Morgan Stanley Pathway Funds NCSR Certified annual shareholder report (management investment company)

Morgan Stanley Pathway Funds N-CSRCertified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-06318

CONSULTING GROUP CAPITAL MARKETS FUNDS

(Exact name of registrant as specified in charter)

2000 Westchester Avenue

Purchase, NY 10577

(Address of principal executive offices)(Zip code)

CT Corp

155 Federal Street Suite 700

Boston, MA 02110

(Name and address of agent for service)

Registrant’s telephone number, including area code: (888) 454-3965

Date of fiscal year end: August 31

Date of reporting period: August 31, 2016

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking rules.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under clearance requirements of 44 U.S.C. § 3507.

ITEM 1. REPORTS TO STOCKHOLDERS

LOGO

Consulting Group

Capital Markets Funds

Annual Report

August 31, 2016

•

Large Cap Equity Fund

•

Small-Mid Cap Equity Fund

•

International Equity Fund

•

Emerging Markets Equity Fund

•

Core Fixed Income Fund

•

High Yield Fund

•

International Fixed Income Fund

•

Municipal Bond Fund

•

Inflation-Linked Fixed Income Fund

•

Ultra-Short Term Fixed Income Fund

INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE

Table of Contents



SHAREHOLDER LETTER			I

CONSULTING GROUP CAPITAL MARKETS FUNDS PERFORMANCE SUMMARY

LARGE CAP EQUITY FUND			1

SMALL-MID CAP EQUITY FUND			4

INTERNATIONAL EQUITY FUND			8

EMERGING MARKETS EQUITY FUND			11

CORE FIXED INCOME FUND			14

HIGH YIELD FUND			16

INTERNATIONAL FIXED INCOME FUND			18

MUNICIPAL BOND FUND			20

INFLATION-LINKED FIXED INCOME FUND			22

ULTRA-SHORT TERM FIXED INCOME FUND			24

FUND EXPENSES			30

SCHEDULESOF INVESTMENTS			32

STATEMENTSOF ASSETSAND LIABILITIES			252

STATEMENTSOF OPERATIONS			254

STATEMENTSOF CHANGESIN NET ASSETS			256

STATEMENTOF CASH FLOWS			260

FINANCIAL HIGHLIGHTS			261

NOTESTO FINANCIAL STATEMENTS			267

REPORTOF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM			305

BOARD APPROVALOF MANAGEMENT AGREEMENTAND INVESTMENT ADVISORY AGREEMENTS			306

ADDITIONAL INFORMATION			310

IMPORTANT TAX INFORMATION			317

Consulting Group

Capital Markets Funds

DEAR SHAREHOLDER,

Global risk markets were volatile over the twelve months ending August 31, 2016. Over the period, the S&P 500^® Index ⁱ gained 12.54%. Despite positive returns, a number of events contributed to increased volatility and investor uncertainty. These included questions over a precipitous decline in oil prices, global central bank policy, Brexit, and the US presidential election, among others. Additionally, markets saw a transition towards “bond proxy” yield producing securities, as global interest rates remained at historic lows. For the twelve months, the Telecommunication Services and Utilities sectors posted the strongest returns, while the Energy, Financials, and Health Care sectors registered the weakest performance amongst the major S&P 500^® Indexⁱ sectors. During the period, U.S. equities were the top-performing global equity market.

All sectors in the S&P 500^® Indexⁱ generated a positive total return over the twelve month period. Telecommunication Services (+23.4%), Utilities (+20.3%), Consumer Staples (+18.1%), Information Technology (+18.7%), Industrials (+17.6%), Materials (+14.7%), and Consumer Discretionary (+9.3%), Energy (+7.7%), Financials (+7.1%), and Health Care (+5.0%).

Morgan Stanley & Co. economists expect U.S. real GDP growth will be approximately 1.7% in 2016 and 1.5% in 2017. They forecast global GDP growth to be close to 1.4% in 2016 and 1.2% in 2017.

Equity markets saw a style rotation over the period, with value outperforming growth, reversing trends in recent years. The large-cap Russell 1000^® Growth Index ⁱⁱ increased 10.5%. The Russell 1000^® Index ^iv, a large-cap index, gained 11.7% for the period. The Russell 1000^® Value Index ⁱⁱⁱ, also a large-cap index, rose 12.9% for the period. The Russell 2000^® Growth Index ^v, a small-cap index, rose by 3.54% for the period. The small-cap Russell 2000^® Index ^vii also gained over the period, as it increased by 8.6%. The Russell 2000^® Value Index ^vi, also a small-cap index, increased 13.8% for the period.

Over the twelve-month period, the MSCI All Country World Index ^ix increased 7.9% in U.S. dollar terms, the MSCI Emerging Markets Index (Net) ^x gained 11.8% in U.S. dollar terms, and the MSCI EAFE^® Index (Net) ^xi (a benchmark for developed markets) fell 0.1% in U.S. dollar terms.

Over the twelve-month period, bond market returns were mixed. The Barclays Capital U.S. Aggregate Bond Index ^xii, a general measure of the bond market, rose 6.0% for the period. Interest rates decreased during the period, as the yield on the 10-Year U.S. Treasury note moved down significantly from 2.2% to 1.6%. Riskier parts of the bond market such as U.S. High Yield debt increased during the period. The Barclays Capital U.S. Corporate High-Yield Bond Index ^xiii, a measure of lower-rated corporate bonds, gained 9.1%.

Consulting Group Capital Markets (CGCM) Funds

Large Capitalization Equity Fund returned +7.1% in the fiscal year, underperforming both the Russell 1000^® Index^iv, which returned +11.7% in the period, and the average performance of mutual funds included in the Lipper Large-Cap Core^xiv investment category, which returned +9.3%. The fund’s results incorporate the returns of the CGCM Large Capitalization Growth Investments Fund prior to the merger with the CGCM Large Capitalization Value Investments Fund in February and the returns of the merged fund thereafter. Prior to the merger, the fund’s growth emphasis relative to the core benchmark negatively impacted returns. Subsequent to the merger, favorable stock selection in the Information Technology, Consumer Staples, and Consumer Discretionary sectors enhanced returns, while poor stock selection in the Health Care sector detracted value relative to the index.

Small-Mid Capitalization Equity Fund returned -5.5% over the yearly performance period, as compared to the +8.8% increase of the Russell 2500^® Index^viii and the +7.7% return of the average mutual fund included in the Lipper Small-Cap Core^xv investment category. The fund’s results incorporate the returns of the CGCM Small Capitalization Growth Investments Fund prior to the merger with the CGCM Small Capitalization Value Investments Fund in February and the returns of the merged fund thereafter. Prior to the merger, the fund’s growth emphasis relative to the core benchmark was a large drag on returns. Subsequent to the merger, the fund’s underweighting in the Utilities and Financials sectors, which were two of the index’s worst performing sectors, added value. The fund’s overweighting in two of the market’s top performing sectors — Information Technology and Health Care — aided returns. However, the fund underperformed the market in the Health Care, Financials, and Information Technology sectors due to stock selection, partially offsetting the positive sector allocations.

International Equity Fund returned +1.0% in the annual reporting period that ended on August 31, 2016, as compared to the -0.1% return of the MSCI EAFE^® Index (Net)^xi and the -0.2% return for the average mutual fund included in Lipper’s International Large-Cap Core^xvi investment category. Favorable stock selection in France and Japan and exposure to Korea aided returns over the fiscal annual period, while unfavorable stock selection in the United Kingdom and the fund’s underweight to the Australian market detracted value. From a sector perspective, the fund’s overweight in the Information Technology sector and underweight in Financials added value, as did outperformance in the Information Technology, Health Care, and Consumer Discretionary sectors. Underperformance in the Financials and Industrials sectors detracted value, as did the fund’s underweighting in REITs.

Emerging Markets Equity Fund registered twelve-month performance of +15.3% and outperformed both the +11.8% return of the MSCI Emerging Markets Index (Net)^x and the +10.1% return of the average mutual fund included in Lipper’s Emerging Markets^xvii investment category. Positive stock selection in China and Taiwan added value, as did the fund’s overweight in Indonesia and Brazil. The fund’s underweight to Korea and overweight to India detracted value. Favorable stock selection in the Financials, Consumer Staples, and Information Technology sectors added value, while underperformance in Health Care and Materials detracted value.

Core Fixed Income Fund returned +5.8% in the fiscal year, slightly trailing the +6.0% return of its market benchmark, the Barclays Capital U.S. Aggregate Bond^TM Index^xii, but exceeding the +5.6% increase for the average mutual fund included in Lipper’s Core Bond^xviii investment category. While the fund’s overweight in the investment grade credit and high yield sectors added value relative to the index, unfavorable security selection detracted value.

High Yield Fund returned +4.0% in the annual fiscal reporting period, below the +9.1% return of the Barclays Capital U.S. Corporate High-Yield Index^xiii and the +6.1% average return of mutual funds included in Lipper’s High Yield^xix investment category. The fund was negatively impacted by both poor sector selection and poor security selection and did not participate fully in the recovery in the high yield market in the second half of the fiscal year after reducing its exposure to CCC credits.

International Fixed Income Fund returned +9.7%, as compared to the +9.0% return of the Citigroup Non-USD World Government Bond Index (USD) Hedged^xx and the +7.7% return for the average mutual fund included in Lipper’s International Income^xxi investment category. Local market sector allocations added value, while country allocations negatively impacted performance.

Municipal Bond Fund’s twelve-month performance of +6.1% in the fiscal period ended August 31, 2016 fell short of the +6.9% return of the Barclays Capital U.S. Municipal Bond Index^xxii, as well as the +7.0% increase in the average mutual fund included in Lipper’s General & Insured Municipal Debt^xxiii investment category. An overweight to shorter duration securities and an underweight to lower-quality, long dated, zero coupon securities detracted from performance. The fund’s increased exposure to the longer end of the maturity curve and an overweight to spread sectors such as hospitals and higher education added value relative to the index.

Inflation-Linked Fixed Income Fund and Ultra-Short Fixed Income Fund were incepted on March 15, 2016. Since inception through August 31, 2016, the Inflation-Linked Fixed Income Fund returned +4.6%, which matched the return of the Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index^xxiv. Duration positioning

detracted slightly from returns, while yield curve positioning was additive. The fund’s spread sector positioning focused primarily on high-quality sources of yield such as corporate issues concentrated within financials.

Ultra-Short Fixed Income Fund returned +0.9% and outperformed the Citigroup 3-Month U.S. Treasury Bill Index^xxv, which returned +0.1%. Relative to the index, the fund benefitted from holdings in investment grade credit and select holdings of high yield and securitized credit.

Additional information regarding the investment managers of the CGCM Funds and commentary specific to each individual sub-adviser is available in the Annual Report following this Shareholder Letter.

We thank you for your continued confidence in Morgan Stanley Wealth Management and support as shareholders of the CGCM Funds.

Sincerely,

David Berdon

Chief Executive Officer

III

Although the statements of fact and data contained herein have been obtained from, and are based upon, sources the firm believes reliable, we do not guarantee their accuracy, and any such information may be incomplete or condensed. All opinions included in this report constitute the firm’s judgment as of the date herein, and are subject to change without notice. This material is for informational purposes only, and is not intended as an offer or solicitation with respect to the purchase or sale of any security. This report may contain forward-looking statements, and there can be no guarantee that they will come to pass. The index returns shown are preliminary and subject to change. Past performance is not a guarantee of future results.

Index Definitions

i.	The S&P 500^® Index tracks the performance of 500 widely held, large-capitalization U.S. stocks. Please note that an investor cannot invest directly in an index.

ii.

The Russell 1000^® Growth Index measures the performance of those Russell 1000^® Index companies with higher price-to-book ratios and higher forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

iii.

The Russell 1000^® Value Index measures the performance of those Russell 1000^® Index companies with lower price-to-book ratios and lower forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

iv.	The Russell 1000^® Index measures the performance of the 1,000 largest U.S. companies based on the market capitalization. Please note that an investor cannot invest directly in an index.

The Russell 2000^® Growth Index measures the performance of those Russell 2000^® Index companies with higher price-to-book ratios and higher forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

vi.

The Russell 2000^® Value Index measures the performance of those Russell 2000^® Index companies with lower price-to-book ratios and lower forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

vii.	The Russell 2000^® Index measures the performance of the 2,000 smallest companies in the Russell 3000^® Index. Please note that an investor cannot invest directly in an index.

viii.

The Russell 2500^® Index includes the smallest 2,500 U.S. companies out of the Russell 3000^® Index universe. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

ix.	The MSCI All Country World Index is a free float-adjusted market capitalization index that is designated to measure equity market performance in the global developed emerging markets. Please note that an investor cannot invest directly in an index.

The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index (Net) consists of the following 21 emerging market country indexes: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to nonresident institutional investors who do not benefit from double taxation treaties. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

xi.

The Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE^®) Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. The MSCI EAFE^® Index consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

xii.

The Barclays Capital U.S. Aggregate Bond Index is a broad-based index that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related, and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

xiii.

The Barclays Capital U.S. Corporate High Yield Bond Index measures the market of U.S. dollar-denominated, non-investment grade, fixed rate, taxable corporate bonds. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

xiv.

The Lipper Large-Cap Core Funds Average are equally weighted total returns using all the active funds available within the category of funds that, by portfolio practice, invest at least 75% of their equity assets in companies with market capitalizations (on a three-year weighted basis) greater than 300% of the dollar weighted median market capitalization of the middle 1,000 securities of the S&P SuperComposite 1500^® Index. Large-cap core funds have more latitude in the companies in which they invest. These funds typically have an average price-to-earnings ratio, price-to-book ratio, and three-year sales-per-share growth value, compared to the S&P 500^® Index. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

xv.

The Lipper Small-Cap Core Funds Average are equally weighted total returns using all the active funds available within the category of funds that, by portfolio practice, invest at least 75% of their equity assets in companies with market capitalizations (on a three-year weighted basis) less than 250% of the dollar weighted median of the smallest 500 of the middle 1,000 securities of the S&P SuperComposite 1500^® Index. Small-cap core funds have more latitude in the companies in which they invest. These funds typically have an average price-to-earnings ratio, price-to-book ratio, and three-year sales-per-share growth value, compared to the S&P SmallCap 600^® Index. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

xvi.

The Lipper International Large-Cap Core Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that, by portfolio practice, invest at least 75% of their equity assets in companies outside of the U.S. with market capitalizations (on a three-year weighted basis) above Lipper’s international large-cap floor. International large-cap core funds typically have average characteristics compared to their large-cap-specific subset of the MSCI EAFE^® Index. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

xvii.

The Lipper Emerging Markets Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that seek long-term capital appreciation by investing at least 65% of total assets in emerging market equity securities, where “emerging market” is defined by a country’s GNP per capita or other economic measures. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

xviii.

The Lipper Core Bond Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that invest at least 85% of their assets in domestic investment-grade debt issues (rated in top four grades) with any remaining in investment in nonbenchmark sectors such as high-yield, global, and emerging market debt. These funds maintain dollar-weighted average maturities of five to ten years. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

xix.

The Lipper High Yield Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that aim at high (relative) current yield from fixed income securities, have no quality or maturity restrictions, and tend to invest in lower grade debt issues. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

xx.	The Citigroup Non-USD World Government Bond Index (USD) Hedged and Unhedged are each sub-indices of the Citigroup World Government Bond Index (WGBI), which is comprised of the global sovereign debt of over 20 countries representative in the Americas, EMEA, EMU, Asia Pacific, and Japan

regions. The Non-U.S. Dollar WGBI includes all WGBI markets except the United States and is stated in U.S. dollar hedged or unhedged base currency terms. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

xxi.

The Lipper International Income Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that state in their prospectus that they invest primarily in U.S. dollar and non-U.S. dollar debt securities of issuers located in at least three countries, excluding the United States, except in periods of market weakness. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

xxii.

The Barclays Capital U.S. Municipal Bond Index covers the U.S. dollar-denominated long-term tax exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds, and prerefunded bonds. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

xxiii.

The Lipper General & Insured Municipal Debt Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that either invest primarily in municipal debt issues rated in the top four credit ratings or invest primarily in municipal debt issues insured as to timely payment. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

xxiv.

Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index — The Barclays US TIPS Index is an unmanaged market index comprised of all US Treasury Inflation Protected Securities rated investment grade (Baa3/BBB- or better), have at lease one year to final maturity, and at least $250 million par amount outstanding.

xxv.

Citigroup 3-Month U.S. Treasury Bill Index — Equal dollar amounts of three-month Treasury bills are purchased at the beginning of each of three consecutive months. As each bill matures, all proceeds are rolled over or reinvested in a new three-month bill. The income used to calculate the monthly return is derived by subtracting the original amount invested from the maturity value. The yield curve average is the basis for calculating the return on the index. The index is rebalanced monthly by market capitalization.

Risk Considerations

Equity securities may fluctuate in response to news on companies, industries, market conditions, and general economic environment.

Investing in foreign markets entails risks not typically associated with domestic markets, such as currency fluctuations and controls, restrictions on foreign investments, less governmental supervision and regulation, and the potential for political instability. These risks may be magnified in countries with emerging markets and frontier markets, since these countries may have relatively unstable governments and less established markets and economies.

Investing in small- to medium-sized companies entails special risks, such as limited product lines, markets, and financial resources, and greater volatility than securities of larger, more established companies.

The value of fixed income securities will fluctuate and, upon a sale, may be worth more or less than their original cost or maturity value. Bonds are subject to interest rate risk, call risk, reinvestment risk, liquidity risk, and credit risk of the issuer.

High yield bonds (bonds rated below investment grade) may have speculative characteristics and present significant risks beyond those of other securities, including greater credit risk, price volatility, and limited liquidity in the secondary market. High yield bonds should comprise only a limited portion of a balanced portfolio.

Yields are subject to change with economic conditions. Yield is only one factor that should be considered when making an investment decision.

Asset allocation and diversification do not assure a profit or protect against loss in declining financial markets.

The indices are unmanaged. An investor cannot invest directly in an index. They are shown for illustrative purposes only and do not represent the performance of any specific investment.

Because of their narrow focus, sector investments tend to be more volatile than investments that diversify across many sectors and companies.

Growth investing does not guarantee a profit or eliminate risk. The stocks of these companies can have relatively high valuations. Because of these high valuations, an investment in a growth stock can be more risky than an investment in a company with more modest growth expectations.

Value investing does not guarantee a profit or eliminate risk. Not all companies whose stocks are considered to be value stocks are able to turn their business around or successfully employ corrective strategies which would result in stock prices that do not rise as initially expected.


Performance of the Consulting Group Capital Markets Funds For the Year/Period Ended August 31, 2016†*

Large Cap Equity Fund	7.08	%
Russell 1000^® Index (1)	11.69	%

Small-Mid Cap Equity Fund	-5.51	%
Russell 2500^® Index (2)	8.79	%

International Equity Fund	0.96	%
The Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE^®) Index (Net) (3)	-0.12	%

Emerging Markets Equity Fund	15.31	%
MSCI Emerging Markets Index (Net) (4)	11.83	%

Core Fixed Income Fund	5.84	%
Barclays Capital U.S. Aggregate Bond^TM Index (5)	5.97	%

High Yield Fund	4.02	%
Barclays Capital U.S. Corporate High-Yield Index (6)	9.07	%

International Fixed Income Fund	9.56	%
Citigroup Non-USD World Government Bond Index (USD) Hedged (7)	9.00	%

Municipal Bond Fund	6.14	%
Barclays Capital U.S. Municipal Bond Index (8)	6.88	%

Inflation-Linked Fixed Income Fund***	4.59	%
Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index (9)	5.37	%

Ultra-Short Term Fixed Income Fund***	0.89	%
Citigroup 3-Month U.S. Treasury Bill Index (10)	0.18	%

Entities previous to reorganization on February 5, 2016. (See Note 8)

Large Capitalization Growth Investments
Russell 1000^® Growth Index (11)	10.54	%

Large Capitalization Value Equity Investments
Russell 1000^® Value Index (12)	12.92	%

Small Capitalization Growth Investments
Russell 2000^® Growth Index (13)	3.55	%

Small Capitalization Value Equity Investments
Russell 2000^® Value Index (14)	13.80	%

See pages 26 through 29 for all footnotes.

LOGO

Large Cap Equity Fund

ABOUTTHE SUBADVISERS

•Columbia Management Investment Advisers, LLC (“CMIA”)

CMIA uses a combination of fundamental and quantitative analysis with risk management, including cross-correlation analysis, in identifying investment opportunities and constructing it’s portion of the Fund’s portfolio. In selecting investments, CMIA considers, among other factors:

· overall economic and market conditions; and

· the financial condition and management of a company, including its competitive position, the quality of its balance sheet and earnings, its future prospects, and the potential for growth and stock price appreciation.

CMIA may sell a security when the security’s price reaches a target set by CMIA; if CMIA believes that there is deterioration in the issuer’s financial circumstances or fundamental prospects; if other investments are more attractive; or for other reasons.

•BlackRock Financial Management, Inc. (“BlackRock”)

BlackRock Financial Management, Inc. employs a “passive” management approach, attempting to invest in a portfolio of assets whose performance is expected to match approximately the performance of the Russell 1000^® Index. The Fund will be substantially invested in securities in the Russell 1000^® Index, and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the Russell 1000^® Index.

•Lazard Asset Management, LLC (“Lazard”)

Lazard, an indirect, wholly-owned subsidiary of Lazard Ltd., is known for its global perspective on investing and years of experience with global, regional and domestic portfolios. With more than 300 investment personnel worldwide, Lazard offers investors of all types an array of equity, fixed income, and alternative investment solutions from its network of local offices in ten different countries. Its team-based approach to portfolio management helps Lazard to deliver robust and consistent performance over time, and strong client relationships allow them to understand how to employ their capabilities to its clients’ advantage.

Lazard manages an all cap, concentrated strategy designed to leverage the best collection of ideas from the US Equity team. It is benchmark-agnostic, seeking to outperform any broad-based market index (i.e., S&P 500^® Index, Russell 1000^® Index, Russell 3000^® Index) by investing in companies that compound earnings and capital and by taking advantage of valuation anomalies.

For the period of September 1, 2015, through August 31, 2016, the Sub-advisers for CGCM Large Cap Equity Fund (“Fund”) were Columbia Management Investment Advisers, LLC (“CMIA”), BlackRock Financial Management, Inc. (“BlackRock”), Lazard Asset Management, LLC (“Lazard”), Delaware Investments Fund Advisers (“Delaware”), Wedgewood Partners, Inc. (“Wedgewood”), and Lyrical Asset Management, LP (“Lyrical”).

The portion of the Fund managed by Columbia Threadneedle outperformed the Fund’s market index benchmark, the Russell 1000^® Growth Index, for the period of March 4, 2016 — August 31, 2015. Overall our high-quality, high-growth companies fared well, with many companies exceeding revenue and earnings expectations. These strong underlying fundamentals were in stark contrast to the broader market, which in this modest- to low-growth trajectory economy, has struggled to generate positive earnings growth. Toward the end of the period, volatility increased, as the much-anticipated BREXIT referendum caught the market off guard. The sell-off proved to be short-lived, as U.S. equities rallied strongly to close out the period. The bulk of the outperformance occurred in the information technology sector. The portfolio also outperformed on a relative basis in the consumer discretionary and consumer staples sectors. These positives outweighed lesser results in the health care and materials sectors, which detracted. In the information technology sector, holdings in ecommerce leaders Alibaba and MercadoLibre were notable contributors. In June, our position in professional social networking firm LinkedIn rallied significantly as the company agreed to be acquired by Microsoft. The strategy’s holdings in the software industry also performed well. Ecommerce leader Amazon.com and electric vehicle manufacturer Tesla drove relative outperformance in the consumer discretionary sector. In consumer staples, energy drink manufacturer Monster Beverage performed well. In terms of detractors, political rhetoric in the highly polarized Presidential race has cast an overhang on the portfolio’s biotech and pharmaceuticals holdings, as drug pricing has been a political hot point. While political rhetoric can lead to indiscriminate selling pressure, we continue to believe that our companies benefit from innovation and favorable demographics — remaining extremely attractive for long term investors. In materials, a position paint manufacturer Sherwin Williams did not keep pace in the materials sector.

The portion of the Fund managed by BlackRock outperformed the Fund’s market index benchmark, the Russell 1000^® Index, for the year ended August 31, 2016. During the period, U.S. equities capitalized on the upward momentum from the beginning of the year, which continued through the latter half of 2016 largely driven by healthy macro-economic data and positive earnings surprises. Domestic equity markets posted gains despite increased volatility in June from the “Brexit”, i.e., the United Kingdom’s vote to leave the European Union. Following the vote, equity markets declined worldwide and investors rushed to high quality assets, driving U.S. Treasury yields further down. The outperformance of the Fund compared to its benchmark was primarily driven by security sampling.

•Delaware Investments Fund Advisers (“Delaware”)

Delaware will invest under normal circumstances, at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in securities of large-capitalization companies. Delaware invests primarily in securities of large-capitalization companies that the Manager believes have long-term capital appreciation potential. Delaware currently defines large-capitalization stocks as those with market capitalizations of $5 billion or greater at the time of purchase. Typically, the Manager seeks to select securities that it believes are undervalued in relation to their intrinsic value, as indicated by multiple factors, including the earnings and cash flow potential or the asset value of the respective issuers. The Manager also considers a company’s plans for future operations on a selective basis. The Manager may sell a security if it no longer believes the security will contribute to meeting the investment objective of the Fund.

Wedgewood Partners, Inc. (“Wedgewood”) seeks long-term capital appreciation by investing in equity securities of large capitalization companies that Wedgewood believes have above-average growth prospects. The Fund invests primarily in common stocks. The Fund considers companies with market capitalizations in excess of $5 billion to be large capitalization companies. The Fund is non-diversified and invests in a limited number of companies, generally holding securities of approximately 20 companies. The Fund invests primarily in the securities of U.S. companies, but it may also invest outside of the U.S. Wedgewood seeks investments in market leaders with dominant products or services that are irreplaceable or lack substitutes in today’s economy. Wedgewood invests for the long-term, and expects to hold securities, in many cases, for more than 5 years.

Market Overview

Markets rose during the March through August period and economic data were mixed, as payroll growth generally exceeded expectations, but annualized GDP growth largely disappointed. Although US markets fell sharply in late-June due to the uncertainty caused by the United Kingdom’s vote to leave the European Union, they rebounded into the third quarter, as investors gained more confidence in the US economy’s ability to withstand global geopolitical risks. In light of an improving economic picture toward the end of the period, hawkish comments by Federal Open Market Committee officials raised expectations for a 2016 rate hike.

Portfolio Review

Stock selection in the information technology sector contributed to performance. Shares of online marketplace eBay rose after the company reported strong quarterly results and management raised guidance for the year, driven by strong gross merchandise volume growth. Stock selection in the health care sector also helped returns. Shares of animal health company Zoetis rose after the company reported strong quarterly results and management raised guidance for the year, citing solid operational performance.

In contrast, stock selection in the consumer discretionary sector hurt returns. Shares of Norwegian Cruise Line fell after management reduced its guidance for the year, citing slower demand trends in Europe. A lack of exposure to financials also hurt returns, as the sector was among the best performers in the S&P 500 benchmark during the period.

Delaware Investments began managing the large cap value portfolio in January 2016. From inception through the end of August 2016, the portfolio had a gross total return of 16.9% compared to 16.2% for the Russell 1000^® Value Index. At the portfolio level, relative outperformance versus the benchmark came from stock selection. The portfolio’s investments in the financial sector made the largest contribution to relative returns. As a group, the portfolio’s four financial stocks rose 20.6% versus 13.8% for those in the benchmark. Investments in the energy sector also made a notable contribution. The portfolio’s five energy stocks returned 23.1%, on average, compared to 18.7% for the sector in the benchmark. The largest drags on relative returns came from investments in the industrial and information technology sectors. In industrials, the portfolio’s three holdings trailed those in the broader sector, 16.4% versus 20.6%. Similarly, in the technology sector, stock selection resulted in a performance shortfall. The portfolio’s four technology holdings gained 19.8% compared to 24.4% for the sector in the benchmark. The investment team believes the U.S. stock market is fully valued and expects to see ongoing softness in corporate revenue and earnings growth. Against this backdrop, the team is emphasizing quality, defensiveness and attractive relative value. It’s focused on companies with good balance sheet strength and stable demand profiles for their products and services. The portfolio remains overweight in consumer staples, healthcare and telecommunication services and underweight in most of the more-cyclical areas of the market.

Please note these are partial year returns, as the Wedgewood and Consulting Group Capital Markets (CGCM) relationship was incepted on March 1, 2016. Performance for the Wedgewood Partners’ Large Cap Focused Growth Consulting Group Capital Markets Fund from inception of March 1, 2016 to the period ended August 31, 2016 (net-of-fees) was +6.16% compared with the Russell 1000^® Growth Index at 9.6% for the same time period. Positive selection in Consumer Discretionary (Ross Stares and LKQ), Consumer Staples (Kraft Heinz) and Financials (Charles Schwab) helped relative performance. However, these were more than offset by a negative selection in Producer Durables (Stericycle), Technology (Cognizant Technology Solutions), and Healthcare (Perrigo). Further, the allocation to a higher position in cash detracted from results during this time period.

The portion of the Fund managed by Lyrical outperformed the Fund’s market index benchmark, the Russell 1000^® Value Index for the period from March 2, 2016, through August 31, 2016. The reporting period was positive for equity markets as stocks bounced back after a sharp selloff in the first six weeks of 2016. Lyrical invests purely on a bottom up basis, and performance is

Lyrical Asset Management LP (“Lyrical”) employs a deep value style with a high quality focus. Lyrical employs a value investing philosophy and believes that a portfolio of companies with low valuations relative to their long-term normalized earnings power will outperform the overall market over time and unlike some traditional value investors who are willing to own any business at the right price, Lyrical’s philosophy is to invest only in businesses that it believes are of good quality. Lyrical invests only in the common stock of companies within its investable universe, which is the top 1,000 U.S. listed stocks by market capitalization.

The following graph depicts the performance of Russell 1000^® Index¹ vs. the Russell 1000^® Growth Index¹¹ vs. the Lipper Large-Cap Core Funds Average²³ and the Lipper Large-Cap Growth Funds Average¹⁵

always a function of stock selection. Lyrical stocks are typically unique businesses, that are not representative of the sectors they are assigned to. As such, the relative performance of sectors and whether Lyrical is under or over weights, has little value in analyzing return attribution. Rather, in analyzing our portfolio’s performance attribution, we find it helpful to examine both the investment success rate and any skew in the distribution of returns. For the period, 83% of the stocks in the portfolio were positive, and 53% outperformed the Russell 1000^® Value Index. Skew was also a positive factor. The outperformers in the portfolio outperformed by an average margin of 11%, which was greater than the 9% average margin of underperformance for the underperformers.

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2016

LARGE CAP EQUITY FUND

Comparison of $10,000 Investment in the Portfolio with the Russell 1000^® Index, the Russell 1000^® Growth Index, the
Lipper Large-Cap Core Funds Average and the Lipper Large-Cap Growth Funds Average

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The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.


LARGE CAP EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2016^†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			Russell 1000^® Index***			Russell 1000^® Growth Index***			Lipper Large-Cap Core Funds Average***			Lipper Large-Cap Growth Funds Average***
Since inception 11/18/1991		8.06	%		6.21	%		9.71	%		8.75	%		8.91	%		8.81	%
10 year		8.19			5.99			7.64			9.11			6.62			7.92
5 year		13.69			10.91			14.60			14.74			12.97			13.14
3 year		11.60			8.61			12.02			13.33			10.13			11.55
1 year		7.08			4.43			11.69			10.54			9.34			6.63

See pages 26 through 29 for all footnotes.

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Small-Mid Cap Equity Fund

ABOUTTHE SUBADVISER

•Neuberger Berman Investment Advisers LLC (“Neuberger Berman”)

Neuberger Berman employs in-depth research to identify out-of-favor small cap companies selling at a significant discount to intrinsic value, where there is a dynamic plan or event that is expected to both enhance value and narrow the price/value gap. Neuberger Berman’s analysts seek to invest when there is a true disconnect between reality and market perception – something that occurs regularly in particular types of companies. For example, we believe the market tends to demonstrate inefficiency in pricing companies with complex corporate structures since many investors will not take the time to understand them. Neuberger Berman’s valuation approach resembles the due diligence effort that a private equity firm might employ to evaluate the purchase of an entire company. Neuberger Berman’s analysts also focus on investing in businesses where management has a significant ownership stake as, in our view, such companies tend to be more aligned with shareholders’ interests.

•Frontier Capital Management Co., LLC (“Frontier”)

Frontier is a research-driven firm specializing in the management of growth-oriented U.S. equity portfolios. Frontier believes that growth must be purchased at a reasonable price and that fundamental, bottom-up research is the cornerstone to adding value. The firm’s philosophy since its founding in 1980 is that stock prices ultimately follow earnings growth. Frontier believes that there are three key drivers of long-term, consistent performance and look for companies that possess, improving business models; unrecognized earnings power; and attractive valuations.

•Hahn Capital Management LLC

The Hahn Capital Management mid-cap value strategy employs a bottom-up investment process to construct a portfolio of U.S. mid-cap companies that Hahn’s mid-cap value investment team believes possess a combination of high quality balance sheets, sustainable & durable business models, superior management and an attractive valuation relative to Hahn’s estimate of underlying intrinsic value. Protection of capital is the strategy’s primary goal with the ability to compound earnings an important secondary goal.

For the period of September 1, 2015, through August 31, 2016, the Sub-advisers for CGCM Small-Mid Cap Equity Fund (“Fund”) were Neuberger Berman Investment Advisers, LLC (“Neuberger Berman”), Frontier Capital Management Co., LLC (“Frontier”), Hahn Capital Management, LLC, Rutabaga Capital Management, LLC (“Rutabaga”), Westfield Capital Management Company, L.P. (“Westfield”), and BlackRock Financial Management, Inc. (“BlackRock”).

The Neuberger Berman sleeve of the Fund underperformed the Fund’s benchmark, the Russell 2000^® Value Index, since inception (3/1/2016) through August 31, 2016. Given a backdrop of subdued economic growth, the overarching theme to the investment landscape of 2016 has been the search for income. With bond yields near historic lows, many investors have turned their attention to dividend paying companies. Real Estate Investment Trusts, Utilities and Consumer Staples have seen significant appreciation from investors hungry for income. Even many non-cyclical companies that don’t pay dividends but that generate high levels of discretionary cash flow are now viewed as fixed income surrogates. The apparent preference for dividends and free cash flow, coupled with doubts about the vibrancy of the global economy, presents a challenge to our investing style.

At the core of our strategy is an expectation of a return to growth or cyclical recovery. It is the prospect of a material improvement in a company’s cash flow, and financial strength beyond what investors currently expect which intrigues us. In 2015, when sentiment was that the Federal Reserve would hike interest rates several times in 2016, we outperformed the Fund’s benchmark. This year the prevailing “slower economy and lower for longer” interest rate mindset has caused our stocks to lag the market rally.

All eyes remain fixed on the Presidential election and the Federal Reserve. While we cannot predict the outcome or the market’s reaction, we firmly believe that the portfolio is attractively valued.

The portion of the fund managed by Frontier trailed the benchmark for the one year period ended August 31, 2016 with a gain of 3.5% versus the 7.0% advance of the Russell Midcap^® Growth Index. The majority of underperformance was the result of negative stock selection. Specifically within health care, we incurred stock specific setbacks in the biotech and specialty pharmaceutical space in terms of new product development. Within consumer staples, increased competitive pressures in the health & nutritional industry adversely impacted our investments. Examining sector allocation, we were hindered by our positioning in these same sectors. We remain overweight health care given its attractive innovation and secular growth characteristics. We continue to be underweight consumer staples as we view valuations as extended and growth muted.

Attribution was strongest in technology and consumer discretionary. Specifically in technology, investments in video gaming firms (Activision and Electronic Arts) as well as financial data processing companies (Global Payments and Vantiv) performed well. In consumer discretionary our focus on improved fundamentals for lower income consumers led to solid gains.

•Rutabaga Capital Management LLC (“Rutabaga”)

Rutabaga focuses exclusively on micro- and small capitalization stocks and looks to unearth uncommon or currently out-of-favor stocks. The firm’s analysts employ extensive bottom-up fundamental research to identify high quality companies with catalysts to increase margins and intrinsic value but are neglected or misperceived by the market.

•Westfield Capital Management Company, L.P. (“Westfield”)

Westfield favors investing in earnings growth stocks given a conviction that stock prices follow earnings progress and that they offer the best opportunity for superior real rates of return. Reasonably priced stocks of companies with high foreseen earnings potential are best identified through in-depth, fundamental research. It is Westfield’s belief that the small capitalization portion of the market is under-researched, and therefore less efficient, than the large capitalization sector.

•BlackRock Financial Management, Inc. (“BlackRock”)

BlackRock Financial Management, Inc. employs a “passive” management approach, attempting to invest in a portfolio of assets whose performance is expected to match approximately the performance of the Russell 2500^® Index. The Fund will be substantially invested in securities in the Russell 2500^® Index, and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the Russell 2500^® Index.

After three consecutive years of flat S&P 500 operating earnings, Wall Street is forecasting 14% earnings growth in 2017. Expectations for a sharp acceleration seem overly optimistic, as such, selectivity will be vital.

We continue to find attractive investments in gaming software, transaction processing, information services, health care, infrastructure materials and wireless communications. Conversely, we have become more concerned about consumer fundamentals and valuations in safe haven sectors such as REITs, utilities and staples and have positioned the portfolio accordingly.

The portion of the Fund managed by Hahn Capital Management underperformed the Fund’s benchmark, the Russell Midcap^® Value Index, for the year ended August 31, 2015. The Russell Midcap^® Value Index was little changed in the fourth quarter before declining precipitously during the first six weeks of 2016. U.S. markets then started a rally that was unabated save for a brief, sharp sell-off at the end of June related to the surprise decision by U.K. voters to exit the European Union. The majority of our underperformance during the period was concentrated in economically sensitive stocks, particularly our holdings in Industrials, Consumer Discretionary and Financials. In industrials, the key detractors have been Wabtec, Snap-On and Covanta as the stronger dollar and the generally weakening growth outlook for global manufacturing caused shares to underperform the benchmark. In the Consumer Discretionary sector, key detractors included retailer Nordstrom and branded clothing companies Carters and Hanesbrands. Our consumer discretionary companies have experienced a slow-down in growth due to a cautious consumer spending environment. Returns in the financials sector were held back by real estate services company CBRE Group and our exposure to banks with CIT Group and BankUnited being the primary detractors. As U.S. interest rates have continued to decline during 2016, the banking industry stocks have come under considerable pressure due to concerns about future bank profitability and growth prospects. On the positive side, our materials sector exposure was a significant positive contributor, including portfolio companies Reliance Steel and Albemarle. Reliance Steel saw meaningful margin expansion due to lower steel input prices and Albemarle is experiencing a global boom in demand for Lithium, one of its key products, due to rising demand for batteries in the electric car industry. It is not unusual for our strategy to underperform during the late stages of a bull market. With valuations at very rich levels and economic growth slowing perceptibly, risk is rising in U.S markets. Managing risk is at the core of our philosophy and process, and our strategy tends to outperform substantially during market dislocations and periods of greater volatility.

The portion of the Fund managed by Rutabaga slightly outperformed the benchmark, the Russell 2500^® Index, for the one-year period ended August 31, 2016. Sector allocation was a headwind. Rutabaga has no exposure to Utilities, which was the strongest performer during the time period, and we did have some exposure to the energy sector, which was the worst performing sector for the fiscal year. The U.S. equity markets have been reasonably robust during this time period in the face of continued global economic sluggishness and slowing earnings growth for domestic companies. Nevertheless, the investment team’s pipeline of new ideas remains healthy. Rutabaga remains committed to finding companies that are neglected and attractively valued and that possess internal catalysts to grow their earnings faster than other investors are expecting.

The CGCM Small-Mid Cap Growth Fund (“the portfolio”) returned -1.58% (gross) during the fiscal year ended August 31, 2016, underperforming the Russell 2000^® Growth Index (the “index”), which gained 3.55%. The Industrials and Health Care sectors accounted for the majority of the relative performance shortfall. The portfolio’s lack of exposure to Consumer Staples and Telecommunication Services, which were the index’s best performing sectors during the period, also held back relative results. Investments in Information Technology and Financials were the most significant sources of relative gains.

The Industrials sector was the portfolio’s worst relative performer. While our investments in industrial machinery and trading companies & distributors posted double-digit gains, their

The following graph depicts the performance of Russell 2500^® Index² vs. the Russell 2000^® Growth Index¹³ vs. the Lipper Small-Cap Core Funds Average²⁴ and the Lipper Small-Cap Growth Funds Average¹⁶

positive impact was offset by stock-specific weakness within airlines and heavy electrical equipment. Most of the underperformance in the Health Care sector stemmed from our biotechnology, health care services, and pharmaceutical stocks. The biopharmaceuticals group was marked by significant volatility during the period — the Nasdaq Biotech Index was down 17.58%, a challenging environment for investing.

The Information Technology sector contributed positively to excess returns, aided by successful stock picking across multiple sub-industries. Most of the relative gains came from the portfolio’s holdings in semiconductors, IT consulting and services, and data processing. Additionally, our investments in Financials outperformed broadly during the period. As price action within the sector tends to be closely correlated with macro-economic news and the direction of interest rates, we continue to focus on idiosyncratic ideas that can outperform regardless of the rate environment.

The portion of the Fund managed by BlackRock underperformed the Fund’s market index benchmark, the Russell 2500^® Index, for the year ended August 31, 2016. During the period, U.S. equities capitalized on the upward momentum from the beginning of the year, which continued through the latter half of 2016 largely driven by healthy macro-economic data and positive earnings surprises. Domestic equity markets posted gains despite increased volatility in June from the “Brexit”, i.e., the United Kingdom’s vote to leave the European Union. Following the vote, equity markets declined worldwide and investors rushed to high quality assets, driving U.S. Treasury yields further down. The underperformance of the Fund compared to its benchmark was primarily driven by security sampling and transaction costs.

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2016

SMALL-MID CAP EQUITY FUND

Comparison of $10,000 Investment in the Portfolio with the Russell 2500^® Index, the Russell 2000^® Growth Index,
the Lipper Small-Cap Core Funds Average and the Lipper Small-Cap Growth Funds Average

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The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.


SMALL-MID CAP EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2016^†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			Russell 2500^® Index***			Russell 2000^® Growth Index***			Lipper Small-Cap Core Funds Average***			Lipper Small-Cap Growth Funds Average***
Since inception 11/18/1991		8.84	%		6.98	%		10.98	%		7.62	%		10.55	%		10.17	%
10 year		6.57			4.40			8.02			8.20			6.87			7.53
5 year		10.99			8.28			13.56			13.02			11.90			11.51
3 year		5.85			3.01			9.62			8.48			7.75			6.65
1 year		(5.51	)		(7.85	)		8.79			3.55			7.73			2.50

See pages 26 through 29 for all footnotes.

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International Equity Fund

ABOUTTHE SUBADVISERS

•Causeway Capital Management LLC (“Causeway”)

Causeway’s international developed market investment philosophy is based on a long-term value strategy and the investment team applies an active, bottom-up, research-intensive approach towards stock selection.

Causeway’s investment approach seeks to identify under-priced stocks of high quality companies believed to be exhibiting superior financial strength as compared to peers. In addition to fundamental analysis, quantitative research is considered an integral part of the process and is used for screenings of investment candidates as well as risk management. Portfolio managers work as a team to make investment decisions and are supported by the firm’s dedicated fundamental and quantitative research analysts. Analysts and portfolio managers are assigned global industry-specific research responsibilities. Fundamental research is further organized into six research clusters: financials/materials, consumer, industrial/ manufacturing, energy, technology and health care. Causeway’s unconstrained, international established market value equity approach invests in a variety of market capitalization ranges, but primarily in large- and midcapitalization non-U.S. developed market companies. Causeway can also invest in small-cap issues and less developed emerging markets. Value-driven security characteristics may include low price/earnings ratio, low price/ book ratio, low price/cash flow ratio and high dividend yield, but may also include out-of-favor companies that may have high rates of growth of earnings. Sector and regional weights are byproducts of the investment process.

•BlackRock Financial Management, Inc. (“BlackRock”)

BlackRock Financial Management, Inc. employs a “passive” management approach, attempting to invest in a portfolio of assets whose performance is expected to match approximately the performance of the MSCI EAFE^® Index (Net). The Fund will be substantially invested in securities in the MSCI EAFE^® Index (Net), and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the MSCI EAFE^® Index (Net).

•OppenheimerFunds, Inc. (“OFI”)

OFI’s Global Equity team seeks to generate alpha through high conviction decisions driven by fundamental bottom-up analysis. Several secular growth themes are used as a way to focus attention on segments of the global marketplace that may grow faster than world

For the period of September 1, 2015, through August 31, 2016, the Sub-advisers for CGCM International Equity Fund (“Fund”) were Causeway Capital Management, LLC (“Causeway”), BlackRock Financial Management, Inc. (“BlackRock”), OppenheimerFunds, Inc. (“OFI”), and Schroder Investment Management North America, Inc. (“Schroders”).

The portion of the Fund managed by Causeway underperformed the Fund’s market index benchmark, the MSCI EAFE^® Index (Net), for the year ended August 31, 2016. International equity markets delivered slightly negative performance for the year, with mixed performance coming from the various constituent markets which comprise the investible universe. The top performing markets were New Zealand, South Korea, Australia, Hong Kong, and Belgium. The biggest laggards included Italy, Spain, Israel, Ireland, and the United Kingdom. The portfolio underperformed primarily due to weak stock selection. However, it is worth noting that the strategy faced a headwind, as ‘value’ as a style underperformed ‘growth’ by over one hundred basis points during the year. Holdings in the banks, automobiles & components, transportation, and energy industry groups, along with an underweight position in the household & personal products industry group, detracted from the portfolio’s relative performance. Meanwhile, holdings in the media, telecommunication services, technology hardware & equipment, and software & services industry groups, as well as an underweight position in the retailing industry group, offset some of that relative underperformance. Banking and financial services companies — namely Barclays Plc (United Kingdom), Lloyds Banking Group Plc (United Kingdom), and UBS Group AG (Switzerland) — were amongst the largest detractors from absolute performance. Additional notable detractors included automobile manufacturer, Volkswagen AG (Germany) and insurance company, Aviva Plc (United Kingdom). The single largest contributor to absolute performance was electronic equipment manufacturer, Samsung Electronics Co., Ltd. (South Korea). Additional top contributors included telecommunication services provider, KDDI Corp. (Japan), British American Tobacco Plc (United Kingdom), print & publishing company, RELX NV (Netherlands), and business software & services provider, SAP SE (Germany).

The portion of the Fund managed by BlackRock underperformed the Fund’s market index benchmark, the MSCI EAFE^® Index (Net), for the month ended August 31, 2016. Global equity markets broadly rallied during the month as Japan announced additional fiscal and monetary stimulus and the Bank of England cut rates. Leading into August, markets had a strong start to the quarter as expectations of a near-term Fed rate hike diminished, Japan announced another round of fiscal stimulus, and the earnings season had a strong start. Despite multiple terrorist attacks in France and Germany and a failed coup in Turkey, the markets continued to rally into the latter half of 2016 on the back of a strong earnings season and monetary stimulus from the Bank of England.

The portion of the Fund managed by OFI outperformed the Fund’s market index benchmark, the MSCI EAFE^® Index (Net), for the one-year period ended August 31, 2016. The portfolio’s outperformance was largely the result of an underweight position in the Financials sector, and stock selection in the Information Technology and Health Care sectors. The portfolio underperformed the benchmark in the Real Estate sector, where lack of exposure detracted from performance. The portfolio also underperformed in the Telecommunication Services sector, as a result of stock

GDP. The team’s investment process is driven by a number of very powerful, long-term economic, demographic and technological forces summarized as MANTRA^®—Mass Affluence, New Technologies, Restructuring and Aging. The portfolio managers utilize a bottom-up, fundamental investment approach, and seek to invest initially in high-quality companies that are temporarily out of favor; trading at attractive valuations; and which demonstrate sustainable, above-average growth potential over a three- to five-year time horizon. The process is index agnostic, searching for companies with high growth rates and high quality balance sheets with minimal focus with respect to region or country, sector or security.

•Schroder Investment Management North America, Inc. (“Schroders”)

Schroders uses a bottom-up growth oriented approach towards stock selection and employs a fundamental, research driven process to identify quality growth companies with attractive medium-term growth and valuation, quality management and financial position, and a sustainable competitive advantage. Schroders’ “best ideas” portfolio blends both core and opportunistic holdings.

selection. The portfolio’s country and regional allocations are a rolled up reflection of the portfolio’s individual stock selections. That being said, the portfolio outperformed the benchmark in France, Switzerland and Spain, due to stock selection. Top detractors on a country basis included stock selection and an overweight position in the United Kingdom, and underweight positions in Hong Kong and Belgium.

International equity markets ended the 12-month period broadly flat in dollar terms, navigating scares around China’s economic growth and Britain’s decision to exit the European Union. This dynamic presented us with some excellent buying opportunities.

The fund outperformed the benchmark over the period, driven by stock selection. Some of the top contributors have been our technology holdings. Chip manufacturer TSMC was the standout performer as their scale and lead in manufacturing delivered market share gains despite a period of de-stocking and weakness in smartphone sales around the world. Chinese e-commerce giant Alibaba was another key performer. Our conviction here strengthened, and we do not believe that the market is adequately recognising the growth potential of their cloud computing and payments businesses. The sector as a whole is home to many exceptionally strong and disruptive companies at present, and we increased our exposure through new holdings in Keyence and Naver. Japanese company Keyence is rapidly growing by offering manufacturing businesses customized automation solutions that use sensors and monitoring equipment to improve productivity. Naver are dominant in online search and ecommerce within their home country Korea, and have more recently developed a powerful messaging platform called Line which has become the main consumer messaging platform in Japan and Taiwan.

Our focus in innovation in the healthcare sector was also beneficial. Life sciences firm Lonza was a standout performer, where the company’s pipeline of contracts to supply many of the new drugs that are coming to market helped drive returns. The dual pressure from demographic trends (such as ageing populations and increasing life expectancy) and limited government budgets, necessitates ongoing innovation in the sector. New purchases Shire, Roche and Otsuka, are examples of companies we feel are ahead of the curve in this area.

A number of our bank holdings suffered, buffeted by concerns about rising credit provisions for commodity sector loans and negative interest rates in the EU and Japan. We have consolidated exposure to the sector somewhat and focused on holding only banks where we feel the capital generation and capital position is strong. Deutsche Bank and HSBC both left the portfolio in the period as a result.

A large detractor was Indian telecoms provider Idea Cellular, where a disruptive new entrant has created a phase of increased pressure on telecom industry profitability and we have sold the position. We do however remain positive on India, which is one of the most vibrant growth economies in the world today, and retain exposure through a holding in HDFC Bank.

One thing that concerns us is the extent of recent investor preference for ‘low volatility’ stocks as the era of very low interest rates forces investors to look for alternatives to bond like income streams. This group of defensive businesses are now valued at a premium to more economically sensitive industries that is hard to justify by fundamentals, and will be vulnerable to any increase in global interest rates. We have low exposure to utility and real estate stocks on this basis.

There are of course considerable political and economic uncertainties, but this is always the case. In the long run we could not be more confident that well governed companies that invest to drive growth and maintain a sustainable competitive advantage will outperform, and we remain intensely focused on seeking out these companies.

The following graph depicts the performance of Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE^®) Index (Net)³ vs. the Lipper International Large-Cap Core Funds Average¹⁷

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2016

INTERNATIONAL EQUITY FUND

Comparison of $10,000 Investment in the Portfolio with the Morgan Stanley Capital International Europe, Australasia,

Far East (MSCI EAFE^®) Index (Net) and the Lipper International Large-Cap Core Funds Average

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The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.


INTERNATIONAL EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2016^†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			MSCI EAFE^® Index (Net)***			Lipper International Large-Cap Core Funds Average***
Since inception 11/18/1991		5.02	%		3.22	%		5.20	%		6.28	%
10 year		1.21			(0.85	)		1.71			1.34
5 year		3.69			1.16			5.00			3.84
3 year		1.28			(1.44	)		2.47			1.46
1 year		0.96			(1.54	)		(0.12	)		(0.24	)

See pages 26 through 29 for all footnotes.

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Emerging Markets Equity Fund

ABOUTTHE SUBADVISER

•Van Eck Associates Corporation (“VanEck”)

VanEck is privately held global asset management firm founded in 1955. VanEck’s mission is to develop and offer investors forward-looking, intelligently designed investment strategies that strengthen a long-term portfolio. VanEck’s Emerging Markets Equity Strategy (“Strategy”) seeks long-term competitive risk-adjusted returns through investments that demonstrate structural growth at a reasonable price. The Strategy seeks to uncover structural growth opportunities wherever they exist within emerging markets, and employs a fundamentally driven stock selection and research process with the flexibility to invest across the market capitalization spectrum.

•BlackRock Financial Management, Inc. (“BlackRock”)

BlackRock Financial Management, Inc. employs a “passive” management approach, attempting to invest in a portfolio of assets whose performance is expected to match approximately the performance of the MSCI Emerging Market Index (Net). The Fund will be substantially invested in securities in the MSCI Emerging Market Index (Net), and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the MSCI Emerging Market Index (Net).

•Lazard Asset Management, LLC (“Lazard”)

Lazard manages a relative value strategy (“Value Strategy”) and invests primarily in equity securities, principally common stocks,

For the period of September 1, 2015, through August 31, 2016, the Sub-advisers for CGCM Emerging Markets Equity Fund (“Fund”) were Van Eck Associates Corporation (“VanEck”), BlackRock Financial Management, Inc. (“BlackRock”), and Lazard Asset Management, LLC (“Lazard”).

For the period since its launch on July 20, 2016, until the financial year ended August 31, 2016, the VanEck Emerging Markets Equity strategy underperformed the Fund’s market index benchmark, the MSCI Emerging Markets Index (Net). Over this period the MSCI Emerging Markets Index (Net) increased by 2.52% in U.S. dollar terms.

Emerging markets equities continued to perform well during the period, outperforming most major global indices, including the S&P 500^®. The asset class continued to gather momentum following the Brexit vote as investors’ expectations seemed to be settling for lower rates for longer and continued quantitative easing. Those expectations were reinforced by not-so-great macro data from the U.S.

On a strategy level, growth exposure aided relative performance, while size continued to detract, as small caps underperformed large caps. On a country level, the strategy benefited from its exposure to China, Taiwan, and Thailand. Its exposures to Russia, Jordan, South Korea, and Brazil detracted from performance. On a sector level, selection in consumer discretionary and utilities sectors aided while exposures in information technology and healthcare sectors detracted on the basis of both allocation and stock selection.

The portion of the Fund managed by BlackRock outperformed the Fund’s market index benchmark, the MSCI Emerging Markets Index (Net), for the month ended August 31, 2016. There was large dispersion among the performance of the individual countries, with EM economies at different phases of recovery and stability, both political and economic. Egypt announced it was seeking a loan package with the International Monetary Fund to improve liquidity and boost confidence in the economy. China implemented significant fiscal and monetary stimulus policies in the face of economic slowdown. Markets reacted positively to the stimulus and Moody’s upgraded its economic forecast on the back of the news. Outside the stimulus, the economic slowdown continued to be a drag on demand for raw materials, which contributed to underperformance and volatility in commodity-exporting countries such as Chile, Mexico, South Africa, and Peru. Brazilian equities, however, were resilient amid this pressure as well as political reshuffling and mixed news around the Olympic Games the country hosted during the summer.

In the twelve month period ended 31 August 2016, equities in emerging markets improved and performed reasonably well. The apparent stabilization in some commodity prices as well as a dramatic change in the Brazilian political landscape followed a period of severe commodity price weakness and political turmoil in Brazil in the last four months of 2015. The MSCI Emerging Markets Index (Net) rose by almost 12%, as measured in US dollar terms, with Latin American markets performing very strongly. Shares in eastern Europe also increased, while Asian markets, which were adversely affected by the risk of renminbi currency devaluation, performed the least well.

of non-U.S. companies whose principal activities are located in emerging or developing market countries. In the Value Strategy, assets are invested in companies that are believed to be undervalued based on their earnings, cash flow or asset values. Lazard’s approach consists of an analytical framework, accounting validation, fundamental analysis and portfolio construction parameters and its selection process focuses on growth and considers the sustainability of growth and the tradeoff between valuation and growth.

The period included the aftermath of the People’s Bank of China’s August 2015 attempt to devalue the renminbi due to concerns about the competitiveness of Chinese industry. The capital markets’ reaction to this, both in 2015 and when it was attempted again in January 2016, was very negative and pressured Chinese share prices.

Eastern European markets were adversely affected by the Brexit vote, in which the United Kingdom voted to leave the European Union. This negatively pressured EU member country markets such as Greece and Poland as well as shares of companies in Turkey and South Africa, which have significant trade relationships with the United Kingdom. The Turkish market was also depressed by an unsuccessful coup against the government of President Erdogan. Following this event, a crackdown occurred on individuals affiliated with the Gulen movement, the group Erdogan blamed for the coup. South African shares were also negatively affected by President Zuma’s decision to replace the Finance Minister by a relatively unknown politician. This was ultimately reconsidered and a former Finance Minister, Pravin Gordhan, was installed. In August 2016, the market and the rand were again hit, this time from an apparent dispute between Zuma and Gordhan over a tax investigation.

Latin American markets rebounded strongly over the twelve months, helped by the apparent stability in commodity prices as well as the dramatic change in Brazilian political circumstances. Towards the end of 2015, the Petrobras fraud scandal, known as Operation Car Wash, had paralyzed the Congress and caused the end of Finance Minister Joaquim Levy’s period in office. With the economy deep in recession, many Brazilian companies cut costs aggressively and feared for more economic hardship. In March 2016, a phone conversation between President Dilma Rousseff and former President Luiz Inacio Lula da Silva, apparently explaining that she would put him in her cabinet to protect him from a corruption investigation, was leaked. This set in motion two impeachment votes which ultimately removed Rousseff from office. The market as well as the real rallied very strongly in anticipation of efforts to reduce the budget deficit and help stabilize the economy.

From a sector perspective, the information technology and materials sectors outperformed the index while the telecom services and industrials sectors underperformed during the period.

Portfolio Review

During the period, Sberbank, a Russian bank, announced strong earnings and upgraded its guidance for return on equity. Taiwan Semiconductor Manufacturing (TSMC), a Taiwanese manufacturer of semiconductors, performed well on expectations of a strong third quarter ramp up from sales of Apple’s new iPhone 7. NetEase, a Chinese publisher of online games and web portal, reported solid first quarter results and gave an upbeat assessment of its game pipeline. Telekomunikasi Indonesia, an Indonesian telecom services company, experienced strong growth in data usage leading to improving average revenue per user (APRUs). Stock selection in the financials, information technology, and industrials sectors, and in China and Taiwan helped performance. A higher-than-index exposure to Brazil added value.

In contrast, shares of Pretoria Portland Cement (PPC), a South African cement company, declined after the company announced a major capital raise in order to shore up the stressed balance sheet. Shares of Hanwha Life Insurance, a Korean insurance company, fell on expectations for a continued environment of low interest rates in Korea. PLDT, a Philippine telecom services company, announced disappointing results coupled with weak guidance as the company conducts its turnaround strategy. Shares of YPF, an Argentine energy company, declined on concerns that the country’s oil producer subsidy scheme could be adjusted after the presidential elections. Stock selection in the materials and energy sectors hurt performance.

Outlook

We emphasize that during times of higher market volatility, while often trying for individual investors, can be opportunities for skilled active management. Our fundamental approach and portfolio construction processes are consistent across all market environments. We continue to

The following graph depicts the performance of MSCI Emerging Markets Index (Net)⁴ vs. the Lipper Emerging Markets Funds Average¹⁸

seek out companies with strong cash flows that can withstand lower economic growth. Emerging markets relative valuations have not changed significantly due to the Brexit vote, and emerging markets equities are still inexpensive compared to other global equities. In addition, emerging markets still have strong profitability levels, which have proved to be resilient. Unless the world has a significant recession, in our view, emerging markets are attractively priced.

We also acknowledge that the uncertainty in the markets is palpable. We believe that many of the drivers of that uncertainty are not as dire as the markets seem to believe, but we doubt that this uncertainty will dissipate over the next few months. For now, the risk tail is wagging the fundamental dog, but we believe investors should prepare for when fundamentals drive markets again. If global growth accelerates and commodities prices stabilize, we believe the ensuing confidence to investors could lead to significant support for emerging markets assets.

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2016

EMERGING MARKETS EQUITY FUND

Comparison of $10,000 Investment in the Portfolio with the MSCI Emerging Markets (Net)
and the Lipper Emerging Markets Funds Average

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The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.


EMERGING MARKETS EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2016^†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			MSCI Emerging Markets Index (Net)***			Lipper Emerging Markets Funds Average***
Since inception 4/20/1994		4.36	%		2.55	%		N/A			5.41	%
10 year		2.70			0.61			3.90	%		3.43
5 year		(1.08	)		(3.50	)		(0.42	)		(0.42	)
3 year		1.65			(1.08	)		1.12			0.86
1 year		15.31			12.46			11.83			10.08

See pages 26 through 29 for all footnotes.

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Core Fixed Income Fund

ABOUTTHE SUB-ADVISER

•Metropolitan West Asset Management LLC (“MetWest”)

MetWest seeks to achieve consistent outperformance through the measured and diversified application of five fixed income management strategies, including: (i) duration management; (ii) yield curve positioning; (iii) sector allocation; (iv) security selection; and (v) opportunistic execution. Predicated on a long-term economic outlook, MetWest employs a value-oriented approach to managing fixed income that recognizes the periodic inefficient nature of over-the-counter markets and the mean-reverting characteristics of the investable universe.

•Western Asset Management Company (“Western”)

Western combines traditional analysis with innovative technology applied to all sectors of the market. Western believes inefficiencies exist in the fixed-income market and attempts to add incremental value by exploiting these inefficiencies across all eligible market sectors. The key areas of focus are: (i) sector and sub-sector allocation; (ii) issue selection; (iii) duration; and (iv) term structure.

•BlackRock Financial Management, Inc. (“BlackRock”)

BlackRock’s Customized Core strategy employs a fundamental, diversified, relative-value approach that seeks alpha by strategically allocating among three alpha sources - macro strategies, sector allocation and security selection - based on best and highest information ratio ideas, and aims to provide superior long-term performance relative to the benchmark index by creating a diversified portfolio of investment grade securities. A disciplined and risk-budgeted risk management framework which consists of determining interest rate risk, yield curve risk, cash flow risk, credit risk and liquidity risk of all securities.

For the period of September 1, 2015, through August 31, 2016, the Sub-advisers for CGCM Core Fixed Income Fund (“Fund”) were Metropolitan West Asset Management, LLC (“MetWest”), Western Asset Management Company (“Western”), and BlackRock Financial Management, Inc. (“BlackRock”).

The portion of the Consulting Group Capital Markets Core Fixed Income Fund (CGCM) managed by Metropolitan West Asset Management lagged the Barclays Capital U.S. Aggregate Bond^TM Index (“Index”) during the twelve month period ending 8/31/2016, returning 5.3% versus an Index return of 6.0%. Underperformance was due in part to the defensive duration profile as Treasury rates beyond the 2-Year fell over the period. Additionally, the relative underweight to outperforming non-U.S. sovereign credit and better performing industrial sectors such as basic industry and communications weighed on relative returns. Meanwhile, issue selections in investment grade corporate in electric, banking, insurance, midstream, airlines, and healthcare contributed, but the less-than-Index allocations to technology, consumer non-cyclicals such as food and beverage, metals and mining, as well as wirelines and media entertainment weighted on returns. In securitized products, the overweight to commercial mortgage-backed securities (CMBS) was additive, though the emphasis on agency-backed issues detracted as the sector was weighed down by abundant issuance. Finally, favorable issue selection among non-agency mortgage-backed securities (MBS) boosted returns, particularly those backed by alt-a and subprime collateral given ongoing improvements in the underlying borrower profiles.

The portion of the Fund managed by Western Asset Management outperformed its benchmark, the Barclays Capital U.S. Aggregate Bond^TM Index, by 180 basis points for the trailing 12-month period ending August 31, 2016. The US saw continued mild yet positive economic growth as the economy continued to recover from the financial crisis of 2008. Unemployment hovered around 5% over the period but questions remained regarding the quality of new jobs. Wage gains remained tepid and most measures of inflation failed to show much growth. Nonetheless, the Fed deemed economic improvement to be robust enough to announce in December 2015 its first rate hike since before the crisis. While the Fed indicated that markets should expect further hikes, it remained on hold for the rest of the period as neither subsequent data nor market conditions fully cooperated with the Fed’s expectations. The Fund’s interest rate positioning was a key source of returns over the period. With an emphasis on longer-dated yields, yield curve positioning was the largest contributor over the 1-year period as the curve significantly flattened.

An overweight to duration also contributed as intermediate to long rates fell. Overweights to IG Credit and to HY were also important contributors as these sectors benefited from spread tightening of 27 and 28 bps, respectively. Emerging market positions, which detracted in much of 2015, began to recover in 2016 as oil and commodity prices stabilized and ended the 12-month period as modest contributors. Non-agency MBS also contributed, largely due to coupon payments and principal paydowns. Non-US developed market exposure detracted as a short position to the Japanese yen lost value as the currency rose vs the USD. An underweight to Agency MBS was also a mild detractor as the sector generated positive excess returns vs UST over the year.

The following graph depicts the performance of Barclays Capital U.S. Aggregate Bond^TM Index⁵ vs. the Lipper Core Bond Funds Average¹⁹

The portion of the Fund managed by BlackRock outperformed the Fund’s market index benchmark, the Barclays Capital U.S. Aggregate Bond^TM Index, for the year ended August 31, 2016. During the period, high volatility and wider spread levels early in the fiscal year were followed by improved risk sentiment and a generally strong fixed income market. BlackRock managed the volatility and to capitalized on its deep expertise across sectors to add returns both via sector rotation and individual security selection within spread sectors as the primary drivers of alpha generation (excess returns versus the benchmark). Positioning within securitized products (ABS and CMBS) was particularly impactful as both sectors exhibited strong performance over the period. Further adding to performance was the portfolio’s preference for single-asset/single-borrower deals within CMBS, which performed better than the more generic conduit deals in the benchmark. Also aiding performance was security selection within credit sectors. The overweight in the midstream energy sub-sector proved particularly beneficial in the latter half of the period. Another sub-sector that augmented performance was the portfolio’s preference for US Banks versus European banks within financials. Detracting from relative performance was the portfolio’s duration positioning. The portfolio’s underweight duration positioning for most of the year was negative for results, particularly in the first quarter of 2016 as rates rallied alongside the sharp decline in oil prices and fears of a global growth slowdown.

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2016

CORE FIXED INCOME FUND

Comparison of $10,000 Investment in the Portfolio with the Barclays Capital U.S. Aggregate Bond^TM Index
and the Lipper Core Bond Funds Average

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The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.


CORE FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2016^†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			Barclays Capital U.S. Aggregate Bond^TM Index***			Lipper Core Bond Funds Average***
Since inception 11/18/1991		5.66	%		3.85	%		5.95	%		5.76	%
10 year		5.53			3.38			4.89			4.44
5 year		3.86			1.32			3.24			3.27
3 year		4.41			1.61			4.37			4.02
1 year		5.84			3.22			5.97			5.59

See pages 26 through 29 for all footnotes.

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High Yield Fund

ABOUTTHE SUBADVISERS

•PENN Capital Management Co., Inc. (“PENN Capital”)

PENN Capital’s initial universe is well-defined and includes all domestic, corporate cash paying dollar denominated bond issues that have spread-to-treasury and yield characteristics that are consistent with or wider than the single-B credit tier. PENN Capital’s investment team determines sectors/ industries that may offer relative value based on its macro-economic outlook. The team will review and evaluate the economic cycle, business environment, industry/sectors and interest rates. PENN Capital then scans this group for companies with spreads to treasury that are wider than comparable companies, industry averages and historical averages. The team analyzes the liquidity outlook of the company through qualitative research, including bank loan facility analysis, covenant review analysis and asset value analysis. After the high yield bond universe has been narrowed and potential relative value is identified, the team performs its qualitative research to confirm or justify the credit’s value. The team determines whether or not the credit is suitable for the portfolio given its impact on PENN Capital’s current industry weightings and the diversification it brings to the basket of credits currently held within an industry.

•Western Asset Management Company (“Western”)

For the period of September 1, 2015, through August 31, 2016, the Sub-advisers for CGCM High Yield Fund (“Fund”) were PENN Capital Management Co., Inc. (“PENN Capital”) and Western Asset Management Company (“Western”).

The portion of the Fund managed by PENN Capital underperformed its benchmark by -569 bps using the Opportunistic High Yield strategy for the twelve-month period ending August 31, 2016, generating a 3.56% return compared with a 9.25% return for the BAML US High Yield Constrained Index. Positively, strong security selection in leisure, food & beverage, and gaming contributed favorably to performance. Despite maintaining an in line position to energy production companies over the time period, the strategy’s exposure to energy issuers of mid-tier quality early in the period caused our companies to lag higher quality peers due to falling oil prices. A sizeable underweight to metals and mining also detracted from performance as recovering base metal prices caused the industry to outperform all other areas of the high yield market. The portfolio maintains a positive bias towards single B credit quality bonds, which tend to underperform higher quality double B bonds during periods when treasuries rally. While our double B bonds outperformed those in the index, our single B allocation did not keep up with the strong returns seen in that higher quality segment. The investment that made the largest positive contribution to performance was a position in the unsecured bonds of a US telecommunication company that successfully raised new term loan capital and refinanced their short dated bonds. An investment in the unsecured bonds of an energy production company detracted most greatly from performance. The bonds represented a small position in the fund and were sold in the fourth quarter as we found better value further up the quality spectrum.

The portion of the Fund managed by Western Asset Management underperformed its benchmark, the Barclays Capital U.S. Corporate High-Yield Index, for the trailing 12-month period ending August, 31st, 2016. Energy significantly underperformed from August 2015 — February 2016 and outperformed from March 2016 — August 2016. It was the Fund’s overweight position to Energy during the first six months of the fiscal year and its underweight position in the final six months that was the primary reason for the underperformance. Additionally, issue selection within the energy sub-sector was challenged. Of the six defaults in the Fund, five were energy-related companies. Collectively, the energy defaulted companies contributed -0.81% to performance for the period. The strategy to overweight transportation and consumer cyclical companies also detracted from performance as both sub-sectors underperformed for the period. The Fund’s performance was boosted by a long duration position which was rewarded as the general level of interest rates declined. Also aiding performance was an overweight to the CCC rating category which was the top performing category.

The following graph depicts the performance of Barclays Capital U.S. Corporate High-Yield Index⁶ vs. the Lipper High-Yield Funds Average²⁰

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2016

HIGH YIELD FUND

Comparison of $10,000 Investment in the Portfolio with the Barclays Capital U.S. Corporate High-Yield Index
and the Lipper High Yield Funds Average

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The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.


HIGH YIELD FUND Average Annual Total Returns for the Period Ended August 31, 2016^†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			Barclays Capital U.S. Corporate High-Yield Index***			Lipper High Yield Funds Average***
Since inception 7/13/1998		4.41	%		2.54	%		6.66	%		5.69	%
10 year		6.28			4.11			7.79			6.24
5 year		5.26			2.68			7.48			6.22
3 year		2.33			(0.42	)		5.40			3.93
1 year		4.02			1.44			9.07			6.13

See pages 26 through 29 for all footnotes.

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International Fixed Income Fund

ABOUTTHE SUBADVISERS

•Pacific Investment Management Company LLC (“PIMCO”)

PIMCO is a leading global investment management firm, with offices in 12 countries throughout North America, Europe and Asia. Founded in 1971, PIMCO offers a wide range of innovative solutions to help millions of investors worldwide meet their needs. Our goal is to provide attractive returns while maintaining a strong culture of risk management and long-term discipline. PIMCO’s investment philosophy revolves around the principle of diversification. PIMCO believes that no single risk should dominate returns. PIMCO seeks to add value through the use of “top-down” strategies such as our exposure to interest rates, or duration, changing volatility, yield curve positioning and sector rotation. PIMCO also employs “bottom-up” strategies involving analysis and selection of specific securities.

For the period of September 1, 2015, through August 31, 2016, the Sub-adviser for CGCM International Fixed Income Fund (“Fund”) was Pacific Investment Management Company LLC (“PIMCO”).

The Fund outperformed its benchmark, the Citigroup Non-U.S. Dollar World Government Bond Index — Hedged, for the one-year period ended August 31, 2016 (before fees). Short exposure to U.S. duration during the period detracted from performance as U.S. rates generally fell across the curve. Additionally, yield curve with a focus on shorter rates was negative for performance as intermediate and long rates fell more than short rates. Overall non-U.S. interest rate positioning was positive for performance. An overweight to long-end Japanese rates contributed to returns as long rates fell sharply amid increased central bank accommodation. An overweight to European peripherals, particularly Italy, was positive for performance as yields declined in this region. Additionally, positioning within the U.K. and Denmark added to performance. Spread strategies were positive for performance during the period. Exposure to non-Agency mortgages and European residential mortgage-backed securities added to returns as spreads generally tightened amid positive technicals and strong fundamentals. An allocation to Brazilian emerging market external debt added to performance as these securities were supported by the stabilization in commodity prices. Lastly, currency positioning was positive performance. A long-dollar bias relative to the euro contributed to returns as the U.S. dollar appreciated versus the euro. Additionally, long exposure to the Brazilian real and Russian ruble added to returns as these currencies appreciated during the period.

The following graph depicts the performance of Citigroup Non-USD World Government Bond Index (USD) - Hedged⁷ vs. the Citigroup Non-USD World Government Bond Index (USD) - Unhedged²⁵ and the Lipper International Income Funds Average²¹

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2016

INTERNATIONAL FIXED INCOME FUND

Comparison of $10,000 Investment in the Portfolio with the Citigroup Non-USD World Government
Bond Index (USD) Hedged, Citigroup Non-USD World Government Bond Index (USD) Unhedged
and the Lipper International Income Funds Average

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The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.


INTERNATIONAL FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2016^†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			Citigroup Non-USD WGBI (USD) Hedged***			Citigroup Non-USD WGBI (USD) Unhedged***			Lipper International Income Funds Average***
Since inception 11/18/1991		6.07	%		4.26	%		6.39	%		5.58	%		5.30	%
10 year		5.37			3.23			4.86			3.77			4.40
5 year		4.74			2.18			5.41			(0.63	)		0.67
3 year		5.71			2.88			6.64			1.70			2.02
1 year		9.70			6.98			9.00			12.24			7.70

See pages 26 through 29 for all footnotes.

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Municipal Bond Fund

ABOUTTHE SUBADVISER

•McDonnell Investment Management, LLC (“McDonnell”)

McDonnell employs a value-added approach to active municipal bond management utilizing a team oriented philosophy. This approach attempts to maximize after-tax total returns while reducing the volatility in relative rates of return. By limiting dependence on market timing and tightly controlling duration, McDonnell reduces the portfolio’s exposure to interest rate relative risk. McDonnell utilizes extensive internal research to identify relative value opportunities among sectors and securities and to control credit risk. Additionally, McDonnell seeks to exploit yield curve anomalies through quantitative analysis of historical spreads and future expectations.

For the period September 1, 2015, through August 31, 2016, the Sub-adviser for CGCM Municipal Bond Fund (“Fund”) was McDonnell Investment Management, LLC (“McDonnell”).

U.S. rate markets rallied sharply and yield curves flattened despite the first Federal Reserve interest rate increase in 7 full years. Economic growth decelerated slightly but remained positive as strong gains in employment buoyed Consumption and helped offset the drag of weak Investment and persistent inventory drawdowns. Despite Fed guidance that it expected to engineer a series of rate hikes, market participants proved prescient as skeptical investors continued to push rates lower amid declining inflation expectations and ultra-low and even negative rates across most major Developed Market sovereign yield curves. With the exception of 2 episodes, market volatility was generally muted. At the beginning of the year, plunging equity markets in China and cratering prices in crude oil, set the stage for a volatile January and February. But a double-bottom in crude oil provided the foothold that helped risk markets broadly recover for most of the remainder of the period. A second market disruption occurred in the wake of the surprising result of the Brexit Referendum in the UK in late June. The victory of the ‘Leave’ camp shocked market participants and resulted in a swift ‘flight-to-quality’ rally in safe assets generally. But as the long-winding process of Brexit became clearer, and the near-term UK economic impact appeared benign, most rate markets, with the exception of UK yields, returned to earlier levels.

The municipal market experienced strong and consistent demand in the form of mutual fund inflows, bank portfolio purchases and expanding insurance company municipal allocations as investors across the spectrum faced the dilemma of attempting to maintain portfolio yield in a persistently low yield environment. The ‘reach for yield’ helped flatten the yield curve and tightened credit spreads as incremental yield became an increasingly scarce commodity with high-grade municipal yields plummeting near 60-year lows. Against the backdrop of robust demand, New Issue Supply was moderate, and failed to accelerate meaningfully as many issuers were reluctant to add debt while facing pension gaps and Other Post-Employment Benefit (OPEB) funding shortfalls. The pace of Refunding Issuance also failed to accelerate despite declining yields as the low level of short-term Treasury yields resulted in negative arbitrage for advance refunding many outstanding issues with call features beyond 2 or 3 years.

Given this environment, the Fund registered twelve-month performance of 6.92% in fiscal period ended August 31, 2016 and performed in line with the Barclays Capital U.S. Municipal Bond Index return of 6.88%. Increasing the Fund’s exposure on the longer-end of the yield curve was additive to performance amongst yield curve flattening. Security selection, particularly within the Local General Obligation and Transportation categories contributed positively to performance. Overweight to spread sectors such as Hospital and Higher Education enhanced performance while and underweight to lower quality sectors such IDR/PCR, Lease and Special Tax hindered performance. Additionally, an overweight to shorter duration securities was a drag on performance.

We expect the Federal Reserve will attempt to engineer a modest rise in short-term interest rates over the period ahead if the domestic economy continues to generate

The following graph depicts the performance of Barclays Capital U.S. Municipal Bond Index⁸ vs. the Lipper General & Insured Municipal Debt Funds Average²²

moderate growth in output and employment. The pace of any rate increases however, is expected to prove quite gradual as inflation remains below the Fed’s 2% target and global economic conditions remain beset by weak aggregate demand. Against this backdrop, we think the most likely path for fixed income markets will be a tendency to trade within the ranges that have been established over the past several quarters and for the yield curve to exhibit a tendency toward flattening. The fundamentals of moderate growth, low inflation and well-crafted monetary policy all favor a relatively range-bound interest rate environment over the near-term horizon.

The commentary or observations set forth are neither investment advice nor legal advice. It is presented only to provide information on investment strategies and our view on market opportunities. The views expressed by McDonnell Investment Management (“McDonnell”) are as of the date of compilation of this information and are subject to change without notice. They are based on data sources that may include, but are not limited to, some or all of the following: internally derived databases and information, third party research, issuer-derived documents and news media reports. McDonnell believes the data to be reliable but does not make any representations as to its accuracy or completeness. McDonnell cannot assure that the type of investments discussed herein will outperform any other investment strategy in the future, nor can it guarantee that such investments will present the best or an attractive risk-adjusted investment in the future. Past performance is no guarantee of future results. Source: Barclays, Bond Buyer, SIFMA, ICI

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2016

MUNICIPAL BOND FUND

Comparison of $10,000 Investment in the Portfolio with the Barclays Capital U.S. Municipal Bond Index
and the Lipper General & Insured Municipal Debt Funds Average

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The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.


MUNICIPAL BOND FUND Average Annual Total Returns for the Period Ended August 31, 2016^†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			Barclays Capital U.S. Municipal Bond Index***			Lipper General & Insured Municipal Debt Funds Average***
Since inception 11/18/1991		4.99	%		3.19	%		5.78	%		5.29	%
10 year		4.27			2.15			4.87			4.22
5 year		4.08			1.53			4.80			5.12
3 year		5.86			3.02			6.47			6.75
1 year		6.14			3.51			6.88			6.96

See pages 26 through 29 for all footnotes.

LOGO

Inflation-Linked Fixed Income Fund

ABOUTTHE SUBADVISERS

•Pacific Investment Management Company LLC (“PIMCO”)

For the period from inception (March 8, 2016) through August 31, 2016, the Sub-adviser for CGCM Inflation-Linked Fixed Income Fund (“Fund”) was Pacific Investment Management Company LLC (“PIMCO”).

The Fund outperformed its benchmark, the Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index, since inception of the Fund through the period ended August 31, 2016. Short exposure to nominal U.S. duration detracted from performance as U.S. interest rates generally declined during the period. An overweight to real U.S. duration was positive for performance as real rates also fell during the period; this was partially offset by an overweight to breakeven inflation as breakeven levels declined during the period. European inflation linked bond exposure was neutral for performance. An allocation to French and Italian inflation liked-bonds added to returns as intermediate real yields fell; however, this was offset by short exposure to U.K. breakeven levels as U.K. breakeven levels increased during the period. Holdings of Agency mortgages and collateralized mortgage obligations added to performance as these securities benefitted from strong demand and improving fundamentals. Exposure to investment grade and high yield credit, especially within financials, contributed to performance as these sectors outperformed like-duration Treasuries during the period. Currency exposure was neutral to modestly positive for performance as long exposure to the Brazilian real proved beneficial as the real appreciated relative to the U.S. dollar.

The following graph depicts the performance of Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index⁹ vs. the Lipper Inflation Protected Bond Funds Average²⁶

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2016

INFLATION-LINKED FIXED INCOME FUND

Comparison of $10,000 Investment in the Portfolio with the Barclays Capital U.S. Treasury Inflation Protected Securities
(TIPS) Index vs. the Lipper Inflation Protected Bond Funds Average

LOGO

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.


INFLATION-LINKED FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2016^†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			Barclays Capital U.S. TIPS Index***			Lipper Inflation Protected Bond Funds Average***
Since inception 3/11/2016		4.59	%		3.35	%		2.13	%		2.15	%
10 year		N/A			N/A			4.44			3.47
5 year		N/A			N/A			1.77			1.00
3 year		N/A			N/A			2.71			1.51
1 year		N/A			N/A			5.37			4.14

See pages 26 through 29 for all footnotes.

LOGO

Ultra-Short Term Fixed Income Fund

ABOUTTHE SUBADVISERS

•Pacific Investment Management Company LLC (“PIMCO”)

For the period from inception (March 8, 2016) through August 31, 2016, the Sub-adviser for CGCM Ultra-Short Term Fixed Income Fund (“Fund”) was Pacific Investment Management Company LLC (“PIMCO”).

The Fund outperformed its benchmark, the Citigroup 3-Month U.S. Treasury Bill Index, since inception of the Fund through the period ended August 31, 2016. Overall interest rate strategies were positive for performance. Exposures to non-U.S. duration, including Australian and core European duration, added to returns as yields declined in these regions amid increase central bank accommodation. Spread sector strategies were also beneficial for performance. An allocation to investment grade and high yield credit, especially within financials and industrials, contributed to performance as these sectors outperformed like-duration Treasuries during the period. Holdings of non-Agency mortgages and commercial mortgage-backed securities were positive for performance as these securities benefitted from strong demand and improving fundamentals. Currency strategies detracted from performance as a long-dollar bias versus the Japanese yen hurt performance as the yen appreciated relative to the U.S. dollar.

The following graph depicts the performance of Citigroup 3-Month U.S. Treasury Bill Index¹⁰vs. the Lipper Ultra-Short Obligations Funds Average²⁷

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2016

ULTRA-SHORT TERM FIXED INCOME FUND

Comparison of $10,000 Investment in the Portfolio with the Citigroup 3-Month U.S. Treasury Bill Index vs. the Lipper
Ultra-Short Obligations Funds Average

LOGO

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.


ULTRA-SHORT TERM FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2016^†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			Citigroup 3-Month U.S. Treasury Bill Index***			Lipper Ultra-Short Obligations Funds Average***
Since inception 3/11/2016		0.89	%		(0.32	%)		0.11	%		0.79	%
10 year		N/A			N/A			0.88			1.56
5 year		N/A			N/A			0.07			0.74
3 year		N/A			N/A			0.08			0.60
1 year		N/A			N/A			0.18			0.81

See pages 26 through 29 for all footnotes.

FOOTNOTES

†

All figures represent past performance and are not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemptions of fund shares. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. To obtain performance data current to the most recent month-end, please visit our website at https://www.morganstanley.com/cgcm.

The Funds are available only to investors participating in Morgan Stanley approved advisory programs. These programs charge an annual fee, which may be up to 2.50%.

Consulting Group Advisory Services, LLC (“CGAS”), a business of Morgan Stanley Smith Barney Holdings LLC (“MSSBH”), voluntarily waived and/or reimbursed certain fees or expense to maintain a positive net yield.

***

The values shown represent the period from Fund inception (March 8, 2016) through the period end August 31, 2016.

The Russell 1000^® Index is composed of the 1,000 largest U.S. companies by market capitalization. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index (Net) consists of the following 21 emerging market country indexes: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

The Barclays Capital U.S. Aggregate Bond^TM Index is a broad-based index that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM passthroughs), ABS, and CMBS. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

The Barclays Capital U.S. Corporate High-Yield Index measures the market of U.S. dollar-denominated, non-investment grade, fixed rate, taxable corporate bonds. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

The Citigroup Non-USD World Government Bond Index (USD) Hedged and Unhedged are each sub-indices of the Citigroup World Government Bond Index (WGBI), which is comprised of the global sovereign debt of over 20 countries representative in the Americas, EMEA, EMU, Asia Pacific, and Japan regions. The Non-U.S. Dollar WGBI includes all WGBI markets except the United States and is stated in U.S. dollar hedged or unhedged base currency terms. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index.

10.

Citigroup 3-Month U.S. Treasury Bill Index.

11.

The Russell 1000^® Growth Index measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

12.

The Russell 1000^® Value Index measures the performance of those Russell 1000 Index companies with lower price-to-book ratios and lower forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

13.

The Russell 2000^® Growth Index measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

14.

The Russell 2000^® Value Index measures the performance of those Russell 2000 Index companies with lower price-to-book ratios and lower forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

15.

The Lipper Large-Cap Growth Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that, by portfolio practice, invest at least 75% of their equity assets in companies with market capitalizations (on a three-year weighted basis) above Lipper’s USDE large-cap floor. Large-cap growth funds typically have aboveaverage characteristics compared to the S&P 500^® Index. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

16.

The Lipper Small-Cap Growth Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that, by portfolio practice, invest at least 75% of their equity assets in companies with market capitalizations (on a three-year weighted basis) below Lipper’s USDE small-cap ceiling. Small-cap growth funds typically have aboveaverage characteristics compared to the S&P SmallCap 600^® Index. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

17.

18.

19.

The Lipper Core Bond Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that invest at least 85% of their assets in domestic investment-grade debt issues (rated in top four grades) with any remaining in investment in non-benchmark sectors such as high-yield, global and emerging market debt. These funds maintain dollar-weighted average maturities of five to ten years. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

20.

21.

22.

23.

The Lipper Large-Cap Core Funds Average are equally weighted total returns using all the active funds available within the category. Funds that, by portfolio practice, invest at least 75% of their equity assets in companies with market capitalizations (on a three-year weighted basis) greater than 300% of the dollar-weighted median market capitalization of the middle 1,000 securities of the S&P SuperComposite 1500^® Index. Large-cap core funds have more latitude in the companies in which they invest. These funds typically have an average price-to-earnings ratio, price-to-book ratio, and three-year sales-per-share growth value, compared to the S&P 500^® Index.

24.

The Lipper Small-Cap Core Funds Average are equally weighted total returns using all the active funds available within the category. Funds that, by portfolio practice, invest at least 75% of their equity assets in companies with market capitalizations (on a three-year weighted basis) less than 250% of the dollar-weighted median of the smallest 500 of the middle 1,000 securities of the S&P SuperComposite 1500^® Index. Small-cap core funds have more latitude in the companies in which they invest. These funds typically have an average price-to-earnings ratio, price-to-book ratio, and three-year sales-per-share growth value, compared to the S&P SmallCap 600^® Index.

25.

The Citigroup Non-US World Government Bond Index (USD) — Unhedged — This index includes all the components of the World Government Bond Index except the United States. The index includes all fixed-rate bonds with a remaining maturity of one year or longer and with amounts outstanding of at least the equivalent of $25 million US dollars. Those government securities that are excluded from the indices typically fall into three categories: floating- or variable-rate bonds (including index-linked bonds); securities aimed principally at

non-institutional investors such as savings bonds in the United States and Canada; and private placement-type securities, where liquidity may be poor and where accurate information on outstandings, market coupon, and maturity structure may be difficult or impossible to obtain. This index is designed to directly address the growing interest in and implementation of currency-hedged bond investments by global investors as a means of achieving low-risk interest rate diversification in their portfolios.

26.

The Lipper Inflation Protected Bond Funds Average — These are equally weighted total returns using all the active funds available within the category. Lipper analytical averages are an average of all funds in the specified investment objective’s universe. Averages include all funds in the group in existence for the period. The number of component funds always changes. Inflation protected bond funds invest primarily in inflation-indexed fixed income securities issued in the United States. Inflation-indexed bonds are fixed income securities that are structured to provide protection against inflation.

27.

The Lipper Ultra-Short Obligations Funds Average — These are equally weighted total returns using all the active funds available within the category. Lipper analytical averages are an average of all funds in the specified investment objective’s universe. Averages include all funds in the group in existence for the period. The number of component funds always changes. Ultra short obligations funds invest primarily in investment-grade debt issues or better and maintain a portfolio dollar-weighted average maturity between 91 days and 365 days.



Fund Expenses

Example

As a shareholder of a Fund, you may incur two types of costs: (1) annual advisory program fees, which may be up to 2.50%; and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. This example is based on an investment of $1,000 invested on March 1, 2016 and held for the six months ended August 31, 2016.

Actual Expenses

The table below titled “Based on Actual Total Return” provides information about actual account values and actual expenses. You may use the information provided in this table, together with the amount you invested, to estimate the expenses that you paid over the period. To estimate the expenses you paid on your account during this period, divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During the Period”.


Based on Actual Total Return⁽¹⁾

Fund	Total Return Without Annual Advisory Program Fees⁽²⁾			Beginning Account Value			Ending Account Value			Annualized Expense Ratios⁽³⁾			Expense Paid During the Period⁽⁴⁾
Large Cap Equity Fund		14.11	%		$	1,000.00		$	1,141.10		0.49	%		$	2.64
Small-Mid Cap Equity Fund		17.01	%			1,000.00			1,170.10		0.72	%			3.93
International Equity Fund		9.50	%			1,000.00			1,095.00		0.73	%			3.84
Emerging Markets Equity Fund		23.48	%			1,000.00			1,234.80		0.95	%			5.34
Core Fixed Income Fund		4.38	%			1,000.00			1,043.80		0.55	%			2.83
High Yield Fund		13.40	%			1,000.00			1,134.00		0.66	%			3.54
International Fixed Income Fund		6.57	%			1,000.00			1,065.70		0.76	%			3.95
Municipal Bond Fund		3.27	%			1,000.00			1,032.70		0.70	%			3.58
Inflation-Linked Fixed Income Fund⁽⁵⁾		4.59	%			1,000.00			1,045.90		1.01	%			5.19
Ultra-Short Term Fixed Income Fund⁽⁵⁾		0.89	%			1,000.00			1,008.90		0.79	%			3.99

(1)	For the six months ended August 31, 2016.

(2)

Assumes reinvestment of all distributions, including returns of capital, if any, at net asset value and does not reflect the deduction of the applicable advisory program charge, which may be up to 2.50% depending on the particular program through which you invest. Total return is not annualized as it may not be representative of the total return for the year/period. Performance figure may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expenses reimbursements, the total return would have been lower.

(3)

Annualized Expense Ratios are based on the most recent 6 month expense ratios, which may differ from net expense ratios in the Financial Highlights, except for Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund, which are based on the period from Fund inception (March 8, 2016) through the period end August 31, 2016.

(4)

Expenses (net of fee waivers and/or expense reimbursements) are equal to each Fund’s respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days (184 days) in the most recent fiscal half-year, then divided 366 (to reflect the one-half year period).

(5)	The period from Fund inception (March 8, 2016) through the period end August 31, 2016.



Fund Expenses
(continued)

Hypothetical Example for Comparison Purposes

The table below titled “Based on Hypothetical Total Return” provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5.00% per year/period before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balances or expenses you paid for the period. You may use the information provided in this table to compare the ongoing costs of investing in each Fund and other funds. To do so, compare the 5.00% hypothetical example relating to a Fund with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any advisory program annual fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these advisory program annual fees were included, your costs would have been higher.


Based on Hypothetical Total Return⁽¹⁾

Fund	Hypothethical Annualized Total Return			Beginning Account Value			Ending Account Value			Annualized Expense Ratios⁽²⁾			Expense Paid During the Period⁽³⁾
Large Cap Equity Fund		5.00	%		$	1,000.00		$	1,022.67		0.49	%		$	2.49
Small-Mid Cap Equity Fund		5.00	%			1,000.00			1,021.52		0.72	%			3.66
International Equity Fund		5.00	%			1,000.00			1,021.47		0.73	%			3.71
Emerging Markets Equity Fund		5.00	%			1,000.00			1,020.36		0.95	%			4.82
Core Fixed Income Fund		5.00	%			1,000.00			1,022.37		0.55	%			2.80
High Yield Fund		5.00	%			1,000.00			1,021.82		0.66	%			3.35
International Fixed Income Fund		5.00	%			1,000.00			1,021.32		0.76	%			3.86
Municipal Bond Fund		5.00	%			1,000.00			1,021.62		0.70	%			3.56
Inflation-Linked Fixed Income Fund⁽⁴⁾		5.00	%			1,000.00			1,019.30		1.01	%			5.13
Ultra-Short Term Fixed Income Fund⁽⁴⁾		5.00	%			1,000.00			1,020.36		0.79	%			4.01

(1)	For the six months ended August 31, 2016.

(2)

(3)

(4)	The period from Fund inception (March 8, 2016) through the period end August 31, 2016.



Schedules of Investments


August 31, 2016


Large Cap Equity Fund

Shares/Units		Security	Value
	COMMON STOCKS — 93.6%
	CONSUMER DISCRETIONARY — 11.8%
	Auto Components — 0.9%
	7,780	BorgWarner Inc.	$	267,554
	69,400	Delphi Automotive PLC		4,903,804
	11,380	Gentex Corp.		202,450
	91,967	Goodyear Tire & Rubber Co. (The)		2,699,232
	127,919	Johnson Controls Inc.		5,613,086
	2,924	Lear Corp.		340,032
	17,582	Tenneco Inc.*		981,603
	1,459	Visteon Corp.		103,151

		Total Auto Components		15,110,912

	Automobiles — 0.3%
	156,429	Ford Motor Co.		1,971,005
	56,468	General Motors Co.		1,802,459
	7,175	Harley-Davidson Inc.		378,122
	4,693	Tesla Motors Inc.*(a)		994,963
	2,010	Thor Industries Inc.		163,112

		Total Automobiles		5,309,661

	Distributors — 0.4%
	5,928	Genuine Parts Co.		609,517
	165,526	LKQ Corp.*		5,973,833
	1,698	Pool Corp.		171,277

		Total Distributors		6,754,627

	Diversified Consumer Services — 0.0%
	177	Graham Holdings Co., Class B Shares		86,792
	8,723	H&R Block Inc.		188,940
	7,538	Service Corp. International		199,305
	5,765	ServiceMaster Global Holdings Inc.*		215,092

		Total Diversified Consumer Services		690,129

	Hotels, Restaurants & Leisure — 1.3%
	9,735	Aramark		369,249
	2,378	Brinker International Inc.		127,722
	16,410	Carnival Corp.		784,398
	1,141	Chipotle Mexican Grill Inc., Class A Shares*		472,066
	1,302	Choice Hotels International Inc.		63,134
	4,595	Darden Restaurants Inc.		283,236
	1,958	Domino’s Pizza Inc.		292,858
	3,684	Dunkin’ Brands Group Inc.		180,332
	3,156	Extended Stay America Inc.		44,657
	21,183	Hilton Worldwide Holdings Inc.		505,638
	1,040	Hyatt Hotels Corp., Class A Shares*		55,619
	3,963	International Game Technology PLC		90,475
	14,773	Las Vegas Sands Corp.		741,752
	7,655	Marriott International Inc., Class A Shares(a)		546,031
	35,420	McDonald’s Corp.		4,096,677
	19,174	MGM Resorts International*		458,067
	52,618	Norwegian Cruise Line Holdings Ltd.*		1,888,460
	898	Panera Bread Co., Class A Shares*		195,001
	6,829	Royal Caribbean Cruises Ltd.		485,610
	3,058	Six Flags Entertainment Corp.		149,139
	129,817	Starbucks Corp.		7,299,610
	6,901	Starwood Hotels & Resorts Worldwide Inc.		534,552
	1,515	Vail Resorts Inc.		240,021

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund

Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 11.8% — (continued)
	Hotels, Restaurants & Leisure — 1.3% — (continued)
	8,762	Wendy’s Co. (The)	$	89,285
	4,399	Wyndham Worldwide Corp.		311,405
	3,074	Wynn Resorts Ltd.(a)		274,570
	15,546	Yum! Brands Inc.		1,410,178

		Total Hotels, Restaurants & Leisure		21,989,742

	Household Durables — 0.5%
	3,131	CalAtlantic Group Inc.		114,250
	13,490	DR Horton Inc.		432,489
	4,478	Garmin Ltd.		219,780
	2,726	Harman International Industries Inc.		230,865
	5,063	Leggett & Platt Inc.		265,706
	7,267	Lennar Corp., Class A Shares		343,729
	513	Lennar Corp., Class B Shares		19,489
	2,477	Mohawk Industries Inc.*		527,056
	18,923	Newell Brands Inc.		1,004,433
	131	NVR Inc.*		220,971
	13,266	PulteGroup Inc.		283,495
	2,289	Tempur Sealy International Inc.*(a)		179,503
	6,212	Toll Brothers Inc.*		193,131
	2,156	Tupperware Brands Corp.		141,283
	24,138	Whirlpool Corp.		4,312,012

		Total Household Durables		8,488,192

	Internet & Catalog Retail — 2.5%
	23,758	Amazon.com Inc.*		18,273,703
	4,852	Expedia Inc.		529,450
	15,000	Groupon Inc., Class A Shares*(a)		79,950
	164,005	Liberty Interactive Corp. QVC Group, Class A Shares*		3,465,426
	5,348	Liberty Ventures, Series A*		206,112
	16,514	Netflix Inc.*		1,609,289
	13,232	Priceline Group Inc. (The)*		18,746,172
	4,518	TripAdvisor Inc.*		275,598

		Total Internet & Catalog Retail		43,185,700

	Leisure Products — 0.1%
	3,635	Brunswick Corp.		167,174
	4,511	Hasbro Inc.		368,729
	13,598	Mattel Inc.		450,502
	2,419	Polaris Industries Inc.(a)		209,582
	2,526	Vista Outdoor Inc.*		100,585

		Total Leisure Products		1,296,572

	Media — 2.2%
	2,557	AMC Networks Inc., Class A Shares*		138,947
	197	Cable One Inc.		106,601
	16,251	CBS Corp., Class B Shares		829,288
	8,071	Charter Communications Inc., Class A Shares*		2,075,942
	4,544	Cinemark Holdings Inc.		175,626
	1,908	Clear Channel Outdoor Holdings Inc., Class A Shares		12,879
	159,911	Comcast Corp., Class A Shares		10,435,792
	6,136	Discovery Communications Inc., Class A Shares*		156,529
	9,100	Discovery Communications Inc., Class C Shares*		225,862
	8,764	DISH Network Corp., Class A Shares*		440,216
	16,080	Interpublic Group of Cos., Inc. (The)		372,091
	1,809	John Wiley & Sons Inc., Class A Shares		105,157

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund

Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 11.8% — (continued)
	Media — 2.2% — (continued)
	565	Liberty Broadband Corp., Class A Shares*	$	38,109
	4,278	Liberty Broadband Corp., Class C Shares*		293,171
	3,979	Liberty SiriusXM Group, Class A Shares*		133,336
	6,355	Liberty SiriusXM Group, Class C Shares*		211,177
	3,959	Lions Gate Entertainment Corp.(a)		82,981
	5,269	Live Nation Entertainment Inc.*		140,788
	40,816	Madison Square Garden Co. (The), Class A Shares*		7,373,410
	14,535	News Corp., Class A Shares		204,362
	4,110	News Corp., Class B Shares		59,307
	9,505	Omnicom Group Inc.		818,666
	3,274	Regal Entertainment Group, Class A Shares(a)		69,998
	3,311	Scripps Networks Interactive Inc., Class A Shares		209,818
	67,901	Sirius XM Holdings Inc.*(a)		281,110
	3,410	Starz, Class A Shares*		106,358
	8,372	TEGNA Inc.		169,617
	11,944	Thomson Reuters Corp.		495,557
	31,690	Time Warner Inc.		2,484,813
	3,332	Tribune Media Co., Class A Shares		126,883
	43,771	Twenty-First Century Fox Inc., Class A Shares		1,074,140
	19,683	Twenty-First Century Fox Inc., Class B Shares		489,122
	546	Viacom Inc., Class A Shares		24,674
	13,873	Viacom Inc., Class B Shares		559,637
	65,404	Walt Disney Co. (The)		6,178,062

		Total Media		36,700,026

	Multiline Retail — 0.3%
	774	Dillard’s Inc., Class A Shares		46,626
	11,448	Dollar General Corp.		840,398
	9,092	Dollar Tree Inc.*		751,908
	102,725	JC Penney Co., Inc.*(a)		968,697
	7,086	Kohl’s Corp.		314,477
	12,313	Macy’s Inc.		445,484
	4,953	Nordstrom Inc.(a)		249,928
	23,889	Target Corp.		1,676,769

		Total Multiline Retail		5,294,287

	Specialty Retail — 2.4%
	43,977	Advance Auto Parts Inc.		6,921,100
	2,821	AutoNation Inc.*		133,574
	1,179	AutoZone Inc.*		874,582
	5,559	Bed Bath & Beyond Inc.		257,771
	11,077	Best Buy Co., Inc.		426,243
	2,823	Burlington Stores Inc.*		229,284
	2,128	Cabela’s Inc.*		104,251
	7,754	CarMax Inc.*		457,098
	3,170	CST Brands Inc.		151,558
	3,510	Dick’s Sporting Goods Inc.		205,686
	5,338	Foot Locker Inc.		350,386
	4,341	GameStop Corp., Class A Shares		123,241
	8,450	Gap Inc. (The)		210,151
	50,158	Home Depot Inc. (The)		6,727,191
	9,813	L Brands Inc.		747,849
	121,335	Lowe’s Cos., Inc.		9,289,408
	3,917	Michaels Cos., Inc. (The)*		93,851
	1,545	Murphy USA Inc.*		112,970

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund

Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 11.8% — (continued)
	Specialty Retail — 2.4% — (continued)
	3,845	O’Reilly Automotive Inc.*	$	1,076,408
	1,602	Penske Automotive Group Inc.		72,571
	81,698	Ross Stores Inc.		5,084,884
	6,099	Sally Beauty Holdings Inc.*		166,015
	3,081	Signet Jewelers Ltd.		252,580
	24,406	Staples Inc.		208,915
	4,101	Tiffany & Co.		292,688
	66,879	TJX Cos., Inc. (The)		5,179,110
	5,397	Tractor Supply Co.		453,078
	2,399	Ulta Salon Cosmetics & Fragrance Inc.*		593,057
	3,854	Urban Outfitters Inc.*		138,166
	3,551	Williams-Sonoma Inc.		186,925

		Total Specialty Retail		41,120,591

	Textiles, Apparel & Luxury Goods — 0.9%
	2,012	Carter’s Inc.		191,723
	11,155	Coach Inc.		425,898
	49,500	Deckers Outdoor Corp.*		3,234,825
	15,176	Hanesbrands Inc.		402,771
	5,448	Kate Spade & Co.*		101,660
	3,835	lululemon athletica Inc.*		293,416
	6,501	Michael Kors Holdings Ltd.*		318,224
	149,881	NIKE Inc., Class B Shares		8,639,141
	3,199	PVH Corp.		344,724
	2,294	Ralph Lauren Corp., Class A Shares		237,704
	5,528	Skechers U.S.A. Inc., Class A Shares*		134,386
	7,165	Under Armour Inc., Class A Shares*(a)		283,949
	7,443	Under Armour Inc., Class C Shares*		265,343
	13,697	V.F. Corp.		849,899

		Total Textiles, Apparel & Luxury Goods		15,723,663

		TOTAL CONSUMER DISCRETIONARY		201,664,102

	CONSUMER STAPLES — 9.3%
	Beverages — 1.7%
	2,183	Brown-Forman Corp., Class A Shares		112,948
	7,860	Brown-Forman Corp., Class B Shares		381,603
	157,031	Coca-Cola Co. (The)		6,819,856
	6,688	Constellation Brands Inc., Class A Shares		1,097,166
	7,454	Dr Pepper Snapple Group Inc.		698,440
	83,714	Molson Coors Brewing Co., Class B Shares		8,565,617
	36,748	Monster Beverage Corp.*		5,655,150
	58,216	PepsiCo Inc.		6,214,558

		Total Beverages		29,545,338

	Food & Staples Retailing — 2.1%
	1,643	Casey’s General Stores Inc.		215,742
	17,554	Costco Wholesale Corp.		2,845,328
	145,101	CVS Health Corp.		13,552,433
	38,341	Kroger Co. (The)		1,226,529
	41,341	Rite Aid Corp.*		311,298
	6,001	Sprouts Farmers Market Inc.*		135,203
	21,327	Sysco Corp.		1,106,018
	1,800	US Foods Holding Corp.*		43,650
	142,405	Walgreens Boots Alliance Inc.		11,493,508
	60,976	Wal-Mart Stores Inc.		4,356,125

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund

Shares/Units		Security	Value
	CONSUMER STAPLES — 9.3% — (continued)
	Food & Staples Retailing — 2.1% — (continued)
	12,722	Whole Foods Market Inc.	$	386,494

		Total Food & Staples Retailing		35,672,328

	Food Products — 3.2%
	181,780	Archer-Daniels-Midland Co.		7,954,693
	2,520	Blue Buffalo Pet Products Inc.*		64,966
	5,523	Bunge Ltd.		352,920
	7,567	Campbell Soup Co.		459,468
	17,782	ConAgra Foods Inc.		828,819
	7,398	Flowers Foods Inc.		110,304
	24,017	General Mills Inc.		1,700,884
	3,677	Hain Celestial Group Inc. (The)*		135,130
	5,690	Hershey Co. (The)		568,374
	10,923	Hormel Foods Corp.		417,914
	2,862	Ingredion Inc.		391,980
	4,714	J.M. Smucker Co. (The)		668,398
	10,117	Kellogg Co.		831,719
	223,819	Kraft Heinz Co. (The)		20,029,562
	4,674	McCormick & Co., Inc.		476,561
	59,748	Mead Johnson Nutrition Co., Class A Shares		5,082,762
	212,502	Mondelez International Inc., Class A Shares		9,566,840
	2,467	Pilgrim’s Pride Corp.		56,938
	4,642	Pinnacle Foods Inc.		235,117
	2,577	Post Holdings Inc.*		218,478
	43,594	TreeHouse Foods Inc.*		4,129,660
	11,688	Tyson Foods Inc., Class A Shares		883,262
	6,902	WhiteWave Foods Co. (The), Class A Shares*		382,578

		Total Food Products		55,547,327

	Household Products — 1.4%
	5,253	Church & Dwight Co., Inc.		522,253
	5,210	Clorox Co. (The)		682,718
	34,970	Colgate-Palmolive Co.		2,599,670
	2,656	Energizer Holdings Inc.		131,260
	14,471	Kimberly-Clark Corp.		1,853,156
	201,108	Procter & Gamble Co. (The)		17,558,739
	1,064	Spectrum Brands Holdings Inc.(a)		142,789

		Total Household Products		23,490,585

	Personal Products — 0.1%
	1,979	Coty Inc., Class A Shares(a)		53,334
	2,469	Edgewell Personal Care Co.*		197,545
	8,831	Estee Lauder Cos., Inc. (The), Class A Shares		787,990
	2,964	Herbalife Ltd.*(a)		180,063
	2,318	Nu Skin Enterprises Inc., Class A Shares(a)		134,166

		Total Personal Products		1,353,098

	Tobacco — 0.8%
	78,850	Altria Group Inc.		5,211,196
	62,459	Philip Morris International Inc.		6,241,528
	33,442	Reynolds American Inc.		1,657,720

		Total Tobacco		13,110,444

		TOTAL CONSUMER STAPLES		158,719,120

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund

Shares/Units		Security	Value
	ENERGY — 6.7%
	Energy Equipment & Services — 2.1%
	17,613	Baker Hughes Inc.	$	865,327
	58,600	Core Laboratories NV		6,550,308
	2,846	Diamond Offshore Drilling Inc.(a)		52,566
	1,564	Dril-Quip Inc.*		86,911
	12,672	Ensco PLC, Class A Shares		96,180
	9,065	FMC Technologies Inc.*		255,633
	1,827	Frank’s International NV(a)		20,992
	186,824	Halliburton Co.		8,035,300
	4,092	Helmerich & Payne Inc.(a)		247,402
	11,605	Nabors Industries Ltd.		115,354
	131,379	National Oilwell Varco Inc.		4,406,452
	10,511	Noble Corp. PLC		60,543
	4,152	Oceaneering International Inc.		110,111
	6,285	Patterson-UTI Energy Inc.		122,495
	5,366	Rowan Cos. PLC, Class A Shares		66,860
	2,584	RPC Inc.*(a)		39,613
	168,398	Schlumberger Ltd.		13,303,442
	6,392	Superior Energy Services Inc.		107,577
	14,571	Transocean Ltd.*(a)		141,339
	31,733	Weatherford International PLC*		173,580

		Total Energy Equipment & Services		34,857,985

	Oil, Gas & Consumable Fuels — 4.6%
	20,558	Anadarko Petroleum Corp.		1,099,236
	7,043	Antero Resources Corp.*		180,019
	15,259	Apache Corp.		758,372
	18,716	Cabot Oil & Gas Corp.		460,975
	7,934	Cheniere Energy Inc.*		340,369
	26,081	Chesapeake Energy Corp.*		165,614
	140,981	Chevron Corp.		14,179,869
	3,792	Cimarex Energy Co.		501,227
	5,667	Concho Resources Inc.*		732,176
	202,651	ConocoPhillips		8,318,824
	9,119	CONSOL Energy Inc.		166,331
	3,482	Continental Resources Inc.*		166,997
	21,208	Devon Energy Corp.		918,943
	3,114	Diamondback Energy Inc.*		296,608
	3,897	Energen Corp.		224,077
	72,854	EOG Resources Inc.		6,446,850
	7,043	EQT Corp.		503,574
	167,128	Exxon Mobil Corp.		14,563,534
	5,446	Gulfport Energy Corp.*		155,756
	11,481	Hess Corp.		623,418
	6,947	HollyFrontier Corp.		179,788
	77,753	Kinder Morgan Inc.		1,698,903
	7,086	Kosmos Energy Ltd.*		44,004
	5,890	Laredo Petroleum Inc.*(a)		72,329
	273,857	Marathon Oil Corp.		4,113,332
	21,165	Marathon Petroleum Corp.		899,724
	4,279	Memorial Resource Development Corp.*		61,618
	6,558	Murphy Oil Corp.		175,230
	7,977	Newfield Exploration Co.*		345,883
	17,176	Noble Energy Inc.		592,228
	117,960	Occidental Petroleum Corp.		9,065,226
	8,444	ONEOK Inc.		395,939

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund

Shares/Units		Security	Value
	ENERGY — 6.7% — (continued)
	Oil, Gas & Consumable Fuels — 4.6% — (continued)
	6,547	Parsley Energy Inc., Class A Shares*	$	221,616
	4,143	PBF Energy Inc., Class A Shares		90,732
	18,219	Phillips 66		1,429,281
	6,502	Pioneer Natural Resources Co.		1,164,183
	9,337	QEP Resources Inc.		178,337
	6,621	Range Resources Corp.		255,372
	2,907	SM Energy Co.		110,117
	20,092	Southwestern Energy Co.*		279,480
	28,160	Spectra Energy Corp.		1,003,059
	109,116	Suncor Energy Inc.		2,958,135
	6,127	Targa Resources Corp.		267,015
	4,777	Tesoro Corp.		360,281
	19,041	Valero Energy Corp.		1,053,919
	8,651	Whiting Petroleum Corp.*(a)		63,066
	27,871	Williams Cos., Inc. (The)		778,716
	2,958	World Fuel Services Corp.		131,868
	11,872	WPX Energy Inc.*		142,464

		Total Oil, Gas & Consumable Fuels		78,934,614

		TOTAL ENERGY		113,792,599

	FINANCIALS — 12.9%
	Banks — 3.1%
	6,559	Associated Banc-Corp.		130,131
	414,310	Bank of America Corp.		6,686,963
	1,869	Bank of Hawaii Corp.		134,643
	4,303	BankUnited Inc.		138,341
	212,448	BB&T Corp.		8,179,248
	986	BOK Financial Corp.(a)		68,103
	8,002	CIT Group Inc.		295,114
	118,362	Citigroup Inc.		5,650,602
	20,597	Citizens Financial Group Inc.		510,188
	7,017	Comerica Inc.		331,834
	3,552	Commerce Bancshares Inc.		180,015
	2,210	Cullen/Frost Bankers Inc.(a)		161,109
	6,071	East West Bancorp Inc.		225,477
	29,838	Fifth Third Bancorp		601,534
	9,257	First Horizon National Corp.		142,373
	5,759	First Republic Bank		443,213
	43,636	Huntington Bancshares Inc.		436,796
	146,745	JPMorgan Chase & Co.		9,905,287
	43,547	KeyCorp		546,950
	6,051	M&T Bank Corp.		716,015
	4,767	PacWest Bancorp		206,459
	12,423	People’s United Financial Inc.		201,874
	20,055	PNC Financial Services Group Inc. (The)		1,806,955
	4,114	Popular Inc.		161,721
	50,090	Regions Financial Corp.		499,397
	2,123	Signature Bank*		259,027
	20,185	SunTrust Banks Inc.		889,553
	2,150	SVB Financial Group*		238,779
	5,191	Synovus Financial Corp.		171,718
	6,307	TCF Financial Corp.		92,398
	65,431	US Bancorp		2,888,779
	184,200	Wells Fargo & Co.		9,357,360
	3,841	Western Alliance Bancorp*		146,803

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund

Shares/Units		Security	Value
	FINANCIALS — 12.9% — (continued)
	Banks — 3.1% — (continued)
	8,089	Zions Bancorporation	$	247,443

		Total Banks		52,652,202

	Capital Markets — 2.2%
	2,130	Affiliated Managers Group Inc.*		302,566
	49,487	Ameriprise Financial Inc.		5,002,146
	1,645	Artisan Partners Asset Management Inc., Class A Shares		43,017
	215,674	Bank of New York Mellon Corp. (The)		8,987,136
	5,034	BlackRock Inc., Class A Shares		1,876,725
	349,534	Charles Schwab Corp. (The)		10,996,340
	10,959	ETrade Financial Corp.		289,098
	4,408	Eaton Vance Corp.		176,452
	4,062	Federated Investors Inc., Class B Shares		131,203
	14,536	Franklin Resources Inc.		530,564
	15,607	Goldman Sachs Group Inc. (The)		2,644,762
	2,672	Interactive Brokers Group Inc., Class A Shares		95,871
	16,469	Invesco Ltd.		513,668
	5,119	Lazard Ltd., Class A Shares		189,557
	4,440	Legg Mason Inc.		153,580
	3,608	LPL Financial Holdings Inc.(a)		107,266
	57,495	Morgan Stanley(d)		1,843,290
	8,254	Northern Trust Corp.		582,650
	7,892	NorthStar Asset Management Group Inc.		98,098
	4,624	Raymond James Financial Inc.		268,978
	4,705	SEI Investments Co.		216,900
	16,047	State Street Corp.		1,127,141
	9,914	T. Rowe Price Group Inc.		689,419
	9,819	TD Ameritrade Holding Corp.		322,701

		Total Capital Markets		37,189,128

	Consumer Finance — 0.4%
	17,357	Ally Financial Inc.		347,834
	32,405	American Express Co.		2,125,120
	20,557	Capital One Financial Corp.		1,471,881
	359	Credit Acceptance Corp.*(a)		71,675
	16,495	Discover Financial Services		989,700
	13,219	Navient Corp.		190,089
	2,267	OneMain Holdings Inc., Class A Shares*		70,300
	4,696	Santander Consumer USA Holdings Inc.*		59,076
	12,967	SLM Corp.*		96,150
	33,588	Synchrony Financial		934,754

		Total Consumer Finance		6,356,579

	Diversified Financial Services — 2.1%
	171,931	Berkshire Hathaway Inc., Class B Shares*		25,873,896
	3,254	CBOE Holdings Inc.		223,517
	13,694	CME Group Inc., Class A Shares		1,483,745
	1,468	FactSet Research Systems Inc.		261,348
	17,550	Intercontinental Exchange Inc.		4,949,451
	13,213	Leucadia National Corp.		253,029
	1,473	MarketAxess Holdings Inc.		248,259
	6,852	Moody’s Corp.		744,744
	709	Morningstar Inc.		58,897
	3,605	MSCI Inc., Class A Shares		324,883
	4,432	Nasdaq Inc.		315,603
	10,614	S&P Global Inc.		1,311,254

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund

Shares/Units		Security	Value
	FINANCIALS — 12.9% — (continued)
	Diversified Financial Services — 2.1% — (continued)
	8,219	Voya Financial Inc.	$	240,324

		Total Diversified Financial Services		36,288,950

	Insurance — 3.0%
	77,306	Aflac Inc.		5,734,559
	590	Alleghany Corp.*		316,358
	3,514	Allied World Assurance Co. Holdings AG		142,528
	116,963	Allstate Corp. (The)		8,065,769
	2,865	American Financial Group Inc.		215,305
	44,692	American International Group Inc.		2,673,922
	321	American National Insurance Co.		37,499
	3,682	AmTrust Financial Services Inc.		97,536
	10,587	Aon PLC		1,178,863
	4,351	Arch Capital Group Ltd.*		352,170
	6,862	Arthur J. Gallagher & Co.		339,051
	2,415	Aspen Insurance Holdings Ltd.		110,993
	22,251	Assurant Inc.		1,992,577
	5,594	Assured Guaranty Ltd.		155,345
	3,800	Axis Capital Holdings Ltd.		216,106
	4,677	Brown & Brown Inc.		175,247
	18,623	Chubb Ltd.		2,363,817
	6,121	Cincinnati Financial Corp.		471,990
	1,198	CNA Financial Corp.		39,905
	2,568	Endurance Specialty Holdings Ltd.		169,103
	1,025	Erie Indemnity Co., Class A Shares		104,581
	1,628	Everest Re Group Ltd.		314,823
	4,438	First American Financial Corp.		191,233
	10,458	FNF Group		394,162
	1,840	Hanover Insurance Group Inc. (The)		143,888
	15,850	Hartford Financial Services Group Inc. (The)		650,960
	78,267	Lincoln National Corp.		3,759,164
	11,067	Loews Corp.		463,265
	556	Markel Corp.*		517,697
	124,528	Marsh & McLennan Cos., Inc.		8,421,829
	37,468	MetLife Inc.		1,626,111
	9,712	Old Republic International Corp.		186,762
	10,674	Principal Financial Group Inc.		523,773
	2,314	ProAssurance Corp.		127,316
	23,401	Progressive Corp. (The)		761,937
	17,801	Prudential Financial Inc.		1,413,043
	2,567	Reinsurance Group of America Inc., Class A Shares		275,491
	1,714	RenaissanceRe Holdings Ltd.		205,166
	4,719	Torchmark Corp.		305,225
	11,810	Travelers Cos., Inc. (The)		1,401,965
	9,119	Unum Group		324,728
	3,019	Validus Holdings Ltd.		153,335
	205	White Mountains Insurance Group Ltd.		168,924
	32,342	Willis Towers Watson PLC		4,010,731
	3,850	WR Berkley Corp.		228,575
	10,884	XL Group Ltd.		372,559

		Total Insurance		51,895,886

	Real Estate Investment Trusts (REITs) — 2.0%
	3,070	Alexandria Real Estate Equities Inc.		337,976
	5,463	American Campus Communities Inc.		273,751

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund

Shares/Units		Security	Value
	FINANCIALS — 12.9% — (continued)
	Real Estate Investment Trusts (REITs) — 2.0% — (continued)
	13,332	American Capital Agency Corp.	$	257,441
	6,687	American Homes 4 Rent, Class A Shares		146,245
	16,976	American Tower Corp.		1,924,739
	40,638	Annaly Capital Management Inc.		435,233
	5,820	Apartment Investment & Management Co., Class A Shares		262,948
	6,602	Apple Hospitality REIT Inc.(a)		129,531
	5,574	AvalonBay Communities Inc.		975,506
	6,205	Boston Properties Inc.		869,507
	6,910	Brandywine Realty Trust		111,458
	7,968	Brixmor Property Group Inc.		227,566
	3,139	Camden Property Trust		275,510
	3,708	Care Capital Properties Inc.		111,203
	7,531	Chimera Investment Corp.		124,186
	5,397	Columbia Property Trust Inc.		127,261
	4,712	Communications Sales & Leasing Inc.		147,014
	4,161	Corporate Office Properties Trust		118,672
	5,045	Corrections Corp. of America(a)		80,367
	13,526	Crown Castle International Corp.		1,281,859
	7,493	CubeSmart		206,282
	2,981	CyrusOne Inc.		151,554
	3,731	DCT Industrial Trust Inc.		181,737
	12,684	DDR Corp.		239,854
	5,947	Digital Realty Trust Inc.		589,288
	4,827	Douglas Emmett Inc.		181,302
	13,911	Duke Realty Corp.		391,177
	4,957	Empire State Realty Trust Inc., Class A Shares		106,427
	2,584	EPR Properties		202,379
	2,768	Equinix Inc.		1,020,423
	4,904	Equity Commonwealth*		153,446
	2,790	Equity LifeStyle Properties Inc.		216,309
	3,608	Equity One Inc.		111,992
	14,340	Equity Residential		930,236
	2,575	Essex Property Trust Inc.		584,783
	4,844	Extra Space Storage Inc.		390,184
	2,838	Federal Realty Investment Trust		451,242
	9,179	Forest City Realty Trust Inc., Class A Shares		217,175
	7,522	Gaming & Leisure Properties Inc.		257,328
	23,230	General Growth Properties Inc.		676,922
	18,519	HCP Inc.		728,352
	5,580	Healthcare Trust of America Inc., Class A Shares		188,269
	3,892	Highwoods Properties Inc.		206,432
	6,499	Hospitality Properties Trust		198,155
	28,661	Host Hotels & Resorts Inc.		510,739
	10,055	Iron Mountain Inc.		386,213
	3,637	Kilroy Realty Corp.		264,155
	15,777	Kimco Realty Corp.		474,099
	3,430	Lamar Advertising Co., Class A Shares		213,792
	5,872	Liberty Property Trust		242,103
	1,917	Life Storage Inc.		172,530
	5,654	Macerich Co. (The)		463,006
	14,863	MFA Financial Inc.		114,742
	2,875	Mid-America Apartment Communities Inc.		270,221
	5,741	National Retail Properties Inc.		287,624
	7,800	NorthStar Realty Finance Corp.		104,052
	7,398	Omega Healthcare Investors Inc.(a)		267,808

