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: April 30, 2022
Item 1. Reports to Stockholders.
(a)
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1 |
Beginning Account Value (November 1, 2021) | Ending Account Value (April 30, 2022) | Annualized Expense Ratio | Expenses Paid During Period* (November 1, 2021 to April 30, 2022) | ||||
Quantitative U.S. Large Cap Core Equity Portfolio – Advisor | |||||||
Actual | $1,000.00 | $ 928.00 | 0.84% | $ 4.02 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.60 | 0.84 | 4.21 | |||
Quantitative U.S. Large Cap Core Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 929.00 | 0.64 | 3.06 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.60 | 0.64 | 3.21 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 871.60 | 0.85 | 3.94 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.60 | 0.85 | 4.26 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 872.80 | 0.65 | 3.02 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.60 | 0.65 | 3.26 | |||
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||
Actual | 1,000.00 | 983.40 | 0.85 | 4.18 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.60 | 0.85 | 4.26 | |||
Quantitative U.S. Small Cap Equity Portfolio | |||||||
Actual | 1,000.00 | 924.40 | 0.85 | 4.06 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.60 | 0.85 | 4.26 | |||
Quantitative International Equity Portfolio | |||||||
Actual | 1,000.00 | 929.60 | 1.01 | 4.83 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,019.80 | 1.01 | 5.06 | |||
Responsible ESG U.S. Equity Portfolio | |||||||
Actual | 1,000.00 | 902.60 | 0.85 | 4.01 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.60 | 0.85 | 4.26 | |||
Women in Leadership U.S. Equity Portfolio | |||||||
Actual | 1,000.00 | 917.90 | 0.85 | 4.04 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.60 | 0.85 | 4.26 | |||
Quantitative U.S. Long/Short Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,056.50 | 2.56 | 13.05 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,012.10 | 2.56 | 12.77 |
2 |
Beginning Account Value (November 1, 2021) | Ending Account Value (April 30, 2022) | Annualized Expense Ratio | Expenses Paid During Period* (November 1, 2021 to April 30, 2022) | ||||
Quantitative U.S. Long/Short Equity Portfolio – Institutional | |||||||
Actual | $1,000.00 | $1,056.20 | 2.35% | $11.98 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,013.10 | 2.35 | 11.73 | |||
Quantitative U.S. Total Market Equity Portfolio | |||||||
Actual | 1,000.00 | 954.00 | 1.92 | 9.30 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,015.30 | 1.92 | 9.59 | |||
Strategic Equity Portfolio | |||||||
Actual | 1,000.00 | 900.50 | 0.85 | 4.01 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.60 | 0.85 | 4.26 | |||
Small Cap Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 956.40 | 0.94 | 4.56 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.10 | 0.94 | 4.71 | |||
Small Cap Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 957.20 | 0.74 | 3.59 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.10 | 0.74 | 3.71 | |||
Equity Income Portfolio | |||||||
Actual | 1,000.00 | 951.60 | 0.85 | 4.11 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.60 | 0.85 | 4.26 | |||
Secured Options Portfolio – Advisor | |||||||
Actual | 1,000.00 | 975.10 | 0.86 | 4.21 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.50 | 0.86 | 4.31 | |||
Secured Options Portfolio – Institutional | |||||||
Actual | 1,000.00 | 976.20 | 0.66 | 3.23 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.50 | 0.66 | 3.31 | |||
Global Secured Options Portfolio | |||||||
Actual | 1,000.00 | 954.20 | 1.00 | 4.85 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,019.80 | 1.00 | 5.01 | |||
Core Fixed Income Portfolio | |||||||
Actual | 1,000.00 | 903.60 | 0.54 | 2.55 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.10 | 0.54 | 2.71 | |||
Short Term Tax Aware Fixed Income Portfolio | |||||||
Actual | 1,000.00 | 968.40 | 0.55 | 2.68 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.10 | 0.55 | 2.76 | |||
High Yield Municipal Portfolio | |||||||
Actual | 1,000.00 | 915.40 | 1.00 | 4.75 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,019.80 | 1.00 | 5.01 |
* | Expenses are calculated using the Portfolio’s annualized expense ratio (as disclosed in the table), which is net of fee waivers, 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 (181 days), and divided by the number of days in the calendar year (365 days). |
3 |
Beginning Account Value (November 1, 2021) | Ending Account Value (April 30, 2022) | Annualized Expense Ratio | Expenses Paid During Period* (November 1, 2021 to April 30, 2022) | ||||
Muni Intermediate Portfolio | |||||||
Actual | $1,000.00 | $ 937.90 | 0.25% | $1.20 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,023.60 | 0.25 | 1.25 |
* | Expenses are calculated using the Portfolio’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (181 days), and divided by the number of days in the calendar year (365 days). |
4 |
Quantitative U.S. Large Cap Core Equity Portfolio | Quantitative U.S. Large Cap Growth Equity Portfolio | Quantitative U.S. Large Cap Value Equity Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $ 1,195,412,360 | $ 2,441,488,560 | $ 2,444,538 | ||
Repurchase agreements at value1 | 2,159,713 | 10,644,361 | 6,097 | ||
Receivable from Advisor | — | — | 3,671 | ||
Receivable for securities sold | 3,041,838 | — | — | ||
Receivable for fund shares sold | 295,031 | 373,477 | — | ||
Dividends receivable | 1,355,802 | 706,083 | 3,924 | ||
Securities lending income receivable | — | 550 | — | ||
Prepaid expenses | 41,061 | 66,605 | 68 | ||
Total assets | 1,202,305,805 | 2,453,279,636 | 2,458,298 | ||
Liabilities: | |||||
Obligation to return securities lending collateral | — | 199,586 | — | ||
Line of credit interest payable | 88 | 80 | — | ||
Payable for fund shares redeemed | 585,237 | 1,174,642 | — | ||
Payable for Management fees | 576,546 | 1,172,100 | 1,164 | ||
Payable for Directors’ fees | 41,720 | 68,574 | 64 | ||
Payable for Shareholder Servicing fees | 188,541 | 244,169 | 423 | ||
Accrued expenses | 179,714 | 326,525 | 5,804 | ||
Total liabilities | 1,571,846 | 3,185,676 | 7,455 | ||
Net Assets | $1,200,733,959 | $2,450,093,960 | $ 2,450,843 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 44,545 | $ 83,631 | $ 192 | ||
Paid-in capital in excess of par value | 764,630,976 | 1,795,782,222 | 1,950,368 | ||
Total distributable earnings | 436,058,438 | 654,228,107 | 500,283 | ||
Total Net Assets | $1,200,733,959 | $2,450,093,960 | $ 2,450,843 | ||
Shares Outstanding3 | 44,545,178 | 83,631,435 | 192,309 | ||
Net Asset Value Per Share | $ — | $ — | $ 12.74 | ||
Advisor Class — based on net assets of $1,079,184,337 and $1,394,067,195, respectively and shares outstanding of 40,036,540 and 47,588,553, respectively | 26.95 | 29.29 | — | ||
Institutional Class — based on net assets of $121,549,622 and $1,056,026,765, respectively and shares outstanding of 4,508,638 and 36,042,882, respectively | 26.96 | 29.30 | — | ||
1 Investments at cost | $ 926,533,529 | $ 1,984,939,729 | $ 2,069,008 | ||
2 Market value of securities on loan | $ — | $ 39,624,222 | $ — | ||
3 Authorized shares | — | — | 80,000,000 | ||
Authorized shares - Advisor Class | 155,000,000 | 240,000,000 | — | ||
Authorized shares - Institutional Class | 155,000,000 | 140,000,000 | — |
5 |
Quantitative U.S. Small Cap Equity Portfolio | Quantitative International Equity Portfolio | Responsible ESG U.S. Equity Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $ 1,461,161 | $ 29,056,975 | $ 30,108,909 | ||
Repurchase agreements at value1 | 12,349 | 170,416 | 149,797 | ||
Foreign currency3 | — | 4 | — | ||
Receivable from Advisor | 4,315 | 10,091 | 14,558 | ||
Dividends receivable | 371 | 109,175 | 37,741 | ||
Securities lending income receivable | 7 | 327 | 26 | ||
Foreign tax reclaims receivable | — | 679,882 | — | ||
Prepaid expenses | 43 | 1,412 | 900 | ||
Total assets | 1,478,246 | 30,028,282 | 30,311,931 | ||
Liabilities: | |||||
Obligation to return securities lending collateral | 24,335 | 733,234 | 1,002,883 | ||
Line of credit interest payable | — | 287 | — | ||
Payable for fund shares redeemed | — | 94,369 | 34,061 | ||
Payable for Management fees | 688 | 18,726 | 14,023 | ||
Payable for Directors’ fees | 42 | 1,783 | 877 | ||
Payable for Shareholder Servicing fees | 250 | 6,242 | 5,099 | ||
Accrued expenses | 3,996 | 15,429 | 9,409 | ||
Total liabilities | 29,311 | 870,070 | 1,066,352 | ||
Net Assets | $ 1,448,935 | $ 29,158,212 | $29,245,579 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 115 | $ 2,061 | $ 1,721 | ||
Paid-in capital in excess of par value | 1,174,478 | 28,451,537 | 22,223,617 | ||
Total distributable earnings | 274,342 | 704,614 | 7,020,241 | ||
Total Net Assets | $ 1,448,935 | $ 29,158,212 | $29,245,579 | ||
Shares Outstanding4 | 115,063 | 2,061,463 | 1,721,029 | ||
Net Asset Value Per Share | $ 12.59 | $ 14.14 | $ 16.99 | ||
1 Investments at cost | $ 1,309,536 | $ 29,767,261 | $ 25,307,908 | ||
2 Market value of securities on loan | $ 35,864 | $ 1,372,089 | $ 944,089 | ||
3 Foreign currency at cost | $ — | $ 4 | $ — | ||
4 Authorized shares | 80,000,000 | 120,000,000 | 80,000,000 |
6 |
Women in Leadership U.S. Equity Portfolio | Quantitative U.S. Long/Short Equity Portfolio | Quantitative U.S. Total Market Equity Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $ 24,208,717 | $ 52,628,355 | $ 63,105,872 | ||
Repurchase agreements at value1 | 122,941 | 4,031,090 | 283,701 | ||
Receivable from Advisor | 13,821 | 1,221 | 1,789 | ||
Receivable for fund shares sold | 71,035 | 258 | 60,993 | ||
Dividends receivable | 28,654 | 31,490 | 29,459 | ||
Interest receivable | — | 106,884 | — | ||
Securities lending income receivable | 33 | 107 | 12 | ||
Cash collateral on deposit at broker (Note 1) | — | 35,814,934 | — | ||
Prepaid expenses | 833 | 2,187 | 1,018 | ||
Total assets | 24,446,034 | 92,616,526 | 63,482,844 | ||
Liabilities: | |||||
Due to custodian | — | 4,499 | 1,522 | ||
Obligation to return securities lending collateral | 208,553 | 1,184,340 | 843,134 | ||
Line of credit interest payable | — | 62 | — | ||
Payable for fund shares redeemed | — | 27,790 | 31,722 | ||
Dividend payable on securities sold short | — | 33,522 | 8,583 | ||
Payable for securities sold short, at value3 | — | 33,995,672 | 12,409,076 | ||
Payable for Management fees | 11,493 | 156,353 | 36,261 | ||
Payable for Directors’ fees | 835 | 2,788 | 1,049 | ||
Payable for Shareholder Servicing fees | 4,179 | 8,217 | 8,532 | ||
Accrued expenses | 9,145 | 22,480 | 21,066 | ||
Total liabilities | 234,205 | 35,435,723 | 13,360,945 | ||
Net Assets | $24,211,829 | $ 57,180,803 | $ 50,121,899 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 1,660 | $ 4,185 | $ 2,716 | ||
Paid-in capital in excess of par value | 19,756,849 | 36,605,879 | 33,849,579 | ||
Total distributable earnings | 4,453,320 | 20,570,739 | 16,269,604 | ||
Total Net Assets | $24,211,829 | $ 57,180,803 | $ 50,121,899 | ||
Shares Outstanding4 | 1,660,436 | 4,184,957 | 2,715,606 | ||
Net Asset Value Per Share | $ 14.58 | $ — | $ 18.46 | ||
Advisor Class — based on net assets of $49,756,105 and shares outstanding of 3,643,550 | — | 13.66 | — | ||
Institutional Class — based on net assets of $7,424,698 and shares outstanding of 541,407 | — | 13.71 | — | ||
1 Investments at cost | $ 22,017,034 | $ 45,900,721 | $ 52,658,617 | ||
2 Market value of securities on loan | $ 194,286 | $ 1,104,544 | $ 1,077,486 | ||
3 Proceeds from securities sold short | $ — | $ 41,109,015 | $ 14,210,884 | ||
4 Authorized shares | 80,000,000 | — | 120,000,000 | ||
Authorized shares - Advisor Class | — | 120,000,000 | — | ||
Authorized shares - Institutional Class | — | 120,000,000 | — |
7 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Equity Income Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $ 220,993,351 | $ 1,411,884,828 | $ 21,329,617 | ||
Repurchase agreements at value1 | 1,130,279 | 25,048,891 | 116,109 | ||
Receivable from Advisor | — | — | 4,081 | ||
Receivable for securities sold | 399,617 | — | — | ||
Receivable for fund shares sold | — | 1,735,606 | — | ||
Dividends receivable | 201,639 | 48,942 | 19,932 | ||
Securities lending income receivable | — | 1,232 | — | ||
Prepaid expenses | 7,741 | 42,372 | 639 | ||
Total assets | 222,732,627 | 1,438,761,871 | 21,470,378 | ||
Liabilities: | |||||
Obligation to return securities lending collateral | — | 15,421,638 | — | ||
Line of credit interest payable | 2 | 3 | — | ||
Payable for fund shares redeemed | 233,136 | 701,028 | — | ||
Payable for Management fees | 107,239 | 677,155 | 10,232 | ||
Payable for Directors’ fees | 7,800 | 43,815 | 640 | ||
Payable for Shareholder Servicing fees | 38,996 | 147,247 | 3,720 | ||
Accrued expenses | 46,460 | 167,651 | 9,016 | ||
Total liabilities | 433,633 | 17,158,537 | 23,608 | ||
Net Assets | $222,298,994 | $1,421,603,334 | $21,446,770 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 7,719 | $ 40,325 | $ 1,492 | ||
Paid-in capital in excess of par value | 98,699,961 | 1,026,600,508 | 15,654,505 | ||
Total distributable earnings | 123,591,314 | 394,962,501 | 5,790,773 | ||
Total Net Assets | $222,298,994 | $1,421,603,334 | $21,446,770 | ||
Shares Outstanding3 | 7,718,564 | 40,325,019 | 1,491,537 | ||
Net Asset Value Per Share | $ 28.80 | $ — | $ 14.38 | ||
Advisor Class — based on net assets of $494,403,444 and shares outstanding of 14,587,302 | — | 33.89 | — | ||
Institutional Class — based on net assets of $927,199,890 and shares outstanding of 25,737,717 | — | 36.02 | — | ||
1 Investments at cost | $ 113,894,018 | $ 1,083,613,760 | $ 16,193,116 | ||
2 Market value of securities on loan | $ — | $ 17,528,481 | $ — | ||
3 Authorized shares | 150,000,000 | — | 80,000,000 | ||
Authorized shares - Advisor Class | — | 180,000,000 | — | ||
Authorized shares - Institutional Class | — | 135,000,000 | — |
8 |
Secured Options Portfolio | Global Secured Options Portfolio | Core Fixed Income Portfolio | |||
Assets: | |||||
Investments at value1, 2 | $ 1,274,119,554 | $ 40,487,733 | $ 376,087,333 | ||
Repurchase agreements at value1 | 9,041,583 | 1,705,199 | 13,323,374 | ||
Receivable from Advisor | — | 10,521 | — | ||
Receivable for fund shares sold | 275,757 | 40,394 | 31,000 | ||
Interest receivable | — | — | 2,208,601 | ||
Securities lending income receivable | — | — | 1,707 | ||
Cash collateral on deposit at broker (Note 1) | 12,303,323 | 824,484 | — | ||
Foreign tax reclaims receivable | — | 33,745 | — | ||
Prepaid expenses | 12,346 | 411 | 12,801 | ||
Total assets | 1,295,752,563 | 43,102,487 | 391,664,816 | ||
Liabilities: | |||||
Payable for securities purchased | — | — | 3,507,440 | ||
Obligation to return securities lending collateral | — | — | 15,719,408 | ||
Line of credit interest payable | — | 282 | — | ||
Payable for fund shares redeemed | 266,184 | — | 378,491 | ||
Options written, at value3 | 814,281,200 | 24,919,695 | — | ||
Payable for Management fees | 224,567 | 8,069 | 109,135 | ||
Payable for Directors’ fees | 12,707 | 358 | 13,315 | ||
Payable for Shareholder Servicing fees | 14,563 | 2,934 | 31,182 | ||
Accrued expenses | 61,289 | 10,844 | 62,385 | ||
Total liabilities | 814,860,510 | 24,942,182 | 19,821,356 | ||
Net Assets | $ 480,892,053 | $ 18,160,305 | $371,843,460 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 37,370 | $ 3,879 | $ 37,394 | ||
Paid-in capital in excess of par value | 476,131,192 | 25,531,320 | 404,619,883 | ||
Total distributable earnings | 4,723,491 | (7,374,894) | (32,813,817) | ||
Total Net Assets | $ 480,892,053 | $ 18,160,305 | $371,843,460 | ||
Shares Outstanding4 | 37,370,173 | 3,878,770 | 37,393,850 | ||
Net Asset Value Per Share | $ — | $ 4.68 | $ 9.94 | ||
Advisor Class — based on net assets of $84,780,038 and shares outstanding of 6,658,740 | 12.73 | — | — | ||
Institutional Class — based on net assets of $396,112,015 and shares outstanding of 30,711,433 | 12.90 | — | — | ||
1 Investments at cost | $ 1,361,018,934 | $ 45,426,279 | $ 420,573,420 | ||
2 Market value of securities on loan | $ — | $ — | $ 15,344,271 | ||
3 Premiums received from options written | $ 882,736,723 | $ 27,223,726 | $ — | ||
4 Authorized shares | — | 120,000,000 | 160,000,000 | ||
Authorized shares - Advisor Class | 160,000,000 | — | — | ||
Authorized shares - Institutional Class | 160,000,000 | — | — |
9 |
Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | ||
Assets: | |||
Investments at value1, 2 | $ 50,930,389 | $ 252,160,515 | |
Repurchase agreements at value1 | 2,343,871 | — | |
Cash | — | 2,992,860 | |
Receivable from Advisor | 4,234 | 51,096 | |
Receivable for fund shares sold | — | 200,000 | |
Interest receivable | 592,785 | 3,269,034 | |
Securities lending income receivable | 2,199 | — | |
Prepaid expenses | 1,594 | 8,154 | |
Total assets | 53,875,072 | 258,681,659 | |
Liabilities: | |||
Obligation to return securities lending collateral | 514,238 | — | |
Payable for when-issued securities purchased | 1,099,772 | 2,301,227 | |
Payable for fund shares redeemed | 641,439 | 17,397 | |
Payable for Management fees | 15,321 | 140,008 | |
Payable for Directors’ fees | 1,650 | 8,015 | |
Payable for Shareholder Servicing fees | 4,377 | 53,849 | |
Accrued expenses | 14,736 | 47,397 | |
Total liabilities | 2,291,533 | 2,567,893 | |
Net Assets | $51,583,539 | $256,113,766 | |
Net Assets consist of: | |||
Par value ($0.001 of shares outstanding) | $ 5,294 | $ 25,741 | |
Paid-in capital in excess of par value | 53,255,196 | 267,992,467 | |
Total distributable earnings | (1,676,951) | (11,904,442) | |
Total Net Assets | $51,583,539 | $256,113,766 | |
Shares Outstanding3 | 5,294,030 | 25,741,218 | |
Net Asset Value Per Share | $ 9.74 | $ 9.95 | |
1 Investments at cost | $ 54,574,359 | $ 264,731,316 | |
2 Market value of securities on loan | $ 499,377 | $ — | |
3 Authorized shares | 80,000,000 | 80,000,000 |
10 |
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 | $ 11,069,861 | $ 12,622,594 | $ 30,860 | ||
Income from security lending | 215 | 552 | 4 | ||
Total investment income | 11,070,076 | 12,623,146 | 30,864 | ||
Expenses: | |||||
Management fees | 3,671,709 | 6,732,799 | 6,970 | ||
Administration, transfer agent and custody fees | 231,550 | 425,807 | 13,582 | ||
Professional fees | 114,919 | 199,865 | 211 | ||
Shareholder report expenses | 58,937 | 188,308 | 901 | ||
Shareholder servicing fees | — | — | 2,534 | ||
Shareholder servicing fees (Advisor Class) | 1,193,335 | 1,613,022 | — | ||
Directors’ fees and expenses | 77,753 | 128,052 | 137 | ||
Interest expense | 1,831 | 5,900 | — | ||
Registration and filing fees | 25,062 | 56,326 | 2,387 | ||
Other expenses | 97,540 | 163,960 | 1,605 | ||
Total expenses | 5,472,636 | 9,514,039 | 28,327 | ||
Less expenses waived/reimbursed | — | — | (17,556) | ||
Net expenses | 5,472,636 | 9,514,039 | 10,771 | ||
Net investment income | 5,597,440 | 3,109,107 | 20,093 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain on: | |||||
Investment transactions | 163,806,257 | 187,388,827 | 124,462 | ||
Net change in unrealized loss of: | |||||
Investments | (262,439,348) | (540,527,498) | (185,851) | ||
Net realized and unrealized loss | (98,633,091) | (353,138,671) | (61,389) | ||
Net decrease in net assets resulting from operations | $ (93,035,651) | $(350,029,564) | $ (41,296) |
11 |
Quantitative U.S. Small Cap Equity Portfolio | Quantitative International Equity Portfolio | Responsible ESG U.S. Equity Portfolio | |||
Investment income: | |||||
Dividends1 | $ 7,880 | $ 663,455 | $ 289,565 | ||
Interest | — | 2,014 | — | ||
Income from security lending | 30 | 20,376 | 37 | ||
Non-cash income | 6,158 | — | — | ||
Other income | — | 5 | — | ||
Total investment income | 14,068 | 685,850 | 289,602 | ||
Expenses: | |||||
Management fees | 4,257 | 130,183 | 87,915 | ||
Administration, transfer agent and custody fees | 14,583 | 20,341 | 21,351 | ||
Professional fees | 129 | 2,968 | 2,708 | ||
Shareholder report expenses | 871 | 4,144 | 1,610 | ||
Shareholder servicing fees | 1,548 | 43,394 | 31,969 | ||
Directors’ fees and expenses | 86 | 2,224 | 1,783 | ||
Interest expense | — | 982 | — | ||
Registration and filing fees | 2,384 | 11,109 | 17,568 | ||
Other expenses | 1,584 | 5,269 | 3,542 | ||
Total expenses | 25,442 | 220,614 | 168,446 | ||
Less expenses waived/reimbursed | (18,863) | (46,055) | (32,578) | ||
Net expenses | 6,579 | 174,559 | 135,868 | ||
Net investment income | 7,489 | 511,291 | 153,734 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | 110,895 | 2,027,387 | 2,050,642 | ||
Foreign currency transactions | — | (14,995) | — | ||
Net realized gain | 110,895 | 2,012,392 | 2,050,642 | ||
Net change in unrealized loss of: | |||||
Investments | (236,031) | (4,811,688) | (5,394,905) | ||
Foreign currency translation | — | (4,638) | — | ||
Net change in unrealized loss | (236,031) | (4,816,326) | (5,394,905) | ||
Net realized and unrealized loss | (125,136) | (2,803,934) | (3,344,263) | ||
Net decrease in net assets resulting from operations | $(117,647) | $(2,292,643) | $(3,190,529) |
1 | The Quantitative U.S. Small Cap Equity Portfolio and the Quantitative International Equity Portfolio had foreign dividend withholding taxes of $35 and $59,140, respectively. |
12 |
Women in Leadership U.S. Equity Portfolio | Quantitative U.S. Long/Short Equity Portfolio | Quantitative U.S. Total Market Equity Portfolio | |||
Investment income: | |||||
Dividends | $ 265,122 | $ 571,355 | $ 482,556 | ||
Income from security lending | 139 | 1,515 | 123 | ||
Total investment income | 265,261 | 572,870 | 482,679 | ||
Expenses: | �� | ||||
Management fees | 72,200 | 365,578 | 259,336 | ||
Administration, transfer agent and custody fees | 20,782 | 30,831 | 24,309 | ||
Professional fees | 2,247 | 5,206 | 3,233 | ||
Shareholder report expenses | 1,613 | 5,234 | 3,501 | ||
Shareholder servicing fees | 26,254 | — | 43,223 | ||
Shareholder servicing fees (Advisor Class) | — | 53,472 | — | ||
Dividends on securities sold short | — | 302,978 | 99,698 | ||
Directors’ fees and expenses | 1,519 | 3,560 | 1,996 | ||
Interest expense | 40 | 380 | — | ||
Short position flex fees | — | 95,339 | 45,746 | ||
Registration and filing fees | 16,555 | 29,834 | 19,256 | ||
Other expenses | 3,674 | 13,929 | 4,015 | ||
Total expenses | 144,884 | 906,341 | 504,313 | ||
Less expenses waived/reimbursed | (33,262) | (134,291) | (88,727) | ||
Net expenses | 111,622 | 772,050 | 415,586 | ||
Net investment income (loss) | 153,639 | (199,180) | 67,093 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | 2,106,502 | 6,380,112 | 3,782,403 | ||
Securities sold short | — | (1,231,103) | (35,206) | ||
Net realized gain | 2,106,502 | 5,149,009 | 3,747,197 | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (4,474,910) | (8,589,136) | (8,307,528) | ||
Securities sold short | — | 7,205,634 | 1,628,996 | ||
Net change in unrealized loss | (4,474,910) | (1,383,502) | (6,678,532) | ||
Net realized and unrealized gain (loss) | (2,368,408) | 3,765,507 | (2,931,335) | ||
Net increase (decrease) in net assets resulting from operations | $(2,214,769) | $ 3,566,327 | $(2,864,242) |
13 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Equity Income Portfolio | |||
Investment income: | |||||
Dividends | $ 1,465,186 | $ 8,994,865 | $ 259,839 | ||
Income from security lending | — | 21,052 | — | ||
Total investment income | 1,465,186 | 9,015,917 | 259,839 | ||
Expenses: | |||||
Management fees | 690,523 | 4,141,146 | 62,149 | ||
Administration, transfer agent and custody fees | 54,564 | 473,546 | 16,606 | ||
Professional fees | 21,309 | 126,691 | 1,895 | ||
Shareholder report expenses | 6,037 | 177,230 | 1,323 | ||
Shareholder servicing fees | 251,099 | — | 22,600 | ||
Shareholder servicing fees (Advisor Class) | — | 656,343 | — | ||
Shareholder servicing fees (Institutional Class) | — | 245,199 | — | ||
Directors’ fees and expenses | 14,746 | 82,799 | 1,249 | ||
Interest expense | 280 | 480 | — | ||
Registration and filing fees | 11,689 | 50,919 | 2,860 | ||
Other expenses | 17,484 | 104,885 | 3,160 | ||
Total expenses | 1,067,731 | 6,059,238 | 111,842 | ||
Less expenses waived/reimbursed | — | — | (15,793) | ||
Net expenses | 1,067,731 | 6,059,238 | 96,049 | ||
Net investment income | 397,455 | 2,956,679 | 163,790 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain on: | |||||
Investment transactions | 15,578,508 | 71,086,722 | 664,306 | ||
Net change in unrealized loss of: | |||||
Investments | (40,969,812) | (139,867,011) | (1,937,397) | ||
Net realized and unrealized loss | (25,391,304) | (68,780,289) | (1,273,091) | ||
Net decrease in net assets resulting from operations | $(24,993,849) | $ (65,823,610) | $(1,109,301) |
14 |
Secured Options Portfolio | Global Secured Options Portfolio | Core Fixed Income Portfolio | |||
Investment income: | |||||
Dividends | $ 153,552 | $ 10,392 | $ — | ||
Interest | 118,455 | 4,490 | 3,984,930 | ||
Income from security lending | — | — | 6,445 | ||
Total investment income | 272,007 | 14,882 | 3,991,375 | ||
Expenses: | |||||
Management fees | 1,238,838 | 49,803 | 704,381 | ||
Administration, transfer agent and custody fees | 91,982 | 24,563 | 85,728 | ||
Professional fees | 36,503 | 1,478 | 33,848 | ||
Shareholder report expenses | 19,141 | 1,852 | 9,602 | ||
Shareholder servicing fees | — | 18,110 | 201,252 | ||
Shareholder servicing fees (Advisor Class) | 88,291 | — | — | ||
Directors’ fees and expenses | 23,475 | 898 | 23,518 | ||
Interest expense | — | 282 | — | ||
Registration and filing fees | 31,902 | 18,036 | 6,763 | ||
Other expenses | 34,099 | 5,899 | 26,368 | ||
Total expenses | 1,564,231 | 120,921 | 1,091,460 | ||
Less expenses waived/reimbursed | — | (30,088) | — | ||
Net expenses | 1,564,231 | 90,833 | 1,091,460 | ||
Net investment income (loss) | (1,292,224) | (75,951) | 2,899,915 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | 56 | (160,881) | (1,454,382) | ||
Written options | 17,854,041 | 513,554 | — | ||
Purchased options | (691,139) | (27,291) | — | ||
Net realized gain (loss) | 17,162,958 | 325,382 | (1,454,382) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (2,469,200) | (234,040) | (41,218,022) | ||
Written options | 114,629,037 | 4,054,996 | — | ||
Purchased options | (139,674,915) | (4,932,387) | — | ||
Net change in unrealized loss | (27,515,078) | (1,111,431) | (41,218,022) | ||
Net realized and unrealized loss | (10,352,120) | (786,049) | (42,672,404) | ||
Net decrease in net assets resulting from operations | $ (11,644,344) | $ (862,000) | $(39,772,489) |
15 |
Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | ||
Investment income: | |||
Dividends | $ 9,003 | $ — | |
Interest | 315,538 | 4,715,282 | |
Income from security lending | 9,115 | — | |
Total investment income | 333,656 | 4,715,282 | |
Expenses: | |||
Management fees | 96,239 | 890,722 | |
Administration, transfer agent and custody fees | 29,557 | 93,416 | |
Professional fees | 4,684 | 60,094 | |
Shareholder report expenses | 1,448 | 7,587 | |
Shareholder servicing fees | 27,497 | 342,586 | |
Directors’ fees and expenses | 3,104 | 15,575 | |
Interest expense | — | 60 | |
Registration and filing fees | 3,088 | 4,040 | |
Other expenses | 5,054 | 19,557 | |
Total expenses | 170,671 | 1,433,637 | |
Less expenses waived/reimbursed | (19,438) | (63,235) | |
Net expenses | 151,233 | 1,370,402 | |
Net investment income | 182,423 | 3,344,880 | |
Realized and unrealized gain (loss): | |||
Net realized gain (loss) on: | |||
Investment transactions | (229,300) | 261,766 | |
Net change in unrealized loss of: | |||
Investments | (1,704,953) | (27,496,537) | |
Net realized and unrealized loss | (1,934,253) | (27,234,771) | |
Net decrease in net assets resulting from operations | $(1,751,830) | $(23,889,891) |
16 |
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 | $ 5,597,440 | $ 3,109,107 | $ 20,093 | ||
Net realized gain on: | |||||
Investment transactions | 163,806,257 | 187,388,827 | 124,462 | ||
Net change in unrealized loss of: | |||||
Investments | (262,439,348) | (540,527,498) | (185,851) | ||
Net increase (decrease) in net assets resulting from operations | (93,035,651) | (350,029,564) | (41,296) | ||
Distributions from earnings | — | — | (18,615) | ||
Distributions from earnings: Advisor Class | (145,318,594) | (300,425,510) | — | ||
Distributions from earnings: Institutional Class | (19,293,602) | (102,027,464) | — | ||
Net increase in net assets from capital share transactions (See note 5) | 37,481,088 | 869,951,492 | 23,619 | ||
Net increase (decrease) in net assets | (220,166,759) | 117,468,954 | (36,292) | ||
NET ASSETS: | |||||
Beginning of period | 1,420,900,718 | 2,332,625,006 | 2,487,135 | ||
End of period | $1,200,733,959 | $2,450,093,960 | $2,450,843 |
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 |
17 |
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 | $ 7,489 | $ 511,291 | $ 153,734 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 110,895 | 2,027,387 | 2,050,642 | ||
Foreign currency transactions | — | (14,995) | — | ||
Net change in unrealized loss of: | |||||
Investments | (236,031) | (4,811,688) | (5,394,905) | ||
Foreign currency translations | — | (4,638) | — | ||
Net increase (decrease) in net assets resulting from operations | (117,647) | (2,292,643) | (3,190,529) | ||
Distributions from earnings | (146,186) | (708,410) | (2,942,690) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 157,214 | (8,909,867) | 2,517,436 | ||
Net increase (decrease) in net assets | (106,619) | (11,910,920) | (3,615,783) | ||
NET ASSETS: | |||||
Beginning of period | 1,555,554 | 41,069,132 | 32,861,362 | ||
End of period | $1,448,935 | $ 29,158,212 | $29,245,579 |
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 |
18 |
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) | $ 153,639 | $ (199,180) | $ 67,093 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 2,106,502 | 6,380,112 | 3,782,403 | ||
Securities sold short | — | (1,231,103) | (35,206) | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (4,474,910) | (8,589,136) | (8,307,528) | ||
Securities sold short | — | 7,205,634 | 1,628,996 | ||
Net increase (decrease) in net assets resulting from operations | (2,214,769) | 3,566,327 | (2,864,242) | ||
Distributions from earnings | (4,605,673) | — | (5,657,705) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 3,145,403 | (9,642,842) | 22,683,258 | ||
Net increase (decrease) in net assets | (3,675,039) | (6,076,515) | 14,161,311 | ||
NET ASSETS: | |||||
Beginning of period | 27,886,868 | 63,257,318 | 35,960,588 | ||
End of period | $24,211,829 | $57,180,803 | $50,121,899 |
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 |
19 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Equity Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $ 397,455 | $ 2,956,679 | $ 163,790 | ||
Net realized gain on: | |||||
Investment transactions | 15,578,508 | 71,086,722 | 664,306 | ||
Net change in unrealized loss of: | |||||
Investments | (40,969,812) | (139,867,011) | (1,937,397) | ||
Net increase (decrease) in net assets resulting from operations | (24,993,849) | (65,823,610) | (1,109,301) | ||
Distributions from earnings | (26,812,157) | — | (1,167,469) | ||
Distributions from earnings: Advisor Class | — | (22,812,635) | — | ||
Distributions from earnings: Institutional Class | — | (41,871,951) | — | ||
Net increase in net assets from capital share transactions (See note 5) | 5,457,211 | 77,268,828 | 1,427,426 | ||
Net increase (decrease) in net assets | (46,348,795) | (53,239,368) | (849,344) | ||
NET ASSETS: | |||||
Beginning of period | 268,647,789 | 1,474,842,702 | 22,296,114 | ||
End of period | $222,298,994 | $1,421,603,334 | $21,446,770 |
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 |
20 |
Secured Options Portfolio | Global Secured Options Portfolio | Core Fixed Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income (loss) | $ (1,292,224) | $ (75,951) | $ 2,899,915 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 56 | (160,881) | (1,454,382) | ||
Options written | 17,854,041 | 513,554 | — | ||
Purchased options | (691,139) | (27,291) | — | ||
Net change in unrealized gain (loss) of: | |||||
Investments | (2,469,200) | (234,040) | (41,218,022) | ||
Options written | 114,629,037 | 4,054,996 | — | ||
Purchased options | (139,674,915) | (4,932,387) | — | ||
Net increase (decrease) in net assets resulting from operations | (11,644,344) | (862,000) | (39,772,489) | ||
Distributions from earnings | — | (2,244,213) | (4,107,666) | ||
Distributions from earnings: Advisor Class | (10,623,078) | — | — | ||
Distributions from earnings: Institutional Class | (40,390,275) | — | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 112,162,266 | 4,114,345 | (8,788,291) | ||
Net increase (decrease) in net assets | 49,504,569 | 1,008,132 | (52,668,446) | ||
NET ASSETS: | |||||
Beginning of period | 431,387,484 | 17,152,173 | 424,511,906 | ||
End of period | $ 480,892,053 | $18,160,305 | $371,843,460 |
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 |
21 |
Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | ||
Increase (decrease) in net assets | |||
Operations: | |||
Net investment income | $ 182,423 | $ 3,344,880 | |
Net realized gain (loss) on: | |||
Investment transactions | (229,300) | 261,766 | |
Net change in unrealized loss of: | |||
Investments | (1,704,953) | (27,496,537) | |
Net increase (decrease) in net assets resulting from operations | (1,751,830) | (23,889,891) | |
Distributions from earnings | (178,274) | (5,615,628) | |
Net increase (decrease) in net assets from capital share transactions (See note 5) | (2,770,447) | 3,107,689 | |
Net increase (decrease) in net assets | (4,700,551) | (26,397,830) | |
NET ASSETS: | |||
Beginning of period | 56,284,090 | 282,511,596 | |
End of period | $51,583,539 | $256,113,766 |
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 |
22 |
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 | $ 3,566,327 |
Investments purchased | (19,324,021) |
Investments sold | 27,015,747 |
Purchases to cover securities sold short | (26,943,408) |
Securities sold short | 24,041,629 |
(Purchase)/Sale of short term investments, net | (4,395,763) |
Increase in Interest receivable | (106,884) |
Increase in Receivable from Investment Advisor | (1,221) |
Decrease in Cash collateral on deposit at broker | 8,933,509 |
Decrease in Securities lending income receivable | 35 |
Decrease in Dividends receivable | 782 |
Increase in Prepaid expenses | (1,461) |
Increase in Obligation to return securities lending collateral | 496,740 |
Increase in Line of credit interest payable | 62 |
Increase in Dividends payable for securities sold short | 16,637 |
Increase in Payable for Management fees | 84,327 |
Decrease in Payable for Directors’ fees | (38) |
Decrease in Payable for Shareholder Servicing fees | (1,473) |
Decrease in Accrued expenses | (483) |
Net realized gain from investments | (6,380,112) |
Net realized loss from securities sold short | 1,231,103 |
Net change in unrealized loss on investments | 8,589,136 |
Net change in unrealized gain on securities sold short | (7,205,634) |
Net cash provided by (used in) operating activities | 9,615,536 |
Cash flows from financing activities | |
Proceeds from shares sold | 2,818,659 |
Payments on shares redeemed | (12,438,694) |
Net cash provided by (used in) financing activities | (9,620,035) |
Net increase (decrease) in cash | (4,499) |
Cash at beginning of period | — |
Cash at end of period | $ (4,499) |
Supplemental disclosure of cash flow information |
Cash paid for interest was $95,339. |
The Portfolio did not pay any prime broker fees during the period ended April 30, 2022. |
23 |
Quantitative U.S. Total Market Equity Portfolio | |
Cash flows from operating activities | |
Adjustments to reconcile net decrease in net assets from operations to net cash provided by (used in) operating activities | |
Net decrease in net assets resulting from operations | $ (2,864,242) |
Investments purchased | (35,300,478) |
Investments sold | 14,475,753 |
Purchases to cover securities sold short | (7,801,982) |
Securities sold short | 11,663,093 |
(Purchase)/Sale of short term investments, net | (622,273) |
Increase in Receivable from Investment Advisor | (1,789) |
Decrease in Securities lending income receivable | 95 |
Increase in Dividends receivable | (15,063) |
Increase in Prepaid expenses | (826) |
Increase in Obligation to return securities lending collateral | 526,176 |
Increase in Dividends payable for securities sold short | 5,399 |
Increase in Payable for Management fees | 403 |
Increase in Payable for Directors’ fees | 26 |
Increase in Payable for Shareholder Servicing fees | 2,566 |
Increase in Accrued expenses | 1,903 |
Net realized gain from investments | (3,782,403) |
Net realized loss from securities sold short | 35,206 |
Net change in unrealized loss on investments | 8,307,528 |
Net change in unrealized gain on securities sold short | (1,628,996) |
Net cash provided by (used in) operating activities | (16,999,904) |
Cash flows from financing activities | |
Proceeds from shares sold | 21,563,075 |
Payments on shares redeemed | (4,388,428) |
Cash distributions paid | (176,265) |
Net cash provided by (used in) financing activities | 16,998,382 |
Net increase (decrease) in cash | (1,522) |
Cash at beginning of period | — |
Cash at end of period | $ (1,522) |
Supplemental disclosure of cash flow information |
Cash paid for interest was $45,746. |
Non-cash financing activities not included herein consist of a reinvestment of dividends of $5,481,440. |
The Portfolio did not pay any prime broker fees during the period ended April 30, 2022. |
24 |
Quantitative U.S. Large Cap Core Equity Portfolio Advisor Shares | |||||||||||
For the Period Ended April 30, 20221,2 | For The Year Ended October 31, | ||||||||||
2021 2 | 2020 2 | 2019 2 | 2018 2 | 2017 | |||||||
Net asset value, beginning of period | $ 32.97 | $ 24.99 | $ 26.89 | $ 27.88 | $ 28.08 | $ 22.36 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.12 | 0.23 | 0.29 | 0.35 | 0.29 | 0.23 | |||||
Net realized and unrealized gain (loss) on investments | (2.21) | 10.15 | (0.73) | 1.18 | 0.95 | 5.72 | |||||
Total from investment operations | (2.09) | 10.38 | (0.44) | 1.53 | 1.24 | 5.95 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.13) | (0.24) | (0.29) | (0.35) | (0.28) | (0.23) | |||||
Net realized capital gains | (3.80) | (2.16) | (1.17) | (2.17) | (1.16) | — | |||||
Total distributions | (3.93) | (2.40) | (1.46) | (2.52) | (1.44) | (0.23) | |||||
Net asset value, end of period | $ 26.95 | $ 32.97 | $ 24.99 | $ 26.89 | $ 27.88 | $ 28.08 | |||||
Total return | (7.20)% 3 | 43.77% | (1.90)% | 6.42% | 4.42% | 26.74% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $1,079,184 | $1,255,795 | $1,066,153 | $1,674,687 | $2,075,264 | $2,124,803 | |||||
Ratio of operating expenses to average net assets | 0.84% 4,5 | 0.85% 5 | 0.87% | 0.86% | 0.85% | 0.86% | |||||
Ratio of net investment income to average net assets | 0.82% 4 | 0.75% | 1.15% | 1.32% | 1.02% | 0.94% | |||||
Portfolio turnover rate6 | 32% 3 | 41% | 66% | 80% | 71% | 62% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Not annualized. |
4 | Annualized. |
5 | The ratio of operating expenses excluding interest expense was 0.84% for the period ended April 30, 2022 and 0.85% for the year ended October 31, 2021. |
6 | Portfolio turnover is calculated at the fund level. |
25 |
Quantitative U.S. Large Cap Core Equity Portfolio Institutional Shares | |||||||||||
For the Period Ended April 30, 20221,2 | For The Year Ended October 31, | ||||||||||
2021 2 | 2020 2 | 2019 2 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 32.98 | $ 24.99 | $ 26.91 | $ 27.89 | $ 28.09 | $ 22.37 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.15 | 0.29 | 0.34 | 0.40 | 0.34 | 0.27 | |||||
Net realized and unrealized gain (loss) on investments | (2.21) | 10.16 | (0.75) | 1.20 | 0.95 | 5.73 | |||||
Total from investment operations | (2.06) | 10.45 | (0.41) | 1.60 | 1.29 | 6.00 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.16) | (0.30) | (0.34) | (0.41) | (0.33) | (0.28) | |||||
Net realized capital gains | (3.80) | (2.16) | (1.17) | (2.17) | (1.16) | — | |||||
Total distributions | (3.96) | (2.46) | (1.51) | (2.58) | (1.49) | (0.28) | |||||
Net asset value, end of period | $ 26.96 | $ 32.98 | $ 24.99 | $ 26.91 | $ 27.89 | $ 28.09 | |||||
Total return | (7.10)% 3 | 44.10% | (1.75)% | 6.68% | 4.61% | 26.96% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $121,550 | $165,106 | $173,029 | $673,825 | $767,117 | $549,352 | |||||
Ratio of operating expenses to average net assets | 0.64% 4,5 | 0.65% 5 | 0.67% | 0.66% | 0.65% | 0.66% | |||||
Ratio of net investment income to average net assets | 1.02% 4 | 0.96% | 1.32% | 1.52% | 1.22% | 1.12% | |||||
Portfolio turnover rate6 | 32% 3 | 41% | 66% | 80% | 71% | 62% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Not annualized. |
4 | Annualized. |
5 | The ratio of operating expenses excluding interest expense was 0.64% for the period ended April 30, 2022 and 0.65% for the year ended October 31, 2021. |
6 | Portfolio turnover is calculated at the fund level. |
26 |
Quantitative U.S. Large Cap Growth Equity Portfolio Advisor Shares | |||||||||||
For the Period Ended April 30, 20221,2 | For The Year Ended October 31, | ||||||||||
2021 1 | 2020 1 | 2019 1 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 40.64 | $ 32.02 | $ 33.08 | $ 32.52 | $ 31.54 | $ 24.76 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.03 | 0.05 | 0.12 | 0.16 | 0.16 | 0.16 | |||||
Net realized and unrealized gain (loss) on investments | (4.31) | 13.33 | 3.19 | 4.86 | 1.58 | 6.77 | |||||
Total from investment operations | (4.28) | 13.38 | 3.31 | 5.02 | 1.74 | 6.93 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.03) | (0.05) | (0.14) | (0.15) | (0.17) | (0.15) | |||||
Net realized capital gains | (7.04) | (4.71) | (4.23) | (4.31) | (0.59) | �� | — | ||||
Total distributions | (7.07) | (4.76) | (4.37) | (4.46) | (0.76) | (0.15) | |||||
Net asset value, end of period | $ 29.29 | $ 40.64 | $ 32.02 | $ 33.08 | $ 32.52 | $ 31.54 | |||||
Total return | (12.84)% 3 | 46.17% | 10.68% | 18.50% | 5.53% | 28.05% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $1,394,067 | $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% 4,5 | 0.85% 5 | 0.88% | 0.86% | 0.85% | 0.86% | |||||
Ratio of net investment income to average net assets | 0.19% 4 | 0.15% | 0.40% | 0.53% | 0.44% | 0.56% | |||||
Portfolio turnover rate6 | 37% 3 | 49% | 69% | 80% | 63% | 69% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Unaudited. |
3 | Not annualized. |
4 | Annualized. |
5 | The ratio of operating expenses excluding interest expense was 0.85% for the period ended April 30, 2022 and 0.85% for the year ended October 31, 2021. |
6 | Portfolio turnover is calculated at the fund level. |
27 |
Quantitative U.S. Large Cap Growth Equity Portfolio Institutional Shares | |||||||||||
For the Period Ended April 30, 20221,2 | For The Year Ended October 31, | ||||||||||
2021 2 | 2020 2 | 2019 2 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 40.64 | $ 32.02 | $ 33.09 | $ 32.53 | $ 31.55 | $ 24.77 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.06 | 0.12 | 0.19 | 0.21 | 0.21 | 0.18 | |||||
Net realized and unrealized gain (loss) on investments | (4.29) | 13.34 | 3.18 | 4.88 | 1.59 | 6.80 | |||||
Total from investment operations | (4.23) | 13.46 | 3.37 | 5.09 | 1.80 | 6.98 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.07) | (0.13) | (0.21) | (0.22) | (0.23) | (0.20) | |||||
Net realized capital gains | (7.04) | (4.71) | (4.23) | (4.31) | (0.59) | — | |||||
Total distributions | (7.11) | (4.84) | (4.44) | (4.53) | (0.82) | (0.20) | |||||
Net asset value, end of period | $ 29.30 | $ 40.64 | $ 32.02 | $ 33.09 | $ 32.53 | $ 31.55 | |||||
Total return | (12.72)% 3 | 46.47% | 10.89% | 18.74% | 5.74% | 28.28% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $1,056,027 | $581,255 | $543,675 | $1,250,995 | $746,030 | $860,416 | |||||
Ratio of operating expenses to average net assets | 0.65% 4,5 | 0.65% 5 | 0.68% | 0.66% | 0.65% | 0.66% | |||||
Ratio of net investment income to average net assets | 0.37% 4 | 0.34% | 0.62% | 0.69% | 0.64% | 0.66% | |||||
Portfolio turnover rate6 | 37% 3 | 49% | 69% | 80% | 63% | 69% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Not annualized. |
