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, 2018
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
Consulting Group
Capital Markets Funds
Annual Report
| • | | Small-Mid Cap Equity Fund |
| • | | International Equity Fund |
| • | | Emerging Markets Equity Fund |
| • | | International Fixed Income Fund |
| • | | Inflation-Linked Fixed Income Fund |
| • | | Ultra-Short Term Fixed Income Fund |
| • | | Alternative Strategies Fund |
INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
Table of Contents
Consulting Group
Capital Markets Funds
DEAR SHAREHOLDER,
Global equity market returns were mixed over the twelve-month period ending August 31, 2018. U.S. markets led the way with the S&P 500® Index i gaining 19.7% while developed international markets represented by the MSCI EAFE® Index (Net) vi gained 4.4%. However, emerging markets did not fare as well with the MSCI Emerging Markets Index (Net) v losing 0.7%. The strength in the U.S. markets can be attributed to multiple factors including a strong economy, higher wages and tax cuts which drove revenues and earnings growth. After performing well in 2017, overseas markets including emerging markets have underperformed the U.S. markets due to a variety of factors including tighter financial conditions, issues on trade and geopolitical events.
During the trailing 12 months ending August 31, 2018, growth stocks continued to outperform value stocks in both the U.S. and abroad. The large-cap Russell 1000® Growth Index vii increased 27.2% and the Russell 1000® Value Index viii increased 12.5%. The small-cap Russell 2000® Growth Index ix increased 30.7% and the Russell 2000® Value Index x increased 20.1%. In developed international markets, the MSCI EAFE® Growth Index xii increased 8.1% and the MSCI EAFE® Value Index xi increased 0.6%. In emerging markets, the differential was not as great but still in favor of growth over value.
Within the United States, all 11 sectors of the S&P 500® posted positive results over the twelve-month period ending August 31, 2018. The returns are as follows: Information Technology (+32.8%), Consumer Discretionary (+32.3%), Energy (+22.1%), Financials (+16.9%), Health Care (+16.1%), Industrials (+13.1%), Materials (+10.0%), Real Estate (+6.3%), Telecom Services (+3.7%), Consumer Staples (+1.0%) and Utilities (+0.7%).
Fixed income markets struggled during this same 12-month period as interest rates increased across the yield curve. The yield on the U.S. 2-year Treasury-Note rose from 1.33% to 2.62% and the yield on the 10-year Treasury-Note rose from 2.13% to 2.85%. Broad investment grade indices such as the Bloomberg Barclays U.S. Aggregate BondTM Index xiii returned a negative 1.1% and the Bloomberg Barclays Global Aggregate Bond Index xiv returned a negative 1.4%. U.S. high yield markets bucked the trend given the strong economy with the Bloomberg Barclays U.S. Corporate High Yield Bond Index xv returning a positive 3.4%.
Morgan Stanley & Co. economists expect U.S. real GDP growth to be approximately 2.7% in 2018 and 2.2% in 2019. The forecast for global real GDP growth will be approximately 3.9% in 2018 and 3.8% in 2019.
Consulting Group Capital Markets (CGCM) Funds
The Large Cap Equity Fund returned +18.9% in the fiscal year ending August 31, 2018 compared to the Russell 1000® Index ii which returned +19.8%. The return of the Lipper Large-Cap Core Funds Average xvi investment category was +17.6%. The Fund’s allocation effect had a positive impact on performance, but stock selection within Financials, Health Care and Information Technology contributed to the underperformance. Top contributors to performance included Amazon, Apple, Microsoft, Cisco and Alphabet (Class A), while the top detractors included Molson Coors Brewing Company, Philip Morris International, Celgene, General Electric and AT&T.
The Small-Mid Cap Equity Fund returned +22.2% during the fiscal year ending August 31, 2018 compared to the Russell 2500® Index iii which returned +23.3%. The return of the Lipper Small-Cap Core Funds Average xvii investment category was +21.2%. The Fund’s allocation effect had a positive impact on performance, but stock selection within Health Care and Information Technology were the largest detractors. Top contributors to performance included Ross Stores, Greenhill & Co., Nektar Therapeutics, Keysight Technologies and the iShares Russell 2000® Value ETF, while the top detractors included Prothena, Incyte, Manitowoc and MACOM Technology Solutions Holdings.
I
The International Equity Fund returned +4.2% during the fiscal year ending August 31, 2018 compared to the MSCI EAFE® Index (Net) vi which returned +4.4%. The return of the Lipper International Large-Cap Core Funds Average xviii investment category was +3.2%. Sectors contributing most to performance included Information Technology, Energy and Financials while Consumer Discretionary and Telecommunication Services were the larger detractors. Countries contributing most to performance were Germany, Sweden and Spain while the larger detractors included Japan and France. Top contributors to performance included Volkswagen AG, BP PLC, AstraZeneca PLC, CSL Limited and Temenos AG, while the top detractors included British American Tobacco PLC, UniCredit SPA, BNP Paribas SA, Takeda Pharmaceutical Ltd. and Bayer AG.
The Emerging Markets Equity Fund returned -5.6% during the fiscal year ending August 31, 2018 compared to the MSCI Emerging Markets Index (Net) v which returned -0.7%. The return of the Lipper Emerging Markets Funds Average xix investment category returned -3.0%. Sectors detracting most from performance included Financials, Energy and Health Care. Countries detracting the most included Turkey, Brazil and Taiwan. Top contributors included LUKOIL, Ping An Insurance (Group) Company, Taiwan Semiconductor Manufacturing, Samsung Electronics Co and SK hynic Inc. while the larger detractors included Tofas Turk Otomobil Fabrikasi A.S., Akbank TAS, CCR S.A., Cielo, Turk Telekomunikasyon A.S.
The Core Fixed Income Fund returned -1.4% during the fiscal year ending August 31, 2018 compared to the Bloomberg Barclays U.S. Aggregate BondTM Index xiii which returned -1.1%. The return of the Lipper Core Bond Funds Average xx was also -1.1%.
The High Yield Fund returned +3.5% during the fiscal year ending August 31, 2018 compared to Bloomberg Barclays U.S. Corporate High Yield Bond Index xv which returned +3.4%. The return of the Lipper High Yield Funds Average xxi was +2.6%.
The International Fixed Income Fund returned +2.3% during the fiscal year ending August 31, 2018 compared to the FTSE Non-USD World Government Bond Index (USD) Hedged xxii which returned +2.0%. The return of the Lipper International Income Funds Average xxiii was -2.2%.
The Municipal Bond Fund returned -0.2% during the fiscal year ending August 31, 2018 compared to the Bloomberg Barclays U.S. Municipal Bond Index xxiv which returned +0.5%. The return of the Lipper General & Insured Municipal Debt Funds Average xxv was +0.8%.
The Inflation-Linked Fixed Income Fund returned +0.6% during the fiscal year ending August 31, 2018 compared to the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index xxvi which returned +0.8%. The return of the Lipper Inflation Protected Bond Funds Average xxviii was also +0.8%.
The Ultra-Short Term Fixed Income Fund returned +2.1% during the fiscal year ending August 31, 2018 compared to the FTSE 3-Month U.S. Treasury Bill Index xxvii which returned +1.5%. The return of the Lipper Ultra-Short Obligations Funds Average xxix was +1.6%.
The Alternative Strategies Fund returned -1.2% since inception on February 15, 2018 through August 31, 2018 compared to the HFRX Global Hedge Fund Indexxxx that returned -1.5% in the same period.
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,
Paul Ricciardelli
Chief Executive Officer
II
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.
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.
III
| | | | |
Performance of the Consulting Group Capital Markets Funds For the Year Ended August 31, 2018†* | |
| |
| Large Cap Equity Fund | | | 18.89 | % |
Russell 1000® Index (ii) | | | 19.82 | |
| |
| Small-Mid Cap Equity Fund | | | 22.17 | |
Russell 2500® Index (iii) | | | 23.33 | |
| |
| International Equity Fund | | | 4.15 | |
MSCI EAFE® Index (Net) (vi) | | | 4.39 | |
| |
| Emerging Markets Equity Fund | | | -5.61 | |
MSCI Emerging Markets Index (Net) (v) | | | -0.68 | |
| |
| Core Fixed Income Fund | | | -1.35 | |
Bloomberg Barclays U.S. Aggregate BondTM Index (xiii) | | | -1.05 | |
| |
| High Yield Fund | | | 3.47 | |
Bloomberg Barclays U.S. Corporate High Yield Bond Index (xv) | | | 3.40 | |
| |
| International Fixed Income Fund | | | 2.25 | |
FTSE Non-USD World Government Bond Index (USD) Hedged (xxii) | | | 1.95 | |
| |
| Municipal Bond Fund | | | -0.21 | |
Bloomberg Barclays U.S. Municipal Bond Index (xxiv) | | | 0.49 | |
| |
| Inflation-Linked Fixed Income Fund | | | 0.55 | |
Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (xxvi) | | | 0.83 | |
| |
| Ultra-Short Term Fixed Income Fund | | | 2.09 | |
FTSE 3-Month U.S. Treasury Bill Index (xxvii) | | | 1.49 | |
| |
| Alternative Strategies Fund | | | -1.20 | |
HFRX Global Hedge Fund Index (xxx) | | | -1.47 | |
See pages 26 through 29 for all footnotes.
IV
Large Cap Equity Fund
|
| ABOUTTHE SUB-ADVISERS |
• ClearBridge Investments, LLC (“ClearBridge”) ClearBridge is a wholly-owned subsidiary of Legg Mason, Inc., a financial services holding company. The Portfolio Managers for the ClearBridge Large Cap Growth strategy utilize a fundamental, bottom-up research approach that emphasizes company analysis, management and stock selection. ClearBridge invests in large capitalization companies that it believes are dominant in their industries due to product, distribution or service strength. ClearBridge emphasizes individual security selection while diversifying the Fund’s investments across industries, which may help to reduce risk. ClearBridge attempts to identify established large capitalization companies with the highest growth potential, then analyze each company in detail, ranking its management, strategy and competitive market position. The Portfolio Managers pursue a collaborative approach in which both they and the research analysts propose companies with attractive business models and good long-term growth prospects for further review. The team is particularly valuation conscious, gravitating toward “controversy”, or companies that are temporarily inefficiently priced. |
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• Columbia Management Investment Advisers, LLC (“Columbia”) |
Columbia 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, Columbia 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. |
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| Columbia may sell a security when the security’s price reaches a target set by Columbia; if Columbia believes that there is deterioration in the issuer’s financial circumstances or fundamental prospects; if other investments are more attractive; or for other reasons. |
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• BlackRock Financial Management, Inc. (“BlackRock”) |
| BlackRock 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. |
As of August 31, 2018, the Sub-advisers for CGCM Large Cap Equity Fund (“Fund”) were BlackRock Financial Management, Inc. (“BlackRock”), Columbia Management Investment Advisers, LLC (“Columbia”), Lazard Asset Management, LLC (“Lazard”), Delaware Investments Fund Advisers (“Delaware”), Lyrical Asset Management LP (“Lyrical”) and ClearBridge Investments, LLC (“ClearBridge”). Note ClearBridge was hired on November 20, 2017 and replaced Wedgewood Partners, Inc. (“Wedgewood”) as a Sub-adviser.
For the fiscal year ending August 31, 2018, the Fund returned 18.9% compared to the Russell 1000® Indexii return of 19.8%. The Fund’s overweight to Information Technology and underweight to Real Estate and Utilities contributed to performance. Stock selection was strongest within the Energy sector, but weakest in the Information Technology sector. The top positions contributing to performance included Amazon, Apple, Microsoft, Cisco Systems and Alphabet Inc. Class A, while the top detractors included Molson Coors Brewing Company, Philip Morris International, Celgene Corp., General Electric Company and AT&T Inc.
The Fund’s holdings offered a dividend yield of 1.7%, in-line with the benchmark which was also 1.7%. On a valuation basis, the Fund’s forward P/E was 17.7, slightly cheaper than the benchmark at 18.3. The estimated earnings per share growth over the next 3-5 years of 14.2% for the Fund was slightly higher than the benchmark’s 13.9% growth rate. The top 10 individual positions by weight were the iShares Core S&P U.S. Value ETF, Amazon, Apple, Microsoft, Cisco Systems, Coca-Cola Company, Alphabet Inc. Class A, Johnson & Johnson, Facebook, Inc. Class A and Medtronic PLC.
For the fiscal year ending August 31, 2018, BlackRock performed in-line with the Russell 1000® Indexii, gross of fees, which matched its passive mandate to track the index.
The portion of the Fund managed by Lazard trailed the benchmark gross of fees for the period which can be contributed to their value bias and individual stock selection. Large cap value stocks underperformed large cap growth stocks by nearly 15% during the fiscal year. Contributing to performance was relative positioning to the Information Technology, Industrials and Health Care sectors. Detracting from performance was relative positioning to Consumer Staples, Consumer Discretionary and the Material sectors. Stock selection was strongest within the Energy sector and weakest in the Consumer Staples sector. The top five contributors were Medtronic, Cisco Systems, Motorola Solutions, Alphabet Inc. Class A and DXC Technology while the top five detractors included Molson Coors Brewing Company, Skyworks Solutions, Vulcan Materials, Crown Holdings and AT&T Inc. As of August 31, 2018, the top five holdings represented approximately 46% of Lazard’s portfolio and consisted of Coca-Cola Company, Analog Devices, Medtronic, Cisco Systems and Alphabet Inc. Class A.
The portion of the Fund managed by Delaware trailed the benchmark gross of fees for the period due mainly to their value strategy along with their relative sector positioning within the Information Technology and Consumer Discretionary sectors. Stock selection was strongest within Energy and Consumer Staples and weakest within Health Care. The top five contributors were Lowe’s Companies, Marathon
1
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• 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 U.S. 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. |
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• Delaware Investments Fund Advisers, a member of Macquarie Investment Management Business Trust (“MIM”) |
| MIM 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. MIM invests primarily in securities of large-capitalization companies that the Manager believes have long-term capital appreciation potential. MIM 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”) |
| 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. |
Oil, ConocoPhillips, Cisco Systems and Intel while the top five detractors were American International Group, Cardinal Health, Oracle, AT&T and Edison International. As of August 31, 2018, the top five holdings represented approximately 16% of Delaware’s portfolio and consisted of Cisco Systems, CVS Health Corporation, Express Scripts Holding Company, Lowe’s Companies and Pfizer.
The portion of the Fund managed by Lyrical trailed the benchmark gross of fees for the period which can be contributed to their deep value strategy and individual stock selection. Stock selection within Energy and Health care contributed to performance while stock selection within Information Technology, Consumer Discretionary and Financials were the biggest detractors. The top five contributors were National Oilwell Varco, EOG Resources, HCA Healthcare, Anthem and TE Connectivity while the top five detractors were Adient, Whirlpool, Goodyear Tire & Rubber, Affiliated Managers Group and Western Digital. The top five holdings as of August 31, 2018 represented approximately 29% of Lyrical’s portfolio and consisted of HCA Healthcare, Anthem, Corning, EOG Resources and Aflac.
The portion of the Fund managed by ClearBridge, which as mentioned above was incepted in November 2017 as a replacement for Wedgewood, outperformed the benchmark gross of fees for the period due their growth strategy, relative sector positioning and stock selection. Sector positioning was mostly positive with the largest contribution coming from the Information Technology, Real Estate, Consumer Discretionary and Financials. Stock selection was strongest in the Information Technology, Consumer Discretionary and Industrials sectors and weakest within Health Care. The top five contributors were Amazon, W.W. Grainger, Microsoft, Adobe Systems and Visa Inc. Class A while the top five detractors were Tractor Supply Co., Anheuser-Busch InBev, Dentsply Sirona, Inc., Celgene and CVS Health Corp. The top five holdings as of August 31, 2018 represented approximately 21% of ClearBridge’s portfolio and consisted of Amazon, Microsoft, Visa Inc. Class A, Alphabet Inc. Class C and Apple.
The portion of the Fund managed by Columbia outperformed the benchmark gross of fees for the period due to their aggressive growth strategy and relative sector positioning. Sector positioning was positive across the majority of sectors with Information Technology and Consumer Discretionary being the larger contributors. Stock selection detracted from performance with most of the negative contribution coming from the Heath Care and Industrial sectors. The top five contributors were Amazon, Illumina, Nvidia, Splunk and Salesforce.com while the top five detractors included Celegene, Intercept Pharmaceuticals, DexCom, Alexion Pharmaceuticals and Applied Materials. The top five holdings as of August 31, 2018 represented approximately 21% of the Columbia portfolio and consisted of Amazon, Nvidia, PayPal, Salesforce.com and Facebook, Inc. Class A.
2
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• Lyrical Asset Management LP (“Lyrical”) |
| 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® Indexii vs. the Lipper Large-Cap Core Funds Averagexvi
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HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2018 LARGE CAP EQUITY FUND Comparison of $10,000 Investment in the Fund with the Russell 1000® Index
and the Lipper Large-Cap Core Funds Average |
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, 2018† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | Russell
1000®
Index** | | Lipper
Large-Cap
Core Funds
Average** |
| | Since inception 11/18/1991 | | | | 8.64 | % | | | | 5.97 | % | | | | 10.11 | % | | | | 9.51 | % |
| | 10 years | | | | 9.90 | | | | | 7.20 | | | | | 10.93 | | | | | 9.74 | |
| | 5 years | | | | 13.48 | | | | | 10.69 | | | | | 14.36 | | | | | 12.79 | |
| | 3 years | | | | 13.17 | | | | | 10.41 | | | | | 15.84 | | | | | 14.10 | |
| | | 1 year | | | | 18.89 | | | | | 16.03 | | | | | 19.82 | | | | | 17.55 | |
See pages 26 through 29 for all footnotes.
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Small-Mid Cap Equity Fund
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| ABOUTTHE SUB-ADVISERS |
• Neuberger Berman Investment Advisers LLC (“Neuberger”) |
| Neuberger 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’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’s valuation approach resembles the due diligence effort that Neuberger’s a private equity firm might employ to evaluate the purchase of an entire company. Neuberger’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. |
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• 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. |
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• Hahn Capital Management LLC (“Hahn”) |
| Hahn 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. |
As of August 31, 2018, the Sub-advisers for the CGCM Small-Mid Cap Equity Fund (“Fund”) were BlackRock Financial Management, Inc. (“BlackRock”), Frontier Capital Management Co., LLC (“Frontier”), Hahn Capital Management LLC (“Hahn”), Neuberger Berman Investment Advisers LLC (“Neuberger”), Rutabaga Capital Management LLC (“Rutabaga”) and Westfield Capital Management Company, L.P. (“Westfield”).
As of August 31, 2018, the Fund returned 22.2% compared to the Russell 2500® Indexiii return of 23.3%. The Fund’s relative sector positioning was a contributor to performance while individual stock selection was a detractor. The Fund’s overweight to Information Technology and underweight to Real Estate and Utilities contributed to performance. Stock selection was strongest within Consumer Discretionary and weakest in the Information Technology and Health Care sectors. The top positions contributing to performance included Ross Stores, Greenhill & Co., Nektar Therapeutics, Keysight Technologies and the iShares Russell 2000® Value ETF while the top detractors included Mohawk Industries, Prothena Corp, Incyte Corp., Manitowoc Company and MACOM Technology Solutions Holdings.
The Fund’s holdings offered a dividend yield of 0.9% compared to the benchmark’s yield of 1.4%. On a valuation basis, the Fund’s forward P/E was 19.3, higher than the benchmark of 18.6. The higher premium can be attributed to the estimated 3-5 years earnings per share growth rate of 15.2% for the Fund compared to the benchmark of 14.2%. The top 10 individual positions by weight were the iShares Russell 2000® Value ETF, Keysight Technologies, Ross Stores, Becton, Dickinson and Company, Hexcel Corp., Jacobs Engineering Group, Euronet Worldwide, CBRE Group, Inc. Class A, IDEX Corp and Mid-America Apartment Communities.
For the fiscal year ending August 31, 2018, BlackRock performed in-line with the Russell 2500® Indexiii, which matched its passive mandate to track the index.
The portion of the Fund managed by Frontier trailed the benchmark gross of fees during the period mainly due to individual stock selection. Contributing to performance was relative positioning to the Real Estate, Information Technology and Health Care sectors. Detractors included Materials and Energy. Stock selection was strongest within the Energy and Financials, but weakest within Health Care and Information Technology. The top five contributors were O’Reilly Automotive, Aligh Technology, Zoetis, Inc. Class A, Cintas Corp, SS&C Technologies Holdings while the top five detractors were Expedia Group, Incyte Corp., Equifax, MACOM Technology Solutions Holdings and Euronet Worldwide. As of August 31, 2018, the top five holdings represented approximately 12% of Frontier’s portfolio and consisted of Global Payments, Cintas Corp., Cooper Companies, Worldpay, Inc. Class A and O’Reily Automotive.
The portion of the Fund managed by Hahn trailed the benchmark gross of fees due to their value strategy, relative sector positioning and stock selection. Contributing to performance was their relative positioning in Consumer Discretionary while detractors included Information Technology, Health Care and Real Estate. Stock selection was strongest within the Industrials and Real Estate sectors, but weakest within Health Care, Consumer Discretionary and Information Technology. The top five contributors were Ross Stores, Becton, Dickinson and Company, Jacobs
4
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• 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. |
Engineering Group, Keysight Technologies and CBRE Group, Inc. Class A while the top detractors were Mohawk Industries, Hanesbrands, Envision Healthcare, JELD-WEN Holdings, Inc. and Albermarle Corp. As of August 31, 2018, the top five holdings represented approximately 22% of Hahn’s portfolio and included Keysight Technologies, Becton, Dickinson and Company, Ross Stores, CBRE Group, Inc. Class A and Jacobs Engineering Group.
The portion of the Fund managed by Neuberger underperformed the benchmark gross of fees due to their value strategy and individual stock selection. Relative positioning to the Information Technology (overweight), Real Estate (underweight) and Financial (underweight) sectors contributed to performance while their underweight to Consumer Discretionary detracted somewhat. Stock selection was strongest within Consumer Discretionary, Health Care and Financials and weakest within Information Technology and Industrials. The top five contributors were SeaWorld Entertainment, Molina Healthcare, Ciena, Acxiom and Mellanox Technologies, Ltd., while the top detractors were Babcock & Wilcox Enterprises, MACOM Technology Solutions Holdings, Diebold Nixdorf Inc., TiVo Corp. and Crown Holdings. As of August 31, 2018, the top five holdings represented approximately 15% of Neuberger’s portfolio and consisted of Ciena, ARRIS International Plc, Verint Systems, Charles River Laboratories International and Mellanox Technologies, Ltd.
The portion of the Fund managed by Rutabaga outperformed the benchmark gross of fees due to their relative sector positioning and individual stock selection. Relative positioning to Real Estate (underweight) and Materials (underweight) added to performance while their underweight to Health Care and overweight to Industrials detracted from performance. Stock selection was strongest within Financials, Consumer Discretionary and Consumer Staples, but weakest within Energy. The top five contributors were Lindblad Expeditions Holdings, Greenhill & Co., Thermon Group Holdings, SPX Flow, and Calgon Carbon, while the top five detractors were Key Energy Services, Tivity Health, Manitowoc Company, Granite Construction and Textainer Group Holdings Limited. As of August 31, 2018, the top five holdings represented approximately 28% of Rutabaga’s portfolio and consisted of Andersons, Lindblad Expeditions Holdings, Cooper Tire & Rubber Company, Varex Imaging and Mistras Group.
The portion of the Fund managed by Westfield outperformed the benchmark gross of fees due to their growth strategy, relative sector positioning and individual stock selection. Relative positioning to most sectors except Energy (underweight) and Materials (overweight) added to performance. Stock selection was strongest within Information Technology, Consumer Discretionary and Financials, but weakest within Health Care, Industrials and Materials. The top five contributors were Eldorado Resorts, The Bank of N.T. Butterfield & Son Limited, Nektar Therapeutics, Zendesk and Integrated Device Technology while the top five detractors were Prothena Corp. Plc, Clovis Oncology, DexCom, Aclaris Therapeutics and Berry Global Group. As of August 31, 2018, the top five holdings represented approximately 10% of Westfield’s portfolio and consisted of Masimo, ICON Plc., Bio-Rad Laboratories, Inc. Class A, Eldorado Resorts and Ultimate Software Group.
5
The following graph depicts the performance of Russell 2500® Indexiii vs. the Lipper Small-Cap Core Funds Averagexvii
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2018 SMALL-MID CAP EQUITY FUND Comparison of $10,000 Investment in the Fund with the Russell 2500® Index
and the Lipper Small-Cap Core Funds Average |
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.
| | | | | | | | | | | | | | | | | | | | | | |
| | | SMALL-MID CAP EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2018† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | Russell
2500®
Index** | | Lipper
Small-Cap
Core Funds
Average** |
| | Since inception 11/18/1991 | | | | 9.50 | % | | | | 5.97 | % | | | | 11.30 | % | | | | 10.91 | % |
| | 10 years | | | | 9.22 | | | | | 6.52 | | | | | 11.03 | | | | | 10.01 | |
| | 5 years | | | | 10.65 | | | | | 7.90 | | | | | 12.96 | | | | | 11.60 | |
| | 3 years | | | | 9.74 | | | | | 7.03 | | | | | 14.96 | | | | | 13.87 | |
| | | 1 year | | | | 22.17 | | | | | 19.20 | | | | | 23.33 | | | | | 21.17 | |
See pages 26 through 29 for all footnotes.
6
International Equity Fund
|
| ABOUTTHE SUB-ADVISERS |
• Victory Capital Management, Inc. (“Victory Capital”) |
| Victory Capital’s investment franchise, Trivalent Investments, employs a bottom-up investment approach that emphasizes individual stock selection. The investment process uses a combination of quantitative and traditional qualitative, fundamental analysis to identify stocks with low relative price multiples and positive trends in earnings forecasts. The stock selection process is designed to produce a diversified portfolio that, relative to the S&P Developed ex-U.S. Small Cap Index, tends to have a below-average price-to-earnings ratio and an above-average earnings growth trend. |
|
• Wellington Management Company, LLP (“Wellington”) |
| Tracing our history to 1928, Wellington is one of the world’s largest independent investment management firms. With over US$1 trillion in assets under management as of 30 June 2018, we serve as a trusted investment adviser to more than 2,200 institutional clients and mutual fund sponsors in over 60 countries. Our comprehensive investment capabilities are built on the strength of rigorous, proprietary research and span nearly all segments of the global capital markets, including equity, fixed income, multi-asset, and alternative strategies. As a private partnership whose sole business is investment management, our long-term views and interests are aligned with those of our clients. Our commitment to investment excellence is evidenced by our significant presence and long-term track records in nearly all sectors of the global securities markets. |
|
• 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 |
As of August 31, 2018, the Sub-advisers for the CGCM International Equity Fund (“Fund”) were BlackRock Financial Management Inc. (“BlackRock”), Causeway Capital Management, LLC (“Causeway”), OppenheimerFunds, Inc. (“OFI”), Schroders Investment Management North America, Inc. (“Schroders”), Victory Capital Management Inc. (“Victory Capital”) and Wellington Management Company, LLP (“Wellington”). Please note Victory Capital was added as a Sub-adviser on November 27, 2017 and Wellington was added as a Sub-adviser on December 4, 2017.
For the fiscal year ending August 31, 2018, the Fund returned 4.2% compared to the MSCI EAFE® Index (Net)vi return of 4.4%. The Fund’s relative country selection contributed to performance while individual stock selection within those countries detracted. The Fund’s overweight to emerging markets added to performance but their underweight to Japan detracted. Individual stock selection was strongest in Europe and weakest in emerging markets and Japan. The top five positions contributing to performance included Volkswagen AG Pref, BP PLC, AstraZeneca PLC, CSL Limited and Temenos AG while the top five detractors were British American Tobacco PLC., UniCredit SPA, BNP Paribas SA Class A., Takeda Pharmaceutical Co. Ltd, and Bayer AG.
The Fund’s holdings offered a dividend yield of 2.9% compared to the benchmark of 3.2%. On a valuation basis, the Fund’s forward P/E was 14.1, in-line with the benchmark which was also 14.1. The estimated 3-5 years earnings per share growth for the Fund is 10.3%, compared to the benchmark of 9.8%. The top 10 individual positions by weight were BP PLC, AstraZeneca PLC, Novartis AG, Total SA, SAP SE, Prudential PLC, Royal Dutch Shell PLC Class B, Nestle SA, China Mobile Limited and Roche Holding Ltd Genusssch.
For the fiscal year ending August 31, 2018, BlackRock performed in-line with the MSCI EAFE® Index (Net)vi gross of fees, which matched its passive mandate to track the index.
The portion of the Fund managed by Causeway was in-line with the Fund’s benchmark gross of fees despite being a value manager in a market where international value stocks underperformed international growth stocks during the fiscal year ending August 31, 2018. Relative country allocation added to performance, but was offset by the individual security selection within those countries. When combining both the country allocation and security selection effect together, the top contributors to performance included Germany, Canada, Spain, Sweden and Australia while the top detractors included Japan, France, Italy, Switzerland and China. From a sector standpoint, contributors to performance included Energy, Materials and Industrials while detractors included Consumer Staples, Information Technology and Health Care. At fiscal year-end, the top five holdings represented approximately 17% of Causeway’s portfolio and consisted of Volkswagen AG Pref, Linde AG TEMP, China Mobile Limited, ABB Ltd. and BP PLC.
The portion of the Fund managed by OFI underperformed the Fund’s benchmark gross of fees during the fiscal year ending August 31, 2018. Relative country allocation added to performance, but was offset by the individual security selection
7
|
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 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 indexagnostic, searching for companies with high growth rates and high quality balance sheets with minimal focus with respect to region or country, sector or security. |
|
• Schroders 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. |
within those countries. When combining both the country allocation and security selection effect together, the top contributors to performance included Switzerland, Spain, Sweden, Belgium and Australia while top detractors included Japan, United Kingdom, Finland, China and India. From a sector standpoint, contributors to performance included Financials, Information Technology, Health Care, Consumer Staples and Industrials while detractors included Consumer Discretionary, Energy and Telecommunication Services. At fiscal year-end, the top five holdings represented approximately 11% of OFI’s portfolio and consisted of Temenos AG, Infineon Technologies AG, SAP SE, CSL Limited and ICICI Bank Limited Sponsored ADR.
The portion of the Fund managed by Schroders outperformed the Fund’s benchmark gross of fees during the fiscal year ending August 31, 2018. The strategy’s growth bias along with their relative country allocation and individual security selection within those countries added to performance. When combining both the country allocation and security selection effect together, the top contributors included Belgium, Sweden, Netherlands, Australia and Japan while the top detractors included Spain, Germany, Finland and Brazil. From a sector standpoint, contributors included Information Technology, Financials, Materials and Consumer Staples while detractors included Consumer Discretionary, Industrials, Telecommunication Services and Energy. At fiscal year-end, the top five holdings represented approximately 11% of Schroder’s portfolio and consisted of Nestle SA, Total SA, Novartis AG, Toyota Motor Corp. and AIA Group Limited.
The portion of the Fund managed by Wellington underperformed the Fund’s benchmark gross of fees since Wellington’s inception on December 4, 2017 through fiscal year-end on August 31, 2018. The strategy’s value bias acted as a headwind along with their security selection, however their country allocation added to performance. When combining both the country allocation and security selection effect together, top contributors included the United Kingdom, Sweden, Italy, Spain and Germany while top detractors included France, Netherlands, Switzerland, India and Korea. From a sector standpoint, Energy and Consumer Staples added value, but Financials, Consumer Discretionary, Materials and Health Care were the larger detractors. At fiscal year-end, the top five holdings represented approximately 13% of Wellington’s portfolio and consisted of Total SA, BP PLC, Eni SPA, AstraZeneca PLC and Honda Motor Co, LTD.
The portion of the Fund managed by Victory Capital outperformed the Fund’s benchmark gross of fees since Victory Capital’s inception on November 27, 2017 through fiscal year-end on August 31, 2018. Relative country allocation slightly detracted from performance with the main driver of returns coming from their security selection within those countries. When combining both country allocation and security selection effect, key contributors included France, Germany, Italy and Hong Kong while detractors included the United Kingdom, Netherlands, Norway and Korea. From a sector standpoint, Energy, Health Care, Information Technology and Real Estate added to performance while Financials, Materials and Telecommunication Services detracted somewhat. At fiscal year-end, the top five holdings represented approximately 6% of Victory Capital’s portfolio and consisted of Wirecard AG, Teleperformance SE, IpsenSA, Logitech International SA and Amplifon SPA.
8
The following graph depicts the performance of MSCI EAFE® Index (Net)vi vs. the Lipper International Large-Cap Core Funds Averagexviii
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2018 INTERNATIONAL EQUITY FUND Comparison of $10,000 Investment in the Fund with the Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE®) Index (Net) and the Lipper International Large-Cap Core Funds Average |
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.
| | | | | | | | | | | | | | | | | | | | | | |
| | | INTERNATIONAL EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2018† |
| | | | | 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 | | | | 5.41 | % | | | | 2.81 | % | | | | 5.18 | % | | | | 6.45 | % |
| | 10 years | | | | 3.43 | | | | | 0.90 | | | | | 3.66 | | | | | 3.65 | |
| | 5 years | | | | 4.85 | | | | | 2.28 | | | | | 5.73 | | | | | 4.95 | |
| | 3 years | | | | 7.19 | | | | | 4.59 | | | | | 7.04 | | | | | 5.96 | |
| | | 1 year | | | | 4.15 | | | | | 1.64 | | | | | 4.39 | | | | | 3.21 | |
See pages 26 through 29 for all footnotes.
9
Emerging Markets Equity Fund
|
| ABOUTTHE SUB-ADVISERS |
• 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, 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 a relative value strategy (“Value Strategy”) and invests primarily in equity securities, principally common stocks, |
As of August 31, 2018, the Sub-advisers for the CGCM Emerging Markets Equity Fund (“Fund”) were BlackRock Financial Management, Inc. (“BlackRock”), Van Eck Associates Corporation (“VanEck”) and Lazard Asset Management, LLC (“Lazard”).
For the fiscal year ending August 31, 2018, the Fund returned -5.6% compared to the MSCI Emerging Markets Index (Net)v return of -0.7%. The underperformance can be contributed to a combination of country allocation and stock selection within those countries with some of the key detractors including exposures to Turkey, Russia and Taiwan.
The Fund’s holdings offered a dividend yield of 2.5%, in-line with the MSCI Emerging Market’s Index (Net)v yield of 2.5%. On a valuation basis, the Fund’s forward P/E was 12.1 compared to the benchmark which was 12.0. The estimated 3-5 years earnings per share growth for the Fund is 13.5%, compared to the benchmark of 14.5%. The top 10 individual positions by weight were Tencent Holdings Ltd., Alibaba Group Holdings Ltd., Samsung Electronics Co, Ltd., Taiwan Semiconductor Manufacturing Co., Ltd., China Construction Bank Corporation Class H., Samsung Electronics Co Ltd PFD Non-Voting, Pin An Insurance (Group) Company of China, Ltd. Class H, Naspers Limited Class N, SK Hynix Inc. and China Mobile Limited Sponsored ADR.
For the fiscal year ending August 31, 2018, BlackRock performed in-line with the MSCI Emerging Markets Index (Net)v, which matched its passive mandate to track the index.
The portion of the Fund managed by VanEck underperformed the Fund’s market index benchmark gross of fees, the MSCI Emerging Markets Index (Net)v, for the fiscal year ending August 31, 2018. Unfavorable stock selection in China, India and Taiwan detracted from performance while stock selection in Korea and South Africa added to performance. From a sector perspective, stock selection within Consumer Discretionary, Staples and Real Estate added value, while stock selection in Financials, Health Care, Industrials and Utilities detracted value. Top contributors included CIE Automotive S.A., Huazhu Group Ltd., Pin An Insurance (Group) Company, while top detractors included Tofas Turk Otomobil Fabrikasi A.S., MLP Saglik Hizmetleri AS Class B and Beijing Capital International Airport Co. Ltd Class H. At fiscal year-end, the top five holdings represented approximately 27% of VanEck’s portfolio and consisted of Alibaba, Tencent Holdings, Samsung Electronics, Ping An Insurance (Group) Company and Naspers Limited Class N.
The portion of the Fund managed by Lazard underperformed the Fund’s market index benchmark gross of fees, the MSCI Emerging Markets Index (Net)v, for the fiscal year ending August 31, 2018. Unfavorable exposures to Russia, Turkey and Brazil detracted from performance while favorable stock selection within China, Taiwan and Pakistan added to performance. From a sector perspective, the portfolio’s exposures to Consumer Discretionary and Utilities added value, while some key detractors included exposures to Financials, Information Technology, Telecommunication Services and Consumer Staples. Top contributors included Lukoil, Taiwan Semiconductor Manufacturing and SK Hynix Inc., while top detractors included Akbank, Banco do Brasil. At fiscal year-end, the top five
10
|
| 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 following graph depicts the performance of MSCI Emerging Markets Index (Net)v vs. the Lipper Emerging Markets Funds Averagexix
holdings represented approximately 22% of Lazard’s portfolio and consisted of China Construction Bank Corp., Samsung Electronics, Taiwan Semiconductor Manufacturing, China Mobile Limited and SK Hynix.
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2018 EMERGING MARKETS EQUITY FUND Comparison of $10,000 Investment in the Fund with the MSCI Emerging Markets Index (Net)
and the Lipper Emerging Markets Funds Average |
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.
| | | | | | | | | | | | | | | | | | | | | | |
| | | EMERGING MARKETS EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2018† |
| | | | | 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 | | | | 4.70 | % | | | | 2.14 | % | | | | N/A | | | | | 5.87 | % |
| | 10 years | | | | 2.17 | | | | | (0.34 | ) | | | | 3.45 | | | | | 3.15 | |
| | 5 years | | | | 4.46 | | | | | 1.92 | | | | | 5.04 | | | | | 4.10 | |
| | 3 years | | | | 10.95 | | | | | 8.28 | | | | | 11.42 | | | | | 9.17 | |
| | | 1 year | | | | (5.61 | ) | | | | (7.90 | ) | | | | (0.68 | ) | | | | (2.99 | ) |
See pages 26 through 29 for all footnotes.
11
Core Fixed Income Fund
|
| ABOUTTHE SUB-ADVISERS |
• 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 (“WAMco”) |
| WAMco 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. |
As of August 31, 2018, the Sub-advisers for the CGCM Core Fixed Income Fund (“Fund”) were Metropolitan West Asset Management, LLC (“MetWest”), Western Asset Management Company (“WAMco”) and BlackRock Financial Management, Inc. (“BlackRock”).
For the fiscal year ending August 31, 2018, the Fund returned -1.4% compared its benchmark, the Bloomberg Barclays U.S. Aggregate BondTM Indexxiii which returned -1.1%.
The portion of the Fund managed by MetWest outperformed the Bloomberg Barclays U.S. Aggregate BondTM Index (“benchmark”), gross of fees during the fiscal year ending August 31, 2018. Outperformance was driven by a defensive duration profile of the portfolio, which was extended on the backup in rates to a slightly longer than Index position near the latter part of this period. Relative sector positioning further contributed, particularly the off-Index allocation to high yield corporates, while the emphasis on higher quality issues in the investment grade corporate space was a drag as lower quality generally outpaced higher quality bonds over the past year. The overweight to securitized products further benefited relative returns, led by subprime non-agency MBS, government guaranteed student loan ABS, and CMBS, as these sectors enjoyed favorable supply/demand technicals and were relatively insulated from the aforementioned macro volatility. However, issue selection within fixed rate, lower coupon agency MBS detracted given higher rates and the diminishing role of the Fed as the largest sponsor of agency MBS.