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund

Shares/Units		Security	Value
	FINANCIALS — 12.9% — (continued)
	Real Estate Investment Trusts (REITs) — 2.0% — (continued)
	5,979	Outfront Media Inc.	$	133,451
	7,238	Paramount Group Inc.		130,284
	5,817	Piedmont Office Realty Trust Inc., Class A Shares		125,705
	2,262	Post Properties Inc.		149,925
	21,008	Prologis Inc.		1,115,735
	5,967	Public Storage		1,336,250
	4,929	Rayonier Inc.		135,695
	10,424	Realty Income Corp.		685,170
	4,065	Regency Centers Corp.		327,395
	9,541	Retail Properties of America Inc., Class A Shares		162,197
	9,459	Senior Housing Properties Trust		211,314
	12,400	Simon Property Group Inc.		2,671,828
	3,778	SL Green Realty Corp.		444,746
	19,268	Spirit Realty Capital Inc.		255,301
	8,033	Starwood Property Trust Inc.		183,956
	6,293	STORE Capital Corp.		186,462
	2,564	Sun Communities Inc.		196,197
	3,746	Tanger Factory Outlet Centers Inc.		152,237
	2,351	Taubman Centers Inc.		182,602
	9,540	Two Harbors Investment Corp.		84,906
	10,193	UDR Inc.		368,783
	13,656	Ventas Inc.		992,382
	34,512	VEREIT Inc.		360,650
	6,811	Vornado Realty Trust		703,644
	4,939	Weingarten Realty Investors		203,734
	14,373	Welltower Inc.		1,103,128
	29,837	Weyerhaeuser Co.		950,309
	4,325	WP Carey Inc.		288,261

		Total Real Estate Investment Trusts (REITs)		34,412,552

	Real Estate Management & Development — 0.1%
	11,065	CBRE Group Inc., Class A Shares*		330,733
	1,453	Howard Hughes Corp. (The)*		171,774
	1,809	Jones Lang LaSalle Inc.		211,201
	6,110	Realogy Holdings Corp.		163,992

		Total Real Estate Management & Development		877,700

	Thrifts & Mortgage Finance — 0.0%
	16,828	New York Community Bancorp Inc.		254,271
	2,294	TFS Financial Corp.		41,613

		Total Thrifts & Mortgage Finance		295,884

		TOTAL FINANCIALS		219,968,881

	HEALTH CARE — 14.9%
	Biotechnology — 2.9%
	65,216	AbbVie Inc.		4,180,345
	3,868	ACADIA Pharmaceuticals Inc.*(a)		124,279
	1,216	Agios Pharmaceuticals Inc.*(a)		44,797
	41,186	Alexion Pharmaceuticals Inc.*		5,183,670
	5,752	Alkermes PLC*		251,765
	2,833	Alnylam Pharmaceuticals Inc.*		197,885
	30,279	Amgen Inc.		5,149,247
	21,679	Biogen Inc.*		6,625,753
	6,531	BioMarin Pharmaceutical Inc.*		613,195
	73,889	Celgene Corp.*		7,886,912

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund

Shares/Units		Security	Value
	HEALTH CARE — 14.9% — (continued)
	Biotechnology — 2.9% — (continued)
	53,398	Gilead Sciences Inc.	$	4,185,335
	6,557	Incyte Corp.*		531,773
	33,682	Intercept Pharmaceuticals Inc.*(a)		4,995,377
	2,353	Intrexon Corp.*		59,390
	4,581	Ionis Pharmaceuticals Inc.*(a)		135,827
	2,676	Juno Therapeutics Inc.*(a)		79,156
	6,448	Medivation Inc.*		519,451
	3,645	Neurocrine Biosciences Inc.*		176,637
	13,694	OPKO Health Inc.*(a)		124,615
	3,125	Regeneron Pharmaceuticals Inc.*		1,226,719
	3,567	Seattle Genetics Inc.*		158,910
	1,771	United Therapeutics Corp.*		216,558
	65,682	Vertex Pharmaceuticals Inc.*		6,207,606

		Total Biotechnology		48,875,202

	Health Care Equipment & Supplies — 2.1%
	215,754	Abbott Laboratories		9,065,983
	1,686	ABIOMED Inc.*		198,847
	3,699	Alere Inc.*		144,742
	2,662	Align Technology Inc.*		247,300
	19,984	Baxter International Inc.		933,852
	8,448	Becton Dickinson and Co.		1,497,070
	54,262	Boston Scientific Corp.*		1,292,521
	1,897	Cooper Cos., Inc. (The)		352,690
	2,955	CR Bard Inc.		652,582
	24,425	Danaher Corp.		1,988,439
	9,259	DENTSPLY SIRONA Inc.		569,058
	37,897	DexCom Inc.*		3,452,038
	36,913	Edwards Lifesciences Corp.*		4,250,901
	2,704	Hill-Rom Holdings Inc.		160,374
	11,091	Hologic Inc.*		426,116
	3,478	IDEXX Laboratories Inc.*		391,901
	1,533	Intuitive Surgical Inc.*		1,052,282
	56,526	Medtronic PLC		4,919,458
	5,546	ResMed Inc.		369,863
	11,267	St. Jude Medical Inc.		877,925
	13,610	Stryker Corp.		1,574,133
	1,755	Teleflex Inc.		321,323
	3,763	Varian Medical Systems Inc.*		361,737
	3,028	West Pharmaceutical Services Inc.		247,781
	7,425	Zimmer Biomet Holdings Inc.		962,354

		Total Health Care Equipment & Supplies		36,311,270

	Health Care Providers & Services — 3.2%
	3,103	Acadia Healthcare Co., Inc.*		158,843
	47,965	Aetna Inc.		5,617,661
	7,247	AmerisourceBergen Corp., Class A Shares		630,272
	2,282	Amsurg Corp.*		148,147
	38,155	Anthem Inc.		4,772,427
	7,799	Brookdale Senior Living Inc.*		134,221
	94,344	Cardinal Health Inc.		7,516,386
	6,754	Centene Corp.*		461,231
	10,231	Cigna Corp.		1,312,228
	6,698	DaVita HealthCare Partners Inc.*		432,892
	7,982	Envision Healthcare Holdings Inc.*		171,294

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund

Shares/Units		Security	Value
	HEALTH CARE — 14.9% — (continued)
	Health Care Providers & Services — 3.2% — (continued)
	211,947	Express Scripts Holding Co.*	$	15,408,547
	12,511	HCA Holdings Inc.*		945,206
	3,292	Henry Schein Inc.*		539,197
	5,961	Humana Inc.		1,065,290
	4,140	Laboratory Corp. of America Holdings*		566,890
	1,736	LifePoint Health Inc.*		98,258
	9,095	McKesson Corp.		1,679,119
	3,381	MEDNAX Inc.*		222,368
	3,609	Patterson Cos., Inc.		166,014
	1,988	Premier Inc., Class A Shares*		62,920
	84,333	Quest Diagnostics Inc.		6,984,459
	3,469	Tenet Healthcare Corp.*		82,909
	37,786	UnitedHealth Group Inc.		5,140,785
	3,398	Universal Health Services Inc., Class B Shares		409,561
	3,123	VCA Inc.*		221,140
	1,779	WellCare Health Plans Inc.*		200,493

		Total Health Care Providers & Services		55,148,758

	Health Care Technology — 0.1%
	8,070	Allscripts Healthcare Solutions Inc.*		104,184
	1,659	athenahealth Inc.*		203,112
	11,969	Cerner Corp.*		772,479
	6,376	IMS Health Holdings Inc.*		190,132
	2,440	Inovalon Holdings Inc., Class A Shares*(a)		38,308
	4,088	Veeva Systems Inc., Class A Shares*		167,281

		Total Health Care Technology		1,475,496

	Life Sciences Tools & Services — 0.7%
	13,128	Agilent Technologies Inc.		616,753
	857	Bio-Rad Laboratories Inc., Class A Shares*		127,530
	1,580	Bio-Techne Corp.		166,453
	4,429	Bruker Corp.		99,032
	1,945	Charles River Laboratories International Inc.*		161,844
	35,735	Illumina Inc.*		6,015,630
	1,053	Mettler-Toledo International Inc.*		424,433
	3,949	PerkinElmer Inc.		210,284
	9,169	QIAGEN NV*		243,070
	3,316	Quintiles Transnational Holdings Inc.*		256,327
	15,806	Thermo Fisher Scientific Inc.		2,405,515
	3,249	VWR Corp.*		90,680
	3,097	Waters Corp.*		487,189

		Total Life Sciences Tools & Services		11,304,740

	Pharmaceuticals — 5.9%
	3,582	Akorn Inc.*		96,428
	61,274	Allergan PLC*		14,371,204
	158,152	Bristol-Myers Squibb Co.		9,076,343
	39,300	Eli Lilly & Co.		3,055,575
	8,762	Endo International PLC*		181,373
	168,966	Johnson & Johnson		20,164,402
	16,806	Mallinckrodt PLC*		1,252,719
	218,174	Merck & Co., Inc.		13,699,146
	17,744	Mylan NV*		751,636
	55,943	Novo Nordisk AS, ADR		2,613,657
	5,553	Perrigo Co. PLC		505,268
	687,023	Pfizer Inc.		23,908,400

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund

Shares/Units		Security	Value
	HEALTH CARE — 14.9% — (continued)
	Pharmaceuticals — 5.9% — (continued)
	232,053	Zoetis Inc., Class A Shares	$	11,857,908

		Total Pharmaceuticals		101,534,059

		TOTAL HEALTH CARE		254,649,525

	INDUSTRIALS — 8.3%
	Aerospace & Defense — 2.0
	4,273	B/E Aerospace Inc.		216,000
	24,040	Boeing Co. (The)		3,111,978
	3,747	BWX Technologies Inc.		145,421
	9,877	General Dynamics Corp.		1,503,477
	812	HEICO Corp.		55,184
	1,604	HEICO Corp., Class A Shares		91,236
	3,724	Hexcel Corp.		167,021
	30,668	Honeywell International Inc.		3,579,263
	1,850	Huntington Ingalls Industries Inc.		305,564
	3,085	L-3 Communications Holdings Inc.		459,110
	10,245	Lockheed Martin Corp.		2,489,228
	37,603	Northrop Grumman Corp.		7,974,468
	2,119	Orbital ATK Inc.		159,836
	59,262	Raytheon Co.		8,304,384
	5,219	Rockwell Collins Inc.		436,778
	4,905	Spirit AeroSystems Holdings Inc., Class A Shares*		224,747
	10,665	Textron Inc.		435,665
	2,035	TransDigm Group Inc.*		580,362
	31,283	United Technologies Corp.		3,329,450

		Total Aerospace & Defense		33,569,172

	Air Freight & Logistics — 0.3%
	5,729	CH Robinson Worldwide Inc.		397,707
	7,220	Expeditors International of Washington Inc.		365,693
	10,056	FedEx Corp.		1,658,536
	27,867	United Parcel Service Inc., Class B Shares		3,043,634

		Total Air Freight & Logistics		5,465,570

	Airlines — 0.2%
	4,732	Alaska Air Group Inc.		319,552
	21,273	American Airlines Group Inc.		772,210
	1,286	Copa Holdings SA, Class A Shares		98,289
	31,051	Delta Air Lines Inc.		1,141,124
	13,686	JetBlue Airways Corp.*		218,292
	25,733	Southwest Airlines Co.		949,033
	3,057	Spirit Airlines Inc.*		122,250
	13,679	United Continental Holdings Inc.*		689,558

		Total Airlines		4,310,308

	Building Products — 0.1%
	3,746	Allegion PLC		266,790
	2,865	AO Smith Corp.		276,415
	2,069	Armstrong World Industries Inc.*		89,939
	6,048	Fortune Brands Home & Security Inc.		384,411
	1,595	Lennox International Inc.		256,907
	13,369	Masco Corp.		474,332
	4,608	Owens Corning		253,071
	3,797	USG Corp.*		104,152

		Total Building Products		2,106,017

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund

Shares/Units		Security	Value
	INDUSTRIALS — 8.3% — (continued)
	Commercial Services & Supplies — 1.6%
	3,443	Cintas Corp.	$	404,587
	2,263	Clean Harbors Inc.*		108,171
	184,064	Copart Inc.*		9,390,945
	4,707	Covanta Holding Corp.		70,087
	5,018	KAR Auction Services Inc.		212,161
	7,837	Pitney Bowes Inc.		147,022
	9,603	Republic Services Inc., Class A Shares		485,144
	4,191	Rollins Inc.		119,443
	8,926	RR Donnelley & Sons Co.		152,635
	86,781	Stericycle Inc.*		7,461,430
	16,179	Tyco International PLC		706,699
	121,040	Waste Management Inc.		7,739,298

		Total Commercial Services & Supplies		26,997,622

	Construction & Engineering — 0.2%
	52,536	AECOM*		1,619,685
	4,372	Chicago Bridge & Iron Co. NV		130,198
	5,602	Fluor Corp.		290,744
	4,813	Jacobs Engineering Group Inc.*		253,597
	5,620	KBR Inc.		82,501
	5,790	Quanta Services Inc.*		148,977
	934	Valmont Industries Inc.		121,859

		Total Construction & Engineering		2,647,561

	Electrical Equipment — 0.7%
	15,588	Acuity Brands Inc.		4,288,571
	9,156	AMETEK Inc.		446,355
	81,705	Eaton Corp. PLC		5,436,651
	25,605	Emerson Electric Co.		1,348,871
	2,206	Hubbell Inc., Class B Shares		238,932
	1,904	Regal Beloit Corp.		116,772
	5,203	Rockwell Automation Inc.		603,184
	2,791	SolarCity Corp.*		57,662

		Total Electrical Equipment		12,536,998

	Industrial Conglomerates — 1.0%
	23,712	3M Co.		4,250,139
	2,434	Carlisle Cos., Inc.		255,229
	370,976	General Electric Co.		11,589,290
	4,055	Roper Technologies Inc.		719,965

		Total Industrial Conglomerates		16,814,623

	Machinery — 0.8%
	2,919	AGCO Corp.		141,688
	5,685	Allison Transmission Holdings Inc.		157,702
	22,467	Caterpillar Inc.		1,841,171
	4,234	Colfax Corp.*		125,665
	2,109	Crane Co.		135,651
	6,377	Cummins Inc.		801,015
	12,672	Deere & Co.		1,071,418
	5,099	Donaldson Co., Inc.		191,467
	6,028	Dover Corp.		437,030
	5,222	Flowserve Corp.		252,588
	11,372	Fortive Corp.		598,963
	2,358	Graco Inc.		173,714
	3,054	IDEX Corp.		285,366

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund

Shares/Units		Security	Value
	INDUSTRIALS — 8.3% — (continued)
	Machinery — 0.8% — (continued)
	11,860	Illinois Tool Works Inc.	$	1,409,561
	10,016	Ingersoll-Rand PLC		680,988
	3,813	ITT Inc.		137,954
	2,625	Lincoln Electric Holdings Inc.		166,845
	5,224	Manitowoc Foodservice Inc.*		84,263
	2,276	Middleby Corp. (The)*		291,669
	2,292	Nordson Corp.		226,289
	3,010	Oshkosh Corp.		162,329
	13,845	PACCAR Inc.		828,485
	5,369	Parker-Hannifin Corp.		657,864
	6,530	Pentair PLC		418,246
	2,319	Snap-on Inc.		355,480
	6,072	Stanley Black & Decker Inc.		751,410
	4,579	Terex Corp.		111,178
	2,991	Timken Co. (The)		101,305
	2,249	Toro Co. (The)		218,490
	6,435	Trinity Industries Inc.		157,143
	2,123	WABCO Holdings Inc.*		226,651
	3,203	Wabtec Corp.		245,382
	6,982	Xylem Inc.		355,105

		Total Machinery		13,800,075

	Marine — 0.0%
	2,188	Kirby Corp.*		113,995

	Professional Services — 0.5%
	1,462	Dun & Bradstreet Corp. (The)		201,244
	4,765	Equifax Inc.		628,503
	2,866	ManpowerGroup Inc.		204,804
	14,671	Nielsen Holdings PLC		781,671
	5,121	Robert Half International Inc.		196,288
	2,237	TransUnion*		73,799
	82,398	Verisk Analytics Inc., Class A Shares*		6,843,154

		Total Professional Services		8,929,463

	Road & Rail — 0.6%
	269	AMERCO		92,458
	34,188	Avis Budget Group Inc.*		1,235,213
	38,264	CSX Corp.		1,082,106
	2,412	Genesee & Wyoming Inc., Class A Shares*		163,992
	36,096	Hertz Global Holdings Inc.*		1,778,089
	3,469	JB Hunt Transport Services Inc.		275,404
	4,320	Kansas City Southern		417,830
	1,833	Landstar System Inc.		126,899
	11,891	Norfolk Southern Corp.		1,116,565
	2,846	Old Dominion Freight Line Inc.*		202,436
	2,245	Ryder System Inc.		147,092
	33,991	Union Pacific Corp.		3,247,160

		Total Road & Rail		9,885,244

	Trading Companies & Distributors — 0.3%
	59,894	AerCap Holdings NV*		2,393,963
	4,063	Air Lease Corp., Class A Shares		119,371
	11,552	Fastenal Co.		498,007
	8,082	HD Supply Holdings Inc.*		291,841
	1,033	Herc Holdings Inc.*		34,926

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund

Shares/Units		Security	Value
	INDUSTRIALS — 8.3% — (continued)
	Trading Companies & Distributors — 0.3% — (continued)
	31,033	MRC Global Inc.*	$	455,254
	2,025	MSC Industrial Direct Co., Inc., Class A Shares		147,906
	3,307	United Rentals Inc.*		272,199
	1,099	Watsco Inc.		162,498
	1,813	WESCO International Inc.*		112,696
	2,255	WW Grainger Inc.		520,138

		Total Trading Companies & Distributors		5,008,799

	Transportation Infrastructure — 0.0%
	3,000	Macquarie Infrastructure Corp.		239,820

		TOTAL INDUSTRIALS		142,425,267

	INFORMATION TECHNOLOGY — 22.7%
	Communications Equipment — 2.3%
	1,666	Arista Networks Inc.*		132,747
	52,807	ARRIS International PLC*		1,482,293
	20,001	Brocade Communications Systems Inc.		179,609
	789,794	Cisco Systems Inc.		24,831,123
	5,430	CommScope Holding Co., Inc.*		160,565
	1,880	EchoStar Corp., Class A Shares*		72,869
	2,638	F5 Networks Inc.*		323,762
	5,027	Harris Corp.		467,410
	14,669	Juniper Networks Inc.		338,561
	87,469	Motorola Solutions Inc.		6,734,238
	32,673	Palo Alto Networks Inc.*		4,351,063

		Total Communications Equipment		39,074,240

	Electronic Equipment, Instruments & Components — 0.7%
	12,118	Amphenol Corp., Class A Shares		755,073
	3,220	Arrow Electronics Inc.*		211,973
	5,363	Avnet Inc.		223,530
	6,537	CDW Corp.		291,877
	3,263	Cognex Corp.		162,367
	238,389	Corning Inc.		5,409,047
	2,138	Dolby Laboratories Inc., Class A Shares		104,634
	1,739	FEI Co.		185,151
	5,313	Fitbit Inc., Class A Shares*		82,245
	5,694	FLIR Systems Inc.		175,546
	5,829	Ingram Micro Inc., Class A Shares		203,782
	1,515	IPG Photonics Corp.*		131,775
	8,033	Jabil Circuit Inc.		170,219
	7,282	Keysight Technologies Inc.*		221,591
	4,431	National Instruments Corp.		123,802
	62,792	TE Connectivity Ltd.		3,991,688
	9,386	Trimble Navigation Ltd.*		257,176
	4,740	VeriFone Systems Inc.*		94,136
	2,169	Zebra Technologies Corp., Class A Shares*		151,743

		Total Electronic Equipment, Instruments & Components		12,947,355

	Internet Software & Services — 5.1%
	6,925	Akamai Technologies Inc.*		380,182
	66,610	Alibaba Group Holding Ltd., ADR*		6,473,826
	45,235	Alphabet Inc., Class A Shares*		35,728,865
	11,962	Alphabet Inc., Class C Shares*		9,175,452
	571	CommerceHub Inc., Series A*		8,445
	1,142	CommerceHub Inc., Series C*		16,822

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund

Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 22.7% — (continued)
	Internet Software & Services — 5.1% — (continued)
	1,284	CoStar Group Inc.*	$	266,109
	352,970	eBay Inc.*		11,351,515
	130,808	Facebook Inc., Class A Shares*		16,497,505
	1,948	GoDaddy Inc., Class A Shares*		63,076
	3,012	IAC/InterActiveCorp.		176,835
	4,727	LinkedIn Corp., Class A Shares*		911,129
	1,388	Match Group Inc.*		22,472
	19,823	MercadoLibre Inc.		3,409,556
	9,330	Pandora Media Inc.*(a)		130,620
	4,631	Rackspace Hosting Inc.*		145,645
	25,596	Twitter Inc.*		491,699
	3,766	VeriSign Inc.*		280,379
	34,914	Yahoo! Inc.*		1,492,573
	2,900	Yelp Inc., Class A Shares*		111,592
	1,706	Zillow Group Inc., Class A Shares*(a)		57,714
	4,239	Zillow Group Inc., Class C Shares*(a)		143,490

		Total Internet Software & Services		87,335,501

	IT Services — 4.2%
	25,132	Accenture PLC, Class A Shares		2,890,180
	2,342	Alliance Data Systems Corp.*		479,126
	5,756	Amdocs Ltd.		346,051
	18,465	Automatic Data Processing Inc.		1,658,342
	1,094	Black Knight Financial Services Inc., Class A Shares*		42,688
	4,854	Booz Allen Hamilton Holding Corp., Class A Shares		147,367
	4,681	Broadridge Financial Solutions Inc.		324,393
	204,547	Cognizant Technology Solutions Corp., Class A Shares*		11,749,180
	5,386	Computer Sciences Corp.		253,357
	3,794	CoreLogic Inc.*		155,630
	6,893	CSRA Inc.		175,013
	1,411	DST Systems Inc.		171,451
	2,112	Euronet Worldwide Inc.*		163,912
	13,023	Fidelity National Information Services Inc.		1,033,115
	13,171	First Data Corp., Class A Shares*		183,340
	8,995	Fiserv Inc.*		926,935
	3,709	FleetCor Technologies Inc.*		609,018
	3,176	Gartner Inc.*		289,016
	6,043	Genpact Ltd.*		142,977
	6,221	Global Payments Inc.		472,485
	35,439	International Business Machines Corp.		5,630,548
	3,099	Jack Henry & Associates Inc.		270,450
	4,831	Leidos Holdings Inc.		195,704
	38,841	MasterCard Inc., Class A Shares		3,753,206
	12,950	Paychex Inc.		785,677
	195,925	PayPal Holdings Inc.*		7,278,614
	8,324	Sabre Corp.		234,321
	2,438	Square Inc., Class A Shares*		29,719
	5,551	Teradata Corp.*		176,133
	6,666	Total System Services Inc.		328,301
	6,179	Vantiv Inc., Class A Shares*		332,059
	240,246	Visa Inc., Class A Shares		19,435,901
	172,561	Western Union Co. (The)		3,713,513
	1,653	WEX Inc.*		164,159
	672,671	Xerox Corp.		6,625,809

		Total IT Services		71,167,690

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund

Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 22.7% — (continued)
	Semiconductors & Semiconductor Equipment — 3.2%
	12,452	Analog Devices Inc.	$	778,997
	43,725	Applied Materials Inc.		1,304,754
	43,043	Broadcom Ltd.		7,593,646
	4,261	Cree Inc.*		102,307
	13,405	Cypress Semiconductor Corp.		159,922
	3,246	First Solar Inc.*		122,764
	389,507	Intel Corp.		13,979,406
	6,286	KLA-Tencor Corp.		435,368
	6,468	Lam Research Corp.		603,594
	9,585	Linear Technology Corp.		558,231
	16,176	Marvell Technology Group Ltd.		200,582
	11,281	Maxim Integrated Products Inc.		459,362
	8,385	Microchip Technology Inc.		519,115
	42,080	Micron Technology Inc.*		693,899
	31,006	Microsemi Corp.*		1,239,000
	20,485	NVIDIA Corp.		1,256,550
	16,564	ON Semiconductor Corp.*		178,891
	4,945	Qorvo Inc.*		283,991
	165,601	QUALCOMM Inc.		10,444,455
	128,308	Skyworks Solutions Inc.		9,605,137
	2,424	SunPower Corp., Class A Shares*		24,143
	8,406	Teradyne Inc.		177,030
	40,492	Texas Instruments Inc.		2,815,814
	10,274	Xilinx Inc.		556,954

		Total Semiconductors & Semiconductor Equipment		54,093,912

	Software — 4.4%
	125,535	Activision Blizzard Inc.		5,193,383
	62,498	Adobe Systems Inc.*		6,394,170
	3,474	ANSYS Inc.*		330,343
	1,264	Atlassian Corp. PLC, Class A Shares*		37,263
	8,541	Autodesk Inc.*		575,663
	216,970	CA Inc.		7,357,453
	11,882	Cadence Design Systems Inc.*		302,278
	6,210	CDK Global Inc.		360,056
	6,232	Citrix Systems Inc.*		543,430
	11,647	Electronic Arts Inc.*		946,086
	6,583	FireEye Inc.*		94,532
	5,820	Fortinet Inc.*		210,335
	3,054	Guidewire Software Inc.*		187,913
	9,701	Intuit Inc.		1,081,176
	3,033	Manhattan Associates Inc.*		183,557
	305,325	Microsoft Corp.		17,543,974
	114,885	Mobileye NV*		5,616,728
	1,690	NetSuite Inc.*		184,041
	9,612	Nuance Communications Inc.*		140,143
	119,209	Oracle Corp.		4,913,795
	4,580	PTC Inc.*		195,429
	7,333	Red Hat Inc.*		535,162
	66,063	Salesforce.com Inc.*		5,246,723
	73,185	ServiceNow Inc.*		5,318,354
	86,005	Splunk Inc.*		5,008,931
	7,116	SS&C Technologies Holdings Inc.		234,472
	206,852	Symantec Corp.		4,991,339
	5,990	Synopsys Inc.*		355,147

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund

Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 22.7% — (continued)
	Software — 4.4% — (continued)
	2,336	Tableau Software Inc., Class A Shares*	$	135,558
	1,328	Tyler Technologies Inc.*		217,726
	1,104	Ultimate Software Group Inc. (The)*		230,670
	3,265	VMware Inc., Class A Shares*(a)		239,422
	4,659	Workday Inc., Class A Shares*		395,037
	31,558	Zynga Inc., Class A Shares*		86,153

		Total Software		75,386,442

	Technology Hardware, Storage & Peripherals — 2.8%
	357,322	Apple Inc.		37,911,864
	78,781	EMC Corp.		2,283,861
	69,539	Hewlett Packard Enterprise Co.		1,493,698
	70,234	HP Inc.		1,009,263
	2,631	Lexmark International Inc., Class A Shares		94,216
	45,721	NCR Corp.*		1,547,656
	11,181	NetApp Inc.		386,751
	82,079	Western Digital Corp.		3,830,627

		Total Technology Hardware, Storage & Peripherals		48,557,936

		TOTAL INFORMATION TECHNOLOGY		388,563,076

	MATERIALS — 2.9%
	Chemicals — 1.9%
	7,879	Air Products & Chemicals Inc.		1,226,130
	4,504	Albemarle Corp.		360,185
	2,448	Ashland Inc.		286,612
	6,992	Axalta Coating Systems Ltd.*		200,111
	2,643	Cabot Corp.		131,780
	50,293	Celanese Corp., Class A Shares		3,240,378
	9,190	CF Industries Holdings Inc.		238,940
	45,431	Dow Chemical Co. (The)		2,436,919
	5,905	Eastman Chemical Co.		400,890
	10,492	Ecolab Inc.		1,291,041
	135,187	EI du Pont de Nemours & Co.		9,409,015
	5,370	FMC Corp.		252,068
	8,560	Huntsman Corp.		148,002
	3,222	International Flavors & Fragrances Inc.		446,505
	13,969	LyondellBasell Industries NV, Class A Shares		1,102,014
	17,646	Monsanto Co.		1,879,299
	13,948	Mosaic Co. (The)		419,416
	318	NewMarket Corp.		137,996
	6,980	Platform Specialty Products Corp.*(a)		63,169
	10,678	PPG Industries Inc.		1,130,587
	11,448	Praxair Inc.		1,397,114
	4,715	RPM International Inc.		257,109
	1,814	Scotts Miracle-Gro Co. (The), Class A Shares		150,199
	17,723	Sherwin-Williams Co. (The)		5,028,192
	3,133	Valspar Corp. (The)		330,250
	1,544	Westlake Chemical Corp.		80,010
	2,831	WR Grace & Co.		221,186

		Total Chemicals		32,265,117

	Construction Materials — 0.1%
	1,928	Eagle Materials Inc.		154,953
	2,541	Martin Marietta Materials Inc.		465,079
	5,316	Vulcan Materials Co.		605,333

		Total Construction Materials		1,225,365

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund

Shares/Units		Security	Value
	MATERIALS — 2.9% — (continued)
	Containers & Packaging — 0.7%
	2,578	AptarGroup Inc.	$	201,032
	3,465	Avery Dennison Corp.		268,330
	6,922	Ball Corp.		548,153
	4,010	Bemis Co., Inc.		210,926
	5,102	Berry Plastics Group Inc.*		231,580
	150,831	Crown Holdings Inc.*		8,179,565
	12,813	Graphic Packaging Holding Co.		183,738
	16,524	International Paper Co.		801,249
	55,243	Owens-Illinois Inc.*		990,507
	3,488	Packaging Corp. of America		274,261
	7,893	Sealed Air Corp.		371,997
	1,713	Silgan Holdings Inc.		82,430
	4,142	Sonoco Products Co.		213,479
	9,750	WestRock Co.		467,025

		Total Containers & Packaging		13,024,272

	Metals & Mining — 0.2%
	53,403	Alcoa Inc.		538,302
	1,452	Compass Minerals International Inc.		108,218
	50,814	Freeport-McMoRan Inc.		522,876
	21,570	Newmont Mining Corp.		824,837
	12,778	Nucor Corp.		619,861
	2,793	Reliance Steel & Aluminum Co.		201,319
	2,743	Royal Gold Inc.		201,117
	3,651	Southern Copper Corp.		94,269
	9,430	Steel Dynamics Inc.		232,167
	12,813	Tahoe Resources Inc.		167,081
	5,850	United States Steel Corp.		113,724

		Total Metals & Mining		3,623,771

	Paper & Forest Products — 0.0%
	2,687	Domtar Corp.		100,279

		TOTAL MATERIALS		50,238,804

	TELECOMMUNICATION SERVICES — 2.1%
	Diversified Telecommunication Services — 2.0%
	405,155	AT&T Inc.		16,562,737
	21,849	CenturyLink Inc.		607,402
	45,607	Frontier Communications Corp.(a)		209,792
	11,902	Level 3 Communications Inc.*		590,696
	5,001	SBA Communications Corp., Class A Shares*		570,864
	296,195	Verizon Communications Inc.		15,499,884
	6,940	Zayo Group Holdings Inc.*		201,330

		Total Diversified Telecommunication Services		34,242,705

	Wireless Telecommunication Services — 0.1%
	29,337	Sprint Corp.*		181,303
	4,115	Telephone & Data Systems Inc.		114,685
	11,484	T-Mobile US Inc.*		532,169
	511	United States Cellular Corp.*		19,019

		Total Wireless Telecommunication Services		847,176

		TOTAL TELECOMMUNICATION SERVICES		35,089,881

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund

Shares/Units		Security	Value
	UTILITIES — 2.0%
	Electric Utilities — 1.4%
	9,088	Alliant Energy Corp.	$	344,890
	19,997	American Electric Power Co., Inc.		1,291,206
	2,229	Avangrid Inc.		92,726
	27,785	Duke Energy Corp.		2,213,353
	106,652	Edison International		7,755,734
	7,317	Entergy Corp.		572,190
	12,772	Eversource Energy		689,305
	35,727	Exelon Corp.		1,214,718
	17,069	FirstEnergy Corp.		558,668
	6,436	Great Plains Energy Inc.		174,802
	4,424	Hawaiian Electric Industries Inc.		132,764
	6,005	ITC Holdings Corp.		271,546
	18,560	NextEra Energy Inc.		2,244,647
	8,001	OGE Energy Corp.		249,071
	20,095	PG&E Corp.		1,244,684
	4,431	Pinnacle West Capital Corp.		332,502
	27,304	PPL Corp.		949,633
	37,861	Southern Co. (The)		1,943,405
	5,682	Westar Energy Inc., Class A Shares		312,169
	20,400	Xcel Energy Inc.		843,744

		Total Electric Utilities		23,431,757

	Gas Utilities — 0.1%
	4,033	Atmos Energy Corp.		297,232
	2,961	National Fuel Gas Co.		168,955
	3,351	Piedmont Natural Gas Co., Inc.		201,395
	7,046	Questar Corp.		176,220
	6,720	UGI Corp.		305,626

		Total Gas Utilities		1,149,428

	Independent Power and Renewable Electricity Producers — 0.0%
	25,580	AES Corp.		308,750
	13,718	Calpine Corp.*		171,201
	12,653	NRG Energy Inc.		153,228

		Total Independent Power and Renewable Electricity Producers		633,179

	Multi-Utilities — 0.5%
	9,902	Ameren Corp.		489,357
	17,132	CenterPoint Energy Inc.		384,956
	11,294	CMS Energy Corp.		474,009
	12,275	Consolidated Edison Inc.		923,694
	24,784	Dominion Resources Inc.		1,837,981
	7,207	DTE Energy Co.		669,530
	7,795	MDU Resources Group Inc.		183,728
	12,937	NiSource Inc.		309,712
	20,290	Public Service Enterprise Group Inc.		867,600
	5,272	SCANA Corp.		372,467
	10,136	Sempra Energy		1,060,530
	2,485	Vectren Corp.		121,541
	12,679	WEC Energy Group Inc.		759,219

		Total Multi-Utilities		8,454,324

	Water Utilities — 0.0%
	7,301	American Water Works Co., Inc.		540,201

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund

Shares/Units		Security	Value
	UTILITIES — 2.0% — (continued)
	Water Utilities — 0.0% — (continued)
	7,434	Aqua America Inc.	$	226,068

		Total Water Utilities		766,269

		TOTAL UTILITIES		34,434,957

		TOTAL COMMON STOCKS (Cost — $1,239,432,980)		1,599,546,212

	CLOSED END MUTUAL FUND SECURITY — 3.8%
	FINANCIALS — 3.8%
	Capital Markets — 3.8%
	618,499	iShares Russell 1000 Value(a) (Cost — $61,063,057)		65,802,109

		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $1,300,496,037)		1,665,348,321


Face Amount
	SHORT-TERM INVESTMENTS (b) — 2.8%
	MONEY MARKET FUND — 1.1%
$	17,790,848	Invesco STIT — Government & Agency Portfolio(c) (Cost — $17,790,848)		17,790,848

	TIME DEPOSITS — 1.7%
	5,221,377	ANZ National Bank — London, 0.150% due 9/1/16		5,221,377
	8,099,866	BBH — Grand Cayman, 0.150% due 9/1/16		8,099,866
	12,123,895	BNP Paribas — Paris, 0.150% due 9/1/16		12,123,895
	3,937,315	Wells Fargo — Grand Cayman, 0.150% due 9/1/16		3,937,315

		TOTAL TIME DEPOSITS (Cost — $29,382,453)		29,382,453

		TOTAL SHORT-TERM INVESTMENTS (Cost — $47,173,301)		47,173,301

		TOTAL INVESTMENTS — 100.2% (Cost — $1,347,669,338#)		1,712,521,622

		Liabilities in Excess of Other Assets — (0.2)%		(3,135,701	)

		TOTAL NET ASSETS — 100.0%	$	1,709,385,921

*	Non-income producing security.

(a)	All or a portion of this security is on loan (See Note 1).

(b)	Inclusive of all short term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 1.7%.

(c)	Represents investment of collateral received from securities lending transactions.

(d)	Affiliated security (See Note 2).

#	Aggregate cost for federal income tax purposes is $1,367,199,809.


Abbreviations used in this schedule:
ADR		— American Depositary Receipts
PLC		— PublicLimitedCompany

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Cap Equity Fund


Summary of Investments by Security Sector^
Information Technology	22.7	%
Financials	16.7
Health Care	14.9
Consumer Discretionary	11.8
Consumer Staples	9.3
Industrials	8.3
Energy	6.6
Materials	2.9
Telecommunication Services	2.0
Utilities	2.0
Short-Term Investments	2.8

	100.0	%

^	As a percentage of total investments.

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	COMMON STOCKS — 96.5%
	CONSUMER DISCRETIONARY — 13.8%
	Auto Components — 0.5%
	3,735	American Axle & Manufacturing Holdings Inc.*	$	64,018
	2,572	Cooper Tire & Rubber Co.		87,422
	724	Cooper-Standard Holding Inc.*		71,712
	7,016	Dana Inc.		101,171
	1,233	Dorman Products Inc.*		77,765
	1,117	Drew Industries Inc.		113,767
	1,480	Federal-Mogul Holdings Corp.*		13,512
	1,136	Fox Factory Holding Corp.*		23,583
	13,350	Gentex Corp.		237,497
	1,688	Gentherm Inc.*		55,653
	12,600	Goodyear Tire & Rubber Co. (The)		369,810
	901	Horizon Global Corp.*		16,056
	3,500	Lear Corp.		407,015
	664	Metaldyne Performance Group Inc.		10,538
	2,378	Modine Manufacturing Co.*		25,468
	915	Motorcar Parts of America Inc.*		26,013
	1,440	Spartan Motors Inc.		14,198
	971	Standard Motor Products Inc.		43,511
	1,297	Stoneridge Inc.*		22,477
	127	Strattec Security Corp.		5,320
	1,229	Superior Industries International Inc.		35,776
	2,664	Tenneco Inc.*		148,731
	1,045	Tower International Inc.		25,394
	208	Unique Fabricating Inc.(a)		2,619
	1,614	Visteon Corp.		114,110
	421	Workhorse Group Inc.*(a)		3,452

		Total Auto Components		2,116,588

	Automobiles — 0.1%
	2,272	Thor Industries Inc.		184,373
	1,223	Winnebago Industries Inc.		29,438

		Total Automobiles		213,811

	Distributors — 0.3%
	2,153	Core-Mark Holding Co., Inc.		82,137
	27,762	LKQ Corp.*		1,001,931
	1,919	Pool Corp.		193,570
	241	Weyco Group Inc.		6,150

		Total Distributors		1,283,788

	Diversified Consumer Services — 0.9%
	826	American Public Education Inc.*		17,074
	3,956	Apollo Education Group Inc.*		35,090
	460	Ascent Capital Group Inc., Class A Shares*		10,677
	638	Bridgepoint Education Inc.*		4,626
	28,238	Bright Horizons Family Solutions Inc.*		1,924,702
	206	Cambium Learning Group Inc.*		991
	560	Capella Education Co.		32,995
	3,053	Career Education Corp.*		19,967
	821	Carriage Services Inc., Class A Shares		19,244
	3,704	Chegg Inc.*(a)		24,928
	367	Collectors Universe Inc.		7,024
	2,902	DeVry Education Group Inc.		66,862
	204	Graham Holdings Co., Class B Shares		100,031

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 13.8% — (continued)
	Diversified Consumer Services — 0.9% — (continued)
	2,104	Grand Canyon Education Inc.*	$	87,379
	10,666	H&R Block Inc.		231,026
	5,842	Houghton Mifflin Harcourt Co.*		93,180
	1,716	K12 Inc.*		20,506
	299	Liberty Tax Inc.		4,063
	4,153	LifeLock Inc.*		69,106
	82,127	Regis Corp.*		1,032,336
	8,937	Service Corp. International		236,294
	6,446	ServiceMaster Global Holdings Inc.*		240,500
	2,363	Sotheby’s(a)		93,693
	521	Strayer Education Inc.*		25,362
	1,152	Weight Watchers International Inc.*(a)		12,108

		Total Diversified Consumer Services		4,409,764

	Hotels, Restaurants & Leisure — 2.2%
	51,840	Aramark		1,966,291
	3,982	Belmond Ltd., Class A Shares*		44,479
	51	Biglari Holdings Inc.*		22,470
	1,061	BJ’s Restaurants Inc.*		42,143
	5,347	Bloomin’ Brands Inc.		104,480
	896	Bob Evans Farms Inc.		36,736
	366	Bojangles’ Inc.*		5,911
	3,866	Boyd Gaming Corp.*		75,387
	2,615	Brinker International Inc.		140,452
	893	Buffalo Wild Wings Inc.*		144,845
	2,111	Caesars Acquisition Co., Class A Shares*		25,691
	2,610	Caesars Entertainment Corp.*(a)		16,495
	1,631	Carrols Restaurant Group Inc.*		21,953
	1,025	Century Casinos Inc.*		6,550
	2,109	Cheesecake Factory Inc. (The)		108,424
	1,534	Choice Hotels International Inc.		74,384
	635	Churchill Downs Inc.		94,856
	25,001	Chuy’s Holdings Inc.*(a)		757,030
	3,157	ClubCorp Holdings Inc.		45,303
	910	Cracker Barrel Old Country Store Inc.(a)		138,420
	23,098	Dave & Buster’s Entertainment Inc.*		1,072,902
	1,025	Del Frisco’s Restaurant Group Inc.*		15,426
	1,061	Del Taco Restaurants Inc.*		11,915
	3,437	Denny’s Corp.*		35,917
	1,898	Diamond Resorts International Inc.*		57,339
	820	DineEquity Inc.		63,952
	2,371	Domino’s Pizza Inc.		354,630
	4,335	Dunkin’ Brands Group Inc.		212,198
	1,128	El Pollo Loco Holdings Inc.*(a)		15,363
	1,389	Eldorado Resorts Inc.*		19,390
	60	Empire Resorts Inc.*		1,010
	3,444	Extended Stay America Inc.		48,733
	1,322	Fiesta Restaurant Group Inc.*		33,394
	348	Fogo De Chao Inc.*		4,270
	573	Golden Entertainment Inc.		7,174
	728	Habit Restaurants Inc. (The), Class A Shares*(a)		11,153
	1,131	Hyatt Hotels Corp., Class A Shares*		60,486
	4,393	International Game Technology PLC		100,292
	1,193	International Speedway Corp., Class A Shares		39,715
	5,260	Interval Leisure Group Inc.		91,524

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 13.8% — (continued)
	Hotels, Restaurants & Leisure — 2.2% — (continued)
	782	Intrawest Resorts Holdings Inc.*	$	11,667
	29,309	Isle of Capri Casinos Inc.*		508,511
	603	J Alexander’s Holdings Inc.*		6,012
	1,539	Jack in the Box Inc.		153,069
	521	Jamba Inc.*(a)		5,694
	368	Kona Grill Inc.*(a)		4,891
	3,996	La Quinta Holdings Inc.*		46,154
	1,033	Lindblad Expeditions Holdings Inc.*		9,700
	584	Luby’s Inc.*		2,628
	972	Marcus Corp. (The)		22,939
	1,045	Marriott Vacations Worldwide Corp.		80,569
	10,760	MGM Resorts International*		257,056
	464	Monarch Casino & Resort Inc.*		11,039
	149	Nathan’s Famous Inc.*		7,347
	502	Noodles & Co., Class A Shares*		3,283
	1,059	Panera Bread Co., Class A Shares*		229,962
	1,276	Papa John’s International Inc.		95,483
	3,560	Penn National Gaming Inc.*		50,481
	2,683	Pinnacle Entertainment Inc.*		32,303
	787	Planet Fitness Inc., Class A Shares*(a)		17,039
	1,006	Popeyes Louisiana Kitchen Inc.*		54,857
	1,098	Potbelly Corp.*		14,230
	657	Red Lion Hotels Corp.*		4,297
	615	Red Robin Gourmet Burgers Inc.*		30,910
	1,514	Red Rock Resorts Inc., Class A Shares(a)		34,126
	4,748	Royal Caribbean Cruises Ltd.		337,630
	2,263	Ruby Tuesday Inc.*		6,879
	1,430	Ruth’s Hospitality Group Inc.		21,393
	2,587	Scientific Games Corp., Class A Shares*(a)		21,343
	3,247	SeaWorld Entertainment Inc.(a)		42,243
	778	Shake Shack Inc., Class A Shares*(a)		27,463
	3,362	Six Flags Entertainment Corp.		163,965
	2,165	Sonic Corp.		62,114
	436	Speedway Motorsports Inc.		7,800
	3,095	Texas Roadhouse Inc., Class A Shares		137,016
	11,520	Vail Resorts Inc.		1,825,114
	10,125	Wendy’s Co. (The)		103,174
	703	Wingstop Inc.		21,294
	945	Zoe’s Kitchen Inc.*(a)		25,732

		Total Hotels, Restaurants & Leisure		10,626,490

	Household Durables — 2.2%
	455	Bassett Furniture Industries Inc.		11,266
	1,590	Beazer Homes USA Inc.*		17,887
	3,575	CalAtlantic Group Inc.		130,452
	390	Cavco Industries Inc.*		40,782
	766	Century Communities Inc.*		15,083
	315	CSS Industries Inc.		8,023
	1,202	Ethan Allen Interiors Inc.		40,219
	286	Flexsteel Industries Inc.		13,571
	4,760	GoPro Inc., Class A Shares*(a)		69,734
	868	Green Brick Partners Inc.*		6,892
	9,816	Harman International Industries Inc.		831,317
	1,321	Helen of Troy Ltd.*		119,339
	604	Hooker Furniture Corp.		14,049

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 13.8% — (continued)
	Household Durables — 2.2% — (continued)
	6,700	Hovnanian Enterprises Inc., Class A Shares*(a)	$	12,194
	42,563	Installed Building Products Inc.*		1,420,753
	7,637	iRobot Corp.*		304,411
	4,070	KB Home		63,899
	2,253	La-Z-Boy Inc.		60,087
	6,284	Leggett & Platt Inc.		329,784
	8,615	Lennar Corp., Class A Shares		407,489
	459	Lennar Corp., Class B Shares		17,437
	719	LGI Homes Inc.*(a)		27,624
	1,046	Libbey Inc.		18,546
	440	Lifetime Brands Inc.		5,905
	1,118	M/I Homes Inc.*		25,870
	1,960	MDC Holdings Inc.		51,176
	1,788	Meritage Homes Corp.*		64,189
	14,452	Mohawk Industries Inc.*		3,075,097
	215	NACCO Industries Inc., Class A Shares		14,306
	522	New Home Co., Inc. (The)*		5,664
	167	NVR Inc.*		281,696
	16,463	PulteGroup Inc.		351,814
	1,449	Taylor Morrison Home Corp., Class A Shares*		25,560
	2,538	Tempur Sealy International Inc.*		199,030
	7,402	Toll Brothers Inc.*		230,128
	45,243	TopBuild Corp.*		1,543,691
	7,095	TRI Pointe Group Inc.*		96,208
	2,387	Tupperware Brands Corp.		156,420
	624	UCP Inc., Class A Shares*		5,267
	651	Universal Electronics Inc.*		48,194
	995	WCI Communities Inc.*		18,726
	1,277	William Lyon Homes, Class A Shares*(a)		22,028
	1,043	ZAGG Inc.*		7,583

		Total Household Durables		10,209,390

	Internet & Catalog Retail — 0.5%
	938	1-800-Flowers.com Inc., Class A Shares*		8,667
	35,063	Blue Nile Inc.		1,208,271
	474	Duluth Holdings Inc., Class B Shares*(a)		14,367
	4,981	Etsy Inc.*		67,044
	3,455	Expedia Inc.		377,010
	885	FTD Cos., Inc.*		20,798
	379	Gaia Inc., Class A Shares*		3,005
	17,441	Groupon Inc., Class A Shares*(a)		92,961
	1,447	HSN Inc.		60,456
	647	Lands’ End Inc.*(a)		11,387
	3,398	Liberty TripAdvisor Holdings Inc., Class A Shares*		70,712
	6,328	Liberty Ventures, Series A*		243,881
	1,429	Nutrisystem Inc.		41,184
	662	Overstock.com Inc.*		10,201
	1,003	PetMed Express Inc.(a)		20,220
	1,633	Shutterfly Inc.*		82,009
	1,454	Wayfair Inc., Class A Shares*(a)		55,994

		Total Internet & Catalog Retail		2,388,167

	Leisure Products — 0.5%
	482	Arctic Cat Inc.		6,830
	40,024	Brunswick Corp.		1,840,704

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 13.8% — (continued)
	Leisure Products — 0.5% — (continued)
	4,577	Callaway Golf Co.	$	52,269
	544	Escalade Inc.		6,599
	826	JAKKS Pacific Inc.*		7,607
	220	Johnson Outdoors Inc., Class A Shares		7,403
	878	Malibu Boats Inc., Class A Shares*		12,020
	612	Marine Products Corp.		5,453
	472	MCBC Holdings Inc.		5,636
	1,428	Nautilus Inc.*		33,258
	1,668	Performance Sports Group Ltd.*(a)		4,520
	2,849	Polaris Industries Inc.(a)		246,837
	2,530	Smith & Wesson Holding Corp.*		71,220
	896	Sturm Ruger & Co., Inc.		54,916
	2,865	Vista Outdoor Inc.*		114,084

		Total Leisure Products		2,469,356

	Media — 1.5%
	999	AMC Entertainment Holdings Inc., Class A Shares(a)		30,380
	2,837	AMC Networks Inc., Class A Shares*		154,163
	225	Cable One Inc.		121,752
	1,190	Carmike Cinemas Inc.*		38,187
	3,020	Central European Media Enterprises Ltd., Class A Shares*(a)		7,127
	4,981	Cinemark Holdings Inc.		192,516
	1,440	Clear Channel Outdoor Holdings Inc., Class A Shares		9,720
	56	Daily Journal Corp.*		12,993
	1,197	Entercom Communications Corp., Class A Shares		16,411
	3,206	Entravision Communications Corp., Class A Shares		24,109
	1,482	Eros International PLC*		24,764
	2,916	EW Scripps Co. (The), Class A Shares*		49,543
	5,715	Gannett Co., Inc.		68,180
	2,205	Global Eagle Entertainment Inc.*		18,346
	3,135	Gray Television Inc.*		35,206
	199	Hemisphere Media Group Inc., Class A Shares*(a)		2,653
	17,062	IMAX Corp.*		520,220
	19,059	Interpublic Group of Cos., Inc. (The)		441,025
	2,111	John Wiley & Sons Inc., Class A Shares		122,712
	312	Liberty Braves Group, Class A Shares*		5,245
	1,561	Liberty Braves Group, Class C Shares*		25,694
	1,179	Liberty Media Group LLC, Class A Shares*		25,231
	2,158	Liberty Media Group LLC, Class C Shares*		45,879
	4,389	Lions Gate Entertainment Corp.(a)		91,993
	6,200	Live Nation Entertainment Inc.*		165,664
	681	Loral Space & Communications Inc.*		24,829
	7,419	Madison Square Garden Co. (The), Class A Shares*		1,340,242
	2,540	MDC Partners Inc., Class A Shares		31,344
	5,120	Media General Inc.*		90,470
	1,744	Meredith Corp.		92,502
	2,920	MSG Networks Inc., Class A Shares*		51,042
	2,849	National CineMedia Inc.		42,593
	1,832	New Media Investment Group Inc.		29,275
	5,798	New York Times Co. (The), Class A Shares		75,026
	24,084	Nexstar Broadcasting Group Inc., Class A Shares(a)		1,269,708
	943	Radio One Inc., Class D Shares*		3,263
	846	Reading International Inc., Class A Shares*		11,446
	3,881	Regal Entertainment Group, Class A Shares(a)		82,976
	152	Saga Communications Inc., Class A Shares		6,182

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 13.8% — (continued)
	Media — 1.5% — (continued)
	576	Salem Media Group Inc.*	$	3,623
	1,265	Scholastic Corp.		50,929
	3,076	Sinclair Broadcast Group Inc., Class A Shares		87,604
	40,841	Starz, Class A Shares*		1,273,831
	10,312	TEGNA Inc.		208,921
	4,867	Time Inc.		68,625
	542	Townsquare Media Inc., Class A Shares*		5,284
	3,690	Tribune Media Co., Class A Shares		140,515
	1,310	tronc Inc.(a)		22,204
	1,744	World Wrestling Entertainment Inc., Class A Shares(a)		36,223

		Total Media		7,298,370

	Multiline Retail — 0.5%
	2,093	Big Lots Inc.		103,227
	882	Dillard’s Inc., Class A Shares		53,132
	14,807	Dollar General Corp.		1,086,982
	11,922	Dollar Tree Inc.*		985,949
	1,786	Fred’s Inc., Class A Shares		20,200
	14,675	JC Penney Co., Inc.*(a)		138,385
	1,007	Ollie’s Bargain Outlet Holdings Inc.*(a)		25,598
	591	Sears Holdings Corp.*(a)		8,138
	2,436	Tuesday Morning Corp.*		16,248

		Total Multiline Retail		2,437,859

	Specialty Retail — 2.5%
	3,073	Aaron’s Inc.		74,858
	3,181	Abercrombie & Fitch Co., Class A Shares		56,431
	3,730	Advance Auto Parts Inc.		587,027
	7,869	American Eagle Outfitters Inc.		145,891
	323	America’s Car-Mart Inc.*		12,642
	958	Asbury Automotive Group Inc.*		51,464
	8,138	Ascena Retail Group Inc.*		66,243
	3,101	AutoNation Inc.*		146,832
	1,751	Barnes & Noble Education Inc.*		19,594
	3,092	Barnes & Noble Inc.		35,434
	682	Big 5 Sporting Goods Corp.		8,532
	615	Boot Barn Holdings Inc.*(a)		7,614
	1,428	Buckle Inc. (The)		36,800
	571	Build-A-Bear Workshop Inc.*		6,624
	3,333	Burlington Stores Inc.*		270,706
	2,373	Cabela’s Inc.*		116,253
	1,964	Caleres Inc.		50,946
	1,179	Cato Corp. (The), Class A Shares		40,416
	6,094	Chico’s FAS Inc.		77,272
	875	Children’s Place Inc. (The)		71,225
	564	Citi Trends Inc.		11,026
	945	Conn’s Inc.*(a)		6,417
	932	Container Store Group Inc. (The)*(a)		4,958
	3,549	CST Brands Inc.		169,678
	1,308	Destination XL Group Inc.*		6,056
	4,149	Dick’s Sporting Goods Inc.		243,131
	3,153	DSW Inc., Class A Shares		75,514
	32,447	Express Inc.*		383,848
	1,940	Finish Line Inc. (The), Class A Shares		46,696
	2,531	Five Below Inc.*		112,781

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units			Security	Value
	CONSUMER DISCRETIONARY — 13.8% — (continued)
	Specialty Retail — 2.5% — (continued)
	6,402		Foot Locker Inc.	$	420,227
	1,933		Francesca’s Holdings Corp.*		26,385
	4,871		GameStop Corp., Class A Shares(a)		138,288
	972		Genesco Inc.*		70,606
	20,956		GNC Holdings Inc., Class A Shares		440,705
	964		Group 1 Automotive Inc.		57,204
	2,806		Guess? Inc.		46,664
	806		Haverty Furniture Cos., Inc.		16,120
	1,045		Hibbett Sports Inc.*(a)		40,097
	609		Kirkland’s Inc.*		7,631
	1,115		Lithia Motors Inc., Class A Shares		92,289
	1,365		Lumber Liquidators Holdings Inc.*(a)		21,512
	1,266		MarineMax Inc.*		25,105
	773		Mattress Firm Holding Corp.*		49,433
	4,419		Michaels Cos., Inc. (The)*		105,879
	1,459		Monro Muffler Brake Inc.		82,302
	1,763		Murphy USA Inc.*		128,911
	25,200		New York & Co., Inc.*		56,700
	101,278		Office Depot Inc.		372,703
	2,315	��	O’Reilly Automotive Inc.*		648,084
	837		Outerwall Inc.		43,491
	1,232		Party City Holdco Inc.*		21,461
	1,799		Penske Automotive Group Inc.		81,495
	4,101		Pier 1 Imports Inc.(a)		18,906
	2,354		Rent-A-Center Inc.		28,766
	7,698		Restoration Hardware Holdings Inc.*(a)		259,654
	69,358		Ross Stores Inc.		4,316,842
	6,959		Sally Beauty Holdings Inc.*		189,424
	749		Sears Hometown and Outlet Stores Inc.*		4,928
	18,942		Select Comfort Corp.*		497,228
	652		Shoe Carnival Inc.		19,338
	1,287		Sonic Automotive Inc., Class A Shares		21,930
	1,100		Sportsman’s Warehouse Holdings Inc.*		11,275
	1,154		Stage Stores Inc.		6,209
	30,559		Staples Inc.		261,585
	1,574		Stein Mart Inc.		12,655
	2,242		Tailored Brands Inc.		29,550
	1,634		Tile Shop Holdings Inc.*		25,409
	727		Tilly’s Inc., Class A Shares*		6,354
	4,272		Urban Outfitters Inc.*		153,151
	1,088		Vitamin Shoppe Inc.*		30,159
	682		West Marine Inc.*		6,295
	4,196		Williams-Sonoma Inc.		220,877
	109		Winmark Corp.		11,292
	808		Zumiez Inc.*(a)		13,494

			Total Specialty Retail		12,081,522

	Textiles, Apparel & Luxury Goods — 2.1%
	35,265		Carter’s Inc.		3,360,402
	1,244		Columbia Sportswear Co.		69,875
	36,467		Crocs Inc.*		315,075
	488		Culp Inc.		15,474
	7,926		Deckers Outdoor Corp.*		517,964
	428		Delta Apparel Inc.*		7,567
	1,928		Fossil Group Inc.*		55,064

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 13.8% — (continued)
	Textiles, Apparel & Luxury Goods — 2.1% — (continued)
	2,019	G-III Apparel Group Ltd.*	$	63,740
	65,909	Hanesbrands Inc.		1,749,225
	1,912	Iconix Brand Group Inc.*(a)		16,061
	6,079	Kate Spade & Co.*		113,434
	9,040	lululemon athletica Inc.*		691,650
	715	Movado Group Inc.		16,230
	699	Oxford Industries Inc.		43,625
	489	Perry Ellis International Inc.*		9,115
	21,923	PVH Corp.		2,362,422
	1,751	Sequential Brands Group Inc.*(a)		12,765
	6,221	Skechers U.S.A. Inc., Class A Shares*		151,233
	2,917	Steven Madden Ltd.*		102,358
	332	Superior Uniform Group Inc.		5,637
	809	Unifi Inc.*		21,058
	1,040	Vera Bradley Inc.*		15,558
	939	Vince Holding Corp.*(a)		6,592
	4,583	Wolverine World Wide Inc.		109,580

		Total Textiles, Apparel & Luxury Goods		9,831,704

		TOTAL CONSUMER DISCRETIONARY		65,366,809

	CONSUMER STAPLES — 2.4%
	Beverages — 0.3%
	420	Boston Beer Co., Inc. (The), Class A Shares*		76,713
	11,948	Brown-Forman Corp., Class B Shares		580,075
	218	Coca-Cola Bottling Co. Consolidated		32,765
	663	Craft Brew Alliance Inc.*		13,161
	581	MGP Ingredients Inc.		23,205
	4,695	Monster Beverage Corp.*		722,514
	570	National Beverage Corp.*		28,346
	1,068	Primo Water Corp.*		12,368

		Total Beverages		1,489,147

	Food & Staples Retailing — 0.8%
	1,253	Andersons Inc. (The)		46,298
	1,841	Casey’s General Stores Inc.		241,742
	782	Chefs’ Warehouse Inc. (The)*		8,618
	639	Ingles Markets Inc., Class A Shares		24,173
	77,368	Kroger Co. (The)		2,475,002
	321	Natural Grocers by Vitamin Cottage Inc.*		3,964
	1,742	Performance Food Group Co.*		44,769
	933	PriceSmart Inc.		77,934
	48,835	Rite Aid Corp.*		367,728
	986	Smart & Final Stores Inc.*		12,601
	1,753	SpartanNash Co.		56,131
	6,694	Sprouts Farmers Market Inc.*		150,816
	12,401	SUPERVALU Inc.*		67,957
	2,351	United Natural Foods Inc.*		107,206
	2,200	US Foods Holding Corp.*		53,350
	271	Village Super Market Inc., Class A Shares		8,669
	503	Weis Markets Inc.		25,623

		Total Food & Staples Retailing		3,772,581

	Food Products — 0.8%
	205	Alico Inc.		5,756
	1,311	Amplify Snack Brands Inc.*		22,195

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	CONSUMER STAPLES — 2.4% — (continued)
	Food Products — 0.8% — (continued)
	3,098	B&G Foods Inc.	$	147,093
	2,843	Blue Buffalo Pet Products Inc.*		73,293
	713	Calavo Growers Inc.		42,031
	1,434	Cal-Maine Foods Inc.(a)		65,878
	7,769	Darling Ingredients Inc.*		109,388
	4,272	Dean Foods Co.		73,521
	410	Farmer Brothers Co.*		13,128
	8,250	Flowers Foods Inc.		123,007
	1,514	Fresh Del Monte Produce Inc.		88,069
	1,174	Freshpet Inc.*(a)		12,339
	4,820	Hain Celestial Group Inc. (The)*		177,135
	3,399	Ingredion Inc.		465,527
	1,017	Inventure Foods Inc.*(a)		9,855
	709	J&J Snack Foods Corp.		86,498
	406	John B Sanfilippo & Son Inc.		20,877
	881	Lancaster Colony Corp.		118,521
	1,251	Landec Corp.*		16,213
	83	Lifeway Foods Inc.*		1,029
	432	Limoneira Co.		7,176
	6,171	Mead Johnson Nutrition Co., Class A Shares		524,967
	1,018	Omega Protein Corp.*		25,664
	2,756	Pilgrim’s Pride Corp.		63,608
	5,459	Pinnacle Foods Inc.		276,498
	3,025	Post Holdings Inc.*		256,460
	977	Sanderson Farms Inc.(a)		94,017
	13	Seaboard Corp.*		42,055
	283	Seneca Foods Corp., Class A Shares*		8,349
	3,815	Snyder’s-Lance Inc.		134,822
	749	Tootsie Roll Industries Inc.(a)		28,529
	2,614	TreeHouse Foods Inc.*		247,624
	8,258	WhiteWave Foods Co. (The), Class A Shares*		457,741

		Total Food Products		3,838,863

	Household Products — 0.3%
	391	Central Garden & Pet Co.*		10,041
	31,240	Central Garden & Pet Co., Class A Shares*		757,570
	2,916	Energizer Holdings Inc.		144,109
	5,601	HRG Group Inc.*		90,568
	189	Oil-Dri Corp. of America		7,142
	419	Orchids Paper Products Co.		11,724
	1,156	Spectrum Brands Holdings Inc.(a)		155,135
	660	WD-40 Co.		78,111

		Total Household Products		1,254,400

	Personal Products — 0.2%
	20,891	Avon Products Inc.		119,079
	2,227	Coty Inc., Class A Shares(a)		60,018
	2,801	Edgewell Personal Care Co.*		224,108
	1,064	Elizabeth Arden Inc.*		14,853
	3,501	Herbalife Ltd.*(a)		212,686
	786	Inter Parfums Inc.		26,858
	720	Lifevantage Corp.*		8,827
	495	Medifast Inc.		18,201
	391	Natural Health Trends Corp.(a)		12,567
	462	Nature’s Sunshine Products Inc.		6,278

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	CONSUMER STAPLES — 2.4% — (continued)
	Personal Products — 0.2% — (continued)
	2,619	Nu Skin Enterprises Inc., Class A Shares(a)	$	151,588
	347	Nutraceutical International Corp.*		8,789
	560	Revlon Inc., Class A Shares*		20,266
	1,153	Synutra International Inc.*		4,520
	239	USANA Health Sciences Inc.*		32,681

		Total Personal Products		921,319

	Tobacco — 0.0%
	434	Alliance One International Inc.*		9,214
	290	Turning Point Brands Inc.*		3,750
	1,051	Universal Corp.		63,238
	4,167	Vector Group Ltd.		92,966

		Total Tobacco		169,168

		TOTAL CONSUMER STAPLES		11,445,478

	ENERGY — 2.6%
	Energy Equipment & Services — 0.7%
	3,198	Archrock Inc.		35,242
	3,068	Atwood Oceanics Inc.(a)		24,237
	1,586	Bristow Group Inc.(a)		18,096
	815	CARBO Ceramics Inc.		10,212
	1,334	Dawson Geophysical Co.*		9,618
	3,159	Diamond Offshore Drilling Inc.(a)		58,347
	1,813	Dril-Quip Inc.*		100,748
	14,419	Ensco PLC, Class A Shares		109,440
	852	Era Group Inc.*		6,211
	1,474	Exterran Corp.*		20,828
	3,752	Fairmount Santrol Holdings Inc.*		27,877
	10,777	FMC Technologies Inc.*		303,911
	2,824	Forum Energy Technologies Inc.*		49,618
	1,536	Frank’s International NV(a)		17,649
	684	Geospace Technologies Corp.*(a)		12,086
	4,639	Helix Energy Solutions Group Inc.*		34,793
	1,107	Hornbeck Offshore Services Inc.*(a)		6,055
	1,645	Independence Contract Drilling Inc.*		8,291
	1,374	Matrix Service Co.*		25,405
	43,670	McDermott International Inc.*		228,394
	13,185	Nabors Industries Ltd.		131,059
	578	Natural Gas Services Group Inc.*		13,664
	4,074	Newpark Resources Inc.*		28,762
	11,317	Noble Corp. PLC		65,186
	4,684	Oceaneering International Inc.		124,220
	2,406	Oil States International Inc.*		74,634
	5,656	Parker Drilling Co.*		12,160
	6,900	Patterson-UTI Energy Inc.		134,481
	474	PHI Inc.*		8,831
	2,834	Pioneer Energy Services Corp.*		9,437
	503	RigNet Inc.*		6,348
	5,926	Rowan Cos. PLC, Class A Shares		73,838
	2,763	RPC Inc.*(a)		42,357
	750	SEACOR Holdings Inc.*		44,085
	17,410	Seadrill Ltd.*(a)		41,958
	7,189	Superior Energy Services Inc.		120,991
	2,401	Tesco Corp.		16,351
	72,906	TETRA Technologies Inc.*		441,081

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	ENERGY — 2.6% — (continued)
	Energy Equipment & Services — 0.7% — (continued)
	2,042	Tidewater Inc.(a)	$	6,677
	16,567	Transocean Ltd.*(a)		160,700
	2,408	Unit Corp.*		41,153
	3,030	US Silica Holdings Inc.		118,928
	42,616	Weatherford International PLC*		233,110
	1,549	Willbros Group Inc.*		3,005

		Total Energy Equipment & Services		3,060,074

	Oil, Gas & Consumable Fuels — 1.9%
	8,211	Abraxas Petroleum Corp.*		11,495
	128	Adams Resources & Energy Inc.		4,749
	1,574	Alon USA Energy Inc.		12,875
	1,580	Ardmore Shipping Corp.(a)		11,408
	2,552	Bill Barrett Corp.*		16,945
	1,621	California Resources Corp.(a)		16,097
	5,890	Callon Petroleum Co.*		85,700
	19,742	Carrizo Oil & Gas Inc.*		755,921
	29,184	Chesapeake Energy Corp.*		185,318
	309	Clayton Williams Energy Inc.*		19,501
	4,039	Clean Energy Fuels Corp.*(a)		17,650
	21,266	Cobalt International Energy Inc.*		25,519
	3,374	Concho Resources Inc.*		435,921
	10,933	CONSOL Energy Inc.		199,418
	1,308	Contango Oil & Gas Co.*		12,635
	620	CVR Energy Inc.(a)		9,046
	2,892	Delek US Holdings Inc.		50,755
	16,617	Denbury Resources Inc.*(a)		51,180
	4,260	DHT Holdings Inc.		18,361
	3,771	Diamondback Energy Inc.*		359,188
	1,467	Dorian LPG Ltd.*		7,819
	277	Earthstone Energy Inc.*		2,698
	3,183	Eclipse Resources Corp.*		10,854
	4,689	Energen Corp.		269,617
	2,248	EP Energy Corp., Class A Shares*(a)		9,262
	401	Erin Energy Corp.*(a)		914
	1,777	Evolution Petroleum Corp.		10,076
	7,330	EXCO Resources Inc.*(a)		7,477
	3,174	Frontline Ltd.(a)		24,281
	2,077	GasLog Ltd.		28,247
	1,881	Gener8 Maritime Inc.*(a)		9,424
	4,181	Golar LNG Ltd.(a)		87,090
	1,683	Green Plains Inc.		40,863
	6,169	Gulfport Energy Corp.*		176,433
	7,708	HollyFrontier Corp.		199,483
	51	Isramco Inc.*		3,998
	1,109	Jones Energy Inc., Class A Shares*(a)		3,072
	8,309	Kosmos Energy Ltd.*		51,599
	7,027	Laredo Petroleum Inc.*(a)		86,292
	4,053	Matador Resources Co.*		93,016
	4,958	Memorial Resource Development Corp.*		71,395
	7,879	Murphy Oil Corp.		210,527
	43,600	Navigator Holdings Ltd.*(a)		306,944
	3,788	Navios Maritime Acquisition Corp.		5,493
	9,559	Newfield Exploration Co.*		414,478
	4,175	Nordic American Tankers Ltd.(a)		42,835

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	ENERGY — 2.6% — (continued)
	Oil, Gas & Consumable Fuels — 1.9% — (continued)
	2,554	Northern Oil and Gas Inc.*(a)	$	8,275
	8,585	Oasis Petroleum Inc.*		81,386
	1,628	Overseas Shipholding Group Inc., Class A Shares		17,648
	1,384	Pacific Ethanol Inc.*		8,941
	1,092	Panhandle Oil and Gas Inc., Class A Shares		18,892
	1,547	Par Pacific Holdings Inc.*		18,936
	7,888	Parsley Energy Inc., Class A Shares*		267,009
	4,678	PBF Energy Inc., Class A Shares		102,448
	2,281	PDC Energy Inc.*		151,458
	11,331	Pioneer Natural Resources Co.		2,028,816
	11,487	QEP Resources Inc.		219,402
	1,869	Renewable Energy Group Inc.*		16,765
	296	REX American Resources Corp.*		23,810
	1,973	Ring Energy Inc.*		19,572
	3,853	RSP Permian Inc.*		150,460
	2,632	Sanchez Energy Corp.*(a)		22,609
	8,174	Scorpio Tankers Inc.		39,971
	2,568	SemGroup Corp., Class A Shares		79,865
	2,848	Ship Finance International Ltd.(a)		42,976
	4,132	SM Energy Co.		156,520
	23,449	Southwestern Energy Co.*		326,176
	8,930	Synergy Resources Corp.*		58,492
	7,406	Targa Resources Corp.		322,753
	1,854	Teekay Corp.(a)		13,404
	5,986	Teekay Tankers Ltd., Class A Shares		15,623
	1,911	W&T Offshore Inc.*		3,268
	3,826	Western Refining Inc.		96,262
	808	Westmoreland Coal Co.*		6,197
	9,656	Whiting Petroleum Corp.*(a)		70,392
	3,292	World Fuel Services Corp.		146,757
	15,952	WPX Energy Inc.*		191,424

		Total Oil, Gas & Consumable Fuels		9,200,376

		TOTAL ENERGY		12,260,450

	FINANCIALS — 17.6%
	Banks — 5.5%
	701	1st Source Corp.		24,808
	321	Access National Corp.		7,152
	203	ACNB Corp.(a)		5,522
	499	Allegiance Bancshares Inc.*		13,099
	285	American National Bankshares Inc.		7,629
	1,584	Ameris Bancorp		55,155
	308	Ames National Corp.		8,384
	512	Arrow Financial Corp.		16,599
	7,077	Associated Banc-Corp.		140,408
	959	Atlantic Capital Bancshares Inc.*		14,778
	2,253	Banc of California Inc.		50,287
	352	BancFirst Corp.		24,147
	1,413	Banco Latinoamericano de Comercio Exterior SA, Class E Shares		40,822
	1,875	Bancorp Inc. (The)*		11,606
	4,182	BancorpSouth Inc.		104,132
	1,976	Bank of Hawaii Corp.		142,351
	285	Bank of Marin Bancorp		13,885
	4,134	Bank of the Ozarks Inc.		161,970

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	FINANCIALS — 17.6% — (continued)
	Banks — 5.5% — (continued)
	105,029	BankUnited Inc.	$	3,376,682
	228	Bankwell Financial Group Inc.		5,114
	1,490	Banner Corp.		65,977
	209	Bar Harbor Bankshares		7,691
	1,435	Berkshire Hills Bancorp Inc.		40,022
	1,311	Blue Hills Bancorp Inc.		19,337
	1,892	BNC Bancorp		46,486
	1,215	BOK Financial Corp.(a)		83,920
	3,801	Boston Private Financial Holdings Inc.		48,957
	778	Bridge Bancorp Inc.		23,192
	3,497	Brookline Bancorp Inc.		41,754
	743	Bryn Mawr Bank Corp.		23,902
	116	C&F Financial Corp.		4,931
	485	Camden National Corp.		22,426
	944	Capital Bank Financial Corp., Class A Shares		29,557
	423	Capital City Bank Group Inc.		5,918
	1,457	Cardinal Financial Corp.		39,120
	397	Carolina Financial Corp.		8,516
	1,909	Cascade Bancorp*		11,492
	3,490	Cathay General Bancorp		109,656
	2,355	CenterState Banks Inc.		42,343
	1,569	Central Pacific Financial Corp.		40,151
	311	Central Valley Community Bancorp		4,777
	157	Century Bancorp Inc., Class A Shares		6,889
	1,795	Chemical Financial Corp.(a)		82,983
	124	Chemung Financial Corp.		3,643
	44,536	CIT Group Inc.		1,642,488
	396	Citizens & Northern Corp.		8,562
	676	City Holding Co.		34,199
	486	CNB Financial Corp.		9,793
	1,980	CoBiz Financial Inc.		25,997
	229	Codorus Valley Bancorp Inc.		4,765
	2,733	Columbia Banking System Inc.		90,298
	11,200	Comerica Inc.		529,648
	3,971	Commerce Bancshares Inc.		201,250
	2,013	Community Bank System Inc.		95,517
	797	Community Trust Bancorp Inc.		29,377
	485	CommunityOne Bancorp*		6,538
	1,219	ConnectOne Bancorp Inc.		21,686
	133	County Bancorp Inc.		2,793
	756	CU Bancorp*		18,295
	13,755	Cullen/Frost Bankers Inc.(a)		1,002,739
	1,186	Customers Bancorp Inc.*		31,714
	4,722	CVB Financial Corp.		84,004
	1,435	Eagle Bancorp Inc.*		74,276
	42,004	East West Bancorp Inc.		1,560,029
	497	Enterprise Bancorp Inc.		12,341
	879	Enterprise Financial Services Corp.		27,073
	172	Equity Bancshares Inc., Class A Shares*		4,161
	264	Farmers Capital Bank Corp.		7,894
	1,496	Farmers National Banc Corp.		14,915
	20,323	FCB Financial Holdings Inc., Class A Shares*		778,371
	987	Fidelity Southern Corp.		17,717
	590	Financial Institutions Inc.		15,859
	5,368	First Bancorp*		26,303

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	FINANCIALS — 17.6% — (continued)
	Banks — 5.5% — (continued)
	1,068	First Bancorp	$	21,414
	362	First Bancorp Inc.		8,149
	1,358	First Busey Corp.		31,709
	306	First Business Financial Services Inc.		6,971
	356	First Citizens BancShares Inc., Class A Shares		101,428
	4,082	First Commonwealth Financial Corp.		41,677
	712	First Community Bancshares Inc.		17,067
	912	First Community Financial Partners Inc.*		8,153
	572	First Connecticut Bancorp Inc.		10,021
	2,856	First Financial Bancorp		62,261
	3,000	First Financial Bankshares Inc.(a)		109,860
	447	First Financial Corp.		18,273
	414	First Financial Northwest Inc.		5,428
	670	First Foundation Inc.*		16,783
	10,954	First Horizon National Corp.		168,473
	168	First Internet Bancorp		4,007
	918	First Interstate BancSystem Inc., Class A Shares		28,219
	1,903	First Merchants Corp.		51,666
	189	First Mid-Illinois Bancshares Inc.		4,719
	3,948	First Midwest Bancorp Inc.		77,262
	630	First NBC Bank Holding Co.*		8,228
	825	First Northwest Bancorp*		10,857
	711	First of Long Island Corp. (The)		23,321
	33,477	First Republic Bank		2,576,390
	1,339	Flushing Financial Corp.		31,051
	9,874	FNB Corp.		123,326
	387	Franklin Financial Network Inc.*		13,448
	8,052	Fulton Financial Corp.		116,432
	600	German American Bancorp Inc.		22,116
	3,579	Glacier Bancorp Inc.		107,155
	506	Great Southern Bancorp Inc.		21,298
	2,758	Great Western Bancorp Inc.		94,434
	1,248	Green Bancorp Inc.*		12,730
	842	Guaranty Bancorp		15,560
	3,650	Hancock Holding Co.		119,099
	1,584	Hanmi Financial Corp.		41,548
	1,004	Heartland Financial USA Inc.		36,465
	1,535	Heritage Commerce Corp.		17,637
	1,566	Heritage Financial Corp.		28,940
	851	Heritage Oaks Bancorp		6,868
	3,693	Hilltop Holdings Inc.*		83,610
	5,705	Home BancShares Inc.		133,497
	1,042	HomeTrust Bancshares Inc.*		19,923
	6,127	Hope Bancorp Inc.		105,384
	626	Horizon Bancorp		17,534
	133,317	Huntington Bancshares Inc.		1,334,503
	1,941	IBERIABANK Corp.		133,483
	2,397	Independent Bank Corp.		83,466
	496	Independent Bank Group Inc.		21,784
	2,551	International Bancshares Corp.		75,637
	14,060	Investors Bancorp Inc.		172,235
	1,711	Lakeland Bancorp Inc.		23,355
	1,119	Lakeland Financial Corp.		40,105
	284	LCNB Corp.		4,996
	2,066	LegacyTexas Financial Group Inc.		62,662

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	FINANCIALS — 17.6% — (continued)
	Banks — 5.5% — (continued)
	749	Live Oak Bancshares Inc.	$	10,606
	960	Macatawa Bank Corp.		7,469
	1,214	MainSource Financial Group Inc.		29,294
	3,306	MB Financial Inc.		129,529
	806	MBT Financial Corp.		6,835
	704	Mercantile Bank Corp.		18,867
	159	Merchants Bancshares Inc.		5,279
	171	Middleburg Financial Corp.		4,870
	133	Midland States Bancorp Inc.		3,237
	501	MidWestOne Financial Group Inc.		14,940
	358	Mutual First Financial Inc.		9,931
	1,188	National Bank Holdings Corp., Class A Shares		28,441
	226	National Bankshares Inc.		8,109
	439	National Commerce Corp.*		11,818
	1,981	NBT Bancorp Inc.		63,966
	435	Nicolet Bankshares Inc.*		16,282
	432	Northrim BanCorp Inc.		11,102
	2,088	OFG Bancorp		22,780
	273	Old Line Bancshares Inc.		5,280
	6,466	Old National Bancorp		91,559
	1,029	Old Second Bancorp Inc.		8,397
	787	Opus Bank		27,482
	419	Orrstown Financial Services Inc.		8,543
	858	Pacific Continental Corp.		14,157
	487	Pacific Mercantile Bancorp*		3,740
	1,397	Pacific Premier Bancorp Inc.*		37,705
	5,638	PacWest Bancorp		244,182
	618	Park National Corp.		59,112
	2,860	Park Sterling Corp.		24,253
	853	Peapack Gladstone Financial Corp.		17,043
	251	Penns Woods Bancorp Inc.		11,089
	898	Peoples Bancorp Inc.		21,345
	385	Peoples Financial Services Corp.		14,799
	14,477	People’s United Financial Inc.		235,251
	641	People’s Utah Bancorp		12,615
	2,036	Pinnacle Financial Partners Inc.		115,421
	4,855	Popular Inc.		190,850
	612	Preferred Bank		21,451
	264	Premier Financial Bancorp Inc.		4,414
	3,725	PrivateBancorp Inc.		171,164
	3,152	Prosperity Bancshares Inc.		174,841
	665	QCR Holdings Inc.		20,761
	1,915	Renasant Corp.		67,887
	354	Republic Bancorp Inc., Class A Shares		11,332
	910	Republic First Bancorp Inc.*		3,731
	1,585	S&T Bancorp Inc.		45,569
	1,098	Sandy Spring Bancorp Inc.		34,620
	1,589	Seacoast Banking Corp. of Florida*		26,139
	1,071	ServisFirst Bancshares Inc.		56,131
	308	Shore Bancshares Inc.		3,582
	401	Sierra Bancorp		7,310
	7,694	Signature Bank*		938,745
	1,376	Simmons First National Corp., Class A Shares		69,061
	1,113	South State Corp.		84,577
	257	Southern First Bancshares Inc.*		7,283

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	FINANCIALS — 17.6% — (continued)
	Banks — 5.5% — (continued)
	360	Southern National Bancorp of Virginia Inc.	$	4,471
	1,125	Southside Bancshares Inc.		36,956
	984	Southwest Bancorp Inc.		19,267
	1,632	State Bank Financial Corp.		37,634
	5,976	Sterling Bancorp		106,672
	977	Stock Yards Bancorp Inc.		31,176
	668	Stonegate Bank		21,750
	524	Suffolk Bancorp		18,523
	323	Summit Financial Group Inc.		6,276
	488	Sun Bancorp Inc.		11,146
	2,465	SVB Financial Group*		273,763
	6,008	Synovus Financial Corp.		198,745
	2,839	Talmer Bancorp Inc., Class A Shares		66,035
	52,461	TCF Financial Corp.		768,554
	11,984	Texas Capital Bancshares Inc.*		629,400
	676	Tompkins Financial Corp.		49,977
	2,589	Towne Bank		61,592
	960	TriCo Bancshares		25,958
	1,240	TriState Capital Holdings Inc.*		18,557
	761	Triumph Bancorp Inc.*		14,550
	3,167	Trustmark Corp.		89,816
	2,112	UMB Financial Corp.		128,410
	48,480	Umpqua Holdings Corp.		796,042
	2,029	Union Bankshares Corp.		56,467
	178	Union Bankshares Inc.		6,061
	3,089	United Bankshares Inc.(a)		121,707
	3,312	United Community Banks Inc.		69,486
	1,184	Univest Corp. of Pennsylvania		27,635
	11,591	Valley National Bancorp		111,853
	553	Veritex Holdings Inc.*		9,484
	689	Washington Trust Bancorp Inc.		29,041
	323	WashingtonFirst Bankshares Inc.		8,033
	4,309	Webster Financial Corp.		166,457
	1,667	WesBanco Inc.		54,561
	724	West Bancorporation Inc.		14,212
	1,142	Westamerica Bancorporation		58,059
	4,451	Western Alliance Bancorp*		170,117
	2,435	Wintrust Financial Corp.		135,337
	4,208	Xenith Bankshares Inc.*		9,847
	2,474	Yadkin Financial Corp.		64,571
	192	Your Community Bankshares Inc.		7,494
	9,574	Zions Bancorporation		292,869

		Total Banks		26,072,726

	Capital Markets — 1.9%
	1,757	Artisan Partners Asset Management Inc., Class A Shares		45,946
	296	Associated Capital Group Inc., Class A Shares		9,738
	304	B. Riley Financial Inc.		2,894
	89,974	BGC Partners Inc., Class A Shares		789,072
	825	Calamos Asset Management Inc., Class A Shares		5,767
	965	Cohen & Steers Inc.		40,655
	4,582	Cowen Group Inc., Class A Shares*(a)		17,183
	150	Diamond Hill Investment Group Inc.		28,403
	28,455	ETrade Financial Corp.		750,643
	5,222	Eaton Vance Corp.		209,037

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	FINANCIALS — 17.6% — (continued)
	Capital Markets — 1.9% — (continued)
	1,847	Evercore Partners Inc., Class A Shares	$	94,640
	424	FBR & Co.		5,991
	4,487	Federated Investors Inc., Class B Shares		144,930
	2,538	Financial Engines Inc.		81,140
	2,187	GAIN Capital Holdings Inc.		14,062
	241	GAMCO Investors Inc., Class A Shares		7,391
	68,254	Greenhill & Co., Inc.		1,565,747
	198	Hennessy Advisors Inc.		6,732
	630	Houlihan Lokey Inc., Class A Shares		15,599
	746	INTL. FCStone Inc.*		26,871
	1,292	Investment Technology Group Inc.		19,871
	6,799	Janus Capital Group Inc.		101,101
	2,567	KCG Holdings Inc., Class A Shares*		37,093
	3,970	Ladenburg Thalmann Financial Services Inc.*(a)		9,091
	6,057	Lazard Ltd., Class A Shares		224,291
	5,041	Legg Mason Inc.		174,368
	4,121	LPL Financial Holdings Inc.(a)		122,517
	909	Manning & Napier Inc., Class A Shares		6,981
	151	Medley Management Inc., Class A Shares		1,098
	943	Moelis & Co., Class A Shares		25,414
	8,865	NorthStar Asset Management Group Inc.		110,192
	1,960	OM Asset Management PLC		26,460
	494	Oppenheimer Holdings Inc., Class A Shares		7,939
	710	Piper Jaffray Cos.*		31,510
	888	PJT Partners Inc., Class A Shares(a)		21,907
	678	Pzena Investment Management Inc., Class A Shares		5,261
	23,149	Raymond James Financial Inc.		1,346,577
	888	Safeguard Scientifics Inc.*		12,521
	52,449	SEI Investments Co.		2,417,899
	236	Silvercrest Asset Management Group Inc., Class A Shares		2,924
	3,025	Stifel Financial Corp.*		119,034
	1,172	Virtu Financial Inc., Class A Shares		19,115
	289	Virtus Investment Partners Inc.(a)		26,357
	3,787	Waddell & Reed Financial Inc., Class A Shares		70,438
	373	Westwood Holdings Group Inc.		18,669
	33,448	WisdomTree Investments Inc.(a)		351,204

		Total Capital Markets		9,172,273

	Consumer Finance — 0.2%
	1,147	Cash America International Inc.		49,929
	390	Credit Acceptance Corp.*(a)		77,864
	1,043	Encore Capital Group Inc.*(a)		22,487
	1,135	Enova International Inc.*		10,885
	2,458	EZCORP Inc., Class A Shares*		25,440
	1,277	First Cash Financial Services Inc.		66,046
	1,945	Green Dot Corp., Class A Shares*		45,124
	15,530	LendingClub Corp.*(a)		84,017
	15,736	Navient Corp.		226,284
	958	Nelnet Inc., Class A Shares		33,913
	2,490	OneMain Holdings Inc., Class A Shares*		77,215
	2,151	PRA Group Inc.*		68,789
	435	Regional Management Corp.*		9,405
	4,943	Santander Consumer USA Holdings Inc.*		62,183
	20,265	SLM Corp.*		150,265

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	FINANCIALS — 17.6% — (continued)
	Consumer Finance — 0.2% — (continued)
	256	World Acceptance Corp.*(a)	$	12,316

		Total Consumer Finance		1,022,162

	Diversified Financial Services — 0.8%
	209	BBX Capital Corp., Class A Shares*		4,144
	3,884	CBOE Holdings Inc.		266,792
	1,901	FactSet Research Systems Inc.		338,435
	3,257	FNFV Group*		41,983
	6,078	MarketAxess Holdings Inc.		1,024,386
	507	Marlin Business Services Corp.		9,532
	5,760	Moody’s Corp.		626,054
	877	Morningstar Inc.		72,852
	4,327	MSCI Inc., Class A Shares		389,949
	15,732	Nasdaq Inc.		1,120,276
	955	NewStar Financial Inc.*		10,763
	2,236	On Deck Capital Inc.*(a)		14,154
	972	PICO Holdings Inc.*		10,711
	545	Resource America Inc., Class A Shares		5,319
	1,343	Tiptree Financial Inc., Class A Shares		7,333

		Total Diversified Financial Services		3,942,683

	Insurance — 2.5%
	597	Alleghany Corp.*		320,111
	4,200	Allied World Assurance Co. Holdings AG		170,352
	376	Ambac Financial Group Inc.*		6,821
	4,036	American Equity Investment Life Holding Co.		71,114
	3,382	American Financial Group Inc.		254,157
	386	American National Insurance Co.		45,093
	976	AMERISAFE Inc.		58,570
	4,355	AmTrust Financial Services Inc.		115,364
	13,258	Aon PLC		1,476,278
	5,481	Arch Capital Group Ltd.*		443,632
	1,458	Argo Group International Holdings Ltd.		82,727
	8,335	Arthur J. Gallagher & Co.		411,832
	2,948	Aspen Insurance Holdings Ltd.		135,490
	2,973	Assurant Inc.		266,232
	6,452	Assured Guaranty Ltd.		179,172
	777	Atlas Financial Holdings Inc.*		13,621
	4,409	Axis Capital Holdings Ltd.		250,740
	732	Baldwin & Lyons Inc., Class B Shares		18,476
	631	Blue Capital Reinsurance Holdings Ltd.*		10,979
	5,557	Brown & Brown Inc.		208,221
	2,198	Citizens Inc., Class A Shares*(a)		23,914
	8,482	CNO Financial Group Inc.		137,832
	639	Crawford & Co., Class B Shares		7,246
	758	Donegal Group Inc., Class A Shares		12,196
	702	eHealth Inc.*		7,890
	620	EMC Insurance Group Inc.		17,267
	1,196	Employers Holdings Inc.		36,442
	3,096	Endurance Specialty Holdings Ltd.		203,872
	558	Enstar Group Ltd.*		92,957
	1,156	Erie Indemnity Co., Class A Shares		117,947
	1,967	Everest Re Group Ltd.		380,378
	471	FBL Financial Group Inc., Class A Shares		31,143
	718	Federated National Holding Co.		13,118

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	FINANCIALS — 17.6% — (continued)
	Insurance — 2.5% — (continued)
	616	Fidelity & Guaranty Life(a)	$	14,661
	5,145	First American Financial Corp.		221,698
	27,052	FNF Group		1,019,590
	18,723	Genworth Financial Inc., Class A Shares*		88,560
	566	Global Indemnity PLC, Class A Shares*		16,329
	1,579	Greenlight Capital Re Ltd., Class A Shares*		33,870
	890	Hallmark Financial Services Inc.*		9,407
	2,071	Hanover Insurance Group Inc. (The)		161,952
	467	HCI Group Inc.		14,846
	1,334	Heritage Insurance Holdings Inc.		18,302
	2,066	Horace Mann Educators Corp.		75,512
	451	Independence Holding Co.		7,915
	581	Infinity Property & Casualty Corp.		48,955
	117	Investors Title Co.*		11,473
	769	James River Group Holdings Ltd.		28,099
	1,995	Kemper Corp.		74,713
	101,614	Maiden Holdings Ltd.		1,403,289
	6,319	MBIA Inc.*		50,931
	2,501	National General Holdings Corp.		56,998
	395	National Interstate Corp.		12,849
	114	National Western Life Group Inc., Class A Shares		22,117
	607	Navigators Group Inc. (The)		57,034
	11,838	Old Republic International Corp.		227,645
	1,291	OneBeacon Insurance Group Ltd., Class A Shares		18,281
	596	Patriot National Inc.*		5,275
	2,218	Primerica Inc.		126,271
	2,595	ProAssurance Corp.		142,777
	3,080	Reinsurance Group of America Inc., Class A Shares		330,546
	1,610	RenaissanceRe Holdings Ltd.		192,717
	1,861	RLI Corp.		132,094
	697	Safety Insurance Group Inc.		46,316
	2,135	Selective Insurance Group Inc.		85,186
	858	State Auto Financial Corp.		19,700
	1,466	State National Cos., Inc.		14,909
	883	Stewart Information Services Corp.		40,424
	3,391	Third Point Reinsurance Ltd.*		44,151
	5,658	Torchmark Corp.		365,959
	667	Trupanion Inc.*(a)		10,025
	1,122	United Fire Group Inc.		48,482
	883	United Insurance Holdings Corp.		13,907
	1,586	Universal Insurance Holdings Inc.(a)		39,301
	3,643	Validus Holdings Ltd.		185,028
	228	White Mountains Insurance Group Ltd.		187,877
	10,198	WMIH Corp.*(a)		25,393
	4,694	WR Berkley Corp.		278,683

		Total Insurance		11,651,231

	Real Estate Investment Trusts (REITs) — 5.3%
	3,747	Acadia Realty Trust		138,414
	1,210	AG Mortgage Investment Trust Inc.		19,142
	1,081	Agree Realty Corp.		51,877
	102	Alexander’s Inc.		43,861
	3,640	Alexandria Real Estate Equities Inc.		400,728
	2,316	Altisource Residential Corp.		25,407
	1,896	American Assets Trust Inc.		83,993

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	FINANCIALS — 17.6% — (continued)
	Real Estate Investment Trusts (REITs) — 5.3% — (continued)
	6,245	American Campus Communities Inc.	$	312,937
	15,752	American Capital Agency Corp.		304,171
	2,252	American Capital Mortgage Investment Corp.		38,408
	7,963	American Homes 4 Rent, Class A Shares		174,151
	4,508	Anworth Mortgage Asset Corp.		22,044
	7,363	Apartment Investment & Management Co., Class A Shares		332,660
	3,166	Apollo Commercial Real Estate Finance Inc.		51,606
	1,697	Apollo Residential Mortgage Inc.		23,147
	7,866	Apple Hospitality REIT Inc.(a)		154,331
	1,158	Ares Commercial Real Estate Corp.		14,556
	1,832	Armada Hoffler Properties Inc.		25,245
	1,731	ARMOUR Residential REIT Inc.(a)		38,497
	1,057	Ashford Hospitality Prime Inc.		16,394
	127,766	Ashford Hospitality Trust Inc.		890,529
	759	Bluerock Residential Growth REIT Inc., Class A Shares		10,171
	8,450	Brandywine Realty Trust		136,298
	9,119	Brixmor Property Group Inc.		260,439
	4,090	Camden Property Trust		358,979
	4,700	Capstead Mortgage Corp.		46,624
	4,018	Care Capital Properties Inc.		120,500
	3,049	CareTrust REIT Inc.		45,308
	2,065	CatchMark Timber Trust Inc., Class A Shares		24,161
	8,020	CBL & Associates Properties Inc.		114,445
	3,736	Cedar Realty Trust Inc.		28,282
	1,841	Chatham Lodging Trust		38,164
	2,857	Chesapeake Lodging Trust		72,796
	9,040	Chimera Investment Corp.		149,070
	1,126	City Office REIT Inc.		14,593
	5,382	Colony Capital Inc., Class A Shares		99,406
	3,117	Colony Starwood Homes(a)		96,627
	5,838	Columbia Property Trust Inc.		137,660
	22,206	Communications Sales & Leasing Inc.		692,827
	18,733	Community Healthcare Trust Inc.		430,297
	592	CorEnergy Infrastructure Trust Inc.(a)		17,417
	1,572	CoreSite Realty Corp.		122,647
	4,499	Corporate Office Properties Trust		128,311
	5,523	Corrections Corp. of America		87,981
	9,921	Cousins Properties Inc.		109,329
	8,438	CubeSmart		232,298
	3,364	CyrusOne Inc.		171,026
	7,370	CYS Investments Inc.		64,930
	4,308	DCT Industrial Trust Inc.		209,843
	14,381	DDR Corp.		271,945
	9,516	DiamondRock Hospitality Co.		100,774
	6,664	Douglas Emmett Inc.		250,300
	16,442	Duke Realty Corp.		462,349
	3,509	DuPont Fabros Technology Inc.		148,782
	1,820	Dynex Capital Inc.		13,377
	1,583	Easterly Government Properties Inc.		30,853
	1,486	EastGroup Properties Inc.		109,043
	3,472	Education Realty Trust Inc.		157,316
	5,863	Empire State Realty Trust Inc., Class A Shares		125,879
	3,011	EPR Properties		235,822
	5,858	Equity Commonwealth*		183,297
	3,602	Equity LifeStyle Properties Inc.		279,263

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	FINANCIALS — 17.6% — (continued)
	Real Estate Investment Trusts (REITs) — 5.3% — (continued)
	4,364	Equity One Inc.	$	135,459
	546	Farmland Partners Inc.(a)		6,361
	6,418	FelCor Lodging Trust Inc.		45,632
	5,526	First Industrial Realty Trust Inc.		158,983
	2,736	First Potomac Realty Trust		27,552
	10,856	Forest City Realty Trust Inc., Class A Shares		256,853
	26,819	Four Corners Property Trust Inc.		555,421
	4,969	Franklin Street Properties Corp.		62,411
	8,887	Gaming and Leisure Properties Inc.		304,024
	3,471	GEO Group Inc. (The)		69,559
	1,327	Getty Realty Corp.		31,224
	969	Gladstone Commercial Corp.		17,442
	8,187	Global Net Lease Inc.		67,952
	20,142	Gramercy Property Trust		194,975
	816	Great Ajax Corp.		11,187
	1,823	Hannon Armstrong Sustainable Infrastructure Capital Inc.		43,716
	5,322	Healthcare Realty Trust Inc.		186,589
	6,479	Healthcare Trust of America Inc., Class A Shares		218,601
	1,973	Hersha Hospitality Trust, Class A Shares		38,552
	4,565	Highwoods Properties Inc.		242,128
	7,529	Hospitality Properties Trust		229,559
	87,899	Host Hotels & Resorts Inc.		1,566,360
	4,431	Hudson Pacific Properties Inc.		148,306
	2,239	Independence Realty Trust Inc.		21,159
	1,949	InfraREIT Inc.		36,836
	5,521	Invesco Mortgage Capital Inc.		86,901
	5,831	Investors Real Estate Trust(a)		38,718
	12,268	Iron Mountain Inc.		471,214
	3,469	iStar Inc.*		37,500
	4,346	Kilroy Realty Corp.		315,650
	3,975	Kite Realty Group Trust		114,798
	1,818	Ladder Capital Corp., Class A Shares		24,143
	3,914	Lamar Advertising Co., Class A Shares		243,960
	5,072	LaSalle Hotel Properties		142,320
	11,134	Lexington Realty Trust		120,136
	6,976	Liberty Property Trust		287,620
	2,166	Life Storage Inc.		194,940
	1,797	LTC Properties Inc.		93,300
	4,373	Mack-Cali Realty Corp.		121,394
	11,236	Medical Properties Trust Inc.		171,574
	17,717	MFA Financial Inc.		136,775
	3,609	Mid-America Apartment Communities Inc.		339,210
	3,284	Monmouth Real Estate Investment Corp.		45,976
	8,139	Monogram Residential Trust Inc.		85,622
	3,984	National Health Investors Inc.		319,836
	6,821	National Retail Properties Inc.		341,732
	25,282	National Storage Affiliates Trust		513,477
	11,401	New Residential Investment Corp.		163,604
	3,753	New Senior Investment Group Inc.		46,500
	5,257	New York Mortgage Trust Inc.		31,752
	7,954	New York REIT Inc.		76,836
	867	NexPoint Residential Trust Inc.		18,129
	2,858	NorthStar Realty Europe Corp.		29,266
	8,597	NorthStar Realty Finance Corp.		114,684
	8,728	Omega Healthcare Investors Inc.(a)		315,954

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	FINANCIALS — 17.6% — (continued)
	Real Estate Investment Trusts (REITs) — 5.3% — (continued)
	772	One Liberty Properties Inc.	$	18,721
	885	Orchid Island Capital Inc., Class A Shares		9,284
	6,557	Outfront Media Inc.		146,352
	673	Owens Realty Mortgage Inc.		11,441
	8,668	Paramount Group Inc.		156,024
	4,036	Parkway Properties Inc.		72,648
	3,414	Pebblebrook Hotel Trust		102,557
	3,283	Pennsylvania Real Estate Investment Trust		82,370
	3,304	PennyMac Mortgage Investment Trust		50,353
	6,458	Physicians Realty Trust		138,266
	6,692	Piedmont Office Realty Trust Inc., Class A Shares		144,614
	2,455	Post Properties Inc.		162,717
	1,949	Potlatch Corp.		73,809
	1,225	Preferred Apartment Communities Inc., Class A Shares		16,954
	915	PS Business Parks Inc.		101,364
	2,270	QTS Realty Trust Inc., Class A Shares		123,011
	2,891	RAIT Financial Trust		9,078
	3,835	Ramco-Gershenson Properties Trust		74,514
	5,870	Rayonier Inc.		161,601
	3,635	Redwood Trust Inc.		53,798
	4,863	Regency Centers Corp.		391,666
	1,455	Resource Capital Corp.		19,308
	5,072	Retail Opportunity Investments Corp.		113,156
	11,338	Retail Properties of America Inc., Class A Shares		192,746
	3,167	Rexford Industrial Realty Inc.		70,719
	5,792	RLJ Lodging Trust		135,185
	2,059	Ryman Hospitality Properties Inc.		111,104
	3,116	Sabra Health Care REIT Inc.		79,396
	490	Saul Centers Inc.		32,477
	3,074	Select Income REIT		83,889
	11,207	Senior Housing Properties Trust		250,364
	1,174	Seritage Growth Properties, Class A Shares(a)		52,243
	1,563	Silver Bay Realty Trust Corp.		29,744
	22,962	Spirit Realty Capital Inc.		304,246
	3,304	STAG Industrial Inc.		82,038
	10,912	Starwood Property Trust Inc.		249,885
	7,201	STORE Capital Corp.		213,366
	4,212	Summit Hotel Properties Inc.		60,232
	2,991	Sun Communities Inc.		228,871
	10,272	Sunstone Hotel Investors Inc.		142,678
	4,439	Tanger Factory Outlet Centers Inc.		180,401
	2,780	Taubman Centers Inc.		215,923
	2,150	Terreno Realty Corp.		57,534
	2,348	Tier REIT Inc.		37,615
	16,605	Two Harbors Investment Corp.		147,784
	1,398	UMH Properties Inc.		16,552
	70	Universal Health Realty Income Trust		4,311
	4,261	Urban Edge Properties		122,120
	1,048	Urstadt Biddle Properties Inc., Class A Shares		23,800
	8,831	Washington Prime Group Inc.*		121,338
	3,453	Washington Real Estate Investment Trust		112,222
	5,539	Weingarten Realty Investors		228,484
	2,078	Western Asset Mortgage Capital Corp.(a)		21,985
	1,279	Whitestone REIT, Class B Shares		18,533

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	FINANCIALS — 17.6% — (continued)
	Real Estate Investment Trusts (REITs) — 5.3% — (continued)
	4,893	WP Carey Inc.	$	326,118
	5,016	Xenia Hotels & Resorts Inc.		84,469

		Total Real Estate Investment Trusts (REITs)		25,543,867

	Real Estate Management & Development — 0.8%
	2,245	Alexander & Baldwin Inc.		90,092
	569	Altisource Portfolio Solutions SA*		18,538
	554	AV Homes Inc.*		8,404
	88,375	CBRE Group Inc., Class A Shares*		2,641,529
	170	Consolidated-Tomoka Land Co.		8,964
	1,717	Forestar Group Inc.*(a)		21,548
	249	FRP Holdings Inc.*		8,381
	1,752	HFF Inc., Class A Shares		46,971
	1,740	Howard Hughes Corp. (The)*		205,703
	2,143	Jones Lang LaSalle Inc.		250,195
	3,899	Kennedy-Wilson Holdings Inc.		86,012
	781	Marcus & Millichap Inc.*		20,345
	826	RE/MAX Holdings Inc., Class A Shares		34,395
	6,933	Realogy Holdings Corp.		186,082
	376	RMR Group Inc. (The), Class A Shares		14,495
	206	Stratus Properties Inc.*		3,912
	661	Tejon Ranch Co.*		15,692
	1,059	Trinity Place Holdings Inc.*(a)		9,001

		Total Real Estate Management & Development		3,670,259

	Thrifts & Mortgage Finance — 0.6%
	4,280	Astoria Financial Corp.		65,484
	1,678	Bank Mutual Corp.		13,088
	626	BankFinancial Corp.		7,725
	726	Bear State Financial Inc.		6,795
	3,395	Beneficial Bancorp Inc.		51,197
	2,793	BofI Holding Inc.*(a)		60,049
	295	BSB Bancorp Inc.*		7,139
	5,950	Capitol Federal Financial Inc.		85,561
	534	Charter Financial Corp.		7,022
	981	Clifton Bancorp Inc.		14,568
	1,633	Dime Community Bancshares Inc.		28,839
	526	ESSA Bancorp Inc.*		7,232
	41,428	Essent Group Ltd.*		1,101,156
	4,903	EverBank Financial Corp.		94,089
	422	Federal Agricultural Mortgage Corp., Class C Shares		17,293
	387	First Defiance Financial Corp.		17,605
	1,072	Flagstar Bancorp Inc.*		30,102
	181	Greene County Bancorp Inc.		2,995
	52	Hingham Institution for Savings		6,756
	377	Home Bancorp Inc.		10,873
	1,187	HomeStreet Inc.*		30,933
	439	Impac Mortgage Holdings Inc.*(a)		7,314
	4,620	Kearny Financial Corp.		63,248
	393	Lake Sunapee Bank Group(a)		7,043
	310	LendingTree Inc.*		30,070
	2,487	Meridian Bancorp Inc.		38,847
	385	Meta Financial Group Inc.		23,697
	16,444	MGIC Investment Corp.*		133,032
	1,450	Nationstar Mortgage Holdings Inc.*(a)		23,026

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	FINANCIALS — 17.6% — (continued)
	Thrifts & Mortgage Finance — 0.6% — (continued)
	2,521	NMI Holdings Inc., Class A Shares*	$	20,017
	1,837	Northfield Bancorp Inc.		29,190
	4,665	Northwest Bancshares Inc.		72,401
	979	OceanFirst Financial Corp.		19,404
	5,003	Ocwen Financial Corp.*		17,811
	1,810	Oritani Financial Corp.		29,087
	2,417	PHH Corp.*		36,980
	186	Provident Bancorp Inc.*		2,937
	415	Provident Financial Holdings Inc.		7,926
	2,852	Provident Financial Services Inc.		61,518
	10,331	Radian Group Inc.		141,638
	855	SI Financial Group Inc.		11,517
	211	Southern Missouri Bancorp Inc		5,174
	291	Territorial Bancorp Inc.		8,311
	2,822	TFS Financial Corp.		51,191
	4,553	TrustCo Bank Corp. NY		32,508
	2,449	United Community Financial Corp.		15,943
	2,613	United Financial Bancorp Inc.		36,556
	1,265	Walker & Dunlop Inc.*		33,522
	1,407	Walter Investment Management Corp.*(a)		5,318
	4,267	Washington Federal Inc.		113,075
	1,097	Waterstone Financial Inc.		18,539
	847	Westfield Financial Inc.*		6,412
	1,339	WSFS Financial Corp.		52,087

		Total Thrifts & Mortgage Finance		2,821,840

		TOTAL FINANCIALS		83,897,041

	HEALTH CARE — 13.4%
	Biotechnology — 2.8%
	4,558	ACADIA Pharmaceuticals Inc.*(a)		146,449
	20,876	Acceleron Pharma Inc.*		626,489
	5,426	Achillion Pharmaceuticals Inc.*		44,819
	26,997	Acorda Therapeutics Inc.*		650,088
	907	Adamas Pharmaceuticals Inc.*		12,399
	1,587	Aduro Biotech Inc.*(a)		22,361
	1,745	Advaxis Inc.*(a)		20,120
	1,281	Adverum Biotechnologies Inc.*		4,586
	3,576	Agenus Inc.*		22,135
	1,329	Agios Pharmaceuticals Inc.*(a)		48,960
	1,275	Aimmune Therapeutics Inc.*		18,832
	1,800	Akebia Therapeutics Inc.*		14,634
	15,383	Alder Biopharmaceuticals Inc.*(a)		507,178
	26,536	Alkermes PLC*		1,161,481
	3,562	Alnylam Pharmaceuticals Inc.*		248,806
	1,744	AMAG Pharmaceuticals Inc.*		41,560
	6,810	Amicus Therapeutics Inc.*		45,559
	1,344	Anavex Life Sciences Corp.*		4,113
	1,733	Anthera Pharmaceuticals Inc.*		4,991
	694	Applied Genetic Technologies Corp.*		8,869
	808	Aptevo Therapeutics Inc.*		2,198
	1,549	Ardelyx Inc.*(a)		15,444
	12,389	Arena Pharmaceuticals Inc.*		19,203
	533	Argos Therapeutics Inc.*(a)		2,638
	108,042	ARIAD Pharmaceuticals Inc.*		1,117,154

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units			Security	Value
	HEALTH CARE — 13.4% — (continued)
	Biotechnology — 2.8% — (continued)
	6,695		Array Biopharma Inc.*	$	22,964
	2,987		Arrowhead Pharmaceuticals Inc.*		20,700
	1,258		Asterias Biotherapeutics Inc.*		3,510
	1,035		Atara Biotherapeutics Inc.*(a)		20,224
	2,968		Athersys Inc.*		5,669
	179		Avexis Inc.*(a)		6,326
	1,222		Axovant Sciences Ltd.*		20,053
	1,044		Bellicum Pharmaceuticals Inc.*(a)		17,978
	3,646		BioCryst Pharmaceuticals Inc.*		14,985
	7,684		BioMarin Pharmaceutical Inc.*		721,451
	297		BioSpecifics Technologies Corp.*		10,867
	3,583		BioTime Inc.*(a)		10,534
	1,760		Bluebird Bio Inc.*		86,838
	961		Blueprint Medicines Corp.*(a)		26,793
	971		Cara Therapeutics Inc.*		5,263
	4,142		Celldex Therapeutics Inc.*(a)		13,751
	623		Cellular Biomedicine Group Inc.*		8,703
	3,464		Cepheid*		118,884
	1,063		ChemoCentryx Inc.*(a)		5,315
	1,919		Chimerix Inc.*		9,230
	364		Cidara Therapeutics Inc.*(a)		4,211
	1,533		Clovis Oncology Inc.*(a)		37,972
	1,369		Coherus Biosciences Inc.*(a)		40,755
	913		Concert Pharmaceuticals Inc.*		8,874
	238		Corvus Pharmaceuticals Inc.*		3,249
	4,288		Curis Inc.*(a)		7,547
	1,672		Cytokinetics Inc.*(a)		20,181
	1,025		CytomX Therapeutics Inc.*		12,023
	2,487		CytRx Corp.*(a)		1,397
	504		Dimension Therapeutics Inc.*(a)		2,994
	1,782		Dynavax Technologies Corp.*(a)		27,906
	443		Eagle Pharmaceuticals Inc.*(a)		26,469
	594		Edge Therapeutics Inc.*		5,281
	260		Editas Medicine Inc.*		4,373
	150		Eiger BioPharmaceuticals Inc.*		2,238
	1,495		Emergent BioSolutions Inc.*		39,842
	765		Enanta Pharmaceuticals Inc.*		16,822
	1,788		Epizyme Inc.*(a)		13,070
	506		Esperion Therapeutics Inc.*(a)		5,450
	5,008		Exact Sciences Corp.*(a)		92,498
	10,783		Exelixis Inc.*		120,230
	2,445	��	FibroGen Inc.*		42,323
	1,255		Five Prime Therapeutics Inc.*		55,195
	1,075		Flexion Therapeutics Inc.*		17,931
	1,120		Fortress Biotech Inc.*		3,058
	597		Foundation Medicine Inc.*		12,250
	6,703		Galena Biopharma Inc.*		2,710
	881		Genomic Health Inc.*		23,320
	7,242		Geron Corp.*(a)		19,481
	811		Global Blood Therapeutics Inc.*		13,779
	467		GlycoMimetics Inc.*		3,460
	5,125		Halozyme Therapeutics Inc.*(a)		50,225
	1,533		Heron Therapeutics Inc.*(a)		28,514
	3,326		Idera Pharmaceuticals Inc.*(a)		6,353
	1,538		Ignyta Inc.*		8,474

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	HEALTH CARE — 13.4% — (continued)
	Biotechnology — 2.8% — (continued)
	513	Immune Design Corp.*	$	3,617
	4,218	ImmunoGen Inc.*(a)		11,853
	3,644	Immunomedics Inc.*(a)		10,094
	12,123	Incyte Corp.*		983,175
	1,944	Infinity Pharmaceuticals Inc.*		2,955
	685	Inotek Pharmaceuticals Corp.*(a)		4,863
	3,283	Inovio Pharmaceuticals Inc.*(a)		30,105
	2,889	Insmed Inc.*		37,413
	1,137	Insys Therapeutics Inc.*(a)		16,225
	401	Intellia Therapeutics Inc.*(a)		7,799
	783	Intercept Pharmaceuticals Inc.*(a)		116,127
	2,608	Intrexon Corp.*		65,826
	1,162	Invitae Corp.*		9,122
	5,741	Ionis Pharmaceuticals Inc.*(a)		170,221
	6,158	Ironwood Pharmaceuticals Inc., Class A Shares*		82,148
	3,007	Juno Therapeutics Inc.*(a)		88,947
	909	Karyopharm Therapeutics Inc.*		9,045
	3,746	Keryx Biopharmaceuticals Inc.*		15,359
	1,874	Kite Pharma Inc.*(a)		107,980
	732	La Jolla Pharmaceutical Co.*		11,968
	1,922	Lexicon Pharmaceuticals Inc.*(a)		26,677
	899	Ligand Pharmaceuticals Inc.*		92,876
	2,516	Lion Biotechnologies Inc.*(a)		20,027
	652	Loxo Oncology Inc.*		17,956
	1,484	MacroGenics Inc.*		44,238
	12,990	MannKind Corp.*		10,405
	1,487	Medgenics Inc.*(a)		8,327
	1,120	MediciNova Inc.*		6,597
	131,962	Merrimack Pharmaceuticals Inc.*(a)		609,664
	4,751	MiMedx Group Inc.*(a)		34,397
	941	Minerva Neurosciences Inc.*		11,499
	394	Mirati Therapeutics Inc.*		1,990
	3,029	Momenta Pharmaceuticals Inc.*		36,409
	14,860	Myriad Genetics Inc.*		302,550
	580	NantKwest Inc.*		4,692
	1,178	Natera Inc.*(a)		11,721
	26,688	Neurocrine Biosciences Inc.*		1,293,300	��
	863	NewLink Genetics Corp.*(a)		8,785
	12,789	Novavax Inc.*(a)		87,477
	1,075	OncoMed Pharmaceuticals Inc.*		10,739
	1,447	Ophthotech Corp.*		76,416
	15,437	OPKO Health Inc.*(a)		140,477
	3,615	Organovo Holdings Inc.*(a)		13,954
	1,123	Osiris Therapeutics Inc.*		5,626
	1,185	Otonomy Inc.*		19,493
	1,596	OvaScience Inc.*(a)		9,720
	8,620	PDL BioPharma Inc.		25,084
	879	Pfenex Inc.*		6,355
	3,427	PharmAthene Inc.*(a)		8,910
	2,295	Portola Pharmaceuticals Inc., Class A Shares*		46,726
	3,378	Progenics Pharmaceuticals Inc.*		21,214
	234	Proteostasis Therapeutics Inc.*(a)		3,349
	9,682	Prothena Corp. PLC*(a)		483,906
	1,751	PTC Therapeutics Inc.*		14,376
	1,174	Puma Biotechnology Inc.*(a)		69,442

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	HEALTH CARE — 13.4% — (continued)
	Biotechnology — 2.8% — (continued)
	1,503	Radius Health Inc.*(a)	$	82,425
	4,015	Raptor Pharmaceutical Corp.*		29,912
	1,017	REGENXBIO Inc.*(a)		11,909
	1,594	Regulus Therapeutics Inc.*(a)		5,053
	1,588	Repligen Corp.*		49,212
	1,636	Retrophin Inc.*		26,209
	4,759	Rigel Pharmaceuticals Inc.*		16,038
	1,235	Sage Therapeutics Inc.*(a)		45,905
	2,879	Sangamo BioSciences Inc.*		12,351
	1,980	Sarepta Therapeutics Inc.*(a)		51,619
	4,586	Seattle Genetics Inc.*		204,306
	934	Seres Therapeutics Inc.*(a)		9,779
	1,185	Sorrento Therapeutics Inc.*(a)		7,892
	914	Spark Therapeutics Inc.*		51,714
	3,808	Spectrum Pharmaceuticals Inc.*		20,220
	629	Stemline Therapeutics Inc.*		5,145
	256	Syndax Pharmaceuticals Inc.*		3,630
	8,528	Synergy Pharmaceuticals Inc.*(a)		40,337
	2,963	Synthetic Biologics Inc.*(a)		4,859
	464	T2 Biosystems Inc.*(a)		3,081
	1,269	TESARO Inc.*(a)		107,472
	1,887	TG Therapeutics Inc.*(a)		11,982
	277	Tobira Therapeutics Inc.*		1,360
	140	Tokai Pharmaceuticals Inc.*		154
	2,233	Trevena Inc.*		15,140
	1,224	Trovagene Inc.*(a)		6,010
	1,712	Ultragenyx Pharmaceutical Inc.*		112,855
	2,099	United Therapeutics Corp.*		256,666
	1,796	Vanda Pharmaceuticals Inc.*		27,622
	1,405	Versartis Inc.*		17,422
	1,011	Vitae Pharmaceuticals Inc.*		6,986
	817	Vital Therapies Inc.*		4,681
	401	Voyager Therapeutics Inc.*		4,880
	134	vTv Therapeutics Inc., Class A Shares*		757
	905	XBiotech Inc.*		11,747
	1,473	Xencor Inc.*		31,124
	926	Zafgen Inc.*		2,769
	5,493	ZIOPHARM Oncology Inc.*(a)		27,849

		Total Biotechnology		13,440,847

	Health Care Equipment & Supplies — 4.7%
	1,018	Abaxis Inc.		51,043
	1,890	ABIOMED Inc.*		222,907
	91,899	Accuray Inc.*(a)		489,822
	4,111	Alere Inc.*		160,863
	10,393	Align Technology Inc.*		965,510
	4,986	Analogic Corp.		443,754
	1,254	AngioDynamics Inc.*		20,741
	647	Anika Therapeutics Inc.*		30,564
	1,450	AtriCure Inc.*		22,316
	68	Atrion Corp.		30,730
	379	Avinger Inc.*		1,546
	931	AxoGen Inc.*		8,388
	16,404	Becton Dickinson and Co.		2,906,953
	1,693	Cantel Medical Corp.		128,008

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	HEALTH CARE — 13.4% — (continued)
	Health Care Equipment & Supplies — 4.7% — (continued)
	1,470	Cardiovascular Systems Inc.*	$	35,971
	4,771	Cerus Corp.*		30,200
	1,766	ConforMIS Inc.*(a)		14,163
	1,274	CONMED Corp.		51,979
	9,737	Cooper Cos., Inc. (The)		1,810,303
	2,051	Corindus Vascular Robotics Inc.*(a)		2,400
	5,699	CR Bard Inc.		1,258,567
	1,496	CryoLife Inc.		23,861
	536	Cutera Inc.*		5,842
	1,103	Cynosure Inc., Class A Shares*		57,455
	8,185	DexCom Inc.*		745,572
	6,576	Edwards Lifesciences Corp.*		757,292
	3,729	Endologix Inc.*(a)		45,345
	408	Entellus Medical Inc.*		7,707
	504	Exactech Inc.*		14,006
	1,742	GenMark Diagnostics Inc.*		14,842
	843	Glaukos Corp.*		25,155
	3,289	Globus Medical Inc., Class A Shares*		76,404
	52,130	Haemonetics Corp.*		1,937,151
	2,223	Halyard Health Inc.*		81,028
	3,108	Hill-Rom Holdings Inc.		184,336
	13,275	Hologic Inc.*		510,026
	694	ICU Medical Inc.*		86,590
	4,212	IDEXX Laboratories Inc.*		474,608
	758	Inogen Inc.*		43,979
	2,746	Insulet Corp.*		116,238
	1,392	Integer Holdings Corp.*		33,686
	18,132	Integra LifeSciences Holdings Corp.*		1,566,967
	1,480	Invacare Corp.		17,568
	1,623	InVivo Therapeutics Holdings Corp.*		11,426
	191	iRadimed Corp.*		3,566
	267	IRIDEX Corp.*		3,986
	1,307	K2M Group Holdings Inc.*		20,807
	690	LeMaitre Vascular Inc.		12,682
	26,016	Masimo Corp.*		1,538,586
	1,954	Meridian Bioscience Inc.		38,005
	2,012	Merit Medical Systems Inc.*		48,771
	1,513	Natus Medical Inc.*		58,871
	1,739	Neogen Corp.*		102,705
	1,137	Nevro Corp.*		107,367
	2,542	Novocure Ltd.*(a)		19,523
	2,353	NuVasive Inc.*		154,051
	2,989	NxStage Medical Inc.*		68,329
	2,654	OraSure Technologies Inc.*		22,745
	881	Orthofix International NV*		39,742
	1,124	Oxford Immunotec Global PLC*		11,645
	1,205	Penumbra Inc.*		85,025
	1,276	Quidel Corp.*		27,779
	6,601	ResMed Inc.		440,221
	2,194	Rockwell Medical Inc.*		15,928
	2,217	RTI Surgical Inc.*		7,117
	192	Second Sight Medical Products Inc.*		643
	755	Senseonics Holdings Inc.*(a)		3,020
	2,004	Spectranetics Corp. (The)*		49,318
	1,988	STAAR Surgical Co.*		17,455

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	HEALTH CARE — 13.4% — (continued)
	Health Care Equipment & Supplies — 4.7% — (continued)
	14,066	STERIS PLC	$	994,185
	635	Surmodics Inc.*		18,078
	732	Tandem Diabetes Care Inc.*		5,219
	5,529	Teleflex Inc.		1,012,305
	4,101	TransEnterix Inc.*		5,618
	1	Unilife Corp.*		3
	192	Utah Medical Products Inc.		12,098
	783	Vascular Solutions Inc.*		37,717
	800	Veracyte Inc.*		4,504
	3,424	West Pharmaceutical Services Inc.		280,186
	57,836	Wright Medical Group NV*		1,432,019
	1,670	Zeltiq Aesthetics Inc.*(a)		63,660

		Total Health Care Equipment & Supplies		22,287,291

	Health Care Providers & Services — 2.1%
	454	AAC Holdings Inc.*(a)		8,880
	3,492	Acadia Healthcare Co., Inc.*		178,755
	1,435	Aceto Corp.		28,973
	331	Addus HomeCare Corp.*		7,937
	693	Adeptus Health Inc., Class A Shares*(a)		29,494
	1,664	Air Methods Corp.*		58,539
	463	Almost Family Inc.*		17,052
	1,316	Amedisys Inc.*		63,339
	409	American Renal Associates Holdings Inc.*(a)		8,683
	2,287	AMN Healthcare Services Inc.*		82,858
	32,104	Amsurg Corp.*		2,084,192
	3,048	BioScrip Inc.*		7,864
	1,312	BioTelemetry Inc.*		24,233
	8,846	Brookdale Senior Living Inc.*		152,240
	1,464	Capital Senior Living Corp.*		25,166
	762	Chemed Corp.		102,817
	820	Civitas Solutions Inc.*		14,908
	5,461	Community Health Systems Inc.*(a)		58,323
	497	CorVel Corp.*		19,105
	1,622	Cross Country Healthcare Inc.*		19,740
	2,128	Diplomat Pharmacy Inc.*		66,585
	2,402	Ensign Group Inc. (The)		45,134
	8,895	Envision Healthcare Holdings Inc.*		190,887
	2,272	Genesis Healthcare Inc., Class A Shares*		5,476
	2,039	HealthEquity Inc.*		66,390
	4,208	HealthSouth Corp.		171,308
	54,746	Healthways Inc.*		1,369,197
	3,933	Kindred Healthcare Inc.		43,420
	9,859	Laboratory Corp. of America Holdings*		1,349,993
	478	Landauer Inc.		22,715
	777	LHC Group Inc.*		27,630
	1,936	LifePoint Health Inc.*		109,578
	4,362	MEDNAX Inc.*		286,889
	5,858	Molina Healthcare Inc.*		315,219
	594	National HealthCare Corp.		38,598
	412	National Research Corp., Class A Shares		6,522
	2,889	Nobilis Health Corp.*(a)		10,111
	2,939	Owens & Minor Inc.		101,013
	3,961	Patterson Cos., Inc.		182,206
	1,490	PharMerica Corp.*		37,637

