STATEMENT OF INVESTMENTS
BNY Mellon Smallcap Stock Index Fund
July 31, 2022 (Unaudited)
Description | Shares | Value ($) | |||||
Common Stocks - 99.0% | |||||||
Automobiles & Components - 1.6% | |||||||
American Axle & Manufacturing Holdings Inc. | 190,884 | a | 1,700,776 | ||||
Dorman Products Inc. | 47,687 | a | 4,820,679 | ||||
Gentherm Inc. | 56,151 | a | 3,625,109 | ||||
LCI Industries | 42,788 | 5,780,231 | |||||
Motorcar Parts of America Inc. | 32,679 | a | 492,473 | ||||
Patrick Industries Inc. | 37,149 | 2,255,687 | |||||
Standard Motor Products Inc. | 31,893 | 1,458,786 | |||||
Winnebago Industries Inc. | 55,579 | b | 3,355,304 | ||||
XPEL Inc. | 28,191 | a,b | 1,727,826 | ||||
25,216,871 | |||||||
Banks - 12.4% | |||||||
Allegiance Bancshares Inc. | 31,697 | 1,395,936 | |||||
Ameris Bancorp | 111,635 | 5,279,219 | |||||
Axos Financial Inc. | 90,866 | a | 3,794,564 | ||||
Banc of California Inc. | 89,033 | 1,558,968 | |||||
BancFirst Corp. | 31,870 | b | 3,422,519 | ||||
BankUnited Inc. | 138,448 | 5,378,705 | |||||
Banner Corp. | 57,745 | 3,579,613 | |||||
Berkshire Hills Bancorp Inc. | 79,812 | 2,248,304 | |||||
Brookline Bancorp Inc. | 132,072 | 1,826,556 | |||||
Capitol Federal Financial Inc. | 217,452 | 2,085,365 | |||||
Central Pacific Financial Corp. | 47,331 | 1,120,798 | |||||
City Holding Co. | 25,094 | 2,177,908 | |||||
Columbia Banking System Inc. | 131,303 | 3,961,412 | |||||
Community Bank System Inc. | 91,104 | 6,134,032 | |||||
Customers Bancorp Inc. | 50,901 | a | 1,943,909 | ||||
CVB Financial Corp. | 224,451 | 5,986,108 | |||||
Dime Community Bancshares Inc. | 54,262 | 1,849,249 | |||||
Eagle Bancorp Inc. | 53,801 | 2,637,863 | |||||
FB Financial Corp. | 60,039 | 2,572,671 | |||||
First Bancorp/Puerto Rico | 334,554 | 5,048,420 | |||||
First Bancorp/Southern Pines NC | 58,211 | 2,205,033 | |||||
First Commonwealth Financial Corp. | 159,999 | 2,371,185 | |||||
First Financial Bancorp | 158,742 | 3,546,296 | |||||
First Hawaiian Inc. | 215,939 | 5,504,285 | |||||
Flagstar Bancorp Inc. | 89,319 | 3,679,943 | |||||
Hanmi Financial Corp. | 51,049 | 1,290,008 | |||||
Heritage Financial Corp. | 59,465 | 1,547,279 | |||||
Hilltop Holdings Inc. | 84,367 | 2,433,988 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.0% (continued) | |||||||
Banks - 12.4% (continued) | |||||||
HomeStreet Inc. | 32,073 | 1,196,002 | |||||
Hope Bancorp Inc. | 202,025 | 3,038,456 | |||||
Independent Bank Corp. | 78,816 | 6,604,781 | |||||
Independent Bank Group Inc. | 61,523 | 4,350,907 | |||||
Lakeland Financial Corp. | 42,606 | b | 3,314,747 | ||||
Meta Financial Group Inc. | 49,292 | 1,662,126 | |||||
Mr. Cooper Group Inc. | 124,202 | a | 5,595,300 | ||||
National Bank Holdings Corp., Cl. A | 50,387 | 2,097,107 | |||||
NBT Bancorp Inc. | 72,434 | 2,936,474 | |||||
NMI Holdings Inc., Cl. A | 145,722 | a | 2,759,975 | ||||
Northfield Bancorp Inc. | 71,328 | 1,049,948 | |||||
Northwest Bancshares Inc. | 215,165 | 3,094,073 | |||||
OFG Bancorp | 82,186 | 2,257,649 | |||||
Pacific Premier Bancorp Inc. | 159,837 | 5,376,917 | |||||
Park National Corp. | 24,530 | 3,178,107 | |||||
Preferred Bank | 23,127 | 1,681,333 | |||||
Provident Financial Services Inc. | 127,303 | 3,101,101 | |||||
Renasant Corp. | 93,677 | 3,128,812 | |||||
S&T Bancorp Inc. | 65,685 | 2,032,294 | |||||
Seacoast Banking Corp. of Florida | 102,423 | 3,664,695 | |||||
ServisFirst Bancshares Inc. | 82,198 | 7,023,819 | |||||
Simmons First National Corp., Cl. A | 213,701 | 5,075,399 | |||||
Southside Bancshares Inc. | 54,412 | 2,173,215 | |||||
The Bancorp Inc. | 94,652 | a | 2,328,439 | ||||
Tompkins Financial Corp. | 20,018 | 1,544,389 | |||||
Triumph Bancorp Inc. | 39,623 | a | 2,878,611 | ||||
TrustCo Bank Corp. | 31,851 | 1,068,920 | |||||
Trustmark Corp. | 103,548 | 3,362,204 | |||||
United Community Bank Inc. | 177,567 | 6,042,605 | |||||
Veritex Holdings Inc. | 89,970 | 2,783,672 | |||||
Walker & Dunlop Inc. | 51,401 | 5,789,809 | |||||
Westamerica Bancorporation Bancorp. | 45,669 | 2,740,597 | |||||
WSFS Financial Corp. | 109,039 | 5,203,341 | |||||
196,715,960 | |||||||
Capital Goods - 10.9% | |||||||
AAON Inc. | 70,308 | 4,230,432 | |||||
AAR Corp. | 55,780 | a | 2,483,883 | ||||
Aerojet Rocketdyne Holdings Inc. | 126,731 | a | 5,536,877 | ||||
AeroVironment Inc. | 39,233 | a | 3,399,147 | ||||
Alamo Group Inc. | 16,649 | 2,154,547 | |||||
Albany International Corp., Cl. A | 52,831 | 4,821,885 | |||||
American Woodmark Corp. | 27,951 | a | 1,403,699 | ||||
Apogee Enterprises Inc. | 36,768 | 1,529,916 | |||||
Applied Industrial Technologies Inc. | 65,050 | 6,543,379 |
Description | Shares | Value ($) | |||||
Common Stocks - 99.0% (continued) | |||||||
Capital Goods - 10.9% (continued) | |||||||
Arcosa Inc. | 81,723 | 4,213,638 | |||||
Astec Industries Inc. | 38,770 | 1,904,770 | |||||
AZZ Inc. | 41,348 | 1,758,944 | |||||
Barnes Group Inc. | 78,085 | 2,640,835 | |||||
Boise Cascade Co. | 66,372 | 4,693,164 | |||||
CIRCOR International Inc. | 34,798 | a | 605,833 | ||||
