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)
One Congress Street, Suite 1
Boston, MA 02114
(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, 2023
Item 1. Reports to Stockholders.
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1 |
Beginning Account Value (November 1, 2022) | Ending Account Value (April 30, 2023) | Annualized Expense Ratio | Expenses Paid During Period* (November 1, 2022 to April 30, 2023) | ||||
Quantitative U.S. Large Cap Core Equity Portfolio – Advisor | |||||||
Actual | $1,000.00 | $1,046.50 | 0.87% | $ 4.41 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.50 | 0.87 | 4.36 | |||
Quantitative U.S. Large Cap Core Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,047.70 | 0.67 | 3.40 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.50 | 0.67 | 3.36 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,053.60 | 0.87 | 4.43 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.50 | 0.87 | 4.36 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,054.70 | 0.67 | 3.41 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.50 | 0.67 | 3.36 | |||
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||
Actual | 1,000.00 | 1,003.90 | 0.85 | 4.22 | |||
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 | 965.20 | 0.85 | 4.14 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.60 | 0.85 | 4.26 | |||
Quantitative International Equity Portfolio | |||||||
Actual | 1,000.00 | 1,207.60 | 1.00 | 5.47 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,019.80 | 1.00 | 5.01 | |||
Responsible ESG U.S. Equity Portfolio | |||||||
Actual | 1,000.00 | 1,038.70 | 0.85 | 4.30 | |||
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 | 1,060.50 | 0.85 | 4.34 | |||
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 | 1,005.00 | 2.57 | 12.78 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,012.10 | 2.57 | 12.82 |
2 |
Beginning Account Value (November 1, 2022) | Ending Account Value (April 30, 2023) | Annualized Expense Ratio | Expenses Paid During Period* (November 1, 2022 to April 30, 2023) | ||||
Quantitative U.S. Long/Short Equity Portfolio – Institutional | |||||||
Actual | $1,000.00 | $1,005.40 | 2.37% | $11.78 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,013.00 | 2.37 | 11.83 | |||
Quantitative U.S. Total Market Equity Portfolio | |||||||
Actual | 1,000.00 | 1,008.90 | 2.05 | 10.21 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,014.60 | 2.05 | 10.24 | |||
Strategic Equity Portfolio | |||||||
Actual | 1,000.00 | 1,094.70 | 0.87 | 4.52 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.50 | 0.87 | 4.36 | |||
Small Cap Equity Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,018.80 | 0.94 | 4.71 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.10 | 0.94 | 4.71 | |||
Small Cap Equity Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,019.50 | 0.74 | 3.71 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.10 | 0.74 | 3.71 | |||
Equity Income Portfolio | |||||||
Actual | 1,000.00 | 1,043.20 | 0.86 | 4.36 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.50 | 0.86 | 4.31 | |||
Secured Options Portfolio – Advisor | |||||||
Actual | 1,000.00 | 1,098.40 | 0.87 | 4.53 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.50 | 0.87 | 4.36 | |||
Secured Options Portfolio – Institutional | |||||||
Actual | 1,000.00 | 1,099.70 | 0.67 | 3.49 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,021.50 | 0.67 | 3.36 | |||
Global Secured Options Portfolio | |||||||
Actual | 1,000.00 | 1,141.20 | 1.00 | 5.31 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,019.80 | 1.00 | 5.01 | |||
Core Fixed Income Portfolio | |||||||
Actual | 1,000.00 | 1,064.50 | 0.55 | 2.82 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.10 | 0.55 | 2.76 | |||
Short Term Tax Aware Fixed Income Portfolio | |||||||
Actual | 1,000.00 | 1,023.50 | 0.55 | 2.76 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,022.10 | 0.55 | 2.76 | |||
High Yield Municipal Portfolio | |||||||
Actual | 1,000.00 | 1,073.90 | 0.92 | 4.73 | |||
Hypothetical (5% return less expenses) | 1,000.00 | 1,020.20 | 0.92 | 4.61 |
* | 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, 2022) | Ending Account Value (April 30, 2023) | Annualized Expense Ratio | Expenses Paid During Period* (November 1, 2022 to April 30, 2023) | ||||
Muni Intermediate Portfolio | |||||||
Actual | $1,000.00 | $1,045.40 | 0.25% | $1.27 | |||
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 | $ 825,055,072 | $ 2,072,385,354 | $ 1,663,729 | ||
Repurchase agreements at value1 | 1,523,744 | 5,003,702 | 15,044 | ||
Receivable from Advisor | — | — | 3,402 | ||
Receivable for fund shares sold | 218,454 | 483,196 | — | ||
Dividends receivable | 766,232 | 1,045,144 | 1,939 | ||
Interest receivable | 183 | 600 | 2 | ||
Securities lending income receivable | — | 8 | — | ||
Prepaid expenses | 38,532 | 88,062 | 77 | ||
Total assets | 827,602,217 | 2,079,006,066 | 1,684,193 | ||
Liabilities: | |||||
Obligation to return securities lending collateral | — | 983,263 | — | ||
Line of credit interest payable | 208 | — | — | ||
Payable for fund shares redeemed | 566,463 | 3,428,048 | — | ||
Payable for Management fees | 379,193 | 946,642 | 758 | ||
Payable for Directors’ fees | 34,873 | 63,966 | 64 | ||
Payable for Shareholder Servicing fees | 128,424 | 191,939 | 276 | ||
Accrued expenses | 265,046 | 523,420 | 12,170 | ||
Total liabilities | 1,374,207 | 6,137,278 | 13,268 | ||
Net Assets | $826,228,010 | $2,072,868,788 | $ 1,670,925 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 38,550 | $ 75,767 | $ 141 | ||
Paid-in capital in excess of par value | 627,229,571 | 1,587,733,238 | 1,416,360 | ||
Total distributable earnings | 198,959,889 | 485,059,783 | 254,424 | ||
Total Net Assets | $826,228,010 | $2,072,868,788 | $ 1,670,925 | ||
Shares Outstanding3 | 38,549,831 | 75,766,636 | 141,343 | ||
Net Asset Value Per Share | $ — | $ — | $ 11.82 | ||
Advisor Class — based on net assets of $767,596,623 and $1,156,312,977, respectively and shares outstanding of 35,813,961 and 42,266,116, respectively | 21.43 | 27.36 | — | ||
Institutional Class — based on net assets of $58,631,387 and $916,555,811, respectively and shares outstanding of 2,735,870 and 33,500,520, respectively | 21.43 | 27.36 | — | ||
1 Investments at cost | $ 678,707,466 | $ 1,618,785,030 | $ 1,420,823 | ||
2 Market value of securities on loan | $ — | $ 986,496 | $ — | ||
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 | $ 1,497,526 | $ 23,890,197 | $ 23,005,282 | ||
Repurchase agreements at value1 | 12,458 | 221,523 | 1,117,164 | ||
Foreign currency3 | — | 5,382 | — | ||
Receivable from Advisor | 3,195 | 7,108 | 22,849 | ||
Dividends receivable | 534 | 91,171 | 27,794 | ||
Interest receivable | 1 | 20 | 134 | ||
Securities lending income receivable | 9 | 832 | — | ||
Foreign tax reclaims receivable | — | 648,604 | — | ||
Prepaid expenses | 63 | — | 979 | ||
Total assets | 1,513,786 | 24,864,837 | 24,174,202 | ||
Liabilities: | |||||
Payable for securities purchased | — | — | 974,908 | ||
Obligation to return securities lending collateral | 33,532 | 719,171 | — | ||
Line of credit interest payable | — | 8 | 17 | ||
Payable for fund shares redeemed | — | 1,987 | 2,535 | ||
Payable for Management fees | 668 | 14,822 | 10,154 | ||
Payable for Directors’ fees | 40 | 877 | 825 | ||
Payable for Shareholder Servicing fees | 243 | 4,941 | 3,693 | ||
Accrued expenses | 14,036 | 23,622 | 30,457 | ||
Total liabilities | 48,519 | 765,428 | 1,022,589 | ||
Net Assets | $ 1,465,267 | $ 24,099,409 | $23,151,613 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 126 | $ 1,638 | $ 1,489 | ||
Paid-in capital in excess of par value | 1,304,764 | 22,832,215 | 18,325,673 | ||
Total distributable earnings | 160,377 | 1,265,556 | 4,824,451 | ||
Total Net Assets | $ 1,465,267 | $ 24,099,409 | $23,151,613 | ||
Shares Outstanding4 | 126,012 | 1,637,718 | 1,489,140 | ||
Net Asset Value Per Share | $ 11.63 | $ 14.72 | $ 15.55 | ||
1 Investments at cost | $ 1,395,544 | $ 21,352,392 | $ 21,428,703 | ||
2 Market value of securities on loan | $ 61,872 | $ 699,711 | $ — | ||
3 Foreign currency at cost | $ — | $ 5,464 | $ — | ||
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 | $ 21,602,252 | $ 50,975,023 | $ 54,352,609 | ||
Repurchase agreements at value1 | 171,933 | 1,651,530 | 85,327 | ||
Cash | — | 113,268 | — | ||
Receivable from Advisor | 20,512 | 9,689 | 3,937 | ||
Receivable for fund shares sold | 80 | 6,147 | 434 | ||
Dividends receivable | 23,445 | 51,456 | 72,337 | ||
Interest receivable | 21 | 121,280 | 283 | ||
Securities lending income receivable | — | 125 | 59 | ||
Cash collateral on deposit at broker (Note 1) | — | 34,502,810 | — | ||
Prepaid expenses | 932 | 2,331 | 108 | ||
Total assets | 21,819,175 | 87,433,659 | 54,515,094 | ||
Liabilities: | |||||
Due to custodian | — | — | 9,340 | ||
Obligation to return securities lending collateral | — | 1,340,596 | 1,034,845 | ||
Line of credit interest payable | — | 12 | — | ||
Payable for fund shares redeemed | 202,531 | 1,497 | 361 | ||
Dividend payable on securities sold short | — | 31,270 | 6,419 | ||
Payable for securities sold short, at value3 | — | 33,983,544 | 11,708,281 | ||
Payable for Management fees | 9,702 | 36,619 | 29,420 | ||
Payable for Directors’ fees | 687 | 1,628 | 1,187 | ||
Payable for Shareholder Servicing fees | 3,528 | 7,231 | 6,922 | ||
Accrued expenses | 28,759 | 44,256 | 39,290 | ||
Total liabilities | 245,207 | 35,446,653 | 12,836,065 | ||
Net Assets | $21,573,968 | $ 51,987,006 | $ 41,679,029 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 1,526 | $ 3,702 | $ 2,324 | ||
Paid-in capital in excess of par value | 17,904,004 | 29,809,963 | 26,992,296 | ||
Total distributable earnings | 3,668,438 | 22,173,341 | 14,684,409 | ||
Total Net Assets | $21,573,968 | $ 51,987,006 | $ 41,679,029 | ||
Shares Outstanding4 | 1,526,178 | 3,701,901 | 2,324,435 | ||
Net Asset Value Per Share | $ 14.14 | $ — | $ 17.93 | ||
Advisor Class — based on net assets of $43,716,073 and shares outstanding of 3,115,772 | — | 14.03 | — | ||
Institutional Class — based on net assets of $8,270,933 and shares outstanding of 586,129 | — | 14.11 | — | ||
1 Investments at cost | $ 18,785,920 | $ 42,018,685 | $ 43,655,842 | ||
2 Market value of securities on loan | $ — | $ 1,328,294 | $ 1,129,505 | ||
3 Proceeds from securities sold short | $ — | $ 40,991,338 | $ 13,150,941 | ||
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 | $ 182,865,696 | $ 1,025,094,258 | $ 20,533,230 | ||
Repurchase agreements at value1 | 1,147,063 | 15,679,670 | 201,230 | ||
Receivable from Advisor | — | — | 5,298 | ||
Receivable for fund shares sold | — | 389,599 | — | ||
Dividends receivable | 160,630 | 93,200 | 22,726 | ||
Interest receivable | 138 | 1,881 | 24 | ||
Securities lending income receivable | — | 8,867 | — | ||
Prepaid expenses | 259 | 44,952 | 963 | ||
Total assets | 184,173,786 | 1,041,312,427 | 20,763,471 | ||
Liabilities: | |||||
Obligation to return securities lending collateral | — | 29,248,937 | — | ||
Line of credit interest payable | 1,294 | 49 | 261 | ||
Payable for fund shares redeemed | 29,958 | 772,093 | — | ||
Payable for Management fees | 82,974 | 457,030 | 9,484 | ||
Payable for Directors’ fees | 6,384 | 38,820 | 612 | ||
Payable for Shareholder Servicing fees | 30,172 | 114,987 | 3,448 | ||
Accrued expenses | 64,623 | 327,855 | 17,001 | ||
Total liabilities | 215,405 | 30,959,771 | 30,806 | ||
Net Assets | $183,958,381 | $1,010,352,656 | $20,732,665 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 6,620 | $ 32,514 | $ 1,413 | ||
Paid-in capital in excess of par value | 69,586,170 | 787,705,515 | 14,528,476 | ||
Total distributable earnings | 114,365,591 | 222,614,627 | 6,202,776 | ||
Total Net Assets | $183,958,381 | $1,010,352,656 | $20,732,665 | ||
Shares Outstanding3 | 6,619,803 | 32,513,933 | 1,413,289 | ||
Net Asset Value Per Share | $ 27.79 | $ — | $ 14.67 | ||
Advisor Class — based on net assets of $444,750,227 and shares outstanding of 14,863,666 | — | 29.92 | — | ||
Institutional Class — based on net assets of $565,602,429 and shares outstanding of 17,650,267 | — | 32.04 | — | ||
1 Investments at cost | $ 85,027,472 | $ 847,760,302 | $ 14,944,829 | ||
2 Market value of securities on loan | $ — | $ 35,398,079 | $ — | ||
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 | $ 1,361,062,853 | $ 51,046,677 | $ 348,614,599 | ||
Repurchase agreements at value1 | 539,480 | 31,604 | 3,625,877 | ||
Receivable from Advisor | — | 4,165 | — | ||
Receivable for fund shares sold | 33,388 | 36 | 733,429 | ||
Interest receivable | 65 | 5 | 2,283,103 | ||
Securities lending income receivable | — | — | 2,515 | ||
Cash collateral on deposit at broker (Note 1) | 6,744,350 | 268,270 | — | ||
Foreign tax reclaims receivable | — | 33,745 | — | ||
Prepaid expenses | 21,043 | 47 | 371 | ||
Total assets | 1,368,401,179 | 51,384,549 | 355,259,894 | ||
Liabilities: | |||||
Obligation to return securities lending collateral | — | — | 14,352,781 | ||
Line of credit interest payable | 10 | 2 | — | ||
Payable for fund shares redeemed | 430,248 | 107 | 64,167 | ||
Options written, at value3 | 848,570,427 | 28,893,570 | — | ||
Payable for Management fees | 232,589 | 10,084 | 97,142 | ||
Payable for Directors’ fees | 11,984 | 491 | 10,264 | ||
Payable for Shareholder Servicing fees | 9,743 | 3,667 | 27,755 | ||
Accrued expenses | 138,592 | 30,848 | 100,002 | ||
Total liabilities | 849,393,593 | 28,938,769 | 14,652,111 | ||
Net Assets | $ 519,007,586 | $ 22,445,780 | $340,607,783 | ||
Net Assets consist of: | |||||
Par value ($0.001 of shares outstanding) | $ 40,273 | $ 4,630 | $ 35,380 | ||
Paid-in capital in excess of par value | 513,003,760 | 28,781,714 | 385,199,115 | ||
Total distributable earnings | 5,963,553 | (6,340,564) | (44,626,712) | ||
Total Net Assets | $ 519,007,586 | $ 22,445,780 | $340,607,783 | ||
Shares Outstanding4 | 40,273,166 | 4,630,223 | 35,380,028 | ||
Net Asset Value Per Share | $ — | $ 4.85 | $ 9.63 | ||
Advisor Class — based on net assets of $58,968,699 and shares outstanding of 4,636,529 | 12.72 | — | — | ||
Institutional Class — based on net assets of $460,038,887 and shares outstanding of 35,636,637 | 12.91 | — | — | ||
1 Investments at cost | $ 1,263,371,104 | $ 48,237,770 | $ 386,115,031 | ||
2 Market value of securities on loan | $ — | $ — | $ 14,039,431 | ||
3 Premiums received from options written | $ 769,430,759 | $ 26,127,328 | $ — | ||
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 | $ 43,949,698 | $ 195,580,270 | |
Repurchase agreements at value1 | 90,001 | — | |
Cash | — | 1,374,833 | |
Receivable from Advisor | 7,942 | — | |
Receivable for fund shares sold | — | 5,000 | |
Interest receivable | 524,032 | 2,929,859 | |
Securities lending income receivable | 974 | — | |
Cash collateral on deposit at broker (Note 1) | — | 33,285 | |
Prepaid expenses | 2,140 | 7,497 | |
Variation margin on centrally cleared swap contracts | — | 86,800 | |
Total assets | 44,574,787 | 200,017,544 | |
Liabilities: | |||
Payable for securities purchased | — | 77,000 | |
Obligation to return securities lending collateral | 1,485,000 | — | |
Payable for when-issued securities purchased | — | 2,616,510 | |
Line of credit interest payable | 33 | 446 | |
Payable for fund shares redeemed | 19,640 | — | |
Payable for Management fees | 12,528 | 94,077 | |
Payable for Directors’ fees | 1,503 | 6,641 | |
Payable for Shareholder Servicing fees | 3,579 | 24,757 | |
Accrued expenses | 35,994 | 92,989 | |
Total liabilities | 1,558,277 | 2,912,420 | |
Net Assets | $43,016,510 | $197,105,124 | |
Net Assets consist of: | |||
Par value ($0.001 of shares outstanding) | $ 4,380 | $ 20,905 | |
Paid-in capital in excess of par value | 44,252,386 | 222,036,579 | |
Total distributable earnings | (1,240,256) | (24,952,360) | |
Total Net Assets | $43,016,510 | $197,105,124 | |
Shares Outstanding2 | 4,380,125 | 20,905,318 | |
Net Asset Value Per Share | $ 9.82 | $ 9.43 | |
1 Investments at cost | $ 44,604,954 | $ 211,327,030 | |
2 Market value of securities on loan | $ 1,455,566 | $ — | |
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 | $ 9,506,822 | $ 14,109,749 | $ 23,279 | ||
Interest | 26,805 | 58,512 | 93 | ||
Income from security lending | 6,029 | 2,537 | 4 | ||
Total investment income | 9,539,656 | 14,170,798 | 23,376 | ||
Expenses: | |||||
Management fees | 2,444,636 | 5,747,283 | 4,649 | ||
Administration, transfer agent and custody fees | 179,909 | 374,049 | 13,543 | ||
Professional fees | 100,403 | 211,914 | 184 | ||
Shareholder report expenses | 60,112 | 217,011 | 1,112 | ||
Shareholder servicing fees | — | — | 1,691 | ||
Shareholder servicing fees (Advisor Class) | 817,399 | 1,170,840 | — | ||
Directors’ fees and expenses | 67,489 | 144,004 | 124 | ||
Interest expense | 26,076 | 32,068 | — | ||
Registration and filing fees | 22,338 | 59,961 | 1,806 | ||
Other expenses | 88,143 | 181,328 | 1,320 | ||
Total expenses | 3,806,505 | 8,138,458 | 24,429 | ||
Less expenses waived/reimbursed | — | — | (17,244) | ||
Net expenses | 3,806,505 | 8,138,458 | 7,185 | ||
Net investment income | 5,733,151 | 6,032,340 | 16,191 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | 50,088,309 | 26,523,765 | (2,849) | ||
Net change in unrealized gain (loss) on: | |||||
Investments | (11,133,905) | 77,722,442 | (6,105) | ||
Net realized and unrealized gain (loss) | 38,954,404 | 104,246,207 | (8,954) | ||
Net increase in net assets resulting from operations | $ 44,687,555 | $110,278,547 | $ 7,237 |
11 |
Quantitative U.S. Small Cap Equity Portfolio | Quantitative International Equity Portfolio | Responsible ESG U.S. Equity Portfolio | |||
Investment income: | |||||
Dividends1 | $ 15,744 | $ 397,911 | $ 235,442 | ||
Interest | 92 | 482 | 854 | ||
Income from security lending | 63 | 2,580 | 19 | ||
Total investment income | 15,899 | 400,973 | 236,315 | ||
Expenses: | |||||
Management fees | 4,195 | 87,787 | 62,659 | ||
Administration, transfer agent and custody fees | 13,202 | 19,472 | 17,698 | ||
Professional fees | 147 | 2,411 | 2,425 | ||
Shareholder report expenses | 1,000 | 2,359 | 1,355 | ||
Shareholder servicing fees | 1,525 | 29,262 | 22,785 | ||
Directors’ fees and expenses | 99 | 1,641 | 1,632 | ||
Interest expense | — | 217 | 382 | ||
Registration and filing fees | 1,805 | 10,148 | 27,961 | ||
Other expenses | 1,724 | 3,527 | 3,592 | ||
Total expenses | 23,697 | 156,824 | 140,489 | ||
Less expenses waived/reimbursed | (17,214) | (39,557) | (43,270) | ||
Net expenses | 6,483 | 117,267 | 97,219 | ||
Net investment income | 9,416 | 283,706 | 139,096 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | 44,094 | (738,045) | 2,085,718 | ||
Foreign currency transactions | — | (7,752) | — | ||
Net realized gain (loss) | 44,094 | (745,797) | 2,085,718 | ||
Net change in unrealized gain (loss) on: | |||||
Investments | (107,176) | 4,878,676 | (1,257,826) | ||
Foreign currency translation | — | 3,715 | — | ||
Net change in unrealized gain (loss) | (107,176) | 4,882,391 | (1,257,826) | ||
Net realized and unrealized gain (loss) | (63,082) | 4,136,594 | 827,892 | ||
Net increase (decrease) in net assets resulting from operations | $ (53,666) | $4,420,300 | $ 966,988 |
1 | The Quantitative U.S. Small Cap Equity Portfolio and the Quantitative International Equity Portfolio had foreign dividend withholding taxes of $17 and $47,718, 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: | |||||
Dividends1 | $ 234,172 | $ 544,854 | $ 571,303 | ||
Interest | 599 | 686,467 | 972 | ||
Income from security lending | — | 513 | 60 | ||
Total investment income | 234,771 | 1,231,834 | 572,335 | ||
Expenses: | |||||
Management fees | 59,803 | 320,405 | 258,038 | ||
Administration, transfer agent and custody fees | 16,753 | 35,619 | 26,043 | ||
Professional fees | 2,231 | 5,533 | 4,239 | ||
Shareholder report expenses | 1,505 | 6,214 | 4,939 | ||
Shareholder servicing fees | 21,746 | — | 43,006 | ||
Shareholder servicing fees (Advisor Class) | — | 44,976 | — | ||
Dividends on securities sold short | — | 350,782 | 123,127 | ||
Directors’ fees and expenses | 1,505 | 3,784 | 2,902 | ||
Interest expense | — | 2,085 | — | ||
Short position flex fees | — | — | 49,582 | ||
Registration and filing fees | 25,958 | 30,166 | 20,855 | ||
Other expenses | 3,786 | 13,739 | 4,527 | ||
Total expenses | 133,287 | 813,303 | 537,258 | ||
Less expenses waived/reimbursed | (40,865) | (135,106) | (95,759) | ||
Net expenses | 92,422 | 678,197 | 441,499 | ||
Net investment income | 142,349 | 553,637 | 130,836 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain on: | |||||
Investment transactions | 641,529 | 3,546,839 | 2,115,813 | ||
Securities sold short | — | 1,222,452 | 514,910 | ||
Net realized gain | 641,529 | 4,769,291 | 2,630,723 | ||
Net change in unrealized gain (loss) on: | |||||
Investments | 511,673 | (2,508,309) | (1,321,947) | ||
Securities sold short | — | (2,555,532) | (1,003,548) | ||
Net change in unrealized gain (loss) | 511,673 | (5,063,841) | (2,325,495) | ||
Net realized and unrealized gain (loss) | 1,153,202 | (294,550) | 305,228 | ||
Net increase in net assets resulting from operations | $1,295,551 | $ 259,087 | $ 436,064 |
1 | The Quantitative U.S. Long/Short Equity Portfolio had foreign dividend withholding taxes of $330. |
13 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Equity Income Portfolio | |||
Investment income: | |||||
Dividends | $ 1,294,601 | $ 7,528,275 | $265,222 | ||
Interest | 6,898 | 91,338 | 2,056 | ||
Income from security lending | — | 20,764 | — | ||
Total investment income | 1,301,499 | 7,640,377 | 267,278 | ||
Expenses: | |||||
Management fees | 509,386 | 2,894,572 | 59,082 | ||
Administration, transfer agent and custody fees | 45,012 | 216,606 | 15,623 | ||
Professional fees | 19,157 | 111,688 | 2,156 | ||
Shareholder report expenses | 5,712 | 191,412 | 1,239 | ||
Shareholder servicing fees | 185,231 | — | 21,485 | ||
Shareholder servicing fees (Advisor Class) | — | 576,798 | — | ||
Shareholder servicing fees (Institutional Class) | — | 147,783 | — | ||
Directors’ fees and expenses | 13,086 | 75,194 | 1,465 | ||
Interest expense | 1,292 | 6,017 | 892 | ||
Registration and filing fees | 10,662 | 40,985 | 3,727 | ||
Other expenses | 14,730 | 98,959 | 3,175 | ||
Total expenses | 804,268 | 4,360,014 | 108,844 | ||
Less expenses waived/reimbursed | — | — | (16,643) | ||
Net expenses | 804,268 | 4,360,014 | 92,201 | ||
Net investment income | 497,231 | 3,280,363 | 175,077 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain on: | |||||
Investment transactions | 15,501,700 | 55,402,389 | 532,109 | ||
Net change in unrealized gain (loss) on: | |||||
Investments | 929,545 | (40,467,899) | 201,582 | ||
Net realized and unrealized gain | 16,431,245 | 14,934,490 | 733,691 | ||
Net increase in net assets resulting from operations | $16,928,476 | $ 18,214,853 | $908,768 |
14 |
Secured Options Portfolio | Global Secured Options Portfolio | Core Fixed Income Portfolio | |||
Investment income: | |||||
Dividends | $ 167,429 | $ 67,516 | $ — | ||
Interest | 1,721,307 | 66,233 | 4,792,104 | ||
Income from security lending | — | — | 9,479 | ||
Total investment income | 1,888,736 | 133,749 | 4,801,583 | ||
Expenses: | |||||
Management fees | 1,360,315 | 58,426 | 569,762 | ||
Administration, transfer agent and custody fees | 104,284 | 22,015 | 76,977 | ||
Professional fees | 47,117 | 1,941 | 32,374 | ||
Shareholder report expenses | 28,050 | 2,267 | 10,139 | ||
Shareholder servicing fees | — | 21,246 | 162,789 | ||
Shareholder servicing fees (Advisor Class) | 60,267 | — | — | ||
Directors’ fees and expenses | 32,440 | 1,329 | 22,122 | ||
Interest expense | 2,576 | 144 | — | ||
Registration and filing fees | 33,682 | 19,257 | 7,504 | ||
Other expenses | 45,013 | 5,661 | 21,654 | ||
Total expenses | 1,713,744 | 132,286 | 903,321 | ||
Less expenses waived/reimbursed | — | (25,912) | — | ||
Net expenses | 1,713,744 | 106,374 | 903,321 | ||
Net investment income | 174,992 | 27,375 | 3,898,262 | ||
Realized and unrealized gain (loss): | |||||
Net realized gain (loss) on: | |||||
Investment transactions | (108,629) | 89,357 | (1,117,619) | ||
Written options | 4,364,986 | 1,155,762 | — | ||
Purchased options | 45,915,367 | 1,028,272 | — | ||
Net realized gain (loss) | 50,171,724 | 2,273,391 | (1,117,619) | ||
Net change in unrealized gain (loss) on: | |||||
Investments | 2,297,711 | 840,527 | 17,689,750 | ||
Written options | (80,193,331) | (3,024,496) | — | ||
Purchased options | 75,005,761 | 2,684,626 | — | ||
Net change in unrealized gain (loss) | (2,889,859) | 500,657 | 17,689,750 | ||
Net realized and unrealized gain | 47,281,865 | 2,774,048 | 16,572,131 | ||
Net increase in net assets resulting from operations | $ 47,456,857 | $ 2,801,423 | $20,470,393 |
15 |
Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | ||
Investment income: | |||
Interest | $ 505,165 | $ 3,959,301 | |
Income from security lending | 1,681 | — | |
Total investment income | 506,846 | 3,959,301 | |
Expenses: | |||
Management fees | 83,486 | 514,006 | |
Administration, transfer agent and custody fees | 32,914 | 77,026 | |
Professional fees | 5,238 | 46,244 | |
Shareholder report expenses | 2,329 | 19,627 | |
Shareholder servicing fees | 23,853 | 135,265 | |
Directors’ fees and expenses | 3,582 | 12,258 | |
Interest expense | 217 | 431 | |
Registration and filing fees | 3,177 | 4,052 | |
Other expenses | 5,852 | 16,767 | |
Total expenses | 160,648 | 825,676 | |
Less expenses waived/reimbursed | (29,238) | — | |
Net expenses | 131,410 | 825,676 | |
Net investment income | 375,436 | 3,133,625 | |
Realized and unrealized gain (loss): | |||
Net realized loss on: | |||
Investment transactions | (131,319) | (282,396) | |
Swap contracts | — | (503) | |
Net realized loss | (131,319) | (282,899) | |
Net change in unrealized gain on: | |||
Investments | 986,084 | 9,195,457 | |
Swap contracts | — | 335,886 | |
Net change in unrealized gain | 986,084 | 9,531,343 | |
Net realized and unrealized gain | 854,765 | 9,248,444 | |
Net increase in net assets resulting from operations | $1,230,201 | $12,382,069 |
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 | $ 5,733,151 | $ 6,032,340 | $ 16,191 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 50,088,309 | 26,523,765 | (2,849) | ||
Net change in unrealized gain (loss) on: | |||||
Investments | (11,133,905) | 77,722,442 | (6,105) | ||
Net increase in net assets resulting from operations | 44,687,555 | 110,278,547 | 7,237 | ||
Distributions from earnings | — | — | (81,410) | ||
Distributions from earnings: Advisor Class | (152,251,275) | (83,478,360) | — | ||
Distributions from earnings: Institutional Class | (23,684,288) | (66,804,657) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (33,693,718) | (53,828,900) | 80,245 | ||
Net increase (decrease) in net assets | (164,941,726) | (93,833,370) | 6,072 | ||
NET ASSETS: | |||||
Beginning of period | 991,169,736 | 2,166,702,158 | 1,664,853 | ||
End of period | $ 826,228,010 | $2,072,868,788 | $1,670,925 |
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 | $ 11,713,464 | $ 8,444,069 | $ 39,444 | ||
Net realized gain on: | |||||
Investment transactions | 193,752,678 | 160,666,842 | 94,282 | ||
Net change in unrealized loss on: | |||||
Investments | (374,472,637) | (626,839,106) | (303,423) | ||
Net increase (decrease) in net assets resulting from operations | (169,006,495) | (457,728,195) | (169,697) | ||
Distributions from earnings | — | — | (37,841) | ||
Distributions from earnings: Advisor Class | (150,805,227) | (302,740,550) | — | ||
Distributions from earnings: Institutional Class | (19,740,872) | (104,880,062) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (90,178,388) | 699,425,959 | (614,744) | ||
Net increase (decrease) in net assets | (429,730,982) | (165,922,848) | (822,282) | ||
NET ASSETS: | |||||
Beginning of year | 1,420,900,718 | 2,332,625,006 | 2,487,135 | ||
End of year | $ 991,169,736 | $2,166,702,158 | $1,664,853 |
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 | $ 9,416 | $ 283,706 | $ 139,096 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 44,094 | (738,045) | 2,085,718 | ||
Foreign currency transactions | — | (7,752) | — | ||
Net change in unrealized gain (loss) on: | |||||
Investments | (107,176) | 4,878,676 | (1,257,826) | ||
Foreign currency translations | — | 3,715 | — | ||
Net increase (decrease) in net assets resulting from operations | (53,666) | 4,420,300 | 966,988 | ||
Distributions from earnings | (123,538) | (156,131) | (1,579,262) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 121,450 | (3,103,357) | (158,797) | ||
Net increase (decrease) in net assets | (55,754) | 1,160,812 | (771,071) | ||
NET ASSETS: | |||||
Beginning of period | 1,521,021 | 22,938,597 | 23,922,684 | ||
End of period | $1,465,267 | $24,099,409 | $23,151,613 |
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 | $ 15,390 | $ 888,300 | $ 293,365 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 117,592 | (18,785) | 1,659,372 | ||
Foreign currency transactions | — | (37,714) | — | ||
Net change in unrealized loss on: | |||||
Investments | (178,389) | (6,391,166) | (6,394,134) | ||
Foreign currency translations | — | (4,701) | — | ||
Net increase (decrease) in net assets resulting from operations | (45,407) | (5,564,066) | (4,441,397) | ||
Distributions from earnings | (155,187) | (1,140,214) | (3,071,064) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 166,061 | (11,426,255) | (1,426,217) | ||
Net increase (decrease) in net assets | (34,533) | (18,130,535) | (8,938,678) | ||
NET ASSETS: | |||||
Beginning of year | 1,555,554 | 41,069,132 | 32,861,362 | ||
End of year | $1,521,021 | $ 22,938,597 | $23,922,684 |
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 | $ 142,349 | $ 553,637 | $ 130,836 | ||
Net realized gain on: | |||||
Investment transactions | 641,529 | 3,546,839 | 2,115,813 | ||
Securities sold short | — | 1,222,452 | 514,910 | ||
Net change in unrealized gain (loss) on: | |||||
Investments | 511,673 | (2,508,309) | (1,321,947) | ||
Securities sold short | — | (2,555,532) | (1,003,548) | ||
Net increase in net assets resulting from operations | 1,295,551 | 259,087 | 436,064 | ||
Distributions from earnings | (584,313) | — | (90,222) | ||
Distributions from earnings: Advisor Class | — | (280,356) | — | ||
Distributions from earnings: Institutional Class | — | (57,831) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (1,309,268) | (4,874,082) | (2,502,702) | ||
Net increase (decrease) in net assets | (598,030) | (4,953,182) | (2,156,860) | ||
NET ASSETS: | |||||
Beginning of period | 22,171,998 | 56,940,188 | 43,835,889 | ||
End of period | $21,573,968 | $51,987,006 | $41,679,029 |
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) | $ 313,202 | $ (137,459) | $ 171,472 | ||
Net realized gain (loss) on: | |||||
Investment transactions | 474,768 | 2,293,339 | (401,204) | ||
Securities sold short | — | (858,824) | 190,496 | ||
Net change in unrealized gain (loss) on: | |||||
Investments | (4,312,942) | (6,231,683) | (6,934,443) | ||
Securities sold short | — | 9,655,617 | 2,273,396 | ||
Net increase (decrease) in net assets resulting from operations | (3,524,972) | 4,720,990 | (4,700,283) | ||
Distributions from earnings | (4,758,943) | — | (5,752,261) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | 2,569,045 | (11,038,120) | 18,327,845 | ||
Net increase (decrease) in net assets | (5,714,870) | (6,317,130) | 7,875,301 | ||
NET ASSETS: | |||||
Beginning of year | 27,886,868 | 63,257,318 | 35,960,588 | ||
End of year | $22,171,998 | $ 56,940,188 | $43,835,889 |
19 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Equity Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $ 497,231 | $ 3,280,363 | $ 175,077 | ||
Net realized gain on: | |||||
Investment transactions | 15,501,700 | 55,402,389 | 532,109 | ||
Net change in unrealized gain (loss) on: | �� | ||||
Investments | 929,545 | (40,467,899) | 201,582 | ||
Net increase in net assets resulting from operations | 16,928,476 | 18,214,853 | 908,768 | ||
Distributions from earnings | (14,173,134) | — | (799,283) | ||
Distributions from earnings: Advisor Class | — | (51,065,753) | — | ||
Distributions from earnings: Institutional Class | — | (65,681,959) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (10,442,852) | (1,920,514) | (1,278,916) | ||
Net increase (decrease) in net assets | (7,687,510) | (100,453,373) | (1,169,431) | ||
NET ASSETS: | |||||
Beginning of period | 191,645,891 | 1,110,806,029 | 21,902,096 | ||
End of period | $183,958,381 | $1,010,352,656 | $20,732,665 |
Strategic Equity Portfolio | Small Cap Equity Portfolio | Equity Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $ 882,586 | $ 6,348,854 | $ 346,408 | ||
Net realized gain on: | |||||
Investment transactions | 15,175,687 | 142,991,756 | 627,015 | ||
Net change in unrealized loss on: | |||||
Investments | (51,143,682) | (259,705,445) | (1,601,958) | ||
Net increase (decrease) in net assets resulting from operations | (35,085,409) | (110,364,835) | (628,535) | ||
Distributions from earnings | (27,306,344) | — | (1,345,717) | ||
Distributions from earnings: Advisor Class | — | (23,646,969) | — | ||
Distributions from earnings: Institutional Class | — | (43,673,126) | — | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (14,610,145) | (186,351,743) | 1,580,234 | ||
Net increase (decrease) in net assets | (77,001,898) | (364,036,673) | (394,018) | ||
NET ASSETS: | |||||
Beginning of year | 268,647,789 | 1,474,842,702 | 22,296,114 | ||
End of year | $191,645,891 | $1,110,806,029 | $21,902,096 |
20 |
Secured Options Portfolio | Global Secured Options Portfolio | Core Fixed Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income | $ 174,992 | $ 27,375 | $ 3,898,262 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (108,629) | 89,357 | (1,117,619) | ||
Options written | 4,364,986 | 1,155,762 | — | ||
Purchased options | 45,915,367 | 1,028,272 | — | ||
Net change in unrealized gain (loss) on: | |||||
Investments | 2,297,711 | 840,527 | 17,689,750 | ||
Options written | (80,193,331) | (3,024,496) | — | ||
Purchased options | 75,005,761 | 2,684,626 | — | ||
Net increase in net assets resulting from operations | 47,456,857 | 2,801,423 | 20,470,393 | ||
Distributions from earnings | — | — | (4,107,555) | ||
Net increase (decrease) in net assets from capital share transactions (See note 5) | (30,033,273) | (417,691) | 4,472,303 | ||
Net increase in net assets | 17,423,584 | 2,383,732 | 20,835,141 | ||
NET ASSETS: | |||||
Beginning of period | 501,584,002 | 20,062,048 | 319,772,642 | ||
End of period | $519,007,586 | $22,445,780 | $340,607,783 |
Secured Options Portfolio | Global Secured Options Portfolio | Core Fixed Income Portfolio | |||
Increase (decrease) in net assets | |||||
Operations: | |||||
Net investment income (loss) | $ (1,699,563) | $ (85,379) | $ 6,479,808 | ||
Net realized gain (loss) on: | |||||
Investment transactions | (11,935) | (447,395) | (8,937,362) | ||
Options written | 158,020,611 | 4,967,908 | — | ||
Purchased options | (218,442,787) | (6,474,287) | — | ||
Net change in unrealized gain (loss) on: | |||||
Investments | (4,647,754) | (962,339) | (61,619,614) | ||
Options Written | 47,227,177 | 2,009,219 | — | ||
Purchased options | (38,710,807) | (1,655,383) | — | ||
Net increase (decrease) in net assets resulting from operations | (58,265,058) | (2,647,656) | (64,077,168) | ||
Distributions from earnings | — | (2,244,214) | (7,978,720) | ||
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) | 179,474,929 | 7,801,745 | (32,683,376) | ||
Net increase (decrease) in net assets | 70,196,518 | 2,909,875 | (104,739,264) | ||
NET ASSETS: | |||||
Beginning of year | 431,387,484 | 17,152,173 | 424,511,906 | ||
End of year | $ 501,584,002 | $20,062,048 | $ 319,772,642 |
21 |
Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | ||
Increase (decrease) in net assets | |||
Operations: | |||
Net investment income | $ 375,436 | $ 3,133,625 | |
Net realized loss on: | |||
Investment transactions | (131,319) | (282,396) | |
Swap Contracts | — | (503) | |
Net change in unrealized gain on: | |||
Investments | 986,084 | 9,195,457 | |
Swap Contracts | — | 335,886 | |
Net increase in net assets resulting from operations | 1,230,201 | 12,382,069 | |
Distributions from earnings | (378,266) | (3,395,041) | |
Net increase (decrease) in net assets from capital share transactions (See note 5) | (14,798,835) | 31,308,077 | |
Net increase (decrease) in net assets | (13,946,900) | 40,295,105 | |
NET ASSETS: | |||
Beginning of period | 56,963,410 | 156,810,019 | |
End of period | $ 43,016,510 | $197,105,124 |
Short Term Tax Aware Fixed Income Portfolio | High Yield Municipal Portfolio | ||
Increase (decrease) in net assets | |||
Operations: | |||
Net investment income | $ 474,662 | $ 6,770,690 | |
Net realized loss on: | |||
Investment transactions | (419,029) | (9,361,228) | |
Net change in unrealized loss on: | |||
Investments | (1,956,193) | (39,867,953) | |
Net increase (decrease) in net assets resulting from operations | (1,900,560) | (42,458,491) | |
Distributions from earnings | (444,784) | (9,081,974) | |
Net increase (decrease) in net assets from capital share transactions (See note 5) | 3,024,664 | (74,161,112) | |
Net increase (decrease) in net assets | 679,320 | (125,701,577) | |
NET ASSETS: | |||
Beginning of year | 56,284,090 | 282,511,596 | |
End of year | $56,963,410 | $ 156,810,019 |
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 | $ 259,087 |
Investments purchased | (18,225,114) |
Investments sold | 25,313,830 |
Purchases to cover securities sold short | (27,034,351) |
Securities sold short | 21,421,431 |
(Purchase)/Sale of short term investments, net | (2,195,756) |
Increase in Interest receivable | (42,480) |
Increase in Receivable from Investment Advisor | (5,579) |
Decrease in Cash collateral on deposit at broker | 5,283,065 |
Increase in Securities lending income receivable | (52) |
Increase in Dividends receivable | (21,914) |
Increase in Prepaid expenses | (1,894) |
Increase in Obligation to return securities lending collateral | 544,226 |
Decrease in Line of credit interest payable | (115) |
Decrease in Dividends payable for securities sold short | (445) |
Decrease in Payable for Management fees | (3,712) |
Decrease in Payable for Directors’ fees | (51) |
Decrease in Payable for Shareholder Servicing fees | (833) |
Increase in Accrued expenses | 11,176 |
Net realized gain from investments | (3,546,839) |
Net realized loss from securities sold short | (1,222,452) |
Net change in unrealized loss on investments | 2,508,309 |
Net change in unrealized loss on securities sold short | 2,555,532 |
Net cash provided by (used in) operating activities | 5,595,069 |
Cash flows from financing activities | |
Proceeds from shares sold | 549,939 |
Payments on shares redeemed | (5,514,479) |
Cash distributions paid | (258,414) |
Net cash provided by (used in) financing activities | (5,222,954) |
Net increase (decrease) in cash | 372,115 |
Cash at beginning of period | (258,847) |
Cash at end of period | $ 113,268 |
Supplemental disclosure of cash flow information |
Non-cash financing activities not included herein consist of a reinvestment of dividends of $79,773. |
The Portfolio did not pay any prime broker fees during the period ended April 30, 2023. |
23 |
Quantitative U.S. Total Market Equity Portfolio | |
Cash flows from operating activities | |
Adjustments to reconcile net increase in net assets from operations to net cash provided by (used in) operating activities | |
Net increase in net assets resulting from operations | $ 436,064 |
Investments purchased | (21,265,391) |
Investments sold | 24,108,334 |
Purchases to cover securities sold short | (7,504,229) |
Securities sold short | 7,037,132 |
(Purchase)/Sale of short term investments, net | (116,719) |
Increase in Interest receivable | (276) |
Increase in Receivable from Investment Advisor | (1,750) |
Increase in Securities lending income receivable | (57) |
Increase in Dividends receivable | (27,322) |
Decrease in Prepaid expenses | 99 |
Increase in Obligation to return securities lending collateral | 282,630 |
Decrease in Line of credit interest payable | (124) |
Decrease in Dividends payable for securities sold short | (2,904) |
Decrease in Payable for Management fees | (915) |
Decrease in Payable for Directors’ fees | (17) |
Decrease in Payable for Shareholder Servicing fees | (216) |
Increase in Accrued expenses | 7,459 |
Net realized gain from investments | (2,115,813) |
Net realized loss from securities sold short | (514,910) |
Net change in unrealized loss on investments | 1,321,947 |
Net change in unrealized loss on securities sold short | 1,003,548 |
Net cash provided by (used in) operating activities | 2,646,570 |
Cash flows from financing activities | |
Proceeds from shares sold | 2,158,545 |
Payments on shares redeemed | (4,791,886) |
Cash distributions paid | (20,571) |
Net cash provided by (used in) financing activities | (2,653,912) |
Net increase (decrease) in cash | (7,342) |
Cash at beginning of period | (1,998) |
Cash at end of period | $ (9,340) |
Supplemental disclosure of cash flow information |
Cash paid for interest was $49,582. |
Non-cash financing activities not included herein consist of a reinvestment of dividends of $69,651. |
The Portfolio did not pay any prime broker fees during the period ended April 30, 2023. |
24 |
Quantitative U.S. Large Cap Core Equity Portfolio Advisor Shares | |||||||||||
For the Period Ended April 30, 20231,2 | For The Year Ended October 31, | ||||||||||
2022 2 | 2021 2 | 2020 2 | 2019 2 | 2018 2 | |||||||
Net asset value, beginning of period | $ 25.15 | $ 32.97 | $ 24.99 | $ 26.89 | $ 27.88 | $ 28.08 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.14 | 0.26 | 0.23 | 0.29 | 0.35 | 0.29 | |||||
Net realized and unrealized gain (loss) on investments | 0.91 | (4.01) | 10.15 | (0.73) | 1.18 | 0.95 | |||||
Total from investment operations | 1.05 | (3.75) | 10.38 | (0.44) | 1.53 | 1.24 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.16) | (0.27) | (0.24) | (0.29) | (0.35) | (0.28) | |||||
Net realized capital gains | (4.61) | (3.80) | (2.16) | (1.17) | (2.17) | (1.16) | |||||
Total distributions | (4.77) | (4.07) | (2.40) | (1.46) | (2.52) | (1.44) | |||||
Net asset value, end of period | $ 21.43 | $ 25.15 | $ 32.97 | $ 24.99 | $ 26.89 | $ 27.88 | |||||
Total return | 4.65% 3 | (12.89)% | 43.77% | (1.90)% | 6.42% | 4.42% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $767,597 | $924,570 | $1,255,795 | $1,066,153 | $1,674,687 | $2,075,264 | |||||
Ratio of operating expenses to average net assets | 0.87% 4,5 | 0.84% 4 | 0.85% 4 | 0.87% | 0.86% | 0.85% | |||||
Ratio of net investment income to average net assets | 1.27% 5 | 0.96% | 0.75% | 1.15% | 1.32% | 1.02% | |||||
Portfolio turnover rate6 | 43% 3 | 66% | 41% | 66% | 80% | 71% |
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 0.87% for the period ended April 30, 2023 and 0.84% and 0.85% for the years ended October 31, 2022 and 2021, respectively. |
5 | Annualized. |
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, 20231,2 | For The Year Ended October 31, | ||||||||||
2022 2 | 2021 2 | 2020 2 | 2019 2 | 2018 | |||||||
Net asset value, beginning of period | $ 25.15 | $ 32.98 | $ 24.99 | $ 26.91 | $ 27.89 | $ 28.09 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.18 | 0.32 | 0.29 | 0.34 | 0.40 | 0.34 | |||||
Net realized and unrealized gain (loss) on investments | 0.89 | (4.02) | 10.16 | (0.75) | 1.20 | 0.95 | |||||
Total from investment operations | 1.07 | (3.70) | 10.45 | (0.41) | 1.60 | 1.29 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.18) | (0.33) | (0.30) | (0.34) | (0.41) | (0.33) | |||||
Net realized capital gains | (4.61) | (3.80) | (2.16) | (1.17) | (2.17) | (1.16) | |||||
Total distributions | (4.79) | (4.13) | (2.46) | (1.51) | (2.58) | (1.49) | |||||
Net asset value, end of period | $ 21.43 | $ 25.15 | $ 32.98 | $ 24.99 | $ 26.91 | $ 27.89 | |||||
