UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-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: October 31, 2021
Item 1. Reports to Stockholders.
(a)
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1 | The indices are defined on pages 23 to 25. |
2 | A basis point equals .01%. |
3 | ©2021 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results. |
The Morningstar Rating™ for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-end mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product’s monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating™ for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating™ metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods. | |
As of October 31, 2021, the Equity Income Portfolio was rated against the following numbers of U.S.-domiciled Large Value Equity funds over the following time periods: 1,146 funds overall and 1,146 funds in the last three years. With respect to these Large Value Equity funds, the Equity Income Portfolio received an Overall Morningstar Rating™ of ★★★★ stars and a Morningstar Rating™ of ★★★★ stars for the three-year period. As of October 31, 2021, the Secured Options Portfolio (Advisor Class and Institutional Class) was rated against the following numbers of Option-based funds over the following time periods: 88 funds overall, 88 funds in the last three years, 62 funds in the last five years and 11 funds in the last ten years. With respect to these Option-based |
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funds, the Secured Options Portfolio (Advisor Class) received an Overall Morningstar Rating™ of ★★★★ stars and a Morningstar Rating™ of ★★★ stars, ★★★ stars and ★★★★★ stars for the three-, five- and ten year periods, respectively. With respect to these Option-based funds, the Secured Options Portfolio (Institutional Class) received an Overall Morningstar Rating™ of ★★★ stars and a Morningstar Rating™ of ★★★ stars, ★★★ stars and ★★★★★ stars for the three-, five- and ten year periods, respectively. As of October 31, 2021, the Quantitative U.S. Total Market Equity Portfolio was rated against the following numbers of U.S.- domiciled Mid-Cap Value funds over the following time periods: 392 funds overall, 392 funds in the last three years, 350 funds in the last five years and 254 funds in the last ten years. With respect to these Mid-Cap Value funds, the Quantitative U.S. Total Market Equity Portfolio received an Overall Morningstar Rating™ of ★★★★★ stars and a Morningstar Rating™ of ★★★★ stars, ★★★★★ stars and ★★★★★ stars for the three-, five- and ten-year periods, respectively. As of October 31, 2021, the Women in Leadership Equity Portfolio was rated against the following numbers of U.S.- domiciled Large Value funds over the following time periods: 1,146 funds overall, 1,146 funds in the last three years and 1,027 funds in the last five years. With respect to these Large Value funds, the Women in Leadership Equity Portfolio received an Overall Morningstar Rating™ of ★★★★ stars and a Morningstar Rating™ of ★★★★ stars and ★★★★ stars for the three- and five year periods, respectively. Past performance is no guarantee of future results. Ratings for other share classes may differ. | |
This material must be preceded or accompanied by a current prospectus. | |
The Glenmede Fund, Inc. and The Glenmede Portfolios are distributed by Quasar Distributors, LLC. 12/21. | |
Bond ratings are grades given to bonds that indicate their credit quality as determined by a private independent rating service such as S&P Global Ratings. The firm evaluates a bond issuer’s financial strength, or its ability to pay a bond’s principal and interest in a timely fashion. Ratings are expressed as letters ranging from ’AAA’, which is the highest grade, to ’D’, which is the lowest grade. In limited situations when the rating agency has not issued a formal rating, the rating agency will classify the security as non-rated. | |
A Portfolio’s holdings and allocations are subject to change and are not recommendations to buy or sell any security. Current and future portfolio holdings are subject to risk. Please refer to a Portfolio’s Schedule of Portfolio Investments contained in this report for a full listing of portfolio holdings. |
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Average Annual Total Return | ||||||||||
Return After Taxes on | ||||||||||
Quantitative U.S. Large Cap Core Equity Portfolio – Advisor Class | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | Russell 1000® Index | Morningstar Large Blend Average | |||||
Year ended 10/31/21 | 43.77% | 40.82% | 27.11% | 43.51% | 41.27% | |||||
Five Years ended 10/31/21 | 14.71% | 13.11% | 11.41% | 19.16% | 16.60% | |||||
Ten Years ended 10/31/21 | 14.69% | 13.60% | 12.08% | 16.30% | 13.92% | |||||
Inception (02/27/04) through 10/31/211 | 10.22% | 9.52% | 8.60% | 10.62% | 8.90% | |||||
Quantitative U.S. Large Cap Core Equity Portfolio – Institutional Class | ||||||||||
Year ended 10/31/21 | 44.10% | 41.04% | 27.31% | 43.51% | 41.27% | |||||
Five Years Ended 10/31/21 | 14.94% | 13.28% | 11.58% | 19.16% | 16.60% | |||||
Inception (12/30/15) through 10/31/212 | 13.18% | 11.74% | 10.25% | 17.15% | 14.83% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning March 1, 2004 for Morningstar Large Blend Average. | |
2 Returns are for the period beginning January 1, 2016 for Morningstar Large Blend Average. | |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | ||||||||||
Return After Taxes on | ||||||||||
Quantitative U.S. Large Cap Growth Equity Portfolio – Advisor Class | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | Russell 1000® Growth Index | Morningstar Large Growth Average | |||||
Year ended 10/31/21 | 46.17% | 41.57% | 29.23% | 43.21% | 39.55% | |||||
Five Years ended 10/31/21 | 20.97% | 18.49% | 16.33% | 25.49% | 22.35% | |||||
Ten Years ended 10/31/21 | 17.85% | 16.37% | 14.74% | 19.42% | 16.89% | |||||
Inception (02/27/04) through 10/31/211 | 12.17% | 11.30% | 10.32% | 12.44% | 10.61% | |||||
Quantitative U.S. Large Cap Growth Equity Portfolio – Institutional Class | ||||||||||
Year ended 10/31/21 | 46.47% | 41.75% | 29.40% | 43.21% | 39.55% | |||||
Five Years Ended 10/31/21 | 21.21% | 18.66% | 16.50% | 25.49% | 22.35% | |||||
Inception (11/05/15) through 10/31/212 | 17.53% | 15.43% | 13.67% | 21.14% | 18.44% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning March 1, 2004 for Morningstar Large Growth Average. |
2 Returns are for the period beginning December 1, 2015 for Morningstar Large Growth Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | ||||||||||
Return After Taxes on | ||||||||||
Quantitative U.S. Large Cap Value Equity Portfolio | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | Russell 1000® Value Index | Morningstar Large Value Average | |||||
Year ended 10/31/21 | 46.66% | 45.89% | 27.67% | 43.76% | 43.70% | |||||
Inception (11/13/17) through 10/31/211 | 8.93% | 8.40% | 6.84% | 11.18% | 10.01% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning December 1, 2017 for Morningstar Large Value Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | ||||||||||
Return After Taxes on | ||||||||||
Quantitative U.S. Small Cap Equity Portfolio | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | Russell 2000® Index | Morningstar Small Blend Average | |||||
Year ended 10/31/21 | 58.45% | 58.14% | 34.62% | 50.80% | 54.25% | |||||
Inception (11/13/17) through 10/31/211 | 11.55% | 11.36% | 9.05% | 13.27% | 10.09% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning December 1, 2017 for Morningstar Small Blend Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | ||||||||||
Return After Taxes on | ||||||||||
Quantitative International Equity Portfolio | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | MSCI World ex-USA Index | Morningstar Foreign Large Value Average | |||||
Year ended 10/31/21 | 31.96% | 30.73% | 18.90% | 35.59% | 36.44% | |||||
Five Years ended 10/31/21 | 6.57% | 6.10% | 5.20% | 9.95% | 6.92% | |||||
Ten Years ended 10/31/21 | 4.75% | 4.38% | 3.84% | 7.19% | 5.60% | |||||
Inception (11/17/88) through 10/31/211 | 6.49% | 5.32% | 5.23% | 5.19% | 6.31% |
MSCI World ex-USA Index and
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning December 1, 1988 for Morningstar Foreign Large Value Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | |||||||||||
Return After Taxes on | |||||||||||
Responsible ESG U.S. Equity Portfolio | Distributions | Distributions and Sales of Fund Shares | Russell 1000® Index | Morningstar Large Blend Average | |||||||
Year ended 10/31/21 | 46.31% | 45.92% | 27.44% | 43.51% | 41.27% | ||||||
Five Years ended 10/31/21 | 15.91% | 15.39% | 12.70% | 19.16% | 16.60% | ||||||
Inception (12/22/15) through 10/31/211 | 15.07% | 14.62% | 12.14% | 17.33% | 14.83% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning January 1, 2016 for Morningstar Large Blend Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | |||||||||||
Return After Taxes on | |||||||||||
Women in Leadership U.S. Equity Portfolio | Distributions | Distributions and Sales of Fund Shares | Russell 1000® Index | Morningstar Large Value Average | |||||||
Year ended 10/31/21 | 43.94% | 43.41% | 26.04% | 43.51% | 43.70% | ||||||
Five Years ended 10/31/21 | 14.67% | 14.15% | 11.66% | 19.16% | 12.38% | ||||||
Inception (12/22/15) through 10/31/211 | 13.82% | 13.32% | 11.05% | 17.33% | 11.67% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning January 1, 2016 for Morningstar Large Value Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | ||||||||||||||||
Return After Taxes on | ||||||||||||||||
Quantitative U.S. Long/Short Equity Portfolio – Advisor Class | Distributions | Distributions and Sales of Fund Shares | Russell 3000® Index | Bloomberg U.S Treasury Bellwether 3-Month Index | Blended Index | Morningstar Long/Short Average | ||||||||||
Year ended 10/31/21 | 17.01% | 17.01% | 10.07% | 43.90% | 0.05% | 11.91% | 21.16% | |||||||||
Five Years ended 10/31/21 | 2.77% | 2.72% | 2.13% | 18.91% | 1.16% | 6.47% | 6.76% | |||||||||
Ten Years ended 10/31/21 | 3.91% | 3.88% | 3.09% | 16.10% | 0.64% | 5.24% | 4.98% | |||||||||
Inception (09/29/06) through 10/31/211 | 2.07% | 1.99% | 1.61% | 10.83% | 1.02% | 4.12% | 3.14% | |||||||||
Quantitative U.S. Long/Short Equity Portfolio – Institutional Class | ||||||||||||||||
Year ended 10/31/21 | 17.25% | 17.25% | 10.21% | 43.90% | 0.05% | 11.91% | 21.16% | |||||||||
Inception (09/13/19) through 10/31/212 | 3.97% | 3.92% | 3.04% | 24.90% | 0.60% | 7.72% | 9.64% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning October 1, 2006 for Morningstar Long/Short Average. |
2 Returns are for the period beginning October 1, 2019 for Morningstar Long/Short Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | |||||||||||
Return After Taxes on | |||||||||||
Quantitative U.S. Total Market Equity Portfolio | Distributions | Distributions and Sales of Fund Shares | Russell 3000® Index | Morningstar Mid-Cap Value Average | |||||||
Year ended 10/31/21 | 66.37% | 62.26% | 40.74% | 43.90% | 51.37% | ||||||
Five Years ended 10/31/21 | 16.01% | 14.43% | 12.43% | 18.91% | 11.66% | ||||||
Ten Years ended 10/31/21 | 14.06% | 13.06% | 11.51% | 16.10% | 11.77% | ||||||
Inception (12/21/06) through 10/31/211 | 8.59% | 7.93% | 6.99% | 10.50% | 7.79% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning January 1, 2007 for Morningstar Mid-Cap Value Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | ||||||||||||
Return After Taxes on | ||||||||||||
Strategic Equity Portfolio | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | S&P 500® Index | Dow Jones Industrial Average | Morningstar Large Blend Average | ||||||
Year ended 10/31/21 | 42.57% | 40.59% | 26.03% | 42.91% | 37.73% | 41.27% | ||||||
Five Years ended 10/31/21 | 16.97% | 15.58% | 13.31% | 18.93% | 17.21% | 16.60% | ||||||
Ten Years ended 10/31/21 | 14.55% | 12.88% | 11.57% | 16.21% | 14.32% | 13.92% | ||||||
Inception (07/20/89) through 10/31/211 | 9.61% | 8.23% | 7.79% | 10.76% | 11.16% | 9.11% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning August 1, 1989 for Morningstar Large Blend Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | ||||||||||||
Small Cap Equity Portfolio – Advisor Class | Russell 2000® Index | Russell 2000® Value Index | S&P 500® Index | Morningstar Small Blend Average | ||||||||
Year ended 10/31/21 | 59.75% | 50.80% | 64.30% | 42.91% | 54.25% | |||||||
Five Years ended 10/31/21 | 14.23% | 15.52% | 12.61% | 18.93% | 13.33% | |||||||
Ten Years ended 10/31/21 | 12.98% | 13.50% | 12.12% | 16.21% | 11.93% | |||||||
Inception (03/01/91) through 10/31/211 | 10.97% | 10.58% | 11.44% | 10.83% | 10.52% | |||||||
Small Cap Equity Portfolio – Institutional Class | ||||||||||||
Year ended 10/31/21 | 60.04% | 50.80% | 64.30% | 42.91% | 54.25% | |||||||
Five Years ended 10/31/21 | 14.47% | 15.52% | 12.61% | 18.93% | 13.33% | |||||||
Ten Years ended 10/31/21 | 13.20% | 13.50% | 12.12% | 16.21% | 11.93% | |||||||
Inception (01/02/98) through 10/31/212 | 9.05% | 8.62% | 8.78% | 8.77% | 8.80% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning April 1, 1991 for Morningstar Small Blend Average. |
2 Returns are for the period beginning February 1, 1998 for Morningstar Small Blend Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | |||||||||
Equity Income Portfolio | S&P 500® Index | Russell 1000® Value Index | Morningstar Large Value Average | ||||||
Year ended 10/31/21 | 36.12% | 42.91% | 43.76% | 43.70% | |||||
Inception (12/21/16) through 10/31/211 | 12.68% | 17.88% | 10.70% | 11.07% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning January 1, 2017 for Morningstar Large Value Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | ||||||||
Secured Options Portfolio – Advisor Class | CBOE S&P 500® PutWrite Index | S&P 500® Index | ||||||
Year ended 10/31/21 | 27.08% | 32.34% | 42.91% | |||||
Five Years ended 10/31/21 | 8.01% | 8.04% | 18.93% | |||||
Ten year ended 10/31/21 | 8.37% | 8.34% | 16.21% | |||||
Inception (06/30/10) through 10/31/21 | 9.43% | 8.99% | 16.43% | |||||
Secured Options Portfolio – Institutional Class | ||||||||
Year ended 10/31/21 | 27.36% | 32.34% | 42.91% | |||||
Inception (11/09/16) through 10/31/21 | 7.99% | 7.80% | 18.59% |
* | Assumes the reinvestment of all dividends and distributions. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | |||||||
Global Secured Options Portfolio | MSCI All Country World Index | Blended PutWrite Index1 | |||||
Year ended 10/31/21 | 21.59% | 37.28% | 26.65% | ||||
Five Years ended 10/31/21 | 7.53% | 14.72% | 4.54% | ||||
Inception (09/28/12) through 10/31/21 | 5.27% | 11.37% | 4.43% |
* | Assumes the reinvestment of all dividends and distributions. |
1 The Portfolio has added a secondary options blended benchmark because the Investment Advisor believes that, given the Portfolio’s investment strategy, having a blended CBOE PutWrite Index for comparative purposes provides appropriate context when assessing the Portfolio’s performance. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | |||||||
Core Fixed Income Portfolio | Bloomberg U.S. Aggregate Bond Index | Morningstar Intermediate - Core Bond Average | |||||
Year ended 10/31/21 | -1.91% | -0.48% | 0.00% | ||||
Five Years ended 10/31/21 | 2.44% | 3.10% | 3.04% | ||||
Ten Years ended 10/31/21 | 2.38% | 3.00% | 3.11% | ||||
Inception (11/17/88) through 10/31/211 | 5.50% | 5.99% | 5.42% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning December 1, 1988 for Morningstar Intermediate - Core Bond Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | ||||||||||
Return After Taxes on | ||||||||||
Short Term Tax Aware Fixed Income Portfolio | Return Before Taxes | Distributions | Distributions and Sales of Fund Shares | BofA Merrill Lynch 1-3 Year U.S. Municipal Securities Index | Morningstar Short-Term Bond Average | |||||
Year ended 10/31/21 | 0.15% | -0.09% | 0.20% | 0.60% | 1.25% | |||||
Five Years Ended 10/31/21 | 1.16% | 1.03% | 0.98% | 1.51% | 2.11% | |||||
Inception (06/29/16) through 10/31/211 | 1.08% | 0.95% | 0.91% | 1.38% | 2.06% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning July 1, 2016 for Morningstar Short-Term Bond Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | |||||||||||
High Yield Municipal Portfolio | Bloomberg Muni High Yield 5% Tobacco Cap 2% Issuer Cap Index | Bloomberg Muni BBB Index | Bloomberg Municipal Bond Index | Morningstar High Yield Muni Average | |||||||
Year ended 10/31/21 | 6.68% | 10.55% | 7.40% | 2.64% | 8.09% | ||||||
Five Years ended 10/31/21 | 4.26% | 5.57% | 5.01% | 3.41% | 4.34% | ||||||
Inception (12/22/15) through 10/31/211 | 4.59% | 5.93% | 4.93% | 3.43% | 4.58% |
* | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the period beginning January 1, 2016 for Morningstar High Yield Muni Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Average Annual Total Return | |||||||
Muni Intermediate Portfolio | Bloomberg Municipal 1-10 Year Blend Index | Morningstar Muni National Intermediate Average | |||||
Year ended 10/31/21 | 0.60% | 1.28% | 3.07% | ||||
Five Years ended 10/31/21 | 2.32% | 2.57% | 2.85% | ||||
Ten Years ended 10/31/21 | 2.27% | 2.74% | 3.11% | ||||
Inception (06/05/92) through 10/31/211 | 3.83% | 4.20% | 4.17% |
* | Index commenced 6/30/93. Thus Portfolio inception comparisons are not provided. |
** | Assumes the reinvestment of all dividends and distributions. |
1 Returns are for the periods beginning July 1, 1992 for Bloomberg Municipal 1-10 Year Blend Index and July 1, 1992 for Morningstar Muni National Intermediate Average. |
The indices and certain terms are defined on pages 23 to 25. |
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Beginning Account Value (May 1, 2021) | Ending Account Value (October 31, 2021) | Annualized Expense Ratio | Expenses Paid During Period* (May 1, 2021 to October 31, 2021) | ||||
Quantitative U.S. Large Cap Core Equity Portfolio – Advisor | |||||||
Actual | $1,000.00 | $1,064.80 | 0.83% | $ 4.32 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.00 | 0.83 | 4.23 | |||
Quantitative U.S. Large Cap Core Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,066.20 | 0.62 | 3.23 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.10 | 0.62 | 3.16 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,139.80 | 0.83 | 4.48 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.00 | 0.83 | 4.23 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,140.70 | 0.63 | 3.40 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.00 | 0.63 | 3.21 | |||
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||
Actual | 1,000.00 | 1,049.80 | 0.85 | 4.39 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.33 | |||
Quantitative U.S. Small Cap Equity Portfolio | |||||||
Actual | 1,000.00 | 1,043.40 | 0.85 | 4.38 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.33 | |||
Quantitative International Equity Portfolio | |||||||
Actual | 1,000.00 | 1,031.60 | 1.00 | 5.12 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.20 | 1.00 | 5.09 | |||
Responsible ESG U.S. Equity Portfolio | |||||||
Actual | 1,000.00 | 1,067.20 | 0.85 | 4.43 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.33 | |||
Women in Leadership U.S. Equity Portfolio | |||||||
Actual | 1,000.00 | 1,046.80 | 0.85 | 4.39 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.33 | |||
Quantitative U.S. Long/Short Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,041.90 | 2.43 | 12.51 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,013.00 | 2.43 | 12.33 | |||
Quantitative U.S. Long/Short Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,043.40 | 3.63 | 18.70 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,006.90 | 3.63 | 18.36 |
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Beginning Account Value (May 1, 2021) | Ending Account Value (October 31, 2021) | Annualized Expense Ratio | Expenses Paid During Period* (May 1, 2021 to October 31, 2021) | ||||
Quantitative U.S. Total Market Equity Portfolio | |||||||
Actual | $1,000.00 | $1,125.40 | 1.82% | $ 9.75 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,016.00 | 1.82 | 9.25 | |||
Strategic Equity Portfolio | |||||||
Actual | 1,000.00 | 1,077.40 | 0.84 | 4.40 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.00 | 0.84 | 4.28 | |||
Small Cap Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,040.00 | 0.89 | 4.58 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.70 | 0.89 | 4.53 | |||
Small Cap Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,041.20 | 0.69 | 3.55 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.70 | 0.69 | 3.52 | |||
Equity Income Portfolio | |||||||
Actual | 1,000.00 | 1,066.80 | 0.85 | 4.43 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.90 | 0.85 | 4.33 | |||
Secured Options Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,076.20 | 0.84 | 4.40 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.00 | 0.84 | 4.28 | |||
Secured Options Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,076.90 | 0.64 | 3.35 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.00 | 0.64 | 3.26 | |||
Global Secured Options Portfolio | |||||||
Actual | 1,000.00 | 1,062.10 | 1.00 | 5.20 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.20 | 1.00 | 5.09 | |||
Core Fixed Income Portfolio | |||||||
Actual | 1,000.00 | 1,004.80 | 0.54 | 2.73 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.50 | 0.54 | 2.75 | |||
Short Term Tax Aware Fixed Income Portfolio | |||||||
Actual | 1,000.00 | 997.30 | 0.55 | 2.77 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.40 | 0.55 | 2.80 | |||
High Yield Municipal Portfolio | |||||||
Actual | 1,000.00 | 1,012.10 | 1.00 | 5.07 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.20 | 1.00 | 5.09 |
* | 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 (184 days), and divided by the number of days in the calendar year (365 days). |
27 |
Beginning Account Value (May 1, 2021) | Ending Account Value (October 31, 2021) | Annualized Expense Ratio | Expenses Paid During Period* (May 1, 2021 to October 31, 2021) | ||||
Muni Intermediate Portfolio | |||||||
Actual | $1,000.00 | $ 997.00 | 0.24% | $1.21 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,024.00 | 0.24 | 1.22 |
* | 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 (184 days), and divided by the number of days in the calendar year (365 days). |
28 |
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 | $ 1,414,320,857 | $ 2,326,308,398 | $ 2,526,837 | ||
Repurchase agreements at value1 | 6,710,130 | 7,549,716 | 10,906 | ||
Receivable from Advisor | — | — | 4,179 | ||
Receivable for fund shares sold | 214,650 | 489,204 | — | ||
Dividends receivable | 1,204,025 | 976,951 | 3,441 | ||
Prepaid expenses | 7,785 | 14,498 | 9 | ||
Total assets | 1,422,457,447 | 2,335,338,767 | 2,545,372 | ||
Liabilities: | |||||
Obligation to return securities lending collateral | — | — | 50,738 | ||
Line of credit interest payable | — | 40 | — | ||
Payable for fund shares redeemed | 466,047 | 987,519 | — | ||
Payable for Management fees | 652,138 | 1,055,643 | 1,158 | ||
Payable for Directors’ fees | 41,318 | 68,378 | 66 | ||
Payable for Shareholder Servicing fees | 209,636 | 288,927 | 421 | ||
Accrued expenses | 187,590 | 313,254 | 5,854 | ||
Total liabilities | 1,556,729 | 2,713,761 | 58,237 | ||
Net Assets | $1,420,900,718 | $2,332,625,006 | $ 2,487,135 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 43,094 | $ 57,398 | $ 191 | ||
Paid-in capital in excess of par value | 727,151,339 | 925,856,963 | 1,926,750 | ||
Total distributable earnings | 693,706,285 | 1,406,710,645 | 560,194 | ||
Total Net Assets | $1,420,900,718 | $2,332,625,006 | $ 2,487,135 | ||
Shares Outstanding3 | 43,093,888 | 57,398,169 | 190,542 | ||
Net Asset Value Per Share | $ — | $ — | $ 13.05 | ||
Advisor Class — based on net assets of $1,255,794,979 and $1,751,369,998, respectively and shares outstanding of 38,087,167 and 43,096,767, respectively | 32.97 | 40.64 | — | ||
Institutional Class — based on net assets of $165,105,739 and $581,255,008, respectively and shares outstanding of 5,006,721 and 14,301,402, respectively | 32.98 | 40.64 | — | ||
1 Investments at cost | $ 887,553,095 | $ 1,326,137,424 | $ 1,970,265 | ||
2 Market value of securities on loan | $ — | $ — | $ 48,428 | ||
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 | — |
29 |
Quantitative U.S. Small Cap Equity Portfolio | Quantitative International Equity Portfolio | Responsible ESG U.S. Equity Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $ 1,572,530 | $ 42,924,273 | $ 32,601,825 | ||
Repurchase agreements at value1 | 12,420 | 123,409 | 252,633 | ||
Receivable from Advisor | 4,264 | 7,112 | 2,260 | ||
Receivable for securities sold | — | 14,498 | — | ||
Receivable for fund shares sold | — | — | 3,000 | ||
Dividends receivable | 397 | 113,379 | 32,349 | ||
Securities lending income receivable | — | 14,585 | 3 | ||
Foreign tax reclaims receivable | — | 708,635 | — | ||
Prepaid expenses | 5 | 491 | 121 | ||
Total assets | 1,589,616 | 43,906,382 | 32,892,191 | ||
Liabilities: | |||||
Obligation to return securities lending collateral | 26,965 | 2,786,439 | — | ||
Payable for Management fees | 730 | 26,219 | 14,988 | ||
Payable for Directors’ fees | 42 | 1,785 | 882 | ||
Payable for Shareholder Servicing fees | 265 | 8,740 | 5,450 | ||
Accrued expenses | 6,060 | 14,067 | 9,509 | ||
Total liabilities | 34,062 | 2,837,250 | 30,829 | ||
Net Assets | $ 1,555,554 | $ 41,069,132 | $32,861,362 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 103 | $ 2,642 | $ 1,587 | ||
Paid-in capital in excess of par value | 1,017,276 | 37,360,823 | 19,706,315 | ||
Total distributable earnings | 538,175 | 3,705,667 | 13,153,460 | ||
Total Net Assets | $ 1,555,554 | $ 41,069,132 | $32,861,362 | ||
Shares Outstanding3 | 103,392 | 2,642,445 | 1,587,102 | ||
Net Asset Value Per Share | $ 15.05 | $ 15.54 | $ 20.71 | ||
1 Investments at cost | $ 1,184,945 | $ 38,775,864 | $ 22,508,755 | ||
2 Market value of securities on loan | $ 26,296 | $ 5,579,376 | $ — | ||
3 Authorized shares | 80,000,000 | 120,000,000 | 80,000,000 |
30 |
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 | $ 28,295,776 | $ 62,483,096 | $ 46,280,096 | ||
Repurchase agreements at value1 | 282,217 | 132,067 | 187,604 | ||
Receivable from Advisor | 2,192 | — | — | ||
Receivable for securities sold | — | 396,945 | — | ||
Receivable for fund shares sold | 143 | 5,500 | 4,558 | ||
Dividends receivable | 36,109 | 32,272 | 14,396 | ||
Securities lending income receivable | 14 | 142 | 107 | ||
Cash collateral on deposit at broker (Note 1) | — | 44,748,443 | — | ||
Prepaid expenses | 115 | 726 | 192 | ||
Total assets | 28,616,566 | 107,799,191 | 46,486,953 | ||
Liabilities: | |||||
Payable for securities purchased | 87,339 | 847,675 | — | ||
Obligation to return securities lending collateral | 614,846 | 687,600 | 316,958 | ||
Payable for fund shares redeemed | — | 10,225 | 2,458 | ||
Dividend payable on securities sold short | — | 16,885 | 3,184 | ||
Payable for securities sold short, at value3 | — | 42,871,983 | 10,141,755 | ||
Payable for Management fees | 12,880 | 72,026 | 35,858 | ||
Payable for Directors’ fees | 823 | 2,826 | 1,023 | ||
Payable for Shareholder Servicing fees | 4,684 | 9,690 | 5,966 | ||
Accrued expenses | 9,126 | 22,963 | 19,163 | ||
Total liabilities | 729,698 | 44,541,873 | 10,526,365 | ||
Net Assets | $27,886,868 | $ 63,257,318 | $ 35,960,588 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 1,447 | $ 4,889 | $ 1,570 | ||
Paid-in capital in excess of par value | 16,611,659 | 46,248,017 | 11,167,467 | ||
Total distributable earnings | 11,273,762 | 17,004,412 | 24,791,551 | ||
Total Net Assets | $27,886,868 | $ 63,257,318 | $ 35,960,588 | ||
Shares Outstanding4 | 1,446,838 | 4,889,236 | 1,570,075 | ||
Net Asset Value Per Share | $ 19.27 | $ — | $ 22.90 | ||
Advisor Class — based on net assets of $56,002,125 and shares outstanding of 4,330,061 | — | 12.93 | — | ||
Institutional Class — based on net assets of $7,255,193 and shares outstanding of 559,175 | — | 12.97 | — | ||
1 Investments at cost | $ 21,788,459 | $ 43,267,303 | $ 27,429,216 | ||
2 Market value of securities on loan | $ 586,853 | $ 1,902,793 | $ 1,352,293 | ||
3 Proceeds from securities sold short | $ — | $ 42,779,692 | $ 10,314,567 | ||
4 Authorized shares | 80,000,000 | — | 120,000,000 | ||
Authorized shares - Advisor Class | — | 120,000,000 | — | ||
Authorized shares - Institutional Class | — | 120,000,000 | — |
31 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Equity Income Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $ 266,978,553 | $ 1,504,944,549 | $ 22,175,459 | ||
Repurchase agreements at value1 | 1,720,703 | 19,490,176 | 120,692 | ||
Receivable from Advisor | — | — | 1,445 | ||
Receivable for fund shares sold | — | 1,115,869 | — | ||
Dividends receivable | 196,538 | 43,597 | 22,655 | ||
Securities lending income receivable | — | 4,872 | — | ||
Prepaid expenses | 1,244 | 7,652 | 108 | ||
Total assets | 268,897,038 | 1,525,606,715 | 22,320,359 | ||
Liabilities: | |||||
Obligation to return securities lending collateral | — | 48,882,501 | — | ||
Payable for fund shares redeemed | 30,795 | 795,735 | — | ||
Payable for Management fees | 123,344 | 685,041 | 10,287 | ||
Payable for Directors’ fees | 7,696 | 42,434 | 637 | ||
Payable for Shareholder Servicing fees | 44,852 | 151,879 | 3,741 | ||
Accrued expenses | 42,562 | 206,423 | 9,580 | ||
Total liabilities | 249,249 | 50,764,013 | 24,245 | ||
Net Assets | $268,647,789 | $1,474,842,702 | $22,296,114 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 7,554 | $ 38,349 | $ 1,400 | ||
Paid-in capital in excess of par value | 93,242,915 | 949,333,656 | 14,227,171 | ||
Total distributable earnings | 175,397,320 | 525,470,697 | 8,067,543 | ||
Total Net Assets | $268,647,789 | $1,474,842,702 | $22,296,114 | ||
Shares Outstanding3 | 7,554,302 | 38,349,117 | 1,400,488 | ||
Net Asset Value Per Share | $ 35.56 | $ — | $ 15.92 | ||
Advisor Class — based on net assets of $530,400,747 and shares outstanding of 14,311,323 | — | 37.06 | — | ||
Institutional Class — based on net assets of $944,441,955 and shares outstanding of 24,037,794 | — | 39.29 | — | ||
1 Investments at cost | $ 119,499,832 | $ 1,031,247,755 | $ 15,106,144 | ||
2 Market value of securities on loan | $ — | $ 79,395,062 | $ — | ||
3 Authorized shares | 150,000,000 | — | 80,000,000 | ||
Authorized shares - Advisor Class | — | 180,000,000 | — | ||
Authorized shares - Institutional Class | — | 135,000,000 | — |
32 |
Secured Options Portfolio | Global Secured Options Portfolio | Core Fixed Income Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $ 1,141,641,965 | $ 44,082,995 | $ 447,332,136 | ||
Repurchase agreements at value1 | 7,484,965 | 854,352 | 10,070,273 | ||
Receivable from Advisor | — | 1,823 | — | ||
Receivable for fund shares sold | 64,379 | 10,004 | 10,515 | ||
Interest receivable | — | — | 2,379,701 | ||
Securities lending income receivable | — | — | 2,004 | ||
Cash collateral on deposit at broker (Note 1) | 8,581,321 | 947,986 | — | ||
Foreign tax reclaims receivable | — | 33,504 | — | ||
Prepaid expenses | 2,657 | 41 | 2,384 | ||
Total assets | 1,157,775,287 | 45,930,705 | 459,797,013 | ||
Liabilities: | |||||
Due to custodian | — | — | 5,298,943 | ||
Payable for securities purchased | — | — | 2,075,499 | ||
Obligation to return securities lending collateral | — | — | 27,537,200 | ||
Payable for fund shares redeemed | 185,425 | — | 133,759 | ||
Options written, at value3 | 725,913,525 | 28,758,928 | — | ||
Payable for Management fees | 199,068 | 7,862 | 125,941 | ||
Payable for Directors’ fees | 12,668 | 392 | 13,096 | ||
Payable for Shareholder Servicing fees | 15,125 | 2,859 | 35,983 | ||
Accrued expenses | 61,992 | 8,491 | 64,686 | ||
Total liabilities | 726,387,803 | 28,778,532 | 35,285,107 | ||
Net Assets | $ 431,387,484 | $ 17,152,173 | $424,511,906 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 28,843 | $ 3,038 | $ 38,221 | ||
Paid-in capital in excess of par value | 363,977,453 | 21,417,815 | 413,407,347 | ||
Total distributable earnings | 67,381,188 | (4,268,680) | 11,066,338 | ||
Total Net Assets | $ 431,387,484 | $ 17,152,173 | $424,511,906 | ||
Shares Outstanding4 | 28,843,315 | 3,038,478 | 38,220,597 | ||
Net Asset Value Per Share | $ — | $ 5.64 | $ 11.11 | ||
Advisor Class — based on net assets of $90,142,523 and shares outstanding of 6,077,007 | 14.83 | — | — | ||
Institutional Class — based on net assets of $341,244,961 and shares outstanding of 22,766,308 | 14.99 | — | — | ||
1 Investments at cost | $ 1,084,840,612 | $ 43,004,267 | $ 447,347,100 | ||
2 Market value of securities on loan | $ — | $ — | $ 26,984,406 | ||
3 Premiums received from options written | $ 679,740,011 | $ 27,007,963 | $ — | ||
4 Authorized shares | — | 120,000,000 | 160,000,000 | ||
Authorized shares - Advisor Class | 160,000,000 | — | — | ||
Authorized shares - Institutional Class | 160,000,000 | — | — |
33 |
Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | ||
Assets: | |||
Investments at value1 | $ 54,145,187 | $ 278,017,756 | |
Repurchase agreements at value1 | 3,841,170 | — | |
Cash | — | 2,673,740 | |
Receivable from Advisor | 2,400 | — | |
Receivable for securities sold | — | 286,419 | |
Receivable for fund shares sold | — | 188,600 | |
Interest receivable | 531,942 | 3,316,987 | |
Prepaid expenses | 289 | 1,178 | |
Total assets | 58,520,988 | 284,484,680 | |
Liabilities: | |||
Payable for securities purchased | 200,187 | — | |
Payable for when-issued securities purchased | 1,998,438 | 1,584,260 | |
Payable for fund shares redeemed | — | 118,407 | |
Payable for Management fees | 16,318 | 158,292 | |
Payable for Directors’ fees | 1,598 | 8,052 | |
Payable for Shareholder Servicing fees | 4,662 | 59,905 | |
Accrued expenses | 15,695 | 44,168 | |
Total liabilities | 2,236,898 | 1,973,084 | |
Net Assets | $56,284,090 | $282,511,596 | |
Net Assets consist of: | |||
Par value ($0.001 of shares outstanding) | $ 5,576 | $ 25,465 | |
Paid-in capital in excess of par value | 56,025,361 | 264,885,054 | |
Total distributable earnings | 253,153 | 17,601,077 | |
Total Net Assets | $56,284,090 | $282,511,596 | |
Shares Outstanding2 | 5,576,065 | 25,464,713 | |
Net Asset Value Per Share | $ 10.09 | $ 11.09 | |
1 Investments at cost | $ 57,581,503 | $ 263,092,020 | |
2 Authorized shares | 80,000,000 | 80,000,000 |
34 |
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: | |||||
Dividends | $ 22,039,972 | $ 22,592,978 | $ 51,386 | ||
Income from security lending | 39 | 16 | 6 | ||
Total investment income | 22,040,011 | 22,592,994 | 51,392 | ||
Expenses: | |||||
Management fees | 7,588,526 | 12,444,966 | 12,153 | ||
Administration, transfer agent and custody fees | 591,619 | 960,431 | 28,572 | ||
Professional fees | 233,913 | 387,933 | 362 | ||
Shareholder report expenses | 98,940 | 263,876 | 852 | ||
Shareholder servicing fees | — | — | 4,419 | ||
Shareholder servicing fees (Advisor Class) | 2,442,956 | 3,438,919 | — | ||
Directors’ fees and expenses | 162,684 | 273,262 | 272 | ||
Interest expense | 3,142 | 20,328 | — | ||
Registration and filing fees | 46,119 | 74,326 | 4,992 | ||
Other expenses | 193,840 | 325,688 | 2,531 | ||
Total expenses | 11,361,739 | 18,189,729 | 54,153 | ||
Less expenses waived/reimbursed | — | — | (35,371) | ||
Net expenses | 11,361,739 | 18,189,729 | 18,782 | ||
Net investment income | 10,678,272 | 4,403,265 | 32,610 | ||
Realized and unrealized gain: | |||||
Net realized gain on: | |||||
Investment transactions | 174,197,674 | 472,680,948 | 192,898 | ||
Net change in unrealized gain of: | |||||
Investments | 303,612,374 | 383,735,184 | 531,814 | ||
Net realized and unrealized gain | 477,810,048 | 856,416,132 | 724,712 | ||
Net increase in net assets resulting from operations | $488,488,320 | $860,819,397 | $757,322 |
35 |
Quantitative U.S. Small Cap Equity Portfolio | Quantitative International Equity Portfolio | Responsible ESG U.S. Equity Portfolio | |||
Investment income: | |||||
Dividends1 | $ 19,579 | $ 1,547,985 | $ 470,050 | ||
Income from security lending | 90 | 162,297 | 3 | ||
Total investment income | 19,669 | 1,710,282 | 470,053 | ||
Expenses: | |||||
Management fees | 7,827 | 376,729 | 162,791 | ||
Administration, transfer agent and custody fees | 29,744 | 42,993 | 50,814 | ||
Professional fees | 238 | 8,776 | 5,010 | ||
Shareholder report expenses | 831 | 2,083 | 2,474 | ||
Shareholder servicing fees | 2,846 | 125,576 | 59,197 | ||
Directors’ fees and expenses | 178 | 5,601 | 3,606 | ||
Interest expense | — | 726 | — | ||
Registration and filing fees | 4,988 | 21,797 | 20,484 | ||
Other expenses | 2,485 | 11,325 | 5,377 | ||
Total expenses | 49,137 | 595,606 | 309,753 | ||
Less expenses waived/reimbursed | (37,040) | (92,575) | (58,167) | ||
Net expenses | 12,097 | 503,031 | 251,586 | ||
Net investment income | 7,572 | 1,207,251 | 218,467 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain on: | |||||
Investment transactions | 213,765 | 11,341,780 | 3,795,554 | ||
Foreign currency transactions | — | 6,448 | — | ||
Net realized gain | 213,765 | 11,348,228 | 3,795,554 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 351,970 | 2,809,057 | 6,354,818 | ||
Foreign currency translation | — | (578) | — | ||
Net change in unrealized gain | 351,970 | 2,808,479 | 6,354,818 | ||
Net realized and unrealized gain | 565,735 | 14,156,707 | 10,150,372 | ||
Net increase in net assets resulting from operations | $573,307 | $15,363,958 | $10,368,839 |
1 | The Quantitative U.S. Small Cap Equity Portfolio and the Quantitative International Equity Portfolio had foreign dividend withholding taxes of $58 and $170,471, respectively. |
36 |
Women in Leadership U.S. Equity Portfolio | Quantitative U.S. Long/Short Equity Portfolio | Quantitative U.S. Total Market Equity Portfolio | |||
Investment income: | |||||
Dividends | $ 511,315 | $ 1,360,260 | $ 676,666 | ||
Income from security lending | 210 | 5,380 | 1,258 | ||
Total investment income | 511,525 | 1,365,640 | 677,924 | ||
Expenses: | |||||
Management fees | 151,033 | 929,454 | 410,408 | ||
Administration, transfer agent and custody fees | 42,178 | 77,759 | 50,488 | ||
Professional fees | 4,724 | 14,007 | 5,690 | ||
Shareholder report expenses | 2,679 | 10,615 | 3,459 | ||
Shareholder servicing fees | 54,921 | — | 68,401 | ||
Shareholder servicing fees (Advisor Class) | — | 151,428 | — | ||
Dividends on securities sold short | — | 721,779 | 117,667 | ||
Directors’ fees and expenses | 3,438 | 9,201 | 3,957 | ||
Interest expense | 363 | 1,086 | 120 | ||
Short position flex fees | — | 276,636 | 81,087 | ||
Registration and filing fees | 20,473 | 27,922 | 12,470 | ||
Other expenses | 5,777 | 27,099 | 9,284 | ||
Total expenses | 285,586 | 2,246,986 | 763,031 | ||
Less expenses waived/reimbursed | (51,809) | (282,785) | (136,648) | ||
Net expenses | 233,777 | 1,964,201 | 626,383 | ||
Net investment income (loss) | 277,748 | (598,561) | 51,541 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | 5,272,363 | 29,703,100 | 8,396,277 | ||
Securities sold short | — | (16,308,336) | (1,956,213) | ||
Net realized gain | 5,272,363 | 13,394,764 | 6,440,064 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 3,874,619 | 4,352,912 | 11,392,586 | ||
Securities sold short | — | (3,831,449) | (1,027,369) | ||
Net change in unrealized gain | 3,874,619 | 521,463 | 10,365,217 | ||
Net realized and unrealized gain | 9,146,982 | 13,916,227 | 16,805,281 | ||
Net increase in net assets resulting from operations | $9,424,730 | $ 13,317,666 | $16,856,822 |
37 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Equity Income Portfolio | |||
Investment income: | |||||
Dividends | $ 3,166,904 | $ 13,250,928 | $ 507,899 | ||
Income from security lending | — | 35,934 | 7 | ||
Total investment income | 3,166,904 | 13,286,862 | 507,906 | ||
Expenses: | |||||
Management fees | 1,414,612 | 7,816,936 | 117,153 | ||
Administration, transfer agent and custody fees | 122,097 | 753,447 | 56,706 | ||
Professional fees | 42,867 | 240,525 | 3,642 | ||
Shareholder report expenses | 6,826 | 277,188 | 2,532 | ||
Shareholder servicing fees | 514,404 | — | 42,601 | ||
Shareholder servicing fees (Advisor Class) | — | 1,294,720 | — | ||
Shareholder servicing fees (Institutional Class) | — | 451,687 | — | ||
Directors’ fees and expenses | 31,506 | 168,854 | 2,642 | ||
Interest expense | — | 1,933 | — | ||
Registration and filing fees | 23,324 | 44,851 | 3,599 | ||
Other expenses | 33,781 | 194,315 | 5,749 | ||
Total expenses | 2,189,417 | 11,244,456 | 234,624 | ||
Less expenses waived/reimbursed | — | — | (53,569) | ||
Net expenses | 2,189,417 | 11,244,456 | 181,055 | ||
Net investment income | 977,487 | 2,042,406 | 326,851 | ||
Realized and unrealized gain: | |||||
Net realized gain on: | |||||
Investment transactions | 28,403,863 | 279,610,445 | 1,138,498 | ||
Net change in unrealized gain of: | |||||
Investments | 58,754,619 | 380,298,133 | 4,859,788 | ||
Net realized and unrealized gain | 87,158,482 | 659,908,578 | 5,998,286 | ||
Net increase in net assets resulting from operations | $88,135,969 | $661,950,984 | $6,325,137 |
38 |
Secured Options Portfolio | Global Secured Options Portfolio | Core Fixed Income Portfolio | |||
Investment income: | |||||
Dividends | $ 283,726 | $ 2,659 | $ — | ||
Interest | 87,154 | 2,352 | 7,743,880 | ||
Income from security lending | — | — | 10,290 | ||
Total investment income | 370,880 | 5,011 | 7,754,170 | ||
Expenses: | |||||
Management fees | 2,302,449 | 73,346 | 1,503,289 | ||
Administration, transfer agent and custody fees | 199,327 | 40,692 | 185,936 | ||
Professional fees | 72,602 | 2,067 | 73,538 | ||
Shareholder report expenses | 27,947 | 869 | 10,658 | ||
Shareholder servicing fees | — | 26,671 | 429,511 | ||
Shareholder servicing fees (Advisor Class) | 186,347 | — | — | ||
Directors’ fees and expenses | 50,675 | 1,632 | 53,330 | ||
Registration and filing fees | 47,772 | 19,606 | 9,326 | ||
Other expenses | 63,802 | 8,310 | 50,799 | ||
Total expenses | 2,950,921 | 173,193 | 2,316,387 | ||
Less expenses waived/reimbursed | — | (39,838) | — | ||
Net expenses | 2,950,921 | 133,355 | 2,316,387 | ||
Net investment income (loss) | (2,580,041) | (128,344) | 5,437,783 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | — | 17,310 | 2,358,755 | ||
Written options | (222,593,355) | (5,263,761) | — | ||
Purchased options | 305,688,495 | 7,368,696 | — | ||
Net realized gain | 83,095,140 | 2,122,245 | 2,358,755 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 6,590,096 | 15,767 | (16,338,405) | ||
Written options | (51,954,232) | (1,734,507) | — | ||
Purchased options | 68,158,398 | 2,129,858 | — | ||
Net change in unrealized gain (loss) | 22,794,262 | 411,118 | (16,338,405) | ||
Net realized and unrealized gain (loss) | 105,889,402 | 2,533,363 | (13,979,650) | ||
Net increase (decrease) in net assets resulting from operations | $ 103,309,361 | $ 2,405,019 | $ (8,541,867) |
39 |
Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | ||
Investment income: | |||
Dividends | $ 31,279 | $ — | |
Interest | 672,765 | 9,165,157 | |
Income from security lending | 44 | — | |
Total investment income | 704,088 | 9,165,157 | |
Expenses: | |||
Management fees | 186,994 | 1,750,547 | |
Administration, transfer agent and custody fees | 71,005 | 165,225 | |
Professional fees | 9,163 | 47,034 | |
Shareholder report expenses | 2,222 | 10,013 | |
Shareholder servicing fees | 53,427 | 673,287 | |
Directors’ fees and expenses | 6,633 | 33,359 | |
Interest expense | 81 | — | |
Registration and filing fees | 4,606 | 5,662 | |
Other expenses | 8,293 | 31,430 | |
Total expenses | 342,424 | 2,716,557 | |
Less expenses waived/reimbursed | (48,494) | (23,408) | |
Net expenses | 293,930 | 2,693,149 | |
Net investment income | 410,158 | 6,472,008 | |
Realized and unrealized gain (loss): | |||
Net realized gain (loss) on: | |||
Investment transactions | (30,408) | 2,179,563 | |
Net change in unrealized gain (loss) of: | |||
Investments | (277,478) | 7,807,991 | |
Net realized and unrealized gain (loss) | (307,886) | 9,987,554 | |
Net increase in net assets resulting from operations | $ 102,272 | $16,459,562 |
40 |
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 | $ 10,678,272 | $ 4,403,265 | $ 32,610 | ||
Net realized gain on: | |||||
Investment transactions | 174,197,674 | 472,680,948 | 192,898 | ||
Net change in unrealized gain of: | |||||
Investments | 303,612,374 | 383,735,184 | 531,814 | ||
Net increase in net assets resulting from operations | 488,488,320 | 860,819,397 | 757,322 | ||
Distributions from earnings | — | — | (32,775) | ||
Distributions from earnings: Advisor Class | (97,666,788) | (235,473,637) | — | ||
Distributions from earnings: Institutional Class | (13,261,819) | (80,080,381) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (195,841,253) | (415,858,062) | 175,088 | ||
Net increase in net assets | 181,718,460 | 129,407,317 | 899,635 | ||
NET ASSETS: | |||||
Beginning of year | 1,239,182,258 | 2,203,217,689 | 1,587,500 | ||
End of year | $1,420,900,718 | $2,332,625,006 | $2,487,135 |
Quantitative U.S. Large Cap Core Equity Portfolio | Quantitative U.S. Large Cap Growth Equity Portfolio | Quantitative U.S. Large Cap Value Equity Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $ 20,133,174 | $ 14,103,182 | $ 40,774 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 128,888,690 | 438,705,478 | (130,329) | ||
Net change in unrealized loss of: | |||||
Investments | (284,112,813) | (215,973,181) | (117,380) | ||
Net increase (decrease) in net assets resulting from operations | (135,090,949) | 236,835,479 | (206,935) | ||
Distributions from earnings | — | — | (40,984) | ||
Distributions from earnings: Advisor Class | (84,490,082) | (286,480,973) | — | ||
Distributions from earnings: Institutional Class | (32,621,110) | (164,957,341) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (857,128,116) | (1,070,901,369) | (204,252) | ||
Net increase (decrease) in net assets | (1,109,330,257) | (1,285,504,204) | (452,171) | ||
NET ASSETS: | |||||
Beginning of year | 2,348,512,515 | 3,488,721,893 | 2,039,671 | ||
End of year | $ 1,239,182,258 | $ 2,203,217,689 | $1,587,500 |
41 |
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 | $ 7,572 | $ 1,207,251 | $ 218,467 | ||
Net realized gain on: | |||||
Investment transactions | 213,765 | 11,341,780 | 3,795,554 | ||
Foreign currency transactions | — | 6,448 | — | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 351,970 | 2,809,057 | 6,354,818 | ||
Foreign currency translations | — | (578) | — | ||
Net increase in net assets resulting from operations | 573,307 | 15,363,958 | 10,368,839 | ||
Distributions from earnings | (7,665) | (1,099,884) | (218,408) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 7,588 | (26,497,058) | 369,382 | ||
Net increase (decrease) in net assets | 573,230 | (12,232,984) | 10,519,813 | ||
NET ASSETS: | |||||
Beginning of year | 982,324 | 53,302,116 | 22,341,549 | ||
End of year | $1,555,554 | $ 41,069,132 | $32,861,362 |
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 | $ 6,417 | $ 2,450,540 | $ 235,779 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (33,182) | (6,604,538) | (764,383) | ||
Foreign currency transactions | — | 2,026 | — | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (51,687) | (17,865,705) | 776,392 | ||
Foreign currency translations | — | (160) | — | ||
Net increase (decrease) in net assets resulting from operations | (78,452) | (22,017,837) | 247,788 | ||
Distributions from earnings | (7,684) | (2,704,110) | (330,040) | ||
Return of capital distribution | — | (220,626) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 7,605 | (127,384,779) | (807,417) | ||
Net increase (decrease) in net assets | (78,531) | (152,327,352) | (889,669) | ||
NET ASSETS: | |||||
Beginning of year | 1,060,855 | 205,629,468 | 23,231,218 | ||
End of year | $ 982,324 | $ 53,302,116 | $22,341,549 |
42 |