The portion of the Fund managed by BlackRock outperformed the Fund’s market index benchmark during the fiscal year ending August 31, 2018, gross of fees. Over the period, U.S. rates moved notably higher and the yield curve flattened dramatically as the Federal Reserve continued on its hiking cycle and the market grappled with tax reform and geopolitical risks. U.S. tax cuts and plans for more government spending were tailwinds for growth, however, the rise of U.S. protectionism in trade policy has created uncertainty. The primary drivers of alpha generation (excess returns versus the benchmark) were individual security selection within spread sectors, as well as yield curve and duration management of the portfolio. The portfolio’s positioning and security selection within investment grade credit was the primary contributor to performance, notably within financials and industrials. As credit spreads began to widen earlier in the year, first at the front end of the curve and then further out, the team moved to an overweight position as entry points became attractive across the curve. In terms of duration positioning, the portfolio moved to an overweight position earlier in the year as rates moved higher and have tactically traded that position since. Positioning within CMBS also contributed positively to performance. Over the year, there were no notable detractors from performance.
The portion of the Fund managed by Western underperformed the Fund’s market index benchmark during the fiscal year ending August 31, 2018, gross of fees. A tactical duration overweight position weighed on performance over the one-year period as U.S. Treasury rates ended meaningfully higher, with the 2-year U.S. Treasury yield up 127 bps to 2.62%, the 10-Year U.S Treasury yield up 70 bps to 2.86%, and the 30-year U.S. Treasury yield up 25 bps to 3.02%. The Fund’s yield curve positioning helped provide an offset to the negative duration contribution as
12
The following graph depicts the performance of Bloomberg Barclays U.S. Aggregate BondTM Indexxiii vs. the Lipper Core Bond Funds Averagexx
the yield curve flattened over the period. Emerging market exposure was also a large detractor, contributing as much to the negative performance as did the duration overweight. The deterioration of multiple EM currencies against the U.S. dollar, which was precipitated by a number of geopolitical events, played a large part in the negative performance of Emerging Market Debt. Over the 12-month period ended August 31, 2018, the Argentine peso (ARS) declined over 53% against the USD, the Brazilian real (BRL) declined 22.5%, and the Mexican peso (MXN) declined 6.7%. The poor performance in Emerging Market Debt was partially offset by positive performance from developed non-USD positions, namely the Fund’s euro short, as the currency declined 2.2% over the period. During the period, the Fund’s overweight to High-Yield contributed positively, aided by strong corporate earnings and relatively low defaults. Structured products positions, especially in non-agency RMBS and CMBS benefited, as fundamentals for the overall real estate sector were strong. Finally, the Fund’s TIPS exposure, which serves as a diversifier and as a hedge to our base inflation view contributed positively to performance as breakeven rates rose with increasing inflation expectations.
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2018 CORE FIXED INCOME FUND Comparison of $10,000 Investment in the Fund with the Bloomberg Barclays U.S. Aggregate Bond™ Index and the Lipper
Core Bond Funds Average |
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.
| | | | | | | | | | | | | | | | | | | | | | |
| | | CORE FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2018† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | Bloomberg
Barclays
U.S.
Aggregate
Bond™
Index** | | Lipper
Core Bond
Funds
Average** |
| | Since inception 11/18/1991 | | | | 5.20 | % | | | | 2.61 | % | | | | 5.49 | % | | | | 5.38 | % |
| | 10 years | | | | 4.51 | | | | | 1.94 | | | | | 3.70 | | | | | 3.83 | |
| | 5 years | | | | 2.56 | | | | | 0.03 | | | | | 2.49 | | | | | 2.34 | |
| | 3 years | | | | 1.81 | | | | | (0.71 | ) | | | | 1.76 | | | | | 1.76 | |
| | | 1 year | | | | (1.35 | ) | | | | (3.80 | ) | | | | (1.05 | ) | | | | (1.10 | ) |
See pages 26 through 29 for all footnotes.
13
High Yield Fund
|
| ABOUTTHE SUB-ADVISERS |
• Eaton Vance Management (“Eaton Vance”) |
| Eaton Vance monitors the credit quality of securities held by the Fund and other securities available to the Fund. Although Eaton Vance considers security ratings when making investment decisions, it performs its own credit and investment analysis utilizing various methodologies including “bottom up/top down” analysis and consideration of macroeconomic and technical factors, and does not rely primarily on the ratings assigned by the rating services. Eaton Vance attempts to improve yield and preserve and enhance principal value through timely trading. Eaton Vance also considers the relative value of securities in the marketplace in making investment decisions. |
|
• 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. |
As of August 31, 2018, the Sub-advisers for the CGCM High Yield Bond Fund (“Fund”) were Western Asset Management Company (“Western”) and Eaton Vance Management (“Eaton Vance”).
For the fiscal year ending August 31, 2018, the Fund returned 3.5% compared to its benchmark, the Bloomberg Barclays U.S. Corporate High Yield Bond Indexxv which returned 3.4%.
The portion of the Fund managed by Eaton Vance modestly underperformed the Fund’s market benchmark gross of fees during the fiscal year ending August 31, 2018. While security selection was positive over this period, sector selection was modestly negative. Credit selection in the services sector led performance relative to the Index; however, this was offset by adverse credit selection in the energy sector. Meanwhile an underweight in the underperforming banking sector aided relative performance, but an underweight in telecommunications proved a headwind to relative performance. At the end of the period, Eaton Vance was overweight the Utility and Healthcare sectors and underweight the Cable-Media and Telecommunications sectors. Eaton Vance believes that while the U.S. economic backdrop is healthy and the corporate fundamentals of high yield issuers have continued to modestly improve and remain healthy, valuations are relatively full and potential headwinds remain. Although the backdrop for high yield bonds remains supportive, rising input costs, the continued tightening of financial conditions and ongoing uncertainty regarding the future of U.S. trade policy with key trading partners could lead to elevated volatility. At the same time, a lack of new issuance has outweighed soft demand for U.S. high yield and we expect limited net-new issuance to persist moving forward, potentially helping to dampen volatility when it arises. Although valuations are relatively full at the end of the period, on a risk-adjusted basis, Eaton Vance believes the carry in high yield remains attractive relative to many alternatives.
The portion of the Fund managed by Western outperformed the Fund’s market benchmark gross of fees during the fiscal year ending August 31, 2018. Issue selection was a key contributor to performance. Quality positioning had a marginally positive impact on relative performance as the benefit of an overweight to top performing CCC’s and underweight to bottom performing BB’s more than offset the detraction for an allocation to investment grade credit, which in general underperformed high yield. Sub-sector allocation aided relative performance due in large part to an overweight to Exploration & Production (9.49%), and underweight to Technology (2.60%) and Wirelines (1.98%). Opportunistic allocation to bank loans aided relative performance as loans outperformed high yield bonds. The portfolio maintained a long duration position throughout the period which detracted from performance as rates rose.
14
The following graph depicts the performance of Bloomberg Barclays U.S. Corporate High Yield Bond Indexxv vs. the Lipper High Yield Funds Averagexxi
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2018 HIGH YIELD FUND Comparison of $10,000 Investment in the Fund with the Bloomberg Barclays U.S. Corporate High Yield Bond Index
and the Lipper High Yield Funds Average |
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.
| | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD FUND Average Annual Total Returns for the Period Ended August 31, 2018† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | Bloomberg
Barclays U.S.
Corporate
High Yield
Bond
Index** | | Lipper
High
Yield Funds
Average** |
| | Since inception 7/13/1998 | | | | 4.49 | % | | | | 1.93 | % | | | | 6.58 | % | | | | 5.53 | % |
| | 10 years | | | | 6.90 | | | | | 4.29 | | | | | 8.50 | | | | | 6.92 | |
| | 5 years | | | | 3.74 | | | | | 1.19 | | | | | 5.63 | | | | | 4.46 | |
| | 3 years | | | | 5.27 | | | | | 2.68 | | | | | 7.00 | | | | | 5.45 | |
| | | 1 year | | | | 3.47 | | | | | 0.92 | | | | | 3.40 | | | | | 2.62 | |
See pages 26 through 29 for all footnotes.
15
International Fixed Income Fund
|
| ABOUTTHE SUB-ADVISER |
• Pacific Investment Management Company LLC (“PIMCO”) |
| PIMCO is a leading global investment management firm, with offices in 11 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. |
As of August 31, 2018, the Sub-adviser for the CGCM International Fixed Income Fund (“Fund”) was Pacific Investment Management Company LLC (“PIMCO”).
For the fiscal year ending August 31, 2018, the Fund returned 2.3% compared to its benchmark, the FTSE Non-USD World Government Bond Index USD-Hedgedxxii which returned 2.0%.
The Fund outperformed the Fund’s benchmark gross of fees for the fiscal year ending August 31, 2018. Out-of-benchmark exposure to U.S. duration detracted from performance as U.S. rates rose across the curve. However, this was more than offset by yield curve positioning, particularly short exposure to the front end of the U.S. yield curve as front-end yields underperformed intermediate and long-end yields. Overall, non-U.S. developed market interest rate positioning was positive for performance, including an underweight to Italian and U.K. interest rates as yields in these countries rose.. Spread strategies overall were positive for performance during the period. Select exposure to non-Agency mortgage-backed securities contributed to returns as U.S. home prices remained well-supported during the period. A modest allocation to U.S. TIPS contributed to returns as inflation expectations increased during the period. Lastly, exposure to select higher carry emerging market currencies, including the Argentinian peso, Russia ruble, and Turkish lira, detracted from returns as these currencies depreciated relative to the U.S. dollar.
16
The following graph depicts the performance of the FTSE Non-USD World Government Bond Index (USD) - Hedgedxxii vs. the FTSE Non-USD World Government Bond Index (USD) - Unhedgediv and the Lipper International Income Funds Averagexxiii
| | | | | | | | | | |
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2018 INTERNATIONAL FIXED INCOME FUND Comparison of $10,000 Investment in the Fund with the FTSE Non-USD World Government Bond Index
(USD) - Hedged, FTSE Non-USD World Government Bond Index (USD) - Unhedged
and the Lipper International Income Funds Average |
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.
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERNATIONAL FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2018† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | FTSE
Non-USD
WGBI
(USD) -
Hedged** | | FTSE
Non-USD
WGBI
(USD) -
Unhedged** | | Lipper
International
Income
Funds
Average** |
| | Since inception 11/18/1991 | | | | 5.72 | % | | | | 3.11 | % | | | | 5.94 | % | | | | 5.12 | % | | | | 4.71 | % |
| | 10 years | | | | 4.97 | | | | | 2.38 | | | | | 4.12 | | | | | 1.93 | | | | | 3.35 | |
| | 5 years | | | | 4.05 | | | | | 1.49 | | | | | 4.17 | | | | | 0.48 | | | | | 1.42 | |
| | 3 years | | | | 4.24 | | | | | 1.67 | | | | | 3.31 | | | | | 3.01 | | | | | 2.55 | |
| | | 1 year | | | | 2.25 | | | | | (0.27 | ) | | | | 1.95 | | | | | (1.88 | ) | | | | -2.23 | |
See pages 26 through 29 for all footnotes.
17
Municipal Bond Fund
|
| ABOUTTHE SUB-ADVISER |
• 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. |
As of August 31, 2018, the Sub-adviser for the CGCM Municipal Bond Fund (“Fund”) was McDonnell Investment Management, LLC (“McDonnell”).
For the fiscal year ending August 31, 2018, the Fund returned -0.2% compared to its benchmark, the Bloomberg Barclays U.S. Municipal Bond Indexxxiv which returned 0.5%.
McDonnell outperformed the Fund’s benchmark for the fiscal year ending August 31, 2018. Yield curve posture with an overweight to the 10-year area of the curve was a net negative contributor to performance while security selection, particularly within the Hospital, Higher Education and Housing sectors, had the greatest positive contribution to performance. From a credit quality perspective within the index, the BBB category significantly outperformed higher quality for the period as it benefited from above market returns produced by the state of Illinois of which the Fund does not have exposure due to credit concerns. However, outperformance of the Fund’s AA-rated securities enhanced returns, which somewhat offset its underweight to BBBs.
U.S. rates rose, and the yield curve flattened against the backdrop of a strengthening economy boosted by a large injection of late-cycle fiscal stimulus through recently enacted tax cuts and spending increases. Pro-cyclical economic policy, although unorthodox, is expected to provide momentum to the current economic expansion which is already the second longest in the modern post-war period. In counterpoint, the Federal Reserve continued its efforts to ‘normalize’ monetary policy through a combination of rate hikes and reduced reinvestment of cash flows from its expanded balance sheet. The Fed executed three hikes totaling 75 basis points and indicated expectations for another 100 basis points by year-end 2019. Municipal yields rose and the yield curve flattened as the rate rise was reflected more strongly on the shorter-end of the curve where monetary policy can have the most direct impact. The municipal market experienced a surge in New Issue Supply in the fourth quarter of 2017 as tax policy was being debated, and a sharp slowdown in the pace of issuance thereafter. The supply slowdown occurred as a direct consequence of changes to the tax code which prohibited the use of tax-exempt debt to advance refund outstanding issues. Going forward, market participants expect supply to fall 15% to 25% shy of the pace that would normally have occurred before the prohibition was enacted. The supply shortfall in conjunction with the nominal, albeit temporary cut in the top marginal rate for individuals, contributed to continued compression in quality spreads as investors reached to find additional income.
| | • | | Municipal yields rose moderately and the yield curve flattened. |
| | • | | Quality and sector spreads continued to narrow as investor ‘reach-for-yield’ remained a feature of the municipal market. |
| | • | | Limitation on the deductibility of State and Local taxes resulted in surging demand from individual investors for in-state paper in high tax ‘specialty states’. |
| | • | | Municipal issuance decelerated following the prohibition of tax-exempt advance refunding despite a pickup in new money issuance during the period. |
Amid an otherwise favorable fundamental economic backdrop, investor unease surrounding U.S. trade policy and the potential negative impact on global growth
18
The following graph depicts the performance of the Bloomberg Barclays U.S. Municipal Bond Indexxxiv vs. the Lipper General & Insured Municipal Debt Funds Averagexxv
has increased. The U.S. unilaterally imposed tariffs on aluminum and steel imports and has threatened to impose additional rounds of tariffs on European automobile imports and a broader array of tariffs targeting imports from China. The negative undercurrent on trade has dampened the expectations of a synchronized acceleration of global growth and has contributed to stress across several Emerging Market economies which has been manifested, in some cases, in significant currency and equity market weakness. As yet, there has been little discernable impact on U.S. markets, but trade fallout may factor more directly into domestic monetary policy if the global growth outlook dims and the dollar funding squeeze abroad tightens.
Despite recent weakness abroad, we remain optimistic over the near-term as economic momentum and late-cycle fiscal stimulus provide a strong glide path for the continuation of the economic expansion. We have become less sanguine; however, regarding the longer-term economic consequences of the current fiscal trajectory and mindful of the ultimate impact of increased monetary restraint as the cycle inexorably works its way forward. We anticipate additional upward pressure on short-term rates and remain of the mind that longer-term yields are more likely to remain better contained both at this stage of the cycle and in light of the continued widening of rate differentials versus major market counterparts. We expect the economic and market impact from the Fed’s balance sheet reduction effort as well as recent strengthening of the dollar may act to restrain the pace and degree of Fed tightening over the medium-term horizon.
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2018 MUNICIPAL BOND FUND Comparison of $10,000 Investment in the Fund with the Bloomberg Barclays U.S. Municipal Bond Index
and the Lipper General & Insured Municipal Debt Funds Average |
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.
19
| | | | | | | | | | | | | | | | | | | | | | |
| | | MUNICIPAL BOND FUND Average Annual Total Returns for the Period Ended August 31, 2018† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | Bloomberg
Barclays
U.S. Municipal
Bond
Index** | | Lipper
General &
Insured
Municipal
Debt Funds
Average** |
| | Since inception 11/18/1991 | | | | 4.58 | % | | | | 2.00 | % | | | | 5.38 | % | | | | 4.96 | % |
| | 10 years | | | | 3.69 | | | | | 1.13 | | | | | 4.32 | | | | | 4.16 | |
| | 5 years | | | | 3.39 | | | | | 0.84 | | | | | 4.12 | | | | | 4.34 | |
| | 3 years | | | | 1.86 | | | | | (0.66 | ) | | | | 2.71 | | | | | 2.70 | |
| | | 1 year | | | | (0.21 | ) | | | | (2.69 | ) | | | | 0.49 | | | | | 0.81 | |
See pages 26 through 29 for all footnotes.
20
Inflation-Linked Fixed Income Fund
|
| ABOUTTHE SUB-ADVISER |
• Pacific Investment Management Company LLC (“PIMCO”) |
| PIMCO is a leading global investment management firm, with offices in 11 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. |
As of August 31, 2018, the Sub-adviser for the CGCM Inflation-Linked Fixed Income Fund (“Fund”) was Pacific Investment Management Company LLC (“PIMCO”).
For the fiscal year ending August 31, 2018, the Fund returned 0.6% compared to its benchmark, the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Indexxxvi which returned 0.8%.
The Fund underperformed its benchmark for the fiscal year ending August 31, 2018. An overweight to U.S. breakeven inflation added to performance as breakeven rates moved higher as core CPI firmed. An overall underweight to nominal U.S. and U.K. duration was positive for performance as interest rates rose in these regions. Modest exposure to select global linkers, including New Zealand, Canada and Australia, contributed to performance. Within spread sectors, holdings of select Agency and non-Agency mortgage-backed securities added to performance while exposure to USD denominated emerging market debt detracted from performance. . Lastly, exposure to higher carry emerging market currencies, including the Argentinian peso, was negative for performance as these currencies depreciated relative to the U.S. dollar during the period.
21
The following graph depicts the performance of the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Indexxxvi vs. the Lipper Inflation Protected Bond Funds Averagexxviii
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2018 INFLATION-LINKED FIXED INCOME FUND Comparison of $10,000 Investment in the Fund with the Bloomberg Barclays U.S. Treasury Inflation Protected Securities
(TIPS) Index vs. the Lipper Inflation Protected Bond Funds Average |
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.
| | | | | | | | | | | | | | | | | | | | | | |
| | | INFLATION-LINKED FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2018† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | Bloomberg
Barclays U.S.
Treasury
Inflation
Protected
Securities
(TIPS)
Index** | | Lipper Inflation
Protected Bond
Funds
Average** |
| | Since inception 3/9/2016 | | | | 2.46 | % | | | | (0.07 | )% | | | | 2.15 | % | | | | 2.28 | % |
| | 10 years | | | | N/A | | | | | N/A | | | | | 3.03 | | | | | 2.33 | |
| | 5 years | | | | N/A | | | | | N/A | | | | | 1.88 | | | | | 1.24 | |
| | 3 years | | | | N/A | | | | | N/A | | | | | 2.20 | | | | | 1.97 | |
| | | 1 year | | | | 0.55 | | | | | (1.95 | ) | | | | 0.83 | | | | | 0.84 | |
See pages 26 through 29 for all footnotes.
22
Ultra-Short Term Fixed Income Fund
|
| ABOUTTHE SUB-ADVISER |
• Pacific Investment Management Company LLC (“PIMCO”) |
| PIMCO is a leading global investment management firm, with offices in 11 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. |
As of August 31, 2018, the Sub-adviser for the CGCM Ultra-Short Term Fixed Income Fund (“Fund”) was Pacific Investment Management Company LLC (“PIMCO”).
For the fiscal year ending August 31, 2018, the Fund returned 2.1% compared to its benchmark, the FTSE 3-Month U.S. Treasury Bill Indexxxvii which returned 1.5%.
The Fund outperformed its benchmark for the fiscal year ending August 31, 2018. Overall interest rate strategies were positive for performance including short exposure to U.S. duration as U.S. Treasury yields rose during the period. Additionally, U.S. yield curve positioning added to performance as the yield curve flattened during the period. Non-U.S. interest rate strategies, including a modest allocation to Mexican local interest rates, detracted from performance as Mexican yields rose. Overall spread sector strategies were positive for performance. An allocation to short-duration investment grade corporate credit, particularly within financials and industrials, added to performance. Select holdings of securitized credit, primarily non-Agency mortgage-backed securities, were positive for performance. Overall currency strategies contributed to performance. Short exposure to the British pound detracted from returns; however, this was more than offset by short exposure to the Australian and Canadian dollar at the start of the period as these currencies depreciated relative the U.S. dollar.
23
The following graph depicts the performance of the FTSE 3-Month U.S. Treasury Bill Indexxxvii vs. the Lipper Ultra-Short Obligations Funds Averagexxix
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2018 ULTRA-SHORT TERM FIXED INCOME FUND Comparison of $10,000 Investment in the Fund with the FTSE 3-Month U.S. Treasury Bill Index vs. the Lipper Ultra-Short
Obligations Funds Average |
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.
| | | | | | | | | | | | | | | | | | | | | | |
| | | ULTRA-SHORT TERM FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2018† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | FTSE
3-Month
U.S. Treasury
Bill Index** | | Lipper
Ultra-Short
Obligations
Funds
Average** |
| | Since inception 3/9/2016 | | | | 2.05 | % | | | | (0.47 | )% | | | | 0.88 | % | | | | 1.51 | % |
| | 10 years | | | | N/A | | | | | N/A | | | | | 0.32 | | | | | 1.13 | |
| | 5 years | | | | N/A | | | | | N/A | | | | | 0.46 | | | | | 0.90 | |
| | 3 years | | | | N/A | | | | | N/A | | | | | 0.75 | | | | | 1.20 | |
| | | 1 year | | | | 2.09 | | | | | (0.43 | ) | | | | 1.49 | | | | | 1.58 | |
See pages 26 through 29 for all footnotes.
24
Alternative Strategies Fund
|
| ABOUTTHE MANAGER |
• Consulting Group Advisory Services, LLC |
| Consulting Group Advisory Services, LLC is a business of Morgan Stanley Wealth Management ("MSWM"). MSWM is one of the largest financial services firms in the U.S. with branch offices in all 50 states and the District of Columbia. MSWM’s advisory services are provided by its Consulting Group and Wealth Management Investment Resources business units. |
Since inception on February 15, 2018, the CGCM Alternative Strategies Fund (“Fund”) returned -1.2% compared to its benchmark, the HFRX Global Hedge Fund USD Indexxxx, which returned -1.5%.
On July 16, 2018, there was one portfolio change within the Fund. AQR Managed Futures Fund was replaced by American Beacon AHL Managed Futures, which we view as an attractive complement to our other managed futures fund, Locorr Market Trend Fund. The removal was driven primarily by the disappointing performance of AQR as the investing environment for Managed Futures has become more volatile and non-trending. American Beacon AHL Managed Futures strategy (managed by AHL) performed better in these less trending market conditions, targeting 8 – 10% annualized volatility, which is lower than the volatility target of Locorr Market Trend (10 – 12%).
The top three funds that contributed to performance since inception were Driehaus Event Driven Fund, Goldman Sachs Absolute Return Tracker and Diamond Hill Long-Short Equity Fund. The bottom three funds that detracted from performance were Western Macro Opportunities Fund, AQR Managed Futures Strategy Fund and Eaton Vance Global Macro Absolute Return Fund.
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 returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | |
| | | ALTERNATIVE STRATEGIES FUND Average Annual Total Returns for the Period Ended August 31, 2018† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | HFRX
Global Hedge
Fund Index |
| | Since inception 2/15/2018 | | | | (1.20 | )% | | | | (2.23 | )% | | | | (1.47 | )% |
| | 10 years | | | | N/A | | | | | N/A | | | | | 0.05 | |
| | 5 years | | | | N/A | | | | | N/A | | | | | 1.35 | |
| | 3 years | | | | N/A | | | | | N/A | | | | | 1.69 | |
| | | 1 year | | | | N/A | | | | | N/A | | | | | 1.54 | |
See pages 26 through 29 for all footnotes.
25
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%. |
| ** | | Inception returns of the market indices and Lipper investment category averages are calculated from the end of the inception month. |
| 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® 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. |
| iii. | | 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. |
| iv. | | The FTSE Non-USD 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 U.S. 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. |
| v. | | The MSCI Emerging Markets Index (Net) 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. |
| vi. | | 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 (Net) 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. |
26
| vii. | | 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. |
| viii. | | 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. |
| ix. | | 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. |
| x. | | 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. |
| xi. | | The MSCI EAFE® Value Index captures large and mid cap securities exhibiting overall value style characteristics across Developed Markets countries* around the world, excluding the U.S. and Canada. The value investment style characteristics for index construction are defined using three variables: book value to price, 12-month forward earnings to price and dividend yield. |
| xii. | | The MSCI EAFE® Growth Index captures large and mid cap securities exhibiting overall growth style characteristics across Developed Markets countries* around the world, excluding the U.S. and Canada. The growth investment style characteristics for index construction are defined using five variables: long-term forward EPS growth rate, short-term forward EPS growth rate, current internal growth rate and long-term historical EPS growth trend and long-term historical sales per share growth trend. |
| xiii. | | The Bloomberg Barclays U.S. Aggregate BondTM 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. |
| xiv. | | The Bloomberg Barclays Global Aggregate Bond Index is a flagship measure of global investment grade debt from twenty-four local currency markets. This multi-currency benchmark includes treasury, government-related, corporate and securitized fixed-rate bonds from both developed and emerging markets issuers. |
| xv. | | The Bloomberg Barclays 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. |
| xvi. | | 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. |
| xvii. | | 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 |
27
| | 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. |
| xviii. | 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 (Net). 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 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. |
| xx. | | 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. |
| xxi. | | 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. |
| xxii. | The FTSE Non-USD World Government Bond Index (USD) Hedged and Unhedged are each sub-indices of the FTSE 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. |
| xxiii. | | 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. |
| xxiv. | The Bloomberg Barclays 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. |
28
| xxv. | 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. |
| xxvi. | | The Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index is an unmanaged market index comprised of all U.S. 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. |
| xxvii. | | The FTSE 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. |
| xxviii. | 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. |
| xxix. | | 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. |
| xxx. | | The HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry. Hedge Fund Research, Inc. (HFR) utilizes a UCITSIII compliant methodology to construct the HFRX Hedge Fund Indices. The methodology is based on defined and predetermined rules and objective criteria to select and rebalance components to maximize representation of the Hedge Fund Universe. HFRX Indices utilize state-of-the-art quantitative techniques and analysis; multi-level screening, cluster analysis, Monte-Carlo simulations and optimization techniques ensure that each Index is a pure representation of its corresponding investment focus. |
29
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, 2018 and held for the six months ended August 31, 2018.
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 | | | | 7.52 | % | | | $ | 1,000.00 | | | | $ | 1,075.20 | | | | | 0.48 | % | | | $ | 2.51 | |
Small-Mid Cap Equity Fund | | | | 11.51 | % | | | | 1,000.00 | | | | | 1,115.10 | | | | | 0.62 | % | | | | 3.31 | |
International Equity Fund | | | | (2.47 | )% | | | | 1,000.00 | | | | | 975.30 | | | | | 0.67 | % | | | | 3.34 | |
Emerging Markets Equity Fund | | | | (14.33 | )% | | | | 1,000.00 | | | | | 856.70 | | | | | 0.82 | % | | | | 3.84 | |
Core Fixed Income Fund | | | | 0.84 | % | | | | 1,000.00 | | | | | 1,008.40 | | | | | 0.55 | % | | | | 2.78 | |
High Yield Fund | | | | 2.64 | % | | | | 1,000.00 | | | | | 1,026.40 | | | | | 1.03 | % | | | | 5.26 | |
International Fixed Income Fund | | | | 1.03 | % | | | | 1,000.00 | | | | | 1,010.30 | | | | | 0.92 | % | | | | 4.66 | |
Municipal Bond Fund | | | | 1.25 | % | | | | 1,000.00 | | | | | 1,012.50 | | | | | 0.67 | % | | | | 3.40 | |
Inflation-Linked Fixed Income Fund | | | | 1.60 | % | | | | 1,000.00 | | | | | 1,016.00 | | | | | 1.27 | % | | | | 6.45 | |
Ultra-Short Term Fixed Income Fund | | | | 1.03 | % | | | | 1,000.00 | | | | | 1,010.30 | | | | | 0.67 | % | | | | 3.39 | |
Alternative Strategies Fund | | | | (1.00 | )% | | | | 1,000.00 | | | | | 990.00 | | | | | 1.95 | % | | | | 9.78 | |
| (1) | For the six months ended August 31, 2018. |
| (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. 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 months expense ratios, which may differ from net expense ratios in the Financial Highlights. |
| (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 by 365 (to reflect the one-half year period). |
30
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 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 | | Hypothetical
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 | | | | $ | 1,022.79 | | | | | 0.48 | % | | | $ | 2.45 | |
Small-Mid Cap Equity Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,022.08 | | | | | 0.62 | % | | | | 3.16 | |
International Equity Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.83 | | | | | 0.67 | % | | | | 3.41 | |
Emerging Markets Equity Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.07 | | | | | 0.82 | % | | | | 4.18 | |
Core Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,022.43 | | | | | 0.55 | % | | | | 2.80 | |
High Yield Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,020.01 | | | | | 1.03 | % | | | | 5.24 | |
International Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,020.57 | | | | | 0.92 | % | | | | 4.69 | |
Municipal Bond Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.83 | | | | | 0.67 | % | | | | 3.41 | |
Inflation-Linked Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,018.80 | | | | | 1.27 | % | | | | 6.46 | |
Ultra-Short Term Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.83 | | | | | 0.67 | % | | | | 3.41 | |
Alternative Strategies Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,015.38 | | | | | 1.95 | % | | | | 9.91 | |
| (1) | For the six months ended August 31, 2018. |
| (2) | Annualized Expense Ratios are based on the most recent 6 months expense ratios, which may differ from net expense ratios in the Financial Highlights. |
| (3) | 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 by 365 (to reflect the one-half year period). |
31
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | COMMON STOCKS — 93.5% | |
| | CONSUMER DISCRETIONARY — 11.2% | |
| | Auto Components — 0.6% | |
| | 32,126 | | | Adient PLC | | $ | 1,390,735 | |
| | 59,868 | | | Aptiv PLC | | | 5,268,983 | |
| | 6,432 | | | BorgWarner Inc. | | | 281,529 | |
| | 9,060 | | | Gentex Corp. | | | 211,823 | |
| | 83,102 | | | Goodyear Tire & Rubber Co. (The) | | | 1,885,584 | |
| | 2,030 | | | Lear Corp. | | | 329,266 | |
| | 16,227 | | | Tenneco Inc. | | | 694,353 | |
| | 1,026 | | | Visteon Corp.* | | | 113,260 | |
| | | | | | | | |
| | | | Total Auto Components | | | 10,175,533 | |
| | | | | | | | |
| | Automobiles — 0.2% | |
| | 121,516 | | | Ford Motor Co. | | | 1,151,972 | |
| | 40,743 | | | General Motors Co. | | | 1,468,785 | |
| | 5,117 | | | Harley-Davidson Inc. | | | 218,087 | |
| | 4,217 | | | Tesla Inc.*(a) | | | 1,272,100 | |
| | 1,451 | | | Thor Industries Inc. | | | 138,483 | |
| | | | | | | | |
| | | | Total Automobiles | | | 4,249,427 | |
| | | | | | | | |
| | Distributors — 0.1% | |
| | 4,443 | | | Genuine Parts Co. | | | 443,634 | |
| | 9,587 | | | LKQ Corp.* | | | 330,943 | |
| | 1,276 | | | Pool Corp. | | | 209,596 | |
| | | | | | | | |
| | | | Total Distributors | | | 984,173 | |
| | | | | | | | |
| | Diversified Consumer Services — 0.2% | |
| | 1,740 | | | Bright Horizons Family Solutions Inc.* | | | 207,808 | |
| | 148 | | | Graham Holdings Co., Class B Shares | | | 83,272 | |
| | 1,358 | | | Grand Canyon Education Inc.* | | | 161,792 | |
| | 6,158 | | | H&R Block Inc. | | | 166,636 | |
| | 23,138 | | | New Oriental Education & Technology Group Inc., ADR | | | 1,818,647 | |
| | 5,664 | | | Service Corp. International | | | 237,661 | |
| | 4,077 | | | ServiceMaster Global Holdings Inc.* | | | 245,721 | |
| | | | | | | | |
| | | | Total Diversified Consumer Services | | | 2,921,537 | |
| | | | | | | | |
| | Hotels, Restaurants & Leisure — 1.1% | |
| | 7,618 | | | Aramark | | | 312,947 | |
| | 19,647 | | | Caesars Entertainment Corp.*(a) | | | 200,399 | |
| | 12,666 | | | Carnival Corp. | | | 778,832 | |
| | 3,600 | | | Chipotle Mexican Grill Inc., Class A Shares* | | | 1,710,648 | |
| | 1,151 | | | Choice Hotels International Inc. | | | 89,836 | |
| | 3,863 | | | Darden Restaurants Inc. | | | 448,262 | |
| | 1,318 | | | Domino’s Pizza Inc. | | | 393,502 | |
| | 2,597 | | | Dunkin’ Brands Group Inc.(a) | | | 189,295 | |
| | 5,326 | | | Extended Stay America Inc. | | | 107,479 | |
| | 3,173 | | | Hilton Grand Vacations Inc.* | | | 103,630 | |
| | 8,693 | | | Hilton Worldwide Holdings Inc. | | | 674,751 | |
| | 1,262 | | | Hyatt Hotels Corp., Class A Shares | | | 97,628 | |
| | 3,112 | | | International Game Technology PLC | | | 65,476 | |
| | 11,053 | | | Las Vegas Sands Corp. | | | 723,087 | |
| | 9,146 | | | Marriott International Inc., Class A Shares | | | 1,156,695 | |
| | 24,495 | | | McDonald’s Corp. | | | 3,973,824 | |
| | 16,114 | | | MGM Resorts International | | | 467,145 | |
| | 6,403 | | | Norwegian Cruise Line Holdings Ltd.* | | | 343,265 | |
| | 5,269 | | | Royal Caribbean Cruises Ltd. | | | 645,874 | |
See Notes to Financial Statements.
32
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | CONSUMER DISCRETIONARY — 11.2% — (continued) | |
| | Hotels, Restaurants & Leisure — 1.1% — (continued) | |
| | 2,377 | | | Six Flags Entertainment Corp.(a) | | $ | 160,566 | |
| | 41,877 | | | Starbucks Corp. | | | 2,238,326 | |
| | 1,254 | | | Vail Resorts Inc. | | | 373,755 | |
| | 5,249 | | | Wendy’s Co. (The) | | | 92,645 | |
| | 3,004 | | | Wyndham Hotels & Resorts Inc. | | | 170,477 | |
| | 2,883 | | | Wyndham Worldwide Corp. | | | 127,429 | |
| | 3,187 | | | Wynn Resorts Ltd. | | | 472,760 | |
| | 71,668 | | | Yum China Holdings Inc. | | | 2,772,118 | |
| | 10,091 | | | Yum! Brands Inc. | | | 876,807 | |
| | | | | | | | |
| | | | Total Hotels, Restaurants & Leisure | | | 19,767,458 | |
| | | | | | | | |
| | Household Durables — 0.3% | |
| | 10,852 | | | DR Horton Inc. | | | 483,023 | |
| | 3,482 | | | Garmin Ltd. | | | 237,263 | |
| | 3,928 | | | Leggett & Platt Inc. | | | 178,488 | |
| | 8,886 | | | Lennar Corp., Class A Shares | | | 459,140 | |
| | 600 | | | Lennar Corp., Class B Shares | | | 25,308 | |
| | 1,946 | | | Mohawk Industries Inc.* | | | 372,834 | |
| | 14,084 | | | Newell Brands Inc. | | | 305,904 | |
| | 98 | | | NVR Inc.* | | | 261,508 | |
| | 7,657 | | | PulteGroup Inc. | | | 214,013 | |
| | 1,233 | | | Tempur Sealy International Inc.*(a) | | | 68,296 | |
| | 4,274 | | | Toll Brothers Inc. | | | 154,847 | |
| | 21,813 | | | Whirlpool Corp. | | | 2,726,189 | |
| | | | | | | | |
| | | | Total Household Durables | | | 5,486,813 | |
| | | | | | | | |
| | Internet & Direct Marketing Retail — 3.3% | |
| | 20,018 | | | Amazon.com Inc.* | | | 40,290,429 | |
| | 3,098 | | | Booking Holdings Inc.* | | | 6,045,902 | |
| | 44,075 | | | Ctrip.com International Ltd., ADR* | | | 1,725,536 | |
| | 3,754 | | | Expedia Group Inc. | | | 489,897 | |
| | 12,989 | | | Netflix Inc.* | | | 4,775,795 | |
| | 150,552 | | | Qurate Retail Inc., Class A Shares* | | | 3,129,976 | |
| | 3,112 | | | TripAdvisor Inc.* | | | 169,013 | |
| | 1,705 | | | Wayfair Inc., Class A Shares* | | | 230,465 | |
| | | | | | | | |
| | | | Total Internet & Direct Marketing Retail | | | 56,857,013 | |
| | | | | | | | |
| | Leisure Products — 0.1% | |
| | 2,872 | | | Brunswick Corp. | | | 190,758 | |
| | 3,539 | | | Hasbro Inc. | | | 351,458 | |
| | 9,893 | | | Mattel Inc.* | | | 152,649 | |
| | 1,767 | | | Polaris Industries Inc. | | | 191,631 | |
| | | | | | | | |
| | | | Total Leisure Products | | | 886,496 | |
| | | | | | | | |
| | Media — 1.4% | |
| | 1,421 | | | AMC Networks Inc., Class A Shares* | | | 89,253 | |
| | 137 | | | Cable One Inc. | | | 114,770 | |
| | 10,239 | | | CBS Corp., Class B Shares | | | 542,872 | |
| | 5,567 | | | Charter Communications Inc., Class A Shares* | | | 1,727,997 | |
| | 3,505 | | | Cinemark Holdings Inc. | | | 130,807 | |
| | 213,145 | | | Comcast Corp., Class A Shares | | | 7,884,233 | |
| | 4,661 | | | Discovery Inc., Class A Shares*(a) | | | 129,716 | |
| | 10,517 | | | Discovery Inc., Class C Shares* | | | 269,656 | |
| | 6,899 | | | DISH Network Corp., Class A Shares* | | | 243,880 | |
| | 3,326 | | | GCI Liberty Inc., Class A Shares* | | | 163,240 | |
| | 11,665 | | | Interpublic Group of Cos., Inc. (The) | | | 272,378 | |
See Notes to Financial Statements.