Total return | 4.77% 3 | (12.73)% | 44.10% | (1.75)% | 6.68% | 4.61% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $58,631 | $66,600 | $165,106 | $173,029 | $673,825 | $767,117 | |||||
Ratio of operating expenses to average net assets | 0.67% 4,5 | 0.64% 4 | 0.65% 4 | 0.67% | 0.66% | 0.65% | |||||
Ratio of net investment income to average net assets | 1.55% 5 | 1.14% | 0.96% | 1.32% | 1.52% | 1.22% | |||||
Portfolio turnover rate6 | 43% 3 | 66% | 41% | 66% | 80% | 71% |
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 0.67% for the period ended April 30, 2023 and 0.64% and 0.65% for the years ended October 31, 2022 and 2021, respectively. |
5 | Annualized. |
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, 20231,2 | For The Year Ended October 31, | ||||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 | |||||||
Net asset value, beginning of period | $ 27.95 | $ 40.64 | $ 32.02 | $ 33.08 | $ 32.52 | $ 31.54 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.07 | 0.09 | 0.05 | 0.12 | 0.16 | 0.16 | |||||
Net realized and unrealized gain (loss) on investments | 1.34 | (5.65) | 13.33 | 3.19 | 4.86 | 1.58 | |||||
Total from investment operations | 1.41 | (5.56) | 13.38 | 3.31 | 5.02 | 1.74 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.07) | (0.09) | (0.05) | (0.14) | (0.15) | (0.17) | |||||
Net realized capital gains | (1.93) | (7.04) | (4.71) | (4.23) | (4.31) | (0.59) | |||||
Total distributions | (2.00) | (7.13) | (4.76) | (4.37) | (4.46) | (0.76) | |||||
Net asset value, end of period | $ 27.36 | $ 27.95 | $ 40.64 | $ 32.02 | $ 33.08 | $ 32.52 | |||||
Total return | 5.36% 3 | (16.67)% | 46.17% | 10.68% | 18.50% | 5.53% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $1,156,313 | $1,211,342 | $1,751,370 | $1,659,543 | $2,237,727 | $2,660,858 | |||||
Ratio of operating expenses to average net assets | 0.87% 4,5 | 0.84% 4 | 0.85% 4 | 0.88% | 0.86% | 0.85% | |||||
Ratio of net investment income to average net assets | 0.49% 5 | 0.28% | 0.15% | 0.40% | 0.53% | 0.44% | |||||
Portfolio turnover rate6 | 40% 3 | 85% | 49% | 69% | 80% | 63% |
1 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
2 | Unaudited. |
3 | Not annualized. |
4 | The ratio of operating expenses excluding interest expense was 0.86% for the period ended April 30, 2023 and 0.84% and 0.85% for the years ended October 31, 2022 and 2021, respectively. |
5 | Annualized. |
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, 20231,2 | For The Year Ended October 31, | ||||||||||
2022 2 | 2021 2 | 2020 2 | 2019 2 | 2018 | |||||||
Net asset value, beginning of period | $ 27.95 | $ 40.64 | $ 32.02 | $ 33.09 | $ 32.53 | $ 31.55 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.09 | 0.15 | 0.12 | 0.19 | 0.21 | 0.21 | |||||
Net realized and unrealized gain (loss) on investments | 1.34 | (5.65) | 13.34 | 3.18 | 4.88 | 1.59 | |||||
Total from investment operations | 1.43 | (5.50) | 13.46 | 3.37 | 5.09 | 1.80 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.09) | (0.15) | (0.13) | (0.21) | (0.22) | (0.23) | |||||
Net realized capital gains | (1.93) | (7.04) | (4.71) | (4.23) | (4.31) | (0.59) | |||||
Total distributions | (2.02) | (7.19) | (4.84) | (4.44) | (4.53) | (0.82) | |||||
Net asset value, end of period | $ 27.36 | $ 27.95 | $ 40.64 | $ 32.02 | $ 33.09 | $ 32.53 | |||||
Total return | 5.47% 3 | (16.49)% | 46.47% | 10.89% | 18.74% | 5.74% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $916,556 | $955,360 | $581,255 | $543,675 | $1,250,995 | $746,030 | |||||
Ratio of operating expenses to average net assets | 0.67% 4,5 | 0.64% 4 | 0.65% 4 | 0.68% | 0.66% | 0.65% | |||||
Ratio of net investment income to average net assets | 0.69% 5 | 0.49% | 0.34% | 0.62% | 0.69% | 0.64% | |||||
Portfolio turnover rate6 | 40% 3 | 85% | 49% | 69% | 80% | 63% |
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 0.66% for the period ended April 30, 2023 and 0.64% and 0.65% for the years ended October 31, 2022 and 2021, respectively. |
5 | Annualized. |
6 | Portfolio turnover is calculated at the fund level. |
28 |
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||||||
For the Period Ended April 30, 20232,3 | For the Year Ended October 31, | For the Period November 13, 20171 through October 31, 2018 | |||||||||
2022 3 | 2021 3 | 2020 3 | 2019 3 | ||||||||
Net asset value, beginning of period | $12.37 | $13.05 | $ 9.03 | $ 10.29 | $ 9.82 | $10.00 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.12 | 0.21 | 0.18 | 0.20 | 0.21 | 0.14 | |||||
Net realized and unrealized gain (loss) on investments | (0.07) | (0.67) | 4.02 | (1.26) | 0.49 | (0.20) | |||||
Total from investment operations | 0.05 | (0.46) | 4.20 | (1.06) | 0.70 | (0.06) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.11) | (0.22) | (0.18) | (0.20) | (0.23) | (0.12) | |||||
Net realized capital gains | (0.49) | — | — | — | — | — | |||||
Total distributions | (0.60) | (0.22) | (0.18) | (0.20) | (0.23) | (0.12) | |||||
Net asset value, end of period | $11.82 | $12.37 | $13.05 | $ 9.03 | $10.29 | $ 9.82 | |||||
Total return4 | 0.39% 5 | (3.49)% | 46.66% | (10.19)% | 7.33% | (0.69)% 5 | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $1,671 | $1,665 | $2,487 | $ 1,588 | $2,040 | $1,092 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.89% 6 | 2.27% | 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% 7 | 0.85% | 0.85% | 0.89% | 1.00% 6 | |||||
Ratio of net investment income to average net assets | 1.92% 6 | 1.66% | 1.48% | 2.15% | 2.08% | 1.36% 6 | |||||
Portfolio turnover rate | 41% 5 | 76% | 68% | 95% | 77% | 61% 8 |
1 | Commencement of operations. |
2 | Unaudited. |
3 | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
4 | The Total Return reflects fee waivers and/or expense reimbursements in effect and would have been lower in their absence. |
5 | Not annualized. |
6 | Annualized. |
7 | The ratio of operating expenses excluding interest expense was 0.85% for the year ended October 31, 2022. |
8 | 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, 20232,3 | For the Year Ended October 31, | For the Period November 13, 20171 through October 31, 2018 | |||||||||
2022 3 | 2021 3 | 2020 3 | 2019 3 | ||||||||
Net asset value, beginning of period | $13.13 | $15.05 | $ 9.55 | $10.39 | $10.25 | $10.00 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.08 | 0.14 | 0.07 | 0.06 | 0.05 | 0.05 | |||||
Net realized and unrealized gain (loss) on investments | (0.52) | (0.57) | 5.50 | (0.82) | 0.17 | 0.24 | |||||
Total from investment operations | (0.44) | (0.43) | 5.57 | (0.76) | 0.22 | 0.29 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.06) | (0.15) | (0.07) | (0.08) | (0.08) | (0.04) | |||||
Net realized capital gains | (1.00) | (1.34) | — | — | — | — | |||||
Total distributions | (1.06) | (1.49) | (0.07) | (0.08) | (0.08) | (0.04) | |||||
Net asset value, end of period | $11.63 | $13.13 | $15.05 | $ 9.55 | $10.39 | $10.25 | |||||
Total return4 | (3.48)% 5 | (2.97)% | 58.45% | (7.37)% | 2.19% | 2.85% 5 | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $1,465 | $1,521 | $1,556 | $ 982 | $1,061 | $1,074 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 3.11% 6 | 3.49% | 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% | 0.85% | 0.90% | 1.00% 6 | |||||
Ratio of net investment income to average net assets | 1.23% 6 | 1.03% | 0.53% | 0.65% | 0.53% | 0.44% 6 | |||||
Portfolio turnover rate | 47% 5 | 94% | 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, 20231,2 | For the Year Ended October 31, | ||||||||||
2022 2 | 2021 2 | 2020 2 | 2019 2 | 2018 | |||||||
Net asset value, beginning of period | $ 12.27 | $ 15.54 | $ 12.05 | $ 13.97 | $ 13.26 | $ 15.16 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.17 | 0.42 | 0.36 | 0.26 | 0.39 | 0.29 | |||||
Net realized and unrealized gain (loss) on investments | 2.37 | (3.15) | 3.48 | (1.79) | 0.73 | (1.90) | |||||
Total from investment operations | 2.54 | (2.73) | 3.84 | (1.53) | 1.12 | (1.61) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.09) | (0.54) | (0.35) | (0.37) | (0.41) | (0.29) | |||||
Net return of capital | — | — | — | (0.02) | — | — | |||||
Total distributions | (0.09) | (0.54) | (0.35) | (0.39) | (0.41) | (0.29) | |||||
Net asset value, end of period | $ 14.72 | $ 12.27 | $ 15.54 | $ 12.05 | $ 13.97 | $ 13.26 | |||||
Total return3 | 20.76% 4 | (17.89)% | 31.96% | (11.10)% | 8.60% | (10.80)% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $24,099 | $22,939 | $41,069 | $53,302 | $205,629 | $387,188 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.34% 5 | 1.27% | 1.19% | 1.15% | 1.10% | 1.07% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 1.00% 5,6 | 1.00% 6 | 1.00% 6 | 1.00% | 1.00% | 1.00% | |||||
Ratio of net investment income to average net assets | 2.42% 5 | 2.93% | 2.40% | 1.99% | 2.90% | 1.90% | |||||
Portfolio turnover rate | 38% 4 | 91% | 79% | 76% | 93% | 78% |
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, 2023 and 1.00% and 1.00% for the years ended October 31, 2022 and 2021, respectively. |
31 |
Responsible ESG U.S. Equity Portfolio | |||||||||||
For the Period Ended April 30, 20231,2 | For the Year Ended October 31, | ||||||||||
2022 2 | 2021 2 | 2020 2 | 2019 2 | 2018 2 | |||||||
Net asset value, beginning of period | $ 16.10 | $ 20.71 | $ 14.26 | $ 14.34 | $ 14.12 | $ 13.61 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.10 | 0.18 | 0.14 | 0.15 | 0.16 | 0.11 | |||||
Net realized and unrealized gain (loss) on investments | 0.50 | (2.86) | 6.45 | (0.02) | 0.74 | 0.57 | |||||
Total from investment operations | 0.60 | (2.68) | 6.59 | 0.13 | 0.90 | 0.68 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.09) | (0.17) | (0.14) | (0.15) | (0.17) | (0.11) | |||||
Net realized capital gains | (1.06) | (1.76) | — | (0.06) | (0.51) | (0.06) | |||||
Total distributions | (1.15) | (1.93) | (0.14) | (0.21) | (0.68) | (0.17) | |||||
Net asset value, end of period | $ 15.55 | $ 16.10 | $ 20.71 | $ 14.26 | $ 14.34 | $ 14.12 | |||||
Total return3 | 3.87% 4 | (14.02)% | 46.31% | 0.87% | 6.78% | 5.01% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $23,152 | $23,923 | $32,861 | $22,342 | $23,231 | $21,746 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.23% 5 | 1.02% | 1.05% | 1.05% | 1.07% | 1.09% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% 5,6 | 0.85% 6 | 0.85% | 0.85% | 0.90% | 1.00% | |||||
Ratio of net investment income to average net assets | 1.22% 5 | 1.02% | 0.74% | 1.02% | 1.17% | 0.87% | |||||
Portfolio turnover rate | 47% 4 | 101% | 74% | 88% | 102% | 61% |
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 excluding interest expense was 0.85% for the period ended April 30, 2023 and 0.85% for the year ended October 31, 2022. |
32 |
Women in Leadership U.S. Equity Portfolio | |||||||||||
For the Period Ended April 30, 20231,2 | For the Year Ended October 31, | ||||||||||
2022 2 | 2021 2 | 2020 2 | 2019 2 | 2018 2 | |||||||
Net asset value, beginning of period | $ 13.70 | $ 19.27 | $ 13.52 | $ 13.98 | $ 13.34 | $ 13.10 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.09 | 0.19 | 0.18 | 0.16 | 0.15 | 0.12 | |||||
Net realized and unrealized gain (loss) on investments | 0.72 | (2.33) | 5.75 | (0.47) | 1.08 | 0.32 | |||||
Total from investment operations | 0.81 | (2.14) | 5.93 | (0.31) | 1.23 | 0.44 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.09) | (0.19) | (0.18) | (0.15) | (0.15) | (0.11) | |||||
Net realized capital gains | (0.28) | (3.24) | — | — | (0.44) | (0.09) | |||||
Total distributions | (0.37) | (3.43) | (0.18) | (0.15) | (0.59) | (0.20) | |||||
Net asset value, end of period | $ 14.14 | $ 13.70 | $ 19.27 | $ 13.52 | $ 13.98 | $ 13.34 | |||||
Total return3 | 6.05% 4 | (13.15)% | 43.94% | (2.15)% | 9.75% | 3.36% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $21,574 | $22,172 | $27,887 | $21,678 | $21,047 | $18,974 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.23% 5 | 1.05% | 1.04% | 1.08% | 1.11% | 1.11% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.85% 5 | 0.85% 6 | 0.85% 6 | 0.85% | 0.90% | 1.00% | |||||
Ratio of net investment income to average net assets | 1.31% 5 | 1.27% | 1.01% | 1.19% | 1.14% | 0.88% | |||||
Portfolio turnover rate | 40% 4 | 105% | 81% | 105% | 89% | 81% |
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% and 0.85% for the years ended October 31, 2022 and 2021, respectively. |
33 |
Quantitative U.S. Long/Short Equity Portfolio Advisor Shares | |||||||||||
For the Period Ended April 30, 20231,2 | For The Year Ended October 31, | ||||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 1 | |||||||
Net asset value, beginning of period | $ 14.06 | $ 12.93 | $ 11.05 | $ 11.90 | $ 12.55 | $ 12.86 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.14 | (0.03) | (0.10) | (0.07) | 0.11 | 0.03 | |||||
Net realized and unrealized gain (loss) on investments | (0.08) | 1.16 | 1.98 | (0.77) | (0.65) | (0.34) | |||||
Total from investment operations | 0.06 | 1.13 | 1.88 | (0.84) | (0.54) | (0.31) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.09) | — | — | — | (0.11) | — | |||||
Net return of capital | — | — | — | (0.01) | — | — | |||||
Total distributions | (0.09) | — | — | (0.01) | (0.11) | — | |||||
Net asset value, end of period | $ 14.03 | $ 14.06 | $ 12.93 | $ 11.05 | $ 11.90 | $ 12.55 | |||||
Total return3 | 0.50% 4 | 8.74% 5 | 17.01% | (7.07)% | (4.33)% | (2.41)% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $43,716 | $48,370 | $56,002 | $96,702 | $247,209 | $333,806 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 3.08% 6 | 2.76% | 2.88% | 2.99% | 2.78% | 2.61% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets7 | 2.57% 6 | 2.36% | 2.51% | 2.63% | 2.43% | 2.26% | |||||
Ratio of net investment income (loss) to average net assets | 2.05% 6 | (0.25)% | (0.78)% | (0.59)% | 0.91% | 0.24% | |||||
Portfolio turnover rate8,9 | 51% 4 | 118% | 115% | 133% | 108% | 84% |
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 | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions as shown in the management discussion and analysis and as otherwise reported to shareholders. |
6 | Annualized. |
7 | The ratio of operating expenses after waiver/reimbursement excluding interest expense, dividends on securities sold short and flex fees was 1.25% for the period ended April 30, 2023 and 1.25%, 1.25%, 1.25%, 1.21% and 1.15% for the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively. |
8 | Portfolio turnover is calculated at the fund level. |
9 | The calculation of the portfolio turnover rate reflects the absolute value of the long and short positions. |
34 |
Quantitative U.S. Long/Short Equity Portfolio Institutional Shares | |||||||||
For the Period Ended April 30, 20232,3 | For The Year Ended October 31, | For the Period September 13, 20191 through October 31, 20192 | |||||||
2022 2 | 2021 2 | 2020 2 | |||||||
Net asset value, beginning of period | $14.13 | $12.97 | $11.07 | $11.89 | $12.00 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.16 | — | (0.03) | (0.10) | 0.01 | ||||
Net realized and unrealized gain (loss) on investments | (0.08) | 1.16 | 1.93 | (0.71) | (0.08) | ||||
Total from investment operations | 0.08 | 1.16 | 1.90 | (0.81) | (0.07) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.10) | — | — | — | (0.04) | ||||
Net return of capital | — | — | — | (0.01) | — | ||||
Total distributions | (0.10) | — | — | (0.01) | (0.04) | ||||
Net asset value, end of period | $14.11 | $14.13 | $12.97 | $11.07 | $11.89 | ||||
Total return4 | 0.54% 5 | 8.94% 6 | 17.16% 6 | (6.78)% | (0.62)% 5 | ||||
Ratios to average net assets/ Supplemental data: | |||||||||
Net assets, at end of period (in 000s) | $8,271 | $8,571 | $7,255 | $ 311 | $ 16 | ||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.87% 7 | 2.57% | 3.88% | 2.59% | 2.36% 7 | ||||
Ratio of operating expenses after waiver/reimbursement to average net assets8 | 2.37% 7 | 2.17% | 3.52% | 2.23% | 2.01% 7 | ||||
Ratio of net investment income (loss) to average net assets | 2.26% 7 | (0.01)% | (0.27)% | (0.89)% | 0.36% 7 | ||||
Portfolio turnover rate9,10 | 51% 5 | 118% | 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 expense, dividends on securities sold short and flex fees was 1.05% for the period ended April 30, 2023 and 1.05%, 1.05% and 1.05% for the years ended October 31, 2022, 2021, 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, 20231,2 | For the Year Ended October 31, | ||||||||||
2022 2 | 2021 2 | 2020 2 | 2019 2 | 2018 | |||||||
Net asset value, beginning of period | $ 17.81 | $ 22.90 | $ 15.34 | $ 17.88 | $ 18.85 | $ 18.88 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.05 | 0.07 | 0.03 | 0.07 | 0.11 | 0.07 | |||||
Net realized and unrealized gain (loss) on investments | 0.11 | (1.57) | 9.45 | (1.52) | 0.49 | 0.51 | |||||
Total from investment operations | 0.16 | (1.50) | 9.48 | (1.45) | 0.60 | 0.58 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.04) | (0.08) | (0.03) | (0.11) | (0.11) | (0.06) | |||||
Net realized capital gains | — | (3.51) | (1.89) | (0.98) | (1.46) | (0.55) | |||||
Total distributions | (0.04) | (3.59) | (1.92) | (1.09) | (1.57) | (0.61) | |||||
Net asset value, end of period | $ 17.93 | $ 17.81 | $ 22.90 | $ 15.34 | $ 17.88 | $ 18.85 | |||||
Total return3 | 0.89% 4 | (7.76)% | 66.37% | (8.82)% | 4.11% | 3.01% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $41,679 | $43,836 | $35,961 | $28,447 | $67,923 | $90,610 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 2.50% 5 | 2.36% | 2.23% | 2.56% | 2.48% | 2.31% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets6 | 2.05% 5 | 1.99% | 1.83% | 2.06% | 2.07% | 1.96% | |||||
Ratio of net investment income to average net assets | 0.61% 5 | 0.39% | 0.15% | 0.45% | 0.60% | 0.37% | |||||
Portfolio turnover rate7 | 42% 4 | 95% | 71% | 98% | 92% | 82% |
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, 2023 and 1.25%, 1.25%, 1.25%, 1.25% and 1.25% for the years ended October 31, 2022, 2021, 2020, 2019 and 2018, 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, 20231,2 | For the Year Ended October 31, | ||||||||||
2022 2 | 2021 2 | 2020 2 | 2019 2 | 2018 | |||||||
Net asset value, beginning of period | $ 27.45 | $ 35.56 | $ 26.43 | $ 27.22 | $ 24.30 | $ 24.90 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.07 | 0.12 | 0.12 | 0.21 | 0.23 | 0.20 | |||||
Net realized and unrealized gain (loss) on investments | 2.39 | (4.56) | 10.73 | (0.25) | 3.22 | 1.07 | |||||
Total from investment operations | 2.46 | (4.44) | 10.85 | (0.04) | 3.45 | 1.27 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.08) | (0.12) | (0.13) | (0.22) | (0.23) | (0.20) | |||||
Net realized capital gains | (2.04) | (3.55) | (1.59) | (0.53) | (0.30) | (1.67) | |||||
Total distributions | (2.12) | (3.67) | (1.72) | (0.75) | (0.53) | (1.87) | |||||
Net asset value, end of period | $ 27.79 | $ 27.45 | $ 35.56 | $ 26.43 | $ 27.22 | $ 24.30 | |||||
Total return | 9.47% 3 | (13.95)% | 42.57% | (0.18)% | 14.51% | 5.14% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $183,958 | $191,646 | $268,648 | $219,447 | $269,033 | $226,032 | |||||
Ratio of operating expenses to average net assets | 0.87% 4,5 | 0.85% 4 | 0.85% | 0.86% | 0.84% | 0.83% | |||||
Ratio of net investment income to average net assets | 0.54% 5 | 0.39% | 0.38% | 0.79% | 0.89% | 0.79% | |||||
Portfolio turnover rate | 5% 3 | 20% | 14% | 19% | 19% | 6% |
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 0.87% for the period ended April 30, 2023 and 0.85% for the year ended October 31, 2022. |
5 | Annualized. |
37 |
Small Cap Equity Portfolio Advisor Shares | |||||||||||
For the Period Ended April 30, 20231,2 | For The Year Ended October 31, | ||||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 | |||||||
Net asset value, beginning of period | $ 33.04 | $ 37.06 | $ 23.23 | $ 23.66 | $ 28.82 | $ 32.13 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.14 | 0.12 | — | 0.02 | 0.05 | 0.02 | |||||
Net realized and unrealized gain (loss) on investments | 0.39 | (2.47) | 13.87 | (0.41) | (1.04) | (0.10) | |||||
Total from investment operations | 0.53 | (2.35) | 13.87 | (0.39) | (0.99) | (0.08) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.10) | (0.11) | (0.04) | (0.04) | (0.07) | (0.02) | |||||
Net realized capital gains | (3.55) | (1.56) | — | — | (4.09) | (3.21) | |||||
Net return of capital | — | — | — | (0.00) 3 | (0.01) | — | |||||
Total distributions | (3.65) | (1.67) | (0.04) | (0.04) | (4.17) | (3.23) | |||||
Net asset value, end of period | $ 29.92 | $ 33.04 | $ 37.06 | $ 23.23 | $ 23.66 | $ 28.82 | |||||
Total return | 1.88% 4 | (6.59)% | 59.75% | (1.63)% | (2.61)% | (0.58)% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $444,750 | $468,157 | $530,401 | $403,309 | $761,813 | $1,390,136 | |||||
Ratio of operating expenses to average net assets | 0.94% 5,6 | 0.93% 5 | 0.92% 5 | 0.94% | 0.93% | 0.90% | |||||
Ratio of net investment income to average net assets | 0.91% 6 | 0.35% | 0.01% | 0.11% | 0.21% | 0.07% | |||||
Portfolio turnover rate7 | 10% 4 | 28% | 41% | 36% | 54% | 44% |
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 | The ratio of operating expenses excluding interest expense was 0.94% for the period ended April 30, 2023 and 0.93% and 0.92% for the years ended October 31, 2022 and 2021, respectively. |
6 | Annualized. |
7 | Portfolio turnover is calculated at the fund level. |
38 |
Small Cap Equity Portfolio Institutional Shares | |||||||||||
For the Period Ended April 30, 20231,2 | For The Year Ended October 31, | ||||||||||
2022 2 | 2021 2 | 2020 2 | 2019 2 | 2018 | |||||||
Net asset value, beginning of period | $ 35.13 | $ 39.29 | $ 24.61 | $ 25.07 | $ 30.25 | $ 33.54 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.18 | 0.20 | 0.08 | 0.07 | 0.10 | 0.09 | |||||
Net realized and unrealized gain (loss) on investments | 0.42 | (2.62) | 14.68 | (0.44) | (1.06) | (0.10) | |||||
Total from investment operations | 0.60 | (2.42) | 14.76 | (0.37) | (0.96) | (0.01) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.14) | (0.18) | (0.08) | (0.09) | (0.12) | (0.07) | |||||
Net realized capital gains | (3.55) | (1.56) | — | — | (4.09) | (3.21) | |||||
Net return of capital | — | — | — | (0.00) 3 | (0.01) | — | |||||
Total distributions | (3.69) | (1.74) | (0.08) | (0.09) | (4.22) | (3.28) | |||||
Net asset value, end of period | $ 32.04 | $ 35.13 | $ 39.29 | $ 24.61 | $ 25.07 | $ 30.25 | |||||
Total return | 1.95% 4 | (6.39)% | 60.04% | (1.44)% | (2.38)% | (0.36)% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $565,602 | $642,649 | $944,442 | $836,015 | $1,279,693 | $2,131,461 | |||||
Ratio of operating expenses to average net assets | 0.74% 5,6 | 0.73% 5 | 0.72% 5 | 0.74% | 0.73% | 0.70% | |||||
Ratio of net investment income to average net assets | 1.12% 6 | 0.54% | 0.22% | 0.29% | 0.39% | 0.27% | |||||
Portfolio turnover rate7 | 10% 4 | 28% | 41% | 36% | 54% | 44% |
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 ratio of operating expenses excluding interest expense was 0.74% for the period ended April 30, 2023 and 0.73% and 0.72% for the years ended October 31, 2022 and 2021, respectively . |
6 | Annualized. |
7 | Portfolio turnover is calculated at the fund level. |
39 |
Equity Income Portfolio | |||||||||||
For the Period Ended April 30, 20231,2 | For the Year Ended October 31, | ||||||||||
2022 2 | 2021 2 | 2020 2 | 2019 2 | 2018 | |||||||
Net asset value, beginning of period | $ 14.58 | $ 15.92 | $ 11.88 | $ 12.22 | $ 11.15 | $ 11.06 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.12 | 0.23 | 0.22 | 0.26 | 0.25 | 0.22 | |||||
Net realized and unrealized gain (loss) on investments | 0.51 | (0.63) | 4.05 | (0.32) | 1.33 | 0.09 | |||||
Total from investment operations | 0.63 | (0.40) | 4.27 | (0.06) | 1.58 | 0.31 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.12) | (0.23) | (0.23) | (0.28) | (0.25) | (0.22) | |||||
Net realized capital gains | (0.42) | (0.71) | — | — | (0.26) | (0.00) 3 | |||||
Total distributions | (0.54) | (0.94) | (0.23) | (0.28) | (0.51) | (0.22) | |||||
Net asset value, end of period | $ 14.67 | $ 14.58 | $ 15.92 | $ 11.88 | $ 12.22 | $ 11.15 | |||||
Total return4 | 4.32% 5 | (2.70)% | 36.12% | (0.38)% | 14.69% | 2.79% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $20,733 | $21,902 | $22,296 | $18,560 | $23,900 | $18,536 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 1.01% 6 | 0.97% | 1.10% | 1.04% 7 | 1.01% | 1.11% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.86% 6,8 | 0.85% | 0.85% | 0.85% 7 | 0.85% | 0.85% | |||||
Ratio of net investment income to average net assets | 1.63% 6 | 1.57% | 1.53% | 2.21% 7 | 2.19% | 2.02% | |||||
Portfolio turnover rate | 14% 5 | 15% | 27% | 63% | 39% | 29% |
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 | 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 | This ratio does not include the expenses for any exchange-traded funds held in the Portfolio. |
8 | The ratio of operating expenses excluding interest expense was 0.85% for the period ended April 30, 2023. |
40 |
Secured Options Portfolio Advisor Shares | |||||||||||
For the Period Ended April 30, 20231,2 | For The Year Ended October 31, | ||||||||||
2022 2 | 2021 2 | 2020 2 | 2019 2 | 2018 | |||||||
Net asset value, beginning of period | $ 11.58 | $ 14.83 | $ 11.67 | $ 13.01 | $ 12.30 | $ 12.75 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | (0.01) | (0.07) | (0.11) | (0.07) | (0.04) | (0.06) | |||||
Net realized and unrealized gain (loss) on investments | 1.15 | (1.40) | 3.27 | (0.34) | 1.04 | 0.40 | |||||
Total from investment operations | 1.14 | (1.47) | 3.16 | (0.41) | 1.00 | 0.34 | |||||
Distributions to shareholders from: | |||||||||||
Net realized capital gains | — | (1.78) | — | (0.93) | (0.29) | (0.79) | |||||
Total distributions | — | (1.78) | — | (0.93) | (0.29) | (0.79) | |||||
Net asset value, end of period | $ 12.72 | $ 11.58 | $ 14.83 | $ 11.67 | $ 13.01 | $ 12.30 | |||||
Total return | 9.84% 3 | (11.29)% | 27.08% | (3.50)% | 8.43% | 2.81% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $58,969 | $70,447 | $90,143 | $95,701 | $268,478 | $445,946 | |||||
Ratio of operating expenses to average net assets4 | 0.87% 5,6 | 0.85% | 0.86% | 0.88% | 0.87% 6 | 0.84% | |||||
Ratio of net investment income (loss) to average net assets4 | (0.11)% 5 | (0.55)% | (0.77)% | (0.59)% | (0.34)% | (0.50)% | |||||
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 0.87% for the period ended April 30, 2023 and 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, 20231,2 | For The Year Ended October 31, | ||||||||||
2022 2 | 2021 2 | 2020 2 | 2019 2 | 2018 2 | |||||||
Net asset value, beginning of period | $ 11.74 | $ 14.99 | $ 11.77 | $ 13.09 | $ 12.34 | $ 12.77 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.01 | (0.04) | (0.08) | (0.05) | (0.02) | (0.04) | |||||
Net realized and unrealized gain (loss) on investments | 1.16 | (1.43) | 3.30 | (0.34) | 1.06 | 0.40 | |||||
Total from investment operations | 1.17 | (1.47) | 3.22 | (0.39) | 1.04 | 0.36 | |||||
Distributions to shareholders from: | |||||||||||
Net realized capital gains | — | (1.78) | — | (0.93) | (0.29) | (0.79) | |||||
Total distributions | — | (1.78) | — | (0.93) | (0.29) | (0.79) | |||||
Net asset value, end of period | $ 12.91 | $ 11.74 | $ 14.99 | $ 11.77 | $ 13.09 | $ 12.34 | |||||
Total return | 9.97% 3 | (11.16)% | 27.36% | (3.31)% | 8.73% | 2.97% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $460,039 | $431,137 | $341,245 | $354,674 | $409,829 | $396,523 | |||||
Ratio of operating expenses to average net assets4 | 0.67% 5,6 | 0.65% | 0.66% | 0.68% | 0.67% 6 | 0.64% | |||||
Ratio of net investment income (loss) to average net assets4 | 0.10% 5 | (0.32)% | (0.57)% | (0.44)% | (0.14)% | (0.30)% | |||||
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 0.67% for the period ended April 30,2023 and 0.66% 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. |
42 |
Global Secured Options Portfolio | |||||||||||
For the Period Ended April 30, 20231,2 | For the Year Ended October 31, | ||||||||||
2022 2 | 2021 2 | 2020 2,3 | 2019 2,3 | 2018 2,3 | |||||||
Net asset value, beginning of period | $ 4.25 | $ 5.64 | $ 4.84 | $ 4.90 | $104.10 | $105.80 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.01 | (0.02) | (0.05) | (0.04) | 0.02 | 0.10 | |||||
Net realized and unrealized gain (loss) on investments | 0.59 | (0.64) | 1.07 | (0.02) | (5.71) | (0.90) | |||||
Total from investment operations | 0.60 | (0.66) | 1.02 | (0.06) | (5.69) | (0.80) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | — | — | (0.00) 4 | (0.01) | (0.90) | |||||
Net realized capital gains | — | (0.73) | (0.22) | — | (93.50) | — | |||||
Total distributions | — | (0.73) | (0.22) | (0.00) 4 | (93.51) | (0.90) | |||||
Net asset value, end of period | $ 4.85 | $ 4.25 | $ 5.64 | $ 4.84 | $ 4.90 | $104.10 | |||||
Total return | 14.12% 5,6 | (13.35)% 6 | 21.59% 6 | (1.07)% 6 | 8.56% 6 | (0.76)% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $22,446 | $20,062 | $17,152 | $9,648 | $ 1,220 | $ 2,510 | |||||
Ratio of operating expenses to average net assets7 | —% | —% | —% | —% | —% | 1.17% 8 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets7 | 1.25% 9 | 1.22% | 1.30% | 2.13% | 9.76% | —% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets7 | 1.00% 8,9 | 1.00% 8 | 1.00% | 1.00% | 1.63% 8 | —% | |||||
Ratio of net investment income to average net assets7 | 0.26% 9 | (0.46)% | (0.96)% | (0.83)% | 0.32% | 0.08% | |||||
Portfolio turnover rate | 13% 5 | 152% | —% 10 | 995% | 685% | 224% |
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, 2023 and 1.00% for the year ended October 31, 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% for the years ended October 31, 2019 and 2018, respectively. |
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, 20231,2 | For the Year Ended October 31, | ||||||||||
2022 2 | 2021 2 | 2020 2 | 2019 2 | 2018 | |||||||
Net asset value, beginning of period | $ 9.16 | $ 11.11 | $ 11.71 | $ 11.31 | $ 10.49 | $ 11.04 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.11 | 0.18 | 0.14 | 0.21 | 0.25 | 0.25 | |||||
Net realized and unrealized gain (loss) on investments | 0.48 | (1.92) | (0.36) | 0.44 | 0.83 | (0.50) | |||||
Total from investment operations | 0.59 | (1.74) | (0.22) | 0.65 | 1.08 | (0.25) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.12) | (0.21) | (0.20) | (0.25) | (0.26) | (0.26) | |||||
Net realized capital gains | — | (0.00) 3 | (0.18) | — | — | (0.04) | |||||
Total distributions | (0.12) | (0.21) | (0.38) | (0.25) | (0.26) | (0.30) | |||||
Net asset value, end of period | $ 9.63 | $ 9.16 | $ 11.11 | $ 11.71 | $ 11.31 | $ 10.49 | |||||
Total return | 6.45% 4 | (15.80)% | (1.91)% | 5.82% | 10.46% | (2.32)% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $340,608 | $319,773 | $424,512 | $436,975 | $505,603 | $485,201 | |||||
Ratio of operating expenses to average net assets | 0.55% 5 | 0.54% | 0.54% | 0.54% | 0.53% | 0.52% | |||||
Ratio of net investment income to average net assets | 2.39% | 1.72% | 1.27% | 1.78% | 2.30% | 2.24% | |||||
Portfolio turnover rate | 7% 4 | 28% | 24% | 52% | 36% | 29% |
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, 20231,2 | For the Year Ended October 31, | ||||||||||
2022 1 | 2021 1 | 2020 1 | 2019 1 | 2018 | |||||||
Net asset value, beginning of period | $ 9.67 | $ 10.09 | $ 10.16 | $ 10.07 | $ 9.90 | $ 9.98 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.08 | 0.08 | 0.08 | 0.11 | 0.13 | 0.09 | |||||
Net realized and unrealized gain (loss) on investments | 0.15 | (0.42) | (0.06) | 0.09 | 0.17 | (0.08) | |||||
Total from investment operations | 0.23 | (0.34) | 0.02 | 0.20 | 0.30 | 0.01 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.08) | (0.08) | (0.09) | (0.11) | (0.13) | (0.09) | |||||
Total distributions | (0.08) | (0.08) | (0.09) | (0.11) | (0.13) | (0.09) | |||||
Net asset value, end of period | $ 9.82 | $ 9.67 | $ 10.09 | $ 10.16 | $ 10.07 | $ 9.90 | |||||
Total return3 | 2.35% 4 | (3.40)% | 0.15% | 1.96% | 3.03% | 0.10% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $43,017 | $56,963 | $56,284 | $53,525 | $50,939 | $26,294 | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | 0.67% 5 | 0.62% 6 | 0.64% 6 | 0.63% 6 | 0.66% 6 | 0.61% 6 | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets | 0.55% 5,7 | 0.55% 6,7 | 0.55% 6,7 | 0.55% 6 | 0.55% 6 | 0.55% 6 | |||||
Ratio of net investment income to average net assets | 1.57% 5 | 0.84% | 0.77% | 1.08% | 1.33% | 0.92% | |||||
Portfolio turnover rate | 25% 4 | 56% | 25% | 59% | 25% | 19% |
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 | This ratio does not include the expenses for any exchange-traded funds and registered investment companies held in the Portfolio. |
7 | The ratio of operating expenses after waiver/reimbursement excluding interest expense was 0.55% for the period ended April 30, 2023 and 0.55% and 0.55% for the years ended October 31, 2022 and 2021, respectively. |
45 |
High Yield Municipal Portfolio | |||||||||||
For the Period Ended April 30, 20231,2 | For the Year Ended October 31, | ||||||||||
2022 2 | 2021 2 | 2020 2 | 2019 2 | 2018 | |||||||
Net asset value, beginning of period | $ 8.94 | $ 11.09 | $ 10.65 | $ 10.84 | $ 10.16 | $ 10.35 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.16 | 0.28 | 0.27 | 0.30 | 0.31 | 0.30 | |||||
Net realized and unrealized gain (loss) on investments | 0.51 | (2.06) | 0.44 | (0.19) | 0.68 | (0.19) | |||||
Total from investment operations | 0.67 | (1.78) | 0.71 | 0.11 | 0.99 | 0.11 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.18) | (0.29) | (0.27) | (0.30) | (0.31) | (0.30) | |||||
Net realized capital gains | — | (0.08) | (0.00) 3 | — | — | — | |||||
Total distributions | (0.18) | (0.37) | (0.27) | (0.30) | (0.31) | (0.30) | |||||
Net asset value, end of period | $ 9.43 | $ 8.94 | $ 11.09 | $ 10.65 | $ 10.84 | $ 10.16 | |||||
Total return | 7.39% 4 | (16.42)% 5 | 6.68% 5 | 1.09% 5 | 9.90% 5 | 1.04% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $197,105 | $156,810 | $282,512 | $232,783 | $215,419 | $192,319 | |||||
Ratio of operating expenses to average net assets | 0.92% 6,7 | —% | —% | —% | —% | 0.99% | |||||
Ratio of operating expenses before waiver/reimbursement to average net assets | —% | 0.98% | 1.01% | 1.02% | 1.00% | —% | |||||
Ratio of operating expenses after waiver/reimbursement to average net assets | —% | 0.96% 8,9 | 1.00% | 1.00% | 1.00% | —% | |||||
Ratio of net investment income to average net assets | 3.47% 7 | 2.76% | 2.40% | 2.85% | 2.95% | 2.90% | |||||
Portfolio turnover rate | 6% 4 | 28% | 19% | 28% | 27% | 44% |
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 | The ratio of operating expenses excluding interest expense was 0.92% for the period ended April 30, 2023. |
7 | Annualized. |
8 | Effective May 9, 2022, the management fee payable to the Advisor was reduced from 0.65% to 0.57% of the Portfolio’s average daily net assets. See Note 3. |
9 | The ratio of operating expenses after waiver/reimbursement excluding interest expense was 0.95% for the year ended October 31, 2022. |
46 |
Shares | Value | ||
COMMON STOCKS* — 99.8% | |||
Air Freight & Logistics — 1.3% | |||
59,125 | United Parcel Service, Inc. Class B | $ 10,631,266 | |
Automobile Components — 1.3% | |||
220,826 | BorgWarner, Inc. | 10,628,355 | |
Automobiles — 1.2% | |||
204,406 | General Motors Co. | 6,753,574 | |
93,967 | Harley-Davidson, Inc. | 3,486,176 | |
10,239,750 | |||
Banks — 2.5% | |||
241,911 | Citizens Financial Group, Inc. | 7,484,726 | |
718,127 | Regions Financial Corp. | 13,112,999 | |
20,597,725 | |||
Beverages — 1.1% | |||
146,395 | Coca-Cola Co. | 9,391,239 | |
Biotechnology — 4.7% | |||
54,821 | Amgen, Inc. | 13,142,786 | |
35,134 | Biogen, Inc.1 | 10,688,817 | |
83,122 | Gilead Sciences, Inc. | 6,833,460 | |
23,114 | Vertex Pharmaceuticals, Inc.1 | 7,875,633 | |
38,540,696 | |||
Broadline Retail — 1.1% | |||
192,224 | eBay, Inc. | 8,924,960 | |
Building Products — 1.8% | |||
250,298 | Carrier Global Corp. | 10,467,462 | |
44,613 | Owens Corning | 4,765,115 | |
15,232,577 | |||
Capital Markets — 3.4% | |||
58,912 | CME Group, Inc. | 10,944,082 | |
48,605 | Evercore, Inc. Class A | 5,544,372 | |
54,115 | Northern Trust Corp. | 4,229,629 | |
97,086 | State Street Corp. | 7,015,434 | |
27,733,517 | |||
Chemicals — 0.5% | |||
44,983 | LyondellBasell Industries NV Class A | 4,255,842 | |
Commercial Services & Supplies — 0.6% | |||
31,435 | Clean Harbors, Inc.1 | 4,563,105 | |
Communications Equipment — 3.7% | |||
94,351 | Arista Networks, Inc.1 | 15,111,256 | |
240,792 | Cisco Systems, Inc. | 11,377,422 | |
137,770 | Juniper Networks, Inc. | 4,153,766 | |
30,642,444 | |||
Consumer Finance — 0.7% | |||
61,391 | Capital One Financial Corp. | 5,973,344 | |
Consumer Staples Distribution & Retail — 1.8% | |||
19,627 | Casey’s General Stores, Inc. | 4,491,050 | |
219,036 | Kroger Co. | 10,651,721 | |
15,142,771 | |||
Containers & Packaging — 0.7% | |||
220,163 | Graphic Packaging Holding Co. | 5,429,220 |
47 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Distributors — 2.5% | |||
75,699 | Genuine Parts Co. | $ 12,740,899 | |
133,041 | LKQ Corp. | 7,680,457 | |
20,421,356 | |||
Diversified Consumer Services — 0.7% | |||
82,486 | Service Corp. International | 5,789,692 | |
Diversified Telecommunication Services — 1.5% | |||
170,099 | AT&T, Inc. | 3,005,649 | |
252,120 | Verizon Communications, Inc. | 9,789,820 | |
12,795,469 | |||
Electric Utilities — 0.4% | |||
35,923 | American Electric Power Co., Inc. | 3,320,004 | |
Electrical Equipment — 0.9% | |||
51,285 | AMETEK, Inc. | 7,073,740 | |
Electronic Equipment, Instruments & Components — 1.3% | |||
70,917 | Jabil, Inc. | 5,542,164 | |
37,832 | Keysight Technologies, Inc.1 | 5,472,020 | |
11,014,184 | |||
Energy Equipment & Services — 1.1% | |||
322,277 | Baker Hughes Co. Class A | 9,423,379 | |
Financial Services — 3.5% | |||
286,907 | Equitable Holdings, Inc. | 7,456,713 | |
37,516 | Fiserv, Inc.1 | 4,581,454 | |
39,627 | FleetCor Technologies, Inc.1 | 8,477,008 | |
18,803 | Visa, Inc. Class A | 4,376,022 | |
387,720 | Western Union Co. | 4,237,780 | |
29,128,977 | |||
Food Products — 1.9% | |||
181,338 | General Mills, Inc. | 16,071,987 | |
Ground Transportation — 1.2% | |||
311,958 | CSX Corp. | 9,558,393 | |
Health Care Providers & Services — 6.3% | |||
64,060 | Centene Corp.1 | 4,415,656 | |
36,458 | Cigna Group | 9,234,447 | |
107,690 | CVS Health Corp. | 7,894,754 | |
28,142 | Elevance Health, Inc. | 13,188,748 | |
14,493 | Humana, Inc. | 7,688,391 | |
15,484 | McKesson Corp. | 5,639,892 | |
8,276 | UnitedHealth Group, Inc. | 4,072,537 | |
52,134,425 | |||
Hotels, Restaurants & Leisure — 1.1% | |||
3,422 | Booking Holdings, Inc.1 | 9,192,553 | |
Household Durables — 0.6% | |||
44,845 | Lennar Corp. Class A | 5,058,964 | |
Household Products — 1.2% | |||
62,296 | Procter & Gamble Co. | 9,741,848 | |
Independent Power & Renewable Electricity Producers — 1.3% | |||
278,124 | AES Corp. | 6,580,414 |
48 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Independent Power & Renewable Electricity Producers — (Continued) | |||
176,192 | Vistra Corp. | $ 4,203,941 | |
10,784,355 | |||
Insurance — 1.4% | |||
143,084 | American International Group, Inc. | 7,589,175 | |
95,760 | Unum Group | 4,041,072 | |
11,630,247 | |||
Interactive Media & Services — 1.9% | |||
91,600 | Alphabet, Inc. Class A1 | 9,832,344 | |
23,347 | Meta Platforms, Inc. Class A1 | 5,610,751 | |
15,443,095 | |||
IT Services — 2.8% | |||
108,888 | Akamai Technologies, Inc.1 | 8,925,549 | |
94,782 | Amdocs Ltd. | 8,648,858 | |
75,077 | Okta, Inc.1 | 5,145,027 | |
22,719,434 | |||
Life Sciences Tools & Services — 0.8% | |||
49,863 | Agilent Technologies, Inc. | 6,752,946 | |
Machinery — 2.8% | |||
61,544 | PACCAR, Inc. | 4,596,721 | |
40,487 | Parker-Hannifin Corp. | 13,153,417 | |
21,500 | Snap-on, Inc. | 5,577,315 | |
23,327,453 | |||
Media — 5.7% | |||
418,876 | Comcast Corp. Class A | 17,328,900 | |
187,273 | Fox Corp. Class A | 6,228,700 | |
239,549 | Interpublic Group of Cos., Inc. | 8,559,086 | |
169,383 | Omnicom Group, Inc. | 15,341,018 | |
47,457,704 | |||
Metals & Mining — 2.7% | |||
92,668 | Nucor Corp. | 13,731,544 | |
33,341 | Reliance Steel & Aluminum Co. | 8,261,900 | |
21,993,444 | |||
Multi-Utilities — 1.0% | |||
300,486 | NiSource, Inc. | 8,551,832 | |
Oil, Gas & Consumable Fuels — 3.9% | |||
38,576 | ConocoPhillips | 3,969,085 | |
126,966 | Marathon Petroleum Corp. | 15,489,852 | |
127,458 | Phillips 66 | 12,618,342 | |
32,077,279 | |||
Pharmaceuticals — 2.8% | |||
150,991 | Bristol-Myers Squibb Co. | 10,081,669 | |
77,428 | Merck & Co., Inc. | 8,940,611 | |
101,552 | Pfizer, Inc. | 3,949,358 | |
22,971,638 | |||
Real Estate Management & Development — 0.6% | |||
60,139 | CBRE Group, Inc. Class A1 | 4,610,256 | |
Semiconductors & Semiconductor Equipment — 5.3% | |||
49,035 | Advanced Micro Devices, Inc.1 | 4,382,258 |
49 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Semiconductors & Semiconductor Equipment — (Continued) | |||
82,114 | Cirrus Logic, Inc.1 | $ 7,044,560 | |
29,628 | KLA Corp. | 11,452,407 | |
216,439 | ON Semiconductor Corp.1 | 15,574,950 | |
62,109 | Qorvo, Inc.1 | 5,718,997 | |
44,173,172 | |||
Software — 6.8% | |||
33,375 | Adobe, Inc.1 | 12,601,065 | |
150,707 | DocuSign, Inc.1 | 7,450,954 | |
534,125 | Dropbox, Inc. Class A1 | 10,864,103 | |
218,385 | Fortinet, Inc.1 | 13,769,174 | |
30,984 | Synopsys, Inc.1 | 11,504,979 | |
56,190,275 | |||
Specialized REITs — 2.5% | |||
13,269 | Equinix, Inc. | 9,607,818 | |
36,452 | Public Storage | 10,747,143 | |
20,354,961 | |||
Specialty Retail — 1.7% | |||
25,715 | Ulta Beauty, Inc.1 | 14,180,022 | |
Technology Hardware, Storage & Peripherals — 3.1% | |||
817,855 | Hewlett Packard Enterprise Co. | 11,711,684 | |
224,602 | HP, Inc. | 6,672,925 | |
316,854 | Pure Storage, Inc. Class A1 | 7,233,777 | |
25,618,386 | |||
Textiles, Apparel & Luxury Goods — 0.8% | |||
163,331 | Tapestry, Inc. | 6,665,538 | |
Tobacco — 1.3% | |||
91,478 | Altria Group, Inc. | 4,346,120 | |
65,571 | Philip Morris International, Inc. | 6,555,133 | |
10,901,253 | |||
TOTAL COMMON STOCKS (Cost $677,183,722) | 825,055,072 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.2% | |||
$1,523,744 | With Fixed Income Clearing Corp., dated 4/28/23, 1.44%, principal and interest in the amount of $1,523,927, due 5/1/23, (collateralized by a U.S. Treasury Note with a par value of $1,555,900, coupon rate of 4.375%, due 10/31/2024, market value of $1,554,259) | 1,523,744 | |
TOTAL REPURCHASE AGREEMENT (Cost $1,523,744) | 1,523,744 | ||
TOTAL INVESTMENTS (Cost $678,707,466) | 100.0% | $826,578,816 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.0) | (350,806) | |
NET ASSETS | 100.0% | $826,228,010 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
50 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 6.8% | $ 56,190,275 | |
Health Care Providers & Services | 6.3 | 52,134,425 | |
Media | 5.7 | 47,457,704 | |
Semiconductors & Semiconductor Equipment | 5.3 | 44,173,172 | |
Biotechnology | 4.7 | 38,540,696 | |
Oil, Gas & Consumable Fuels | 3.9 | 32,077,279 | |
Communications Equipment | 3.7 | 30,642,444 | |
Financial Services | 3.5 | 29,128,977 | |
Capital Markets | 3.4 | 27,733,517 | |
Technology Hardware, Storage & Peripherals | 3.1 | 25,618,386 | |
Machinery | 2.8 | 23,327,453 | |
Pharmaceuticals | 2.8 | 22,971,638 | |
IT Services | 2.8 | 22,719,434 | |
Metals & Mining | 2.7 | 21,993,444 | |
Banks | 2.5 | 20,597,725 | |
Distributors | 2.5 | 20,421,356 | |
Specialized REITs | 2.5 | 20,354,961 | |
Food Products | 1.9 | 16,071,987 | |
Interactive Media & Services | 1.9 | 15,443,095 | |
Building Products | 1.8 | 15,232,577 | |
Consumer Staples Distribution & Retail | 1.8 | 15,142,771 | |
Specialty Retail | 1.7 | 14,180,022 | |
Diversified Telecommunication Services | 1.5 | 12,795,469 | |
Insurance | 1.4 | 11,630,247 | |
Electronic Equipment, Instruments & Components | 1.3 | 11,014,184 | |
Tobacco | 1.3 | 10,901,253 | |
Independent Power & Renewable Electricity Producers | 1.3 | 10,784,355 | |
Air Freight & Logistics | 1.3 | 10,631,266 | |
Automobile Components | 1.3 | 10,628,355 | |
Automobiles | 1.2 | 10,239,750 | |
Household Products | 1.2 | 9,741,848 | |