4 | Annualized. |
5 | The ratio of operating expenses excluding interest expense was 0.65% for the period ended April 30, 2022 and 0.65% for the year ended October 31, 2021. |
6 | Portfolio turnover is calculated at the fund level. |
28 |
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||||
For the Period Ended April 30, 20222,3 | For The Year Ended October 31, | For the Period November 13, 20171 through October 31, 2018 | |||||||
2021 3 | 2020 3 | 2019 3 | |||||||
Net asset value, beginning of period | $13.05 | $ 9.03 | $ 10.29 | $ 9.82 | $10.00 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.10 | 0.18 | 0.20 | 0.21 | 0.14 | ||||
Net realized and unrealized gain (loss) on investments | (0.31) | 4.02 | (1.26) | 0.49 | (0.20) | ||||
Total from investment operations | (0.21) | 4.20 | (1.06) | 0.70 | (0.06) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.10) | (0.18) | (0.20) | (0.23) | (0.12) | ||||
Total distributions | (0.10) | (0.18) | (0.20) | (0.23) | (0.12) | ||||
Net asset value, end of period | $12.74 | $13.05 | $ 9.03 | $10.29 | $ 9.82 | ||||
Total return4 | (1.66)% 5 | 46.66% | (10.19)% | 7.33% | (0.69)% 5 | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of period (in 000s) | $2,451 | $2,487 | $ 1,588 | $2,040 | $1,092 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.24% 6 | 2.45% | 2.66% | 3.20% | 6.52% 6 | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% 6 | 0.85% | 0.85% | 0.89% | 1.00% 6 | ||||
Ratio of net investment income to average net assets | 1.59% 6 | 1.48% | 2.15% | 2.08% | 1.36% 6 | ||||
Portfolio turnover rate | 34% 5 | 68% | 95% | 77% | 61% 7 |
1 | Commencement of operations. |
2 | Unaudited. |
3 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
4 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
5 | Not annualized. |
6 | Annualized. |
7 | Calculations represent portfolio turnover for the Portfolio for the period of November 13, 2017 through October 31, 2018. |
29 |
Quantitative U.S. Small Cap Equity Portfolio | |||||||||
For the Period Ended April 30, 20222,3 | For The Year Ended October 31, | For the Period November 13, 20171 through October 31, 2018 | |||||||
2021 3 | 2020 3 | 2019 3 | |||||||
Net asset value, beginning of period | $15.05 | $ 9.55 | $10.39 | $10.25 | $10.00 | ||||
Income from investment operations: | |||||||||
Net investment income | 0.07 | 0.07 | 0.06 | 0.05 | 0.05 | ||||
Net realized and unrealized gain (loss) on investments | (1.11) | 5.50 | (0.82) | 0.17 | 0.24 | ||||
Total from investment operations | (1.04) | 5.57 | (0.76) | 0.22 | 0.29 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.08) | (0.07) | (0.08) | (0.08) | (0.04) | ||||
Net realized capital gains | (1.34) | — | — | — | — | ||||
Total distributions | (1.42) | (0.07) | (0.08) | (0.08) | (0.04) | ||||
Net asset value, end of period | $12.59 | $15.05 | $ 9.55 | $10.39 | $10.25 | ||||
Total return4 | (7.56)% 5 | 58.45% | (7.37)% | 2.19% | 2.85% 5 | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of period (in 000s) | $1,449 | $1,556 | $ 982 | $1,061 | $1,074 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 3.29% 6 | 3.45% | 4.63% | 4.12% | 6.48% 6 | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% 6 | 0.85% | 0.85% | 0.90% | 1.00% 6 | ||||
Ratio of net investment income to average net assets | 0.97% 6 | 0.53% | 0.65% | 0.53% | 0.44% 6 | ||||
Portfolio turnover rate | 45% 5 | 84% | 101% | 133% | 80% 7 |
1 | Commencement of operations. |
2 | Unaudited. |
3 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
4 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
5 | Not annualized. |
6 | Annualized. |
7 | Calculations represent portfolio turnover for the Portfolio for the period of November 13, 2017 through October 31, 2018. |
30 |
Quantitative International Equity Portfolio | |||||||||||
For the Period Ended April 30, 20221,2 | For The Year Ended October 31, | ||||||||||
2021 2 | 2020 2 | 2019 2 | 2018 | 2017 2 | |||||||
Net asset value, beginning of period | $ 15.54 | $ 12.05 | $ 13.97 | $ 13.26 | $ 15.16 | $ 12.76 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.22 | 0.36 | 0.26 | 0.39 | 0.29 | 0.25 | |||||
Net realized and unrealized gain (loss) on investments | (1.30) | 3.48 | (1.79) | 0.73 | (1.90) | 2.41 | |||||
Total from investment operations | (1.08) | 3.84 | (1.53) | 1.12 | (1.61) | 2.66 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.32) | (0.35) | (0.37) | (0.41) | (0.29) | (0.26) | |||||
Net return of capital | — | — | (0.02) | — | — | — | |||||
Total distributions | (0.32) | (0.35) | (0.39) | (0.41) | (0.29) | (0.26) | |||||
Net asset value, end of period | $ 14.14 | $ 15.54 | $ 12.05 | $ 13.97 | $ 13.26 | $ 15.16 | |||||
Total return3 | (7.04)% 4 | 31.96% | (11.10)% | 8.60% | (10.80)% | 20.96% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $29,158 | $41,069 | $53,302 | $205,629 | $387,188 | $461,686 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.27% 5 | 1.19% | 1.15% | 1.10% | 1.07% | 1.06% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 1.01% 5,6 | 1.00% 6 | 1.00% | 1.00% | 1.00% | 1.00% | |||||
Ratio of net investment income to average net assets | 2.95% 5 | 2.40% | 1.99% | 2.90% | 1.90% | 1.82% | |||||
Portfolio turnover rate | 46% 4 | 79% | 76% | 93% | 78% | 75% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | Not annualized. |
5 | Annualized. |
6 | The ratio of operating expenses after waiver/reimbursement excluding interest expense was 1.00% for the period ended April 30, 2022 and 1.00% for the year ended October 31, 2021. |
31 |
Responsible ESG U.S. Equity Portfolio | |||||||||||
For the Period Ended April 30, 20221,2 | For The Year Ended October 31, | ||||||||||
2021 2 | 2020 2 | 2019 2 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 20.71 | $ 14.26 | $ 14.34 | $ 14.12 | $ 13.61 | $ 10.84 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.09 | 0.14 | 0.15 | 0.16 | 0.11 | 0.09 | |||||
Net realized and unrealized gain (loss) on investments | (1.96) | 6.45 | (0.02) | 0.74 | 0.57 | 2.77 | |||||
Total from investment operations | (1.87) | 6.59 | 0.13 | 0.90 | 0.68 | 2.86 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.09) | (0.14) | (0.15) | (0.17) | (0.11) | (0.09) | |||||
Net realized capital gains | (1.76) | — | (0.06) | (0.51) | (0.06) | — | |||||
Total distributions | (1.85) | (0.14) | (0.21) | (0.68) | (0.17) | (0.09) | |||||
Net asset value, end of period | $ 16.99 | $ 20.71 | $ 14.26 | $ 14.34 | $ 14.12 | $ 13.61 | |||||
Total return3 | (9.74)% 4 | 46.31% | 0.87% | 6.78% | 5.01% | 26.42% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $29,246 | $32,861 | $22,342 | $23,231 | $21,746 | $13,589 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.05% 5 | 1.05% | 1.05% | 1.07% | 1.09% | 1.23% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% 5 | 0.85% | 0.85% | 0.90% | 1.00% | 1.00% | |||||
Ratio of net investment income to average net assets | 0.96% 5 | 0.74% | 1.02% | 1.17% | 0.87% | 0.75% | |||||
Portfolio turnover rate | 45% 4 | 74% | 88% | 102% | 61% | 54% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | Not annualized. |
5 | Annualized. |
32 |
Women in Leadership U.S. Equity Portfolio | |||||||||||
For the Period Ended April 30, 20221,2 | For The Year Ended October 31, | ||||||||||
2021 2 | 2020 2 | 2019 2 | 2018 2 | 2017 | |||||||
Net asset value, beginning of period | $ 19.27 | $ 13.52 | $ 13.98 | $ 13.34 | $ 13.10 | $ 10.65 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.10 | 0.18 | 0.16 | 0.15 | 0.12 | 0.11 | |||||
Net realized and unrealized gain (loss) on investments | (1.45) | 5.75 | (0.47) | 1.08 | 0.32 | 2.45 | |||||
Total from investment operations | (1.35) | 5.93 | (0.31) | 1.23 | 0.44 | 2.56 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.10) | (0.18) | (0.15) | (0.15) | (0.11) | (0.11) | |||||
Net realized capital gains | (3.24) | — | — | (0.44) | (0.09) | — | |||||
Total distributions | (3.34) | (0.18) | (0.15) | (0.59) | (0.20) | (0.11) | |||||
Net asset value, end of period | $ 14.58 | $ 19.27 | $ 13.52 | $ 13.98 | $ 13.34 | $ 13.10 | |||||
Total return3 | (8.21)% 4 | 43.94% | (2.15)% | 9.75% | 3.36% | 24.11% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $24,212 | $27,887 | $21,678 | $21,047 | $18,974 | $11,853 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.10% 5 | 1.04% | 1.08% | 1.11% | 1.11% | 1.28% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% 5,6 | 0.85% 6 | 0.85% | 0.90% | 1.00% | 1.00% | |||||
Ratio of net investment income to average net assets | 1.17% 5 | 1.01% | 1.19% | 1.14% | 0.88% | 0.88% | |||||
Portfolio turnover rate | 49% 4 | 81% | 105% | 89% | 81% | 70% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | Not annualized. |
5 | Annualized. |
6 | The ratio of operating expenses after waiver/reimbursement excluding interest expense was 0.85% for the period ended April 30, 2022 and 0.85% for the year ended October 31, 2021. |
33 |
Quantitative U.S. Long/Short Equity Portfolio Advisor Shares | |||||||||||
For the Period Ended April 30, 20221,2 | For The Year Ended October 31, | ||||||||||
2021 1 | 2020 1 | 2019 1 | 2018 1 | 2017 1 | |||||||
Net asset value, beginning of period | $ 12.93 | $ 11.05 | $ 11.90 | $ 12.55 | $ 12.86 | $ 11.39 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | (0.05) | (0.10) | (0.07) | 0.11 | 0.03 | (0.05) | |||||
Net realized and unrealized gain (loss) on investments | 0.78 | 1.98 | (0.77) | (0.65) | (0.34) | 1.52 | |||||
Total from investment operations | 0.73 | 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 period | $ 13.66 | $ 12.93 | $ 11.05 | $ 11.90 | $ 12.55 | $ 12.86 | |||||
Total return3 | 5.65% 4 | 17.01% | (7.07)% | (4.33)% | (2.41)% | 12.91% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $49,756 | $56,002 | $96,702 | $247,209 | $333,806 | $300,784 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 3.00% 5 | 2.88% | 2.99% | 2.78% | 2.61% | 2.77% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets6 | 2.56% 5 | 2.51% | 2.63% | 2.43% | 2.26% | 2.42% | |||||
Ratio of net investment income (loss) to average net assets | (0.68)% 5 | (0.78)% | (0.59)% | 0.91% | 0.24% | (0.43)% | |||||
Portfolio turnover rate7,8 | 47% 4 | 115% | 133% | 108% | 84% | 65% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Unaudited. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | Not annualized. |
5 | Annualized. |
6 | The ratio of operating expenses after waiver/reimbursement excluding interest expense, dividends on securities sold short and flex fees was 1.25% for the period ended April 30, 2022 and 1.25%, 1.25%, 1.21%, 1.15% and 1.15% for the years ended October 31, 2021, 2020, 2019, 2018 and 2017, respectively. |
7 | Portfolio turnover is calculated at the fund level. |
8 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
34 |
Quantitative U.S. Long/Short Equity Portfolio Institutional Shares | |||||||
For the Period Ended April 30, 20222,3 | 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 period | $12.97 | $11.07 | $11.89 | $12.00 | |||
Income from investment operations: | |||||||
Net investment income (loss) | (0.03) | (0.03) | (0.10) | 0.01 | |||
Net realized and unrealized gain (loss) on investments | 0.77 | 1.93 | (0.71) | (0.08) | |||
Total from investment operations | 0.74 | 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 period | $13.71 | $12.97 | $11.07 | $11.89 | |||
Total return4 | 5.62% 5 | 17.16% 6 | (6.78)% | (0.62)% 5 | |||
Ratios to average net assets/ Supplemental data: | |||||||
Net assets, at end of period (in 000s) | $7,425 | $7,255 | $ 311 | $ 16 | |||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.80% 7 | 3.88% | 2.59% | 2.36% 7 | |||
Ratio of operating expenses after waiver/reimbursement to average net assets8 | 2.35% 7 | 3.52% | 2.23% | 2.01% 7 | |||
Ratio of net investment income (loss) to average net assets | (0.48)% 7 | (0.27)% | (0.89)% | 0.36% 7 | |||
Portfolio turnover rate9,10 | 47% 5 | 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 | Unaudited. |
4 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
5 | Not annualized. |
6 | 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. |
7 | Annualized. |
8 | The ratio of operating expenses after waiver/reimbursement excluding interest expenses, dividends on securities sold short and flex fees was 1.05% for the period ended April 30, 2022, 1.05% and 1.05% for the year ended October 31, 2021 and October 31, 2020, respectively and 1.01% for the period ended October 31, 2019. |
9 | Portfolio turnover is calculated at the fund level. |
10 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
35 |
Quantitative U.S. Total Market Equity Portfolio | |||||||||||
For the Period Ended April 30, 20221,2 | For The Year Ended October 31, | ||||||||||
2021 2 | 2020 2 | 2019 2 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 22.90 | $ 15.34 | $ 17.88 | $ 18.85 | $ 18.88 | $ 14.65 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.01 | 0.03 | 0.07 | 0.11 | 0.07 | 0.04 | |||||
Net realized and unrealized gain (loss) on investments | (0.89) | 9.45 | (1.52) | 0.49 | 0.51 | 4.23 | |||||
Total from investment operations | (0.88) | 9.48 | (1.45) | 0.60 | 0.58 | 4.27 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.05) | (0.03) | (0.11) | (0.11) | (0.06) | (0.04) | |||||
Net realized capital gains | (3.51) | (1.89) | (0.98) | (1.46) | (0.55) | — | |||||
Total distributions | (3.56) | (1.92) | (1.09) | (1.57) | (0.61) | (0.04) | |||||
Net asset value, end of period | $ 18.46 | $ 22.90 | $ 15.34 | $ 17.88 | $ 18.85 | $ 18.88 | |||||
Total return3 | (4.60)% 4 | 66.37% | (8.82)% | 4.11% | 3.01% | 29.18% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $50,122 | $35,961 | $28,447 | $67,923 | $90,610 | $74,267 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.33% 5 | 2.23% | 2.56% | 2.48% | 2.31% | 2.40% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets6 | 1.92% 5 | 1.83% | 2.06% | 2.07% | 1.96% | 2.05% | |||||
Ratio of net investment income to average net assets | 0.31% 5 | 0.15% | 0.45% | 0.60% | 0.37% | 0.24% | |||||
Portfolio turnover rate7 | 40% 4 | 71% | 98% | 92% | 82% | 70% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | Not annualized. |
5 | Annualized. |
6 | The ratio of operating expenses after waiver/reimbursement excluding interest expense, dividends on securities sold short and flex fees was 1.25% for the period ended April 30, 2022 and 1.25%, 1.25%, 1.25%, 1.25% and 1.23% for the years ended October 31, 2021, 2020, 2019, 2018 and 2017, respectively. |
7 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
36 |
Strategic Equity Portfolio | |||||||||||
For the Period Ended April 30, 20221,2 | For The Year Ended October 31, | ||||||||||
2021 2 | 2020 2 | 2019 2 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 35.56 | $ 26.43 | $ 27.22 | $ 24.30 | $ 24.90 | $ 20.94 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.05 | 0.12 | 0.21 | 0.23 | 0.20 | 0.19 | |||||
Net realized and unrealized gain (loss) on investments | (3.21) | 10.73 | (0.25) | 3.22 | 1.07 | 5.35 | |||||
Total from investment operations | (3.16) | 10.85 | (0.04) | 3.45 | 1.27 | 5.54 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.05) | (0.13) | (0.22) | (0.23) | (0.20) | (0.19) | |||||
Net realized capital gains | (3.55) | (1.59) | (0.53) | (0.30) | (1.67) | (1.39) | |||||
Total distributions | (3.60) | (1.72) | (0.75) | (0.53) | (1.87) | (1.58) | |||||
Net asset value, end of period | $ 28.80 | $ 35.56 | $ 26.43 | $ 27.22 | $ 24.30 | $ 24.90 | |||||
Total return | (9.95)% 3 | 42.57% | (0.18)% | 14.51% | 5.14% | 27.83% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $222,299 | $268,648 | $219,447 | $269,033 | $226,032 | $209,339 | |||||
Ratio of operating expenses to average net assets | 0.85% 4,5 | 0.85% | 0.86% | 0.84% | 0.83% | 0.82% | |||||
Ratio of net investment income to average net assets | 0.32% 5 | 0.38% | 0.79% | 0.89% | 0.79% | 0.84% | |||||
Portfolio turnover rate | 8% 3 | 14% | 19% | 19% | 6% | 15% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Not annualized. |
4 | The ratio of operating expenses excluding interest expense was 0.85% for the period ended April 30, 2022. |
5 | Annualized. |
37 |
Small Cap Equity Portfolio Advisor Shares | |||||||||||
For the Period Ended April 30, 20221,2 | For The Year Ended October 31, | ||||||||||
2021 1 | 2020 1 | 2019 1 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 37.06 | $ 23.23 | $ 23.66 | $ 28.82 | $ 32.13 | $ 25.61 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.05 | — | 0.02 | 0.05 | 0.02 | (0.01) | |||||
Net realized and unrealized gain (loss) on investments | (1.60) | 13.87 | (0.41) | (1.04) | (0.10) | 7.07 | |||||
Total from investment operations | (1.55) | 13.87 | (0.39) | (0.99) | (0.08) | 7.06 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.06) | (0.04) | (0.04) | (0.07) | (0.02) | (0.02) | |||||
Net realized capital gains | (1.56) | — | — | (4.09) | (3.21) | (0.52) | |||||
Net return of capital | — | — | (0.00) 3 | (0.01) | — | — | |||||
Total distributions | (1.62) | (0.04) | (0.04) | (4.17) | (3.23) | (0.54) | |||||
Net asset value, end of period | $ 33.89 | $ 37.06 | $ 23.23 | $ 23.66 | $ 28.82 | $ 32.13 | |||||
Total return | (4.36)% 4 | 59.75% | (1.63)% | (2.61)% | (0.58)% | 27.84% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $494,403 | $530,401 | $403,309 | $761,813 | $1,390,136 | $1,574,979 | |||||
Ratio of operating expenses to average net assets | 0.94% 5,6 | 0.92% 6 | 0.94% | 0.93% | 0.90% | 0.90% | |||||
Ratio of net investment income (loss) to average net assets | 0.26% 5 | 0.01% | 0.11% | 0.21% | 0.07% | (0.04)% | |||||
Portfolio turnover rate7 | 15% 4 | 41% | 36% | 54% | 44% | 63% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Unaudited. |
3 | Amount rounds to less than $0.01 per share. |
4 | Not annualized. |
5 | Annualized. |
6 | The ratio of operating expenses excluding interest expense was 0.94% for the period ended April 30, 2022 and 0.92% for the year ended October 31, 2021. |
7 | Portfolio turnover is calculated at the fund level. |
38 |
Small Cap Equity Portfolio Institutional Shares | |||||||||||
For the Period Ended April 30, 20221,2 | For The Year Ended October 31, | ||||||||||
2021 2 | 2020 2 | 2019 2 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 39.29 | $ 24.61 | $ 25.07 | $ 30.25 | $ 33.54 | $ 26.67 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.09 | 0.08 | 0.07 | 0.10 | 0.09 | 0.05 | |||||
Net realized and unrealized gain (loss) on investments | (1.71) | 14.68 | (0.44) | (1.06) | (0.10) | 7.37 | |||||
Total from investment operations | (1.62) | 14.76 | (0.37) | (0.96) | (0.01) | 7.42 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.09) | (0.08) | (0.09) | (0.12) | (0.07) | (0.03) | |||||
Net realized capital gains | (1.56) | — | — | (4.09) | (3.21) | (0.52) | |||||
Net return of capital | — | — | (0.00) 3 | (0.01) | — | — | |||||
Total distributions | (1.65) | (0.08) | (0.09) | (4.22) | (3.28) | (0.55) | |||||
Net asset value, end of period | $ 36.02 | $ 39.29 | $ 24.61 | $ 25.07 | $ 30.25 | $ 33.54 | |||||
Total return | (4.28)% 4 | 60.04% | (1.44)% | (2.38)% | (0.36)% | 28.10% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $927,200 | $944,442 | $836,015 | $1,279,693 | $2,131,461 | $1,879,657 | |||||
Ratio of operating expenses to average net assets | 0.74% 5,6 | 0.72% 6 | 0.74% | 0.73% | 0.70% | 0.70% | |||||
Ratio of net investment income to average net assets | 0.47% 5 | 0.22% | 0.29% | 0.39% | 0.27% | 0.16% | |||||
Portfolio turnover rate7 | 15% 4 | 41% | 36% | 54% | 44% | 63% |
1 | Unaudited. |
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 | Not annualized. |
5 | Annualized. |
6 | The ratio of operating expenses excluding interest expense was 0.74% for the period ended April 30, 2022 and 0.72% for the year ended October 31, 2021. |
7 | Portfolio turnover is calculated at the fund level. |
39 |
Equity Income Portfolio | |||||||||||
For the Period Ended April 30, 20222,3 | For The Year Ended October 31, | For the Period December 21, 20161 through October 31, 20173 | |||||||||
2021 3 | 2020 3 | 2019 3 | 2018 | ||||||||
Net asset value, beginning of period | $ 15.92 | $ 11.88 | $ 12.22 | $ 11.15 | $ 11.06 | $ 10.00 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.11 | 0.22 | 0.26 | 0.25 | 0.22 | 0.16 | |||||
Net realized and unrealized gain (loss) on investments | (0.83) | 4.05 | (0.32) | 1.33 | 0.09 | 1.01 | |||||
Total from investment operations | (0.72) | 4.27 | (0.06) | 1.58 | 0.31 | 1.17 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.11) | (0.23) | (0.28) | (0.25) | (0.22) | (0.11) | |||||
Net realized capital gains | (0.71) | — | — | (0.26) | (0.00) 4 | — | |||||
Total distributions | (0.82) | (0.23) | (0.28) | (0.51) | (0.22) | (0.11) | |||||
Net asset value, end of period | $ 14.38 | $ 15.92 | $ 11.88 | $ 12.22 | $ 11.15 | $ 11.06 | |||||
Total return5 | (4.84)% 6 | 36.12% | (0.38)% | 14.69% | 2.79% | 11.77% 6 | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $21,447 | $22,296 | $18,560 | $23,900 | $18,536 | $12,970 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 0.99% 7 | 1.10% | 1.04% 8 | 1.01% | 1.11% | 2.08% 7 | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% 7 | 0.85% | 0.85% 8 | 0.85% | 0.85% | 0.85% 7 | |||||
Ratio of net investment income to average net assets | 1.45% 7 | 1.53% | 2.21% 8 | 2.19% | 2.02% | 1.82% 7 | |||||
Portfolio turnover rate | 11% 6 | 27% | 63% | 39% | 29% | 14% 9 |
1 | Commencement of operations. |
2 | Unaudited. |
3 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
4 | Amount rounds to less than $0.01 per share. |
5 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
6 | Not annualized. |
7 | Annualized. |
8 | This ratio does not include the expenses for any exchange-traded funds held in the Portfolio. |
9 | Calculations represent portfolio turnover for the Portfolio for the period of December 21, 2016 through October 31, 2017. |
40 |
Secured Options Portfolio Advisor Shares | |||||||||||
For the Period Ended April 30, 20221,2 | For The Year Ended October 31, | ||||||||||
2021 2 | 2020 2 | 2019 2 | 2018 | 2017 2 | |||||||
Net asset value, beginning of period | $ 14.83 | $ 11.67 | $ 13.01 | $ 12.30 | $ 12.75 | $ 12.45 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | (0.05) | (0.11) | (0.07) | (0.04) | (0.06) | (0.08) | |||||
Net realized and unrealized gain (loss) on investments | (0.27) | 3.27 | (0.34) | 1.04 | 0.40 | 0.99 | |||||
Total from investment operations | (0.32) | 3.16 | (0.41) | 1.00 | 0.34 | 0.91 | |||||
Distributions to shareholders from: | |||||||||||
Net realized capital gains | (1.78) | — | (0.93) | (0.29) | (0.79) | (0.61) | |||||
Total distributions | (1.78) | — | (0.93) | (0.29) | (0.79) | (0.61) | |||||
Net asset value, end of period | $ 12.73 | $ 14.83 | $ 11.67 | $ 13.01 | $ 12.30 | $ 12.75 | |||||
Total return | (2.49)% 3 | 27.08% | (3.50)% | 8.43% | 2.81% | 7.53% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $84,780 | $90,143 | $95,701 | $268,478 | $445,946 | $446,859 | |||||
Ratio of operating expenses to average net assets4 | 0.86% 5 | 0.86% | 0.88% | 0.87% 6 | 0.84% | 0.85% | |||||
Ratio of net investment income (loss) to average net assets4 | (0.74)% 5 | (0.77)% | (0.59)% | (0.34)% | (0.50)% | (0.68)% | |||||
Portfolio turnover rate7,8 | —% 3 | —% | —% | —% | —% | —% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Not annualized. |
4 | This ratio does not include the expenses for any exchange-traded funds held in the Portfolio. |
5 | Annualized. |
6 | The ratio of operating expenses excluding interest expense was 0.86% for the year ended October 31, 2019. |
7 | Portfolio turnover is calculated at the fund level. |
8 | All trading activity in the Portfolio during the period was short term and is excluded for portfolio turnover calculations resulting in zero portfolio turnover percentage. |
41 |
Secured Options Portfolio Institutional Shares | |||||||||||
For the Period Ended April 30, 20222,3 | For The Year Ended October 31, | For the Period November 9, 20161 through October 31, 20173 | |||||||||
2021 3 | 2020 3 | 2019 3 | 2018 3 | ||||||||
Net asset value, beginning of period | $ 14.99 | $ 11.77 | $ 13.09 | $ 12.34 | $ 12.77 | $ 12.61 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | (0.04) | (0.08) | (0.05) | (0.02) | (0.04) | (0.06) | |||||
Net realized and unrealized gain (loss) on investments | (0.27) | 3.30 | (0.34) | 1.06 | 0.40 | 0.83 | |||||
Total from investment operations | (0.31) | 3.22 | (0.39) | 1.04 | 0.36 | 0.77 | |||||
Distributions to shareholders from: | |||||||||||
Net realized capital gains | (1.78) | — | (0.93) | (0.29) | (0.79) | (0.61) | |||||
Total distributions | (1.78) | — | (0.93) | (0.29) | (0.79) | (0.61) | |||||
Net asset value, end of period | $ 12.90 | $ 14.99 | $ 11.77 | $ 13.09 | $ 12.34 | $ 12.77 | |||||
Total return | (2.38)% 4 | 27.36% | (3.31)% | 8.73% | 2.97% | 6.34% 4 | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $396,112 | $341,245 | $354,674 | $409,829 | $396,523 | $365,523 | |||||
Ratio of operating expenses to average net assets5 | 0.66% 6 | 0.66% | 0.68% | 0.67% 7 | 0.64% | 0.65% 6 | |||||
Ratio of net investment income (loss) to average net assets5 | (0.53)% 6 | (0.57)% | (0.44)% | (0.14)% | (0.30)% | (0.45)% 6 | |||||
Portfolio turnover rate8,9 | —% 4 | —% | —% | —% | —% | —% |
1 | Class commenced operations on November 9, 2016. |
2 | Unaudited. |
3 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
4 | Not annualized. |
5 | This ratio does not include the expenses for any exchange-traded funds held in the Portfolio. |
6 | Annualized. |
7 | The ratio of operating expenses excluding interest expense was 0.66% for the year ended October 31, 2019. |
8 | Portfolio turnover is calculated at the fund level. |
9 | All trading activity in the Portfolio during the period was short term and is excluded for portfolio turnover calculations resulting in zero portfolio turnover percentage. |
42 |
Global Secured Options Portfolio | |||||||||||
For the Period Ended April 30, 20221,2 | For The Year Ended October 31, | ||||||||||
2021 2 | 2020 2,3 | 2019 2,3 | 2018 2,3 | 2017 2,3 | |||||||
Net asset value, beginning of period | $ 5.64 | $ 4.84 | $ 4.90 | $104.10 | $105.80 | $ 96.00 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | (0.02) | (0.05) | (0.04) | 0.02 | 0.10 | 0.60 | |||||
Net realized and unrealized gain (loss) on investments | (0.21) | 1.07 | (0.02) | (5.71) | (0.90) | 9.90 | |||||
Total from investment operations | (0.23) | 1.02 | (0.06) | (5.69) | (0.80) | 10.50 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | — | (0.00) 4 | (0.01) | (0.90) | (0.70) | |||||
Net realized capital gains | (0.73) | (0.22) | — | (93.50) | — | — | |||||
Total distributions | (0.73) | (0.22) | (0.00) 4 | (93.51) | (0.90) | (0.70) | |||||
Net asset value, end of period | $ 4.68 | $ 5.64 | $ 4.84 | $ 4.90 | $104.10 | $105.80 | |||||
Total return | (4.58)% 5,6 | 21.59% 6 | (1.07)% 6 | 8.56% 6 | (0.76)% | 10.94% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $18,160 | $17,152 | $9,648 | $ 1,220 | $ 2,510 | $10,642 | |||||
Ratio of operating expenses to average net assets7 | —% | —% | —% | —% | 1.17% 8 | 1.13% | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets7 | 1.34% 9 | 1.30% | 2.13% | 9.76% | —% | —% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets7 | 1.00% 8,9 | 1.00% | 1.00% | 1.63% 8 | —% | —% | |||||
Ratio of net investment income to average net assets7 | (0.84)% 9 | (0.96)% | (0.83)% | 0.32% | 0.08% | 0.58% | |||||
Portfolio turnover rate | 200% 5 | —% 10 | 995% | 685% | 224% | 9% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | 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. |
4 | Amount rounds to less than $0.01 per share. |
5 | Not annualized. |
6 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
7 | This ratio does not include the expenses for any exchange-traded funds held in the Portfolio. |
8 | The ratio of operating expenses after waiver/reimbursement excluding interest expense was 1.00% for the period ended April 30, 2022 and the ratio of operating expenses after waiver/reimbursement excluding dividends on securities sold short and interest expense was 1.62% and 1.11%, respectively for the years ended October 31, 2019 and 2018. |
9 | Annualized. |
10 | All trading activity in the Portfolio during the period was short term and is excluded for portfolio turnover calculations resulting in zero portfolio turnover percentage. |
43 |
Core Fixed Income Portfolio | |||||||||||
For the Period Ended April 30, 20221,2 | For The Year Ended October 31, | ||||||||||
2021 2 | 2020 2 | 2019 2 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 11.11 | $ 11.71 | $ 11.31 | $ 10.49 | $ 11.04 | $ 11.26 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.08 | 0.14 | 0.21 | 0.25 | 0.25 | 0.21 | |||||
Net realized and unrealized gain (loss) on investments | (1.15) | (0.36) | 0.44 | 0.83 | (0.50) | (0.13) | |||||
Total from investment operations | (1.07) | (0.22) | 0.65 | 1.08 | (0.25) | 0.08 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.10) | (0.20) | (0.25) | (0.26) | (0.26) | (0.22) | |||||
Net realized capital gains | (0.00) 3 | (0.18) | — | — | (0.04) | (0.08) | |||||
Total distributions | (0.10) | (0.38) | (0.25) | (0.26) | (0.30) | (0.30) | |||||
Net asset value, end of period | $ 9.94 | $ 11.11 | $ 11.71 | $ 11.31 | $ 10.49 | $ 11.04 | |||||
Total return | (9.64)% 4 | (1.91)% | 5.82% | 10.46% | (2.32)% | 0.75% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $371,843 | $424,512 | $436,975 | $505,603 | $485,201 | $488,548 | |||||
Ratio of operating expenses to average net assets | 0.54% 5 | 0.54% | 0.54% | 0.53% | 0.52% | 0.52% | |||||
Ratio of net investment income to average net assets | 1.44% 5 | 1.27% | 1.78% | 2.30% | 2.24% | 1.90% | |||||
Portfolio turnover rate | 12% 4 | 24% | 52% | 36% | 29% | 46% |
1 | Unaudited. |
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 | Not annualized. |
5 | Annualized. |
44 |
Short Term Tax Aware Fixed Income Portfolio | |||||||||||
For the Period Ended April 30, 20221,2 | For The Year Ended October 31, | ||||||||||
2021 1 | 2020 1 | 2019 1 | 2018 | 2017 1 | |||||||
Net asset value, beginning of period | $ 10.09 | $ 10.16 | $ 10.07 | $ 9.90 | $ 9.98 | $ 9.99 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.03 | 0.08 | 0.11 | 0.13 | 0.09 | 0.07 | |||||
Net realized and unrealized gain (loss) on investments | (0.35) | (0.06) | 0.09 | 0.17 | (0.08) | (0.01) | |||||
Total from investment operations | (0.32) | 0.02 | 0.20 | 0.30 | 0.01 | 0.06 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.03) | (0.09) | (0.11) | (0.13) | (0.09) | (0.07) | |||||
Total distributions | (0.03) | (0.09) | (0.11) | (0.13) | (0.09) | (0.07) | |||||
Net asset value, end of period | $ 9.74 | $ 10.09 | $ 10.16 | $ 10.07 | $ 9.90 | $ 9.98 | |||||
Total return3 | (3.16)% 4 | 0.15% | 1.96% | 3.03% | 0.10% | 0.57% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $51,584 | $56,284 | $53,525 | $50,939 | $26,294 | $33,900 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets5 | 0.62% 6 | 0.64% | 0.63% | 0.66% | 0.61% | 0.69% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets5 | 0.55% 6,7 | 0.55% 7 | 0.55% | 0.55% | 0.55% | 0.55% | |||||
Ratio of net investment income to average net assets | 0.66% 6 | 0.77% | 1.08% | 1.33% | 0.92% | 0.69% | |||||
Portfolio turnover rate | 27% 4 | 25% | 59% | 25% | 19% | 31% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Unaudited. |
3 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
4 | Not annualized. |
5 | This ratio does not include the expenses for any exchange-traded funds and registered investment companies held in the Portfolio. |
6 | Annualized. |
7 | The ratio of operating expenses after waiver/reimbursement excluding interest expense was 0.55% for the period ended April 30, 2022 and 0.55% for the year ended October 31, 2021. |
45 |
High Yield Municipal Portfolio | |||||||||||
For the Period Ended April 30, 20221,2 | For The Year Ended October 31, | ||||||||||
2021 2 | 2020 2 | 2019 2 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 11.09 | $ 10.65 | $ 10.84 | $ 10.16 | $ 10.35 | $ 10.39 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.13 | 0.27 | 0.30 | 0.31 | 0.30 | 0.30 | |||||
Net realized and unrealized gain (loss) on investments | (1.05) | 0.44 | (0.19) | 0.68 | (0.19) | (0.01) | |||||
Total from investment operations | (0.92) | 0.71 | 0.11 | 0.99 | 0.11 | 0.29 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.14) | (0.27) | (0.30) | (0.31) | (0.30) | (0.29) | |||||
Net realized capital gains | (0.08) | (0.00) 3 | — | — | — | (0.04) | |||||
Total distributions | (0.22) | (0.27) | (0.30) | (0.31) | (0.30) | (0.33) | |||||
Net asset value, end of period | $ 9.95 | $ 11.09 | $ 10.65 | $ 10.84 | $ 10.16 | $ 10.35 | |||||
Total return | (8.46)% 4,5 | 6.68% 5 | 1.09% 5 | 9.90% 5 | 1.04% | 2.89% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $256,114 | $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 | 1.05% 6 | 1.01% | 1.02% | 1.00% | —% | —% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 1.00% 6 | 1.00% | 1.00% | 1.00% | —% | —% | |||||
Ratio of net investment income to average net assets | 2.44% 6 | 2.40% | 2.85% | 2.95% | 2.90% | 2.92% | |||||
Portfolio turnover rate | 15% 4 | 19% | 28% | 27% | 44% | 43% |
1 | Unaudited. |
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 | Not annualized. |
5 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
6 | Annualized. |
46 |
Shares | Value | ||
COMMON STOCKS* — 99.5% | |||
Aerospace & Defense — 0.7% | |||
35,682 | General Dynamics Corp. | $ 8,439,863 | |
Auto Components — 0.9% | |||
306,913 | BorgWarner, Inc. | 11,303,606 | |
Automobiles — 0.5% | |||
155,989 | General Motors Co.1 | 5,913,543 | |
Banks — 3.5% | |||
405,336 | Citizens Financial Group, Inc. | 15,970,239 | |
302,626 | KeyCorp | 5,843,708 | |
990,292 | Regions Financial Corp. | 20,518,850 | |
42,332,797 | |||
Biotechnology — 1.8% | |||
94,646 | Amgen, Inc. | 22,070,501 | |
Building Products — 1.5% | |||
94,944 | Builders FirstSource, Inc.1 | 5,845,702 | |
311,801 | Carrier Global Corp. | 11,932,624 | |
17,778,326 | |||
Capital Markets — 3.4% | |||
365,013 | Bank of New York Mellon Corp. (The) | 15,352,447 | |
310,157 | Franklin Resources, Inc. | 7,626,760 | |
52,649 | Intercontinental Exchange, Inc. | 6,097,281 | |
123,346 | Raymond James Financial, Inc. | 12,021,301 | |
41,097,789 | |||
Chemicals — 0.7% | |||
145,930 | Corteva, Inc. | 8,418,702 | |
Commercial Services & Supplies — 0.8% | |||
68,288 | Republic Services, Inc., Class A | 9,169,030 | |
Communications Equipment — 3.6% | |||
119,828 | Arista Networks, Inc.1 | 13,848,522 | |
215,908 | Ciena Corp.1 | 11,911,644 | |
240,792 | Cisco Systems, Inc. | 11,793,992 | |
190,715 | Juniper Networks, Inc. | 6,011,337 | |
43,565,495 | |||
Consumer Finance — 2.2% | |||
99,081 | Capital One Financial Corp. | 12,347,474 | |
365,043 | Synchrony Financial | 13,437,233 | |
25,784,707 | |||
Containers & Packaging — 0.5% | |||
141,133 | International Paper Co. | 6,531,635 | |
Diversified Consumer Services — 0.6% | |||
105,624 | Service Corp. International | 6,929,991 | |
Diversified Telecommunication Services — 2.0% | |||
590,490 | AT&T, Inc. | 11,136,641 | |
269,172 | Verizon Communications, Inc. | 12,462,664 | |
23,599,305 | |||
Electric Utilities — 1.0% | |||
118,348 | American Electric Power Co., Inc. | 11,729,470 |
47 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electrical Equipment — 0.5% | |||
51,285 | AMETEK, Inc. | $ 6,475,244 | |
Energy Equipment & Services — 1.8% | |||
691,217 | Baker Hughes Co., Class A | 21,441,551 | |
Entertainment — 0.2% | |||
142,849 | Warner Bros Discovery, Inc.1 | 2,592,709 | |
Equity Real Estate Investment Trusts — 3.6% | |||
24,574 | American Tower Corp. | 5,922,825 | |
56,892 | Crown Castle International Corp. | 10,536,967 | |
45,615 | Extra Space Storage, Inc. | 8,666,850 | |
114,988 | Prologis, Inc. | 18,431,427 | |
43,558,069 | |||
Food & Staples Retailing — 1.1% | |||
297,128 | Walgreens Boots Alliance, Inc. | 12,598,227 | |
Food Products — 2.0% | |||
217,599 | General Mills, Inc. | 15,390,777 | |
92,597 | Tyson Foods, Inc. - Class A | 8,626,337 | |
24,017,114 | |||
Health Care Providers & Services — 6.2% | |||
36,757 | Anthem, Inc. | 18,449,441 | |
63,439 | Cigna Corp. | 15,655,476 | |
107,690 | CVS Health Corp. | 10,352,239 | |
174,729 | DaVita, Inc.1 | 18,935,382 | |
35,672 | McKesson Corp. | 11,044,408 | |
74,436,946 | |||
Hotels, Restaurants & Leisure — 1.0% | |||
67,881 | Expedia Group, Inc.1 | 11,862,205 | |
Household Durables — 1.4% | |||
219,173 | Lennar Corp. - Class A | 16,764,543 | |
Household Products — 1.1% | |||
80,886 | Procter & Gamble Co. (The) | 12,986,247 | |
Independent Power & Renewable Electricity Producer — 0.9% | |||
498,154 | AES Corp. (The) | 10,172,305 | |
Insurance — 2.2% | |||
118,932 | Aflac, Inc. | 6,812,425 | |
167,275 | Fidelity National Financial, Inc. | 6,660,891 | |
188,161 | MetLife, Inc. | 12,358,414 | |
25,831,730 | |||
Interactive Media & Services — 2.9% | |||
8,732 | Alphabet, Inc. - Class A1 | 19,928,083 | |
74,530 | Meta Platforms, Inc. - Class A1 | 14,941,029 | |
34,869,112 | |||
Internet & Direct Marketing Retail — 1.3% | |||
297,530 | eBay, Inc. | 15,447,758 | |
IT Services — 5.7% | |||
117,307 | Akamai Technologies, Inc.1 | 13,171,230 | |
295,041 | Amdocs, Ltd. | 23,511,817 | |
153,973 | Cognizant Technology Solutions Corp. - Class A | 12,456,416 | |
78,578 | GoDaddy, Inc. - Class A1 | 6,349,888 |
48 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
IT Services — (Continued) | |||
196,785 | SS&C Technologies Holdings, Inc. | $ 12,724,118 | |
68,213,469 | |||
Life Sciences Tools & Services — 4.6% | |||
108,355 | Agilent Technologies, Inc. | 12,923,501 | |
28,078 | IQVIA Holdings, Inc.1 | 6,120,723 | |
7,166 | Mettler-Toledo International, Inc.1 | 9,154,780 | |
53,165 | PerkinElmer, Inc. | 7,794,521 | |
22,489 | Thermo Fisher Scientific, Inc. | 12,434,618 | |
24,252 | Waters Corp.1 | 7,348,841 | |
55,776,984 | |||
Machinery — 1.6% | |||
47,398 | Parker-Hannifin Corp. | 12,836,327 | |
31,325 | Snap-on, Inc. | 6,656,249 | |
19,492,576 | |||
Media — 4.7% | |||
444,449 | Comcast Corp. - Class A | 17,671,292 | |
380,341 | Fox Corp. - Class A | 13,631,421 | |
371,645 | Interpublic Group of Cos., Inc. (The) | 12,123,060 | |
176,083 | Omnicom Group, Inc. | 13,405,199 | |
56,830,972 | |||
Metals & Mining — 1.8% | |||
138,865 | Nucor Corp. | 21,493,525 | |
Multi-line Retail — 1.9% | |||
101,274 | Target Corp. | 23,156,300 | |
Multi-Utilities — 0.9% | |||
382,452 | NiSource, Inc. | 11,137,002 | |
Oil, Gas & Consumable Fuels — 2.3% | |||
98,701 | ConocoPhillips | 9,427,920 | |
390,194 | Kinder Morgan, Inc. | 7,082,021 | |
131,201 | Marathon Petroleum Corp. | 11,448,599 | |
27,958,540 | |||
Pharmaceuticals — 1.0% | |||
252,257 | Pfizer, Inc. | 12,378,251 | |
Real Estate Management & Development — 0.6% | |||
86,260 | CBRE Group, Inc. - Class A1 | 7,163,030 | |
Road & Rail — 2.0% | |||
475,161 | CSX Corp. | 16,317,029 | |
150,913 | Knight-Swift Transportation Holdings, Inc. | 7,227,223 | |
23,544,252 | |||
Semiconductors & Semiconductor Equipment — 5.9% | |||
120,971 | Advanced Micro Devices, Inc.1 | 10,345,440 | |
170,821 | Applied Materials, Inc. | 18,850,097 | |
137,210 | Intel Corp. | 5,980,984 | |
173,195 | Micron Technology, Inc. | 11,810,167 | |
57,496 | Qorvo, Inc.1 | 6,541,895 | |
80,230 | Skyworks Solutions, Inc. | 9,090,059 | |
76,840 | Teradyne, Inc. | 8,103,546 | |
70,722,188 |
49 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Software — 8.3% | |||
88,726 | Cadence Design Systems, Inc.1 | $ 13,384,317 | |
573,067 | Dropbox, Inc. - Class A1 | 12,464,207 | |
65,284 | Fortinet, Inc.1 | 18,867,729 | |
79,167 | Microsoft Corp. | 21,970,426 | |
62,022 | Salesforce, Inc.1 | 10,912,151 | |
74,920 | Synopsys, Inc.1 | 21,486,307 | |
99,085,137 | |||
Specialty Retail — 2.3% | |||
181,363 | Best Buy Co., Inc. | 16,309,974 | |
59,053 | Lowe’s Cos., Inc. | 11,676,550 | |
27,986,524 | |||
Technology Hardware, Storage & Peripherals — 4.0% | |||
817,855 | Hewlett Packard Enterprise Co. | 12,603,146 | |
641,344 | HP, Inc. | 23,492,431 | |
159,237 | NetApp, Inc. | 11,664,110 | |
47,759,687 | |||
Textiles, Apparel & Luxury Goods — 1.5% | |||
58,402 | Ralph Lauren Corp. - Class A | 6,093,665 | |
374,989 | Tapestry, Inc. | 12,344,638 | |
18,438,303 | |||
Tobacco — 0.5% | |||
65,571 | Philip Morris International, Inc. | 6,557,100 | |
TOTAL COMMON STOCKS (Cost $924,373,816) | 1,195,412,360 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.2% | |||
$2,159,713 | With Fixed Income Clearing Corp., dated 4/29/22, 0.00%, principal and interest in the amount of $2,159,713, due 5/2/22, (collateralized by a U.S. Treasury Note with a par value of $2,403,400, coupon rate of 1.500%, due 11/30/28, market value of $2,202,961) | 2,159,713 | |
TOTAL REPURCHASE AGREEMENT (Cost $2,159,713) | 2,159,713 | ||
TOTAL INVESTMENTS (Cost $926,533,529) | 99.7% | $1,197,572,073 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.3 | 3,161,886 | |
NET ASSETS | 100.0% | $1,200,733,959 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
50 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 8.3% | $ 99,085,137 | |
Health Care Providers & Services | 6.2 | 74,436,946 | |
Semiconductors & Semiconductor Equipment | 5.9 | 70,722,188 | |
IT Services | 5.7 | 68,213,469 | |
Media | 4.7 | 56,830,972 | |
Life Sciences Tools & Services | 4.6 | 55,776,984 | |
Technology Hardware, Storage & Peripherals | 4.0 | 47,759,687 | |
Communications Equipment | 3.6 | 43,565,495 | |
Equity Real Estate Investment Trusts | 3.6 | 43,558,069 | |
Banks | 3.5 | 42,332,797 | |
Capital Markets | 3.4 | 41,097,789 | |
Interactive Media & Services | 2.9 | 34,869,112 | |
Specialty Retail | 2.3 | 27,986,524 | |
Oil, Gas & Consumable Fuels | 2.3 | 27,958,540 | |
Insurance | 2.2 | 25,831,730 | |
Consumer Finance | 2.2 | 25,784,707 | |
Food Products | 2.0 | 24,017,114 | |
Diversified Telecommunication Services | 2.0 | 23,599,305 | |
Road & Rail | 2.0 | 23,544,252 | |
Multi-line Retail | 1.9 | 23,156,300 | |
Biotechnology | 1.8 | 22,070,501 | |
Metals & Mining | 1.8 | 21,493,525 | |
Energy Equipment & Services | 1.8 | 21,441,551 | |
Machinery | 1.6 | 19,492,576 | |
Textiles, Apparel & Luxury Goods | 1.5 | 18,438,303 | |
Building Products | 1.5 | 17,778,326 | |
Household Durables | 1.4 | 16,764,543 | |
Internet & Direct Marketing Retail | 1.3 | 15,447,758 | |
Household Products | 1.1 | 12,986,247 | |
Food & Staples Retailing | 1.1 | 12,598,227 | |
Pharmaceuticals | 1.0 | 12,378,251 | |
Hotels, Restaurants & Leisure | 1.0 | 11,862,205 | |
Electric Utilities | 1.0 | 11,729,470 | |
Auto Components | 0.9 | 11,303,606 | |
Multi-Utilities | 0.9 | 11,137,002 | |
Independent Power & Renewable Electricity Producer | 0.9 | 10,172,305 | |
Commercial Services & Supplies | 0.8 | 9,169,030 | |
Aerospace & Defense | 0.7 | 8,439,863 | |
Chemicals | 0.7 | 8,418,702 | |
Real Estate Management & Development | 0.6 | 7,163,030 | |
Diversified Consumer Services | 0.6 | 6,929,991 | |
Tobacco | 0.5 | 6,557,100 | |
Containers & Packaging | 0.5 | 6,531,635 | |
Electrical Equipment | 0.5 | 6,475,244 | |
Automobiles | 0.5 | 5,913,543 | |
Entertainment | 0.2 | 2,592,709 | |
TOTAL COMMON STOCKS | 99.5% | $1,195,412,360 | |
REPURCHASE AGREEMENT | 0.2 | 2,159,713 | |
TOTAL INVESTMENTS | 99.7% | $1,197,572,073 |
51 |
Shares | Value | ||
COMMON STOCKS* — 99.7% | |||
Aerospace & Defense — 1.5% | |||
34,636 | Lockheed Martin Corp. | $ 14,966,908 | |
49,207 | Northrop Grumman Corp. | 21,621,556 | |
36,588,464 | |||
Air Freight & Logistics — 0.8% | |||
190,246 | Expeditors International of Washington, Inc. | 18,847,671 | |
Auto Components — 0.5% | |||
307,642 | BorgWarner, Inc. | 11,330,455 | |
Beverages — 1.9% | |||
415,219 | Coca-Cola Co. (The) | 26,827,299 | |
231,644 | Monster Beverage Corp.1 | 19,847,258 | |
46,674,557 | |||
Biotechnology — 4.4% | |||
79,627 | Amgen, Inc. | 18,568,220 | |
79,582 | Regeneron Pharmaceuticals, Inc.1 | 52,453,292 | |
136,576 | Vertex Pharmaceuticals, Inc.1 | 37,315,295 | |
108,336,807 | |||
Building Products — 0.6% | |||
211,532 | Fortune Brands Home & Security, Inc. | 15,071,655 | |
Capital Markets — 2.6% | |||
331,570 | Intercontinental Exchange, Inc. | 38,399,122 | |
261,055 | Raymond James Financial, Inc. | 25,442,420 | |
63,841,542 | |||
Chemicals — 0.6% | |||
112,981 | Westlake Corp. | 14,297,746 | |
Communications Equipment — 2.3% | |||