Comfort Systems USA Inc. | 60,913 | 6,436,068 | |||||
DXP Enterprises Inc. | 29,507 | a | 1,003,238 | ||||
Encore Wire Corp. | 33,458 | 4,632,929 | |||||
Enerpac Tool Group Corp. | 101,030 | b | 2,050,909 | ||||
EnPro Industries Inc. | 35,213 | 3,291,711 | |||||
ESCO Technologies Inc. | 43,622 | 3,382,886 | |||||
Federal Signal Corp. | 102,438 | 4,253,226 | |||||
Franklin Electric Co. | 65,797 | 5,975,684 | |||||
Gibraltar Industries Inc. | 55,337 | a | 2,589,218 | ||||
GMS Inc. | 72,863 | a | 3,866,839 | ||||
Granite Construction Inc. | 76,562 | b | 2,289,204 | ||||
Griffon Corp. | 81,162 | 2,435,672 | |||||
Hillenbrand Inc. | 120,539 | 5,568,902 | |||||
Insteel Industries Inc. | 32,428 | 1,014,996 | |||||
John Bean Technologies Corp. | 53,464 | 6,004,542 | |||||
Kaman Corp. | 46,912 | 1,443,951 | |||||
Lindsay Corp. | 18,473 | 2,844,103 | |||||
Meritor Inc. | 119,738 | a | 4,360,858 | ||||
Moog Inc., Cl. A | 49,082 | 4,203,382 | |||||
Mueller Industries Inc. | 96,371 | 6,488,659 | |||||
MYR Group Inc. | 28,570 | a | 2,720,721 | ||||
National Presto Industries Inc. | 8,704 | 619,725 | |||||
NOW Inc. | 188,515 | a | 2,084,976 | ||||
NV5 Global Inc. | 20,034 | a | 2,716,610 | ||||
Park Aerospace Corp. | 31,536 | 384,739 | |||||
PGT Innovations Inc. | 99,582 | a | 2,180,846 | ||||
Powell Industries Inc. | 15,895 | 380,844 | |||||
Proto Labs Inc. | 46,703 | a | 2,283,310 | ||||
Quanex Building Products Corp. | 55,804 | 1,373,336 | |||||
Resideo Technologies Inc. | 244,594 | a | 5,505,811 | ||||
SPX Corp. | 76,796 | a | 4,540,947 | ||||
Standex International Corp. | 20,253 | 1,966,161 | |||||
Tennant Co. | 31,417 | 2,105,882 | |||||
The Greenbrier Companies | 54,888 | 1,746,536 | |||||
Titan International Inc. | 86,687 | a | 1,452,874 | ||||
Trinity Industries Inc. | 116,809 | b | 3,031,194 | ||||
Triumph Group Inc. | 109,455 | a | 1,700,931 | ||||
UFP Industries Inc. | 105,765 | 9,752,591 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.0% (continued) | |||||||
Capital Goods - 10.9% (continued) | |||||||
Veritiv Corp. | 23,397 | a | 2,901,696 | ||||
Wabash National Corp. | 83,193 | 1,502,466 | |||||
173,010,122 | |||||||
Commercial & Professional Services - 3.6% | |||||||
ABM Industries Inc. | 113,297 | 5,080,237 | |||||
Brady Corp., Cl. A | 81,470 | 3,898,340 | |||||
CoreCivic Inc. | 205,563 | a | 2,213,914 | ||||
Deluxe Corp. | 72,414 | 1,820,488 | |||||
Exponent Inc. | 87,348 | 8,777,601 | |||||
Forrester Research Inc. | 18,437 | a | 857,136 | ||||
Harsco Corp. | 133,041 | a | 639,927 | ||||
Healthcare Services Group Inc. | 124,730 | 1,788,628 | |||||
Heidrick & Struggles International Inc. | 33,692 | 1,049,169 | |||||
HNI Corp. | 70,790 | 2,500,303 | |||||
Interface Inc. | 100,534 | 1,456,738 | |||||
KAR Auction Services Inc. | 204,147 | a | 3,490,914 | ||||
Kelly Services Inc., Cl. A | 58,884 | 1,276,605 | |||||
Korn Ferry | 90,658 | 5,939,006 | |||||
ManTech International Corp., Cl. A | 46,640 | 4,469,045 | |||||
Matthews International Corp., Cl. A | 53,162 | 1,485,878 | |||||
Pitney Bowes Inc. | 278,860 | 911,872 | |||||
Resources Connection Inc. | 51,094 | 1,096,477 | |||||
The GEO Group Inc. | 208,297 | a,b | 1,366,428 | ||||
TrueBlue Inc. | 56,673 | a | 1,226,404 | ||||
UniFirst Corp. | 25,603 | 5,015,372 | |||||
Viad Corp. | 35,107 | a | 1,185,563 | ||||
57,546,045 | |||||||
Consumer Durables & Apparel - 3.9% | |||||||
Cavco Industries Inc. | 14,414 | a | 3,715,785 | ||||
Century Communities Inc. | 49,253 | 2,520,276 | |||||
Ethan Allen Interiors Inc. | 36,867 | 847,572 | |||||
Fossil Group Inc. | 81,868 | a | 493,664 | ||||
G-III Apparel Group Ltd. | 72,184 | a | 1,594,545 | ||||
Green Brick Partners Inc. | 77,479 | a,b | 2,076,437 | ||||
Installed Building Products Inc. | 39,256 | 3,981,344 | |||||
iRobot Corp. | 45,514 | a,b | 2,094,099 | ||||
Kontoor Brands Inc. | 78,893 | 2,879,595 | |||||
La-Z-Boy Inc. | 72,440 | 2,018,903 | |||||
LGI Homes Inc. | 34,854 | a | 3,931,531 | ||||
M.D.C. Holdings Inc. | 96,090 | 3,483,263 | |||||
M/I Homes Inc. | 48,237 | a | 2,219,384 | ||||
Meritage Homes Corp. | 61,596 | a | 5,438,927 | ||||
Movado Group Inc. | 27,647 | 939,445 | |||||
Oxford Industries Inc. | 25,992 | 2,479,637 |
Description | Shares | Value ($) | |||||
Common Stocks - 99.0% (continued) | |||||||
Consumer Durables & Apparel - 3.9% (continued) | |||||||
Sonos Inc. | 215,850 | a,b | 4,772,444 | ||||
Steven Madden Ltd. | 127,202 | 4,032,303 | |||||
Sturm Ruger & Co. | 29,552 | 1,954,274 | |||||
Tri Pointe Homes Inc. | 173,431 | a | 3,211,942 | ||||
Tupperware Brands Corp. | 77,304 | a,b | 576,688 | ||||
Unifi Inc. | 23,631 | a | 322,091 | ||||
Universal Electronics Inc. | 20,474 | a | 568,154 | ||||
Vista Outdoor Inc. | 94,864 | a | 2,855,406 | ||||
Wolverine World Wide Inc. | 136,802 | 3,073,941 | |||||
62,081,650 | |||||||
Consumer Services - 2.6% | |||||||
Adtalem Global Education Inc. | 76,639 | a | 3,073,224 | ||||
American Public Education Inc. | 30,419 | a | 477,882 | ||||
BJ's Restaurants Inc. | 40,139 | a | 942,062 | ||||