Ground Transportation | 1.2 | 9,558,393 | |
Energy Equipment & Services | 1.1 | 9,423,379 | |
Beverages | 1.1 | 9,391,239 | |
Hotels, Restaurants & Leisure | 1.1 | 9,192,553 | |
Broadline Retail | 1.1 | 8,924,960 | |
Multi-Utilities | 1.0 | 8,551,832 | |
Electrical Equipment | 0.9 | 7,073,740 | |
Life Sciences Tools & Services | 0.8 | 6,752,946 | |
Textiles, Apparel & Luxury Goods | 0.8 | 6,665,538 | |
Consumer Finance | 0.7 | 5,973,344 | |
Diversified Consumer Services | 0.7 | 5,789,692 | |
Containers & Packaging | 0.7 | 5,429,220 | |
Household Durables | 0.6 | 5,058,964 | |
Real Estate Management & Development | 0.6 | 4,610,256 | |
Commercial Services & Supplies | 0.6 | 4,563,105 | |
Chemicals | 0.5 | 4,255,842 | |
Electric Utilities | 0.4 | 3,320,004 | |
TOTAL COMMON STOCKS | 99.8% | $825,055,072 | |
REPURCHASE AGREEMENT | 0.2 | 1,523,744 | |
TOTAL INVESTMENTS | 100.0% | $826,578,816 |
51 |
Shares | Value | ||
COMMON STOCKS* — 99.9% | |||
Air Freight & Logistics — 1.9% | |||
343,663 | Expeditors International of Washington, Inc. | $ 39,122,596 | |
Beverages — 2.2% | |||
702,765 | Coca-Cola Co. | 45,082,375 | |
Biotechnology — 6.0% | |||
79,627 | Amgen, Inc. | 19,089,777 | |
72,589 | Regeneron Pharmaceuticals, Inc.1 | 58,201,134 | |
136,576 | Vertex Pharmaceuticals, Inc.1 | 46,535,541 | |
123,826,452 | |||
Building Products — 1.3% | |||
139,872 | Trane Technologies PLC | 25,989,616 | |
Capital Markets — 1.1% | |||
99,989 | Intercontinental Exchange, Inc. | 10,891,802 | |
138,782 | Raymond James Financial, Inc. | 12,563,934 | |
23,455,736 | |||
Chemicals — 1.7% | |||
128,259 | CF Industries Holdings, Inc. | 9,180,779 | |
611,028 | Mosaic Co. | 26,182,550 | |
35,363,329 | |||
Communications Equipment — 3.0% | |||
386,900 | Arista Networks, Inc.1 | 61,965,904 | |
Consumer Staples Distribution & Retail — 1.6% | |||
283,905 | BJ’s Wholesale Club Holdings, Inc.1 | 21,681,825 | |
48,715 | Dollar General Corp. | 10,788,424 | |
32,470,249 | |||
Containers & Packaging — 0.5% | |||
421,869 | Graphic Packaging Holding Co. | 10,403,290 | |
Distributors — 2.2% | |||
267,408 | Genuine Parts Co. | 45,007,441 | |
Electronic Equipment, Instruments & Components — 9.9% | |||
728,761 | Amphenol Corp. Class A | 54,999,593 | |
176,250 | Arrow Electronics, Inc.1 | 20,168,287 | |
299,147 | CDW Corp. | 50,732,340 | |
513,121 | Jabil, Inc. | 40,100,406 | |
266,486 | Keysight Technologies, Inc.1 | 38,544,535 | |
204,545,161 | |||
Entertainment — 2.7% | |||
4,043,363 | Warner Bros Discovery, Inc.1 | 55,030,170 | |
Financial Services — 3.8% | |||
424,893 | PayPal Holdings, Inc.1 | 32,291,868 | |
204,067 | Visa, Inc. Class A | 47,492,513 | |
79,784,381 | |||
Food Products — 1.0% | |||
311,429 | Kellogg Co. | 21,728,401 | |
Ground Transportation — 1.1% | |||
774,243 | CSX Corp. | 23,722,806 | |
Health Care Equipment & Supplies — 1.2% | |||
223,911 | Abbott Laboratories | 24,735,448 |
52 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Health Care Providers & Services — 4.1% | |||
39,176 | Elevance Health, Inc. | $ 18,359,832 | |
38,804 | Humana, Inc. | 20,585,134 | |
95,438 | UnitedHealth Group, Inc. | 46,964,086 | |
85,909,052 | |||
Hotels, Restaurants & Leisure — 1.9% | |||
224,959 | Airbnb, Inc. Class A1 | 26,920,844 | |
141,022 | Expedia Group, Inc.1 | 13,250,427 | |
40,171,271 | |||
Household Durables — 1.7% | |||
319,651 | Lennar Corp. Class A | 36,059,829 | |
Household Products — 2.9% | |||
146,588 | Colgate-Palmolive Co. | 11,697,722 | |
311,442 | Procter & Gamble Co. | 48,703,300 | |
60,401,022 | |||
Insurance — 0.7% | |||
77,763 | Marsh & McLennan Cos., Inc. | 14,012,115 | |
Interactive Media & Services — 5.0% | |||
447,682 | Alphabet, Inc. Class A1 | 48,054,186 | |
147,441 | Meta Platforms, Inc. Class A1 | 35,433,021 | |
866,964 | Pinterest, Inc. Class A1 | 19,940,172 | |
103,427,379 | |||
IT Services — 6.2% | |||
160,078 | Accenture PLC Class A | 44,868,262 | |
134,224 | Gartner, Inc.1 | 40,597,391 | |
295,872 | Snowflake, Inc. Class A1 | 43,812,726 | |
129,278,379 | |||
Life Sciences Tools & Services — 0.6% | |||
95,098 | Agilent Technologies, Inc. | 12,879,122 | |
Machinery — 2.6% | |||
86,297 | Lincoln Electric Holdings, Inc.2 | 14,480,637 | |
122,656 | Parker-Hannifin Corp. | 39,848,481 | |
54,329,118 | |||
Media — 1.0% | |||
119,854 | Nexstar Media Group, Inc. | 20,788,676 | |
Oil, Gas & Consumable Fuels — 2.1% | |||
1,678,174 | Coterra Energy, Inc. | 42,961,254 | |
Pharmaceuticals — 0.6% | |||
101,173 | Merck & Co., Inc. | 11,682,446 | |
Professional Services — 2.0% | |||
95,058 | Automatic Data Processing, Inc. | 20,912,760 | |
187,502 | Paychex, Inc. | 20,598,970 | |
41,511,730 | |||
Semiconductors & Semiconductor Equipment — 7.3% | |||
130,138 | KLA Corp. | 50,303,543 | |
323,186 | Lattice Semiconductor Corp.1 | 25,757,924 | |
64,687 | Monolithic Power Systems, Inc. | 29,883,454 | |
640,367 | ON Semiconductor Corp.1 | 46,080,809 | |
152,025,730 |
53 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Software — 11.6% | |||
295,468 | Cadence Design Systems, Inc.1 | $ 61,885,773 | |
371,435 | DocuSign, Inc.1 | 18,363,746 | |
511,882 | Fortinet, Inc.1 | 32,274,160 | |
182,355 | Microsoft Corp. | 56,030,397 | |
166,096 | Synopsys, Inc.1 | 61,674,767 | |
152,089 | Zoom Video Communications, Inc. Class A1 | 9,342,827 | |
239,571,670 | |||
Specialized REITs — 1.1% | |||
63,325 | American Tower Corp. | 12,942,997 | |
34,023 | Public Storage | 10,031,001 | |
22,973,998 | |||
Specialty Retail — 6.2% | |||
211,978 | Lowe’s Cos., Inc. | 44,055,388 | |
538,624 | TJX Cos., Inc. | 42,454,343 | |
75,574 | Ulta Beauty, Inc.1 | 41,673,771 | |
128,183,502 | |||
Technology Hardware, Storage & Peripherals — 0.4% | |||
389,415 | Pure Storage, Inc. Class A1 | 8,890,345 | |
Textiles, Apparel & Luxury Goods — 0.7% | |||
345,800 | Tapestry, Inc. | 14,112,098 | |
TOTAL COMMON STOCKS (Cost $1,612,798,065) | 2,071,402,091 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.2% | |||
$5,003,702 | With Fixed Income Clearing Corp., dated 4/28/23, 1.44%, principal and interest in the amount of $5,004,302, due 5/1/23, (collateralized by a U.S. Treasury Note with a par value of $5,109,200, coupon rate of 4.375%, due 10/31/2024, market value of $5,103,811) | 5,003,702 | |
TOTAL REPURCHASE AGREEMENT (Cost $5,003,702) | 5,003,702 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 0.1% | |||
983,263 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 983,263 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $983,263) | 983,263 | ||
TOTAL INVESTMENTS (Cost $1,618,785,030) | 100.2% | $2,077,389,056 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.2) | (4,520,268) | |
NET ASSETS | 100.0% | $2,072,868,788 |
* | 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. |
54 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 11.6% | $ 239,571,670 | |
Electronic Equipment, Instruments & Components | 9.9 | 204,545,161 | |
Semiconductors & Semiconductor Equipment | 7.3 | 152,025,730 | |
IT Services | 6.2 | 129,278,379 | |
Specialty Retail | 6.2 | 128,183,502 | |
Biotechnology | 6.0 | 123,826,452 | |
Interactive Media & Services | 5.0 | 103,427,379 | |
Health Care Providers & Services | 4.1 | 85,909,052 | |
Financial Services | 3.8 | 79,784,381 | |
Communications Equipment | 3.0 | 61,965,904 | |
Household Products | 2.9 | 60,401,022 | |
Entertainment | 2.7 | 55,030,170 | |
Machinery | 2.6 | 54,329,118 | |
Beverages | 2.2 | 45,082,375 | |
Distributors | 2.2 | 45,007,441 | |
Oil, Gas & Consumable Fuels | 2.1 | 42,961,254 | |
Professional Services | 2.0 | 41,511,730 | |
Hotels, Restaurants & Leisure | 1.9 | 40,171,271 | |
Air Freight & Logistics | 1.9 | 39,122,596 | |
Household Durables | 1.7 | 36,059,829 | |
Chemicals | 1.7 | 35,363,329 | |
Consumer Staples Distribution & Retail | 1.6 | 32,470,249 | |
Building Products | 1.3 | 25,989,616 | |
Health Care Equipment & Supplies | 1.2 | 24,735,448 | |
Ground Transportation | 1.1 | 23,722,806 | |
Capital Markets | 1.1 | 23,455,736 | |
Specialized REITs | 1.1 | 22,973,998 | |
Food Products | 1.0 | 21,728,401 | |
Media | 1.0 | 20,788,676 | |
Textiles, Apparel & Luxury Goods | 0.7 | 14,112,098 | |
Insurance | 0.7 | 14,012,115 | |
Life Sciences Tools & Services | 0.6 | 12,879,122 | |
Pharmaceuticals | 0.6 | 11,682,446 | |
Containers & Packaging | 0.5 | 10,403,290 | |
Technology Hardware, Storage & Peripherals | 0.4 | 8,890,345 | |
TOTAL COMMON STOCKS | 99.9% | $2,071,402,091 | |
REPURCHASE AGREEMENT | 0.2 | 5,003,702 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 0.1 | 983,263 | |
TOTAL INVESTMENTS | 100.2% | $2,077,389,056 |
55 |
Shares | Value | ||
COMMON STOCKS* — 99.6% | |||
Aerospace & Defense — 2.0% | |||
155 | General Dynamics Corp. | $ 33,843 | |
Air Freight & Logistics — 0.5% | |||
77 | Expeditors International of Washington, Inc. | 8,766 | |
Automobile Components — 1.3% | |||
439 | BorgWarner, Inc. | 21,129 | |
Automobiles — 0.4% | |||
530 | Ford Motor Co. | 6,296 | |
Banks — 5.6% | |||
864 | Citizens Financial Group, Inc. | 26,732 | |
205 | Comerica, Inc. | 8,891 | |
257 | Fifth Third Bancorp | 6,733 | |
1,828 | Regions Financial Corp. | 33,379 | |
278 | Synovus Financial Corp. | 8,563 | |
222 | Wells Fargo & Co. | 8,825 | |
93,123 | |||
Biotechnology — 4.2% | |||
531 | Gilead Sciences, Inc. | 43,653 | |
35 | United Therapeutics Corp.1 | 8,055 | |
56 | Vertex Pharmaceuticals, Inc.1 | 19,081 | |
70,789 | |||
Broadline Retail — 1.4% | |||
201 | eBay, Inc. | 9,333 | |
877 | Macy’s, Inc. | 14,330 | |
23,663 | |||
Building Products — 1.8% | |||
431 | Carrier Global Corp. | 18,024 | |
117 | Owens Corning | 12,497 | |
30,521 | |||
Capital Markets — 3.4% | |||
204 | CME Group, Inc. | 37,897 | |
153 | Nasdaq, Inc. | 8,472 | |
155 | State Street Corp. | 11,200 | |
57,569 | |||
Chemicals — 2.0% | |||
274 | Dow, Inc. | 14,906 | |
107 | LyondellBasell Industries NV Class A | 10,123 | |
156 | Olin Corp. | 8,642 | |
33,671 | |||
Communications Equipment — 1.1% | |||
370 | Cisco Systems, Inc. | 17,483 | |
Consumer Finance — 3.7% | |||
336 | Ally Financial, Inc. | 8,864 | |
230 | Capital One Financial Corp. | 22,379 | |
1,031 | Synchrony Financial | 30,425 | |
61,668 | |||
Consumer Staples Distribution & Retail — 2.2% | |||
759 | Kroger Co. | 36,910 |
56 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Distributors — 0.6% | |||
166 | LKQ Corp. | $ 9,583 | |
Diversified Consumer Services — 1.1% | |||
253 | Service Corp. International | 17,758 | |
Electric Utilities — 2.5% | |||
269 | American Electric Power Co., Inc. | 24,861 | |
117 | Eversource Energy | 9,080 | |
242 | NRG Energy, Inc. | 8,269 | |
42,210 | |||
Financial Services — 3.1% | |||
1,290 | MGIC Investment Corp. | 19,182 | |
250 | Voya Financial, Inc. | 19,120 | |
1,214 | Western Union Co. | 13,269 | |
51,571 | |||
Food Products — 3.8% | |||
371 | Archer-Daniels-Midland Co. | 28,968 | |
261 | General Mills, Inc. | 23,132 | |
269 | Kraft Heinz Co. | 10,564 | |
62,664 | |||
Gas Utilities — 0.9% | |||
443 | UGI Corp. | 15,009 | |
Ground Transportation — 2.1% | |||
1,131 | CSX Corp. | 34,654 | |
Health Care Providers & Services — 6.3% | |||
149 | Centene Corp.1 | 10,271 | |
75 | Cigna Group | 18,997 | |
414 | CVS Health Corp. | 30,350 | |
67 | Elevance Health, Inc. | 31,399 | |
41 | McKesson Corp. | 14,934 | |
105,951 | |||
Hotels, Restaurants & Leisure — 0.5% | |||
127 | Wyndham Hotels & Resorts, Inc. | 8,664 | |
Household Products — 2.3% | |||
248 | Procter & Gamble Co. | 38,782 | |
Independent Power & Renewable Electricity Producer — 1.3% | |||
931 | AES Corp. | 22,027 | |
Insurance — 2.4% | |||
579 | American International Group, Inc. | 30,710 | |
215 | Unum Group | 9,073 | |
39,783 | |||
Interactive Media & Services — 2.6% | |||
188 | Alphabet, Inc. Class A1 | 20,180 | |
100 | Meta Platforms, Inc. Class A1 | 24,032 | |
44,212 | |||
IT Services — 1.7% | |||
194 | Akamai Technologies, Inc.1 | 15,902 | |
144 | Amdocs Ltd. | 13,140 | |
29,042 |
57 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Machinery — 3.5% | |||
196 | PACCAR, Inc. | $ 14,639 | |
72 | Parker-Hannifin Corp. | 23,392 | |
81 | Snap-on, Inc. | 21,012 | |
59,043 | |||
Media — 6.2% | |||
1,039 | Comcast Corp. Class A | 42,984 | |
255 | Fox Corp. Class A | 8,481 | |
818 | Interpublic Group of Cos., Inc. | 29,227 | |
248 | Omnicom Group, Inc. | 22,461 | |
103,153 | |||
Metals & Mining — 3.3% | |||
229 | Nucor Corp. | 33,933 | |
86 | Reliance Steel & Aluminum Co. | 21,311 | |
55,244 | |||
Multi-Utilities — 0.9% | |||
511 | NiSource, Inc. | 14,543 | |
Oil, Gas & Consumable Fuels — 8.3% | |||
359 | ConocoPhillips | 36,938 | |
365 | Marathon Petroleum Corp. | 44,530 | |
330 | Phillips 66 | 32,670 | |
217 | Valero Energy Corp. | 24,883 | |
139,021 | |||
Pharmaceuticals — 5.9% | |||
562 | Bristol-Myers Squibb Co. | 37,525 | |
243 | Merck & Co., Inc. | 28,059 | |
867 | Pfizer, Inc. | 33,718 | |
99,302 | |||
Professional Services — 0.6% | |||
99 | Leidos Holdings, Inc. | 9,233 | |
Real Estate Management & Development — 1.1% | |||
239 | CBRE Group, Inc. Class A1 | 18,322 | |
Retail REITs — 0.7% | |||
189 | Realty Income Corp. | 11,877 | |
Semiconductors & Semiconductor Equipment — 2.2% | |||
243 | ON Semiconductor Corp.1 | 17,486 | |
200 | Qorvo, Inc.1 | 18,416 | |
35,902 | |||
Software — 0.4% | |||
101 | Zoom Video Communications, Inc. Class A1 | 6,204 | |
Specialized REITs — 2.7% | |||
320 | CubeSmart | 14,557 | |
25 | Equinix, Inc. | 18,102 | |
42 | Public Storage | 12,383 | |
45,042 | |||
Technology Hardware, Storage & Peripherals — 1.5% | |||
1,688 | Hewlett Packard Enterprise Co. | 24,172 | |
Textiles, Apparel & Luxury Goods — 1.0% | |||
403 | Tapestry, Inc. | 16,446 |
58 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Tobacco — 0.5% | |||
187 | Altria Group, Inc. | $ 8,884 | |
TOTAL COMMON STOCKS (Cost $1,405,779) | 1,663,729 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.9% | |||
$15,044 | With Fixed Income Clearing Corp., dated 4/28/23, 1.44%, principal and interest in the amount of $15,046, due 5/1/23, (collateralized by a U.S. Treasury Note with a par value of $15,400, coupon rate of 4.375%, due 10/31/2024, market value of $15,384) | 15,044 | |
TOTAL REPURCHASE AGREEMENT (Cost $15,044) | 15,044 | ||
TOTAL INVESTMENTS (Cost $1,420,823) | 100.5% | $1,678,773 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.5) | (7,848) | |
NET ASSETS | 100.0% | $1,670,925 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
59 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Oil, Gas & Consumable Fuels | 8.3% | $ 139,021 | |
Health Care Providers & Services | 6.3 | 105,951 | |
Media | 6.2 | 103,153 | |
Pharmaceuticals | 5.9 | 99,302 | |
Banks | 5.6 | 93,123 | |
Biotechnology | 4.2 | 70,789 | |
Food Products | 3.8 | 62,664 | |
Consumer Finance | 3.7 | 61,668 | |
Machinery | 3.5 | 59,043 | |
Capital Markets | 3.4 | 57,569 | |
Metals & Mining | 3.3 | 55,244 | |
Financial Services | 3.1 | 51,571 | |
Specialized REITs | 2.7 | 45,042 | |
Interactive Media & Services | 2.6 | 44,212 | |
Electric Utilities | 2.5 | 42,210 | |
Insurance | 2.4 | 39,783 | |
Household Products | 2.3 | 38,782 | |
Consumer Staples Distribution & Retail | 2.2 | 36,910 | |
Semiconductors & Semiconductor Equipment | 2.2 | 35,902 | |
Ground Transportation | 2.1 | 34,654 | |
Aerospace & Defense | 2.0 | 33,843 | |
Chemicals | 2.0 | 33,671 | |
Building Products | 1.8 | 30,521 | |
IT Services | 1.7 | 29,042 | |
Technology Hardware, Storage & Peripherals | 1.5 | 24,172 | |
Broadline Retail | 1.4 | 23,663 | |
Independent Power & Renewable Electricity Producer | 1.3 | 22,027 | |
Automobile Components | 1.3 | 21,129 | |
Real Estate Management & Development | 1.1 | 18,322 | |
Diversified Consumer Services | 1.1 | 17,758 | |
Communications Equipment | 1.1 | 17,483 | |
Textiles, Apparel & Luxury Goods | 1.0 | 16,446 | |
Gas Utilities | 0.9 | 15,009 | |
Multi-Utilities | 0.9 | 14,543 | |
Retail REITs | 0.7 | 11,877 | |
Distributors | 0.6 | 9,583 | |
Professional Services | 0.6 | 9,233 | |
Tobacco | 0.5 | 8,884 | |
Air Freight & Logistics | 0.5 | 8,766 | |
Hotels, Restaurants & Leisure | 0.5 | 8,664 | |
Automobiles | 0.4 | 6,296 | |
Software | 0.4 | 6,204 | |
TOTAL COMMON STOCKS | 99.6% | $1,663,729 | |
REPURCHASE AGREEMENT | 0.9 | 15,044 | |
TOTAL INVESTMENTS | 100.5% | $1,678,773 |
60 |
Shares | Value | ||
COMMON STOCKS* — 99.9% | |||
Aerospace & Defense — 0.9% | |||
145 | Moog, Inc. Class A | $ 13,066 | |
Automobile Components — 1.7% | |||
598 | Modine Manufacturing Co.1 | 12,504 | |
5,397 | Solid Power, Inc.1,2 | 12,251 | |
24,755 | |||
Banks — 7.1% | |||
583 | Associated Banc-Corp. | 10,395 | |
285 | Cathay General Bancorp | 9,083 | |
519 | Central Pacific Financial Corp. | 8,242 | |
518 | First Financial Bancorp | 10,723 | |
211 | First Financial Corp. | 7,290 | |
334 | Hanmi Financial Corp. | 5,397 | |
260 | Heartland Financial USA, Inc. | 8,466 | |
576 | Provident Financial Services, Inc. | 10,068 | |
420 | S&T Bancorp, Inc. | 11,562 | |
206 | UMB Financial Corp. | 13,104 | |
373 | Washington Federal, Inc. | 10,459 | |
104,789 | |||
Biotechnology — 5.9% | |||
3,014 | Atara Biotherapeutics, Inc.1 | 8,168 | |
1,397 | CareDx, Inc.1 | 11,302 | |
271 | Eagle Pharmaceuticals, Inc.1 | 7,610 | |
593 | iTeos Therapeutics, Inc.1 | 8,148 | |
2,226 | Karyopharm Therapeutics, Inc.1 | 7,969 | |
2,228 | Sutro Biopharma, Inc.1 | 9,491 | |
666 | Twist Bioscience Corp.1 | 8,312 | |
664 | uniQure NV1 | 12,888 | |
467 | Xencor, Inc.1 | 12,347 | |
86,235 | |||
Building Products — 1.1% | |||
337 | Quanex Building Products Corp. | 6,437 | |
504 | Resideo Technologies, Inc.1 | 8,971 | |
15,408 | |||
Commercial Services & Supplies — 1.6% | |||
128 | ABM Industries, Inc. | 5,450 | |
859 | GEO Group, Inc.1 | 6,469 | |
1,550 | Interface, Inc. | 12,152 | |
24,071 | |||
Communications Equipment — 2.2% | |||
181 | Digi International, Inc.1 | 5,459 | |
1,347 | Harmonic, Inc.1 | 18,979 | |
281 | NetScout Systems, Inc.1 | 7,646 | |
32,084 | |||
Construction & Engineering — 2.3% | |||
135 | Comfort Systems USA, Inc. | 20,181 | |
370 | Sterling Infrastructure, Inc.1 | 13,661 | |
33,842 | |||
Consumer Finance — 1.0% | |||
1,789 | EZCORP, Inc. Class A1 | 15,403 | |
Consumer Staples Distribution & Retail — 1.6% | |||
146 | Andersons, Inc. | 6,526 |
61 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Consumer Staples Distribution & Retail — (Continued) | |||
483 | Sprouts Farmers Market, Inc.1 | $ 16,741 | |
23,267 | |||
Diversified Consumer Services — 1.7% | |||
520 | Chegg, Inc.1 | 9,350 | |
375 | Stride, Inc.1 | 16,110 | |
25,460 | |||
Diversified Telecommunication Services — 1.2% | |||
570 | Bandwidth, Inc. Class A1 | 6,937 | |
883 | Ooma, Inc.1 | 10,861 | |
17,798 | |||
Electric Utilities — 1.7% | |||
221 | ALLETE, Inc. | 13,786 | |
157 | Otter Tail Corp.2 | 11,296 | |
25,082 | |||
Electrical Equipment — 0.8% | |||
142 | Belden, Inc. | 11,202 | |
Electronic Equipment, Instruments & Components — 0.8% | |||
230 | Sanmina Corp.1 | 12,020 | |
Energy Equipment & Services — 0.8% | |||
887 | Liberty Energy, Inc. | 11,363 | |
Financial Services — 4.1% | |||
332 | A-Mark Precious Metals, Inc. | 11,886 | |
502 | Enact Holdings, Inc. | 12,118 | |
145 | Jackson Financial, Inc. Class A | 5,221 | |
1 | Paysafe Ltd.1 | 14 | |
540 | Radian Group, Inc. | 13,106 | |
1,383 | StoneCo Ltd. Class A1 | 17,039 | |
59,384 | |||
Food Products — 2.0% | |||
167 | Cal-Maine Foods, Inc. | 7,932 | |
534 | Hostess Brands, Inc.1 | 13,756 | |
200 | Simply Good Foods Co.1 | 7,274 | |
28,962 | |||
Gas Utilities — 0.4% | |||
85 | Spire, Inc. | 5,757 | |
Ground Transportation — 0.8% | |||
666 | RXO, Inc.1 | 12,048 | |
Health Care Equipment & Supplies — 2.8% | |||
489 | Inogen, Inc.1 | 6,508 | |
277 | LivaNova PLC1 | 13,268 | |
589 | Orthofix Medical, Inc.1 | 11,091 | |
609 | Varex Imaging Corp.1 | 10,804 | |
41,671 | |||
Health Care Providers & Services — 2.2% | |||
275 | Cross Country Healthcare, Inc.1 | 6,045 | |
609 | PetIQ, Inc.1 | 7,180 | |
615 | Select Medical Holdings Corp. | 18,757 | |
31,982 |
62 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Health Care Technology — 2.1% | |||
1,700 | Health Catalyst, Inc.1 | $ 21,420 | |
766 | Veradigm, Inc.1 | 9,567 | |
30,987 | |||
Hotel & Resort REITs — 2.9% | |||
750 | Apple Hospitality REIT, Inc. | 11,167 | |
1,325 | DiamondRock Hospitality Co. | 10,746 | |
1,506 | Hersha Hospitality Trust REIT Class A | 9,488 | |
1,212 | Sunstone Hotel Investors, Inc. | 11,550 | |
42,951 | |||
Hotels, Restaurants & Leisure — 1.3% | |||
687 | International Game Technology PLC2 | 19,332 | |
Household Durables — 3.2% | |||
115 | Skyline Champion Corp.1 | 8,529 | |
476 | Taylor Morrison Home Corp.1 | 20,511 | |
629 | Tri Pointe Homes, Inc.1 | 18,040 | |
47,080 | |||
Independent Power & Renewable Electricity Producer — 0.8% | |||
381 | Clearway Energy, Inc. Class C | 11,571 | |
Industrial REITs — 1.1% | |||
61 | EastGroup Properties, Inc. | 10,160 | |
181 | STAG Industrial, Inc. | 6,131 | |
16,291 | |||
Insurance — 1.1% | |||
2,683 | Genworth Financial, Inc. Class A1 | 15,588 | |
Interactive Media & Services — 2.4% | |||
164 | Shutterstock, Inc. | 10,988 | |
3,245 | Vimeo, Inc.1 | 10,676 | |
811 | ZipRecruiter, Inc. Class A1 | 13,738 | |
35,402 | |||
IT Services — 0.9% | |||
710 | Hackett Group, Inc. | 13,178 | |
Life Sciences Tools & Services — 0.9% | |||
1,033 | Quanterix Corp.1 | 13,057 | |
Machinery — 1.9% | |||
174 | Columbus McKinnon Corp. | 6,040 | |
804 | Manitowoc Co., Inc.1 | 12,293 | |
356 | Wabash National Corp. | 9,138 | |
27,471 | |||
Marine Transportation — 0.9% | |||
3,435 | Safe Bulkers, Inc.2 | 12,572 | |
Media — 0.3% | |||
631 | Gray Television, Inc. | 4,865 | |
Metals & Mining — 4.7% | |||
420 | Commercial Metals Co. | 19,610 | |
910 | Constellium SE1 | 13,514 | |
351 | Olympic Steel, Inc. | 16,346 | |
776 | TimkenSteel Corp.1 | 12,990 |
63 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Metals & Mining — (Continued) | |||
165 | Warrior Met Coal, Inc. | $ 5,704 | |
68,164 | |||
Office REITs — 0.6% | |||
1,447 | City Office REIT, Inc. | 8,422 | |
Oil, Gas & Consumable Fuels — 7.4% | |||
771 | Berry Corp. | 5,890 | |
706 | CVR Energy, Inc. | 18,596 | |
990 | Dorian LPG Ltd. | 21,998 | |
590 | Par Pacific Holdings, Inc.1 | 13,824 | |
537 | PBF Energy, Inc. Class A | 18,720 | |
572 | Teekay Tankers Ltd. Class A1 | 23,160 | |
1,500 | VAALCO Energy, Inc.2 | 6,420 | |
108,608 | |||
Paper & Forest Products — 0.7% | |||
289 | Clearwater Paper Corp.1 | 10,433 | |
Personal Care Products — 1.0% | |||
947 | Herbalife Ltd.1 | 14,072 | |
Pharmaceuticals — 1.8% | |||
4,365 | Amneal Pharmaceuticals, Inc.1 | 8,425 | |
763 | Collegium Pharmaceutical, Inc.1 | 17,755 | |
26,180 | |||
Professional Services — 2.4% | |||
2,811 | Conduent, Inc.1 | 9,867 | |
314 | Heidrick & Struggles International, Inc. | 7,885 | |
202 | Korn Ferry | 9,700 | |
543 | Resources Connection, Inc. | 7,922 | |
35,374 | |||
Real Estate Investment Trusts — 0.8% | |||
1,118 | Apollo Commercial Real Estate Finance, Inc. REIT | 11,313 | |
Retail REITs — 0.8% | |||
384 | Phillips Edison & Co., Inc. REIT | 12,111 | |
Semiconductors & Semiconductor Equipment — 2.4% | |||
160 | Diodes, Inc.1 | 12,752 | |
192 | Kulicke & Soffa Industries, Inc. | 9,151 | |
957 | Photronics, Inc.1 | 13,838 | |
35,741 | |||
Software — 4.2% | |||
444 | Box, Inc. Class A1 | 11,748 | |
222 | Progress Software Corp. | 12,183 | |
499 | Q2 Holdings, Inc.1 | 12,286 | |
146 | Xperi, Inc.1 | 1,386 | |
2,659 | Yext, Inc.1 | 23,346 | |
60,949 | |||
Specialized REITs — 0.8% | |||
740 | Outfront Media, Inc. | 12,328 | |
Specialty Retail — 3.2% | |||
285 | Academy Sports & Outdoors, Inc. | 18,103 | |
239 | MarineMax, Inc.1 | 6,960 | |
90 | Signet Jewelers Ltd. | 6,622 |
64 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Specialty Retail — (Continued) | |||
167 | Sonic Automotive, Inc. Class A | $ 7,435 | |
300 | Urban Outfitters, Inc.1 | 8,118 | |
47,238 | |||
Trading Companies & Distributors — 4.6% | |||
120 | GMS, Inc.1 | 6,967 | |
1,707 | NOW, Inc.1 | 18,214 | |
215 | Rush Enterprises, Inc. Class A | 11,419 | |
315 | Titan Machinery, Inc.1 | 9,875 | |
143 | WESCO International, Inc. | 20,592 | |
67,067 | |||
TOTAL COMMON STOCKS (Cost $1,349,554) | 1,463,994 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.9% | |||
$12,458 | With Fixed Income Clearing Corp., dated 4/28/23, 1.44%, principal and interest in the amount of $12,459, due 5/1/23, (collateralized by a U.S. Treasury Note with a par value of $12,800, coupon rate of 4.375%, due 10/31/2024, market value of $12,787) | 12,458 | |
TOTAL REPURCHASE AGREEMENT (Cost $12,458) | 12,458 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 2.3% | |||
33,532 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 33,532 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $33,532) | 33,532 | ||
TOTAL INVESTMENTS (Cost $1,395,544) | 103.1% | $1,509,984 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (3.1) | (44,717) | |
NET ASSETS | 100.0% | $1,465,267 |
* | 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. |
65 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Oil, Gas & Consumable Fuels | 7.4% | $ 108,608 | |
Banks | 7.1 | 104,789 | |
Biotechnology | 5.9 | 86,235 | |
Metals & Mining | 4.7 | 68,164 | |
Trading Companies & Distributors | 4.6 | 67,067 | |
Software | 4.2 | 60,949 | |
Financial Services | 4.1 | 59,384 | |
Specialty Retail | 3.2 | 47,238 | |
Household Durables | 3.2 | 47,080 | |
Hotel & Resort REITs | 2.9 | 42,951 | |
Health Care Equipment & Supplies | 2.8 | 41,671 | |
Semiconductors & Semiconductor Equipment | 2.4 | 35,741 | |
Interactive Media & Services | 2.4 | 35,402 | |
Professional Services | 2.4 | 35,374 | |
Construction & Engineering | 2.3 | 33,842 | |
Communications Equipment | 2.2 | 32,084 | |
Health Care Providers & Services | 2.2 | 31,982 | |
Health Care Technology | 2.1 | 30,987 | |
Food Products | 2.0 | 28,962 | |
Machinery | 1.9 | 27,471 | |
Pharmaceuticals | 1.8 | 26,180 | |
Diversified Consumer Services | 1.7 | 25,460 | |
Electric Utilities | 1.7 | 25,082 | |
Automobile Components | 1.7 | 24,755 | |
Commercial Services & Supplies | 1.6 | 24,071 | |
Consumer Staples Distribution & Retail | 1.6 | 23,267 | |
Hotels, Restaurants & Leisure | 1.3 | 19,332 | |
Diversified Telecommunication Services | 1.2 | 17,798 | |
Industrial REITs | 1.1 | 16,291 | |
Insurance | 1.1 | 15,588 | |
Building Products | 1.1 | 15,408 | |
Consumer Finance | 1.0 | 15,403 | |
Personal Care Products | 1.0 | 14,072 | |
IT Services | 0.9 | 13,178 | |
Aerospace & Defense | 0.9 | 13,066 | |
Life Sciences Tools & Services | 0.9 | 13,057 | |
Marine Transportation | 0.9 | 12,572 | |
Specialized REITs | 0.8 | 12,328 | |
Retail REITs | 0.8 | 12,111 | |
Ground Transportation | 0.8 | 12,048 | |
Electronic Equipment, Instruments & Components | 0.8 | 12,020 | |
Independent Power & Renewable Electricity Producer | 0.8 | 11,571 | |
Energy Equipment & Services | 0.8 | 11,363 | |
Real Estate Investment Trusts | 0.8 | 11,313 | |
Electrical Equipment | 0.8 | 11,202 | |
Paper & Forest Products | 0.7 | 10,433 | |
Office REITs | 0.6 | 8,422 | |
Gas Utilities | 0.4 | 5,757 | |
Media | 0.3 | 4,865 | |
TOTAL COMMON STOCKS | 99.9% | $1,463,994 | |
REPURCHASE AGREEMENT | 0.9 | 12,458 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 2.3 | 33,532 | |
TOTAL INVESTMENTS | 103.1% | $1,509,984 |
66 |
Shares | Value | ||
COMMON STOCKS* — 96.2% | |||
Japan — 19.4% | |||
5,000 | Asahi Group Holdings Ltd. | $ 192,411 | |
3,200 | Daito Trust Construction Co. Ltd. | 302,279 | |
16,200 | Honda Motor Co. Ltd. | 426,625 | |
9,600 | ITOCHU Corp. | 316,512 | |
26,300 | Japan Post Holdings Co. Ltd. | 215,813 | |
17,600 | Japan Tobacco, Inc. | 377,655 | |
6,000 | KDDI Corp. | 187,075 | |
26,700 | Marubeni Corp. | 376,263 | |
15,900 | Mitsui & Co. Ltd. | 493,531 | |
17,151 | Nitto Denko Corp., ADR | 553,291 | |
7,800 | SBI Holdings, Inc. | 151,540 | |
13,200 | Sekisui House Ltd. | 270,307 | |
15,000 | Shin-Etsu Chemical Co. Ltd. | 425,300 | |
12,800 | SUMCO Corp. | 175,214 | |
13,700 | Yokogawa Electric Corp. | 221,119 | |
4,684,935 | |||
France — 13.5% | |||
16,300 | AXA SA | 531,106 | |
2,151 | Capgemini SE | 390,844 | |
9,400 | Carrefour SA | 195,349 | |
2,300 | Danone SA | 152,037 | |
1,600 | Eiffage SA | 190,232 | |
4,500 | Klepierre SA REIT | 113,848 | |
5,595 | Publicis Groupe SA | 456,960 | |
5,200 | Renault SA1 | 192,696 | |
2,782 | Sanofi | 306,549 | |
14,600 | Societe Generale SA | 354,333 | |
1,900 | Sodexo SA | 203,499 | |
1,300 | Vinci SA2 | 160,723 | |
3,248,176 | |||
United Kingdom — 11.4% | |||
28,000 | BAE Systems PLC | 356,817 | |
34,500 | BP PLC | 231,705 | |
15,000 | Burberry Group PLC | 488,436 | |
23,783 | GSK PLC | 430,705 | |
15,000 | HSBC Holdings PLC | 108,168 | |
2,700 | Reckitt Benckiser Group PLC | 218,184 | |
10,800 | Shell PLC | 332,808 | |
5,512 | Unilever PLC, ADR2 | 306,081 | |
230,700 | Vodafone Group PLC | 278,045 | |
2,750,949 | |||
Canada — 9.4% | |||
18,600 | ARC Resources Ltd. | 231,050 | |
11,500 | Barrick Gold Corp. | 218,652 | |
3,600 | CGI, Inc.1 | 365,381 | |
4,700 | Dollarama, Inc. | 291,120 | |
1,700 | George Weston Ltd. | 228,264 | |
2,700 | Royal Bank of Canada | 268,057 | |
4,700 | Sun Life Financial, Inc. | 230,551 | |
7,100 | Toronto-Dominion Bank | 430,082 | |
2,263,157 | |||
Germany — 7.3% | |||
1,300 | Bayerische Motoren Werke AG | 145,310 | |
1,400 | Deutsche Boerse AG | 266,726 |
67 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Germany — (Continued) | |||
9,639 | Deutsche Post AG | $ 462,235 | |
5,700 | Deutsche Telekom AG | 137,425 | |
17,800 | E.ON SE | 235,464 | |
13,900 | Infineon Technologies AG | 503,987 | |
1,751,147 | |||
Switzerland — 6.0% | |||
4,100 | Holcim AG | 269,801 | |
1,400 | Kuehne & Nagel International AG | 413,336 | |
2,600 | Nestle SA | 333,112 | |
4,200 | Novartis AG | 428,199 | |
1,444,448 | |||
Spain — 5.0% | |||
22,417 | Iberdrola SA | 290,981 | |
9,100 | Industria de Diseno Textil SA | 312,451 | |
40,187 | Repsol SA | 590,944 | |
2,624 | Telefonica SA | 11,927 | |
1,206,303 | |||
Denmark — 4.6% | |||
8,107 | Carlsberg AS Class B, ADR | 267,369 | |
3,800 | Novo Nordisk AS Class B | 631,751 | |
2,400 | Pandora AS | 221,462 | |
1,120,582 | |||
Australia — 4.2% | |||
10,500 | BlueScope Steel Ltd. | 138,054 | |
37,500 | Brambles Ltd. | 353,596 | |
2,400 | Cochlear Ltd. | 391,684 | |
600 | CSL Ltd. | 119,336 | |
1,002,670 | |||
Singapore — 3.4% | |||
9,600 | DBS Group Holdings Ltd. | 236,124 | |
35,000 | Oversea-Chinese Banking Corp. Ltd. | 329,973 | |
34,200 | Singapore Exchange Ltd. | 245,284 | |
811,381 | |||
Sweden — 2.9% | |||
4,300 | Essity AB Class B | 130,278 | |
6,000 | Swedbank AB Class A | 104,144 | |
23,000 | Volvo AB Class B | 472,782 | |
707,204 | |||
Netherlands — 1.7% | |||
11,700 | Koninklijke Ahold Delhaize NV | 402,496 | |
Belgium — 1.6% | |||
4,100 | UCB SA | 381,392 | |
New Zealand — 1.5% | |||
110,900 | Spark New Zealand Ltd. | 358,676 | |
China — 1.4% | |||
105,700 | BOC Hong Kong Holdings Ltd. | 332,599 | |
Austria — 1.2% | |||
18,500 | Mondi PLC2 | 294,111 |
68 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Israel — 1.0% | |||
18,600 | Bank Leumi Le-Israel BM | $ 145,956 | |
20,500 | Israel Discount Bank Ltd. Class A | 100,824 | |
246,780 | |||
Ireland — 0.7% | |||
3,400 | CRH PLC | 164,020 | |
TOTAL COMMON STOCKS (Cost $20,411,698) | 23,171,026 | ||
Face Amount | |||
REPURCHASE AGREEMENT*—0.9% | |||
$221,523 | With Fixed Income Clearing Corp., dated 4/28/23, 1.44%, principal and interest in the amount of $221,549, due 5/1/23, (collateralized by a a U.S. Treasury Note with a par value of $226,200, coupon rate of 4.375%, due 10/31/2024, market value of $225,961) | 221,523 | |
TOTAL REPURCHASE AGREEMENT (Cost $221,523) | 221,523 | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 3.0% | |||
719,171 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 719,171 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $719,171) | 719,171 | ||
TOTAL INVESTMENTS (Cost $21,352,392) | 100.1% | $24,111,720 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.1) | (12,311) | |
NET ASSETS | 100.0% | $24,099,409 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
2 | Securities or partial securities on loan. See Note 1. |
3 | Represents an investment of securities lending cash collateral. |
Abbreviations: |
ADR — American Depositary Receipt |
69 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 10.0% | $ 2,410,260 | |
Pharmaceuticals | 9.1 | 2,178,596 | |
Oil, Gas & Consumable Fuels | 5.9 | 1,386,507 | |
Trading Companies & Distributors | 4.9 | 1,186,306 | |
Chemicals | 4.1 | 978,591 | |
Insurance | 4.1 | 977,470 | |
Consumer Staples Distribution & Retail | 3.4 | 826,109 | |
Automobiles | 3.2 | 764,631 | |
IT Services | 3.1 | 756,225 | |
Textiles, Apparel & Luxury Goods | 2.9 | 709,898 | |
Semiconductors & Semiconductor Equipment | 2.8 | 679,201 | |
Capital Markets | 2.7 | 663,550 | |
Diversified Telecommunication Services | 2.1 | 508,028 | |
Food Products | 2.0 | 485,149 | |
Machinery | 2.0 | 472,782 | |
Wireless Telecommunication Services | 1.9 | 465,120 | |
Air Freight & Logistics | 1.9 | 462,235 | |
Beverages | 1.9 | 459,780 | |
Media | 1.9 | 456,960 | |
Construction Materials | 1.8 | 433,821 | |
Marine Transportation | 1.7 | 413,336 | |
Health Care Equipment & Supplies | 1.6 | 391,684 | |
Tobacco | 1.6 | 377,655 | |
Aerospace & Defense | 1.5 | 356,817 | |
Metals & Mining | 1.5 | 356,706 | |
Commercial Services & Supplies | 1.5 | 353,596 | |
Construction & Engineering | 1.5 | 350,955 | |
Household Products | 1.4 | 348,462 | |
Specialty Retail | 1.3 | 312,451 | |
Personal Care Products | 1.3 | 306,081 | |
Real Estate Management & Development | 1.2 | 302,279 | |
Paper & Forest Products | 1.2 | 294,111 | |
Broadline Retail | 1.2 | 291,120 | |
Electric Utilities | 1.2 | 290,981 | |
Household Durables | 1.1 | 270,307 | |
Multi-Utilities | 1.0 | 235,464 | |
Electronic Equipment, Instruments & Components | 0.9 | 221,119 | |
Hotels, Restaurants & Leisure | 0.8 | 203,499 | |
Biotechnology | 0.5 | 119,336 | |
Retail REITs | 0.5 | 113,848 | |
TOTAL COMMON STOCKS | 96.2% | $23,171,026 | |
REPURCHASE AGREEMENT | 0.9 | 221,523 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 3.0 | 719,171 | |
TOTAL INVESTMENTS | 100.1% | $24,111,720 |
70 |
Shares | Value | ||
COMMON STOCKS* — 99.4% | |||
Air Freight & Logistics — 0.7% | |||
1,448 | Expeditors International of Washington, Inc. | $ 164,840 | |
Automobiles — 1.9% | |||
11,907 | Harley-Davidson, Inc. | 441,750 | |
Banks — 2.3% | |||
9,863 | Huntington Bancshares, Inc. | 110,466 | |
23,006 | Regions Financial Corp. | 420,089 | |
530,555 | |||
Biotechnology — 3.8% | |||
2,144 | Amgen, Inc. | 514,003 | |
1,223 | Biogen, Inc.1 | 372,073 | |
886,076 | |||
Building Products — 3.3% | |||
7,815 | Carrier Global Corp. | 326,823 | |
1,779 | Owens Corning | 190,015 | |
1,278 | Trane Technologies PLC | 237,465 | |
754,303 | |||
Capital Markets — 3.4% | |||
7,850 | Bank of New York Mellon Corp. | 334,331 | |
1,789 | CME Group, Inc. | 332,343 | |
1,979 | Nasdaq, Inc. | 109,577 | |
776,251 | |||
Commercial Services & Supplies — 1.1% | |||
1,705 | Republic Services, Inc. | 246,577 | |
Communications Equipment — 3.6% | |||
1,383 | Arista Networks, Inc.1 | 221,501 | |
8,370 | Cisco Systems, Inc. | 395,483 | |
7,146 | Juniper Networks, Inc. | 215,452 | |
832,436 | |||
Construction & Engineering — 0.5% | |||
1,351 | AECOM | 112,201 | |
Consumer Finance — 1.2% | |||
9,151 | Synchrony Financial | 270,046 | |
Consumer Staples Distribution & Retail — 3.0% | |||
2,900 | BJ’s Wholesale Club Holdings, Inc.1 | 221,473 | |
1,356 | Casey’s General Stores, Inc. | 310,280 | |
3,588 | Kroger Co. | 174,484 | |
706,237 | |||
Containers & Packaging — 1.2% | |||
10,908 | Graphic Packaging Holding Co. | 268,991 | |
Distributors — 2.6% | |||
866 | Genuine Parts Co. | 145,757 | |
7,788 | LKQ Corp. | 449,601 | |
595,358 | |||
Diversified Consumer Services — 0.5% | |||
3,671 | H&R Block, Inc. | 124,484 | |
Diversified Telecommunication Services — 1.5% | |||
8,681 | Verizon Communications, Inc. | 337,083 |
71 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electronic Equipment, Instruments & Components — 2.7% | |||
4,223 | Jabil, Inc. | $ 330,027 | |
2,114 | Keysight Technologies, Inc.1 | 305,769 | |
635,796 | |||
Financial Services — 3.2% | |||
1,200 | Fiserv, Inc.1 | 146,544 | |
1,726 | FleetCor Technologies, Inc.1 | 369,226 | |
20,602 | Western Union Co. | 225,180 | |
740,950 | |||
Food Products — 3.4% | |||
3,000 | Conagra Brands, Inc. | 113,880 | |
7,501 | General Mills, Inc. | 664,814 | |
778,694 | |||
Ground Transportation — 1.5% | |||
11,138 | CSX Corp. | 341,268 | |
Health Care Providers & Services — 6.1% | |||
1,352 | AmerisourceBergen Corp. | 225,581 | |
2,296 | Centene Corp.1 | 158,263 | |
1,026 | Cigna Group | 259,876 | |
1,152 | Elevance Health, Inc. | 539,885 | |
442 | UnitedHealth Group, Inc. | 217,504 | |
1,401,109 | |||
Hotels, Restaurants & Leisure — 2.3% | |||
199 | Booking Holdings, Inc.1 | 534,576 | |
Household Products — 1.5% | |||
2,264 | Procter & Gamble Co. | 354,044 | |
Insurance — 1.1% | |||
5,003 | American International Group, Inc. | 265,359 | |
Interactive Media & Service — 1.2% | |||
2,669 | Alphabet, Inc. Class A1 | 286,490 | |
IT Services — 2.7% | |||
4,096 | Akamai Technologies, Inc.1 | 335,749 | |
4,323 | Okta, Inc.1 | 296,255 | |
632,004 | |||
Machinery — 0.7% | |||
2,100 | Oshkosh Corp. | 160,692 | |
Media — 6.1% | |||
8,960 | Comcast Corp. Class A | 370,675 | |
14,762 | Interpublic Group of Cos., Inc. | 527,446 | |
600 | Nexstar Media Group, Inc. | 104,070 | |
4,608 | Omnicom Group, Inc. | 417,347 | |
1,419,538 | |||
Metals & Mining — 2.5% | |||
2,868 | Nucor Corp. | 424,980 | |
1,450 | Steel Dynamics, Inc. | 150,728 | |
575,708 | |||
Multi-Utilities — 2.7% | |||
17,781 | NiSource, Inc. | 506,047 |
72 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Multi-Utilities — (Continued) | |||
1,900 | Public Service Enterprise Group, Inc. | $ 120,080 | |
626,127 | |||
Oil, Gas & Consumable Fuels — 5.3% | |||
1,474 | Exxon Mobil Corp. | 174,433 | |
9,959 | Kinder Morgan, Inc. | 170,797 | |
4,400 | Marathon Petroleum Corp. | 536,800 | |
1,400 | Phillips 66 | 138,600 | |
895 | Valero Energy Corp. | 102,630 | |
3,800 | Williams Cos., Inc. | 114,988 | |
1,238,248 | |||
Pharmaceuticals — 4.1% | |||
4,522 | Bristol-Myers Squibb Co. | 301,934 | |
3,088 | Merck & Co., Inc. | 356,572 | |
7,598 | Pfizer, Inc. | 295,486 | |
953,992 | |||
Professional Services — 1.0% | |||
1,024 | Automatic Data Processing, Inc. | 225,280 | |
Real Estate Management & Development — 1.9% | |||
5,594 | CBRE Group, Inc. Class A1 | 428,836 | |
Semiconductors & Semiconductor Equipment — 5.8% | |||
5,400 | Advanced Micro Devices, Inc.1 | 482,598 | |
3,818 | Cirrus Logic, Inc.1 | 327,546 | |
5,820 | ON Semiconductor Corp.1 | 418,807 | |
800 | Silicon Laboratories, Inc.1 | 111,440 | |
1,340,391 | |||
Software — 6.3% | |||
372 | Adobe, Inc.1 | 140,452 | |
1,643 | Autodesk, Inc.1 | 320,040 | |
3,300 | DocuSign, Inc.1 | 163,152 | |
9,752 | Dropbox, Inc. Class A1 | 198,356 | |
2,872 | Fortinet, Inc.1 | 181,080 | |
1,241 | Synopsys, Inc.1 | 460,808 | |
1,463,888 | |||
Specialized REITs — 1.5% | |||
320 | Equinix, Inc. | 231,706 | |
3,700 | Weyerhaeuser Co. | 110,667 | |
342,373 | |||
Specialty Retail — 2.2% | |||
941 | Ulta Beauty, Inc.1 | 518,896 | |
Technology Hardware, Storage & Peripherals — 1.9% | |||
19,561 | Hewlett Packard Enterprise Co. | 280,114 | |
6,600 | Pure Storage, Inc. Class A1 | 150,678 | |
430,792 | |||
Textiles, Apparel & Luxury Goods — 0.6% | |||
1,250 | Ralph Lauren Corp. | 143,487 | |
Trading Companies & Distributors — 0.5% | |||
849 | Ferguson PLC | 119,556 | |
TOTAL COMMON STOCKS (Cost $20,311,539) | 23,005,282 |
73 |
Face Amount | Value | ||
REPURCHASE AGREEMENT* — 4.8% | |||
$1,117,164 | With Fixed Income Clearing Corp., dated 4/28/23, 1.44%, principal and interest in the amount of $1,117,298, due 5/1/23, (collateralized by a U.S. Treasury Note with a par value of $1,140,800, coupon rate of 4.375%, due 10/31/2024, market value of $1,139,597) | $ 1,117,164 | |
TOTAL REPURCHASE AGREEMENT (Cost $1,117,164) | 1,117,164 | ||
TOTAL INVESTMENTS (Cost $21,428,703) | 104.2% | $24,122,446 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (4.2) | (970,833) | |
NET ASSETS | 100.0% | $23,151,613 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
74 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 6.3% | $ 1,463,888 | |
Media | 6.1 | 1,419,538 | |
Health Care Providers & Services | 6.1 | 1,401,109 | |
Semiconductors & Semiconductor Equipment | 5.8 | 1,340,391 | |
Oil, Gas & Consumable Fuels | 5.3 | 1,238,248 | |
Pharmaceuticals | 4.1 | 953,992 | |
Biotechnology | 3.8 | 886,076 | |
Communications Equipment | 3.6 | 832,436 | |
Food Products | 3.4 | 778,694 | |
Capital Markets | 3.4 | 776,251 | |
Building Products | 3.3 | 754,303 | |
Financial Services | 3.2 | 740,950 | |
Consumer Staples Distribution & Retail | 3.0 | 706,237 | |
Electronic Equipment, Instruments & Components | 2.7 | 635,796 | |
IT Services | 2.7 | 632,004 | |
Multi-Utilities | 2.7 | 626,127 | |
Distributors | 2.6 | 595,358 | |
Metals & Mining | 2.5 | 575,708 | |
Hotels, Restaurants & Leisure | 2.3 | 534,576 | |
Banks | 2.3 | 530,555 | |
Specialty Retail | 2.2 | 518,896 | |
Automobiles | 1.9 | 441,750 | |
Technology Hardware, Storage & Peripherals | 1.9 | 430,792 | |
Real Estate Management & Development | 1.9 | 428,836 | |
Household Products | 1.5 | 354,044 | |
Specialized REITs | 1.5 | 342,373 | |
Ground Transportation | 1.5 | 341,268 | |
Diversified Telecommunication Services | 1.5 | 337,083 | |
Interactive Media & Service | 1.2 | 286,490 | |
Consumer Finance | 1.2 | 270,046 | |
Containers & Packaging | 1.2 | 268,991 | |
Insurance | 1.1 | 265,359 | |
Commercial Services & Supplies | 1.1 | 246,577 | |
Professional Services | 1.0 | 225,280 | |
Air Freight & Logistics | 0.7 | 164,840 | |
Machinery | 0.7 | 160,692 | |
Textiles, Apparel & Luxury Goods | 0.6 | 143,487 | |
Diversified Consumer Services | 0.5 | 124,484 | |
Trading Companies & Distributors | 0.5 | 119,556 | |
Construction & Engineering | 0.5 | 112,201 | |
TOTAL COMMON STOCKS | 99.4% | $23,005,282 | |
REPURCHASE AGREEMENT | 4.8 | 1,117,164 | |
TOTAL INVESTMENTS | 104.2% | $24,122,446 |
75 |
Shares | Value | ||
COMMON STOCKS* — 100.1% | |||
Aerospace & Defense — 0.5% | |||
466 | General Dynamics Corp. | $ 101,747 | |
Air Freight & Logistics — 1.1% | |||
1,283 | United Parcel Service, Inc. Class B | 230,696 | |
Automobile Components — 1.4% | |||
6,200 | BorgWarner, Inc. | 298,406 | |
Automobiles — 0.4% | |||
2,932 | General Motors Co. | 96,873 | |
Banks — 2.2% | |||
5,725 | Comerica, Inc. | 248,293 | |
9,420 | Huntington Bancshares, Inc. | 105,504 | |
3,647 | Synovus Financial Corp. | 112,328 | |
466,125 | |||
Beverages — 0.7% | |||
2,448 | Coca-Cola Co. | 157,039 | |
Biotechnology — 4.5% | |||
1,956 | Biogen, Inc.1 | 595,074 | |
1,126 | Vertex Pharmaceuticals, Inc.1 | 383,662 | |
978,736 | |||
Building Products — 2.1% | |||
2,443 | Trane Technologies PLC | 453,934 | |
Capital Markets — 4.4% | |||
2,550 | CME Group, Inc. | 473,713 | |
4,416 | Intercontinental Exchange, Inc. | 481,035 | |
954,748 | |||
Commercial Services & Supplies — 1.0% | |||
3,664 | Ritchie Bros Auctioneers, Inc. | 209,544 | |
Communications Equipment — 4.6% | |||
3,691 | Arista Networks, Inc.1 | 591,151 | |
8,458 | Cisco Systems, Inc. | 399,640 | |
990,791 | |||
Consumer Finance — 0.5% | |||
3,619 | Synchrony Financial | 106,797 | |
Consumer Staples Distribution & Retail — 3.3% | |||
983 | Casey’s General Stores, Inc. | 224,930 | |
10,221 | Kroger Co. | 497,047 | |
721,977 | |||
Containers & Packaging — 2.2% | |||
13,014 | Graphic Packaging Holding Co. | 320,925 | |
2,413 | Sonoco Products Co. | 146,276 | |
467,201 | |||
Diversified Telecommunication Services — 1.4% | |||
10,805 | AT&T, Inc. | 190,924 | |
3,046 | Verizon Communications, Inc. | 118,276 | |
309,200 | |||
Electrical Equipment — 2.1% | |||
10,934 | nVent Electric PLC | 458,463 | |
Energy Equipment & Services — 0.7% | |||
4,936 | Baker Hughes Co. Class A | 144,329 |
76 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Financial Services — 2.3% | |||
6,638 | PayPal Holdings, Inc.1 | $ 504,488 | |