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	HEALTH CARE — 13.4% — (continued)
	Health Care Providers & Services — 2.1% — (continued)
	2,212	Premier Inc., Class A Shares*	$	70,010
	604	Providence Service Corp. (The)*		28,466
	1,714	Quorum Health Corp.*		10,541
	1,992	RadNet Inc.*		13,466
	5,274	Select Medical Holdings Corp.*		62,655
	851	Surgery Partners Inc.*(a)		16,390
	1,339	Surgical Care Affiliates Inc.*		55,234
	26,984	Team Health Holdings Inc.*		898,567
	1,012	Teladoc Inc.*(a)		18,044
	3,832	Tenet Healthcare Corp.*		91,585
	1,225	Triple-S Management Corp., Class B Shares*		26,815
	2,610	Universal American Corp.		18,688
	6,405	Universal Health Services Inc., Class B Shares		771,995
	622	US Physical Therapy Inc.		39,217
	175	USMD Holdings Inc.*(a)		3,878
	3,672	VCA Inc.*		260,014
	2,096	WellCare Health Plans Inc.*		236,219

		Total Health Care Providers & Services		10,061,390

	Health Care Technology — 0.7%
	66,299	Allscripts Healthcare Solutions Inc.*		855,920
	1,835	athenahealth Inc.*		224,659
	1,750	Castlight Health Inc., Class B Shares*(a)		7,315
	7,353	Cerner Corp.*		474,563
	596	Computer Programs & Systems Inc.		15,389
	584	Cotiviti Holdings Inc.*		19,412
	736	Evolent Health Inc., Class A Shares*(a)		18,304
	1,169	HealthStream Inc.*		31,084
	3,975	HMS Holdings Corp.*		86,695
	658	Imprivata Inc.*		12,640
	2,749	Inovalon Holdings Inc., Class A Shares*(a)		43,159
	2,612	Medidata Solutions Inc.*		141,309
	21,632	Omnicell Inc.*		812,931
	1,094	Press Ganey Holdings Inc.*		44,077
	2,537	Quality Systems Inc.		29,860
	4,584	Veeva Systems Inc., Class A Shares*		187,577
	1,069	Vocera Communications Inc.*		17,425

		Total Health Care Technology		3,022,319

	Life Sciences Tools & Services — 2.0%
	1,041	Accelerate Diagnostics Inc.*(a)		22,777
	45,183	Agilent Technologies Inc.		2,122,697
	1,113	Albany Molecular Research Inc.*(a)		16,495
	987	Bio-Rad Laboratories Inc., Class A Shares*		146,875
	1,745	Bio-Techne Corp.		183,836
	20,592	Bruker Corp.		460,437
	1,479	Cambrex Corp.*		63,346
	18,331	Charles River Laboratories International Inc.*		1,525,323
	992	ChromaDex Corp.*		3,264
	2,035	Enzo Biochem Inc.*		11,315
	28,741	Fluidigm Corp.*(a)		261,831
	21,655	ICON PLC, ADR*		1,662,887
	3,528	Illumina Inc.*		593,904
	1,959	INC Research Holdings Inc., Class A Shares*		85,471
	18,904	Luminex Corp.*		398,307

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	HEALTH CARE — 13.4% — (continued)
	Life Sciences Tools & Services — 2.0% — (continued)
	748	NanoString Technologies Inc.*	$	12,088
	2,589	NeoGenomics Inc.*		20,816
	3,765	Pacific Biosciences of California Inc.*(a)		31,362
	15,078	PAREXEL International Corp.*		1,025,756
	5,145	PerkinElmer Inc.		273,971
	1,137	PRA Health Sciences Inc.*		57,475
	10,812	QIAGEN NV*		286,626
	3,911	Quintiles Transnational Holdings Inc.*		302,320
	3,728	VWR Corp.*		104,048

		Total Life Sciences Tools & Services		9,673,227

	Pharmaceuticals — 1.1%
	1,313	AcelRx Pharmaceuticals Inc.*(a)		4,136
	500	Aclaris Therapeutics Inc.*(a)		10,080
	1,175	Aerie Pharmaceuticals Inc.*		22,748
	585	Agile Therapeutics Inc.*		4,235
	4,001	Akorn Inc.*		107,707
	1,650	Amphastar Pharmaceuticals Inc.*		31,350
	1,683	Ampio Pharmaceuticals Inc.*		1,391
	391	ANI Pharmaceuticals Inc.*(a)		23,358
	1,663	Aratana Therapeutics Inc.*		14,751
	419	Axsome Therapeutics Inc.*(a)		3,034
	3,188	Bio-Path Holdings Inc.*(a)		4,878
	211,480	Cardiome Pharma Corp.*		630,210
	4,732	Catalent Inc.*		119,388
	2,091	Cempra Inc.*(a)		45,877
	568	Collegium Pharmaceutical Inc.*(a)		4,731
	3,316	Corcept Therapeutics Inc.*		17,674
	2,851	Depomed Inc.*		57,847
	1,179	Dermira Inc.*		36,596
	4,782	Durect Corp.*		7,986
	800	Egalet Corp.*		5,488
	9,745	Endo International PLC*		201,722
	1,819	Endocyte Inc.*(a)		5,421
	386	Flex Pharma Inc.*(a)		4,273
	315	Heska Corp.*		17,190
	7,659	Horizon Pharma PLC*		143,989
	3,458	Impax Laboratories Inc.*		83,649
	3,735	Innoviva Inc.(a)		41,421
	1,177	Intersect ENT Inc.*		18,550
	1,625	Intra-Cellular Therapies Inc., Class A Shares*		65,553
	1,277	Lannett Co., Inc.*		43,239
	660	Lipocine Inc.*		2,224
	3,214	Medicines Co. (The)*		125,892
	571	MyoKardia Inc.*		12,493
	47,652	Nektar Therapeutics*		850,588
	483	Neos Therapeutics Inc.*		3,149
	668	Ocular Therapeutix Inc.*(a)		4,269
	2,071	Omeros Corp.*(a)		22,243
	24,596	Pacira Pharmaceuticals Inc.*		974,740
	909	Paratek Pharmaceuticals Inc.*		12,244
	850	Phibro Animal Health Corp., Class A Shares		20,630
	2,525	Prestige Brands Holdings Inc.*		121,528
	218	Reata Pharmaceuticals Inc., Class A Shares*(a)		4,157
	1,872	Relypsa Inc.*		59,885

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	HEALTH CARE — 13.4% — (continued)
	Pharmaceuticals — 1.1% — (continued)
	933	Revance Therapeutics Inc.*(a)	$	13,109
	2,547	SciClone Pharmaceuticals Inc.*		25,648
	952	Sucampo Pharmaceuticals Inc., Class A Shares*		10,434
	2,187	Supernus Pharmaceuticals Inc.*		46,758
	2,095	Teligent Inc.*(a)		15,545
	1,504	Tetraphase Pharmaceuticals Inc.*		5,715
	6,940	TherapeuticsMD Inc.*(a)		47,747
	1,724	Theravance Biopharma Inc.*(a)		48,893
	644	Titan Pharmaceuticals Inc.*		3,619
	373	WaVe Life Sciences Ltd.*(a)		9,303
	19,517	Zoetis Inc., Class A Shares		997,319
	1,306	Zogenix Inc.*		11,388

		Total Pharmaceuticals		5,227,992

		TOTAL HEALTH CARE		63,713,066

	INDUSTRIALS — 19.5%
	Aerospace & Defense — 2.5%
	1,514	AAR Corp.		37,260
	2,752	Aerojet Rocketdyne Holdings Inc.*		49,453
	19,724	Aerovironment Inc.*		487,972
	365	American Science & Engineering Inc.		13,432
	945	Astronics Corp.*		42,346
	4,840	B/E Aerospace Inc.		244,662
	4,457	BWX Technologies Inc.		172,976
	1,181	Cubic Corp.		55,294
	2,093	Curtiss-Wright Corp.		188,161
	2,975	DigitalGlobe Inc.*		80,593
	440	Ducommun Inc.*		10,446
	807	Engility Holdings Inc.*		24,210
	1,398	Esterline Technologies Corp.*		107,576
	908	HEICO Corp.		61,708
	15,431	HEICO Corp., Class A Shares		877,715
	87,873	Hexcel Corp.		3,941,104
	2,201	Huntington Ingalls Industries Inc.		363,539
	75,221	KEYW Holding Corp. (The)*(a)		749,953
	2,539	KLX Inc.*		94,806
	1,970	Kratos Defense & Security Solutions Inc.*		13,751
	44,565	Mercury Systems Inc.*		1,010,734
	1,507	Moog Inc., Class A Shares*		88,898
	222	National Presto Industries Inc.		19,372
	2,747	Orbital ATK Inc.		207,206
	377	Sparton Corp.*		8,637
	27,608	Spirit AeroSystems Holdings Inc., Class A Shares*		1,264,999
	2,429	TASER International Inc.*		65,777
	6,320	Teledyne Technologies Inc.*		677,125
	15,200	Textron Inc.		620,920
	2,307	Triumph Group Inc.		73,501
	531	Vectrus Inc.*		17,916

		Total Aerospace & Defense		11,672,042

	Air Freight & Logistics — 0.1%
	2,296	Air Transport Services Group Inc.*		33,246
	1,116	Atlas Air Worldwide Holdings Inc.*		41,448
	1,331	Echo Global Logistics Inc.*		34,340
	1,375	Forward Air Corp.		63,360

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	INDUSTRIALS — 19.5% — (continued)
	Air Freight & Logistics — 0.1% — (continued)
	1,557	Hub Group Inc., Class A Shares*	$	63,448
	407	Park-Ohio Holdings Corp.		15,010
	1,739	Radiant Logistics Inc.*		5,078
	4,653	XPO Logistics Inc.*(a)		166,577

		Total Air Freight & Logistics		422,507

	Airlines — 0.5%
	5,673	Alaska Air Group Inc.		383,098
	609	Allegiant Travel Co., Class A Shares		84,188
	1,475	Copa Holdings SA, Class A Shares		112,734
	2,469	Hawaiian Holdings Inc.*		115,994
	15,309	JetBlue Airways Corp.*		244,178
	2,309	SkyWest Inc.		65,183
	25,378	Spirit Airlines Inc.*		1,014,866
	8,329	United Continental Holdings Inc.*		419,865
	949	Virgin America Inc.*(a)		52,850

		Total Airlines		2,492,956

	Building Products — 1.6%
	1,856	AAON Inc.		52,525
	1,580	Advanced Drainage Systems Inc.		36,545
	4,534	Allegion PLC		322,911
	11,396	American Woodmark Corp.*		991,452
	10,284	AO Smith Corp.		992,200
	1,323	Apogee Enterprises Inc.		64,033
	1,050	Armstrong Flooring Inc.*		21,651
	2,199	Armstrong World Industries Inc.*		95,591
	3,910	Builders FirstSource Inc.*		53,723
	1,094	Caesarstone Ltd.*		43,016
	1,606	Continental Building Products Inc.*		35,669
	636	CSW Industrials Inc.*		20,530
	7,264	Fortune Brands Home & Security Inc.		461,700
	1,488	Gibraltar Industries Inc.*		56,782
	1,372	Griffon Corp.		23,489
	882	Insteel Industries Inc.		29,371
	1,881	Lennox International Inc.		302,973
	1,441	Masonite International Corp.*		96,158
	93,975	NCI Building Systems Inc.*		1,422,782
	497	Nortek Inc.*(b)		42,742
	14,377	Owens Corning		789,585
	680	Patrick Industries Inc.*		43,540
	2,441	PGT Inc.*		29,072
	100,964	Ply Gem Holdings Inc.*		1,410,467
	1,708	Quanex Building Products Corp.		33,016
	1,935	Simpson Manufacturing Co., Inc.		84,908
	1,387	Trex Co., Inc.*		85,911
	930	Universal Forest Products Inc.		101,509
	4,169	USG Corp.*		114,356

		Total Building Products		7,858,207

	Commercial Services & Supplies — 2.2%
	2,601	ABM Industries Inc.		99,956
	4,855	ACCO Brands Corp.*		48,550
	344	Aqua Metals Inc.*(a)		3,179
	1,684	ARC Document Solutions Inc.*		5,692

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	INDUSTRIALS — 19.5% — (continued)
	Commercial Services & Supplies — 2.2% — (continued)
	2,223	Brady Corp., Class A Shares	$	74,448
	2,100	Brink’s Co. (The)		76,650
	1,823	Casella Waste Systems Inc., Class A Shares*		16,571
	1,470	CECO Environmental Corp.		16,155
	12,980	Cintas Corp.		1,525,280
	15,888	Clean Harbors Inc.*		759,446
	4,657	Copart Inc.*		237,600
	132,138	Covanta Holding Corp.		1,967,535
	2,309	Deluxe Corp.		157,405
	1,125	Ennis Inc.		18,653
	1,696	Essendant Inc.		32,852
	912	G&K Services Inc., Class A Shares		88,765
	3,287	Healthcare Services Group Inc.		132,696
	607	Heritage-Crystal Clean Inc.*		8,383
	2,812	Herman Miller Inc.		101,429
	2,134	HNI Corp.		119,163
	157,684	InnerWorkings Inc.*		1,398,657
	2,987	Interface Inc., Class A Shares		52,810
	22,448	KAR Auction Services Inc.		949,101
	1,941	Kimball International Inc., Class B Shares		24,166
	2,210	Knoll Inc.		58,477
	1,527	Matthews International Corp., Class A Shares		93,926
	1,052	McGrath RentCorp		33,633
	2,036	Mobile Mini Inc.		60,876
	1,457	MSA Safety Inc.		84,870
	645	Multi-Color Corp.		43,105
	8,978	Pitney Bowes Inc.		168,427
	1,401	Quad/Graphics Inc.		37,953
	4,526	Rollins Inc.		128,991
	9,904	RR Donnelley & Sons Co.		169,358
	805	SP Plus Corp.*		20,125
	3,957	Steelcase Inc., Class A Shares		59,118
	1,324	Team Inc.*		42,064
	2,714	Tetra Tech Inc.		95,804
	845	TRC Cos., Inc.*		6,439
	706	UniFirst Corp.		90,643
	1,005	US Ecology Inc.		45,084
	941	Viad Corp.		33,650
	484	VSE Corp.		15,928
	14,317	Waste Connections Inc.		1,094,248
	2,107	West Corp.		49,367

		Total Commercial Services & Supplies		10,347,228

	Construction & Engineering — 1.9%
	7,284	AECOM*		224,566
	1,595	Aegion Corp., Class A Shares*		29,539
	881	Ameresco Inc., Class A Shares*		4,211
	669	Argan Inc.		31,985
	4,987	Chicago Bridge & Iron Co. NV		148,513
	1,699	Comfort Systems USA Inc.		48,235
	1,438	Dycom Industries Inc.*		116,651
	22,789	EMCOR Group Inc.		1,304,898
	23,355	Granite Construction Inc.		1,121,040
	130,868	Great Lakes Dredge & Dock Corp.*		505,151
	1,060	HC2 Holdings Inc.*(a)		5,077

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	INDUSTRIALS — 19.5% — (continued)
	Construction & Engineering — 1.9% — (continued)
	299	IES Holdings Inc.*	$	4,954
	58,970	Jacobs Engineering Group Inc.*		3,107,129
	51,484	KBR Inc.		755,785
	105,413	Layne Christensen Co.*(a)		947,663
	3,121	MasTec Inc.*		91,914
	750	MYR Group Inc.*		21,750
	340	NV5 Global Inc.*		10,394
	1,240	Orion Group Holdings Inc.*		7,390
	1,832	Primoris Services Corp.		35,211
	6,938	Quanta Services Inc.*		178,515
	1,878	Tutor Perini Corp.*		43,551
	4,254	Valmont Industries Inc.		555,019

		Total Construction & Engineering		9,299,141

	Electrical Equipment — 0.5%
	328	Allied Motion Technologies Inc.		7,390
	340	American Superconductor Corp.*		2,407
	6,719	AZZ Inc.		446,343
	2,237	Babcock & Wilcox Enterprises Inc.*		36,575
	935	Encore Wire Corp.		36,203
	748	Energous Corp.*		13,464
	2,061	EnerSys		145,053
	979	FuelCell Energy Inc.*		5,051
	3,087	Generac Holdings Inc.*		115,145
	2,218	General Cable Corp.		35,776
	2,598	Hubbell Inc., Class B Shares		281,389
	1,036	LSI Industries Inc.		10,495
	9,596	Plug Power Inc.*(a)		14,874
	30,857	Powell Industries Inc.		1,226,566
	81	Power Solutions International Inc.*		943
	144	Preformed Line Products Co.		6,316
	2,127	Regal Beloit Corp.		130,449
	3,053	SolarCity Corp.*		63,075
	2,938	Sunrun Inc.*		17,863
	1,619	Thermon Group Holdings Inc.*		30,486
	637	Vicor Corp.*		6,950

		Total Electrical Equipment		2,632,813

	Industrial Conglomerates — 0.8%
	17,485	Carlisle Cos., Inc.		1,833,477
	1,665	Raven Industries Inc.		40,859
	9,917	Roper Technologies Inc.		1,760,764

		Total Industrial Conglomerates		3,635,100

	Machinery — 4.8%
	2,727	Actuant Corp., Class A Shares		64,984
	3,299	AGCO Corp.		160,133
	440	Alamo Group Inc.		28,521
	1,333	Albany International Corp., Class A Shares		56,426
	6,675	Allison Transmission Holdings Inc.		185,165
	1,159	Altra Industrial Motion Corp.		32,684
	357	American Railcar Industries Inc.(a)		14,801
	885	Astec Industries Inc.		52,029
	2,365	Barnes Group Inc.		97,769
	330	Blue Bird Corp.*(a)		4,782

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	INDUSTRIALS — 19.5% — (continued)
	Machinery — 4.8% — (continued)
	2,079	Briggs & Stratton Corp.	$	39,522
	1,424	Chart Industries Inc.*		42,891
	759	CIRCOR International Inc.		44,827
	2,248	CLARCOR Inc.		147,177
	4,715	Colfax Corp.*		139,941
	996	Columbus McKinnon Corp.		17,490
	2,330	Crane Co.		149,866
	6,010	Donaldson Co., Inc.		225,675
	1,095	Douglas Dynamics Inc.		35,128
	782	Dynamic Materials Corp.		8,602
	1,692	Energy Recovery Inc.*(a)		20,439
	1,006	EnPro Industries Inc.		54,223
	1,186	ESCO Technologies Inc.		53,512
	462	ExOne Co. (The)*		6,223
	2,951	Federal Signal Corp.		38,688
	6,165	Flowserve Corp.		298,201
	2,167	Franklin Electric Co., Inc.		82,888
	494	FreightCar America Inc.		7,114
	303	Gencor Industries Inc.*		3,469
	985	Global Brass & Copper Holdings Inc.		27,649
	796	Gorman-Rupp Co. (The)		21,619
	2,638	Graco Inc.		194,341
	362	Graham Corp.		6,918
	1,305	Greenbrier Cos., Inc. (The)(a)		44,226
	678	Hardinge Inc.		7,166
	119,643	Harsco Corp.		1,190,448
	2,775	Hillenbrand Inc.		89,216
	240	Hurco Cos., Inc.		6,482
	476	Hyster-Yale Materials Handling Inc.		24,623
	26,667	IDEX Corp.		2,491,764
	14,927	ITT Inc.		540,059
	24,743	John Bean Technologies Corp.		1,699,349
	4,660	Joy Global Inc.		127,125
	485	Kadant Inc.		26,015
	3,728	Kennametal Inc.		104,235
	2,903	Lincoln Electric Holdings Inc.		184,515
	525	Lindsay Corp.(a)		37,779
	760	Lydall Inc.*		36,510
	333,795	Manitowoc Co., Inc. (The)		1,635,595
	22,410	Manitowoc Foodservice Inc.*		361,473
	40,426	Meritor Inc.*		450,750
	2,690	Middleby Corp. (The)*		344,724
	750	Milacron Holdings Corp.*		12,953
	563	Miller Industries Inc.		12,448
	2,711	Mueller Industries Inc.		93,692
	106,895	Mueller Water Products Inc., Class A Shares		1,292,361
	2,333	Navistar International Corp.*(a)		32,755
	1,160	NN Inc.		20,590
	2,709	Nordson Corp.		267,460
	170	Omega Flex Inc.		6,509
	3,451	Oshkosh Corp.		186,112
	1,151	Proto Labs Inc.*		62,983
	1,074	RBC Bearings Inc.*		84,943
	3,913	Rexnord Corp.*		86,516
	17,362	Snap-on Inc.		2,661,421

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	INDUSTRIALS — 19.5% — (continued)
	Machinery — 4.8% — (continued)
	2,018	SPX Corp.*	$	38,221
	52,464	SPX FLOW Inc.*		1,542,966
	585	Standex International Corp.		49,251
	1,050	Sun Hydraulics Corp.		32,361
	574	Supreme Industries Inc., Class A Shares		9,896
	810	Tennant Co.		52,431
	5,016	Terex Corp.		121,788
	3,326	Timken Co. (The)		112,652
	2,231	Titan International Inc.		20,503
	2,531	Toro Co. (The)		245,887
	2,082	TriMas Corp.*		39,933
	7,118	Trinity Industries Inc.		173,822
	13,800	Twin Disc Inc.		179,262
	3,166	Wabash National Corp.*		44,166
	2,499	WABCO Holdings Inc.*		266,793
	31,406	Wabtec Corp.		2,406,014
	1,309	Watts Water Technologies Inc., Class A Shares		84,300
	8,077	Woodward Inc.		506,589
	8,482	Xylem Inc.		431,395

		Total Machinery		22,944,724

	Marine — 0.3%
	1,126	Costamare Inc.(a)		9,909
	42,700	Danaos Corp.*		137,921
	3,005	Kirby Corp.*		156,561
	29,677	Matson Inc.		1,145,235
	2,909	Scorpio Bulkers Inc.*		10,036

		Total Marine		1,459,662

	Professional Services — 1.4%
	721	Acacia Research Corp.		4,312
	1,943	Advisory Board Co. (The)*		81,897
	359	Barrett Business Services Inc.		16,751
	2,680	CBIZ Inc.*		30,311
	14,724	CEB Inc.		886,385
	365	CRA International Inc.*		9,899
	1,737	Dun & Bradstreet Corp. (The)		239,098
	13,305	Equifax Inc.		1,754,930
	1,196	Exponent Inc.		60,314
	449	Franklin Covey Co.*		7,292
	1,961	FTI Consulting Inc.*		86,853
	559	GP Strategies Corp.*		13,360
	934	Heidrick & Struggles International Inc.		17,456
	1,829	Hill International Inc.*		8,011
	18,423	Huron Consulting Group Inc.*		1,158,070
	886	ICF International Inc.*		37,079
	636	IDI Inc.*		3,091
	753	Insperity Inc.		49,359
	1,361	Kelly Services Inc., Class A Shares		26,022
	1,132	Kforce Inc.		21,904
	2,668	Korn/Ferry International		63,605
	3,390	ManPowerGroup Inc.		242,249
	46,279	Mistras Group Inc.*		1,086,168
	2,245	Navigant Consulting Inc.*		44,092
	2,385	On Assignment Inc.*		89,938

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	INDUSTRIALS — 19.5% — (continued)
	Professional Services — 1.4% — (continued)
	1,645	Resources Connection Inc.	$	24,823
	6,055	Robert Half International Inc.		232,088
	2,221	RPX Corp.*		23,254
	2,613	TransUnion*		86,203
	1,911	TriNet Group Inc.*		40,131
	1,935	TrueBlue Inc.*		42,280
	1,715	WageWorks Inc.*		105,970

		Total Professional Services		6,593,195

	Road & Rail — 1.2%
	295	AMERCO		101,394
	1,277	ArcBest Corp.		23,382
	25,587	Avis Budget Group Inc.*		924,458
	1,469	Celadon Group Inc.		11,473
	438	Covenant Transportation Group Inc., Class A Shares*		8,445
	2,705	Genesee & Wyoming Inc., Class A Shares*		183,913
	2,248	Heartland Express Inc.		42,779
	3,448	Hertz Global Holdings Inc.*		169,849
	12,360	JB Hunt Transport Services Inc.		981,260
	3,195	Knight Transportation Inc.		89,780
	1,999	Landstar System Inc.		138,391
	18,881	Marten Transport Ltd.		407,263
	3,194	Old Dominion Freight Line Inc.*		227,189
	43	PAM Transportation Services Inc.*		851
	1,683	Roadrunner Transportation Systems Inc.*		14,036
	31,682	Ryder System Inc.		2,075,805
	1,249	Saia Inc.*		38,007
	3,531	Swift Transportation Co., Class A Shares*		65,712
	346	Universal Logistics Holdings Inc.		4,678
	357	USA Truck Inc.*		3,963
	2,136	Werner Enterprises Inc.		49,299
	1,466	YRC Worldwide Inc.*		16,991

		Total Road & Rail		5,578,918

	Trading Companies & Distributors — 1.6%
	4,604	Air Lease Corp., Class A Shares		135,265
	2,205	Aircastle Ltd.		47,738
	1,694	Applied Industrial Technologies Inc.		80,499
	20,795	Beacon Roofing Supply Inc.*		956,154
	2,599	BMC Stock Holdings Inc.*		51,824
	705	CAI International Inc.*		5,619
	662	DXP Enterprises Inc.*		18,596
	1,898	GATX Corp.(a)		83,227
	330	GMS Inc.*		8,075
	1,548	H&E Equipment Services Inc.		24,660
	43,787	HD Supply Holdings Inc.*		1,581,149
	1,200	Herc Holdings Inc.*		40,572
	1,254	Kaman Corp.		56,292
	403	Lawson Products Inc.*		6,847
	4,454	MRC Global Inc.*		65,340
	2,254	MSC Industrial Direct Co., Inc., Class A Shares		164,632
	564	Neff Corp., Class A Shares*		5,296
	5,080	NOW Inc.*		104,851
	41,799	Rush Enterprises Inc., Class A Shares*		993,980
	276	Rush Enterprises Inc., Class B Shares*		6,596

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	INDUSTRIALS — 19.5% — (continued)
	Trading Companies & Distributors — 1.6% — (continued)
	11,170	SiteOne Landscape Supply Inc.*	$	427,141
	901	Textainer Group Holdings Ltd.		8,010
	690	Titan Machinery Inc.*(a)		7,390
	1,991	Triton International Ltd		30,303
	4,197	United Rentals Inc.*		345,455
	16,246	Univar Inc.*		336,130
	407	Veritiv Corp.*		20,879
	11,483	Watsco Inc.		1,697,876
	2,016	WESCO International Inc.*		125,315
	283	Willis Lease Finance Corp.*		7,242

		Total Trading Companies & Distributors		7,442,953

	Transportation Infrastructure — 0.1%
	3,568	Macquarie Infrastructure Corp.		285,226
	2,583	Wesco Aircraft Holdings Inc.*		35,490

		Total Transportation Infrastructure		320,716

		TOTAL INDUSTRIALS		92,700,162

	INFORMATION TECHNOLOGY — 18.8%
	Communications Equipment — 1.6%
	2,243	ADTRAN Inc.		41,226
	1,111	Aerohive Networks Inc.*		7,366
	846	Applied Optoelectronics Inc.*(a)		14,255
	1,859	Arista Networks Inc.*		148,125
	87,736	ARRIS International PLC*		2,462,750
	429	Bel Fuse Inc., Class B Shares		9,854
	570	Black Box Corp.		7,952
	55,980	Brocade Communications Systems Inc.		502,701
	1,603	CalAmp Corp.*		23,372
	2,086	Calix Inc.*		15,520
	66,887	Ciena Corp.*		1,434,726
	411	Clearfield Inc.*		7,447
	6,103	CommScope Holding Co., Inc.*		180,466
	1,124	Comtech Telecommunications Corp.		14,488
	1,211	Digi International Inc.*		13,890
	2,154	EchoStar Corp., Class A Shares*		83,489
	754	EMCORE Corp.		3,740
	5,526	Extreme Networks Inc.*		21,717
	5,077	Finisar Corp.*		107,531
	3,947	Harmonic Inc.*		17,130
	68,871	Infinera Corp.*		590,913
	1,644	InterDigital Inc.		117,398
	2,908	Ixia*		33,529
	659	KVH Industries Inc.*		5,668
	2,382	Lumentum Holdings Inc.*		83,656
	1,520	NETGEAR Inc.*		86,640
	4,254	NetScout Systems Inc.*		125,833
	4,632	Oclaro Inc.*		36,500
	1,560	Plantronics Inc.		79,014
	6,395	Polycom Inc.*		79,554
	3,042	ShoreTel Inc.*		24,397
	301	Silicom Ltd.		12,314
	46,957	Sonus Networks Inc.*		404,769
	1,201	Ubiquiti Networks Inc.*(a)		61,731
	2,106	ViaSat Inc.*		158,034

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 18.8% — (continued)
	Communications Equipment — 1.6% — (continued)
	53,656	Viavi Solutions Inc.*	$	417,444

		Total Communications Equipment		7,435,139

	Electronic Equipment, Instruments & Components — 2.5%
	597	Agilysys Inc.*		6,597
	9,078	Amphenol Corp., Class A Shares		565,650
	1,370	Anixter International Inc.*		87,598
	4,317	Arrow Electronics Inc.*		284,188
	6,052	Avnet Inc.		252,247
	2,325	AVX Corp.		31,946
	641	Badger Meter Inc.		42,300
	1,991	Belden Inc.		148,509
	2,320	Benchmark Electronics Inc.*		55,958
	7,662	CDW Corp.		342,108
	3,870	Cognex Corp.		192,571
	1,145	Coherent Inc.*		120,431
	1,111	Control4 Corp.*		12,277
	1,410	CTS Corp.		27,185
	1,833	Daktronics Inc.		17,469
	2,401	Dolby Laboratories Inc., Class A Shares		117,505
	857	DTS Inc.		28,675
	1,120	Electro Scientific Industries Inc.*		6,238
	285	ePlus Inc.*		25,795
	1,615	Fabrinet*		62,694
	734	FARO Technologies Inc.*		23,928
	1,944	FEI Co.		206,978
	5,968	Fitbit Inc., Class A Shares*		92,385
	6,562	FLIR Systems Inc.		202,306
	22,976	II-VI Inc.*		486,861
	6,878	Ingram Micro Inc., Class A Shares		240,455
	1,711	Insight Enterprises Inc.*		52,357
	4,076	InvenSense Inc., Class A Shares*(a)		30,325
	1,680	IPG Photonics Corp.*		146,126
	16,879	Itron Inc.*		803,947
	8,928	Jabil Circuit Inc.		189,184
	85,304	Keysight Technologies Inc.*		2,595,801
	1,224	Kimball Electronics Inc.*		14,835
	4,107	Knowles Corp.*(a)		57,087
	1,047	Littelfuse Inc.		132,760
	46,721	Maxwell Technologies Inc.*(a)		236,876
	139	Mesa Laboratories Inc.		15,618
	1,687	Methode Electronics Inc.		61,829
	740	MTS Systems Corp.		36,815
	4,932	National Instruments Corp.		137,800
	1,381	Novanta Inc.*		23,325
	34,450	Orbotech Ltd.*		984,581
	7,814	OSI Systems Inc.*		524,007
	999	Park Electrochemical Corp.		16,523
	478	PC Connection Inc.		12,461
	1,572	Plexus Corp.*		72,548
	1,285	Radisys Corp.*		6,309
	1,240	Rofin-Sinar Technologies Inc.*		39,692
	826	Rogers Corp.*		46,182
	3,451	Sanmina Corp.*		90,692
	1,179	ScanSource Inc.*		40,334

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 18.8% — (continued)
	Electronic Equipment, Instruments & Components — 2.5% — (continued)
	1,387	SYNNEX Corp.	$	147,258
	642	Systemax Inc.		5,200
	1,657	Tech Data Corp.*		123,016
	11,954	Trimble Navigation Ltd.*		327,540
	3,388	TTM Technologies Inc.*		36,353
	10,830	Universal Display Corp.*		623,700
	20,878	VeriFone Systems Inc.*		414,637
	6,357	Vishay Intertechnology Inc.		90,015
	461	Vishay Precision Group Inc.*		7,039
	2,478	Zebra Technologies Corp., Class A Shares*		173,361

		Total Electronic Equipment, Instruments & Components		11,996,987

	Internet Software & Services — 1.1%
	1,709	2U Inc.*		60,396
	1,710	Actua Corp.*		17,408
	438	Alarm.com Holdings Inc.*(a)		12,014
	934	Amber Road Inc.*		9,798
	1,921	Angie’s List Inc.*		19,517
	764	Apigee Corp.*(a)		11,697
	285	Appfolio Inc., Class A Shares*		5,250
	258	Autobytel Inc.*		4,231
	37,394	Bankrate Inc.*		293,169
	3,781	Bazaarvoice Inc.*		15,124
	580	Benefitfocus Inc.*(a)		23,426
	1,807	Blucora Inc.*		18,702
	2,221	Box Inc., Class A Shares*		30,517
	1,464	Brightcove Inc.*		18,871
	762	Carbonite Inc.*		10,638
	755	Care.com Inc.*		7,905
	1,202	ChannelAdvisor Corp.*		14,965
	1,184	Cimpress NV*		117,536
	652	CommerceHub Inc., Series A*		9,643
	1,305	CommerceHub Inc., Series C*		19,223
	2,238	comScore Inc.*		69,042
	2,387	Cornerstone OnDemand Inc.*		104,837
	8,422	CoStar Group Inc.*		1,745,459
	1,480	Cvent Inc.*		48,366
	2,559	DHI Group Inc.*		19,807
	4,768	EarthLink Holdings Corp.		30,372
	2,694	Endurance International Group Holdings Inc.*(a)		21,417
	1,936	Envestnet Inc.*		76,491
	1,517	Everyday Health Inc.*		11,620
	1,569	Five9 Inc.*		23,519
	479	Global Sources Ltd.*		3,990
	2,186	GoDaddy Inc., Class A Shares*		70,783
	2,684	Gogo Inc.*(a)		32,825
	3,822	GrubHub Inc.*(a)		155,059
	1,321	GTT Communications Inc.*		28,045
	2,035	Hortonworks Inc.*(a)		16,219
	3,337	IAC/InterActiveCorp.		195,915
	2,648	inContact Inc.*		36,781
	524	Instructure Inc.*		12,539
	2,008	IntraLinks Holdings Inc.*		19,156
	2,223	j2 Global Inc.		151,542
	2,946	Limelight Networks Inc.*		5,244

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 18.8% — (continued)
	Internet Software & Services — 1.1% — (continued)
	1,072	Liquidity Services Inc.*	$	10,720
	2,599	LivePerson Inc.*		20,246
	1,194	LogMeIn Inc.		99,699
	1,380	Marchex Inc., Class B Shares*		3,809
	1,403	Match Group Inc.*		22,715
	2,129	MeetMe Inc.*		12,263
	791	MINDBODY Inc., Class A Shares*		13,724
	4,379	Monster Worldwide Inc.*		16,027
	1,015	New Relic Inc.*		37,251
	2,975	NIC Inc.		68,366
	383	Numerex Corp., Class A Shares*		2,869
	10,490	Pandora Media Inc.*(a)		146,860
	1,174	Q2 Holdings Inc.*		33,248
	1,618	QuinStreet Inc.*		4,951
	2,915	Quotient Technology Inc.*(a)		37,778
	5,114	Rackspace Hosting Inc.*		160,835
	1,166	RealNetworks Inc.*		5,585
	303	Reis Inc.		5,909
	1,869	RetailMeNot Inc.*		21,138
	344	Rightside Group Ltd.*		3,244
	880	Shutterstock Inc.*(a)		51,022
	773	SPS Commerce Inc.*		50,461
	757	Stamps.com Inc.*(a)		73,217
	831	TechTarget Inc.*		6,698
	2,624	TrueCar Inc.*(a)		25,322
	1,940	Web.com Group Inc.*		33,872
	1,752	WebMD Health Corp., Class A Shares*		90,351
	1,073	Xactly Corp.*		14,947
	1,221	XO Group Inc.*		22,759
	3,248	Yelp Inc., Class A Shares*		124,983
	2,424	Zillow Group Inc., Class A Shares*(a)		82,004
	4,873	Zillow Group Inc., Class C Shares*(a)		164,951

		Total Internet Software & Services		5,066,882

	IT Services — 4.1%
	40,172	Acxiom Corp.*		1,044,070
	652	ALJ Regional Holdings Inc.*		2,980
	2,942	Alliance Data Systems Corp.*		601,874
	1,143	Black Knight Financial Services Inc., Class A Shares*		44,600
	2,581	Blackhawk Network Holdings Inc., Class A Shares*		88,399
	5,432	Booz Allen Hamilton Holding Corp., Class A Shares		164,916
	5,599	Broadridge Financial Solutions Inc.		388,011
	1,154	CACI International Inc., Class A Shares*		114,661
	2,141	Cardtronics PLC, Class A Shares*		96,152
	505	Cass Information Systems Inc.		28,911
	4,242	Convergys Corp.		126,539
	33,337	CoreLogic Inc.*		1,367,484
	1,498	CSG Systems International Inc.		65,493
	7,802	CSRA Inc.		198,093
	792	Datalink Corp.*		7,714
	6,257	DST Systems Inc.		760,288
	2,288	EPAM Systems Inc.*		156,064
	59,050	Euronet Worldwide Inc.*		4,582,871
	2,936	EVERTEC Inc.		50,088
	1,534	ExlService Holdings Inc.*		78,510

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 18.8% — (continued)
	IT Services — 4.1% — (continued)
	490	Forrester Research Inc.	$	20,080
	10,214	Gartner Inc.*		929,474
	27,337	Genpact Ltd.*		646,793
	19,153	Global Payments Inc.		1,454,670
	1,037	Hackett Group Inc. (The)		16,955
	1,769	Information Services Group Inc.*		6,722
	18,500	InterXion Holding NV*		690,050
	10,822	Jack Henry & Associates Inc.		944,436
	6,344	Leidos Holdings Inc.		256,995
	2,467	Lionbridge Technologies Inc.*		12,014
	1,144	ManTech International Corp., Class A Shares		45,806
	3,057	MAXIMUS Inc.		179,813
	40,340	MoneyGram International Inc.*		293,272
	231	NCI Inc., Class A Shares		2,786
	33,700	NeuStar Inc., Class A Shares*(a)		856,317
	1,683	Perficient Inc.*		33,610
	940	PFSweb Inc.*		9,071
	2,390	Planet Payment Inc.*		8,580
	29,589	Sabre Corp.		832,930
	2,015	Science Applications International Corp.		128,577
	3,090	ServiceSource International Inc.*		15,635
	2,361	Square Inc., Class A Shares*		28,781
	1,928	Sykes Enterprises Inc.*		56,355
	1,580	Syntel Inc.*		72,949
	854	TeleTech Holdings Inc.		24,211
	6,184	Teradata Corp.*		196,218
	5,424	Travelport Worldwide Ltd.		74,472
	2,436	Unisys Corp.*		24,604
	16,854	Vantiv Inc., Class A Shares*		905,734
	1,387	Virtusa Corp.*		36,381
	1,841	WEX Inc.*		182,830
	17,140	WNS Holdings Ltd., ADR*		502,716

		Total IT Services		19,457,555

	Semiconductors & Semiconductor Equipment — 3.2%
	251	Acacia Communications Inc.*(a)		28,024
	1,849	Advanced Energy Industries Inc.*		81,264
	30,947	Advanced Micro Devices Inc.*		229,008
	891	Alpha & Omega Semiconductor Ltd.*		18,773
	1,506	Ambarella Inc.*		108,492
	4,668	Amkor Technology Inc.*		42,479
	3,850	Applied Micro Circuits Corp.*		26,873
	1,358	Axcelis Technologies Inc.*		15,929
	3,341	Brooks Automation Inc.		42,130
	1,086	Cabot Microelectronics Corp.		53,996
	3,054	Cavium Inc.*		170,047
	13,690	CEVA Inc.*		430,961
	2,955	Cirrus Logic Inc.*		149,966
	1,375	Cohu Inc.		14,946
	4,704	Cree Inc.*		112,943
	54,775	Cypress Semiconductor Corp.		653,466
	1,720	Diodes Inc.*		35,415
	791	DSP Group Inc.*		9,128
	6,661	Entegris Inc.*		113,504
	1,871	Exar Corp.*		17,026

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 18.8% — (continued)
	Semiconductors & Semiconductor Equipment — 3.2% — (continued)
	5,531	Fairchild Semiconductor International Inc., Class A Shares*	$	110,067
	3,598	First Solar Inc.*		136,076
	49,691	FormFactor Inc.*		514,302
	3,371	GigPeak Inc.*		6,338	��
	10,657	Inphi Corp.*		458,997
	6,343	Integrated Device Technology Inc.*		127,431
	6,262	Intersil Corp., Class A Shares		123,612
	1,239	IXYS Corp.		14,397
	3,077	Kopin Corp.*		6,646
	10,328	Lam Research Corp.		963,809
	5,913	Lattice Semiconductor Corp.*		36,365
	15,964	MACOM Technology Solutions Holdings Inc.*		657,717
	19,109	Marvell Technology Group Ltd.		236,952
	2,717	MaxLinear Inc., Class A Shares*		52,085
	14,400	Mellanox Technologies Ltd.*		631,296
	42,295	Microsemi Corp.*		1,690,108
	2,513	MKS Instruments Inc.		122,484
	18,596	Monolithic Power Systems Inc.		1,426,685
	1,210	Nanometrics Inc.*		24,611
	1,517	NeoPhotonics Corp.*		22,649
	260	NVE Corp.		15,093
	6,260	NXP Semiconductors NV*		551,005
	19,677	ON Semiconductor Corp.*		212,512
	1,232	PDF Solutions Inc.*		20,636
	3,215	Photronics Inc.*		30,735
	1,267	Power Integrations Inc.		73,993
	18,787	Qorvo Inc.*		1,078,937
	81,881	Rambus Inc.*		1,131,595
	15,746	Rudolph Technologies Inc.*		276,185
	3,140	Semtech Corp.*		83,524
	1,790	Sigma Designs Inc.*		13,443
	1,940	Silicon Laboratories Inc.*		111,162
	2,834	SunPower Corp., Class A Shares*		28,227
	1,743	Synaptics Inc.*		99,299
	9,653	Teradyne Inc.		203,292
	2,267	Tessera Technologies Inc.		76,035
	1,249	Ultra Clean Holdings Inc.*		9,080
	44,876	Ultratech Inc.*		1,122,349
	28,119	Veeco Instruments Inc.*		553,101
	2,704	Xcerra Corp.*		15,845

		Total Semiconductors & Semiconductor Equipment		15,423,045

	Software — 5.8%
	4,055	8x8 Inc.*		53,810
	2,148	A10 Networks Inc.*		21,158
	5,458	ACI Worldwide Inc.*		104,248
	32,002	Activision Blizzard Inc.		1,323,923
	1,467	American Software Inc., Class A Shares		15,271
	4,176	ANSYS Inc.*		397,096
	3,924	Aspen Technology Inc.*		178,385
	1,182	Atlassian Corp. PLC, Class A Shares*		34,845
	2,095	AVG Technologies NV*		52,082
	963	Barracuda Networks Inc.*		22,342
	2,228	Blackbaud Inc.		150,100
	1,864	Bottomline Technologies de Inc.*		43,040

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 18.8% — (continued)
	Software — 5.8% — (continued)
	30,058	BroadSoft Inc.*	$	1,373,951
	88,468	Cadence Design Systems Inc.*		2,250,626
	2,575	Callidus Software Inc.*		49,749
	25,313	CDK Global Inc.		1,467,648
	17,538	CommVault Systems Inc.*		903,909
	64,986	Covisint Corp.*		144,269
	459	Digimarc Corp.*(a)		16,579
	1,167	Ebix Inc.(a)		66,519
	22,623	Electronic Arts Inc.*		1,837,666
	1,549	Ellie Mae Inc.*		151,601
	1,037	EnerNOC Inc.*		5,921
	1,032	Epiq Systems Inc.		16,945
	738	Exa Corp.*		11,719
	5,249	Fair Isaac Corp.		671,557
	7,211	FireEye Inc.*		103,550
	1,853	Fleetmatics Group PLC*		110,939
	71,237	Fortinet Inc.*		2,574,505
	1,516	Gigamon Inc.*		67,007
	1,175	Globant SA*		45,884
	5,035	Glu Mobile Inc.*(a)		11,832
	750	Guidance Software Inc.*(a)		4,463
	3,449	Guidewire Software Inc.*		212,217
	1,362	HubSpot Inc.*		75,918
	1,331	Imperva Inc.*		59,908
	2,609	Infoblox Inc.*		55,989
	838	Interactive Intelligence Group Inc.*		50,154
	2,767	Jive Software Inc.*		11,677
	3,414	Manhattan Associates Inc.*		206,615
	5,064	Mentor Graphics Corp.		121,587
	445	MicroStrategy Inc., Class A Shares*		74,222
	1,176	Mitek Systems Inc.*(a)		9,138
	1,515	MobileIron Inc.*		4,560
	9,385	Mobileye NV*		458,833
	975	Model N Inc.*		10,452
	1,837	Monotype Imaging Holdings Inc.		38,761
	1,892	NetSuite Inc.*		206,039
	65,166	Nuance Communications Inc.*		950,120
	844	Park City Group Inc.*(a)		8,178
	2,071	Paycom Software Inc.*		106,325
	1,057	Paylocity Holding Corp.*		47,597
	1,744	Pegasystems Inc.		44,908
	2,343	Progress Software Corp.*		67,970
	7,457	Proofpoint Inc.*		573,816
	1,163	PROS Holdings Inc.*		22,888
	5,414	PTC Inc.*		231,015
	367	QAD Inc., Class A Shares		8,503
	1,263	Qualys Inc.*		43,447
	6,882	Rapid7 Inc.*(a)		123,670
	2,543	RealPage Inc.*		65,457
	13,287	Red Hat Inc.*		969,685
	2,753	RingCentral Inc., Class A Shares*		60,428
	699	Rosetta Stone Inc.*		6,179
	53,000	Rovi Corp.*		1,084,910
	1,908	Rubicon Project Inc. (The)*		16,218
	1,140	Sapiens International Corp. NV		15,333

See Notes to Financial Statements.

100



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 18.8% — (continued)
	Software — 5.8% — (continued)
	56,800	Seachange International Inc.*	$	165,856
	208	SecureWorks Corp., Class A Shares*		2,954
	40,504	Silver Spring Networks Inc.*		552,880
	6,227	Splunk Inc.*		362,660
	7,988	SS&C Technologies Holdings Inc.		263,205
	1,942	Synchronoss Technologies Inc.*		81,078
	7,156	Synopsys Inc.*		424,279
	2,622	Tableau Software Inc., Class A Shares*		152,155
	3,950	Take-Two Interactive Software Inc.*		171,706
	1,521	Tangoe Inc.*		14,130
	1,707	Telenav Inc.*		9,952
	4,637	TiVo Inc.*		49,199
	1,184	TubeMogul Inc.*(a)		10,751
	1,575	Tyler Technologies Inc.*		258,221
	9,292	Ultimate Software Group Inc. (The)*		1,941,470
	501	Varonis Systems Inc.*		14,805
	1,514	VASCO Data Security International Inc.*		27,600
	33,538	Verint Systems Inc.*		1,144,317
	1,760	VirnetX Holding Corp.*(a)		4,664
	1,080	Workiva Inc., Class A Shares*(a)		19,289
	43,770	Zendesk Inc.*		1,336,736
	2,104	Zix Corp.*		8,016
	34,455	Zynga Inc., Class A Shares*		94,062

		Total Software		27,435,841

	Technology Hardware, Storage & Peripherals — 0.5%
	5,020	3D Systems Corp.*(a)		72,790
	1,660	Avid Technology Inc.*		14,923
	778	CPI Card Group Inc.(a)		4,295
	1,965	Cray Inc.*		44,998
	3,246	Diebold Inc.		91,083
	913	Eastman Kodak Co.*		14,142
	31,932	Electronics for Imaging Inc.*		1,503,359
	1,538	Immersion Corp.*		11,150
	2,913	Lexmark International Inc., Class A Shares		104,315
	5,882	NCR Corp.*		199,106
	2,977	Nimble Storage Inc.*(a)		24,471
	3,014	Pure Storage Inc., Class A Shares*(a)		35,294
	138,800	Quantum Corp.*		88,999
	1,854	Silicon Graphics International Corp.*		14,294
	2,275	Stratasys Ltd.*		48,548
	1,900	Super Micro Computer Inc.*		41,097
	1,374	USA Technologies Inc.*		6,843

		Total Technology Hardware, Storage & Peripherals		2,319,707

		TOTAL INFORMATION TECHNOLOGY		89,135,156

	MATERIALS — 5.9%
	Chemicals — 2.3%
	1,308	A Schulman Inc.		33,354
	1,201	AgroFresh Solutions Inc.*(a)		7,290
	24,334	Albemarle Corp.		1,945,990
	1,267	American Vanguard Corp.		21,349
	2,942	Ashland Inc.		344,449
	7,801	Axalta Coating Systems Ltd.*		223,265
	1,500	Balchem Corp.		105,045

See Notes to Financial Statements.

101



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	MATERIALS — 5.9% — (continued)
	Chemicals — 2.3% — (continued)
	2,899	Cabot Corp.	$	144,544
	2,478	Calgon Carbon Corp.		35,931
	324	Chase Corp.		20,856
	8,661	Chemours Co. (The)		114,239
	77,052	Chemtura Corp.*		2,310,789
	1,153	Codexis Inc.*		4,808
	3,826	Ferro Corp.*		51,039
	2,655	Flotek Industries Inc.*(a)		41,153
	1,322	FutureFuel Corp.		15,454
	3,331	GCP Applied Technologies Inc.*		97,465
	436	Hawkins Inc.		19,044
	2,346	HB Fuller Co.		111,388
	9,460	Huntsman Corp.		163,563
	2,024	Ingevity Corp.*		89,825
	5,474	Innophos Holdings Inc.		231,112
	1,097	Innospec Inc.		65,030
	340	KMG Chemicals Inc.		9,540
	920	Koppers Holdings Inc.*		30,029
	1,444	Kraton Performance Polymers Inc.*		52,071
	1,013	Kronos Worldwide Inc.(a)		9,006
	973	LSB Industries Inc.*(a)		11,676
	1,647	Minerals Technologies Inc.		116,229
	349	NewMarket Corp.		151,449
	7,836	Olin Corp.		169,571
	2,035	OMNOVA Solutions Inc.*		20,350
	7,755	Platform Specialty Products Corp.*(a)		70,183
	38,264	PolyOne Corp.		1,318,960
	596	Quaker Chemical Corp.		59,600
	2,150	Rayonier Advanced Materials Inc.		26,445
	6,174	RPM International Inc.		336,668
	2,144	Scotts Miracle-Gro Co. (The), Class A Shares		177,523
	2,103	Sensient Technologies Corp.		154,003
	4,300	Sherwin-Williams Co. (The)		1,219,953
	953	Stepan Co.		66,958
	3,199	TerraVia Holdings Inc.*		8,477
	1,070	Trecora Resources*		11,684
	1,189	Tredegar Corp.		22,401
	1,338	Trinseo SA		77,417
	3,109	Tronox Ltd., Class A Shares		28,385
	1,313	Valhi Inc.*		3,348
	3,720	Valspar Corp. (The)		392,125
	1,838	Westlake Chemical Corp.		95,245
	3,345	WR Grace & Co.		261,345

		Total Chemicals		11,097,623

	Construction Materials — 0.6%
	14,588	Eagle Materials Inc.		1,172,438
	39,542	Headwaters Inc.*		716,897
	3,976	Martin Marietta Materials Inc.		727,727
	3,692	Summit Materials Inc., Class A Shares*		72,880
	126	United States Lime & Minerals Inc.		8,080
	714	US Concrete Inc.*		37,856

		Total Construction Materials		2,735,878

See Notes to Financial Statements.

102



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	MATERIALS — 5.9% — (continued)
	Containers & Packaging — 1.5%
	189	AEP Industries Inc.	$	20,903
	2,927	AptarGroup Inc.		228,248
	16,816	Avery Dennison Corp.		1,302,231
	4,465	Bemis Co., Inc.		234,859
	52,165	Berry Plastics Group Inc.*		2,367,769
	26,511	Crown Holdings Inc.*		1,437,692
	15,271	Graphic Packaging Holding Co.		218,986
	1,173	Greif Inc., Class A Shares		50,005
	292	Greif Inc., Class B Shares		16,352
	1,136	Multi Packaging Solutions International Ltd.*		15,927
	854	Myers Industries Inc.		12,255
	7,717	Owens-Illinois Inc.*		138,366
	4,440	Packaging Corp. of America		349,117
	9,327	Sealed Air Corp.		439,582
	1,953	Silgan Holdings Inc.		93,978
	4,710	Sonoco Products Co.		242,753
	377	UFP Technologies Inc.*		9,365

		Total Containers & Packaging		7,178,388

	Metals & Mining — 1.4%
	11,645	AK Steel Holding Corp.*(a)		51,937
	5,159	Allegheny Technologies Inc.(a)		88,013
	230	Ampco-Pittsburgh Corp.		2,484
	2,198	Carpenter Technology Corp.		79,743
	2,595	Century Aluminum Co.*		16,297
	76,863	Cliffs Natural Resources Inc.*		438,119
	7,707	Coeur Mining Inc.*		98,187
	5,426	Commercial Metals Co.		84,212
	1,605	Compass Minerals International Inc.		119,621
	3,346	Ferroglobe PLC		27,604
	2,477	Gold Resource Corp.		12,930
	50	Handy & Harman Ltd.*		1,117
	576	Haynes International Inc.		21,249
	18,023	Hecla Mining Co.(a)		100,568
	630	Kaiser Aluminum Corp.		53,695
	938	Materion Corp.		27,521
	372	Olympic Steel Inc.		7,191
	1,358	Real Industry Inc.*		9,329
	37,449	Reliance Steel & Aluminum Co.		2,699,324
	3,064	Royal Gold Inc.		224,652
	704	Ryerson Holding Corp.*		8,511
	76,771	Schnitzer Steel Industries Inc., Class A Shares		1,441,759
	11,140	Steel Dynamics Inc.		274,267
	5,740	Stillwater Mining Co.*		72,611
	2,992	SunCoke Energy Inc.		19,508
	14,246	Tahoe Resources Inc.		185,768
	2,033	TimkenSteel Corp.*		20,025
	7,322	United States Steel Corp.		142,340
	2,119	Worthington Industries Inc.		90,905

		Total Metals & Mining		6,419,487

	Paper & Forest Products — 0.1%
	1,812	Boise Cascade Co.*		47,547
	834	Clearwater Paper Corp.*		51,766
	543	Deltic Timber Corp.		38,515

See Notes to Financial Statements.

103



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	MATERIALS — 5.9% — (continued)
	Paper & Forest Products — 0.1% — (continued)
	2,958	Domtar Corp.	$	110,392
	4,025	KapStone Paper and Packaging Corp.		70,478
	6,830	Louisiana-Pacific Corp.*		133,048
	769	Neenah Paper Inc.		61,851
	1,989	PH Glatfelter Co.		44,096
	1,399	Schweitzer-Mauduit International Inc.		54,953

		Total Paper & Forest Products		612,646

		TOTAL MATERIALS		28,044,022

	TELECOMMUNICATION SERVICES — 0.6%
	Diversified Telecommunication Services — 0.5%
	519	ATN International Inc.		33,911
	10,246	Cincinnati Bell Inc.*		42,828
	19,849	Cogent Communications Holdings Inc.		705,433
	2,377	Consolidated Communications Holdings Inc.		57,167
	932	FairPoint Communications Inc.*		12,992
	55,501	Frontier Communications Corp.(a)		255,305
	1,326	General Communication Inc., Class A Shares*		18,431
	18,269	Globalstar Inc.*(a)		28,500
	275	Hawaiian Telcom Holdco Inc.*		6,155
	992	IDT Corp., Class B Shares		14,771
	1,625	Inteliquent Inc.		27,040
	1,074	Intelsat SA*		2,900
	3,818	Iridium Communications Inc.*(a)		31,804
	841	Lumos Networks Corp.*		11,564
	2,911	ORBCOMM Inc.*		28,964
	447	pdvWireless Inc.*		11,439
	5,181	SBA Communications Corp., Class A Shares*		591,411
	414	Straight Path Communications Inc., Class B Shares*(a)		9,812
	8,790	Vonage Holdings Corp.*		51,070
	4,420	Windstream Holdings Inc.(a)		37,614
	7,777	Zayo Group Holdings Inc.*		225,611

		Total Diversified Telecommunication Services		2,204,722

	Wireless Telecommunication Services — 0.1%
	1,780	Boingo Wireless Inc.*		15,130
	3,036	NII Holdings Inc.*		10,110
	2,231	Shenandoah Telecommunications Co.		57,381
	903	Spok Holdings Inc.		14,945
	13,219	Telephone & Data Systems Inc.		368,413
	6,830	United States Cellular Corp.*		254,213

		Total Wireless Telecommunication Services		720,192

		TOTAL TELECOMMUNICATION SERVICES		2,924,914

	UTILITIES — 1.9%
	Electric Utilities — 0.6%
	2,340	ALLETE Inc.		138,762
	10,758	Alliant Energy Corp.		408,266
	1,923	El Paso Electric Co.		87,862
	2,075	Empire District Electric Co. (The)		70,177
	615	Genie Energy Ltd., Class B Shares*		3,924
	7,351	Great Plains Energy Inc.		199,653
	5,067	Hawaiian Electric Industries Inc.		152,061
	2,354	IDACORP Inc.		179,069

See Notes to Financial Statements.

104



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	UTILITIES — 1.9% — (continued)
	Electric Utilities — 0.6% — (continued)
	7,120	ITC Holdings Corp.	$	321,966
	1,656	MGE Energy Inc.		90,981
	9,519	OGE Energy Corp.		296,326
	1,799	Otter Tail Corp.		61,598
	5,231	Pinnacle West Capital Corp.		392,534
	3,767	PNM Resources Inc.		119,753
	4,202	Portland General Electric Co.		176,946
	251	Spark Energy Inc., Class A Shares		7,276
	6,701	Westar Energy Inc., Class A Shares		368,153

		Total Electric Utilities		3,075,307

	Gas Utilities — 0.5%
	4,767	Atmos Energy Corp.		351,328
	692	Chesapeake Utilities Corp.		44,046
	397	Delta Natural Gas Co., Inc.(a)		9,877
	3,615	National Fuel Gas Co.		206,272
	4,033	New Jersey Resources Corp.		135,670
	1,269	Northwest Natural Gas Co.		75,797
	2,458	ONE Gas Inc.		150,503
	3,816	Piedmont Natural Gas Co., Inc.		229,342
	8,352	Questar Corp.		208,884
	3,783	South Jersey Industries Inc.		112,280
	2,222	Southwest Gas Corp.		155,140
	2,097	Spire Inc.		135,676
	8,165	UGI Corp.		371,344
	2,369	WGL Holdings Inc.		148,868

		Total Gas Utilities		2,335,027

	Independent Power and Renewable Electricity Producers �� 0.5%
	112,583	Atlantic Power Corp.		290,464
	2,813	Atlantica Yield PLC(a)		53,194
	17,082	Calpine Corp.*		213,183
	27,473	Dynegy Inc.*		348,083
	48,540	NRG Energy Inc.		587,819
	1,588	NRG Yield Inc., Class A Shares		25,551
	3,090	NRG Yield Inc., Class C Shares(a)		52,036
	14,657	Ormat Technologies Inc.		709,399
	3,144	Pattern Energy Group Inc., Class A Shares		74,827
	3,965	Talen Energy Corp.*		54,757
	4,599	TerraForm Global Inc., Class A Shares(a)		16,648
	4,029	TerraForm Power Inc., Class A Shares*(a)		51,732
	1,359	Vivint Solar Inc.*		4,322

		Total Independent Power and Renewable Electricity Producers		2,482,015

	Multi-Utilities — 0.2%
	2,948	Avista Corp.		119,748
	2,441	Black Hills Corp.		142,823
	9,266	MDU Resources Group Inc.		218,399
	2,298	NorthWestern Corp.		132,870
	685	Unitil Corp.		27,085
	3,958	Vectren Corp.		193,586

		Total Multi-Utilities		834,511

	Water Utilities — 0.1%
	1,709	American States Water Co.		66,617
	8,440	Aqua America Inc.		256,660

See Notes to Financial Statements.

105



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

Shares/Units		Security	Value
	UTILITIES — 1.9% — (continued)
	Water Utilities — 0.1% — (continued)
	427	Artesian Resources Corp., Class A Shares	$	11,730
	2,240	California Water Service Group		68,297
	483	Connecticut Water Service Inc.		22,397
	557	Consolidated Water Co., Ltd.		7,063
	370	Global Water Resources Inc.		2,953
	713	Middlesex Water Co.		23,793
	766	SJW Corp.		32,700
	595	York Water Co. (The)		16,838

		Total Water Utilities		509,048

		TOTAL UTILITIES		9,235,908

		TOTAL COMMON STOCKS (Cost — $397,824,303)		458,723,006

	PREFERRED STOCK — 0.1%
	UTILITIES — 0.1%
	Independent Power and Renewable Electricity Producers — 0.1%
	3,400	Dynegy Inc., 7.000% (Cost — $361,119)		292,825

	RIGHT — 0.0%
	ENERGY — 0.0%
	Oil, Gas & Consumable Fuels – 0.0%
	1,547	Par Pacific Holdings Inc.* (Cost — $0)		60

		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $398,185,422)		459,015,891


Face Amount
	SHORT-TERM INVESTMENTS (c) — 6.4%
	MONEY MARKET FUND — 3.9%
$	18,447,756	Invesco STIT — Government & Agency Portfolio(d) (Cost — $18,447,756)		18,447,756

	TIME DEPOSITS — 2.5%
	1,538,403	ANZ National Bank — London, 0.150% due 9/1/16		1,538,403
	2,823,962	Banco Santander SA — Frankfurt, 0.150% due 9/1/16		2,823,962
	3,116,996	BNP Paribas — Paris, 0.150% due 9/1/16		3,116,996
	3,314,730	Citibank N.A. — Puerto Rico, 0.150% due 9/1/16		3,314,730
	976,777	JPMorgan Chase & Co. — New York, 0.150% due 9/1/16		976,777

		TOTAL TIME DEPOSITS (Cost — $11,770,868)		11,770,868

		TOTAL SHORT-TERM INVESTMENTS (Cost — $30,218,624)		30,218,624

		TOTAL INVESTMENTS — 103.0% (Cost — $428,404,046#)		489,234,515

		Liabilities in Excess of Other Assets — (3.0)%		(14,042,558	)

		TOTAL NET ASSETS — 100.0%	$	475,191,957

*	Non-income producing security.

(a)	All or a portion of this security is on loan (See Note 1).

(b)	Security is valued in good faith at fair value by or under the direction of the Board of Trustees.

See Notes to Financial Statements.

106



Schedules of Investments


(continued)


Small-Mid Cap Equity Fund

(c)	Inclusive of all short term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 2.5%.

(d)	Represents investment of collateral received from securities lending transactions.

#	Aggregate cost for federal income tax purposes is $437,648,360.


Abbreviations used in this schedule:
ADR		— American Depositary Receipts
PLC		— Public Limited Company


Summary of Investments by Security Sector^
Industrials	19.0	%
Information Technology	18.2
Financials	17.2
Consumer Discretionary	13.4
Health Care	13.0
Materials	5.7
Energy	2.5
Consumer Staples	2.3
Utilities	1.9
Telecommunication Services	0.6
Short-Term Investments	6.2

	100.0	%

^	As a percentage of total investments.

See Notes to Financial Statements.

107



Schedules of Investments


(continued)


International Equity Fund

Shares/Units		Security	Value
	COMMON STOCKS — 97.0%
	Australia — 3.7%
	15,014	AGL Energy Ltd.	$	209,353
	51,890	Alumina Ltd.		51,827
	26,157	Amcor Ltd.		313,480
	66,472	AMP Ltd.		261,529
	24,955	APA Group		172,839
	11,712	Aristocrat Leisure Ltd.		132,634
	4,233	ASX Ltd.		162,798
	44,841	Aurizon Holdings Ltd.		147,865
	46,200	AusNet Services, Class Miscella Shares		59,587
	64,258	Australia & New Zealand Banking Group Ltd.		1,300,534
	7,822	Bank of Queensland Ltd.		61,970
	9,646	Bendigo & Adelaide Bank Ltd.		79,670
	70,473	BHP Billiton Ltd.		1,056,853
	313,744	BHP Billiton PLC		4,026,658
	15,955	Boral Ltd.		78,930
	369,653	Brambles Ltd.		3,411,566
	5,975	Caltex Australia Ltd.		152,116
	12,360	Challenger Ltd.		85,479
	79,144	CIMIC Group Ltd.		1,762,485
	12,314	Coca-Cola Amatil Ltd.		90,549
	1,191	Cochlear Ltd.		125,953
	37,608	Commonwealth Bank of Australia		2,028,603
	9,818	Computershare Ltd.		72,672
	7,831	Crown Resorts Ltd.		77,133
	75,905	CSL Ltd.		6,155,597
	20,826	Dexus Property Group, REIT		151,894
	1,325	Domino’s Pizza Enterprises Ltd.		75,071
	52,790	DUET Group		104,373
	1,174	Flight Centre Travel Group Ltd.		32,451
	33,660	Fortescue Metals Group Ltd.		123,007
	38,549	Goodman Group, REIT		219,270
	39,039	GPT Group (The), REIT		156,136
	11,799	Harvey Norman Holdings Ltd.		47,607
	37,138	Healthscope Ltd.		85,193
	35,780	Incitec Pivot Ltd.		76,202
	52,430	Insurance Australia Group Ltd.		219,281
	11,699	LendLease Group		120,929
	6,856	Macquarie Group Ltd.		413,525
	59,111	Medibank Pvt Ltd.		119,165
	79,210	Mirvac Group, REIT		138,229
	58,098	National Australia Bank Ltd.		1,187,440
	16,776	Newcrest Mining Ltd.*		278,782
	29,688	Oil Search Ltd.		149,271
	7,776	Orica Ltd.		85,936
	41,003	Origin Energy Ltd.		160,799
	5,056	Platinum Asset Management Ltd.		20,336
	11,181	Qantas Airways Ltd.*		27,241
	31,184	QBE Insurance Group Ltd.		231,324
	3,266	Ramsay Health Care Ltd.		202,947
	1,123	REA Group Ltd.		49,442
	34,240	Santos Ltd.		113,299
	118,661	Scentre Group, REIT		442,649
	6,903	SEEK Ltd.		83,057
	133,346	Sonic Healthcare Ltd.		2,297,368
	114,144	South32 Ltd.*		163,754

See Notes to Financial Statements.

108



Schedules of Investments


(continued)


International Equity Fund

Shares/Units		Security	Value
	Australia — 3.7% — (continued)
	51,151	Stockland, REIT	$	186,045
	29,171	Suncorp Group Ltd.		277,561
	23,775	Sydney Airport		129,802
	18,149	Tabcorp Holdings Ltd.		67,825
	31,071	Tatts Group Ltd.		88,720
	596,979	Telstra Corp., Ltd.		2,354,460
	7,182	TPG Telecom Ltd.		65,676
	44,998	Transurban Group		386,989
	15,863	Treasury Wine Estates Ltd.		133,587
	71,933	Vicinity Centres, REIT		178,617
	10,682	Vocus Communications Ltd.		61,545
	24,803	Wesfarmers Ltd.		788,561
	311,867	Westfield Corp., REIT		2,390,178
	198,741	Westpac Banking Corp.		4,374,977
	16,658	Woodside Petroleum Ltd.		356,617
	28,128	Woolworths Ltd.		499,117

		Total Australia		41,994,935

	Austria — 0.1%
	1,554	ANDRITZ AG		79,430
	6,128	Erste Group Bank AG		172,713
	3,518	OMV AG		98,602
	2,665	Raiffeisen Bank International AG*		37,978
	2,848	Voestalpine AG		94,288

		Total Austria		483,011

	Belgium — 1.3%
	4,281	Ageas		148,255
	28,770	Anheuser-Busch InBev SA/NV		3,567,351
	1,507	Colruyt SA		82,790
	1,697	Groupe Bruxelles Lambert SA		149,078
	91,420	KBC Group NV*		5,423,807
	3,140	Proximus SADP		96,146
	1,720	Solvay SA		189,197
	1,184	Telenet Group Holding NV*		55,580
	35,237	UCB SA		2,896,917
	27,684	Umicore SA(a)		1,635,344

		Total Belgium		14,244,465

	Brazil — 0.1%
	181,000	Embraer SA		803,099

	Canada — 2.1%
	54,945	Alimentation Couche-Tard Inc., Class B Shares		2,833,884
	15,581	CCL Industries Inc., Class B Shares		2,973,609
	90,181	Cenovus Energy Inc.		1,303,283
	73,512	Dollarama Inc.		5,432,460
	106,723	Goldcorp Inc.		1,624,550
	181,213	Hudson’s Bay Co.		2,500,014
	24,700	Manulife Financial Corp.		336,994
	106,650	Saputo Inc.		3,546,189
	68,708	Toronto-Dominion Bank (The)		3,066,381

		Total Canada		23,617,364

	Chile — 0.0%
	7,906	Antofagasta PLC		51,415

See Notes to Financial Statements.

109



Schedules of Investments


(continued)


International Equity Fund

Shares/Units		Security	Value
	China — 1.6%
	34,167	Alibaba Group Holding Ltd., ADR*	$	3,320,691
	26,100	Baidu Inc., ADR*		4,464,927
	4,778,500	CNOOC Ltd.		5,786,256
	51,067	JD.com Inc., ADR*		1,297,612
	103,100	Tencent Holdings Ltd.		2,672,583
	44,900	Yangzijiang Shipbuilding Holdings Ltd.		25,161

		Total China		17,567,230

	Denmark — 1.4%
	85	AP Moeller — Maersk AS, Class A Shares		121,447
	156	AP Moeller — Maersk AS, Class B Shares		233,445
	2,327	Carlsberg AS, Class B Shares		218,454
	2,164	Chr Hansen Holding AS		131,150
	37,837	Coloplast AS, Class B Shares		2,881,761
	15,261	Danske Bank AS		448,769
	4,172	DSV AS		207,263
	1,213	Genmab AS*		194,344
	3,639	ISS AS		147,572
	105,823	Novo Nordisk AS, Class B Shares		4,967,879
	69,947	Novozymes AS, Class B Shares		3,040,995
	2,511	Pandora AS		312,991
	17,496	TDC AS*		96,850
	2,644	Tryg AS		52,830
	4,843	Vestas Wind Systems AS		403,215
	110,766	William Demant Holding AS*		2,315,726

		Total Denmark		15,774,691

	Finland — 0.7%
	3,087	Elisa OYJ		108,549
	9,911	Fortum OYJ		152,913
	7,526	Kone OYJ, Class B Shares		377,940
	2,538	Metso OYJ		70,986
	2,888	Neste OYJ		120,219
	660,412	Nokia OYJ		3,709,561
	54,025	Nokian Renkaat OYJ		1,949,250
	2,362	Orion OYJ, Class B Shares		89,386
	9,619	Sampo OYJ, Class A Shares		412,638
	11,740	Stora Enso OYJ, Class R Shares		103,545
	12,140	UPM-Kymmene OYJ		243,642
	3,167	Wartsila OYJ Abp		130,168

		Total Finland		7,468,797

	France — 10.4%
	3,739	Accor SA		141,492
	557	Aeroports de Paris		57,537
	7,582	Air Liquide SA		832,841
	66,347	Airbus Group SE		3,870,895
	3,245	Alstom SA*		85,963
	43,244	Amundi SA(b)		2,097,677
	1,409	Arkema SA		125,840
	1,869	Atos SE		184,186
	42,753	AXA SA		900,491
	188,950	BNP Paribas SA		9,646,180
	17,241	Bollore SA		62,355
	4,391	Bouygues SA		139,436
	5,480	Bureau Veritas SA		117,654
	3,633	Capgemini SA		354,916

See Notes to Financial Statements.

110



Schedules of Investments


(continued)


International Equity Fund

Shares/Units		Security	Value
	France — 10.4% — (continued)
	12,283	Carrefour SA	$	309,775
	1,178	Casino Guichard Perrachon SA		58,331
	1,201	Christian Dior SA		208,006
	10,502	Cie de Saint-Gobain		460,802
	4,010	Cie Générale des Établissements Michelin		426,994
	3,469	CNP Assurances		55,920
	23,354	Credit Agricole SA		221,481
	100,368	Danone SA		7,638,523
	40,407	Dassault Systemes		3,409,295
	130,322	Edenred		2,842,792
	1,223	Eiffage SA		95,788
	6,391	Electricite de France SA		81,959
	422,046	Engie SA		6,745,099
	45,732	Essilor International SA		5,807,233
	803	Eurazeo SA		48,731
	3,760	Eutelsat Communications SA		73,181
	685	Fonciere Des Regions, REIT		64,087
	881	Gecina SA, REIT		137,953
	9,865	Groupe Eurotunnel SE, Class Registered Shares		108,599
	7,792	Hermes International		3,295,533
	893	ICADE, REIT		69,000
	12,002	Iliad SA		2,478,506
	871	Imerys SA		61,472
	1,168	Ingenico Group SA		126,020
	1,522	JCDecaux SA		52,367
	1,679	Kering		319,029
	4,697	Klepierre, REIT		220,492
	3,086	Lagardere SCA		75,376
	111,181	Legrand SA		6,662,680
	5,580	L’Oréal SA		1,055,887
	21,709	LVMH Moët Hennessy Louis Vuitton SE		3,680,774
	19,498	Natixis SA		86,515
	43,755	Orange SA		669,706
	21,126	Pernod Ricard SA		2,428,683
	10,331	Peugeot SA*		152,810
	4,210	Publicis Groupe SA		313,038
	446	Remy Cointreau SA		38,960
	4,110	Renault SA		337,216
	6,307	Rexel SA		101,451
	6,966	Safran SA		487,173
	89,354	Sanofi		6,898,718
	212,990	Schneider Electric SE		14,518,468
	3,292	SCOR SE		97,090
	28,375	SEB SA		3,778,952
	2,298	SFR Group SA		61,217
	603	Societe BIC SA		88,081
	16,870	Societe Generale SA		615,114
	2,009	Sodexo SA		233,053
	7,170	Suez		108,772
	248,160	Technicolor SA		1,612,809
	22,185	Technip SA		1,313,006
	2,338	Thales SA		202,764
	228,030	TOTAL SA		10,884,123
	2,173	Unibail-Rodamco SE, REIT		597,488
	81,861	Valeo SA		4,245,648
	9,909	Veolia Environnement SA		210,901

See Notes to Financial Statements.

111



Schedules of Investments


(continued)


International Equity Fund

Shares/Units		Security	Value
	France — 10.4% — (continued)
	11,033	Vinci SA	$	837,029
	25,618	Vivendi SA		497,407
	679	Wendel SA		77,352
	5,007	Zodiac Aerospace		114,138

		Total France		117,116,830

	Germany — 8.9%
	20,955	adidas AG		3,480,963
	10,066	Allianz SE, Class Registered Shares		1,497,952
	1,019	Axel Springer SE		51,940
	67,921	BASF SE		5,524,231
	97,048	Bayer AG, Class Registered Shares		10,393,331
	65,155	Bayerische Motoren Werke AG		5,669,898
	2,218	Beiersdorf AG		206,382
	109,545	Brenntag AG		5,964,378
	22,546	Commerzbank AG		159,014
	34,043	Continental AG		7,136,707
	1,548	Covestro AG(b)		80,639
	21,207	Daimler AG, Class Registered Shares		1,468,200
	29,742	Deutsche Bank AG, Class Registered Shares*		440,205
	4,251	Deutsche Boerse AG*		363,960
	5,048	Deutsche Lufthansa AG, Class Registered Shares		58,811
	21,369	Deutsche Post AG, Class Registered Shares		677,006
	262,322	Deutsche Telekom AG, Class Registered Shares		4,377,298
	7,442	Deutsche Wohnen AG		280,196
	43,289	E.ON SE		399,113
	3,035	Evonik Industries AG		102,049
	897	Fraport AG Frankfurt Airport Services Worldwide		50,049
	37,850	Fresenius Medical Care AG & Co. KGaA		3,350,094
	9,038	Fresenius SE & Co. KGaA		659,612
	77,380	GEA Group AG		4,154,223
	1,327	Hannover Rueck SE		135,906
	29,791	HeidelbergCement AG		2,773,412
	2,300	Henkel AG & Co. KGaA		258,150
	469	Hochtief AG		63,085
	1,424	HUGO BOSS AG		86,958
	360,545	Infineon Technologies AG		6,070,952
	4,116	K+S AG, Class Registered Shares		86,188
	1,972	Lanxess AG		105,284
	41,060	Linde AG		7,033,910
	755	MAN SE		78,546
	2,950	Merck KGaA		311,203
	3,888	METRO AG		115,392
	3,685	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Class Registered Shares		665,977
	1,919	OSRAM Licht AG		100,545
	64,826	ProSiebenSat.1 Media SE		2,787,631
	10,626	RWE AG*		174,271
	169,088	SAP SE		14,886,676
	16,849	Siemens AG, Class Registered Shares		2,012,455
	28,855	Symrise AG		2,130,605
	15,015	Telefonica Deutschland Holding AG		61,694
	7,946	ThyssenKrupp AG		185,700
	10,234	TUI AG		143,299
	47,598	United Internet AG, Class Registered Shares		1,957,212
	715	Volkswagen AG		103,943
	10,117	Vonovia SE		393,886

See Notes to Financial Statements.

112



Schedules of Investments


(continued)


International Equity Fund

Shares/Units		Security	Value
	Germany — 8.9% — (continued)
	1,861	Zalando SE*(b)	$	71,310

		Total Germany		99,340,441

	Hong Kong — 2.7%
	970,600	AIA Group Ltd.		6,114,218
	5,200	ASM Pacific Technology Ltd.		40,428
	25,600	Bank of East Asia Ltd. (The)		103,143
	672,500	BOC Hong Kong Holdings Ltd.		2,345,907
	34,000	Cathay Pacific Airways Ltd.		48,815
	15,000	Cheung Kong Infrastructure Holdings Ltd.		125,683
	60,500	Cheung Kong Property Holdings Ltd.		423,372
	731,377	China Merchants Holdings International Co., Ltd.		2,077,167
	647,000	China Mobile Ltd.		7,964,515
	60,000	CK Hutchison Holdings Ltd.		769,271
	36,500	CLP Holdings Ltd.		373,676
	44,000	First Pacific Co.		32,891
	51,000	Galaxy Entertainment Group Ltd.		165,441
	48,000	Hang Lung Properties Ltd.		109,133
	17,200	Hang Seng Bank Ltd.		301,092
	24,000	Henderson Land Development Co., Ltd.		140,289
	64,000	HK Electric Investments & HK Electric Investments Ltd.(b)		59,976
	66,000	HKT Trust & HKT Ltd., Class Miscella Shares		90,813
	168,000	Hong Kong & China Gas Co., Ltd.		320,493
	24,800	Hong Kong Exchanges & Clearing Ltd.		605,924
	26,400	Hongkong Land Holdings Ltd.		171,094
	14,000	Hysan Development Co., Ltd.		67,605
	5,400	Jardine Matheson Holdings Ltd.		323,063
	87,740	Jardine Strategic Holdings Ltd.		2,826,938
	14,500	Kerry Properties Ltd.		42,048
	122,000	Li & Fung Ltd.		62,524
	375,000	Link REIT		2,726,164
	4,151	Melco Crown Entertainment Ltd., ADR		53,880
	34,000	MTR Corp., Ltd.		185,481
	120,000	New World Development Co., Ltd.		150,191
	188,400	Noble Group Ltd.*		16,409
	33,000	NWS Holdings Ltd.		58,862
	90,000	PCCW Ltd.		57,073
	32,000	Power Assets Holdings Ltd.		306,040
	26,000	Shangri-La Asia Ltd.		28,155
	66,000	Sino Land Co., Ltd.		112,677
	43,000	SJM Holdings Ltd.		26,994
	32,000	Sun Hung Kai Properties Ltd.		449,037
	11,500	Swire Pacific Ltd., Class A Shares		127,028
	24,600	Swire Properties Ltd.		69,193
	30,000	Techtronic Industries Co., Ltd.		121,324
	127,000	WH Group Ltd.(b)		99,848
	31,000	Wharf Holdings Ltd. (The)		218,327
	17,000	Wheelock & Co., Ltd.		97,046
	15,500	Yue Yuen Industrial Holdings Ltd.		65,844

		Total Hong Kong		30,675,092

	India — 0.6%
	87,569	HDFC Bank Ltd.		1,687,198
	73,934	Hero MotoCorp Ltd.		3,907,004
	193,140	ICICI Bank Ltd., ADR		1,481,384

		Total India		7,075,586

See Notes to Financial Statements.

113



Schedules of Investments


(continued)


International Equity Fund

Shares/Units		Security	Value
	Ireland — 1.1%
	3,664	AerCap Holdings NV*	$	146,450
	653,723	Bank of Ireland*		147,578
	18,129	CRH PLC		614,676
	2,004	DCC PLC		182,862
	171,476	Experian PLC		3,417,158
	245,962	James Hardie Industries PLC, CDI		3,996,413
	35,643	Kerry Group PLC, Class A Shares		3,029,361
	1,823	Paddy Power Betfair PLC		218,341

		Total Ireland		11,752,839

	Israel — 0.6%
	968	Azrieli Group Ltd.		42,282
	23,446	Bank Hapoalim BM		125,754
	30,542	Bank Leumi Le-Israel BM*		114,322
	44,036	Bezeq Israeli Telecommunication Corp., Ltd.		88,371
	35,624	Check Point Software Technologies Ltd.*		2,733,786
	10,541	Israel Chemicals Ltd.		44,590
	3,160	Mizrahi Tefahot Bank Ltd.		38,105
	3,764	Mobileye NV*		184,022
	1,306	Nice Ltd.		89,184
	349	Taro Pharmaceutical Industries Ltd.*		44,183
	19,826	Teva Pharmaceutical Industries Ltd.		1,000,772
	49,980	Teva Pharmaceutical Industries Ltd., ADR		2,518,492

		Total Israel		7,023,863

	Italy — 0.7%
	25,485	Assicurazioni Generali SpA		325,267
	9,377	Atlantia SpA		240,736
	170,711	Enel SpA		752,141
	55,036	Eni SpA		831,763
	2,450	EXOR SpA		100,988
	2,780	Ferrari NV		134,107
	1,714,310	Intesa Sanpaolo SpA		4,052,038
	3,721	Luxottica Group SpA		179,312
	12,861	Mediobanca SpA		94,935
	12,094	Poste Italiane SpA(b)		84,589
	4,483	Prysmian SpA		110,982
	132,760	Saipem SpA*		61,084
	56,268	Snam SpA		312,413
	368,810	Telecom Italia SpA*		310,402
	37,641	Terna Rete Elettrica Nazionale SpA		194,794
	109,995	UniCredit SpA		281,481
	19,741	Unione di Banche Italiane SpA		52,862
	27,779	UnipolSai SpA		46,560

		Total Italy		8,166,454

	Japan — 15.9%
	40,200	ABC-Mart Inc.		2,525,672
	8,800	Acom Co., Ltd.*		42,164
	14,100	Aeon Co., Ltd.		194,005
	2,200	AEON Financial Service Co., Ltd.		40,551
	2,500	Aeon Mall Co., Ltd.		35,212
	3,000	Air Water Inc.		55,519
	4,100	Aisin Seiki Co., Ltd.		193,834
	12,000	Ajinomoto Co., Inc.		254,610
	4,000	Alfresa Holdings Corp.		74,737
	4,000	Alps Electric Co., Ltd.		90,364

See Notes to Financial Statements.

114



Schedules of Investments


(continued)


International Equity Fund

Shares/Units		Security	Value
	Japan — 15.9% — (continued)
	7,100	Amada Holdings Co., Ltd.	$	74,332
	25,000	ANA Holdings Inc.		68,025
	26,000	Aozora Bank Ltd.		92,044
	22,000	Asahi Glass Co., Ltd.		140,102
	66,800	Asahi Group Holdings Ltd.		2,187,845
	29,000	Asahi Kasei Corp.		244,798
	3,400	Asics Corp.		68,999
	46,600	Astellas Pharma Inc.		712,467
	4,300	Bandai Namco Holdings Inc.		117,556
	7,000	Bank of Kyoto Ltd. (The)		50,684
	1,400	Benesse Holdings Inc.		32,299
	79,800	Bridgestone Corp.		2,745,199
	5,100	Brother Industries Ltd.		85,719
	1,700	Calbee Inc.		61,741
	23,500	Canon Inc.		673,666
	5,000	Casio Computer Co., Ltd.		70,717
	3,200	Central Japan Railway Co.		526,003
	15,000	Chiba Bank Ltd. (The)		88,985
	14,200	Chubu Electric Power Co., Inc.		191,378
	5,300	Chugai Pharmaceutical Co., Ltd.		166,383
	3,600	Chugoku Bank Ltd. (The)		44,385
	6,400	Chugoku Electric Power Co., Inc. (The)		76,883
	27,500	Concordia Financial Group Ltd.*		142,047
	3,300	Credit Saison Co., Ltd.		56,859
	2,100	CYBERDYNE Inc.*(a)		33,094
	12,000	Dai Nippon Printing Co., Ltd.		122,132
	6,300	Daicel Corp.		80,467
	23,300	Dai-ichi Life Insurance Co., Ltd. (The)		324,734
	13,700	Daiichi Sankyo Co., Ltd.		314,561
	21,700	Daikin Industries Ltd.		2,010,979
	1,600	Daito Trust Construction Co., Ltd.		235,228
	12,800	Daiwa House Industry Co., Ltd.		330,829
	30	Daiwa House Residential Investment Corp., REIT, Class A Shares		84,613
	36,000	Daiwa Securities Group Inc.		210,586
	10,800	Denso Corp.		446,592
	4,900	Dentsu Inc.		269,797
	2,500	Don Quijote Holdings Co., Ltd.		81,758
	100,600	East Japan Railway Co.		8,622,297
	5,800	Eisai Co., Ltd.		338,376
	3,300	Electric Power Development Co., Ltd.		80,619
	1,800	FamilyMart Co., Ltd.		128,950
	14,100	FANUC Corp.		2,405,130
	1,200	Fast Retailing Co., Ltd.		422,071
	12,000	Fuji Electric Co., Ltd.		54,802
	13,000	Fuji Heavy Industries Ltd.		515,788
	9,800	FUJIFILM Holdings Corp.		368,583
	40,000	Fujitsu Ltd.		203,376
	17,000	Fukuoka Financial Group Inc.		72,062
	9,200	GungHo Online Entertainment Inc.		21,890
	8,900	Hachijuni Bank Ltd. (The)		47,106
	4,600	Hakuhodo DY Holdings Inc.		50,017
	3,000	Hamamatsu Photonics KK		94,489
	5,200	Hankyu Hanshin Holdings Inc.		167,983
	400	Hikari Tsushin Inc.		35,977
	5,400	Hino Motors Ltd.		59,898
	700	Hirose Electric Co., Ltd.		89,897

See Notes to Financial Statements.

115



Schedules of Investments


(continued)


International Equity Fund

Shares/Units		Security	Value
	Japan — 15.9% — (continued)
	11,000	Hiroshima Bank Ltd. (The)	$	45,885
	1,600	Hisamitsu Pharmaceutical Co., Inc.		71,664
	2,300	Hitachi Chemical Co., Ltd.		49,632
	2,300	Hitachi Construction Machinery Co., Ltd.		43,132
	1,500	Hitachi High-Technologies Corp.		55,658
	1,602,000	Hitachi Ltd.		7,690,798
	4,600	Hitachi Metals Ltd.		55,725
	4,000	Hokuriku Electric Power Co.		47,825
	35,900	Honda Motor Co., Ltd.		1,104,683
	1,100	Hoshizaki Corp.		88,000
	82,300	Hoya Corp.		3,192,286
	6,300	Hulic Co., Ltd.		59,744
	2,000	Idemitsu Kosan Co., Ltd.		36,487
	32,000	IHI Corp.		97,914
	3,200	Iida Group Holdings Co., Ltd.		59,995
	20,700	Inpex Corp.		178,732
	7,100	Isetan Mitsukoshi Holdings Ltd.		64,715
	12,700	Isuzu Motors Ltd.		146,320
	33,400	ITOCHU Corp.		394,375
	5,200	Iyo Bank Ltd. (The)		33,562
	5,100	J Front Retailing Co., Ltd.		57,647
	172,500	Japan Airlines Co., Ltd.		5,252,206
	1,000	Japan Airport Terminal Co. Ltd.		39,473
	11,300	Japan Exchange Group Inc.		176,774
	8,600	Japan Post Bank Co., Ltd.		101,172
	10,500	Japan Post Holdings Co., Ltd.		137,654
	19	Japan Prime Realty Investment Corp., REIT		84,018
	28	Japan Real Estate Investment Corp.		164,570
	56	Japan Retail Fund Investment Corp., REIT		125,756
	112,800	Japan Tobacco Inc.		4,372,917
	11,200	JFE Holdings Inc.		174,148
	4,500	JGC Corp.		71,453
	13,000	Joyo Bank Ltd. (The)		51,699
	4,100	JSR Corp.		60,027
	4,800	JTEKT Corp.		74,725
	46,600	JX Holdings Inc.		174,327
	20,000	Kajima Corp.		134,453
	3,100	Kakaku.com Inc.		51,867
	5,000	Kamigumi Co., Ltd.		43,334
	6,000	Kaneka Corp.		48,947
	17,000	Kansai Electric Power Co., Inc. (The)*		145,331
	4,700	Kansai Paint Co., Ltd.		103,664
	11,200	Kao Corp.		582,402
	30,000	Kawasaki Heavy Industries Ltd.		87,983
	474,600	KDDI Corp.		13,895,498
	11,000	Keihan Holdings Co., Ltd.		71,388
	10,000	Keikyu Corp.		92,646
	12,000	Keio Corp.		100,518
	6,000	Keisei Electric Railway Co., Ltd.		71,901
	10,900	Keyence Corp.		7,647,613
	3,000	Kikkoman Corp.		94,446
	39,000	Kintetsu Group Holdings Co., Ltd.		148,607
	18,500	Kirin Holdings Co., Ltd.		300,739
	66,000	Kobe Steel Ltd.		61,324
	2,400	Koito Manufacturing Co., Ltd.		114,395
	257,000	Komatsu Ltd.		5,626,137

See Notes to Financial Statements.

116



Schedules of Investments


(continued)


International Equity Fund

Shares/Units		Security	Value
	Japan — 15.9% — (continued)
	2,000	Konami Holdings Corp.	$	70,721
	9,600	Konica Minolta Inc.		86,604
	700	Kose Corp.		62,828
	267,400	Kubota Corp.		3,926,926
	7,700	Kuraray Co., Ltd.		110,131
	2,200	Kurita Water Industries Ltd.		50,210
	7,200	Kyocera Corp.		339,433
	5,700	Kyowa Hakko Kirin Co., Ltd.		80,589
	9,500	Kyushu Electric Power Co., Inc.*		88,516
	7,200	Kyushu Financial Group Inc.		42,715
	1,400	Lawson Inc.		98,268
	20,200	LINE Corp.*(a)		860,904
	5,700	LIXIL Group Corp.		115,078
	4,200	M3 Inc.		125,732
	1,100	Mabuchi Motor Co., Ltd.		58,325
	2,400	Makita Corp.		172,491
	35,100	Marubeni Corp.		175,123
	4,500	Marui Group Co., Ltd.		54,905
	1,200	Maruichi Steel Tube Ltd.		41,442
	12,300	Mazda Motor Corp.		203,170
	1,500	McDonald’s Holdings Co. Japan Ltd.		41,423
	3,700	Medipal Holdings Corp.		58,285
	2,500	MEIJI Holdings Co., Ltd.		225,007
	7,300	Minebea Co., Ltd.		74,224
	1,200	Miraca Holdings Inc.		56,735
	29,200	Mitsubishi Chemical Holdings Corp.		184,532
	33,300	Mitsubishi Corp.		694,520
	43,000	Mitsubishi Electric Corp.		562,102
	28,000	Mitsubishi Estate Co., Ltd.		530,046
	8,000	Mitsubishi Gas Chemical Co., Inc.		54,170
	73,000	Mitsubishi Heavy Industries Ltd.		318,211
	3,000	Mitsubishi Logistics Corp.		46,296
	24,000	Mitsubishi Materials Corp.		67,819
	14,800	Mitsubishi Motors Corp.		67,709
	5,000	Mitsubishi Tanabe Pharma Corp.		92,813
	280,900	Mitsubishi UFJ Financial Group Inc.		1,533,752
	10,300	Mitsubishi UFJ Lease & Finance Co., Ltd.		48,346
	37,600	Mitsui & Co., Ltd.		500,915
	20,000	Mitsui Chemicals Inc.		95,834
	20,000	Mitsui Fudosan Co., Ltd.		431,265
	24,000	Mitsui OSK Lines Ltd.		55,511
	1,000	Mixi Inc.		35,432
	520,800	Mizuho Financial Group Inc.		905,515
	11,400	MS&AD Insurance Group Holdings Inc.		325,848
	4,300	Murata Manufacturing Co., Ltd.		579,082
	2,400	Nabtesco Corp.		61,685
	20,000	Nagoya Railroad Co., Ltd.		98,047
	56,000	NEC Corp.		142,542
	3,700	Nexon Co., Ltd.		50,719
	5,600	NGK Insulators Ltd.		121,639
	3,900	NGK Spark Plug Co., Ltd.		73,041
	4,000	NH Foods Ltd.		87,610
	4,500	NHK Spring Co., Ltd.		42,408
	51,100	Nidec Corp.		4,606,685
	196,000	Nikon Corp.(a)		2,879,629
	2,500	Nintendo Co., Ltd.		548,750

See Notes to Financial Statements.

117



Schedules of Investments


(continued)


International Equity Fund

Shares/Units		Security	Value
	Japan — 15.9% — (continued)
	31	Nippon Building Fund Inc., REIT	$	189,696
	9,000	Nippon Electric Glass Co., Ltd.		45,220
	18,000	Nippon Express Co., Ltd.		85,332
	3,500	Nippon Paint Holdings Co., Ltd.		125,571
	35	Nippon Prologis REIT Inc.		83,990
	18,000	Nippon Steel & Sumitomo Metal Corp.		382,056
	121,000	Nippon Telegraph & Telephone Corp.		5,298,787
	34,000	Nippon Yusen KK		61,865
	54,800	Nissan Motor Co., Ltd.		538,320
	4,300	Nisshin Seifun Group Inc.		60,851
	1,300	Nissin Foods Holdings Co., Ltd.		72,159
	1,900	Nitori Holdings Co., Ltd.		192,050
	3,600	Nitto Denko Corp.		245,874
	2,000	NOK Corp.		40,658
	78,600	Nomura Holdings Inc.		369,971
	104,300	Nomura Real Estate Holdings Inc.		1,701,618
	77	Nomura Real Estate Master Fund Inc., REIT		127,062
	2,600	Nomura Research Institute Ltd.		87,695
	9,400	NSK Ltd.		97,009
	2,700	NTT Data Corp.		140,732
	30,300	NTT DOCOMO Inc.		765,201
	2,600	NTT Urban Development Corp.		23,868
	14,100	Obayashi Corp.		130,270
	1,600	Obic Co., Ltd.		82,046
	13,000	Odakyu Electric Railway Co., Ltd.		133,550
	18,000	Oji Holdings Corp.		72,446
	6,200	Olympus Corp.		203,118
	4,100	Omron Corp.		139,269
	9,400	Ono Pharmaceutical Co., Ltd.		244,791
	800	Oracle Corp. Japan		46,579
	4,700	Oriental Land Co., Ltd.		275,403
	232,000	ORIX Corp.		3,338,580
	42,000	Osaka Gas Co., Ltd.		165,487
	1,100	Otsuka Corp.		46,635
	73,600	Otsuka Holdings Co., Ltd.		3,192,122
	49,100	Panasonic Corp.		504,325
	2,200	Park24 Co., Ltd.		64,359
	500	Pola Orbis Holdings Inc.		39,954
	20,000	Rakuten Inc.		252,310
	6,100	Recruit Holdings Co., Ltd.		232,051
	47,500	Resona Holdings Inc.		217,515
	14,200	Ricoh Co., Ltd.		128,200
	800	Rinnai Corp.		75,073
	1,900	Rohm Co., Ltd.		95,069
	500	Ryohin Keikaku Co., Ltd.		90,240
	900	Sankyo Co., Ltd.		31,250
	164,100	Santen Pharmaceutical Co., Ltd		2,067,179
	4,900	SBI Holdings Inc.		58,232
	4,700	Secom Co., Ltd.		357,033
	4,000	Sega Sammy Holdings Inc.		54,666
	3,700	Seibu Holdings Inc.		60,805
	6,000	Seiko Epson Corp.		115,105
	242,600	Sekisui Chemical Co., Ltd.		3,393,770
	192,200	Sekisui House Ltd.		3,098,120
	16,600	Seven & i Holdings Co., Ltd.		700,366
	13,000	Seven Bank Ltd.		46,015

See Notes to Financial Statements.

118



Schedules of Investments


(continued)


International Equity Fund

Shares/Units		Security	Value
	Japan — 15.9% — (continued)
	29,000	Sharp Corp.*	$	40,118
	3,800	Shikoku Electric Power Co., Inc.		36,244
	5,000	Shimadzu Corp.		78,289
	500	Shimamura Co., Ltd.		57,870
	1,600	Shimano Inc.		232,838
	12,000	Shimizu Corp.		107,124
	8,600	Shin-Etsu Chemical Co., Ltd.		632,065
	38,000	Shinsei Bank Ltd.		60,644
	6,800	Shionogi & Co., Ltd.		303,828
	8,200	Shiseido Co., Ltd.		206,331
	13,000	Shizuoka Bank Ltd. (The)		107,185
	4,200	Showa Shell Sekiyu KK		35,831
	14,200	SMC Corp.		4,005,412
	21,200	SoftBank Group Corp.		1,385,645
	1,600	Sohgo Security Services Co., Ltd.		80,021
	7,700	Sompo Japan Nipponkoa Holdings Inc.		247,135
	27,800	Sony Corp.		893,892
	3,800	Sony Financial Holdings Inc.		52,262
	3,300	Stanley Electric Co., Ltd.		84,410
	1,300	Start Today Co., Ltd.		60,235
	34,000	Sumitomo Chemical Co., Ltd.		156,009
	26,500	Sumitomo Corp.		287,687
	3,600	Sumitomo Dainippon Pharma Co., Ltd.		60,319
	16,200	Sumitomo Electric Industries Ltd.		240,490
	12,000	Sumitomo Heavy Industries Ltd.		59,009
	11,000	Sumitomo Metal Mining Co., Ltd.		139,427
	344,600	Sumitomo Mitsui Financial Group Inc.		12,076,778
	75,000	Sumitomo Mitsui Trust Holdings Inc.		268,818
	8,000	Sumitomo Realty & Development Co., Ltd.		211,408
	3,700	Sumitomo Rubber Industries Ltd.		54,923
	800	Sundrug Co., Ltd.		58,003
	67,400	Suntory Beverage & Food Ltd.		2,675,856
	3,800	Suruga Bank Ltd.		90,487
	1,700	Suzuken Co., Ltd.		49,323
	76,000	Suzuki Motor Corp.		2,522,070
	3,600	Sysmex Corp.		232,336
	12,500	T&D Holdings Inc.		142,846
	26,000	Taiheiyo Cement Corp.		79,014
	23,000	Taisei Corp.		173,063
	800	Taisho Pharmaceutical Holdings Co., Ltd.		73,356
	2,900	Taiyo Nippon Sanso Corp.		29,466
	7,000	Takashimaya Co., Ltd.		51,258
	15,700	Takeda Pharmaceutical Co., Ltd.		692,041
	2,800	TDK Corp.		200,576
	20,000	Teijin Ltd.		74,698
	7,700	Terumo Corp.		299,687
	2,500	THK Co., Ltd.		49,052
	21,000	Tobu Railway Co., Ltd.		101,964
	2,500	Toho Co., Ltd.		72,919
	9,000	Toho Gas Co., Ltd.		76,517
	10,100	Tohoku Electric Power Co., Inc.		126,690
	15,100	Tokio Marine Holdings Inc.		594,081
	35,400	Tokyo Electric Power Co. Holdings Inc.*		142,799
	3,400	Tokyo Electron Ltd.		312,808
	45,000	Tokyo Gas Co., Ltd.		193,085
	4,500	Tokyo Tatemono Co., Ltd.		52,902

See Notes to Financial Statements.

119



Schedules of Investments


(continued)


International Equity Fund

Shares/Units		Security	Value
	Japan — 15.9% — (continued)
	23,000	Tokyu Corp.	$	171,755
	11,000	Tokyu Fudosan Holdings Corp.		61,316
	7,000	TonenGeneral Sekiyu KK		64,642
	11,000	Toppan Printing Co., Ltd.		98,115
	32,000	Toray Industries Inc.		308,472
	87,000	Toshiba Corp.		275,501
	3,100	TOTO Ltd.		117,816
	3,500	Toyo Seikan Group Holdings Ltd.		64,947
	1,900	Toyo Suisan Kaisha Ltd.		77,827
	1,400	Toyoda Gosei Co., Ltd.		32,279
	3,500	Toyota Industries Corp.		167,680
	58,800	Toyota Motor Corp.		3,554,565
	5,000	Toyota Tsusho Corp.		114,475
	2,400	Trend Micro Inc.		84,945
	800	Tsuruha Holdings Inc.		78,260
	8,700	Unicharm Corp.		211,393
	65	United Urban Investment Corp., REIT		115,787
	4,600	USS Co., Ltd.		73,565
	3,600	West Japan Railway Co.		206,224
	604,400	Yahoo Japan Corp.		2,466,022
	1,900	Yakult Honsha Co., Ltd.		83,863
	13,400	Yamada Denki Co., Ltd.		62,741
	4,000	Yamaguchi Financial Group Inc.		42,251
	3,600	Yamaha Corp.		116,874
	6,100	Yamaha Motor Co., Ltd.		125,216
	7,700	Yamato Holdings Co., Ltd.		181,034
	2,900	Yamazaki Baking Co., Ltd.		65,932
	5,400	Yaskawa Electric Corp.		79,649
	4,900	Yokogawa Electric Corp.		62,836
	2,400	Yokohama Rubber Co., Ltd. (The)		39,041

		Total Japan		178,793,299

	Jersey, Channel Islands — 0.0%
	2,025	Randgold Resources Ltd., ADR		190,067

	Jordan — 0.0%
	3,532	Hikma Pharmaceuticals PLC		99,467

	Luxembourg — 0.4%
	259,461	ArcelorMittal*		1,532,488
	1,422	Millicom International Cellular SA, ADR		72,897
	890	RTL Group SA		74,990
	115,593	SES SA, ADR, Class A Shares		2,659,188
	11,131	Tenaris SA		152,956

		Total Luxembourg		4,492,519

	Macau — 0.0%
	20,400	MGM China Holdings Ltd.		31,322
	52,400	Sands China Ltd.		205,179
	33,600	Wynn Macau Ltd.		46,617

		Total Macau		283,118

	Mexico — 0.2%
	4,727	Fresnillo PLC		99,821
	72,170	Grupo Televisa SAB, ADR		1,972,406

		Total Mexico		2,072,227

See Notes to Financial Statements.

120



Schedules of Investments


(continued)


International Equity Fund

Shares/Units		Security	Value
	Netherlands — 5.5%
	138,948	Aalberts Industries NV	$	4,664,094
	117,972	ABN AMRO Group NV, Dutch Certificate, GDR(b)		2,428,672
	38,153	Aegon NV		156,768
	156,332	Akzo Nobel NV		10,568,457
	8,352	Altice NV, Class A Shares*		139,274
	1,924	Altice NV, Class B Shares*		32,028
	55,075	ASML Holding NV		5,868,382
	46,271	Boskalis Westminster		1,655,691
	39,044	Gemalto NV		2,722,942
	2,131	Heineken Holding NV		171,545
	47,405	Heineken NV		4,241,834
	268,893	ING Groep NV		3,371,134
	28,220	Koninklijke Ahold Delhaize NV		676,736
	3,878	Koninklijke DSM NV		270,411
	76,432	Koninklijke KPN NV		250,081
	20,508	Koninklijke Philips NV		596,306
	56,518	Koninklijke Vopak NV		2,870,436
	6,719	NN Group NV		200,298
	6,485	NXP Semiconductors NV*		570,810
	2,036	OCI NV*		35,713
	475,890	PostNL NV*		2,085,927
	4,607	QIAGEN NV*		122,018
	2,781	Randstad Holding NV		131,523
	296,108	Royal Dutch Shell PLC, Class A Shares		7,264,926
	415,679	Royal Dutch Shell PLC, Class B Shares		10,606,936
	6,463	Wolters Kluwer NV		271,680

		Total Netherlands		61,974,622

	New Zealand — 0.1%
	20,404	Auckland International Airport Ltd.		111,007
	16,758	Contact Energy Ltd.		63,242
	16,231	Fletcher Building Ltd.		124,808
	15,884	Mercury NZ Ltd.		36,550
	28,934	Meridian Energy Ltd.		60,896
	7,999	Ryman Healthcare Ltd.		55,671
	38,054	Spark New Zealand Ltd.		105,065

		Total New Zealand		557,239

	Norway — 0.7%
	170,997	DNB ASA		2,080,590
	4,271	Gjensidige Forsikring ASA		73,378
	8,424	Marine Harvest ASA*		130,154
	286,370	Norsk Hydro ASA		1,218,239
	18,251	Orkla ASA		167,064
	1,822	Schibsted ASA, Class A Shares		57,895
	2,230	Schibsted ASA, Class B Shares		64,537
	214,071	Statoil ASA		3,364,857
	15,992	Telenor ASA		279,050
	4,178	Yara International ASA		148,400

		Total Norway		7,584,164

	Portugal — 0.0%
	50,100	EDP — Energias de Portugal SA		168,325
	8,038	Jeronimo Martins SGPS SA		129,920

		Total Portugal		298,245

See Notes to Financial Statements.

121



Schedules of Investments


(continued)


International Equity Fund

Shares/Units		Security	Value
	Singapore — 0.4%
	51,800	Ascendas Real Estate Investment Trust	$	92,971
	53,100	CapitaLand Commercial Trust, REIT		60,147
	58,300	CapitaLand Ltd.		131,039
	59,100	CapitaLand Mall Trust, REIT		93,525
	9,300	City Developments Ltd.		57,984
	48,100	ComfortDelGro Corp., Ltd.		99,775
	149,984	DBS Group Holdings Ltd.		1,645,988
	132,000	Genting Singapore PLC		69,553
	60,300	Global Logistic Properties Ltd.		80,191
	158,600	Golden Agri-Resources Ltd.		41,791
	111,700	Hutchison Port Holdings Trust		47,874
	2,200	Jardine Cycle & Carriage Ltd.		68,390
	35,000	Keppel Corp., Ltd.		132,656
	68,800	Oversea-Chinese Banking Corp., Ltd.		432,601
	21,700	Sembcorp Industries Ltd.		43,190
	30,400	Sembcorp Marine Ltd.		28,365
	11,900	Singapore Airlines Ltd.		91,580
	17,400	Singapore Exchange Ltd.		96,348
	37,500	Singapore Technologies Engineering Ltd.		88,678
	176,900	Singapore Telecommunications Ltd.		520,813
	13,800	StarHub Ltd.		37,019
	58,600	Suntec Real Estate Investment Trust		71,904
	28,000	United Overseas Bank Ltd.		369,108
	11,700	UOL Group Ltd.		47,655
	43,100	Wilmar International Ltd.		97,306

		Total Singapore		4,546,451

	South Africa — 0.2%
	12,803	Investec PLC		76,068
	7,828	Mediclinic International PLC		105,311
	8,211	Mondi PLC		167,047
	178,031	SPAR Group Ltd. (The)		2,317,110

		Total South Africa		2,665,536

	South Korea — 1.6%
	26,115	KT&G Corp.		2,736,667
	2,666	NAVER Corp.		2,016,952
	4,574	Samsung Electronics Co., Ltd.		6,631,459
	32,639	SK Telecom Co., Ltd.		6,372,284

		Total South Korea		17,757,362

	Spain — 3.1%
	15,590	Abertis Infraestructuras SA		241,883
	4,599	ACS Actividades de Construccion y Servicios SA		130,269
	1,563	Aena SA(b)		221,400
	92,263	Amadeus IT Holding SA, Class A Shares		4,246,572
	722,004	Banco Bilbao Vizcaya Argentaria SA		4,483,041
	119,225	Banco de Sabadell SA		161,833
	74,069	Banco Popular Espanol SA		100,319
	320,003	Banco Santander SA		1,432,311
	106,472	Bankia SA		89,981
	17,624	Bankinter SA		129,592
	1,394,868	CaixaBank SA		3,769,076
	95,168	Cellnex Telecom SA(b)		1,660,928
	14,683	Distribuidora Internacional de Alimentacion SA		89,971
	7,975	Endesa SA		162,853
	11,582	Ferrovial SA		228,292

See Notes to Financial Statements.

122



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(continued)


International Equity Fund

Shares/Units		Security	Value
	Spain — 3.1% — (continued)
	8,849	Gas Natural SDG SA	$	182,979
	154,085	Grifols SA		3,269,310
	120,253	Iberdrola SA		792,485
	156,375	Industria de Diseno Textil SA		5,552,726
	27,471	Mapfre SA		74,505
	524,944	Prosegur Cia de Seguridad SA		3,526,108
	112,271	Red Electrica Corp. SA		2,420,043
	25,361	Repsol SA		341,735
	99,522	Telefonica SA		1,005,946
	4,867	Zardoya Otis SA		45,937

		Total Spain		34,360,095

	Sweden — 1.8%
	45,547	Alfa Laval AB		706,911
	189,729	Assa Abloy AB, Class B Shares		3,839,649
	126,623	Atlas Copco AB, Class A Shares		3,588,023
	8,595	Atlas Copco AB, Class B Shares		220,776
	6,002	Boliden AB		127,002
	5,196	Electrolux AB, Series B		135,257
	4,155	Getinge AB, Class B Shares		81,001
	20,911	Hennes & Mauritz AB, Class B Shares		636,951
	62,290	Hexagon AB, Class B Shares		2,538,921
	9,209	Husqvarna AB, Class B Shares		79,592
	1,751	ICA Gruppen AB		59,945
	3,545	Industrivarden AB, Class C Shares		64,547
	10,158	Investor AB, Class B Shares		358,013
	5,157	Kinnevik AB, Class B Shares		126,878
	4,143	Lundin Petroleum AB*		72,877
	66,899	Nordea Bank AB		653,445
	22,812	Sandvik AB		247,472
	6,780	Securitas AB, Class B Shares		118,043
	32,412	Skandinaviska Enskilda Banken AB, Class A Shares		316,576
	7,342	Skanska AB, Class B Shares		160,833
	8,436	SKF AB, Class B Shares		142,065
	13,569	Svenska Cellulosa AB SCA, Class B Shares		416,756
	33,164	Svenska Handelsbanken AB, Class A Shares		427,635
	20,052	Swedbank AB, Class A Shares		460,780
	54,712	Swedish Match AB		1,951,952
	6,718	Tele2 AB, Class B Shares		55,860
	262,806	Telefonaktiebolaget LM Ericsson, Class B Shares		1,872,640
	57,883	Telia Co. AB		261,285
	34,417	Volvo AB, Class B Shares		369,790

		Total Sweden		20,091,475

	Switzerland — 10.6%
	148,026	ABB Ltd., Class Registered Shares*		3,210,964
	2,275	Actelion Ltd., Class Registered Shares*		379,034
	40,129	Adecco Group AG, Class Registered Shares		2,309,776
	169,390	Aryzta AG*		6,755,965
	1,088	Baloise Holding AG, Class Registered Shares		129,588
	2,227	Barry Callebaut AG, Class Registered Shares*		2,865,940
	22	Chocoladefabriken Lindt & Spruengli AG		127,474
	2	Chocoladefabriken Lindt & Spruengli AG, Class Registered Shares		137,744
	122,330	Cie Financiere Richemont SA, Class Registered Shares		7,059,082
	217,891	Clariant AG, Class Registered Shares*		3,797,695
	3,797	Coca-Cola HBC AG*		83,517

See Notes to Financial Statements.

123



Schedules of Investments


(continued)


International Equity Fund

Shares/Units		Security	Value
	Switzerland — 10.6% — (continued)
	41,196	Credit Suisse Group AG, Class Registered Shares*	$	536,303
	1,078	Dufry AG, Class Registered Shares*		126,222
	182	EMS-Chemie Holding AG, Class Registered Shares		96,883
	2,071	Galenica AG, Class Registered Shares		2,401,631
	830	Geberit AG, Class Registered Shares		362,105
	208	Givaudan SA, Class Registered Shares		430,039
	269,480	Glencore PLC, Class Registered Shares*		616,728
	5,140	Julius Baer Group Ltd.*		215,833
	1,206	Kuehne + Nagel International AG, Class Registered Shares		168,469
	10,039	LafargeHolcim Ltd., Class Registered Shares*		532,536
	32,291	Lonza Group AG, Class Registered Shares*		6,124,558
	163,346	Nestlé SA, Class Registered Shares		13,020,303
	142,736	Novartis AG, Class Registered Shares		11,235,494
	836	Pargesa Holding SA		57,689
	391	Partners Group Holding AG		179,423
	82,042	Roche Holding AG		20,021,917
	8,329	Schindler Holding AG		1,568,630
	439	Schindler Holding AG, Class Registered Shares		82,893
	1,012	SGS SA, Class Registered Shares		2,222,537
	694	Sika AG		3,309,355
	19,396	Sonova Holding AG, Class Registered Shares		2,682,880
	13,691	STMicroelectronics NV		102,605
	677	Swatch Group AG (The)		174,466
	1,189	Swatch Group AG (The), Class Registered Shares		60,482
	700	Swiss Life Holding AG, Class Registered Shares*		175,286
	1,506	Swiss Prime Site AG, Class Registered Shares*		132,520
	7,398	Swiss Re AG		625,213
	581	Swisscom AG, Class Registered Shares		277,781
	5,990	Syngenta AG, Class Registered Shares		2,609,643
	59,609	Temenos Group AG, Class Registered Shares*		3,468,951
	353,924	UBS Group AG, Class Registered Shares		5,126,823
	56,203	Wolseley PLC		3,235,402
	39,066	Zurich Insurance Group AG*		9,999,232

		Total Switzerland		118,837,611

	Taiwan — 0.1%
	170,000	Taiwan Semiconductor Manufacturing Co., Ltd.		945,550

	Thailand — 0.3%
	2,126,700	CP ALL PCL		3,822,901

	United Kingdom — 18.5%
	20,315	3i Group PLC		164,631
	19,035	Aberdeen Asset Management PLC		80,239
	4,368	Admiral Group PLC		117,782
	100,833	Aggreko PLC		1,351,756
	30,230	Anglo American PLC*		310,000
	145,512	ARM Holdings PLC		3,225,648
	10,633	Ashtead Group PLC		177,045
	7,527	Associated British Foods PLC		301,371
	27,844	AstraZeneca PLC		1,797,700
	20,834	Auto Trader Group PLC(b)		102,326
	37,105	AVEVA Group PLC		930,959
	1,877,684	Aviva PLC		10,619,319
	5,553	Babcock International Group PLC		76,279
	69,859	BAE Systems PLC		494,334
	942,692	Balfour Beatty PLC*		3,495,077

See Notes to Financial Statements.

124



Schedules of Investments


(continued)


International Equity Fund

Shares/Units		Security	Value
	United Kingdom — 18.5% — (continued)
	4,243,802	Barclays PLC	$	9,657,317
	21,151	Barratt Developments PLC		137,942
	2,701	Berkeley Group Holdings PLC		95,144
	415,329	BP PLC		2,330,687
	225,231	British American Tobacco PLC		13,998,599
	20,654	British Land Co. PLC (The), REIT		180,718
	679,420	BT Group PLC		3,456,504
	135,504	Bunzl PLC		4,197,401
	328,475	Burberry Group PLC		5,639,786
	165,717	Capita PLC		2,252,795
	116,230	Centrica PLC		355,584
	24,080	CNH Industrial NV		176,072
	993,980	Cobham PLC		2,115,774
	4,659	Coca-Cola European Partners PLC*		178,938
	36,213	Compass Group PLC		686,857
	2,698	Croda International PLC		117,525
	407,551	Diageo PLC		11,300,392
	58,122	Dignity PLC		2,053,300
	28,818	Direct Line Insurance Group PLC		139,815
	20,077	Dixons Carphone PLC		98,047
	602,436	Domino’s Pizza Group PLC		2,841,370
	3,168	asyJet PLC		46,083
	255,013	Essentra PLC		1,727,876
	19,884	Fiat Chrysler Automobiles NV		137,943
	32,697	G4S PLC		99,352
	37,750	GKN PLC		154,575
	526,448	GlaxoSmithKline PLC		11,345,482
	15,765	Hammerson PLC, REIT		120,609
	5,304	Hargreaves Lansdown PLC		92,316
	433,579	HSBC Holdings PLC		3,215,851
	487,255	ICAP PLC		3,069,093
	5,990	IMI PLC		83,203
	20,999	Imperial Brands PLC		1,103,021
	145,828	Inmarsat PLC		1,477,746
	3,967	InterContinental Hotels Group PLC		170,327
	19,881	International Consolidated Airlines Group SA		99,965
	74,484	Intertek Group PLC		3,422,371
	21,956	Intu Properties PLC, REIT		91,332
	76,436	ITV PLC		202,178
	27,320	J Sainsbury PLC		86,341
	4,289	Johnson Matthey PLC		188,467
	47,580	Kingfisher PLC		232,143
	17,648	Land Securities Group PLC, REIT		254,788
	125,409	Legal & General Group PLC		347,952
	12,402,113	Lloyds Banking Group PLC		9,704,615
	7,034	London Stock Exchange Group PLC		254,968
	37,827	Marks & Spencer Group PLC		171,944
	18,948	Meggitt PLC		116,654
	14,209	Merlin Entertainments PLC(b)		89,839
	82,497	National Grid PLC		1,136,987
	3,018	Next PLC		219,782
	110,314	Old Mutual PLC		281,619
	18,835	Pearson PLC		214,476
	7,112	Persimmon PLC		171,140
	5,413	Petrofac Ltd.		59,234
	3,048	Provident Financial PLC		120,494

See Notes to Financial Statements.

125



Schedules of Investments


(continued)


International Equity Fund

Shares/Units		Security	Value
	United Kingdom — 18.5% — (continued)
	615,426	Prudential PLC	$	11,100,135
	85,927	Reckitt Benckiser Group PLC		8,310,385
	307,553	RELX NV		5,460,974
	24,386	RELX PLC		463,399
	9,820	Rio Tinto Ltd.		349,359
	27,237	Rio Tinto PLC		817,778
	273,223	Rolls-Royce Holdings PLC*		2,765,177
	73,654	Royal Bank of Scotland Group PLC*		195,845
	429,659	Royal Mail PLC		2,902,810
	21,468	RSA Insurance Group PLC		140,062
	21,420	SABMiller PLC		1,237,665
	23,772	Sage Group PLC (The)		226,969
	2,961	Schroders PLC		108,518
	15,357	Segro PLC, REIT		91,738
	5,107	Severn Trent PLC		159,987
	198,983	Sky PLC		2,222,690
	19,723	Smith & Nephew PLC		318,556
	8,858	Smiths Group PLC		156,249
	54,720	Spectris PLC		1,392,543
	240,559	SSE PLC		4,758,664
	11,556	St. James’s Place PLC		149,188
	72,200	Standard Chartered PLC*		609,644
	44,265	Standard Life PLC		212,294
	9,760	Tate & Lyle PLC		94,132
	69,007	Taylor Wimpey PLC		146,938
	174,735	Tesco PLC*		382,608
	145,329	Travis Perkins PLC		3,180,297
	148,547	Tullett Prebon PLC		744,632
	35,878	Unilever NV, Dutch Certificate		1,648,341
	173,387	Unilever PLC		8,047,271
	14,739	United Utilities Group PLC		188,430
	4,575,784	Vodafone Group PLC		13,806,943
	53,024	Weir Group PLC (The)		1,049,446
	68,864	Whitbread PLC		3,774,518
	620,491	William Hill PLC		2,598,758
	46,201	WM Morrison Supermarkets PLC		119,626
	378,574	Worldpay Group PLC*(b)		1,486,749
	28,516	WPP PLC		659,047

		Total United Kingdom		207,644,164

	United States — 1.6%
	77,870	Carnival Corp.		3,722,186
	170,419	Carnival PLC		8,180,302
	611,100	Samsonite International SA		1,933,838
	71,949	Shire PLC		4,493,898

		Total United States		18,330,224

		TOTAL COMMON STOCKS (Cost — $1,037,459,230)		1,088,502,448

	PREFERRED STOCKS — 1.2%
	Brazil — 0.2%
	113,800	Telefonica Brasil SA, Class Preferred Shares		1,715,641

	Germany — 1.0%
	1,201	Bayerische Motoren Werke AG, Class Preferred Shares		90,018
	1,592	FUCHS PETROLUB SE, Class Preferred Shares		72,567

See Notes to Financial Statements.

126



Schedules of Investments


(continued)


International Equity Fund

Shares/Units			Security	Value
	Germany — 1.0% — (continued)
	3,953		Henkel AG & Co. KgaA, Class Preferred Shares	$	519,716
	3,307		Porsche Automobil Holding SE, Class Preferred Shares		167,652
	3,572		Schaeffler AG, Class Preferred Shares		55,426
	76,464		Volkswagen AG, Class Preferred Shares, 1.800%		10,622,558

			Total Germany		11,527,937

			TOTAL PREFERRED STOCKS (Cost — $12,254,366)		13,243,578

			TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $1,049,713,596)		1,101,746,026


Face Amount†
	SHORT-TERM INVESTMENTS (c) — 2.0%
	MONEY MARKET FUND — 0.4%
$	4,174,893		Invesco STIT — Government & Agency Portfolio(d) (Cost — $4,174,893)		4,174,893

	TIME DEPOSITS — 1.6%
	61,367	^AUD	ANZ National Bank — London, 0.689% due 9/1/16		46,120
	5,631,433		Banco Santander SA — Frankfurt, 0.150% due 9/1/16		5,631,433
			BBH — Grand Cayman:
	10,308	^CHF	(1.450)% due 9/1/16		10,481
	59,662	^SEK	(1.115)% due 9/1/16		6,970
	2,217	^EUR	(0.540)% due 9/1/16		2,473
	33,764	^DKK	(0.450)% due 9/1/16		5,061
	89	^JPY	(0.390)% due 9/1/16		1
	229,456	^HKD	0.005% due 9/1/16		29,578
	4,218	^SGD	0.010% due 9/1/16		3,096
	1	^CAD	0.050% due 9/1/16		1
	2	^GBP	0.050% due 9/1/16		3
	36,062	^NOK	0.084% due 9/1/16		4,328
	9,624,812		0.150% due 9/1/16		9,624,812
	20,431	^AUD	0.689% due 9/1/16		15,355
	415	^NZD	1.250% due 9/1/16		301
			BNP Paribas — Paris:
	38,129	^EUR	(0.540)% due 9/1/16		42,536
	20,626	^GBP	0.050% due 9/1/16		27,085
	36,086		0.150% due 9/1/16		36,086
	5,933,440	^JPY	Sumitomo — Tokyo, (0.390)% due 9/1/16		57,342
	2,590,480		Wells Fargo — Grand Cayman, 0.150% due 9/1/16		2,590,480

			TOTAL TIME DEPOSITS (Cost — $18,133,542)		18,133,542

			TOTAL SHORT-TERM INVESTMENTS (Cost — $22,308,435)		22,308,435

			TOTAL INVESTMENTS — 100.2% (Cost — $1,072,022,031#)		1,124,054,461

			Liabilities in Excess of Other Assets — (0.2)%		(1,711,437	)

			TOTAL NET ASSETS — 100.0%	$	1,122,343,024

†	Amount denominated in U.S. dollars, unless otherwise noted

*	Non-income producing security.

