2.1 | 502,119 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 0.2 | 49,000 | |
TOTAL INVESTMENTS | 100.3% | $24,406,428 |
114 |
Shares | Value | ||
COMMON STOCKS* — 98.9% | |||
Air Freight & Logistics — 1.5% | |||
4,132 | CH Robinson Worldwide, Inc. | $292,959 | |
Banks — 3.4% | |||
5,122 | Comerica, Inc. | 178,553 | |
2,195 | M&T Bank Corp. | 246,016 | |
2,505 | PNC Financial Services Group, Inc. (The) | 267,208 | |
691,777 | |||
Beverages — 3.1% | |||
4,661 | PepsiCo, Inc. | 616,604 | |
Biotechnology — 3.0% | |||
2,516 | Amgen, Inc. | 601,878 | |
Capital Markets — 6.1% | |||
1,581 | Ameriprise Financial, Inc. | 181,720 | |
797 | BlackRock, Inc. | 400,126 | |
3,555 | Northern Trust Corp. | 281,414 | |
3,225 | T Rowe Price Group, Inc. | 372,907 | |
1,236,167 | |||
Chemicals — 3.1% | |||
1,524 | Air Products and Chemicals, Inc. | 343,784 | |
4,215 | RPM International, Inc. | 279,918 | |
623,702 | |||
Communications Equipment — 3.1% | |||
14,665 | Cisco Systems, Inc. | 621,503 | |
Distributors — 1.9% | |||
4,831 | Genuine Parts Co. | 383,002 | |
Electric Utilities — 5.0% | |||
8,975 | OGE Energy Corp. | 282,892 | |
4,454 | Pinnacle West Capital Corp. | 342,913 | |
6,712 | Southern Co. (The) | 380,772 | |
1,006,577 | |||
Electrical Equipment — 3.6% | |||
3,490 | Eaton Corp. PLC | 291,415 | |
2,315 | Rockwell Automation, Inc. | 438,646 | |
730,061 | |||
Electronic Equipment, Instruments & Components — 0.8% | |||
2,240 | TE Connectivity, Ltd. | 164,550 | |
Equity Real Estate Investment Trusts — 1.9% | |||
6,600 | Lamar Advertising Co. - Class A | 380,490 | |
Food Products — 3.0% | |||
2,575 | Hershey Co. (The) | 341,007 | |
5,742 | Hormel Foods Corp. | 269,013 | |
610,020 | |||
Gas Utilities — 1.9% | |||
12,720 | UGI Corp. | 383,890 | |
Health Care Providers & Services — 2.3% | |||
4,155 | Quest Diagnostics, Inc. | 457,507 | |
Hotels, Restaurants & Leisure — 3.8% | |||
2,614 | McDonald’s Corp. | 490,282 |
115 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Hotels, Restaurants & Leisure — (Continued) | |||
3,695 | Starbucks Corp. | $283,517 | |
773,799 | |||
Household Products — 4.3% | |||
2,187 | Clorox Co. (The) | 407,744 | |
6,504 | Colgate-Palmolive Co. | 457,036 | |
864,780 | |||
Industrial Conglomerates — 1.9% | |||
2,520 | 3M Co. | 382,838 | |
Insurance — 3.9% | |||
7,981 | Aflac, Inc. | 297,212 | |
1,932 | Allstate Corp. (The) | 196,523 | |
8,216 | Principal Financial Group, Inc. | 299,145 | |
792,880 | |||
IT Services — 4.5% | |||
1,120 | Accenture PLC - Class A | 207,413 | |
10,100 | Paychex, Inc. | 692,052 | |
899,465 | |||
Machinery — 5.0% | |||
1,997 | Cummins, Inc. | 326,509 | |
1,872 | Illinois Tool Works, Inc. | 304,200 | |
2,896 | Snap-on, Inc. | 377,320 | |
1,008,029 | |||
Media — 2.6% | |||
7,450 | Comcast Corp. - Class A | 280,343 | |
4,425 | Omnicom Group, Inc. | 252,358 | |
532,701 | |||
Multi-Utilities — 2.9% | |||
3,099 | DTE Energy Co. | 321,490 | |
5,135 | Public Service Enterprise Group, Inc. | 260,396 | |
581,886 | |||
Oil, Gas & Consumable Fuels — 5.6% | |||
3,185 | Chevron Corp. | 293,020 | |
6,460 | ConocoPhillips | 271,966 | |
3,974 | Phillips 66 | 290,778 | |
4,215 | Valero Energy Corp. | 267,020 | |
1,122,784 | |||
Pharmaceuticals — 9.1% | |||
1,654 | Eli Lilly and Co. | 255,775 | |
4,955 | Johnson & Johnson | 743,448 | |
4,885 | Merck & Co., Inc. | 387,576 | |
11,495 | Pfizer, Inc. | 440,948 | |
1,827,747 | |||
Semiconductors & Semiconductor Equipment — 7.2% | |||
4,914 | Intel Corp. | 294,742 | |
11,030 | Maxim Integrated Products, Inc. | 606,429 | |
4,750 | Texas Instruments, Inc. | 551,333 | |
1,452,504 | |||
Specialty Retail — 2.5% | |||
2,250 | Home Depot, Inc. (The) | 494,617 |
116 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Technology Hardware, Storage & Peripherals — 1.9% | |||
8,552 | NetApp, Inc. | $374,321 | |
TOTAL COMMON STOCKS (Cost $19,198,963) | 19,909,038 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 1.6% | |||
$313,459 | With Fixed Income Clearing Corp., dated 4/30/20, 0.00%, principal and interest in the amount of $313,459, due 5/1/20, (collateralized by a U.S. Treasury Note with a par value of $310,000, coupon rate of 2.625%, due 6/15/2021, market value of $321,575) | 313,459 | |
TOTAL REPURCHASE AGREEMENT (Cost $313,459) | 313,459 | ||
TOTAL INVESTMENTS (Cost $19,512,422) | 100.5% | $20,222,497 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.5) | (95,358) | |
NET ASSETS | 100.0% | $20,127,139 |
* | Percentages indicated are based on net assets. |
117 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Pharmaceuticals | 9.1% | $1,827,747 | |
Semiconductors & Semiconductor Equipment | 7.2 | 1,452,504 | |
Capital Markets | 6.1 | 1,236,167 | |
Oil, Gas & Consumable Fuels | 5.6 | 1,122,784 | |
Machinery | 5.0 | 1,008,029 | |
Electric Utilities | 5.0 | 1,006,577 | |
IT Services | 4.5 | 899,465 | |
Household Products | 4.3 | 864,780 | |
Insurance | 3.9 | 792,880 | |
Hotels, Restaurants & Leisure | 3.8 | 773,799 | |
Electrical Equipment | 3.6 | 730,061 | |
Banks | 3.4 | 691,777 | |
Chemicals | 3.1 | 623,702 | |
Communications Equipment | 3.1 | 621,503 | |
Beverages | 3.1 | 616,604 | |
Food Products | 3.0 | 610,020 | |
Biotechnology | 3.0 | 601,878 | |
Multi-Utilities | 2.9 | 581,886 | |
Media | 2.6 | 532,701 | |
Specialty Retail | 2.5 | 494,617 | |
Health Care Providers & Services | 2.3 | 457,507 | |
Gas Utilities | 1.9 | 383,890 | |
Distributors | 1.9 | 383,002 | |
Industrial Conglomerates | 1.9 | 382,838 | |
Equity Real Estate Investment Trusts | 1.9 | 380,490 | |
Technology Hardware, Storage & Peripherals | 1.9 | 374,321 | |
Air Freight & Logistics | 1.5 | 292,959 | |
Electronic Equipment, Instruments & Components | 0.8 | 164,550 | |
TOTAL COMMON STOCKS | 98.9% | $19,909,038 | |
REPURCHASE AGREEMENT | 1.6 | 313,459 | |
TOTAL INVESTMENTS | 100.5% | $20,222,497 |
118 |
Shares | Value | ||
EXCHANGE-TRADED FUNDS* — 3.0% | |||
22,100 | SPDR S&P 500 ETF Trust1 | $6,419,608 | |
30,000 | Vanguard S&P 500 ETF1 | 8,013,000 | |
TOTAL EXCHANGE-TRADED FUNDS (Cost $6,430,609) | 14,432,608 | ||
Face Amount | |||
U.S. TREASURY BILL* — 24.6% | |||
$120,000,000 | U.S. Treasury Bill, 0.186% due 07/9/201 | 119,979,300 | |
TOTAL U.S. TREASURY BILL (Cost $119,957,220) | 119,979,300 | ||
REPURCHASE AGREEMENT* — 1.5% | |||
7,095,359 | With Fixed Income Clearing Corp., dated 4/30/20, 0.00%, principal and interest in the amount of $7,095,359, due 5/1/20, (collateralized by a U.S. Treasury Note with a par value of $6,980,000, coupon rate of 2.625%, due 6/15/2021, market value of $7,240,626) | 7,095,359 | |
TOTAL REPURCHASE AGREEMENT (Cost $7,095,359) | 7,095,359 | ||
TOTAL PURCHASED OPTIONS (Cost $522,320,636) | 132.1% | 643,598,835 | |
TOTAL INVESTMENTS (Cost $655,803,824) | 161.2% | $785,106,102 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (61.2) | (298,007,555) | |
NET ASSETS2 | 100.0% | $487,098,547 |
* | 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 $16,782,521 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** | 1,000.00 | 06/19/20 | USD | 3,383 | $985,275,069 | $641,501,375 | $474,533,039 | $166,968,336 | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 06/19/20 | USD | 3,383 | 985,275,069 | 2,097,460 | 47,787,597 | (45,690,137) | ||||||||
TOTAL PURCHASED OPTIONS | $1,970,550,138 | $643,598,835 | $522,320,636 | $121,278,199 | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALL: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 06/19/20 | USD | 3,383 | (985,275,069) | (305,451,070) | (180,390,871) | (125,060,199) | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,700.00 | 05/15/20 | USD | 200 | (58,248,600) | (446,000) | (1,223,100) | 777,100 | ||||||||
S&P 500 Index | OCC** | 2,800.00 | 05/15/20 | USD | 750 | (218,432,250) | (2,872,500) | (7,032,025) | 4,159,525 | ||||||||
S&P 500 Index | OCC** | 2,900.00 | 05/15/20 | USD | 460 | (133,971,780) | (3,059,000) | (6,206,169) | 3,147,169 | ||||||||
S&P 500 Index | OCC** | 3,000.00 | 05/15/20 | USD | 90 | (26,211,870) | (1,075,050) | (1,786,455) | 711,405 | ||||||||
S&P 500 Index | OCC** | 1,000.00 | 06/19/20 | USD | 3,383 | (985,275,069) | (93,033) | (4,150,932) | 4,057,899 | ||||||||
S&P 500 Index | OCC** | 2,500.00 | 06/19/20 | USD | 60 | (17,474,580) | (221,400) | (1,736,970) | 1,515,570 | ||||||||
S&P 500 Index | OCC** | 2,600.00 | 06/19/20 | USD | 90 | (26,211,870) | (460,800) | (999,138) | 538,338 | ||||||||
TOTAL PUTS | $(1,465,826,019) | $(8,227,783) | $(23,134,789) | $14,907,006 | |||||||||||||
TOTAL WRITTEN OPTIONS | $(2,451,101,088) | $(313,678,853) | $(203,525,660) | $(110,153,193) |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
Purchased Options | 132.1% | $643,598,835 | |
U.S. Treasury Bill | 24.6 | 119,979,300 | |
Exchange-Traded Funds | 3.0 | 14,432,608 | |
TOTAL | 159.7% | $778,010,743 | |
REPURCHASE AGREEMENT | 1.5 | 7,095,359 | |
TOTAL INVESTMENTS | 161.2% | $785,106,102 |
* | This table does not include written options. Please refer to the schedule of investments for information on written options. |
120 |
Shares | Value | ||
EXCHANGE-TRADED FUND* — 0.5% | |||
1,000 | iShares MSCI Emerging Markets ETF1 | $36,640 | |
TOTAL EXCHANGE-TRADED FUND (Cost $41,664) | 36,640 | ||
Face Amount | |||
U.S. TREASURY BILL* — 27.9% | |||
$2,000,000 | U.S. Treasury Bill, 0.186% due 07/9/20 | 1,999,655 | |
TOTAL U.S. TREASURY BILL (Cost $1,999,287) | 1,999,655 | ||
REPURCHASE AGREEMENT* — 18.5% | |||
1,321,039 | With Fixed Income Clearing Corp., dated 4/30/20, 0.00%, principal and interest in the amount of $1,321,039, due 5/1/20, (collateralized by a U.S. Treasury Note with a par value of $1,300,000, coupon rate of 2.625%, due 6/15/2021, market value of $1,348,541) | 1,321,039 | |
TOTAL REPURCHASE AGREEMENT (Cost $1,321,039) | 1,321,039 | ||
TOTAL PURCHASED OPTIONS (Cost $2,493,311) | 45.2% | 3,234,165 | |
TOTAL INVESTMENTS (Cost $5,855,301) | 92.1% | $6,591,499 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 7.9 | 564,784 | |
NET ASSETS2 | 100.0% | $7,156,283 |
* | 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 $2,081,635 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) | |||||||||
PURCHASED OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 1,000.00 | 06/19/20 | USD | 17 | $4,951,131 | $3,223,625 | $2,319,998 | $903,627 | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 06/19/20 | USD | 17 | 4,951,131 | 10,540 | 173,313 | (162,773) | ||||||||
TOTAL PURCHASED OPTIONS | $9,902,262 | $3,234,165 | $2,493,311 | $740,854 | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALL: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 06/19/20 | USD | 17 | (4,951,131) | (1,534,931) | (783,508) | (751,423) | ||||||||
PUTS: | |||||||||||||||||
iShares MSCI Emerging Market ETF | OCC** | 36.00 | 05/15/20 | USD | 140 | (512,960) | (10,430) | (19,810) | 9,380 | ||||||||
iShares MSCI EAFE ETF | OCC** | 55.00 | 05/15/20 | USD | 260 | (973,700) | (19,240) | (43,714) | 24,474 | ||||||||
iShares MSCI EAFE ETF | OCC** | 56.00 | 05/15/20 | USD | 90 | (337,050) | (8,865) | (20,705) | 11,840 | ||||||||
Russell 2000 Index | OCC** | 1,200.00 | 05/15/20 | USD | 5 | (655,330) | (6,800) | (31,885) | 25,085 | ||||||||
S&P 500 Index | OCC** | 1,000.00 | 06/19/20 | USD | 17 | (4,951,131) | (467) | (12,655) | 12,188 | ||||||||
TOTAL PUTS | $(7,430,171) | $(45,802) | $(128,769) | $82,967 | |||||||||||||
TOTAL WRITTEN OPTIONS | $(12,381,302) | $(1,580,733) | $(912,277) | $(668,456) |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
Purchased Options | 45.2% | $3,234,165 | |
U.S. Treasury Bill | 27.9 | 1,999,655 | |
Exchange-Traded Fund | 0.5 | 36,640 | |
TOTAL | 73.6% | $5,270,460 | |
REPURCHASE AGREEMENT | 18.5 | 1,321,039 | |
TOTAL INVESTMENTS | 92.1% | $6,591,499 |
* | This table does not include written options. Please refer to the schedule of investments for information on written options. |
122 |
Shares | Value | ||
COMMON STOCKS* — 48.2% | |||
Aerospace & Defense — 0.3% | |||
114 | Vectrus, Inc.1,2 | $5,929 | |
Airlines — 1.6% | |||
329 | Alaska Air Group, Inc.2 | 10,699 | |
1,117 | JetBlue Airways Corp.1,2 | 10,880 | |
160 | Southwest Airlines Co.2 | 5,000 | |
259 | United Airlines Holdings, Inc.1,2 | 7,661 | |
34,240 | |||
Banks — 4.5% | |||
485 | Bank of America Corp.2 | 11,664 | |
434 | Bank OZK2 | 9,817 | |
295 | Cadence BanCorp2 | 1,953 | |
386 | Citizens Financial Group, Inc.2 | 8,643 | |
306 | East West Bancorp, Inc.2 | 10,732 | |
1,260 | First BanCorp2 | 7,346 | |
531 | First Hawaiian, Inc.2 | 9,340 | |
1,116 | First Horizon National Corp.2 | 10,133 | |
1,169 | FNB Corp.2 | 9,457 | |
451 | KeyCorp.2 | 5,254 | |
884 | Umpqua Holdings Corp.2 | 11,072 | |
95,411 | |||
Capital Markets — 1.1% | |||
469 | Federated Hermes, Inc.2 | 10,679 | |
106 | Intercontinental Exchange, Inc.2 | 9,482 | |
307 | Waddell & Reed Financial, Inc. - Class A3 | 4,467 | |
24,628 | |||
Chemicals — 1.1% | |||
575 | Huntsman Corp.2 | 9,666 | |
85 | Innospec, Inc.2 | 6,164 | |
519 | Olin Corp.2 | 6,929 | |
22,759 | |||
Commercial Services & Supplies — 1.7% | |||
212 | Brady Corp. - Class A2 | 9,230 | |
823 | Steelcase, Inc. - Class A2 | 9,012 | |
240 | Tetra Tech, Inc.2 | 18,067 | |
36,309 | |||
Construction & Engineering — 2.1% | |||
465 | AECOM1,2 | 16,861 | |
201 | EMCOR Group, Inc.2 | 12,769 | |
399 | Quanta Services, Inc.2 | 14,508 | |
44,138 | |||
Consumer Finance — 1.0% | |||
69 | Capital One Financial Corp.2 | 4,469 | |
373 | Enova International, Inc.1,2 | 5,983 | |
1,286 | SLM Corp.2 | 10,725 | |
21,177 | |||
Diversified Consumer Services — 1.1% | |||
248 | frontdoor, Inc.1,2 | 9,600 | |
615 | H&R Block, Inc.3 | 10,240 | |
124 | Service Corp. International2 | 4,556 | |
24,396 |
123 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Diversified Financial Services — 0.8% | |||
614 | Equitable Holdings, Inc.2 | $11,249 | |
143 | Voya Financial, Inc.2 | 6,459 | |
17,708 | |||
Diversified Telecommunication Services — 0.4% | |||
316 | AT&T, Inc.2 | 9,628 | |
Electric Utilities — 1.6% | |||
155 | Exelon Corp.2 | 5,747 | |
158 | OGE Energy Corp.2 | 4,980 | |
436 | PPL Corp.2 | 11,083 | |
216 | Southern Co. (The)2 | 12,254 | |
34,064 | |||
Electronic Equipment, Instruments & Components — 0.4% | |||
312 | Sanmina Corp.1,2 | 8,652 | |
Energy Equipment & Services — 0.4% | |||
1,138 | Exterran Corp.1,2 | 7,738 | |
Entertainment — 0.3% | |||
113 | Activision Blizzard, Inc.2 | 7,201 | |
Equity Real Estate Investment Trusts — 4.2% | |||
330 | American Assets Trust, Inc.2 | 9,346 | |
97 | Boston Properties, Inc.2 | 9,427 | |
467 | CubeSmart2 | 11,768 | |
391 | Gaming and Leisure Properties, Inc.2 | 11,042 | |
585 | Host Hotels & Resorts, Inc.2 | 7,201 | |
445 | National Storage Affiliates Trust2 | 12,674 | |
338 | Omega Healthcare Investors, Inc.2 | 9,853 | |
324 | Service Properties Trust2 | 2,245 | |
444 | STORE Capital Corp.2 | 8,911 | |
971 | Uniti Group, Inc. REIT2 | 6,855 | |
89,322 | |||
Food Products — 1.8% | |||
420 | Darling Ingredients, Inc.1,2 | 8,648 | |
254 | General Mills, Inc.2 | 15,212 | |
155 | Lamb Weston Holdings, Inc.2 | 9,511 | |
97 | Tyson Foods, Inc. - Class A2 | 6,032 | |
39,403 | |||
Health Care Equipment & Supplies — 1.1% | |||
370 | Avanos Medical, Inc.1,2 | 11,489 | |
1,121 | SeaSpine Holdings Corp.1,2 | 11,546 | |
23,035 | |||
Health Care Providers & Services — 1.3% | |||
235 | Centene Corp.1,2 | 15,646 | |
676 | Select Medical Holdings Corp.1,2 | 11,540 | |
27,186 | |||
Hotels, Restaurants & Leisure — 0.5% | |||
559 | Hilton Grand Vacations, Inc.1,2 | 11,515 | |
Household Durables — 0.3% | |||
201 | PulteGroup, Inc.2 | 5,682 | |
Insurance — 2.1% | |||
255 | Athene Holding, Ltd. - Class A1,2 | 6,885 |
124 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Insurance — (Continued) | |||
105 | Globe Life, Inc.2 | $8,646 | |
258 | MetLife, Inc.2 | 9,308 | |
603 | Old Republic International Corp.2 | 9,618 | |
587 | Unum Group2 | 10,243 | |
44,700 | |||
Internet & Direct Marketing Retail — 0.5% | |||
272 | eBay, Inc.2 | 10,834 | |
IT Services — 2.3% | |||
198 | Amdocs, Ltd.2 | 12,759 | |
95 | Leidos Holdings, Inc.2 | 9,387 | |
121 | PayPal Holdings, Inc.1,2 | 14,883 | |
152 | Science Applications International Corp.2 | 12,412 | |
49,441 | |||
Life Sciences Tools & Services — 1.0% | |||
258 | Medpace Holdings, Inc.1,2 | 20,604 | |
Machinery — 2.0% | |||
244 | ITT, Inc.2 | 12,864 | |
525 | Rexnord Corp.2 | 14,317 | |
61 | Watts Water Technologies, Inc. - Class A2 | 5,026 | |
2,350 | Welbilt, Inc.1,2 | 11,585 | |
43,792 | |||
Media — 1.1% | |||
316 | Comcast Corp. - Class A2 | 11,891 | |
85 | DISH Network Corp. - Class A1,2 | 2,126 | |
181 | Omnicom Group, Inc.2 | 10,323 | |
24,340 | |||
Metals & Mining — 0.7% | |||
70 | Kaiser Aluminum Corp.2 | 5,056 | |
454 | Steel Dynamics, Inc.2 | 11,019 | |
16,075 | |||
Multi-Utilities — 0.4% | |||
460 | CenterPoint Energy, Inc.2 | 7,834 | |
Oil, Gas & Consumable Fuels — 1.4% | |||
551 | Delek US Holdings, Inc.2 | 12,866 | |
416 | International Seaways, Inc.2 | 10,067 | |
292 | World Fuel Services Corp.2 | 7,300 | |
30,233 | |||
Paper & Forest Products — 0.3% | |||
292 | Domtar Corp.2 | 6,821 | |
Pharmaceuticals — 1.1% | |||
146 | Bristol-Myers Squibb Co.2 | 8,878 | |
360 | Elanco Animal Health, Inc.1,2 | 8,896 | |
181 | Theravance Biopharma, Inc.1,2 | 5,278 | |
23,052 | |||
Professional Services — 0.5% | |||
336 | Korn Ferry2 | 9,687 | |
Semiconductors & Semiconductor Equipment — 2.4% | |||
1,255 | Amkor Technology, Inc.1,2 | 12,399 | |
402 | Diodes, Inc.1,2 | 20,458 |
125 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Semiconductors & Semiconductor Equipment — (Continued) | |||
58 | Intel Corp.2 | $3,479 | |
238 | Teradyne, Inc.2 | 14,885 | |
51,221 | |||
Software — 0.3% | |||
303 | NortonLifeLock, Inc.2 | 6,445 | |
Specialty Retail — 1.5% | |||
337 | Dick’s Sporting Goods, Inc.2 | 9,905 | |
49 | Murphy USA, Inc.1,2 | 5,233 | |
295 | Penske Automotive Group, Inc.2 | 10,614 | |
121 | TJX Cos., Inc. (The)2 | 5,935 | |
31,687 | |||
Technology Hardware, Storage & Peripherals — 0.9% | |||
997 | Hewlett Packard Enterprise Co.2 | 10,030 | |
454 | Xerox Holdings Corp.1,2 | 8,303 | |
18,333 | |||
Textiles, Apparel & Luxury Goods — 0.4% | |||
317 | Skechers U.S.A., Inc. - Class A1,2 | 8,933 | |
Thrifts & Mortgage Finance — 1.3% | |||
330 | Essent Group, Ltd.2 | 9,016 | |
1,176 | MGIC Investment Corp.2 | 8,596 | |
696 | Radian Group, Inc.2 | 10,426 | |
28,038 | |||
Trading Companies & Distributors — 0.4% | |||
300 | WESCO International, Inc.1,2 | 7,761 | |
TOTAL COMMON STOCKS (Cost $1,124,432) | 1,029,952 | ||
COMMON STOCKS SOLD SHORT* — (42.8)% | |||
Aerospace & Defense — (0.2)% | |||
(36) | Boeing Co. (The) | (5,077) | |
Air Freight & Logistics — (0.5)% | |||
(78) | FedEx Corp. | (9,888) | |
Automobiles — (0.6)% | |||
(194) | Thor Industries, Inc. | (12,843) | |
Banks — (4.2)% | |||
(137) | First Republic Bank | (14,288) | |
(322) | Glacier Bancorp, Inc. | (12,262) | |
(176) | Independent Bank Corp. | (12,829) | |
(140) | Park National Corp. | (11,197) | |
(801) | People’s United Financial, Inc. | (10,165) | |
(308) | TCF Financial Corp. | (9,144) | |
(256) | Truist Financial Corp. | (9,554) | |
(377) | WesBanco, Inc. | (9,304) | |
(88,743) | |||
Beverages — (0.5)% | |||
(264) | Molson Coors Beverage Co. - Class B | (10,827) | |
Building Products — (0.4)% | |||
(50) | Lennox International, Inc. | (9,334) |
126 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Capital Markets — (1.2)% | |||
(44) | FactSet Research Systems, Inc. | $(12,100) | |
(90) | Morningstar, Inc. | (14,036) | |
(26,136) | |||
Chemicals — (1.9)% | |||
(213) | DuPont de Nemours, Inc. | (10,015) | |
(113) | International Flavors & Fragrances, Inc. | (14,806) | |
(559) | Mosaic Co. (The) | (6,434) | |
(202) | WR Grace & Co. | (9,541) | |
(40,796) | |||
Commercial Services & Supplies — (1.5)% | |||
(405) | Casella Waste Systems, Inc. - Class A1 | (18,784) | |
(956) | Covanta Holding Corp. | (7,437) | |
(169) | US Ecology, Inc. | (5,540) | |
(31,761) | |||
Consumer Finance — (1.1)% | |||
(166) | FirstCash, Inc. | (11,925) | |
(220) | Nelnet, Inc. - Class A | (10,593) | |
(22,518) | |||
Containers & Packaging — (0.3)% | |||
(63) | AptarGroup, Inc. | (6,746) | |
Distributors — (0.5)% | |||
(130) | Genuine Parts Co. | (10,306) | |
Electric Utilities — (0.5)% | |||
(283) | PNM Resources, Inc. | (11,459) | |
Electrical Equipment — (0.8)% | |||
(320) | Vicor Corp.1 | (17,014) | |
Electronic Equipment, Instruments & Components — (0.5)% | |||
(74) | Littelfuse, Inc. | (10,748) | |
Entertainment — (0.9)% | |||