33
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | CONSUMER DISCRETIONARY — 11.2% — (continued) | |
| | Media — 1.4% — (continued) | |
| | 1,383 | | | John Wiley & Sons Inc., Class A Shares | | $ | 89,273 | |
| | 1,064 | | | Liberty Broadband Corp., Class A Shares* | | | 86,184 | |
| | 2,970 | | | Liberty Broadband Corp., Class C Shares* | | | 240,837 | |
| | 896 | | | Liberty Media Corp-Liberty Formula One, Class A Shares* | | | 31,342 | |
| | 6,003 | | | Liberty Media Corp-Liberty Formula One, Class C Shares* | | | 221,871 | |
| | 2,894 | | | Liberty Media Corp-Liberty Sirius XM, Class A Shares* | | | 135,265 | |
| | 5,260 | | | Liberty Media Corp-Liberty Sirius XM, Class C Shares* | | | 247,430 | |
| | 1,912 | | | Lions Gate Entertainment Corp., Class A Shares | | | 44,970 | |
| | 3,040 | | | Lions Gate Entertainment Corp., Class B Shares | | | 68,248 | |
| | 4,275 | | | Live Nation Entertainment Inc.* | | | 212,382 | |
| | 549 | | | Madison Square Garden Co. (The), Class A Shares* | | | 165,765 | |
| | 11,011 | | | News Corp., Class A Shares | | | 143,914 | |
| | 4,110 | | | News Corp., Class B Shares | | | 55,896 | |
| | 7,006 | | | Omnicom Group Inc. | | | 485,656 | |
| | 40,300 | | | Sirius XM Holdings Inc.(a) | | | 286,130 | |
| | 3,006 | | | Tribune Media Co., Class A Shares | | | 110,891 | |
| | 32,694 | | | Twenty-First Century Fox Inc., ADR, Class A Shares | | | 1,484,308 | |
| | 15,044 | | | Twenty-First Century Fox Inc., Class B Shares | | | 675,476 | |
| | 11,314 | | | Viacom Inc., Class B Shares | | | 331,274 | |
| | 70,702 | | | Walt Disney Co. (The) | | | 7,920,038 | |
| | | | | | | | |
| | | | Total Media | | | 24,605,952 | |
| | | | | | | | |
| | Multiline Retail — 0.6% | |
| | 8,379 | | | Dollar General Corp. | | | 902,670 | |
| | 98,009 | | | Dollar Tree Inc.* | | | 7,890,704 | |
| | 5,227 | | | Kohl’s Corp. | | | 413,508 | |
| | 9,512 | | | Macy’s Inc. | | | 347,664 | |
| | 3,586 | | | Nordstrom Inc. | | | 225,380 | |
| | 16,725 | | | Target Corp. | | | 1,463,437 | |
| | | | | | | | |
| | | | Total Multiline Retail | | | 11,243,363 | |
| | | | | | | | |
| | Specialty Retail — 2.7% | |
| | 2,198 | | | Advance Auto Parts Inc. | | | 360,538 | |
| | 1,994 | | | AutoNation Inc.* | | | 90,428 | |
| | 8,180 | | | AutoZone Inc.* | | | 6,273,078 | |
| | 7,534 | | | Best Buy Co., Inc. | | | 599,405 | |
| | 2,087 | | | Burlington Stores Inc.* | | | 350,992 | |
| | 5,519 | | | CarMax Inc.* | | | 430,758 | |
| | 2,169 | | | Dick’s Sporting Goods Inc. | | | 81,207 | |
| | 1,295 | | | Floor & Decor Holdings Inc., Class A Shares* | | | 47,604 | |
| | 3,531 | | | Foot Locker Inc. | | | 174,078 | |
| | 6,549 | | | Gap Inc. (The) | | | 198,762 | |
| | 52,043 | | | Home Depot Inc. (The) | | | 10,448,673 | |
| | 6,940 | | | L Brands Inc. | | | 183,424 | |
| | 171,202 | | | Lowe’s Cos., Inc. | | | 18,618,218 | |
| | 3,798 | | | Michaels Cos., Inc. (The)* | | | 64,528 | |
| | 2,503 | | | O’Reilly Automotive Inc.* | | | 839,556 | |
| | 1,340 | | | Penske Automotive Group Inc. | | | 70,524 | |
| | 11,552 | | | Ross Stores Inc. | | | 1,106,451 | |
| | 3,850 | | | Tiffany & Co. | | | 472,203 | |
| | 19,552 | | | TJX Cos., Inc. (The) | | | 2,150,133 | |
| | 3,802 | | | Tractor Supply Co. | | | 335,641 | |
| | 15,331 | | | Ulta Beauty Inc.* | | | 3,986,060 | |
| | 2,081 | | | Urban Outfitters Inc.* | | | 96,725 | |
See Notes to Financial Statements.
34
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | CONSUMER DISCRETIONARY — 11.2% — (continued) | |
| | Specialty Retail — 2.7% — (continued) | |
| | 2,749 | | | Williams-Sonoma Inc.(a) | | $ | 193,062 | |
| | | | | | | | |
| | | | Total Specialty Retail | | | 47,172,048 | |
| | | | | | | | |
| | Textiles, Apparel & Luxury Goods — 0.6% | |
| | 1,369 | | | Carter’s Inc. | | | 145,018 | |
| | 970 | | | Columbia Sportswear Co. | | | 87,979 | |
| | 11,886 | | | Hanesbrands Inc. | | | 208,480 | |
| | 3,078 | | | lululemon athletica Inc.* | | | 476,875 | |
| | 4,486 | | | Michael Kors Holdings Ltd.* | | | 325,773 | |
| | 74,313 | | | NIKE Inc., Class B Shares | | | 6,108,529 | |
| | 2,413 | | | PVH Corp. | | | 345,445 | |
| | 1,628 | | | Ralph Lauren Corp., Class A Shares | | | 216,215 | |
| | 3,866 | | | Skechers U.S.A. Inc., Class A Shares* | | | 113,970 | |
| | 9,014 | | | Tapestry Inc. | | | 456,920 | |
| | 5,514 | | | Under Armour Inc., Class A Shares* | | | 112,761 | |
| | 6,058 | | | Under Armour Inc., Class C Shares* | | | 114,920 | |
| | 10,129 | | | V.F. Corp. | | | 933,185 | |
| | | | | | | | |
| | | | Total Textiles, Apparel & Luxury Goods | | | 9,646,070 | |
| | | | | | | | |
| | | | TOTAL CONSUMER DISCRETIONARY | | | 193,995,883 | |
| | | | | | | | |
| | CONSUMER STAPLES — 6.1% | |
| | Beverages — 2.4% | |
| | 28,390 | | | Anheuser-Busch InBev SA, ADR(a) | | | 2,646,800 | |
| | 1,869 | | | Brown-Forman Corp., Class A Shares | | | 98,384 | |
| | 8,584 | | | Brown-Forman Corp., Class B Shares | | | 448,256 | |
| | 577,987 | | | Coca-Cola Co. (The) | | | 25,760,881 | |
| | 4,888 | | | Constellation Brands Inc., Class A Shares | | | 1,017,682 | |
| | 6,043 | | | Keurig Dr Pepper Inc. | | | 137,780 | |
| | 96,871 | | | Molson Coors Brewing Co., Class B Shares | | | 6,465,171 | |
| | 12,668 | | | Monster Beverage Corp.* | | | 771,354 | |
| | 44,115 | | | PepsiCo Inc. | | | 4,941,321 | |
| | | | | | | | |
| | | | Total Beverages | | | 42,287,629 | |
| | | | | | | | |
| | Food & Staples Retailing — 1.0% | |
| | 1,052 | | | Casey’s General Stores Inc. | | | 120,107 | |
| | 33,657 | | | Costco Wholesale Corp. | | | 7,846,456 | |
| | 26,518 | | | Kroger Co. (The) | | | 835,317 | |
| | 4,088 | | | Sprouts Farmers Market Inc.* | | | 108,209 | |
| | 14,851 | | | Sysco Corp. | | | 1,111,152 | |
| | 7,038 | | | US Foods Holding Corp.* | | | 229,369 | |
| | 26,354 | | | Walgreens Boots Alliance Inc. | | | 1,806,830 | |
| | 44,458 | | | Walmart Inc. | | | 4,261,744 | |
| | | | | | | | |
| | | | Total Food & Staples Retailing | | | 16,319,184 | |
| | | | | | | | |
| | Food Products — 1.6% | |
| | 189,981 | | | Archer-Daniels-Midland Co. | | | 9,575,042 | |
| | 4,383 | | | Bunge Ltd. | | | 284,807 | |
| | 5,377 | | | Campbell Soup Co. | | | 212,123 | |
| | 11,795 | | | Conagra Brands Inc. | | | 433,466 | |
| | 5,576 | | | Flowers Foods Inc. | | | 112,356 | |
| | 18,501 | | | General Mills Inc. | | | 851,231 | |
| | 3,315 | | | Hain Celestial Group Inc. (The)* | | | 94,676 | |
| | 4,402 | | | Hershey Co. (The) | | | 442,489 | |
| | 8,507 | | | Hormel Foods Corp. | | | 333,049 | |
| | 2,246 | | | Ingredion Inc. | | | 227,003 | |
See Notes to Financial Statements.
35
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | CONSUMER STAPLES — 6.1% — (continued) | |
| | Food Products — 1.6% — (continued) | |
| | 3,431 | | | J.M. Smucker Co. (The) | | $ | 354,697 | |
| | 7,766 | | | Kellogg Co. | | | 557,521 | |
| | 18,794 | | | Kraft Heinz Co. (The) | | | 1,095,126 | |
| | 4,583 | | | Lamb Weston Holdings Inc. | | | 309,811 | |
| | 17,079 | | | McCormick & Co., Inc. | | | 2,132,826 | |
| | 235,080 | | | Mondelez International Inc., Class A Shares | | | 10,042,618 | |
| | 1,992 | | | Pilgrim’s Pride Corp.* | | | 36,832 | |
| | 3,694 | | | Pinnacle Foods Inc. | | | 245,356 | |
| | 1,977 | | | Post Holdings Inc.* | | | 192,283 | |
| | 9 | | | Seaboard Corp. | | | 33,163 | |
| | 1,514 | | | TreeHouse Foods Inc.* | | | 78,879 | |
| | 9,071 | | | Tyson Foods Inc., Class A Shares | | | 569,750 | |
| | | | | | | | |
| | | | Total Food Products | | | 28,215,104 | |
| | | | | | | | |
| | Household Products — 0.6% | |
| | 7,676 | | | Church & Dwight Co., Inc. | | | 434,308 | |
| | 4,059 | | | Clorox Co. (The) | | | 588,474 | |
| | 26,588 | | | Colgate-Palmolive Co. | | | 1,765,709 | |
| | 1,671 | | | Energizer Holdings Inc. | | | 106,259 | |
| | 10,876 | | | Kimberly-Clark Corp. | | | 1,256,613 | |
| | 78,484 | | | Procter & Gamble Co. (The) | | | 6,510,248 | |
| | 771 | | | Spectrum Brands Holdings Inc. | | | 66,961 | |
| | | | | | | | |
| | | | Total Household Products | | | 10,728,572 | |
| | | | | | | | |
| | Personal Products — 0.1% | |
| | 14,122 | | | Coty Inc., Class A Shares | | | 174,548 | |
| | 6,795 | | | Estee Lauder Cos., Inc. (The), Class A Shares | | | 952,116 | |
| | 3,468 | | | Herbalife Nutrition Ltd.* | | | 196,254 | |
| | 1,779 | | | Nu Skin Enterprises Inc., Class A Shares | | | 141,608 | |
| | | | | | | | |
| | | | Total Personal Products | | | 1,464,526 | |
| | | | | | | | |
| | Tobacco — 0.4% | |
| | 59,034 | | | Altria Group Inc. | | | 3,454,670 | |
| | 48,410 | | | Philip Morris International Inc. | | | 3,770,655 | |
| | | | | | | | |
| | | | Total Tobacco | | | 7,225,325 | |
| | | | | | | | |
| | | | TOTAL CONSUMER STAPLES | | | 106,240,340 | |
| | | | | | | | |
| | ENERGY — 5.8% | |
| | Energy Equipment & Services — 1.2% | |
| | 2,705 | | | Apergy Corp.* | | | 122,320 | |
| | 12,941 | | | Baker Hughes a GE Co. | | | 426,665 | |
| | 224,725 | | | Halliburton Co. | | | 8,964,280 | |
| | 3,284 | | | Helmerich & Payne Inc. | | | 215,332 | |
| | 11,171 | | | Nabors Industries Ltd. | | | 68,925 | |
| | 119,881 | | | National Oilwell Varco Inc. | | | 5,642,799 | |
| | 7,182 | | | Patterson-UTI Energy Inc. | | | 123,028 | |
| | 1,750 | | | RPC Inc.(a) | | | 23,940 | |
| | 83,984 | | | Schlumberger Ltd. | | | 5,304,429 | |
| | 12,753 | | | Transocean Ltd.* | | | 154,439 | |
| | 33,712 | | | Weatherford International PLC*(a) | | | 81,583 | |
| | | | | | | | |
| | | | Total Energy Equipment & Services | | | 21,127,740 | |
| | | | | | | | |
| | Oil, Gas & Consumable Fuels — 4.6% | |
| | 15,998 | | | Anadarko Petroleum Corp. | | | 1,030,271 | |
| | 4,392 | | | Andeavor | | | 671,054 | |
| | 7,956 | | | Antero Resources Corp.* | | | 147,266 | |
See Notes to Financial Statements.
36
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | ENERGY — 5.8% — (continued) | |
| | Oil, Gas & Consumable Fuels — 4.6% — (continued) | |
| | 11,848 | | | Apache Corp. | | $ | 519,298 | |
| | 13,799 | | | Cabot Oil & Gas Corp. | | | 328,830 | |
| | 6,066 | | | Centennial Resource Development Inc., Class A Shares*(a) | | | 116,892 | |
| | 6,515 | | | Cheniere Energy Inc.* | | | 436,049 | |
| | 28,989 | | | Chesapeake Energy Corp.* | | | 128,421 | |
| | 59,347 | | | Chevron Corp. | | | 7,030,246 | |
| | 2,897 | | | Cimarex Energy Co. | | | 244,739 | |
| | 7,278 | | | CNX Resources Corp.* | | | 116,011 | |
| | 6,047 | | | Concho Resources Inc.* | | | 829,346 | |
| | 149,435 | | | ConocoPhillips | | | 10,973,012 | |
| | 2,618 | | | Continental Resources Inc.* | | | 172,657 | |
| | 16,221 | | | Devon Energy Corp. | | | 696,368 | |
| | 3,054 | | | Diamondback Energy Inc. | | | 369,778 | |
| | 2,638 | | | Energen Corp.* | | | 204,577 | |
| | 61,026 | | | EOG Resources Inc. | | | 7,215,104 | |
| | 8,215 | | | EQT Corp. | | | 419,129 | |
| | 4,350 | | | Extraction Oil & Gas Inc.* | | | 50,243 | |
| | 132,001 | | | Exxon Mobil Corp. | | | 10,582,520 | |
| | 8,246 | | | Hess Corp. | | | 555,286 | |
| | 5,048 | | | HollyFrontier Corp. | | | 376,177 | |
| | 59,078 | | | Kinder Morgan Inc. | | | 1,045,681 | |
| | 7,953 | | | Kosmos Energy Ltd.* | | | 71,895 | |
| | 413,391 | | | Marathon Oil Corp. | | | 8,892,040 | |
| | 14,282 | | | Marathon Petroleum Corp. | | | 1,175,266 | |
| | 4,815 | | | Murphy Oil Corp. | | | 148,446 | |
| | 6,657 | | | Newfield Exploration Co.* | | | 181,603 | |
| | 14,882 | | | Noble Energy Inc. | | | 442,293 | |
| | 121,821 | | | Occidental Petroleum Corp. | | | 9,729,843 | |
| | 12,773 | | | ONEOK Inc. | | | 841,868 | |
| | 7,871 | | | Parsley Energy Inc., Class A Shares* | | | 218,578 | |
| | 3,452 | | | PBF Energy Inc., Class A Shares | | | 179,228 | |
| | 13,097 | | | Phillips 66 | | | 1,552,125 | |
| | 24,607 | | | Pioneer Natural Resources Co. | | | 4,298,843 | |
| | 8,260 | | | QEP Resources Inc.* | | | 82,352 | |
| | 5,829 | | | Range Resources Corp. | | | 95,712 | |
| | 3,814 | | | SM Energy Co. | | | 114,763 | |
| | 103,526 | | | Suncor Energy Inc. | | | 4,263,201 | |
| | 6,748 | | | Targa Resources Corp. | | | 371,612 | |
| | 13,441 | | | Valero Energy Corp. | | | 1,584,425 | |
| | 2,895 | | | Whiting Petroleum Corp.* | | | 147,384 | |
| | 37,826 | | | Williams Cos., Inc. (The) | | | 1,119,271 | |
| | 12,309 | | | WPX Energy Inc.* | | | 234,733 | |
| | | | | | | | |
| | | | Total Oil, Gas & Consumable Fuels | | | 80,004,436 | |
| | | | | | | | |
| | | | TOTAL ENERGY | | | 101,132,176 | |
| | | | | | | | |
| | FINANCIALS — 11.4% | |
| | Banks — 3.6% | |
| | 4,919 | | | Associated Banc-Corp. | | | 134,043 | |
| | 294,668 | | | Bank of America Corp. | | | 9,114,081 | |
| | 1,161 | | | Bank of Hawaii Corp. | | | 96,514 | |
| | 3,980 | | | Bank OZK | | | 161,031 | |
| | 3,359 | | | BankUnited Inc. | | | 130,296 | |
| | 183,076 | | | BB&T Corp. | | | 9,457,706 | |
| | 861 | | | BOK Financial Corp. | | | 88,296 | |
See Notes to Financial Statements.
37
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | FINANCIALS — 11.4% — (continued) | |
| | Banks — 3.6% — (continued) | |
| | 3,727 | | | CIT Group Inc. | | $ | 202,152 | |
| | 79,497 | | | Citigroup Inc. | | | 5,663,366 | |
| | 15,222 | | | Citizens Financial Group Inc. | | | 626,538 | |
| | 5,362 | | | Comerica Inc. | | | 522,688 | |
| | 2,874 | | | Commerce Bancshares Inc. | | | 204,226 | |
| | 1,713 | | | Cullen/Frost Bankers Inc. | | | 189,955 | |
| | 4,522 | | | East West Bancorp Inc. | | | 286,650 | |
| | 21,410 | | | Fifth Third Bancorp | | | 630,096 | |
| | 252 | | | First Citizens BancShares Inc., Class A Shares | | | 119,702 | |
| | 1,925 | | | First Hawaiian Inc. | | | 55,806 | |
| | 10,040 | | | First Horizon National Corp. | | | 184,937 | |
| | 27,561 | | | First Republic Bank | | | 2,799,922 | |
| | 9,560 | | | FNB Corp. | | | 128,582 | |
| | 34,698 | | | Huntington Bancshares Inc. | | | 562,455 | |
| | 105,584 | | | JPMorgan Chase & Co. | | | 12,097,815 | |
| | 33,061 | | | KeyCorp | | | 696,595 | |
| | 4,502 | | | M&T Bank Corp. | | | 797,529 | |
| | 3,800 | | | PacWest Bancorp | | | 191,862 | |
| | 11,809 | | | People’s United Financial Inc. | | | 218,585 | |
| | 2,442 | | | Pinnacle Financial Partners Inc. | | | 157,631 | |
| | 14,614 | | | PNC Financial Services Group Inc. (The) | | | 2,097,694 | |
| | 3,077 | | | Popular Inc. | | | 154,896 | |
| | 2,023 | | | Prosperity Bancshares Inc. | | | 151,401 | |
| | 35,226 | | | Regions Financial Corp. | | | 685,498 | |
| | 1,601 | | | Signature Bank | | | 185,300 | |
| | 7,280 | | | Sterling Bancorp | | | 166,348 | |
| | 14,507 | | | SunTrust Banks Inc. | | | 1,067,135 | |
| | 1,650 | | | SVB Financial Group* | | | 532,537 | |
| | 3,573 | | | Synovus Financial Corp. | | | 178,864 | |
| | 4,735 | | | TCF Financial Corp. | | | 120,032 | |
| | 1,649 | | | Texas Capital Bancshares Inc.* | | | 146,596 | |
| | 7,070 | | | Umpqua Holdings Corp. | | | 151,298 | |
| | 47,832 | | | US Bancorp | | | 2,588,189 | |
| | 2,778 | | | Webster Financial Corp. | | | 181,626 | |
| | 136,876 | | | Wells Fargo & Co. | | | 8,004,508 | |
| | 2,917 | | | Western Alliance Bancorp* | | | 168,165 | |
| | 1,791 | | | Wintrust Financial Corp. | | | 158,593 | |
| | 6,099 | | | Zions Bancorporation | | | 325,016 | |
| | | | | | | | |
| | | | Total Banks | | | 62,582,755 | |
| | | | | | | | |
| | Capital Markets — 2.8% | |
| | 17,465 | | | Affiliated Managers Group Inc. | | | 2,551,462 | |
| | 39,877 | | | Ameriprise Financial Inc. | | | 5,660,939 | |
| | 181,902 | | | Bank of New York Mellon Corp. (The) | | | 9,486,189 | |
| | 8,152 | | | BGC Partners Inc., Class A Shares | | | 101,248 | |
| | 9,253 | | | BlackRock Inc., Class A Shares | | | 4,432,742 | |
| | 3,479 | | | Cboe Global Markets Inc. | | | 350,683 | |
| | 136,954 | | | Charles Schwab Corp. (The) | | | 6,955,894 | |
| | 10,583 | | | CME Group Inc., Class A Shares | | | 1,849,168 | |
| | 8,243 | | | E*Trade Financial Corp.* | | | 485,183 | |
| | 3,381 | | | Eaton Vance Corp. | | | 178,280 | |
| | 1,341 | | | Evercore Inc., Class A Shares | | | 142,347 | |
| | 1,149 | | | FactSet Research Systems Inc. | | | 263,569 | |
| | 9,866 | | | Franklin Resources Inc. | | | 313,147 | |
| | 11,024 | | | Goldman Sachs Group Inc. (The) | | | 2,621,617 | |
See Notes to Financial Statements.
38
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | FINANCIALS — 11.4% — (continued) | |
| | Capital Markets — 2.8% — (continued) | |
| | 2,390 | | | Interactive Brokers Group Inc., Class A Shares | | $ | 148,562 | |
| | 17,763 | | | Intercontinental Exchange Inc. | | | 1,354,074 | |
| | 12,635 | | | Invesco Ltd. | | | 304,504 | |
| | 3,594 | | | Lazard Ltd., Class A Shares | | | 173,015 | |
| | 2,837 | | | Legg Mason Inc. | | | 88,514 | |
| | 2,603 | | | LPL Financial Holdings Inc. | | | 172,423 | |
| | 1,110 | | | MarketAxess Holdings Inc. | | | 210,700 | |
| | 5,184 | | | Moody’s Corp. | | | 922,856 | |
| | 38,879 | | | Morgan Stanley(b) | | | 1,898,462 | |
| | 653 | | | Morningstar Inc. | | | 92,935 | |
| | 15,056 | | | MSCI Inc., Class A Shares | | | 2,713,995 | |
| | 3,631 | | | Nasdaq Inc. | | | 346,543 | |
| | 6,453 | | | Northern Trust Corp. | | | 693,439 | |
| | 4,085 | | | Raymond James Financial Inc. | | | 380,068 | |
| | 7,827 | | | S&P Global Inc. | | | 1,620,580 | |
| | 4,156 | | | SEI Investments Co. | | | 262,160 | |
| | 11,670 | | | State Street Corp. | | | 1,014,240 | |
| | 7,360 | | | T. Rowe Price Group Inc. | | | 852,950 | |
| | 8,777 | | | TD Ameritrade Holding Corp. | | | 514,069 | |
| | 1,319 | | | Virtu Financial Inc., Class A Shares(a) | | | 28,754 | |
| | | | | | | | |
| | | | Total Capital Markets | | | 49,185,311 | |
| | | | | | | | |
| | Consumer Finance — 0.5% | |
| | 13,453 | | | Ally Financial Inc. | | | 361,617 | |
| | 43,046 | | | American Express Co. | | | 4,562,015 | |
| | 15,092 | | | Capital One Financial Corp. | | | 1,495,466 | |
| | 329 | | | Credit Acceptance Corp.*(a) | | | 150,258 | |
| | 10,866 | | | Discover Financial Services | | | 848,852 | |
| | 8,694 | | | Navient Corp. | | | 118,586 | |
| | 2,099 | | | OneMain Holdings Inc., Class A Shares* | | | 77,033 | |
| | 3,956 | | | Santander Consumer USA Holdings Inc. | | | 85,371 | |
| | 14,607 | | | SLM Corp.* | | | 171,194 | |
| | 23,554 | | | Synchrony Financial | | | 745,955 | |
| | | | | | | | |
| | | | Total Consumer Finance | | | 8,616,347 | |
| | | | | | | | |
| | Diversified Financial Services — 0.8% | |
| | 4,208 | | | AXA Equitable Holdings Inc. | | | 96,573 | |
| | 60,401 | | | Berkshire Hathaway Inc., Class B Shares* | | | 12,606,897 | |
| | 9,273 | | | Jefferies Financial Group Inc. | | | 215,319 | |
| | 5,239 | | | Voya Financial Inc. | | | 262,317 | |
| | | | | | | | |
| | | | Total Diversified Financial Services | | | 13,181,106 | |
| | | | | | | | |
| | Insurance — 3.6% | |
| | 133,907 | | | Aflac Inc. | | | 6,191,860 | |
| | 461 | | | Alleghany Corp. | | | 291,251 | |
| | 97,249 | | | Allstate Corp. (The) | | | 9,780,332 | |
| | 2,214 | | | American Financial Group Inc. | | | 246,551 | |
| | 176,651 | | | American International Group Inc. | | | 9,392,534 | |
| | 167 | | | American National Insurance Co. | | | 21,433 | |
| | 7,593 | | | Aon PLC | | | 1,105,237 | |
| | 11,939 | | | Arch Capital Group Ltd.* | | | 364,975 | |
| | 5,672 | | | Arthur J. Gallagher & Co. | | | 409,178 | |
| | 2,050 | | | Aspen Insurance Holdings Ltd. | | | 84,358 | |
| | 19,759 | | | Assurant Inc. | | | 2,031,620 | |
| | 3,199 | | | Assured Guaranty Ltd. | | | 130,327 | |
See Notes to Financial Statements.
39
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | FINANCIALS — 11.4% — (continued) | |
| | Insurance — 3.6% — (continued) | |
| | 4,755 | | | Athene Holding Ltd., Class A Shares* | | $ | 236,133 | |
| | 2,381 | | | Axis Capital Holdings Ltd. | | | 136,955 | |
| | 3,946 | | | Brighthouse Financial Inc.* | | | 163,798 | |
| | 6,932 | | | Brown & Brown Inc. | | | 211,287 | |
| | 14,442 | | | Chubb Ltd. | | | 1,953,136 | |
| | 4,787 | | | Cincinnati Financial Corp. | | | 367,019 | |
| | 1,018 | | | CNA Financial Corp. | | | 45,708 | |
| | 851 | | | Erie Indemnity Co., Class A Shares | | | 105,124 | |
| | 1,226 | | | Everest Re Group Ltd. | | | 273,423 | |
| | 8,297 | | | Fidelity National Financial Inc. | | | 332,710 | |
| | 3,257 | | | First American Financial Corp. | | | 185,193 | |
| | 1,263 | | | Hanover Insurance Group Inc. (The) | | | 154,705 | |
| | 10,996 | | | Hartford Financial Services Group Inc. (The) | | | 553,869 | |
| | 70,530 | | | Lincoln National Corp. | | | 4,625,357 | |
| | 8,772 | | | Loews Corp. | | | 441,319 | |
| | 423 | | | Markel Corp.* | | | 511,322 | |
| | 115,205 | | | Marsh & McLennan Cos., Inc. | | | 9,749,799 | |
| | 987 | | | Mercury General Corp. | | | 53,199 | |
| | 26,919 | | | MetLife Inc. | | | 1,235,313 | |
| | 9,171 | | | Old Republic International Corp. | | | 203,413 | |
| | 8,842 | | | Principal Financial Group Inc. | | | 487,990 | |
| | 18,109 | | | Progressive Corp. (The) | | | 1,222,901 | |
| | 13,127 | | | Prudential Financial Inc. | | | 1,289,728 | |
| | 2,031 | | | Reinsurance Group of America Inc., Class A Shares | | | 290,128 | |
| | 1,189 | | | RenaissanceRe Holdings Ltd. | | | 158,089 | |
| | 3,348 | | | Torchmark Corp. | | | 294,356 | |
| | 8,425 | | | Travelers Cos., Inc. (The) | | | 1,108,730 | |
| | 6,396 | | | Unum Group | | | 235,885 | |
| | 103 | | | White Mountains Insurance Group Ltd. | | | 95,579 | |
| | 34,158 | | | Willis Towers Watson PLC | | | 5,030,449 | |
| | 2,957 | | | WR Berkley Corp. | | | 231,415 | |
| | 7,863 | | | XL Group Ltd. | | | 451,258 | |
| | | | | | | | |
| | | | Total Insurance | | | 62,484,946 | |
| | | | | | | | |
| | Mortgage Real Estate Investment Trusts (REITs) — 0.1% | |
| | 13,489 | | | AGNC Investment Corp. | | | 256,560 | |
| | 36,884 | | | Annaly Capital Management Inc. | | | 391,708 | |
| | 5,995 | | | Chimera Investment Corp. | | | 111,687 | |
| | 13,603 | | | MFA Financial Inc. | | | 104,199 | |
| | 10,072 | | | New Residential Investment Corp. | | | 187,037 | |
| | 8,560 | | | Starwood Property Trust Inc. | | | 188,577 | |
| | 6,824 | | | Two Harbors Investment Corp. | | | 106,591 | |
| | | | | | | | |
| | | | Total Mortgage Real Estate Investment Trusts (REITs) | | | 1,346,359 | |
| | | | | | | | |
| | Thrifts & Mortgage Finance — 0.0% | |
| | 14,234 | | | New York Community Bancorp Inc. | | | 153,300 | |
| | 2,294 | | | TFS Financial Corp. | | | 35,420 | |
| | | | | | | | |
| | | | Total Thrifts & Mortgage Finance | | | 188,720 | |
| | | | | | | | |
| | | | TOTAL FINANCIALS | | | 197,585,544 | |
| | | | | | | | |
| | HEALTH CARE — 15.4% | |
| | Biotechnology — 2.6% | |
| | 49,507 | | | AbbVie Inc. | | | 4,751,682 | |
| | 1,705 | | | Agios Pharmaceuticals Inc.* | | | 137,628 | |
| | 44,558 | | | Alexion Pharmaceuticals Inc.* | | | 5,446,770 | |
See Notes to Financial Statements.
40
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | HEALTH CARE — 15.4% — (continued) | |
| | Biotechnology — 2.6% — (continued) | |
| | 4,562 | | | Alkermes PLC* | | $ | 204,560 | |
| | 2,756 | | | Alnylam Pharmaceuticals Inc.* | | | 338,079 | |
| | 20,639 | | | Amgen Inc. | | | 4,123,879 | |
| | 14,991 | | | Biogen Inc.* | | | 5,299,169 | |
| | 15,638 | | | BioMarin Pharmaceutical Inc.* | | | 1,563,487 | |
| | 1,699 | | | Bluebird Bio Inc.* | | | 285,942 | |
| | 85,217 | | | Celgene Corp.* | | | 8,048,746 | |
| | 18,602 | | | Exact Sciences Corp.* | | | 1,393,104 | |
| | 8,510 | | | Exelixis Inc.* | | | 159,903 | |
| | 40,376 | | | Gilead Sciences Inc. | | | 3,057,674 | |
| | 5,473 | | | Incyte Corp.* | | | 404,509 | |
| | 3,706 | | | Ionis Pharmaceuticals Inc.* | | | 169,327 | |
| | 2,786 | | | Neurocrine Biosciences Inc.* | | | 342,539 | |
| | 6,656 | | | Regeneron Pharmaceuticals Inc.* | | | 2,707,328 | |
| | 1,376 | | | Sage Therapeutics Inc.* | | | 226,022 | |
| | 1,910 | | | Sarepta Therapeutics Inc.* | | | 263,656 | |
| | 3,187 | | | Seattle Genetics Inc.* | | | 244,634 | |
| | 1,323 | | | TESARO Inc.* | | | 42,931 | |
| | 1,250 | | | United Therapeutics Corp.* | | | 153,737 | |
| | 27,041 | | | Vertex Pharmaceuticals Inc.* | | | 4,986,360 | |
| | | | | | | | |
| | | | Total Biotechnology | | | 44,351,666 | |
| | | | | | | | |
| | Health Care Equipment & Supplies — 3.1% | |
| | 178,568 | | | Abbott Laboratories | | | 11,935,485 | |
| | 1,315 | | | ABIOMED Inc.* | | | 534,653 | |
| | 2,470 | | | Align Technology Inc.* | | | 954,630 | |
| | 15,489 | | | Baxter International Inc. | | | 1,151,917 | |
| | 8,249 | | | Becton Dickinson and Co. | | | 2,160,166 | |
| | 42,875 | | | Boston Scientific Corp.* | | | 1,524,635 | |
| | 1,242 | | | Cantel Medical Corp. | | | 120,474 | |
| | 1,496 | | | Cooper Cos., Inc. (The) | | | 382,647 | |
| | 19,184 | | | Danaher Corp. | | | 1,986,311 | |
| | 22,977 | | | DENTSPLY SIRONA Inc. | | | 917,242 | |
| | 2,720 | | | DexCom Inc.* | | | 392,714 | |
| | 17,946 | | | Edwards Lifesciences Corp.* | | | 2,588,531 | |
| | 2,007 | | | Hill-Rom Holdings Inc. | | | 195,221 | |
| | 8,392 | | | Hologic Inc.* | | | 333,666 | |
| | 526 | | | ICU Medical Inc.* | | | 160,956 | |
| | 12,738 | | | IDEXX Laboratories Inc.* | | | 3,235,961 | |
| | 1,710 | | | Insulet Corp.* | | | 178,302 | |
| | 2,440 | | | Integra LifeSciences Holdings Corp.* | | | 145,107 | |
| | 3,504 | | | Intuitive Surgical Inc.* | | | 1,962,240 | |
| | 1,513 | | | Masimo Corp.* | | | 178,368 | |
| | 195,741 | | | Medtronic PLC | | | 18,871,390 | |
| | 1,038 | | | Penumbra Inc.* | | | 144,126 | |
| | 4,368 | | | ResMed Inc. | | | 486,639 | |
| | 2,591 | | | STERIS PLC | | | 296,462 | |
| | 10,624 | | | Stryker Corp. | | | 1,800,024 | |
| | 1,414 | | | Teleflex Inc. | | | 349,866 | |
| | 2,829 | | | Varian Medical Systems Inc.* | | | 316,905 | |
| | 2,269 | | | West Pharmaceutical Services Inc. | | | 265,586 | |
| | 6,331 | | | Zimmer Biomet Holdings Inc. | | | 782,701 | |
| | | | | | | | |
| | | | Total Health Care Equipment & Supplies | | | 54,352,925 | |
| | | | | | | | |
See Notes to Financial Statements.
41
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | HEALTH CARE — 15.4% — (continued) | |
| | Health Care Providers & Services — 4.7% | |
| | 2,958 | | | Acadia Healthcare Co., Inc.* | | $ | 122,846 | |
| | 9,964 | | | Aetna Inc. | | | 1,995,490 | |
| | 4,980 | | | AmerisourceBergen Corp., Class A Shares | | | 448,051 | |
| | 33,308 | | | Anthem Inc. | | | 8,817,627 | |
| | 172,469 | | | Cardinal Health Inc. | | | 9,001,157 | |
| | 6,343 | | | Centene Corp.* | | | 929,123 | |
| | 446 | | | Chemed Corp. | | | 144,299 | |
| | 7,353 | | | Cigna Corp. | | | 1,384,864 | |
| | 152,780 | | | CVS Health Corp. | | | 11,495,167 | |
| | 4,173 | | | DaVita Inc.* | | | 289,147 | |
| | 2,976 | | | Encompass Health Corp. | | | 242,812 | |
| | 3,894 | | | Envision Healthcare Corp.* | | | 176,632 | |
| | 119,891 | | | Express Scripts Holding Co.* | | | 10,552,806 | |
| | 64,992 | | | HCA Healthcare Inc. | | | 8,716,077 | |
| | 4,761 | | | Henry Schein Inc.* | | | 369,834 | |
| | 4,290 | | | Humana Inc. | | | 1,429,685 | |
| | 3,154 | | | Laboratory Corp. of America Holdings* | | | 545,232 | |
| | 6,410 | | | McKesson Corp. | | | 825,287 | |
| | 3,105 | | | MEDNAX Inc.* | | | 147,022 | |
| | 1,894 | | | Molina Healthcare Inc.* | | | 261,372 | |
| | 1,786 | | | Premier Inc., Class A Shares* | | | 78,995 | |
| | 80,495 | | | Quest Diagnostics Inc. | | | 8,852,840 | |
| | 55,290 | | | UnitedHealth Group Inc. | | | 14,843,153 | |
| | 2,623 | | | Universal Health Services Inc., Class B Shares | | | 341,410 | |
| | 1,522 | | | WellCare Health Plans Inc.* | | | 460,511 | |
| | | | | | | | |
| | | | Total Health Care Providers & Services | | | 82,471,439 | |
| | | | | | | | |
| | Health Care Technology — 0.1% | |
| | 1,174 | | | athenahealth Inc.* | | | 180,679 | |
| | 9,849 | | | Cerner Corp.* | | | 641,268 | |
| | 3,741 | | | Veeva Systems Inc., Class A Shares* | | | 390,411 | |
| | | | | | | | |
| | | | Total Health Care Technology | | | 1,212,358 | |
| | | | | | | | |
| | Life Sciences Tools & Services — 0.9% | |
| | 10,091 | | | Agilent Technologies Inc. | | | 681,546 | |
| | 698 | | | Bio-Rad Laboratories Inc., Class A Shares* | | | 227,060 | |
| | 1,139 | | | Bio-Techne Corp. | | | 218,882 | |
| | 3,505 | | | Bruker Corp. | | | 124,708 | |
| | 1,534 | | | Charles River Laboratories International Inc.* | | | 189,464 | |
| | 15,188 | | | Illumina Inc.* | | | 5,389,158 | |
| | 5,099 | | | IQVIA Holdings Inc.* | | | 648,032 | |
| | 770 | | | Mettler-Toledo International Inc.* | | | 450,034 | |
| | 3,473 | | | PerkinElmer Inc. | | | 321,009 | |
| | 1,697 | | | PRA Health Sciences Inc.* | | | 179,203 | |
| | 6,992 | | | QIAGEN NV* | | | 272,478 | |
| | 24,358 | | | Thermo Fisher Scientific Inc. | | | 5,823,998 | |
| | 2,395 | | | Waters Corp.* | | | 453,805 | |
| | | | | | | | |
| | | | Total Life Sciences Tools & Services | | | 14,979,377 | |
| | | | | | | | |
| | Pharmaceuticals — 4.0% | |
| | 10,555 | | | Allergan PLC | | | 2,023,499 | |
| | 107,406 | | | Bristol-Myers Squibb Co. | | | 6,503,433 | |
| | 4,437 | | | Catalent Inc.* | | | 185,467 | |
| | 30,044 | | | Eli Lilly & Co. | | | 3,174,149 | |
| | 1,826 | | | Jazz Pharmaceuticals PLC* | | | 312,100 | |
See Notes to Financial Statements.