Food Products — 3.0% | |||
5,715 | General Mills, Inc. | 506,520 | |
1,834 | Mondelez International, Inc. Class A | 140,705 | |
647,225 | |||
Ground Transportation — 1.3% | |||
1,540 | Landstar System, Inc. | 271,086 | |
Health Care Providers & Services — 5.8% | |||
3,090 | CVS Health Corp. | 226,528 | |
550 | Elevance Health, Inc. | 257,758 | |
3,845 | Quest Diagnostics, Inc. | 533,724 | |
452 | UnitedHealth Group, Inc. | 222,425 | |
1,240,435 | |||
Hotels, Restaurants & Leisure — 3.1% | |||
252 | Booking Holdings, Inc.1 | 676,950 | |
Household Products — 1.7% | |||
2,355 | Procter & Gamble Co. | 368,275 | |
Independent Power & Renewable Electricity Producer — 1.0% | |||
9,527 | AES Corp. | 225,410 | |
Insurance — 1.2% | |||
6,100 | Unum Group | 257,420 | |
Interactive Media & Service — 1.7% | |||
1,504 | Meta Platforms, Inc. Class A1 | 361,441 | |
IT Services — 2.0% | |||
4,673 | Amdocs Ltd. | 426,411 | |
Machinery — 0.5% | |||
330 | Parker-Hannifin Corp. | 107,210 | |
Media — 5.4% | |||
4,719 | Comcast Corp. Class A | 195,225 | |
14,176 | Interpublic Group of Cos., Inc. | 506,508 | |
599 | Nexstar Media Group, Inc. | 103,897 | |
4,063 | Omnicom Group, Inc. | 367,986 | |
1,173,616 | |||
Metals & Mining — 1.6% | |||
7,109 | Newmont Corp. | 336,967 | |
Multi-Utilities — 1.7% | |||
1,813 | Public Service Enterprise Group, Inc. | 114,581 | |
2,710 | WEC Energy Group, Inc. | 260,621 | |
375,202 | |||
Oil, Gas & Consumable Fuels — 4.8% | |||
1,668 | Exxon Mobil Corp. | 197,391 | |
4,888 | Marathon Petroleum Corp. | 596,336 | |
2,524 | Phillips 66 | 249,876 | |
1,043,603 | |||
Pharmaceuticals — 4.0% | |||
4,500 | Bristol-Myers Squibb Co. | 300,465 | |
4,813 | Merck & Co., Inc. | 555,757 | |
856,222 |
77 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Professional Services — 0.5% | |||
2,516 | Genpact Ltd. | $ 112,088 | |
Semiconductors & Semiconductor Equipment — 4.8% | |||
1,552 | Advanced Micro Devices, Inc.1 | 138,702 | |
5,128 | Applied Materials, Inc. | 579,618 | |
4,527 | ON Semiconductor Corp.1 | 325,763 | |
1,044,083 | |||
Software — 8.2% | |||
3,913 | DocuSign, Inc.1 | 193,459 | |
22,498 | Dropbox, Inc. Class A1 | 457,609 | |
1,377 | Salesforce, Inc.1 | 273,155 | |
1,700 | Synopsys, Inc.1 | 631,244 | |
1,113 | Workday, Inc. Class A1 | 207,174 | |
1,762,641 | |||
Specialized REITs — 3.6% | |||
487 | Equinix, Inc. | 352,627 | |
14,535 | Weyerhaeuser Co. | 434,742 | |
787,369 | |||
Specialty Retail — 4.2% | |||
1,943 | TJX Cos., Inc. | 153,147 | |
1,120 | Ulta Beauty, Inc.1 | 617,602 | |
1,100 | Williams-Sonoma, Inc. | 133,144 | |
903,893 | |||
Technology Hardware, Storage & Peripherals — 3.3% | |||
27,008 | Hewlett Packard Enterprise Co. | 386,755 | |
5,024 | NetApp, Inc. | 315,959 | |
702,714 | |||
Textiles, Apparel & Luxury Goods — 1.3% | |||
6,638 | Tapestry, Inc. | 270,897 | |
TOTAL COMMON STOCKS (Cost $18,613,987) | 21,602,252 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.8% | |||
$171,933 | With Fixed Income Clearing Corp., dated 4/28/23, 1.44%, principal and interest in the amount of $171,954, due 5/1/23, (collateralized by a U.S. Treasury Note with a par value of $175,600, coupon rate of 4.375%, due 10/31/2024, market value of $175,415) | 171,933 | |
TOTAL REPURCHASE AGREEMENT (Cost $171,933) | 171,933 | ||
TOTAL INVESTMENTS (Cost $18,785,920) | 100.9% | $21,774,185 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.9) | (200,217) | |
NET ASSETS | 100.0% | $21,573,968 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
78 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 8.2% | $ 1,762,641 | |
Health Care Providers & Services | 5.8 | 1,240,435 | |
Media | 5.4 | 1,173,616 | |
Semiconductors & Semiconductor Equipment | 4.8 | 1,044,083 | |
Oil, Gas & Consumable Fuels | 4.8 | 1,043,603 | |
Communications Equipment | 4.6 | 990,791 | |
Biotechnology | 4.5 | 978,736 | |
Capital Markets | 4.4 | 954,748 | |
Specialty Retail | 4.2 | 903,893 | |
Pharmaceuticals | 4.0 | 856,222 | |
Specialized REITs | 3.6 | 787,369 | |
Consumer Staples Distribution & Retail | 3.3 | 721,977 | |
Technology Hardware, Storage & Peripherals | 3.3 | 702,714 | |
Hotels, Restaurants & Leisure | 3.1 | 676,950 | |
Food Products | 3.0 | 647,225 | |
Financial Services | 2.3 | 504,488 | |
Containers & Packaging | 2.2 | 467,201 | |
Banks | 2.2 | 466,125 | |
Electrical Equipment | 2.1 | 458,463 | |
Building Products | 2.1 | 453,934 | |
IT Services | 2.0 | 426,411 | |
Multi-Utilities | 1.7 | 375,202 | |
Household Products | 1.7 | 368,275 | |
Interactive Media & Service | 1.7 | 361,441 | |
Metals & Mining | 1.6 | 336,967 | |
Diversified Telecommunication Services | 1.4 | 309,200 | |
Automobile Components | 1.4 | 298,406 | |
Ground Transportation | 1.3 | 271,086 | |
Textiles, Apparel & Luxury Goods | 1.3 | 270,897 | |
Insurance | 1.2 | 257,420 | |
Air Freight & Logistics | 1.1 | 230,696 | |
Independent Power & Renewable Electricity Producer | 1.0 | 225,410 | |
Commercial Services & Supplies | 1.0 | 209,544 | |
Beverages | 0.7 | 157,039 | |
Energy Equipment & Services | 0.7 | 144,329 | |
Professional Services | 0.5 | 112,088 | |
Machinery | 0.5 | 107,210 | |
Consumer Finance | 0.5 | 106,797 | |
Aerospace & Defense | 0.5 | 101,747 | |
Automobiles | 0.4 | 96,873 | |
TOTAL COMMON STOCKS | 100.1% | $21,602,252 | |
REPURCHASE AGREEMENT | 0.8 | 171,933 | |
TOTAL INVESTMENTS | 100.9% | $21,774,185 |
79 |
Shares | Value | ||
COMMON STOCKS* — 95.4% | |||
Aerospace & Defense — 0.8% | |||
9,620 | Parsons Corp.1,2 | $ 418,470 | |
Air Freight & Logistics — 1.8% | |||
3,320 | Expeditors International of Washington, Inc. | 377,949 | |
7,240 | Hub Group, Inc. Class A1 | 545,896 | |
923,845 | |||
Automobiles — 1.4% | |||
19,720 | Harley-Davidson, Inc. | 731,612 | |
Banks — 3.1% | |||
16,020 | Bank OZK | 572,235 | |
20,440 | Columbia Banking System, Inc. | 436,598 | |
54,140 | FNB Corp. | 621,527 | |
1,630,360 | |||
Beverages — 0.6% | |||
5,060 | Molson Coors Beverage Co. Class B | 300,969 | |
Broadline Retail — 2.1% | |||
13,920 | eBay, Inc. | 646,306 | |
28,184 | Macy’s, Inc. | 460,526 | |
1,106,832 | |||
Building Products — 1.3% | |||
16,320 | Carrier Global Corp.2 | 682,502 | |
Capital Markets — 3.5% | |||
12,500 | Federated Hermes, Inc. | 517,375 | |
3,940 | Interactive Brokers Group, Inc. Class A | 306,729 | |
10,120 | Janus Henderson Group PLC | 262,614 | |
4,840 | Nasdaq, Inc. | 267,991 | |
6,540 | State Street Corp. | 472,580 | |
1,827,289 | |||
Chemicals — 1.3% | |||
15,980 | Mosaic Co. | 684,743 | |
Commercial Services & Supplies — 1.0% | |||
3,420 | Republic Services, Inc.2 | 494,600 | |
Communications Equipment — 1.3% | |||
14,620 | Cisco Systems, Inc. | 690,795 | |
Construction & Engineering — 3.2% | |||
7,300 | AECOM2 | 606,265 | |
6,260 | EMCOR Group, Inc.2 | 1,070,460 | |
1,676,725 | |||
Consumer Staples Distribution & Retail — 2.3% | |||
11,420 | Kroger Co. | 555,355 | |
18,660 | Sprouts Farmers Market, Inc.1 | 646,755 | |
1,202,110 | |||
Containers & Packaging — 1.0% | |||
17,480 | Westrock Co. | 523,176 | |
Distributors — 1.9% | |||
17,300 | LKQ Corp. | 998,729 | |
Diversified Consumer Services — 1.1% | |||
8,080 | Service Corp. International | 567,135 |
80 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Diversified Telecommunication Services — 1.7% | |||
16,400 | AT&T, Inc. | $ 289,788 | |
15,820 | Verizon Communications, Inc. | 614,291 | |
904,079 | |||
Electric Utilities — 3.4% | |||
9,740 | Evergy, Inc. | 604,952 | |
7,240 | Eversource Energy | 561,896 | |
8,500 | NRG Energy, Inc. | 290,445 | |
4,120 | Pinnacle West Capital Corp. | 323,255 | |
1,780,548 | |||
Electronic Equipment, Instruments & Components — 4.5% | |||
12,320 | Jabil, Inc. | 962,808 | |
15,740 | Sanmina Corp.1 | 822,573 | |
25,500 | Vishay Intertechnology, Inc. | 542,895 | |
2,328,276 | |||
Energy Equipment & Services — 1.5% | |||
18,080 | Baker Hughes Co. Class A | 528,659 | |
19,380 | Liberty Energy, Inc. | 248,258 | |
776,917 | |||
Financial Services — 3.1% | |||
12,080 | Equitable Holdings, Inc. | 313,959 | |
50,560 | MGIC Investment Corp. | 751,827 | |
7,100 | Voya Financial, Inc. | 543,008 | |
1,608,794 | |||
Food Products — 3.0% | |||
9,460 | Archer-Daniels-Midland Co. | 738,637 | |
9,200 | General Mills, Inc. | 815,396 | |
1,554,033 | |||
Gas Utilities — 1.0% | |||
9,220 | National Fuel Gas Co. | 515,398 | |
Ground Transportation — 0.5% | |||
8,820 | CSX Corp. | 270,245 | |
Health Care Equipment & Supplies — 0.6% | |||
3,640 | Merit Medical Systems, Inc.1 | 295,896 | |
Health Care Providers & Services — 2.2% | |||
11,860 | Centene Corp.1 | 817,510 | |
4,300 | CVS Health Corp. | 315,233 | |
1,132,743 | |||
Hotel & Resort REITs — 1.6% | |||
39,880 | Apple Hospitality REIT, Inc.2 | 593,813 | |
16,340 | Host Hotels & Resorts, Inc.2 | 264,218 | |
858,031 | |||
Hotels, Restaurants & Leisure — 2.1% | |||
38,360 | International Game Technology PLC3 | 1,079,450 | |
Household Durables — 0.9% | |||
10,800 | Taylor Morrison Home Corp.1 | 465,372 | |
Household Products — 1.2% | |||
3,900 | Procter & Gamble Co. | 609,882 |
81 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Independent Power & Renewable Electricity Producer — 0.5% | |||
10,920 | AES Corp. | $ 258,367 | |
Insurance — 5.2% | |||
12,520 | American International Group, Inc. | 664,061 | |
9,980 | Arch Capital Group Ltd.1 | 749,199 | |
24,180 | CNO Financial Group, Inc. | 542,599 | |
18,120 | Unum Group | 764,664 | |
2,720,523 | |||
IT Services — 1.5% | |||
8,800 | Amdocs Ltd. | 803,000 | |
Life Sciences Tools & Services — 1.0% | |||
36,740 | AbCellera Biologics, Inc.1,3 | 249,097 | |
15,140 | Avantor, Inc.1 | 294,927 | |
544,024 | |||
Media — 4.5% | |||
14,800 | Comcast Corp. Class A | 612,276 | |
15,440 | Fox Corp. Class A | 513,535 | |
16,300 | Interpublic Group of Cos., Inc. | 582,399 | |
6,760 | Omnicom Group, Inc. | 612,253 | |
2,320,463 | |||
Metals & Mining — 2.5% | |||
4,000 | Reliance Steel & Aluminum Co. | 991,200 | |
20,297 | SSR Mining, Inc. | 290,653 | |
1,281,853 | |||
Multi-Utilities — 1.1% | |||
19,600 | NiSource, Inc. | 557,816 | |
Office REITs — 0.4% | |||
7,060 | Kilroy Realty Corp.2 | 206,434 | |
Oil, Gas & Consumable Fuels — 1.8% | |||
7,580 | Marathon Petroleum Corp. | 924,760 | |
Pharmaceuticals — 1.5% | |||
4,720 | Bristol-Myers Squibb Co. | 315,154 | |
12,294 | Pfizer, Inc. | 478,114 | |
793,268 | |||
Professional Services — 5.8% | |||
2,520 | ASGN, Inc.1,2 | 180,407 | |
11,980 | CBIZ, Inc.1,2 | 631,226 | |
9,900 | CSG Systems International, Inc.2 | 521,532 | |
21,760 | Genpact Ltd.2 | 969,408 | |
12,480 | KBR, Inc.2 | 707,991 | |
3,010,564 | |||
Retail REITs — 2.5% | |||
29,760 | Brixmor Property Group, Inc.2 | 634,781 | |
10,760 | Regency Centers Corp. REIT2 | 660,987 | |
1,295,768 | |||
Semiconductors & Semiconductor Equipment — 0.9% | |||
5,880 | Diodes, Inc.1 | 468,636 | |
Software — 4.6% | |||
24,840 | ACI Worldwide, Inc.1 | 629,197 |
82 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Software — (Continued) | |||
13,220 | Box, Inc. Class A1 | $ 349,801 | |
25,100 | Dropbox, Inc. Class A1 | 510,534 | |
30,220 | Gen Digital, Inc. | 533,988 | |
7,100 | Progress Software Corp. | 389,648 | |
2,413,168 | |||
Specialized REITs — 2.4% | |||
13,140 | CubeSmart2 | 597,739 | |
19,340 | VICI Properties, Inc.2 | 656,399 | |
1,254,138 | |||
Technology Hardware, Storage & Peripherals — 1.2% | |||
16,980 | Hewlett Packard Enterprise Co. | 243,153 | |
15,760 | Pure Storage, Inc. Class A1 | 359,801 | |
602,954 | |||
Textiles, Apparel & Luxury Goods — 1.5% | |||
18,480 | Tapestry, Inc. | 754,169 | |
Trading Companies & Distributors — 1.5% | |||
14,780 | Rush Enterprises, Inc. Class A2 | 784,966 | |
TOTAL COMMON STOCKS (Cost $39,026,559) | 49,634,427 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 3.2% | |||
$1,651,530 | With Fixed Income Clearing Corp., dated 4/28/23, 1.44%, principal and interest in the amount of $1,651,728, due 5/1/23, (collateralized by a U.S. Treasury Note with a par value of $1,686,400, coupon rate of 4.375%, due 10/31/2024, market value of $1,684,621) | 1,651,530 | |
TOTAL REPURCHASE AGREEMENT (Cost $1,651,530) | 1,651,530 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 2.6% | |||
1,340,596 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 1,340,596 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $1,340,596) | 1,340,596 | ||
TOTAL LONG INVESTMENTS (Cost $42,018,685) | 101.2% | $ 52,626,553 | |
COMMON STOCKS SOLD SHORT* — (65.3)% | |||
Aerospace & Defense — (1.5)% | |||
(3,720) | Boeing Co.1 | (769,222) | |
Banks — (2.6)% | |||
(620) | First Citizens BancShares, Inc. Class A | (624,451) | |
(11,420) | Glacier Bancorp, Inc. | (379,487) | |
(16,780) | Seacoast Banking Corp. of Florida | (372,348) | |
(1,376,286) | |||
Beverages — (1.0)% | |||
(1,560) | Boston Beer Co., Inc. Class A1 | (495,316) | |
Broadline Retail — (1.3)% | |||
(4,000) | Amazon.com, Inc.1 | (421,800) |
83 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Broadline Retail — (Continued) | |||
(1,760) | Dollar Tree, Inc.1 | $ (270,530) | |
(692,330) | |||
Building Products — (1.1)% | |||
(2,020) | Lennox International, Inc. | (569,458) | |
Capital Markets — (4.0)% | |||
(780) | BlackRock, Inc. | (523,536) | |
(660) | FactSet Research Systems, Inc. | (271,715) | |
(1,140) | Moody’s Corp. | (356,957) | |
(2,580) | Morningstar, Inc. | (460,040) | |
(4,280) | T Rowe Price Group, Inc. | (480,773) | |
(2,093,021) | |||
Chemicals — (3.2)% | |||
(3,680) | Ecolab, Inc. | (617,651) | |
(2,540) | FMC Corp. | (313,893) | |
(4,480) | International Flavors & Fragrances, Inc. | (434,381) | |
(4,600) | Scotts Miracle-Gro Co. | (307,326) | |
(1,673,251) | |||
Commercial Services & Supplies — (5.3)% | |||
(5,500) | Casella Waste Systems, Inc. Class A1 | (489,500) | |
(7,040) | Copart, Inc.1 | (556,512) | |
(4,240) | MSA Safety, Inc. | (550,140) | |
(13,140) | Stericycle, Inc.1 | (599,841) | |
(3,400) | Waste Management, Inc. | (564,570) | |
(2,760,563) | |||
Communications Equipment — (0.5)% | |||
(7,800) | ViaSat, Inc.1 | (273,234) | |
Construction & Engineering — (0.5)% | |||
(840) | Valmont Industries, Inc. | (244,070) | |
Distributors — (0.6)% | |||
(840) | Pool Corp. | (295,109) | |
Diversified Consumer Services — (1.0)% | |||
(6,840) | Bright Horizons Family Solutions, Inc.1 | (520,661) | |
Diversified REITs — (6.6)% | |||
(4,420) | Digital Realty Trust, Inc. | (438,243) | |
(29,520) | Elme Communities | (508,630) | |
(27,160) | Healthcare Realty Trust, Inc. Class A | (537,225) | |
(19,700) | Healthpeak Properties, Inc. | (432,809) | |
(11,000) | National Health Investors, Inc. REIT | (547,470) | |
(9,700) | Omega Healthcare Investors, Inc. REIT | (259,572) | |
(6,220) | Ventas, Inc. | (298,871) | |
(28,720) | Vornado Realty Trust | (431,087) | |
(3,453,907) | |||
Electric Utilities — (2.9)% | |||
(3,640) | Constellation Energy Corp. | (281,736) | |
(8,300) | MGE Energy, Inc. | (635,863) | |
(8,320) | Southern Co. | (611,936) | |
(1,529,535) | |||
Electrical Equipment — (2.5)% | |||
(3,160) | Emerson Electric Co. | (263,102) | |
(3,360) | Regal Rexnord Corp. | (437,337) |
84 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Electrical Equipment — (Continued) | |||
(2,200) | Rockwell Automation, Inc. | $ (623,502) | |
(1,323,941) | |||
Electronic Equipment, Instruments & Components — (3.2)% | |||
(11,040) | Cognex Corp. | (526,498) | |
(1,500) | Teledyne Technologies, Inc.1 | (621,600) | |
(1,800) | Zebra Technologies Corp. Class A1 | (518,454) | |
(1,666,552) | |||
Entertainment — (1.1)% | |||
(5,660) | Walt Disney Co.1 | (580,150) | |
Food Products — (1.9)% | |||
(2,140) | J&J Snack Foods Corp. | (327,848) | |
(7,440) | McCormick & Co., Inc. | (653,604) | |
(981,452) | |||
Ground Transportation — (1.0)% | |||
(2,720) | Union Pacific Corp. | (532,304) | |
Health Care Equipment & Supplies — (0.7)% | |||
(1,160) | Stryker Corp. | (347,594) | |
Hotels, Restaurants & Leisure — (2.7)% | |||
(7,060) | Cracker Barrel Old Country Store, Inc. | (749,490) | |
(860) | Domino’s Pizza, Inc. | (273,024) | |
(4,740) | Papa John’s International, Inc. | (354,505) | |
(1,377,019) | |||
Household Durables — (1.1)% | |||
(27,080) | Sonos, Inc.1 | (572,471) | |
Independent Power & Renewable Electricity Producer — (0.9)% | |||
(5,520) | Ormat Technologies, Inc. | (473,671) | |
Insurance — (5.0)% | |||
(3,880) | Allstate Corp. | (449,149) | |
(3,480) | Erie Indemnity Co. Class A | (756,308) | |
(11,700) | Kemper Corp. | (569,205) | |
(400) | Markel Corp.1 | (547,412) | |
(2,160) | Progressive Corp. | (294,624) | |
(2,616,698) | |||
Interactive Media & Service — (1.0)% | |||
(7,000) | Ziff Davis, Inc.1 | (511,980) | |
Life Sciences Tools & Services — (0.3)% | |||
(740) | Illumina, Inc.1 | (152,114) | |
Machinery — (0.8)% | |||
(4,600) | Stanley Black & Decker, Inc. | (397,164) | |
Oil, Gas & Consumable Fuels — (1.5)% | |||
(25,300) | Antero Midstream Corp. | (272,228) | |
(3,660) | Hess Corp. | (530,920) | |
(803,148) | |||
Professional Services — (1.3)% | |||
(3,240) | Equifax, Inc. | (675,151) | |
Semiconductors & Semiconductor Equipment — (1.2)% | |||
(5,620) | Micron Technology, Inc. | (361,703) |
85 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Semiconductors & Semiconductor Equipment — (Continued) | |||
(560) | Monolithic Power Systems, Inc. | $ (258,703) | |
(620,406) | |||
Software — (2.3)% | |||
(2,760) | Oracle Corp. | (261,427) | |
(4,840) | Pegasystems, Inc. | (220,801) | |
(1,820) | Tyler Technologies, Inc.1 | (689,835) | |
(1,172,063) | |||
Specialty Retail — (1.8)% | |||
(19,400) | Monro, Inc. | (948,272) | |
Technology Hardware, Storage & Peripherals — (1.0)% | |||
(14,360) | Western Digital Corp.1 | (494,557) | |
Water Utilities — (1.9)% | |||
(5,680) | American States Water Co. | (504,100) | |
(8,680) | California Water Service Group | (486,774) | |
(990,874) | |||
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(40,991,338)) | (33,983,544) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(40,991,338)) | (65.3)% | $(33,983,544) | |
TOTAL INVESTMENTS (Cost $1,027,347) | 35.9% | $ 18,643,009 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 64.1 | 33,343,997 | |
NET ASSETS | 100.0% | $ 51,987,006 |
* | 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 $7,801,362. |
3 | Securities or partial securities on loan. See Note 1. |
4 | Represents an investment of securities lending cash collateral. |
86 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Long Positions: | |||
Professional Services | 5.8% | $ 3,010,564 | |
Insurance | 5.2 | 2,720,523 | |
Software | 4.6 | 2,413,168 | |
Electronic Equipment, Instruments & Components | 4.5 | 2,328,276 | |
Media | 4.5 | 2,320,463 | |
Capital Markets | 3.5 | 1,827,289 | |
Electric Utilities | 3.4 | 1,780,548 | |
Construction & Engineering | 3.2 | 1,676,725 | |
Banks | 3.1 | 1,630,360 | |
Financial Services | 3.1 | 1,608,794 | |
Food Products | 3.0 | 1,554,033 | |
Retail REITs | 2.5 | 1,295,768 | |
Metals & Mining | 2.5 | 1,281,853 | |
Specialized REITs | 2.4 | 1,254,138 | |
Consumer Staples Distribution & Retail | 2.3 | 1,202,110 | |
Health Care Providers & Services | 2.2 | 1,132,743 | |
Broadline Retail | 2.1 | 1,106,832 | |
Hotels, Restaurants & Leisure | 2.1 | 1,079,450 | |
Distributors | 1.9 | 998,729 | |
Oil, Gas & Consumable Fuels | 1.8 | 924,760 | |
Air Freight & Logistics | 1.8 | 923,845 | |
Diversified Telecommunication Services | 1.7 | 904,079 | |
Hotel & Resort REITs | 1.6 | 858,031 | |
IT Services | 1.5 | 803,000 | |
Pharmaceuticals | 1.5 | 793,268 | |
Trading Companies & Distributors | 1.5 | 784,966 | |
Energy Equipment & Services | 1.5 | 776,917 | |
Textiles, Apparel & Luxury Goods | 1.5 | 754,169 | |
Automobiles | 1.4 | 731,612 | |
Communications Equipment | 1.3 | 690,795 | |
Chemicals | 1.3 | 684,743 | |
Building Products | 1.3 | 682,502 | |
Household Products | 1.2 | 609,882 | |
Technology Hardware, Storage & Peripherals | 1.2 | 602,954 | |
Diversified Consumer Services | 1.1 | 567,135 | |
Multi-Utilities | 1.1 | 557,816 | |
Life Sciences Tools & Services | 1.0 | 544,024 | |
Containers & Packaging | 1.0 | 523,176 | |
Gas Utilities | 1.0 | 515,398 | |
Commercial Services & Supplies | 1.0 | 494,600 | |
Semiconductors & Semiconductor Equipment | 0.9 | 468,636 | |
Household Durables | 0.9 | 465,372 | |
Aerospace & Defense | 0.8 | 418,470 | |
Beverages | 0.6 | 300,969 | |
Health Care Equipment & Supplies | 0.6 | 295,896 | |
Ground Transportation | 0.5 | 270,245 | |
Independent Power & Renewable Electricity Producer | 0.5 | 258,367 | |
Office REITs | 0.4 | 206,434 | |
Short Positions: | |||
Life Sciences Tools & Services | (0.3) | (152,114) | |
Construction & Engineering | (0.5) | (244,070) | |
Communications Equipment | (0.5) | (273,234) | |
Distributors | (0.6) | (295,109) |
87 |
% of Net Assets | Value | ||
INDUSTRIES: — (Continued) | |||
Short Positions: — (Continued) | |||
Health Care Equipment & Supplies | (0.7)% | $ (347,594) | |
Machinery | (0.8) | (397,164) | |
Independent Power & Renewable Electricity Producer | (0.9) | (473,671) | |
Technology Hardware, Storage & Peripherals | (1.0) | (494,557) | |
Beverages | (1.0) | (495,316) | |
Interactive Media & Service | (1.0) | (511,980) | |
Diversified Consumer Services | (1.0) | (520,661) | |
Ground Transportation | (1.0) | (532,304) | |
Building Products | (1.1) | (569,458) | |
Household Durables | (1.1) | (572,471) | |
Entertainment | (1.1) | (580,150) | |
Semiconductors & Semiconductor Equipment | (1.2) | (620,406) | |
Professional Services | (1.3) | (675,151) | |
Broadline Retail | (1.3) | (692,330) | |
Aerospace & Defense | (1.5) | (769,222) | |
Oil, Gas & Consumable Fuels | (1.5) | (803,148) | |
Specialty Retail | (1.8) | (948,272) | |
Food Products | (1.9) | (981,452) | |
Water Utilities | (1.9) | (990,874) | |
Software | (2.3) | (1,172,063) | |
Electrical Equipment | (2.5) | (1,323,941) | |
Banks | (2.6) | (1,376,286) | |
Hotels, Restaurants & Leisure | (2.7) | (1,377,019) | |
Electric Utilities | (2.9) | (1,529,535) | |
Electronic Equipment, Instruments & Components | (3.2) | (1,666,552) | |
Chemicals | (3.2) | (1,673,251) | |
Capital Markets | (4.0) | (2,093,021) | |
Insurance | (5.0) | (2,616,698) | |
Commercial Services & Supplies | (5.3) | (2,760,563) | |
Diversified REITs | (6.6) | (3,453,907) | |
TOTAL COMMON STOCKS | 30.1% | $15,650,883 | |
REPURCHASE AGREEMENT | 3.2 | 1,651,530 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 2.6 | 1,340,596 | |
TOTAL INVESTMENTS | 35.9% | $18,643,009 |
88 |
Shares | Value | ||
COMMON STOCKS* — 127.9% | |||
Aerospace & Defense — 0.5% | |||
4,940 | Parsons Corp.1,2 | $ 214,890 | |
Automobile Components — 1.1% | |||
9,780 | BorgWarner, Inc. | 470,711 | |
Automobiles — 2.8% | |||
40,400 | Ford Motor Co.2 | 479,952 | |
18,520 | Harley-Davidson, Inc. | 687,092 | |
1,167,044 | |||
Banks — 2.8% | |||
18,740 | Citizens Financial Group, Inc.2 | 579,816 | |
52,540 | FNB Corp. | 603,159 | |
1,182,975 | |||
Beverages — 0.6% | |||
3,680 | Coca-Cola Co.2 | 236,072 | |
Biotechnology — 1.2% | |||
26,600 | Exelixis, Inc.1 | 486,780 | |
Broadline Retail — 2.2% | |||
13,900 | eBay, Inc.2 | 645,377 | |
15,860 | Macy’s, Inc.2 | 259,152 | |
904,529 | |||
Building Products — 1.5% | |||
14,660 | Carrier Global Corp.2 | 613,081 | |
Capital Markets — 3.8% | |||
11,460 | Bank of New York Mellon Corp.2 | 488,082 | |
15,600 | Federated Hermes, Inc. | 645,684 | |
5,800 | Interactive Brokers Group, Inc. Class A2 | 451,530 | |
1,585,296 | |||
Chemicals — 1.3% | |||
12,800 | Mosaic Co.2 | 548,480 | |
Commercial Services & Supplies — 1.0% | |||
7,400 | Ritchie Bros Auctioneers, Inc.2 | 423,206 | |
Communications Equipment — 2.5% | |||
4,260 | Ciena Corp.1 | 196,130 | |
13,020 | Cisco Systems, Inc.2 | 615,195 | |
7,940 | Juniper Networks, Inc. | 239,391 | |
1,050,716 | |||
Construction & Engineering — 2.8% | |||
6,780 | EMCOR Group, Inc.2 | 1,159,380 | |
Consumer Staples Distribution & Retail — 3.3% | |||
12,700 | Kroger Co.2 | 617,601 | |
21,700 | Sprouts Farmers Market, Inc.1,2 | 752,122 | |
1,369,723 | |||
Containers & Packaging — 2.0% | |||
11,520 | Graphic Packaging Holding Co. | 284,083 | |
10,960 | Silgan Holdings, Inc. | 539,890 | |
823,973 | |||
Distributors — 2.0% | |||
14,560 | LKQ Corp.2 | 840,549 |
89 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Diversified REITs — 0.5% | |||
8,620 | Essential Properties Realty Trust, Inc. REIT | $ 213,345 | |
Diversified Telecommunication Services — 1.8% | |||
12,720 | AT&T, Inc. | 224,762 | |
13,660 | Verizon Communications, Inc.2 | 530,418 | |
755,180 | |||
Electric Utilities — 2.2% | |||
7,400 | Eversource Energy2 | 574,314 | |
4,520 | Pinnacle West Capital Corp.2 | 354,639 | |
928,953 | |||
Electrical Equipment — 1.0% | |||
10,300 | nVent Electric PLC2 | 431,879 | |
Electronic Equipment, Instruments & Components — 4.5% | |||
6,980 | Amphenol Corp. Class A2 | 526,781 | |
4,220 | Arrow Electronics, Inc.1 | 482,895 | |
11,760 | Sanmina Corp.1 | 614,577 | |
9,700 | Vontier Corp. | 263,161 | |
1,887,414 | |||
Energy Equipment & Services — 2.7% | |||
20,660 | Baker Hughes Co. Class A2 | 604,098 | |
40,300 | Liberty Energy, Inc. | 516,243 | |
1,120,341 | |||
Entertainment — 1.3% | |||
7,320 | Liberty Media Corp-Liberty Formula One1 | 528,431 | |
Financial Services — 5.0% | |||
5,740 | Essent Group Ltd. | 243,778 | |
2,980 | Fiserv, Inc.1,2 | 363,918 | |
52,320 | MGIC Investment Corp. | 777,998 | |
9,120 | Voya Financial, Inc.3 | 697,498 | |
2,083,192 | |||
Food Products — 4.6% | |||
2,600 | Archer-Daniels-Midland Co.2 | 203,008 | |
7,660 | Cal-Maine Foods, Inc. | 363,850 | |
11,380 | Darling Ingredients, Inc.1,2 | 677,907 | |
7,360 | General Mills, Inc.2 | 652,317 | |
1,897,082 | |||
Gas Utilities — 1.6% | |||
7,460 | National Fuel Gas Co. | 417,014 | |
7,840 | UGI Corp.2 | 265,619 | |
682,633 | |||
Ground Transportation — 1.8% | |||
18,140 | CSX Corp.2 | 555,810 | |
11,200 | RXO, Inc.1,2 | 202,608 | |
758,418 | |||
Health Care Equipment & Supplies — 2.7% | |||
11,140 | Envista Holdings Corp.1 | 428,778 | |
8,420 | Merit Medical Systems, Inc.1 | 684,462 | |
1,113,240 |
90 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Health Care Providers & Services — 4.5% | |||
7,780 | Centene Corp.1,2 | $ 536,275 | |
6,960 | Henry Schein, Inc.1,2 | 562,438 | |
2,548 | Molina Healthcare, Inc.1,2 | 759,024 | |
1,857,737 | |||
Hotel & Resort REITs — 0.9% | |||
11,400 | Apple Hospitality REIT, Inc. | 169,746 | |
12,840 | Host Hotels & Resorts, Inc.2 | 207,623 | |
377,369 | |||
Hotels, Restaurants & Leisure — 2.2% | |||
32,660 | International Game Technology PLC3 | 919,052 | |
Household Durables — 2.3% | |||
22,480 | Taylor Morrison Home Corp.1,2 | 968,663 | |
Insurance — 3.9% | |||
9,920 | Arch Capital Group Ltd.1,2 | 744,694 | |
4,140 | Axis Capital Holdings Ltd.2 | 234,076 | |
14,880 | Unum Group2 | 627,936 | |
1,606,706 | |||
IT Services — 2.3% | |||
2,720 | Akamai Technologies, Inc.1 | 222,958 | |
8,000 | Amdocs Ltd.2 | 730,000 | |
952,958 | |||
Life Sciences Tools & Services — 2.2% | |||
20,240 | Avantor, Inc.1 | 394,275 | |
2,520 | Medpace Holdings, Inc.1 | 504,353 | |
898,628 | |||
Machinery — 2.8% | |||
42,100 | Gates Industrial Corp. PLC1 | 567,087 | |
3,940 | Hillenbrand, Inc. | 179,743 | |
5,820 | PACCAR, Inc.2 | 434,696 | |
1,181,526 | |||
Media — 6.2% | |||
17,600 | Comcast Corp. Class A2 | 728,112 | |
16,160 | Fox Corp. Class A | 537,482 | |
15,820 | Interpublic Group of Cos., Inc. | 565,249 | |
8,480 | Omnicom Group, Inc. | 768,033 | |
2,598,876 | |||
Metals & Mining — 1.5% | |||
2,546 | Reliance Steel & Aluminum Co.2 | 630,899 | |
Multi-Utilities — 1.5% | |||
22,020 | NiSource, Inc.2 | 626,689 | |
Oil, Gas & Consumable Fuels — 2.3% | |||
8,020 | Marathon Petroleum Corp. | 978,440 | |
Passenger Airlines — 0.5% | |||
4,800 | Alaska Air Group, Inc.1,2 | 208,608 | |
Personal Care Products — 1.5% | |||
6,540 | elf Beauty, Inc.1 | 606,650 | |
Pharmaceuticals — 4.7% | |||
10,160 | Amphastar Pharmaceuticals, Inc.1 | 363,423 |
91 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Pharmaceuticals — (Continued) | |||
8,180 | Bristol-Myers Squibb Co. | $ 546,179 | |
13,360 | Pfizer, Inc.2 | 519,570 | |
14,700 | Supernus Pharmaceuticals, Inc.1 | 541,842 | |
1,971,014 | |||
Professional Services — 4.6% | |||
11,800 | CBIZ, Inc.1,2 | 621,742 | |
10,540 | CSG Systems International, Inc.2 | 555,247 | |
16,560 | Genpact Ltd.2 | 737,748 | |
1,914,737 | |||
Retail REITs — 2.7% | |||
12,860 | National Retail Properties, Inc.2 | 559,410 | |
9,040 | Regency Centers Corp. REIT2 | 555,327 | |
1,114,737 | |||
Semiconductors & Semiconductor Equipment — 2.6% | |||
8,860 | Diodes, Inc.1 | 706,142 | |
5,180 | ON Semiconductor Corp.1,2 | 372,753 | |
1,078,895 | |||
Software — 9.1% | |||
24,560 | Box, Inc. Class A1 | 649,858 | |
8,700 | Clear Secure, Inc. Class A3 | 210,453 | |
23,920 | Dropbox, Inc. Class A1 | 486,533 | |
31,540 | Gen Digital, Inc.2 | 557,312 | |
10,200 | PagerDuty, Inc.1 | 306,612 | |
12,780 | Progress Software Corp. | 701,366 | |
6,120 | SPS Commerce, Inc.1 | 901,476 | |
3,813,610 | |||
Specialized REITs — 1.4% | |||
16,680 | VICI Properties, Inc.2 | 566,119 | |
Specialty Retail — 2.6% | |||
3,660 | Academy Sports & Outdoors, Inc. | 232,483 | |
20,040 | Foot Locker, Inc. | 841,480 | |
1,073,963 | |||
Technology Hardware, Storage & Peripherals — 2.7% | |||
43,460 | Hewlett Packard Enterprise Co.2 | 622,347 | |
22,540 | Pure Storage, Inc. Class A1 | 514,588 | |
1,136,935 | |||
Trading Companies & Distributors — 1.8% | |||
5,260 | WESCO International, Inc.2 | 757,440 | |
TOTAL COMMON STOCKS (Cost $42,535,670) | 53,317,764 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.2% | |||
$ 85,327 | With Fixed Income Clearing Corp., dated 4/28/23, 1.44%, principal and interest in the amount of $85,337, due 5/1/23, (collateralized by a U.S. Treasury Note with a par value of $87,200, coupon rate of 4.375%, due 10/31/2024, market value of $87,108) | 85,327 | |
TOTAL REPURCHASE AGREEMENT (Cost $85,327) | 85,327 |
92 |
Shares | Value | ||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 2.5% | |||
1,034,845 | State Street Navigator Securities Lending Government Money Market Portfolio4 | $ 1,034,845 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $1,034,845) | 1,034,845 | ||
TOTAL LONG INVESTMENTS (Cost $43,655,842) | 130.6% | $ 54,437,936 | |
COMMON STOCKS SOLD SHORT* — (28.1)% | |||
Aerospace & Defense — (1.2)% | |||
(1,020) | Boeing Co.1 | (210,916) | |
(2,020) | Mercury Systems, Inc.1 | (96,293) | |
(2,040) | Raytheon Technologies Corp. | (203,796) | |
(511,005) | |||
Banks — (0.3)% | |||
(3,500) | Glacier Bancorp, Inc. | (116,305) | |
Beverages — (1.2)% | |||
(500) | Boston Beer Co., Inc. Class A1 | (158,755) | |
(2,560) | Brown-Forman Corp. Class B | (166,630) | |
(700) | Constellation Brands, Inc. Class A | (160,629) | |
(486,014) | |||
Broadline Retail — (0.6)% | |||
(800) | Amazon.com, Inc.1 | (84,360) | |
(1,200) | Dollar Tree, Inc.1 | (184,452) | |
(268,812) | |||
Building Products — (0.6)% | |||
(600) | Lennox International, Inc. | (169,146) | |
(1,200) | Trex Co., Inc.1 | (65,592) | |
(234,738) | |||
Capital Markets — (1.4)% | |||
(300) | Moody’s Corp. | (93,936) | |
(1,800) | Morgan Stanley | (161,946) | |
(740) | Morningstar, Inc. | (131,950) | |
(1,600) | T Rowe Price Group, Inc. | (179,728) | |
(567,560) | |||
Chemicals — (1.2)% | |||
(1,100) | Ecolab, Inc. | (184,624) | |
(1,600) | International Flavors & Fragrances, Inc. | (155,136) | |
(700) | Sherwin-Williams Co. | (166,278) | |
(506,038) | |||
Commercial Services & Supplies — (3.1)% | |||
(1,900) | Casella Waste Systems, Inc. Class A1 | (169,100) | |
(1,200) | Clean Harbors, Inc.1 | (174,192) | |
(2,400) | Copart, Inc.1 | (189,720) | |
(1,440) | MSA Safety, Inc. | (186,840) | |
(4,600) | Rollins, Inc. | (194,350) | |
(4,040) | Stericycle, Inc.1 | (184,426) | |
(1,120) | Waste Management, Inc. | (185,976) | |
(1,284,604) | |||
Distributors — (0.4)% | |||
(500) | Pool Corp. | (175,660) | |
Diversified Consumer Services — (0.1)% | |||
(634) | Bright Horizons Family Solutions, Inc.1 | (48,260) |
93 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Diversified REITs — (2.7)% | |||
(1,420) | Digital Realty Trust, Inc. | $ (140,793) | |
(6,940) | Healthcare Realty Trust, Inc. Class A | (137,273) | |
(5,640) | Healthpeak Properties, Inc. | (123,911) | |
(3,300) | National Health Investors, Inc. REIT | (164,241) | |
(1,120) | Target Corp. | (176,680) | |
(2,920) | Ventas, Inc. | (140,306) | |
(6,260) | Vornado Realty Trust | (93,963) | |
(1,800) | Welltower, Inc. REIT | (142,596) | |
(1,119,763) | |||
Electric Utilities — (0.8)% | |||
(2,280) | MGE Energy, Inc. | (174,671) | |
(1,920) | Southern Co. | (141,216) | |
(315,887) | |||
Electrical Equipment — (1.1)% | |||
(1,840) | Emerson Electric Co. | (153,198) | |
(1,100) | Regal Rexnord Corp. | (143,176) | |
(600) | Rockwell Automation, Inc. | (170,046) | |
(466,420) | |||
Electronic Equipment, Instruments & Components — (0.5)% | |||
(1,980) | Cognex Corp. | (94,426) | |
(360) | Zebra Technologies Corp. Class A1 | (103,691) | |
(198,117) | |||
Food Products — (0.7)% | |||
(800) | J&J Snack Foods Corp. | (122,560) | |
(2,100) | McCormick & Co., Inc. | (184,485) | |
(307,045) | |||
Ground Transportation — (1.2)% | |||
(740) | Norfolk Southern Corp. | (150,242) | |
(3,420) | U-Haul Holding Co. | (185,022) | |
(900) | Union Pacific Corp. | (176,130) | |
(511,394) | |||
Health Care Equipment & Supplies — (1.0)% | |||
(500) | Becton Dickinson & Co. | (132,155) | |
(500) | Intuitive Surgical, Inc.1 | (150,610) | |
(500) | Stryker Corp. | (149,825) | |
(432,590) | |||
Hotels, Restaurants & Leisure — (1.1)% | |||
(1,580) | Cracker Barrel Old Country Store, Inc. | (167,733) | |
(500) | Domino’s Pizza, Inc. | (158,735) | |
(1,880) | Papa John’s International, Inc. | (140,605) | |
(467,073) | |||
Household Durables — (0.8)% | |||
(5,320) | Leggett & Platt, Inc. | (171,889) | |
(8,420) | Sonos, Inc.1 | (177,999) | |
(349,888) | |||
Independent Power & Renewable Electricity Producer — (0.3)% | |||
(1,380) | Ormat Technologies, Inc. | (118,418) | |
Insurance — (1.7)% | |||
(1,580) | Allstate Corp. | (182,901) | |
(1,640) | Cincinnati Financial Corp. | (174,561) |
94 |
Shares | Value | ||
COMMON STOCKS SOLD SHORT* — (Continued) | |||
Insurance — (Continued) | |||
(720) | Erie Indemnity Co. Class A | $ (156,478) | |
(3,860) | Kemper Corp. | (187,789) | |
(701,729) | |||
IT Services — (0.3)% | |||
(1,620) | Maximus, Inc. | (135,513) | |
Machinery — (0.9)% | |||
(700) | RBC Bearings, Inc.1 | (158,907) | |
(2,300) | Stanley Black & Decker, Inc. | (198,582) | |
(357,489) | |||
Oil, Gas & Consumable Fuels — (0.3)% | |||
(1,000) | Hess Corp. | (145,060) | |
Professional Services — (0.5)% | |||
(900) | Equifax, Inc. | (187,542) | |
Software — (0.4)% | |||
(400) | Tyler Technologies, Inc.1 | (151,612) | |
Specialty Retail — (1.3)% | |||
(4,720) | Bath & Body Works, Inc. | (165,672) | |
(2,480) | CarMax, Inc.1 | (173,674) | |
(200) | O’Reilly Automotive, Inc.1 | (183,462) | |
(522,808) | |||
Technology Hardware, Storage & Peripherals — (0.4)% | |||
(4,800) | Western Digital Corp.1 | (165,312) | |
Trading Companies & Distributors — (0.5)% | |||
(2,420) | H&E Equipment Services, Inc. | (88,330) | |
(1,400) | McGrath RentCorp | (124,432) | |
(212,762) | |||
Water Utilities — (1.5)% | |||
(2,000) | American States Water Co. | (177,500) | |
(3,660) | California Water Service Group | (205,253) | |
(2,180) | Essential Utilities, Inc. | (93,086) | |
(2,200) | SJW Group | (167,024) | |
(642,863) | |||
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $(13,150,941)) | (11,708,281) | ||
TOTAL SHORT INVESTMENTS (Proceeds $(13,150,941)) | (28.1)% | $(11,708,281) | |
TOTAL INVESTMENTS (Cost $30,504,901) | 102.5% | $ 42,729,655 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (2.5) | (1,050,626) | |
NET ASSETS | 100.0% | $ 41,679,029 |
* | 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 $13,615,246. |
3 | Securities or partial securities on loan. See Note 1. |
4 | Represents an investment of securities lending cash collateral. |
95 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Long Positions: | |||
Software | 9.1% | $ 3,813,610 | |
Media | 6.2 | 2,598,876 | |
Financial Services | 5.0 | 2,083,192 | |
Pharmaceuticals | 4.7 | 1,971,014 | |
Professional Services | 4.6 | 1,914,737 | |
Food Products | 4.6 | 1,897,082 | |
Electronic Equipment, Instruments & Components | 4.5 | 1,887,414 | |
Health Care Providers & Services | 4.5 | 1,857,737 | |
Insurance | 3.9 | 1,606,706 | |
Capital Markets | 3.8 | 1,585,296 | |
Consumer Staples Distribution & Retail | 3.3 | 1,369,723 | |
Banks | 2.8 | 1,182,975 | |
Machinery | 2.8 | 1,181,526 | |
Automobiles | 2.8 | 1,167,044 | |
Construction & Engineering | 2.8 | 1,159,380 | |
Technology Hardware, Storage & Peripherals | 2.7 | 1,136,935 | |
Energy Equipment & Services | 2.7 | 1,120,341 | |
Retail REITs | 2.7 | 1,114,737 | |
Health Care Equipment & Supplies | 2.7 | 1,113,240 | |
Semiconductors & Semiconductor Equipment | 2.6 | 1,078,895 | |
Specialty Retail | 2.6 | 1,073,963 | |
Communications Equipment | 2.5 | 1,050,716 | |
Oil, Gas & Consumable Fuels | 2.3 | 978,440 | |
Household Durables | 2.3 | 968,663 | |
IT Services | 2.3 | 952,958 | |
Electric Utilities | 2.2 | 928,953 | |
Hotels, Restaurants & Leisure | 2.2 | 919,052 | |
Broadline Retail | 2.2 | 904,529 | |
Life Sciences Tools & Services | 2.2 | 898,628 | |
Distributors | 2.0 | 840,549 | |
Containers & Packaging | 2.0 | 823,973 | |
Ground Transportation | 1.8 | 758,418 | |
Trading Companies & Distributors | 1.8 | 757,440 | |
Diversified Telecommunication Services | 1.8 | 755,180 | |
Gas Utilities | 1.6 | 682,633 | |
Metals & Mining | 1.5 | 630,899 | |
Multi-Utilities | 1.5 | 626,689 | |
Building Products | 1.5 | 613,081 | |
Personal Care Products | 1.5 | 606,650 | |
Specialized REITs | 1.4 | 566,119 | |
Chemicals | 1.3 | 548,480 | |
Entertainment | 1.3 | 528,431 | |
Biotechnology | 1.2 | 486,780 | |
Automobile Components | 1.1 | 470,711 | |
Electrical Equipment | 1.0 | 431,879 | |
Commercial Services & Supplies | 1.0 | 423,206 | |
Hotel & Resort REITs | 0.9 | 377,369 | |
Beverages | 0.6 | 236,072 | |
Aerospace & Defense | 0.5 | 214,890 | |
Diversified REITs | 0.5 | 213,345 | |
Passenger Airlines | 0.5 | 208,608 |
96 |
% of Net Assets | Value | ||
INDUSTRIES: — (Continued) | |||
Short Positions: | |||
Diversified Consumer Services | (0.1)% | $ (48,260) | |
Banks | (0.3) | (116,305) | |
Independent Power & Renewable Electricity Producer | (0.3) | (118,418) | |
IT Services | (0.3) | (135,513) | |
Oil, Gas & Consumable Fuels | (0.3) | (145,060) | |
Software | (0.4) | (151,612) | |
Technology Hardware, Storage & Peripherals | (0.4) | (165,312) | |
Distributors | (0.4) | (175,660) | |
Professional Services | (0.5) | (187,542) | |
Electronic Equipment, Instruments & Components | (0.5) | (198,117) | |
Trading Companies & Distributors | (0.5) | (212,762) | |
Building Products | (0.6) | (234,738) | |
Broadline Retail | (0.6) | (268,812) | |
Food Products | (0.7) | (307,045) | |
Electric Utilities | (0.8) | (315,887) | |
Household Durables | (0.8) | (349,888) | |
Machinery | (0.9) | (357,489) | |
Health Care Equipment & Supplies | (1.0) | (432,590) | |
Electrical Equipment | (1.1) | (466,420) | |
Hotels, Restaurants & Leisure | (1.1) | (467,073) | |
Beverages | (1.2) | (486,014) | |
Chemicals | (1.2) | (506,038) | |
Aerospace & Defense | (1.2) | (511,005) | |
Ground Transportation | (1.2) | (511,394) | |
Specialty Retail | (1.3) | (522,808) | |
Capital Markets | (1.4) | (567,560) | |
Water Utilities | (1.5) | (642,863) | |
Insurance | (1.7) | (701,729) | |
Diversified REITs | (2.7) | (1,119,763) | |
Commercial Services & Supplies | (3.1) | (1,284,604) | |
TOTAL COMMON STOCKS | 99.8% | $41,609,483 | |
REPURCHASE AGREEMENT | 0.2 | 85,327 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 2.5 | 1,034,845 | |
TOTAL INVESTMENTS | 102.5% | $42,729,655 |
97 |
Shares | Value | ||
COMMON STOCKS* — 99.4% | |||
Aerospace & Defense — 2.3% | |||
42,822 | Raytheon Technologies Corp. | $ 4,277,918 | |
Banks — 4.3% | |||
29,644 | JPMorgan Chase & Co. | 4,097,987 | |
28,814 | PNC Financial Services Group, Inc. | 3,753,023 | |
7,851,010 | |||
Beverages — 2.3% | |||
22,617 | PepsiCo, Inc. | 4,317,359 | |
Broadline Retail — 1.8% | |||
31,325 | Amazon.com, Inc.1 | 3,303,221 | |
Capital Markets — 1.3% | |||
30,355 | Northern Trust Corp. | 2,372,547 | |
Chemicals — 1.6% | |||
21,519 | PPG Industries, Inc. | 3,018,255 | |
Communications Equipment — 1.8% | |||
70,653 | Cisco Systems, Inc. | 3,338,354 | |
Construction Materials — 2.7% | |||
13,412 | Martin Marietta Materials, Inc. | 4,871,239 | |
Consumer Staples Distribution & Retail — 2.0% | |||
16,795 | Dollar General Corp. | 3,719,421 | |
Electrical Equipment — 2.7% | |||
35,537 | AMETEK, Inc. | 4,901,619 | |
Electronic Equipment, Instruments & Components — 3.3% | |||
80,083 | Amphenol Corp. Class A | 6,043,864 | |
Financial Services — 6.4% | |||
30,912 | Global Payments, Inc. | 3,484,091 | |
21,894 | Mastercard, Inc. Class A | 8,320,377 | |
11,804,468 | |||
Ground Transportation — 4.0% | |||
13,068 | Old Dominion Freight Line, Inc. | 4,186,856 | |
15,931 | Union Pacific Corp. | 3,117,697 | |
7,304,553 | |||
Health Care Equipment & Supplies — 4.7% | |||
43,984 | Abbott Laboratories | 4,858,912 | |
12,841 | Stryker Corp. | 3,847,806 | |
8,706,718 | |||
Health Care Providers & Services — 3.5% | |||
18,917 | Laboratory Corp. of America Holdings | 4,288,673 | |
4,343 | UnitedHealth Group, Inc. | 2,137,147 | |
6,425,820 | |||
Hotels, Restaurants & Leisure — 3.9% | |||
2,693 | Booking Holdings, Inc.1 | 7,234,233 | |
Household Products — 1.8% | |||
33,439 | Church & Dwight Co., Inc. | 3,247,596 | |
Insurance — 2.7% | |||
24,577 | Chubb Ltd. | 4,953,740 | |
Interactive Media & Service — 5.0% | |||
84,379 | Alphabet, Inc. Class C1 | 9,131,495 |
98 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
IT Services — 4.2% | |||
13,526 | Accenture PLC Class A | $ 3,791,202 | |
13,110 | Gartner, Inc.1 | 3,965,251 | |
7,756,453 | |||
Life Sciences Tools & Services — 2.1% | |||
13,047 | Waters Corp.1 | 3,918,797 | |
Machinery — 2.2% | |||
12,576 | Parker-Hannifin Corp. | 4,085,691 | |
Media — 2.5% | |||
109,592 | Comcast Corp. Class A | 4,533,821 | |
Oil, Gas & Consumable Fuels — 3.5% | |||
38,161 | Chevron Corp. | 6,433,181 | |
Pharmaceuticals — 6.3% | |||
52,937 | Bristol-Myers Squibb Co. | 3,534,603 | |
14,295 | Eli Lilly & Co. | 5,658,819 | |
13,222 | Zoetis, Inc. | 2,324,163 | |
11,517,585 | |||
Software — 8.8% | |||
6,006 | Adobe, Inc.1 | 2,267,625 | |
30,985 | Microsoft Corp. | 9,520,451 | |
47,301 | Oracle Corp. | 4,480,351 | |
16,268,427 | |||
Specialty Retail — 7.2% | |||
8,015 | Home Depot, Inc. | 2,408,828 | |
42,493 | Ross Stores, Inc. | 4,535,278 | |
11,437 | Ulta Beauty, Inc.1 | 6,306,705 | |
13,250,811 | |||
Technology Hardware, Storage & Peripherals — 4.5% | |||
48,783 | Apple, Inc. | 8,277,500 | |
TOTAL COMMON STOCKS (Cost $83,880,409) | 182,865,696 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 0.6% | |||
$1,147,063 | With Fixed Income Clearing Corp., dated 4/28/23, 1.44%, principal and interest in the amount of $1,147,201, due 5/1/23, (collateralized by a U.S. Treasury Note with a par value of $1,171,300, coupon rate of 4.375%, due 10/31/2024, market value of $1,170,065) | 1,147,063 | |
TOTAL REPURCHASE AGREEMENT (Cost $1,147,063) | 1,147,063 | ||
TOTAL INVESTMENTS (Cost $85,027,472) | 100.0% | $184,012,759 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.0) | (54,378) | |
NET ASSETS | 100.0% | $183,958,381 |
* | Percentages indicated are based on net assets. |
1 | Non income-producing security. |
99 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Software | 8.8% | $ 16,268,427 | |
Specialty Retail | 7.2 | 13,250,811 | |
Financial Services | 6.4 | 11,804,468 | |
Pharmaceuticals | 6.3 | 11,517,585 | |
Interactive Media & Service | 5.0 | 9,131,495 | |
Health Care Equipment & Supplies | 4.7 | 8,706,718 | |
Technology Hardware, Storage & Peripherals | 4.5 | 8,277,500 | |
Banks | 4.3 | 7,851,010 | |
IT Services | 4.2 | 7,756,453 | |
Ground Transportation | 4.0 | 7,304,553 | |
Hotels, Restaurants & Leisure | 3.9 | 7,234,233 | |