(204) | Live Nation Entertainment, Inc.1 | (9,153) | |
(93) | Walt Disney Co. (The) | (10,058) | |
(19,211) | |||
Equity Real Estate Investment Trusts — (3.5)% | |||
(429) | Acadia Realty Trust | (5,315) | |
(89) | Alexandria Real Estate Equities, Inc. | (13,981) | |
(52) | Digital Realty Trust, Inc. | (7,773) | |
(3,491) | Diversified Healthcare Trust | (10,857) | |
(267) | Taubman Centers, Inc. | (11,508) | |
(153) | Ventas, Inc. | (4,950) | |
(203) | Vornado Realty Trust | (8,895) | |
(505) | Washington Real Estate Investment Trust | (11,777) | |
(75,056) | |||
Food Products — (1.6)% | |||
(47) | J&J Snack Foods Corp. | (5,971) | |
(210) | Kellogg Co. | (13,755) | |
(86) | McCormick & Co., Inc. | (13,488) | |
(33,214) | |||
Gas Utilities — (0.6)% | |||
(210) | Northwest Natural Holding Co. | (13,671) |
127 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Health Care Equipment & Supplies — (2.0)% | |||
(57) | Becton Dickinson and Co. | $(14,394) | |
(236) | Integra LifeSciences Holdings Corp.1 | (12,048) | |
(104) | LivaNova PLC1 | (5,525) | |
(255) | Merit Medical Systems, Inc.1 | (10,409) | |
(42,376) | |||
Health Care Providers & Services — (0.6)% | |||
(236) | Five Star Senior Living, Inc.1 | (774) | |
(74) | Laboratory Corp. of America Holdings1 | (12,169) | |
(12,943) | |||
Hotels, Restaurants & Leisure — (1.4)% | |||
(225) | Cheesecake Factory, Inc. (The) | (5,015) | |
(161) | Choice Hotels International, Inc. | (12,083) | |
(30) | Vail Resorts, Inc. | (5,130) | |
(100) | Wynn Resorts, Ltd. | (8,553) | |
(30,781) | |||
Industrial Conglomerates — (0.5)% | |||
(68) | 3M Co. | (10,331) | |
Insurance — (1.2)% | |||
(17) | Alleghany Corp. | (9,073) | |
(85) | Progressive Corp. (The) | (6,571) | |
(324) | United Fire Group, Inc. | (9,266) | |
(24,910) | |||
IT Services — (0.4)% | |||
(45) | VeriSign, Inc.1 | (9,427) | |
Life Sciences Tools & Services — (1.7)% | |||
(74) | Bio-Techne Corp. | (16,650) | |
(78) | PerkinElmer, Inc. | (7,061) | |
(66) | Waters Corp.1 | (12,342) | |
(36,053) | |||
Machinery — (2.7)% | |||
(130) | Deere & Co. | (18,858) | |
(237) | Greenbrier Cos., Inc. (The) | (4,024) | |
(132) | Lindsay Corp. | (11,880) | |
(114) | Middleby Corp. (The)1 | (6,342) | |
(104) | Nordson Corp. | (16,734) | |
(4) | Wabtec Corp. | (226) | |
(58,064) | |||
Mortgage Real Estate Investment Trust — (0.5)% | |||
(412) | Blackstone Mortgage Trust, Inc. - Class A | (9,694) | |
Multi-line Retail — (0.6)% | |||
(147) | Dollar Tree, Inc.1 | (11,712) | |
Oil, Gas & Consumable Fuels — (1.5)% | |||
(205) | Cheniere Energy, Inc.1 | (9,571) | |
(127) | Exxon Mobil Corp. | (5,902) | |
(676) | Kinder Morgan, Inc. | (10,296) | |
(647) | Noble Energy, Inc. | (6,347) | |
(32,116) | |||
Professional Services — (0.6)% | |||
(99) | Equifax, Inc. | (13,751) |
128 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Road & Rail — (1.1)% | |||
(38) | AMERCO | $(10,645) | |
(131) | JB Hunt Transport Services, Inc. | (13,247) | |
(23,892) | |||
Semiconductors & Semiconductor Equipment — (2.2)% | |||
(222) | Advanced Micro Devices, Inc.1 | (11,631) | |
(96) | Analog Devices, Inc. | (10,522) | |
(279) | Cree, Inc.1 | (12,033) | |
(139) | Microchip Technology, Inc. | (12,194) | |
(46,380) | |||
Software — (2.3)% | |||
(201) | Altair Engineering, Inc. - Class A1 | (6,631) | |
(440) | PagerDuty, Inc.1 | (9,289) | |
(110) | Pegasystems, Inc. | (9,198) | |
(152) | PTC, Inc.1 | (10,526) | |
(45) | Tyler Technologies, Inc.1 | (14,431) | |
(50,075) | |||
Specialty Retail — (0.5)% | |||
(191) | Monro, Inc. | (10,599) | |
Thrifts & Mortgage Finance — (0.4)% | |||
(986) | Kearny Financial Corp. | (9,170) | |
Water Utilities — (0.9)% | |||
(161) | American States Water Co. | (12,778) | |
(134) | Essential Utilities, Inc. | (5,600) | |
(18,378) | |||
Wireless Telecommunication Services — (0.4)% | |||
(149) | Shenandoah Telecommunications Co. | (7,973) | |
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(1,096,753)) | (913,973) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(1,096,753)) | (42.8)% | $(913,973) | |
TOTAL INVESTMENTS (Cost $27,679) | 5.4% | $115,979 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 94.6 | 2,021,675 | |
NET ASSETS4 | 100.0% | $2,137,654 |
* | 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 $1,034,656. |
3 | Securities or partial securities on loan. See Note 1. |
4 | Cash in the amount of $1,239,353 is held by brokers as collateral to secure the open written put options contracts. |
129 |
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 Markets ETF | OCC** | 35.00 | 06/19/20 | USD | 28 | $(102,592) | $(3,500) | $(4,745) | $1,245 | ||||||||
iShares MSCI EAFE ETF | OCC** | 55.00 | 06/19/20 | USD | 50 | (187,250) | (10,700) | (14,725) | 4,025 | ||||||||
iShares 20 Year Treasury Bond | OCC** | 155.00 | 06/19/20 | USD | 30 | (500,220) | (2,700) | (5,835) | 3,135 | ||||||||
Russell 2000 Index | OCC** | 1,100.00 | 06/19/20 | USD | 1 | (131,066) | (1,890) | (13,085) | 11,195 | ||||||||
S&P 500 Index | OCC** | 2,300.00 | 06/19/20 | USD | 2 | (582,486) | (3,630) | (40,785) | 37,155 | ||||||||
TOTAL PUTS | $(1,503,614) | $(22,420) | $(79,175) | $56,755 | |||||||||||||
TOTAL WRITTEN OPTIONS | $(1,503,614) | $(22,420) | $(79,175) | $56,755 |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
Common Stocks | 48.2% | $1,029,952 | |
Common Stocks Sold Short | (42.8) | (913,973) | |
TOTAL INVESTMENTS | 5.4% | $115,979 |
* | This table does not include written options. Please refer to the schedule of investments for information on written options. |
130 |
Face Amount | Value | ||
AGENCY NOTES* — 18.2% | |||
Federal Home Loan Bank — 6.1% | |||
$6,000,000 | 2.000% due 12/11/24 | $6,028,370 | |
15,000,000 | 2.750% due 12/13/24 | 16,472,116 | |
4,000,000 | 5.500% due 7/15/36 | 6,281,234 | |
28,781,720 | |||
Federal National Mortgage Association — 12.1% | |||
10,000,000 | 2.000% due 10/5/22 | 10,403,735 | |
10,000,000 | 2.625% due 9/6/24 | 10,931,461 | |
7,960,000 | 2.125% due 4/24/26 | 8,630,983 | |
10,000,000 | 1.875% due 9/24/26 | 10,673,733 | |
5,000,000 | 6.625% due 11/15/30 | 7,749,981 | |
5,000,000 | 5.625% due 7/15/37 | 8,242,221 | |
56,632,114 | |||
TOTAL AGENCY NOTES (Cost $78,947,121) | 85,413,834 | ||
MORTGAGE-BACKED SECURITIES*,1 — 37.8% | |||
Federal Home Loan Mortgage Corporation — 9.9% | |||
14,091 | # G12342, 5.500% due 8/1/21 | 14,304 | |
10,779 | # J03604, 5.500% due 10/1/21 | 11,025 | |
5,751 | # J03649, 5.500% due 10/1/21 | 5,853 | |
23,742 | # J03536, 5.500% due 11/1/21 | 23,924 | |
10,349 | # G18163, 5.500% due 1/1/22 | 10,623 | |
51,207 | # G13396, 5.500% due 12/1/23 | 53,350 | |
39,828 | # D78677, 8.000% due 3/1/27 | 40,816 | |
94,957 | # C00742, 6.500% due 4/1/29 | 108,414 | |
3,177,072 | # J38111, 3.000% due 12/1/32 | 3,373,572 | |
28,486 | # A68937, 6.000% due 11/1/37 | 32,379 | |
234,699 | # A69653, 5.500% due 12/1/37 | 267,285 | |
295,628 | # A73370, 5.000% due 2/1/38 | 336,407 | |
263,072 | # A90421, 4.500% due 12/1/39 | 292,316 | |
291,484 | # A92890, 4.500% due 7/1/40 | 318,682 | |
1,267,831 | # A97620, 4.500% due 3/1/41 | 1,406,740 | |
2,373,021 | # C03770, 3.500% due 2/1/42 | 2,559,608 | |
1,057,439 | # Q07651, 3.500% due 4/1/42 | 1,144,667 | |
2,777,886 | # Q41208, 3.500% due 6/1/46 | 2,977,971 | |
3,258,227 | # Q45735, 3.000% due 1/1/47 | 3,445,064 | |
9,652,265 | # Q46279, 3.500% due 2/1/47 | 10,257,983 | |
8,874,609 | # Q47596, 4.000% due 4/1/47 | 9,551,956 | |
9,689,717 | # QA5249, 3.000% due 12/1/49 | 10,235,144 | |
46,468,083 | |||
Federal National Mortgage Association — 26.1% | |||
690 | # 125275, 7.000% due 3/1/24 | 736 | |
445,814 | # AH6827, 4.000% due 3/1/26 | 472,514 | |
348,456 | # AI1657, 4.000% due 4/1/26 | 368,874 | |
682,041 | # AB3900, 3.000% due 11/1/26 | 720,479 | |
17,580 | # 373328, 8.000% due 3/1/27 | 17,650 | |
954,546 | # AK4751, 3.000% due 4/1/27 | 1,010,549 | |
12,277 | # 390895, 8.000% due 6/1/27 | 12,462 | |
1,824,857 | # AO0533, 3.000% due 6/1/27 | 1,928,408 | |
37,809 | # 397602, 8.000% due 8/1/27 | 39,956 | |
638 | # 499335, 6.500% due 8/1/29 | 711 | |
4,090 | # 252806, 7.500% due 10/1/29 | 4,848 | |
224 | # 523497, 7.500% due 11/1/29 | 257 | |
5,076,802 | # BC2462, 3.000% due 2/1/31 | 5,364,252 | |
1,719 | # 588945, 7.000% due 6/1/31 | 1,925 |
131 |
Face Amount | Value | ||
MORTGAGE-BACKED SECURITIES*,1 — (Continued) | |||
Federal National Mortgage Association — (Continued) | |||
$8,477,767 | # AS7429, 2.500% due 6/1/31 | $8,875,253 | |
51,004 | # 607862, 7.000% due 9/1/31 | 57,694 | |
3,286 | # 656872, 6.500% due 8/1/32 | 3,660 | |
7,483,519 | # MA3391, 3.000% due 6/1/33 | 7,895,508 | |
135,088 | # 789856, 6.000% due 8/1/34 | 152,879 | |
4,768,431 | # MA3865, 3.000% due 12/1/34 | 5,033,661 | |
52,168 | # 829202, 5.000% due 7/1/35 | 59,507 | |
105,735 | # 826586, 5.000% due 8/1/35 | 120,869 | |
23,779 | # 256216, 7.000% due 4/1/36 | 28,590 | |
130,772 | # 898412, 5.000% due 10/1/36 | 148,575 | |
9,972 | # 910894, 5.000% due 2/1/37 | 10,961 | |
18,142 | # 912456, 6.500% due 3/1/37 | 20,828 | |
333,295 | # 973241, 5.000% due 3/1/38 | 379,377 | |
93,109 | # 975593, 5.000% due 6/1/38 | 106,135 | |
105,360 | # 257573, 5.500% due 2/1/39 | 120,166 | |
395,282 | # AD7128, 4.500% due 7/1/40 | 439,115 | |
4,087,382 | # AH1568, 4.500% due 12/1/40 | 4,541,738 | |
1,841,268 | # AH6991, 4.000% due 1/1/41 | 2,014,920 | |
853,024 | # AH4004, 4.500% due 3/1/41 | 942,088 | |
959,983 | # AH8351, 4.000% due 3/1/41 | 1,048,721 | |
841,700 | # AJ1315, 4.000% due 9/1/41 | 930,436 | |
1,109,420 | # AI8779, 4.000% due 11/1/41 | 1,214,335 | |
1,646,901 | # AJ5958, 4.000% due 12/1/41 | 1,799,957 | |
739,219 | # AK5070, 3.500% due 3/1/42 | 804,631 | |
3,189,154 | # AK5426, 3.500% due 3/1/42 | 3,441,995 | |
5,163,115 | # AT7682, 3.500% due 6/1/43 | 5,620,587 | |
4,709,701 | # AS6326, 3.500% due 12/1/45 | 5,060,988 | |
5,123,709 | # AS6881, 3.500% due 3/1/46 | 5,500,365 | |
4,551,964 | # BC0960, 4.000% due 6/1/46 | 4,910,652 | |
5,243,680 | # AS8966, 4.000% due 3/1/47 | 5,617,752 | |
5,614,941 | # AS9988, 4.500% due 7/1/47 | 6,076,679 | |
6,093,159 | # MA3210, 3.500% due 12/1/47 | 6,471,982 | |
6,941,350 | # BJ9251, 3.500% due 6/1/48 | 7,340,283 | |
9,746,140 | # MA3871, 3.000% due 12/1/49 | 10,294,743 | |
14,286,609 | # MA3937, 3.000% due 2/1/50 | 15,090,792 | |
122,120,043 | |||
Government National Mortgage Association — 1.8% | |||
758 | # 464049, 7.000% due 7/15/28 | 761 | |
11,034 | # 476259, 7.000% due 8/15/28 | 11,077 | |
7,018 | # 485264, 7.500% due 2/15/31 | 7,107 | |
16,161 | # 559304, 7.000% due 9/15/31 | 17,257 | |
235,146 | # 651859, 5.000% due 6/15/36 | 264,331 | |
145,288 | # 782150, 5.500% due 4/15/37 | 163,907 | |
28,912 | # 662521, 6.000% due 8/15/37 | 33,006 | |
53,917 | # 677545, 6.000% due 11/15/37 | 60,522 | |
53,661 | # 676291, 6.000% due 12/15/37 | 60,314 | |
54,021 | # 685836, 5.500% due 4/15/38 | 58,961 | |
347,066 | # 698235, 5.000% due 6/15/39 | 390,074 | |
6,966,904 | # MA6474, 3.000% due 2/20/50 | 7,424,265 | |
8,491,582 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $170,053,125) | 177,079,708 |
132 |
Face Amount | Value | ||
CORPORATE NOTES* — 22.7% | |||
Automotive — 0.4% | |||
$2,000,000 | American Honda Finance Corp., 3.450% due 7/14/23 | $2,070,715 | |
Banking — 5.3% | |||
10,000,000 | PNC Bank NA, 2.625% due 2/17/22 | 10,231,000 | |
6,500,000 | PNC Bank NA, 3.250% due 6/1/25 | 6,985,919 | |
7,000,000 | Truist Bank, 3.625% due 9/16/25 | 7,554,839 | |
24,771,758 | |||
Beverages, Food & Tobacco — 2.7% | |||
1,000,000 | Archer-Daniels-Midland Co., 2.750% due 3/27/25 | 1,064,518 | |
5,000,000 | Coca-Cola Co. (The), 2.875% due 10/27/25 | 5,470,647 | |
6,000,000 | Coca-Cola Co. (The), 2.250% due 9/1/26 | 6,371,947 | |
12,907,112 | |||
Communications — 4.0% | |||
14,000,000 | Amazon.com, Inc., 4.800% due 12/5/34 | 18,896,720 | |
Computer Software & Processing — 6.2% | |||
11,250,000 | Apple, Inc., 4.500% due 2/23/36 | 14,356,227 | |
8,000,000 | Microsoft Corp., 3.450% due 8/8/36 | 9,321,419 | |
5,000,000 | Oracle Corp., 2.800% due 4/1/27 | 5,365,369 | |
29,043,015 | |||
Insurance — 1.1% | |||
5,100,000 | Aflac, Inc., 2.875% due 10/15/26 | 5,148,836 | |
Pharmaceuticals — 1.2% | |||
5,000,000 | Merck & Co., Inc., 2.750% due 2/10/25 | 5,419,445 | |
Retailers — 1.8% | |||
5,325,000 | Target Corp., 7.000% due 1/15/38 | 8,441,515 | |
TOTAL CORPORATE NOTES (Cost $95,049,200) | 106,699,116 | ||
U.S. TREASURY NOTES/BONDS* — 18.8% | |||
11,000,000 | U.S. Treasury Bonds, 6.250% due 8/15/232 | 13,169,922 | |
5,000,000 | U.S. Treasury Bonds, 6.625% due 2/15/27 | 7,059,961 | |
12,000,000 | U.S. Treasury Bonds, 3.125% due 11/15/41 | 16,495,312 | |
9,000,000 | U.S. Treasury Bonds, 3.750% due 11/15/43 | 13,639,922 | |
5,000,000 | U.S. Treasury Bonds, 3.000% due 5/15/47 | 6,987,305 |
133 |
Face Amount | Value | ||
U.S. TREASURY NOTES/BONDS* — (Continued) | |||
$5,000,000 | U.S. Treasury Bonds, 2.750% due 8/15/47 | $6,696,484 | |
10,000,000 | U.S. Treasury Notes, 2.875% due 5/31/252 | 11,258,203 | |
6,000,000 | U.S. Treasury Notes, 2.250% due 8/15/27 | 6,742,969 | |
5,000,000 | U.S. Treasury Notes, 3.125% due 11/15/28 | 6,060,156 | |
TOTAL U.S. TREASURY NOTES/BONDS (Cost $76,360,727) | 88,110,234 | ||
REPURCHASE AGREEMENT* — 2.2% | |||
10,142,529 | With Fixed Income Clearing Corp., dated 4/30/20, 0.00%, principal and interest in the amount of $10,142,529, due 5/1/20, (collateralized by a U.S. Treasury Note with a par value of $9,975,000, coupon rate of 2.625%, due 6/15/2021, market value of $10,347,457) | 10,142,529 | |
TOTAL REPURCHASE AGREEMENT (Cost $10,142,529) | 10,142,529 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 2.7% | |||
12,756,024 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 12,756,024 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $12,756,024) | 12,756,024 | ||
TOTAL INVESTMENTS (Cost $443,308,726) | 102.4% | $480,201,445 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (2.4) | (11,119,093) | |
NET ASSETS | 100.0% | $469,082,352 |
* | Percentages indicated are based on net assets. |
1 | Represents current face amount at April 30, 2020. |
2 | Securities or partial securities on loan. See Note 1. |
3 | Represents an investment of securities lending cash collateral. |
134 |
% of Net Assets | Value | ||
Sector: | |||
Federal National Mortgage Association | 38.2% | $178,752,157 | |
Corporate | 22.7 | 106,699,116 | |
U.S. Treasury Notes/Bonds | 18.8 | 88,110,234 | |
Federal Home Loan Mortgage Corporation | 9.9 | 46,468,083 | |
Federal Home Loan Bank | 6.1 | 28,781,720 | |
Government National Mortgage Association | 1.8 | 8,491,582 | |
TOTAL | 97.5% | $457,302,892 | |
REPURCHASE AGREEMENT | 2.2 | 10,142,529 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 2.7 | 12,756,024 | |
TOTAL INVESTMENTS | 102.4% | $480,201,445 |
135 |
Face Amount | Value | ||
CORPORATE NOTES* — 0.6% | |||
Automotive — 0.6% | |||
$275,000 | American Honda Finance Corp., 2.200% due 6/27/221 | $276,074 | |
TOTAL CORPORATE NOTES (Cost $277,554) | 276,074 | ||
MUNICIPAL BONDS* — 94.2% | |||
Alabama — 1.8% | |||
300,000 | Alabama Federal Aid Highway Finance Authority, Revenue Bonds, 5.000% due 9/1/20 | 304,047 | |
535,000 | Black Belt Energy Gas District, AL, Gas Supply Revenue, Revenue Bonds, Series A, 4.000% due 7/1/46 | 545,465 | |
849,512 | |||
Alaska — 0.5% | |||
240,000 | North Slope Boro, AK, General Obligation Unlimited, Series B, 5.000% due 6/30/20 | 241,577 | |
Arizona — 1.5% | |||
250,000 | City of Phoenix Civic Improvement Corporation Airport, AMT, Junior Line Airport, Revenue Bonds, Series B, 5.000% due 7/1/23 | 273,120 | |
400,000 | Yuma, AZ, Municipal Property Corp., Excise Tax Revenue, Revenue Bonds, Refunding, 5.000% due 7/1/22 | 433,428 | |
706,548 | |||
California — 2.5% | |||
300,000 | California State, General Obligation Unlimited, Refunding, 5.000% due 4/1/242 | 341,538 | |
350,000 | City of Los Angeles, CA, Department of Airports, Airports, Revenue Bonds, Series D, 5.000% due 5/15/23 | 382,050 | |
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 | 214,649 | |
250,000 | San Diego, CA, Redevelopment Agency Tax Allocation Revenue, Series A, Prerefunded 9/1/20 @ 100, 7.750% due 9/1/40 | 255,365 | |
1,193,602 | |||
Colorado — 1.0% | |||
200,000 | City and County of Denver Co. Airport, Revenue Bonds, Variable Refunding, Govermental, Series D, 5.000% due 11/15/31 | 216,202 | |
125,000 | Colorado, ST, Housing and Finance Authority, Revenue Bonds, AMT-Class 1 Bonds, Series A (GNMA Insured), 1.400% due 11/1/22 | 124,358 | |
150,000 | Weld County, CO, Reorganized School District No. RE-8, General Obligation Unlimited, (State Aid Withholding), 4.000% due 12/1/20 | 152,817 | |
493,377 | |||
Connecticut — 3.3% | |||
Connecticut State Health and Educational Facilities Authority, Revenue Bonds, Refunding, Nuvance Halthe Issue, Series A: | |||
500,000 | 5.000% due 7/1/24 | 553,530 | |
750,000 | 1.100% due 7/1/48 | 742,020 | |
285,000 | Connecticut, CT, General Obligation Unlimited, Refunding, Series C, 5.000% due 6/1/24 | 302,824 | |
1,598,374 |
136 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
District Of Columbia — 2.3% | |||
$1,000,000 | Metropolitan Washington, DC, Airports Authority, Airport System, Revenue Bonds, AMT-Forward Delivery, Refunding, Series A, 5.000% due 10/1/242 | $1,110,760 | |
Florida — 3.7% | |||
275,000 | Central Florida Expressway Authority Senior Line, Revenue Bonds, Series A, 5.000% due 7/1/23 | 301,584 | |
335,000 | County of Broward FL Airport System Revenue, Revenue Bonds, AMT, Series A, Prerefunded 10/01/23 @ 100, 5.250% due 10/1/27 | 381,377 | |
500,000 | County of Broward FL Port Facilities, Revenue Bonds, Refunding, Subordinate Bond, Series D, 5.000% due 9/1/24 | 565,265 | |
255,000 | Orlando & Orange County, FL, Expressway Authority, Revenue Bonds, Refunding, 5.000% due 7/1/23 | 275,739 | |
250,000 | Orlando & Orange County, FL, Expressway Authority, Revenue Bonds, Refunding, Series B (AGMC Insured), 5.000% due 7/1/21 | 251,628 | |
1,775,593 | |||
Georgia — 0.4% | |||
200,000 | Atlanta, GA, Airport General Revenue, Revenue Bonds, Series C, 5.000% due 1/1/23 | 210,298 | |
Idaho — 0.4% | |||
200,000 | Idaho, Housing & Finance Association, Revenue Bonds, 5.000% due 7/15/20 | 201,588 | |
Illinois — 8.3% | |||
500,000 | Chicago, IL, O’Hare International Airport, Revenue Bonds, Refunding, Series B, 5.672% due 1/1/22 | 531,725 | |
300,000 | Cook County, IL, School District No. 100 South Berwyn, General Obligation Unlimited, Refunding, (BAM), 4.000% due 12/1/23 | 326,550 | |
500,000 | DeKalb County, IL, Community Unit School District No. 428 DeKalb, General Obligation Unlimited, Refunding, 5.000% due 1/1/24 | 566,730 | |
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 | 410,664 | |
300,000 | Illinois State Finance Authority, Revenue Bonds, Series L, 4.000% due 12/1/20 | 304,833 | |
Illinois State, General Obligation Unlimited: | |||
100,000 | 4.000% due 9/1/20 | 99,856 | |
130,000 | 5.000% due 1/1/21 | 130,142 | |
150,000 | Illinois State, General Obligation Unlimited, Series A, 4.000% due 1/1/24 | 145,179 | |
115,000 | Illinois State, General Obligation, Refunding, 5.000% due 8/1/23 | 114,402 | |
255,000 | McHenry County, IL, Conservation District, General Obligation Unlimited, Refunding, 5.000% due 2/1/24 | 289,338 | |
300,000 | Regional Transportation Authority, IL, Revenue Bonds, Series A, 5.000% due 6/1/21 | 309,195 | |
450,000 | Regional Transportation Authority, IL, Revenue Bonds, Series A (NPFG Insured), 5.500% due 7/1/20 | 452,704 | |
295,000 | St. Clair County, IL, Community Unit School District No 19, General Obligation, Refunding, 4.000% due 2/1/22 | 308,930 | |
3,990,248 | |||
Kentucky — 3.2% | |||
180,000 | Kentucky State Property & Building Commission, Revenue Bonds, Refunding Project No. 112, Series B, 5.000% due 11/1/21 | 189,259 |
137 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Kentucky — (Continued) | |||
$330,000 | Kentucky State, Property & Building Commission Revenue, Project No. 84, Revenue Bonds, Refunding, (NPFG Insured), 5.000% due 8/1/20 | $332,888 | |
200,000 | Kentucky State, Property & Building Commission Revenues, Revenue Bonds, Refunding, Series B, 5.000% due 8/1/20 | 201,750 | |
300,000 | Louisville & Jefferson County, KY, Metropolitan Government Health System Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/23 | 329,088 | |
500,000 | McCracken County, KY,School District Finance Corp, Revenue Bonds, Series A (State Aid Intercept), 2.500% due 7/1/21 | 506,580 | |
1,559,565 | |||
Louisiana — 2.6% | |||