Bloomin‘ Brands Inc. | 135,224 | 2,757,217 | |||||
Brinker International Inc. | 74,322 | a,b | 2,062,436 | ||||
Chuy's Holdings Inc. | 32,092 | a | 713,405 | ||||
Dave & Buster's Entertainment Inc. | 66,025 | a | 2,466,694 | ||||
Dine Brands Global Inc. | 28,399 | b | 2,025,133 | ||||
El Pollo Loco Holdings Inc. | 30,479 | a | 296,256 | ||||
Frontdoor Inc. | 138,705 | a | 3,713,133 | ||||
Golden Entertainment Inc. | 33,781 | a | 1,481,972 | ||||
Jack in the Box Inc. | 35,197 | 2,433,521 | |||||
Monarch Casino & Resort Inc. | 22,167 | a | 1,422,013 | ||||
Perdoceo Education Corp. | 115,113 | a | 1,577,048 | ||||
Ruth's Hospitality Group Inc. | 53,577 | 940,276 | |||||
Shake Shack Inc., Cl. A | 66,191 | a | 3,406,189 | ||||
Six Flags Entertainment Corp. | 131,087 | a | 2,971,742 | ||||
Strategic Education Inc. | 38,677 | 2,778,169 | |||||
Stride Inc. | 71,843 | a | 3,209,945 | ||||
The Cheesecake Factory Inc. | 82,387 | b | 2,408,172 | ||||
WW International Inc. | 90,232 | a | 599,140 | ||||
41,755,629 | |||||||
Diversified Financials - 3.2% | |||||||
Apollo Commercial Real Estate Finance Inc. | 222,672 | c | 2,845,748 | ||||
ARMOUR Residential REIT Inc. | 172,072 | b,c | 1,354,207 | ||||
B. Riley Financial Inc. | 27,193 | 1,401,527 | |||||
Blucora Inc. | 80,161 | a | 1,603,220 | ||||
Brightsphere Investment Group Inc. | 54,778 | 1,035,852 | |||||
Donnelley Financial Solutions Inc. | 47,472 | a | 1,613,573 | ||||
Ellington Financial Inc. | 94,725 | b,c | 1,520,336 | ||||
Encore Capital Group Inc. | 41,109 | a | 2,977,525 | ||||
Enova International Inc. | 55,438 | a | 1,913,165 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.0% (continued) | |||||||
Diversified Financials - 3.2% (continued) | |||||||
EZCORP Inc., Cl. A | 88,663 | a | 712,851 | ||||
Franklin BSP Realty Trust Inc. | 138,614 | b,c | 2,127,725 | ||||
Granite Point Mortgage Trust Inc. | 89,180 | c | 946,200 | ||||
Green Dot Corp., Cl. A | 91,996 | a | 2,585,088 | ||||
Invesco Mortgage Capital Inc. | 53,504 | b,c | 947,021 | ||||
KKR Real Estate Finance Trust Inc. | 83,710 | c | 1,631,508 | ||||
LendingTree Inc. | 18,716 | a | 853,075 | ||||
New York Mortgage Trust Inc. | 652,013 | c | 2,047,321 | ||||
PennyMac Mortgage Investment Trust | 154,782 | b,c | 2,377,452 | ||||
Piper Sandler Cos. | 24,020 | 3,031,324 | |||||
PRA Group Inc. | 67,684 | a | 2,696,531 | ||||
PROG Holdings Inc. | 91,899 | a | 1,692,780 | ||||
Ready Capital Corp. | 112,732 | b,c | 1,568,102 | ||||
Redwood Trust Inc. | 203,758 | c | 1,764,544 | ||||
StoneX Group Inc. | 28,933 | a | 2,520,932 | ||||
Two Harbors Investment Corp. | 578,488 | b,c | 3,112,265 | ||||
Virtus Investment Partners Inc. | 11,816 | 2,437,877 | |||||
WisdomTree Investments Inc. | 185,495 | 964,574 | |||||
World Acceptance Corp. | 6,247 | a | 692,011 | ||||
50,974,334 | |||||||
Energy - 4.6% | |||||||
Archrock Inc. | 229,785 | 1,939,385 | |||||
Bristow Group Inc. | 39,556 | a | 1,020,545 | ||||
Callon Petroleum Co. | 79,697 | a | 3,669,250 | ||||
Civitas Resources Inc. | 121,704 | b | 7,175,668 | ||||
CONSOL Energy Inc. | 53,775 | a,b | 3,297,483 | ||||
Core Laboratories NV | 78,279 | b | 1,482,604 | ||||
DMC Global Inc. | 32,613 | a | 742,272 | ||||
Dorian LPG Ltd. | 45,646 | 735,814 | |||||
Dril-Quip Inc. | 58,684 | a | 1,505,245 | ||||
Green Plains Inc. | 91,244 | a,b | 3,286,609 | ||||
Helix Energy Solutions Group Inc. | 238,802 | a | 964,760 | ||||
Helmerich & Payne Inc. | 177,220 | 8,205,286 | |||||
Laredo Petroleum Inc. | 24,690 | a | 2,189,262 | ||||
Nabors Industries Ltd. | 14,876 | a | 2,119,681 | ||||
Oceaneering International Inc. | 169,420 | a | 1,799,240 | ||||
Oil States International Inc. | 102,827 | a,b | 524,418 | ||||
Par Pacific Holdings Inc. | 77,778 | a | 1,283,337 | ||||
Patterson-UTI Energy Inc. | 364,732 | 6,036,315 | |||||
PBF Energy Inc., Cl. A | 160,741 | a | 5,360,712 | ||||
ProPetro Holding Corp. | 145,346 | a | 1,529,040 | ||||
Ranger Oil Corp., Cl. A | 36,244 | b | 1,379,447 | ||||
REX American Resources Corp. | 8,886 | a | 848,258 | ||||
RPC Inc. | 117,966 | 962,603 |
Description | Shares | Value ($) | |||||
Common Stocks - 99.0% (continued) | |||||||
Energy - 4.6% (continued) | |||||||
SM Energy Co. | 205,326 | 8,475,857 | |||||
Talos Energy Inc. | 68,679 | a | 1,301,467 | ||||
U.S. Silica Holdings Inc. | 127,684 | a | 1,765,870 | ||||
World Fuel Services Corp. | 106,392 | 2,949,186 | |||||
72,549,614 | |||||||
Food & Staples Retailing - .8% | |||||||
PriceSmart Inc. | 40,553 | 2,691,908 | |||||
SpartanNash Co. | 60,692 | 1,959,745 | |||||
The Andersons Inc. | 53,019 | 1,917,697 | |||||
The Chefs' Warehouse Inc. | 55,085 | a | 1,906,492 | ||||
United Natural Foods Inc. | 98,184 | a | 4,173,802 | ||||
12,649,644 | |||||||
Food, Beverage & Tobacco - 2.8% | |||||||
B&G Foods Inc. | 116,164 | b | 2,870,412 | ||||
Calavo Growers Inc. | 29,997 | 1,208,879 | |||||
Cal-Maine Foods Inc. | 63,623 | 3,251,772 | |||||
Celsius Holdings Inc. | 64,509 | a,b | 5,738,721 | ||||
Fresh Del Monte Produce Inc. | 55,740 | 1,656,035 | |||||