42
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | HEALTH CARE — 15.4% — (continued) | |
| | Pharmaceuticals — 4.0% — (continued) | |
| | 159,108 | | | Johnson & Johnson | | $ | 21,430,256 | |
| | 209,931 | | | Merck & Co., Inc. | | | 14,399,167 | |
| | 16,005 | | | Mylan NV* | | | 626,276 | |
| | 4,870 | | | Nektar Therapeutics, Class A Shares* | | | 323,806 | |
| | 4,013 | | | Perrigo Co. PLC | | | 307,035 | |
| | 392,490 | | | Pfizer Inc. | | | 16,296,185 | |
| | 47,327 | | | Zoetis Inc., Class A Shares | | | 4,287,826 | |
| | | | | | | | |
| | | | Total Pharmaceuticals | | | 69,869,199 | |
| | | | | | | | |
| | | | TOTAL HEALTH CARE | | | 267,236,964 | |
| | | | | | | | |
| | INDUSTRIALS — 8.4% | |
| | Aerospace & Defense — 2.4% | |
| | 13,493 | | | Arconic Inc. | | | 301,973 | |
| | 17,131 | | | Boeing Co. (The) | | | 5,872,336 | |
| | 2,964 | | | BWX Technologies Inc. | | | 181,752 | |
| | 1,446 | | | Curtiss-Wright Corp. | | | 193,692 | |
| | 8,079 | | | General Dynamics Corp. | | | 1,562,479 | |
| | 3,690 | | | Harris Corp. | | | 599,662 | |
| | 1,065 | | | HEICO Corp. | | | 96,574 | |
| | 2,458 | | | HEICO Corp., Class A Shares | | | 183,121 | |
| | 2,703 | | | Hexcel Corp. | | | 178,722 | |
| | 1,354 | | | Huntington Ingalls Industries Inc. | | | 331,012 | |
| | 2,448 | | | L3 Technologies Inc. | | | 523,187 | |
| | 7,733 | | | Lockheed Martin Corp. | | | 2,477,731 | |
| | 42,684 | | | Northrop Grumman Corp. | | | 12,740,747 | |
| | 52,163 | | | Raytheon Co. | | | 10,403,389 | |
| | 5,113 | | | Rockwell Collins Inc. | | | 695,112 | |
| | 3,489 | | | Spirit AeroSystems Holdings Inc., Class A Shares | | | 298,310 | |
| | 1,089 | | | Teledyne Technologies Inc.* | | | 258,376 | |
| | 8,015 | | | Textron Inc. | | | 553,275 | |
| | 1,514 | | | TransDigm Group Inc.* | | | 529,900 | |
| | 23,340 | | | United Technologies Corp. | | | 3,073,878 | |
| | | | | | | | |
| | | | Total Aerospace & Defense | | | 41,055,228 | |
| | | | | | | | |
| | Air Freight & Logistics — 0.5% | |
| | 4,312 | | | CH Robinson Worldwide Inc. | | | 414,297 | |
| | 5,413 | | | Expeditors International of Washington Inc. | | | 396,665 | |
| | 7,710 | | | FedEx Corp. | | | 1,880,854 | |
| | 40,198 | | | United Parcel Service Inc., Class B Shares | | | 4,939,530 | |
| | 3,722 | | | XPO Logistics Inc.* | | | 396,393 | |
| | | | | | | | |
| | | | Total Air Freight & Logistics | | | 8,027,739 | |
| | | | | | | | |
| | Airlines — 0.2% | |
| | 3,733 | | | Alaska Air Group Inc. | | | 251,940 | |
| | 13,052 | | | American Airlines Group Inc. | | | 528,345 | |
| | 1,072 | | | Copa Holdings SA, Class A Shares | | | 85,696 | |
| | 20,159 | | | Delta Air Lines Inc. | | | 1,178,898 | |
| | 9,776 | | | JetBlue Airways Corp.* | | | 186,526 | |
| | 16,553 | | | Southwest Airlines Co. | | | 1,014,699 | |
| | 7,744 | | | United Continental Holdings Inc.* | | | 676,981 | |
| | | | | | | | |
| | | | Total Airlines | | | 3,923,085 | |
| | | | | | | | |
| | Building Products — 0.7% | |
| | 2,958 | | | Allegion PLC | | | 257,997 | |
| | 4,462 | | | AO Smith Corp. | | | 259,153 | |
See Notes to Financial Statements.
43
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | INDUSTRIALS — 8.4% — (continued) | |
| | Building Products — 0.7% — (continued) | |
| | 81,525 | | | Armstrong World Industries Inc.* | | $ | 5,690,445 | |
| | 4,411 | | | Fortune Brands Home & Security Inc. | | | 233,695 | |
| | 128,771 | | | Johnson Controls International PLC | | | 4,863,681 | |
| | 1,136 | | | Lennox International Inc. | | | 253,112 | |
| | 9,664 | | | Masco Corp. | | | 366,942 | |
| | 3,620 | | | Owens Corning | | | 204,964 | |
| | 2,345 | | | USG Corp.* | | | 101,069 | |
| | | | | | | | |
| | | | Total Building Products | | | 12,231,058 | |
| | | | | | | | |
| | Commercial Services & Supplies — 0.7% | |
| | 3,641 | | | ADT Inc.(a) | | | 32,587 | |
| | 2,728 | | | Cintas Corp. | | | 582,073 | |
| | 1,632 | | | Clean Harbors Inc.* | | | 111,939 | |
| | 6,363 | | | Copart Inc.* | | | 409,204 | |
| | 4,223 | | | KAR Auction Services Inc. | | | 264,740 | |
| | 6,826 | | | Republic Services Inc., Class A Shares | | | 500,755 | |
| | 2,862 | | | Rollins Inc. | | | 171,949 | |
| | 2,433 | | | Stericycle Inc.* | | | 150,092 | |
| | 105,332 | | | Waste Management Inc. | | | 9,574,679 | |
| | | | | | | | |
| | | | Total Commercial Services & Supplies | | | 11,798,018 | |
| | | | | | | | |
| | Construction & Engineering — 0.1% | |
| | 48,039 | | | AECOM* | | | 1,616,032 | |
| | 4,297 | | | Fluor Corp. | | | 246,691 | |
| | 3,996 | | | Jacobs Engineering Group Inc. | | | 290,469 | |
| | 4,325 | | | Quanta Services Inc.* | | | 149,602 | |
| | 712 | | | Valmont Industries Inc. | | | 99,965 | |
| | | | | | | | |
| | | | Total Construction & Engineering | | | 2,402,759 | |
| | | | | | | | |
| | Electrical Equipment — 0.3% | |
| | 1,231 | | | Acuity Brands Inc. | | | 188,146 | |
| | 7,062 | | | AMETEK Inc. | | | 543,492 | |
| | 13,610 | | | Eaton Corp. PLC | | | 1,131,535 | |
| | 19,537 | | | Emerson Electric Co. | | | 1,499,074 | |
| | 1,240 | | | GrafTech International Ltd. | | | 22,915 | |
| | 1,654 | | | Hubbell Inc., Class B Shares | | | 208,999 | |
| | 4,861 | | | nVent Electric PLC | | | 136,545 | |
| | 1,395 | | | Regal Beloit Corp. | | | 116,762 | |
| | 3,886 | | | Rockwell Automation Inc. | | | 703,211 | |
| | 5,280 | | | Sensata Technologies Holding PLC* | | | 279,576 | |
| | | | | | | | |
| | | | Total Electrical Equipment | | | 4,830,255 | |
| | | | | | | | |
| | Industrial Conglomerates — 0.8% | |
| | 17,977 | | | 3M Co. | | | 3,791,709 | |
| | 1,829 | | | Carlisle Cos., Inc. | | | 231,935 | |
| | 268,606 | | | General Electric Co. | | | 3,475,762 | |
| | 40,875 | | | Honeywell International Inc. | | | 6,501,577 | |
| | 3,165 | | | Roper Technologies Inc. | | | 944,341 | |
| | | | | | | | |
| | | | Total Industrial Conglomerates | | | 14,945,324 | |
| | | | | | | | |
| | Machinery — 1.4% | |
| | 1,882 | | | AGCO Corp. | | | 112,280 | |
| | 3,635 | | | Allison Transmission Holdings Inc. | | | 180,514 | |
| | 30,762 | | | Caterpillar Inc. | | | 4,271,304 | |
| | 2,964 | | | Colfax Corp.* | | | 103,503 | |
| | 1,502 | | | Crane Co. | | | 137,103 | |
See Notes to Financial Statements.
44
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | INDUSTRIALS — 8.4% — (continued) | |
| | Machinery — 1.4% — (continued) | |
| | 4,759 | | | Cummins Inc. | | $ | 674,826 | |
| | 10,087 | | | Deere & Co. | | | 1,450,511 | |
| | 3,969 | | | Donaldson Co., Inc. | | | 200,831 | |
| | 4,739 | | | Dover Corp. | | | 406,938 | |
| | 4,008 | | | Flowserve Corp. | | | 208,897 | |
| | 9,575 | | | Fortive Corp. | | | 804,108 | |
| | 3,533 | | | Gardner Denver Holdings Inc.* | | | 98,783 | |
| | 1,535 | | | Gates Industrial Corp. PLC* | | | 27,983 | |
| | 5,044 | | | Graco Inc. | | | 237,118 | |
| | 2,398 | | | IDEX Corp. | | | 367,398 | |
| | 10,508 | | | Illinois Tool Works Inc. | | | 1,459,351 | |
| | 7,716 | | | Ingersoll-Rand PLC | | | 781,554 | |
| | 2,637 | | | ITT Inc. | | | 155,873 | |
| | 88,465 | | | Kennametal Inc. | | | 3,612,911 | |
| | 2,019 | | | Lincoln Electric Holdings Inc. | | | 190,109 | |
| | 1,701 | | | Middleby Corp. (The)* | | | 206,739 | |
| | 1,778 | | | Nordson Corp. | | | 247,178 | |
| | 2,203 | | | Oshkosh Corp. | | | 154,783 | |
| | 10,717 | | | PACCAR Inc. | | | 733,257 | |
| | 4,137 | | | Parker-Hannifin Corp. | | | 726,457 | |
| | 4,761 | | | Pentair PLC | | | 207,008 | |
| | 1,756 | | | Snap-on Inc. | | | 310,426 | |
| | 4,814 | | | Stanley Black & Decker Inc. | | | 676,511 | |
| | 1,856 | | | Terex Corp. | | | 71,920 | |
| | 2,241 | | | Timken Co. (The) | | | 109,025 | |
| | 3,216 | | | Toro Co. (The) | | | 195,501 | |
| | 4,485 | | | Trinity Industries Inc. | | | 160,742 | |
| | 1,765 | | | WABCO Holdings Inc.* | | | 217,236 | |
| | 44,172 | | | Wabtec Corp.(a) | | | 4,784,711 | |
| | 4,028 | | | Welbilt Inc.* | | | 89,140 | |
| | 5,595 | | | Xylem Inc. | | | 424,716 | |
| | | | | | | | |
| | | | Total Machinery | | | 24,797,245 | |
| | | | | | | | |
| | Marine — 0.0% | |
| | 1,791 | | | Kirby Corp.* | | | 156,354 | |
| | | | | | | | |
| | Professional Services ��� 0.2% | |
| | 1,114 | | | CoStar Group Inc.* | | | 492,566 | |
| | 1,232 | | | Dun & Bradstreet Corp. (The) | | | 176,078 | |
| | 3,722 | | | Equifax Inc. | | | 498,636 | |
| | 12,131 | | | IHS Markit Ltd.* | | | 667,205 | |
| | 1,973 | | | ManpowerGroup Inc. | | | 184,929 | |
| | 11,093 | | | Nielsen Holdings PLC | | | 288,418 | |
| | 3,697 | | | Robert Half International Inc. | | | 289,032 | |
| | 5,748 | | | TransUnion | | | 432,824 | |
| | 5,006 | | | Verisk Analytics Inc., Class A Shares* | | | 596,165 | |
| | | | | | | | |
| | | | Total Professional Services | | | 3,625,853 | |
| | | | | | | | |
| | Road & Rail — 0.6% | |
| | 239 | | | AMERCO | | | 89,599 | |
| | 28,082 | | | Avis Budget Group Inc.* | | | 873,631 | |
| | 25,957 | | | CSX Corp. | | | 1,924,971 | |
| | 1,810 | | | Genesee & Wyoming Inc., Class A Shares* | | | 159,081 | |
| | 30,110 | | | Hertz Global Holdings Inc.*(a) | | | 530,237 | |
| | 2,713 | | | JB Hunt Transport Services Inc. | | | 327,595 | |
| | 3,171 | | | Kansas City Southern | | | 367,709 | |
See Notes to Financial Statements.
45
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | INDUSTRIALS — 8.4% — (continued) | |
| | Road & Rail — 0.6% — (continued) | |
| | 4,281 | | | Knight-Swift Transportation Holdings Inc., Class A Shares | | $ | 146,111 | |
| | 1,220 | | | Landstar System Inc. | | | 141,276 | |
| | 8,805 | | | Norfolk Southern Corp. | | | 1,530,661 | |
| | 2,053 | | | Old Dominion Freight Line Inc. | | | 312,877 | |
| | 1,485 | | | Ryder System Inc. | | | 114,107 | |
| | 1,355 | | | Schneider National Inc., Class B Shares | | | 36,653 | |
| | 24,020 | | | Union Pacific Corp. | | | 3,617,892 | |
| | | | | | | | |
| | | | Total Road & Rail | | | 10,172,400 | |
| | | | | | | | |
| | Trading Companies & Distributors — 0.5% | |
| | 55,011 | | | AerCap Holdings NV* | | | 3,133,977 | |
| | 2,908 | | | Air Lease Corp., Class A Shares | | | 134,379 | |
| | 8,948 | | | Fastenal Co. | | | 522,205 | |
| | 5,558 | | | HD Supply Holdings Inc.* | | | 253,389 | |
| | 1,443 | | | MSC Industrial Direct Co., Inc., Class A Shares | | | 123,348 | |
| | 2,608 | | | United Rentals Inc.* | | | 406,509 | |
| | 3,689 | | | Univar Inc.* | | | 102,628 | |
| | 1,043 | | | Watsco Inc. | | | 182,514 | |
| | 1,619 | | | WESCO International Inc.* | | | 99,002 | |
| | 10,169 | | | WW Grainger Inc. | | | 3,600,538 | |
| | | | | | | | |
| | | | Total Trading Companies & Distributors | | | 8,558,489 | |
| | | | | | | | |
| | Transportation Infrastructure — 0.0% | |
| | 2,697 | | | Macquarie Infrastructure Corp. | | | 126,867 | |
| | | | | | | | |
| | | | TOTAL INDUSTRIALS | | | 146,650,674 | |
| | | | | | | | |
| | INFORMATION TECHNOLOGY — 25.9% | |
| | Communications Equipment — 2.7% | |
| | 1,773 | | | Arista Networks Inc.* | | | 530,092 | |
| | 48,272 | | | ARRIS International PLC* | | | 1,250,728 | |
| | 653,404 | | | Cisco Systems Inc. | | | 31,213,109 | |
| | 57,805 | | | CommScope Holding Co., Inc.* | | | 1,831,840 | |
| | 1,572 | | | EchoStar Corp., Class A Shares* | | | 75,456 | |
| | 1,907 | | | F5 Networks Inc.* | | | 360,652 | |
| | 10,728 | | | Juniper Networks Inc. | | | 304,997 | |
| | 65,820 | | | Motorola Solutions Inc. | | | 8,448,655 | |
| | 13,614 | | | Palo Alto Networks Inc.* | | | 3,146,876 | |
| | 655 | | | Ubiquiti Networks Inc.(a) | | | 58,760 | |
| | | | | | | | |
| | | | Total Communications Equipment | | | 47,221,165 | |
| | | | | | | | |
| | Electronic Equipment, Instruments & Components — 0.9% | |
| | 9,170 | | | Amphenol Corp., Class A Shares | | | 867,299 | |
| | 2,714 | | | Arrow Electronics Inc.* | | | 210,416 | |
| | 3,624 | | | Avnet Inc. | | | 175,402 | |
| | 4,630 | | | CDW Corp. | | | 405,403 | |
| | 52,116 | | | Cognex Corp. | | | 2,803,841 | |
| | 823 | | | Coherent Inc.* | | | 156,864 | |
| | 181,854 | | | Corning Inc. | | | 6,093,928 | |
| | 1,889 | | | Dolby Laboratories Inc., Class A Shares | | | 132,589 | |
| | 149,769 | | | Flex Ltd.* | | | 2,065,314 | |
| | 4,031 | | | FLIR Systems Inc. | | | 252,905 | |
| | 1,045 | | | IPG Photonics Corp.* | | | 183,377 | |
| | 5,581 | | | Jabil Inc. | | | 164,974 | |
| | 5,843 | | | Keysight Technologies Inc.* | | | 379,152 | |
| | 806 | | | Littelfuse Inc. | | | 180,189 | |
See Notes to Financial Statements.
46
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | INFORMATION TECHNOLOGY — 25.9% — (continued) | |
| | Electronic Equipment, Instruments & Components — 0.9% — (continued) | |
| | 3,560 | | | National Instruments Corp. | | $ | 169,990 | |
| | 11,244 | | | Tech Data Corp.* | | | 818,001 | |
| | 7,773 | | | Trimble Inc.* | | | 327,243 | |
| | 1,646 | | | Zebra Technologies Corp., Class A Shares* | | | 282,684 | |
| | | | | | | | |
| | | | Total Electronic Equipment, Instruments & Components | | | 15,669,571 | |
| | | | | | | | |
| | Internet Software & Services — 4.8% | |
| | 1,824 | | | 2U Inc.* | | | 162,993 | |
| | 48,032 | | | Akamai Technologies Inc.* | | | 3,609,124 | |
| | 28,098 | | | Alibaba Group Holding Ltd., ADR* | | | 4,917,431 | |
| | 19,186 | | | Alphabet Inc., Class A Shares* | | | 23,633,315 | |
| | 13,213 | | | Alphabet Inc., Class C Shares* | | | 16,095,944 | |
| | 833 | | | DocuSign Inc.*(a) | | | 52,012 | |
| | 234,689 | | | eBay Inc.* | | | 8,122,586 | |
| | 121,872 | | | Facebook Inc., Class A Shares* | | | 21,416,567 | |
| | 5,099 | | | GoDaddy Inc., Class A Shares* | | | 415,365 | |
| | 2,814 | | | GrubHub Inc.* | | | 405,525 | |
| | 2,321 | | | IAC/InterActiveCorp.* | | | 457,701 | |
| | 1,467 | | | LogMeIn Inc. | | | 126,089 | |
| | 1,759 | | | Match Group Inc.*(a) | | | 88,038 | |
| | 6,295 | | | MercadoLibre Inc. | | | 2,155,471 | |
| | 3,169 | | | Nutanix Inc., Class A Shares* | | | 178,478 | |
| | 2,489 | | | Okta Inc., Class A Shares* | | | 153,895 | |
| | 2,115 | | | Twilio Inc., Class A Shares* | | | 170,596 | |
| | 22,036 | | | Twitter Inc.* | | | 775,226 | |
| | 3,292 | | | VeriSign Inc.* | | | 522,144 | |
| | 2,020 | | | Zillow Group Inc., Class A Shares* | | | 97,162 | |
| | 3,267 | | | Zillow Group Inc., Class C Shares* | | | 158,940 | |
| | | | | | | | |
| | | | Total Internet Software & Services | | | 83,714,602 | |
| | | | | | | | |
| | IT Services — 3.9% | |
| | 20,051 | | | Accenture PLC, Class A Shares | | | 3,390,023 | |
| | 1,503 | | | Alliance Data Systems Corp. | | | 358,586 | |
| | 4,447 | | | Amdocs Ltd. | | | 290,300 | |
| | 13,733 | | | Automatic Data Processing Inc. | | | 2,015,318 | |
| | 4,273 | | | Black Knight Inc.* | | | 228,178 | |
| | 4,229 | | | Booz Allen Hamilton Holding Corp., Class A Shares | | | 216,356 | |
| | 3,666 | | | Broadridge Financial Solutions Inc. | | | 495,423 | |
| | 18,178 | | | Cognizant Technology Solutions Corp., Class A Shares | | | 1,425,700 | |
| | 5,600 | | | Conduent Inc.* | | | 129,808 | |
| | 2,331 | | | CoreLogic Inc.* | | | 118,508 | |
| | 92,295 | | | DXC Technology Co. | | | 8,407,152 | |
| | 1,514 | | | EPAM Systems Inc.* | | | 216,396 | |
| | 1,457 | | | Euronet Worldwide Inc.* | | | 142,495 | |
| | 10,261 | | | Fidelity National Information Services Inc. | | | 1,109,932 | |
| | 16,232 | | | First Data Corp., Class A Shares* | | | 417,487 | |
| | 12,762 | | | Fiserv Inc.* | | | 1,021,853 | |
| | 2,778 | | | FleetCor Technologies Inc.* | | | 593,770 | |
| | 2,760 | | | Gartner Inc.* | | | 413,338 | |
| | 4,402 | | | Genpact Ltd. | | | 134,877 | |
| | 4,966 | | | Global Payments Inc. | | | 618,664 | |
| | 28,633 | | | International Business Machines Corp. | | | 4,194,162 | |
| | 2,409 | | | Jack Henry & Associates Inc. | | | 381,682 | |
| | 4,467 | | | Leidos Holdings Inc. | | | 316,130 | |
| | 28,658 | | | MasterCard Inc., Class A Shares | | | 6,177,518 | |
See Notes to Financial Statements.
47
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | INFORMATION TECHNOLOGY — 25.9% — (continued) | |
| | IT Services — 3.9% — (continued) | |
| | 10,022 | | | Paychex Inc. | | $ | 734,111 | |
| | 114,543 | | | PayPal Holdings Inc.* | | | 10,575,755 | |
| | 8,217 | | | Sabre Corp. | | | 214,546 | |
| | 8,931 | | | Square Inc., Class A Shares* | | | 791,644 | |
| | 1,129 | | | Switch Inc., Class A Shares | | | 13,051 | |
| | 4,014 | | | Teradata Corp.* | | | 166,461 | |
| | 5,633 | | | Total System Services Inc. | | | 547,190 | |
| | 116,070 | | | Visa Inc., Class A Shares | | | 17,049,522 | |
| | 155,563 | | | Western Union Co. (The) | | | 2,943,252 | |
| | 1,228 | | | WEX Inc.* | | | 233,590 | |
| | 9,102 | | | Worldpay Inc., Class A Shares* | | | 886,444 | |
| | | | | | | | |
| | | | Total IT Services | | | 66,969,222 | |
| | | | | | | | |
| | Semiconductors & Semiconductor Equipment — 4.6% | |
| | 28,310 | | | Advanced Micro Devices Inc.* | | | 712,563 | |
| | 162,908 | | | Analog Devices Inc. | | | 16,103,456 | |
| | 113,044 | | | Applied Materials Inc. | | | 4,863,153 | |
| | 32,620 | | | Broadcom Inc. | | | 7,144,759 | |
| | 10,661 | | | Cypress Semiconductor Corp. | | | 183,476 | |
| | 2,693 | | | First Solar Inc.* | | | 140,251 | |
| | 320,709 | | | Intel Corp. | | | 15,531,937 | |
| | 4,865 | | | KLA-Tencor Corp. | | | 565,362 | |
| | 5,109 | | | Lam Research Corp. | | | 884,317 | |
| | 17,061 | | | Marvell Technology Group Ltd. | | | 352,821 | |
| | 8,677 | | | Maxim Integrated Products Inc. | | | 524,698 | |
| | 7,161 | | | Microchip Technology Inc. | | | 616,061 | |
| | 36,080 | | | Micron Technology Inc.* | | | 1,894,922 | |
| | 1,547 | | | MKS Instruments Inc. | | | 143,716 | |
| | 1,199 | | | Monolithic Power Systems Inc. | | | 179,694 | |
| | 33,857 | | | NVIDIA Corp. | | | 9,502,983 | |
| | 10,704 | | | NXP Semiconductors NV* | | | 996,971 | |
| | 13,021 | | | ON Semiconductor Corp.* | | | 277,868 | |
| | 3,914 | | | Qorvo Inc.* | | | 313,472 | |
| | 84,965 | | | QUALCOMM Inc. | | | 5,837,945 | |
| | 73,676 | | | Skyworks Solutions Inc. | | | 6,726,619 | |
| | 5,768 | | | Teradyne Inc. | | | 237,584 | |
| | 51,687 | | | Texas Instruments Inc. | | | 5,809,619 | |
| | 1,426 | | | Universal Display Corp.(a) | | | 174,542 | |
| | 3,279 | | | Versum Materials Inc. | | | 130,471 | |
| | 7,927 | | | Xilinx Inc. | | | 616,958 | |
| | | | | | | | |
| | | | Total Semiconductors & Semiconductor Equipment | | | 80,466,218 | |
| | | | | | | | |
| | Software — 6.2% | |
| | 65,783 | | | Activision Blizzard Inc. | | | 4,742,954 | |
| | 43,180 | | | Adobe Systems Inc.* | | | 11,378,362 | |
| | 2,595 | | | ANSYS Inc.* | | | 482,618 | |
| | 2,158 | | | Aspen Technology Inc.* | | | 248,947 | |
| | 2,815 | | | Atlassian Corp. PLC, Class A Shares* | | | 253,378 | |
| | 6,827 | | | Autodesk Inc.* | | | 1,053,747 | |
| | 164,169 | | | CA Inc. | | | 7,190,602 | |
| | 8,698 | | | Cadence Design Systems Inc.* | | | 409,154 | |
| | 4,018 | | | CDK Global Inc. | | | 250,402 | |
| | 758 | | | Ceridian HCM Holding Inc.* | | | 29,183 | |
| | 4,212 | | | Citrix Systems Inc.* | | | 480,252 | |
| | 6,209 | | | Dell Technologies Inc., Class V Shares* | | | 597,120 | |
| | 9,374 | | | Electronic Arts Inc.* | | | 1,063,105 | |
See Notes to Financial Statements.
48
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | INFORMATION TECHNOLOGY — 25.9% — (continued) | |
| | Software — 6.2% — (continued) | |
| | 973 | | | Fair Isaac Corp.* | | $ | 224,744 | |
| | 6,180 | | | FireEye Inc.* | | | 102,588 | |
| | 4,356 | | | Fortinet Inc.* | | | 364,859 | |
| | 2,492 | | | Guidewire Software Inc.* | | | 250,620 | |
| | 7,600 | | | Intuit Inc. | | | 1,667,972 | |
| | 2,089 | | | Manhattan Associates Inc.* | | | 121,141 | |
| | 289,322 | | | Microsoft Corp. | | | 32,499,540 | |
| | 9,896 | | | Nuance Communications Inc.* | | | 161,503 | |
| | 319,593 | | | Oracle Corp. | | | 15,525,828 | |
| | 1,513 | | | Paycom Software Inc.* | | | 234,697 | |
| | 1,247 | | | Pegasystems Inc. | | | 79,434 | |
| | 1,473 | | | Proofpoint Inc.* | | | 174,771 | |
| | 3,564 | | | PTC Inc.* | | | 356,186 | |
| | 2,354 | | | RealPage Inc.* | | | 146,890 | |
| | 27,165 | | | Red Hat Inc.* | | | 4,013,085 | |
| | 1,975 | | | RingCentral Inc., Class A Shares* | | | 183,971 | |
| | 47,610 | | | salesforce.com Inc.* | | | 7,269,095 | |
| | 21,675 | | | ServiceNow Inc.* | | | 4,256,103 | |
| | 52,836 | | | Splunk Inc.* | | | 6,770,933 | |
| | 6,444 | | | SS&C Technologies Holdings Inc. | | | 382,387 | |
| | 19,269 | | | Symantec Corp. | | | 388,463 | |
| | 4,602 | | | Synopsys Inc.* | | | 470,048 | |
| | 2,063 | | | Tableau Software Inc., Class A Shares* | | | 230,767 | |
| | 3,519 | | | Take-Two Interactive Software Inc.* | | | 469,998 | |
| | 1,169 | | | Tyler Technologies Inc.* | | | 288,685 | |
| | 900 | | | Ultimate Software Group Inc. (The)* | | | 278,703 | |
| | 13,239 | | | VMware Inc., Class A Shares* | | | 2,029,009 | |
| | 4,526 | | | Workday Inc., Class A Shares* | | | 699,448 | |
| | 3,093 | | | Zendesk Inc.* | | | 213,077 | |
| | 26,531 | | | Zynga Inc., Class A Shares* | | | 110,369 | |
| | | | | | | | |
| | | | Total Software | | | 108,144,738 | |
| | | | | | | | |
| | Technology Hardware, Storage & Peripherals — 2.8% | |
| | 173,176 | | | Apple Inc. | | | 39,420,053 | |
| | 48,319 | | | Hewlett Packard Enterprise Co. | | | 798,713 | |
| | 51,067 | | | HP Inc. | | | 1,258,802 | |
| | 41,174 | | | NCR Corp.* | | | 1,169,753 | |
| | 8,355 | | | NetApp Inc. | | | 725,298 | |
| | 5,550 | | | Pure Storage Inc., Class A Shares* | | | 148,962 | |
| | 60,916 | | | Western Digital Corp. | | | 3,852,328 | |
| | 6,890 | | | Xerox Corp. | | | 191,955 | |
| | | | | | | | |
| | | | Total Technology Hardware, Storage & Peripherals | | | 47,565,864 | |
| | | | | | | | |
| | | | TOTAL INFORMATION TECHNOLOGY | | | 449,751,380 | |
| | | | | | | | |
| | MATERIALS — 3.3% | |
| | Chemicals — 2.1% | |
| | 6,801 | | | Air Products & Chemicals Inc. | | | 1,130,938 | |
| | 3,410 | | | Albemarle Corp. | | | 325,723 | |
| | 2,072 | | | Ashland Global Holdings Inc. | | | 174,462 | |
| | 6,581 | | | Axalta Coating Systems Ltd.* | | | 200,721 | |
| | 2,063 | | | Cabot Corp. | | | 133,930 | |
| | 45,277 | | | Celanese Corp., Class A Shares | | | 5,289,712 | |
| | 7,268 | | | CF Industries Holdings Inc. | | | 377,573 | |
| | 5,480 | | | Chemours Co. (The) | | | 238,928 | |
| | 192,261 | | | DowDuPont Inc. | | | 13,483,264 | |
See Notes to Financial Statements.
49
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | MATERIALS — 3.3% — (continued) | |
| | Chemicals — 2.1% — (continued) | |
| | 4,418 | | | Eastman Chemical Co. | | $ | 428,679 | |
| | 24,148 | | | Ecolab Inc. | | | 3,633,791 | |
| | 4,166 | | | FMC Corp. | | | 355,985 | |
| | 6,701 | | | Huntsman Corp. | | | 204,314 | |
| | 2,438 | | | International Flavors & Fragrances Inc. | | | 317,647 | |
| | 10,011 | | | LyondellBasell Industries NV, Class A Shares | | | 1,129,041 | |
| | 10,937 | | | Mosaic Co. (The) | | | 342,000 | |
| | 254 | | | NewMarket Corp. | | | 101,864 | |
| | 4,873 | | | Olin Corp. | | | 149,747 | |
| | 6,679 | | | Platform Specialty Products Corp.* | | | 88,564 | |
| | 7,736 | | | PPG Industries Inc. | | | 855,137 | |
| | 20,713 | | | Praxair Inc. | | | 3,276,589 | |
| | 4,084 | | | RPM International Inc. | | | 275,670 | |
| | 1,364 | | | Scotts Miracle-Gro Co. (The) | | | 101,918 | |
| | 42,270 | | | Sensient Technologies Corp. | | | 3,002,015 | |
| | 2,591 | | | Sherwin-Williams Co. (The) | | | 1,180,408 | |
| | 6,700 | | | Valvoline Inc. | | | 144,184 | |
| | 1,227 | | | Westlake Chemical Corp. | | | 116,037 | |
| | 1,990 | | | WR Grace & Co. | | | 140,613 | |
| | | | | | | | |
| | | | Total Chemicals | | | 37,199,454 | |
| | | | | | | | |
| | Construction Materials — 0.5% | |
| | 1,545 | | | Eagle Materials Inc. | | | 142,650 | |
| | 1,951 | | | Martin Marietta Materials Inc. | | | 387,702 | |
| | 67,176 | | | Vulcan Materials Co. | | | 7,443,101 | |
| | | | | | | | |
| | | | Total Construction Materials | | | 7,973,453 | |
| | | | | | | | |
| | Containers & Packaging — 0.3% | |
| | 1,936 | | | AptarGroup Inc. | | | 202,719 | |
| | 871 | | | Ardagh Group SA, Class A Shares | | | 13,953 | |
| | 2,661 | | | Avery Dennison Corp. | | | 279,884 | |
| | 10,693 | | | Ball Corp. | | | 447,823 | |
| | 2,799 | | | Bemis Co., Inc. | | | 137,935 | |
| | 3,850 | | | Berry Global Group Inc.* | | | 183,761 | |
| | 42,512 | | | Crown Holdings Inc.* | | | 1,819,939 | |
| | 10,314 | | | Graphic Packaging Holding Co. | | | 146,665 | |
| | 12,872 | | | International Paper Co. | | | 658,274 | |
| | 50,199 | | | Owens-Illinois Inc.* | | | 887,016 | |
| | 2,894 | | | Packaging Corp. of America | | | 318,109 | |
| | 5,313 | | | Sealed Air Corp. | | | 213,104 | |
| | 2,681 | | | Silgan Holdings Inc. | | | 73,057 | |
| | 2,921 | | | Sonoco Products Co. | | | 163,693 | |
| | 7,867 | | | WestRock Co. | | | 433,314 | |
| | | | | | | | |
| | | | Total Containers & Packaging | | | 5,979,246 | |
| | | | | | | | |
| | Metals & Mining — 0.4% | |
| | 5,826 | | | Alcoa Corp.* | | | 260,247 | |
| | 45,069 | | | Freeport-McMoRan Inc. | | | 633,219 | |
| | 16,520 | | | Newmont Mining Corp. | | | 512,616 | |
| | 10,035 | | | Nucor Corp. | | | 627,188 | |
| | 2,070 | | | Reliance Steel & Aluminum Co. | | | 181,932 | |
| | 2,121 | | | Royal Gold Inc. | | | 161,748 | |
| | 2,827 | | | Southern Copper Corp. | | | 123,370 | |
| | 74,251 | | | Steel Dynamics Inc. | | | 3,395,498 | |
| | 5,189 | | | United States Steel Corp. | | | 154,010 | |
| | | | | | | | |
| | | | Total Metals & Mining | | | 6,049,828 | |
| | | | | | | | |
See Notes to Financial Statements.
50
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | MATERIALS — 3.3% — (continued) | |
| | Paper & Forest Products — 0.0% | |
| | 2,146 | | | Domtar Corp. | | $ | 109,231 | |
| | | | | | | | |
| | | | TOTAL MATERIALS | | | 57,311,212 | |
| | | | | | | | |
| | REAL ESTATE — 2.3% | |
| | Equity Real Estate Investment Trusts (REITs) — 2.3% | |
| | 3,133 | | | Alexandria Real Estate Equities Inc. | | | 402,121 | |
| | 4,499 | | | American Campus Communities Inc. | | | 188,643 | |
| | 8,272 | | | American Homes 4 Rent, Class A Shares | | | 191,910 | |
| | 13,649 | | | American Tower Corp. | | | 2,035,339 | |
| | 4,798 | | | Apartment Investment & Management Co., Class A Shares | | | 210,152 | |
| | 7,347 | | | Apple Hospitality REIT Inc. | | | 129,675 | |
| | 4,266 | | | AvalonBay Communities Inc. | | | 781,915 | |
| | 4,771 | | | Boston Properties Inc. | | | 622,377 | |
| | 5,954 | | | Brandywine Realty Trust | | | 99,789 | |
| | 10,105 | | | Brixmor Property Group Inc. | | | 184,113 | |
| | 8,129 | | | Brookfield Property REIT Inc., Class A Shares* | | | 162,743 | |
| | 2,732 | | | Camden Property Trust | | | 259,704 | |
| | 15,766 | | | Colony Capital Inc. | | | 96,646 | |
| | 4,135 | | | Columbia Property Trust Inc. | | | 99,571 | |
| | 1,209 | | | CoreSite Realty Corp. | | | 140,812 | |
| | 2,886 | | | Corporate Office Properties Trust | | | 88,831 | |
| | 12,883 | | | Crown Castle International Corp. | | | 1,469,048 | |
| | 5,631 | | | CubeSmart | | | 172,027 | |
| | 2,903 | | | CyrusOne Inc. | | | 194,385 | |
| | 5,387 | | | DDR Corp. | | | 75,364 | |
| | 6,395 | | | Digital Realty Trust Inc. | | | 794,771 | |
| | 4,678 | | | Douglas Emmett Inc. | | | 182,723 | |
| | 11,082 | | | Duke Realty Corp. | | | 315,726 | |
| | 4,957 | | | Empire State Realty Trust Inc., Class A Shares | | | 87,194 | |
| | 2,164 | | | EPR Properties | | | 151,870 | |
| | 7,784 | | | Equinix Inc. | | | 3,394,836 | |
| | 3,972 | | | Equity Commonwealth* | | | 127,342 | |
| | 2,690 | | | Equity LifeStyle Properties Inc. | | | 260,607 | |
| | 139,155 | | | Equity Residential | | | 9,427,751 | |
| | 2,029 | | | Essex Property Trust Inc. | | | 499,702 | |
| | 3,783 | | | Extra Space Storage Inc. | | | 348,830 | |
| | 2,244 | | | Federal Realty Investment Trust | | | 293,089 | |
| | 7,016 | | | Forest City Realty Trust Inc., Class A Shares | | | 176,452 | |
| | 6,268 | | | Gaming and Leisure Properties Inc. | | | 224,332 | |
| | 14,596 | | | HCP Inc. | | | 394,530 | |
| | 6,097 | | | Healthcare Trust of America Inc., Class A Shares | | | 174,191 | |
| | 3,315 | | | Highwoods Properties Inc. | | | 164,888 | |
| | 4,714 | | | Hospitality Properties Trust | | | 136,659 | |
| | 22,798 | | | Host Hotels & Resorts Inc. | | | 490,841 | |
| | 4,784 | | | Hudson Pacific Properties Inc. | | | 161,891 | |
| | 8,858 | | | Invitation Homes Inc. | | | 207,011 | |
| | 8,835 | | | Iron Mountain Inc. | | | 318,944 | |
| | 3,340 | | | JBG SMITH Properties | | | 125,116 | |
| | 2,901 | | | Kilroy Realty Corp. | | | 212,179 | |
| | 12,660 | | | Kimco Realty Corp. | | | 216,613 | |
| | 2,524 | | | Lamar Advertising Co., Class A Shares | | | 194,474 | |
| | 4,487 | | | Liberty Property Trust | | | 196,306 | |
| | 1,510 | | | Life Storage Inc. | | | 147,376 | |
| | 4,219 | | | Macerich Co. (The) | | | 247,824 | |
| | 11,192 | | | Medical Properties Trust Inc. | | | 168,440 | |
See Notes to Financial Statements.