300,000 | Ernest N Morial-New Orleans, LA, Exhibition Hall Authority, Special Tax, Refunding, 5.000% due 7/15/21 | 309,897 | |
400,000 | Louisiana State, General Obligation Unlimited, Series A, 4.000% due 9/1/21 | 415,644 | |
500,000 | New Orleans, LA, Sewage Service Revenue, Revenue Bonds, Refunding, 5.000% due 6/1/22 | 537,055 | |
1,262,596 | |||
Maryland — 1.2% | |||
500,000 | Maryland State, General Obligation Unlimited, Refunding, Series B, 5.000% due 8/1/24 | 581,255 | |
Massachusetts — 0.6% | |||
300,000 | Massachusetts State, MA, General Obligation Limited, Refunding, Series B, 5.000% due 1/1/21 | 308,193 | |
Michigan — 6.0% | |||
140,000 | Dansville, MI, Schools, General Obligation Unlimited, (QSBLF Insured), 4.000% due 5/1/20 | 140,000 | |
400,000 | Detroit, MI, City School District, General Obligation Unlimited, Series A, (QSBLF Insured), 6.000% due 5/1/21 | 419,076 | |
260,000 | L’Anse Creuse, MI, Public Schools, General Obligation Unlimited, Refunding, (QSBLF Insured), 5.000% due 5/1/20 | 260,000 | |
425,000 | Maple Valley, MI, Schools, General Obligation Unlimited, Refunding (QSBLF Insured), 4.000% due 5/1/23 | 456,815 | |
200,000 | Michigan State Finance Authority Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 5/15/23 | 218,128 | |
200,000 | Michigan State Finance Authority Revenue, Revenue Bonds, Refunding, Series MI-1, 5.000% due 12/1/23 | 223,162 | |
250,000 | Michigan State Finance Authority Revenue, Revenue Bonds, Taxable-Refunding-Trainity Health Credit Group, Series T, 2.208% due 12/1/23 | 250,163 | |
500,000 | Michigan State, Finance Authority Revenue, Revenue Bonds, Series 2019B, 3.500% due 11/15/44 | 522,895 | |
400,000 | Ypsilanti, MI, School District, General Obligation Unlimited, Refunding, Series B, (QSBLF Insured), 2.250% due 5/1/21 | 403,692 | |
2,893,931 | |||
Minnesota — 1.9% | |||
100,000 | Minneapolis, MN, St. Paul, Housing & Redevelopment Authority Health Care, Revenue Bonds, Refunding, Series A, 5.000% due 11/15/20 | 102,224 | |
500,000 | Minneapolis-St Paul Metropolitan Airports Commission, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/25 | 560,350 |
138 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Minnesota — (Continued) | |||
$250,000 | St. Paul, MN, Housing & Redevelopment Authority Health Care, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/21 | $261,425 | |
923,999 | |||
Mississippi — 1.1% | |||
500,000 | Mississippi State, Development Bank, Special Obligation, Jackson Public School District Project, Revenue Bonds, Refunding, Series A, 5.000% due 4/1/21 | 517,340 | |
New Jersey — 2.1% | |||
525,000 | New Jersey State Economic Development Authority Revenue, Revenue Bonds, Refunding, Series NN, 5.000% due 3/1/22 | 537,379 | |
500,000 | New Jersey State Turnpike Authority, Revenue Bonds, Refunding, Series C-1, (1M USD LIBOR * 0.7+ 0.34%), 1.029% due 1/1/213 | 497,620 | |
1,034,999 | |||
New York — 2.9% | |||
600,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series A-2S, 4.000% due 2/1/22 | 588,822 | |
250,000 | New York State Dormitory Authority, Personal Income Tax, Revenue Bonds, Refunding, Series A, 5.000% due 3/15/24 | 283,575 | |
150,000 | New York State Dormitory Authority, Sales Tax Revenue, Revenue Bonds, Series 2015B-A, 5.000% due 3/15/24 | 169,842 | |
350,000 | New York, Metropolitan Transportation Authority Revenue, Dedicated Tax Fund, Series A, 5.255% due 11/15/22 | 373,397 | |
1,415,636 | |||
North Carolina — 0.2% | |||
100,000 | New Hanover County, NC, Hospital Revenue, Revenue Bonds, Refunding, 5.000% due 10/1/21 | 104,672 | |
Ohio — 5.8% | |||
City of Akron OH Income Tax Revenue, Revenue Bonds: | |||
355,000 | 4.000% due 12/1/22 | 381,266 | |
360,000 | 4.000% due 12/1/23 | 395,561 | |
500,000 | Lake, OH, Local School District Wood County, General Obligation Unlimited, Refunding, (School District Credit Program), 2.000% due 12/1/20 | 503,665 | |
265,000 | Ohio State University, General Receipts Athens, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/20 | 271,294 | |
325,000 | Ohio State, Higher Educational Facility Commission, Revenue Bonds, Refunding, 5.000% due 10/1/23 | 353,376 | |
425,000 | Ohio State, Hospital Facilities Revenue, Revenue Bonds, Series A, 5.000% due 1/15/23 | 446,237 | |
390,000 | State of Ohio, General Obligation Unlimited, Series C, 5.000% due 3/1/24 | 446,722 | |
2,798,121 | |||
Pennsylvania — 18.4% | |||
370,000 | Allegheny County, PA, Sanitary Authority, Revenue Bonds, Refunding, 5.000% due 12/1/20 | 378,787 | |
475,000 | Allegheny County, PA, General Obligation Unlimited, Refunding, Series C-75, 4.000% due 11/1/21 | 496,047 | |
325,000 | Allegheny County, PA, Hospital Development Authority, Revenue Bonds, Refunding University of Pittsburgh Center Series A, 5.000% due 7/15/25 | 369,142 | |
300,000 | Allegheny County, PA, Hospital Development Authority, Revenue Bonds, Series A, 5.000% due 7/15/23 | 327,366 |
139 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
Bensalem Township, PA, School District, General Obligation, Taxable Refunding: | |||
$145,000 | 1.835% due 6/1/21 | $145,510 | |
175,000 | 1.855% due 6/1/22 | 176,120 | |
160,000 | 1.917% due 6/1/23 | 161,506 | |
215,000 | 1.972% due 6/1/24 | 217,662 | |
400,000 | Bucks County, PA, Centennial School District, General Obligation Limited, Refunding, Series B, (State Aid Withholding), 5.000% due 12/15/21 | 425,612 | |
675,000 | City of Philadelphia PA, General Obligation Unlimited, Refunding, 5.000% due 8/1/22 | 730,627 | |
515,000 | City of Philadelphia, PA, Airport Revenue, Revenue Bonds, AMT Refunding, Series B, 5.000% due 7/1/24 | 571,217 | |
390,000 | Danville, PA, Area School District, General Obligation Limited, Refunding, Series B, (State Aid Withholding), 4.000% due 11/1/20 | 395,975 | |
300,000 | East Stroudsburg, PA, Area School District, General Obligation Limited, Refunding, Series A, (State Aid Withholding), 5.000% due 9/1/20 | 304,029 | |
400,000 | Lehigh Country, PA, General Purpose Hospital, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/23 | 436,220 | |
425,000 | Montgomery County, PA, Higher Education and Health Authority, Revenue Bonds, Refunding, 5.000% due 9/1/23 | 461,303 | |
100,000 | Montgomery County, PA, Industrial Development Authority, Revenue Bonds, Refunding, 4.000% due 12/1/22 | 101,275 | |
380,000 | Pennsylvania State Turnpike Authority, Revenue Bonds, Refunding, 5.000% due 12/1/22 | 416,518 | |
365,000 | Pennsylvania State, General Obligation Unlimited, Refunding, 5.000% due 7/1/20 | 367,519 | |
435,000 | Pennsylvania State, General Obligation Unlimited, Refunding, First Series, 5.000% due 8/15/20 | 440,316 | |
500,000 | Pennsylvania State, University, Revenue Bonds, 1.580% due 6/1/31 | 500,195 | |
200,000 | Philadelphia, PA, School District, General Obligation Ltd, Series A (State Aid Withholding), 5.000% due 9/1/23 | 224,244 | |
300,000 | Pittsburgh, PA, Public Parking Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/23 | 336,966 | |
200,000 | Pittsburgh, PA, School District, General Obligation Unlimited, Refunding, Series A, (State Aid Withholding), 5.000% due 9/1/22 | 210,404 | |
305,000 | Springfield Township, PA, School District, Montgomery County, General Obligation Limited, Refunding, (State Aid Withholding), 4.000% due 11/15/20 | 309,959 | |
355,000 | State Public School Building Authority Paclg, Revenue Bonds, Refunding-Community College of Allegheny Co. Project, Series B (BAM), 4.000% due 7/15/22 | 369,590 | |
8,874,109 | |||
Rhode Island — 0.9% | |||
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 | 428,136 | |
Tennessee — 2.0% | |||
Tennessee, TN, Housing Development Agency Residential Finance Program Revenue, Revenue Bonds: | |||
370,000 | 1.800% due 7/1/21 | 372,916 | |
600,000 | 1.400% due 1/1/22 | 601,452 | |
974,368 |
140 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Texas — 9.9% | |||
Arlington, TX, Higher Education Finance Corp., Revenue Bonds, Refunding, Series A, (PSF Guaranteed): | |||
$200,000 | 4.000% due 2/15/21 | $204,666 | |
325,000 | 5.000% due 8/15/22 | 351,676 | |
310,000 | 5.000% due 8/15/23 | 345,207 | |
100,000 | Brushy Creek, TX, Regional Utility Authority, Inc., Contract Revenue, Refunding, 3.000% due 8/1/20 | 100,505 | |
490,000 | Dallas, TX, Independent School District, General Obligation Unlimited, Series B-5, (PSF Guaranteed), 5.000% due 2/15/36 | 503,833 | |
60,000 | Denton Independent School District, General Obligation Unlimited, (PSF Guaranteed), 2.000% due 8/1/43 | 200,411 | |
200,000 | Georgetown, TX, Independent School District, General Obligation Unlimited, Series B, (PSF Guaranteed), 2.000% due 8/1/41 | 200,352 | |
300,000 | Harris County, TX, Senior Lien, Revenue Bonds, Refunding, Series A, 5.000% due 8/15/21 | 315,582 | |
225,000 | Houston, TX, Community College, General Obligation Limited, 5.000% due 2/15/23 | 247,288 | |
400,000 | Houston, TX, Independent School District, General Obligation Limited, Refunding, (PSF Guaranteed), 1.450% due 6/1/29 | 399,904 | |
240,000 | Lower Colorado River Texas Authority, Transmission Contract Revenue, Revenue Bonds, Refunding Series D, 5.000% due 5/15/20 | 240,298 | |
195,000 | North East, TX, Independent School District, General Obligation Unlimited, Series B, (PSF Guaranteed), 1.420% due 8/1/40 | 195,064 | |
500,000 | North Texas, Tollway Authority Revenue, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/23 | 544,255 | |
320,000 | Texas State, TX, A&M University Revenue, Revenue Bonds, Series B, Prerefunded 5/15/23 @ 100, 5.000% due 5/15/32 | 360,160 | |
565,000 | Texas, TX, College Student Loan, General Obligation Unlimited, 5.500% due 8/1/21 | 595,996 | |
4,805,197 | |||
Washington — 6.3% | |||
350,000 | Chelan County, WA, Public Utility District No 1, Revenue Bonds, Refunding, Series A (NPFG Insured), 0.000% due 6/1/234 | 334,078 | |
550,000 | Energy Northwest, WA, Taxable Columbia Generating Electicity Reveune, Revenue Bonds, Series E, 2.803% due 7/1/21 | 558,019 | |
300,000 | Grant County, WA, Public Utility District No. 2, Revenue Bonds, Refunding, 2.000% due 1/1/445 | 300,792 | |
425,000 | Klickitat Country, WA, Public Utility Distic, Revenue Bonds, Refunding, Series B (AGMC Insured), 2.277% due 12/1/23 | 434,380 | |
125,000 | Lewis County, WA, Public Utility District No 1, Cowlitz Falls Hydroelectric Project, Revenue Bonds, Refunding, 5.000% due 10/1/22 | 136,855 | |
State of Washington, General Obligation, Refunding-R-2021A-Forward Delivery: | |||
250,000 | 5.000% due 6/1/222 | 261,743 | |
500,000 | 5.000% due 6/1/232 | 543,105 | |
Washington State Housing Finance Commission, Revenue Bonds, AMT-Refunding, Series 2A (GNMA / FNMA / FHLMC): | |||
125,000 | 1.650% due 6/1/21 | 125,190 | |
110,000 | 1.700% due 12/1/21 | 110,178 | |
225,000 | Whatcom County,WA, School District No. 502 Ferndale, General Obligation Unlimited, Refunding, 3.000% due 12/1/21 | 232,229 | |
3,036,569 | |||
Wisconsin — 2.6% | |||
215,000 | Eau Claire WI, General Obligation Unlimited, Series D, 1.400% due 4/1/24 | 214,748 | |
150,000 | Wisconsin Housing and Economic Development Authority, Revenue Bonds, Series A, 1.550% due 11/1/38 | 150,264 |
141 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Wisconsin — (Continued) | |||
$275,000 | Wisconsin State, Health & Educational Facilities Authority Revenue, Revenue Bonds, Prerefunded 6/1/20 @ 100, 5.250% due 6/1/34 | $275,902 | |
250,000 | Wisconsin State, Health & Educational Facilities Authority Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/23 | 276,000 | |
300,000 | Wisconsin State, WI, Transportation Revenue, Revenue Bonds, Series 2, 5.000% due 7/1/23 | 325,677 | |
1,242,591 | |||
Wyoming — 0.8% | |||
400,000 | Wyoming State, Community Development Authority, Revenue Bonds, Series 1, 1.950% due 12/1/22 | 405,560 | |
TOTAL MUNICIPAL BONDS (Cost $45,508,463) | 45,538,314 | ||
Shares | |||
REGISTERED INVESTMENT COMPANY* — 1.3% | |||
41,460 | BlackRock Municipal 2020 Term Trust | 612,364 | |
TOTAL REGISTERED INVESTMENT COMPANY (Cost $631,357) | 612,364 | ||
Face Amount | |||
AGENCY NOTES* — 1.0% | |||
Federal Home Loan Bank — 1.0% | |||
$500,000 | 2.000% due 1/21/25 | 501,637 | |
TOTAL AGENCY NOTES (Cost $499,976) | 501,637 | ||
REPURCHASE AGREEMENT* — 3.3% | |||
1,582,331 | With Fixed Income Clearing Corp., dated 4/30/20, 0.00%, principal and interest in the amount of $1,582,331, due 5/1/20, (collateralized by a U.S. Treasury Note with a par value of $1,560,000, coupon rate of 2.625%, due 6/15/2021, market value of $1,618,249) | 1,582,331 | |
TOTAL REPURCHASE AGREEMENT (Cost $1,582,331) | 1,582,331 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.4% | |||
206,500 | State Street Navigator Securities Lending Government Money Market Portfolio6 | 206,500 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $206,500) | 206,500 | ||
TOTAL INVESTMENTS (Cost $48,706,181) | 100.8% | $48,717,220 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.8) | (407,449) | |
NET ASSETS | 100.0% | $48,309,771 |
142 |
* | Percentages indicated are based on net assets. |
1 | Securities or partial securities on loan. See Note 1. |
2 | When-issued security. |
3 | Floating Rate Bond. Rate shown is as of April 30, 2020. |
4 | Zero Coupon Bond. |
5 | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. |
6 | Represents an investment of securities lending cash collateral. |
Abbreviations: |
AGMC — Assured Guaranty Municipal Corporation |
BAM — Build America Mutual |
FHLMC — Federal Home Loan Mortgage Corporation |
FNMA — Federal National Mortgage Association |
GNMA — Government National Mortgage Association |
NPFG — National Public Finance Guarantee Corporation |
PSF — Permanent School Fund |
QSBLF — Michigan Qualified School Bond Loan Fund |
143 |
% of Net Assets | Value | ||
SECTOR: | |||
Municipal Bonds | 94.2% | $45,538,314 | |
Registered Investment Company | 1.3 | 612,364 | |
Agency Notes | 1.0 | 501,637 | |
Corporate Notes | 0.6 | 276,074 | |
TOTAL | 97.1% | $46,928,389 | |
REPURCHASE AGREEMENT | 3.3 | 1,582,331 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 0.4 | 206,500 | |
TOTAL INVESTMENTS | 100.8% | $48,717,220 |
144 |
Face Amount | Value | ||
MUNICIPAL BONDS* — 97.0% | |||
Alabama — 1.2% | |||
$500,000 | Jefferson County, AL, Sewer Revenue Warrants, Series E, 0.000% due 10/1/341 | $202,055 | |
500,000 | Jefferson County, AL, Sewer Revenue, Series B, (AGMC Insured), 0.000% due 10/1/251 | 439,350 | |
1,070,000 | Jefferson County, AL, Sewer Revenue, Series D, Warrants, 6.000% due 10/1/42 | 1,219,886 | |
500,000 | Montgomery, AL, Medical Clinic, Board Health Care Facility Revenue, Refunding, 5.000% due 3/1/30 | 546,725 | |
2,408,016 | |||
Alaska — 0.6% | |||
1,225,000 | Alaska State, Housing Finance Corp., Revenue Bonds, Series A, 4.000% due 12/1/48 | 1,302,469 | |
Arizona — 2.7% | |||
300,000 | Arizona State, Industrial Development Authority, Education Revenue, Basis Schools Projects, Revenue Bonds, Refunding, Series A, 5.250% due 7/1/472 | 275,634 | |
500,000 | Arizona State, Industrial Development Authority, Education Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/322 | 491,480 | |
Arizona State, Industrial Development Authority, Education Revenue, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 7/1/492 | 221,050 | |
125,000 | 5.000% due 7/15/492 | 111,478 | |
250,000 | 4.000% due 7/15/502 | 189,677 | |
300,000 | Arizona State, Industrial Development Authority, Education Revenue, Revenue Bonds, Series B, 5.500% due 7/1/382 | 302,970 | |
80,000 | Florence Town, Inc., AZ, Industrial Development Authority, Legacy Traditional School Project, Revenue Bonds, 5.000% due 7/1/23 | 81,646 | |
250,000 | Glendale, AZ, Industrial Development Authority, Senior Living Facility, Revenue Bonds, 5.000% due 5/15/39 | 252,907 | |
750,000 | Maricopa County, AZ, Industrial Development Authority, Educational Revenue, Revenue Bonds, Refunding, 5.000% due 7/1/362 | 710,902 | |
375,000 | Maricopa County, AZ, Industrial Development Authority, Revenue Bonds, Series A, 6.000% due 7/1/522 | 383,205 | |
250,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Basis Schools, Inc., Revenue Bonds, 5.000% due 7/1/452 | 222,772 | |
500,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Basis Schools, Inc., Revenue Bonds, Refunding, 5.000% due 7/1/352 | 475,960 | |
205,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Basis Schools, Inc., Revenue Bonds, Refunding, Series A, 3.000% due 7/1/202 | 204,592 | |
Phoenix, AZ, Industrial Development Authority, Education Revenue, Legacy Traditional Schools Project, Revenue Bonds, Series A: | |||
300,000 | 5.750% due 7/1/242 | 313,716 | |
500,000 | 6.750% due 7/1/442 | 536,900 | |
500,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Revenue Bonds, Series A, 5.000% due 7/1/462 | 464,850 | |
135,000 | Pima, AZ, Industrial Development Authority, Education Revenue, Revenue Bonds, Refunding, 5.000% due 6/15/492 | 107,937 | |
150,000 | Tempe, AZ, Industrial Development Authority, Revenue Bonds, 5.000% due 12/1/54 | 117,314 | |
5,464,990 |
145 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
California — 3.3% | |||
$250,000 | California Public Finance Authority, Revenue Bonds, Refunding, 5.000% due 10/15/47 | $257,940 | |
297,216 | California State, Housing Finance Agency Municipal Certificates, Revenue Bonds, Series A, 4.250% due 1/15/35 | 286,563 | |
400,000 | California State, Infrastructure and Economic Development Bank, Revenue Bonds, Refunding, Series E, 1.750% due 11/1/263 | 408,000 | |
California State, Municipal Finance Authority, Educational Revenue, Refunding, Series A: | |||
360,000 | 5.000% due 6/1/36 | 367,157 | |
500,000 | 5.000% due 6/1/46 | 504,515 | |
300,000 | California State, Municipal Finance Authority, Revenue Bonds, Series A, 5.000% due 11/1/462 | 286,854 | |
335,000 | California State, School Financing Authority, Rocketship Education Obligated Group, Revenue Bonds, Series A, 5.250% due 6/1/522 | 306,029 | |
250,000 | California State, Statewide Communities Development Authority, CHF Irvine LLC, Revenue Bonds, 5.000% due 5/15/29 | 270,945 | |
895,000 | California State, Statewide Communities Development Authority, Student Housing Revenue, Revenue Bonds, 4.305% due 7/1/32 | 867,327 | |
1,000,000 | Golden, ST, Tobacco Securitization Corp., Tabacco Settelment, Revenue Bonds, Series B, 0.000% due 6/1/471 | 179,290 | |
720,000 | Madera, CA, Unified School District, General Obligation Unlimited, (NPFG Insured), 0.000% due 5/1/301 | 580,183 | |
500,000 | Northern, CA, Gas Authority No. 1, Gas Project Revenue, Revenue Bonds, Series B, (3M USD LIBOR * 0.67 + 0.72%), 1.680% due 7/1/274 | 465,785 | |
500,000 | Oroville, CA, Revenue Bonds, 5.250% due 4/1/54 | 523,880 | |
500,000 | River Islands, CA, Public Financing Authority, Special Tax, Series A, 5.000% due 9/1/48 | 526,775 | |
1,000,000 | Riverside County, Redevelopment Successor Agency, Revenue Bonds, Series B, 0.000% due 10/1/391 | 548,860 | |
200,000 | Seal Beach, CA, Community Facilities District No. 2005-1, Special Tax, Refunding, 3.000% due 9/1/29 | 197,624 | |
6,577,727 | |||
Colorado — 10.9% | |||
500,000 | Amber Creek, Metropolitan District, General Obligation Limited, Refunding, Series A, 5.125% due 12/1/47 | 436,420 | |
1,000,000 | Arista, CO, Metropolitan District, General Obligation Limited, Series A, 4.375% due 12/1/28 | 965,130 | |
Arkansas River Power Authority, CO, Power Revenue, Revenue Bonds, Refunding, Series A: | |||
500,000 | 5.000% due 10/1/33 | 527,030 | |
400,000 | 5.000% due 10/1/43 | 406,692 | |
500,000 | Base Village Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 5.750% due 12/1/46 | 488,010 | |
500,000 | Belleview Station, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, 5.000% due 12/1/36 | 464,700 | |
500,000 | Big Dry Creek, Metropolitan District, General Obligation Limited, Series A, 5.750% due 12/1/47 | 464,825 | |
350,000 | Bradburn, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 4.000% due 12/1/28 | 338,009 | |
775,000 | Broadway Station Metropolitan District No 3, General Obligation, Ltd., 5.000% due 12/1/49 | 643,537 | |
750,000 | Buffalo Ridge, CO, Metropolitan District, General Obligation Limited, Series B, 7.375% due 12/15/47 | 681,090 | |
500,000 | Clear Creek Station, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 5.000% due 12/1/47 | 438,490 |
146 |
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 | $558,156 | |
500,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Christian Living Neighborhoods Project, Revenue Bonds, Refunding, 5.000% due 1/1/31 | 464,730 | |