Oil, Gas & Consumable Fuels | 3.5 | 6,433,181 | |
Health Care Providers & Services | 3.5 | 6,425,820 | |
Electronic Equipment, Instruments & Components | 3.3 | 6,043,864 | |
Insurance | 2.7 | 4,953,740 | |
Electrical Equipment | 2.7 | 4,901,619 | |
Construction Materials | 2.7 | 4,871,239 | |
Media | 2.5 | 4,533,821 | |
Beverages | 2.3 | 4,317,359 | |
Aerospace & Defense | 2.3 | 4,277,918 | |
Machinery | 2.2 | 4,085,691 | |
Life Sciences Tools & Services | 2.1 | 3,918,797 | |
Consumer Staples Distribution & Retail | 2.0 | 3,719,421 | |
Communications Equipment | 1.8 | 3,338,354 | |
Broadline Retail | 1.8 | 3,303,221 | |
Household Products | 1.8 | 3,247,596 | |
Chemicals | 1.6 | 3,018,255 | |
Capital Markets | 1.3 | 2,372,547 | |
TOTAL COMMON STOCKS | 99.4% | $182,865,696 | |
REPURCHASE AGREEMENT | 0.6 | 1,147,063 | |
TOTAL INVESTMENTS | 100.0% | $184,012,759 |
100 |
Shares | Value | ||
COMMON STOCKS* — 98.6% | |||
Automobile Components — 0.8% | |||
73,725 | LCI Industries | $ 8,327,976 | |
Banks — 9.3% | |||
286,530 | Ameris Bancorp | 9,598,755 | |
433,307 | BankUnited, Inc. | 9,771,073 | |
278,856 | Cathay General Bancorp | 8,887,141 | |
483,753 | Columbia Banking System, Inc. | 10,332,964 | |
1,250,317 | FNB Corp. | 14,353,639 | |
301,880 | Hancock Whitney Corp. | 11,024,658 | |
425,145 | Simmons First National Corp. Class A | 7,104,173 | |
338,246 | Western Alliance Bancorp | 12,555,691 | |
150,242 | Wintrust Financial Corp. | 10,272,045 | |
93,900,139 | |||
Biotechnology — 3.2% | |||
447,704 | Alkermes PLC1 | 12,781,949 | |
315,602 | Halozyme Therapeutics, Inc.1 | 10,140,292 | |
951,924 | Ironwood Pharmaceuticals, Inc.1 | 9,909,529 | |
32,831,770 | |||
Broadline Retail — 0.8% | |||
347,000 | Kohl’s Corp. | 7,644,410 | |
Building Products — 2.2% | |||
901,456 | Hayward Holdings, Inc.1,2 | 10,853,530 | |
126,055 | Masonite International Corp.1 | 11,522,688 | |
22,376,218 | |||
Capital Markets — 3.4% | |||
96,285 | Evercore, Inc. Class A | 10,983,230 | |
200,943 | Stifel Financial Corp. | 12,050,551 | |
577,015 | Virtu Financial, Inc. Class A | 11,569,151 | |
34,602,932 | |||
Chemicals — 2.7% | |||
153,498 | Ingevity Corp.1 | 11,011,946 | |
477,474 | Valvoline, Inc. | 16,496,727 | |
27,508,673 | |||
Construction & Engineering — 4.0% | |||
180,244 | Arcosa, Inc. | 12,173,680 | |
105,821 | Dycom Industries, Inc.1 | 9,801,141 | |
105,821 | EMCOR Group, Inc. | 18,095,391 | |
40,070,212 | |||
Consumer Staples Distribution & Retail — 1.0% | |||
343,046 | Grocery Outlet Holding Corp.1 | 10,215,910 | |
Containers & Packaging — 2.4% | |||
535,385 | Graphic Packaging Holding Co. | 13,202,594 | |
224,201 | Silgan Holdings, Inc. | 11,044,141 | |
24,246,735 | |||
Diversified Consumer Services — 1.2% | |||
435,378 | Frontdoor, Inc.1 | 11,911,942 | |
Electric Utilities — 1.0% | |||
209,083 | Portland General Electric Co. | 10,583,782 | |
Electrical Equipment — 1.2% | |||
146,754 | EnerSys | 12,176,179 |
101 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Electronic Equipment, Instruments & Components — 0.9% | |||
733,072 | TTM Technologies, Inc.1 | $ 8,657,580 | |
Energy Equipment & Services — 1.6% | |||
228,620 | Helmerich & Payne, Inc. | 7,581,039 | |
705,163 | Liberty Energy, Inc. | 9,033,138 | |
16,614,177 | |||
Financial Services — 1.0% | |||
424,214 | Radian Group, Inc. | 10,295,674 | |
Food Products — 2.1% | |||
810,752 | Hostess Brands, Inc.1 | 20,884,972 | |
Gas Utilities — 1.3% | |||
247,691 | New Jersey Resources Corp. | 12,790,763 | |
Health Care Equipment & Supplies — 4.5% | |||
94,890 | CONMED Corp.2 | 11,915,337 | |
188,384 | Integra LifeSciences Holdings Corp.1 | 10,421,403 | |
42,561 | Mesa Laboratories, Inc. | 7,086,832 | |
471,427 | Neogen Corp.1 | 8,117,973 | |
194,199 | NuVasive, Inc.1 | 8,358,325 | |
45,899,870 | |||
Health Care Providers & Services — 3.0% | |||
209,549 | HealthEquity, Inc.1 | 11,200,394 | |
1,211,012 | R1 RCM, Inc.1 | 18,879,677 | |
30,080,071 | |||
Health Care Technology — 3.0% | |||
583,992 | Certara, Inc.1 | 14,115,086 | |
441,192 | Evolent Health, Inc. Class A1 | 16,063,801 | |
30,178,887 | |||
Hotels, Restaurants & Leisure — 1.9% | |||
280,716 | Boyd Gaming Corp. | 19,481,690 | |
Household Durables — 2.1% | |||
295,368 | La-Z-Boy, Inc. | 8,485,923 | |
436,075 | Tri Pointe Homes, Inc.1 | 12,506,631 | |
20,992,554 | |||
Household Products — 1.0% | |||
308,392 | Energizer Holdings, Inc. | 10,309,545 | |
Industrial REITs — 1.9% | |||
925,876 | LXP Industrial Trust | 8,703,234 | |
317,695 | STAG Industrial, Inc. | 10,760,330 | |
19,463,564 | |||
Insurance — 1.0% | |||
239,783 | Stewart Information Services Corp. | 9,986,962 | |
Interactive Media & Services — 1.8% | |||
649,113 | Cargurus, Inc.1 | 10,671,418 | |
104,658 | Ziff Davis, Inc.1 | 7,654,686 | |
18,326,104 | |||
IT Services — 1.0% | |||
304,904 | DigitalOcean Holdings, Inc.1,2 | 9,616,672 | |
Leisure Product — 0.9% | |||
231,876 | YETI Holdings, Inc.1 | 9,147,508 |
102 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Life Sciences Tools & Services — 3.6% | |||
365,041 | Maravai LifeSciences Holdings, Inc. Class A1 | $ 5,033,916 | |
82,563 | Medpace Holdings, Inc.1 | 16,524,159 | |
1,023,557 | NeoGenomics, Inc.1 | 14,964,403 | |
36,522,478 | |||
Machinery — 1.3% | |||
284,205 | Hillenbrand, Inc. | 12,965,432 | |
Media — 1.3% | |||
74,423 | Nexstar Media Group, Inc. | 12,908,669 | |
Office REITs — 0.5% | |||
772,610 | Piedmont Office Realty Trust, Inc. Class A | 5,029,691 | |
Oil, Gas & Consumable Fuels — 4.3% | |||
877,733 | CNX Resources Corp.1 | 13,631,194 | |
186,524 | PDC Energy, Inc. | 12,133,386 | |
361,884 | SM Energy Co. | 10,161,703 | |
581,202 | Talos Energy, Inc.1 | 7,921,783 | |
43,848,066 | |||
Pharmaceuticals — 2.7% | |||
266,064 | Pacira BioSciences, Inc.1 | 12,055,360 | |
250,947 | Prestige Consumer Healthcare, Inc.1 | 15,440,769 | |
27,496,129 | |||
Professional Services — 3.4% | |||
127,915 | ASGN, Inc.1 | 9,157,435 | |
43,491 | CACI International, Inc. Class A1 | 13,626,600 | |
679,348 | Verra Mobility Corp.1,2 | 11,514,949 | |
34,298,984 | |||
Real Estate Management & Development — 1.5% | |||
664,230 | Cushman & Wakefield PLC1,2 | 6,542,665 | |
488,405 | Kennedy-Wilson Holdings, Inc. | 8,195,436 | |
14,738,101 | |||
Semiconductors & Semiconductor Equipment — 2.4% | |||
189,780 | Diodes, Inc.1 | 15,125,466 | |
199,315 | Rambus, Inc.1 | 8,837,627 | |
23,963,093 | |||
Software — 4.4% | |||
198,850 | CommVault Systems, Inc.1 | 11,586,990 | |
230,480 | Progress Software Corp. | 12,648,742 | |
85,122 | SPS Commerce, Inc.1 | 12,538,471 | |
210,711 | Verint Systems, Inc.1 | 7,688,844 | |
44,463,047 | |||
Specialized REITs — 0.7% | |||
454,681 | Outfront Media, Inc. | 7,574,986 | |
Specialty Retail — 3.0% | |||
70,469 | Asbury Automotive Group, Inc.1 | 13,632,933 | |
385,607 | Foot Locker, Inc.2 | 16,191,638 | |
29,824,571 | |||
Textiles, Apparel & Luxury Goods — 1.3% | |||
283,740 | Kontoor Brands, Inc. | 12,816,536 | |
Trading Companies & Distributors — 6.0% | |||
254,203 | Beacon Roofing Supply, Inc.1 | 15,297,937 | |
166,290 | Boise Cascade Co. | 11,359,270 |
103 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Trading Companies & Distributors — (Continued) | |||
538,408 | Univar Solutions, Inc.1 | $ 19,113,484 | |
100,704 | WESCO International, Inc. | 14,501,376 | |
60,272,067 | |||
TOTAL COMMON STOCKS (Cost $802,831,695) | 995,845,321 | ||
Face Amount | |||
REPURCHASE AGREEMENT* — 1.5% | |||
$15,679,670 | With Fixed Income Clearing Corp., dated 4/28/23, 1.44%, principal and interest in the amount of $15,681,552, due 5/1/23, (collateralized by a U.S. Treasury Note with a par value of $16,010,200, coupon rate of 4.375%, due 10/31/2024, market value of $15,993,314) | 15,679,670 | |
TOTAL REPURCHASE AGREEMENT (Cost $15,679,670) | 15,679,670 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 2.9% | |||
29,248,937 | State Street Navigator Securities Lending Government Money Market Portfolio3 | 29,248,937 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $29,248,937) | 29,248,937 | ||
TOTAL INVESTMENTS (Cost $847,760,302) | 103.0% | $1,040,773,928 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (3.0) | (30,421,272) | |
NET ASSETS | 100.0% | $1,010,352,656 |
* | 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. |
104 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Banks | 9.3% | $ 93,900,139 | |
Trading Companies & Distributors | 6.0 | 60,272,067 | |
Health Care Equipment & Supplies | 4.5 | 45,899,870 | |
Software | 4.4 | 44,463,047 | |
Oil, Gas & Consumable Fuels | 4.3 | 43,848,066 | |
Construction & Engineering | 4.0 | 40,070,212 | |
Life Sciences Tools & Services | 3.6 | 36,522,478 | |
Capital Markets | 3.4 | 34,602,932 | |
Professional Services | 3.4 | 34,298,984 | |
Biotechnology | 3.2 | 32,831,770 | |
Health Care Technology | 3.0 | 30,178,887 | |
Health Care Providers & Services | 3.0 | 30,080,071 | |
Specialty Retail | 3.0 | 29,824,571 | |
Chemicals | 2.7 | 27,508,673 | |
Pharmaceuticals | 2.7 | 27,496,129 | |
Containers & Packaging | 2.4 | 24,246,735 | |
Semiconductors & Semiconductor Equipment | 2.4 | 23,963,093 | |
Building Products | 2.2 | 22,376,218 | |
Household Durables | 2.1 | 20,992,554 | |
Food Products | 2.1 | 20,884,972 | |
Hotels, Restaurants & Leisure | 1.9 | 19,481,690 | |
Industrial REITs | 1.9 | 19,463,564 | |
Interactive Media & Services | 1.8 | 18,326,104 | |
Energy Equipment & Services | 1.6 | 16,614,177 | |
Real Estate Management & Development | 1.5 | 14,738,101 | |
Machinery | 1.3 | 12,965,432 | |
Media | 1.3 | 12,908,669 | |
Textiles, Apparel & Luxury Goods | 1.3 | 12,816,536 | |
Gas Utilities | 1.3 | 12,790,763 | |
Electrical Equipment | 1.2 | 12,176,179 | |
Diversified Consumer Services | 1.2 | 11,911,942 | |
Electric Utilities | 1.0 | 10,583,782 | |
Household Products | 1.0 | 10,309,545 | |
Financial Services | 1.0 | 10,295,674 | |
Consumer Staples Distribution & Retail | 1.0 | 10,215,910 | |
Insurance | 1.0 | 9,986,962 | |
IT Services | 1.0 | 9,616,672 | |
Leisure Product | 0.9 | 9,147,508 | |
Electronic Equipment, Instruments & Components | 0.9 | 8,657,580 | |
Automobile Components | 0.8 | 8,327,976 | |
Broadline Retail | 0.8 | 7,644,410 | |
Specialized REITs | 0.7 | 7,574,986 | |
Office REITs | 0.5 | 5,029,691 | |
TOTAL COMMON STOCKS | 98.6% | $ 995,845,321 | |
REPURCHASE AGREEMENT | 1.5 | 15,679,670 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 2.9 | 29,248,937 | |
TOTAL INVESTMENTS | 103.0% | $1,040,773,928 |
105 |
Shares | Value | ||
COMMON STOCKS* — 99.0% | |||
Aerospace & Defense — 2.4% | |||
4,960 | Raytheon Technologies Corp. | $ 495,504 | |
Air Freight & Logistics — 1.7% | |||
1,964 | United Parcel Service, Inc. Class B | 353,147 | |
Banks — 2.7% | |||
4,018 | JPMorgan Chase & Co. | 555,448 | |
Beverages — 3.0% | |||
3,246 | PepsiCo, Inc. | 619,629 | |
Biotechnology — 2.2% | |||
1,872 | Amgen, Inc. | 448,793 | |
Capital Markets — 7.3% | |||
1,237 | Ameriprise Financial, Inc. | 377,434 | |
397 | BlackRock, Inc. | 266,466 | |
4,013 | Charles Schwab Corp. | 209,639 | |
5,108 | Morgan Stanley | 459,567 | |
2,509 | Northern Trust Corp. | 196,103 | |
1,509,209 | |||
Chemicals — 3.4% | |||
1,180 | Air Products & Chemicals, Inc. | 347,345 | |
2,622 | PPG Industries, Inc. | 367,761 | |
715,106 | |||
Communications Equipment — 1.7% | |||
7,336 | Cisco Systems, Inc. | 346,626 | |
Distributors — 1.6% | |||
1,978 | Genuine Parts Co. | 332,917 | |
Electric Utilities — 2.5% | |||
12,166 | Exelon Corp. | 516,325 | |
Electrical Equipment — 2.0% | |||
2,496 | Eaton Corp. PLC | 417,131 | |
Electronic Equipment, Instruments & Components — 1.8% | |||
3,042 | TE Connectivity Ltd. | 372,250 | |
Financial Services — 1.4% | |||
4,973 | Fidelity National Information Services, Inc. | 292,015 | |
Food Products — 4.1% | |||
1,827 | Hershey Co. | 498,880 | |
4,608 | Mondelez International, Inc. Class A | 353,526 | |
852,406 | |||
Ground Transportation — 2.2% | |||
2,316 | Union Pacific Corp. | 453,241 | |
Health Care Equipment & Supplies — 3.9% | |||
3,511 | Abbott Laboratories | 387,860 | |
4,745 | Medtronic PLC | 431,558 | |
819,418 | |||
Health Care Providers & Services — 2.0% | |||
2,917 | Quest Diagnostics, Inc. | 404,909 | |
Hotels, Restaurants & Leisure — 4.5% | |||
2,043 | McDonald’s Corp. | 604,217 | |
2,940 | Starbucks Corp. | 336,013 | |
940,230 |
106 |
Shares | Value | ||
COMMON STOCKS* — (Continued) | |||
Household Products — 3.8% | |||
4,619 | Colgate-Palmolive Co. | $ 368,596 | |
2,622 | Procter & Gamble Co. | 410,029 | |
778,625 | |||
Insurance — 6.0% | |||
5,595 | Aflac, Inc. | 390,811 | |
3,536 | Allstate Corp. | 409,327 | |
1,202 | Everest Re Group Ltd. | 454,356 | |
1,254,494 | |||
IT Services — 2.0% | |||
1,464 | Accenture PLC Class A | 410,345 | |
Machinery — 5.9% | |||
1,464 | Cummins, Inc. | 344,099 | |
1,520 | Illinois Tool Works, Inc. | 367,749 | |
1,998 | Snap-on, Inc. | 518,301 | |
1,230,149 | |||
Media — 4.4% | |||
12,131 | Comcast Corp. Class A | 501,860 | |
11,428 | Interpublic Group of Cos., Inc. | 408,322 | |
910,182 | |||
Multi-Utilities — 2.5% | |||
4,584 | DTE Energy Co. | 515,287 | |
Oil, Gas & Consumable Fuels — 4.6% | |||
3,245 | Chevron Corp. | 547,042 | |
4,052 | Phillips 66 | 401,148 | |
948,190 | |||
Pharmaceuticals — 7.7% | |||
6,866 | Bristol-Myers Squibb Co. | 458,443 | |
886 | Eli Lilly & Co. | 350,732 | |
3,428 | Johnson & Johnson | 561,163 | |
5,857 | Pfizer, Inc. | 227,779 | |
1,598,117 | |||
Professional Services — 1.8% | |||
3,417 | Paychex, Inc. | 375,392 | |
Semiconductors & Semiconductor Equipment — 2.6% | |||
3,246 | Texas Instruments, Inc. | 542,731 | |
Software — 2.3% | |||
5,039 | Oracle Corp. | 477,294 | |
Specialty Retail — 3.5% | |||
1,157 | Home Depot, Inc. | 347,725 | |
3,632 | Ross Stores, Inc. | 387,643 | |
735,368 | |||
Technology Hardware, Storage & Peripherals — 1.5% | |||
4,973 | NetApp, Inc. | 312,752 | |
TOTAL COMMON STOCKS (Cost $14,743,599) | 20,533,230 |
107 |
Face Amount | Value | ||
REPURCHASE AGREEMENT* — 1.0% | |||
$201,230 | With Fixed Income Clearing Corp., dated 4/28/23, 1.44%, principal and interest in the amount of $201,254, due 5/1/23, (collateralized by a U.S. Treasury Note with a par value of $205,500, coupon rate of 4.375%, due 10/31/2024, market value of $205,283) | $ 201,230 | |
TOTAL REPURCHASE AGREEMENT (Cost $201,230) | 201,230 | ||
TOTAL INVESTMENTS (Cost $14,944,829) | 100.0% | $20,734,460 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.0) | (1,795) | |
NET ASSETS | 100.0% | $20,732,665 |
* | Percentages indicated are based on net assets. |
108 |
% of Net Assets | Value | ||
INDUSTRIES: | |||
Pharmaceuticals | 7.7% | $ 1,598,117 | |
Capital Markets | 7.3 | 1,509,209 | |
Insurance | 6.0 | 1,254,494 | |
Machinery | 5.9 | 1,230,149 | |
Oil, Gas & Consumable Fuels | 4.6 | 948,190 | |
Hotels, Restaurants & Leisure | 4.5 | 940,230 | |
Media | 4.4 | 910,182 | |
Food Products | 4.1 | 852,406 | |
Health Care Equipment & Supplies | 3.9 | 819,418 | |
Household Products | 3.8 | 778,625 | |
Specialty Retail | 3.5 | 735,368 | |
Chemicals | 3.4 | 715,106 | |
Beverages | 3.0 | 619,629 | |
Banks | 2.7 | 555,448 | |
Semiconductors & Semiconductor Equipment | 2.6 | 542,731 | |
Electric Utilities | 2.5 | 516,325 | |
Multi-Utilities | 2.5 | 515,287 | |
Aerospace & Defense | 2.4 | 495,504 | |
Software | 2.3 | 477,294 | |
Ground Transportation | 2.2 | 453,241 | |
Biotechnology | 2.2 | 448,793 | |
Electrical Equipment | 2.0 | 417,131 | |
IT Services | 2.0 | 410,345 | |
Health Care Providers & Services | 2.0 | 404,909 | |
Professional Services | 1.8 | 375,392 | |
Electronic Equipment, Instruments & Components | 1.8 | 372,250 | |
Air Freight & Logistics | 1.7 | 353,147 | |
Communications Equipment | 1.7 | 346,626 | |
Distributors | 1.6 | 332,917 | |
Technology Hardware, Storage & Peripherals | 1.5 | 312,752 | |
Financial Services | 1.4 | 292,015 | |
TOTAL COMMON STOCKS | 99.0% | $20,533,230 | |
REPURCHASE AGREEMENT | 1.0 | 201,230 | |
TOTAL INVESTMENTS | 100.0% | $20,734,460 |
109 |
Shares | Value | ||
EXCHANGE-TRADED FUNDS* — 4.0% | |||
22,100 | SPDR S&P 500 ETF Trust1 | $ 9,192,053 | |
30,000 | Vanguard S&P 500 ETF1 | 11,461,500 | |
TOTAL EXCHANGE-TRADED FUNDS (Cost $6,430,609) | 20,653,553 | ||
Face Amount | |||
U.S. TREASURY BILLS* — 21.0% | |||
$37,000,000 | U.S. Treasury Bill, 3.733% due 07/13/231 | 36,629,644 | |
40,000,000 | U.S. Treasury Bill, 4.632% due 08/10/231 | 39,450,953 | |
33,500,000 | U.S. Treasury Bill, 4.413% due 09/7/231 | 32,919,678 | |
TOTAL U.S. TREASURY BILLS (Cost $109,192,639) | 109,000,275 | ||
REPURCHASE AGREEMENT* — 0.1% | |||
539,480 | With Fixed Income Clearing Corp., dated 4/28/23, 1.44%, principal and interest in the amount of $539,544, due 5/1/23, (collateralized by a U.S. Treasury Note with a par value of $550,900, coupon rate of 4.375%, due 10/31/2024, market value of $550,319) | 539,480 | |
TOTAL REPURCHASE AGREEMENT (Cost $539,480) | 539,480 | ||
TOTAL PURCHASED OPTIONS (Cost $1,147,208,376) | 237.2% | 1,231,409,025 | |
TOTAL INVESTMENTS (Cost $1,263,371,104) | 262.3% | $1,361,602,333 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (162.3) | (842,594,747) | |
NET ASSETS2 | 100.0% | $ 519,007,586 |
* | 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 $6,744,350 is held by brokers as collateral to secure the open written put options contracts. |
110 |
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 | 06/16/23 | USD | 3,885 | $ 1,619,842,980 | $1,231,331,325 | $1,145,960,213 | $ 85,371,112 | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 06/16/23 | USD | 3,885 | 1,619,842,980 | 77,700 | 1,248,163 | (1,170,463) | ||||||||
TOTAL PURCHASED OPTIONS | $ 3,239,685,960 | $1,231,409,025 | $1,147,208,376 | $ 84,200,649 | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 06/16/23 | USD | 3,885 | (1,619,842,980) | (845,647,950) | (763,127,695) | (82,520,255) | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 4,000.00 | 05/19/23 | USD | 882 | (367,748,136) | (1,137,780) | (2,470,332) | 1,332,552 | ||||||||
S&P 500 Index | OCC** | 4,115.00 | 05/19/23 | USD | 38 | (15,844,024) | (117,040) | (214,111) | 97,071 | ||||||||
S&P 500 Index | OCC** | 4,200.00 | 05/19/23 | USD | 274 | (114,243,752) | (1,638,520) | (3,492,188) | 1,853,668 | ||||||||
S&P 500 Index | OCC** | 1,000.00 | 06/16/23 | USD | 3,885 | (1,619,842,980) | (29,137) | (126,433) | 97,296 | ||||||||
TOTAL PUTS | $(2,117,678,892) | $ (2,922,477) | $ (6,303,064) | $ 3,380,587 | |||||||||||||
TOTAL WRITTEN OPTIONS | $(3,737,521,872) | $ (848,570,427) | $ (769,430,759) | $(79,139,668) |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
Purchased Options | 237.2% | $ 1,231,409,025 | |
U.S. Treasury Bills | 21.0 | 109,000,275 | |
Exchange-Traded Funds | 4.0 | 20,653,553 | |
TOTAL | 262.2% | $1,361,062,853 | |
REPURCHASE AGREEMENT | 0.1 | 539,480 | |
TOTAL INVESTMENTS | 262.3% | $1,361,602,333 |
* | This table does not include written options. Please refer to the schedule of investments for information on written options. |
111 |
Shares | Value | ||
EXCHANGE-TRADED FUNDS* — 21.7% | |||
6,900 | iShares MSCI EAFE ETF | $ 507,978 | |
111,600 | iShares MSCI Emerging Markets ETF | 4,366,908 | |
TOTAL EXCHANGE-TRADED FUNDS (Cost $4,948,496) | 4,874,886 | ||
Face Amount | |||
U.S. TREASURY BILLS* — 19.3% | |||
$2,400,000 | U.S. Treasury Bill, 4.632% due 08/10/231 | 2,367,057 | |
2,000,000 | U.S. Treasury Bill, 4.413% due 09/7/231 | 1,965,354 | |
TOTAL U.S. TREASURY BILLS (Cost $4,336,288) | 4,332,411 | ||
REPURCHASE AGREEMENT* — 0.2% | |||
31,604 | With Fixed Income Clearing Corp., dated 4/28/23, 1.44%, principal and interest in the amount of $31,608, due 5/1/23, (collateralized by a U.S. Treasury Note with a par value of $32,300, coupon rate of 4.375%, due 10/31/2024, market value of $32,266) | 31,604 | |
TOTAL REPURCHASE AGREEMENT (Cost $31,604) | 31,604 | ||
TOTAL PURCHASED OPTIONS (Cost $38,921,382) | 186.4% | 41,839,380 | |
TOTAL INVESTMENTS (Cost $48,237,770) | 227.6% | $ 51,078,281 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (127.6) | (28,632,501) | |
NET ASSETS2 | 100.0% | $ 22,445,780 |
* | 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 $268,270 is held as collateral to secure the open written call and put options contracts. |
112 |
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 | 06/16/23 | USD | 132 | $ 55,037,136 | $ 41,836,740 | $ 38,877,756 | $ 2,958,984 | ||||||||
PUTS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 06/16/23 | USD | 132 | 55,037,136 | 2,640 | 43,626 | (40,986) | ||||||||
TOTAL PURCHASED OPTIONS | $ 110,074,272 | $ 41,839,380 | $ 38,921,382 | $ 2,917,998 | |||||||||||||
WRITTEN OPTIONS | |||||||||||||||||
CALLS: | |||||||||||||||||
S&P 500 Index | OCC** | 2,000.00 | 06/16/23 | USD | 132 | (55,037,136) | (28,732,440) | (25,872,184) | (2,860,256) | ||||||||
PUTS: | |||||||||||||||||
Ishares MSCI EAFE ETF | OCC** | 70.00 | 05/19/23 | USD | 540 | (3,713,580) | (10,260) | (19,812) | 9,552 | ||||||||
Russell 2000 Index | OCC** | 1,800.00 | 05/19/23 | USD | 11 | (1,945,889) | (49,005) | (43,435) | (5,570) | ||||||||
S&P 500 Index | OCC** | 4,150.00 | 05/19/23 | USD | 25 | (10,423,700) | (100,875) | (187,485) | 86,610 | ||||||||
S&P 500 Index | OCC** | 1,000.00 | 06/16/23 | USD | 132 | (55,037,136) | (990) | (4,412) | 3,422 | ||||||||
TOTAL PUTS | $ (71,120,305) | $ (161,130) | $ (255,144) | $ 94,014 | |||||||||||||
TOTAL WRITTEN OPTIONS | $(126,157,441) | $(28,893,570) | $(26,127,328) | $(2,766,242) |
** | The Options Clearing Corp |
% of Net Assets | Value | ||
SECTOR: | |||
Purchased Options | 186.4% | $ 41,839,380 | |
Exchange-Traded Funds | 21.7 | 4,874,886 | |
U.S. Treasury Bills | 19.3 | 4,332,411 | |
TOTAL | 227.4% | $51,046,677 | |
REPURCHASE AGREEMENT | 0.2 | 31,604 | |
TOTAL INVESTMENTS | 227.6% | $51,078,281 |
* | This table does not include written options. Please refer to the schedule of investments for information on written options. |
113 |
Face Amount | Value | ||
AGENCY NOTES* — 13.4% | |||
Federal Home Loan Bank — 9.5% | |||
$15,000,000 | 2.750% due 12/13/24 | $ 14,598,357 | |
7,000,000 | 0.375% due 9/23/251 | 6,418,375 | |
11,500,000 | 3.250% due 11/16/281 | 11,314,184 | |
32,330,916 | |||
Federal National Mortgage Association — 3.9% | |||
6,000,000 | 2.625% due 9/6/241 | 5,854,141 | |
3,960,000 | 2.125% due 4/24/261 | 3,776,863 | |
3,000,000 | 5.625% due 7/15/37 | 3,539,853 | |
13,170,857 | |||
TOTAL AGENCY NOTES (Cost $48,237,988) | 45,501,773 | ||
MORTGAGE-BACKED SECURITIES*,2 — 33.5% | |||
Federal Home Loan Mortgage Corporation — 19.0% | |||
51 | # G13396, 5.500% due 12/1/23 | 51 | |
22,114 | # D78677, 8.000% due 3/1/27 | 22,116 | |
36,924 | # C00742, 6.500% due 4/1/29 | 38,528 | |
1,281,745 | # J38111, 3.000% due 12/1/32 | 1,230,186 | |
11,442 | # A68937, 6.000% due 11/1/37 | 11,731 | |
132,329 | # A69653, 5.500% due 12/1/37 | 136,894 | |
148,893 | # A73370, 5.000% due 2/1/38 | 151,791 | |
121,949 | # A90421, 4.500% due 12/1/39 | 122,514 | |
35,983 | # A92890, 4.500% due 7/1/40 | 35,917 | |
477,937 | # A97620, 4.500% due 3/1/41 | 480,154 | |
785,727 | # C03770, 3.500% due 2/1/42 | 750,464 | |
404,651 | # Q07651, 3.500% due 4/1/42 | 387,013 | |
856,809 | # Q41208, 3.500% due 6/1/46 | 811,401 | |
3,406,471 | # G08737, 3.000% due 12/1/46 | 3,124,083 | |
1,196,631 | # Q45735, 3.000% due 1/1/47 | 1,096,977 | |
2,100,251 | # Q46279, 3.500% due 2/1/47 | 1,985,085 | |
2,260,434 | # Q47596, 4.000% due 4/1/47 | 2,202,576 | |
7,168,377 | # RA3173, 3.000% due 7/1/50 | 6,475,764 | |
10,980,747 | # SD8152, 3.000% due 6/1/51 | 9,894,452 | |
7,302,569 | # SD8196, 3.500% due 2/1/52 | 6,790,864 | |
14,455,753 | # SD8201, 3.000% due 3/1/52 | 12,988,158 | |
4,815,926 | # SD8257, 4.500% due 10/1/52 | 4,708,136 | |
7,722,854 | # SD8277, 5.500% due 12/1/52 | 7,786,906 | |
3,497,774 | # QF6499, 5.000% due 1/1/53 | 3,491,620 | |
64,723,381 | |||
Federal National Mortgage Association — 14.4% | |||
95 | # 125275, 7.000% due 3/1/24 | 95 | |
112,323 | # AH6827, 4.000% due 3/1/26 | 111,233 | |
115,679 | # AI1657, 4.000% due 4/1/26 | 115,778 | |
214,089 | # AB3900, 3.000% due 11/1/26 | 208,101 | |
10,841 | # 373328, 8.000% due 3/1/27 | 10,814 | |
296,456 | # AK4751, 3.000% due 4/1/27 | 288,164 | |
2,283 | # 390895, 8.000% due 6/1/27 | 2,277 | |
543,308 | # AO0533, 3.000% due 6/1/27 | 527,689 | |
18,288 | # 397602, 8.000% due 8/1/27 | 18,272 | |
2,165 | # 252806, 7.500% due 10/1/29 | 2,268 | |
125 | # 523497, 7.500% due 11/1/29 | 128 | |
1,514,196 | # BC2462, 3.000% due 2/1/31 | 1,450,855 | |
644 | # 588945, 7.000% due 6/1/31 | 649 | |
3,318,317 | # AS7429, 2.500% due 6/1/31 | 3,132,835 | |
31,386 | # 607862, 7.000% due 9/1/31 | 31,520 | |
1,426 | # 656872, 6.500% due 8/1/32 | 1,471 | |
2,168,671 | # MA3391, 3.000% due 6/1/33 | 2,071,672 | |
70,738 | # 789856, 6.000% due 8/1/34 | 72,339 |
114 |
Face Amount | Value | ||
MORTGAGE-BACKED SECURITIES*,2 — (Continued) | |||
Federal National Mortgage Association — (Continued) | |||
$ 13,067 | # 829202, 5.000% due 7/1/35 | $ 13,107 | |
50,219 | # 826586, 5.000% due 8/1/35 | 51,142 | |
14,211 | # 256216, 7.000% due 4/1/36 | 15,117 | |
39,982 | # 898412, 5.000% due 10/1/36 | 40,317 | |
5,950 | # 910894, 5.000% due 2/1/37 | 5,966 | |
12,946 | # 912456, 6.500% due 3/1/37 | 13,368 | |
165,745 | # 973241, 5.000% due 3/1/38 | 168,789 | |
40,640 | # 975593, 5.000% due 6/1/38 | 41,289 | |
65,836 | # 257573, 5.500% due 2/1/39 | 68,220 | |
163,257 | # AD7128, 4.500% due 7/1/40 | 163,210 | |
8,318,403 | # MA4152, 2.000% due 10/1/40 | 7,173,365 | |
1,627,939 | # AH1568, 4.500% due 12/1/40 | 1,633,745 | |
663,450 | # AH6991, 4.000% due 1/1/41 | 649,022 | |
451,547 | # AH4004, 4.500% due 3/1/41 | 453,153 | |
388,114 | # AH8351, 4.000% due 3/1/41 | 379,671 | |
444,725 | # AJ1315, 4.000% due 9/1/41 | 435,051 | |
541,041 | # AI8779, 4.000% due 11/1/41 | 529,271 | |
801,400 | # AJ5958, 4.000% due 12/1/41 | 783,958 | |
266,432 | # AK5070, 3.500% due 3/1/42 | 254,118 | |
1,121,731 | # AK5426, 3.500% due 3/1/42 | 1,070,238 | |
3,047,572 | # AT7682, 3.500% due 6/1/43 | 2,906,973 | |
1,428,166 | # AS6326, 3.500% due 12/1/45 | 1,348,436 | |
1,109,049 | # AS6881, 3.500% due 3/1/46 | 1,047,130 | |
1,467,125 | # BC0960, 4.000% due 6/1/46 | 1,429,579 | |
829,467 | # AS8966, 4.000% due 3/1/47 | 807,040 | |
1,102,520 | # AS9988, 4.500% due 7/1/47 | 1,095,713 | |
1,478,759 | # MA3210, 3.500% due 12/1/47 | 1,397,092 | |
1,217,502 | # BJ9251, 3.500% due 6/1/48 | 1,147,436 | |
4,686,109 | # FM3727, 3.000% due 7/1/50 | 4,237,374 | |
4,891,085 | # BQ2863, 2.500% due 9/1/50 | 4,248,734 | |
8,544,720 | # CA7231, 2.500% due 10/1/50 | 7,436,250 | |
49,090,034 | |||
Government National Mortgage Association — 0.1% | |||
7,272 | # 476259, 7.000% due 8/15/28 | 7,322 | |
826 | # 485264, 7.500% due 2/15/31 | 825 | |
5,796 | # 559304, 7.000% due 9/15/31 | 5,860 | |
99,255 | # 651859, 5.000% due 6/15/36 | 102,405 | |
72,873 | # 782150, 5.500% due 4/15/37 | 75,323 | |
12,377 | # 662521, 6.000% due 8/15/37 | 12,846 | |
18,594 | # 677545, 6.000% due 11/15/37 | 18,979 | |
19,217 | # 676291, 6.000% due 12/15/37 | 19,620 | |
18,560 | # 685836, 5.500% due 4/15/38 | 18,920 | |
135,693 | # 698235, 5.000% due 6/15/39 | 139,601 | |
401,701 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $126,865,584) | 114,215,116 | ||
CORPORATE NOTES* — 22.3% | |||
Banking — 4.9% | |||
5,000,000 | Bank of America Corp., (3M USD LIBOR * 1.51 + 3.71%), 3.705% due 4/24/283 | 4,740,864 | |
6,000,000 | JPMorgan Chase & Co., (3M USD LIBOR * 0.95 + 3.51%), 3.509% due 1/23/293 | 5,643,116 | |
6,500,000 | PNC Bank NA, 3.250% due 6/1/25 | 6,216,424 | |
16,600,404 |
115 |
Face Amount | Value | ||
CORPORATE NOTES* — (Continued) | |||
Beverages, Food & Tobacco — 2.7% | |||
$10,000,000 | Archer-Daniels-Midland Co., 3.250% due 3/27/30 | $ 9,395,912 | |
Computer Software & Processing — 2.4% | |||
1,000,000 | Alphabet, Inc., 2.050% due 8/15/50 | 636,851 | |
8,000,000 | Microsoft Corp., 3.450% due 8/8/36 | 7,431,386 | |
8,068,237 | |||
Electric Utilities — 1.1% | |||
4,140,000 | DTE Electric Co., 4.300% due 7/1/44 | 3,700,419 | |
Electronics — 2.1% | |||
4,000,000 | Emerson Electric Co., 1.800% due 10/15/27 | 3,608,660 | |
4,000,000 | QUALCOMM, Inc., 1.300% due 5/20/28 | 3,497,729 | |
7,106,389 | |||
Heavy Machinery — 1.1% | |||
4,000,000 | Caterpillar, Inc., 2.600% due 4/9/30 | 3,610,112 | |
Insurance — 2.6% | |||
5,100,000 | Aflac, Inc., 2.875% due 10/15/26 | 4,821,275 | |
4,000,000 | MetLife, Inc., 4.550% due 3/23/301 | 4,008,909 | |
8,830,184 | |||
Media - Broadcasting & Publishing — 1.9% | |||
7,000,000 | Comcast Corp., 3.150% due 2/15/28 | 6,673,003 | |
Pharmaceuticals — 2.4% | |||
5,000,000 | Johnson & Johnson, 2.450% due 9/1/60 | 3,338,148 | |
5,000,000 | Merck & Co., Inc., 2.750% due 2/10/25 | 4,864,087 | |
8,202,235 | |||
Transportation — 1.1% | |||
4,000,000 | United Parcel Service, Inc., 3.400% due 3/15/29 | 3,856,947 | |
TOTAL CORPORATE NOTES (Cost $84,216,348) | 76,043,842 | ||
U.S. TREASURY BILL* — 0.9% | |||
3,000,000 | U.S. Treasury Bill, 4.714% due 06/13/23 | 2,982,513 | |
TOTAL U.S. TREASURY BILL (Cost $2,983,049) | 2,982,513 | ||
U.S. TREASURY NOTES/BONDS* — 28.0% | |||
4,000,000 | U.S. Treasury Bonds, 6.625% due 2/15/27 | 4,421,406 | |
7,000,000 | U.S. Treasury Bonds, 3.500% due 2/15/39 | 6,955,703 | |
4,000,000 | U.S. Treasury Bonds, 3.125% due 11/15/41 | 3,657,656 |
116 |
Face Amount | Value | ||
U.S. TREASURY NOTES/BONDS* — (Continued) | |||
$ 5,000,000 | U.S. Treasury Bonds, 3.250% due 5/15/42 | $ 4,629,883 | |
9,000,000 | U.S. Treasury Bonds, 3.750% due 11/15/43 | 8,934,258 | |
10,000,000 | U.S. Treasury Bonds, 2.250% due 8/15/46 | 7,566,797 | |
9,000,000 | U.S. Treasury Bonds, 3.000% due 5/15/47 | 7,844,766 | |
5,000,000 | U.S. Treasury Bonds, 3.125% due 5/15/48 | 4,467,187 | |
2,500,000 | U.S. Treasury Notes, 3.000% due 7/31/24 | 2,452,246 | |
9,000,000 | U.S. Treasury Notes, 2.875% due 5/31/25 | 8,793,984 | |
10,000,000 | U.S. Treasury Notes, 1.875% due 7/31/26 | 9,445,312 | |
8,000,000 | U.S. Treasury Notes, 2.750% due 5/31/29 | 7,663,438 | |
10,000,000 | U.S. Treasury Notes, 3.250% due 6/30/29 | 9,848,047 | |
10,000,000 | U.S. Treasury Notes, 1.875% due 2/15/32 | 8,837,891 | |
TOTAL U.S. TREASURY NOTES/BONDS (Cost $105,833,404) | 95,518,574 | ||
REPURCHASE AGREEMENT* — 1.1% | |||
3,625,877 | With Fixed Income Clearing Corp., dated 4/28/23, 1.44%, principal and interest in the amount of $3,626,312, due 5/1/23, (collateralized by a U.S. Treasury Note with a par value of $3,702,300, coupon rate of 4.375%, due 10/31/2024, market value of $3,698,395) | 3,625,877 | |
TOTAL REPURCHASE AGREEMENT (Cost $3,625,877) | 3,625,877 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 4.2% | |||
14,352,781 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 14,352,781 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $14,352,781) | 14,352,781 | ||
TOTAL INVESTMENTS (Cost $386,115,031) | 103.4% | $352,240,476 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (3.4) | (11,632,693) | |
NET ASSETS | 100.0% | $340,607,783 |
* | 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, 2023. |
3 | Floating Rate Bond. Rate shown is as of April 30, 2023. |
4 | Represents an investment of securities lending cash collateral. |
117 |
% of Net Assets | Value | ||
Sector: | |||
U.S. Treasury Notes/Bonds | 28.0% | $ 95,518,574 | |
Corporate | 22.3 | 76,043,842 | |
Federal Home Loan Mortgage Corporation | 19.0 | 64,723,381 | |
Federal National Mortgage Association | 18.3 | 62,260,891 | |
Federal Home Loan Bank | 9.5 | 32,330,916 | |
U.S. Treasury Bill | 0.9 | 2,982,513 | |
Government National Mortgage Association | 0.1 | 401,701 | |
TOTAL | 98.1% | $334,261,818 | |
REPURCHASE AGREEMENT | 1.1 | 3,625,877 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 4.2 | 14,352,781 | |
TOTAL INVESTMENTS | 103.4% | $352,240,476 |
118 |
Face Amount | Value | ||
CORPORATE NOTES* — 2.4% | |||
Health Care Services — 2.4% | |||
$1,000,000 | CommonSpirit Health, 6.073% due 11/1/27 | $ 1,040,397 | |
TOTAL CORPORATE NOTES (Cost $1,000,000) | 1,040,397 | ||
MUNICIPAL BONDS* — 92.9% | |||
Alabama — 1.0% | |||
185,000 | Black Belt Energy Gas District, AL, Revenue Bonds, Series A, 4.000% due 12/1/481 | 185,304 | |
150,000 | Black Belt Energy Gas District, AL, Revenue Bonds, Series D1, 4.000% due 12/1/24 | 150,302 | |
100,000 | Southeast Energy Authority, AL, Cooperative District, Project No.1, Revenue Bonds, Series A, 4.000% due 10/1/23 | 99,924 | |
435,530 | |||
Arizona — 0.5% | |||
210,000 | City of Mesa, AZ, Excise Tax Revenue, Revenue Bonds, 5.000% due 7/1/24 | 214,444 | |
California — 8.7% | |||
750,000 | California State Public Works Board, Revenue Bonds, Refunding, Series B, 5.000% due 12/1/26 | 813,590 | |
500,000 | City of Los Angeles Department of Airports, CA, Revenue Bonds, AMT, Refunding, Series A, 5.000% due 5/15/27 | 534,552 | |
500,000 | City of Los Angeles, CA, Department of Airports, Revenue Bonds, Refunding, AMT, Series A, 5.000% due 5/15/25 | 516,944 | |
450,000 | Golden State Tobacco Securitization Corp, CA, Revenue Bonds, Taxable Refunding, (State Appropriations), 1.400% due 6/1/25 | 419,995 | |
350,000 | San Francisco City & County Airport Comm-San Francisco International Airport, CA, Revenue Bonds, Series A, 5.000% due 5/1/25 | 364,984 | |
1,000,000 | State of California, General Obligation Unlimited, Refunding, 5.000% due 10/1/27 | 1,102,412 | |
3,752,477 | |||
Colorado — 1.7% | |||
750,000 | E-470 Public Highway Authority, CO, Revenue Bonds, Variable Refunding, Series B, (SOFR*0.67+0.35%), 3.573% due 9/1/392 | 745,101 | |
Connecticut — 0.6% | |||
250,000 | University of Connecticut, Revenue Bonds, Series A, 5.000% due 8/15/26 | 251,593 | |
Delaware — 0.6% | |||
250,000 | Delaware River & Bay Authority, DE, Revenue Bonds, Refunding, 5.000% due 1/1/24 | 252,814 | |
District Of Columbia — 2.4% | |||
1,000,000 | Metropolitan Washington Airports Authority Aviation Revenue, DC, Revenue Bonds, AMT, Refunding, Series A, 5.000% due 10/1/24 | 1,019,717 | |
Florida — 7.0% | |||
230,000 | City of Fort Myers, FL, Utility System Revenue, Revenue Bonds, Series A, 4.000% due 10/1/25 | 235,225 | |
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 | 337,283 | |
500,000 | County of Broward, FL, Port Facilities Revenue, Revenue Bonds, AMT, Refunding, Subordinate Bond, Series D, 5.000% due 9/1/24 | 510,360 |
119 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Florida — (Continued) | |||
$ 200,000 | County of Miami-Dade, FL, Aviation Revenue, Revenue Bonds, Refunding, 5.000% due 10/1/23 | $ 201,152 | |
250,000 | County of Miami-Dade, FL, Aviation Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/25 | 261,733 | |
290,000 | Florida Department of Management Services, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/28 | 318,246 | |
390,000 | Manatee County Port Authority, FL, Revenue Bonds,Taxable Refunding, 0.619% due 10/1/24 | 367,521 | |
515,000 | Miami-Dade County Expressway Authority, FL, Revenue Bonds, Refunding, Series B, 5.000% due 7/1/28 | 523,353 | |
260,000 | School Board of Miami-Dade County, FL, Certificate Participation, Refunding, Series D, 5.000% due 2/1/26 | 273,109 | |
3,027,982 | |||
Georgia — 0.2% | |||
105,000 | Municipal Electric Authority of Georgia, Project No.1, Revenue Bonds, Taxable Refunding, Series B, 1.421% due 1/1/25 | 98,174 | |
Illinois — 8.6% | |||
500,000 | Chicago O’Hare International Airport, IL, Revenue Bonds, Refunding, 5.000% due 1/1/24 | 503,984 | |
250,000 | City of Chicago, IL, General Obligation Unlimited, Refunding, Series A, 5.000% due 1/1/24 | 252,116 | |
300,000 | Cook County School District No. 100 South Berwyn, IL, General Obligation Unlimited, Refunding, (BAM Insured), 4.000% due 12/1/23 | 301,022 | |
500,000 | DeKalb County Community Unit School District No. 428 DeKalb, IL, General Obligation Unlimited, Refunding, 5.000% due 1/1/24 | 505,661 | |
150,000 | Illinois Finance Authority, Revenue Bonds, Rush University Medical Centre, Series A, 5.000% due 11/15/23 | 151,034 | |
255,000 | McHenry County Conservation District, IL, General Obligation Unlimited, Refunding, 5.000% due 2/1/24 | 258,356 | |
500,000 | State of Illinois, General Obligation Unlimited, Refunding, Series C, 4.000% due 3/1/24 | 501,586 | |
State of Illinois, General Obligation Unlimited, Series A: | |||
350,000 | 5.000% due 12/1/24 | 357,713 | |
400,000 | 5.000% due 3/1/25 | 410,317 | |
500,000 | State of Illinois, Sales Tax Revenue, Revenue Bonds, Series B, 0.941% due 6/15/24 | 475,732 | |
3,717,521 | |||
Kansas — 0.9% | |||
375,000 | Wyandotte County-Kansas City Unified Government, KS, General Obligation Unlimited, Series A, (AGMC Insured), 4.000% due 8/1/24 | 379,288 | |
Kentucky — 4.2% | |||
435,000 | Kentucky Public Energy Authority, Revenue Bonds, Series A, 4.000% due 4/1/481 | 435,386 | |
185,000 | Kentucky State Property & Building Commission, Revenue Bonds, Refunding, Project No. 108, Series B, 5.000% due 8/1/24 | 188,972 | |
285,000 | Kentucky State Property & Building Commission, Revenue Bonds, Refunding, Project No. 112, Series B, (State Appropriations), 5.000% due 11/1/24 | 292,650 | |
250,000 | Kentucky State Property & Building Commission, Revenue Bonds, Refunding, Project No. 127, Series B, 3.887% due 6/1/23 | 249,714 | |
Louisville & Jefferson County Metropolitan Government, KY, Health System Revenue, Revenue Bonds, Refunding, Series A: | |||
300,000 | 5.000% due 10/1/23 | 301,678 | |
125,000 | 5.000% due 10/1/24 | 127,517 |
120 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Kentucky — (Continued) | |||
$ 205,000 | Louisville & Jefferson County Metropolitan Sewer District, KY, Revenue Bonds, Series A, 5.000% due 5/15/27 | $ 224,538 | |
1,820,455 | |||
Louisiana — 1.0% | |||
400,000 | Ernest N Morial New Orleans Exhibition Hall Authority, LA, Special Tax, Refunding, 5.000% due 7/15/25 | 413,876 | |
Michigan — 2.8% | |||
500,000 | Eaton Rapids Public Schools, MI, General Obligation Unlimited, Refunding (QSBLF Insured), 4.000% due 5/1/25 | 510,193 | |
500,000 | Hazel Park School District, MI, General Obligation Unlimited, Refunding (QSBLF Insured), 4.000% due 5/1/24 | 503,451 | |
200,000 | Michigan Finance Authority, Revenue Bonds, Refunding, Series MI-1, 5.000% due 12/1/23 | 202,108 | |
1,215,752 | |||
Minnesota — 3.8% | |||
Minneapolis-St Paul Metropolitan Airports Commission, MN, Revenue Bonds, AMT, Refunding, Series B: | |||
500,000 | 5.000% due 1/1/25 | 512,565 | |
1,065,000 | 5.000% due 1/1/26 | 1,102,974 | |
1,615,539 | |||
Mississippi — 0.6% | |||
250,000 | Mississippi Development Bank, Jackson Public School District, Revenue Bond, General Obligation (BAM Insured), 5.000% due 10/1/24 | 256,321 | |
Nevada — 2.3% | |||
210,000 | Clark County School District, NV, General Obligation Limited, Refunding, Series A, 5.000% due 6/15/24 | 214,319 | |
240,000 | Clark County School District, NV, General Obligation Limited, Series D, 5.000% due 6/15/24 | 244,936 | |
300,000 | County of Clark Department of Aviation, NV, Revenue Bonds, AMT, Refunding, 5.000% due 7/1/24 | 304,454 | |
195,000 | Las Vegas, NV, Valley Water District, General Obligation Limited, Series A, 5.000% due 6/1/26 | 203,450 | |
967,159 | |||
New Jersey — 4.9% | |||
510,000 | New Jersey Economic Development Authority, Revenue Bonds, Refunding, 5.000% due 3/1/25 | 525,437 | |
195,000 | New Jersey Economic Development Authority, Revenue Bonds, Refunding, Series B, 4.000% due 11/1/25 | 197,837 | |
375,000 | New Jersey Economic Development Authority, State Government Building Project, Revenue Bonds, Series A, 5.000% due 6/15/25 | 387,988 | |
350,000 | New Jersey Economic Development Authority, State Lease Revenue, Offshore Wind Port Project, Revenue Bonds, 4.914% due 3/1/24 | 348,523 | |
500,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, 5.000% due 6/15/24 | 508,568 | |
155,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series A, 4.000% due 12/15/23 | 155,398 | |
2,123,751 | |||
New York — 4.7% | |||
225,000 | New York State Dormitory Authority, Revenue Bonds, Refunding, Series A, Escrowed to Maturity, 5.000% due 3/15/24 | 228,735 | |
150,000 | New York State Dormitory Authority, Sales Tax Revenue, Revenue Bonds, Series 2015B-A, 5.000% due 3/15/24 | 152,516 | |
500,000 | New York State Urban Development Corp., Personal Income Tax, Revenue Bonds, Refunding, 5.000% due 3/15/24 | 508,051 |
121 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New York — (Continued) | |||
$ 200,000 | Port Authority of New York & New Jersey, Revenue Bonds, AMT, Refunding, Series 226, 5.000% due 10/15/23 | $ 201,119 | |
500,000 | Port Authority of New York & New Jersey, Revenue Bonds, Refunding, Series 231, 5.000% due 8/1/27 | 533,695 | |
150,000 | Port Authority of New York & New Jersey, Revenue Bonds, Series 179, 5.000% due 12/1/26 | 151,530 | |
230,000 | Triborough Bridge & Tunnel Authority, NY, Revenue Bonds, Series A, 5.000% due 8/15/24 | 234,833 | |
2,010,479 | |||
North Carolina — 0.6% | |||
250,000 | City of Charlotte, NC, General Obligation Unlimited, Series A, 5.000% due 6/1/24 | 255,256 | |
Ohio — 1.4% | |||
265,000 | Miami University, OH, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/24 | 271,640 | |
325,000 | Ohio Higher Educational Facility Commission, Revenue Bonds, Refunding, 5.000% due 10/1/23 | 327,220 | |
598,860 | |||
Oregon — 1.2% | |||
285,000 | Tri-County Metropolitan Transportation District of Oregon, Revenue Bonds, Series A, 5.000% due 9/1/28 | 306,293 | |
195,000 | Washington Clackamas & Yamhill Counties School District No. 88J, OR, General Obligation Unlimited, Refunding, (School Bond Guaranty), 5.000% due 6/15/24 | 199,054 | |
505,347 | |||
Pennsylvania — 12.1% | |||
500,000 | Allegheny County Higher Education Building Authority, PA, Revenue Bonds, (SOFR*0.70+0.29%), 3.657% due 2/1/332 | 484,059 | |
Allegheny County Hospital Development Authority, PA, Revenue Bonds, Refunding, University of Pittsburgh Medical Center, Series A: | |||
300,000 | 5.000% due 7/15/23 | 300,925 | |
325,000 | 5.000% due 7/15/25 | 338,241 | |
215,000 | Bensalem Township School District, PA, General Obligation Limited, Taxable Refunding (State Aid Withholding), 1.972% due 6/1/24 | 208,046 | |
160,000 | Bensalem Township School District, PA, General Obligation Limited, Taxable Refunding, Series B (State Aid Withholding), 1.917% due 6/1/23 | 159,583 | |
515,000 | City of Philadelphia, PA, Airport Revenue, Revenue Bonds, AMT, Refunding, Series B, 5.000% due 7/1/24 | 522,059 | |
Commonwealth of Pennsylvania, General Obligation Unlimited, Refunding: | |||
360,000 | 5.000% due 1/1/27 | 389,368 | |
400,000 | 5.000% due 1/15/28 | 433,527 | |
125,000 | Cumberland County Municipal Authority, PA, Revenue Bonds, 5.000% due 11/1/26 | 133,587 | |
750,000 | Delaware Valley Regional Finance Authority, PA, Revenue Bonds, Series B, 5.000% due 11/1/24 | 771,019 | |
425,000 | Montgomery County Higher Education and Health Authority, PA, Revenue Bonds, Refunding, Thomas Jefferson University Project, 5.000% due 9/1/23 | 426,864 | |
325,000 | Pennsylvania Economic Development Financing Authority, Revenue Bonds, Refunding, Series B, 5.000% due 5/15/26 | 343,644 | |
190,000 | Pennsylvania Turnpike Commission, Revenue Bonds, Refunding, Series A-2, 5.000% due 12/1/24 | 195,654 | |
105,000 | Public Parking Authority of Pittsburgh, PA, Revenue Bonds, Prerefunded, Series A, Escrowed to Maturity, 5.000% due 12/1/23 | 106,058 | |
195,000 | Public Parking Authority of Pittsburgh, PA, Revenue Bonds, Unrefunded, Series A, Unrefunded portion, 5.000% due 12/1/23 | 196,461 |
122 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
$ 200,000 | School District of Philadelphia, PA, General Obligation Limited, Series A (State Aid Withholding), 5.000% due 9/1/23 | $ 200,977 | |
5,210,072 | |||
South Carolina — 2.0% | |||
250,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/24 | 256,271 | |
400,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series C, 5.000% due 12/1/24 | 410,033 | |
200,000 | South Carolina Public Service Authority, Revenue Bonds, Series B, 5.000% due 12/1/24 | 205,017 | |
871,321 | |||
Tennessee — 3.0% | |||
500,000 | County of Hamilton, TN, General Obligation Unlimited, Series A, 5.000% due 4/1/25 | 520,773 | |