51
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | REAL ESTATE — 2.3% — (continued) | |
| | Equity Real Estate Investment Trusts (REITs) — 2.3% — (continued) | |
| | 3,499 | | | Mid-America Apartment Communities Inc. | | $ | 362,356 | |
| | 4,502 | | | National Retail Properties Inc. | | | 207,497 | |
| | 5,934 | | | Omega Healthcare Investors Inc. | | | 196,119 | |
| | 4,774 | | | Outfront Media Inc. | | | 94,859 | |
| | 7,238 | | | Paramount Group Inc. | | | 114,939 | |
| | 6,160 | | | Park Hotels & Resorts Inc. | | | 206,052 | |
| | 19,454 | | | Prologis Inc. | | | 1,306,920 | |
| | 4,610 | | | Public Storage | | | 979,994 | |
| | 4,316 | | | Rayonier Inc. | | | 150,326 | |
| | 8,819 | | | Realty Income Corp. | | | 516,529 | |
| | 4,696 | | | Regency Centers Corp. | | | 310,077 | |
| | 7,235 | | | Retail Properties of America Inc., Class A Shares | | | 92,102 | |
| | 538 | | | Retail Value Inc.* | | | 19,217 | |
| | 3,534 | | | SBA Communications Corp., Class A Shares* | | | 548,583 | |
| | 7,903 | | | Senior Housing Properties Trust | | | 151,026 | |
| | 9,586 | | | Simon Property Group Inc. | | | 1,754,526 | |
| | 2,583 | | | SL Green Realty Corp. | | | 269,665 | |
| | 14,385 | | | Spirit Realty Capital Inc. | | | 120,402 | |
| | 5,833 | | | STORE Capital Corp. | | | 168,049 | |
| | 2,367 | | | Sun Communities Inc. | | | 244,227 | |
| | 1,860 | | | Taubman Centers Inc. | | | 120,175 | |
| | 8,163 | | | UDR Inc. | | | 326,275 | |
| | 4,745 | | | Uniti Group Inc. | | | 98,791 | |
| | 11,063 | | | Ventas Inc. | | | 662,342 | |
| | 30,444 | | | VEREIT Inc. | | | 238,072 | |
| | 8,195 | | | VICI Properties Inc. | | | 171,357 | |
| | 5,329 | | | Vornado Realty Trust | | | 410,333 | |
| | 3,316 | | | Weingarten Realty Investors | | | 102,564 | |
| | 11,568 | | | Welltower Inc. | | | 771,701 | |
| | 23,551 | | | Weyerhaeuser Co. | | | 817,455 | |
| | 3,163 | | | WP Carey Inc. | | | 210,593 | |
| | | | | | | | |
| | | | Total Equity Real Estate Investment Trusts (REITs) | | | 39,190,796 | |
| | | | | | | | |
| | Real Estate Management & Development — 0.0% | |
| | 9,896 | | | CBRE Group Inc., Class A Shares* | | | 483,024 | |
| | 1,168 | | | Howard Hughes Corp. (The)* | | | 152,272 | |
| | 1,355 | | | Jones Lang LaSalle Inc. | | | 206,664 | |
| | 3,371 | | | Realogy Holdings Corp.(a) | | | 72,106 | |
| | | | | | | | |
| | | | Total Real Estate Management & Development | | | 914,066 | |
| | | | | | | | |
| | | | TOTAL REAL ESTATE | | | 40,104,862 | |
| | | | | | | | |
| | TELECOMMUNICATION SERVICES — 1.9% | |
| | Diversified Telecommunication Services — 1.8% | |
| | 486,757 | | | AT&T Inc. | | | 15,547,019 | |
| | 29,787 | | | CenturyLink Inc. | | | 636,250 | |
| | 284,449 | | | Verizon Communications Inc. | | | 15,465,492 | |
| | 6,495 | | | Zayo Group Holdings Inc.* | | | 225,117 | |
| | | | | | | | |
| | | | Total Diversified Telecommunication Services | | | 31,873,878 | |
| | | | | | | | |
| | Wireless Telecommunication Services — 0.1% | |
| | 18,626 | | | Sprint Corp.*(a) | | | 113,805 | |
| | 2,906 | | | Telephone & Data Systems Inc. | | | 87,296 | |
| | 9,533 | | | T-Mobile US Inc.* | | | 629,559 | |
| | 511 | | | United States Cellular Corp.* | | | 21,851 | |
| | | | | | | | |
| | | | Total Wireless Telecommunication Services | | | 852,511 | |
| | | | | | | | |
| | | | TOTAL TELECOMMUNICATION SERVICES | | | 32,726,389 | |
| | | | | | | | |
See Notes to Financial Statements.
52
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | UTILITIES — 1.8% | |
| | Electric Utilities — 1.3% | |
| | 7,243 | | | Alliant Energy Corp. | | $ | 310,290 | |
| | 15,366 | | | American Electric Power Co., Inc. | | | 1,102,203 | |
| | 1,954 | | | Avangrid Inc. | | | 96,410 | |
| | 21,860 | | | Duke Energy Corp. | | | 1,775,906 | |
| | 134,297 | | | Edison International | | | 8,827,342 | |
| | 5,652 | | | Entergy Corp. | | | 472,451 | |
| | 8,499 | | | Evergy Inc. | | | 484,868 | |
| | 9,882 | | | Eversource Energy | | | 616,933 | |
| | 30,171 | | | Exelon Corp. | | | 1,318,775 | |
| | 14,845 | | | FirstEnergy Corp. | | | 554,906 | |
| | 3,142 | | | Hawaiian Electric Industries Inc. | | | 110,818 | |
| | 14,691 | | | NextEra Energy Inc. | | | 2,498,939 | |
| | 5,952 | | | OGE Energy Corp. | | | 219,212 | |
| | 16,114 | | | PG&E Corp. | | | 744,145 | |
| | 3,503 | | | Pinnacle West Capital Corp. | | | 275,161 | |
| | 21,858 | | | PPL Corp. | | | 650,057 | |
| | 31,513 | | | Southern Co. (The) | | | 1,379,639 | |
| | 15,804 | | | Xcel Energy Inc. | | | 759,382 | |
| | | | | | | | |
| | | | Total Electric Utilities | | | 22,197,437 | |
| | | | | | | | |
| | Gas Utilities — 0.0% | |
| | 3,336 | | | Atmos Energy Corp. | | | 307,679 | |
| | 2,321 | | | National Fuel Gas Co. | | | 128,885 | |
| | 5,387 | | | UGI Corp. | | | 291,168 | |
| | | | | | | | |
| | | | Total Gas Utilities | | | 727,732 | |
| | | | | | | | |
| | Independent Power and Renewable Electricity Producers — 0.1% | |
| | 20,733 | | | AES Corp. | | | 279,066 | |
| | 9,770 | | | NRG Energy Inc. | | | 345,761 | |
| | 12,711 | | | Vistra Energy Corp.* | | | 299,217 | |
| | | | | | | | |
| | | | Total Independent Power and Renewable Electricity Producers | | | 924,044 | |
| | | | | | | | |
| | Multi-Utilities — 0.4% | |
| | 7,637 | | | Ameren Corp. | | | 482,888 | |
| | 13,462 | | | CenterPoint Energy Inc. | | | 374,109 | |
| | 8,798 | | | CMS Energy Corp. | | | 433,214 | |
| | 9,801 | | | Consolidated Edison Inc. | | | 773,593 | |
| | 20,298 | | | Dominion Energy Inc. | | | 1,436,489 | |
| | 5,648 | | | DTE Energy Co. | | | 627,719 | |
| | 5,807 | | | MDU Resources Group Inc. | | | 161,957 | |
| | 11,483 | | | NiSource Inc. | | | 310,845 | |
| | 15,750 | | | Public Service Enterprise Group Inc. | | | 824,512 | |
| | 4,154 | | | SCANA Corp. | | | 159,264 | |
| | 8,233 | | | Sempra Energy | | | 955,687 | |
| | 2,466 | | | Vectren Corp. | | | 175,579 | |
| | 9,919 | | | WEC Energy Group Inc. | | | 670,326 | |
| | | | | | | | |
| | | | Total Multi-Utilities | | | 7,386,182 | |
| | | | | | | | |
| | Water Utilities — 0.0% | |
| | 5,545 | | | American Water Works Co., Inc. | | | 485,354 | |
| | 5,458 | | | Aqua America Inc. | | | 202,928 | |
| | | | | | | | |
| | | | Total Water Utilities | | | 688,282 | |
| | | | | | | | |
| | | | TOTAL UTILITIES | | | 31,923,677 | |
| | | | | | | | |
| | | | TOTAL COMMON STOCKS
(Cost — $1,048,944,092) | | | 1,624,659,101 | |
| | | | | | | | |
See Notes to Financial Statements.
53
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | CLOSED END MUTUAL FUND SECURITY — 4.7% | |
| | FINANCIALS — 4.7% | |
| | Capital Markets — 4.7% | |
| | 1,440,000 | | | iShares Core S&P U.S. Value, Common Class
(Cost — $81,849,456) | | $ | 81,388,800 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $1,130,793,548) | | | 1,706,047,901 | |
| | | | | | | | |
| | |
Face
Amount† | | | | | | |
| | SHORT-TERM INVESTMENTS (c) — 1.6% | |
| | MONEY MARKET FUND — 0.4% | |
| $ | 6,403,240 | | | Invesco STIT — Government & Agency Portfolio, 1.820%, Institutional Class(d)
(Cost — $6,403,240) | | | 6,403,240 | |
| | | | | | | | |
| | TIME DEPOSITS — 1.2% | |
| | 10,105,832 | | | Banco Santander SA — Frankfurt, 1.280% due 9/4/18 | | | 10,105,832 | |
| | 46,037 | | | Barclays Bank PLC — London, 1.280% due 9/4/18 | | | 46,037 | |
| | 5,555 | CAD | | BBH — Grand Cayman, 0.590% due 9/4/18 | | | 4,257 | |
| | 1,544,294 | | | BNP Paribas — Paris, 1.280% due 9/4/18 | | | 1,544,294 | |
| | 9,287,450 | | | Deutsche Bank AG — Grand Cayman, 1.280% due 9/4/18 | | | 9,287,450 | |
| | | | | | | | |
| | | | TOTAL TIME DEPOSITS
(Cost — $20,987,803) | | | 20,987,870 | |
| | | | | | | | |
| | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $27,391,043) | | | 27,391,110 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 99.8%
(Cost — $1,158,184,591) | | | 1,733,439,011 | |
| | | | | | | | |
| | | | Other Assets in Excess of Liabilities — 0.2% | | | 3,094,127 | |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 1,736,533,138 | |
| | | | | | | | |
| † | 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). |
| (b) | Affiliated security (See Note 2). As at August 31, 2018, total cost and total market value of affiliated securities amounted to $939,278 and $1,898,462, respectively. |
| (c) | Inclusive of all short-term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 1.2%. |
| (d) | Represents investment of collateral received from securities lending transactions. |
At August 31, 2018, for Large Cap Equity Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost for
Federal Income
Tax Purposes | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net Unrealized
Appreciation | |
Large Cap Equity Fund | | $ | 1,171,415,698 | | | $ | 606,201,585 | | | $ | (43,736,633 | ) | | $ | 562,464,952 | |
| | |
Abbreviations used in this schedule: |
| ADR | | — American Depositary Receipts |
| PLC | | — Public Limited Company |
| REIT | | — Real Estate Investment Trust |
See Notes to Financial Statements.
54
| | | | |
| Large Cap Equity Fund | | | |
|
| Summary of Investments by Security Sector^ | |
Information Technology | | | 26.0 | % |
Financials | | | 16.1 | |
Health Care | | | 15.4 | |
Consumer Discretionary | | | 11.2 | |
Industrials | | | 8.5 | |
Consumer Staples | | | 6.1 | |
Energy | | | 5.8 | |
Materials | | | 3.3 | |
Real Estate | | | 2.3 | |
Telecommunication Services | | | 1.9 | |
Utilities | | | 1.8 | |
Short-Term Investments | | | 1.6 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
At August 31, 2018, Large Cap Equity Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Market
Value | | | Unrealized
Appreciation | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
S&P 500 E-mini Index September Futures | | | 74 | | | | 9/18 | | | $ | 10,312,263 | | | $ | 10,737,400 | | | $ | 425,137 | |
S&P MidCap 400 E-mini Index September Futures | | | 5 | | | | 9/18 | | | | 1,006,298 | | | | 1,022,800 | | | | 16,502 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 441,639 | |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2018, Large Cap Equity Fund had deposited cash of $467,984 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
| | |
Currency Abbreviation used in this schedule: |
| CAD | | — Canadian Dollar |
See Notes to Financial Statements.
55
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | COMMON STOCKS — 94.3% | |
| | CONSUMER DISCRETIONARY — 12.5% | |
| | Auto Components — 0.8% | |
| | 3,509 | | | | | Adient PLC | | $ | 151,905 | |
| | 4,182 | | | | | American Axle & Manufacturing Holdings Inc.* | | | 74,063 | |
| | 79,292 | | | | | Cooper Tire & Rubber Co. | | | 2,287,574 | |
| | 673 | | | | | Cooper-Standard Holdings Inc.* | | | 93,163 | |
| | 5,465 | | | | | Dana Inc. | | | 106,950 | |
| | 1,006 | | | | | Dorman Products Inc.* | | | 81,466 | |
| | 1,351 | | | | | Fox Factory Holding Corp.* | | | 89,233 | |
| | 10,847 | | | | | Gentex Corp. | | | 253,603 | |
| | 1,379 | | | | | Gentherm Inc.* | | | 67,847 | |
| | 9,018 | | | | | Goodyear Tire & Rubber Co. (The) | | | 204,618 | |
| | 912 | | | | | LCI Industries | | | 84,770 | |
| | 1,855 | | | | | Modine Manufacturing Co.* | | | 31,257 | |
| | 790 | | | | | Motorcar Parts of America Inc.* | | | 20,967 | |
| | 448 | | | | | Shiloh Industries Inc.* | | | 4,023 | |
| | 967 | | | | | Standard Motor Products Inc. | | | 49,095 | |
| | 1,018 | | | | | Stoneridge Inc.* | | | 30,469 | |
| | 815 | | | | | Superior Industries International Inc. | | | 17,685 | |
| | 1,901 | | | | | Tenneco Inc. | | | 81,344 | |
| | 706 | | | | | Tower International Inc. | | | 23,863 | |
| | 1,108 | | | | | Visteon Corp.* | | | 122,312 | |
| | | | | | | | | | |
| | | | | | Total Auto Components | | | 3,876,207 | |
| | | | | | | | | | |
| | Automobiles — 0.1% | | | | |
| | 6,518 | | | | | Harley-Davidson Inc. | | | 277,797 | |
| | 1,882 | | | | | Thor Industries Inc. | | | 179,618 | |
| | 1,156 | | | | | Winnebago Industries Inc. | | | 42,715 | |
| | | | | | | | | | |
| | | | | | Total Automobiles | | | 500,130 | |
| | | | | | | | | | |
| | Distributors — 0.3% | | | | |
| | 1,708 | | | | | Core-Mark Holding Co., Inc. | | | 61,095 | |
| | 400 | | | | | Funko Inc., Class A Shares* | | | 10,168 | |
| | 29,680 | | | | | LKQ Corp.* | | | 1,024,554 | |
| | 1,528 | | | | | Pool Corp. | | | 250,989 | |
| | 241 | | | | | Weyco Group Inc. | | | 8,548 | |
| | | | | | | | | | |
| | | | | | Total Distributors | | | 1,355,354 | |
| | | | | | | | | | |
| | Diversified Consumer Services — 1.0% | | | | |
| | 2,367 | | | | | Adtalem Global Education Inc.* | | | 113,261 | |
| | 599 | | | | | American Public Education Inc.* | | | 20,815 | |
| | 13,815 | | | | | Bright Horizons Family Solutions Inc.* | | | 1,649,926 | |
| | 318 | | | | | Cambium Learning Group Inc.* | | | 4,255 | |
| | 2,550 | | | | | Career Education Corp.* | | | 40,673 | |
| | 581 | | | | | Carriage Services Inc., Class A Shares | | | 13,229 | |
| | 3,977 | | | | | Chegg Inc.* | | | 128,775 | |
| | 178 | | | | | Graham Holdings Co., Class B Shares | | | 100,152 | |
| | 1,773 | | | | | Grand Canyon Education Inc.* | | | 211,235 | |
| | 8,093 | | | | | H&R Block Inc. | | | 218,997 | |
| | 3,761 | | | | | Houghton Mifflin Harcourt Co.* | | | 24,258 | |
| | 1,507 | | | | | K12 Inc.* | | | 24,956 | |
| | 1,888 | | | | | Laureate Education Inc., Class A Shares* | | | 30,151 | |
| | 1,282 | | | | | Regis Corp.* | | | 27,422 | |
| | 6,829 | | | | | Service Corp. International | | | 286,545 | |
| | 33,983 | | | | | ServiceMaster Global Holdings Inc.* | | | 2,048,155 | |
| | 1,390 | | | | | Sotheby’s* | | | 66,748 | |
See Notes to Financial Statements.
56
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | CONSUMER DISCRETIONARY — 12.5% — (continued) | |
| | Diversified Consumer Services — 1.0% — (continued) | | | | |
| | 782 | | | | | Strategic Education Inc. | | $ | 108,518 | |
| | 1,437 | | | | | Weight Watchers International Inc.* | | | 107,631 | |
| | | | | | | | | | |
| | | | | | Total Diversified Consumer Services | | | 5,225,702 | |
| | | | | | | | | | |
| | Hotels, Restaurants & Leisure — 2.6% | | | | |
| | 22,103 | | | | | Aramark | | | 907,991 | |
| | 2,447 | | | | | BBX Capital Corp., Class A Shares | | | 18,181 | |
| | 3,356 | | | | | Belmond Ltd., Class A Shares* | | | 56,213 | |
| | 4 | | | | | Biglari Holdings Inc., Class A Shares* | | | 3,832 | |
| | 43 | | | | | Biglari Holdings Inc., Class B Shares* | | | 8,495 | |
| | 765 | | | | | BJ’s Restaurants Inc. | | | 57,911 | |
| | 3,468 | | | | | Bloomin’ Brands Inc. | | | 66,932 | |
| | 324 | | | | | Bluegreen Vacations Corp. | | | 6,052 | |
| | 577 | | | | | Bojangles’ Inc.* | | | 8,424 | |
| | 3,071 | | | | | Boyd Gaming Corp. | | | 111,846 | |
| | 1,637 | | | | | Brinker International Inc. | | | 72,486 | |
| | 23,518 | | | | | Caesars Entertainment Corp.* | | | 239,884 | |
| | 1,274 | | | | | Carrols Restaurant Group Inc.* | | | 20,129 | |
| | 1,025 | | | | | Century Casinos Inc.* | | | 8,200 | |
| | 1,594 | | | | | Cheesecake Factory Inc. (The) | | | 84,753 | |
| | 1,401 | | | | | Choice Hotels International Inc. | | | 109,348 | |
| | 439 | | | | | Churchill Downs Inc. | | | 124,061 | |
| | 618 | | | | | Chuy’s Holdings Inc.* | | | 17,891 | |
| | 763 | | | | | Cracker Barrel Old Country Store Inc.(a) | | | 113,756 | |
| | 16,846 | | | | | Dave & Buster’s Entertainment Inc.* | | | 979,932 | |
| | 686 | | | | | Del Frisco’s Restaurant Group Inc.* | | | 6,483 | |
| | 1,108 | | | | | Del Taco Restaurants Inc.* | | | 14,326 | |
| | 2,343 | | | | | Denny’s Corp.* | | | 35,309 | |
| | 625 | | | | | Dine Brands Global Inc. | | | 52,138 | |
| | 1,623 | | | | | Domino’s Pizza Inc. | | | 484,563 | |
| | 3,077 | | | | | Drive Shack Inc.* | | | 19,077 | |
| | 3,242 | | | | | Dunkin’ Brands Group Inc.(a) | | | 236,309 | |
| | 983 | | | | | El Pollo Loco Holdings Inc.* | | | 11,698 | |
| | 43,130 | | | | | Eldorado Resorts Inc.* | | | 2,072,397 | |
| | 24 | | | | | Empire Resorts Inc.* | | | 299 | |
| | 7,096 | | | | | Extended Stay America Inc. | | | 143,197 | |
| | 893 | | | | | Fiesta Restaurant Group Inc.* | | | 25,674 | |
| | 890 | | | | | Golden Entertainment Inc.* | | | 25,819 | |
| | 705 | | | | | Habit Restaurants Inc. (The), Class A Shares* | | | 11,668 | |
| | 3,621 | | | | | Hilton Grand Vacations Inc.* | | | 118,262 | |
| | 1,700 | | | | | Hyatt Hotels Corp., Class A Shares | | | 131,512 | |
| | 3,696 | | | | | International Game Technology PLC | | | 77,764 | |
| | 978 | | | | | International Speedway Corp., Class A Shares | | | 43,179 | |
| | 603 | | | | | J Alexander’s Holdings Inc.* | | | 7,477 | |
| | 1,193 | | | | | Jack in the Box Inc. | | | 108,134 | |
| | 148,756 | | | | | Lindblad Expeditions Holdings Inc.* | | | 2,259,604 | |
| | 1,450 | | | | | Marriott Vacations Worldwide Corp. | | | 172,550 | |
| | 451 | | | | | Monarch Casino & Resort Inc.* | | | 21,220 | |
| | 109 | | | | | Nathan’s Famous Inc. | | | 9,668 | |
| | 502 | | | | | Noodles & Co., Class A Shares* | | | 6,175 | |
| | 842 | | | | | Papa John’s International Inc.(a) | | | 38,833 | |
| | 3,190 | | | | | Penn National Gaming Inc.* | | | 109,927 | |
| | 1,950 | | | | | Pinnacle Entertainment Inc.* | | | 66,768 | |
| | 3,301 | | | | | Planet Fitness Inc., Class A Shares* | | | 169,572 | |
| | 610 | | | | | PlayAGS Inc.* | | | 19,544 | |
See Notes to Financial Statements.
57
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | CONSUMER DISCRETIONARY — 12.5% — (continued) | |
| | Hotels, Restaurants & Leisure — 2.6% — (continued) | | | | |
| | 807 | | | | | Potbelly Corp.* | | $ | 10,935 | |
| | 336 | | | | | RCI Hospitality Holdings Inc. | | | 10,896 | |
| | 657 | | | | | Red Lion Hotels Corp.* | | | 8,968 | |
| | 462 | | | | | Red Robin Gourmet Burgers Inc.* | | | 19,081 | |
| | 2,593 | | | | | Red Rock Resorts Inc., Class A Shares | | | 84,636 | |
| | 1,095 | | | | | Ruth’s Hospitality Group Inc. | | | 33,726 | |
| | 2,051 | | | | | Scientific Games Corp., Class A Shares* | | | 62,145 | |
| | 23,852 | | | | | SeaWorld Entertainment Inc.* | | | 699,341 | |
| | 921 | | | | | Shake Shack Inc., Class A Shares* | | | 55,674 | |
| | 2,788 | | | | | Six Flags Entertainment Corp.(a) | | | 188,329 | |
| | 1,331 | | | | | Sonic Corp. | | | 47,730 | |
| | 346 | | | | | Speedway Motorsports Inc. | | | 6,190 | |
| | 9,735 | | | | | Texas Roadhouse Inc., Class A Shares | | | 671,228 | |
| | 677 | | | | | Town Sports International Holdings Inc.* | | | 6,195 | |
| | 1,547 | | | | | Vail Resorts Inc. | | | 461,083 | |
| | 7,455 | | | | | Wendy’s Co. (The) | | | 131,581 | |
| | 1,192 | | | | | Wingstop Inc. | | | 79,804 | |
| | 3,835 | | | | | Wyndham Hotels & Resorts Inc. | | | 217,636 | |
| | 3,659 | | | | | Wyndham Worldwide Corp. | | | 161,728 | |
| | 13,720 | | | | | Yum! Brands Inc. | | | 1,192,131 | |
| | 599 | | | | | Zoe’s Kitchen Inc.* | | | 8,206 | |
| | | | | | | | | | |
| | | | | | Total Hotels, Restaurants & Leisure | | | 13,672,706 | |
| | | | | | | | | | |
| | Household Durables — 0.9% | | | | |
| | 675 | | | | | AV Homes Inc.* | | | 14,479 | |
| | 339 | | | | | Bassett Furniture Industries Inc. | | | 7,916 | |
| | 1,313 | | | | | Beazer Homes USA Inc.* | | | 16,820 | |
| | 319 | | | | | Cavco Industries Inc.* | | | 78,283 | |
| | 1,196 | | | | | Century Communities Inc.* | | | 34,983 | |
| | 861 | | | | | Ethan Allen Interiors Inc. | | | 19,157 | |
| | 295 | | | | | Flexsteel Industries Inc. | | | 10,526 | |
| | 5,047 | | | | | GoPro Inc., Class A Shares*(a) | | | 32,351 | |
| | 917 | | | | | Green Brick Partners Inc.* | | | 9,583 | |
| | 230 | | | | | Hamilton Beach Brands Holding Co., Class A Shares | | | 5,324 | |
| | 1,000 | | | | | Helen of Troy Ltd.* | | | 118,950 | |
| | 439 | | | | | Hooker Furniture Corp. | | | 18,460 | |
| | 5,152 | | | | | Hovnanian Enterprises Inc., Class A Shares* | | | 8,037 | |
| | 821 | | | | | Installed Building Products Inc.* | | | 38,218 | |
| | 1,010 | | | | | iRobot Corp.*(a) | | | 114,635 | |
| | 3,194 | | | | | KB Home | | | 79,371 | |
| | 1,745 | | | | | La-Z-Boy Inc. | | | 58,021 | |
| | 5,143 | | | | | Leggett & Platt Inc. | | | 233,698 | |
| | 796 | | | | | LGI Homes Inc.* | | | 45,850 | |
| | 440 | | | | | Lifetime Brands Inc. | | | 5,126 | |
| | 1,108 | | | | | M/I Homes Inc.* | | | 28,708 | |
| | 1,925 | | | | | MDC Holdings Inc. | | | 61,022 | |
| | 1,431 | | | | | Meritage Homes Corp.* | | | 61,748 | |
| | 10,248 | | | | | Mohawk Industries Inc.* | | | 1,963,414 | |
| | 522 | | | | | New Home Co., Inc. (The)* | | | 4,583 | |
| | 121 | | | | | NVR Inc.* | | | 322,882 | |
| | 9,691 | | | | | PulteGroup Inc. | | | 270,863 | |
| | 1,616 | | | | | Roku Inc., Class A Shares* | | | 96,136 | |
| | 310 | | | | | Skyline Champion Corp. | | | 8,962 | |
| | 4,161 | | | | | Taylor Morrison Home Corp., Class A Shares* | | | 80,973 | |
| | 9,740 | | | | | Tempur Sealy International Inc.*(a) | | | 539,499 | |
See Notes to Financial Statements.
58
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | CONSUMER DISCRETIONARY — 12.5% — (continued) | |
| | Household Durables — 0.9% — (continued) | | | | |
| | 5,497 | | | | | Toll Brothers Inc. | | $ | 199,156 | |
| | 1,323 | | | | | TopBuild Corp.* | | | 82,396 | |
| | 5,621 | | | | | TRI Pointe Group Inc.* | | | 81,448 | |
| | 1,911 | | | | | Tupperware Brands Corp. | | | 62,146 | |
| | 230 | | | | | Turtle Beach Corp.* | | | 5,269 | |
| | 483 | | | | | Universal Electronics Inc.* | | | 20,866 | |
| | 1,091 | | | | | Vuzix Corp.* | | | 7,091 | |
| | 1,194 | | | | | William Lyon Homes, Class A Shares* | | | 23,367 | |
| | 1,005 | | | | | ZAGG Inc.* | | | 16,281 | |
| | | | | | | | | | |
| | | | | | Total Household Durables | | | 4,886,598 | |
| | | | | | | | | | |
| | Internet & Direct Marketing Retail — 0.2% | | | | |
| | 954 | | | | | 1-800-Flowers.com Inc., Class A Shares* | | | 11,496 | |
| | 317 | | | | | Duluth Holdings Inc., Class B Shares* | | | 9,174 | |
| | 379 | | | | | Gaia Inc., Class A Shares* | | | 6,632 | |
| | 16,469 | | | | | Groupon Inc., Class A Shares* | | | 70,323 | |
| | 409 | | | | | Lands’ End Inc.* | | | 10,511 | |
| | 2,036 | | | | | Liberty Expedia Holdings Inc., Class A Shares* | | | 93,961 | |
| | 2,712 | | | | | Liberty TripAdvisor Holdings Inc., Class A Shares* | | | 42,985 | |
| | 1,102 | | | | | Nutrisystem Inc. | | | 40,774 | |
| | 774 | | | | | Overstock.com Inc.*(a) | | | 22,601 | |
| | 829 | | | | | PetMed Express Inc. | | | 30,416 | |
| | 1,232 | | | | | Shutterfly Inc.* | | | 95,702 | |
| | 3,906 | | | | | TripAdvisor Inc.* | | | 212,135 | |
| | 2,165 | | | | | Wayfair Inc., Class A Shares* | | | 292,643 | |
| | | | | | | | | | |
| | | | | | Total Internet & Direct Marketing Retail | | | 939,353 | |
| | | | | | | | | | |
| | Leisure Products — 0.2% | | | | |
| | 1,598 | | | | | Acushnet Holdings Corp. | | | 43,226 | |
| | 2,512 | | | | | American Outdoor Brands Corp.* | | | 35,243 | |
| | 3,420 | | | | | Brunswick Corp. | | | 227,157 | |
| | 3,529 | | | | | Callaway Golf Co. | | | 80,497 | |
| | 457 | | | | | Clarus Corp. | | | 4,730 | |
| | 544 | | | | | Escalade Inc. | | | 7,235 | |
| | 187 | | | | | Johnson Outdoors Inc., Class A Shares | | | 18,939 | |
| | 768 | | | | | Malibu Boats Inc., Class A Shares* | | | 37,025 | |
| | 338 | | | | | Marine Products Corp. | | | 6,638 | |
| | 13,335 | | | | | Mattel Inc.* | | | 205,759 | |
| | 618 | | | | | MCBC Holdings Inc.* | | | 17,038 | |
| | 1,140 | | | | | Nautilus Inc.* | | | 16,701 | |
| | 2,309 | | | | | Polaris Industries Inc. | | | 250,411 | |
| | 630 | | | | | Sturm Ruger & Co., Inc.(a) | | | 41,234 | |
| | 2,132 | | | | | Vista Outdoor Inc.* | | | 39,378 | |
| | | | | | | | | | |
| | | | | | Total Leisure Products | | | 1,031,211 | |
| | | | | | | | | | |
| | Media — 1.3% | | | | |
| | 1,941 | | | | | AMC Entertainment Holdings Inc., Class A Shares | | | 36,976 | |
| | 1,661 | | | | | AMC Networks Inc., Class A Shares* | | | 104,327 | |
| | 444 | | | | | Beasley Broadcast Group Inc., Class A Shares | | | 3,352 | |
| | 110 | | | | | Boston Omaha Corp., Class A Shares* | | | 2,856 | |
| | 168 | | | | | Cable One Inc. | | | 140,740 | |
| | 3,403 | | | | | Central European Media Enterprises Ltd., Class A Shares* | | | 12,931 | |
| | 4,183 | | | | | Cinemark Holdings Inc. | | | 156,110 | |
| | 1,440 | | | | | Clear Channel Outdoor Holdings Inc., Class A Shares | | | 6,552 | |
| | 40 | | | | | Daily Journal Corp.*(a) | | | 9,538 | |
See Notes to Financial Statements.
59
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | CONSUMER DISCRETIONARY — 12.5% — (continued) | |
| | Media — 1.3% — (continued) | | | | |
| | 930 | | | | | Emerald Expositions Events Inc. | | $ | 14,527 | |
| | 4,792 | | | | | Entercom Communications Corp., Class A Shares(a) | | | 37,617 | |
| | 2,760 | | | | | Entravision Communications Corp., Class A Shares | | | 14,490 | |
| | 1,081 | | | | | Eros International PLC*(a) | | | 12,215 | |
| | 1,633 | | | | | EW Scripps Co. (The), Class A Shares | | | 23,956 | |
| | 636 | | | | | Fluent Inc.*(a) | | | 1,526 | |
| | 4,236 | | | | | Gannett Co., Inc. | | | 43,546 | |
| | 3,971 | | | | | GCI Liberty Inc., Class A Shares* | | | 194,897 | |
| | 2,986 | | | | | Gray Television Inc.* | | | 52,106 | |
| | 634 | | | | | Hemisphere Media Group Inc., Class A Shares* | | | 8,686 | |
| | 2,050 | | | | | IMAX Corp.* | | | 48,175 | |
| | 14,795 | | | | | Interpublic Group of Cos., Inc. (The) | | | 345,463 | |
| | 1,762 | | | | | John Wiley & Sons Inc., Class A Shares | | | 113,737 | |
| | 1,990 | | | | | Liberty Latin America Ltd., Class A Shares* | | | 39,223 | |
| | 4,230 | | | | | Liberty Latin America Ltd., Class C Shares* | | | 83,035 | |
| | 367 | | | | | Liberty Media Corp-Liberty Braves, Class A Shares* | | | 9,792 | |
| | 1,524 | | | | | Liberty Media Corp-Liberty Braves, Class C Shares* | | | 40,493 | |
| | 1,078 | | | | | Liberty Media Corp-Liberty Formula One, Class A Shares* | | | 37,708 | |
| | 7,369 | | | | | Liberty Media Corp-Liberty Formula One, Class C Shares* | | | 272,358 | |
| | 1,836 | | | | | Lions Gate Entertainment Corp., Class A Shares | | | 43,183 | |
| | 38,341 | | | | | Lions Gate Entertainment Corp., Class B Shares | | | 860,755 | |
| | 5,330 | | | | | Live Nation Entertainment Inc.* | | | 264,794 | |
| | 198 | | | | | LiveXLive Media Inc.* | | | 1,004 | |
| | 523 | | | | | Loral Space & Communications Inc.* | | | 23,195 | |
| | 4,543 | | | | | Madison Square Garden Co. (The), Class A Shares* | | | 1,371,713 | |
| | 847 | | | | | Marcus Corp. (The) | | | 34,388 | |
| | 2,388 | | | | | MDC Partners Inc., Class A Shares* | | | 11,582 | |
| | 1,471 | | | | | Meredith Corp.(a) | | | 75,977 | |
| | 17,535 | | | | | MSG Networks Inc., Class A Shares* | | | 426,101 | |
| | 2,889 | | | | | National CineMedia Inc. | | | 26,290 | |
| | 2,250 | | | | | New Media Investment Group Inc. | | | 35,775 | |
| | 5,175 | | | | | New York Times Co. (The), Class A Shares | | | 120,577 | |
| | 14,397 | | | | | Nexstar Media Group Inc., Class A Shares | | | 1,180,554 | |
| | 609 | | | | | Reading International Inc., Class A Shares* | | | 9,805 | |
| | 152 | | | | | Saga Communications Inc., Class A Shares | | | 5,776 | |
| | 1,049 | | | | | Scholastic Corp. | | | 44,100 | |
| | 2,686 | | | | | Sinclair Broadcast Group Inc., Class A Shares | | | 77,760 | |
| | 8,091 | | | | | TEGNA Inc. | | | 94,179 | |
| | 3,500 | | | | | Tribune Media Co., Class A Shares | | | 129,115 | |
| | 653 | | | | | tronc Inc.* | | | 10,775 | |
| | 1,084 | | | | | WideOpenWest Inc.* | | | 12,629 | |
| | 1,655 | | | | | World Wrestling Entertainment Inc., Class A Shares | | | 144,664 | |
| | | | | | | | | | |
| | | | | | Total Media | | | 6,871,623 | |
| | | | | | | | | | |
| | Multiline Retail — 0.6% | | | | |
| | 1,712 | | | | | Big Lots Inc. | | | 73,702 | |
| | 441 | | | | | Dillard’s Inc., Class A Shares | | | 34,654 | |
| | 11,312 | | | | | Dollar General Corp. | | | 1,218,642 | |
| | 8,085 | | | | | Dollar Tree Inc.* | | | 650,923 | |
| | 11,493 | | | | | JC Penney Co., Inc.*(a) | | | 20,343 | |
| | 6,480 | | | | | Kohl’s Corp. | | | 512,633 | |
| | 4,592 | | | | | Nordstrom Inc. | | | 288,607 | |
| | 2,019 | | | | | Ollie’s Bargain Outlet Holdings Inc.* | | | 175,855 | |
| | 3,860 | | | | | Sears Holdings Corp.*(a) | | | 5,172 | |
| | | | | | | | | | |
| | | | | | Total Multiline Retail | | | 2,980,531 | |
| | | | | | | | | | |
See Notes to Financial Statements.
60
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | CONSUMER DISCRETIONARY — 12.5% — (continued) | |
| | Specialty Retail — 3.1% | | | | |
| | 2,627 | | | | | Aaron’s Inc. | | $ | 130,614 | |
| | 2,540 | | | | | Abercrombie & Fitch Co., Class A Shares | | | 55,042 | |
| | 5,942 | | | | | Advance Auto Parts Inc. | | | 974,666 | |
| | 49,594 | | | | | American Eagle Outfitters Inc. | | | 1,287,460 | |
| | 225 | | | | | America’s Car-Mart Inc.* | | | 18,776 | |
| | 769 | | | | | Asbury Automotive Group Inc.* | | | 57,290 | |
| | 6,121 | | | | | Ascena Retail Group Inc.* | | | 28,034 | |
| | 995 | | | | | At Home Group Inc.* | | | 34,238 | |
| | 2,082 | | | | | AutoNation Inc.* | | | 94,419 | |
| | 1,751 | | | | | Barnes & Noble Education Inc.* | | | 10,471 | |
| | 2,335 | | | | | Barnes & Noble Inc. | | | 12,259 | |
| | 5,379 | | | | | Bed Bath & Beyond Inc. | | | 96,499 | |
| | 625 | | | | | Big 5 Sporting Goods Corp. | | | 3,562 | |
| | 727 | | | | | Boot Barn Holdings Inc.* | | | 21,759 | |
| | 1,051 | | | | | Buckle Inc. (The) | | | 27,063 | |
| | 2,591 | | | | | Burlington Stores Inc.* | | | 435,754 | |
| | 1,574 | | | | | Caleres Inc. | | | 63,716 | |
| | 1,173 | | | | | Camping World Holdings Inc., Class A Shares(a) | | | 24,293 | |
| | 10,182 | | | | | Carvana Co., Class A Shares*(a) | | | 659,183 | |
| | 835 | | | | | Cato Corp. (The), Class A Shares | | | 17,911 | |
| | 37,684 | | | | | Chico’s FAS Inc. | | | 343,678 | |
| | 597 | | | | | Children’s Place Inc. (The) | | | 84,028 | |
| | 480 | | | | | Citi Trends Inc. | | | 14,851 | |
| | 779 | | | | | Conn’s Inc.* | | | 31,939 | |
| | 934 | | | | | Container Store Group Inc. (The)* | | | 10,554 | |
| | 2,905 | | | | | Dick’s Sporting Goods Inc. | | | 108,763 | |
| | 2,796 | | | | | DSW Inc., Class A Shares | | | 92,995 | |
| | 37,757 | | | | | Express Inc.* | | | 423,634 | |
| | 2,101 | | | | | Five Below Inc.* | | | 244,703 | |
| | 1,599 | | | | | Floor & Decor Holdings Inc., Class A Shares* | | | 58,779 | |
| | 4,405 | | | | | Foot Locker Inc. | | | 217,167 | |
| | 1,321 | | | | | Francesca’s Holdings Corp.* | | | 8,296 | |
| | 3,747 | | | | | GameStop Corp., Class A Shares(a) | | | 49,723 | |
| | 723 | | | | | Genesco Inc.* | | | 36,765 | |
| | 3,513 | | | | | GNC Holdings Inc., Class A Shares* | | | 10,890 | |
| | 836 | | | | | Group 1 Automotive Inc. | | | 64,447 | |
| | 2,151 | | | | | Guess? Inc. | | | 52,699 | |
| | 781 | | | | | Haverty Furniture Cos., Inc. | | | 17,260 | |
| | 705 | | | | | Hibbett Sports Inc.* | | | 14,488 | |
| | 1,489 | | | | | Hudson Ltd., Class A Shares* | | | 30,673 | |
| | 421 | | | | | J. Jill Inc.* | | | 2,543 | |
| | 609 | | | | | Kirkland’s Inc.* | | | 5,536 | |
| | 1,004 | | | | | Lithia Motors Inc., Class A Shares | | | 86,746 | |
| | 1,030 | | | | | Lumber Liquidators Holdings Inc.* | | | 17,953 | |
| | 799 | | | | | MarineMax Inc.* | | | 17,977 | |
| | 4,095 | | | | | Michaels Cos., Inc. (The)* | | | 69,574 | |
| | 1,194 | | | | | Monro Inc. | | | 84,714 | |
| | 1,161 | | | | | Murphy USA Inc.* | | | 96,340 | |
| | 15,822 | | | | | National Vision Holdings Inc.* | | | 700,124 | |
| | 22,397 | | | | | New York & Co., Inc.* | | | 101,906 | |
| | 171,459 | | | | | Office Depot Inc. | | | 574,388 | |
| | 4,814 | | | | | O’Reilly Automotive Inc.* | | | 1,614,712 | |
| | 76,211 | | | | | Party City Holdco Inc.* | | | 1,169,839 | |
| | 1,339 | | | | | Penske Automotive Group Inc. | | | 70,472 | |
| | 2,593 | | | | | Pier 1 Imports Inc. | | | 4,771 | |
See Notes to Financial Statements.