400,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Refunding, 5.000% due 1/1/37 | 359,760 | |
700,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Refunding, Series A, 5.250% due 5/15/37 | 657,958 | |
700,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Revenue Bonds, Refunding, Prerefunded 6/1/27 @ 100, 5.000% due 6/1/37 | 879,361 | |
660,000 | Colorado State, Health Facilities Authority, Refunding, Series A, Prerefunded 6/1/25 @ 100, 5.000% due 6/1/45 | 789,228 | |
165,000 | Colorado State, Health Facilities Authority, Revenue Bonds, Prerefunded 6/1/23 @ 100, 5.625% due 6/1/43 | 189,133 | |
455,000 | Colorado State, Housing and Finance Authority, Non Amount Non ACE SF Mortgage, Revenue Bonds, Series C, (GNMA Insured), 4.250% due 11/1/48 | 489,939 | |
300,000 | Copper Ridge Metropolitan District, Revenue Bonds, 4.000% due 12/1/29 | 269,532 | |
250,000 | Denver, CO, Urban Renewal Authority, Tax Increment Revenue, Series A, 5.250% due 12/1/392 | 230,453 | |
590,000 | DIATC Metropolitan District, CO, General Obligation Limited, 3.250% due 12/1/292 | 515,878 | |
500,000 | Dinosaur Ridge Metropolitan District, CO, Special Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/49 | 420,675 | |
150,000 | E-470, CO, Public Highway Authority, Revenue Bonds, Refunding, Series B, (1M USD LIBOR * 0.67 + 1.05%), 1.469% due 9/1/394 | 149,873 | |
1,000,000 | Gardens on Havana, CO, Metropolitan District No. 3, Revenue Bonds, Series A, 4.625% due 12/1/27 | 987,710 | |
945,000 | Harmony Technology Park, Metropolitan District No. 2, General Obligation Limited, 4.500% due 12/1/32 | 853,203 | |
500,000 | Hunters Overlook, CO, Metropolitan District No. 5, General Obligation Limited, Series A, 5.000% due 12/1/49 | 438,630 | |
500,000 | Independence Metropolitan District No 3, General Obligation Limited, Series A, 6.250% due 12/1/49 | 490,535 | |
500,000 | Leyden Ranch, Metropolitan District, General Obligation Unlimited, Series A, 5.125% due 12/1/47 | 456,155 | |
750,000 | Leyden Rock, Metropolitan District No. 10, General Obligation Limited, Series A, 5.000% due 12/1/45 | 718,657 | |
500,000 | Midcities Metropolitan District No. 2, CO, Special Revenue, Revenue Bonds, Refunding, Series B, 7.750% due 12/15/46 | 457,820 | |
144,000 | Mountain Shadows, CO, Metropolitan District, General Obligation Limited, 3.250% due 12/1/20 | 143,483 | |
500,000 | Parkside, CO, Centre Business Improvement District, Company Special Revenue, Revenue Bonds, Series A, 6.250% due 12/1/48 | 439,470 | |
500,000 | Serenity Ridge, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 5.125% due 12/1/43 | 446,890 | |
750,000 | Solaris, CO, Metropolitan District No. 3, General Obligation Limited, Refunding, Series A, 5.000% due 12/1/36 | 726,960 | |
Southglenn, CO, Metropolitan District, Special Revenue, General Obligation Limited, Refunding: | |||
347,000 | 3.000% due 12/1/21 | 339,609 | |
750,000 | 5.000% due 12/1/30 | 732,442 |
147 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Colorado — (Continued) | |||
Southlands, CO, Metropolitan District No. 1, General Obligation Unlimited, Series A-2: | |||
$215,000 | 3.500% due 12/1/27 | $206,032 | |
325,000 | 5.000% due 12/1/47 | 313,677 | |
555,000 | STC Metropolitan District No 2, General Obligation, Ltd., 3.000% due 12/1/25 | 507,686 | |
500,000 | Tallyns Reach, CO, Metropolitan District No. 3, General Obligation Limited, Series A, 6.750% due 11/1/38 | 469,350 | |
520,000 | Thompson Crossing Metropolitan District No. 4, General Obligation Limited, Refunding, 3.500% due 12/1/29 | 470,564 | |
Vauxmont Metropolitan District, General Obligation Ltd, (AGMC Insured): | |||
250,000 | 5.000% due 12/1/325 | 295,303 | |
160,000 | 5.000% due 12/15/32 | 180,970 | |
500,000 | Westcreek Metropolitan District No 2, General Obligation Limited, Series A, 5.375% due 12/1/48 | 439,930 | |
21,943,685 | |||
Connecticut — 1.0% | |||
450,000 | Connecticut State Health & Educational Facilities Authority Revenue, Revenue Bonds, Series A-1, 5.000% due 10/1/392 | 406,426 | |
425,000 | Connecticut State Health & Educational Facilities Authority, Church Home of Hartford, Inc. Project, Revenue Bonds, Series A, 5.000% due 9/1/532 | 368,369 | |
165,000 | Connecticut State Health and Educational Facilities Authority, Revenue Bonds, 5.000% due 7/1/502 | 173,625 | |
250,000 | Harbor Point, CT, Infrastructure Improvement District, Special Obligation Revenue, Tax Allocation, Refunding, 5.000% due 4/1/302 | 261,562 | |
800,000 | Mohegan Tribe of Indians, CT, Gaming Authority, Revenue Bonds, Series A, 5.500% due 8/1/262 | 815,592 | |
2,025,574 | |||
District Of Columbia — 0.9% | |||
225,000 | District of Columbia, KIPP DC Obligated Group, Revenue Bonds, Series A, 5.000% due 7/1/27 | 246,843 | |
3,415,000 | District of Columbia, Tobacco Settlement Financing Corp., Revenue Bonds, Series A, 0.000% due 6/15/461 | 570,339 | |
2,000,000 | Metropolitan Washington, DC, Airports Authority Dulles Toll Road Revenue, Revenue Bonds, Series B, (AGMC Insured), 0.000% due 10/1/401 | 1,040,480 | |
1,857,662 | |||
Florida — 6.4% | |||
Atlantic, FL, Beach Floating Healthcare Facilities, Revenue Bonds, Series A: | |||
505,000 | 5.000% due 11/15/33 | 506,384 | |
250,000 | 5.000% due 11/15/53 | 227,762 | |
250,000 | Capital Trust Agency Inc, Revenue Bonds, 5.000% due 10/15/492 | 215,632 | |
255,000 | Capital Trust Agency, FL, Educational Facilities Lease, Revenue Bonds, 5.000% due 12/15/502 | 218,178 | |
220,000 | Capital Trust Agency, FL, Educational Facilities Revenue, Advantage Academy of Hillsborough Projects, Revenue Bonds, Series A, 4.000% due 12/15/24 | 225,091 | |
160,000 | Capital Trust Agency, FL, Educational Facilities Revenue, Viera Charter School, Inc. Project, Revenue Bonds, Series A, 5.000% due 10/15/372 | 147,384 | |
150,000 | Collier County, FL, Health Facilities Authority, Residential Care Facility Revenue, Refunding, Series A, 3.000% due 5/1/20 | 150,000 |
148 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — (Continued) | |||
$300,000 | Escambia County, FL, Health Facilities Authority, Revenue Bonds, Refunding, Series A, 4.000% due 8/15/45 | $292,299 | |
500,000 | Florida Development Finance Corp., Healthcare Facilities Revenue, University of Florida Health Project, Series A, 6.000% due 2/1/33 | 515,505 | |
200,000 | Florida State Higher Educational Facilities Financial Authority, Jacksonville University Project, Revenue Bonds, Series A-1, 5.000% due 6/1/482 | 156,386 | |
1,360,000 | Florida State Housing Finance Corp., Revenue Bonds, Series 1 (GNMA/FNMA/FHLMC Insured), 4.000% due 7/1/49 | 1,445,027 | |
1,900,000 | Gainesville, FL, Utilities Systems Revenue, Revenue Bonds, Refunding, Series C, 0.120% due 10/1/473 | 1,900,000 | |
250,000 | Jacksonville, FL, Educational Facilities Revenue, Jacksonville University Project, Revenue Bonds, Series B, 5.000% due 6/1/532 | 191,323 | |
300,000 | Lakewood Ranch, FL, Stewardship District, Special Assessment Revenue, 5.375% due 5/1/47 | 308,886 | |
325,000 | Lee County, FL, Industrial Development Authority, Shell Point/Waterside Health Project, Revenue Bonds, 5.000% due 11/15/39 | 329,670 | |
500,000 | Miami, FL, World Center Community Development District, Special Assessment, 5.125% due 11/1/39 | 513,720 | |
1,250,000 | North Broward, FL, Hospital District, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/48 | 1,329,300 | |
750,000 | Orange County, FL, Health Facilities Authority Revenue, 5.000% due 8/1/40 | 750,285 | |
1,000,000 | Orange County, FL, Health Facilities Authority, Revenue Bonds, Refunding, 5.000% due 8/1/41 | 997,330 | |
Palm Beach County, FL, Health Facilities Authority, Lifespace Communities, Revenue Bonds, Refunding, Series C: | |||
295,000 | 5.000% due 5/15/20 | 295,062 | |
55,000 | 5.000% due 5/15/25 | 55,805 | |
550,000 | Sarasota County, FL, Health Facilities Authority, Retirement Facilities Revenue, Revenue Bonds, Series A, 5.000% due 1/1/37 | 509,454 | |
500,000 | Southeast Overtown Park West Community Redevelopment Agency, FL, Series A-1, 5.000% due 3/1/302 | 546,525 | |
170,000 | Town Center at Palm Coast, FL, Community Development District, Special Assessment, 6.000% due 5/1/36 | 162,435 | |
Winter Garden Village at Fowler Groves, FL, Community Development District, Special Assessment, Refunding: | |||
500,000 | 3.750% due 5/1/31 | 477,380 | |
500,000 | 4.125% due 5/1/37 | 469,955 | |
12,936,778 | |||
Georgia — 0.6% | |||
250,000 | Burke County, GA, Development Authority, Pollution Control Revenue, Revenue Bonds, Series REMK, 1.650% due 11/1/48 | 248,938 | |
375,000 | DeKalb County, GA, Housing Authority, Senior Living Revenue, Revenue Bonds, Refunding, Series A, 5.250% due 1/1/542 | 263,351 | |
200,000 | Georgia State, Municipal Electric Authority, Revenue Bonds, Series A, 5.000% due 7/1/60 | 202,790 | |
200,000 | Georgia State, Municipal Electric Authority, Revenue Bonds, Series B, 5.000% due 1/1/59 | 204,818 | |
340,000 | Macon-Bibb County, GA, Urban Development Authority, Revenue Bonds, 5.750% due 6/15/372 | 313,541 | |
1,233,438 | |||
Guam — 0.3% | |||
500,000 | Guam Power Authority, Revenue Bonds, Series A (AGM Insured), 5.000% due 10/1/22 | 518,995 |
149 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Idaho — 0.7% | |||
$500,000 | Idaho Health Facilities Authority, Revenue Bonds, Series A, 4.750% due 7/1/442 | $521,790 | |
250,000 | Idaho State, Health Facilities Authority Revenue, Kootenai Health Project, Revenue Bonds, Series A, 4.375% due 7/1/342 | 262,500 | |
Idaho State, Housing and Finance Association, Nonprofit Facilities Revenue, Compass Charter School Project, Revenue Bonds, Series A: | |||
365,000 | 6.000% due 7/1/392 | 396,562 | |
250,000 | 5.000% due 7/1/402 | 235,447 | |
1,416,299 | |||
Illinois — 15.1% | |||
250,000 | Bolingbrook, IL, Special Service Area No 1, Special Tax, Refunding, 5.250% due 3/1/41 | 217,670 | |
Chicago, IL, Board of Education, General Obligation Unlimited, Series A: | |||
750,000 | 5.000% due 12/1/41 | 703,695 | |
400,000 | 7.000% due 12/1/462 | 438,472 | |
325,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series A, (AGM, AMBAC Insured), 5.500% due 12/1/31 | 419,773 | |
Chicago, IL, Board of Education, General Obligation Unlimited, Series A, (NPFG Insured): | |||
400,000 | 0.000% due 12/1/251 | 330,516 | |
170,000 | 5.500% due 12/1/26 | 183,340 | |
600,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series B, 7.000% due 12/1/422 | 661,002 | |
210,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series B-1 (NPFG Insured), 0.000% due 12/1/201 | 206,529 | |
1,030,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series B1, (NPFG Insured), 0.000% due 12/1/311 | 650,424 | |
640,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series C, 5.250% due 12/1/39 | 614,010 | |
500,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series H, 5.000% due 12/1/46 | 457,790 | |
600,000 | Chicago, IL, General Obligation Unlimited, (NPFG Insured), 0.000% due 1/1/311 | 372,828 | |
Chicago, IL, General Obligation Unlimited, Refunding, Series A: | |||
150,000 | 5.000% due 1/1/30 | 151,859 | |
250,000 | 5.750% due 1/1/33 | 258,217 | |
1,195,000 | 6.000% due 1/1/38 | 1,241,318 | |
250,000 | Chicago, IL, General Obligation Unlimited, Refunding, Series C, 5.000% due 1/1/24 | 255,293 | |
410,000 | Chicago, IL, General Obligation Unlimited, Series C, 0.000% due 1/1/311 | 241,843 | |
250,000 | Chicago, IL, Transitional Authority, Sales Tax Receipts Revenue Bonds, 5.000% due 12/1/51 | 273,120 | |
305,000 | Chicago, IL, Wastewater Transmission Revenue, Revenue Bonds, Refunding, (NPFG Insured), 5.500% due 1/1/30 | 375,818 | |
200,000 | Chicago, IL, Waterworks Revenue, Revenue Bonds, 5.000% due 11/1/24 | 209,382 | |
150,000 | Chicago, IL, Waterworks Revenue, Revenue Bonds, (AMBAC Insured), 5.750% due 11/1/30 | 185,141 | |
500,000 | Cook County, IL, Community College District No. 508, General Obligation Unlimited, 5.250% due 12/1/43 | 496,730 | |
400,000 | Illinois State Finance Authority, Christian Homes, Inc., Revenue Bonds, 5.000% due 5/15/36 | 357,648 | |
150,000 | Illinois State Finance Authority, Presbyterian Homes, Revenue Bonds, Series B, (1M USD LIBOR * 0.70 + 1.35%), 2.039% due 5/1/364 | 148,893 | |
350,000 | Illinois State Finance Authority, Revenue Bonds, 4.000% due 7/1/35 | 388,531 |
150 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
$255,000 | Illinois State Finance Authority, Revenue Bonds, Refunding, 3.000% due 5/15/20 | $254,888 | |
150,000 | Illinois State Finance Authority, Revenue Bonds, Refunding, Lifespace Communities Project, Series A, 5.000% due 5/15/22 | 151,611 | |
Illinois State Finance Authority, Revenue Bonds, Refunding, Series A: | |||
300,000 | 5.000% due 7/1/35 | 331,437 | |
250,000 | 5.000% due 8/15/37 | 308,837 | |
Illinois State Finance Authority, Revenue Bonds, Refunding, Series C: | |||
1,000,000 | 5.000% due 2/15/31 | 1,158,760 | |
1,000,000 | 4.125% due 8/15/37 | 1,023,290 | |
500,000 | Illinois State Finance Authority, Silver Cross Hospital & Medical Center, Revenue Bonds, Series C, 5.000% due 8/15/44 | 524,195 | |
Illinois State Finance Authority, Student Housing Revenue, Dekalb II Northern Illinois, Revenue Bonds: | |||
395,000 | 5.750% due 10/1/21 | 403,271 | |
250,000 | 6.875% due 10/1/43 | 255,597 | |
500,000 | Illinois State Finance Authority, Student Housing Revenue, Northern Illinois University Project, Revenue Bonds, 6.000% due 10/1/24 | 513,750 | |
Illinois State Finance Authority, Student Housing Revenue, Northern Illinois University Project, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 7/1/35 | 219,873 | |
500,000 | 5.000% due 7/1/47 | 400,055 | |
500,000 | Illinois State Finance Authority, Swedish Covenant Hospital, Revenue Bonds, Refunding, Series A, 5.000% due 8/15/34 | 617,675 | |
475,000 | Illinois State Housing Development Authority, Revenue Bonds, Refunding, Series A (GNMA / FNMA / FHLMC Insured), 4.250% due 10/1/49 | 511,333 | |
635,000 | Illinois State Housing Development Authority, Revenue Bonds, Refunding, Series C, 3.500% due 8/1/46 | 662,794 | |
475,000 | Illinois State Sports Facilities Authority, Revenue Bonds, Refunding, 5.000% due 6/15/24 | 488,960 | |
Illinois State Sports Facilities Authority, Revenue Bonds, Refunding, (BAM Insured): | |||
620,000 | 5.000% due 6/15/28 | 689,204 | |
250,000 | 5.000% due 6/15/30 | 277,137 | |
Illinois State Sports Facilities Authority, State Tax Supported, Capital Apprec, Revenue Bonds, (AMBAC Insured): | |||
500,000 | 0.000% due 6/15/231 | 445,345 | |
415,000 | 0.000% due 6/15/261 | 321,779 | |
500,000 | Illinois State University, Revenue Bonds, (AGMC Insured), 5.000% due 4/1/24 | 557,495 | |
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 | 320,826 | |
Illinois State, General Obligation Unlimited: | |||
500,000 | 5.000% due 1/1/30 | 480,700 | |
1,000,000 | 5.000% due 2/1/39 | 928,640 | |
200,000 | 5.000% due 1/1/41 | 184,942 | |
1,250,000 | Illinois State, General Obligation Unlimited, Series C, 5.000% due 11/1/29 | 1,202,462 | |
1,000,000 | Illinois State, General Obligation Unlimited, Series D, 5.000% due 11/1/28 | 965,120 | |
250,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Refunding (BAM, NPFG Insured), 0.000% due 6/15/281 | 191,385 | |
1,000,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Series A, (NPFG Insured), 0.000% due 6/15/361 | 493,420 |
151 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
$500,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Series B, (AGMC Insured), 0.000% due 6/15/271 | $398,645 | |
2,000,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax, Revenue Bonds, Series A, (AGMC Insured MBIA), 0.000% due 12/15/291 | 1,435,420 | |
500,000 | Metropolitan Pier & Exposition Authority, IL, McCormick Place Expansion Project, Revenue Bonds, Series B, 5.000% due 12/15/40 | 473,540 | |
200,000 | Sales Tax Securitization Corp., Revenue Bonds, Refunding, Series A, (BAM Insured), 5.000% due 1/1/37 | 222,018 | |
250,000 | Southern Illinois State University, Housing & Auxiliary Facilities System, Revenue Bonds, Series A, (NPFG Insured), 0.000% due 4/1/221 | 240,543 | |
500,000 | Southern Illinois State University, Housing & Auxiliary Facilities System, Revenue Bonds, Series B1, 5.000% due 4/1/22 | 512,505 | |
1,000,000 | University of Illinois, Auxiliary Facilities, Revenue Bonds, Series A, (AGMC Insured), 4.000% due 4/1/36 | 1,029,080 | |
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 | 522,015 | |
497,000 | Yorkville, IL, United City Special Service, Special Tax, (AGMC Insured), 3.000% due 3/1/25 | 520,796 | |
250,000 | Yorkville, IL, United City Special Service, Special Tax, Refunding, (AGMC Insured), 4.000% due 3/1/36 | 259,515 | |
30,338,700 | |||
Indiana — 1.4% | |||
Indiana Finance Authority, Midwestern Disaster Relief Revenue, Revenue Bonds, Ohio Valley Electric Corp. Project, Series A: | |||
750,000 | 5.000% due 6/1/32 | 763,695 | |
300,000 | 5.000% due 6/1/39 | 304,674 | |
Indiana State Finance Authority, Greencroft Obligated Group, Revenue Bonds, Series A: | |||
345,000 | 5.750% due 11/15/28 | 352,938 | |
195,000 | 6.500% due 11/15/33 | 202,948 | |
600,000 | Indiana State Finance Authority, Revenue Bonds, Series A, 5.000% due 11/15/38 | 599,268 | |
Knox County, IN, Economic Development Authority, Revenue Bonds, Refunding, Series A: | |||
300,000 | 5.000% due 4/1/23 | 313,212 | |
350,000 | 5.000% due 4/1/28 | 363,157 | |
2,899,892 | |||
Iowa — 0.7% | |||
500,000 | Iowa State, Finance Authority, Midwestern Disaster Relief Revenue, Iowa Fertilizer Co. LLC Project, Revenue Bonds, Refunding, Series B, 5.250% due 12/1/506 | 487,655 | |
250,000 | Iowa State, Finance Authority, Senior Housing Revenue, Revenue Bonds, Series A, 5.000% due 3/1/33 | 239,698 | |
690,000 | Tobacco Settlement Authority, IA, Revenue Bonds, Series C, 5.375% due 6/1/38 | 696,396 | |
1,423,749 | |||
Kansas — 0.1% | |||
65,000 | Wichita, KS, Sales Tax, Special Obligation Revenue, Revenue Bonds, Refunding, 3.000% due 9/1/23 | 64,852 | |
150,000 | Wyandotte County, Kansas City Unified Government, Revenue Bonds, 5.000% due 12/1/34 | 134,478 |
152 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Kansas — (Continued) | |||
$70,000 | Wyandotte County, KS, Kansas City Unified Government, Wyandotte Plaza Project, Revenue Bonds, 4.000% due 12/1/28 | $63,118 | |
262,448 | |||
Kentucky — 0.8% | |||
305,000 | Ashland, KY, Medical Center Revenue, Revenue Bonds, Refunding, Series A, 4.000% due 2/1/32 | 313,683 | |
100,000 | Kentucky Public Energy Authority, KY, Gas Supply, Revenue Bonds, Series B, 4.000% due 1/1/49 | 103,902 | |
785,000 | Kentucky Public Transportation Infrastructure Authority, Toll Revenue, Downtown Crossing Project, Revenue Bonds, Series B, 0.000% due 7/1/211 | 747,336 | |
100,000 | Kentucky Public Transportation Infrastructure Authority, Toll Revenue, Downtown Crossing Project, Series A, 6.000% due 7/1/53 | 102,236 | |
250,000 | Kentucky, KY, Economic Development Finance Authority, Healthcare Revenue, Revenue Bonds, Refunding, 5.750% due 11/15/45 | 201,280 | |
170,000 | Louisville & Jefferson County, KY, Metropolitan Government Healthcare System, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/31 | 191,226 | |
1,659,663 | |||
Louisiana — 0.5% | |||
250,000 | Calcasieu Parish, LA, Memorial Hospital Service District Hospital Revenue, Lake Charles Memorial Hospital Project, Revenue Bonds, Refunding, 5.000% due 12/1/34 | 270,965 | |
885,000 | Juban Crossing Economic Development District, LA, Revenue Bonds, Refunding, Series C, 7.000% due 9/15/442 | 734,559 | |
1,005,524 | |||
Maine — 0.2% | |||
440,000 | Maine Health & Higher Educational Facilities Authority, Revenue Bonds, 5.000% due 7/1/43 | 450,463 | |
Maryland — 1.5% | |||
1,125,000 | Baltimore, MD, Special Obligation, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/38 | 1,081,507 | |
150,000 | Brunswick, MD, Special Obligation, Special Tax, Refunding, 5.000% due 7/1/36 | 145,304 | |
250,000 | Howard County, MD, Special Obligation, Revenue Bonds, Series A, 4.125% due 2/15/342 | 228,855 | |
385,000 | Maryland State, Community Development Administration, Department Housing & Community Development, Revenue Bonds, Refunding, Series A, 4.500% due 9/1/48 | 418,241 | |
100,000 | Maryland State, Economic Development Corp., Special Obligation, Metro Centre Owings Mills Project, Tax Allocation, 3.750% due 7/1/27 | 94,802 | |
250,000 | Maryland State, Economic Development Corp., Special Obligation, Tax Allocation, 4.500% due 7/1/44 | 215,290 | |