250,000 | Memphis-Shelby County Airport Authority, TN, Revenue Bonds, Refunding, Series C, 5.000% due 7/1/23 | 250,378 | |
500,000 | Metropolitan Government of Nashville & Davidson County, TN, General Obligation Unlimited, Refunding, 5.000% due 1/1/25 | 516,666 | |
1,287,817 | |||
Texas — 9.9% | |||
310,000 | Arlington Higher Education Finance Corp., TX, Revenue Bonds, Series A, (PSF Guaranteed), 5.000% due 8/15/23 | 311,486 | |
500,000 | Board of Regents of the University of Texas System, TX, Revenue Bonds, Series B, 5.000% due 8/15/26 | 536,135 | |
100,000 | Central Texas Regional Mobility Authority, Revenue Bonds, Taxable Refunding, Series C, 1.345% due 1/1/24 | 97,433 | |
260,000 | City of Grand Prairie, TX, Sales and USE Tax, Revenue Bonds, 3.000% due 2/15/24 | 259,387 | |
170,000 | City of Houston, TX, Airport System Revenue, Revenue Bonds, AMT, Refunding, Series C, 5.000% due 7/1/24 | 172,136 | |
190,000 | County of Williamson, TX, General Obligation Limited, Refunding, 5.000% due 2/15/26 | 196,211 | |
175,000 | Lago Vista, TX, Independent School District, General Obligation Unlimited, (PSF Guaranteed), 5.000% due 8/15/27 | 191,682 | |
1,000,000 | Lower Colorado River Authority, TX, Revenue Bonds, Refunding, Series 2022, 5.000% due 5/15/24 | 1,018,818 | |
230,000 | North Texas Municipal Water District, Revenue Bonds, Refunding and Improvement Bonds, 5.000% due 6/1/24 | 234,835 | |
475,000 | San Antonio Water System, TX, Revenue Bonds, Series A, Refunding, 5.000% due 5/15/26 | 505,803 | |
500,000 | State of Texas, General Obligation Unlimited, Refunding, Series B, 4.000% due 8/1/27 | 513,670 | |
200,000 | Waco Independent School District, TX, General Obligation Unlimited, (PSF Guaranteed), 5.000% due 8/15/25 | 209,179 | |
4,246,775 | |||
Virginia — 2.0% | |||
250,000 | Greater Richmond Convention Center Authority, VA, Revenue Bonds, Refunding, 5.000% due 6/15/23 | 250,484 | |
585,000 | Virginia College Building Authority, Revenue Bonds, Refunding, Series B, 5.000% due 9/1/26 | 615,822 | |
866,306 | |||
Washington — 1.2% | |||
500,000 | Clark County Public Utility District No. 1 Generating System Revenue, WA, Revenue Bonds, 5.000% due 1/1/24 | 505,463 |
123 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Wisconsin — 3.0% | |||
$ 215,000 | City of Eau Claire, WI, General Obligation Unlimited, Refunding, Series D, 1.400% due 4/1/24 | $ 208,949 | |
300,000 | City of Milwaukee, WI, General Obligation Unlimited, Refunding, Series N-4, 5.000% due 4/1/25 | 309,459 | |
Wisconsin Health & Educational Facilities Authority, Revenue Bonds, Refunding: | |||
250,000 | 5.000% due 11/15/23 | 251,988 | |
220,000 | 5.000% due 11/15/25 | 225,052 | |
300,000 | 5.000% due 11/15/26 | 307,420 | |
1,302,868 | |||
TOTAL MUNICIPAL BONDS (Cost $40,574,699) | 39,968,058 | ||
U.S. TREASURY BILL* — 3.4% | |||
1,500,000 | U.S. Treasury Bill, 4.638% due 12/28/233 | 1,456,243 | |
TOTAL U.S. TREASURY BILL (Cost $1,455,254) | 1,456,243 | ||
REPURCHASE AGREEMENT* — 0.2% | |||
90,001 | With Fixed Income Clearing Corp., dated 4/28/23, 1.44%, principal and interest in the amount of $90,012, due 5/1/23, (collateralized by a U.S. Treasury Note with a par value of $91,900, coupon rate of 4.375%, due 10/31/2024, market value of $91,803) | 90,001 | |
TOTAL REPURCHASE AGREEMENT (Cost $90,001) | 90,001 | ||
Shares | |||
INVESTMENT OF SECURITY LENDING COLLATERAL* — 3.5% | |||
1,485,000 | State Street Navigator Securities Lending Government Money Market Portfolio4 | 1,485,000 | |
TOTAL INVESTMENT OF SECURITY LENDING COLLATERAL (Cost $1,485,000) | 1,485,000 | ||
TOTAL INVESTMENTS (Cost $44,604,954) | 102.4% | $44,039,699 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | (2.4) | (1,023,189) | |
NET ASSETS | 100.0% | $43,016,510 |
* | 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, 2023. |
2 | Floating Rate Bond. Rate shown is as of April 30, 2023. |
3 | Securities or partial securities on loan. See Note 1. |
4 | Represents an investment of securities lending cash collateral. |
Abbreviations: |
AGMC — Assured Guaranty Municipal Corporation |
AMT — Alternative Minimum Tax |
BAM — Build America Mutual |
PSF — Permanent School Fund |
QSBLF — Michigan Qualified School Bond Loan Fund |
124 |
% of Net Assets | Value | ||
SECTOR: | |||
Municipal Bonds | 92.9% | $ 39,968,058 | |
U.S. Treasury Bill | 3.4 | 1,456,243 | |
Corporate Notes | 2.4 | 1,040,397 | |
TOTAL | 98.7% | $42,464,698 | |
REPURCHASE AGREEMENT | 0.2 | 90,001 | |
INVESTMENT OF SECURITY LENDING COLLATERAL | 3.5 | 1,485,000 | |
TOTAL INVESTMENTS | 102.4% | $44,039,699 |
125 |
Face Amount | Value | ||
CORPORATE NOTES* — 0.4% | |||
Health Care Services — 0.0% | |||
$ 300,000 | Tower Health, 4.451% due 2/1/50 | $ 134,250 | |
Lodging — 0.4% | |||
1,000,000 | Wild Rivers Water Park, 8.500% due 11/1/511 | 768,628 | |
TOTAL CORPORATE NOTES (Cost $987,755) | 902,878 | ||
MUNICIPAL BONDS* — 98.8% | |||
Alabama — 1.9% | |||
500,000 | County of Jefferson, AL, Sewer Revenue, Revenue Bonds, Warrants, Series B, (AGMC Insured), 0.000% due 10/1/252 | 455,169 | |
1,070,000 | County of Jefferson, AL, Sewer Revenue, Revenue Bonds, Warrants, Series D, 6.000% due 10/1/42 | 1,131,475 | |
500,000 | County of Jefferson, AL, Sewer Revenue, Revenue Bonds, Warrants, Series E, 0.000% due 10/1/342 | 220,689 | |
500,000 | Montgomery Medical Clinic Board, AL, Health Care Facility Revenue, Revenue Bonds, Refunding, 5.000% due 3/1/30 | 500,961 | |
1,000,000 | Southeast Energy Authority Cooperative District, AL, Project No 5, Revenue Bonds, Series A, 5.250% due 1/1/543 | 1,063,924 | |
500,000 | Sumter County Industrial Development Authority, AL, Exempt Facilities Revenue, Revenue Bonds, 6.000% due 7/15/523 | 450,103 | |
3,822,321 | |||
Alaska — 0.1% | |||
1,675,000 | Northern Tobacco Securitization Corp., AK, Revenue Bonds, Refunding, Series B-2, 0.000% due 6/1/662 | 211,640 | |
Arizona — 3.9% | |||
555,000 | Arizona Industrial Development Authority, Economic Development Revenue, Legacy Cares, Inc. Project, Revenue Bonds, Series A, 7.750% due 7/1/504,5 | 360,750 | |
500,000 | Arizona Industrial Development Authority, Economic Development Revenue, Legacy Cares, Inc. Project, Revenue Bonds, Series C, 6.750% due 7/1/304,5 | 325,000 | |
300,000 | Arizona Industrial Development Authority, Education Revenue, Basis Schools Projects, Revenue Bonds, Refunding, Series A, 5.250% due 7/1/474 | 284,263 | |
250,000 | Arizona Industrial Development Authority, Education Revenue, Cadence Campus Project, Revenue Bonds, Series A, 4.000% due 7/15/504 | 189,893 | |
315,000 | Arizona Industrial Development Authority, Education Revenue, Macombs Fac Project, Revenue Bonds, Series A, 4.000% due 7/1/36 | 297,446 | |
500,000 | Arizona Industrial Development Authority, Education Revenue, Revenue Bonds, Refunding, Series A, 4.000% due 7/1/42 | 439,253 | |
Arizona Industrial Development Authority, Education Revenue, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 7/1/494 | 221,082 | |
125,000 | 5.000% due 7/15/494 | 114,587 | |
300,000 | Arizona Industrial Development Authority, Education Revenue, Revenue Bonds, Series B, 5.500% due 7/1/384 | 303,942 | |
1,000,000 | Arizona Industrial Development Authority, Revenue Bonds, Series A, 4.500% due 7/15/294 | 972,509 | |
25,000 | Florence Town, Inc., AZ, Industrial Development Authority, Legacy Traditional School Project, Revenue Bonds, Escrowed to Maturity, 5.000% due 7/1/234 | 25,059 | |
250,000 | Glendale Industrial Development Authority, AZ, Senior Living Facility, Revenue Bonds, Refunding, 5.000% due 5/15/39 | 226,386 |
126 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Arizona — (Continued) | |||
Industrial Development Authority of the City of Phoenix, AZ, Education Revenue, Basis Schools, Inc., Revenue Bonds, Refunding: | |||
$ 500,000 | 5.000% due 7/1/354 | $ 501,287 | |
250,000 | 5.000% due 7/1/454 | 231,369 | |
Industrial Development Authority of the City of Phoenix, AZ, Education Revenue, Legacy Traditional Schools Project, Revenue Bonds, Series A: | |||
135,000 | 5.750% due 7/1/244 | 135,548 | |
500,000 | 6.750% due 7/1/444 | 506,084 | |
500,000 | Industrial Development Authority of the City of Phoenix, AZ, Education Revenue, Revenue Bonds, Series A, 5.000% due 7/1/464 | 452,285 | |
110,000 | Industrial Development Authority of the County of Pima, AZ, Education Revenue, Revenue Bonds, 4.000% due 6/15/414 | 89,793 | |
290,000 | La Paz County Industrial Development Authority, AZ, Revenue Bonds,Series A, 5.000% due 2/15/464 | 243,462 | |
750,000 | Maricopa County Industrial Development Authority, AZ, Educational Revenue, Paradise Schools Project, Revenue Bonds, Refunding, 5.000% due 7/1/364 | 750,383 | |
500,000 | Maricopa County Industrial Development Authority, AZ, Revenue Bonds, AMT, 4.000% due 10/15/47 | 413,261 | |
375,000 | Maricopa County Industrial Development Authority, AZ, Revenue Bonds, Series A, 6.000% due 7/1/524 | 382,285 | |
150,000 | Tempe Industrial Development Authority, AZ, Revenue Bonds, 5.000% due 12/1/54 | 121,839 | |
250,000 | Tempe Industrial Development Authority, AZ, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/38 | 200,921 | |
7,788,687 | |||
California — 7.4% | |||
1,100,000 | California Community Choice Financing Authority, Green Bond Clean Energy Project, Revenue Bonds, 5.250% due 1/1/543 | 1,148,387 | |
1,000,000 | California Community Choice Financing Authority, Green Bond Clean Energy Project, Revenue Bonds, (SOFR*0.67+1.63%), 4.846% due 7/1/536 | 999,640 | |
2,500,000 | California Community Housing Agency, Revenue Bonds, Series A-2, 0.000% due 8/1/652,4 | 140,589 | |
1,000,000 | California Community Housing Agency, Revenue Bonds, Series B, 5.500% due 2/1/404 | 913,021 | |
250,000 | California Community Housing Agency, Verdant at Green Valley Project, Revenue Bonds, Series A, 5.000% due 8/1/494 | 236,778 | |
283,400 | California Housing Finance Agency, Revenue Bonds, Series A-1, 4.250% due 1/15/35 | 286,616 | |
332,678 | California Housing Finance Agency, Revenue Bonds, Series A-3, Class A, 3.250% due 8/20/36 | 303,611 | |
430,000 | California Infrastructure & Economic Development Bank, Brightline West Rail Project, Revenue Bonds, AMT, 7.750% due 1/1/503,4 | 428,426 | |
1,870,000 | California Infrastructure & Economic Development Bank, Cabs-Sub-WFCS- Portfolio Project, Revenue Bonds, Series B, 0.000% due 1/1/612,4 | 97,445 | |
California Municipal Finance Authority, Educational Revenue, Revenue Bonds, Refunding, Series A: | |||
360,000 | 5.000% due 6/1/36 | 367,009 | |
500,000 | 5.000% due 6/1/46 | 501,295 | |
300,000 | California Municipal Finance Authority, Higher Education Revenue, Revenue Bonds, Series A, 5.000% due 11/1/464 | 288,411 | |
750,000 | California Municipal Finance Authority, Student Housing Revenue Bonds, Series 2021, (BAM Insured), 3.000% due 5/15/51 | 579,460 | |
335,000 | California School Finance Authority, Rocketship Education Obligated Group, Revenue Bonds, Series A, 5.250% due 6/1/524 | 310,566 | |
250,000 | California Statewide Communities Development Authority, CHF Irvine LLC, Revenue Bonds, Refunding, 5.000% due 5/15/29 | 258,450 |
127 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
California — (Continued) | |||
$ 500,000 | California Statewide Communities Development Authority, Revenue Bonds, Series A, 5.250% due 12/1/564 | $ 478,682 | |
645,000 | California Statewide Communities Development Authority, Student Housing Revenue, Revenue Bonds, 4.305% due 7/1/32 | 586,581 | |
110,000 | Chino Valley Unified School District, CA, General Obligation Unlimited, Election of 2016, Series C, 0.000% due 8/1/352 | 70,130 | |
250,000 | City & County of San Francisco Community Facilities District No. 2016-1, CA, Special Tax, Revenue Bond, Series 2022-A, 4.000% due 9/1/424 | 228,168 | |
465,000 | CMFA Special Finance Agency XII, CA, Revenue Bonds, Series A-1, 3.250% due 2/1/574 | 310,260 | |
CSCDA Community Improvement Authority, CA, Revenue Bonds, Series A-2: | |||
500,000 | 3.250% due 7/1/564 | 336,635 | |
200,000 | 4.000% due 9/1/564 | 150,459 | |
500,000 | 3.250% due 4/1/574 | 346,575 | |
500,000 | 3.250% due 5/1/574 | 344,754 | |
500,000 | 3.125% due 6/1/574 | 327,580 | |
875,000 | 4.000% due 6/1/584 | 665,318 | |
100,000 | CSCDA Community Improvement Authority, CA, Revenue Bonds, Series B, 4.000% due 12/1/564 | 71,911 | |
3,595,000 | Golden State Tobacco Securitization Corp., CA, Revenue Bonds, Refunding,Series B-2, 0.000% due 6/1/662 | 397,079 | |
Hastings Campus Housing Finance Authority, CA, Revenue Bonds, Series A: | |||
600,000 | 5.000% due 7/1/454 | 516,409 | |
500,000 | 5.000% due 7/1/614 | 403,439 | |
720,000 | Madera Unified School District, CA, General Obligation Unlimited, (NPFG Insured), 0.000% due 5/1/302 | 575,209 | |
250,000 | River Islands Public Financing Authority, CA, Special Tax, Series 1, 4.000% due 9/1/41 | 213,803 | |
500,000 | River Islands Public Financing Authority, CA, Special Tax, Series A, 5.000% due 9/1/48 | 489,623 | |
500,000 | River Islands Public Financing Authority, CA, Special Tax, Series B, 5.750% due 9/1/52 | 492,501 | |
1,000,000 | Riverside County Redevelopment Successor Agency, CA, Tax Allocation, Series B, 0.000% due 10/1/392 | 497,386 | |
200,000 | Seal Beach Community Facilities District No. 2005-1, CA, Special Tax, Refunding, 3.000% due 9/1/29 | 193,860 | |
100,000 | State of California, General Obligation Unlimited, 5.250% due 10/1/50 | 114,329 | |
14,670,395 | |||
Colorado — 7.4% | |||
500,000 | Amber Creek Metropolitan District, CO, General Obligation Limited, Refunding, Series A, 5.125% due 12/1/47 | 450,026 | |
500,000 | Arkansas River Power Authority, CO, Power Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/33 | 520,946 | |
500,000 | Banning Lewis Ranch Metropolitan District No. 8, CO, General Obligation Limited, Series A, 4.875% due 12/1/514 | 388,817 | |
500,000 | Base Village Metropolitan District No. 2, CO, General Obligation Limited, Refunding, Series A, 5.750% due 12/1/46 | 501,145 | |
206,000 | Bradburn Metropolitan District No. 2, CO, General Obligation Limited, Refunding, Series A, 4.000% due 12/1/28 | 196,745 | |
525,000 | Broadway Park North Metropolitan District No 2, CO, General Obligation Limited, 5.000% due 12/1/494 | 483,444 | |
740,000 | Buffalo Ridge Metropolitan District, CO, General Obligation Limited, Series B, 7.375% due 12/15/47 | 710,193 | |
500,000 | Clear Creek Station Metropolitan District No. 2, CO, General Obligation Limited, Refunding, Series A, 5.000% due 12/1/47 | 466,719 | |
Colorado Health Facilities Authority, Frasier Project, Revenue Bonds, Refunding, Series 2023-A: | |||
55,000 | 4.000% due 5/15/41 | 44,122 | |
215,000 | 4.000% due 5/15/48 | 158,749 |
128 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Colorado — (Continued) | |||
$ 500,000 | Colorado Health Facilities Authority, Hospital Revenue, Christian Living Neighborhoods Project, Revenue Bonds, Refunding, 5.000% due 1/1/31 | $ 471,946 | |
250,000 | Colorado Health Facilities Authority, Hospital Revenue, Parkview Medical Center Project, Revenue Bonds, Series A, 4.000% due 9/1/50 | 210,833 | |
Colorado Health Facilities Authority, Hospital Revenue, Revenue Bonds, Refunding: | |||
400,000 | 5.000% due 1/1/37 | 352,791 | |
35,000 | 4.000% due 1/1/42 | 25,403 | |
250,000 | Colorado Health Facilities Authority, Revenue Bonds, 5.000% due 1/1/38 | 218,080 | |
269,000 | Copper Ridge Metropolitan District, CO, Revenue Bonds, 4.000% due 12/1/29 | 248,434 | |
235,000 | Denver Urban Renewal Authority, CO, Tax Allocation, Series A, 5.250% due 12/1/394 | 237,201 | |
590,000 | DIATC Metropolitan District, CO, General Obligation Limited, 3.250% due 12/1/294 | 544,652 | |
470,000 | Dinosaur Ridge Metropolitan District, CO, Special Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/49 | 426,176 | |
798,000 | Gardens on Havana Metropolitan District No. 3, CO, Revenue Bonds, Series A, 4.625% due 12/1/27 | 788,741 | |
500,000 | Hunters Overlook Metropolitan District No. 5, CO, General Obligation Limited, Series A, 5.000% due 12/1/49 | 453,129 | |
500,000 | Independence Metropolitan District No 3, CO, General Obligation Limited, Series A, 6.250% due 12/1/49 | 455,442 | |
494,000 | Leyden Ranch Metropolitan District, CO, General Obligation Unlimited, Series A, 5.125% due 12/1/47 | 470,448 | |
750,000 | Longs Peak Metropolitan District, CO, General Obligation Limited, Series 2021, 5.250% due 12/1/514 | 634,995 | |
500,000 | Parkside at City Centre Business Improvement District, CO, Company Special Revenue, Revenue Bonds, Series A, 6.250% due 12/1/48 | 479,081 | |
200,000 | Rampart Range Metropolitan District No. 5, CO, Revenue Bonds, 4.000% due 12/1/51 | 139,985 | |
500,000 | Senac South Metropolitan District No 1, CO, General Obligation Limited, Series A-3, 5.250% due 12/1/51 | 428,842 | |
750,000 | Southglenn Metropolitan District, CO, Special Revenue, General Obligation Limited, Refunding, 5.000% due 12/1/30 | 750,398 | |
Southlands Metropolitan District No. 1, CO, General Obligation Unlimited, Series A-2: | |||
215,000 | 3.500% due 12/1/27 | 201,086 | |
325,000 | 5.000% due 12/1/47 | 304,105 | |
555,000 | STC Metropolitan District No 2, CO, General Obligation Limited, Refunding, Series A, 3.000% due 12/1/25 | 526,839 | |
520,000 | Thompson Crossing Metropolitan District No. 4, CO, General Obligation Limited, Refunding, 3.500% due 12/1/29 | 471,706 | |
Vauxmont Metropolitan District, CO, General Obligation Limited, Refunding, (AGMC Insured): | |||
250,000 | 5.000% due 12/1/32 | 279,841 | |
160,000 | 5.000% due 12/15/32 | 169,472 | |
500,000 | Waterfront at Foster Lake Metropolitan District No 2, CO, Revenue Bonds, Series 2022, 4.625% due 12/1/28 | 460,877 | |
500,000 | Westcreek Metropolitan District No 2, CO, General Obligation Limited, Series A, 5.375% due 12/1/48 | 472,797 | |
500,000 | Westerly Metropolitan District No. 4, CO, General Obligation Limited, Series A-1, 5.000% due 12/1/50 | 433,825 | |
14,578,031 | |||
Connecticut — 0.6% | |||
425,000 | Connecticut State Health & Educational Facilities Authority, Church Home of Hartford, Inc. Project, Revenue Bonds, Series A, 5.000% due 9/1/534 | 341,924 | |
165,000 | Connecticut State Health & Educational Facilities Authority, Revenue Bonds Refunding, Series G-1, 5.000% due 7/1/504 | 155,093 |
129 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Connecticut — (Continued) | |||
$ 125,000 | Connecticut State Health & Educational Facilities Authority, Revenue Bonds, Series E, 4.000% due 7/1/41 | $ 103,072 | |
110,000 | Harbor Point Infrastructure Improvement District, CT, Special Obligation Revenue, Tax Allocation, Harbor Point Project, Refunding, 5.000% due 4/1/304 | 111,634 | |
500,000 | Mohegan Tribe of Indians of Connecticut, Gaming Authority, Revenue Bonds, Series A, 5.500% due 8/1/264 | 502,106 | |
45,000 | Steel Point Infrastructure Improvement District, CT, Special Obligation Tax Allocation, Steelpointe Harbor Project, 4.000% due 4/1/514 | 33,914 | |
1,247,743 | |||
Delaware — 0.3% | |||
500,000 | Affordable Housing Tax-Exempt Bond Pass-Thru Trust, DE, Revenue Bonds, Series 2023-0001, 6.000% due 10/5/404,7 | 500,000 | |
District Of Columbia — 1.1% | |||
3,415,000 | District of Columbia Tobacco Settlement Financing Corp., Revenue Bonds, Series A, 0.000% due 6/15/462 | 787,033 | |
1,000,000 | District of Columbia Tobacco Settlement Financing Corp., Revenue Bonds, Series C, 0.000% due 6/15/552 | 95,971 | |
500,000 | District of Columbia Tobacco Settlement Financing Corp., Revenue Bonds, Series D, 0.000% due 6/15/552 | 40,499 | |
225,000 | District of Columbia, KIPP Obligated Group, Revenue Bonds, Refunding, Series A, (MBIA Insured), 5.000% due 7/1/27 | 234,483 | |
2,000,000 | Metropolitan Washington Airports Authority Dulles Toll Road Revenue, DC, Revenue Bonds, Series B, (AGMC Insured), 0.000% due 10/1/402 | 946,936 | |
2,104,922 | |||
Florida — 6.3% | |||
105,000 | Alachua County Health Facilities Authourity, FL, Revenue Bonds, Series 2021, 4.000% due 10/1/40 | 83,271 | |
115,000 | Capital Trust Agency Inc, FL, Educational Facilities Revenue, Advantage Academy of Hillsborough Projects, Revenue Bonds, Series A, 4.000% due 12/15/24 | 114,278 | |
160,000 | Capital Trust Agency Inc, FL, Educational Facilities Revenue, Viera Charter School, Inc. Project, Revenue Bonds, Series A, 5.000% due 10/15/374 | 154,408 | |
290,000 | Capital Trust Agency Inc, FL, Revenue Bonds, Series A-1, 5.000% due 7/1/564 | 263,156 | |
6,500,000 | Capital Trust Agency Inc, FL, Revenue Bonds, Series B, 0.000% due 7/1/612,4 | 422,807 | |
250,000 | Capital Trust Agency Inc, FL, Viera Charter Schools Inc Project, Revenue Bonds, Series A, 5.000% due 10/15/494 | 224,976 | |
City of Atlantic Beach, FL, Healthcare Facilities, Fleet Landing Project, Revenue Bonds, Series A: | |||
505,000 | 5.000% due 11/15/33 | 496,473 | |
250,000 | 5.000% due 11/15/53 | 208,217 | |
500,000 | City of Pompano Beach, FL, John Knox Vlg Project, Revenue Bonds, Series 2021-A, 4.000% due 9/1/56 | 351,607 | |
1,000,000 | County of Palm Beach FL, Revenue Bonds, 5.000% due 4/1/394 | 958,634 | |
500,000 | Florida Development Finance Corp., Educational Facilities Revenue, Cornerstone Charter Revenue Bonds, Series 2022, 5.000% due 10/1/424 | 476,115 | |
1,000,000 | Florida Development Finance Corp., Educational Facilities Revenue, Mater Academy Projects, Revenue Bonds, Series A, 5.000% due 6/15/50 | 981,810 | |
250,000 | Florida Development Finance Corp., Educational Facilities Revenue, Renaissance Charter School, Inc. Projects, Revenue Bonds, Refunding, 6.000% due 8/15/574 | 238,477 |
130 |
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 | $ 173,620 | |
145,000 | Florida Development Finance Corp., Educational Facilities Revenue, Renaissance Charter School, Inc. Projects, Revenue Bonds, Refunding, Series C, 5.000% due 9/15/504 | 119,248 | |
100,000 | Florida Development Finance Corp., Educational Facilities Revenue, Renaissance Charter School, Inc. Projects, Revenue Bonds, Series 2022, 5.250% due 6/15/294 | 99,221 | |
670,000 | Florida Development Finance Corp., Revenue Bonds, AMT, 7.375% due 1/1/49 | 634,832 | |
865,000 | Florida Housing Finance Corp., Revenue Bonds, Series 2, (GNMA/ FNMA/ FHLMC Insured), 3.000% due 7/1/52 | 837,580 | |
300,000 | Lakewood Ranch Stewardship District, FL, Special Assessment Revenue, Lakewood National & Polo Run Project, 5.375% due 5/1/47 | 302,712 | |
285,000 | Lee County Industrial Development Authority, FL, Healthcare Facilities, Healthpark Florida Inc Project, Revenue Bonds, Series A, 5.250% due 10/1/57 | 237,926 | |
500,000 | Lee County Industrial Development Authority, FL, Shell Point/Waterside Health Project, Revenue Bonds, 5.000% due 11/15/39 | 488,445 | |
750,000 | Orange County Health Facilities Authority, FL, Revenue Bonds, 5.000% due 8/1/40 | 750,574 | |
55,000 | Palm Beach County Health Facilities Authority, FL, Lifespace Communities, Revenue Bonds, Refunding, Series C, 5.000% due 5/15/25 | 53,438 | |
Palm Beach County Health Facilities Authority, FL, Revenue Bonds, Series A: | |||
100,000 | 11.500% due 7/1/274 | 96,533 | |
145,000 | 5.000% due 6/1/55 | 123,366 | |
5,000 | Palm Beach County Health Facilities Authority, FL, Revenue Bonds, Series B, 5.000% due 11/15/42 | 4,755 | |
1,000,000 | Pinellas County Industrial Development Authority, FL, Revenue Bonds, 5.000% due 7/1/29 | 1,023,190 | |
Sarasota County Health Facilities Authority, FL, Retirement Facilities Revenue, Village on the Isle Project, Revenue Bonds, Series A: | |||
550,000 | 5.000% due 1/1/37 | 502,515 | |
250,000 | 5.000% due 1/1/42 | 220,092 | |
210,000 | Sawyers Landing Community Development District, FL, Special Assessment, 4.250% due 5/1/53 | 165,220 | |
500,000 | Southeast Overtown Park West Community Redevelopment Agency, FL, Tax Allocation, Series A-1, 5.000% due 3/1/304 | 506,705 | |
135,000 | Town Center at Palm Coast Community Development District, FL, Special Assessment, 6.000% due 5/1/36 | 135,038 | |
Winter Garden Village at Fowler Groves Community Development District, FL, Special Assessment, Refunding: | |||
650,000 | 3.750% due 5/1/31 | 600,277 | |
500,000 | 4.125% due 5/1/37 | 459,306 | |
12,508,822 | |||
Georgia — 1.5% | |||
150,000 | Atlanta Urban Redevelopment Agency, GA, Revenue Bonds, Series 2021, 3.625% due 7/1/424 | 126,066 | |
1,000,000 | Development Authority of Burke County, GA, Revenue Bonds, 3.875% due 10/1/323 | 1,004,495 | |
125,000 | Development Authority of Monroe County, GA, Revenue Bonds, Series A, 1.500% due 1/1/393 | 118,357 | |
350,000 | Georgia Housing & Finance Authority, Revenue Bonds, Refunding, Series A, 4.000% due 6/1/50 | 350,395 | |
340,000 | Macon-Bibb County Urban Development Authority, GA, Revenue Bonds, Series A, 5.750% due 6/15/374 | 344,695 | |
750,000 | Main Street Natural Gas Inc, GA, Revenue Bonds, Series C, 4.000% due 8/1/523,4 | 721,381 |
131 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Georgia — (Continued) | |||
$ 200,000 | Municipal Electric Authority of Georgia, Plant Vogtle Units 3&4 Project, Revenue Bonds, Series A, 5.000% due 7/1/60 | $ 200,594 | |
2,865,983 | |||
Guam — 0.4% | |||
175,000 | Guam Department of Education, Certificate Participation, Refunding, Series A, 5.000% due 2/1/40 | 176,182 | |
Territory of Guam, Revenue Bonds, Refunding, Series F: | |||
105,000 | 4.000% due 1/1/36 | 102,078 | |
500,000 | 4.000% due 1/1/42 | 448,644 | |
726,904 | |||
Idaho — 0.9% | |||
Idaho Health Facilities Authority, Kootenai Health Project, Revenue Bonds, Series A: | |||
250,000 | 4.375% due 7/1/34 | 252,524 | |
500,000 | 4.750% due 7/1/44 | 496,080 | |
250,000 | Idaho Housing & Finance Association, Nonprofit Facilities Revenue, Compass Charter School Project, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/404 | 243,520 | |
735,000 | Idaho Housing & Finance Association, Nonprofit Facilities Revenue, Compass Charter School Project, Revenue Bonds, Series A, 6.000% due 7/1/394 | 773,490 | |
1,765,614 | |||
Illinois — 6.8% | |||
1,000,000 | Chicago Board of Education Dedicated Capital Improvement Tax, IL, Revenue Bonds, 5.250% due 4/1/39 | 1,073,730 | |
100,000 | Chicago Board of Education, IL, General Obligation Unlimited, Refunding, Series A, 7.000% due 12/1/44 | 105,395 | |
Chicago Board of Education, IL, General Obligation Unlimited, Series A, (NPFG Insured): | |||
150,000 | 0.000% due 12/1/232 | 146,517 | |
170,000 | 5.500% due 12/1/26 | 177,737 | |
550,000 | 0.000% due 12/1/292 | 425,883 | |
1,205,000 | 0.000% due 12/1/312 | 851,179 | |
1,150,000 | Chicago Board of Education, IL, General Obligation Unlimited, Series B1, (NPFG Insured), 0.000% due 12/1/312 | 812,329 | |
500,000 | Chicago Board of Education, IL, General Obligation Unlimited, Series H, 5.000% due 12/1/46 | 494,517 | |
City of Chicago, IL, General Obligation Unlimited, Refunding, Series C: | |||
250,000 | 0.000% due 1/1/272 | 215,550 | |
435,000 | 0.000% due 1/1/312 | 315,745 | |
305,000 | City of Chicago, IL, Wastewater Transmission Revenue, Revenue Bonds, Refunding, (NPFG Insured), 5.500% due 1/1/30 | 331,401 | |
145,000 | City of Chicago, IL, Waterworks Revenue, Revenue Bonds, Refunding, (AMBAC Insured), 5.750% due 11/1/30 | 157,338 | |
500,000 | Cook County Community College District No. 508, IL, General Obligation Unlimited, 5.250% due 12/1/43 | 500,732 | |
320,000 | Illinois Finance Authority, Charter School Revenue, Refunding and Improvement, Chicago International Charter School Project, Revenue Bonds, 5.000% due 12/1/47 | 317,564 | |
400,000 | Illinois Finance Authority, Christian Homes, Inc., Revenue Bonds, Refunding, 5.000% due 5/15/36 | 339,932 | |
Illinois Finance Authority, Student Housing Revenue, Northern Illinois University Project, Revenue Bonds, Series A: | |||
250,000 | 5.000% due 7/1/35 | 226,803 | |
500,000 | 5.000% due 7/1/47 | 409,482 | |
355,000 | Illinois Housing Development Authority, Revenue Bonds, Refunding, Series C, 3.500% due 8/1/46 | 350,793 | |
270,000 | Illinois Housing Development Authority, Revenue Bonds, Series A, (FHLMC/ FNMA / GNMA Insured), 4.250% due 10/1/49 | 271,274 | |
280,000 | Illinois Housing Development Authority, Revenue Bonds, Series A, (GNMA/ FNMA/ FHLMC Insured), 3.000% due 4/1/51 | 271,338 |
132 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Illinois — (Continued) | |||
$ 475,000 | Illinois Sports Facilities Authority, Revenue Bonds, Refunding, 5.000% due 6/15/24 | $ 479,817 | |
440,000 | Illinois Sports Facilities Authority, State Tax Supported, Capital Apprec, Revenue Bonds, (AMBAC Insured), 0.000% due 6/15/262 | 386,405 | |
250,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Refunding, (BAM, NPFG Insured), 0.000% due 6/15/282 | 209,643 | |
525,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Refunding, Series B-1, (AGMC Insured), 0.000% due 6/15/272 | 455,709 | |
Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax Revenue, Revenue Bonds, Series A, (NPFG Insured): | |||
485,000 | 0.000% due 6/15/312 | 359,359 | |
1,000,000 | 0.000% due 6/15/362 | 573,571 | |
2,000,000 | Metropolitan Pier & Exposition Authority, IL, Dedicated State Tax, Revenue Bonds, Series A, (AGMC, MBIA Insured), 0.000% due 12/15/292 | 1,590,160 | |
175,000 | Metropolitan Pier & Exposition Authority, IL, McCormick Place Expansion Project, Revenue Bonds, Refunding, Series A, 0.000% due 12/15/372 | 89,795 | |
500,000 | Metropolitan Pier & Exposition Authority, IL, McCormick Place Expansion Project, Revenue Bonds, Refunding, Series B, 5.000% due 12/15/40 | 506,549 | |
250,000 | United City of Yorkville, IL, Special Tax, Refunding, (AGMC Insured), 4.000% due 3/1/36 | 253,534 | |
250,000 | Village of Bolingbrook, IL, Special Service Area No 1, Special Tax, Refunding, 5.250% due 3/1/41 | 230,976 | |
500,000 | Volo Village Special Service Area No. 3 & 6, IL, Special Tax, Symphony Meadows/Lancaster Falls Project, Refunding, (AGMC Insured), 2.875% due 3/1/25 | 493,525 | |
13,424,282 | |||
Indiana — 2.5% | |||
100,000 | City of Fort Wayne, IN, Revenue Bonds, Revenue Bonds, 10.750% due 12/1/29 | 99,932 | |
740,000 | City of Fort Wayne, IN, Revenue Bonds, Revenue Bonds, AMT, 9.000% due 12/1/444 | 732,959 | |
1,000,000 | City of Whiting, IN, BP Products North America, Revenue Bonds, AMT, 4.400% due 11/1/453 | 1,035,352 | |
Indiana Finance Authority, Greencroft Obligated Group, Revenue Bonds, Series A, Forward Refunding 11/15/23: | |||
345,000 | 5.750% due 11/15/28 | 348,100 | |
330,000 | 6.500% due 11/15/33 | 334,141 | |
250,000 | Indiana Finance Authority, Ohio Valley Electric Corp Project, Revenue Bonds, Series B, 3.000% due 11/1/30 | 227,038 | |
260,000 | Indiana Finance Authority, Pollution Control, Ohio Valley Electric Corp Project, Revenue Bonds, Series B, 2.500% due 11/1/30 | 227,911 | |
965,000 | Indiana Finance Authority, Revenue Bonds, Refunding, Series 2019, 7.000% due 3/1/394 | 729,644 | |
Indiana Finance Authority, Revenue Bonds, Refunding, Series A: | |||
250,000 | 1.400% due 8/1/29 | 220,622 | |
455,000 | 4.000% due 11/15/43 | 339,186 | |
Indiana Finance Authority, Revenue Bonds, Series A: | |||
600,000 | 5.000% due 11/15/38 | 571,327 | |
100,000 | 5.250% due 11/15/46 | 94,206 | |
4,960,418 | |||
Iowa — 0.9% | |||
730,000 | Iowa Finance Authority, Midwestern Disaster Area Revenue, Iowa Fertilizer Company Project, Revenue Bonds, Refunding, 5.000% due 12/1/50 | 722,424 |
133 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Iowa — (Continued) | |||
$ 1,000,000 | PEFA, Inc, IA, Revenue Bonds, 5.000% due 9/1/493 | $ 1,029,748 | |
1,752,172 | |||
Kansas — 0.2% | |||
City of Overland Park, KS, Sales Tax Revenue, Bluhawk Star Bond Project, Revenue Bonds: | |||
100,000 | 6.000% due 11/15/344 | 103,048 | |
200,000 | 6.500% due 11/15/424 | 204,527 | |
150,000 | Wyandotte County-Kansas City Unified Government, KS, Revenue Bonds, Refunding, 5.000% due 12/1/34 | 141,545 | |
30,000 | Wyandotte County-Kansas City Unified Government, KS, Wyandotte Plaza Project, Revenue Bonds, Refunding, 4.000% due 12/1/28 | 28,017 | |
477,137 | |||
Kentucky — 1.1% | |||
305,000 | City of Ashland, KY, Medical Center Revenue, Revenue Bonds, Refunding, Series A, 4.000% due 2/1/32 | 305,974 | |
350,000 | City of Ashland, KY, Revenue Bonds, Refunding, Series A, 4.000% due 2/1/36 | 342,479 | |
Kentucky Economic Development Finance Authority, Healthcare Revenue, Revenue Bonds, Series B, (NPFG Insured): | |||
500,000 | 0.000% due 10/1/262 | 442,362 | |
500,000 | 0.000% due 10/1/272 | 427,839 | |
250,000 | Kentucky Economic Development Finance Authority, Healthcare Revenue, Rosedale Green Project, Revenue Bonds, Refunding, 5.750% due 11/15/45 | 212,819 | |
95,000 | Kentucky Public Transportation Infrastructure Authority, Revenue Bonds, Series B, (AGMC Insured), 4.000% due 7/1/53 | 83,692 | |
250,000 | Louisville & Jefferson County Metropolitan Government, KY, Healthcare System, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/31 | 263,026 | |
2,078,191 | |||
Louisiana — 1.3% | |||
250,000 | Calcasieu Parish Memorial Hospital Service District, LA, Hospital Revenue, Lake Charles Memorial Hospital Project, Revenue Bonds, Refunding, 5.000% due 12/1/34 | 242,145 | |
850,000 | Juban Crossing Economic Development District, LA, Gen Infrastructure Project, Revenue Bonds, Refunding, Series C, 7.000% due 9/15/444 | 775,609 | |
1,250,000 | Louisiana Local Government Environmental Facility & Community Development Authority, Entergy Louisiana LLC Project, Revenue Bonds, Series B, 2.500% due 4/1/36 | 1,031,620 | |
500,000 | Louisiana Public Facilities Authority, Revenue Bonds, Louisiana State University Greenhouse District Phase II Project, Series A, 5.000% due 7/1/59 | 507,903 | |
2,557,277 | |||
Maryland — 2.3% | |||
1,125,000 | City of Baltimore, MD, Special Obligation, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/38 | 1,132,268 | |
250,000 | City of Brunswick, MD, Special Obligation, Special Tax, Refunding, 5.000% due 7/1/36 | 252,817 | |
250,000 | County of Howard, MD, Special Obligation, Tax Allocation, Downtown Columbia Project, Series A, 4.125% due 2/15/344 | 237,524 | |
500,000 | County of Prince George’s, MD, Special Obligation, PGC Hampton Park Project, Revenue Bonds, Series A, 4.375% due 7/1/484 | 433,593 | |
235,000 | Maryland Community Development Administration, Department Housing & Community Development, Revenue Bonds, Refunding, Series A, 4.500% due 9/1/48 | 237,676 |
134 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Maryland — (Continued) | |||
$ 690,000 | Maryland Community Development Administration, Revenue Bonds, Refunding, Series A, 3.000% due 9/1/51 | $ 669,596 | |
285,000 | Maryland Community Development Administration, Revenue Bonds, Refunding, Series C, 3.000% due 9/1/51 | 275,870 | |
500,000 | Maryland Economic Development Corp., Morgan State University Project, Revenue Bonds, 5.000% due 7/1/56 | 499,964 | |
90,000 | Maryland Economic Development Corp., Special Obligation, Metro Centre Owings Mills Project, Tax Allocation, 3.750% due 7/1/27 | 87,281 | |
250,000 | Maryland Economic Development Corp., Special Obligation, Tax Allocation, Metro Centre Owings Mills Project, 4.500% due 7/1/44 | 228,323 | |
500,000 | Prince George’s County Revenue Authority, MD, Tax Allocation, Suitland-Naylor Road Project, 5.000% due 7/1/464 | 501,926 | |
4,556,838 | |||
Massachusetts — 0.0% | |||
100,000 | Massachusetts Development Finance Agency, Revenue Bonds, Refunding, 5.125% due 1/1/40 | 91,345 | |
Michigan — 1.1% | |||
250,000 | City of Detroit, MI, General Obligation Unlimited, 5.000% due 4/1/34 | 258,740 | |
125,000 | City of Detroit, MI, General Obligation Unlimited, Series A, 5.000% due 4/1/46 | 122,210 | |
250,000 | Flint Hospital Building Authority, MI, Revenue Bonds, Refunding, Series A, 4.000% due 7/1/38 | 227,473 | |
280,000 | Flint Hospital Building Authority, MI, Revenue Bonds, Series A, 5.250% due 7/1/39 | 280,222 | |
Grand Rapids Economic Development Corp., MI, Beacon Hill Eastgate Project, Revenue Bonds, Refunding, Series A: | |||
600,000 | 5.000% due 11/1/37 | 521,920 | |
250,000 | 5.000% due 11/1/55 | 192,413 | |
325,000 | Michigan Finance Authority, Revenue Bonds, Refunding, Series B-2, Class 2, 0.000% due 6/1/652 | 32,599 | |
520,000 | Michigan State Housing Development Authority, Safe Mortgage Revenue, Revenue Bonds, Series A, 2.700% due 10/1/56 | 329,731 | |
3,500,000 | Michigan Tobacco Settlement Finance Authority, Revenue Bonds, Series C, 0.000% due 6/1/582 | 143,776 | |
2,109,084 | |||
Minnesota — 0.1% | |||
166,272 | Minnesota Housing Finance Agency, Non AMT Non ACE SF Mortgage, Revenue Bonds, Series I, (GNMA/ FNMA/ FHLMC Insured), 2.800% due 12/1/47 | 152,976 | |
Mississippi — 0.2% | |||
Mississippi Business Finance Corp., Revenue Bonds: | |||
220,000 | 2.375% due 6/1/44 | 139,115 | |
350,000 | 7.750% due 7/15/473 | 352,795 | |
491,910 | |||
Missouri — 1.7% | |||
355,000 | Cape Girardeau County Industrial Development Authority, MO, Southeast Health, Revenue Bonds, Refunding, Series A, 6.000% due 3/1/33 | 366,109 | |
100,000 | Health & Educational Facilities Authority of the State of Missouri, Lutheran Senior Services, Revenue Bonds, 5.000% due 2/1/25 | 100,160 | |
250,000 | Health & Educational Facilities Authority of the State of Missouri, Lutheran Senior SVC Project, Revenue Bonds, Series A, 5.000% due 2/1/42 | 231,065 |
135 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Missouri — (Continued) | |||
Health & Educational Facilities Authority of the State of Missouri, Revenue Bonds: | |||
$ 1,000,000 | 5.000% due 2/1/26 | $ 1,001,231 | |
250,000 | 5.000% due 8/1/45 | 229,544 | |
100,000 | Health & Educational Facilities Authority of the State of Missouri, Revenue Bonds, Series A, 5.000% due 2/1/28 | 100,323 | |
365,000 | Maryland Heights Industrial Development Authority, MO, State Louis Community ICE Center Project, Revenue Bonds, Series A, 4.375% due 3/15/30 | 333,454 | |
60,000 | Plaza at Noah’s Ark Community Improvement District, MO, Refunding, Revenue Bonds, 3.000% due 5/1/26 | 57,324 | |
355,000 | St. Louis County Industrial Development Authority, MO, Senior Living Facilities, Revenue Bonds, Refunding, 5.000% due 9/1/32 | 350,552 | |
500,000 | St. Louis County Industrial Development Authority, MO, Senior Living Facilities, Revenue Bonds, Series A, 5.250% due 9/1/53 | 434,146 | |
100,000 | Taney County Industrial Development Authority, MO, Big Cedar infrastucture Project, Revenue Bonds, 5.000% due 10/1/334 | 98,957 | |
3,302,865 | |||
Nebraska — 0.1% | |||
115,000 | Nebraska Investment Finance Authority, Safe Housing Revenue, Revenue Bonds, Series C, 4.000% due 9/1/48 | 114,744 | |
Nevada — 1.2% | |||
100,000 | City of Las Vegas, NV, Sales Tax Increment Revenue, Revenue Bonds, 3.500% due 6/15/254 | 96,779 | |
225,000 | City of Las Vegas, NV, Special Improvement District No. 816, Sales Tax Increment, Special Assessment, 2.750% due 6/1/31 | 188,867 | |
380,000 | City of North Las Vegas, NV, Local Improvement, Special Assessment, 4.625% due 6/1/49 | 346,959 | |
1,000,000 | City of Sparks, NV, Tourism improvement district, Revenue Bonds, Series A, 2.750% due 6/15/284 | 906,195 | |
State of Nevada Department of Business & Industry, Revenue Bonds, Series A: | |||
335,000 | 5.000% due 7/15/274 | 336,639 | |
500,000 | 5.000% due 12/15/484 | 442,069 | |
2,317,508 | |||
New Jersey — 3.4% | |||
1,000,000 | New Jersey Economic Development Authority, Revenue Bonds, Refunding, Series A, 5.000% due 6/15/267 | 1,024,848 | |
500,000 | New Jersey Economic Development Authority, Revenue Bonds, Refunding, Series I, (State Appropriations), (SIFMA MUNI SWAP INDEX*1.00+1.60%), 5.460% due 3/1/286 | 499,981 | |
345,000 | New Jersey Economic Development Authority, Revenue Bonds, Series A, 5.000% due 7/1/38 | 349,220 | |
565,000 | New Jersey Housing & Mortgage Finance Agency, Revenue Bonds, Refunding, Series C, 4.750% due 10/1/50 | 574,577 | |
New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series A: | |||
1,000,000 | 0.000% due 12/15/352 | 609,654 | |
1,300,000 | 0.000% due 12/15/392 | 614,447 | |
185,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series C, (AGMC Insured), 0.000% due 12/15/322 | 132,642 | |
550,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series C, (AMBAC Insured), 0.000% due 12/15/352 | 337,391 | |
1,000,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series C, (NPFG Insured), 0.000% due 12/15/312 | 743,208 | |
1,880,000 | Tobacco Settlement Financing Corp., NJ, Revenue Bonds, Refunding, Series B, 5.000% due 6/1/46 | 1,869,730 | |
6,755,698 |
136 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
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 | $ 260,246 | |
250,000 | New Mexico Hospital Equipment Loan Council, Revenue Bonds, LA Vida Llena Expansion Project, Series A, 5.000% due 7/1/49 | 191,328 | |
390,000 | New Mexico Mortgage Finance Authority, Revenue Bonds, Series A-1, Class I, (GNMA/ FNMA/ FHLMC Insured), 4.250% due 1/1/50 | 391,627 | |
843,201 | |||
New York — 4.2% | |||
435,000 | Brookhaven Local Development Corp., NY, Jefferson’s Ferry Project, Revenue Bonds, Series A, 4.000% due 11/1/55 | 334,555 | |
1,000,000 | Build NYC Resource Corp., NY, Revenue Bonds, 5.250% due 7/1/57 | 1,021,046 | |
100,000 | Build NYC Resource Corp., NY, Revenue Bonds, Series A, 4.000% due 6/15/51 | 74,731 | |
150,000 | County of Sullivan, NY, Special Assessment, Adelaar Infrastructure Project, Special Assessment, Series E-1, 4.850% due 11/1/314 | 141,835 | |
500,000 | County of Sullivan, NY, Special Assessment, Adelaar Infrastructure Project, Special Assessment, Series E-2, 5.350% due 11/1/494 | 451,214 | |
500,000 | Glen Cove Local Economic Assistance Corp., NY, Revenue Bonds, Series C, 0.000% due 1/1/552 | 433,420 | |
250,000 | Huntington Local Development Corp., NY, Fountaingate Garden Project, Revenue Bonds, Series A, 5.250% due 7/1/56 | 190,001 | |
250,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series C-1, 4.750% due 11/15/45 | 254,787 | |
500,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series C-2, 0.000% due 11/15/322 | 341,852 | |
395,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, Series D-2-B, (AGMC Insured), (SOFR*0.67+0.55%), 3.773% due 11/1/326 | 392,970 | |
115,000 | Monroe County Industrial Development Corp., NY, St. Ann’s Community Project, Revenue Bonds, 5.000% due 1/1/50 | 83,272 | |
150,000 | Monroe County Industrial Development Corp., NY, St. Ann’s Community Project, Revenue Bonds, Refunding, 5.000% due 1/1/40 | 120,494 | |
500,000 | New York City Industrial Development Agency, NY, Revenue Bonds, Refunding, (AGMC Insured), 3.000% due 1/1/46 | 390,269 | |
350,000 | New York Liberty Development Corp., Revenue Bonds, Refunding Class 2-3, 5.375% due 11/15/40 | 350,119 | |
480,000 | New York Liberty Development Corp., Revenue Bonds, Refunding Class 3-3, 7.250% due 11/15/44 | 485,722 | |
1,815,000 | New York Liberty Development Corp., Revenue Bonds, Refunding, Class 1-3, 5.000% due 11/15/44 | 1,756,843 | |
1,000,000 | New York Transportation Development Corp., Revenue Bonds, AMT, 5.000% due 1/1/36 | 1,034,053 | |
230,000 | Niagara Area Development Corp., NY, Catholic Health System Inc Project, Revenue Bonds, 5.000% due 7/1/52 | 176,105 | |
195,000 | State of New York Mortgage Agency, Homeowner Mortgage, Revenue Bonds, Refunding, Series 195, 4.000% due 10/1/46 | 194,273 | |
8,227,561 | |||
North Carolina — 0.8% | |||
895,000 | North Carolina Housing Finance Agency, Revenue Bonds, Series 46-A, (GNMA/ FNMA/ FHLMC Insured), 3.000% due 7/1/51 | 867,548 | |
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 | 417,512 |
137 |
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 | $ 207,495 | |
1,492,555 | |||
North Dakota — 0.3% | |||
500,000 | County of Ward, ND, Healthcare Facilities Revenue, Revenue Bonds, Series C, 5.000% due 6/1/43 | 427,521 | |
185,000 | North Dakota Housing Finance Agency, Revenue Bonds, Series A, 3.000% due 1/1/52 | 179,387 | |
606,908 | |||
Ohio — 2.1% | |||
1,000,000 | Buckeye Tobacco Settlement Financing Authority, OH, Revenue Bonds, Series B-2, Class 2, 5.000% due 6/1/55 | 932,083 | |
600,000 | City of Centerville, OH, Healthcare Revenue, Revenue Bonds, Refunding, 5.250% due 11/1/50 | 514,693 | |
95,000 | Cleveland-Cuyahoga County Port Authority, OH, Tax Allocation, Sub-Flats East Bank Project, Refunding, Series B, 4.500% due 12/1/554 | 82,120 | |