61
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | CONSUMER DISCRETIONARY — 12.5% — (continued) | |
| | Specialty Retail — 3.1% — (continued) | | | | |
| | 1,547 | | | | | Rent-A-Center Inc.* | | $ | 22,803 | |
| | 719 | | | | | RH*(a) | | | 114,321 | |
| | 41,859 | | | | | Ross Stores Inc. | | | 4,009,255 | |
| | 4,583 | | | | | Sally Beauty Holdings Inc.* | | | 70,578 | |
| | 534 | | | | | Shoe Carnival Inc. | | | 23,742 | |
| | 2,201 | | | | | Signet Jewelers Ltd. | | | 141,304 | |
| | 1,363 | | | | | Sleep Number Corp.* | | | 45,933 | |
| | 847 | | | | | Sonic Automotive Inc., Class A Shares | | | 18,210 | |
| | 1,261 | | | | | Sportsman’s Warehouse Holdings Inc.* | | | 7,200 | |
| | 1,856 | | | | | Tailored Brands Inc. | | | 43,690 | |
| | 1,600 | | | | | Tile Shop Holdings Inc. | | | 12,240 | |
| | 492 | | | | | Tilly’s Inc., Class A Shares | | | 11,572 | |
| | 2,483 | | | | | Ulta Beauty Inc.* | | | 645,580 | |
| | 2,921 | | | | | Urban Outfitters Inc.* | | | 135,768 | |
| | 3,229 | | | | | Williams-Sonoma Inc.(a) | | | 226,773 | |
| | 88 | | | | | Winmark Corp. | | | 13,130 | |
| | 770 | | | | | Zumiez Inc.* | | | 23,986 | |
| | | | | | | | | | |
| | | | | | Total Specialty Retail | | | 16,153,021 | |
| | | | | | | | | | |
| | Textiles, Apparel & Luxury Goods — 1.4% | | | | |
| | 24,327 | | | | | Carter’s Inc. | | | 2,576,959 | |
| | 1,158 | | | | | Columbia Sportswear Co. | | | 105,031 | |
| | 19,575 | | | | | Crocs Inc.* | | | 404,419 | |
| | 446 | | | | | Culp Inc. | | | 11,306 | |
| | 1,254 | | | | | Deckers Outdoor Corp.* | | | 152,787 | |
| | 1,703 | | | | | Fossil Group Inc.* | | | 38,607 | |
| | 1,624 | | | | | G-III Apparel Group Ltd.* | | | 73,859 | |
| | 13,911 | | | | | Hanesbrands Inc. | | | 243,999 | |
| | 5,524 | | | | | Michael Kors Holdings Ltd.* | | | 401,153 | |
| | 558 | | | | | Movado Group Inc. | | | 23,771 | |
| | 629 | | | | | Oxford Industries Inc. | | | 58,554 | |
| | 469 | | | | | Perry Ellis International Inc.* | | | 12,912 | |
| | 17,448 | | | | | PVH Corp. | | | 2,497,856 | |
| | 2,061 | | | | | Ralph Lauren Corp., Class A Shares | | | 273,721 | |
| | 400 | | | | | Rocky Brands Inc. | | | 12,060 | |
| | 4,980 | | | | | Skechers U.S.A. Inc., Class A Shares* | | | 146,810 | |
| | 2,174 | | | | | Steven Madden Ltd. | | | 126,418 | |
| | 332 | | | | | Superior Group of Cos., Inc. | | | 6,291 | |
| | 636 | | | | | Unifi Inc.* | | | 20,231 | |
| | 769 | | | | | Vera Bradley Inc.* | | | 11,274 | |
| | 3,453 | | | | | Wolverine World Wide Inc. | | | 135,289 | |
| | | | | | | | | | |
| | | | | | Total Textiles, Apparel & Luxury Goods | | | 7,333,307 | |
| | | | | | | | | | |
| | | | | | TOTAL CONSUMER DISCRETIONARY | | | 64,825,743 | |
| | | | | | | | | | |
| | CONSUMER STAPLES — 1.8% | | | | |
| | Beverages — 0.2% | | | | |
| | 314 | | | | | Boston Beer Co., Inc. (The), Class A Shares* | | | 95,189 | |
| | 3,526 | | | | | Castle Brands Inc.* | | | 4,055 | |
| | 541 | | | | | Celsius Holdings Inc.* | | | 2,472 | |
| | 169 | | | | | Coca-Cola Bottling Co. Consolidated | | | 28,656 | |
| | 473 | | | | | Craft Brew Alliance Inc.* | | | 8,963 | |
| | 4,565 | | | | | MGP Ingredients Inc.(a) | | | 352,007 | |
| | 6,277 | | | | | Monster Beverage Corp.* | | | 382,207 | |
| | 438 | | | | | National Beverage Corp.* | | | 51,614 | |
See Notes to Financial Statements.
62
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | CONSUMER STAPLES — 1.8% — (continued) | | | | |
| | Beverages — 0.2% — (continued) | | | | |
| | 1,024 | | | | | Primo Water Corp.* | | $ | 20,480 | |
| | | | | | | | | | |
| | | | | | Total Beverages | | | 945,643 | |
| | | | | | | | | | |
| | Food & Staples Retailing — 0.7% | | | | |
| | 57,499 | | | | | Andersons Inc. (The) | | | 2,348,834 | |
| | 1,397 | | | | | Casey’s General Stores Inc. | | | 159,495 | |
| | 772 | | | | | Chefs’ Warehouse Inc. (The)* | | | 22,697 | |
| | 648 | | | | | Ingles Markets Inc., Class A Shares | | | 23,296 | |
| | 321 | | | | | Natural Grocers by Vitamin Cottage Inc.* | | | 6,231 | |
| | 4,005 | | | | | Performance Food Group Co.* | | | 132,566 | |
| | 825 | | | | | PriceSmart Inc. | | | 71,651 | |
| | 39,237 | | | | | Rite Aid Corp.*(a) | | | 53,755 | |
| | 986 | | | | | Smart & Final Stores Inc.* | | | 6,902 | |
| | 1,330 | | | | | SpartanNash Co. | | | 28,395 | |
| | 5,134 | | | | | Sprouts Farmers Market Inc.* | | | 135,897 | |
| | 1,422 | | | | | SUPERVALU Inc.* | | | 45,916 | |
| | 1,879 | | | | | United Natural Foods Inc.* | | | 66,723 | |
| | 8,327 | | | | | US Foods Holding Corp.* | | | 271,377 | |
| | 361 | | | | | Village Super Market Inc., Class A Shares | | | 10,534 | |
| | 366 | | | | | Weis Markets Inc. | | | 17,052 | |
| | | | | | | | | | |
| | | | | | Total Food & Staples Retailing | | | 3,401,321 | |
| | | | | | | | | | |
| | Food Products — 0.7% | | | | |
| | 87 | | | | | Alico Inc. | | | 2,810 | |
| | 2,651 | | | | | B&G Foods Inc.(a) | | | 84,699 | |
| | 662 | | | | | Calavo Growers Inc.(a) | | | 70,073 | |
| | 1,164 | | | | | Cal-Maine Foods Inc. | | | 57,560 | |
| | 6,124 | | | | | Darling Ingredients Inc.* | | | 121,133 | |
| | 3,413 | | | | | Dean Foods Co. | | | 26,007 | |
| | 410 | | | | | Farmer Brothers Co.* | | | 11,890 | |
| | 6,727 | | | | | Flowers Foods Inc. | | | 135,549 | |
| | 1,294 | | | | | Fresh Del Monte Produce Inc. | | | 48,447 | |
| | 937 | | | | | Freshpet Inc.* | | | 34,810 | |
| | 18,773 | | | | | Hain Celestial Group Inc. (The)* | | | 536,157 | |
| | 3,693 | | | | | Hostess Brands Inc., Class A Shares* | | | 43,430 | |
| | 2,783 | | | | | Ingredion Inc. | | | 281,278 | |
| | 561 | | | | | J&J Snack Foods Corp. | | | 81,625 | |
| | 338 | | | | | John B Sanfilippo & Son Inc. | | | 24,698 | |
| | 5,634 | | | | | Lamb Weston Holdings Inc. | | | 380,858 | |
| | 706 | | | | | Lancaster Colony Corp. | | | 110,327 | |
| | 1,096 | | | | | Landec Corp.* | | | 14,741 | |
| | 443 | | | | | Limoneira Co. | | | 13,667 | |
| | 1,985 | | | | | Pilgrim’s Pride Corp.* | | | 36,703 | |
| | 4,441 | | | | | Pinnacle Foods Inc. | | | 294,971 | |
| | 2,457 | | | | | Post Holdings Inc.* | | | 238,968 | |
| | 761 | | | | | Sanderson Farms Inc. | | | 80,483 | |
| | 10 | | | | | Seaboard Corp. | | | 36,848 | |
| | 217 | | | | | Seneca Foods Corp., Class A Shares* | | | 7,009 | |
| | 2,266 | | | | | Simply Good Foods Co.* | | | 40,788 | |
| | 593 | | | | | Tootsie Roll Industries Inc.(a) | | | 17,078 | |
| | 13,043 | | | | | TreeHouse Foods Inc.* | | | 679,540 | |
| | | | | | | | | | |
| | | | | | Total Food Products | | | 3,512,147 | |
| | | | | | | | | | |
| | Household Products — 0.1% | | | | |
| | 1,917 | | | | | Central Garden & Pet Co., Class A Shares* | | | 71,023 | |
See Notes to Financial Statements.
63
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | CONSUMER STAPLES — 1.8% — (continued) | | | | |
| | Household Products — 0.1% — (continued) | | | | |
| | 2,214 | | | | | Energizer Holdings Inc. | | $ | 140,788 | |
| | 141 | | | | | Oil-Dri Corp. of America | | | 5,732 | |
| | 1,571 | | | | | Spectrum Brands Holdings Inc. | | | 136,441 | |
| | 568 | | | | | WD-40 Co. | | | 100,792 | |
| | | | | | | | | | |
| | | | | | Total Household Products | | | 454,776 | |
| | | | | | | | | | |
| | Personal Products — 0.1% | | | | |
| | 2,015 | | | | | Edgewell Personal Care Co.* | | | 113,787 | |
| | 820 | | | | | elf Beauty Inc.* | | | 11,390 | |
| | 4,434 | | | | | Herbalife Nutrition Ltd.* | | | 250,920 | |
| | 654 | | | | | Inter Parfums Inc. | | | 42,706 | |
| | 437 | | | | | Medifast Inc. | | | 99,963 | |
| | 236 | | | | | Natural Health Trends Corp. | | | 6,247 | |
| | 462 | | | | | Nature’s Sunshine Products Inc.* | | | 4,158 | |
| | 2,138 | | | | | Nu Skin Enterprises Inc., Class A Shares | | | 170,185 | |
| | 573 | | | | | Revlon Inc., Class A Shares* | | | 12,463 | |
| | 521 | | | | | USANA Health Sciences Inc.* | | | 68,746 | |
| | | | | | | | | | |
| | | | | | Total Personal Products | | | 780,565 | |
| | | | | | | | | | |
| | Tobacco — 0.0% | | | | |
| | 6,188 | | | | | 22nd Century Group Inc.*(a) | | | 16,770 | |
| | 423 | | | | | Alliance One International Inc.* | | | 7,487 | |
| | 290 | | | | | Turning Point Brands Inc. | | | 9,761 | |
| | 1,032 | | | | | Universal Corp. | | | 61,714 | |
| | 3,619 | | | | | Vector Group Ltd. | | | 56,203 | |
| | | | | | | | | | |
| | | | | | Total Tobacco | | | 151,935 | |
| | | | | | | | | | |
| | | | | | TOTAL CONSUMER STAPLES | | | 9,246,387 | |
| | | | | | | | | | |
| | ENERGY — 3.8% | | | | |
| | Energy Equipment & Services — 1.2% | | | | |
| | 2,910 | | | | | Apergy Corp.* | | | 131,590 | |
| | 4,770 | | | | | Archrock Inc. | | | 60,341 | |
| | 733 | | | | | Basic Energy Services Inc.* | | | 6,494 | |
| | 1,221 | | | | | Bristow Group Inc.* | | | 13,382 | |
| | 2,415 | | | | | C&J Energy Services Inc.* | | | 50,594 | |
| | 1,521 | | | | | Cactus Inc., Class A Shares* | | | 51,988 | |
| | 891 | | | | | CARBO Ceramics Inc.* | | | 7,707 | |
| | 1,456 | | | | | Covia Holdings Corp.* | | | 16,496 | |
| | 992 | | | | | Dawson Geophysical Co.* | | | 6,150 | |
| | 2,433 | | | | | Diamond Offshore Drilling Inc.*(a) | | | 42,383 | |
| | 8,454 | | | | | Dril-Quip Inc.* | | | 445,103 | |
| | 852 | | | | | Era Group Inc.* | | | 10,173 | |
| | 1,217 | | | | | Exterran Corp.* | | | 33,334 | |
| | 26,641 | | | | | Forum Energy Technologies Inc.* | | | 318,360 | |
| | 2,779 | | | | | Frank’s International NV* | | | 24,539 | |
| | 1,003 | | | | | FTS International Inc.* | | | 11,063 | |
| | 91 | | | | | Gulfmark Offshore Inc.* | | | 3,322 | |
| | 5,278 | | | | | Helix Energy Solutions Group Inc.* | | | 49,402 | |
| | 4,200 | | | | | Helmerich & Payne Inc. | | | 275,394 | |
| | 1,645 | | | | | Independence Contract Drilling Inc.* | | | 7,189 | |
| | 9,438 | | | | | ION Geophysical Corp.* | | | 169,412 | |
| | 2,423 | | | | | Keane Group Inc.* | | | 29,754 | |
| | 137,253 | | | | | Key Energy Services Inc.* | | | 1,833,700 | |
| | 662 | | | | | Liberty Oilfield Services Inc., Class A Shares* | | | 13,002 | |
| | 319 | | | | | Mammoth Energy Services Inc. | | | 8,766 | |
See Notes to Financial Statements.
64
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | ENERGY — 3.8% — (continued) | | | | |
| | Energy Equipment & Services — 1.2% — (continued) | | | | |
| | 1,230 | | | | | Matrix Service Co.* | | $ | 25,707 | |
| | 21,658 | | | | | McDermott International Inc.* | | | 418,866 | |
| | 12,842 | | | | | Nabors Industries Ltd. | | | 79,235 | |
| | 415 | | | | | Natural Gas Services Group Inc.* | | | 9,171 | |
| | 258 | | | | | NCS Multistage Holdings Inc.* | | | 4,198 | |
| | 3,194 | | | | | Newpark Resources Inc.* | | | 33,537 | |
| | 365 | | | | | Nine Energy Service Inc.* | | | 10,943 | |
| | 9,245 | | | | | Noble Corp. PLC* | | | 56,394 | |
| | 2,036 | | | | | Ocean Rig UDW Inc., Class A Shares* | | | 55,135 | |
| | 3,697 | | | | | Oceaneering International Inc.* | | | 104,514 | |
| | 13,033 | | | | | Oil States International Inc.* | | | 441,167 | |
| | 22,515 | | | | | Patterson-UTI Energy Inc. | | | 385,682 | |
| | 474 | | | | | PHI Inc.* | | | 3,863 | |
| | 2,797 | | | | | Pioneer Energy Services Corp.* | | | 8,950 | |
| | 1,399 | | | | | Profire Energy Inc.* | | | 3,987 | |
| | 2,658 | | | | | ProPetro Holding Corp.* | | | 40,455 | |
| | 429 | | | | | RigNet Inc.* | | | 6,993 | |
| | 4,769 | | | | | Rowan Cos. PLC, Class A Shares* | | | 66,957 | |
| | 2,146 | | | | | RPC Inc.(a) | | | 29,357 | |
| | 691 | | | | | SEACOR Holdings Inc.* | | | 35,552 | |
| | 616 | | | | | SEACOR Marine Holdings Inc.* | | | 12,616 | |
| | 1,697 | | | | | Select Energy Services Inc., Class A Shares* | | | 23,164 | |
| | 1,101 | | | | | Smart Sand Inc.*(a) | | | 5,483 | |
| | 887 | | | | | Solaris Oilfield Infrastructure Inc., Class A Shares* | | | 15,274 | |
| | 36,044 | | | | | Superior Energy Services Inc.* | | | 324,396 | |
| | 59,051 | | | | | TETRA Technologies Inc.* | | | 271,044 | |
| | 897 | | | | | Tidewater Inc.* | | | 28,704 | |
| | 16,119 | | | | | Transocean Ltd.* | | | 195,201 | |
| | 1,955 | | | | | Unit Corp.* | | | 51,397 | |
| | 2,925 | | | | | US Silica Holdings Inc.(a) | | | 61,981 | |
| | 37,390 | | | | | Weatherford International PLC*(a) | | | 90,484 | |
| | | | | | | | | | |
| | | | | | Total Energy Equipment & Services | | | 6,520,045 | |
| | | | | | | | | | |
| | Oil, Gas & Consumable Fuels — 2.6% | | | | |
| | 6,058 | | | | | Abraxas Petroleum Corp.* | | | 13,631 | |
| | 128 | | | | | Adams Resources & Energy Inc. | | | 5,875 | |
| | 3,586 | | | | | Alta Mesa Resources Inc.* | | | 16,998 | |
| | 1,175 | | | | | Amyris Inc.* | | | 10,540 | |
| | 9,379 | | | | | Antero Resources Corp.* | | | 173,605 | |
| | 1,790 | | | | | Approach Resources Inc.*(a) | | | 3,866 | |
| | 715 | | | | | Arch Coal Inc., Class A Shares | | | 63,399 | |
| | 1,070 | | | | | Ardmore Shipping Corp.* | | | 7,490 | |
| | 704 | | | | | Bonanza Creek Energy Inc.* | | | 21,824 | |
| | 1,685 | | | | | California Resources Corp.* | | | 69,995 | |
| | 8,940 | | | | | Callon Petroleum Co.* | | | 101,022 | |
| | 30,157 | | | | | Carrizo Oil & Gas Inc.* | | | 730,403 | |
| | 52,380 | | | | | Centennial Resource Development Inc., Class A Shares*(a) | | | 1,009,363 | |
| | 35,051 | | | | | Chesapeake Energy Corp.* | | | 155,276 | |
| | 5,163 | | | | | Clean Energy Fuels Corp.* | | | 14,198 | |
| | 3,108 | | | | | Cloud Peak Energy Inc.* | | | 7,335 | |
| | 8,435 | | | | | CNX Resources Corp.* | | | 134,454 | |
| | 8,793 | | | | | Concho Resources Inc.* | | | 1,205,960 | |
| | 1,047 | | | | | CONSOL Energy Inc.* | | | 44,916 | |
| | 564 | | | | | CVR Energy Inc. | | | 21,460 | |
| | 3,113 | | | | | Delek US Holdings Inc. | | | 169,659 | |
See Notes to Financial Statements.
65
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | ENERGY — 3.8% — (continued) | | | | |
| | Oil, Gas & Consumable Fuels — 2.6% — (continued) | | | | |
| | 17,800 | | | | | Denbury Resources Inc.* | | $ | 99,146 | |
| | 3,544 | | | | | DHT Holdings Inc. | | | 16,586 | |
| | 1,083 | | | | | Dorian LPG Ltd.* | | | 8,252 | |
| | 660 | | | | | Earthstone Energy Inc., Class A Shares* | | | 5,531 | |
| | 3,105 | | | | | Eclipse Resources Corp.* | | | 4,440 | |
| | 3,396 | | | | | Energen Corp.* | | | 263,360 | |
| | 3,416 | | | | | Energy Fuels Inc.* | | | 10,897 | |
| | 1,138 | | | | | Energy XXI Gulf Coast Inc.* | | | 10,299 | |
| | 1,831 | | | | | EP Energy Corp., Class A Shares* | | | 3,204 | |
| | 969 | | | | | Evolution Petroleum Corp. | | | 9,738 | |
| | 4,151 | | | | | Extraction Oil & Gas Inc.* | | | 47,944 | |
| | 3,825 | | | | | Frontline Ltd.* | | | 20,808 | |
| | 1,515 | | | | | GasLog Ltd. | | | 25,452 | |
| | 3,536 | | | | | Golar LNG Ltd. | | | 90,380 | |
| | 224 | | | | | Goodrich Petroleum Corp.* | | | 3,134 | |
| | 1,393 | | | | | Green Plains Inc. | | | 24,726 | |
| | 6,515 | | | | | Gulfport Energy Corp.* | | | 76,616 | |
| | 5,421 | | | | | Halcon Resources Corp.* | | | 24,828 | |
| | 658 | | | | | Hallador Energy Co. | | | 4,020 | |
| | 4,080 | | | | | HighPoint Resources Corp.* | | | 22,481 | |
| | 6,270 | | | | | HollyFrontier Corp. | | | 467,240 | |
| | 782 | | | | | International Seaways Inc.* | | | 16,047 | |
| | 19 | | | | | Isramco Inc.* | | | 2,217 | |
| | 2,401 | | | | | Jagged Peak Energy Inc.*(a) | | | 31,717 | |
| | 8,917 | | | | | Kosmos Energy Ltd.* | | | 80,610 | |
| | 5,807 | | | | | Laredo Petroleum Inc.* | | | 48,140 | |
| | 2,021 | | | | | Lilis Energy Inc.* | | | 10,752 | |
| | 3,693 | | | | | Matador Resources Co.* | | | 120,909 | |
| | 530 | | | | | Midstates Petroleum Co., Inc.* | | | 6,164 | |
| | 6,464 | | | | | Murphy Oil Corp. | | | 199,285 | |
| | 193 | | | | | NACCO Industries Inc., Class A Shares | | | 6,784 | |
| | 7,773 | | | | | Newfield Exploration Co.* | | | 212,047 | |
| | 7,237 | | | | | Nordic American Tankers Ltd.(a) | | | 16,139 | |
| | 3,767 | | | | | Northern Oil and Gas Inc.* | | | 12,996 | |
| | 10,528 | | | | | Oasis Petroleum Inc.* | | | 141,707 | |
| | 1,628 | | | | | Overseas Shipholding Group Inc., Class A Shares* | | | 5,584 | |
| | 616 | | | | | Panhandle Oil and Gas Inc., Class A Shares | | | 11,488 | |
| | 38,033 | | | | | Par Pacific Holdings Inc.* | | | 772,450 | |
| | 10,025 | | | | | Parsley Energy Inc., Class A Shares* | | | 278,394 | |
| | 19,924 | | | | | PBF Energy Inc., Class A Shares | | | 1,034,454 | |
| | 2,472 | | | | | PDC Energy Inc.* | | | 130,250 | |
| | 3,010 | | | | | Peabody Energy Corp. | | | 124,343 | |
| | 463 | | | | | Penn Virginia Corp.* | | | 41,179 | |
| | 11,113 | | | | | Pioneer Natural Resources Co. | | | 1,941,441 | |
| | 8,863 | | | | | QEP Resources Inc.* | | | 88,364 | |
| | 7,906 | | | | | Range Resources Corp. | | | 129,817 | |
| | 1,338 | | | | | Renewable Energy Group Inc.* | | | 36,059 | |
| | 795 | | | | | Resolute Energy Corp.*(a) | | | 26,203 | |
| | 235 | | | | | REX American Resources Corp.* | | | 18,936 | |
| | 2,143 | | | | | Ring Energy Inc.* | | | 25,287 | |
| | 2,632 | | | | | Sanchez Energy Corp.*(a) | | | 6,922 | |
| | 1,143 | | | | | SandRidge Energy Inc.* | | | 18,128 | |
| | 11,053 | | | | | Scorpio Tankers Inc. | | | 21,222 | |
| | 3,257 | | | | | SemGroup Corp., Class A Shares | | | 78,819 | |
| | 3,167 | | | | | Ship Finance International Ltd. | | | 44,971 | |
See Notes to Financial Statements.
66
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | ENERGY — 3.8% — (continued) | | | | |
| | Oil, Gas & Consumable Fuels — 2.6% — (continued) | | | | |
| | 220 | | | | | SilverBow Resources Inc.* | | $ | 6,789 | |
| | 4,386 | | | | | SM Energy Co. | | | 131,975 | |
| | 23,108 | | | | | Southwestern Energy Co.* | | | 129,867 | |
| | 9,034 | | | | | SRC Energy Inc.* | | | 84,107 | |
| | 715 | | | | | Talos Energy Inc.* | | | 24,682 | |
| | 8,442 | | | | | Targa Resources Corp. | | | 464,901 | |
| | 2,597 | | | | | Teekay Corp. | | | 17,608 | |
| | 7,025 | | | | | Teekay Tankers Ltd., Class A Shares(a) | | | 7,587 | |
| | 3,016 | | | | | Tellurian Inc.*(a) | | | 29,165 | |
| | 5,946 | | | | | Ultra Petroleum Corp.* | | | 7,789 | |
| | 5,949 | | | | | Uranium Energy Corp.*(a) | | | 10,173 | |
| | 3,477 | | | | | W&T Offshore Inc.* | | | 23,539 | |
| | 3,493 | | | | | Whiting Petroleum Corp.* | | | 177,829 | |
| | 1,002 | | | | | WildHorse Resource Development Corp.* | | | 21,784 | |
| | 2,492 | | | | | World Fuel Services Corp. | | | 69,851 | |
| | 63,580 | | | | | WPX Energy Inc.* | | | 1,212,471 | |
| | 2,293 | | | | | Zion Oil & Gas Inc.*(a) | | | 4,242 | |
| | | | | | | | | | |
| | | | | | Total Oil, Gas & Consumable Fuels | | | 13,384,535 | |
| | | | | | | | | | |
| | | | | | TOTAL ENERGY | | | 19,904,580 | |
| | | | | | | | | | |
| | FINANCIALS — 11.4% | | | | |
| | Banks — 5.5% | | | | |
| | 350 | | | | | 1st Constitution Bancorp | | | 7,403 | |
| | 591 | | | | | 1st Source Corp. | | | 33,090 | |
| | 624 | | | | | Access National Corp. | | | 16,935 | |
| | 203 | | | | | ACNB Corp. | | | 7,267 | |
| | 409 | | | | | Allegiance Bancshares Inc.* | | | 18,221 | |
| | 317 | | | | | American National Bankshares Inc. | | | 13,045 | |
| | 1,480 | | | | | Ameris Bancorp | | | 73,482 | |
| | 319 | | | | | Ames National Corp. | | | 9,650 | |
| | 432 | | | | | Arrow Financial Corp. | | | 16,999 | |
| | 6,570 | | | | | Associated Banc-Corp. | | | 179,032 | |
| | 987 | | | | | Atlantic Capital Bancshares Inc.* | | | 18,013 | |
| | 57 | | | | | Auburn National Bancorporation Inc. | | | 2,645 | |
| | 1,610 | | | | | Banc of California Inc. | | | 32,442 | |
| | 676 | | | | | BancFirst Corp. | | | 43,129 | |
| | 199,018 | | | | | Bancorp Inc. (The)* | | | 1,996,151 | |
| | 3,913 | | | | | BancorpSouth Bank | | | 136,172 | |
| | 558 | | | | | Bank of Commerce Holdings | | | 7,198 | |
| | 1,547 | | | | | Bank of Hawaii Corp. | | | 128,602 | |
| | 243 | | | | | Bank of Marin Bancorp | | | 21,420 | |
| | 21,778 | | | | | Bank of NT Butterfield & Son Ltd. (The) | | | 1,150,750 | |
| | 221 | | | | | Bank of Princeton (The)* | | | 7,271 | |
| | 4,750 | | | | | Bank OZK | | | 192,185 | |
| | 40,289 | | | | | BankUnited Inc. | | | 1,562,810 | |
| | 177 | | | | | Bankwell Financial Group Inc. | | | 5,576 | |
| | 1,191 | | | | | Banner Corp. | | | 76,617 | |
| | 625 | | | | | Bar Harbor Bankshares | | | 18,406 | |
| | 434 | | | | | Baycom Corp.* | | | 11,371 | |
| | 374 | | | | | BCB Bancorp Inc. | | | 5,554 | |
| | 1,515 | | | | | Berkshire Hills Bancorp Inc. | | | 64,009 | |
| | 866 | | | | | Blue Hills Bancorp Inc. | | | 19,918 | |
| | 966 | | | | | BOK Financial Corp. | | | 99,063 | |
| | 3,124 | | | | | Boston Private Financial Holdings Inc. | | | 45,142 | |
See Notes to Financial Statements.
67
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | FINANCIALS — 11.4% — (continued) | | | | |
| | Banks — 5.5% — (continued) | | | | |
| | 626 | | | | | Bridge Bancorp Inc. | | $ | 21,910 | |
| | 2,968 | | | | | Brookline Bancorp Inc. | | | 53,869 | |
| | 765 | | | | | Bryn Mawr Bank Corp. | | | 37,332 | |
| | 342 | | | | | Business First Bancshares Inc. | | | 8,851 | |
| | 613 | | | | | Byline Bancorp Inc.* | | | 13,995 | |
| | 102 | | | | | C&F Financial Corp. | | | 6,355 | |
| | 2,578 | | | | | Cadence BanCorp, Class A Shares | | | 72,829 | |
| | 125 | | | | | Cambridge Bancorp | | | 11,191 | |
| | 658 | | | | | Camden National Corp. | | | 30,097 | |
| | 375 | | | | | Capital City Bank Group Inc. | | | 9,195 | |
| | 374 | | | | | Capstar Financial Holdings Inc. | | | 6,534 | |
| | 739 | | | | | Carolina Financial Corp. | | | 30,410 | |
| | 3,180 | | | | | Cathay General Bancorp | | | 134,514 | |
| | 231 | | | | | CB Financial Services Inc. | | | 7,415 | |
| | 702 | | | | | CBTX Inc. | | | 25,672 | |
| | 3,082 | | | | | CenterState Bank Corp. | | | 94,371 | |
| | 1,053 | | | | | Central Pacific Financial Corp. | | | 29,831 | |
| | 304 | | | | | Central Valley Community Bancorp | | | 6,569 | |
| | 157 | | | | | Century Bancorp Inc., Class A Shares | | | 11,186 | |
| | 2,824 | | | | | Chemical Financial Corp. | | | 161,307 | |
| | 124 | | | | | Chemung Financial Corp. | | | 5,208 | |
| | 29,497 | | | | | CIT Group Inc. | | | 1,599,917 | |
| | 468 | | | | | Citizens & Northern Corp. | | | 13,109 | |
| | 562 | | | | | City Holding Co. | | | 45,567 | |
| | 400 | | | | | Civista Bancshares Inc. | | | 9,552 | |
| | 561 | | | | | CNB Financial Corp. | | | 17,296 | |
| | 1,475 | | | | | CoBiz Financial Inc. | | | 33,999 | |
| | 316 | | | | | Codorus Valley Bancorp Inc. | | | 9,888 | |
| | 2,720 | | | | | Columbia Banking System Inc. | | | 114,920 | |
| | 5,600 | | | | | Comerica Inc. | | | 545,888 | |
| | 3,638 | | | | | Commerce Bancshares Inc. | | | 258,516 | |
| | 1,869 | | | | | Community Bank System Inc. | | | 123,597 | |
| | 856 | | | | | Community Bankers Trust Corp.* | | | 7,747 | |
| | 155 | | | | | Community Financial Corp. (The) | | | 5,162 | |
| | 582 | | | | | Community Trust Bancorp Inc. | | | 28,751 | |
| | 1,134 | | | | | ConnectOne Bancorp Inc. | | | 27,953 | |
| | 155 | | | | | County Bancorp Inc. | | | 3,872 | |
| | 2,222 | | | | | Cullen/Frost Bankers Inc. | | | 246,398 | |
| | 1,036 | | | | | Customers Bancorp Inc.* | | | 25,589 | |
| | 3,848 | | | | | CVB Financial Corp. | | | 92,544 | |
| | 1,186 | | | | | Eagle Bancorp Inc.* | | | 63,866 | |
| | 40,928 | | | | | East West Bancorp Inc. | | | 2,594,426 | |
| | 361 | | | | | Enterprise Bancorp Inc. | | | 12,985 | |
| | 863 | | | | | Enterprise Financial Services Corp. | | | 48,587 | |
| | 503 | | | | | Equity Bancshares Inc., Class A Shares* | | | 20,417 | |
| | 279 | | | | | Esquire Financial Holdings Inc.* | | | 7,254 | |
| | 187 | | | | | Evans Bancorp Inc. | | | 8,892 | |
| | 335 | | | | | Farmers & Merchants Bancorp Inc. | | | 15,239 | |
| | 1,013 | | | | | Farmers National Banc Corp. | | | 16,056 | |
| | 547 | | | | | FB Financial Corp. | | | 24,057 | |
| | 1,716 | | | | | FCB Financial Holdings Inc., Class A Shares* | | | 88,889 | |
| | 112 | | | | | Fidelity D&D Bancorp Inc. | | | 6,663 | |
| | 793 | | | | | Fidelity Southern Corp. | | | 19,270 | |
| | 611 | | | | | Financial Institutions Inc. | | | 19,735 | |
| | 8,003 | | | | | First Bancorp* | | | 70,026 | |
See Notes to Financial Statements.
68
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | FINANCIALS — 11.4% — (continued) | | | | |
| | Banks — 5.5% — (continued) | | | | |
| | 400 | | | | | First Bancorp Inc. | | $ | 11,712 | |
| | 1,109 | | | | | First Bancorp.M | | | 46,267 | |
| | 477 | | | | | First Bancshares Inc. (The) | | | 19,581 | |
| | 727 | | | | | First Bank/Hamilton NJ | | | 10,396 | |
| | 1,631 | | | | | First Busey Corp. | | | 52,274 | |
| | 370 | | | | | First Business Financial Services Inc. | | | 8,199 | |
| | 246 | | | | | First Choice Bancorp | | | 6,679 | |
| | 309 | | | | | First Citizens BancShares Inc., Class A Shares | | | 146,778 | |
| | 3,782 | | | | | First Commonwealth Financial Corp. | | | 63,348 | |
| | 616 | | | | | First Community Bancshares Inc. | | | 20,679 | |
| | 338 | | | | | First Community Corp./SC | | | 8,501 | |
| | 473 | | | | | First Connecticut Bancorp Inc. | | | 14,994 | |
| | 3,556 | | | | | First Financial Bancorp | | | 111,658 | |
| | 2,427 | | | | | First Financial Bankshares Inc. | | | 146,591 | |
| | 447 | | | | | First Financial Corp. | | | 22,998 | |
| | 226 | | | | | First Financial Northwest Inc. | | | 3,946 | |
| | 1,299 | | | | | First Foundation Inc.* | | | 21,018 | |
| | 192 | | | | | First Guaranty Bancshares Inc. | | | 4,798 | |
| | 3,473 | | | | | First Hawaiian Inc. | | | 100,682 | |
| | 12,101 | | | | | First Horizon National Corp. | | | 222,900 | |
| | 341 | | | | | First Internet Bancorp | | | 10,724 | |
| | 1,223 | | | | | First Interstate BancSystem Inc., Class A Shares | | | 56,808 | |
| | 2,086 | | | | | First Merchants Corp. | | | 100,378 | |
| | 450 | | | | | First Mid-Illinois Bancshares Inc. | | | 18,491 | |
| | 3,816 | | | | | First Midwest Bancorp Inc. | | | 103,719 | |
| | 347 | | | | | First Northwest Bancorp* | | | 5,809 | |
| | 879 | | | | | First of Long Island Corp. (The) | | | 19,162 | |
| | 21,711 | | | | | First Republic Bank | | | 2,205,620 | |
| | 88 | | | | | First Savings Financial Group Inc. | | | 6,254 | |
| | 327 | | | | | First United Corp. | | | 6,589 | |
| | 1,034 | | | | | Flushing Financial Corp. | | | 26,801 | |
| | 12,062 | | | | | FNB Corp. | | | 162,234 | |
| | 495 | | | | | Franklin Financial Network Inc.* | | | 19,132 | |
| | 6,903 | | | | | Fulton Financial Corp. | | | 125,635 | |
| | 798 | | | | | German American Bancorp Inc. | | | 29,997 | |
| | 3,170 | | | | | Glacier Bancorp Inc. | | | 144,806 | |
| | 404 | | | | | Great Southern Bancorp Inc. | | | 23,957 | |
| | 2,199 | | | | | Great Western Bancorp Inc. | | | 95,744 | |
| | 902 | | | | | Green Bancorp Inc. | | | 21,648 | |
| | 921 | | | | | Guaranty Bancorp | | | 28,781 | |
| | 257 | | | | | Guaranty Bancshares Inc. | | | 8,083 | |
| | 3,321 | | | | | Hancock Whitney Corp. | | | 171,198 | |
| | 1,185 | | | | | Hanmi Financial Corp. | | | 30,929 | |
| | 472 | | | | | HarborOne Bancorp Inc.* | | | 9,303 | |
| | 1,101 | | | | | Heartland Financial USA Inc. | | | 66,941 | |
| | 1,597 | | | | | Heritage Commerce Corp. | | | 25,296 | |
| | 1,273 | | | | | Heritage Financial Corp. | | | 46,210 | |
| | 2,724 | | | | | Hilltop Holdings Inc. | | | 56,523 | |
| | 6,217 | | | | | Home BancShares Inc. | | | 145,540 | |
| | 709 | | | | | HomeTrust Bancshares Inc.* | | | 20,419 | |
| | 4,818 | | | | | Hope Bancorp Inc. | | | 84,363 | |
| | 1,465 | | | | | Horizon Bancorp | | | 29,930 | |
| | 590 | | | | | Howard Bancorp Inc.* | | | 10,296 | |
| | 34,300 | | | | | Huntington Bancshares Inc. | | | 556,003 | |
| | 2,166 | | | | | IBERIABANK Corp. | | | 187,684 | |
See Notes to Financial Statements.