500,000 | Prince George’s County, MD, Revenue Authority, Suitland-Naylor Road Project, 5.000% due 7/1/462 | 458,535 | |
500,000 | Prince George’s County, MD, Special Obligation, PGC Hampton Park Project, Revenue Bonds, Series A, 4.375% due 7/1/482 | 409,415 | |
3,051,949 | |||
Michigan — 2.4% | |||
380,000 | Dearborn, MI, Economic Development Corp., Revenue Bonds, 7.500% due 11/15/442 | 280,573 |
153 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Michigan — (Continued) | |||
$250,000 | Detroit, MI, General Obligation Unlimited, 5.000% due 4/1/34 | $247,530 | |
280,000 | Flint, MI, Hospital Building Authority Rental, Revenue Bonds, Series A, 5.250% due 7/1/39 | 290,620 | |
600,000 | Grand Rapids, MI, Economic Development Corp., Beacon Hill Eastgate Project, Revenue Bonds, Refunding, Series A, 5.000% due 11/1/37 | 525,522 | |
Kentwood, MI, Economic Development Corp., Revenue Bonds, Refunding: | |||
50,000 | 4.500% due 11/15/21 | 50,242 | |
65,000 | 4.750% due 11/15/22 | 65,625 | |
250,000 | 5.000% due 11/15/37 | 242,610 | |
250,000 | 5.625% due 11/15/41 | 253,363 | |
2,325,000 | Michigan State Housing Development Authority, Safe Mortgage Revenue, Revenue Bonds, Series C, 4.250% due 6/1/49 | 2,501,770 | |
250,000 | Michigan State Strategic Fund, Limited Obligation Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/29 | 257,837 | |
200,000 | Michigan State Strategic Fund, Limited Obligation Revenue, Revenue Bonds, Refunding, Series CC, 1.450% due 9/1/30 | 199,502 | |
4,915,194 | |||
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 | 231,701 | |
Missouri — 1.4% | |||
430,000 | Cape Girardeau County, MO, Industrial Development Authority, Southeast Health, Revenue Bonds, Series A, 6.000% due 3/1/33 | 473,589 | |
250,000 | Health and Educational Facilities Authority of the State of Missouri, Revenue Bonds, 5.000% due 8/1/45 | 233,543 | |
145,000 | Lees Summit, MO, Special Obligation Tax Increment, Tax Allocation, Refunding, 3.500% due 11/1/232 | 139,117 | |
475,000 | Maryland Heights, MO, Industrial Development Authority, State Louis Community ICE Center Project, Revenue Bonds, Series A, 4.375% due 3/15/30 | 344,061 | |
100,000 | Missouri State Health & Educational Facilities Authority, Lutheran Senior Services, Revenue Bonds, 5.000% due 2/1/25 | 101,216 | |
125,000 | Missouri State Health & Educational Facilities Authority, Revenue Bonds, 5.000% due 2/1/26 | 126,136 | |
Missouri State Health & Educational Facilities Authority, Revenue Bonds, Series A: | |||
100,000 | 5.000% due 2/1/28 | 100,786 | |
250,000 | 5.000% due 2/1/42 | 236,357 | |
355,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Facilities, Revenue Bonds, Refunding, 5.000% due 9/1/32 | 330,800 | |
625,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Facilities, Revenue Bonds, Series A, 5.250% due 9/1/53 | 528,650 | |
150,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Revenue, Revenue Bonds, Refunding, 5.000% due 9/1/48 | 124,376 | |
2,738,631 | |||
Nebraska — 0.2% | |||
280,000 | Nebraska State, Investment Finance Authority, Safe Housing Revenue, Revenue Bonds, Series C, 4.000% due 9/1/48 | 298,942 | |
Nevada — 0.7% | |||
335,000 | Department of Business & Industry, NV, Revenue Bonds, Series A, 5.000% due 7/15/272 | 339,717 |
154 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Nevada — (Continued) | |||
$385,000 | Las Vegas, NV, Sales Tax Increment Revenue, 3.500% due 6/15/252 | $366,027 | |
500,000 | Nevada State, Department of Business and Industry, Revenue Bonds, Series A, 5.000% due 12/15/482 | 443,165 | |
400,000 | North Las Vegas, NV, Local Improvement, Special Assessment, 4.625% due 6/1/49 | 353,040 | |
1,501,949 | |||
New Jersey — 6.9% | |||
250,000 | Casino Reinvestment Development Authority, NJ, Luxury Tax Revenue, Refunding, (AGMC Insured), 5.000% due 11/1/24 | 283,270 | |
1,085,000 | New Jersey State Economic Development Authority Revenue, Refunding, School Facilities Construction, Revenue Bonds, Series NN, 5.000% due 3/1/24 | 1,109,705 | |
1,000,000 | New Jersey State Economic Development Authority Revenue, Revenue Bonds, Refunding, (AGMC Insured), 5.000% due 6/1/29 | 1,193,830 | |
175,000 | New Jersey State Economic Development Authority School Revenue, Beloved Community Chart School, Inc. Project, Revenue Bonds, Series A, 5.000% due 6/15/492 | 158,141 | |
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 | 351,082 | |
500,000 | New Jersey State Economic Development Authority, Revenue Bonds, Refunding, Series I, (SIFMA MUNI SWAP INDEX + 1.60%), 1.810% due 3/1/284 | 490,575 | |
2,500,000 | New Jersey State Economic Development Authority, Revenue Bonds, Refunding, Series XX, 5.000% due 6/15/25 | 2,587,250 | |
New Jersey State Economic Development Authority, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 1/1/24 | 260,878 | |
600,000 | 5.000% due 7/1/32 | 617,448 | |
930,000 | New Jersey State Housing and Mortgage Finance Agency, Revenue Bonds, Refunding, Series C, 4.750% due 10/1/50 | 1,020,033 | |
250,000 | New Jersey State Transportation Trust Fund Authority, Refunding, FED Highway Reimbursement, Revenue Bonds, Series A, 5.000% due 6/15/23 | 264,962 | |
New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series A: | |||
1,000,000 | 0.000% due 12/15/351 | 512,000 | |
1,300,000 | 0.000% due 12/15/391 | 539,942 | |
New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series A, (BAM Insured): | |||
1,000,000 | 0.000% due 12/15/271 | 800,030 | |
500,000 | 0.000% due 12/15/381 | 264,525 | |
1,000,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series B, (NPFG Insured), 5.500% due 12/15/21 | 1,029,810 | |
New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series C, (AGMC Insured): | |||
185,000 | 0.000% due 12/15/321 | 125,056 | |
1,000,000 | 0.000% due 12/15/341 | 624,090 | |
500,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series C, (AMBAC Insured), 0.000% due 12/15/351 | 260,345 | |
1,000,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series C, (NPFG Insured), 0.000% due 12/15/311 | 665,650 | |
95,000 | New Jersey State, Economic Development Authority, Revenue Bonds, Series A, Prerefunded 6/1/20 @ 100, 5.000% due 6/1/21 | 95,312 | |
500,000 | Tobacco Settlement Financing Corp., NJ, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/29 | 587,535 | |
13,841,469 |
155 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New Mexico — 0.4% | |||
$620,000 | New Mexico Mortgage Finance Authority, Revenue Bonds, Series A, (GNMA / FNMA / FHLMC Insured), 4.250% due 1/1/50 | $666,388 | |
125,000 | Santa Fe, NM, Retirement Facility Revenue, Revenue Bonds, Series A, 5.000% due 5/15/34 | 118,008 | |
784,396 | |||
New York — 2.0% | |||
500,000 | Glen Cove, NY, Local Economic Assistance Corp., Revenue Bonds, Series C, 0.000% due 1/1/551 | 407,055 | |
250,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series A, (SIFMA MUNI SWAP INDEX + 0.50%), 0.710% due 11/15/424 | 232,055 | |
500,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series D, 4.000% due 11/15/46 | 444,700 | |
550,000 | Monroe County Industrial Development Corp/NY, Revenue Bonds, 5.000% due 1/1/40 | 473,875 | |
500,000 | New York City, NY, Housing Development Corp., Multi-Family Mortgage Revenue, Series E, 3.500% due 2/15/48 | 518,460 | |
500,000 | New York City, NY, Housing Development Corp., Multi-Family Mortgage Revenue, Series F, 4.500% due 2/15/48 | 536,825 | |
100,000 | New York City, NY, Industrial Development Agency, Revenue Bonds, (AMBAC Insured), 5.000% due 1/1/21 | 100,286 | |
700,000 | New York State, Dormitory Authority Revenue, Non State Supported Debt, Refunding, 5.000% due 12/1/322 | 773,353 | |
560,000 | New York State, Mortgage Agency, Homeowner Mortgage, Revenue Bonds, Refunding, Series 195, 4.000% due 10/1/46 | 589,758 | |
4,076,367 | |||
North Carolina — 0.6% | |||
215,000 | North Carolina Medical Care Commission, Revenue Bonds, 5.000% due 7/1/34 | 220,708 | |
500,000 | North Carolina State Medical Care Commission, Revenue Bonds, 5.000% due 10/1/20 | 502,765 | |
500,000 | North Carolina State, Medical Care Commission, Retirement Facilities Revenue, Revenue Bonds, Series B, 5.000% due 4/1/47 | 422,490 | |
1,145,963 | |||
North Dakota — 0.2% | |||
500,000 | Ward County, ND, Healthcare Facilities Revenue, Revenue Bonds, Series C, 5.000% due 6/1/43 | 499,055 | |
Ohio — 3.7% | |||
450,000 | American Municipal Power, Inc., OH, Combination Hydroelectric Project, Revenue Bonds, Series A, 2.250% due 2/15/483 | 452,079 | |
1,000,000 | Buckeye, OH, Tobacco Settlement Financing Authority, Revenue Bonds, Series B-2, 5.000% due 6/1/55 | 890,010 | |
4,820,000 | Buckeye, OH, Tobacco Settlement Financing Authority, Revenue Bonds, Series B-3, 0.000% due 6/1/571 | 506,534 | |
600,000 | Centerville, OH, Healthcare Revenue, Refunding, 5.250% due 11/1/50 | 542,772 | |
175,000 | County of Marion OH, Revenue Bonds, 5.000% due 12/1/39 | 145,814 | |
1,045,000 | Cuyahoga County, OH, Hospital Revenue, Refunding, 5.500% due 2/15/52 | 1,101,106 | |
250,000 | Franklin County, OH, Health Care Facilities Revenue, Revenue Bonds, Series A, 5.625% due 7/1/26 | 251,288 | |
815,000 | Licking County, OH, Health Care Facilities Authority Revenue, Refunding, Series A, 6.000% due 7/1/50 | 614,176 |
156 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Ohio — (Continued) | |||
$1,000,000 | Lucas County, OH, Hospital Revenue, Promedica Healthcare Obligated Group, Revenue Bonds, Refunding, Series A, 5.250% due 11/15/48 | $1,067,920 | |
Southeastern Ohio Port Authority Hospital Facilities, Revenue Bonds: | |||
300,000 | 5.750% due 12/1/32 | 316,284 | |
500,000 | 6.000% due 12/1/42 | 522,740 | |
State of Ohio, Revenue Bonds: | |||
250,000 | 5.000% due 12/1/382 | 272,952 | |
300,000 | 5.000% due 12/1/482 | 320,655 | |
420,000 | State of Ohio, Revenue Bonds, Refunding, 5.000% due 12/1/332 | 469,421 | |
7,473,751 | |||
Oklahoma — 0.3% | |||
95,000 | Fort Sill Apache Tribe, OK, Economic Development Authority, Gaming Enterprise Revenue, Series A, 8.500% due 8/25/262 | 102,799 | |
400,000 | Oklahoma, ST, Development Finance Authority, Healthcare System, Revenue Bonds, Series B, 5.500% due 8/15/57 | 415,564 | |
518,363 | |||
Pennsylvania — 4.7% | |||
125,000 | Chester County, PA, Industrial Development Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/15/51 | 124,654 | |
500,000 | Chester County, PA, Industrial Development Authority, Special Obligation Revenue, Woodlands at Greystone Project, Revenue Bonds, 5.000% due 3/1/382 | 432,860 | |
Crawford County, PA, Hospital Authority, Revenue Bonds, Refunding, Series A: | |||
400,000 | 6.000% due 6/1/36 | 454,516 | |
250,000 | 6.000% due 6/1/46 | 276,635 | |
500,000 | Cumberland County Municipal Authority, Revenue Bonds, 5.000% due 1/1/29 | 471,085 | |
1,000,000 | Doylestown, PA, Hospital Authority, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/41 | 1,049,730 | |
200,000 | Franklin County, PA, Industrial Development Authority, Menno-Haven, Inc. Project, Revenue Bonds, Refunding, 5.000% due 12/1/43 | 172,448 | |
250,000 | Lancaster County, PA, Hospital Authority, Revenue Bonds, 5.000% due 3/1/45 | 226,577 | |
445,000 | Montgomery County, PA, Higher Education & Health Authority, Revenue Bonds, Refunding, 5.000% due 12/1/47 | 425,745 | |
Montgomery County, PA, Industrial Development Authority, Health System Revenue, Revenue Bonds, Refunding, Series A: | |||
600,000 | 5.250% due 1/15/27 | 661,662 | |
250,000 | 5.250% due 1/15/46 | 256,562 | |
Montgomery County, PA, Industrial Development Authority, Revenue Bonds, Refunding: | |||
105,000 | 5.000% due 11/15/23 | 108,289 | |
500,000 | 5.000% due 11/15/36 | 517,720 | |
100,000 | 5.000% due 12/1/46 | 95,883 | |
250,000 | Montgomery County, PA, Industrial Development Authority, Waverly Heights, Ltd. Project, Revenue Bonds, Refunding, 5.000% due 12/1/44 | 256,905 | |
Northampton County Industrial Development Authority, Revenue Bonds: | |||
250,000 | 5.000% due 11/1/44 | 211,902 | |
300,000 | 5.000% due 11/1/49 | 248,376 | |
500,000 | Pennsylvania State, Higher Educational Facilities Authority, Student Housing Revenue, 5.000% due 7/1/31 | 500,545 | |
545,000 | Pennsylvania State, Higher Educational Facilities Authority, Student Housing Revenue, Refunding, Series A, 5.000% due 7/1/25 | 578,610 |
157 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
$2,225,000 | Pennsylvania State, Housing Finance Agency, Revenue Bonds, (GNMA/FNMA/FHLMC Insured), 2.450% due 7/1/223 | $2,254,993 | |
150,000 | Washington County, PA, Redevelopment Authority Revenue, Tax Allocation, Refunding, 5.000% due 7/1/28 | 147,332 | |
9,473,029 | |||
Puerto Rico — 6.5% | |||
Cofina Class 2 Trust, Revenue Bonds, AMBAC Insured: | |||
209,663 | 0.000% due 8/1/471 | 56,567 | |
323,124 | 0.000% due 8/1/541 | 60,159 | |
35,000 | Commonwealth of Puerto Rico, General Obligation Unlimited, Refunding, (AGMC Insured), 4.500% due 7/1/23 | 35,028 | |
260,000 | Commonwealth of Puerto Rico, General Obligation Unlimited, Refunding, Series A, (NPFG Insured), 5.500% due 7/1/20 | 260,666 | |
Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bonds, Series A: | |||
35,000 | 5.125% due 7/1/37 | 33,075 | |
2,310,000 | 5.250% due 7/1/42 | 2,171,400 | |
470,000 | Puerto Rico Commonwealth Aqueduct and Sewer Authority, Revenue Bonds, 5.000% due 7/1/33 | 446,500 | |
350,000 | Puerto Rico Commonwealth, General Obligation Unlimited, Refunding, Series A, (AGC-ICC Insured), 5.500% due 7/1/29 | 383,481 | |
300,000 | Puerto Rico Commonwealth, General Obligation Unlimited, Refunding, Series A, (AGMC Insured), 5.000% due 7/1/35 | 302,514 | |
1,000,000 | Puerto Rico Electric Power Authority, Power Revenue, Revenue Bonds, Series XX, 5.250% due 7/1/407 | 593,750 | |
25,000 | Puerto Rico Electric Power Authority, Revenue Bonds, (AGMC Insured), 5.000% due 7/1/27 | 25,160 | |
610,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series DDD, (AGMC Insured), 3.625% due 7/1/23 | 610,085 | |
60,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series SS, (AGMC Insured), 5.000% due 7/1/30 | 60,256 | |
230,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series UU (AGMC Insured), 5.000% due 7/1/20 | 230,334 | |
500,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series UU, (AGMC Insured), (3M USD LIBOR * 0.67 + 0.52%), 1.480% due 7/1/294 | 427,500 | |
500,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series 2013A-RSA-1, 7.000% due 7/1/407 | 305,625 | |
300,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series NN, (NPFG Insured), 4.750% due 7/1/33 | 289,983 | |
505,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series RR, (AGC Insured), 5.000% due 7/1/28 | 507,929 | |
375,000 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, (AGMC Insured), 6.250% due 7/1/21 | 382,429 | |
10,000 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, (AMBAC Insured), 0.000% due 7/1/251 | 8,054 | |
455,000 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, Refunding, Series N, (AMBAC Insured), 3.607% due 7/1/28 | 411,775 | |
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 | 823,680 | |
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 | 259,205 | |
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 | 430,563 |
158 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Puerto Rico — (Continued) | |||
$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 | $99,402 | |
500,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Revenue Bonds, 5.000% due 3/1/36 | 465,420 | |
500,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Revenue Bonds, Refunding, 5.000% due 10/1/20 | 504,845 | |
540,000 | Puerto Rico Infrastructure Financing Authority, Special Tax Revenue,Revenue Bonds, Series A (AMBAC Insured), 0.000% due 7/1/371 | 240,608 | |
9,070 | Puerto Rico Public Buildings Authority, Revenue Bonds, Refunding, Series L, (NPFG Insured), 5.500% due 7/1/21 | 9,159 | |
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds, Series A-1: | |||
8,000 | 0.000% due 7/1/241 | 6,808 | |
15,000 | 0.000% due 7/1/271 | 11,298 | |
14,000 | 0.000% due 7/1/291 | 9,567 | |
18,000 | 0.000% due 7/1/311 | 11,017 | |
21,000 | 0.000% due 7/1/331 | 11,399 | |
1,700,000 | 5.000% due 7/1/58 | 1,593,019 | |
500,000 | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds, Series A-2, 4.784% due 7/1/58 | 451,080 | |
50,000 | University of Puerto Rico, Revenue Bonds, Refunding, Series P, 5.000% due 6/1/20 | 49,250 | |
185,000 | University of Puerto Rico, Revenue Bonds, Refunding, Series P, (NPFG Insured), 5.000% due 6/1/25 | 185,531 | |
University of Puerto Rico, Revenue Bonds, Series Q: | |||
100,000 | 5.000% due 6/1/25 | 98,000 | |
150,000 | 5.000% due 6/1/36 | 146,625 | |
13,008,746 | |||
Rhode Island — 1.4% | |||
Rhode Island Health & Educational Building Corp., Revenue Bonds, Refunding, Series B: | |||
900,000 | 5.000% due 9/1/31 | 916,785 | |
750,000 | 5.000% due 9/1/36 | 747,307 | |
570,000 | Rhode Island State, Housing and Mortgage Finance Corp., Revenue Bonds, Series 69-B, (GNMA / FNMA / FHLMC Insured), 4.000% due 10/1/48 | 606,241 | |
4,000,000 | Tobacco Settlement Financing Corp., RI, Revenue Bonds, Series A, 0.000% due 6/1/521 | 495,520 | |
2,765,853 | |||
South Carolina — 2.5% | |||
2,760,004 | Connector 2000 Association, Inc., Revenue Bonds, Series A-1, 0.000% due 1/1/421 | 494,179 | |
500,000 | Connector 2000 Association, Inc., SC, Toll Road Revenue, Series A-1, 0.000% due 1/1/321 | 197,625 | |
330,000 | South Carolina State, Housing Finance & Development Authority, Revenue Bonds, (GNMA / FNMA / FHLMC/ FHA Insured), 4.000% due 7/1/36 | 347,978 | |
South Carolina State, Jobs-Economic Development Authority, Health Facilities Revenue, Revenue Bonds, Refunding: | |||
410,000 | 5.000% due 10/1/362 | 392,710 | |
1,090,000 | 5.000% due 10/1/412 | 1,011,520 | |
800,000 | South Carolina State, Jobs-Economic Development Authority, Residential Facilities Revenue, Revenue Bonds, Refunding, 5.000% due 4/1/47 | 719,320 |
159 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
South Carolina — (Continued) | |||
$200,000 | South Carolina State, Public Service Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/33 | $216,562 | |
South Carolina State, Public Service Authority, Revenue Bonds, Refunding, Series B: | |||
500,000 | 5.000% due 12/1/37 | 537,985 | |
500,000 | 5.000% due 12/1/41 | 533,700 | |
500,000 | 2.750% due 12/1/51 | 499,415 | |
5,000 | South Carolina State, Public Service Authority, Revenue Bonds, Series E, 5.250% due 12/1/55 | 5,299 | |
4,956,293 | |||
Texas — 6.0% | |||
645,000 | Arlington, TX, Higher Education Finance Corp., Revenue Bonds, Refunding, Series A, 5.000% due 12/1/51 | 651,205 | |
405,000 | Arlington, TX, Higher Education Finance Corp., Revenue Bonds, Refunding, Uplift Education, Series A, 2.750% due 12/1/26 | 378,946 | |
360,000 | Fort Bend County, TX, Industrial Development Corp., NRG Energy, Inc., Revenue Bonds, Series A, 4.750% due 5/1/38 | 366,635 | |
1,510,000 | Harris County, TX, Cultural Education Facilities Finance Corp., Brazos Presbyterian Homes Project, Revenue Bonds, Refunding, 5.000% due 1/1/48 | 1,340,653 | |
150,000 | Harris County, TX, Cultural Education Facilities Finance Corp., Revenue Bonds, Series A, 5.000% due 1/1/43 | 137,436 | |
500,000 | Matagorda County, TX, Navigation District No. 1, Revenue Bonds, Refunding (AMBAC Insured), 4.400% due 5/1/30 | 549,050 | |
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 | 252,422 | |
New Hope Cultural Education Facilities Corp., TX, Revenue Bonds, Series A: | |||
500,000 | 5.000% due 4/1/29 | 520,880 | |
600,000 | 5.000% due 4/1/30 | 626,898 | |
New Hope Cultural Education Facilities Finance Corp., Revenue Bonds: | |||
250,000 | 5.500% due 1/1/49 | 208,940 | |
400,000 | 5.000% due 1/1/55 | 303,240 | |
950,000 | New Hope Cultural Education Facilities Finance Corp., TX, Retirement Facilities Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/36 | 890,017 | |
375,000 | New Hope Cultural Education Facilities Finance Corp., TX, Retirement Facilities Revenue, Revenue Bonds, Series A, 5.000% due 1/1/35 | 354,469 | |
500,000 | New Hope Cultural Education Facilities Finance Corp., TX, Student Housing Revenue Bonds, Series A, 5.000% due 4/1/42 | 419,140 | |
Newark Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds: | |||
300,000 | 5.000% due 6/15/33 | 301,536 | |
500,000 | 5.000% due 6/15/38 | 500,070 | |
230,000 | Newark Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds, Series A, 5.000% due 6/15/37 | 230,216 | |
3,000,000 | Port of Port Authority, TX, Navigation District, Revenue Bonds, 0.130% due 10/1/243 | 3,000,000 | |