345,000 | County of Franklin, OH, Revenue Bonds, Refunding, 5.250% due 11/15/55 | 290,571 | |
700,000 | County of Washington, OH, Hospital Revenue, Revenue Bonds, Refunding, 6.750% due 12/1/52 | 702,051 | |
475,000 | Ohio Higher Educational Facility Commission, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/50 | 419,440 | |
State of Ohio, Revenue Bonds, Refunding: | |||
250,000 | 5.000% due 12/1/284 | 251,895 | |
420,000 | 5.000% due 12/1/334 | 422,692 | |
250,000 | 5.000% due 12/1/384 | 237,606 | |
300,000 | 5.000% due 12/1/484 | 271,514 | |
4,124,665 | |||
Oklahoma — 0.8% | |||
635,000 | Norman Regional Hospital Authority, OK, Revenue Bonds, Refunding, 4.000% due 9/1/37 | 576,277 | |
Oklahoma Development Finance Authority, Health Project, Revenue Bonds, Series A: | |||
1,000,000 | 5.500% due 8/15/44 | 964,801 | |
375,000 | 5.000% due 8/1/525 | 375 | |
1,541,453 | |||
Oregon — 0.7% | |||
125,000 | Clackamas County Hospital Facility Authority, OR, Oregon Senior Living, Rose Villa Project, Revenue Bonds, Refunding, Series A, 5.125% due 11/15/40 | 114,884 | |
250,000 | Hospital Facilities Authority of Multnomah Country, OR, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/56 | 165,797 | |
395,000 | Polk County Hospital Facility Authority, OR, Dollas Retirement Vlg Project, Revenue Bonds, Series A, 5.125% due 7/1/55 | 311,112 | |
1,000,000 | Salem Hospital Facility Authority, OR, Oregon Revenue, Capital Manor Project, Revenue Bonds, Refunding, 4.000% due 5/15/40 | 808,680 | |
1,400,473 | |||
Pennsylvania — 3.9% | |||
Berks County Industrial Development Authority, PA, Tower Health Project, Revenue Bonds, Refunding: | |||
1,000,000 | 5.000% due 11/1/47 | 583,123 | |
250,000 | 4.000% due 11/1/47 | 125,448 | |
325,000 | Berks County Municipal Authority, PA, Tower Health Project, Revenue Bonds, Refunding, Series A, 5.000% due 2/1/28 | 201,309 | |
150,000 | Berks County Municipal Authority, PA, Tower Health Project, Revenue Bonds, Series B-3, 5.000% due 2/1/403 | 92,820 |
138 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Pennsylvania — (Continued) | |||
$ 270,000 | Bucks Country Industrial Development Authority, PA, Grand view Hospital Project, Revenue Bonds, 4.000% due 7/1/46 | $ 208,563 | |
Crawford County Hospital Authority, PA, Revenue Bonds, Refunding, Series A: | |||
400,000 | 6.000% due 6/1/36 | 415,815 | |
250,000 | 6.000% due 6/1/46 | 255,421 | |
500,000 | Cumberland County Municipal Authority, PA, Revenue Bonds, Refunding, 5.000% due 1/1/29 | 488,886 | |
250,000 | Delaware Valley Regional Finance Authority, PA, Revenue Bonds, Series C, (3M. USD LIBOR*0.67+0.75%), 4.075% due 6/1/376 | 222,333 | |
200,000 | Franklin County Industrial Development Authority, PA, Menno-Haven, Inc. Project, Revenue Bonds, Refunding, 5.000% due 12/1/43 | 166,011 | |
445,000 | Montgomery County Higher Education and Health Authority, PA, Revenue Bonds, Refunding, 5.000% due 12/1/47 | 405,699 | |
500,000 | Montgomery County Industrial Development Authority, PA, Revenue Bonds, Refunding, 5.000% due 11/15/36 | 497,075 | |
250,000 | Montgomery County Industrial Development Authority, PA, Waverly Heights, Limited. Project, Revenue Bonds, Refunding, 5.000% due 12/1/44 | 255,617 | |
800,000 | Pennsylvania Economic Development Financing Authority, Iron Cumberland LLC Project, Revenue Bonds, Series 2022, 7.000% due 12/1/29 | 777,839 | |
Pennsylvania Economic Development Financing Authority, Penndot Major Bridges Project, Revenue Bonds, AMT: | |||
1,000,000 | 5.250% due 6/30/53 | 1,034,403 | |
1,000,000 | 6.000% due 6/30/61 | 1,116,435 | |
Philadelphia Authority for Industrial Development, PA, Revenue Bonds, Refunding: | |||
100,000 | 5.000% due 8/1/30 | 103,877 | |
115,000 | 5.000% due 6/15/404 | 115,354 | |
425,000 | 5.000% due 8/1/40 | 430,381 | |
150,000 | Redevelopment Authority of The County of Washington, PA, Tax Allocation, Refunding, 5.000% due 7/1/28 | 150,071 | |
100,000 | Westmoreland County Industrial Development Authority, PA, Excela Health Project, Revenue Bonds, Refunding, Series A, 4.000% due 7/1/25 | 99,818 | |
7,746,298 | |||
Puerto Rico — 9.0% | |||
Commonwealth of Puerto Rico, General Obligation Unlimited, Restructured, Series A-1: | |||
54,010 | 5.250% due 7/1/23 | 54,082 | |
32,339 | 0.000% due 7/1/242 | 30,637 | |
107,721 | 5.375% due 7/1/25 | 109,748 | |
106,745 | 5.625% due 7/1/27 | 111,251 | |
60,000 | 5.625% due 7/1/29 | 63,429 | |
101,998 | 5.750% due 7/1/31 | 109,183 | |
96,721 | 4.000% due 7/1/33 | 88,502 | |
124,470 | 0.000% due 7/1/332 | 72,629 | |
86,939 | 4.000% due 7/1/35 | 77,761 | |
74,617 | 4.000% due 7/1/37 | 65,170 | |
Commonwealth of Puerto Rico, Notes: | |||
2,028,895 | 0.000% due 11/1/432 | 953,581 | |
1,252,170 | 0.000% due 11/1/512 | 572,335 | |
Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bonds, Refunding, Series A: | |||
1,000,000 | 5.000% due 7/1/304 | 1,011,938 | |
1,500,000 | 5.000% due 7/1/354 | 1,495,840 | |
250,000 | 5.000% due 7/1/374 | 246,739 | |
1,500,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bonds, Series B, 5.000% due 7/1/33 | 1,501,891 | |
610,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series DDD, (AGMC Insured), 3.625% due 7/1/23 | 608,807 |
139 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Puerto Rico — (Continued) | |||
$ 75,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series SS, (AGMC Insured), 5.000% due 7/1/30 | $ 75,470 | |
900,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Refunding, Series UU, (AGMC Insured), (3M. USD LIBOR*0.67+0.52%), 3.988% due 7/1/296 | 822,011 | |
Puerto Rico Electric Power Authority, Revenue Bonds, Series A: | |||
85,000 | 5.000% due 7/1/295 | 59,713 | |
500,000 | 7.000% due 7/1/405 | 357,500 | |
320,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series NN, (NPFG Insured), 4.750% due 7/1/33 | 320,215 | |
600,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series RR, (AGC Insured), 5.000% due 7/1/28 | 603,761 | |
25,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series TT, (AGMC Insured), 5.000% due 7/1/27 | 25,157 | |
1,000,000 | Puerto Rico Electric Power Authority, Revenue Bonds, Series XX, 5.250% due 7/1/405 | 702,500 | |
1,101,941 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, Series A, 5.000% due 7/1/62 | 1,061,503 | |
947,256 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, Series B, 0.000% due 7/1/322 | 594,403 | |
46,623 | Puerto Rico Highway and Transportation Authority, Revenue Bonds, Series C, 0.000% due 7/1/532 | 27,742 | |
400,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, Hospital Auxilio Mutuo Obligation Project, Revenue Bonds, Refunding, 4.000% due 7/1/40 | 360,170 | |
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 | 430,719 | |
250,000 | Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, International American University Project, Revenue Bonds, Refunding, 5.000% due 10/1/31 | 250,379 | |
209,663 | Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Revenue Bonds, Series A, Class 2047, 0.000% due 8/1/472 | 57,028 | |
323,124 | Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Revenue Bonds, Series A, Class 2054, 0.000% due 8/1/542 | 65,639 | |
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Revenue Bonds, Series A-1: | |||
5,000 | 0.000% due 7/1/242 | 4,750 | |
14,000 | 0.000% due 7/1/292 | 10,546 | |
18,000 | 0.000% due 7/1/312 | 12,228 | |
3,188,000 | 0.000% due 7/1/462 | 867,133 | |
11,743,000 | 0.000% due 7/1/512 | 2,385,482 | |
1,000,000 | 5.000% due 7/1/58 | 963,103 | |
185,000 | University of Puerto Rico, Revenue Bonds, Refunding, Series P, (NPFG Insured), 5.000% due 6/1/25 | 185,194 | |
University of Puerto Rico, Revenue Bonds, Series Q: | |||
100,000 | 5.000% due 6/1/25 | 98,819 | |
150,000 | 5.000% due 6/1/36 | 143,874 | |
17,658,562 | |||
Rhode Island — 0.2% | |||
310,000 | Rhode Island Housing and Mortgage Finance Corp., Revenue Bonds, Series 69-B, (GNMA/ FNMA/ FHLMC Insured), 4.000% due 10/1/48 | 309,673 | |
South Carolina — 2.2% | |||
2,760,004 | Connector 2000 Association, Inc., SC, Revenue Bonds, Series A-1, 0.000% due 1/1/422 | 690,912 | |
449,951 | Connector 2000 Association, Inc., SC, Toll Road Revenue, Revenue Bonds, Series A-1, 0.000% due 1/1/322 | 244,864 | |
380,000 | South Carolina Jobs-Economic Development Authority, Economic Development Revenue, Revenue Bonds, 0.000% due 6/1/522 | 263,282 |
140 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
South Carolina — (Continued) | |||
$ 400,000 | South Carolina Jobs-Economic Development Authority, FAH Portfolio Pelham Apartments Project, Revenue Bonds, Series A-1, Class I, 6.500% due 2/1/564 | $ 392,245 | |
150,000 | South Carolina Jobs-Economic Development Authority, FAH Portfolio Pelham Apartments Project, Revenue Bonds, Series B, Class I, 7.500% due 8/1/474 | 145,582 | |
105,000 | South Carolina Jobs-Economic Development Authority, Green Charter Schools Project, Revenue Bonds, Refunding, Series A, 4.000% due 6/1/564 | 72,890 | |
South Carolina Jobs-Economic Development Authority, Health Facilities Revenue, Revenue Bonds, Refunding: | |||
410,000 | 5.000% due 10/1/364 | 380,053 | |
1,090,000 | 5.000% due 10/1/414 | 970,556 | |
300,000 | South Carolina Jobs-Economic Development Authority, Solid Waste Disposal Revenue, Revenue Bonds, 6.250% due 6/1/404 | 235,662 | |
200,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/33 | 207,932 | |
500,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series B, 5.000% due 12/1/37 | 514,262 | |
145,000 | South Carolina State Housing Finance & Development Authority, Revenue Bonds, Series A, (GNMA/ FNMA/ FHLMC/ FHA Insured), 4.000% due 7/1/36 | 144,479 | |
4,262,719 | |||
Tennessee — 0.6% | |||
1,000,000 | Bristol Industrial Development Board, TN, Revenue Bonds, Series B, 0.000% due 12/1/312,4 | 617,902 | |
Knox County Industrial Development Board, TN, Revenue Bonds, AMT, Refunding: | |||
200,000 | 9.250% due 11/1/42 | 200,412 | |
265,000 | 9.500% due 11/1/52 | 265,530 | |
40,000 | Metropolitan Government Nashville & Davidson Country Industrial Development Board, TN, Special Assessment, Series 2021-A, 4.000% due 6/1/514 | 32,003 | |
300,000 | Metropolitan Government Nashville & Davidson Country Industrial Development Board, TN, Special Assessment, Series 2021-B, 0.000% due 6/1/432,4 | 99,737 | |
1,215,584 | |||
Texas — 5.8% | |||
645,000 | Arlington Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/51 | 636,939 | |
500,000 | Arlington Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds, Series 2021, 4.500% due 6/15/563,4,6 | 496,106 | |
Arlington Higher Education Finance Corp., TX, Education Revenue, Revenue Bonds, Series 2022: | |||
100,000 | 6.250% due 6/1/52 | 101,208 | |
200,000 | 6.375% due 6/1/624 | 202,805 | |
240,000 | Arlington Higher Education Finance Corp., TX, Revenue Bonds, Refunding, Uplift Education, Series A, 2.750% due 12/1/26 | 230,013 | |
650,000 | Brazoria County Industrial Development Corp., TX, Revenue Bonds, Series 2022, 10.000% due 6/1/423,4 | 647,066 | |
City of Dallas Housing Finance Corp., TX, Revenue Bonds, Series A: | |||
425,000 | 6.000% due 12/1/62 | 436,808 | |
245,000 | 6.000% due 12/1/624 | 239,198 | |
City of Dallas Housing Finance Corp., TX, Revenue Bonds, Series B: | |||
100,000 | 6.250% due 12/1/544 | 91,798 | |
3,640,000 | 0.000% due 12/1/622,4 | 255,745 | |
500,000 | City of Plano, TX, Special Assessment, 4.000% due 9/15/514 | 398,321 | |
360,000 | Fort Bend County Industrial Development Corp., TX, NRG Energy, Inc., Revenue Bonds, Series A, 4.750% due 5/1/38 | 352,689 |
141 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Texas — (Continued) | |||
$ 1,510,000 | Harris County Cultural Education Facilities Finance Corp., TX, Brazos Presbyterian Homes Project, Revenue Bonds, Refunding, 5.000% due 1/1/48 | $ 1,220,724 | |
150,000 | Harris County Cultural Education Facilities Finance Corp., TX, Revenue Bonds, Series A, 5.000% due 1/1/43 | 125,797 | |
1,000,000 | Hidalgo County Regional Mobility Authority, TX, Revenue Bonds, Series A, 0.000% due 12/1/562 | 155,310 | |
500,000 | Matagorda County Navigation District No. 1, TX, Revenue Bonds, Refunding, Series A, (AMBAC Insured), 4.400% due 5/1/30 | 502,589 | |
215,000 | New Hope Cultural Education Facilities Finance Corp., TX, Blinn College Project, Revenue Bonds, Series A, 5.000% due 7/1/40 | 194,060 | |
500,000 | New Hope Cultural Education Facilities Finance Corp., TX, Retirement Facilities Revenue, Dwyer Workforce development, Revenue Bonds, Refunding, 8.500% due 9/1/274 | 498,478 | |
375,000 | New Hope Cultural Education Facilities Finance Corp., TX, Retirement Facilities Revenue, Morningside Ministries Project, Revenue Bonds, Series A, 5.000% due 1/1/35 | 340,606 | |
250,000 | New Hope Cultural Education Facilities Finance Corp., TX, Revenue Bonds, Refunding, 4.000% due 8/15/514 | 176,795 | |
500,000 | New Hope Cultural Education Facilities Finance Corp., TX, The Outlook At Windhaven Project, Revenue Bonds, Series A, 6.875% due 10/1/57 | 450,911 | |
250,000 | New Hope Cultural Education Facilities Finance Corp., TX, Wesleyan Homes Inc Project, Revenue Bonds, 5.500% due 1/1/49 | 201,542 | |
400,000 | New Hope Cultural Education Facilities Finance Corp., TX, Wesleyan Homes Inc Project, Revenue Bonds, Refunding, 5.000% due 1/1/55 | 286,518 | |
70,000 | Tarrant County Cultural Education Facilities Finance Corp., TX, Retirement Facilities, Air Force Villages Project, Revenue Bonds, Refunding, 4.000% due 5/15/31 | 62,328 | |
140,000 | Tarrant County Cultural Education Facilities Finance Corp., TX, Retirement Facilities, Air Force Villages Project, Revenue Bonds, Refunding, Series A, 5.750% due 12/1/545 | 91,000 | |
250,000 | Tarrant County Cultural Education Facilities Finance Corp., TX, Retirement Facilities, Air Force Villiages Project, Revenue Bonds, Refunding, 4.000% due 5/15/27 | 236,413 | |
150,000 | Tarrant County Cultural Education Facilities Finance Corp., TX, Retirement Facilities, Revenue Bonds, Refunding, 5.000% due 11/15/35 | 143,529 | |
115,000 | Texas Department of Housing and Community Affairs, Revenue Bonds, Series A, (GNMA Insured), 4.750% due 3/1/49 | 116,461 | |
875,000 | Texas Municipal Gas Acquisition and Supply Corp. II, Revenue Bonds, Series C, (3M. USD LIBOR*0.66+0.69%), 3.902% due 9/15/276 | 862,485 | |
1,000,000 | Texas Municipal Gas Acquisition and Supply Corp. III, Revenue Bonds, Refunding, 5.000% due 12/15/29 | 1,047,275 | |
700,000 | Town of Little Elm, TX, Special Assessment, Series A, 5.375% due 9/1/514 | 673,855 | |
11,475,372 | |||
Utah — 0.1% | |||
250,000 | Mida Mountain Village Public Infrastructure District, UT, Special Assessment, Series A, 5.000% due 8/1/504 | 202,607 | |
Vermont — 0.4% | |||
260,000 | Vermont Economic Development Authority, Revenue Bonds, Refunding, Series A, 4.000% due 5/1/37 | 218,211 | |
500,000 | Vermont Economic Development Authority, Revenue Bonds, Series A -1, 5.000% due 6/1/523,4 | 501,176 | |
719,387 |
142 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Virginia — 4.6% | |||
$ 415,000 | Atlantic Park Community Development Authority, VA, Revenue Bonds, 6.250% due 8/1/454 | $ 394,425 | |
750,000 | Farmville Industrial Development Authority, VA, Longwood University Student Project, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/38 | 758,796 | |
Hanover County Economic Development Authority, VA, Care Facilities Revenue, Covenant Woods, Revenue Bonds, Refunding: | |||
255,000 | 4.000% due 7/1/304 | 227,696 | |
500,000 | 5.000% due 7/1/38 | 474,966 | |
295,000 | Henrico County Economic Development Authority, VA, Health Care Facilities Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 12/1/37 | 287,245 | |
500,000 | Henrico County Economic Development Authority, VA, Residencial Care Facility Revenue, Revenue Bonds, Series A, 5.000% due 6/1/39 | 460,475 | |
600,000 | Henrico County Economic Development Authority, VA, Residencial Care Facility Revenue, Revenue Bonds, Series C, 5.000% due 12/1/47 | 553,729 | |
James City County Economic Development Authority, VA, Revenue Bonds, Series A: | |||
500,000 | 4.000% due 12/1/40 | 397,362 | |
140,000 | 4.000% due 6/1/41 | 105,659 | |
500,000 | Newport News Industrial Development Authority, VA, Health System Revenue, Revenue Bonds, Series A, 5.000% due 7/1/464 | 505,074 | |
1,000,000 | Newport News Industrial Development Authority, VA, System Revenue, Revenue Bonds, 5.330% due 7/1/454 | 1,012,793 | |
1,000,000 | Virginia College Building Authority, Marymount University Project, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/454 | 947,355 | |
500,000 | Virginia Small Business Financing Authority, Residential Care Facility Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 6/1/42 | 475,198 | |
760,000 | Virginia Small Business Financing Authority, Revenue Bonds, 8.500% due 6/1/424 | 709,255 | |
655,000 | Virginia Small Business Financing Authority, Revenue Bonds, (SOFR*0.70+5.50%), 7.677% due 6/1/294,6 | 631,134 | |
50,000 | Virginia Small Business Financing Authority, Revenue Bonds, Refunding, 4.000% due 12/1/51 | 37,678 | |
Virginia Small Business Financing Authority, Revenue Bonds, Refunding, Series A: | |||
500,000 | 5.000% due 1/1/32 | 538,867 | |
250,000 | 4.000% due 1/1/45 | 221,750 | |
290,000 | Virginia Small Business Financing Authority, Revenue Bonds, Series A, 8.500% due 12/1/524 | 275,902 | |
9,015,359 | |||
Washington — 2.0% | |||
235,000 | Kalispel Tribe of Indians, WA, Priority District, Revenue Bonds, Series B, 5.250% due 1/1/384 | 242,302 | |
1,125,000 | Washington Health Care Facilities Authority, Revenue Bonds, 5.000% due 12/1/36 | 1,143,384 | |
200,000 | Washington Health Care Facilities Authority, Revenue Bonds, Refunding, Series A-2, 5.000% due 8/1/30 | 218,642 | |
Washington State Convention Center Public Facilities District, Revenue Bonds, Refunding, Series B: | |||
260,000 | 4.000% due 7/1/31 | 259,674 | |
295,000 | 3.000% due 7/1/35 | 256,119 | |
265,000 | 3.000% due 7/1/58 | 167,950 | |
625,000 | Washington State Housing Finance Commission, Refunding, Judson Park Project, Revenue Bonds, 5.000% due 7/1/384 | 542,466 | |
486,080 | Washington State Housing Finance Commission, Revenue Bonds, Series A-1, 3.500% due 12/20/35 | 456,221 | |
500,000 | Washington State Housing Finance Commission, Rockwood Retirement Communities, Revenue Bonds, 5.000% due 1/1/554 | 349,477 |
143 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Washington — (Continued) | |||
$ 500,000 | Washington State Housing Finance Commission, Rockwood Retirement Communities, Revenue Bonds, Series A, 5.000% due 1/1/564 | $ 347,876 | |
3,984,111 | |||
West Virginia — 0.1% | |||
250,000 | West Virginia Hospital Finance Authority, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/43 | 241,195 | |
Wisconsin — 5.4% | |||
250,000 | Public Finance Authority, WI, Charter Day School Inc Project, Revenue Bonds, Series A, 5.000% due 12/1/454 | 210,056 | |
250,000 | Public Finance Authority, WI, Charter School Portfolio Project, Revenue Bonds, Series A-1, 5.000% due 1/1/554 | 189,174 | |
500,000 | Public Finance Authority, WI, Charter School Revenue, Revenue Bonds, Series A, 5.375% due 7/15/474 | 435,094 | |
500,000 | Public Finance Authority, WI, Grand Hyatt San Antonio Hotel Acquisition Project, Revenue Bonds, Series B, 6.000% due 2/1/624 | 505,010 | |
115,000 | Public Finance Authority, WI, Hospital Facility Authority, Revenue Bonds, Refunding, Series A, 4.000% due 12/1/41 | 93,239 | |
110,000 | Public Finance Authority, WI, Hospital Facility Authority, Revenue Bonds, Series A-1, 4.000% due 7/1/514 | 83,547 | |
400,000 | Public Finance Authority, WI, House Apartments Project, Revenue Bonds, Series A, 6.500% due 8/1/534 | 398,897 | |
275,000 | Public Finance Authority, WI, House Apartments Project, Revenue Bonds, Series B, 6.625% due 2/1/464 | 255,368 | |
115,000 | Public Finance Authority, WI, KDC Agri Business, LLC, Revenue Notes, Series A, 15.000% due 5/15/234,8 | 115,000 | |
Public Finance Authority, WI, Lehigh Valley Health Network Micro Hospitals, Revenue Bonds: | |||
190,000 | 7.250% due 12/1/424 | 187,582 | |
115,000 | 7.500% due 12/1/524 | 114,718 | |
Public Finance Authority, WI, Retirement Facility Revenue, Revenue Bonds, Refunding: | |||
250,000 | 5.000% due 9/1/494 | 190,461 | |
500,000 | 5.000% due 9/1/544 | 424,129 | |
260,000 | Public Finance Authority, WI, Revenue Bonds, Refunding, 5.875% due 4/1/45 | 263,995 | |
Public Finance Authority, WI, Revenue Bonds, Refunding, Series A: | |||
375,000 | 5.000% due 6/1/294 | 375,109 | |
250,000 | 5.000% due 1/1/35 | 245,865 | |
750,000 | 5.000% due 1/1/46 | 696,200 | |
500,000 | Public Finance Authority, WI, Revenue Bonds, Series A, 4.500% due 6/1/564 | 373,798 | |
25,000 | Public Finance Authority, WI, Roseman University, Revenue Bonds, Prerefunded 4/01/30 @ 100, 5.000% due 4/1/50 | 28,836 | |
475,000 | Public Finance Authority, WI, Roseman University, Revenue Bonds, Unrefunded Portion, 5.000% due 4/1/50 | 439,315 | |
265,000 | Public Finance Authority, WI, School Education Revenue, Revenue Bonds, 4.000% due 6/15/294 | 250,095 | |
Public Finance Authority, WI, Senior Living Revenue, Mary’s Woods at Marylhurst Project, Revenue Bonds, Refunding, Series A: | |||
350,000 | 5.250% due 5/15/374 | 332,967 | |
100,000 | 4.000% due 10/1/51 | 72,555 | |
40,000 | Public Finance Authority, WI, Senior Living Revenue, Rose Village Project, Revenue Bonds, Series A, Escrowed to Maturity, 5.000% due 11/15/244 | 40,683 | |
1,060,000 | Public Finance Authority, WI, Student Housing, Revenue Bonds, Series A, 5.000% due 7/1/25 | 1,059,283 | |
50,000 | Public Finance Authority, WI, The obligated Group of National Senior Communities, Revenue Bonds, 4.000% due 1/1/52 | 41,647 | |
1,000,000 | Wisconsin Department of Transportation, Revenue Bonds, Refunding, Series 1, 5.000% due 7/1/297 | 1,095,595 |
144 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Wisconsin — (Continued) | |||
$ 70,000 | Wisconsin Health & Educational Facilities Authority, Revenue Bonds, 4.000% due 12/1/41 | $ 53,854 | |
Wisconsin Health & Educational Facilities Authority, Revenue Bonds, Refunding: | |||
955,000 | 5.000% due 6/1/41 | 838,945 | |
110,000 | 4.000% due 1/1/47 | 79,408 | |
1,000,000 | 4.000% due 1/1/57 | 673,954 | |
495,000 | Wisconsin Housing & Economic Development Authority Home Ownership Revenue, Revenue Bonds, Series D, 4.000% due 3/1/47 | 494,192 | |
35,000 | Wisconsin Housing & Economic Development Authority Housing Revenue, Home Ownership Revenue, Revenue Bonds, Refunding, Series B, (HUD Section 8), 0.400% due 5/1/453 | 34,261 | |
10,692,832 | |||
Other Territory — 0.5% | |||
702,968 | Federal Home Loan Mortgage Corporation Multifamily 2019ML-05 Certificates, Revenue Bonds, Class A, 3.400% due 1/25/36 | 664,157 | |
259,817 | Federal Home Loan Mortgage Corporation Multifamily 2021ML-10 Certificates, Class AUS, 2.032% due 1/25/38 | 205,087 | |
705,917 | Federal Home Loan Mortgage Corporation Multifamily 2021ML-10 Certificates, Class XUS, 2.127% due 1/25/383 | 114,126 | |
983,370 | |||
TOTAL MUNICIPAL BONDS (Cost $210,339,275) | 194,677,392 | ||
TOTAL INVESTMENTS (Cost $211,327,030) | 99.2% | $195,580,270 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.8 | 1,524,854 | |
NET ASSETS | 100.0% | $197,105,124 |
* | Percentages indicated are based on net assets. |
1 | For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 1 of the Notes to Financial Statements). |
2 | Zero Coupon Bond. |
3 | Variable/Floating interest rate security. Certain variable/floating interest rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. Rate presented is as of April 30, 2023. |
4 | 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, 2023, these securities, which are not illiquid, amounted to $50,714,458 or 25.7% of net assets for the Fund. |
5 | This security is in default. See Note 1. |
6 | Floating Rate Bond. Rate shown is as of April 30, 2023. |
7 | When-issued security. |
8 | Security was restructured. Maturity Date extended to May 15, 2023 |
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 |
HUD — Housing and Urban Development |
MBIA — Municipal Bond Investors Assurance |
NPFG — National Public Finance Guarantee Corporation |
SIFMA — Securities Industry and Financial Markets Association |
145 |
Centrally Cleared Interest Rate Swap Contracts | |||||||||||||||||
Payments made by Fund | Payments received by Fund | Notional Amount | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value | Unrealized Appreciation/ (Depreciation) | |||||||||
12 Mo. USD SOFR | Fixed 3.56% | USD | 4,000,000 | February 15, 2041 | Annual | $— | $— | $204,864 | $204,864 | ||||||||
Fixed 3.02% | 12 Mo. USD SOFR | USD | 3,500,000 | February 15, 2046 | Annual | — | — | 46,146 | 46,146 | ||||||||
Fixed 3.11% | 12 Mo. USD SOFR | USD | 3,800,000 | February 15, 2046 | Annual | — | — | 84,876 | 84,876 | ||||||||
Total Centrally Cleared Interest Rate Swap Contracts | $— | $— | $335,886 | $335,886 |
146 |
% of Net Assets | Value | ||
STATE: | |||
Puerto Rico | 9.0% | $ 17,658,562 | |
California | 7.4 | 14,670,395 | |
Colorado | 7.4 | 14,578,031 | |
Illinois | 6.8 | 13,424,282 | |
Florida | 6.3 | 12,508,822 | |
Texas | 5.8 | 11,475,372 | |
Wisconsin | 5.4 | 10,692,832 | |
Virginia | 4.6 | 9,015,359 | |
New York | 4.2 | 8,227,561 | |
Arizona | 3.9 | 7,788,687 | |
Pennsylvania | 3.9 | 7,746,298 | |
New Jersey | 3.4 | 6,755,698 | |
Indiana | 2.5 | 4,960,418 | |
Maryland | 2.3 | 4,556,838 | |
South Carolina | 2.2 | 4,262,719 | |
Ohio | 2.1 | 4,124,665 | |
Washington | 2.0 | 3,984,111 | |
Alabama | 1.9 | 3,822,321 | |
Missouri | 1.7 | 3,302,865 | |
Georgia | 1.5 | 2,865,983 | |
Louisiana | 1.3 | 2,557,277 | |
Nevada | 1.2 | 2,317,508 | |
Michigan | 1.1 | 2,109,084 | |
District of Columbia | 1.1 | 2,104,922 | |
Kentucky | 1.1 | 2,078,191 | |
Idaho | 0.9 | 1,765,614 | |
Iowa | 0.9 | 1,752,172 | |
Oklahoma | 0.8 | 1,541,453 | |
North Carolina | 0.8 | 1,492,555 | |
Oregon | 0.7 | 1,400,473 | |
Connecticut | 0.6 | 1,247,743 | |
Tennessee | 0.6 | 1,215,584 | |
Other Territory | 0.5 | 983,370 | |
New Mexico | 0.4 | 843,201 | |
Guam | 0.4 | 726,904 | |
Vermont | 0.4 | 719,387 | |
North Dakota | 0.3 | 606,908 | |
Delaware | 0.3 | 500,000 | |
Mississippi | 0.2 | 491,910 | |
Kansas | 0.2 | 477,137 | |
Rhode Island | 0.2 | 309,673 | |
West Virginia | 0.1 | 241,195 | |
Alaska | 0.1 | 211,640 | |
Utah | 0.1 | 202,607 | |
Minnesota | 0.1 | 152,976 | |
Nebraska | 0.1 | 114,744 | |
Massachusetts | 0.0 | 91,345 | |
TOTAL MUNICIPAL BONDS | 98.8% | $194,677,392 | |
TOTAL INVESTMENTS | 98.8% | $194,677,392 |
147 |
148 |
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 | $ 20,653,553 | $ — | $— | $ 20,653,553 | ||||
U.S. Treasury Bills | — | 109,000,275 | — | 109,000,275 | ||||
Repurchase Agreement | — | 539,480 | — | 539,480 |
149 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Purchased Options | ||||||||
Calls | $1,231,331,325 | $ — | $— | $1,231,331,325 | ||||
Puts | 77,700 | — | — | 77,700 | ||||
Total Purchased Options | 1,231,409,025 | — | — | 1,231,409,025 | ||||
Total Investments | 1,252,062,578 | 109,539,755 | — | 1,361,602,333 | ||||
Total | $1,252,062,578 | $109,539,755 | $— | $1,361,602,333 |
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 | $(845,647,950) | $— | $— | $(845,647,950) | ||||
Puts | (2,922,477) | — | — | (2,922,477) | ||||
Total Written Options | (848,570,427) | — | — | (848,570,427) | ||||
Total | $(848,570,427) | $— | $— | $(848,570,427) |
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 | $ 4,874,886 | $ — | $— | $ 4,874,886 | ||||
U.S. Treasury Bills | — | 4,332,411 | — | 4,332,411 | ||||
Repurchase Agreement | — | 31,604 | — | 31,604 | ||||
Purchased Options | ||||||||
Calls | 41,836,740 | — | — | 41,836,740 | ||||
Puts | 2,640 | — | — | 2,640 | ||||
Total Purchased Options | 41,839,380 | — | — | 41,839,380 | ||||
Total Investments | 46,714,266 | 4,364,015 | — | 51,078,281 | ||||
Total | $46,714,266 | $4,364,015 | $— | $51,078,281 |
150 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Written Options | ||||||||
Calls | $(28,732,440) | $— | $— | $(28,732,440) | ||||
Puts | (161,130) | — | — | (161,130) | ||||
Total Written Options | (28,893,570) | — | — | (28,893,570) | ||||
Total | $(28,893,570) | $— | $— | $(28,893,570) |
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 | $ — | $ 32,330,916 | $— | $ 32,330,916 | ||||
Federal National Mortgage Association | — | 13,170,857 | — | 13,170,857 | ||||
Total Agency Notes | — | 45,501,773 | — | 45,501,773 | ||||
Mortgage-Backed Securities | ||||||||
Federal Home Loan Mortgage Corporation | — | 64,723,381 | — | 64,723,381 | ||||
Federal National Mortgage Association | — | 49,090,034 | — | 49,090,034 | ||||
Government National Mortgage Association | — | 401,701 | — | 401,701 | ||||
Total Mortgage-Backed Securities | — | 114,215,116 | — | 114,215,116 | ||||
Corporate Notes | ||||||||
Banking | — | 16,600,404 | — | 16,600,404 | ||||
Beverages, Food & Tobacco | — | 9,395,912 | — | 9,395,912 | ||||
Computer Software & Processing | — | 8,068,237 | — | 8,068,237 | ||||
Electric Utilities | — | 3,700,419 | — | 3,700,419 | ||||
Electronics | — | 7,106,389 | — | 7,106,389 | ||||
Heavy Machinery | — | 3,610,112 | — | 3,610,112 | ||||
Insurance | — | 8,830,184 | — | 8,830,184 | ||||
Media - Broadcasting & Publishing | — | 6,673,003 | — | 6,673,003 | ||||
Pharmaceuticals | — | 8,202,235 | — | 8,202,235 | ||||
Transportation | — | 3,856,947 | — | 3,856,947 | ||||
Total Corporate Notes | — | 76,043,842 | — | 76,043,842 | ||||
U.S. Treasury Bill | — | 2,982,513 | — | 2,982,513 | ||||
U.S. Treasury Notes/Bonds | — | 95,518,574 | — | 95,518,574 | ||||
Repurchase Agreement | — | 3,625,877 | — | 3,625,877 | ||||
Investment of Security Lending Collateral | 14,352,781 | — | — | 14,352,781 | ||||
Total Investments | 14,352,781 | 337,887,695 | — | 352,240,476 | ||||
Total | $14,352,781 | $337,887,695 | $— | $352,240,476 |
151 |
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 | $ — | $ 1,040,397 | $— | $ 1,040,397 | ||||
Municipal Bonds | ||||||||
Alabama | — | 435,530 | — | 435,530 | ||||
Arizona | — | 214,444 | — | 214,444 | ||||
California | — | 3,752,477 | — | 3,752,477 | ||||
Colorado | — | 745,101 | — | 745,101 | ||||
Connecticut | — | 251,593 | — | 251,593 | ||||
Delaware | — | 252,814 | — | 252,814 | ||||
District of Columbia | — | 1,019,717 | — | 1,019,717 | ||||
Florida | — | 3,027,982 | — | 3,027,982 | ||||
Georgia | — | 98,174 | — | 98,174 | ||||
Illinois | — | 3,717,521 | — | 3,717,521 | ||||
Kansas | — | 379,288 | — | 379,288 | ||||
Kentucky | — | 1,820,455 | — | 1,820,455 | ||||
Louisiana | — | 413,876 | — | 413,876 | ||||
Michigan | — | 1,215,752 | — | 1,215,752 | ||||
Minnesota | — | 1,615,539 | — | 1,615,539 | ||||
Mississippi | — | 256,321 | — | 256,321 | ||||
Nevada | — | 967,159 | — | 967,159 | ||||
New Jersey | — | 2,123,751 | — | 2,123,751 | ||||
New York | — | 2,010,479 | — | 2,010,479 | ||||
North Carolina | — | 255,256 | — | 255,256 | ||||
Ohio | — | 598,860 | — | 598,860 | ||||
Oregon | — | 505,347 | — | 505,347 | ||||
Pennsylvania | — | 5,210,072 | — | 5,210,072 | ||||
South Carolina | — | 871,321 | — | 871,321 | ||||
Tennessee | — | 1,287,817 | — | 1,287,817 | ||||
Texas | — | 4,246,775 | — | 4,246,775 | ||||
Virginia | — | 866,306 | — | 866,306 | ||||
Washington | — | 505,463 | — | 505,463 | ||||
Wisconsin | — | 1,302,868 | — | 1,302,868 | ||||
Total Municipal Bonds | — | 39,968,058 | — | 39,968,058 | ||||
U.S. Treasury Bill | — | 1,456,243 | — | 1,456,243 | ||||
Repurchase Agreement | — | 90,001 | — | 90,001 | ||||
Investment of Security Lending Collateral | 1,485,000 | — | — | 1,485,000 | ||||
Total Investments | 1,485,000 | 42,554,699 | — | 44,039,699 | ||||
Total | $1,485,000 | $42,554,699 | $— | $44,039,699 |
152 |
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 | $— | $ 134,250 | $ — | $ 134,250 | ||||
Lodging | — | — | 768,628 | 768,628 | ||||
Total Corporate Notes | — | 134,250 | 768,628 | 902,878 | ||||
Municipal Bonds | ||||||||
Alabama | — | 3,822,321 | — | 3,822,321 | ||||
Alaska | — | 211,640 | — | 211,640 | ||||
Arizona | — | 7,788,687 | — | 7,788,687 | ||||
California | — | 14,670,395 | — | 14,670,395 | ||||
Colorado | — | 14,578,031 | — | 14,578,031 | ||||
Connecticut | — | 1,247,743 | — | 1,247,743 | ||||
Delaware | — | 500,000 | — | 500,000 | ||||
District of Columbia | — | 2,104,922 | — | 2,104,922 | ||||
Florida | — | 12,508,822 | — | 12,508,822 | ||||
Georgia | — | 2,865,983 | — | 2,865,983 | ||||
Guam | — | 726,904 | — | 726,904 | ||||
Idaho | — | 1,765,614 | — | 1,765,614 | ||||
Illinois | — | 13,424,282 | — | 13,424,282 | ||||
Indiana | — | 4,960,418 | — | 4,960,418 | ||||
Iowa | — | 1,752,172 | — | 1,752,172 | ||||
Kansas | — | 477,137 | — | 477,137 | ||||
Kentucky | — | 2,078,191 | — | 2,078,191 | ||||
Louisiana | — | 2,557,277 | — | 2,557,277 | ||||
Maryland | — | 4,556,838 | — | 4,556,838 | ||||
Massachusetts | — | 91,345 | — | 91,345 | ||||
Michigan | — | 2,109,084 | — | 2,109,084 | ||||
Minnesota | — | 152,976 | — | 152,976 | ||||
Mississippi | — | 491,910 | — | 491,910 | ||||
Missouri | — | 3,302,865 | — | 3,302,865 | ||||
Nebraska | — | 114,744 | — | 114,744 | ||||
Nevada | — | 2,317,508 | — | 2,317,508 | ||||
New Jersey | — | 6,755,698 | — | 6,755,698 | ||||
New Mexico | — | 843,201 | — | 843,201 | ||||
New York | — | 8,227,561 | — | 8,227,561 | ||||
North Carolina | — | 1,492,555 | — | 1,492,555 | ||||
North Dakota | — | 606,908 | — | 606,908 | ||||
Ohio | — | 4,124,665 | — | 4,124,665 | ||||
Oklahoma | — | 1,541,453 | — | 1,541,453 | ||||
Oregon | — | 1,400,473 | — | 1,400,473 | ||||
Other Territory | — | 983,370 | — | 983,370 | ||||
Pennsylvania | — | 7,746,298 | — | 7,746,298 | ||||
Puerto Rico | — | 17,658,562 | — | 17,658,562 | ||||
Rhode Island | — | 309,673 | — | 309,673 | ||||
South Carolina | — | 4,262,719 | — | 4,262,719 | ||||
Tennessee | — | 1,215,584 | — | 1,215,584 | ||||
Texas | — | 11,475,372 | — | 11,475,372 | ||||
Utah | — | 202,607 | — | 202,607 | ||||
Vermont | — | 719,387 | — | 719,387 | ||||
Virginia | — | 9,015,359 | — | 9,015,359 | ||||
Washington | — | 3,984,111 | — | 3,984,111 |
153 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
West Virginia | $— | $ 241,195 | $ — | $ 241,195 | ||||
Wisconsin | — | 10,692,832 | — | 10,692,832 | ||||
Total Municipal Bonds | — | 194,677,392 | — | 194,677,392 | ||||
Centrally Cleared Interest Rate Swap Contracts | — | 335,886 | — | 335,886 | ||||
Total Investments | — | 195,147,528 | 768,628 | 195,916,156 | ||||
Total | $— | $195,147,528 | $768,628 | $195,916,156 |
154 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $1,523,744 | $(1,523,744) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $5,003,702 | $(5,003,702) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $15,044 | $(15,044) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $12,458 | $(12,458) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $221,523 | $(221,523) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $1,117,164 | $(1,117,164) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $171,933 | $(171,933) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $1,651,530 | $(1,651,530) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $85,327 | $(85,327) | $— | $— | $— |
155 |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $1,147,063 | $(1,147,063) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $15,679,670 | $(15,679,670) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $201,230 | $(201,230) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $539,480 | $(539,480) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $31,604 | $(31,604) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $3,625,877 | $(3,625,877) | $— | $— | $— |
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||
Fixed Income Clearing Corp. | $90,001 | $(90,001) | $— | $— | $— |
156 |
157 |
158 |
159 |
Portfolio | Unlimited (Short-Term) | Unlimited (Long-Term) | ||
Quantitative International Equity Portfolio | $ 891,699 | $ — | ||
Quantitative U.S. Long/Short Equity Portfolio | 353,779 | — | ||
Quantitative U.S. Total Market Equity Portfolio | 82,852 | — | ||
Secured Options Portfolio | 20,774,257 | 31,143,483 | ||
Global Secured Options Portfolio* | 5,743,877 | 1,996,102 | ||
Core Fixed Income Portfolio | 2,983,969 | 7,161,570 | ||
Short Term Tax Aware Fixed Income Portfolio | 227,640 | 373,380 | ||
High Yield Municipal Portfolio | 4,987,805 | 4,533,793 |
Quantitative U.S. Large Cap Value Equity Portfolio | $9,577 |
Quantitative U.S. Long/Short Equity Portfolio | 1,405,651 |
160 |
Portfolio | Undistributed Tax-exempt Income | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation/ (Depreciation) | Other Temporary Differences | Loss Carryforwards | Total Distributable Earnings | |||||||
Quantitative U.S. Large Cap Core Equity Portfolio | $ — | $1,181,502 | $169,821,617 | $159,204,778 | $ — | $ — | $330,207,897 | |||||||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 17,587 | 144,343,064 | 380,703,602 | — | — | 525,064,253 | |||||||
Quantitative U.S. Large Cap Value Equity Portfolio | — | 2,370 | 65,701 | 260,525 | — | — | 328,596 | |||||||
Quantitative U.S. Small Cap Equity Portfolio | — | — | 115,966 | 221,615 | — | — | 337,581 | |||||||
Quantitative International Equity Portfolio | — | 18,585 | — | (2,125,499) | — | (891,699) | (2,998,613) | |||||||
Responsible ESG U.S. Equity Portfolio | — | 20,481 | 1,454,102 | 3,962,142 | — | — | 5,436,725 | |||||||
Women in Leadership U.S. Equity Portfolio | — | 38,878 | 441,731 | 2,476,591 | — | — | 2,957,200 | |||||||
Quantitative U.S. Long/Short Equity Portfolio | — | — | — | 22,679,325 | (73,105) (a) | (353,779) | 22,252,441 | |||||||
Quantitative U.S. Total Market Equity Portfolio | — | 15,103 | — | 14,406,316 | — | (82,852) | 14,338,567 | |||||||
Strategic Equity Portfolio | — | 139,168 | 13,663,242 | 97,807,839 | — | — | 111,610,249 | |||||||
Small Cap Equity Portfolio | — | 8,758,544 | 104,804,187 | 207,584,755 | — | — | 321,147,486 | |||||||
Equity Income Portfolio | — | 24,519 | 625,035 | 5,443,737 | — | — | 6,093,291 | |||||||
Secured Options Portfolio | — | — | — | 11,732,870 | (1,308,434) (b) | (51,917,740) | (41,493,304) | |||||||
Global Secured Options Portfolio | — | — | — | (1,334,638) | (67,370) (c) | (7,739,979) (d) | (9,141,987) | |||||||
Core Fixed Income Portfolio | — | 720,294 | — | (51,564,305) | — | (10,145,539) | (60,989,550) | |||||||
Short Term Tax Aware Fixed Income Portfolio | 60,167 | — | — | (1,551,338) | — | (601,020) | (2,092,191) | |||||||
High Yield Municipal Portfolio | 806,512 | — | — | (25,224,302) | — | (9,521,598) | (33,939,388) |
161 |
Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | |||
Quantitative U.S. Large Cap Core Equity Portfolio | $ — | $16,517,199 | $154,028,900 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 15,692,238 | 391,928,374 | |||
Quantitative U.S. Large Cap Value Equity Portfolio | — | 37,841 | — | |||
Quantitative U.S. Small Cap Equity Portfolio | — | 15,350 | 139,837 | |||
Quantitative International Equity Portfolio | — | 1,140,214 | — | |||
Responsible ESG U.S. Equity Portfolio | — | 271,463 | 2,799,601 | |||
Women in Leadership U.S. Equity Portfolio | — | 300,262 | 4,458,681 | |||
Quantitative U.S. Total Market Equity Portfolio | — | 184,797 | 5,567,464 | |||
Strategic Equity Portfolio | — | 1,269,860 | 26,036,484 | |||
Small Cap Equity Portfolio | — | 5,781,456 | 61,538,639 | |||
Equity Income Portfolio | — | 428,852 | 916,865 | |||
Secured Options Portfolio | — | 19,962,120 | 31,051,233 | |||
Global Secured Options Portfolio | — | 1,114,852 | 1,129,362 | |||
Core Fixed Income Portfolio | — | 7,818,298 | 160,422 | |||
Short Term Tax Aware Fixed Income Portfolio | 328,931 | 115,853 | — | |||
High Yield Municipal Portfolio | 6,819,670 | 968,769 | 1,293,535 |
Portfolio | Total distributable earnings | Paid-in capital | ||
Quantitative U.S. Large Cap Core Equity Portfolio | $(23,945,794) | $23,945,794 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio | (16,297,585) | 16,297,585 | ||
Quantitative U.S. Large Cap Value Equity Portfolio | (24,060) | 24,060 | ||
Responsible ESG U.S. Equity Portfolio | (204,274) | 204,274 | ||
Women in Leadership U.S. Equity Portfolio | (32,647) | 32,647 | ||
Quantitative U.S. Long/Short Equity Portfolio | 527,039 | (527,039) | ||
Quantitative U.S. Total Market Equity Portfolio | (440) | 440 | ||
Strategic Equity Portfolio | (1,395,318) | 1,395,318 | ||
Small Cap Equity Portfolio | (26,638,281) | 26,638,281 | ||
Secured Options Portfolio | 403,919 | (403,919) | ||
Global Secured Options Portfolio | 18,563 | (18,563) |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Quantitative U.S. Large Cap Core Equity Portfolio | $ 678,391,570 | $166,085,345 | $17,898,099 | $148,187,246 | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio | 1,618,891,871 | 494,831,567 | 36,334,382 | 458,497,185 | ||||
Quantitative U.S. Large Cap Value Equity Portfolio | 1,420,221 | 290,210 | 31,658 | 258,552 | ||||
Quantitative U.S. Small Cap Equity Portfolio | 1,395,542 | 245,126 | 130,684 | 114,442 | ||||
Quantitative International Equity Portfolio | 21,363,167 | 3,099,435 | 350,882 | 2,748,553 | ||||
Responsible ESG U.S. Equity Portfolio | 21,413,068 | 3,093,134 | 383,756 | 2,709,378 | ||||
Women in Leadership U.S. Equity Portfolio | 18,842,383 | 3,311,106 | 379,304 | 2,931,802 | ||||
Quantitative U.S. Long/Short Equity Portfolio | 1,119,576 | 19,218,218 | 1,694,786 | 17,523,432 | ||||
Quantitative U.S. Total Market Equity Portfolio | 30,715,207 | 13,166,396 | 1,151,948 | 12,014,448 |
162 |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Strategic Equity Portfolio | $ 85,215,793 | $ 99,199,355 | $ 402,389 | $ 98,796,966 | ||||
Small Cap Equity Portfolio | 873,893,968 | 242,603,567 | 75,723,607 | 166,879,960 | ||||
Equity Income Portfolio | 15,047,094 | 5,835,101 | 147,735 | 5,687,366 | ||||
Secured Options Portfolio | 499,001,326 | 14,222,944 | 192,364 | 14,030,580 | ||||
Global Secured Options Portfolio | 22,492,875 | 97,366 | 405,529 | (308,163) | ||||
Core Fixed Income Portfolio | 386,115,031 | 345,100 | 34,219,655 | (33,874,555) | ||||
Short Term Tax Aware Fixed Income Portfolio | 44,604,954 | 70,862 | 636,117 | (565,255) | ||||
High Yield Municipal Portfolio | 211,609,115 | 2,008,404 | 17,701,363 | (15,692,959) |
Equity Contracts Risk | Total | ||
Options Purchased1 | $1,231,409,025 | $1,231,409,025 | |
Total Value | $1,231,409,025 | 1,231,409,025 |
Equity Contracts Risk | Total | ||
Options Written2 | $(848,570,427) | $(848,570,427) | |
Total Value | $(848,570,427) | $(848,570,427) |
Equity Contracts Risk | Total | ||
Options Purchased3 | $45,915,367 | $45,915,367 | |
Options Written4 | 4,364,986 | 4,364,986 | |
Total Realized Gain (Loss) | $50,280,353 | $50,280,353 |
Equity Contracts Risk | Total | ||
Options Purchased5 | $ 75,005,761 | $ 75,005,761 | |
Options Written6 | (80,193,331) | (80,193,331) | |
Total Change in Appreciation (Depreciation) | $ (5,187,570) | $ (5,187,570) |
163 |
Equity Contracts Risk | Total | ||
Options Purchased7 | 7,532 | 7,532 | |
Options Written7 | (8,639) | (8,639) |
Equity Contracts Risk | Total | ||
Options Purchased1 | $41,839,380 | $41,839,380 | |
Total Value | $41,839,380 | 41,839,380 |
Equity Contracts Risk | Total | ||
Options Written2 | $(28,893,570) | $(28,893,570) | |
Total Value | $(28,893,570) | $(28,893,570) |
Equity Contracts Risk | Total | ||
Options Purchased3 | $1,028,272 | $1,028,272 | |
Options Written4 | 1,155,762 | 1,155,762 | |
Total Realized Gain (Loss) | $2,184,034 | $2,184,034 |
Equity Contracts Risk | Total | ||
Options Purchased5 | $ 2,684,626 | $ 2,684,626 | |
Options Written6 | (3,024,496) | (3,024,496) | |
Total Change in Appreciation (Depreciation) | $ (339,870) | $ (339,870) |
Equity Contracts Risk | Total | ||
Options Purchased7 | 244 | 244 | |
Options Written7 | (928) | (928) |
Interest Contracts Risk | Total | ||
Swap Contracts8 | $335,886 | $335,886 | |
Total Value | $335,886 | 335,886 |
164 |
Interest Contracts Risk | Total | ||
Swap Contracts9 | $(503) | $(503) | |
Total Realized Gain (Loss) | $(503) | $(503) |
Interest Contracts Risk | Total | ||
Swap Contracts10 | $335,886 | $335,886 | |