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) | $ 277,748 | $ (598,561) | $ 51,541 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 5,272,363 | 29,703,100 | 8,396,277 | ||
Securities sold short | — | (16,308,336) | (1,956,213) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 3,874,619 | 4,352,912 | 11,392,586 | ||
Securities sold short | — | (3,831,449) | (1,027,369) | ||
Net increase in net assets resulting from operations | 9,424,730 | 13,317,666 | 16,856,822 | ||
Distributions from earnings | (275,552) | — | (3,468,836) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (2,940,670) | (47,073,424) | (5,874,024) | ||
Net increase (decrease) in net assets | 6,208,508 | (33,755,758) | 7,513,962 | ||
NET ASSETS: | |||||
Beginning of year | 21,678,360 | 97,013,076 | 28,446,626 | ||
End of year | $27,886,868 | $ 63,257,318 | $35,960,588 |
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) | $ 254,469 | $ (995,894) | $ 196,877 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (262,148) | 8,573,186 | 5,250,232 | ||
Securities sold short | — | (10,839,706) | (221,202) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (262,719) | (27,167,241) | (12,627,092) | ||
Securities sold short | — | 11,205,471 | 346,934 | ||
Net increase (decrease) in net assets resulting from operations | (270,398) | (19,224,184) | (7,054,251) | ||
Distributions from earnings | (239,220) | — | (3,629,802) | ||
Return of capital distribution: Advisor Class | — | (182,275) | — | ||
Return of capital distribution: Institutional Class | — | (20) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 1,141,189 | (130,805,198) | (28,792,688) | ||
Net increase (decrease) in net assets | 631,571 | (150,211,677) | (39,476,741) | ||
NET ASSETS: | |||||
Beginning of year | 21,046,789 | 247,224,753 | 67,923,367 | ||
End of year | $21,678,360 | $ 97,013,076 | $ 28,446,626 |
43 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Equity Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $ 977,487 | $ 2,042,406 | $ 326,851 | ||
Net realized gain on: | |||||
Investment transactions | 28,403,863 | 279,610,445 | 1,138,498 | ||
Net change in unrealized gain of: | |||||
Investments | 58,754,619 | 380,298,133 | 4,859,788 | ||
Net increase in net assets resulting from operations | 88,135,969 | 661,950,984 | 6,325,137 | ||
Distributions from earnings | (13,949,594) | — | (333,966) | ||
Distributions from earnings: Advisor Class | — | (675,464) | — | ||
Distributions from earnings: Institutional Class | — | (2,355,570) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (24,985,150) | (423,401,927) | (2,254,877) | ||
Net increase in net assets | 49,201,225 | 235,518,023 | 3,736,294 | ||
NET ASSETS: | |||||
Beginning of year | 219,446,564 | 1,239,324,679 | 18,559,820 | ||
End of year | $268,647,789 | $1,474,842,702 | $22,296,114 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Equity Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $ 1,974,998 | $ 3,649,510 | $ 474,154 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 14,495,061 | (112,418,584) | 205,837 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (21,934,091) | 34,905,724 | (1,105,315) | ||
Net increase (decrease) in net assets resulting from operations | (5,464,032) | (73,863,350) | (425,324) | ||
Distributions from earnings | (7,249,473) | — | (478,143) | ||
Distributions from earnings: Advisor Class | — | (1,061,071) | — | ||
Distributions from earnings: Institutional Class | — | (3,950,793) | — | ||
Return of capital distribution: Advisor Class | — | (54,112) | — | ||
Return of capital distribution: Institutional Class | — | (201,481) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (36,873,429) | (723,050,337) | (4,437,015) | ||
Net increase (decrease) in net assets | (49,586,934) | (802,181,144) | (5,340,482) | ||
NET ASSETS: | |||||
Beginning of year | 269,033,498 | 2,041,505,823 | 23,900,302 | ||
End of year | $219,446,564 | $1,239,324,679 | $18,559,820 |
44 |
Secured Options Portfolio | Global Secured Options Portfolio | Core Fixed Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income (loss) | $ (2,580,041) | $ (128,344) | $ 5,437,783 | ||
Net realized gain (loss) on: | |||||
Investment transactions | — | 17,310 | 2,358,755 | ||
Options written | (222,593,355) | (5,263,761) | — | ||
Purchased options | 305,688,495 | 7,368,696 | — | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 6,590,096 | 15,767 | (16,338,405) | ||
Options written | (51,954,232) | (1,734,507) | — | ||
Purchased options | 68,158,398 | 2,129,858 | — | ||
Net increase (decrease) in net assets resulting from operations | 103,309,361 | 2,405,019 | (8,541,867) | ||
Distributions from earnings | — | (425,289) | (14,413,019) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (122,296,786) | 5,524,771 | 10,492,270 | ||
Net increase (decrease) in net assets | (18,987,425) | 7,504,501 | (12,462,616) | ||
NET ASSETS: | |||||
Beginning of year | 450,374,909 | 9,647,672 | 436,974,522 | ||
End of year | $ 431,387,484 | $17,152,173 | $424,511,906 |
Secured Options Portfolio | Global Secured Options Portfolio | Core Fixed Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income (loss) | $ (2,650,478) | $ (51,009) | $ 8,424,927 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 3,281 | (248,440) | 12,432,548 | ||
Options written | (33,912,772) | 2,359,005 | — | ||
Purchased options | 19,802,905 | (1,340,973) | — | ||
Net change in unrealized gain (loss) of: | |||||
Investments | 1,134,553 | 28,350 | 6,354,560 | ||
Options Written | 17,907,154 | (29,511) | — | ||
Purchased options | (40,988,616) | (241,104) | — | ||
Net increase (decrease) in net assets resulting from operations | (38,703,973) | 476,318 | 27,212,035 | ||
Distributions from earnings | — | (1,977) | (10,373,594) | ||
Distributions from earnings: Advisor Class | (18,937,857) | — | — | ||
Distributions from earnings: Institutional Class | (29,130,823) | — | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (141,159,161) | 7,953,777 | (85,466,807) | ||
Net increase (decrease) in net assets | (227,931,814) | 8,428,118 | (68,628,366) | ||
NET ASSETS: | |||||
Beginning of year | 678,306,723 | 1,219,554 | 505,602,888 | ||
End of year | $ 450,374,909 | $ 9,647,672 | $436,974,522 |
45 |
Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | ||
Increase (decrease) in net assets | |||
Operations: | |||
Net investment income | $ 410,158 | $ 6,472,008 | |
Net realized gain (loss) on: | |||
Investment transactions | (30,408) | 2,179,563 | |
Net change in unrealized gain (loss) of: | |||
Investments | (277,478) | 7,807,991 | |
Net increase in net assets resulting from operations | 102,272 | 16,459,562 | |
Distributions from earnings | (450,263) | (6,432,972) | |
Net increase in net assets from capital share transactions (See note 5) | 3,107,433 | 39,702,451 | |
Net increase in net assets | 2,759,442 | 49,729,041 | |
NET ASSETS: | |||
Beginning of year | 53,524,648 | 232,782,555 | |
End of year | $56,284,090 | $282,511,596 |
Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | ||
Increase (decrease) in net assets | |||
Operations: | |||
Net investment income | $ 589,313 | $ 6,221,073 | |
Net realized gain (loss) on: | |||
Investment transactions | (27,703) | 112,362 | |
Net change in unrealized gain (loss) of: | |||
Investments | 377,357 | (3,856,588) | |
Net increase in net assets resulting from operations | 938,967 | 2,476,847 | |
Distributions from earnings | (571,442) | (6,194,949) | |
Net increase in net assets from capital share transactions (See note 5) | 2,218,210 | 21,081,964 | |
Net increase in net assets | 2,585,735 | 17,363,862 | |
NET ASSETS: | |||
Beginning of year | 50,938,913 | 215,418,693 | |
End of year | $53,524,648 | $232,782,555 |
46 |
Quantitative U.S. Long/Short Equity Portfolio | |
Cash flows from operating activities | |
Adjustments to reconcile net increase in net assets from operations to net cash provided by (used in) operating activities | |
Net increase in net assets resulting from operations | $ 13,317,666 |
Investments purchased | (31,336,973) |
Investments sold | 96,559,436 |
Purchases to cover securities sold short | (112,987,727) |
Securities sold short | 69,063,441 |
(Purchase)/Sale of short term investments, net | 3,888,747 |
Decrease in Cash collateral on deposit at broker | 23,761,960 |
Decrease in Securities lending income receivable | 113 |
Decrease in Dividends receivable | 86,443 |
Decrease in Prepaid expenses | 223 |
Decrease in Obligation to return securities lending collateral | (985,945) |
Decrease in Dividends payable for securities sold short | (32,408) |
Decrease in Payable for Management fees | (24,406) |
Decrease in Payable for Directors’ fees | (1,345) |
Decrease in Payable for Shareholder Servicing fees | (7,799) |
Decrease in Accrued expenses | (57,822) |
Net realized gain from investments | (29,703,100) |
Net realized loss from securities sold short | 16,308,336 |
Net change in unrealized gain on investments | (4,352,912) |
Net change in unrealized loss on securities sold short | 3,831,449 |
Net cash provided by (used in) operating activities | 47,327,377 |
Cash flows from financing activities | |
Proceeds from shares sold | 9,953,999 |
Payments on shares redeemed | (57,281,376) |
Net cash provided by (used in) financing activities | (47,327,377) |
Net increase (decrease) in cash | — |
Cash at beginning of period | — |
Cash at end of period | $ — |
Supplemental disclosure of cash flow information |
Cash paid for interest was $276,636. |
The Portfolio did not pay any prime broker fees during the year ended October 31, 2021. |
47 |
Quantitative U.S. Total Market Equity Portfolio | |
Cash flows from operating activities | |
Adjustments to reconcile net increase in net assets from operations to net cash provided by (used in) operating activities | |
Net increase in net assets resulting from operations | $ 16,856,822 |
Investments purchased | (16,378,105) |
Investments sold | 27,769,747 |
Purchases to cover securities sold short | (21,247,985) |
Securities sold short | 19,345,543 |
(Purchase)/Sale of short term investments, net | (170,734) |
Increase in Securities lending income receivable | (21) |
Decrease in Dividends receivable | 6,582 |
Decrease in Prepaid expenses | 54 |
Increase in Obligation to return securities lending collateral | 7,490 |
Decrease in Dividends payable for securities sold short | (3,135) |
Increase in Payable for Management fees | 5,852 |
Decrease in Payable for Directors’ fees | (66) |
Increase in Payable for Shareholder Servicing fees | 689 |
Decrease in Accrued expenses | (8,879) |
Net realized gain from investments | (8,396,277) |
Net realized loss from securities sold short | 1,956,213 |
Net change in unrealized gain on investments | (11,392,586) |
Net change in unrealized loss on securities sold short | 1,027,369 |
Net cash provided by (used in) operating activities | 9,378,573 |
Cash flows from financing activities | |
Proceeds from shares sold | 3,134,313 |
Payments on shares redeemed | (12,344,960) |
Cash distributions paid | (166,304) |
Net cash provided by (used in) financing activities | (9,376,951) |
Net increase (decrease) in cash | 1,622 |
Cash at beginning of period | (1,622) |
Cash at end of period | $ — |
Supplemental disclosure of cash flow information |
Cash paid for interest was $81,087. |
Non-cash financing activities not included herein consist of a reinvestment of dividends of $3,302,532. |
The Portfolio did not pay any prime broker fees during the year ended October 31, 2021. |
48 |
Quantitative U.S. Large Cap Core Equity Portfolio Advisor Shares | |||||||||
For The Year Ended October 31, | |||||||||
2021 1 | 2020 1 | 2019 1 | 2018 1 | 2017 | |||||
Net asset value, beginning of year | $ 24.99 | $ 26.89 | $ 27.88 | $ 28.08 | $ 22.36 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.23 | 0.29 | 0.35 | 0.29 | 0.23 | ||||
Net realized and unrealized gain (loss) on investments | 10.15 | (0.73) | 1.18 | 0.95 | 5.72 | ||||
Total from investment operations | 10.38 | (0.44) | 1.53 | 1.24 | 5.95 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.24) | (0.29) | (0.35) | (0.28) | (0.23) | ||||
Net realized capital gains | (2.16) | (1.17) | (2.17) | (1.16) | — | ||||
Total distributions | (2.40) | (1.46) | (2.52) | (1.44) | (0.23) | ||||
Net asset value, end of year | $ 32.97 | $ 24.99 | $ 26.89 | $ 27.88 | $ 28.08 | ||||
Total return | 43.77% | (1.90)% | 6.42% | 4.42% | 26.74% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $1,255,795 | $1,066,153 | $1,674,687 | $2,075,264 | $2,124,803 | ||||
Ratio of operating expenses to average net assets | 0.85% 2 | 0.87% | 0.86% | 0.85% | 0.86% | ||||
Ratio of net investment income to average net assets | 0.75% | 1.15% | 1.32% | 1.02% | 0.94% | ||||
Portfolio turnover rate3 | 41% | 66% | 80% | 71% | 62% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The ratio of operating expenses excluding interest expense was 0.85% for the year ended October 31, 2021. |
3 | Portfolio turnover is calculated at the fund level. |
Quantitative U.S. Large Cap Core Equity Portfolio Institutional Shares | |||||||||
For The Year Ended October 31, | |||||||||
2021 1 | 2020 1 | 2019 1 | 2018 | 2017 | |||||
Net asset value, beginning of year | $ 24.99 | $ 26.91 | $ 27.89 | $ 28.09 | $ 22.37 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.29 | 0.34 | 0.40 | 0.34 | 0.27 | ||||
Net realized and unrealized gain (loss) on investments | 10.16 | (0.75) | 1.20 | 0.95 | 5.73 | ||||
Total from investment operations | 10.45 | (0.41) | 1.60 | 1.29 | 6.00 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.30) | (0.34) | (0.41) | (0.33) | (0.28) | ||||
Net realized capital gains | (2.16) | (1.17) | (2.17) | (1.16) | — | ||||
Total distributions | (2.46) | (1.51) | (2.58) | (1.49) | (0.28) | ||||
Net asset value, end of year | $ 32.98 | $ 24.99 | $ 26.91 | $ 27.89 | $ 28.09 | ||||
Total return | 44.10% | (1.75)% | 6.68% | 4.61% | 26.96% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $165,106 | $173,029 | $673,825 | $767,117 | $549,352 | ||||
Ratio of operating expenses to average net assets | 0.65% 2 | 0.67% | 0.66% | 0.65% | 0.66% | ||||
Ratio of net investment income to average net assets | 0.96% | 1.32% | 1.52% | 1.22% | 1.12% | ||||
Portfolio turnover rate3 | 41% | 66% | 80% | 71% | 62% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The ratio of operating expenses excluding interest expense was 0.65% for the year ended October 31, 2021. |
3 | Portfolio turnover is calculated at the fund level. |
49 |
Quantitative U.S. Large Cap Growth Equity Portfolio Advisor Shares | |||||||||
For The Year Ended October 31, | |||||||||
2021 1 | 2020 1 | 2019 1 | 2018 | 2017 | |||||
Net asset value, beginning of year | $ 32.02 | $ 33.08 | $ 32.52 | $ 31.54 | $ 24.76 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.05 | 0.12 | 0.16 | 0.16 | 0.16 | ||||
Net realized and unrealized gain on investments | 13.33 | 3.19 | 4.86 | 1.58 | 6.77 | ||||
Total from investment operations | 13.38 | 3.31 | 5.02 | 1.74 | 6.93 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.05) | (0.14) | (0.15) | (0.17) | (0.15) | ||||
Net realized capital gains | (4.71) | (4.23) | (4.31) | (0.59) | — | ||||
Total distributions | (4.76) | (4.37) | (4.46) | (0.76) | (0.15) | ||||
Net asset value, end of year | $ 40.64 | $ 32.02 | $ 33.08 | $ 32.52 | $ 31.54 | ||||
Total return | 46.17% | 10.68% | 18.50% | 5.53% | 28.05% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $1,751,370 | $1,659,543 | $2,237,727 | $2,660,858 | $3,076,616 | ||||
Ratio of operating expenses to average net assets | 0.85% 2 | 0.88% | 0.86% | 0.85% | 0.86% | ||||
Ratio of net investment income to average net assets | 0.15% | 0.40% | 0.53% | 0.44% | 0.56% | ||||
Portfolio turnover rate3 | 49% | 69% | 80% | 63% | 69% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The ratio of operating expenses excluding interest expense was 0.85% for the year ended October 31, 2021. |
3 | Portfolio turnover is calculated at the fund level. |
Quantitative U.S. Large Cap Growth Equity Portfolio Institutional Shares | |||||||||
For The Year Ended October 31, | |||||||||
2021 1 | 2020 1 | 2019 1 | 2018 | 2017 | |||||
Net asset value, beginning of year | $ 32.02 | $ 33.09 | $ 32.53 | $ 31.55 | $ 24.77 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.12 | 0.19 | 0.21 | 0.21 | 0.18 | ||||
Net realized and unrealized gain on investments | 13.34 | 3.18 | 4.88 | 1.59 | 6.80 | ||||
Total from investment operations | 13.46 | 3.37 | 5.09 | 1.80 | 6.98 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.13) | (0.21) | (0.22) | (0.23) | (0.20) | ||||
Net realized capital gains | (4.71) | (4.23) | (4.31) | (0.59) | — | ||||
Total distributions | (4.84) | (4.44) | (4.53) | (0.82) | (0.20) | ||||
Net asset value, end of year | $ 40.64 | $ 32.02 | $ 33.09 | $ 32.53 | $ 31.55 | ||||
Total return | 46.47% | 10.89% | 18.74% | 5.74% | 28.28% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $581,255 | $543,675 | $1,250,995 | $746,030 | $860,416 | ||||
Ratio of operating expenses to average net assets | 0.65% 2 | 0.68% | 0.66% | 0.65% | 0.66% | ||||
Ratio of net investment income to average net assets | 0.34% | 0.62% | 0.69% | 0.64% | 0.66% | ||||
Portfolio turnover rate3 | 49% | 69% | 80% | 63% | 69% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The ratio of operating expenses excluding interest expense was 0.65% for the year ended October 31, 2021. |
3 | Portfolio turnover is calculated at the fund level. |
50 |
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||
For The Year Ended October 31, | For the Period November 13, 20171 through October 31, 2018 | ||||||
2021 2 | 2020 2 | 2019 2 | |||||
Net asset value, beginning of year | $ 9.03 | $ 10.29 | $ 9.82 | $10.00 | |||
Income from investment operations: | |||||||
Net investment income | 0.18 | 0.20 | 0.21 | 0.14 | |||
Net realized and unrealized gain (loss) on investments | 4.02 | (1.26) | 0.49 | (0.20) | |||
Total from investment operations | 4.20 | (1.06) | 0.70 | (0.06) | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.18) | (0.20) | (0.23) | (0.12) | |||
Total distributions | (0.18) | (0.20) | (0.23) | (0.12) | |||
Net asset value, end of year | $13.05 | $ 9.03 | $10.29 | $ 9.82 | |||
Total return3 | 46.66% | (10.19)% | 7.33% | (0.69)% 4 | |||
Ratios to average net assets/ Supplemental data: | |||||||
Net assets, at end of year (in 000s) | $2,487 | $ 1,588 | $2,040 | $1,092 | |||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.45% | 2.66% | 3.20% | 6.52% 5 | |||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% | 0.85% | 0.89% | 1.00% 5 | |||
Ratio of net investment income to average net assets | 1.48% | 2.15% | 2.08% | 1.36% 5 | |||
Portfolio turnover rate | 68% | 95% | 77% | 61% 6 |
1 | Commencement of operations. |
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 | Calculations represent portfolio turnover for the Portfolio for the period of November 13, 2017 through October 31, 2018. |
51 |
Quantitative U.S. Small Cap Equity Portfolio | |||||||
For The Year Ended October 31, | For the Period November 13, 20171 through October 31, 2018 | ||||||
2021 2 | 2020 2 | 2019 2 | |||||
Net asset value, beginning of year | $ 9.55 | $10.39 | $10.25 | $10.00 | |||
Income from investment operations: | |||||||
Net investment income | 0.07 | 0.06 | 0.05 | 0.05 | |||
Net realized and unrealized gain (loss) on investments | 5.50 | (0.82) | 0.17 | 0.24 | |||
Total from investment operations | 5.57 | (0.76) | 0.22 | 0.29 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.07) | (0.08) | (0.08) | (0.04) | |||
Total distributions | (0.07) | (0.08) | (0.08) | (0.04) | |||
Net asset value, end of year | $15.05 | $ 9.55 | $10.39 | $10.25 | |||
Total return3 | 58.45% | (7.37)% | 2.19% | 2.85% 4 | |||
Ratios to average net assets/ Supplemental data: | |||||||
Net assets, at end of year (in 000s) | $1,556 | $ 982 | $1,061 | $1,074 | |||
Ratio of operating expenses before waiver/reimbursement to average net assets | 3.45% | 4.63% | 4.12% | 6.48% 5 | |||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% | 0.85% | 0.90% | 1.00% 5 | |||
Ratio of net investment income to average net assets | 0.53% | 0.65% | 0.53% | 0.44% 5 | |||
Portfolio turnover rate | 84% | 101% | 133% | 80% 6 |
1 | Commencement of operations. |
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 | Calculations represent portfolio turnover for the Portfolio for the period of November 13, 2017 through October 31, 2018. |
52 |
Quantitative International Equity Portfolio | |||||||||
For The Year Ended October 31, | |||||||||
2021 1 | 2020 1 | 2019 1 | 2018 | 2017 1 | |||||
Net asset value, beginning of year | $ 12.05 | $ 13.97 | $ 13.26 | $ 15.16 | $ 12.76 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.36 | 0.26 | 0.39 | 0.29 | 0.25 | ||||
Net realized and unrealized gain (loss) on investments | 3.48 | (1.79) | 0.73 | (1.90) | 2.41 | ||||
Total from investment operations | 3.84 | (1.53) | 1.12 | (1.61) | 2.66 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.35) | (0.37) | (0.41) | (0.29) | (0.26) | ||||
Net return of capital | — | (0.02) | — | — | — | ||||
Total distributions | (0.35) | (0.39) | (0.41) | (0.29) | (0.26) | ||||
Net asset value, end of year | $ 15.54 | $ 12.05 | $ 13.97 | $ 13.26 | $ 15.16 | ||||
Total return2 | 31.96% | (11.10)% | 8.60% | (10.80)% | 20.96% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $41,069 | $53,302 | $205,629 | $387,188 | $461,686 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.19% | 1.15% | 1.10% | 1.07% | 1.06% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 1.00% 3 | 1.00% | 1.00% | 1.00% | 1.00% | ||||
Ratio of net investment income to average net assets | 2.40% | 1.99% | 2.90% | 1.90% | 1.82% | ||||
Portfolio turnover rate | 79% | 76% | 93% | 78% | 75% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
3 | The ratio of operating expenses after waiver/reimbursement excluding interest expense was 1.00% for the year ended October 31, 2021. |
Responsible ESG U.S. Equity Portfolio | |||||||||
For The Year Ended October 31, | |||||||||
2021 1 | 2020 1 | 2019 1 | 2018 | 2017 | |||||
Net asset value, beginning of year | $ 14.26 | $ 14.34 | $ 14.12 | $ 13.61 | $ 10.84 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.14 | 0.15 | 0.16 | 0.11 | 0.09 | ||||
Net realized and unrealized gain (loss) on investments | 6.45 | (0.02) | 0.74 | 0.57 | 2.77 | ||||
Total from investment operations | 6.59 | 0.13 | 0.90 | 0.68 | 2.86 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.14) | (0.15) | (0.17) | (0.11) | (0.09) | ||||
Net realized capital gains | — | (0.06) | (0.51) | (0.06) | — | ||||
Total distributions | (0.14) | (0.21) | (0.68) | (0.17) | (0.09) | ||||
Net asset value, end of year | $ 20.71 | $ 14.26 | $ 14.34 | $ 14.12 | $ 13.61 | ||||
Total return2 | 46.31% | 0.87% | 6.78% | 5.01% | 26.42% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $32,861 | $22,342 | $23,231 | $21,746 | $13,589 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.05% | 1.05% | 1.07% | 1.09% | 1.23% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% | 0.85% | 0.90% | 1.00% | 1.00% | ||||
Ratio of net investment income to average net assets | 0.74% | 1.02% | 1.17% | 0.87% | 0.75% | ||||
Portfolio turnover rate | 74% | 88% | 102% | 61% | 54% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
53 |
Women in Leadership U.S. Equity Portfolio | |||||||||
For The Year Ended October 31, | |||||||||
2021 1 | 2020 1 | 2019 1 | 2018 1 | 2017 | |||||
Net asset value, beginning of year | $ 13.52 | $ 13.98 | $ 13.34 | $ 13.10 | $ 10.65 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.18 | 0.16 | 0.15 | 0.12 | 0.11 | ||||
Net realized and unrealized gain (loss) on investments | 5.75 | (0.47) | 1.08 | 0.32 | 2.45 | ||||
Total from investment operations | 5.93 | (0.31) | 1.23 | 0.44 | 2.56 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.18) | (0.15) | (0.15) | (0.11) | (0.11) | ||||
Net realized capital gains | — | — | (0.44) | (0.09) | — | ||||
Total distributions | (0.18) | (0.15) | (0.59) | (0.20) | (0.11) | ||||
Net asset value, end of year | $ 19.27 | $ 13.52 | $ 13.98 | $ 13.34 | $ 13.10 | ||||
Total return2 | 43.94% | (2.15)% | 9.75% | 3.36% | 24.11% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $27,887 | $21,678 | $21,047 | $18,974 | $11,853 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.04% | 1.08% | 1.11% | 1.11% | 1.28% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% 3 | 0.85% | 0.90% | 1.00% | 1.00% | ||||
Ratio of net investment income to average net assets | 1.01% | 1.19% | 1.14% | 0.88% | 0.88% | ||||
Portfolio turnover rate | 81% | 105% | 89% | 81% | 70% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
3 | The ratio of operating expenses after waiver/reimbursement excluding interest expense was 0.85% for the year ended October 31, 2021. |
54 |
Quantitative U.S. Long/Short Equity Portfolio Advisor Shares | |||||||||
For The Year Ended October 31, | |||||||||
2021 1 | 2020 1 | 2019 1 | 2018 1 | 2017 1 | |||||
Net asset value, beginning of year | $ 11.05 | $ 11.90 | $ 12.55 | $ 12.86 | $ 11.39 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | (0.10) | (0.07) | 0.11 | 0.03 | (0.05) | ||||
Net realized and unrealized gain (loss) on investments | 1.98 | (0.77) | (0.65) | (0.34) | 1.52 | ||||
Total from investment operations | 1.88 | (0.84) | (0.54) | (0.31) | 1.47 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | — | (0.11) | — | — | ||||
Net return of capital | — | (0.01) | — | — | — | ||||
Total distributions | — | (0.01) | (0.11) | — | — | ||||
Net asset value, end of year | $ 12.93 | $ 11.05 | $ 11.90 | $ 12.55 | $ 12.86 | ||||
Total return2 | 17.01% | (7.07)% | (4.33)% | (2.41)% | 12.91% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $56,002 | $96,702 | $247,209 | $333,806 | $300,784 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.88% | 2.99% | 2.78% | 2.61% | 2.77% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets3 | 2.51% | 2.63% | 2.43% | 2.26% | 2.42% | ||||
Ratio of net investment income (loss) to average net assets | (0.78)% | (0.59)% | 0.91% | 0.24% | (0.43)% | ||||
Portfolio turnover rate4,5 | 115% | 133% | 108% | 84% | 65% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
3 | The ratio of operating expenses after waiver/reimbursement excluding interest expense, dividends on securities sold short and flex fees was 1.25%, 1.25%, 1.21%, 1.15% and 1.15% for the years ended October 31, 2021, 2020, 2019, 2018 and 2017, respectively. |
4 | Portfolio turnover is calculated at the fund level. |
5 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
55 |
Quantitative U.S. Long/Short Equity Portfolio Institutional Shares | |||||
For The Year Ended October 31, | For the Period September 13, 20191 through October 31, 20192 | ||||
2021 2 | 2020 2 | ||||
Net asset value, beginning of year | $11.07 | $11.89 | $12.00 | ||
Income from investment operations: | |||||
Net investment income (loss) | (0.03) | (0.10) | 0.01 | ||
Net realized and unrealized gain (loss) on investments | 1.93 | (0.71) | (0.08) | ||
Total from investment operations | 1.90 | (0.81) | (0.07) | ||
Distributions to shareholders from: | |||||
Net investment income | — | — | (0.04) | ||
Net return of capital | — | (0.01) | — | ||
Total distributions | — | (0.01) | (0.04) | ||
Net asset value, end of year | $12.97 | $11.07 | $11.89 | ||
Total return3 | 17.16% 4 | (6.78)% | (0.62)% 5 | ||
Ratios to average net assets/ Supplemental data: | |||||
Net assets, at end of year (in 000s) | $7,255 | $ 311 | $ 16 | ||
Ratio of operating expenses before waiver/reimbursement to average net assets | 3.88% | 2.59% | 2.36% 6 | ||
Ratio of operating expenses after waiver/reimbursement to average net assets7 | 3.52% | 2.23% | 2.01% 6 | ||
Ratio of net investment income (loss) to average net assets | (0.27)% | (0.89)% | 0.36% 6 | ||
Portfolio turnover rate8,9 | 115% | 133% | 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 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
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 | Total return calculation is not annualized. |
6 | Annualized. |
7 | The ratio of operating expenses after waiver/reimbursement excluding interest expense, dividends on securities sold short and flex fees was 1.05% and 1.05% for the years ended October 31, 2021 and October 31, 2020, respectively and 1.01% for the period ended October 31, 2019. |
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. |
56 |
Quantitative U.S. Total Market Equity Portfolio | |||||||||
For The Year Ended October 31, | |||||||||
2021 1 | 2020 1 | 2019 1 | 2018 | 2017 | |||||
Net asset value, beginning of year | $ 15.34 | $ 17.88 | $ 18.85 | $ 18.88 | $ 14.65 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.03 | 0.07 | 0.11 | 0.07 | 0.04 | ||||
Net realized and unrealized gain (loss) on investments | 9.45 | (1.52) | 0.49 | 0.51 | 4.23 | ||||
Total from investment operations | 9.48 | (1.45) | 0.60 | 0.58 | 4.27 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.03) | (0.11) | (0.11) | (0.06) | (0.04) | ||||
Net realized capital gains | (1.89) | (0.98) | (1.46) | (0.55) | — | ||||
Total distributions | (1.92) | (1.09) | (1.57) | (0.61) | (0.04) | ||||
Net asset value, end of year | $ 22.90 | $ 15.34 | $ 17.88 | $ 18.85 | $ 18.88 | ||||
Total return2 | 66.37% | (8.82)% | 4.11% | 3.01% | 29.18% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $35,961 | $28,447 | $67,923 | $90,610 | $74,267 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.23% | 2.56% | 2.48% | 2.31% | 2.40% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets3 | 1.83% | 2.06% | 2.07% | 1.96% | 2.05% | ||||
Ratio of net investment income to average net assets | 0.15% | 0.45% | 0.60% | 0.37% | 0.24% | ||||
Portfolio turnover rate4 | 71% | 98% | 92% | 82% | 70% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
3 | The ratio of operating expenses after waiver/reimbursement excluding interest expense, dividends on securities sold short and flex fees was 1.25%, 1.25%, 1.25%, 1.25% and 1.23% for the years ended October 31, 2021, 2020, 2019, 2018 and 2017, respectively. |
4 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
57 |
Strategic Equity Portfolio | |||||||||
For The Year Ended October 31, | |||||||||
2021 1 | 2020 1 | 2019 1 | 2018 | 2017 | |||||
Net asset value, beginning of year | $ 26.43 | $ 27.22 | $ 24.30 | $ 24.90 | $ 20.94 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.12 | 0.21 | 0.23 | 0.20 | 0.19 | ||||
Net realized and unrealized gain (loss) on investments | 10.73 | (0.25) | 3.22 | 1.07 | 5.35 | ||||
Total from investment operations | 10.85 | (0.04) | 3.45 | 1.27 | 5.54 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.13) | (0.22) | (0.23) | (0.20) | (0.19) | ||||
Net realized capital gains | (1.59) | (0.53) | (0.30) | (1.67) | (1.39) | ||||
Total distributions | (1.72) | (0.75) | (0.53) | (1.87) | (1.58) | ||||
Net asset value, end of year | $ 35.56 | $ 26.43 | $ 27.22 | $ 24.30 | $ 24.90 | ||||
Total return | 42.57% | (0.18)% | 14.51% | 5.14% | 27.83% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $268,648 | $219,447 | $269,033 | $226,032 | $209,339 | ||||
Ratio of operating expenses to average net assets | 0.85% | 0.86% | 0.84% | 0.83% | 0.82% | ||||
Ratio of net investment income to average net assets | 0.38% | 0.79% | 0.89% | 0.79% | 0.84% | ||||
Portfolio turnover rate | 14% | 19% | 19% | 6% | 15% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
Small Cap Equity Portfolio Advisor Shares | |||||||||
For The Year Ended October 31, | |||||||||
2021 1 | 2020 1 | 2019 1 | 2018 | 2017 | |||||
Net asset value, beginning of year | $ 23.23 | $ 23.66 | $ 28.82 | $ 32.13 | $ 25.61 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | — | 0.02 | 0.05 | 0.02 | (0.01) | ||||
Net realized and unrealized gain (loss) on investments | 13.87 | (0.41) | (1.04) | (0.10) | 7.07 | ||||
Total from investment operations | 13.87 | (0.39) | (0.99) | (0.08) | 7.06 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.04) | (0.04) | (0.07) | (0.02) | (0.02) | ||||
Net realized capital gains | — | — | (4.09) | (3.21) | (0.52) | ||||
Net return of capital | — | (0.00) 2 | (0.01) | — | — | ||||
Total distributions | (0.04) | (0.04) | (4.17) | (3.23) | (0.54) | ||||
Net asset value, end of year | $ 37.06 | $ 23.23 | $ 23.66 | $ 28.82 | $ 32.13 | ||||
Total return | 59.75% | (1.63)% | (2.61)% | (0.58)% | 27.84% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $530,401 | $403,309 | $761,813 | $1,390,136 | $1,574,979 | ||||
Ratio of operating expenses to average net assets | 0.92% 3 | 0.94% | 0.93% | 0.90% | 0.90% | ||||
Ratio of net investment income (loss) to average net assets | 0.01% | 0.11% | 0.21% | 0.07% | (0.04)% | ||||
Portfolio turnover rate4 | 41% | 36% | 54% | 44% | 63% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Amount rounds to less than $0.01 per share. |
3 | The ratio of operating expenses excluding interest expense was 0.92% for the year ended October 31, 2021. |
4 | Portfolio turnover is calculated at the fund level. |
58 |
Small Cap Equity Portfolio Institutional Shares | |||||||||
For The Year Ended October 31, | |||||||||
2021 1 | 2020 1 | 2019 1 | 2018 | 2017 | |||||
Net asset value, beginning of year | $ 24.61 | $ 25.07 | $ 30.25 | $ 33.54 | $ 26.67 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.08 | 0.07 | 0.10 | 0.09 | 0.05 | ||||
Net realized and unrealized gain (loss) on investments | 14.68 | (0.44) | (1.06) | (0.10) | 7.37 | ||||
Total from investment operations | 14.76 | (0.37) | (0.96) | (0.01) | 7.42 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.08) | (0.09) | (0.12) | (0.07) | (0.03) | ||||
Net realized capital gains | — | — | (4.09) | (3.21) | (0.52) | ||||
Net return of capital | — | (0.00) 2 | (0.01) | — | — | ||||
Total distributions | (0.08) | (0.09) | (4.22) | (3.28) | (0.55) | ||||
Net asset value, end of year | $ 39.29 | $ 24.61 | $ 25.07 | $ 30.25 | $ 33.54 | ||||
Total return | 60.04% | (1.44)% | (2.38)% | (0.36)% | 28.10% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $944,442 | $836,015 | $1,279,693 | $2,131,461 | $1,879,657 | ||||
Ratio of operating expenses to average net assets | 0.72% 3 | 0.74% | 0.73% | 0.70% | 0.70% | ||||
Ratio of net investment income to average net assets | 0.22% | 0.29% | 0.39% | 0.27% | 0.16% | ||||
Portfolio turnover rate4 | 41% | 36% | 54% | 44% | 63% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Amount rounds to less than $0.01 per share. |
3 | The ratio of operating expenses excluding interest expense was 0.72% for the year ended October 31, 2021. |
4 | Portfolio turnover is calculated at the fund level. |
59 |
Equity Income Portfolio | |||||||||
For The Year Ended October 31, | For the Period December 21, 20161 through October 31, 20172 | ||||||||
2021 2 | 2020 2 | 2019 2 | 2018 | ||||||
Net asset value, beginning of year | $ 11.88 | $ 12.22 | $ 11.15 | $ 11.06 | $ 10.00 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.22 | 0.26 | 0.25 | 0.22 | 0.16 | ||||
Net realized and unrealized gain (loss) on investments | 4.05 | (0.32) | 1.33 | 0.09 | 1.01 | ||||
Total from investment operations | 4.27 | (0.06) | 1.58 | 0.31 | 1.17 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.23) | (0.28) | (0.25) | (0.22) | (0.11) | ||||
Net realized capital gains | — | — | (0.26) | (0.00) 3 | — | ||||
Total distributions | (0.23) | (0.28) | (0.51) | (0.22) | (0.11) | ||||
Net asset value, end of year | $ 15.92 | $ 11.88 | $ 12.22 | $ 11.15 | $ 11.06 | ||||
Total return4 | 36.12% | (0.38)% | 14.69% | 2.79% | 11.77% 5 | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $22,296 | $18,560 | $23,900 | $18,536 | $12,970 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.10% | 1.04% 6 | 1.01% | 1.11% | 2.08% 7 | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% | 0.85% 6 | 0.85% | 0.85% | 0.85% 7 | ||||
Ratio of net investment income to average net assets | 1.53% | 2.21% 6 | 2.19% | 2.02% | 1.82% 7 | ||||
Portfolio turnover rate | 27% | 63% | 39% | 29% | 14% 8 |
1 | Commencement of operations. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Amount rounds to less than $0.01 per share. |
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 any exchange-traded funds held in the Portfolio. |
7 | Annualized. |
8 | Calculations represent portfolio turnover for the Portfolio for the period of December 21, 2016 through October 31, 2017. |
60 |
Secured Options Portfolio Advisor Shares | |||||||||
For The Year Ended October 31, | |||||||||
2021 1 | 2020 1 | 2019 1 | 2018 | 2017 1 | |||||
Net asset value, beginning of year | $ 11.67 | $ 13.01 | $ 12.30 | $ 12.75 | $ 12.45 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | (0.11) | (0.07) | (0.04) | (0.06) | (0.08) | ||||
Net realized and unrealized gain (loss) on investments | 3.27 | (0.34) | 1.04 | 0.40 | 0.99 | ||||
Total from investment operations | 3.16 | (0.41) | 1.00 | 0.34 | 0.91 | ||||
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 year | $ 14.83 | $ 11.67 | $ 13.01 | $ 12.30 | $ 12.75 | ||||
Total return | 27.08% | (3.50)% | 8.43% | 2.81% | 7.53% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $90,143 | $95,701 | $268,478 | $445,946 | $446,859 | ||||
Ratio of operating expenses to average net assets2 | 0.86% | 0.88% | 0.87% 3 | 0.84% | 0.85% | ||||
Ratio of net investment income (loss) to average net assets2 | (0.77)% | (0.59)% | (0.34)% | (0.50)% | (0.68)% | ||||
Portfolio turnover rate4,5 | —% | —% | —% | —% | —% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | This ratio does not include the expenses for any exchange-traded funds held in the Portfolio. |
3 | The ratio of operating expenses excluding interest expense was 0.86% for the year ended October 31, 2019. |
4 | Portfolio turnover is calculated at the fund level. |
5 | 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. |
61 |
Secured Options Portfolio Institutional Shares | |||||||||
For The Year Ended October 31, | For the Period November 9, 20161 through October 31, 20172 | ||||||||
2021 2 | 2020 2 | 2019 2 | 2018 2 | ||||||
Net asset value, beginning of year | $ 11.77 | $ 13.09 | $ 12.34 | $ 12.77 | $ 12.61 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | (0.08) | (0.05) | (0.02) | (0.04) | (0.06) | ||||
Net realized and unrealized gain (loss) on investments | 3.30 | (0.34) | 1.06 | 0.40 | 0.83 | ||||
Total from investment operations | 3.22 | (0.39) | 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 year | $ 14.99 | $ 11.77 | $ 13.09 | $ 12.34 | $ 12.77 | ||||
Total return | 27.36% | (3.31)% | 8.73% | 2.97% | 6.34% 3 | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $341,245 | $354,674 | $409,829 | $396,523 | $365,523 | ||||
Ratio of operating expenses to average net assets4 | 0.66% | 0.68% | 0.67% 5 | 0.64% | 0.65% 6 | ||||
Ratio of net investment income (loss) to average net assets4 | (0.57)% | (0.44)% | (0.14)% | (0.30)% | (0.45)% 6 | ||||
Portfolio turnover rate7,8 | —% | —% | —% | —% | —% |
1 | Class commenced operations on November 9, 2016. |
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 any exchange-traded funds held in the Portfolio. |
5 | The ratio of operating expenses excluding interest expense was 0.66% for the year ended October 31, 2019. |
6 | Annualized. |
7 | Portfolio turnover is calculated at the fund level. |
8 | All trading activity in the Portfolio during the year was short term and is excluded for portfolio turnover calculations resulting in zero portfolio turnover percentage. |
62 |
Global Secured Options Portfolio | |||||||||
For The Year Ended October 31, | |||||||||
2021 1 | 2020 1,2 | 2019 1,2 | 2018 1,2 | 2017 1,2 | |||||
Net asset value, beginning of year | $ 4.84 | $ 4.90 | $104.10 | $105.80 | $ 96.00 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | (0.05) | (0.04) | 0.02 | 0.10 | 0.60 | ||||
Net realized and unrealized gain (loss) on investments | 1.07 | (0.02) | (5.71) | (0.90) | 9.90 | ||||
Total from investment operations | 1.02 | (0.06) | (5.69) | (0.80) | 10.50 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.00) 3 | (0.01) | (0.90) | (0.70) | ||||
Net realized capital gains | (0.22) | — | (93.50) | — | — | ||||
Total distributions | (0.22) | (0.00) 3 | (93.51) | (0.90) | (0.70) | ||||
Net asset value, end of year | $ 5.64 | $ 4.84 | $ 4.90 | $104.10 | $105.80 | ||||
Total return | 21.59% 4 | (1.07)% 4 | 8.56% 4 | (0.76)% | 10.94% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $17,152 | $9,648 | $ 1,220 | $ 2,510 | $10,642 | ||||
Ratio of operating expenses to average net assets5 | —% | —% | —% | 1.17% 6 | 1.13% | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets5 | 1.30% | 2.13% | 9.76% | —% | —% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets5 | 1.00% | 1.00% | 1.63% 6 | —% | —% | ||||
Ratio of net investment income to average net assets5 | (0.96)% | (0.83)% | 0.32% | 0.08% | 0.58% | ||||
Portfolio turnover rate | —% 7 | 995% | 685% | 224% | 9% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The Board authorized a 1-for-10 reverse share split for the Global Secured Options Portfolio effective after the close of trading on March 16, 2020. The impact of the reverse share split was to decrease the number of shares outstanding by a factor of ten, while increasing the NAV of shares outstanding by a factor of ten, resulting in no effect to the net assets of the Portfolio. The financial statements for the Portfolio have been adjusted to reflect the reverse share split. |
3 | Amount rounds to less than $0.01 per share. |
4 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
5 | This ratio does not include the expenses for any exchange-traded funds held in the Portfolio. |
6 | 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. |
7 | All trading activity in the Portfolio during the year was short term and is excluded for portfolio turnover calculations resulting in zero portfolio turnover percentage. |
63 |
Core Fixed Income Portfolio | |||||||||
For The Year Ended October 31, | |||||||||
2021 1 | 2020 1 | 2019 1 | 2018 | 2017 | |||||
Net asset value, beginning of year | $ 11.71 | $ 11.31 | $ 10.49 | $ 11.04 | $ 11.26 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.14 | 0.21 | 0.25 | 0.25 | 0.21 | ||||
Net realized and unrealized gain (loss) on investments | (0.36) | 0.44 | 0.83 | (0.50) | (0.13) | ||||
Total from investment operations | (0.22) | 0.65 | 1.08 | (0.25) | 0.08 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.20) | (0.25) | (0.26) | (0.26) | (0.22) | ||||
Net realized capital gains | (0.18) | — | — | (0.04) | (0.08) | ||||
Total distributions | (0.38) | (0.25) | (0.26) | (0.30) | (0.30) | ||||
Net asset value, end of year | $ 11.11 | $ 11.71 | $ 11.31 | $ 10.49 | $ 11.04 | ||||
Total return | (1.91)% | 5.82% | 10.46% | (2.32)% | 0.75% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $424,512 | $436,975 | $505,603 | $485,201 | $488,548 | ||||
Ratio of operating expenses to average net assets | 0.54% | 0.54% | 0.53% | 0.52% | 0.52% | ||||
Ratio of net investment income to average net assets | 1.27% | 1.78% | 2.30% | 2.24% | 1.90% | ||||
Portfolio turnover rate | 24% | 52% | 36% | 29% | 46% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
Short Term Tax Aware Fixed Income Portfolio | |||||||||
For The Year Ended October 31, | |||||||||
2021 1 | 2020 1 | 2019 1 | 2018 | 2017 1 | |||||
Net asset value, beginning of year | $ 10.16 | $ 10.07 | $ 9.90 | $ 9.98 | $ 9.99 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.08 | 0.11 | 0.13 | 0.09 | 0.07 | ||||
Net realized and unrealized gain (loss) on investments | (0.06) | 0.09 | 0.17 | (0.08) | (0.01) | ||||
Total from investment operations | 0.02 | 0.20 | 0.30 | 0.01 | 0.06 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.09) | (0.11) | (0.13) | (0.09) | (0.07) | ||||
Total distributions | (0.09) | (0.11) | (0.13) | (0.09) | (0.07) | ||||
Net asset value, end of year | $ 10.09 | $ 10.16 | $ 10.07 | $ 9.90 | $ 9.98 | ||||
Total return2 | 0.15% | 1.96% | 3.03% | 0.10% | 0.57% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $56,284 | $53,525 | $50,939 | $26,294 | $33,900 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets3 | 0.64% | 0.63% | 0.66% | 0.61% | 0.69% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets3 | 0.55% 4 | 0.55% | 0.55% | 0.55% | 0.55% | ||||
Ratio of net investment income to average net assets3 | 0.77% | 1.08% | 1.33% | 0.92% | 0.69% | ||||
Portfolio turnover rate | 25% | 59% | 25% | 19% | 31% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
3 | This ratio does not include the expenses for any exchange-traded funds and registered investment companies held in the Portfolio. |
4 | The ratio of operating expenses after waiver/reimbursement excluding interest expense was 0.55% for the year ended October 31, 2021. |
64 |
High Yield Municipal Portfolio | |||||||||
For The Year Ended October 31, | |||||||||
2021 1 | 2020 1 | 2019 1 | 2018 | 2017 | |||||
Net asset value, beginning of year | $ 10.65 | $ 10.84 | $ 10.16 | $ 10.35 | $ 10.39 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.27 | 0.30 | 0.31 | 0.30 | 0.30 | ||||
Net realized and unrealized gain (loss) on investments | 0.44 | (0.19) | 0.68 | (0.19) | (0.01) | ||||
Total from investment operations | 0.71 | 0.11 | 0.99 | 0.11 | 0.29 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.27) | (0.30) | (0.31) | (0.30) | (0.29) | ||||
Net realized capital gains | (0.00) 2 | — | — | — | (0.04) | ||||
Total distributions | (0.27) | (0.30) | (0.31) | (0.30) | (0.33) | ||||
Net asset value, end of year | $ 11.09 | $ 10.65 | $ 10.84 | $ 10.16 | $ 10.35 | ||||
Total return | 6.68% 3 | 1.09% 3 | 9.90% 3 | 1.04% | 2.89% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $282,512 | $232,783 | $215,419 | $192,319 | $170,440 | ||||
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% | 1.02% | 1.00% | —% | —% | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 1.00% | 1.00% | 1.00% | —% | —% | ||||
Ratio of net investment income to average net assets | 2.40% | 2.85% | 2.95% | 2.90% | 2.92% | ||||
Portfolio turnover rate | 19% | 28% | 27% | 44% | 43% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Amount rounds to less than $0.01 per share. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
65 |
Shares | Value | ||
COMMON STOCKS* — 99.5% | |||
Auto Components — 0.7% | |||
220,826 | BorgWarner, Inc. | $ 9,952,628 | |
Automobiles — 1.2% | |||
312,910 | General Motors Co.1 | 17,031,691 | |
Banks — 5.7% | |||
121,267 | Citigroup, Inc. | 8,386,826 | |
405,336 | Citizens Financial Group, Inc. | 19,204,820 | |
453,342 | First Horizon Corp. | 7,693,214 | |
509,342 | KeyCorp | 11,852,388 | |
990,292 | Regions Financial Corp. | 23,450,115 | |
166,242 | US Bancorp | 10,036,029 | |
80,623,392 | |||
Beverages — 1.0% | |||
166,223 | Monster Beverage Corp.1 | 14,128,955 | |
Biotechnology — 1.5% | |||
101,986 | Amgen, Inc. | 21,108,042 | |
Building Products — 2.2% | |||
311,801 | Carrier Global Corp. | 16,285,366 | |
154,258 | Fortune Brands Home & Security, Inc. | 15,641,761 | |
31,927,127 | |||
Capital Markets — 3.8% | |||
365,013 | Bank of New York Mellon Corp. (The) | 21,608,769 | |
174,272 | Janus Henderson Group PLC | 8,103,648 | |
115,014 | Raymond James Financial, Inc. | 11,339,230 | |
139,063 | State Street Corp. | 13,704,659 | |
54,756,306 | |||
Chemicals — 0.8% | |||
207,140 | Dow, Inc. | 11,593,626 | |
Communications Equipment — 4.0% | |||
29,957 | Arista Networks, Inc.1 | 12,273,083 | |
195,921 | Ciena Corp.1 | 10,636,551 | |
240,792 | Cisco Systems, Inc. | 13,477,128 | |
94,849 | F5 Networks, Inc.1 | 20,027,367 | |
56,414,129 | |||
Construction & Engineering — 1.5% | |||
178,065 | Quanta Services, Inc. | 21,595,723 | |
Consumer Finance — 2.4% | |||
44,211 | Capital One Financial Corp. | 6,677,187 | |
556,198 | SLM Corp. | 10,206,233 | |
365,043 | Synchrony Financial | 16,956,248 | |
33,839,668 | |||
Containers & Packaging — 1.2% | |||
351,692 | International Paper Co. | 17,468,542 | |
Diversified Telecommunication Services — 1.8% | |||
493,046 | AT&T, Inc. | 12,454,342 | |
236,650 | Verizon Communications, Inc. | 12,540,083 | |
24,994,425 | |||
Electric Utilities — 0.5% | |||
82,578 | American Electric Power Co., Inc. | 6,995,182 |