494,365 | Arista Networks, Inc.1 | 57,133,763 | |
Containers & Packaging — 0.7% | |||
99,920 | Avery Dennison Corp. | 18,045,552 | |
Electronic Equipment, Instruments & Components — 6.9% | |||
788,481 | Amphenol Corp. - Class A | 56,376,392 | |
299,147 | CDW Corp. | 48,814,807 | |
229,226 | Jabil, Inc. | 13,233,217 | |
353,388 | Keysight Technologies, Inc.1 | 49,569,735 | |
167,994,151 | |||
Entertainment — 3.2% | |||
317,029 | Electronic Arts, Inc. | 37,425,274 | |
341,914 | Take-Two Interactive Software, Inc.1,2 | 40,862,142 | |
78,287,416 | |||
Equity Real Estate Investment Trusts — 1.9% | |||
188,460 | American Tower Corp. | 45,422,629 | |
Food & Staples Retailing — 1.5% | |||
71,273 | Costco Wholesale Corp. | 37,897,280 | |
Health Care Providers & Services — 2.6% | |||
504,518 | Cardinal Health, Inc. | 29,287,270 | |
113,024 | DaVita, Inc.1 | 12,248,411 | |
45,891 | UnitedHealth Group, Inc. | 23,337,868 | |
64,873,549 |
52 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Hotels, Restaurants & Leisure — 3.1% | |||
645,629 | Starbucks Corp. | $ 48,189,748 | |
326,586 | Wyndham Hotels & Resorts, Inc. | 28,726,505 | |
76,916,253 | |||
Household Durables — 1.9% | |||
319,651 | Lennar Corp. - Class A | 24,450,105 | |
326,067 | PulteGroup, Inc. | 13,616,558 | |
277,100 | Tempur Sealy International, Inc. | 7,512,181 | |
45,578,844 | |||
Household Products — 0.5% | |||
134,043 | Church & Dwight Co., Inc. | 13,077,235 | |
Insurance — 0.8% | |||
126,756 | Marsh & McLennan Cos., Inc. | 20,496,445 | |
Interactive Media & Services — 4.6% | |||
28,040 | Alphabet, Inc. - Class A1 | 63,992,607 | |
243,255 | Meta Platforms, Inc. - Class A1 | 48,765,330 | |
112,757,937 | |||
Internet & Direct Marketing Retail — 1.9% | |||
905,304 | eBay, Inc. | 47,003,384 | |
IT Services — 13.8% | |||
153,037 | Accenture PLC - Class A | 45,966,193 | |
263,568 | Automatic Data Processing, Inc. | 57,505,266 | |
208,216 | FleetCor Technologies, Inc.1 | 51,954,056 | |
105,695 | Gartner, Inc.1 | 30,709,682 | |
462,771 | Paychex, Inc. | 58,646,969 | |
606,475 | SS&C Technologies Holdings, Inc. | 39,214,674 | |
259,522 | Visa, Inc. - Class A | 55,311,924 | |
339,308,764 | |||
Life Sciences Tools & Services — 2.0% | |||
87,176 | Agilent Technologies, Inc. | 10,397,481 | |
84,651 | PerkinElmer, Inc. | 12,410,683 | |
46,515 | Thermo Fisher Scientific, Inc. | 25,719,074 | |
48,527,238 | |||
Media — 1.0% | |||
154,075 | Nexstar Media Group, Inc. - Class A | 24,408,561 | |
Multi-line Retail — 2.2% | |||
234,509 | Target Corp. | 53,620,483 | |
Oil, Gas & Consumable Fuels — 0.9% | |||
192,544 | EOG Resources, Inc. | 22,481,437 | |
Personal Products — 0.5% | |||
43,450 | Estee Lauder Cos., Inc. (The) - Class A | 11,473,407 | |
Professional Services — 1.1% | |||
263,005 | Robert Half International, Inc. | 25,856,022 | |
Real Estate Management & Development — 0.9% | |||
259,837 | CBRE Group, Inc. - Class A1 | 21,576,864 | |
Road & Rail — 0.5% | |||
44,938 | Old Dominion Freight Line, Inc. | 12,588,033 |
53 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Semiconductors & Semiconductor Equipment — 8.6% | |||
534,963 | Advanced Micro Devices, Inc.1 | $ 45,750,036 | |
444,561 | Applied Materials, Inc. | 49,057,306 | |
65,501 | KLA Corp. | 20,911,849 | |
361,581 | Micron Technology, Inc. | 24,656,209 | |
64,687 | Monolithic Power Systems, Inc. | 25,372,829 | |
175,988 | NVIDIA Corp. | 32,640,494 | |
107,676 | Skyworks Solutions, Inc. | 12,199,691 | |
210,588,414 | |||
Software — 10.4% | |||
338,814 | Cadence Design Systems, Inc.1 | 51,110,092 | |
1,276,764 | Dropbox, Inc. - Class A1 | 27,769,617 | |
200,413 | Fortinet, Inc.1 | 57,921,361 | |
242,608 | Microsoft Corp. | 67,328,572 | |
174,644 | Synopsys, Inc.1 | 50,086,153 | |
254,215,795 | |||
Specialty Retail — 6.3% | |||
509,348 | Best Buy Co., Inc. | 45,805,665 | |
245,749 | Lowe’s Cos., Inc. | 48,591,950 | |
142,222 | Ross Stores, Inc. | 14,189,489 | |
466,614 | TJX Cos., Inc. (The) | 28,594,106 | |
132,414 | Williams-Sonoma, Inc.2 | 17,277,379 | |
154,458,589 | |||
Technology Hardware, Storage & Peripherals — 4.3% | |||
309,556 | Apple, Inc. | 48,801,504 | |
1,514,210 | HP, Inc. | 55,465,512 | |
104,267,016 | |||
Textiles, Apparel & Luxury Goods — 1.6% | |||
104,195 | NIKE, Inc. - Class B | 12,993,117 | |
776,294 | Tapestry, Inc. | 25,555,598 | |
38,548,715 | |||
Tobacco — 0.8% | |||
340,045 | Altria Group, Inc. | 18,896,301 | |
TOTAL COMMON STOCKS (Cost $1,974,095,782) | 2,441,288,974 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.4% | |||
$10,644,361 | With Fixed Income Clearing Corp., dated 4/29/22, 0.00%, principal and interest in the amount of $10,644,361, due 5/2/22, (collateralized by a U.S. Treasury Note with a par value of $10,810,200, coupon rate of 2.875%, due 08/15/28, market value of $10,857,253) | 10,644,361 | |
TOTAL REPURCHASE AGREEMENT (Cost $10,644,361) | 10,644,361 |
54 |
Shares | Value | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.0% | |||
199,586 | State Street Navigator Securities Lending Government Money Market Portfolio3 | $ 199,586 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $199,586) | 199,586 | ||
TOTAL INVESTMENTS (Cost $1,984,939,729) | 100.1% | $2,452,132,921 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.1) | (2,038,961) | |
NET ASSETS | 100.0% | $2,450,093,960 |
* | 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. |
55 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
IT Services | 13.8% | $ 339,308,764 | |
Software | 10.4 | 254,215,795 | |
Semiconductors & Semiconductor Equipment | 8.6 | 210,588,414 | |
Electronic Equipment, Instruments & Components | 6.9 | 167,994,151 | |
Specialty Retail | 6.3 | 154,458,589 | |
Interactive Media & Services | 4.6 | 112,757,937 | |
Biotechnology | 4.4 | 108,336,807 | |
Technology Hardware, Storage & Peripherals | 4.3 | 104,267,016 | |
Entertainment | 3.2 | 78,287,416 | |
Hotels, Restaurants & Leisure | 3.1 | 76,916,253 | |
Health Care Providers & Services | 2.6 | 64,873,549 | |
Capital Markets | 2.6 | 63,841,542 | |
Communications Equipment | 2.3 | 57,133,763 | |
Multi-line Retail | 2.2 | 53,620,483 | |
Life Sciences Tools & Services | 2.0 | 48,527,238 | |
Internet & Direct Marketing Retail | 1.9 | 47,003,384 | |
Beverages | 1.9 | 46,674,557 | |
Household Durables | 1.9 | 45,578,844 | |
Equity Real Estate Investment Trusts | 1.9 | 45,422,629 | |
Textiles, Apparel & Luxury Goods | 1.6 | 38,548,715 | |
Food & Staples Retailing | 1.5 | 37,897,280 | |
Aerospace & Defense | 1.5 | 36,588,464 | |
Professional Services | 1.1 | 25,856,022 | |
Media | 1.0 | 24,408,561 | |
Oil, Gas & Consumable Fuels | 0.9 | 22,481,437 | |
Real Estate Management & Development | 0.9 | 21,576,864 | |
Insurance | 0.8 | 20,496,445 | |
Tobacco | 0.8 | 18,896,301 | |
Air Freight & Logistics | 0.8 | 18,847,671 | |
Containers & Packaging | 0.7 | 18,045,552 | |
Building Products | 0.6 | 15,071,655 | |
Chemicals | 0.6 | 14,297,746 | |
Household Products | 0.5 | 13,077,235 | |
Road & Rail | 0.5 | 12,588,033 | |
Personal Products | 0.5 | 11,473,407 | |
Auto Components | 0.5 | 11,330,455 | |
TOTAL COMMON STOCKS | 99.7% | $2,441,288,974 | |
REPURCHASE AGREEMENT | 0.4 | 10,644,361 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 0.0 | 199,586 | |
TOTAL INVESTMENTS | 100.1% | $2,452,132,921 |
56 |
Shares | Value | ||
COMMON STOCKS* — 99.7% | |||
Aerospace & Defense — 2.2% | |||
224 | General Dynamics Corp. | $ 52,983 | |
Automobiles — 0.4% | |||
772 | Ford Motor Co. | 10,931 | |
Banks — 5.9% | |||
477 | Citizens Financial Group, Inc. | 18,794 | |
324 | Fifth Third Bancorp | 12,160 | |
2,497 | KeyCorp | 48,217 | |
2,276 | Regions Financial Corp. | 47,159 | |
428 | Wells Fargo & Co. | 18,673 | |
145,003 | |||
Biotechnology — 0.9% | |||
81 | Vertex Pharmaceuticals, Inc.1 | 22,131 | |
Building Products — 0.6% | |||
192 | Fortune Brands Home & Security, Inc. | 13,680 | |
Capital Markets — 5.6% | |||
108 | CME Group, Inc. | 23,688 | |
739 | Franklin Resources, Inc. | 18,172 | |
369 | Intercontinental Exchange, Inc. | 42,734 | |
322 | Jefferies Financial Group, Inc. | 9,905 | |
278 | Nasdaq, Inc. | 43,749 | |
138,248 | |||
Chemicals — 0.5% | |||
116 | Eastman Chemical Co. | 11,910 | |
Communications Equipment — 0.7% | |||
349 | Cisco Systems, Inc. | 17,094 | |
Consumer Finance — 3.4% | |||
1,198 | Ally Financial, Inc. | 47,872 | |
939 | Synchrony Financial | 34,565 | |
82,437 | |||
Containers & Packaging — 1.0% | |||
542 | International Paper Co. | 25,084 | |
Diversified Financial Services — 0.5% | |||
459 | Equitable Holdings, Inc. | 13,233 | |
Diversified Telecommunication Services — 3.6% | |||
1,677 | AT&T, Inc. | 31,628 | |
3,070 | Lumen Technologies, Inc. | 30,884 | |
580 | Verizon Communications, Inc. | 26,854 | |
89,366 | |||
Electric Utilities — 1.7% | |||
583 | Southern Co. (The) | 42,786 | |
Energy Equipment & Services — 2.5% | |||
1,940 | Baker Hughes Co., Class A | 60,179 | |
Entertainment — 0.3% | |||
405 | Warner Bros Discovery, Inc.1 | 7,351 | |
Equity Real Estate Investment Trusts — 3.6% | |||
334 | American Homes 4 Rent - Class A | 13,230 | |
64 | Extra Space Storage, Inc. | 12,160 | |
312 | Prologis, Inc. | 50,011 |
57 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Equity Real Estate Investment Trusts — (Continued) | |||
456 | VICI Properties, Inc. | $ 13,593 | |
88,994 | |||
Food & Staples Retailing — 1.7% | |||
290 | Kroger Co. (The) | 15,648 | |
600 | Walgreens Boots Alliance, Inc. | 25,440 | |
41,088 | |||
Food Products — 3.4% | |||
394 | Archer-Daniels-Midland Co. | 35,287 | |
380 | General Mills, Inc. | 26,877 | |
232 | Tyson Foods, Inc. - Class A | 21,613 | |
83,777 | |||
Health Care Providers & Services — 8.2% | |||
96 | Anthem, Inc. | 48,185 | |
160 | Centene Corp.1 | 12,888 | |
109 | Cigna Corp. | 26,899 | |
406 | CVS Health Corp. | 39,029 | |
120 | McKesson Corp. | 37,153 | |
281 | Quest Diagnostics, Inc. | 37,609 | |
201,763 | |||
Household Durables — 1.1% | |||
161 | DR Horton, Inc. | 11,204 | |
360 | PulteGroup, Inc. | 15,034 | |
26,238 | |||
Household Products — 2.2% | |||
333 | Procter & Gamble Co. (The) | 53,463 | |
Independent Power & Renewable Electricity Producer — 1.1% | |||
1,300 | AES Corp. (The) | 26,546 | |
Insurance — 4.4% | |||
432 | American International Group, Inc. | 25,276 | |
1,014 | Fidelity National Financial, Inc. | 40,378 | |
259 | MetLife, Inc. | 17,011 | |
236 | Prudential Financial, Inc. | 25,608 | |
108,273 | |||
Interactive Media & Service — 0.7% | |||
7 | Alphabet, Inc. - Class A1 | 15,975 | |
IT Services — 3.1% | |||
217 | Amdocs, Ltd. | 17,293 | |
355 | Cognizant Technology Solutions Corp. - Class A | 28,719 | |
137 | Fidelity National Information Services, Inc. | 13,584 | |
271 | SS&C Technologies Holdings, Inc. | 17,523 | |
77,119 | |||
Life Sciences Tools & Services — 2.8% | |||
124 | Agilent Technologies, Inc. | 14,789 | |
243 | PerkinElmer, Inc. | 35,626 | |
31 | Thermo Fisher Scientific, Inc. | 17,141 | |
67,556 | |||
Machinery — 4.0% | |||
189 | Cummins, Inc. | 35,757 | |
103 | Parker-Hannifin Corp. | 27,895 |
58 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Machinery — (Continued) | |||
156 | Snap-on, Inc. | $ 33,148 | |
96,800 | |||
Media — 3.5% | |||
413 | Fox Corp. - Class A | 14,802 | |
746 | Fox Corp. - Class B | 24,797 | |
1,422 | Interpublic Group of Cos., Inc. (The) | 46,386 | |
85,985 | |||
Metals & Mining — 3.5% | |||
380 | Nucor Corp. | 58,817 | |
137 | Reliance Steel & Aluminum Co. | 27,160 | |
85,977 | |||
Multi-Utilities — 2.6% | |||
399 | Sempra Energy | 64,383 | |
Oil, Gas & Consumable Fuels — 4.1% | |||
522 | ConocoPhillips | 49,862 | |
2,116 | Kinder Morgan, Inc. | 38,405 | |
151 | Phillips 66 | 13,101 | |
101,368 | |||
Pharmaceuticals — 6.1% | |||
817 | Bristol-Myers Squibb Co. | 61,496 | |
521 | Elanco Animal Health, Inc.1 | 13,186 | |
167 | Merck & Co., Inc. | 14,811 | |
1,202 | Pfizer, Inc. | 58,982 | |
148,475 | |||
Professional Services — 1.2% | |||
144 | Leidos Holdings, Inc. | 14,906 | |
140 | Robert Half International, Inc. | 13,763 | |
28,669 | |||
Real Estate Management & Development — 2.6% | |||
438 | CBRE Group, Inc. - Class A1 | 36,372 | |
128 | Jones Lang LaSalle, Inc.1 | 27,997 | |
64,369 | |||
Road & Rail — 1.2% | |||
866 | CSX Corp. | 29,738 | |
Semiconductors & Semiconductor Equipment — 3.1% | |||
116 | Applied Materials, Inc. | 12,801 | |
645 | Intel Corp. | 28,115 | |
505 | Micron Technology, Inc. | 34,436 | |
75,352 | |||
Software — 1.0% | |||
225 | VMware, Inc. - Class A | 24,309 | |
Specialty Retail — 0.6% | |||
151 | Best Buy Co., Inc. | 13,579 | |
Technology Hardware, Storage & Peripherals — 2.3% | |||
2,388 | Hewlett Packard Enterprise Co. | 36,799 | |
544 | HP, Inc. | 19,927 | |
56,726 |
59 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Textiles, Apparel & Luxury Goods — 1.4% | |||
113 | Ralph Lauren Corp. - Class A | $ 11,790 | |
718 | Tapestry, Inc. | 23,637 | |
35,427 | |||
Thrifts & Mortgage Finance — 0.4% | |||
1,101 | New York Community Bancorp, Inc. | 10,173 | |
TOTAL COMMON STOCKS (Cost $2,062,911) | 2,444,538 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.3% | |||
$6,097 | With Fixed Income Clearing Corp., dated 4/29/22, 0.00%, principal and interest in the amount of $6,097, due 5/2/22, (collateralized by a U.S. Treasury Note with a par value of $6,200, coupon rate of 2.875%, due 08/15/28, market value of $6,227) | 6,097 | |
TOTAL REPURCHASE AGREEMENT (Cost $6,097) | 6,097 | ||
TOTAL INVESTMENTS (Cost $2,069,008) | 100.0% | $2,450,635 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.0 | 208 | |
NET ASSETS | 100.0% | $2,450,843 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
60 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Health Care Providers & Services | 8.2% | $ 201,763 | |
Pharmaceuticals | 6.1 | 148,475 | |
Banks | 5.9 | 145,003 | |
Capital Markets | 5.6 | 138,248 | |
Insurance | 4.4 | 108,273 | |
Oil, Gas & Consumable Fuels | 4.1 | 101,368 | |
Machinery | 4.0 | 96,800 | |
Diversified Telecommunication Services | 3.6 | 89,366 | |
Equity Real Estate Investment Trusts | 3.6 | 88,994 | |
Media | 3.5 | 85,985 | |
Metals & Mining | 3.5 | 85,977 | |
Food Products | 3.4 | 83,777 | |
Consumer Finance | 3.4 | 82,437 | |
IT Services | 3.1 | 77,119 | |
Semiconductors & Semiconductor Equipment | 3.1 | 75,352 | |
Life Sciences Tools & Services | 2.8 | 67,556 | |
Multi-Utilities | 2.6 | 64,383 | |
Real Estate Management & Development | 2.6 | 64,369 | |
Energy Equipment & Services | 2.5 | 60,179 | |
Technology Hardware, Storage & Peripherals | 2.3 | 56,726 | |
Household Products | 2.2 | 53,463 | |
Aerospace & Defense | 2.2 | 52,983 | |
Electric Utilities | 1.7 | 42,786 | |
Food & Staples Retailing | 1.7 | 41,088 | |
Textiles, Apparel & Luxury Goods | 1.4 | 35,427 | |
Road & Rail | 1.2 | 29,738 | |
Professional Services | 1.2 | 28,669 | |
Independent Power & Renewable Electricity Producer | 1.1 | 26,546 | |
Household Durables | 1.1 | 26,238 | |
Containers & Packaging | 1.0 | 25,084 | |
Software | 1.0 | 24,309 | |
Biotechnology | 0.9 | 22,131 | |
Communications Equipment | 0.7 | 17,094 | |
Interactive Media & Service | 0.7 | 15,975 | |
Building Products | 0.6 | 13,680 | |
Specialty Retail | 0.6 | 13,579 | |
Diversified Financial Services | 0.5 | 13,233 | |
Chemicals | 0.5 | 11,910 | |
Automobiles | 0.4 | 10,931 | |
Thrifts & Mortgage Finance | 0.4 | 10,173 | |
Entertainment | 0.3 | 7,351 | |
TOTAL COMMON STOCKS | 99.7% | $2,444,538 | |
REPURCHASE AGREEMENT | 0.3 | 6,097 | |
TOTAL INVESTMENTS | 100.0% | $2,450,635 |
61 |
Shares | Value | ||
COMMON STOCKS* — 99.2% | |||
Air Freight & Logistics — 0.9% | |||
180 | Atlas Air Worldwide Holdings, Inc.1 | $ 12,409 | |
Automobiles — 0.7% | |||
176 | Winnebago Industries, Inc. | 9,360 | |
Banks — 8.7% | |||
149 | Ameris Bancorp | 6,213 | |
281 | BankUnited, Inc. | 10,549 | |
702 | Brookline Bancorp, Inc. | 10,151 | |
122 | Camden National Corp. | 5,460 | |
519 | Central Pacific Financial Corp. | 12,549 | |
333 | Eastern Bankshares, Inc. | 6,380 | |
337 | Financial Institutions, Inc. | 9,382 | |
1,455 | First BanCorp | 19,803 | |
211 | First Financial Corp. | 8,993 | |
334 | Hanmi Financial Corp. | 7,732 | |
268 | Heartland Financial USA, Inc. | 11,730 | |
853 | Hope Bancorp, Inc. | 12,198 | |
354 | Lakeland Bancorp, Inc. | 5,321 | |
126,461 | |||
Biotechnology — 6.2% | |||
720 | Alector, Inc.1 | 6,912 | |
375 | AnaptysBio, Inc.1 | 8,775 | |
814 | Atara Biotherapeutics, Inc.1 | 5,177 | |
2,600 | Catalyst Pharmaceuticals, Inc.1 | 19,812 | |
862 | Intercept Pharmaceuticals, Inc.1,2 | 13,542 | |
175 | iTeos Therapeutics, Inc.1 | 4,671 | |
279 | Prothena Corp. PLC1 | 8,136 | |
664 | uniQure N.V.1 | 9,920 | |
621 | Vanda Pharmaceuticals, Inc.1 | 6,160 | |
3,084 | Viking Therapeutics, Inc.1,2 | 7,340 | |
90,445 | |||
Building Products — 1.6% | |||
263 | Griffon Corp. | 4,921 | |
337 | Quanex Building Products Corp. | 6,477 | |
504 | Resideo Technologies, Inc.1 | 11,335 | |
22,733 | |||
Capital Markets — 1.0% | |||
471 | Donnelley Financial Solutions, Inc.1 | 13,786 | |
Chemicals — 2.0% | |||
148 | Minerals Technologies, Inc. | 9,414 | |
218 | Trinseo PLC | 10,344 | |
557 | Tronox Holdings PLC | 9,581 | |
29,339 | |||
Commercial Services & Supplies — 1.7% | |||
278 | ABM Industries, Inc. | 13,419 | |
727 | ACCO Brands Corp. | 5,329 | |
859 | GEO Group, Inc. (The)1,2 | 5,609 | |
24,357 | |||
Communications Equipment — 1.4% | |||
1,347 | Harmonic, Inc.1 | 11,180 | |
281 | NetScout Systems, Inc.1 | 8,655 | |
19,835 |
62 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Construction & Engineering — 0.8% | |||
135 | Comfort Systems USA, Inc. | $ 11,397 | |
Consumer Finance — 0.9% | |||
1,789 | EZCORP, Inc. - Class A1 | 12,523 | |
Diversified Consumer Services — 1.4% | |||
541 | Laureate Education, Inc. | 6,130 | |
375 | Stride, Inc.1 | 14,737 | |
20,867 | |||
Diversified Telecommunication Services — 1.5% | |||
480 | EchoStar Corp. - Class A1 | 11,208 | |
1,164 | Liberty Latin America, Ltd. - Class C1 | 10,755 | |
21,963 | |||
Electric Utilities — 0.4% | |||
101 | Otter Tail Corp. | 5,854 | |
Electronic Equipment, Instruments & Components — 2.3% | |||
649 | Knowles Corp.1 | 12,019 | |
230 | Sanmina Corp.1 | 9,405 | |
528 | TTM Technologies, Inc.1 | 7,366 | |
252 | Vishay Intertechnology, Inc. | 4,695 | |
33,485 | |||
Energy Equipment & Services — 2.3% | |||
895 | Oceaneering International, Inc.1 | 10,141 | |
1,254 | US Silica Holdings, Inc.1 | 23,299 | |
33,440 | |||
Equity Real Estate Investment Trusts — 7.7% | |||
153 | Centerspace REIT | 14,116 | |
822 | City Office REIT, Inc. | 12,199 | |
82 | EastGroup Properties, Inc. | 15,375 | |
343 | Essential Properties Realty Trust, Inc. REIT | 8,232 | |
297 | Kite Realty Group Trust | 6,623 | |
331 | National Storage Affiliates Trust | 18,735 | |
464 | Outfront Media, Inc. | 11,878 | |
1,367 | Paramount Group, Inc. REIT | 13,000 | |
322 | STAG Industrial, Inc. | 12,017 | |
112,175 | |||
Food & Staples Retailing — 1.2% | |||
265 | SpartanNash Co. | 9,084 | |
289 | Sprouts Farmers Market, Inc.1 | 8,612 | |
17,696 | |||
Gas Utilities — 2.0% | |||
267 | Northwest Natural Holding Co. | 12,771 | |
177 | Southwest Gas Holdings, Inc. | 15,595 | |
28,366 | |||
Health Care Equipment & Supplies — 1.5% | |||
1,500 | Accuray, Inc.1 | 3,990 | |
363 | Meridian Bioscience, Inc.1 | 9,289 | |
439 | Varex Imaging Corp.1 | 8,714 | |
21,993 | |||
Health Care Providers & Services — 3.8% | |||
2,338 | Brookdale Senior Living, Inc.1 | 14,449 |
63 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Health Care Providers & Services — (Continued) | |||
369 | Covetrus, Inc.1 | $ 5,092 | |
310 | Owens & Minor, Inc. | 11,002 | |
615 | Select Medical Holdings Corp. | 13,905 | |
150 | Tenet Healthcare Corp.1 | 10,877 | |
55,325 | |||
Health Care Technology — 1.0% | |||
730 | Allscripts Healthcare Solutions, Inc.1 | 15,082 | |
Hotels, Restaurants & Leisure — 1.4% | |||
270 | Everi Holdings, Inc.1 | 4,687 | |
687 | International Game Technology PLC2 | 14,997 | |
19,684 | |||
Household Durables — 3.9% | |||
199 | Century Communities, Inc. | 10,491 | |
126 | Meritage Homes Corp.1 | 10,401 | |
208 | Skyline Champion Corp.1 | 10,616 | |
476 | Taylor Morrison Home Corp.1 | 12,467 | |
629 | Tri Pointe Homes, Inc.1 | 13,002 | |
56,977 | |||
Household Products — 0.4% | |||
135 | Central Garden & Pet Co.1 | 5,912 | |
Insurance — 2.3% | |||
534 | CNO Financial Group, Inc. | 12,891 | |
2,683 | Genworth Financial, Inc. - Class A1 | 9,954 | |
209 | Stewart Information Services Corp. | 10,784 | |
33,629 | |||
Interactive Media & Service — 0.8% | |||
367 | Yelp, Inc.1 | 11,938 | |
IT Services — 4.8% | |||
1,611 | Conduent, Inc.1 | 9,070 | |
122 | CSG Systems International, Inc. | 7,499 | |
231 | EVERTEC, Inc. | 9,101 | |
120 | ExlService Holdings, Inc.1 | 16,338 | |
710 | Hackett Group, Inc. (The) | 16,678 | |
758 | Verra Mobility Corp.1 | 10,635 | |
69,321 | |||
Leisure Equipment & Products — 1.1% | |||
453 | Vista Outdoor, Inc.1 | 15,959 | |
Machinery — 1.1% | |||
173 | Altra Industrial Motion Corp. | 6,747 | |
239 | Hillenbrand, Inc. | 9,756 | |
16,503 | |||
Media — 1.4% | |||
544 | EW Scripps Co. (The) - Class A1 | 8,954 | |
628 | Gray Television, Inc. | 11,631 | |
20,585 | |||
Metals & Mining — 2.1% | |||
420 | Commercial Metals Co. | 17,220 | |
203 | Warrior Met Coal, Inc. | 6,916 |
64 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Metals & Mining — (Continued) | |||
116 | Worthington Industries, Inc. | $ 5,518 | |
29,654 | |||
Mortgage Real Estate Investment Trusts — 1.4% | |||
753 | Chimera Investment Corp. | 7,545 | |
849 | Ready Capital Corp. REIT | 12,370 | |
19,915 | |||
Multi-Utilities — 1.0% | |||
274 | Unitil Corp. | 13,974 | |
Oil, Gas & Consumable Fuels — 5.8% | |||
1,043 | Comstock Resources, Inc.1 | 17,762 | |
706 | CVR Energy, Inc. | 17,699 | |
990 | Dorian LPG, Ltd. | 14,573 | |
593 | PBF Energy, Inc. - Class A1 | 17,233 | |
527 | Teekay Tankers, Ltd. - Class A1 | 8,437 | |
363 | World Fuel Services Corp. | 8,792 | |
84,496 | |||
Personal Products — 0.7% | |||
249 | Nu Skin Enterprises, Inc. - Class A | 10,617 | |
Pharmaceuticals — 2.2% | |||
4,553 | Endo International PLC1 | 9,106 | |
227 | Prestige Consumer Healthcare, Inc.1 | 12,408 | |
395 | Supernus Pharmaceuticals, Inc.1 | 11,020 | |
32,534 | |||
Professional Services — 2.1% | |||
314 | Heidrick & Struggles International, Inc. | 10,036 | |
140 | Kforce, Inc. | 9,807 | |
395 | TrueBlue, Inc.1 | 10,100 | |
29,943 | |||
Real Estate Management & Development — 0.6% | |||
752 | Realogy Holdings Corp.1 | 8,242 | |
Semiconductors & Semiconductor Equipment — 3.0% | |||
471 | Amkor Technology, Inc. | 8,859 | |
160 | Diodes, Inc.1 | 11,685 | |
192 | Kulicke & Soffa Industries, Inc. | 8,911 | |
957 | Photronics, Inc.1 | 14,345 | |
43,800 | |||
Software — 3.2% | |||
453 | ACI Worldwide, Inc.1 | 12,512 | |
780 | ChannelAdvisor Corp.1 | 11,318 | |
222 | Progress Software Corp. | 10,652 | |
734 | Xperi Holding Corp. | 11,450 | |
45,932 | |||
Specialty Retail — 2.3% | |||
190 | Abercrombie & Fitch Co. - Class A1 | 6,570 | |
62 | Group 1 Automotive, Inc. | 10,797 | |
239 | MarineMax, Inc.1 | 9,780 | |
88 | Signet Jewelers, Ltd. | 6,177 | |
33,324 |
65 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Thrifts & Mortgage Finance — 0.9% | |||
576 | Provident Financial Services, Inc. | $ 12,747 | |
Tobacco — 0.6% | |||
283 | Turning Point Brands, Inc. | 8,883 | |
Trading Companies & Distributors — 5.1% | |||
194 | Boise Cascade Co. | 14,663 | |
530 | MRC Global, Inc.1 | 6,355 | |
1,707 | NOW, Inc.1 | 18,606 | |
215 | Rush Enterprises, Inc. - Class A | 10,939 | |
185 | WESCO International, Inc.1 | 22,803 | |
73,366 | |||
TOTAL COMMON STOCKS (Cost $1,272,852) | 1,436,826 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.8% | |||
$12,349 | With Fixed Income Clearing Corp., dated 4/29/22, 0.00%, principal and interest in the amount of $12,349, due 5/2/22, (collateralized by a U.S. Treasury Note with a par value of $12,600, coupon rate of 2.875%, due 08/15/28, market value of $12,655) | 12,349 | |
TOTAL REPURCHASE AGREEMENT (Cost $12,349) | 12,349 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 1.7% | |||
24,335 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 24,335 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $24,335) | 24,335 | ||
TOTAL INVESTMENTS (Cost $1,309,536) | 101.7% | $1,473,510 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.7) | (24,575) | |
NET ASSETS | 100.0% | $1,448,935 |
* | 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. |
66 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 8.7% | $ 126,461 | |
Equity Real Estate Investment Trusts | 7.7 | 112,175 | |
Biotechnology | 6.2 | 90,445 | |
Oil, Gas & Consumable Fuels | 5.8 | 84,496 | |
Trading Companies & Distributors | 5.1 | 73,366 | |
IT Services | 4.8 | 69,321 | |
Household Durables | 3.9 | 56,977 | |
Health Care Providers & Services | 3.8 | 55,325 | |
Software | 3.2 | 45,932 | |
Semiconductors & Semiconductor Equipment | 3.0 | 43,800 | |
Insurance | 2.3 | 33,629 | |
Electronic Equipment, Instruments & Components | 2.3 | 33,485 | |
Energy Equipment & Services | 2.3 | 33,440 | |
Specialty Retail | 2.3 | 33,324 | |
Pharmaceuticals | 2.2 | 32,534 | |
Professional Services | 2.1 | 29,943 | |
Metals & Mining | 2.1 | 29,654 | |
Chemicals | 2.0 | 29,339 | |
Gas Utilities | 2.0 | 28,366 | |
Commercial Services & Supplies | 1.7 | 24,357 | |
Building Products | 1.6 | 22,733 | |
Health Care Equipment & Supplies | 1.5 | 21,993 | |
Diversified Telecommunication Services | 1.5 | 21,963 | |
Diversified Consumer Services | 1.4 | 20,867 | |
Media | 1.4 | 20,585 | |
Mortgage Real Estate Investment Trusts | 1.4 | 19,915 | |
Communications Equipment | 1.4 | 19,835 | |
Hotels, Restaurants & Leisure | 1.4 | 19,684 | |
Food & Staples Retailing | 1.2 | 17,696 | |
Machinery | 1.1 | 16,503 | |
Leisure Equipment & Products | 1.1 | 15,959 | |
Health Care Technology | 1.0 | 15,082 | |
Multi-Utilities | 1.0 | 13,974 | |
Capital Markets | 1.0 | 13,786 | |
Thrifts & Mortgage Finance | 0.9 | 12,747 | |
Consumer Finance | 0.9 | 12,523 | |
Air Freight & Logistics | 0.9 | 12,409 | |
Interactive Media & Service | 0.8 | 11,938 | |
Construction & Engineering | 0.8 | 11,397 | |
Personal Products | 0.7 | 10,617 | |
Automobiles | 0.7 | 9,360 | |
Tobacco | 0.6 | 8,883 | |
Real Estate Management & Development | 0.6 | 8,242 | |
Household Products | 0.4 | 5,912 | |
Electric Utilities | 0.4 | 5,854 | |
TOTAL COMMON STOCKS | 99.2% | $1,436,826 | |
REPURCHASE AGREEMENT | 0.8 | 12,349 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 1.7 | 24,335 | |
TOTAL INVESTMENTS | 101.7% | $1,473,510 |
67 |
Shares | Value | ||
COMMON STOCKS* — 97.1% | |||
Japan — 17.3% | |||
30,300 | Astellas Pharma, Inc. | $ 461,825 | |
30,300 | Canon, Inc. | 699,276 | |
12,615 | Daito Trust Construction Co., Ltd., Sponsored ADR1 | 309,067 | |
10,800 | Daiwa House Industry Co, Ltd. | 261,563 | |
59,600 | ENEOS Holdings, Inc. | 209,513 | |
17,600 | Japan Tobacco, Inc. | 301,550 | |
4,800 | KDDI Corp. | 160,339 | |
26,700 | Marubeni Corp. | 292,666 | |
17,151 | Nitto Denko Corp., Unsponsored ADR1 | 575,073 | |
26,000 | Sekisui House, Ltd. | 452,583 | |
8,300 | SoftBank Corp. | 96,895 | |
28,900 | SUMCO Corp. | 422,449 | |
111,200 | Sumitomo Chemical Co, Ltd. | 472,134 | |
8,700 | Suntory Beverage & Food, Ltd. | 343,911 | |
5,058,844 | |||
France — 13.2% | |||
1,600 | Arkema SA | 184,236 | |
4,251 | Capgemini SE | 879,429 | |
8,600 | Cie de Saint-Gobain | 511,058 | |
3,900 | Eiffage SA | 388,555 | |
5,595 | Publicis Groupe SA | 339,863 | |
7,582 | Sanofi | 809,302 | |
4,900 | Sodexo SA | 372,807 | |
7,490 | TotalEnergies SE, Sponsored ADR | 373,152 | |
3,858,402 | |||
Canada — 11.3% | |||
5,900 | Alimentation Couche-Tard, Inc. | 262,656 | |
2,200 | Bank of Montreal | 332,623 | |
10,660 | Bank of Nova Scotia (The)1 | 674,991 | |
5,100 | Canadian Imperial Bank of Commerce | 563,813 | |
1,800 | CGI, Inc.2 | 143,535 | |
8,937 | Manulife Financial Corp. | 174,754 | |
19,456 | Manulife Financial Corp.1 | 380,559 | |
2,500 | Thomson Reuters Corp. | 249,951 | |
7,100 | Toronto-Dominion Bank (The) | 512,832 | |
3,295,714 | |||
Switzerland — 10.5% | |||
24,910 | ABB, Ltd., Sponsored ADR | 744,062 | |
7,862 | Adecco Group AG, Unsponsored ADR | 151,422 | |
3,800 | Cie Financiere Richemont SA | 451,195 | |
1,860 | Roche Holding AG | 692,947 | |
996 | Swisscom AG | 590,586 | |
25,500 | UBS Group AG | 438,173 | |
3,068,385 | |||
Germany — 8.8% | |||
700 | Allianz SE | 159,656 | |
3,600 | Bayerische Motoren Werke AG | 298,167 | |
29,725 | Daimler AG, Unsponsored ADR | 518,850 | |
9,639 | Deutsche Post AG | 416,102 | |
3,500 | GEA Group AG | 137,244 | |
2,600 | HeidelbergCement AG | 151,571 | |
13,900 | Infineon Technologies AG | 402,521 | |
1,400 | LEG Immobilien SE | 144,148 |
68 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Germany — (Continued) | |||
2,800 | Siemens AG | $ 347,906 | |
2,576,165 | |||
United Kingdom — 7.8% | |||
197,700 | Barclays PLC | 368,422 | |
10,300 | Burberry Group PLC | 206,062 | |
11,618 | Schroders PLC | 414,897 | |
9,200 | SSE PLC | 216,158 | |
10,612 | Unilever PLC, Sponsored ADR | 490,911 | |
278,700 | Vodafone Group PLC | 425,939 | |
11,700 | WPP PLC | 147,858 | |
2,270,247 | |||
Australia — 6.7% | |||
6,500 | ASX, Ltd.1 | 398,039 | |
56,300 | Aurizon Holdings, Ltd. | 160,309 | |
11,000 | Coles Group, Ltd. | 145,337 | |
226,388 | Medibank Pvt, Ltd. | 511,854 | |
9,885 | Sonic Healthcare, Ltd., Sponsored ADR1 | 262,149 | |
54,800 | South32, Ltd. | 184,689 | |
35,826 | Suncorp Group, Ltd. | 290,085 | |
1,952,462 | |||
Spain — 5.2% | |||
45,000 | Iberdrola SA | 522,675 | |
7,000 | Industria de Diseno Textil SA | 148,432 | |
54,587 | Repsol SA | 822,624 | |
2,543 | Telefonica SA | 12,429 | |
1,506,160 | |||
Denmark — 4.7% | |||
28,107 | Carlsberg AS, Sponsored ADR | 715,323 | |
2,600 | Novo Nordisk AS | 299,520 | |
4,000 | Pandora AS | 356,819 | |
1,371,662 | |||
United States — 2.3% | |||
29,729 | GlaxoSmithKline PLC | 671,768 | |
Hong Kong — 2.1% | |||
64,300 | CK Asset Holdings, Ltd. | 437,571 | |
231,900 | WH Group, Ltd. | 161,062 | |
598,633 | |||
Singapore — 1.7% | |||
23,415 | United Overseas Bank, Ltd. | 507,767 | |
South Africa — 1.6% | |||
10,400 | Anglo American PLC | 468,958 | |
Israel — 1.2% | |||
32,900 | ICL Group, Ltd. - Class G | 363,388 | |
Netherlands — 1.0% | |||
44,600 | Koninklijke KPN N.V. | 154,562 | |
2,300 | Randstad N.V. | 123,406 | |
277,968 | |||
Norway — 0.7% | |||
5,600 | Equinor ASA | 191,685 |
69 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Sweden — 0.5% | |||
18,700 | Swedish Match AB | $ 149,761 | |
Portugal — 0.5% | |||
6,500 | Jeronimo Martins SGPS SA | 135,772 | |
TOTAL COMMON STOCKS (Cost $28,863,611) | 28,323,741 | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 2.5% | |||
733,234 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 733,234 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $733,234) | 733,234 | ||
Face Amount | |||
REPURCHASE AGREEMENT*—0.6% | |||
$170,416 | With Fixed Income Clearing Corp., dated 4/29/22, 0.00%, principal and interest in the amount of $170,416, due 5/2/22, (collateralized by a a U.S. Treasury Note with a par value of $173,100, coupon rate of 2.875%, due 08/15/28, market value of $173,853) | 170,416 | |
TOTAL REPURCHASE AGREEMENT (Cost $170,416) | 170,416 | ||
TOTAL INVESTMENTS (Cost $29,767,261) | 100.2% | $29,227,391 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.2) | (69,179) | |
NET ASSETS | 100.0% | $29,158,212 |
* | 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 |
70 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 10.1% | $ 2,960,448 | |
Pharmaceuticals | 10.1 | 2,935,362 | |
Oil, Gas & Consumable Fuels | 5.5 | 1,596,974 | |
Chemicals | 5.4 | 1,594,831 | |
Insurance | 5.2 | 1,516,908 | |
Capital Markets | 4.3 | 1,251,109 | |
Real Estate Management & Development | 4.0 | 1,152,349 | |
Beverages | 3.7 | 1,059,234 | |
IT Services | 3.5 | 1,022,964 | |
Textiles, Apparel & Luxury Goods | 3.4 | 1,014,076 | |
Semiconductors & Semiconductor Equipment | 2.8 | 824,970 | |
Automobiles | 2.8 | 817,017 | |
Diversified Telecommunication Services | 2.7 | 757,577 | |
Electrical Equipment | 2.6 | 744,062 | |
Electric Utilities | 2.5 | 738,833 | |
Technology Hardware, Storage & Peripherals | 2.4 | 699,276 | |
Wireless Telecommunication Services | 2.3 | 683,173 | |
Metals & Mining | 2.2 | 653,647 | |
Food & Staples Retailing | 1.9 | 543,765 | |
Professional Services | 1.8 | 524,779 | |
Building Products | 1.7 | 511,058 | |
Personal Products | 1.7 | 490,911 | |
Media | 1.7 | 487,721 | |
Household Durables | 1.6 | 452,583 | |
Tobacco | 1.5 | 451,311 | |
Air Freight & Logistics | 1.4 | 416,102 | |
Construction & Engineering | 1.3 | 388,555 | |
Hotels, Restaurants & Leisure | 1.3 | 372,807 | |
Industrial Conglomerates | 1.2 | 347,906 | |
Trading Companies & Distributors | 1.0 | 292,666 | |
Health Care Providers & Services | 0.9 | 262,149 | |
Food Products | 0.6 | 161,062 | |
Road & Rail | 0.5 | 160,309 | |
Construction Materials | 0.5 | 151,571 | |
Specialty Retail | 0.5 | 148,432 | |
Machinery | 0.5 | 137,244 | |
TOTAL COMMON STOCKS | 97.1% | $28,323,741 | |
REPURCHASE AGREEMENT | 0.6 | 170,416 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 2.5 | 733,234 | |
TOTAL INVESTMENTS | 100.2% | $29,227,391 |
71 |
Shares | Value | ||
COMMON STOCKS* — 99.5% | |||
Auto Components — 0.9% | |||
6,923 | BorgWarner, Inc. | $ 254,974 | |
Automobiles — 0.9% | |||
7,600 | Harley-Davidson, Inc. | 277,020 | |
Banks — 3.5% | |||
3,549 | Citizens Financial Group, Inc. | 139,831 | |
23,006 | Regions Financial Corp. | 476,684 | |
6,986 | Zions Bancorp N.A. | 394,779 | |
1,011,294 | |||
Biotechnology — 3.5% | |||
2,144 | Amgen, Inc. | 499,959 | |
780 | Regeneron Pharmaceuticals, Inc.1 | 514,106 | |
1,014,065 | |||
Building Products — 0.8% | |||
6,318 | Carrier Global Corp. | 241,790 | |
Capital Markets — 1.8% | |||
3,019 | Bank of New York Mellon Corp. (The) | 126,979 | |
5,595 | Franklin Resources, Inc. | 137,581 | |
1,230 | Intercontinental Exchange, Inc. | 142,446 | |
3,829 | Janus Henderson Group PLC | 116,708 | |
523,714 | |||
Chemicals — 1.2% | |||
5,518 | Dow, Inc. | 366,947 | |
Communications Equipment — 1.6% | |||
6,458 | Ciena Corp.1 | 356,288 | |
664 | F5, Inc.1 | 111,160 | |
467,448 | |||
Consumer Finance — 3.5% | |||
1,500 | Capital One Financial Corp. | 186,930 | |
25,974 | SLM Corp. | 434,545 | |
10,947 | Synchrony Financial | 402,959 | |
1,024,434 | |||
Containers & Packaging — 0.8% | |||
1,496 | Packaging Corp. of America | 241,110 | |
Diversified Consumer Services — 0.6% | |||
2,638 | Service Corp. International | 173,079 | |
Diversified Telecommunication Services — 3.1% | |||
24,496 | AT&T, Inc. | 461,995 | |
9,317 | Verizon Communications, Inc. | 431,377 | |
893,372 | |||
Electronic Equipment, Instruments & Components — 2.8% | |||
5,577 | Corning, Inc. | 196,255 | |
1,674 | Keysight Technologies, Inc.1 | 234,812 | |
5,682 | Trimble, Inc.1 | 378,989 | |
810,056 | |||
Energy Equipment & Services — 1.6% | |||
15,096 | Baker Hughes Co., Class A | 468,278 | |
Equity Real Estate Investment Trusts — 1.8% | |||
672 | American Tower Corp. | 161,965 |
72 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Equity Real Estate Investment Trusts — (Continued) | |||
2,000 | Crown Castle International Corp. | $ 370,420 | |
532,385 | |||
Food & Staples Retailing — 1.5% | |||
8,165 | Kroger Co. (The) | 440,583 | |
Food Products — 3.5% | |||
8,143 | General Mills, Inc. | 575,954 | |
4,862 | Tyson Foods, Inc. - Class A | 452,944 | |
1,028,898 | |||
Health Care Providers & Services — 4.6% | |||
2,711 | AmerisourceBergen Corp. | 410,147 | |
1,152 | Anthem, Inc. | 578,224 | |
1,426 | Cigna Corp. | 351,908 | |
1,340,279 | |||
Health Care Technology — 1.3% | |||
4,036 | Cerner Corp. | 377,931 | |
Hotels, Restaurants & Leisure — 1.4% | |||
76 | Booking Holdings, Inc.1 | 167,984 | |
10,880 | International Game Technology PLC2 | 237,510 | |
405,494 | |||
Household Durables — 0.5% | |||
32 | NVR, Inc.1 | 140,039 | |
Household Products — 0.6% | |||
1,871 | Church & Dwight Co., Inc. | 182,535 | |
Independent Power & Renewable Electricity Producer — 1.3% | |||
18,912 | AES Corp. (The) | 386,183 | |
Insurance — 2.6% | |||
2,603 | American International Group, Inc. | 152,302 | |
9,094 | MetLife, Inc. | 597,294 | |
749,596 | |||
Interactive Media & Service — 2.1% | |||
276 | Alphabet, Inc. - Class A1 | 629,885 | |
Internet & Direct Marketing Retail — 1.7% | |||
9,492 | eBay, Inc. | 492,825 | |
IT Services — 5.6% | |||
4,630 | Akamai Technologies, Inc.1 | 519,856 | |
728 | Automatic Data Processing, Inc. | 158,835 | |
2,813 | Cognizant Technology Solutions Corp. - Class A | 227,572 | |
5,075 | Fidelity National Information Services, Inc. | 503,186 | |
816 | Gartner, Inc.1 | 237,089 | |
1,646,538 | |||
Life Sciences Tools & Services — 3.7% | |||
2,455 | Agilent Technologies, Inc. | 292,807 | |
245 | Mettler-Toledo International, Inc.1 | 312,995 | |
877 | Thermo Fisher Scientific, Inc. | 484,911 | |
1,090,713 | |||
Machinery — 3.1% | |||
1,372 | Cummins, Inc. | 259,569 | |
2,100 | Oshkosh Corp. | 194,124 |
73 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Machinery — (Continued) | |||
8,700 | Pentair PLC | $ 441,525 | |
895,218 | |||
Media — 4.2% | |||
14,762 | Interpublic Group of Cos., Inc. (The) | 481,536 | |
6,135 | Omnicom Group, Inc. | 467,058 | |
9,400 | Paramount Global - Class B2 | 273,728 | |
1,222,322 | |||
Metals & Mining — 0.8% | |||
1,600 | Nucor Corp. | 247,648 | |
Multi-Utilities — 1.8% | |||
17,781 | NiSource, Inc. | 517,783 | |
Oil, Gas & Consumable Fuels — 2.7% | |||
2,358 | Chevron Corp. | 369,428 | |
22,757 | Kinder Morgan, Inc. | 413,039 | |
782,467 | |||
Personal Products — 0.5% | |||
566 | Estee Lauder Cos., Inc. (The) - Class A | 149,458 | |
Pharmaceuticals — 0.5% | |||
810 | Zoetis, Inc. | 143,573 | |
Professional Services — 0.7% | |||
2,178 | Robert Half International, Inc. | 214,119 | |
Real Estate Management & Development — 2.5% | |||
6,194 | CBRE Group, Inc. - Class A1 | 514,350 | |
1,040 | Jones Lang LaSalle, Inc.1 | 227,479 | |
741,829 | |||
Road & Rail — 1.1% | |||
4,668 | CSX Corp. | 160,299 | |
3,136 | Knight-Swift Transportation Holdings, Inc. | 150,183 | |
310,482 | |||
Semiconductors & Semiconductor Equipment — 4.7% | |||
4,157 | Advanced Micro Devices, Inc.1 | 355,507 | |
6,245 | Applied Materials, Inc. | 689,136 | |
7,716 | Intel Corp. | 336,340 | |
1,380,983 | |||
Software — 9.2% | |||
514 | Adobe, Inc.1 | 203,518 | |
4,176 | Cadence Design Systems, Inc.1 | 629,949 | |
7,352 | Dropbox, Inc. - Class A1 | 159,906 | |
2,184 | Fortinet, Inc.1 | 631,198 | |
2,155 | Microsoft Corp. | 598,056 | |
1,620 | Synopsys, Inc.1 | 464,600 | |
2,687,227 | |||
Specialty Retail — 3.5% | |||
4,774 | Best Buy Co., Inc. | 429,325 | |
1,411 | Dick’s Sporting Goods, Inc.2 | 136,049 | |
716 | Lowe’s Cos., Inc. | 141,575 | |
2,455 | Williams-Sonoma, Inc.2 | 320,328 | |
1,027,277 |
74 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Technology Hardware, Storage & Peripherals — 3.4% | |||
19,100 | Hewlett Packard Enterprise Co. | $ 294,331 | |
14,636 | HP, Inc. | 536,117 | |
2,270 | NetApp, Inc. | 166,277 | |
996,725 | |||
Textiles, Apparel & Luxury Goods — 2.0% | |||
1,900 | PVH Corp. | 138,282 | |
4,209 | Ralph Lauren Corp. - Class A | 439,168 | |
577,450 | |||
TOTAL COMMON STOCKS (Cost $24,155,228) | 29,106,026 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.5% | |||
$ 149,797 | With Fixed Income Clearing Corp., dated 4/29/22, 0.00%, principal and interest in the amount of $149,797, due 5/2/22, (collateralized by a U.S. Treasury Note with a par value of $166,700, coupon rate of 1.500%, due 11/30/28, market value of $152,798) | 149,797 | |
TOTAL REPURCHASE AGREEMENT (Cost $149,797) | 149,797 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 3.5% | |||
1,002,883 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 1,002,883 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $1,002,883) | 1,002,883 | ||
TOTAL INVESTMENTS (Cost $25,307,908) | 103.5% | $30,258,706 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (3.5) | (1,013,127) | |
NET ASSETS | 100.0% | $29,245,579 |
* | 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. |
75 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 9.2% | $ 2,687,227 | |
IT Services | 5.6 | 1,646,538 | |
Semiconductors & Semiconductor Equipment | 4.7 | 1,380,983 | |
Health Care Providers & Services | 4.6 | 1,340,279 | |
Media | 4.2 | 1,222,322 | |
Life Sciences Tools & Services | 3.7 | 1,090,713 | |
Food Products | 3.5 | 1,028,898 | |
Specialty Retail | 3.5 | 1,027,277 | |
Consumer Finance | 3.5 | 1,024,434 | |
Biotechnology | 3.5 | 1,014,065 | |
Banks | 3.5 | 1,011,294 | |
Technology Hardware, Storage & Peripherals | 3.4 | 996,725 | |
Machinery | 3.1 | 895,218 | |
Diversified Telecommunication Services | 3.1 | 893,372 | |
Electronic Equipment, Instruments & Components | 2.8 | 810,056 | |
Oil, Gas & Consumable Fuels | 2.7 | 782,467 | |
Insurance | 2.6 | 749,596 | |
Real Estate Management & Development | 2.5 | 741,829 | |
Interactive Media & Service | 2.1 | 629,885 | |
Textiles, Apparel & Luxury Goods | 2.0 | 577,450 | |
Equity Real Estate Investment Trusts | 1.8 | 532,385 | |
Capital Markets | 1.8 | 523,714 | |
Multi-Utilities | 1.8 | 517,783 | |
Internet & Direct Marketing Retail | 1.7 | 492,825 | |
Energy Equipment & Services | 1.6 | 468,278 | |
Communications Equipment | 1.6 | 467,448 | |
Food & Staples Retailing | 1.5 | 440,583 | |
Hotels, Restaurants & Leisure | 1.4 | 405,494 | |
Independent Power & Renewable Electricity Producer | 1.3 | 386,183 | |
Health Care Technology | 1.3 | 377,931 | |
Chemicals | 1.2 | 366,947 | |
Road & Rail | 1.1 | 310,482 | |
Automobiles | 0.9 | 277,020 | |
Auto Components | 0.9 | 254,974 | |
Metals & Mining | 0.8 | 247,648 | |
Building Products | 0.8 | 241,790 | |
Containers & Packaging | 0.8 | 241,110 | |
Professional Services | 0.7 | 214,119 | |
Household Products | 0.6 | 182,535 | |
Diversified Consumer Services | 0.6 | 173,079 | |
Personal Products | 0.5 | 149,458 | |
Pharmaceuticals | 0.5 | 143,573 | |
Household Durables | 0.5 | 140,039 | |
TOTAL COMMON STOCKS | 99.5% | $29,106,026 | |
REPURCHASE AGREEMENT | 0.5 | 149,797 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 3.5 | 1,002,883 | |
TOTAL INVESTMENTS | 103.5% | $30,258,706 |
76 |
Shares | Value | ||
COMMON STOCKS* — 99.1% | |||
Aerospace & Defense — 2.8% | |||
1,875 | General Dynamics Corp. | $ 443,494 | |
537 | Northrop Grumman Corp. | 235,958 | |
679,452 | |||
Auto Components — 1.0% | |||
6,740 | BorgWarner, Inc. | 248,234 | |
Banks — 2.9% | |||
23,345 | KeyCorp | 450,792 | |
11,755 | Regions Financial Corp. | 243,564 | |
694,356 | |||
Beverages — 0.6% | |||
2,448 | Coca-Cola Co. (The) | 158,165 | |
Biotechnology — 3.7% | |||
2,765 | Amgen, Inc. | 644,770 | |
931 | Vertex Pharmaceuticals, Inc.1 | 254,368 | |
899,138 | |||
Capital Markets — 4.0% | |||
19,331 | Franklin Resources, Inc. | 475,349 | |
4,215 | Intercontinental Exchange, Inc. | 488,139 | |
963,488 | |||
Chemicals — 3.3% | |||
2,891 | Corteva, Inc. | 166,782 | |
9,585 | Dow, Inc. | 637,402 | |
804,184 | |||
Communications Equipment — 0.5% | |||
2,500 | Cisco Systems, Inc. | 122,450 | |
Consumer Finance — 1.9% | |||
12,478 | Synchrony Financial | 459,315 | |
Diversified Telecommunication Services — 2.8% | |||
10,300 | AT&T, Inc. | 194,258 | |
10,593 | Verizon Communications, Inc. | 490,456 | |
684,714 | |||
Energy Equipment & Services — 2.1% | |||
16,036 | Baker Hughes Co., Class A | 497,437 | |
Equity Real Estate Investment Trusts — 2.7% | |||
2,176 | American Tower Corp. | 524,460 | |
326 | Public Storage | 121,109 | |
645,569 | |||
Food & Staples Retailing — 0.7% | |||
3,092 | Kroger Co. (The) | 166,844 | |
Food Products — 2.7% | |||
6,482 | General Mills, Inc. | 458,472 | |
838 | Hershey Co. (The) | 189,195 | |
647,667 | |||
Gas Utilities — 1.3% | |||
9,175 | UGI Corp. | 314,702 | |
Health Care Providers & Services — 5.2% | |||
326 | Anthem, Inc. | 163,629 |
77 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Health Care Providers & Services — (Continued) | |||
4,700 | Cardinal Health, Inc. | $ 272,835 | |
3,090 | CVS Health Corp. | 297,042 | |
3,845 | Quest Diagnostics, Inc. | 514,615 | |
1,248,121 | |||
Hotels, Restaurants & Leisure — 2.0% | |||
2,752 | Expedia Group, Inc.1 | 480,912 | |
Household Products — 2.2% | |||
3,285 | Procter & Gamble Co. (The) | 527,407 | |
Insurance — 2.5% | |||
5,529 | Fidelity National Financial, Inc. | 220,165 | |