(a)	All or a portion of this security is on loan (See Note 1).

See Notes to Financial Statements.

127



Schedules of Investments


(continued)


International Equity Fund

(b)	Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.

(c)	Inclusive of all short term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 1.6%.

(d)	Represents investment of collateral received from securities lending transactions.

#	Aggregate cost for federal income tax purposes is $1,094,894,766.


Abbreviations used in this schedule:
ADR		— American Depositary Receipts
CDI		— Clearing House Electronics System (CHESS) Depositary Interest
GDR		— Global Depositary Receipt
PCL		— Public Company Limited
PLC		— Public Limited Company
REIT		— Real Estate Investment Trust


Currency Abbreviations used in this schedule:
AUD		— Australian Dollar
CAD		— Canadian Dollar
CHF		— Swiss Franc
DKK		— Danish Krone
EUR		— Euro
GBP		— British Pound
HKD		— Hong Kong Dollar
JPY		— Japanese Yen
NOK		— Norwegian Krone
NZD		— New Zealand Dollar
SEK		— Swedish Krona
SGD		— Singapore Dollar


Summary of Investments by Security Sector^
Financials	16.7	%
Industrials	16.0
Consumer Discretionary	13.7
Health Care	11.6
Consumer Staples	11.3
Information Technology	9.5
Materials	6.5
Telecommunication Services	6.4
Energy	4.3
Utilities	2.0
Short-Term Investments	2.0

	100.0	%

^	As a percentage of total investments.

See Notes to Financial Statements.

128



Schedules of Investments


(continued)


Emerging Markets Equity Fund

Shares/Units		Security	Value
	COMMON STOCKS — 94.5%
	Argentina — 0.7%
	44,050	Grupo Supervielle SA, ADR*	$	619,343
	135,133	YPF SA, ADR		2,295,910

		Total Argentina		2,915,253

	Brazil — 7.4%
	4,700	AES Tiete Energia SA		24,303
	119,200	Ambev SA		708,265
	488,771	Ambev SA, ADR		2,898,412
	24,597	Banco Bradesco SA		221,625
	678,785	Banco do Brasil SA		4,878,114
	10,500	Banco Santander Brasil SA		73,736
	677,256	BB Seguridade Participações SA		6,112,741
	43,736	BM&FBovespa SA — Bolsa de Valores Mercadorias e Futuros		242,538
	14,500	BR Malls Participações SA*		55,402
	15,400	BRF SA		256,774
	565,500	CCR SA		2,987,144
	5,700	CETIP SA — Mercados Organizados		77,126
	8,600	Cia de Saneamento Basico do Estado de Sao Paulo		78,261
	15,800	Cia Siderurgica Nacional SA*		42,073
	426,325	Cielo SA		4,433,996
	3,100	Cosan SA Indústria e Comércio		36,110
	5,100	CPFL Energia SA		36,715
	79,100	CVC Brasil Operadora e Agencia de Viagens SA		549,841
	7,900	Duratex SA		21,256
	7,700	EDP — Energias do Brasil SA		34,094
	16,900	Embraer SA		74,986
	4,100	Engie Brasil Energia SA		49,510
	5,000	Equatorial Energia SA		78,290
	6,300	Fibria Celulose SA		42,934
	8,800	Hypermarcas SA		71,116
	18,100	JBS SA		70,054
	14,000	Klabin SA		73,692
	34,900	Kroton Educacional SA		149,125
	130,978	Localiza Rent a Car SA		1,634,766
	4,800	Lojas Americanas SA		20,763
	16,200	Lojas Renner SA		128,561
	900	M Dias Branco SA		33,719
	2,000	Multiplan Empreendimentos Imobiliarios SA		36,109
	86,100	Natura Cosméticos SA		830,702
	6,700	Odontoprev SA		26,450
	32,000	Ouro Fino Saude Animal Participacoes SA(a)		376,511
	75,200	Petroleo Brasileiro SA*		343,210
	2,900	Porto Seguro SA		24,738
	5,500	Qualicorp SA		38,623
	5,800	Raia Drogasil SA		107,177
	20,300	Rumo Logistica Operadora Multimodal SA*		45,256
	78,500	Smiles SA		1,222,594
	4,500	Sul America SA		22,753
	21,500	TIM Participações SA		55,320
	3,100	TOTVS SA		28,796
	2,400	Transmissora Alianca de Energia Eletrica SA		17,240
	9,172	Ultrapar Participações SA		211,376
	32,500	Vale SA		170,467
	230,700	Valid Solucoes e Servicos de Seguranca em Meios de Pagamento e Identificacao SA		2,045,095
	14,300	WEG SA		73,190

		Total Brazil		31,871,649

See Notes to Financial Statements.

129



Schedules of Investments


(continued)


Emerging Markets Equity Fund

Shares/Units		Security	Value
	Chile — 0.2%
	64,048	AES Gener SA	$	25,456
	65,824	Aguas Andinas SA, Class A Shares		39,213
	622,256	Banco de Chile		69,024
	948	Banco de Credito e Inversiones		41,957
	1,670,620	Banco Santander Chile		87,818
	32,110	Cencosud SA		94,428
	3,735	Cia Cervecerias Unidas SA		39,487
	199,393	Colbun SA		42,218
	82,440	Empresa Nacional de Electricidad SA		61,821
	3,852	Empresa Nacional de Telecomunicaciones SA*		36,362
	31,738	Empresas CMPC SA		63,005
	11,495	Empresas COPEC SA		100,060
	82,610	Endesa Americas SA		36,866
	494,680	Enersis Americas SA		82,033
	498,330	Enersis Chile SA		53,160
	3,934,534	Itau CorpBanca		33,734
	7,569	Latam Airlines Group SA*		59,622
	15,303	SACI Falabella		108,254

		Total Chile		1,074,518

	China — 19.1%
	25,000	3SBio Inc.*(b)		25,508
	1,930	58.com Inc., ADR*		87,815
	207,763	AAC Technologies Holdings Inc.		2,365,330
	622,000	Agricultural Bank of China Ltd., Class H Shares(c)		255,110
	46,000	Air China Ltd., Class H Shares(c)		33,965
	55,841	Alibaba Group Holding Ltd., ADR*		5,427,187
	100,000	Aluminum Corp. of China Ltd., Class H Shares*(c)		37,509
	31,000	Anhui Conch Cement Co., Ltd., Class H Shares(c)		86,879
	25,000	ANTA Sports Products Ltd.		67,481
	53,000	AviChina Industry & Technology Co., Ltd., Class H Shares(c)		38,940
	39,809	Baidu Inc., ADR*		6,810,126
	2,009,000	Bank of China Ltd., Class H Shares(c)		900,484
	222,000	Bank of Communications Co., Ltd., Class H Shares(c)		170,827
	38,000	Beijing Capital International Airport Co., Ltd., Class H Shares(c)		42,814
	160,000	Belle International Holdings Ltd.		103,585
	16,000	BYD Co., Ltd., Class H Shares*(c)		111,048
	267,000	CGN Power Co,. Ltd., Class H Shares(b)(c)		77,175
	221,000	China Cinda Asset Management Co., Ltd., Class H Shares(c)		74,801
	226,000	China CITIC Bank Corp., Ltd., Class H Shares(c)		148,672
	52,000	China Coal Energy Co., Ltd., Class H Shares*(c)		24,772
	112,000	China Communications Construction Co., Ltd., Class H Shares(c)		121,677
	60,000	China Communications Services Corp., Ltd., Class H Shares(c)		35,229
	34,000	China Conch Venture Holdings Ltd.		65,276
	10,214,380	China Construction Bank Corp., Class H Shares(c)		7,610,065
	65,000	China COSCO Holdings Co., Ltd., Class H Shares*(c)		21,552
	79,000	China Everbright Bank Co., Ltd., Class H Shares(c)		37,305
	104,000	China Evergrande Group		71,690
	74,500	China Galaxy Securities Co., Ltd., Class H Shares(c)		69,708
	102,000	China Huishan Dairy Holdings Co., Ltd.		39,157
	196,000	China Life Insurance Co., Ltd., Class H Shares(c)		468,142
	52,100	China Lodging Group Ltd., ADR		2,325,223
	80,000	China Longyuan Power Group Corp., Ltd., Class H Shares(c)		67,090
	1,930,000	China Maple Leaf Educational Systems Ltd.		1,445,407
	1,413,000	China Medical System Holdings Ltd.		2,367,768
	69,000	China Mengniu Dairy Co., Ltd.		130,603

See Notes to Financial Statements.

130



Schedules of Investments


(continued)


Emerging Markets Equity Fund

Shares/Units		Security	Value
	China — 19.1% — (continued)
	98,500	China Merchants Bank Co., Ltd., Class H Shares(c)	$	238,754
	149,000	China Minsheng Banking Corp., Ltd., Class H Shares(c)		159,638
	74,000	China National Building Material Co., Ltd., Class H Shares(c)		33,258
	46,000	China Oilfield Services Ltd., Class H Shares(c)		35,839
	66,600	China Pacific Insurance Group Co., Ltd., Class H Shares(c)		233,380
	666,000	China Petroleum & Chemical Corp., Class H Shares(c)		477,145
	50,000	China Railway Construction Corp., Ltd., Class H Shares(c)		61,029
	101,000	China Railway Group Ltd., Class H Shares(c)		74,588
	841,000	China Shenhua Energy Co., Ltd., Class H Shares(c)		1,503,259
	95,000	China Shipping Container Lines Co., Ltd., Class H Shares*(c)		19,782
	46,000	China Southern Airlines Co., Ltd., Class H Shares(c)		27,192
	352,000	China Telecom Corp., Ltd., Class H Shares(c)		181,331
	33,200	China Vanke Co., Ltd., Class H Shares(c)		84,897
	21,700	Chongqing Changan Automobile Co., Ltd., Class B Shares		33,009
	64,000	Chongqing Rural Commercial Bank Co., Ltd., Class H Shares(c)		37,053
	54,500	CITIC Securities Co., Ltd., Class H Shares(c)		121,463
	1,848,442	CNOOC Ltd.		2,238,267
	142,000	Country Garden Holdings Co., Ltd.		72,004
	105,000	CRRC Corp., Ltd., Class H Shares(c)		93,675
	104,000	CSPC Pharmaceutical Group Ltd.		100,948
	8,875	Ctrip.com International Ltd., ADR*		420,231
	68,000	Dongfeng Motor Group Co., Ltd., Class H Shares(c)		72,486
	20,000	ENN Energy Holdings Ltd.		111,933
	65,500	Fosun International Ltd.		90,433
	1,732,000	Fu Shou Yuan International Group Ltd.		1,067,121
	135,000	Geely Automobile Holdings Ltd.		107,922
	34,400	GF Securities Co., Ltd., Class H Shares(c)		74,676
	313,000	GOME Electrical Appliances Holding Ltd.		37,051
	78,500	Great Wall Motor Co., Ltd., Class H Shares(c)		75,921
	52,000	Guangzhou Automobile Group Co., Ltd., Class H Shares(c)		71,429
	24,400	Guangzhou R&F Properties Co., Ltd., Class H Shares(c)		41,202
	16,000	Haitian International Holdings Ltd.		32,205
	77,600	Haitong Securities Co., Ltd., Class H Shares(c)		134,664
	18,500	Hengan International Group Co., Ltd.		156,174
	42,000	Huadian Power International Corp., Ltd., Class H Shares(c)		18,746
	108,000	Huaneng Power International Inc., Class H Shares(c)		65,704
	100,000	Huaneng Renewables Corp., Ltd., Class H Shares(c)		37,051
	36,800	Huatai Securities Co., Ltd., Class H Shares(b)(c)		77,642
	1,899,000	Industrial & Commercial Bank of China Ltd., Class H Shares(c)		1,202,991
	196,028	JD.com Inc., ADR*		4,981,071
	30,000	Jiangsu Expressway Co., Ltd., Class H Shares(c)		42,128
	32,000	Jiangxi Copper Co., Ltd., Class H Shares(c)		36,870
	20,000	Kingsoft Corp., Ltd.		40,838
	27,929	Kweichow Moutai Co., Ltd., Class A Shares		1,294,519
	182,000	Lenovo Group Ltd.		122,305
	37,000	Longfor Properties Co., Ltd.		59,503
	33,500	Luye Pharma Group Ltd.*		21,254
	25,972	NetEase Inc., ADR		5,505,285
	19,500	New China Life Insurance Co., Ltd., Class H Shares(c)		78,915
	3,358	New Oriental Education & Technology Group Inc., ADR		132,574
	176,000	People’s Insurance Co. Group of China Ltd. (The), Class H Shares(c)		70,573
	554,000	PetroChina Co., Ltd., Class H Shares(c)		367,327
	1,584,000	Phoenix Healthcare Group Co., Ltd.		2,768,386
	118,000	PICC Property & Casualty Co., Ltd., Class H Shares(c)		194,392
	131,500	Ping An Insurance Group Co. of China Ltd., Class H Shares(c)		678,044
	898	Qunar Cayman Islands Ltd., ADR*		26,689

See Notes to Financial Statements.

131



Schedules of Investments


(continued)


Emerging Markets Equity Fund

Shares/Units		Security	Value
	China — 19.1% — (continued)
	692,000	Semiconductor Manufacturing International Corp.*	$	75,497
	48,000	Shandong Weigao Group Medical Polymer Co., Ltd., Class H Shares(c)		31,018
	72,000	Shanghai Electric Group Co., Ltd., Class H Shares*(a)(c)		31,936
	10,000	Shanghai Fosun Pharmaceutical Group Co., Ltd., Class H Shares(c)		28,953
	400,000	Shanghai International Airport Co., Ltd., Class A Shares		1,658,340
	23,100	Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd., Class B Shares		38,494
	17,400	Shanghai Pharmaceuticals Holding Co., Ltd., Class H Shares(c)		47,645
	262,000	Shenzhou International Group Holdings Ltd.		1,720,475
	92,000	Shui On Land Ltd.		26,100
	76,000	Sino-Ocean Group Holding Ltd.		35,152
	31,500	Sinopec Engineering Group Co., Ltd., Class H Shares(c)		26,056
	88,000	Sinopec Shanghai Petrochemical Co., Ltd., Class H Shares(c)		45,075
	454,000	Sinopharm Group Co., Ltd., Class H Shares(c)		2,318,140
	51,000	Sinotrans Ltd., Class H Shares(c)		25,244
	52,500	SOHO China Ltd.		31,285
	7,062	SouFun Holdings Ltd., ADR*		31,779
	47,000	Sunac China Holdings Ltd.		32,653
	25,061	TAL Education Group, ADR*		1,497,645
	361,131	Tencent Holdings Ltd.		9,361,325
	50,000	Tingyi Cayman Islands Holding Corp.		46,164
	23,000	TravelSky Technology Ltd., Class H Shares(c)		49,830
	10,000	Tsingtao Brewery Co., Ltd., Class H Shares(c)		33,448
	10,139	Vipshop Holdings Ltd., ADR*		143,568
	145,000	Want Want China Holdings Ltd.		95,342
	1,245,600	Weichai Power Co., Ltd., Class H Shares(c)		1,572,048
	5,032,000	Xinyi Solar Holdings Ltd.*		2,065,256
	46,000	Yanzhou Coal Mining Co., Ltd., Class H Shares(c)		26,193
	724	YY Inc., ADR*		37,250
	36,000	Zhejiang Expressway Co., Ltd., Class H Shares(c)		40,046
	721,000	Zhengzhou Yutong Bus Co., Ltd., Class A Shares		2,329,621
	14,000	Zhuzhou CRRC Times Electric Co., Ltd.		74,266
	146,000	Zijin Mining Group Co., Ltd., Class H Shares(c)		48,514
	19,000	ZTE Corp., Class H Shares(c)		25,666

		Total China		81,558,710

	Colombia — 0.1%
	11,531	Cementos Argos SA		45,778
	2,169	Corp. Financiera Colombiana SA		28,431
	123,625	Ecopetrol SA*		54,902
	7,386	Grupo Argos SA		49,003
	5,939	Grupo de Inversiones Suramericana SA		77,207
	9,779	Interconexion Electrica SA ESP		32,571

		Total Colombia		287,892

	Czech Republic — 0.0%
	4,079	CEZ AS		71,232
	1,924	Komercní Banka AS		65,128
	1,576	O2 Czech Republic AS		14,732

		Total Czech Republic		151,092

	Egypt — 0.7%
	720,598	Commercial International Bank Egypt SAE, Class Registered Shares, GDR		3,030,081

	Georgia — 0.6%
	63,000	BGEO Group PLC		2,381,684

See Notes to Financial Statements.

132



Schedules of Investments


(continued)


Emerging Markets Equity Fund

Shares/Units		Security	Value
	Greece — 0.1%
	34,948	Alpha Bank AE*	$	67,134
	46,981	Eurobank Ergasias SA*		28,066
	847	FF Group*		20,522
	6,204	Hellenic Telecommunications Organization SA		58,875
	2,580	JUMBO SA		31,529
	138,699	National Bank of Greece SA*		32,545
	5,636	OPAP SA		47,314
	165,662	Piraeus Bank SA*		27,015
	1,168	Titan Cement Co. SA		27,110

		Total Greece		340,110

	Hong Kong — 4.5%
	284,000	AIA Group Ltd.		1,789,036
	82,000	Alibaba Health Information Technology Ltd.*		50,939
	290,000	Alibaba Pictures Group Ltd.*		59,725
	13,000	Beijing Enterprises Holdings Ltd.		74,453
	3,684,000	Beijing Enterprises Water Group Ltd.		2,563,420
	76,000	Brilliance China Automotive Holdings Ltd.		86,702
	62,000	China Everbright International Ltd.		79,132
	24,000	China Everbright Ltd.		49,693
	44,000	China Gas Holdings Ltd.		74,660
	94,000	China Jinmao Holdings Group Ltd.		29,265
	32,000	China Merchants Holdings International Co., Ltd.		90,882
	156,000	China Mobile Ltd.		1,920,347
	88,737	China Mobile Ltd., ADR		5,387,223
	100,000	China Overseas Land & Investment Ltd.		329,465
	84,000	China Power International Development Ltd.		31,724
	40,000	China Resources Beer Holdings Co., Ltd.		92,373
	22,000	China Resources Gas Group Ltd.		73,571
	70,000	China Resources Land Ltd.		196,360
	48,000	China Resources Power Holdings Co., Ltd.		82,685
	46,000	China State Construction International Holdings Ltd.		54,776
	40,800	China Taiping Insurance Holdings Co., Ltd.*		81,553
	152,000	China Unicom Hong Kong Ltd.		171,651
	110,000	CITIC Ltd.		173,009
	42,000	COSCO SHIPPING Ports Ltd.		45,399
	50,000	Far East Horizon Ltd.		46,610
	226,000	Galaxy Entertainment Group Ltd.		733,133
	329,000	GCL-Poly Energy Holdings Ltd.		46,416
	72,000	Guangdong Investment Ltd.		111,181
	32,000	Haier Electronics Group Co., Ltd.		53,541
	1,654,431	Huabao International Holdings Ltd.*		636,487
	82,000	Kunlun Energy Co., Ltd.		60,089
	1,870,000	Man Wah Holdings Ltd.		1,268,204
	41,000	Nine Dragons Paper Holdings Ltd.		32,862
	13,000	Shanghai Industrial Holdings Ltd.		33,797
	31,000	Shimao Property Holdings Ltd.		43,101
	112,000	Sino Biopharmaceutical Ltd.		71,717
	60,000	Sun Art Retail Group Ltd.		38,648
	670,500	Techtronic Industries Co., Ltd.		2,711,597

		Total Hong Kong		19,475,426

	Hungary — 1.2%
	928	MOL Hungarian Oil & Gas PLC		57,945
	123,576	OTP Bank PLC		3,230,905
	83,531	Richter Gedeon Nyrt		1,713,836

		Total Hungary		5,002,686

See Notes to Financial Statements.

133



Schedules of Investments


(continued)


Emerging Markets Equity Fund

Shares/Units		Security	Value
	India — 8.0%
	1,137	ACC Ltd.	$	29,065
	20,916	Adani Ports & Special Economic Zone Ltd.		81,927
	17,264	Ambuja Cements Ltd.		72,500
	1,939	Apollo Hospitals Enterprise Ltd.		39,110
	28,672	Ashok Leyland Ltd.		37,272
	7,256	Asian Paints Ltd.		125,658
	6,644	Aurobindo Pharma Ltd.		78,255
	284,159	Axis Bank Ltd.		2,528,453
	86,308	Axis Bank Ltd., Class Registered Shares, GDR		3,888,373
	2,121	Bajaj Auto Ltd.		94,079
	407	Bajaj Finance Ltd.		66,964
	2,647	Bharat Forge Ltd.		33,532
	14,824	Bharat Heavy Electricals Ltd.		30,615
	4,385	Bharat Petroleum Corp., Ltd.		39,249
	25,305	Bharti Airtel Ltd.		125,558
	14,409	Bharti Infratel Ltd.		75,423
	190	Bosch Ltd.		68,676
	323,174	Cadila Healthcare Ltd.		1,852,264
	11,420	Cairn India Ltd.		33,909
	72,855	Cholamandalam Investment and Finance Co., Ltd.		1,260,426
	8,741	Cipla Ltd.*		74,997
	17,538	Coal India Ltd.		87,572
	841	Container Corp. Of India Ltd.		17,593
	13,307	Dabur India Ltd.		57,865
	780,000	Dish TV India Ltd.*		1,146,758
	2,013	Divi’s Laboratories Ltd.		39,610
	2,984	Dr Reddy’s Laboratories Ltd.		136,887
	308	Eicher Motors Ltd.		103,998
	603,000	Fortis Healthcare Ltd.*		1,600,337
	8,018	GAIL India Ltd.		45,759
	256	GlaxoSmithKline Consumer Healthcare Ltd.		23,997
	3,495	Glenmark Pharmaceuticals Ltd.		43,816
	3,003	Godrej Consumer Products Ltd.		68,033
	6,303	Havells India Ltd.		39,397
	14,240	HCL Technologies Ltd.		165,364
	94,000	HDFC Bank Ltd.		1,811,105
	1,260	Hero MotoCorp Ltd.		66,584
	28,229	Hindalco Industries Ltd.		66,758
	16,456	Hindustan Unilever Ltd.		224,750
	39,667	Housing Development Finance Corp., Ltd.		833,442
	27,881	ICICI Bank Ltd.		107,359
	32,040	Idea Cellular Ltd.		44,685
	7,459	Indiabulls Housing Finance Ltd.		90,957
	46,441	Infosys Ltd.		715,715
	85,609	ITC Ltd.		332,834
	2,138	JSW Steel Ltd.		55,780
	7,998	Larsen & Toubro Ltd.		180,223
	135,539	LIC Housing Finance Ltd.		1,154,129
	5,580	Lupin Ltd.		123,483
	7,018	Mahindra & Mahindra Financial Services Ltd.		37,368
	9,418	Mahindra & Mahindra Ltd.		202,289
	11,385	Marico Ltd.		49,550
	2,669	Maruti Suzuki India Ltd.		201,091
	7,974	Motherson Sumi Systems Ltd.		38,164
	584	Nestle India Ltd.		56,593
	41,679	NTPC Ltd.		98,910

See Notes to Financial Statements.

134



Schedules of Investments


(continued)


Emerging Markets Equity Fund

Shares/Units		Security	Value
	India — 8.0% — (continued)
	21,700	Oil & Natural Gas Corp., Ltd.	$	76,634
	38,373	Phoenix Mills Ltd. (The)		227,625
	1,959	Piramal Enterprises Ltd.		53,614
	16,158	Power Finance Corp., Ltd.		29,919
	35,000	Reliance Industries Ltd.		546,964
	211	Shree Cement Ltd.		53,803
	3,722	Shriram Transport Finance Co., Ltd.		68,385
	1,788	Siemens Ltd.		33,720
	39,231	State Bank of India		146,947
	155,000	Strides Shasun Ltd.		2,195,048
	24,404	Sun Pharmaceutical Industries Ltd.		281,311
	23,878	Syngene International Ltd.(b)		168,948
	12,832	Tata Consultancy Services Ltd.		481,269
	39,921	Tata Motors Ltd.		321,577
	9,692	Tata Motors Ltd., Class A Shares		49,614
	28,154	Tata Power Co., Ltd.		33,090
	7,620	Tata Steel Ltd.		41,967
	5,846	Tech Mahindra Ltd.		41,064
	7,849	Titan Co., Ltd.		49,119
	283,000	TVS Motor Co., Ltd.		1,378,366
	896	UltraTech Cement Ltd.		53,843
	1,653	United Spirits Ltd.*		56,946
	8,964	UPL Ltd.		85,228
	144,000	VA Tech Wabag Ltd.		1,224,974
	26,211	Vedanta Ltd.		66,399
	15,561	Wipro Ltd.		113,564
	275,864	Yes Bank Ltd.		5,677,027
	14,516	Zee Entertainment Enterprises Ltd.		117,160

		Total India		34,379,185

	Indonesia — 4.0%
	363,400	Adaro Energy Tbk PT		31,412
	44,800	AKR Corporindo Tbk PT		22,504
	4,630,500	Astra International Tbk PT		2,840,097
	312,500	Bank Central Asia Tbk PT		354,120
	11,823	Bank CIMB Niaga Tbk PT*		744
	84,900	Bank Danamon Indonesia Tbk PT		26,119
	3,712,862	Bank Mandiri Persero Tbk PT		3,142,818
	188,600	Bank Negara Indonesia Persero Tbk PT		83,379
	280,500	Bank Rakyat Indonesia Persero Tbk PT		246,253
	192,800	Bumi Serpong Damai Tbk PT		31,171
	186,200	Charoen Pokphand Indonesia Tbk PT		52,266
	184,100	Global Mediacom Tbk PT		12,355
	12,100	Gudang Garam Tbk PT		58,683
	235,900	Hanjaya Mandala Sampoerna Tbk PT		69,622
	37,200	Indocement Tunggal Prakarsa Tbk PT		49,580
	58,600	Indofood CBP Sukses Makmur Tbk PT		44,031
	110,900	Indofood Sukses Makmur Tbk PT		66,182
	51,500	Jasa Marga Persero Tbk PT		18,843
	531,900	Kalbe Farma Tbk PT		71,894
	2,559,900	Link Net Tbk PT		856,681
	464,800	Lippo Karawaci Tbk PT		38,507
	1,052,178	Matahari Department Store Tbk PT		1,582,130
	125,600	Media Nusantara Citra Tbk PT		18,176
	275,400	Perusahaan Gas Negara Persero Tbk		62,565
	1,684,600	Semen Indonesia Persero Tbk PT		1,255,045

See Notes to Financial Statements.

135



Schedules of Investments


(continued)


Emerging Markets Equity Fund

Shares/Units		Security	Value
	Indonesia — 4.0% — (continued)
	254,000	Summarecon Agung Tbk PT	$	33,424
	147,100	Surya Citra Media Tbk PT		33,557
	1,277,687	Telekomunikasi Indonesia Persero Tbk PT		401,058
	73,025	Telekomunikasi Indonesia Persero Tbk PT, ADR(d)		4,548,727
	60,800	Tower Bersama Infrastructure Tbk PT		25,504
	38,700	Unilever Indonesia Tbk PT		133,076
	512,678	United Tractors Tbk PT		723,371
	119,000	Waskita Karya Persero Tbk PT		24,859
	94,700	XL Axiata Tbk PT*		20,267

		Total Indonesia		16,979,020

	Jordan — 0.4%
	62,000	Hikma Pharmaceuticals PLC		1,746,024

	Kenya — 0.5%
	11,000,000	Safaricom Ltd.		2,198,834

	Macau — 0.0%
	53,400	Wynn Macau Ltd.		74,089

	Malaysia — 1.0%
	31,600	AirAsia Bhd		23,426
	25,600	Alliance Financial Group Bhd		24,825
	46,100	AMMB Holdings Bhd		49,980
	38,800	Astro Malaysia Holdings Bhd		28,256
	67,000	Axiata Group Bhd		90,752
	18,800	Berjaya Sports Toto Bhd		15,553
	107,653	British American Tobacco Malaysia Bhd		1,308,291
	75,500	CIMB Group Holdings Bhd		89,669
	78,500	Dialog Group Bhd		29,760
	88,600	DiGi.Com Bhd		109,815
	32,100	Felda Global Ventures Holdings Bhd		17,963
	42,500	Gamuda Bhd		51,187
	56,600	Genting Bhd		108,855
	74,700	Genting Malaysia Bhd		81,950
	5,900	Genting Plantations Bhd		15,402
	14,100	HAP Seng Consolidated Bhd		27,093
	16,500	Hartalega Holdings Bhd		17,817
	16,600	Hong Leong Bank Bhd		53,438
	5,900	Hong Leong Financial Group Bhd		23,354
	72,200	IHH Healthcare Bhd		116,663
	72,500	IJM Corp. Bhd		61,383
	56,900	IOI Corp. Bhd		62,020
	39,000	IOI Properties Group Bhd		24,268
	10,800	Kuala Lumpur Kepong Bhd		62,787
	8,600	Lafarge Malaysia Bhd		16,995
	86,600	Malayan Banking Bhd		166,994
	18,900	Malaysia Airports Holdings Bhd		29,368
	47,600	Maxis Bhd		73,786
	28,400	MISC Bhd		53,030
	60,500	Petronas Chemicals Group Bhd		99,687
	5,000	Petronas Dagangan Bhd		28,821
	17,400	Petronas Gas Bhd		95,063
	12,000	PPB Group Bhd		47,526
	68,900	Public Bank Bhd		336,628
	20,300	RHB Bank Bhd		25,038
	83,200	SapuraKencana Petroleum Bhd*		32,541
	63,800	Sime Darby Bhd		124,286

See Notes to Financial Statements.

136



Schedules of Investments


(continued)


Emerging Markets Equity Fund

Shares/Units		Security	Value
	Malaysia — 1.0% — (continued)
	28,900	Telekom Malaysia Bhd	$	48,775
	85,500	Tenaga Nasional Bhd		311,467
	11,800	UMW Holdings Bhd		16,167
	25,800	Westports Holdings Bhd		28,333
	109,000	YTL Corp. Bhd		45,231
	52,300	YTL Power International Bhd		19,228

		Total Malaysia		4,093,471

	Malta — 0.0%
	8,548	Brait SE*		67,850

	Mexico — 3.8%
	71,300	Alfa SAB de CV, Class A Shares		116,021
	794,600	América Móvil SAB de CV, Series L		474,521
	196,131	América Móvil SAB de CV, Class L Shares, ADR		2,347,688
	10,600	Arca Continental SAB de CV		66,187
	353,700	Cemex SAB de CV*		293,042
	12,600	Coca-Cola Femsa SAB de CV, Series L		94,059
	545,000	Concentradora Hipotecaria SAPI de CV, REIT		776,708
	4,730	El Puerto de Liverpool SAB de CV, Class C1 Shares		51,543
	64,800	Fibra Uno Administracion SA de CV, REIT		125,431
	46,400	Fomento Economico Mexicano SAB de CV		425,187
	19,540	Fomento Económico Mexicano SAB de CV, ADR		1,788,887
	24,800	Gentera SAB de CV		48,466
	5,475	Gruma SAB de CV, Class B Shares		72,792
	9,086	Grupo Aeroportuario del Pacifico SAB de CV, Class B Shares		90,353
	5,255	Grupo Aeroportuario del Sureste SAB de CV, Class B Shares		80,031
	41,400	Grupo Bimbo SAB de CV, Series A		117,915
	14,300	Grupo Carso SAB de CV, Series A1		58,325
	8,600	Grupo Comercial Chedraui SA de CV		20,987
	63,100	Grupo Financiero Banorte SAB de CV, Class O Shares		340,079
	59,000	Grupo Financiero Inbursa SA, Class O Shares		102,909
	4,266	Grupo Financiero Santander Mexico SAB de CV, Class B Shares, ADR		40,826
	46,200	Grupo Financiero Santander Mexico SAB de CV, Class B Shares		88,297
	15,700	Grupo Lala SAB de CV, Class B Shares		32,894
	776,035	Grupo México SAB de CV, Series B		1,940,397
	61,700	Grupo Televisa SAB		336,668
	3,515	Industrias Peñoles SAB de CV		81,287
	742,800	Kimberly-Clark de México SAB de CV, Class A Shares		1,776,716
	26,500	Mexichem SAB de CV		61,216
	19,800	OHL Mexico SAB de CV*		27,965
	970,000	PLA Administradora Industrial S de RL de CV, REIT*		1,620,191
	6,730	Promotora y Operadora de Infraestructura SAB de CV		80,706
	530,000	Qualitas Controladora SAB de CV		789,434
	625,000	Unifin Financiera SAB de CV SOFOM ENR		1,809,027
	132,771	Wal-Mart de Mexico SAB de CV		303,315

		Total Mexico		16,480,070

	Netherlands — 0.1%
	73,421	Steinhoff International Holdings NV		441,034

	Pakistan — 0.9%
	637,900	Habib Bank Ltd.		1,321,631
	633,162	Oil & Gas Development Co., Ltd.		852,096
	947,416	Pakistan Petroleum Ltd.		1,477,104

		Total Pakistan		3,650,831

See Notes to Financial Statements.

137



Schedules of Investments


(continued)


Emerging Markets Equity Fund

Shares/Units		Security	Value
	Peru — 1.1%
	4,824	Cia de Minas Buenaventura SAA, ADR*	$	59,625
	28,050	Credicorp Ltd.		4,394,874
	2,150	Southern Copper Corp.		55,513

		Total Peru		4,510,012

	Philippines — 1.5%
	49,060	Aboitiz Equity Ventures Inc.		78,815
	37,300	Aboitiz Power Corp.		35,904
	52,800	Alliance Global Group Inc.		18,432
	6,250	Ayala Corp.		117,205
	185,100	Ayala Land Inc.		152,833
	18,090	Bank of the Philippine Islands		40,906
	41,600	BDO Unibank Inc.		101,875
	101,900	DMCI Holdings Inc.		25,105
	238,200	Energy Development Corp.		29,226
	845	Globe Telecom Inc.		35,692
	1,980	GT Capital Holdings Inc.		65,171
	12,950	International Container Terminal Services Inc.		23,293
	72,360	JG Summit Holdings Inc.		120,780
	10,760	Jollibee Foods Corp.		56,499
	284,600	Megaworld Corp.		28,726
	331,200	Metro Pacific Investments Corp.		49,114
	16,230	Metropolitan Bank & Trust Co.		29,039
	48,776	PLDT Inc., ADR(d)		1,881,778
	2,465	PLDT Inc.		96,148
	41,400	Robinsons Land Corp.		28,293
	1,695,000	Robinsons Retail Holdings Inc.		3,052,504
	5,740	Security Bank Corp.		26,260
	6,080	SM Investments Corp.		88,541
	208,700	SM Prime Holdings Inc.		133,408
	22,070	Universal Robina Corp.		88,427

		Total Philippines		6,403,974

	Poland — 0.3%
	2,267	Alior Bank SA*		30,953
	839	Bank Handlowy w Warszawie SA		15,649
	15,277	Bank Millennium SA*		22,666
	3,992	Bank Pekao SA		134,381
	873	Bank Zachodni WBK SA		71,825
	673	CCC SA		31,386
	4,756	Cyfrowy Polsat SA*		29,979
	5,619	Enea SA*		14,196
	6,104	Energa SA		12,672
	1,916	Eurocash SA		21,110
	1,123	Grupa Azoty SA		18,452
	2,342	Grupa Lotos SA*		17,440
	3,524	KGHM Polska Miedz SA		66,162
	32	LPP SA		36,879
	371	mBank SA*		37,058
	16,889	Orange Polska SA		23,277
	21,259	PGE Polska Grupa Energetyczna SA		62,906
	8,104	Polski Koncern Naftowy ORLEN SA		135,117
	44,416	Polskie Gornictwo Naftowe i Gazownictwo SA		60,675
	22,047	Powszechna Kasa Oszczednosci Bank Polski SA*		150,233
	14,150	Powszechny Zaklad Ubezpieczen SA		100,280
	14,745	Synthos SA*		14,656

See Notes to Financial Statements.

138



Schedules of Investments


(continued)


Emerging Markets Equity Fund

Shares/Units		Security	Value
	Poland — 0.3% — (continued)
	26,657	Tauron Polska Energia SA*	$	18,985

		Total Poland		1,126,937

	Qatar — 0.2%
	2,726	Barwa Real Estate Co.		27,325
	4,362	Commercial Bank QSC (The)		50,314
	20,281	Ezdan Holding Group QSC		104,667
	3,938	Industries Qatar QSC		120,973
	9,762	Masraf Al Rayan QSC		101,875
	2,090	Ooredoo QSC		58,943
	737	Qatar Electricity & Water Co. QSC		43,702
	7,216	Qatar Gas Transport Co., Ltd.		49,538
	3,073	Qatar Insurance Co. SAQ		73,157
	1,581	Qatar Islamic Bank SAQ		48,107
	5,413	Qatar National Bank SAQ		242,248
	9,071	Vodafone Qatar QSC*		29,645

		Total Qatar		950,494

	Romania — 0.0%
	6,036	New Europe Property Investments PLC		67,127

	Russia — 5.2%
	1,141,826	Alrosa PJSC		1,315,303
	312,146	Gazprom PJSC*		644,409
	562,499	Gazprom PJSC, ADR		2,277,017
	10,749	Lukoil PJSC		479,004
	66,380	Lukoil PJSC, ADR		2,979,418
	14,400	Magnit PJSC		2,260,608
	45,814	Magnit PJSC, Class Registered Shares, GDR		1,808,212
	2,368	MegaFon PJSC, Class Registered Shares, GDR		24,056
	1,399	MMC Norilsk Nickel PJSC		204,836
	320,409	Mobile TeleSystems PJSC, ADR(d)		2,604,925
	34,460	Moscow Exchange MICEX-RTS PJSC		66,987
	2,301	Novatek OJSC, Class Registered Shares, GDR		248,248
	2,462	PhosAgro PJSC, Class Registered Shares, GDR		33,007
	29,370	Rosneft PJSC		154,873
	23,120	Rostelecom PJSC		29,066
	2,938,000	RusHydro PJSC		35,794
	2,599,191	Sberbank of Russia PJSC		5,705,858
	5,290	Severstal PJSC		60,856
	4,280	Sistema PJSC FC, Class Registered Shares, GDR		36,313
	181,300	Surgutneftegas OJSC		86,506
	1	T PLUS PJSC*		1
	39,238	Tatneft PJSC		190,732
	131,070,000	VTB Bank PJSC		137,361
	31,000	Yandex NV, Class A Shares*		683,240

		Total Russia		22,066,630

	South Africa — 6.9%
	1,362	Anglo American Platinum Ltd.*		36,662
	10,268	AngloGold Ashanti Ltd.*		167,167
	8,644	Aspen Pharmacare Holdings Ltd.*		207,038
	10,729	Barclays Africa Group Ltd.		108,858
	73,831	Bid Corp., Ltd.*		1,358,913
	77,399	Bidvest Group Ltd. (The)		801,008
	1,019	Capitec Bank Holdings Ltd.		40,429
	5,703	Coronation Fund Managers Ltd.		27,057

See Notes to Financial Statements.

139



Schedules of Investments


(continued)


Emerging Markets Equity Fund

Shares/Units		Security	Value
	South Africa — 6.9% — (continued)
	8,972	Discovery Ltd.	$	73,223
	3,612	Exxaro Resources Ltd.		18,473
	90,163	FirstRand Ltd.		270,727
	24,223	Fortress Income Fund Ltd., Class A Shares		27,090
	19,183	Fortress Income Fund Ltd.		44,488
	5,307	Foschini Group Ltd. (The)		47,242
	19,690	Gold Fields Ltd.		99,604
	51,801	Growthpoint Properties Ltd., REIT		89,647
	6,123	Hyprop Investments Ltd., REIT		53,546
	15,793	Impala Platinum Holdings Ltd.*		60,694
	149,445	Imperial Holdings Ltd.		1,605,155
	6,258	Investec Ltd.		36,606
	2,924	Liberty Holdings Ltd.		22,429
	1,011,492	Life Healthcare Group Holdings Ltd.		2,649,624
	2,726	Massmart Holdings Ltd.		23,998
	26,001	MMI Holdings Ltd.		39,911
	2,995	Mondi Ltd.		60,540
	6,081	Mr Price Group Ltd.		76,381
	43,659	MTN Group Ltd.		357,034
	43,195	Naspers Ltd., Class N Shares		7,072,939
	95,083	Nedbank Group Ltd.		1,337,864
	24,015	Netcare Ltd.		53,715
	6,133	Pick n Pay Stores Ltd.		30,626
	3,220	Pioneer Foods Group Ltd.		37,253
	611,491	PPC Ltd.(d)		247,188
	2,310	PSG Group Ltd.		29,537
	16,688	Rand Merchant Investment Holdings Ltd.		47,489
	110,364	Redefine Properties Ltd., REIT		82,765
	12,196	Remgro Ltd.		208,988
	7,284	Resilient REIT Ltd.		58,443
	50,000	Rhodes Food Group Pty Ltd.		90,048
	17,802	RMB Holdings Ltd.		71,174
	347,282	Sanlam Ltd.		1,477,323
	13,685	Sappi Ltd.*		67,495
	14,553	Sasol Ltd.		366,084
	224,040	Shoprite Holdings Ltd.		2,875,348
	18,532	Sibanye Gold Ltd.		71,736
	114,673	Spar Group Ltd. (The)		1,492,492
	170,303	Standard Bank Group Ltd.		1,545,546
	6,698	Telkom SA SOC Ltd.		27,717
	4,122	Tiger Brands Ltd.		107,050
	600,000	Transaction Capital Ltd.		454,878
	11,189	Truworths International Ltd.		57,975
	9,195	Tsogo Sun Holdings Ltd.		18,963
	150,565	Vodacom Group Ltd.		1,566,669
	290,163	Woolworths Holdings Ltd.		1,593,480

		Total South Africa		29,494,329

	South Korea — 10.8%
	815	Amorepacific Corp.		281,570
	706	AMOREPACIFIC Group		91,693
	251	BGF retail Co., Ltd.		45,528
	6,659	BNK Financial Group Inc.		52,741
	1,902	Celltrion Inc.*		181,915
	1,752	Cheil Worldwide, Inc.		24,876
	200	CJ CheilJedang Corp.		69,461

See Notes to Financial Statements.

140



Schedules of Investments


(continued)


Emerging Markets Equity Fund

Shares/Units		Security	Value
	South Korea — 10.8% — (continued)
	369	CJ Corp.	$	62,764
	479	CJ E&M Corp.		29,842
	174	CJ Korea Express Corp.*		31,202
	47,109	Coway Co., Ltd.		3,518,044
	706	Daelim Industrial Co., Ltd.		51,198
	3,187	Daewoo Engineering & Construction Co., Ltd.*		17,352
	4,444	DGB Financial Group Inc.		36,216
	1,253	Dongbu Insurance Co., Ltd.		75,398
	890	Dongsuh Cos., Inc.		24,602
	1,210	Doosan Heavy Industries & Construction Co., Ltd.		29,915
	497	E-MART Inc.		69,871
	1,257	GS Engineering & Construction Corp.*		32,293
	1,305	GS Holdings Corp.		57,392
	684	GS Retail Co., Ltd.		28,877
	7,502	Hana Financial Group Inc.		196,831
	1,885	Hankook Tire Co., Ltd.		94,281
	132	Hanmi Pharm Co., Ltd.		70,141
	294	Hanmi Science Co., Ltd.		35,249
	4,728	Hanon Systems		49,469
	268	Hanssem Co., Ltd.		35,301
	2,668	Hanwha Chemical Corp.		61,171
	1,147	Hanwha Corp.		37,635
	293,755	Hanwha Life Insurance Co., Ltd.		1,485,807
	844	Hotel Shilla Co., Ltd.		51,278
	534	Hyosung Corp.		63,112
	389	Hyundai Department Store Co., Ltd.		43,663
	1,430	Hyundai Development Co- Engineering & Construction		59,717
	1,836	Hyundai Engineering & Construction Co., Ltd.		63,376
	476	Hyundai Glovis Co., Ltd.		78,193
	1,058	Hyundai Heavy Industries Co., Ltd.*		130,256
	1,582	Hyundai Marine & Fire Insurance Co., Ltd.		47,863
	14,676	Hyundai Mobis Co., Ltd.		3,405,682
	3,878	Hyundai Motor Co.		462,335
	2,041	Hyundai Steel Co.		93,565
	416	Hyundai Wia Corp.		33,885
	6,416	Industrials Bank of Korea		67,598
	760	Kakao Corp.		55,388
	2,983	Kangwon Land Inc.		105,075
	83,061	KB Financial Group Inc.		2,890,887
	148	KCC Corp.		54,306
	571	KEPCO Plant Service & Engineering Co., Ltd.		32,920
	6,677	Kia Motors Corp.		250,701
	1,483	Korea Aerospace Industries Ltd.		112,492
	6,493	Korea Electric Power Corp.		337,133
	714	Korea Gas Corp.		27,027
	993	Korea Investment Holdings Co., Ltd.		35,592
	216	Korea Zinc Co., Ltd.		92,536
	930	Korean Air Lines Co., Ltd.*		26,302
	15,260	KT&G Corp.		1,599,140
	465	Kumho Petrochemical Co., Ltd.		28,689
	1,173	LG Chem Ltd.		283,991
	2,407	LG Corp.		141,037
	5,884	LG Display Co., Ltd.		157,989
	2,689	LG Electronics Inc.		124,124
	2,704	LG Household & Health Care Ltd.		2,301,441
	360	LG Innotek Co., Ltd.		26,589

See Notes to Financial Statements.

141



Schedules of Investments


(continued)


Emerging Markets Equity Fund

Shares/Units		Security	Value
	South Korea — 10.8% — (continued)
	5,455	LG Uplus Corp.	$	56,878
	390	Lotte Chemical Corp.		93,392
	16	Lotte Chilsung Beverage Co., Ltd.		21,497
	145	Lotte Confectionery Co., Ltd.		22,004
	280	Lotte Shopping Co., Ltd.		50,702
	4,565	Mirae Asset Daewoo Co., Ltd.		32,557
	1,882	Mirae Asset Securities Co., Ltd.		39,636
	2,898	NAVER Corp.		2,192,471
	443	NCSoft Corp.		107,026
	3,589	NH Investment & Securities Co., Ltd.		32,515
	423	OCI Co., Ltd.*		33,080
	91	Orion Corp.		60,556
	31	Ottogi Corp.		19,418
	1,156	Paradise Co., Ltd.		17,359
	1,764	POSCO		364,034
	1,157	Posco Daewoo Corp.		23,677
	482	S-1 Corp.		44,474
	1,919	Samsung C&T Corp.		260,399
	884	Samsung Card Co., Ltd.		34,971
	1,420	Samsung Electro-Mechanics Co., Ltd.		67,655
	8,538	Samsung Electronics Co., Ltd.		12,378,530
	841	Samsung Fire & Marine Insurance Co., Ltd.		202,330
	3,810	Samsung Heavy Industries Co., Ltd.*		33,013
	1,775	Samsung Life Insurance Co., Ltd.		163,222
	1,391	Samsung SDI Co., Ltd.		143,633
	880	Samsung SDS Co., Ltd.		125,592
	1,462	Samsung Securities Co., Ltd.		45,964
	111,391	Shinhan Financial Group Co., Ltd.		4,080,172
	188	Shinsegae Inc. .		34,289
	1,158	SK Holdings Co., Ltd.		219,029
	108,271	SK Hynix Inc.		3,540,098
	1,637	SK Innovation Co., Ltd.		212,275
	3,204	SK Networks Co., Ltd.		18,163
	514	SK Telecom Co., Ltd.		100,351
	1,140	S-Oil Corp.		71,948
	18,250	Soulbrain Co., Ltd.		1,011,025
	7,823	Woori Bank		74,353
	197	Yuhan Corp.		50,683

		Total South Korea		46,241,488

	Spain — 0.6%
	142,000	CIE Automotive SA		2,700,651

	Switzerland — 0.7%
	39,600	Luxoft Holding Inc., Class A Shares*		2,031,876
	49,800	Wizz Air Holdings PLC*(b)		1,046,862

		Total Switzerland		3,078,738

	Taiwan — 8.0%
	74,000	Acer Inc.*		33,129
	2,064,090	Advanced Semiconductor Engineering Inc.		2,537,529
	8,000	Advantech Co., Ltd.		65,020
	208,300	Aerospace Industrial Development Corp.		293,246
	60,000	Asia Cement Corp.		53,522
	54,000	Asia Pacific Telecom Co., Ltd.*		18,176
	18,000	Asustek Computer Inc.		151,298
	219,000	AU Optronics Corp.		85,542

See Notes to Financial Statements.

142



Schedules of Investments


(continued)


Emerging Markets Equity Fund

Shares/Units		Security	Value
	Taiwan — 8.0% — (continued)
	372,000	Basso Industry Corp.	$	1,316,362
	4,000	Casetek Holdings Ltd.		14,008
	17,000	Catcher Technology Co., Ltd.		121,831
	206,000	Cathay Financial Holding Co., Ltd.		260,371
	26,000	Chailease Holding Co., Ltd.		44,850
	125,080	Chang Hwa Commercial Bank Ltd.		62,808
	49,000	Cheng Shin Rubber Industry Co., Ltd.		103,930
	13,000	Chicony Electronics Co., Ltd.		32,113
	67,000	China Airlines Ltd.		19,420
	345,000	China Development Financial Holding Corp.		87,060
	88,000	China Life Insurance Co., Ltd.		77,891
	298,000	China Steel Corp.		206,641
	96,000	Chunghwa Telecom Co., Ltd.		344,796
	108,000	Compal Electronics Inc.		63,857
	411,000	CTBC Financial Holding Co., Ltd.		237,731
	49,000	Delta Electronics Inc.		254,130
	199,000	E.Sun Financial Holding Co., Ltd.		111,971
	5,000	Eclat Textile Co., Ltd.		62,773
	51,450	Eva Airways Corp.		23,747
	44,000	Evergreen Marine Corp. Taiwan Ltd.*		16,611
	82,000	Far Eastern New Century Corp.		60,449
	41,000	Far EasTone Telecommunications Co., Ltd.		95,166
	8,000	Feng TAY Enterprise Co., Ltd.		37,977
	243,485	First Financial Holding Co., Ltd.		124,946
	81,000	Formosa Chemicals & Fibre Corp.		210,388
	29,000	Formosa Petrochemical Corp.		84,685
	104,000	Formosa Plastics Corp.		256,612
	20,000	Formosa Taffeta Co., Ltd.		19,320
	23,000	Foxconn Technology Co., Ltd.*		64,399
	168,000	Fubon Financial Holding Co., Ltd.		237,231
	7,000	Giant Manufacturing Co., Ltd.		44,798
	1,000	Hermes Microvision Inc.		42,869
	21,000	Highwealth Construction Corp.		32,569
	5,100	Hiwin Technologies Corp.		26,309
	1,070,750	Hon Hai Precision Industry Co., Ltd.		2,970,018
	6,000	Hotai Motor Co., Ltd.		66,184
	17,000	HTC Corp.*		45,442
	186,912	Hua Nan Financial Holdings Co., Ltd.		96,210
	227,000	Innolux Corp.		80,087
	66,000	Inotera Memories Inc.*		55,756
	63,000	Inventec Corp.		46,776
	13,541	Largan Precision Co., Ltd.		1,513,219
	53,264	Lite-On Technology Corp.		80,452
	38,000	MediaTek Inc.		297,776
	275,000	Mega Financial Holding Co., Ltd.		186,974
	5,000	Merida Industry Co., Ltd.		20,250
	120,000	Nan Ya Plastics Corp.		228,733
	17,000	Nanya Technology Corp.		20,104
	4,000	Nien Made Enterprise Co., Ltd.		45,307
	15,000	Novatek Microelectronics Corp.		51,313
	4,000	OBI Pharma Inc.*		50,048
	49,000	Pegatron Corp.		117,195
	4,000	Phison Electronics Corp.		28,928
	56,000	Pou Chen Corp.		81,011
	17,000	Powertech Technology Inc.		44,068
	136,000	Poya International Co., Ltd.		2,033,542

See Notes to Financial Statements.

143



Schedules of Investments


(continued)


Emerging Markets Equity Fund

Shares/Units		Security	Value
	Taiwan — 8.0% — (continued)
	14,539	President Chain Store Corp.	$	115,167
	68,000	Quanta Computer Inc.		125,672
	11,000	Realtek Semiconductor Corp.		44,019
	21,000	Ruentex Development Co., Ltd.*		24,593
	14,000	Ruentex Industries Ltd.		21,696
	209,000	Shin Kong Financial Holding Co., Ltd.*		45,781
	55,000	Siliconware Precision Industries Co., Ltd.		82,024
	7,000	Simplo Technology Co., Ltd.		22,962
	258,300	SinoPac Financial Holdings Co., Ltd.		75,549
	9,990	Standard Foods Corp.		24,619
	35,700	Synnex Technology International Corp.		37,701
	4,000	TaiMed Biologics Inc.*		24,721
	217,689	Taishin Financial Holding Co., Ltd.		82,220
	97,000	Taiwan Business Bank*		25,899
	84,000	Taiwan Cement Corp.		95,287
	195,810	Taiwan Cooperative Financial Holding Co., Ltd.		86,008
	19,000	Taiwan Fertilizer Co., Ltd.		25,067
	42,000	Taiwan Mobile Co., Ltd.		147,402
	2,903,132	Taiwan Semiconductor Manufacturing Co., Ltd.		16,147,392
	48,000	Teco Electric and Machinery Co., Ltd.		40,305
	6,000	Transcend Information Inc.		17,304
	122,000	Uni-President Enterprises Corp.		230,217
	307,000	United Microelectronics Corp.		111,228
	23,000	Vanguard International Semiconductor Corp.		43,025
	62,824	Wistron Corp.		46,098
	38,000	WPG Holdings Ltd.		45,150
	243,000	Yuanta Financial Holding Co., Ltd.		86,168
	22,000	Yulon Motor Co., Ltd.		19,030
	10,000	Zhen Ding Technology Holding Ltd.		19,997

		Total Taiwan		34,109,775

	Thailand — 2.3%
	26,300	Advanced Info Service PCL, NVDR		125,406
	10,800	Airports of Thailand PCL, NVDR		125,249
	6,400	Bangkok Bank PCL, Class Registered Shares		31,266
	97,700	Bangkok Dusit Medical Services PCL, NVDR		66,296
	173,300	Bangkok Expressway & Metro PCL, NVDR		38,464
	39,300	Banpu PCL, NVDR		17,774
	24,800	BEC World PCL, NVDR		16,044
	149,400	BTS Group Holdings PCL, NVDR		39,017
	9,000	Bumrungrad Hospital PCL, NVDR		44,123
	33,700	Central Pattana PCL, NVDR		58,525
	68,400	Charoen Pokphand Foods PCL, NVDR		64,206
	2,259,700	CP ALL PCL, NVDR		4,057,693
	12,600	Delta Electronics Thailand PCL, NVDR		26,930
	3,400	Electricity Generating PCL, NVDR		19,394
	28,000	Energy Absolute PCL, NVDR		20,397
	13,000	Glow Energy PCL, NVDR		29,984
	99,300	Home Product Center PCL, NVDR		31,197
	36,400	Indorama Ventures PCL, NVDR		33,528
	254,400	IRPC PCL, NVDR		35,485
	237,300	Kasikornbank PCL		1,352,726
	89,600	Krung Thai Bank PCL, NVDR		49,098
	54,200	Minor International PCL, NVDR		64,334
	374,464	PTT Exploration & Production PCL		878,579
	35,200	PTT Exploration & Production PCL, NVDR		81,944

See Notes to Financial Statements.

144



Schedules of Investments


(continued)


Emerging Markets Equity Fund

Shares/Units		Security	Value
	Thailand — 2.3% — (continued)
	52,500	PTT Global Chemical PCL, NVDR	$	92,072
	25,300	PTT PCL, NVDR		253,670
	12,600	Robinson Department Store PCL, NVDR		23,174
	106,300	Siam Cement PCL (The), Class Registered Shares		1,625,200
	2,800	Siam Cement PCL, NVDR		42,858
	39,500	Siam Commercial Bank PCL (The), NVDR		181,988
	20,700	Thai Oil PCL, NVDR		42,216
	48,400	Thai Union Group PCL, NVDR		29,992
	338,600	TMB Bank PCL, NVDR		22,063
	253,200	True Corp. PCL, NVDR		59,158

		Total Thailand		9,680,050

	Turkey — 3.2%
	785,872	Akbank TAS		2,078,978
	5,229	Anadolu Efes Biracilik Ve Malt Sanayii AS		32,445
	5,951	Arcelik AS		42,561
	117,000	AvivaSA Emeklilik ve Hayat AS		751,791
	5,364	BIM Birlesik Magazalar AS		91,968
	1,916	Coca-Cola Icecek AS		23,944
	47,768	Emlak Konut Gayrimenkul Yatirim Ortakligi AS, REIT		47,021
	35,358	Eregli Demir ve Celik Fabrikalari TAS		53,176
	1,752	Ford Otomotiv Sanayi AS		19,012
	23,168	Haci Ömer Sabanci Holding AS		71,100
	392,716	KOC Holding AS		1,705,851
	16,988	Petkim Petrokimya Holding AS		26,262
	4,165	TAV Havalimanlari Holding AS		16,118
	172,122	Tofas Turk Otomobil Fabrikasi AS		1,266,443
	60,139	Tüpras Türkiye Petrol Rafinerileri AS		1,176,363
	14,117	Turk Hava Yollari AO*		24,466
	228,048	Türk Telekomunikasyon AS		458,330
	517,861	Turkcell Iletisim Hizmetleri AS		1,739,293
	58,362	Türkiye Garanti Bankasi AS		150,487
	16,010	Türkiye Halk Bankasi AS		48,099
	872,679	Türkiye Is Bankasi, Class C Shares		1,419,935
	5,600,000	Turkiye Sinai Kalkinma Bankasi AS		2,561,499
	18,216	Türkiye Sise ve Cam Fabrikalari AS		21,054
	19,105	Türkiye Vakiflar Bankasi TAO, Class D Shares		28,106
	3,889	Ulker Biskuvi Sanayi AS		27,261
	22,103	Yapi ve Kredi Bankasi AS*		27,021

		Total Turkey		13,908,584

	United Arab Emirates — 0.2%
	49,559	Abu Dhabi Commercial Bank PJSC		86,627
	79,701	Aldar Properties PJSC		59,894
	57,148	Arabtec Holding PJSC*		22,722
	4,206	DP World Ltd.		77,814
	50,379	Dubai Financial Market PJSC		18,315
	31,535	Dubai Islamic Bank PJSC		46,880
	49,119	Emaar Malls Group PJSC		36,878
	88,548	Emaar Properties PJSC		171,183
	44,012	Emirates Telecommunications Group Co. PJSC		236,415
	22,832	First Gulf Bank PJSC		72,836
	17,176	National Bank of Abu Dhabi PJSC		42,657

		Total United Arab Emirates		872,221

See Notes to Financial Statements.

145



Schedules of Investments


(continued)


Emerging Markets Equity Fund

Shares/Units		Security	Value
	United Kingdom — 0.2%
	275,000	International Personal Finance PLC	$	981,286

		TOTAL COMMON STOCKS (Cost — $372,599,769)		404,391,805

	PREFERRED STOCKS — 2.2%
	Brazil — 1.0%
	70,200	Banco Bradesco SA, Class Preferred Shares		631,651
	3,900	Braskem SA, Class Preferred A Shares		29,114
	5,700	Centrais Eletricas Brasileiras SA, Class Preferred B Shares*		50,300
	4,000	Cia Brasileira de Distribuicao, Class Preferred Shares		62,372
	19,100	Cia Energetica de Minas Gerais, Class Preferred Shares		51,747
	4,800	Cia Energetica de Sao Paulo, Class Preferred B Shares		20,049
	2,600	Cia Paranaense de Energia, Class Preferred B Shares		26,534
	23,200	Gerdau SA, Class Preferred Shares		65,226
	191,900	Itaú Unibanco Holding SA, Class Preferred Shares		2,130,143
	98,500	Itausa — Investimentos Itau SA, Class Preferred Shares		262,288
	14,800	Lojas Americanas SA, Class Preferred Shares		88,122
	104,812	Petroleo Brasileiro SA, Class Preferred Shares*		417,022
	10,200	Suzano Papel e Celulose SA, Class Preferred A Shares		32,214
	11,300	Telefonica Brasil SA, Class Preferred Shares		170,358
	48,700	Vale SA, Class Preferred Shares		218,194

		Total Brazil		4,255,334

	Chile — 0.0%
	6,556	Embotelladora Andina SA, Class Preferred B Shares		23,477
	2,428	Sociedad Quimica y Minera de Chile SA, Class Preferred B Shares		61,773

		Total Chile		85,250

	Colombia — 0.4%
	163,000	Banco Davivienda SA, Class Preferred Shares		1,600,222
	11,482	Bancolombia SA, Class Preferred Shares		112,413
	88,943	Grupo Aval Acciones y Valores SA, Class Preferred Shares		37,405
	2,555	Grupo de Inversiones Suramericana SA, Class Preferred Shares		32,837

		Total Colombia		1,782,877

	Russia — 0.0%
	175,600	Surgutneftegaz OJSC, Class Preferred Shares		87,950
	39	Transneft PJSC, Class Preferred Shares		92,416

		Total Russia		180,366

	South Korea — 0.8%
	226	Amorepacific Corp., Class Preferred Shares		44,607
	1,530	Hyundai Motor Co., Class Preferred Shares		135,354
	194	LG Chem, Ltd., Class Preferred Shares		31,277
	52	LG Household & Health Care Ltd., Class Preferred Shares		26,514
	2,499	Samsung Electronics Co., Ltd., Class Preferred Shares		2,960,462

		Total South Korea		3,198,214

		TOTAL PREFERRED STOCKS (Cost — $8,974,027)		9,502,041

	RIGHTS — 0.0%
	Brazil — 0.0%
	150	AES Tiete Energia SA*		192

	South Africa — 0.0%
	978,782	PPC Ltd.*		131,765

See Notes to Financial Statements.

146



Schedules of Investments


(continued)


Emerging Markets Equity Fund

Shares/Units			Security	Value
	South Korea — 0.0%
	296		Hanwha Corp.*(a)	$	—

			TOTAL RIGHTS (Cost — $536,386)		131,957

			TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $382,110,182)		414,025,803


Face Amount†
	SHORT-TERM INVESTMENTS (e) — 4.1%
	MONEY MARKET FUND — 0.9%
$	3,683,541		Invesco STIT — Government & Agency Portfolio(f) (Cost — $3,683,541)		3,683,541

	TIME DEPOSITS — 3.2%
	1,768,875		ANZ National Bank — London, 0.150% due 9/1/16		1,768,875
			BBH — Grand Cayman:
	62,384	^HKD	0.005% due 9/1/16		8,042
	18	^GBP	0.050% due 9/1/16		23
	8	^ZAR	6.440% due 9/1/16		1
			BNP Paribas — Paris:
	28,023	^EUR	(0.540)% due 9/1/16		31,262
	5,874,991		0.150% due 9/1/16		5,874,991
	726,206		Citibank N.A. — Puerto Rico, 0.150% due 9/1/16		726,206
	1,163,569	^HKD	HSBC Bank — Hong Kong, 0.005% due 9/1/16		149,992
	52,336	^SGD	HSBC Bank — Singapore, 0.010% due 9/1/16		38,413
	1,049,462	^ZAR	HSBC Bank PLC — London, 6.440% due 9/1/16		71,354
	4,984,804		Skandinaviska Enskilda Banken AB — Stockholm, 0.150% due 9/1/16		4,984,804

			TOTAL TIME DEPOSITS (Cost — $13,653,963)		13,653,963

			TOTAL SHORT-TERM INVESTMENTS (Cost — $17,337,504)		17,337,504

			TOTAL INVESTMENTS — 100.8% (Cost — $399,447,686#)		431,363,307

			Liabilities in Excess of Other Assets — (0.8)%		(3,309,431	)

			TOTAL NET ASSETS — 100.0%	$	428,053,876

†	Amount denominated in U.S. dollars, unless otherwise noted

*	Non-income producing security.

(a)	Security is valued in good faith at fair value by or under the direction of the Board of Trustees.

(b)	Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.

(c)	Security trades on the Hong Kong exchange.

(d)	All or a portion of this security is on loan (See Note 1).

(e)	Inclusive of all short term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 3.2%

(f)	Represents investment of collateral received from securities lending transactions.

#	Aggregate cost for federal income tax purposes is $411,633,468.

See Notes to Financial Statements.

147



Schedules of Investments


(continued)


Emerging Markets Equity Fund


Abbreviations used in this schedule:
ADR		— American Depositary Receipts
GDR		— Global Depositary Receipt
NVDR		— Non Voting Depository Receipt
PCL		— Public Company Limited
PLC		— Public Limited Company
REIT		— Real Estate Investment Trust


Summary of Investments by Security Sector^
Financials	26.1	%
Information Technology	20.4
Consumer Discretionary	13.5
Consumer Staples	8.7
Telecommunication Services	6.9
Energy	5.3
Industrials	5.1
Health Care	5.1
Materials	3.3
Utilities	1.6
Short-Term Investments	4.0

	100.0	%

^	As a percentage of total investments.

At August 31, 2016, Emerging Markets Equity Fund had open exchange traded futures contracts as described below.

The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:


Open Futures Contracts	Number of Contracts		Expiration Date (Month/Year)		Market Value		Unrealized (Depreciation)
Contracts to Buy:
E-mini MSCI Emerging Markets Index September Futures		20		9/16	$	887,900	$	(12,626	)


Currency Abbreviations used in this schedule:
EUR		— Euro
GBP		— British Pound
HKD		— Hong Kong Dollar
SGD		— Singapore Dollar
ZAR		— South African Rand

See Notes to Financial Statements.

148



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	CORPORATE BONDS & NOTES — 27.6%
	Aerospace & Defense — 0.3%
$	35,000	BBB+	BAE Systems Holdings Inc., Company Guaranteed Notes, 3.850% due 12/15/25(a)	$	37,381
	30,000	A+	General Dynamics Corp., Company Guaranteed Notes, 2.125% due 8/15/26		29,689
			Harris Corp., Senior Unsecured Notes:
	120,000	BBB-	4.854% due 4/27/35		134,647
	148,000	BBB-	5.054% due 4/27/45		173,678
			Lockheed Martin Corp., Senior Unsecured Notes:
	30,000	BBB+	3.100% due 1/15/23		31,716
	170,000	BBB+	3.550% due 1/15/26		185,109
	45,000	BBB+	3.600% due 3/1/35		46,609
	172,000	BBB+	4.500% due 5/15/36		199,754
	50,000	BBB	Northrop Grumman Corp., Senior Unsecured Notes, 3.850% due 4/15/45		53,536
			United Technologies Corp.:
	910,000	BBB+	Junior Subordinated Notes, step bond to yield, 1.778% due 5/4/18		916,664
	80,000	A-	Senior Unsecured Notes, 4.500% due 6/1/42		95,070

			Total Aerospace & Defense		1,903,853

	Airlines — 0.6%
	599,336	A	American Airlines Class A Pass Through Trust, Series 2013-2, Pass Thru Certificates, 4.950% due 1/15/23		656,272
	323,764	BBB-	American Airlines Class B Pass Through Trust, Series 2013-1, Pass Thru Certificates, 5.625% due 1/15/21(a)		337,929
	291,777	BBB-	American Airlines Class B Pass Through Trust, Series 2013-2, Pass Thru Certificates, 5.600% due 7/15/20(a)		306,002
	216,418	A	Continental Airlines Inc. Class A-1 Pass Through Trust, Series 1999-2, Pass Thru Certificates, 7.256% due 3/15/20		232,649
	630,601	A	Delta Air Lines Class A Pass Through Trust, Series 2009-1, Pass Thru Certificates, 7.750% due 12/17/19		716,835
	625,000	BBB+	JetBlue Airways G-2 Pass Through Trust, Series 2004-2, Pass Thru Certificates, 1.267% due 11/15/16(b)		620,312
	287,569	BBB	Northwest Airlines Inc. Class A-1 Pass Through Trust, Pass Thru Certificates, 7.041% due 4/1/22		328,188
	218,596	A+	UAL Pass Through Trust, Series 2009-1, Pass Thru Certificates, 10.400% due 11/1/16		221,317
	25,724	A	UAL Pass Through Trust, Series 2009-2A, Pass Thru Certificates, 9.750% due 1/15/17		26,464
	508,829	A	US Airways Pass Through Trust, Series 2001-1G, Pass Thru Certificates, 7.076% due 3/20/21		550,171

			Total Airlines		3,996,139

	Automobiles — 0.1%
	21,000	BBB	Delphi Corp., Company Guaranteed Notes, 4.150% due 3/15/24		22,476
	120,000	BBB	Ford Motor Co., Senior Unsecured Notes, 4.750% due 1/15/43		130,317
			General Motors Co., Senior Unsecured Notes:
	260,000	BBB-	6.250% due 10/2/43		312,741
	455,000	BBB-	5.200% due 4/1/45		486,297

			Total Automobiles		951,831

	Banks — 5.0%
	728,000	AAA	Bank Nederlandse Gemeenten NV, Senior Unsecured Notes, 1.125% due 5/25/18(a)		728,827
			Bank of America Corp.:
			Senior Unsecured Notes:
	850,000	Baa1(c)	8.950% due 5/18/17(b)		848,121
	1,584,000	Baa1(c)	9.570% due 6/6/17(b)		1,576,799
	70,000	BBB+	5.750% due 12/1/17		73,634
	139,000	BBB+	2.000% due 1/11/18		139,912
	280,000	BBB+	5.650% due 5/1/18		298,180
	108,000	BBB+	1.950% due 5/12/18		108,847

See Notes to Financial Statements.

149



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Banks — 5.0% — (continued)
$	262,000	BBB+	2.600% due 1/15/19	$	268,025
	173,000	BBB+	2.250% due 4/21/20		174,788
	400,000	BBB+	5.000% due 5/13/21		449,268
	300,000	BBB+	3.300% due 1/11/23		312,254
	490,000	BBB+	4.125% due 1/22/24		534,859
	630,000	BBB+	4.000% due 4/1/24		682,671
	594,000	BBB+	3.875% due 8/1/25		637,969
	270,000	BBB+	3.500% due 4/19/26		282,631
	170,000	BBB+	5.000% due 1/21/44		204,605
	270,000	BBB+	4.875% due 4/1/44		318,461
			Subordinated Notes:
	990,000	BBB	4.200% due 8/26/24		1,052,642
	610,000	BBB	4.000% due 1/22/25		637,291
	400,000	BBB	3.950% due 4/21/25		417,407
	20,000	BBB	4.450% due 3/3/26		21,580
			Bank of America NA:
	390,000	A	Senior Unsecured Notes, 1.650% due 3/26/18		391,973
	300,000	BBB+	Subordinated Notes, 6.100% due 6/15/17		311,284
	195,000	A+	Bank of Montreal, Senior Unsecured Notes, 1.500% due 7/18/19		195,010
	100,000	BBB-	Barclays Bank PLC, Subordinated Notes, 5.140% due 10/14/20		108,251
			Barclays PLC:
			Senior Unsecured Notes:
	380,000	BBB	3.200% due 8/10/21		382,762
	260,000	BBB	4.375% due 1/12/26		271,947
			Subordinated Notes:
	200,000	BB+	4.375% due 9/11/24		203,007
	200,000	BB+	5.200% due 5/12/26		208,815
			BNP Paribas SA:
	260,000	A	Senior Unsecured Notes, 2.375% due 9/14/17		262,615
	200,000	BBB+	Subordinated Notes, 4.375% due 5/12/26(a)		207,364
			Capital One Financial Corp.:
	560,000	BBB	Senior Unsecured Notes, 3.500% due 6/15/23		586,296
			Subordinated Notes:
	180,000	BBB-	4.200% due 10/29/25		188,531
	250,000	BBB-	3.750% due 7/28/26		251,706
	800,000	BBB-	Chase Capital III, Limited Guaranteed Notes, 1.392% due 3/1/27(b)		702,000
			CIT Group Inc., Senior Unsecured Notes:
	290,000	BB+	6.625% due 4/1/18(a)		309,720
	300,000	BB+	5.000% due 8/15/22		318,750
	15,000	BBB+	Citizens Financial Group Inc., Senior Unsecured Notes, 2.375% due 7/28/21		15,105
			Cooperatieve Rabobank UA:
	340,000	BBB+	Bank Guaranteed Notes, 4.375% due 8/4/25		361,670
			Company Guaranteed Notes:
	160,000	A+	3.375% due 1/19/17		161,457
	310,000	BBB+	4.625% due 12/1/23		336,617
	320,000	BBB-	Junior Subordinated Notes, 11.000%(a)(b)(d)		391,800
	320,000	A+	Senior Unsecured Notes, 2.500% due 1/19/21		329,133
	450,000	BBB	Credit Agricole SA, Subordinated Notes, 4.375% due 3/17/25(a)		464,644
	750,000	A	Credit Suisse AG, Senior Unsecured Notes, 1.700% due 4/27/18		750,721
			Credit Suisse Group Funding Guernsey Ltd., Company Guaranteed Notes:
	505,000	BBB+	2.750% due 3/26/20		506,646
	250,000	BBB+	3.125% due 12/10/20		253,914
	320,000	BBB+	4.550% due 4/17/26(a)		338,907
	195,000	BBB+	Deutsche Bank AG, Senior Unsecured Notes, 2.850% due 5/10/19		195,850

See Notes to Financial Statements.

150



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Banks — 5.0% — (continued)
			Discover Bank/Greenwood DE, Senior Unsecured Notes:
$	900,000	BBB	2.600% due 11/13/18	$	913,960
	250,000	BBB	3.100% due 6/4/20		257,558
	1,510,000	BBB-	HBOS PLC, Subordinated Notes, 6.750% due 5/21/18(a)		1,619,605
			HSBC Holdings PLC:
	210,000	Baa3(c)	Junior Subordinated Notes, 6.375%(b)(d)		207,900
			Subordinated Notes:
	390,000	BBB+	4.250% due 8/18/25		405,811
	390,000	BBB+	6.500% due 9/15/37		507,276
	200,000	BBB+	5.250% due 3/14/44		229,571
			HSBC USA Inc., Senior Unsecured Notes:
	385,000	A	2.350% due 3/5/20		387,622
	185,000	A	2.750% due 8/7/20		189,175
	335,000	A	ING Bank NV, Senior Unsecured Notes, 1.800% due 3/16/18(a)		336,726
	810,000	BB	Intesa Sanpaolo SpA, Subordinated Notes, 5.017% due 6/26/24(a)		765,853
	525,000	A	Lloyds Bank PLC, Company Guaranteed Notes, 1.750% due 5/14/18		524,880
			Lloyds Banking Group PLC, Subordinated Notes:
	245,000	BBB-	4.582% due 12/10/25(a)		251,984
	201,000	BBB-	4.650% due 3/24/26		209,185
	480,000	BBB-	M&T Bank Corp., Junior Subordinated Notes, 6.875%(d)		484,200
	530,000	A	Macquarie Bank Ltd., Senior Unsecured Notes, 1.364% due 10/27/17(a)(b)		530,153
	300,000	A-	Nordea Bank AB, Subordinated Notes, 4.875% due 5/13/21(a)		332,246
	470,000	Aaa(c)	Royal Bank of Canada, Covered Notes, 2.200% due 9/23/19		479,620
			Royal Bank of Scotland Group PLC:
	250,000	BBB-	Senior Unsecured Notes, 6.400% due 10/21/19		277,718
			Subordinated Notes:
	30,000	BB	6.125% due 12/15/22		32,111
	320,000	BB	6.100% due 6/10/23		340,459
	152,000	BB	6.000% due 12/19/23		161,115
	110,000	BB	5.125% due 5/28/24		111,545
	70,000	BB+	Royal Bank of Scotland NV, Company Guaranteed Notes, 4.650% due 6/4/18		72,011
			Santander Holdings USA Inc., Senior Unsecured Notes:
	219,000	BBB+	3.450% due 8/27/18		224,498
	160,000	BBB+	2.700% due 5/24/19		161,944
	55,000	BBB+	2.650% due 4/17/20		55,586
	120,000	BBB+	4.500% due 7/17/25		125,934
	180,000	BBB	Santander UK Group Holdings PLC, Senior Unsecured Notes, 2.875% due 10/16/20		181,640
			Santander UK PLC:
	900,000	A	Senior Unsecured Notes, 1.650% due 9/29/17		901,272
	170,000	BBB-	Subordinated Notes, 7.950% due 10/26/29		215,890
	600,000	BBB-	Standard Chartered PLC, Subordinated Notes, 5.700% due 3/26/44(a)		671,652
	470,000	BBB	Wachovia Capital Trust III, Limited Guaranteed Notes, 5.570%(b)(d)		473,231
			Wells Fargo & Co.:
	60,000	BBB	Junior Subordinated Notes, 5.875%(b)(d)		66,342
			Senior Unsecured Notes:
	249,000	A	2.600% due 7/22/20		256,492
	235,000	A	2.550% due 12/7/20		241,861
	41,000	A	3.550% due 9/29/25		43,965
	925,000	A	3.000% due 4/22/26		950,225
	134,000	A	3.900% due 5/1/45		142,559
			Subordinated Notes:
	330,000	A-	3.450% due 2/13/23		346,439
	169,000	A-	4.480% due 1/16/24		187,475
	580,000	A-	4.300% due 7/22/27		641,691
	30,000	A-	5.375% due 11/2/43		36,125

See Notes to Financial Statements.

151



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Banks — 5.0% — (continued)
$	110,000	A-	5.606% due 1/15/44	$	137,708
	250,000	A-	4.650% due 11/4/44		275,163
	450,000	A-	4.900% due 11/17/45		515,238
	320,000	A-	4.400% due 6/14/46		342,497
	250,000	A	Wells Fargo Bank NA, Subordinated Notes, 6.000% due 11/15/17		263,571
	100,000	BBB	Wells Fargo Capital X, Limited Guaranteed Notes, 5.950% due 12/15/36		111,000
	380,000	AA-	Westpac Banking Corp., Senior Unsecured Notes, 4.875% due 11/19/19		417,023

			Total Banks		36,390,571

	Beverages — 1.0%
			Anheuser-Busch InBev Finance Inc., Company Guaranteed Notes:
	212,000	A-	2.650% due 2/1/21		218,842
	660,000	A-	3.300% due 2/1/23		693,666
	2,063,000	A-	3.650% due 2/1/26		2,204,891
	145,000	A-	4.700% due 2/1/36		168,814
	969,000	A-	4.900% due 2/1/46		1,180,237
			Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes:
	290,000	A-	5.000% due 4/15/20		322,216
	200,000	A-	2.500% due 7/15/22		204,287
	60,000	A-	3.750% due 7/15/42		61,574
	545,000	A-	Coca-Cola Femsa SAB de CV, Company Guaranteed Notes, 4.625% due 2/15/20		591,769
	275,000	BB+	Constellation Brands Inc., Company Guaranteed Notes, 6.000% due 5/1/22		320,375
	173,000	A-	Diageo Capital PLC, Company Guaranteed Notes, 4.828% due 7/15/20		193,808
	160,000	A-	Diageo Investment Corp., Company Guaranteed Notes, 2.875% due 5/11/22		167,682
	275,000	BB-	DS Services of America Inc., Secured Notes, 10.000% due 9/1/21(a)		310,062
			Molson Coors Brewing Co., Company Guaranteed Notes:
	50,000	BBB-	3.500% due 5/1/22(e)		53,483
	40,000	BBB-	3.000% due 7/15/26		40,594
	30,000	BBB-	4.200% due 7/15/46		31,827
	250,000	A	PepsiCo Inc., Senior Unsecured Notes, 7.900% due 11/1/18		285,947
			Pernod Ricard SA, Senior Unsecured Notes:
	200,000	BBB-	2.950% due 1/15/17(a)		201,315
	190,000	BBB-	4.450% due 1/15/22(a)		209,525

			Total Beverages		7,460,914

	Biotechnology — 0.3%
			Amgen Inc., Senior Unsecured Notes:
	70,000	A	3.625% due 5/22/24		75,662
	54,000	A	4.563% due 6/15/48(a)		58,540
	173,000	A	4.663% due 6/15/51(a)		186,361
			Biogen Inc., Senior Unsecured Notes:
	60,000	A-	3.625% due 9/15/22		64,312
	20,000	A-	5.200% due 9/15/45		24,233
			Celgene Corp., Senior Unsecured Notes:
	60,000	BBB+	3.550% due 8/15/22		63,965
	310,000	BBB+	3.875% due 8/15/25		335,702
	460,000	BBB+	5.000% due 8/15/45		534,146
			Gilead Sciences Inc., Senior Unsecured Notes:
	330,000	A	3.700% due 4/1/24		357,949
	160,000	A	3.650% due 3/1/26		173,790
	85,000	A	4.800% due 4/1/44		98,534
	415,000	A	4.750% due 3/1/46		484,136

			Total Biotechnology		2,457,330

See Notes to Financial Statements.

152



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Capital Markets — 0.8%
$	40,000	A	Ameriprise Financial Inc., Senior Unsecured Notes, 2.875% due 9/15/26	$	40,269
	50,000	BBB+	Bank of America Corp., Senior Unsecured Notes, 6.875% due 4/25/18		54,223
	195,000	A	Bank of New York Mellon Corp. (The), Senior Unsecured Notes, 3.400% due 5/15/24		210,809
	21,000	BB	Goldman Sachs Capital II, Limited Guaranteed Notes, 4.000%(b)(d)		17,477
			Goldman Sachs Group Inc. (The):
			Senior Unsecured Notes:
	225,000	BBB+	2.375% due 1/22/18		227,996
	950,000	BBB+	6.150% due 4/1/18		1,017,885
	389,000	BBB+	2.900% due 7/19/18		399,094
	34,000	BBB+	2.625% due 1/31/19		34,907
	150,000	BBB+	7.500% due 2/15/19		170,937
	257,000	BBB+	2.550% due 10/23/19		263,408
	810,000	BBB+	6.000% due 6/15/20		925,617
	40,000	BBB+	5.250% due 7/27/21		45,489
	320,000	BBB+	3.750% due 2/25/26		339,683
	210,000	BBB+	6.250% due 2/1/41		278,850
	75,000	BBB+	4.800% due 7/8/44		85,849
	200,000	BBB+	4.750% due 10/21/45		229,804
			Subordinated Notes:
	310,000	BBB-	4.250% due 10/21/25		329,722
	560,000	BBB-	6.750% due 10/1/37		716,409
	500,000	BBB-	5.150% due 5/22/45		552,626
	650,000	NR	Lehman Brothers Holdings Inc., Subordinated Notes, 6.750% due 12/28/17(f)(o)		—

			Total Capital Markets		5,941,054

	Chemicals — 0.2%
	100,000	BB-	Axiall Corp., Company Guaranteed Notes, 4.875% due 5/15/23		105,250
			CF Industries Inc., Company Guaranteed Notes:
	30,000	BBB-	5.150% due 3/15/34		29,836
	130,000	BBB-	5.375% due 3/15/44		126,712
	16,000	BBB	Dow Chemical Co. (The), Senior Unsecured Notes, 4.375% due 11/15/42		16,614
	230,000	BB-	Eagle Spinco Inc., Company Guaranteed Notes, 4.625% due 2/15/21		241,788
	80,000	BBB	Eastman Chemical Co., Senior Unsecured Notes, 3.800% due 3/15/25		84,767
	110,000	A-	Ecolab Inc., Senior Unsecured Notes, 4.350% due 12/8/21		123,769
	51,000	BBB	LYB International Finance BV, Company Guaranteed Notes, 4.875% due 3/15/44		55,776
	200,000	BBB	LyondellBasell Industries NV, Senior Unsecured Notes, 6.000% due 11/15/21		233,686
			Monsanto Co., Senior Unsecured Notes:
	60,000	BBB+	3.375% due 7/15/24		62,408
	30,000	BBB+	4.400% due 7/15/44		31,346
	200,000	BBB-	OCP SA, Senior Unsecured Notes, 4.500% due 10/22/25(a)		204,983
	60,000	BBB+	Potash Corp. of Saskatchewan Inc., Senior Unsecured Notes, 4.875% due 3/30/20		65,593
	23,000	A-	PPG Industries Inc., Senior Unsecured Notes, 6.650% due 3/15/18		24,642

			Total Chemicals		1,407,170

	Commercial Services & Supplies — 0.2%
	125,000	BB+	IHS Markit Ltd., Company Guaranteed Notes, 5.000% due 11/1/22(a)		133,437
	460,000	AAA	Northwestern University, Unsecured Notes, 3.688% due 12/1/38		510,492
			Republic Services Inc., Senior Unsecured Notes:
	150,000	BBB+	3.200% due 3/15/25		157,147
	20,000	BBB+	2.900% due 7/1/26		20,434
	210,000	BB-	United Rentals North America Inc., Company Guaranteed Notes, 5.750% due 11/15/24		220,500
			Waste Management Inc., Company Guaranteed Notes:
	40,000	A-	4.600% due 3/1/21		44,476
	100,000	A-	3.500% due 5/15/24		108,202
	70,000	A-	7.375% due 5/15/29		99,860

See Notes to Financial Statements.

153



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Commercial Services & Supplies — 0.2% — (continued)
$	150,000	B+	West Corp., Company Guaranteed Notes, 5.375% due 7/15/22(a)	$	146,812

			Total Commercial Services & Supplies		1,441,360

	Consumer Finance — 0.6%
	330,000	A-	Daimler Finance North America LLC, Company Guaranteed Notes, 2.625% due 9/15/16(a)		329,976
			Ford Motor Credit Co. LLC, Senior Unsecured Notes:
	500,000	BBB	1.461% due 3/27/17		500,543
	500,000	BBB	6.625% due 8/15/17		523,991
	500,000	BBB	1.724% due 12/6/17		500,989
	320,000	BBB	8.125% due 1/15/20		379,410
	390,000	BBB	3.200% due 1/15/21		402,964
			General Motors Financial Co., Inc., Company Guaranteed Notes:
	175,000	BBB-	3.250% due 5/15/18		178,469
	300,000	BBB-	3.150% due 1/15/20		306,704
	219,000	BBB-	3.200% due 7/6/21		222,820
	170,000	BBB-	3.450% due 4/10/22		173,501
			Hyundai Capital America, Senior Unsecured Notes:
	100,000	A-	2.125% due 10/2/17(a)		100,702
	75,000	A-	2.400% due 10/30/18(a)		76,154
	65,000	A-	2.500% due 3/18/19(a)		66,268
	230,000	A-	3.000% due 10/30/20(a)		238,840
	360,000	BB-	Navient Corp., Senior Unsecured Notes, 8.000% due 3/25/20		391,500
	210,000	AA-	Toyota Motor Credit Corp., Senior Unsecured Notes, 1.250% due 10/5/17		210,590

			Total Consumer Finance		4,603,421

	Containers & Packaging — 0.1%
	200,000	B+	Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Secured Notes, 3.653% due 12/15/19(a)(b)		202,500
	120,000	BBB	WestRock MWV LLC, Company Guaranteed Notes, 8.200% due 1/15/30		165,569
			WestRock RKT Co., Company Guaranteed Notes:
	100,000	BBB	3.500% due 3/1/20		104,150
	39,000	BBB	4.900% due 3/1/22		43,400
	20,000	BBB	4.000% due 3/1/23		21,196

			Total Containers & Packaging		536,815

	Diversified Financial Services — 3.1%
	72,000	BBB+	American Express Co., Senior Unsecured Notes, 2.650% due 12/2/22		74,003
			Bear Stearns Cos. LLC (The), Company Guaranteed Notes:
	20,000	A-	6.400% due 10/2/17		21,073
	2,280,000	A-	7.250% due 2/1/18		2,462,790
	600,000	BBB+	Capital One Bank USA NA, Senior Unsecured Notes, 1.200% due 2/13/17		600,107
	975,000	AAA	CDP Financial Inc., Company Guaranteed Notes, 4.400% due 11/25/19(a)		1,065,386
			Citigroup Inc.:
	530,000	BB+	Junior Subordinated Notes, 5.950%(b)(d)		548,219
			Senior Unsecured Notes:
	750,000	BBB+	1.800% due 2/5/18		753,137
	500,000	BBB+	2.500% due 9/26/18		509,147
	104,000	BBB+	8.125% due 7/15/39		164,776
	280,000	BBB+	4.650% due 7/30/45		320,642
			Subordinated Notes:
	280,000	BBB	4.400% due 6/10/25		297,534
	250,000	BBB	5.500% due 9/13/25		283,951
	890,000	BBB	4.300% due 11/20/26		937,388
	340,000	BBB	4.450% due 9/29/27		359,460
	30,000	BBB	6.625% due 6/15/32		37,691

See Notes to Financial Statements.

154



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Diversified Financial Services — 3.1% — (continued)
$	100,000	BBB	6.675% due 9/13/43	$	135,189
	370,000	BBB	5.300% due 5/6/44		430,297
	100,000	A-	Farmers Exchange Capital, Subordinated Notes, 7.200% due 7/15/48(a)		127,422
	900,000	A-	Farmers Exchange Capital II, Subordinated Notes, 6.151% due 11/1/53(a)(b)		978,709
			GE Capital International Funding Co. Unlimited Co., Company Guaranteed Notes:
	607,000	AA+	2.342% due 11/15/20		625,552
	601,000	AA+	4.418% due 11/15/35		688,818
	340,000	A-	HSBC Finance Corp., Subordinated Notes, 6.676% due 1/15/21		392,754
	270,000	BB	ILFC E-Capital Trust II, Limited Guaranteed Notes, 4.230% due 12/21/65(a)(b)		220,050
			International Lease Finance Corp., Senior Secured Notes:
	880,000	BBB-	6.750% due 9/1/16(a)		957,000
	1,090,000	BBB-	7.125% due 9/1/18(a)		1,201,823
			John Deere Capital Corp., Senior Unsecured Notes:
	90,000	A	2.250% due 4/17/19		92,485
	70,000	A	1.700% due 1/15/20		70,804
			JPMorgan Chase & Co.:
			Senior Unsecured Notes:
	295,000	A-	6.000% due 1/15/18		313,188
	69,000	A-	1.800% due 1/25/18		69,478
	230,000	A-	1.700% due 3/1/18		231,142
	195,000	A-	2.200% due 10/22/19		198,483
	200,000	A-	2.250% due 1/23/20		202,898
	555,000	A-	2.750% due 6/23/20		571,879
	90,000	A-	4.400% due 7/22/20		98,171
	200,000	A-	2.550% due 3/1/21		204,430
	400,000	A-	3.300% due 4/1/26		415,478
	380,000	A-	2.950% due 10/1/26		383,929
			Subordinated Notes:
	480,000	BBB+	6.125% due 6/27/17		498,528
	270,000	BBB+	3.875% due 9/10/24		285,697
	259,000	BBB+	4.250% due 10/1/27		280,555
	290,000	BBB+	4.950% due 6/1/45		336,374
	900,000	BBB-	JPMorgan Chase Capital XXIII, Limited Guaranteed Notes, 1.817% due 5/15/47(b)		700,875
	30,000	A	KKR Group Finance Co. II LLC, Company Guaranteed Notes, 5.500% due 2/1/43(a)		32,403
	294,030	BBB-	Pipeline Funding Co. LLC, Senior Secured Notes, 7.500% due 1/15/30(a)		349,591
	950,000	AA-	Protective Life Global Funding, Senior Secured Notes, 1.208% due 6/8/18(a)(b)		952,190
	100,000	BB	Quicken Loans Inc., Company Guaranteed Notes, 5.750% due 5/1/25(a)		100,280
			State Street Corp.:
	430,000	BBB	Junior Subordinated Notes, 4.956% due 3/15/18		450,280
			Senior Unsecured Notes:
	30,000	A	2.550% due 8/18/20		31,106
	25,000	A	1.950% due 5/19/21		25,266
	60,000	A	2.650% due 5/19/26		61,539
	267,791	Baa1(c)	SteelRiver Transmission Co. LLC, Senior Secured Notes, 4.710% due 6/30/17(a)		271,140
	25,000	BBB-	Synchrony Financial, Senior Unsecured Notes, 2.700% due 2/3/20		25,234
	230,000	A-	UBS Group Funding Jersey Ltd., Company Guaranteed Notes, 4.125% due 9/24/25(a)		242,797
			Visa Inc., Senior Unsecured Notes:
	220,000	A+	3.150% due 12/14/25		234,901
	237,000	A+	4.150% due 12/14/35		272,930
	278,000	A+	4.300% due 12/14/45		329,979

			Total Diversified Financial Services		22,526,948

	Diversified Telecommunication Services — 1.2%
			AT&T Inc., Senior Unsecured Notes:
	260,000	BBB+	5.500% due 2/1/18		274,849

See Notes to Financial Statements.

155



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Diversified Telecommunication Services — 1.2% — (continued)
$	54,000	BBB+	2.375% due 11/27/18	$	55,148
	10,000	BBB+	5.800% due 2/15/19		11,020
	53,000	BBB+	2.300% due 3/11/19		54,120
	265,000	BBB+	2.450% due 6/30/20		270,739
	98,000	BBB+	4.600% due 2/15/21		107,904
	400,000	BBB+	3.800% due 3/15/22		429,944
	365,000	BBB+	3.000% due 6/30/22		376,857
	620,000	BBB+	3.400% due 5/15/25		640,012
	245,000	BBB+	4.500% due 5/15/35		260,241
	5,000	BBB+	5.350% due 9/1/40		5,733
	100,000	BBB+	5.550% due 8/15/41		118,537
	70,000	BBB+	4.300% due 12/15/42		70,430
	110,000	BBB+	4.800% due 6/15/44		117,379
	195,000	BBB+	4.350% due 6/15/45		197,390
	650,000	BBB+	4.750% due 5/15/46		697,535
	464,000	BBB	CC Holdings GS V LLC/Crown Castle GS III Corp., Senior Secured Notes, 3.849% due 4/15/23		500,061
			Verizon Communications Inc., Senior Unsecured Notes:
	1,142,000	BBB+	5.150% due 9/15/23		1,338,456
	214,000	BBB+	6.400% due 9/15/33		280,406
	646,000	BBB+	4.400% due 11/1/34		689,087
	200,000	BBB+	4.272% due 1/15/36		211,568
	858,000	BBB+	6.550% due 9/15/43		1,169,457
	85,000	BBB+	4.862% due 8/21/46		94,429
	75,000	BBB+	5.012% due 8/21/54		83,039
	164,000	B	SBA Communications Corp., Senior Unsecured Notes, 4.875% due 9/1/24(a)		166,665
	520,000	B	Virgin Media Finance PLC, Company Guaranteed Notes, 6.000% due 10/15/24(a)		544,050
	200,000	BB-	Virgin Media Secured Finance PLC, Senior Secured Notes, 5.250% due 1/15/26(a)		205,500

			Total Diversified Telecommunication Services		8,970,556

	Electric Utilities — 2.0%
	275,000	A-	Berkshire Hathaway Energy Co., Senior Unsecured Notes, 6.500% due 9/15/37		383,397
	650,000	BBB-	Cleco Corporate Holdings LLC, Senior Secured Notes, 3.743% due 5/1/26(a)		684,585
	215,000	BBB+	Cleveland Electric Illuminating Co. (The), Senior Secured Notes, 7.880% due 11/1/17		229,740
			CMS Energy Corp., Senior Unsecured Notes:
	30,000	BBB	3.000% due 5/15/26		30,688
	140,000	BBB	4.875% due 3/1/44		167,569
			DTE Electric Co., General Refinance Mortgage:
	170,000	A	3.700% due 3/15/45		184,081
	85,000	A	3.700% due 6/1/46		91,875
	500,000	A	Duke Energy Carolinas LLC, 1st Mortgage Notes, 4.250% due 12/15/41		571,309
	240,000	BBB+	Duke Energy Corp., Senior Unsecured Notes, 3.550% due 9/15/21		257,739
	195,000	A	Duke Energy Florida LLC, 1st Mortgage Notes, 5.900% due 3/1/33		246,003
	750,000	BBB-	Duquesne Light Holdings Inc., Senior Unsecured Notes, 6.400% due 9/15/20(a)		851,858
	175,000	BBB	Edison International, Senior Unsecured Notes, 2.950% due 3/15/23		180,287
			Emera US Finance LP, Company Guaranteed Notes:
	15,000	BBB	2.150% due 6/15/19(a)		15,164
	40,000	BBB	3.550% due 6/15/26(a)		42,219
	120,000	BBB	4.750% due 6/15/46(a)		132,685
	35,000	BBB	Entergy Corp., Senior Unsecured Notes, 2.950% due 9/1/26		35,398
	920,000	A	Entergy Texas Inc., 1st Mortgage Notes, 7.125% due 2/1/19		1,035,336
			Exelon Corp., Senior Unsecured Notes:
	755,000	BBB-	1.550% due 6/9/17		756,600
	175,000	BBB-	2.850% due 6/15/20		181,496
	5,000	BBB-	2.450% due 4/15/21		5,088

See Notes to Financial Statements.

156



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Electric Utilities — 2.0% — (continued)
$	10,000	BBB-	3.400% due 4/15/26	$	10,557
	200,000	BBB-	4.950% due 6/15/35		231,947
	143,000	BBB-	5.625% due 6/15/35		174,890
			FirstEnergy Corp., Senior Unsecured Notes:
	80,000	BB+	2.750% due 3/15/18		80,842
	1,130,000	BB+	7.375% due 11/15/31		1,479,580
			Florida Power & Light Co., 1st Mortgage Notes:
	55,000	A	4.950% due 6/1/35		68,438
	275,000	A	5.950% due 2/1/38		382,775
	188,967	BBB-	Indiantown Cogeneration LP, 1st Mortgage Notes, 9.770% due 12/15/20(f)		206,008
	350,000	BB+	IPALCO Enterprises Inc., Senior Secured Notes, 5.000% due 5/1/18		369,250
	700,000	BBB-	Jersey Central Power & Light Co., Senior Unsecured Notes, 4.700% due 4/1/24(a)		767,038
	775,000	BBB+	KCP&L Greater Missouri Operations Co., Senior Unsecured Notes, 8.270% due 11/15/21		960,928
	400,000	A+	MidAmerican Energy Co., 1st Mortgage Notes, 4.250% due 5/1/46		469,541
	487,147	B-	Miran Mid-Atlantic Series C Pass Through Trust, Pass Thru Certificates, 10.060% due 12/30/28		378,148
	200,000	BBB+	NiSource Finance Corp., Company Guaranteed Notes, 5.250% due 2/15/43		244,312
	610,000	BBB+	Pacific Gas & Electric Co., Senior Unsecured Notes, 6.050% due 3/1/34		824,456
	235,000	A+	PacifiCorp, 1st Mortgage Notes, 4.100% due 2/1/42		264,389
	500,000	BBB+	Public Service Co. of New Mexico, Senior Unsecured Notes, 7.950% due 5/15/18		550,317
	500,000	A	Public Service Electric & Gas Co., 1st Mortgage Notes, 4.000% due 6/1/44		565,664
			Virginia Electric & Power Co., Senior Unsecured Notes:
	125,000	BBB+	6.000% due 5/15/37		169,641
	25,000	BBB+	6.350% due 11/30/37		35,119
	250,000	BBB+	4.000% due 1/15/43		275,963

			Total Electric Utilities		14,592,920

	Electrical Equipment — 0.0%
	20,000	A	ABB Finance USA Inc., Company Guaranteed Notes, 4.375% due 5/8/42		23,245

	Electronic Equipment, Instruments & Components — 0.0%
	10,000	BBB-	Avnet, Inc., Senior Unsecured Notes, 4.625% due 4/15/26		10,415
	303,000	BBB-	Jabil Circuit Inc., Senior Unsecured Notes, 8.250% due 3/15/18		330,649

			Total Electronic Equipment, Instruments & Components		341,064

	Energy Equipment & Services — 0.1%
	350,000	BBB-	Boardwalk Pipelines LP, Company Guaranteed Notes, 4.950% due 12/15/24		361,854
	400,000	A+	Sinopec Group Overseas Development 2014 Ltd., Company Guaranteed Notes, 4.375% due 4/10/24(a)		444,096
			Williams Partners LP/ACMP Finance Corp., Senior Unsecured Notes:
	180,000	BBB-	6.125% due 7/15/22		187,171
	30,000	BBB-	4.875% due 3/15/24		30,759

			Total Energy Equipment & Services		1,023,880

	Food & Staples Retailing — 0.3%
			CVS Health Corp., Senior Unsecured Notes:
	550,000	BBB+	1.900% due 7/20/18		557,164
	5,000	BBB+	2.800% due 7/20/20		5,215
	340,000	BBB+	2.750% due 12/1/22		351,886
	195,000	BBB+	3.875% due 7/20/25		215,362
	390,000	BBB+	2.875% due 6/1/26		400,694
	50,000	BBB+	5.300% due 12/5/43		62,751
	140,000	BBB+	5.125% due 7/20/45		175,280
	199,201	BBB+	CVS Pass-Through Trust, Pass Thru Certificates, 6.036% due 12/10/28		233,135

			Total Food & Staples Retailing		2,001,487

See Notes to Financial Statements.

157



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Food Products — 0.3%
$	125,000	BB-	Aramark Services Inc., Company Guaranteed Notes, 5.125% due 1/15/24(a)	$	129,922
			Kraft Heinz Foods Co.:
			Company Guaranteed Notes:
	130,000	BBB-	3.950% due 7/15/25		141,739
	90,000	BBB-	5.000% due 7/15/35		106,307
	90,000	BBB-	5.200% due 7/15/45		108,483
	525,000	BBB-	4.375% due 6/1/46		570,326
	96,000	BBB-	Secured Notes, 4.875% due 2/15/25(a)		105,904
	220,000	BBB	Mondelez International Inc., Senior Unsecured Notes, 4.000% due 2/1/24		243,291
	125,000	BB	TreeHouse Foods Inc., Company Guaranteed Notes, 6.000% due 2/15/24(a)		136,562
	40,000	BBB	Tyson Foods Inc., Company Guaranteed Notes, 5.150% due 8/15/44		48,752
			WM Wrigley Jr Co., Senior Unsecured Notes:
	50,000	A-	2.400% due 10/21/18(a)		50,877
	140,000	A-	2.900% due 10/21/19(a)		145,302

			Total Food Products		1,787,465

	Health Care Equipment & Supplies — 0.3%
	400,000	AA-	Baylor Scott & White Holdings, Unsecured Notes, 4.185% due 11/15/45		452,934
			Becton Dickinson & Co., Senior Unsecured Notes:
	130,000	BBB+	3.734% due 12/15/24		141,611
	60,000	BBB+	4.685% due 12/15/44		69,946
	65,000	BBB-	Boston Scientific Corp., Senior Unsecured Notes, 3.850% due 5/15/25		69,828
			Medtronic Inc., Company Guaranteed Notes:
	165,000	A	3.625% due 3/15/24		181,009
	645,000	A	3.500% due 3/15/25		700,357
	80,000	A	5.550% due 3/15/40		103,510
	80,000	A	4.625% due 3/15/45		96,061
			St Jude Medical Inc., Senior Unsecured Notes:
	120,000	A-	3.250% due 4/15/23		123,985
	13,000	A-	4.750% due 4/15/43		14,044
			Stryker Corp., Senior Unsecured Notes:
	20,000	A	3.500% due 3/15/26		21,306
	30,000	A	4.625% due 3/15/46		34,342

			Total Health Care Equipment & Supplies		2,008,933

	Health Care Providers & Services — 0.6%
			Aetna Inc., Senior Unsecured Notes:
	40,000	A-	1.900% due 6/7/19		40,400
	165,000	A-	2.400% due 6/15/21		167,720
	40,000	A-	2.800% due 6/15/23		40,990
	240,000	A-	3.200% due 6/15/26		244,493
	165,000	A-	4.125% due 11/15/42		173,801
			Anthem Inc., Senior Unsecured Notes:
	30,000	A	5.875% due 6/15/17		31,069
	410,000	A	3.125% due 5/15/22		426,729
	530,000	A	3.300% due 1/15/23		555,943
	60,000	A	4.650% due 8/15/44		66,827
	30,000	A-	Catholic Health Initiatives, Secured Notes, 4.350% due 11/1/42		29,984
	260,000	B+	DaVita HealthCare Partners Inc., Company Guaranteed Notes, 5.000% due 5/1/25		264,160
	20,000	BB+	Fresenius Medical Care US Finance Inc., Company Guaranteed Notes, 5.750% due 2/15/21(a)		22,800
			HCA Inc.:
	210,000	B+	Company Guaranteed Notes, 7.500% due 2/15/22		239,925
			Senior Secured Notes:
	410,000	BBB-	6.500% due 2/15/20		454,075
	180,000	BBB-	5.250% due 4/15/25		193,275

See Notes to Financial Statements.

158



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Health Care Providers & Services — 0.6% — (continued)
			Humana Inc., Senior Unsecured Notes:
$	60,000	A-	3.150% due 12/1/22	$	62,508
	70,000	A-	4.625% due 12/1/42		75,177
	10,000	CCC+	Tenet Healthcare Corp., Senior Unsecured Notes, 8.125% due 4/1/22		10,175
			UnitedHealth Group Inc., Senior Unsecured Notes:
	460,000	A+	3.375% due 11/15/21		495,205
	160,000	A+	3.350% due 7/15/22		172,488
	170,000	A+	4.625% due 7/15/35		202,116
	152,000	A+	4.250% due 3/15/43		173,237

			Total Health Care Providers & Services		4,143,097

	Hotels, Restaurants & Leisure — 0.1%
	130,000	B-	1011778 BC ULC/New Red Finance Inc., Secured Notes, 6.000% due 4/1/22(a)		136,338
	300,000	BB	Churchill Downs Inc., Company Guaranteed Notes, 5.375% due 12/15/21		313,500
			McDonald’s Corp., Senior Unsecured Notes:
	170,000	BBB+	3.700% due 1/30/26		183,858
	180,000	BBB+	4.600% due 5/26/45		204,711

			Total Hotels, Restaurants & Leisure		838,407

	Household Durables — 0.1%
			Newell Brands Inc., Senior Unsecured Notes:
	70,000	BBB-	3.150% due 4/1/21		73,157
	221,000	BBB-	3.850% due 4/1/23		236,457
	133,000	BBB-	4.200% due 4/1/26		145,475
	110,000	BBB-	5.500% due 4/1/46		136,579
	150,000	BB-	Taylor Morrison Communities Inc./Monarch Communities Inc., Company Guaranteed Notes, 5.250% due 4/15/21(a)		154,875

			Total Household Durables		746,543

	Household Products — 0.0%
	225,000	B+	Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Senior Secured Notes, 5.750% due 10/15/20		232,594

	Independent Power and Renewable Electricity Producers — 0.0%
	90,000	BB	AES Corp., Senior Unsecured Notes, 4.875% due 5/15/23		91,575

	Industrial Conglomerates — 0.4%
			Eaton Corp., Company Guaranteed Notes:
	80,000	A-	1.500% due 11/2/17		80,305
	458,000	A-	2.750% due 11/2/22		473,802
	310,000	A-	4.150% due 11/2/42		341,632
			General Electric Co.:
			Senior Unsecured Notes:
	72,000	AA+	4.650% due 10/17/21		82,271
	1,025,000	AA+	1.297% due 8/15/36(b)		874,232
	122,000	AA+	6.150% due 8/7/37		171,360
	228,000	AA+	6.875% due 1/10/39		348,404
	190,000	AA+	4.500% due 3/11/44		225,057
	141,000	AA	Subordinated Notes, 5.300% due 2/11/21		162,419

			Total Industrial Conglomerates		2,759,482

	Insurance — 0.9%
			American International Group Inc., Senior Unsecured Notes:
	330,000	A-	4.875% due 6/1/22		370,219
	207,000	A-	3.900% due 4/1/26		217,948
	195,000	A-	4.375% due 1/15/55		191,855
	400,000	AA	Berkshire Hathaway Finance Corp., Company Guaranteed Notes, 4.400% due 5/15/42		465,305

See Notes to Financial Statements.

159



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Insurance — 0.9% — (continued)
			Berkshire Hathaway Inc., Senior Unsecured Notes:
$	45,000	AA	2.750% due 3/15/23	$	46,842	��
	380,000	AA	3.125% due 3/15/26		403,725
			Chubb INA Holdings Inc., Company Guaranteed Notes:
	60,000	A	2.300% due 11/3/20		61,785
	80,000	A	3.350% due 5/3/26		86,036
	44,000	BBB+	Hartford Financial Services Group Inc. (The), Senior Unsecured Notes, 4.300% due 4/15/43		44,253
	605,000	AA	Jackson National Life Global Funding, Senior Secured Notes, 1.875% due 10/15/18(a)		611,440
			Marsh & McLennan Cos., Inc., Senior Unsecured Notes:
	10,000	A-	3.500% due 3/10/25		10,540
	11,000	A-	3.750% due 3/14/26		11,876
			MetLife Inc.:
	1,070,000	BBB	Junior Subordinated Notes, 6.400% due 12/15/36		1,204,285
	70,000	A-	Senior Unsecured Notes, 4.050% due 3/1/45		69,882
	850,000	A-	Nationwide Mutual Insurance Co., Subordinated Notes, 2.943% due 12/15/24(a)(b)		843,736
			Principal Financial Group Inc., Company Guaranteed Notes:
	35,000	BBB+	3.125% due 5/15/23		35,899
	10,000	BBB+	4.625% due 9/15/42		10,829
	550,000	A+	Principal Life Global Funding II, Senior Secured Notes, 3.000% due 4/18/26(a)		563,640
	140,000	A	Prudential Financial Inc., Senior Unsecured Notes, 7.375% due 6/15/19		161,256
	230,000	AA-	Swiss Re Treasury US Corp., Company Guaranteed Notes, 2.875% due 12/6/22(a)		232,352
			Teachers Insurance & Annuity Association of America, Subordinated Notes:
	230,000	AA-	6.850% due 12/16/39(a)		318,179
	300,000	AA-	4.900% due 9/15/44(a)		343,184
	39,000	BBB	Voya Financial Inc., Company Guaranteed Notes, 2.900% due 2/15/18		39,790

			Total Insurance		6,344,856

	Internet & Catalog Retail — 0.1%
			Amazon.com Inc., Senior Unsecured Notes:
	99,000	AA-	4.800% due 12/5/34		119,270
	177,000	AA-	4.950% due 12/5/44		223,499
	590,000	B+	Netflix Inc., Senior Unsecured Notes, 5.500% due 2/15/22		637,200

			Total Internet & Catalog Retail		979,969

	Life Sciences Tools & Services — 0.1%
	415,000	BBB	Thermo Fisher Scientific Inc., Senior Unsecured Notes, 3.600% due 8/15/21		441,944

	Media — 1.2%
			21st Century Fox America Inc., Company Guaranteed Notes:
	30,000	BBB+	4.500% due 2/15/21		33,408
	125,000	BBB+	8.500% due 2/23/25		170,500
	115,000	BBB+	3.700% due 10/15/25		125,791
	25,000	BBB+	6.200% due 12/15/34		31,920
	10,000	BBB+	6.900% due 8/15/39		13,621
	125,000	BB+	CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes, 5.750% due 2/15/26(a)		134,063
			Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes:
	705,000	BBB	3.579% due 7/23/20(a)		738,387
	125,000	BBB	4.464% due 7/23/22(a)		135,811
	356,000	BBB	4.908% due 7/23/25(a)		393,516	��
	240,000	BBB	6.384% due 10/23/35(a)		287,799
	359,000	BBB	6.484% due 10/23/45(a)		442,784
	160,000	A-	Comcast Cable Communications Holdings Inc., Company Guaranteed Notes, 9.455% due 11/15/22		225,168

See Notes to Financial Statements.

160



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Media — 1.2% — (continued)
			Comcast Corp., Company Guaranteed Notes:
$	30,000	A-	5.875% due 2/15/18	$	32,054
	430,000	A-	5.700% due 5/15/18		463,303
	30,000	A-	1.625% due 1/15/22		29,844
	35,000	A-	2.350% due 1/15/27		34,738
	179,000	A-	4.400% due 8/15/35		205,659
	80,000	A-	6.500% due 11/15/35		112,972
	55,000	A-	3.200% due 7/15/36		55,022
	40,000	A-	6.450% due 3/15/37		56,265
	20,000	A-	6.950% due 8/15/37		29,537
	40,000	A-	6.550% due 7/1/39		57,717
	61,000	A-	4.650% due 7/15/42		71,719
			Cox Communications Inc., Senior Unsecured Notes:
	72,000	BBB	8.375% due 3/1/39(a)		92,659
	10,000	BBB	4.700% due 12/15/42(a)		9,308
	225,000	B-	CSC Holdings LLC, Senior Unsecured Notes, 8.625% due 2/15/19		252,563
			Discovery Communications LLC, Company Guaranteed Notes:
	3,000	BBB-	5.050% due 6/1/20		3,305
	40,000	BBB-	3.450% due 3/15/25		39,426
	235,000	BBB-	4.900% due 3/11/26		255,291
	94,000	BBB-	4.875% due 4/1/43		89,167
			DISH DBS Corp., Company Guaranteed Notes:
	20,000	B+	5.125% due 5/1/20		20,750
	80,000	B+	6.750% due 6/1/21		86,150
	150,000	B+	5.875% due 7/15/22		153,375
	150,000	B+	5.875% due 11/15/24		148,500
	171,000	A-	NBCUniversal Media LLC, Company Guaranteed Notes, 4.450% due 1/15/43		195,828
	125,000	B+	Nexstar Broadcasting Inc., Company Guaranteed Notes, 6.125% due 2/15/22(a)		130,000
			SFR Group SA, Senior Secured Notes:
	200,000	B+	6.000% due 5/15/22(a)		205,150
	380,000	B+	6.250% due 5/15/24(a)		384,275
			Time Warner Cable Inc., Senior Secured Notes:
	410,000	BBB	8.250% due 4/1/19		474,314
	200,000	BBB	5.000% due 2/1/20		218,125
	140,000	BBB	4.125% due 2/15/21		149,180
	385,000	BBB	4.000% due 9/1/21		411,025
	90,000	BBB	7.300% due 7/1/38		117,253
	120,000	BBB	5.875% due 11/15/40		134,318
	180,000	BBB	5.500% due 9/1/41		196,187
	40,000	BBB	Time Warner Entertainment Co. LP, Senior Secured Notes, 8.375% due 7/15/33		54,821
			Time Warner Inc., Company Guaranteed Notes:
	60,000	BBB	4.700% due 1/15/21		67,021
	110,000	BBB	4.750% due 3/29/21		123,527
	290,000	BBB	7.700% due 5/1/32		415,627
	30,000	BBB	6.250% due 3/29/41		39,618
			Viacom Inc., Senior Unsecured Notes:
	40,000	BBB-	4.250% due 9/1/23		42,547
	10,000	BBB-	3.875% due 4/1/24		10,399
	110,000	BBB-	4.850% due 12/15/34		111,392

			Total Media		8,512,699

	Metals & Mining — 0.4%
			ArcelorMittal, Senior Unsecured Notes:
	70,000	BB	6.500% due 3/1/21		76,300
	30,000	BB	8.000% due 10/15/39		32,400

See Notes to Financial Statements.

161



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Metals & Mining — 0.4% — (continued)
$	107,000	BBB-	Barrick Gold Corp., Senior Unsecured Notes, 4.100% due 5/1/23	$	115,358
			Barrick North America Finance LLC, Company Guaranteed Notes:
	140,000	BBB-	4.400% due 5/30/21		153,246
	70,000	BBB-	5.700% due 5/30/41		81,241
			BHP Billiton Finance USA Ltd., Company Guaranteed Notes:
	300,000	A	6.500% due 4/1/19		337,324
	150,000	A	5.000% due 9/30/43		179,550
	310,000	BBB+	6.750% due 10/19/75(a)(b)		354,563
			Freeport-McMoRan Inc., Company Guaranteed Notes:
	30,000	BB	4.000% due 11/14/21		27,600
	10,000	BB	5.450% due 3/15/43		7,700
	330,000	BBB-	Glencore Finance Canada Ltd., Company Guaranteed Notes, 2.700% due 10/25/17(a)		331,802
	310,000	A-	Rio Tinto Finance USA Ltd., Company Guaranteed Notes, 9.000% due 5/1/19		369,096
	660,000	BBB	Southern Copper Corp., Senior Unsecured Notes, 5.250% due 11/8/42		631,778
	260,000	BBB-	Vale Overseas Ltd., Company Guaranteed Notes, 6.875% due 11/21/36		259,272

			Total Metals & Mining		2,957,230

	Oil, Gas & Consumable Fuels — 2.5%
	140,000	BBB	Anadarko Finance Co., Company Guaranteed Notes, 7.500% due 5/1/31		170,248
			Anadarko Petroleum Corp., Senior Unsecured Notes:
	105,000	BBB	6.375% due 9/15/17		109,866
	70,000	BBB	4.850% due 3/15/21		74,593
	200,000	BBB	3.450% due 7/15/24		195,168
	53,000	BBB	5.550% due 3/15/26		58,722
	98,000	BBB	6.450% due 9/15/36		113,467
	150,000	BBB	4.500% due 7/15/44		137,270
			Apache Corp., Senior Unsecured Notes:
	43,000	BBB	6.000% due 1/15/37		49,568
	289,000	BBB	5.100% due 9/1/40		302,587
	78,000	BBB	4.750% due 4/15/43		81,105
			BP Capital Markets PLC, Company Guaranteed Notes:
	110,000	A-	3.245% due 5/6/22		116,597
	300,000	A-	3.506% due 3/17/25		320,105
	9,000	D	California Resources Corp., Company Guaranteed Notes, 5.500% due 9/15/21		4,680
			Canadian Natural Resources Ltd., Senior Unsecured Notes:
	34,000	BBB+	3.900% due 2/1/25		34,337
	80,000	BBB+	6.250% due 3/15/38		88,204
	330,000	AA-	Chevron Corp., Senior Unsecured Notes, 2.954% due 5/16/26		344,596
	530,000	A+	CNOOC Finance 2015 USA LLC, Company Guaranteed Notes, 3.500% due 5/5/25		553,474
			Concho Resources Inc., Company Guaranteed Notes:
	90,000	BB+	6.500% due 1/15/22		94,050
	20,000	BB+	5.500% due 10/1/22		20,800
	180,000	A-	ConocoPhillips, Company Guaranteed Notes, 6.000% due 1/15/20		203,746
	30,000	BB+	Continental Resources Inc., Company Guaranteed Notes, 4.500% due 4/15/23		28,425
			Devon Energy Corp., Senior Unsecured Notes:
	294,000	BBB	3.250% due 5/15/22		292,322
	170,000	BBB	5.850% due 12/15/25		191,363
	190,000	BBB	5.600% due 7/15/41		190,569
	29,000	BBB	5.000% due 6/15/45		27,920
	75,000	BBB+	Dominion Gas Holdings LLC, Senior Unsecured Notes, 4.600% due 12/15/44		81,788
			Ecopetrol SA, Senior Unsecured Notes:
	95,000	BBB	4.125% due 1/16/25		92,150
	650,000	BBB	5.875% due 5/28/45		611,650
	285,000	BBB-	El Paso Natural Gas Co. LLC, Company Guaranteed Notes, 8.625% due 1/15/22		356,248

See Notes to Financial Statements.

162



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Oil, Gas & Consumable Fuels — 2.5% — (continued)
			Enbridge Energy Partners LP, Senior Unsecured Notes:
$	21,000	BBB	5.875% due 10/15/25	$	23,431
	13,000	BBB	7.375% due 10/15/45		16,085
	30,000	BBB+	Enbridge Inc., Senior Unsecured Notes, 3.500% due 6/10/24		29,183
			Energy Transfer Partners LP, Senior Unsecured Notes:
	10,000	BBB-	4.900% due 2/1/24		10,401
	29,000	BBB-	4.050% due 3/15/25		29,029
	178,000	BBB-	4.750% due 1/15/26		187,179
	500,000	BBB-	8.250% due 11/15/29		622,556
	90,000	BBB-	4.900% due 3/15/35		87,015
	75,000	BBB-	6.500% due 2/1/42		81,227
	80,000	BBB-	Ensco PLC, Senior Unsecured Notes, 4.700% due 3/15/21(e)		69,240
			Enterprise Products Operating LLC, Company Guaranteed Notes:
	130,000	BBB+	6.300% due 9/15/17		136,400
	60,000	BBB+	3.700% due 2/15/26		62,702
	30,000	BBB+	4.900% due 5/15/46		32,228
			EOG Resources Inc., Senior Unsecured Notes:
	125,000	BBB+	2.450% due 4/1/20		127,420
	78,000	BBB+	4.150% due 1/15/26		86,146
	140,000	CCC+	EP Energy LLC/Everest Acquisition Finance Inc., Company Guaranteed Notes, 6.375% due 6/15/23		77,350
			Exxon Mobil Corp., Senior Unsecured Notes:
	240,000	AA+	3.043% due 3/1/26		255,155
	70,000	AA+	4.114% due 3/1/46		80,490
	298,000	BB	Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas Inc., Company Guaranteed Notes, 6.125% due 6/15/19		302,470
			Halliburton Co., Senior Unsecured Notes:
	220,000	BBB+	3.800% due 11/15/25		227,691
	20,000	BBB+	4.850% due 11/15/35		21,533
	140,000	BBB+	5.000% due 11/15/45		154,746
	10,000	BBB-	Hess Corp., Senior Unsecured Notes, 7.300% due 8/15/31		11,638
			Kerr-McGee Corp., Company Guaranteed Notes:
	200,000	BBB	6.950% due 7/1/24		234,378
	75,000	BBB	7.875% due 9/15/31		91,056
			Kinder Morgan Energy Partners LP, Company Guaranteed Notes:
	120,000	BBB-	6.850% due 2/15/20		135,100
	460,000	BBB-	6.500% due 4/1/20		514,672
	50,000	BBB-	4.300% due 5/1/24		51,623
	200,000	BBB-	5.400% due 9/1/44		202,870
	105,000	BBB-	Kinder Morgan Inc., Company Guaranteed Notes, 5.050% due 2/15/46		101,118
	60,000	BBB-	Marathon Oil Corp., Senior Unsecured Notes, 3.850% due 6/1/25		56,215
	80,000	BBB	Marathon Petroleum Corp., Senior Unsecured Notes, 4.750% due 9/15/44		73,701
			MPLX LP, Company Guaranteed Notes:
	140,000	BBB-	5.500% due 2/15/23(a)		145,406
	210,000	BBB-	4.875% due 6/1/25(a)		214,705
			Noble Energy Inc., Senior Unsecured Notes:
	60,000	BBB	4.150% due 12/15/21		63,674
	160,000	BBB	3.900% due 11/15/24		163,714
	110,000	BBB	5.250% due 11/15/43		111,507
			Occidental Petroleum Corp., Senior Unsecured Notes:
	100,000	A	3.125% due 2/15/22		105,454
	90,000	A	3.400% due 4/15/26		95,326
	90,000	A	4.625% due 6/15/45		103,548
	1,000,000	BBB-	Panhandle Eastern Pipe Line Co. LP, Senior Unsecured Notes, 8.125% due 6/1/19		1,127,865
	1,090,000	B+	Petrobras Global Finance BV, Company Guaranteed Notes, 5.375% due 1/27/21		1,053,212

See Notes to Financial Statements.