Total Change in Appreciation (Depreciation) | $335,886 | $335,886 |
Interest Contracts Risk | Total | ||
Swap Contracts11 | 7,600,000 | 7,600,000 |
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 six months ended April 30, 2023. |
8 | Cumulative appreciation (depreciation) on centrally cleared swap contracts is reported in “Swap contracts” in each applicable Portfolios’s Schedule of Portfolio Investments. Only current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities. |
9 | Statement of Operations location: Amount is included in Net realized gain (loss) on swap contracts. |
10 | Statement of Operations location: Amount is included in Net change in unrealized gain (loss) of swap contracts. |
11 | Amounts disclosed represent average notional amount during the six months ended April 30, 2023. |
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%* |
165 |
Fund Name | Management Fee on Net Assets | |
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 | 0.57%** |
166 |
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 | 0.15% |
Portfolio | Purchases | Sales | ||
Quantitative U.S. Large Cap Core Equity Portfolio | $386,814,984 | $ 588,249,188 | ||
Quantitative U.S. Large Cap Growth Equity Portfolio | 838,412,903 | 1,034,588,170 | ||
Quantitative U.S. Large Cap Value Equity Portfolio | 718,667 | 702,059 | ||
Quantitative U.S. Small Cap Equity Portfolio | 748,154 | 729,022 | ||
Quantitative International Equity Portfolio | 8,695,622 | 11,874,889 | ||
Responsible ESG U.S. Equity Portfolio | 10,811,029 | 12,481,093 | ||
Women in Leadership U.S. Equity Portfolio | 8,681,857 | 10,362,644 | ||
Quantitative U.S. Long/Short Equity Portfolio | 44,739,719 | 45,860,114 | ||
Quantitative U.S. Total Market Equity Portfolio | 28,770,580 | 31,145,466 | ||
Strategic Equity Portfolio | 10,226,785 | 34,514,504 |
167 |
Portfolio | Purchases | Sales | ||
Small Cap Equity Portfolio | $108,656,292 | $ 222,850,615 | ||
Equity Income Portfolio | 29,030,340 | 4,759,896 | ||
Secured Options Portfolio | — | — | ||
Global Secured Options Portfolio | 721,706 | 2,719,732 | ||
Core Fixed Income Portfolio | 3,773,160 | 4,640,133 | ||
Short Term Tax Aware Fixed Income Portfolio | 10,828,677 | (25,649,372) | ||
High Yield Municipal Portfolio | 42,475,199 | 9,411,762 |
Portfolio | Purchases | Sales | ||
Core Fixed Income Portfolio | $24,170,630 | $18,469,129 | ||
High Yield Municipal Portfolio | — | 1,594 |
Period Ended 04/30/23 | Year Ended 10/31/22 | ||||||
Shares | Amount | Shares | Amount | ||||
Quantitative U.S. Large Cap Core Equity Portfolio — Advisor | |||||||
Sold | 2,339,191 | $ 51,032,704 | 2,429,893 | $ 68,931,574 | |||
Issued as reinvestment of dividends | 6,967,943 | 146,007,741 | 4,878,722 | 141,210,266 | |||
Redeemed | (10,259,249) | (242,523,596) | (8,629,706) | (238,383,232) | |||
Net Decrease | (952,115) | $ (45,483,151) | (1,321,091) | $ (28,241,392) | |||
Quantitative U.S. Large Cap Core Equity Portfolio — Institutional | |||||||
Sold | 2,920,311 | $ 73,051,045 | 938,359 | $ 26,349,978 | |||
Issued as reinvestment of dividends | 698,419 | 14,629,708 | 632,929 | 18,301,778 | |||
Redeemed | (3,531,279) | (75,891,320) | (3,929,590) | (106,588,752) | |||
Net Increase (Decrease) | 87,451 | $ 11,789,433 | (2,358,302) | $ (61,936,996) | |||
Quantitative U.S. Large Cap Growth Equity Portfolio — Advisor | |||||||
Sold | 1,452,764 | $ 39,194,376 | 3,948,541 | $ 126,267,379 | |||
Issued as reinvestment of dividends | 3,008,986 | 78,707,788 | 8,443,422 | 285,141,335 | |||
Redeemed | (5,532,221) | (150,825,827) | (12,152,143) | (376,828,707) | |||
Net Increase (Decrease) | (1,070,471) | $ (32,923,663) | 239,820 | $ 34,580,007 | |||
Quantitative U.S. Large Cap Growth Equity Portfolio — Institutional | |||||||
Sold | 3,315,477 | $ 89,217,993 | 24,386,959 | $ 795,673,375 | |||
Issued as reinvestment of dividends | 2,477,040 | 64,795,705 | 2,913,113 | 97,812,096 | |||
Redeemed | (6,467,370) | (174,918,935) | (7,426,101) | (228,639,519) | |||
Net Increase (Decrease) | (674,853) | $ (20,905,237) | 19,873,971 | $ 664,845,952 | |||
Quantitative U.S. Large Cap Value Equity Portfolio | |||||||
Sold | — | $ — | 928 | $ 12,500 | |||
Issued as reinvestment of dividends | 6,721 | 80,244 | 2,372 | 29,166 | |||
Redeemed | — | — | (59,220) | (656,410) | |||
Net Increase (Decrease) | 6,721 | $ 80,244 | (55,920) | $ (614,744) | |||
Quantitative U.S. Small Cap Equity Portfolio | |||||||
Sold | — | $ — | 920 | $ 12,500 | |||
Issued as reinvestment of dividends | 10,212 | 121,450 | 11,488 | 153,561 | |||
Net Increase | 10,212 | $ 121,450 | 12,408 | $ 166,061 |
168 |
Period Ended 04/30/23 | Year Ended 10/31/22 | ||||||
Shares | Amount | Shares | Amount | ||||
Quantitative International Equity Portfolio | |||||||
Sold | 3,466 | $ 49,230 | 152,283 | $ 2,215,713 | |||
Issued as reinvestment of dividends | 3,063 | 43,894 | 19,338 | 264,791 | |||
Redeemed | (238,180) | (3,196,481) | (944,697) | (13,906,759) | |||
Net Decrease | (231,651) | $ (3,103,357) | (773,076) | $ (11,426,255) | |||
Responsible ESG U.S. Equity Portfolio | |||||||
Sold | 124,926 | $ 1,910,529 | 125,489 | $ 2,261,859 | |||
Issued as reinvestment of dividends | 99,486 | 1,519,904 | 158,400 | 2,920,149 | |||
Redeemed | (221,574) | (3,589,230) | (384,689) | (6,608,225) | |||
Net Increase (Decrease) | 2,838 | $ (158,797) | (100,800) | $ (1,426,217) | |||
Women in Leadership U.S. Equity Portfolio | |||||||
Sold | 61,165 | $ 858,046 | 165,562 | $ 2,583,025 | |||
Issued as reinvestment of dividends | 39,361 | 537,901 | 296,222 | 4,637,372 | |||
Redeemed | (192,284) | (2,705,215) | (290,686) | (4,651,352) | |||
Net Increase (Decrease) | (91,758) | $ (1,309,268) | 171,098 | $ 2,569,045 | |||
Quantitative U.S. Long/Short Equity Portfolio — Advisor | |||||||
Sold | 18,913 | $ 267,506 | 1,048,989 | $ 14,521,789 | |||
Issued as reinvestment of dividends | 1,562 | 21,943 | — | — | |||
Redeemed | (345,412) | (4,875,310) | (1,938,341) | (26,207,201) | |||
Net Decrease | (324,937) | $ (4,585,861) | (889,352) | $ (11,685,412) | |||
Quantitative U.S. Long/Short Equity Portfolio — Institutional | |||||||
Sold | 20,382 | $ 288,521 | 137,385 | $ 1,881,412 | |||
Issued as reinvestment of dividends | 4,093 | 57,830 | — | — | |||
Redeemed | (44,849) | (634,572) | (90,057) | (1,234,120) | |||
Net Increase (Decrease) | (20,374) | $ (288,221) | 47,328 | $ 647,292 | |||
Quantitative U.S. Total Market Equity Portfolio | |||||||
Sold | 120,565 | $ 2,148,253 | 1,354,988 | $ 26,424,079 | |||
Issued as reinvestment of dividends | 3,926 | 69,651 | 286,877 | 5,553,388 | |||
Redeemed | (261,578) | (4,720,606) | (750,418) | (13,649,622) | |||
Net Increase (Decrease) | (137,087) | $ (2,502,702) | 891,447 | $ 18,327,845 | |||
Strategic Equity Portfolio | |||||||
Sold | 103,828 | $ 2,733,108 | 106,633 | $ 3,165,189 | |||
Issued as reinvestment of dividends | 499,735 | 13,023,757 | 763,258 | 24,516,049 | |||
Redeemed | (966,354) | (26,199,717) | (1,441,599) | (42,291,383) | |||
Net Decrease | (362,791) | $ (10,442,852) | (571,708) | $ (14,610,145) | |||
Small Cap Equity Portfolio — Advisor | |||||||
Sold | 571,915 | $ 17,802,139 | 1,324,335 | $ 45,922,789 | |||
Issued as reinvestment of dividends | 1,594,350 | 46,652,822 | 607,337 | 21,396,322 | |||
Redeemed | (1,470,369) | (45,710,399) | (2,075,225) | (71,530,054) | |||
Net Increase (Decrease) | 695,896 | $ 18,744,562 | (143,553) | $ (4,210,943) | |||
Small Cap Equity Portfolio — Institutional | |||||||
Sold | 2,509,239 | $ 82,650,148 | 8,037,573 | $ 302,799,384 | |||
Issued as reinvestment of dividends | 1,006,774 | 31,544,754 | 428,691 | 15,995,496 | |||
Redeemed | (4,160,616) | (134,859,978) | (14,209,188) | (500,935,680) | |||
Net Decrease | (644,603) | $ (20,665,076) | (5,742,924) | $(182,140,800) | |||
Equity Income Portfolio | |||||||
Sold | 52,750 | $ 782,448 | 136,724 | $ 2,026,389 | |||
Issued as reinvestment of dividends | 44,052 | 640,426 | 66,619 | 1,028,822 | |||
Redeemed | (185,779) | (2,701,790) | (101,565) | (1,474,977) | |||
Net Increase (Decrease) | (88,977) | $ (1,278,916) | 101,778 | $ 1,580,234 |
169 |
Period Ended 04/30/23 | Year Ended 10/31/22 | ||||||
Shares | Amount | Shares | Amount | ||||
Secured Options Portfolio — Advisor | |||||||
Sold | 176,874 | $ 2,131,836 | 1,219,393 | $ 15,992,808 | |||
Issued as reinvestment of dividends | — | — | 808,851 | 10,595,950 | |||
Redeemed | (1,624,685) | (19,289,980) | (2,020,911) | (25,810,946) | |||
Net Increase (Decrease) | (1,447,811) | $ (17,158,144) | 7,333 | $ 777,812 | |||
Secured Options Portfolio — Institutional | |||||||
Sold | 2,612,214 | $ 32,005,894 | 18,204,948 | $ 233,763,186 | |||
Issued as reinvestment of dividends | — | — | 2,730,613 | 36,207,927 | |||
Redeemed | (3,697,291) | (44,881,023) | (6,980,155) | (91,273,996) | |||
Net Increase (Decrease) | (1,085,077) | $ (12,875,129) | 13,955,406 | $ 178,697,117 | |||
Global Secured Options Portfolio | |||||||
Sold | 526,862 | $ 2,407,858 | 3,310,207 | $ 15,746,872 | |||
Issued as reinvestment of dividends | — | — | 48,018 | 232,886 | |||
Redeemed | (616,305) | (2,825,549) | (1,677,037) | (8,178,013) | |||
Net Increase (Decrease) | (89,443) | $ (417,691) | 1,681,188 | $ 7,801,745 | |||
Core Fixed Income Portfolio | |||||||
Sold | 4,836,202 | $ 45,963,211 | 6,750,991 | $ 68,365,232 | |||
Issued as reinvestment of dividends | 46,431 | 442,162 | 89,556 | 930,832 | |||
Redeemed | (4,429,608) | (41,933,070) | (10,134,141) | (101,979,440) | |||
Net Increase (Decrease) | 453,025 | $ 4,472,303 | (3,293,594) | $ (32,683,376) | |||
Short Term Tax Aware Fixed Income Portfolio | |||||||
Sold | 211,456 | $ 2,063,193 | 2,588,172 | $ 25,437,020 | |||
Issued as reinvestment of dividends | 5,270 | 51,700 | 5,276 | 51,991 | |||
Redeemed | (1,726,626) | (16,913,728) | (2,279,488) | (22,464,347) | |||
Net Increase (Decrease) | (1,509,900) | $ (14,798,835) | 313,960 | $ 3,024,664 | |||
High Yield Municipal Portfolio | |||||||
Sold | 6,600,653 | $ 61,433,331 | 3,292,275 | $ 34,100,462 | |||
Issued as reinvestment of dividends | 9,624 | 90,069 | 201,393 | 2,217,177 | |||
Redeemed | (3,240,628) | (30,215,323) | (11,422,712) | (110,478,751) | |||
Net Increase (Decrease) | 3,369,649 | $ 31,308,077 | (7,929,044) | $ (74,161,112) |
5% or Greater Shareholders | ||||
Portfolio | # of Shareholders | % of Shares Held | ||
Quantitative U.S Large Cap Core Equity Portfolio (Advisor Class) | 2 | 36% | ||
Quantitative U.S. Large Cap Core Equity Portfolio (Institutional Class) | 6 | 86% | ||
Quantitative U.S. Large Cap Growth Equity Portfolio (Advisor Class) | 2 | 69% | ||
Quantitative U.S. Large Cap Growth Equity Portfolio (Institutional Class) | 2 | 89% | ||
Quantitative U.S. Large Cap Value Equity Portfolio | 1 | 97% | ||
Quantitative U.S. Small Cap Equity Portfolio | 1 | 98% | ||
Responsible ESG U.S. Equity Portfolio | 2 | 19% | ||
Women in Leadership U.S. Equity Portfolio | 6 | 46% | ||
Quantitative International Equity Portfolio | 3 | 32% | ||
Quantitative U.S. Long/Short Equity Portfolio (Institutional Class) | 2 | 23% | ||
Quantitative U.S. Total Market Equity Portfolio | 2 | 67% | ||
Small Cap Equity Portfolio (Advisor Class) | 3 | 53% |
170 |
5% or Greater Shareholders | ||||
Portfolio | # of Shareholders | % of Shares Held | ||
Small Cap Equity Portfolio (Institutional Class) | 2 | 88% | ||
Equity Income Portfolio | 3 | 24% | ||
Secured Options Portfolio (Advisor Class) | 2 | 53% | ||
Secured Options Portfolio (Institutional Class) | 4 | 98% | ||
Global Secured Options Portfolio | 2 | 100% | ||
Short Term Tax Aware Fixed Income Portfolio | 2 | 24% |
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 | $ 986,496 | $ 983,263 | $ — | 0.05 | ||||
Quantitative U.S. Small Cap Equity Portfolio | 61,872 | 33,532 | 30,829 | 4.09 | ||||
Quantitative International Equity Portfolio | 699,711 | 719,171 | — | 2.81 | ||||
Quantitative U.S. Long/Short Equity Portfolio | 1,328,294 | 1,340,596 | — | 1.52 | ||||
Quantitative U.S. Total Market Equity Portfolio | 1,129,505 | 1,034,845 | 109,017 | 2.07 | ||||
Small Cap Equity Portfolio | 35,398,079 | 29,248,937 | 7,028,943 | 3.40 | ||||
Core Fixed Income Portfolio | 14,039,431 | 14,352,781 | — | 3.95 | ||||
Short Term Tax Aware Fixed Income Portfolio | 1,455,566 | 1,485,000 | — | 3.27 |
Amount Outstanding at April 30, 2023 | Average Borrowings | Days Outstanding | Average Rate | Maximum Borrowings | |||||
Quantitative U.S. Large Cap Core Equity Portfolio | $— | $ 7,282,609 | 23 | 5.60% | $18,500,000 | ||||
Quantitative U.S. Large Cap Growth Equity Portfolio | — | 22,611,111 | 9 | 5.67 | 51,000,000 | ||||
Quantitative International Equity Portfolio | — | 500,000 | 3 | 5.20 | 500,000 | ||||
Responsible ESG U.S. Equity Portfolio | — | 833,333 | 3 | 5.50 | 1,000,000 | ||||
Quantitative U.S. Long/Short Equity Portfolio | — | 1,750,000 | 8 | 5.36 | 2,500,000 | ||||
Strategic Equity Portfolio | — | 2,500,000 | 3 | 6.20 | 2,500,000 | ||||
Small Cap Equity Portfolio | — | 7,600,000 | 5 | 5.70 | 28,000,000 | ||||
Equity Income Portfolio | — | 785,714 | 7 | 5.84 | 1,000,000 | ||||
Secured Options Portfolio | — | 5,833,333 | 3 | 5.30 | 8,000,000 |
171 |
Amount Outstanding at April 30, 2023 | Average Borrowings | Days Outstanding | Average Rate | Maximum Borrowings | |||||
Global Secured Options Portfolio | $— | $ 500,000 | 2 | 5.20% | $ 500,000 | ||||
Short Term Tax Aware Fixed Income Portfolio | — | 1,500,000 | 1 | 5.20 | 1,500,000 | ||||
High Yield Municipal Portfolio | — | 2,500,000 | 1 | 6.20 | 2,500,000 |
172 |
Muni Intermediate Portfolio | |
Assets: | |
Investments at value1 | $ 341,152,649 |
Cash | 5,671,973 |
Receivable for fund shares sold | 378,270 |
Interest receivable | 4,577,648 |
Prepaid expenses | 301 |
Total assets | 351,780,841 |
Liabilities: | |
Payable for securities purchased | 7,913,276 |
Payable for when-issued securities purchased | 1,284,448 |
Payable for fund shares redeemed | 21,033 |
Payable for Trustees’ fees | 8,289 |
Payable for Shareholder Servicing fees | 42,134 |
Accrued expenses | 86,348 |
Total liabilities | 9,355,528 |
Net Assets | $342,425,313 |
Net Assets consist of: | |
Par value ($0.001 of shares outstanding) | $ 32,684 |
Paid-in capital in excess of par value | 354,074,365 |
Total distributable earnings | (11,681,736) |
Total Net Assets | $342,425,313 |
Shares Outstanding | 32,683,919 |
Net Asset Value Per Share | $ 10.48 |
1 Investments at cost | $343,607,508 |
173 |
Muni Intermediate Portfolio | |
Investment income: | |
Interest | $ 3,749,433 |
Total investment income | 3,749,433 |
Expenses: | |
Administration, transfer agent and custody fees | 66,361 |
Professional fees | 27,050 |
Shareholder report expenses | 8,718 |
Shareholder servicing fees | 229,725 |
Trustees’ fees and expenses | 18,090 |
Registration and filing fees | 9,807 |
Other expenses | 17,630 |
Total expenses | 377,381 |
Net investment income | 3,372,052 |
Realized and unrealized gain: | |
Net realized gain on: | |
Investment transactions | 376,081 |
Net change in unrealized gain on: | |
Investments | 7,678,671 |
Net realized and unrealized gain | 8,054,752 |
Net increase in net assets resulting from operations | $11,426,804 |
174 |
Muni Intermediate Portfolio | |
Increase (decrease) in net assets | |
Operations: | |
Net investment income | $ 3,372,052 |
Net realized gain on: | |
Investment transactions | 376,081 |
Net change in unrealized gain on: | |
Investments | 7,678,671 |
Net increase in net assets resulting from operations | 11,426,804 |
Distributions from earnings | (3,177,888) |
Net increase in net assets from capital share transactions (See note 4) | 112,268,903 |
Net increase in net assets | 120,517,819 |
NET ASSETS: | |
Beginning of period | 221,907,494 |
End of period | $342,425,313 |
Muni Intermediate Portfolio | |
Increase (decrease) in net assets | |
Operations: | |
Net investment income | $ 4,463,813 |
Net realized loss on: | |
Investment transactions | (10,210,110) |
Net change in unrealized loss on: | |
Investments | (16,620,749) |
Net increase (decrease) in net assets resulting from operations | (22,367,046) |
Distributions from earnings | (6,472,523) |
Net increase (decrease) in net assets from capital share transactions (See note 4) | (85,316,853) |
Net increase (decrease) in net assets | (114,156,422) |
NET ASSETS: | |
Beginning of year | 336,063,916 |
End of year | $ 221,907,494 |
175 |
Muni Intermediate Portfolio | |||||||||||
For the Period Ended April 30, 20231,2 | For the Year Ended October 31, | ||||||||||
2022 2 | 2021 2 | 2020 2 | 2019 2 | 2018 | |||||||
Net asset value, beginning of period | $ 10.13 | $ 11.19 | $ 11.41 | $ 11.25 | $ 10.73 | $ 11.01 | |||||
Income from investment operations: | |||||||||||
Net investment income | 0.11 | 0.16 | 0.16 | 0.20 | 0.22 | 0.20 | |||||
Net realized and unrealized gain (loss) on investments | 0.35 | (0.99) | (0.09) | 0.21 | 0.52 | (0.28) | |||||
Total from investment operations | 0.46 | (0.83) | 0.07 | 0.41 | 0.74 | (0.08) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.11) | (0.16) | (0.17) | (0.21) | (0.22) | (0.20) | |||||
Net realized capital gains | — | (0.07) | (0.12) | (0.04) | — | — | |||||
Total distributions | (0.11) | (0.23) | (0.29) | (0.25) | (0.22) | (0.20) | |||||
Net asset value, end of period | $ 10.48 | $ 10.13 | $ 11.19 | $ 11.41 | $ 11.25 | $ 10.73 | |||||
Total return | 4.54% 3 | (7.51)% | 0.60% | 3.64% | 6.90% | (0.73)% | |||||
Ratios to average net assets/ Supplemental data: | |||||||||||
Net assets, at end of period (in 000s) | $342,425 | $221,907 | $336,064 | $321,939 | $311,319 | $289,401 | |||||
Ratio of operating expenses to average net assets | 0.25% 4 | 0.25% | 0.24% | 0.25% | 0.24% | 0.23% | |||||
Ratio of net investment income to average net assets | 2.20% 4 | 1.52% | 1.45% | 1.80% | 1.94% | 1.86% | |||||
Portfolio turnover rate | 17% 3 | 61% | 31% | 35% | 34% | 31% |
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. |
176 |
Face Amount | Value | ||
MUNICIPAL BONDS* — 99.6% | |||
Arizona — 4.7% | |||
$5,550,000 | City of Mesa AZ Utility System Revenue, Revenue Bonds, Refunding, 4.000% due 7/1/35 | $ 5,809,384 | |
1,000,000 | Maricopa County Unified School District No. 69 Paradise Valley, AZ, General Obligation Unlimited, 5.000% due 7/1/35 | 1,168,652 | |
Maricopa County Union High School District No. 213 Tempe, AZ, General Obligation Unlimited, Prerefunded: | |||
1,425,000 | 4.000% due 7/1/30 | 1,440,797 | |
1,650,000 | 4.000% due 7/1/32 | 1,668,291 | |
3,500,000 | Salt River Project Agricultural Improvement and Power District, AZ, Revenue Bonds, Refunding, 5.000% due 1/1/28 | 3,888,914 | |
2,015,000 | Yuma Municipal Property Corp., AZ, Road & Excise Tax, Revenue Bonds, Refunding, 5.000% due 7/1/26 | 2,101,899 | |
16,077,937 | |||
California — 8.8% | |||
1,985,000 | California State Public Works Board, Revenue Bonds, Refunding, Series B, 5.000% due 12/1/26 | 2,153,302 | |
1,000,000 | California State University, Revenue Bonds, Refunding, Series A, 5.000% due 11/1/27 | 1,074,882 | |
695,000 | City of Los Angeles Department of Airports, CA, Revenue Bonds, AMT, Refunding, Series A, 5.000% due 5/15/27 | 743,028 | |
1,500,000 | City of Los Angeles, CA, Revenue Notes, 4.000% due 6/29/23 | 1,501,955 | |
2,820,000 | Los Angeles County Metropolitan Transportation Authority, CA, Sales Tax Revenue, Revenue Bonds, Refunding, Series A, 4.000% due 7/1/31 | 2,870,839 | |
1,835,000 | San Diego Unified School District, CA, General Obligation Unlimited, Refunding, Series R, 5.000% due 7/1/29 | 1,985,554 | |
1,810,000 | San Francisco City and County Airport Comm-San Francisco International Airport, CA, Revenue Bonds, Refunding, Series A, 5.000% due 5/1/26 | 1,936,450 | |
2,500,000 | State of California, General Obligation Unlimited, 5.000% due 9/1/31 | 2,977,772 | |
4,480,000 | State of California, General Obligation Unlimited, Refunding, 5.000% due 8/1/26 | 4,808,014 | |
3,560,000 | State of California, General Obligation Unlimited, Refunding, (AGMC Insured), 5.250% due 8/1/32 | 4,333,472 | |
2,000,000 | State of California, General Obligation Unlimited, Refunding, Series B, 5.000% due 4/1/33 | 2,276,307 | |
3,000,000 | University of California, Revenue Bonds, Refunding, 5.000% due 5/15/36 | 3,623,077 | |
30,284,652 | |||
Colorado — 2.2% | |||
1,010,000 | Adams & Arapahoe Joint School District 28J Aurora, CO, General Obligation Unlimited, Refunding, Series A, (State Aid Withholding), 5.000% due 12/1/23 | 1,020,473 | |
1,000,000 | City & County of Denver, CO, Airport System Revenue, Revenue Bonds, AMT, Series D, 5.000% due 11/15/24 | 1,021,960 | |
1,195,000 | City & County of Denver, CO, Airport System Revenue, Revenue Bonds, Series A, 5.000% due 11/15/24 | 1,221,242 | |
1,020,000 | City & County of Denver, CO, Airport System Revenue, Revenue Bonds, Series C, 5.000% due 11/15/29 | 1,173,235 | |
1,335,000 | Colorado Housing and Finance Authority, Revenue Bonds, Series B, 3.750% due 5/1/50 | 1,325,241 | |
1,425,000 | E-470 Public Highway Authority, CO, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/28 | 1,589,947 | |
7,352,098 |
177 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Connecticut — 2.4% | |||
$1,475,000 | Connecticut Housing Finance Authority, Housing Finance Mortgage Program, Revenue Bonds, Refunding, Series F-1, 3.500% due 11/15/43 | $ 1,455,769 | |
1,000,000 | State of Connecticut Special Tax Revenue, Revenue Bonds, Series A, 5.000% due 5/1/33 | 1,155,002 | |
State of Connecticut, General Obligation Unlimited, Refunding, Series D: | |||
1,500,000 | 5.000% due 7/15/23 | 1,505,457 | |
1,100,000 | 5.000% due 9/15/27 | 1,208,067 | |
1,300,000 | 5.000% due 9/15/31 | 1,542,950 | |
1,000,000 | State of Connecticut, General Obligation Unlimited, Refunding, Series F, 5.000% due 11/15/35 | 1,167,698 | |
8,034,943 | |||
Delaware — 0.9% | |||
1,000,000 | Delaware River & Bay Authority, Revenue Bonds, Refunding, Series C, 5.000% due 1/1/27 | 1,011,453 | |
2,000,000 | State of Delaware, General Obligation Unlimited, 5.000% due 2/1/26 | 2,125,282 | |
3,136,735 | |||
District Of Columbia — 2.3% | |||
1,700,000 | District of Columbia, DC, General Obligation Unlimited, Refunding, Series A, 5.000% due 6/1/33 | 1,867,312 | |
4,305,000 | District of Columbia, DC, Revenue Bonds, Series A, 5.000% due 7/1/36 | 5,032,522 | |
1,000,000 | Metropolitan Washington Airports Authority System, DC, Revenue Bonds, Refunding, Series B, 5.000% due 10/1/23 | 1,007,243 | |
7,907,077 | |||
Florida — 5.6% | |||
2,820,000 | Central Florida Expressway Authority, Revenue Bonds, Refunding, Series B, 5.000% due 7/1/28 | 2,998,381 | |
2,750,000 | City of Lakeland, FL, Department of Electric Utilities, Revenue Bonds, Refunding, 5.000% due 10/1/25 | 2,894,826 | |
1,375,000 | County of Miami-Dade, FL, Aviation Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/25 | 1,439,531 | |
2,610,000 | County of Miami-Dade, FL, Water and Sewer System Revenue, Revenue Bonds, Refunding, Series B, 4.000% due 10/1/35 | 2,670,086 | |
1,000,000 | Duval County Public Schools, FL, Certificate Participation, (AGM Insured), 5.000% due 7/1/29 | 1,133,063 | |
1,025,000 | School District of Broward County, FL, Certificate Participation, Refunding, Series A, 5.000% due 7/1/27 | 1,088,560 | |
1,775,000 | School District of Broward County, FL, Certificate Participation, Refunding, Series C, 5.000% due 7/1/25 | 1,851,169 | |
3,910,000 | State of Florida, General Obligation Unlimited, Refunding, Series A, 5.000% due 6/1/23 | 3,915,364 | |
1,000,000 | Volusia County School Board, FL, Certificate Participation, 5.000% due 8/1/24 | 1,022,336 | |
19,013,316 | |||
Georgia — 1.0% | |||
2,000,000 | Atlanta, GA, General Obligation Limited, Prerefunded, 4.500% due 12/1/29 | 2,046,072 | |
1,170,000 | Municipal Electric Authority of Georgia, Project No.1, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/30 | 1,303,289 | |
3,349,361 |
178 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Hawaii — 0.7% | |||
$1,250,000 | City & County of Honolulu, HI, General Obligation Unlimited, Series B, 5.000% due 9/1/26 | $ 1,343,391 | |
1,050,000 | City & County of Honolulu, HI, General Obligation Unlimited, Series D, 5.000% due 8/1/26 | 1,126,201 | |
2,469,592 | |||
Illinois — 1.2% | |||
2,000,000 | Chicago O’Hare International Airport, IL, Revenue Bonds, Refunding, Series B, 5.000% due 1/1/32 | 2,060,965 | |
1,000,000 | County of Cook, IL, General Obligation Unlimited, Refunding, Series A, 5.000% due 11/15/25 | 1,042,478 | |
1,000,000 | Illinois Finance Authority, Revenue Bonds, Refunding, Series C, 5.000% due 2/15/27 | 1,075,058 | |
4,178,501 | |||
Indiana — 0.3% | |||
1,025,000 | Indiana Municipal Power Agency, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 1,054,278 | |
Kansas — 0.3% | |||
1,000,000 | Wyandotte County-Kansas City Unified Government, KS, General Obligation Unlimited, Series A, (AGMC Insured), 4.000% due 8/1/24 | 1,011,434 | |
Kentucky — 0.3% | |||
1,000,000 | Kentucky State Property & Building Commission, Revenue Bonds, Project No. 119, (BAM Insured), 5.000% due 5/1/33 | 1,100,173 | |
Maryland — 2.9% | |||
3,000,000 | County of Baltimore, MD, General Obligation Unlimited, Refunding, 5.000% due 8/1/24 | 3,074,426 | |
1,240,000 | County of Montgomery, MD, General Obligation Unlimited, Consolidated Public Improvement, Refunding, Series D, 4.000% due 11/1/28 | 1,321,595 | |
1,000,000 | Maryland Health & Higher Educational Facilities Authority, Revenue Bonds, Series B, 5.000% due 4/15/32 | 1,120,860 | |
2,000,000 | State of Maryland, General Obligation Unlimited, Series A, 5.000% due 6/1/33 | 2,412,871 | |
2,000,000 | State of Maryland, General Obligation Unlimited, Series B, 5.000% due 8/1/24 | 2,049,617 | |
9,979,369 | |||
Massachusetts — 1.7% | |||
1,435,000 | Commonwealth of Massachusetts, General Obligation Limited, Refunding, Series B, 5.000% due 7/1/33 | 1,668,449 | |
2,850,000 | Commonwealth of Massachusetts, General Obligation Limited, Series C, 5.000% due 5/1/30 | 2,854,536 | |
1,100,000 | Commonwealth of Massachusetts, General Obligation Limited, Series E, 5.000% due 9/1/32 | 1,234,452 | |
5,757,437 | |||
Michigan — 2.2% | |||
1,015,000 | Byron Center Public Schools, MI, General Obligation Unlimited, Refunding, (QSBLF Insured), 5.000% due 5/1/24 | 1,033,686 | |
1,500,000 | Michigan Finance Authority, Revenue Bonds, Hospital Revenue Refunding Bonds, Series 2022 A, 5.000% due 4/15/28 | 1,651,639 | |
715,000 | Michigan Finance Authority, Revenue Bonds, Series 2014D, (AGMC Insured), 5.000% due 7/1/24 | 727,253 |
179 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Michigan — (Continued) | |||
$1,390,000 | Michigan State Housing Development Authority, Revenue Bonds, AMT, Series B, 3.500% due 6/1/47 | $ 1,374,491 | |
2,650,000 | Michigan, Revenue Bonds, Revenue Bonds, Refunding, 5.000% due 4/1/33 | 2,897,148 | |
7,684,217 | |||
Minnesota — 2.9% | |||
4,710,000 | Metropolitan Council, Minneapolis St. Paul Metropolitan Area, General Obligation Unlimited, Series B, 5.000% due 12/1/23 | 4,761,559 | |
1,440,000 | Minnesota Housing Finance Agency, Revenue Bonds, Refunding, Series E, (GNMA / FNMA / FHLMC Insured), 4.000% due 1/1/47 | 1,434,685 | |
1,800,000 | State of Minnesota, General Obligation Unlimited, Series A, 5.000% due 8/1/32 | 2,070,843 | |
1,670,000 | Western Minnesota Municipal Power Agency, Revenue Bonds, Prerefunded, Series A, 5.000% due 1/1/46 | 1,690,008 | |
9,957,095 | |||
Missouri — 1.1% | |||
2,000,000 | City of Kansas City, MO, Sanitary Sewer System, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 2,069,636 | |
1,785,000 | Missouri Housing Development Commission, Single Family Mortgage, Revenue Bonds, Series A, (GNMA / FNMA / FHLMC Insured), 3.500% due 11/1/50 | 1,759,186 | |
3,828,822 | |||
Nevada — 0.3% | |||
1,000,000 | Clark County School District, NV, General Obligation Limited, Building and Refunding Bonds, Series C, 5.000% due 6/15/26 | 1,064,710 | |
New Jersey — 1.4% | |||
2,000,000 | New Jersey Economic Development Authority, Revenue Bonds, Series-AAA, 5.500% due 6/15/31 | 2,199,882 | |
1,375,000 | New Jersey Turnpike Authority, Revenue Bonds, Series A, 5.000% due 1/1/27 | 1,484,672 | |
1,000,000 | New Jersey Turnpike Authority, Revenue Bonds, Series E, 5.000% due 1/1/32 | 1,035,097 | |
4,719,651 | |||
New Mexico — 1.7% | |||
1,130,000 | Albuquerque, NM, Municipal School District No 12, General Obligation Unlimited, Series A, 5.000% due 8/1/291 | 1,282,693 | |
870,000 | New Mexico Mortgage Finance Authority, Revenue Bonds, Series A, (GNMA / FNMA / FHLMC Insured), 3.500% due 1/1/51 | 857,329 | |
775,000 | New Mexico Mortgage Finance Authority, Revenue Bonds, Series F, (GNMA / FNMA / FHLMC Insured), 3.500% due 7/1/50 | 763,761 | |
2,500,000 | State of New Mexico, Severance Tax Permanent Fund, Revenue Bonds, Series B, 5.000% due 7/1/28 | 2,796,282 | |
5,700,065 | |||
New York — 11.6% | |||
1,510,000 | City of New York NY, General Obligation Unlimited, Refunding, Series C, 5.000% due 8/1/25 | 1,579,634 | |
1,250,000 | City of New York, NY, General Obligation Unlimited, Fiscal 2008 Series J, 5.000% due 8/1/28 | 1,402,008 | |
1,185,000 | Long Island Power Authority, NY, Revenue Bonds, Refunding, Series A, 5.000% due 9/1/33 | 1,383,699 | |
1,000,000 | Metropolitan Transportation Authority, NY, Revenue Bonds, (AGMC Insured), (SOFR*0.67+0.55%), 3.766% due 11/1/322 | 994,860 |
180 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
New York — (Continued) | |||
$1,295,000 | New York City Municipal Water Finance Authority, NY, Revenue Bonds, 5.000% due 6/15/28 | $ 1,392,216 | |
1,000,000 | New York City Municipal Water Finance Authority, NY, Water and Sewer System, Revenue Bonds, Series BB-2, 5.000% due 6/15/27 | 1,052,596 | |
1,465,000 | New York City Transitional Finance Authority Building Aid Revenue, NY, Revenue Bonds, Refunding, Series S-1, (State Aid Withholding), 5.000% due 7/15/31 | 1,551,543 | |
1,650,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, NY, Revenue Bonds, Refunding, Series C, 5.000% due 11/1/26 | 1,775,874 | |
1,160,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, NY, Revenue Bonds, Refunding, Subseries F-1, 5.000% due 11/1/26 | 1,248,493 | |
2,275,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, NY, Revenue Bonds, Subseries E-1, 5.000% due 2/1/30 | 2,408,196 | |
1,930,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, NY, Revenue Bonds, Subseries F-1, 5.000% due 5/1/31 | 2,098,999 | |
1,000,000 | New York State Dormitory Authority, Memorial Sloan-Kettering Cancer Center, Revenue Bonds, 5.000% due 7/1/35 | 1,114,647 | |
1,415,000 | New York State Dormitory Authority, Personal Income Tax, Revenue Bonds, Refunding, Series A, 5.000% due 3/15/28 | 1,573,712 | |
2,870,000 | New York State Dormitory Authority, Personal Income Tax, Revenue Bonds, Refunding, Series D, 5.000% due 2/15/30 | 3,047,646 | |
2,440,000 | New York State Dormitory Authority, Personal Income Tax, Revenue Bonds, Refunding, Series E, 4.000% due 3/15/28 | 2,526,707 | |
New York State Thruway Authority, Highway Revenue Tolls, Revenue Bonds, Refunding, Series K: | |||
1,000,000 | 5.000% due 1/1/31 | 1,031,027 | |
1,200,000 | 5.000% due 1/1/32 | 1,239,207 | |
1,135,000 | New York State Thruway Authority, Personal Income Tax Revenue, Revenue Bonds, Series A, 4.000% due 3/15/36 | 1,173,882 | |
3,000,000 | New York State Urban Development Corp., Personal Income Tax, Revenue Bonds, Refunding, 5.000% due 9/15/28 | 3,369,199 | |
1,025,000 | New York State Urban Development Corp., Personal Income Tax, Revenue Bonds, Refunding, Series A, 5.000% due 3/15/28 | 1,111,971 | |
1,400,000 | New York State Urban Development Corp., Personal Income Tax, Revenue Bonds, Series A, 5.000% due 3/15/35 | 1,609,673 | |
1,700,000 | Port Authority of New York & New Jersey, Revenue Bonds, Refunding, 5.000% due 11/15/33 | 1,873,924 | |
2,000,000 | Port Authority of New York & New Jersey, Revenue Bonds, Refunding, Series 231, 5.000% due 8/1/27 | 2,134,781 | |
1,070,000 | Triborough Bridge & Tunnel Authority, NY, Revenue Bonds, Series C, 4.000% due 11/15/27 | 1,136,405 | |
39,830,899 | |||
North Carolina — 1.7% | |||
600,000 | County of New Hanover, NC, Hospital Revenue, Revenue Bonds, Refunding, Escrowed to Maturity, 5.000% due 10/1/23 | 604,346 | |
3,810,000 | State of North Carolina, Revenue Bonds, Refunding, Series A, 5.000% due 5/1/23 | 3,810,000 | |
1,370,000 | State of North Carolina, Revenue Bonds, Series A, 5.000% due 5/1/26 | 1,459,996 | |
5,874,342 |
181 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
North Dakota — 0.8% | |||
$2,310,000 | North Dakota Public Finance Authority, Revenue Bonds, Series A, 5.000% due 10/1/29 | $ 2,596,322 | |
Ohio — 0.7% | |||
1,430,000 | Ohio Housing Finance Agency, Residential Mortgage, Revenue Bonds, Series D, (GNMA / FNMA / FHLMC Insured), 4.000% due 3/1/48 | 1,428,274 | |
1,000,000 | State of Ohio, Hospital Refunding, Revenue Bonds, 5.000% due 1/1/28 | 1,102,304 | |
2,530,578 | |||
Oklahoma — 0.6% | |||
2,000,000 | Grand River Dam Authority, OK, Revenue Bonds, Refunding, Series A, 5.000% due 6/1/24 | 2,038,191 | |
Oregon — 2.1% | |||
State of Oregon Department of Transportation, Revenue Bonds, Series A: | |||
4,725,000 | 4.000% due 11/15/38 | 4,823,641 | |
1,900,000 | 5.000% due 11/15/39 | 2,182,447 | |
7,006,088 | |||
Pennsylvania — 4.1% | |||
1,000,000 | Allegheny County Sanitary Authority, PA, Revenue Bonds, Refunding, (BAM Insured), 5.000% due 12/1/30 | 1,050,427 | |
1,000,000 | City of Philadelphia, PA, General Obligation Unlimited, Series A, 5.000% due 8/1/26 | 1,066,464 | |
2,000,000 | Commonwealth Financing Authority, PA, Revenue Bonds, 5.000% due 6/1/25 | 2,068,214 | |
Commonwealth of Pennsylvania, General Obligation Unlimited, Refunding: | |||
1,505,000 | 5.000% due 7/15/23 | 1,510,136 | |
1,200,000 | 5.000% due 1/1/27 | 1,297,894 | |
1,500,000 | Commonwealth of Pennsylvania, General Obligation Unlimited, Series 2, 5.000% due 9/15/25 | 1,574,184 | |
2,500,000 | Cumberland County Municipal Authority, PA, Revenue Bonds, 5.000% due 11/1/31 | 2,780,464 | |
1,160,000 | Pennsylvania Housing Finance Agency Single Family Mortgage Revenue, Revenue Bonds, Series 2019-131A, 3.500% due 4/1/49 | 1,146,156 | |
1,250,000 | Pennsylvania State University, Revenue Bonds, Series A, 5.000% due 9/1/31 | 1,420,159 | |
13,914,098 | |||
Rhode Island — 0.5% | |||
1,600,000 | State of Rhode Island, State & Providence Plantations, General Obligation Unlimited, Refunding, Series A, 5.000% due 8/1/24 | 1,638,505 | |
South Carolina — 3.1% | |||
2,920,000 | Beaufort County School District, SC, General Obligation Unlimited, Series D, 5.000% due 3/1/24 | 2,967,512 | |
1,500,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series A, 5.000% due 12/1/34 | 1,555,471 | |
1,500,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series A(Power), 4.000% due 12/1/33 | 1,528,736 | |
3,060,000 | South Carolina Public Service Authority, Revenue Bonds, Refunding, Series C, 5.000% due 12/1/24 | 3,136,756 | |
350,000 | South Carolina Public Service Authority, Revenue Bonds, Series A(Utilities), 5.000% due 12/1/27 | 377,266 |
182 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
South Carolina — (Continued) | |||
$1,000,000 | South Carolina Public Service Authority, Revenue Bonds, Series B, 5.000% due 12/1/27 | $ 1,077,902 | |
10,643,643 | |||
Tennessee — 1.3% | |||
1,380,000 | County of Hamilton, TN, General Obligation Unlimited, Series A, 5.000% due 4/1/25 | 1,437,334 | |
2,580,000 | County of Williamson, TN, General Obligation Unlimited, 5.000% due 4/1/35 | 3,079,684 | |
4,517,018 | |||
Texas — 16.8% | |||
1,500,000 | Austin Independent School District, TX, General Obligation Unlimited, 5.000% due 8/1/24 | 1,535,356 | |
2,160,000 | Beaumont Independent School District, TX, General Obligation Unlimited, (PSF Guaranteed), 5.000% due 2/15/24 | 2,187,291 | |
3,500,000 | Board of Regents of the University of Texas System, TX, Revenue Bonds, Series D, 5.000% due 8/15/25 | 3,671,725 | |
2,500,000 | Board of Regents of the University of Texas System, TX, Revenue Bonds, Series J, 5.000% due 8/15/28 | 2,673,350 | |
1,965,000 | City of Austin, TX, Electric Utility Revenuee, Revenue Bonds, Refunding, Series A, 5.000% due 11/15/32 | 2,055,985 | |
1,000,000 | City of Dallas, TX, Waterworks and Sewer System Revenue, Revenue Bonds, Refunding, Series C, 5.000% due 10/1/33 | 1,158,832 | |
1,100,000 | City of Dallas, TX, Waterworks and Sewer System Revenue, Revenue Bonds, Series C, 4.000% due 10/1/33 | 1,206,288 | |
1,805,000 | City of Houston, TX, Airport System Revenue, Revenue Bonds, Refunding, Series B, 5.000% due 7/1/29 | 2,004,195 | |
1,010,000 | City of Houston, TX, Combined Utility System Revenue, Revenue Bonds, Refunding, Series B, 5.000% due 11/15/28 | 1,089,484 | |
1,000,000 | City of San Antonio, TX, Electric and Gas Systems Revenue, Revenue Bonds, Refunding, 5.000% due 2/1/27 | 1,082,250 | |
1,750,000 | County of Harris, TX, General Obligation Limited, Series A, 5.000% due 10/1/25 | 1,841,743 | |
1,300,000 | County of Harris, TX, Revenue Bonds, Series A, 5.000% due 8/15/24 | 1,333,276 | |
5,000,000 | Dallas Independent School District, TX, General Obligation Unlimited, (PSF Guaranteed), 5.000% due 2/15/24 | 5,074,491 | |
Harris County Cultural Education Facilities Finance Corp., TX, Revenue Bonds, Refunding, Children’s Hospital Project: | |||
1,850,000 | 5.000% due 10/1/26 | 1,941,220 | |
1,000,000 | 5.000% due 10/1/27 | 1,051,161 | |
5,000,000 | Lake Travis Independent School District, TX, General Obligation Unlimited, 5.000% due 2/15/24 | 5,068,632 | |
3,125,000 | Lower Colorado River Authority, TX, Revenue Bonds, Refunding, 5.000% due 5/15/25 | 3,257,244 | |
1,000,000 | North Texas Tollway Authority, Revenue Bonds, Refunding, 5.000% due 1/1/32 | 1,090,795 | |
4,000,000 | North Texas Tollway Authority, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/30 | 4,142,980 | |
2,175,000 | Northside Independent School District, TX, General Obligation Unlimited, Refunding, (PSF Guaranteed), 5.000% due 8/15/30 | 2,432,997 | |
3,160,000 | Round Rock Independent School District, TX, General Obligation Unlimited, (PSF Guaranteed), 5.000% due 8/1/24 | 3,236,830 | |
1,000,000 | San Antonio Independent School District, TX, General Obligation Unlimited, Series 2022, (PSF Guaranteed), 5.000% due 8/15/24 | 1,024,449 |
183 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Texas — (Continued) | |||
$1,500,000 | San Antonio Water System, TX, Revenue Bonds, Refunding, Series A, 5.000% due 5/15/28 | $ 1,669,350 | |
1,375,000 | State of Texas, General Obligation Unlimited, Series B, 4.000% due 8/1/29 | 1,411,695 | |
3,000,000 | Texas Water Development Board, Revenue Bonds, 5.000% due 8/1/32 | 3,278,535 | |
1,090,000 | Waco Independent School District, TX, General Obligation Unlimited, Refunding, (PSF Guaranteed), 5.000% due 8/15/23 | 1,095,289 | |
57,615,443 | |||
Virginia — 3.4% | |||
1,500,000 | County of Arlington, VA, General Obligation Unlimited, Series 2021, 5.000% due 6/15/33 | 1,782,173 | |
1,670,000 | Virginia College Building Authority, Revenue Bonds, 5.000% due 9/1/26 | 1,790,907 | |
4,000,000 | Virginia College Building Authority, Revenue Bonds, Refunding, Series B, 5.000% due 9/1/26 | 4,210,752 | |
Virginia College Building Authority, Revenue Bonds, Series A: | |||
1,000,000 | 4.000% due 2/1/29 | 1,050,351 | |
2,595,000 | 5.000% due 2/1/31 | 2,805,774 | |
11,639,957 | |||
Washington — 6.7% | |||
1,000,000 | City of Bellevue, WA, General Obligation Limited, Refunding, 4.000% due 12/1/35 | 1,063,139 | |
2,000,000 | City of Everett, WA, Water & Sewer Revenue, Revenue Bonds, 5.000% due 12/1/24 | 2,064,211 | |
1,990,000 | County of King, WA, General Obligation Limited, Series A, 5.000% due 1/1/30 | 2,304,918 | |
1,250,000 | Energy Northwest, WA, Revenue Bonds, Series A, 5.000% due 7/1/28 | 1,336,497 | |
1,205,000 | Grays Harbor County Public Utility District No. 1, WA, Revenue Bonds, Refunding, Series A, 5.000% due 1/1/27 | 1,240,013 | |
3,600,000 | King County Bellevue School District No. 405 Bellevue, WA, General Obligation Unlimited, (School Bond Guaranty), 5.000% due 12/1/25 | 3,637,745 | |
500,000 | King County Renton School District No. 403 Renton, WA, General Obligation Unlimited, (School Bond Guaranty), 5.000% due 12/1/25 | 526,232 | |
2,000,000 | Port of Seattle, WA, Revenue Bonds, Refunding, 5.000% due 6/1/33 | 2,308,321 | |
1,500,000 | Port of Seattle, WA, Revenue Bonds, Refunding, Series B, 5.000% due 3/1/35 | 1,524,027 | |
2,500,000 | State of Washington, General Obligation Unlimited, Series A, 5.000% due 8/1/35 | 2,921,699 | |
4,000,000 | Washington, General Obligation Unlimited, Series R, 4.000% due 7/1/24 | 4,042,052 | |
22,968,854 | |||
Wisconsin — 0.7% | |||
2,500,000 | Wisconsin Health & Educational Facilities Authority, Revenue Bonds, Refunding, 5.000% due 11/15/23 | 2,522,542 |
184 |
Face Amount | Value | ||
MUNICIPAL BONDS* — (Continued) | |||
Wyoming — 0.6% | |||
$2,160,000 | Wyoming Community Development Authority, Housing Revenue, Revenue Bonds, Refunding, Series 3, 4.000% due 6/1/43 | $ 2,154,706 | |
TOTAL MUNICIPAL BONDS (Cost $343,607,508) | 341,152,649 | ||
TOTAL INVESTMENTS (Cost $343,607,508) | 99.6% | $341,152,649 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.4 | 1,272,664 | |
NET ASSETS | 100.0% | $342,425,313 |
* | Percentages indicated are based on net assets. |
1 | When-issued security. |
2 | Floating Rate Bond. Rate shown is as of April 30, 2023. |
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 |
185 |
% of Net Assets | Value | ||
STATE: | |||
Texas | 16.8% | $ 57,615,443 | |
New York | 11.6 | 39,830,899 | |
California | 8.8 | 30,284,652 | |
Washington | 6.7 | 22,968,854 | |
Florida | 5.6 | 19,013,316 | |
Arizona | 4.7 | 16,077,937 | |
Pennsylvania | 4.1 | 13,914,098 | |
Virginia | 3.4 | 11,639,957 | |
South Carolina | 3.1 | 10,643,643 | |
Maryland | 2.9 | 9,979,369 | |
Minnesota | 2.9 | 9,957,095 | |
Connecticut | 2.4 | 8,034,943 | |
District of Columbia | 2.3 | 7,907,077 | |
Michigan | 2.2 | 7,684,217 | |
Colorado | 2.2 | 7,352,098 | |
Oregon | 2.1 | 7,006,088 | |
North Carolina | 1.7 | 5,874,342 | |
Massachusetts | 1.7 | 5,757,437 | |
New Mexico | 1.7 | 5,700,065 | |
New Jersey | 1.4 | 4,719,651 | |
Tennessee | 1.3 | 4,517,018 | |
Illinois | 1.2 | 4,178,501 | |
Missouri | 1.1 | 3,828,822 | |
Georgia | 1.0 | 3,349,361 | |
Delaware | 0.9 | 3,136,735 | |
North Dakota | 0.8 | 2,596,322 | |
Ohio | 0.7 | 2,530,578 | |
Wisconsin | 0.7 | 2,522,542 | |
Hawaii | 0.7 | 2,469,592 | |
Wyoming | 0.6 | 2,154,706 | |
Oklahoma | 0.6 | 2,038,191 | |
Rhode Island | 0.5 | 1,638,505 | |
Kentucky | 0.3 | 1,100,173 | |
Nevada | 0.3 | 1,064,710 | |
Indiana | 0.3 | 1,054,278 | |
Kansas | 0.3 | 1,011,434 | |
TOTAL MUNICIPAL BONDS | 99.6% | $341,152,649 | |
TOTAL INVESTMENTS | 99.6% | $341,152,649 |
186 |
187 |
188 |
Portfolio | Unlimited (Short-Term) | Unlimited (Long-Term) | ||
Muni Intermediate Portfolio | $4,795,321 | $5,414,789 |
Portfolio | Undistributed Tax-exempt Income | Unrealized Appreciation/ (Depreciation) | Loss Carryforwards | Total Distributable Earnings | ||||
Muni Intermediate Portfolio | $412,988 | $(10,133,530) | $(10,210,110) | $(19,930,652) |
Portfolio | Tax Exempt | Ordinary Income | Long-Term Gains | |||
Muni Intermediate Portfolio | $4,464,310 | $17,024 | $1,991,189 |
Portfolio | Cost | Appreciation | (Depreciation) | Net | ||||
Muni Intermediate Portfolio | $343,607,508 | $1,809,067 | $4,263,926 | $(2,454,859) |
189 |
Portfolio | Purchases | Sales | ||
Muni Intermediate Portfolio | $154,460,574 | $(48,934,949) |
Period Ended 04/30/23 | Year Ended 10/31/22 | ||||||
Shares | Amount | Shares | Amount | ||||
Muni Intermediate Portfolio | |||||||
Sold | 15,563,730 | $162,134,146 | 8,584,040 | $ 90,149,323 | |||
Issued as reinvestment of dividends | 553 | 5,770 | 179,197 | 1,993,939 | |||
Redeemed | (4,778,963) | (49,871,013) | (16,889,273) | (177,460,115) | |||
Net Increase (Decrease) | 10,785,320 | $112,268,903 | (8,126,036) | $ (85,316,853) |
190 |
191 |
(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 22, 2023 |
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 22, 2023 |
/s/ Christopher E. McGuire | ||
Christopher E. McGuire | ||
Treasurer (Principal Financial Officer) |
Date | June 22, 2023 |