3,219 | MetLife, Inc. | 211,424 | |
6,100 | Unum Group | 186,172 | |
617,761 | |||
Interactive Media & Services — 3.5% | |||
270 | Alphabet, Inc. - Class A1 | 616,191 | |
1,159 | Meta Platforms, Inc. - Class A1 | 232,345 | |
848,536 | |||
Internet & Direct Marketing Retail — 0.6% | |||
3,000 | eBay, Inc. | 155,760 | |
IT Services — 6.4% | |||
5,377 | Akamai Technologies, Inc.1 | 603,730 | |
4,185 | Cognizant Technology Solutions Corp. - Class A | 338,566 | |
480 | Gartner, Inc.1 | 139,464 | |
11,873 | Genpact, Ltd. | 478,126 | |
1,559,886 | |||
Life Sciences Tools & Services — 0.5% | |||
575 | IQVIA Holdings, Inc.1 | 125,344 | |
Machinery — 0.8% | |||
4,000 | Pentair PLC | 203,000 | |
Media — 3.9% | |||
2,592 | Comcast Corp. - Class A | 103,058 | |
17,864 | Interpublic Group of Cos., Inc. (The) | 582,724 | |
3,303 | Omnicom Group, Inc. | 251,457 | |
937,239 | |||
Multi-line Retail — 1.3% | |||
1,359 | Target Corp. | 310,735 | |
Multi-Utilities — 1.3% | |||
11,064 | NiSource, Inc. | 322,184 | |
Oil, Gas & Consumable Fuels — 1.6% | |||
1,399 | Chevron Corp. | 219,181 | |
1,900 | Marathon Petroleum Corp. | 165,794 | |
384,975 | |||
Pharmaceuticals — 3.5% | |||
10,081 | Pfizer, Inc. | 494,674 | |
1,947 | Zoetis, Inc. | 345,106 | |
839,780 | |||
Professional Services — 2.3% | |||
6,752 | Booz Allen Hamilton Holding Corp. | 551,166 |
78 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Real Estate Management & Development — 1.7% | |||
1,900 | Jones Lang LaSalle, Inc.1 | $ 415,587 | |
Road & Rail — 0.6% | |||
558 | Norfolk Southern Corp. | 143,897 | |
Semiconductors & Semiconductor Equipment — 5.2% | |||
5,128 | Applied Materials, Inc. | 565,875 | |
10,230 | Intel Corp. | 445,925 | |
3,500 | Micron Technology, Inc. | 238,665 | |
1,250,465 | |||
Software — 7.6% | |||
22,498 | Dropbox, Inc. - Class A1 | 489,332 | |
2,358 | Microsoft Corp. | 654,392 | |
1,099 | Salesforce, Inc.1 | 193,358 | |
1,760 | Synopsys, Inc.1 | 504,750 | |
1,841,832 | |||
Specialty Retail — 3.4% | |||
5,434 | Best Buy Co., Inc. | 488,680 | |
3,515 | Dick’s Sporting Goods, Inc.2 | 338,916 | |
827,596 | |||
Technology Hardware, Storage & Peripherals — 7.1% | |||
38,646 | Hewlett Packard Enterprise Co. | 595,535 | |
13,200 | HP, Inc. | 483,516 | |
8,624 | NetApp, Inc. | 631,708 | |
1,710,759 | |||
Textiles, Apparel & Luxury Goods — 2.9% | |||
4,538 | Ralph Lauren Corp. - Class A | 473,495 | |
7,230 | Tapestry, Inc. | 238,012 | |
711,507 | |||
TOTAL COMMON STOCKS (Cost $21,685,540) | 24,000,164 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.5% | |||
$122,941 | With Fixed Income Clearing Corp., dated 4/29/22, 0.00%, principal and interest in the amount of $122,941, due 5/2/22, (collateralized by a U.S. Treasury Note with a par value of $136,900, coupon rate of 1.500%, due 11/30/28, market value of $125,483) | 122,941 | |
TOTAL REPURCHASE AGREEMENT (Cost $122,941) | 122,941 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.9% | |||
208,553 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 208,553 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $208,553) | 208,553 | ||
TOTAL INVESTMENTS (Cost $22,017,034) | 100.5% | $24,331,658 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.5) | (119,829) | |
NET ASSETS | 100.0% | $24,211,829 |
79 |
* | 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. |
80 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 7.6% | $ 1,841,832 | |
Technology Hardware, Storage & Peripherals | 7.1 | 1,710,759 | |
IT Services | 6.4 | 1,559,886 | |
Semiconductors & Semiconductor Equipment | 5.2 | 1,250,465 | |
Health Care Providers & Services | 5.2 | 1,248,121 | |
Capital Markets | 4.0 | 963,488 | |
Media | 3.9 | 937,239 | |
Biotechnology | 3.7 | 899,138 | |
Interactive Media & Services | 3.5 | 848,536 | |
Pharmaceuticals | 3.5 | 839,780 | |
Specialty Retail | 3.4 | 827,596 | |
Chemicals | 3.3 | 804,184 | |
Textiles, Apparel & Luxury Goods | 2.9 | 711,507 | |
Banks | 2.9 | 694,356 | |
Diversified Telecommunication Services | 2.8 | 684,714 | |
Aerospace & Defense | 2.8 | 679,452 | |
Food Products | 2.7 | 647,667 | |
Equity Real Estate Investment Trusts | 2.7 | 645,569 | |
Insurance | 2.5 | 617,761 | |
Professional Services | 2.3 | 551,166 | |
Household Products | 2.2 | 527,407 | |
Energy Equipment & Services | 2.1 | 497,437 | |
Hotels, Restaurants & Leisure | 2.0 | 480,912 | |
Consumer Finance | 1.9 | 459,315 | |
Real Estate Management & Development | 1.7 | 415,587 | |
Oil, Gas & Consumable Fuels | 1.6 | 384,975 | |
Multi-Utilities | 1.3 | 322,184 | |
Gas Utilities | 1.3 | 314,702 | |
Multi-line Retail | 1.3 | 310,735 | |
Auto Components | 1.0 | 248,234 | |
Machinery | 0.8 | 203,000 | |
Food & Staples Retailing | 0.7 | 166,844 | |
Beverages | 0.6 | 158,165 | |
Internet & Direct Marketing Retail | 0.6 | 155,760 | |
Road & Rail | 0.6 | 143,897 | |
Life Sciences Tools & Services | 0.5 | 125,344 | |
Communications Equipment | 0.5 | 122,450 | |
TOTAL COMMON STOCKS | 99.1% | $24,000,164 | |
REPURCHASE AGREEMENT | 0.5 | 122,941 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 0.9 | 208,553 | |
TOTAL INVESTMENTS | 100.5% | $24,331,658 |
81 |
Shares | Value | ||
COMMON STOCKS* — 90.0% | |||
Air Freight & Logistics — 2.5% | |||
9,520 | Expeditors International of Washington, Inc. | $ 943,147 | |
7,240 | Hub Group, Inc. - Class A1 | 486,238 | |
1,429,385 | |||
Banks — 4.2% | |||
19,900 | Bank OZK | 764,558 | |
10,460 | East West Bancorp, Inc. | 745,798 | |
78,220 | FNB Corp. | 901,094 | |
2,411,450 | |||
Beverages — 0.5% | |||
5,540 | Molson Coors Brewing Co. - Class B | 299,936 | |
Biotechnology — 1.4% | |||
34,500 | Exelixis, Inc.1 | 770,730 | |
Capital Markets — 2.2% | |||
16,960 | Federated Hermes, Inc. | 483,021 | |
12,590 | Stifel Financial Corp. | 778,691 | |
1,261,712 | |||
Chemicals — 4.1% | |||
10,960 | Corteva, Inc.2 | 632,282 | |
10,400 | Dow, Inc.2 | 691,600 | |
15,980 | Mosaic Co. (The)2 | 997,472 | |
2,321,354 | |||
Commercial Services & Supplies — 0.8% | |||
3,420 | Republic Services, Inc., Class A | 459,203 | |
Communications Equipment — 0.6% | |||
6,080 | Ciena Corp.1 | 335,434 | |
Construction & Engineering — 3.0% | |||
10,200 | AECOM2 | 719,712 | |
9,220 | EMCOR Group, Inc.2 | 981,746 | |
1,701,458 | |||
Consumer Finance — 2.5% | |||
13,480 | Ally Financial, Inc. | 538,661 | |
51,840 | SLM Corp. | 867,283 | |
1,405,944 | |||
Distributors — 1.6% | |||
18,600 | LKQ Corp. | 923,118 | |
Diversified Consumer Services — 1.6% | |||
26,120 | Laureate Education, Inc. | 295,940 | |
9,620 | Service Corp. International | 631,168 | |
927,108 | |||
Diversified Financial Services — 1.1% | |||
10,160 | Voya Financial, Inc. | 641,502 | |
Diversified Telecommunication Services — 2.0% | |||
54,660 | Lumen Technologies, Inc. | 549,880 | |
12,260 | Verizon Communications, Inc. | 567,638 | |
1,117,518 | |||
Electric Utilities — 2.0% | |||
4,380 | Duke Energy Corp. | 482,501 |
82 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electric Utilities — (Continued) | |||
9,740 | Evergy, Inc. | $ 660,859 | |
1,143,360 | |||
Electrical Equipment — 1.2% | |||
20,280 | nVent Electric PLC2 | 685,058 | |
Electronic Equipment, Instruments & Components — 2.9% | |||
3,000 | Arrow Electronics, Inc.1 | 353,580 | |
16,200 | Jabil, Inc. | 935,226 | |
19,400 | Knowles Corp.1 | 359,288 | |
1,648,094 | |||
Energy Equipment & Services — 0.5% | |||
10,080 | Baker Hughes Co., Class A | 312,682 | |
Entertainment — 0.7% | |||
22,480 | Warner Bros Discovery, Inc.1 | 408,012 | |
Equity Real Estate Investment Trusts — 6.7% | |||
12,920 | CubeSmart | 613,829 | |
10,600 | Duke Realty Corp. | 580,350 | |
11,720 | Highwoods Properties, Inc. | 478,645 | |
20,180 | Kimco Realty Corp. | 511,159 | |
38,300 | VICI Properties, Inc. | 1,141,723 | |
12,140 | Weyerhaeuser Co. | 500,411 | |
3,826,117 | |||
Food & Staples Retailing — 1.5% | |||
9,880 | Kroger Co. (The) | 533,125 | |
11,660 | Sprouts Farmers Market, Inc.1 | 347,468 | |
880,593 | |||
Food Products — 3.9% | |||
9,460 | Archer-Daniels-Midland Co. | 847,238 | |
9,200 | General Mills, Inc. | 650,716 | |
7,620 | Tyson Foods, Inc. - Class A | 709,879 | |
2,207,833 | |||
Health Care Equipment & Supplies — 1.0% | |||
14,760 | Envista Holdings Corp.1 | 584,791 | |
Health Care Providers & Services — 2.5% | |||
12,760 | Centene Corp.1 | 1,027,818 | |
4,300 | CVS Health Corp. | 413,359 | |
1,441,177 | |||
Hotels, Restaurants & Leisure — 1.5% | |||
38,360 | International Game Technology PLC3 | 837,399 | |
Household Durables — 1.7% | |||
22,900 | PulteGroup, Inc. | 956,304 | |
Household Products — 1.1% | |||
15,140 | Central Garden & Pet Co. - Class A1 | 626,493 | |
Insurance — 4.4% | |||
9,580 | American International Group, Inc. | 560,526 | |
12,580 | Arch Capital Group, Ltd.1 | 574,529 | |
10,880 | Axis Capital Holdings, Ltd. | 623,750 | |
35,320 | Old Republic International Corp. | 777,393 | |
2,536,198 |
83 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Internet & Direct Marketing Retail — 1.5% | |||
16,140 | eBay, Inc. | $ 837,989 | |
IT Services — 5.2% | |||
13,120 | Amdocs, Ltd. | 1,045,533 | |
5,920 | CSG Systems International, Inc. | 363,902 | |
23,460 | Genpact, Ltd. | 944,734 | |
9,420 | SS&C Technologies Holdings, Inc. | 609,097 | |
2,963,266 | |||
Life Sciences Tools & Services — 0.5% | |||
8,960 | Avantor, Inc.1 | 285,645 | |
Machinery — 3.0% | |||
16,080 | Hillenbrand, Inc.2 | 656,385 | |
13,000 | Ingersoll Rand, Inc.2 | 571,480 | |
9,900 | Pentair PLC2 | 502,425 | |
1,730,290 | |||
Media — 2.7% | |||
10,908 | Comcast Corp. - Class A | 433,702 | |
8,580 | Fox Corp. - Class A | 307,507 | |
9,060 | Interpublic Group of Cos., Inc. (The) | 295,537 | |
6,700 | Omnicom Group, Inc. | 510,071 | |
1,546,817 | |||
Metals & Mining — 2.1% | |||
6,060 | Reliance Steel & Aluminum Co.2 | 1,201,395 | |
Multi-Utilities — 0.6% | |||
11,620 | NiSource, Inc. | 338,374 | |
Oil, Gas & Consumable Fuels — 1.4% | |||
9,260 | Marathon Petroleum Corp. | 808,028 | |
Paper & Forest Products — 1.2% | |||
10,740 | Louisiana-Pacific Corp.2 | 692,945 | |
Personal Products — 0.5% | |||
18,180 | Olaplex Holdings, Inc.1 | 267,246 | |
Pharmaceuticals — 0.9% | |||
10,900 | Pfizer, Inc. | 534,863 | |
Professional Services — 0.5% | |||
2,520 | ASGN, Inc.1 | 285,894 | |
Road & Rail — 0.6% | |||
7,540 | Knight-Swift Transportation Holdings, Inc. | 361,091 | |
Semiconductors & Semiconductor Equipment — 2.3% | |||
46,700 | Amkor Technology, Inc. | 878,427 | |
5,880 | Diodes, Inc.1 | 429,416 | |
1,307,843 | |||
Software — 2.6% | |||
8,800 | Black Knight, Inc.1 | 578,952 | |
40,941 | Dropbox, Inc. - Class A1 | 890,467 | |
1,469,419 | |||
Specialty Retail — 0.5% | |||
17,680 | American Eagle Outfitters, Inc.3 | 267,145 |
84 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Technology Hardware, Storage & Peripherals — 1.0% | |||
38,600 | Hewlett Packard Enterprise Co. | $ 594,826 | |
Textiles, Apparel & Luxury Goods — 0.5% | |||
9,080 | Tapestry, Inc. | 298,914 | |
Thrifts & Mortgage Finance — 1.4% | |||
61,260 | MGIC Investment Corp. | 800,056 | |
Trading Companies & Distributors — 1.3% | |||
14,780 | Rush Enterprises, Inc. - Class A2 | 752,006 | |
TOTAL COMMON STOCKS (Cost $40,685,291) | 51,444,015 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 7.0% | |||
$4,031,090 | With Fixed Income Clearing Corp., dated 4/29/22, 0.00%, principal and interest in the amount of $4,031,090, due 5/2/22, (collateralized by a U.S. Treasury Note with a par value of $4,000,600, coupon rate of 3.125%, due 11/15/28, market value of $4,111,812) | 4,031,090 | |
TOTAL REPURCHASE AGREEMENT (Cost $4,031,090) | 4,031,090 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 2.1% | |||
1,184,340 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 1,184,340 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $1,184,340) | 1,184,340 | ||
TOTAL LONG INVESTMENTS (Cost $45,900,721) | 99.1% | $ 56,659,445 | |
COMMON STOCKS SOLD SHORT* — (59.5)% | |||
Aerospace & Defense — (4.1)% | |||
(5,540) | Boeing Co. (The)1 | (824,574) | |
(4,040) | Raytheon Technologies Corp. | (383,436) | |
(980) | TransDigm Group, Inc.1 | (582,914) | |
(5,060) | Woodward, Inc. | (559,029) | |
(2,349,953) | |||
Airlines — (3.0)% | |||
(14,260) | Southwest Airlines Co.1 | (666,227) | |
(20,220) | United Airlines Holdings, Inc.1 | (1,021,110) | |
(1,687,337) | |||
Banks — (3.8)% | |||
(860) | First Citizens BancShares, Inc. - Class A | (549,867) | |
(11,420) | Glacier Bancorp, Inc. | (522,579) | |
(1,180) | SVB Financial Group1 | (575,415) | |
(10,300) | Truist Financial Corp. | (498,005) | |
(2,145,866) | |||
Beverages — (4.4)% | |||
(1,560) | Boston Beer Co., Inc. (The) Class A1 | (585,000) | |
(9,460) | Brown-Forman Corp. - Class B | (637,983) | |
(2,780) | Constellation Brands, Inc. - Class A | (684,130) | |
(3,600) | PepsiCo, Inc. | (618,156) | |
(2,525,269) |
85 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Capital Markets — (3.0)% | |||
(780) | BlackRock, Inc. | $ (487,250) | |
(1,680) | MarketAxess Holdings, Inc. | (442,865) | |
(3,180) | Morningstar, Inc. | (805,272) | |
(1,735,387) | |||
Chemicals — (5.1)% | |||
(2,640) | Air Products and Chemicals, Inc. | (617,945) | |
(3,400) | Albemarle Corp. | (655,622) | |
(3,680) | Ecolab, Inc. | (623,171) | |
(4,480) | International Flavors & Fragrances, Inc. | (543,424) | |
(4,600) | Scotts Miracle-Gro Co. (The) | (478,078) | |
(2,918,240) | |||
Commercial Services & Supplies — (0.9)% | |||
(4,240) | MSA Safety, Inc. | (511,726) | |
Containers & Packaging — (1.1)% | |||
(5,240) | AptarGroup, Inc. | (601,709) | |
Diversified Consumer Services — (1.0)% | |||
(4,980) | Bright Horizons Family Solutions, Inc.1 | (568,915) | |
Electric Utilities — (1.8)% | |||
(7,740) | Constellation Energy Corp. | (458,285) | |
(13,100) | FirstEnergy Corp. | (567,361) | |
(1,025,646) | |||
Electrical Equipment — (1.0)% | |||
(2,200) | Rockwell Automation, Inc. | (555,874) | |
Electronic Equipment, Instruments & Components — (2.1)% | |||
(8,380) | Cognex Corp. | (566,739) | |
(1,500) | Teledyne Technologies, Inc.1 | (647,325) | |
(1,214,064) | |||
Entertainment — (0.7)% | |||
(3,680) | Walt Disney Co. (The)1 | (410,798) | |
Equity Real Estate Investment Trusts — (4.3)% | |||
(2,140) | Digital Realty Trust, Inc. | (312,697) | |
(25,000) | Equity Commonwealth1 | (654,750) | |
(21,040) | Omega Healthcare Investors, Inc. REIT | (536,099) | |
(58,803) | Veris Residential, Inc.1 | (941,436) | |
(2,444,982) | |||
Food & Staples Retailing — (1.2)% | |||
(8,040) | Sysco Corp. | (687,259) | |
Health Care Equipment & Supplies — (2.6)% | |||
(2,680) | Becton Dickinson and Co. | (662,469) | |
(536) | Embecta Corp.1 | (16,310) | |
(1,160) | Stryker Corp. | (279,862) | |
(4,480) | Zimmer Biomet Holdings, Inc. | (540,960) | |
(1,499,601) | |||
Hotels, Restaurants & Leisure — (2.3)% | |||
(4,100) | Caesars Entertainment, Inc.1 | (271,748) | |
(7,060) | Cracker Barrel Old Country Store, Inc. | (783,589) | |
(7,220) | Las Vegas Sands Corp.1 | (255,805) | |
(1,311,142) |
86 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Household Products — (1.2)% | |||
(2,000) | Clorox Co. (The) | $ (286,940) | |
(2,840) | Kimberly-Clark Corp. | (394,277) | |
(681,217) | |||
Insurance — (3.1)% | |||
(3,480) | Erie Indemnity Co. - Class A | (557,775) | |
(7,100) | Globe Life, Inc. | (696,368) | |
(11,700) | Kemper Corp. | (540,072) | |
(1,794,215) | |||
Internet & Direct Marketing Retail — (0.9)% | |||
(200) | Amazon.com, Inc.1 | (497,126) | |
Life Sciences Tools & Services — (1.3)% | |||
(6,780) | Azenta, Inc. | (508,229) | |
(740) | Illumina, Inc.1 | (219,521) | |
(727,750) | |||
Machinery — (3.0)% | |||
(1,580) | Deere & Co. | (596,529) | |
(7,120) | PACCAR, Inc. | (591,316) | |
(3,100) | RBC Bearings, Inc.1 | (521,885) | |
(1,709,730) | |||
Mortgage Real Estate Investment Trust — (1.0)% | |||
(34,960) | Arbor Realty Trust, Inc. REIT | (597,816) | |
Real Estate Management & Development — (0.2)% | |||
(16,740) | Opendoor Technologies, Inc.1 | (117,013) | |
Road & Rail — (0.8)% | |||
(1,800) | Avis Budget Group, Inc.1 | (481,806) | |
Semiconductors & Semiconductor Equipment — (0.7)% | |||
(2,480) | Texas Instruments, Inc. | (422,220) | |
Software — (3.3)% | |||
(2,840) | Autodesk, Inc.1 | (537,555) | |
(1,200) | MicroStrategy, Inc. - Class A1 | (425,004) | |
(4,840) | Pegasystems, Inc. | (370,696) | |
(1,400) | Tyler Technologies, Inc.1 | (552,594) | |
(1,885,849) | |||
Specialty Retail — (1.6)% | |||
(19,400) | Monro, Inc. | (887,162) | |
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(41,109,015)) | (33,995,672) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(41,109,015)) | (59.5)% | $(33,995,672) | |
TOTAL INVESTMENTS (Cost $4,791,706) | 39.6% | $ 22,663,773 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 60.4 | 34,517,030 | |
NET ASSETS | 100.0% | $ 57,180,803 |
87 |
* | 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 $7,830,246. |
3 | Securities or partial securities on loan. See Note 1. |
4 | Represents an investment of securities lending cash collateral. |
88 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Long Positions: | |||
Equity Real Estate Investment Trusts | 6.7% | $ 3,826,117 | |
IT Services | 5.2 | 2,963,266 | |
Insurance | 4.4 | 2,536,198 | |
Banks | 4.2 | 2,411,450 | |
Chemicals | 4.1 | 2,321,354 | |
Food Products | 3.9 | 2,207,833 | |
Machinery | 3.0 | 1,730,290 | |
Construction & Engineering | 3.0 | 1,701,458 | |
Electronic Equipment, Instruments & Components | 2.9 | 1,648,094 | |
Media | 2.7 | 1,546,817 | |
Software | 2.6 | 1,469,419 | |
Health Care Providers & Services | 2.5 | 1,441,177 | |
Air Freight & Logistics | 2.5 | 1,429,385 | |
Consumer Finance | 2.5 | 1,405,944 | |
Semiconductors & Semiconductor Equipment | 2.3 | 1,307,843 | |
Capital Markets | 2.2 | 1,261,712 | |
Metals & Mining | 2.1 | 1,201,395 | |
Electric Utilities | 2.0 | 1,143,360 | |
Diversified Telecommunication Services | 2.0 | 1,117,518 | |
Household Durables | 1.7 | 956,304 | |
Diversified Consumer Services | 1.6 | 927,108 | |
Distributors | 1.6 | 923,118 | |
Food & Staples Retailing | 1.5 | 880,593 | |
Internet & Direct Marketing Retail | 1.5 | 837,989 | |
Hotels, Restaurants & Leisure | 1.5 | 837,399 | |
Oil, Gas & Consumable Fuels | 1.4 | 808,028 | |
Thrifts & Mortgage Finance | 1.4 | 800,056 | |
Biotechnology | 1.4 | 770,730 | |
Trading Companies & Distributors | 1.3 | 752,006 | |
Paper & Forest Products | 1.2 | 692,945 | |
Electrical Equipment | 1.2 | 685,058 | |
Diversified Financial Services | 1.1 | 641,502 | |
Household Products | 1.1 | 626,493 | |
Technology Hardware, Storage & Peripherals | 1.0 | 594,826 | |
Health Care Equipment & Supplies | 1.0 | 584,791 | |
Pharmaceuticals | 0.9 | 534,863 | |
Commercial Services & Supplies | 0.8 | 459,203 | |
Entertainment | 0.7 | 408,012 | |
Road & Rail | 0.6 | 361,091 | |
Multi-Utilities | 0.6 | 338,374 | |
Communications Equipment | 0.6 | 335,434 | |
Energy Equipment & Services | 0.5 | 312,682 | |
Beverages | 0.5 | 299,936 | |
Textiles, Apparel & Luxury Goods | 0.5 | 298,914 | |
Professional Services | 0.5 | 285,894 | |
Life Sciences Tools & Services | 0.5 | 285,645 | |
Personal Products | 0.5 | 267,246 | |
Specialty Retail | 0.5 | 267,145 | |
Short Positions: | |||
Real Estate Management & Development | (0.2) | (117,013) | |
Entertainment | (0.7) | (410,798) | |
Semiconductors & Semiconductor Equipment | (0.7) | (422,220) | |
Road & Rail | (0.8) | (481,806) |
89 |
% of Net Assets | Value | ||
INDUSTRIES: — (Continued) | |||
Short Positions: — (Continued) | |||
Internet & Direct Marketing Retail | (0.9)% | $ (497,126) | |
Commercial Services & Supplies | (0.9) | (511,726) | |
Electrical Equipment | (1.0) | (555,874) | |
Diversified Consumer Services | (1.0) | (568,915) | |
Mortgage Real Estate Investment Trust | (1.0) | (597,816) | |
Containers & Packaging | (1.1) | (601,709) | |
Household Products | (1.2) | (681,217) | |
Food & Staples Retailing | (1.2) | (687,259) | |
Life Sciences Tools & Services | (1.3) | (727,750) | |
Specialty Retail | (1.6) | (887,162) | |
Electric Utilities | (1.8) | (1,025,646) | |
Electronic Equipment, Instruments & Components | (2.1) | (1,214,064) | |
Hotels, Restaurants & Leisure | (2.3) | (1,311,142) | |
Health Care Equipment & Supplies | (2.6) | (1,499,601) | |
Airlines | (3.0) | (1,687,337) | |
Machinery | (3.0) | (1,709,730) | |
Capital Markets | (3.0) | (1,735,387) | |
Insurance | (3.1) | (1,794,215) | |
Software | (3.3) | (1,885,849) | |
Banks | (3.8) | (2,145,866) | |
Aerospace & Defense | (4.1) | (2,349,953) | |
Equity Real Estate Investment Trusts | (4.3) | (2,444,982) | |
Beverages | (4.4) | (2,525,269) | |
Chemicals | (5.1) | (2,918,240) | |
TOTAL COMMON STOCKS | 30.5% | $17,448,343 | |
REPURCHASE AGREEMENT | 7.0 | 4,031,090 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 2.1 | 1,184,340 | |
TOTAL INVESTMENTS | 39.6% | $22,663,773 |
90 |
Shares | Value | ||
COMMON STOCKS* — 124.2% | |||
Aerospace & Defense — 0.6% | |||
9,000 | Howmet Aerospace, Inc.1 | $ 307,080 | |
Air Freight & Logistics — 1.2% | |||
9,080 | Hub Group, Inc. - Class A1,2 | 609,813 | |
Automobiles — 1.6% | |||
40,400 | Ford Motor Co.1 | 572,064 | |
6,080 | General Motors Co.1,2 | 230,492 | |
802,556 | |||
Banks — 3.9% | |||
13,660 | Citizens Financial Group, Inc.1 | 538,204 | |
27,880 | FNB Corp. | 321,178 | |
24,160 | KeyCorp1 | 466,529 | |
4,860 | PacWest Bancorp | 159,845 | |
10,620 | Wells Fargo & Co.1 | 463,351 | |
1,949,107 | |||
Building Products — 1.0% | |||
7,260 | Fortune Brands Home & Security, Inc.1 | 517,275 | |
Capital Markets — 3.2% | |||
14,280 | Franklin Resources, Inc. | 351,145 | |
21,400 | Jefferies Financial Group, Inc. | 658,264 | |
3,880 | Nasdaq, Inc.1 | 610,596 | |
1,620,005 | |||
Chemicals — 3.7% | |||
7,680 | Corteva, Inc.1 | 443,059 | |
18,600 | Huntsman Corp.1 | 629,982 | |
12,800 | Mosaic Co. (The)1 | 798,976 | |
1,872,017 | |||
Commercial Services & Supplies — 0.7% | |||
2,700 | Republic Services, Inc., Class A1 | 362,529 | |
Communications Equipment — 1.0% | |||
8,980 | Ciena Corp.2 | 495,426 | |
Construction & Engineering — 1.6% | |||
7,340 | EMCOR Group, Inc.1 | 781,563 | |
Consumer Finance — 3.2% | |||
15,520 | Ally Financial, Inc. | 620,179 | |
44,620 | SLM Corp. | 746,493 | |
6,700 | Synchrony Financial | 246,627 | |
1,613,299 | |||
Distributors — 1.4% | |||
14,560 | LKQ Corp. | 722,613 | |
Diversified Consumer Services — 1.0% | |||
18,800 | Laureate Education, Inc. | 213,004 | |
4,240 | Service Corp. International1 | 278,186 | |
491,190 | |||
Diversified Telecommunication Services — 2.6% | |||
14,660 | AT&T, Inc.1 | 276,487 | |
61,880 | Lumen Technologies, Inc. | 622,513 | |
9,200 | Verizon Communications, Inc.1 | 425,960 | |
1,324,960 |
91 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electric Utilities — 3.6% | |||
6,080 | Duke Energy Corp.1 | $ 669,773 | |
10,280 | Evergy, Inc.1 | 697,498 | |
9,360 | Portland General Electric Co. | 443,009 | |
1,810,280 | |||
Electrical Equipment — 1.3% | |||
19,060 | nVent Electric PLC1 | 643,847 | |
Electronic Equipment, Instruments & Components — 2.3% | |||
4,220 | Arrow Electronics, Inc.2 | 497,369 | |
20,700 | Knowles Corp.2 | 383,364 | |
10,540 | Vontier Corp. | 270,035 | |
1,150,768 | |||
Energy Equipment & Services — 1.5% | |||
23,800 | Baker Hughes Co., Class A1 | 738,276 | |
Entertainment — 0.4% | |||
11,486 | Warner Bros Discovery, Inc.2 | 208,471 | |
Equity Real Estate Investment Trusts — 7.9% | |||
13,400 | American Homes 4 Rent - Class A1 | 530,774 | |
11,840 | CubeSmart1 | 562,518 | |
5,280 | Duke Realty Corp.1 | 289,080 | |
4,880 | First Industrial Realty Trust, Inc. | 283,040 | |
4,280 | Kilroy Realty Corp. | 299,600 | |
24,760 | Kimco Realty Corp. | 627,171 | |
7,840 | Lamar Advertising Co. - Class A | 865,615 | |
3,480 | Regency Centers Corp. REIT1 | 239,529 | |
8,140 | VICI Properties, Inc.1 | 242,653 | |
3,939,980 | |||
Food & Staples Retailing — 2.1% | |||
11,340 | Kroger Co. (The)1 | 611,906 | |
14,087 | Sprouts Farmers Market, Inc.2 | 419,793 | |
1,031,699 | |||
Food Products — 3.5% | |||
2,600 | Archer-Daniels-Midland Co.1 | 232,856 | |
11,380 | Darling Ingredients, Inc.2 | 835,179 | |
3,440 | General Mills, Inc.1 | 243,311 | |
4,520 | Tyson Foods, Inc. - Class A1 | 421,083 | |
1,732,429 | |||
Gas Utilities — 0.5% | |||
3,720 | National Fuel Gas Co. | 260,884 | |
Health Care Equipment & Supplies — 1.2% | |||
14,600 | Envista Holdings Corp.2 | 578,452 | |
Health Care Providers & Services — 5.3% | |||
7,780 | Centene Corp.1,2 | 626,679 | |
5,480 | DaVita, Inc.2 | 593,868 | |
7,740 | Henry Schein, Inc.2 | 627,714 | |
2,548 | Molina Healthcare, Inc.1,2 | 798,670 | |
2,646,931 | |||
Hotels, Restaurants & Leisure — 1.3% | |||
30,440 | International Game Technology PLC3 | 664,505 |
92 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Household Durables — 1.3% | |||
6,620 | DR Horton, Inc.1 | $ 460,686 | |
4,337 | PulteGroup, Inc. | 181,113 | |
641,799 | |||
Household Products — 1.8% | |||
15,100 | Central Garden & Pet Co. - Class A2 | 624,838 | |
2,700 | Church & Dwight Co., Inc.1 | 263,412 | |
888,250 | |||
Independent Power & Renewable Electricity Producer — 0.5% | |||
12,800 | AES Corp. (The)1 | 261,376 | |
Insurance — 4.5% | |||
3,860 | American International Group, Inc.1 | 225,849 | |
11,640 | Axis Capital Holdings, Ltd. | 667,321 | |
9,820 | CNA Financial Corp.1 | 465,861 | |
10,580 | Fidelity National Financial, Inc.1 | 421,296 | |
20,720 | Old Republic International Corp.1 | 456,047 | |
2,236,374 | |||
Interactive Media & Service — 1.2% | |||
18,160 | Cargurus, Inc.2 | 593,468 | |
Internet & Direct Marketing Retail — 0.3% | |||
2,740 | eBay, Inc.1 | 142,261 | |
IT Services — 7.4% | |||
8,000 | Amdocs, Ltd. | 637,520 | |
7,300 | Cognizant Technology Solutions Corp. - Class A1 | 590,570 | |
10,540 | CSG Systems International, Inc. | 647,894 | |
16,560 | Genpact, Ltd. | 666,871 | |
8,480 | MAXIMUS, Inc. | 618,022 | |
8,760 | SS&C Technologies Holdings, Inc. | 566,422 | |
3,727,299 | |||
Leisure Product — 0.3% | |||
2,160 | Brunswick Corp. | 163,318 | |
Life Sciences Tools & Services — 2.5% | |||
20,620 | Avantor, Inc.2 | 657,366 | |
4,260 | Medpace Holdings, Inc.2 | 569,008 | |
1,226,374 | |||
Machinery — 2.2% | |||
8,880 | Hillenbrand, Inc.1 | 362,481 | |
5,780 | Ingersoll Rand, Inc.1 | 254,089 | |
6,720 | Otis Worldwide Corp.1 | 489,485 | |
1,106,055 | |||
Media — 5.1% | |||
5,340 | Comcast Corp. - Class A1 | 212,318 | |
14,440 | Fox Corp. - Class A | 517,530 | |
18,260 | Interpublic Group of Cos., Inc. (The) | 595,641 | |
33,821 | News Corp. - Class A | 671,685 | |
7,620 | Omnicom Group, Inc. | 580,111 | |
2,577,285 | |||
Metals & Mining — 2.2% | |||
7,880 | Commercial Metals Co. | 323,080 | |
3,700 | Newmont Corp.1 | 269,545 |
93 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Metals & Mining — (Continued) | |||
2,546 | Reliance Steel & Aluminum Co.1 | $ 504,744 | |
1,097,369 | |||
Multi-line Retail — 1.6% | |||
3,420 | Target Corp.1 | 781,983 | |
Oil, Gas & Consumable Fuels — 3.0% | |||
21,720 | HF Sinclair Corp.2 | 825,795 | |
8,020 | Marathon Petroleum Corp.1 | 699,825 | |
1,525,620 | |||
Pharmaceuticals — 3.7% | |||
7,080 | Organon & Co. | 228,897 | |
17,360 | Perrigo Co. PLC | 595,448 | |
13,360 | Pfizer, Inc.1 | 655,575 | |
13,580 | Supernus Pharmaceuticals, Inc.2 | 378,882 | |
1,858,802 | |||
Professional Services — 1.4% | |||
1,700 | ASGN, Inc.2 | 192,865 | |
6,400 | CBIZ, Inc.2 | 268,096 | |
2,660 | Robert Half International, Inc. | 261,505 | |
722,466 | |||
Road & Rail — 1.4% | |||
14,280 | Knight-Swift Transportation Holdings, Inc.1 | 683,869 | |
Semiconductors & Semiconductor Equipment — 4.0% | |||
20,940 | Amkor Technology, Inc. | 393,881 | |
6,140 | Applied Materials, Inc.1 | 677,549 | |
8,860 | Diodes, Inc.2 | 647,045 | |
5,180 | ON Semiconductor Corp.2 | 269,930 | |
1,988,405 | |||
Software — 8.3% | |||
16,920 | ACI Worldwide, Inc.2 | 467,330 | |
10,460 | Black Knight, Inc.1,2 | 688,163 | |
18,560 | Box, Inc. - Class A2 | 568,307 | |
6,440 | Dolby Laboratories, Inc. - Class A | 498,907 | |
29,080 | Dropbox, Inc. - Class A2 | 632,490 | |
11,520 | Progress Software Corp. | 552,730 | |
6,120 | SPS Commerce, Inc.2 | 732,136 | |
4,140,063 | |||
Specialty Retail — 2.0% | |||
33,440 | American Eagle Outfitters, Inc.3 | 505,278 | |
1,600 | Best Buy Co., Inc. | 143,888 | |
2,860 | Williams-Sonoma, Inc. | 373,173 | |
1,022,339 | |||
Technology Hardware, Storage & Peripherals — 5.7% | |||
37,880 | Hewlett Packard Enterprise Co.1 | 583,731 | |
25,120 | HP, Inc.1 | 920,145 | |
9,580 | NetApp, Inc. | 701,735 | |
22,540 | Pure Storage, Inc. - Class A2 | 660,422 | |
2,866,033 | |||
Textiles, Apparel & Luxury Goods — 2.4% | |||
17,820 | Tapestry, Inc. | 586,634 |
94 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Textiles, Apparel & Luxury Goods — (Continued) | |||
41,220 | Under Armour, Inc. - Class A2 | $ 633,140 | |
1,219,774 | |||
Thrifts & Mortgage Finance — 1.5% | |||
58,820 | MGIC Investment Corp. | 768,189 | |
Trading Companies & Distributors — 2.0% | |||
12,000 | Univar Solutions, Inc.1,2 | 349,440 | |
5,260 | WESCO International, Inc.2 | 648,348 | |
997,788 | |||
Wireless Telecommunication Services — 0.3% | |||
8,200 | Telephone & Data Systems, Inc. | 150,224 | |
TOTAL COMMON STOCKS (Cost $51,531,782) | 62,262,738 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.6% | |||
$283,701 | With Fixed Income Clearing Corp., dated 4/29/22, 0.00%, principal and interest in the amount of $283,701, due 5/2/22, (collateralized by a U.S. Treasury Note with a par value of $288,200, coupon rate of 2.875%, due 08/15/28, market value of $289,454) | 283,701 | |
TOTAL REPURCHASE AGREEMENT (Cost $283,701) | 283,701 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 1.7% | |||
843,134 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 843,134 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $843,134) | 843,134 | ||
TOTAL LONG INVESTMENTS (Cost $52,658,617) | 126.5% | $ 63,389,573 | |
COMMON STOCKS SOLD SHORT* — (24.8)% | |||
Aerospace & Defense — (2.1)% | |||
(600) | Boeing Co. (The)2 | (89,304) | |
(2,400) | Hexcel Corp. | (130,464) | |
(800) | L3Harris Technologies, Inc. | (185,808) | |
(2,020) | Mercury Systems, Inc.2 | (112,696) | |
(2,040) | Raytheon Technologies Corp. | (193,616) | |
(380) | TransDigm Group, Inc.2 | (226,028) | |
(1,100) | Woodward, Inc. | (121,528) | |
(1,059,444) | |||
Air Freight & Logistics — (0.3)% | |||
(700) | United Parcel Service, Inc. - Class B | (125,986) | |
Airlines — (0.6)% | |||
(3,340) | Southwest Airlines Co.2 | (156,045) | |
(2,700) | United Airlines Holdings, Inc.2 | (136,350) | |
(292,395) | |||
Auto Components — (0.3)% | |||
(4,440) | Gentex Corp. | (130,314) |
95 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Banks — (1.8)% | |||
(280) | First Citizens BancShares, Inc. - Class A | $ (179,026) | |
(3,500) | Glacier Bancorp, Inc. | (160,160) | |
(1,140) | M&T Bank Corp. | (189,970) | |
(400) | SVB Financial Group2 | (195,056) | |
(3,740) | Truist Financial Corp. | (180,829) | |
(905,041) | |||
Beverages — (1.0)% | |||
(500) | Boston Beer Co., Inc. (The) Class A2 | (187,500) | |
(400) | Constellation Brands, Inc. - Class A | (98,436) | |
(1,100) | PepsiCo, Inc. | (188,881) | |
(474,817) | |||
Building Products — (0.5)% | |||
(1,820) | AAON, Inc. | (88,707) | |
(1,100) | Advanced Drainage Systems, Inc. | (112,706) | |
(1,200) | Trex Co., Inc.2 | (69,828) | |
(271,241) | |||
Capital Markets — (0.3)% | |||
(240) | MarketAxess Holdings, Inc. | (63,266) | |
(300) | Moody’s Corp. | (94,944) | |
(158,210) | |||
Chemicals — (2.5)% | |||
(800) | Air Products and Chemicals, Inc. | (187,256) | |
(1,100) | Albemarle Corp. | (212,113) | |
(1,100) | Ecolab, Inc. | (186,274) | |
(1,600) | International Flavors & Fragrances, Inc. | (194,080) | |
(1,120) | PPG Industries, Inc. | (143,349) | |
(2,080) | RPM International, Inc. | (172,432) | |
(1,380) | Scotts Miracle-Gro Co. (The) | (143,423) | |
(1,238,927) | |||
Commercial Services & Supplies — (0.6)% | |||
(1,440) | MSA Safety, Inc. | (173,794) | |
(700) | Waste Management, Inc. | (115,108) | |
(288,902) | |||
Communications Equipment — (0.3)% | |||
(800) | F5, Inc.2 | (133,928) | |
Containers & Packaging — (0.5)% | |||
(1,000) | AptarGroup, Inc. | (114,830) | |
(1,800) | Ball Corp. | (146,088) | |
(260,918) | |||
Diversified Consumer Services — (0.2)% | |||
(634) | Bright Horizons Family Solutions, Inc.2 | (72,428) | |
Electric Utilities — (1.0)% | |||
(3,260) | Constellation Energy Corp. | (193,025) | |
(2,780) | FirstEnergy Corp. | (120,402) | |
(2,640) | Southern Co. (The) | (193,749) | |
(507,176) | |||
Electrical Equipment — (0.6)% | |||
(7,340) | Array Technologies, Inc.2 | (47,930) | |
(600) | Hubbell, Inc., Class B | (117,216) |
96 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Electrical Equipment — (Continued) | |||
(600) | Rockwell Automation, Inc. | $ (151,602) | |
(316,748) | |||
Electronic Equipment, Instruments & Components — (0.5)% | |||
(1,980) | Cognex Corp. | (133,907) | |
(360) | Zebra Technologies Corp. - Class A2 | (133,078) | |
(266,985) | |||
Equity Real Estate Investment Trusts — (2.5)% | |||
(1,000) | Alexandria Real Estate Equities, Inc. | (182,160) | |
(1,200) | Digital Realty Trust, Inc. | (175,344) | |
(5,500) | Equity Commonwealth2 | (144,045) | |
(5,640) | Healthpeak Properties, Inc. | (185,048) | |
(6,460) | Omega Healthcare Investors, Inc. REIT | (164,601) | |
(2,920) | Ventas, Inc. | (162,206) | |
(7,786) | Veris Residential, Inc.2 | (124,654) | |
(3,200) | Vornado Realty Trust | (123,872) | |
(1,261,930) | |||
Food & Staples Retailing — (0.4)% | |||
(2,320) | Sysco Corp. | (198,314) | |
Food Products — (0.2)% | |||
(800) | J&J Snack Foods Corp. | (119,760) | |
Health Care Equipment & Supplies — (0.9)% | |||
(480) | Becton Dickinson and Co. | (118,651) | |
(300) | Cooper Cos., Inc. (The) | (108,312) | |
(96) | Embecta Corp.2 | (2,921) | |
(540) | ResMed, Inc. | (107,984) | |
(500) | Stryker Corp. | (120,630) | |
(458,498) | |||
Hotels, Restaurants & Leisure — (1.2)% | |||
(1,100) | Caesars Entertainment, Inc.2 | (72,908) | |
(1,580) | Cracker Barrel Old Country Store, Inc. | (175,364) | |
(2,620) | Las Vegas Sands Corp.2 | (92,827) | |
(1,880) | Papa John’s International, Inc. | (171,174) | |
(1,580) | Wynn Resorts, Ltd.2 | (111,358) | |
(623,631) | |||
Household Durables — (0.2)% | |||
(3,300) | Leggett & Platt, Inc. | (117,579) | |
Household Products — (0.3)% | |||
(1,000) | Kimberly-Clark Corp. | (138,830) | |
Industrial Conglomerates — (0.6)% | |||
(1,120) | 3M Co. | (161,526) | |
(1,820) | General Electric Co. | (135,681) | |
(297,207) | |||
Insurance — (2.0)% | |||
(2,880) | Aflac, Inc. | (164,966) | |
(1,580) | Allstate Corp. (The) | (199,933) | |
(720) | Erie Indemnity Co. - Class A | (115,402) | |
(1,700) | Globe Life, Inc. | (166,736) | |
(3,860) | Kemper Corp. | (178,178) | |
(1,480) | Progressive Corp. (The) | (158,893) | |
(984,108) |
97 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Internet & Direct Marketing Retail — (0.2)% | |||
(40) | Amazon.com, Inc.2 | $ (99,425) | |
Leisure Product — (0.2)% | |||
(1,020) | Polaris Industries, Inc. | (96,839) | |
Machinery — (0.4)% | |||
(500) | Deere & Co. | (188,775) | |
Multi-Utilities — (0.3)% | |||
(1,300) | DTE Energy Co. | (170,352) | |
Road & Rail — (0.6)% | |||
(1,160) | Avis Budget Group, Inc.2 | (310,497) | |
Semiconductors & Semiconductor Equipment — (0.5)% | |||
(800) | Texas Instruments, Inc. | (136,200) | |
(1,300) | Wolfspeed, Inc.2 | (119,223) | |
(255,423) | |||
Software — (0.8)% | |||
(280) | ANSYS, Inc.2 | (77,193) | |
(500) | Autodesk, Inc.2 | (94,640) | |
(200) | MicroStrategy, Inc. - Class A2 | (70,834) | |
(400) | Tyler Technologies, Inc.2 | (157,884) | |
(400,551) | |||
Textiles, Apparel & Luxury Goods — (0.2)% | |||
(1,660) | VF Corp. | (86,320) | |
Water Utilities — (0.2)% | |||
(2,180) | Essential Utilities, Inc. | (97,577) | |
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(14,210,884)) | (12,409,076) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(14,210,884)) | (24.8)% | $(12,409,076) | |
TOTAL INVESTMENTS (Cost $38,447,733) | 101.7% | $ 50,980,497 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.7) | (858,598) | |
NET ASSETS | 100.0% | $ 50,121,899 |
* | Percentages indicated are based on net assets. |
1 | All or portion of security pledged as collateral for securities sold short. The total market value of collateral is $14,731,874. |
2 | Non income-producing security. |
3 | Securities or partial securities on loan. See Note 1. |
4 | Represents an investment of securities lending cash collateral. |
98 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Long Positions: | |||
Software | 8.3% | $ 4,140,063 | |
Equity Real Estate Investment Trusts | 7.9 | 3,939,980 | |
IT Services | 7.4 | 3,727,299 | |
Technology Hardware, Storage & Peripherals | 5.7 | 2,866,033 | |
Health Care Providers & Services | 5.3 | 2,646,931 | |
Media | 5.1 | 2,577,285 | |
Insurance | 4.5 | 2,236,374 | |
Semiconductors & Semiconductor Equipment | 4.0 | 1,988,405 | |
Banks | 3.9 | 1,949,107 | |
Chemicals | 3.7 | 1,872,017 | |
Pharmaceuticals | 3.7 | 1,858,802 | |
Electric Utilities | 3.6 | 1,810,280 | |
Food Products | 3.5 | 1,732,429 | |
Capital Markets | 3.2 | 1,620,005 | |
Consumer Finance | 3.2 | 1,613,299 | |
Oil, Gas & Consumable Fuels | 3.0 | 1,525,620 | |
Diversified Telecommunication Services | 2.6 | 1,324,960 | |
Life Sciences Tools & Services | 2.5 | 1,226,374 | |
Textiles, Apparel & Luxury Goods | 2.4 | 1,219,774 | |
Electronic Equipment, Instruments & Components | 2.3 | 1,150,768 | |
Machinery | 2.2 | 1,106,055 | |
Metals & Mining | 2.2 | 1,097,369 | |
Food & Staples Retailing | 2.1 | 1,031,699 | |
Specialty Retail | 2.0 | 1,022,339 | |
Trading Companies & Distributors | 2.0 | 997,788 | |
Household Products | 1.8 | 888,250 | |
Automobiles | 1.6 | 802,556 | |
Multi-line Retail | 1.6 | 781,983 | |
Construction & Engineering | 1.6 | 781,563 | |
Thrifts & Mortgage Finance | 1.5 | 768,189 | |
Energy Equipment & Services | 1.5 | 738,276 | |
Distributors | 1.4 | 722,613 | |
Professional Services | 1.4 | 722,466 | |
Road & Rail | 1.4 | 683,869 | |
Hotels, Restaurants & Leisure | 1.3 | 664,505 | |
Electrical Equipment | 1.3 | 643,847 | |
Household Durables | 1.3 | 641,799 | |
Air Freight & Logistics | 1.2 | 609,813 | |
Interactive Media & Service | 1.2 | 593,468 | |
Health Care Equipment & Supplies | 1.2 | 578,452 | |
Building Products | 1.0 | 517,275 | |
Communications Equipment | 1.0 | 495,426 | |
Diversified Consumer Services | 1.0 | 491,190 | |
Commercial Services & Supplies | 0.7 | 362,529 | |
Aerospace & Defense | 0.6 | 307,080 | |
Independent Power & Renewable Electricity Producer | 0.5 | 261,376 | |
Gas Utilities | 0.5 | 260,884 | |
Entertainment | 0.4 | 208,471 | |
Leisure Product | 0.3 | 163,318 | |
Wireless Telecommunication Services | 0.3 | 150,224 | |
Internet & Direct Marketing Retail | 0.3 | 142,261 |
99 |
% of Net Assets | Value | ||
INDUSTRIES: — (Continued) | |||
Short Positions: | |||
Diversified Consumer Services | (0.2)% | $ (72,428) | |
Textiles, Apparel & Luxury Goods | (0.2) | (86,320) | |
Leisure Product | (0.2) | (96,839) | |
Water Utilities | (0.2) | (97,577) | |
Internet & Direct Marketing Retail | (0.2) | (99,425) | |
Household Durables | (0.2) | (117,579) | |
Food Products | (0.2) | (119,760) | |
Air Freight & Logistics | (0.3) | (125,986) | |
Auto Components | (0.3) | (130,314) | |
Communications Equipment | (0.3) | (133,928) | |
Household Products | (0.3) | (138,830) | |
Capital Markets | (0.3) | (158,210) | |
Multi-Utilities | (0.3) | (170,352) | |
Machinery | (0.4) | (188,775) | |
Food & Staples Retailing | (0.4) | (198,314) | |
Semiconductors & Semiconductor Equipment | (0.5) | (255,423) | |
Containers & Packaging | (0.5) | (260,918) | |
Electronic Equipment, Instruments & Components | (0.5) | (266,985) | |
Building Products | (0.5) | (271,241) | |
Commercial Services & Supplies | (0.6) | (288,902) | |
Airlines | (0.6) | (292,395) | |
Industrial Conglomerates | (0.6) | (297,207) | |
Road & Rail | (0.6) | (310,497) | |
Electrical Equipment | (0.6) | (316,748) | |
Software | (0.8) | (400,551) | |
Health Care Equipment & Supplies | (0.9) | (458,498) | |
Beverages | (1.0) | (474,817) | |
Electric Utilities | (1.0) | (507,176) | |
Hotels, Restaurants & Leisure | (1.2) | (623,631) | |
Banks | (1.8) | (905,041) | |
Insurance | (2.0) | (984,108) | |
Aerospace & Defense | (2.1) | (1,059,444) | |
Chemicals | (2.5) | (1,238,927) | |
Equity Real Estate Investment Trusts | (2.5) | (1,261,930) | |
TOTAL COMMON STOCKS | 99.4% | $49,853,662 | |
REPURCHASE AGREEMENT | 0.6 | 283,701 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 1.7 | 843,134 | |
TOTAL INVESTMENTS | 101.7% | $50,980,497 |
100 |
Shares | Value | ||
COMMON STOCKS* — 99.4% | |||
Aerospace & Defense — 3.2% | |||
76,005 | Raytheon Technologies Corp. | $ 7,213,635 | |
Banks — 4.6% | |||
36,779 | JPMorgan Chase & Co. | 4,389,941 | |
35,719 | PNC Financial Services Group, Inc. (The) | 5,932,926 | |
10,322,867 | |||
Beverages — 2.2% | |||
28,497 | PepsiCo, Inc. | 4,893,220 | |
Biotechnology — 1.2% | |||
12,623 | Biogen, Inc.1 | 2,618,515 | |
Capital Markets — 1.8% | |||
37,762 | Northern Trust Corp. | 3,891,374 | |
Chemicals — 1.9% | |||
32,453 | PPG Industries, Inc. | 4,153,659 | |
Communications Equipment — 1.9% | |||
88,053 | Cisco Systems, Inc. | 4,312,836 | |
Construction Materials — 1.7% | |||
10,771 | Martin Marietta Materials, Inc. | 3,815,304 | |
Electrical Equipment — 2.9% | |||
50,228 | AMETEK, Inc. | 6,341,787 | |
Electronic Equipment, Instruments & Components — 3.3% | |||
101,871 | Amphenol Corp. - Class A | 7,283,776 | |
Health Care Equipment & Supplies — 3.8% | |||
32,227 | Abbott Laboratories | 3,657,765 | |
20,266 | Stryker Corp. | 4,889,375 | |
8,547,140 | |||
Health Care Providers & Services — 2.6% | |||
24,197 | Laboratory Corp. of America Holdings1 | 5,814,055 | |
Hotels, Restaurants & Leisure — 3.3% | |||
3,359 | Booking Holdings, Inc.1 | 7,424,431 | |
Household Products — 1.5% | |||
43,299 | Colgate-Palmolive Co. | 3,336,188 | |
Insurance — 2.8% | |||
30,594 | Chubb, Ltd. | 6,316,131 | |
Interactive Media & Services — 7.5% | |||
4,241 | Alphabet, Inc. - Class C1 | 9,751,459 | |
34,854 | Meta Platforms, Inc. - Class A1 | 6,987,181 | |
16,738,640 | |||
Internet & Direct Marketing Retail — 2.3% | |||
2,027 | Amazon.com, Inc.1 | 5,038,372 | |
IT Services — 11.3% | |||
15,400 | Accenture PLC - Class A | 4,625,544 | |
16,462 | Gartner, Inc.1 | 4,783,034 | |
39,814 | Global Payments, Inc. | 5,453,722 | |
27,966 | Mastercard, Inc. - Class A | 10,162,285 | |
25,024,585 | |||
Life Sciences Tools & Services — 2.2% | |||
16,260 | Waters Corp.1 | 4,927,105 |
101 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Machinery — 2.4% | |||
19,700 | Parker-Hannifin Corp. | $ 5,335,154 | |
Media — 2.4% | |||
132,484 | Comcast Corp. - Class A | 5,267,564 | |
Multi-line Retail — 2.2% | |||
20,924 | Dollar General Corp. | 4,970,078 | |
Oil, Gas & Consumable Fuels — 3.4% | |||
47,585 | Chevron Corp. | 7,455,142 | |
Pharmaceuticals — 6.5% | |||
65,951 | Bristol-Myers Squibb Co. | 4,964,132 | |
18,137 | Eli Lilly & Co. | 5,298,362 | |
23,905 | Zoetis, Inc. | 4,237,161 | |
14,499,655 | |||
Road & Rail — 1.6% | |||
12,534 | Old Dominion Freight Line, Inc. | 3,511,024 | |
Software — 7.2% | |||
7,658 | Adobe, Inc.1 | 3,032,185 | |
30,914 | Microsoft Corp. | 8,579,253 | |
59,182 | Oracle Corp. | 4,343,959 | |
15,955,397 | |||
Specialty Retail — 7.2% | |||
17,490 | Home Depot, Inc. (The) | 5,253,996 | |
49,981 | Ross Stores, Inc. | 4,986,605 | |
14,579 | Ulta Beauty, Inc.1 | 5,784,947 | |
16,025,548 | |||
Technology Hardware, Storage & Peripherals — 4.5% | |||
63,179 | Apple, Inc. | 9,960,169 | |
TOTAL COMMON STOCKS (Cost $112,763,739) | 220,993,351 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.5% | |||
$1,130,279 | With Fixed Income Clearing Corp., dated 4/29/22, 0.00%, principal and interest in the amount of $1,130,279, due 5/2/22, (collateralized by a U.S. Treasury Note with a par value of $1,257,800, coupon rate of 1.500%, due 11/30/28, market value of $1,152,902) | 1,130,279 | |
TOTAL REPURCHASE AGREEMENT (Cost $1,130,279) | 1,130,279 | ||
TOTAL INVESTMENTS (Cost $113,894,018) | 99.9% | $222,123,630 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.1 | 175,364 | |
NET ASSETS | 100.0% | $222,298,994 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
102 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