Tarrant County, TX, Cultural Education Facilities Finance Corp., Retirement Facilities, Revenue Bonds, Refunding: | |||
250,000 | 4.000% due 5/15/27 | 207,678 | |
150,000 | 5.000% due 11/15/35 | 137,534 | |
500,000 | 5.000% due 5/15/45 | 438,555 | |
195,000 | Texas State, Department of Housing and Community Affairs, Revenue Bonds, Series A, (GNMA Insured), 4.750% due 3/1/49 | 213,078 | |
12,028,598 |
160 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Utah — 0.2% | |||
$500,000 | Hideout Local District No. 1, UT, Special Assessment, 6.750% due 8/1/372 | $442,535 | |
Virginia — 2.5% | |||
750,000 | Farmville, VA, Industrial Development Authority Facilities, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/38 | 786,397 | |
500,000 | Hanover County, VA, Economic Development Authority, Care Facilities Revenue, Refunding, Covenant Woods, Revenue Bonds, 5.000% due 7/1/38 | 462,820 | |
295,000 | Henrico County, VA, Economic Development Authority Health Care Facilities Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 12/1/37 | 271,943 | |
500,000 | Henrico County, VA, Economic Development Authority, Residencial Care Facility Revenue, Revenue Bonds, Series A, 5.000% due 6/1/39 | 456,880 | |
415,000 | Henrico County, VA, Economic Development Authority, Residencial Care Facility Revenue, Revenue Bonds, Series C, 5.000% due 12/1/47 | 361,876 | |
500,000 | Newport News, VA, Industrial Development Authority, Health System Revenue, Revenue Bonds, Series A, 5.000% due 7/1/462 | 530,575 | |
1,000,000 | Newport News, VA, Industrial Development Authority, System Revenue, Revenue Bonds, 5.330% due 7/1/452 | 1,061,710 | |
750,000 | Norfolk, VA, Redevelopment and Housing Authority, Revenue Bonds, Series A, 5.250% due 1/1/54 | 721,343 | |
500,000 | Virginia State, Small Business Financing Authority, Residential Care Facility Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 6/1/42 | 458,680 | |
5,112,224 | |||
Washington — 1.5% | |||
235,000 | Kalispel Tribe of Indians Priority District, WA, Revenue Bonds, Series B, 5.250% due 1/1/382 | 240,786 | |
1,000,000 | Washington State, Health Care Facilities Authority, Revenue Bonds, 5.000% due 12/1/36 | 1,069,000 | |
250,000 | Washington State, Health Care Facilities Authority, Revenue Bonds, Series A, 5.000% due 8/1/44 | 266,697 | |
180,000 | Washington State, Housing Finance Commission, Refunding, Hearthstone Project, Revenue Bonds, Series B, 3.125% due 7/1/232 | 167,454 | |
625,000 | Washington State, Housing Finance Commission, Refunding, Judson Park Project, Revenue Bonds, 5.000% due 7/1/382 | 550,719 | |
375,000 | Washington State, Housing Finance Commission, Revenue Bonds, Series A, 7.000% due 7/1/452 | 364,174 | |
500,000 | Washington State, Housing Finance Commission, Rockwood Retirement Communitie, Revenue Bonds, 5.000% due 1/1/552 | 390,405 | |
3,049,235 | |||
West Virginia — 0.1% | |||
250,000 | West Virginia State, Hospital Finance Authority, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/43 | 271,538 | |
Wisconsin — 3.4% | |||
Public Finance Authority, Revenue Bonds: | |||
375,000 | 5.000% due 6/1/292 | 377,426 | |
130,000 | 5.000% due 6/1/34 | 133,736 | |
135,000 | 5.000% due 6/1/49 | 133,354 | |
500,000 | Public Finance Authority, WI, Charter School Revenue, Revenue Bonds, Series A, 5.375% due 7/15/472 | 449,560 |
161 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Wisconsin — (Continued) | |||
Public Finance Authority, WI, Retirement Facility Revenue, Revenue Bonds, Refunding: | |||
$150,000 | 5.000% due 9/1/492 | $120,345 | |
500,000 | 5.000% due 9/1/542 | 416,305 | |
260,000 | Public Finance Authority, WI, Revenue Bonds, Refunding, 5.875% due 4/1/45 | 262,020 | |
325,000 | Public Finance Authority, WI, School Education Revenue, Revenue Bonds, 4.000% due 6/15/292 | 309,439 | |
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 | 353,476 | |
85,000 | Public Finance Authority, WI, Senior Living Revenue, Rose Village Project, Revenue Bonds, Series A, 5.000% due 11/15/242 | 83,983 | |
500,000 | Public Finance Authority, WI, Student Housing, Revenue Bonds (AGMC Insured), 5.000% due 7/1/53 | 551,215 | |
1,060,000 | Public Finance Authority, WI, Student Housing, Revenue Bonds, Series A, 5.000% due 7/1/25 | 1,124,862 | |
300,000 | Wisconsin Health and Educational Facilities Authority, Revenue Bonds, 5.000% due 11/1/39 | 267,375 | |
955,000 | Wisconsin State, Health & Educational Facilities Authority Revenue, Revenue Bonds, Refunding, 5.000% due 6/1/41 | 810,222 | |
500,000 | Wisconsin State, Health & Educational Facilities Authority Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 2/15/47 | 508,520 | |
925,000 | Wisconsin State, Housing and Economic Development Authority, Home Ownership Revenue, Revenue Bonds, Series D, 4.000% due 3/1/47 | 987,900 | |
6,889,738 | |||
Other Territory — 0.4% | |||
733,780 | Federal Home Loan Mortgage Corporation Multifamily ML-05 Certificates, Revenue Bonds, Class AUS, 3.400% due 1/25/36 | 791,888 | |
TOTAL MUNICIPAL BONDS (Cost $203,316,656) | 195,593,479 | ||
TOTAL INVESTMENTS (Cost $203,316,656) | 97.0% | $195,593,479 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 3.0 | 6,006,706 | |
NET ASSETS | 100.0% | $201,600,185 |
* | 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, 2020, these securities, which are not illiquid, amounted to $26,370,971 or 13.1% of net assets for the Fund. |
3 | 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, 2020. |
4 | Floating Rate Bond. Rate shown is as of April 30, 2020. |
5 | When-issued security. |
6 | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. |
7 | This security is in default. See Note 1. |
162 |
Abbreviations: |
AGC — Assurance Guaranty Corporation |
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 |
163 |
% of Net Assets | Value | ||
STATE: | |||
Illinois | 15.1% | $30,338,700 | |
Colorado | 10.9 | 21,943,685 | |
New Jersey | 6.9 | 13,841,469 | |
Puerto Rico | 6.5 | 13,008,746 | |
Florida | 6.4 | 12,936,778 | |
Texas | 6.0 | 12,028,598 | |
Pennsylvania | 4.7 | 9,473,029 | |
Ohio | 3.7 | 7,473,751 | |
Wisconsin | 3.4 | 6,889,738 | |
California | 3.3 | 6,577,727 | |
Arizona | 2.7 | 5,464,990 | |
Virginia | 2.5 | 5,112,224 | |
South Carolina | 2.5 | 4,956,293 | |
Michigan | 2.4 | 4,915,194 | |
New York | 2.0 | 4,076,367 | |
Maryland | 1.5 | 3,051,949 | |
Washington | 1.5 | 3,049,235 | |
Indiana | 1.4 | 2,899,892 | |
Rhode Island | 1.4 | 2,765,853 | |
Missouri | 1.4 | 2,738,631 | |
Alabama | 1.2 | 2,408,016 | |
Connecticut | 1.0 | 2,025,574 | |
District of Columbia | 0.9 | 1,857,662 | |
Kentucky | 0.8 | 1,659,663 | |
Nevada | 0.7 | 1,501,949 | |
Iowa | 0.7 | 1,423,749 | |
Idaho | 0.7 | 1,416,299 | |
Alaska | 0.6 | 1,302,469 | |
Georgia | 0.6 | 1,233,438 | |
North Carolina | 0.6 | 1,145,963 | |
Louisiana | 0.5 | 1,005,524 | |
Other Territory | 0.4 | 791,888 | |
New Mexico | 0.4 | 784,396 | |
Guam | 0.3 | 518,995 | |
Oklahoma | 0.3 | 518,363 | |
North Dakota | 0.2 | 499,055 | |
Maine | 0.2 | 450,463 | |
Utah | 0.2 | 442,535 | |
Nebraska | 0.2 | 298,942 | |
West Virginia | 0.1 | 271,538 | |
Kansas | 0.1 | 262,448 | |
Minnesota | 0.1 | 231,701 | |
TOTAL MUNICIPAL BONDS | 97.0% | $195,593,479 | |
TOTAL INVESTMENTS | 97.0% | $195,593,479 |
164 |
165 |
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 | ||||||||
Airlines | $2,707 | $— | $— | $2,707 | ||||
Banks | 90,780 | — | — | 90,780 | ||||
Biotechnology | 77,100 | — | — | 77,100 | ||||
Building Products | 35,189 | — | — | 35,189 | ||||
Capital Markets | 15,173 | — | — | 15,173 | ||||
Chemicals | 15,092 | — | — | 15,092 | ||||
Commercial Services & Supplies | 10,294 | — | — | 10,294 | ||||
Communications Equipment | 7,003 | — | — | 7,003 | ||||
Construction & Engineering | 9,168 | — | — | 9,168 | ||||
Diversified Consumer Services | 23,057 | — | — | 23,057 | ||||
Electric Utilities | 13,585 | — | — | 13,585 | ||||
Electrical Equipment | 5,136 | — | — | 5,136 | ||||
Electronic Equipment, Instruments & Components | 39,236 | — | — | 39,236 | ||||
Energy Equipment & Services | 2,148 | — | — | 2,148 | ||||
Equity Real Estate Investment Trusts | 60,049 | — | — | 60,049 | ||||
Food & Staples Retailing | 10,081 | — | — | 10,081 |
166 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Health Care Equipment & Supplies | $34,337 | $— | $— | $34,337 | ||||
Health Care Providers & Services | 30,364 | — | — | 30,364 | ||||
Health Care Technology | 4,745 | — | — | 4,745 | ||||
Hotels, Restaurants & Leisure | 13,155 | — | — | 13,155 | ||||
Household Durables | 22,298 | — | — | 22,298 | ||||
Household Products | 4,288 | — | — | 4,288 | ||||
Insurance | 23,451 | — | — | 23,451 | ||||
Interactive Media & Services | 14,261 | — | — | 14,261 | ||||
IT Services | 29,013 | — | — | 29,013 | ||||
Machinery | 20,792 | — | — | 20,792 | ||||
Marine | 5,025 | — | — | 5,025 | ||||
Media | 11,361 | — | — | 11,361 | ||||
Metals & Mining | 9,848 | — | — | 9,848 | ||||
Mortgage Real Estate Investment Trusts | 10,192 | — | — | 10,192 | ||||
Multi-Utilities | 11,087 | — | — | 11,087 | ||||
Oil, Gas & Consumable Fuels | 29,632 | — | — | 29,632 | ||||
Pharmaceuticals | 29,002 | — | 0* | 29,002 | ||||
Professional Services | 27,133 | — | — | 27,133 | ||||
Real Estate Management & Development | 9,738 | — | — | 9,738 | ||||
Semiconductors & Semiconductor Equipment | 21,869 | — | — | 21,869 | ||||
Software | 20,722 | — | — | 20,722 | ||||
Specialty Retail | 20,038 | — | — | 20,038 | ||||
Textiles, Apparel & Luxury Goods | 12,793 | — | — | 12,793 | ||||
Thrifts & Mortgage Finance | 18,584 | — | — | 18,584 | ||||
Trading Companies & Distributors | 6,779 | — | — | 6,779 | ||||
Total Common Stocks | 856,305 | — | — | 856,305 | ||||
Investment of Security Lending Collateral | 19,933 | — | — | 19,933 | ||||
Total Investments | 876,238 | — | 0 | 876,238 | ||||
Total | $876,238 | $— | $0 | $876,238 |
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 | ||||||||
Australia | $3,167,415 | $— | $— | $3,167,415 | ||||
Bermuda | 1,351,696 | — | — | 1,351,696 | ||||
Canada | 6,613,982 | — | — | 6,613,982 | ||||
Finland | 1,347,443 | — | — | 1,347,443 | ||||
France | 10,630,643 | — | — | 10,630,643 | ||||
Germany | 7,416,060 | — | — | 7,416,060 | ||||
Hong Kong | 2,150,903 | — | — | 2,150,903 | ||||
Ireland | 2,326,439 | — | — | 2,326,439 | ||||
Italy | 1,481,571 | — | — | 1,481,571 | ||||
Japan | 26,353,986 | — | — | 26,353,986 | ||||
Netherlands | 3,048,328 | — | — | 3,048,328 |
167 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Singapore | $3,717,352 | $— | $— | $3,717,352 | ||||
Spain | 4,012,048 | — | — | 4,012,048 | ||||
Sweden | 2,777,612 | 1,254,626 | — | 4,032,238 | ||||
Switzerland | 6,828,597 | — | — | 6,828,597 | ||||
United Kingdom | 14,227,350 | — | — | 14,227,350 | ||||
Total Common Stocks | 97,451,425 | 1,254,626 | — | 98,706,051 | ||||
Repurchase Agreement | — | 206,915 | — | 206,915 | ||||
Investment of Security Lending Collateral | 7,334,289 | — | — | 7,334,289 | ||||
Total Investments | 104,785,714 | 1,461,541 | — | 106,247,255 | ||||
Total | $104,785,714 | $1,461,541 | $— | $106,247,255 |
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 | $14,432,608 | $— | $— | $14,432,608 | ||||
U.S. Treasury Bill | — | 119,979,300 | — | 119,979,300 | ||||
Repurchase Agreement | — | 7,095,359 | — | 7,095,359 | ||||
Purchased Options | ||||||||
Calls | 641,501,375 | — | — | 641,501,375 | ||||
Puts | 2,097,460 | — | — | 2,097,460 | ||||
Total Purchased Options | 643,598,835 | — | — | 643,598,835 | ||||
Total Investments | 658,031,443 | 127,074,659 | — | 785,106,102 | ||||
Total | $658,031,443 | $127,074,659 | $— | $785,106,102 |
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 | $(305,451,070) | $— | $— | $(305,451,070) | ||||
Puts | (8,227,783) | — | — | (8,227,783) | ||||
Total Written Options | (313,678,853) | — | — | (313,678,853) | ||||
Total | $(313,678,853) | $— | $— | $(313,678,853) |
168 |
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 | $36,640 | $— | $— | $36,640 | ||||
U.S. Treasury Bill | — | 1,999,655 | — | 1,999,655 | ||||
Repurchase Agreement | — | 1,321,039 | — | 1,321,039 | ||||
Purchased Options | ||||||||
Calls | 3,223,625 | — | — | 3,223,625 | ||||
Puts | 10,540 | — | — | 10,540 | ||||
Total Purchased Options | 3,234,165 | — | — | 3,234,165 | ||||
Total Investments | 3,270,805 | 3,320,694 | — | 6,591,499 | ||||
Total | $3,270,805 | $3,320,694 | $— | $6,591,499 |
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 | $(1,534,931) | $— | $— | $(1,534,931) | ||||
Puts | (45,803) | — | — | (45,803) | ||||
Total Written Options | (1,580,734) | — | — | (1,580,734) | ||||
Total | $(1,580,734) | $— | $— | $(1,580,734) |
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 | $— | $28,781,720 | $— | $28,781,720 | ||||
Federal National Mortgage Association | — | 56,632,114 | — | 56,632,114 | ||||
Total Agency Notes | — | 85,413,834 | — | 85,413,834 | ||||
Mortgage-Backed Securities | ||||||||
Federal Home Loan Mortgage Corporation | — | 46,468,083 | — | 46,468,083 | ||||
Federal National Mortgage Association | — | 122,120,043 | — | 122,120,043 | ||||
Government National Mortgage Association | — | 8,491,582 | — | 8,491,582 | ||||
Total Mortgage-Backed Securities | — | 177,079,708 | — | 177,079,708 | ||||
Corporate Notes | ||||||||
Automotive | — | 2,070,715 | — | 2,070,715 | ||||
Banking | — | 24,771,758 | — | 24,771,758 | ||||
Beverages, Food & Tobacco | — | 12,907,112 | — | 12,907,112 | ||||
Communications | — | 18,896,720 | — | 18,896,720 |
169 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Computer Software & Processing | $— | $29,043,015 | $— | $29,043,015 | ||||
Insurance | — | 5,148,836 | — | 5,148,836 | ||||
Pharmaceuticals | — | 5,419,445 | — | 5,419,445 | ||||
Retailers | — | 8,441,515 | — | 8,441,515 | ||||
Total Corporate Notes | — | 106,699,116 | — | 106,699,116 | ||||
U.S. Treasury Notes/Bonds | — | 88,110,234 | — | 88,110,234 | ||||
Repurchase Agreement | — | 10,142,529 | — | 10,142,529 | ||||
Investment of Security Lending Collateral | 12,756,024 | — | — | 12,756,024 | ||||
Total Investments | 12,756,024 | 467,445,421 | — | 480,201,445 | ||||
Total | $12,756,024 | $467,445,421 | $— | $480,201,445 |
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 | $— | $501,637 | $— | $501,637 | ||||
Corporate Notes | ||||||||
Automotive | — | 276,074 | — | 276,074 | ||||
Municipal Bonds | ||||||||
Alabama | — | 849,512 | — | 849,512 | ||||
Alaska | — | 241,577 | — | 241,577 | ||||
Arizona | — | 706,548 | — | 706,548 | ||||
California341,538 | — | 852,064 | — | 1,193,602 | ||||
Colorado | — | 493,377 | — | 493,377 | ||||
Connecticut | — | 1,598,374 | — | 1,598,374 | ||||
District of Columbia | — | 1,110,760 | — | 1,110,760 | ||||
Florida | — | 1,775,593 | — | 1,775,593 | ||||
Georgia | — | 210,298 | — | 210,298 | ||||
Idaho | — | 201,588 | — | 201,588 | ||||
Illinois | — | 3,990,248 | — | 3,990,248 | ||||
Kentucky | — | 1,559,565 | — | 1,559,565 | ||||
Louisiana | — | 1,262,596 | — | 1,262,596 | ||||
Maryland | — | 581,255 | — | 581,255 | ||||
Massachusetts | — | 308,193 | — | 308,193 | ||||
Michigan | — | 2,893,931 | — | 2,893,931 | ||||
Minnesota | — | 923,999 | — | 923,999 | ||||
Mississippi | — | 517,340 | — | 517,340 | ||||
New Jersey | — | 1,034,999 | — | 1,034,999 | ||||
New York453,417 | — | 962,219 | — | 1,415,636 | ||||
North Carolina | — | 104,672 | — | 104,672 | ||||
Ohio | — | 2,798,121 | — | 2,798,121 | ||||
Pennsylvania | — | 8,874,109 | — | 8,874,109 | ||||
Rhode Island | — | 428,136 | — | 428,136 | ||||
Tennessee | — | 974,368 | — | 974,368 | ||||
Texas | — | 4,805,197 | — | 4,805,197 | ||||
Washington | — | 3,036,569 | — | 3,036,569 | ||||
Wisconsin | — | 1,242,591 | — | 1,242,591 |
170 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Wyoming | $— | $405,560 | $— | $405,560 | ||||
Total Municipal Bonds | — | 44,743,359 | — | 45,538,314 | ||||
Repurchase Agreement | — | 1,582,331 | — | 1,582,331 | ||||
Investment of Security Lending Collateral | 206,500 | — | — | 206,500 | ||||
Registered Investment Company | 612,364 | — | — | 612,364 | ||||
Total Investments | 818,864 | 47,103,401 | — | 48,717,220 | ||||
Total | $818,864 | $47,103,401 | $— | $48,717,220 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $5,104,473 | $(5,104,473) | $— | $— | $— |
171 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $11,306,328 | $(11,306,328) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $206,915 | $(206,915) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $104,305 | $(104,305) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $1,546,208 | $(1,546,208) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $16,283,445 | $(16,283,445) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $502,119 | $(502,119) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $313,459 | $(313,459) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $7,095,359 | $(7,095,359) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $1,321,039 | $(1,321,039) | $— | $— | $— |
172 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $10,142,529 | $(10,142,529) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $1,582,331 | $(1,582,331) | $— | $— | $— |
173 |
174 |
175 |
Portfolio | Unlimited (Short Term) | Unlimited (Long Term) | ||
Quantitative U.S. Large Cap Value Equity Portfolio | $74,703 | $— | ||
Quantitative U.S. Small Cap Equity Portfolio | 33,626 | — | ||
Quantitative International Equity Portfolio | 5,144,131 | — | ||
Women in Leadership U.S. Equity Portfolio | 34,851 | — | ||
Quantitative U.S. Long/Short Equity Portfolio | 12,497,288 | — | ||
Small Cap Equity Portfolio | 107,290,901 | — | ||
Equity Income Portfolio | 227,068 | — | ||
Global Secured Options Portfolio* | 5,085,052 | 1,642,909 | ||
Alternative Risk Premia Portfolio | 25,254 | — | ||
Core Fixed Income Portfolio | 41,205 | 3,859,776 | ||
Short Term Tax Aware Fixed Income Portfolio | 95,510 | 28,259 | ||
High Yield Municipal Portfolio | 166,646 | — |
Quantitative U.S. Long/Short Equity Portfolio | $7,183,251 |
Short Term Tax Aware Fixed Income Portfolio | 8,214 |
High Yield Municipal Portfolio | 561,949 |
176 |
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 | $— | $1,722,222 | $98,391,794 | $515,376,458 | $2 | $— | $615,490,476 | |||||||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 878,382 | 436,266,319 | 839,886,325 | 3 | — | 1,277,031,029 | |||||||
Quantitative U.S. Large Cap Value Equity Portfolio | — | 3,263 | — | 155,005 | 1 | (74,703) | 83,566 | |||||||
Quantitative U.S. Small Cap Equity Portfolio | — | 678 | — | 90,680 | (1) | (33,626) | 57,731 | |||||||
Quantitative International Equity Portfolio | — | 494,460 | — | 18,813,212 | (1) | (5,144,131) | 14,163,540 | |||||||
Responsible ESG U.S. Equity Portfolio | — | 16,819 | 95,044 | �� | 3,109,763 | — | — | 3,221,626 | ||||||
Women in Leadership U.S. Equity Portfolio | — | 16,263 | — | 3,172,201 | (1) | (34,851) | 3,153,612 | |||||||
Quantitative U.S. Long/Short Equity Portfolio | — | 151,165 | — | 34,344,942 | (19,599) | (12,497,288) | 21,979,220 | |||||||
Quantitative U.S. Total Market Equity Portfolio | — | 48,042 | 3,333,716 | 20,867,692 | (11,427) | — | 24,238,023 | |||||||
Strategic Equity Portfolio | — | 221,384 | 5,225,535 | 112,345,491 | (1) | — | 117,792,409 | |||||||
Small Cap Equity Portfolio | — | — | — | 50,079,852 | 1 | (107,290,901) | (57,211,048) | |||||||
Large Cap Value Portfolio | — | 57,730 | 3,346,804 | 4,984,618 | (3) | — | 8,389,149 | |||||||
Equity Income Portfolio | — | 32,056 | — | 3,176,226 | (1) | (227,068) | 2,981,213 | |||||||
Secured Options Portfolio | — | 18,271,384 | 29,794,386 | 8,655,971 | (15,713) | — | 56,706,028 | |||||||
Global Secured Options Portfolio | — | 533 | — | 4,677 | — | (6,727,961)** | (6,722,751) | |||||||
Alternative Risk Premia Portfolio | — | 2,372 | — | 148,360 | — | (25,254) | 125,478 | |||||||
Core Fixed Income Portfolio | — | 1,044,610 | — | 20,039,154 | 1 | (3,900,981) | 17,182,784 | |||||||
Short Term Tax Aware Fixed Income Portfolio | 52,524 | — | — | 304,864 | — | (123,769) | 233,619 | |||||||
High Yield Municipal Portfolio | 498,071 | — | — | 10,961,164 | — | (166,646) | 11,292,589 |
177 |
Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | |||
Quantitative U.S. Large Cap Core Equity Portfolio | $— | $35,574,463 | $214,199,561 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 18,109,866 | 439,037,606 | |||
Quantitative U.S. Large Cap Value Equity Portfolio | — | 37,522 | — | |||
Quantitative U.S. Small Cap Equity Portfolio | — | 10,564 | — | |||