Hostess Brands Inc. | 233,728 | a | 5,286,927 | ||||
J&J Snack Foods Corp. | 25,301 | 3,428,539 | |||||
John B. Sanfilippo & Son Inc. | 15,213 | 1,139,454 | |||||
MGP Ingredients Inc. | 21,135 | b | 2,222,979 | ||||
National Beverage Corp. | 39,732 | 2,152,680 | |||||
Seneca Foods Corp., Cl. A | 10,494 | a | 597,318 | ||||
The Simply Good Foods Company | 148,637 | a | 4,848,539 | ||||
Tootsie Roll Industries Inc. | 29,989 | 1,053,214 | |||||
TreeHouse Foods Inc. | 94,215 | a | 4,090,815 | ||||
Universal Corp. | 41,285 | 2,308,244 | |||||
Vector Group Ltd. | 221,286 | 2,465,126 | |||||
44,319,654 | |||||||
Health Care Equipment & Services - 7.3% | |||||||
Addus HomeCare Corp. | 27,269 | a | 2,530,836 | ||||
Allscripts Healthcare Solutions Inc. | 197,096 | a | 3,118,059 | ||||
AMN Healthcare Services Inc. | 75,404 | a | 8,478,426 | ||||
AngioDynamics Inc. | 65,601 | a | 1,488,487 | ||||
Apollo Medical Holdings Inc. | 63,912 | a,b | 3,389,253 | ||||
Artivion Inc. | 65,895 | a | 1,291,542 | ||||
Avanos Medical Inc. | 80,587 | a | 2,286,253 | ||||
BioLife Solutions Inc. | 51,314 | a | 988,821 | ||||
Cardiovascular Systems Inc. | 70,172 | a | 1,081,351 | ||||
Community Health Systems Inc. | 213,959 | a,b | 637,598 | ||||
Computer Programs & Systems Inc. | 25,390 | a | 857,166 | ||||
CONMED Corp. | 49,982 | 4,879,743 | |||||
CorVel Corp. | 15,869 | a | 2,616,639 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.0% (continued) | |||||||
Health Care Equipment & Services - 7.3% (continued) | |||||||
Covetrus Inc. | 176,169 | a | 3,659,030 | ||||
Cross Country Healthcare Inc. | 60,202 | a | 1,586,925 | ||||
Cutera Inc. | 27,522 | a,b | 1,277,571 | ||||
Embecta Corp. | 98,227 | a | 2,890,821 | ||||
Enhabit Inc. | 84,028 | a | 1,471,330 | ||||
Fulgent Genetics Inc. | 33,407 | a | 1,996,068 | ||||
Glaukos Corp. | 79,966 | a | 4,306,169 | ||||
Hanger Inc. | 63,823 | a | 1,185,193 | ||||
HealthStream Inc. | 40,037 | a | 963,290 | ||||
Heska Corp. | 18,185 | a | 1,663,746 | ||||
Inogen Inc. | 34,329 | a | 955,033 | ||||
Integer Holdings Corp. | 55,626 | a | 3,887,701 | ||||
Lantheus Holdings Inc. | 115,682 | a | 8,875,123 | ||||
LeMaitre Vascular Inc. | 32,724 | b | 1,647,653 | ||||
Meridian Bioscience Inc. | 73,943 | a | 2,341,035 | ||||
Merit Medical Systems Inc. | 86,016 | a | 4,944,200 | ||||
Mesa Laboratories Inc. | 8,957 | b | 1,910,080 | ||||
ModivCare Inc. | 20,753 | a | 2,071,149 | ||||
NextGen Healthcare Inc. | 94,053 | a | 1,610,187 | ||||
OptimizeRx Corp. | 30,956 | a | 695,581 | ||||
OraSure Technologies Inc. | 125,179 | a | 383,048 | ||||
Orthofix Medical Inc. | 34,181 | a | 876,743 | ||||
Owens & Minor Inc. | 128,952 | 4,566,190 | |||||
Pediatrix Medical Group Inc. | 145,177 | a | 3,289,711 | ||||
RadNet Inc. | 78,223 | a | 1,609,047 | ||||
Select Medical Holdings Corp. | 173,428 | 5,136,937 | |||||
Simulations Plus Inc. | 26,887 | b | 1,724,801 | ||||
SurModics Inc. | 23,668 | a | 823,646 | ||||
The Ensign Group Inc. | 88,832 | 7,079,022 | |||||
The Joint Corp. | 25,646 | a | 438,547 | ||||
The Pennant Group Inc. | 44,048 | a | 587,600 | ||||
U.S. Physical Therapy Inc. | 22,058 | b | 2,862,687 | ||||
Varex Imaging Corp. | 66,614 | a | 1,484,826 | ||||
Zimvie Inc. | 34,795 | a | 675,719 | ||||
Zynex Inc. | 35,348 | b | 303,286 | ||||
115,423,869 | |||||||
Household & Personal Products - 1.3% | |||||||
Central Garden & Pet Co. | 16,608 | a | 719,791 | ||||
Central Garden & Pet Co., Cl. A | 66,982 | a | 2,732,866 | ||||
e.l.f. Beauty Inc. | 81,110 | a | 2,719,618 | ||||
Edgewell Personal Care Co. | 89,494 | 3,560,071 | |||||
Inter Parfums Inc. | 29,751 | 2,483,316 | |||||
Medifast Inc. | 19,526 | 3,284,078 | |||||
USANA Health Sciences Inc. | 19,103 | a | 1,329,951 |
Description | Shares | Value ($) | |||||
Common Stocks - 99.0% (continued) | |||||||
Household & Personal Products - 1.3% (continued) | |||||||
WD-40 Co. | 22,926 | b | 4,066,385 | ||||
20,896,076 | |||||||
Insurance - 2.5% | |||||||
Ambac Financial Group Inc. | 75,216 | a | 885,292 | ||||
American Equity Investment Life Holding Co. | 129,813 | 4,875,776 | |||||
AMERISAFE Inc. | 32,755 | 1,492,318 | |||||
Assured Guaranty Ltd. | 107,867 | 6,298,354 | |||||
eHealth Inc. | 41,280 | a,b | 305,472 | ||||
Employers Holdings Inc. | 46,369 | 1,841,313 | |||||
Genworth Financial Inc., Cl. A | 859,194 | a | 3,651,575 | ||||
HCI Group Inc. | 13,465 | 921,949 | |||||
Horace Mann Educators Corp. | 69,344 | 2,375,032 | |||||
James River Group Holdings Ltd. | 62,262 | 1,479,345 | |||||
Palomar Holdings Inc. | 40,303 | a | 2,513,698 | ||||
ProAssurance Corp. | 91,665 | 2,028,546 | |||||
Safety Insurance Group Inc. | 23,637 | 2,045,782 | |||||
Selectquote Inc. | 217,599 | a | 400,382 | ||||
SiriusPoint Ltd. | 147,352 | a | 645,402 | ||||
Stewart Information Services Corp. | 45,819 | 2,504,008 | |||||
Trupanion Inc. | 58,639 | a | 3,696,016 | ||||
United Fire Group Inc. | 35,942 | 1,179,976 | |||||
Universal Insurance Holdings Inc. | 48,409 | 612,374 | |||||
39,752,610 | |||||||
Materials - 5.2% | |||||||