69
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | FINANCIALS — 11.4% — (continued) | | | | |
| | Banks — 5.5% — (continued) | | | | |
| | 1,885 | | | | | Independent Bank Corp. | | $ | 114,239 | |
| | 789 | | | | | Independent Bank Group Inc. | | | 54,638 | |
| | 2,320 | | | | | International Bancshares Corp. | | | 108,692 | |
| | 334 | | | | | Investar Holding Corp. | | | 9,168 | |
| | 9,778 | | | | | Investors Bancorp Inc. | | | 125,158 | |
| | 1,723 | | | | | Lakeland Bancorp Inc. | | | 33,254 | |
| | 910 | | | | | Lakeland Financial Corp. | | | 44,836 | |
| | 324 | | | | | LCNB Corp. | | | 6,026 | |
| | 1,778 | | | | | LegacyTexas Financial Group Inc. | | | 82,268 | |
| | 960 | | | | | Live Oak Bancshares Inc. | | | 29,040 | |
| | 1,056 | | | | | Macatawa Bank Corp. | | | 13,168 | |
| | 3,224 | | | | | MB Financial Inc. | | | 156,235 | |
| | 806 | | | | | MBT Financial Corp. | | | 8,826 | |
| | 594 | | | | | Mercantile Bank Corp. | | | 21,034 | |
| | 239 | | | | | Metropolitan Bank Holding Corp.* | | | 9,856 | |
| | 210 | | | | | Mid Penn Bancorp Inc. | | | 6,395 | |
| | 99 | | | | | Middlefield Banc Corp. | | | 4,910 | |
| | 799 | | | | | Midland States Bancorp Inc. | | | 27,510 | |
| | 423 | | | | | MidSouth Bancorp Inc. | | | 6,493 | |
| | 467 | | | | | MidWestOne Financial Group Inc. | | | 15,663 | |
| | 179 | | | | | MutualFirst Financial Inc. | | | 6,802 | |
| | 362 | | | | | MVB Financial Corp. | | | 6,603 | |
| | 1,076 | | | | | National Bank Holdings Corp., Class A Shares | | | 43,201 | |
| | 251 | | | | | National Bankshares Inc. | | | 11,546 | |
| | 564 | | | | | National Commerce Corp.* | | | 24,816 | |
| | 1,588 | | | | | NBT Bancorp Inc. | | | 64,282 | |
| | 315 | | | | | Nicolet Bankshares Inc.* | | | 17,438 | |
| | 318 | | | | | Northeast Bancorp | | | 6,932 | |
| | 262 | | | | | Northrim BanCorp Inc. | | | 11,672 | |
| | 201 | | | | | Norwood Financial Corp. | | | 7,887 | |
| | 304 | | | | | Oak Valley Bancorp | | | 6,375 | |
| | 1,615 | | | | | OFG Bancorp | | | 26,163 | |
| | 134 | | | | | Ohio Valley Banc Corp. | | | 5,648 | |
| | 604 | | | | | Old Line Bancshares Inc. | | | 20,657 | |
| | 6,261 | | | | | Old National Bancorp | | | 127,098 | |
| | 1,221 | | | | | Old Second Bancorp Inc. | | | 18,864 | |
| | 708 | | | | | Opus Bank | | | 20,072 | |
| | 613 | | | | | Origin Bancorp Inc. | | | 24,839 | |
| | 279 | | | | | Orrstown Financial Services Inc. | | | 7,268 | |
| | 487 | | | | | Pacific Mercantile Bancorp* | | | 4,919 | |
| | 19,848 | | | | | Pacific Premier Bancorp Inc.* | | | 784,988 | |
| | 4,686 | | | | | PacWest Bancorp | | | 236,596 | |
| | 494 | | | | | Park National Corp. | | | 54,414 | |
| | 284 | | | | | Parke Bancorp Inc. | | | 6,546 | |
| | 636 | | | | | Peapack Gladstone Financial Corp. | | | 21,249 | |
| | 169 | | | | | Penns Woods Bancorp Inc. | | | 7,652 | |
| | 713 | | | | | Peoples Bancorp Inc. | | | 25,568 | |
| | 165 | | | | | Peoples Bancorp of North Carolina Inc. | | | 5,036 | |
| | 268 | | | | | Peoples Financial Services Corp. | | | 12,323 | |
| | 13,256 | | | | | People’s United Financial Inc. | | | 245,369 | |
| | 540 | | | | | People’s Utah Bancorp | | | 19,521 | |
| | 2,805 | | | | | Pinnacle Financial Partners Inc. | | | 181,063 | |
| | 3,903 | | | | | Popular Inc. | | | 196,477 | |
| | 561 | | | | | Preferred Bank | | | 34,339 | |
See Notes to Financial Statements.
70
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | FINANCIALS — 11.4% — (continued) | | | | |
| | Banks — 5.5% — (continued) | | | | |
| | 390 | | | | | Premier Financial Bancorp Inc. | | $ | 7,605 | |
| | 2,683 | | | | | Prosperity Bancshares Inc. | | | 200,796 | |
| | 510 | | | | | QCR Holdings Inc. | | | 22,185 | |
| | 515 | | | | | RBB Bancorp | | | 14,755 | |
| | 417 | | | | | Reliant Bancorp Inc. | | | 11,488 | |
| | 1,787 | | | | | Renasant Corp. | | | 83,435 | |
| | 398 | | | | | Republic Bancorp Inc., Class A Shares | | | 19,347 | |
| | 1,597 | | | | | Republic First Bancorp Inc.* | | | 12,457 | |
| | 1,290 | | | | | S&T Bancorp Inc. | | | 60,191 | |
| | 1,289 | | | | | Sandy Spring Bancorp Inc. | | | 50,271 | |
| | 331 | | | | | SB One Bancorp | | | 9,202 | |
| | 1,725 | | | | | Seacoast Banking Corp. of Florida* | | | 54,545 | |
| | 486 | | | | | Select Bancorp Inc.* | | | 6,226 | |
| | 1,735 | | | | | ServisFirst Bancshares Inc. | | | 74,779 | |
| | 449 | | | | | Shore Bancshares Inc. | | | 8,437 | |
| | 590 | | | | | Sierra Bancorp | | | 17,505 | |
| | 2,098 | | | | | Signature Bank | | | 242,823 | |
| | 3,374 | | | | | Simmons First National Corp., Class A Shares | | | 106,618 | |
| | 437 | | | | | SmartFinancial Inc.* | | | 10,741 | |
| | 1,493 | | | | | South State Corp. | | | 123,098 | |
| | 257 | | | | | Southern First Bancshares Inc.* | | | 10,691 | |
| | 756 | | | | | Southern National Bancorp of Virginia Inc. | | | 13,268 | |
| | 1,245 | | | | | Southside Bancshares Inc. | | | 44,322 | |
| | 1,408 | | | | | State Bank Financial Corp. | | | 45,873 | |
| | 8,696 | | | | | Sterling Bancorp | | | 198,704 | |
| | 810 | | | | | Stock Yards Bancorp Inc. | | | 31,347 | |
| | 395 | | | | | Summit Financial Group Inc. | | | 9,954 | |
| | 4,549 | | | | | Synovus Financial Corp. | | | 227,723 | |
| | 45,441 | | | | | TCF Financial Corp. | | | 1,151,929 | |
| | 8,458 | | | | | Texas Capital Bancshares Inc.* | | | 751,916 | |
| | 550 | | | | | Tompkins Financial Corp. | | | 48,328 | |
| | 2,457 | | | | | Towne Bank | | | 80,098 | |
| | 949 | | | | | TriCo Bancshares | | | 36,897 | |
| | 828 | | | | | TriState Capital Holdings Inc.* | | | 24,633 | |
| | 898 | | | | | Triumph Bancorp Inc.* | | | 38,120 | |
| | 2,506 | | | | | Trustmark Corp. | | | 88,913 | |
| | 1,797 | | | | | UMB Financial Corp. | | | 135,206 | |
| | 8,550 | | | | | Umpqua Holdings Corp. | | | 182,970 | |
| | 2,733 | | | | | Union Bankshares Corp. | | | 113,693 | |
| | 178 | | | | | Union Bankshares Inc. | | | 9,345 | |
| | 3,927 | | | | | United Bankshares Inc. | | | 154,724 | |
| | 2,914 | | | | | United Community Banks Inc. | | | 88,411 | |
| | 508 | | | | | United Security Bancshares | | | 5,639 | |
| | 281 | | | | | Unity Bancorp Inc. | | | 6,856 | |
| | 1,085 | | | | | Univest Corp. of Pennsylvania | | | 30,922 | |
| | 12,558 | | | | | Valley National Bancorp | | | 151,324 | |
| | 883 | | | | | Veritex Holdings Inc.* | | | 27,037 | |
| | 564 | | | | | Washington Trust Bancorp Inc. | | | 33,840 | |
| | 17,261 | | | | | Webster Financial Corp. | | | 1,128,524 | |
| | 1,951 | | | | | WesBanco Inc. | | | 96,282 | |
| | 580 | | | | | West Bancorporation Inc. | | | 14,007 | |
| | 960 | | | | | Westamerica Bancorporation(a) | | | 61,469 | |
| | 3,867 | | | | | Western Alliance Bancorp* | | | 222,933 | |
| | 2,208 | | | | | Wintrust Financial Corp. | | | 195,518 | |
See Notes to Financial Statements.
71
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | FINANCIALS — 11.4% — (continued) | | | | |
| | Banks — 5.5% — (continued) | | | | |
| | 7,527 | | | | | Zions Bancorporation | | $ | 401,114 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 28,900,508 | |
| | | | | | | | | | |
| | Capital Markets — 2.7% | | | | |
| | 1,084 | | | | | Arlington Asset Investment Corp., Class A Shares | | | 11,024 | |
| | 1,802 | | | | | Artisan Partners Asset Management Inc., Class A Shares | | | 59,736 | |
| | 104 | | | | | Associated Capital Group Inc., Class A Shares | | | 3,890 | |
| | 722 | | | | | B. Riley Financial Inc. | | | 16,534 | |
| | 9,831 | | | | | BGC Partners Inc., Class A Shares | | | 122,101 | |
| | 1,751 | | | | | Blucora Inc.* | | | 63,386 | |
| | 3,065 | | | | | BrightSphere Investment Group PLC | | | 38,895 | |
| | 839 | | | | | Cohen & Steers Inc. | | | 34,877 | |
| | 1,071 | | | | | Cowen Inc., Class A Shares* | | | 16,279 | |
| | 134 | | | | | Diamond Hill Investment Group Inc. | | | 25,003 | |
| | 1,232 | | | | | Donnelley Financial Solutions Inc.* | | | 25,737 | |
| | 8,582 | | | | | E*Trade Financial Corp.* | | | 505,137 | |
| | 4,565 | | | | | Eaton Vance Corp. | | | 240,713 | |
| | 9,858 | | | | | Evercore Inc., Class A Shares | | | 1,046,427 | |
| | 1,422 | | | | | FactSet Research Systems Inc. | | | 326,193 | |
| | 3,613 | | | | | Federated Investors Inc., Class B Shares | | | 83,677 | |
| | 1,172 | | | | | GAIN Capital Holdings Inc. | | | 8,638 | |
| | 241 | | | | | GAMCO Investors Inc., Class A Shares | | | 6,230 | |
| | 48,898 | | | | | Greenhill & Co., Inc. | | | 1,344,695 | |
| | 13,280 | | | | | Hamilton Lane Inc., Class A Shares | | | 647,798 | |
| | 1,264 | | | | | Houlihan Lokey Inc., Class A Shares | | | 59,446 | |
| | 575 | | | | | INTL. FCStone Inc.* | | | 32,062 | |
| | 1,223 | | | | | Investment Technology Group Inc. | | | 26,759 | |
| | 3,952 | | | | | Ladenburg Thalmann Financial Services Inc. | | | 13,634 | |
| | 4,531 | | | | | Lazard Ltd., Class A Shares | | | 218,122 | |
| | 3,506 | | | | | Legg Mason Inc. | | | 109,387 | |
| | 34,891 | | | | | LPL Financial Holdings Inc. | | | 2,311,180 | |
| | 1,420 | | | | | MarketAxess Holdings Inc. | | | 269,544 | |
| | 1,638 | | | | | Moelis & Co., Class A Shares | | | 95,086 | |
| | 4,610 | | | | | Moody’s Corp. | | | 820,672 | |
| | 732 | | | | | Morningstar Inc. | | | 104,178 | |
| | 12,212 | | | | | Nasdaq Inc. | | | 1,165,513 | |
| | 365 | | | | | Oppenheimer Holdings Inc., Class A Shares | | | 11,388 | |
| | 551 | | | | | Piper Jaffray Cos. | | | 42,427 | |
| | 749 | | | | | PJT Partners Inc., Class A Shares | | | 43,382 | |
| | 873 | | | | | Pzena Investment Management Inc., Class A Shares | | | 7,927 | |
| | 12,780 | | | | | Raymond James Financial Inc. | | | 1,189,051 | |
| | 723 | | | | | Safeguard Scientifics Inc.* | | | 7,447 | |
| | 42,060 | | | | | SEI Investments Co. | | | 2,653,145 | |
| | 236 | | | | | Silvercrest Asset Management Group Inc., Class A Shares | | | 3,741 | |
| | 2,594 | | | | | Stifel Financial Corp. | | | 144,927 | |
| | 1,466 | | | | | Virtu Financial Inc., Class A Shares(a) | | | 31,959 | |
| | 262 | | | | | Virtus Investment Partners Inc. | | | 33,798 | |
| | 3,309 | | | | | Waddell & Reed Financial Inc., Class A Shares(a) | | | 66,246 | |
| | 331 | | | | | Westwood Holdings Group Inc. | | | 19,042 | |
| | 4,377 | | | | | WisdomTree Investments Inc. | | | 35,979 | |
| | | | | | | | | | |
| | | | | | Total Capital Markets | | | 14,143,012 | |
| | | | | | | | | | |
| | Consumer Finance — 0.4% | | | | |
| | 438 | | | | | Credit Acceptance Corp.*(a) | | | 200,039 | |
| | 268 | | | | | Curo Group Holdings Corp.* | | | 8,270 | |
See Notes to Financial Statements.
72
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | FINANCIALS — 11.4% — (continued) | | | | |
| | Consumer Finance — 0.4% — (continued) | | | | |
| | 578 | | | | | Elevate Credit Inc.* | | $ | 5,410 | |
| | 977 | | | | | Encore Capital Group Inc.* | | | 37,859 | |
| | 1,245 | | | | | Enova International Inc.* | | | 41,334 | |
| | 1,791 | | | | | EZCORP Inc., Class A Shares* | | | 19,880 | |
| | 1,667 | | | | | FirstCash Inc. | | | 135,527 | |
| | 9,104 | | | | | Green Dot Corp., Class A Shares* | | | 779,940 | |
| | 11,818 | | | | | LendingClub Corp.* | | | 42,663 | |
| | 9,818 | | | | | Navient Corp. | | | 133,917 | |
| | 698 | | | | | Nelnet Inc., Class A Shares | | | 40,240 | |
| | 2,870 | | | | | OneMain Holdings Inc., Class A Shares* | | | 105,329 | |
| | 1,667 | | | | | PRA Group Inc.* | | | 60,929 | |
| | 359 | | | | | Regional Management Corp.* | | | 11,965 | |
| | 4,346 | | | | | Santander Consumer USA Holdings Inc. | | | 93,787 | |
| | 17,082 | | | | | SLM Corp.* | | | 200,201 | |
| | 247 | | | | | World Acceptance Corp.* | | | 29,297 | |
| | | | | | | | | | |
| | | | | | Total Consumer Finance | | | 1,946,587 | |
| | | | | | | | | | |
| | Diversified Financial Services — 0.1% | | | | |
| | 1,188 | | | | | Banco Latinoamericano de Comercio Exterior SA, Class E Shares | | | 24,556 | |
| | 2,535 | | | | | Cannae Holdings Inc.* | | | 49,280 | |
| | 5,328 | | | | | FGL Holdings* | | | 46,407 | |
| | 329 | | | | | Marlin Business Services Corp. | | | 9,410 | |
| | 2,018 | | | | | On Deck Capital Inc.* | | | 16,588 | |
| | 6,629 | | | | | Voya Financial Inc. | | | 331,914 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 478,155 | |
| | | | | | | | | | |
| | Insurance — 1.9% | | | | |
| | 570 | | | | | Alleghany Corp. | | | 360,115 | |
| | 634 | | | | | Ambac Financial Group Inc.* | | | 13,396 | |
| | 3,343 | | | | | American Equity Investment Life Holding Co. | | | 123,992 | |
| | 2,750 | | | | | American Financial Group Inc. | | | 306,240 | |
| | 279 | | | | | American National Insurance Co. | | | 35,807 | |
| | 716 | | | | | AMERISAFE Inc. | | | 45,681 | |
| | 4,130 | | | | | AmTrust Financial Services Inc. | | | 60,050 | |
| | 5,107 | | | | | Aon PLC | | | 743,375 | |
| | 1,212 | | | | | Argo Group International Holdings Ltd. | | | 77,204 | |
| | 2,212 | | | | | Aspen Insurance Holdings Ltd. | | | 91,024 | |
| | 1,967 | | | | | Assurant Inc. | | | 202,247 | |
| | 4,317 | | | | | Assured Guaranty Ltd. | | | 175,875 | |
| | 3,238 | | | | | Axis Capital Holdings Ltd. | | | 186,250 | |
| | 4,851 | | | | | Brighthouse Financial Inc.* | | | 201,365 | |
| | 8,612 | | | | | Brown & Brown Inc. | | | 262,494 | |
| | 1,750 | | | | | Citizens Inc., Class A Shares*(a) | | | 14,700 | |
| | 6,691 | | | | | CNO Financial Group Inc. | | | 144,593 | |
| | 4,843 | | | | | Crawford & Co., Class A Shares | | | 41,311 | |
| | 639 | | | | | Crawford & Co., Class B Shares | | | 5,572 | |
| | 276 | | | | | Donegal Group Inc., Class A Shares | | | 3,988 | |
| | 676 | | | | | eHealth Inc.* | | | 19,732 | |
| | 293 | | | | | EMC Insurance Group Inc. | | | 7,524 | |
| | 1,210 | | | | | Employers Holdings Inc. | | | 55,478 | |
| | 448 | | | | | Enstar Group Ltd.* | | | 95,648 | |
| | 919 | | | | | Erie Indemnity Co., Class A Shares | | | 113,524 | |
| | 1,559 | | | | | Everest Re Group Ltd. | | | 347,688 | |
| | 374 | | | | | FBL Financial Group Inc., Class A Shares | | | 30,425 | |
| | 416 | | | | | FedNat Holding Co. | | | 10,941 | |
See Notes to Financial Statements.
73
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | FINANCIALS — 11.4% — (continued) | | | | |
| | Insurance — 1.9% — (continued) | | | | |
| | 36,714 | | | | | Fidelity National Financial Inc. | | $ | 1,472,231 | |
| | 4,070 | | | | | First American Financial Corp. | | | 231,420 | |
| | 18,826 | | | | | Genworth Financial Inc., Class A Shares* | | | 87,541 | |
| | 296 | | | | | Global Indemnity Ltd. | | | 11,671 | |
| | 371 | | | | | Goosehead Insurance Inc., Class A Shares* | | | 11,508 | |
| | 1,274 | | | | | Greenlight Capital Re Ltd., Class A Shares* | | | 16,371 | |
| | 546 | | | | | Hallmark Financial Services Inc.* | | | 6,132 | |
| | 1,665 | | | | | Hanover Insurance Group Inc. (The) | | | 203,946 | |
| | 301 | | | | | HCI Group Inc. | | | 12,191 | |
| | 425 | | | | | Health Insurance Innovations Inc., Class A Shares* | | | 22,482 | |
| | 749 | | | | | Heritage Insurance Holdings Inc. | | | 10,973 | |
| | 1,536 | | | | | Horace Mann Educators Corp. | | | 71,117 | |
| | 313 | | | | | Independence Holding Co. | | | 11,033 | |
| | 44 | | | | | Investors Title Co. | | | 8,536 | |
| | 971 | | | | | James River Group Holdings Ltd. | | | 39,762 | |
| | 11,727 | | | | | Kemper Corp. | | | 953,991 | |
| | 245 | | | | | Kingstone Cos., Inc. | | | 4,545 | |
| | 740 | | | | | Kinsale Capital Group Inc. | | | 44,970 | |
| | 2,473 | | | | | Maiden Holdings Ltd. | | | 9,397 | |
| | 3,314 | | | | | MBIA Inc.*(a) | | | 34,035 | |
| | 1,020 | | | | | Mercury General Corp. | | | 54,978 | |
| | 2,305 | | | | | National General Holdings Corp. | | | 62,950 | |
| | 93 | | | | | National Western Life Group Inc., Class A Shares | | | 30,313 | |
| | 774 | | | | | Navigators Group Inc. (The) | | | 54,180 | |
| | 380 | | | | | NI Holdings Inc.* | | | 6,414 | |
| | 10,604 | | | | | Old Republic International Corp. | | | 235,197 | |
| | 1,634 | | | | | Primerica Inc. | | | 199,756 | |
| | 1,980 | | | | | ProAssurance Corp. | | | 95,733 | |
| | 420 | | | | | Protective Insurance Corp., Class B Shares | | | 9,870 | |
| | 2,415 | | | | | Reinsurance Group of America Inc., Class A Shares | | | 344,983 | |
| | 1,579 | | | | | RenaissanceRe Holdings Ltd. | | | 209,944 | |
| | 1,468 | | | | | RLI Corp. | | | 112,992 | |
| | 554 | | | | | Safety Insurance Group Inc. | | | 53,572 | |
| | 2,165 | | | | | Selective Insurance Group Inc. | | | 138,993 | |
| | 660 | | | | | State Auto Financial Corp. | | | 20,717 | |
| | 876 | | | | | Stewart Information Services Corp. | | | 39,227 | |
| | 3,021 | | | | | Third Point Reinsurance Ltd.* | | | 40,481 | |
| | 1,343 | | | | | Tiptree Inc. | | | 8,730 | |
| | 4,098 | | | | | Torchmark Corp. | | | 360,296 | |
| | 899 | | | | | Trupanion Inc.*(a) | | | 34,333 | |
| | 792 | | | | | United Fire Group Inc. | | | 39,228 | |
| | 1,176 | | | | | United Insurance Holdings Corp. | | | 24,496 | |
| | 1,191 | | | | | Universal Insurance Holdings Inc. | | | 53,119 | |
| | 125 | | | | | White Mountains Insurance Group Ltd. | | | 115,994 | |
| | 3,649 | | | | | WR Berkley Corp. | | | 285,571 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 9,672,158 | |
| | | | | | | | | | |
| | Mortgage Real Estate Investment Trusts (REITs) — 0.4% | |
| | 1,163 | | | | | AG Mortgage Investment Trust Inc. | | | 21,864 | |
| | 17,542 | | | | | AGNC Investment Corp. | | | 333,649 | |
| | 4,060 | | | | | Anworth Mortgage Asset Corp. | | | 19,813 | |
| | 4,604 | | | | | Apollo Commercial Real Estate Finance Inc. | | | 89,456 | |
| | 1,050 | | | | | Arbor Realty Trust Inc. | | | 12,873 | |
| | 1,117 | | | | | Ares Commercial Real Estate Corp. | | | 16,331 | |
| | 1,541 | | | | | ARMOUR Residential REIT Inc. | | | 36,244 | |
See Notes to Financial Statements.
74
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | FINANCIALS — 11.4% — (continued) | | | | |
| | Mortgage Real Estate Investment Trusts (REITs) — 0.4% — (continued) | |
| | 4,024 | | | | | Blackstone Mortgage Trust Inc., Class A Shares(a) | | $ | 137,058 | |
| | 3,473 | | | | | Capstead Mortgage Corp. | | | 29,173 | |
| | 405 | | | | | Cherry Hill Mortgage Investment Corp. | | | 7,533 | |
| | 7,579 | | | | | Chimera Investment Corp. | | | 141,197 | |
| | 3,145 | | | | | Colony Credit Real Estate Inc. | | | 63,152 | |
| | 2,047 | | | | | Dynex Capital Inc. | | | 13,121 | |
| | 1,104 | | | | | Exantas Capital Corp. | | | 13,082 | |
| | 1,556 | | | | | Granite Point Mortgage Trust Inc. | | | 29,782 | |
| | 536 | | | | | Great Ajax Corp. | | | 7,311 | |
| | 1,913 | | | | | Hannon Armstrong Sustainable Infrastructure Capital Inc. | | | 41,244 | |
| | 4,195 | | | | | Invesco Mortgage Capital Inc. | | | 68,085 | |
| | 602 | | | | | KKR Real Estate Finance Trust Inc. | | | 12,762 | |
| | 3,255 | | | | | Ladder Capital Corp., Class A Shares | | | 56,539 | |
| | 16,759 | | | | | MFA Financial Inc. | | | 128,374 | |
| | 1,627 | | | | | MTGE Investment Corp. | | | 31,889 | |
| | 12,533 | | | | | New Residential Investment Corp. | | | 232,738 | |
| | 4,221 | | | | | New York Mortgage Trust Inc. | | | 27,014 | |
| | 1,954 | | | | | Orchid Island Capital Inc., Class A Shares(a) | | | 15,515 | |
| | 2,631 | | | | | PennyMac Mortgage Investment Trust | | | 52,567 | |
| | 2,807 | | | | | Redwood Trust Inc. | | | 47,663 | |
| | 9,781 | | | | | Starwood Property Trust Inc. | | | 215,476 | |
| | 582 | | | | | Sutherland Asset Management Corp. | | | 9,981 | |
| | 1,202 | | | | | TPG RE Finance Trust Inc. | | | 24,821 | |
| | 9,736 | | | | | Two Harbors Investment Corp. | | | 152,076 | |
| | 1,737 | | | | | Western Asset Mortgage Capital Corp. | | | 19,333 | |
| | | | | | | | | | |
| | | | | | Total Mortgage Real Estate Investment Trusts (REITs) | | | 2,107,716 | |
| | | | | | | | | | |
| | Thrifts & Mortgage Finance — 0.4% | |
| | 626 | | | | | BankFinancial Corp. | | | 9,985 | |
| | 2,570 | | | | | Beneficial Bancorp Inc. | | | 45,232 | |
| | 2,390 | | | | | BofI Holding Inc.* | | | 89,004 | |
| | 322 | | | | | BSB Bancorp Inc.* | | | 10,723 | |
| | 4,795 | | | | | Capitol Federal Financial Inc. | | | 63,342 | |
| | 534 | | | | | Charter Financial Corp. | | | 13,302 | |
| | 1,856 | | | | | Columbia Financial Inc.* | | | 31,422 | |
| | 1,178 | | | | | Dime Community Bancshares Inc. | | | 21,381 | |
| | 280 | | | | | Entegra Financial Corp.* | | | 7,700 | |
| | 294 | | | | | ESSA Bancorp Inc. | | | 4,728 | |
| | 3,733 | | | | | Essent Group Ltd.* | | | 161,863 | |
| | 335 | | | | | Federal Agricultural Mortgage Corp., Class C Shares | | | 25,818 | |
| | 739 | | | | | First Defiance Financial Corp. | | | 23,641 | |
| | 1,104 | | | | | Flagstar Bancorp Inc.* | | | 36,487 | |
| | 92 | | | | | FS Bancorp Inc. | | | 5,366 | |
| | 75 | | | | | Greene County Bancorp Inc. | | | 2,621 | |
| | 52 | | | | | Hingham Institution for Savings | | | 11,285 | |
| | 296 | | | | | Home Bancorp Inc. | | | 13,542 | |
| | 941 | | | | | HomeStreet Inc.* | | | 27,712 | |
| | 439 | | | | | Impac Mortgage Holdings Inc.* | | | 3,284 | |
| | 3,642 | | | | | Kearny Financial Corp. | | | 49,895 | |
| | 290 | | | | | LendingTree Inc.*(a) | | | 73,471 | |
| | 693 | | | | | Luther Burbank Corp. | | | 7,900 | |
| | 238 | | | | | Malvern Bancorp Inc.* | | | 5,855 | |
| | 605 | | | | | Merchants Bancorp | | | 15,797 | |
| | 1,800 | | | | | Meridian Bancorp Inc. | | | 32,220 | |
| | 377 | | | | | Meta Financial Group Inc. | | | 32,648 | |
See Notes to Financial Statements.
75
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | FINANCIALS — 11.4% — (continued) | | | | |
| | Thrifts & Mortgage Finance — 0.4% — (continued) | |
| | 13,834 | | | | | MGIC Investment Corp.* | | $ | 175,968 | |
| | 18,417 | | | | | New York Community Bancorp Inc. | | | 198,351 | |
| | 2,329 | | | | | NMI Holdings Inc., Class A Shares* | | | 50,306 | |
| | 1,652 | | | | | Northfield Bancorp Inc. | | | 26,895 | |
| | 3,558 | | | | | Northwest Bancshares Inc. | | | 64,827 | |
| | 1,779 | | | | | OceanFirst Financial Corp. | | | 51,947 | |
| | 4,389 | | | | | Ocwen Financial Corp.* | | | 18,346 | |
| | 581 | | | | | OP Bancorp* | | | 7,030 | |
| | 1,493 | | | | | Oritani Financial Corp. | | | 24,187 | |
| | 546 | | | | | PCSB Financial Corp. | | | 11,204 | |
| | 270 | | | | | PDL Community Bancorp* | | | 4,007 | |
| | 1,332 | | | | | PHH Corp.* | | | 14,452 | |
| | 186 | | | | | Provident Bancorp Inc.* | | | 5,264 | |
| | 2,302 | | | | | Provident Financial Services Inc. | | | 58,079 | |
| | 276 | | | | | Prudential Bancorp Inc. | | | 5,073 | |
| | 8,373 | | | | | Radian Group Inc. | | | 170,223 | |
| | 886 | | | | | Riverview Bancorp Inc. | | | 8,727 | |
| | 314 | | | | | SI Financial Group Inc. | | | 4,349 | |
| | 265 | | | | | Southern Missouri Bancorp Inc. | | | 10,600 | |
| | 551 | | | | | Sterling Bancorp Inc. | | | 6,750 | |
| | 291 | | | | | Territorial Bancorp Inc. | | | 8,695 | |
| | 1,841 | | | | | TFS Financial Corp. | | | 28,425 | |
| | 287 | | | | | Timberland Bancorp Inc. | | | 10,191 | |
| | 3,578 | | | | | TrustCo Bank Corp. NY | | | 33,096 | |
| | 1,873 | | | | | United Community Financial Corp. | | | 19,386 | |
| | 1,912 | | | | | United Financial Bancorp Inc. | | | 33,976 | |
| | 1,033 | | | | | Walker & Dunlop Inc. | | | 56,298 | |
| | 3,137 | | | | | Washington Federal Inc. | | | 106,972 | |
| | 871 | | | | | Waterstone Financial Inc. | | | 14,720 | |
| | 950 | | | | | Western New England Bancorp Inc. | | | 10,117 | |
| | 22,964 | | | | | WMIH Corp.* | | | 34,676 | |
| | 1,128 | | | | | WSFS Financial Corp. | | | 55,046 | |
| | | | | | | | | | |
| | | | | | Total Thrifts & Mortgage Finance | | | 2,154,407 | |
| | | | | | | | | | |
| | | | | | TOTAL FINANCIALS | | | 59,402,543 | |
| | | | | | | | | | |
| | HEALTH CARE — 14.1% | |
| | Biotechnology — 3.4% | |
| | 1,193 | | | | | Abeona Therapeutics Inc.*(a) | | | 18,372 | |
| | 3,659 | | | | | ACADIA Pharmaceuticals Inc.* | | | 52,031 | |
| | 16,291 | | | | | Acceleron Pharma Inc.* | | | 880,040 | |
| | 1,385 | | | | | Achaogen Inc.*(a) | | | 7,327 | |
| | 5,051 | | | | | Achillion Pharmaceuticals Inc.* | | | 17,426 | |
| | 1,621 | | | | | Acorda Therapeutics Inc.* | | | 46,685 | |
| | 828 | | | | | Adamas Pharmaceuticals Inc.* | | | 19,069 | |
| | 686 | | | | | ADMA Biologics Inc.* | | | 4,384 | |
| | 2,384 | | | | | Aduro Biotech Inc.* | | | 17,642 | |
| | 2,372 | | | | | Adverum Biotechnologies Inc.* | | | 18,027 | |
| | 700 | | | | | Aeglea BioTherapeutics Inc.* | | | 7,651 | |
| | 3,576 | | | | | Agenus Inc.*(a) | | | 7,903 | |
| | 1,991 | | | | | Agios Pharmaceuticals Inc.* | | | 160,714 | |
| | 1,611 | | | | | Aimmune Therapeutics Inc.* | | | 44,963 | |
| | 1,901 | | | | | Akebia Therapeutics Inc.* | | | 15,607 | |
| | 391 | | | | | Albireo Pharma Inc.* | | | 13,521 | |
| | 2,171 | | | | | Alder Biopharmaceuticals Inc.* | | | 39,295 | |
See Notes to Financial Statements.
76
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | HEALTH CARE — 14.1% — (continued) | |
| | Biotechnology — 3.4% — (continued) | |
| | 751 | | | | | Aldeyra Therapeutics Inc.* | | $ | 6,346 | |
| | 12,395 | | | | | Alkermes PLC* | | | 555,792 | |
| | 391 | | | | | Allena Pharmaceuticals Inc.* | | | 4,262 | |
| | 3,445 | | | | | Alnylam Pharmaceuticals Inc.* | | | 422,598 | |
| | 1,286 | | | | | AMAG Pharmaceuticals Inc.* | | | 31,378 | |
| | 7,075 | | | | | Amicus Therapeutics Inc.* | | | 95,371 | |
| | 766 | | | | | AnaptysBio Inc.* | | | 67,898 | |
| | 18,853 | | | | | Apellis Pharmaceuticals Inc.*(a) | | | 364,994 | |
| | 1,232 | | | | | Arbutus Biopharma Corp.*(a) | | | 11,211 | |
| | 64 | | | | | Arcus Biosciences Inc.* | | | 922 | |
| | 1,549 | | | | | Ardelyx Inc.* | | | 6,661 | |
| | 1,848 | | | | | Arena Pharmaceuticals Inc.* | | | 71,776 | |
| | 4,232 | | | | | ArQule Inc.* | | | 28,058 | |
| | 7,593 | | | | | Array BioPharma Inc.* | | | 118,223 | |
| | 3,245 | | | | | Arrowhead Pharmaceuticals Inc.* | | | 47,896 | |
| | 345 | | | | | Arsanis Inc.* | | | 790 | |
| | 12,710 | | | | | Ascendis Pharma AS, ADR* | | | 902,156 | |
| | 1,514 | | | | | Atara Biotherapeutics Inc.* | | | 61,998 | |
| | 1,563 | | | | | Athenex Inc.* | | | 25,680 | |
| | 4,761 | | | | | Athersys Inc.*(a) | | | 9,808 | |
| | 1,191 | | | | | Audentes Therapeutics Inc.* | | | 43,352 | |
| | 4,468 | | | | | AVEO Pharmaceuticals Inc.*(a) | | | 13,359 | |
| | 2,191 | | | | | Avid Bioservices Inc.* | | | 16,038 | |
| | 1,777 | | | | | Bellicum Pharmaceuticals Inc.* | | | 12,848 | |
| | 3,529 | | | | | BioCryst Pharmaceuticals Inc.* | | | 25,268 | |
| | 1,017 | | | | | Biohaven Pharmaceutical Holding Co., Ltd.* | | | 38,504 | |
| | 10,744 | | | | | BioMarin Pharmaceutical Inc.* | | | 1,074,185 | |
| | 189 | | | | | BioSpecifics Technologies Corp.* | | | 10,138 | |
| | 3,583 | | | | | BioTime Inc.*(a) | | | 9,853 | |
| | 2,069 | | | | | Bluebird Bio Inc.* | | | 348,213 | |
| | 9,070 | | | | | Blueprint Medicines Corp.* | | | 695,397 | |
| | 935 | | | | | Calithera Biosciences Inc.* | | | 5,096 | |
| | 114 | | | | | Calyxt Inc.* | | | 1,930 | |
| | 1,009 | | | | | Cara Therapeutics Inc.* | | | 20,352 | |
| | 1,093 | | | | | CareDx Inc.* | | | 26,571 | |
| | 1,628 | | | | | CASI Pharmaceuticals Inc.* | | | 11,315 | |
| | 618 | | | | | Catalyst Biosciences Inc.* | | | 6,755 | |
| | 3,568 | | | | | Catalyst Pharmaceuticals Inc.* | | | 12,024 | |
| | 171 | | | | | Celcuity Inc.* | | | 4,227 | |
| | 508 | | | | | Cellular Biomedicine Group Inc.* | | | 10,795 | |
| | 765 | | | | | ChemoCentryx Inc.* | | | 10,083 | |
| | 1,495 | | | | | Chimerix Inc.* | | | 5,965 | |
| | 12,412 | | | | | Clovis Oncology Inc.* | | | 443,729 | |
| | 949 | | | | | Cohbar Inc.* | | | 4,973 | |
| | 1,744 | | | | | Coherus Biosciences Inc.* | | | 35,142 | |
| | 791 | | | | | Concert Pharmaceuticals Inc.* | | | 12,474 | |
| | 2,062 | | | | | Corbus Pharmaceuticals Holdings Inc.*(a) | | | 12,063 | |
| | 528 | | | | | Corvus Pharmaceuticals Inc.* | | | 5,787 | |
| | 2,213 | | | | | CTI BioPharma Corp.* | | | 4,160 | |
| | 519 | | | | | Cue Biopharma Inc.* | | | 4,993 | |
| | 1,707 | | | | | Cytokinetics Inc.* | | | 13,485 | |
| | 1,436 | | | | | CytomX Therapeutics Inc.* | | | 32,296 | |
| | 236 | | | | | Deciphera Pharmaceuticals Inc.* | | | 8,730 | |
| | 662 | | | | | Denali Therapeutics Inc.* | | | 12,995 | |
See Notes to Financial Statements.