Quantitative International Equity Portfolio | — | 8,209,500 | — | |||
Responsible ESG U.S. Equity Portfolio | — | 262,686 | 784,096 | |||
Women in Leadership U.S. Equity Portfolio | — | 218,701 | 616,730 | |||
Quantitative U.S. Long/Short Equity Portfolio | — | 2,429,471 | — | |||
Quantitative U.S. Total Market Equity Portfolio | — | 485,023 | 6,601,798 | |||
Strategic Equity Portfolio | — | 2,179,702 | 2,698,979 | |||
Small Cap Equity Portfolio | — | 68,067,418 | 389,612,638 | |||
Large Cap Value Portfolio | — | 1,039,184 | 6,243,467 | |||
Equity Income Portfolio | — | 596,059 | 300,249 | |||
Secured Options Portfolio | — | 5,547,312 | 13,352,249 | |||
Global Secured Options Portfolio | — | 182,809 | 1,317,002 | |||
Core Fixed Income Portfolio | — | 12,219,477 | — | |||
Short Term Tax Aware Fixed Income Portfolio | 318,403 | 145,034 | — | |||
High Yield Municipal Portfolio | 5,910,963 | 145,233 | — |
Portfolio | Total distributable earnings | Paid-in capital | ||
Quantitative U.S. Long/Short Equity Portfolio | $8,818 | $(8,818) | ||
Alternative Risk Premia Portfolio | 2,320 | (2,320) |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Quantitative U.S. Large Cap Core Equity Portfolio | $1,190,367,693 | $231,683,617 | $107,389,490 | $124,294,127 | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio | 2,195,289,275 | 643,444,508 | 114,951,941 | 528,492,567 | ||||
Quantitative U.S. Large Cap Value Equity Portfolio | 1,889,390 | 88,576 | 286,008 | (197,432) | ||||
Quantitative U.S. Small Cap Equity Portfolio | 959,025 | 82,805 | 165,592 | (82,787) | ||||
Quantitative International Equity Portfolio | 110,524,782 | 8,241,510 | 12,519,037 | (4,277,527) | ||||
Responsible ESG U.S. Equity Portfolio | 21,028,907 | 2,636,945 | 2,188,454 | 448,491 | ||||
Women in Leadership U.S. Equity Portfolio | 19,786,633 | 2,457,515 | 2,044,889 | 412,626 | ||||
Quantitative U.S. Long/Short Equity Portfolio | 24,862,577 | 36,705,897 | 21,569,060 | 15,136,837 | ||||
Quantitative U.S. Total Market Equity Portfolio | 31,237,511 | 9,863,723 | 5,783,999 | 4,079,724 | ||||
Strategic Equity Portfolio | 147,745,155 | 83,235,630 | 3,305,193 | 79,930,437 | ||||
Small Cap Equity Portfolio | 1,620,284,226 | 184,915,647 | 328,782,014 | (143,866,367) | ||||
Large Cap Value Portfolio | 24,235,406 | 2,026,794 | 1,855,772 | 171,022 | ||||
Equity Income Portfolio | 19,817,228 | 1,828,116 | 1,422,847 | 405,269 | ||||
Secured Options Portfolio | 463,403,170 | 8,024,079 | — | 8,024,079 | ||||
Global Secured Options Portfolio | 5,024,155 | 46,062 | 59,450 | (13,388) | ||||
Alternative Risk Premia Portfolio | 16,928 | 285,131 | 208,500 | 76,631 |
178 |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Core Fixed Income Portfolio | $443,308,726 | $36,893,355 | $636 | $36,892,719 | ||||
Short Term Tax Aware Fixed Income Portfolio | 48,706,181 | 299,251 | 288,212 | 11,039 | ||||
High Yield Municipal Portfolio | 203,409,570 | 3,066,092 | 10,882,183 | (7,816,091) |
Equity Contracts Risk | Total | ||
Options Purchased1 | $643,598,835 | $643,598,835 | |
Total Value | $643,598,835 | $643,598,835 |
Equity Contracts Risk | Total | ||
Options Written2 | $(313,678,853) | $(313,678,853) | |
Total Value | $(313,678,853) | $(313,678,853) |
Equity Contracts Risk | Total | ||
Options Purchased3 | $(269,226,290) | $(269,226,290) | |
Options Written4 | 194,607,662 | 194,607,662 | |
Total Realized Gain (Loss) | $(74,618,628) | $(74,618,628) |
Equity Contracts Risk | Total | ||
Options Purchased5 | $100,542,285 | $100,542,285 | |
Options Written6 | (98,026,757) | (98,026,757) | |
Total Change in Appreciation (Depreciation) | $2,515,528 | $2,515,528 |
179 |
Equity Contracts Risk | Total | ||
Options Purchased | 915,533 | 915,533 | |
Options Written | (1,106,783) | (1,106,783) |
Equity Contracts Risk | Total | ||
Options Purchased1 | $3,234,165 | $3,234,165 | |
Total Value | $3,234,165 | $3,234,165 |
Equity Contracts Risk | Total | ||
Options Written2 | $(1,580,733) | $(1,580,733) | |
Total Value | $(1,580,733) | $(1,580,733) |
Equity Contracts Risk | Total | ||
Options Purchased3 | $(2,924,764) | $(2,924,764) | |
Options Written4 | 2,765,146 | 2,765,146 | |
Total Realized Gain (Loss) | $(159,618) | $(159,618) |
Equity Contracts Risk | Total | ||
Options Purchased5 | $740,854 | $740,854 | |
Options Written6 | (681,508) | (681,508) | |
Total Change in Appreciation (Depreciation) | $59,346 | $59,346 |
Equity Contracts Risk | Total | ||
Options Purchased | 5,400 | 5,400 | |
Options Written | (32,367) | (32,367) |
180 |
Equity Contracts Risk | Total | ||
Options Written2 | $(22,420) | $(22,420) | |
Total Value | $(22,420) | $(22,420) |
Equity Contracts Risk | Total | ||
Options Purchased3 | $(1,362,614) | $(1,362,614) | |
Options Written4 | 1,173,007 | 1,173,007 | |
Total Realized Gain (Loss) | $(189,607) | $(189,607) |
Equity Contracts Risk | Total | ||
Options Purchased5 | $(100,174) | $(100,174) | |
Options Written6 | 105,828 | 105,828 | |
Total Change in Appreciation (Depreciation) | $5,654 | $5,654 |
Equity Contracts Risk | Total | ||
Options Purchased | 5,000 | 5,000 | |
Options Written | (38,467) | (38,467) |
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, 2020. |
181 |
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%** |
182 |
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% |
183 |
Portfolio | Purchases | Sales | ||
Quantitative U.S. Large Cap Core Equity Portfolio | $657,289,298 | $1,389,504,250 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio | 1,064,750,728 | 1,654,855,355 | ||
Quantitative U.S. Large Cap Value Equity Portfolio | 843,216 | 792,050 | ||
Quantitative U.S. Small Cap Equity Portfolio | 496,400 | 483,527 | ||
Quantitative International Equity Portfolio | 50,029,092 | 124,389,470 | ||
Responsible ESG U.S. Equity Portfolio | 11,337,340 | 10,732,754 | ||
Women in Leadership U.S. Equity Portfolio | 12,284,174 | 10,063,550 | ||
Quantitative U.S. Long/Short Equity Portfolio | 246,280,221 | 254,602,580 | ||
Quantitative U.S. Total Market Equity Portfolio | 37,852,731 | 58,913,290 | ||
Strategic Equity Portfolio | 27,640,648 | 35,715,419 | ||
Small Cap Equity Portfolio | 288,689,936 | 565,586,387 | ||
Large Cap Value Portfolio | 15,739,462 | 25,116,855 | ||
Equity Income Portfolio | 9,478,548 | 11,090,041 | ||
Secured Options Portfolio | — | — | ||
Global Secured Options Portfolio | 2,737,296 | 2,204,131 | ||
Alternative Risk Premia Portfolio | 4,163,940 | 3,740,459 | ||
Core Fixed Income Portfolio | 23,308,460 | 89,747,058 | ||
Short Term Tax Aware Fixed Income Portfolio | 21,659,060 | 16,168,392 | ||
High Yield Municipal Portfolio | 36,616,375 | 34,131,487 |
Portfolio | Purchases | Sales | ||
Core Fixed Income Portfolio | $73,176,105 | $57,816,537 | ||
Short Term Tax Aware Fixed Income Portfolio | 3,028,192 | 3,682,954 |
Period Ended 04/30/20 | Year Ended 10/31/19 | ||||||
Shares | Amount | Shares | Amount | ||||
Quantitative U.S. Large Cap Core Equity Portfolio — Advisor | |||||||
Sold | 2,051,574 | $49,619,629 | 7,795,697 | $200,527,651 | |||
Issued as reinvestment of dividends | 2,678,081 | 71,832,332 | 6,632,270 | 162,530,319 | |||
Redeemed | (16,837,588) | (403,430,366) | (26,601,586) | (689,595,773) | |||
Net Decrease | (12,107,933) | $(281,978,405) | (12,173,619) | $(326,537,803) | |||
Quantitative U.S. Large Cap Core Equity Portfolio — Institutional | |||||||
Sold | 1,169,593 | $30,542,294 | 6,223,832 | $160,412,886 | |||
Issued as reinvestment of dividends | 1,071,298 | 28,830,913 | 2,444,794 | 60,113,584 | |||
Redeemed | (19,488,569) | (425,720,774) | (11,128,916) | (289,880,553) | |||
Net Decrease | (17,247,678) | $(366,347,567) | (2,460,290) | $(69,354,083) | |||
Quantitative U.S. Large Cap Growth Equity Portfolio — Advisor | |||||||
Sold | 3,789,020 | $111,956,335 | 6,251,770 | $187,484,487 | |||
Issued as reinvestment of dividends | 8,750,837 | 267,387,614 | 11,736,683 | 318,634,125 | |||
Redeemed | (17,094,429) | (486,378,631) | (32,158,941) | (967,311,629) | |||
Net Decrease | (4,554,572) | $(107,034,682) | (14,170,488) | $(461,193,017) |
184 |
Period Ended 04/30/20 | Year Ended 10/31/19 | ||||||
Shares | Amount | Shares | Amount | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio — Institutional | |||||||
Sold | 5,767,781 | $173,397,901 | 21,708,941 | $669,349,023 | |||
Issued as reinvestment of dividends | 4,897,985 | 149,488,239 | 3,802,032 | 103,584,948 | |||
Redeemed | (15,032,354) | (410,194,323) | (10,636,669) | (317,105,397) | |||
Net Increase (Decrease) | (4,366,588) | $(87,308,183) | 14,874,304 | $455,828,574 | |||
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||
Sold | 3,156 | $35,000 | 84,484 | $818,192 | |||
Issued as reinvestment of dividends | 1,186 | 10,178 | 2,467 | 23,800 | |||
Net Increase | 4,342 | $45,178 | 86,951 | $841,992 | |||
Quantitative U.S. Small Cap Equity Portfolio | |||||||
Sold | 437 | $— | 38,055 | $375,000 | |||
Issued as reinvestment of dividends | — | 4,286 | 814 | 7,935 | |||
Redeemed | — | — | (41,564) | (424,197) | |||
Net Increase (Decrease) | 437 | $4,286 | (2,695) | $(41,262) | |||
Quantitative International Equity Portfolio | |||||||
Sold | 22,252 | $283,370 | 1,707,547 | $22,694,078 | |||
Issued as reinvestment of dividends | 10,042 | 136,045 | 14,174 | 191,807 | |||
Redeemed | (6,062,394) | (74,604,524) | (16,190,535) | (213,723,145) | |||
Net Decrease | (6,030,100) | $(74,185,109) | (14,468,814) | $(190,837,260) | |||
Responsible ESG U.S. Equity Portfolio | |||||||
Sold | 173,888 | $2,327,035 | 340,644 | $4,666,957 | |||
Issued as reinvestment of dividends | 11,087 | 158,897 | 59,587 | 775,280 | |||
Redeemed | (136,671) | (1,848,253) | (320,104) | (4,445,511) | |||
Net Increase | 48,304 | $637,679 | 80,127 | $996,726 | |||
Women in Leadership U.S. Equity Portfolio | |||||||
Sold | 315,264 | $3,986,399 | 250,378 | $3,189,225 | |||
Issued as reinvestment of dividends | 4,459 | 54,216 | 50,420 | 620,117 | |||
Redeemed | (167,151) | (2,160,983) | (217,072) | (2,896,608) | |||
Net Increase | 152,572 | $1,879,632 | 83,726 | $912,734 | |||
Quantitative U.S. Long/Short Equity Portfolio — Advisor1 | |||||||
Sold | 645,987 | $7,718,282 | 2,148,043 | $26,106,820 | |||
Issued as reinvestment of dividends | 1,645 | 20,114 | 25,663 | 309,335 | |||
Redeemed | (7,823,155) | (85,542,671) | (7,986,021) | (97,111,910) | |||
Net Decrease | (7,175,523) | $(77,804,275) | (5,812,315) | $(70,695,755) | |||
Quantitative U.S. Long/Short Equity Portfolio — Institutional2 | |||||||
Sold | — | $— | 6,573 | $79,077 | |||
Issued as reinvestment of dividends | — | 4 | 1 | 10 | |||
Redeemed | (1,029) | (11,660) | (5,266) | (62,160) | |||
Net Increase (Decrease) | (1,029) | $(11,656) | 1,308 | $16,927 | |||
Quantitative U.S. Total Market Equity Portfolio | |||||||
Sold | 64,226 | $981,737 | 304,466 | $5,243,981 | |||
Issued as reinvestment of dividends | 179,975 | 3,212,215 | 390,151 | 6,292,714 | |||
Redeemed | (1,459,341) | (22,004,247) | (1,703,453) | (29,706,478) | |||
Net Decrease | (1,215,140) | $(17,810,295) | (1,008,836) | $(18,169,783) | |||
Strategic Equity Portfolio | |||||||
Sold | 824,664 | $21,075,377 | 1,528,095 | $37,551,565 | |||
Issued as reinvestment of dividends | 181,520 | 5,017,775 | 116,017 | 2,661,608 | |||
Redeemed | (1,445,918) | (32,956,924) | (1,062,348) | (25,923,889) | |||
Net Increase (Decrease) | (439,734) | $(6,863,772) | 581,764 | $14,289,284 |
185 |
Period Ended 04/30/20 | Year Ended 10/31/19 | ||||||
Shares | Amount | Shares | Amount | ||||
Small Cap Equity Portfolio — Advisor | |||||||
Sold | 1,763,835 | $37,041,650 | 5,383,381 | $128,229,998 | |||
Issued as reinvestment of dividends | 26,925 | 591,721 | 6,936,672 | 155,558,152 | |||
Redeemed | (11,744,877) | (238,874,247) | (28,366,130) | (683,387,615) | |||
Net Decrease | (9,954,117) | $(201,240,876) | (16,046,077) | $(399,599,465) | |||
Small Cap Equity Portfolio — Institutional | |||||||
Sold | 15,340,936 | $309,141,634 | 27,259,996 | $674,098,610 | |||
Issued as reinvestment of dividends | 53,528 | 1,187,912 | 4,272,361 | 101,455,044 | |||
Redeemed | (15,963,857) | (370,723,519) | (50,946,241) | (1,296,888,306) | |||
Net Decrease | (569,393) | $(60,393,973) | (19,413,884) | $(521,334,652) | |||
Large Cap Value Portfolio | |||||||
Sold | 80,164 | $689,907 | 896,656 | $8,288,686 | |||
Issued as reinvestment of dividends | 363,409 | 3,438,018 | 706,384 | 6,354,950 | |||
Redeemed | (1,247,495) | (9,961,646) | (4,410,904) | (42,476,737) | |||
Net Decrease | (803,922) | $(5,833,721) | (2,807,864) | $(27,833,101) | |||
Equity Income Portfolio | |||||||
Sold | 500,174 | $5,986,339 | 650,257 | $7,164,362 | |||
Issued as reinvestment of dividends | 1,276 | 13,802 | 41,016 | 438,870 | |||
Redeemed | (654,901) | (7,603,064) | (397,619) | (4,424,496) | |||
Net Increase (Decrease) | (153,451) | $(1,602,923) | 293,654 | $3,178,736 | |||
Secured Options Portfolio — Advisor | |||||||
Sold | 1,349,620 | $16,108,749 | 6,503,407 | $78,070,901 | |||
Issued as reinvestment of dividends | 1,509,519 | 18,536,927 | 780,736 | 9,103,403 | |||
Redeemed | (11,193,641) | (120,473,714) | (22,911,514) | (275,711,096) | |||
Net Decrease | (8,334,502) | $(85,828,038) | (15,627,371) | $(188,536,792) | |||
Secured Options Portfolio — Institutional | |||||||
Sold | 6,786,351 | $76,580,832 | 14,730,158 | $175,748,953 | |||
Issued as reinvestment of dividends | 1,204,044 | 14,881,983 | 599,104 | 7,015,540 | |||
Redeemed | (6,992,257) | (74,925,086) | (16,133,072) | (189,249,615) | |||
Net Increase (Decrease) | 998,138 | $16,537,729 | (803,810) | $(6,485,122) | |||
Global Secured Options Portfolio3 | |||||||
Sold | 1,499,748 | $6,779,488 | 2,533 | $250,000 | |||
Issued as reinvestment of dividends | 395 | 1,977 | 249,158 | 1,497,340 | |||
Redeemed | (71,178) | (319,977) | (28,670) | (1,643,199) | |||
Net Increase | 1,428,965 | $6,461,488 | 223,021 | $104,141 | |||
Alternative Risk Premia Portfolio4 | |||||||
Sold | — | $— | 540,523 | $5,545,510 | |||
Issued as reinvestment of dividends | 85 | 900 | — | — | |||
Redeemed | (323,589) | (2,785,084) | (2,474) | (25,681) | |||
Net Increase (Decrease) | (323,504) | $(2,784,184) | 538,049 | $5,519,829 | |||
Core Fixed Income Portfolio | |||||||
Sold | 2,965,274 | $33,673,978 | 7,817,327 | $84,892,934 | |||
Issued as reinvestment of dividends | 112,763 | 1,283,331 | 46,014 | 501,378 | |||
Redeemed | (8,036,353) | (91,709,988) | (9,412,603) | (102,899,799) | |||
Net Decrease | (4,958,316) | $(56,752,679) | (1,549,262) | $(17,505,487) | |||
Short Term Tax Aware Fixed Income Portfolio | |||||||
Sold | 3,086,601 | $31,137,324 | 3,821,249 | $38,271,385 | |||
Issued as reinvestment of dividends | 4,192 | 42,227 | — | — | |||
Redeemed | (3,324,289) | (33,473,134) | (1,419,694) | (14,227,653) | |||
Net Increase (Decrease) | (233,496) | $(2,293,583) | 2,401,555 | $24,043,732 |
186 |
Period Ended 04/30/20 | Year Ended 10/31/19 | ||||||
Shares | Amount | Shares | Amount | ||||
High Yield Municipal Portfolio | |||||||
Sold | 1,468,128 | $15,663,835 | 2,512,452 | $26,294,842 | |||
Issued as reinvestment of dividends | 6,471 | 69,655 | — | — | |||
Redeemed | (1,042,084) | (10,985,756) | (1,561,558) | (16,391,271) | |||
Net Increase | 432,515 | $4,747,734 | 950,894 | $9,903,571 |
1 | Class was re-named Advisor Class on February 14, 2019. |
2 | Class commenced operations on September 13, 2019. |
3 | On March 16, 2020, the Global Secured Options Portfolio underwent a 1-for-10 reverse share split. The capital share activity presented here has been retroactively adjusted to reflect this split. See Note 6. |
4 | Portfolio commenced operations on December 20, 2018. |
5% or Greater Shareholders | ||||
Portfolio | # of Shareholders | % of Shares Held | ||
Quantitative U.S Large Cap Core Equity Portfolio (Advisor Class) | 2 | 45 | ||
Quantitative U.S. Large Cap Core Equity Portfolio (Institutional Class) | 4 | 87 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio (Advisor Class) | 2 | 68 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio (Institutional Class) | 3 | 83 | ||
Quantitative U.S. Large Cap Value Equity Portfolio | 5 | 92 | ||
Quantitative U.S. Small Cap Equity Portfolio | 1 | 99 | ||
Responsible ESG U.S. Equity Portfolio | 4 | 29 | ||
Women in Leadership U.S. Equity Portfolio | 5 | 38 | ||
Quantitative U.S. Long/Short Equity Portfolio (Advisor Class) | 1 | 6 | ||
Quantitative U.S. Long/Short Equity Portfolio (Institutional Class) | 1 | 100 | ||
Quantitative U.S. Total Market Equity Portfolio | 2 | 41 | ||
Small Cap Equity Portfolio (Advisor Class) | 2 | 55 | ||
Small Cap Equity Portfolio (Institutional Class) | 2 | 85 | ||
Large Cap Value Portfolio | 3 | 35 | ||
Equity Income Portfolio | 3 | 22 | ||
Secured Options Portfolio (Advisor Class) | 3 | 47 | ||
Secured Options Portfolio (Institutional Class) | 3 | 86 | ||
Global Secured Options Portfolio | 2 | 100 | ||
Alternative Risk Premia Portfolio | 1 | 93 | ||
Short Term Tax Aware Fixed Income Portfolio | 4 | 31 |
187 |
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 | $3,721,009 | $— | 3,825,535 | 0.28 | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio | 15,703,880 | — | 16,145,014 | 0.58 | ||||
Quantitative U.S. Large Cap Value Equity Portfolio | 15,751 | — | 16,193 | 0.92 | ||||
Quantitative U.S. Small Cap Equity Portfolio | 46,132 | 19,933 | 28,269 | 5.19 | ||||
Quantitative International Equity Portfolio | 11,773,021 | 7,334,289 | 5,118,291 | 10.94 | ||||
Responsible ESG U.S. Equity Portfolio | 370,249 | — | 379,897 | 1.71 | ||||
Women in Leadership U.S. Equity Portfolio | 394,557 | — | 405,161 | 1.95 | ||||
Quantitative U.S. Long/Short Equity Portfolio | 662,985 | — | 679,686 | 0.26 | ||||
Strategic Equity Portfolio | 654,991 | 672,823 | — | 0.29 | ||||
Small Cap Equity Portfolio | 44,635,097 | 9,971,446 | 38,869,581 | 3.02 | ||||
Large Cap Value Portfolio | 221,308 | 49,000 | 176,094 | 0.87 | ||||
Alternative Risk Premia Portfolio | 14,707 | — | 15,122 | 0.48 | ||||
Core Fixed Income Portfolio | 12,514,421 | 12,756,024 | — | 2.59 | ||||
Short Term Tax Aware Fixed Income Portfolio | 202,285 | 206,500 | — | 0.39 |
188 |
Muni Intermediate Portfolio | |
Assets: | |
Investments at value1 | $293,222,440 |
Cash | 5,743,818 |
Receivable for fund shares sold | 720,442 |
Interest receivable | 3,619,826 |
Prepaid expenses | 4,904 |
Total assets | 303,311,430 |
Liabilities: | |
Payable for when-issued securities purchased | 1,114,640 |
Payable for fund shares redeemed | 35,903 |
Payable for Trustees’ fees | 8,648 |
Payable for Shareholder Servicing fees | 36,985 |
Accrued expenses | 56,248 |
Total liabilities | 1,252,424 |
Net Assets | $302,059,006 |
Net Assets consist of: | |
Par value ($0.001 of shares outstanding) | $27,188 |
Paid-in capital in excess of par value | 294,893,394 |
Total distributable earnings | 7,138,424 |
Total Net Assets | $302,059,006 |
Shares Outstanding | 27,187,836 |
Net Asset Value Per Share | $11.11 |
1Investments at cost | $288,652,145 |
189 |
Muni Intermediate Portfolio | |
Investment income: | |
Interest | $3,242,853 |
Total investment income | 3,242,853 |
Expenses: | |
Administration, transfer agent and custody fees | 89,259 |
Professional fees | 16,509 |
Shareholder report expenses | 8,974 |
Shareholder servicing fees | 229,138 |
Trustees’ fees and expenses | 18,068 |
Registration and filing fees | 6,075 |
Other expenses | 6,325 |
Total expenses | 374,348 |
Net investment income | 2,868,505 |
Realized and unrealized gain (loss): | |
Net realized gain on: | |
Investment transactions | 2,075,731 |
Net change in unrealized loss of: | |
Investments | (4,747,375) |
Net realized and unrealized loss | (2,671,644) |
Net increase in net assets resulting from operations | $196,861 |
190 |
Muni Intermediate Portfolio | |
Increase (decrease) in net assets | |
Operations: | |
Net investment income | $2,868,505 |
Net realized gain on: | |
Investment transactions | 2,075,731 |
Net change in unrealized loss of: | |
Investments | (4,747,375) |
Net increase in net assets resulting from operations | 196,861 |
Distributions from earnings | (3,941,436) |
Net increase (decrease) in net assets from capital share transactions (See note 4) | (5,515,752) |
Net increase (decrease) in net assets | (9,260,327) |
NET ASSETS: | |
Beginning of period | 311,319,333 |
End of period | $302,059,006 |
Muni Intermediate Portfolio | |
Increase (decrease) in net assets | |
Operations: | |
Net investment income | $5,908,483 |
Net realized gain on: | |
Investment transactions | 1,472,487 |