AdvanSix Inc. | 47,166 | 1,853,152 | |||||
American Vanguard Corp. | 45,456 | 1,064,125 | |||||
Arconic Corp. | 178,962 | a | 5,406,442 | ||||
ATI Inc. | 210,007 | a | 5,227,074 | ||||
Balchem Corp. | 54,069 | 7,340,407 | |||||
Carpenter Technology Corp. | 81,081 | 2,605,943 | |||||
Century Aluminum Co. | 87,095 | a | 687,180 | ||||
Clearwater Paper Corp. | 27,930 | a | 997,101 | ||||
Compass Minerals International Inc. | 57,581 | 2,143,741 | |||||
FutureFuel Corp. | 40,884 | 293,956 | |||||
GCP Applied Technologies Inc. | 90,864 | a | 2,862,216 | ||||
Glatfelter Corp. | 77,387 | 475,156 | |||||
H.B. Fuller Co. | 89,459 | 5,743,268 | |||||
Hawkins Inc. | 31,365 | 1,246,759 | |||||
Haynes International Inc. | 20,477 | 791,641 | |||||
Innospec Inc. | 42,068 | 4,290,936 | |||||
Kaiser Aluminum Corp. | 26,722 | 2,024,726 | |||||
Koppers Holdings Inc. | 35,677 | 839,837 | |||||
Livent Corp. | 274,033 | a,b | 6,820,681 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.0% (continued) | |||||||
Materials - 5.2% (continued) | |||||||
Materion Corp. | 34,761 | 2,848,316 | |||||
Mativ Inc. | 92,375 | 2,018,394 | |||||
Mercer International Inc. | 67,825 | 1,082,487 | |||||
Myers Industries Inc. | 61,667 | 1,500,358 | |||||
O-I Glass Inc. | 264,173 | a | 3,885,985 | ||||
Olympic Steel Inc. | 15,725 | 467,504 | |||||
Quaker Chemical Corp. | 22,617 | b | 3,668,704 | ||||
Rayonier Advanced Materials Inc. | 107,614 | a | 380,954 | ||||
Stepan Co. | 35,889 | 4,027,105 | |||||
SunCoke Energy Inc. | 137,550 | 1,017,870 | |||||
Sylvamo Corp. | 59,130 | 2,320,261 | |||||
TimkenSteel Corp. | 69,912 | a | 1,418,514 | ||||
Tredegar Corp. | 42,658 | 447,056 | |||||
Trinseo Plc | 60,320 | 2,157,646 | |||||
Warrior Met Coal Inc. | 87,182 | 2,783,721 | |||||
82,739,216 | |||||||
Media & Entertainment - 1.4% | |||||||
AMC Networks Inc., Cl. A | 49,853 | a | 1,521,514 | ||||
Cars.com Inc. | 112,136 | a,b | 1,318,719 | ||||
Cinemark Holdings Inc. | 182,431 | a | 3,343,960 | ||||
Gannett Co. | 248,875 | a | 749,114 | ||||
QuinStreet Inc. | 85,113 | a | 914,965 | ||||
Scholastic Corp. | 51,664 | 2,431,824 | |||||
Shutterstock Inc. | 39,227 | 2,216,326 | |||||
TechTarget Inc. | 44,845 | a | 2,923,446 | ||||
The E.W. Scripps Company, Cl. A | 96,890 | a | 1,381,651 | ||||
The Marcus Corp. | 37,435 | a,b | 615,057 | ||||
Thryv Holdings Inc. | 28,423 | a | 691,816 | ||||
Yelp Inc. | 111,315 | a | 3,412,918 | ||||
21,521,310 | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 4.6% | |||||||
Amphastar Pharmaceuticals Inc. | 62,511 | a | 2,337,286 | ||||
ANI Pharmaceuticals Inc. | 22,036 | a | 754,733 | ||||
Anika Therapeutics Inc. | 24,784 | a | 578,954 | ||||
Arcus Biosciences Inc. | 78,323 | a,b | 2,082,609 | ||||
Avid Bioservices Inc. | 105,254 | a,b | 2,068,241 | ||||
Cara Therapeutics Inc. | 68,618 | a | 599,721 | ||||
Coherus Biosciences Inc. | 109,985 | a,b | 931,573 | ||||
Collegium Pharmaceutical Inc. | 56,835 | a | 976,994 | ||||
Corcept Therapeutics Inc. | 160,997 | a | 4,614,174 | ||||
Cytokinetics Inc. | 144,110 | a | 6,100,176 | ||||
Dynavax Technologies Corp. | 198,901 | a,b | 2,860,196 | ||||
Eagle Pharmaceuticals Inc. | 18,683 | a | 741,715 | ||||
Emergent BioSolutions Inc. | 74,564 | a | 2,582,897 |
Description | Shares | Value ($) | |||||
Common Stocks - 99.0% (continued) | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 4.6% (continued) | |||||||
Enanta Pharmaceuticals Inc. | 31,400 | a | 1,731,710 | ||||
Harmony Biosciences Holdings Inc. | 38,918 | a | 1,974,310 | ||||
Innoviva Inc. | 106,928 | a,b | 1,533,348 | ||||
Ironwood Pharmaceuticals Inc. | 256,912 | a | 2,941,642 | ||||
iTeos Therapeutics Inc. | 33,150 | a | 810,849 | ||||
Ligand Pharmaceuticals Inc. | 28,335 | a | 2,607,670 | ||||
Myriad Genetics Inc. | 136,197 | a | 3,592,877 | ||||
Nektar Therapeutics | 308,123 | a | 1,220,167 | ||||
NeoGenomics Inc. | 212,813 | a | 2,153,668 | ||||
Organogenesis Holdings Inc. | 108,173 | a | 620,913 | ||||
Pacira Biosciences Inc. | 76,973 | a,b | 4,353,593 | ||||
Phibro Animal Health Corp., Cl. A | 34,192 | 669,137 | |||||
Prestige Consumer Healthcare Inc. | 84,804 | a | 5,114,529 | ||||
REGENXBIO Inc. | 64,642 | a | 2,027,820 | ||||
Supernus Pharmaceuticals Inc. | 90,241 | a | 2,865,152 | ||||
uniQure Nv | 60,982 | a | 1,545,894 | ||||
Vanda Pharmaceuticals Inc. | 93,450 | a | 1,007,391 | ||||
Vericel Corp. | 78,541 | a,b | 2,555,724 | ||||
Vir Biotechnology Inc. | 125,912 | a | 3,501,613 | ||||
Xencor Inc. | 98,946 | a,b | 2,838,761 | ||||
72,896,037 | |||||||
Real Estate - 7.7% | |||||||
Acadia Realty Trust | 158,639 | c | 2,717,486 | ||||
Agree Realty Corp. | 127,203 | c | 10,124,087 | ||||
Alexander & Baldwin Inc. | 123,192 | c | 2,452,753 | ||||
American Assets Trust Inc. | 89,735 | c | 2,712,689 | ||||
Anywhere Real Estate Inc. | 200,059 | a | 1,986,586 | ||||
Armada Hoffler Properties Inc. | 113,265 | c | 1,606,098 | ||||
Brandywine Realty Trust | 287,972 | c | 2,692,538 | ||||
CareTrust REIT Inc. | 162,872 | c | 3,363,307 | ||||