66 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electrical Equipment — 0.5% | |||
51,285 | AMETEK, Inc. | $ 6,790,134 | |
Energy Equipment & Services — 1.5% | |||
830,302 | Baker Hughes Co., Class A | 20,823,974 | |
Entertainment — 2.9% | |||
251,356 | Activision Blizzard, Inc. | 19,653,526 | |
96,174 | Electronic Arts, Inc. | 13,488,403 | |
41,997 | Take-Two Interactive Software, Inc.1 | 7,601,457 | |
40,743,386 | |||
Equity Real Estate Investment Trusts — 3.8% | |||
47,472 | American Tower Corp. | 13,385,680 | |
58,237 | Crown Castle International Corp. | 10,500,131 | |
37,490 | Extra Space Storage, Inc. | 7,399,401 | |
155,978 | Prologis, Inc. | 22,610,571 | |
53,895,783 | |||
Food & Staples Retailing — 1.4% | |||
514,303 | Kroger Co. (The) | 20,582,406 | |
Food Products — 2.5% | |||
217,599 | General Mills, Inc. | 13,447,618 | |
233,066 | Mondelez International, Inc. - Class A | 14,156,429 | |
92,597 | Tyson Foods, Inc. - Class A | 7,404,982 | |
35,009,029 | |||
Health Care Providers & Services — 4.5% | |||
36,757 | Anthem, Inc. | 15,994,074 | |
63,439 | Cigna Corp. | 13,551,205 | |
107,690 | CVS Health Corp. | 9,614,563 | |
174,729 | DaVita, Inc.1 | 18,039,022 | |
35,672 | McKesson Corp. | 7,415,495 | |
64,614,359 | |||
Household Durables — 2.3% | |||
219,173 | Lennar Corp. - Class A | 21,901,958 | |
53,783 | Whirlpool Corp. | 11,339,070 | |
33,241,028 | |||
Household Products — 0.7% | |||
117,483 | Church & Dwight Co., Inc. | 10,263,315 | |
Independent Power & Renewable Electricity Producer — 1.6% | |||
899,506 | AES Corp. (The) | 22,604,586 | |
Insurance — 2.3% | |||
249,961 | Aflac, Inc. | 13,415,407 | |
167,275 | Fidelity National Financial, Inc. | 8,014,145 | |
188,161 | MetLife, Inc. | 11,816,511 | |
33,246,063 | |||
Interactive Media & Services — 3.8% | |||
9,871 | Alphabet, Inc. - Class A1 | 29,227,241 | |
74,530 | Meta Platforms, Inc. - Class A1 | 24,115,672 | |
53,342,913 | |||
Internet & Direct Marketing Retail — 1.6% | |||
297,530 | eBay, Inc. | 22,826,502 |
67 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
IT Services — 5.7% | |||
75,286 | Accenture PLC - Class A | $ 27,011,864 | |
295,041 | Amdocs, Ltd. | 22,965,992 | |
130,387 | Cognizant Technology Solutions Corp. - Class A | 10,181,921 | |
88,009 | PayPal Holdings, Inc.1 | 20,470,013 | |
80,629,790 | |||
Life Sciences Tools & Services — 3.9% | |||
108,355 | Agilent Technologies, Inc. | 17,064,829 | |
7,166 | Mettler-Toledo International, Inc.1 | 10,611,986 | |
53,165 | PerkinElmer, Inc. | 9,404,357 | |
15,949 | Thermo Fisher Scientific, Inc. | 10,096,833 | |
24,252 | Waters Corp.1 | 8,913,823 | |
56,091,828 | |||
Machinery — 1.4% | |||
47,398 | Parker-Hannifin Corp. | 14,057,773 | |
31,966 | Snap-on, Inc. | 6,496,450 | |
20,554,223 | |||
Media — 2.7% | |||
444,449 | Comcast Corp. - Class A | 22,858,012 | |
380,341 | Fox Corp. - Class A | 15,114,751 | |
37,972,763 | |||
Metals & Mining — 1.1% | |||
138,865 | Nucor Corp. | 15,504,277 | |
Multi-line Retail — 2.0% | |||
107,274 | Target Corp. | 27,850,476 | |
Paper & Forest Products — 0.0% | |||
1 | Sylvamo Corp.1 | 28 | |
Pharmaceuticals — 1.0% | |||
85,476 | Johnson & Johnson | 13,922,331 | |
Professional Services — 1.5% | |||
169,015 | Booz Allen Hamilton Holding Corp. | 14,680,643 | |
59,496 | TransUnion | 6,859,294 | |
21,539,937 | |||
Real Estate Management & Development — 0.6% | |||
86,260 | CBRE Group, Inc. - Class A1 | 8,977,941 | |
Road & Rail — 1.8% | |||
475,161 | CSX Corp. | 17,186,573 | |
150,913 | Knight-Swift Transportation Holdings, Inc. | 8,555,258 | |
25,741,831 | |||
Semiconductors & Semiconductor Equipment — 4.2% | |||
185,411 | Applied Materials, Inc. | 25,336,413 | |
57,496 | Qorvo, Inc.1 | 9,672,552 | |
80,230 | Skyworks Solutions, Inc. | 13,408,840 | |
76,840 | Teradyne, Inc. | 10,622,362 | |
59,040,167 | |||
Software — 10.2% | |||
509,524 | Dropbox, Inc. - Class A1 | 15,535,387 | |
90,690 | Fortinet, Inc.1 | 30,502,674 | |
94,890 | Microsoft Corp. | 31,467,422 | |
245,318 | Oracle Corp. | 23,535,809 |
68 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Software — (Continued) | |||
196,785 | SS&C Technologies Holdings, Inc. | $ 15,638,504 | |
84,693 | Synopsys, Inc.1 | 28,218,014 | |
144,897,810 | |||
Specialty Retail — 2.7% | |||
181,363 | Best Buy Co., Inc. | 22,169,813 | |
68,653 | Lowe’s Cos., Inc. | 16,052,445 | |
38,222,258 | |||
Technology Hardware, Storage & Peripherals — 3.0% | |||
78,595 | Apple, Inc. | 11,773,531 | |
695,964 | Hewlett Packard Enterprise Co. | 10,195,873 | |
692,149 | HP, Inc. | 20,992,879 | |
42,962,283 | |||
TOTAL COMMON STOCKS (Cost $880,842,965) | 1,414,320,857 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.5% | |||
$6,710,130 | With Fixed Income Clearing Corp., dated 10/29/21, 0.00%, principal and interest in the amount of $6,710,130, due 11/1/21, (collateralized by a U.S. Treasury Note with a par value of $6,333,400, coupon rate of 2.875%, due 05/31/25, market value of $6,844,438) | 6,710,130 | |
TOTAL REPURCHASE AGREEMENT (Cost $6,710,130) | 6,710,130 | ||
TOTAL INVESTMENTS (Cost $887,553,095) | 100.0% | $1,421,030,987 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.0) | (130,269) | |
NET ASSETS | 100.0% | $1,420,900,718 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
69 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 10.2% | $ 144,897,810 | |
IT Services | 5.7 | 80,629,790 | |
Banks | 5.7 | 80,623,392 | |
Health Care Providers & Services | 4.5 | 64,614,359 | |
Semiconductors & Semiconductor Equipment | 4.2 | 59,040,167 | |
Communications Equipment | 4.0 | 56,414,129 | |
Life Sciences Tools & Services | 3.9 | 56,091,828 | |
Capital Markets | 3.8 | 54,756,306 | |
Equity Real Estate Investment Trusts | 3.8 | 53,895,783 | |
Interactive Media & Services | 3.8 | 53,342,913 | |
Technology Hardware, Storage & Peripherals | 3.0 | 42,962,283 | |
Entertainment | 2.9 | 40,743,386 | |
Specialty Retail | 2.7 | 38,222,258 | |
Media | 2.7 | 37,972,763 | |
Food Products | 2.5 | 35,009,029 | |
Consumer Finance | 2.4 | 33,839,668 | |
Insurance | 2.3 | 33,246,063 | |
Household Durables | 2.3 | 33,241,028 | |
Building Products | 2.2 | 31,927,127 | |
Multi-line Retail | 2.0 | 27,850,476 | |
Road & Rail | 1.8 | 25,741,831 | |
Diversified Telecommunication Services | 1.8 | 24,994,425 | |
Internet & Direct Marketing Retail | 1.6 | 22,826,502 | |
Independent Power & Renewable Electricity Producer | 1.6 | 22,604,586 | |
Construction & Engineering | 1.5 | 21,595,723 | |
Professional Services | 1.5 | 21,539,937 | |
Biotechnology | 1.5 | 21,108,042 | |
Energy Equipment & Services | 1.5 | 20,823,974 | |
Food & Staples Retailing | 1.4 | 20,582,406 | |
Machinery | 1.4 | 20,554,223 | |
Containers & Packaging | 1.2 | 17,468,542 | |
Automobiles | 1.2 | 17,031,691 | |
Metals & Mining | 1.1 | 15,504,277 | |
Beverages | 1.0 | 14,128,955 | |
Pharmaceuticals | 1.0 | 13,922,331 | |
Chemicals | 0.8 | 11,593,626 | |
Household Products | 0.7 | 10,263,315 | |
Auto Components | 0.7 | 9,952,628 | |
Real Estate Management & Development | 0.6 | 8,977,941 | |
Electric Utilities | 0.5 | 6,995,182 | |
Electrical Equipment | 0.5 | 6,790,134 | |
Paper & Forest Products | 0.0 | 28 | |
TOTAL COMMON STOCKS | 99.5% | $1,414,320,857 | |
REPURCHASE AGREEMENT | 0.5 | 6,710,130 | |
TOTAL INVESTMENTS | 100.0% | $1,421,030,987 |
70 |
Shares | Value | ||
COMMON STOCKS* — 99.8% | |||
Aerospace & Defense — 0.5% | |||
32,665 | Northrop Grumman Corp. | $ 11,668,591 | |
Air Freight & Logistics — 1.2% | |||
221,042 | Expeditors International of Washington, Inc. | 27,245,637 | |
Auto Components — 0.6% | |||
307,642 | BorgWarner, Inc. | 13,865,425 | |
Banks — 1.4% | |||
682,860 | Citizens Financial Group, Inc. | 32,353,907 | |
Beverages — 1.8% | |||
415,219 | Coca-Cola Co. (The) | 23,405,895 | |
231,644 | Monster Beverage Corp.1 | 19,689,740 | |
43,095,635 | |||
Biotechnology — 3.1% | |||
108,059 | Amgen, Inc. | 22,364,971 | |
79,582 | Regeneron Pharmaceuticals, Inc.1 | 50,927,705 | |
73,292,676 | |||
Building Products — 1.9% | |||
459,034 | Carrier Global Corp. | 23,975,346 | |
211,532 | Fortune Brands Home & Security, Inc. | 21,449,345 | |
45,424,691 | |||
Capital Markets — 3.3% | |||
424,945 | Intercontinental Exchange, Inc. | 58,837,885 | |
44,655 | Moody’s Corp. | 18,047,318 | |
76,885,203 | |||
Chemicals — 0.9% | |||
114,786 | LyondellBasell Industries N.V. - Class A | 10,654,436 | |
112,981 | Westlake Chemical Corp. | 10,997,571 | |
21,652,007 | |||
Communications Equipment — 2.3% | |||
128,128 | Arista Networks, Inc.1 | 52,492,760 | |
Containers & Packaging — 2.0% | |||
219,094 | Avery Dennison Corp. | 47,701,146 | |
Electronic Equipment, Instruments & Components — 5.7% | |||
882,038 | Amphenol Corp. - Class A | 67,714,057 | |
283,089 | CDW Corp. | 52,838,562 | |
68,216 | Keysight Technologies, Inc.1 | 12,280,244 | |
132,832,863 | |||
Entertainment — 2.8% | |||
252,176 | Activision Blizzard, Inc. | 19,717,642 | |
317,029 | Electronic Arts, Inc. | 44,463,317 | |
64,180,959 | |||
Equity Real Estate Investment Trusts — 2.5% | |||
141,965 | American Tower Corp. | 40,029,871 | |
54,653 | SBA Communications Corp. REIT | 18,873,321 | |
58,903,192 | |||
Food & Staples Retailing — 1.8% | |||
83,439 | Costco Wholesale Corp. | 41,013,606 |
71 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Health Care Providers & Services — 2.1% | |||
89,698 | McKesson Corp. | $ 18,646,420 | |
63,895 | UnitedHealth Group, Inc. | 29,421,731 | |
48,068,151 | |||
Hotels, Restaurants & Leisure — 0.5% | |||
98,468 | Starbucks Corp. | 10,444,501 | |
Household Durables — 1.9% | |||
319,651 | Lennar Corp. - Class A | 31,942,724 | |
277,100 | Tempur Sealy International, Inc. | 12,322,637 | |
44,265,361 | |||
Household Products — 0.5% | |||
134,043 | Church & Dwight Co., Inc. | 11,709,997 | |
Insurance — 0.9% | |||
126,756 | Marsh & McLennan Cos., Inc. | 21,142,901 | |
Interactive Media & Services — 6.8% | |||
23,894 | Alphabet, Inc. - Class A1 | 70,748,223 | |
178,183 | Meta Platforms, Inc. - Class A1 | 57,654,673 | |
542,235 | Twitter, Inc.1 | 29,031,262 | |
157,434,158 | |||
Internet & Direct Marketing Retail — 2.9% | |||
894,929 | eBay, Inc. | 68,658,953 | |
IT Services — 6.6% | |||
205,002 | Automatic Data Processing, Inc. | 46,020,899 | |
462,771 | Paychex, Inc. | 57,050,409 | |
216,306 | PayPal Holdings, Inc.1 | 50,310,612 | |
153,381,920 | |||
Life Sciences Tools & Services — 1.8% | |||
87,176 | Agilent Technologies, Inc. | 13,729,348 | |
84,651 | PerkinElmer, Inc. | 14,973,916 | |
22,715 | Thermo Fisher Scientific, Inc. | 14,380,185 | |
43,083,449 | |||
Machinery — 0.7% | |||
125,523 | AGCO Corp. | 15,340,166 | |
Professional Services — 2.0% | |||
196,679 | Booz Allen Hamilton Holding Corp. | 17,083,538 | |
263,005 | Robert Half International, Inc. | 29,737,975 | |
46,821,513 | |||
Semiconductors & Semiconductor Equipment — 7.6% | |||
444,561 | Applied Materials, Inc. | 60,749,260 | |
65,501 | KLA Corp. | 24,416,153 | |
28,233 | Lam Research Corp. | 15,911,272 | |
64,687 | Monolithic Power Systems, Inc. | 33,990,431 | |
167,788 | NVIDIA Corp. | 42,898,358 | |
177,965,474 | |||
Software — 18.6% | |||
23,936 | Adobe, Inc.1 | 15,567,017 | |
238,401 | Cadence Design Systems, Inc.1 | 41,269,597 | |
1,276,764 | Dropbox, Inc. - Class A1 | 38,928,534 | |
217,821 | Fortinet, Inc.1 | 73,261,915 | |
224,278 | Microsoft Corp. | 74,375,070 |
72 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Software — (Continued) | |||
719,710 | Oracle Corp. | $ 69,048,978 | |
657,041 | SS&C Technologies Holdings, Inc. | 52,215,048 | |
208,791 | Synopsys, Inc.1 | 69,564,986 | |
434,231,145 | |||
Specialty Retail — 9.3% | |||
509,348 | Best Buy Co., Inc. | 62,262,699 | |
139,792 | Home Depot, Inc. (The) | 51,966,278 | |
263,082 | Lowe’s Cos., Inc. | 61,513,833 | |
323,718 | TJX Cos., Inc. (The) | 21,200,292 | |
90,180 | Tractor Supply Co. | 19,584,391 | |
216,527,493 | |||
Technology Hardware, Storage & Peripherals — 4.0% | |||
451,166 | Apple, Inc. | 67,584,667 | |
233,610 | Dell Technologies, Inc. - Class C1 | 25,694,764 | |
93,279,431 | |||
Textiles, Apparel & Luxury Goods — 0.7% | |||
401,170 | Tapestry, Inc. | 15,637,606 | |
Tobacco — 1.1% | |||
582,813 | Altria Group, Inc. | 25,707,881 | |
TOTAL COMMON STOCKS (Cost $1,318,587,708) | 2,326,308,398 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.3% | |||
$7,549,716 | With Fixed Income Clearing Corp., dated 10/29/21, 0.00%, principal and interest in the amount of $7,549,716, due 11/1/21, (collateralized by a U.S. Treasury Note with a par value of $7,845,400, coupon rate of 0.250% - 2.875%, due 05/31/25, market value of $7,700,711) | 7,549,716 | |
TOTAL REPURCHASE AGREEMENT (Cost $7,549,716) | 7,549,716 | ||
TOTAL INVESTMENTS (Cost $1,326,137,424) | 100.1% | $2,333,858,114 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.1) | (1,233,108) | |
NET ASSETS | 100.0% | $2,332,625,006 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
73 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 18.6% | $ 434,231,145 | |
Specialty Retail | 9.3 | 216,527,493 | |
Semiconductors & Semiconductor Equipment | 7.6 | 177,965,474 | |
Interactive Media & Services | 6.8 | 157,434,158 | |
IT Services | 6.6 | 153,381,920 | |
Electronic Equipment, Instruments & Components | 5.7 | 132,832,863 | |
Technology Hardware, Storage & Peripherals | 4.0 | 93,279,431 | |
Capital Markets | 3.3 | 76,885,203 | |
Biotechnology | 3.1 | 73,292,676 | |
Internet & Direct Marketing Retail | 2.9 | 68,658,953 | |
Entertainment | 2.8 | 64,180,959 | |
Equity Real Estate Investment Trusts | 2.5 | 58,903,192 | |
Communications Equipment | 2.3 | 52,492,760 | |
Health Care Providers & Services | 2.1 | 48,068,151 | |
Containers & Packaging | 2.0 | 47,701,146 | |
Professional Services | 2.0 | 46,821,513 | |
Building Products | 1.9 | 45,424,691 | |
Household Durables | 1.9 | 44,265,361 | |
Beverages | 1.8 | 43,095,635 | |
Life Sciences Tools & Services | 1.8 | 43,083,449 | |
Food & Staples Retailing | 1.8 | 41,013,606 | |
Banks | 1.4 | 32,353,907 | |
Air Freight & Logistics | 1.2 | 27,245,637 | |
Tobacco | 1.1 | 25,707,881 | |
Chemicals | 0.9 | 21,652,007 | |
Insurance | 0.9 | 21,142,901 | |
Textiles, Apparel & Luxury Goods | 0.7 | 15,637,606 | |
Machinery | 0.7 | 15,340,166 | |
Auto Components | 0.6 | 13,865,425 | |
Household Products | 0.5 | 11,709,997 | |
Aerospace & Defense | 0.5 | 11,668,591 | |
Hotels, Restaurants & Leisure | 0.5 | 10,444,501 | |
TOTAL COMMON STOCKS | 99.8% | $2,326,308,398 | |
REPURCHASE AGREEMENT | 0.3 | 7,549,716 | |
TOTAL INVESTMENTS | 100.1% | $2,333,858,114 |
74 |
Shares | Value | ||
COMMON STOCKS* — 99.6% | |||
Automobiles — 1.0% | |||
1,449 | Ford Motor Co.1 | $ 24,749 | |
Banks — 9.2% | |||
719 | Citigroup, Inc. | 49,726 | |
386 | Citizens Financial Group, Inc. | 18,289 | |
1,261 | Fifth Third Bancorp | 54,891 | |
2,497 | KeyCorp | 58,105 | |
2,031 | Regions Financial Corp. | 48,094 | |
229,105 | |||
Building Products — 0.8% | |||
192 | Fortune Brands Home & Security, Inc. | 19,469 | |
Capital Markets — 4.9% | |||
84 | Evercore, Inc. - Class A | 12,755 | |
169 | Intercontinental Exchange, Inc. | 23,400 | |
447 | Invesco, Ltd. | 11,358 | |
326 | Janus Henderson Group PLC | 15,159 | |
278 | Nasdaq, Inc. | 58,344 | |
121,016 | |||
Chemicals — 1.0% | |||
168 | Dow, Inc. | 9,403 | |
157 | Eastman Chemical Co. | 16,333 | |
25,736 | |||
Commercial Services & Supplies — 0.6% | |||
108 | Republic Services, Inc., Class A | 14,537 | |
Communications Equipment — 0.8% | |||
349 | Cisco Systems, Inc. | 19,534 | |
Construction & Engineering — 0.8% | |||
165 | Quanta Services, Inc. | 20,011 | |
Consumer Finance — 4.1% | |||
979 | Ally Financial, Inc. | 46,737 | |
76 | Capital One Financial Corp. | 11,478 | |
939 | Synchrony Financial | 43,617 | |
101,832 | |||
Containers & Packaging — 1.4% | |||
705 | International Paper Co. | 35,017 | |
Diversified Financial Services — 0.6% | |||
459 | Equitable Holdings, Inc. | 15,377 | |
Diversified Telecommunication Services — 3.6% | |||
1,283 | AT&T, Inc. | 32,409 | |
2,161 | Lumen Technologies, Inc. | 25,629 | |
580 | Verizon Communications, Inc. | 30,734 | |
88,772 | |||
Electric Utilities — 1.5% | |||
583 | Southern Co. (The) | 36,333 | |
Electrical Equipment — 0.9% | |||
143 | Eaton Corp. PLC | 23,561 | |
Electronic Equipment, Instruments & Components — 0.6% | |||
121 | Arrow Electronics, Inc.1 | 14,006 |
75 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Energy Equipment & Services — 3.8% | |||
1,940 | Baker Hughes Co., Class A | $ 48,655 | |
1,429 | Schlumberger, Ltd. | 46,100 | |
94,755 | |||
Equity Real Estate Investment Trusts — 2.5% | |||
316 | American Homes 4 Rent - Class A | 12,830 | |
1,650 | VICI Properties, Inc.2 | 48,427 | |
61,257 | |||
Food & Staples Retailing — 1.7% | |||
1,060 | Kroger Co. (The) | 42,421 | |
Food Products — 4.7% | |||
715 | Archer-Daniels-Midland Co. | 45,932 | |
792 | General Mills, Inc. | 48,945 | |
263 | Tyson Foods, Inc. - Class A | 21,032 | |
115,909 | |||
Health Care Providers & Services — 7.5% | |||
96 | Anthem, Inc. | 41,772 | |
135 | Cigna Corp. | 28,837 | |
495 | CVS Health Corp. | 44,194 | |
43 | Humana, Inc. | 19,916 | |
120 | McKesson Corp. | 24,946 | |
191 | Quest Diagnostics, Inc. | 28,035 | |
187,700 | |||
Household Durables — 1.3% | |||
161 | DR Horton, Inc. | 14,372 | |
360 | PulteGroup, Inc. | 17,309 | |
31,681 | |||
Household Products — 1.1% | |||
191 | Procter & Gamble Co. (The) | 27,311 | |
Independent Power & Renewable Electricity Producer — 1.3% | |||
1,300 | AES Corp. (The) | 32,669 | |
Insurance — 4.3% | |||
279 | American International Group, Inc. | 16,486 | |
774 | Fidelity National Financial, Inc. | 37,083 | |
259 | MetLife, Inc. | 16,265 | |
337 | Prudential Financial, Inc. | 37,087 | |
106,921 | |||
Interactive Media & Service — 0.8% | |||
7 | Alphabet, Inc. - Class A1 | 20,727 | |
IT Services — 2.3% | |||
217 | Amdocs, Ltd. | 16,891 | |
355 | Cognizant Technology Solutions Corp. - Class A | 27,722 | |
271 | Genpact, Ltd. | 13,374 | |
57,987 | |||
Life Sciences Tools & Services — 3.3% | |||
124 | Agilent Technologies, Inc. | 19,529 | |
243 | PerkinElmer, Inc. | 42,984 | |
31 | Thermo Fisher Scientific, Inc. | 19,625 | |
82,138 |
76 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Machinery — 5.2% | |||
175 | AGCO Corp. | $ 21,386 | |
189 | Cummins, Inc. | 45,330 | |
103 | Parker-Hannifin Corp. | 30,549 | |
156 | Snap-on, Inc. | 31,704 | |
128,969 | |||
Media — 4.7% | |||
191 | Comcast Corp. - Class A | 9,823 | |
413 | Fox Corp. - Class A | 16,413 | |
746 | Fox Corp. - Class B | 27,572 | |
1,216 | Interpublic Group of Cos., Inc. (The) | 44,469 | |
258 | Omnicom Group, Inc. | 17,565 | |
115,842 | |||
Metals & Mining — 2.7% | |||
380 | Nucor Corp. | 42,427 | |
170 | Reliance Steel & Aluminum Co. | 24,847 | |
67,274 | |||
Multi-Utilities — 2.1% | |||
824 | Public Service Enterprise Group, Inc. | 52,571 | |
Oil, Gas & Consumable Fuels — 0.5% | |||
724 | Kinder Morgan, Inc. | 12,127 | |
Paper & Forest Products — 0.1% | |||
64 | Sylvamo Corp.1 | 1,802 | |
Pharmaceuticals — 4.0% | |||
817 | Bristol-Myers Squibb Co. | 47,713 | |
1,202 | Pfizer, Inc. | 52,575 | |
100,288 | |||
Professional Services — 1.0% | |||
103 | ManpowerGroup, Inc. | 9,955 | |
140 | Robert Half International, Inc. | 15,830 | |
25,785 | |||
Real Estate Management & Development — 3.2% | |||
438 | CBRE Group, Inc. - Class A1 | 45,587 | |
128 | Jones Lang LaSalle, Inc.1 | 33,054 | |
78,641 | |||
Road & Rail — 1.3% | |||
866 | CSX Corp. | 31,323 | |
Semiconductors & Semiconductor Equipment — 1.7% | |||
116 | Applied Materials, Inc. | 15,851 | |
541 | Intel Corp. | 26,509 | |
42,360 | |||
Software — 1.6% | |||
283 | Oracle Corp. | 27,151 | |
169 | SS&C Technologies Holdings, Inc. | 13,431 | |
40,582 | |||
Specialty Retail — 1.0% | |||
197 | Best Buy Co., Inc. | 24,081 | |
Technology Hardware, Storage & Peripherals — 1.3% | |||
1,153 | Hewlett Packard Enterprise Co. | 16,891 |
77 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Technology Hardware, Storage & Peripherals — (Continued) | |||
544 | HP, Inc. | $ 16,500 | |
33,391 | |||
Textiles, Apparel & Luxury Goods — 1.0% | |||
630 | Tapestry, Inc. | 24,557 | |
Thrifts & Mortgage Finance — 0.5% | |||
1,101 | New York Community Bancorp, Inc. | 13,685 | |
Tobacco — 0.5% | |||
121 | Philip Morris International, Inc. | 11,439 | |
Trading Companies & Distributors — 0.8% | |||
55 | United Rentals, Inc.1 | 20,851 | |
TOTAL COMMON STOCKS (Cost $1,908,621) | 2,476,099 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.4% | |||
$10,906 | With Fixed Income Clearing Corp., dated 10/29/21, 0.00%, principal and interest in the amount of $10,906, due 11/1/21, (collateralized by a U.S. Treasury Note with a par value of $10,200, coupon rate of 0.125%, due 10/15/26, market value of $11,185) | 10,906 | |
TOTAL REPURCHASE AGREEMENT (Cost $10,906) | 10,906 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 2.0% | |||
50,738 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 50,738 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $50,738) | 50,738 | ||
TOTAL INVESTMENTS (Cost $1,970,265) | 102.0% | $2,537,743 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (2.0) | (50,608) | |
NET ASSETS | 100.0% | $2,487,135 |
* | 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. |
78 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 9.2% | $ 229,105 | |
Health Care Providers & Services | 7.5 | 187,700 | |
Machinery | 5.2 | 128,969 | |
Capital Markets | 4.9 | 121,016 | |
Food Products | 4.7 | 115,909 | |
Media | 4.7 | 115,842 | |
Insurance | 4.3 | 106,921 | |
Consumer Finance | 4.1 | 101,832 | |
Pharmaceuticals | 4.0 | 100,288 | |
Energy Equipment & Services | 3.8 | 94,755 | |
Diversified Telecommunication Services | 3.6 | 88,772 | |
Life Sciences Tools & Services | 3.3 | 82,138 | |
Real Estate Management & Development | 3.2 | 78,641 | |
Metals & Mining | 2.7 | 67,274 | |
Equity Real Estate Investment Trusts | 2.5 | 61,257 | |
IT Services | 2.3 | 57,987 | |
Multi-Utilities | 2.1 | 52,571 | |
Food & Staples Retailing | 1.7 | 42,421 | |
Semiconductors & Semiconductor Equipment | 1.7 | 42,360 | |
Software | 1.6 | 40,582 | |
Electric Utilities | 1.5 | 36,333 | |
Containers & Packaging | 1.4 | 35,017 | |
Technology Hardware, Storage & Peripherals | 1.3 | 33,391 | |
Independent Power & Renewable Electricity Producer | 1.3 | 32,669 | |
Household Durables | 1.3 | 31,681 | |
Road & Rail | 1.3 | 31,323 | |
Household Products | 1.1 | 27,311 | |
Professional Services | 1.0 | 25,785 | |
Chemicals | 1.0 | 25,736 | |
Automobiles | 1.0 | 24,749 | |
Textiles, Apparel & Luxury Goods | 1.0 | 24,557 | |
Specialty Retail | 1.0 | 24,081 | |
Electrical Equipment | 0.9 | 23,561 | |
Trading Companies & Distributors | 0.8 | 20,851 | |
Interactive Media & Service | 0.8 | 20,727 | |
Construction & Engineering | 0.8 | 20,011 | |
Communications Equipment | 0.8 | 19,534 | |
Building Products | 0.8 | 19,469 | |
Diversified Financial Services | 0.6 | 15,377 | |
Commercial Services & Supplies | 0.6 | 14,537 | |
Electronic Equipment, Instruments & Components | 0.6 | 14,006 | |
Thrifts & Mortgage Finance | 0.5 | 13,685 | |
Oil, Gas & Consumable Fuels | 0.5 | 12,127 | |
Tobacco | 0.5 | 11,439 | |
Paper & Forest Products | 0.1 | 1,802 | |
TOTAL COMMON STOCKS | 99.6% | $2,476,099 | |
REPURCHASE AGREEMENT | 0.4 | 10,906 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 2.0 | 50,738 | |
TOTAL INVESTMENTS | 102.0% | $2,537,743 |
79 |
Shares | Value | ||
COMMON STOCKS* — 99.4% | |||
Air Freight & Logistics — 0.7% | |||
127 | Atlas Air Worldwide Holdings, Inc.1 | $ 10,302 | |
Auto Components — 0.8% | |||
660 | American Axle & Manufacturing Holdings, Inc.1 | 5,993 | |
81 | Gentherm, Inc.1 | 5,964 | |
11,957 | |||
Banks — 11.1% | |||
262 | Ameris Bancorp | 13,726 | |
342 | Cadence Bank | 9,934 | |
185 | Cathay General Bancorp | 7,805 | |
519 | Central Pacific Financial Corp. | 14,267 | |
333 | Eastern Bankshares, Inc. | 6,916 | |
257 | Financial Institutions, Inc. | 8,203 | |
1,455 | First BanCorp | 19,861 | |
211 | First Financial Corp. | 9,041 | |
489 | First Foundation, Inc. | 13,012 | |
334 | Hanmi Financial Corp. | 7,412 | |
268 | Heartland Financial USA, Inc. | 13,432 | |
408 | Hilltop Holdings, Inc. | 14,460 | |
853 | Hope Bancorp, Inc. | 12,445 | |
985 | Investors Bancorp, Inc. | 15,071 | |
354 | Lakeland Bancorp, Inc. | 6,365 | |
171,950 | |||
Beverages — 0.8% | |||
739 | Primo Water Corp. | 11,750 | |
Biotechnology — 7.2% | |||
4,481 | Akebia Therapeutics, Inc.1 | 12,860 | |
375 | AnaptysBio, Inc.1 | 12,337 | |
814 | Atara Biotherapeutics, Inc.1 | 12,601 | |
2,600 | Catalyst Pharmaceuticals, Inc.1 | 15,340 | |
358 | Intercept Pharmaceuticals, Inc.1,2 | 6,036 | |
909 | Ironwood Pharmaceuticals, Inc.1 | 11,608 | |
279 | Prothena Corp. PLC1 | 15,443 | |
621 | Vanda Pharmaceuticals, Inc.1 | 10,632 | |
366 | Xencor, Inc.1 | 14,479 | |
111,336 | |||
Building Products — 2.2% | |||
1,437 | Cornerstone Building Brands, Inc.1 | 20,563 | |
263 | Griffon Corp. | 6,967 | |
337 | Quanex Building Products Corp. | 6,983 | |
34,513 | |||
Capital Markets — 2.0% | |||
344 | Cowen, Inc. - Class A | 12,979 | |
471 | Donnelley Financial Solutions, Inc.1 | 18,049 | |
31,028 | |||
Chemicals — 1.5% | |||
148 | Minerals Technologies, Inc. | 10,499 | |
218 | Trinseo PLC | 12,221 | |
22,720 | |||
Commercial Services & Supplies — 1.5% | |||
278 | ABM Industries, Inc. | 12,234 |
80 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Commercial Services & Supplies — (Continued) | |||
1,361 | ACCO Brands Corp. | $ 11,255 | |
23,489 | |||
Communications Equipment — 0.5% | |||
545 | Viavi Solutions, Inc.1 | 8,393 | |
Construction & Engineering — 0.7% | |||
214 | Primoris Services Corp. | 5,767 | |
408 | Tutor Perini Corp.1 | 5,557 | |
11,324 | |||
Consumer Finance — 1.4% | |||
1,082 | Navient Corp. | 21,315 | |
Containers & Packaging — 0.7% | |||
803 | O-I Glass, Inc.1 | 10,479 | |
Diversified Consumer Services — 1.2% | |||
316 | Adtalem Global Education, Inc.1 | 11,670 | |
220 | Stride, Inc.1 | 7,810 | |
19,480 | |||
Diversified Telecommunication Services — 0.4% | |||
294 | Ooma, Inc.1 | 6,791 | |
Electronic Equipment, Instruments & Components — 2.5% | |||
649 | Knowles Corp.1 | 13,525 | |
59 | Plexus Corp.1 | 5,152 | |
230 | Sanmina Corp.1 | 8,683 | |
528 | TTM Technologies, Inc.1 | 6,991 | |
252 | Vishay Intertechnology, Inc. | 4,843 | |
39,194 | |||
Energy Equipment & Services — 1.2% | |||
895 | Oceaneering International, Inc.1 | 12,172 | |
1,192 | Oil States International, Inc.1 | 7,224 | |
19,396 | |||
Equity Real Estate Investment Trusts — 7.7% | |||
799 | Brandywine Realty Trust REIT | 10,587 | |
479 | CareTrust REIT, Inc. | 9,939 | |
153 | Centerspace REIT | 15,490 | |
822 | City Office REIT, Inc. | 15,593 | |
382 | Corporate Office Properties Trust | 10,360 | |
82 | EastGroup Properties, Inc. | 16,218 | |
859 | GEO Group, Inc. (The) | 7,026 | |
331 | National Storage Affiliates Trust | 20,674 | |
322 | STAG Industrial, Inc. | 14,017 | |
119,904 | |||
Food & Staples Retailing — 1.1% | |||
440 | SpartanNash Co. | 10,182 | |
289 | Sprouts Farmers Market, Inc.1 | 6,398 | |
16,580 | |||
Gas Utilities — 2.3% | |||
267 | Northwest Natural Holding Co. | 12,039 | |
485 | South Jersey Industries, Inc. | 11,039 | |
177 | Southwest Gas Holdings, Inc. | 12,257 | |
35,335 |
81 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Health Care Equipment & Supplies — 2.0% | |||
180 | NuVasive, Inc.1 | $ 9,605 | |
724 | OraSure Technologies, Inc.1 | 7,725 | |
228 | Orthofix Medical, Inc.1 | 8,204 | |
212 | Varex Imaging Corp.1 | 5,692 | |
31,226 | |||
Health Care Providers & Services — 3.2% | |||
70 | ModivCare, Inc.1 | 11,394 | |
209 | Patterson Cos., Inc. | 6,534 | |
615 | Select Medical Holdings Corp. | 20,430 | |
150 | Tenet Healthcare Corp.1 | 10,749 | |
49,107 | |||
Health Care Technology — 0.6% | |||
730 | Allscripts Healthcare Solutions, Inc.1 | 10,059 | |
Hotels, Restaurants & Leisure — 1.3% | |||
687 | International Game Technology PLC1,2 | 20,260 | |
Household Durables — 2.7% | |||
199 | Century Communities, Inc. | 13,345 | |
126 | Meritage Homes Corp.1 | 13,697 | |
629 | Tri Pointe Homes, Inc.1 | 15,216 | |
42,258 | |||
Household Products — 0.3% | |||
104 | Central Garden & Pet Co.1 | 5,364 | |
Insurance — 2.3% | |||
534 | CNO Financial Group, Inc. | 12,891 | |
1,800 | Genworth Financial, Inc. - Class A1 | 7,398 | |
209 | Stewart Information Services Corp. | 14,874 | |
35,163 | |||
IT Services — 4.0% | |||
1,611 | Conduent, Inc.1 | 10,874 | |
122 | CSG Systems International, Inc. | 6,106 | |
120 | ExlService Holdings, Inc.1 | 14,716 | |
710 | Hackett Group, Inc. (The) | 15,009 | |
120 | Perficient, Inc.1 | 14,832 | |
61,537 | |||
Leisure Equipment & Products — 1.2% | |||
453 | Vista Outdoor, Inc.1 | 18,954 | |
Machinery — 2.0% | |||
217 | Altra Industrial Motion Corp. | 11,317 | |
239 | Hillenbrand, Inc. | 10,865 | |
184 | Terex Corp. | 8,243 | |
30,425 | |||
Media — 2.5% | |||
628 | Gray Television, Inc. | 14,720 | |
779 | iHeartMedia, Inc.1 | 15,097 | |
146 | Meredith Corp.1 | 8,503 | |
38,320 | |||
Metals & Mining — 2.7% | |||
629 | Alcoa Corp. | 28,902 |
82 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Metals & Mining — (Continued) | |||
420 | Commercial Metals Co. | $ 13,516 | |
42,418 | |||
Mortgage Real Estate Investment Trust — 0.9% | |||
1,027 | Great Ajax Corp. | 14,542 | |
Oil, Gas & Consumable Fuels — 2.8% | |||
706 | CVR Energy, Inc. | 13,534 | |
990 | Dorian LPG, Ltd. | 11,999 | |
527 | Teekay Tankers, Ltd. - Class A1 | 7,315 | |
363 | World Fuel Services Corp. | 11,082 | |
43,930 | |||
Paper & Forest Products — 0.5% | |||
140 | Domtar Corp.1 | 7,643 | |
Personal Products — 0.5% | |||
233 | Edgewell Personal Care Co. | 8,153 | |
Pharmaceuticals — 3.5% | |||
781 | Alder Biopharmaceuticals, Inc.1,3 | 0 | |
4,553 | Endo International PLC1 | 19,350 | |
477 | Phibro Animal Health Corp. - Class A | 10,465 | |
227 | Prestige Consumer Healthcare, Inc.1 | 13,618 | |
395 | Supernus Pharmaceuticals, Inc.1 | 11,791 | |
55,224 | |||
Professional Services — 2.8% | |||
314 | Heidrick & Struggles International, Inc. | 14,720 | |
140 | Kforce, Inc. | 9,067 | |
496 | Resources Connection, Inc. | 8,635 | |
395 | TrueBlue, Inc.1 | 11,001 | |
43,423 | |||
Real Estate Management & Development — 0.8% | |||
752 | Realogy Holdings Corp.1 | 13,025 | |
Semiconductors & Semiconductor Equipment — 3.2% | |||
471 | Amkor Technology, Inc. | 10,324 | |
288 | Axcelis Technologies, Inc.1 | 15,820 | |
192 | Kulicke & Soffa Industries, Inc. | 10,944 | |
957 | Photronics, Inc.1 | 12,432 | |
49,520 | |||
Software — 2.9% | |||
305 | ACI Worldwide, Inc.1 | 9,357 | |
602 | ChannelAdvisor Corp.1 | 15,357 | |
222 | Progress Software Corp. | 11,413 | |
479 | Xperi Holding Corp. | 8,584 | |
44,711 | |||
Specialty Retail — 2.0% | |||
190 | Abercrombie & Fitch Co. - Class A1 | 7,513 | |
62 | Group 1 Automotive, Inc. | 11,147 | |
239 | MarineMax, Inc.1 | 12,378 | |
31,038 | |||
Thrifts & Mortgage Finance — 0.9% | |||
576 | Provident Financial Services, Inc. | 14,262 |
83 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Tobacco — 0.6% | |||
250 | Turning Point Brands, Inc. | $ 9,542 | |
Trading Companies & Distributors — 4.4% | |||
182 | Beacon Roofing Supply, Inc.1 | 9,622 | |
194 | Boise Cascade Co. | 10,984 | |
1,707 | NOW, Inc.1 | 12,325 | |
215 | Rush Enterprises, Inc. - Class A | 11,197 | |
185 | WESCO International, Inc.1 | 23,969 | |
68,097 | |||
Wireless Telecommunication Services — 1.3% | |||
539 | Telephone & Data Systems, Inc. | 10,101 | |
328 | United States Cellular Corp.1 | 10,027 | |
20,128 | |||
TOTAL COMMON STOCKS (Cost $1,145,560) | 1,545,565 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.8% | |||
$12,420 | With Fixed Income Clearing Corp., dated 10/29/21, 0.00%, principal and interest in the amount of $12,420, due 11/1/21, (collateralized by a U.S. Treasury Note with a par value of $11,600, coupon rate of 0.125%, due 10/15/26, market value of $12,720) | 12,420 | |
TOTAL REPURCHASE AGREEMENT (Cost $12,420) | 12,420 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 1.7% | |||
26,965 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 26,965 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $26,965) | 26,965 | ||
TOTAL INVESTMENTS (Cost $1,184,945) | 101.9% | $1,584,950 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.9) | (29,396) | |
NET ASSETS | 100.0% | $1,555,554 |
* | 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. |
84 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 11.1% | $ 171,950 | |
Equity Real Estate Investment Trusts | 7.7 | 119,904 | |
Biotechnology | 7.2 | 111,336 | |
Trading Companies & Distributors | 4.4 | 68,097 | |
IT Services | 4.0 | 61,537 | |
Pharmaceuticals | 3.5 | 55,224 | |
Semiconductors & Semiconductor Equipment | 3.2 | 49,520 | |
Health Care Providers & Services | 3.2 | 49,107 | |
Software | 2.9 | 44,711 | |
Oil, Gas & Consumable Fuels | 2.8 | 43,930 | |
Professional Services | 2.8 | 43,423 | |
Metals & Mining | 2.7 | 42,418 | |
Household Durables | 2.7 | 42,258 | |
Electronic Equipment, Instruments & Components | 2.5 | 39,194 | |
Media | 2.5 | 38,320 | |
Gas Utilities | 2.3 | 35,335 | |
Insurance | 2.3 | 35,163 | |
Building Products | 2.2 | 34,513 | |
Health Care Equipment & Supplies | 2.0 | 31,226 | |
Specialty Retail | 2.0 | 31,038 | |
Capital Markets | 2.0 | 31,028 | |
Machinery | 2.0 | 30,425 | |
Commercial Services & Supplies | 1.5 | 23,489 | |
Chemicals | 1.5 | 22,720 | |
Consumer Finance | 1.4 | 21,315 | |
Hotels, Restaurants & Leisure | 1.3 | 20,260 | |
Wireless Telecommunication Services | 1.3 | 20,128 | |
Diversified Consumer Services | 1.2 | 19,480 | |
Energy Equipment & Services | 1.2 | 19,396 | |
Leisure Equipment & Products | 1.2 | 18,954 | |
Food & Staples Retailing | 1.1 | 16,580 | |
Mortgage Real Estate Investment Trust | 0.9 | 14,542 | |
Thrifts & Mortgage Finance | 0.9 | 14,262 | |
Real Estate Management & Development | 0.8 | 13,025 | |
Auto Components | 0.8 | 11,957 | |
Beverages | 0.8 | 11,750 | |
Construction & Engineering | 0.7 | 11,324 | |
Containers & Packaging | 0.7 | 10,479 | |
Air Freight & Logistics | 0.7 | 10,302 | |
Health Care Technology | 0.6 | 10,059 | |
Tobacco | 0.6 | 9,542 | |
Communications Equipment | 0.5 | 8,393 | |
Personal Products | 0.5 | 8,153 | |
Paper & Forest Products | 0.5 | 7,643 | |
Diversified Telecommunication Services | 0.4 | 6,791 | |
Household Products | 0.3 | 5,364 | |
TOTAL COMMON STOCKS | 99.4% | $1,545,565 | |
REPURCHASE AGREEMENT | 0.8 | 12,420 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 1.7 | 26,965 | |
TOTAL INVESTMENTS | 101.9% | $1,584,950 |
85 |
Shares | Value | ||
COMMON STOCKS* — 97.7% | |||
Japan — 22.7% | |||
37,800 | Astellas Pharma, Inc. | $ 635,776 | |
30,300 | Canon, Inc. | 680,039 | |
62,135 | Dai Nippon Printing Co, Ltd., Sponsored ADR1 | 771,717 | |
22,915 | Daito Trust Construction Co., Ltd., Sponsored ADR1 | 713,344 | |
13,200 | Daiwa House Industry Co, Ltd. | 434,422 | |
39,600 | Daiwa Securities Group, Inc. | 221,913 | |
59,600 | ENEOS Holdings, Inc. | 240,335 | |
8,596 | Fujitsu, Ltd., Unsponsored ADR1 | 298,195 | |
13,089 | Honda Motor Co., Ltd., Sponsored ADR1,2 | 387,173 | |
2,600 | KDDI Corp. | 80,481 | |
31,032 | KDDI Corp., Unsponsored ADR1 | 472,307 | |
24,700 | Mitsubishi Electric Corp. | 330,489 | |
13,979 | Nippon Telegraph & Telephone Corp., ADR | 392,530 | |
22,151 | Nitto Denko Corp., Unsponsored ADR | 866,547 | |
63,900 | Panasonic Corp. | 780,704 | |
41,500 | Renesas Electronics Corp.2 | 510,489 | |
15,900 | Seiko Epson Corp. | 282,636 | |
8,300 | SoftBank Corp. | 113,203 | |
26,819 | SoftBank Corp., Unsponsored ADR1 | 365,114 | |
42,100 | Sumitomo Chemical Co, Ltd. | 206,852 | |
8,700 | Suntory Beverage & Food, Ltd. | 337,008 | |
8,600 | Yamato Holdings Co, Ltd. | 211,048 | |
9,332,322 | |||
United Kingdom — 12.3% | |||
10,400 | Anglo American PLC | 396,031 | |
79,216 | Aviva PLC | 427,899 | |
42,270 | Barratt Developments PLC | 383,537 | |
21,471 | British American Tobacco PLC, Sponsored ADR | 749,767 | |
29,729 | GlaxoSmithKline PLC | 613,784 | |
29,000 | Imperial Brands PLC, Sponsored ADR1 | 621,760 | |
5,358 | Mondi PLC, Unsponsored ADR | 267,203 | |
5,100 | National Grid PLC, Sponsored ADR | 326,808 | |
13,918 | Schroders PLC | 689,519 | |
10,612 | Unilever PLC, Sponsored ADR | 568,591 | |
5,044,899 | |||
Canada — 10.5% | |||
5,900 | Alimentation Couche-Tard, Inc. | 221,298 | |
3,837 | Bank of Montreal | 416,352 | |
10,660 | Bank of Nova Scotia (The)1 | 698,870 | |
3,400 | Canadian Imperial Bank of Commerce | 412,555 | |
1,375 | Canadian Tire Corp, Ltd. - Class A | 195,295 | |
8,937 | Manulife Financial Corp. | 174,104 | |
19,456 | Manulife Financial Corp.1 | 379,197 | |
10,181 | Royal Bank of Canada1 | 1,058,926 | |
2,500 | Thomson Reuters Corp. | 300,723 | |
6,600 | Toronto-Dominion Bank (The) | 479,108 | |
4,336,428 | |||
Germany — 8.8% | |||
32,149 | Brenntag SE, Unsponsored ADR | 612,439 | |
29,725 | Daimler AG, Unsponsored ADR | 736,288 | |
633 | Deutsche Boerse AG | 105,079 | |
36,825 | Deutsche Boerse AG, Unsponsored ADR | 610,190 | |
4,939 | Deutsche Post AG | 305,572 | |
5,438 | Deutsche Post AG, Sponsored ADR | 337,917 | |
2,600 | HeidelbergCement AG | 195,785 |
86 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Germany — (Continued) | |||
1,800 | SAP SE | $ 260,766 | |
2,800 | Siemens AG | 454,058 | |
3,618,094 | |||
France — 8.8% | |||
1,600 | Arkema SA | 218,623 | |
4,451 | Capgemini SE | 1,035,760 | |
2,900 | Cie de Saint-Gobain | 199,669 | |
1,713 | Cie Generale des Etablissements Michelin SCA | 268,717 | |
425 | LVMH Moet Hennessy Louis Vuitton SE | 332,708 | |
3,795 | Publicis Groupe SA | 254,184 | |
7,582 | Sanofi | 757,541 | |
9,056 | Schneider Electric SE, Unsponsored ADR1 | 312,341 | |
4,690 | TotalEnergies SE, Sponsored ADR | 235,137 | |
3,614,680 | |||
Switzerland — 7.7% | |||
32,310 | ABB, Ltd., Sponsored ADR1 | 1,067,522 | |
14,312 | Adecco Group AG, Unsponsored ADR | 360,376 | |
52,536 | Holcim, Ltd., ADR1 | 521,945 | |
7,164 | Novartis AG, Sponsored ADR | 592,893 | |
1,400 | Swatch Group AG (The) | 384,098 | |
416 | Swisscom AG | 226,447 | |
3,153,281 | |||
Sweden — 5.4% | |||
18,116 | Electrolux AB1 | 411,133 | |
46,038 | SKF AB, Sponsored ADR1 | 1,069,463 | |
33,800 | Swedbank AB | 732,989 | |
2,213,585 | |||
Australia — 4.2% | |||
226,388 | Medibank Pvt, Ltd. | 565,397 | |
24,708 | Sonic Healthcare, Ltd., Sponsored ADR | 748,653 | |
47,126 | Suncorp Group, Ltd. | 415,480 | |
1,729,530 | |||
Spain — 3.5% | |||
12,600 | Enagas SA | 282,645 | |
22,791 | Red Electrica Corp. SA | 474,499 | |
54,587 | Repsol SA | 697,662 | |
1,454,806 | |||
Denmark — 3.0% | |||
28,107 | Carlsberg AS, Sponsored ADR | 933,433 | |
2,600 | Novo Nordisk AS | 284,566 | |
1,217,999 | |||
Netherlands — 2.5% | |||
11,419 | Akzo Nobel N.V., Sponsored ADR | 439,974 | |
18,605 | Koninklijke Ahold Delhaize N.V., Sponsored ADR | 605,593 | |
1,045,567 | |||
Singapore — 1.7% | |||
1,000 | Singapore Exchange, Ltd., Unsponsored ADR | 108,210 | |
31,015 | United Overseas Bank, Ltd. | 615,240 | |
723,450 |
87 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Austria — 1.6% | |||
5,087 | OMV AG | $ 308,142 | |
9,100 | voestalpine AG | 345,463 | |
653,605 | |||
Hong Kong — 1.5% | |||
9,488 | BOC Hong Kong Holdings, Ltd., Sponsored ADR1 | 608,655 | |
Israel — 1.0% | |||
47,200 | ICL Group, Ltd. - Class G | 403,482 | |
Cayman Islands — 1.0% | |||
64,300 | CK Asset Holdings, Ltd. | 397,097 | |
Norway — 0.8% | |||
6,100 | Yara International ASA | 318,290 | |
Italy — 0.7% | |||
48,060 | Snam SpA | 272,064 | |
TOTAL COMMON STOCKS (Cost $35,866,016) | 40,137,834 | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 6.8% | |||
2,786,439 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 2,786,439 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $2,786,439) | 2,786,439 | ||
Face Amount | |||
REPURCHASE AGREEMENT*—0.3% | |||
$ 123,409 | With Fixed Income Clearing Corp., dated 10/29/21, 0.00%, principal and interest in the amount of $123,409, due 11/1/21, (collateralized by a a U.S. Treasury Note with a par value of $114,800, coupon rate of 0.125%, due 10/15/26, market value of $125,884) | 123,409 | |
TOTAL REPURCHASE AGREEMENT (Cost $123,409) | 123,409 | ||
TOTAL INVESTMENTS (Cost $38,775,864) | 104.8% | $43,047,682 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (4.8) | (1,978,550) | |
NET ASSETS | 100.0% | $41,069,132 |
* | 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 |
88 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 12.3% | $ 5,022,695 | |
Pharmaceuticals | 6.9 | 2,884,560 | |
Chemicals | 5.9 | 2,453,768 | |
Insurance | 4.7 | 1,962,077 | |
Capital Markets | 4.2 | 1,734,911 | |
Electrical Equipment | 4.2 | 1,710,352 | |
Household Durables | 3.8 | 1,575,374 | |
Real Estate Management & Development | 3.8 | 1,544,863 | |
Oil, Gas & Consumable Fuels | 3.7 | 1,481,276 | |
Tobacco | 3.3 | 1,371,527 | |
IT Services | 3.2 | 1,333,955 | |
Beverages | 3.1 | 1,270,441 | |
Automobiles | 2.7 | 1,123,461 | |
Machinery | 2.6 | 1,069,463 | |
Diversified Telecommunication Services | 2.5 | 984,091 | |
Technology Hardware, Storage & Peripherals | 2.4 | 962,675 | |
Air Freight & Logistics | 2.0 | 854,537 | |
Food & Staples Retailing | 2.0 | 826,891 | |
Commercial Services & Supplies | 1.9 | 771,717 | |
Health Care Providers & Services | 1.8 | 748,653 | |
Metals & Mining | 1.8 | 741,494 | |
Construction Materials | 1.8 | 717,730 | |
Textiles, Apparel & Luxury Goods | 1.7 | 716,806 | |
Wireless Telecommunication Services | 1.7 | 665,991 | |
Professional Services | 1.6 | 661,099 | |
Trading Companies & Distributors | 1.5 | 612,439 | |
Personal Products | 1.4 | 568,591 | |
Gas Utilities | 1.4 | 554,709 | |
Semiconductors & Semiconductor Equipment | 1.2 | 510,489 | |
Electric Utilities | 1.1 | 474,499 | |
Industrial Conglomerates | 1.1 | 454,058 | |
Multi-Utilities | 0.8 | 326,808 | |
Auto Components | 0.7 | 268,717 | |
Paper & Forest Products | 0.7 | 267,203 | |
Software | 0.6 | 260,766 | |
Media | 0.6 | 254,184 | |
Building Products | 0.5 | 199,669 | |
Multi-line Retail | 0.5 | 195,295 | |
TOTAL COMMON STOCKS | 97.7% | $40,137,834 | |
REPURCHASE AGREEMENT | 0.3 | 123,409 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 6.8 | 2,786,439 | |
TOTAL INVESTMENTS | 104.8% | $43,047,682 |
89 |
Shares | Value | ||
COMMON STOCKS* — 99.2% | |||
Auto Components — 1.3% | |||
9,747 | BorgWarner, Inc. | $ 439,297 | |
Banks — 5.9% | |||
4,525 | Citigroup, Inc. | 312,949 | |
3,549 | Citizens Financial Group, Inc. | 168,151 | |
2,216 | East West Bancorp, Inc. | 176,128 | |
23,006 | Regions Financial Corp. | 544,782 | |
11,598 | Zions Bancorp N.A. | 730,558 | |
1,932,568 | |||
Biotechnology — 1.0% | |||
1,637 | Amgen, Inc. | 338,810 | |
Building Products — 1.0% | |||
6,318 | Carrier Global Corp. | 329,989 | |
Capital Markets — 3.2% | |||
3,019 | Bank of New York Mellon Corp. (The) | 178,725 | |
3,829 | Janus Henderson Group PLC | 178,048 | |
1,864 | State Street Corp. | 183,697 | |
2,393 | T Rowe Price Group, Inc. | 518,994 | |
1,059,464 | |||
Chemicals — 2.4% | |||
4,745 | Corteva, Inc. | 204,747 | |
2,811 | Dow, Inc. | 157,332 | |
4,447 | LyondellBasell Industries N.V. - Class A | 412,770 | |
774,849 | |||
Commercial Services & Supplies — 0.9% | |||
2,249 | Republic Services, Inc., Class A | 302,715 | |
Communications Equipment — 1.8% | |||
6,458 | Ciena Corp.1 | 350,605 | |
1,224 | F5 Networks, Inc.1 | 258,447 | |
609,052 | |||
Consumer Finance — 2.8% | |||
9,262 | Ally Financial, Inc. | 442,168 | |
10,035 | Synchrony Financial | 466,126 | |
908,294 | |||
Containers & Packaging — 1.2% | |||
8,196 | International Paper Co. | 407,095 | |
Diversified Telecommunication Services — 1.5% | |||
9,234 | Verizon Communications, Inc. | 489,310 | |
Electronic Equipment, Instruments & Components — 2.1% | |||
5,577 | Corning, Inc. | 198,374 | |
5,682 | Trimble, Inc.1 | 496,436 | |
694,810 | |||
Energy Equipment & Services — 1.1% | |||
15,096 | Baker Hughes Co., Class A | 378,608 | |
Entertainment — 2.0% | |||
6,342 | Activision Blizzard, Inc. | 495,881 | |
1,075 | Electronic Arts, Inc. | 150,769 | |
646,650 |
90 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Equity Real Estate Investment Trusts — 0.8% | |||
994 | American Tower Corp. | $ 280,278 | |
Food & Staples Retailing — 1.6% | |||
12,793 | Kroger Co. (The) | 511,976 | |
Food Products — 3.7% | |||
8,143 | General Mills, Inc. | 503,237 | |
5,082 | Kellogg Co. | 311,527 | |
4,862 | Tyson Foods, Inc. - Class A | 388,814 | |
1,203,578 | |||
Health Care Providers & Services — 3.3% | |||
1,152 | Anthem, Inc. | 501,270 | |
1,426 | Cigna Corp. | 304,608 | |
574 | Humana, Inc. | 265,854 | |
1,071,732 | |||
Health Care Technology — 0.9% | |||
4,036 | Cerner Corp. | 299,835 | |
Household Durables — 0.5% | |||
32 | NVR, Inc.1 | 156,634 | |
Household Products — 0.9% | |||
3,698 | Colgate-Palmolive Co. | 281,751 | |
Independent Power & Renewable Electricity Producer — 1.3% | |||
17,153 | AES Corp. (The) | 431,055 | |
Insurance — 2.3% | |||
2,336 | First American Financial Corp. | 170,855 | |
9,094 | MetLife, Inc. | 571,103 | |
741,958 | |||
Interactive Media & Service — 2.5% | |||
276 | Alphabet, Inc. - Class A1 | 817,214 | |
Internet & Direct Marketing Retail — 2.2% | |||
9,492 | eBay, Inc. | 728,226 | |
IT Services — 6.2% | |||
1,087 | Accenture PLC - Class A | 390,005 | |
2,449 | Automatic Data Processing, Inc. | 549,776 | |
2,813 | Cognizant Technology Solutions Corp. - Class A | 219,667 | |
1,223 | Fiserv, Inc.1 | 120,453 | |
816 | Gartner, Inc.1 | 270,839 | |
2,149 | PayPal Holdings, Inc.1 | 499,836 | |
2,050,576 | |||
Life Sciences Tools & Services — 5.1% | |||
1,700 | Agilent Technologies, Inc. | 267,733 | |
487 | Charles River Laboratories International, Inc.1 | 218,507 | |
245 | Mettler-Toledo International, Inc.1 | 362,816 | |
877 | Thermo Fisher Scientific, Inc. | 555,202 | |
732 | Waters Corp.1 | 269,047 | |
1,673,305 | |||
Machinery — 3.3% | |||
1,372 | Cummins, Inc. | 329,060 | |
1,040 | IDEX Corp. | 231,473 | |
2,100 | Oshkosh Corp. | 224,700 |
91 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Machinery — (Continued) | |||
1,460 | Snap-on, Inc. | $ 296,716 | |
1,081,949 | |||
Media — 3.9% | |||
6,266 | Discovery, Inc. - Class C1 | 141,361 | |
14,762 | Interpublic Group of Cos., Inc. (The) | 539,847 | |
11,253 | New York Times Co. (The) - Class A | 614,301 | |
1,295,509 | |||
Metals & Mining — 0.5% | |||
1,600 | Nucor Corp. | 178,640 | |
Multi-Utilities — 1.1% | |||
14,181 | NiSource, Inc. | 349,845 | |
Oil, Gas & Consumable Fuels — 0.8% | |||
2,358 | Chevron Corp. | 269,967 | |
Paper & Forest Products — 0.1% | |||
745 | Sylvamo Corp.1 | 20,979 | |
Professional Services — 1.2% | |||
3,798 | Leidos Holdings, Inc. | 379,724 | |
Real Estate Management & Development — 3.5% | |||
6,194 | CBRE Group, Inc. - Class A1 | 644,672 | |
1,940 | Jones Lang LaSalle, Inc.1 | 500,966 | |
1,145,638 | |||
Road & Rail — 1.1% | |||
4,668 | CSX Corp. | 168,841 | |
3,136 | Knight-Swift Transportation Holdings, Inc. | 177,780 | |
346,621 | |||
Semiconductors & Semiconductor Equipment — 4.3% | |||
6,245 | Applied Materials, Inc. | 853,379 | |
4,786 | Intel Corp. | 234,514 | |
2,018 | Skyworks Solutions, Inc. | 337,269 | |
1,425,162 | |||
Software — 9.1% | |||
1,020 | Adobe, Inc.1 | 663,367 | |
4,176 | Cadence Design Systems, Inc.1 | 722,907 | |
2,184 | Fortinet, Inc.1 | 734,567 | |
2,155 | Microsoft Corp. | 714,641 | |
512 | Synopsys, Inc.1 | 170,588 | |
3,006,070 | |||
Specialty Retail — 4.5% | |||
4,774 | Best Buy Co., Inc. | 583,574 | |
1,906 | Lowe’s Cos., Inc. | 445,661 | |
2,455 | Williams-Sonoma, Inc. | 455,967 | |
1,485,202 | |||
Technology Hardware, Storage & Peripherals — 3.1% | |||
5,098 | Dell Technologies, Inc. - Class C1 | 560,729 | |
14,636 | HP, Inc. | 443,910 | |
1,004,639 | |||
Textiles, Apparel & Luxury Goods — 1.9% | |||
1,728 | Carter’s, Inc. | 170,242 |
92 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Textiles, Apparel & Luxury Goods — (Continued) | |||
1,460 | PVH Corp.1 | $ 159,622 | |