Net change in unrealized gain of: | |
Investments | 12,561,149 |
Net increase in net assets resulting from operations | 19,942,119 |
Distributions from earnings | (5,890,287) |
Net increase in net assets from capital share transactions (See note 4) | 7,866,318 |
Net increase in net assets | 21,918,150 |
NET ASSETS: | |
Beginning of year | 289,401,183 |
End of year | $311,319,333 |
191 |
Muni Intermediate Portfolio | |||||||||||
For the Period Ended April 30, 20201,2 | For The Years Ended October 31, | ||||||||||
20192 | 2018 | 2017 | 2016 | 2015 | |||||||
Net asset value, beginning of period | $11.25 | $10.73 | $11.01 | $11.08 | $10.98 | $11.04 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.10 | 0.22 | 0.20 | 0.19 | 0.17 | 0.16 | |||||
Net realized and unrealized gain (loss) on investments | (0.10) | 0.52 | (0.28) | (0.04) | 0.10 | — | |||||
Total from investment operations | — | 0.74 | (0.08) | 0.15 | 0.27 | 0.16 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.10) | (0.22) | (0.20) | (0.18) | (0.17) | (0.16) | |||||
Net realized capital gains | (0.04) | — | — | (0.04) | — | (0.06) | |||||
Total distributions | (0.14) | (0.22) | (0.20) | (0.22) | (0.17) | (0.22) | |||||
Net asset value, end of period | $11.11 | $11.25 | $10.73 | $11.01 | $11.08 | $10.98 | |||||
Total return | 0.02%3 | 6.90% | (0.73)% | 1.38% | 2.45% | 1.45% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $302,059 | $311,319 | $289,401 | $303,982 | $331,243 | $299,121 | |||||
Ratio of operating expenses to average net assets | 0.25%4 | 0.24% | 0.23% | 0.23% | 0.25% | 0.23% | |||||
Ratio of net investment income to average net assets | 1.88%4 | 1.94% | 1.86% | 1.70% | 1.53% | 1.44% | |||||
Portfolio turnover rate | 16% | 34% | 31% | 19% | 34% | 71% |
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. |
192 |
Face Amount | Value | ||
MUNICIPAL BONDS* — 97.1% | |||
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 | $3,058,680 | |
Alaska — 1.5% | |||
1,630,000 | Alaska State, General Obligation Unlimited, Refunding, Series B, 5.000% due 8/1/22 | 1,762,813 | |
2,745,000 | Anchorage, AK, Electric Utility, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/21 | 2,869,815 | |
4,632,628 | |||
Arizona — 1.6% | |||
4,015,000 | Yuma, AZ, Municipal Property Corp., Road & Excise Tax, Revenue Bonds, Refunding, 5.000% due 7/1/26 | 4,728,425 | |
California — 2.2% | |||
1,500,000 | California State, CA, General Obligation Unlimited, 5.000% due 3/1/34 | 1,872,825 | |
3,635,000 | California State, CA, General Obligation Unlimited, Refunding, (AGMC Insured), 5.250% due 8/1/32 | 4,887,984 | |
6,760,809 | |||
Colorado — 0.7% | |||
2,000,000 | Colorado State, CO, Housing and Finance Authority, Revenue Bonds, Series B, 3.750% due 5/1/50 | 2,121,960 | |
Connecticut — 0.7% | |||
2,000,000 | Connecticut State, Housing Finance Authority, Housing Finance Mortgage Program, Revenue Bonds, Refunding, Series F-1, 3.500% due 11/15/43 | 2,103,040 | |
Delaware — 1.0% | |||
2,640,000 | Delaware State, DE, General Obligation Unlimited, Refunding, Series B, 5.000% due 7/1/24 | 3,061,344 | |
District Of Columbia — 1.4% | |||
2,700,000 | District of Columbia, General Obligation Unlimited, Series D, 5.000% due 6/1/25 | 3,205,116 | |
1,000,000 | Metropolitan Washington, DC, Airports Authority System, Revenue Bonds, Refunding, Series B, 5.000% due 10/1/231 | 1,102,940 | |
4,308,056 | |||
Florida — 7.9% | |||
1,025,000 | Broward County, FL, School Broward Corporation, Certificate of Participation, Refunding, Series A, 5.000% due 7/1/27 | 1,230,133 | |
2,820,000 | Central, FL, Expressway Authority, Revenue Bonds, Refunding, Series B, 5.000% due 7/1/28 | 3,274,697 | |
2,180,000 | Citizens Property Insurance Corp., FL, Revenue Bonds, Series A-1, 5.000% due 6/1/20 | 2,186,714 | |
2,765,000 | Florida State, Department of Environmental Protection, Preservation Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/22 | 3,004,145 | |
2,500,000 | Florida State, Municipal Power Agency, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/27 | 3,127,125 | |
2,750,000 | Lakeland, FL, Energy System Revenue Bonds, Refunding, 5.000% due 10/1/25 | 3,285,838 | |
3,000,000 | Lee County, FL, School Board, Certificate of Participation, Series A, 5.000% due 8/1/28 | 3,770,550 | |
2,025,000 | Orlando & Orange County, FL, Expressway Authority, Revenue Bonds, Refunding, 5.000% due 7/1/23 | 2,189,693 |
193 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — (Continued) | |||
$1,875,000 | Orlando & Orange County, FL, Expressway Authority, Revenue Bonds, Refunding, Series B (AGMC Insured), 5.000% due 7/1/21 | $1,887,206 | |
23,956,101 | |||
Hawaii — 1.0% | |||
2,700,000 | Hawaii State, HI, General Obligation Unlimited, Refunding, Series EA, 5.000% due 12/1/22 | 2,868,966 | |
Illinois — 4.7% | |||
Chicago, IL, O’Hare International Airport Revenue Bonds, Refunding, Series B: | |||
2,545,000 | 5.000% due 1/1/30 | 2,787,233 | |
2,000,000 | 5.000% due 1/1/32 | 2,173,960 | |
4,000,000 | McHenry County, IL, Conservation District, General Obligation Unlimited, Refunding, 5.000% due 2/1/25 | 4,666,320 | |
4,000,000 | Regional Transportation Authority, IL, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/23 | 4,443,960 | |
14,071,473 | |||
Indiana — 0.8% | |||
Indiana Health and Educational Facilities Financing Authority, Revenue Bonds, Series B: | |||
35,000 | 0.000% due 11/15/312 | 35,493 | |
2,465,000 | 1.750% due 11/15/31 | 2,475,895 | |
2,511,388 | |||
Kansas — 1.4% | |||
Kansas State, KS, Department of Transportation Highway Revenue, Revenue Bonds, Series C: | |||
1,190,000 | 5.000% due 9/1/23 | 1,299,492 | |
2,750,000 | 5.000% due 9/1/24 | 3,001,707 | |
4,301,199 | |||
Kentucky — 0.7% | |||
2,000,000 | Kentucky State, Property & Building Commission, Revenue Bonds, Refunding, 4.000% due 8/1/21 | 2,011,960 | |
Louisiana — 0.4% | |||
1,000,000 | Ernest N Morial, LA, New Orleans Exhibition Hall Authority, Special Tax Refunding, 5.000% due 7/15/25 | 1,038,380 | |
Maine — 1.1% | |||
Maine State Municipal Bond Bank, Infrastructure Revenue, Refunding, Series A: | |||
1,175,000 | 5.000% due 9/1/21 | 1,237,815 | |
1,985,000 | 5.000% due 9/1/22 | 2,163,313 | |
3,401,128 | |||
Maryland — 6.0% | |||
3,500,000 | County of Prince George’s MD, General Obligation Limited, Series A, 4.000% due 7/15/32 | 4,083,625 | |
3,000,000 | Frederick County, MD, General Obligation Unlimited, Series A, 3.000% due 8/1/31 | 3,255,540 | |
4,000,000 | Maryland State, General Obligation Unlimited, 5.000% due 8/1/24 | 4,650,040 | |
3,280,000 | Maryland State, General Obligation Unlimited, Series A, 5.000% due 3/15/30 | 4,131,193 | |
2,000,000 | Washington, MD, Suburban Sanitary Commission, General Obligation Unlimited, Public Improvement, 4.000% due 6/1/21 | 2,067,920 | |
18,188,318 |
194 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Massachusetts — 1.8% | |||
$2,000,000 | Massachusetts State, General Obligation Limited, Refunding, Series E, 3.000% due 12/1/27 | $2,224,720 | |
2,850,000 | Massachusetts State, General Obligation Limited, Series C, 5.000% due 5/1/30 | 3,162,445 | |
5,387,165 | |||
Michigan — 5.5% | |||
1,015,000 | Byron Center, MI, Public Schools, General Obligation Unlimited, Refunding, (QSBLF Insured), 5.000% due 5/1/24 | 1,162,936 | |
4,000,000 | Detroit, MI, City School District, General Obligation Unlimited, Series A, (QSBLF Insured), 5.000% due 5/1/26 | 4,264,120 | |
1,500,000 | Grand Valley, MI, State University, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/26 | 1,776,675 | |
3,100,000 | Michigan Finance Authority, Revenue Bonds, Refunding Detroit School District, Series A, (QSBLF Insured), 5.000% due 5/1/21 | 3,217,335 | |
2,000,000 | Michigan State, Finance Authority Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/27 | 2,034,920 | |
1,000,000 | Michigan State, Finance Authority Revenue, Revenue Bonds, Series 2019B, 3.500% due 11/15/44 | 1,045,790 | |
2,995,000 | Michigan State, Housing Development Authority, Revenue Bonds, Series B, 3.500% due 6/1/47 | 3,114,950 | |
16,616,726 | |||
Minnesota — 3.3% | |||
4,485,000 | Minnesota State, MN, Housing Finance Agency, Revenue Bonds, Refunding, Series E, (GNMA / FNMA / FHLMC Insured), 4.000% due 1/1/47 | 4,707,187 | |
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 | 5,360,880 | |
10,068,067 | |||
Mississippi — 1.1% | |||
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 | 3,269,589 | |
Missouri — 1.6% | |||
2,000,000 | City of Kansas, MO, Sanitary Sewer System Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 2,336,240 | |
2,500,000 | Missouri State, MO, Housing Development Commission Single Family Mortgage, Revenue Bonds, Series A, 3.500% due 11/1/50 | 2,626,850 | |
4,963,090 | |||
New Mexico — 0.8% | |||
1,175,000 | New Mexico State, Mortgage Finance Authority, Revenue Bonds, Series A, (GNMA / FNMA / FHLMC Insured), 3.500% due 1/1/51 | 1,238,415 | |
1,125,000 | New Mexico State, Mortgage Finance Authority, Revenue Bonds, Series F, (GNMA / FNMA / FHLMC Insured), 3.500% due 7/1/50 | 1,183,117 | |
2,421,532 | |||
New York — 3.4% | |||
3,400,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series A-2S, 4.000% due 2/1/22 | 3,336,658 | |
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 | 1,131,220 |
195 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New York — (Continued) | |||
$1,650,000 | New York City, NY, Transitional Finance Authority Revenue, Future Tax Secured, Series C, 5.000% due 11/1/26 | $1,986,353 | |
2,275,000 | New York City, NY, Transitional Finance Authority, Future Tax Secured, Revenue Bonds, Subseries E-1, 5.000% due 2/1/30 | 2,659,179 | |
1,150,000 | New York State, Thruway Authority Personal Income Tax, Revenue Bonds, Series A, 5.000% due 3/15/23 | 1,167,158 | |
10,280,568 | |||
North Carolina — 3.7% | |||
1,220,000 | Duplin County, NC, Limited Obligation, Revenue Bonds, 5.000% due 4/1/23 | 1,347,026 | |
New Hanover County, NC, Hospital Revenue, Revenue Bonds, Refunding: | |||
775,000 | 5.000% due 10/1/21 | 811,208 | |
1,920,000 | New Hanover County, NC, Hospital Revenue, Revenue Bonds, Refunding, 5.000% due 10/1/22 | 2,491,100 | |
600,000 | 5.000% due 10/1/23 | 660,462 | |
2,940,000 | North Carolina State, General Obligation Unlimited, Refunding, Series A, 5.000% due 6/1/27 | 3,584,507 | |
2,000,000 | Raleigh City, North Carolina, Combined Enterprise System Revenue, Refunding, Series B, 5.000% due 12/1/24 | 2,346,080 | |
11,240,383 | |||
Ohio — 6.1% | |||
2,060,000 | Ohio State, Adult Correctional Capital Facilities, Lease Revenue, Series A, 5.000% due 4/1/21 | 2,135,252 | |
3,250,000 | Ohio State, General Obligation Unlimited, Series A, 5.000% due 6/15/28 | 3,602,072 | |
1,670,000 | Ohio State, Hospital Revenue Bonds, Series A, 5.000% due 1/15/24 | 1,798,223 | |
3,000,000 | Ohio State, Housing Finance Agency Residential Mortgage, Revenue Bonds, (GNMA / FNMA / FHLMC Insured), 4.000% due 3/1/48 | 3,176,070 | |
1,000,000 | Ohio State, Revenue Bonds, Refunding, Series B, 5.000% due 10/1/21 | 1,056,520 | |
1,360,000 | Ohio State, Special Obligation, Revenue Bonds, 5.000% due 10/1/21 | 1,436,867 | |
4,245,000 | Ohio State, Water Development Authority Water Pollution Control Loan Fund, Revenue Bonds, Series A, 5.000% due 6/1/30 | 5,194,352 | |
18,399,356 | |||
Oklahoma — 0.8% | |||
2,000,000 | Grand River, OK, Dam Authority, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/24 | 2,294,420 | |
Oregon — 0.7% | |||
1,970,000 | Oregon State, General Obligation Unlimited, Refunding, Series N, 5.000% due 12/1/23 | 2,094,248 | |
Pennsylvania — 4.1% | |||
440,000 | Conneaut, PA, School District, Refunding, Series B, (AGMC Insured State Aid Withholding), 5.000% due 11/1/20 | 448,897 | |
2,500,000 | Cumberland County, PA, Municipal Authority, Revenue Bonds, 5.000% due 11/1/31 | 2,998,925 | |
2,500,000 | Pennsylvania State Turnpike Authority, Revenue Bonds, Refunding, 5.000% due 12/1/22 | 2,740,250 | |
1,500,000 | Pennsylvania State, General Obligation Unlimited, Series 2, 5.000% due 9/15/25 | 1,770,525 | |
2,150,000 | Pennsylvania State, General Obligation Unlimited, Series CR, (AGMC Insured), 4.000% due 9/15/31 | 2,404,431 |
196 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
$2,000,000 | Pennsylvania State, Housing Finance Agency Single Family Mortgage Revenue, Revenue Bonds, Series 2019-131A, 3.500% due 4/1/49 | $2,100,900 | |
12,463,928 | |||
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 | 1,091,747 | |
South Carolina — 0.4% | |||
1,010,000 | Beaufort County, SC, General Obligation Unlimited, Series B, (State Aid Withholding), 5.000% due 5/1/22 | 1,089,942 | |
Texas — 15.6% | |||
1,420,000 | Alamo, TX, Community College District, General Obligation Limited, 5.000% due 2/15/23 | 1,464,602 | |
1,065,000 | Alamo, TX, Community College District, General Obligation Limited, Refunding, 5.000% due 2/15/24 | 1,216,113 | |
1,500,000 | City of Houston, TX, Airport System Revenue, Revenue Bonds, Series B, 5.000% due 7/1/27 | 1,595,475 | |
3,000,000 | Dallas, TX, Area Rapid Transit, Sales Tax Revenue, Revenue Bonds, Refunding, 5.000% due 12/1/25 | 3,582,180 | |
1,500,000 | Dallas, TX, Fort Worth International Airport, Revenue Bonds, Series B, 5.000% due 11/1/31 | 1,520,640 | |
2,500,000 | Dallas, TX, Independent School District, General Obligation Unlimited, Refunding, (PSF Guaranteed), 5.000% due 2/15/22 | 2,578,725 | |
2,100,000 | Dallas, TX, Independent School District, General Obligation Unlimited, Series B, (PSF Guaranteed), 5.000% due 2/15/23 | 2,323,818 | |
Harris County, Texas, Cultural Education Facilities Finance Corp., Revenue Bonds, Refunding, Children’s Hospital Project: | |||
1,850,000 | 5.000% due 10/1/26 | 2,156,971 | |
1,000,000 | 5.000% due 10/1/27 | 1,163,040 | |
3,000,000 | Harris County, Texas, Flood Control District, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/28 | 3,743,820 | |
Harris County, Texas, Revenue Bonds, Refunding, Series A: | |||
1,300,000 | 5.000% due 8/15/24 | 1,501,201 | |
3,000,000 | 5.000% due 8/15/25 | 3,555,660 | |
4,000,000 | North Texas, Tollway Authority, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/30 | 4,501,680 | |
3,000,000 | Plano, TX, Independent School District, General Obligation Unlimited, Refunding, Series B, (PSF Guaranteed), 5.000% due 2/15/21 | 3,096,600 | |
2,550,000 | Texas State, General Obligation Unlimited, Series A, 5.000% due 10/1/26 | 3,124,949 | |
1,000,000 | Texas State, Transportation Commission Highway Fund Revenue, Revenue Bonds, Refunding, 5.000% due 10/1/22 | 1,094,340 | |
1,165,000 | Texas State, TX, A&M University Permanent University Fund, Revenue Bonds, 5.000% due 7/1/22 | 1,264,444 | |
3,500,000 | University of Texas, Revenue Bonds, Series D , 5.000% due 8/15/25 | 4,165,980 | |
3,090,000 | Waco, TX, Independent School District, General Obligation Unlimited, Refunding, (PSF Guaranteed), 5.000% due 8/15/23 | 3,477,980 | |
47,128,218 | |||
Utah — 0.9% | |||
2,440,000 | Nebo, UT, School District, General Obligation Unlimited, Series C, 4.000% due 7/1/23 | 2,661,820 |
197 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Virginia — 3.2% | |||
$2,800,000 | Richmond, VA, Convention Center Authority, Hotel Tax Revenue Bonds, Refunding, 5.000% due 6/15/27 | $3,086,916 | |
3,555,000 | Virginia State, College Building Authority, Education Facility, Revenue Bonds, Series B, 3.000% due 2/1/33 | 3,725,178 | |
2,450,000 | Virginia State, Commonwealth University Health System Authority Revenue, Revenue Bonds, Series B, 5.000% due 7/1/29 | 2,928,583 | |
9,740,677 | |||
Washington — 6.7% | |||
2,650,000 | Central Puget Sound, WA, Regional Transit Authority, Revenue Bonds, Refunding, Series P-1, 5.000% due 2/1/28 | 2,818,355 | |
3,695,000 | City of Seattle, WA, Municipal Light and Power Revenue, Revenue Bonds, Refunding, 4.000% due 9/1/30 | 4,062,689 | |
1,205,000 | Grays Harbor County, WA, Public Utility District No. 1, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 1,394,342 | |
3,600,000 | King County, WA, Bellevue School District No. 405, General Obligation Unlimited, 5.000% due 12/1/25 | 4,088,052 | |
4,000,000 | Washington State, General Obligation Unlimited, Refunding, Series R-2013A, 4.000% due 7/1/28 | 4,218,840 | |
3,000,000 | Washington State, General Obligation Unlimited, Series D, 5.000% due 2/1/26 | 3,613,470 | |
20,195,748 | |||
Wisconsin — 1.5% | |||
2,100,000 | Wisconsin State, Department of Transportation Revenue, Revenue Bonds, Refunding, Series 2, 5.000% due 7/1/29 | 2,596,839 | |
15,000 | Wisconsin State, General Obligation Unlimited, Series B, Prerefunded 5/1/20 @ 100, 5.000% due 5/1/26 | 15,000 | |
1,470,000 | Wisconsin State, Health & Educational Facilities Authority Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 11/15/28 | 1,818,522 | |
4,430,361 | |||
Wyoming — 1.4% | |||
4,005,000 | Wyoming State, Community Development Authority, Housing Revenue, Revenue Bonds, Refunding, Series 3, 4.000% due 6/1/43 | 4,261,000 | |
TOTAL MUNICIPAL BONDS (Cost $288,652,145) | 293,222,440 | ||
TOTAL INVESTMENTS (Cost $288,652,145) | 97.1% | $293,222,440 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 2.9 | 8,836,566 | |
NET ASSETS | 100.0% | $302,059,006 |
* | Percentages indicated are based on net assets. |
1 | When-issued security. |
2 | Zero Coupon Bond. |
Abbreviations: |
AGMC — Assured Guaranty Municipal Corporation |
FHLMC — Federal Home Loan Mortgage Corporation |
FNMA — Federal National Mortgage Association |
GNMA — Government National Mortgage Association |
PSF — Permanent School Fund |
QSBLF — Michigan Qualified School Bond Loan Fund |
198 |
% of Net Assets | Value | ||
STATE: | |||
Texas | 15.6% | $47,128,218 | |
Florida | 7.9 | 23,956,101 | |
Washington | 6.7 | 20,195,748 | |
Ohio | 6.1 | 18,399,356 | |
Maryland | 6.0 | 18,188,318 | |
Michigan | 5.5 | 16,616,726 | |
Illinois | 4.7 | 14,071,473 | |
Pennsylvania | 4.1 | 12,463,928 | |
North Carolina | 3.7 | 11,240,383 | |
New York | 3.4 | 10,280,568 | |
Minnesota | 3.3 | 10,068,067 | |
Virginia | 3.2 | 9,740,677 | |
California | 2.2 | 6,760,809 | |
Massachusetts | 1.8 | 5,387,165 | |
Missouri | 1.6 | 4,963,090 | |
Arizona | 1.6 | 4,728,425 | |
Alaska | 1.5 | 4,632,628 | |
Wisconsin | 1.5 | 4,430,361 | |
District of Columbia | 1.4 | 4,308,056 | |
Kansas | 1.4 | 4,301,199 | |
Wyoming | 1.4 | 4,261,000 | |
Maine | 1.1 | 3,401,128 | |
Mississippi | 1.1 | 3,269,589 | |
Delaware | 1.0 | 3,061,344 | |
Alabama | 1.0 | 3,058,680 | |
Hawaii | 1.0 | 2,868,966 | |
Utah | 0.9 | 2,661,820 | |
Indiana | 0.8 | 2,511,388 | |
New Mexico | 0.8 | 2,421,532 | |
Oklahoma | 0.8 | 2,294,420 | |
Colorado | 0.7 | 2,121,960 | |
Connecticut | 0.7 | 2,103,040 | |
Oregon | 0.7 | 2,094,248 | |
Kentucky | 0.7 | 2,011,960 | |
Rhode Island | 0.4 | 1,091,747 | |
South Carolina | 0.4 | 1,089,942 | |
Louisiana | 0.4 | 1,038,380 | |
TOTAL MUNICIPAL BONDS | 97.1% | $293,222,440 | |
TOTAL INVESTMENTS | 97.1% | $293,222,440 |
199 |
200 |
Muni Intermediate Portfolio | $405,827 |
Portfolio | Undistributed Tax-exempt Income | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation/ (Depreciation) | Other Temporary Differences | Total Distributable Earnings | ||||||
Muni Intermediate Portfolio | $498,669 | $464,646 | $602,014 | $9,317,671 | $(1) | $10,882,999 |
Portfolio | Tax Exempt | Ordinary Income | ||
Muni Intermediate Portfolio | $5,808,827 | $81,460 |
201 |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Muni Intermediate Portfolio | $288,652,145 | $5,811,245 | $1,240,950 | $4,570,295 |
Portfolio | Purchases | Sales | ||
Muni Intermediate Portfolio | $47,544,978 | $57,647,916 |
202 |
Period Ended 04/30/20 | Year Ended 10/31/19 | ||||||
Shares | Amount | Shares | Amount | ||||
Muni Intermediate Portfolio | |||||||
Sold | 3,093,974 | $34,602,189 | 5,992,921 | $65,990,943 | |||
Issued as reinvestment of dividends | 96,284 | 1,076,507 | — | — | |||
Redeemed | (3,679,059) | (41,194,448) | (5,279,393) | (58,124,625) | |||
Net Increase (Decrease) | (488,801) | $(5,515,752) | 713,528 | $7,866,318 |
203 |
204 |
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)(3) Not applicable.
(a)(4) Not applicable.
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/ Kent E. Weaver | |
Kent E. Weaver President (Principal Executive Officer) |
Date | June 24, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Kent E. Weaver | |
Kent E. Weaver President (Principal Executive Officer) |
Date | June 24, 2020 |
/s/ Christopher E. McGuire | ||
Christopher E. McGuire Treasurer (Principal Financial Officer) |
Date | June 24, 2020 |