Centerspace | 26,004 | c | 2,233,484 | ||||
Chatham Lodging Trust | 81,126 | a,c | 986,492 | ||||
Community Healthcare Trust Inc. | 39,837 | c | 1,551,651 | ||||
DiamondRock Hospitality Co. | 354,845 | a,c | 3,292,962 | ||||
Diversified Healthcare Trust | 399,679 | c | 691,445 | ||||
Douglas Elliman Inc. | 115,115 | 690,690 | |||||
Easterly Government Properties Inc. | 152,321 | c | 3,087,547 | ||||
Essential Properties Realty Trust Inc. | 221,306 | c | 5,337,901 | ||||
Four Corners Property Trust Inc. | 135,130 | c | 3,949,850 | ||||
Franklin Street Properties Corp. | 161,005 | c | 610,209 | ||||
Getty Realty Corp. | 67,774 | c | 1,988,489 | ||||
Global Net Lease Inc. | 174,398 | c | 2,631,666 | ||||
Hersha Hospitality Trust | 55,012 | a,c | 554,521 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.0% (continued) | |||||||
Real Estate - 7.7% (continued) | |||||||
Industrial Logistics Properties Trust | 110,879 | c | 1,112,116 | ||||
Innovative Industrial Properties Inc. | 47,375 | c | 4,567,424 | ||||
iStar Inc. | 139,268 | c | 2,327,168 | ||||
LTC Properties Inc. | 66,518 | c | 2,787,104 | ||||
LXP Industrial Trust | 483,325 | c | 5,302,075 | ||||
Marcus & Millichap Inc. | 41,582 | 1,701,535 | |||||
NexPoint Residential Trust Inc. | 38,755 | c | 2,578,758 | ||||
Office Properties Income Trust | 82,627 | c | 1,716,989 | ||||
Orion Office REIT Inc. | 94,436 | b,c | 1,033,130 | ||||
RE/MAX Holdings Inc., Cl. A | 32,034 | 811,742 | |||||
Retail Opportunity Investments Corp. | 210,341 | c | 3,672,554 | ||||
RPT Realty | 142,236 | c | 1,546,105 | ||||
Safehold Inc. | 26,052 | c | 1,110,857 | ||||
Saul Centers Inc. | 22,267 | c | 1,164,119 | ||||
Service Properties Trust | 276,995 | c | 1,811,547 | ||||
SITE Centers Corp. | 306,049 | c | 4,471,376 | ||||
Summit Hotel Properties Inc. | 182,950 | a,c | 1,436,158 | ||||
Sunstone Hotel Investors Inc. | 361,978 | a,c | 4,101,211 | ||||
Tanger Factory Outlet Centers Inc. | 176,320 | c | 2,868,726 | ||||
The St. Joe Company | 55,602 | 2,336,396 | |||||
Uniti Group Inc. | 399,021 | c | 3,978,239 | ||||
Universal Health Realty Income Trust | 21,630 | c | 1,165,857 | ||||
Urban Edge Properties | 187,969 | c | 3,088,331 | ||||
Urstadt Biddle Properties Inc., Cl. A | 51,932 | c | 955,549 | ||||
Veris Residential Inc. | 134,895 | a,c | 1,881,785 | ||||
Washington Real Estate Investment Trust | 146,714 | c | 3,252,649 | ||||
Whitestone REIT | 78,396 | c | 880,387 | ||||
Xenia Hotels & Resorts Inc. | 192,198 | a,c | 3,155,891 | ||||
122,078,229 | |||||||
Retailing - 4.2% | |||||||
Abercrombie & Fitch Co., Cl. A | 85,487 | a | 1,522,523 | ||||
Academy Sports & Outdoors Inc. | 143,520 | b | 6,175,666 | ||||
America's Car-Mart Inc. | 10,193 | a | 1,055,689 | ||||
Asbury Automotive Group Inc. | 37,274 | a | 6,397,709 | ||||
Bed Bath & Beyond Inc. | 135,648 | a,b | 682,309 | ||||
Big Lots Inc. | 48,613 | b | 981,496 | ||||
Boot Barn Holdings Inc. | 50,133 | a | 3,123,286 | ||||
Caleres Inc. | 64,606 | 1,603,521 | |||||
Chico's FAS Inc. | 213,254 | a | 1,070,535 | ||||
Conn's Inc. | 26,750 | a | 251,985 | ||||
Designer Brands Inc., Cl. A | 102,672 | b | 1,481,557 | ||||
Genesco Inc. | 21,834 | a | 1,223,796 | ||||
Group 1 Automotive Inc. | 27,880 | b | 4,932,530 |
Description | Shares | Value ($) | |||||
Common Stocks - 99.0% (continued) | |||||||
Retailing - 4.2% (continued) | |||||||
Guess? Inc. | 60,873 | b | 1,151,108 | ||||
Haverty Furniture Cos. | 22,962 | 627,551 | |||||
Hibbett Inc. | 20,720 | 972,182 | |||||
Liquidity Services Inc. | 44,981 | a | 905,468 | ||||
Ll Flooring Holdings Inc. | 50,337 | a,b | 505,383 | ||||
MarineMax Inc. | 36,522 | a | 1,491,558 | ||||
Monro Inc. | 56,617 | 2,839,343 | |||||
National Vision Holdings Inc. | 133,712 | a | 3,896,368 | ||||
PetMed Express Inc. | 35,644 | b | 777,752 | ||||
Rent-A-Center Inc. | 91,515 | 2,153,348 | |||||
Sally Beauty Holdings Inc. | 181,434 | a | 2,318,727 | ||||
Shoe Carnival Inc. | 28,119 | 613,275 | |||||
Signet Jewelers Ltd. | 79,651 | b | 4,855,525 | ||||
Sleep Number Corp. | 37,724 | a | 1,699,843 | ||||
Sonic Automotive Inc., Cl. A | 33,224 | 1,390,424 | |||||
The Aaron's Company | 51,692 | 673,030 | |||||
The Buckle Inc. | 50,171 | b | 1,515,164 | ||||
The Cato Corp., Cl. A | 28,978 | 357,878 | |||||
The Children's Place Inc. | 21,873 | a | 947,976 | ||||
The ODP Corp. | 74,151 | a | 2,691,681 | ||||
Urban Outfitters Inc. | 106,551 | a,b | 2,182,164 | ||||
Zumiez Inc. | 28,412 | a | 738,712 | ||||
65,807,062 | |||||||
Semiconductors & Semiconductor Equipment - 3.3% | |||||||
Alpha & Omega Semiconductor Ltd. | 36,445 | a | 1,531,054 | ||||
Axcelis Technologies Inc. | 56,011 | a | 3,939,254 | ||||
CEVA Inc. | 39,090 | a | 1,455,321 | ||||
Cohu Inc. | 82,189 | a,b | 2,348,962 | ||||
Diodes Inc. | 76,292 | a | 6,207,880 | ||||
FormFactor Inc. | 131,253 | a | 4,667,357 | ||||
Ichor Holdings Ltd. | 48,332 | a,b | 1,510,858 | ||||
Kulicke & Soffa Industries Inc. | 99,421 | b | 4,784,139 | ||||
MaxLinear Inc. | 120,725 | a | 4,878,497 | ||||
Onto Innovation Inc. | 83,564 | a | 6,956,703 | ||||