IT Services | 11.3% | $ 25,024,585 | |
Interactive Media & Services | 7.5 | 16,738,640 | |
Specialty Retail | 7.2 | 16,025,548 | |
Software | 7.2 | 15,955,397 | |
Pharmaceuticals | 6.5 | 14,499,655 | |
Banks | 4.6 | 10,322,867 | |
Technology Hardware, Storage & Peripherals | 4.5 | 9,960,169 | |
Health Care Equipment & Supplies | 3.8 | 8,547,140 | |
Oil, Gas & Consumable Fuels | 3.4 | 7,455,142 | |
Hotels, Restaurants & Leisure | 3.3 | 7,424,431 | |
Electronic Equipment, Instruments & Components | 3.3 | 7,283,776 | |
Aerospace & Defense | 3.2 | 7,213,635 | |
Electrical Equipment | 2.9 | 6,341,787 | |
Insurance | 2.8 | 6,316,131 | |
Health Care Providers & Services | 2.6 | 5,814,055 | |
Machinery | 2.4 | 5,335,154 | |
Media | 2.4 | 5,267,564 | |
Internet & Direct Marketing Retail | 2.3 | 5,038,372 | |
Multi-line Retail | 2.2 | 4,970,078 | |
Life Sciences Tools & Services | 2.2 | 4,927,105 | |
Beverages | 2.2 | 4,893,220 | |
Communications Equipment | 1.9 | 4,312,836 | |
Chemicals | 1.9 | 4,153,659 | |
Capital Markets | 1.8 | 3,891,374 | |
Construction Materials | 1.7 | 3,815,304 | |
Road & Rail | 1.6 | 3,511,024 | |
Household Products | 1.5 | 3,336,188 | |
Biotechnology | 1.2 | 2,618,515 | |
TOTAL COMMON STOCKS | 99.4% | $220,993,351 | |
REPURCHASE AGREEMENT | 0.5 | 1,130,279 | |
TOTAL INVESTMENTS | 99.9% | $222,123,630 |
103 |
Shares | Value | ||
COMMON STOCKS* — 98.2% | |||
Air Freight & Logistics — 1.2% | |||
257,288 | Atlas Air Worldwide Holdings, Inc.1 | $ 17,737,435 | |
Auto Components — 0.7% | |||
103,767 | LCI Industries | 10,098,604 | |
Banks — 9.5% | |||
405,070 | Ameris Bancorp | 16,891,419 | |
349,354 | BankUnited, Inc. | 13,114,749 | |
392,478 | Cathay General Bancorp | 15,734,443 | |
1,759,773 | FNB Corp. | 20,272,585 | |
424,885 | Hancock Whitney Corp. | 19,871,872 | |
495,263 | Simmons First National Corp. - Class A | 11,821,928 | |
1,143,067 | Umpqua Holdings Corp. | 18,906,328 | |
211,418 | Wintrust Financial Corp. | 18,461,020 | |
135,074,344 | |||
Biotechnology — 3.7% | |||
630,073 | Alkermes PLC1 | 18,177,606 | |
444,243 | Halozyme Therapeutics, Inc.1 | 17,725,296 | |
1,339,832 | Ironwood Pharmaceuticals, Inc.1,2 | 16,077,984 | |
51,980,886 | |||
Building Products — 1.0% | |||
177,417 | Masonite International Corp.1 | 13,753,366 | |
Capital Markets — 3.3% | |||
135,519 | Evercore, Inc. - Class A | 14,331,134 | |
282,820 | Stifel Financial Corp. | 17,492,417 | |
528,651 | Virtu Financial, Inc. - Class A | 15,267,441 | |
47,090,992 | |||
Chemicals — 2.3% | |||
216,043 | Ingevity Corp.1 | 12,940,975 | |
672,025 | Valvoline, Inc. | 20,315,316 | |
33,256,291 | |||
Communications Equipment — 1.2% | |||
298,532 | Ciena Corp.1 | 16,470,010 | |
Construction & Engineering — 4.1% | |||
253,686 | Arcosa, Inc. | 13,579,812 | |
148,939 | Dycom Industries, Inc.1 | 12,646,410 | |
148,939 | EMCOR Group, Inc. | 15,859,025 | |
230,118 | MasTec, Inc.1 | 16,570,797 | |
58,656,044 | |||
Containers & Packaging — 2.1% | |||
753,533 | Graphic Packaging Holding Co. | 16,427,019 | |
315,554 | Silgan Holdings, Inc. | 14,001,131 | |
30,428,150 | |||
Diversified Consumer Services — 0.9% | |||
410,851 | Frontdoor, Inc.1 | 12,699,404 | |
Electric Utilities — 0.8% | |||
235,029 | Portland General Electric Co. | 11,123,923 | |
Electrical Equipment — 0.8% | |||
168,578 | EnerSys | 11,035,116 | |
Electronic Equipment, Instruments & Components — 1.0% | |||
1,031,771 | TTM Technologies, Inc.1 | 14,393,205 |
104 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Equity Real Estate Investment Trusts — 6.0% | |||
530,615 | Hudson Pacific Properties, Inc. | $ 12,352,717 | |
1,117,207 | LXP Industrial Trust | 14,020,948 | |
639,946 | Outfront Media, Inc. | 16,382,617 | |
885,778 | Piedmont Office Realty Trust, Inc. - Class A | 14,261,026 | |
360,399 | STAG Industrial, Inc. | 13,450,091 | |
1,201,987 | Uniti Group, Inc. | 14,892,619 | |
85,360,018 | |||
Food & Staples Retailing — 0.7% | |||
215,061 | Performance Food Group Co.1 | 10,591,754 | |
Food Products — 1.8% | |||
1,141,102 | Hostess Brands, Inc.1 | 25,891,604 | |
Gas Utilities — 2.3% | |||
291,657 | New Jersey Resources Corp. | 12,587,916 | |
587,630 | South Jersey Industries, Inc. | 20,091,070 | |
32,678,986 | |||
Health Care Equipment & Supplies — 4.8% | |||
66,450 | ICU Medical, Inc.1 | 14,219,636 | |
269,726 | Merit Medical Systems, Inc.1 | 16,725,709 | |
59,903 | Mesa Laboratories, Inc.2 | 12,797,078 | |
418,708 | Neogen Corp.1 | 11,053,891 | |
273,334 | NuVasive, Inc.1 | 14,060,301 | |
68,856,615 | |||
Health Care Providers & Services — 3.5% | |||
197,385 | AMN Healthcare Services, Inc.1 | 19,294,384 | |
294,986 | HealthEquity, Inc.1,2 | 18,383,528 | |
553,960 | R1 RCM, Inc.1 | 12,475,179 | |
50,153,091 | |||
Health Care Technology — 1.7% | |||
854,681 | Evolent Health, Inc. - Class A1 | 23,520,821 | |
Hotels, Restaurants & Leisure — 1.7% | |||
395,097 | Boyd Gaming Corp. | 23,934,976 | |
Household Durables — 2.4% | |||
50,737 | Helen of Troy, Ltd.1,2 | 10,883,594 | |
415,719 | La-Z-Boy, Inc. | 10,925,095 | |
613,759 | Tri Pointe Homes, Inc.1 | 12,686,399 | |
34,495,088 | |||
Household Products — 0.9% | |||
434,050 | Energizer Holdings, Inc. | 13,147,375 | |
Insurance — 1.0% | |||
273,982 | Stewart Information Services Corp. | 14,137,471 | |
Interactive Media & Services — 2.2% | |||
565,313 | Cargurus, Inc.1 | 18,474,429 | |
147,302 | Ziff Davis, Inc.1,2 | 13,015,605 | |
31,490,034 | |||
IT Services — 0.9% | |||
332,541 | DigitalOcean Holdings, Inc.1 | 13,112,092 | |
Life Sciences Tools & Services — 1.2% | |||
50,220 | Medpace Holdings, Inc.1 | 6,707,885 | |
1,106,144 | NeoGenomics, Inc.1 | 10,453,061 | |
17,160,946 |
105 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Machinery — 1.2% | |||
400,007 | Hillenbrand, Inc. | $ 16,328,286 | |
Media — 1.2% | |||
104,749 | Nexstar Media Group, Inc. - Class A | 16,594,337 | |
Multi-line Retail — 0.9% | |||
219,316 | Kohl’s Corp. | 12,694,010 | |
Oil, Gas & Consumable Fuels — 7.9% | |||
1,235,376 | CNX Resources Corp.1 | 25,386,977 | |
406,226 | Matador Resources Co. | 19,831,954 | |
598,205 | Ovintiv, Inc. | 30,622,114 | |
262,572 | PDC Energy, Inc. | 18,311,771 | |
509,338 | SM Energy Co. | 18,096,779 | |
112,249,595 | |||
Pharmaceuticals — 3.1% | |||
233,401 | Pacira BioSciences, Inc.1 | 17,404,713 | |
353,197 | Prestige Consumer Healthcare, Inc.1 | 19,305,748 | |
254,355 | Supernus Pharmaceuticals, Inc.1 | 7,096,504 | |
43,806,965 | |||
Professional Services — 2.6% | |||
180,037 | ASGN, Inc.1 | 20,425,198 | |
61,212 | CACI International, Inc. - Class A1 | 16,239,543 | |
36,664,741 | |||
Real Estate Management & Development — 1.0% | |||
762,461 | Cushman & Wakefield PLC1 | 13,648,052 | |
Semiconductors & Semiconductor Equipment — 2.5% | |||
267,109 | Diodes, Inc.1 | 19,506,970 | |
642,238 | Rambus, Inc.1 | 15,998,149 | |
35,505,119 | |||
Software — 5.6% | |||
279,874 | CommVault Systems, Inc.1 | 17,072,314 | |
852,717 | Mandiant, Inc.1 | 18,742,719 | |
324,392 | Progress Software Corp. | 15,564,328 | |
119,806 | SPS Commerce, Inc.1 | 14,332,392 | |
255,978 | Verint Systems, Inc.1 | 13,966,160 | |
79,677,913 | |||
Specialty Retail — 2.1% | |||
99,184 | Asbury Automotive Group, Inc.1 | 18,221,093 | |
389,359 | Foot Locker, Inc. | 11,412,112 | |
29,633,205 | |||
Thrifts & Mortgage Finance — 0.9% | |||
597,065 | Radian Group, Inc. | 12,771,220 | |
Trading Companies & Distributors — 5.5% | |||
357,780 | Beacon Roofing Supply, Inc.1 | 21,334,421 | |
234,047 | Boise Cascade Co. | 17,689,272 | |
757,788 | Univar Solutions, Inc.1 | 22,066,787 | |
141,738 | WESCO International, Inc.1 | 17,470,626 | |
78,561,106 | |||
TOTAL COMMON STOCKS (Cost $1,043,143,231) | 1,396,463,190 |
106 |
Face Amount | Value | ||
REPURCHASE AGREEMENT* — 1.8% | |||
$25,048,891 | With Fixed Income Clearing Corp., dated 4/29/22, 0.00%, principal and interest in the amount of $25,048,891, due 5/2/22, (collateralized by a U.S. Treasury Note with a par value of $28,573,300, coupon rate of 1.000%, due 07/31/28, market value of $25,549,929) | $ 25,048,891 | |
TOTAL REPURCHASE AGREEMENT (Cost $25,048,891) | 25,048,891 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 1.1% | |||
15,421,638 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 15,421,638 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $15,421,638) | 15,421,638 | ||
TOTAL INVESTMENTS (Cost $1,083,613,760) | 101.1% | $1,436,933,719 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.1) | (15,330,385) | |
NET ASSETS | 100.0% | $1,421,603,334 |
* | 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. |
107 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 9.5% | $ 135,074,344 | |
Oil, Gas & Consumable Fuels | 7.9 | 112,249,595 | |
Equity Real Estate Investment Trusts | 6.0 | 85,360,018 | |
Software | 5.6 | 79,677,913 | |
Trading Companies & Distributors | 5.5 | 78,561,106 | |
Health Care Equipment & Supplies | 4.8 | 68,856,615 | |
Construction & Engineering | 4.1 | 58,656,044 | |
Biotechnology | 3.7 | 51,980,886 | |
Health Care Providers & Services | 3.5 | 50,153,091 | |
Capital Markets | 3.3 | 47,090,992 | |
Pharmaceuticals | 3.1 | 43,806,965 | |
Professional Services | 2.6 | 36,664,741 | |
Semiconductors & Semiconductor Equipment | 2.5 | 35,505,119 | |
Household Durables | 2.4 | 34,495,088 | |
Chemicals | 2.3 | 33,256,291 | |
Gas Utilities | 2.3 | 32,678,986 | |
Interactive Media & Services | 2.2 | 31,490,034 | |
Containers & Packaging | 2.1 | 30,428,150 | |
Specialty Retail | 2.1 | 29,633,205 | |
Food Products | 1.8 | 25,891,604 | |
Hotels, Restaurants & Leisure | 1.7 | 23,934,976 | |
Health Care Technology | 1.7 | 23,520,821 | |
Air Freight & Logistics | 1.2 | 17,737,435 | |
Life Sciences Tools & Services | 1.2 | 17,160,946 | |
Media | 1.2 | 16,594,337 | |
Communications Equipment | 1.2 | 16,470,010 | |
Machinery | 1.2 | 16,328,286 | |
Electronic Equipment, Instruments & Components | 1.0 | 14,393,205 | |
Insurance | 1.0 | 14,137,471 | |
Building Products | 1.0 | 13,753,366 | |
Real Estate Management & Development | 1.0 | 13,648,052 | |
Household Products | 0.9 | 13,147,375 | |
IT Services | 0.9 | 13,112,092 | |
Thrifts & Mortgage Finance | 0.9 | 12,771,220 | |
Diversified Consumer Services | 0.9 | 12,699,404 | |
Multi-line Retail | 0.9 | 12,694,010 | |
Electric Utilities | 0.8 | 11,123,923 | |
Electrical Equipment | 0.8 | 11,035,116 | |
Food & Staples Retailing | 0.7 | 10,591,754 | |
Auto Components | 0.7 | 10,098,604 | |
TOTAL COMMON STOCKS | 98.2% | $1,396,463,190 | |
REPURCHASE AGREEMENT | 1.8 | 25,048,891 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 1.1 | 15,421,638 | |
TOTAL INVESTMENTS | 101.1% | $1,436,933,719 |
108 |
Shares | Value | ||
COMMON STOCKS* — 99.5% | |||
Aerospace & Defense — 2.4% | |||
5,460 | Raytheon Technologies Corp. | $ 518,209 | |
Air Freight & Logistics — 1.8% | |||
2,155 | United Parcel Service, Inc. - Class B | 387,857 | |
Banks — 1.6% | |||
2,784 | JPMorgan Chase & Co. | 332,298 | |
Beverages — 2.9% | |||
3,564 | PepsiCo, Inc. | 611,974 | |
Biotechnology — 2.2% | |||
2,046 | Amgen, Inc. | 477,107 | |
Capital Markets — 7.6% | |||
1,361 | Ameriprise Financial, Inc. | 361,332 | |
427 | BlackRock, Inc. | 266,738 | |
4,420 | Charles Schwab Corp. (The) | 293,179 | |
5,120 | Morgan Stanley | 412,621 | |
2,750 | Northern Trust Corp. | 283,387 | |
1,617,257 | |||
Chemicals — 3.1% | |||
1,301 | Air Products and Chemicals, Inc. | 304,525 | |
2,879 | PPG Industries, Inc. | 368,483 | |
673,008 | |||
Communications Equipment — 1.8% | |||
8,030 | Cisco Systems, Inc. | 393,309 | |
Distributors — 1.3% | |||
2,104 | Genuine Parts Co. | 273,625 | |
Electrical Equipment — 3.5% | |||
2,741 | Eaton Corp. PLC | 397,500 | |
1,409 | Rockwell Automation, Inc. | 356,012 | |
753,512 | |||
Electronic Equipment, Instruments & Components — 1.9% | |||
3,325 | TE Connectivity, Ltd. | 414,894 | |
Food Products — 3.6% | |||
2,006 | Hershey Co. (The) | 452,895 | |
5,078 | Mondelez International, Inc. - Class A | 327,429 | |
780,324 | |||
Gas Utilities — 1.6% | |||
9,878 | UGI Corp. | 338,815 | |
Health Care Equipment & Supplies — 3.6% | |||
3,507 | Abbott Laboratories | 398,044 | |
3,641 | Medtronic PLC | 379,975 | |
778,019 | |||
Health Care Providers & Services — 2.0% | |||
3,211 | Quest Diagnostics, Inc. | 429,760 | |
Hotels, Restaurants & Leisure — 3.5% | |||
2,000 | McDonald’s Corp. | 498,320 | |
3,242 | Starbucks Corp. | 241,983 | |
740,303 | |||
Household Products — 4.0% | |||
5,084 | Colgate-Palmolive Co. | 391,722 |
109 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Household Products — (Continued) | |||
2,879 | Procter & Gamble Co. (The) | $ 462,224 | |
853,946 | |||
Insurance — 6.3% | |||
6,196 | Aflac, Inc. | 354,907 | |
1,639 | Allstate Corp. (The) | 207,399 | |
1,331 | Everest Re Group, Ltd. | 365,639 | |
6,244 | Principal Financial Group, Inc. | 425,466 | |
1,353,411 | |||
IT Services — 5.4% | |||
731 | Accenture PLC - Class A | 219,563 | |
4,662 | Fidelity National Information Services, Inc. | 462,237 | |
3,758 | Paychex, Inc. | 476,252 | |
1,158,052 | |||
Machinery — 4.9% | |||
1,609 | Cummins, Inc. | 304,407 | |
1,439 | Illinois Tool Works, Inc. | 283,641 | |
2,194 | Snap-on, Inc. | 466,203 | |
1,054,251 | |||
Media — 3.9% | |||
10,843 | Comcast Corp. - Class A | 431,118 | |
12,574 | Interpublic Group of Cos., Inc. (The) | 410,164 | |
841,282 | |||
Multi-Utilities — 3.7% | |||
5,501 | Dominion Energy, Inc. | 449,102 | |
2,552 | DTE Energy Co. | 334,414 | |
783,516 | |||
Oil, Gas & Consumable Fuels — 4.4% | |||
3,575 | Chevron Corp. | 560,095 | |
4,452 | Phillips 66 | 386,256 | |
946,351 | |||
Pharmaceuticals — 9.4% | |||
7,556 | Bristol-Myers Squibb Co. | 568,740 | |
1,543 | Eli Lilly & Co. | 450,757 | |
3,792 | Johnson & Johnson | 684,304 | |
6,463 | Pfizer, Inc. | 317,140 | |
2,020,941 | |||
Road & Rail — 2.2% | |||
2,035 | Union Pacific Corp. | 476,780 | |
Semiconductors & Semiconductor Equipment — 2.9% | |||
3,593 | Texas Instruments, Inc. | 611,708 | |
Software — 1.9% | |||
5,556 | Oracle Corp. | 407,810 | |
Specialty Retail — 4.3% | |||
1,707 | Home Depot, Inc. (The) | 512,783 | |
4,018 | Ross Stores, Inc. | 400,876 | |
913,659 | |||
Technology Hardware, Storage & Peripherals — 1.8% | |||
5,292 | NetApp, Inc. | 387,639 | |
TOTAL COMMON STOCKS (Cost $16,077,007) | 21,329,617 |
110 |
Face Amount | Value | ||
REPURCHASE AGREEMENT* — 0.5% | |||
$116,109 | With Fixed Income Clearing Corp., dated 4/29/22, 0.00%, principal and interest in the amount of $116,109, due 5/2/22, (collateralized by a U.S. Treasury Note with a par value of $132,500, coupon rate of 1.000%, due 07/31/28, market value of $118,480) | $ 116,109 | |
TOTAL REPURCHASE AGREEMENT (Cost $116,109) | 116,109 | ||
TOTAL INVESTMENTS (Cost $16,193,116) | 100.0% | $21,445,726 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.0 | 1,044 | |
NET ASSETS | 100.0% | $21,446,770 |
* | Percentages indicated are based on net assets. |
111 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Pharmaceuticals | 9.4% | $ 2,020,941 | |
Capital Markets | 7.6 | 1,617,257 | |
Insurance | 6.3 | 1,353,411 | |
IT Services | 5.4 | 1,158,052 | |
Machinery | 4.9 | 1,054,251 | |
Oil, Gas & Consumable Fuels | 4.4 | 946,351 | |
Specialty Retail | 4.3 | 913,659 | |
Household Products | 4.0 | 853,946 | |
Media | 3.9 | 841,282 | |
Multi-Utilities | 3.7 | 783,516 | |
Food Products | 3.6 | 780,324 | |
Health Care Equipment & Supplies | 3.6 | 778,019 | |
Electrical Equipment | 3.5 | 753,512 | |
Hotels, Restaurants & Leisure | 3.5 | 740,303 | |
Chemicals | 3.1 | 673,008 | |
Beverages | 2.9 | 611,974 | |
Semiconductors & Semiconductor Equipment | 2.9 | 611,708 | |
Aerospace & Defense | 2.4 | 518,209 | |
Biotechnology | 2.2 | 477,107 | |
Road & Rail | 2.2 | 476,780 | |
Health Care Providers & Services | 2.0 | 429,760 | |
Electronic Equipment, Instruments & Components | 1.9 | 414,894 | |
Software | 1.9 | 407,810 | |
Communications Equipment | 1.8 | 393,309 | |
Air Freight & Logistics | 1.8 | 387,857 | |
Technology Hardware, Storage & Peripherals | 1.8 | 387,639 | |
Gas Utilities | 1.6 | 338,815 | |
Banks | 1.6 | 332,298 | |
Distributors | 1.3 | 273,625 | |
TOTAL COMMON STOCKS | 99.5% | $21,329,617 | |
REPURCHASE AGREEMENT | 0.5 | 116,109 | |
TOTAL INVESTMENTS | 100.0% | $21,445,726 |
112 |
Shares | Value | ||
EXCHANGE-TRADED FUNDS* — 4.2% | |||
22,100 | SPDR S&P 500 ETF Trust1 | $ 9,105,200 | |
30,000 | Vanguard S&P 500 ETF1 | 11,361,000 | |
TOTAL EXCHANGE-TRADED FUNDS (Cost $6,430,609) | 20,466,200 | ||
Face Amount | |||
U.S. TREASURY BILLS* — 23.5% | |||
$60,000,000 | U.S. Treasury Bill, 0.229% due 07/7/221 | 59,919,081 | |
54,000,000 | U.S. Treasury Bill, 1.698% due 03/23/231 | 53,122,073 | |
TOTAL U.S. TREASURY BILLS (Cost $113,165,322) | 113,041,154 | ||
REPURCHASE AGREEMENT* — 1.9% | |||
9,041,583 | With Fixed Income Clearing Corp., dated 4/29/22, 0.00%, principal and interest in the amount of $9,041,583, due 5/2/22, (collateralized by a U.S. Treasury Note with a par value of $10,061,600, coupon rate of 1.500%, due 11/30/28, market value of $9,222,483) | 9,041,583 | |
TOTAL REPURCHASE AGREEMENT (Cost $9,041,583) | 9,041,583 | ||
TOTAL PURCHASED OPTIONS (Cost $1,232,381,420) | 237.2% | 1,140,612,200 | |
TOTAL INVESTMENTS (Cost $1,361,018,934) | 266.8% | $1,283,161,137 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (166.8) | (802,269,084) | |
NET ASSETS2 | 100.0% | $ 480,892,053 |
* | 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 $12,303,323 is held as collateral to secure the open written call and put options contracts. |
113 |
Description | Counterparty | Exercise Price/ FX Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Recieved by Fund) | Unrealized Appreciation/ (Depreciation) | |||||||||
PURCHASED OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 1,000.00 | 06/17/22 | USD | 3,640 | $ 1,504,022,520 | $1,139,738,600 | $1,230,887,031 | $(91,148,431) | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 06/17/22 | USD | 3,640 | 1,504,022,520 | 873,600 | 1,494,389 | (620,789) | ||||||||
TOTAL PURCHASED OPTIONS | $ 3,008,045,040 | $1,140,612,200 | $1,232,381,420 | $(91,769,220) | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 06/17/22 | USD | 3,640 | (1,504,022,520) | (777,049,000) | (868,714,526) | 91,665,526 | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 4,400.00 | 05/20/22 | USD | 290 | (119,825,970) | (8,038,800) | (2,587,455) | (5,451,345) | ||||||||
S&P 500 Index | OCC** | 4,450.00 | 05/20/22 | USD | 40 | (16,527,720) | (1,283,000) | (447,580) | (835,420) | ||||||||
S&P 500 Index | OCC** | 4,480.00 | 05/20/22 | USD | 20 | (8,263,860) | (696,500) | (256,985) | (439,515) | ||||||||
S&P 500 Index | OCC** | 4,500.00 | 05/20/22 | USD | 600 | (247,915,800) | (22,020,000) | (8,299,498) | (13,720,502) | ||||||||
S&P 500 Index | OCC** | 4,600.00 | 05/20/22 | USD | 110 | (45,451,230) | (5,102,900) | (2,249,445) | (2,853,455) | ||||||||
S&P 500 Index | OCC** | 1,000.00 | 06/17/22 | USD | 3,640 | (1,504,022,520) | (91,000) | (181,234) | 90,234 | ||||||||
TOTAL PUTS | $(1,942,007,100) | $ (37,232,200) | $ (14,022,197) | $(23,210,003) | |||||||||||||
TOTAL WRITTEN OPTIONS | $(3,446,029,620) | $ (814,281,200) | $ (882,736,723) | $ 68,455,523 |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
Purchased Options | 237.2% | $ 1,140,612,200 | |
U.S. Treasury Bills | 23.5 | 113,041,154 | |
Exchange-Traded Funds | 4.2 | 20,466,200 | |
TOTAL | 264.9% | $1,274,119,554 | |
REPURCHASE AGREEMENT | 1.9 | 9,041,583 | |
TOTAL INVESTMENTS | 266.8% | $1,283,161,137 |
* | This table does not include written options. Please refer to the Schedule of Portfolio Investments for information on written options. |
114 |
Shares | Value | ||
EXCHANGE-TRADED FUNDS* — 11.3% | |||
11,400 | iShares MSCI EAFE ETF | $ 782,496 | |
30,000 | iShares MSCI Emerging Markets ETF | 1,271,400 | |
TOTAL EXCHANGE-TRADED FUNDS (Cost $2,239,217) | 2,053,896 | ||
Face Amount | |||
U.S. TREASURY BILLS* — 21.8% | |||
$2,000,000 | U.S. Treasury Bill, 0.229% due 07/7/221 | 1,997,303 | |
2,000,000 | U.S. Treasury Bill, 1.698% due 03/23/231 | 1,967,484 | |
TOTAL U.S. TREASURY BILLS (Cost $3,969,181) | 3,964,787 | ||
REPURCHASE AGREEMENT* — 9.4% | |||
1,705,199 | With Fixed Income Clearing Corp., dated 4/29/22, 0.00%, principal and interest in the amount of $1,705,199, due 5/2/22, (collateralized by a U.S. Treasury Note with a par value of $1,897,600, coupon rate of 1.500%, due 11/30/28, market value of $1,739,344) | 1,705,199 | |
TOTAL REPURCHASE AGREEMENT (Cost $1,705,199) | 1,705,199 | ||
TOTAL PURCHASED OPTIONS (Cost $37,512,682) | 189.8% | 34,469,050 | |
TOTAL INVESTMENTS (Cost $45,426,279) | 232.3% | $ 42,192,932 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (132.3) | (24,032,627) | |
NET ASSETS2 | 100.0% | $ 18,160,305 |
* | 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 $824,484 is held as collateral to secure the open written call and put options contracts. |
115 |
Description | Counterparty | Exercise Price/ FX Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Recieved by Fund) | Unrealized Appreciation/ (Depreciation) | |||||||||
PURCHASED OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 1,000.00 | 06/17/22 | USD | 110 | $ 45,451,230 | $ 34,442,650 | $ 37,475,381 | $(3,032,731) | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 06/17/22 | USD | 110 | 45,451,230 | 26,400 | 37,301 | (10,901) | ||||||||
TOTAL PURCHASED OPTIONS | $ 90,902,460 | $ 34,469,050 | $ 37,512,682 | $(3,043,632) | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 06/17/22 | USD | 110 | (45,451,230) | (23,482,250) | (26,523,637) | 3,041,387 | ||||||||
PUTS: | |||||||||||||||||
iShares MSCI Emerging Markets ETF | OCC** | 45.00 | 05/20/22 | USD | 400 | (1,695,200) | (113,200) | (59,176) | (54,024) | ||||||||
iShares MSCI EAFE ETF | OCC** | 72.00 | 05/20/22 | USD | 100 | (686,400) | (35,800) | (16,050) | (19,750) | ||||||||
iShares MSCI EAFE ETF | OCC** | 75.00 | 05/20/22 | USD | 70 | (480,480) | (44,275) | (23,165) | (21,110) | ||||||||
Russell 2000 Index | OCC** | 2,100.00 | 05/20/22 | USD | 8 | (1,491,280) | (186,600) | (82,225) | (104,375) | ||||||||
S&P 500 Index | OCC** | 4,520.00 | 05/20/22 | USD | 20 | (8,263,860) | (772,100) | (307,985) | (464,115) | ||||||||
iShares MSCI EAFE ETF | OCC** | 80.00 | 06/17/22 | USD | 228 | (1,564,992) | (282,720) | (207,483) | (75,237) | ||||||||
S&P 500 Index | OCC** | 1,000.00 | 06/17/22 | USD | 110 | (45,451,230) | (2,750) | (4,005) | 1,255 | ||||||||
TOTAL PUTS | $ (59,633,442) | $ (1,437,445) | $ (700,089) | $ (737,356) | |||||||||||||
TOTAL WRITTEN OPTIONS | $(105,084,672) | $(24,919,695) | $(27,223,726) | $ 2,304,031 |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
Purchased Options | 189.8% | $ 34,469,050 | |
U.S. Treasury Bills | 21.8 | 3,964,787 | |
Exchange-Traded Funds | 11.3 | 2,053,896 | |
TOTAL | 222.9% | $40,487,733 | |
REPURCHASE AGREEMENT | 9.4 | 1,705,199 | |
TOTAL INVESTMENTS | 232.3% | $42,192,932 |
* | This table does not include written options. Please refer to the Schedule of Portfolio Investments for information on written options. |
116 |
Face Amount | Value | ||
AGENCY NOTES* — 15.5% | |||
Federal Home Loan Bank — 10.2% | |||
$ 5,000,000 | 0.250% due 12/4/23 | $ 4,816,684 | |
15,000,000 | 2.750% due 12/13/24 | 14,960,853 | |
7,000,000 | 0.375% due 9/23/251 | 6,419,146 | |
11,500,000 | 3.250% due 11/16/281 | 11,628,472 | |
37,825,155 | |||
Federal National Mortgage Association — 5.3% | |||
1,100,000 | 0.250% due 11/27/23 | 1,061,111 | |
15,000,000 | 2.625% due 9/6/241 | 14,944,008 | |
3,960,000 | 2.125% due 4/24/261 | 3,836,177 | |
19,841,296 | |||
TOTAL AGENCY NOTES (Cost $60,352,788) | 57,666,451 | ||
MORTGAGE-BACKED SECURITIES*,2 — 33.4% | |||
Federal Home Loan Mortgage Corporation — 16.0% | |||
5,317 | # G13396, 5.500% due 12/1/23 | 5,366 | |
28,517 | # D78677, 8.000% due 3/1/27 | 28,906 | |
50,640 | # C00742, 6.500% due 4/1/29 | 53,851 | |
1,602,191 | # J38111, 3.000% due 12/1/32 | 1,587,112 | |
12,236 | # A68937, 6.000% due 11/1/37 | 13,009 | |
147,276 | # A69653, 5.500% due 12/1/37 | 156,524 | |
176,200 | # A73370, 5.000% due 2/1/38 | 186,539 | |
136,960 | # A90421, 4.500% due 12/1/39 | 142,984 | |
42,593 | # A92890, 4.500% due 7/1/40 | 43,404 | |
546,805 | # A97620, 4.500% due 3/1/41 | 570,863 | |
870,756 | # C03770, 3.500% due 2/1/42 | 861,477 | |
448,538 | # Q07651, 3.500% due 4/1/42 | 440,428 | |
964,232 | # Q41208, 3.500% due 6/1/46 | 951,750 | |
3,831,043 | # G08737, 3.000% due 12/1/46 | 3,672,656 | |
1,336,027 | # Q45735, 3.000% due 1/1/47 | 1,278,762 | |
2,579,950 | # Q46279, 3.500% due 2/1/47 | 2,532,690 | |
2,620,494 | # Q47596, 4.000% due 4/1/47 | 2,633,368 | |
7,922,482 | # RA3173, 3.000% due 7/1/50 | 7,499,790 | |
2,976,213 | # SD8083, 2.500% due 8/1/50 | 2,723,535 | |
12,335,181 | # SD8152, 3.000% due 6/1/51 | 11,673,720 | |
8,064,596 | # SD8196, 3.500% due 2/1/52 | 7,837,414 | |
15,466,710 | # SD8201, 3.000% due 3/1/52 | 14,606,143 | |
59,500,291 | |||
Federal National Mortgage Association — 17.3% | |||
237 | # 125275, 7.000% due 3/1/24 | 242 | |
181,307 | # AH6827, 4.000% due 3/1/26 | 184,819 | |
170,824 | # AI1657, 4.000% due 4/1/26 | 173,883 | |
307,828 | # AB3900, 3.000% due 11/1/26 | 305,981 | |
13,275 | # 373328, 8.000% due 3/1/27 | 13,323 | |
491,950 | # AK4751, 3.000% due 4/1/27 | 487,526 | |
7,571 | # 390895, 8.000% due 6/1/27 | 7,656 | |
884,696 | # AO0533, 3.000% due 6/1/27 | 880,576 | |
25,560 | # 397602, 8.000% due 8/1/27 | 25,864 | |
409 | # 499335, 6.500% due 8/1/29 | 455 | |
2,739 | # 252806, 7.500% due 10/1/29 | 3,002 | |
140 | # 523497, 7.500% due 11/1/29 | 147 | |
1,981,676 | # BC2462, 3.000% due 2/1/31 | 1,968,008 | |
868 | # 588945, 7.000% due 6/1/31 | 904 | |
3,968,645 | # AS7429, 2.500% due 6/1/31 | 3,892,250 | |
34,566 | # 607862, 7.000% due 9/1/31 | 35,845 | |
1,793 | # 656872, 6.500% due 8/1/32 | 1,905 | |
2,584,034 | # MA3391, 3.000% due 6/1/33 | 2,554,079 | |
85,991 | # 789856, 6.000% due 8/1/34 | 91,844 |
117 |
Face Amount | Value | ||
MORTGAGE-BACKED SECURITIES*,2 — (Continued) | |||
Federal National Mortgage Association — (Continued) | |||
$ 22,169 | # 829202, 5.000% due 7/1/35 | $ 23,288 | |
59,606 | # 826586, 5.000% due 8/1/35 | 63,052 | |
15,464 | # 256216, 7.000% due 4/1/36 | 16,974 | |
43,705 | # 898412, 5.000% due 10/1/36 | 45,288 | |
6,267 | # 910894, 5.000% due 2/1/37 | 6,492 | |
15,000 | # 912456, 6.500% due 3/1/37 | 15,936 | |
201,242 | # 973241, 5.000% due 3/1/38 | 212,785 | |
46,001 | # 975593, 5.000% due 6/1/38 | 48,380 | |
76,132 | # 257573, 5.500% due 2/1/39 | 81,354 | |
188,999 | # AD7128, 4.500% due 7/1/40 | 196,413 | |
9,097,223 | # MA4152, 2.000% due 10/1/40 | 8,188,908 | |
1,892,996 | # AH1568, 4.500% due 12/1/40 | 1,960,055 | |
762,996 | # AH6991, 4.000% due 1/1/41 | 770,455 | |
480,677 | # AH4004, 4.500% due 3/1/41 | 501,263 | |
459,655 | # AH8351, 4.000% due 3/1/41 | 464,871 | |
493,720 | # AJ1315, 4.000% due 9/1/41 | 498,563 | |
632,016 | # AI8779, 4.000% due 11/1/41 | 639,198 | |
837,144 | # AJ5958, 4.000% due 12/1/41 | 846,653 | |
276,670 | # AK5070, 3.500% due 3/1/42 | 270,539 | |
1,319,989 | # AK5426, 3.500% due 3/1/42 | 1,304,934 | |
3,456,627 | # AT7682, 3.500% due 6/1/43 | 3,417,101 | |
1,655,190 | # AS6326, 3.500% due 12/1/45 | 1,634,331 | |
1,262,670 | # AS6881, 3.500% due 3/1/46 | 1,241,747 | |
1,701,698 | # BC0960, 4.000% due 6/1/46 | 1,711,027 | |
986,356 | # AS8966, 4.000% due 3/1/47 | 989,664 | |
1,479,584 | # AS9988, 4.500% due 7/1/47 | 1,519,788 | |
1,693,554 | # MA3210, 3.500% due 12/1/47 | 1,657,222 | |
1,346,504 | # BJ9251, 3.500% due 6/1/48 | 1,316,185 | |
5,541,694 | # FM3727, 3.000% due 7/1/50 | 5,249,041 | |
5,485,700 | # BQ2863, 2.500% due 9/1/50 | 5,023,396 | |
9,361,716 | # CA7231, 2.500% due 10/1/50 | 8,565,384 | |
5,552,448 | # MA4439, 3.000% due 10/1/51 | 5,254,688 | |
64,363,284 | |||
Government National Mortgage Association — 0.1% | |||
8,621 | # 476259, 7.000% due 8/15/28 | 8,652 | |
2,764 | # 485264, 7.500% due 2/15/31 | 2,774 | |
6,391 | # 559304, 7.000% due 9/15/31 | 6,464 | |
118,661 | # 651859, 5.000% due 6/15/36 | 125,870 | |
86,861 | # 782150, 5.500% due 4/15/37 | 95,545 | |
13,441 | # 662521, 6.000% due 8/15/37 | 14,578 | |
19,411 | # 677545, 6.000% due 11/15/37 | 20,517 | |
20,189 | # 676291, 6.000% due 12/15/37 | 21,350 | |
33,318 | # 685836, 5.500% due 4/15/38 | 35,104 | |
153,625 | # 698235, 5.000% due 6/15/39 | 163,130 | |
493,984 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $134,825,968) | 124,357,559 | ||
CORPORATE NOTES* — 31.6% | |||
Banking — 8.9% | |||
8,000,000 | Bank of America Corp., (3M USD LIBOR * 1.19 + 2.88%), 2.884% due 10/22/303 | 7,146,774 | |
5,000,000 | Bank of America Corp., (3M USD LIBOR * 1.51 + 3.71%), 3.705% due 4/24/283 | 4,822,587 | |
5,000,000 | Bank of America Corp., (3M USD LIBOR * 1.81 + 4.24%), 4.244% due 4/24/383 | 4,741,659 | |
6,000,000 | JPMorgan Chase & Co., (3M USD LIBOR * 0.95 + 3.51%), 3.509% due 1/23/293 | 5,699,471 |
118 |
Face Amount | Value | ||
CORPORATE NOTES* — (Continued) | |||
Banking — (Continued) | |||
$ 5,000,000 | JPMorgan Chase & Co., (SOFR* 1.11 + 1.76%), 1.764% due 11/19/311,3 | $ 4,045,752 | |
6,500,000 | PNC Bank NA, 3.250% due 6/1/25 | 6,460,335 | |
32,916,578 | |||
Beverages, Food & Tobacco — 2.6% | |||
10,000,000 | Archer-Daniels-Midland Co., 3.250% due 3/27/30 | 9,512,750 | |
Communications — 4.0% | |||
14,000,000 | Amazon.com, Inc., 4.800% due 12/5/34 | 15,060,138 | |
Computer Software & Processing — 5.5% | |||
1,000,000 | Alphabet, Inc., 2.050% due 8/15/50 | 688,098 | |
11,250,000 | Apple, Inc., 4.500% due 2/23/361 | 11,948,538 | |
8,000,000 | Microsoft Corp., 3.450% due 8/8/36 | 7,636,739 | |
20,273,375 | |||
Electronics — 1.9% | |||
4,000,000 | Emerson Electric Co., 1.800% due 10/15/27 | 3,616,548 | |
4,000,000 | QUALCOMM, Inc., 1.300% due 5/20/28 | 3,466,946 | |
7,083,494 | |||
Heavy Machinery — 2.2% | |||
4,000,000 | Caterpillar, Inc., 2.600% due 4/9/301 | 3,677,316 | |
4,750,000 | John Deere Capital Corp., 0.700% due 7/5/23 | 4,646,745 | |
8,324,061 | |||
Insurance — 2.4% | |||
5,100,000 | Aflac, Inc., 2.875% due 10/15/26 | 4,961,994 | |
4,000,000 | MetLife, Inc., 4.550% due 3/23/30 | 4,126,545 | |
9,088,539 | |||
Media - Broadcasting & Publishing — 1.8% | |||
7,000,000 | Comcast Corp., 3.150% due 2/15/281 | 6,732,654 | |
Pharmaceuticals — 2.3% | |||
5,000,000 | Johnson & Johnson, 2.450% due 9/1/60 | 3,496,035 | |
5,000,000 | Merck & Co., Inc., 2.750% due 2/10/25 | 4,945,666 | |
8,441,701 | |||
TOTAL CORPORATE NOTES (Cost $128,465,494) | 117,433,290 | ||
U.S. TREASURY NOTES/BONDS* — 16.4% | |||
4,000,000 | U.S. Treasury Bonds, 6.625% due 2/15/27 | 4,647,500 | |
7,000,000 | U.S. Treasury Bonds, 3.500% due 2/15/39 | 7,448,711 |
119 |
Face Amount | Value | ||
U.S. TREASURY NOTES/BONDS* — (Continued) | |||
$ 4,000,000 | U.S. Treasury Bonds, 3.125% due 11/15/41 | $ 3,972,656 | |
9,000,000 | U.S. Treasury Bonds, 3.750% due 11/15/43 | 9,775,547 | |
10,000,000 | U.S. Treasury Bonds, 2.250% due 8/15/46 | 8,440,625 | |
3,000,000 | U.S. Treasury Bonds, 3.000% due 5/15/47 | 2,926,641 | |
10,000,000 | U.S. Treasury Notes, 2.875% due 5/31/25 | 9,989,062 | |
3,000,000 | U.S. Treasury Notes, 1.875% due 7/31/26 | 2,872,617 | |
6,000,000 | U.S. Treasury Notes, 2.250% due 8/15/27 | 5,791,172 | |
5,000,000 | U.S. Treasury Notes, 3.125% due 11/15/28 | 5,046,094 | |
TOTAL U.S. TREASURY NOTES/BONDS (Cost $67,886,388) | 60,910,625 | ||
REPURCHASE AGREEMENT* — 3.6% | |||
13,323,374 | With Fixed Income Clearing Corp., dated 4/29/22, 0.00%, principal and interest in the amount of $13,323,374, due 5/2/22, (collateralized by a U.S. Treasury Note with a par value of $14,826,400, coupon rate of 1.500%, due 11/30/28, market value of $13,589,908) | 13,323,374 | |
TOTAL REPURCHASE AGREEMENT (Cost $13,323,374) | 13,323,374 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 4.2% | |||
15,719,408 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 15,719,408 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $15,719,408) | 15,719,408 | ||
TOTAL INVESTMENTS (Cost $420,573,420) | 104.7% | $389,410,707 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (4.7) | (17,567,247) | |
NET ASSETS | 100.0% | $371,843,460 |
* | Percentages indicated are based on net assets. |
1 | Securities or partial securities on loan. See Note 1. |
2 | Represents current face amount at April 30, 2022. |
3 | Floating Rate Bond. Rate shown is as of April 30, 2022. |
4 | Represents an investment of securities lending cash collateral. |
120 |
% of Net Assets | Value | ||
Sector: | |||
Corporate | 31.6% | $ 117,433,290 | |
Federal National Mortgage Association | 22.6 | 84,204,580 | |
Federal Home Loan Mortgage Corporation | 16.0 | 59,500,291 | |
U.S. Treasury Notes/Bonds | 11.3 | 42,148,672 | |
Federal Home Loan Bank | 10.2 | 37,825,155 | |
U.S. Treasury | 5.1 | 18,761,953 | |
Government National Mortgage Association | 0.1 | 493,984 | |
TOTAL | 96.9% | $360,367,925 | |
REPURCHASE AGREEMENT | 3.6 | 13,323,374 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 4.2 | 15,719,408 | |
TOTAL INVESTMENTS | 104.7% | $389,410,707 |
121 |
Face Amount | Value | ||
CORPORATE NOTES* — 0.9% | |||
Health Care Services — 0.9% | |||
$ 500,000 | CommonSpirit Health, 1.547% due 10/1/25 | $ 463,543 | |
TOTAL CORPORATE NOTES (Cost $501,753) | 463,543 | ||
MUNICIPAL BONDS* — 95.9% | |||
Alabama — 0.7% | |||
225,000 | City of Birmingham, AL, General Obligation Limited, Prerefunded 09/01/25 @100, 5.000% due 3/1/45 | 243,499 | |
100,000 | Southeast Energy Authority, AL, Cooperative District, Project No.1, Revenue Bonds, Series A, 4.000% due 10/1/23 | 101,514 | |
345,013 | |||
Arizona — 1.6% | |||
250,000 | City of Phoenix, AZ, Civic Improvement Corp., Junior Line Airport, Revenue Bonds, AMT, Series B, 5.000% due 7/1/23 | 256,671 | |
175,000 | City of Yuma, AZ, Revenue Bonds, Refunding, 4.000% due 7/1/23 | 178,653 | |
400,000 | Yuma, AZ, Municipal Property Corp., Excise Tax Revenue, Revenue Bonds, Refunding, 5.000% due 7/1/22 | 402,384 | |
837,708 | |||
California — 5.6% | |||
200,000 | California Health Facilities Financing Authority, Revenue Bonds, Series A, Prerefunded 11/15/25 @ 100, 3.250% due 11/15/36 | 205,179 | |
California State, General Obligation Unlimited, Refunding: | |||
500,000 | 5.000% due 9/1/23 | 519,078 | |
300,000 | 5.000% due 4/1/24 | 315,348 | |
315,000 | City and County of San Francisco, CA, San Francisco Unified School District, General Obligation Unlimited, Proposition A, Series F&C, 5.000% due 6/15/26 | 331,895 | |
350,000 | City of Los Angeles, CA, Department of Airports, Revenue Bonds, AMT, Series D, 5.000% due 5/15/23 | 359,307 | |
500,000 | City of Los Angeles, CA, Department of Airports, Revenue Bonds,Refunding, AMT, Series A, 5.000% due 5/15/25 | 528,328 | |
450,000 | Golden State, CA, Tobacco Securitization Corp, Revenue Bonds, Taxable Refunding, (State Appropriations), 1.400% due 6/1/25 | 419,926 | |
200,000 | Sanata Clara County, CA, Foothill-De Anza Community College District, General Obligation Unlimited, Refunding Bonds, 4.000% due 8/1/25 | 209,865 | |
2,888,926 | |||
Colorado — 2.1% | |||
200,000 | City and County of Denver, CO, Airport System Revenue, Revenue Bonds, Refunding, Series D, 5.000% due 11/15/311 | 203,058 | |
125,000 | Colorado Housing and Finance Authority, Revenue Bonds, AMT, Class 1 Bonds, Series A (GNMA Insured), 1.400% due 11/1/22 | 124,632 | |
750,000 | E-470 Public Highway Authority, CO, Revenue Bonds, Variable Refunding, Series B, (SOFR*0.67+0.35%), 0.538% due 9/1/392 | 734,913 | |
1,062,603 | |||
Connecticut — 4.0% | |||
750,000 | Connecticut State Health and Educational Facilities Authority, Revenue Bonds, Series 2014A, 1.100% due 7/1/481 | 744,405 | |
500,000 | State of Connecticut Special Tax Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 1/1/23 | 510,360 | |
285,000 | State of Connecticut, General Obligation Unlimited, Refunding, Series C, 5.000% due 6/1/24 | 285,720 | |
250,000 | University of Connecticut, Revenue Bonds, Refunding, Series A, 5.000% due 11/15/23 | 254,045 |
122 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Connecticut — (Continued) | |||
$ 250,000 | University of Connecticut, Revenue Bonds, Series A, 5.000% due 8/15/26 | $ 258,135 | |
2,052,665 | |||
Delaware — 0.5% | |||
250,000 | Delaware River and Bay Authority, DE, Revenue Bonds, Refunding, 5.000% due 1/1/243 | 257,743 | |
District Of Columbia — 2.0% | |||
1,000,000 | Metropolitan Washington, DC, Airports Authority Aviation Revenue , Revenue Bonds, AMT, Refunding, Series A, 5.000% due 10/1/24 | 1,049,577 | |
Florida — 8.7% | |||
275,000 | Central Florida Expressway Authority Senior Line, Revenue Bonds, Series A, 5.000% due 7/1/23 | 284,325 | |
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 | 348,705 | |
500,000 | County of Broward, FL, Port Facilities Revenue, Revenue Bonds, AMT, Refunding, Subordinate Bond, Series D, 5.000% due 9/1/24 | 525,523 | |
200,000 | County of Miami-Dade, FL, Aviation Revenue, Revenue Bonds, Refunding, 5.000% due 10/1/23 | 206,898 | |
250,000 | County of Miami-Dade, FL, Aviation Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/25 | 267,378 | |
175,000 | Florida Department of Management Services, Certificate of Participation, Series A, 5.000% due 11/1/25 | 188,640 | |
250,000 | Hillsborough County, FL, School Board, Master Lease Program,Certificate Participation, Refunding, 5.000% due 7/1/26 | 270,531 | |
385,000 | Hillsborough County, FL, School Board, Revenue Bonds, Refunding, (AGMC Insured), 5.000% due 10/1/23 | 399,476 | |
390,000 | Manatee County, FL, Port Authority, Revenue Bonds,Taxable Refunding, 0.619% due 10/1/24 | 368,389 | |
500,000 | Orange County, FL, School Board, Certificate of Participation, Refunding, 5.000% due 8/1/26 | 547,179 | |
255,000 | Orlando - Orange County, FL, Expressway Authority, Revenue Bonds, Prerefunded 7/01/22 @100, 5.000% due 7/1/23 | 256,520 | |
535,000 | Orlando, FL, Utilities Commission, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/23 | 556,483 | |
245,000 | School District of Broward County, FL, Certificate Participation, Refunding, (BAM-TCRS Insured), 5.000% due 7/1/23 | 252,935 | |
4,472,982 | |||
Georgia — 0.2% | |||
105,000 | Georgia Municipal Electric Authority, Project No.1, Revenue Bonds, Taxable Refunding, Series B, 1.421% due 1/1/25 | 99,371 | |
Illinois — 6.0% | |||
250,000 | City of Chicago, IL, General Obligation Unlimited, Refunding, Series A, 5.000% due 1/1/24 | 258,308 | |
300,000 | Cook County, IL, School District No. 100 South Berwyn, General Obligation Unlimited, Refunding, (BAM Insured), 4.000% due 12/1/23 | 307,160 | |
500,000 | DeKalb County, IL, Community Unit School District No. 428 DeKalb, General Obligation Unlimited, Refunding, 5.000% due 1/1/24 | 521,333 | |
150,000 | Illinois Finance Authority, Revenue Bonds, Rush University Medical Centre, Series A, 5.000% due 11/15/23 | 155,756 | |
225,000 | Illinois State Toll Highway Authority, Revenue Bonds, Refunding, Series D, 5.000% due 1/1/23 | 229,752 | |
255,000 | McHenry County, IL, Conservation District, General Obligation Unlimited, Refunding, 5.000% due 2/1/24 | 266,253 |
123 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
$ 500,000 | State of Illinois Sales Tax Revenue, Revenue Bonds, Series B, 0.941% due 6/15/24 | $ 474,311 | |
500,000 | State of Illinois, General Obligation Unlimited, Refunding, Series C, 4.000% due 3/1/24 | 510,215 | |
350,000 | State of Illinois, General Obligation Unlimited, Series A, 5.000% due 12/1/24 | 366,877 | |
3,089,965 | |||
Indiana — 0.5% | |||
250,000 | Hanover Middle School Building Corp, IN, Redunding and Improvement Bonds, Series A, 5.000% due 1/15/26 | 270,947 | |
Iowa — 1.0% | |||
500,000 | PEFA Inc, IA, Gas Project, Revenue Bonds, 5.000% due 9/1/491 | 527,646 | |
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 | 387,655 | |
Kentucky — 2.7% | |||
435,000 | Kentucky Public Energy Authority, Revenue Bonds, Series A, 4.000% due 4/1/481 | 441,168 | |
185,000 | Kentucky State Property and Building Commission, Revenue Bonds, Refunding, Project No. 108, Series B, 5.000% due 8/1/24 | 194,802 | |
285,000 | Kentucky State Property and Building Commission, Revenue Bonds, Refunding, Project No. 112, Series B, (State Appropriations), 5.000% due 11/1/24 | 301,611 | |
Louisville & Jefferson County, KY, Metropolitan Government Health System Revenue, Revenue Bonds, Refunding, Series A: | |||
300,000 | 5.000% due 10/1/23 | 311,493 | |
125,000 | 5.000% due 10/1/24 | 132,125 | |
1,381,199 | |||
Louisiana — 1.5% | |||
250,000 | Jefferson Parish, LA, Consolidated Waterworks District No 2, Revenue Bonds, Refunding, (BAM Insured), 4.000% due 2/1/26 | 261,761 | |
500,000 | New Orleans, LA, Sewage Service Revenue, Revenue Bonds, Refunding, 5.000% due 6/1/22 | 501,471 | |
763,232 | |||
Maryland — 1.0% | |||
500,000 | State of Maryland, General Obligation Unlimited, Refunding, Series B, 5.000% due 8/1/24 | 529,414 | |
Michigan — 4.6% | |||
500,000 | Eaton Rapids Public Schools,MI, General Obligation Unlimited, Refunding (QSBLF Insured), 4.000% due 5/1/25 | 518,155 | |
500,000 | Hazel Park, MI, School District, General Obligation Unlimited, Refunding (QSBLF Insured), 4.000% due 5/1/24 | 513,264 | |
425,000 | Maple Valley Schools, MI, General Obligation Unlimited, Refunding (QSBLF Insured), 4.000% due 5/1/23 | 432,627 | |
200,000 | Michigan Finance Authority, Revenue Bonds, Refunding, Series A, 5.000% due 5/15/23 | 205,941 | |
200,000 | Michigan Finance Authority, Revenue Bonds, Refunding, Series MI-1, 5.000% due 12/1/23 | 207,913 | |
500,000 | Michigan State, Finance Authority, Revenue Bonds, Series 2019B, 3.500% due 11/15/441 | 504,514 | |
2,382,414 |
124 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Minnesota — 1.0% | |||
$ 500,000 | Minneapolis-St Paul, MN, Metropolitan Airports Commission, Revenue Bonds, AMT, Refunding, Series B, 5.000% due 1/1/25 | $ 524,397 | |
Mississippi — 0.5% | |||
250,000 | Mississippi Development Bank, Jackson Public School District,Revenue Bond, General Obligation (BAM Insured), 5.000% due 10/1/24 | 264,191 | |
Nevada — 1.2% | |||
210,000 | Clark County, NV, School District, General Obligation Limited, Refunding, Series A, 5.000% due 6/15/24 | 220,596 | |
240,000 | Clark County, NV, School District, General Obligation Limited, Series D, 5.000% due 6/15/24 | 252,110 | |
125,000 | State of Nevada, General Obligation Limited, Refunding, Series H1, 5.000% due 6/1/24 | 128,717 | |
601,423 | |||
New Jersey — 3.9% | |||
300,000 | Maple Shade Township, NJ, School District, General Obligation Unlimited, Refunding, (SBRF Insured), 5.000% due 10/1/25 | 323,184 | |
195,000 | New Jersey Economic Development Authority, Revenue Bonds, Refunding, Series B, 4.000% due 11/1/25 | 201,689 | |
200,000 | New Jersey Economic Development Authority, Revenue Bonds, Refunding, Series II, 5.000% due 3/1/23 | 200,761 | |
375,000 | New Jersey Economic Development Authority, State Government Building Project, Revenue Bonds, Series A, 5.000% due 6/15/25 | 397,949 | |
500,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, 5.000% due 6/15/24 | 525,229 | |
155,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series A, 4.000% due 12/15/23 | 158,286 | |
180,000 | New Jersey Turnpike Authority, Revenue Bonds, Series B, 5.000% due 1/1/23 | 183,682 | |
1,990,780 | |||
New Mexico — 0.7% | |||
335,000 | State of New Mexico, Severance Tax Permanent Fund, Revenue Bonds, Refunding, Series B, 4.000% due 7/1/24 | 346,657 | |
New York — 5.5% | |||
615,000 | New York City, NY, General Obligation Unlimited, Refunding, Series B, 5.000% due 8/1/23 | 636,899 | |
New York State Dormitory Authority, Personal Income Tax, Revenue Bonds, Refunding, Series A, Escrowed to Maturity: | |||
125,000 | 4.000% due 12/15/22 | 126,817 | |
250,000 | 5.000% due 3/15/24 | 262,372 | |
225,000 | New York State Dormitory Authority, Revenue Bonds, Refunding, Series A, Escrowed to Maturity, 5.000% due 3/15/24 | 236,135 | |
New York State Dormitory Authority, Sales Tax Revenue, Revenue Bonds, Series 2015B-A: | |||
210,000 | 5.000% due 3/15/23 | 215,648 | |
150,000 | 5.000% due 3/15/24 | 157,529 | |
200,000 | Port Authority of New York & New Jersey, Revenue Bonds, AMT, Refunding, Series 226, 5.000% due 10/15/23 | 207,660 | |
150,000 | Port Authority of New York & New Jersey, Revenue Bonds, Series 179, 5.000% due 12/1/26 | 156,196 | |
335,000 | Sales Tax Asset Receivable Corp, NY, Revenue Bonds, Series A, Prerefunded 10/15/24 @ 100, 4.000% due 10/15/32 | 348,029 | |
440,000 | Triborough Bridge and Tunnel Authority, NY, General Revenue Bonds, Refunding, Series A, 5.000% due 11/15/24 | 468,448 | |