2,282 | Ralph Lauren Corp., Class A | 290,202 | |
620,066 | |||
Trading Companies & Distributors — 1.3% | |||
1,140 | United Rentals, Inc.1 | 432,185 | |
TOTAL COMMON STOCKS (Cost $22,256,122) | 32,601,825 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.8% | |||
$252,633 | With Fixed Income Clearing Corp., dated 10/29/21, 0.00%, principal and interest in the amount of $252,633, due 11/1/21, (collateralized by a U.S. Treasury Note with a par value of $235,000, coupon rate of 0.125%, due 10/15/26, market value of $257,689) | 252,633 | |
TOTAL REPURCHASE AGREEMENT (Cost $252,633) | 252,633 | ||
TOTAL INVESTMENTS (Cost $22,508,755) | 100.0% | $32,854,458 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.0 | 6,904 | |
NET ASSETS | 100.0% | $32,861,362 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
93 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 9.1% | $ 3,006,070 | |
IT Services | 6.2 | 2,050,576 | |
Banks | 5.9 | 1,932,568 | |
Life Sciences Tools & Services | 5.1 | 1,673,305 | |
Specialty Retail | 4.5 | 1,485,202 | |
Semiconductors & Semiconductor Equipment | 4.3 | 1,425,162 | |
Media | 3.9 | 1,295,509 | |
Food Products | 3.7 | 1,203,578 | |
Real Estate Management & Development | 3.5 | 1,145,638 | |
Machinery | 3.3 | 1,081,949 | |
Health Care Providers & Services | 3.3 | 1,071,732 | |
Capital Markets | 3.2 | 1,059,464 | |
Technology Hardware, Storage & Peripherals | 3.1 | 1,004,639 | |
Consumer Finance | 2.8 | 908,294 | |
Interactive Media & Service | 2.5 | 817,214 | |
Chemicals | 2.4 | 774,849 | |
Insurance | 2.3 | 741,958 | |
Internet & Direct Marketing Retail | 2.2 | 728,226 | |
Electronic Equipment, Instruments & Components | 2.1 | 694,810 | |
Entertainment | 2.0 | 646,650 | |
Textiles, Apparel & Luxury Goods | 1.9 | 620,066 | |
Communications Equipment | 1.8 | 609,052 | |
Food & Staples Retailing | 1.6 | 511,976 | |
Diversified Telecommunication Services | 1.5 | 489,310 | |
Auto Components | 1.3 | 439,297 | |
Trading Companies & Distributors | 1.3 | 432,185 | |
Independent Power & Renewable Electricity Producer | 1.3 | 431,055 | |
Containers & Packaging | 1.2 | 407,095 | |
Professional Services | 1.2 | 379,724 | |
Energy Equipment & Services | 1.1 | 378,608 | |
Multi-Utilities | 1.1 | 349,845 | |
Road & Rail | 1.1 | 346,621 | |
Biotechnology | 1.0 | 338,810 | |
Building Products | 1.0 | 329,989 | |
Commercial Services & Supplies | 0.9 | 302,715 | |
Health Care Technology | 0.9 | 299,835 | |
Household Products | 0.9 | 281,751 | |
Equity Real Estate Investment Trusts | 0.8 | 280,278 | |
Oil, Gas & Consumable Fuels | 0.8 | 269,967 | |
Metals & Mining | 0.5 | 178,640 | |
Household Durables | 0.5 | 156,634 | |
Paper & Forest Products | 0.1 | 20,979 | |
TOTAL COMMON STOCKS | 99.2% | $32,601,825 | |
REPURCHASE AGREEMENT | 0.8 | 252,633 | |
TOTAL INVESTMENTS | 100.0% | $32,854,458 |
94 |
Shares | Value | ||
COMMON STOCKS* — 99.3% | |||
Aerospace & Defense — 2.4% | |||
1,875 | General Dynamics Corp. | $ 380,156 | |
784 | Northrop Grumman Corp. | 280,061 | |
660,217 | |||
Auto Components — 0.5% | |||
3,273 | BorgWarner, Inc. | 147,514 | |
Banks — 5.4% | |||
2,716 | Citigroup, Inc. | 187,838 | |
16,220 | Citizens Financial Group, Inc. | 768,504 | |
23,345 | KeyCorp | 543,238 | |
1,499,580 | |||
Beverages — 0.5% | |||
2,448 | Coca-Cola Co. (The) | 137,994 | |
Biotechnology — 1.0% | |||
1,343 | Amgen, Inc. | 277,961 | |
Building Products — 1.2% | |||
3,507 | Owens Corning | 327,589 | |
Capital Markets — 3.2% | |||
1,782 | Raymond James Financial, Inc. | 175,687 | |
3,258 | T Rowe Price Group, Inc. | 706,595 | |
882,282 | |||
Chemicals — 3.6% | |||
9,585 | Dow, Inc. | 536,472 | |
4,525 | Eastman Chemical Co. | 470,736 | |
1,007,208 | |||
Communications Equipment — 1.5% | |||
6,600 | Ciena Corp.1 | 358,314 | |
325 | F5 Networks, Inc.1 | 68,624 | |
426,938 | |||
Consumer Finance — 3.2% | |||
8,826 | Ally Financial, Inc. | 421,353 | |
10,078 | Synchrony Financial | 468,123 | |
889,476 | |||
Containers & Packaging — 0.5% | |||
7,400 | Graphic Packaging Holding Co. | 147,482 | |
Diversified Consumer Services — 0.8% | |||
3,101 | Service Corp. International | 212,388 | |
Diversified Telecommunication Services — 2.0% | |||
10,593 | Verizon Communications, Inc. | 561,323 | |
Electric Utilities — 1.0% | |||
4,700 | Southern Co. (The) | 292,904 | |
Energy Equipment & Services — 1.2% | |||
13,337 | Baker Hughes Co., Class A | 334,492 | |
Equity Real Estate Investment Trusts — 4.5% | |||
1,343 | American Tower Corp. | 378,686 | |
3,322 | Equity Lifestyle Properties, Inc. | 280,742 | |
19,995 | VICI Properties, Inc.2 | 586,853 | |
1,246,281 |
95 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Food & Staples Retailing — 1.5% | |||
10,592 | Kroger Co. (The) | $ 423,892 | |
Food Products — 2.8% | |||
10,084 | General Mills, Inc. | 623,191 | |
838 | Hershey Co. (The) | 146,944 | |
770,135 | |||
Gas Utilities — 1.4% | |||
9,175 | UGI Corp. | 398,287 | |
Health Care Providers & Services — 4.4% | |||
326 | Anthem, Inc. | 141,852 | |
3,090 | CVS Health Corp. | 275,875 | |
1,416 | Humana, Inc. | 655,835 | |
1,145 | Quest Diagnostics, Inc. | 168,063 | |
1,241,625 | |||
Household Products — 0.9% | |||
1,785 | Procter & Gamble Co. (The) | 255,237 | |
Insurance — 2.4% | |||
1,663 | Allstate Corp. (The) | 205,663 | |
5,019 | MetLife, Inc. | 315,193 | |
6,100 | Unum Group | 155,367 | |
676,223 | |||
Interactive Media & Services — 5.2% | |||
278 | Alphabet, Inc. - Class A1 | 823,136 | |
1,910 | Meta Platforms, Inc. - Class A1 | 618,019 | |
1,441,155 | |||
Internet & Direct Marketing Retail — 0.8% | |||
3,000 | eBay, Inc. | 230,160 | |
IT Services — 6.6% | |||
1,714 | Accenture PLC - Class A | 614,966 | |
5,377 | Akamai Technologies, Inc.1 | 567,058 | |
2,111 | Cognizant Technology Solutions Corp. - Class A | 164,848 | |
2,071 | PayPal Holdings, Inc.1 | 481,694 | |
1,828,566 | |||
Leisure Product — 0.5% | |||
1,659 | Brunswick Corp. | 154,436 | |
Life Sciences Tools & Services — 2.4% | |||
1,470 | Agilent Technologies, Inc. | 231,510 | |
1,161 | Waters Corp.1 | 426,726 | |
658,236 | |||
Machinery — 2.2% | |||
2,512 | Cummins, Inc. | 602,478 | |
Media — 3.6% | |||
2,592 | Comcast Corp. - Class A | 133,307 | |
17,864 | Interpublic Group of Cos., Inc. (The) | 653,286 | |
3,303 | Omnicom Group, Inc. | 224,868 | |
1,011,461 | |||
Multi-line Retail — 1.3% | |||
1,359 | Target Corp. | 352,824 |
96 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Oil, Gas & Consumable Fuels — 0.6% | |||
1,399 | Chevron Corp. | $ 160,172 | |
Pharmaceuticals — 2.2% | |||
4,697 | AstraZeneca PLC, Sponsored ADR | 292,999 | |
2,425 | Jazz Pharmaceuticals PLC1 | 322,622 | |
615,621 | |||
Professional Services — 2.1% | |||
6,752 | Booz Allen Hamilton Holding Corp. | 586,479 | |
Road & Rail — 1.1% | |||
558 | Norfolk Southern Corp. | 163,522 | |
1,638 | XPO Logistics, Inc.1 | 140,540 | |
304,062 | |||
Semiconductors & Semiconductor Equipment — 4.5% | |||
5,298 | Applied Materials, Inc. | 723,972 | |
7,476 | Intel Corp. | 366,324 | |
1,232 | Teradyne, Inc. | 170,311 | |
1,260,607 | |||
Software — 8.4% | |||
1,878 | Dolby Laboratories, Inc. - Class A | 165,921 | |
16,668 | Dropbox, Inc. - Class A1 | 508,207 | |
984 | Fortinet, Inc.1 | 330,959 | |
2,712 | Microsoft Corp. | 899,354 | |
4,578 | Oracle Corp. | 439,213 | |
2,343,654 | |||
Specialty Retail — 3.3% | |||
5,434 | Best Buy Co., Inc. | 664,252 | |
2,015 | Dick’s Sporting Goods, Inc. | 250,283 | |
914,535 | |||
Technology Hardware, Storage & Peripherals — 5.8% | |||
2,911 | Dell Technologies, Inc. - Class C1 | 320,181 | |
33,799 | Hewlett Packard Enterprise Co. | 495,155 | |
8,993 | NetApp, Inc. | 803,075 | |
1,618,411 | |||
Textiles, Apparel & Luxury Goods — 2.8% | |||
5,006 | PVH Corp.1 | 547,306 | |
1,838 | Ralph Lauren Corp., Class A | 233,739 | |
781,045 | |||
TOTAL COMMON STOCKS (Cost $20,891,396) | 27,680,930 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 1.0% | |||
$282,217 | With Fixed Income Clearing Corp., dated 10/29/21, 0.00%, principal and interest in the amount of $282,217, due 11/1/21, (collateralized by a U.S. Treasury Note with a par value of $262,600, coupon rate of 0.125%, due 10/15/26, market value of $287,954) | 282,217 | |
TOTAL REPURCHASE AGREEMENT (Cost $282,217) | 282,217 |
97 |
Shares | Value | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 2.2% | |||
614,846 | State Street Navigator Securities Lending Government Money Market Portfolio3 | $ 614,846 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $614,846) | 614,846 | ||
TOTAL INVESTMENTS (Cost $21,788,459) | 102.5% | $28,577,993 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (2.5) | (691,125) | |
NET ASSETS | 100.0% | $27,886,868 |
* | 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 |
98 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 8.4% | $ 2,343,654 | |
IT Services | 6.6 | 1,828,566 | |
Technology Hardware, Storage & Peripherals | 5.8 | 1,618,411 | |
Banks | 5.4 | 1,499,580 | |
Interactive Media & Services | 5.2 | 1,441,155 | |
Semiconductors & Semiconductor Equipment | 4.5 | 1,260,607 | |
Equity Real Estate Investment Trusts | 4.5 | 1,246,281 | |
Health Care Providers & Services | 4.4 | 1,241,625 | |
Media | 3.6 | 1,011,461 | |
Chemicals | 3.6 | 1,007,208 | |
Specialty Retail | 3.3 | 914,535 | |
Consumer Finance | 3.2 | 889,476 | |
Capital Markets | 3.2 | 882,282 | |
Textiles, Apparel & Luxury Goods | 2.8 | 781,045 | |
Food Products | 2.8 | 770,135 | |
Insurance | 2.4 | 676,223 | |
Aerospace & Defense | 2.4 | 660,217 | |
Life Sciences Tools & Services | 2.4 | 658,236 | |
Pharmaceuticals | 2.2 | 615,621 | |
Machinery | 2.2 | 602,478 | |
Professional Services | 2.1 | 586,479 | |
Diversified Telecommunication Services | 2.0 | 561,323 | |
Communications Equipment | 1.5 | 426,938 | |
Food & Staples Retailing | 1.5 | 423,892 | |
Gas Utilities | 1.4 | 398,287 | |
Multi-line Retail | 1.3 | 352,824 | |
Energy Equipment & Services | 1.2 | 334,492 | |
Building Products | 1.2 | 327,589 | |
Road & Rail | 1.1 | 304,062 | |
Electric Utilities | 1.0 | 292,904 | |
Biotechnology | 1.0 | 277,961 | |
Household Products | 0.9 | 255,237 | |
Internet & Direct Marketing Retail | 0.8 | 230,160 | |
Diversified Consumer Services | 0.8 | 212,388 | |
Oil, Gas & Consumable Fuels | 0.6 | 160,172 | |
Leisure Product | 0.5 | 154,436 | |
Auto Components | 0.5 | 147,514 | |
Containers & Packaging | 0.5 | 147,482 | |
Beverages | 0.5 | 137,994 | |
TOTAL COMMON STOCKS | 99.3% | $27,680,930 | |
REPURCHASE AGREEMENT | 1.0 | 282,217 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 2.2 | 614,846 | |
TOTAL INVESTMENTS | 102.5% | $28,577,993 |
99 |
Shares | Value | ||
COMMON STOCKS* — 97.7% | |||
Air Freight & Logistics — 2.8% | |||
9,980 | Expeditors International of Washington, Inc. | $ 1,230,135 | |
7,240 | Hub Group, Inc. - Class A1 | 568,847 | |
1,798,982 | |||
Banks — 5.6% | |||
19,900 | Bank OZK | 888,933 | |
14,060 | East West Bancorp, Inc. | 1,117,489 | |
78,220 | FNB Corp. | 911,263 | |
31,260 | Umpqua Holdings Corp. | 639,267 | |
3,556,952 | |||
Beverages — 0.9% | |||
6,380 | Monster Beverage Corp.1 | 542,300 | |
Biotechnology — 1.2% | |||
34,500 | Exelixis, Inc.1 | 742,095 | |
Capital Markets — 4.6% | |||
30,360 | Federated Hermes, Inc.2 | 1,011,292 | |
10,414 | Franklin Resources, Inc.2 | 327,937 | |
19,480 | Invesco, Ltd.2 | 494,987 | |
14,790 | Stifel Financial Corp.2 | 1,077,747 | |
2,911,963 | |||
Chemicals — 2.9% | |||
13,200 | Dow, Inc. | 738,804 | |
16,720 | Mosaic Co. (The) | 695,050 | |
6,420 | Olin Corp. | 365,812 | |
1,799,666 | |||
Commercial Services & Supplies — 1.0% | |||
4,720 | Republic Services, Inc., Class A | 635,312 | |
Communications Equipment — 0.5% | |||
6,080 | Ciena Corp.1 | 330,083 | |
Construction & Engineering — 3.1% | |||
10,200 | AECOM1,2 | 697,374 | |
10,360 | EMCOR Group, Inc.2 | 1,258,636 | |
1,956,010 | |||
Consumer Finance — 3.0% | |||
13,480 | Ally Financial, Inc.2 | 643,535 | |
51,840 | SLM Corp.2 | 951,264 | |
6,420 | Synchrony Financial2 | 298,209 | |
1,893,008 | |||
Distributors — 1.6% | |||
18,600 | LKQ Corp.1 | 1,024,488 | |
Diversified Consumer Services — 2.7% | |||
21,340 | Adtalem Global Education, Inc.1 | 788,086 | |
21,080 | H&R Block, Inc. | 486,316 | |
6,660 | Service Corp. International | 456,143 | |
1,730,545 | |||
Diversified Financial Services — 1.1% | |||
10,160 | Voya Financial, Inc.2 | 708,863 | |
Diversified Telecommunication Services — 0.5% | |||
6,200 | Verizon Communications, Inc. | 328,538 |
100 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electrical Equipment — 1.1% | |||
20,280 | nVent Electric PLC2 | $ 718,926 | |
Electronic Equipment, Instruments & Components — 3.4% | |||
7,840 | Arrow Electronics, Inc.1 | 907,480 | |
20,960 | Jabil, Inc. | 1,256,762 | |
2,164,242 | |||
Energy Equipment & Services — 1.3% | |||
32,560 | Baker Hughes Co., Class A | 816,605 | |
Entertainment — 1.1% | |||
8,920 | Activision Blizzard, Inc. | 697,455 | |
Equity Real Estate Investment Trusts — 7.7% | |||
4,540 | Agree Realty Corp.2 | 322,612 | |
9,960 | Gaming and Leisure Properties, Inc.2 | 482,961 | |
11,720 | Highwoods Properties, Inc.2 | 525,525 | |
17,940 | Invitation Homes, Inc.2 | 740,025 | |
25,960 | Medical Properties Trust, Inc.2 | 553,727 | |
35,900 | Omega Healthcare Investors, Inc.2 | 1,054,024 | |
40,720 | VICI Properties, Inc.2 | 1,195,132 | |
4,874,006 | |||
Food & Staples Retailing — 2.3% | |||
19,084 | Kroger Co. (The) | 763,742 | |
30,560 | Sprouts Farmers Market, Inc.1,3 | 676,598 | |
1,440,340 | |||
Food Products — 1.9% | |||
9,200 | General Mills, Inc. | 568,560 | |
7,620 | Tyson Foods, Inc. - Class A | 609,371 | |
1,177,931 | |||
Gas Utilities — 0.7% | |||
12,180 | New Jersey Resources Corp. | 460,526 | |
Health Care Equipment & Supplies — 0.9% | |||
10,100 | Dentsply Sirona, Inc. | 577,821 | |
Health Care Providers & Services — 2.7% | |||
15,230 | Centene Corp.1 | 1,084,985 | |
7,000 | CVS Health Corp. | 624,960 | |
1,709,945 | |||
Hotels, Restaurants & Leisure — 1.9% | |||
41,580 | International Game Technology PLC1,3 | 1,226,194 | |
Household Durables — 1.7% | |||
22,900 | PulteGroup, Inc. | 1,101,032 | |
Insurance — 4.1% | |||
8,580 | American International Group, Inc. | 506,992 | |
14,160 | Brown & Brown, Inc. | 893,638 | |
6,400 | Fidelity National Financial, Inc. | 306,624 | |
35,320 | Old Republic International Corp. | 912,316 | |
2,619,570 | |||
Internet & Direct Marketing Retail — 2.1% | |||
17,660 | eBay, Inc. | 1,354,875 | |
IT Services — 4.1% | |||
16,360 | Amdocs, Ltd. | 1,273,462 |
101 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
IT Services — (Continued) | |||
26,180 | Genpact, Ltd. | $ 1,291,983 | |
2,565,445 | |||
Machinery — 2.9% | |||
16,080 | Hillenbrand, Inc.2 | 730,997 | |
6,540 | Ingersoll Rand, Inc.1,2 | 351,590 | |
9,900 | Pentair PLC2 | 732,303 | |
1,814,890 | |||
Media — 2.0% | |||
14,008 | Comcast Corp. - Class A | 720,432 | |
22,480 | Discovery, Inc. - Class A1 | 526,931 | |
1,247,363 | |||
Metals & Mining — 3.3% | |||
29,500 | Commercial Metals Co. | 949,310 | |
7,980 | Reliance Steel & Aluminum Co. | 1,166,357 | |
2,115,667 | |||
Multi-Utilities — 0.6% | |||
12,780 | MDU Resources Group, Inc. | 392,729 | |
Oil, Gas & Consumable Fuels — 1.7% | |||
26,213 | Devon Energy Corp. | 1,050,617 | |
Paper & Forest Products — 1.1% | |||
10,740 | Louisiana-Pacific Corp. | 632,908 | |
1,098 | Sylvamo Corp.1 | 30,920 | |
663,828 | |||
Pharmaceuticals — 1.8% | |||
26,260 | Pfizer, Inc. | 1,148,612 | |
Professional Services — 1.7% | |||
8,880 | ASGN, Inc.1 | 1,062,581 | |
Road & Rail — 0.7% | |||
7,540 | Knight-Swift Transportation Holdings, Inc. | 427,443 | |
Semiconductors & Semiconductor Equipment — 3.0% | |||
46,700 | Amkor Technology, Inc. | 1,023,664 | |
5,880 | Diodes, Inc.1 | 565,009 | |
6,160 | Intel Corp. | 301,840 | |
1,890,513 | |||
Software — 4.3% | |||
40,941 | Dropbox, Inc. - Class A1 | 1,248,291 | |
5,840 | Oracle Corp. | 560,290 | |
11,320 | SS&C Technologies Holdings, Inc. | 899,600 | |
2,708,181 | |||
Specialty Retail — 0.6% | |||
2,980 | Best Buy Co., Inc. | 364,275 | |
Technology Hardware, Storage & Peripherals — 0.9% | |||
38,600 | Hewlett Packard Enterprise Co. | 565,490 | |
Thrifts & Mortgage Finance — 2.0% | |||
77,260 | MGIC Investment Corp. | 1,248,522 | |
Trading Companies & Distributors — 1.2% | |||
14,780 | Rush Enterprises, Inc. - Class A2 | 769,742 |
102 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Wireless Telecommunication Services — 1.4% | |||
16,860 | Telephone & Data Systems, Inc. | $ 315,956 | |
17,840 | United States Cellular Corp.1 | 545,369 | |
861,325 | |||
TOTAL COMMON STOCKS (Cost $42,447,636) | 61,795,496 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.2% | |||
$132,067 | With Fixed Income Clearing Corp., dated 10/29/21, 0.00%, principal and interest in the amount of $132,067, due 11/1/21, (collateralized by a U.S. Treasury Note with a par value of $122,900, coupon rate of 0.125%, due 10/15/26, market value of $134,766) | 132,067 | |
TOTAL REPURCHASE AGREEMENT (Cost $132,067) | 132,067 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 1.1% | |||
687,600 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 687,600 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $687,600) | 687,600 | ||
TOTAL LONG INVESTMENTS (Cost $43,267,303) | 99.0% | $ 62,615,163 | |
COMMON STOCKS SOLD SHORT* — (67.8)% | |||
Aerospace & Defense — (3.3)% | |||
(5,540) | Boeing Co. (The)1 | (1,146,946) | |
(1,480) | TransDigm Group, Inc.1 | (923,254) | |
(2,070,200) | |||
Airlines — (3.0)% | |||
(5,220) | Alaska Air Group, Inc.1 | (275,616) | |
(14,260) | Southwest Airlines Co.1 | (674,213) | |
(20,220) | United Airlines Holdings, Inc.1 | (932,951) | |
(1,882,780) | |||
Banks — (3.2)% | |||
(860) | First Citizens BancShares, Inc. - Class A | (699,954) | |
(9,980) | Glacier Bancorp, Inc. | (551,794) | |
(12,320) | Truist Financial Corp. | (781,951) | |
(2,033,699) | |||
Beverages — (1.5)% | |||
(1,240) | Boston Beer Co., Inc. (The) Class A1 | (610,675) | |
(1,540) | Constellation Brands, Inc. - Class A | (333,888) | |
(944,563) | |||
Capital Markets — (5.9)% | |||
(780) | BlackRock, Inc. | (735,899) | |
(2,600) | Charles Schwab Corp. (The) | (213,278) | |
(1,680) | MarketAxess Holdings, Inc. | (686,565) | |
(1,780) | Moody’s Corp. | (719,387) | |
(3,180) | Morningstar, Inc. | (1,007,265) | |
(3,040) | Northern Trust Corp. | (374,042) | |
(3,736,436) |
103 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Chemicals — (2.5)% | |||
(2,040) | Air Products and Chemicals, Inc. | $ (611,612) | |
(2,000) | Ecolab, Inc. | (444,440) | |
(3,700) | Scotts Miracle-Gro Co. (The) | (549,302) | |
(1,605,354) | |||
Commercial Services & Supplies — (1.7)% | |||
(4,640) | Casella Waste Systems, Inc. - Class A1 | (402,381) | |
(4,240) | MSA Safety, Inc. | (648,847) | |
(1,051,228) | |||
Containers & Packaging — (1.2)% | |||
(8,580) | Ball Corp. | (784,898) | |
Diversified Consumer Services — (1.3)% | |||
(4,980) | Bright Horizons Family Solutions, Inc.1 | (826,680) | |
Electric Utilities — (0.8)% | |||
(5,220) | Duke Energy Corp. | (532,492) | |
Electronic Equipment, Instruments & Components — (1.9)% | |||
(12,712) | National Instruments Corp. | (539,879) | |
(1,500) | Teledyne Technologies, Inc.1 | (673,830) | |
(1,213,709) | |||
Entertainment — (1.0)% | |||
(3,680) | Walt Disney Co. (The)1 | (622,178) | |
Equity Real Estate Investment Trusts — (4.9)% | |||
(58,420) | Host Hotels & Resorts, Inc.1 | (983,209) | |
(26,020) | Lexington Realty Trust REIT | (379,111) | |
(37,380) | Macerich Co. (The) | (676,204) | |
(58,803) | Mack-Cali Realty Corp.1 | (1,069,627) | |
(3,108,151) | |||
Food & Staples Retailing — (1.0)% | |||
(14,600) | Performance Food Group Co.1 | (660,358) | |
Health Care Equipment & Supplies — (2.6)% | |||
(2,680) | Becton Dickinson and Co. | (642,101) | |
(2,500) | ResMed, Inc. | (657,275) | |
(2,200) | Zimmer Biomet Holdings, Inc. | (314,864) | |
(1,614,240) | |||
Hotels, Restaurants & Leisure — (4.3)% | |||
(4,100) | Caesars Entertainment, Inc.1 | (448,786) | |
(8,600) | Cracker Barrel Old Country Store, Inc. | (1,145,262) | |
(11,360) | Las Vegas Sands Corp.1 | (440,881) | |
(7,560) | Wynn Resorts, Ltd.1 | (678,888) | |
(2,713,817) | |||
Household Products — (0.6)% | |||
(2,840) | Kimberly-Clark Corp. | (367,752) | |
Insurance — (3.7)% | |||
(3,480) | Erie Indemnity Co. - Class A | (716,219) | |
(3,520) | Globe Life, Inc. | (313,350) | |
(4,940) | Kemper Corp. | (313,591) | |
(11,580) | Loews Corp. | (649,291) | |
(3,540) | Progressive Corp. (The) | (335,875) | |
(2,328,326) |
104 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Internet & Direct Marketing Retail — (1.1)% | |||
(200) | Amazon.com, Inc.1 | $ (674,486) | |
Life Sciences Tools & Services — (0.5)% | |||
(740) | Illumina, Inc.1 | (307,144) | |
Machinery — (1.8)% | |||
(12,180) | Kennametal, Inc. | (484,155) | |
(5,900) | Woodward, Inc. | (666,405) | |
(1,150,560) | |||
Metals & Mining — (0.6)% | |||
(16,960) | Cleveland-Cliffs, Inc.1 | (408,906) | |
Mortgage Real Estate Investment Trust — (0.8)% | |||
(23,780) | Arbor Realty Trust, Inc. REIT | (478,216) | |
Multi-line Retail — (1.3)% | |||
(7,340) | Dollar Tree, Inc.1 | (790,958) | |
Oil, Gas & Consumable Fuels �� (2.9)% | |||
(32,640) | EQT Corp.1 | (649,863) | |
(4,820) | Hess Corp. | (397,987) | |
(28,000) | Williams Cos., Inc. (The) | (786,520) | |
(1,834,370) | |||
Pharmaceuticals — (1.6)% | |||
(2,660) | Eli Lilly & Co. | (677,662) | |
(3,940) | Merck & Co., Inc. | (346,917) | |
(1,024,579) | |||
Real Estate Management & Development — (0.6)% | |||
(16,740) | Opendoor Technologies, Inc.1 | (396,905) | |
Semiconductors & Semiconductor Equipment — (3.4)% | |||
(2,080) | Analog Devices, Inc. | (360,859) | |
(4,380) | Silicon Laboratories, Inc.1 | (826,769) | |
(7,760) | Wolfspeed, Inc.1 | (932,054) | |
(2,119,682) | |||
Software — (4.9)% | |||
(2,840) | Autodesk, Inc.1 | (902,012) | |
(1,200) | MicroStrategy, Inc. - Class A1 | (858,072) | |
(4,840) | Pegasystems, Inc. | (574,605) | |
(1,400) | Tyler Technologies, Inc.1 | (760,508) | |
(3,095,197) | |||
Specialty Retail — (1.9)% | |||
(19,960) | Monro, Inc. | (1,232,730) | |
Thrifts & Mortgage Finance — (1.2)% | |||
(60,880) | Capitol Federal Financial, Inc. | (738,474) |
105 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Trading Companies & Distributors — (0.8)% | |||
(6,220) | MSC Industrial Direct Co., Inc. - Class A | $ (522,915) | |
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(42,779,692)) | (42,871,983) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(42,779,692)) | (67.8)% | $(42,871,983) | |
TOTAL INVESTMENTS (Cost $487,611) | 31.2% | $ 19,743,180 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 68.8 | 43,514,138 | |
NET ASSETS | 100.0% | $ 63,257,318 |
* | 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 $9,992,890. |
3 | Securities or partial securities on loan. See Note 1. |
4 | Represents an investment of securities lending cash collateral. |
106 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Long Positions: | |||
Equity Real Estate Investment Trusts | 7.7% | $ 4,874,006 | |
Banks | 5.6 | 3,556,952 | |
Capital Markets | 4.6 | 2,911,963 | |
Software | 4.3 | 2,708,181 | |
Insurance | 4.1 | 2,619,570 | |
IT Services | 4.1 | 2,565,445 | |
Electronic Equipment, Instruments & Components | 3.4 | 2,164,242 | |
Metals & Mining | 3.3 | 2,115,667 | |
Construction & Engineering | 3.1 | 1,956,010 | |
Consumer Finance | 3.0 | 1,893,008 | |
Semiconductors & Semiconductor Equipment | 3.0 | 1,890,513 | |
Machinery | 2.9 | 1,814,890 | |
Chemicals | 2.9 | 1,799,666 | |
Air Freight & Logistics | 2.8 | 1,798,982 | |
Diversified Consumer Services | 2.7 | 1,730,545 | |
Health Care Providers & Services | 2.7 | 1,709,945 | |
Food & Staples Retailing | 2.3 | 1,440,340 | |
Internet & Direct Marketing Retail | 2.1 | 1,354,875 | |
Thrifts & Mortgage Finance | 2.0 | 1,248,522 | |
Media | 2.0 | 1,247,363 | |
Hotels, Restaurants & Leisure | 1.9 | 1,226,194 | |
Food Products | 1.9 | 1,177,931 | |
Pharmaceuticals | 1.8 | 1,148,612 | |
Household Durables | 1.7 | 1,101,032 | |
Professional Services | 1.7 | 1,062,581 | |
Oil, Gas & Consumable Fuels | 1.7 | 1,050,617 | |
Distributors | 1.6 | 1,024,488 | |
Wireless Telecommunication Services | 1.4 | 861,325 | |
Energy Equipment & Services | 1.3 | 816,605 | |
Trading Companies & Distributors | 1.2 | 769,742 | |
Biotechnology | 1.2 | 742,095 | |
Electrical Equipment | 1.1 | 718,926 | |
Diversified Financial Services | 1.1 | 708,863 | |
Entertainment | 1.1 | 697,455 | |
Paper & Forest Products | 1.1 | 663,828 | |
Commercial Services & Supplies | 1.0 | 635,312 | |
Health Care Equipment & Supplies | 0.9 | 577,821 | |
Technology Hardware, Storage & Peripherals | 0.9 | 565,490 | |
Beverages | 0.9 | 542,300 | |
Gas Utilities | 0.7 | 460,526 | |
Road & Rail | 0.7 | 427,443 | |
Multi-Utilities | 0.6 | 392,729 | |
Specialty Retail | 0.6 | 364,275 | |
Communications Equipment | 0.5 | 330,083 | |
Diversified Telecommunication Services | 0.5 | 328,538 | |
Short Positions: | |||
Life Sciences Tools & Services | (0.5) | (307,144) | |
Household Products | (0.6) | (367,752) | |
Real Estate Management & Development | (0.6) | (396,905) | |
Metals & Mining | (0.6) | (408,906) | |
Mortgage Real Estate Investment Trust | (0.8) | (478,216) | |
Trading Companies & Distributors | (0.8) | (522,915) | |
Electric Utilities | (0.8) | (532,492) |
107 |
% of Net Assets | Value | ||
INDUSTRIES: — (Continued) | |||
Short Positions: — (Continued) | |||
Entertainment | (1.0)% | $ (622,178) | |
Food & Staples Retailing | (1.0) | (660,358) | |
Internet & Direct Marketing Retail | (1.1) | (674,486) | |
Thrifts & Mortgage Finance | (1.2) | (738,474) | |
Containers & Packaging | (1.2) | (784,898) | |
Multi-line Retail | (1.3) | (790,958) | |
Diversified Consumer Services | (1.3) | (826,680) | |
Beverages | (1.5) | (944,563) | |
Pharmaceuticals | (1.6) | (1,024,579) | |
Commercial Services & Supplies | (1.7) | (1,051,228) | |
Machinery | (1.8) | (1,150,560) | |
Electronic Equipment, Instruments & Components | (1.9) | (1,213,709) | |
Specialty Retail | (1.9) | (1,232,730) | |
Chemicals | (2.5) | (1,605,354) | |
Health Care Equipment & Supplies | (2.6) | (1,614,240) | |
Oil, Gas & Consumable Fuels | (2.9) | (1,834,370) | |
Airlines | (3.0) | (1,882,780) | |
Banks | (3.2) | (2,033,699) | |
Aerospace & Defense | (3.3) | (2,070,200) | |
Semiconductors & Semiconductor Equipment | (3.4) | (2,119,682) | |
Insurance | (3.7) | (2,328,326) | |
Hotels, Restaurants & Leisure | (4.3) | (2,713,817) | |
Software | (4.9) | (3,095,197) | |
Equity Real Estate Investment Trusts | (4.9) | (3,108,151) | |
Capital Markets | (5.9) | (3,736,436) | |
TOTAL COMMON STOCKS | 29.9% | $18,923,513 | |
REPURCHASE AGREEMENT | 0.2 | 132,067 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 1.1 | 687,600 | |
TOTAL INVESTMENTS | 31.2% | $19,743,180 |
108 |
Shares | Value | ||
COMMON STOCKS* — 127.8% | |||
Air Freight & Logistics — 3.9% | |||
5,680 | Expeditors International of Washington, Inc.1 | $ 700,117 | |
9,080 | Hub Group, Inc. - Class A1,2 | 713,416 | |
1,413,533 | |||
Automobiles — 2.8% | |||
58,540 | Ford Motor Co.1,2 | 999,863 | |
Banks — 6.0% | |||
13,660 | Citizens Financial Group, Inc.1 | 647,211 | |
49,520 | First Horizon Corp.1 | 840,354 | |
20,380 | KeyCorp1 | 474,243 | |
8,960 | Umpqua Holdings Corp. | 183,232 | |
2,145,040 | |||
Building Products — 2.1% | |||
7,620 | Fortune Brands Home & Security, Inc.1 | 772,668 | |
Capital Markets — 2.3% | |||
3,880 | Nasdaq, Inc.1 | 814,296 | |
Chemicals — 3.6% | |||
4,100 | CF Industries Holdings, Inc.1 | 232,880 | |
18,600 | Huntsman Corp.1 | 605,988 | |
11,020 | Mosaic Co. (The)1 | 458,101 | |
1,296,969 | |||
Commercial Services & Supplies — 1.0% | |||
2,700 | Republic Services, Inc., Class A1 | 363,420 | |
Communications Equipment — 0.5% | |||
3,060 | Ciena Corp.2 | 166,127 | |
Construction & Engineering — 3.8% | |||
7,340 | EMCOR Group, Inc.1 | 891,737 | |
3,940 | Quanta Services, Inc.1 | 477,843 | |
1,369,580 | |||
Consumer Finance — 3.2% | |||
7,120 | Ally Financial, Inc. | 339,909 | |
44,620 | SLM Corp. | 818,777 | |
1,158,686 | |||
Containers & Packaging — 0.9% | |||
8,160 | Silgan Holdings, Inc. | 328,032 | |
Distributors — 1.6% | |||
10,400 | LKQ Corp.1,2 | 572,832 | |
Diversified Telecommunication Services — 1.2% | |||
36,920 | Lumen Technologies, Inc.1 | 437,871 | |
Electric Utilities — 1.2% | |||
8,100 | Exelon Corp.1 | 430,839 | |
Electrical Equipment — 2.4% | |||
5,560 | Regal Rexnord Corp1 | 846,955 | |
Electronic Equipment, Instruments & Components — 1.9% | |||
6,040 | Arrow Electronics, Inc.2 | 699,130 | |
Energy Equipment & Services — 0.7% | |||
10,620 | Baker Hughes Co., Class A1 | 266,350 |
109 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Entertainment — 1.4% | |||
6,420 | Activision Blizzard, Inc.1 | $ 501,980 | |
Equity Real Estate Investment Trusts — 5.8% | |||
11,460 | American Homes 4 Rent - Class A1 | 465,276 | |
4,880 | First Industrial Realty Trust, Inc. | 284,163 | |
7,840 | Lamar Advertising Co. - Class A1 | 887,488 | |
14,940 | VICI Properties, Inc.1 | 438,489 | |
2,075,416 | |||
Food & Staples Retailing — 2.0% | |||
10,220 | Kroger Co. (The)1 | 409,005 | |
14,087 | Sprouts Farmers Market, Inc.2,3 | 311,886 | |
720,891 | |||
Food Products — 4.5% | |||
12,140 | Darling Ingredients, Inc.1,2 | 1,026,073 | |
3,440 | General Mills, Inc.1 | 212,592 | |
4,520 | Tyson Foods, Inc. - Class A1 | 361,464 | |
1,600,129 | |||
Gas Utilities — 1.3% | |||
10,920 | UGI Corp.1 | 474,037 | |
Health Care Equipment & Supplies — 0.8% | |||
4,900 | Dentsply Sirona, Inc.1 | 280,329 | |
Health Care Providers & Services — 5.1% | |||
7,180 | Centene Corp.1,2 | 511,504 | |
5,480 | DaVita, Inc.2 | 565,755 | |
2,548 | Molina Healthcare, Inc.2 | 753,494 | |
1,830,753 | |||
Hotels, Restaurants & Leisure — 2.9% | |||
35,280 | International Game Technology PLC2,3 | 1,040,407 | |
Household Durables — 2.2% | |||
6,620 | DR Horton, Inc.1 | 590,967 | |
4,337 | PulteGroup, Inc.1 | 208,523 | |
799,490 | |||
Household Products — 0.8% | |||
6,280 | Central Garden & Pet Co. - Class A1,2 | 290,136 | |
Insurance — 3.8% | |||
3,200 | Brown & Brown, Inc.1 | 201,952 | |
10,580 | Fidelity National Financial, Inc.1 | 506,888 | |
18,000 | Old Republic International Corp.1 | 464,940 | |
8,000 | Unum Group | 203,760 | |
1,377,540 | |||
Interactive Media & Services — 2.2% | |||
18,160 | Cargurus, Inc.2 | 609,086 | |
3,340 | Twitter, Inc.2 | 178,824 | |
787,910 | |||
Internet & Direct Marketing Retail — 1.2% | |||
5,620 | eBay, Inc.1 | 431,166 | |
IT Services — 3.6% | |||
6,000 | Amdocs, Ltd. | 467,040 |
110 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
IT Services — (Continued) | |||
16,560 | Genpact, Ltd. | $ 817,236 | |
1,284,276 | |||
Leisure Product — 0.6% | |||
2,160 | Brunswick Corp. | 201,074 | |
Life Sciences Tools & Services — 2.9% | |||
4,660 | Medpace Holdings, Inc.2 | 1,055,723 | |
Media — 5.5% | |||
11,360 | Comcast Corp. - Class A1 | 584,245 | |
10,440 | Fox Corp. - Class A | 414,885 | |
5,340 | Interpublic Group of Cos., Inc. (The) | 195,284 | |
33,821 | News Corp. - Class A | 774,501 | |
1,968,915 | |||
Metals & Mining — 1.7% | |||
7,880 | Commercial Metals Co. | 253,579 | |
2,546 | Reliance Steel & Aluminum Co. | 372,123 | |
625,702 | |||
Mortgage Real Estate Investment Trust — 0.9% | |||
19,840 | Chimera Investment Corp. | 309,702 | |
Multi-line Retail — 2.5% | |||
3,420 | Target Corp.1 | 887,900 | |
Multi-Utilities — 0.8% | |||
9,780 | MDU Resources Group, Inc. | 300,539 | |
Oil, Gas & Consumable Fuels — 2.3% | |||
20,200 | Devon Energy Corp.1 | 809,616 | |
Pharmaceuticals — 3.1% | |||
1,000 | Johnson & Johnson1 | 162,880 | |
12,720 | Pfizer, Inc.1 | 556,373 | |
13,580 | Supernus Pharmaceuticals, Inc.2 | 405,363 | |
1,124,616 | |||
Professional Services — 1.4% | |||
1,700 | ASGN, Inc.2 | 203,422 | |
2,660 | Robert Half International, Inc. | 300,766 | |
504,188 | |||
Semiconductors & Semiconductor Equipment — 6.6% | |||
6,140 | Applied Materials, Inc.1 | 839,031 | |
9,620 | Diodes, Inc.2 | 924,386 | |
7,060 | Intel Corp.1 | 345,940 | |
5,180 | ON Semiconductor Corp.1,2 | 249,003 | |
2,358,360 | |||
Software — 11.4% | |||
18,560 | Box, Inc. - Class A2 | 479,405 | |
6,440 | Dolby Laboratories, Inc. - Class A | 568,974 | |
18,580 | Dropbox, Inc. - Class A2 | 566,504 | |
9,200 | Oracle Corp.1 | 882,648 | |
3,420 | Progress Software Corp. | 175,822 | |
6,120 | SPS Commerce, Inc.2 | 934,708 | |
6,320 | SS&C Technologies Holdings, Inc.1 | 502,250 | |
4,110,311 |
111 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Specialty Retail — 2.0% | |||
1,600 | Best Buy Co., Inc.1 | $ 195,584 | |
2,860 | Williams-Sonoma, Inc.1 | 531,188 | |
726,772 | |||
Technology Hardware, Storage & Peripherals — 4.5% | |||
25,120 | HP, Inc.1 | 761,890 | |
9,580 | NetApp, Inc.1 | 855,494 | |
1,617,384 | |||
Thrifts & Mortgage Finance — 2.6% | |||
58,820 | MGIC Investment Corp. | 950,531 | |
Trading Companies & Distributors — 1.9% | |||
5,260 | WESCO International, Inc.1,2 | 681,486 | |
Wireless Telecommunication Services — 0.4% | |||
8,200 | Telephone & Data Systems, Inc. | 153,668 | |
TOTAL COMMON STOCKS (Cost $26,924,654) | 45,963,138 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.5% | |||
$187,604 | With Fixed Income Clearing Corp., dated 10/29/21, 0.00%, principal and interest in the amount of $187,604, due 11/1/21, (collateralized by a U.S. Treasury Note with a par value of $174,600, coupon rate of 0.125%, due 10/15/26, market value of $191,457) | 187,604 | |
TOTAL REPURCHASE AGREEMENT (Cost $187,604) | 187,604 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.9% | |||
316,958 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 316,958 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $316,958) | 316,958 | ||
TOTAL LONG INVESTMENTS (Cost $27,429,216) | 129.2% | $ 46,467,700 | |
COMMON STOCKS SOLD SHORT* — (28.2)% | |||
Aerospace & Defense — (2.5)% | |||
(600) | Boeing Co. (The)2 | (124,218) | |
(1,020) | HEICO Corp. | (142,178) | |
(2,400) | Hexcel Corp.2 | (136,176) | |
(2,020) | Mercury Systems, Inc.2 | (104,111) | |
(1,620) | Raytheon Technologies Corp. | (143,953) | |
(380) | TransDigm Group, Inc.2 | (237,051) | |
(887,687) | |||
Air Freight & Logistics — (0.4)% | |||
(700) | United Parcel Service, Inc. - Class B | (149,429) | |
Airlines — (0.8)% | |||
(3,340) | Southwest Airlines Co.2 | (157,915) | |
(2,700) | United Airlines Holdings, Inc.2 | (124,578) | |
(282,493) |
112 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Auto Components — (0.4)% | |||
(4,440) | Gentex Corp. | $ (157,132) | |
Banks — (2.1)% | |||
(5,200) | Cadence Bank | (150,904) | |
(1,180) | Cullen/Frost Bankers, Inc. | (152,810) | |
(180) | First Citizens BancShares, Inc. - Class A | (146,502) | |
(3,320) | First Financial Bankshares, Inc. | (168,390) | |
(200) | SVB Financial Group2 | (143,480) | |
(762,086) | |||
Beverages — (0.4)% | |||
(100) | Boston Beer Co., Inc. (The) Class A2 | (49,248) | |
(400) | Constellation Brands, Inc. - Class A | (86,724) | |
(135,972) | |||
Building Products — (0.4)% | |||
(1,200) | Trex Co., Inc.2 | (127,680) | |
Capital Markets — (0.3)% | |||
(240) | MarketAxess Holdings, Inc. | (98,081) | |
Chemicals — (1.4)% | |||
(500) | Air Products and Chemicals, Inc. | (149,905) | |
(1) | Dow, Inc. | (56) | |
(320) | NewMarket Corp. | (108,803) | |
(900) | PPG Industries, Inc. | (144,513) | |
(700) | Scotts Miracle-Gro Co. (The) | (103,922) | |
(507,199) | |||
Containers & Packaging — (0.3)% | |||
(1,000) | AptarGroup, Inc. | (120,780) | |
Diversified Consumer Services — (0.3)% | |||
(634) | Bright Horizons Family Solutions, Inc.2 | (105,244) | |
Electric Utilities — (0.7)% | |||
(1,420) | MGE Energy, Inc. | (107,764) | |
(2,000) | Xcel Energy, Inc. | (129,180) | |
(236,944) | |||
Electrical Equipment — (0.4)% | |||
(7,340) | Array Technologies, Inc.2 | (156,709) | |
Electronic Equipment, Instruments & Components — (0.4)% | |||
(3,540) | National Instruments Corp. | (150,344) | |
Entertainment — (0.4)% | |||
(740) | Walt Disney Co. (The)2 | (125,112) | |
Equity Real Estate Investment Trusts — (1.6)% | |||
(3,940) | Healthpeak Properties, Inc. | (139,910) | |
(8,000) | Macerich Co. (The) | (144,720) | |
(7,786) | Mack-Cali Realty Corp.2 | (141,627) | |
(3,200) | Vornado Realty Trust | (136,416) | |
(562,673) | |||
Food Products — (0.3)% | |||
(800) | J&J Snack Foods Corp. | (118,040) | |
Health Care Equipment & Supplies — (0.6)% | |||
(480) | Becton Dickinson and Co. | (115,003) |
113 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Health Care Equipment & Supplies — (Continued) | |||
(440) | ResMed, Inc. | $ (115,681) | |
(230,684) | |||
Hotels, Restaurants & Leisure — (2.0)% | |||
(1,100) | Caesars Entertainment, Inc.2 | (120,406) | |
(1,580) | Cracker Barrel Old Country Store, Inc. | (210,409) | |
(980) | Hilton Worldwide Holdings, Inc.2 | (141,071) | |
(2,620) | Las Vegas Sands Corp.2 | (101,682) | |
(1,580) | Wynn Resorts, Ltd.2 | (141,884) | |
(715,452) | |||
Household Products — (0.4)% | |||
(1,000) | Kimberly-Clark Corp. | (129,490) | |
Insurance — (1.5)% | |||
(720) | Erie Indemnity Co. - Class A | (148,183) | |
(760) | Hanover Insurance Group, Inc.(The) | (95,760) | |
(2,180) | Kemper Corp. | (138,386) | |
(1,480) | Progressive Corp. (The) | (140,423) | |
(522,752) | |||
Internet & Direct Marketing Retail — (0.4)% | |||
(40) | Amazon.com, Inc.2 | (134,897) | |
Leisure Product — (0.3)% | |||
(1,020) | Polaris Industries, Inc. | (117,249) | |
Machinery — (1.0)% | |||
(3,400) | Kennametal, Inc. | (135,150) | |
(1,180) | PACCAR, Inc. | (105,752) | |
(1,100) | Woodward, Inc. | (124,245) | |
(365,147) | |||
Metals & Mining — (0.4)% | |||
(5,920) | Cleveland-Cliffs, Inc.2 | (142,731) | |
Multi-line Retail — (0.4)% | |||
(1,480) | Dollar Tree, Inc.2 | (159,485) | |
Oil, Gas & Consumable Fuels — (0.4)% | |||
(6,720) | EQT Corp.2 | (133,795) | |
Pharmaceuticals — (0.4)% | |||
(1,700) | Merck & Co., Inc. | (149,685) | |
Road & Rail — (0.9)% | |||
(520) | Norfolk Southern Corp. | (152,386) | |
(640) | Union Pacific Corp. | (154,496) | |
(306,882) | |||
Semiconductors & Semiconductor Equipment — (2.0)% | |||
(800) | Analog Devices, Inc. | (138,792) | |
(1,800) | Microchip Technology, Inc. | (133,362) | |
(600) | NVIDIA Corp. | (153,402) | |
(800) | Silicon Laboratories, Inc.2 | (151,008) | |
(1,300) | Wolfspeed, Inc.2 | (156,143) | |
(732,707) | |||
Software — (1.4)% | |||
(280) | ANSYS, Inc.2 | (106,282) | |
(500) | Autodesk, Inc.2 | (158,805) |
114 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Software — (Continued) | |||
(200) | MicroStrategy, Inc. - Class A2 | $ (143,012) | |
(200) | Tyler Technologies, Inc.2 | (108,644) | |
(516,743) | |||
Specialty Retail — (1.3)% | |||
(1,000) | CarMax, Inc.2 | (136,920) | |
(7,900) | Designer Brands, Inc. - Class A2 | (106,887) | |
(3,440) | Monro, Inc. | (212,454) | |
(456,261) | |||
Textiles, Apparel & Luxury Goods — (0.3)% | |||
(1,660) | VF Corp. | (120,981) | |
Thrifts & Mortgage Finance — (0.3)% | |||
(9,980) | Capitol Federal Financial, Inc. | (121,057) | |
Trading Companies & Distributors — (0.7)% | |||
(1,500) | MSC Industrial Direct Co., Inc. - Class A | (126,105) | |
(300) | WW Grainger, Inc. | (138,933) | |
(265,038) | |||
Water Utilities — (0.4)% | |||
(2,080) | SJW Group | (137,114) | |
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(10,314,567)) | (10,141,755) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(10,314,567)) | (28.2)% | $(10,141,755) | |
TOTAL INVESTMENTS (Cost $17,114,649) | 101.0% | $ 36,325,945 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.0) | (365,357) | |
NET ASSETS | 100.0% | $ 35,960,588 |
* | 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 $12,368,070. |
2 | Non income-producing security. |
3 | Securities or partial securities on loan. See Note 1. |
4 | Represents an investment of securities lending cash collateral. |
115 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Long Positions: | |||
Software | 11.4% | $ 4,110,311 | |
Semiconductors & Semiconductor Equipment | 6.6 | 2,358,360 | |
Banks | 6.0 | 2,145,040 | |
Equity Real Estate Investment Trusts | 5.8 | 2,075,416 | |
Media | 5.5 | 1,968,915 | |
Health Care Providers & Services | 5.1 | 1,830,753 | |
Technology Hardware, Storage & Peripherals | 4.5 | 1,617,384 | |
Food Products | 4.5 | 1,600,129 | |
Air Freight & Logistics | 3.9 | 1,413,533 | |
Insurance | 3.8 | 1,377,540 | |
Construction & Engineering | 3.8 | 1,369,580 | |
Chemicals | 3.6 | 1,296,969 | |
IT Services | 3.6 | 1,284,276 | |
Consumer Finance | 3.2 | 1,158,686 | |
Pharmaceuticals | 3.1 | 1,124,616 | |
Life Sciences Tools & Services | 2.9 | 1,055,723 | |
Hotels, Restaurants & Leisure | 2.9 | 1,040,407 | |
Automobiles | 2.8 | 999,863 | |
Thrifts & Mortgage Finance | 2.6 | 950,531 | |
Multi-line Retail | 2.5 | 887,900 | |
Electrical Equipment | 2.4 | 846,955 | |
Capital Markets | 2.3 | 814,296 | |
Oil, Gas & Consumable Fuels | 2.3 | 809,616 | |
Household Durables | 2.2 | 799,490 | |
Interactive Media & Services | 2.2 | 787,910 | |
Building Products | 2.1 | 772,668 | |
Specialty Retail | 2.0 | 726,772 | |
Food & Staples Retailing | 2.0 | 720,891 | |
Electronic Equipment, Instruments & Components | 1.9 | 699,130 | |
Trading Companies & Distributors | 1.9 | 681,486 | |
Metals & Mining | 1.7 | 625,702 | |
Distributors | 1.6 | 572,832 | |
Professional Services | 1.4 | 504,188 | |
Entertainment | 1.4 | 501,980 | |
Gas Utilities | 1.3 | 474,037 | |
Diversified Telecommunication Services | 1.2 | 437,871 | |
Internet & Direct Marketing Retail | 1.2 | 431,166 | |
Electric Utilities | 1.2 | 430,839 | |
Commercial Services & Supplies | 1.0 | 363,420 | |
Containers & Packaging | 0.9 | 328,032 | |
Mortgage Real Estate Investment Trust | 0.9 | 309,702 | |
Multi-Utilities | 0.8 | 300,539 | |
Household Products | 0.8 | 290,136 | |
Health Care Equipment & Supplies | 0.8 | 280,329 | |
Energy Equipment & Services | 0.7 | 266,350 | |
Leisure Product | 0.6 | 201,074 | |
Communications Equipment | 0.5 | 166,127 | |
Wireless Telecommunication Services | 0.4 | 153,668 | |
Short Positions: | |||
Capital Markets | (0.3) | (98,081) | |
Diversified Consumer Services | (0.3) | (105,244) | |
Leisure Product | (0.3) | (117,249) | |
Food Products | (0.3) | (118,040) |
116 |
% of Net Assets | Value | ||
INDUSTRIES: — (Continued) | |||
Short Positions: — (Continued) | |||
Containers & Packaging | (0.3)% | $ (120,780) | |
Textiles, Apparel & Luxury Goods | (0.3) | (120,981) | |
Thrifts & Mortgage Finance | (0.3) | (121,057) | |
Entertainment | (0.4) | (125,112) | |
Building Products | (0.4) | (127,680) | |
Household Products | (0.4) | (129,490) | |
Oil, Gas & Consumable Fuels | (0.4) | (133,795) | |
Internet & Direct Marketing Retail | (0.4) | (134,897) | |
Beverages | (0.4) | (135,972) | |
Water Utilities | (0.4) | (137,114) | |
Metals & Mining | (0.4) | (142,731) | |
Air Freight & Logistics | (0.4) | (149,429) | |
Pharmaceuticals | (0.4) | (149,685) | |
Electronic Equipment, Instruments & Components | (0.4) | (150,344) | |
Electrical Equipment | (0.4) | (156,709) | |
Auto Components | (0.4) | (157,132) | |
Multi-line Retail | (0.4) | (159,485) | |
Health Care Equipment & Supplies | (0.6) | (230,684) | |
Electric Utilities | (0.7) | (236,944) | |
Trading Companies & Distributors | (0.7) | (265,038) | |
Airlines | (0.8) | (282,493) | |
Road & Rail | (0.9) | (306,882) | |
Machinery | (1.0) | (365,147) | |
Specialty Retail | (1.3) | (456,261) | |
Chemicals | (1.4) | (507,199) | |
Software | (1.4) | (516,743) | |
Insurance | (1.5) | (522,752) | |
Equity Real Estate Investment Trusts | (1.6) | (562,673) | |
Hotels, Restaurants & Leisure | (2.0) | (715,452) | |
Semiconductors & Semiconductor Equipment | (2.0) | (732,707) | |
Banks | (2.1) | (762,086) | |
Aerospace & Defense | (2.5) | (887,687) | |
TOTAL COMMON STOCKS | 99.6% | $35,821,383 | |
REPURCHASE AGREEMENT | 0.5 | 187,604 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 0.9 | 316,958 | |
TOTAL INVESTMENTS | 101.0% | $36,325,945 |
117 |
Shares | Value | ||
COMMON STOCKS* — 99.4% | |||
Aerospace & Defense — 2.7% | |||
81,708 | Raytheon Technologies Corp. | $ 7,260,573 | |
Banks — 5.5% | |||
39,539 | JPMorgan Chase & Co. | 6,717,281 | |
38,393 | PNC Financial Services Group, Inc. (The) | 8,102,075 | |
14,819,356 | |||
Beverages — 1.8% | |||
30,609 | PepsiCo, Inc. | 4,946,414 | |
Biotechnology — 1.3% | |||
13,575 | Biogen, Inc.1 | 3,620,181 | |
Capital Markets — 1.9% | |||
40,599 | Northern Trust Corp. | 4,995,301 | |
Chemicals — 2.1% | |||
34,888 | PPG Industries, Inc. | 5,601,966 | |
Communications Equipment — 2.0% | |||
94,588 | Cisco Systems, Inc. | 5,294,090 | |
Consumer Finance — 2.4% | |||
57,127 | Discover Financial Services | 6,473,632 | |
Electrical Equipment — 2.7% | |||
53,993 | AMETEK, Inc. | 7,148,673 | |
Electronic Equipment, Instruments & Components — 3.1% | |||
109,512 | Amphenol Corp. - Class A | 8,407,236 | |
Food & Staples Retailing — 1.8% | |||
31,580 | Walmart, Inc. | 4,718,684 | |
Health Care Equipment & Supplies — 3.8% | |||
34,597 | Abbott Laboratories | 4,459,207 | |
21,782 | Stryker Corp. | 5,795,537 | |
10,254,744 | |||
Health Care Providers & Services — 2.8% | |||
26,042 | Laboratory Corp. of America Holdings1 | 7,474,575 | |
Hotels, Restaurants & Leisure — 3.3% | |||
3,604 | Booking Holdings, Inc.1 | 8,724,491 | |
Household Products — 1.3% | |||
46,574 | Colgate-Palmolive Co. | 3,548,473 | |
Insurance — 2.4% | |||
32,887 | Chubb, Ltd. | 6,425,462 | |
Interactive Media & Services — 8.8% | |||
4,567 | Alphabet, Inc. - Class C1 | 13,543,027 | |
31,557 | Meta Platforms, Inc. - Class A1 | 10,210,899 | |
23,753,926 | |||
Internet & Direct Marketing Retail — 1.8% | |||
1,409 | Amazon.com, Inc.1 | 4,751,754 | |
IT Services — 10.9% | |||
20,168 | Accenture PLC - Class A | 7,236,077 | |
17,695 | Gartner, Inc.1 | 5,873,147 | |
42,796 | Global Payments, Inc. | 6,119,400 | |
30,052 | Mastercard, Inc. - Class A | 10,083,047 | |
29,311,671 |
118 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Life Sciences Tools & Services — 2.5% | |||
18,228 | Waters Corp.1 | $ 6,699,701 | |
Machinery — 2.6% | |||
23,735 | Parker-Hannifin Corp. | 7,039,564 | |
Media — 2.7% | |||
142,350 | Comcast Corp. - Class A | 7,321,061 | |
Multi-line Retail — 2.4% | |||
28,997 | Dollar General Corp. | 6,423,415 | |
Oil, Gas & Consumable Fuels — 2.2% | |||
51,132 | Chevron Corp. | 5,854,103 | |
Pharmaceuticals — 5.5% | |||
70,904 | Bristol-Myers Squibb Co. | 4,140,793 | |
19,496 | Eli Lilly & Co. | 4,966,801 | |
25,697 | Zoetis, Inc. | 5,555,691 | |
14,663,285 | |||
Road & Rail — 1.7% | |||
13,472 | Old Dominion Freight Line, Inc. | 4,598,667 | |
Software — 6.4% | |||
33,231 | Microsoft Corp. | 11,020,064 | |
63,624 | Oracle Corp. | 6,104,087 | |
17,124,151 | |||
Specialty Retail — 7.2% | |||
18,816 | Home Depot, Inc. (The) | 6,994,660 | |
42,571 | Ross Stores, Inc. | 4,819,037 | |
20,740 | Ulta Beauty, Inc.1 | 7,619,046 | |
19,432,743 | |||
Technology Hardware, Storage & Peripherals — 3.8% | |||
68,696 | Apple, Inc. | 10,290,661 | |
TOTAL COMMON STOCKS (Cost $117,779,129) | 266,978,553 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.6% | |||
$1,720,703 | With Fixed Income Clearing Corp., dated 10/29/21, 0.00%, principal and interest in the amount of $1,720,703, due 11/1/21, (collateralized by a U.S. Treasury Note with a par value of $1,624,100, coupon rate of 2.875%, due 05/31/25, market value of $1,755,148) | 1,720,703 | |
TOTAL REPURCHASE AGREEMENT (Cost $1,720,703) | 1,720,703 | ||
TOTAL INVESTMENTS (Cost $119,499,832) | 100.0% | $268,699,256 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.0) | (51,467) | |
NET ASSETS | 100.0% | $268,647,789 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
119 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
IT Services | 10.9% | $ 29,311,671 | |
Interactive Media & Services | 8.8 | 23,753,926 | |
Specialty Retail | 7.2 | 19,432,743 | |
Software | 6.4 | 17,124,151 | |
Banks | 5.5 | 14,819,356 | |
Pharmaceuticals | 5.5 | 14,663,285 | |