163



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Oil, Gas & Consumable Fuels — 2.5% — (continued)
$	93,000	A-	Petro-Canada, Senior Unsecured Notes, 6.800% due 5/15/38	$	124,889
			Petroleos Mexicanos, Company Guaranteed Notes:
	400,000	BBB+	6.000% due 3/5/20		438,700
	930,000	BBB+	3.500% due 1/30/23		906,099
	32,000	BBB+	6.875% due 8/4/26(a)		37,280
	29,000	BBB+	6.625% due 6/15/35		31,543
	220,000	BBB+	6.500% due 6/2/41		234,322
	280,000	BBB+	6.375% due 1/23/45		296,268
	23,000	BBB-	Pioneer Natural Resources Co., Senior Unsecured Notes, 4.450% due 1/15/26		25,090
			Plains All American Pipeline LP/PAA Finance Corp., Senior Unsecured Notes:
	90,000	BBB	3.650% due 6/1/22		91,142
	35,000	BBB	4.650% due 10/15/25		36,406
			Pride International Inc., Company Guaranteed Notes:
	50,000	BBB-	8.500% due 6/15/19		52,937
	40,000	BBB-	6.875% due 8/15/20		39,346
	120,000	BB+	QEP Resources Inc., Senior Unsecured Notes, 6.875% due 3/1/21		126,060
			Range Resources Corp., Company Guaranteed Notes:
	260,000	BB+	5.000% due 3/15/23		258,050
	50,000	BB+	4.875% due 5/15/25		48,500
			Schlumberger Holdings Corp., Senior Unsecured Notes:
	170,000	AA-	3.000% due 12/21/20(a)		177,140
	120,000	AA-	4.000% due 12/21/25(a)		131,207
	20,000	AA-	Schlumberger Norge AS, Company Guaranteed Notes, 4.200% due 1/15/21(a)		21,793
	20,000	BB	SESI LLC, Company Guaranteed Notes, 7.125% due 12/15/21		19,600
			Shell International Finance BV, Company Guaranteed Notes:
	180,000	A	4.375% due 3/25/20		197,424
	260,000	A	2.875% due 5/10/26		267,953
	90,000	A	4.125% due 5/11/35		98,851
	104,000	A	4.550% due 8/12/43		117,360
	220,000	A	4.375% due 5/11/45		244,087
	40,000	A	4.000% due 5/10/46		42,027
			Southern Natural Gas Co. LLC, Company Guaranteed Notes:
	40,000	BBB-	5.900% due 4/1/17(a)		41,015
	58,000	BBB-	8.000% due 3/1/32		74,235
	35,000	BBB	Sunoco Logistics Partners Operations LP, Company Guaranteed Notes, 5.350% due 5/15/45		36,314
	800,000	BBB	Texas Eastern Transmission LP, Senior Unsecured Notes, 2.800% due 10/15/22(a)		799,958
	280,000	BBB-	Transcontinental Gas Pipe Line Co. LLC, Senior Unsecured Notes, 7.850% due 2/1/26(a)		362,807
			Whiting Petroleum Corp., Company Guaranteed Notes:
	30,000	B+	5.000% due 3/15/19		27,900
	60,000	B+	6.250% due 4/1/23(e)		52,800
			Williams Cos., Inc. (The), Senior Unsecured Notes:
	103,000	BB	7.875% due 9/1/21		120,510
	166,000	BB	8.750% due 3/15/32		205,840

			Total Oil, Gas & Consumable Fuels		18,107,530

	Paper & Forest Products — 0.1%
	110,000	BBB-	Celulosa Arauco y Constitucion SA, Senior Unsecured Notes, 4.750% due 1/11/22		118,747
			Georgia-Pacific LLC, Senior Unsecured Notes:
	40,000	A+	3.600% due 3/1/25(a)		43,006
	60,000	A+	7.750% due 11/15/29		86,799
			International Paper Co., Senior Unsecured Notes:
	249,000	BBB	3.650% due 6/15/24		263,368
	33,000	BBB	4.800% due 6/15/44		35,161

			Total Paper & Forest Products		547,081

See Notes to Financial Statements.

164



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Pharmaceuticals — 1.1%
			AbbVie Inc., Senior Unsecured Notes:
$	600,000	A-	1.750% due 11/6/17	$	602,924
	30,000	A-	2.300% due 5/14/21		30,346
	280,000	A-	2.900% due 11/6/22		288,251
	122,000	A-	2.850% due 5/14/23		124,085
	100,000	A-	3.600% due 5/14/25		106,021
	40,000	A-	3.200% due 5/14/26		41,069
	217,000	A-	4.500% due 5/14/35		236,072
	60,000	A-	4.300% due 5/14/36		63,622
	39,000	A-	4.400% due 11/6/42		41,732
	389,000	A-	4.450% due 5/14/46		419,524
			Actavis Funding SCS, Company Guaranteed Notes:
	200,000	BBB	2.350% due 3/12/18		202,410
	455,000	BBB	3.000% due 3/12/20		470,182
	100,000	BBB	3.450% due 3/15/22		104,870
	480,000	BBB	3.800% due 3/15/25		508,061
	400,000	BBB	4.550% due 3/15/35		432,139
	519,000	BBB	4.750% due 3/15/45		571,634
	200,000	A-	AstraZeneca PLC, Senior Unsecured Notes, 3.375% due 11/16/25		214,726
			Baxalta Inc., Company Guaranteed Notes:
	70,000	BBB-	2.875% due 6/23/20		71,238
	77,000	BBB-	4.000% due 6/23/25		81,922
	34,000	BBB-	5.250% due 6/23/45		40,034
	270,000	A+	GlaxoSmithKline Capital PLC, Company Guaranteed Notes, 2.850% due 5/8/22		284,838
			Johnson & Johnson, Senior Unsecured Notes:
	30,000	AAA	3.550% due 3/1/36		33,852
	25,000	AAA	3.700% due 3/1/46		29,018
	100,000	AA	Merck & Co., Inc., Senior Unsecured Notes, 2.750% due 2/10/25		104,679
	95,000	BBB-	Mylan Inc., Company Guaranteed Notes, 5.400% due 11/29/43		107,032
			Mylan NV, Company Guaranteed Notes:
	155,000	BBB-	3.950% due 6/15/26(a)		160,147
	60,000	BBB-	5.250% due 6/15/46(a)		66,121
			Pfizer Inc., Senior Unsecured Notes:
	160,000	AA	3.400% due 5/15/24		175,487
	40,000	AA	4.300% due 6/15/43		45,800
	30,000	AA	4.400% due 5/15/44		35,102
	125,000	BB+	Quintiles Transnational Corp., Company Guaranteed Notes, 4.875% due 5/15/23(a)		130,625
	125,000	BBB	Teva Pharmaceutical Finance Co. BV, Company Guaranteed Notes, 2.950% due 12/18/22		128,449
			Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes:
	115,000	BBB	1.400% due 7/20/18		114,842
	700,000	BBB	2.800% due 7/21/23		704,868
	30,000	BBB	3.150% due 10/1/26		30,271
	25,000	BBB	4.100% due 10/1/46		25,633
			Valeant Pharmaceuticals International Inc., Company Guaranteed Notes:
	350,000	B-	5.500% due 3/1/23(a)		307,125
	515,000	B-	6.125% due 4/15/25(a)		453,844
	130,000	AA	Wyeth LLC, Company Guaranteed Notes, 5.950% due 4/1/37		174,518

			Total Pharmaceuticals		7,763,113

	Real Estate Investment Trusts (REITs) — 1.2%
	700,000	BBB-	Alexandria Real Estate Equities Inc., Company Guaranteed Notes, 2.750% due 1/15/20		708,647
			American Tower Corp., Senior Unsecured Notes:
	141,000	BBB-	3.300% due 2/15/21		147,516
	128,000	BBB-	4.000% due 6/1/25		137,251
	140,000	A-	AvalonBay Communities Inc., Senior Unsecured Notes, 3.450% due 6/1/25		147,684

See Notes to Financial Statements.

165



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Real Estate Investment Trusts (REITs) — 1.2% — (continued)
			Crown Castle International Corp., Senior Unsecured Notes:
$	10,000	BBB-	3.400% due 2/15/21	$	10,491
	15,000	BBB-	3.700% due 6/15/26		15,768
	600,000	BBB-	DDR Corp., Senior Unsecured Notes, 7.500% due 4/1/17		619,218
	653,000	BBB	Duke Realty LP, Company Guaranteed Notes, 6.500% due 1/15/18		695,401
	80,000	A-	ERP Operating LP, Senior Unsecured Notes, 4.500% due 7/1/44		90,824
	555,000	BBB	HCP Inc., Senior Unsecured Notes, 4.250% due 11/15/23		586,038
	670,000	BBB	Highwoods Realty LP, Senior Unsecured Notes, 5.850% due 3/15/17		684,015
	120,000	BBB	Host Hotels & Resorts LP, Senior Unsecured Notes, 4.750% due 3/1/23		129,425
	750,000	BBB+	Kimco Realty Corp., Senior Unsecured Notes, 4.300% due 2/1/18		773,303
	300,000	BBB	Liberty Property LP, Senior Unsecured Notes, 6.625% due 10/1/17		314,981
	80,000	A	Simon Property Group LP, Senior Unsecured Notes, 3.375% due 3/15/22		85,343
	400,000	BBB-	SL Green Realty Corp., Company Guaranteed Notes, 7.750% due 3/15/20		465,499
	125,000	BBB+	Ventas Realty LP, Company Guaranteed Notes, 3.750% due 5/1/24		131,400
	1,240,000	BBB+	Ventas Realty LP/Ventas Capital Corp., Company Guaranteed Notes, 2.700% due 4/1/20		1,268,937
	654,000	BBB+	WEA Finance LLC/Westfield UK & Europe Finance PLC, Company Guaranteed Notes, 2.700% due 9/17/19(a)		670,215
	695,000	BBB	Welltower Inc., Senior Unsecured Notes, 4.950% due 1/15/21		765,787

			Total Real Estate Investment Trusts (REITs)		8,447,743

	Road & Rail — 0.1%
			Burlington Northern Santa Fe LLC, Senior Unsecured Notes:
	150,000	A	4.375% due 9/1/42		172,550
	4,000	A	4.550% due 9/1/44		4,740
	10,000	A	3.900% due 8/1/46		10,899
			Union Pacific Corp., Senior Unsecured Notes:
	64,000	A	4.163% due 7/15/22		72,159
	42,000	A	2.750% due 4/15/23		43,808
	64,000	A	3.875% due 2/1/55		67,345

			Total Road & Rail		371,501

	Semiconductors & Semiconductor Equipment — 0.1%
			Intel Corp., Senior Unsecured Notes:
	70,000	A+	3.700% due 7/29/25		78,074
	50,000	A+	4.900% due 7/29/45		60,905
	6,000	BBB	KLA-Tencor Corp., Senior Unsecured Notes, 4.650% due 11/1/24		6,612
			Lam Research Corp., Senior Unsecured Notes:
	14,000	BBB	2.800% due 6/15/21		14,370
	53,000	BBB	3.450% due 6/15/23		54,445
	32,000	BBB	3.900% due 6/15/26		33,505
			QUALCOMM Inc., Senior Unsecured Notes:
	85,000	A+	3.450% due 5/20/25		91,895
	48,000	A+	4.800% due 5/20/45		54,867

			Total Semiconductors & Semiconductor Equipment		394,673

	Software — 0.7%
			Activision Blizzard Inc., Company Guaranteed Notes:
	120,000	BBB-	5.625% due 9/15/21(a)		125,550
	460,000	BBB-	6.125% due 9/15/23(a)		505,425
			Fidelity National Information Services Inc., Company Guaranteed Notes:
	35,000	BBB	3.500% due 4/15/23		36,904
	29,000	BBB	5.000% due 10/15/25		33,347
			First Data Corp., Senior Secured Notes:
	136,000	BB	5.375% due 8/15/23(a)		141,610
	225,000	BB	5.000% due 1/15/24(a)		229,781

See Notes to Financial Statements.

166



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Software — 0.7% — (continued)
			Microsoft Corp., Senior Unsecured Notes:
$	80,000	AAA	1.550% due 8/8/21	$	79,959
	195,000	AAA	2.650% due 11/3/22		204,107
	105,000	AAA	2.000% due 8/8/23		104,927
	110,000	AAA	3.125% due 11/3/25		117,599
	575,000	AAA	2.400% due 8/8/26		578,795
	45,000	AAA	3.500% due 2/12/35		46,675
	90,000	AAA	3.450% due 8/8/36		92,724
	350,000	AAA	3.750% due 2/12/45		365,911
	300,000	AAA	4.450% due 11/3/45		348,563
	70,000	AAA	3.700% due 8/8/46		72,932
	80,000	AAA	3.950% due 8/8/56		84,575
			Oracle Corp., Senior Unsecured Notes:
	220,000	AA-	1.200% due 10/15/17		220,685
	175,000	AA-	2.800% due 7/8/21		183,472
	510,000	AA-	2.400% due 9/15/23		515,102
	193,000	AA-	3.400% due 7/8/24		207,313
	305,000	AA-	2.650% due 7/15/26		308,193
	170,000	AA-	4.500% due 7/8/44		192,191
	120,000	AA-	4.000% due 7/15/46		126,704

			Total Software		4,923,044

	Specialty Retail — 0.4%
	61,000	BBB	Dollar General Corp., Senior Unsecured Notes, 4.150% due 11/1/25		66,864
	160,000	BB-	Dollar Tree Inc., Company Guaranteed Notes, 5.750% due 3/1/23		173,000
			Lowe’s Cos., Inc., Senior Unsecured Notes:
	45,000	A-	2.500% due 4/15/26		45,713
	12,000	A-	4.250% due 9/15/44		13,590
	41,000	A-	3.700% due 4/15/46		42,958
			Walgreens Boots Alliance Inc., Senior Unsecured Notes:
	35,000	BBB	2.600% due 6/1/21		35,844
	20,000	BBB	3.100% due 6/1/23		20,670
	1,055,000	BBB	3.450% due 6/1/26		1,100,533
	75,000	BBB	4.800% due 11/18/44		84,554
	45,000	BBB	4.650% due 6/1/46		49,904
			Wal-Mart Stores Inc., Senior Unsecured Notes:
	300,000	AA	3.250% due 10/25/20		323,878
	71,000	AA	6.500% due 8/15/37		105,469
	50,000	AA	4.000% due 4/11/43		57,022
	475,000	AA	4.750% due 10/2/43		598,512
	73,000	AA	4.300% due 4/22/44		87,496

			Total Specialty Retail		2,806,007

	Technology Hardware, Storage & Peripherals — 0.3%
			Apple Inc., Senior Unsecured Notes:
	103,000	AA+	2.850% due 5/6/21		108,787
	280,000	AA+	2.450% due 8/4/26		281,106
	150,000	AA+	4.500% due 2/23/36		173,681
	75,000	AA+	3.450% due 2/9/45		73,954
	305,000	AA+	4.375% due 5/13/45		343,012
	40,000	AA+	4.650% due 2/23/46		46,900
	40,000	AA+	3.850% due 8/4/46		41,854
			Diamond 1 Finance Corp./Diamond 2 Finance Corp., Senior Secured Notes:
	400,000	BBB-	3.480% due 6/1/19(a)		411,871
	330,000	BBB-	4.420% due 6/15/21(a)		345,425

See Notes to Financial Statements.

167



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Technology Hardware, Storage & Peripherals — 0.3% — (continued)
$	40,000	BBB-	5.450% due 6/15/23(a)	$	42,707
	80,000	BBB-	6.020% due 6/15/26(a)		85,750
	30,000	BBB-	8.100% due 7/15/36(a)		34,940
	15,000	BBB-	8.350% due 7/15/46(a)		17,533
	150,000	AA-	International Business Machines Corp., Senior Unsecured Notes, 2.875% due 11/9/22		157,968

			Total Technology Hardware, Storage & Peripherals		2,165,488

	Tobacco — 0.4%
			Altria Group Inc., Company Guaranteed Notes:
	260,000	A-	9.250% due 8/6/19		317,781
	130,000	A-	4.750% due 5/5/21		147,866
	150,000	A-	9.950% due 11/10/38		273,825
	290,000	A-	10.200% due 2/6/39		541,993
	202,000	A-	5.375% due 1/31/44		262,942
			Philip Morris International Inc., Senior Unsecured Notes:
	190,000	A	2.900% due 11/15/21		200,167
	180,000	A	4.500% due 3/20/42		207,510
			Reynolds American Inc., Company Guaranteed Notes:
	10,000	BBB	8.125% due 6/23/19		11,753
	61,000	BBB	3.250% due 6/12/20		64,193
	50,000	BBB	4.450% due 6/12/25		56,222
	571,000	BBB	5.850% due 8/15/45		745,507

			Total Tobacco		2,829,759

	Transportation — 0.0%
			FedEx Corp., Company Guaranteed Notes:
	135,000	BBB	3.875% due 8/1/42		136,838
	49,000	BBB	4.100% due 2/1/45		51,361

			Total Transportation		188,199

	Wireless Telecommunication Services — 0.3%
	300,000	BB-	Altice US Finance I Corp., Senior Secured Notes, 5.375% due 7/15/23(a)		315,000
	330,000	A-	América Móvil SAB de CV, Company Guaranteed Notes, 5.000% due 3/30/20		365,225
	300,000	BBB-	Bharti Airtel Ltd., Senior Unsecured Notes, 4.375% due 6/10/25(a)		317,482
	50,000	BBB+	GTE Corp., Company Guaranteed Notes, 6.940% due 4/15/28		65,614
	220,000	B	Sprint Capital Corp., Company Guaranteed Notes, 8.750% due 3/15/32		219,450
	250,000	BB-	Sprint Communications Inc., Company Guaranteed Notes, 9.000% due 11/15/18(a)		276,250
			Sprint Corp., Company Guaranteed Notes:
	20,000	B	7.250% due 9/15/21		19,875
	40,000	B	7.875% due 9/15/23		39,079
	290,000	B	7.625% due 2/15/25		276,769
			Telefónica Emisiones SAU, Company Guaranteed Notes:
	70,000	BBB	5.877% due 7/15/19		77,914
	80,000	BBB	5.134% due 4/27/20		88,848
			T-Mobile USA Inc., Company Guaranteed Notes:
	275,000	BB	6.250% due 4/1/21		288,062
	25,000	BB	6.731% due 4/28/22		26,375

			Total Wireless Telecommunication Services		2,375,943

			TOTAL CORPORATE BONDS & NOTES (Cost — $187,358,519)		199,335,433

	U.S. GOVERNMENT AGENCIES & OBLIGATIONS — 27.4%
	U.S. GOVERNMENT OBLIGATIONS — 26.4%
			U.S. Treasury Bonds:
	690,000		3.750% due 8/15/41		904,183
	3,190,000		3.125% due 11/15/41		3,789,060

See Notes to Financial Statements.

168



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Security	Value
	U.S. GOVERNMENT OBLIGATIONS — 26.4% — (continued)
$	1,665,000	3.125% due 2/15/42	$	1,979,822
	100,000	3.125% due 2/15/43		118,904
	990,000	3.750% due 11/15/43		1,315,018
	415,000	3.125% due 8/15/44		494,450
	16,300,000	3.000% due 5/15/45		18,980,910
	625,000	2.875% due 8/15/45		710,937
	5,370,000	3.000% due 11/15/45		6,259,197
	2,770,000	2.500% due 2/15/46		2,927,380
	14,665,000	2.500% due 5/15/46		15,521,993
	2,170,000	2.250% due 8/15/46		2,178,478
		U.S. Treasury Inflation Indexed Bonds:
	609,797	1.750% due 1/15/28		710,673
	292,182	2.125% due 2/15/40		391,492
	661,373	0.750% due 2/15/42		686,130
	1,897,830	1.375% due 2/15/44		2,268,813
	2,584,590	0.750% due 2/15/45		2,691,160
	2,238,016	1.000% due 2/15/46		2,497,494
		U.S. Treasury Inflation Indexed Notes:
	3,034,748	0.375% due 7/15/23		3,115,999
	485,524	0.625% due 1/15/24		505,256
	773,422	0.250% due 1/15/25		781,197
	2,424,162	0.375% due 7/15/25		2,481,789
	2,566,483	0.625% due 1/15/26		2,678,987
		U.S. Treasury Notes:
	70,000	0.750% due 6/30/17		70,069
	240,000	0.625% due 11/30/17		239,728
	190,000	0.875% due 5/31/18		190,312
	7,465,000	0.750% due 7/31/18		7,458,587
	9,180,000	0.750% due 8/31/18		9,171,398
	11,695,000	0.875% due 6/15/19		11,687,924
	265,000	0.750% due 7/15/19		263,866
	20,000	1.625% due 7/31/19		20,406
	580,000	1.375% due 3/31/20		586,967
	4,610,000	1.625% due 6/30/20		4,704,362
	870,000	2.000% due 9/30/20		900,331
	150,000	1.375% due 10/31/20		151,491
	1,390,000	1.375% due 1/31/21		1,402,787
	5,335,000	1.250% due 3/31/21		5,353,443
	2,625,000	1.375% due 4/30/21		2,648,124
	5,545,000	1.125% due 6/30/21		5,528,975
	29,610,000	1.125% due 7/31/21(e)		29,514,004
	400,000	1.750% due 3/31/22		409,625
	16,875,000	1.500% due 3/31/23		16,969,584
	1,127,000	1.625% due 4/30/23		1,141,880
	1,160,000	1.625% due 5/31/23		1,175,202
	6,100,000	1.375% due 6/30/23		6,080,102
	1,935,000	1.250% due 7/31/23		1,912,022
	4,900,000	1.375% due 8/31/23		4,879,141
	3,970,000	1.625% due 5/15/26		3,985,662
	50,000	1.500% due 8/15/26		49,684

		TOTAL U.S. GOVERNMENT OBLIGATIONS		190,484,998

	U.S. GOVERNMENT AGENCIES — 1.0%
		Federal Home Loan Bank (FHLB):
	875,000	1.125% due 7/14/21		867,284

See Notes to Financial Statements.

169



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Security	Value
	U.S. GOVERNMENT AGENCIES — 1.0% — (continued)
$	345,000	4.000% due 9/1/28	$	412,373
	1,520,000	step bond to yield, 1.250% due 6/28/30		1,522,816
	810,000	Federal Home Loan Mortgage Corp. (FHLMC), 1.250% due 10/2/19		815,517
		Federal National Mortgage Association (FNMA):
	650,000	zero coupon, due 10/9/19		623,101
	250,000	1.250% due 8/17/21		249,013
	405,000	7.125% due 1/15/30		636,401
		Federal National Mortgage Association (FNMA), Principal Strip:
	575,000	due 1/15/30(j)		409,881
	595,000	due 5/15/30(j)		421,983
		Residual Funding Corp., Principal Strip:
	1,030,000	due 10/15/19(j)		994,659
	240,000	due 7/15/20(j)		227,858

		TOTAL U.S. GOVERNMENT AGENCIES		7,180,886

		TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS (Cost — $190,393,440)		197,665,884

	MORTGAGE-BACKED SECURITIES — 24.6%
	FHLMC — 6.1%
		Federal Home Loan Mortgage Corp. (FHLMC):
	5,631	8.500% due 11/1/16 — 7/1/17		5,643
	724	8.000% due 1/1/17 — 6/1/17		725
	32,410	2.625% due 12/1/34(b)		34,607
	21,969	2.770% due 1/1/35(b)		23,326
	40,678	2.543% due 2/1/37(b)		42,444
	70,847	2.250% due 5/1/37(b)		72,994
	86,345	2.995% due 5/1/37(b)		92,261
	40,195	3.099% due 3/1/41(b)		42,270
	115,903	2.037% due 7/1/42(b)		121,338
		Gold:
	329,969	6.000% due 5/1/17 — 6/1/39		372,262
	657	8.500% due 2/1/18		661
	1,026,324	5.000% due 6/1/21 — 6/1/41		1,140,933
	10,339,274	4.000% due 10/1/25 — 2/1/46		11,184,140
	84,353	4.500% due 4/1/29		92,238
	1,175,975	5.500% due 1/1/30 — 2/1/40		1,317,077
	9,513,309	3.000% due 3/1/31 — 9/1/46		9,898,273
	316,432	6.500% due 8/1/37 — 9/1/39		366,847
	29,509	7.000% due 3/1/39		34,405
	17,733,185	3.500% due 12/1/42 — 4/1/46		18,794,456
	300,000	3.500% due 9/1/46(g)		315,949

		TOTAL FHLMC		43,952,849

	FNMA — 15.3%
		Federal National Mortgage Association (FNMA):
	1,732,505	5.500% due 11/1/16 — 5/1/40		1,961,776
	158	8.500% due 4/1/17		161
	13,995,275	4.000% due 10/1/19 — 4/1/45		15,156,766
	1,035,000	4.399% due 2/1/20		1,126,321
	1,145,000	3.459% due 11/1/20		1,228,957
	482,729	3.540% due 11/1/20		518,447
	187,935	6.000% due 9/1/21 — 10/1/35		215,100
	1,152,734	3.650% due 11/1/21		1,254,480
	2,419,556	5.000% due 6/1/22 — 5/1/42		2,691,673
	6,280,277	4.500% due 3/1/24 — 10/1/44		6,898,472

See Notes to Financial Statements.

170



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Security	Value
	FNMA — 15.3% — (continued)
$	24,946,426	3.500% due 11/1/25 — 6/1/46	$	26,508,194
	1,478,431	2.964% due 5/1/27		1,572,880
	3,595,116	2.500% due 11/1/27 — 10/1/42		3,706,011
	8,815,174	3.000% due 12/1/27 — 4/1/45		9,235,864
	525,000	3.010% due 4/1/28		560,752
	545,000	3.050% due 4/1/28		584,247
	6,310,000	2.500% due 9/1/31 — 10/1/44(g)		6,516,625
	11,680,000	3.000% due 9/1/31 — 10/1/46(g)		12,109,805
	275,000	3.200% due 3/1/31		297,861
	2,800,000	3.500% due 9/1/31(g)		2,956,789
	268,785	2.654% due 3/1/34(b)		280,640
	76,245	2.495% due 12/1/34(b)		80,348
	6,744	2.497% due 12/1/34(b)		7,129
	70,318	2.835% due 9/1/35(b)		74,655
	79,884	2.354% due 10/1/35(b)		83,317
	127,274	2.454% due 10/1/35(b)		133,025
	21,594	2.337% due 11/1/35(b)		22,523
	24,097	2.392% due 11/1/35(b)		25,125
	20,921	2.395% due 11/1/35(b)		21,952
	23,028	2.409% due 11/1/35(b)		24,054
	64,147	2.415% due 11/1/35(b)		66,948
	25,842	2.428% due 11/1/35(b)		27,001
	275,373	2.471% due 1/1/36(b)		290,437
	95,462	2.373% due 9/1/36(b)		100,877
	29,917	2.743% due 12/1/36(b)		31,794
	91,507	7.000% due 4/1/37		104,344
	149,670	2.336% due 5/1/37(b)		158,448
	545,792	6.500% due 9/1/37 — 5/1/40		628,415
	57,174	2.922% due 2/1/41(b)		59,683
	126,580	2.979% due 7/1/41(b)		133,416
	137,794	2.022% due 7/1/42(b)		144,428
	25,016	2.233% due 7/1/42(b)		25,974
	700,000	5.000% due 9/1/46(g)		775,906
	2,600,000	4.000% due 10/1/46(g)		2,783,168
	3,400,000	4.000% due 9/1/46(g)		3,642,516
	5,385,000	4.500% due 9/1/46(g)		5,883,113

		TOTAL FNMA		110,710,417

	GNMA — 3.2%
		Government National Mortgage Association (GNMA):
	419	8.500% due 5/15/17		421
	94	9.500% due 8/15/17		94
	73,799	6.000% due 12/15/33 — 1/15/38		85,139
	871,527	5.000% due 10/15/34 — 9/15/40		979,080
	76,333	5.500% due 5/15/37 — 6/15/38		86,304
	120,815	6.500% due 1/15/38 — 10/15/38		142,062
	226,329	4.500% due 3/15/41		252,429
	852,464	4.000% due 6/15/41 — 11/15/45		928,132
		Government National Mortgage Association II (GNMA):
	227	8.500% due 1/20/17		228
	1,558	9.000% due 4/20/17 — 11/20/21		1,685
	182,291	6.000% due 7/20/37 — 11/20/40		210,301
	1,912,305	4.500% due 1/20/40 — 3/20/46		2,088,800
	361,859	5.000% due 7/20/40 — 9/20/41		402,099
	1,356,586	4.000% due 11/20/40 — 1/20/46		1,452,751

See Notes to Financial Statements.

171



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	GNMA — 3.2% — (continued)
$	4,095,757		3.000% due 1/20/43 — 8/20/46	$	4,298,350
	5,400,392		3.500% due 6/20/43 — 4/20/46		5,742,449
	3,860,000		3.000% due 9/20/45(g)		4,044,254
	1,900,000		3.500% due 9/20/45(g)		2,016,820

			TOTAL GNMA		22,731,398

			TOTAL MORTGAGE-BACKED SECURITIES (Cost — $174,869,097)		177,394,664

	COLLATERALIZED MORTGAGE OBLIGATIONS — 12.0%
	270,000	AAA	225 Liberty Street Trust, Series 2016-225L, Class A, 3.597% due 2/10/36(a)		296,220
	2,800,000	CCC	Accredited Mortgage Loan Trust, Series 2007-1, Class A4, 0.744% due 2/25/37(b)		2,341,825
	16,146	AAA	ACE Securities Corp. Home Equity Loan Trust, Series 2004-SD1, Class A1, 1.014% due 11/25/33(b)		16,150
	105,205	CC	AFC Home Equity Loan Trust, Series 1999-2, Class 2A, 1.174% due 6/25/29(b)		90,798
	829,005	Ca(c)	Alternative Loan Trust Resecuritization, Series 2008-2R, Class 3A1, 6.000% due 8/25/37		682,512
	1,426,389	CCC	Asset Backed Securities Corp. Home Equity Loan Trust, Series 2007-HE1, Class A1B, 0.674% due 12/25/36(b)		1,324,089
	480,000	AA-	BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class B, 3.490% due 4/14/33(a)		505,442
			Banc of America Commercial Mortgage Trust:
	229,190	AA+	Series 2007-2, Class A4, 5.791% due 4/10/49(b)		231,057
	771,402	AA	Series 2008-1, Class A1A, 6.392% due 2/10/51(b)		801,213
	240,000	B+	Series 2008-1, Class AJ, 6.479% due 2/10/51(b)		238,739
	88,413	AA+	Banc of America Mortgage Trust, Series 2004-F, Class 1A1, 3.164% due 7/25/34(b)		90,068
	418,866	A+	Bayview Commercial Asset Trust, Series 2007-3, Class A1, 0.764% due 7/25/37(a)(b)		358,029
	5,448	AAA	Bayview Financial Mortgage Pass-Through Trust, Series 2004-A, Class A, 1.168% due 2/28/44(b)		5,458
	523,157	NR	BCAP LLC, Series 2013-RR1, Class 6A1, 3.032% due 5/26/36(a)(b)		523,656
			Bear Stearns Adjustable Rate Mortgage Trust:
	135,662	A+	Series 2005-2, Class A2, 2.924% due 3/25/35(b)		137,045
	468,987	D(h)	Series 2007-3, Class 1A1, 3.418% due 5/25/47(b)		425,359
			Bear Stearns ALT-A Trust:
	300,127	BBB+	Series 2004-7, Class 2A1, 3.035% due 8/25/34(b)		301,784
	228,271	CCC	Series 2005-2, Class 2A4, 2.851% due 4/25/35(b)		219,650
	189,539	B	Series 2005-4, Class 23A2, 2.952% due 5/25/35(b)		186,618
	733,881	CCC	Bear Stearns Asset Backed Securities Trust, Series 2005-AC6, Class 1A3, 5.500% due 9/25/35(b)		733,202
	565,000	BBB	Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW18, Class AM, 6.084% due 6/11/50(b)		585,472
	322,574	BBB	Bear Stearns Structured Products Trust, Series 2007-EMX1, Class A1, 1.524% due 3/25/37(a)(b)		320,266
	648,357	BB	Bravo Mortgage Asset Trust, Series 2006-1A, Class A2, 0.764% due 7/25/36(a)(b)		631,915
	1,600,444	BB+	Centex Home Equity Loan Trust, Series 2006-A, Class AV4, 0.774% due 6/25/36(b)		1,559,852
	545,000	AAA	CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class A, 3.369% due 3/13/35(a)		582,201
	750	AAA	Chase Funding Trust, Series 2002-2, Class 2A1, 1.024% due 5/25/32(b)		685
	238,608	BB	Chase Mortgage Finance Trust, Series 2007-A1, Class 5A1, 3.068% due 2/25/37(b)		236,446
			Chevy Chase Funding LLC Mortgage-Backed Certificates:
	894,489	A+	Series 2004-2A, Class A1, 0.794% due 5/25/35(a)(b)		807,997
	2,623,199	CCC	Series 2004-2A, Class B1, 0.940% due 5/25/35(a)(b)		1,908,139
			Citigroup Commercial Mortgage Trust:
	270,000	Aaa(c)	Series 2013-375P, Class A, 3.251% due 5/10/35(a)		287,684
	300,000	BB(h)	Series 2014-GC19, Class E, 4.563% due 3/10/47(a)(b)		195,927
	140,000	Aa1(c)	Series 2014-GC25, Class AS, 4.017% due 10/10/47		153,898
	420,000	BBB-(h)	Series 2015-GC33, Class D, 3.172% due 9/10/58		300,876
	770,000	CCC	Citigroup Mortgage Loan Trust Inc., Series 2006-WFH2, Class M1, 0.794% due 8/25/36(b)		634,418

See Notes to Financial Statements.

172



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
			Citigroup/Deutsche Bank Commercial Mortgage Trust:
$	202,837	Caa3(c)	Series 2006-CD2, Class AJ, 5.563% due 1/15/46(b)	$	173,547
	60,000	B-	Series 2006-CD3, Class AJ, 5.688% due 10/15/48		35,700
	9,230	Caa3(c)	Series 2007-CD4, Class AJ, 5.398% due 12/11/49(b)		7,392
	50,000	Aa1(c)	COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class AMFX, 5.526% due 4/15/47(b)		50,818
	400,000	Aa2(c)	Colony Mortgage Capital Ltd., Series 2014-FL2, Class B, 2.962% due 11/10/31(a)(b)		401,574
	557,155	AA+	Commercial Mortgage Loan Trust, Series 2008-LS1, Class A1A, 6.296% due 12/10/49(b)		578,999
			Commercial Mortgage Trust:
	440,000	Aa1(c)	Series 2006-C8, Class AM, 5.347% due 12/10/46		442,725
	281,309	AAA	Series 2007-C9, Class A4, 6.007% due 12/10/49(b)		288,623
	436,607	Aaa(c)	Series 2012-LC4, Class A2, 2.256% due 12/10/44		437,367
	265,000	AAA(h)	Series 2013-300P, Class A1, 4.353% due 8/10/30(a)		300,544
	190,000	AA-(h)	Series 2013-300P, Class B, 4.540% due 8/10/30(a)(b)		212,873
	260,000	BB	Series 2013-CR9, Class E, 4.398% due 7/10/45(a)(b)		203,598
	40,000	Aa3(c)	Series 2013-CR12, Class B, 4.762% due 10/10/46(b)		45,379
	20,000	A3(c)	Series 2013-CR12, Class C, 5.253% due 10/10/46(b)		22,136
	265,000	AAA(h)	Series 2014-277P, Class A, 3.732% due 8/10/49(a)(b)		290,364
	210,000	A-(h)	Series 2014-CR21, Class C, 4.565% due 12/10/47(b)		223,114
	345,000	Aaa(c)	Series 2014-LC17, Class A5, 3.917% due 10/10/47		385,687
	290,000	AAA(h)	Series 2015-3BP, Class A, 3.178% due 2/10/35(a)		308,874
	5,361,529	Aa1(c)	Series 2015-CR25, Class XA, 1.119% due 8/10/48(b)(i)		345,437
	270,000	AAA	Series 2016-787S, Class A, 3.545% due 2/10/36(a)		295,278
	1,600,000	BB-	Core Industrial Trust, Series 2015-TEXW, Class E, 3.977% due 2/10/34(a)(b)		1,555,445
			Countrywide Alternative Loan Trust:
	465,714	CCC	Series 2005-24, Class 4A1, 0.751% due 7/20/35(b)		417,067
	663,897	D	Series 2006-OA17, Class 1A1A, 0.707% due 12/20/46(b)		488,535
			Countrywide Asset-Backed Certificates:
	4,680	AAA	Series 2002-3, Class 1A1, 1.264% due 5/25/32(b)		4,487
	282,973	CCC	Series 2006-SD3, Class A1, 0.854% due 7/25/36(a)(b)		232,312
	971,968	CCC	Series 2007-4, Class A4W, 5.231% due 4/25/47		942,575
	407,663	AA	Series 2007-13, Class 2A2, 1.324% due 10/25/47(b)		367,439
			Countrywide Home Loan Mortgage Pass Through Trust:
	169,443	D	Series 2005-11, Class 3A3, 2.425% due 4/25/35(b)		116,574
	69,272	NR	Series 2005-11, Class 6A1, 1.124% due 3/25/35(b)		62,409
			Credit Suisse Commercial Mortgage Capital Trust:
	5,094,902	Caa3(c)	Series 2006-7, Class 3A2, 6.676% due 8/25/36(b)(f)(i)		1,272,065
	290,000	B-	Series 2014-USA, Class F, 4.373% due 9/15/37(a)		236,112
	1,198,479	NR	Series 2015-5R, Class 1A1, 1.066% due 9/27/46(a)		1,156,158
			Credit Suisse Commercial Mortgage Trust:
	133,008	Caa2(c)	Series 2006-C3, Class AJ, 6.393% due 6/15/38(b)		81,800
	40,000	B-	Series 2006-C5, Class AJ, 5.373% due 12/15/39		34,558
	385,000	BBB	Series 2006-C5, Class AM, 5.343% due 12/15/39		386,430
	310,000	BBB-	Series 2007-C2, Class AM, 5.615% due 1/15/49(b)		313,732
			Credit Suisse First Boston Mortgage Securities Corp.:
	359,941	AA+	Series 2004-AR7, Class 2A1, 3.173% due 11/25/34(b)		371,953
	297,706	BBB	Series 2005-6, Class 8A1, 4.500% due 7/25/20		300,192
	295,000	Aaa(c)	Credit Suisse USA CSAIL Commercial Mortgage Trust, Series 2015-C1, Class A4, 3.505% due 4/15/50		321,215
	102,428	CCC	Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR2, Class A2B, 1.314% due 11/19/44(b)		89,962
	650,000	AAA	Dryden XXV Senior Loan Fund, Series 2012-25A, Class A, 2.060% due 1/15/25(a)(b)		649,996
			EMC Mortgage Loan Trust:
	2,618	BBB(h)	Series 2002-B, Class A1, 1.521% due 2/25/41(a)(b)		2,568
	14,967	BBB-	Series 2003-A, Class A1, 1.074% due 8/25/40(a)(b)		13,986
	655,120	B-	Equifirst Mortgage Loan Trust, Series 2003-2, Class M2, 3.074% due 9/25/33(b)		630,382

See Notes to Financial Statements.

173



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
$	276,813	AAA	Extended Stay America Trust, Series 2013-ESH7, Class A27, 2.958% due 12/5/31(a)	$	277,355
			Federal Home Loan Mortgage Corp. (FHLMC), REMICS:
	8,053	NR	Series 1865, Class DA, 28.224% due 2/15/24(b)(i)		7,049
	132,247	NR	Series 3451, Class SB, 5.522% due 5/15/38(b)(i)		16,894
	159,255	NR	Series 3621, Class SB, 5.722% due 1/15/40(b)(i)		28,127
	555,000	NR	Series 3743, Class PB, 4.500% due 10/15/40		661,205
	2,056,772	NR	Series 3866, Class SA, 5.442% due 5/15/41(b)(i)		260,450
	789,926	NR	Series 3947, Class SG, 5.442% due 10/15/41(b)(i)		125,525
	67,406	NR	Series 4076, Class SW, 5.542% due 7/15/42(b)(i)		16,518
	64,735	NR	Series 4136, Class SE, 5.642% due 11/15/42(b)(i)		12,260
	69,633	NR	Series 4136, Class SJ, 5.642% due 11/15/42(b)(i)		12,424
	583,945	NR	Series 4203, Class PS, 5.742% due 9/15/42(b)(i)		107,057
	323,827	NR	Series 4210, Class Z, 3.000% due 5/15/43		321,099
	331,741	NR	Series 4239, Class IO, 3.500% due 6/15/27(i)		36,347
	267,518	NR	Series 4316, Class XZ, 4.500% due 3/15/44		323,325
	168,894	NR	Series 4335, Class SW, 5.492% due 5/15/44(b)(i)		31,005
	171,173	NR	Series R007, Class ZA, 6.000% due 5/15/36		194,218
			Federal National Mortgage Association (FNMA), ACES:
	513,065	NR	Series 2006-M2, Class A2A, 5.271% due 10/25/32(b)		568,712
	20,874,964	NR	Series 2013-M7, Class X2, 0.303% due 12/27/22(b)(i)		242,797
	385,776	NR	Series 2014-M12, Class FA, 0.773% due 10/25/21(b)		386,162
	100,000	NR	Series 2015-M7, Class AB2, 2.502% due 12/25/24		102,631
	6,567,683	NR	Series 2015-M7, Class X2, 0.628% due 12/25/24(b)(i)		244,154
	21,489,518	NR	Series 2015-M8, Class X2, 0.279% due 1/25/25(b)(i)		278,612
	190,000	NR	Series 2016-M5, Class A2, 2.469% due 4/25/26		195,729
	400,000	NR	Series 2016-M7, Class A2, 2.499% due 9/25/26		407,184
			Federal National Mortgage Association (FNMA), Grantor Trust:
	105,236	NR	Series 2000-T6, Class A3, 4.195% due 6/25/30(b)		108,975
	7,161	NR	Series 2002-T6, Class A1, 3.310% due 2/25/32		7,223
			Federal National Mortgage Association (FNMA), Interest Strip:
	261,091	NR	Series 409, Class C13, 3.500% due 11/25/41(i)		36,448
	491,950	NR	Series 409, Class C18, 4.000% due 4/25/42(i)		80,547
	77,524	NR	Series 409, Class C22, 4.500% due 11/25/39(i)		11,946
			Federal National Mortgage Association (FNMA), REMICS:
	53,468	NR	Series 2004-38, Class FK, 0.874% due 5/25/34(b)		53,368
	322,703	NR	Series 2005-117, Class LC, 5.500% due 11/25/35		348,726
	1,188,261	NR	Series 2006-51, Class SP, 6.126% due 3/25/36(b)(i)		211,559
	584,671	NR	Series 2007-68, Class SC, 6.176% due 7/25/37(b)(i)		113,762
	1,217,802	NR	Series 2008-18, Class SM, 6.476% due 3/25/38(b)(i)		208,724
	674,752	NR	Series 2011-87, Class SG, 6.026% due 4/25/40(b)(i)		110,550
	383,793	NR	Series 2011-90, Class QI, 5.000% due 5/25/34(i)		31,018
	770,000	NR	Series 2011-131, Class PB, 4.500% due 12/25/41		892,877
	233,031	NR	Series 2012-46, Class BA, 6.000% due 5/25/42		266,577
	362,493	NR	Series 2012-51, Class B, 7.000% due 5/25/42		423,068
	52,813	NR	Series 2012-70, Class YS, 6.126% due 2/25/41(b)(i)		6,613
	269,841	NR	Series 2012-74, Class SA, 6.126% due 3/25/42(b)(i)		49,022
	44,974	NR	Series 2012-75, Class AO, zero coupon, due 3/25/42(j)		40,955
	439,041	NR	Series 2012-118, Class CI, 3.500% due 12/25/39(i)		43,754
	71,189	NR	Series 2012-128, Class SL, 5.626% due 11/25/42(b)(i)		14,482
	141,209	NR	Series 2012-128, Class SQ, 5.626% due 11/25/42(b)(i)		30,461
	196,545	NR	Series 2012-133, Class CS, 5.626% due 12/25/42(b)(i)		35,157
	68,114	NR	Series 2012-133, Class SA, 5.626% due 12/25/42(b)(i)		12,929
	820,213	NR	Series 2013-9, Class BC, 6.500% due 7/25/42		948,825
	649,603	NR	Series 2013-9, Class CB, 5.500% due 4/25/42		734,248
	417,450	NR	Series 2013-10, Class JS, 5.626% due 2/25/43(b)(i)		76,862
	409,949	NR	Series 2013-10, Class SJ, 5.626% due 2/25/43(b)(i)		91,048

See Notes to Financial Statements.

174



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
			FHLMC Multifamily Structured Pass Through Certificates:
$	261,218	AAA(h)	Series K016, Class X1, 1.701% due 10/25/21(b)(i)	$	17,141
	190,000	AAA(h)	Series K043, Class A2, 3.062% due 12/25/24		205,395
	168,162	AAA(h)	Series K053, Class A2, 2.995% due 12/25/25		181,492
	655,000	NR	Series K151, Class A3, 3.511% due 4/25/30		734,570
	995,474	Aa2(c)	Series KF02, Class A2, 1.074% due 7/25/20(b)		997,352
	315,000	NR	Series KSCT, Class A2, 4.285% due 1/25/20		344,073
	805,000	AAA	Ford Credit Floorplan Master Owner Trust, Series 2012-5, Class A, 1.490% due 9/15/19		807,540
	565,000	AAA	Four Times Square Trust Commercial Mortgage Pass Through Certificates, Series 2006-4TS, Class A, 5.401% due 12/13/28(a)		637,171
	60,000	BBB+(h)	FREMF Mortgage Trust, Series 2015-K47, Class B, 3.724% due 6/25/48(a)(b)		59,606
			GAHR Commercial Mortgage Trust, Series 2015-NRF:
	648,997	AAA	Class AFL1, 1.808% due 12/15/34(a)(b)		652,592
	505,000	BBB-	Class DFX, 3.495% due 12/15/34(a)(b)		508,722
	194,098	BB+	GE Business Loan Trust, Series 2006-1A, Class C, 0.928% due 5/15/34(a)(b)		164,714
	74,218	A+	GMAC Home Equity Notes Loan Trust, Series 2004-VF1, Class A1, 1.238% due 2/25/31(a)(b)		73,855
			Government National Mortgage Association (GNMA):
	2,411,340	NR	Series 2008-51, Class GS, 5.723% due 6/16/38(b)(i)		539,608
	47,532	NR	Series 2010-31, Class GS, 5.988% due 3/20/39(b)(i)		3,126
	145,468	NR	Series 2010-85, Class HS, 6.138% due 1/20/40(b)(i)		15,714
	31,868	NR	Series 2010-107, Class SG, 5.638% due 2/20/38(b)(i)		1,183
	3,603,975	NR	Series 2013-85, Class IA, 0.753% due 3/16/47(b)(i)		171,652
	2,444,950	NR	Series 2014-105, Class IO, 1.085% due 6/16/54(b)(i)		167,353
	182,001	NR	Series 2015-167, Class OI, 4.000% due 4/16/45(i)		37,774
	350,000	Aa2(c)	GS Mortgage Securities Corp. II, Series 2015-GC30, Class AS, 3.777% due 5/10/50		379,011
			GS Mortgage Securities Trust:
	632,224	BBB-	Series 2007-GG10, Class A1A, 5.988% due 8/10/45(b)		644,538
	5,485,920	Aa1(c)	Series 2015-GS1, Class XA, 0.987% due 11/10/48(b)(i)		329,800
			Harborview Mortgage Loan Trust:
	390,450	BBB+	Series 2004-5, Class 2A6, 2.785% due 6/19/34(b)		389,117
	143,511	WD(h)	Series 2006-2, Class 1A, 3.087% due 2/25/36(b)		118,253
	287,975	A+	HSI Asset Securitization Corp. Trust, Series 2006-OPT1, Class 2A3, 0.714% due 12/25/35(b)		286,009
	2,402	AA+	Impac CMB Trust, Series 2003-1, Class 1A1, 1.324% due 3/25/33(b)		2,337
	75,916	D	Indymac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 3.020% due 9/25/35(b)		64,029
	1,178,478	CCC	IXIS Real Estate Capital Trust, Series 2006-HE2, Class A3, 0.684% due 8/25/36(b)		459,564
			JPMBB Commercial Mortgage Securities Trust:
	80,000	A3(c)	Series 2013-C15, Class C, 5.215% due 11/15/45(b)		89,281
	40,000	Aa3(c)	Series 2013-C17, Class B, 5.050% due 1/15/47(b)		46,023
	350,000	BB(h)	Series 2014-C23, Class E, 3.364% due 9/15/47(a)(b)		233,580
	240,000	A3(c)	Series 2014-C24, Class C, 4.573% due 11/15/47(b)		256,423
	120,000	Aaa(c)	Series 2015-C31, Class A3, 3.801% due 8/15/48		133,036
			JPMorgan Chase Commercial Mortgage Securities Trust:
	21,687	AA+	Series 2006-LDP9, Class A3, 5.336% due 5/15/47		21,738
	960,000	CCC	Series 2007-CB18, Class AJ, 5.502% due 6/12/47(b)		852,840
	390,000	BBB-	Series 2007-CB20, Class AM, 6.089% due 2/12/51(b)		404,443
	3,532	AAA	Series 2011-C3, Class A2, 3.673% due 2/15/46(a)		3,534
	814,352	AAA	Series 2011-C4, Class A3, 4.106% due 7/15/46(a)		846,548
	140,000	Aaa(c)	Series 2011-C5, Class A3, 4.171% due 8/15/46		152,563
	175,000	Aaa(c)	Series 2011-C5, Class AS, 5.508% due 8/15/46(a)(b)		201,029
	370,000	Aa2(c)	Series 2011-C5, Class B, 5.508% due 8/15/46(a)(b)		421,791
	2,190,663	Aaa(c)	Series 2012-CBX, Class XA, 1.838% due 6/15/45(b)(i)		138,266
	460,000	AA	Series 2012-HSBC, Class C, 4.021% due 7/5/32(a)		474,340
	650,000	AA-	Series 2014-FL6, Class B, 2.788% due 11/15/31(a)(b)		638,533
	150,000	A-	Series 2014-PHH, Class C, 2.608% due 8/15/27(a)(b)		149,617
	300,000	AAA	Series 2015-SGP, Class A, 2.208% due 7/15/36(a)(b)		302,665
	647,617	Aa1(c)	JPMorgan Trust, Series 2015-5, Class A9, 2.897% due 5/25/45(a)(b)		644,844

See Notes to Financial Statements.

175



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
			LB-UBS Commercial Mortgage Trust:
$	710,000	AA-	Series 2006-C7, Class AM, 5.378% due 11/15/38	$	711,256
	500,000	BB	Series 2007-C6, Class AM, 6.114% due 7/15/40(b)		513,482
	160,000	A-	Series 2007-C7, Class AM, 6.365% due 9/15/45(b)		167,383
	97,580	D	Lehman XS Trust, Series 2005-7N, Class 1A1B, 0.824% due 12/25/35(b)		61,232
	630,000	AAA	Limerock CLO II Ltd., Series 2014-2A, Class A, 2.179% due 4/18/26(a)(b)		630,013
	372,610	AAA	Lone Star Portfolio Trust, Series 2015-LSP, Class A1A2, 2.308% due 9/15/28(a)(b)		378,779
	760,000	Aaa(c)	Magnetite IX Ltd., Series 2014-9A, Class A1, 2.135% due 7/25/26(a)(b)		759,988
	174,693	A+	MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7, 3.028% due 11/21/34(b)		178,733
	574,161	AA+	MASTR Seasoned Securitization Trust, Series 2005-1, Class 4A1, 2.759% due 10/25/32(b)		574,950
	371,524	CCC	Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A4, 0.774% due 7/25/37(b)		242,429
			Merrill Lynch Mortgage Investors Trust:
	52,977	A+	Series 2004-A3, Class 4A3, 3.170% due 5/25/34(b)		52,604
	801,999	BBB	Series 2005-2, Class 2A, 2.710% due 10/25/35(b)		804,175
	823,599	AA+	Mid-State Capital Corp. Trust, Series 2004-1, Class A, 6.005% due 8/15/37		900,784
			ML-CFC Commercial Mortgage Trust:
	291,000	Caa1(c)	Series 2007-5, Class AJ, 5.450% due 8/12/48(b)		238,980
	260,000	CCC	Series 2007-9, Class AJ, 6.193% due 9/12/49(b)		211,048
	17,068	AAA	Morgan Stanley ABS Capital I Inc. Trust, Series 2004-SD3, Class A, 0.984% due 6/25/34(a)(b)(q)		17,120
			Morgan Stanley Bank of America Merrill Lynch Trust:
	30,000	Aaa(c)	Series 2013-C10, Class A4, 4.219% due 7/15/46(b)(q)		33,790
	500,000	Aaa(c)	Series 2013-C13, Class A4, 4.039% due 11/15/46(q)		562,320
			Morgan Stanley Capital I Trust:
	723,126	AAA	Series 2007-HQ11, Class A4FL, 0.653% due 2/12/44(b)(q)		719,858
	200,000	A	Series 2007-IQ14, Class A4, 5.692% due 4/15/49(b)(q)		202,432
	1,940,000	CCC	Park Place Securities Inc. Asset-Backed Pass-Through Certificates, Series 2005-WHQ4, Class M2, 1.014% due 9/25/35(b)		1,647,843
			PFS Financing Corp.:
	540,000	AAA	Series 2014-BA, Class A, 1.108% due 10/15/19(a)(b)		537,909
	635,000	AAA	Series 2015-AA, Class A, 1.128% due 4/15/20(a)(b)		630,039
	1,778,348	A	Popular ABS Mortgage Pass-Through Trust, Series 2006-C, Class A4, 0.774% due 7/25/36(b)		1,727,985
			Prime Mortgage Trust:
	147,548	CCC	Series 2006-DR1, Class 1A1, 5.500% due 5/25/35(a)		148,030
	49,813	CCC	Series 2006-DR1, Class 1A2, 6.000% due 5/25/35(a)		50,024
	1,211,456	CCC	Series 2006-DR1, Class 2A1, 5.500% due 5/25/35(a)		1,134,964
			RAMP Trust:
	3,907	CCC	Series 2003-RS4, Class AIIB, 1.184% due 5/25/33(b)		3,462
	675,773	AA	Series 2003-RS9, Class AI6A, step bond to yield, 5.829% due 10/25/33		720,207
	915,000	AAA	RBS Commercial Funding Inc. Trust, Series 2013-GSP, Class A, 3.961% due 1/13/32(a)(b)		1,009,958
	23,650	D	Reperforming Loan REMIC Trust, Series 2004-R2, Class 1AF1, 0.944% due 11/25/34(a)(b)		20,108
	354,059	Caa2(c)	Residential Asset Securitization Trust, Series 2005-A15, Class 1A4, 5.750% due 2/25/36		334,044
	640,000	AAA	SCG Trust, Series 2013-SRP1, Class A, 1.908% due 11/15/26(a)(b)		640,033
	182,153	NR	Small Business Administration Participation Certificates, Series 2013-20J, Class 1, 3.370% due 10/1/33		193,895
	1,000,000	BBB	Solarcity Lmc Series VI LLC, Series 2016-A, Class A, 4.800% due 9/20/48(a)		970,719
	341,722	BBB+	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 1A2, 2.950% due 11/25/34(b)		341,841
	189,396	AA+	Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3, 0.764% due 7/19/35(b)		183,849
			Structured Asset Securities Corp.:
	165,000	CCC	Series 2005-RF3, Class 1A, 0.874% due 6/25/35(a)(b)		133,250
	68,653	AA+	Series 2007-BC4, Class A3, 0.774% due 11/25/37(b)		68,759
	611,732	Aaa(c)	Towd Point Mortgage Trust, Series 2016-3, Class A1, 2.250% due 8/25/55(a)(b)		612,064
	100,000	AAA	VNDO Mortgage Trust, Series 2012-6AVE, Class A, 2.996% due 11/15/30(a)		105,257

See Notes to Financial Statements.

176



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†			Rating††	Security	Value
$	485,000		B	Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class AMFX, 5.703% due 6/15/49(a)	$	494,505
	100,000		AAA	Waldorf Astoria Boca Raton Trust, Series 2016-BOCA, Class A, 1.858% due 6/15/29(a)(b)		100,047
				WaMu Mortgage Pass Through Certificates Trust:
	20,993		BBB+	Series 2004-AR11, Class A, 2.713% due 10/25/34(b)		21,166
	83,466		BBB+	Series 2004-AR12, Class A2A, 0.914% due 10/25/44(b)		80,919
	689,939		B-	Series 2005-AR4, Class A5, 2.784% due 4/25/35(b)		684,965
	263,572		AA+	Series 2005-AR11, Class A1A, 0.844% due 8/25/45(b)		245,903
	253,326		BBB-	Series 2005-AR19, Class A1A2, 0.814% due 12/25/45(b)		233,806
	1,346,892		B+	Series 2006-AR3, Class A1A, 1.489% due 2/25/46(b)		1,234,242
	659,928		CCC	Series 2006-AR13, Class 2A, 2.190% due 10/25/46(b)		593,239
	341,602		D	Series 2007-HY4, Class 4A1, 2.496% due 9/25/36(b)		306,805
	773,049		Ca(c)	Series 2007-OA2, Class 2A, 1.189% due 1/25/47(b)		563,391
				Wells Fargo Commercial Mortgage Trust:
	120,000		Aa3(c)	Series 2013-LC12, Class B, 4.433% due 7/15/46(b)		133,645
	1,000,000		Aa2(c)	Series 2015-C28, Class AS, 3.872% due 5/15/48		1,096,444
	150,000		Aaa(c)	Series 2015-LC20, Class A5, 3.184% due 4/15/50		159,222
	960,000		Aaa(c)	Series 2015-NXS1, Class A5, 3.148% due 5/15/48		1,019,880
	310,000		A-(h)	Series 2015-NXS1, Class C, 3.848% due 5/15/48(b)		312,894
	330,000		BBB-(h)	Series 2015-NXS1, Class D, 4.241% due 5/15/48(b)		276,090
				Wells Fargo Mortgage Backed Securities Trust:
	495,753		Caa1(c)	Series 2006-12, Class A3, 6.000% due 10/25/36		483,683
	236,915		CCC	Series 2006-AR2, Class 2A1, 2.870% due 3/25/36(b)		233,364
	67,871		Caa2(c)	Series 2006-AR7, Class 2A4, 3.087% due 5/25/36(b)		64,763
				WF-RBS Commercial Mortgage Trust:
	205,000		Aaa(c)	Series 2011-C2, Class A4, 4.869% due 2/15/44(a)(b)		229,707
	915,184		Aaa(c)	Series 2011-C4, Class A3, 4.394% due 6/15/44(a)		959,208
	1,874,955		Aaa(c)	Series 2012-C7, Class XA, 1.663% due 6/15/45(a)(b)(i)		122,344
	145,000		Aaa(c)	Series 2013-C14, Class A4, 3.073% due 6/15/46		153,770
	2,570,650		Aaa(c)	Series 2014-C20, Class XA, 1.348% due 5/15/47(b)(i)		152,548
	240,000		BBB-(h)	Series 2014-C22, Class D, 4.056% due 9/15/57(a)(b)		188,470

				TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $89,547,388)		86,984,235

	SOVEREIGN BONDS — 2.8%
	Brazil — 0.4%
	656,000	^BRL	BB	Brazil Notas do Tesouro Nacional Serie B, 6.000% due 8/15/50		610,485
	4,266,000	^BRL	BB	Brazil Notas do Tesouro Nacional Serie F, 10.000% due 1/1/17		1,330,049
				Federative Republic of Brazil:
	280,000		BB	4.875% due 1/22/21		298,200
	400,000		BB	5.000% due 1/27/45		374,000

				Total Brazil		2,612,734

	Canada — 0.1%
	152,000		AA-	Province of Manitoba Canada, 3.050% due 5/14/24		163,884
	895,000		A+	Province of Ontario Canada, 1.250% due 6/17/19		893,865

				Total Canada		1,057,749

	China — 0.0%
				China Government Bonds:
	1,000,000	^CNH	Aa3(c)	3.380% due 11/21/24		152,517
	1,000,000	^CNH	Aa3(c)	3.390% due 5/21/25		152,391

				Total China		304,908

	Colombia — 0.1%
	370,000		BBB	Colombia Government International Bond, 5.625% due 2/26/44		428,738

	Indonesia — 0.1%
	500,000		BB+	Indonesia Government International Bond, 3.750% due 4/25/22		528,297

See Notes to Financial Statements.

177



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†			Rating††	Security	Value
	Mexico — 1.0%
				Mexican Bonos:
	2,118,000	^MXN	A	8.000% due 6/11/20	$	122,274
	30,492,700	^MXN	A	6.500% due 6/9/22		1,689,965
	15,120,000	^MXN	A	10.000% due 12/5/24		1,029,465
	46,325,700	^MXN	A	7.750% due 11/13/42		2,910,170
				Mexico Government International Bonds:
$	61,000		BBB+	3.500% due 1/21/21		65,346
	174,000		BBB+	3.625% due 3/15/22		185,963
	78,000		BBB+	6.050% due 1/11/40		101,205
	828,000		BBB+	4.750% due 3/8/44		913,905
	300,000		BBB+	5.550% due 1/21/45		370,875

				Total Mexico		7,389,168

	Panama — 0.0%
	200,000		BBB	Panama Government International Bond, 4.000% due 9/22/24		220,500

	Peru — 0.1%
				Peruvian Government International Bonds:
	218,000		BBB+	4.125% due 8/25/27		248,520
	60,000		BBB+	6.550% due 3/14/37		84,900
	170,000		BBB+	5.625% due 11/18/50		224,400

				Total Peru		557,820

	Poland — 0.5%
				Poland Government Bonds:
	570,000	^PLN	A-	2.000% due 4/25/21		145,536
	8,160,000	^PLN	A-	3.250% due 7/25/25		2,183,380
	1,760,000	^PLN	A-	2.500% due 7/25/26		441,204
	610,000		BBB+	Poland Government International Bond, 4.000% due 1/22/24		678,224

				Total Poland		3,448,344

	Russia — 0.4%
				Russian Federal Bonds — OFZ:
	22,990,000	^RUB	BBB-	7.000% due 8/16/23		332,298
	6,950,000	^RUB	NR	7.750% due 9/16/26		104,300
	31,310,000	^RUB	BBB-	8.150% due 2/3/27		484,365
	78,320,000	^RUB	BBB-	7.050% due 1/19/28		1,115,757
				Russian Foreign Bonds — Eurobonds:
	200,000		BB+	4.875% due 9/16/23(a)		219,126
	339,565		BB+	step bond to yield, 7.500% due 3/31/30		413,420
	39,550		BB+	step bond to yield, 7.500% due 3/31/30(a)		48,152

				Total Russia		2,717,418

	Turkey — 0.1%
				Turkey Government International Bonds:
	280,000		Baa3(c)	7.375% due 2/5/25		337,455
	310,000		Baa3(c)	4.250% due 4/14/26		305,824

				Total Turkey		643,279

	Uruguay — 0.0%
				Uruguay Government International Bonds:
	70,000		BBB	4.500% due 8/14/24		78,470
	210,000		BBB	4.375% due 10/27/27		228,900

				Total Uruguay		307,370

				TOTAL SOVEREIGN BONDS (Cost — $22,005,661)		20,216,325

See Notes to Financial Statements.

178



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	ASSET-BACKED SECURITIES — 2.3%
	Automobiles — 0.3%
$	170,000	AAA	AmeriCredit Automobile Receivables Trust, Series 2016-2, Class A3, 1.600% due 11/9/20	$	170,295
	290,000	AAA	Drive Auto Receivables Trust, Series 2016-BA, Class A3, 1.670% due 7/15/19(a)		289,870
	1,380,000	Aaa(c)	Hertz Vehicle Financing LLC, Series 2013-1A, Class A2, 1.830% due 8/25/19(a)		1,373,199
	100,000	AAA	Hyundai Floorplan Master Owner Trust, Series 2016-1A, Class A2, 1.810% due 3/15/21(a)		100,244

			Total Automobiles		1,933,608

	Credit Cards — 0.4%
	635,000	AAA	BA Credit Card Trust, Series 2014-A3, Class A, 0.798% due 1/15/20(b)		635,833
	740,000	AAA	Capital One Multi-Asset Execution Trust, Series 2016-A4, Class A4, 1.330% due 6/15/22		740,041
	590,000	AAA	Chase Issuance Trust, Series 2015-A1, Class A1, 0.828% due 2/18/20(b)		591,450
	635,000	AAA	Citibank Credit Card Issuance Trust, Series 2008-A2, Class A2, 1.671% due 1/23/20(b)		643,775
	645,000	AAA	Discover Card Execution Note Trust, Series 2016-A1, Class A1, 1.640% due 7/15/21		650,192

			Total Credit Cards		3,261,291

	Student Loans — 1.6%
	528,126	AA+	CIT Education Loan Trust, Series 2007-1, Class A, 0.730% due 3/25/42(a)(b)		484,241
	850,000	AA+	EFS Volunteer LLC, Series 2010-1, Class A2, 1.565% due 10/25/35(a)(b)		834,033
			Navient Private Education Loan Trust:
	630,000	AAA	Series 2014-AA, Class A2B, 1.758% due 2/15/29(a)(b)		628,725
	232,914	AAA	Series 2014-CTA, Class A, 1.208% due 9/16/24(a)(b)		231,803
			SLM Private Education Loan Trust:
	107,361	AAA	Series 2012-A, Class A1, 1.908% due 8/15/25(a)(b)		107,590
	687,989	AAA	Series 2012-C, Class A2, 3.310% due 10/15/46(a)		700,791
	631,642	AAA	Series 2012-D, Class A2, 2.950% due 2/15/46(a)		640,033
	76,384	AAA	Series 2012-E, Class A1, 1.258% due 10/16/23(a)(b)		76,321
			SLM Student Loan Trust:
	1,220,000	AAA	Series 2003-11, Class A6, 1.403% due 12/15/25(a)(b)		1,206,002
	1,400,000	AAA	Series 2004-1, Class A4, 0.975% due 10/27/25(b)		1,336,129
	412,328	AAA	Series 2004-8A, Class A5, 1.215% due 4/25/24(a)(b)		409,935
	880,000	AA+	Series 2005-5, Class A5, 1.465% due 10/25/40(b)		807,073
	866,988	AAA	Series 2005-6, Class A5B, 1.915% due 7/27/26(b)		869,761
	1,006,798	AAA	Series 2011-2, Class A1, 1.124% due 11/25/27(b)		1,003,610
			SMB Private Education Loan Trust:
	514,651	AAA	Series 2015-B, Class A1, 1.208% due 2/15/23(a)(b)		515,226
	680,000	AAA	Series 2015-B, Class A2A, 2.980% due 7/15/27(a)		698,536
	545,000	AAA	Series 2015-C, Class A3, 2.458% due 8/16/32(a)(b)		559,999
	100,000	Aaa(c)	Series 2016-A, Class A2A, 2.700% due 5/15/31(a)		100,896

			Total Student Loans		11,210,704

			TOTAL ASSET-BACKED SECURITIES (Cost — $16,411,737)		16,405,603

	MUNICIPAL BONDS — 0.8%
	California — 0.2%
	80,000	AA-	California Health Facilities Financing Authority, Revenue Bonds, Sutter Health Project, Series A, 5.000% due 8/15/52		94,572
			State of California, GO:
	100,000	AA-	5.000% due 12/1/37		105,231
	150,000	AA-	5.000% due 9/1/42		180,426
			University of California, Revenue Bonds:
	400,000	AA	Series AJ 4.601% due 5/15/31		467,496
	90,000	AA-	Series G 5.000% due 5/15/37		107,773
	25,000	AA	Series AD 4.858% due 5/15/12		28,647
	266,000	AA	Series AQ 4.767% due 5/15/15		296,194

			Total California		1,280,339

See Notes to Financial Statements.

179



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Delaware — 0.0%
$	300,000	AA+	Northstar Education Finance Inc., Revenue Bonds, Student Loan Asset Backed Notes, Series 2007-1, GTDSTD-Insured, 1.522% due 1/29/46(b)	$	267,981

	Illinois — 0.1%
	280,000	BBB+	State of Illinois, GO, 5.500% due 7/1/24		327,760

	Massachusetts — 0.1%
	185,000	AA-	Massachusetts Development Finance Agency, Revenue Bonds, Series M-4, 5.000% due 7/1/44		215,973
	100,000	AA+	Massachusetts School Building Authority, Revenue Bonds, Series B, 5.000% due 10/15/41		118,011

			Total Massachusetts		333,984

	Minnesota — 0.0%
	325,000	AA+	Northstar Education Finance Inc., Revenue Bonds, Student Loan Asset Backed Notes, Series 2007-1, GTDSTD-Insured, 1.322% due 1/29/46(b)		290,312

	Missouri — 0.0%
	100,000	AAA	Metropolitan St Louis Sewer District, Revenue Bonds, Series A, 5.000% due 5/1/42		118,185

	Nevada — 0.1%
	435,000	AA	Las Vegas Valley Water District, GO, Series B, 5.000% due 6/1/37		518,107

	New Jersey — 0.0%
	165,000	A-	New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series AA, 5.000% due 6/15/36		185,196

	New York — 0.2%
	500,000	AA	City of New York, GO, Series G-1, 5.968% due 3/1/36		687,500
	80,000	AAA	New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds, Series A, 5.000% due 11/1/42		96,273
			New York City Water & Sewer System, Revenue Bonds:
	300,000	AA+	Series CC 5.882% due 6/15/44		442,878
	120,000	AA+	Series BB 5.000% due 6/15/47		142,764
	270,000	AAA	New York State Urban Development Corp., Revenue Bonds, Series E, 5.000% due 3/15/24		333,634

			Total New York		1,703,049

	Texas — 0.0%
	235,000	A+	Dallas/Fort Worth International Airport, Revenue Bonds, Series A, 5.000% due 11/1/45(k)		261,860

	Virginia — 0.1%
	297,259	AAA	Virginia Housing Development Authority, Revenue Bonds, Series C, 6.000% due 6/25/34		314,143

			TOTAL MUNICIPAL BONDS (Cost — $5,175,829)		5,600,916

	SENIOR LOANS — 0.2%
	45,113	NR	Berry Plastics Corp., (Restricted), 3.750% due 10/1/22		45,182
	299,250	NR	Charter Communications Operating LLC, (Restricted), 3.500% due 1/24/23		301,223
	204,225	NR	Gardner Denver Inc., (Restricted), 4.250% due 7/30/20		194,493
	17,093	NR	Hilton Worldwide Finance LLC, (Restricted), 3.500% due 10/26/20		17,173
	175,177	NR	Hilton Worldwide Holdings LLC, (Restricted), 3.096% due 10/25/23		176,293
	203,175	NR	Michaels Stores Inc., (Restricted), 3.750% due 1/28/20		204,304
	307,658	NR	Party City Holdings Inc., (Restricted), 4.472% due 8/19/22		308,595

			TOTAL SENIOR LOANS (Cost — $1,253,029)		1,247,263

See Notes to Financial Statements.

180



Schedules of Investments


(continued)


Core Fixed Income Fund

Shares/Units			Security	Value
	PREFERRED STOCK — 0.0%
	FINANCIALS — 0.0%
	Banks — 0.0%
	10,300		GMAC Capital Trust I, 6.602%(b) (Cost — $255,440)	$	260,178


Number of Contracts
	PURCHASED OPTIONS — 0.0%
	United States — 0.0%
	44		U.S. Treasury 5-Year Note September Futures, Call @ $121.25, expires 9/2/2016, GSC		10,313
	53		U.S. Treasury 10-Year Note October Futures, Call @ $131.25, expires 9/23/2016, GSC		24,844
	18		U.S. Treasury 10-Year Note October Futures, Put @ $130.50, expires 9/23/2016, GSC		8,437
	19		U.S. Treasury 10-Year Note September Futures, Call @ $131.50, expires 9/2/2016, GSC		2,078

			Total United States		45,672

			TOTAL PURCHASED OPTIONS (Cost — $43,717)		45,672

			TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $687,313,857)		705,156,173


Face Amount†
	SHORT-TERM INVESTMENTS (m) — 10.3%
	MONEY MARKET FUND — 2.8%
$	20,555,472		Invesco STIT — Government & Agency Portfolio(n) (Cost — $20,555,472)		20,555,472

	REPURCHASE AGREEMENT — 1.2%
	8,500,000		Merrill Lynch & Pierce, Fenner & Smith Inc. repurchase agreement dated 8/31/16, 0.300% due 9/1/16, Proceeds at maturity — $8,500,071; (Fully collateralized by U.S. Treasury Note, 1.625%, due 4/30/23; Market Valued — $8,735,296)(p)
			(Cost — $8,500,000)		8,500,000

	TIME DEPOSITS — 1.2%
	3,168,256		ANZ National Bank — London, 0.150% due 9/1/16		3,168,256
	1,660,145		Banco Santander SA — Frankfurt, 0.150% due 9/1/16		1,660,145
	3,321,960		BBH — Grand Cayman, 0.150% due 9/1/16		3,321,960
			BNP Paribas — Paris:
	71,086	^EUR	(0.540)% due 9/1/16		79,304
	202,660		0.150% due 9/1/16		202,660

			TOTAL TIME DEPOSITS (Cost — $8,432,325)		8,432,325

	U.S. GOVERNMENT OBLIGATIONS — 5.1%
			U.S. Treasury Bills:
	10,965,000		0.271% due 9/1/16(p)		10,965,000
	6,545,000		0.254% due 9/15/16(l)(p)		6,544,353
	19,000		0.230% due 9/29/16(p)		18,996
	5,360,000		0.338% due 10/6/16(p)		5,358,242
	8,305,000		0.336% due 10/13/16(p)		8,301,749

See Notes to Financial Statements.

181



Schedules of Investments


(continued)


Core Fixed Income Fund

Face Amount†		Security	Value
	U.S. GOVERNMENT OBLIGATIONS — 5.1% — (continued)
$	5,690,000	0.304% due 10/20/16(p)	$	5,687,646

		TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $36,875,986)		36,875,986

		TOTAL SHORT-TERM INVESTMENTS (Cost — $74,363,783)		74,363,783

		TOTAL INVESTMENTS — 108.0% (Cost — $761,677,640#)		779,519,956

		Liabilities in Excess of Other Assets — (8.0)%		(57,421,962	)

		TOTAL NET ASSETS — 100.0%	$	722,097,994

†	Amount denominated in U.S. dollars, unless otherwise noted.

††	All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited.

(a)	Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.

(b)	Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2016.

(c)	Rating by Moody’s Investors Service. All ratings are unaudited.

(d)	Security is perpetual in nature and has no stated maturity date.

(e)	All or a portion of this security is on loan (See Note 1).

(f)	Illiquid security.

(g)	This security is traded on a TBA basis (see Note 1).

(h)	Rating by Fitch Ratings Service. All ratings are unaudited.

(i)	Interest only security.

(j)	Principal only security.

(k)	Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (AMT).

(l)	All or a portion of this security is held at the broker as collateral for open futures contracts.

(m)	Inclusive of all short term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 7.5%.

(n)	Represents investment of collateral received from securities lending transactions.

(o)	Security is valued in good faith at fair value by or under the direction of the Board of Trustees.

(p)	Rate shown represents yield-to-maturity.

(q)	Affiliated security (See Note 2).

#	Aggregate cost for federal income tax purposes is $764,980,419.


Abbreviations used in this schedule:
ABS		— Asset-Based Security
ACES		— Alternative Credit Enhancement Securities
CLO		— Collateralized Loan Obligation
GO		— General Obligation
GTDSTD		— Guaranteed Student Loans
MASTR		— Mortgage Asset Securitization Transactions Inc.
PLC		— Public Limited Company
REMICS		— Real Estate Mortgage Investment Conduit

See Notes to Financial Statements.

182



Schedules of Investments


(continued)


Core Fixed Income Fund


Summary of Investments by Security Type^
Corporate Bonds & Notes	25.6	%
U.S. Government Agencies & Obligations	25.3
Mortgage-Backed Securities	22.8
Collateralized Mortgage Obligations	11.2
Sovereign Bonds	2.6
Asset-Backed Securities	2.1
Municipal Bonds	0.7
Senior Loans	0.2
Preferred Stock	0.0	*
Purchased Options	0.0	*
Short-Term Investments	9.5

	100.0	%

^	As a percentage of total investments.

*	Position represents less than 0.1%

Schedule of Options Contracts Written



Number of Contracts		Security Name	Counterparty		Expiration Date		Strike Price		Value
	United States
	44	U.S. Treasury 5-Year Note November Futures, Call		GSC		10/21/16	$	122.25	$	7,219
	80	U.S. Treasury 10-Year Note November Futures, Call		GSC		10/21/16		132.50		25,000
	36	U.S. Treasury 10-Year Note October Futures, Put		GSC		9/23/16		128.50		2,813
	18	U.S. Treasury Bond December Futures, Call		GSC		11/25/16		178.00		14,906

		TOTAL OPTIONS CONTRACTS WRITTEN (Premiums received — $57,218)							$	49,938

During the year ended August 31, 2016, options contracts written transactions for Core Fixed Income Fund were as follows:


	Notional Amount/ Number of Contracts			Premiums Received
Options contracts written, outstanding at August 31, 2015		5,470,630		$	420,248
Options written		2,503			724,853
Options closed		(5,471,327	)		(622,474	)
Options expired		(1,628	)		(465,409	)

Options contracts written, outstanding at August 31, 2016		178		$	57,218

See Notes to Financial Statements.

183



Schedules of Investments


(continued)


Core Fixed Income Fund

Schedule of Forward Sale Commitments



Face Amount		Security	Value
$	4,500,000	Federal National Mortgage Association (FNMA)
		3.500% due 10/1/46(a)	$	4,736,777

		TOTAL OPEN FORWARD SALE COMMITMENTS (Proceeds — $4,736,777)	$	4,736,777

(a)	This security is traded on a TBA basis (see Note 1).

At August 31, 2016, Core Fixed Income Fund had open exchange traded futures contracts as described below.

The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:


Open Futures Contracts	Number of Contracts		Expiration Date (Month/Year)		Market Value		Unrealized Appreciation/ (Depreciation)
Contracts to Buy:
90-Day Eurodollar December Futures		119		12/17	$	29,416,800	$	(88	)
U.S. Treasury 2-Year Note December Futures		26		12/16		5,676,125		(3,949	)
U.S. Treasury 5-Year Note December Futures		620		12/16		75,175,000		(83,613	)

								(87,650	)

Contracts to Sell:
90-Day Eurodollar December Futures		127		12/19		31,313,438		7,938
Euro FX Currency September Futures		6		9/16		837,488		20,325
Euro-Bobl September Futures		7		9/16		1,043,231		(8,434	)
Euro-Bund September Futures		43		9/16		8,029,352		(160,658	)
Japan Government 10-Year Bond September Futures		3		9/16		4,389,756		15,076
U.S. Treasury 10-Year Note December Futures		315		12/16		41,240,391		52,938
U.S. Treasury Long Bond December Futures		57		12/16		9,711,375		(24,641	)
U.S. Ultra Long Bond December Futures		19		12/16		2,743,125		(1,891	)
U.S. Ultra Long Bond December Futures		48		12/16		8,998,500		3,344

								(96,003	)

Net Unrealized Depreciation on Open Exchange Traded Futures Contracts							$	(183,653	)

At August 31, 2016, Core Fixed Income Fund had deposited cash of $933,381 with a broker or brokers as margin collateral on open exchange traded futures contracts.

See Notes to Financial Statements.

184



Schedules of Investments


(continued)


Core Fixed Income Fund

At August 31, 2016, Core Fixed Income Fund had open forward foreign currency contracts as described below.

The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:


Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Contracts to Buy:
Brazilian Real		2,430,000		CITI	$	742,926		10/14/16	$	(16,038	)
British Pound		346,000		CITI		454,800		10/14/16		6,019
Canadian Dollar		4,000		CITI		3,051		10/14/16		(36	)
Euro		3,397,095		BCLY		3,796,837		10/14/16		31,429
Euro		697,800		CITI		779,911		10/14/16		(10,953	)
Euro		1,420,000		CITI		1,587,094		10/14/16		(21,908	)
Indian Rupee		148,150,000		BCLY		2,195,823		10/14/16		21,464
Indian Rupee		148,150,000		CITI		2,195,823		10/14/16		32,023
Indian Rupee		17,800,000		CITI		263,825		10/14/16		(192	)
Indonesian Rupiah		8,162,370,000		BOA		611,299		10/14/16		(8,236	)

										33,572

Contracts to Sell:
Brazilian Real		2,430,000		CITI		742,926		10/14/16		(28,115	)
Chinese Onshore Renminbi		21,675,000		BCLY		3,238,052		10/14/16		(19,311	)
Chinese Onshore Renminbi		5,143,047		BCLY		768,325		10/14/16		1,073
Chinese Onshore Renminbi		9,660,000		CITI		1,443,118		10/14/16		(6,473	)
Euro		1,045,683		BOA		1,168,730		10/14/16		(10,736	)
Euro		6,186,000		CITI		6,913,918		10/14/16		(60,139	)
Indian Rupee		148,150,000		CITI		2,195,823		10/14/16		(20,186	)
Japanese Yen		161,010,000		BOA		1,558,976		10/14/16		48,359
Japanese Yen		202,967,102		CITI		1,965,225		10/14/16		58,880
Mexican Peso		30,570,000		CITI		1,619,002		10/14/16		(10,901	)
Polish Zloty		2,597,000		BCLY		663,899		10/14/16		(15,250	)

										(62,799	)

Net Unrealized Depreciation on Open Forward Foreign Currency Contracts									$	(29,227	)

At August 31, 2016, Core Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:


Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date		Counterparty		Notional Amount		Unrealized (Depreciation)
Receive	3-Month USD-LIBOR		2.750%		02/17/2042		CITI	USD	1,545,000	$	(345,343	)
Receive	3-Month USD-LIBOR		3.676%		11/15/2043		CITI	USD	910,000		(407,172	)

										$	(752,515	)

At August 31, 2016, Core Fixed Income Fund deposited cash collateral with brokers in the amount of $241,360 for open centrally cleared swap contracts.

See Notes to Financial Statements.

185



Schedules of Investments


(continued)


Core Fixed Income Fund


Currency Abbreviations used in this schedule:		Counterparty Abbreviations used in this schedule:
BRL	— Brazilian Real	BCLY	— Barclays Bank PLC
CNH	— Chinese Offshore Renminbi	BOA	— Bank of America
EUR	— Euro	CITI	— Citigroup Global Markets Inc.
MXN	— Mexican Peso	GSC	— Goldman Sachs & Co.
PLN	— Polish Zloty
RUB	— Russian Ruble

See pages 250 and 251 for definitions of ratings.

See Notes to Financial Statements.

186



Schedules of Investments


(continued)


High Yield Fund

Face Amount/Units†		Rating††	Security	Value
	CORPORATE BONDS & NOTES — 95.5%
	Aerospace & Defense — 0.3%
$	610,000	BB-	CBC Ammo LLC/CBC FinCo Inc., Senior Unsecured Notes, 7.250% due 11/15/21(a)	$	570,350
	310,000	B	LMI Aerospace Inc., Secured Notes, 7.375% due 7/15/19		316,975

			Total Aerospace & Defense		887,325

	Airlines — 1.5%
	625,000	B	Air Canada, Company Guaranteed Notes, 7.750% due 4/15/21(a)		661,719
	265,653	BBB-	American Airlines Class B Pass Through Trust, Series 2013-1, Pass Thru Certificates, 5.625% due 1/15/21(a)		277,275
	946,305	BBB-	American Airlines Class B Pass Through Trust, Series 2013-2, Pass Thru Certificates, 5.600% due 7/15/20(a)		992,437
	40,000	BB	American Airlines Class C Pass Through Trust, Series 2013-1, Pass Thru Certificates, 6.125% due 7/15/18(a)		41,800
	635,000	BB-	American Airlines Group Inc., Company Guaranteed Notes, 5.500% due 10/1/19(a)		658,019
	414,206	BB+	Continental Airlines Class B Pass Through Trust, Series 2007-1, Pass Thru Certificates, 6.903% due 4/19/22		442,683
	23,119	BBB	Continental Airlines Class B Pass Through Trust, Series 2012-2, Pass Thru Certificates, 5.500% due 10/29/20		24,420
	44,338	BBB	Delta Air Lines Class B Pass Through Trust, Series 2007-1, Pass Thru Certificates, 8.021% due 8/10/22		50,766
	37,075	A-	Delta Air Lines Class B Pass Through Trust, Series 2009-1, Pass Thru Certificates, 9.750% due 12/17/16		38,226
	155,317	BBB-	United Airlines Class B Pass Through Trust, Series 2013-1, Pass Thru Certificates, 5.375% due 8/15/21		162,112
	380,699	BBB	United Airlines Class B Pass Through Trust, Series 2014-1, Pass Thru Certificates, 4.750% due 4/11/22		388,789
	256,756	BBB-	United Airlines Class B Pass Through Trust, Series 2014-2, Pass Thru Certificates, 4.625% due 9/3/22		259,644
	364,482	BBB-	US Airways Class B Pass Through Trust, Series 2012-2, Pass Thru Certificates, 6.750% due 6/3/21		397,742
	1,216,000	CCC+	VistaJet Malta Finance PLC/VistaJet Co. Finance LLC, Company Guaranteed Notes, 7.750% due 6/1/20(a)(b)		535,040

			Total Airlines		4,930,672

	Automobiles — 2.0%
	410,000	(P)BB	Adient Global Holdings Ltd., Company Guaranteed Notes, 4.875% due 8/15/26(a)		416,663
			American Axle & Manufacturing Inc., Company Guaranteed Notes:
	440,000	BB-	5.125% due 2/15/19		448,134
	400,000	BB-	6.625% due 10/15/22		428,500
	230,000	BB-	Deck Chassis Acquisition Inc., Secured Notes, 10.000% due 6/15/23(a)		243,800
	950,000	BB	Fiat Chrysler Automobiles NV, Senior Unsecured Notes, 5.250% due 4/15/23(c)		983,487
			General Motors Co., Senior Unsecured Notes:
	70,000	BBB-	6.600% due 4/1/36		86,574
	560,000	BBB-	5.200% due 4/1/45		598,520
	360,000	BBB-	6.750% due 4/1/46		463,729
	1,400,000	BB	Goodyear Tire & Rubber Co. (The), Company Guaranteed Notes, 5.125% due 11/15/23		1,470,000
	389,639	B+	Schaeffler Holding Finance BV, Senior Secured Notes, 6.875% (6.875% cash or 7.625% PIK) due 8/15/18(a)(d)		400,354
	860,000	BB+	ZF North America Capital Inc., Company Guaranteed Notes, 4.750% due 4/29/25(a)		915,900

			Total Automobiles		6,455,661

	Banks — 3.3%
			Bank of America Corp., Junior Subordinated Notes:
	260,000	BB+	5.200%(e)(f)		255,567
	2,150,000	BB+	6.500%(e)(f)		2,346,402

See Notes to Financial Statements.

187



Schedules of Investments


(continued)


High Yield Fund

Face Amount/Units†		Rating††	Security	Value
	Banks — 3.3% — (continued)
$	200,000	BB+	Barclays Bank PLC, Subordinated Notes, 7.625% due 11/21/22	$	224,975
	200,000	B+	Barclays PLC, Junior Subordinated Notes, 8.250%(e)(f)		205,599
	450,000	BBB-	BNP Paribas SA, Junior Subordinated Notes, 7.625%(a)(e)(f)		474,300
			CIT Group Inc., Senior Unsecured Notes:
	400,000	BB+	5.500% due 2/15/19(a)		424,500
	730,000	BB+	5.375% due 5/15/20		782,012
	30,000	BB+	5.000% due 8/15/22		31,875
	1,560,000	BB+	5.000% due 8/1/23		1,657,500
			Credit Agricole SA, Junior Subordinated Notes:
	450,000	BB+	8.125%(a)(e)(f)		484,803
	210,000	BB+	8.375%(a)(e)(f)		238,392
	1,000,000	BB	Credit Suisse Group AG, Junior Subordinated Notes, 6.250%(a)(e)(f)		981,870
	310,000	Baa3(g)	HSBC Holdings PLC, Junior Subordinated Notes, 6.375%(e)(f)		306,900
	170,000	BBB-	M&T Bank Corp., Junior Subordinated Notes, 6.875%(f)		171,488
	785,000	B	Provident Funding Associates LP/PFG Finance Corp., Company Guaranteed Notes, 6.750% due 6/15/21(a)		779,112
			Royal Bank of Scotland Group PLC:
	700,000	B	Junior Subordinated Notes, 8.625%(e)(f)		714,875
	620,000	BB	Subordinated Notes, 6.000% due 12/19/23		657,180

			Total Banks		10,737,350

	Beverages — 1.2%
	510,000	B-	Beverages & More Inc., Senior Secured Notes, 10.000% due 11/15/18(a)		476,212
	370,000	B-	Carolina Beverage Group LLC/Carolina Beverage Group Finance Inc., Senior Secured Notes, 10.625% due 8/1/18(a)		342,250
			Constellation Brands Inc., Company Guaranteed Notes:
	270,000	BB+	4.250% due 5/1/23		289,406
	370,000	BB+	4.750% due 11/15/24		405,150
	830,000	BB+	4.750% due 12/1/25		907,294
	630,000	B-	Cott Beverages Inc., Company Guaranteed Notes, 5.375% due 7/1/22		652,838
	680,000	BB-	DS Services of America Inc., Secured Notes, 10.000% due 9/1/21(a)		766,700

			Total Beverages		3,839,850

	Biotechnology — 0.1%
	320,000	B+	AMAG Pharmaceuticals Inc., Company Guaranteed Notes, 7.875% due 9/1/23(a)		316,400

	Building Products — 0.9%
	180,000	B+	Builders FirstSource Inc., Senior Secured Notes, 5.625% due 9/1/24(a)		184,050
	950,000	BB-	Griffon Corp., Company Guaranteed Notes, 5.250% due 3/1/22		958,312
	240,000	B	Hardwoods Acquisition Inc., Senior Secured Notes, 7.500% due 8/1/21(a)		166,800
			Standard Industries Inc., Senior Unsecured Notes:
	130,000	BBB-	5.125% due 2/15/21(a)		137,963
	180,000	BBB-	5.500% due 2/15/23(a)		191,925
	500,000	BBB-	5.375% due 11/15/24(a)		534,375
	340,000	BB	USG Corp., Company Guaranteed Notes, 5.875% due 11/1/21(a)		358,275
	450,000	B	Woodside Homes Co. LLC/Woodside Homes Finance Inc., Company Guaranteed Notes, 6.750% due 12/15/21(a)		421,875

			Total Building Products		2,953,575

	Chemicals — 0.8%
	440,000	B+	Axalta Coating Systems LLC, Company Guaranteed Notes, 4.875% due 8/15/24(a)		459,800
	500,000	BB-	Axiall Corp., Company Guaranteed Notes, 4.875% due 5/15/23		526,250
	380,000	B-	Eco Services Operations LLC/Eco Finance Corp., Senior Unsecured Notes, 8.500% due 11/1/22(a)		395,200
	90,000	BB	Hercules Inc., Junior Subordinated Notes, 6.500% due 6/30/29		77,493
	185,000	BB	Olin Corp., Company Guaranteed Notes, 9.750% due 10/15/23(a)		220,150

See Notes to Financial Statements.

188



Schedules of Investments


(continued)


High Yield Fund

Face Amount/Units†		Rating††	Security	Value
	Chemicals — 0.8% — (continued)
$	385,000	B+	Platform Specialty Products Corp. Senior Unsecured Notes, 6.500% due 2/1/22(a)	$	366,712
	170,000	B+	PQ Corp., Senior Secured Notes, 6.750% due 11/15/22(a)		180,625
	450,000	(P)B+	Valvoline Inc., Company Guaranteed Notes, 5.500% due 7/15/24(a)		473,400

			Total Chemicals		2,699,630

	Commercial Services & Supplies — 3.5%
			ADT Corp. (The), Senior Secured Notes:
	300,000	BB-	6.250% due 10/15/21		330,000
	165,000	BB-	3.500% due 7/15/22		158,812
	530,000	BB-	4.125% due 6/15/23		522,050
	500,000	BB-	4.875% due 7/15/32(a)		432,500
	1,300,000	B	Ahern Rentals Inc., Secured Notes, 7.375% due 5/15/23(a)(b)		897,000
			Ashtead Capital Inc., Secured Notes:
	460,000	BB	6.500% due 7/15/22(a)		487,600
	380,000	BB	5.625% due 10/1/24(a)		401,375
	110,000	CCC+	Garda World Security Corp., Company Guaranteed Notes, 7.250% due 11/15/21(a)		100,925
	360,000	B	GFL Environmental Inc., Senior Unsecured Notes, 9.875% due 2/1/21(a)		394,200
	924,000	BB-	H&E Equipment Services Inc., Company Guaranteed Notes, 7.000% due 9/1/22(c)		979,440
	790,000	B-	Jaguar Holding Co. II/Pharmaceutical Product Development LLC, Company Guaranteed Notes, 6.375% due 8/1/23(a)		829,500
	440,000	CCC	Modular Space Corp., Secured Notes, 10.250% due 1/31/19(a)		182,600
	500,000	CCC+	Monitronics International Inc., Company Guaranteed Notes, 9.125% due 4/1/20		465,000
	100,000	B-	NES Rentals Holdings Inc., Secured Notes, 7.875% due 5/1/18(a)		98,000
	850,000	B-	Prime Security Services Borrower LLC/Prime Finance Inc., Secured Notes, 9.250% due 5/15/23(a)		927,563
	110,000	B-	StoneMor Partners LP/Cornerstone Family Services of West Virginia Subsidiary, Company Guaranteed Notes, 7.875% due 6/1/21		111,650
			UR Financing Escrow Corp., Company Guaranteed Notes:
	610,000	BB-	7.625% due 4/15/22		653,462
	500,000	BB-	5.750% due 11/15/24		525,000
	350,000	BB-	5.500% due 7/15/25		362,250
	400,000	BB-	5.875% due 9/15/26		418,000
	2,185,000	B+	West Corp., Company Guaranteed Notes, 5.375% due 7/15/22(a)		2,138,569

			Total Commercial Services & Supplies		11,415,496

	Communications Equipment — 0.1%
			CommScope Inc.:
	295,000	B	Company Guaranteed Notes, 5.500% due 6/15/24(a)		310,856
	60,000	BB	Senior Secured Notes, 4.375% due 6/15/20(a)		62,250

			Total Communications Equipment		373,106

	Construction Materials — 0.6%
	380,000	BBB	Eagle Materials Inc., Company Guaranteed Notes, 4.500% due 8/1/26		387,333
	598,995	B-	Michael Baker Holdings LLC/Michael Baker Finance Corp., Senior Unsecured Notes, 8.875% (8.875% cash or 9.625% PIK) due 4/15/19(a)(d)		541,342
	150,000	B+	Michael Baker International LLC/CDL Acquisition Co., Inc., Senior Secured Notes, 8.250% due 10/15/18(a)		151,125
	860,000	BB-	US Concrete Inc., Company Guaranteed Notes, 6.375% due 6/1/24		898,700

			Total Construction Materials		1,978,500

	Consumer Finance — 2.0%
			Ally Financial Inc.:
			Company Guaranteed Notes:
	209,000	BB+	8.000% due 3/15/20		240,873
	224,000	BB+	7.500% due 9/15/20		258,160
	335,000	BB+	8.000% due 11/1/31		421,262

See Notes to Financial Statements.

189



Schedules of Investments


(continued)


High Yield Fund

Face Amount/Units†		Rating††	Security	Value
	Consumer Finance — 2.0% — (continued)
$	1,400,000	BB+	Senior Unsecured Notes, 5.125% due 9/30/24(c)	$	1,519,875
			Subordinated Notes:
	150,000	BB-	8.000% due 12/31/18		167,062
	1,340,000	BB-	5.750% due 11/20/25		1,430,450
	640,000	BB	Credit Acceptance Corp., Company Guaranteed Notes, 6.125% due 2/15/21		646,400
	170,000	BB	First Cash Financial Services Inc., Company Guaranteed Notes, 6.750% due 4/1/21		176,800
			Navient Corp., Senior Unsecured Notes:
	120,000	BB-	8.450% due 6/15/18		131,100
	300,000	BB-	8.000% due 3/25/20		326,250
	400,000	BB-	5.000% due 10/26/20		403,000
	140,000	BB-	5.875% due 3/25/21		142,450
	260,000	BB-	6.625% due 7/26/21		268,775
	380,000	BB-	5.875% due 10/25/24		360,050

			Total Consumer Finance		6,492,507

	Containers & Packaging — 1.0%
			Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc.:
	830,000	CCC+	Company Guaranteed Notes, 7.250% due 5/15/24(a)		887,062
	580,000	B+	Senior Secured Notes, 4.625% due 5/15/23(a)		593,050
	307,412	B3(g)	Senior Unsecured Notes, 7.000% due 11/15/20(a)		308,565
	390,000	CCC	BWAY Holding Co., Senior Unsecured Notes, 9.125% due 8/15/21(a)		400,725
	230,000	B-	Coveris Holdings SA, Company Guaranteed Notes, 7.875% due 11/1/19(a)		235,750
			Pactiv LLC, Senior Unsecured Notes:
	190,000	CCC+	7.950% due 12/15/25		208,050
	680,000	CCC+	8.375% due 4/15/27		753,100

			Total Containers & Packaging		3,386,302

	Diversified Consumer Services — 0.4%
			Service Corp. International, Senior Unsecured Notes:
	250,000	BB	7.625% due 10/1/18		280,950
	900,000	BB	5.375% due 5/15/24		969,750
	130,000	BB	7.500% due 4/1/27		152,750

			Total Diversified Consumer Services		1,403,450

	Diversified Financial Services — 2.9%
			AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, Company Guaranteed Notes:
	280,000	BBB-	4.500% due 5/15/21		296,450
	410,000	BBB-	4.625% due 7/1/22		436,650
	220,000	B+	Ausdrill Finance Pty Ltd., Company Guaranteed Notes, 6.875% due 11/1/19(a)		218,350
	900,000	BB+	Case New Holland Industrial Inc., Company Guaranteed Notes, 7.875% due 12/1/17		969,750
	2,990,000	BB+	Citigroup Inc., Junior Subordinated Notes, 5.950%(e)(f)		3,092,781
	190,000	Caa3(g)	Compiler Finance Sub Inc., Senior Unsecured Notes, 7.000% due 5/1/21(a)(b)		89,300
	410,000	B-	Globe Luxembourg SCA, Senior Secured Notes, 9.625% due 5/1/18(a)		364,900
	500,000	BB	ILFC E-Capital Trust I, Limited Guaranteed Notes, 3.980% due 12/21/65(a)(e)		400,500
			International Lease Finance Corp., Senior Unsecured Notes:
	370,000	BBB-	8.250% due 12/15/20		444,000
	155,000	BBB-	8.625% due 1/15/22		193,169
	120,000	CCC+	Jack Cooper Holdings Corp., Senior Secured Notes, 9.250% due 6/1/20		88,200
	740,000	B-	KCA Deutag UK Finance PLC, Senior Secured Notes, 7.250% due 5/15/21(a)		597,550
	530,000	CCC+	OPE KAG Finance Sub Inc., Senior Unsecured Notes, 7.875% due 7/31/23(a)		506,150
	1,440,000	BB	Quicken Loans Inc., Company Guaranteed Notes, 5.750% due 5/1/25(a)		1,444,032
	90,000	CCC+	SPL Logistics Escrow LLC/SPL Logistics Finance Corp., Senior Secured Notes, 8.875% due 8/1/20(a)		69,300
	390,000	B	TMX Finance LLC/TitleMax Finance Corp., Senior Secured Notes, 8.500% due 9/15/18(a)		307,612

			Total Diversified Financial Services		9,518,694

See Notes to Financial Statements.

190



Schedules of Investments


(continued)


High Yield Fund

Face Amount/Units†		Rating††	Security	Value
	Diversified Telecommunication Services — 4.4%
			CenturyLink Inc., Senior Unsecured Notes:
$	465,000	BB	5.625% due 4/1/20	$	496,969
	620,000	BB	6.450% due 6/15/21		669,212
	430,000	BB	5.800% due 3/15/22		446,490
	150,000	BB	6.750% due 12/1/23		158,438
	830,000	B	Cincinnati Bell Inc., Company Guaranteed Notes, 8.375% due 10/15/20		859,569
	35,000	BB-	Cincinnati Bell Telephone Co. LLC, Company Guaranteed Notes, 6.300% due 12/1/28		33,381
	550,000	B-	Cogent Communications Finance Inc., Company Guaranteed Notes, 5.625% due 4/15/21(a)		562,375
	625,000	B-	Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc., Senior Secured Notes, 12.500% due 7/1/22(a)		667,969
			Intelsat Jackson Holdings SA:
			Company Guaranteed Notes:
	1,245,000	CCC	7.250% due 4/1/19		1,003,781
	350,000	CCC	7.500% due 4/1/21		265,125
	680,000	CCC	5.500% due 8/1/23		467,500
	700,000	B-	Senior Secured Notes, 8.000% due 2/15/24(a)		706,125
	770,000	CC	Intelsat Luxembourg SA, Company Guaranteed Notes, 7.750% due 6/1/21		231,000
			Level 3 Financing Inc., Company Guaranteed Notes:
	500,000	B+	5.375% due 8/15/22		524,450
	30,000	B+	5.625% due 2/1/23		31,538
	770,000	B+	5.125% due 5/1/23		802,725
	500,000	B+	5.250% due 3/15/26(a)		519,375
	800,000	BB+	Telecom Italia SpA/Milano, Senior Unsecured Notes, 5.303% due 5/30/24(a)		827,000
			Virgin Media Finance PLC, Company Guaranteed Notes:
	885,000	B	6.375% due 4/15/23(a)		946,950
	470,000	B	6.000% due 10/15/24(a)		491,737
			Virgin Media Secured Finance PLC, Senior Secured Notes:
	260,000	BB-	5.500% due 1/15/25(a)		268,125
	500,000	BB-	5.500% due 8/15/26(a)		523,750
			Windstream Services LLC, Company Guaranteed Notes:
	810,000	B+	7.750% due 10/15/20(c)		830,250
	1,275,000	B+	7.750% due 10/1/21		1,278,188
	650,000	B+	7.500% due 6/1/22(c)		628,875
	50,000	B+	7.500% due 4/1/23(c)		47,812

			Total Diversified Telecommunication Services		14,288,709

	Electric Utilities — 1.2%
			Calpine Corp.:
	50,000	BB	Senior Secured Notes, 5.250% due 6/1/26(a)		50,875
			Senior Unsecured Notes:
	610,000	B	5.375% due 1/15/23		613,428
	640,000	B	5.750% due 1/15/25		640,000
			Dynegy Inc., Company Guaranteed Notes:
	310,000	B+	6.750% due 11/1/19		319,300
	305,000	B+	7.375% due 11/1/22		302,713
	2,968	B-	FPL Energy National Wind Portfolio LLC, Senior Secured Notes, 6.125% due 3/25/19(a)		2,990
	818,407	B-	Miran Mid-Atlantic Series C Pass Through Trust, Pass Thru Certificates, 10.060% due 12/30/28		635,289
	1,640,000	B-	NRG REMA LLC, Pass Thru Certificates, 9.681% due 7/2/26		1,314,050

			Total Electric Utilities		3,878,645

	Electronic Equipment, Instruments & Components — 0.6%
	500,000	BB-	CDW LLC/CDW Finance Corp., Company Guaranteed Notes, 5.000% due 9/1/23		519,375
			Hornbeck Offshore Services Inc., Company Guaranteed Notes:
	225,000	B-	1.500% due 9/1/19		119,953

See Notes to Financial Statements.

191



Schedules of Investments


(continued)


High Yield Fund

Face Amount/Units†		Rating††	Security	Value
	Electronic Equipment, Instruments & Components — 0.6% — (continued)
$	500,000	B-	5.000% due 3/1/21	$	288,750
	55,000	B	International Wire Group Holdings Inc., Secured Notes, 8.500% due 10/15/17(a)		55,431
	250,000	B	Radio Systems Corp., Secured Notes, 8.375% due 11/1/19(a)(b)		261,875
	300,000	BB+	Sanmina Corp., Senior Secured Notes, 4.375% due 6/1/19(a)		313,875
			WESCO Distribution Inc., Company Guaranteed Notes:
	300,000	BB-	5.375% due 12/15/21		311,250
	230,000	BB-	5.375% due 6/15/24(a)		235,750

			Total Electronic Equipment, Instruments & Components		2,106,259

	Energy Equipment & Services — 1.5%
	430,000	BBB-	Access Midstream Partners LP, Senior Unsecured Notes, 4.875% due 3/15/24		440,876
			CGG SA, Company Guaranteed Notes:
	520,000	CCC	6.500% due 6/1/21		257,400
	200,000	CCC	6.875% due 1/15/22		99,000
	400,000	NR	Helix Energy Solutions Group Inc., Senior Unsecured Notes, 3.250% due 3/15/32		375,000
	445,000	B-	Pioneer Energy Services Corp., Company Guaranteed Notes, 6.125% due 3/15/22(b)		295,925
			Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes:
	130,000	BB-	6.625% due 10/1/20		135,038
	1,060,000	BB-	6.875% due 2/1/21		1,102,400
	326,000	BB-	6.375% due 8/1/22		338,225
	490,000	BB-	5.250% due 5/1/23		499,800
	380,000	BB-	Trinidad Drilling Ltd., Company Guaranteed Notes, 7.875% due 1/15/19(a)		351,500
	780,000	B+	Unit Corp., Company Guaranteed Notes, 6.625% due 5/15/21		653,250
			Williams Partners LP, Senior Unsecured Notes:
	225,000	BBB-	6.300% due 4/15/40		246,394
	220,000	BBB-	5.100% due 9/15/45(a)		216,487

			Total Energy Equipment & Services		5,011,295

	Food Products — 1.7%
	440,000	CCC+	Dole Food Co., Inc., Senior Secured Notes, 7.250% due 5/1/19(a)		449,900
			JBS USA LLC/JBS USA Finance Inc.:
	440,000	BB	Company Guaranteed Notes, 7.250% due 6/1/21(a)		457,600
	990,000	BB	Senior Unsecured Notes, 5.875% due 7/15/24(a)		1,027,125
			Kraft Heinz Foods Co.:
	170,000	BBB-	Company Guaranteed Notes, 7.125% due 8/1/39(a)		246,253
	132,000	BBB-	Secured Notes, 4.875% due 2/15/25(a)		145,618
	430,000	BB	Pilgrim’s Pride Corp., Company Guaranteed Notes, 5.750% due 3/15/25(a)		446,125
	560,000	B	Post Holdings Inc., Company Guaranteed Notes, 5.000% due 8/15/26(a)		560,000
	2,350,000	CCC+	Simmons Foods Inc., Secured Notes, 7.875% due 10/1/21(a)(b)		2,326,500

			Total Food Products		5,659,121

	Health Care Equipment & Supplies — 1.3%
	200,000	B-	ConvaTec Finance International SA, Company Guaranteed Notes, 8.250% (8.250% cash or 9.000% PIK) due 1/15/19(a)(d)		200,352
			DJO Finance LLC/DJO Finance Corp., Secured Notes:
	60,000	CCC	10.750% due 4/15/20(a)		49,200
	920,000	CCC+	8.125% due 6/15/21(a)		814,200
	260,000	CCC+	Greatbatch Ltd., Company Guaranteed Notes, 9.125% due 11/1/23(a)		260,325
	290,000	CCC-	Immucor Inc., Company Guaranteed Notes, 11.125% due 8/15/19		274,050
			Kinetic Concepts Inc./KCI USA Inc.:
	900,000	B-	Secured Notes, 10.500% due 11/1/18		929,250
	360,000	BB-	Senior Secured Notes, 7.875% due 2/15/21(a)		389,700
			Mallinckrodt International Finance SA, Company Guaranteed Notes:
	80,000	B	3.500% due 4/15/18		80,500
	350,000	B	4.750% due 4/15/23		326,594

See Notes to Financial Statements.

192



Schedules of Investments


(continued)


High Yield Fund

Face Amount/Units†		Rating††	Security	Value
	Health Care Equipment & Supplies — 1.3% — (continued)
$	1,020,000	B-	Universal Hospital Services Inc., Secured Notes, 7.625% due 8/15/20	$	981,750

			Total Health Care Equipment & Supplies		4,305,921

	Health Care Providers & Services — 4.6%
			Acadia Healthcare Co., Inc., Company Guaranteed Notes:
	695,000	B	5.125% due 7/1/22		696,738
	106,000	B	5.625% due 2/15/23		108,385
	680,000	B-	Amsurg Corp., Company Guaranteed Notes, 5.625% due 7/15/22		704,650
			Centene Corp., Senior Unsecured Notes:
	210,000	BB	5.625% due 2/15/21		223,913
	1,520,000	BB	6.125% due 2/15/24		1,660,600
	630,000	BB-	CHS/Community Health Systems Inc., Senior Secured Notes, 5.125% due 8/1/21		622,913
			DaVita HealthCare Partners Inc., Company Guaranteed Notes:
	300,000	B+	5.125% due 7/15/24		310,312
	100,000	B+	5.000% due 5/1/25		101,600
	940,000	NR	Escrow Magellan Health, (Restricted), 9.750% due 5/15/20(b)(h)		—
			Fresenius Medical Care US Finance II Inc., Company Guaranteed Notes:
	270,000	BB+	5.875% due 1/31/22(a)		308,475
	300,000	BB+	4.750% due 10/15/24(a)		322,500
			HCA Inc.:
			Company Guaranteed Notes:
	495,000	B+	7.500% due 2/15/22		565,537
	915,000	B+	5.375% due 2/1/25		943,594
	60,000	B+	7.690% due 6/15/25		68,250
	350,000	B+	5.875% due 2/15/26		370,563
			Senior Secured Notes:
	580,000	BBB-	4.750% due 5/1/23		608,275
	450,000	BBB-	5.000% due 3/15/24		478,125
	810,000	BBB-	5.250% due 4/15/25		869,737
	160,000	BBB-	5.250% due 6/15/26		171,400
			HealthSouth Corp., Company Guaranteed Notes:
	290,000	B+	5.125% due 3/15/23		295,075
	750,000	B+	5.750% due 9/15/25		788,438
	760,000	CCC+	IASIS Healthcare LLC/IASIS Capital Corp., Company Guaranteed Notes, 8.375% due 5/15/19		692,550
	1,090,000	B-	MPH Acquisition Holdings LLC, Senior Unsecured Notes, 7.125% due 6/1/24(a)		1,174,475
	970,000	B-	Select Medical Corp., Company Guaranteed Notes, 6.375% due 6/1/21(c)		976,062
			Tenet Healthcare Corp., Senior Unsecured Notes:
	1,815,000	CCC+	8.125% due 4/1/22		1,846,762
	60,000	CCC+	6.750% due 6/15/23		57,225

			Total Health Care Providers & Services		14,966,154

	Hotels, Restaurants & Leisure — 5.2%
			1011778 BC ULC/New Red Finance Inc.:
	410,000	B-	Secured Notes, 6.000% due 4/1/22(a)		429,987
	446,000	B+	Senior Secured Notes, 4.625% due 1/15/22(a)		462,725
	220,000	B	AMC Entertainment Inc., Company Guaranteed Notes, 5.750% due 6/15/25		226,618
	156,909	NR	Bossier Casino Venture Holdco Inc., Senior Secured Notes, 14.000% (0.000% cash or 14.000% PIK) due 2/9/18(a)(b)(d)(h)		156,909
			Boyd Gaming Corp., Company Guaranteed Notes:
	710,000	B	9.000% due 7/1/20		741,950
	630,000	B	6.375% due 4/1/26(a)		674,100
	560,000	BBB-	Brunswick Corp., Company Guaranteed Notes, 4.625% due 5/15/21(a)		575,400
			Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Properties Finance Inc.:
	570,000	CCC-	Secured Notes, 11.000% due 10/1/21		590,662

See Notes to Financial Statements.

193



Schedules of Investments


(continued)


High Yield Fund

Face Amount/Units†		Rating††	Security	Value
	Hotels, Restaurants & Leisure — 5.2% — (continued)
$	860,000	CCC+	Senior Secured Notes, 8.000% due 10/1/20	$	877,200
	700,000	B	Carrols Restaurant Group Inc., Secured Notes, 8.000% due 5/1/22		764,750
	160,000	CCC+	CEC Entertainment Inc., Company Guaranteed Notes, 8.000% due 2/15/22		160,800
	550,000	BB	Churchill Downs Inc., Company Guaranteed Notes, 5.375% due 12/15/21(a)		574,750
	490,000	B-	Eldorado Resorts Inc., Company Guaranteed Notes, 7.000% due 8/1/23		519,400
			GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes:
	730,000	BB+	4.875% due 11/1/20		784,750
	630,000	BB+	5.375% due 4/15/26		689,850
	170,000	B-	Greektown Holdings LLC/Greektown Mothership Corp., Senior Secured Notes, 8.875% due 3/15/19(a)		180,200
	720,000	BB+	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Company Guaranteed Notes, 5.625% due 10/15/21		744,994
	160,000	CCC+	Landry’s Holdings II Inc., Senior Unsecured Notes, 10.250% due 1/1/18(a)		163,200
	565,000	B-	Landry’s Inc., Company Guaranteed Notes, 9.375% due 5/1/20(a)		595,369
			MGM Resorts International, Company Guaranteed Notes:
	350,000	BB-	6.625% due 12/15/21		394,625
	710,000	BB-	7.750% due 3/15/22		827,150
	350,000	BB-	6.000% due 3/15/23(c)		380,835
	920,000	BB-	4.625% due 9/1/26		915,400
			NCL Corp., Ltd., Senior Unsecured Notes:
	750,000	BB	5.250% due 11/15/19(a)		765,937
	140,000	BB	4.625% due 11/15/20(a)		142,225
	517,593	NR	New Cotai LLC/New Cotai Capital Corp., Senior Secured Notes, 10.625% (0.000% cash or 10.625% PIK) due 5/1/19(a)(b)(d)		253,621
	540,000	CCC	PF Chang’s China Bistro Inc., Company Guaranteed Notes, 10.250% due 6/30/20(a)(b)		517,050
	500,000	CCC+	Scientific Games Corp., Company Guaranteed Notes, 8.125% due 9/15/18		503,125
			Scientific Games International Inc.:
	465,000	CCC+	Company Guaranteed Notes, 6.250% due 9/1/20(b)		348,750
	760,000	B+	Senior Secured Notes, 7.000% due 1/1/22(a)		811,300
	580,000	BB+	Speedway Motorsports Inc., Company Guaranteed Notes, 5.125% due 2/1/23		601,750
			Viking Cruises Ltd., Senior Unsecured Notes:
	120,000	B	8.500% due 10/15/22(a)		106,200
	430,000	B	6.250% due 5/15/25(a)		341,850

			Total Hotels, Restaurants & Leisure		16,823,432

	Household Durables — 1.8%
	140,000	B-	Beazer Homes USA Inc., Company Guaranteed Notes, 9.125% due 5/15/19		141,925
			CalAtlantic Group Inc., Company Guaranteed Notes:
	350,000	BB	6.250% due 12/15/21		385,875
	155,000	BB	5.250% due 6/1/26		157,713
	530,000	BB	Lennar Corp., Company Guaranteed Notes, 4.875% due 12/15/23		557,825
			PulteGroup Inc., Company Guaranteed Notes:
	30,000	BB+	4.250% due 3/1/21		31,669
	350,000	BB+	5.500% due 3/1/26		376,250
	610,000	CCC+	Serta Simmons Bedding LLC, Senior Unsecured Notes, 8.125% due 10/1/20(a)		637,069
			Shea Homes LP/Shea Homes Funding Corp., Company Guaranteed Notes:
	170,000	B+	5.875% due 4/1/23(a)		174,250
	430,000	B+	6.125% due 4/1/25(a)		437,525
	1,165,000	BB-	Taylor Morrison Communities Inc./Monarch Communities Inc., Company Guaranteed Notes, 5.250% due 4/15/21(a)		1,202,862
			Toll Brothers Finance Corp., Company Guaranteed Notes:
	60,000	BB+	4.000% due 12/31/18		62,625
	60,000	BB+	6.750% due 11/1/19		67,950
			William Lyon Homes Inc., Company Guaranteed Notes:
	500,000	B-	5.750% due 4/15/19		511,250

See Notes to Financial Statements.

194



Schedules of Investments


(continued)


High Yield Fund

Face Amount/Units†		Rating††	Security	Value
	Household Durables — 1.8% — (continued)
$	925,000	B-	8.500% due 11/15/20	$	978,187
	60,000	B-	7.000% due 8/15/22		62,250

			Total Household Durables		5,785,225

	Household Products — 2.2%
	650,000	B+	Brookfield Residential Properties Inc., Company Guaranteed Notes, 6.375% due 5/15/25(a)		646,750
	540,000	BB-	Central Garden & Pet Co., Company Guaranteed Notes, 6.125% due 11/15/23		582,525
	1,340,000	B	Century Intermediate Holding Co. 2, Senior Unsecured Notes, 9.750% (0.000% cash or 9.750% PIK) due 2/15/19(a)(d)		1,371,825
			Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu:
			Company Guaranteed Notes:
	340,000	CCC+	9.875% due 8/15/19		350,200
	680,000	CCC+	7.000% due 7/15/24(a)		729,725
			Senior Secured Notes:
	1,250,000	B+	5.750% due 10/15/20		1,292,187
	130,000	B+	5.125% due 7/15/23(a)		135,038
			Spectrum Brands Inc., Company Guaranteed Notes:
	220,000	BB-	6.125% due 12/15/24		238,425
	1,253,000	BB-	5.750% due 7/15/25		1,364,204
	530,000	CCC+	Sun Products Corp. (The), Senior Unsecured Notes, 7.750% due 3/15/21(a)		550,537

			Total Household Products		7,261,416

	Independent Power and Renewable Electricity Producers — 1.3%
			AES Corp., Senior Unsecured Notes:
	650,000	BB	4.875% due 5/15/23		661,375
	40,000	BB	5.500% due 3/15/24		41,700
	110,000	BB	5.500% due 4/15/25		113,349
			NRG Energy Inc., Company Guaranteed Notes:
	600,000	BB-	7.875% due 5/15/21		628,500
	545,000	BB-	6.250% due 7/15/22		559,306
	510,000	BB-	6.625% due 3/15/23		522,750
	450,000	BB-	7.250% due 5/15/26(a)		469,575
	650,000	BB-	6.625% due 1/15/27(a)		652,028
	470,000	B+	Red Oak Power LLC, Senior Secured Notes, 9.200% due 11/30/29		488,800

			Total Independent Power and Renewable Electricity Producers		4,137,383

	Industrial Conglomerates — 0.2%
			American Builders & Contractors Supply Co., Inc., Senior Unsecured Notes:
	370,000	BB	5.625% due 4/15/21(a)		385,725
	250,000	BB	5.750% due 12/15/23(a)		265,000

			Total Industrial Conglomerates		650,725

	Insurance — 1.1%
	580,000	BBB-	American Equity Investment Life Holding Co., Senior Unsecured Notes, 6.625% due 7/15/21		611,900
			CNO Financial Group Inc., Senior Unsecured Notes:
	90,000	BB+	4.500% due 5/30/20		91,350
	970,000	BB+	5.250% due 5/30/25		967,575
	500,000	BB-	Fidelity & Guaranty Life Holdings Inc., Senior Unsecured Notes, 6.375% due 4/1/21(a)		501,250
			Genworth Holdings Inc., Company Guaranteed Notes:
	250,000	B	7.700% due 6/15/20		248,750
	500,000	B	4.900% due 8/15/23		410,000
	585,000	CCC+	HUB International Ltd., Senior Unsecured Notes, 7.875% due 10/1/21(a)		599,625

			Total Insurance		3,430,450

See Notes to Financial Statements.

195



Schedules of Investments


(continued)


High Yield Fund

Face Amount/Units†		Rating††	Security	Value
	Internet Software & Services — 1.7%
$	490,000	CCC+	Ancestry.com Holdings LLC, Senior Unsecured Notes, 9.625% (9.625% cash or 10.375% PIK) due 10/15/18(a)(d)	$	499,800
	70,000	CCC+	Ancestry.com Inc., Company Guaranteed Notes, 11.000% due 12/15/20		75,425
	700,000	B+	Cogent Communications Group Inc., Senior Secured Notes, 5.375% due 3/1/22(a)		724,500
	650,000	BB	CyrusOne LP/CyrusOne Finance Corp., Company Guaranteed Notes, 6.375% due 11/15/22		693,875
			EarthLink Holdings Corp.:
	301,000	CCC+	Company Guaranteed Notes, 8.875% due 5/15/19		308,901
	555,000	B+	Senior Secured Notes, 7.375% due 6/1/20		583,444
	750,000	BB+	Equinix Inc., Senior Unsecured Notes, 5.875% due 1/15/26		818,902
			Match Group Inc., Senior Unsecured Notes:
	555,000	BB-	6.750% due 12/15/22		592,463
	240,000	BB-	6.375% due 6/1/24		262,200
			Netflix Inc., Senior Unsecured Notes:
	500,000	B+	5.750% due 3/1/24		542,500
	300,000	B+	5.875% due 2/15/25		327,000

			Total Internet Software & Services		5,429,010

	Leisure Products — 0.1%
	240,000	B	Downstream Development Authority of the Quapaw Tribe of Oklahoma, Senior Secured Notes, 10.500% due 7/1/19(a)		247,800

	Machinery — 0.3%
	630,000	CCC+	DH Services Luxembourg Sarl, Company Guaranteed Notes, 7.750% due 12/15/20(a)		660,713
	350,000	BB-	Harsco Corp., Senior Unsecured Notes, 5.750% due 5/15/18		355,757

			Total Machinery		1,016,470

	Media — 9.0%
			Altice Financing SA, Senior Secured Notes:
	540,000	BB-	6.625% due 2/15/23(a)		564,300
	370,000	BB-	7.500% due 5/15/26(a)		390,350
	705,000	B	Altice Luxembourg SA, Company Guaranteed Notes, 7.625% due 2/15/25(a)		727,031
	685,000	CCC+	Cablevision Systems Corp., Senior Unsecured Notes, 5.875% due 9/15/22		647,325
	160,000	BB	Carmike Cinemas Inc., Secured Notes, 6.000% due 6/15/23(a)		168,800
			CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes:
	320,000	BB+	5.125% due 2/15/23		336,800
	780,000	BB+	5.875% due 4/1/24(a)		842,400
	1,380,000	BB+	5.750% due 2/15/26(a)		1,480,050
	500,000	B-	Cequel Communications Holdings I LLC/Cequel Capital Corp., Senior Unsecured Notes, 6.375% due 9/15/20(a)		518,750
			Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes:
	720,000	BBB	4.908% due 7/23/25(a)		795,875
	220,000	BBB	6.484% due 10/23/45(a)		271,344
	1,065,000	B-	Clear Channel Worldwide Holdings Inc., Company Guaranteed Notes, 7.625% due 3/15/20		1,078,312
			CSC Holdings LLC:
	1,210,000	BB-	Company Guaranteed Notes, 6.625% due 10/15/25(a)		1,317,388
			Senior Unsecured Notes:
	780,000	B-	6.750% due 11/15/21		834,600
	425,000	B-	10.125% due 1/15/23(a)		486,359
	200,000	B-	10.875% due 10/15/25(a)		235,000
			DISH DBS Corp., Company Guaranteed Notes:
	270,000	B+	7.875% due 9/1/19		301,725
	270,000	B+	5.125% due 5/1/20		280,125
	930,000	B+	6.750% due 6/1/21		1,001,494
	620,000	B+	5.875% due 7/15/22		633,950
	240,000	B+	5.875% due 11/15/24		237,600

See Notes to Financial Statements.