2,815,733 |
125 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
North Carolina — 0.5% | |||
$ 250,000 | City of Charlotte, NC, General Obligation Unlimited, Series A, 5.000% due 6/1/24 | $ 263,708 | |
Ohio — 4.1% | |||
City of Akron, OH, Income Tax Revenue, Revenue Bonds: | |||
355,000 | 4.000% due 12/1/22 | 359,919 | |
360,000 | 4.000% due 12/1/23 | 370,286 | |
325,000 | Ohio Higher Educational Facility Commission, Revenue Bonds, Refunding, 5.000% due 10/1/23 | 337,128 | |
265,000 | Oxford, OH, Miami University, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/243 | 279,291 | |
390,000 | State of Ohio, General Obligation Unlimited, Series C, 5.000% due 3/1/24 | 408,906 | |
340,000 | State of Ohio, Hospital Facilities Revenue, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/26 | 368,348 | |
2,123,878 | |||
Oregon — 0.4% | |||
195,000 | Washington Clackamas & Yamhill Counties, OR, School District No. 88J, General Obligation Unlimited, Refunding (SBRF Insured), 5.000% due 6/15/24 | 205,666 | |
Pennsylvania — 13.4% | |||
500,000 | Allegheny County, PA, Higher Education Building Authority, Revenue Bonds, (SOFR*0.70+0.29%), 0.486% due 2/1/332 | 493,185 | |
Allegheny County, PA, Hospital Development Authority, Revenue Bonds, Refunding, University of Pittsburgh Medical Center, Series A: | |||
300,000 | 5.000% due 7/15/23 | 309,160 | |
325,000 | 5.000% due 7/15/25 | 347,060 | |
Bensalem Township, PA, School District, General Obligation Limited, Taxable Refunding (State Aid Withholding): | |||
175,000 | 1.855% due 6/1/22 | 175,103 | |
215,000 | 1.972% due 6/1/24 | 210,455 | |
160,000 | Bensalem Township, PA, School District, General Obligation Limited, Taxable Refunding, Series B (State Aid Withholding), 1.917% due 6/1/23 | 159,117 | |
515,000 | City of Philadelphia, PA, Airport Revenue, Revenue Bonds, AMT, Refunding, Series B, 5.000% due 7/1/24 | 537,057 | |
750,000 | Delaware Valley, PA, Regional Finance Authority, Revenue Bonds, Series B, 5.000% due 11/1/24 | 788,329 | |
400,000 | Lehigh Country, PA, General Purpose Hospital, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/23 | 412,908 | |
425,000 | Montgomery County, PA, Higher Education and Health Authority, Revenue Bonds, Refunding, Thomas Jefferson University Project, 5.000% due 9/1/23 | 440,363 | |
100,000 | Montgomery County, PA, Industrial Development Authority, Revenue Bonds, Refunding, Waverly Heights Ltd. Project, 4.000% due 12/1/22 | 101,119 | |
400,000 | New Castle Area, PA, School District, General Obligation Limited, Refunding, (BAM Insured, State Aid withholding), 3.000% due 3/1/23 | 403,022 | |
500,000 | Pennsbury Country, PA, School District, General Obligation Limited, Refunding (State Aid Withholding), 4.000% due 8/1/253 | 518,777 | |
400,000 | Pennsylvania State University, Tax-Exempt, Revenue Bonds, Refunding, Series E, 5.000% due 3/1/24 | 419,537 | |
190,000 | Pennsylvania Turnpike Commission, Revenue Bonds, Refunding, Series A-2, 5.000% due 12/1/24 | 202,231 | |
525,000 | Pennsylvania Turnpike Commission, Revenue Bonds, Refunding, Series B, 4.000% due 12/1/23 | 539,753 | |
200,000 | Philadelphia, PA, School District, General Obligation Limited, Series A (State Aid Withholding), 5.000% due 9/1/23 | 206,936 | |
105,000 | Pittsburgh, PA, Public Parking Authority, Revenue Bonds, Prerefunded, Series A, Escrowed to Maturity, 5.000% due 12/1/23 | 109,387 |
126 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
$ 195,000 | Pittsburgh, PA, Public Parking Authority, Revenue Bonds, Unrefunded, Series A, Unrefunded portion, 5.000% due 12/1/23 | $ 201,885 | |
355,000 | State Public School Building Authority, PA, Revenue Bonds, Refunding, Community College of Allegheny Co. Project, Series B (BAM Insured), 4.000% due 7/15/22 | 356,930 | |
6,932,314 | |||
Rhode Island — 0.8% | |||
400,000 | Rhode Island Health and Educational Building Corp., Public School Revenue, Revenue Bonds, Refunding, Series A, (Municipal Government Guaranteed), 5.000% due 5/15/22 | 400,468 | |
South Carolina — 0.9% | |||
200,000 | South Carolina Public Service Authority, Revenue Bonds, Series B, 5.000% due 12/1/24 | 211,486 | |
250,000 | South Carolina Public Service Authority, Revenue Bonds,Refunding, Series A, 5.000% due 12/1/24 | 264,357 | |
475,843 | |||
Tennessee — 0.9% | |||
200,000 | County of Maury, TN, General Obligation Unlimited, Refunding, 5.000% due 4/1/25 | 214,282 | |
250,000 | Memphis-Shelby County, TN, Airport Authority, Revenue Bonds, Refunding, Series C, 5.000% due 7/1/23 | 256,758 | |
471,040 | |||
Texas — 12.0% | |||
Arlington, TX, Higher Education Finance Corp., Revenue Bonds, Series A, (PSF Guaranteed): | |||
325,000 | 5.000% due 8/15/22 | 328,108 | |
310,000 | 5.000% due 8/15/23 | 320,928 | |
100,000 | Central Texas Regional Mobility Authority, Revenue Bonds, Taxable Refunding, Series C, 1.345% due 1/1/24 | 97,132 | |
500,000 | City of Dallas, TX, Fort Worth International Airport, Revenue Bonds, Refunding, Series A, 5.000% due 11/1/24 | 528,646 | |
260,000 | City of Grand Prairie, TX, Sales and USE Tax, Revenue Bonds, 3.000% due 2/15/24 | 261,781 | |
170,000 | City of Houston, TX, Airport System Revenue, Revenue Bonds, AMT, Refunding, Series C, 5.000% due 7/1/24 | 177,281 | |
400,000 | Glen Rose, TX, Independent School District Unlimited, Refunding Bonds, Series 2020, 5.000% due 8/15/24 | 422,893 | |
170,000 | Harris County, TX, Toll Road Authority, Revenue Bonds, Refunding, Series A, 5.000% due 8/15/22 | 171,758 | |
225,000 | Houston, TX, Community College system, General Obligation Limited, 5.000% due 2/15/23 | 230,364 | |
1,000,000 | Lower Colorado River Authority, TX, Revenue Bonds, Refunding, Series 2022, 5.000% due 5/15/24 | 1,048,665 | |
230,000 | North Texas Municipal Water District, Revenue Bonds, Refunding and Improvement Bonds, 5.000% due 6/1/24 | 242,371 | |
555,000 | North Texas Tollway Authority, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/23 | 566,241 | |
300,000 | North Texas Tollway Authority, Revenue Bonds, Taxable Refunding, 1.020% due 1/1/25 | 283,226 | |
520,000 | North Texas, Municipal Water District, Revenue Bonds, Series 2021A, 4.000% due 9/1/23 | 532,998 | |
200,000 | Pleasanton, TX, Independent School District, General Obligation Unlimited, (PSF Guaranteed), 5.000% due 8/15/23 | 207,206 | |
400,000 | Sunnyvale, TX, Independent School District, General Obligation Unlimited, Refunding, Series A, (PSF Guaranteed), 5.000% due 2/15/24 | 418,658 | |
320,000 | Texas A&M University, Revenue Bonds, Series B, Prerefunded 5/15/23 @ 100, 5.000% due 5/15/32 | 329,747 | |
6,168,003 |
127 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Virginia — 0.9% | |||
$ 200,000 | County of Fairfax, VA, General Obligation Unlimited, Series A (State Aid Withholding), 4.000% due 10/1/23 | $ 205,265 | |
250,000 | Greater Richmond, VA, Convention Center Authority, Revenue Bonds, Refunding, 5.000% due 6/15/23 | 257,800 | |
463,065 | |||
Washington — 2.4% | |||
425,000 | Central Puget Sound Regional Transit Authority, WA, Revenue Bonds, Series S-1, Prerefunded 11/01/22 @ 100, 5.000% due 11/1/25 | 432,212 | |
350,000 | Chelan County, WA, Public Utility District No 1, Revenue Bonds, Refunding, Series A, (NPFG Insured), 0.000% due 6/1/234 | 341,035 | |
125,000 | Lewis County, WA, Public Utility District No 1, Cowlitz Falls Hydroelectric Project, Revenue Bonds, Refunding, 5.000% due 10/1/22 | 126,826 | |
120,000 | Port of Seattle, WA, Revenue Bonds, Refunding, Series A, 5.000% due 8/1/25 | 120,966 | |
250,000 | Port of Seattle, WA, Revenue Bonds, Series D, 0.767% due 8/1/24 | 236,878 | |
1,257,917 | |||
Wisconsin — 2.6% | |||
215,000 | City of Eau Claire, WI, General Obligation Unlimited, Refunding, Series D, 1.400% due 4/1/24 | 209,313 | |
300,000 | City of Milwaukee, WI, General Obligation Unlimited, Refunding, Series N-4, 5.000% due 4/1/25 | 318,468 | |
325,000 | Wisconsin Department of Transportation, Revenue Bonds, Series 2, Prefefunded 07/01/22 @ 100, 5.000% due 7/1/23 | 326,964 | |
Wisconsin Health & Educational Facilities Authority, Revenue Bonds, Refunding: | |||
250,000 | 5.000% due 11/15/23 | 260,362 | |
220,000 | 5.000% due 11/15/25 | 233,777 | |
1,348,884 | |||
Wyoming — 0.8% | |||
400,000 | Wyoming Community Development Authority, Revenue Bonds, Series 1, 1.950% due 12/1/22 | 400,204 | |
TOTAL MUNICIPAL BONDS (Cost $50,665,547) | 49,453,231 | ||
Shares | |||
REGISTERED INVESTMENT COMPANIES* — 1.0% | |||
1,670 | iShares iBoxx High Yield Corporate Bond ETF5 | 131,145 | |
6,700 | VanEck Vectors High-Yield Municipal Index ETF5 | 368,232 | |
TOTAL REGISTERED INVESTMENT COMPANIES (Cost $548,950) | 499,377 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 4.5% | |||
$2,343,871 | With Fixed Income Clearing Corp., dated 4/29/22, 0.00%, principal and interest in the amount of $2,343,871, due 5/2/22, (collateralized by a U.S. Treasury Note with a par value of $2,380,400, coupon rate of 2.875%, due 08/15/28, market value of $2,390,761) | 2,343,871 | |
TOTAL REPURCHASE AGREEMENT (Cost $2,343,871) | 2,343,871 |
128 |
Shares | Value | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 1.0% | |||
514,238 | State Street Navigator Securities Lending Government Money Market Portfolio6 | $ 514,238 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $514,238) | 514,238 | ||
TOTAL INVESTMENTS (Cost $54,574,359) | 103.3% | $53,274,260 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (3.3) | (1,690,721) | |
NET ASSETS | 100.0% | $51,583,539 |
* | 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 April 30, 2022. |
2 | Floating Rate Bond. Rate shown is as of April 30, 2022. |
3 | When-issued security. |
4 | Zero Coupon Bond. |
5 | Securities or partial securities on loan. See Note 1. |
6 | Represents an investment of securities lending cash collateral. |
Abbreviations: |
AGMC — Assured Guaranty Municipal Corporation |
AMT — Alternative Minimum Tax |
BAM — Build America Mutual |
GNMA — Government National Mortgage Association |
NPFG — National Public Finance Guarantee Corporation |
PSF — Permanent School Fund |
QSBLF — Michigan Qualified School Bond Loan Fund |
SBRF — School Bond Reserve Fund |
129 |
% of Net Assets | Value | ||
SECTOR: | |||
Municipal Bonds | 95.9% | $ 49,453,231 | |
Registered Investment Companies | 1.0 | 499,377 | |
Corporate Notes | 0.9 | 463,543 | |
TOTAL | 97.8% | $50,416,151 | |
REPURCHASE AGREEMENT | 4.5 | 2,343,871 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 1.0 | 514,238 | |
TOTAL INVESTMENTS | 103.3% | $53,274,260 |
130 |
Face Amount | Value | ||
MUNICIPAL BONDS* — 98.5% | |||
Alabama — 1.0% | |||
$ 500,000 | Jefferson County, AL, Sewer Revenue, Revenue Bonds, Warrants, Series B, (AGMC Insured), 0.000% due 10/1/251 | $ 451,187 | |
1,070,000 | Jefferson County, AL, Sewer Revenue, Revenue Bonds, Warrants, Series D, 6.000% due 10/1/42 | 1,173,206 | |
500,000 | Jefferson County, AL, Sewer Revenue, Revenue Bonds, Warrants, Series E, 0.000% due 10/1/341 | 214,350 | |
500,000 | Montgomery, AL, Medical Clinic Board, Health Care Facility Revenue, Revenue Bonds, Refunding, 5.000% due 3/1/30 | 528,165 | |
250,000 | Selma, AL, Industrial Development Board, Gulf Opportunity Zone Revenue, Revenue Bonds, Series A, 2.000% due 11/1/332 | 244,701 | |
2,611,609 | |||
Alaska — 2.4% | |||
6,000,000 | City of Valdez, AK, Marine Term, Revenue Bonds, Refunding, 0.320% due 12/1/292 | 6,000,000 | |
1,675,000 | Northern Tobacco Securitization Corp., AK, Revenue Bonds, Refunding, Series B-2, 0.000% due 6/1/661 | 203,488 | |
6,203,488 | |||
Arizona — 3.1% | |||
300,000 | Arizona Industrial Development Authority, Education Revenue, Basis Schools Projects, Revenue Bonds, Refunding, Series A, 5.250% due 7/1/473 | 309,466 | |
250,000 | Arizona Industrial Development Authority, Education Revenue, Cadence Campus Project, Revenue Bonds, Series A, 4.000% due 7/15/503 | 211,738 | |
315,000 | Arizona Industrial Development Authority, Education Revenue, Macombs Fac Project, Revenue Bonds, Series A, 4.000% due 7/1/36 | 295,935 | |
Arizona Industrial Development Authority, Education Revenue, Revenue Bonds, Refunding, Series A: | |||
500,000 | 5.000% due 7/1/323 | 507,970 | |
500,000 | 4.000% due 7/1/42 | 449,150 | |
Arizona Industrial Development Authority, Education Revenue, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 7/1/493 | 246,329 | |
125,000 | 5.000% due 7/15/493 | 126,876 | |
300,000 | Arizona Industrial Development Authority, Education Revenue, Revenue Bonds, Series B, 5.500% due 7/1/383 | 315,817 | |
1,195,753 | Arizona Industrial Development Authority, Municipal Certificates, Revenue Bonds, Series 2, Class A, 3.625% due 5/20/33 | 1,175,099 | |
City of Phoenix, AZ, Industrial Development Authority, Education Revenue, Basis Schools, Inc., Revenue Bonds, Refunding: | |||
500,000 | 5.000% due 7/1/353 | 512,442 | |
250,000 | 5.000% due 7/1/453 | 254,441 | |
City of Phoenix, AZ, Industrial Development Authority, Education Revenue, Legacy Traditional Schools Project, Revenue Bonds, Series A: | |||
195,000 | 5.750% due 7/1/243 | 200,868 | |
500,000 | 6.750% due 7/1/443 | 539,035 | |
500,000 | City of Phoenix, AZ, Industrial Development Authority, Education Revenue, Revenue Bonds, Series A, 5.000% due 7/1/463 | 511,265 | |
40,000 | Florence Town, Inc., AZ, Industrial Development Authority, Legacy Traditional School Project, Revenue Bonds, Escrowed to Maturity, 5.000% due 7/1/23 | 40,771 | |
250,000 | Glendale, AZ, Industrial Development Authority, Senior Living Facility, Revenue Bonds, Refunding, 5.000% due 5/15/39 | 257,167 | |
290,000 | La Paz County, AZ, Industrial Development Authority, Revenue Bonds,Series A, 5.000% due 2/15/463 | 263,717 | |
750,000 | Maricopa County, AZ, Industrial Development Authority, Educational Revenue, Paradise Schools Project, Revenue Bonds, Refunding, 5.000% due 7/1/363 | 779,031 | |
375,000 | Maricopa County, AZ, Industrial Development Authority, Revenue Bonds, Series A, 6.000% due 7/1/523 | 407,890 |
131 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Arizona — (Continued) | |||
Pima County, AZ, Industrial Development Authority, Education Revenue, Revenue Bonds, Refunding: | |||
$ 110,000 | 4.000% due 6/15/413 | $ 97,950 | |
135,000 | 5.000% due 6/15/493 | 135,495 | |
150,000 | Tempe, AZ, Industrial Development Authority, Revenue Bonds, 5.000% due 12/1/54 | 151,881 | |
250,000 | Tempe, AZ, Industrial Development Authority, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/38 | 234,107 | |
8,024,440 | |||
California — 5.1% | |||
250,000 | California Community Housing Agency, Verdant at Green Valley Project, Revenue Bonds, Series A, 5.000% due 8/1/493 | 238,194 | |
288,219 | California Housing Finance Agency, Revenue Bonds, Series A-1, 4.250% due 1/15/35 | 301,235 | |
337,885 | California Housing Finance Agency, Revenue Bonds, Series A-3, 3.250% due 8/20/36 | 323,451 | |
1,880,000 | California Infrastructure & Economic Development Bank, Cabs-Sub-WFCS- Portfolio Project, Revenue Bonds, Series B, 0.000% due 1/1/611,3 | 134,988 | |
100,000 | California Infrastructure & Economic Development Bank, Revenue Bonds, Series A-1, 5.000% due 1/1/563 | 94,112 | |
California Municipal Finance Authority, Educational Revenue, Revenue Bonds, Refunding, Series A: | |||
360,000 | 5.000% due 6/1/36 | 371,990 | |
500,000 | 5.000% due 6/1/46 | 510,858 | |
300,000 | California Municipal Finance Authority, Higher Education Revenue, Revenue Bonds, Series A, 5.000% due 11/1/463 | 315,378 | |
750,000 | California Municipal Finance Authority, Student Housing Revenue Bonds, Series 2021, (BAM Insured), 3.000% due 5/15/51 | 570,388 | |
250,000 | California Public Finance Authority, Revenue Bonds, Refunding, 5.000% due 10/15/47 | 267,017 | |
335,000 | California School Finance Authority, Rocketship Education Obligated Group, Revenue Bonds, Series A, 5.250% due 6/1/523 | 343,000 | |
400,000 | California School Finance Authority, RVR Springs Chart School Project, Education Revenue, Revenue Bonds, Series A, 6.375% due 7/1/463 | 421,961 | |
250,000 | California Statewide Communities Development Authority, CHF Irvine LLC, Revenue Bonds, Refunding, 5.000% due 5/15/29 | 267,387 | |
500,000 | California Statewide Communities Development Authority, Revenue Bonds, Series A, 5.250% due 12/1/563 | 518,141 | |
785,000 | California Statewide Communities Development Authority, Student Housing Revenue, Revenue Bonds, 4.305% due 7/1/32 | 737,723 | |
110,000 | City of Chino Valley, CA, Unified School District, General Obligation Unlimited, Election of 2016, Series C, 0.000% due 8/1/351 | 63,264 | |
1,000,000 | City of Los Angeles, CA, Department of Airports, Revenue Bonds, Refunding, Series B, 5.000% due 5/15/48 | 1,098,415 | |
250,000 | City of San Francisco, CA, Community Facilities District No. 2016, Revenue Bond, Series 2022-A, 4.000% due 9/1/423 | 229,719 | |
465,000 | CMFA Special Finance Agency XII, CA,Revenue Bonds, Series A-1, 3.250% due 2/1/573 | 350,796 | |
CSCDA Community Improvement Authority, CA, Revenue Bonds, Series A-2: | |||
375,000 | 3.250% due 7/1/563 | 276,124 | |
390,000 | 3.250% due 4/1/573 | 288,622 | |
500,000 | 3.125% due 6/1/573 | 361,223 | |
875,000 | 4.000% due 6/1/583 | 721,885 | |
100,000 | CSCDA Community Improvement Authority, CA, Revenue Bonds, Series B, 4.000% due 12/1/563 | 74,921 | |
Hastings Campus Housing Finance Authority, CA, Revenue Bonds, Series A: | |||
600,000 | 5.000% due 7/1/45 | 630,726 | |
500,000 | 5.000% due 7/1/61 | 516,888 | |
720,000 | Madera, CA, Unified School District, General Obligation Unlimited, (NPFG Insured), 0.000% due 5/1/301 | 550,519 |
132 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
California — (Continued) | |||
$ 250,000 | River Islands, CA, Public Financing Authority, Special Tax, Series 1, 4.000% due 9/1/41 | $ 237,562 | |
500,000 | River Islands, CA, Public Financing Authority, Special Tax, Series A, 5.000% due 9/1/48 | 524,728 | |
1,000,000 | Riverside County, CA, Redevelopment Successor Agency, Tax Allocation, Series B, 0.000% due 10/1/391 | 493,291 | |
200,000 | Seal Beach, CA, Community Facilities District No. 2005-1, Special Tax, Refunding, 3.000% due 9/1/29 | 190,732 | |
1,000,000 | State of California, General Obligation Unlimited, 4.000% due 10/1/34 | 1,043,799 | |
13,069,037 | |||
Colorado — 10.6% | |||
500,000 | Amber Creek, CO, Metropolitan District, General Obligation Limited, Refunding, Series A, 5.125% due 12/1/47 | 482,767 | |
1,000,000 | Arista, CO, Metropolitan District, General Obligation Limited, Refunding, Series A, 4.375% due 12/1/28 | 1,005,441 | |
Arkansas River, CO, Power Authority, Power Revenue, Revenue Bonds, Refunding, Series A: | |||
500,000 | 5.000% due 10/1/33 | 539,902 | |
400,000 | 5.000% due 10/1/43 | 424,839 | |
500,000 | Banning Lewis Ranch, CO, Metropolitan District No. 8, General Obligation Limited, Series A, 4.875% due 12/1/513 | 403,389 | |
500,000 | Base Village, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 5.750% due 12/1/46 | 508,582 | |
500,000 | Big Dry Creek, CO, Metropolitan District, General Obligation Limited, Series A, 5.750% due 12/1/47 | 507,876 | |
206,000 | Bradburn, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 4.000% due 12/1/28 | 202,602 | |
525,000 | Broadway Park North, CO, Metropolitan District No 2, General Obligation Limited, 5.000% due 12/1/493 | 515,725 | |
740,000 | Buffalo Ridge, CO, Metropolitan District, General Obligation Limited, Series B, 7.375% due 12/15/47 | 716,950 | |
500,000 | Cherry Creek, CO, South Metropolitan District No 5, General Obligation Limited, 6.000% due 12/1/51 | 434,632 | |
1,070,000 | City & County of Broomfield, CO, Water Revenue, Revenue Bonds, 5.000% due 12/1/32 | 1,253,526 | |
500,000 | Clear Creek Station, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 5.000% due 12/1/47 | 491,017 | |
Colorado Health Facilities Authority, Frasier Project, Revenue Bonds, Refunding, Series A: | |||
55,000 | 4.000% due 5/15/414 | 49,132 | |
215,000 | 4.000% due 5/15/484 | 180,273 | |
500,000 | Colorado Health Facilities Authority, Hospital Revenue, Christian Living Neighborhoods Project, Revenue Bonds, Refunding, 5.000% due 1/1/31 | 514,270 | |
250,000 | Colorado Health Facilities Authority, Hospital Revenue, Parkview Medical Center Project, Revenue Bonds, Series A, 4.000% due 9/1/50 | 230,997 | |
700,000 | Colorado Health Facilities Authority, Hospital Revenue, Revenue Bonds, Prerefunded 6/1/27 @ 100, 5.000% due 6/1/37 | 779,327 | |
Colorado Health Facilities Authority, Hospital Revenue, Revenue Bonds, Refunding: | |||
400,000 | 5.000% due 1/1/37 | 407,740 | |
35,000 | 4.000% due 1/1/42 | 31,793 | |
250,000 | Colorado Health Facilities Authority, Revenue Bonds, 5.000% due 1/1/38 | 257,836 | |
660,000 | Colorado Health Facilities Authority, Revenue Bonds, Series A, Prerefunded 6/1/25 @ 100, 5.000% due 6/1/45 | 708,525 | |
10,000 | Colorado Housing and Finance Authority, Non AMT Non ACE SF Mortgage, Revenue Bonds, Series C, Class I, (GNMA Insured), 4.250% due 11/1/48 | 10,238 | |
625,000 | Colorado International Center Metropolitan District No. 14, General Obligation Limited, 5.875% due 12/1/46 | 637,241 |
133 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Colorado — (Continued) | |||
$ 500,000 | Colorado International Center Metropolitan District No. 7, General Obligation Limited, 0.000% due 12/1/511 | $ 309,287 | |
300,000 | Copper Ridge, CO, Metropolitan District, Revenue Bonds, 4.000% due 12/1/29 | 284,711 | |
500,000 | Cottonwood Hollow, CO, Residential Metropolitan District, General Obligation limited, Refunding, 5.000% due 12/1/51 | 410,443 | |
245,000 | Denver, CO, Urban Renewal Authority, Tax Allocation, Series A, 5.250% due 12/1/393 | 254,673 | |
590,000 | DIATC Metropolitan District, CO, General Obligation Limited, 3.250% due 12/1/293 | 551,010 | |
490,000 | Dinosaur Ridge, CO, Metropolitan District, Special Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/49 | 470,430 | |
1,000,000 | Gardens on Havana, CO, Metropolitan District No. 3, Revenue Bonds, Series A, 4.625% due 12/1/27 | 1,007,760 | |
945,000 | Harmony Technology Park, CO, Metropolitan District No. 2, General Obligation Limited, 4.500% due 12/1/32 | 988,384 | |
1,000,000 | HM Metropolitan District No 2, CO, General Obligation Limited, Series 2021, 0.000% due 12/1/511 | 571,940 | |
500,000 | Hunters Overlook, CO, Metropolitan District No. 5, General Obligation Limited, Series A, 5.000% due 12/1/49 | 504,385 | |
500,000 | Independence Metropolitan District No 3, CO, General Obligation Limited, Series A, 6.250% due 12/1/49 | 453,189 | |
780,000 | Lake Bluff, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, 5.250% due 12/1/51 | 661,005 | |
500,000 | Leyden Ranch, CO, Metropolitan District, General Obligation Unlimited, Series A, 5.125% due 12/1/47 | 495,867 | |
750,000 | Longs Peak, CO, Metropolitan District, General Obligation Limited, Series 2021, 5.250% due 12/1/513 | 635,323 | |
1,000,000 | Palisade Park, CO, North Metropolitan District No 3, General Obligation Limited, Series 2021, 5.500% due 12/1/51 | 849,008 | |
500,000 | Parkside, CO, City Centre Business Improvement District, Company Special Revenue, Revenue Bonds, Series A, 6.250% due 12/1/48 | 475,177 | |
200,000 | Rampart Range, CO, Metropolitan District No. 5, Revenue Bonds, 4.000% due 12/1/51 | 155,200 | |
500,000 | Reunion, CO, Metropolitan District, Revenue Bonds, Series A, 3.625% due 12/1/44 | 389,917 | |
500,000 | Roam, CO, Metropolitan District No 2, General Obligation Limited, Series 2021, 6.000% due 12/1/51 | 437,650 | |
500,000 | Senac, CO, South Metropolitan District No 1, General Obligation Limited, Series A-3, 5.250% due 12/1/51 | 432,488 | |
500,000 | Serenity Ridge, CO, Metropolitan District No. 2, General Obligation Limited, Refunding, Series A, 5.125% due 12/1/43 | 535,916 | |
750,000 | Southglenn, CO, Metropolitan District, Special Revenue, General Obligation Limited, Refunding, 5.000% due 12/1/30 | 755,140 | |
Southlands, CO, Metropolitan District No. 1, General Obligation Unlimited, Series A-2: | |||
215,000 | 3.500% due 12/1/27 | 208,587 | |
325,000 | 5.000% due 12/1/47 | 324,978 | |
555,000 | STC Metropolitan District No 2, CO, General Obligation Limited, Refunding, Series A, 3.000% due 12/1/25 | 539,075 | |
520,000 | Thompson Crossing, CO, Metropolitan District No. 4, General Obligation Limited, Refunding, 3.500% due 12/1/29 | 493,298 | |
600,000 | Tri-Pointe Residential, CO, Metropolitan District, General Obligation Limited, Refunding, Series A, 4.500% due 12/1/51 | 478,598 | |
Vauxmont, CO, Metropolitan District, General Obligation Limited, Refunding, (AGMC Insured): | |||
250,000 | 5.000% due 12/1/32 | 283,975 | |
160,000 | 5.000% due 12/15/32 | 173,485 | |
500,000 | Waterfront at Foster Lake, CO, Metropolitan District No 2, General Obligation Limited, Series 2022-A-3-1, 5.000% due 12/1/51 | 413,043 | |
500,000 | Waterfront at Foster Lake, CO, Metropolitan District No 2, Revenue Bonds, Series 2022, 4.625% due 12/1/28 | 463,608 |
134 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Colorado — (Continued) | |||
$ 500,000 | Westcreek, CO, Metropolitan District No 2, General Obligation Limited, Series A, 5.375% due 12/1/48 | $ 497,524 | |
500,000 | Westerly, CO, Metropolitan District No. 4, General Obligation Limited, Series A-1, 5.000% due 12/1/50 | 460,345 | |
27,260,039 | |||
Connecticut — 0.6% | |||
425,000 | Connecticut State Health and Educational Facilities Authority, Church Home of Hartford, Inc. Project, Revenue Bonds, Series A, 5.000% due 9/1/533 | 427,763 | |
165,000 | Connecticut State Health and Educational Facilities Authority, Revenue Bonds Refunding, Series G-1, 5.000% due 7/1/503 | 176,282 | |
125,000 | Connecticut State Health and Educational Facilities Authority, Revenue Bonds, Series A, 5.000% due 1/1/553 | 126,961 | |
125,000 | Connecticut State Health and Educational Facilities Authority, Revenue Bonds, Series E, 4.000% due 7/1/41 | 118,566 | |
125,000 | Harbor Point, CT, Infrastructure Improvement District, Special Obligation Revenue, Tax Allocation, Harbor Point Project, Refunding, 5.000% due 4/1/303 | 133,972 | |
600,000 | Mohegan Tribe of Indians, CT, Gaming Authority, Revenue Bonds, Series A, 5.500% due 8/1/263 | 612,424 | |
45,000 | SteelPoint, CT, Infrastructure, Improvement District, Special Obligation Tax Allocation, Steelpointe Harbor Project, 4.000% due 4/1/513 | 38,036 | |
1,634,004 | |||
District Of Columbia — 0.7% | |||
225,000 | District of Columbia, KIPP Obligated Group, Revenue Bonds, Refunding, Series A, (MBIA Insured), 5.000% due 7/1/27 | 237,865 | |
3,415,000 | District of Columbia, Tobacco Settlement Financing Corp., Revenue Bonds, Series A, 0.000% due 6/15/461 | 714,989 | |
2,000,000 | Metropolitan Washington, DC, Airports Authority, Dulles Toll Road Revenue, Revenue Bonds, Series B, (AGMC Insured), 0.000% due 10/1/401 | 916,582 | |
1,869,436 | |||
Florida — 4.8% | |||
105,000 | Alachua County, FL, Health Facilities Authourity, Revenue Bonds, Series 2021, 4.000% due 10/1/40 | 99,480 | |
Atlantic Beach, FL, Healthcare Facilities, Fleet Landing Project, Revenue Bonds, Series A: | |||
505,000 | 5.000% due 11/15/33 | 538,988 | |
250,000 | 5.000% due 11/15/53 | 260,740 | |
170,000 | Capital Trust Agency Inc, FL, Educational Facilities Revenue, Advantage Academy of Hillsborough Projects, Revenue Bonds, Series A, 4.000% due 12/15/24 | 170,956 | |
160,000 | Capital Trust Agency Inc, FL, Educational Facilities Revenue, Viera Charter School, Inc. Project, Revenue Bonds, Series A, 5.000% due 10/15/373 | 163,902 | |
290,000 | Capital Trust Agency Inc, FL, Revenue Bonds, Series A-1, 5.000% due 7/1/563 | 293,378 | |
6,500,000 | Capital Trust Agency Inc, FL, Revenue Bonds, Series B, 0.000% due 7/1/611,3 | 344,943 | |
250,000 | Capital Trust Agency Inc, FL, Viera Charter Schools Inc Project, Revenue Bonds, Series A, 5.000% due 10/15/493 | 252,009 | |
250,000 | Capital Trust Agency Inc, FL, WFCS Portfolio Projects, Revenue Bonds, Series A-1, 5.000% due 1/1/563 | 229,841 | |
500,000 | City of Pompano Beach, FL, John Knox Vlg Project, Revenue Bonds, Series 2021-A, 4.000% due 9/1/56 | 430,747 | |
300,000 | Escambia County, FL, Health Facilities Authority, Revenue Bonds, Refunding, Series A, (MBIA Insecured), 4.000% due 8/15/45 | 280,831 |
135 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — (Continued) | |||
$ 225,000 | Florida Development Finance Corp., Educational Facilities Revenue, Renaissance Charter School, Inc. Projects, Revenue Bonds, Refunding, Series A, 4.000% due 2/1/52 | $ 204,037 | |
145,000 | Florida Development Finance Corp., Educational Facilities Revenue, Renaissance Charter School, Inc. Projects, Revenue Bonds, Refunding, Series C, 5.000% due 9/15/503 | 146,281 | |
550,000 | Florida Development Finance Corp., Healthcare Facilities Revenue, University of Florida Health Project, Revenue Bonds, Series A, Prerefunded 8/1/23 @100, 6.000% due 2/1/33 | 575,468 | |
920,000 | Florida Housing Finance Corp., Revenue Bonds, Series 2, (GNMA/FNMA/FHLMC Insured), 3.000% due 7/1/52 | 904,126 | |
300,000 | Lakewood Ranch, FL, Stewardship District, Special Assessment Revenue, Lakewood National & Polo Run Project, 5.375% due 5/1/47 | 307,606 | |
285,000 | Lee County, FL, Industrial Development Authority, Healthcare Facilities, Healthpark Florida Inc Project, Revenue Bonds, Series A, 5.250% due 10/1/57 | 280,480 | |
500,000 | Lee County, FL, Industrial Development Authority, Shell Point/Waterside Health Project, Revenue Bonds, 5.000% due 11/15/39 | 538,065 | |
1,250,000 | North Broward, FL, Hospital District, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/48 | 1,327,152 | |
750,000 | Orange County, FL, Health Facilities Authority, Revenue Bonds, 5.000% due 8/1/40 | 788,341 | |
1,000,000 | Orange County, FL, Health Facilities Authority, Revenue Bonds, Refunding, 5.000% due 8/1/41 | 1,063,554 | |
55,000 | Palm Beach County, FL, Health Facilities Authority, Lifespace Communities, Revenue Bonds, Refunding, Series C, 5.000% due 5/15/25 | 57,548 | |
145,000 | Palm Beach County, FL, Health Facilities Authority, Revenue Bonds, Series A, 5.000% due 6/1/55 | 147,271 | |
5,000 | Palm Beach County, FL, Health Facilities Authority, Revenue Bonds, Series B, 5.000% due 11/15/42 | 5,453 | |
Sarasota County, FL, Health Facilities Authority, Retirement Facilities Revenue, Village on the Isle Project, Revenue Bonds, Series A: | |||
550,000 | 5.000% due 1/1/37 | 562,342 | |
250,000 | 5.000% due 1/1/42 | 254,032 | |
210,000 | Sawyers Landing, FL, Community Development, Special Assessment, 4.250% due 5/1/53 | 189,859 | |
500,000 | Southeast Overtown Park, FL, West Community Redevelopment Agency, Tax Allocation, Series A-1, 5.000% due 3/1/303 | 516,948 | |
100,000 | St. Johns County, FL, Industrial Development Authority, Vicar’s Landing Project, Revenue Bonds, Refunding, Tax Allocation, Series A, 4.000% due 12/15/46 | 85,673 | |
160,000 | Town Center at Palm Coast, FL, Community Development District, Special Assessment, 6.000% due 5/1/36 | 160,021 | |
Winter Garden Village at Fowler Groves, FL, Community Development District, Special Assessment, Refunding: | |||
650,000 | 3.750% due 5/1/31 | 631,315 | |
500,000 | 4.125% due 5/1/37 | 500,970 | |
12,312,357 | |||
Georgia — 0.8% | |||
150,000 | Atlanta, GA, Urban Redevelopment Agency, Revenue Bonds, Series 2021, 3.625% due 7/1/423 | 128,430 | |
375,000 | DeKalb County, GA, Housing Authority, Senior Living Revenue, Revenue Bonds, Refunding, Series A, 5.250% due 1/1/543 | 259,027 | |
425,000 | Georgia Housing & Finance Authority, Revenue Bonds, Refunding, Series A, 4.000% due 6/1/50 | 433,736 | |
200,000 | Georgia Municipal Electric Authority, Plant Vogtle Units 3&4 Project, Revenue Bonds, Series A, 5.000% due 7/1/60 | 209,627 | |
370,000 | Georgia Municipal Electric Authority, Revenue Bonds, Series A, (AGMC Insured), 4.000% due 1/1/38 | 373,745 |
136 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Georgia — (Continued) | |||
$ 195,000 | Houston, GA, Healthcare System, Inc., Revenue Bonds, Series B, 5.000% due 10/1/312 | $ 203,234 | |
340,000 | Macon-Bibb County, GA, Urban Development Authority, Revenue Bonds, Series A, 5.750% due 6/15/373 | 351,676 | |
125,000 | Monroe County, GA, Development Authority, Revenue Bonds, Series A, 1.500% due 1/1/392 | 120,464 | |
2,079,939 | |||
Guam — 0.3% | |||
175,000 | Guam Department of Education, Certificate Participation, Refunding, Series A, 5.000% due 2/1/40 | 178,783 | |
Guam Government Business Privilege, Revenue Bonds, Refunding, Series F: | |||
105,000 | 4.000% due 1/1/36 | 98,181 | |
500,000 | 4.000% due 1/1/42 | 455,865 | |
732,829 | |||
Hawaii — 0.4% | |||
1,000,000 | State of Hawaii, Airports System Revenue, Revenue Bonds, Series D, 4.000% due 7/1/36 | 1,013,509 | |
Idaho — 0.7% | |||
Idaho Health Facilities Authority, Kootenai Health Project, Revenue Bonds, Series A: | |||
250,000 | 4.375% due 7/1/343 | 256,192 | |
500,000 | 4.750% due 7/1/443 | 503,356 | |
250,000 | Idaho Housing and Finance Association, Nonprofit Facilities Revenue, Compass Charter School Project, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/403 | 255,701 | |
735,000 | Idaho Housing and Finance Association, Nonprofit Facilities Revenue, Compass Charter School Project, Revenue Bonds, Series A, 6.000% due 7/1/393 | 804,447 | |
1,819,696 | |||
Illinois — 12.6% | |||
250,000 | Bolingbrook, IL, Special Service Area No 1, Special Tax, Refunding, 5.250% due 3/1/41 | 233,267 | |
100,000 | City of Chicago, IL, Board of Education, General Obligation Unlimited, Refunding, Series A, 7.000% due 12/1/44 | 110,149 | |
325,000 | City of Chicago, IL, Board of Education, General Obligation Unlimited, Refunding, Series A, (AGMC, AMBAC Insured), 5.500% due 12/1/31 | 389,130 | |
600,000 | City of Chicago, IL, Board of Education, General Obligation Unlimited, Refunding, Series B, 7.000% due 12/1/423 | 689,151 | |
City of Chicago, IL, Board of Education, General Obligation Unlimited, Series A: | |||
400,000 | 7.000% due 12/1/463 | 457,094 | |
500,000 | 4.000% due 12/1/47 | 436,340 | |
City of Chicago, IL, Board of Education, General Obligation Unlimited, Series A, (NPFG Insured): | |||
150,000 | 0.000% due 12/1/231 | 142,921 | |
710,000 | 0.000% due 12/1/251 | 627,699 | |
170,000 | 5.500% due 12/1/26 | 181,781 | |
550,000 | 0.000% due 12/1/291 | 410,680 | |
1,205,000 | 0.000% due 12/1/311 | 816,717 | |
1,150,000 | City of Chicago, IL, Board of Education, General Obligation Unlimited, Series B1, (NPFG Insured), 0.000% due 12/1/311 | 779,439 | |
640,000 | City of Chicago, IL, Board of Education, General Obligation Unlimited, Series C, 5.250% due 12/1/39 | 662,460 | |
500,000 | City of Chicago, IL, Board of Education, General Obligation Unlimited, Series H, 5.000% due 12/1/46 | 517,240 | |
600,000 | City of Chicago, IL, General Obligation Unlimited, (NPFG Insured), 0.000% due 1/1/311 | 428,341 | |
City of Chicago, IL, General Obligation Unlimited, Refunding, Series A: | |||
150,000 | 5.000% due 1/1/30 | 161,120 | |
530,000 | 5.000% due 1/1/34 | 564,332 |
137 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
City of Chicago, IL, General Obligation Unlimited, Refunding, Series C: | |||
$ 305,000 | 5.000% due 1/1/24 | $ 315,135 | |
250,000 | 0.000% due 1/1/271 | 207,788 | |
435,000 | 0.000% due 1/1/311 | 298,660 | |
City of Chicago, IL, General Obligation Unlimited, Series B: | |||
261,000 | 4.000% due 1/1/33 | 250,437 | |
1,283,000 | 4.000% due 1/1/38 | 1,194,116 | |
865,000 | City of Chicago, IL, Transit Authority, Sales Tax Receipts Fund, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/49 | 852,549 | |
305,000 | City of Chicago, IL, Wastewater Transmission Revenue, Revenue Bonds, Refunding, (NPFG Insured), 5.500% due 1/1/30 | 339,218 | |
150,000 | City of Chicago, IL, Waterworks Revenue, Revenue Bonds, Refunding, (AMBAC Insured), 5.750% due 11/1/30 | 166,605 | |
500,000 | Cook County, IL, Community College District No. 508, General Obligation Unlimited, 5.250% due 12/1/43 | 510,881 | |
320,000 | Illinois Finance Authority, Charter School Revenue, Refunding and Improvement, Chicago International Charter School Project, Revenue Bonds, 5.000% due 12/1/47 | 327,475 | |
400,000 | Illinois Finance Authority, Christian Homes, Inc., Revenue Bonds, Refunding, 5.000% due 5/15/36 | 420,231 | |
150,000 | Illinois Finance Authority, Lifespace Communities Project, Revenue Bonds, Refunding, Series A, 5.000% due 5/15/22 | 150,097 | |
350,000 | Illinois Finance Authority, Revenue Bonds, 4.000% due 7/1/35 | 362,939 | |
Illinois Finance Authority, Revenue Bonds, Refunding: | |||
230,000 | 5.000% due 12/1/40 | 243,936 | |
250,000 | 5.000% due 12/1/46 | 263,394 | |
Illinois Finance Authority, Revenue Bonds, Refunding, Series A: | |||
300,000 | 5.000% due 7/1/35 | 329,454 | |
250,000 | 5.000% due 8/15/37 | 272,523 | |
Illinois Finance Authority, Revenue Bonds, Refunding, Series C: | |||
1,000,000 | 5.000% due 2/15/31 | 1,085,002 | |
1,000,000 | 4.125% due 8/15/37 | 1,005,878 | |
500,000 | Illinois Finance Authority, Silver Cross Hospital & Medical Center, Revenue Bonds, Refunding, Series C, 5.000% due 8/15/44 | 523,345 | |
Illinois Finance Authority, Student Housing Revenue, Northern Illinois University Project, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 7/1/35 | 216,148 | |
500,000 | 5.000% due 7/1/47 | 389,718 | |
1,035,000 | Illinois Finance Authority, Swedish Covenant Hospital, Revenue Bonds, Refunding, Series A, 5.000% due 8/15/34 | 1,128,246 | |
405,000 | Illinois Housing Development Authority, Revenue Bonds, Refunding, Series C, 3.500% due 8/1/46 | 407,384 | |
Illinois Housing Development Authority, Revenue Bonds, Series A, (FHLMC/ FNMA / GNMA Insured): | |||
310,000 | 4.250% due 10/1/49 | 317,872 | |
305,000 | 3.000% due 4/1/51 | 299,817 | |
1,080,000 | Illinois Housing Development Authority, Revenue Bonds, Series D, 3.000% due 10/1/51 | 1,058,434 | |
475,000 | Illinois Sports Facilities Authority, Revenue Bonds, Refunding, 5.000% due 6/15/24 | 491,755 | |
250,000 | Illinois Sports Facilities Authority, Revenue Bonds, Refunding, (BAM Insured), 5.000% due 6/15/30 | 278,062 | |
620,000 | Illinois Sports Facilities Authority, Revenue Bonds, Refunding, (BAM- TCRS Insured), 5.000% due 6/15/28 | 691,241 | |
Illinois Sports Facilities Authority, State Tax Supported, Capital Apprec, Revenue Bonds, (AMBAC Insured): | |||
500,000 | 0.000% due 6/15/231 | 483,834 | |
440,000 | 0.000% due 6/15/261 | 380,389 | |
500,000 | Illinois State University, Revenue Bonds, Refunding, (AGMC Insured), 5.000% due 4/1/24 | 521,731 |
138 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
$ 250,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Refunding, (BAM, NPFG Insured), 0.000% due 6/15/281 | $ 200,337 | |
525,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Refunding, Series B-1, (AGMC Insured), 0.000% due 6/15/271 | 438,584 | |
Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Series A, (NPFG Insured): | |||
485,000 | 0.000% due 6/15/311 | 332,637 | |
1,000,000 | 0.000% due 6/15/361 | 533,951 | |
2,000,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax, Revenue Bonds, Series A, (AGMC, MBIA Insured), 0.000% due 12/15/291 | 1,504,324 | |
175,000 | Metropolitan Pier & Exposition Authority, IL, McCormick Place Expansion Project, Revenue Bonds, Refunding, Series A, 0.000% due 12/15/371 | 80,426 | |
500,000 | Metropolitan Pier & Exposition Authority, IL, McCormick Place Expansion Project, Revenue Bonds, Refunding, Series B, 5.000% due 12/15/40 | 517,742 | |
State of Illinois, General Obligation Unlimited: | |||
500,000 | 5.000% due 1/1/30 | 523,497 | |
500,000 | 5.500% due 5/1/30 | 557,565 | |
165,000 | 4.000% due 6/1/35 | 160,083 | |
1,000,000 | 5.000% due 2/1/39 | 1,016,627 | |
State of Illinois, General Obligation Unlimited, Series C: | |||
500,000 | 5.000% due 11/1/29 | 533,856 | |
250,000 | 4.000% due 10/1/42 | 232,911 | |
United City of Yorkville, IL, Special Tax, Refunding, (AGMC Insured): | |||
495,000 | 3.000% due 3/1/25 | 495,429 | |
250,000 | 4.000% due 3/1/36 | 251,277 | |
1,000,000 | University of Illinois, Auxiliary Facilities, Revenue Bonds, Refunding, Series A, (AGMC Insured), 4.000% due 4/1/36 | 1,013,081 | |
500,000 | Volo Village, IL, Special Service Area No. 3 & 6, Special Tax, Symphony Meadows/Lancaster Falls Project, Refunding, (AGMC Insured), 2.875% due 3/1/25 | 499,289 | |
32,283,771 | |||
Indiana — 2.0% | |||
Indiana Finance Authority, Greencroft Obligated Group, Revenue Bonds, Series A: | |||
345,000 | 5.750% due 11/15/28 | 362,499 | |
330,000 | 6.500% due 11/15/33 | 350,083 | |
Indiana Finance Authority, Midwestern Disaster Relief Revenue, Revenue Bonds, Ohio Valley Electric Corp. Project, Series A: | |||
900,000 | 5.000% due 6/1/32 | 900,962 | |
300,000 | 5.000% due 6/1/39 | 300,272 | |
250,000 | Indiana Finance Authority, Ohio Valley Electric Corp Project, Revenue Bonds, Series B, 3.000% due 11/1/30 | 224,084 | |
260,000 | Indiana Finance Authority, Pollution Control, Ohio Valley Electric Corp Project, Revenue Bonds, Series B, 2.500% due 11/1/30 | 224,113 | |
Indiana Finance Authority, Revenue Bonds, Refunding, Series A: | |||
250,000 | 1.400% due 8/1/29 | 210,572 | |
455,000 | 4.000% due 11/15/43 | 417,935 | |
Indiana Finance Authority, Revenue Bonds, Series A: | |||
600,000 | 5.000% due 11/15/38 | 624,386 | |
100,000 | 5.250% due 11/15/46 | 103,167 | |
1,500,000 | 4.000% due 7/1/50 | 1,444,479 | |
5,162,552 | |||
Iowa — 0.7% | |||
250,000 | Iowa Finance Authority, IA Fertilizer Co Project, Revenue Bonds, 5.250% due 12/1/25 | 263,755 |
139 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Iowa — (Continued) | |||
$ 730,000 | Iowa Finance Authority, Midwestern Disaster Area Revenue, Iowa Fertilizer Company Project, Revenue Bonds, Refunding, 5.000% due 12/1/504 | $ 738,937 | |
500,000 | Iowa Finance Authority, Midwestern Disaster Relief Revenue, Iowa Fertilizer Co. LLC Project, Revenue Bonds, Refunding, Series B, 5.250% due 12/1/502 | 532,272 | |
250,000 | Iowa Finance Authority, Senior Housing Revenue, Northcrest Inc Project, Revenue Bonds, Series A, 5.000% due 3/1/33 | 257,542 | |
1,792,506 | |||
Kansas — 0.5% | |||
200,000 | City of Manhattan, KS, Revenue Bonds, Refunding, Series A, 4.000% due 6/1/36 | 188,254 | |
150,000 | Wyandotte County, KS, Kansas City Unified Government, Revenue Bonds, Refunding, 5.000% due 12/1/34 | 141,686 | |
885,000 | Wyandotte County, KS, Kansas City Unified Government, Village East Project Areas 2B, 3 and 5, Revenue Bonds, 5.250% due 9/1/353,4 | 870,970 | |
45,000 | Wyandotte County, KS, Kansas City Unified Government, Wyandotte Plaza Project, Revenue Bonds, Refunding, 4.000% due 12/1/28 | 42,246 | |
1,243,156 | |||
Kentucky — 0.9% | |||
305,000 | City of Ashland, KY, Medical Center Revenue, Revenue Bonds, Refunding, Series A, 4.000% due 2/1/32 | 306,386 | |
350,000 | City of Ashland, KY, Revenue Bonds, Refunding, Series A, 4.000% due 2/1/36 | 349,680 | |
Kentucky Economic Development Finance Authority, Healthcare Revenue, Revenue Bonds, Series B, (NPFG Insured): | |||
500,000 | 0.000% due 10/1/261 | 429,716 | |
500,000 | 0.000% due 10/1/271 | 412,658 | |
250,000 | Kentucky Economic Development Finance Authority, Healthcare Revenue, Rosedale Green Project, Revenue Bonds, Refunding, 5.750% due 11/15/45 | 225,330 | |
95,000 | Kentucky Public Transportation Infrastructure Authority, Revenue Bonds, Refunding, Series B, (AGMC Insured), 4.000% due 7/1/53 | 95,502 | |
130,000 | Kentucky State University, Certificate Participation, Kentucky State University Project, Refunding, (BAM Insured), 4.000% due 11/1/34 | 138,054 | |
250,000 | Louisville & Jefferson County, KY, Metropolitan Government Healthcare System, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/31 | 272,085 | |
2,229,411 | |||
Louisiana — 1.0% | |||
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 | 264,881 | |
865,000 | Juban Crossing, LA, Economic Development District, Gen Infrastructure Project, Revenue Bonds, Refunding, Series C, 7.000% due 9/15/443 | 770,552 | |
1,250,000 | Louisiana Local Govenment Facility & Community Development Authority, Entergy Louisiana LLC Project, Revenue Bonds, Series B, 2.500% due 4/1/36 | 1,040,616 | |
500,000 | Louisiana Public Facilities Authority, Revenue Bonds, Louisiana State University Greenhouse District Phase III Project, Series A, 5.000% due 7/1/59 | 531,481 | |
2,607,530 |
140 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Maryland — 1.9% | |||