Technology Hardware, Storage & Peripherals | 3.8 | 10,290,661 | |
Health Care Equipment & Supplies | 3.8 | 10,254,744 | |
Hotels, Restaurants & Leisure | 3.3 | 8,724,491 | |
Electronic Equipment, Instruments & Components | 3.1 | 8,407,236 | |
Health Care Providers & Services | 2.8 | 7,474,575 | |
Media | 2.7 | 7,321,061 | |
Aerospace & Defense | 2.7 | 7,260,573 | |
Electrical Equipment | 2.7 | 7,148,673 | |
Machinery | 2.6 | 7,039,564 | |
Life Sciences Tools & Services | 2.5 | 6,699,701 | |
Consumer Finance | 2.4 | 6,473,632 | |
Insurance | 2.4 | 6,425,462 | |
Multi-line Retail | 2.4 | 6,423,415 | |
Oil, Gas & Consumable Fuels | 2.2 | 5,854,103 | |
Chemicals | 2.1 | 5,601,966 | |
Communications Equipment | 2.0 | 5,294,090 | |
Capital Markets | 1.9 | 4,995,301 | |
Beverages | 1.8 | 4,946,414 | |
Internet & Direct Marketing Retail | 1.8 | 4,751,754 | |
Food & Staples Retailing | 1.8 | 4,718,684 | |
Road & Rail | 1.7 | 4,598,667 | |
Biotechnology | 1.3 | 3,620,181 | |
Household Products | 1.3 | 3,548,473 | |
TOTAL COMMON STOCKS | 99.4% | $266,978,553 | |
REPURCHASE AGREEMENT | 0.6 | 1,720,703 | |
TOTAL INVESTMENTS | 100.0% | $268,699,256 |
120 |
Shares | Value | ||
COMMON STOCKS* — 98.8% | |||
Air Freight & Logistics — 1.4% | |||
258,891 | Atlas Air Worldwide Holdings, Inc.1 | $ 21,001,238 | |
Auto Components — 1.0% | |||
104,412 | LCI Industries | 14,580,092 | |
Banks — 10.1% | |||
277,336 | Ameris Bancorp | 14,529,633 | |
395,752 | Cathay General Bancorp | 16,696,777 | |
1,770,737 | FNB Corp. | 20,629,086 | |
427,533 | Hancock Whitney Corp. | 21,154,333 | |
498,349 | Simmons First National Corp. - Class A | 14,895,652 | |
1,150,189 | Umpqua Holdings Corp. | 23,521,365 | |
345,188 | United Community Banks, Inc. | 12,026,350 | |
287,217 | Wintrust Financial Corp. | 25,418,704 | |
148,871,900 | |||
Biotechnology — 0.9% | |||
999,992 | Ironwood Pharmaceuticals, Inc.1 | 12,769,898 | |
Building Products — 1.5% | |||
178,523 | Masonite International Corp.1 | 21,424,545 | |
Capital Markets — 3.7% | |||
136,362 | Evercore, Inc. - Class A | 20,705,206 | |
284,582 | Stifel Financial Corp. | 20,737,490 | |
531,945 | Virtu Financial, Inc. - Class A | 13,234,792 | |
54,677,488 | |||
Chemicals — 2.7% | |||
217,389 | Ingevity Corp.1 | 16,936,777 | |
676,213 | Valvoline, Inc. | 22,964,193 | |
39,900,970 | |||
Communications Equipment — 1.1% | |||
300,393 | Ciena Corp.1 | 16,308,336 | |
Construction & Engineering — 4.3% | |||
255,268 | Arcosa, Inc. | 13,205,013 | |
149,867 | Dycom Industries, Inc.1,2 | 11,902,437 | |
149,867 | EMCOR Group, Inc. | 18,207,342 | |
231,552 | MasTec, Inc.1,2 | 20,638,230 | |
63,953,022 | |||
Containers & Packaging — 1.9% | |||
758,228 | Graphic Packaging Holding Co. | 15,111,484 | |
317,520 | Silgan Holdings, Inc. | 12,764,304 | |
27,875,788 | |||
Electric Utilities — 1.8% | |||
240,446 | Otter Tail Corp. | 14,910,056 | |
236,493 | Portland General Electric Co. | 11,661,470 | |
26,571,526 | |||
Electrical Equipment — 0.9% | |||
169,629 | EnerSys | 13,577,105 | |
Electronic Equipment, Instruments & Components — 0.9% | |||
1,038,200 | TTM Technologies, Inc.1,2 | 13,745,768 | |
Equity Real Estate Investment Trusts — 7.6% | |||
531,205 | Hudson Pacific Properties, Inc. | 13,678,529 | |
1,118,279 | Lexington Realty Trust | 16,293,325 | |
640,670 | Outfront Media, Inc. | 15,946,276 |
121 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Equity Real Estate Investment Trusts — (Continued) | |||
884,172 | Piedmont Office Realty Trust, Inc. - Class A | $ 15,702,895 | |
360,807 | STAG Industrial, Inc. | 15,705,929 | |
1,202,518 | Uniti Group, Inc. | 17,208,032 | |
681,154 | Washington Real Estate Investment Trust REIT | 17,267,254 | |
111,802,240 | |||
Food & Staples Retailing — 0.7% | |||
216,664 | Performance Food Group Co.1 | 9,799,713 | |
Food Products — 1.5% | |||
1,148,212 | Hostess Brands, Inc.1,2 | 21,712,689 | |
Gas Utilities — 1.4% | |||
293,476 | New Jersey Resources Corp. | 11,096,328 | |
435,767 | South Jersey Industries, Inc.2 | 9,918,057 | |
21,014,385 | |||
Health Care Equipment & Supplies — 5.3% | |||
66,863 | ICU Medical, Inc.1 | 15,654,634 | |
271,407 | Merit Medical Systems, Inc.1 | 18,254,835 | |
60,276 | Mesa Laboratories, Inc.2 | 18,426,373 | |
307,639 | Neogen Corp.1 | 13,016,206 | |
227,600 | NuVasive, Inc.1 | 12,144,736 | |
77,496,784 | |||
Health Care Providers & Services — 3.1% | |||
198,615 | AMN Healthcare Services, Inc.1 | 19,603,300 | |
213,437 | HealthEquity, Inc.1 | 14,125,261 | |
541,497 | R1 RCM, Inc.1 | 11,750,485 | |
45,479,046 | |||
Health Care Technology — 3.2% | |||
860,006 | Evolent Health, Inc. - Class A1,2 | 25,172,376 | |
390,642 | Vocera Communications, Inc.1,2 | 22,102,524 | |
47,274,900 | |||
Hotels, Restaurants & Leisure — 1.7% | |||
397,559 | Boyd Gaming Corp.1 | 25,356,313 | |
Household Durables — 2.7% | |||
51,053 | Helen of Troy, Ltd.1,2 | 11,484,372 | |
418,310 | La-Z-Boy, Inc. | 13,904,625 | |
617,584 | Tri Pointe Homes, Inc.1 | 14,939,357 | |
40,328,354 | |||
Household Products — 1.1% | |||
438,337 | Energizer Holdings, Inc.2 | 15,986,150 | |
Insurance — 1.3% | |||
275,689 | Stewart Information Services Corp. | 19,620,786 | |
Interactive Media & Services — 2.6% | |||
568,836 | Cargurus, Inc.1,2 | 19,078,760 | |
148,220 | Ziff Davis, Inc.1,2 | 19,012,179 | |
38,090,939 | |||
Life Sciences Tools & Services — 2.2% | |||
301,381 | NeoGenomics, Inc.1,2 | 13,863,526 | |
203,555 | Syneos Health, Inc.1 | 18,999,824 | |
32,863,350 | |||
Machinery — 2.3% | |||
402,500 | Hillenbrand, Inc. | 18,297,650 |
122 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Machinery — (Continued) | |||
227,271 | Timken Co. (The) | $ 16,124,877 | |
34,422,527 | |||
Media — 1.1% | |||
105,401 | Nexstar Media Group, Inc. - Class A2 | 15,802,772 | |
Multi-line Retail — 0.7% | |||
220,683 | Kohl’s Corp. | 10,709,746 | |
Oil, Gas & Consumable Fuels — 3.9% | |||
1,243,073 | CNX Resources Corp.1 | 18,161,297 | |
408,758 | Matador Resources Co. | 17,106,522 | |
603,351 | Ovintiv, Inc. | 22,637,729 | |
57,905,548 | |||
Pharmaceuticals — 3.1% | |||
182,475 | Pacira BioSciences, Inc.1 | 9,539,793 | |
355,399 | Prestige Consumer Healthcare, Inc.1 | 21,320,386 | |
499,996 | Supernus Pharmaceuticals, Inc.1,2 | 14,924,881 | |
45,785,060 | |||
Professional Services — 2.7% | |||
181,158 | ASGN, Inc.1 | 21,677,366 | |
61,593 | CACI International, Inc. - Class A1 | 17,716,611 | |
39,393,977 | |||
Semiconductors & Semiconductor Equipment — 2.8% | |||
268,772 | Diodes, Inc.1 | 25,826,302 | |
647,704 | Rambus, Inc.1 | 15,072,072 | |
40,898,374 | |||
Software — 6.8% | |||
281,618 | CommVault Systems, Inc.1 | 17,319,507 | |
858,030 | Mandiant, Inc.1 | 14,964,043 | |
323,759 | Progress Software Corp. | 16,644,450 | |
120,552 | SPS Commerce, Inc.1 | 18,411,907 | |
257,573 | Verint Systems, Inc.1,2 | 12,002,902 | |
1,292,151 | Vonage Holdings Corp.1 | 20,829,474 | |
100,172,283 | |||
Specialty Retail — 2.4% | |||
99,801 | Asbury Automotive Group, Inc.1 | 19,532,054 | |
339,259 | Foot Locker, Inc. | 16,172,476 | |
35,704,530 | |||
Thrifts & Mortgage Finance — 1.0% | |||
600,786 | Radian Group, Inc. | 14,340,762 | |
Trading Companies & Distributors — 5.4% | |||
360,010 | Beacon Roofing Supply, Inc.1 | 19,033,729 | |
235,505 | Boise Cascade Co. | 13,334,293 | |
762,510 | Univar Solutions, Inc.1 | 19,505,006 | |
208,167 | WESCO International, Inc.1 | 26,970,116 | |
78,843,144 | |||
TOTAL COMMON STOCKS (Cost $962,875,078) | 1,456,062,048 |
123 |
Face Amount | Value | ||
REPURCHASE AGREEMENT* — 1.3% | |||
$19,490,176 | With Fixed Income Clearing Corp., dated 10/29/21, 0.00%, principal and interest in the amount of $19,490,176, due 11/1/21, (collateralized by a U.S. Treasury Note with a par value of $20,357,600, coupon rate of 0.250%, due 05/31/25, market value of $19,879,999) | $ 19,490,176 | |
TOTAL REPURCHASE AGREEMENT (Cost $19,490,176) | 19,490,176 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 3.3% | |||
48,882,501 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 48,882,501 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $48,882,501) | 48,882,501 | ||
TOTAL INVESTMENTS (Cost $1,031,247,755) | 103.4% | $1,524,434,725 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (3.4) | (49,592,023) | |
NET ASSETS | 100.0% | $1,474,842,702 |
* | 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. |
124 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 10.1% | $ 148,871,900 | |
Equity Real Estate Investment Trusts | 7.6 | 111,802,240 | |
Software | 6.8 | 100,172,283 | |
Trading Companies & Distributors | 5.4 | 78,843,144 | |
Health Care Equipment & Supplies | 5.3 | 77,496,784 | |
Construction & Engineering | 4.3 | 63,953,022 | |
Oil, Gas & Consumable Fuels | 3.9 | 57,905,548 | |
Capital Markets | 3.7 | 54,677,488 | |
Health Care Technology | 3.2 | 47,274,900 | |
Pharmaceuticals | 3.1 | 45,785,060 | |
Health Care Providers & Services | 3.1 | 45,479,046 | |
Semiconductors & Semiconductor Equipment | 2.8 | 40,898,374 | |
Household Durables | 2.7 | 40,328,354 | |
Chemicals | 2.7 | 39,900,970 | |
Professional Services | 2.7 | 39,393,977 | |
Interactive Media & Services | 2.6 | 38,090,939 | |
Specialty Retail | 2.4 | 35,704,530 | |
Machinery | 2.3 | 34,422,527 | |
Life Sciences Tools & Services | 2.2 | 32,863,350 | |
Containers & Packaging | 1.9 | 27,875,788 | |
Electric Utilities | 1.8 | 26,571,526 | |
Hotels, Restaurants & Leisure | 1.7 | 25,356,313 | |
Food Products | 1.5 | 21,712,689 | |
Building Products | 1.5 | 21,424,545 | |
Gas Utilities | 1.4 | 21,014,385 | |
Air Freight & Logistics | 1.4 | 21,001,238 | |
Insurance | 1.3 | 19,620,786 | |
Communications Equipment | 1.1 | 16,308,336 | |
Household Products | 1.1 | 15,986,150 | |
Media | 1.1 | 15,802,772 | |
Auto Components | 1.0 | 14,580,092 | |
Thrifts & Mortgage Finance | 1.0 | 14,340,762 | |
Electronic Equipment, Instruments & Components | 0.9 | 13,745,768 | |
Electrical Equipment | 0.9 | 13,577,105 | |
Biotechnology | 0.9 | 12,769,898 | |
Multi-line Retail | 0.7 | 10,709,746 | |
Food & Staples Retailing | 0.7 | 9,799,713 | |
TOTAL COMMON STOCKS | 98.8% | $1,456,062,048 | |
REPURCHASE AGREEMENT | 1.3 | 19,490,176 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 3.3 | 48,882,501 | |
TOTAL INVESTMENTS | 103.4% | $1,524,434,725 |
125 |
Shares | Value | ||
COMMON STOCKS* — 99.5% | |||
Aerospace & Defense — 2.1% | |||
5,373 | Raytheon Technologies Corp. | $ 477,445 | |
Air Freight & Logistics — 2.0% | |||
2,106 | United Parcel Service, Inc. - Class B | 449,568 | |
Banks — 2.1% | |||
2,736 | JPMorgan Chase & Co. | 464,819 | |
Beverages — 2.6% | |||
3,514 | PepsiCo, Inc. | 567,862 | |
Biotechnology — 1.9% | |||
2,027 | Amgen, Inc. | 419,528 | |
Capital Markets — 8.9% | |||
1,304 | Ameriprise Financial, Inc. | 393,978 | |
413 | BlackRock, Inc. | 389,649 | |
7,066 | Charles Schwab Corp. (The) | 579,624 | |
2,707 | Northern Trust Corp. | 333,069 | |
1,299 | T Rowe Price Group, Inc. | 281,727 | |
1,978,047 | |||
Chemicals — 3.8% | |||
1,279 | Air Products and Chemicals, Inc. | 383,457 | |
2,835 | PPG Industries, Inc. | 455,216 | |
838,673 | |||
Communications Equipment — 2.9% | |||
11,336 | Cisco Systems, Inc. | 634,476 | |
Distributors — 1.1% | |||
1,850 | Genuine Parts Co. | 242,554 | |
Electrical Equipment — 4.0% | |||
2,696 | Eaton Corp. PLC | 444,193 | |
1,398 | Rockwell Automation, Inc. | 446,521 | |
890,714 | |||
Electronic Equipment, Instruments & Components — 2.1% | |||
3,258 | TE Connectivity, Ltd. | 475,668 | |
Food Products — 2.9% | |||
1,987 | Hershey Co. (The) | 348,420 | |
4,990 | Mondelez International, Inc. - Class A | 303,093 | |
651,513 | |||
Gas Utilities — 1.9% | |||
9,792 | UGI Corp. | 425,071 | |
Health Care Equipment & Supplies — 3.7% | |||
3,423 | Abbott Laboratories | 441,190 | |
3,238 | Medtronic PLC | 388,107 | |
829,297 | |||
Health Care Providers & Services — 2.1% | |||
3,149 | Quest Diagnostics, Inc. | 462,210 | |
Hotels, Restaurants & Leisure — 3.5% | |||
1,959 | McDonald’s Corp. | 481,032 | |
2,785 | Starbucks Corp. | 295,405 | |
776,437 | |||
Household Durables — 1.6% | |||
2,529 | Garmin, Ltd. | 363,164 |
126 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Household Products — 3.5% | |||
5,038 | Colgate-Palmolive Co. | $ 383,845 | |
2,835 | Procter & Gamble Co. (The) | 405,377 | |
789,222 | |||
Insurance — 5.7% | |||
6,140 | Aflac, Inc. | 329,534 | |
1,563 | Allstate Corp. (The) | 193,296 | |
1,318 | Everest Re Group, Ltd. | 344,657 | |
6,161 | Principal Financial Group, Inc. | 413,342 | |
1,280,829 | |||
IT Services — 4.1% | |||
984 | Accenture PLC - Class A | 353,050 | |
4,576 | Paychex, Inc. | 564,129 | |
917,179 | |||
Machinery — 5.1% | |||
1,574 | Cummins, Inc. | 377,508 | |
1,426 | Illinois Tool Works, Inc. | 324,943 | |
2,175 | Snap-on, Inc. | 442,025 | |
1,144,476 | |||
Media — 4.2% | |||
9,683 | Comcast Corp. - Class A | 497,996 | |
11,689 | Interpublic Group of Cos., Inc. (The) | 427,467 | |
925,463 | |||
Multi-Utilities — 3.1% | |||
5,402 | Dominion Energy, Inc. | 410,174 | |
2,401 | DTE Energy Co. | 272,153 | |
682,327 | |||
Oil, Gas & Consumable Fuels — 3.2% | |||
3,434 | Chevron Corp. | 393,159 | |
4,380 | Phillips 66 | 327,536 | |
720,695 | |||
Pharmaceuticals — 9.2% | |||
7,439 | Bristol-Myers Squibb Co. | 434,438 | |
2,874 | Eli Lilly & Co. | 732,180 | |
3,729 | Johnson & Johnson | 607,380 | |
6,407 | Pfizer, Inc. | 280,242 | |
2,054,240 | |||
Road & Rail — 2.2% | |||
1,988 | Union Pacific Corp. | 479,903 | |
Semiconductors & Semiconductor Equipment — 3.0% | |||
3,553 | Texas Instruments, Inc. | 666,116 | |
Specialty Retail — 4.4% | |||
1,692 | Home Depot, Inc. (The) | 628,984 | |
5,495 | TJX Cos., Inc. (The) | 359,868 | |
988,852 | |||
Technology Hardware, Storage & Peripherals — 2.6% | |||
6,485 | NetApp, Inc. | 579,111 | |
TOTAL COMMON STOCKS (Cost $14,985,452) | 22,175,459 |
127 |
Face Amount | Value | ||
REPURCHASE AGREEMENT* — 0.5% | |||
$120,692 | With Fixed Income Clearing Corp., dated 10/29/21, 0.00%, principal and interest in the amount of $120,692, due 11/1/21, (collateralized by a U.S. Treasury Note with a par value of $107,900, coupon rate of 0.125%, due 04/15/25, market value of $123,145) | $ 120,692 | |
TOTAL REPURCHASE AGREEMENT (Cost $120,692) | 120,692 | ||
TOTAL INVESTMENTS (Cost $15,106,144) | 100.0% | $22,296,151 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.0) | (37) | |
NET ASSETS | 100.0% | $22,296,114 |
* | Percentages indicated are based on net assets. |
128 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Pharmaceuticals | 9.2% | $ 2,054,240 | |
Capital Markets | 8.9 | 1,978,047 | |
Insurance | 5.7 | 1,280,829 | |
Machinery | 5.1 | 1,144,476 | |
Specialty Retail | 4.4 | 988,852 | |
Media | 4.2 | 925,463 | |
IT Services | 4.1 | 917,179 | |
Electrical Equipment | 4.0 | 890,714 | |
Chemicals | 3.8 | 838,673 | |
Health Care Equipment & Supplies | 3.7 | 829,297 | |
Household Products | 3.5 | 789,222 | |
Hotels, Restaurants & Leisure | 3.5 | 776,437 | |
Oil, Gas & Consumable Fuels | 3.2 | 720,695 | |
Multi-Utilities | 3.1 | 682,327 | |
Semiconductors & Semiconductor Equipment | 3.0 | 666,116 | |
Food Products | 2.9 | 651,513 | |
Communications Equipment | 2.9 | 634,476 | |
Technology Hardware, Storage & Peripherals | 2.6 | 579,111 | |
Beverages | 2.6 | 567,862 | |
Road & Rail | 2.2 | 479,903 | |
Aerospace & Defense | 2.1 | 477,445 | |
Electronic Equipment, Instruments & Components | 2.1 | 475,668 | |
Banks | 2.1 | 464,819 | |
Health Care Providers & Services | 2.1 | 462,210 | |
Air Freight & Logistics | 2.0 | 449,568 | |
Gas Utilities | 1.9 | 425,071 | |
Biotechnology | 1.9 | 419,528 | |
Household Durables | 1.6 | 363,164 | |
Distributors | 1.1 | 242,554 | |
TOTAL COMMON STOCKS | 99.5% | $22,175,459 | |
REPURCHASE AGREEMENT | 0.5 | 120,692 | |
TOTAL INVESTMENTS | 100.0% | $22,296,151 |
129 |
Shares | Value | ||
EXCHANGE-TRADED FUNDS* — 5.3% | |||
22,100 | SPDR S&P 500 ETF Trust1 | $ 10,149,425 | |
30,000 | Vanguard S&P 500 ETF1 | 12,664,800 | |
TOTAL EXCHANGE-TRADED FUNDS (Cost $6,430,609) | 22,814,225 | ||
Face Amount | |||
U.S. TREASURY BILLS* — 26.7% | |||
$60,000,000 | U.S. Treasury Bill, 0.047% due 01/6/221 | 59,992,557 | |
55,000,000 | U.S. Treasury Bill, 0.055% due 04/7/221 | 54,986,208 | |
TOTAL U.S. TREASURY BILLS (Cost $114,981,758) | 114,978,765 | ||
REPURCHASE AGREEMENT* — 1.7% | |||
7,484,965 | With Fixed Income Clearing Corp., dated 10/29/21, 0.00%, principal and interest in the amount of $7,484,965, due 11/1/21, (collateralized by a U.S. Treasury Note with a par value of $7,064,700, coupon rate of 2.875%, due 05/31/25, market value of $7,634,746) | 7,484,965 | |
TOTAL REPURCHASE AGREEMENT (Cost $7,484,965) | 7,484,965 | ||
TOTAL PURCHASED OPTIONS (Cost $955,943,280) | 232.7% | 1,003,848,975 | |
TOTAL INVESTMENTS (Cost $1,084,840,612) | 266.4% | $1,149,126,930 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (166.4) | (717,739,446) | |
NET ASSETS2 | 100.0% | $ 431,387,484 |
* | 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 $8,581,321 is held as collateral to secure the open written call and put options contracts. |
130 |
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 | 12/17/21 | USD | 2,790 | $ 1,284,901,200 | $1,003,800,150 | $ 955,508,040 | $ 48,292,110 | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 12/17/21 | USD | 2,790 | 1,284,901,200 | 48,825 | 435,240 | (386,415) | ||||||||
TOTAL PURCHASED OPTIONS | $ 2,569,802,400 | $1,003,848,975 | $ 955,943,280 | $ 47,905,695 | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 12/17/21 | USD | 2,790 | (1,284,901,200) | (724,995,450) | (677,172,060) | (47,823,390) | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 4,300.00 | 11/19/21 | USD | 770 | (354,614,260) | (773,850) | (2,130,516) | 1,356,666 | ||||||||
S&P 500 Index | OCC** | 4,500.00 | 11/19/21 | USD | 50 | (23,026,900) | (137,250) | (398,375) | 261,125 | ||||||||
S&P 500 Index | OCC** | 1,000.00 | 12/17/21 | USD | 2,790 | (1,284,901,200) | (6,975) | (39,060) | 32,085 | ||||||||
TOTAL PUTS | $(1,662,542,360) | $ (918,075) | $ (2,567,951) | $ 1,649,876 | |||||||||||||
TOTAL WRITTEN OPTIONS | $(2,947,443,560) | $ (725,913,525) | $(679,740,011) | $(46,173,514) |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
Purchased Options | 232.7% | $ 1,003,848,975 | |
U.S. Treasury Bills | 26.7 | 114,978,765 | |
Exchange-Traded Funds | 5.3 | 22,814,225 | |
TOTAL | 264.7% | $1,141,641,965 | |
REPURCHASE AGREEMENT | 1.7 | 7,484,965 | |
TOTAL INVESTMENTS | 266.4% | $1,149,126,930 |
* | This table does not include written options. Please refer to the Schedule of Portfolio Investments for information on written options. |
131 |
Shares | Value | ||
EXCHANGE-TRADED FUND* — 1.8% | |||
6,000 | iShares MSCI Emerging Markets ETF | $ 305,520 | |
TOTAL EXCHANGE-TRADED FUND (Cost $261,090) | 305,520 | ||
Face Amount | |||
U.S. TREASURY BILLS* — 24.5% | |||
$2,000,000 | U.S. Treasury Bill, 0.047% due 01/6/221 | 1,999,752 | |
2,200,000 | U.S. Treasury Bill, 0.055% due 04/7/221 | 2,199,448 | |
TOTAL U.S. TREASURY BILLS (Cost $4,199,305) | 4,199,200 | ||
REPURCHASE AGREEMENT* — 5.0% | |||
854,352 | With Fixed Income Clearing Corp., dated 10/29/21, 0.00%, principal and interest in the amount of $854,352, due 11/1/21, (collateralized by a U.S. Treasury Note with a par value of $806,400, coupon rate of 2.875%, due 05/31/25, market value of $871,468) | 854,352 | |
TOTAL REPURCHASE AGREEMENT (Cost $854,352) | 854,352 | ||
TOTAL PURCHASED OPTIONS (Cost $37,689,520) | 230.7% | 39,578,275 | |
TOTAL INVESTMENTS (Cost $43,004,267) | 262.0% | $ 44,937,347 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (162.0) | (27,785,174) | |
NET ASSETS2 | 100.0% | $ 17,152,173 |
* | 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 $947,986 is held as collateral to secure the open written call and put options contracts. |
132 |
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 | 12/17/21 | USD | 110 | $ 50,659,180 | $ 39,576,350 | $ 37,672,360 | $ 1,903,990 | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 12/17/21 | USD | 110 | 50,659,180 | 1,925 | 17,160 | (15,235) | ||||||||
TOTAL PURCHASED OPTIONS | $ 101,318,360 | $ 39,578,275 | $ 37,689,520 | $ 1,888,755 | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 12/17/21 | USD | 110 | (50,659,180) | (28,584,050) | (26,698,540) | (1,885,510) | ||||||||
PUTS: | |||||||||||||||||
iShares MSCI Emerging Market ETF | OCC** | 55.00 | 11/19/21 | USD | 225 | (1,145,700) | (91,688) | (72,058) | (19,630) | ||||||||
iShares MSCI EAFE ETF | OCC** | 80.00 | 11/19/21 | USD | 530 | (4,265,970) | (29,415) | (64,685) | 35,270 | ||||||||
Russell 2000 Index | OCC** | 2,250.00 | 11/19/21 | USD | 6 | (1,378,314) | (13,890) | (28,185) | 14,295 | ||||||||
S&P 500 Index | OCC** | 4,470.00 | 11/19/21 | USD | 17 | (7,829,146) | (39,610) | (142,955) | 103,345 | ||||||||
S&P 500 Index | OCC** | 1,000.00 | 12/17/21 | USD | 110 | (50,659,180) | (275) | (1,540) | 1,265 | ||||||||
TOTAL PUTS | $ (65,278,310) | $ (174,878) | $ (309,423) | $ 134,545 | |||||||||||||
TOTAL WRITTEN OPTIONS | $(115,937,490) | $(28,758,928) | $(27,007,963) | $(1,750,965) |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
Purchased Options | 230.7% | $ 39,578,275 | |
U.S. Treasury Bills | 24.5 | 4,199,200 | |
Exchange-Traded Fund | 1.8 | 305,520 | |
TOTAL | 257.0% | $44,082,995 | |
REPURCHASE AGREEMENT | 5.0 | 854,352 | |
TOTAL INVESTMENTS | 262.0% | $44,937,347 |
* | This table does not include written options. Please refer to the Schedule of Portfolio Investments for information on written options. |
133 |
Face Amount | Value | ||
AGENCY NOTES* — 21.1% | |||
Federal Home Loan Bank — 11.8% | |||
$ 5,000,000 | 0.250% due 12/4/23 | $ 4,974,015 | |
15,000,000 | 2.750% due 12/13/24 | 15,890,408 | |
7,000,000 | 0.375% due 9/23/25 | 6,827,988 | |
15,000,000 | 3.250% due 11/16/281 | 16,780,448 | |
4,000,000 | 5.500% due 7/15/36 | 5,825,262 | |
50,298,121 | |||
Federal National Mortgage Association — 9.3% | |||
10,000,000 | 2.000% due 10/5/221 | 10,169,547 | |
5,100,000 | 0.250% due 11/27/23 | 5,073,113 | |
15,000,000 | 2.625% due 9/6/241 | 15,821,895 | |
7,960,000 | 2.125% due 4/24/261 | 8,313,085 | |
39,377,640 | |||
TOTAL AGENCY NOTES (Cost $88,000,601) | 89,675,761 | ||
MORTGAGE-BACKED SECURITIES*,2 — 31.1% | |||
Federal Home Loan Mortgage Corporation — 11.7% | |||
457 | # G18163, 5.500% due 1/1/22 | 458 | |
13,173 | # G13396, 5.500% due 12/1/23 | 13,453 | |
31,537 | # D78677, 8.000% due 3/1/27 | 32,109 | |
62,114 | # C00742, 6.500% due 4/1/29 | 69,886 | |
1,878,820 | # J38111, 3.000% due 12/1/32 | 1,987,361 | |
12,614 | # A68937, 6.000% due 11/1/37 | 14,259 | |
171,647 | # A69653, 5.500% due 12/1/37 | 200,823 | |
211,849 | # A73370, 5.000% due 2/1/38 | 242,579 | |
154,129 | # A90421, 4.500% due 12/1/39 | 171,772 | |
135,484 | # A92890, 4.500% due 7/1/40 | 148,439 | |
646,342 | # A97620, 4.500% due 3/1/41 | 716,589 | |
989,954 | # C03770, 3.500% due 2/1/42 | 1,067,664 | |
656,766 | # Q07651, 3.500% due 4/1/42 | 711,336 | |
1,196,643 | # Q41208, 3.500% due 6/1/46 | 1,282,190 | |
4,483,498 | # G08737, 3.000% due 12/1/46 | 4,723,727 | |
1,562,323 | # Q45735, 3.000% due 1/1/47 | 1,647,949 | |
3,390,480 | # Q46279, 3.500% due 2/1/47 | 3,613,112 | |
3,288,211 | # Q47596, 4.000% due 4/1/47 | 3,546,185 | |
9,874,719 | # RA3173, 3.000% due 7/1/50 | 10,352,824 | |
3,399,553 | # SD8083, 2.500% due 8/1/50 | 3,493,930 | |
14,796,378 | # SD8152, 3.000% due 6/1/51 | 15,446,342 | |
49,482,987 | |||
Federal National Mortgage Association — 19.3% | |||
334 | # 125275, 7.000% due 3/1/24 | 350 | |
229,593 | # AH6827, 4.000% due 3/1/26 | 243,355 | |
218,616 | # AI1657, 4.000% due 4/1/26 | 231,359 | |
382,454 | # AB3900, 3.000% due 11/1/26 | 401,514 | |
14,417 | # 373328, 8.000% due 3/1/27 | 14,480 | |
607,508 | # AK4751, 3.000% due 4/1/27 | 641,565 | |
8,827 | # 390895, 8.000% due 6/1/27 | 8,954 | |
1,085,567 | # AO0533, 3.000% due 6/1/27 | 1,141,051 | |
28,838 | # 397602, 8.000% due 8/1/27 | 29,286 | |
469 | # 499335, 6.500% due 8/1/29 | 528 | |
3,032 | # 252806, 7.500% due 10/1/29 | 3,513 | |
198 | # 523497, 7.500% due 11/1/29 | 220 | |
2,509,208 | # BC2462, 3.000% due 2/1/31 | 2,635,981 | |
978 | # 588945, 7.000% due 6/1/31 | 1,055 | |
4,408,264 | # AS7429, 2.500% due 6/1/31 | 4,599,714 | |
45,297 | # 607862, 7.000% due 9/1/31 | 49,765 | |
1,966 | # 656872, 6.500% due 8/1/32 | 2,211 | |
3,130,786 | # MA3391, 3.000% due 6/1/33 | 3,295,288 |
134 |
Face Amount | Value | ||
MORTGAGE-BACKED SECURITIES*,2 — (Continued) | |||
Federal National Mortgage Association — (Continued) | |||
$ 92,386 | # 789856, 6.000% due 8/1/34 | $ 105,456 | |
22,836 | # 829202, 5.000% due 7/1/35 | 25,670 | |
67,429 | # 826586, 5.000% due 8/1/35 | 76,750 | |
15,841 | # 256216, 7.000% due 4/1/36 | 18,558 | |
45,399 | # 898412, 5.000% due 10/1/36 | 50,165 | |
9,364 | # 910894, 5.000% due 2/1/37 | 10,434 | |
15,884 | # 912456, 6.500% due 3/1/37 | 17,867 | |
220,898 | # 973241, 5.000% due 3/1/38 | 252,692 | |
60,187 | # 975593, 5.000% due 6/1/38 | 68,883 | |
82,948 | # 257573, 5.500% due 2/1/39 | 96,902 | |
219,887 | # AD7128, 4.500% due 7/1/40 | 244,016 | |
9,972,603 | # MA4152, 2.000% due 10/1/40 | 10,027,492 | |
2,589,934 | # AH1568, 4.500% due 12/1/40 | 2,894,914 | |
939,495 | # AH6991, 4.000% due 1/1/41 | 1,029,855 | |
569,788 | # AH4004, 4.500% due 3/1/41 | 636,573 | |
536,080 | # AH8351, 4.000% due 3/1/41 | 592,201 | |
516,853 | # AJ1315, 4.000% due 9/1/41 | 568,462 | |
657,728 | # AI8779, 4.000% due 11/1/41 | 726,698 | |
935,371 | # AJ5958, 4.000% due 12/1/41 | 1,031,645 | |
356,365 | # AK5070, 3.500% due 3/1/42 | 380,021 | |
1,543,707 | # AK5426, 3.500% due 3/1/42 | 1,668,201 | |
3,777,297 | # AT7682, 3.500% due 6/1/43 | 4,098,983 | |
2,000,381 | # AS6326, 3.500% due 12/1/45 | 2,149,216 | |
1,642,252 | # AS6881, 3.500% due 3/1/46 | 1,760,444 | |
2,204,306 | # BC0960, 4.000% due 6/1/46 | 2,401,093 | |
1,388,282 | # AS8966, 4.000% due 3/1/47 | 1,497,071 | |
1,908,783 | # AS9988, 4.500% due 7/1/47 | 2,077,420 | |
2,093,014 | # MA3210, 3.500% due 12/1/47 | 2,224,934 | |
1,670,420 | # BJ9251, 3.500% due 6/1/48 | 1,767,577 | |
6,804,294 | # FM3727, 3.000% due 7/1/50 | 7,132,427 | |
6,245,778 | # BQ2863, 2.500% due 9/1/50 | 6,421,638 | |
10,160,793 | # CA7231, 2.500% due 10/1/50 | 10,461,192 | |
5,970,276 | # MA4439, 3.000% due 10/1/51 | 6,263,521 | |
82,079,160 | |||
Government National Mortgage Association — 0.1% | |||
9,258 | # 476259, 7.000% due 8/15/28 | 9,295 | |
3,544 | # 485264, 7.500% due 2/15/31 | 3,559 | |
6,672 | # 559304, 7.000% due 9/15/31 | 6,773 | |
138,620 | # 651859, 5.000% due 6/15/36 | 159,653 | |
96,869 | # 782150, 5.500% due 4/15/37 | 113,677 | |
13,985 | # 662521, 6.000% due 8/15/37 | 16,092 | |
33,147 | # 677545, 6.000% due 11/15/37 | 37,250 | |
20,703 | # 676291, 6.000% due 12/15/37 | 23,220 | |
34,011 | # 685836, 5.500% due 4/15/38 | 38,277 | |
187,268 | # 698235, 5.000% due 6/15/39 | 217,063 | |
624,859 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $130,854,469) | 132,187,006 | ||
CORPORATE NOTES* — 27.6% | |||
Banking — 7.6% | |||
5,000,000 | Bank of America Corp., (3M USD LIBOR * 1.51 + 3.71%), 3.705% due 4/24/283 | 5,416,971 | |
5,000,000 | Bank of America Corp., (3M USD LIBOR * 1.81 + 4.24%), 4.244% due 4/24/383 | 5,854,350 | |
3,000,000 | Bank of America Corp., (SOFR* 1.01 + 1.20%), 1.197% due 10/24/263 | 2,950,043 | |
6,000,000 | JPMorgan Chase & Co., (3M USD LIBOR * 0.95 + 3.51%), 3.509% due 1/23/293 | 6,478,754 |
135 |
Face Amount | Value | ||
CORPORATE NOTES* — (Continued) | |||
Banking — (Continued) | |||
$ 5,000,000 | JPMorgan Chase & Co., (SOFR* 1.11 + 1.76%), 1.764% due 11/19/313 | $ 4,736,506 | |
6,500,000 | PNC Bank NA, 3.250% due 6/1/251 | 6,965,047 | |
32,401,671 | |||
Beverages, Food & Tobacco — 2.6% | |||
10,000,000 | Archer-Daniels-Midland Co., 3.250% due 3/27/30 | 10,945,636 | |
Communications — 4.2% | |||
14,000,000 | Amazon.com, Inc., 4.800% due 12/5/34 | 17,790,763 | |
Computer Software & Processing — 5.7% | |||
1,000,000 | Alphabet, Inc., 2.050% due 8/15/50 | 898,070 | |
11,250,000 | Apple, Inc., 4.500% due 2/23/361 | 14,060,202 | |
8,000,000 | Microsoft Corp., 3.450% due 8/8/36 | 9,194,534 | |
24,152,806 | |||
Heavy Machinery — 2.1% | |||
4,000,000 | Caterpillar, Inc., 2.600% due 4/9/301 | 4,194,308 | |
4,750,000 | John Deere Capital Corp., 0.700% due 7/5/23 | 4,764,735 | |
8,959,043 | |||
Insurance — 1.3% | |||
5,100,000 | Aflac, Inc., 2.875% due 10/15/26 | 5,420,683 | |
Media - Broadcasting & Publishing — 1.8% | |||
7,000,000 | Comcast Corp., 3.150% due 2/15/28 | 7,542,048 | |
Pharmaceuticals — 2.3% | |||
5,000,000 | Johnson & Johnson, 2.450% due 9/1/60 | 4,830,257 | |
5,000,000 | Merck & Co., Inc., 2.750% due 2/10/25 | 5,248,090 | |
10,078,347 | |||
TOTAL CORPORATE NOTES (Cost $112,382,928) | 117,290,997 | ||
U.S. TREASURY NOTES/BONDS* — 19.0% | |||
8,000,000 | U.S. Treasury Bonds, 6.625% due 2/15/27 | 10,214,375 | |
7,000,000 | U.S. Treasury Bonds, 3.500% due 2/15/39 | 8,746,992 | |
4,000,000 | U.S. Treasury Bonds, 3.125% due 11/15/41 | 4,770,625 | |
9,000,000 | U.S. Treasury Bonds, 3.750% due 11/15/43 | 11,844,844 | |
10,000,000 | U.S. Treasury Bonds, 2.250% due 8/15/46 | 10,541,406 | |
3,000,000 | U.S. Treasury Bonds, 3.000% due 5/15/47 | 3,642,891 | |
6,000,000 | U.S. Treasury Notes, 2.500% due 1/31/24 | 6,256,172 |
136 |
Face Amount | Value | ||
U.S. TREASURY NOTES/BONDS* — (Continued) | |||
$10,000,000 | U.S. Treasury Notes, 2.875% due 5/31/25 | $ 10,685,937 | |
2,000,000 | U.S. Treasury Notes, 1.875% due 7/31/26 | 2,066,797 | |
6,000,000 | U.S. Treasury Notes, 2.250% due 8/15/27 | 6,310,781 | |
5,000,000 | U.S. Treasury Notes, 3.125% due 11/15/28 | 5,560,352 | |
TOTAL U.S. TREASURY NOTES/BONDS (Cost $78,501,629) | 80,641,172 | ||
REPURCHASE AGREEMENT* — 2.4% | |||
10,070,273 | With Fixed Income Clearing Corp., dated 10/29/21, 0.00%, principal and interest in the amount of $10,070,273, due 11/1/21, (collateralized by a U.S. Treasury Note-Bill with a par value of $10,237,900, coupon rate of 0.250% - 2.875%, due 01/15/22-10/31/25, market value of $10,271,727) | 10,070,273 | |
TOTAL REPURCHASE AGREEMENT (Cost $10,070,273) | 10,070,273 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 6.5% | |||
27,537,200 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 27,537,200 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $27,537,200) | 27,537,200 | ||
TOTAL INVESTMENTS (Cost $447,347,100) | 107.7% | $457,402,409 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (7.7) | (32,890,503) | |
NET ASSETS | 100.0% | $424,511,906 |
* | Percentages indicated are based on net assets. |
1 | Securities or partial securities on loan. See Note 1. |
2 | Represents current face amount at October 31, 2021. |
3 | Floating Rate Bond. Rate shown is as of October 31, 2021. |
4 | Represents an investment of securities lending cash collateral. |
137 |
% of Net Assets | Value | ||
Sector: | |||
Federal National Mortgage Association | 28.6% | $ 121,456,800 | |
Corporate | 27.6 | 117,290,997 | |
U.S. Treasury Notes/Bonds | 12.4 | 53,029,805 | |
Federal Home Loan Bank | 11.8 | 50,298,121 | |
Federal Home Loan Mortgage Corporation | 11.7 | 49,482,987 | |
U.S. Treasury | 6.6 | 27,611,367 | |
Government National Mortgage Association | 0.1 | 624,859 | |
TOTAL | 98.8% | $419,794,936 | |
REPURCHASE AGREEMENT | 2.4 | 10,070,273 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 6.5 | 27,537,200 | |
TOTAL INVESTMENTS | 107.7% | $457,402,409 |
138 |
Face Amount | Value | ||
CORPORATE NOTES* — 0.9% | |||
Health Care Services — 0.9% | |||
$ 500,000 | CommonSpirit Health, 1.547% due 10/1/25 | $ 498,590 | |
TOTAL CORPORATE NOTES (Cost $502,022) | 498,590 | ||
MUNICIPAL BONDS* — 94.6% | |||
Alabama — 1.8% | |||
325,000 | Alabama State Public School and College Authority, Revenue Bonds, Series C, 5.000% due 9/1/22 | 338,008 | |
500,000 | Black Belt Energy Gas District, AL, Revenue Bonds, Project No.6, 4.000% due 10/1/521 | 570,872 | |
100,000 | Southeast Energy Authority, AL, Cooperative District, Revenue Bonds, Series A, 4.000% due 10/1/23 | 106,522 | |
1,015,402 | |||
Arizona — 1.7% | |||
250,000 | City of Phoenix, AZ, Civic Improvement Corporation Airport, AMT, Junior Line Airport, Revenue Bonds, Series B, 5.000% due 7/1/23 | 269,181 | |
100,000 | City of Yuma AZ, Revenue Bonds, Taxable, 0.527% due 7/15/23 | 99,819 | |
175,000 | City of Yuma AZ, Revenue Bonds,Refunding, 4.000% due 7/1/23 | 185,406 | |
400,000 | Yuma, AZ, Municipal Property Corp., Excise Tax Revenue, Revenue Bonds, Refunding, 5.000% due 7/1/22 | 412,572 | |
966,978 | |||
California — 3.6% | |||
340,000 | California State University, Revenue Bonds, Series D, 0.885% due 11/1/25 | 336,644 | |
California State, General Obligation Unlimited, Refunding: | |||
500,000 | 5.000% due 9/1/23 | 543,132 | |
300,000 | 5.000% due 4/1/24 | 333,775 | |
350,000 | City of Los Angeles, CA, Department of Airports, Airports, Revenue Bonds, Series D, 5.000% due 5/15/23 | 375,242 | |
450,000 | Golden State Tobacco Securitization Corp, CA, Revenue Bonds, Taxable Refunding, 1.400% due 6/1/25 | 449,293 | |
2,038,086 | |||
Colorado — 3.2% | |||
450,000 | City and County of Denver, CO, Airport, Revenue Bonds, Variable Refunding, Govermental, Series C, 0.877% due 11/15/23 | 452,218 | |
200,000 | City and County of Denver, CO, Airport, Revenue Bonds, Variable Refunding, Govermental, Series D, 5.000% due 11/15/311 | 209,579 | |
125,000 | Colorado State Housing and Finance Authority, Revenue Bonds, AMT - Class 1 Bonds, Series A (GNMA Insured), 1.400% due 11/1/22 | 125,891 | |
750,000 | E-470, CO, Public Highway Authority, Revenue Bonds, Variable Refunding, Series B, (SOFR*0.67+0.35%), 0.384% due 9/1/392 | 751,600 | |
250,000 | Larimer Weld and Boulder County, CO School District R-2J Thompson, General Obligation Unlimited,Refunding (State Aid Withholding), 5.000% due 12/15/21 | 251,453 | |
1,790,741 | |||
Connecticut — 5.0% | |||
605,000 | Connecticut Housing Finance Authority, Revenue Bonds, Taxable Refunding, Series A, 0.300% due 11/15/22 | 604,467 | |
750,000 | Connecticut State Health and Educational Facilities Authority, Revenue Bonds, Refunding, Nuvance Halthe Issue, Series A, 1.100% due 7/1/481 | 757,742 |
139 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Connecticut — (Continued) | |||
$ 500,000 | Connecticut State, Special Tax Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 1/1/23 | $ 527,803 | |
285,000 | Connecticut, CT, General Obligation Unlimited, Refunding, Series C, 5.000% due 6/1/24 | 292,763 | |
100,000 | Metropolitan District (The), CT, Revenue Bonds, Taxable Refunding, 0.411% due 4/1/22 | 100,087 | |
University of Connecticut, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 11/15/23 | 261,962 | |
250,000 | 5.000% due 8/15/26 | 269,145 | |
2,813,969 | |||
District Of Columbia — 2.0% | |||
1,000,000 | Metropolitan Washington, DC, Airports Authority, Airport System, Revenue Bonds, AMT - Forward Delivery, Refunding, Series A, 5.000% due 10/1/24 | 1,126,835 | |
Florida — 5.8% | |||
275,000 | Central Florida Expressway Authority Senior Line, Revenue Bonds, Series A, 5.000% due 7/1/23 | 296,290 | |
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 | 366,036 | |
500,000 | County of Broward FL Port Facilities, Revenue Bonds, Refunding, Subordinate Bond, Series D, 5.000% due 9/1/24 | 559,337 | |
100,000 | County of Miami-Dade FL Aviation Revenue, Revenue Bonds, Taxable Refunding, 2.504% due 10/1/24 | 104,612 | |
385,000 | Hillsborough County School Board, FL, Revenue Bonds, Refunding, (AGM Insured), 5.000% due 10/1/23 | 418,123 | |
390,000 | Manatee County, FL, Port Authority, Revenue Bonds,Taxable Refunding, 0.619% due 10/1/24 | 386,333 | |
255,000 | Orlando & Orange County, FL, Expressway Authority, Revenue Bonds, Refunding, 5.000% due 7/1/23 | 263,112 | |
535,000 | Orlando, FL, Utilities Commission, Revenue Bonds, Series A, 5.000% due 10/1/23 | 583,505 | |
245,000 | School District of Broward County, FL, Certificate Participation, Refunding, BAM-TCRS, 5.000% due 7/1/23 | 264,096 | |
3,241,444 | |||
Georgia — 0.6% | |||
200,000 | Atlanta, GA, Airport General Revenue, Revenue Bonds, Series C, 5.000% due 1/1/23 | 201,537 | |
105,000 | Municipal Electric Authority of Georgia, Revenue Bonds, Taxable Refunding, Series B, 1.421% due 1/1/25 | 105,008 | |
306,545 | |||
Illinois — 5.7% | |||
500,000 | Chicago, IL, O’Hare International Airport, Revenue Bonds, Refunding, Series B, 5.672% due 1/1/22 | 504,430 | |
300,000 | Cook County, IL, School District No. 100 South Berwyn, General Obligation Unlimited, Refunding, (BAM), 4.000% due 12/1/23 | 321,299 | |
500,000 | DeKalb County, IL, Community Unit School District No. 428 DeKalb, General Obligation Unlimited, Refunding, 5.000% due 1/1/24 | 548,696 | |
500,000 | Illinois State Sales Tax Revenue, Revenue Bonds, Series B, 0.941% due 6/15/24 | 495,357 | |
225,000 | Illinois State Toll Highway Authority, Revenue Bonds, Refunding, Series D, 5.000% due 1/1/23 | 237,321 | |
500,000 | Illinois State, General Obligation Unlimited, Series C, 4.000% due 3/1/24 | 538,866 | |
255,000 | McHenry County, IL, Conservation District, General Obligation Unlimited, Refunding, 5.000% due 2/1/24 | 281,223 |
140 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
$ 295,000 | St. Clair County, IL, Community Unit School District No 19, General Obligation Unlimited, Refunding, 4.000% due 2/1/22 | $ 297,749 | |
3,224,941 | |||
Kansas — 0.7% | |||
375,000 | Wyandotte County-Kansas City, KS, Unified Government, General Obligation Unlimited, Series A, (AGMC Insured), 4.000% due 8/1/24 | 410,912 | |
Kentucky — 1.6% | |||
Kentucky State Property & Building Commission, Revenue Bonds, Refunding Project No. 112, Series B: | |||
260,000 | 5.000% due 11/1/21 | 260,000 | |
285,000 | 5.000% due 11/1/24 | 323,832 | |
300,000 | Louisville & Jefferson County, KY, Metropolitan Government Health System Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/23 | 326,413 | |
910,245 | |||
Louisiana — 0.9% | |||
500,000 | New Orleans, LA, Sewage Service Revenue, Revenue Bonds, Refunding, 5.000% due 6/1/22 | 513,724 | |
Maryland — 1.5% | |||
250,000 | Maryland State Department of Transportation, Revenue Bonds, Taxable Refunding, Series A, 0.806% due 8/1/25 | 246,828 | |
500,000 | Maryland State, General Obligation Unlimited, Refunding, Series B, 5.000% due 8/1/24 | 563,857 | |
810,685 | |||
Michigan — 4.8% | |||
500,000 | Hazel Park, MI, School District, General Obligation Unlimited, Refunding, Q-SBLF, 4.000% due 5/1/24 | 544,127 | |
425,000 | Maple Valley, MI, Schools, General Obligation Unlimited, Refunding (QSBLF Insured), 4.000% due 5/1/23 | 447,698 | |
500,000 | Michigan State Building Authority, Revenue Bonds,Taxable Refunding, 0.461% due 10/15/22 | 500,750 | |
200,000 | Michigan State Finance Authority Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 5/15/23 | 214,328 | |
200,000 | Michigan State Finance Authority Revenue, Revenue Bonds, Refunding, Series MI-1, 5.000% due 12/1/23 | 219,338 | |
250,000 | Michigan State Finance Authority Revenue, Revenue Bonds, Taxable-Refunding-Trainity Health Credit Group, Series T, 2.208% due 12/1/23 | 257,109 | |
500,000 | Michigan State, Finance Authority Revenue, Revenue Bonds, Series 2019B, 3.500% due 11/15/441 | 516,092 | |
2,699,442 | |||
Minnesota — 1.0% | |||
500,000 | Minneapolis-St Paul, MN, Metropolitan Airports Commission, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/25 | 567,196 | |
Nebraska — 0.2% | |||
100,000 | City of Lincoln NE Electric System Revenue, Revenue Bonds, Taxable Refunding, Series B, 0.399% due 9/1/23 | 99,777 | |
Nevada — 0.9% | |||
210,000 | Clark County School District, NV, General Obligation, Limited., Refunding, Series A, 5.000% due 6/15/24 | 234,418 | |
240,000 | Clark County School District, NV, General Obligation, Limited., Series D, 5.000% due 6/15/24 | 267,907 | |
502,325 |
141 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New Jersey — 4.1% | |||
$ 250,000 | County of Morris NJ, County Improvement Authority Revenue, Revenue Bonds, Series B, 0.571% due 2/1/24 | $ 247,903 | |
300,000 | Maple Shade Township School District, NJ, General Obligation Unlimited, Refunding, 5.000% due 10/1/253 | 347,445 | |
200,000 | New Jersey Economic Development Authority, Revenue Bonds, 5.000% due 3/1/23 | 203,024 | |
525,000 | New Jersey State Economic Development Authority Revenue, Revenue Bonds, Refunding, Series NN, 5.000% due 3/1/22 | 533,160 | |
180,000 | New Jersey State Turnpike Authority, Revenue Bonds, Series B, 5.000% due 1/1/23 | 189,705 | |
525,000 | New Jersey Turnpike Authority, Revenue Bonds, Taxable Refunding, Series B, 0.638% due 1/1/24 | 523,366 | |
275,000 | Township of Pennsauken NJ, General Obligation Unlimited, Taxable Refunding, 0.760% due 8/15/23 | 274,245 | |
2,318,848 | |||
New York — 7.1% | |||
615,000 | New York City, NY, General Obligation Unlimited,Refunding, Series B, 5.000% due 8/1/23 | 666,050 | |
500,000 | New York City, NY, Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds, 2.800% due 11/1/23 | 520,896 | |
New York State Dormitory Authority, Personal Income Tax, Revenue Bonds, Refunding, Series A: | |||
125,000 | 4.000% due 12/15/22 | 130,327 | |
250,000 | 5.000% due 3/15/24 | 277,805 | |
New York State Dormitory Authority, Sales Tax Revenue, Revenue Bonds, Series 2015B-A: | |||
210,000 | 5.000% due 3/15/23 | 223,632 | |
150,000 | 5.000% due 3/15/24 | 166,343 | |
New York State Urban Development Corp., Personal Income Tax, Revenue Bonds: | |||
250,000 | 5.000% due 3/15/22 | 254,473 | |
365,000 | 0.720% due 3/15/23 | 366,092 | |
350,000 | New York, Metropolitan Transportation Authority Revenue, Dedicated Tax Fund,Revenue Bonds, Series A, 5.255% due 11/15/22 | 367,082 | |
150,000 | Port Authority of New York & New Jersey, Revenue Bonds, Series 179, 5.000% due 12/1/26 | 164,503 | |
Port Authority of New York and New Jersey, Revenue Bonds: | |||
310,000 | 1.086% due 7/1/23 | 312,858 | |
200,000 | 5.000% due 10/15/23 | 217,748 | |
295,000 | Triborough Bridge and Tunnel Authority, NY, General Revenue Bonds, Refunding, Series A, 5.000% due 11/15/24 | 335,648 | |
4,003,457 | |||
Ohio — 4.2% | |||
City of Akron OH Income Tax Revenue, Revenue Bonds: | |||
355,000 | 4.000% due 12/1/22 | 369,011 | |
360,000 | 4.000% due 12/1/23 | 386,336 | |
390,000 | Ohio State, General Obligation Unlimited, Series C, 5.000% due 3/1/24 | 432,184 | |
325,000 | Ohio State, Higher Educational Facility Commission, Revenue Bonds, Refunding, 5.000% due 10/1/23 | 353,157 | |
425,000 | Ohio State, Hospital Facilities Revenue, Revenue Bonds, Series A, 5.000% due 1/15/23 | 429,056 | |
340,000 | Ohio State, Hospital Facilities Revenue, Revenue Bonds, Series B, 5.000% due 1/1/26 | 401,197 | |
2,370,941 | |||
Pennsylvania — 16.0% | |||
475,000 | Allegheny County, PA, General Obligation Unlimited, Refunding, Series C-75, 4.000% due 11/1/21 | 475,000 | |
300,000 | Allegheny County, PA, Hospital Development Authority, Revenue Bonds, Refunding University of Pittsburgh, Series A, 5.000% due 7/15/23 | 323,751 |
142 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
$ 325,000 | Allegheny County, PA, Hospital Development Authority, Revenue Bonds, Refunding University of Pittsburgh Center Series A, 5.000% due 7/15/25 | $ 376,440 | |
Bensalem Township, PA, School District, General Obligation Limited, Taxable Refunding (State Aid Withholding): | |||
175,000 | 1.855% due 6/1/22 | 176,557 | |
160,000 | 1.917% due 6/1/23 | 163,341 | |
215,000 | 1.972% due 6/1/24 | 220,633 | |
400,000 | Bucks County, PA, Centennial School District, General Obligation Limited, Refunding, Series B, (State Aid Withholding), 5.000% due 12/15/21 | 402,300 | |
675,000 | City of Philadelphia PA, General Obligation Unlimited, Refunding, 5.000% due 8/1/22 | 699,274 | |
515,000 | City of Philadelphia, PA, Airport Revenue, Revenue Bonds, AMT Refunding, Series B, 5.000% due 7/1/24 | 575,251 | |
750,000 | Delaware Valley, PA, Regional Finance Authority, Revenue Bonds, Refunding,Series B, 5.000% due 11/1/24 | 846,670 | |
460,000 | East Norriton-Plymouth-Whitpain, PA, Joint Sewer Authority, Revenue Bonds, Refunding, 0.904% due 8/1/23 | 458,758 | |
400,000 | Lehigh Country, PA, General Purpose Hospital, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/23 | 431,456 | |
425,000 | Montgomery County, PA, Higher Education and Health Authority, Revenue Bonds, Refunding, 5.000% due 9/1/23 | 459,865 | |
200,000 | Montgomery County, PA, Higher Education and Health Authority, Revenue Bonds, Refunding, (AGM Insured), 0.409% due 5/1/23 | 199,027 | |
100,000 | Montgomery County, PA, Industrial Development Authority, Revenue Bonds, Refunding, 4.000% due 12/1/22 | 103,714 | |
400,000 | New Castle Area School District, PA, General Obligation Limited, (BAM Insured, State Aid withholding), 3.000% due 3/1/23 | 413,483 | |
290,000 | New Castle Sanitation Authority, PA, Revenue Bonds, Taxable Refunding, (AGMC Insured), 1.017% due 6/1/24 | 286,889 | |
510,000 | New Kensington, PA, Municipal Sanitary Authority, Revenue Bonds, (AGMC Insured), 0.592% due 12/1/23 | 507,015 | |
500,000 | Pennsylvania State University, Taxable, Revenue Bonds, Series B, 1.780% due 9/1/25 | 511,924 | |
400,000 | Pennsylvania State University, Tax-Exempt, Revenue Bonds, Series E, 5.000% due 3/1/24 | 443,563 | |
200,000 | Philadelphia, PA, School District, General Obligation Limited, Series A (State Aid Withholding), 5.000% due 9/1/23 | 217,060 | |
105,000 | Public Parking Authority of Pittsburgh, Revenue Bonds, Prefunded, Series A, 5.000% due 12/1/23 | 115,097 | |
195,000 | Public Parking Authority of Pittsburgh, Revenue Bonds, Unrefunded, Series A, 5.000% due 12/1/23 | 211,810 | |
355,000 | State Public School Building Authority Paclg, Revenue Bonds, Refunding-Community College of Allegheny Co. Project, Series B (BAM Insured), 4.000% due 7/15/22 | 364,444 | |
8,983,322 | |||
Rhode Island — 0.7% | |||
400,000 | Rhode Island State, Health and Educational Building Corporation, Public School Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 5/15/22 | 410,277 | |
South Carolina — 1.0% | |||
350,000 | Charleston, SC, Educational Excellence Finance Corp., Revenue Bonds, Taxable Refunding, 0.527% due 12/1/22 | 350,379 | |
200,000 | South Carolina St Public Svc A Scsutl 12/24 Fixed 5, 5.000% due 12/1/24 | 227,649 | |
578,028 |
143 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
South Dakota — 0.4% | |||
$ 230,000 | South Dakota State Building Authority, Revenue Bonds, Refunding, Series B, 0.676% due 9/1/23 | $ 229,103 | |
Tennessee — 0.5% | |||
250,000 | Memphis-Shelby County Airport Authority, Revenue Bonds, Refunding, Series C, 5.000% due 7/1/23 | 269,311 | |
Texas — 11.4% | |||
Arlington, TX, Higher Education Finance Corp., Revenue Bonds, Refunding, Series A, (PSF Guaranteed): | |||
325,000 | 5.000% due 8/15/22 | 336,922 | |
310,000 | 5.000% due 8/15/23 | 335,356 | |
100,000 | Central Texas Regional Mobility Authority, Revenue Bonds, Taxable Refunding, Series C, 1.345% due 1/1/24 | 100,837 | |
Cities of Dallas and Fort Worth International Airport, Revenue Bonds, Refunding, Series A: | |||
500,000 | 5.000% due 11/1/24 | 567,645 | |
285,000 | 2.039% due 11/1/24 | 293,571 | |
260,000 | City of Grand Prairie TX, Revenue Bonds, 3.000% due 2/15/24 | 273,703 | |
City of Houston TX Airport System Revenue, Revenue Bonds, Refunding, Series C: | |||
100,000 | 1.054% due 7/1/23 | 100,753 | |
170,000 | 5.000% due 7/1/24 | 189,889 | |
300,000 | 1.272% due 7/1/24 | 302,745 | |
170,000 | Harris County, TX, Toll Road Authority, Revenue Bonds, Refunding, Series A, 5.000% due 8/15/22 | 176,401 | |
225,000 | Houston, TX, Community College, General Obligation Limited, 5.000% due 2/15/23 | 238,614 | |
1,000,000 | Lower Colorado River, TX, Authority Revenue Bond, Refunding, Series 2022, 5.000% due 5/15/243 | 1,097,082 | |
695,000 | North Texas Tollway Authority, Revenue Bonds, 1.020% due 1/1/25 | 690,522 | |
520,000 | North Texas, Municipal Water District, Revenue Bonds, Series 2021A, 4.000% due 9/1/233 | 553,668 | |
555,000 | North Texas, Tollway Authority Revenue, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/23 | 585,459 | |