196



Schedules of Investments


(continued)


High Yield Fund

Face Amount/Units†		Rating††	Security	Value
	Media — 9.0% — (continued)
$	690,000	B+	7.750% due 7/1/26(a)	$	737,948
	380,000	B-	DISH Network Corp., Senior Unsecured Notes, 3.375% due 8/15/26(a)		398,288
	500,000	CCC	Gibson Brands Inc., Senior Secured Notes, 8.875% due 8/1/18(a)		390,000
	490,000	B+	Gray Television Inc., Company Guaranteed Notes, 5.875% due 7/15/26(a)		512,050
			iHeartCommunications Inc.:
	275,831	CC	Company Guaranteed Notes, 14.000% (12.000% cash or 2.000% PIK) due 2/1/21(d)		113,091
	1,240,000	CCC	Senior Secured Notes, 9.000% due 12/15/19		1,007,500
	540,000	CC	Senior Unsecured Notes, 10.000% due 1/15/18		338,850
	245,000	BB-	Lamar Media Corp., Company Guaranteed Notes, 5.750% due 2/1/26(a)		265,825
	480,991	CC	LBI Media Inc., Secured Notes, 13.500% (4.250% cash or 9.250% PIK) due 4/15/20(a)(b)(d)		406,437
	705,000	B-	Lee Enterprises Inc., Senior Secured Notes, 9.500% due 3/15/22(a)		733,200
	570,000	B+	Media General Financing, Company Guaranteed Notes, 5.875% due 11/15/22		605,625
	30,000	CCC+	MHGE Parent LLC/MHGE Parent Finance Inc., Senior Unsecured Notes, 8.500% due 8/1/19(a)		30,525
	660,000	B	Midcontinent Communications & Midcontinent Finance Corp., Company Guaranteed Notes, 6.250% due 8/1/21(a)		694,650
	935,000	B+	Nexstar Broadcasting Inc., Company Guaranteed Notes, 6.875% due 11/15/20		977,075
	130,000	BB-	Outfront Media Capital LLC/Outfront Media Capital Corp., Company Guaranteed Notes, 5.250% due 2/15/22		136,663
			Radio One Inc.:
	1,480,000	CCC	Company Guaranteed Notes, 9.250% due 2/15/20(a)(b)		1,406,000
	710,000	B	Senior Secured Notes, 7.375% due 4/15/22(a)		722,425
			SFR Group SA, Senior Secured Notes:
	550,000	B+	6.000% due 5/15/22(a)		564,163
	1,705,000	B+	6.250% due 5/15/24(a)		1,724,181
	1,040,000	B+	7.375% due 5/1/26(a)		1,075,100
			Sinclair Television Group Inc., Company Guaranteed Notes:
	790,000	B+	5.375% due 4/1/21		822,587
	290,000	B+	5.625% due 8/1/24(a)		302,789
	465,000	BB-	Time Inc., Company Guaranteed Notes, 5.750% due 4/15/22(a)		460,931
	300,000	BBB	Time Warner Cable Inc., Senior Secured Notes, 7.300% due 7/1/38		390,843
	900,000	B+	Univision Communications Inc., Senior Secured Notes, 5.125% due 2/15/25(a)		943,875
	340,000	BBB-	Viacom Inc., Senior Unsecured Notes, 4.375% due 3/15/43		309,135

			Total Media		29,219,334

	Metals & Mining — 2.4%
			Alcoa Inc., Senior Unsecured Notes:
	20,000	BBB-	5.125% due 10/1/24		21,200
	740,000	BBB-	5.950% due 2/1/37		750,871
			Anglo American Capital PLC, Company Guaranteed Notes:
	680,000	BB	3.625% due 5/14/20(a)		676,600
	360,000	BB	4.875% due 5/14/25(a)		362,700
	500,000	BB	ArcelorMittal, Senior Unsecured Notes, 7.250% due 2/25/22(c)		565,000
	345,000	BB-	Coeur Mining Inc., Company Guaranteed Notes, 7.875% due 2/1/21		342,412
	770,000	BB+	FMG Resources August 2006 Pty Ltd., Senior Secured Notes, 9.750% due 3/1/22(a)		893,200
			Freeport-McMoRan Inc., Company Guaranteed Notes:
	855,000	BB	3.100% due 3/15/20		790,875
	260,000	BB	3.550% due 3/1/22(c)		228,150
	130,000	BB	3.875% due 3/15/23		112,125
	930,000	BB	5.450% due 3/15/43		716,100
	181,051	NR	Midwest Vanadium Pty Ltd., Senior Secured Notes, 11.500% due 2/15/18(a)(b)(i)		3,168
			Mirabela Nickel Ltd.:
	300,991	NR	Secured Notes, 9.500% (0.000% cash or 9.500% PIK) due 6/24/19(a)(b)(d)		21,069
	1,151	NR	Subordinated Notes, 1.000% due 9/10/44(a)(b)(h)		—

See Notes to Financial Statements.

197



Schedules of Investments


(continued)


High Yield Fund

Face Amount/Units†			Rating††	Security	Value
	Metals & Mining — 2.4% — (continued)
				Teck Resources Ltd., Company Guaranteed Notes:
$	390,000		B+	3.000% due 3/1/19	$	380,250
	400,000		BB-	8.000% due 6/1/21(a)		432,750
	230,000		BB-	8.500% due 6/1/24(a)		259,325
				United States Steel Corp., Senior Unsecured Notes:
	490,000		B	7.375% due 4/1/20(c)		486,019
	335,000		B	7.500% due 3/15/22		327,253
	465,000		B	Zekelman Industries Inc., Senior Secured Notes, 9.875% due 6/15/23(a)		498,713

				Total Metals & Mining		7,867,780

	Multiline Retail — 0.2%
	605,000		B-	JC Penney Corp., Inc., Company Guaranteed Notes, 8.125% due 10/1/19		654,156

	Oil, Gas & Consumable Fuels — 15.0%
	395,000		CCC+	Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., Company Guaranteed Notes, 9.625% due 10/15/18		353,525
				Antero Resources Corp., Company Guaranteed Notes:
	495,000		BB	5.375% due 11/1/21		498,094
	635,000		BB	5.125% due 12/1/22		630,237
	430,000		CCC	Approach Resources Inc., Company Guaranteed Notes, 7.000% due 6/15/21(b)		321,425
				Berry Petroleum Co. LLC, Senior Unsecured Notes:
	310,000		NR	6.750% due 11/1/20(i)		162,750
	790,000		NR	6.375% due 9/15/22(i)		414,750
	365,000		CCC	Bill Barrett Corp., Company Guaranteed Notes, 7.000% due 10/15/22		268,275
	1,020,000		B-	Blue Racer Midstream LLC/Blue Racer Finance Corp., Company Guaranteed Notes, 6.125% due 11/15/22(a)		986,850
				California Resources Corp.:
				Company Guaranteed Notes:
	4,000		D	5.500% due 9/15/21		2,080
	8,000		D	6.000% due 11/15/24		3,900
	30,000		CCC+	Secured Notes, 8.000% due 12/15/22(a)		20,400
	290,000		B+	Calumet Specialty Products Partners LP/Calumet Finance Corp., Senior Secured Notes, 11.500% due 1/15/21(a)		332,775
				Carrizo Oil & Gas Inc., Company Guaranteed Notes:
	920,000		B+	7.500% due 9/15/20		947,600
	430,000		B+	6.250% due 4/15/23(c)		426,775
				Chesapeake Energy Corp., Company Guaranteed Notes:
	20,000		D	3.930% due 4/15/19(e)		18,200
	425,000		CC	6.625% due 8/15/20		380,375
	120,000		CC	6.875% due 11/15/20		105,900
	130,000		D	6.125% due 2/15/21		109,200
	10,000		D	5.375% due 6/15/21		7,950
	120,000		D	4.875% due 4/15/22		92,400
	850,000		CC	5.750% due 3/15/23		656,094
	470,000		B+	Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., Company Guaranteed Notes, 6.375% due 3/15/24		242,050
				Comstock Resources Inc.:
	95,000	��	D	Company Guaranteed Notes, 7.750% due 4/1/19		64,600
				Secured Notes:
	290,000		NR	7.750% (0.000% cash or 7.750% PIK) due 4/1/19		197,200
	515,000		NR	10.000% (10.000% cash or 12.250% PIK) due 3/15/20		476,375
	195,000		B	Senior Secured Notes, 10.000% due 3/15/20(a)		180,375
				Concho Resources Inc., Company Guaranteed Notes:
	100,000		BB+	6.500% due 1/15/22		104,500
	340,000		BB+	5.500% due 4/1/23		352,750

See Notes to Financial Statements.

198



Schedules of Investments


(continued)


High Yield Fund

Face Amount/Units†		Rating††	Security	Value
	Oil, Gas & Consumable Fuels — 15.0% — (continued)
			Continental Resources Inc., Company Guaranteed Notes:
$	320,000	BB+	5.000% due 9/15/22	$	311,200
	60,000	BB+	4.500% due 4/15/23		56,850
	430,000	BB+	4.900% due 6/1/44		361,200
			Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., Company Guaranteed Notes:
	80,000	BB-	6.000% due 12/15/20		79,200
	880,000	BB-	6.125% due 3/1/22		860,200
	270,000	BB-	6.250% due 4/1/23		264,600
	350,000	B+	CrownRock LP/CrownRock Finance Inc., Senior Unsecured Notes, 7.750% due 2/15/23(a)		373,625
	410,000	B-	CSI Compressco LP/CSI Compressco Finance Inc., Company Guaranteed Notes, 7.250% due 8/15/22		371,050
			DCP Midstream LLC:
	915,000	B+	Junior Subordinated Notes, 5.850% due 5/21/43(a)(b)(e)		704,550
			Senior Unsecured Notes:
	345,000	BB	9.750% due 3/15/19(a)		385,969
	115,000	BB	5.350% due 3/15/20(a)(b)		117,300
	200,000	BB	4.750% due 9/30/21(a)(b)		198,000
	410,000	BB	6.750% due 9/15/37(a)		399,750
			DCP Midstream Operating LP, Company Guaranteed Notes:
	290,000	BB	4.950% due 4/1/22		293,625
	345,000	BB	3.875% due 3/15/23(b)		329,475
			Ecopetrol SA, Senior Unsecured Notes:
	54,000	BBB	5.875% due 9/18/23		58,792
	10,000	BBB	4.125% due 1/16/25		9,700
	330,000	B-	Endeavor Energy Resources LP/EER Finance Inc., Senior Unsecured Notes, 7.000% due 8/15/21(a)		332,475
			Ensco PLC, Senior Unsecured Notes:
	60,000	BBB-	4.700% due 3/15/21(c)		51,930
	70,000	BBB-	5.200% due 3/15/25		50,575
	1,150,000	BBB-	5.750% due 10/1/44		713,000
			EP Energy LLC/Everest Acquisition Finance Inc., Company Guaranteed Notes:
	380,000	CCC+	9.375% due 5/1/20		247,000
	360,000	CCC+	7.750% due 9/1/22		198,900
	480,000	CCC+	6.375% due 6/15/23		265,200
	130,000	CCC+	EV Energy Partners LP/EV Energy Finance Corp., Company Guaranteed Notes, 8.000% due 4/15/19		81,250
	390,000	B-	Extraction Oil & Gas Holdings LLC/Extraction Finance Corp., Senior Unsecured Notes, 7.875% due 7/15/21(a)		395,850
			Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas Inc., Company Guaranteed Notes:
	390,000	BB	6.125% due 6/15/19		395,850
	110,000	BB	6.750% due 2/1/22		110,550
	1,420,000	BB	6.875% due 2/15/23		1,388,050
	745,000	CC	Gastar Exploration Inc., Secured Notes, 8.625% due 5/15/18		626,731
	340,000	B+	Genesis Energy LP/Genesis Energy Finance Corp., Company Guaranteed Notes, 6.000% due 5/15/23		340,000
			Gulfport Energy Corp., Company Guaranteed Notes:
	230,000	B+	7.750% due 11/1/20		240,350
	425,000	B+	6.625% due 5/1/23		438,813
	525,000	CCC+	Halcon Resources Corp., Secured Notes, 8.625% due 2/1/20(a)(c)(i)		501,375
	150,000	BB	Holly Energy Partners LP/Holly Energy Finance Corp., Company Guaranteed Notes, 6.000% due 8/1/24(a)		153,750
	375,000	Caa2(g)	Jones Energy Holdings LLC/Jones Energy Finance Corp., Company Guaranteed Notes, 6.750% due 4/1/22		324,375
	10,000	BBB-	Kinder Morgan Inc., Company Guaranteed Notes, 7.800% due 8/1/31		12,272

See Notes to Financial Statements.

199



Schedules of Investments


(continued)


High Yield Fund

Face Amount/Units†		Rating††	Security	Value
	Oil, Gas & Consumable Fuels — 15.0% — (continued)
$	190,000	B-	Laredo Petroleum Inc., Company Guaranteed Notes, 7.375% due 5/1/22(c)	$	192,850
			MEG Energy Corp., Company Guaranteed Notes:
	110,000	BB-	6.500% due 3/15/21(a)		90,750
	360,000	BB-	6.375% due 1/30/23(a)		282,600
	110,000	BB-	7.000% due 3/31/24(a)		89,100
	355,000	B	Memorial Resource Development Corp., Company Guaranteed Notes, 5.875% due 7/1/22		359,438
	210,000	NR	Milagro Oil & Gas Inc., Secured Notes, 10.500% due 5/15/16(h)(i)		54,749
			MPLX LP, Company Guaranteed Notes:
	495,000	BBB-	5.500% due 2/15/23(a)		514,117
	1,015,000	BBB-	4.500% due 7/15/23(a)		1,026,655
	850,000	BBB-	4.875% due 6/1/25(a)		869,043
	830,000	D	Murray Energy Corp., Secured Notes, 11.250% due 4/15/21(a)		369,350
	230,000	BB+	Newfield Exploration Co., Senior Unsecured Notes, 5.375% due 1/1/26		232,300
			NGL Energy Partners LP/NGL Energy Finance Corp., Company Guaranteed Notes:
	585,000	BB-	5.125% due 7/15/19		551,363
	400,000	BB-	6.875% due 10/15/21		374,000
			NGPL PipeCo LLC, Senior Secured Notes:
	160,000	BB-	7.119% due 12/15/17(a)		167,800
	1,065,000	BB-	7.768% due 12/15/37(a)		1,148,869
			Noble Holding International Ltd., Company Guaranteed Notes:
	150,000	BB+	4.625% due 3/1/21		126,015
	345,000	BB+	3.950% due 3/15/22		263,062
			Oasis Petroleum Inc., Company Guaranteed Notes:
	360,000	B+	6.875% due 3/15/22(c)		336,600
	600,000	B+	6.875% due 1/15/23(c)		556,500
	200,000	B-	Pacific Drilling V Ltd., Senior Secured Notes, 7.250% due 12/1/17(a)		79,000
	100,000	B-	Parsley Energy LLC/Parsley Finance Corp., Company Guaranteed Notes, 7.500% due 2/15/22(a)		106,000
	600,000	BBB-	PBF Holding Co. LLC/PBF Finance Corp., Senior Secured Notes, 7.000% due 11/15/23(a)		573,300
	200,000	B+	Petrobras Global Finance BV, Company Guaranteed Notes, 4.375% due 5/20/23		174,922
	815,000	CC	PetroQuest Energy Inc., Secured Notes, 10.000% due 2/15/21(a)		590,875
	390,000	BBB-	Pride International Inc., Company Guaranteed Notes, 7.875% due 8/15/40		289,575
			QEP Resources Inc., Senior Unsecured Notes:
	120,000	BB+	6.875% due 3/1/21		126,060
	490,000	BB+	5.250% due 5/1/23		482,650
			Range Resources Corp., Company Guaranteed Notes:
	70,000	BB+	5.000% due 3/15/23		69,475
	450,000	BB+	4.875% due 5/15/25		436,500
	70,000	BBB-	Regency Energy Partners LP/Regency Energy Finance Corp., Company Guaranteed Notes, 6.500% due 7/15/21		72,277
	1,110,000	Ca(g)	Resolute Energy Corp., Company Guaranteed Notes, 8.500% due 5/1/20		1,004,550
			Rice Energy Inc., Company Guaranteed Notes:
	880,000	B-	6.250% due 5/1/22		906,400
	150,000	B-	7.250% due 5/1/23		157,500
			Rockies Express Pipeline LLC, Senior Unsecured Notes:
	865,000	BB+	5.625% due 4/15/20(a)		909,331
	300,000	BB+	7.500% due 7/15/38(a)		312,000
	1,575,000	BB+	6.875% due 4/15/40(a)(b)		1,598,625
	590,000	B	Rose Rock Midstream LP/Rose Rock Finance Corp., Company Guaranteed Notes, 5.625% due 11/15/23		539,850
	480,000	B+	RSP Permian Inc., Company Guaranteed Notes, 6.625% due 10/1/22		501,600
			Sabine Pass Liquefaction LLC, Senior Secured Notes:
	630,000	BB+	5.625% due 2/1/21		664,650
	725,000	BB+	6.250% due 3/15/22		779,375
	370,000	BB+	5.625% due 4/15/23		391,275

See Notes to Financial Statements.

200



Schedules of Investments


(continued)


High Yield Fund

Face Amount/Units†		Rating††	Security	Value
	Oil, Gas & Consumable Fuels — 15.0% — (continued)
$	510,000	BB+	5.750% due 5/15/24	$	544,425
			Sanchez Energy Corp., Company Guaranteed Notes:
	680,000	B-	7.750% due 6/15/21		595,000
	925,000	B-	6.125% due 1/15/23(c)		735,375
	385,000	BB	SESI LLC, Company Guaranteed Notes, 7.125% due 12/15/21		377,300
	190,000	B	Shelf Drilling Holdings Ltd., Secured Notes, 8.625% due 11/1/18(a)		155,325
	360,000	B+	SM Energy Co., Senior Unsecured Notes, 5.625% due 6/1/25		338,400
	400,000	BBB-	Southern Natural Gas Co. LLC, Company Guaranteed Notes, 8.000% due 3/1/32		511,962
			Summit Midstream Holdings LLC/Summit Midstream Finance Corp., Company Guaranteed Notes:
	10,000	B	7.500% due 7/1/21		10,200
	520,000	B	5.500% due 8/15/22		493,350
	645,000	BB-	Sunoco LP/Sunoco Finance Corp., Company Guaranteed Notes, 5.500% due 8/1/20(a)		655,546
	470,000	B-	Teine Energy Ltd., Senior Unsecured Notes, 6.875% due 9/30/22(a)		473,525
			Tesoro Logistics LP/Tesoro Logistics Finance Corp., Company Guaranteed Notes:
	100,000	BB	5.500% due 10/15/19		107,000
	50,000	BB	6.125% due 10/15/21		52,469
	140,000	BB	6.375% due 5/1/24		150,150
			Transocean Inc., Company Guaranteed Notes:
	690,000	BB-	8.125% due 12/15/21(c)		650,325
	330,000	BB-	9.000% due 7/15/23(a)		319,275
	575,000	B	Western Refining Inc., Company Guaranteed Notes, 6.250% due 4/1/21		562,062
			Whiting Petroleum Corp., Company Guaranteed Notes:
	90,000	B+	5.750% due 3/15/21(c)		81,112
	300,000	B+	6.250% due 4/1/23(c)		264,000
			Williams Cos., Inc. (The), Senior Unsecured Notes:
	130,000	BB	3.700% due 1/15/23		126,750
	170,000	BB	4.550% due 6/24/24		174,675
	450,000	BB	7.500% due 1/15/31		517,500
	770,000	BB	5.750% due 6/24/44		795,025
			WPX Energy Inc., Senior Unsecured Notes:
	910,000	B	6.000% due 1/15/22(c)		889,525
	350,000	B	8.250% due 8/1/23(c)		365,750

			Total Oil, Gas & Consumable Fuels		48,717,764

	Personal Products — 0.2%
	630,000	B+	Revlon Consumer Products Corp., Company Guaranteed Notes, 5.750% due 2/15/21		647,325

	Pharmaceuticals — 2.3%
	690,000	CCC-	BioScrip Inc., Company Guaranteed Notes, 8.875% due 2/15/21		653,775
	420,000	CCC+	DPx Holdings BV, Senior Unsecured Notes, 7.500% due 2/1/22(a)		447,901
			Endo Ltd./Endo Finance LLC/Endo Finco Inc., Company Guaranteed Notes:
	200,000	B	6.000% due 7/15/23(a)		182,500
	700,000	B	6.000% due 2/1/25(a)		624,750
	320,000	B+	Grifols Worldwide Operations Ltd., Company Guaranteed Notes, 5.250% due 4/1/22(a)		336,000
			Valeant Pharmaceuticals International Inc., Company Guaranteed Notes:
	655,000	B-	5.375% due 3/15/20(a)		620,612
	170,000	B-	7.000% due 10/1/20(a)		166,600
	1,065,000	B-	6.375% due 10/15/20(a)		1,022,400
	700,000	B-	7.500% due 7/15/21(a)		690,592
	740,000	B-	5.625% due 12/1/21(a)		671,550
	950,000	B-	5.500% due 3/1/23(a)		833,625
	1,200,000	B-	6.125% due 4/15/25(a)		1,057,500

			Total Pharmaceuticals		7,307,805

See Notes to Financial Statements.

201



Schedules of Investments


(continued)


High Yield Fund

Face Amount/Units†		Rating††	Security	Value
	Real Estate Investment Trusts (REITs) — 2.6%
$	715,000	B-	Ashton Woods USA LLC/Ashton Woods Finance Co., Senior Unsecured Notes, 6.875% due 2/15/21(a)	$	686,400
	200,000	BBB-	Care Capital Properties LP, Company Guaranteed Notes, 5.125% due 8/15/26(a)		202,296
			Communications Sales & Leasing Inc./CSL Capital LLC:
	130,000	B-	Company Guaranteed Notes, 8.250% due 10/15/23		136,175
	190,000	BB-	Senior Secured Notes, 6.000% due 4/15/23(a)		198,075
			Corrections Corp. of America, Company Guaranteed Notes:
	1,200,000	BB	5.000% due 10/15/22(c)		1,119,000
	330,000	BB	4.625% due 5/1/23(c)		295,350
	610,000	BB-	CTR Partnership LP/CareTrust Capital Corp., Company Guaranteed Notes, 5.875% due 6/1/21		625,250
	610,000	BB-	ESH Hospitality Inc., Company Guaranteed Notes, 5.250% due 5/1/25(a)		612,861
	875,000	B+	FelCor Lodging LP, Senior Secured Notes, 5.625% due 3/1/23		903,437
	510,000	B+	GEO Group Inc. (The), Company Guaranteed Notes, 5.125% due 4/1/23		457,725
	860,000	BB-	Iron Mountain Inc., Company Guaranteed Notes, 6.000% due 10/1/20(a)		915,909
	600,000	B	Isle of Capri Casinos Inc., Company Guaranteed Notes, 8.875% due 6/15/20		629,250
			MGP Escrow Issuer LLC, Company Guaranteed Notes:
	500,000	BB-	5.625% due 5/1/24(a)		543,750
	390,000	BB-	4.500% due 9/1/26(a)		391,706
			MPT Operating Partnership LP/MPT Finance Corp., Company Guaranteed Notes:
	140,000	BBB-	6.375% due 3/1/24		154,350
	220,000	BBB-	5.250% due 8/1/26		234,300

			Total Real Estate Investment Trusts (REITs)		8,105,834

	Real Estate Management & Development — 0.5%
	850,000	BB-	Greystar Real Estate Partners LLC, Senior Secured Notes, 8.250% due 12/1/22(a)		905,250
	785,000	B+	Realogy Group LLC/Realogy Co.-Issuer Corp., Company Guaranteed Notes, 5.250% due 12/1/21(a)		826,213

			Total Real Estate Management & Development		1,731,463

	Semiconductors & Semiconductor Equipment — 0.7%
			Micron Technology Inc., Senior Unsecured Notes:
	255,000	BB	5.875% due 2/15/22		258,506
	795,000	BB	5.250% due 8/1/23(a)		773,137
	200,000	BB	5.500% due 2/1/25		194,750
	400,000	BB	5.625% due 1/15/26(a)		384,000
	475,000	BB+	Qorvo Inc., Company Guaranteed Notes, 6.750% due 12/1/23(a)		518,938

			Total Semiconductors & Semiconductor Equipment		2,129,331

	Software — 1.3%
	370,000	BBB-	Activision Blizzard Inc., Company Guaranteed Notes, 6.125% due 9/15/23(a)		406,537
			First Data Corp.:
	1,560,000	B	Company Guaranteed Notes, 7.000% due 12/1/23(a)		1,639,950
	480,000	B	Secured Notes, 5.750% due 1/15/24(a)		493,200
	725,000	BB	Senior Secured Notes, 5.000% due 1/15/24(a)		740,406
	270,000	CCC+	Interface Security Systems Holdings Inc./Interface Security Systems LLC, Secured Notes, 9.250% due 1/15/18		275,063
	505,000	BB-	Nuance Communications Inc., Company Guaranteed Notes 5.375% due 8/15/20(a)		518,256

			Total Software		4,073,412

	Specialty Retail — 1.7%
	360,000	BB	CST Brands Inc., Company Guaranteed Notes, 5.000% due 5/1/23		382,500
	850,000	BB-	Dollar Tree Inc., Company Guaranteed Notes, 5.750% due 3/1/23		919,063
			GameStop Corp., Company Guaranteed Notes:
	270,000	BB+	5.500% due 10/1/19(a)		276,075
	250,000	BB+	6.750% due 3/15/21(a)		253,750

See Notes to Financial Statements.

202



Schedules of Investments


(continued)


High Yield Fund

Face Amount/Units†		Rating††	Security	Value
	Specialty Retail — 1.7% — (continued)
			Guitar Center Inc.:
$	650,000	CCC	Company Guaranteed Notes, 9.625% due 4/15/20(a)	$	481,000
	140,000	B-	Senior Secured Notes, 6.500% due 4/15/19(a)		125,300
			L Brands Inc.:
			Company Guaranteed Notes:
	200,000	BB+	7.000% due 5/1/20		231,250
	420,000	BB+	6.625% due 4/1/21		487,200
	360,000	BB+	6.875% due 11/1/35		395,100
	220,000	BB-	Senior Unsecured Notes, 6.950% due 3/1/33		233,750
			Neiman Marcus Group Ltd. LLC, Company Guaranteed Notes:
	520,000	CCC	8.000% due 10/15/21(a)		447,564
	310,000	CCC	8.750% (8.750% cash or 9.500% PIK) due 10/15/21(a)(d)		253,425
	715,000	B-	PetSmart Inc., Senior Unsecured Notes, 7.125% due 3/15/23(a)		753,431
	330,000	BB+	Sally Holdings LLC/Sally Capital Inc., Company Guaranteed Notes, 5.625% due 12/1/25		359,040

			Total Specialty Retail		5,598,448

	Technology Hardware, Storage & Peripherals — 2.5%
			Diamond 1 Finance Corp./Diamond 2 Finance Corp.:
	250,000	BB	Company Guaranteed Notes, 7.125% due 6/15/24(a)		271,160
			Senior Secured Notes:
	200,000	BBB-	6.020% due 6/15/26(a)		214,375
	2,090,000	BBB-	8.100% due 7/15/36(a)		2,434,169
	230,000	BBB-	8.350% due 7/15/46(a)		268,842
	440,000	BB	Senior Unsecured Notes, 5.875% due 6/15/21(a)		465,426
			Seagate HDD Cayman, Company Guaranteed Notes:
	605,000	BBB-	4.875% due 6/1/27		531,330
	790,000	BBB-	5.750% due 12/1/34		656,687
			Western Digital Corp.:
	1,955,000	BB+	Company Guaranteed Notes, 10.500% due 4/1/24(a)		2,214,038
	960,000	BBB-	Senior Secured Notes, 7.375% due 4/1/23(a)		1,044,000

			Total Technology Hardware, Storage & Peripherals		8,100,027

	Textiles, Apparel & Luxury Goods — 0.5%
			Hanesbrands Inc., Company Guaranteed Notes:
	140,000	BB	4.625% due 5/15/24(a)		147,175
	130,000	BB	4.875% due 5/15/26(a)		136,500
	500,000	BBu	Levi Strauss & Co., Senior Unsecured Notes, 5.000% due 5/1/25		521,250
	710,000	BB+	William Carter Co. (The), Company Guaranteed Notes, 5.250% due 8/15/21		751,713

			Total Textiles, Apparel & Luxury Goods		1,556,638

	Tobacco — 0.2%
	835,000	CCC-	Alliance One International Inc., Secured Notes, 9.875% due 7/15/21		746,281

	Transportation Infrastructure — 2.5%
	505,000	BB+	Aircastle Ltd., Senior Unsecured Notes, 7.625% due 4/15/20		585,169
	945,000	B-	Con-Way Inc., Senior Unsecured Notes, 7.250% due 1/15/18		970,987
	260,000	B	CTP Transportation Products LLC/CTP Finance Inc., Senior Secured Notes, 8.250% due 12/15/19(a)		201,500
	460,000	B+	Eletson Holdings Inc., Senior Secured Notes, 9.625% due 1/15/22(a)(b)		338,100
	670,000	B+	Flexi-Van Leasing Inc., Company Guaranteed Notes, 7.875% due 8/15/18(a)		606,350
	560,000	B	Florida East Coast Holdings Corp., Senior Secured Notes, 6.750% due 5/1/19(a)		579,600
			Fly Leasing Ltd., Senior Unsecured Notes:
	335,000	BB	6.750% due 12/15/20		345,469
	540,000	BB	6.375% due 10/15/21		548,100
	888,000	B-	Gardner Denver Inc., Senior Unsecured Notes, 6.875% due 8/15/21(a)		823,620

See Notes to Financial Statements.

203



Schedules of Investments


(continued)


High Yield Fund

Face Amount/Units†		Rating††	Security	Value
	Transportation Infrastructure — 2.5% — (continued)
$	740,000	B+	Navios Maritime Acquisition Corp./Navios Acquisition Finance US Inc., Senior Secured Notes, 8.125% due 11/15/21(a)	$	566,100
	389,887	CCC-	Neovia Logistics Intermediate Holdings LLC/Logistics Intermediate Finance Corp., Senior Unsecured Notes, 10.000% (10.000% cash or 10.750% PIK) due 2/15/18(a)(d)		218,337
	330,000	Caa3(g)	Ultrapetrol Bahamas Ltd., Senior Secured Notes, 8.875% due 6/15/21(b)(i)		67,650
	710,000	B	Watco Cos. LLC/Watco Finance Corp., Company Guaranteed Notes, 6.375% due 4/1/23(a)		715,325
	405,000	CCC+	WaveDivision Escrow LLC/WaveDivision Escrow Corp., Senior Unsecured Notes, 8.125% due 9/1/20(a)		423,225
			XPO Logistics Inc., Company Guaranteed Notes:
	180,000	B	7.875% due 9/1/19(a)		187,208
	350,000	B	6.500% due 6/15/22(a)		365,312
	500,000	B	6.125% due 9/1/23(a)		515,000

			Total Transportation Infrastructure		8,057,052

	Wireless Telecommunication Services — 4.1%
			Frontier Communications Corp., Senior Unsecured Notes:
	685,000	BB-	8.875% due 9/15/20		749,219
	300,000	BB-	9.250% due 7/1/21		325,875
	340,000	BB-	10.500% due 9/15/22		371,238
	730,000	BB-	7.625% due 4/15/24		689,850
	525,000	BB-	6.875% due 1/15/25		473,156
	915,000	BB-	11.000% due 9/15/25		991,631
	560,000	D	Oi Brasil Holdings Cooperatief UA, Senior Unsecured Notes, 5.750% due 2/10/22(a)(i)		147,000
	1,860,000	B	Sprint Capital Corp., Company Guaranteed Notes, 8.750% due 3/15/32		1,855,350
			Sprint Communications Inc.:
			Company Guaranteed Notes:
	2,065,000	BB-	9.000% due 11/15/18(a)		2,281,825
	235,000	BB-	7.000% due 3/1/20(a)		253,212
			Senior Unsecured Notes:
	835,000	B	7.000% due 8/15/20		826,650
	975,000	B	11.500% due 11/15/21		1,101,750
			Sprint Corp., Company Guaranteed Notes:
	1,880,000	B	7.250% due 9/15/21		1,868,250
	290,000	B	7.875% due 9/15/23		283,327
			T-Mobile USA Inc., Company Guaranteed Notes:
	300,000	BB	6.000% due 3/1/23		319,137
	750,000	BB	6.500% due 1/15/26		823,594

			Total Wireless Telecommunication Services		13,361,064

			TOTAL CORPORATE BONDS & NOTES (Cost — $304,601,069)		310,260,247

	SENIOR LOANS — 0.5%
	340,000	NR	AP NMT Acquisition BV, (Restricted), 10.000% due 8/13/22(b)		238,850
	424,151	NR	Hercules Offshore Inc., (Restricted), 10.500% due 5/6/20(b)(i)		255,903
	277,200	NR	Lantheus Medical Imaging, (Restricted), 7.000% due 6/30/22		265,419
	175,368	NR	Murray Energy Corp., (Restricted), 8.250% due 4/16/20		146,345
	129,674	NR	Panda Temple Power II LLC, (Restricted), 7.250% due 4/3/19		120,597
	316,000	NR	Panda Temple Power LLC, (Restricted), 7.250% due 3/6/22		282,820
	345,333	NR	Radnet Management Inc., (Restricted), 8.000% due 3/25/21		336,700

			TOTAL SENIOR LOANS (Cost — $1,805,330)		1,646,634

	COLLATERALIZED MORTGAGE OBLIGATIONS — 0.2%
	300,000	NR	Commercial Mortgage Trust, Series 2015-LC21, Class E, 3.250% due 7/10/48(a)		164,334
	200,000	NR	JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class E, 4.772% due 8/15/48(a)(e)		150,003

See Notes to Financial Statements.

204



Schedules of Investments


(continued)


High Yield Fund

Face Amount/Units†			Rating††	Security	Value
$	300,000		NR	Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class E, 3.000% due 5/15/48(a)	$	158,810

				TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $524,489)		473,147


Shares/Units
	PREFERRED STOCK — 0.3%
	FINANCIALS — 0.3%
	Banks — 0.3%
	39,709			GMAC Capital Trust I, 6.602%(e) (Cost — $937,614)		1,003,049

	COMMON STOCKS — 0.3%
	CONSUMER DISCRETIONARY — 0.0%
	Hotels, Restaurants & Leisure — 0.0%
	9,953			Bossier Casino Venture Holdco Inc., (Restricted)*(a)(b)(h)		90,174

	ENERGY — 0.3%
	Energy Equipment & Services — 0.1%
	18,163			DeepOcean Group Holdings AS, (Restricted)*(b)(h)		125,507
	17,453			Hercules Offshore Inc.*		23,125

				Total Energy Equipment & Services		148,632

	Oil, Gas & Consumable Fuels — 0.2%
	24,451			Magnum Hunter Resources Corp., (Restricted)*(b)		305,638
	347			Southwestern Energy Co.		4,827
	53,668			Whiting Petroleum Corp.*		391,239

				Total Oil, Gas & Consumable Fuels		701,704

				TOTAL ENERGY		850,336

	FINANCIALS — 0.0%
	Diversified Financial Services — 0.0%
	559			Jack Cooper Holdings Corp., Class B Shares*(a)(b)(h)		—

	MATERIALS — 0.0%
	Metals & Mining — 0.0%
	353,070	^AUD		Mirabela Nickel Ltd.*(b)(h)		—

				TOTAL COMMON STOCKS (Cost — $2,579,899)		940,510

	CONVERTIBLE PREFERRED STOCK — 0.1%
	ENERGY — 0.1%
	Oil, Gas & Consumable Fuels — 0.1%
	10,400			Southwestern Energy Co., 6.250% (Cost — $345,351)		334,880

				TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $310,793,752)		314,658,467


Face Amount
	SHORT-TERM INVESTMENTS (j) — 6.0%
	MONEY MARKET FUND — 4.2%
$	13,683,734			Invesco STIT — Government & Agency Portfolio(k) (Cost — $13,683,734)		13,683,734

See Notes to Financial Statements.

205



Schedules of Investments


(continued)


High Yield Fund

Face Amount		Security	Value
	TIME DEPOSITS — 1.8%
$	2,045,399	Banco Santander SA — Frankfurt, 0.150% due 9/1/16	$	2,045,399
	3,895,156	Citibank N.A. — Puerto Rico, 0.150% due 9/1/16		3,895,156

		TOTAL TIME DEPOSITS (Cost — $5,940,555)		5,940,555

		TOTAL SHORT-TERM INVESTMENTS (Cost — $19,624,289)		19,624,289

		TOTAL INVESTMENTS — 102.9% (Cost — $330,418,041#)		334,282,756

		Liabilities in Excess of Other Assets — (2.9)%		(9,500,551	)

		TOTAL NET ASSETS — 100.0%	$	324,782,205

†	Amount denominated in U.S. dollars, unless otherwise noted.

††	All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited.

*	Non-income producing security.

(a)	Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.

(b)	Illiquid security.

(c)	All or a portion of this security is on loan (See Note 1).

(d)	Payment in-kind security for which part of the income earned may be paid as additional principal. At the option of the issuer.

(e)	Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2016.

(f)	Security is perpetual in nature and has no stated maturity date.

(g)	Rating by Moody’s Investors Service. All ratings are unaudited.

(h)	Security is valued in good faith at fair value by or under the direction of the Board of Trustees.

(i)	Security is currently in default.

(j)	Inclusive of all short term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 1.8%.

(k)	Represents investment of collateral received from securities lending transactions.

#	Aggregate cost for federal income tax purposes is $332,396,012.


Abbreviations used in this schedule:
PLC		— Public Limited Company

See pages 250 and 251 for definitions of ratings.


Summary of Investments by Security Type^
Corporate Bonds & Notes	92.8	%
Senior Loans	0.5
Preferred Stocks	0.3
Common Stocks	0.3
Collateralized Mortgage Obligations	0.1
Convertible Preferred Stocks	0.1
Short-Term Investments	5.9

	100.0	%

^	As a percentage of total investments.

See Notes to Financial Statements.

206



Schedules of Investments


(continued)


International Fixed Income Fund

Face Amount/Units†			Security	Value
	SOVEREIGN BONDS — 41.3%
	Brazil — 2.7%
	17,100,000	^BRL	Brazil Letras do Tesouro Nacional, zero coupon, due 10/1/16 — 7/1/17	$	5,079,582

	Canada — 4.4%
			Province of Alberta Canada:
	900,000	^CAD	1.250% due 6/1/20		689,745
	900,000	^CAD	2.350% due 6/1/25		711,441
			Province of Ontario Canada:
	1,500,000	^CAD	4.200% due 6/2/20(a)		1,273,384
	3,100,000	^CAD	3.150% due 6/2/22(a)		2,597,120
	1,900,000	^CAD	2.600% due 6/2/25(a)		1,546,256
	800,000	^CAD	2.400% due 6/2/26		638,481
	1,100,000	^CAD	Province of Quebec Canada, 3.750% due 9/1/24		967,639

			Total Canada		8,424,066

	France — 2.6%
	2,800,000	^EUR	France Government Bond OAT, 3.250% due 5/25/45		4,912,205

	Germany — 2.5%
	2,300,000	^EUR	Bundesrepublik Deutschland, 4.250% due 7/4/39		4,795,514

	Greece — 0.4%
	300,000	^EUR	Athens Urban Transportation Organisation, 4.851% due 9/19/16		333,227
	47,000,000	^JPY	Hellenic Republic Government International Bond, 3.800% due 8/8/17		436,047

			Total Greece		769,274

	Ireland — 0.8%
	1,000,000	^EUR	Ireland Government Bond, 5.400% due 3/13/25		1,591,130

	Italy — 3.0%
			Italy Buoni Poliennali Del Tesoro:
	900,000	^EUR	0.450% due 6/1/21		1,014,194
	1,000,000	^EUR	4.750% due 9/1/44(b)		1,739,419
	700,000	^EUR	3.250% due 9/1/46(b)		972,815
	700,000	^EUR	2.700% due 3/1/47(b)		868,242
	700,000	^GBP	Italy Government International Bond, 6.000% due 8/4/28		1,230,771

			Total Italy		5,825,441

	Japan — 9.4%
$	400,000		Japan Bank for International Cooperation, 1.875% due 7/21/26		399,156
	800,000		Japan Finance Organization for Municipalities, 2.125% due 4/13/21(b)		809,061
			Japan Government Thirty Year Bond:
	210,000,000	^JPY	1.700% due 9/20/44		2,726,061
	330,000,000	^JPY	1.400% due 9/20/45		4,051,344
			Japan Government Twenty Year Bond:
	630,000,000	^JPY	1.000% due 12/20/35		6,881,810
	280,000,000	^JPY	0.400% due 3/20/36		2,750,305
	400,000		Tokyo Metropolitan Government, 2.000% due 5/17/21(b)		403,333

			Total Japan		18,021,070

	New Zealand — 0.1%
	300,000	^NZD	New Zealand Government Bond, 5.500% due 4/15/23		265,584

	Poland — 0.4%
	2,700,000	^PLN	Poland Government Bond, 3.250% due 7/25/25		722,442

	Slovenia — 3.0%
			Slovenia Government International Bond:
	500,000		4.750% due 5/10/18		526,360

See Notes to Financial Statements.

207



Schedules of Investments


(continued)


International Fixed Income Fund

Face Amount/Units†			Security	Value
	Slovenia — 3.0% — (continued)
$	800,000		4.125% due 2/18/19	$	844,528
	400,000		5.500% due 10/26/22		463,093
	2,500,000		5.850% due 5/10/23		2,965,995
	900,000		5.250% due 2/18/24		1,042,906

			Total Slovenia		5,842,882

	Spain — 4.6%
			Autonomous Community of Catalonia:
	700,000	^EUR	4.300% due 11/15/16		784,858
	200,000	^EUR	4.750% due 6/4/18		231,345
	500,000	^EUR	4.950% due 2/11/20		588,512
	500,000	^EUR	Autonomous Community of Madrid Spain, 4.125% due 5/21/24		689,718
			Spain Government Bond:
	3,550,000	^EUR	2.750% due 10/31/24(b)		4,574,207
	1,500,000	^EUR	2.900% due 10/31/46(b)		1,976,028

			Total Spain		8,844,668

	United Kingdom — 7.4%
			United Kingdom Gilt:
	2,500,000	^GBP	3.250% due 1/22/44		4,801,310
	4,600,000	^GBP	3.500% due 1/22/45		9,293,257

			Total United Kingdom		14,094,567

			TOTAL SOVEREIGN BONDS (Cost — $71,040,570)		79,188,425

	CORPORATE BONDS & NOTES — 31.6%
	Austria — 0.1%
	200,000	^EUR	Heta Asset Resolution AG, Senior Unsecured Notes, 0.149% due 12/31/23(c)		194,114

	Canada — 0.3%
	500,000		Royal Bank of Canada, Covered Notes, 2.300% due 3/22/21		511,126

	Cayman Islands — 0.3%
	800,000		US Capital Funding II Ltd./US Capital Funding II Corp., Asset Backed, 1.507% due 8/1/34(b)(d)		544,000

	Denmark — 13.8%
	1,100,000	^DKK	BRFkredit AS, Covered Notes, 3.000% due 10/1/47		170,138
			Nordea Kredit Realkreditaktieselskab, Covered Notes:
	6,200,000	^DKK	2.000% due 4/1/17		942,734
	500,000	^DKK	2.500% due 10/1/37		77,294
	783,767	^DKK	3.000% due 10/1/47		121,472
			Nykredit Realkredit AS, Covered Notes:
	46,000,000	^DKK	1.000% due 10/1/16		6,958,387
	9,100,000	^DKK	2.000% due 4/1/17		1,382,613
	4,400,000	^DKK	1.000% due 10/1/17		669,174
	9,538,713	^DKK	2.000% due 10/1/37		1,452,625
	4,638,898	^DKK	2.500% due 10/1/37		716,806
	13,290,096	^DKK	2.500% due 10/1/47		2,019,929
	13,701,103	^DKK	3.000% due 10/1/47		2,125,523
			Realkredit Danmark AS, Covered Notes:
	13,800,000	^DKK	1.000% due 1/1/17		2,079,600
	7,800,000	^DKK	1.000% due 4/1/17		1,178,863
	32,700,000	^DKK	2.000% due 4/1/17		4,970,904
	1,781,572	^DKK	2.000% due 10/1/37		270,510
	4,598,874	^DKK	2.500% due 10/1/37		711,035
	1,600,000	^DKK	2.500% due 10/1/47		243,959

See Notes to Financial Statements.

208



Schedules of Investments


(continued)


International Fixed Income Fund

Face Amount/Units†			Security	Value
	Denmark — 13.8% — (continued)
	2,785,036	^DKK	3.000% due 10/1/47	$	429,970

			Total Denmark		26,521,536

	France — 0.8%
$	1,200,000		Credit Agricole SA, Senior Unsecured Notes, 1.201% due 6/12/17(b)(d)		1,199,796
	400,000		Dexia Credit Local SA, Government Liquid Guaranteed Notes, 1.242% due 3/23/18(b)(d)		401,092

			Total France		1,600,888

	Germany — 1.0%
	2,400,000	^NZD	Landwirtschaftliche Rentenbank, Government Guaranteed Notes, 4.750% due 3/12/19		1,840,902

	Greece — 0.1%
	200,000	^EUR	Hellenic Railways Organization SA, Government Guaranteed Notes, 4.028% due 3/17/17		218,658

	Italy — 2.2%
			Banca Carige SpA, Covered Notes:
	900,000	^EUR	3.750% due 11/25/16		1,011,764
	400,000	^EUR	3.875% due 10/24/18		476,219
			Banca Monte dei Paschi di Siena SpA, Covered Notes:
	800,000	^EUR	4.875% due 9/15/16		962,522
	500,000	^EUR	5.000% due 2/9/18		594,398
	500,000		Intesa Sanpaolo SpA, Subordinated Notes, 5.710% due 1/15/26(b)		491,056
	400,000	^GBP	Telecom Italia SpA/Milano, Senior Unsecured Notes, 6.375% due 6/24/19		588,955

			Total Italy		4,124,914

	Jersey Channel Islands — 0.2%
	200,000	^GBP	HBOS Capital Funding LP, Company Guaranteed Notes, 9.540%(d)(e)		285,303

	Luxembourg — 0.7%
	600,000	^EUR	Commerzbank Finance & Covered Bond SA, Covered Notes, 4.250% due 6/4/18		717,876
	500,000	^EUR	Wind Acquisition Finance SA, Secured Notes, 7.000% due 4/23/21		582,204

			Total Luxembourg		1,300,080

	Netherlands — 1.2%
	700,000	^CAD	Bank Nederlandse Gemeenten NV, Senior Unsecured Notes, 2.125% due 10/1/19(b)		545,949
	600,000		ING Bank NV, Covered Notes, 2.625% due 12/5/22(b)		621,914
			Petrobras Global Finance BV, Company Guaranteed Notes:
	500,000		7.875% due 3/15/19(f)		534,850
	600,000		8.375% due 5/23/21		647,070

			Total Netherlands		2,349,783

	Norway — 0.3%
			Eksportfinans ASA, Senior Unsecured Notes:
	100,000	^CHF	2.875% due 11/16/16		102,298
	500,000		5.500% due 6/26/17		514,370

			Total Norway		616,668

	Portugal — 0.2%
			Banco Espirito Santo SA, Senior Unsecured Notes:
	200,000	^EUR	4.750% due 1/15/18		54,664
	200,000	^EUR	4.000% due 1/21/19		54,664
	300,000	^EUR	Novo Banco SA, Senior Unsecured Notes, 5.000% due 4/4/19		236,791

			Total Portugal		346,119

	Spain — 1.3%
	1,600,000	^EUR	Banco Popular Espanol SA, Junior Subordinated Notes, 8.250%(d)(e)		1,643,056
	900,000	^EUR	Banco Santander SA, Junior Subordinated Notes, 6.250%(d)(e)		915,057

			Total Spain		2,558,113

See Notes to Financial Statements.

209



Schedules of Investments


(continued)


International Fixed Income Fund

Face Amount/Units†			Security	Value
	Supranational — 1.0%
	1,400,000	^NZD	Asian Development Bank, Senior Unsecured Notes, 4.625% due 3/6/19	$	1,071,454
			European Investment Bank, Senior Unsecured Notes:
	500,000	^AUD	0.500% due 6/21/23		324,024
	800,000	^AUD	0.500% due 8/10/23		510,814

			Total Supranational		1,906,292

	Sweden — 0.5%
	8,000,000	^SEK	Stadshypotek AB, Covered Notes, 2.500% due 9/18/19		1,012,618

	Switzerland — 0.4%
			UBS AG, Subordinated Notes:
$	250,000		7.625% due 8/17/22		293,525
	400,000		5.125% due 5/15/24		420,067

			Total Switzerland		713,592

	United Kingdom — 2.8%
			Barclays Bank PLC, Subordinated Notes:
	400,000		7.625% due 11/21/22		449,950
	1,600,000		7.750% due 4/10/23(d)		1,698,000
	600,000		Barclays PLC, Senior Unsecured Notes, 2.917% due 8/10/21(d)		612,933
	400,000	^GBP	Co-operative Group Holdings 2011 Ltd., Company Guaranteed Notes, step bond to yield, 6.875% due 7/8/20		609,319
	500,000		HBOS PLC, Subordinated Notes, 6.750% due 5/21/18(b)		536,293
	100,000	^GBP	Legal & General Group PLC, Subordinated Notes, 5.500% due 6/27/64(d)		143,297
	200,000	^GBP	Lloyds Banking Group PLC, Junior Subordinated Notes, 7.625%(d)(e)		271,822
	500,000		Santander UK Group Holdings PLC, Subordinated Notes, 4.750% due 9/15/25(b)		504,024
	400,000	^GBP	Virgin Media Secured Finance PLC, Senior Secured Notes, 4.875% due 1/15/27		552,180

			Total United Kingdom		5,377,818

	United States — 4.4%
	300,000		Ally Financial Inc., Senior Unsecured Notes, 3.250% due 9/29/17		303,375
	300,000	^EUR	American International Group Inc., Senior Unsecured Notes, 1.500% due 6/8/23		350,938
	300,000		Anheuser-Busch InBev Finance Inc., Company Guaranteed Notes, 3.300% due 2/1/23		315,303
			Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes:
	600,000		3.579% due 7/23/20(b)		628,414
	700,000		4.464% due 7/23/22(b)		760,544
	400,000		Ford Motor Credit Co. LLC, Senior Unsecured Notes, 5.875% due 8/2/21		460,688
	200,000		International Lease Finance Corp., Senior Secured Notes, 6.750% due 9/1/16(b)		222,125
	1,200,000		JPMorgan Chase & Co., Senior Unsecured Notes, 1.265% due 4/25/18(d)		1,201,973
	1,300,000		Lehman Brothers Holdings Inc., Senior Unsecured Notes, 0.000% due 12/30/16(c)		95,225
	1,000,000		Santander Holdings USA Inc., Senior Unsecured Notes, 2.275% due 11/24/17(d)		1,006,332
	1,000,000		Starwood Hotels & Resorts Worldwide Inc., Senior Unsecured Notes, 6.750% due 5/15/18		1,085,120
	400,000		T-Mobile USA Inc., Company Guaranteed Notes, 6.375% due 3/1/25		431,500
	1,100,000		UnitedHealth Group Inc., Senior Unsecured Notes, 3.750% due 7/15/25		1,220,734
	200,000		Wells Fargo & Co., Senior Unsecured Notes, 2.550% due 12/7/20		205,839
	200,000		Zimmer Biomet Holdings Inc., Senior Unsecured Notes, 3.150% due 4/1/22		206,756

			Total United States		8,494,866

			TOTAL CORPORATE BONDS & NOTES (Cost — $61,850,175)		60,517,390

	COLLATERALIZED MORTGAGE OBLIGATIONS — 14.8%
			ALBA PLC:
	523,056	^GBP	Series 2007-1, Class A3, 0.749% due 3/17/39(d)		622,825
	580,085	^GBP	Series 2015-1, Class A, 1.523% due 4/24/49(d)		757,577
	1,000,000		Ares XXV CLO Ltd., Series 2012-3A, Class AR, 1.835% due 1/17/24(b)(c)(d)		1,000,000

See Notes to Financial Statements.

210



Schedules of Investments


(continued)


International Fixed Income Fund

Face Amount/Units†			Security	Value
$	318,931		Atrium CDO Corp., Series 7A, Class AR, 1.918% due 11/16/22(b)(d)	$	319,383
	1,199,754		Banc of America Alternative Loan Trust, Series 2006-3, Class 5CB1, 6.500% due 4/25/36		1,010,587
	51,326		Banc of America Funding Trust, Series 2006-A, Class 1A1, 2.869% due 2/20/36(d)		50,467
	51,757		Banc of America Mortgage Trust, Series 2003-F, Class 3A1, 3.248% due 7/25/33(d)		51,862
	236,250		Banc of America Re-REMIC Trust, Series 2010-UB5, Class A4A, 5.673% due 2/17/51(b)(d)		238,840
			Bear Stearns Adjustable Rate Mortgage Trust:
	8,700		Series 2003-5, Class 1A2, 2.943% due 8/25/33(d)		8,622
	17,723		Series 2003-7, Class 6A, 2.865% due 10/25/33(d)		17,850
	48,802		Series 2004-2, Class 22A, 3.124% due 5/25/34(d)		47,266
	10,547		Series 2004-2, Class 23A, 2.973% due 5/25/34(d)		9,792
	21,197		Series 2005-2, Class A2, 2.924% due 3/25/35(d)		21,413
	147,741		Bear Stearns Structured Products Inc. Trust, Series 2007-R6, Class 1A1, 2.988% due 1/26/36(d)		116,230
	205,335	^EUR	Casa d’este Finance SRL, Series 1, Class A2, 0.087% due 9/15/40(d)		226,614
	552,066	^EUR	Claris ABS SRL, Series 2011-1, Class A, 0.208% due 10/31/60(d)		614,379
			Countrywide Alternative Loan Trust:
	7,585		Series 2004-J5, Class 2A1, 1.204% due 8/25/34(d)		7,487
	12,736		Series 2005-21CB, Class A3, 5.250% due 6/25/35		11,551
	43,663		Series 2007-7T2, Class A9, 6.000% due 4/25/37		30,165
	78,221		Series 2007-11T1, Class A12, 0.874% due 5/25/37(d)		43,299
	35,395		Series 2007-16CB, Class 5A1, 6.250% due 8/25/37		30,251
	1,122,444		Countrywide Asset-Backed Certificates, Series 2007-13, Class 1A, 1.364% due 10/25/47(c)(d)		965,241
			Countrywide Home Loan Mortgage Pass Through Trust:
	7,395		Series 2004-12, Class 11A1, 3.178% due 8/25/34(d)		6,344
	140,972		Series 2005-2, Class 1A1, 1.164% due 3/25/35(d)		111,978
	13,312		Series 2005-3, Class 2A1, 0.814% due 4/25/35(d)		10,753
	125,656		Series 2005-9, Class 1A3, 0.754% due 5/25/35(d)		104,887
	36,295		Series 2005-11, Class 3A1, 2.425% due 4/25/35(d)		29,589
	55,958		Series 2005-HYB9, Class 3A2A, 2.592% due 2/20/36(d)		49,301
	15,780		Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR20, Class 2A1, 2.965% due 8/25/33(d)		15,729
	1,071,758		Credit Suisse Mortgage Capital Certificates, Series 2007-NC1, Class 2A1, 1.124% due 9/25/37(d)		979,631
	45,755		Credit Suisse Mortgage Capital Trust, Series 2007-5R, Class A5, 6.500% due 7/26/36		26,364
	205,095		CSAB Mortgage Backed Trust, Series 2006-4, Class A6A, step bond to yield, 5.684% due 12/25/36		104,327
	435,692		CWABS Asset-Backed Certificates Trust, Series 2006-18, Class 2A2, 0.684% due 3/25/37(d)		422,662
	659,175	^GBP	DECO 12-UK 4 PLC, Series 2007-C4X, Class A1, 0.668% due 1/27/20(d)		847,989
	993,267		Deutsche Alternative-A Securities Mortgage Loan Trust, Series 2007-3, Class 2A1, 1.274% due 10/25/47(d)		770,012
	306,726	^GBP	Eurohome UK Mortgages PLC, Series 2007-1, Class A, 0.722% due 6/15/44(d)		371,114
			Eurosail-UK PLC:
	143,059	^GBP	Series 2007-4X, Class A2A, 0.874% due 6/13/45(d)		187,419
	500,000	^GBP	Series 2007-4X, Class A3, 1.524% due 6/13/45(c)(d)		598,928
	442,691	^GBP	Series 2007-6NCX, Class A2A, 1.274% due 9/13/45(d)		577,158
			Federal Home Loan Mortgage Corp. (FHLMC):
	44,328		Series T-35, Class A, 0.804% due 9/25/31(d)		43,795
	65,499		Series T-62, Class 1A1, 1.689% due 10/25/44(d)		66,844
			Federal Home Loan Mortgage Corp. (FHLMC), REMICS:
	63,303		Series 2391, Class FJ, 1.008% due 4/15/28(d)		63,584
	95,903		Series 2614, Class SJ, 18.266% due 5/15/33(d)		135,494
	471,092		Series 4579, Class FD, 0.817% due 1/15/38(d)		468,936
	471,092		Series 4579, Class SD, 1.957% due 1/15/38(d)(g)		28,650
	11,381		Federal National Mortgage Association (FNMA), Grantor Trust, Series 2004-T3, Class 1A1, 6.000% due 2/25/44		13,085

See Notes to Financial Statements.

211



Schedules of Investments


(continued)


International Fixed Income Fund

Face Amount/Units†			Security	Value
			Federal National Mortgage Association (FNMA), REMICS:
$	9,050		Series 2003-34, Class A1, 6.000% due 4/25/43	$	9,989
	408		Series 2005-120, Class NF, 0.624% due 1/25/21(d)		408
	26,769		Series 2006-48, Class TF, 0.924% due 6/25/36(d)		26,725
	197,051		Series 2009-104, Class FA, 1.324% due 12/25/39(d)		199,638
	914,763		Series 2010-46, Class WF, 1.274% due 5/25/40(d)		925,413
	151,139		Series 2013-130, Class FB, 0.974% due 1/25/44(d)		151,154
	78,937		Federal National Mortgage Association (FNMA), Whole Loan, Series 2004-W12, Class 1A1, 6.000% due 7/25/44		91,996
	457,775		First Franklin Mortgage Loan Trust, Series 2005-FF9, Class A4, 0.884% due 10/25/35(d)		433,879
	430,938	^EUR	German Residential Funding Ltd., Series 2013-2, Class A, 0.702% due 11/27/24(d)		483,549
	137,611	^EUR	Giovecca Mortgages SRL, Series 2011-1, Class A, 0.303% due 4/23/48(d)		153,378
	91,397		GMACM Mortgage Loan Trust, Series 2005-AR6, Class 3A1, 3.096% due 11/19/35(d)		85,270
	500,265		Government National Mortgage Association, Series 2016-H15, Class FA, 1.268% due 7/20/66(d)		501,164
	19,520		GSR Mortgage Loan Trust, Series 2003-1, Class A2, 2.220% due 3/25/33(d)		19,269
			Harborview Mortgage Loan Trust:
	44,670		Series 2003-1, Class A, 2.894% due 5/19/33(d)		43,923
	36,675		Series 2005-2, Class 2A1A, 0.734% due 5/19/35(d)		30,734
	86,380		Series 2005-3, Class 2A1A, 0.754% due 6/19/35(d)		77,137
	131,503		Series 2006-SB1, Class A1A, 1.339% due 12/19/36(d)		110,832
	171,724		Series 2007-1, Class 2A1A, 0.644% due 3/19/37(d)		146,395
			JPMorgan Mortgage Trust:
	8,596		Series 2003-A2, Class 3A1, 2.503% due 11/25/33(d)		8,207
	3,853		Series 2005-A1, Class 6T1, 3.070% due 2/25/35(d)		3,675	��
	143,906		JPMorgan Resecuritization Trust, Series 2009-7, Class 17A1, 5.595% due 7/27/37(b)(d)		143,021
			Ludgate Funding PLC:
	737,683	^GBP	Series 2006-1X, Class A2A, 0.778% due 12/1/60(d)		884,495
	708,084	^GBP	Series 2007-1, Class A2A, 0.683% due 1/1/61(d)		841,377
			Merrill Lynch Mortgage Investors Trust:
	12,198		Series 2003-A2, Class 1A1, 2.625% due 2/25/33(d)		11,751
	49,817		Series 2005-2, Class 1A, 2.228% due 10/25/35(d)		48,306
	6,733		Merrill Lynch Mortgage Trust, Series 2007-C1, Class ASB, 6.023% due 6/12/50(d)		6,729
	38,703	^GBP	Money Partners Securities 4 PLC, Series 4X, Class A1A, 0.952% due 3/15/40(d)		48,049
	1,600,000		Neuberger Berman CLO XII Ltd., Series 2012-12A, Class A2RR, 1.931% due 7/25/23(b)(d)		1,599,324
	700,000	^GBP	Newgate Funding, Series 2007-1X, Class A3, 0.748% due 12/1/50(d)		816,425
	421,304		Octagon Investment Partners XII Ltd., Series 2012-1A, Class AR, 2.048% due 5/5/23(b)(d)		420,125
	767,595	^GBP	Paragon Mortgages No 13 PLC, Series 13X, Class A1, 0.768% due 1/15/39(d)		929,359
			Puma Finance Pty Ltd.:
	305,340	^AUD	Series 2014-1, Class A, 2.555% due 5/13/45(d)		228,639
	292,740	^AUD	Series 2014-2, Class A, 2.425% due 10/18/45(d)		218,227
	452,118		RAAC Trust, Series 2007-SP3, Class A1, 1.724% due 9/25/47(d)		440,909
			RALI Trust:
	81,526		Series 2007-QO2, Class A1, 0.674% due 2/25/47(d)		47,342
	557,221		Series 2007-QS1, Class 1A1, 6.000% due 1/25/37		467,216
			Residential Asset Securitization Trust:
	26,307		Series 2005-A15, Class 5A1, 5.750% due 2/25/36		20,621
	61,179		Series 2006-R1, Class A2, 0.924% due 1/25/46(d)		29,352
	517,985	^GBP	Residential Mortgage Securities 28 PLC, Series 28, Class A, 1.722% due 6/15/46(d)		678,355
	351,611	^GBP	ResLoC UK PLC, Series 2007-1X, Class A3B, 0.732% due 12/15/43(d)		418,208
			RMAC Securities No 1 PLC:
	330,106	^GBP	Series 2006-NS1X, Class A2A, 0.724% due 6/12/44(d)		394,526
	617,043	^GBP	Series 2006-NS3X, Class A2A, 0.724% due 6/12/44(d)		731,797
	623,533		Soundview Home Loan Trust, Series 2006-3, Class A3, 0.684% due 11/25/36(d)		540,509
			Structured Adjustable Rate Mortgage Loan Trust:
	13,516		Series 2004-1, Class 4A1, 3.062% due 2/25/34(d)		13,495

See Notes to Financial Statements.

212



Schedules of Investments


(continued)


International Fixed Income Fund

Face Amount/Units†			Security	Value
$	52,485		Series 2004-4, Class 3A2, 2.990% due 4/25/34(d)	$	52,206
	70,158		Series 2004-19, Class 2A1, 1.889% due 1/25/35(d)		55,144
			Structured Asset Mortgage Investments II Trust:
	81,636		Series 2005-AR2, Class 2A1, 0.754% due 5/25/45(d)		71,926
	92,671		Series 2005-AR8, Class A1A, 0.804% due 2/25/36(d)		76,770
	62,402		Series 2006-AR5, Class 1A1, 0.734% due 5/25/36(d)		48,812
	334,967		Series 2007-AR4, Class A3, 0.744% due 9/25/47(d)		272,983
	146,400		Series 2007-AR6, Class A1, 1.989% due 8/25/47(d)		121,024
	103,649		Structured Asset Securities Corp. Trust, Series 2005-10, Class 4A1, 5.500% due 12/25/34		102,898
	7,145		Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A4, 5.572% due 10/15/48		7,138
			WaMu Mortgage Pass Through Certificates Trust:
	18,818		Series 2002-AR9, Class 1A, 1.844% due 8/25/42(d)		18,037
	6,846		Series 2003-AR5, Class A7, 2.821% due 6/25/33(d)		6,922
	439,805		Series 2003-AR9, Class 2A, 2.755% due 9/25/33(d)		432,074
	577,217		Series 2004-AR1, Class A, 2.771% due 3/25/34(d)		579,673
	70,684		Series 2005-AR13, Class A1A1, 0.814% due 10/25/45(d)		67,324
	114,770		Series 2006-AR13, Class 2A, 2.190% due 10/25/46(d)		103,172
	534,806		Series 2007-OA3, Class 2A1A, 1.249% due 4/25/47(d)		478,568
	283		Washington Mutual Mortgage Loan Trust, Series 2001-7, Class A, 1.663% due 5/25/41(d)		279
	31,281		Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2006-AR5, Class 3A, 1.429% due 7/25/46(d)		21,070
	187,033		Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2002-AR3, Class 1A7, 2.672% due 12/25/32(d)		186,045

			TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $30,871,913)		28,419,231

	U.S. GOVERNMENT OBLIGATIONS — 7.5%
	200,000		U.S. Treasury Bonds, 2.500% due 2/15/45(h)		211,266
			U.S. Treasury Inflation Indexed Bonds:
	253,783		0.125% due 7/15/24		255,122
	6,716,556		0.250% due 1/15/25(a)		6,784,078
	4,053,606		2.375% due 1/15/25(a)(h)(i)		4,800,552
			U.S. Treasury Notes:
	900,000		2.000% due 2/15/25(h)(i)		933,556
	1,400,000		1.625% due 5/15/26(a)		1,405,523

			TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $14,216,372)		14,390,097

	MORTGAGE-BACKED SECURITIES — 7.3%
	CMHC — 0.4%
			Canadian Mortgage and Housing Corp. (CMHC):
	259,091	^CAD	0.978% due 6/1/20(c)		195,815
	625,249	^CAD	1.178% due 7/1/20(c)		474,898
	183,181	^CAD	1.178% due 8/1/20(c)		139,103

			TOTAL CMHC		809,816

	FHLMC — 0.5%
			Federal National Mortgage Corp. (FHLMC), Gold:
	1,000,000		3.000% due 10/1/46(j)		1,035,508

			TOTAL FHLMC		1,035,508

	FNMA — 5.8%
			Federal National Mortgage Association (FNMA):
	562,162		5.700% due 8/1/18(d)		591,194
	91,627		3.000% due 1/1/22		97,237
	786,018		2.500% due 8/1/28		815,471
	83,770		2.717% due 11/1/34(d)		88,650

See Notes to Financial Statements.

213



Schedules of Investments


(continued)


International Fixed Income Fund

Face Amount/Units†			Security	Value
	FNMA — 5.8% — (continued)
$	133,589		6.500% due 8/1/37	$	154,278
	9,000,000		3.000% due 11/1/47(j)		9,301,640

			TOTAL FNMA		11,048,470

	GNMA — 0.6%
			Government National Mortgage Association II (GNMA):
	10,239		6.000% due 9/20/38		11,144
	1,000,000		3.000% due 10/1/43(j)		1,045,644

			TOTAL GNMA		1,056,788

			TOTAL MORTGAGE-BACKED SECURITIES (Cost — $13,853,416)		13,950,582

	ASSET-BACKED SECURITIES — 0.4%
	Automobiles — 0.3%
	500,000		Chrysler Capital Auto Receivables Trust, Series 2016-AA, Class A2, 1.470% due 4/15/19(b)		500,456

	Student Loans — 0.1%
	168,295		Massachusetts Educational Financing Authority, Series 2008-1, Class A1, 1.665% due 4/25/38(d)		166,347

			TOTAL ASSET-BACKED SECURITIES (Cost — $668,295)		666,803


Notional Amount†/ Number of Contracts
	PURCHASED OPTIONS — 0.1%
	Germany — 0.0%
	61	^EUR	Euro-Bobl December Futures, Put @ $128.25, expires 11/25/2016, GSC		340
	94	^EUR	Euro-Schatz December Futures, Put @ $111.50, expires 11/25/2016, GSC		524

			Total Germany		864

	United States — 0.1%
	70,300,000		OTC 1-Year Swaption, 3-Month USD-LIBOR, Put @ 1.250%, expires 12/27/2016, CITI		28,085
	39,200,000		OTC 1-Year Swaption, 3-Month USD-LIBOR, Put @ 1.100%, expires 1/9/2017, GSC		35,511
	50,000,000	^JPY	OTC 10-Year Swaption, 3-Month JPY-LIBOR, Put @ 0.400%, expires 3/3/2017, JPM		1,857
	1,100,000	^GBP	OTC British Pound versus U.S. Dollar, Put @ $1.25, expires 10/10/2016, SCB		2,369
	1,200,000	^GBP	OTC British Pound versus U.S. Dollar, Put @ $1.34, expires 9/28/2016, BOA		36,388
	823,000	^EUR	OTC Euro versus U.S. Dollar, Put @ $1.10, expires 9/26/2016, SCB		3,771
	1,177,000	^EUR	OTC Euro versus U.S. Dollar, Put @ $1.10, expires 9/26/2016, DUB		5,393
	400,000		OTC U.S. Dollar versus Brazilian Real, Call @ BRL3.61, expires 6/29/2017, DUB		20,578
	400,000		OTC U.S. Dollar versus Brazilian Real, Put @ BRL3.61, expires 6/29/2017, DUB		30,692
	54,000		OTC U.S. Dollar versus Chinese Onshore Renminbi, Call @ CNY6.52, expires 10/31/2016, SCB		51,185
	1,100,000		OTC U.S. Dollar versus Mexican Peso, Put @ MXN18.10, expires 9/13/2016, BOA		596
	500,000		OTC U.S. Dollar versus Singapore Dollar, Call @ SGD1.35, expires 9/15/2016, HSBC		4,542
	500,000		OTC U.S. Dollar versus Singapore Dollar, Put @ SGD1.35, expires 9/15/2016, HSBC		1,298
	100		U.S. Treasury 10-Year Note October Futures, Put @ $115.00, expires 9/23/2016, GSC		—
	100		U.S. Treasury 10-Year Note October Futures, Put @ $115.50, expires 9/23/2016, GSC		—

			Total United States		222,265

			TOTAL PURCHASED OPTIONS (Cost — $250,563)		223,129

			TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $192,751,304)		197,355,657

See Notes to Financial Statements.

214



Schedules of Investments


(continued)


International Fixed Income Fund

Face Amount†			Security	Value
	SHORT-TERM INVESTMENTS (k) — 16.8%
	MONEY MARKET FUND — 0.3%
$	557,865		Invesco STIT — Government & Agency Portfolio(l) (Cost — $557,865)	$	557,865

	SOVEREIGN BONDS — 13.8%
	Czech Republic — 0.3%
	13,000,000	^CZK	Czech Republic Ministry of Finance Bill, (0.150)% due 9/30/16(c)(m)		537,211

	Japan — 13.5%
			Japan Treasury Discount Bill:
	650,000,000	^JPY	(0.323)% due 10/11/16(m)		6,286,824
	670,000,000	^JPY	(0.296)% due 10/17/16(m)		6,479,727
	590,000,000	^JPY	(0.269)% due 10/24/16(m)		5,705,681
	380,000,000	^JPY	(0.234)% due 11/21/16(m)		3,674,529
	280,000,000	^JPY	(0.228)% due 11/28/16(m)		2,707,504
	100,000,000	^JPY	(0.240)% due 2/10/17(m)		967,586

			Total Japan		25,821,851

			TOTAL SOVEREIGN BONDS (Cost — $26,486,398)		26,359,062

	TIME DEPOSITS — 1.6%
	153,868	^CAD	Bank of Montreal — London, 0.050% due 9/1/16		117,345
			BBH — Grand Cayman:
	42,953	^CHF	(1.450)% due 9/1/16		43,673
	53,134	^SEK	(1.115)% due 9/1/16		6,207
	857	^DKK	(0.450)% due 9/1/16		128
	372	^SGD	0.010% due 9/1/16		273
	136,000	^NOK	0.084% due 9/1/16		16,322
	129		0.150% due 9/1/16		129
	23,543	^AUD	0.689% due 9/1/16		17,694
	634	^NZD	1.250% due 9/1/16		460
			BNP Paribas — Paris:
	1,019,360	^EUR	(0.540)% due 9/1/16		1,137,198
	275,119	^GBP	0.050% due 9/1/16		361,273
	1,107,770		0.150% due 9/1/16		1,107,770
	1,028,227	^ZAR	HSBC Bank PLC — London, 6.440% due 9/1/16		69,910
	31,645,367	^JPY	Sumitomo — Tokyo, (0.390)% due 9/1/16		305,826

			TOTAL TIME DEPOSITS (Cost — $3,184,208)		3,184,208

	U.S. GOVERNMENT AGENCIES — 0.2%
			Federal Home Loan Bank Discount Notes:
	100,000		0.295% due 10/12/16(m)		99,967
	300,000		0.295% due 10/14/16(m)		299,894

			TOTAL U.S. GOVERNMENT AGENCIES (Cost — $399,861)		399,861

	U.S. GOVERNMENT OBLIGATIONS — 0.9%
			U.S. Treasury Bills:
	410,000		0.228% due 10/6/16(h)(m)		409,909
	562,000		0.266% due 11/3/16(h)(m)		561,739

See Notes to Financial Statements.

215



Schedules of Investments


(continued)


International Fixed Income Fund

Face Amount†		Security	Value
	U.S. GOVERNMENT OBLIGATIONS — 0.9% — (continued)
$	800,000	0.466% due 3/2/17(h)(m)	$	798,119

		TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $1,769,767)		1,769,767

		TOTAL SHORT-TERM INVESTMENTS (Cost — $32,398,099)		32,270,763

		TOTAL INVESTMENTS — 119.8% (Cost — $225,149,403#)		229,626,420

		Liabilities in Excess of Other Assets — (19.8)%		(37,953,803	)

		TOTAL NET ASSETS — 100.0%	$	191,672,617

†	Face amount denominated in U.S. dollars, unless otherwise noted.

(a)	Position, or portion thereof, has been segregated to collateralize reverse repurchase agreement.

(b)	Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.

(c)	Illiquid security.

(d)	Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2016.

(e)	Security is perpetual in nature and has no stated maturity date.

(f)	All or a portion of this security is on loan (see Note 1).

(g)	Interest only security.

(h)	All or a portion of this security is held at the broker as collateral for open OTC derivative instruments.

(i)	All or a portion of this security is held at the broker as collateral for open centrally cleared swap contracts.

(j)	This security is traded on a TBA basis (see Note 1).

(k)	Inclusive of all short term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 16.5%.

(l)	Represents investment of collateral received from securities lending transactions.

(m)	Rate shown represents yield-to-maturity.

#	Aggregate cost for federal income tax purposes is $228,402,122.


Abbreviations used in this schedule:
ABS		— Asset-Based Security
CDO		— Collateralized Debt Obligation
CLO		— Collateralized Loan Obligation
OTC		— Over the Counter
PLC		— Public Limited Company
REMICS		— Real Estate Mortgage Investment Conduit


Summary of Investments by Security Type^
Sovereign Bonds	34.5	%
Corporate Bonds & Notes	26.3
Collateralized Mortgage Obligations	12.4
U.S. Government Obligations	6.3
Mortgage-Backed Securities	6.1
Asset-Backed Securities	0.3
Purchased Options	0.1
Short-Term Investments	14.0

	100.0	%

^	As a percentage of total investments.

See Notes to Financial Statements.

216



Schedules of Investments


(continued)


International Fixed Income Fund

Schedule of Options Contracts Written


Notional Amount			Security Name	Counterparty		Expiration Date		Strike Price/ Exercise Rate		Value
	United States
	320,000,000	^JPY	2-Year Swaption, 3-Month JPY-LIBOR, Put		JPM		3/7/19		0.00	$	1,970
	500,000	^EUR	Markit iTraxx Europe Series 25 5-Year Index, Call		BCLY		9/21/16	$	0.65		265
	2,400,000	^EUR	Markit iTraxx Europe Series 25 5-Year Index, Call		BCLY		10/19/16		0.60		960
	300,000	^GBP	OTC British Pound versus U.S. Dollar, Call		BNP		9/26/16		1.37		268
	300,000	^GBP	OTC British Pound versus U.S. Dollar, Put		BNP		9/26/16		1.37		18,252
	300,000	^GBP	OTC British Pound versus U.S. Dollar, Call		BOA		9/26/16		1.38		182
	300,000	^GBP	OTC British Pound versus U.S. Dollar, Put		BOA		9/26/16		1.38		20,421
	1,200,000	^GBP	OTC British Pound versus U.S. Dollar, Put		BOA		9/28/16		1.26		2,162
	1,200,000	^GBP	OTC British Pound versus U.S. Dollar, Put		BOA		9/28/16		1.30		12,126
	1,100,000	^GBP	OTC British Pound versus U.S. Dollar, Call		SCB		10/10/16		1.35		4,960
	823,000	^EUR	OTC Euro versus U.S. Dollar, Put		SCB		9/26/16		1.05		171
	1,177,000	^EUR	OTC Euro versus U.S. Dollar, Put		DUB		9/26/16		1.05		244
	823,000	^EUR	OTC Euro versus U.S. Dollar, Call		SCB		9/26/16		1.14		1,681
	1,177,000	^EUR	OTC Euro versus U.S. Dollar, Call		DUB		9/26/16		1.14		2,404
	2,300,000		OTC U.S. Dollar versus Brazilian Real, Call		GSC		11/28/16	BRL	3.50		36,579
	700,000		OTC U.S. Dollar versus Brazilian Real, Call		DUB		6/28/18	BRL	3.89		60,111
	700,000		OTC U.S. Dollar versus Brazilian Real, Put		DUB		6/28/18	BRL	3.89		76,600
	1,300,000		OTC U.S. Dollar versus Chinese Onshore Renminbi, Call		SOG		11/1/16	CNY	7.00		1,058
	400,000		OTC U.S. Dollar versus Korean Won, Put		UBS		1/17/17	KRW	1,145.00		17,516
	300,000		OTC U.S. Dollar versus Korean Won, Put		SOG		1/19/17	KRW	1,145.00		13,137
	1,100,000		OTC U.S. Dollar versus Mexican Peso, Put		BOA		9/13/16	MXN	17.70		77

			TOTAL OPTIONS CONRACTS WRITTEN (Premiums received — $369,190)							$	271,144

During the year ended August 31, 2016, options contracts written transactions for International Fixed Income Fund was as follows:


	Notional Amount/ Number of Contracts			Premiums Received
Options contracts written, outstanding at August 31, 2015		14,355,600		$	63,177
Options written		465,535,135			1,199,760
Options closed		(39,564,735	)		(324,943	)
Options expired		(101,926,000	)		(568,804	)

Options contracts written, outstanding at August 31, 2016		338,400,000		$	369,190

See Notes to Financial Statements.

217



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(continued)


International Fixed Income Fund

Schedule of Reverse Repurchase Agreements



Face Amount			Security	Value
			Royal Bank of Scotland PLC:
$	1,214,000		0.640% due 10/11/16	$	1,214,000
	712,976		0.640% due 10/24/16		712,976
	1,063,125		0.650% due 10/24/16		1,063,125
			Merrill Lynch & Pierce, Fenner & Smith Inc.:
	1,415,750		0.500% due 9/6/16		1,415,750
	2,035,375	^CAD	0.800% due 9/9/16		1,552,240
	2,349,375	^CAD	0.900% due 10/13/16		1,791,707
	2,756,250	^CAD	0.900% due 10/14/16		2,102,002
			Scotia Capital (USA) Inc.:
	6,756,750		0.600% due 10/5/16		6,756,750

			TOTAL REVERSE REPURCHASE AGREEMENTS (Proceeds — $16,686,500)	$	16,608,550

For the year ended August 31, 2016, the average borrowing and interest rate under the reverse repurchase agreements were $6,454,279 and 0.470% respectively.

Schedule of Forward Sale Commitments



Face Amount		Security	Value
		Federal National Mortgage Association (FNMA):
$	2,000,000	4.000% due 9/1/46(a)	$	2,142,656
	3,000,000	4.500% due 10/1/46(a)		3,274,336

		TOTAL OPEN FORWARD SALE COMMITMENTS (Proceeds — $5,412,773)	$	5,416,992

(a)	This security is traded on a TBA basis (see Note 1).

At August 31, 2016, International Fixed Income Fund had open exchange traded futures contracts as described below.

The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:


Open Futures Contracts	Number of Contracts		Expiration Date (Month/Year)		Market Value		Unrealized Appreciation/ (Depreciation)
Contracts to Buy:
Australian Government 10-Year Bond September Futures		23		9/16	$	2,383,585	$	30,887
Euro-Bobl September Futures		61		9/16		9,091,013		92,550
Euro-BTP September Futures		64		9/16		10,388,467		263,527
Euro-Bund September Futures		4		9/16		746,917		5,087
Euro-OAT September Futures		77		9/16		13,855,004		389,991
Euro-Schatz Note September Futures		94		9/16		11,746,085		21,498

See Notes to Financial Statements.

218



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(continued)


International Fixed Income Fund


Open Futures Contracts	Number of Contracts		Expiration Date (Month/Year)		Market Value		Unrealized Appreciation/ (Depreciation)
Japan Government 10-Year Bond September Futures		7		9/16	$	10,242,764	$	(50,544	)
U.S. Treasury 5-Year Note December Futures		158		12/16		19,157,500		(36,958	)
U.S. Treasury 10-Year Note December Futures		289		12/16		37,836,422		(108,230	)
U.S. Treasury Ultra Long Bond December Futures		32		12/16		5,999,000		(5,748	)
United Kingdom Treasury 10-Year Gilt December Futures		32		12/16		5,526,996		9,875

								611,935

Contracts to Sell:
90-Day Eurodollar December Futures		135		12/17		33,372,000		(55,318	)
90-Day Eurodollar March Futures		16		3/18		3,954,200		(7,685	)
Canada Government 10-Year Bond December Futures		15		12/16		1,678,970		(1,853	)
Euro-BONO Spanish Government September Futures		2		9/16		323,903		(12,495	)
Euro-Buxl 30-Year Bond September Futures		7		9/16		1,507,019		(104,175	)
U.S. Treasury Long Bond December Futures		55		12/16		9,370,625		23,203

								(158,323	)

Net Unrealized Appreciation on Open Exchange Traded Futures Contracts							$	453,612

At August 31, 2016, International Fixed Income Fund had deposited cash of $1,100,000 with a broker or brokers as margin collateral on open exchange traded futures contracts.

At August 31, 2016, International Fixed Income Fund had open forward foreign currency contracts as described below.

The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:


Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Contracts to Buy:
Australian Dollar		595,000		JPM	$	447,172		9/2/16	$	(5,343	)
Australian Dollar		1,824,000		JPM		1,370,827		9/2/16		(18,485	)
Australian Dollar		472,000		JPM		354,731		9/2/16		(2,457	)
Australian Dollar		440,000		GSC		330,582		9/14/16		4,039
Australian Dollar		58,011		GSC		43,585		9/14/16		345
Brazilian Real		9,824,696		DUB		3,042,031		9/2/16		119,580
Brazilian Real		712,731		DUB		220,684		9/2/16		(1,316	)
Brazilian Real		794,168		DUB		245,899		9/2/16		899
Brazilian Real		6,101,805		BOA		1,871,327		10/4/16		3,733
Brazilian Real		2,100,000		DUB		644,037		10/4/16		5,987
Brazilian Real		315,000		DUB		96,606		10/4/16		24,025
Brazilian Real		3,900,000		JPM		1,196,068		10/4/16		83,055
Brazilian Real		288,800		DUB		82,128		7/3/17		2,128
Brazilian Real		400,000		BNP		113,696		7/5/17		27,582
British Pound		22,774,547		BOA		29,906,382		9/2/16		(201,570	)
British Pound		208,000		JPM		273,135		9/2/16		(168	)

See Notes to Financial Statements.

219



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(continued)


International Fixed Income Fund


Foreign Currency	Local Currency		Counterparty		Market Value			Settlement Date		Unrealized Appreciation/ (Depreciation)
Canadian Dollar		10,939,448		BOA	$	8,342,763			9/2/16	$	(130,861	)
Canadian Dollar		2,000,000		JPM		1,525,262			9/2/16		(12,727	)
Canadian Dollar		2,300,000		GSC		1,754,429			10/13/16		(31,938	)
Canadian Dollar		2,700,000		GSC		2,059,558			10/14/16		(40,726	)
Chinese Offshore Renminbi		733,244		SCB		109,353			10/20/16		(1,956	)
Chinese Offshore Renminbi		2,948,060		SCB		439,661			10/20/16		(7,862	)
Chinese Offshore Renminbi		5,962,382		SCB		889,204			10/20/16		(15,901	)
Chinese Offshore Renminbi		4,964,110		SCB		740,326			10/20/16		(13,239	)
Chinese Onshore Renminbi		2,956,800		BNP		441,652			10/20/16		(6,348	)
Chinese Onshore Renminbi		3,568,977		CITI		533,092			10/20/16		(11,665	)
Euro		1,913,000		BNP		2,134,142			9/2/16		1,126
Euro		132,000		GSC		147,259			9/2/16		734
Euro		960,000		HSBC		1,070,976			9/2/16		(15,805	)
Euro		1,166,000		HSBC		1,300,789			9/2/16		(3,570	)
Euro		107,000		SCB		119,369			9/2/16		(1,258	)
Euro		651,000		UBS		726,255			9/2/16		(9,299	)
Euro		759,000		BNP		847,958			10/4/16		882
Indian Rupee		31,971,480		GSC		471,756			11/10/16		756
Indian Rupee		22,790,880		HSBC		336,291			11/10/16		291
Japanese Yen		294,900,000		BCLY		2,849,964			9/2/16		(85,919	)
Japanese Yen		51,700,000		UBS		499,638			9/2/16		(8,317	)
Japanese Yen		160,700,000		HSBC		1,555,351			10/4/16		(19,063	)
Korean Won		255,484,000		SCB		228,885			11/10/16		(991	)
Mexican Peso		11,593,718		BNP		613,642			10/20/16		(26,061	)
New Taiwan Dollar		4,555,265		BCLY		143,780			11/10/16		780
New Taiwan Dollar		6,000,960		DUB		189,412	��		11/10/16		1,412
New Taiwan Dollar		1,190,730		DUB		37,584			11/10/16		(416	)
New Taiwan Dollar		2,413,950		HSBC		76,193			11/10/16		(807	)
New Taiwan Dollar		6,271,412		SOG		197,948			11/10/16		1,948
New Taiwan Dollar		5,763,945		UBS		181,931			11/10/16		931
New Zealand Dollar		4,445,135		JPM		3,225,390			9/2/16		(29,117	)
Russian Ruble		62,941,823		JPM		959,637			9/15/16		(2,056	)
Russian Ruble		21,685,544		SCB		327,933			10/18/16		(2,237	)
Russian Ruble		28,598,000		CITI		422,938			1/25/17		27,938
Russian Ruble		22,064,320		HSBC		325,665			2/3/17		21,665
Singapore Dollar		64,056		BCLY		47,014			9/15/16		14
Singapore Dollar		36,613		BCLY		26,873			9/15/16		(127	)
Singapore Dollar		47,569		BCLY		34,914			9/15/16		(86	)
Singapore Dollar		46,394		BCLY		34,052			9/15/16		52
Singapore Dollar		88,604		BCLY		65,031			9/15/16		(969	)
Singapore Dollar		54,047		BCLY		39,668			9/15/16		(332	)
Singapore Dollar		89,129		BOA		65,417			9/15/16		(583	)
Singapore Dollar		221,061		BOA		162,249			9/15/16		249
Singapore Dollar		1,340		BOA		983			9/15/16		(17	)

See Notes to Financial Statements.

220



Schedules of Investments


(continued)


International Fixed Income Fund


Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Singapore Dollar		43,143		BOA	$	31,666		9/15/16	$	(334	)
Singapore Dollar		169,697		BOA		124,551		9/15/16		(1,449	)
Singapore Dollar		85,532		BOA		62,777		9/15/16		(223	)
Singapore Dollar		88,921		BOA		65,265		9/15/16		(735	)
Singapore Dollar		33,548		BOA		24,623		9/15/16		(377	)
Singapore Dollar		176,550		BOA		129,581		9/15/16		(419	)
Singapore Dollar		124,650		HSBC		91,488		9/15/16		(512	)
Singapore Dollar		72,950		HSBC		53,542		9/15/16		(458	)
Singapore Dollar		259,703		HSBC		190,612		9/15/16		(908	)
Singapore Dollar		130,186		HSBC		95,551		9/15/16		(449	)
Singapore Dollar		65,112		HSBC		47,790		9/15/16		(210	)
Singapore Dollar		432,701		UBS		317,585		9/15/16		(1,415	)
Singapore Dollar		33,574		UBS		24,642		9/15/16		(358	)
Singapore Dollar		1,090,000		SOG		799,883		11/10/16		(12,640	)
Swedish Krona		2,885,000		GSC		337,033		9/2/16		130
Swedish Krona		14,200,000		JPM		1,658,879		9/2/16		7,310
Swiss Franc		256,000		GSC		260,295		9/2/16		(858	)
Swiss Franc		347,000		GSC		352,822		9/2/16		(3,946	)
Swiss Franc		585,000		JPM		594,814		9/2/16		(10,247	)
Swiss Franc		358,000		JPM		364,006		9/2/16		(7,171	)
Swiss Franc		342,000		UBS		347,738		9/2/16		(2,678	)

										(417,388	)

Contracts to Sell:
Australian Dollar		5,877,150		SCB		4,416,970		9/2/16		14,624
Australian Dollar		50,000		BOA		37,566		9/14/16		(395	)
Australian Dollar		239,000		HSBC		179,566		9/14/16		(1,828	)
Australian Dollar		50,000		UBS		37,566		9/14/16		(191	)
Australian Dollar		195,000		UBS		146,508		9/14/16		1,098
Brazilian Real		880,380		BOA		272,593		9/2/16		(4,593	)
Brazilian Real		6,101,805		BOA		1,889,309		9/2/16		(3,999	)
Brazilian Real		1,098,987		BOA		340,281		9/2/16		(9,972	)
Brazilian Real		1,743,524		DUB		539,849		9/2/16		(7,849	)
Brazilian Real		1,494,400		GSC		462,713		9/2/16		4,287
Brazilian Real		9,500,000		BCLY		2,913,500		10/4/16		(437,285	)
Brazilian Real		2,100,000		BOA		644,037		10/4/16		(98,866	)
Brazilian Real		315,000		DUB		96,606		10/4/16		(9,955	)
Brazilian Real		5,600,000		JPM		1,717,432		10/4/16		(263,075	)
Brazilian Real		400,000		BNP		113,696		7/5/17		27,283
Brazilian Real		1,900,000		HSBC		540,057		7/5/17		(33,025	)
Brazilian Real		4,000,000		JPM		1,136,961		7/5/17		(68,357	)
British Pound		127,000		BCLY		166,770		9/2/16		(2,702	)
British Pound		1,179,000		GSC		1,548,203		9/2/16		6,153
British Pound		237,000		GSC		311,216		9/2/16		(2,221	)
British Pound		972,000		GSC		1,276,381		9/2/16		(13,001	)

See Notes to Financial Statements.

221



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(continued)


International Fixed Income Fund


Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
British Pound		155,000		HSBC	$	203,538		9/2/16	$	(2,363	)
British Pound		997,000		JPM		1,309,210		9/2/16		(8,223	)
British Pound		18,437,547		SCB		24,211,253		9/2/16		(8,193	)
British Pound		653,000		UBS		857,487		9/2/16		(4,574	)
British Pound		225,000		UBS		295,459		9/2/16		640
British Pound		22,774,547		BOA		29,930,593		10/4/16		201,272
Canadian Dollar		11,603,448		HSBC		8,849,150		9/2/16		(32,610	)
Canadian Dollar		115,000		JPM		87,703		9/2/16		(54	)
Canadian Dollar		1,221,000		SCB		931,173		9/2/16		2,667
Canadian Dollar		10,939,448		BOA		8,344,201		10/4/16		130,177
Chinese Offshore Renminbi		733,577		SCB		109,403		10/20/16		2,049
Chinese Offshore Renminbi		4,963,735		SCB		740,270		10/20/16		13,867
Chinese Offshore Renminbi		5,959,204		SCB		888,730		10/20/16		16,649
Chinese Offshore Renminbi		2,948,060		SCB		439,661		10/20/16		8,236
Chinese Offshore Renminbi		14,378,423		HSBC		2,143,921		10/24/16		12,508
Chinese Onshore Renminbi		2,953,888		BNP		441,217		10/20/16		6,783
Chinese Onshore Renminbi		3,570,600		CITI		533,335		10/20/16		12,712
Czech Koruna		13,019,584		HSBC		537,822		9/30/16		4,864
Danish Krone		620,000		BOA		93,064		10/3/16		127
Danish Krone		43,880,000		HSBC		6,586,548		10/3/16		(11,288	)
Danish Krone		11,606,360		JPM		1,742,157		10/3/16		(5,198	)
Danish Krone		24,827,000		JPM		3,726,623		10/3/16		43,040
Danish Krone		2,165,000		JPM		324,974		10/3/16		612
Danish Krone		1,720,000		JPM		258,178		10/3/16		(2,021	)
Danish Krone		1,915,000		JPM		287,449		10/3/16		(2,169	)
Danish Krone		5,100,000		JPM		765,529		10/3/16		16,440
Danish Krone		4,800,000		JPM		720,498		10/3/16		12,070
Danish Krone		6,510,000		JPM		977,175		10/3/16		(10,999	)
Danish Krone		13,955,000		UBS		2,103,606		1/3/17		18,499
Danish Krone		7,050,000		BOA		1,067,673		4/3/17		2,288
Danish Krone		6,950,000		UBS		1,052,529		4/3/17		3,480
Danish Krone		41,375,000		BOA		6,296,779		7/3/17		(43,945	)
Euro		26,984,563		BOA		30,103,966		9/2/16		(383,978	)
Euro		756,000		GSC		843,393		9/2/16		1,719
Euro		6,231,313		BNP		6,961,645		10/4/16		5,679
Euro		16,580,249		BOA		18,523,514		10/4/16		40,230
Japanese Yen		37,500,000		BCLY		362,406		9/2/16		(3,937	)
Japanese Yen		2,192,600,000		UBS		21,189,659		9/2/16		(223,892	)
Japanese Yen		1,883,500,000		UBS		18,229,645		10/4/16		196,462
Japanese Yen		127,300,000		UBS		1,232,086		10/4/16		14,254
Japanese Yen		650,000,000		GSC		6,292,856		10/11/16		157,643
Japanese Yen		670,000,000		GSC		6,488,042		10/17/16		(109,526	)
Japanese Yen		590,000,000		JPM		5,714,954		10/24/16		(180,076	)
Japanese Yen		88,000,000		GSC		853,392		11/21/16		29,213

See Notes to Financial Statements.

222



Schedules of Investments


(continued)


International Fixed Income Fund


Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Japanese Yen		292,000,000		HSBC	$	2,831,709		11/21/16	$	94,559
Japanese Yen		280,000,000		GSC		2,716,138		11/28/16		81,931
Japanese Yen		100,000,000		GSC		973,686		2/10/17		16,403
Korean Won		766,227,703		SOG		686,455		11/10/16		2,227
New Taiwan Dollar		56,093,085		UBS		1,770,498		11/10/16		(9,333	)
New Zealand Dollar		4,445,135		BCLY		3,225,390		9/2/16		(73,878	)
New Zealand Dollar		4,445,135		JPM		3,220,956		10/4/16		29,114
Polish Zloty		2,892,133		BOA		738,994		11/10/16		531
Russian Ruble		41,256,278		DUB		629,010		9/15/16		472
Russian Ruble		21,685,544		SCB		330,627		9/15/16		2,178
Singapore Dollar		29,645		BCLY		21,759		9/15/16		241
Singapore Dollar		42,165		BCLY		30,947		9/15/16		53
Singapore Dollar		25,613		BCLY		18,799		9/15/16		201
Singapore Dollar		111,060		BCLY		81,513		9/15/16		487
Singapore Dollar		92,356		BCLY		67,786		9/15/16		1,214
Singapore Dollar		41,744		BCLY		30,638		9/15/16		362
Singapore Dollar		183,944		BCLY		135,007		9/15/16		1,993
Singapore Dollar		25,654		BCLY		18,829		9/15/16		171
Singapore Dollar		73,811		BNP		54,175		9/15/16		825
Singapore Dollar		69,148		BOA		50,752		9/15/16		248
Singapore Dollar		66,601		BOA		48,883		9/15/16		117
Singapore Dollar		25,458		BOA		18,685		9/15/16		315
Singapore Dollar		41,512		BOA		30,468		9/15/16		532
Singapore Dollar		44,322		BOA		32,531		9/15/16		469
Singapore Dollar		241,956		JPM		177,586		9/15/16		2,414
Singapore Dollar		75,002		JPM		55,049		9/15/16		952
Singapore Dollar		77,768		UBS		57,079		9/15/16		922
Singapore Dollar		72,603		UBS		53,288		9/15/16		712
Singapore Dollar		81,120		UBS		59,539		9/15/16		461
Singapore Dollar		115,953		WBC		85,105		9/15/16		895
Singapore Dollar		82,181		WBC		60,317		9/15/16		683
Singapore Dollar		4,928,487		HSBC		3,616,710		11/10/16		57,893
Swedish Krona		2,225,000		GSC		259,930		9/2/16		(181	)
Swedish Krona		9,330,000		GSC		1,089,953		9/2/16		(11,236	)
Swedish Krona		2,985,000		GSC		348,715		9/2/16		3,140
Swedish Krona		5,180,000		JPM		605,140		9/2/16		5,397
Swedish Krona		3,045,000		JPM		355,724		9/2/16		712
Swedish Krona		3,255,000		JPM		380,257		9/2/16		1,192
Swiss Franc		1,650,000		JPM		1,677,682		9/2/16		2,054
Swiss Franc		398,000		JPM		404,677		9/2/16		6,853

										(758,440	)

Net Unrealized Depreciation on Open Forward Foreign Currency Contracts									$	(1,175,828	)

See Notes to Financial Statements.

223



Schedules of Investments


(continued)


International Fixed Income Fund

At August 31, 2016 International Fixed Income Fund had cash collateral from broker in the amount of $300,000 for open forward foreign currency contracts.

At August 31, 2016, International Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:


Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date		Counterparty		Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	28-Day MXN TIIE Banxico		5.095%		02/02/2021		CITI	MXN	44,800,000	$	(30,910	)
Pay	28-Day MXN TIIE Banxico		5.825%		01/12/2023		CITI	MXN	6,800,000		(2,930	)
Receive	3-Month Canadian Bank Bill		2.200%		06/16/2026		CITI	CAD	2,900,000		(66,123	)
Pay	3-Month SEK-STIBOR		1.000%		03/18/2025		CITI	SEK	3,800,000		25,789
Pay	3-Month USD-LIBOR		1.035%		12/15/2021		CITI	USD	700,000		(1,886	)
Receive	3-Month USD-LIBOR		1.250%		06/15/2018		CITI	USD	13,400,000		7,357
Receive	3-Month USD-LIBOR		1.250%		12/21/2018		CITI	USD	3,100,000		7,149
Receive	3-Month USD-LIBOR		1.500%		12/16/2017		CITI	USD	1,900,000		(6,865	)
Receive	3-Month USD-LIBOR		1.750%		12/21/2026		CITI	USD	17,900,000		(575	)
Receive	3-Month USD-LIBOR		1.768%		12/15/2046		CITI	USD	1,200,000		(43,937	)
Receive	3-Month USD-LIBOR		2.038%		08/31/2022		CITI	USD	5,100,000		(108,598	)
Receive	3-Month USD-LIBOR		2.098%		07/01/2041		CITI	USD	4,600,000		(35,976	)
Receive	3-Month USD-LIBOR		2.250%		12/16/2022		CITI	USD	28,700,000		(1,804,958	)
Receive	3-Month USD-LIBOR		2.250%		06/15/2026		CITI	USD	400,000		(14,311	)
Receive	3-Month USD-LIBOR		2.250%		12/21/2046		CITI	USD	200,000		(8,454	)
Receive	3-Month USD-LIBOR		2.500%		12/16/2025		CITI	USD	9,000,000		(550,953	)
Pay	3-Month ZAR-SAJIBOR		8.500%		03/15/2027		CITI	ZAR	5,200,000		213
Pay	3-Month ZAR-SAJIBOR		8.750%		03/16/2021		CITI	ZAR	15,700,000		32,736
Pay	6-Month EURIBOR		0.000%		09/21/2021		CITI	EUR	9,200,000		119,802
Receive	6-Month EURIBOR		0.010%		09/21/2018		CITI	EUR	6,100,000		(9,766	)
Pay	6-Month EURIBOR		0.750%		09/21/2026		CITI	EUR	8,200,000		157,011
Receive	6-Month EURIBOR		1.250%		03/15/2047		CITI	EUR	1,250,000		(42,261	)
Receive	6-Month GBP-LIBOR		1.050%		09/05/2046		CITI	GBP	500,000		(35,765	)
Receive	6-Month GBP-LIBOR		1.250%		09/21/2021		CITI	GBP	3,000,000		5,042
Receive	6-Month GBP-LIBOR		1.500%		09/21/2026		CITI	GBP	1,000,000		(16,413	)
Receive	6-Month GBP-LIBOR		1.500%		03/15/2047		CITI	GBP	900,000		(69,002	)
Receive	6-Month GBP-LIBOR		1.750%		09/16/2018		CITI	GBP	4,400,000		(77,959	)
Receive	6-Month GBP-LIBOR		1.750%		03/15/2047		CITI	GBP	700,000		(70,275	)
Pay	6-Month JPY-LIBOR		0.000%		09/20/2026		CITI	JPY	260,000,000		(384	)
Pay	6-Month JPY-LIBOR		0.150%		03/22/2018		CITI	JPY	2,310,000,000		103,950
Pay	6-Month JPY-LIBOR		0.300%		03/18/2026		CITI	JPY	3,210,000,000		7,014
Receive	6-Month JPY-LIBOR		0.500%		09/18/2022		CITI	JPY	430,000,000		(9,725	)
Receive	6-Month JPY-LIBOR		0.500%		09/20/2046		CITI	JPY	90,000,000		3,148
Pay	6-Month JPY-LIBOR		1.500%		06/19/2033		CITI	JPY	150,000,000		189,393
Receive	6-Month JPY-LIBOR		1.500%		12/20/2044		CITI	JPY	100,000,000		(223,649	)
Receive	6-Month JPY-LIBOR		1.500%		12/21/2045		CITI	JPY	160,000,000		167,452

										$	(2,405,619	)

See Notes to Financial Statements.

224



Schedules of Investments


(continued)


International Fixed Income Fund

At August 31, 2016, International Fixed Income Fund held the following OTC Volatility Swap Contracts:


Pay/Receive Volatility*	Reference Obligation	Fixed Rate		Maturity Date		Counterparty		Notional Amount			Market Value			Upfront Premiums Paid		Unrealized Appreciation/ (Depreciation
Pay	EUR vs. CHF spot exchange rate		8.500%		09/14/2016		DUB		CHF	200,000	$	7,803		$	—	$	7,803
Pay	EUR vs. CHF spot exchange rate		8.400%		12/06/2016		DUB		CHF	100,000		3,297			—		3,297
Pay	EUR vs. CHF spot exchange rate		7.250%		01/03/2017		DUB		CHF	300,000		5,707			—		5,707
Pay	EUR vs. CHF spot exchange rate		6.850%		01/05/2017		UBS		CHF	200,000		2,805			—		2,805
Pay	EUR vs. CHF spot exchange rate		8.500%		03/22/2017		DUB		CHF	400,000		11,035			—		11,035
Pay	EUR vs. CHF spot exchange rate		8.150%		03/30/2017		DUB		CHF	200,000		4,567			—		4,567
Receive	USD vs. CHF spot exchange rate		10.000%		09/14/2016		DUB		CHF	200,000		(3,215	)		—		(3,215	)
Receive	USD vs. CHF spot exchange rate		10.800%		12/06/2016		DUB		CHF	100,000		(1,782	)		—		(1,782	)
Receive	USD vs. CHF spot exchange rate		9.250%		01/03/2017		DUB		CHF	300,000		(1,809	)		—		(1,809	)
Receive	USD vs. CHF spot exchange rate		8.750%		01/05/2017		UBS		CHF	200,000		(96	)		—		(96	)
Receive	USD vs. CHF spot exchange rate		10.300%		03/22/2017		DUB		CHF	400,000		(5,998	)		—		(5,998	)
Receive	USD vs. CHF spot exchange rate		10.050%		03/30/2017		DUB		CHF	200,000		(2,588	)		—		(2,588	)

											$	19,726		$	—	$	19,726

Fund will pay or receive the volatility of the reference asset depending on whether the realized volatility of the reference asset exceeds or is less than the fixed rate. For contracts where the Fund has elected to receive the volatility of the reference asset, it will receive a net payment of the difference between the realized volatility and the fixed rate multiplied by the notional amount if the realized volatility exceeds the fixed rate; the Fund will make a net payment of the absolute value of the difference of the realized volatility and the fixed rate multiplied by the notional amount if the realized volatility is less than the fixed rate. For contracts where the Fund has elected to pay the volatility of the reference asset, it will make a net payment of the difference between the realized volatility and the fixed rate multiplied by the notional amount if the realized volatility exceeds the fixed rate; the Fund will receive a net payment of the absolute value of the difference of the realized and the fixed rate multiplied by the notional amount if the realized volatility is less than the fixed rate.

At August 31, 2016, International Fixed Income Fund held the following OTC and Centrally Cleared Credit Default Swap Contracts:

OTC Credit Default Swaps on Corporate and Sovereign Issues — Buy Protection (1)


Reference Obligation	Fixed Deal (Pay) Rate			Maturity Date		Counterparty		Implied Credit Spread at 8/31/16 (2)		Notional Amount (3)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Altria Group Inc., A-		(1.000%	)		12/20/2020		BCLY		0.242%	USD	100,000	$	(3,413	)	$	(3,398	)	$	(15	)
Altria Group Inc., A-		(1.000%	)		12/20/2020		CITI		0.242%	USD	200,000		(6,826	)		(6,699	)		(127	)
Altria Group Inc., A-		(1.000%	)		12/20/2020		GSC		0.242%	USD	100,000		(3,413	)		(3,290	)		(123	)
Altria Group Inc., A-		(1.000%	)		12/20/2020		JPM		0.242%	USD	100,000		(3,413	)		(3,230	)		(183	)
Barclays Bank PLC, BBB-		(1.000%	)		06/20/2021		JPM		2.024%	EUR	600,000		30,582			34,494			(3,912	)
Basf Se, A		(1.000%	)		12/20/2020		GSC		0.373%	EUR	100,000		(3,267	)		(2,041	)		(1,226	)
Bat Netherlands Finance BV, A-		(1.000%	)		12/20/2020		GSC		0.437%	EUR	100,000		(2,951	)		(2,407	)		(544	)
Bat Netherlands Finance BV, A-		(1.000%	)		12/20/2020		JPM		0.437%	EUR	100,000		(2,951	)		(2,223	)		(728	)
Bayer AG, A-		(1.000%	)		12/20/2020		BCLY		0.504%	EUR	100,000		(2,620	)		(2,249	)		(371	)
Bayer AG, A-		(1.000%	)		12/20/2020		CITI		0.504%	EUR	100,000		(2,620	)		(2,110	)		(510	)

See Notes to Financial Statements.

225



Schedules of Investments


(continued)


International Fixed Income Fund


Reference Obligation	Fixed Deal (Pay) Rate			Maturity Date		Counterparty		Implied Credit Spread at 8/31/16 (2)		Notional Amount (3)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Cleveland Electric, BBB-		(0.940%	)		06/20/2017		RBS		0.163%	USD	1,000,000	$	(8,192	)	$	—		$	(8,192	)
Intesa Sanpaolo SpA, BBB-		(1.000%	)		03/20/2026		SOG		3.163%	USD	500,000		83,047			72,420			10,627
Koninklijke Dsm NV, A-		(1.000%	)		12/20/2020		BNP		0.281%	EUR	100,000		(3,723	)		(2,300	)		(1,423	)
Koninklijke Dsm NV, A-		(1.000%	)		12/20/2020		CITI		0.281%	EUR	100,000		(3,723	)		(2,249	)		(1,474	)
Koninklijke Dsm NV, A-		(1.000%	)		12/20/2020		GSC		0.281%	EUR	100,000		(3,723	)		(2,193	)		(1,530	)
Pfizer Inc., AA		(1.000%	)		12/20/2020		JPM		0.229%	USD	300,000		(10,406	)		(11,215	)		809
Reynolds American Inc., BBB		(1.000%	)		12/20/2020		BCLY		0.320%	USD	100,000		(3,079	)		(2,770	)		(309	)
Reynolds American Inc., BBB		(1.000%	)		12/20/2020		BOA		0.320%	USD	100,000		(3,079	)		(2,866	)		(213	)
Reynolds American Inc., BBB		(1.000%	)		12/20/2020		GSC		0.320%	USD	300,000		(9,237	)		(9,178	)		(59	)
Starwood Hotels & Resorts Worldwide Inc., BBB		(1.490%	)		06/20/2018		BOA		0.100%	USD	1,000,000		(28,144	)		—			(28,144	)
Teliasonera AB, A-		(1.000%	)		12/20/2020		BNP		0.407%	EUR	100,000		(3,097	)		(858	)		(2,239	)
UBS AG/Stamford CT, BBB+		(1.000%	)		06/20/2024		BNP		1.656%	USD	400,000		17,693			22,279			(4,586	)
UBS AG/Stamford CT, BBB+		(1.000%	)		06/20/2018		GSC		0.947%	USD	700,000		(2,086	)		3,328			(5,414	)
United Utilities PLC, BBB-		(1.000%	)		12/20/2020		GSC		0.581%	EUR	100,000		(2,250	)		(213	)		(2,037	)
United Utilities PLC, BBB-		(1.000%	)		12/20/2020		SOG		0.581%	EUR	100,000		(2,250	)		—			(2,250	)
Unitedhealth Group Inc., A+		(1.000%	)		12/20/2020		CITI		0.292%	USD	200,000		(6,392	)		(6,191	)		(201	)
Unitedhealth Group Inc., A+		(1.000%	)		12/20/2020		JPM		0.292%	USD	100,000		(3,196	)		(3,049	)		(147	)
UST Inc., A-		(0.720%	)		03/20/2018		GSC		0.080%	USD	500,000		(5,713	)		—			(5,713	)
Veolia Environnement SA, BBB		(1.000%	)		12/20/2020		BNP		0.470%	EUR	100,000		(2,789	)		(588	)		(2,201	)
Wind Acquisition Finance SA, B		(5.000%	)		06/20/2021		JPM		2.478%	EUR	300,000		(41,900	)		(7,366	)		(34,534	)

												$	(43,131	)	$	53,838		$	(96,969	)

See Notes to Financial Statements.

226



Schedules of Investments


(continued)


International Fixed Income Fund

OTC Credit Default Swaps on Corporate and Sovereign Issues — Sell Protection (4)


Reference Obligation	Fixed Deal (Pay) Rate		Maturity Date		Counterparty		Implied Credit Spread at 8/31/16 (2)		Notional Amount (3)		Market Value			Upfront Premiums (Received)			Unrealized Appreciation
Barclays Bank PLC, A-		1.000%		06/20/2017		BNP		0.579%		EUR 100,000	$	607		$	—		$	607
Barclays Bank PLC, A-		1.000%		06/20/2021		GSC		0.889%		EUR 200,000		1,633			—			1,633
Barclays Bank PLC, BBB-		1.000%		06/20/2017		BNP		0.932%		EUR 400,000		1,151			(4,231	)		5,382
Tesco PLC, BB+		1.000%		12/20/2020		CITI		1.982%		EUR 300,000		(13,033	)		(25,496	)		12,463
Tesco PLC, BB+		1.000%		12/20/2020		JPM		1.982%		EUR 300,000		(13,033	)		(23,754	)		10,721
Tesco PLC, BB+		1.000%		12/20/2020		SOG		1.982%		EUR 900,000		(39,099	)		(77,336	)		38,237
Tesco PLC, BB+		1.000%		06/20/2021		BCLY		2.168%		EUR 300,000		(17,331	)		(24,350	)		7,019
Volkswagen International Finance, BBB+		1.000%		12/20/2016		BOA		0.157%		EUR 200,000		1,032			(1,677	)		2,709

											$	(78,073	)	$	(156,844	)	$	78,771

Centrally Cleared — Credit Default Swaps on Indexes — Buy Protection (1)


Reference Obligation	Fixed Deal (Pay) Rate			Maturity Date		Counterparty		Implied Credit Spread at 8/31/16 (2)		Notional Amount (3)		Unrealized Appreciation/ (Depreciation)
Markit CDX North America Investment Grade Series 26 5-Year Index		(1.000%	)		06/20/2021		CITI		0.728%	USD	15,000,000	$	(19,461	)
Markit iTraxx Europe Senior Financials Series 25 5-Year Index		(1.000%	)		06/20/2021		CITI		0.688%	EUR	17,200,000		(55,757	)
Markit iTraxx Europe Senior Financials Series 25 5-Year Index		(1.000%	)		06/20/2021		CITI		0.908%	EUR	4,900,000		19,888

												$	(55,330	)

At August 31, 2016, International Fixed Income Fund held the following OTC Cross Currency Swap Contracts:

Counterparty Pay

Counterparty Receive

Maturity
Date (5)

Counterparty

Notional
Amount of
Currency
Received (6)
(amounts
below are in
000’s)

Notional
Amount of
Currency
Delivered (6)
(amounts
below are in
000’s)

Market
Value

Upfront
Premiums
Paid/

(Received)

Unrealized
Appreciation/
(Depreciation)

Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received

Floating rate equal to 3-Month EURIBOR less 0.500% based on the notional amount of currency delivered

09/21/2021

BNP

USD 2,602

EUR 2,400

72,900

81,240

(8,340

)

Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received

Floating rate equal to 3-Month EURIBOR less 0.500% based on the notional amount of currency delivered

09/21/2026

BNP

USD 3,686

EUR 3,400

114,823

1,359

113,464

Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received

Floating rate equal to 3-Month GBP-LIBOR less 0.150% based on the notional amount of currency delivered

03/15/2019

BOA

USD 5,838

GBP 4,100

(453,075

)

11,465

(464,540

)

See Notes to Financial Statements.

227



Schedules of Investments


(continued)


International Fixed Income Fund


Counterparty Pay	Counterparty Receive	Maturity Date (5)		Counterparty		Notional Amount of Currency Received (6) (amounts below are in 000’s)		Notional Amount of Currency Delivered (6) (amounts below are in 000’s)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received	Floating rate equal to 3-Month EURIBOR less 0.500% based on the notional amount of currency delivered		09/21/2021		BOA		USD 4,228		EUR 3,900	$	118,463		$	1,170		$	117,293
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received	Floating rate equal to 3-Month GBP-LIBOR less 0.140% based on the notional amount of currency delivered		03/15/2019		CITI		USD 3,525		GBP 2,500		(241,045	)		12,570			(253,615	)
Floating rate equal to 3-Month JPY- LIBOR less 0.760% based on the notional amount of currency received	Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency delivered		09/19/2018		DUB		JPY 470,000		USD 4,434		(109,183	)		(16,585	)		(92,598	)
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received	Floating rate equal to 3-Month EURIBOR less 0.500% based on the notional amount of currency delivered		09/21/2021		DUB		USD 2,385		EUR 2,200		66,825			42,645			24,180
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received	Floating rate equal to 3-Month EURIBOR less 0.478% based on the notional amount of currency delivered		03/15/2022		DUB		USD 1,576		EUR 1,400		(13,342	)		1,315			(14,657	)
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received	Floating rate equal to 3-Month EURIBOR less 0.500% based on the notional amount of currency delivered		09/21/2026		DUB		USD 563		EUR 500		(4,114	)		1,050			(5,164	)
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received	Floating rate equal to 3-Month CAD-LIBOR less 0.123% based on the notional amount of currency delivered		12/21/2018		GSC		USD 1,911		CAD 2,500		(4,086	)		3,073			(7,159	)
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received	Floating rate equal to 3-Month CAD-LIBOR less 0.125% based on the notional amount of currency delivered		12/21/2018		GSC		USD 1,988		CAD 2,600		(4,347	)		(5,567	)		1,220

See Notes to Financial Statements.

228



Schedules of Investments


(continued)


International Fixed Income Fund


Counterparty Pay	Counterparty Receive	Maturity Date (5)		Counterparty		Notional Amount of Currency Received (6) (amounts below are in 000’s)		Notional Amount of Currency Delivered (6) (amounts below are in 000’s)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received	Floating rate equal to 3-Month GBP-LIBOR less 0.120% based on the notional amount of currency delivered		03/15/2019		GSC		USD 6,218		GBP 4,300	$	(567,311	)	$	(39,800	)	$	(527,511	)
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received	Floating rate equal to 3-Month EURIBOR less 0.420% based on the notional amount of currency delivered		09/21/2026		GSC		USD 217		EUR 200		8,625			7,890			735
Floating rate equal to 3-Month JPY- LIBOR less 0.755% based on the notional amount of currency received	Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency delivered		09/21/2018		UBS		JPY 250,000		USD 2,478		60,874			106,572			(45,698	)

										$	(953,993	)	$	208,397		$	(1,162,390	)

(1)

If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising the referenced index.

(2)

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as ‘‘Defaulted’’ indicates a credit event has occurred for the referenced entity or obligation.

(3)	The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(4)

If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(5)	At the maturity date, the notional amount of the currency received will be exchanged back for the notional amount of the currency delivered.

(6)	The notional amounts to be received or delivered may be determined and exchanged at a future date, based on the effective date of the cross-currency swap.

At August 31, 2016, International Fixed Income Fund deposited cash collateral with brokers in the amount of $2,321,000 for open centrally cleared swap contracts.

At August 31, 2016, International Fixed Income Fund had cash collateral from brokers in the amount of $250,000 for open OTC swap contracts.

See Notes to Financial Statements.

229



Schedules of Investments


(continued)


International Fixed Income Fund


Currency Abbreviations used in this schedule:		Counterparty Abbreviations used in this schedule:
AUD	— Australian Dollar	BCLY	— Barclays Bank PLC
BRL	— Brazilian Real	BNP	— BNP Paribas SA
CAD	— Canadian Dollar	BOA	— Bank of America
CHF	— Swiss Franc	CITI	— Citigroup Global Markets Inc.
CNY	— Chinese Yuan Renminbi	DUB	— Deutsche Bank AG
CZK	— Czech Koruna	GSC	— Goldman Sachs & Co.
DKK	— Danish Krone	HSBC	— HSBC Bank USA
EUR	— Euro	JPM	— JPMorgan Chase & Co.
GBP	— British Pound	RBS	— Royal Bank of Scotland PLC
JPY	— Japanese Yen	SCB	— Standard Chartered Bank
KRW	— South Korean Won	SOG	— Societe Generale SA
MXN	— Mexican Peso	UBS	— UBS Securities LLC
NOK	— Norwegian Krone	WBC	— Westpac Banking Corp.
NZD	— New Zealand Dollar
PLN	— Polish Zloty
SEK	— Swedish Krona
SGD	— Singapore Dollar
ZAR	— South African Rand

See Notes to Financial Statements.

230



Schedules of Investments


(continued)


Municipal Bond Fund

Face Amount		Rating††	Security	Value
	MUNICIPAL BONDS — 95.8%
	California — 18.0%
$	1,000,000	AA+	California Infrastructure & Economic Development Bank, Revenue Bonds, Bay Area Toll Bridges, Series A, Prerefunded 1/1/28 @ 100, AMBAC-Insured, 5.000% due 7/1/36(a)	$	1,345,810
	1,500,000	AA-	California State University, Revenue Bonds, Systemwide, Series A, 4.000% due 11/1/37		1,709,820
	1,050,000	AA-	California Statewide Communities Development Authority, Revenue Bonds, Sutter Health Project, Series A, 5.500% due 8/15/26		1,233,950
	2,000,000	AA-	Garden Grove Unified School District, GO, 2010 Election, Series C, 5.000% due 8/1/35		2,448,540
	2,000,000	A3(b)	Kaweah Delta Health Care District, Revenue Bonds, Series B, 4.000% due 6/1/45		2,139,920
	1,500,000	AA	Los Angeles Harbor Department, AMT, Port of Los Angeles, Revenue Bonds, Refunding Series A, 5.000% due 8/1/36(c)		1,787,520
	1,500,000	A+	San Diego County, CA, Regional Airport Authority, Revenue Bonds, Series A, 5.000% due 7/1/43		1,765,605

			Total California		12,431,165

	Colorado — 11.5%
	1,435,000	AA	City of Colorado Springs, CO, Utilities System Revenue, Revenue Bonds, System Improvement, Series B-2, 5.000% due 11/15/38		1,742,348
			Colorado Health Facilities Authority, Revenue Bonds:
	1,000,000	A-	Catholic Health Initiatives, Series A, 5.250% due 2/1/31		1,127,750
	1,500,000	AA-	Sisters of Charity of Leavenworth Inc., Series A, 5.000% due 1/1/44		1,730,925
	1,000,000	AAA	Colorado Water Resources & Power Development Authority, Revenue Bonds, Revolving Fund, Series A, 5.500% due 9/1/22		1,247,660
	2,000,000	AA-	University of Colorado Hospital Authority, Revenue Bonds, Series A, 4.000% due 11/15/36		2,143,740

			Total Colorado		7,992,423

	District of Colombia — 2.6%
	1,500,000	AAA	District of Columbia, Revenue Bonds, Income Tax Revenue, Series A, 5.000% due 12/1/28		1,792,620

	Florida — 1.6%
	1,000,000	A+	City of Jacksonville, FL, Revenue Bonds, Better Jacksonville, Prerefunded 10/1/18 @ 100, 5.000% due 10/1/21(a)		1,088,400

	Georgia — 2.9%
	1,800,000	A	Municipal Electric Authority of Georgia, Revenue Bonds, Series B, 5.000% due 1/1/20		2,038,896

	Illinois — 8.1%
			Illinois Finance Authority, Revenue Bonds:
	1,235,000	AA	Advocate Health Care, 4.000% due 6/1/47		1,312,990
	1,000,000	AAA	Northwestern University, 5.000% due 12/1/28		1,322,880
	1,000,000	A	Bradley University Projects, Series A, XLCA-Insured, 5.000% due 8/1/34		1,032,720
	600,000	A	DePaul University, 5.000% due 10/1/36		726,840
	1,095,000	A2(b)	DePaul University, Series A, 5.375% due 10/1/19		1,239,091

			Total Illinois		5,634,521

	Massachusetts — 3.6%
	1,000,000	AA+	Massachusetts Bay Transportation Authority, Revenue Bonds, Series A, 5.250% due 7/1/34		1,418,390
	1,000,000	A2(b)	Massachusetts Health & Educational Facilities Authority, Revenue Bonds, Northeastern University, Series R, 5.000% due 10/1/28		1,082,360

			Total Massachusetts		2,500,750

	New Jersey — 2.4%
	1,340,000	A2(b)	Manalapan-Englishtown Regional Board of Education, GO, FGIC & NPFG-Insured, 5.750% due 12/1/22		1,683,254

See Notes to Financial Statements.