PDF Solutions Inc. | 50,797 | a | 1,370,503 | ||||
Photronics Inc. | 104,542 | a | 2,489,145 | ||||
Rambus Inc. | 186,901 | a | 4,724,857 | ||||
SMART Global Holdings Inc. | 78,940 | a | 1,548,803 | ||||
Ultra Clean Holdings Inc. | 76,199 | a | 2,560,286 | ||||
Veeco Instruments Inc. | 86,000 | a | 1,874,800 | ||||
52,848,419 | |||||||
Software & Services - 4.1% | |||||||
8x8 Inc. | 197,090 | a | 963,770 | ||||
A10 Networks Inc. | 98,824 | 1,473,466 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.0% (continued) | |||||||
Software & Services - 4.1% (continued) | |||||||
Agilysys Inc. | 33,363 | a | 1,611,433 | ||||
Alarm.com Holdings Inc. | 77,701 | a | 5,498,900 | ||||
Cerence Inc. | 66,313 | a | 1,868,037 | ||||
Consensus Cloud Solutions Inc. | 27,099 | a | 1,464,159 | ||||
CSG Systems International Inc. | 52,888 | 3,450,942 | |||||
Digital Turbine Inc. | 148,783 | a | 2,986,075 | ||||
Ebix Inc. | 40,015 | 946,755 | |||||
EVERTEC Inc. | 99,546 | 3,881,299 | |||||
ExlService Holdings Inc. | 56,037 | a | 9,434,950 | ||||
InterDigital Inc. | 52,053 | 3,195,534 | |||||
LivePerson Inc. | 114,629 | a | 1,563,540 | ||||
Liveramp Holdings Inc. | 113,821 | a | 3,028,777 | ||||
OneSpan Inc. | 56,992 | a | 630,901 | ||||
Perficient Inc. | 58,420 | a | 6,164,478 | ||||
Progress Software Corp. | 74,273 | 3,487,860 | |||||
SPS Commerce Inc. | 60,864 | a | 7,289,073 | ||||
TTEC Holdings Inc. | 30,823 | 2,255,319 | |||||
Unisys Corp. | 115,444 | a | 1,583,892 | ||||
Xperi Holding Corp. | 175,283 | 2,937,743 | |||||
65,716,903 | |||||||
Technology Hardware & Equipment - 5.9% | |||||||
3D Systems Corp. | 217,045 | a,b | 2,482,995 | ||||
ADTRAN Holdings Inc. | 129,944 | 3,130,351 | |||||
Advanced Energy Industries Inc. | 63,130 | 5,649,504 | |||||
Arlo Technologies Inc. | 145,995 | a | 1,026,345 | ||||
Badger Meter Inc. | 49,259 | 4,738,223 | |||||
Benchmark Electronics Inc. | 58,946 | 1,507,839 | |||||
CalAmp Corp. | 62,620 | a,b | 294,940 | ||||
Comtech Telecommunications Corp. | 44,969 | 522,540 | |||||
Corsair Gaming Inc. | 54,920 | a,b | 774,372 | ||||
CTS Corp. | 54,854 | 2,231,461 | |||||
Diebold Nixdorf Inc. | 123,972 | a | 400,430 | ||||
Digi International Inc. | 58,595 | a | 1,669,372 | ||||
ePlus Inc. | 45,634 | a | 2,535,881 | ||||
Extreme Networks Inc. | 218,973 | a | 2,864,167 | ||||
Fabrinet | 61,864 | a | 5,942,656 | ||||
FARO Technologies Inc. | 30,978 | a | 1,007,405 | ||||
Harmonic Inc. | 174,286 | a | 1,903,203 | ||||
Insight Enterprises Inc. | 59,131 | a | 5,523,427 | ||||
Itron Inc. | 76,486 | a | 4,466,782 | ||||
Knowles Corp. | 155,007 | a,b | 3,061,388 | ||||
Methode Electronics Inc. | 62,451 | 2,575,479 | |||||
NETGEAR Inc. | 48,381 | a | 1,247,262 | ||||
NETSCOUT Systems Inc. | 124,872 | a | 4,442,946 |
Description | Shares | Value ($) | |||||
Common Stocks - 99.0% (continued) | |||||||
Technology Hardware & Equipment - 5.9% (continued) | |||||||
OSI Systems Inc. | 26,527 | a | 2,564,365 | ||||
PC Connection Inc. | 18,975 | 899,984 | |||||
Plantronics Inc. | 72,003 | a | 2,864,999 | ||||
Plexus Corp. | 47,103 | a | 4,425,327 | ||||
Rogers Corp. | 31,566 | a | 8,499,145 | ||||
Sanmina Corp. | 102,267 | a | 4,709,395 | ||||
ScanSource Inc. | 42,281 | a | 1,350,878 | ||||
TTM Technologies Inc. | 171,337 | a | 2,318,190 | ||||
Viavi Solutions Inc. | 384,065 | a | 5,684,162 | ||||
93,315,413 | |||||||
Telecommunication Services - .8% | |||||||
ATN International Inc. | 18,332 | 844,005 | |||||
Cogent Communications Holdings Inc. | 71,729 | 4,577,027 | |||||
Consolidated Communications Holdings Inc. | 124,900 | a | 824,340 | ||||
Gogo Inc. | 115,525 | a | 2,005,514 | ||||
Shenandoah Telecommunications Co. | 83,788 | b | 1,868,472 | ||||
Telephone & Data Systems Inc. | 165,184 | 2,611,559 | |||||
12,730,917 | |||||||
Transportation - 2.1% | |||||||
Allegiant Travel Co. | 25,587 | a | 2,950,437 | ||||
ArcBest Corp. | 41,459 | b | 3,673,267 | ||||
Atlas Air Worldwide Holdings Inc. | 44,303 | a | 3,354,180 | ||||
Forward Air Corp. | 45,446 | 4,768,649 | |||||
Hawaiian Holdings Inc. | 87,084 | a | 1,302,777 | ||||
Heartland Express Inc. | 77,148 | 1,225,110 | |||||
Hub Group Inc., Cl. A | 57,091 | a | 4,361,752 | ||||
Marten Transport Ltd. | 98,806 | 2,130,257 | |||||
Matson Inc. | 68,130 | 6,245,477 | |||||
SkyWest Inc. | 85,435 | a | 2,063,255 | ||||
Sun Country Airlines Holdings Inc. | 52,586 | a | 1,060,660 | ||||
33,135,821 | |||||||
Utilities - 2.2% | |||||||
American States Water Co. | 62,316 | 5,432,086 | |||||
Avista Corp. | 122,083 | 5,159,228 | |||||
California Water Service Group | 90,479 | 5,435,978 | |||||
Chesapeake Utilities Corp. | 30,085 | 4,125,556 | |||||
Middlesex Water Co. | 29,902 | b | 2,843,979 | ||||
Northwest Natural Holding Co. | 57,238 | 3,071,963 | |||||
South Jersey Industries Inc. | 206,112 | 7,065,519 | |||||
Unitil Corp. | 27,190 | 1,489,196 | |||||
34,623,505 | |||||||
Total Common Stocks (cost $1,044,880,077) | 1,570,304,910 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Exchange-Traded Funds - .4% | |||||||