200,000 | Pleasanton Independent School District, TX, General Obligation Unlimited, PSF-GTD, 5.000% due 8/15/23 | 216,659 | |
320,000 | Texas State, TX, A&M University Revenue, Revenue Bonds, Series B, Prerefunded 5/15/23 @ 100, 5.000% due 5/15/32 | 343,418 | |
6,403,244 | |||
Virginia — 2.2% | |||
200,000 | County of Fairfax VA,General Obligation Unlimited, Refunding, Series B (State Aid Withholding), 0.645% due 10/1/25 | 196,979 | |
200,000 | County of Fairfax VA,General Obligation Unlimited, Series A (State Aid Withholding), 4.000% due 10/1/23 | 214,396 | |
250,000 | Greater Richmond, VA, Convention Center Authority, Revenue Bonds, 5.000% due 6/15/23 | 266,955 | |
520,000 | Virginia College Building Authority, Revenue Bonds, 5.000% due 2/1/23 | 551,144 | |
1,229,474 | |||
Washington — 3.2% | |||
425,000 | Central Puget Sound Regional Transit Authority, WA, Revenue Bonds, Refunding, Series S-1, 5.000% due 11/1/25 | 445,351 | |
350,000 | Chelan County, WA, Public Utility District No 1, Revenue Bonds, Refunding, Series A, 0.000% due 6/1/234 | 347,884 | |
425,000 | Klickitat Country, WA, Public Utility Distic, Revenue Bonds, Refunding, Series B (AGMC Insured), 2.277% due 12/1/23 | 436,266 | |
125,000 | Lewis County, WA, Public Utility District No 1, Cowlitz Falls Hydroelectric Project, Revenue Bonds, Refunding, 5.000% due 10/1/22 | 130,502 | |
120,000 | Port of Seattle WA, Revenue Bonds, Refunding, Series A, 5.000% due 8/1/25 | 124,204 |
144 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Washington — (Continued) | |||
$ 250,000 | Port of Seattle WA, Revenue Bonds, Series D, 0.767% due 8/1/24 | $ 247,987 | |
55,000 | Washington State Housing Finance Commission, Revenue Bonds, AMT - Refunding, Series 2A (GNMA / FNMA / FHLMC Insured), 1.700% due 12/1/21 | 55,049 | |
1,787,243 | |||
Wisconsin — 2.1% | |||
200,000 | City of Milwaukee WI, General Obligation Unlimited, Refunding, Series N-4, 5.000% due 4/1/25 | 229,705 | |
215,000 | Eau Claire WI, General Obligation Unlimited, Refunding, Series D, 1.400% due 4/1/24 | 218,045 | |
250,000 | Wisconsin State, WI, Health & Educational Facilities Authority Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/23 | 273,572 | |
145,000 | Wisconsin State, WI, Housing and Economic Development Authority, Revenue Bonds, Series A, 0.200% due 11/1/381 | 145,000 | |
325,000 | Wisconsin State, WI, Transportation Revenue, Revenue Bonds, Series 2, 5.000% due 7/1/23 | 335,393 | |
1,201,715 | |||
Wyoming — 0.7% | |||
400,000 | Wyoming State, Community Development Authority, Revenue Bonds, Series 1, 1.950% due 12/1/22 | 406,384 | |
TOTAL MUNICIPAL BONDS (Cost $52,832,865) | 53,230,594 | ||
Shares | |||
REGISTERED INVESTMENT COMPANIES* — 0.7% | |||
41,460 | ESC CEF Blackrock Municipal (Escrow Shares)5 | 0 | |
6,700 | VanEck Vectors High-Yield Municipal Index ETF | 416,003 | |
TOTAL REGISTERED INVESTMENT COMPANIES (Cost $405,446) | 416,003 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 6.8% | |||
3,841,170 | With Fixed Income Clearing Corp., dated 10/29/21, 0.00%, principal and interest in the amount of $3,841,170, due 11/1/21, (collateralized by a U.S. Treasury Note with a par value of $4,038,300, coupon rate of 0.250%, due 10/31/25, market value of $3,918,041) | 3,841,170 | |
TOTAL REPURCHASE AGREEMENT (Cost $3,841,170) | 3,841,170 | ||
TOTAL INVESTMENTS (Cost $57,581,503) | 103.0% | $57,986,357 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (3.0) | (1,702,267) | |
NET ASSETS | 100.0% | $56,284,090 |
* | Percentages indicated are based on net assets. |
1 | 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 October 31, 2021. |
2 | Floating Rate Bond. Rate shown is as of October 31, 2021. |
3 | When-issued security. |
4 | Zero Coupon Bond. |
5 | Non income-producing security. |
145 |
Abbreviations: |
AGMC — Assured Guaranty Municipal Corporation |
AMT — Alternative Minimum Tax |
BAM — Build America Mutual |
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 |
146 |
% of Net Assets | Value | ||
SECTOR: | |||
Municipal Bonds | 94.6% | $ 53,230,594 | |
Corporate Notes | 0.9 | 498,590 | |
Registered Investment Companies | 0.7 | 416,003 | |
TOTAL | 96.2% | $54,145,187 | |
REPURCHASE AGREEMENT | 6.8 | 3,841,170 | |
TOTAL INVESTMENTS | 103.0% | $57,986,357 |
147 |
Face Amount | Value | ||
MUNICIPAL BONDS* — 98.4% | |||
Alabama — 1.0% | |||
$ 500,000 | Jefferson County, AL, Sewer Revenue Warrants, Series E, 0.000% due 10/1/341 | $ 217,360 | |
500,000 | Jefferson County, AL, Sewer Revenue, Series B, (AGMC Insured), 0.000% due 10/1/251 | 460,381 | |
1,070,000 | Jefferson County, AL, Sewer Revenue, Warrants, Series D, 6.000% due 10/1/42 | 1,222,160 | |
500,000 | Montgomery, AL, Medical Clinic, Board Health Care Facility Revenue, Refunding, 5.000% due 3/1/30 | 564,497 | |
250,000 | Selma Industrial Development Board, AL, Gulf Opportunity Zone Revenue, Revenue Bonds, Series A, 2.000% due 11/1/332 | 259,702 | |
2,724,100 | |||
Alaska — 0.4% | |||
975,000 | Alaska State, Housing Finance Corp., Revenue Bonds, Series A, 4.000% due 12/1/48 | 1,065,271 | |
Arizona — 3.9% | |||
300,000 | Arizona State, Industrial Development Authority, Education Revenue, Basis Schools Projects, Revenue Bonds, Refunding, Series A, 5.250% due 7/1/473 | 340,338 | |
500,000 | Arizona State, Industrial Development Authority, Education Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/323 | 511,975 | |
Arizona State, Industrial Development Authority, Education Revenue, Revenue Bonds, Series A: | |||
315,000 | 4.000% due 7/1/36 | 352,138 | |
250,000 | 5.000% due 7/1/493 | 261,922 | |
125,000 | 5.000% due 7/15/493 | 139,397 | |
250,000 | 4.000% due 7/15/503 | 263,824 | |
300,000 | Arizona State, Industrial Development Authority, Education Revenue, Revenue Bonds, Series B, 5.500% due 7/1/383 | 341,775 | |
1,207,098 | Arizona State, Industrial Development Authority, Municipal Certificates, Revenue Bonds, Series 2, Class A, 3.625% due 5/20/33 | 1,339,580 | |
40,000 | Florence Town, Inc., AZ, Industrial Development Authority, Legacy Traditional School Project, Revenue Bonds, 5.000% due 7/1/23 | 41,623 | |
250,000 | Glendale, AZ, Industrial Development Authority, Senior Living Facility, Revenue Bonds, 5.000% due 5/15/39 | 270,093 | |
1,775,000 | Industrial Development Authority of the County of Yavapai, AZ, Revenue Bonds, Refunding, 0.150% due 4/1/292 | 1,774,943 | |
290,000 | La Paz County, AZ, Industrial Development Authority, Revenue Bonds,Series A, 5.000% due 2/15/463 | 300,492 | |
750,000 | Maricopa County, AZ, Industrial Development Authority, Educational Revenue, Revenue Bonds, Refunding, 5.000% due 7/1/363 | 836,936 | |
375,000 | Maricopa County, AZ, Industrial Development Authority, Revenue Bonds, Series A, 6.000% due 7/1/523 | 441,237 | |
Phoenix, AZ, Industrial Development Authority, Education Revenue, Basis Schools, Inc., Revenue Bonds, Refunding: | |||
500,000 | 5.000% due 7/1/353 | 553,660 | |
250,000 | 5.000% due 7/1/453 | 274,689 | |
Phoenix, AZ, Industrial Development Authority, Education Revenue, Legacy Traditional Schools Project, Revenue Bonds, Series A: | |||
195,000 | 5.750% due 7/1/243 | 208,911 | |
500,000 | 6.750% due 7/1/443 | 566,527 | |
1,000,000 | 0.020% due 11/15/522 | 1,000,000 | |
500,000 | Phoenix, AZ, Industrial Development Authority, Education Revenue, Revenue Bonds, Series A, 5.000% due 7/1/463 | 545,704 | |
135,000 | Pima, AZ, Industrial Development Authority, Education Revenue, Revenue Bonds, Refunding, 5.000% due 6/15/493 | 141,471 | |
150,000 | Tempe, AZ, Industrial Development Authority, Revenue Bonds, 5.000% due 12/1/54 | 166,244 |
148 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Arizona — (Continued) | |||
$ 250,000 | Tempe, AZ, Industrial Development Authority, Revenue Bonds, Series A, 4.000% due 12/1/38 | $ 273,451 | |
10,946,930 | |||
California — 4.2% | |||
250,000 | California Community Housing Agency, Revenue Bonds, Series A, 5.000% due 8/1/493 | 275,776 | |
500,000 | California Health Facilities Financing Authority, Revenue Bonds, Series A-2, 5.000% due 11/1/47 | 732,061 | |
100,000 | California Infrastructure & Economic Development Bank, Revenue Bonds, Series A-1, 5.000% due 1/1/563 | 110,430 | |
1,885,000 | California Infrastructure & Economic Development Bank, Revenue Bonds, Series B, 0.000% due 1/1/611,3 | 144,390 | |
250,000 | California Public Finance Authority, Revenue Bonds, Refunding, 5.000% due 10/15/47 | 289,184 | |
400,000 | California School Finance Authority, Education Revenue, Revenue Bonds, Series A, 6.375% due 7/1/463 | 450,042 | |
290,546 | California State, Housing Finance Agency, Revenue Bonds, Series A-1, 4.250% due 1/15/35 | 350,596 | |
California State, Municipal Finance Authority, Educational Revenue, Revenue Bonds, Refunding, Series A: | |||
360,000 | 5.000% due 6/1/36 | 407,648 | |
500,000 | 5.000% due 6/1/46 | 558,276 | |
300,000 | California State, Municipal Finance Authority, Higher Education Revenue, Revenue Bonds, Series A, 5.000% due 11/1/463 | 342,292 | |
335,000 | California State, School Financing Authority, Rocketship Education Obligated Group, Revenue Bonds, Series A, 5.250% due 6/1/523 | 367,477 | |
250,000 | California State, Statewide Communities Development Authority, CHF Irvine LLC, Revenue Bonds, Refunding, 5.000% due 5/15/29 | 296,437 | |
500,000 | California State, Statewide Communities Development Authority, Revenue Bonds, Series A, 5.250% due 12/1/563 | 571,915 | |
785,000 | California State, Statewide Communities Development Authority, Student Housing Revenue, Revenue Bonds, 4.305% due 7/1/32 | 824,244 | |
1,000,000 | City of Los Angeles, CA, Department of Airports, Revenue Bonds, Series B, 5.000% due 5/15/48 | 1,258,537 | |
440,000 | CSCDA Community Improvement Authority, CA, Revenue Bonds, Series A, 3.250% due 10/1/583 | 402,250 | |
CSCDA Community Improvement Authority, CA, Revenue Bonds, Series A-2: | |||
100,000 | 3.000% due 12/1/563 | 92,419 | |
390,000 | 3.250% due 4/1/573 | 369,528 | |
110,000 | 3.250% due 5/1/573,4 | 102,320 | |
100,000 | CSCDA Community Improvement Authority, CA, Revenue Bonds, Series B, 4.000% due 12/1/56 | 103,183 | |
1,000,000 | Golden, CA, Tobacco Securitization Corp., Tabacco Settelment, Revenue Bonds, Series B, 0.000% due 6/1/471 | 228,211 | |
Hastings Campus Housing Finance Authority, CA, Revenue Bonds, Series A: | |||
600,000 | 5.000% due 7/1/45 | 696,745 | |
500,000 | 5.000% due 7/1/61 | 572,494 | |
720,000 | Madera, CA, Unified School District, General Obligation Unlimited, (NPFG Insured), 0.000% due 5/1/301 | 625,661 | |
250,000 | River Islands, CA, Public Financing Authority, Special Tax, Series 1, 4.000% due 9/1/41 | 267,187 | |
500,000 | River Islands, CA, Public Financing Authority, Special Tax, Series A, 5.000% due 9/1/48 | 569,649 | |
1,000,000 | Riverside County, CA, Redevelopment Successor Agency, Revenue Bonds, Series B, 0.000% due 10/1/391 | 641,885 | |
200,000 | Seal Beach, CA, Community Facilities District No. 2005-1, Special Tax, Refunding, 3.000% due 9/1/29 | 206,726 | |
11,857,563 |
149 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Colorado — 10.2% | |||
$ 500,000 | Amber Creek Metropolitan District, CO, General Obligation Limited, Refunding, Series A, 5.125% due 12/1/47 | $ 522,679 | |
1,000,000 | Arista, CO, Metropolitan District, General Obligation Limited, Refunding, Series A, 4.375% due 12/1/28 | 1,069,656 | |
Arkansas River Power Authority, CO, Power Revenue, Revenue Bonds, Refunding, Series A: | |||
500,000 | 5.000% due 10/1/33 | 595,653 | |
400,000 | 5.000% due 10/1/43 | 466,355 | |
500,000 | Banning Lewis Ranch Metropolitan District No. 8, CO, General Obligation Limited, Series A, 4.875% due 12/1/51 | 482,790 | |
500,000 | Base Village Metropolitan District No. 2, CO, General Obligation Limited, Refunding, Series A, 5.750% due 12/1/46 | 515,942 | |
500,000 | Belleview Station, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, 5.000% due 12/1/36 | 516,886 | |
500,000 | Big Dry Creek Metropolitan District, CO, General Obligation Limited, Series A, 5.750% due 12/1/47 | 526,481 | |
278,000 | Bradburn, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 4.000% due 12/1/28 | 293,710 | |
525,000 | Broadway Park North Metropolitan District No 2, CO, General Obligation, 5.000% due 12/1/493 | 571,310 | |
1,070,000 | Broomfield, CO, Water Activity Enterprise, Revenue Bonds, 5.000% due 12/1/32 | 1,432,256 | |
750,000 | Buffalo Ridge, CO, Metropolitan District, General Obligation Limited, Series B, 7.375% due 12/15/47 | 789,683 | |
500,000 | Clear Creek Station, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 5.000% due 12/1/47 | 522,995 | |
625,000 | Colorado International Center, CO, Metropolitan District No. 14, General Obligation Limited, 5.875% due 12/1/46 | 670,838 | |
500,000 | Colorado International Center, CO, Metropolitan District No. 7, General Obligation Limited, 0.000% due 12/1/514 | 365,376 | |
500,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Christian Living Neighborhoods Project, Revenue Bonds, Refunding, 5.000% due 1/1/31 | 537,397 | |
275,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Christian Living Neighborhoods Project, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/33 | 289,248 | |
400,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Refunding, 5.000% due 1/1/37 | 427,448 | |
35,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Revenue Bonds, Refunding, 4.000% due 1/1/42 | 37,954 | |
700,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Revenue Bonds, Refunding, Prerefunded 6/1/27 @ 100, 5.000% due 6/1/37 | 853,729 | |
250,000 | Colorado State, Health Facilities Authority, Hospital Revenue, Revenue Bonds, Series A, 4.000% due 9/1/50 | 285,257 | |
660,000 | Colorado State, Health Facilities Authority, Refunding, Series A, Prerefunded 6/1/25 @ 100, 5.000% due 6/1/45 | 766,410 | |
250,000 | Colorado State, Health Facilities Authority, Revenue Bonds, 5.000% due 1/1/38 | 279,730 | |
165,000 | Colorado State, Health Facilities Authority, Revenue Bonds, Prerefunded 6/1/23 @ 100, 5.625% due 6/1/43 | 179,025 | |
350,000 | Colorado State, Housing and Finance Authority, Non AMT Non ACE SF Mortgage, Revenue Bonds, Series C, Class I, (GNMA Insured), 4.250% due 11/1/48 | 383,875 | |
300,000 | Copper Ridge Metropolitan District, CO, Revenue Bonds, 4.000% due 12/1/29 | 310,246 | |
500,000 | Cottonwood Hollow, CO, Residential Metropolitan District, General Obligation limited, Refunding, 5.000% due 12/1/51 | 484,173 | |
250,000 | Denver, CO, Urban Renewal Authority, Tax Increment Revenue, Series A, 5.250% due 12/1/393 | 271,132 | |
590,000 | DIATC Metropolitan District, CO, General Obligation Limited, 3.250% due 12/1/293 | 612,663 |
150 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Colorado — (Continued) | |||
$ 495,000 | Dinosaur Ridge Metropolitan District, CO, Special Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/49 | $ 526,370 | |
1,000,000 | Gardens on Havana, CO, Metropolitan District No. 3, Revenue Bonds, Series A, 4.625% due 12/1/27 | 1,051,591 | |
945,000 | Harmony Technology Park, CO, Metropolitan District No. 2, General Obligation Limited, 4.500% due 12/1/32 | 1,014,446 | |
500,000 | Hunters Overlook, CO, Metropolitan District No. 5, General Obligation Limited, Series A, 5.000% due 12/1/49 | 543,055 | |
500,000 | Independence Metropolitan District No 3, CO, General Obligation Limited, Series A, 6.250% due 12/1/49 | 535,681 | |
855,000 | Lake Bluff, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, 5.250% due 12/1/51 | 843,516 | |
500,000 | Leyden Ranch, CO, Metropolitan District, General Obligation Unlimited, Series A, 5.125% due 12/1/47 | 523,505 | |
750,000 | Leyden Rock, CO, Metropolitan District No. 10, General Obligation Limited, Series A, 5.000% due 12/1/45 | 775,393 | |
500,000 | Midcities Metropolitan District No. 2, CO, Special Revenue, Revenue Bonds, Refunding, Series B, 7.750% due 12/15/46 | 513,939 | |
500,000 | Parkside, CO, Centre Business Improvement District, Company Special Revenue, Revenue Bonds, Series A, 6.250% due 12/1/48 | 528,888 | |
200,000 | Rampart Range Metropolitan District No. 5, CO, Revenue Bonds, 4.000% due 12/1/51 | 202,043 | |
500,000 | Reunion Metropolitan District, CO, Revenue Bonds, Series A, 3.625% due 12/1/44 | 481,039 | |
500,000 | Serenity Ridge, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 5.125% due 12/1/43 | 531,412 | |
750,000 | Solaris, CO, Metropolitan District No. 3, General Obligation Limited, Refunding, Series A, 5.000% due 12/1/36 | 774,299 | |
Southglenn, CO, Metropolitan District, Special Revenue, General Obligation Limited, Refunding: | |||
195,000 | 3.000% due 12/1/21 | 195,147 | |
750,000 | 5.000% due 12/1/30 | 773,694 | |
Southlands, CO, Metropolitan District No. 1, General Obligation limited, Series A-2: | |||
215,000 | 3.500% due 12/1/27 | 228,776 | |
325,000 | 5.000% due 12/1/47 | 360,494 | |
555,000 | STC Metropolitan District No 2, CO, General Obligation Limited, Series A, 3.000% due 12/1/25 | 577,995 | |
500,000 | Tallyns Reach, CO, Metropolitan District No. 3, General Obligation Limited, Series A, 6.750% due 11/1/38 | 518,847 | |
520,000 | Thompson Crossing Metropolitan District No. 4, CO, General Obligation Limited, Refunding, 3.500% due 12/1/29 | 549,675 | |
Vauxmont Metropolitan District, CO, General Obligation Limited, (AGMC Insured): | |||
250,000 | 5.000% due 12/1/32 | 316,805 | |
160,000 | 5.000% due 12/15/32 | 182,964 | |
500,000 | Westcreek Metropolitan District No 2, CO, General Obligation Limited, Series A, 5.375% due 12/1/48 | 535,889 | |
500,000 | Westerly Metropolitan District No. 4, CO, General Obligation, Limited, Series A-1, 5.000% due 12/1/50 | 539,829 | |
28,686,189 | |||
Connecticut — 0.7% | |||
425,000 | Connecticut State Health & Educational Facilities Authority, Church Home of Hartford, Inc. Project, Revenue Bonds, Series A, 5.000% due 9/1/533 | 465,545 | |
165,000 | Connecticut State Health and Educational Facilities Authority, Revenue Bonds Refunding, Series G-1, 5.000% due 7/1/503 | 194,215 | |
125,000 | Connecticut State Health and Educational Facilities Authority, Revenue Bonds, Series A, 5.000% due 1/1/553 | 137,231 | |
125,000 | Connecticut State Health and Educational Facilities Authority, Revenue Bonds, Series E, 4.000% due 7/1/414 | 137,766 |
151 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Connecticut — (Continued) | |||
$ 250,000 | Harbor Point, CT, Infrastructure Improvement District, Special Obligation Revenue, Tax Allocation, Refunding, 5.000% due 4/1/303 | $ 288,794 | |
600,000 | Mohegan Tribe of Indians, CT, Gaming Authority, Revenue Bonds, Series A, 5.500% due 8/1/263 | 640,261 | |
45,000 | SteelPoint, CT, Infrastructure, Improvement District, Special Obligation Tax Allocation, 4.000% due 4/1/51 | 46,197 | |
1,910,009 | |||
District Of Columbia — 0.8% | |||
225,000 | District of Columbia, KIPP Obligated Group, Revenue Bonds, Refunding, Series A (MBIA Insured), 5.000% due 7/1/27 | 269,452 | |
3,415,000 | District of Columbia, Tobacco Settlement Financing Corp., Revenue Bonds, Series A, 0.000% due 6/15/461 | 750,563 | |
2,000,000 | Metropolitan Washington, DC, Airports Authority Dulles Toll Road Revenue, Revenue Bonds, Series B, (AGMC Insured), 0.000% due 10/1/401 | 1,232,318 | |
2,252,333 | |||
Florida — 4.8% | |||
105,000 | Alachua County, FL, Health Facilities Authourity, Revenue Bonds, Series 2021, 4.000% due 10/1/404 | 114,693 | |
Atlantic Beach, FL, Healthcare Facilities, Revenue Bonds, Series A: | |||
505,000 | 5.000% due 11/15/33 | 577,227 | |
250,000 | 5.000% due 11/15/53 | 280,635 | |
250,000 | Capital Trust Agency Inc, FL, Revenue Bonds, Series A, 5.000% due 10/15/493 | 274,211 | |
290,000 | Capital Trust Agency Inc, FL, Revenue Bonds, Series A-1, 5.000% due 7/1/563 | 326,153 | |
6,500,000 | Capital Trust Agency Inc, FL, Revenue Bonds, Series B, 0.000% due 7/1/611,3 | 655,086 | |
195,000 | Capital Trust Agency, FL, Educational Facilities Revenue, Advantage Academy of Hillsborough Projects, Revenue Bonds, Series A, 4.000% due 12/15/24 | 205,391 | |
160,000 | Capital Trust Agency, FL, Educational Facilities Revenue, Viera Charter School, Inc. Project, Revenue Bonds, Series A, 5.000% due 10/15/373 | 178,525 | |
300,000 | Escambia County, FL, Health Facilities Authority, Revenue Bonds, Refunding, Series A, (MBIA Insecured), 4.000% due 8/15/45 | 331,671 | |
145,000 | Florida Development Finance Corp., Educational Facilities Revenue, Renaissance Charter School, Inc. Projects, Series C, 5.000% due 9/15/503 | 158,698 | |
550,000 | Florida Development Finance Corp., Healthcare Facilities Revenue, University of Florida Health Project, Series A, Revenue Bonds, 6.000% due 2/1/33 | 582,748 | |
1,110,000 | Florida State Housing Finance Corp., Revenue Bonds, Series 1 (GNMA/FNMA/FHLMC Insured), 4.000% due 7/1/49 | 1,192,984 | |
925,000 | Florida State Housing Finance Corp., Revenue Bonds, Series 2 (GNMA/FNMA/FHLMC Insured), 3.000% due 7/1/52 | 1,000,063 | |
300,000 | Lakewood Ranch, FL, Stewardship District, Special Assessment Revenue, 5.375% due 5/1/47 | 332,366 | |
500,000 | Lee County, FL, Industrial Development Authority, Shell Point/Waterside Health Project, Revenue Bonds, 5.000% due 11/15/39 | 584,295 | |
1,250,000 | North Broward, FL, Hospital District, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/48 | 1,444,641 | |
750,000 | Orange County, FL, Health Facilities Authority Revenue, Revenue Bonds, 5.000% due 8/1/40 | 849,781 | |
1,000,000 | Orange County, FL, Health Facilities Authority, Revenue Bonds, Refunding, 5.000% due 8/1/41 | 1,091,723 | |
55,000 | Palm Beach County, FL, Health Facilities Authority, Lifespace Communities, Revenue Bonds, Refunding, Series C, 5.000% due 5/15/25 | 62,419 |
152 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — (Continued) | |||
$ 145,000 | Palm Beach County, FL, Health Facilities Authority, Revenue Bonds, Series A, 5.000% due 6/1/55 | $ 155,536 | |
5,000 | Palm Beach County, FL, Health Facilities Authority, Revenue Bonds, Series B, 5.000% due 11/15/42 | 6,011 | |
Sarasota County, FL, Health Facilities Authority, Retirement Facilities Revenue, Revenue Bonds, Series A: | |||
550,000 | 5.000% due 1/1/37 | 592,209 | |
250,000 | 5.000% due 1/1/42 | 268,357 | |
210,000 | Sawyers Landing, FL, Community Development Assessment, Revenue Bonds, 4.250% due 5/1/53 | 220,375 | |
500,000 | Southeast Overtown Park West Community Redevelopment Agency, FL, Series A-1, 5.000% due 3/1/303 | 541,680 | |
40,000 | St. Johns County Industrial Development Authority, Revenue Bonds, Refunding, Tax Allocation, Series A, 4.000% due 12/15/46 | 43,236 | |
160,000 | Town Center at Palm Coast, FL, Community Development District, Special Assessment, 6.000% due 5/1/36 | 160,129 | |
Winter Garden Village at Fowler Groves, FL, Community Development District, Special Assessment, Refunding: | |||
650,000 | 3.750% due 5/1/31 | 694,983 | |
500,000 | 4.125% due 5/1/37 | 535,675 | |
13,461,501 | |||
Georgia — 0.8% | |||
375,000 | DeKalb County, GA, Housing Authority, Senior Living Revenue, Revenue Bonds, Refunding, Series A, 5.250% due 1/1/543 | 314,694 | |
125,000 | Development Authority of Monroe County, GA, Revenue Bonds, Series A, 1.500% due 1/1/392 | 128,078 | |
455,000 | Georgia Housing & Finance Authority, Revenue Bonds, Series A, 4.000% due 6/1/50 | 502,204 | |
200,000 | Georgia State, Municipal Electric Authority, Revenue Bonds, Series A, 5.000% due 7/1/60 | 225,610 | |
370,000 | Georgia State, Municipal Electric Authority, Revenue Bonds, Series A, (AGMC Insured), 4.000% due 1/1/38 | 425,203 | |
195,000 | Houston Healthcare System, Inc., GA, Revenue Bonds, Series B, 5.000% due 10/1/312 | 215,930 | |
340,000 | Macon-Bibb County, GA, Urban Development Authority, Revenue Bonds, 5.750% due 6/15/373 | 390,092 | |
2,201,811 | |||
Guam — 0.3% | |||
175,000 | Guam Department of Education, Certificate Participation, Refunding, Series A, 5.000% due 2/1/40 | 197,170 | |
105,000 | Guam Government Business Privilege, Revenue Bonds, Refunding, Series F, 4.000% due 1/1/36 | 119,726 | |
500,000 | Guam Power Authority, Revenue Bonds, Series A (AGMC Insured), 5.000% due 10/1/22 | 520,690 | |
837,586 | |||
Hawaii — 0.4% | |||
1,000,000 | State of Hawaii, Airports System Revenue, Revenue Bonds, Series D, 4.000% due 7/1/36 | 1,163,185 | |
Idaho — 0.7% | |||
500,000 | Idaho Health Facilities Authority, Revenue Bonds, Series A, 4.750% due 7/1/443 | 529,621 | |
250,000 | Idaho State, Health Facilities Authority Revenue, Kootenai Health Project, Revenue Bonds, Series A, 4.375% due 7/1/343 | 269,516 | |
Idaho State, Housing and Finance Association, Nonprofit Facilities Revenue, Compass Charter School Project, Revenue Bonds, Series A: | |||
735,000 | 6.000% due 7/1/393 | 885,969 | |
250,000 | 5.000% due 7/1/403 | 280,790 | |
1,965,896 |
153 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — 13.3% | |||
$ 250,000 | Bolingbrook, IL, Special Service Area No 1, Special Tax, Refunding, 5.250% due 3/1/41 | $ 262,742 | |
100,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Refunding, Series A, 7.000% due 12/1/44 | 119,653 | |
Chicago, IL, Board of Education, General Obligation Unlimited, Series A: | |||
250,000 | 0.000% due 12/1/251 | 236,896 | |
1,205,000 | 0.000% due 12/1/311 | 977,743 | |
765,000 | 5.000% due 12/1/41 | 767,337 | |
400,000 | 7.000% due 12/1/463 | 512,220 | |
325,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series A, (AGMC, AMBAC Insured), 5.500% due 12/1/31 | 440,975 | |
Chicago, IL, Board of Education, General Obligation Unlimited, Series A, (NPFG Insured): | |||
150,000 | 0.000% due 12/1/231 | 147,674 | |
710,000 | 0.000% due 12/1/251 | 676,891 | |
170,000 | 5.500% due 12/1/26 | 195,721 | |
550,000 | 0.000% due 12/1/291 | 473,603 | |
600,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series B, 7.000% due 12/1/423 | 772,589 | |
1,150,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series B1, (NPFG Insured), 0.000% due 12/1/311 | 933,116 | |
640,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series C, 5.250% due 12/1/39 | 705,078 | |
500,000 | Chicago, IL, Board of Education, General Obligation Unlimited, Series H, 5.000% due 12/1/46 | 581,554 | |
600,000 | Chicago, IL, General Obligation Unlimited, (NPFG Insured), 0.000% due 1/1/311 | 495,161 | |
Chicago, IL, General Obligation Unlimited, Refunding, Series A: | |||
150,000 | 5.000% due 1/1/30 | 187,263 | |
250,000 | 5.750% due 1/1/33 | 301,162 | |
1,195,000 | 6.000% due 1/1/38 | 1,450,056 | |
305,000 | Chicago, IL, General Obligation Unlimited, Refunding, Series C, 5.000% due 1/1/24 | 333,140 | |
Chicago, IL, General Obligation Unlimited, Series C: | |||
250,000 | 0.000% due 1/1/271 | 222,682 | |
435,000 | 0.000% due 1/1/311 | 333,316 | |
305,000 | Chicago, IL, Wastewater Transmission Revenue, Revenue Bonds, Refunding, (NPFG Insured), 5.500% due 1/1/30 | 369,279 | |
500,000 | Chicago, IL, Waterworks Revenue, Revenue Bonds, 5.000% due 11/1/24 | 523,174 | |
150,000 | Chicago, IL, Waterworks Revenue, Revenue Bonds, Refunding (AMBAC Insured), 5.750% due 11/1/30 | 179,866 | |
500,000 | Cook County, IL, Community College District No. 508, General Obligation Unlimited, 5.250% due 12/1/43 | 532,945 | |
315,000 | Illinois Housing Development Authority, Revenue Bonds, Series A, 3.000% due 4/1/51 | 338,569 | |
1,100,000 | Illinois Housing Development Authority, Revenue Bonds, Series D, 3.000% due 10/1/51 | 1,187,064 | |
400,000 | Illinois State Finance Authority, Christian Homes, Inc., Revenue Bonds, 5.000% due 5/15/36 | 449,200 | |
350,000 | Illinois State Finance Authority, Revenue Bonds, 4.000% due 7/1/35 | 390,517 | |
Illinois State Finance Authority, Revenue Bonds, Refunding: | |||
230,000 | 5.000% due 12/1/40 | 268,875 | |
250,000 | 5.000% due 12/1/46 | 290,109 | |
150,000 | Illinois State Finance Authority, Revenue Bonds, Refunding, Lifespace Communities Project, Series A, 5.000% due 5/15/22 | 153,249 | |
Illinois State Finance Authority, Revenue Bonds, Refunding, Series A: | |||
300,000 | 5.000% due 7/1/35 | 349,298 | |
250,000 | 5.000% due 8/15/37 | 300,545 |
154 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
Illinois State Finance Authority, Revenue Bonds, Refunding, Series C: | |||
$ 1,000,000 | 5.000% due 2/15/31 | $ 1,200,669 | |
1,000,000 | 4.125% due 8/15/37 | 1,094,363 | |
500,000 | Illinois State Finance Authority, Silver Cross Hospital & Medical Center, Revenue Bonds, Series C, 5.000% due 8/15/44 | 571,536 | |
Illinois State Finance Authority, Student Housing Revenue, Northern Illinois University Project, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 7/1/35 | 237,622 | |
500,000 | 5.000% due 7/1/47 | 445,674 | |
1,035,000 | Illinois State Finance Authority, Swedish Covenant Hospital, Revenue Bonds, Refunding, Series A, 5.000% due 8/15/34 | 1,244,257 | |
390,000 | Illinois State Housing Development Authority, Revenue Bonds, Series A (GNMA / FNMA / FHLMC Insured), 4.250% due 10/1/49 | 430,011 | |
460,000 | Illinois State Housing Development Authority, Revenue Bonds, Series C, 3.500% due 8/1/46 | 488,388 | |
475,000 | Illinois State Sports Facilities Authority, Revenue Bonds, Refunding, 5.000% due 6/15/24 | 521,628 | |
Illinois State Sports Facilities Authority, Revenue Bonds, Refunding, (BAM Insured): | |||
620,000 | 5.000% due 6/15/28 | 761,620 | |
250,000 | 5.000% due 6/15/30 | 309,088 | |
Illinois State Sports Facilities Authority, State Tax Supported, Capital Apprec, Revenue Bonds, (AMBAC Insured): | |||
500,000 | 0.000% due 6/15/231 | 494,157 | |
440,000 | 0.000% due 6/15/261 | 414,693 | |
500,000 | Illinois State University, Revenue Bonds, (AGMC Insured), 5.000% due 4/1/24 | 550,172 | |
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 | 364,518 | |
Illinois State, General Obligation Unlimited: | |||
500,000 | 5.000% due 1/1/30 | 578,382 | |
1,000,000 | 5.000% due 2/1/39 | 1,085,850 | |
500,000 | Illinois State, General Obligation Unlimited, Series C, 5.000% due 11/1/29 | 592,276 | |
1,000,000 | Illinois State, General Obligation Unlimited, Series D, 5.000% due 11/1/28 | 1,192,189 | |
250,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Refunding (BAM, NPFG Insured), 0.000% due 6/15/281 | 223,977 | |
Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Series A, (NPFG Insured): | |||
485,000 | 0.000% due 6/15/311 | 394,030 | |
1,000,000 | 0.000% due 6/15/361 | 697,038 | |
525,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Series B-1, (AGMC Insured), 0.000% due 6/15/271 | 482,534 | |
2,000,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax, Revenue Bonds, Series A, (AGMC Insured MBIA), 0.000% due 12/15/291 | 1,717,649 | |
500,000 | Metropolitan Pier & Exposition Authority, IL, McCormick Place Expansion Project, Revenue Bonds, Refunding, Series B, 5.000% due 12/15/40 | 565,587 | |
250,000 | Southern Illinois State University, Housing & Auxiliary Facilities System, Revenue Bonds, Series A, (NPFG Insured), 0.000% due 4/1/221 | 248,697 | |
500,000 | Southern Illinois State University, Housing & Auxiliary Facilities System, Revenue Bonds, Series B1, 5.000% due 4/1/22 | 506,683 | |
State of Illinois, General Obligation Unlimited: | |||
500,000 | 5.500% due 5/1/30 | 639,273 | |
165,000 | 4.000% due 6/1/35 | 179,902 | |
250,000 | State of Illinois, General Obligation Unlimited, Series B, 4.000% due 10/1/33 | 285,708 |
155 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
$ 250,000 | State of Illinois, General Obligation Unlimited, Series C, 4.000% due 10/1/42 | $ 279,019 | |
1,000,000 | University of Illinois, Auxiliary Facilities, Revenue Bonds, Series A, (AGMC Insured), 4.000% due 4/1/36 | 1,110,718 | |
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 | 529,033 | |
496,000 | Yorkville, IL, United City Special Service, Special Tax, (AGMC Insured), 3.000% due 3/1/25 | 526,152 | |
250,000 | Yorkville, IL, United City Special Service, Special Tax, Refunding, (AGMC Insured), 4.000% due 3/1/36 | 264,935 | |
37,687,290 | |||
Indiana — 1.8% | |||
Indiana Finance Authority, Midwestern Disaster Relief Revenue, Revenue Bonds, Ohio Valley Electric Corp. Project, Series A: | |||
900,000 | 5.000% due 6/1/32 | 916,640 | |
300,000 | 5.000% due 6/1/39 | 305,093 | |
Indiana Finance Authority, Revenue Bonds, Series A: | |||
100,000 | 5.250% due 11/15/46 | 114,089 | |
1,500,000 | 4.000% due 7/1/50 | 1,699,074 | |
Indiana State Finance Authority, Greencroft Obligated Group, Revenue Bonds, Series A: | |||
345,000 | 5.750% due 11/15/28 | 371,115 | |
195,000 | 6.500% due 11/15/33 | 210,874 | |
150,000 | Indiana State Finance Authority, Pollution Control, Revenue Bonds, Series B, 2.500% due 11/1/30 | 150,267 | |
600,000 | Indiana State Finance Authority, Revenue Bonds, Series A, 5.000% due 11/15/38 | 683,894 | |
Knox County, IN, Economic Development Authority, Revenue Bonds, Refunding, Series A: | |||
300,000 | 5.000% due 4/1/23 | 305,681 | |
350,000 | 5.000% due 4/1/28 | 356,627 | |
5,113,354 | |||
Iowa — 0.5% | |||
500,000 | Iowa State, Finance Authority, Midwestern Disaster Relief Revenue, Iowa Fertilizer Co. LLC Project, Revenue Bonds, Refunding, Series B, 5.250% due 12/1/502 | 543,924 | |
250,000 | Iowa State, Finance Authority, Revenue Bonds, 5.250% due 12/1/25 | 269,291 | |
250,000 | Iowa State, Finance Authority, Senior Housing Revenue, Revenue Bonds, Series A, 5.000% due 3/1/33 | 270,775 | |
210,000 | lowa State Finance Aurthority Senior Living Facilities, Revenue Bonds, Refunding, 5.000% due 9/1/51 | 220,852 | |
1,304,842 | |||
Kansas — 0.1% | |||
135,000 | City of Manhattan KS, Revenue Bonds, Refunding, Series A, 4.000% due 6/1/36 | 147,701 | |
150,000 | Wyandotte County, KS, Kansas City Unified Government, Revenue Bonds, 5.000% due 12/1/34 | 153,038 | |
50,000 | Wyandotte County, KS, Kansas City Unified Government, Wyandotte Plaza Project, Revenue Bonds, 4.000% due 12/1/28 | 50,504 | |
351,243 | |||
Kentucky — 0.9% | |||
305,000 | City of Ashland, KY, Medical Center Revenue, Revenue Bonds, Refunding, Series A, 4.000% due 2/1/32 | 333,883 | |
350,000 | City of Ashland, KY, Revenue Bonds, Refunding, Series A, 4.000% due 2/1/36 | 380,981 | |
95,000 | Kentucky Public Transportation Infrastructure Authority, Revenue Bonds, Refunding, Series B, 4.000% due 7/1/53 | 108,550 |
156 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Kentucky — (Continued) | |||
$ 130,000 | Kentucky State University, Certificate Participation, Refunding, (BAM Insured), 4.000% due 11/1/34 | $ 157,347 | |
250,000 | Kentucky State, Economic Development Finance Authority, Healthcare Revenue, Revenue Bonds, Refunding, 5.750% due 11/15/45 | 254,942 | |
Kentucky State, Economic Development Finance Authority, Healthcare Revenue, Revenue Bonds, Series B, (NPFG Insured): | |||
500,000 | 0.000% due 10/1/261 | 459,966 | |
500,000 | 0.000% due 10/1/271 | 446,753 | |
250,000 | Louisville & Jefferson County, KY, Metropolitan Government Healthcare System, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/31 | 296,570 | |
2,438,992 | |||
Louisiana — 1.1% | |||
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 | 299,425 | |
870,000 | Juban Crossing Economic Development District, LA, Revenue Bonds, Refunding, Series C, 7.000% due 9/15/443 | 837,346 | |
1,250,000 | Louisiana State Local Govenment Facility & Community Development Authority, Revenue Bonds, Series B, 2.500% due 4/1/36 | 1,266,521 | |
500,000 | Louisiana State, Public Facilities Authority Revenue, Revenue Bonds, Louisiana State University Greenhouse District Phase III Project, Series A, 5.000% due 7/1/59 | 593,573 | |
250,000 | Parish of St. John the Baptist, LA, Revenue Bonds, Refunding, Series A-1, 2.000% due 6/1/372 | 254,244 | |
3,251,109 | |||
Maryland — 1.8% | |||
1,125,000 | Baltimore, MD, Special Obligation, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/38 | 1,259,818 | |
250,000 | Brunswick, MD, Special Obligation, Special Tax, Refunding, 5.000% due 7/1/36 | 291,806 | |
250,000 | Howard County, MD, Special Obligation, Revenue Bonds, Series A, 4.125% due 2/15/343 | 261,942 | |
750,000 | Maryland Community Development Administration, Revenue Bonds, Series A, 3.000% due 9/1/51 | 805,898 | |
500,000 | Maryland Economic Development Corp., Revenue Bonds, 5.000% due 7/1/56 | 592,962 | |
310,000 | Maryland State, Community Development Administration, Department Housing & Community Development, Revenue Bonds, Refunding, Series A, 4.500% due 9/1/48 | 345,262 | |
90,000 | Maryland State, Economic Development Corp., Special Obligation, Metro Centre Owings Mills Project, Tax Allocation, 3.750% due 7/1/27 | 99,160 | |
250,000 | Maryland State, Economic Development Corp., Special Obligation, Tax Allocation, 4.500% due 7/1/44 | 274,965 | |
500,000 | Prince George’s County, MD, Revenue Authority, Suitland-Naylor Road Project, 5.000% due 7/1/463 | 551,623 | |
500,000 | Prince George’s County, MD, Special Obligation, PGC Hampton Park Project, Revenue Bonds, Series A, 4.375% due 7/1/483 | 529,439 | |
5,012,875 | |||
Michigan — 2.5% | |||
250,000 | Detroit, MI, General Obligation Unlimited, 5.000% due 4/1/34 | 291,822 | |
125,000 | Detroit, MI, General Obligation Unlimited, Series A, 5.000% due 4/1/46 | 150,789 |
157 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Michigan — (Continued) | |||
Flint, MI, Hospital Building Authority Rental, Revenue Bonds, Series A: | |||
$ 250,000 | 4.000% due 7/1/38 | $ 283,647 | |
280,000 | 5.250% due 7/1/39 | 295,757 | |
1,000,000 | Grand Rapids, MI, Charter Township Economic Development Corp., Revenue Bonds, 5.000% due 5/15/44 | 1,146,749 | |
Grand Rapids, MI, Economic Development Corp., Beacon Hill Eastgate Project, Revenue Bonds, Refunding, Series A: | |||
600,000 | 5.000% due 11/1/37 | 655,720 | |
250,000 | 5.000% due 11/1/553,4 | 282,563 | |
Kentwood, MI, Economic Development Corp., Revenue Bonds, Refunding: | |||
50,000 | 4.500% due 11/15/21 | 50,062 | |
65,000 | 4.750% due 11/15/22 | 66,541 | |
250,000 | 5.000% due 11/15/37 | 280,280 | |
250,000 | 5.625% due 11/15/41 | 257,098 | |
70,000 | 4.000% due 11/15/434 | 73,814 | |
2,500,000 | Michigan Finance Authority, Revenue Bonds, Refunding, Series B-2, 0.000% due 6/1/651 | 317,642 | |
520,000 | Michigan State Housing Development Authority, Safe Mortgage Revenue, Revenue Bonds, Series A, 2.700% due 10/1/56 | 513,969 | |
1,895,000 | Michigan State Housing Development Authority, Safe Mortgage Revenue, Revenue Bonds, Series C, 4.250% due 6/1/49 | 2,067,763 | |
250,000 | Michigan State Strategic Fund, Limited Obligation Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/29 | 292,148 | |
7,026,364 | |||
Minnesota — 0.2% | |||
225,748 | Minnesota Housing Finance Agency, Revenue Bonds, Series I, 2.800% due 12/1/47 | 230,830 | |
240,000 | St. Paul, MN, Housing & Redevelopment Authority, Charter School Lease Revenue, Revenue Bonds, Series A, 5.500% due 7/1/383 | 270,496 | |
501,326 | |||
Mississippi — 0.8% | |||
220,000 | Mississippi Business Finance Corp., Revenue Bonds, 2.375% due 6/1/44 | 203,983 | |
1,920,000 | Mississippi Business Finance Corp., Revenue Bonds, Series D, 0.030% due 12/1/302 | 1,920,000 | |
250,000 | Mississippi Development Bank, Special Obligation Bonds, Refunding, 4.000% due 10/1/413 | 264,463 | |
2,388,446 | |||
Missouri — 1.3% | |||
405,000 | Cape Girardeau County, MO, Industrial Development Authority, Southeast Health, Revenue Bonds, Series A, 6.000% due 3/1/33 | 440,789 | |
35,000 | Lees Summit, MO, Special Obligation Tax Increment, Tax Allocation, Refunding, 3.500% due 11/1/233 | 35,242 | |
430,000 | Maryland Heights, MO, Industrial Development Authority, State Louis Community ICE Center Project, Revenue Bonds, Series A, 4.375% due 3/15/30 | 409,638 | |
100,000 | Missouri State Health & Educational Facilities Authority, Lutheran Senior Services, Revenue Bonds, 5.000% due 2/1/25 | 108,912 | |
640,000 | Missouri State Health & Educational Facilities Authority, Revenue Bonds, 5.000% due 2/1/26 | 694,645 | |
Missouri State Health & Educational Facilities Authority, Revenue Bonds, Series A: | |||
100,000 | 5.000% due 2/1/28 | 114,703 | |
250,000 | 5.000% due 2/1/42 | 275,838 | |
250,000 | Missouri State, Health and Educational Facilities Authority, Revenue Bonds, 5.000% due 8/1/45 | 269,317 | |
60,000 | Plaza at Noah’s Ark Community Improvement District, MO, Refunding, Revenue Bonds, 3.000% due 5/1/26 | 61,320 |
158 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Missouri — (Continued) | |||
$ 355,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Facilities, Revenue Bonds, Refunding, 5.000% due 9/1/32 | $ 409,524 | |
625,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Facilities, Revenue Bonds, Series A, 5.250% due 9/1/53 | 697,815 | |
150,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Revenue, Revenue Bonds, Refunding, 5.000% due 9/1/48 | 167,035 | |
3,684,778 | |||
Nebraska — 0.1% | |||
195,000 | Nebraska State, Investment Finance Authority, Safe Housing Revenue, Revenue Bonds, Series C, 4.000% due 9/1/48 | 212,097 | |
Nevada — 0.7% | |||
290,000 | Las Vegas, NV, Sales Tax Increment Revenue, 3.500% due 6/15/253 | 290,137 | |
225,000 | Las Vegas, NV, Special Improvement District No. 816, Sales Tax Increment Revenue Bonds, 2.750% due 6/1/31 | 225,941 | |
335,000 | Nevada State, Department of Business & Industry, Revenue Bonds, Series A, 5.000% due 7/15/273 | 372,716 | |
500,000 | Nevada State, Department of Business and Industry, Revenue Bonds, Series A, 5.000% due 12/15/483 | 541,894 | |
390,000 | North Las Vegas, NV, Local Improvement, Special Assessment, 4.625% due 6/1/49 | 428,264 | |
1,858,952 | |||
New Hampshire — 0.4% | |||
976,069 | National Finance Authority, NH, Municipal Certificates, Revenue Bonds, Series 1, Class A, 4.125% due 1/20/34 | 1,152,974 | |
New Jersey — 5.7% | |||
500,000 | New Jersey Health Care Facilities Financing Authority Revenue, Revenue Bonds, St Peters Univerdity Hospital, 5.750% due 7/1/37 | 501,509 | |
1,085,000 | New Jersey State Economic Development Authority Revenue, Refunding, School Facilities Construction, Revenue Bonds, Series NN, 5.000% due 3/1/24 | 1,149,995 | |
1,000,000 | New Jersey State Economic Development Authority Revenue, Revenue Bonds, Refunding, (AGMC Insured), 5.000% due 6/1/29 | 1,202,064 | |
175,000 | New Jersey State Economic Development Authority School Revenue, Beloved Community Chart School, Inc. Project, Revenue Bonds, Series A, 5.000% due 6/15/493 | 188,137 | |
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 | 398,257 | |
500,000 | New Jersey State Economic Development Authority, Revenue Bonds, Refunding, Series I, (SIFMA MUNI SWAP INDEX + 1.60%), 1.650% due 3/1/285 | 506,392 | |
2,500,000 | New Jersey State Economic Development Authority, Revenue Bonds, Refunding, Series XX, 5.000% due 6/15/25 | 2,881,862 | |
770,000 | New Jersey State Housing and Mortgage Finance Agency, Revenue Bonds, Refunding, Series C, 4.750% due 10/1/50 | 861,440 | |
New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series A: | |||
1,000,000 | 0.000% due 12/15/351 | 710,536 | |
1,300,000 | 0.000% due 12/15/391 | 803,909 | |
1,000,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series A, (BAM Insured), 0.000% due 12/15/271 | 916,481 | |
1,000,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series B, (NPFG Insured), 5.500% due 12/15/21 | 1,006,272 |
159 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New Jersey — (Continued) | |||
New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series C, (AGMC Insured): | |||
$ 185,000 | 0.000% due 12/15/321 | $ 148,110 | |
1,000,000 | 0.000% due 12/15/341 | 756,834 | |
550,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series C, (AMBAC Insured), 0.000% due 12/15/351 | 399,061 | |
1,000,000 | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Series C, (NPFG Insured), 0.000% due 12/15/311 | 813,887 | |
1,000,000 | Tobacco Settlement Financing Corp., NJ, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/29 | 1,224,142 | |
1,500,000 | Union County, NJ, Industrial Pollution Control Financing Authority, Revenue Bonds, 0.030% due 7/1/332 | 1,500,000 | |
15,968,888 | |||
New Mexico — 0.5% | |||
500,000 | New Mexico Hospital Equipment Loan Council First Mortgage, Revenue Bonds, LA Vida Llena Expansion Project, Series A, 5.000% due 7/1/49 | 544,345 | |
510,000 | New Mexico Mortgage Finance Authority, Revenue Bonds, Series A-1, Class I, (GNMA / FNMA / FHLMC Insured), 4.250% due 1/1/50 | 561,202 | |
275,000 | Santa Fe, NM, Retirement Facility Revenue, Revenue Bonds, Series A, 5.000% due 5/15/34 | 310,531 | |
1,416,078 | |||
New York — 6.9% | |||
435,000 | Brookhaven, NY, Arena Local Development Corp., Revenue Bonds, Series A, 4.000% due 11/1/55 | 480,629 | |
1,250,000 | Brooklyn, NY, Arena Local Development Corp., Pilot Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 7/15/42 | 1,437,053 | |
100,000 | Build NYC Resource Corp, NY, Revenue Bonds, Series A, 4.000% due 6/15/51 | 106,184 | |
315,000 | Build NYC Resource Corp, NY, Revenue Bonds,Series A, 5.000% due 12/1/413 | 358,448 | |
150,000 | County of Sullivan, NY, Special Assessment, Series E-1, 4.850% due 11/1/313 | 158,253 | |
500,000 | County of Sullivan, NY, Special Assessment, Series E-2, 5.350% due 11/1/493 | 524,827 | |
500,000 | Glen Cove, NY, Local Economic Assistance Corp., Revenue Bonds, Series C, 0.000% due 1/1/551 | 523,006 | |
395,000 | Metropolitan Transportation Aurthority, NY, Revenue Bonds, Refunding, Series D-2-B, (SOFR*0.67+0.55%), 0.584% due 11/1/325 | 396,335 | |
250,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series A-3, (SIFMA MUNI SWAP INDEX + 0.50%), 0.550% due 11/15/425 | 250,027 | |
Metropolitan Transportation Authority, NY, Revenue Bonds, Series C-1: | |||
250,000 | 4.750% due 11/15/45 | 292,358 | |
120,000 | 5.000% due 11/15/50 | 142,600 | |
500,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series D, 4.000% due 11/15/46 | 542,331 | |
Metropolitan Transportation Authority, NY, Revenue Bonds, Series D-2: | |||
500,000 | 4.000% due 11/15/47 | 554,345 | |
325,000 | 4.000% due 11/15/48 | 360,041 | |
175,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series D-3, 4.000% due 11/15/49 | 193,683 | |
275,000 | Monroe County, NY, Industrial Development Corp, Revenue Bonds, 5.000% due 1/1/40 | 307,703 | |
1,900,000 | New York City, NY, General Obligation Unlimited, Series F-3, 0.020% due 3/1/422 | 1,900,000 | |
1,000,000 | New York City, NY, Municipal Water Finance Authority, Water And Sewer Sytem Revenue, Revenue Bonds, Series A-2, 0.020% due 6/15/442 | 1,000,000 |
160 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New York — (Continued) | |||
$ 3,800,000 | New York City, NY, Water & Sewer System, Revenue Bonds, Series FF-1, 0.020% due 6/15/442 | $ 3,800,000 | |
460,000 | New York City, NY, Water and Sewer System Revenue, Revenue Bonds,Series BB2, 4.000% due 6/15/42 | 537,329 | |
700,000 | New York State, Dormitory Authority Revenue, Non State Supported Debt, Refunding, 5.000% due 12/1/323 | 833,609 | |
1,000,000 | New York State, Dormitory Authority, Revenue Bonds,Series A, 5.000% due 3/15/40 | 1,243,562 | |
360,000 | New York State, Mortgage Agency, Homeowner Mortgage, Revenue Bonds, Refunding, Series 195, 4.000% due 10/1/46 | 382,310 | |
1,415,000 | New York State, Urban Development Corp., Revenue Bonds, Series C, 5.000% due 3/15/50 | 1,750,456 | |
New York Transportation Development Corp., Revenue Bonds, Series C: | |||
500,000 | 5.000% due 12/1/32 | 627,329 | |
500,000 | 5.000% due 12/1/34 | 625,197 | |
250,000 | The Town of Huntington, NY, Local Development Corp., Revenue Bonds, Series A, 5.250% due 7/1/56 | 272,039 | |
19,599,654 | |||
North Carolina — 0.6% | |||
995,000 | North Carolina Housing Finance Agency, Revenue Bonds, Series 46-A, 3.000% due 7/1/51 | 1,071,791 | |
215,000 | North Carolina Medical Care Commission, Revenue Bonds, Series A, 5.000% due 7/1/34 | 242,319 | |
500,000 | North Carolina State, Medical Care Commission, Retirement Facilities Revenue, Revenue Bonds, Series B, 5.000% due 4/1/47 | 513,083 | |
1,827,193 | |||
North Dakota — 0.3% | |||
195,000 | North Dakota Housing Finance Agency, Revenue Bonds, Series A, 3.000% due 1/1/52 | 210,246 | |