231



Schedules of Investments


(continued)


Municipal Bond Fund

Face Amount		Rating††	Security	Value
	North Carolina — 3.2%
$	2,000,000	AAApre(d)	North Carolina Eastern Municipal Power Agency, Revenue Bonds, Series B, Prerefunded 1/1/19 @ 100, 5.000% due 1/1/26(a)	$	2,194,580

	Ohio — 3.0%
	1,500,000	AA	Cincinnati City School District, GO, Refunding Classroom Construction, ACG-ICC FGIC Insured, 5.250% due 12/1/31		2,075,340

	Oregon — 2.3%
	1,330,000	Aa2(b)	Washington & Clackamas Counties School District No. 23J Tigard-Tualatin, GO, NPFG-Insured, 5.000% due 6/15/22		1,609,500

	Pennsylvania — 3.3%
	2,000,000	A+	Monroeville Finance Authority, University of Pittsburgh Medical Center, Revenue Bonds, Series B, 5.000% due 7/1/39		2,313,000

	South Carolina — 2.7%
	1,535,000	Aa3(b)	Clemson University, Revenue Bonds, 5.000% due 5/1/29		1,889,585

	South Dakota — 2.3%
	1,500,000	Aa2(b)	City of Sioux Falls, SD, Sales Tax, Revenue Bonds, Series A-1, NPFG-Insured, 4.750% due 11/15/36		1,564,260

	Tennessee — 4.1%
	1,000,000	BBB+	Knox County Health Educational & Housing Facility Board, Revenue Bonds, University Health System, 5.250% due 4/1/36		1,022,850
	1,700,000	Aa2(b)	Tennessee Housing Development Agency, Revenue Bonds, Series A, 3.850% due 1/1/35		1,805,638

			Total Tennessee		2,828,488

	Texas — 11.3%
	1,000,000	AA	City of Waxahachie, TX, GO, Series A, Prerefunded 8/1/17 @ 100, AGM-Insured, 5.000% due 8/1/25(a)		1,039,830
	1,000,000	AAA	North East, TX, Independent School District, GO, PSF-GTD-Insured, 5.250% due 2/1/30		1,373,330
	2,000,000	AA	Round Rock, TX, Independent School District, GO, 5.000% due 8/1/33		2,166,080
	1,000,000	AA	Texas State Technical College, Revenue Bonds, AGM-Insured, 4.000% due 10/15/33		1,122,780
	1,575,000	AAA	Texas Transportation Commission State Highway Fund, Revenue Bonds, 5.250% due 4/1/26		2,093,049

			Total Texas		7,795,069

	Utah — 3.3%
	2,000,000	AA	Utah State University, Revenue Bonds, Student Building Fee, Series B, 5.000% due 12/1/44		2,310,820

	Virginia — 2.7%
	1,825,000	AA+	City of Lynchburg, VA, GO, 3.000% due 2/1/34		1,879,367

	Washington — 2.4%
	1,500,000	A	Washington Health Care Facilities Authority, Revenue Bonds, PeaceHealth, Series A, 5.000% due 11/1/18		1,628,565

	Wisconsin — 4.5%
	1,500,000	AA+	Wisconsin Department of Transportation, Revenue Bonds, Series I, FGIC & NPFG-Insured, 5.000% due 7/1/20		1,734,660
	1,300,000	A+	Wisconsin Health & Educational Facilities Authority, Revenue Bonds, Aspirus Inc. Obligation Group, 4.000% due 8/15/40		1,361,659

			Total Wisconsin		3,096,319

			TOTAL MUNICIPAL BONDS (Cost — $60,375,444)		66,346,922

See Notes to Financial Statements.

232



Schedules of Investments


(continued)


Municipal Bond Fund

Face Amount		Security	Value
	SHORT-TERM INVESTMENTS — 3.6%
	TIME DEPOSITS — 3.6%
$	1,372,209	ANZ National Bank — London, 0.150% due 9/1/16	$	1,372,209
	1,100,919	BNP Paribas — Paris, 0.150% due 9/1/16		1,100,919

		TOTAL SHORT-TERM INVESTMENTS (Cost — $2,473,128)		2,473,128

		TOTAL INVESTMENTS — 99.4% (Cost — $62,848,572#)		68,820,050

		Other Assets in Excess of Liabilities — 0.6%		392,060

		TOTAL NET ASSETS — 100.0%	$	69,212,110

††	All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited.

(a)	Pre-refunded bonds are escrowed with government obligations and/or government agency securities and are considered by the Manager to be triple-A rated even if the issuer has not applied for new ratings.

(b)	Rating by Moody’s Investors Service. All ratings are unaudited.

(c)	Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (AMT).

(d)	Rating by Fitch Ratings Service. All ratings are unaudited.

#	Aggregate cost for federal income tax purposes is $62,848,572.


Abbreviations used in this schedule:
AGM		— Assured Guaranty Municipal Corp.
AMBAC		— American Bond Assurance Corporation
FGIC		— Financial Guarantee Insurance Company
GO		— General Obligation
NPFG		— National Public Finance Guarantee Corp.
PSF-GTD		— Permanent School Fund Guaranteed
XLCA		— XL Capital Assurance Inc.

See pages 250 and 251 for definitions of ratings.


Summary of Investments by Industry^
Education	34.6	%
Health Care Providers & Services	21.5
General Obligation	12.8
Transportation	10.1
Power	6.1
Airport	2.6
Single Family Housing	2.6
Utilities	2.5
Water and Sewer	1.8
Development	1.8
Short-Term Investments	3.6

	100.0	%

^	As a percentage of total investments.

See Notes to Financial Statements.

233



Schedules of Investments


(continued)


Inflation-Linked Fixed Income Fund

Face Amount/Units†			Rating††	Security	Value
	U.S. GOVERNMENT OBLIGATIONS — 117.3%
				U.S. Treasury Bonds:
$	400,000			2.500% due 2/15/46	$	422,727
	500,000			2.500% due 5/15/46(a)		529,219
				U.S. Treasury Inflation Indexed Bonds:
	5,869,417			2.375% due 1/15/25		6,950,957
	13,412,520			3.625% due 4/15/28(a)		18,484,786
	14,224,356			2.500% due 1/15/29(a)		18,013,624
	4,460,800			2.125% due 2/15/40		5,976,981
	8,087,757			1.375% due 2/15/44		9,668,727
	4,343,786			1.000% due 2/15/46		4,847,409
				U.S. Treasury Inflation Indexed Notes:
	38,685,283			0.125% due 4/15/18(a)		38,879,173
	13,259,556			0.125% due 4/15/19		13,380,749
	21,820,736			0.125% due 4/15/20(a)		22,041,584
	2,951,018			1.250% due 7/15/20(b)		3,127,167
	406,395			0.625% due 7/15/21(b)		422,332
	26,106,500			0.125% due 1/15/23(a)		26,285,956
	5,344,470			0.375% due 7/15/23		5,487,563
	203,532			0.250% due 1/15/25(b)		205,578
	121,970			0.375% due 7/15/25(b)		124,870
	9,129,780			0.625% due 1/15/26		9,529,993
				U.S. Treasury Notes:
	210,000			2.000% due 2/15/25(b)		217,830
	2,100,000			1.625% due 5/15/26(a)		2,108,284

				TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $182,030,510)		186,705,509

	SOVEREIGN BONDS — 8.7%
	Brazil — 4.7%
	26,300,000	^BRL	Ba2(c)	Brazil Letras do Tesouro Nacional, zero coupon, due 4/1/17		7,555,970

	France — 2.1%
				France Government Bond OAT Inflation Linked Bonds:
	2,328,583	^EUR	Aa2u(c)	2.250% due 7/25/20		2,953,635
	214,732	^EUR	Aa2u(c)	1.850% due 7/25/27		310,435

				Total France		3,264,070

	Italy — 0.9%
				Italy Buoni Poliennali Del Tesoro Inflation Linked Bonds:
	1,088,140	^EUR	Baa2u(c)	2.100% due 9/15/21		1,354,441
	100,934	^EUR	Baa2u(c)	2.350% due 9/15/24(d)		131,588

				Total Italy		1,486,029

	United Kingdom — 1.0%
				United Kingdom Gilt Inflation Linked Bonds:
	390,712	^GBP	Aa1u(c)	0.125% due 3/22/24		613,919
	550,157	^GBP	Aa1u(c)	0.125% due 3/22/26		891,422
	10,206	^GBP	Aa1u(c)	0.125% due 3/22/46		23,271

				Total United Kingdom		1,528,612

				TOTAL SOVEREIGN BONDS (Cost — $13,803,909)		13,834,681

	COLLATERALIZED MORTGAGE OBLIGATIONS — 6.3%
	9,106		BBB+	American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 2.592% due 9/25/45(e)		8,853
				Banc of America Funding Trust:
	514,363		Ba3(c)	Series 2004-1, Class 4A1, 6.000% due 3/25/34		564,806

See Notes to Financial Statements.

234



Schedules of Investments


(continued)


Inflation-Linked Fixed Income Fund

Face Amount/Units†			Rating††	Security	Value
$	115,324		AAA	Series 2005-B, Class 3A1B, 0.822% due 4/20/35(e)	$	110,938
	60,832		BBB+	Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-3, Class 3A2, 3.008% due 5/25/33(e)		60,725
	800,000		AAA	CIFC Funding 2012-I Ltd., Series 2012-1A, Class A1R2, 1.920% due 8/14/24(d)(e)(f)		799,906
	18,567		BB	Citigroup Mortgage Loan Trust Inc., Series 2004-HYB2, Class 2A, 2.887% due 3/25/34(e)		18,403
	95,007		AA(g)	Credit Suisse Mortgage Capital Certificates, Series 2009-3R, Class 28A1, 3.157% due 8/27/37(d)(e)		95,103
	700,000		B-	First NLC Trust, Series 2005-4, Class A4, 0.914% due 2/25/36(e)		619,892
	8,802		AA+	HarborView Mortgage Loan Trust, Series 2005-9, Class 2A1A, 0.852% due 6/20/35(e)		8,084
	132,728		B-	IndyMac INDX Mortgage Loan Trust, Series 2005-16IP, Class A1, 1.164% due 7/25/45(e)		109,602
	32,561		AA+	MRFC Mortgage Pass Through Trust, Series 2000-TBC2, Class A1, 0.988% due 6/15/30(e)		31,090
	270,491		NR	NYMT Residential, Series 2016-RP1A, Class A, step bond to yield, 4.000% due 3/25/21(d)		270,357
	600,000		A+	Option One Mortgage Loan Asset-Backed Certificates Trust, Series 2005-4, Class M1, 0.964% due 11/25/35(e)		589,473
	600,000		B-	RASC Trust, Series 2006-KS3, Class M1, 0.854% due 4/25/36(e)		492,448
	420,458		AAA	RBSSP Resecuritization Trust, Series 2009-12, Class 17A1, 2.553% due 10/25/35(d)(e)		424,814
	830,096		B	Sequoia Mortgage Trust, Series 6, Class A, 1.154% due 4/19/27(e)		777,505
	650,000		B-	Specialty Underwriting & Residential Finance Trust, Series 2005-AB1, Class M2, 1.199% due 3/25/36(e)		600,925
	364,716		BBB	Structured Asset Investment Loan Trust, Series 2003-BC13, Class 1A3, 1.524% due 11/25/33(e)		335,181
	89,652		CCC	Thornburg Mortgage Securities Trust, Series 2006-4, Class A2B, 2.868% due 7/25/36(e)		86,854
	797,958		NR	US Residential Opportunity Fund III Trust, Series 2016-1III, Class A, 3.475% due 7/27/36(d)		800,313
	555,179		NR	Vericrest Opportunity Loan Trust, Series 2016-NPL3, Class A1, step bond to yield, 4.250% due 3/26/46(d)		562,389
	541,438		NR	VOLT XLII LLC, Series 2016-NPL2, Class A1, step bond to yield, 4.250% due 3/26/46(d)		548,121
	938,400		NR	VOLT XLV LLC, Series 2016-NPL5, Class A1, step bond to yield, 4.000% due 5/25/46(d)		947,775
				WaMu Mortgage Pass Through Certificates Trust:
	27,879		Baa1(c)	Series 2002-AR2, Class A, 1.940% due 2/27/34(e)		27,369
	10,903		A	Series 2002-AR17, Class 1A, 1.689% due 11/25/42(e)		10,142
	650,290		AA	Series 2005-AR13, Class A1A1, 0.814% due 10/25/45(e)		619,378
	233,770		BBB	Series 2005-AR15, Class A1A1, 0.784% due 11/25/45(e)		219,668
	315,290		A+	Series 2006-AR1, Class 2A1A, 1.559% due 1/25/46(e)		303,947
	6,782		A+	Wells Fargo Mortgage Backed Securities Trust, Series 2004-E, Class A2, 3.082% due 5/25/34(e)		6,861

				TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $9,930,640)		10,050,922

	CORPORATE BONDS & NOTES — 3.8%
	Automobliles — 0.5%
	800,000		BBB+	Volkswagen Group of America Finance LLC, Company Guaranteed Notes, 1.251% due 11/20/17(d)(e)		797,344

	Banks — 1.3%
				CIT Group Inc., Senior Unsecured Notes:
	100,000		BB+	4.250% due 8/15/17		102,000
	300,000		BB+	3.875% due 2/19/19		307,407
	100,000	^GBP	BBB+	HSBC Holdings PLC, Subordinated Notes, 6.000% due 3/29/40		179,998
				Realkredit Danmark AS, Covered Notes:
	1,000,000	^DKK	AAA	1.000% due 1/1/17		150,696
	1,300,000	^DKK	AAA	1.000% due 4/1/17		196,477
	400,000	^DKK	AAA	2.000% due 4/1/17		60,806
	700,000		BBB+	Santander Holdings USA Inc., Senior Unsecured Notes, 2.275% due 11/24/17(e)		704,432
	400,000		Aaa(c)	Toronto-Dominion Bank (The), Covered Notes, 2.250% due 3/15/21(d)		408,112

				Total Banks		2,109,928

See Notes to Financial Statements.

235



Schedules of Investments


(continued)


Inflation-Linked Fixed Income Fund

Face Amount/Units†			Rating††	��	Security	Value
	Consumer Finance — 0.4%
$	600,000		BB+		Ally Financial Inc., Company Guaranteed Notes, 2.750% due 1/30/17	$	600,902

	Diversified Financial Services — 1.0%
	600,000		BBB-		International Lease Finance Corp., Senior Unsecured Notes, 6.250% due 5/15/19		654,420
	200,000		BB-		Navient Corp., Senior Unsecured Notes, 5.500% due 1/15/19		206,000
	700,000		B		Springleaf Finance Corp., Company Guaranteed Notes, 5.250% due 12/15/19		718,375

					Total Diversified Financial Services		1,578,795

	Electric Utilities — 0.1%
	100,000		BBB+		E.ON International Finance BV, Company Guaranteed Notes, 5.800% due 4/30/18(d)		106,733

	Food Products — 0.0%
	100,000		A-		Wesfarmers Ltd., Company Guaranteed Notes, 1.874% due 3/20/18(d)		100,214

	Media — 0.1%
	100,000		BBB		Time Warner Cable Inc., Senior Secured Notes, 6.750% due 7/1/18		109,049

	Metals & Mining — 0.0%
	100,000		BBB+		Goldcorp Inc., Senior Unsecured Notes, 2.125% due 3/15/18		100,315

	Oil, Gas & Consumable Fuels — 0.3%
	400,000		B+		Petrobras Global Finance BV, Company Guaranteed Notes, 8.375% due 5/23/21		431,380

	Transportation Infrastructure — 0.1%
	100,000	^EUR	NR		Hellenic Railways Organization SA, Government Guaranteed Notes, 4.028% due 3/17/17		109,329

					TOTAL CORPORATE BONDS & NOTES (Cost — $5,913,719)		6,043,989

	MORTGAGE-BACKED SECURITIES — 2.6%
	FNMA — 2.6%
					Federal National Mortgage Association (FNMA):
	3,000,000				3.500% due 9/1/46(h)		3,161,602
	1,000,000				3.000% due 10/1/46(h)		1,035,703

					TOTAL MORTGAGE-BACKED SECURITIES (Cost — $4,191,406)		4,197,305


Notional Amount†/ Number of Contracts
	PURCHASED OPTIONS—0.2%
	United Kingdom — 0.0%
	40	^GBP			Option on 3-Month Sterling June Futures, Put @ $98.50, expires 6/21/2017, CSFB		—

	United States — 0.2%
	7,100,000				10-Year Swaption, 3-Month USD-LIBOR, Put @ 2.765%, expires 7/16/2018, JPM		57,845
	800,000				30-Year Swaption, 3-Month USD-LIBOR, Call @ 2.150%, expires 6/15/2018, DUB		115,529
	800,000				30-Year Swaption, 3-Month USD-LIBOR, Put @ 2.150%, expires 6/15/2018, DUB		42,595
	267				Option on 3-Month Eurodollar December Futures, Put @ $99.00, expires 12/19/2016, CSFB		36,712

					Total United States		252,681

					TOTAL PURCHASED OPTIONS (Cost — $261,109)		252,681

					TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $216,131,293)		221,085,087

See Notes to Financial Statements.

236



Schedules of Investments


(continued)


Inflation-Linked Fixed Income Fund

Face Amount†			Security	Value
	SHORT-TERM INVESTMENTS — 0.6%
	TIME DEPOSITS — 0.3%
			Banco Santander SA — Frankfurt:
	39,268	^EUR	(0.540%) due 9/1/16	$	43,808
$	385,953		0.150% due 9/1/16		385,953
			BBH — Grand Cayman:
	4,585	^DKK	(0.450%) due 9/1/16		687
	13,053	^GBP	0.050% due 9/1/16		17,140
	291	^AUD	0.689% due 9/1/16		219
	2	^NZD	1.250% due 9/1/16		1
	6,955,287	^JPY	Sumitomo — Tokyo, (0.390)% due 9/1/16		67,217

			TOTAL TIME DEPOSITS (Cost — $515,025)		515,025

	U.S. GOVERNMENT AGENCIES — 0.3%
			Federal Home Loan Bank Discount Notes:
	200,000		0.295% due 10/14/16(i)		199,930
	200,000		0.295% due 10/21/16(i)		199,918

			TOTAL U.S. GOVERNMENT AGENCIES (Cost — $399,848)		399,848

			TOTAL SHORT-TERM INVESTMENTS (Cost — $914,873)		914,873

			TOTAL INVESTMENTS — 139.5% (Cost — $217,046,166#)		221,999,960

			Liabilities in Excess of Other Assets — (39.5)%		(62,812,262	)

			TOTAL NET ASSETS — 100.0%	$	159,187,698

†	Face amount denominated in U.S. dollars, unless otherwise noted.

††	All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited.

(a)	Position, or portion thereof, has been segregated to collateralize reverse repurchase agreement.

(b)	All or a portion of this security is held at the broker as collateral for open OTC derivative instruments.

(c)	Rating by Moody’s Investors Service. All ratings are unaudited.

(d)	Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.

(e)	Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2016.

(f)	Security is valued in good faith at fair value by or under the direction of the Board of Trustees.

(g)	Rating by Fitch Ratings Service. All ratings are unaudited.

(h)	This security is traded on a TBA basis (see Note 1).

(i)	Rate shown represents yield-to-maturity.

#	Aggregate cost for federal income tax purposes is $218,406,686.


Abbreviations used in this schedule:
	OTC	— Over the Counter
	PLC	— Public Limited Company

See Notes to Financial Statements.

237



Schedules of Investments


(continued)


Inflation-Linked Fixed Income Fund


Summary of Investments by Security Type^
U.S. Government Obligations	84.1	%
Sovereign Bonds	6.3
Collateralized Mortgage Obligations	4.5
Corporate Bonds & Notes	2.7
Mortgage-Backed Securities	1.9
Purchased Options	0.1
Short-Term Investments	0.4

	100.0	%

^	As a percentage of total investments.

Schedule of Options Contracts Written



Notional Amount/ Number of Contracts			Security Name	Counterparty		Expiration Date		Strike Price		Value
	United Kingdom
	40	^GBP	3- Month Sterling June Futures, Put		CSFB		6/21/17	$	98.00	$	—
	United States
	300,000	^EUR	Markit iTraxx Europe Series 25 5-Year Index, Call		BCLY		9/21/16		0.65		159
	680,000	^EUR	OTC Euro versus U.S. Dollar, Call		JPM		9/15/16		1.17		39
	780,000	^EUR	OTC Euro versus U.S. Dollar, Put		SCB		11/16/16		1.09		6,061
	301,000	^EUR	OTC Euro versus U.S. Dollar, Call		JPM		11/16/16		1.15		1,652
	400,000		OTC U.S. Dollar versus Japanese Yen, Put		BNP		9/15/16	JPY	101.20		853
	250,000		OTC U.S. Dollar versus Japanese Yen, Call		DUB		9/22/16	JPY	110.00		152
	650,000		OTC U.S. Dollar versus Mexican Peso, Put		JPM		10/14/16	MXN	17.80		1,124
	8		US Treasury 10-Year Note October Futures, Put		CSFB		9/23/16		130.00		2,500
	8		US Treasury 10-Year Note October Futures, Call		CSFB		9/23/16		131.50		3,000

			Total United States								15,540

			TOTAL OPTIONS CONRACTS WRITTEN (Premiums received — $33,665)							$	15,540

During the period ended August 31, 2016, options contracts written transactions for Inflation-Linked Fixed Income Fund was as follows:


	Notional Amounts/ Number of Contracts			Premiums Received
Options contracts written, outstanding at March 8, 2016*	$	—		$	—
Options written		13,921,114			90,242
Options closed		(2,320,058	)		(32,217	)
Options expired		(8,240,000	)		(24,360	)

Options contracts written, outstanding at August 31, 2016	$	3,361,056		$	33,665

*	Inception date.

See Notes to Financial Statements.

238



Schedules of Investments


(continued)


Inflation-Linked Fixed Income Fund

Schedule of Reverse Repurchase Agreements



Face Amount		Security	Value
		Royal Bank of Scotland PLC:
$	5,649,750	0.610% due 10/12/16	$	5,649,750
	3,258,875	0.610% due 10/13/16		3,258,875
	837,000	0.610% due 10/14/16		837,000
	1,678,000	0.640% due 10/17/16		1,678,000
	618,000	0.650% due 10/17/16		618,000
	2,415,000	0.610% due 10/18/16		2,415,000
	14,175,000	0.650% due 10/24/16		14,175,000
		Merrill Lynch & Pierce, Fenner & Smith Inc.:
	530,625	0.300% due 9/2/16		530,625
	2,118,375	0.400% due 9/7/16		2,118,375
	141,750	0.650% due 10/18/16		141,750
	26,218,750	0.630% due 10/21/16		26,218,750

		TOTAL REVERSE REPURCHASE AGREEMENTS (Proceeds — $57,641,125)	$	57,641,125

For the period ended August 31, 2016, the average borrowing and interest rate under the reverse repurchase agreements were $19,018,630 and 0.590%, respectively.

At August 31, 2016, Inflation-Linked Fixed Income Fund had open exchange traded futures contracts as described below.

The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:


Open Futures Contracts	Number of Contracts		Expiration Date (Month/Year)		Market Value		Unrealized Appreciation/ (Depreciation)
Contracts to Buy:
90-Day Eurodollar December Futures		40		12/16	$	9,905,000	$	(5,754	)
Euro-Bund September Futures		3		9/16		560,187		5,009
U.S. Treasury 10-Year Note December Futures		19		12/16		2,487,516		6,065

								5,320

Contracts to Sell:
90-Day Eurodollar December Futures		53		12/17		13,101,600		20,095
Euro-Bobl September Futures		23		9/16		3,427,759		(33,702	)
Euro-BTP September Futures		5		9/16		811,599		(6,839	)
Euro-OAT September Futures		2		9/16		359,870		(7,575	)
U.S. Treasury 5-Year Note December Futures		48		12/16		5,820,000		11,625
United Kingdom Treasury 10-Year GILT December Futures		9		12/16		1,554,468		(2,784	)

								(19,180	)

Net Unrealized Depreciation on Open Exchange Traded Futures Contracts							$	(13,860	)

At August 31, 2016, Inflation-Linked Fixed Income Fund had deposited cash of $138,000 with a broker or brokers as margin collateral on open exchange traded futures contracts.

See Notes to Financial Statements.

239



Schedules of Investments


(continued)


Inflation-Linked Fixed Income Fund

At August 31, 2016, Inflation-Linked Fixed Income Fund had open forward foreign currency contracts as described below.

The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:


Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Contracts to Buy:
Brazilian Real		1,800,000		BNP	$	552,032		10/4/16	$	12,948
Brazilian Real		2,600,000		BNP		797,379		10/4/16		11,406
Brazilian Real		20,300,000		JPM		6,225,690		10/4/16		92,759
Euro		201,000		BNP		224,236		9/2/16		118
Euro		235,000		HSBC		262,166		9/2/16		(719	)
Indian Rupee		53,328,000		BCLY		786,882		11/10/16		(363	)
Mexican Peso		14,382,868		BNP		761,268		10/20/16		(32,331	)

										83,818

Contracts to Sell:
Australian Dollar		183,000		JPM		137,534		9/2/16		3,486
Brazilian Real		24,700,000		BNP		7,575,100		10/4/16		(898,522	)
Brazilian Real		2,800,000		BNP		814,419		4/4/17		(11,137	)
Brazilian Real		1,900,000		BNP		552,641		4/4/17		(12,454	)
Brazilian Real		21,600,000		JPM		6,282,660		4/4/17		(91,509	)
British Pound		877,000		JPM		1,153,431		11/14/16		(13,602	)
British Pound		467,000		SCB		614,199		11/14/16		(7,239	)
Danish Krone		1,730,000		HSBC		259,679		10/3/16		(2,828	)
Danish Krone		1,010,000		BNP		152,249		1/3/17		2,356
Euro		6,338,000		BNP		7,070,670		9/2/16		(37,936	)
Euro		5,902,000		BNP		6,593,736		10/4/16		5,379
Japanese Yen		32,000,000		JPM		309,253		9/2/16		3,614

										(1,060,392	)

Net Unrealized Depreciation on Open Forward Foreign Currency Contracts									$	(976,574	)

At August 31, 2016, Inflation-Linked Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:


Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date		Counterparty		Notional Amount		Unrealized (Depreciation)
Receive	6-Month JPY-LIBOR		1.500%		12/21/2045		CSFB	JPY	45,000,000	$	(23,260	)
Receive	3-Month USD-LIBOR		1.750%		12/21/2026		CSFB	USD	2,000,000		(21,114	)
Receive	3-Month USD-LIBOR		2.500%		02/22/2026		CSFB	USD	32,200,000		(711,950	)
Receive	6-Month GBP-LIBOR		1.750%		03/15/2047		CSFB	GBP	50,000		(5,690	)

										$	(762,014	)

See Notes to Financial Statements.

240



Schedules of Investments


(continued)


Inflation-Linked Fixed Income Fund

At August 31, 2016, Inflation-Linked Fixed Income Fund held the following OTC Inflation Rate Swap Contracts:


Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date		Counterparty		Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	2-Year EUR Inflation Linked		0.830%		05/15/2018		DUB	EUR	1,100,000	$	(2,589	)	$	—		$	(2,589	)
Receive	5-Year EUR Inflation Linked		0.806%		04/15/2021		BNP	EUR	1,000,000		1,896			—			1,896
Receive	5-Year EUR Inflation Linked		0.875%		05/15/2021		DUB	EUR	800,000		(100	)		—			(100	)
Receive	10-Year EUR Inflation Linked		1.090%		06/15/2026		BNP	EUR	100,000		(419	)		33			(452	)
Receive	10-Year EUR Inflation Linked		1.090%		06/15/2026		DUB	EUR	100,000		(419	)		(191	)		(228	)
Receive	10-Year EUR Inflation Linked		1.114%		08/15/2026		BNP	EUR	400,000		148			—			148
Pay	10-Year EUR Inflation Linked		1.178%		05/15/2026		DUB	EUR	200,000		2,541			(61	)		2,602
Receive	15-Year GBP Inflation Linked		3.140%		07/15/2031		DUB	GBP	2,900,000		(56,708	)		72,457			(129,165	)
Receive	1-Year USD Inflation Linked		1.550%		01/15/2017		JPM	USD	3,000,000		2,716			—			2,716
Pay	5-Year USD Inflation Linked		1.550%		07/26/2021		JPM	USD	400,000		302			—			302
Pay	10-Year USD Inflation Linked		1.730%		07/26/2026		JPM	USD	400,000		(1,329	)		—			(1,329	)
Receive	10-Year USD Inflation Linked		1.762%		08/30/2026		JPM	USD	1,500,000		3,014			—			3,014

										$	(50,947	)	$	72,238		$	(123,185	)

At August 31, 2016, Inflation-Linked Fixed Income Fund held the following OTC and Centrally Cleared Credit Default Swap Contracts:

OTC Credit Default Swaps on Corporate and Sovereign Issues — Sell Protection (1)


Reference Obligation	Fixed Deal Received Rate		Maturity Date		Counterparty		Implied Credit Spread at 8/31/16 (2)		Notional Amount (3)		Market Value			Upfront Premiums (Received)			Unrealized Appreciation
Brazil Government International Bond, BB		1.000%		06/20/2021		DUB		2.553%		USD 100,000	$	(6,751	)	$	(8,609	)	$	1,858
Brazil Government International Bond, BB		1.000%		06/20/2021		HSBC		2.553%		USD 800,000		(54,014	)		(55,500	)		1,486
Mexico Government International Bond, BBB+		1.000%		06/20/2021		DUB		1.360%		USD 200,000		(2,903	)		(4,828	)		1,925
Russian Foreign Bond — Eurobond, BB+		1.000%		06/20/2021		JPM		2.173%		USD 100,000		(5,103	)		(6,134	)		1,031

											$	(68,771	)	$	(75,071	)	$	6,300

Centrally Cleared — Credit Default Swaps on Indexes — Buy Protection (4)

Reference Obligation

Fixed Deal
(Pay) Rate

Maturity
Date

Counterparty

Implied Credit
Spread at
8/31/16 (2)

Notional
Amount (3)

Unrealized
(Depreciation)

CDX.IG-26 5-Year Index

(1.000%

)

06/20/2021

CSFB

0.000%

USD 1,000,000

(2,630

)

(1)

See Notes to Financial Statements.

241



Schedules of Investments


(continued)


Inflation-Linked Fixed Income Fund

(2)

(3)	The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(4)

At August 31, 2016, Inflation-Linked Fixed Income Fund deposited cash collateral with brokers in the amount of $802,000 for open centrally cleared swap contracts.

At August 31, 2016, Inflation-Linked Fixed Income Fund had cash collateral from brokers in the amount of $360,000 for open OTC swap contracts.


Currency Abbreviations used in this schedule:		Counterparty Abbreviations used in this schedule:
AUD	— Australian Dollar	BCLY	— Barclays Bank PLC
BRL	— Brazilian Real	BNP	— BNP Paribas SA
DKK	— Danish Krone	CITI	— Citigroup Global Markets Inc.
EUR	— Euro	CSFB	— Credit Suisse Securities (USA) LLC
GBP	— British Pound	DUB	— Deutsche Bank AG
JPY	— Japanese Yen	HSBC	— HSBC Bank USA
MXN	— Mexican Peso	JPM	— JPMorgan Chase & Co.
NZD	— New Zealand Dollar	SCB	— Standard Chartered Bank

See pages 250 and 251 for definitions of ratings.

See Notes to Financial Statements.

242



Schedules of Investments


(continued)


Ultra-Short Term Fixed Income Fund

Face Amount/Units†			Rating††	Security	Value
	CORPORATE BONDS & NOTES — 68.6%
	Airlines — 0.9%
$	474,356		BBB+	Northwest Airlines Inc. Class G-2 Pass Through Trust, Series 2002-1, Pass Thru Certificates, 6.264% due 11/20/21	$	515,839
	958,809		A	UAL Pass Through Trust, Series 2009-2A, Pass Thru Certificates, 9.750% due 1/15/17		986,374
						��
				Total Airlines		1,502,213

	Automobiles — 1.5%
	1,500,000		A-	Aviation Capital Group Corp., Senior Unsecured Notes, 4.625% due 1/31/18(a)(b)		1,561,875
	900,000		BBB-	Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes, 3.750% due 5/11/17(a)		913,975

				Total Automobiles		2,475,850

	Banks — 20.5%
	1,000,000		A-	American Express Centurion Bank, Senior Unsecured Notes, 5.950% due 6/12/17		1,036,133
				Bank of America Corp., Senior Unsecured Notes:
	1,300,000		BBB+	6.875% due 4/25/18		1,409,811
	1,000,000		BBB+	5.650% due 5/1/18		1,064,930
	2,500,000		Aaa(c)	Bank of Nova Scotia (The), Covered Notes, 1.950% due 1/30/17(a)		2,510,735
	400,000		AAA	Bank of Scotland PLC, Covered Notes, 5.250% due 2/21/17		408,070
	2,500,000		A	BPCE SA, Company Guaranteed Notes, 1.252% due 6/23/17(d)		2,504,280
				CIT Group Inc., Senior Unsecured Notes:
	200,000		BB+	4.250% due 8/15/17		204,000
	800,000		BB+	5.250% due 3/15/18		836,000
	800,000		BB+	5.500% due 2/15/19(a)		849,000
				Credit Suisse AG, Senior Unsecured Notes:
	2,000,000		A	1.442% due 1/29/18(d)		2,002,852
	1,250,000		A	1.700% due 4/27/18		1,251,201
	2,600,000		AA	Dexia Credit Local SA, Government Liquid Guaranteed Notes, 1.242% due 3/23/18(a)(d)		2,607,101
	300,000		A	HSBC Holdings PLC, Senior Unsecured Notes, 2.901% due 3/8/21(d)		313,901
	2,000,000		A	HSBC USA Inc., Senior Unsecured Notes, 1.700% due 3/5/18		2,003,010
	500,000		A	ING Bank NV, Senior Unsecured Notes, 1.777% due 3/22/19(a)(d)		507,471
	1,500,000		BBB-	Intesa Sanpaolo SpA, Company Guaranteed Notes, 2.375% due 1/13/17		1,502,919
				Lloyds Bank PLC, Company Guaranteed Notes:
	200,000		A	1.175% due 3/16/18(d)		199,592
	1,250,000		A	1.750% due 5/14/18		1,249,715
	1,400,000		BBB-	Rabobank Capital Funding Trust III, Company Guaranteed Notes, 5.254% (a)(d)(e)		1,401,148
	19,000,000	^DKK	AAA	Realkredit Danmark AS, Covered Notes, 2.000% due 1/1/17		2,870,220
	800,000		BB+	Royal Bank of Scotland PLC (The), Subordinated Notes, 9.500% due 3/16/22(d)		830,199
	2,800,000		BBB+	Santander Holdings USA Inc., Senior Unsecured Notes, 2.275% due 11/24/17(d)		2,817,730
	1,400,000		A+	Shinhan Bank, Senior Unsecured Notes, 4.375% due 7/27/17(a)		1,437,090
	1,300,000		A+	Suncorp-Metway Ltd., Senior Unsecured Notes, 1.700% due 3/28/17(a)		1,303,199
	200,000		A+	UBS AG, Senior Unsecured Notes, 1.340% due 3/26/18(d)		200,694

				Total Banks		33,321,001

	Beverages — 0.6%
	1,000,000		A-	SABMiller Holdings Inc., Company Guaranteed Notes, 1.447% due 8/1/18(a)(b)(d)		1,000,124

	Building Products — 0.9%
	1,400,000		B+	USG Corp., Senior Unsecured Notes, 9.500% due 1/15/18		1,540,000

	Capital Market — 2.0%
	2,285,000		BBB+	Goldman Sachs Group Inc. (The), Senior Unsecured Notes, 1.853% due 9/15/20(d)		2,310,279
	1,000,000		A-	UBS Group Funding Jersey Ltd., Company Guaranteed Notes, 2.453% due 4/14/21(a)(d)		1,016,242

				Total Capital Market		3,326,521

	Commercial Services & Supplies — 0.5%
	800,000		BBB+	ERAC USA Finance LLC, Company Guaranteed Notes, 6.375% due 10/15/17(a)		841,649

See Notes to Financial Statements.

243



Schedules of Investments


(continued)


Ultra-Short Term Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Consumer Finance — 9.5%
$	100,000	BB+	Ally Financial Inc., Senior Unsecured Notes, 2.750% due 1/30/17	$	100,150
			Daimler Finance North America LLC, Company Guaranteed Notes:
	1,900,000	A-	1.375% due 8/1/17(a)		1,904,385
	1,000,000	A-	1.469% due 8/3/17(a)(d)		1,003,494
			Ford Motor Credit Co. LLC, Senior Unsecured Notes:
	800,000	BBB	1.270% due 3/27/17(d)		800,622
	1,420,000	BBB	1.181% due 9/8/17(d)		1,418,137
	900,000	BBB	2.375% due 1/16/18		909,008
			General Motors Financial Co., Inc., Company Guaranteed Notes:
	1,400,000	BBB-	4.750% due 8/15/17		1,442,685
	1,500,000	BBB-	6.750% due 6/1/18		1,624,528
	1,300,000	A-	Hyundai Capital Services Inc., Senior Unsecured Notes, 3.500% due 9/13/17(a)		1,327,343
			Nissan Motor Acceptance Corp., Senior Unsecured Notes:
	2,000,000	A-	1.456% due 4/6/18(a)(d)		1,999,840
	350,000	A-	1.671% due 3/8/19(a)(d)		351,552
	1,000,000	BBB	RCI Banque SA, Senior Unsecured Notes, 3.500% due 4/3/18(a)		1,028,892
	1,000,000	BBB+	Volkswagen Group of America Finance LLC, Company Guaranteed Notes, 1.187% due 5/23/17(a)(d)		997,835
	500,000	BBB+	Volkswagen International Finance NV, Company Guaranteed Notes, 1.241% due 11/18/16(a)(d)		499,945

			Total Consumer Finance		15,408,416

	Diversified Financial Services — 8.3%
	1,250,000	A-	American Express Credit Corp., Senior Unsecured Notes, 1.558% due 11/5/18(d)		1,258,539
			Bear Stearns Cos. LLC (The), Company Guaranteed Notes:
	1,100,000	A-	6.400% due 10/2/17		1,158,998
	500,000	A-	7.250% due 2/1/18		540,086
	90,000	A3(c)	4.650% due 7/2/18		95,066
	2,100,000	BBB+	Citigroup Inc., Senior Unsecured Notes, 2.031% due 10/26/20(d)		2,114,049
			International Lease Finance Corp.:
	600,000	BBB-	Senior Secured Notes, 7.125% due 9/1/18(a)		661,554
			Senior Unsecured Notes:
	500,000	BBB-	8.750% due 3/15/17		518,800
	400,000	BBB-	6.250% due 5/15/19		436,280
			LeasePlan Corp. NV, Senior Unsecured Notes:
	800,000	BBB-	3.000% due 10/23/17(a)		807,749
	200,000	BBB-	2.500% due 5/16/18(a)		201,043
	2,300,000	BBB	Macquarie Group Ltd., Senior Unsecured Notes, 1.759% due 1/31/17(a)(d)		2,303,142
	1,200,000	NR	Mitsubishi UFJ Lease & Finance Co., Ltd., Senior Unsecured Notes, 1.736% due 2/20/19(d)		1,197,886
			Navient Corp., Senior Unsecured Notes:
	500,000	BB-	6.000% due 1/25/17		507,990
	700,000	BB-	5.500% due 1/15/19		721,000
	900,000	BBB+	Nomura Holdings Inc., Senior Unsecured Notes, 2.000% due 9/13/16		902,900

			Total Diversified Financial Services		13,425,082

	Diversified Telecommunication Services — 1.4%
	800,000	BBB+	AT&T Inc., Senior Unsecured Notes, 1.561% due 6/30/20(d)		807,954
	1,400,000	BBB	Telefonica Emisiones SAU, Company Guaranteed Notes, 6.221% due 7/3/17		1,455,194

			Total Diversified Telecommunication Services		2,263,148

	Electric Utilities — 2.8%
	1,400,000	A-	Abu Dhabi National Energy Co. PJSC, Senior Unsecured Notes, 5.875% due 10/27/16		1,433,600
	1,650,000	BBB	Appalachian Power Co., Senior Unsecured Notes, 5.000% due 6/1/17		1,693,509
	1,300,000	BBB	CMS Energy Corp., Senior Unsecured Notes, 6.550% due 7/17/17		1,358,761

			Total Electric Utilities		4,485,870

See Notes to Financial Statements.

244



Schedules of Investments


(continued)


Ultra-Short Term Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Energy Equipment & Services — 1.8%
$	400,000	BBB-	Energy Transfer Partners LP, Senior Unsecured Notes, 6.125% due 2/15/17	$	408,103
	1,000,000	BBB-	Hiland Partners LP/Hiland Partners Finance Corp., Company Guaranteed Notes, 7.250% due 10/1/20(a)		1,037,500
	1,400,000	BBB	Plains All American Pipeline LP/PAA Finance Corp., Senior Unsecured Notes, 6.125% due 1/15/17		1,423,068

			Total Energy Equipment & Services		2,868,671

	Health Care Providers & Services — 0.9%
	1,500,000	A	Anthem Inc., Senior Unsecured Notes, 2.375% due 2/15/17		1,507,219

	Hotels, Restaurants & Leisure — 1.5%
	800,000	BB-	MGM Resorts International, Company Guaranteed Notes, 8.625% due 2/1/19		909,000
	1,500,000	BBB-	Wyndham Worldwide Corp., Senior Unsecured Notes, 2.950% due 3/1/17		1,508,586

			Total Hotels, Restaurants & Leisure		2,417,586

	Insurance — 0.8%
			American International Group Inc., Senior Unsecured Notes:
	700,000	A-	6.400% due 12/15/20		824,861
	500,000	A-	3.300% due 3/1/21		525,440

			Total Insurance		1,350,301

	Media — 1.9%
	1,400,000	BBB	Time Warner Cable Inc., Senior Secured Notes, 6.750% due 7/1/18		1,526,685
	1,500,000	BBB-	Viacom, Inc., Senior Unsecured Notes, 2.200% due 4/1/19		1,505,866

			Total Media		3,032,551

	Metals & Mining — 0.4%
	700,000	BBB+	Goldcorp Inc., Senior Unsecured Notes, 2.125% due 3/15/18		702,203

	Oil, Gas & Consumable Fuels — 8.0%
	1,500,000	A-	BP Capital Markets PLC, Company Guaranteed Notes, 1.317% due 5/10/18(d)		1,506,495
	1,800,000	A+	CNOOC Nexen Finance 2014 ULC, Company Guaranteed Notes, 1.625% due 4/30/17		1,803,280
			ConocoPhillips, Company Guaranteed Notes:
	1,000,000	A-	5.750% due 2/1/19		1,094,526
	1,000,000	A-	1.717% due 5/15/22(d)		977,533
	1,000,000	BBB-	Kinder Morgan Inc., Company Guaranteed Notes, 7.000% due 6/15/17		1,038,168
	1,600,000	BBB+	National Grid North America Inc., Senior Unsecured Notes, 1.451% due 8/21/17(d)		1,596,307
	1,200,000	BBB+	Petroleos Mexicanos, Company Guaranteed Notes, 5.750% due 3/1/18		1,264,200
	1,400,000	BBB-	Pioneer Natural Resources Co., Senior Unsecured Notes, 6.650% due 3/15/17		1,431,815
	800,000	AA-	Schlumberger Investment SA, Company Guaranteed Notes, 1.950% due 9/14/16(a)		802,152
	400,000	BBB-	Southern Natural Gas Co. LLC, Company Guaranteed Notes, 5.900% due 4/1/17(a)		410,154
	1,100,000	A+	Statoil ASA, Company Guaranteed Notes, 0.992% due 11/9/17(d)		1,100,264

			Total Oil, Gas & Consumable Fuels		13,024,894

	Pharmaceuticals — 2.2%
	2,200,000	BBB	Actavis Funding SCS, Company Guaranteed Notes, 1.850% due 3/1/17		2,206,052
	1,300,000	BBB-	Baxalta Inc., Company Guaranteed Notes, 1.427% due 6/22/18(d)		1,295,600

			Total Pharmaceuticals		3,501,652

	Technology Hardware, Storage & Peripherals — 0.8%
	1,200,000	BBB-	Diamond 1 Finance Corp./Diamond 2 Finance Corp., Senior Secured Notes, 3.480% due 6/1/19(a)		1,235,614

	Tobacco — 0.8%
	1,300,000	BBB	Reynolds American Inc., Company Guaranteed Notes, 2.300% due 6/12/18		1,321,003

	Transportation Infrastructure — 0.3%
	400,000	BBB-	Asciano Finance Ltd., Company Guaranteed Notes, 5.000% due 4/7/18(a)(b)		414,041

See Notes to Financial Statements.

245



Schedules of Investments


(continued)


Ultra-Short Term Fixed Income Fund

Face Amount/Units†		Rating††	Security	Value
	Wireless Telecommunication Services — 0.3%
$	500,000	B	Sprint Communications Inc., Senior Unsecured Notes, 8.375% due 8/15/17	$	522,005

			TOTAL CORPORATE BONDS & NOTES (Cost — $110,961,373)		111,487,614

	COLLATERALIZED MORTGAGE OBLIGATIONS — 17.2%
	179,144	AAA	American Home Mortgage Investment Trust, Series 2004-4, Class 2A1, 1.104% due 2/25/45(d)		176,392
	770,048	AAA	AMMC CLO X Ltd., Series 2012-10A, Class A, 2.155% due 4/11/22(a)(d)		772,421
	1,200,000	(P)AAA	Ares XXV CLO Ltd., Series 2012-3A, Class AR, 1.835% due 1/17/24(a)(b)(d)		1,200,000
	1,000,000	AAA	BAMLL Commercial Mortgage Securities Trust, Series 2015-ASHF, Class A, 1.728% due 1/15/28(a)(d)		1,001,302
	1,596,019	AA+	Bear Stearns ALT-A Trust, Series 2004-10, Class 2A1, 1.184% due 9/25/34(d)		1,528,495
	777,937	AAA	CD Commercial Mortgage Trust, Series 2007-CD4, Class A1A, 5.289% due 12/11/49(d)		784,820
	1,300,000	A+	Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4FL, 0.808% due 12/10/49(a)(d)		1,288,581
	399,305	Aaa(c)	Colony Starwood Homes Trust, Series 2016-1A, Class A, 2.007% due 7/17/33(a)(d)		401,975
	555,618	Aa2(c)	Credit Suisse Commercial Mortgage Trust, Series 2007-C1, Class A1A, 5.361% due 2/15/40		558,981
	700,000	A	Eagle I Ltd., Series 2014-1A, Class A1, 2.570% due 12/15/39(a)(b)		692,782
	1,137,835	AAA	Flatiron CLO Ltd., Series 2011-1A, Class A, 2.230% due 1/15/23(a)(d)		1,139,503
	457,242	AAA	FNBA Mortgage Loan Trust, Series 2004-AR1, Class A2, 0.914% due 8/19/34(d)		446,334
	1,000,000	AAA	Fortress Credit BSL Ltd., Series 2013-1A, Class A, 1.868% due 1/19/25(a)(d)		997,174
	500,000	NR	GCAT LLC, Series 2016-1, Class A1, step bond to yield, 4.500% due 3/25/21(a)		503,377
	2,958,328	NR	Government National Mortgage Association (GNMA), Series 2016-H06, Class FD, 1.388% due 7/20/65(d)		2,982,650
	400,000	AAA	JMP Credit Advisors CLO II Ltd., Series 2013-1A, Class A, 1.860% due 4/30/23(a)(b)(d)		399,084
	1,024,652	AA+	JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-CB18, Class A4, 5.440% due 6/12/47		1,032,186
	1,118,119	A	Morgan Stanley Capital I Trust, Series 2007-IQ14, Class A1A, 5.665% due 4/15/49(d)(h)		1,138,622
	1,500,000	AAA	Neuberger Berman CLO XII Ltd., Series 2012-12A, Class A2RR, 1.931% due 7/25/23(a)(d)		1,499,367
	800,000	AAA	Palmer Square Loan Funding Ltd., Series 2016-2A, Class A1, 1.980% due 6/21/24(a)(d)		800,033
	1,182,038	AAA	RBSSP Resecuritization Trust, Series 2009-12, Class 16A1, 2.670% due 10/25/35(a)(d)		1,195,524
	1,289,065	AAA	Telos CLO Ltd., Series 2016-7A, Class A, 2.329% due 4/17/25(a)(d)		1,292,301
	925,299	NR	Vericrest Opportunity Loan Trust, Series 2016-NPL3, Class A1, step bond to yield, 4.250% due 3/26/46(a)		937,315
	1,500,000	NR	VOLT XLVIII LLC, Series 2016-NPL8, Class A1, step bond to yield, 3.500% due 7/25/46(a)		1,502,649
			Wachovia Bank Commercial Mortgage Trust:
	811,360	AAA	Series 2007-C31, Class A4, 5.509% due 4/15/47		820,391
	1,300,000	A+	Series 2007-C32, Class A4FL, 0.682% due 6/15/49(a)(d)		1,284,078
	1,653,997	AA	WaMu Mortgage Pass Through Certificates Trust, Series 2005-AR13, Class A1A1, 0.814% due 10/25/45(d)		1,575,374

			TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $27,828,224)		27,951,711

	U.S. GOVERNMENT OBLIGATION — 6.8%
	10,910,368		U.S. Treasury Inflation Indexed Notes, 0.125% due 4/15/20 (Cost — $11,142,395)		11,020,792

	SOVEREIGN BONDS — 5.4%
	Japan — 1.9%
	3,000,000	A+	Japan Finance Organization for Municipalities, 2.500% due 9/12/18(a)		3,053,679

	South Korea — 3.5%
	3,000,000	AA	Export-Import Bank of Korea, 1.423% due 1/14/17(d)		3,004,464
	1,400,000	AA	Korea Development Bank (The), 2.250% due 8/7/17		1,410,927
	1,300,000	AA	Korea Land & Housing Corp., 1.875% due 8/2/17(a)		1,305,135

			Total South Korea		5,720,526

			TOTAL SOVEREIGN BONDS (Cost — $8,782,695)		8,774,205

See Notes to Financial Statements.

246



Schedules of Investments


(continued)


Ultra-Short Term Fixed Income Fund

Face Amount/Units†			Rating††	Security	Value
	SENIOR LOAN — 0.7%
$	1,200,000		NR	Energy Future Intermediate Holding Co. LLC, 4.250% due 12/19/16 (Cost — $1,200,000)	$	1,206,450

	CERTIFICATE OF DEPOSIT — 0.6%
	1,000,000			Sumitomo Mitsui Banking Corp.(d) (Cost — $997,460)		993,500

	ASSET-BACKED SECURITY — 0.3%
	Student Loans — 0.3%
	400,000		Aaa(c)	Navient Student Loan Trust, Series 2016-5A, Class A, 1.737% due 6/25/65 (Cost — $400,000)(a)(d)		400,499

				TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $161,312,147)		161,834,771


Face Amount†
	SHORT-TERM INVESTMENTS — 12.1%
	COMMERCIAL PAPER — 1.7%
	500,000			Eni Finance USA Inc., 1.730% due 7/14/17(f)		492,539
	1,300,000			Thermo Fisher Scientific Inc., 1.556% due 10/11/16(f)		1,297,761
	1,000,000			Thomson Reuters Corp., 1.052% due 10/17/16(f)		998,658

				TOTAL COMMERCIAL PAPER (Cost — $2,788,958)		2,788,958

	REPURCHASE AGREEMENT — 1.2%
$	1,900,000			Nomura Securities Fixed Income repurchase agreement dated 8/31/16, 0.540% due 9/1/16, Proceeds at maturity - $1,900,029; (Fully collateralized by U.S. Treasury Note, 1.175%, due 1/31/23; Market Valued - $1,938,138)(f) (Cost — $1,900,000)		1,900,000

	TIME DEPOSITS — 0.4%
				BBH — Grand Cayman:
	4,643	^DKK		(0.450%) due 9/1/16		696
	39,018	^JPY		(0.390%) due 9/1/16		377
	610	^CAD		0.050% due 9/1/16		465
	324	^AUD		0.689% due 9/1/16		243
				BNP Paribas — Paris:
	68,483	^EUR		(0.540%) due 9/1/16		76,400
	503,425			0.150% due 9/1/16		503,425

				TOTAL TIME DEPOSITS (Cost — $581,606)		581,606

	U.S. GOVERNMENT OBLIGATIONS — 8.8%
				U.S. Treasury Bills:
	31,000			0.301% due 10/13/16(f)(g)		30,989
	14,300,000			0.264% due 11/3/16(f)		14,293,399

				TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $14,324,388)		14,324,388

				TOTAL SHORT-TERM INVESTMENTS (Cost — $19,594,952)		19,594,952

				TOTAL INVESTMENTS — 111.7% (Cost — $180,907,099#)		181,429,723

				Liabilities in Excess of Other Assets — (11.7)%		(18,975,991	)

				TOTAL NET ASSETS — 100.0%	$	162,453,732

See Notes to Financial Statements.

247



Schedules of Investments


(continued)


Ultra-Short Term Fixed Income Fund

†	Face amount denominated in U.S. dollars, unless otherwise noted.

††	All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited.

(a)	Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.

(b)	Illiquid security.

(c)	Rating by Moody’s Investors Service. All ratings are unaudited.

(d)	Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2016.

(e)	Security is perpetual in nature and has no stated maturity date.

(f)	Rate shown represents yield-to-maturity.

(g)	All or a portion of this security is held at the broker as collateral for open OTC derivative instruments.

(h)	Affiliated security (See Note 2).

#	Aggregate cost for federal income tax purposes is $181,246,695.


Abbreviations used in this schedule:
CLO		— Collateralized Loan Obligation
OTC		— Over The Counter
PLC		— Public Limited Company


Summary of Investments by Security Type^
Corporate Bonds & Notes	61.5	%
Collateralized Mortgage Obligations	15.4
U.S. Government Obligations	6.1
Sovereign Bonds	4.8
Senior Loans	0.7
Certificate of Deposits	0.5
Asset-Backed Securities	0.2
Short-Term Investments	10.8

	100.0	%

^	As a percentage of total investments.

At August 31, 2016, Ultra-Short Term Fixed Income Fund had open exchange traded futures contracts as described below.

The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:


Open Futures Contracts	Number of Contracts		Expiration Date (Month/Year)		Market Value		Unrealized Appreciation/ (Depreciation)
Contracts to Sell:
90-Day Eurodollar December Futures		191		12/19	$	47,093,438	$	(89,689	)
90-Day Eurodollar March Futures		118		3/18		29,162,225		41,300
90-Day Eurodollar March Futures		50		3/19		12,341,250		(53,125	)
U.S. Treasury 5-Year Note December Futures		135		12/16		16,368,750		32,695

							$	(68,819	)

At August 31, 2016, Ultra-Short Term Fixed Income Fund had deposited cash of $325,000 with a broker or brokers as margin collateral on open exchange traded futures contracts.

See Notes to Financial Statements.

248



Schedules of Investments


(continued)


Ultra-Short Term Fixed Income Fund

At August 31, 2016, Ultra-Short Term Fixed Income Fund had open forward foreign currency contracts as described below.

The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:


Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Contracts to Buy:
Canadian Dollar		944,000		SCB	$	719,924		9/2/16	$	(4,590	)

Contracts to Sell:
Australian Dollar		3,254,000		JPM		2,445,543		9/2/16		61,993
Australian Dollar		841,000		JPM		632,053		9/2/16		17,353
Canadian Dollar		4,123,000		JPM		3,144,328		9/2/16		(13,932	)
Canadian Dollar		3,179,000		SCB		2,424,822		10/4/16		1,706
Danish Krone		400,000		HSBC		60,297		1/3/17		1,106
Danish Krone		19,000,000		HSBC		2,864,099		1/3/17		(7,983	)
Euro		3,699,000		BNP		4,126,603		9/2/16		(22,141	)
Euro		3,699,000		BNP		4,132,536		10/4/16		3,371
Japanese Yen		3,700,000		JPM		35,757		9/2/16		418

										41,891

Net Unrealized Appreciation on Open Forward Foreign Currency Contracts									$	37,301


Currency Abbreviations used in this schedule:		Counterparty Abbreviations used in this schedule:
AUD	— Australian Dollar	BNP	— BNP Paribas SA
CAD	— Canadian Dollar	HSBC	— HSBC Bank USA
DKK	— Danish Krone	JPM	— JPMorgan Chase & Co.
EUR	— Euro	SCB	— Standard Chartered Bank
JPY	— Japanese Yen

See pages 250 and 251 for definitions of ratings.

See Notes to Financial Statements.

249



Ratings

The definitions of the applicable rating symbols are set forth below:

Standard & Poor’s Ratings Service (“Standard & Poor’s”) — Ratings from “AA” to “CCC” may be modified by the addition of a plus (+) or minus (-) sign to show relative standings within the major rating categories.


AAA		— Bonds rated “AAA” have the highest rating assigned by Standard & Poor’s. Capacity to pay interest and repay principal is extremely strong.
AA		— Bonds rated “AA” have a very strong capacity to pay interest and repay principal and differ from the highest rated issues only in a small degree.
A		— Bonds rated “A” have a strong capacity to pay interest and repay principal although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories.
BBB		— Bonds rated “BBB” are regarded as having an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for bonds in this category than in higher rated categories.
BB, B, CCC, CC and C		— Bonds rated “BB”, “B”, “CCC”, “CC” and “C” are regarded, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. “BB” represents the lowest degree of speculation and “C” the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions.
D		— Bonds rated “D” are in default and payment of interest and/or repayment of principal is in arrears.
P		— Preliminary rating.
u		— The upgrade state defines bonds that have recently been upgraded into higher rating categories.

Moody’s Investors Service (“Moody’s”) — Numerical modifiers 1, 2 and 3 may be applied to each generic rating from “Aa” to “Caa,” where 1 is the highest and 3 the lowest ranking within its generic category.


Aaa		— Bonds rated “Aaa” are judged to be of the best quality. They carry the smallest degree of investment risk and are generally referred to as “gilt edge.” Interest payments are protected by a large or by an exceptionally stable margin and principal is secure. While the various protective elements are likely to change, such changes as can be visualized are most unlikely to impair the fundamentally strong position of such issues.
Aa		— Bonds rated “Aa” are judged to be of high quality by all standards. Together with the “Aaa” group they comprise what are generally known as high grade bonds. They are rated lower than the best bonds because margins of protection may not be as large as in “Aaa” securities or fluctuation of protective elements may be of greater amplitude or there may be other elements present which make the long-term risks appear somewhat larger than in “Aaa” securities.
A		— Bonds rated “A” possess many favorable investment attributes and are to be considered as upper medium grade obligations. Factors giving security to principal and interest are considered adequate but elements may be present which suggest a susceptibility to impairment some time in the future.
Baa		— Bonds rated “Baa” are considered as medium grade obligations, i.e., they are neither highly protected nor poorly secured. Interest payments and principal security appear adequate for the present but certain protective elements may be lacking or may be characteristically unreliable over any great length of time. Such bonds lack outstanding investment characteristics and in fact have speculative characteristics as well.
Ba		— Bonds rated “Ba” are judged to have speculative elements; their future cannot be considered as well assured. Often the protection of interest and principal payments may be very moderate and therefore not well safeguarded during both good and bad times over the future. Uncertainty of position characterizes bonds in this class.
B		— Bonds rated “B” generally lack characteristics of desirable investments. Assurance of interest and principal payments or of maintenance of other terms of the contract over any long period of time may be small.
Caa		— Bonds rated “Caa” are of poor standing. These may be in default, or present elements of danger may exist with respect to principal or interest.
Ca		— Bonds rated “Ca” represent obligations which are speculative in a high degree. Such issues are often in default or have other marked short-comings.
C		— Bonds rated “C” are the lowest class of bonds and issues so rated can be regarded as having extremely poor prospects of ever attaining any real investment standing.
e		— Expected.
u		— Upgraded

Fitch Ratings Service (“Fitch”) — Ratings from “AA” to “CCC” may be modified by the addition of a plus (+) or minus (-) sign to show relative standings within the major rating categories.


AAA		— Bonds rated “AAA” have the highest rating assigned by Fitch. Capacity to pay interest and repay principal is extremely strong.
AAApre		— Stable Outlook rating is based on the pledge of securities in the escrow deposit fund securing the bonds and reflects the lien of the refunded bondholders on the escrow trust funds and that all amounts have been invested in direct non-callable obligations of the United States.
AA		— Bonds rated “AA” have a very strong capacity to pay interest and repay principal and differ from the highest rated issues only in a small degree.
A		— Bonds rated “A” have a strong capacity to pay interest and repay principal although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories.
BBB		— Bonds rated “BBB” are regarded as having an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for bonds in this category than in higher rated categories.

250



Ratings


(continued)


BB, B, CCC, CC and C		— Bonds rated “BB”, “B”, “CCC”, “CC” and “C” are regarded, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. “BB” represents a lower degree of speculation than “B”, and “CC” the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions.
D		— Bonds rated “D” are in default and payment of interest and/or repayment of principal is in arrears.
NR		— Indicates that the bond is not rated by Standard & Poor’s, Moody’s, or Fitch.
WD		— Indicates that the bonds rating has been withdrawn and the issuer is no longer rated by Standard & Poor’s, Moody’s or Fitch.

Short-Term Security Ratings


SP-1		— Standard & Poor’s highest rating indicating very strong or strong capacity to pay principal and interest; those issues determined to possess overwhelming safety characteristics are denoted with a plus (+) sign.
A-1		— Standard & Poor’s highest commercial paper and variable-rate demand obligation (VRDO) rating indicating that the degree of safety regarding timely payment is either overwhelming or very strong; those issues determined to possess overwhelming safety characteristics are denoted with a plus (+) sign.
VMIG 1		— Moody’s highest rating for issues having a demand feature — VRDO.
MIG1		— Moody’s highest rating for short-term municipal obligations.
P-1		— Moody’s highest rating for commercial paper and for VRDO prior to the advent of the VMIG 1 rating.
F-1		— Fitch’s highest rating indicating the strongest capacity for timely payment of financial commitments; those issues determined to possess overwhelming strong credit feature are denoted with a plus (+) sign.

251



Statements of Assets and Liabilities


August 31, 2016


	Large Cap Equity Fund			Small-Mid Cap Equity Fund			International Equity Fund
ASSETS:
Unaffiliated investments, at value^1,3	$	1,710,678,332		$	489,234,515		$	1,124,054,461
Affiliated investments, at value²		1,843,290			—			—
Foreign currency, at value⁴		—			12,348			197,019
Cash		6,957,753			2,358,366			69,334
Receivable for securities sold		10,039,997			5,493,376			682,135
Dividends and interest receivable from unaffiliated investments		2,987,458			368,969			4,269,306
Dividends and interest receivable from affiliated investments		—			—			—
Receivable for Fund shares sold		3,027,004			1,145,674			2,791,085
Unrealized appreciation on open forward foreign currency contracts (Note 1)		—			—			—
Variation margin on open future contracts (Note 1)		—			—			—
Variation margin on open swap contracts (Note 1)		—			—			—
Swap contracts, at value (Note 1)		—			—			—
Deposits with counterparty		—			—			—
Foreign capital gains tax receivable		—			—			—
Prepaid expenses		37,618			22,608			30,139
Organizational expenses		—			—			—
Other assets		—			—			—

Total Assets		1,735,571,452			498,635,856			1,132,093,479

LIABILITIES:
Payable for reverse repurchase agreements		—			—			—
Payable for collateral received from securities on loan		17,790,848			18,447,756			4,174,893
Payable for Fund shares repurchased		4,697,628			1,341,543			3,370,063
Payable for securities purchased		2,776,675			3,313,233			1,193,426
Investment management fee payable		568,732			201,854			555,535
Transfer agent fees payable		77,263			16,153			54,930
Interest expense payable		—			—			—
Custody fee payable		212,826			51,037			295,283
Trustees’ fees payable		4,503			411			2,724
Variation margin on open future contracts (Note 1)		—			—			—
Due to custodian⁴		—			—			—
Forward sale commitments, at value⁵ (Note 1)		—			—			—
Options contracts written, at value⁶ (Note 1)		—			—			—
Swap contracts, at value (Note 1)		—		��	—			—
Unrealized depreciation on open forward foreign currency contracts (Note 1)		—			—			—
Deposits from counterparty		—			—			—
Foreign capital gains tax payable		—			—			28,227
Distributions payable		—			—			—
Accrued expenses		57,056			71,912			75,374
Other liabilities		—			—			—

Total Liabilities		26,185,531			23,443,899			9,750,455

Total Net Assets	$	1,709,385,921		$	475,191,957		$	1,122,343,024

NET ASSETS:
Par value (Note 4)	$	100,207		$	27,306		$	103,603
Paid-in capital in excess of par value		1,341,901,623			415,336,243			1,374,935,964
Undistributed net investment income		14,971,956			723,744			25,314,228
Accumulated net realized gain (loss) on investments, futures contracts, options contracts written, forward sale commitments, swap contracts and foreign currency transactions		(12,440,149	)		(1,725,730	)		(329,936,552	)
Net unrealized appreciation (depreciation) on investments, futures contracts, options contracts written, forward sale commitments, swap contracts and foreign currency transactions		364,852,284			60,830,394			51,925,781

Total Net Assets	$	1,709,385,921		$	475,191,957		$	1,122,343,024

Shares Outstanding		100,207,243			27,305,829			103,603,425

Net Asset Value	$	17.06		$	17.40		$	10.83

¹ Unaffiliated investments, at cost	$	1,346,280,316		$	428,404,046		$	1,072,022,031

² Affiliated investments, at cost	$	1,389,022		$	—		$	—

³ Includes securities on loan	$	17,248,178		$	17,872,527		$	3,917,121

⁴ Foreign currency/Due to custodian, at cost	$	—		$	12,424		$	199,606

⁵ Proceeds	$	—		$	—		$	—

⁶ Premiums received	$	—		$	—		$	—

See Notes to Financial Statements.

252


Emerging Markets Equity Fund			Core Fixed Income Fund		High Yield Fund			International Fixed Income Fund			Municipal Bond Fund		Inflation-Linked Fixed Income Fund			Ultra-Short Term Fixed Income Fund

$	431,363,307		$	777,984,436	$	334,282,756		$	229,626,420		$	68,820,050	$	221,999,960		$	180,291,101
	—			1,535,520		—			—			—		—			1,138,622
	929,886			571,312		—			56,778			—		9,843			—
	2,402			2,152		—			3,410			382		688,107			1,052,611
	1,141,018			34,546,683		1,731,967			52,225,480			—		4,445,760			1,905,164
	474,050			3,964,272		5,869,913			1,323,411			621,986		406,560			1,002,299
	—			2,963		—			—			—		—			5,278
	883,034			2,569,765		849,748			360,351			174,107		769,262			768,054
	—			199,247		—			1,664,139			—		132,066			85,947
	43,972			133,660		—			—			—		162			—
	—			23,840		—			229,810			—		135,992			90,354
	—			—		—			613,469			—		10,617			—
	—			1,174,741		—			3,421,000			—		940,000			325,000
	127,446			—		—			—			—		—			—
	18,109			24,494		15,260			16,754			13,661		—			—
	—			—		—			—			—		52,453			51,140
	—			—		—			—			—		3,230			1,753

	434,983,224			822,733,085		342,749,644			289,541,022			69,630,186		229,594,012			186,717,323


	—			—		—			16,608,550			—		57,641,125			—
	3,683,541			20,555,472		13,683,734			557,865			—		—			—
	1,195,815			1,563,785		866,670			375,669			327,772		552,477			358,059
	1,517,226			72,874,500		3,148,342			69,298,611			—		10,414,002			23,720,663
	218,111			242,372		141,335			74,237			24,758		64,219			65,849
	14,223			31,492		5,537			7,054			2,469		—			—
	—			—		—			3,673			—		32,090			—
	185,463			265,904		84,016			137,953			39,120		81,799			64,134
	561			23,162		4,459			510			2,514		298			275
	—			—		—			21,811			—		—			1,197
	—			—		2,449			—			—		—			23
	—			4,736,777		—			5,416,992			—		—			—
	—			49,938		—			271,144			—		15,540			—
	—			—		—			1,668,940			—		130,335			—
	—			228,474		—			2,839,967			—		1,108,640			48,646
	—			—		—			550,000			—		360,000			—
	—			—		—			—			—		—			—
	—			3,295		2,997			—			227		2,231			852
	114,408			59,920		27,900			35,429			21,216		—			3,893
	—			—		—			—			—		3,558			—

	6,929,348			100,635,091		17,967,439			97,868,405			418,076		70,406,314			24,263,591

$	428,053,876		$	722,097,994	$	324,782,205		$	191,672,617		$	69,212,110	$	159,187,698		$	162,453,732


$	34,630		$	85,821	$	85,966		$	24,599		$	6,972	$	15,560		$	16,244
	460,807,379			704,073,662		368,213,518			194,929,453			61,127,763		156,461,818			162,419,628
	3,798,997			19,773		1,054,862			3,221,895			441,601		952,322			211,814
	(68,482,585	)		1,051,165		(48,436,856	)		(7,559,908	)		1,664,296		(1,340,422	)		(679,754	)
	31,895,455			16,867,573		3,864,715			1,056,578			5,971,478		3,098,420			485,800

$	428,053,876		$	722,097,994	$	324,782,205		$	191,672,617		$	69,212,110	$	159,187,698		$	162,453,732

	34,629,729			85,821,441		85,965,952			24,598,661			6,971,699		15,560,346			16,243,634

$	12.36		$	8.41	$	3.78		$	7.79		$	9.93	$	10.23		$	10.00

$	399,447,686		$	760,203,103	$	330,418,041		$	225,149,403		$	62,848,572	$	217,046,166		$	179,757,489

$	—		$	1,474,537	$	—		$	—		$	—	$	—		$	1,149,610

$	3,491,623		$	20,108,393	$	13,202,348		$	529,502		$	—	$	—		$	—

$	952,577		$	585,665	$	—		$	59,352		$	—	$	12,181		$	107

$	—		$	4,736,777	$	—		$	5,412,773		$	—	$	—		$	—

$	—		$	57,218	$	—		$	369,190		$	—	$	33,665		$	—

See Notes to Financial Statements.

253



Statements of Operations


For the Year/Period Ended August 31, 2016


	�� Large Cap Equity Fund			Small-Mid Cap Equity Fund			International Equity Fund
INVESTMENT INCOME:

Dividends	$	26,073,807	*	$	3,352,101		$	36,056,862
Interest		45,185			15,762			32,722
Income from securities lending		138,846			128,570			515,695
Less: Foreign taxes withheld (see Note 1q)		(79,033	)		(1,441	)		(2,758,850	)
Income from security litigation		—			—			—

Total Investment Income		26,178,805			3,494,992			33,846,429


EXPENSES:

Investment management fee (Note 2)		9,454,293			2,614,414			8,545,945
Transfer agent fees		185,413			39,187			161,090
Custody fees		561,674			208,110			772,531
Trustees’ fees		214,177			43,440			170,599
Shareholder reports		235,467			192,743			147,052
Insurance		59,267			9,913			47,983
Audit and tax		74,607			50,758			77,617
Legal fees		95,224			60,545			66,199
Registration fees		22,067			20,031			22,230
Organizational expenses		—			—			—
Miscellaneous expense		9,875			2,790			42,706
Interest expense		—			—			—

Total Expenses		10,912,064			3,241,931			10,053,952
Less: Fee waivers and/or expense reimbursement (Note 2)		(2,119,869	)		(662,103	)		(831,707	)

Net Expenses		8,792,195			2,579,828			9,222,245

Net Investment Income (Loss)	$	17,386,610		$	915,164		$	24,624,184


REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS CONTRACTS WRITTEN, FORWARD SALE COMMITMENTS, SWAP CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS (NOTES 1 AND 3):

Net Realized Gain (Loss) From:

Unaffiliated investments	$	195,024,317		$	1,824,831		$	(86,693,648	)^(a)
Affiliated investments		49,946			—			—
Futures contracts		—			—			—
Options contracts written		—			—			—
Forward sale commitments		—			—			—
Swap contracts		—			—			—
Foreign currency transactions		—			12,514			(61,493	)

Net Realized Gain (Loss)		195,074,263			1,837,345			(86,755,141	)

Change in Net Unrealized Appreciation (Depreciation) From:

Unaffiliated investments		(4,667,199	)		25,124,589			90,869,749	^(b)
Affiliated investments		454,268			—			—
Futures contracts		—			—			—
Options contracts written		—			—			—
Forward sale commitments		—			—			—
Swap contracts		—			—			—
Foreign currency transactions		—			(75	)		44,895

Change in Net Unrealized Appreciation (Depreciation):		(4,212,931	)		25,124,514			90,914,644

Net Gain (Loss) on Investments, Futures Contracts, Options Contracts Written, Forward Sale Commitments, Swap Contracts and Foreign Currency Transactions		190,861,332			26,961,859			4,159,503

Total Increase (Decrease) in Net Assets From Operations	$	208,247,942		$	27,877,023		$	28,783,687

(a)	Includes foreign capital gains tax of $1,073 and $18,717 for International Equity Fund and Emerging Markets Equity Fund, respectively.

(b)	Net increase (decrease) in accrued foreign capital gains taxes of $34,574 and $71,587 for International Equity Fund and Emerging Markets Equity Fund, respectively.

(c)	The period from Fund inception (March 8, 2016) through the period end August 31, 2016.

*	Includes affiliated income of $21,818, $81,569, $16,808 for Large Cap Equity Fund, Core Fixed Income Fund and Ultra-Short Term Fixed Income Fund, respectively.

See Notes to Financial Statements.

254


Emerging Markets Equity Fund			Core Fixed Income Fund			High Yield Fund			International Fixed Income Fund			Municipal Bond Fund		Inflation-Linked Fixed Income Fund^(c)			Ultra-Short Term Fixed Income Fund^(c)


$	9,151,973		$	54,635		$	180,583		$	—		$	—	$	—		$	—
	19,486			22,989,809	*		17,514,261			5,273,134			2,729,093		2,512,698			1,642,621	*
	98,477			13,453			45,173			679			—		—			—
	(900,689	)		—			—			—			—		—			—
	—			5,756			—			—			—		—			—

	8,369,247			23,063,653			17,740,017			5,273,813			2,729,093		2,512,698			1,642,621




	3,565,427			3,119,334			1,796,611			1,036,306			308,418		322,510			367,346
	47,371			100,627			28,930			24,870			9,866		3,272			3,841
	541,963			637,739			214,518			383,017			96,270		90,450			74,126
	52,227			125,693			37,584			27,631			12,669		11,986			13,953
	106,090			84,371			74,659			68,919			9,909		13,416			13,015
	17,783			35,702			10,387			9,585			3,425		—			—
	82,131			120,686			60,908			116,777			47,541		35,185			26,741
	31,420			46,015			20,518			26,437			19,906		19,449			19,767
	19,526			18,993			17,313			18,169			16,511		7,228			5,337
	—			—			—			—			—		31,983			29,407
	19,872			29,864			4,808			5,314			707		25,706			41,999
	—			—			—			80,596			—		120,989			14,297

	4,483,810			4,319,024			2,266,236			1,797,621			525,222		682,174			609,829
	(687,223	)		(131,067	)		(476,000	)		(68,390	)		—		(27,508	)		(30,315	)

	3,796,587			4,187,957			1,790,236			1,729,231			525,222		654,666			579,514

$	4,572,660		$	18,875,696		$	15,949,781		$	3,544,582		$	2,203,871	$	1,858,032		$	1,063,107






$	(30,395,583	)^(a)	$	8,394,907		$	(24,162,069	)	$	(4,284,315	)	$	1,682,257	$	927,029		$	(154,658	)
	—			107,613			—			—			—		—			—
	(5,343	)		(981,727	)		—			3,231,862			—		(147,870	)		(180,731	)
	—			787,451			—			760,036			—		48,589			—
	—			(224,109	)		—			534,963			—		24,238			8,717
	—			(160,736	)		—			(1,841,669	)		—		(26,241	)		16,072
	(332,790	)		(864,383	)		—			2,844,700			—		69,188			198,346

	(30,733,716	)		7,059,016			(24,162,069	)		1,245,577			1,682,257		894,933			(112,254	)



	73,479,244	^(b)		17,254,904			20,646,286			15,800,223			612,192		4,953,794			533,612
	—			70,235			—			—			—		—			(10,988	)
	(12,626	)		221,887			—			495,035			—		(13,860	)		(68,819	)
	—			(226,170	)		—			151,595			—		18,125			—
	—			—			—			37,054			—		—			—
	—			(517,410	)		—			(3,256,587	)		—		(881,529	)		—
	34,189			324,066			—			587,510			—		(978,110	)		31,995

	73,500,807			17,127,512			20,646,286			13,814,830			612,192		3,098,420			485,800


	42,767,091			24,186,528			(3,515,783	)		15,060,407			2,294,449		3,993,353			373,546

$	47,339,751		$	43,062,224		$	12,433,998		$	18,604,989		$	4,498,320	$	5,851,385		$	1,436,653

See Notes to Financial Statements.

255



Statements of Changes in Net Assets


For the Year Ended August 31, 2016 and August 31, 2015


	Large Cap Equity Fund
	2016			2015
OPERATIONS:

Net investment income (loss)	$	17,386,610		$	6,030,269
Net realized gain (loss)		195,074,263			316,791,624
Change in unrealized appreciation (depreciation)		(4,212,931	)		(232,169,926	)
Net Increase from payments by affiliates		—			28,721

Increase (Decrease) in Net Assets From Operations		208,247,942			90,680,688

DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1):

Net investment income		(7,025,138	)		(5,468,121	)
Net realized gains		(301,650,427	)		(191,632,667	)

Decrease in Net Assets From Distributions to Shareholders		(308,675,565	)		(197,100,788	)

FUND SHARE TRANSACTIONS (NOTE 4):

Net proceeds from sale of shares		78,704,964			56,762,414
Reinvestment of distributions		308,666,437			197,093,781
Cost of shares repurchased		(903,883,177	)		(574,838,838	)
Issued in connection with tax-free reorganization (see Note 8)		973,690,395			—

Increase (Decrease) in Net Assets From Fund Share Transactions		457,178,619			(320,982,643	)

Increase (Decrease) in Net Assets		356,750,996			(427,402,743	)
NET ASSETS:

Beginning of year		1,352,634,925			1,780,037,668

*End of year†**	$	1,709,385,921		$	1,352,634,925

* Includes undistributed net investment income of:	$	14,971,956		$	5,820,229

† Includes accumulated net investment loss of:	$	—		$	—

See Notes to Financial Statements.

256


Small-Mid Cap Equity Fund						International Equity Fund						Emerging Markets Equity Fund
2016			2015			2016			2015			2016			2015


$	915,164		$	(1,269,060	)	$	24,624,184		$	20,394,083		$	4,572,660		$	5,489,235
	1,837,345			53,507,287			(86,755,141	)		981,593			(30,733,716	)		(24,232,285	)
	25,124,514			(27,186,435	)		90,914,644			(122,703,100	)		73,500,807			(109,468,421	)
	—			161,664			—			2,972,363			—			—

	27,877,023			25,213,456			28,783,687			(98,355,061	)		47,339,751			(128,211,471	)



	—			—			(19,988,419	)		(19,199,386	)		(6,232,037	)		(5,156,168	)
	(52,617,603	)		(60,598,970	)		—			—			—			—

	(52,617,603	)		(60,598,970	)		(19,988,419	)		(19,199,386	)		(6,232,037	)		(5,156,168	)



	160,893,040			12,063,989			402,909,238			301,685,675			120,366,330			265,692,576
	52,615,219			60,596,534			19,988,419			19,199,115			6,232,035			5,156,168
	(129,465,575	)		(105,041,718	)		(511,193,040	)		(150,715,859	)		(203,472,381	)		(59,051,423	)
	187,304,118			—			—			—			—			—

	271,346,802			(32,381,195	)		(88,295,383	)		170,168,931			(76,874,016	)		211,797,321

	246,606,222			(67,766,709	)		(79,500,115	)		52,614,484			(35,766,302	)		78,429,682


	228,585,735			296,352,444			1,201,843,139			1,149,228,655			463,820,178			385,390,496

$	475,191,957		$	228,585,735		$	1,122,343,024		$	1,201,843,139		$	428,053,876		$	463,820,178

$	723,744		$	7,013		$	25,314,228		$	20,123,723		$	3,798,997		$	5,001,354

$	—		$	—		$	—		$	—		$	—		$	—

See Notes to Financial Statements.

257



Statements of Changes in Net Assets


For the Year/Period Ended August 31, 2016 and August 31, 2015


	Core Fixed Income Fund
	2016			2015
OPERATIONS:

Net investment income	$	18,875,696		$	16,779,482
Net realized gain (loss)		7,059,016			14,471,866
Change in unrealized appreciation (depreciation)		17,127,512			(23,332,245	)

Increase (Decrease) in Net Assets From Operations		43,062,224			7,919,103

DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1):

Net investment income		(21,187,856	)		(20,111,155	)
Net realized gains		(6,236,992	)		(10,910,011	)

Decrease in Net Assets From Distributions to Shareholders		(27,424,848	)		(31,021,166	)

FUND SHARE TRANSACTIONS (NOTE 4):

Net proceeds from sale of shares		204,302,357			171,980,043
Reinvestment of distributions		27,421,877			31,021,046
Cost of shares repurchased		(384,592,902	)		(119,670,967	)

Increase (Decrease) in Net Assets From Fund Share Transactions		(152,868,668	)		83,330,122

Increase (Decrease) in Net Assets		(137,231,292	)		60,228,059
NET ASSETS:

Beginning of year/period		859,329,286			799,101,227

*End of year/period†**	$	722,097,994		$	859,329,286

* Includes undistributed net investment income of:	$	19,773		$	1,719,200

† Includes accumulated net investment loss of:	$	—		$	—

(a)	The period from Fund inception (March 8, 2016) through the period end August 31, 2016.

See Notes to Financial Statements.

258


High Yield Fund						International Fixed Income Fund						Municipal Bond Fund						Inflation-Linked Fixed Income Fund					Ultra-Short Term Fixed Income Fund
2016			2015			2016			2015			2016			2015			2016^(a)			2015		2016^(a)			2015


$	15,949,781		$	14,427,244		$	3,544,582		$	4,113,727		$	2,203,871		$	2,368,031		$	1,858,032		$	—	$	1,063,107		$	—
	(24,162,069	)		(7,826,144	)		1,245,577			22,831,389			1,682,257			270,815			894,933			—		(112,254	)		—
	20,646,286			(22,807,926	)		13,814,830			(24,472,307	)		612,192			(863,716	)		3,098,420			—		485,800			—

	12,433,998			(16,206,826	)		18,604,989			2,472,809			4,498,320			1,775,130			5,851,385			—		1,436,653			—



	(16,980,249	)		(16,219,271	)		(14,225,200	)		(15,363,960	)		(2,193,237	)		(2,367,911	)		(3,176,335	)		—		(1,418,793	)		—
	—			—			—			—			(180,832	)		(413,482	)		—			—		—			—

	(16,980,249	)		(16,219,271	)		(14,225,200	)		(15,363,960	)		(2,374,069	)		(2,781,393	)		(3,176,335	)		—		(1,418,793	)		—



	138,664,513			50,918,165			48,037,831			17,549,096			18,229,393			18,847,119			168,452,906			—		177,291,553			—
	16,977,875			16,219,472			14,225,200			15,363,812			2,373,871			2,781,435			3,174,104			—		1,417,941			—
	(80,651,570	)		(37,897,221	)		(98,005,036	)		(64,240,826	)		(38,612,137	)		(13,088,377	)		(15,114,362	)		—		(16,273,622	)		—

	74,990,818			29,240,416			(35,742,005	)		(31,327,918	)		(18,008,873	)		8,540,177			156,512,648			—		162,435,872			—

	70,444,567			(3,185,681	)		(31,362,216	)		(44,219,069	)		(15,884,622	)		7,533,914			159,187,698			—		162,453,732			—


	254,337,638			257,523,319			223,034,833			267,253,902			85,096,732			77,562,818			—			—		—			—

$	324,782,205		$	254,337,638		$	191,672,617		$	223,034,833		$	69,212,110		$	85,096,732		$	159,187,698		$	—	$	162,453,732		$	—

$	1,054,862		$	996,361		$	3,221,895		$	15,513,237		$	441,601		$	430,967		$	952,322		$	—	$	211,814		$	—

$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—	$	—		$	—

See Notes to Financial Statements.

259



Statement of Cash Flows


For the Period Ended August 31, 2016


	Inflation-Linked Fixed Income Fund
Cash Flows used in Operating Activities:
Net increase in net assets from operations	$	5,851,385
Adjustments to reconcile net increase in net assets from operations to net cash and foreign currency from operating activities:
Purchases of long-term investments		(377,354,000	)
Proceeds from the sale and maturity of long-term investments		163,737,056
Purchases of short-term investments, net		(914,873	)
Net payments on forward sale commitments		1,929
Decrease to the principal amount of inflation-indexed bonds		(2,751,998	)
Change in net unrealized appreciation from unaffiliated investments		(4,953,794	)
Change in net unrealized appreciation from options contracts written		(18,125	)
Change in net unrealized depreciation from OTC swap contracts		116,885
Change in net unrealized depreciation from centrally cleared swap contracts		764,644
Net amortization (accretion) of premiums (discounts) of investments		(319,386	)
Net realized gain from unaffiliated investments		(927,029	)
Net realized gain on options contracts written		(48,589	)
Proceeds from swap contracts		741,776
Payments to cover option contracts written		(56,577	)
Increase in Variation Margin on futures contracts		(162	)
Increase in receivable for securities sold		(4,445,760	)
Increase in Variation Margin on Centrally Cleared Swap contracts		(135,992	)
Increase in dividends and interest receivable		(406,560	)
Increase in deposits with counterparty		(940,000	)
Increase in OTC swap contracts, at value		(10,617	)
Increase in organizational expenses		(52,453	)
Increase in unrealized appreciation on open forward foreign currency contracts		(132,066	)
Increase in other assets		(3,230	)
Increase in payable for securities purchased		10,414,002
Increase in deposits from counterparty		360,000
Increase in investment management fee payable		64,219
Increase in interest expense payable		32,090
Increase in OTC swap contracts, at value		130,335
Increase in custody fee payable		81,799
Increase in trustees’ fees payable		298
Increase in unrealized depreciation on open forward foreign currency contracts		1,108,640
Increase in accrued expenses		3,558

Net cash and foreign currency used in operating activities		(210,062,595	)


Cash Flows Provided by Financing Activities:
Proceeds from reverse repurchase agreements		57,641,125
Proceeds from sale of shares		167,683,644
Cost of shares repurchased		(14,561,885	)
Distributions to shareholders		(3,176,335	)
Reinvestment of distributions		3,176,335

Net cash and foreign currency provided by financing activities		210,762,884


Effect of Foreign Exchange Fluctuations on Cash:
Effect of foreign exchange fluctuations on cash		(2,339	)


Cash and Foreign Currency:
Cash and foreign currency at beginning of the period		—

Cash and foreign currency at end of the period	$	697,950


Non-Cash Financing Activities:

Reinvestment of distributions	$	—

See Notes to Financial Statements.

260



Financial Highlights

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:


Large Cap Equity Fund
	2016			2015			2014			2013			2012
Net asset value, Beginning of Year	$	20.63		$	22.19		$	19.29		$	16.39		$	14.24

Income from Operations:
Net investment income⁽¹⁾		0.19			0.08			0.07			0.11			0.06
Net realized and unrealized gain		1.15			0.87			4.47			2.85			2.17

Total Income from Operations		1.34			0.95			4.54			2.96			2.23

Less Distributions From:
Net investment income		(0.11	)		(0.07	)		(0.11	)		(0.06	)		(0.08	)
Net realized gain		(4.80	)		(2.44	)		(1.53	)		—			—

Total Distributions		(4.91	)		(2.51	)		(1.64	)		(0.06	)		(0.08	)

Net Asset Value, End of Year	$	17.06		$	20.63		$	22.19		$	19.29		$	16.39

Total Return⁽²⁾		7.08	%		4.39	%⁽⁴⁾		24.35	%		18.11	%		15.71	%
Net Assets, End of Year (millions)	$	1,709		$	1,353		$	1,780		$	1,571		$	1,566
Ratios to Average Net Assets:
Gross expenses		0.69	%		0.68	%		0.67	%		0.69	%		0.69	%
Net expenses⁽³⁾		0.56			0.68			0.67			0.69			0.69
Net investment income		1.10			0.36			0.33			0.60			0.40
Portfolio Turnover Rate		105	%		66	%		56	%		57	%		66	%

(1)	Per share amounts have been calculated using the average shares method.

(2)

Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results.

(3)	Reflects fee waivers and/or expense reimbursements.

(4)

The Manager contributed a non-recourse voluntary reimbursement to Large Cap Equity Fund (formerly Large Capitalization Growth Fund). The effect of the reimbursement is reflected in the Fund’s total return above. Without this reimbursement, the impact was less than 0.00% to the total return for Large Cap Equity Fund.

See Notes to Financial Statements.

261



Financial Highlights


(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:


Small-Mid Cap Equity Fund
	2016			2015			2014			2013			2012
Net asset value, Beginning of Year	$	24.39		$	28.53		$	25.22		$	19.81		$	17.76

Income (Loss) from Operations:
Net investment income (loss)⁽¹⁾		0.05			(0.12	)		(0.12	)		(0.00	)⁽²⁾		(0.07	)
Net realized and unrealized gain (loss)		(1.22	)		1.93			4.36			5.41			2.12

Total Income (Loss) from Operations		(1.17	)		1.81			4.24			5.41			2.05

Less Distributions From:
Net realized gain		(5.82	)		(5.95	)		(0.93	)		—			—

Total Distributions		(5.82	)		(5.95	)		(0.93	)		—			—

Net Asset Value, End of Year	$	17.40		$	24.39		$	28.53		$	25.22		$	19.81

Total Return⁽³⁾		(5.51	)%		7.36	%⁽⁴⁾		16.91	%		27.31	%		11.54	%
Net Assets, End of Year (millions)	$	475		$	229		$	296		$	311		$	247
Ratios to Average Net Assets:
Gross expenses		0.99	%		0.93	%		0.92	%		0.97	%		0.98	%
Net expenses⁽⁵⁾		0.79			0.93			0.92			0.97			0.97
Net investment income (loss)		0.28			(0.45	)		(0.42	)		(0.02	)		(0.40	)
Portfolio Turnover Rate		151	%		89	%		80	%		90	%		68	%

(1)	Per share amounts have been calculated using the average shares method.

(2)	Amounts represent less than $(0.01) per share.

(3)

(4)

The Manager contributed a non-recourse voluntary reimbursement to Small-Mid Cap Equity Fund (formerly Small Capitalization Growth Fund). The effect of the reimbursement is reflected in the Fund’s total return above. Without this reimbursement, the total return for Small-Mid Cap Equity Fund was 7.27%.

(5)	Reflects fee waivers and/or expense reimbursements.


International Equity Fund
	2016			2015			2014			2013			2012
Net asset value, Beginning of Year	$	10.91		$	12.03		$	10.92		$	9.58		$	9.77

Income (Loss) from Operations:
Net investment income⁽¹⁾		0.21			0.21			0.22			0.20			0.17
Net realized and unrealized gain (loss)		(0.10	)		(1.13	)		1.03			1.27			(0.18	)

Total Income (Loss) from Operations		0.11			(0.92	)		1.25			1.47			(0.01	)

Less Distributions From:
Net investment income		(0.19	)		(0.20	)		(0.14	)		(0.13	)		(0.18	)

Total Distributions		(0.19	)		(0.20	)		(0.14	)		(0.13	)		(0.18	)

Net Asset Value, End of Year	$	10.83		$	10.91		$	12.03		$	10.92		$	9.58

Total Return⁽²⁾		0.96	%		(7.68	)%⁽⁴⁾		11.45	%		15.47	%		(0.06	)%
Net Assets, End of Year (millions)	$	1,122		$	1,202		$	1,149		$	773		$	444
Ratios to Average Net Assets:
Gross expenses		0.82	%		0.81	%		0.81	%		0.84	%		0.91	%
Net expenses⁽³⁾		0.76			0.79			0.77			0.83			0.90
Net investment income		2.02			1.80			1.83			1.88			1.80
Portfolio Turnover Rate		64	%		80	%		95	%		63	%		75	%

(1)	Per share amounts have been calculated using the average shares method.

(2)

(3)	Reflects fee waivers and/or expense reimbursements.

(4)

The Manager contributed a non-recourse voluntary reimbursement to International Equity Fund (formerly International Equity Investments). The effect of the reimbursement is reflected in the Fund’s total return above. Without this reimbursement, the total return for International Equity Fund was (7.94)%.

See Notes to Financial Statements.

262



Financial Highlights


(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:


Emerging Markets Equity Fund
	2016			2015			2014			2013			2012
Net asset value, Beginning of Year	$	10.87		$	14.54		$	13.67		$	14.46		$	15.85

Income (Loss) from Operations:
Net investment income⁽¹⁾		0.13			0.17			0.20			0.21			0.29
Net realized and unrealized gain (loss)		1.51			(3.64	)		2.36			(0.69	)		(1.33	)

Total Income (Loss) from Operations		1.64			(3.47	)		2.56			(0.48	)		(1.04	)

Less Distributions From:
Net investment income		(0.15	)		(0.20	)		(0.29	)		(0.31	)		(0.35	)
Net realized gain		—			—			(1.40	)		—			—

Total Distributions		(0.15	)		(0.20	)		(1.69	)		(0.31	)		(0.35	)

Net Asset Value, End of Year	$	12.36		$	10.87		$	14.54		$	13.67		$	14.46

Total Return⁽²⁾		15.31	%		(24.08	)%		19.97	%		(3.54	)%		(6.52	)%
Net Assets, End of Year (millions)	$	428		$	464		$	385		$	414		$	695
Ratios to Average Net Assets:
Gross expenses		1.13	%		1.08	%		1.09	%		1.10	%		1.06	%
Net expenses⁽³⁾		0.96			0.96			0.99			0.99			0.93
Net investment income		1.15			1.34			1.49			1.39			1.98
Portfolio Turnover Rate		99	%		41	%		29	%		89	%		40	%

(1)	Per share amounts have been calculated using the average shares method.

(2)

(3)	Reflects fee waivers and/or expense reimbursements.


Core Fixed Income Fund
	2016			2015			2014			2013			2012
Net asset value, Beginning of Year	$	8.23		$	8.44		$	8.17		$	8.87		$	8.58

Income (Loss) from Operations:
Net investment income⁽¹⁾		0.20			0.17			0.18			0.20			0.25
Net realized and unrealized gain (loss)		0.27			(0.06	)		0.31			(0.30	)		0.38

Total Income (Loss) from Operations		0.47			0.11			0.49			(0.10	)		0.63

Less Distributions From:
Net investment income		(0.23	)		(0.20	)		(0.22	)		(0.24	)		(0.27	)
Net realized gain		(0.06	)		(0.12	)		—			(0.36	)		(0.07	)

Total Distributions		(0.29	)		(0.32	)		(0.22	)		(0.60	)		(0.34	)

Net Asset Value, End of Year	$	8.41		$	8.23		$	8.44		$	8.17		$	8.87

Total Return⁽²⁾		5.84	%		1.35	%		6.10	%		(1.31	)%		7.58	%
Net Assets, End of Year (millions)	$	722		$	859		$	799		$	937		$	1,022
Ratios to Average Net Assets:
Gross expenses		0.55	%⁽³⁾		0.54	%⁽³⁾		0.53	%⁽³⁾		0.54	%⁽³⁾		0.52	%
Net expenses⁽⁴⁾		0.54	⁽³⁾		0.55	⁽³⁾		0.53	⁽³⁾		0.54	⁽³⁾		0.52
Net investment income		2.42			2.06			2.19			2.30			2.85
Portfolio Turnover Rate		245	%		326	%		446	%		421	%		429	%

(1)	Per share amounts have been calculated using the average shares method.

(2)

(3)	Ratio includes interest expense on forward sale commitments and reverse repurchase agreements which represents less than 0.01%.

(4)	Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

263



Financial Highlights


(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:


High Yield Fund
	2016			2015			2014			2013			2012
Net asset value, Beginning of Year	$	3.88		$	4.41		$	4.27		$	4.24		$	4.15

Income (Loss) from Operations:
Net investment income⁽¹⁾		0.23			0.24			0.24			0.27			0.29
Net realized and unrealized gain (loss)		(0.09	)		(0.50	)		0.17			0.07			0.16

Total Income (Loss) from Operations		0.14			(0.26	)		0.41			0.34			0.45

Less Distributions From:
Net investment income		(0.24	)		(0.27	)		(0.27	)		(0.31	)		(0.36	)

Total Distributions		(0.24	)		(0.27	)		(0.27	)		(0.31	)		(0.36	)

Net Asset Value, End of Year	$	3.78		$	3.88		$	4.41		$	4.27		$	4.24

Total Return⁽²⁾		4.02	%		(6.14	)%		9.75	%		8.07	%		11.57	%
Net Assets, End of Year (millions)	$	325		$	254		$	258		$	111		$	269
Ratios to Average Net Assets:
Gross expenses		0.88	%		0.90	%		0.92	%		0.93	%		0.97	%
Net expenses⁽³⁾		0.70			0.74			0.76			0.78			0.81
Net investment income		6.21			5.74			5.53			6.25			7.58
Portfolio Turnover Rate		64	%		42	%		57	%		86	%		101	%

(1)	Per share amounts have been calculated using the average shares method.

(2)

(3)	Reflects fee waivers and/or expense reimbursements.


International Fixed Income Fund
	2016			2015			2014			2013			2012
Net asset value, Beginning of Year	$	7.61		$	8.04		$	8.02		$	8.56		$	7.99

Income (Loss) from Operations:
Net investment income⁽¹⁾		0.13			0.13			0.16			0.18			0.19
Net realized and unrealized gain (loss)		0.56			(0.09	)		0.40			(0.23	)		0.41

Total Income (Loss) from Operations		0.69			0.04			0.56			(0.05	)		0.60

Less Distributions From:
Net investment income		(0.51	)		(0.47	)		(0.54	)		(0.49	)		(0.03	)

Total Distributions		(0.51	)		(0.47	)		(0.54	)		(0.49	)		(0.03	)

Net Asset Value, End of Year	$	7.79		$	7.61		$	8.04		$	8.02		$	8.56

Total Return⁽²⁾		9.56	%		0.44	%		7.36	%		(0.77	)%		7.53	%
Net Assets, End of Year (millions)	$	192		$	223		$	267		$	317		$	431
Ratios to Average Net Assets:
Gross expenses		0.87	%⁽³⁾		0.87	%⁽³⁾		0.76	%⁽³⁾		0.69	%⁽³⁾		0.64	%
Net expenses		0.83	⁽³⁾⁽⁴⁾		0.87	⁽³⁾		0.76	⁽³⁾		0.69	⁽³⁾		0.63	⁽⁴⁾
Net investment income		1.71			1.61			2.00			2.12			2.25
Portfolio Turnover Rate		199	%		416	%		397	%		198	%		223	%

(1)	Per share amounts have been calculated using the average shares method.

(2)

(3)	Ratio includes interest expense on forward sale commitments and reverse repurchase agreements which represents 0.04%, 0.10%, 0.04% and less than 0.01%, respectively.

(4)	Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

264



Financial Highlights


(continued)

For a share of beneficial interest outstanding throughout each year / period end August 31, unless otherwise noted:


Municipal Bond Fund
	2016			2015			2014			2013			2012
Net asset value, Beginning of Year	$	9.65		$	9.76		$	9.21		$	9.88		$	9.48

Income (Loss) from Operations:
Net investment income⁽¹⁾		0.28			0.28			0.29			0.29			0.28
Net realized and unrealized gain (loss)		0.30			(0.06	)		0.55			(0.67	)		0.40

Total Income (Loss) from Operations		0.58			0.22			0.84			(0.38	)		0.68

Less Distributions From:
Net investment income		(0.28	)		(0.28	)		(0.29	)		(0.29	)		(0.28	)
Net realized gain		(0.02	)		(0.05	)		—			—			—

Total Distributions		(0.30	)		(0.33	)		(0.29	)		(0.29	)		(0.28	)

Net Asset Value, End of Year	$	9.93		$	9.65		$	9.76		$	9.21		$	9.88

Total Return⁽²⁾		6.14	%		2.32	%		9.24	%		(4.01	)%		7.23	%
Net Assets, End of Year (millions)	$	69		$	85		$	78		$	80		$	89
Ratios to Average Net Assets:
Gross expenses		0.68	%		0.66	%		0.59	%		0.61	%		0.57	%
Net expenses		0.68			0.66			0.59			0.61			0.57
Net investment income		2.87			2.91			3.03			2.92			2.83
Portfolio Turnover Rate		16	%		8	%		19	%		9	%		26	%

(1)	Per share amounts have been calculated using the average shares method.

(2)


Inflation-Linked Fixed Income Fund
	2016⁽¹⁾
Net asset value, Beginning of Period	$	10.00

Income from Operations:
Net investment income⁽²⁾		0.14
Net realized and unrealized gain		0.32

Total Income from Operations		0.46

Less Distributions From:
Net investment income		(0.23	)

Total Distributions		(0.23	)

Net Asset Value, End of Period	$	10.23

Total Return⁽³⁾		4.59	%
Net Assets, End of Period (millions)	$	159
Ratios to Average Net Assets:
Gross expenses		1.03	%⁽⁴⁾⁽⁵⁾
Net expenses		0.99	^(4)(5)(6)
Net investment income		2.91	⁽⁵⁾
Portfolio Turnover Rate		35	%

(1)	For the period from Fund inception (March 8, 2016) through the period end August 31, 2016.

(2)	Per share amounts have been calculated using the average shares method.

(3)

(4)	Ratio includes interest expense on forward sale commitments and reverse repurchase agreements which represents 0.19% (annualized).

(5)	Annualized.

(6)	Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

265



Financial Highlights


(continued)

For a share of beneficial interest outstanding throughout each period end August 31, unless otherwise noted:


Ultra-Short Term Fixed Income Fund
	2016⁽¹⁾
Net asset value, Beginning of Period	$	10.00

Income from Operations:
Net investment income⁽²⁾		0.07
Net realized and unrealized gain		0.02

Total Income from Operations		0.09

Less Distributions From:
Net investment income		(0.09	)

Total Distributions		(0.09	)

Net Asset Value, End of Period	$	10.00

Total Return⁽³⁾		0.89	%
Net Assets, End of Period (millions)	$	162
Ratios to Average Net Assets:
Gross expenses		0.81	%⁽⁴⁾⁽⁵⁾
Net expenses		0.77	^(4)(5)(6)
Net investment income		1.47	⁽⁵⁾
Portfolio Turnover Rate		100	%

(1)	For the period from Fund inception (March 8, 2016) through the period end August 31, 2016.

(2)	Per share amounts have been calculated using the average shares method.

(3)

(4)	Ratio includes interest expense on forward sale commitments and reverse repurchase agreements which represents 0.02% (annualized).

(5)	Annualized.

(6)	Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

266



Notes to Financial Statements

1. Organization and Significant Accounting Policies

The Consulting Group Capital Markets Funds (“Trust”) is organized as a Massachusetts business trust and registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. The Trust currently consists of Large Cap Equity Fund (formerly known as Large Capitalization Growth Investments), Small-Mid Cap Equity Fund (formerly known as Small Capitalization Growth Investments), International Equity Fund (formerly known as International Equity Investments), Emerging Markets Equity Fund (formerly known as Emerging Markets Equity Investments), Core Fixed Income Fund (formerly known as Core Fixed Income Investments), High Yield Fund (formerly known as High Yield Investments), International Fixed Income Fund (formerly known as International Fixed Income Investments), Municipal Bond Fund (formerly known as Municipal Bond Investments), Inflation-Linked Fixed Income Fund (Fund inception March 8, 2016) and Ultra-Short Term Fixed Income Fund (Fund inception March 8, 2016) (individually, a “Fund” and collectively, the “Funds”). Each Fund is a diversified series of the Trust, except for International Fixed Income Investments, which is non-diversified.

The Money Market Fund terminated operations on April 8, 2016, and has had no operations since then other than the settlement of receivables and payables. The net assets of the Money Market Fund, including these remaining balances, were liquidated and distributed to participants.

The following is a summary of significant accounting policies consistently followed by the Funds which are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Estimates and assumptions are required to be made by management regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. The Funds are investment companies and follow the accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies.

(a) Investment Valuation. Equity securities for each Fund for which market quotations are readily available and are traded on an exchange are valued at the closing sale price or official closing price on the exchange on which such security is principally traded. In the event there are no sales that day, such securities are valued at the mean between the bid and ask prices. For securities that are primarily traded on foreign exchanges, these values are converted to U.S. dollars using the current exchange rates as of the close of the New York Stock Exchange (“NYSE”).

Exchange-traded purchased and written options and futures contracts are valued at the last sale price (closing price) in the market where such contracts are principally traded or, if no sales are reported, the bid price. Swaps for which quotations are available on an automated basis from approved third-party pricing services are valued using those automated third-party pricing service quotations. Forward foreign currency contracts are valued using the official closing price for such contracts on the NYSE.

Portfolio securities traded in the over-the-counter market for which market quotations are readily available are valued at the last sales price that day. In the event there are no sales that day, such securities are valued at the mean between the bid and ask prices. Investments in registered open-end management investment companies are valued at reported net asset value per share.

Debt obligations that will mature in 60 days or less are valued at amortized cost, which approximates market value. Debt obligations that will mature in more than 60 days are valued using valuations furnished by an approved third-party pricing service; such valuations are determined by the third-party pricing service based upon its analysis of a variety of factors, including transactions in debt obligations, quotations from bond dealers, market transactions in comparable securities and its analysis of various relationships between securities, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, and as well as industry and economic events.

Overnight repurchase agreements and repurchase agreements maturing in seven days or less are valued at cost. Term repurchase agreements maturing in more than seven days are valued at the average of the bid quotations obtained daily from at least two recognized purchasers of such term repurchase agreements selected by Consulting Group Advisory Services, LLC (“CGAS”) (the “Manager”).

The Board of Trustees (the “Board”) has ultimate responsibility for ensuring the Funds’ investments are valued appropriately. The Board has delegated primary responsibility for determining or causing to be determined the value of the Funds’ investments (including any fair valuation) to the Manager pursuant to valuation policies and procedures approved by the Board. When market quotations are not readily available or are determined to be unreliable, investments are valued at fair value as determined in good

267



Notes to Financial Statements


(continued)

faith by the valuation committee established by the Manager in accordance with such procedures under the oversight of the Board. Circumstances that may indicate that market quotations are not readily available or are unreliable include, but are not limited to, such instances 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, and before the applicable Fund calculates its Net Asset Value (NAV).

Each business day, Emerging Markets Equity Fund and International Equity Fund use a Board-approved third-party pricing service to assist with the valuation of foreign equity securities. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities to more accurately reflect their fair value as of the close of regular trading on the NYSE.

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The hierarchy prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities that segregates fair value measurements into levels (Level 1, 2, and 3). The three levels of the fair value hierarchy are as follows:

Level 1 – unadjusted quoted prices in active markets for identical securities.

Level 2 – significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs (including assumptions made by the Board or persons acting at their direction that are used 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. The following are certain inputs and techniques that the Funds generally use to evaluate how to classify each major category of assets and liabilities in accordance with GAAP.

Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign bonds, bank loans, convertible preferred securities and non-U.S. bonds are normally valued by third-party pricing service providers that use broker quotations, reported trades or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.

Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by third-party pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities and the related forward sales commitments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.

Common stocks, preferred stocks, rights, warrants, exchange-traded funds and financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities exchange, are categorized as Level 1 of the fair value hierarchy, to the extent these securities are actively traded and valuation adjustments are not applied.

Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE close. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

Investments in registered open-end investment management companies are valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy.

Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy.

268



Notes to Financial Statements


(continued)

Over-the-counter financial derivative instruments, such as foreign currency contracts, forward foreign currency contracts, options contracts, or swap contracts, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or by third-party pricing service providers. Depending on the product and the terms of the transaction, the value of financial derivatives can be estimated by a third-party pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, yield curves, dividends and exchange rates. Financial derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.

Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange. For centrally cleared credit default swaps the clearing facility requires its members to provide actionable levels across complete term structures. These levels along with external third party prices are used to produce daily settlement prices. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates including the overnight index swap rate and London Interbank Offered Rate (“LIBOR”) forward rate to produce the daily settlement price. These securities are categorized as Level 2 of the fair value hierarchy.

The Funds’ policy is to recognize transfers between levels at the end of the reporting period. In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments.

The following table summarizes the valuation of each Fund’s assets and liabilities using the fair value hierarchy:


	Total Fair Value at August 31, 2016		Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Large Cap Equity Fund
Investments, at value
Common Stocks:
Consumer Discretionary	$	201,664,102	$	201,664,102	$	—	$	—
Consumer Staples		158,719,120		158,719,120		—		—
Energy		113,792,599		113,792,599		—		—
Financials		219,968,881		219,968,881		—		—
Health Care		254,649,525		254,649,525		—		—
Industrials		142,425,267		142,425,267		—		—
Information Technology		388,563,076		388,563,076		—		—
Materials		50,238,804		50,238,804		—		—
Telecommunication Services		35,089,881		35,089,881		—		—
Utilities		34,434,957		34,434,957		—		—
Closed End Mutual Fund Security:
Financials		65,802,109		65,802,109		—		—
Short-Term Investments:
Money Market Fund		17,790,848		17,790,848		—		—
Time Deposits		29,382,453		—		29,382,453		—

Total Investments, at value	$	1,712,521,622	$	1,683,139,169	$	29,382,453	$	—

269



Notes to Financial Statements


(continued)


	Total Fair Value at August 31, 2016		Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Small-Mid Cap Equity Fund
Investments, at value
Common Stocks:
Consumer Discretionary	$	65,366,809	$	65,366,809	$	—	$	—
Consumer Staples		11,445,478		11,445,478		—		—
Energy		12,260,450		12,260,450		—		—
Financials		83,897,041		83,897,041		—		—
Health Care		63,713,066		63,713,066		—		—
Industrials		92,700,162		92,657,420		—		42,742
Information Technology		89,135,156		89,135,156		—		—
Materials		28,044,022		28,044,022		—		—
Telecommunication Services		2,924,914		2,924,914		—		—
Utilities		9,235,908		9,235,908		—		—
Preferred Stock:
Utilities		292,825		292,825		—		—
Right:
Energy		60		60		—		—
Short-Term Investments:
Money Market Fund		18,447,756		18,447,756		—		—
Time Deposits		11,770,868		—		11,770,868		—

Total Investments, at value	$	489,234,515	$	477,420,905	$	11,770,868	$	42,742

International Equity Fund
Investments, at value
Common Stocks:
France	$	117,116,830	$	—	$	117,116,830	$	—
Germany		99,340,441		—		99,340,441		—
Japan		178,793,299		—		178,793,299		—
Netherlands		61,974,622		570,810		61,403,812		—
Switzerland		118,837,611		—		118,837,611		—
United Kingdom		207,644,164		—		207,644,164		—
Other Countries*		304,795,481		46,360,482		258,434,999		—
Preferred Stocks:
Brazil		1,715,641		1,715,641		—		—
Germany		11,527,937		—		11,527,937		—
Short-Term Investments:
Money Market Fund		4,174,893		4,174,893		—		—
Time Deposits		18,133,542		—		18,133,542		—

Total Investments, at value	$	1,124,054,461	$	52,821,826	$	1,071,232,635	$	—

Emerging Markets Equity Fund
Investments, at value
Common Stocks:
Brazil	$	31,871,649	$	31,495,138	$	—	$	376,511
China		81,558,710		27,426,443		54,132,267		—
India		34,379,185		—		34,379,185		—
Russia		22,066,630		3,288,166		18,778,464		—
South Africa		29,494,329		—		29,494,329		—

270



Notes to Financial Statements


(continued)


	Total Fair Value at August 31, 2016			Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
South Korea	$	46,241,488		$	—		$	46,241,488		$	—
Taiwan		34,109,775			—			34,109,775			—
Other Countries*		124,670,039			39,117,349			85,552,690			—
Preferred Stocks:
Brazil		4,255,334			4,255,334			—			—
Chile		85,250			85,250			—			—
Colombia		1,782,877			1,782,877			—			—
Russia		180,366			—			180,366			—
South Korea		3,198,214			—			3,198,214			—
Rights:
Brazil		192			192			—			—
South Africa		131,765			131,765			—			—
South Korea		—	**		—			—			—	**
Short-Term Investments:
Money Market Fund		3,683,541			3,683,541			—			—
Time Deposits		13,653,963			—			13,653,963			—

Total Investments, at value	$	431,363,307		$	111,266,055		$	319,720,741		$	376,511

Other Financial Instruments — Liabilities
Futures Contract	$	(12,626	)	$	(12,626	)	$	—		$	—

Total Other Financial Instruments — Liabilities	$	(12,626	)	$	(12,626	)	$	—		$	—

Core Fixed Income Fund
Investments, at value
Corporate Bonds & Notes	$	199,335,433	**	$	—		$	199,335,433		$	—	**
U.S. Government Agencies & Obligations		197,665,884			—			197,665,884			—
Mortgage-Backed Securities		177,394,664			—			177,394,664			—
Collateralized Mortgage Obligations		86,984,235			—			86,984,235			—
Sovereign Bonds		20,216,325			—			20,216,325			—
Asset-Backed Securities		16,405,603			—			16,405,603			—
Municipal Bonds		5,600,916			—			5,600,916			—
Senior Loans		1,247,263			—			1,247,263			—
Preferred Stock:
Financials		260,178			260,178			—			—
Purchased Options		45,672			45,672			—			—
Short-Term Investments:
Money Market Fund		20,555,472			20,555,472			—			—
Repurchase Agreement		8,500,000			—			8,500,000			—
Time Deposits		8,432,325			—			8,432,325			—
U.S. Government Obligations		36,875,986			—			36,875,986			—

Total Investments, at value	$	779,519,956	**	$	20,861,322		$	758,658,634		$	—	**

Other Financial Instruments — Assets
Futures Contracts	$	99,621		$	99,621		$	—		$	—
Forward Foreign Currency Contracts		199,247			—			199,247			—

Total Other Financial Instruments — Assets	$	298,868		$	99,621		$	199,247		$	—

Other Financial Instruments — Liabilities
Options Contracts Written	$	(49,938	)	$	(49,938	)	$	—		$	—
Forward Sale Commitments		(4,736,777	)		—			(4,736,777	)		—
Futures Contracts		(283,274	)		(283,274	)		—			—
Forward Foreign Currency Contracts		(228,474	)		—			(228,474	)		—
Centrally Cleared Interest Rate Swaps		(752,515	)		—			(752,515	)		—

Total Other Financial Instruments — Liabilities	$	(6,050,978	)	$	(333,212	)	$	(5,717,766	)	$	—

271



Notes to Financial Statements


(continued)


	Total Fair Value at August 31, 2016			Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
High Yield Fund
Investments, at value
Corporate Bonds & Notes	$	310,260,247	**	$	—	$	310,048,589	$	211,658	**
Senior Loans		1,646,634			—		1,646,634		—
Collateralized Mortgage Obligations		473,147			—		473,147		—
Preferred Stock:
Financials		1,003,049			1,003,049		—		—
Common Stocks:
Consumer Discretionary		90,174			—		—		90,174
Energy		850,336			419,191		305,638		125,507
Financials		—	**		—		—		—	**
Materials		—	**		—		—		—	**
Convertible Preferred Stock:
Energy		334,880			334,880		—		—
Short-Term Investments:
Money Market Fund		13,683,734			13,683,734		—		—
Time Deposits		5,940,555			—		5,940,555		—

Total Investments, at value	$	334,282,756	**	$	15,440,854	$	318,414,563	$	427,339	**

International Fixed Income Fund
Investments, at value
Sovereign Bonds:
Japan	$	18,021,070		$	—	$	18,021,070	$	—
United Kingdom		14,094,567			—		14,094,567		—
Other Countries*		47,072,788			—		47,072,788		—
Corporate Bonds & Notes:
Denmark		26,521,536			—		26,521,536		—
Other Countries*		33,995,854			—		33,995,854		—
Collateralized Mortgage Obligations		28,419,231			—		28,419,231		—
U.S. Government Obligations		14,390,097			—		14,390,097		—
Mortgage-Backed Securities:
FNMA		11,048,470			—		11,048,470		—
Other Securities***		2,902,112			—		2,902,112		—
Asset-Backed Securities		666,803			—		666,803		—
Purchased Options		223,129			864		222,265		—
Short-Term Investments:
Money Market Fund		557,865			557,865		—		—
Sovereign Bonds:
Japan		25,821,851			—		25,821,851		—
Other Countries*		537,211			—		537,211		—
Time Deposits		3,184,208			—		3,184,208		—
U.S. Government Agencies		399,861			—		399,861		—
U.S. Government Obligations		1,769,767			—		1,769,767		—

Total Investments, at value	$	229,626,420		$	558,729	$	229,067,691	$	—

Other Financial Instruments — Assets
Futures Contracts	$	836,618		$	836,618	$	—	$	—
Forward Foreign Currency Contracts		1,664,139			—		1,664,139		—
Centrally Cleared Interest Rate Swaps		826,056			—		826,056		—
OTC Volatility Swaps		35,214			—		35,214		—
OTC Credit Default Swaps		90,207			—		90,207		—
Centrally Cleared Credit Default Swaps		19,888			—		19,888		—
OTC Cross Currency Swaps		256,892			—		256,892		—

Total Other Financial Instruments — Assets	$	3,729,014		$	836,618	$	2,892,396	$	—

272



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(continued)


	Total Fair Value at August 31, 2016			Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Other Financial Instruments — Liabilities
Options Contracts Written	$	(271,144	)	$	—		$	(271,144	)	$	—
Reverse Repurchase Agreements		(16,608,550	)		—			(16,608,550	)		—
Forward Sale Commitments		(5,416,992	)		—			(5,416,992	)		—
Futures Contracts		(383,006	)		(383,006	)		—			—
Forward Foreign Currency Contracts		(2,839,967	)		—			(2,839,967	)		—
Centrally Cleared Interest Rate Swaps		(3,231,675	)		—			(3,231,675	)		—
OTC Volatility Swaps		(15,488	)		—			(15,488	)		—
OTC Credit Default Swaps		(108,405	)		—			(108,405	)		—
Centrally Cleared Credit Default Swaps		(75,218	)		—			(75,218	)		—
OTC Cross Currency Swaps		(1,419,282	)		—			(1,419,282	)		—

Total Other Financial Instruments — Liabilities	$	(30,369,727	)	$	(383,006	)	$	(29,986,721	)	$	—

Municipal Bond Fund
Investments, at value
Municipal Bonds	$	66,346,922		$	—		$	66,346,922		$	—
Short-Term Investments:
Time Deposits		2,473,128			—			2,473,128			—

Total Investments, at value	$	68,820,050		$	—		$	68,820,050		$	—

Inflation-Linked Fixed Income Fund
Investments, at value
U.S. Government Obligations	$	186,705,509		$	—		$	186,705,509		$	—
Sovereign Bonds		13,834,681			—			13,834,681			—
Collateralized Mortgage Obligations		10,050,922			—			9,251,016			799,906
Corporate Bonds & Notes		6,043,989			—			6,043,989			—
Mortgage-Backed Securities		4,197,305			—			4,197,305			—
Purchased Options		252,681			36,712			215,969			—
Short-Term Investments:
Time Deposits		515,025			—			515,025			—
U.S. Government Agencies		399,848			—			399,848			—

Total Investments, at value	$	221,999,960		$	36,712		$	221,163,342		$	799,906

Other Financial Instruments — Assets
Futures Contracts	$	42,794		$	42,794		$	—		$	—
Forward Foreign Currency Contracts		132,066			—			132,066			—
OTC Inflation Rate Swaps		10,678			—			10,678			—
OTC Credit Default Swaps		6,300			—			6,300			—

Total Other Financial Instruments — Assets	$	191,838		$	42,794		$	149,044		$	—

Other Financial Instruments — Liabilities
Options Contracts Written	$	(15,540	)	$	(5,500	)	$	(10,040	)	$	—
Reverse Repurchase Agreements		(57,641,125	)		—			(57,641,125	)		—
Futures Contracts		(56,654	)		(56,654	)		—			—
Forward Foreign Currency Contracts		(1,108,640	)		—			(1,108,640	)		—
Centrally Cleared Interest Rate Swaps		(762,014	)		—			(762,014	)		—
OTC Inflation Rate Swaps		(133,863	)		—			(133,863	)		—
Centrally Cleared Credit Default Swap		(2,630	)		—			(2,630	)		—

Total Other Financial Instruments — Liabilities	$	(59,720,466	)	$	(62,154	)	$	(59,658,312	)	$	—

Ultra-Short Term Fixed Income Fund
Investments, at value
Corporate Bonds & Notes	$	111,487,614		$	—		$	111,487,614		$	—
Collateralized Mortgage Obligations		27,951,711			—			27,951,711			—

273



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(continued)


	Total Fair Value at August 31, 2016			Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
U.S. Government Obligation	$	11,020,792		$	—		$	11,020,792		$	—
Sovereign Bonds		8,774,205			—			8,774,205			—
Senior Loan		1,206,450			—			1,206,450			—
Certificate of Deposit		993,500			—			993,500			—
Asset-Backed Security		400,499			—			400,499			—
Short-Term Investments:
Commercial Paper		2,788,958			—			2,788,958			—
Repurchase Agreement		1,900,000			—			1,900,000			—
Time Deposits		581,606			—			581,606			—
U.S. Government Obligations		14,324,388			—			14,324,388			—

Total Investments, at value	$	181,429,723		$	—		$	181,429,723		$	—

Other Financial Instruments — Assets
Futures Contracts	$	73,995		$	73,995		$	—		$	—
Forward Foreign Currency Contracts		85,947			—			85,947			—

Total Other Financial Instruments — Assets	$	159,942		$	73,995		$	85,947		$	—

Other Financial Instruments — Liabilities
Futures Contracts	$	(142,814	)	$	(142,814	)	$	—		$	—
Forward Foreign Currency Contracts		(48,646	)		—			(48,646	)		—

Total Other Financial Instruments — Liabilities	$	(191,460	)	$	(142,814	)	$	(48,646	)	$	—

*	Other Countries represents Countries that are individually less than 5% of Net Assets.

**	Includes securities that are fair valued by the Board at $0.

***	Other Securities represents other categories that are individually less than 5% of Net Assets.

The level classification by major category of investments is the same as the category presentation in the Schedules of Investments.

As of the year end August 31, 2016, there were no transfers from Level 1 to Level 3 and from Level 1 to Level 2. Core Fixed Income Fund had a transfer from Level 3 to Level 2 of $401,574 and High Yield Fund had transfer from Level 2 to Level 3 of $54,749.

The following is a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining fair value during the year September 1, 2015, through August 31, 2016:


	Total			Collateralized Mortgage Obligations		Common Stocks			Corporate Bonds & Notes		Rights
Small-Mid Cap Equity Fund
Balance as of August 31, 2015	$	—		$	—	$	—		$	—	$	—
Total realized gain (loss)		—			—		—			—		—
Change in unrealized appreciation (depreciation)		16,406			—		16,406			—		—
Purchases		26,336			—		26,336			—		—
(Sales)		—			—		—			—		—
Transfers In		—			—		—			—		—
Transfers Out		—			—		—			—		—

Balance as of August 31, 2016	$	42,742		$	—	$	42,742		$	—	$	—

Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2016	$	16,406		$	—	$	16,406		$	—	$	—


Emerging Markets Equity Fund
Balance as of August 31, 2015	$	—		$	—	$	—		$	—	$	—
Total realized gain (loss)		—			—		—			—		—
Change in unrealized appreciation (depreciation)		(23,437	)		—		(23,437	)		—		—

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(continued)


	Total			Collateralized Mortgage Obligations			Common Stocks			Corporate Bonds & Notes			Rights
Purchases	$	399,948	*	$	—		$	399,948		$	—		$	—	*
(Sales)		—			—			—			—			—
Transfers In		—			—			—			—			—
Transfers Out		—			—			—			—			—

Balance as of August 31, 2016	$	376,511	*	$	—		$	376,511		$	—		$	—	*

Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2016	$	(23,437	)	$	—		$	(23,437	)	$	—		$	—


Core Fixed Income Fund
Balance as of August 31, 2015	$	398,508	*	$	398,508		$	—		$	—	*	$	—
Total realized gain (loss)		—			—			—			—			—
Change in unrealized appreciation (depreciation)		3,066			3,066			—			—			—
Purchases		—			—			—			—			—
(Sales)		—			—			—			—			—
Transfers In		—			—			—			—			—
Transfers Out		(401,574	)		(401,574	)		—			—			—

Balance as of August 31, 2016	$	—	*	$	—		$	—		$	—	*	$	—

Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2016	$	—		$	—		$	—		$	—		$	—


High Yield Fund
Balance as of August 31, 2015	$	385,004	*	$	—		$	254,136	*	$	130,868	*	$	—
Total realized gain (loss)		15,197			—			17,926			(2,729	)		—
Accrued discounts (premiums)		3,805			—			—			3,805			—
Change in unrealized appreciation (depreciation)		89,456			—			85,140			4,316			—
Purchases		20,677			—			—			20,677			—
(Sales)		(141,549	)		—			(141,521	)		(28	)		—
Transfers In		54,749			—			—			54,749			—
Transfers Out		—			—			—			—			—

Balance as of August 31, 2016	$	427,339	*	$	—		$	215,681	*	$	211,658	*	$	—

Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2016	$	74,051		$	—		$	77,745		$	(3,694	)	$	—


Inflation-Linked Fixed Income Fund
Balance as of March 8, 2016**	$	—		$	—		$	—		$	—		$	—
Total realized gain (loss)		—			—			—			—			—
Change in unrealized appreciation (depreciation)		(94	)		(94	)		—			—			—
Purchases		800,000			800,000			—			—			—
(Sales)		—			—			—			—			—
Transfers In		—			—			—			—			—
Transfers Out		—			—			—			—			—

Balance as of August 31, 2016	$	799,906		$	799,906		$	—		$	—		$	—

Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2016	$	(94	)	$	(94	)	$	—		$	—		$	—

*	Includes securities that are fair valued at $0.