$ 1,125,000 | Baltimore, MD, Special Obligation, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/38 | $ 1,156,681 | |
250,000 | Brunswick, MD, Special Obligation, Special Tax, Refunding, 5.000% due 7/1/36 | 259,149 | |
250,000 | Howard County, MD, Special Obligation, Tax Allocation, Downtown Columbia Project, Series A, 4.125% due 2/15/343 | 242,152 | |
285,000 | Maryland Community Development Administration, Department Housing & Community Development, Revenue Bonds, Refunding, Series A, 4.500% due 9/1/48 | 292,890 | |
740,000 | Maryland Community Development Administration, Revenue Bonds, Refunding, Series A, 3.000% due 9/1/51 | 727,018 | |
285,000 | Maryland Community Development Administration, Revenue Bonds, Refunding, Series C, 3.000% due 9/1/51 | 279,746 | |
500,000 | Maryland Economic Development Corp., Morgan State University Project, Revenue Bonds, 5.000% due 7/1/56 | 510,710 | |
90,000 | Maryland Economic Development Corp., Special Obligation, Metro Centre Owings Mills Project, Tax Allocation, 3.750% due 7/1/27 | 89,537 | |
250,000 | Maryland Economic Development Corp., Special Obligation, Tax Allocation, Metro Centre Owings Mills Project, 4.500% due 7/1/44 | 245,911 | |
500,000 | Prince George’s County, MD, Revenue Authority, Tax Allocation, Suitland-Naylor Road Project, 5.000% due 7/1/463 | 513,586 | |
500,000 | Prince George’s County, MD, Special Obligation, PGC Hampton Park Project, Revenue Bonds, Series A, 4.375% due 7/1/483 | 460,105 | |
4,777,485 | |||
Massachusetts — 0.7% | |||
100,000 | City of Massachusetts, CW, Development Finance Agency, Revenue Bonds, Refunding, 5.125% due 1/1/404 | 101,017 | |
1,500,000 | Commonwealth of Massachusetts, Special Obligation Unlimited, Revenue Bonds,Refunding, (NPFG Insured), 5.500% due 1/1/34 | 1,783,049 | |
1,884,066 | |||
Michigan — 3.3% | |||
250,000 | City of Detroit, MI, General Obligation Unlimited, 5.000% due 4/1/34 | 262,563 | |
125,000 | Detroit, MI, General Obligation Unlimited, Series A, 5.000% due 4/1/46 | 128,789 | |
250,000 | Flint, MI, Hospital Building Authority, Revenue Bonds, Refunding, Series A, 4.000% due 7/1/38 | 249,824 | |
280,000 | Flint, MI, Hospital Building Authority, Revenue Bonds, Series A, 5.250% due 7/1/39 | 286,317 | |
1,000,000 | Grand Rapids, MI, Charter Township Economic Development Corp., Revenue Bonds, Refunding, 5.000% due 5/15/44 | 1,041,592 | |
Grand Rapids, MI, Economic Development Corp., Beacon Hill Eastgate Project, Revenue Bonds, Refunding, Series A: | |||
600,000 | 5.000% due 11/1/37 | 615,633 | |
250,000 | 5.000% due 11/1/553 | 246,399 | |
Kentwood, MI, Economic Development Corp., Revenue Bonds, Refunding: | |||
65,000 | 4.750% due 11/15/22 | 65,075 | |
250,000 | 5.000% due 11/15/37 | 261,111 | |
250,000 | 5.625% due 11/15/41 | 250,360 | |
240,000 | 4.000% due 11/15/43 | 226,716 | |
325,000 | Michigan Finance Authority, Revenue Bonds, Refunding, Series B-2, 0.000% due 6/1/651 | 33,430 | |
520,000 | Michigan State Housing Development Authority, Safe Mortgage Revenue, Revenue Bonds, Series A, 2.700% due 10/1/56 | 365,437 | |
1,710,000 | Michigan State Housing Development Authority, Safe Mortgage Revenue, Revenue Bonds, Series C, 4.250% due 6/1/49 | 1,751,978 |
141 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Michigan — (Continued) | |||
$ 250,000 | Michigan Strategic Fund, Limited Obligation Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/29 | $ 272,221 | |
2,500,000 | University of Michigan, MI, Revenue Bonds, Series A, 0.300% due 4/1/382 | 2,500,000 | |
8,557,445 | |||
Minnesota — 0.2% | |||
240,000 | City of St. Paul, MN, Housing & Redevelopment Authority, Charter School Lease Revenue, Great RVR School Project, Revenue Bonds, Series A, 5.500% due 7/1/383 | 249,138 | |
191,484 | Minnesota Housing Finance Agency, Non AMT Non ACE SF Mortgage, Revenue Bonds, Series I, (GNMA / FNMA / FHLMC Insured), 2.800% due 12/1/47 | 187,563 | |
436,701 | |||
Mississippi — 0.1% | |||
220,000 | Mississippi Business Finance Corp., Revenue Bonds, 2.375% due 6/1/44 | 156,408 | |
Missouri — 1.2% | |||
380,000 | Cape Girardeau County, MO, Industrial Development Authority, Southeast Health, Revenue Bonds, Refunding, Series A, 6.000% due 3/1/33 | 400,257 | |
30,000 | City of Lees Summit, MO, Special Obligation Tax Increment, Tax Allocation, Summit Fair Project, Refunding, 3.500% due 11/1/233 | 29,448 | |
400,000 | Maryland Heights, MO, Industrial Development Authority, State Louis Community ICE Center Project, Revenue Bonds, Series A, 4.375% due 3/15/30 | 365,885 | |
100,000 | Missouri Health & Educational Facilities Authority, Lutheran Senior Services, Revenue Bonds, 5.000% due 2/1/25 | 103,266 | |
250,000 | Missouri Health & Educational Facilities Authority, Lutheran Senior SVC Project, Revenue Bonds, Series A, 5.000% due 2/1/42 | 263,096 | |
Missouri Health & Educational Facilities Authority, Revenue Bonds: | |||
640,000 | 5.000% due 2/1/26 | 659,363 | |
250,000 | 5.000% due 8/1/45 | 255,840 | |
100,000 | Missouri Health & Educational Facilities Authority, Revenue Bonds, Series A, 5.000% due 2/1/28 | 105,216 | |
60,000 | Plaza at Noah’s Ark, MO, Community Improvement District, Refunding, Revenue Bonds, 3.000% due 5/1/26 | 57,913 | |
355,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Facilities, Revenue Bonds, Refunding, 5.000% due 9/1/32 | 365,847 | |
500,000 | St. Louis County, MO, Industrial Development Authority, Senior Living Facilities, Revenue Bonds, Series A, 5.250% due 9/1/53 | 506,132 | |
3,112,263 | |||
Nebraska — 0.1% | |||
165,000 | Nebraska Investment Finance Authority, Safe Housing Revenue, Revenue Bonds, Series C, 4.000% due 9/1/48 | 167,941 | |
Nevada — 0.6% | |||
195,000 | City of Las Vegas, NV, Sales Tax Increment Revenue, Revenue Bonds, 3.500% due 6/15/253 | 191,648 | |
225,000 | City of Las Vegas, NV, Special Improvement District No. 816, Sales Tax Increment, Special Assessment, 2.750% due 6/1/31 | 196,993 | |
385,000 | City of North Las Vegas, NV, Local Improvement, Special Assessment, 4.625% due 6/1/49 | 381,850 | |
335,000 | Nevada Department of Business & Industry, Revenue Bonds, Series A, 5.000% due 7/15/273 | 351,417 |
142 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Nevada — (Continued) | |||
$ 500,000 | State of Nevada Department of Business & Industry, Revenue Bonds, Series A, 5.000% due 12/15/483 | $ 508,902 | |
1,630,810 | |||
New Hampshire — 0.4% | |||
968,489 | New Hampshire Business Finance Authority, Municipal Certificates, Revenue Bonds, Series 1, Class A, 4.125% due 1/20/34 | 998,402 | |
New Jersey — 4.5% | |||
1,000,000 | New Jersey Economic Development Authority Revenue, Revenue Bonds, Refunding, (AGMC Insured), 5.000% due 6/1/29 | 1,101,746 | |
175,000 | New Jersey Economic Development Authority, Beloved Community Chart School, Inc. Project, Revenue Bonds, Series A, 5.000% due 6/15/493 | 175,853 | |
345,000 | New Jersey Economic Development Authority, Foundation Academy Charter School Project, Revenue Bonds, Series A, 5.000% due 7/1/38 | 353,765 | |
500,000 | New Jersey Economic Development Authority, Revenue Bonds, Refunding, Series I, (State Appropriations), (SIFMA MUNI SWAP INDEX + 1.60%), 2.040% due 3/1/285 | 504,019 | |
2,500,000 | New Jersey Economic Development Authority, Revenue Bonds, Refunding, Series XX, 5.000% due 6/15/25 | 2,652,993 | |
500,000 | New Jersey Health Care Facilities Financing Authority Revenue, Revenue Bonds, St Peters Univerdity Hospital, 5.750% due 7/1/37 | 500,986 | |
705,000 | New Jersey Housing & Mortgage Finance Agency, Revenue Bonds, Refunding, Series C, 4.750% due 10/1/50 | 733,791 | |
355,000 | New Jersey Transportation Trust Fund Authority, Agency, Revenue Bonds, Series BB, 4.000% due 6/15/46 | 334,871 | |
500,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Refunding, Series A, 4.000% due 6/15/35 | 493,127 | |
New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series A: | |||
1,000,000 | 0.000% due 12/15/351 | 550,200 | |
1,300,000 | 0.000% due 12/15/391 | 576,434 | |
1,000,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series A, (BAM-TCRS Insured), 0.000% due 12/15/271 | 827,644 | |
New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series C, (AGMC Insured): | |||
185,000 | 0.000% due 12/15/321 | 122,717 | |
1,000,000 | 0.000% due 12/15/341 | 604,531 | |
550,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series C, (AMBAC Insured), 0.000% due 12/15/351 | 309,132 | |
1,000,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series C, (NPFG Insured), 0.000% due 12/15/311 | 684,973 | |
1,000,000 | Tobacco Settlement Financing Corp., NJ, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/29 | 1,080,783 | |
11,607,565 | |||
New Mexico — 0.4% | |||
275,000 | City of Santa Fe, NM, Retirement Facility Revenue, EL Castillo Retirement Project, Revenue Bonds, Series A, 5.000% due 5/15/34 | 286,065 | |
250,000 | New Mexico Hospital Equipment Loan Council, Revenue Bonds, LA Vida Llena Expansion Project, Series A, 5.000% due 7/1/49 | 241,338 | |
465,000 | New Mexico Mortgage Finance Authority, Revenue Bonds, Series A-1, Class I, (GNMA / FNMA / FHLMC Insured), 4.250% due 1/1/50 | 477,049 | |
1,004,452 | |||
New York — 5.1% | |||
435,000 | Brookhaven, NY, Local Development Corp., Jefferson’s Ferry Project, Revenue Bonds, Series A, 4.000% due 11/1/55 | 441,218 |
143 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New York — (Continued) | |||
$ 1,250,000 | Brooklyn, NY, Arena Local Development Corp., Pilot Revenue, Barclays Ctr Project, Revenue Bonds, Refunding, Series A, 5.000% due 7/15/42 | $ 1,309,551 | |
Build NYC Resource Corp, NY, Revenue Bonds, Series A: | |||
315,000 | 5.000% due 12/1/413 | 320,544 | |
100,000 | 4.000% due 6/15/51 | 85,425 | |
500,000 | Glen Cove, NY, Local Economic Assistance Corp., Revenue Bonds, Series C, 0.000% due 1/1/551 | 456,614 | |
250,000 | Huntington, NY, Local Development Corp., Fountaingate Garden Project, Revenue Bonds, Series A, 5.250% due 7/1/56 | 241,517 | |
395,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Refunding, Series D-2-B, (AGMC Insured), (SOFR* 0.67 + 0.55%), 0.738% due 11/1/325 | 394,706 | |
Metropolitan Transportation Authority, NY, Revenue Bonds, Series C-1: | |||
250,000 | 4.750% due 11/15/45 | 258,374 | |
120,000 | 5.000% due 11/15/50 | 124,742 | |
500,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series C-2, 0.000% due 11/15/321 | 333,517 | |
500,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series D, 4.000% due 11/15/46 | 479,359 | |
Metropolitan Transportation Authority, NY, Revenue Bonds, Series D-2: | |||
500,000 | 4.000% due 11/15/47 | 477,416 | |
325,000 | 4.000% due 11/15/48 | 309,152 | |
175,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series D-3, 4.000% due 11/15/49 | 166,038 | |
115,000 | Monroe County, NY, Industrial Development Corp, St. Ann’s Community Project, Revenue Bonds, 5.000% due 1/1/50 | 104,893 | |
150,000 | Monroe County, NY, Industrial Development Corp, St. Ann’s Community Project, Revenue Bonds, Refunding, 5.000% due 1/1/40 | 136,991 | |
500,000 | New York City, NY, Industrial Development Agency, Revenue Bonds, Refunding, (AGMC Insured), 3.000% due 1/1/46 | 405,264 | |
460,000 | New York City, NY, Municipal Water Finance Authority, Revenue Bonds, Refunding, Series BB2, 4.000% due 6/15/42 | 460,252 | |
2,000,000 | New York City, NY, Municipal Water Finance Authority, Water And Sewer Sytem Revenue, Revenue Bonds, Series A-2, 0.330% due 6/15/442 | 2,000,000 | |
700,000 | New York State, Dormitory Authority, Non State Supported Debt, Revenue Bonds, Refunding, 5.000% due 12/1/323 | 762,967 | |
300,000 | New York State, Mortgage Agency, Homeowner Mortgage, Revenue Bonds, Refunding, Series 195, 4.000% due 10/1/46 | 304,341 | |
1,415,000 | New York State, Urban Development Corp., Revenue Bonds, Refunding, Series C, 5.000% due 3/15/50 | 1,544,589 | |
New York Transportation Development Corp., Revenue Bonds, Refunding, Series C: | |||
500,000 | 5.000% due 12/1/32 | 538,146 | |
500,000 | 5.000% due 12/1/34 | 533,054 | |
230,000 | Niagara, NY, Area Development Corp., Catholic Health System Inc Project, Revenue Bonds, 5.000% due 7/1/52 | 215,708 | |
150,000 | Sullivan County, NY, Special Assessment, Adelaar Infrastructure Project, Special Assessment, Series E-1, 4.850% due 11/1/313 | 145,929 | |
500,000 | Sullivan County, NY, Special Assessment, Adelaar Infrastructure Project, Special Assessment, Series E-2, 5.350% due 11/1/493 | 470,762 | |
13,021,069 | |||
North Carolina — 0.6% | |||
945,000 | North Carolina Housing Finance Agency, Revenue Bonds, Series 46-A, (GNMA / FNMA / FHLMC Insured), 3.000% due 7/1/51 | 930,507 | |
500,000 | North Carolina Medical Care Commission, Retirement Facilities Revenue, 1st Mortgage-Carolina Vlg Project, Revenue Bonds, Series B, 5.000% due 4/1/47 | 484,741 |
144 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
North Carolina — (Continued) | |||
$ 215,000 | North Carolina Medical Care Commission, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/34 | $ 222,438 | |
1,637,686 | |||
North Dakota — 0.3% | |||
195,000 | North Dakota Housing Finance Agency, Revenue Bonds, Series A, 3.000% due 1/1/52 | 191,996 | |
500,000 | Ward County, ND, Healthcare Facilities Revenue, Revenue Bonds, Series C, 5.000% due 6/1/43 | 532,401 | |
724,397 | |||
Ohio — 2.2% | |||
500,000 | Buckeye Tobacco, OH, Settlement Financing Authority, Revenue Bonds, Series B-2, 5.000% due 6/1/55 | 486,252 | |
600,000 | City of Centerville, OH, Healthcare Revenue, Revenue Bonds, Refunding, 5.250% due 11/1/50 | 600,848 | |
100,000 | Cleveland-Cuyahoga County, OH, Port Authority, Tax Allocation, Sub-Flats East Bank Project, Refunding, Series B, 4.500% due 12/1/553 | 87,086 | |
455,000 | Cuyahoga County, OH, Hospital Revenue, Revenue Bonds, Refunding, 5.500% due 2/15/52 | 492,232 | |
345,000 | Franklin County, OH, Revenue Bonds, Refunding, 5.250% due 11/15/55 | 345,698 | |
1,000,000 | Lucas County, OH, Hospital Revenue, Promedica Healthcare Obligated Group, Revenue Bonds, Refunding, Series A, 5.250% due 11/15/48 | 1,080,912 | |
475,000 | Ohio Higher Educational Facility Commission, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/50 | 497,238 | |
Southeastern Ohio Port Authority Hospital Facilities, Revenue Bonds, Refunding: | |||
300,000 | 5.750% due 12/1/32 | 303,297 | |
500,000 | 6.000% due 12/1/42 | 505,288 | |
State of Ohio, Revenue Bonds, Refunding: | |||
250,000 | 5.000% due 12/1/283 | 249,332 | |
420,000 | 5.000% due 12/1/333 | 409,248 | |
250,000 | 5.000% due 12/1/383 | 236,550 | |
300,000 | 5.000% due 12/1/483 | 270,729 | |
5,564,710 | |||
Oklahoma — 0.3% | |||
635,000 | Norman, OK, Regional Hospital Authority, Revenue Bonds, Refunding, 4.000% due 9/1/37 | 635,452 | |
375,000 | Oklahoma Development Finance Authority, Revenue Bonds, Series A, 5.000% due 8/1/526 | 375 | |
635,827 | |||
Oregon — 0.7% | |||
1,000,000 | City of Salem, OR, Hospital Facility Authority, Oregon Revenue, Capital Manor Project, Revenue Bonds, Refunding, 4.000% due 5/15/40 | 952,946 | |
125,000 | Clackamas County, OR, Hospital Facility Authority, Oregon Senior Living, Rose Villa Project, Revenue Bonds, Refunding, Series A, 5.125% due 11/15/40 | 127,012 | |
250,000 | Multnomah County, OR, Hospital Authority, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/56 | 199,383 | |
395,000 | Polk County, OR, Oregon Hospital Facility Authority, Dollas Retirement Vlg Project, Revenue Bonds, Series A, 5.125% due 7/1/55 | 369,646 | |
1,648,987 | |||
Pennsylvania — 4.1% | |||
500,000 | Allegheny County, PA, Hospital Development Authority, Revenue Bonds, Refunding, Series A, 5.000% due 4/1/47 | 536,387 |
145 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
Berks County, PA, Industrial Development Authority, Tower Health Project, Revenue Bonds, Refunding: | |||
$ 1,000,000 | 5.000% due 11/1/47 | $ 982,917 | |
250,000 | 4.000% due 11/1/47 | 199,767 | |
325,000 | Berks County, PA, Municipal Authority, Tower Health Project, Revenue Bonds, Refunding, Series A, 5.000% due 2/1/28 | 340,038 | |
150,000 | Berks County, PA, Municipal Authority, Tower Health Project, Revenue Bonds, Series B-3, 5.000% due 2/1/402 | 153,047 | |
270,000 | Bucks Country, PA, Industrial Development Authority, Grand view Hospital Project, Revenue Bonds, 4.000% due 7/1/46 | 243,396 | |
125,000 | Chester County, PA, Industrial Development Authority, Revenue Bonds, Avon Grove Chart School Project, Refunding, Series A, 5.000% due 12/15/51 | 126,439 | |
Crawford County, PA, Hospital Authority, Revenue Bonds, Refunding, Series A: | |||
400,000 | 6.000% due 6/1/36 | 421,748 | |
250,000 | 6.000% due 6/1/46 | 261,155 | |
500,000 | Cumberland County, PA, Municipal Authority, Revenue Bonds, Refunding, 5.000% due 1/1/29 | 525,377 | |
250,000 | Delaware Valley, PA, Regional Finance Authority, Revenue Bonds, Series C, (3M USD LIBOR * 0.67 + 0.75%), 1.100% due 6/1/375 | 225,068 | |
1,000,000 | Doylestown, PA, Hospital Authority, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/41 | 1,051,870 | |
200,000 | Franklin County, PA, Industrial Development Authority, Menno-Haven, Inc. Project, Revenue Bonds, Refunding, 5.000% due 12/1/43 | 196,879 | |
445,000 | Montgomery County, PA, Higher Education and Health Authority, Revenue Bonds, Refunding, 5.000% due 12/1/47 | 464,098 | |
1,000,000 | Montgomery County, PA, Higher Education and Health Authority, Revenue Bonds, Refunding, Series B, 3.250% due 5/1/55 | 784,137 | |
Montgomery County, PA, Industrial Development Authority, Health System Revenue, Revenue Bonds, Refunding, Series A: | |||
600,000 | 5.250% due 1/15/27 | 639,967 | |
250,000 | 5.250% due 1/15/46 | 266,653 | |
Montgomery County, PA, Industrial Development Authority, Revenue Bonds, Refunding: | |||
105,000 | 5.000% due 11/15/23 | 105,135 | |
500,000 | 5.000% due 11/15/36 | 535,295 | |
100,000 | 5.000% due 12/1/46 | 101,431 | |
250,000 | Montgomery County, PA, Industrial Development Authority, Waverly Heights, Limited. Project, Revenue Bonds, Refunding, 5.000% due 12/1/44 | 268,043 | |
1,000,000 | Pennsylvania Higher Educational Facilities Authority, Revenue Bonds, Refunding, Series A, 5.000% due 8/15/44 | 1,106,851 | |
Philadelphia, PA, Authority for Industrial Development, Revenue Bonds, Refunding: | |||
100,000 | 5.000% due 8/1/30 | 103,438 | |
115,000 | 5.000% due 6/15/403 | 116,261 | |
425,000 | 5.000% due 8/1/40 | 437,609 | |
150,000 | Washington County, PA, Redevelopment Authority Revenue, Tax Allocation, Refunding, 5.000% due 7/1/28 | 152,957 | |
100,000 | Westmoreland County, PA, Industrial Development Authority, Excela Health Project, Revenue Bonds, Refunding, Series A, 4.000% due 7/1/25 | 103,923 | |
10,449,886 | |||
Puerto Rico — 6.6% | |||
Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bonds, Refunding, Series A: | |||
1,500,000 | 5.000% due 7/1/353 | 1,580,570 | |
250,000 | 5.000% due 7/1/373,4 | 264,922 | |
1,500,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bonds, Refunding, Series B, 4.000% due 7/1/423 | 1,406,895 | |
Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bonds, Series A: | |||
145,000 | 5.000% due 7/1/33 | 145,805 | |
300,000 | 5.125% due 7/1/37 | 301,725 |
146 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Puerto Rico — (Continued) | |||
Puerto Rico Commonwealth, General Obligation Unlimited, Restructured, Series A-1: | |||
$ 108,024 | 5.250% due 7/1/23 | $ 109,325 | |
49,753 | 0.000% due 7/1/241 | 45,237 | |
107,721 | 5.375% due 7/1/25 | 111,277 | |
106,745 | 5.625% due 7/1/27 | 113,081 | |
105,012 | 5.625% due 7/1/29 | 112,967 | |
101,998 | 5.750% due 7/1/31 | 111,397 | |
96,721 | 4.000% due 7/1/33 | 89,694 | |
124,470 | 0.000% due 7/1/331 | 71,014 | |
86,939 | 4.000% due 7/1/35 | 80,367 | |
74,617 | 4.000% due 7/1/37 | 67,042 | |
301,450 | 4.000% due 7/1/41 | 270,739 | |
655,507 | 4.000% due 7/1/46 | 574,141 | |
481,605 | Puerto Rico Commonwealth, Series A-1, 0.000% due 11/1/431 | 250,435 | |
1,000,000 | Puerto Rico Electric Power Authority, Power Revenue, Revenue Bonds, Series XX-RSA-1, 5.250% due 7/1/406 | 960,000 | |
25,000 | Puerto Rico Electric Power Authority, Revenue Bonds, (AGMC Insured), 5.000% due 7/1/27 | 25,446 | |
610,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series DDD, (AGMC Insured), 3.625% due 7/1/23 | 616,508 | |
75,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series SS, (AGMC Insured), 5.000% due 7/1/30 | 76,339 | |
900,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series UU, (AGMC Insured), (3M USD LIBOR * 0.67 + 0.52%), 1.168% due 7/1/295 | 905,872 | |
500,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series 2013A-RSA-1, 7.000% due 7/1/406 | 497,500 | |
85,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series A, 5.000% due 7/1/29 | 81,175 | |
300,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series NN, (NPFG Insured), 4.750% due 7/1/33 | 308,562 | |
510,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series RR, (AGC Insured), 5.000% due 7/1/28 | 519,104 | |
10,000 | Puerto Rico Highway & Transportation Authority, Revenue Bonds, (AMBAC Insured), 0.000% due 7/1/251 | 8,731 | |
455,000 | Puerto Rico Highway & Transportation Authority, Revenue Bonds, Refunding, Series N, (AMBAC Insured), (Consumer Price Index YoY + 1.12%), 8.600% due 7/1/285 | 435,391 | |
430,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, International American University Project, Revenue Bonds, (NPFG Insured), 4.500% due 10/1/29 | 430,634 | |
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, International American University Project, Revenue Bonds, Refunding: | |||
250,000 | 5.000% due 10/1/31 | 251,752 | |
400,000 | 4.000% due 7/1/40 | 394,735 | |
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 | 100,479 | |
500,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Revenue Bonds, 5.000% due 3/1/36 | 502,360 | |
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Revenue Bonds, Series A, Class 2, (AMBAC Insured): | |||
209,663 | 0.000% due 8/1/471 | 71,343 | |
323,124 | 0.000% due 8/1/541 | 78,179 |
147 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Puerto Rico — (Continued) | |||
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Revenue Bonds, Series A-1: | |||
$ 7,000 | 0.000% due 7/1/241 | $ 6,574 | |
14,000 | 0.000% due 7/1/291 | 11,187 | |
18,000 | 0.000% due 7/1/311 | 13,358 | |
3,188,000 | 0.000% due 7/1/461 | 895,130 | |
11,743,000 | 0.000% due 7/1/511 | 2,459,933 | |
500,000 | 5.000% due 7/1/58 | 512,480 | |
500,000 | Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Revenue Bonds, Series A-2, 4.784% due 7/1/58 | 506,718 | |
185,000 | University of Puerto Rico, Revenue Bonds, Refunding, Series P, (NPFG Insured), 5.000% due 6/1/25 | 188,837 | |
University of Puerto Rico, Revenue Bonds, Series Q: | |||
100,000 | 5.000% due 6/1/25 | 98,929 | |
150,000 | 5.000% due 6/1/36 | 146,809 | |
16,810,698 | |||
Rhode Island — 0.5% | |||
395,000 | Rhode Island Housing and Mortgage Finance Corp., Revenue Bonds, Series 69-B, (GNMA / FNMA / FHLMC Insured), 4.000% due 10/1/48 | 402,441 | |
5,500,000 | Tobacco Settlement Financing Corp., RI, Revenue Bonds, Series A, 0.000% due 6/1/521 | 854,096 | |
1,256,537 | |||
South Carolina — 1.7% | |||
2,760,004 | Connector 2000 Association, Inc., SC, Revenue Bonds, Series A-1, 0.000% due 1/1/421 | 623,936 | |
500,000 | Connector 2000 Association, Inc., SC, Toll Road Revenue, Revenue Bonds, Series A-1, 0.000% due 1/1/321 | 245,601 | |
105,000 | South Carolina Jobs-Economic Development Authority, Green Charter Schools Project, Revenue Bonds, Refunding, Series A, 4.000% due 6/1/563 | 86,160 | |
South Carolina Jobs-Economic Development Authority, Health Facilities Revenue, Revenue Bonds, Refunding: | |||
410,000 | 5.000% due 10/1/363 | 416,300 | |
1,090,000 | 5.000% due 10/1/413 | 1,098,096 | |
800,000 | South Carolina Jobs-Economic Development Authority, Residential Facilities Revenue, Revenue Bonds, Refunding, 5.000% due 4/1/47 | 811,784 | |
200,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/33 | 213,591 | |
500,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series B, 5.000% due 12/1/37 | 535,371 | |
190,000 | South Carolina State Housing Finance & Development Authority, Revenue Bonds, Series A, (GNMA / FNMA / FHLMC/ FHA Insured), 4.000% due 7/1/36 | 193,005 | |
4,223,844 | |||
Tennessee — 0.4% | |||
40,000 | Metropolitan Government Nashville County, IL, Industrial Development Board, Special Assessment, Series 2021A, 4.000% due 6/1/513 | 33,155 | |
50,000 | Metropolitan Government Nashville County, IL, Industrial Development Board, Special Assessment, Series 2021B, 0.000% due 6/1/431,3 | 15,777 | |
1,000,000 | Metropolitan Nashville Airport Authority, TN, Revenue Bonds, Series A, 5.000% due 7/1/54 | 1,074,027 | |
1,122,959 | |||
Texas — 4.2% | |||
645,000 | Arlington, TX, Higher Education Finance Corp., Education Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/51 | 662,402 |
148 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Texas — (Continued) | |||
Arlington, TX, Higher Education Finance Corp., Revenue Bonds, Refunding, Uplift Education, Series A: | |||
$ 295,000 | 2.750% due 12/1/26 | $ 277,667 | |
210,000 | 4.375% due 2/15/51 | 163,363 | |
500,000 | City of Plano, TX, Special Assessment, 4.000% due 9/15/513 | 410,792 | |
360,000 | Fort Bend County, TX, Industrial Development Corp., NRG Energy, Inc., Revenue Bonds, Series A, 4.750% due 5/1/38 | 362,970 | |
1,510,000 | Harris County, TX, Cultural Education Facilities Finance Corp., Brazos Presbyterian Homes Project, Revenue Bonds, Refunding, 5.000% due 1/1/48 | 1,555,256 | |
150,000 | Harris County, TX, Cultural Education Facilities Finance Corp., Revenue Bonds, Series A, 5.000% due 1/1/43 | 150,891 | |
500,000 | Matagorda County, TX, Navigation District No. 1, Revenue Bonds, Refunding, Series A, (AMBAC Insured), 4.400% due 5/1/30 | 528,444 | |
215,000 | New Hope, TX, Cultural Education Facilities Finance Corp., Blinn College Project, Revenue Bonds, Series A, 5.000% due 7/1/40 | 217,717 | |
375,000 | New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facilities Revenue, Morningside Ministries Project, Revenue Bonds, Series A, 5.000% due 1/1/35 | 386,973 | |
950,000 | New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facilities Revenue, Revenue Bonds, Refunding, 5.000% due 11/15/36 | 1,024,253 | |
250,000 | New Hope, TX, Cultural Education Facilities Finance Corp., Revenue Bonds, Refunding, 4.000% due 8/15/513 | 212,340 | |
500,000 | New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Revenue Bonds, Series A, 5.000% due 4/1/42 | 552,766 | |
250,000 | New Hope, TX, Cultural Education Facilities Finance Corp., Wesleyan Homes Inc Project, Revenue Bonds, 5.500% due 1/1/49 | 232,825 | |
400,000 | New Hope, TX, Cultural Education Facilities Finance Corp., Wesleyan Homes Inc Project, Revenue Bonds, Refunding, 5.000% due 1/1/55 | 331,642 | |
Newark, TX, Higher Education Finance Corp., Education Revenue, Revenue Bonds: | |||
300,000 | 5.000% due 6/15/33 | 300,663 | |
500,000 | 5.000% due 6/15/38 | 501,034 | |
Tarrant County, TX, Cultural Education Facilities Finance Corp., Retirement Facilities, Air Force Villages Project, Revenue Bonds, Refunding: | |||
70,000 | 4.000% due 5/15/31 | 68,338 | |
625,000 | 5.000% due 5/15/45 | 630,435 | |
250,000 | Tarrant County, TX, Cultural Education Facilities Finance Corp., Retirement Facilities, Air Force Villiages Project, Revenue Bonds, Refunding, 4.000% due 5/15/27 | 251,228 | |
150,000 | Tarrant County, TX, Cultural Education Facilities Finance Corp., Retirement Facilities, Revenue Bonds, Refunding, 5.000% due 11/15/35 | 154,645 | |
140,000 | Texas Department of Housing and Community Affairs, Revenue Bonds, Series A, (GNMA Insured), 4.750% due 3/1/49 | 145,154 | |
1,000,000 | Texas Municipal Gas Acquisition and Supply Corp. II, Revenue Bonds, Series A, (3M USD LIBOR * 0.66 + 0.69%), 1.235% due 9/15/275 | 981,306 | |
700,000 | Town of Little Elm, TX, Special Assessment, Series A, 5.375% due 9/1/513 | 618,076 | |
10,721,180 | |||
Utah — 0.7% | |||
500,000 | Hideout, UT, Local District No. 1, Special Assessment, 6.750% due 8/1/373 | 468,405 | |
500,000 | Mida Mountain Village, UT, Public Infrastructure District, Special Assessment, 4.000% due 8/1/503 | 391,236 | |
250,000 | Mida Mountain Village, UT, Public Infrastructure District, Special Assessment, Series A, 5.000% due 8/1/50 | 248,269 |
149 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Utah — (Continued) | |||
$ 750,000 | UIPA Crossroads Public Infrastructure District, UT, Tax Allocation, Series 2021, 4.375% due 6/1/523 | $ 607,984 | |
1,715,894 | |||
Vermont — 0.1% | |||
260,000 | Vermont Economic Development Authority, Revenue Bonds, Refunding, Series A, 4.000% due 5/1/37 | 234,071 | |
Virginia — 3.1% | |||
165,000 | Albemarle County, VA, Economic Development Authority, Revenue Bonds, Refunding, Series 2022-A, 4.000% due 6/1/42 | 161,646 | |
750,000 | Farmville, VA, Industrial Development Authority, Longwood University Student Project, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/38 | 782,417 | |
500,000 | Farmville, VA, Industrial Development Authority, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/50 | 516,198 | |
Hanover County, VA, Economic Development Authority, Care Facilities Revenue, Covenant Woods, Revenue Bonds, Refunding: | |||
255,000 | 4.000% due 7/1/303 | 244,506 | |
500,000 | 5.000% due 7/1/38 | 517,187 | |
295,000 | Henrico County, VA, Economic Development Authority, Health Care Facilities Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 12/1/37 | 302,926 | |
500,000 | Henrico County, VA, Economic Development Authority, Residencial Care Facility Revenue, Revenue Bonds, Series A, 5.000% due 6/1/39 | 502,059 | |
600,000 | Henrico County, VA, Economic Development Authority, Residencial Care Facility Revenue, Revenue Bonds, Series C, 5.000% due 12/1/47 | 607,545 | |
James City County, VA, Economic Development Authority, Revenue Bonds, Series A: | |||
500,000 | 4.000% due 12/1/40 | 439,937 | |
140,000 | 4.000% due 6/1/41 | 120,583 | |
830,000 | Matching Fund Special Purpose Securitization Corp., VA, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/39 | 848,202 | |
500,000 | Newport News, VA, Industrial Development Authority, Health System Revenue, Revenue Bonds, Series A, 5.000% due 7/1/463 | 529,505 | |
1,000,000 | Newport News, VA, Industrial Development Authority, System Revenue, Revenue Bonds, 5.330% due 7/1/453 | 1,054,484 | |
500,000 | Virginia Small Business Financing Authority, Residential Care Facility Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 6/1/42 | 518,054 | |
50,000 | Virginia Small Business Financing Authority, Revenue Bonds, Refunding, 4.000% due 12/1/51 | 42,456 | |
Virginia Small Business Financing Authority, Revenue Bonds, Refunding, Series A: | |||
500,000 | 5.000% due 1/1/32 | 541,321 | |
250,000 | 4.000% due 1/1/45 | 244,054 | |
7,973,080 | |||
Washington — 1.8% | |||
235,000 | Kalispel Tribe of Indians, WA, Priority District, Revenue Bonds, Series B, 5.250% due 1/1/383 | 253,895 | |
1,125,000 | Washington Health Care Facilities Authority, Revenue Bonds, 5.000% due 12/1/36 | 1,193,670 | |
300,000 | Washington Health Care Facilities Authority, Revenue Bonds, Refunding, 5.000% due 8/15/34 | 319,096 | |
200,000 | Washington Health Care Facilities Authority, Revenue Bonds, Refunding, Series A-2, 5.000% due 8/1/30 | 219,602 | |
Washington State Convention Center Public Facilities District, Revenue Bonds, Refunding, Series B: | |||
260,000 | 4.000% due 7/1/31 | 257,812 | |
295,000 | 3.000% due 7/1/35 | 247,495 | |
265,000 | 3.000% due 7/1/58 | 172,577 |
150 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Washington — (Continued) | |||
$ 625,000 | Washington State Housing Finance Commission, Refunding, Judson Park Project, Revenue Bonds, 5.000% due 7/1/383 | $ 618,133 | |
493,498 | Washington State Housing Finance Commission, Revenue Bonds, Series A-1, 3.500% due 12/20/35 | 450,281 | |
500,000 | Washington State Housing Finance Commission, Rockwood Retirement Communities, Revenue Bonds, 5.000% due 1/1/553 | 416,961 | |
500,000 | Washington State Housing Finance Commission, Rockwood Retirement Communities, Revenue Bonds, Series A, 5.000% due 1/1/563 | 415,576 | |
4,565,098 | |||
West Virginia — 0.1% | |||
250,000 | West Virginia Hospital Finance Authority, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/43 | 267,110 | |
Wisconsin — 4.0% | |||
250,000 | Public Finance Authority, WI, Charter Day School Inc Project, Revenue Bonds, Series A, 5.000% due 12/1/453 | 248,435 | |
250,000 | Public Finance Authority, WI, Charter School Portfolio Project, Revenue Bonds, Series A-1, 5.000% due 1/1/553 | 230,408 | |
500,000 | Public Finance Authority, WI, Charter School Revenue, Revenue Bonds, Series A, 5.375% due 7/15/473 | 515,606 | |
235,000 | Public Finance Authority, WI, Education Revenue, Revenue Bonds, Series A, 5.000% due 6/15/513 | 215,794 | |
500,000 | Public Finance Authority, WI, Grand Hyatt San Antonio Hotel Acquisition Project, Revenue Bonds, Series B, 6.000% due 2/1/623 | 471,921 | |
115,000 | Public Finance Authority, WI, Hospital Facility Authority, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/41 | 110,994 | |
110,000 | Public Finance Authority, WI, Hospital Facility Authority, Revenue Bonds, Series A-1, 4.000% due 7/1/513 | 97,999 | |
Public Finance Authority, WI, Retirement Facility Revenue, Revenue Bonds, Refunding: | |||
250,000 | 5.000% due 9/1/493 | 224,298 | |
500,000 | 5.000% due 9/1/543 | 513,856 | |
135,000 | Public Finance Authority, WI, Revenue Bonds, 5.000% due 4/1/503 | 137,913 | |
260,000 | Public Finance Authority, WI, Revenue Bonds, Refunding, 5.875% due 4/1/45 | 275,978 | |
Public Finance Authority, WI, Revenue Bonds, Refunding, Series A: | |||
375,000 | 5.000% due 6/1/293 | 386,685 | |
250,000 | 5.000% due 1/1/35 | 267,024 | |
750,000 | 5.000% due 1/1/46 | 777,966 | |
1,000,000 | Public Finance Authority, WI, Revenue Bonds, Series A, 4.000% due 7/1/51 | 900,750 | |
295,000 | Public Finance Authority, WI, School Education Revenue, Revenue Bonds, 4.000% due 6/15/293 | 296,862 | |
500,000 | Public Finance Authority, WI, School Education Revenue, Revenue Bonds, Series A, 4.000% due 6/15/403 | 429,589 | |
Public Finance Authority, WI, Senior Living Revenue, Mary’s Woods at Marylhurst Project, Revenue Bonds, Refunding, Series A: | |||
350,000 | 5.250% due 5/15/373 | 354,310 | |
100,000 | 4.000% due 10/1/51 | 92,966 | |
55,000 | Public Finance Authority, WI, Senior Living Revenue, Rose Village Project, Revenue Bonds, Series A, 5.000% due 11/15/243 | 55,791 | |
500,000 | Public Finance Authority, WI, Student Housing, Revenue Bonds, (AGMC Insured), 5.000% due 7/1/53 | 523,419 | |
1,060,000 | Public Finance Authority, WI, Student Housing, Revenue Bonds, Series A, 5.000% due 7/1/25 | 1,109,607 | |
50,000 | Public Finance Authority, WI, The obligated Group of National Senior Communities, Revenue Bonds, 4.000% due 1/1/52 | 47,177 |
151 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Wisconsin — (Continued) | |||
Wisconsin Health & Educational Facilities Authority Revenue, Revenue Bonds, Refunding: | |||
$ 955,000 | 5.000% due 6/1/41 | $ 958,933 | |
70,000 | 4.000% due 12/1/41 | 62,694 | |
110,000 | 4.000% due 1/1/47 | 90,835 | |
215,000 | 4.000% due 1/1/57 | 168,876 | |
35,000 | Wisconsin Housing & Economic Development Authority, Home Ownership Revenue, Revenue Bonds, Refunding, Series B, 0.400% due 5/1/452 | 33,694 | |
640,000 | Wisconsin Housing & Economic Development Authority, Home Ownership Revenue, Revenue Bonds, Series D, 4.000% due 3/1/47 | 649,839 | |
10,250,219 | |||
Other Territory — 0.4% | |||
714,534 | Federal Home Loan Mortgage Corporation Multifamily 2019ML-05 Certificates, Revenue Bonds, Class AUS, 3.400% due 1/25/36 | 703,669 | |
262,784 | Federal Home Loan Mortgage Corporation Multifamily 2021ML-10 Certificates, Class AUS, 2.032% due 1/25/38 | 219,193 | |
714,570 | Federal Home Loan Mortgage Corporation Multifamily 2021ML-10 Certificates, Class XUS, 2.055% due 1/25/382 | 131,554 | |
1,054,416 | |||
TOTAL MUNICIPAL BONDS (Cost $264,731,316) | 252,160,515 | ||
TOTAL INVESTMENTS (Cost $264,731,316) | 98.5% | $252,160,515 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 1.5 | 3,953,251 | |
NET ASSETS | 100.0% | $256,113,766 |
* | 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 April 30, 2022. |
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 April 30, 2022, these securities, which are not illiquid, amounted to $42,320,141 or 16.5% of net assets for the Fund. |
4 | When-issued security. |
5 | Floating Rate Bond. Rate shown is as of April 30, 2022. |
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 |
152 |
% of Net Assets | Value | ||
STATE: | |||
Illinois | 12.6% | $ 32,283,771 | |
Colorado | 10.6 | 27,260,039 | |
Puerto Rico | 6.6 | 16,810,698 | |
California | 5.1 | 13,069,037 | |
New York | 5.1 | 13,021,069 | |
Florida | 4.8 | 12,312,357 | |
New Jersey | 4.5 | 11,607,565 | |
Texas | 4.2 | 10,721,180 | |
Pennsylvania | 4.1 | 10,449,886 | |
Wisconsin | 4.0 | 10,250,219 | |
Michigan | 3.3 | 8,557,445 | |
Arizona | 3.1 | 8,024,440 | |
Virginia | 3.1 | 7,973,080 | |
Alaska | 2.4 | 6,203,488 | |
Ohio | 2.2 | 5,564,710 | |
Indiana | 2.0 | 5,162,552 | |
Maryland | 1.9 | 4,777,485 | |
Washington | 1.8 | 4,565,098 | |
South Carolina | 1.7 | 4,223,844 | |
Missouri | 1.2 | 3,112,263 | |
Alabama | 1.0 | 2,611,609 | |
Louisiana | 1.0 | 2,607,530 | |
Kentucky | 0.9 | 2,229,411 | |
Georgia | 0.8 | 2,079,939 | |
Massachusetts | 0.7 | 1,884,066 | |
District of Columbia | 0.7 | 1,869,436 | |
Idaho | 0.7 | 1,819,696 | |
Iowa | 0.7 | 1,792,506 | |
Utah | 0.7 | 1,715,894 | |
Oregon | 0.7 | 1,648,987 | |
North Carolina | 0.6 | 1,637,686 | |
Connecticut | 0.6 | 1,634,004 | |
Nevada | 0.6 | 1,630,810 | |
Rhode Island | 0.5 | 1,256,537 | |
Kansas | 0.5 | 1,243,156 | |
Tennessee | 0.4 | 1,122,959 | |
Other Territory | 0.4 | 1,054,416 | |
Hawaii | 0.4 | 1,013,509 | |
New Mexico | 0.4 | 1,004,452 | |
New Hampshire | 0.4 | 998,402 | |
Guam | 0.3 | 732,829 | |
North Dakota | 0.3 | 724,397 | |
Oklahoma | 0.3 | 635,827 | |
Minnesota | 0.2 | 436,701 | |
West Virginia | 0.1 | 267,110 | |
Vermont | 0.1 | 234,071 | |
Nebraska | 0.1 | 167,941 | |
Mississippi | 0.1 | 156,408 | |
TOTAL MUNICIPAL BONDS | 98.5% | $252,160,515 | |
TOTAL INVESTMENTS | 98.5% | $252,160,515 |
153 |
154 |
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 | $ 20,466,200 | $ — | $— | $ 20,466,200 | ||||
U.S. Treasury Bills | — | 113,041,154 | — | 113,041,154 | ||||
Repurchase Agreement | — | 9,041,583 | — | 9,041,583 | ||||
Purchased Options | ||||||||
Calls | 1,139,738,600 | — | — | 1,139,738,600 | ||||
Puts | 873,600 | — | — | 873,600 | ||||
Total Purchased Options | 1,140,612,200 | — | — | 1,140,612,200 | ||||
Total Investments | 1,161,078,400 | 122,082,737 | — | 1,283,161,137 | ||||
Total | $1,161,078,400 | $122,082,737 | $— | $1,283,161,137 |
155 |
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 | $(777,049,000) | $— | $— | $(777,049,000) | ||||
Puts | (37,232,200) | — | — | (37,232,200) | ||||
Total Written Options | (814,281,200) | — | — | (814,281,200) | ||||
Total | $(814,281,200) | $— | $— | $(814,281,200) |
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 | $ 2,053,896 | $ — | $— | $ 2,053,896 | ||||
U.S. Treasury Bills | — | 3,964,787 | — | 3,964,787 | ||||
Repurchase Agreement | — | 1,705,199 | — | 1,705,199 | ||||
Purchased Options | ||||||||
Calls | 34,442,650 | — | — | 34,442,650 | ||||
Puts | 26,400 | — | — | 26,400 | ||||
Total Purchased Options | 34,469,050 | — | — | 34,469,050 | ||||
Total Investments | 36,522,946 | 5,669,986 | — | 42,192,932 | ||||
Total | $36,522,946 | $5,669,986 | $— | $42,192,932 |
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 | $(23,482,250) | $— | $— | $(23,482,250) | ||||
Puts | (1,437,445) | — | — | (1,437,445) | ||||
Total Written Options | (24,919,695) | — | — | (24,919,695) | ||||
Total | $(24,919,695) | $— | $— | $(24,919,695) |
156 |
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 | $ — | $ 37,825,155 | $— | $ 37,825,155 | ||||
Federal National Mortgage Association | — | 19,841,296 | — | 19,841,296 | ||||
Total Agency Notes | — | 57,666,451 | — | 57,666,451 | ||||
Mortgage-Backed Securities | ||||||||
Federal Home Loan Mortgage Corporation | — | 59,500,291 | — | 59,500,291 | ||||
Federal National Mortgage Association | — | 64,363,284 | — | 64,363,284 | ||||
Government National Mortgage Association | — | 493,984 | — | 493,984 | ||||
Total Mortgage-Backed Securities | — | 124,357,559 | — | 124,357,559 | ||||
Corporate Notes | ||||||||
Banking | — | 32,916,578 | — | 32,916,578 | ||||
Beverages, Food & Tobacco | — | 9,512,750 | — | 9,512,750 | ||||
Communications | — | 15,060,138 | — | 15,060,138 | ||||
Computer Software & Processing | — | 20,273,375 | — | 20,273,375 | ||||
Electronics | — | 7,083,494 | — | 7,083,494 | ||||
Heavy Machinery | — | 8,324,061 | — | 8,324,061 | ||||
Insurance | — | 9,088,539 | — | 9,088,539 | ||||
Media - Broadcasting & Publishing | — | 6,732,654 | — | 6,732,654 | ||||
Pharmaceuticals | — | 8,441,701 | — | 8,441,701 | ||||
Total Corporate Notes | — | 117,433,290 | — | 117,433,290 | ||||
U.S. Treasury Notes/Bonds | — | 60,910,625 | — | 60,910,625 | ||||
Repurchase Agreement | — | 13,323,374 | — | 13,323,374 | ||||
Investment of Security Lending Collateral | 15,719,408 | — | — | 15,719,408 | ||||
Total Investments | 15,719,408 | 373,691,299 | — | 389,410,707 | ||||
Total | $15,719,408 | $373,691,299 | $— | $389,410,707 |
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 | $ — | $ 463,543 | $— | $ 463,543 | ||||
Municipal Bonds | ||||||||
Alabama | — | 345,013 | — | 345,013 | ||||
Arizona | — | 837,708 | — | 837,708 | ||||
California | — | 2,888,926 | — | 2,888,926 | ||||
Colorado | — | 1,062,603 | — | 1,062,603 | ||||
Connecticut | — | 2,052,665 | — | 2,052,665 | ||||
Delaware | — | 257,743 | — | 257,743 | ||||
District of Columbia | — | 1,049,577 | — | 1,049,577 | ||||
Florida | — | 4,472,982 | — | 4,472,982 | ||||
Georgia | — | 99,371 | — | 99,371 | ||||
Illinois | — | 3,089,965 | — | 3,089,965 |
157 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Indiana | $ — | $ 270,947 | $— | $ 270,947 | ||||
Iowa | — | 527,646 | — | 527,646 | ||||
Kansas | — | 387,655 | — | 387,655 | ||||
Kentucky | — | 1,381,199 | — | 1,381,199 | ||||
Louisiana | — | 763,232 | — | 763,232 | ||||
Maryland | — | 529,414 | — | 529,414 | ||||
Michigan | — | 2,382,414 | — | 2,382,414 | ||||
Minnesota | — | 524,397 | — | 524,397 | ||||
Mississippi | — | 264,191 | — | 264,191 | ||||
Nevada | — | 601,423 | — | 601,423 | ||||
New Jersey | — | 1,990,780 | — | 1,990,780 | ||||
New Mexico | — | 346,657 | — | 346,657 | ||||
New York | — | 2,815,733 | — | 2,815,733 | ||||
North Carolina | — | 263,708 | — | 263,708 | ||||
Ohio | — | 2,123,878 | — | 2,123,878 | ||||
Oregon | — | 205,666 | — | 205,666 | ||||
Pennsylvania | — | 6,932,314 | — | 6,932,314 | ||||
Rhode Island | — | 400,468 | — | 400,468 | ||||
South Carolina | — | 475,843 | — | 475,843 | ||||
Tennessee | — | 471,040 | — | 471,040 | ||||
Texas | — | 6,168,003 | — | 6,168,003 | ||||
Virginia | — | 463,065 | — | 463,065 | ||||
Washington | — | 1,257,917 | — | 1,257,917 | ||||
Wisconsin | — | 1,348,884 | — | 1,348,884 | ||||
Wyoming | — | 400,204 | — | 400,204 | ||||
Total Municipal Bonds | — | 49,453,231 | — | 49,453,231 | ||||
Repurchase Agreement | — | 2,343,871 | — | 2,343,871 | ||||
Investment of Security Lending Collateral | 514,238 | — | — | 514,238 | ||||
Registered Investment Companies | 499,377 | — | — | 499,377 | ||||
Total Investments | 1,013,615 | 52,260,645 | — | 53,274,260 | ||||
Total | $1,013,615 | $52,260,645 | $— | $53,274,260 |
158 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $2,159,713 | $(2,159,713) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $10,644,361 | $(10,644,361) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $6,097 | $(6,097) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $12,349 | $(12,349) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $170,416 | $(170,416) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $149,797 | $(149,797) | $— | $— | $— |
159 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $122,941 | $(122,941) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $4,031,090 | $(4,031,090) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $283,701 | $(283,701) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $1,130,279 | $(1,130,279) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $25,048,891 | $(25,048,891) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $116,109 | $(116,109) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $9,041,583 | $(9,041,583) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $1,705,199 | $(1,705,199) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $13,323,374 | $(13,323,374) | $— | $— | $— |