500,000 | Ward County, ND, Healthcare Facilities Revenue, Revenue Bonds, Series C, 5.000% due 6/1/43 | 579,909 | |
790,155 | |||
Ohio — 2.5% | |||
500,000 | Buckeye, OH, Tobacco Settlement Financing Authority, Revenue Bonds, Series B-2, 5.000% due 6/1/55 | 561,070 | |
2,500,000 | Buckeye, OH, Tobacco Settlement Financing Authority, Revenue Bonds, Series B-3, 0.000% due 6/1/571 | 390,367 | |
600,000 | Centerville, OH, Healthcare Revenue, Refunding, 5.250% due 11/1/50 | 653,987 | |
100,000 | Cleveland-Cuyahoga County, OH, Port Authority, Revenue Bonds, Refunding, Series B, 4.500% due 12/1/55 | 105,042 | |
455,000 | Cuyahoga County, OH, Hospital Revenue, Refunding, 5.500% due 2/15/52 | 540,730 | |
345,000 | Franklin Contry, OH, Revenue Bonds, Refunding, 5.250% due 11/15/55 | 386,387 | |
815,000 | Licking County, OH, Health Care Facilities Authority Revenue, Refunding, Series A, 6.000% due 7/1/50 | 612,880 | |
1,000,000 | Lucas County, OH, Hospital Revenue, Promedica Healthcare Obligated Group, Revenue Bonds, Refunding, Series A, 5.250% due 11/15/48 | 1,190,805 | |
475,000 | Ohio Higher Educational Facility Commission, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/50 | 545,582 | |
Southeastern Ohio Port Authority Hospital Facilities, Revenue Bonds: | |||
300,000 | 5.750% due 12/1/32 | 311,045 | |
500,000 | 6.000% due 12/1/42 | 517,463 |
161 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Ohio — (Continued) | |||
State of Ohio, Revenue Bonds: | |||
$ 250,000 | 5.000% due 12/1/283 | $ 274,971 | |
250,000 | 5.000% due 12/1/383 | 265,766 | |
300,000 | 5.000% due 12/1/483 | 314,418 | |
420,000 | State of Ohio, Revenue Bonds, Refunding, 5.000% due 12/1/333 | 451,652 | |
7,122,165 | |||
Oklahoma — 0.2% | |||
635,000 | Norman, OK, Regional Hospital Authority, Revenue Bonds, Refunding, 4.000% due 9/1/37 | 698,109 | |
375,000 | Oklahoma Development Finance Authority, Revenue Bonds, Series A, 5.000% due 8/1/526 | 5,625 | |
703,734 | |||
Oregon — 0.2% | |||
125,000 | Clackamas County, OR, Hospital Facility Authority, Oregon Senior Living, Revenue Bonds, Refunding, Series A, 5.125% due 11/15/40 | 136,991 | |
395,000 | Polk County, OR, Oregon Hospital Facility Authority, Revenue Bonds, Series A, 5.125% due 7/1/55 | 406,999 | |
130,000 | Yamhill County, OR, Hospital Authority, Revenue Bonds, Series A, 5.000% due 11/15/51 | 149,903 | |
693,893 | |||
Pennsylvania — 4.1% | |||
500,000 | Allegheny County, PA, Hospital Development Authority, Revenue Bonds,Refunding, Series A, 5.000% due 4/1/47 | 593,247 | |
750,000 | Berks County, PA, Industrial Development Authority, Tower Health Project, Revenue Bonds, Refunding, 5.000% due 11/1/47 | 824,093 | |
150,000 | Berks County, PA, Municipal Authority, Revenue Bonds, Series B-3, 5.000% due 2/1/402 | 172,516 | |
270,000 | Bucks Country, PA, Industrial Development Authority, Revenue Bonds, 4.000% due 7/1/46 | 299,581 | |
125,000 | Chester County, PA, Industrial Development Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/15/51 | 141,401 | |
Crawford County, PA, Hospital Authority, Revenue Bonds, Refunding, Series A: | |||
400,000 | 6.000% due 6/1/36 | 450,186 | |
250,000 | 6.000% due 6/1/46 | 277,978 | |
500,000 | Cumberland County, PA, Municipal Authority, Revenue Bonds, Refunding, 5.000% due 1/1/29 | 557,746 | |
500,000 | Delaware Valley, PA, Regional Finance Authority, Revenue Bonds, Series C, (3M USD LIBOR*0.67+0.75%), 0.830% due 6/1/375 | 481,154 | |
1,000,000 | Doylestown, PA, Hospital Authority, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/41 | 1,122,946 | |
200,000 | Franklin County, PA, Industrial Development Authority, Menno-Haven, Inc. Project, Revenue Bonds, Refunding, 5.000% due 12/1/43 | 217,803 | |
350,000 | Lancaster County, PA, Hospital Authority, Revenue Bonds, Refunding, 5.000% due 3/1/45 | 391,680 | |
445,000 | Montgomery County, PA, Higher Education & Health Authority, Revenue Bonds, Refunding, 5.000% due 12/1/47 | 491,696 | |
Montgomery County, PA, Industrial Development Authority, Health System Revenue, Revenue Bonds, Refunding, Series A: | |||
600,000 | 5.250% due 1/15/27 | 679,155 | |
250,000 | 5.250% due 1/15/46 | 281,683 | |
Montgomery County, PA, Industrial Development Authority, Revenue Bonds, Refunding: | |||
105,000 | 5.000% due 11/15/23 | 107,727 | |
500,000 | 5.000% due 11/15/36 | 583,256 | |
100,000 | 5.000% due 12/1/46 | 109,079 |
162 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
$ 250,000 | Montgomery County, PA, Industrial Development Authority, Waverly Heights, Limited. Project, Revenue Bonds, Refunding, 5.000% due 12/1/44 | $ 285,704 | |
Northampton County, PA, Industrial Development Authority, Revenue Bonds: | |||
250,000 | 5.000% due 11/1/44 | 280,880 | |
300,000 | 5.000% due 11/1/49 | 336,006 | |
1,000,000 | Pennsylvania Higher Educational Facilities Authority, Revenue Bonds, Refunding, Series A, 5.000% due 8/15/44 | 1,279,450 | |
250,000 | Pennsylvania State Lancaster County Hospital Authority, Revenue Bonds, 5.000% due 3/1/40 | 281,760 | |
Philadelphia, PA Authority for Industrial Development, Revenue Bonds, Refunding: | |||
100,000 | 5.000% due 8/1/30 | 117,181 | |
115,000 | 5.000% due 6/15/403 | 133,044 | |
425,000 | 5.000% due 8/1/40 | 509,227 | |
325,000 | The Berks County, PA, Municipal Authority, Revenue Bonds, Series A, 5.000% due 2/1/28 | 370,004 | |
150,000 | Washington County, PA, Redevelopment Authority Revenue, Tax Allocation, Refunding, 5.000% due 7/1/28 | 161,146 | |
100,000 | Westmoreland County, PA, Industrial Development Authority, Revenue Bonds, Series A, 4.000% due 7/1/25 | 111,497 | |
11,648,826 | |||
Puerto Rico — 6.6% | |||
35,000 | Commonwealth of Puerto Rico, General Obligation Unlimited, Refunding, (AGMC Insured), 4.500% due 7/1/23 | 35,081 | |
Commonwealth of Puerto Rico, General Obligation Unlimited, Refunding, Series A: | |||
200,000 | 5.000% due 7/1/216 | 184,000 | |
1,690,000 | 5.000% due 7/1/416 | 1,501,987 | |
140,000 | Commonwealth of Puerto Rico, General Obligation Unlimited, Refunding, Series B, 3.900% due 7/1/496 | 125,825 | |
250,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/373,4 | 299,799 | |
2,000,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bonds, Refunding, Series B, 4.000% due 7/1/42 | 2,203,994 | |
Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bonds, Series A: | |||
145,000 | 5.000% due 7/1/33 | 149,439 | |
1,500,000 | 5.000% due 7/1/353 | 1,799,496 | |
300,000 | 5.125% due 7/1/37 | 309,432 | |
1,000,000 | Puerto Rico Electric Power Authority, Power Revenue, Revenue Bonds, Series XX-RSA-1, 5.250% due 7/1/406 | 981,250 | |
25,000 | Puerto Rico Electric Power Authority, Revenue Bonds, (AGMC Insured), 5.000% due 7/1/27 | 25,174 | |
610,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series DDD, (AGMC Insured), 3.625% due 7/1/23 | 609,986 | |
75,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series SS, (AGMC Insured), 5.000% due 7/1/30 | 75,522 | |
860,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series UU, (AGMC Insured), (3M USD LIBOR * 0.67 + 0.52%), 0.608% due 7/1/295 | 857,882 | |
500,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series 2013A-RSA-1, 7.000% due 7/1/406 | 503,125 | |
85,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series A, 5.000% due 7/1/29 | 83,087 | |
300,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series NN, (NPFG Insured), 4.750% due 7/1/33 | 303,788 | |
510,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series RR, (AGC Insured), 5.000% due 7/1/28 | 513,549 | |
10,000 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, (AMBAC Insured), 0.000% due 7/1/251 | 8,662 | |
455,000 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, Refunding, Series N, (AMBAC Insured), 6.485% due 7/1/28 | 435,673 |
163 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Puerto Rico — (Continued) | |||
$ 800,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Auxilio Mutuo, Revenue Bonds, Series A, 6.000% due 7/1/33 | $ 802,191 | |
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 | 257,338 | |
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 | 431,151 | |
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 | 100,250 | |
500,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Revenue Bonds, 5.000% due 3/1/36 | 501,250 | |
540,000 | Puerto Rico Infrastructure Financing Authority, Special Tax Revenue,Revenue Bonds, Series A (AMBAC Insured), 0.000% due 7/1/371 | 260,918 | |
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds, Series A-1: | |||
7,000 | 0.000% due 7/1/241 | 6,691 | |
15,000 | 0.000% due 7/1/271 | 13,556 | |
14,000 | 0.000% due 7/1/291 | 11,981 | |
18,000 | 0.000% due 7/1/311 | 14,296 | |
500,000 | 0.000% due 7/1/461 | 162,374 | |
11,243,000 | 0.000% due 7/1/511 | 2,647,965 | |
750,000 | 5.000% due 7/1/58 | 846,711 | |
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds, Series A-2: | |||
250,000 | 4.329% due 7/1/40 | 274,368 | |
207,000 | 4.536% due 7/1/53 | 227,772 | |
500,000 | 4.784% due 7/1/58 | 556,684 | |
Puerto Rico Sales Tax Financing Corp., Revenue Bonds, Series A, Class 2, (AMBAC Insured): | |||
209,663 | 0.000% due 8/1/471 | 69,126 | |
323,124 | 0.000% due 8/1/541 | 75,410 | |
185,000 | University of Puerto Rico, Revenue Bonds, Refunding, Series P, (NPFG Insured), 5.000% due 6/1/25 | 187,558 | |
University of Puerto Rico, Revenue Bonds, Series Q: | |||
100,000 | 5.000% due 6/1/25 | 98,750 | |
150,000 | 5.000% due 6/1/36 | 147,000 | |
18,700,091 | |||
Rhode Island — 1.1% | |||
Rhode Island Health & Educational Building Corp., Revenue Bonds, Refunding, Series B: | |||
900,000 | 5.000% due 9/1/31 | 1,015,644 | |
750,000 | 5.000% due 9/1/36 | 841,909 | |
440,000 | Rhode Island State, Housing and Mortgage Finance Corp., Revenue Bonds, Series 69-B, (GNMA / FNMA / FHLMC Insured), 4.000% due 10/1/48 | 481,122 | |
5,000,000 | Tobacco Settlement Financing Corp., RI, Revenue Bonds, Series A, 0.000% due 6/1/521 | 835,109 | |
3,173,784 | |||
South Carolina — 1.9% | |||
2,760,004 | Connector 2000 Association, Inc., SC, Revenue Bonds, Series A-1, 0.000% due 1/1/421 | 706,433 | |
500,000 | Connector 2000 Association, Inc., SC, Toll Road Revenue, Series A-1, 0.000% due 1/1/321 | 257,668 | |
225,000 | South Carolina State, Housing Finance & Development Authority, Revenue Bonds, Series A, (GNMA / FNMA / FHLMC/ FHA Insured), 4.000% due 7/1/36 | 240,855 |
164 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
South Carolina — (Continued) | |||
South Carolina State, Jobs-Economic Development Authority, Health Facilities Revenue, Revenue Bonds, Refunding: | |||
$ 410,000 | 5.000% due 10/1/363 | $ 450,143 | |
1,090,000 | 5.000% due 10/1/413 | 1,183,694 | |
800,000 | South Carolina State, Jobs-Economic Development Authority, Residential Facilities Revenue, Revenue Bonds, Refunding, 5.000% due 4/1/47 | 868,167 | |
105,000 | South Carolina State, Jobs-Economic Development Authority, Revenue Bonds, Refunding, Series A, 4.000% due 6/1/56 | 109,060 | |
200,000 | South Carolina State, Public Service Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/33 | 234,880 | |
South Carolina State, Public Service Authority, Revenue Bonds, Refunding, Series B: | |||
500,000 | 5.000% due 12/1/37 | 593,644 | |
500,000 | 5.000% due 12/1/41 | 591,192 | |
5,000 | South Carolina State, Public Service Authority, Revenue Bonds, Series E, 5.250% due 12/1/55 | 5,819 | |
5,241,555 | |||
Tennessee — 0.4% | |||
1,000,000 | Metropolitan Nashville Airport Authority, TN, Revenue Bonds, Series A, 5.000% due 7/1/54 | 1,224,000 | |
Texas — 4.3% | |||
645,000 | Arlington, TX, Higher Education Finance Corp., Education Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/51 | 729,965 | |
Arlington, TX, Higher Education Finance Corp., Revenue Bonds, Refunding, Uplift Education, Series A: | |||
350,000 | 2.750% due 12/1/26 | 358,963 | |
210,000 | 4.375% due 2/15/514 | 209,988 | |
360,000 | Fort Bend County, TX, Industrial Development Corp., NRG Energy, Inc., Revenue Bonds, Series A, 4.750% due 5/1/38 | 372,890 | |
1,510,000 | Harris County, TX, Cultural Education Facilities Finance Corp., Brazos Presbyterian Homes Project, Revenue Bonds, Refunding, 5.000% due 1/1/48 | 1,649,954 | |
150,000 | Harris County, TX, Cultural Education Facilities Finance Corp., Revenue Bonds, Series A, 5.000% due 1/1/43 | 154,565 | |
500,000 | Matagorda County, TX, Navigation District No. 1, Revenue Bonds, Refunding, Series A, (AMBAC Insured), 4.400% due 5/1/30 | 595,081 | |
950,000 | New Hope Cultural Education Facilities Finance Corp., TX, Retirement Facilities Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/36 | 1,027,008 | |
375,000 | New Hope Cultural Education Facilities Finance Corp., TX, Retirement Facilities Revenue, Revenue Bonds, Series A, 5.000% due 1/1/35 | 415,731 | |
New Hope Cultural Education Facilities Finance Corp., TX, Revenue Bonds: | |||
250,000 | 5.500% due 1/1/49 | 258,920 | |
400,000 | 5.000% due 1/1/55 | 412,355 | |
215,000 | New Hope Cultural Education Facilities Finance Corp., TX, Revenue Bonds, Series A, 5.000% due 7/1/40 | 244,595 | |
500,000 | New Hope Cultural Education Facilities Finance Corp., TX, Student Housing Revenue Bonds, Series A, 5.000% due 4/1/42 | 609,491 | |
Newark Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds: | |||
300,000 | 5.000% due 6/15/33 | 305,769 | |
500,000 | 5.000% due 6/15/38 | 508,928 | |
230,000 | Newark Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds, Series A, 5.000% due 6/15/37 | 236,680 | |
500,000 | Plano, TX, Special Assessment, Revenue Bonds, 4.000% due 9/15/513 | 511,044 |
165 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Texas — (Continued) | |||
Tarrant County, TX, Cultural Education Facilities Finance Corp., Retirement Facilities, Revenue Bonds, Refunding: | |||
$ 250,000 | 4.000% due 5/15/27 | $ 266,476 | |
70,000 | 4.000% due 5/15/31 | 73,736 | |
150,000 | 5.000% due 11/15/35 | 166,933 | |
625,000 | 5.000% due 5/15/45 | 666,572 | |
155,000 | Texas State, Department of Housing and Community Affairs, Revenue Bonds, Series A, (GNMA Insured), 4.750% due 3/1/49 | 171,259 | |
1,000,000 | Texas State, Municipal Gas Acquisition and Supply Corp. I, Revenue Bonds, Series C, 0.767% due 9/15/275 | 1,005,065 | |
500,000 | Texas State, Municipal Gas Acquisition and Supply Corp. I, Revenue Bonds, Series D, 6.250% due 12/15/26 | 578,268 | |
700,000 | Town of Little Elm TX, Special Assessment, Series A, 5.375% due 9/1/513 | 685,680 | |
12,215,916 | |||
Utah — 0.4% | |||
500,000 | Hideout Local District No. 1, UT, Special Assessment, 6.750% due 8/1/373 | 519,516 | |
250,000 | Mida Mountain Village, UT, Public Infrastructure District, Special Assessment, Series A, 5.000% due 8/1/50 | 278,298 | |
270,000 | Mida Mountain Village, UT, Public Infrastucture District, Special Assessment, 4.000% due 8/1/503 | 275,830 | |
1,073,644 | |||
Vermont — 0.1% | |||
260,000 | Vermont Economic Development Authority, Series A, 4.000% due 5/1/37 | 282,645 | |
Virginia — 2.5% | |||
Farmville, VA, Industrial Development Authority Facilities, Revenue Bonds, Refunding, Series A: | |||
750,000 | 5.000% due 1/1/38 | 876,546 | |
500,000 | 5.000% due 1/1/50 | 587,191 | |
500,000 | Hanover County, VA, Economic Development Authority, Care Facilities Revenue, Covenant Woods, Revenue Bonds, Refunding, 5.000% due 7/1/38 | 543,860 | |
295,000 | Henrico County, VA, Economic Development Authority Health Care Facilities Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 12/1/37 | 346,721 | |
500,000 | Henrico County, VA, Economic Development Authority, Residencial Care Facility Revenue, Revenue Bonds, Series A, 5.000% due 6/1/39 | 543,952 | |
600,000 | Henrico County, VA, Economic Development Authority, Residencial Care Facility Revenue, Revenue Bonds, Series C, 5.000% due 12/1/47 | 694,007 | |
James City County, VA, Economic Development Authority, Revenue Bonds, Series A: | |||
190,000 | 4.000% due 12/1/40 | 207,814 | |
140,000 | 4.000% due 6/1/41 | 151,532 | |
500,000 | Newport News, VA, Industrial Development Authority, Health System Revenue, Revenue Bonds, Series A, 5.000% due 7/1/463 | 571,470 | |
1,000,000 | Newport News, VA, Industrial Development Authority, System Revenue, Revenue Bonds, 5.330% due 7/1/453 | 1,114,556 | |
500,000 | Virginia State, Small Business Financing Authority, Residential Care Facility Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 6/1/42 | 535,376 | |
Virginia State, Small Business Financing Authority, Revenue Bonds, Series A: | |||
500,000 | 5.000% due 1/1/32 | 608,857 | |
250,000 | 4.000% due 1/1/45 | 282,236 | |
7,064,118 |
166 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Washington — 2.1% | |||
$ 235,000 | Kalispel Tribe of Indians Priority District, WA, Revenue Bonds, Series B, 5.250% due 1/1/383 | $ 277,085 | |
Washington State Convention Center Public Facilities District, Refunding, Series B: | |||
260,000 | 4.000% due 7/1/31 | 306,150 | |
295,000 | 3.000% due 7/1/35 | 307,464 | |
310,000 | 3.000% due 7/1/58 | 299,802 | |
500,000 | Washington State Convention Center Public Facilities District, Revenue Bonds, 4.000% due 7/1/31 | 570,321 | |
497,089 | Washington State Housing Finance Commission, Revenue Bonds, Series A-1, 3.500% due 12/20/35 | 570,061 | |
Washington State, Health Care Facilities Authority, Revenue Bonds: | |||
300,000 | 5.000% due 8/15/34 | 349,746 | |
1,125,000 | 5.000% due 12/1/36 | 1,284,099 | |
200,000 | Washington State, Health Care Facilities Authority, Revenue Bonds, Series A-2, 5.000% due 8/1/30 | 252,116 | |
625,000 | Washington State, Housing Finance Commission, Refunding, Judson Park Project, Revenue Bonds, 5.000% due 7/1/383 | 671,094 | |
500,000 | Washington State, Housing Finance Commission, Rockwood Retirement Communities, Revenue Bonds, 5.000% due 1/1/553 | 526,394 | |
500,000 | Washington State, Housing Finance Commission, Rockwood Retirement Communities, Revenue Bonds, Series A, 5.000% due 1/1/563 | 526,078 | |
5,940,410 | |||
West Virginia — 0.1% | |||
250,000 | West Virginia State, Hospital Finance Authority, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/43 | 299,579 | |
Wisconsin — 3.8% | |||
250,000 | Public Finance Authority, WI, Charter School Portfolio Project, Revenue Bonds, Series A-1, 5.000% due 1/1/553 | 273,115 | |
500,000 | Public Finance Authority, WI, Charter School Revenue, Revenue Bonds, Series A, 5.375% due 7/15/473 | 558,186 | |
235,000 | Public Finance Authority, WI, Education Revenue, Revenue Bonds, Series A, 5.000% due 6/15/51 | 251,249 | |
115,000 | Public Finance Authority, WI, Hospital Facility Authority, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/41 | 132,159 | |
Public Finance Authority, WI, Retirement Facility Revenue, Revenue Bonds, Refunding: | |||
250,000 | 5.000% due 9/1/493 | 266,479 | |
500,000 | 5.000% due 9/1/543 | 562,229 | |
135,000 | Public Finance Authority, WI, Revenue Bond, 5.000% due 4/1/503 | 157,014 | |
250,000 | Public Finance Authority, WI, Revenue Bond, Series A, 5.000% due 12/1/453 | 278,350 | |
260,000 | Public Finance Authority, WI, Revenue Bonds, Refunding, 5.875% due 4/1/45 | 292,715 | |
Public Finance Authority, WI, Revenue Bonds, Series A: | |||
375,000 | 5.000% due 6/1/293 | 414,584 | |
250,000 | 5.000% due 1/1/35 | 290,416 | |
750,000 | 5.000% due 1/1/46 | 852,974 | |
1,000,000 | 4.000% due 7/1/51 | 1,128,097 | |
295,000 | Public Finance Authority, WI, School Education Revenue, Revenue Bonds, 4.000% due 6/15/293 | 314,923 | |
500,000 | Public Finance Authority, WI, School Education Revenue, Revenue Bonds, Series A, 4.000% due 6/15/403 | 511,967 | |
350,000 | Public Finance Authority, WI, Senior Living Revenue, Mary’s Woods at Marylhurst Project, Revenue Bonds, Refunding, Series A, 5.250% due 5/15/373 | 381,170 | |
70,000 | Public Finance Authority, WI, Senior Living Revenue, Rose Village Project, Revenue Bonds, Series A, 5.000% due 11/15/243 | 72,946 | |
500,000 | Public Finance Authority, WI, Student Housing, Revenue Bonds (AGMC Insured), 5.000% due 7/1/53 | 588,294 |
167 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Wisconsin — (Continued) | |||
$ 1,060,000 | Public Finance Authority, WI, Student Housing, Revenue Bonds, Series A, 5.000% due 7/1/25 | $ 1,177,831 | |
955,000 | Wisconsin State, Health & Educational Facilities Authority Revenue, Revenue Bonds, Refunding, 5.000% due 6/1/41 | 1,038,948 | |
390,000 | Wisconsin State, Health & Educational Facilities Authority Revenue, Revenue Bonds, Refunding, Series C, 0.150% due 2/15/532 | 390,000 | |
35,000 | Wisconsin State, Housing and Economic Development Authority, Home Ownership Revenue, Revenue Bonds, Series B, 0.400% due 5/1/452 | 34,969 | |
715,000 | Wisconsin State, Housing and Economic Development Authority, Home Ownership Revenue, Revenue Bonds, Series D, 4.000% due 3/1/47 | 778,748 | |
10,747,363 | |||
Other Territory — 0.4% | |||
719,774 | Federal Home Loan Mortgage Corporation Multifamily 2019ML-05 Certificates, Revenue Bonds, Class AUS, 3.400% due 1/25/36 | 808,559 | |
264,142 | Federal Home Loan Mortgage Corporation Multifamily 2021ML-10 Certificates, Class AUS, 2.032% due 1/25/38 | 269,068 | |
718,291 | Federal Home Loan Mortgage Corporation Multifamily 2021ML-10 Certificates, Class XUS, 2.055% due 1/25/382 | 149,422 | |
TOTAL MUNICIPAL BONDS (Cost $263,092,020) | 278,017,756 | ||
TOTAL INVESTMENTS (Cost $263,092,020) | 98.4% | $278,017,756 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 1.6 | 4,493,840 | |
NET ASSETS | 100.0% | $282,511,596 |
* | Percentages indicated are based on net assets. |
1 | Zero Coupon Bond. |
2 | 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 October 31, 2021. |
3 | 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 October 31, 2021, these securities amounted to $39,172,520 or 13.9% of net assets for the Fund. |
4 | When-issued security. |
5 | Floating Rate Bond. Rate shown is as of October 31, 2021. |
6 | This security is in default. See Note 1. |
Abbreviations: |
AGC — Assurance Guaranty Corporation |
AGMC — Assured Guaranty Municipal Corporation |
AMBAC — American Municipal Bond Assurance Corporation |
AMT — Alternative Minimum Tax |
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 |
168 |
% of Net Assets | Value | ||
STATE: | |||
Illinois | 13.3% | $ 37,687,290 | |
Colorado | 10.2 | 28,686,189 | |
New York | 6.9 | 19,599,654 | |
Puerto Rico | 6.6 | 18,700,091 | |
New Jersey | 5.7 | 15,968,888 | |
Florida | 4.8 | 13,461,501 | |
Texas | 4.3 | 12,215,916 | |
California | 4.2 | 11,857,563 | |
Pennsylvania | 4.1 | 11,648,826 | |
Arizona | 3.9 | 10,946,930 | |
Wisconsin | 3.8 | 10,747,363 | |
Ohio | 2.5 | 7,122,165 | |
Virginia | 2.5 | 7,064,118 | |
Michigan | 2.5 | 7,026,364 | |
Washington | 2.1 | 5,940,410 | |
South Carolina | 1.9 | 5,241,555 | |
Indiana | 1.8 | 5,113,354 | |
Maryland | 1.8 | 5,012,875 | |
Missouri | 1.3 | 3,684,778 | |
Louisiana | 1.1 | 3,251,109 | |
Rhode Island | 1.1 | 3,173,784 | |
Alabama | 1.0 | 2,724,100 | |
Kentucky | 0.9 | 2,438,992 | |
Mississippi | 0.8 | 2,388,446 | |
District of Columbia | 0.8 | 2,252,333 | |
Georgia | 0.8 | 2,201,811 | |
Idaho | 0.7 | 1,965,896 | |
Connecticut | 0.7 | 1,910,009 | |
Nevada | 0.7 | 1,858,952 | |
North Carolina | 0.6 | 1,827,193 | |
New Mexico | 0.5 | 1,416,078 | |
Iowa | 0.5 | 1,304,842 | |
Other Territory | 0.4 | 1,227,049 | |
Tennessee | 0.4 | 1,224,000 | |
Hawaii | 0.4 | 1,163,185 | |
New Hampshire | 0.4 | 1,152,974 | |
Utah | 0.4 | 1,073,644 | |
Alaska | 0.4 | 1,065,271 | |
Guam | 0.3 | 837,586 | |
North Dakota | 0.3 | 790,155 | |
Oklahoma | 0.2 | 703,734 | |
Oregon | 0.2 | 693,893 | |
Minnesota | 0.2 | 501,326 | |
Kansas | 0.1 | 351,243 | |
West Virginia | 0.1 | 299,579 | |
Vermont | 0.1 | 282,645 | |
Nebraska | 0.1 | 212,097 | |
TOTAL MUNICIPAL BONDS | 98.4% | $278,017,756 | |
TOTAL INVESTMENTS | 98.4% | $278,017,756 |
169 |
170 |
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 | ||||||||
Air Freight & Logistics | $ 10,302 | $ — | $— | $ 10,302 | ||||
Auto Components | 11,957 | — | — | 11,957 | ||||
Banks | 171,950 | — | — | 171,950 | ||||
Beverages | 11,750 | — | — | 11,750 | ||||
Biotechnology | 111,336 | — | — | 111,336 | ||||
Building Products | 34,513 | — | — | 34,513 | ||||
Capital Markets | 31,028 | — | — | 31,028 | ||||
Chemicals | 22,720 | — | — | 22,720 | ||||
Commercial Services & Supplies | 23,489 | — | — | 23,489 | ||||
Communications Equipment | 8,393 | — | — | 8,393 | ||||
Construction & Engineering | 11,324 | — | — | 11,324 | ||||
Consumer Finance | 21,315 | — | — | 21,315 | ||||
Containers & Packaging | 10,479 | — | — | 10,479 | ||||
Diversified Consumer Services | 19,480 | — | — | 19,480 | ||||
Diversified Telecommunication Services | 6,791 | — | — | 6,791 | ||||
Electronic Equipment, Instruments & Components | 39,194 | — | — | 39,194 | ||||
Energy Equipment & Services | 19,396 | — | — | 19,396 | ||||
Equity Real Estate Investment Trusts | 119,904 | — | — | 119,904 | ||||
Food & Staples Retailing | 16,580 | — | — | 16,580 |
171 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Gas Utilities | $ 35,335 | $ — | $— | $ 35,335 | ||||
Health Care Equipment & Supplies | 31,226 | — | — | 31,226 | ||||
Health Care Providers & Services | 49,107 | — | — | 49,107 | ||||
Health Care Technology | 10,059 | — | — | 10,059 | ||||
Hotels, Restaurants & Leisure | 20,260 | — | — | 20,260 | ||||
Household Durables | 42,258 | — | — | 42,258 | ||||
Household Products | 5,364 | — | — | 5,364 | ||||
Insurance | 35,163 | — | — | 35,163 | ||||
IT Services | 61,537 | — | — | 61,537 | ||||
Leisure Equipment & Products | 18,954 | — | — | 18,954 | ||||
Machinery | 30,425 | — | — | 30,425 | ||||
Media | 38,320 | — | — | 38,320 | ||||
Metals & Mining | 42,418 | — | — | 42,418 | ||||
Mortgage Real Estate Investment Trust | 14,542 | — | — | 14,542 | ||||
Oil, Gas & Consumable Fuels | 43,930 | — | — | 43,930 | ||||
Paper & Forest Products | 7,643 | — | — | 7,643 | ||||
Personal Products | 8,153 | — | — | 8,153 | ||||
Pharmaceuticals | 55,224 | — | 0* | 55,224 | ||||
Professional Services | 43,423 | — | — | 43,423 | ||||
Real Estate Management & Development | 13,025 | — | — | 13,025 | ||||
Semiconductors & Semiconductor Equipment | 49,520 | — | — | 49,520 | ||||
Software | 44,711 | — | — | 44,711 | ||||
Specialty Retail | 31,038 | — | — | 31,038 | ||||
Thrifts & Mortgage Finance | 14,262 | — | — | 14,262 | ||||
Tobacco | 9,542 | — | — | 9,542 | ||||
Trading Companies & Distributors | 68,097 | — | — | 68,097 | ||||
Wireless Telecommunication Services | 20,128 | — | — | 20,128 | ||||
Total Common Stocks | 1,545,565 | — | — | 1,545,565 | ||||
Repurchase Agreement | — | 12,420 | — | 12,420 | ||||
Investment of Security Lending Collateral | 26,965 | — | — | 26,965 | ||||
Total Investments | 1,572,530 | 12,420 | 0 | 1,584,950 | ||||
Total | $1,572,530 | $12,420 | $ 0 | $1,584,950 |
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 | $ 22,814,225 | $ — | $— | $ 22,814,225 | ||||
U.S. Treasury Bills | — | 114,978,765 | — | 114,978,765 | ||||
Repurchase Agreement | — | 7,484,965 | — | 7,484,965 |
172 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Purchased Options | ||||||||
Calls | $1,003,800,150 | $ — | $— | $1,003,800,150 | ||||
Puts | 48,825 | — | — | 48,825 | ||||
Total Purchased Options | 1,003,848,975 | — | — | 1,003,848,975 | ||||
Total Investments | 1,026,663,200 | 122,463,730 | — | 1,149,126,930 | ||||
Total | $1,026,663,200 | $122,463,730 | $— | $1,149,126,930 |
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 | ||||||||
Calls | $(724,995,450) | $— | $— | $(724,995,450) | ||||
Puts | (918,075) | — | — | (918,075) | ||||
Total Written Options | (725,913,525) | — | — | (725,913,525) | ||||
Total | $(725,913,525) | $— | $— | $(725,913,525) |
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 | $ 305,520 | $ — | $— | $ 305,520 | ||||
U.S. Treasury Bills | — | 4,199,200 | — | 4,199,200 | ||||
Repurchase Agreement | — | 854,352 | — | 854,352 | ||||
Purchased Options | ||||||||
Calls | 39,576,350 | — | — | 39,576,350 | ||||
Puts | 1,925 | — | — | 1,925 | ||||
Total Purchased Options | 39,578,275 | — | — | 39,578,275 | ||||
Total Investments | 39,883,795 | 5,053,552 | — | 44,937,347 | ||||
Total | $39,883,795 | $5,053,552 | $— | $44,937,347 |
173 |
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 | ||||||||
Calls | $(28,584,050) | $— | $— | $(28,584,050) | ||||
Puts | (174,878) | — | — | (174,878) | ||||
Total Written Options | (28,758,928) | — | — | (28,758,928) | ||||
Total | $(28,758,928) | $— | $— | $(28,758,928) |
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 | $ — | $ 50,298,121 | $— | $ 50,298,121 | ||||
Federal National Mortgage Association | — | 39,377,640 | — | 39,377,640 | ||||
Total Agency Notes | — | 89,675,761 | — | 89,675,761 | ||||
Mortgage-Backed Securities | ||||||||
Federal Home Loan Mortgage Corporation | — | 49,482,987 | — | 49,482,987 | ||||
Federal National Mortgage Association | — | 82,079,160 | — | 82,079,160 | ||||
Government National Mortgage Association | — | 624,859 | — | 624,859 | ||||
Total Mortgage-Backed Securities | — | 132,187,006 | — | 132,187,006 | ||||
Corporate Notes | ||||||||
Banking | — | 32,401,671 | — | 32,401,671 | ||||
Beverages, Food & Tobacco | — | 10,945,636 | — | 10,945,636 | ||||
Communications | — | 17,790,763 | — | 17,790,763 | ||||
Computer Software & Processing | — | 24,152,806 | — | 24,152,806 | ||||
Heavy Machinery | — | 8,959,043 | — | 8,959,043 | ||||
Insurance | — | 5,420,683 | — | 5,420,683 | ||||
Media - Broadcasting & Publishing | — | 7,542,048 | — | 7,542,048 | ||||
Pharmaceuticals | — | 10,078,347 | — | 10,078,347 | ||||
Total Corporate Notes | — | 117,290,997 | — | 117,290,997 | ||||
U.S. Treasury Notes/Bonds | — | 80,641,172 | — | 80,641,172 | ||||
Repurchase Agreement | — | 10,070,273 | — | 10,070,273 | ||||
Investment of Security Lending Collateral | 27,537,200 | — | — | 27,537,200 | ||||
Total Investments | 27,537,200 | 429,865,209 | — | 457,402,409 | ||||
Total | $27,537,200 | $429,865,209 | $— | $457,402,409 |
174 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Corporate Notes | ||||||||
Health Care Services | $ — | $ 498,590 | $— | $ 498,590 | ||||
Municipal Bonds | ||||||||
Alabama | — | 1,015,402 | — | 1,015,402 | ||||
Arizona | — | 966,978 | — | 966,978 | ||||
California | — | 2,038,086 | — | 2,038,086 | ||||
Colorado | — | 1,790,741 | — | 1,790,741 | ||||
Connecticut | — | 2,813,969 | — | 2,813,969 | ||||
District of Columbia | — | 1,126,835 | — | 1,126,835 | ||||
Florida | — | 3,241,444 | — | 3,241,444 | ||||
Georgia | — | 306,545 | — | 306,545 | ||||
Illinois | — | 3,224,941 | — | 3,224,941 | ||||
Kansas | — | 410,912 | — | 410,912 | ||||
Kentucky | — | 910,245 | — | 910,245 | ||||
Louisiana | — | 513,724 | — | 513,724 | ||||
Maryland | — | 810,685 | — | 810,685 | ||||
Michigan | — | 2,699,442 | — | 2,699,442 | ||||
Minnesota | — | 567,196 | — | 567,196 | ||||
Nebraska | — | 99,777 | — | 99,777 | ||||
Nevada | — | 502,325 | — | 502,325 | ||||
New Jersey | — | 2,318,848 | — | 2,318,848 | ||||
New York | — | 4,003,457 | — | 4,003,457 | ||||
Ohio | — | 2,370,941 | — | 2,370,941 | ||||
Pennsylvania | — | 8,983,322 | — | 8,983,322 | ||||
Rhode Island | — | 410,277 | — | 410,277 | ||||
South Carolina | — | 578,028 | — | 578,028 | ||||
South Dakota | — | 229,103 | — | 229,103 | ||||
Tennessee | — | 269,311 | — | 269,311 | ||||
Texas | — | 6,403,244 | — | 6,403,244 | ||||
Virginia | — | 1,229,474 | — | 1,229,474 | ||||
Washington | — | 1,787,243 | — | 1,787,243 | ||||
Wisconsin | — | 1,201,715 | — | 1,201,715 | ||||
Wyoming | — | 406,384 | — | 406,384 | ||||
Total Municipal Bonds | — | 53,230,594 | — | 53,230,594 | ||||
Repurchase Agreement | — | 3,841,170 | — | 3,841,170 | ||||
Registered Investment Companies | 416,003* | — | — | 416,003 | ||||
Total Investments | 416,003 | 57,570,354 | — | 57,986,357 | ||||
Total | $416,003 | $57,570,354 | $— | $57,986,357 |
175 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $6,710,130 | $(6,710,130) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $7,549,716 | $(7,549,716) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $10,906 | $(10,906) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $12,420 | $(12,420) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $123,409 | $(123,409) | $— | $— | $— |
176 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $252,633 | $(252,633) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $282,217 | $(282,217) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $132,067 | $(132,067) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $187,604 | $(187,604) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $1,720,703 | $(1,720,703) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $19,490,176 | $(19,490,176) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $120,692 | $(120,692) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $7,484,965 | $(7,484,965) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $854,352 | $(854,352) | $— | $— | $— |
177 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $10,070,273 | $(10,070,273) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $3,841,170 | $(3,841,170) | $— | $— | $— |
178 |
179 |
180 |
Portfolio | Unlimited (Short Term) | Unlimited (Long Term) | ||
Quantitative U.S. Large Cap Value Equity Portfolio | $ 9,548 | $ — | ||
Quantitative International Equity Portfolio | 679,128 | — | ||
Quantitative U.S. Long/Short Equity Portfolio | 1,780,981 | — | ||
Global Secured Options Portfolio* | 4,959,732 | 1,558,146 | ||
Short Term Tax Aware Fixed Income Portfolio | 101,200 | 80,791 |
Quantitative U.S. Large Cap Value Equity Portfolio | $193,109 |
Quantitative U.S. Small Cap Equity Portfolio | 76,142 |
Quantitative International Equity Portfolio | 11,299,614 |
Responsible ESG U.S. Equity Portfolio | 848,986 |
Women in Leadership U.S. Equity Portfolio | 294,969 |
Quantitative U.S. Long/Short Equity Portfolio | 13,319,218 |
Small Cap Equity Portfolio | 210,945,891 |
Equity Income Portfolio | 75,937 |
Secured Options Portfolio | 37,188,051 |
Global Secured Options Portfolio | 61,765 |
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 | $ — | $ 6,200,409 | $154,027,983 | $ 533,477,893 | $ — | $ — | $ 693,706,285 | |||||||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 7,374,491 | 391,907,313 | 1,007,428,841 | — | — | 1,406,710,645 | |||||||
Quantitative U.S. Large Cap Value Equity Portfolio | — | 1,959 | — | 567,783 | — | (9,548) | 560,194 |
181 |
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. Small Cap Equity Portfolio | $ — | $ — | $ 138,270 | $ 399,905 | $ — | $ — | $ 538,175 | |||||||
Quantitative International Equity Portfolio | — | 319,053 | — | 4,065,742 | — | (679,128) | 3,705,667 | |||||||
Responsible ESG U.S. Equity Portfolio | — | 13,991 | 2,799,444 | 10,340,025 | — | — | 13,153,460 | |||||||
Women in Leadership U.S. Equity Portfolio | — | 28,014 | 4,457,687 | 6,788,061 | — | — | 11,273,762 | |||||||
Quantitative U.S. Long/Short Equity Portfolio | — | — | — | 19,255,569 | (470,176)** | (1,780,981) | 17,004,412 | |||||||
Quantitative U.S. Total Market Equity Portfolio | — | 19,359 | 5,566,308 | 19,206,099 | (215) | — | 24,791,551 | |||||||
Strategic Equity Portfolio | — | 526,442 | 26,036,207 | 148,834,671 | — | — | 175,397,320 | |||||||
Small Cap Equity Portfolio | — | — | 61,538,021 | 463,932,676 | — | — | 525,470,697 | |||||||
Equity Income Portfolio | — | 106,963 | 916,742 | 7,043,838 | — | — | 8,067,543 | |||||||
Secured Options Portfolio | — | 19,959,839 | 31,051,096 | 16,380,625 | (10,372) | — | 67,381,188 | |||||||
Global Secured Options Portfolio | — | 1,114,583 | 1,129,077 | 5,539 | — | (6,517,879) *** | (4,268,680) | |||||||
Core Fixed Income Portfolio | — | 850,607 | 160,422 | 10,055,309 | — | — | 11,066,338 | |||||||
Short Term Tax Aware Fixed Income Portfolio | 30,289 | — | — | 404,855 | — | (181,991) | 253,153 | |||||||
High Yield Municipal Portfolio | 660,479 | 851,382 | 1,293,535 | 14,795,681 | — | — | 17,601,077 |
Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | Return of Capital | ||||
Quantitative U.S. Large Cap Core Equity Portfolio | $ — | $11,013,057 | $ 99,915,550 | $— | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 4,362,589 | 311,191,429 | — | ||||
Quantitative U.S. Large Cap Value Equity Portfolio | — | 32,775 | — | — | ||||
Quantitative U.S. Small Cap Equity Portfolio | — | 7,532 | 133 | — | ||||
Quantitative International Equity Portfolio | — | 1,099,884 | — | — | ||||
Responsible ESG U.S. Equity Portfolio | — | 218,408 | — | — | ||||
Women in Leadership U.S. Equity Portfolio | — | 275,552 | — | — |
182 |
Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | Return of Capital | ||||
Quantitative U.S. Total Market Equity Portfolio | $ — | $ 45,803 | $ 3,423,033 | $— | ||||
Strategic Equity Portfolio | — | 1,036,605 | 12,912,989 | — | ||||
Small Cap Equity Portfolio | — | 2,196,950 | 834,084 | — | ||||
Equity Income Portfolio | — | 333,966 | — | — | ||||
Global Secured Options Portfolio | — | 199,638 | 225,651 | — | ||||
Core Fixed Income Portfolio | — | 9,331,322 | 5,081,697 | — | ||||
Short Term Tax Aware Fixed Income Portfolio | 368,711 | 81,552 | — | — | ||||
High Yield Municipal Portfolio | 6,333,610 | 77,009 | 22,353 | — |
Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | Return of Capital | ||||
Quantitative U.S. Large Cap Core Equity Portfolio | $ — | $18,713,284 | $ 98,397,908 | $ — | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 14,981,564 | 436,456,750 | — | ||||
Quantitative U.S. Large Cap Value Equity Portfolio | — | 40,984 | — | — | ||||
Quantitative U.S. Small Cap Equity Portfolio | — | 7,684 | — | — | ||||
Quantitative International Equity Portfolio | — | 2,704,110 | — | 220,626 | ||||
Responsible ESG U.S. Equity Portfolio | — | 237,515 | 92,525 | — | ||||
Women in Leadership U.S. Equity Portfolio | — | 239,220 | — | — | ||||
Quantitative U.S. Long/Short Equity Portfolio | — | — | — | 182,295 | ||||
Quantitative U.S. Total Market Equity Portfolio | — | 242,731 | 3,387,071 | — | ||||
Strategic Equity Portfolio | — | 2,023,010 | 5,226,463 | — | ||||
Small Cap Equity Portfolio | — | 5,011,864 | — | 255,593 | ||||
Equity Income Portfolio | — | 478,143 | — | — | ||||
Secured Options Portfolio | — | 18,271,570 | 29,797,110 | — | ||||
Global Secured Options Portfolio | — | 1,977 | — | — | ||||
Core Fixed Income Portfolio | — | 10,373,594 | — | — | ||||
Short Term Tax Aware Fixed Income Portfolio | 457,915 | 113,527 | — | — | ||||
High Yield Municipal Portfolio | 6,132,977 | 61,972 | — | — |
Portfolio | Total distributable earnings | Paid-in capital | ||
Quantitative U.S. Large Cap Core Equity Portfolio | $(15,457,346) | $15,457,346 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio | (73,061,882) | 73,061,882 | ||
Quantitative U.S. Small Cap Equity Portfolio | (45) | 45 | ||
Responsible ESG U.S. Equity Portfolio | (136,344) | 136,344 | ||
Women in Leadership U.S. Equity Portfolio | (519,410) | 519,410 | ||
Quantitative U.S. Long/Short Equity Portfolio | 312,862 | (312,862) | ||
Quantitative U.S. Total Market Equity Portfolio | (835,738) | 835,738 | ||
Strategic Equity Portfolio | (1,812,495) | 1,812,495 | ||
Small Cap Equity Portfolio | 53,334 | (53,334) | ||
Equity Income Portfolio | (1,374) | 1,374 | ||
Secured Options Portfolio | (6,213,707) | 6,213,707 | ||
Core Fixed Income Portfolio | (1) | 1 |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Quantitative U.S. Large Cap Core Equity Portfolio | $ 887,553,094 | $ 539,201,442 | $ 5,723,549 | $ 533,477,893 | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio | 1,326,429,273 | 1,014,470,480 | 7,041,639 | 1,007,428,841 | ||||
Quantitative U.S. Large Cap Value Equity Portfolio | 1,969,960 | 588,826 | 21,043 | 567,783 |
183 |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Quantitative U.S. Small Cap Equity Portfolio | $ 1,185,045 | $ 425,144 | $ 25,239 | $ 399,905 | ||||
Quantitative International Equity Portfolio | 38,981,110 | 4,942,259 | 875,687 | 4,066,572 | ||||
Responsible ESG U.S. Equity Portfolio | 22,514,433 | 10,468,163 | 128,138 | 10,340,025 | ||||
Women in Leadership U.S. Equity Portfolio | 21,789,932 | 6,888,407 | 100,346 | 6,788,061 | ||||
Quantitative U.S. Long/Short Equity Portfolio | 487,611 | 22,433,666 | 3,178,097 | 19,255,569 | ||||
Quantitative U.S. Total Market Equity Portfolio | 17,119,846 | 19,726,804 | 520,705 | 19,206,099 | ||||
Strategic Equity Portfolio | 119,864,585 | 149,132,934 | 298,263 | 148,834,671 | ||||
Small Cap Equity Portfolio | 1,060,502,049 | 477,583,068 | 13,650,392 | 463,932,676 | ||||
Equity Income Portfolio | 15,252,313 | 7,064,427 | 20,589 | 7,043,838 | ||||
Secured Options Portfolio | 406,832,780 | 64,593,423 | 48,212,798 | 16,380,625 | ||||
Global Secured Options Portfolio | 16,172,881 | 1,926,018 | 1,920,479 | 5,539 | ||||
Core Fixed Income Portfolio | 447,347,100 | 14,914,096 | 4,858,787 | 10,055,309 | ||||
Short Term Tax Aware Fixed Income Portfolio | 57,581,502 | 498,371 | 93,516 | 404,855 | ||||
High Yield Municipal Portfolio | 263,222,075 | 15,988,643 | 1,192,962 | 14,795,681 |
Equity Contracts Risk | Total | ||
Options Purchased1 | $1,003,848,975 | $1,003,848,975 | |
Total Value | $1,003,848,975 | $1,003,848,975 |
Equity Contracts Risk | Total | ||
Options Written2 | $(725,913,525) | $(725,913,525) | |
Total Value | $(725,913,525) | $(725,913,525) |
Equity Contracts Risk | Total | ||
Options Purchased3 | $ 305,688,495 | $ 305,688,495 | |
Options Written4 | (222,593,355) | (222,593,355) | |
Total Realized Gain (Loss) | $ 83,095,140 | $ 83,095,140 |
184 |
Equity Contracts Risk | Total | ||
Options Purchased5 | $ 68,158,398 | $ 68,158,398 | |
Options Written6 | (51,954,232) | (51,954,232) | |
Total Change in Appreciation (Depreciation) | $ 16,204,166 | $ 16,204,166 |
Equity Contracts Risk | Total | ||
Options Purchased7 | 5,265 | 5,265 | |
Options Written7 | (6,198) | (6,198) |
Equity Contracts Risk | Total | ||
Options Purchased1 | $39,578,275 | $39,578,275 | |
Total Value | $39,578,275 | $39,578,275 |
Equity Contracts Risk | Total | ||
Options Written2 | $(28,758,928) | $(28,758,928) | |
Total Value | $(28,758,928) | $(28,758,928) |
Equity Contracts Risk | Total | ||
Options Purchased3 | $ 7,368,696 | $ 7,368,696 | |
Options Written4 | (5,263,761) | (5,263,761) | |
Total Realized Gain (Loss) | $ 2,104,935 | $ 2,104,935 |
Equity Contracts Risk | Total | ||
Options Purchased5 | $ 2,129,858 | $ 2,129,858 | |
Options Written6 | (1,734,507) | (1,734,507) | |
Total Change in Appreciation (Depreciation) | $ 395,351 | $ 395,351 |
185 |
Equity Contracts Risk | Total | ||
Options Purchased7 | 168 | 168 | |
Options Written7 | (735) | (735) |
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 purchased options. |
4 | Statement of Operations location: Amount is included in Net realized gain (loss) on written options. |
5 | Statement of Operations location: Amount is included in Net change in unrealized gain (loss) of purchased options. |
6 | Statement of Operations location: Amount is included in Net change in unrealized gain (loss) of written options. |
7 | Amounts disclosed represent average number of contracts outstanding during the period ended October 31, 2021. |
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% | |
Equity Income Portfolio | 0.55%* | |
Secured Options Portfolio | 0.55% | |
Global Secured Options Portfolio | 0.55%** | |
Core Fixed Income Portfolio | 0.35% | |
Short Term Tax Aware Fixed Income Portfolio | 0.35%**** | |
High Yield Municipal Portfolio | 0.65%** |
186 |
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% |
Equity Income Portfolio | 0.20% |
Secured Options Portfolio (Advisor Class) | 0.20% |
Global Secured Options Portfolio | 0.20% |
Core Fixed Income Portfolio | 0.10% |
Short Term Tax Aware Fixed Income Portfolio | 0.10% |
High Yield Municipal Portfolio | 0.25% |
187 |
Portfolio | Purchases | Sales | ||
Quantitative U.S. Large Cap Core Equity Portfolio | $ 550,868,875 | $ 846,651,132 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio | 1,094,307,795 | 1,817,454,768 | ||
Quantitative U.S. Large Cap Value Equity Portfolio | 1,653,198 | 1,480,812 | ||
Quantitative U.S. Small Cap Equity Portfolio | 1,176,405 | 1,162,445 | ||
Quantitative International Equity Portfolio | 38,104,078 | 64,545,164 | ||
Responsible ESG U.S. Equity Portfolio | 21,930,548 | 21,408,293 | ||
Women in Leadership U.S. Equity Portfolio | 21,726,273 | 24,494,195 | ||
Quantitative U.S. Long/Short Equity Portfolio | 144,214,041 | 165,980,767 | ||
Quantitative U.S. Total Market Equity Portfolio | 37,532,630 | 46,858,172 | ||
Strategic Equity Portfolio | 34,082,205 | 71,755,780 | ||
Small Cap Equity Portfolio | 572,092,157 | 984,259,945 | ||
Equity Income Portfolio | 5,600,125 | 7,653,461 | ||
Secured Options Portfolio | — | — | ||
Global Secured Options Portfolio | 137,525 | — | ||
Core Fixed Income Portfolio | 39,686,600 | 18,171,540 | ||
Short Term Tax Aware Fixed Income Portfolio | 17,885,432 | 12,515,424 | ||
High Yield Municipal Portfolio | 82,412,194 | 47,684,051 |
Portfolio | Purchases | Sales | ||
Core Fixed Income Portfolio | $78,653,366 | $81,321,100 | ||
High Yield Municipal Portfolio | 430,235 | 858 |
Year Ended 10/31/21 | Year Ended 10/31/20 | ||||||
Shares | Amount | Shares | Amount | ||||
Quantitative U.S. Large Cap Core Equity Portfolio — Advisor | |||||||
Sold | 2,100,409 | $ 64,054,495 | 2,937,363 | $ 71,382,611 | |||
Issued as reinvestment of dividends | 3,270,039 | 87,263,628 | 2,803,174 | 74,973,328 | |||
Redeemed | (9,947,894) | (293,104,464) | (25,345,432) | (615,432,867) | |||
Net Decrease | (4,577,446) | $(141,786,341) | (19,604,895) | $(469,076,928) |
188 |
Year Ended 10/31/21 | Year Ended 10/31/20 | ||||||
Shares | Amount | Shares | Amount | ||||
Quantitative U.S. Large Cap Core Equity Portfolio — Institutional | |||||||
Sold | 847,885 | $ 25,801,902 | 1,571,404 | $ 40,527,775 | |||
Issued as reinvestment of dividends | 423,886 | 11,394,364 | 1,112,383 | 29,864,050 | |||
Redeemed | (3,188,086) | (91,251,178) | (20,804,189) | (458,443,013) | |||
Net Decrease | (1,916,315) | $ (54,054,912) | (18,120,402) | $(388,051,188) | |||
Quantitative U.S. Large Cap Growth Equity Portfolio — Advisor | |||||||
Sold | 2,352,574 | $ 82,095,688 | 5,449,450 | $ 163,682,444 | |||
Issued as reinvestment of dividends | 6,987,144 | 219,467,955 | 8,853,403 | 270,669,218 | |||
Redeemed | (18,072,030) | (626,816,029) | (30,120,042) | (898,362,063) | |||
Net Decrease | (8,732,312) | $(325,252,386) | (15,817,189) | $(464,010,401) | |||
Quantitative U.S. Large Cap Growth Equity Portfolio — Institutional | |||||||
Sold | 8,458,065 | $ 297,765,281 | 7,148,924 | $ 217,338,099 | |||
Issued as reinvestment of dividends | 2,266,759 | 71,268,792 | 4,964,570 | 151,609,541 | |||
Redeemed | (13,400,857) | (459,639,749) | (32,941,800) | (975,838,608) | |||
Net Decrease | (2,676,033) | $ (90,605,676) | (20,828,306) | $(606,890,968) | |||
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||
Sold | 24,366 | $ 295,000 | 5,004 | $ 52,000 | |||
Issued as reinvestment of dividends | 1,743 | 20,983 | 2,441 | 21,484 | |||
Redeemed | (11,343) | (140,895) | (29,802) | (277,736) | |||
Net Increase (Decrease) | 14,766 | $ 175,088 | (22,357) | $ (204,252) | |||
Quantitative U.S. Small Cap Equity Portfolio | |||||||
Issued as reinvestment of dividends | 551 | $ 7,588 | 786 | $ 7,605 | |||
Net Increase | 551 | $ 7,588 | 786 | $ 7,605 | |||
Quantitative International Equity Portfolio | |||||||
Sold | 33,779 | $ 479,232 | 62,957 | $ 798,506 | |||
Issued as reinvestment of dividends | 14,942 | 228,413 | 25,222 | 327,675 | |||
Redeemed | (1,830,283) | (27,204,703) | (10,385,416) | (128,510,960) | |||
Net Decrease | (1,781,562) | $ (26,497,058) | (10,297,237) | $(127,384,779) | |||
Responsible ESG U.S. Equity Portfolio | |||||||
Sold | 201,565 | $ 3,768,049 | 239,876 | $ 3,278,585 | |||
Issued as reinvestment of dividends | 6,883 | 129,297 | 16,877 | 241,623 | |||
Redeemed | (187,944) | (3,527,964) | (310,331) | (4,327,625) | |||
Net Increase (Decrease) | 20,504 | $ 369,382 | (53,578) | $ (807,417) | |||
Women in Leadership U.S. Equity Portfolio | |||||||
Sold | 183,350 | $ 3,215,887 | 444,566 | $ 5,637,718 | |||