**	Inception date.

275



Notes to Financial Statements


(continued)

(b) Accounting for Derivative Instruments. Derivative instruments require enhanced disclosures regarding a Fund’s credit derivatives holdings, including credit default swaps, credit spread options, and hybrid financial instruments containing embedded credit derivatives.

All open derivative positions at year end for each Fund are disclosed in the Fund’s Schedule of Investments.

Certain Funds may use derivative instruments including futures, options, forward foreign currency contracts, swaptions and swap contracts as part of their investment strategies. Following is a description of these derivative instruments, including the primary underlying risk exposures related to each instrument type:

(i) Futures Contracts. Certain Funds may enter into futures contracts, to the extent permitted by their investment policies and objectives, for bonafide hedging and other permissible risk management purposes including protecting against anticipated changes in the value of securities a Fund intends to purchase. Upon entering into a futures contract, a Fund is required to deposit cash or securities as initial margin. Additional securities are also segregated as collateral up to the current market value of the futures contracts. Subsequent payments, known as variation margin, are made or received by the Fund, depending on the fluctuation in the value of the underlying financial instruments and are reported on the Statements of Assets and Liabilities. The Fund recognizes an unrealized gain or loss equal to the variation margin. When futures contracts are closed, a realized gain or loss is recognized which is equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contracts.

The risks associated with entering into futures contracts include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. In addition, investing in futures contracts involves the risk that the Fund could lose more than the original margin deposit due to subsequent payments that may be required for a futures transaction.

(ii) Options Written. Certain Funds may write options to manage exposure to certain changes in the market. When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the Fund realizes a gain from investments equal to the amount of the premium received. When a written call option is exercised, the premium received is added to the proceeds from the sale of the underlying security in determining whether the Fund has a realized gain or loss. When a written put option is exercised, the amount of the premium received reduces the cost of the security purchased by the Fund.

When writing a covered call option, a Fund may forego the opportunity of profit if the market price of the underlying security increases more than the premium received and the option is exercised. When writing a put option, a Fund may incur a loss if the market price of the underlying security decreases more than the premium received and the option is exercised. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.

(iii) Purchased Options. Certain Funds may purchase options to manage exposure to certain changes in the market. A Fund will normally purchase call options in anticipation of an increase in the market value of securities of the type in which they may invest, an amount equal to the value is recorded as an asset. The purchase of a call option will entitle a Fund, in return for the premium paid, to purchase specified securities at a specified price during the option period. A Fund will ordinarily realize a gain if, during the option period, the value of such securities exceeded the sum of the exercise price, the premium paid and transaction costs; otherwise, the Fund will realize a loss equal to the amount of the premium paid on the purchase of the call option.

A Fund will normally purchase put options in anticipation of a decline in the market value of securities in its portfolio (“protective puts”) or in securities in which it may invest. The purchase of a put option will entitle the Fund, in exchange for the premium paid, to sell specified securities at a specified price during the option period. The purchase of protective puts is designed to offset or hedge against a decline in the market value of the Fund’s securities. Put options may also be purchased by a Fund for the purpose of affirmatively benefiting from a decline in the price of securities which it does not own. The Fund will ordinarily realize a gain if, during the option period, the value of the underlying securities decreased below the exercise price sufficiently to more than cover the premium and transaction costs; otherwise the Fund will realize a loss equal to the amount of the premium paid on the purchase of the put option. Gains and losses on the purchase of protective put options would tend to be offset by countervailing changes in the value of the underlying portfolio securities.

276



Notes to Financial Statements


(continued)

(iv) Forward Foreign Currency Contracts. Certain Funds may enter into forward foreign currency contracts to hedge against foreign currency exchange rate risk on their non-U.S. dollar denominated securities or to facilitate settlement of foreign currency denominated portfolio transactions. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The contract is marked-to-market daily and the change in value is recorded by a Fund as an unrealized gain or loss. When a forward foreign currency contract is extinguished, through either delivery or offset by entering into another forward foreign currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished.

Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.

(v) Swaptions. Swaptions contracts entered into by the Funds typically represent an option that gives the purchaser the right, but not the obligation, to enter into a swap contract on a future date. Certain Funds may purchase swaptions to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Changes in the value of purchased swaptions are reported as net change in unrealized appreciation or depreciation on the Statements of Operations and Changes in Net Assets Gain or loss is recognized when the swaptions contract expires or is closed as net realized gain or loss on the Statements of Operations and Changes in Net Assets. Details of purchased swaptions contracts held at year/period end are included on the Fund’s Schedule of Investments under the caption “Purchased Options”.

Certain Funds may write swaption contracts to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Swaption contracts written by a Fund represent an option that obligates the writer upon exercise by the purchaser, to enter into a previously agreed upon swap contract on a future date. If a written call swaption is exercised, the writer will enter into a swap and is obligated to pay the fixed rate and receive a floating rate in exchange. If a written put swaption is exercised, the writer will enter a swap and is obligated to pay the floating rate and receive a fixed rate in exchange.

When a Fund writes a swaption, the premium received is recorded as a liability in the Statements of Assets and Liabilities and is subsequently adjusted to the current market value of the swaption. Changes in the value of the swaption are reported as unrealized gains or losses in the Statements of Operations. A gain or loss is recognized when the swaption contract expires or is closed. Premiums received from writing swaptions that expire or are exercised are treated by the Fund as realized gains from investments. The difference between the premium and the amount paid on effecting a closing purchase transaction is also treated as a realized gain or, if the premium received is less than the amount paid for the closing purchase, as a realized loss.

Entering into a swaption contract involves, to varying degrees, the elements of credit, market and interest rate risk, associated with both option contracts and swap contracts. To reduce credit risk from potential counterparty default, a Fund only enters into swaption contracts with counterparties that meet certain standards of creditworthiness. A Fund bears the market risk arising from any change in index values or interest rates.

(vi) Swap Contracts. Swaps involve the exchange by a Fund with another party of the respective amounts payable with respect to a notional principal amount related to one or more indices. Certain Funds may enter into these transactions to preserve a return or spread on a particular investment or portion of its assets, as a duration management technique or to protect against any increase in the price of securities the Fund anticipates purchasing at a later date. Certain Funds may also use these transactions for speculative purposes, such as to obtain the price performance of a security without actually purchasing the security in circumstances where, for example, the subject security is illiquid, is unavailable for direct investment or available only on less attractive terms.

Swaps are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as change in unrealized appreciation or depreciation in the Statements of Operations. Net receipts or payments of interest are recorded as realized gains or losses, respectively. Gains and losses are realized upon termination of a swap contract. An upfront payment received by the Fund, is recorded as a liability on the Fund’s books. An upfront payment made by the Fund is recorded as an asset on the Fund’s books. Any upfront payments paid or received upon entering a swap contract to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as a realized gain or loss at the termination of the swap.

277



Notes to Financial Statements


(continued)

Swaps have risks associated with them, including possible default by the counterparty to the transaction, illiquidity and, where swaps are used as hedges, the risk that the use of a swap could result in losses greater than if the swap had not been employed. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty. Such amounts are reported on the Statements of Assets and Liabilities as deposits with counterparties.

(vii) Credit Default Swaps. Certain Funds may enter into credit default swap contracts for investment purposes, to manage their credit risk or to add leverage. As a seller in a credit default swap contract, a Fund is required to pay the notional or other agreed-upon value to the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the referenced debt obligation. In return, the Fund receives from the counterparty a periodic stream of payments over the term of the contract provided that no event of default has occurred. If no default occurs, the Fund keeps the stream of payments and has no payment obligations. Such periodic payments are accrued daily and accounted for as realized gains.

Certain Funds may also purchase credit default swap contracts in order to hedge against the risk of default by debt securities held in their portfolios. In these cases a Fund functions as the counterparty referenced in the preceding paragraph. As a purchaser of a credit default swap contract, the Fund receives the notional or other agreed upon value from the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the referenced debt obligation. In return, the Fund makes periodic payments to the counterparty over the term of the contract provided no event of default has occurred. Such periodic payments are accrued daily and accounted for as realized losses.

For a credit default swap sold by a Fund, payment of the agreed upon amount made by the Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation received. For a credit default swap purchased by a Fund, the agreed upon amount received by the Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by the Fund.

Entering into credit default swaps involves, to varying degrees, elements of credit and market risk in excess of the related amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there will be unfavorable changes in net interest rates. As privately negotiated transactions, swaps may involve risk, which is the risk that the swap contracts fail to contemplate a particular outcome or that the parties disagree about the proper interpretation of a transaction term.

(viii) Interest Rate Swaps. Certain Funds may enter into interest rate swaps for investment purposes to manage exposure to fluctuations in interest rates or to add leverage. Interest rate swaps represent an agreement between two counterparties to exchange cash flows based on the difference in the fixed interest rate and the floating interest rate, applied to the notional principal amount for a specified period. The payment flows are usually netted against each other, with the difference being paid by one party to the other. Once the payments are settled in cash, the net amount is recorded as realized gain or loss from swap contracts on the Statements of Operations. The Funds settle accrued net receivable or payable under the swap contracts on a periodic basis.

The primary risk associated with interest rate swaps is that unfavorable changes in interest rates could adversely impact a Fund.

(ix) Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally credit and interest derivatives. In a centrally cleared derivative transaction, a Fund typically enters into the transaction with financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of the original counterparty. The Fund typically will be required to post specified levels of margin with the clearinghouse or at the instruction of the clearinghouse. The margin required by a clearinghouse may be greater than the margin the Fund would be required to post in an uncleared derivative transaction. Daily changes in valuation of centrally cleared swaps, if any, are recorded as variation margin receivable or payable on swap contracts for the change in value as appropriate on the Statements of Assets and Liabilities. Only a limited number of derivative transactions are currently eligible for clearing by clearinghouses.

(x) Cross-Currency Swaps. Certain Funds may enter into cross-currency swaps to gain or mitigate exposure to currency risk. Cross-currency swaps involve two parties exchanging two different currencies with an agreement to reverse the exchange at a

278



Notes to Financial Statements


(continued)

later date at specific exchange rates. The exchange of currencies at the inception date of the contract takes place at the current spot rate. The re-exchange at maturity may take place at the same exchange rate, a specified rate, or the then current spot rate. Interest payments, if applicable, are made between the parties based on interest rates available in the two currencies at the inception of the contract. The terms of cross-currency swap contracts may extend for many years. Cross-currency swaps are usually negotiated with commercial and investment banks. Some cross-currency swaps may not provide for exchanging principal cash flows, but only for exchanging interest cash flows.

(xi) Volatility Swap Contracts. A volatility swap is an agreement between counterparties to exchange periodic payments based on the measured volatility of a reference security, index, currency or other reference investment over a specified time frame. One cash flow is typically based on the realized volatility of the reference investment as measured by changes in its price or level over the specified time period while the other cash flow is based on a specified rate representing expected volatility for the reference investment at the time the swap is executed, or the measured volatility of a different reference investment over the specified time period. The appreciation or depreciation on a volatility swap will typically depend on the magnitude of the reference investment’s volatility, or size of the movements in its price, over the specified time period, rather than general directional increases or decreases in its price.

Volatility swaps are less standard in structure than other types of swaps and provide pure, or isolated, exposure to volatility risk of the specific underlying reference investment. Volatility swaps are typically used to speculate on future volatility levels, to trade the spread between realized and expected volatility, or to decrease the volatility exposure of investments held by the Fund.

Variance swaps are a type of volatility swap where counterparties agree to exchange periodic payments based on the measured variance (or the volatility squared) of a reference security, index, or other reference investment over a specified time period. At payment date, a net cash flow will be exchanged based on the difference between the realized variance of the reference investment over the specified time period and the specified rate representing expected variance for the reference investment at the time the swap is executed multiplied by the notional amount of the contract.

(xii) Inflation Rate Swap Contracts. The Fund may enter into inflation rate swap contracts to attempt to hedge against inflation. Pursuant to the inflation rate swap agreement, the Fund negotiates with a counterparty to exchange a periodic stream of payments, based on a benchmark inflation index. One cash flow stream will typically be a floating rate payment linked to the specified inflation index while the other is typically a fixed interest rate.

Inflation rate swaps are normally issued on a zero coupon basis where all payments compound during the life of the contract and are netted upon the termination or maturity of the contract. Final payments received or paid by the Fund are recorded as realized gains or losses in the Statement of Operations. Inflation rate swap contracts are subject to movements in interest rates.

The following is a summary of the fair valuations of the Funds’ derivative instruments categorized by risk exposure at August 31, 2016:

International Equity Fund


Effect of Derivative Instruments on the Statements of Operations as of August 31, 2016

Location	Interest rate risk		Foreign exchange risk			Credit risk		Equity risk		Total
Realized gain/(loss) on derivatives recognized in income (d)
Net realized gain (loss) on forward foreign currency contracts	$	—		$ (634	)	$	—	$	—		$ (634	)

	$	—		$ (634	)	$	—	$	—		$ (634	)

279



Notes to Financial Statements


(continued)

Emerging Markets Equity Fund


Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2016

Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Liability derivatives
Unrealized depreciation on open futures contracts (b)	$	—	$	—	$	—	$	12,626	$	12,626

	$	—	$	—	$	—	$	12,626	$	12,626


Effect of Derivative Instruments on the Statements of Operations as of August 31, 2016

Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk			Total
Realized gain/(loss) on derivatives recognized in income (d)
Net realized gain (loss) on futures contracts		$ —	$	—	$	—	$	(5,343	)	$	(5,343	)
Net realized gain (loss) on forward foreign currency contracts		—		101,939		—		—			101,939

		$ —	$	101,939	$	—	$	(5,343	)	$	96,596

Core Fixed Income Fund


Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2016

Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Asset derivatives
Purchased options (c)	$	45,672	$	—	$	—	$	—	$	45,672
Unrealized appreciation on open futures contracts (b)		79,296		20,325		—		—		99,621
Unrealized appreciation on forward foreign currency contracts (c)		—		199,247		—		—		199,247

	$	124,968	$	219,572	$	—	$	—	$	344,540

Liability derivatives
Options contracts written outstanding (a)	$	49,938	$	—	$	—	$	—	$	49,938
Unrealized depreciation on open futures contracts (b)		283,274		—		—		—		283,274
Unrealized depreciation on forward foreign currency contracts (a)		—		228,474		—		—		228,474
Unrealized depreciation on centrally cleared swaps (f)		752,515		—		—		—		752,515

	$	1,085,727	$	228,474	$	—	$	—	$	1,314,201


Effect of Derivative Instruments on the Statements of Operations as of August 31, 2016

Location	Interest rate risk			Foreign exchange risk			Credit risk		Equity risk		Total
Realized gain/(loss) on derivatives recognized in income (d)
Net realized gain (loss) on purchased options	$	(1,150,577	)	$	—		$	—	$	—	$	(1,150,577	)
Net realized gain (loss) on futures contracts		(967,289	)		(14,438	)		—		—		(981,727	)
Net realized gain (loss) on options written		787,451			—			—		—		787,451
Net realized gain (loss) on swaps contracts		(160,736	)		—			—		—		(160,736	)
Net realized gain (loss) on forward foreign currency contracts		—			(795,259	)		—		—		(795,259	)

	$	(1,491,151	)	$	(809,697	)	$	—	$	—	$	(2,300,848	)

Change in unrealized appreciation (depreciation) on derivatives recognized in income (e)
Net change in unrealized appreciation (depreciation) on purchased options	$	86,916		$	—		$	—	$	—	$	86,916

280



Notes to Financial Statements


(continued)


Effect of Derivative Instruments on the Statements of Operations as of August 31, 2016

Location	Interest rate risk			Foreign exchange risk		Credit risk		Equity risk		Total
Net change in unrealized appreciation (depreciation) on futures contracts	$	193,612		$	28,275	$	—	$	—	$	221,887
Net change in unrealized appreciation (depreciation) on options contracts written		(226,170	)		—		—		—		(226,170	)
Net change in unrealized appreciation (depreciation) on swaps contracts		(517,410	)		—		—		—		(517,410	)
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts		—			335,343		—		—		335,343

	$	(463,052	)	$	363,618	$	—	$	—	$	(99,434	)

International Fixed Income Fund


Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2016

Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Asset derivatives
Purchased options (c)	$	66,317	$	156,812	$	—	$	—	$	223,129
Unrealized appreciation on open futures contracts (b)		836,618		—		—		—		836,618
Unrealized appreciation on forward foreign currency contracts (c)		—		1,664,139		—		—		1,664,139
Unrealized appreciation on centrally cleared swaps (f)		826,056		—		19,888		—		845,944
Unrealized appreciation on open swaps (c)		—		292,106		90,207		—		382,313

	$	1,728,991	$	2,113,057	$	110,095	$	—	$	3,952,143

Liability derivatives
Options contracts written outstanding (a)	$	1,970	$	267,949	$	1,225	$	—	$	271,144
Unrealized depreciation on open futures contracts (b)		383,006		—		—		—		383,006
Unrealized depreciation on forward foreign currency contracts (a)		—		2,839,967		—		—		2,839,967
Unrealized depreciation on centrally cleared swaps (f)		3,231,675		—		75,218		—		3,306,893
Unrealized depreciation on open swaps (a)		—		1,434,770		108,405		—		1,543,175

	$	3,616,651	$	4,542,686	$	184,848	$	—	$	8,344,185


Effect of Derivative Instruments on the Statements of Operations as of August 31, 2016

Location	Interest rate risk			Foreign exchange risk			Credit risk			Equity risk		Total
Realized gain/(loss) on derivatives recognized in income (d)
Net realized gain (loss) on purchased options	$	(59,712	)	$	(344,356	)	$	—		$	—	$	(404,068	)
Net realized gain (loss) on futures contracts		3,231,862			—			—			—		3,231,862
Net realized gain (loss) on options written		212,589			423,798			123,649			—		760,036
Net realized gain (loss) on swaps contracts		(2,228,721	)		310,045			77,007			—		(1,841,669	)
Net realized gain (loss) on forward foreign currency contracts		—			1,983,533			—			—		1,983,533

	$	1,156,018		$	2,373,020		$	200,656		$	—	$	3,729,694

Change in unrealized appreciation (depreciation) on derivatives recognized in income (e)
Net change in unrealized appreciation (depreciation) on purchased options	$	17,597		$	(44,615	)	$	—		$	—	$	(27,018	)
Net change in unrealized appreciation (depreciation) on futures contracts		495,035			—			—			—		495,035
Net change in unrealized appreciation (depreciation) on options contracts written		62,353			101,669			(12,427	)		—		151,595

281



Notes to Financial Statements


(continued)


Effect of Derivative Instruments on the Statements of Operations as of August 31, 2016

Location	Interest rate risk			Foreign exchange risk			Credit risk			Equity risk		Total
Net change in unrealized appreciation (depreciation) on swaps contracts	$	(1,332,359	)	$	(1,747,517	)	$	(176,711	)	$	—	$	(3,256,587	)
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts		—			(410,015	)		—			—		(410,015	)

	$	(757,374	)	$	(2,100,478	)	$	(189,138	)	$	—	$	(3,046,990	)

Inflation-Linked Fixed Income Fund


Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2016

Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Asset derivatives
Purchased options (c)	$	252,681	$	—	$	—	$	—	$	252,681
Unrealized appreciation on open futures contracts (b)		42,794		—		—		—		42,794
Unrealized appreciation on forward foreign currency contracts (c)		—		132,066		—		—		132,066
Unrealized appreciation on open swaps (c)		10,678		—		6,300		—		16,978

	$	306,153	$	132,066	$	6,300	$	—	$	444,519

Liability derivatives
Options contracts written outstanding (a)	$	5,500	$	9,881	$	159	$	—	$	15,540
Unrealized depreciation on open futures contracts (b)		56,654		—		—		—		56,654
Unrealized depreciation on forward foreign currency contracts (a)		—		1,108,640		—		—		1,108,640
Unrealized depreciation on centrally cleared swaps (f)		762,014		—		2,630		—		764,644
Unrealized depreciation on open swaps (a)		133,863		—		—		—		133,863

	$	958,031	$	1,118,521	$	2,789	$	—	$	2,079,341


Effect of Derivative Instruments on the Statements of Operations as of August 31, 2016

Location	Interest rate risk			Foreign exchange risk			Credit risk			Equity risk		Total
Realized gain/(loss) on derivatives recognized in income (d)
Net realized gain (loss) on purchased options	$	(6,897	)	$	(1,778	)	$	—		$	—	$	(8,675	)
Net realized gain (loss) on futures contracts		(147,870	)		—			—			—		(147,870	)
Net realized gain (loss) on options written		20,145			16,263			12,181			—		48,589
Net realized gain (loss) on swaps contracts		(23,529	)		—			(2,712	)		—		(26,241	)
Net realized gain (loss) on forward foreign currency contracts		—			93,909			—			—		93,909

	$	(158,151	)	$	108,394		$	9,469		$	—	$	(40,288	)

Change in unrealized appreciation (depreciation) on derivatives recognized in income (e)
Net change in unrealized appreciation (depreciation) on purchased options	$	(8,428	)	$	—		$	—		$	—	$	(8,428	)
Net change in unrealized appreciation (depreciation) on futures contracts		(13,860	)		—			—			—		(13,860	)
Net change in unrealized appreciation (depreciation) on options contracts written		787			17,280			58			—		18,125
Net change in unrealized appreciation (depreciation) on swaps contracts		(885,199	)		—			3,670			—		(881,529	)
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts		—			(976,574	)		—			—		(976,574	)

	$	(906,700	)	$	(959,294	)	$	3,728		$	—	$	(1,862,266	)

282



Notes to Financial Statements


(continued)

Ultra-Short Term Fixed Income Fund


Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2016

Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Asset derivatives
Unrealized appreciation on open futures contracts (b)	$	73,995	$	—	$	—	$	—	$	73,995
Unrealized appreciation on forward foreign currency contracts (c)		—		85,947		—		—		85,947

	$	73,995	$	85,947	$	—	$	—	$	159,942

Liability derivatives
Unrealized depreciation on open futures contracts (b)	$	142,814	$	—	$	—	$	—	$	142,814
Unrealized depreciation on forward foreign currency contracts (a)		—		48,646		—		—		48,646

	$	142,814	$	48,646	$	—	$	—	$	191,460


Effect of Derivative Instruments on the Statements of Operations as of August 31, 2016

Location	Interest rate risk			Foreign exchange risk		Credit risk		Equity risk		Total
Realized gain/(loss) on derivatives recognized in income (d)
Net realized gain (loss) on futures contracts	$	(180,731	)	$	—	$	—	$	—	$	(180,731	)
Net realized gain (loss) on swaps contracts		16,072			—		—		—		16,072
Net realized gain (loss) on forward foreign currency contracts		—			64,087		—		—		64,087

	$	(164,659	)	$	64,087	$	—	$	—	$	(100,572	)

Change in unrealized appreciation (depreciation) on derivatives recognized in income (e)
Net change in unrealized appreciation (depreciation) on futures contracts	$	(68,819	)	$	—	$	—	$	—	$	(68,819	)
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts		—			37,301		—		—		37,301

	$	(68,819	)	$	37,301	$	—	$	—	$	(31,518	)

(a)	Statements of Assets and Liabilities location: Unrealized depreciation on open forward foreign currency contracts, unrealized depreciation on open swap contracts or options contracts written, at value.

(b)	Only variation margin, if any, is reported within the Statements of Assets and Liabilities. Cumulative appreciation (depreciation) on futures contracts is reported in the “Open Futures Contracts” table in the Fund’s Schedule of Investments.

(c)	Statements of Assets and Liabilities location: Investments, at value or unrealized appreciation on open forward foreign currency contracts or unrealized appreciation on open swap contracts.

(d)	Statements of Operations location: Net realized gain (loss) from investments, foreign currency transactions, futures contracts, options contracts written or swap contracts.

(e)	Statements of Operations location: Change in net unrealized appreciation (depreciation) from investments, foreign currency transactions, futures contracts, options contracts written or swap contracts.

(f)	Only variation margin, if any, is reported within the Statements of Assets and Liabilities. Cumulative appreciation (depreciation) on centrally cleared swaps is reported in the “Open Swap Contracts” table in the Fund’s Schedule of Investments.

283



Notes to Financial Statements


(continued)

The average notional amounts of futures contracts, swaps contracts and forward foreign currency contracts, and the average market value of options contracts written and purchased options outstanding during the year/period ended August 31, 2016 were as follows:

International Equity Fund


	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Forward foreign currency contracts	$	—	$	2,627	$	—	$	—	$	2,627

Emerging Markets Equity Fund


	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Futures contracts	$	—	$	—	$	—	$	69,271	$	69,271
Forward foreign currency contracts		—		55,299		—		—		55,299

Core Fixed Income Fund


	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Purchased options	$	85,568	$	—	$	—	$	—	$	85,568
Futures contracts		285,062,994		835,995		—		—		285,898,989
Option contracts written		75,298		—		—		—		75,298
Swap contracts		2,729,615		—		—		—		2,729,615
Forward foreign currency contracts		—		33,376,289		—		—		33,376,289

International Fixed Income Fund


	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Purchased options	$	10,744	$	111,454	$	—	$	—	$	122,198
Futures contracts		155,965,799		—		—		—		155,965,799
Option contracts written		68,195		159,406		15,490		—		243,091
Swap contracts		249,754,513		60,003,957		42,674,254		—		352,432,724
Forward foreign currency contracts		—		444,532,008		—		—		444,532,008

Inflation-Linked Fixed Income Fund


	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Purchased options	$	109,513	$	526	$	—	$	—	$	110,039
Futures contracts		16,849,206		—		—		—		16,849,206
Option contracts written		2,933		12,357		971		—		16,261
Swap contracts		33,291,460		—		600,000		—		33,891,460
Forward foreign currency contracts		—		19,649,345		—		—		19,649,345

Ultra-Short Term Fixed Income Fund


	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Futures contracts	$	95,922,222	$	—	$	—	$	—	$	95,922,222
Swap contracts		10,641,840		—		—		—		10,641,840
Forward foreign currency contracts		—		24,385,027		—		—		24,385,027

284



Notes to Financial Statements


(continued)

(c) Repurchase Agreements. When entering into repurchase agreements, it is the Funds’ policy that their custodian or a third party custodian takes possession of the underlying collateral securities, the market value of which at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market daily to ensure the adequacy of the collateral. If the seller defaults and the market value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Funds may be delayed or limited.

(d) Stripped Securities. Certain Funds may invest in “Stripped Securities”, a term used collectively for stripped fixed income securities. Stripped Securities can be principal-only securities (“PO”), which are debt obligations that have been stripped of interest coupons, or interest-only securities (“IO”), which are interest coupons that have been stripped from debt obligations. As is the case with all securities, the market value of Stripped Securities will fluctuate in response to changes in economic conditions, interest rates and the market’s perception of the securities. However, fluctuations in response to interest rates may be greater in Stripped Securities than for debt obligations of comparable maturities that pay interest currently. The amount of fluctuation increases with a longer period of maturity. The yield-to-maturity on an IO is sensitive to the rate of principal repayments (including prepayments) on the related underlying debt obligation and principal payments may have a material effect on yield to maturity. If the underlying debt obligation experiences greater than anticipated prepayments of principal, the Fund may not fully recoup its initial investment in the IO.

(e) Time Deposits. Certain Funds may purchase overnight time deposits issued by offshore branches of U.S. banks that meet credit and risk standards established by the custodian and approved by the Board.

(f) Lending of Portfolio Securities. The Trust has an agreement with its custodian, whereby the custodian, as agent, may lend securities owned by the Funds to brokers, dealers and other financial organizations that have been approved as borrowers by the Funds. The custodian enters into agreements with the borrowers. Loans of securities by a Fund are collateralized by cash, U.S. government securities or irrevocable performance letters of credit issued by banks approved by the Funds. All non-cash collateral is received, held and administered by the custodian in an applicable custody account or other account established for the purpose of holding collateral for each Fund. Cash collateral received by the Funds as a result of securities lending activities is invested in an unaffiliated registered money market fund, and is recorded as Payable for collateral received from securities on loan within the Statements of Assets and Liabilities. Securities lending income represents the income earned on investing cash collateral plus any premium payments that may be received on the loan of certain types of securities, less fees and expenses associated with the loan. Each Fund maintains the risk of any market loss on its securities on loan as well as the potential loss on investments purchased with cash collateral received from its securities lending. The custodian has the right under its agreement with the borrowers to recover any loaned securities from the borrower on demand. Additionally, the Funds are exposed to risks that a borrower may not provide additional collateral when required or return loaned securities when due. If the borrower fails to return the securities, the custodian will use the collateral to purchase replacement securities. The custodian is responsible for any shortfall in collateral value under certain circumstances. See Note 1 (u).

The following table presents securities on loan that are subject to enforceable netting arrangements as of August 31, 2016.

Gross Amounts Not Offset in the Statements of Assets and Liabilities


	Gross Asset Amount Presented in Statements of Assets and Liabilities (a)		Financial Instrument		Collateral Received (b)(c)			Net Amount (Not Less than $0)
Large Cap Equity Fund	$	17,248,178	$	—	$	(17,248,178	)	$	—
Small-Mid Cap Equity Fund		17,872,527		—		(17,872,527	)		—
International Equity Fund		3,917,121		—		(3,917,121	)		—
Emerging Markets Equity Fund		3,491,623		—		(3,491,623	)		—
Core Fixed Income Fund		20,108,393		—		(20,108,393	)		—
High Yield Fund		13,202,348		—		(13,202,348	)		—
International Fixed Income Fund		529,502		—		(529,502	)		—

(a)	Represents market value of securities on loan at period end.

(b)	The Funds received cash collateral of $17,790,848, $18,447,756, $4,174,893, $3,683,541, $20,555,472, $13,683,734 and $557,865, respectively, which was subsequently invested in Invesco STIT — Government & Agency Portfolio as reported in the Schedules of Investments.

(c)	The actual collateral received could be greater than the amount shown here due to overcollateralization.

285



Notes to Financial Statements


(continued)

The Funds have adopted the disclosure provisions of FASB Accounting Standards Update No. 2014-11 (“ASU No. 2014-11”), “Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures”. ASU No. 2014-11 is intended to provide increased transparency about the types of collateral pledged in securities lending transactions and other similar transactions that are accounted for as secured borrowing.

The following table displays a breakdown of transactions accounted for as secured borrowings, the gross obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of August 31, 2016.


	Remaining Contractual Maturity of the Agreements As of August 31, 2016
	Overnight and Continuous		< 30 days		Between 30 & 90 days		> 90 days		Total
Large Cap Equity Fund
Securities Lending Transactions
Common Stocks	$	17,790,848	$	—	$	—	$	—	$	17,790,848

Total Borrowings	$	17,790,848	$	—	$	—	$	—	$	17,790,848

Gross amount of recognized liabilities for securities lending transactions					$	—	$	—	$	17,790,848


Small-Mid Cap Equity Fund
Securities Lending Transactions
Common Stocks	$	18,447,756	$	—	$	—	$	—	$	18,447,756

Total Borrowings	$	18,447,756	$	—	$	—	$	—	$	18,447,756

Gross amount of recognized liabilities for securities lending transactions					$	—	$	—	$	18,447,756


International Equity Fund
Securities Lending Transactions
Common Stocks	$	4,174,893	$	—	$	—	$	—	$	4,174,893

Total Borrowings	$	4,174,893	$	—	$	—	$	—	$	4,174,893

Gross amount of recognized liabilities for securities lending transactions					$	—	$	—	$	4,174,893


Emerging Markets Equity Fund
Securities Lending Transactions
Common Stocks	$	3,683,541	$	—	$	—	$	—	$	3,683,541

Total Borrowings	$	3,683,541	$	—	$	—	$	—	$	3,683,541

Gross amount of recognized liabilities for securities lending transactions					$	—	$	—	$	3,683,541


Core Fixed Income Fund
Securities Lending Transactions
Corporate Securities	$	180,472	$	—	$	—	$	—	$	180,472
Government Securities		20,375,000		—		—		—		20,375,000

Total Borrowings	$	20,555,472	$	—	$	—	$	—	$	20,555,472

Gross amount of recognized liabilities for securities lending transactions					$	—	$	—	$	20,555,472


High Yield Fund
Securities Lending Transactions
Corporate Securities	$	13,683,734	$	—	$	—	$	—	$	13,683,734

Total Borrowings	$	13,683,734	$	—	$	—	$	—	$	13,683,734

Gross amount of recognized liabilities for securities lending transactions					$	—	$	—	$	13,683,734


International Fixed Income Fund
Securities Lending Transactions
Corporate Securities	$	557,865	$	—	$	—	$	—	$	557,865

286



Notes to Financial Statements


(continued)


	Remaining Contractual Maturity of the Agreements As of August 31, 2016
	Overnight and Continuous		< 30 days		Between 30 & 90 days		> 90 days		Total
International Fixed Income Fund
Reverse Repurchase Agreements Transactions
Sovereign Bonds	$	—	$	1,552,240	$	3,893,708	$	—	$	5,445,948
U.S. Government Obligations		—		1,415,750		9,746,852		—		11,162,602

Total Borrowings	$	557,865	$	2,967,990	$	13,640,560	$	—	$	17,166,415

Gross amount of recognized liabilities for securities lending transactions and reverse repurchase agreements transactions					$	—	$	—	$	17,166,415


Inflation-Linked Fixed Income Fund
Reverse Repurchase Agreements Transactions
U.S. Government Obligations	$	—	$	57,641,125	$	—	$	—	$	57,641,125

Total Borrowings	$	—	$	57,641,125	$	—	$	—	$	57,641,125

Gross amount of recognized liabilities for reverse repurchase agreements transactions					$	—	$	—	$	57,641,125

(g) To-Be-Announced Purchase and Sale Commitments. Certain Funds may trade securities on a to-be-announced (“TBA”) basis. In a TBA transaction, a Fund commits to purchasing or selling securities which have not yet been issued by the issuer and for which specific information is not known, such as the face amount and maturity date and the underlying pool of investments in U.S. government agency mortgage pass-through transactions. Securities purchased on a TBA basis are not settled until they are delivered to the Fund, normally 15 to 45 days later. Beginning on the date the Fund enters into a TBA transaction, cash, U.S. government securities or other liquid high-grade debt obligations are segregated in an amount equal in value to the purchase price of the TBA security. These transactions are marked-to-market on a daily basis and are subject to market fluctuations. Realized gains or losses on TBA purchase commitments are included in Net realized gain (loss) on investments on the Statements of Operations. Any fluctuation in the value of the purchased TBA commitments is included in Net change in unrealized appreciation (depreciation) on investments on the Statements of Operations.

Additionally, when a Fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A Fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund’s Schedule of Investments under the caption “Schedule of Forward Sale Commitments”. The proceeds and value of these commitments are recorded as Forward Sale Commitments at value in the Statements of Assets and Liabilities.

(h) Short Sales of Securities. A short sale is a transaction in which a Fund sells securities it does not own in anticipation of a decline in the market price of the securities. To complete a short sale, the Fund may arrange through a broker to borrow the securities to be delivered to the buyer. The proceeds received by the Fund for the short sale are retained by the broker until the Fund replaces the borrowed securities. In borrowing the securities to be delivered to the buyer, the Fund becomes obligated to replace the securities borrowed at their market price at the time of replacement, whatever that price may be.

The risk of engaging in short sale transactions is that selling short magnifies the potential for loss to a Fund. The larger the Fund’s short position, the greater the potential loss. If a security sold short increases in price, the Fund may have to cover its short position at a higher price than the short sale price, resulting in a loss. To borrow the security, the Fund also may be required to pay a premium, which could decrease the proceeds of the security sold short. The amount of any gain will be decreased, and the amount of any loss increased, by the amount of the premium, dividends, interest or expenses the Fund may be required to pay in connection with the short sale. In addition, because the Fund’s loss on a short sale arises from increases in the value of the security sold short, such loss is unlimited.

(i) Mortgage Dollar Rolls. Certain Funds may sell mortgage-backed securities for delivery in the current month and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities to settle on a specific future

287



Notes to Financial Statements


(continued)

date at an agreed upon price. Pools of mortgage securities are used to collateralize mortgage dollar roll transactions and may have different prepayment histories than those sold. During the period between the sale and the repurchase, a Fund forgoes principal and interest paid on the securities sold. Proceeds of the sale will be invested in short-term instruments and the income from these investments, together with any additional fee income received on a sale, is intended to generate income for a Fund. A Fund accounts for mortgage dollar roll transactions as purchases and sales and realizes the gain or loss at the time the transaction is entered into on these transactions. If certain criteria are met, these dollar roll transactions may be considered financing transactions, whereby the difference in the sale price and the future purchase price is recorded as an adjustment to interest income.

Mortgage dollar roll transactions involve the risk that the market value of the securities a Fund is obligated to repurchase under the agreement may decline below the repurchase price of those securities. If investment performance of securities purchased with proceeds from these transactions does not exceed the income, capital appreciation and gain or loss that would have been realized on the securities sold as part of the dollar roll, the use of this technique will adversely impact the investment performance of a Fund. In the event the buyer of securities under a mortgage dollar roll files for bankruptcy or becomes insolvent, the Fund’s use of proceeds of the dollar roll may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund’s obligation to repurchase the securities.

(j) Credit and Market Risk. Certain Funds invest in high yield instruments that are subject to certain credit and market risks. The yields of high yield obligations reflect, among other things, perceived credit and market risks. Each Fund’s investment in securities rated below investment grade typically involve risks not associated with higher rated securities, including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading.

(k) Foreign Investment and Currency Risks. Certain Funds’ investments in foreign securities may involve risks not present in domestic investments. Because securities may be denominated in foreign currencies and may require settlement in foreign currencies and pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of a Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.

(l) Emerging Markets Risk. In addition to foreign investment and currency risks, which tend to be amplified in emerging markets, emerging markets may experience rising interest rates, or, more significantly, rapid inflation or hyperinflation. The economies of emerging market countries may grow at slower rates than expected or suffer a downturn or recession. Emerging market securities may present market, credit, liquidity, legal, political and other risks different from, or greater than, the risks of investing in developed foreign countries.

(m) Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.

(n) Security Transactions and Investment Income. Security transactions are accounted for on a trade date basis. Interest income, adjusted for amortization of premium and accretion of discount, is recorded on an accrual basis. Dividend income is recorded on the ex-dividend date. Foreign dividend income is recorded on the ex-dividend date or as soon as practical after a Fund determines the existence of a dividend declaration after exercising reasonable due diligence. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults on an expected interest payment, the Trust’s policy is to generally halt any additional “interest income accruals and accretion” and consider the Fund’s ability to realize interest accrued up to the date of default.

(o) Foreign Currency Translation. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.

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Notes to Financial Statements


(continued)

The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments in the Statements of Operations.

Net realized foreign exchange gains or losses arise from sales of foreign currencies, including gains and losses on forward foreign currency contracts, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities, at the date of valuation, resulting from changes in exchange rates.

Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.

(p) Distributions to Shareholders. Distributions from net investment income for Large Cap Equity Fund, Small-Mid Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund and International Fixed Income Fund, if any, are declared and paid on an annual basis. Distributions from net investment income for Core Fixed Income Fund, High Yield Fund, Municipal Bond Fund, Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund, if any, are declared and paid on a monthly basis.

The Funds intend to satisfy conditions that will enable interest from municipal securities, which are exempt from regular federal income tax and from designated state income taxes, to retain such tax-exempt status when distributed to the shareholders of the Funds. Distributions of net realized gains to shareholders of the Funds, if any, are taxable and are declared at least annually. Distributions to shareholders of the Funds are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.

(q) Federal and Other Taxes. It is the Trust’s policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, each Fund intends to distribute substantially all of its income and net realized gains on investments, if any, to shareholders each year. Therefore, no federal income tax provision is required in the Funds’ financial statements. Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.

Management has reviewed the tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years or expected to be taken in 2016 tax returns. Each Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

(r) Reclassification. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share.


Fund		Undistributed (Dividend in excess of) Net Investment Income			Undistributed Realized Gains/ (Accumulated Net Realized Losses)			Paid-in Capital
Large Cap Equity Fund	(a),(h)	$	(1,209,745	)	$	(183,440,513	)	$	184,650,258
Small-Mid Cap Equity Fund	(a),(b),(c),(h)		(198,433	)		(2,808,385	)		3,006,818
International Equity Fund	(c),(g)		554,740			(554,740	)		—
Emerging Markets Equity Fund	(c),(g)		457,020			(452,159	)		(4,861	)
Core Fixed Income Fund	(d),(e),(g),(h)		612,733			(2,358,593	)		1,745,860
High Yield Fund	(d),(f)		1,088,969			(1,088,969	)		—
Municipal Bond Fund	(h)		—			(17,904	)		17,904
International Fixed Income Fund	(c),(d),(g)		(1,610,724	)		1,610,724			—
Inflation-Linked Fixed Income Fund	(d),(e),(g)		2,270,625			(2,235,355	)		(35,270	)
Ultra-Short Term Fixed Income Fund	(d),(g)		567,500			(567,500	)		—

(a)	Reclassifications are primarily due to book/tax differences in the treatment of distributions from real estate investment trusts.

289



Notes to Financial Statements


(continued)

(b)	Reclassifications are primarily due to a tax net operating loss.

(c)	Reclassifications are primarily due to foreign currency transactions treated as ordinary income for tax purposes, and book/tax differences in the treatment of passive foreign investment companies.

(d)	Reclassifications are primarily due to differences between book and tax amortization of premium on fixed income securities.

(e)	Reclassifications are primarily due to distribution reclass.

(f)	Reclassifications are primarily due to defaulted bond interest reclass.

(g)	Reclassifications are primarily due to foreign currency transactions treated as ordinary income for tax purposes.

(h)	Reclassifications are primarily due to use of tax equalization

(s) Restricted Securities. All Funds may invest in non-publicly traded securities, commonly called restricted securities. Restricted securities may be less liquid than publicly-traded securities. Although certain restricted securities may be resold in privately negotiated transactions, the values realized from these sales could be less than originally paid by a Fund. Certain restricted securities may be deemed liquid by the Manager and/or Sub-adviser pursuant to the procedures approved by the Board. The value of restricted securities is determined as described in Note 1(a).

(t) Reverse Repurchase Agreements. Certain Funds may each enter into reverse repurchase agreements with the financial institutions with which it may enter into repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities to a financial institution and agrees to repurchase them at a mutually agreed upon date, price and rate of interest. During the period between the sale and repurchase, the Fund would not be entitled to principal and interest paid on the securities sold by the Fund. The Fund, however, would seek to achieve gains derived from the difference between the current sale price and the forward price for the future purchase as well as the interest earned on the proceeds on the initial sale. Reverse repurchase agreements will be viewed as borrowings by a Fund for the purpose of calculating the Fund’s indebtedness and will have the effect of leveraging the Fund’s assets.

(u) Indemnification. In the normal course of business, the Funds may enter into contracts that provide certain indemnifications. The Funds’ maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be estimated; however, based on experience, risk of loss from such claims is considered remote.

(v) Senior Floating-Rate Loans. Interests in senior floating-rate loans (Senior Loans) for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service. Other Senior Loans are valued at fair value by the investment adviser under procedures approved by the Trustees. In fair valuing a Senior Loan, the investment adviser utilizes one or more of the valuation techniques described in (i) through (iii) below to assess the likelihood that the borrower will make a full repayment of the loan underlying such Senior Loan relative to yields on other Senior Loans issued by companies of comparable credit quality. If the investment adviser believes that there is a reasonable likelihood of full repayment, the investment adviser will determine fair value using a matrix pricing approach that considers the yield on the Senior Loan. If the investment adviser believes there is not a reasonable likelihood of full repayment, the investment adviser will determine fair value using analyses that include, but are not limited to: (i) a comparison of the value of the borrower’s outstanding equity and debt to that of comparable public companies; (ii) a discounted cash flow analysis; or (iii) when the investment adviser believes it is likely that a borrower will be liquidated or sold, an analysis of the terms of such liquidation or sale. In certain cases, the investment adviser will use a combination of analytical methods to determine fair value, such as when only a portion of a borrower’s assets are likely to be sold. In conducting its assessment and analyses for purposes of determining fair value of a Senior Loan, the investment adviser will use its discretion and judgment in considering and appraising relevant factors. Fair value determinations are made by the portfolio managers of the Fund based on information available to such managers. The portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may not possess the same information about a Senior Loan borrower as the portfolio managers of the Fund. At times, the fair value of a Senior Loan determined by the portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may vary from the fair value of the same Senior Loan determined by the portfolio managers of the Fund. The fair value of each Senior Loan is periodically reviewed and approved by the investment adviser’s Valuation Committee and by the Trustees based upon procedures approved by the Trustees. Junior Loans (i.e., subordinated loans and second lien loans) are valued in the same manner as Senior Loans.

(w) Disclosure about Offsetting Assets and Liabilities. In order to better define contractual rights under derivative contracts and to secure rights that will help the Funds mitigate their counterparty risk, a sub-adviser may, on behalf of the Funds, enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty

290



Notes to Financial Statements


(continued)

that governs OTC derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The ISDA Master Agreement gives a Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net amount payable by one party to the other. Absent an event of default by the counterparty or a termination of the agreement, the ISDA Master Agreement does not result in an offset of reported amounts of assets and liabilities in the Statements of Assets and Liabilities across the transactions between the Funds and the applicable counterparty. The right to offset and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the Funds’ credit risk to such counterparty equal to any amounts payable by the Funds under the applicable transactions, if any. The enforceability of the right to offset may vary by jurisdiction.

Cash collateral that has been received or pledged to cover obligations under derivative contracts, if any, will be reported separately in the Statements of Assets and Liabilities. Generally the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of the Fund and/or counterparty is held in segregated accounts by the Fund’s custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as deposits with counterparties and, in the case of cash pledged by counterparty for the benefit of the Fund, a corresponding liability in the Statements of Assets and Liabilities. Securities pledged by the Fund as collateral, if any, are identified as such in the Schedule of Investments. The carrying amount of such deposits due to brokers at August 31, 2016 approximated their fair value. If measured at fair value, such deposits would have been considered as Level 2 in the fair value hierarchy (see Note 1(a)).

Repurchase agreements and reverse repurchase agreements may be entered into by the Funds under Master Repurchase Agreements (“MRA”) which permit a Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. The Fund’s repurchase agreements as of August 31, 2016 are shown on a gross basis and the required offsetting disclosures are shown in the Schedules of Investments. The value of the related collateral exceeded the value of the repurchase agreements as of August 31, 2016.

For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities.

The following table presents the Funds’ gross and net amounts of assets and liabilities, by derivative type, available for offset under a master netting agreement, or similar agreement as of August 31, 2016.


	Assets		Liabilities
Derivative Instruments (a)	Gross Amounts of Recognized Assets Presented in the Statements of Assets and Liabilities		Gross Amounts of Recognized Liabilities Presented in the Statements of Assets and Liabilities
Core Fixed Income Fund:
Forward foreign currency contracts	$	199,247	$	228,474

Total Derivative Instruments, subject to master netting arrangement or similar arrangement	$	199,247	$	228,474

International Fixed Income Fund:
Forward foreign currency contracts	$	1,664,139	$	2,839,967
Options contract		222,265		271,144
Swap contracts (b)		382,313		1,543,175

Total Derivative Instruments, subject to master netting arrangement or similar arrangement	$	2,268,717	$	4,654,286

291



Notes to Financial Statements


(continued)


	Assets		Liabilities
Derivative Instruments (a)	Gross Amounts of Recognized Assets Presented in the Statements of Assets and Liabilities		Gross Amounts of Recognized Liabilities Presented in the Statements of Assets and Liabilities
Inflation-Linked Fixed Income Fund:
Forward foreign currency contracts	$	132,066	$	1,108,640
Options contracts		215,969		10,040
Swap contracts (b)		16,978		133,863

Total Derivative Instruments, subject to master netting arrangement or similar arrangement	$	365,013	$	1,252,543

Ultra-Short Term Fixed Income Fund:
Forward foreign currency contracts	$	85,947	$	48,646

Total Derivative Instruments, subject to master netting arrangement or similar arrangement	$	85,947	$	48,646

(a)	Excludes exchange-traded derivatives.

(b)	The total value of the net amounts of assets and liabilities is comprised of Swap contracts, at value on the Statements of Assets and Liabilities less the net value of the Upfront premiums paid (received) disclosed in the Fund’s Schedules of Investments.

The following table presents the Funds’ derivative assets and liabilities by counterparty net of amounts available for offset under master netting or similar agreements, and net of related collateral received or pledged as of August 31, 2016.


Counterparty	Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (a)			Collateral Received (e)		Net Amount (b)
Core Fixed Income Fund
Over-the-counter
Bank of America	$	48,359	$	(18,972	)	$	—	$	29,387
Barclays Bank PLC		53,966		(34,561	)		—		19,405
Citigroup Global Markets Inc.		96,922		(96,922	)		—		—

Total Over-the-counter derivative instruments	$	199,247	$	(150,455	)	$	—	$	48,792


Counterparty	Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (c)			Collateral Pledged (e)		Net Amount (d)
Core Fixed Income Fund
Over-the-counter
Bank of America	$	18,972	$	(18,972	)	$	—	$	—
Barclays Bank PLC		34,561		(34,561	)		—		—
Citigroup Global Markets Inc.		174,941		(96,922	)		—		78,019

Total Over-the-counter derivative instruments	$	228,474	$	(150,455	)	$	—	$	78,019

292



Notes to Financial Statements


(continued)



Counterparty	Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (a)			Collateral Received (e)			Net Amount (b)
International Fixed Income Fund
Over-the-counter
Bank of America	$	537,274	$	(537,274	)	$	—		$	—
Barclays Bank PLC		12,587		(12,587	)		—			—
BNP Paribas SA		189,613		(69,718	)		(119,895	)		—
Citigroup Global Markets Inc.		81,198		(81,198	)		—			—
Deutsche Bank AG		267,755		(267,755	)		—			—
Goldman Sachs & Co.		345,592		(345,592	)		—			—
HSBC Bank USA		197,620		(122,896	)		—			74,724
JPMorgan Chase & Co.		224,602		(224,602	)		—			—
Royal Bank of Scotland PLC		—		—			—			—
Societe Generale SA		53,039		(29,085	)		—			23,954
Standard Chartered Bank		117,595		(58,449	)		—			59,146
UBS Securities LLC		240,264		(240,264	)		—			—
Westpac Banking Corp		1,578		—			—			1,578

Total Over-the-counter derivative instruments	$	2,268,717	$	(1,989,420	)	$	(119,895	)	$	159,402


Counterparty	Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (c)			Collateral Pledged (e)			Net Amount (d)
International Fixed Income Fund
Over-the-counter
Bank of America	$	1,410,181	$	(537,274	)	$	—		$	872,907
Barclays Bank PLC		607,155		(12,587	)		—			594,568
BNP Paribas SA		69,718		(69,718	)		—			—
Citigroup Global Markets Inc.		267,592		(81,198	)		—			186,394
Deutsche Bank AG		286,706		(267,755	)		—			18,951
Goldman Sachs & Co.		801,528		(345,592	)		—			455,936
HSBC Bank USA		122,896		(122,896	)		—			—
JPMorgan Chase & Co.		669,417		(224,602	)		—			444,815
Royal Bank of Scotland PLC		8,192		—			—			8,192
Societe Generale SA		29,085		(29,085	)		—			—
Standard Chartered Bank		58,449		(58,449	)		—			—
UBS Securities LLC		323,367		(240,264	)		—			83,103
Westpac Banking Corp		—		—			—			—

Total Over-the-counter derivative instruments	$	4,654,286	$	(1,989,420	)	$	—		$	2,664,866

293



Notes to Financial Statements


(continued)


Counterparty	Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (a)			Collateral Received (e)			Net Amount (b)
Inflation-Linked Fixed Income Fund
Over-the-counter
Barclays Bank PLC	$	—	$	—		$	—		$	—
BNP Paribas SA		34,251		(34,251	)		—			—
Deutsche Bank AG		164,509		(132,234	)		(32,275	)		—
HSBC Bank USA		1,486		(1,486	)		—			—
JPMorgan Chase & Co.		164,767		(109,255	)		(30,000	)		25,512
Standard Chartered Bank		—		—			—			—

Total Over-the-counter derivative instruments	$	365,013	$	(277,226	)	$	(62,275	)	$	25,512


Counterparty	Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (c)			Collateral Pledged (e)			Net Amount (d)
Inflation-Linked Fixed Income Fund
Over-the-counter
Barclays Bank PLC	$	522	$	—		$	—		$	522
BNP Paribas SA		993,685		(34,251	)		—			959,434
Deutsche Bank AG		132,234		(132,234	)		—			—
HSBC Bank USA		3,547		(1,486	)		—			2,061
JPMorgan Chase & Co.		109,255		(109,255	)		—			—
Standard Chartered Bank		13,300		—			—			13,300

Total Over-the-counter derivative instruments	$	1,252,543	$	(277,226	)	$	—		$	975,317


Counterparty	Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (a)			Collateral Received (e)			Net Amount (b)
Ultra-Short Term Fixed Income Fund
Over-the-counter
BNP Paribas SA	$	3,371	$	(3,371	)	$	—		$	—
HSBC Bank USA		1,106		(1,106	)		—			—
JPMorgan Chase & Co.		79,764		(13,932	)		—			65,832
Standard Chartered Bank		1,706		(1,706	)		—			—

Total Over-the-counter derivative instruments	$	85,947	$	(20,115	)	$	—		$	65,832

294



Notes to Financial Statements


(continued)


Counterparty	Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (c)			Collateral Pledged (e)		Net Amount (d)
Ultra-Short Term Fixed Income Fund
Over-the-counter
BNP Paribas SA	$	22,141	$	(3,371	)	$	—	$	18,770
HSBC Bank USA		7,983		(1,106	)		—		6,877
JPMorgan Chase & Co.		13,932		(13,932	)		—		—
Standard Chartered Bank		4,590		(1,706	)		—		2,884

Total Over-the-counter derivative instruments	$	48,646	$	(20,115	)	$	—	$	28,531

(a)	Represents the amount of assets that could be offset by liabilities with the same counterparty under master netting or similar agreements that are not offset on the Statements of Assets and Liabilities.

(b)	Net amount represents the new amount receivable from the counterparty in the event of default.

(c)	Represents the amount of liabilities that could be offset by assets with the same counterparty under master netting or similar agreements that are not offset on the Statements of Assets and Liabilities.

(d)	Net amount represents the net amount payable to the counterparty in the event of default.

(e)	In some instances, the actual collateral received and/or pledged may be more than the amount shown here due to overcollateralization.

2. Investment Management Agreement and Other Transactions with Affiliates

CGAS, a business of Morgan Stanley Smith Barney Holdings LLC (“MSSBH”), serves as the investment manager to the Funds. The Manager selects and oversees professional money managers who are responsible for investing the assets of the Funds (each a “Sub-adviser,” and collectively the “Sub-advisers”). Each Fund pays the Manager an investment management fee calculated daily at an annual rate based on each Fund’s average daily net assets and paid monthly in arrears. The Manager pays each Sub-adviser a sub-advisory fee from its investment management fees.

Effective January 1, 2016, CGAS has contractually agreed to waive fees and reimburse expenses for a period of one year in order to keep the Fund’s management fee from exceeding 0.20% more than the total amount of sub-advisory fees paid by CGAS. This contractual waiver and reimbursement will only apply if the Fund’s total operating costs exceed the total amount of sub-advisory fees paid by CGAS plus 0.20%, and will not affect the Fund’s total operating costs if they are less than such amount. This fee waiver and reimbursement agreement shall remain in effect until January 1, 2017. The agreement may be amended or terminated only with the consent of the Board.

The maximum allowable investment management fee represents the total amount that could be charged to each Fund. The aggregate fees paid by the Manager to each Fund’s Sub-advisers and the fees retained by the Manager for the year/period ended August 31, 2016 are indicated below:


Fund	Subadvisory Fee			Consulting Group Advisory Services LLC Fee			Maximum Allowable Annual Management Fee
Large Cap Equity Fund		0.28	%		0.19	%		0.60	%
Small-Mid Cap Equity Fund		0.38	%		0.23	%		0.80	%
International Equity Fund		0.40	%		0.23	%		0.70	%
Emerging Markets Equity Fund		0.49	%		0.24	%		0.90	%
Core Fixed Income Fund		0.19	%		0.19	%		0.40	%
High Yield Fund		0.30	%		0.22	%		0.70	%
International Fixed Income Fund		0.25	%		0.22	%		0.50	%
Municipal Bond Fund		0.20	%		0.20	%		0.40	%
Inflation-Linked Fixed Income Fund		0.12	%		0.10	%		0.50	%
Ultra-Short Term Fixed Income Fund		0.12	%		0.10	%		0.50	%

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Notes to Financial Statements


(continued)

The Manager has agreed to waive and/or reimburse a portion of its fee. For the year/period ended August 31, 2016, the amounts waived and/or reimbursed by the Manager were as follows:


Fund	Amounts waived and/or reimbursed
Large Cap Equity Fund	$	2,119,869
Small-Mid Cap Equity Fund		662,103
International Equity Fund		831,707
Emerging Markets Fund		687,223
Core Fixed Income Fund		131,067
High Yield Fund		476,000
International Fixed Income Fund		68,390
Municipal Bond Fund		—
Inflation-Linked Fixed Income Fund		27,508
Ultra-Short Term Fixed Income Fund		30,315

Brown Brothers Harriman & Co. (“BBH”) serves as the Trust’s administrator. For its administrative services, BBH receives an annual asset based fee of 0.0250% of the Trust’s assets up to $5 billion, 0.02% on assets between $5 billion and $8 billion and 0.0175% on assets in excess of $8 billion, plus out-of-pocket expenses. The fee is calculated and allocated daily based on the relative assets of each Fund.

For the year/period ended August 31, 2016, Morgan Stanley & Co. Incorporated (“MS&Co.”), and its affiliates, including MSSBH, Morgan Stanley Smith Barney LLC, the Trust’s distributor, received brokerage commissions of:


Fund	Commision Dollars to MS&Co.
Large Cap Equity Fund	$	20,770
Small-Mid Cap Equity Fund		388
International Equity Fund		3,967
Emerging Markets Equity Fund		8,675
Core Fixed Income Fund		—
High Yield Fund		—
International Fixed Income Fund		—
Municipal Bond Fund		—
Inflation-Linked Fixed Income Fund		—
Ultra-Short Term Fixed Income Fund		—

Officers of the Trust do not receive compensation directly from the Trust. The Funds may bear a portion of the annual compensation of the Fund’s Chief Compliance Officer.

For the year/period ended August 31, 2016, the Funds assumes the following to be affiliated issuers:

Large Cap Equity Fund


Underlying Security	Number of Shares held at August 31, 2015		Shares purchased		Shares sold			Number of Shares held at August 31, 2016
Morgan Stanley		—		81,022		(23,527	)		57,495

Underlying Security	Net Realized Gain/(Loss) on Sales of Affiliated Investment		Capital Gain Distribution from Affiliated Investments		Dividend/Interest Income from Affiliated Investments			Ending Value at August 31, 2016
Morgan Stanley	$	49,946	$	—	$	21,818		$	1,843,290

296



Notes to Financial Statements


(continued)

Core Fixed Income Fund


Underlying Security	Face Amount held at August 31, 2015			Face Amount purchased		Face Amount sold*			Face Amount held at August 31, 2016
Morgan Stanley ABS Capital I Inc. Trust, Series 2004-SD3, Class A, 0.984% due 6/25/34	$	82,241		$	—	$	(65,173	)	$	17,068
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2013-C10, Class A4, 4.219% due 7/15/46		30,000			—		—			30,000
Series 2013-C13, Class A4, 4.039% due 11/15/46		500,000			—		—			500,000
Morgan Stanley Capital I Trust:
Series 2007-HQ11, Class A4FL, 0.653% due 2/12/44		880,000			—		(156,874	)		723,126
Series 2007-HQ12, Class A5, 5.861% due 4/12/49		73,572			—		(73,572	)		—
Series 2007-HQ13, Class A3, 5.569% due 12/15/44		650,000			—		(650,000	)		—
Series 2007-IQ13, Class A1A, 5.312% due 3/15/44		379,657			—		(379,657	)		—
Series 2007-IQ14, Class A1A, 5.665% due 4/15/49		304,479			—		(304,479	)		—
Series 2007-IQ14, Class A4, 5.692% due 4/15/49		200,000			—		—			200,000
Series 2007-T25, Class A3, 5.514% due 11/12/49		516,359			—		(516,359	)		—

Underlying Security	Net Realized Gain/(Loss) on Sales of Affiliated Investment			Capital Gain Distribution from Affiliated Investments		Dividend/Interest Income from Affiliated Investments			Ending Value at August 31, 2016
Morgan Stanley ABS Capital I Inc. Trust, Series 2004-SD3, Class A, 0.984% due 6/25/34	$	—		$	—	$	3,910		$	17,120
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2013-C10, Class A4, 4.219% due 7/15/46		—			—		1,248			33,790
Series 2013-C13, Class A4, 4.039% due 11/15/46		—			—		20,195			562,320
Morgan Stanley Capital I Trust:
Series 2007-HQ11, Class A4FL, 0.653% due 2/12/44		—			—		5,998			719,858
Series 2007-HQ12, Class A5, 5.861% due 4/12/49		—			—		—			—
Series 2007-HQ13, Class A3, 5.569% due 12/15/44		(20,709	)		—		14,092			—
Series 2007-IQ13, Class A1A, 5.312% due 3/15/44		(31,146	)		—		8,712			—
Series 2007-IQ14, Class A1A, 5.665% due 4/15/49		(16,477	)		—		10,258			—
Series 2007-IQ14, Class A4, 5.692% due 4/15/49		—			—		11,483			202,432
Series 2007-T25, Class A3, 5.514% due 11/12/49		(39,281	)		—		5,673			—

	$	(107,613	)	$	—	$	81,569		$	1,535,520

297



Notes to Financial Statements


(continued)

Ultra-Short Term Fixed Income Fund


Underlying Security	Face Amount held at August 31, 2015		Face Amount purchased		Face Amount sold*			Face Amount held at August 31, 2016
Morgan Stanley Capital I Trust, Series 2007-IQ14, Class A1A, 5.665% due 4/15/49	$	—	$	1,121,831	$	(3,712	)	$	1,118,119

Underlying Security	Net Realized Gain/(Loss) on Sales of Affiliated Investment		Capital Gain Distribution from Affiliated Investments		Dividend/Interest Income from Affiliated Investments			Ending Value at August 31, 2016
Morgan Stanley Capital I Trust, Series 2007-IQ14, Class A1A, 5.665% due 4/15/49	$	—	$	—	$	16,808		$	1,138,622

*	Includes Paydown transactions which are not recognized as a true sales.

3. Investments

During the year/period ended August 31, 2016, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) for each Fund were as follows:


Fund	Investments				U.S. Government Agencies & Obligations
	Purchases		Sales		Purchases		Sales
Large Cap Equity Fund	$	1,581,002,498	$	2,342,558,575	$	—	$	—
Small-Mid Cap Equity Fund		514,382,841		470,007,070		—		—
International Equity Fund		762,809,642		829,872,801		—		—
Emerging Markets Fund		379,153,554		444,279,398		—		—
Core Fixed Income Fund		110,594,970		198,463,985		1,750,204,020		1,797,354,552
High Yield Fund		242,921,727		155,914,330		—		—
International Fixed Income Fund		135,406,754		172,208,603		257,967,003		255,561,469
Municipal Bond Fund		11,873,746		28,513,938		—		—
Inflation-Linked Fixed Income Fund		24,954,566		3,796,093		237,784,933		53,165,956
Ultra-Short Term Fixed Income Fund		170,428,916		52,194,673		74,377,563		56,173,769

At August 31, 2016, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were as follows:


Fund	Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Large Cap Equity Fund	$	382,340,937	$	(37,019,165	)	$	345,321,772
Small-Mid Cap Equity Fund		69,665,736		(18,079,581	)		51,586,155
International Equity Fund		136,115,720		(106,956,025	)		29,159,695
Emerging Markets Equity Fund		54,465,178		(34,735,339	)		19,729,839
Core Fixed Income Fund		28,986,982		(14,447,445	)		14,539,537
High Yield Fund		12,262,292		(10,375,548	)		1,886,744
Municipal Bond Fund		5,971,478		—			5,971,478
International Fixed Income Fund		14,603,545		(13,379,247	)		1,224,298
Inflation-Linked Fixed Income Fund		5,444,658		(1,851,384	)		3,593,274
Ultra-Short Term Fixed Income Fund		1,027,388		(844,360	)		183,028

4. Shares of Beneficial Interest

At August 31, 2016, the Trust had an unlimited number of units of beneficial interest (shares) authorized with a par value of $0.001 per share. At August 31, 2016, Trustees and executive officers of the Trust as a group owned of record less than 1% of the outstanding shares of the Trust.

298



Notes to Financial Statements


(continued)

Transactions in shares of each Fund were as follows:


	Year ended August 31, 2016			Year ended August 31, 2015
Large Cap Equity Fund
Shares sold		4,877,921			2,671,031
Shares issued on reinvestment		18,527,397			9,623,720
Shares repurchased		(56,108,836	)		(26,936,640	)
Shares issued from reorganization		67,349,198			—

Net Increase (Decrease)		34,645,680			(14,641,889	)


Small-Mid Cap Equity Fund
Shares sold		9,809,644			470,258
Shares issued on reinvestment		2,932,844			2,605,182
Shares repurchased		(7,747,278	)		(4,089,603	)
Shares issued from reorganization		12,937,939			—

Net Increase (Decrease)		17,933,149			(1,014,163	)


International Equity Fund
Shares sold		39,982,337			26,104,331
Shares issued on reinvestment		1,835,484			1,708,106
Shares repurchased		(48,415,840	)		(13,141,629	)

Net Increase (Decrease)		(6,598,019	)		14,670,808


Emerging Markets Equity Fund
Shares sold		10,381,452			20,448,565
Shares issued on reinvestment		578,111			404,405
Shares repurchased		(19,017,755	)		(4,665,904	)

Net Increase (Decrease)		(8,058,192	)		16,187,066


Core Fixed Income Fund
Shares sold		24,744,796			20,409,102
Shares issued on reinvestment		3,338,003			3,721,496
Shares repurchased		(46,711,235	)		(14,329,013	)

Net Increase (Decrease)		(18,628,436	)		9,801,585


High Yield Fund
Shares sold		38,015,916			12,354,121
Shares issued on reinvestment		4,650,646			3,939,050
Shares repurchased		(22,192,736	)		(9,157,485	)

Net Increase		20,473,826			7,135,686


International Fixed Income Fund
Shares sold		6,460,124			2,234,773
Shares issued on reinvestment		1,970,249			1,997,895
Shares repurchased		(13,124,472	)		(8,199,895	)

Net Decrease		(4,694,099	)		(3,967,227	)


Municipal Bond Fund
Shares sold		1,858,467			1,931,227
Shares issued on reinvestment		242,808			285,810
Shares repurchased		(3,943,837	)		(1,345,964	)

Net Increase (Decrease)		(1,842,562	)		871,073

299



Notes to Financial Statements


(continued)


	Period ended August 31, 2016*
Inflation-Linked Fixed Income Fund
Shares sold		16,725,951
Shares issued on reinvestment		309,874
Shares repurchased		(1,475,479	)

Net Increase		15,560,346


Ultra-Short Term Fixed Income Fund
Shares sold		17,727,847
Shares issued on reinvestment		141,795
Shares repurchased		(1,626,008	)

Net Increase		16,243,634

*	The values shown represent the period from Fund’s inception (March 8, 2016) through the period end August 31, 2016.

5. Dividend and Tax Components of Capital

The tax character of distributions paid during the fiscal year ended August 31, 2016, were as follows:


	Large Cap Equity Fund		Small-Mid Cap Equity Fund		International Equity Fund		Emerging Markets Equity Fund
Distributions paid from:
Tax Exempt	$	—	$	—	$	—	$	—
Tax Return of Capital		—		—		—		—
Ordinary Income		7,025,138		6,608,449		19,988,419		6,232,037
Net Long-term Capital Gains		301,650,427		46,009,154		—		—

Total Distributions Paid	$	308,675,565	$	52,617,603	$	19,988,419	$	6,232,037


	Core Fixed Income Fund		High Yield Fund		Municipal Bond Fund		International Fixed Income Fund
Distributions paid from:
Tax Exempt	$	—	$	—	$	2,173,031	$	—
Tax Return of Capital		—		—		—		—
Ordinary Income		23,117,412		16,980,249		20,206		14,225,200
Net Long-term Capital Gains		4,307,436		—		180,832		—

Total Distributions Paid	$	27,424,848	$	16,980,249	$	2,374,069	$	14,225,200


	Inflation-Linked Fixed Income Fund		Ultra-Short Term Fixed Income Fund
Distributions paid from:
Tax Exempt	$	—	$	—
Tax Return of Capital		—		—
Ordinary Income		3,176,335		1,418,793
Net Long-term Capital Gains		—		—

Total Distributions Paid	$	3,176,335	$	1,418,793

300



Notes to Financial Statements


(continued)

As of August 31, 2016, the components of accumulated earnings on a tax basis were as follows:



	Large Cap Equity Fund			Small-Mid Cap Equity Fund			International Equity Fund			Emerging Markets Equity Fund
Undistributed ordinary income - net	$	14,824,964		$	548,137		$	25,314,262		$	3,786,330
Undistributed long-term capital gains - net		31,555,069			7,694,191			—			—

Total Undistributed earnings		46,380,033			8,242,328			25,314,262			3,786,330
Capital Loss Carryforward		(24,317,714	)		—			(307,063,817	)		(56,296,803	)
Current Year Late Year Loss Deferral		—			—			—			—
Other book/tax temporary differences		(19,530,512	)		(9,244,314	)(e)		(22,872,769	)(b)		(12,173,115	)(b)
Unrealized appreciation (depreciation)		364,852,284			60,830,394			51,925,781			31,895,455

Total accumulated earnings/(losses) - net	$	367,384,091		$	59,828,408		$	(252,696,543	)	$	(32,788,133	)


	Core Fixed Income Fund			High Yield Fund			Municipal Bond Fund			International Fixed Income Fund
Undistributed ordinary income - net	$	4,153,843		$	1,054,862		$	146,258		$	1,937,934
Undistributed long-term capital gains - net		—			—			1,518,038			—
Undistributed Tax Exempt Income - net		—			—			441,829			—

Total Undistributed earnings		4,153,843			1,054,862			2,106,125			1,937,934
Capital Loss Carryforward		—			(46,458,885	)		—			(4,292,447	)
Current Year Late Year Loss Deferral		—			—			—			—
Other book/tax temporary differences		(3,082,905	)(f)		(1,977,971	)(h)		(228	)		(1,983,500	)(f)
Unrealized appreciation (depreciation)		16,867,573			3,864,715			5,971,478			1,056,578
Tax Exempt Spillback		—			—			—			—

Total accumulated earnings/(losses) - net	$	17,938,511		$	(43,517,279	)	$	8,077,375		$	(3,281,435	)


	Inflation- Linked Fixed Income Fund			Ultra-Short Term Fixed Income Fund
Undistributed ordinary income - net	$	—		$	250,887
Undistributed long-term capital gains - net	$	—		$	—

Total Undistributed earnings	$	—		$	250,887
Capital Loss Carryforward	$	—		$	(408,977	)
Other book/tax temporary differences	$	(388,100	)(f)	$	(309,850	)(f)
Unrealized appreciation (depreciation)	$	3,098,420		$	485,800

Total accumulated earnings/(losses) - net	$	2,710,320		$	17,860

As of August 31, 2016, there were no significant differences between the book and tax components of net assets for Municipal Bond Fund.

(a)	The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.

(b)	The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies.

(c)	The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales and tax cost adjustments related to ROC dividends received.

(d)	The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales and tax cost adjustments related to ROC dividends received and real estate investments.

(e)

The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales, tax cost adjustments related to ROC dividends received and real estate investments, and the realization for tax purposes of unrealized gains on investments in passive foreign investment companies.

(f)	The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales and the difference between book and tax amortization methods for premiums on fixed income securities.

301



Notes to Financial Statements


(continued)

(g)	The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to distribution payables.

(h)	The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales and interest accrual on defaulted bonds.

(i)	The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales, tax cost adjustments related to ROC dividends received and real estate investments, and partnerships.

6. Capital Loss Carry Forward

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010, for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this, pre-enactment capital loss carryforwards may be more likely to expire unused.

As of August 31, 2016, the Funds had the following net capital loss carryforwards remaining:


Year of Expiration	Large Cap Equity Fund*			Small-Mid Cap Equity Fund		International Equity Fund		Emerging Markets Equity Fund		Core Fixed Income Fund
8/31/2016	$	—		$	—	$	—	$	—	$	—
8/31/2017		24,317,714	**		—		—		—		—
8/31/2018		—			—		234,746,051		—		—
8/31/2019		—			—		—		—		—
Non-expiring:
Short-Term		—			—		22,648,825		37,722,592		—
Long-Term		—			—		49,668,941		18,574,211		—

	$	110,142,882		$	—	$	307,063,817	$	56,296,803	$	—


Year of Expiration	High Yield Fund			Municipal Bond Fund		International Fixed Income Fund		Inflation-Linked Fixed Income Fund		Ultra-Short Term Fixed Income Fund
8/31/2016	$	—		$	—	$	—	$	—	$	—
8/31/2017		6,697,249			—		—		—		—
8/31/2018		5,672,191			—		4,292,447		—		—
Non-expiring:
Short-Term		11,642,155			—		—		—		118,065
Long-Term		22,447,290			—		—		—		290,912

	$	46,458,885		$	—	$	4,292,447	$	—	$	408,977

These amounts will be available to offset any future taxable capital gains.

*	Detail of Capital Loss Carryovers from February 5, 2016 merger with Large Cap Value Investments:


Year of Expiration			Caploss Utilized In Current Year		Remaining Capital Loss Carryforward
8/31/2017	$	128,547,419	$	104,229,705	$	24,317,714
Non-expiring:
Short-Term		5,878,796		5,878,796		—
Long-Term		—		—		—

	$	134,426,215	$	110,108,501	$	24,317,714

**	The capital loss carryovers for the Large Cap Equity Investments are subject to certain limitations upon availability, to offset future gains, pursuant to Section 381 of the Internal Revenue Code.

302



Notes to Financial Statements


(continued)

7. Recent Accounting Pronouncements

In January 2016, the FASB issued ASU 2016-01, Financial Instruments — Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities. The update intends to enhance the reporting model for financial instruments to provide users of financial instruments with more decision-useful information and addresses certain aspects of the recognition, measurement, presentation, and disclosure of financial instruments. The ASU will also address measurement of credit losses on financial assets. ASU 2016-01 is effective for fiscal years beginning after 15 December 2017, including interim periods within those fiscal years. Early application is permitted. At this time, it is not anticipated that these changes will have an impact on the financial statements.

8. Reorganization

On October 6, 2015, the Board of Large Capitalization Value Equity Investments (“Large Cap Value”) and Large Capitalization Growth Investments (“Large Cap Growth”) approved the reorganization of Large Cap Value into Large Cap Growth, pursuant to which Large Cap Growth would continue as the surviving fund (the “Reorganization”). On February 5, 2016 (“Closing Date”), Large Capitalization Value Equity Fund was reorganized into Large Cap Growth. Subsequent to the Closing Date Large Cap Growth was renamed to Large Cap Equity Fund. The purpose of this transaction was to combine two funds with similar investment objectives and strategies.

This tax-free reorganization was accomplished by exchanging the assets and liabilities of Large Cap Value for shares of Large Cap Growth. Shareowners holding shares of Large Cap Value received shares of Large Cap in the reorganization. The investment portfolio of Large Cap Value, with an aggregate value of $926,372,833 and an identified cost of $913,396,269 at February 5, 2016, was the principal asset acquired by Large Cap Growth.

For financial reporting purposes, assets received and shares issued by the Large Cap were recorded at net asset value, however, the cost basis of the investments received from Large Cap Value was carried forward to align ongoing reporting of Large Cap Growth’s realized and unrealized gains and losses with amounts distributable to shareowners for tax reporting purposes.


	Large Capitalization Value Investments (Pre-Reorganization)		Large Capitalization Growth Investments (Pre-Reorganization)		Large Cap Equity Investments (Post-Reorganization)
Net Assets	$	973,690,395	$	913,232,958	$	1,886,923,353
Shares Outstanding		88,422,838		63,167,892		130,517,090

Exchange

Ratio

Shares Issued

In Reorganization

0.7617

67,349,198


	Unrealized Appreciation (Depreciation) on Closing Date		Accumulated Gain (Loss) on Closing Date
Large Capitalization Value Fund	$	12,976,564	$	(144,954,736	)
Large Capitalization Growth Fund	$	196,511,875	$	335,434,156

Assuming the Reorganization had been completed on September 1, 2015, the beginning of the Large Cap Growth’s current fiscal period, the pro forma results of operations for the period ended August 31, 2016, are as follows:


Net investment income	$	26,590,469
Net realized and unrealized gain		70,789,807

Increase in net assets from operations	$	97,380,276

On October 6, 2015, the Board of Trustees of Small Capitalization Value Equity Investments (“Small-Mid Cap Value”) and Small Capitalization Growth Investments (“Small-Mid Cap Growth”) approved the reorganization of Small-Mid Cap Value into Small-Mid Cap Growth, pursuant to which Small-Mid Cap Growth would continue as the surviving fund (the “Reorganization”). On

303



Notes to Financial Statements


(continued)

February 5, 2016 (“Closing Date”), Small-Mid Cap Value was reorganized into Small-Mid Cap Growth. Subsequent to the Closing Date Small-Mid Cap Growth was renamed to Small-Mid Cap Equity Fund. The purpose of this transaction was to combine two funds with similar investment objectives and strategies.

This tax-free reorganization was accomplished by exchanging the assets and liabilities of Small-Mid Cap Value for shares of Small-Mid Cap Growth. Shareowners holding shares of Small-Mid Cap Value received shares of Small-Mid Cap in the reorganization. The investment portfolio of Small-Mid Cap Value, with an aggregate value of $175,768,641 and an identified cost of $178,133,527 at February 5, 2016, was the principal asset acquired by Small-Mid Cap Growth.

For financial reporting purposes, assets received and shares issued by the Small-Mid Cap were recorded at net asset value, however, the cost basis of the investments received from Small-Mid Cap Value was carried forward to align ongoing reporting of Small-Mid Cap Growth realized and unrealized gains and losses with amounts distributable to shareowners for tax reporting purposes.


	Small Capitalization Value Investments (Pre-Reorganization)		Small Capitalization Growth Investments (Pre-Reorganization)		Small-Mid Cap Equity Investments (Post-Reorganization)
Net Assets	$	187,304,118	$	174,076,542	$	361,380,660
Shares Outstanding		19,634,932		12,024,251		24,962,190

Exchange

Ratio

Shares Issued

In Reorganization

0.6589

12,937,939


	Unrealized Appreciation (Depreciation) on Closing Date			Accumulated Gain (Loss) on Closing Date
Small Capitalization Value Fund	$	(2,364,886	)	$	26,692,117
Small Capitalization Growth Fund	$	(3,715,701	)	$	47,577,318

Assuming the Reorganization had been completed on September 1, 2015, the beginning of the Small-Mid Cap Growth’s current fiscal period, the pro forma results of operations for the period ended August 31, 2016, are as follows:


Net investment income	$	1,927,010
Net realized and unrealized gain		3,319,796

Increase in net assets from operations	$	5,246,806

9. Subsequent Events

Management has evaluated subsequent events after the balance sheet date through the date that the financial statements were issued and has not identified any additional events or transactions that would require recognition or disclosure in the financial statements other than the distribution information below.

Subsequent to August 31, 2016, the Funds made the following distributions:


Record Date Payable Date	Core Fixed Income Fund		High Yield Fund		Municipal Bond Fund		Ultra-Short Term Fixed Income Fund
9/01/16-9/30/16	$	0.016620	$	0.020169	$	0.021392	$	0.018395

304



Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of

Consulting Group Capital Markets Funds:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments of Large Cap Equity Fund (formerly, Large Capitalization Growth Investments), Small-Mid Cap Equity Fund (formerly, Small Capitalization Growth Investments), International Equity Fund (formerly, International Equity Investments), Emerging Markets Equity Fund (formerly, Emerging Markets Equity Investments), Core Fixed Income Fund (formerly, Core Fixed Income Investments), High Yield Fund (formerly, High Yield Investments), International Fixed Income Fund (formerly, International Fixed Income Investments), Municipal Bond Fund (formerly, Municipal Bond Investments), as of August 31, 2016, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. We have audited the accompanying statements of assets and liabilities, including the schedules of investments of Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund as of August 31, 2016, and the related statements of operations, changes in net assets, cash flows for Inflation-Linked Fixed Income Fund and financial highlights for the period from March 8, 2016 (commencement of operation) to August 31, 2016. Each of the funds comprise the Capital Group Capital Markets Funds (collectively the “Funds”). These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2016, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds constituting the Consulting Group Capital Markets Funds as of August 31, 2016, the results of their operations, the changes in their net assets, the cash flows for Inflation-Linked Fixed Income Fund, and the financial highlights for each of the periods presented in conformity with accounting principles generally accepted in the United States of America.

DELOITTE & TOUCHE LLP

Boston, Massachusetts

October 31, 2016

305



Board Approval of Management Agreement and Investment Advisory Agreements


(unaudited)

Approval of Management Agreement and Subadvisory Agreements

The Consulting Group Capital Markets Funds (“Trust” and, each series thereof a “Fund”) and Consulting Group Advisory Services LLC (“Manager”), a business of Morgan Stanley Smith Barney Holdings LLC, have entered into an investment management agreement (“Management Agreement”). Pursuant to the Management Agreement, the Manager serves as “manager of managers” for the Trust and selects and oversees professional money managers (each, a “Sub-adviser” and collectively, the “Sub-advisers”) who are responsible for investing the portion of assets of the Funds allocated to them pursuant to investment advisory agreements (the “Subadvisory Agreements” and, together with the Management Agreement, the “Agreements”) between the Manager and each of the Sub-advisers.

The Investment Company Act of 1940, as amended (the “1940 Act”), requires that the Agreements be approved initially, as well as annually thereafter, by the Trust’s Board of Trustees (“Board”) and by a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Agreements (“Independent Trustees”), by vote cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of the approval of the Agreements, the Independent Trustees must request and evaluate such information as may reasonably be necessary to make a reasonable business judgment with respect to the approval of the Agreements, and the Manager and Sub-advisers are required to provide such information.

At an in-person meeting held on May 25-26, 2016, the Board, including a majority of the Independent Trustees, approved the continuance of the Agreements for an annual period. Both in connection with the meeting specifically held to address the continuance of the Agreements and at other meetings during the course of the year, the Independent Trustees requested and received information from the Manager and the Sub-advisers that they deemed reasonably necessary for their review of the Agreements and the performance of the Manager and Sub-advisers under the Agreements. The Independent Trustees were assisted in their review by Fund counsel and independent legal counsel (“Independent Counsel”) and met with Independent Counsel in executive sessions separate from representatives of the Manager and the Sub-advisers. The Independent Trustees also were assisted in their review by an independent analyst of investment company contract review processes. In addition to the Management Agreement, the Board approved the Subadvisory Agreements with the following Sub-advisers on behalf of the indicated Fund:


Sub-adviser Name		Fund(s)

BlackRock Financial Management, Inc.		¨ Core Fixed Income Fund ¨ Large Cap Equity Fund¹ ¨ Small-Mid Cap Equity Fund² ¨ International Equity Fund³ ¨ Emerging Markets Equity Fund⁴

Causeway Capital Management LLC		¨ International Equity Fund

Columbia Management Investment Advisers		¨ Large Cap Equity Fund⁵

Delaware Management Company		¨ Large Cap Equity Fund

Frontier Capital Management Co., LLC		¨ Small-Mid Cap Equity Fund

Hahn Capital Management, LLC		¨ Small-Mid Cap Equity Fund⁶

Lazard Asset Management LLC		¨ Large Cap Growth Fund⁷ ¨ Emerging Markets Equity Fund

Lyrical Asset Management LP		¨ Large Cap Equity Fund

McDonnell Investment Management, LLC		¨ Municipal Bond Fund

Metropolitan West Asset Management LLC		¨ Core Fixed Income Fund

Neuberger Berman LLC		¨ Small-Mid Cap Equity Fund⁸

OppenheimerFunds, Inc.		¨ International Equity Fund

Pacific Investment Management Company LLC		¨ International Fixed Income Fund ¨ Inflation-Linked Fixed Income Fund⁹ ¨ Ultra-Short Fixed Income Fund¹⁰

306



Board Approval of Management Agreement and Investment Advisory Agreements


(unaudited) (continued)


Sub-adviser Name		Fund(s)

PENN Capital Management Co., Inc.		¨ High Yield Fund

Rutabaga Capital Management LLC		¨ Small-Mid Cap Equity Fund

Schroder Investment Management North America Inc.		¨ International Equity Fund

Schroder Investment Management North America Ltd. (delegation agreement)		¨ International Equity Fund

Van Eck Associates Corporation		¨ Emerging Markets Equity Fund¹¹

Wedgewood Partners, Inc.		¨ Large Cap Equity Fund¹²

Western Asset Management Company		¨ Core Fixed Income Fund ¨ High Yield Fund

Westfield Capital Management Co., L.P.		¨ Small-Mid Cap Equity Fund

1	Approval of Subadvisory Agreement for initial two-year period occurred on December 17, 2015. Subadvisory Agreement is dated February 22, 2016.

2	Approval of Subadvisory Agreement for initial two-year period occurred on December 17, 2015. Subadvisory Agreement is dated February 22, 2016.

3	Approval of Subadvisory Agreement for initial two-year period occurred on May 26, 2016. Subadvisory Agreement is dated July 15, 2016.

4	Approval of Subadvisory Agreement for initial two-year period occurred on May 26, 2016. Subadvisory Agreement is dated July 15, 2016.

5	Approval of Subadvisory Agreement for initial two-year period occurred on December 17, 2015. Subadvisory Agreement is dated February 22, 2016.

6	Approval of Subadvisory Agreement for initial two-year period occurred on December 17, 2015. Subadvisory Agreement is dated February 22, 2016.

7	Approval of Subadvisory Agreement for initial two-year period occurred on December 17, 2015. Subadvisory Agreement is dated February 22, 2016.

8	Approval of Subadvisory Agreement for initial two-year period occurred on December 17, 2015. Subadvisory Agreement is dated February 22, 2016.

9	Approval of Subadvisory Agreement for initial two-year period occurred on December 17, 2015. Subadvisory Agreement is dated January 20, 2016

10	Approval of Subadvisory Agreement for initial two-year period occurred on December 17, 2015. Subadvisory Agreement is dated January 20, 2016.

11	Approval of Subadvisory Agreement for initial two-year period occurred on May 26, 2016. Subadvisory Agreement is dated July 20, 2016.

12	Approval of Subadvisory Agreement for initial two-year period occurred on December 17, 2015. Subadvisory Agreement is dated February 22, 2016.

In voting to approve the Agreements, the Independent Trustees considered whether the approval of the Agreements would be in the best interests of the respective Fund and its shareholders, an evaluation based on several factors including those discussed below.

Nature, Extent and Quality of the Services Provided Under the Agreements

The Board received and considered information regarding the nature, extent and quality of services provided to the Funds by the Manager and the Sub-advisers under the Management Agreement and the Subadvisory Agreements, respectively, during the meeting and during the past year, as applicable. The Independent Trustees considered information regarding the process by which the Manager selected and recommended the Sub-advisers for Board approval and the Manager’s supervisory activities over the Sub-advisers. The Independent Trustees noted that the Manager monitors and evaluates the performance of each Fund’s Sub-advisers, including the Sub-advisers’ compliance with the investment objective, policies, and restrictions of the relevant Fund. The Board also received a description of the administrative and other services rendered to the Trust and its shareholders during the past year. The Board noted information received at regular meetings throughout the year related to the services rendered by the Manager about the management of the Trust’s affairs and its role in coordinating the activities of the Sub-advisers and the Trust’s other service providers. The Board considered each Sub-adviser’s specific responsibilities in all aspects of the day-to-day management of the portion of the respective Fund’s assets allocated to it, as well as the qualifications, experience and responsibilities of the persons serving as the portfolio managers for the segment of the Fund’s assets managed by the respective Sub-adviser, and other key personnel at the Sub-adviser. The Board specifically took into account each Sub-adviser’s investment process and capabilities, evaluating, if applicable, how the Sub-adviser complemented each of the other Sub-advisers to the respective Fund.

The Independent Trustees also discussed the acceptability of the terms of the Sub-Advisory Agreements. The Independent Trustees considered the Manager’s favorable assessment of the nature and quality of the sub-advisory services provided to the Funds by the Sub-advisers. The Board also reviewed information received from the Manager and the Trust’s Chief Compliance Officer regarding the Trust’s compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act and those of each Sub-adviser.

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Board Approval of Management Agreement and Investment Advisory Agreements


(unaudited) (continued)

During the course of the year and at the meeting, the Board reviewed the qualifications, backgrounds and responsibilities of the Trust’s senior personnel and the portfolio management team primarily responsible for the management of the Funds. The Board also considered the Manager’s and the Sub-advisers’ brokerage policies and practices, transaction execution standards, policies and practices regarding soft dollars, and quality controls applicable to brokerage allocation procedures.

The Board concluded that, overall, the nature, extent and quality of services provided (and expected to be provided) under the Management Agreement and the Subadvisory Agreements were adequate and appropriate.

Fund Performance

As to each Fund, the Board received and considered performance information provided by Lipper, Inc. (“Lipper”), an independent provider of investment company data, for the Fund and for all retail and institutional funds, regardless of asset size or primary channel of distribution, in the Fund’s Lipper category (the “Performance Universe”). As to each Fund, the Board was provided with a description of the methodology Lipper used to determine the similarity of the Funds with the funds included in the Performance Universe. The Board also noted that it had received and discussed with advisory personnel of the Trust at periodic intervals throughout the year information on the investment performance of each Fund in comparison to similar mutual funds and benchmark performance indices. In addition, as to each Sub-adviser, the Board received and considered performance information provided by the Manager for the Sub-adviser managing the portion of the respective Fund’s assets allocated to it. The information comparing each Fund’s performance to that of its Performance Universe was for the one-, three-, five- and ten-year periods ended March 31, 2016. The Board noted that the Core Fixed Income Fund performed better than the median performance of the funds in its Performance Universe for each period, but that the Small-Mid Cap Equity Fund performed below the median performance of the funds in its Performance Universe for each period. It was noted that the comparative information for the Small-Mid Cap Equity Fund reflected the period prior to the fund merger and, therefore, was a comparison of the fund’s prior growth strategy with a group of small cap core funds. The Board also noted that the Large Cap Equity Fund and the International Equity Fixed Income Fund performed at or above the median performance of the funds in their respective Performance Universes for each period, except the one-year period. It was noted that the comparative information for the Large Cap Equity Fund reflected the period prior to the fund merger and, therefore, was a comparison of the fund’s prior growth strategy with a group of large cap core funds. The Board further noted that the International Equity Fund and the Emerging Markets Equity Fund performed better than the median performance of the funds in their respective Performance Universes for the one-year period, but that the Funds performed at or below the median performance of the funds in the Performance Universe for the remaining periods. The Board also noted the High Yield Fund and the Muni Bond Fund performed at or below the median performance of the funds in their respective Performance Universes for each of the periods noted. The Independent Trustees and representatives of the Manager then discussed management’s efforts to improve the performance of those Funds underperforming their peer groups and benchmarks, and the Board noted the positive results of changes in Sub-advisers and fund mergers, as reflected in the improved one-year performance. During the discussion, the Trustees and representatives of the Manager considered the Funds’ performance in light of overall financial market conditions and the nature of the investment objectives and strategies of certain Funds, prospectus disclosure regarding the risks involved with such strategies and investor expectations.

Based on its review, as to each Fund, the Board was generally satisfied with the overall performance of the Fund and with the efforts of the Manager and respective Sub-advisers to continue to improve performance. The Trustees determined to continue to evaluate the Funds’ performance and to continue to periodically review Fund performance with the Manager.

Management Fees and Expense Ratios

As to each Fund, the Board reviewed and considered the contractual management fees (“Contractual Management Fees”) payable by the Fund to the Manager in light of the nature, extent and quality of the management and subadvisory services provided by the Manager and the Sub-advisers, respectively. The Board also reviewed and considered whether fee waiver and/or expense reimbursement arrangements are currently in place for a Fund and considered the actual fee rate (after taking any such waivers and reimbursements into account) (“Actual Management Fee”) and whether any fee waivers and expense reimbursements could be discontinued. The Board noted that the compensation paid to the Sub-advisers is paid by the Manager, not the Funds, and, accordingly, that the retention of the Sub-advisers does not increase the fees or expenses otherwise incurred by the Fund and its shareholders. The Board also reviewed with management the scope of services provided to the Fund by the Manager, noting that the Funds are provided with regulatory compliance services, office facilities and Trust officers (including the Trust’s chief financial,

308



Board Approval of Management Agreement and Investment Advisory Agreements


(unaudited) (continued)

chief legal and chief compliance officers), and that the Manager coordinates and oversees the provision of services to each Fund by other fund service providers, including the Sub-Advisers. The Board also considered and discussed information about the Sub-advisers’ fees and comparable information for other subadvised funds and accounts managed by the Sub-advisers.

Additionally, the Board received and considered information comparing each Funds’ Contractual Management Fees and Actual Management Fees and the Fund’s actual total expenses with those of a group of funds selected by Lipper as comparable to the particular Fund (the “Expense Group”) and a broader group of retail no-load funds selected by Lipper (the “Expense Universe”). This information showed that each Fund’s Contractual Management Fee, except for that of the High Yield Fund, which was slightly higher than the median, was lower than the median Contractual Management Fee for the funds in the applicable Expense Group, and that each Fund’s Actual Management Fee was lower than the average Actual Management Fee for the funds in the applicable Expense Universe. The Independent Trustees also noted that the Lipper expense information showed that each Fund’s actual total expense ratio, except for the Municipal Bond Fund, which was slightly higher than the median, was lower than the median of the total expense ratios of the funds in the applicable Expense Group. The Lipper expense information also showed that each Fund’s actual total expense ratio was lower than the average total expense ratios of the funds in the applicable Expense Universe.

The Board determined that, as to each Fund, the management fee paid by the Fund to the Manager and the sub-advisory fees paid by the Manager to the Sub-advisers were reasonable in light of comparative performance and expense information and the nature, extent and quality of the services provided to the Fund under the Agreements.

Manager Profitability

The Board received and considered a profitability analysis of the Manager and its affiliates in providing services to the Funds. In addition, the Board received information with respect to the Manager’s allocation methodologies used in preparing this profitability data. To the extent available, the Board also reviewed information provided by the Sub-advisers with respect to the relevant Sub-adviser’s profitability in providing subadvisory services to the Funds. The Board also noted the profitability percentage ranges determined by appropriate court cases to be reasonable given the services rendered to investment companies. As to each Fund, the Board determined that the Manager’s profitability was not excessive in light of the nature, extent and quality of the services provided to the Fund.

Economies of Scale

As to each Fund, the Board considered information regarding whether there have been economies of scale with respect to the management of the Fund, whether the Fund has appropriately benefited from any economies of scale and whether there is potential for realization of any further economies of scale. The Board considered the various ways economies of scale could be realized and shared with Fund investors, and whether economies of scale in the provision of services to the Fund were being passed along to the shareholders. As to each Fund, the Board also noted that to the extent the Fund’s assets increase over time, the Fund and its shareholders should realize economics of scale as certain expenses, such as fixed fund fees, become a smaller percentage of overall assets. The Board noted that it appeared that the benefits of any economies of scale also would be appropriately shared with shareholders through increased investment in fund management resources.

Other Benefits to the Manager and the Sub-advisers

As to each Fund, the Board considered other benefits received by the Manager, the Sub-advisers and their affiliates as a result of their relationship with the Funds, including soft dollar arrangements, receipt of brokerage and the opportunity to offer additional products and services to Fund shareholders.

In light of the Manager’s costs of providing investment management and other services to the Funds and the Manager’s ongoing commitment to the Funds and each Sub-adviser’s day-to-day management of the portion of the respective Fund’s assets allocated to it, the profits and ancillary benefits that the Manager, the Sub-advisers and their affiliates received were considered reasonable.

Based on their discussions and considerations, including those described above, the Board approved the Management Agreement and the Subadvisory Agreements to continue for another year. No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the Management Agreement and the Subadvisory Agreements.

309



Additional Information


(unaudited)

Trustees and Officers of the Trust

The Trust’s Board of Trustees (“Board” or “Trustees”) is responsible for overseeing the Trust’s management and operations. The Board approves all significant agreements between the Trust and the companies that furnish services to the Funds, including agreements with the Trust’s distributor, Sub-advisers, custodian, transfer agent and administrator. The Board elects officers who are responsible for the day-to-day operations of the Trust and the Funds and who execute policies authorized by the Board.

Consulting Group Advisory Services LLC (“CGAS” or “Manager”), a business of Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”), serves as the investment adviser for each Fund. The Funds employ a “multi-manager” strategy. The Manager selects and oversees professional money managers (each a “Sub-adviser”) who are responsible for investing the assets of the Funds allocated to them. In addition to investment management services, the Manager monitors and supervises the services provided to the Trust by its administrator. The Manager also is responsible for conducting all operations of the Trust, except those operations contracted to the Sub-advisers, the custodian, the transfer agent and the administrator.

The names of the Trustees and officers of the Trust, their addresses and years of birth, together with information as to their principal business occupations and, for the Trustees, other board memberships they have held during the past five years, are set forth below. The executive officers of the Trust are employees of organizations that provide services to the Funds.

Name, Address and
Date of Birth

Position(s)
Held with
Trust

Term of

Office
and
Length
of Time
Served*

Principal Occupation(s)
During Past Five Years

Number of
Funds
in Fund
Complex
Overseen by
Trustee

Other Board
Memberships
Held During Past
Five Years by
Trustee

INDEPENDENT TRUSTEES

John J. Murphy

Murphy Capital Management, Inc.

268 Main Street

Gladstone, NJ 07934

Birth Year: 1944

Chairman and Trustee

Since 2002 (Chairman since 2010)

Founder and Senior Principal, Murphy Capital Management (investment management) (1983-present)

Trustee, Legg Mason Partners Equity Trust (2007-present); Trustee, UBS Funds (2009-present); and Director, Fort Dearborn Income Securities (2013-present)

Adela Cepeda

A.C. Advisory, Inc.

150 North Wacker Drive, Suite 2160

Chicago, IL 60606

Birth Year: 1958

Trustee

Since 2008

President, A.C. Advisory, Inc. (1995-October 2016); and Managing Director, Public Financial Management, Inc. (October 2016-present)

Director, BMO Financial Corp. (2012-present); Trustee, Mercer Funds (2005-present); Trustee, UBS Funds (2004-present); Director, Fort Dearborn Income Securities (2000-present); formerly, Director, Amalgamated Bank of Chicago (2003-2012); and formerly, Director, Municipal Securities Rulemaking Board (2010-2012)

310



Additional Information


(unaudited) (continued)

Name, Address and
Date of Birth

Position(s)
Held with
Trust

Term of

Office
and
Length
of Time
Served*

Principal Occupation(s)
During Past Five Years

Number of
Funds
in Fund
Complex
Overseen by
Trustee

Other Board
Memberships
Held During Past
Five Years by
Trustee

W. Thomas Matthews

453 Banks Mill Road

Aiken, SC 29801

Birth Year: 1949

Trustee

Since 2009

(Interested Trustee from 2006-2009)

Retired; Advisor,

Smith Barney (2005-2007)

Chairman Emeritus, Congressional Medal of Honor Foundation (2009-present), formerly Treasurer (2009-2016); and Director, America’s Warrior Partnership (2013-present), formerly Chairman (2013-2016)

Mark J. Reed

North American Management

1 North Brentwood Blvd., Suite 1510

St. Louis, MO 63105

Birth Year: 1964

Trustee

Since 2007

Principal and Portfolio Manager, North American Management Corp. (2013-present); and Managing Director and Chief Compliance Officer, Bush O’Donnell Investment Advisors, Inc. (1988-2013)

None

Eric T. McKissack, CFA^®

Channing Capital Management, LLC

10 S. LaSalle Street, Suite 2401

Chicago, IL 60603

Birth Year: 1953

Trustee

Since 2013

Founder and Chief Executive Officer, Channing Capital Management, LLC (investment management) (2004-present)

Trustee and Chairman, FlexShares Funds (2011-present); Trustee, The Art Institute of Chicago (2001-present); Director, Rehabilitation Institute of Chicago (2000-present); and Director, Urban Gateways (1995-present); and formerly, Director, ICMA Retirement Corp. (2005-2012)

INTERESTED TRUSTEE

David Berdon**

Morgan Stanley

522 Fifth Avenue, 12th Floor,

New York, NY 10036

Birth Year: 1970

Trustee and

Chief Executive Officer and President

Since August 2015

Managing Director, Morgan Stanley (2013-present); Managing Director, Goldman Sachs (2001-2013)

None

311



Additional Information


(unaudited) (continued)


Name, Address and Date of Birth	Position(s) Held with Trust	Term of Office*** and Length of Time Served	Principal Occupation(s) During Past Five Years

OFFICERS

Francis Smith Morgan Stanley 522 Fifth Avenue, 4th Floor New York, NY 10036 Birth Year: 1965	Chief Financial Officer (“CFO”) and Treasurer	Since 2014	Executive Director, Morgan Stanley (2001-present); Treasurer and Principal Financial Officer of various Morgan Stanley Funds (2003-present)

Eric Metallo Morgan Stanley 485 Lexington Ave, 11th Floor New York, NY 10017 Birth Year: 1976	Chief Legal Officer and Secretary	Since August 2015	Executive Director, Morgan Stanley Wealth Management (2014-present); Senior Vice President and Associate General Counsel, Pine Bridge Investments (2011-2014); Corporate Counsel, Franklin Templeton Investments (2006-2011)

Philip Stack Morgan Stanley 2000 Westchester Avenue, 3rd Floor Purchase, NY 10577 Birth Year: 1964	Chief Compliance Officer	Since 2013	Executive Director, Morgan Stanley (2015-Present); Vice President, Morgan Stanley (2013-2015); Vice President Corporate Audit Group – Compliance, Morgan Stanley (2012-2013); Vice President, Director of Investment Compliance and Risk Management, Gannett Welsh & Kotler (2008-2012)

Donna Marley Morgan Stanley Delaware Corporate Center II 2 Righter Parkway, 3rd Floor Wilmington, DE 19803 Birth Year: 1955	Chief Administrative Officer Chief Operating Officer	Since August 2015 2011-2015	Executive Director, Morgan Stanley (2009-present); Director, Consulting Group Product Governance, Morgan Stanley (2011-present); Director, Consulting Group Risk Management, Morgan Stanley (2009-2011)

Robert Garcia Morgan Stanley 522 Fifth Avenue, 12th Floor New York, NY 10036 Birth Year: 1983	Chief Operating Officer Investment Officer Co-Chief Operating Officer	Since May 2016 Since July 2015 August 2015-May 2016	Executive Director and Head of Portfolio Operations, Morgan Stanley (2016-present); Head of Packaged Digital Solutions, Morgan Stanley (2015-present); Head of Strategy and Development- Global Investment Solutions, Morgan Stanley (2013-2015); Overlay Portfolio Manager, Morgan Stanley (2009-2013)

Franceen Jansen Morgan Stanley 522 Fifth Avenue, 12th Floor New York, NY 10036 Birth Year: 1959	Investment Officer	Since August 2015	Executive Director, Morgan Stanley (2010-present)

312



Additional Information


(unaudited) (continued)


Name, Address and Date of Birth	Position(s) Held with Trust	Term of Office*** and Length of Time Served	Principal Occupation(s) During Past Five Years

Brian Mulley Morgan Stanley 522 Fifth Avenue, 11th Floor New York, NY 10036 Birth Year: 1977	Investment Officer	Since August 2015	Investment Analyst, Executive Director, Morgan Stanley (2005-present)

Paul Ricciardelli Morgan Stanley 522 Fifth Avenue, 14th Floor New York, NY 10036 Birth Year: 1969	Investment Officer	Since August 2015	Head of Manager Solutions, Morgan Stanley (2015-present); Head of IAR/GIMA, Morgan Stanley (2011- present); Director, Investment Management and Guidance, Merrill Lynch (1999-2011)

Matthew Rizzo Morgan Stanley Delaware Corporate Center II 2 Righter Parkway, 3rd Floor Wilmington, DE 19803 Birth Year: 1970	Investment Officer	Since August 2015	Executive Director, Manager Solutions, Morgan Stanley (2015- present); Head of Investment Strategy and Content, Morgan Stanley (2012-2015); Senior Analyst, Morgan Stanley Smith Barney (2006-2012)

Sukru Saman Morgan Stanley 522 5th Avenue, 12th Floor New York, NY 10036 Birth Year: 1972	Investment Officer	Since August 2015	Investment Officer, Morgan Stanley Wealth Management (2013-present); Due Diligence Analyst, Morgan Stanley Wealth Management (2009-2013)

Lisa Shalett Morgan Stanley 522 Fifth Avenue, 12th Floor New York, NY 10036 Birth Year: 1963	Investment Officer	Since August 2015	Head of Investment and Portfolio Strategies, Morgan Stanley (2013-present); Chief Investment Officer, Bank of America/Merrill Lynch (2011-2013); Head of Alliance Growth Equities, Alliance Bernstein (1995-2010)

Drew Soffer Morgan Stanley Delaware Corporate Center II 2 Righter Parkway, 3rd Floor Wilmington, DE 19803 Birth Year: 1967	Investment Officer	Since August 2015	Executive Director, Morgan Stanley (2011-present)

Michael Wilson Morgan Stanley 522 Fifth Avenue, 4th Floor New York, NY 10036 Birth Year: 1967	Investment Officer	Since August 2015	Managing Director, Chief Investment Officer, Morgan Stanley Wealth Management (2012-present); Managing Director, Head of Content Distribution Institutional Equities Division, Morgan Stanley (2009-2012)

313



Additional Information


(unaudited) (continued)


Name, Address and Date of Birth	Position(s) Held with Trust	Term of Office*** and Length of Time Served	Principal Occupation(s) During Past Five Years

Anthony Scaturro Morgan Stanley 485 Lexington Ave, 11th Floor New York, NY 10017 Birth Year: 1974	Anti-Money Laundering (“AML”) Compliance Officer	Since August 2015	AML Compliance Officer, Morgan Stanley (2014-present); Field Compliance Officer, Morgan Stanley (2009-2014)

James J. Tracy Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1957	Product Management Officer Trustee Chief Executive Officer and President	Since May 2016 2013-2015 2013-2015	Managing Director, Director of Consulting Group Wealth Advisory Solutions (2012-present); Director, Morgan Stanley (2012-present); Managing Director, Director of National Sales and Business Development, Morgan Stanley (2011-2012); Managing Director and Chief Operating Officer of Distribution and Development for Global Wealth Management, Morgan Stanley (2010-2011)

Katen Rubeo Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1983	Product Management Officer	Since May 2016	Head of Strategic Initiatives for Consulting Group and Practice Management, Morgan Stanley (2016-Present); Head of Business Control for Consulting Group, Morgan Stanley (2015-2016); Head of Consulting Group Advisor, Morgan Stanley (2011-2015)

Steven Ross Morgan Stanley 522 Fifth Avenue, 4th Floor New York, NY 10036 Birth Year: 1971	Assistant Treasurer	Since 2014	Executive Director, Morgan Stanley (2013-present); Vice President, Morgan Stanley (2005-2013)

Robert Creaney Morgan Stanley One Financial Place 440 South LaSalle Street 39th Floor Chicago, IL 60605 Birth Year: 1974	Assistant Treasurer	Since 2014	Executive Director, Morgan Stanley (1997-present)

Michael Conklin Morgan Stanley One Financial Place 440 South LaSalle Street 39th Floor Chicago, IL 60605 Birth Year: 1977	Assistant Treasurer	Since 2014	Vice President, Morgan Stanley (2013-present); Vice President, First Trust Portfolios (2009-2013)

314



Additional Information


(unaudited) (continued)

*	Each Trustee remains in office until he or she resigns, retires or is removed.

**	Mr. Berdon is an “interested person” of the Trust as defined in the 1940 Act because of his position with Morgan Stanley.

***	The President, Treasurer and Secretary hold office until their respective successors are chosen and qualified or until he or she sooner dies, resigns, is removed or becomes disqualified. Each of the other officers serves at the pleasure of the Board.

Board Composition and Leadership Structure

Currently, five of the six Trustees on the Board (83%) are not “interested persons” (as defined in the 1940 Act) of the Trust and as such are not affiliated with the Manager or any Sub-adviser (“Independent Trustees”). The Board has appointed Mr. Murphy, an Independent Trustee, to serve as Chairman of the Board. There are two primary committees of the Board: the Audit Committee and the Corporate Governance and Nominating Committee. Each Committee is chaired by an Independent Trustee and comprised solely of Independent Trustees. The Board has determined that this leadership structure is appropriate given the specific characteristics and circumstances of the Trust and in light of the services that the Manager and its affiliates and the Sub-advisers provide to the Trust and potential conflicts of interest that could arise from these relationships. The Board believes that the existing Board structure is appropriate because, among other things, it allows the Independent Trustees to exercise independent business judgment in evaluating the Trust’s management and service providers.

Board Oversight of Risk Management

The Board considers risk management issues as part of its general oversight responsibilities. As is the case with virtually all investment companies (as distinguished from operating companies), service providers to the Trust, primarily the Manager and its affiliates and the Sub-advisers, have responsibility for the day-to-day management of the Funds, which includes responsibility for risk management (including management of investment performance and investment risk, valuation risk, issuer and counterparty credit risk, compliance risk and operational risk). As part of its oversight, the Board, acting at its scheduled meetings, or the Chairman of the Board or the appropriate Committee, acting between Board meetings, regularly interacts with and receives reports from senior personnel of service providers, including the Manager’s investment officers, the Trust’s and the Manager’s Chief Compliance Officer (“CCO”) and the Sub-advisers’ portfolio management personnel. The Board’s Audit Committee meets during its scheduled meetings, and between meetings the Audit Committee chair maintains contact, with the Trust’s independent registered public accounting firm and the Trust’s Chief Financial Officer. The Board receives periodic presentations from senior personnel of the Manager or its affiliates regarding investment performance of the Funds and the applicable investment risk management process. The Board also receives periodic presentations from senior personnel of the Manager or its affiliates and the Sub-advisers regarding risk management generally, as well as periodic presentations regarding specific operational, compliance or investment areas, such as business continuity, anti-money laundering, cybersecurity, personal trading, valuation, credit, investment research, portfolio trading and transactions, and securities lending. The Board has adopted policies and procedures designed to address certain risks to the Funds. In addition, the Manager and other service providers to the Trust have adopted a variety of policies, procedures and controls designed to address particular risks to the Funds. Different processes, procedures and controls are employed with respect to different types of risks. However, it is not possible to eliminate all of the risks applicable to the Funds. The Board also receives reports from counsel to the Trust or counsel to the Manager and the Independent Trustees’ own independent legal counsel regarding regulatory compliance and governance matters. The Board’s oversight role does not make the Board a guarantor of the Funds’ investments or activities.

315



Additional Information


(unaudited) (continued)

Individual Trustee Qualifications

The Board believes that each Trustee’s experience, qualifications, attributes or skills on an individual basis and in combination with those of the other Trustees lead to the conclusion that the Board possesses the requisite attributes and skills to effectively oversee the management of the Trust and the interests of Fund shareholders. The Board believes that the significance of each Trustee’s experience, qualifications, attributes or skills is an individual matter (meaning that experience that is important for one Trustee may not have the same value for another) and that these factors are best evaluated at the Board level, with no single Trustee, or particular factor, being indicative of Board effectiveness. However, the Board believes that Trustees must have the ability to critically review, evaluate, question and discuss information provided to them, and to interact effectively with Trust management, service providers and counsel, in order to exercise effective business judgment in the performance of their duties. The Board believes that the Trustees satisfy this standard. Experience relevant to having this ability may be achieved through a Trustee’s educational background; business, professional training or practice (e.g., accounting or law), public service or academic positions; experience from service as a board member (including the Board of the Trust) or as an executive of investment funds, public companies or significant private or not-for-profit entities or other organizations; and/or other life experiences. The charter for the Board’s Corporate Governance and Nominating Committee contains certain other factors considered by the Committee in identifying and evaluating potential nominees to the Board. The Board noted that most of the Trustees had experience serving as directors on the boards of operating companies and/or other investment companies. The Board considered that Ms. Cepeda and Messrs. Matthews, Murphy, McKissack and Reed have or had careers in the financial services or investment management industries, including holding executive positions in companies engaged in these industries, which allows these Trustees to bring valuable, relevant experience as members of the Board. Mr. Berdon has substantial experience as an executive and financial officer in leadership roles with Morgan Stanley and affiliated entities.

Board Committees

The Trust has an Audit Committee and a Corporate Governance and Nominating Committee. The members of the Audit Committee and the Corporate Governance and Nominating Committee consist of all the Independent Trustees of the Trust, namely Ms. Cepeda and Messrs. Matthews, Murphy, McKissack and Reed. The Board also at times may constitute other committees of the Board to assist in the evaluation of specific matters.

The Audit Committee oversees each Fund’s audit, accounting and financial reporting policies and practices and its internal controls. The Audit Committee approves, and recommends to the Board for its ratification, the selection, appointment, retention or termination of the Trust’s independent registered public accounting firm and approves the compensation of the independent registered public accounting firm. The Audit Committee also approves all audit and permissible non-audit services provided to each Fund by the independent registered public accounting firm and all permissible non-audit services provided by the Trust’s independent registered public accounting firm to the Manager and any affiliated service providers if the engagement relates directly to Fund operations and financial reporting. The Audit Committee met two times during the Trust’s most recent fiscal year.

The Corporate Governance and Nominating Committee is charged with overseeing the Board governance matters and related Trustee practices, including selecting and nominating persons for election or appointment by the Board as Independent Trustees of the Trust. The Corporate Governance and Nominating Committee will consider nominees recommended by the Funds’ shareholders if a vacancy occurs. Shareholders who wish to recommend a nominee should send nominations to the Trust’s Secretary. The Corporate Governance and Nominating Committee also considers and recommends to the Board the appropriate compensation for serving as a Trustee on the Board. The Corporate Governance and Nominating Committee met three times during the Trust’s most recent fiscal year.

316



Important Tax Information


(unaudited)

The following information is provided with respect to the distributions paid during the taxable year/period ended August 31, 2016:


	Large Cap Equity Fund			Small-Mid Cap Equity Fund			International Equity Fund			Emerging Markets Equity Fund			High Yield Fund
Record Date		12/4/2015			12/4/2015			12/4/2015			12/4/2015			Monthly
Payable Date		12/7/2015			12/7/2015			12/7/2015			12/7/2015			Monthly
Ordinary Income:
Qualified Dividend Income for Individuals		100	%		4.88	%		100	%		80.46	%		—
Dividends Qualifying for the Dividends Received
Deduction for Corporations		100	%		4.78	%		—			0.98	%		—
Foreign Source Income		—			—			95.15	%		97.06	%		—
Foreign Tax Paid Per Share		—			—			0.01890			0.02413			—
Long-Term Capital Gain Dividend		4.80011			5.09118			—			—			—

	Core Fixed Income Fund			International Fixed Income Fund			Municipal Bond Fund			Inflation-Linked Fixed Income Fund			Ultra-Short Term Fixed Income Fund
Record Date		Monthly			12/4/2015			Monthly			Monthly			Monthly
Payable Date		Monthly			12/7/2015			Monthly			Monthly			Monthly
Ordinary Income:
Qualified Dividend Income for Individuals		—			—			—			—			—
Dividends Qualifying for the Dividends Received
Deduction for Corporations		—			—			—			—			—
Interest from Tax-Exempt Obligations		—			—			100	%		—			—
Interest from Federal Obligations		32.74	%		15.86	%		—			—			—
Long-Term Capital Gain Dividend		0.04365			—			0.02149			—			—

*	Expressed as a percentage of the cash distribution grossed-up for foreign taxes.

The law varies in each state as to whether and what percentage of dividend income attributable to Federal obligations is exempt from state income tax. We recommend that you consult with your tax adviser to determine if any portion of the dividends you received is exempt from state income taxes.

The foreign taxes paid represent taxes incurred by the Fund on income received by the Fund from foreign sources. Foreign taxes paid may be included in taxable income with an offsetting deduction from gross income or may be taken as a credit for taxes paid to foreign governments. You should consult your tax adviser regarding the appropriate treatment of foreign taxes paid.

Please retain this information for your records.

317

MORGAN STANLEY SMITH BARNEY LLC

Distributor

CONSULTING GROUP ADVISORY SERVICES LLC

Investment Adviser

This report is submitted for the general information of the shareholders of Consulting Group Capital Markets Funds. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current Prospectus for the Trust which contains information concerning the Trust’s Investment policies, charges and expenses as well as other pertinent information.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C., and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. To obtain information on Form N-Q from the Funds, shareholders can call 1-888-454-3965 (“ask for Consulting Group”).

Information on how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 and a description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling 1-888-454-3965 (ask for “Consulting Group”), (2) on the Funds’ website at www.morganstanley.com/cgcm and (3) on the SEC’s website at www.sec.gov.

Consulting Group Capital Markets Funds

2000 Westchester Avenue

Purchase, NY 10577

ITEM 2. CODE OF ETHICS.

As of the period ended August 31, 2016 (“Reporting Period”), the Registrant has adopted a code of ethics (“Code”) that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party. The Registrant has not amended any provision in its Code that relates to an element of the Code’s definitions enumerated in paragraph (b) of Item 2 of this Form N-CSR. A copy of this Code is filed as an Exhibit to this Form N-CSR pursuant to Item 12(a)(1).

The Registrant has not granted any waiver, including any implicit waiver, from a provision of its Code to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

The Board of Trustees of the Registrant has determined that Mark J. Reed possesses the attributes identified in Instruction (b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert,” and has designated Mr. Reed as the Registrant’s audit committee financial expert. Mr. Reed is an “independent” Trustee pursuant to paragraph (a)(2) of Item 3 to Form N-CSR.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

AUDIT FEES –

(a) Audit Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2016 and August 31, 2015 for professional services rendered by the Registrant’s principal accountant (“Auditor”) for the audit of the Registrant’s annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for each of the last two fiscal years, were $527,300 in 2016 and $531,100 in 2015.

(b) Audit-Related Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2016, and August 31, 2015, for assurance and related services by the Auditor that were reasonably related to the performance of the audit of the Registrant’s financial statements and were not reported under paragraph (a) of this Item 4, were $0 in 2016 and $0 in 2015.

(c) Tax Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2016 and August 31, 2015 for professional services rendered by the Auditor for tax compliance, tax advice and tax planning (“Tax Services”) were $87,165 in 2016 and $90,880 in 2015. These services consisted of (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments, and (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held.

(d) All Other Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2016, and August 31, 2015, for products and services provided by the Auditor to the Registrant, other than the services reported in paragraphs (a) through (c) of this Item 4, were $0 for 2016 and $0 for 2015.

(e)(1) The Charter for the Audit Committee (“Committee”) of the Consulting Group Capital Markets Funds provides that the Committee may delegate its responsibility to approve any such audit and permissible non-audit services to a sub-committee consisting of the Chairperson of the Committee (“Chairperson”) and at least one other member of the Committee as the Chairperson, from time to time, may determine and appoint, and such sub-committee shall report to the Committee, at its next meeting after the sub-committee’s meeting, its decision(s). From year to year, and at such other times as the Committee deems appropriate, the Committee shall report to the Board whether this system of approval has been effective and

efficient or whether this Charter should be amended to allow for pre-approval pursuant to such policies and procedures as the Committee shall approve, including the delegation of some or all of the Committee’s pre-approval responsibilities to other persons (other than the Adviser or the Trust’s officers).

(e)(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(c) of Rule 2-01 of Regulation S-X, with respect to: Audit-Related Fees were 0% for 2016 and 0% for 2015; Tax Fees were 0% for 2016 and 0% for 2015; and Other Fees were 0% for 2016 and 0% for 2015.

(f) Not Applicable.

(g) Aggregate non-audit fees billed by the Auditor for services rendered to the Registrant and the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management as is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant of each of the last two fiscal years of the Registrant (“Service Affiliates”) were $5,000 for 2016 and $0 in 2015.

(h) The Registrant’s Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates that were not pre-approved pursuant to paragraph (c)(7)ii of Rule 2-01 of Regulation S-X is compatible with maintaining the Auditor’s independence.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not Applicable.

ITEM 6. INVESTMENTS.

A Schedule of Investments in securities of unaffiliated issuers as of the close of the Reporting Period is included as part of the report to shareholders filed under Item 1 of this Form N-CSR.

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 COMPANIES 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, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

ITEM 11. CONTROLS AND PROCEDURES.

(a) The Registrant’s principal executive officer and principal financial officer, or persons performing similar functions, 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 (17 CFR 270.30a-3(c)) were

effective, as of a date within 90 days of the filing date of this report, based on his evaluation of these disclosure controls and procedures as required by Rule 30a-3(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(b)), and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(d)), that occurred during the Registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

ITEM 12. EXHIBITS.

(a)(1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.

(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)) are attached hereto.

(a)(3) Not Applicable.

(b) Certifications pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

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.


Consulting Group Capital Markets Funds

By:		/s/ David Berdon
		David Berdon
		Chief Executive Officer Consulting Group Capital Markets Funds

Date: November 4, 2016

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:		/s/ David Berdon
		David Berdon Chief Executive Officer Consulting Group Capital Markets Funds

Date: November 4, 2016


Consulting Group Capital Markets Funds

By:		/s/ Francis Smith
		Francis Smith Chief Financial Officer Consulting Group Capital Markets Funds

Date: November 4, 2016

Name, Address and
Date of Birth

Position(s)
Held with
Trust

Term of Office***
and Length of
Time Served

Principal Occupation(s) During Past Five Years

Suzan M. Barron
Brown Brothers Harriman & Co. (“BBH&Co.”)
50 Post Office Square
Boston, MA 02110
Birth Year: 1964

Assistant Secretary

Since 2011

Practice Lead for Portfolio Compliance, Fund Administration, BBH&Co. (2015-present); Senior Vice President and Senior Investor Services Counsel, Corporate Secretary and Regulatory Support Practice of Fund Administration, BBH&Co. (2005-present)