160 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $2,343,871 | $(2,343,871) | $— | $— | $— |
161 |
162 |
163 |
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 |
164 |
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 | |||||||
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 |
165 |
Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | |||
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 | — | |||
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 | 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 | $ 926,520,123 | $302,311,806 | $31,259,856 | $271,051,950 | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio | 1,985,056,757 | 558,648,686 | 91,572,522 | 467,076,164 | ||||
Quantitative U.S. Large Cap Value Equity Portfolio | 2,068,316 | 454,267 | 71,948 | 382,319 | ||||
Quantitative U.S. Small Cap Equity Portfolio | 1,310,701 | 264,369 | 101,560 | 162,809 | ||||
Quantitative International Equity Portfolio | 29,972,505 | 1,535,057 | 2,280,171 | (745,114) | ||||
Responsible ESG U.S. Equity Portfolio | 25,313,675 | 5,916,838 | 971,807 | 4,945,031 | ||||
Women in Leadership U.S. Equity Portfolio | 22,008,878 | 3,385,168 | 1,062,388 | 2,322,780 | ||||
Quantitative U.S. Long/Short Equity Portfolio | 4,788,614 | 19,957,093 | 2,081,934 | 17,875,159 | ||||
Quantitative U.S. Total Market Equity Portfolio | 38,456,329 | 15,279,558 | 2,755,390 | 12,524,168 | ||||
Strategic Equity Portfolio | 114,289,492 | 111,687,868 | 3,853,730 | 107,834,138 | ||||
Small Cap Equity Portfolio | 1,109,015,369 | 381,930,432 | 54,012,082 | 327,918,350 |
166 |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Equity Income Portfolio | $ 16,338,461 | $ 5,520,958 | $ 413,693 | $ 5,107,265 | ||||
Secured Options Portfolio | 454,968,514 | 14,035,591 | 124,168 | 13,911,423 | ||||
Global Secured Options Portfolio | 17,812,935 | — | 539,698 | (539,698) | ||||
Core Fixed Income Portfolio | 420,573,420 | 192,133 | 31,354,846 | (31,162,713) | ||||
Short Term Tax Aware Fixed Income Portfolio | 54,574,359 | 5,480 | 1,305,579 | (1,300,099) | ||||
High Yield Municipal Portfolio | 264,887,725 | 2,709,214 | 15,436,424 | (12,727,210) |
Equity Contracts Risk | Total | ||
Options Purchased1 | $1,140,612,200 | $1,140,612,200 | |
Total Value | $1,140,612,200 | $1,140,612,200 |
Equity Contracts Risk | Total | ||
Options Written2 | $(814,281,200) | $(814,281,200) | |
Total Value | $(814,281,200) | $(814,281,200) |
Equity Contracts Risk | Total | ||
Options Purchased3 | $ (691,139) | $ (691,139) | |
Options Written4 | 17,854,041 | 17,854,041 | |
Total Realized Gain (Loss) | $17,162,902 | $17,162,902 |
Equity Contracts Risk | Total | ||
Options Purchased5 | $(139,674,915) | $(139,674,915) | |
Options Written6 | 114,629,037 | 114,629,037 | |
Total Change in Appreciation (Depreciation) | $ (25,045,878) | $ (25,045,878) |
167 |
Equity Contracts Risk | Total | ||
Options Purchased7 | 6,660 | 6,660 | |
Options Written7 | (7,919) | (7,919) |
Equity Contracts Risk | Total | ||
Options Purchased1 | $34,469,050 | $34,469,050 | |
Total Value | $34,469,050 | $34,469,050 |
Equity Contracts Risk | Total | ||
Options Written2 | $(24,919,695) | $(24,919,695) | |
Total Value | $(24,919,695) | $(24,919,695) |
Equity Contracts Risk | Total | ||
Options Purchased3 | $ (27,291) | $ (27,291) | |
Options Written4 | 513,554 | 513,554 | |
Total Realized Gain (Loss) | $486,263 | $486,263 |
Equity Contracts Risk | Total | ||
Options Purchased5 | $(4,932,387) | $(4,932,387) | |
Options Written6 | 4,054,996 | 4,054,996 | |
Total Change in Appreciation (Depreciation) | $ (877,391) | $ (877,391) |
Equity Contracts Risk | Total | ||
Options Purchased7 | 138 | 138 | |
Options Written7 | 613 | 613 |
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 April 30, 2022. |
168 |
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%** |
169 |
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%* |
* Effective May 9, 2022, the shareholder servicing fee paid by the High Yield Municipal Portfolio to Glenmede Trust was reduced to 0.15%. |
170 |
Portfolio | Purchases | Sales | ||
Quantitative U.S. Large Cap Core Equity Portfolio | $ 427,474,611 | $547,724,367 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio | 1,370,074,148 | 901,954,901 | ||
Quantitative U.S. Large Cap Value Equity Portfolio | 887,080 | 857,252 | ||
Quantitative U.S. Small Cap Equity Portfolio | 700,579 | 688,780 | ||
Quantitative International Equity Portfolio | 15,373,909 | 24,414,797 | ||
Responsible ESG U.S. Equity Portfolio | 14,143,862 | 14,295,399 | ||
Women in Leadership U.S. Equity Portfolio | 12,667,676 | 13,980,033 | ||
Quantitative U.S. Long/Short Equity Portfolio | 18,477,092 | 26,618,802 | ||
Quantitative U.S. Total Market Equity Portfolio | 35,300,889 | 14,475,753 | ||
Strategic Equity Portfolio | 18,807,315 | 39,401,214 | ||
Small Cap Equity Portfolio | 228,137,762 | 218,860,907 | ||
Equity Income Portfolio | 2,805,562 | 2,378,313 | ||
Secured Options Portfolio | — | — | ||
Global Secured Options Portfolio | 5,195,123 | 2,738,304 | ||
Core Fixed Income Portfolio | 19,398,600 | 2,907,870 | ||
Short Term Tax Aware Fixed Income Portfolio | 14,008,084 | 15,597,939 | ||
High Yield Municipal Portfolio | 44,508,652 | 39,196,740 |
Portfolio | Purchases | Sales | ||
Core Fixed Income Portfolio | $27,454,600 | $58,994,254 | ||
High Yield Municipal Portfolio | — | 1,358 |
Period Ended 04/30/22 | Year Ended 10/31/21 | ||||||
Shares | Amount | Shares | Amount | ||||
Quantitative U.S. Large Cap Core Equity Portfolio — Advisor | |||||||
Sold | 1,663,547 | $ 49,542,810 | 2,100,409 | $ 64,054,495 | |||
Issued as reinvestment of dividends | 4,780,842 | 138,820,164 | 3,270,039 | 87,263,628 | |||
Redeemed | (4,495,016) | (134,779,089) | (9,947,894) | (293,104,464) | |||
Net Increase (Decrease) | 1,949,373 | $ 53,583,885 | (4,577,446) | $(141,786,341) | |||
Quantitative U.S. Large Cap Core Equity Portfolio — Institutional | |||||||
Sold | 745,376 | $ 21,492,839 | 847,885 | $ 25,801,902 | |||
Issued as reinvestment of dividends | 616,972 | 17,912,203 | 423,886 | 11,394,364 | |||
Redeemed | (1,860,431) | (55,507,839) | (3,188,086) | (91,251,178) | |||
Net Decrease | (498,083) | $ (16,102,797) | (1,916,315) | $ (54,054,912) |
171 |
Period Ended 04/30/22 | Year Ended 10/31/21 | ||||||
Shares | Amount | Shares | Amount | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio — Advisor | |||||||
Sold | 2,796,323 | $ 94,454,126 | 2,352,574 | $ 82,095,688 | |||
Issued as reinvestment of dividends | 8,375,173 | 283,284,700 | 6,987,144 | 219,467,955 | |||
Redeemed | (6,679,710) | (223,920,587) | (18,072,030) | (626,816,029) | |||
Net Increase (Decrease) | 4,491,786 | $ 153,818,239 | (8,732,312) | $(325,252,386) | |||
Quantitative U.S. Large Cap Growth Equity Portfolio — Institutional | |||||||
Sold | 22,746,250 | $ 749,226,625 | 8,458,065 | $ 297,765,281 | |||
Issued as reinvestment of dividends | 2,813,834 | 95,109,355 | 2,266,759 | 71,268,792 | |||
Redeemed | (3,818,604) | (128,202,727) | (13,400,857) | (459,639,749) | |||
Net Increase (Decrease) | 21,741,480 | $ 716,133,253 | (2,676,033) | $ (90,605,676) | |||
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||
Sold | 927 | $ 12,500 | 24,366 | $ 295,000 | |||
Issued as reinvestment of dividends | 961 | 12,716 | 1,743 | 20,983 | |||
Redeemed | (121) | (1,597) | (11,343) | (140,895) | |||
Net Increase | 1,767 | $ 23,619 | 14,766 | $ 175,088 | |||
Quantitative U.S. Small Cap Equity Portfolio | |||||||
Sold | 920 | $ 12,500 | — | $ — | |||
Issued as reinvestment of dividends | 10,751 | 144,714 | 551 | 7,588 | |||
Net Increase | 11,671 | $ 157,214 | 551 | $ 7,588 | |||
Quantitative International Equity Portfolio | |||||||
Sold | 98,980 | $ 1,461,384 | 33,779 | $ 479,232 | |||
Issued as reinvestment of dividends | 10,508 | 154,816 | 14,942 | 228,413 | |||
Redeemed | (690,470) | (10,526,067) | (1,830,283) | (27,204,703) | |||
Net Decrease | (580,982) | $ (8,909,867) | (1,781,562) | $ (26,497,058) | |||
Responsible ESG U.S. Equity Portfolio | |||||||
Sold | 82,581 | $ 1,565,866 | 201,565 | $ 3,768,049 | |||
Issued as reinvestment of dividends | 154,189 | 2,854,445 | 6,883 | 129,297 | |||
Redeemed | (102,843) | (1,902,875) | (187,944) | (3,527,964) | |||
Net Increase | 133,927 | $ 2,517,436 | 20,504 | $ 369,382 | |||
Women in Leadership U.S. Equity Portfolio | |||||||
Sold | 114,645 | $ 1,864,169 | 183,350 | $ 3,215,887 | |||
Issued as reinvestment of dividends | 288,832 | 4,539,442 | 8,413 | 152,570 | |||
Redeemed | (189,879) | (3,258,208) | (348,442) | (6,309,127) | |||
Net Increase (Decrease) | 213,598 | $ 3,145,403 | (156,679) | $ (2,940,670) | |||
Quantitative U.S. Long/Short Equity Portfolio — Advisor | |||||||
Sold | 190,316 | $ 2,550,766 | 231,228 | $ 2,833,951 | |||
Redeemed | (876,827) | (11,947,461) | (4,649,072) | (56,802,686) | |||
Net Decrease | (686,511) | $ (9,396,695) | (4,417,844) | $ (53,968,735) | |||
Quantitative U.S. Long/Short Equity Portfolio — Institutional | |||||||
Sold | 19,537 | $ 262,651 | 547,595 | $ 7,105,284 | |||
Redeemed | (37,305) | (508,798) | (16,557) | (209,973) | |||
Net Increase (Decrease) | (17,768) | $ (246,147) | 531,038 | $ 6,895,311 | |||
Quantitative U.S. Total Market Equity Portfolio | |||||||
Sold | 1,083,606 | $ 21,619,510 | 153,035 | $ 3,138,822 | |||
Issued as reinvestment of dividends | 282,557 | 5,481,440 | 197,089 | 3,302,532 | |||
Redeemed | (220,632) | (4,417,692) | (634,270) | (12,315,378) | |||
Net Increase (Decrease) | 1,145,531 | $ 22,683,258 | (284,146) | $ (5,874,024) |
172 |
Period Ended 04/30/22 | Year Ended 10/31/21 | ||||||
Shares | Amount | Shares | Amount | ||||
Strategic Equity Portfolio | |||||||
Sold | 45,285 | $ 1,441,225 | 225,690 | $ 7,026,380 | |||
Issued as reinvestment of dividends | 761,960 | 24,481,242 | 426,978 | 12,255,189 | |||
Redeemed | (642,983) | (20,465,256) | (1,402,544) | (44,266,719) | |||
Net Increase (Decrease) | 164,262 | $ 5,457,211 | (749,876) | $ (24,985,150) | |||
Small Cap Equity Portfolio — Advisor | |||||||
Sold | 747,691 | $ 27,089,093 | 1,266,694 | $ 41,682,328 | |||
Issued as reinvestment of dividends | 591,798 | 20,908,880 | 13,013 | 405,614 | |||
Redeemed | (1,063,510) | (38,642,868) | (4,330,396) | (141,283,194) | |||
Net Increase (Decrease) | 275,979 | $ 9,355,105 | (3,050,689) | $ (99,195,252) | |||
Small Cap Equity Portfolio — Institutional | |||||||
Sold | 5,412,859 | $ 211,310,027 | 9,212,748 | $ 324,077,025 | |||
Issued as reinvestment of dividends | 405,166 | 15,211,837 | 23,933 | 815,748 | |||
Redeemed | (4,118,102) | (158,608,141) | (19,176,316) | (649,099,448) | |||
Net Increase (Decrease) | 1,699,923 | $ 67,913,723 | (9,939,635) | $(324,206,675) | |||
Equity Income Portfolio | |||||||
Sold | 59,938 | $ 936,339 | 21,941 | $ 331,439 | |||
Issued as reinvestment of dividends | 65,663 | 1,015,666 | 1,676 | 24,654 | |||
Redeemed | (34,552) | (524,579) | (185,054) | (2,610,970) | |||
Net Increase (Decrease) | 91,049 | $ 1,427,426 | (161,437) | $ (2,254,877) | |||
Secured Options Portfolio — Advisor | |||||||
Sold | 934,940 | $ 12,500,914 | 940,671 | $ 12,846,984 | |||
Issued as reinvestment of dividends | 808,851 | 10,595,950 | — | — | |||
Redeemed | (1,162,058) | (15,564,085) | (3,064,095) | (41,110,090) | |||
Net Increase (Decrease) | 581,733 | $ 7,532,779 | (2,123,424) | $ (28,263,106) | |||
Secured Options Portfolio — Institutional | |||||||
Sold | 9,644,104 | $ 128,702,138 | 3,429,440 | $ 47,712,901 | |||
Issued as reinvestment of dividends | 2,730,613 | 36,207,927 | — | — | |||
Redeemed | (4,429,592) | (60,280,578) | (10,798,791) | (141,746,581) | |||
Net Increase (Decrease) | 7,945,125 | $ 104,629,487 | (7,369,351) | $ (94,033,680) | |||
Global Secured Options Portfolio | |||||||
Sold | 2,321,441 | $ 11,403,186 | 1,130,339 | $ 5,984,091 | |||
Issued as reinvestment of dividends | 48,018 | 232,886 | 12,132 | 60,299 | |||
Redeemed | (1,529,167) | (7,521,727) | (98,041) | (519,619) | |||
Net Increase | 840,292 | $ 4,114,345 | 1,044,430 | $ 5,524,771 | |||
Core Fixed Income Portfolio | |||||||
Sold | 2,931,267 | $ 31,228,392 | 5,261,656 | $ 59,459,214 | |||
Issued as reinvestment of dividends | 49,941 | 543,331 | 657,354 | 7,548,663 | |||
Redeemed | (3,807,955) | (40,560,014) | (5,004,064) | (56,515,607) | |||
Net Increase (Decrease) | (826,747) | $ (8,788,291) | 914,946 | $ 10,492,270 | |||
Short Term Tax Aware Fixed Income Portfolio | |||||||
Sold | 970,072 | $ 9,673,041 | 2,093,822 | $ 21,242,499 | |||
Issued as reinvestment of dividends | 2,144 | 21,375 | 5,604 | 56,862 | |||
Redeemed | (1,254,251) | (12,464,863) | (1,792,496) | (18,191,928) | |||
Net Increase (Decrease) | (282,035) | $ (2,770,447) | 306,930 | $ 3,107,433 | |||
High Yield Municipal Portfolio | |||||||
Sold | 2,213,477 | $ 23,612,795 | 6,406,515 | $ 70,820,808 | |||
Issued as reinvestment of dividends | 193,438 | 2,139,756 | 12,156 | 133,646 | |||
Redeemed | (2,130,410) | (22,644,862) | (2,811,061) | (31,252,003) | |||
Net Increase | 276,505 | $ 3,107,689 | 3,607,610 | $ 39,702,451 |
173 |
5% or Greater Shareholders | ||||
Portfolio | # of Shareholders | % of Shares Held | ||
Quantitative U.S Large Cap Core Equity Portfolio (Advisor Class) | 1 | 41% | ||
Quantitative U.S. Large Cap Core Equity Portfolio (Institutional Class) | 1 | 100% | ||
Quantitative U.S. Large Cap Growth Equity Portfolio (Advisor Class) | 1 | 85% | ||
Quantitative U.S. Large Cap Growth Equity Portfolio (Institutional Class) | 1 | 100% | ||
Quantitative U.S. Large Cap Value Equity Portfolio | 4 | 97% | ||
Quantitative U.S. Small Cap Equity Portfolio | 1 | 98% | ||
Responsible ESG U.S. Equity Portfolio | 3 | 22% | ||
Women in Leadership U.S. Equity Portfolio | 6 | 50% | ||
Quantitative International Equity Portfolio | 2 | 21% | ||
Quantitative U.S. Long/Short Equity Portfolio (Advisor Class) | 1 | 12% | ||
Quantitative U.S. Long/Short Equity Portfolio (Institutional Class) | 1 | 100% | ||
Quantitative U.S. Total Market Equity Portfolio | 1 | 75% | ||
Strategic Equity Portfolio | 1 | 6% | ||
Small Cap Equity Portfolio (Advisor Class) | 1 | 63% | ||
Small Cap Equity Portfolio (Institutional Class) | 1 | 100% | ||
Equity Income Portfolio | 3 | 22% | ||
Secured Options Portfolio (Advisor Class) | 1 | 69% | ||
Secured Options Portfolio (Institutional Class) | 1 | 100% | ||
Global Secured Options Portfolio | 2 | 100% | ||
Short Term Tax Aware Fixed Income Portfolio | 1 | 12% |
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 Growth Equity Portfolio | $39,624,222 | $ 199,586 | $41,894,947 | 1.62 | ||||
Quantitative U.S. Small Cap Equity Portfolio | 35,864 | 24,335 | 13,903 | 2.43 | ||||
Quantitative International Equity Portfolio | 1,372,089 | 733,234 | 687,626 | 4.57 | ||||
Responsible ESG U.S. Equity Portfolio | 944,089 | 1,002,883 | — | 3.11 | ||||
Women in Leadership U.S. Equity Portfolio | 194,286 | 208,553 | — | 0.79 | ||||
Quantitative U.S. Long/Short Equity Portfolio | 1,104,544 | 1,184,340 | — | 1.19 | ||||
Quantitative U.S. Total Market Equity Portfolio | 1,077,486 | 843,134 | 307,104 | 1.70 | ||||
Small Cap Equity Portfolio | 17,528,481 | 15,421,638 | 2,676,675 | 1.22 | ||||
Core Fixed Income Portfolio | 15,344,271 | 15,719,408 | — | 3.92 | ||||
Short Term Tax Aware Fixed Income Portfolio | 499,377 | 514,238 | — | 0.93 |
174 |
Amount Outstanding at April 30, 2022 | Average Borrowings* | Days Outstanding* | Average Rate | Maximum Borrowings* | |||||
Quantitative U.S. Large Cap Core Equity Portfolio | $— | $ 4,550,000 | 10 | 1.45% | $11,500,000 | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 29,500,000 | 5 | 1.44 | 71,000,000 | ||||
Quantitative International Equity Portfolio | — | 839,286 | 28 | 1.50 | 1,500,000 | ||||
Women in Leadership U.S. Equity Portfolio | — | 1,000,000 | 1 | 1.44 | 1,000,000 | ||||
Quantitative U.S. Long/Short Equity Portfolio | — | 1,900,000 | 5 | 1.44 | 2,000,000 | ||||
Strategic Equity Portfolio | — | 1,166,667 | 6 | 1.44 | 1,500,000 | ||||
Small Cap Equity Portfolio | — | 6,000,000 | 2 | 1.44 | 9,500,000 | ||||
Global Secured Options Portfolio | — | 3,000,000 | 2 | 1.69 | 4,000,000 | ||||
High Yield Municipal Portfolio | — | 500,000 | 3 | 1.44 | 500,000 |
175 |
176 |
Muni Intermediate Portfolio | |
Assets: | |
Investments at value1 | $ 285,348,041 |
Cash | 10,110,596 |
Receivable for securities sold | 5,630,143 |
Receivable for fund shares sold | 640,000 |
Interest receivable | 3,844,673 |
Prepaid expenses | 9,942 |
Total assets | 305,583,395 |
Liabilities: | |
Payable for securities purchased | 4,961,535 |
Payable for when-issued securities purchased | 9,412,777 |
Payable for fund shares redeemed | 444,962 |
Payable for Trustees’ fees | 9,748 |
Payable for Shareholder Servicing fees | 36,244 |
Accrued expenses | 47,669 |
Total liabilities | 14,912,935 |
Net Assets | $290,670,460 |
Net Assets consist of: | |
Par value ($0.001 of shares outstanding) | $ 28,066 |
Paid-in capital in excess of par value | 305,889,880 |
Total distributable earnings | (15,247,486) |
Total Net Assets | $290,670,460 |
Shares Outstanding | 28,065,805 |
Net Asset Value Per Share | $ 10.36 |
1 Investments at cost | $297,980,944 |
177 |
Muni Intermediate Portfolio | |
Investment income: | |
Interest | $ 2,511,691 |
Total investment income | 2,511,691 |
Expenses: | |
Administration, transfer agent and custody fees | 71,476 |
Professional fees | 28,668 |
Shareholder report expenses | 6,615 |
Shareholder servicing fees | 237,721 |
Trustees’ fees and expenses | 18,913 |
Registration and filing fees | 6,969 |
Other expenses | 20,640 |
Total expenses | 391,002 |
Net investment income | 2,120,689 |
Realized and unrealized loss: | |
Net realized loss on: | |
Investment transactions | (2,967,927) |
Net change in unrealized loss of: | |
Investments | (19,120,122) |
Net realized and unrealized loss | (22,088,049) |
Net decrease in net assets resulting from operations | $(19,967,360) |
178 |
Muni Intermediate Portfolio | |
Increase (decrease) in net assets | |
Operations: | |
Net investment income | $ 2,120,689 |
Net realized loss on: | |
Investment transactions | (2,967,927) |
Net change in unrealized loss of: | |
Investments | (19,120,122) |
Net increase (decrease) in net assets resulting from operations | (19,967,360) |
Distributions from earnings | (4,189,043) |
Net increase (decrease) in net assets from capital share transactions (See note 4) | (21,237,053) |
Net increase (decrease) in net assets | (45,393,456) |
NET ASSETS: | |
Beginning of period | 336,063,916 |
End of period | $290,670,460 |
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 |
179 |
Muni Intermediate Portfolio | |||||||||||
For the Period Ended April 30, 20221,2 | For The Year Ended October 31, | ||||||||||
2021 2 | 2020 2 | 2019 2 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 11.19 | $ 11.41 | $ 11.25 | $ 10.73 | $ 11.01 | $ 11.08 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.07 | 0.16 | 0.20 | 0.22 | 0.20 | 0.19 | |||||
Net realized and unrealized gain (loss) on investments | (0.75) | (0.09) | 0.21 | 0.52 | (0.28) | (0.04) | |||||
Total from investment operations | (0.68) | 0.07 | 0.41 | 0.74 | (0.08) | 0.15 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.08) | (0.17) | (0.21) | (0.22) | (0.20) | (0.18) | |||||
Net realized capital gains | (0.07) | (0.12) | (0.04) | — | — | (0.04) | |||||
Total distributions | (0.15) | (0.29) | (0.25) | (0.22) | (0.20) | (0.22) | |||||
Net asset value, end of period | $ 10.36 | $ 11.19 | $ 11.41 | $ 11.25 | $ 10.73 | $ 11.01 | |||||
Total return | (6.21)% 3 | 0.60% | 3.64% | 6.90% | (0.73)% | 1.38% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $290,670 | $336,064 | $321,939 | $311,319 | $289,401 | $303,982 | |||||
Ratio of operating expenses to average net assets | 0.25% 4 | 0.24% | 0.25% | 0.24% | 0.23% | 0.23% | |||||
Ratio of net investment income to average net assets | 1.34% 4 | 1.45% | 1.80% | 1.94% | 1.86% | 1.70% | |||||
Portfolio turnover rate | 20% 3 | 31% | 35% | 34% | 31% | 19% |
1 | Unaudited. |
2 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
3 | Not annualized. |
4 | Annualized. |
180 |
Face Amount | Value | ||
MUNICIPAL BONDS* — 98.2% | |||
Alabama — 0.9% | |||
$1,500,000 | Black Belt Energy Gas District, AL, Revenue Bonds, Project No.4, Series A, 4.000% due 12/1/491 | $ 1,521,583 | |
1,000,000 | Southeast Energy Authority A Cooperative District, AL, Revenue Bonds, Project No.1, Series A, 4.000% due 11/1/511 | 1,015,650 | |
2,537,233 | |||
Arizona — 0.7% | |||
2,015,000 | Yuma, AZ, Municipal Property Corp., Road & Excise Tax, Revenue Bonds, Refunding, 5.000% due 7/1/26 | 2,162,309 | |
California — 8.6% | |||
1,000,000 | Bay Area Toll Authority, CA, Revenue Bonds, Series D, (SIFMA MUNI SWAP INDEX+0.3%), 0.740% due 4/1/562 | 975,673 | |
1,500,000 | California State, Department of Water Resources, Revenue Bonds, Refunding, Series AX, 5.000% due 12/1/31 | 1,671,477 | |
2,000,000 | California State, General Obligation Unlimited, Refunding, 4.000% due 9/1/31 | 2,092,518 | |
1,420,000 | California State, General Obligation Unlimited, Refunding, (AGMC Insured), 5.250% due 8/1/32 | 1,682,518 | |
1,750,000 | City and County of San Francisco, CA, General Obligation Unlimited, Refunding, Series R, 5.000% due 6/15/283 | 1,985,256 | |
1,500,000 | City of Los Angeles, CA, Department of Airports, Revenue Bonds, Refunding, 5.000% due 5/15/31 | 1,724,688 | |
1,675,000 | City of Los Angeles, CA, Department of Airports, Revenue Bonds, Refunding, Series B, 5.000% due 5/15/27 | 1,849,425 | |
1,560,000 | City of Los Angeles, CA, Department of Water and Power System, Revenue Bonds, Refunding, Series B, 5.000% due 7/1/28 | 1,763,690 | |
2,820,000 | Los Angeles County, CA, Metropolitan Transportation Authority, Sales Tax Revenue, Revenue Bonds, Refunding, Series A, 4.000% due 7/1/31 | 2,888,575 | |
1,000,000 | Los Angeles County, CA, Public Works Financing Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/32 | 1,146,777 | |
1,510,000 | Metropolitan Water District of Southern California, General Obligation Unlimited, Refunding, Series A, 5.000% due 3/1/33 | 1,735,079 | |
1,835,000 | San Diego, CA, Unified School District, General Obligation Unlimited, Refunding, Series R, 5.000% due 7/1/29 | 2,003,011 | |
1,500,000 | Santa Ana, CA, Unified School District, General Obligation Unlimited, Refunding, 5.000% due 8/1/30 | 1,687,961 | |
1,500,000 | The Regents of The University of California Medical Centre Pooled, Revenue Bonds, Series 2022 P, 5.000% due 5/15/343 | 1,712,072 | |
24,918,720 | |||
Colorado — 1.1% | |||
1,640,000 | Colorado State, Housing and Finance Authority, Revenue Bonds, Series B, 3.750% due 5/1/50 | 1,659,986 | |
1,425,000 | E-470 Public Highway Authority, CO, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/28 | 1,588,572 | |
3,248,558 | |||
Connecticut — 1.8% | |||
2,000,000 | Connecticut State, General Obligation Unlimited, Series C, 4.000% due 6/1/28 | 2,128,474 | |
1,640,000 | Connecticut State, Housing Finance Authority, Housing Finance Mortgage Program, Revenue Bonds, Refunding, Series F-1, 3.500% due 11/15/43 | 1,647,962 | |
1,250,000 | Connecticut State, Special Tax Obligation Bonds, Revenue Bonds, Series A, 5.000% due 5/1/32 | 1,412,852 | |
5,189,288 |
181 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Delaware — 1.5% | |||
$1,000,000 | Delaware River and Bay Authority, DE, Consisting, Revenue Bonds, Refunding, Series C, 5.000% due 1/1/27 | $ 1,041,334 | |
535,000 | Delaware River and Bay Authority, DE, Revenue Bonds, Refunding, 5.000% due 1/1/313 | 604,682 | |
2,640,000 | Delaware State, General Obligation Unlimited, Series B, 5.000% due 7/1/24 | 2,791,184 | |
4,437,200 | |||
District Of Columbia — 3.0% | |||
1,550,000 | District of Columbia, General Obligation Unlimited, Series A, 5.000% due 6/1/32 | 1,649,742 | |
2,700,000 | District of Columbia, General Obligation Unlimited, Series D, 5.000% due 6/1/25 | 2,900,174 | |
1,320,000 | District of Columbia, Water and Sewer Authority, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/31 | 1,427,990 | |
Metropolitan Washington, DC, Airports Authority System, Revenue Bonds, Refunding, Series B: | |||
1,000,000 | 5.000% due 10/1/23 | 1,036,609 | |
1,570,000 | 5.000% due 10/1/28 | 1,764,633 | |
8,779,148 | |||
Florida — 10.2% | |||
1,500,000 | Brevard County School District, FL, Certificate Participation, Refunding, Series B, 5.000% due 7/1/29 | 1,574,863 | |
1,000,000 | Central Florida, Expressway Authority, Revenue Bonds, (AGMC Insured), 5.000% due 7/1/30 | 1,145,816 | |
2,820,000 | Central Florida, Expressway Authority, Revenue Bonds, Refunding, Series B, 5.000% due 7/1/28 | 3,074,711 | |
2,750,000 | City of Lakeland, FL, Department of Electric Utilities, Revenue Bonds, Refunding, 5.000% due 10/1/25 | 2,980,299 | |
2,610,000 | County of Miami-Dade, FL, Water and Sewer System Revenue, Revenue Bonds, Refunding, Series B, 4.000% due 10/1/35 | 2,697,219 | |
2,880,000 | County of Miami-Dade, FL, Water and Sewer System Revenue, Revenue Bonds, Series B, Prerefunded 10/01/23 @100, 5.250% due 10/1/29 | 3,003,965 | |
Florida State, Municipal Power Agency, Revenue Bonds, Refunding, Series A: | |||
2,500,000 | 5.000% due 10/1/27 | 2,770,388 | |
1,340,000 | 5.000% due 10/1/28 | 1,467,690 | |
1,130,000 | JEA Electric System Revenue, FL, Revenue Bonds, Series A, Prerefunded 10/01/23 @100, 5.000% due 10/1/27 | 1,173,931 | |
3,000,000 | Lee County, FL, School Board, Certificate Participation, Series A, 5.000% due 8/1/28 | 3,379,228 | |
2,025,000 | Orlando - Orange County, FL, Expressway Authority, Revenue Bonds, Prerefunded 7/01/22 @100, 5.000% due 7/1/23 | 2,037,071 | |
1,000,000 | Orlando, FL, Utilities Commission, Revenue Bonds, Series B, 1.250% due 10/1/461 | 858,306 | |
2,000,000 | Pasco County, FL, School Board, Certificate Participation, Series C, (AGMC Insured), 5.000% due 8/1/33 | 2,285,278 | |
1,025,000 | School District of Broward County, FL, Certificate Participation, Refunding, Series A, 5.000% due 7/1/27 | 1,111,691 | |
29,560,456 | |||
Georgia — 0.5% | |||
1,250,000 | City of Atlanta, GA, Department of Aviation, Revenue Bonds, Series A, 5.000% due 7/1/28 | 1,395,160 | |
Illinois — 4.9% | |||
2,000,000 | Chicago, IL, O’Hare International Airport, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/32 | 2,092,369 |
182 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
County of Cook, IL, General Obligation Unlimited, Refunding, Series A: | |||
$1,000,000 | 5.000% due 11/15/25 | $ 1,073,804 | |
1,360,000 | 5.000% due 11/15/26 | 1,481,058 | |
1,000,000 | Illinois State, Municipal Electric Agency, Revenue Bonds, Series A, 4.000% due 2/1/33 | 1,014,571 | |
3,500,000 | Illinois State, Toll Highway Authority, Revenue Bonds, Refunding, 5.000% due 1/1/28 | 3,896,508 | |
2,000,000 | McHenry County, IL, Conservation District, General Obligation Unlimited, Refunding, 5.000% due 2/1/25 | 2,130,609 | |
2,250,000 | Metropolitan, Greater Chicago, IL, Water Reclamation District, General Obligation Limited, Refunding, Series C, 5.000% due 12/1/29 | 2,557,496 | |
14,246,415 | |||
Indiana — 0.4% | |||
1,025,000 | Indiana State, Municipal Power Agency, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 1,088,236 | |
Iowa — 0.9% | |||
2,500,000 | PEFA Inc, IA, Gas Project, Revenue Bonds, 5.000% due 9/1/491 | 2,638,229 | |
Kansas — 1.5% | |||
1,190,000 | Kansas State, Department of Transportation, Revenue Bonds, Series C, 5.000% due 9/1/23 | 1,201,678 | |
Wyandotte County-Kansas City, KS, Unified Government, General Obligation Unlimited, Series A, (AGMC Insured): | |||
1,000,000 | 4.000% due 8/1/24 | 1,033,746 | |
2,120,000 | 4.000% due 8/1/25 | 2,213,766 | |
4,449,190 | |||
Kentucky — 1.8% | |||
2,315,000 | Jefferson County, KY, School District Finance Corp. School Building, Revenue Bonds, Series A, 4.000% due 6/1/29 | 2,463,363 | |
1,000,000 | Kentucky State, Property & Building Commission, Revenue Bonds, Project No. 119, (BAM Insured), 5.000% due 5/1/33 | 1,100,583 | |
1,500,000 | Kentucky State, Property & Building Commission, Revenue Bonds, Project No. 124, Series A, (AGMC Insured), 5.000% due 11/1/27 | 1,672,111 | |
5,236,057 | |||
Maryland — 2.3% | |||
1,000,000 | Maryland Health & Higher Educational Facilities Authority, Revenue Bonds, Series B, 5.000% due 4/15/32 | 1,117,783 | |
2,000,000 | Maryland State, General Obligation Unlimited, Series A, 5.000% due 3/15/30 | 2,250,460 | |
2,000,000 | Maryland State, General Obligation Unlimited, Series B, 5.000% due 8/1/24 | 2,117,655 | |
1,240,000 | Montgomery County, MD, General Obligation Unlimited, Consolidated Public Improvement, Refunding, Series D, 4.000% due 11/1/28 | 1,324,864 | |
6,810,762 | |||
Massachusetts — 1.4% | |||
2,850,000 | Commonwealth of Massachusetts, General Obligation Limited, Series C, 5.000% due 5/1/30 | 2,918,526 | |
1,100,000 | Commonwealth of Massachusetts, General Obligation Limited, Series E, 5.000% due 9/1/32 | 1,232,305 | |
4,150,831 |
183 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Michigan — 4.6% | |||
$1,045,000 | Brighton Area School Districtmi, MI, General Obligation Unlimited, Refunding, Series A, (QSBLF Insured), 5.000% due 5/1/28 | $ 1,177,998 | |
1,015,000 | Byron Center, MI, Public Schools, General Obligation Unlimited, Refunding, (QSBLF Insured), 5.000% due 5/1/24 | 1,066,986 | |
4,000,000 | Detroit, MI, City School District, General Obligation Unlimited, Refunding, Series A, (QSBLF Insured), 5.000% due 5/1/26 | 4,000,000 | |
2,275,000 | Michigan State, Finance Authority Revenue, Revenue Bonds, Refunding, 5.500% due 12/1/26 | 2,450,526 | |
1,500,000 | Michigan State, Finance Authority, Hospital Revenue Refunding Bonds, Series 2022 A, 5.000% due 4/15/283 | 1,664,824 | |
1,000,000 | Michigan State, Finance Authority, Revenue Bonds, Series 2019B, 3.500% due 11/15/441 | 1,009,029 | |
1,880,000 | Michigan State, Housing Development Authority, Revenue Bonds, AMT, Series B, 3.500% due 6/1/47 | 1,890,930 | |
13,260,293 | |||
Minnesota — 0.8% | |||
2,260,000 | Minnesota State, Housing Finance Agency, Revenue Bonds, Refunding, Series E, (GNMA / FNMA / FHLMC Insured), 4.000% due 1/1/47 | 2,298,765 | |
Missouri — 1.5% | |||
2,000,000 | City of Kansas, MO, Sanitary Sewer System, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 2,127,105 | |
2,105,000 | Missouri State Housing Development Commission Single Family Mortgage, Revenue Bonds, Series A, (GNMA / FNMA / FHLMC Insured), 3.500% due 11/1/50 | 2,115,317 | |
4,242,422 | |||
Nevada — 2.2% | |||
2,000,000 | Clark County, NV, General Obligation Limited, Refunding, Series A, 5.000% due 11/1/29 | 2,172,996 | |
1,000,000 | Clark County, NV, School District, General Obligation Limited, Building and Refunding Bonds, Series A, 5.000% due 6/15/26 | 1,087,068 | |
1,000,000 | Clark County, NV, School District, General Obligation Limited, Building and Refunding Bonds, Series C, 5.000% due 6/15/26 | 1,087,068 | |
2,000,000 | Las Vegas Valley Water District, NV, General Obligation Limited, Refunding, Series C, 4.000% due 6/1/33 | 2,155,187 | |
15,000 | State of Nevada, General Obligation Limited, Refunding, Series H1, 5.000% due 6/1/24 | 15,446 | |
6,517,765 | |||
New Jersey — 1.7% | |||
2,000,000 | New Jersey Economic Development Authority, Revenue Bonds, Series-AAA, 5.500% due 6/15/31 | 2,257,890 | |
1,375,000 | New Jersey Turnpike Authority, Revenue Bonds, Series A, 5.000% due 1/1/27 | 1,510,853 | |
1,000,000 | New Jersey Turnpike Authority, Revenue Bonds, Series E, 5.000% due 1/1/32 | 1,053,510 | |
4,822,253 | |||
New Mexico — 0.7% | |||
1,010,000 | New Mexico State, Mortgage Finance Authority, Revenue Bonds, Series A, (GNMA / FNMA / FHLMC Insured), 3.500% due 1/1/51 | 1,014,934 |
184 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New Mexico — (Continued) | |||
$ 905,000 | New Mexico State, Mortgage Finance Authority, Revenue Bonds, Series F, (GNMA / FNMA / FHLMC Insured), 3.500% due 7/1/50 | $ 909,411 | |
1,924,345 | |||
New York — 7.4% | |||
1,000,000 | Metropolitan Transportation Aurthority, NY, Revenue Bonds, (AGMC Insured), (SOFR*0.67+0.55%), 0.738% due 11/1/322 | 999,256 | |
1,250,000 | New York City, NY, General Obligation Unlimited, Fiscal 2008 Series J, 5.000% due 8/1/28 | 1,400,401 | |
1,865,000 | New York City, NY, General Obligation Unlimited, REMK Series L, 5.000% due 4/1/33 | 2,121,401 | |
1,000,000 | New York City, NY, General Obligation Unlimited, Series C, 5.000% due 8/1/23 | 1,035,608 | |
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 | 1,079,967 | |
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 | 1,567,428 | |
1,650,000 | New York City, NY, Transitional Finance Authority, Future Tax Secured Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 11/1/26 | 1,815,602 | |
2,275,000 | New York City, NY, Transitional Finance Authority, Future Tax Secured Revenue, Revenue Bonds, Subseries E-1, 5.000% due 2/1/30 | 2,454,137 | |
2,440,000 | New York State, Dormitory Authority, Personal Income Tax, Revenue Bonds, Refunding, Series E, 4.000% due 3/15/28 | 2,538,596 | |
New York State, Thruway Authority, Highway Revenue Tolls, Revenue Bonds, Refunding, Series K: | |||
1,000,000 | 5.000% due 1/1/31 | 1,054,035 | |
1,200,000 | 5.000% due 1/1/32 | 1,264,527 | |
1,700,000 | Port Authority of New York and New Jersey, Revenue Bonds, Refunding, 5.000% due 11/15/33 | 1,864,884 | |
Triborough Bridge and Tunnel Authority, NY, Revenue Bonds, Series C: | |||
1,070,000 | 4.000% due 11/15/27 | 1,141,616 | |
1,000,000 | 5.000% due 11/15/29 | 1,102,158 | |
21,439,616 | |||
North Carolina — 0.6% | |||
1,220,000 | Duplin County, NC, Limited Obligation, Revenue Bonds, 5.000% due 4/1/23 | 1,250,750 | |
600,000 | New Hanover County, NC, Hospital Revenue, Revenue Bonds, Refunding, Escrowed to Maurity, 5.000% due 10/1/23 | 622,901 | |
1,873,651 | |||
Ohio — 5.5% | |||
1,180,000 | City of Akron, OH, Income Tax Revenue, Revenue Bonds, 4.000% due 12/1/27 | 1,253,053 | |
500,000 | Miami, OH, University of Ohio, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/303 | 574,325 | |
3,250,000 | Ohio State, General Obligation Unlimited, Series A, 5.000% due 6/15/28 | 3,329,180 | |
1,010,000 | Ohio State, Hospital Refunding Revenue Bonds, Cleveland Clinic Health System, Refunding, Series A, 5.000% due 1/1/27 | 1,111,650 | |
1,000,000 | Ohio State, Hospital Refunding, Revenue Bonds, 5.000% due 1/1/28 | 1,115,505 | |
1,670,000 | Ohio State, Hospital Revenue Bonds, Series A, 5.000% due 1/15/24 | 1,700,065 |
185 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Ohio — (Continued) | |||
$1,910,000 | Ohio State, Housing Finance Agency Residential Mortgage, Revenue Bonds, Series D, (GNMA / FNMA / FHLMC Insured), 4.000% due 3/1/48 | $ 1,941,637 | |
1,000,000 | Ohio State, Mental Health Facilities, Revenue Bonds, 5.000% due 6/1/26 | 1,094,477 | |
1,265,000 | Ohio State, The University, Revenue Bonds, 5.000% due 12/1/25 | 1,371,962 | |
2,245,000 | Ohio State, Water Development Authority Water Pollution Control Loan Fund, Revenue Bonds, Series A, 5.000% due 6/1/30 | 2,490,391 | |
15,982,245 | |||
Oklahoma — 0.7% | |||
2,000,000 | Grand River, OK, Dam Authority, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/24 | 2,105,489 | |
Oregon — 1.5% | |||
2,975,000 | City of Portland, OR, Sewer System Revenue, Revenue Bonds, Series A, 4.500% due 5/1/30 | 3,178,692 | |
1,000,000 | Oregon State, General Obligation Unlimited, Article XI-Q State Project, Series K, 5.000% due 11/1/30 | 1,166,874 | |
4,345,566 | |||
Pennsylvania — 6.3% | |||
1,000,000 | Allegheny, PA, Sanitary Authority, Revenue Bonds, Refunding, (BAM Insured), 5.000% due 12/1/30 | 1,076,027 | |
1,950,000 | City of Philadelphia, PA, Airport Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/28 | 2,163,682 | |
1,000,000 | City of Philadelphia, PA, General Obligation Unlimited, Series A, 5.000% due 8/1/26 | 1,092,256 | |
1,000,000 | City of Philadelphia, PA, General Obligation Unlimited, Series B, 5.000% due 2/1/28 | 1,113,317 | |
Commonwealth of Pennsylvania, General Obligation Unlimited, Series 2: | |||
1,500,000 | 5.000% due 9/15/25 | 1,622,607 | |
2,000,000 | 5.000% due 9/15/28 | 2,181,195 | |
2,500,000 | Cumberland County, PA, Municipal Authority, Revenue Bonds, 5.000% due 11/1/31 | 2,774,884 | |
2,500,000 | Pennsbury Country, PA, School District, General Obligation Limited, Refunding (State Aid Withholding), 4.000% due 8/1/253 | 2,593,886 | |
1,555,000 | Pennsylvania State, Housing Finance Agency Single Family Mortgage Revenue, Revenue Bonds, Series 2019-131A, 3.500% due 4/1/49 | 1,564,246 | |
2,185,000 | Pennsylvania State, Public School Building Authority, Revenue Bonds, Escrowed to Maurity, 5.000% due 5/1/23 | 2,247,995 | |
18,430,095 | |||
Rhode Island — 0.4% | |||
1,020,000 | Rhode Island Health and Educational Building Corp., Public School Revenue, Revenue Bonds, Refunding, Series A, (Municipal Government Guaranteed), 5.000% due 5/15/22 | 1,021,193 | |
South Carolina — 1.1% | |||
1,500,000 | South Carolina State, Public Service Authority, Revenue Bonds, Refunding, Series A(Power), 4.000% due 12/1/33 | 1,547,207 | |
350,000 | South Carolina State, Public Service Authority, Revenue Bonds, Series A(Utilities), 5.000% due 12/1/27 | 388,293 | |
1,000,000 | South Carolina State, Public Service Authority, Revenue Bonds, Series B, 5.000% due 12/1/27 | 1,109,407 | |
3,044,907 |
186 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Texas — 13.4% | |||
$1,065,000 | Alamo, TX, Community College District, General Obligation Limited, Refunding, 5.000% due 2/15/24 | $ 1,115,822 | |
3,500,000 | Board of Regents of the University of Texas System, TX, Revenue Bonds, Series D, 5.000% due 8/15/25 | 3,772,771 | |
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 | 2,265,905 | |
3,000,000 | Dallas Area Rapid Transit, TX, Sales Tax Revenue, Revenue Bonds, Refunding, 5.000% due 12/1/25 | 3,252,593 | |
Harris County, TX, Cultural Education Facilities Finance Corp., Revenue Bonds, Refunding, Children’s Hospital Project: | |||
1,850,000 | 5.000% due 10/1/26 | 1,992,338 | |
1,000,000 | 5.000% due 10/1/27 | 1,072,543 | |
3,000,000 | Harris County, TX, Flood Control District, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/28 | 3,340,390 | |
3,000,000 | Harris County, TX, Revenue Bonds, Refunding, Series A, 5.000% due 8/15/25 | 3,238,725 | |
1,300,000 | Harris County, TX, Revenue Bonds, Series A, 5.000% due 8/15/24 | 1,375,296 | |
1,000,000 | Lower Colorado River Authority, TX, Revenue Bonds, (AGMC Insured), 5.000% due 5/15/27 | 1,106,611 | |
1,125,000 | Lower Colorado River Authority, TX, Revenue Bonds, Refunding, 5.000% due 5/15/25 | 1,199,845 | |
2,500,000 | North Texas, Municipal Water District, Revenue Bonds, Series 2021A, 4.000% due 9/1/23 | 2,562,489 | |
1,000,000 | North Texas, Tollway Authority, Revenue Bonds, Refunding, 5.000% due 1/1/32 | 1,095,482 | |
4,000,000 | North Texas, Tollway Authority, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/30 | 4,206,690 | |
2,550,000 | Texas State, General Obligation Unlimited, Series A, 5.000% due 10/1/26 | 2,810,851 | |
1,375,000 | Texas State, General Obligation Unlimited, Series B, 4.000% due 8/1/29 | 1,428,415 | |
3,090,000 | Waco, TX, Independent School District, General Obligation Unlimited, Refunding, (PSF Guaranteed), 5.000% due 8/15/23 | 3,204,123 | |
39,040,889 | |||
Washington — 6.2% | |||
1,000,000 | Central Puget Sound Regional Transit Authority, WA, Revenue Bonds, Refunding, Series S-1, 5.000% due 11/1/30 | 1,164,407 | |
3,695,000 | City of Seattle, WA, Municipal Light and Power Revenue, Revenue Bonds, Refunding, 4.000% due 9/1/30 | 3,799,156 | |
1,250,000 | Energy Northwest, WA, Revenue Bonds, Series A, 5.000% due 7/1/28 | 1,365,996 | |
1,205,000 | Grays Harbor County, WA, Public Utility District No. 1, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 1,276,149 | |
3,600,000 | King County, WA, Bellevue School District No. 405, General Obligation Unlimited, (School Bond Guaranty), 5.000% due 12/1/25 | 3,752,687 | |
2,000,000 | Port of Seattle, WA, Revenue Bonds, Refunding, 5.000% due 6/1/33 | 2,282,049 | |
1,000,000 | Spokane County, WA, School District No. 356 Central Valley, General Obligation Unlimited, (School Bond Guaranty), 4.000% due 12/1/32 | 1,060,317 | |
3,000,000 | Washington State, General Obligation Unlimited, Series D, 5.000% due 2/1/26 | 3,262,978 | |
17,963,739 |
187 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Wisconsin — 1.2% | |||
$2,100,000 | Wisconsin State, Department of Transportation, Revenue Bonds, Refunding, Series 2, 5.000% due 7/1/29 | $ 2,333,371 | |
1,000,000 | Wisconsin State, Revenue Bonds, Series A, 5.000% due 5/1/28 | 1,111,442 | |
3,444,813 | |||
Wyoming — 0.9% | |||
2,695,000 | Wyoming State, Community Development Authority, Housing Revenue, Revenue Bonds, Refunding, Series 3, 4.000% due 6/1/43 | 2,742,203 | |
TOTAL MUNICIPAL BONDS (Cost $297,980,944) | 285,348,041 | ||
TOTAL INVESTMENTS (Cost $297,980,944) | 98.2% | $285,348,041 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 1.8 | 5,322,419 | |
NET ASSETS | 100.0% | $290,670,460 |
* | 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 April 30, 2022. |
2 | Floating Rate Bond. Rate shown is as of April 30, 2022. |
3 | When-issued security. |
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 |
SIFMA — Securities Industry and Financial Markets Association |
188 |
% of Net Assets | Value | ||
STATE: | |||
Texas | 13.4% | $ 39,040,889 | |
Florida | 10.2 | 29,560,456 | |
California | 8.6 | 24,918,720 | |
New York | 7.4 | 21,439,616 | |
Pennsylvania | 6.3 | 18,430,095 | |
Washington | 6.2 | 17,963,739 | |
Ohio | 5.5 | 15,982,245 | |
Illinois | 4.9 | 14,246,415 | |
Michigan | 4.6 | 13,260,293 | |
District of Columbia | 3.0 | 8,779,148 | |
Maryland | 2.3 | 6,810,762 | |
Nevada | 2.2 | 6,517,765 | |
Kentucky | 1.8 | 5,236,057 | |
Connecticut | 1.8 | 5,189,288 | |
New Jersey | 1.7 | 4,822,253 | |
Kansas | 1.5 | 4,449,190 | |
Delaware | 1.5 | 4,437,200 | |
Oregon | 1.5 | 4,345,566 | |
Missouri | 1.5 | 4,242,422 | |
Massachusetts | 1.4 | 4,150,831 | |
Wisconsin | 1.2 | 3,444,813 | |
Colorado | 1.1 | 3,248,558 | |
South Carolina | 1.1 | 3,044,907 | |
Wyoming | 0.9 | 2,742,203 | |
Iowa | 0.9 | 2,638,229 | |
Alabama | 0.9 | 2,537,233 | |
Minnesota | 0.8 | 2,298,765 | |
Arizona | 0.7 | 2,162,309 | |
Oklahoma | 0.7 | 2,105,489 | |
New Mexico | 0.7 | 1,924,345 | |
North Carolina | 0.6 | 1,873,651 | |
Georgia | 0.5 | 1,395,160 | |
Indiana | 0.4 | 1,088,236 | |
Rhode Island | 0.4 | 1,021,193 | |
TOTAL MUNICIPAL BONDS | 98.2% | $285,348,041 | |
TOTAL INVESTMENTS | 98.2% | $285,348,041 |
189 |
190 |
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 | |||
Muni Intermediate Portfolio | $4,821,963 | $927,838 | $2,543,519 |
191 |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Muni Intermediate Portfolio | $297,980,944 | $178,104 | $12,811,007 | $(12,632,903) |
Portfolio | Purchases | Sales | ||
Muni Intermediate Portfolio | $62,604,996 | $73,562,921 |
192 |
Period Ended 04/30/22 | Year Ended 10/31/21 | ||||||
Shares | Amount | Shares | Amount | ||||
Muni Intermediate Portfolio | |||||||
Sold | 2,585,715 | $ 27,984,155 | 4,515,164 | $ 51,089,006 | |||
Issued as reinvestment of dividends | 178,658 | 1,988,335 | 305,295 | 3,465,064 | |||
Redeemed | (4,723,203) | (51,209,543) | (3,017,818) | (34,169,712) | |||
Net Increase (Decrease) | (1,958,830) | $(21,237,053) | 1,802,641 | $ 20,384,358 |
193 |
194 |
195 |
(b) Not applicable.
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period are included as part of the report to shareholders filed under Item 1 of this form.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment 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)(1) Not applicable.
(a)(3) Not applicable.
(a)(4) Not applicable.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. | ||||||||
(Registrant) | THE GLENMEDE FUND, INC. |
By | (Signature and Title) | /s/ Kent E. Weaver | ||||||
Kent E. Weaver President (Principal Executive Officer) | ||||||||
Date | June 23, 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 | June 23, 2022 | |||||||
/s/ Christopher E. McGuire | ||||||||
Christopher E. McGuire Treasurer (Principal Financial Officer) | ||||||||
Date | June 23, 2022 |