Issued as reinvestment of dividends | 8,413 | 152,570 | 10,162 | 130,588 | |||
Redeemed | (348,442) | (6,309,127) | (356,959) | (4,627,117) | |||
Net Increase (Decrease) | (156,679) | $ (2,940,670) | 97,769 | $ 1,141,189 | |||
Quantitative U.S. Long/Short Equity Portfolio — Advisor | |||||||
Sold | 231,228 | $ 2,833,951 | 750,382 | $ 8,863,412 | |||
Issued as reinvestment of dividends | — | — | 1,645 | 20,118 | |||
Redeemed | (4,649,072) | (56,802,686) | (12,785,690) | (139,987,603) | |||
Net Decrease | (4,417,844) | $ (53,968,735) | (12,033,663) | $(131,104,073) | |||
Quantitative U.S. Long/Short Equity Portfolio — Institutional | |||||||
Sold | 547,595 | $ 7,105,284 | 30,611 | $ 340,725 | |||
Redeemed | (16,557) | (209,973) | (3,782) | (41,850) | |||
Net Increase | 531,038 | $ 6,895,311 | 26,829 | $ 298,875 |
189 |
Year Ended 10/31/21 | Year Ended 10/31/20 | ||||||
Shares | Amount | Shares | Amount | ||||
Quantitative U.S. Total Market Equity Portfolio | |||||||
Sold | 153,035 | $ 3,138,822 | 93,429 | $ 1,427,350 | |||
Issued as reinvestment of dividends | 197,089 | 3,302,532 | 184,352 | 3,278,150 | |||
Redeemed | (634,270) | (12,315,378) | (2,222,180) | (33,498,188) | |||
Net Decrease | (284,146) | $ (5,874,024) | (1,944,399) | $ (28,792,688) | |||
Strategic Equity Portfolio | |||||||
Sold | 225,690 | $ 7,026,380 | 983,611 | $ 25,229,443 | |||
Issued as reinvestment of dividends | 426,978 | 12,255,189 | 183,160 | 5,060,706 | |||
Redeemed | (1,402,544) | (44,266,719) | (2,746,390) | (67,163,578) | |||
Net Decrease | (749,876) | $ (24,985,150) | (1,579,619) | $ (36,873,429) | |||
Small Cap Equity Portfolio — Advisor | |||||||
Sold | 1,266,694 | $ 41,682,328 | 2,865,149 | $ 61,415,528 | |||
Issued as reinvestment of dividends | 13,013 | 405,614 | 29,370 | 650,585 | |||
Redeemed | (4,330,396) | (141,283,194) | (17,726,725) | (370,465,102) | |||
Net Decrease | (3,050,689) | $ (99,195,252) | (14,832,206) | $(308,398,989) | |||
Small Cap Equity Portfolio — Institutional | |||||||
Sold | 9,212,748 | $ 324,077,025 | 19,808,990 | $ 414,797,518 | |||
Issued as reinvestment of dividends | 23,933 | 815,748 | 66,868 | 1,528,106 | |||
Redeemed | (19,176,316) | (649,099,448) | (36,951,403) | (830,976,972) | |||
Net Decrease | (9,939,635) | $(324,206,675) | (17,075,545) | $(414,651,348) | |||
Equity Income Portfolio | |||||||
Sold | 21,941 | $ 331,439 | 573,383 | $ 6,849,468 | |||
Issued as reinvestment of dividends | 1,676 | 24,654 | 2,550 | 28,960 | |||
Redeemed | (185,054) | (2,610,970) | (969,738) | (11,315,443) | |||
Net Decrease | (161,437) | $ (2,254,877) | (393,805) | $ (4,437,015) | |||
Secured Options Portfolio — Advisor | |||||||
Sold | 940,671 | $ 12,846,984 | 1,628,661 | $ 19,275,364 | |||
Issued as reinvestment of dividends | — | — | 1,509,519 | 18,536,927 | |||
Redeemed | (3,064,095) | (41,110,090) | (15,576,933) | (170,266,139) | |||
Net Decrease | (2,123,424) | $ (28,263,106) | (12,438,753) | $(132,453,848) | |||
Secured Options Portfolio — Institutional | |||||||
Sold | 3,429,440 | $ 47,712,901 | 9,628,347 | $ 109,212,855 | |||
Issued as reinvestment of dividends | — | — | 1,204,044 | 14,881,983 | |||
Redeemed | (10,798,791) | (141,746,581) | (12,015,486) | (132,800,151) | |||
Net Decrease | (7,369,351) | $ (94,033,680) | (1,183,095) | $ (8,705,313) | |||
Global Secured Options Portfolio1 | |||||||
Sold | 1,130,339 | $ 5,984,091 | 1,931,686 | $ 8,794,981 | |||
Issued as reinvestment of dividends | 12,132 | 60,299 | 395 | 1,977 | |||
Redeemed | (98,041) | (519,619) | (185,161) | (843,181) | |||
Net Increase | 1,044,430 | $ 5,524,771 | 1,746,920 | $ 7,953,777 | |||
Core Fixed Income Portfolio | |||||||
Sold | 5,261,656 | $ 59,459,214 | 6,379,234 | $ 73,933,974 | |||
Issued as reinvestment of dividends | 657,354 | 7,548,663 | 165,629 | 1,905,937 | |||
Redeemed | (5,004,064) | (56,515,607) | (13,948,961) | (161,306,718) | |||
Net Increase (Decrease) | 914,946 | $ 10,492,270 | (7,404,098) | $ (85,466,807) | |||
Short Term Tax Aware Fixed Income Portfolio | |||||||
Sold | 2,093,822 | $ 21,242,499 | 4,531,171 | $ 45,802,969 | |||
Issued as reinvestment of dividends | 5,604 | 56,862 | 7,353 | 74,252 | |||
Redeemed | (1,792,496) | (18,191,928) | (4,327,300) | (43,659,011) | |||
Net Increase | 306,930 | $ 3,107,433 | 211,224 | $ 2,218,210 |
190 |
Year Ended 10/31/21 | Year Ended 10/31/20 | ||||||
Shares | Amount | Shares | Amount | ||||
High Yield Municipal Portfolio | |||||||
Sold | 6,406,515 | $ 70,820,808 | 4,360,207 | $ 46,092,528 | |||
Issued as reinvestment of dividends | 12,156 | 133,646 | 12,476 | 132,118 | |||
Redeemed | (2,811,061) | (31,252,003) | (2,392,062) | (25,142,682) | |||
Net Increase | 3,607,610 | $ 39,702,451 | 1,980,621 | $ 21,081,964 |
1 | The Board authorized a 1-for-10 reverse share split for the Global Secured Options Portfolio effective after the close of trading on March 16, 2020. The impact of the reverse share split was to decrease the number of shares outstanding by a factor of ten, while increasing the NAV of shares outstanding by a factor of ten, resulting in no effect to the net assets of the Portfolio. The financial statements for the Portfolio have been adjusted to reflect the reverse share split. |
5% or Greater Shareholders | ||||
Portfolio | # of Shareholders | % of Shares Held | ||
Quantitative U.S Large Cap Core Equity Portfolio (Advisor Class) | 2 | 38% | ||
Quantitative U.S. Large Cap Core Equity Portfolio (Institutional Class) | 4 | 85% | ||
Quantitative U.S. Large Cap Growth Equity Portfolio (Advisor Class) | 2 | 67% | ||
Quantitative U.S. Large Cap Growth Equity Portfolio (Institutional Class) | 3 | 81% | ||
Quantitative U.S. Large Cap Value Equity Portfolio | 4 | 97% | ||
Quantitative U.S. Small Cap Equity Portfolio | 1 | 99% | ||
Responsible ESG U.S. Equity Portfolio | 4 | 28% | ||
Women in Leadership U.S. Equity Portfolio | 5 | 38% | ||
Quantitative U.S. Long/Short Equity Portfolio (Advisor Class) | 1 | 12% | ||
Quantitative U.S. Long/Short Equity Portfolio (Institutional Class) | 2 | 95% | ||
Quantitative U.S. Total Market Equity Portfolio | 2 | 48% | ||
Small Cap Equity Portfolio (Advisor Class) | 3 | 54% | ||
Small Cap Equity Portfolio (Institutional Class) | 3 | 87% | ||
Equity Income Portfolio | 3 | 23% | ||
Secured Options Portfolio (Advisor Class) | 4 | 62% | ||
Secured Options Portfolio (Institutional Class) | 3 | 94% | ||
Global Secured Options Portfolio | 2 | 100% | ||
Short Term Tax Aware Fixed Income Portfolio | 2 | 16% |
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 Value Equity Portfolio | $ 48,428 | $ 50,738 | — | 1.90 | ||||
Quantitative U.S. Small Cap Equity Portfolio | 26,296 | 26,965 | — | 1.65 | ||||
Quantitative International Equity Portfolio | 5,579,376 | 2,786,439 | 3,007,567 | 12.71 | ||||
Women in Leadership U.S. Equity Portfolio | 586,853 | 614,846 | — | 2.05 | ||||
Quantitative U.S. Long/Short Equity Portfolio | 1,902,793 | 687,600 | 1,245,219 | 1.77 | ||||
Quantitative U.S. Total Market Equity Portfolio | 1,352,293 | 316,958 | 1,056,549 | 2.91 | ||||
Small Cap Equity Portfolio | 79,395,062 | 48,882,501 | 32,019,262 | 5.20 | ||||
Core Fixed Income Portfolio | 26,984,406 | 27,537,200 | — | 5.87 |
191 |
Amount Outstanding at October 31, 2021 | Average Borrowings* | Days Outstanding* | Average Rate | Maxium Borrowings* | |||||
Quantitative U.S. Large Cap Core Equity Portfolio | $— | $ 4,588,235 | 17 | 1.45 % | $25,000,000 | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 10,755,315 | 47 | 1.45 % | 83,000,000 | ||||
Quantitative International Equity Portfolio | — | 1,200,000 | 15 | 1.45 % | 4,000,000 | ||||
Women in Leadership U.S. Equity Portfolio | — | 3,000,000 | 3 | 1.45 % | 3,000,000 | ||||
Quantitative U.S. Long/Short Equity Portfolio | — | 1,687,500 | 16 | 1.45 % | 6,000,000 | ||||
Quantitative U.S. Total Market Equity Portfolio | — | 1,000,000 | 3 | 1.44 % | 1,000,000 | ||||
Small Cap Equity Portfolio | — | 12,000,000 | 4 | 1.45 % | 12,000,000 | ||||
Short Term Tax Aware Fixed Income Portfolio | — | 1,000,000 | 2 | 1.45 % | 1,000,000 |
192 |
193 |
December 20, 2021
194 |
Muni Intermediate Portfolio | |
Assets: | |
Investments at value1 | $ 324,278,218 |
Cash | 14,877,202 |
Receivable for fund shares sold | 13,100 |
Interest receivable | 3,910,513 |
Prepaid expenses | 1,623 |
Total assets | 343,080,656 |
Liabilities: | |
Payable for when-issued securities purchased | 6,551,921 |
Payable for fund shares redeemed | 360,288 |
Payable for Trustees’ fees | 10,519 |
Payable for Shareholder Servicing fees | 42,733 |
Accrued expenses | 51,279 |
Total liabilities | 7,016,740 |
Net Assets | $336,063,916 |
Net Assets consist of: | |
Par value ($0.001 of shares outstanding) | $ 30,025 |
Paid-in capital in excess of par value | 327,124,974 |
Total distributable earnings | 8,908,917 |
Total Net Assets | $336,063,916 |
Shares Outstanding | 30,024,635 |
Net Asset Value Per Share | $ 11.19 |
1 Investments at cost | $317,790,999 |
195 |
Muni Intermediate Portfolio | |
Investment income: | |
Interest | $ 5,606,217 |
Total investment income | 5,606,217 |
Expenses: | |
Administration, transfer agent and custody fees | 147,568 |
Professional fees | 55,761 |
Shareholder report expenses | 9,514 |
Shareholder servicing fees | 496,011 |
Trustees’ fees and expenses | 42,024 |
Registration and filing fees | 9,988 |
Other expenses | 37,221 |
Total expenses | 798,087 |
Net investment income | 4,808,130 |
Realized and unrealized gain (loss): | |
Net realized gain on: | |
Investment transactions | 1,993,943 |
Net change in unrealized loss of: | |
Investments | (4,768,270) |
Net realized and unrealized loss | (2,774,327) |
Net increase in net assets resulting from operations | $ 2,033,803 |
196 |
Muni Intermediate Portfolio | |
Increase (decrease) in net assets | |
Operations: | |
Net investment income | $ 4,808,130 |
Net realized gain on: | |
Investment transactions | 1,993,943 |
Net change in unrealized loss of: | |
Investments | (4,768,270) |
Net increase in net assets resulting from operations | 2,033,803 |
Distributions from earnings | (8,293,320) |
Net increase in net assets from capital share transactions (See note 4) | 20,384,358 |
Net increase in net assets | 14,124,841 |
NET ASSETS: | |
Beginning of year | 321,939,075 |
End of year | $336,063,916 |
Muni Intermediate Portfolio | |
Increase (decrease) in net assets | |
Operations: | |
Net investment income | $ 5,626,267 |
Net realized gain on: | |
Investment transactions | 3,469,398 |
Net change in unrealized gain of: | |
Investments | 1,937,819 |
Net increase in net assets resulting from operations | 11,033,484 |
Distributions from earnings | (6,748,049) |
Net increase in net assets from capital share transactions (See note 4) | 6,334,307 |
Net increase in net assets | 10,619,742 |
NET ASSETS: | |
Beginning of year | 311,319,333 |
End of year | $321,939,075 |
197 |
Muni Intermediate Portfolio | |||||||||
For The Year Ended October 31, | |||||||||
2021 1 | 2020 1 | 2019 1 | 2018 | 2017 | |||||
Net asset value, beginning of year | $ 11.41 | $ 11.25 | $ 10.73 | $ 11.01 | $ 11.08 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.16 | 0.20 | 0.22 | 0.20 | 0.19 | ||||
Net realized and unrealized gain (loss) on investments | (0.09) | 0.21 | 0.52 | (0.28) | (0.04) | ||||
Total from investment operations | 0.07 | 0.41 | 0.74 | (0.08) | 0.15 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.17) | (0.21) | (0.22) | (0.20) | (0.18) | ||||
Net realized capital gains | (0.12) | (0.04) | — | — | (0.04) | ||||
Total distributions | (0.29) | (0.25) | (0.22) | (0.20) | (0.22) | ||||
Net asset value, end of year | $ 11.19 | $ 11.41 | $ 11.25 | $ 10.73 | $ 11.01 | ||||
Total return | 0.60% | 3.64% | 6.90% | (0.73)% | 1.38% | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of year (in 000s) | $336,064 | $321,939 | $311,319 | $289,401 | $303,982 | ||||
Ratio of operating expenses to average net assets | 0.24% | 0.25% | 0.24% | 0.23% | 0.23% | ||||
Ratio of net investment income to average net assets | 1.45% | 1.80% | 1.94% | 1.86% | 1.70% | ||||
Portfolio turnover rate | 31% | 35% | 34% | 31% | 19% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
198 |
Face Amount | Value | ||
MUNICIPAL BONDS* — 96.5% | |||
Alabama — 2.7% | |||
$2,500,000 | Alabama State, Public School and College Authority, Revenue Bonds, Refunding, Series A, 5.000% due 11/1/31 | $ 3,275,353 | |
1,500,000 | Black Belt Energy Gas District, AL, Revenue Bonds, Project No.4, Series A, 4.000% due 12/1/491 | 1,675,955 | |
2,500,000 | Black Belt Energy Gas District, AL, Revenue Bonds, Project No.6, 4.000% due 10/1/521 | 2,854,359 | |
1,000,000 | Southeast Energy Authority A Cooperative District, AL, Revenue Bonds, Project No.1, Series A, 4.000% due 11/1/511 | 1,167,037 | |
8,972,704 | |||
Alaska — 1.3% | |||
1,630,000 | Alaska State, General Obligation Unlimited, Refunding, Series B, 5.000% due 8/1/22 | 1,688,618 | |
2,745,000 | City of Anchorage, AK, Electric Utility, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/21 | 2,753,442 | |
4,442,060 | |||
Arizona — 0.7% | |||
2,015,000 | Yuma, AZ, Municipal Property Corp., Road & Excise Tax, Revenue Bonds, Refunding, 5.000% due 7/1/26 | 2,329,555 | |
California — 2.2% | |||
1,500,000 | California State, General Obligation Unlimited, 5.000% due 3/1/34 | 1,929,108 | |
California State, General Obligation Unlimited, Refunding: | |||
1,000,000 | 5.000% due 9/1/27 | 1,236,864 | |
2,000,000 | 4.000% due 9/1/31 | 2,296,277 | |
1,420,000 | 5.250% due 8/1/32 | 1,944,628 | |
7,406,877 | |||
Colorado — 1.1% | |||
1,765,000 | Colorado State, Housing and Finance Authority, Revenue Bonds, Series B, 3.750% due 5/1/50 | 1,920,217 | |
1,425,000 | E-470 Public Highway Authority, CO, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/28 | 1,784,257 | |
3,704,474 | |||
Connecticut — 2.5% | |||
2,000,000 | Connecticut State, General Obligation Unlimited, Series C, 4.000% due 6/1/28 | 2,383,617 | |
1,780,000 | Connecticut State, Housing Finance Authority, Housing Finance Mortgage Program, Revenue Bonds, Refunding, Series F-1, 3.500% due 11/15/43 | 1,917,908 | |
Connecticut State, Special Tax Obligation Bonds, Revenue Bonds, Series A: | |||
2,000,000 | 5.000% due 5/1/31 | 2,588,933 | |
1,250,000 | 5.000% due 5/1/32 | 1,612,914 | |
8,503,372 | |||
Delaware — 1.9% | |||
1,590,000 | County of New Castle, DE, General Obligation Unlimited, Series A, 5.000% due 10/1/32 | 2,136,593 | |
1,000,000 | Delaware River and Bay Authority, DE, Consisting, Revenue Bonds, Refunding, Series C, 5.000% due 1/1/27 | 1,096,025 | |
2,640,000 | Delaware State, General Obligation Unlimited, Series B, 5.000% due 7/1/24 | 2,968,334 | |
6,200,952 |
199 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
District Of Columbia — 2.8% | |||
$1,550,000 | District of Columbia, General Obligation Unlimited, Series A, 5.000% due 6/1/32 | $ 1,786,148 | |
2,700,000 | District of Columbia, General Obligation Unlimited, Series D, 5.000% due 6/1/25 | 3,136,360 | |
1,320,000 | District of Columbia, Water and Sewer Authority, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/31 | 1,561,312 | |
Metropolitan Washington, DC, Airports Authority System, Revenue Bonds, Refunding, Series B: | |||
1,000,000 | 5.000% due 10/1/23 | 1,089,252 | |
1,570,000 | 5.000% due 10/1/28 | 1,986,016 | |
9,559,088 | |||
Florida — 8.6% | |||
1,500,000 | Brevard County School District, FL, Certificate Participation, Refunding, 5.000% due 7/1/29 | 1,676,761 | |
1,000,000 | Central Florida, Expressway Authority, Revenue Bonds, (AGMC Insured), 5.000% due 7/1/30 | 1,310,273 | |
2,820,000 | Central Florida, Expressway Authority, Revenue Bonds, Refunding, Series B, 5.000% due 7/1/28 | 3,360,830 | |
2,750,000 | City of Lakeland, FL, Energy System Revenue Bonds, Refunding, 5.000% due 10/1/25 | 3,218,616 | |
2,765,000 | Florida State, Department of Environmental Protection, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/22 | 2,852,850 | |
Florida State, Municipal Power Agency, Revenue Bonds, Refunding, Series A: | |||
2,500,000 | 5.000% due 10/1/27 | 3,070,712 | |
1,340,000 | 5.000% due 10/1/28 | 1,605,587 | |
1,130,000 | JEA Electric System Revenue, FL, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/27 | 1,231,584 | |
3,000,000 | Lee County, FL, School Board, Certificate of Participation, Series A, 5.000% due 8/1/28 | 3,762,838 | |
2,025,000 | Orlando & Orange County, FL, Expressway Authority, Revenue Bonds, Refunding, 5.000% due 7/1/23 | 2,089,421 | |
1,000,000 | Orlando, FL, Utilities Commission, Revenue Bonds, Series B, 1.250% due 10/1/461 | 1,000,378 | |
2,000,000 | Pasco County, FL, School Board, Certificate Participation, Series C, (AGMC Insured), 5.000% due 8/1/33 | 2,555,466 | |
1,025,000 | School District of Broward County, FL, Certificate of Participation, Refunding, Series A, 5.000% due 7/1/27 | 1,228,865 | |
28,964,181 | |||
Georgia — 0.5% | |||
1,250,000 | City of Atlanta, GA, Department of Aviation, Revenue Bond, Series A, 5.000% due 7/1/28 | 1,571,339 | |
Hawaii — 0.9% | |||
2,500,000 | City and County of Honolulu, HI, General Obligation Unlimited, Series A, 5.000% due 10/1/32 | 2,898,620 | |
Illinois — 4.5% | |||
2,000,000 | Chicago, IL, O’Hare International Airport, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/32 | 2,268,111 | |
County of Cook, IL, General Obligation Unlimited, Refunding, Series A: | |||
1,000,000 | 5.000% due 11/15/25 | 1,172,216 | |
1,360,000 | 5.000% due 11/15/26 | 1,641,123 | |
1,000,000 | Illinois State, Municipal Electric Agency, Revenue Bonds, Series A, 4.000% due 2/1/33 | 1,112,653 | |
3,500,000 | Illinois State, Toll Highway Authority, Revenue Bonds, Refunding, 5.000% due 1/1/28 | 4,324,161 |
200 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
$4,000,000 | McHenry County, IL, Conservation District, General Obligation Unlimited, Refunding, 5.000% due 2/1/25 | $ 4,577,487 | |
15,095,751 | |||
Indiana — 1.0% | |||
2,340,000 | Indiana State, Health and Educational Facilities Financing Authority, Revenue Bonds, Refunding, Series C, 1.750% due 11/15/311 | 2,340,000 | |
1,025,000 | Indiana State, Municipal Power Agency, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 1,166,006 | |
3,506,006 | |||
Iowa — 0.3% | |||
1,135,000 | Iowa State, Finance Authority, Variable Refunding Health facilities, Revenue Bonds, 0.030% due 2/15/391 | 1,135,000 | |
Kansas — 2.3% | |||
Kansas State, Department of Transportation Highway Revenue, Revenue Bonds, Series C: | |||
1,190,000 | 5.000% due 9/1/23 | 1,236,433 | |
2,750,000 | 5.000% due 9/1/24 | 2,857,949 | |
Wyandotte County-Kansas City, KS, Unified Government, General Obligation Unlimited, Series A, (AGMC Insured): | |||
1,000,000 | 4.000% due 8/1/24 | 1,095,766 | |
2,120,000 | 4.000% due 8/1/25 | 2,384,812 | |
7,574,960 | |||
Kentucky — 2.3% | |||
2,315,000 | Jefferson County, KY, School District Finance Corp. School Building, Revenue Bonds, Series A, 4.000% due 6/1/29 | 2,720,599 | |
2,000,000 | Kentucky State, Infrastructure Authority, Revenue Bonds, Refunding, Series A, 5.000% due 2/1/28 | 2,023,928 | |
1,000,000 | Kentucky State, Property & Building Commission, Revenue Bonds, Project No. 119, (BAM Insured), 5.000% due 5/1/33 | 1,228,407 | |
1,500,000 | Kentucky State, Property & Building Commission, Revenue Bonds, Project No. 124, Series A, (AGMC Insured), 5.000% due 11/1/27 | 1,847,804 | |
7,820,738 | |||
Louisiana — 1.3% | |||
3,905,000 | Louisiana State, Gasoline and Fuels Tax Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 5/1/43 | 4,183,369 | |
Maine — 0.6% | |||
1,985,000 | Maine State, Municipal Bond Bank, Infrastructure Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/22 | 2,064,110 | |
Maryland — 2.5% | |||
2,000,000 | Maryland State, General Obligation Unlimited, Series A, 5.000% due 3/15/30 | 2,485,832 | |
4,000,000 | Maryland State, General Obligation Unlimited,Series B, 5.000% due 8/1/24 | 4,510,858 | |
1,240,000 | Montgomery County, MD, General Obligation Unlimited, Consolidated Public Improvement, Refunding, Series D, 4.000% due 11/1/28 | 1,462,324 | |
8,459,014 | |||
Massachusetts — 1.3% | |||
2,850,000 | Commonwealth of Massachusetts, General Obligation Limited, Series C, 5.000% due 5/1/30 | 3,048,708 |
201 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Massachusetts — (Continued) | |||
$1,100,000 | Commonwealth of Massachusetts, General Obligation Limited, Series E, 5.000% due 9/1/32 | $ 1,382,275 | |
4,430,983 | |||
Michigan — 3.7% | |||
1,045,000 | Brighton Area School Districtmi, MI, General Obligation Unlimited, Refunding, Series A, (QSBLF Insured), 5.000% due 5/1/28 | 1,310,064 | |
1,015,000 | Byron Center, MI, Public Schools, General Obligation Unlimited, Refunding, (QSBLF Insured), 5.000% due 5/1/24 | 1,131,103 | |
4,000,000 | Detroit, MI, City School District, General Obligation Unlimited, Refunding, Series A, (QSBLF Insured), 5.000% due 5/1/26 | 4,093,743 | |
2,275,000 | Michigan State, Finance Authority Revenue, Revenue Bonds, Refunding, 5.500% due 12/1/26 | 2,665,298 | |
1,000,000 | Michigan State, Finance Authority Revenue, Revenue Bonds, Series 2019B, 3.500% due 11/15/441 | 1,032,185 | |
2,140,000 | Michigan State, Housing Development Authority, Revenue Bonds, Series B, 3.500% due 6/1/47 | 2,264,554 | |
12,496,947 | |||
Minnesota — 1.6% | |||
2,000,000 | Minnesota State, General Obligation Unlimited, Series A, 4.000% due 9/1/33 | 2,478,307 | |
2,745,000 | Minnesota State, Housing Finance Agency, Revenue Bonds, Refunding, Series E, (GNMA / FNMA / FHLMC Insured), 4.000% due 1/1/47 | 2,906,642 | |
5,384,949 | |||
Missouri — 1.4% | |||
2,000,000 | City of Kansas, MO, Sanitary Sewer System, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 2,271,756 | |
2,250,000 | Missouri State, MO, Housing Development Commission Single Family Mortgage, Revenue Bonds, Series A, (GNMA / FNMA / FHLMC Insured), 3.500% due 11/1/50 | 2,442,860 | |
4,714,616 | |||
Nevada — 1.4% | |||
2,000,000 | Clark County, NV, General Obligation Limited, Refunding, Series A, 5.000% due 11/1/29 | 2,363,555 | |
1,000,000 | Clark County, NV, School District, General Obligation Limited, Building and Refunding Bonds, Series A, 5.000% due 6/15/26 | 1,189,270 | |
1,000,000 | Clark County, NV, School District, General Obligation Limited, Building and Refunding Bonds, Series C, 5.000% due 6/15/26 | 1,189,270 | |
4,742,095 | |||
New Jersey — 0.8% | |||
1,375,000 | New Jersey, NJ, Turnpike Authority, Revenue Bonds, Series A, 5.000% due 1/1/27 | 1,663,955 | |
1,000,000 | New Jersey, NJ, Turnpike Authority, Revenue Bonds, Series E, 5.000% due 1/1/32 | 1,135,066 | |
2,799,021 | |||
New Mexico — 0.7% | |||
1,075,000 | New Mexico State, Mortgage Finance Authority, Revenue Bonds, Series A, (GNMA / FNMA / FHLMC Insured), 3.500% due 1/1/51 | 1,167,275 |
202 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New Mexico — (Continued) | |||
$ 975,000 | New Mexico State, Mortgage Finance Authority, Revenue Bonds, Series F, (GNMA / FNMA / FHLMC Insured), 3.500% due 7/1/50 | $ 1,057,134 | |
2,224,409 | |||
New York — 7.1% | |||
1,000,000 | Metropolitan Transportation Aurthority, NY, Revenue Bonds, (AGMC Insured), (SOFR * .670 + 0.55%), 0.584% due 11/1/322 | 1,003,381 | |
1,250,000 | New York City, NY, General Obligation Unlimited, Fiscal 2008 Series J, 5.000% due 8/1/28 | 1,573,409 | |
1,865,000 | New York City, NY, General Obligation Unlimited, REMK Series L, 5.000% due 4/1/33 | 2,425,060 | |
1,000,000 | New York City, NY, General Obligation Unlimited, Series C, 5.000% due 8/1/23 | 1,083,008 | |
2,000,000 | New York City, NY, Municipal Water Finanace Authority, Water and Sewer System, Second General resolution Revenue Bonds, Refunding, Series AA-2, 5.000% due 6/15/30 | 2,622,120 | |
1,000,000 | New York City, NY, Municipal Water Finanace Authority,Water and Sewer System, Revenue Bonds, Series BB-2, 5.000% due 6/15/27 | 1,178,801 | |
1,465,000 | New York City, NY, Transitional Finance Authority Building Aid Revenue, Revenue Bonds, Series S-1, (State Aid Withholding), 5.000% due 7/15/31 | 1,717,433 | |
1,650,000 | New York City, NY, Transitional Finance Authority Revenue, Revenue Bonds, Future Tax Secured, Refunding, Series C, 5.000% due 11/1/26 | 1,999,008 | |
2,275,000 | New York City, NY, Transitional Finance Authority, Future Tax Secured, Revenue Bonds, Subseries E-1, 5.000% due 2/1/30 | 2,672,558 | |
2,440,000 | New York State, Dormitory Authority, Personal Income Tax, Revenue Bonds, Refunding, Series E, 4.000% due 3/15/28 | 2,741,983 | |
New York State, Thruway Authority, Highway Revenue Tolls, Revenue Bonds, Refunding, Series K: | |||
1,000,000 | 5.000% due 1/1/31 | 1,133,382 | |
1,200,000 | 5.000% due 1/1/32 | 1,356,831 | |
Triborough Bridge and Tunnel Authority, NY, Revenue Bonds, Series C: | |||
1,070,000 | 4.000% due 11/15/27 | 1,264,384 | |
1,000,000 | 5.000% due 11/15/29 | 1,215,786 | |
23,987,144 | |||
North Carolina — 2.3% | |||
1,220,000 | Duplin County, NC, Limited Obligation, Revenue Bonds, 5.000% due 4/1/23 | 1,297,214 | |
New Hanover County, NC, Hospital Revenue, Revenue Bonds, Refunding: | |||
2,320,000 | 5.000% due 10/1/22 | 2,418,120 | |
600,000 | 5.000% due 10/1/23 | 652,127 | |
2,940,000 | North Carolina State, General Obligation Unlimited, Refunding, Series A, 5.000% due 6/1/27 | 3,500,110 | |
7,867,571 | |||
Ohio — 4.6% | |||
1,180,000 | City of Akron, OH, Income Tax Revenue, Revenue Bonds, 4.000% due 12/1/273 | 1,354,678 | |
3,250,000 | Ohio State, General Obligation Unlimited, Series A, 5.000% due 6/15/28 | 3,454,475 | |
1,010,000 | Ohio State, Hospital Refunding Revenue Bonds, Cleveland Clinic Health System, Series A, 5.000% due 1/1/27 | 1,225,670 | |
1,670,000 | Ohio State, Hospital Revenue Bonds, Series A, 5.000% due 1/15/24 | 1,762,563 |
203 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Ohio — (Continued) | |||
$2,170,000 | Ohio State, Housing Finance Agency Residential Mortgage, Revenue Bonds, Series D (GNMA / FNMA / FHLMC Insured), 4.000% due 3/1/48 | $ 2,332,567 | |
1,000,000 | Ohio State, Mental Health Facilities, Revenue Bonds, 5.000% due 6/1/26 | 1,193,957 | |
1,265,000 | Ohio State, The University, Revenue Bonds, 5.000% due 12/1/25 | 1,492,184 | |
2,245,000 | Ohio State, Water Development Authority Water Pollution Control Loan Fund, Revenue Bonds, Series A, 5.000% due 6/1/30 | 2,752,034 | |
15,568,128 | |||
Oklahoma — 0.7% | |||
2,000,000 | Grand River, OK, Dam Authority, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/24 | 2,237,026 | |
Oregon — 2.0% | |||
2,975,000 | City of Portland, OR, Sewer System, Revenue Bonds, Series A, 4.500% due 5/1/30 | 3,458,896 | |
Oregon State, General Obligation Unlimited, Article XI-Q State Project, Series K,: | |||
1,490,000 | 5.000% due 11/1/28 | 1,892,932 | |
1,000,000 | 5.000% due 11/1/30 | 1,317,397 | |
6,669,225 | |||
Pennsylvania — 6.4% | |||
1,950,000 | City of Philadelphia, PA, Airport Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/28 | 2,431,349 | |
1,000,000 | City of Philadelphia, PA, General Obligation Unlimited, Series A, 5.000% due 8/1/26 | 1,197,148 | |
1,000,000 | City of Philadelphia, PA, General Obligation Unlimited, Series B, 5.000% due 2/1/28 | 1,233,820 | |
Commonwealth of Pennsylvania, General Obligation Unlimited, Series 2: | |||
1,500,000 | 5.000% due 9/15/25 | 1,755,676 | |
2,000,000 | 5.000% due 9/15/28 | 2,399,305 | |
2,500,000 | Cumberland County, PA, Municipal Authority, Revenue Bonds, 5.000% due 11/1/31 | 3,169,816 | |
2,095,000 | Pennsylvania State, Higher Educational Facilities Authority, Revenue Bonds, 5.000% due 8/15/25 | 2,446,517 | |
1,720,000 | Pennsylvania State, Housing Finance Agency Single Family Mortgage Revenue, Revenue Bonds, Series 2019-131A, 3.500% due 4/1/49 | 1,831,063 | |
2,185,000 | Pennsylvania State, Public School Building Authority, Revenue Bonds, 5.000% due 5/1/23 | 2,339,152 | |
2,500,000 | Pennsylvania State, Turnpike Commission, Revenue Bonds, Refunding, 5.000% due 12/1/22 | 2,628,689 | |
21,432,535 | |||
Rhode Island — 0.3% | |||
1,020,000 | Rhode Island State, Health and Educational Building Corporation, Public School Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 5/15/22 | 1,046,207 | |
South Carolina — 0.7% | |||
1,010,000 | Beaufort County, SC, General Obligation Unlimited, Series B, (State Aid Withholding), 5.000% due 5/1/22 | 1,034,081 | |
1,000,000 | South Carolina State, Public Service Authority, Revenue Bonds, Series B, 5.000% due 12/1/27 | 1,233,690 | |
2,267,771 |
204 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Texas — 13.0% | |||
$1,065,000 | Alamo, TX, Community College District, General Obligation Limited, Refunding, 5.000% due 2/15/24 | $ 1,178,622 | |
3,500,000 | Board of Regents of the University of Texas System, TX, Revenue Bonds, Series D, 5.000% due 8/15/25 | 4,087,260 | |
2,000,000 | City of Dallas and Fort Worth, TX, International Airport Joint Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 11/1/31 | 2,583,020 | |
3,000,000 | Dallas, TX, Area Rapid Transit, Sales Tax Revenue, Revenue Bonds, Refunding, 5.000% due 12/1/25 | 3,533,453 | |
Harris County, TX, Cultural Education Facilities Finance Corp., Revenue Bonds, Refunding, Children’s Hospital Project: | |||
1,850,000 | 5.000% due 10/1/26 | 2,152,749 | |
1,000,000 | 5.000% due 10/1/27 | 1,158,191 | |
3,000,000 | Harris County, TX, Flood Control District, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/28 | 3,728,178 | |
Harris County, TX, Revenue Bonds, Series A: | |||
1,300,000 | 5.000% due 8/15/24 | 1,467,444 | |
3,000,000 | 5.000% due 8/15/25 | 3,502,136 | |
1,130,000 | Irving Tax Independent School District, TX, General Obligation Unlimited, 4.000% due 2/15/32 | 1,340,429 | |
1,000,000 | Lower Colorado River Authority, TX, Revenue Bonds, (AGMC Insured), 5.000% due 5/15/273 | 1,197,460 | |
1,125,000 | Lower Colorado River Authority, TX, Revenue Bonds, Refunding, 5.000% due 5/15/25 | 1,300,583 | |
2,500,000 | North Texas, Municipal Water District, Revenue Bonds, Series 2021A, 4.000% due 9/1/233 | 2,661,864 | |
1,000,000 | North Texas, Tollway Authority, Revenue Bonds, Refunding, 5.000% due 1/1/32 | 1,213,383 | |
4,000,000 | North Texas, Tollway Authority, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/30 | 4,536,222 | |
2,550,000 | Texas State, General Obligation Unlimited, Series A, 5.000% due 10/1/26 | 3,080,699 | |
1,375,000 | Texas State, General Obligation Unlimited, Series B, 4.000% due 8/1/29 | 1,541,858 | |
3,090,000 | Waco, TX, Independent School District, General Obligation Unlimited, Refunding, (PSF Guaranteed), 5.000% due 8/15/23 | 3,348,539 | |
43,612,090 | |||
Vermont — 0.6% | |||
1,900,000 | Vermont State, Educational and Health Buildings Financing Agency, Revenue Bonds,Landmark Collage Project A, 0.040% due 7/1/391 | 1,900,000 | |
Washington — 5.8% | |||
1,000,000 | Central Puget Sound Regional Transit Authority, WA, Revenue Bonds, Refunding, Series S-1, 5.000% due 11/1/303 | 1,317,211 | |
3,695,000 | City of Seattle, WA, Municipal Light and Power Revenue, Revenue Bonds, Refunding, 4.000% due 9/1/30 | 4,036,755 | |
1,205,000 | Grays Harbor County, WA, Public Utility District No. 1, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 1,365,320 | |
3,600,000 | King County, WA, Bellevue School District No. 405, General Obligation Unlimited, 5.000% due 12/1/25 | 3,945,704 | |
1,000,000 | Spokane County, WA, School District No. 356 Central Valley, General Obligation Unlimited, 4.000% due 12/1/32 | 1,165,045 | |
4,000,000 | Washington State, General Obligation Unlimited, Series R-2013A, 4.000% due 7/1/28 | 4,096,227 | |
3,000,000 | Washington State, General Obligation Unlimited, Series D, 5.000% due 2/1/26 | 3,551,857 | |
19,478,119 |
205 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Wisconsin — 1.1% | |||
$2,100,000 | Wisconsin State, Department of Transportation Revenue, Revenue Bonds, Refunding, Series 2, 5.000% due 7/1/29 | $ 2,572,942 | |
1,000,000 | Wisconsin State, Revenue Bonds, Series A, 5.000% due 5/1/28 | 1,222,233 | |
3,795,175 | |||
Wyoming — 1.0% | |||
2,995,000 | Wyoming State, Community Development Authority, Housing Revenue, Revenue Bonds, Refunding, Series 3, 4.000% due 6/1/43 | 3,232,037 | |
TOTAL MUNICIPAL BONDS (Cost $317,790,999) | 324,278,218 | ||
TOTAL INVESTMENTS (Cost $317,790,999) | 96.5% | $324,278,218 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 3.5 | 11,785,698 | |
NET ASSETS | 100.0% | $336,063,916 |
* | Percentages indicated are based on net assets. |
1 | 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 October 31, 2021. |
2 | Floating Rate Bond. Rate shown is as of October 31, 2021. |
3 | When-issued security. |
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 |
PSF — Permanent School Fund |
QSBLF — Michigan Qualified School Bond Loan Fund |
206 |
% of Net Assets | Value | ||
STATE: | |||
Texas | 13.0% | $ 43,612,090 | |
Florida | 8.6 | 28,964,181 | |
New York | 7.1 | 23,987,144 | |
Pennsylvania | 6.4 | 21,432,535 | |
Washington | 5.8 | 19,478,119 | |
Ohio | 4.6 | 15,568,128 | |
Illinois | 4.5 | 15,095,751 | |
Michigan | 3.7 | 12,496,947 | |
District of Columbia | 2.8 | 9,559,088 | |
Alabama | 2.7 | 8,972,704 | |
Connecticut | 2.5 | 8,503,372 | |
Maryland | 2.5 | 8,459,014 | |
North Carolina | 2.3 | 7,867,571 | |
Kentucky | 2.3 | 7,820,738 | |
Kansas | 2.3 | 7,574,960 | |
California | 2.2 | 7,406,877 | |
Oregon | 2.0 | 6,669,225 | |
Delaware | 1.9 | 6,200,952 | |
Minnesota | 1.6 | 5,384,949 | |
Nevada | 1.4 | 4,742,095 | |
Missouri | 1.4 | 4,714,616 | |
Alaska | 1.3 | 4,442,060 | |
Massachusetts | 1.3 | 4,430,983 | |
Louisiana | 1.3 | 4,183,369 | |
Wisconsin | 1.1 | 3,795,175 | |
Colorado | 1.1 | 3,704,474 | |
Indiana | 1.0 | 3,506,006 | |
Wyoming | 1.0 | 3,232,037 | |
Hawaii | 0.9 | 2,898,620 | |
New Jersey | 0.8 | 2,799,021 | |
Arizona | 0.7 | 2,329,555 | |
South Carolina | 0.7 | 2,267,771 | |
Oklahoma | 0.7 | 2,237,026 | |
New Mexico | 0.7 | 2,224,409 | |
Maine | 0.6 | 2,064,110 | |
Vermont | 0.6 | 1,900,000 | |
Georgia | 0.5 | 1,571,339 | |
Iowa | 0.3 | 1,135,000 | |
Rhode Island | 0.3 | 1,046,207 | |
TOTAL MUNICIPAL BONDS | 96.5% | $324,278,218 | |
TOTAL INVESTMENTS | 96.5% | $324,278,218 |
207 |
208 |
Portfolio | Undistributed Tax-exempt Income | Undistributed Long-Term Gain | Unrealized Appreciation/ (Depreciation) | Total Distributable Earnings | ||||
Muni Intermediate Portfolio | $430,509 | $1,991,189 | $6,487,219 | $8,908,917 |
Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | Return of Capital | ||||
Muni Intermediate Portfolio | $4,821,963 | $927,838 | $2,543,519 | $— |
209 |
Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | |||
Muni Intermediate Portfolio | $5,680,505 | $465,124 | $602,420 |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Muni Intermediate Portfolio | $317,790,999 | $7,178,517 | $691,298 | $6,487,219 |
Portfolio | Purchases | Sales | ||
Muni Intermediate Portfolio | $121,497,977 | $95,626,644 |
210 |
Year Ended 10/31/21 | Year Ended 10/31/20 | ||||||
Shares | Amount | Shares | Amount | ||||
Muni Intermediate Portfolio | |||||||
Sold | 4,515,164 | $ 51,089,006 | 6,830,268 | $ 77,223,336 | |||
Issued as reinvestment of dividends | 305,295 | 3,465,064 | 97,052 | 1,085,249 | |||
Redeemed | (3,017,818) | (34,169,712) | (6,381,963) | (71,974,278) | |||
Net Increase | 1,802,641 | $ 20,384,358 | 545,357 | $ 6,334,307 |
211 |
December 20, 2021
212 |
Core Fixed Income Portfolio | 71.39% |
Quantitative U.S. Large Cap Core Equity Portfolio | 100 % |
Quantitative U.S. Large Cap Growth Equity Portfolio | 100 % |
Quantitative U.S. Large Cap Value Equity Portfolio | 100 % |
Quantitative U.S. Small Cap Equity Portfolio | 100 % |
Responsible ESG U.S. Equity Portfolio | 100 % |
Women in Leadership U.S. Equity Portfolio | 100 % |
Quantitative U.S. Total Market Equity Portfolio | 100 % |
Strategic Equity Portfolio | 100 % |
Small Cap Equity Portfolio | 100 % |
Equity Income Portfolio | 100 % |
Portfolio | Total | |
Quantitative International Equity Portfolio | $160,305 |
Quantitative U.S. Large Cap Core Equity Portfolio | $115,445,676 |
Quantitative U.S. Large Cap Growth Equity Portfolio | $384,253,311 |
Quantitative U.S. Small Cap Equity Portfolio | $ 133 |
Responsible ESG U.S. Equity Portfolio | $ 136,344 |
Women in Leadership U.S. Equity Portfolio | $ 519,410 |
Quantitative U.S. Total Market Equity Portfolio | $ 4,259,050 |
Strategic Equity Portfolio | $ 14,725,484 |
Small Cap Equity Portfolio | $ 834,084 |
Secured Options Portfolio | $ 6,213,707 |
Global Secured Options Portfolio | $ 225,651 |
Core Fixed Income Portfolio | $ 5,081,697 |
High Yield Municipal Portfolio | $ 22,353 |
Muni Intermediate Portfolio | $2,543,519 |
Quantitative U.S. Large Cap Core Equity Portfolio | $11,013,057 |
Quantitative U.S. Large Cap Growth Equity Portfolio | $ 4,362,589 |
Quantitative U.S. Large Cap Value Equity Portfolio | $ 32,775 |
Quantitative U.S. Small Cap Equity Portfolio | $ 7,532 |
Quantitative International Equity Portfolio | $ 1,099,884 |
Responsible ESG U.S. Equity Portfolio | $ 218,408 |
Women in Leadership U.S. Equity Portfolio | $275,552 |
213 |
Quantitative U.S. Total Market Equity Portfolio | $45,803 |
Strategic Equity Portfolio | $ 1,036,605 |
Small Cap Equity Portfolio | $ 2,196,950 |
Equity Income Portfolio | $333,966 |
Secured Options Portfolio | 22.68 % |
Global Secured Options Portfolio | 43.52 % |
Core Fixed Income Portfolio | 16.19 % |
214 |
Name and Age | Positions Held with the Funds/Time Served | Principal Occupations(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Director/Trustee | Other Directorships Held by Director/ Trustee | ||||
H. Franklin Allen, Ph.D. Age: 65 | Director of Glenmede Fund (since March 1991) and Trustee of Glenmede Portfolios (since May 1992) | Vice Dean Research and Faculty of the Imperial College Business School (since 2019); Professor of Finance and Economics and Executive Director of the Brevan Howard Centre for Financial Analysis at the Imperial College London (since 2014); Professor Emeritus of Finance, The Wharton School of The University of Pennsylvania since June 2016; Professor of Finance and Economics (1990-1994); Vice Dean and Director of Wharton Doctoral Programs (1990-1993). Employed by The University of Pennsylvania (from 1980-2016). | 18 | None | ||||
William L. Cobb, Jr. Age: 74 | Director of Glenmede Fund, Trustee of Glenmede Portfolios (since February 2007) and Chairman of the Funds (since December 2021) | Former Executive Vice President and Former Chief Investment Officer, The Church Pension Fund (defined benefit plan for retired clergy of the Episcopal Church) (1999-2014); Chair and Member, Investment Committee, The Minister and Missionaries Benefit Board of the American Baptist Church (until 2013); Chair and Member, Investment Committee, The Minister and Missionaries Benefit Board of the American Baptist Church (until 2013); Vice Chairman, J.P. Morgan Investment Management (1994-1999). | 18 | Director, TCW Direct Lending LLC | ||||
Gail E. Keppler Age: 75 | Director of Glenmede Fund and Trustee of Glenmede Portfolios (since February 2007) | Former Co-CEO/COO TVG, Inc. (pharmaceutical marketing consulting) (1992-2002); Former Board Member, Laurel House; Former Division President and Board Member, Burke Marketing Services, Inc.; Former Board member Cape May County Habitat for Humanity. | 18 | None |
215 |
Name and Age | Positions Held with the Funds/Time Served | Principal Occupations(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Director/Trustee | Other Directorships Held by Director/ Trustee | ||||
Harry Wong Age: 73 | Director of Glenmede Fund and Trustee of Glenmede Portfolios (since February 2007) | Former Managing Director, Knight Capital Americas, L.P., an operating subsidiary of Knight Capital Group Inc. (investment banking) (2009-2011); Managing Director, Long Point Advisors, LLC (business consulting) (2003-2012); Managing Director, BIO-IB LLC (healthcare investment banking) (2004-2009); Senior Managing Director, ABN AMRO (investment banking) (1990-2002); Adjunct Faculty Member, Sacred Heart University (2003-2007). | 18 | None | ||||
(1)Independent Directors/Trustees are those Directors/Trustees who are not “interested persons” of the Funds as defined in the 1940 Act. |
216 |
Interested Directors/Trustees(2) | ||||||||
Name and Age | Positions Held with the Funds/Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Director/Trustee | Other Directorships Held by Director/ Trustee | ||||
Susan W. Catherwood(2) Age: 78 | Director of Glenmede Fund and Trustee of Glenmede Portfolios (since February 2007) | Director (since 1988) and Member of the Investment Review/Relationship Oversight Committee (since 2001), Compensation Committee (since 1993) and Nominating Committee (Since 2018), Glenmede Trust; Director, The Glenmede Corporation (since 1988); Board Member, The Pew Charitable Trusts; Charter Trustee, The University of Pennsylvania; Chairman Emeritus, The University Museum of The University of Pennsylvania; Chairman of the Board of Managers, The Christopher Ludwick Foundation; Board Member, Monell Chemical Senses Center; Director: Thomas Skelton Harrison Foundation and The Catherwood Foundation; Fellow and serves on Finance and Investment Committees, and former Board member, College of Physicians of Philadelphia; Former Member and Chair, The Women’s Committee and Penn Museum Board of Overseers of the University of Pennsylvania;Former Board Chair, University of Pennsylvanita Health System (1991 - 1999). | 18 | None | ||||
Mary Ann B. Wirts(2) Age: 70 | Director of Glenmede Fund (since June 2020) and Trustee of Glenmede Portfolios (since June 2020) | Managing Director and Chief Administrative Officer of Glenmede Trust (until 2020); Managing Director and Chief Administrative Officer of Glenmede Investment Management LP (2006-2020); First Vice President and Managing Director of Fixed Income of Glenmede Advisers (2000-2006). | 18 | None | ||||
(2)Interested Directors/Trustees are those Directors/Trustees who are “interested persons” of the Funds as defined in the 1940 Act. Susan W. Catherwood and Mary Ann B. Wirts are considered to be “interested” Director/Trustees of the Funds because of their current or prior affiliations with Glenmede Trust, the parent company of the Funds’ investment advisor, GIM, and/or their stock ownership in The Glenmede Corporation, of which GIM is an affiliate. |
217 |
Officers | ||||
Name, Address and Age | Positions Held with the Funds/Time Served | Principal Occupation(s) During Past 5 Years | ||
Kent E. Weaver 1650 Market Street, Suite 1200 Philadelphia, PA 19103 Age: 54 | President of the Funds since November 2019. | President of Glenmede Investment Management LP (since 2021); Director of Client Service of Glenmede Investment Management LP (July 2015-2021); Former Director of Client Service and Sales, Chief Compliance Officer of Philadelphia International Advisors, LP (2002-June 2015). | ||
Kimberly C. Osborne 1650 Market Street, Suite 1200 Philadelphia, PA 19103 Age: 55 | Executive Vice President of the Funds since December 1997; Assistant Treasurer of the Funds since December 2020. | Client Service Manager of Glenmede Investment Management LP (since 2006). Vice President of Glenmede Trust and Glenmede Advisers until 2008. Employed by Glenmede Trust 1993-2008 and Glenmede Advisers 2000-2008. | ||
Christopher E. McGuire 1650 Market Street, Suite 1200 Philadelphia, PA 19103 Age: 48 | Treasurer of the Funds since December 2019. | Director of Administration of Glenmede Investment Management LP (since October 2019); Managing Director, State Street Bank and Trust Company (from 2007 - October 2019). | ||
Michael P. Malloy One Logan Square, Suite 2000 Philadelphia, PA 19103- 6996 Age: 62 | Secretary of the Funds since January 1995. | Partner in the law firm of Faegre Drinker Biddle & Reath LLP. | ||
Eimile J. Moore 690 Taylor Road, Suite 210 Columbus, OH 43230 Age: 52 | Chief Compliance Officer of the Funds since December 2017. | Managing Director, Foreside Financial Group, LLC (since 2011); Vice President/Business Manager, JP Morgan Distribution Services, Inc. (2006-2011). | ||
Bernard Brick 1 Lincoln Street, Floor 8 Boston, MA 02111 Age: 47 | Assistant Secretary of the Funds since December 2013. | Vice President and Senior Counsel, State Street Bank and Trust Company (2011-present). |
218 |
219 |
220 |
221 |
(b) Not applicable.
Item 2. Code of Ethics.
As of October 31, 2021, the Registrant has adopted a code of ethics that applies to the Registrant’s President and Treasurer (Principal Executive Officer and Principal Financial Officer). For the year ended October 31, 2021, there were no amendments to a provision of its code of ethics, nor were there any waivers, including implicit waivers granted from a provision of the code of ethics. A copy of the Registrant’s code of ethics is filed with the Form N-CSR under Item 13(a)(1).
Item 3. Audit Committee Financial Expert.
The Registrant’s Board of Directors has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The audit committee financial expert serving on the Registrant’s audit committee is Harry Wong, who is “independent” as defined in Item 3(a)(2) of this Form.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees – The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the Registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were $500,906 and $484,488 for the fiscal years ended October 31, 2020 and October 31, 2021, respectively. |
(b) | Audit-Related Fees – There were no fees billed for the fiscal years ended October 31, 2020 and October 31, 2021 for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under (a) of this Item. |
(c) | Tax Fees – The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for the review of the Registrant’s tax returns, other tax-related filings, excise tax calculations and final income distributions for liquidating funds were $101,200 and $97,900 for the fiscal years ended October 31, 2020 and October 31, 2021, respectively. |
(d) | All Other Fees – There were no other fees billed for the fiscal years ended October 31, 2020 and October 31, 2021 for products and services provided by the principal accountant, other than the services reported in (a) through (c) of this Item. |
(e) | (1) The Registrant’s audit committee pre-approves all audit and non-audit services to be performed by the Registrant’s accountant before the accountant is engaged by the Registrant to perform such services. |
(2) There were no services described in (b) through (d) above (including services required to be approved by the audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X) that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) | None of the hours expended on the principal accountant’s engagement to audit the Registrant’s financial statements for the fiscal year ended October 31, 2021 were attributable to work performed by persons other than the principal accountant’s full-time, permanent employees. |
(g) | The aggregate non-audit fees and services billed by the Registrant’s accountant for each of the last two fiscal years were $101,200 and $97,900 for the fiscal years ended October 31, 2020 and October 31, 2021, respectively, as described above. |
(h) | Not applicable. |
(i) Not applicable.
(j) 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 for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Investment Management Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-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 Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-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 Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))), that occurred during the period covered by this report 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 for Closed-End Management Investment Companies.
(a) Not applicable.
(b) Not applicable.
Item 13. Exhibits.
(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 | January 5, 2022 |
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 | January 5, 2022 | |
/s/ Christopher E. McGuire | ||
Christopher E. McGuire Treasurer (Principal Financial Officer) | ||
Date | January 5, 2022 |