Registered Investment Companies - .4% | |||||||
iShares Core S&P Small-Cap ETF | 69,999 | b | 7,111,198 | ||||
1-Day | |||||||
Investment Companies - .4% | |||||||
Registered Investment Companies - .4% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 2.21 | 5,659,493 | d | 5,659,493 | |||
Investment of Cash Collateral for Securities Loaned - 1.1% | |||||||
Registered Investment Companies - 1.1% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund, SL Shares | 2.21 | 16,956,773 | d | 16,956,773 | |||
Total Investments (cost $1,073,933,635) | 100.9% | 1,600,032,374 | |||||
Liabilities, Less Cash and Receivables | (.9%) | (14,576,586) | |||||
Net Assets | 100.0% | 1,585,455,788 |
ETF—Exchange-Traded Fund
REIT—Real Estate Investment Trust
a Non-income producing security.
b Security, or portion thereof, on loan. At July 31, 2022, the value of the fund’s securities on loan was $104,681,183 and the value of the collateral was $106,399,441, consisting of cash collateral of $16,956,773 and U.S. Government & Agency securities valued at $89,442,668. In addition, the value of collateral may include pending sales that are also on loan.
c Investment in real estate investment trust within the United States.
d Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
STATEMENT OF FUTURES
BNY Mellon Smallcap Stock Index Fund
July 31, 2022 (Unaudited)
Futures | ||||||
Description | Number of | Expiration | Notional | Market | Unrealized Appreciation ($) | |
Futures Long | ||||||
E-mini Russell 2000 | 84 | 9/16/2022 | 7,204,895 | 7,918,260 | 713,365 | |
Gross Unrealized Appreciation | 713,365 |
See notes to financial statements.
STATEMENT OF INVESTMENTS
BNY Mellon Smallcap Stock Index Fund
July 31, 2022 (Unaudited)
The following is a summary of the inputs used as of July 31, 2022 in valuing the fund’s investments:
Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | Level 3-Significant Unobservable Inputs | Total | |||
Assets ($) | ||||||
Investments in Securities:† | ||||||
Equity Securities - Common Stocks | 1,570,304,910 | - | - | 1,570,304,910 | ||
Exchange-Traded Funds | 7,111,198 | - | - | 7,111,198 | ||
Investment Companies | 22,616,266 | - | - | 22,616,266 | ||
Other Financial Instruments: | ||||||
Futures†† | 713,365 | - | - | 713,365 |
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the SEC under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Investments in equity securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. For open short positions, asked prices are used for valuation
purposes. Bid price is used when no asked price is available. Registered investment companies that are not traded on an exchange are valued at their net asset value. All of the preceding securities are generally categorized within Level 1 of the fair value hierarchy.
Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices. U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by an independent pricing service (the “Service”) approved by the Board Members (“Board”).These securities are generally categorized within Level 2 of the fair value hierarchy.
The Service’s procedures are reviewed by BNY Mellon under the general supervision of the Board.
Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant American Depository Receipts and futures. Utilizing these techniques may result in transfers between Level 1 and Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Financial futures, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy.
Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of BNY Mellon Investment Adviser, Inc., the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the
value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by BNY Mellon Investment Adviser Inc., or U.S. Government and Agency securities. The fund is entitled to receive all dividends, interest and distributions on securities loaned, in addition to income earned as a result of the lending transaction. Should a borrower fail to return the securities in a timely manner, The Bank of New York Mellon is required to replace the securities for the benefit of the fund or credit the fund with the market value of the unreturned securities and is subrogated to the fund’s rights against the borrower and the collateral. Additionally, the contractual maturity of security lending transactions are on an overnight and continuous basis.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund at July 31, 2022 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including interest rate risk as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default.
At July 31, 2022, accumulated net unrealized appreciation on investments was $526,098,739, consisting of $650,465,009 gross unrealized appreciation and $124,366,270 gross unrealized depreciation.
At July 31, 2022, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
Additional investment related disclosures are hereby incorporated by reference to the annual and semi-annual reports previously filed with the SEC on Form N-CSR.