77
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | HEALTH CARE — 14.1% — (continued) | |
| | Biotechnology — 3.4% — (continued) | |
| | 1,638 | | | | | Dicerna Pharmaceuticals Inc.* | | $ | 25,962 | |
| | 2,299 | | | | | Dynavax Technologies Corp.*(a) | | | 31,841 | |
| | 387 | | | | | Eagle Pharmaceuticals Inc.* | | | 26,753 | |
| | 1,698 | | | | | Editas Medicine Inc.* | | | 55,745 | |
| | 1,854 | | | | | Emergent BioSolutions Inc.* | | | 114,948 | |
| | 624 | | | | | Enanta Pharmaceuticals Inc.* | | | 56,740 | |
| | 2,067 | | | | | Epizyme Inc.* | | | 24,391 | |
| | 852 | | | | | Esperion Therapeutics Inc.*(a) | | | 42,165 | |
| | 15,046 | | | | | Exact Sciences Corp.* | | | 1,126,795 | |
| | 11,344 | | | | | Exelixis Inc.* | | | 213,154 | |
| | 25,670 | | | | | Fate Therapeutics Inc.*(a) | | | 330,886 | |
| | 590 | | | | | Fennec Pharmaceuticals Inc.* | | | 5,617 | |
| | 9,141 | | | | | FibroGen Inc.* | | | 558,972 | |
| | 1,231 | | | | | Five Prime Therapeutics Inc.* | | | 17,234 | |
| | 1,238 | | | | | Flexion Therapeutics Inc.* | | | 28,350 | |
| | 630 | | | | | Fortress Biotech Inc.* | | | 1,241 | |
| | 760 | | | | | G1 Therapeutics Inc.* | | | 46,117 | |
| | 768 | | | | | Genomic Health Inc.* | | | 46,979 | |
| | 5,922 | | | | | Geron Corp.*(a) | | | 33,933 | |
| | 1,861 | | | | | Global Blood Therapeutics Inc.* | | | 91,096 | |
| | 1,202 | | | | | GlycoMimetics Inc.* | | | 17,693 | |
| | 138 | | | | | GTx Inc.* | | | 3,301 | |
| | 4,642 | | | | | Halozyme Therapeutics Inc.* | | | 85,459 | |
| | 2,376 | | | | | Heron Therapeutics Inc.* | | | 91,595 | |
| | 313 | | | | | Homology Medicines Inc.*(a) | | | 5,211 | |
| | 752 | | | | | Idera Pharmaceuticals Inc.* | | | 7,866 | |
| | 1,142 | | | | | Immune Design Corp.* | | | 4,340 | |
| | 4,771 | | | | | ImmunoGen Inc.* | | | 48,616 | |
| | 4,911 | | | | | Immunomedics Inc.*(a) | | | 131,418 | |
| | 6,763 | | | | | Incyte Corp.* | | | 499,853 | |
| | 3,158 | | | | | Inovio Pharmaceuticals Inc.* | | | 16,611 | |
| | 2,851 | | | | | Insmed Inc.* | | | 56,820 | |
| | 1,137 | | | | | Insys Therapeutics Inc.*(a) | | | 10,631 | |
| | 1,237 | | | | | Intellia Therapeutics Inc.* | | | 38,260 | |
| | 871 | | | | | Intercept Pharmaceuticals Inc.* | | | 97,378 | |
| | 2,583 | | | | | Intrexon Corp.*(a) | | | 39,727 | |
| | 2,365 | | | | | Invitae Corp.* | | | 35,026 | |
| | 4,861 | | | | | Ionis Pharmaceuticals Inc.* | | | 222,099 | |
| | 3,062 | | | | | Iovance Biotherapeutics Inc.* | | | 54,197 | |
| | 55,372 | | | | | Ironwood Pharmaceuticals Inc., Class A Shares* | | | 1,065,357 | |
| | 747 | | | | | Jounce Therapeutics Inc.* | | | 5,864 | |
| | 3,071 | | | | | Kadmon Holdings Inc.* | | | 13,236 | |
| | 1,804 | | | | | Karyopharm Therapeutics Inc.* | | | 37,974 | |
| | 3,508 | | | | | Keryx Biopharmaceuticals Inc.*(a) | | | 11,962 | |
| | 967 | | | | | Kindred Biosciences Inc.* | | | 14,408 | |
| | 927 | | | | | Kura Oncology Inc.* | | | 19,004 | |
| | 798 | | | | | La Jolla Pharmaceutical Co.* | | | 18,386 | |
| | 1,501 | | | | | Lexicon Pharmaceuticals Inc.* | | | 17,367 | |
| | 779 | | | | | Ligand Pharmaceuticals Inc.* | | | 202,299 | |
| | 1,028 | | | | | Loxo Oncology Inc.* | | | 173,711 | |
| | 1,457 | | | | | MacroGenics Inc.* | | | 31,865 | |
| | 243 | | | | | Madrigal Pharmaceuticals Inc.* | | | 58,128 | |
| | 6,214 | | | | | MannKind Corp.* | | | 6,835 | |
| | 1,587 | | | | | MediciNova Inc.* | | | 19,314 | |
See Notes to Financial Statements.
78
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | HEALTH CARE — 14.1% — (continued) | |
| | Biotechnology — 3.4% — (continued) | |
| | 363 | | | | | Mersana Therapeutics Inc.* | | $ | 5,064 | |
| | 3,598 | | | | | MiMedx Group Inc.*(a) | | | 19,069 | |
| | 1,140 | | | | | Minerva Neurosciences Inc.* | | | 11,856 | |
| | 837 | | | | | Miragen Therapeutics Inc.* | | | 5,198 | |
| | 675 | | | | | Mirati Therapeutics Inc.* | | | 38,171 | |
| | 3,099 | | | | | Momenta Pharmaceuticals Inc.* | | | 82,124 | |
| | 393 | | | | | Mustang Bio Inc.* | | | 2,720 | |
| | 2,589 | | | | | Myriad Genetics Inc.* | | | 128,906 | |
| | 1,428 | | | | | NantKwest Inc.* | | | 4,841 | |
| | 1,270 | | | | | Natera Inc.* | | | 35,103 | |
| | 7,226 | | | | | Neurocrine Biosciences Inc.* | | | 888,437 | |
| | 1,206 | | | | | NewLink Genetics Corp.* | | | 3,739 | |
| | 14,174 | | | | | Novavax Inc.* | | | 22,111 | |
| | 1,230 | | | | | Nymox Pharmaceutical Corp.*(a) | | | 3,223 | |
| | 13,134 | | | | | OPKO Health Inc.*(a) | | | 77,753 | |
| | 3,528 | | | | | Organovo Holdings Inc.*(a) | | | 4,551 | |
| | 364 | | | | | Ovid therapeutics Inc.* | | | 2,428 | |
| | 8,666 | | | | | Palatin Technologies Inc.* | | | 8,753 | |
| | 5,689 | | | | | PDL BioPharma Inc.* | | | 13,767 | |
| | 479 | | | | | Pfenex Inc.* | | | 2,529 | |
| | 1,923 | | | | | Pieris Pharmaceuticals Inc.* | | | 10,653 | |
| | 389 | | | | | PolarityTE Inc.* | | | 11,118 | |
| | 2,424 | | | | | Portola Pharmaceuticals Inc.* | | | 72,356 | |
| | 2,980 | | | | | Progenics Pharmaceuticals Inc.* | | | 23,333 | |
| | 683 | | | | | Proteostasis Therapeutics Inc.* | | | 1,837 | |
| | 1,617 | | | | | Prothena Corp. PLC* | | | 24,611 | |
| | 1,830 | | | | | PTC Therapeutics Inc.* | | | 76,384 | |
| | 1,084 | | | | | Puma Biotechnology Inc.* | | | 47,642 | |
| | 491 | | | | | Ra Pharmaceuticals Inc.* | | | 5,990 | |
| | 1,502 | | | | | Radius Health Inc.*(a) | | | 30,896 | |
| | 719 | | | | | Recro Pharma Inc.* | | | 4,587 | |
| | 1,065 | | | | | REGENXBIO Inc.* | | | 75,029 | |
| | 1,451 | | | | | Repligen Corp.* | | | 79,631 | |
| | 1,487 | | | | | Retrophin Inc.* | | | 47,123 | |
| | 454 | | | | | Rhythm Pharmaceuticals Inc.* | | | 14,301 | |
| | 6,137 | | | | | Rigel Pharmaceuticals Inc.* | | | 20,927 | |
| | 1,004 | | | | | Rocket Pharmaceuticals Inc.* | | | 23,945 | |
| | 1,703 | | | | | Sage Therapeutics Inc.* | | | 279,735 | |
| | 3,776 | | | | | Sangamo Therapeutics Inc.* | | | 68,912 | |
| | 2,387 | | | | | Sarepta Therapeutics Inc.* | | | 329,501 | |
| | 1,075 | | | | | Savara Inc.* | | | 12,642 | |
| | 4,158 | | | | | Seattle Genetics Inc.* | | | 319,168 | |
| | 737 | | | | | Selecta Biosciences Inc.*(a) | | | 9,994 | |
| | 629 | | | | | Seres Therapeutics Inc.* | | | 5,523 | |
| | 374 | | | | | Solid Biosciences Inc.* | | | 15,959 | |
| | 3,107 | | | | | Sorrento Therapeutics Inc.*(a) | | | 17,244 | |
| | 1,278 | | | | | Spark Therapeutics Inc.* | | | 78,738 | |
| | 3,689 | | | | | Spectrum Pharmaceuticals Inc.* | | | 79,424 | |
| | 135 | | | | | Spero Therapeutics Inc.* | | | 1,540 | |
| | 465 | | | | | Spring Bank Pharmaceuticals Inc.* | | | 6,598 | |
| | 965 | | | | | Stemline Therapeutics Inc.* | | | 16,502 | |
| | 408 | | | | | Surface Oncology Inc.* | | | 3,958 | |
| | 683 | | | | | Syndax Pharmaceuticals Inc.* | | | 5,300 | |
| | 10,024 | | | | | Synergy Pharmaceuticals Inc.*(a) | | | 19,547 | |
See Notes to Financial Statements.
79
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | HEALTH CARE — 14.1% — (continued) | |
| | Biotechnology — 3.4% — (continued) | |
| | 671 | | | | | Synlogic Inc.* | | $ | 7,099 | |
| | 832 | | | | | Syros Pharmaceuticals Inc.* | | | 10,225 | |
| | 1,148 | | | | | T2 Biosystems Inc.* | | | 7,496 | |
| | 16,196 | | | | | TESARO Inc.*(a) | | | 525,560 | |
| | 2,202 | | | | | TG Therapeutics Inc.* | | | 27,965 | |
| | 505 | | | | | Tocagen Inc.* | | | 4,924 | |
| | 1,807 | | | | | Tyme Technologies Inc.* | | | 4,030 | |
| | 1,842 | | | | | Ultragenyx Pharmaceutical Inc.* | | | 156,073 | |
| | 1,659 | | | | | United Therapeutics Corp.* | | | 204,040 | |
| | 1,909 | | | | | Vanda Pharmaceuticals Inc.* | | | 36,891 | |
| | 905 | | | | | Veracyte Inc.* | | | 11,439 | |
| | 1,829 | | | | | Verastem Inc.* | | | 18,217 | |
| | 1,712 | | | | | Vericel Corp.* | | | 20,886 | |
| | 1,544 | | | | | Viking Therapeutics Inc.* | | | 20,180 | |
| | 1,343 | | | | | Vital Therapies Inc.*(a) | | | 10,811 | |
| | 798 | | | | | Voyager Therapeutics Inc.* | | | 17,349 | |
| | 1,720 | | | | | Xencor Inc.* | | | 71,879 | |
| | 153 | | | | | XOMA Corp.* | | | 2,866 | |
| | 965 | | | | | Zafgen Inc.* | | | 9,187 | |
| | 5,622 | | | | | ZIOPHARM Oncology Inc.*(a) | | | 16,416 | |
| | | | | | | | | | |
| | | | | | Total Biotechnology | | | 17,622,824 | |
| | | | | | | | | | |
| | Health Care Equipment & Supplies — 4.4% | |
| | 926 | | | | | ABIOMED Inc.* | | | 376,493 | |
| | 103,861 | | | | | Accuray Inc.* | | | 415,444 | |
| | 1,739 | | | | | Align Technology Inc.* | | | 672,106 | |
| | 1,366 | | | | | AngioDynamics Inc.* | | | 30,626 | |
| | 514 | | | | | Anika Therapeutics Inc.* | | | 21,274 | |
| | 5,210 | | | | | Antares Pharma Inc.* | | | 18,443 | |
| | 18,527 | | | | | AtriCure Inc.* | | | 640,108 | |
| | 53 | | | | | Atrion Corp. | | | 34,718 | |
| | 1,748 | | | | | Avanos Medical Inc.* | | | 126,031 | |
| | 1,248 | | | | | AxoGen Inc.* | | | 54,725 | |
| | 13,055 | | | | | Becton Dickinson and Co. | | | 3,418,713 | |
| | 4,625 | | | | | Cantel Medical Corp. | | | 448,625 | |
| | 1,215 | | | | | Cardiovascular Systems Inc.* | | | 46,814 | |
| | 4,849 | | | | | Cerus Corp.* | | | 37,725 | |
| | 1,059 | | | | | CONMED Corp. | | | 85,175 | |
| | 8,261 | | | | | Cooper Cos., Inc. (The) | | | 2,112,999 | |
| | 1,338 | | | | | CryoLife Inc.* | | | 46,429 | |
| | 829 | | | | | CryoPort Inc.*(a) | | | 11,772 | |
| | 530 | | | | | Cutera Inc.* | | | 18,020 | |
| | 965 | | | | | CytoSorbents Corp.* | | | 14,137 | |
| | 3,364 | | | | | DexCom Inc.* | | | 485,694 | |
| | 5,181 | | | | | Edwards Lifesciences Corp.* | | | 747,307 | |
| | 3,122 | | | | | Endologix Inc.* | | | 7,181 | |
| | 232 | | | | | FONAR Corp.* | | | 6,078 | |
| | 1,947 | | | | | GenMark Diagnostics Inc.* | | | 16,666 | |
| | 1,232 | | | | | Glaukos Corp.* | | | 84,232 | |
| | 2,673 | | | | | Globus Medical Inc., Class A Shares* | | | 142,391 | |
| | 4,283 | | | | | Haemonetics Corp.* | | | 478,154 | |
| | 724 | | | | | Helius Medical Technologies Inc., Class A Shares* | | | 7,255 | |
| | 238 | | | | | Heska Corp.* | | | 25,466 | |
| | 2,589 | | | | | Hill-Rom Holdings Inc. | | | 251,832 | |
| | 618 | | | | | ICU Medical Inc.* | | | 189,108 | |
See Notes to Financial Statements.
80
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | HEALTH CARE — 14.1% — (continued) | |
| | Health Care Equipment & Supplies — 4.4% — (continued) | |
| | 658 | | | | | Inogen Inc.* | | $ | 174,311 | |
| | 8,817 | | | | | Insulet Corp.* | | | 919,349 | |
| | 1,251 | | | | | Integer Holdings Corp.* | | | 99,955 | |
| | 21,992 | | | | | Integra LifeSciences Holdings Corp.* | | | 1,307,864 | |
| | 271 | | | | | IntriCon Corp.* | | | 20,027 | |
| | 1,278 | | | | | Invacare Corp. | | | 19,426 | |
| | 889 | | | | | iRhythm Technologies Inc.* | | | 82,757 | |
| | 1,544 | | | | | K2M Group Holdings Inc.* | | | 42,213 | |
| | 1,390 | | | | | Lantheus Holdings Inc.* | | | 22,379 | |
| | 591 | | | | | LeMaitre Vascular Inc. | | | 22,168 | |
| | 1,817 | | | | | LivaNova PLC* | | | 228,124 | |
| | 13,887 | | | | | Masimo Corp.* | | | 1,637,138 | |
| | 1,541 | | | | | Meridian Bioscience Inc. | | | 24,194 | |
| | 6,807 | | | | | Merit Medical Systems Inc.* | | | 400,592 | |
| | 1,202 | | | | | Natus Medical Inc.* | | | 44,835 | |
| | 1,976 | | | | | Neogen Corp.* | | | 184,637 | |
| | 1,084 | | | | | Nevro Corp.* | | | 73,083 | |
| | 10,831 | | | | | Novocure Ltd.* | | | 487,937 | |
| | 2,013 | | | | | NuVasive Inc.* | | | 141,292 | |
| | 598 | | | | | Nuvectra Corp.* | | | 13,957 | |
| | 2,451 | | | | | NxStage Medical Inc.* | | | 69,461 | |
| | 2,247 | | | | | OraSure Technologies Inc.* | | | 35,974 | |
| | 654 | | | | | Orthofix Medical Inc.* | | | 35,028 | |
| | 263 | | | | | OrthoPediatrics Corp.* | | | 9,158 | |
| | 1,049 | | | | | Oxford Immunotec Global PLC* | | | 15,441 | |
| | 1,199 | | | | | Penumbra Inc.* | | | 166,481 | |
| | 392 | | | | | Pulse Biosciences Inc.* | | | 5,629 | |
| | 1,225 | | | | | Quidel Corp.* | | | 94,178 | |
| | 1,804 | | | | | Rockwell Medical Inc.*(a) | | | 8,858 | |
| | 2,021 | | | | | RTI Surgical Inc.* | | | 9,044 | |
| | 587 | | | | | SeaSpine Holdings Corp.* | | | 9,040 | |
| | 2,836 | | | | | Senseonics Holdings Inc.*(a) | | | 11,571 | |
| | 870 | | | | | Sientra Inc.* | | | 21,854 | |
| | 1,711 | | | | | STAAR Surgical Co.* | | | 81,615 | |
| | 11,309 | | | | | STERIS PLC | | | 1,293,976 | |
| | 547 | | | | | Surmodics Inc.* | | | 43,076 | |
| | 649 | | | | | Tactile Systems Technology Inc.* | | | 43,918 | |
| | 1,666 | | | | | Tandem Diabetes Care Inc.* | | | 76,120 | |
| | 2,014 | | | | | Teleflex Inc. | | | 498,324 | |
| | 5,829 | | | | | TransEnterix Inc.*(a) | | | 33,808 | |
| | 119 | | | | | Utah Medical Products Inc. | | | 10,811 | |
| | 70,335 | | | | | Varex Imaging Corp.* | | | 2,208,519 | |
| | 1,856 | | | | | ViewRay Inc.* | | | 18,709 | |
| | 2,740 | | | | | West Pharmaceutical Services Inc. | | | 320,717 | |
| | 25,432 | | | | | Wright Medical Group NV* | | | 737,019 | |
| | | | | | | | | | |
| | | | | | Total Health Care Equipment & Supplies | | | 22,876,308 | |
| | | | | | | | | | |
| | Health Care Providers & Services — 1.6% | |
| | 454 | | | | | AAC Holdings Inc.* | | | 4,022 | |
| | 23,109 | | | | | Acadia Healthcare Co., Inc.* | | | 959,717 | |
| | 373 | | | | | Addus HomeCare Corp.* | | | 24,208 | |
| | 1,068 | | | | | Amedisys Inc.* | | | 133,511 | |
| | 706 | | | | | American Renal Associates Holdings Inc.*(a) | | | 15,497 | |
| | 1,761 | | | | | AMN Healthcare Services Inc.* | | | 102,666 | |
| | 927 | | | | | Apollo Medical Holdings Inc.*(a) | | | 14,137 | |
See Notes to Financial Statements.
81
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | HEALTH CARE — 14.1% — (continued) | |
| | Health Care Providers & Services — 1.6% — (continued) | |
| | 4,442 | | | | | BioScrip Inc.* | | $ | 12,882 | |
| | 1,214 | | | | | BioTelemetry Inc.* | | | 75,025 | |
| | 6,983 | | | | | Brookdale Senior Living Inc.* | | | 69,271 | |
| | 879 | | | | | Capital Senior Living Corp.* | | | 7,797 | |
| | 582 | | | | | Chemed Corp. | | | 188,300 | |
| | 596 | | | | | Civitas Solutions Inc.* | | | 9,536 | |
| | 2,871 | | | | | Community Health Systems Inc.* | | | 11,139 | |
| | 326 | | | | | CorVel Corp.* | | | 19,381 | |
| | 1,325 | | | | | Cross Country Healthcare Inc.* | | | 13,263 | |
| | 2,118 | | | | | Diplomat Pharmacy Inc.* | | | 43,758 | |
| | 3,674 | | | | | Encompass Health Corp. | | | 299,762 | |
| | 1,843 | | | | | Ensign Group Inc. (The) | | | 72,006 | |
| | 4,665 | | | | | Envision Healthcare Corp.* | | | 211,604 | |
| | 2,272 | | | | | Genesis Healthcare Inc., Class A Shares* | | | 4,021 | |
| | 2,109 | | | | | HealthEquity Inc.* | | | 198,689 | |
| | 11,770 | | | | | Laboratory Corp. of America Holdings* | | | 2,034,680 | |
| | 1,153 | | | | | LHC Group Inc.* | | | 114,066 | |
| | 1,422 | | | | | LifePoint Health Inc.* | | | 91,577 | |
| | 918 | | | | | Magellan Health Inc.* | | | 67,473 | |
| | 3,464 | | | | | MEDNAX Inc.* | | | 164,020 | |
| | 8,511 | | | | | Molina Healthcare Inc.* | | | 1,174,518 | |
| | 593 | | | | | National HealthCare Corp. | | | 45,703 | |
| | 417 | | | | | National Research Corp. | | | 16,326 | |
| | 2,277 | | | | | Owens & Minor Inc. | | | 38,663 | |
| | 12,031 | | | | | Patterson Cos., Inc.(a) | | | 271,299 | |
| | 351 | | | | | PetIQ Inc., Class A Shares*(a) | | | 13,745 | |
| | 1,959 | | | | | Premier Inc., Class A Shares* | | | 86,647 | |
| | 424 | | | | | Providence Service Corp. (The)* | | | 28,467 | |
| | 1,325 | | | | | Quorum Health Corp.* | | | 6,029 | |
| | 3,861 | | | | | R1 RCM Inc.* | | | 38,494 | |
| | 1,490 | | | | | RadNet Inc.* | | | 20,637 | |
| | 4,060 | | | | | Select Medical Holdings Corp.* | | | 80,388 | |
| | 730 | | | | | Surgery Partners Inc.*(a) | | | 12,666 | |
| | 3,122 | | | | | Tenet Healthcare Corp.* | | | 105,274 | |
| | 28,208 | | | | | Tivity Health Inc.* | | | 970,355 | |
| | 825 | | | | | Triple-S Management Corp., Class B Shares* | | | 17,960 | |
| | 469 | | | | | US Physical Therapy Inc. | | | 58,742 | |
| | 1,888 | | | | | WellCare Health Plans Inc.* | | | 571,252 | |
| | | | | | | | | | |
| | | | | | Total Health Care Providers & Services | | | 8,519,173 | |
| | | | | | | | | | |
| | Health Care Technology — 0.6% | |
| | 77,338 | | | | | Allscripts Healthcare Solutions Inc.* | | | 1,129,908 | |
| | 1,548 | | | | | athenahealth Inc.* | | | 238,237 | |
| | 2,904 | | | | | Castlight Health Inc., Class B Shares* | | | 8,712 | |
| | 431 | | | | | Computer Programs & Systems Inc. | | | 11,766 | |
| | 2,518 | | | | | Evolent Health Inc., Class A Shares* | | | 64,209 | |
| | 1,089 | | | | | HealthStream Inc. | | | 34,554 | |
| | 3,305 | | | | | HMS Holdings Corp.* | | | 105,925 | |
| | 2,702 | | | | | Inovalon Holdings Inc., Class A Shares*(a) | | | 29,722 | |
| | 281 | | | | | Inspire Medical Systems Inc.*(a) | | | 15,452 | |
| | 2,267 | | | | | Medidata Solutions Inc.* | | | 192,650 | |
| | 1,079 | | | | | NantHealth Inc.* | | | 2,395 | |
| | 11,159 | | | | | Omnicell Inc.* | | | 767,181 | |
| | 1,992 | | | | | Quality Systems Inc.* | | | 45,597 | |
| | 445 | | | | | Simulations Plus Inc. | | | 9,278 | |
See Notes to Financial Statements.
82
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | HEALTH CARE — 14.1% — (continued) | |
| | Health Care Technology — 0.6% — (continued) | |
| | 647 | | | | | Tabula Rasa HealthCare Inc.* | | $ | 56,723 | |
| | 2,603 | | | | | Teladoc Health Inc.*(a) | | | 201,863 | |
| | 4,643 | | | | | Veeva Systems Inc., Class A Shares* | | | 484,544 | |
| | 1,101 | | | | | Vocera Communications Inc.* | | | 36,509 | |
| | | | | | | | | | |
| | | | | | Total Health Care Technology | | | 3,435,225 | |
| | | | | | | | | | |
| | Life Sciences Tools & Services — 2.6% | |
| | 917 | | | | | Accelerate Diagnostics Inc.*(a) | | | 22,558 | |
| | 35,960 | | | | | Agilent Technologies Inc. | | | 2,428,738 | |
| | 4,742 | | | | | Bio-Rad Laboratories Inc., Class A Shares* | | | 1,542,573 | |
| | 1,441 | | | | | Bio-Techne Corp. | | | 276,917 | |
| | 3,949 | | | | | Bruker Corp. | | | 140,506 | |
| | 1,231 | | | | | Cambrex Corp.* | | | 82,969 | |
| | 13,739 | | | | | Charles River Laboratories International Inc.* | | | 1,696,904 | |
| | 1,815 | | | | | ChromaDex Corp.*(a) | | | 8,222 | |
| | 1,898 | | | | | Codexis Inc.* | | | 32,646 | |
| | 1,486 | | | | | Enzo Biochem Inc.* | | | 6,821 | |
| | 103,324 | | | | | Fluidigm Corp.*(a) | | | 818,326 | |
| | 1,600 | | | | | Harvard Bioscience Inc.* | | | 9,520 | |
| | 9,090 | | | | | ICON PLC, ADR* | | | 1,354,592 | |
| | 2,317 | | | | | Illumina Inc.* | | | 822,141 | |
| | 22,254 | | | | | Luminex Corp. | | | 627,785 | |
| | 441 | | | | | Medpace Holdings Inc.* | | | 26,367 | |
| | 28,914 | | | | | NanoString Technologies Inc.* | | | 467,539 | |
| | 2,058 | | | | | NeoGenomics Inc.* | | | 28,503 | |
| | 4,526 | | | | | Pacific Biosciences of California Inc.* | | | 22,585 | |
| | 4,250 | | | | | PerkinElmer Inc. | | | 392,828 | |
| | 7,647 | | | | | PRA Health Sciences Inc.* | | | 807,523 | |
| | 27,945 | | | | | QIAGEN NV* | | | 1,089,017 | |
| | 136 | | | | | Quanterix Corp.* | | | 2,275 | |
| | 2,395 | | | | | Syneos Health Inc., Class A Shares* | | | 119,391 | |
| | 2,677 | | | | | Waters Corp.* | | | 507,238 | |
| | | | | | | | | | |
| | | | | | Total Life Sciences Tools & Services | | | 13,334,484 | |
| | | | | | | | | | |
| | Pharmaceuticals — 1.5% | |
| | 988 | | | | | Aclaris Therapeutics Inc.* | | | 15,729 | |
| | 1,324 | | | | | Aerie Pharmaceuticals Inc.* | | | 81,227 | |
| | 602 | | | | | Akcea Therapeutics Inc.*(a) | | | 15,899 | |
| | 3,486 | | | | | Akorn Inc.* | | | 54,695 | |
| | 43,346 | | | | | Amneal Pharmaceuticals Inc.* | | | 1,001,293 | |
| | 1,323 | | | | | Amphastar Pharmaceuticals Inc.* | | | 25,111 | |
| | 2,443 | | | | | Ampio Pharmaceuticals Inc.*(a) | | | 1,537 | |
| | 338 | | | | | ANI Pharmaceuticals Inc.* | | | 19,672 | |
| | 1,861 | | | | | Aratana Therapeutics Inc.* | | | 9,863 | |
| | 679 | | | | | Assembly Biosciences Inc.* | | | 27,160 | |
| | 2,423 | | | | | Assertio Therapeutics Inc.* | | | 15,459 | |
| | 19,849 | | | | | Catalent Inc.* | | | 829,688 | |
| | 988 | | | | | Clearside Biomedical Inc.* | | | 6,728 | |
| | 1,099 | | | | | Collegium Pharmaceutical Inc.* | | | 18,793 | |
| | 3,649 | | | | | Corcept Therapeutics Inc.* | | | 54,808 | |
| | 860 | | | | | Corium International Inc.* | | | 8,394 | |
| | 137,640 | | | | | Correvio Pharma Corp.* | | | 623,509 | |
| | 29,094 | | | | | Cymabay Therapeutics Inc.* | | | 396,551 | |
| | 1,234 | | | | | Dermira Inc.* | | | 11,748 | |
| | 509 | | | | | Dova Pharmaceuticals Inc.*(a) | | | 12,954 | |
See Notes to Financial Statements.
83
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | HEALTH CARE — 14.1% — (continued) | |
| | Pharmaceuticals — 1.5% — (continued) | |
| | 6,490 | | | | | Durect Corp.* | | $ | 8,502 | |
| �� | 1,120 | | | | | Eloxx Pharmaceuticals Inc.* | | | 20,518 | |
| | 8,364 | | | | | Endo International PLC* | | | 143,443 | |
| | 2,421 | | | | | Endocyte Inc.* | | | 47,742 | |
| | 219 | | | | | Evolus Inc.* | | | 5,604 | |
| | 6,187 | | | | | Horizon Pharma PLC* | | | 130,793 | |
| | 804 | | | | | Innovate Biopharmaceuticals Inc.*(a) | | | 5,724 | |
| | 2,598 | | | | | Innoviva Inc.* | | | 37,723 | |
| | 22,186 | | | | | Intersect ENT Inc.* | | | 650,050 | |
| | 1,669 | | | | | Intra-Cellular Therapies Inc.* | | | 36,618 | |
| | 2,286 | | | | | Jazz Pharmaceuticals PLC* | | | 390,723 | |
| | 426 | | | | | Kala Pharmaceuticals Inc.* | | | 5,755 | |
| | 1,196 | | | | | Lannett Co., Inc.*(a) | | | 6,399 | |
| | 14,576 | | | | | Mallinckrodt PLC* | | | 502,289 | |
| | 2,190 | | | | | Marinus Pharmaceuticals Inc.* | | | 15,637 | |
| | 29,633 | | | | | Medicines Co. (The)*(a) | | | 1,173,763 | |
| | 551 | | | | | Melinta Therapeutics Inc.* | | | 2,576 | |
| | 265 | | | | | Menlo Therapeutics Inc.* | | | 2,035 | |
| | 1,137 | | | | | MyoKardia Inc.* | | | 70,096 | |
| | 8,305 | | | | | Nektar Therapeutics, Class A Shares* | | | 552,199 | |
| | 1,067 | | | | | Neos Therapeutics Inc.* | | | 6,135 | |
| | 1,095 | | | | | Ocular Therapeutix Inc.* | | | 7,391 | |
| | 285 | | | | | Odonate Therapeutics Inc.* | | | 5,469 | |
| | 1,707 | | | | | Omeros Corp.* | | | 44,177 | |
| | 534 | | | | | Optinose Inc.*(a) | | | 7,941 | |
| | 1,491 | | | | | Pacira Pharmaceuticals Inc.* | | | 70,301 | |
| | 1,169 | | | | | Paratek Pharmaceuticals Inc.* | | | 11,982 | |
| | 756 | | | | | Phibro Animal Health Corp., Class A Shares | | | 35,683 | |
| | 1,994 | | | | | Prestige Consumer Healthcare Inc.* | | | 76,769 | |
| | 592 | | | | | Reata Pharmaceuticals Inc., Class A Shares*(a) | | | 51,125 | |
| | 1,220 | | | | | Revance Therapeutics Inc.* | | | 33,428 | |
| | 333 | | | | | scPharmaceuticals Inc.* | | | 1,705 | |
| | 627 | | | | | Sienna Biopharmaceuticals Inc.* | | | 10,446 | |
| | 2,526 | | | | | SIGA Technologies Inc.* | | | 20,789 | |
| | 1,822 | | | | | Supernus Pharmaceuticals Inc.* | | | 80,715 | |
| | 1,542 | | | | | Teligent Inc.*(a) | | | 6,230 | |
| | 2,531 | | | | | Tetraphase Pharmaceuticals Inc.* | | | 8,960 | |
| | 6,253 | | | | | TherapeuticsMD Inc.* | | | 40,519 | |
| | 1,603 | | | | | Theravance Biopharma Inc.*(a) | | | 46,439 | |
| | 657 | | | | | WaVe Life Sciences Ltd.* | | | 35,018 | |
| | 1,608 | | | | | Zogenix Inc.* | | | 77,666 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 7,717,895 | |
| | | | | | | | | | |
| | | | | | TOTAL HEALTH CARE | | | 73,505,909 | |
| | | | | | | | | | |
| | INDUSTRIALS — 18.6% | |
| | Aerospace & Defense — 3.1% | |
| | 1,214 | | | | | AAR Corp. | | | 56,657 | |
| | 2,608 | | | | | Aerojet Rocketdyne Holdings Inc.* | | | 91,567 | |
| | 792 | | | | | Aerovironment Inc.* | | | 69,664 | |
| | 796 | | | | | Astronics Corp.* | | | 34,634 | |
| | 1,961 | | | | | Axon Enterprise Inc.* | | | 133,858 | |
| | 12,781 | | | | | BWX Technologies Inc. | | | 783,731 | |
| | 28,896 | | | | | Cubic Corp. | | | 2,187,427 | |
| | 1,725 | | | | | Curtiss-Wright Corp. | | | 231,064 | |
See Notes to Financial Statements.
84
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | INDUSTRIALS — 18.6% — (continued) | |
| | Aerospace & Defense — 3.1% — (continued) | |
| | 435 | | | | | Ducommun Inc.* | | $ | 17,700 | |
| | 637 | | | | | Engility Holdings Inc.* | | | 22,110 | |
| | 4,849 | | | | | Esterline Technologies Corp.* | | | 416,772 | |
| | 1,439 | | | | | HEICO Corp. | | | 130,489 | |
| | 17,015 | | | | | HEICO Corp., Class A Shares | | | 1,267,617 | |
| | 50,504 | | | | | Hexcel Corp. | | | 3,339,324 | |
| | 1,685 | | | | | Huntington Ingalls Industries Inc. | | | 411,932 | |
| | 68,620 | | | | | KEYW Holding Corp. (The)*(a) | | | 583,956 | |
| | 1,876 | | | | | KLX Inc.* | | | 138,524 | |
| | 3,298 | | | | | Kratos Defense & Security Solutions Inc.* | | | 44,061 | |
| | 2,113 | | | | | Maxar Technologies Ltd. | | | 65,609 | |
| | 14,654 | | | | | Mercury Systems Inc.* | | | 798,790 | |
| | 1,197 | | | | | Moog Inc., Class A Shares | | | 94,455 | |
| | 208 | | | | | National Presto Industries Inc. | | | 27,581 | |
| | 249 | | | | | Sparton Corp.* | | | 3,180 | |
| | 15,774 | | | | | Spirit AeroSystems Holdings Inc., Class A Shares | | | 1,348,677 | |
| | 8,636 | | | | | Teledyne Technologies Inc.* | | | 2,048,977 | |
| | 1,822 | | | | | Triumph Group Inc. | | | 37,898 | |
| | 416 | | | | | Vectrus Inc.* | | | 13,653 | |
| | 146,042 | | | | | Wesco Aircraft Holdings Inc.* | | | 1,774,410 | |
| | | | | | | | | | |
| | | | | | Total Aerospace & Defense | | | 16,174,317 | |
| | | | | | | | | | |
| | Air Freight & Logistics — 0.2% | |
| | 2,185 | | | | | Air Transport Services Group Inc.* | | | 44,465 | |
| | 884 | | | | | Atlas Air Worldwide Holdings Inc.* | | | 53,836 | |
| | 24,716 | | | | | Echo Global Logistics Inc.* | | | 820,571 | |
| | 1,094 | | | | | Forward Air Corp. | | | 70,300 | |
| | 1,338 | | | | | Hub Group Inc., Class A Shares* | | | 70,713 | |
| | 1,739 | | | | | Radiant Logistics Inc.* | | | 7,565 | |
| | | | | | | | | | |
| | | | | | Total Air Freight & Logistics | | | 1,067,450 | |
| | | | | | | | | | |
| | Airlines — 0.3% | |
| | 4,666 | | | | | Alaska Air Group Inc. | | | 314,908 | |
| | 527 | | | | | Allegiant Travel Co., Class A Shares | | | 71,804 | |
| | 1,176 | | | | | Copa Holdings SA, Class A Shares | | | 94,009 | |
| | 2,025 | | | | | Hawaiian Holdings Inc. | | | 84,038 | |
| | 43,653 | | | | | JetBlue Airways Corp.* | | | 832,899 | |
| | 1,899 | | | | | SkyWest Inc. | | | 124,005 | |
| | 2,556 | | | | | Spirit Airlines Inc.* | | | 121,461 | |
| | | | | | | | | | |
| | | | | | Total Airlines | | | 1,643,124 | |
| | | | | | | | | | |
| | Building Products — 1.1% | |
| | 1,542 | | | | | AAON Inc. | | | 62,297 | |
| | 1,660 | | | | | Advanced Drainage Systems Inc. | | | 52,041 | |
| | 3,689 | | | | | Allegion PLC | | | 321,755 | |
| | 527 | | | | | American Woodmark Corp.* | | | 44,769 | |
| | 17,089 | | | | | AO Smith Corp. | | | 992,529 | |
| | 1,036 | | | | | Apogee Enterprises Inc. | | | 50,992 | |
| | 764 | | | | | Armstrong Flooring Inc.* | | | 13,378 | |
| | 1,690 | | | | | Armstrong World Industries Inc.* | | | 117,962 | |
| | 4,225 | | | | | Builders FirstSource Inc.* | | | 65,994 | |
| | 952 | | | | | Caesarstone Ltd.(a) | | | 18,040 | |
| | 1,402 | | | | | Continental Building Products Inc.* | | | 52,295 | |
| | 597 | | | | | CSW Industrials Inc.* | | | 33,432 | |
| | 5,443 | | | | | Fortune Brands Home & Security Inc. | | | 288,370 | |
See Notes to Financial Statements.
85
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | INDUSTRIALS — 18.6% — (continued) | |
| | Building Products — 1.1% — (continued) | |
| | 1,193 | | | | | Gibraltar Industries Inc.* | | $ | 54,162 | |
| | 1,025 | | | | | Griffon Corp. | | | 18,706 | |
| | 677 | | | | | Insteel Industries Inc. | | | 25,963 | |
| | 20,671 | | | | | JELD-WEN Holding Inc.* | | | 502,719 | |
| | 1,431 | | | | | Lennox International Inc. | | | 318,841 | |
| | 1,116 | | | | | Masonite International Corp.* | | | 74,716 | |
| | 107,591 | | | | | NCI Building Systems Inc.* | | | 1,818,288 | |
| | 4,108 | | | | | Owens Corning | | | 232,595 | |
| | 891 | | | | | Patrick Industries Inc.* | | | 57,024 | |
| | 1,837 | | | | | PGT Innovations Inc.* | | | 44,639 | |
| | 1,226 | | | | | Quanex Building Products Corp. | | | 20,106 | |
| | 1,545 | | | | | Simpson Manufacturing Co., Inc. | | | 118,610 | |
| | 2,288 | | | | | Trex Co., Inc.* | | | 193,794 | |
| | 2,511 | | | | | Universal Forest Products Inc. | | | 94,062 | |
| | 3,201 | | | | | USG Corp.* | | | 137,963 | |
| | | | | | | | | | |
| | | | | | Total Building Products | | | 5,826,042 | |
| | | | | | | | | | |
| | Commercial Services & Supplies — 2.6% | |
| | 2,470 | | | | | ABM Industries Inc. | | | 78,348 | |
| | 3,975 | | | | | ACCO Brands Corp. | | | 49,290 | |
| | 3,976 | | | | | ADT Inc.(a) | | | 35,585 | |
| | 2,711 | | | | | Advanced Disposal Services Inc.* | | | 72,329 | |
| | 1,753 | | | | | Brady Corp., Class A Shares | | | 70,909 | |
| | 1,875 | | | | | Brink’s Co. (The) | | | 140,812 | |
| | 1,496 | | | | | Casella Waste Systems Inc., Class A Shares* | | | 42,456 | |
| | 1,654 | | | | | CECO Environmental Corp. | | | 13,960 | |
| | 822 | | | | | Cimpress NV* | | | 115,080 | |
| | 8,875 | | | | | Cintas Corp. | | | 1,893,659 | |
| | 14,445 | | | | | Clean Harbors Inc.* | | | 990,783 | |
| | 107,996 | | | | | Covanta Holding Corp. | | | 1,906,129 | |
| | 1,776 | | | | | Deluxe Corp. | | | 105,175 | |
| | 941 | | | | | Ennis Inc. | | | 20,514 | |
| | 1,527 | | | | | Essendant Inc. | | | 22,035 | |
| | 2,760 | | | | | Healthcare Services Group Inc.(a) | | | 113,740 | |
| | 554 | | | | | Heritage-Crystal Clean Inc.* | | | 12,908 | |
| | 2,397 | | | | | Herman Miller Inc. | | | 91,805 | |
| | 1,623 | | | | | HNI Corp. | | | 71,574 | |
| | 2,221 | | | | | Interface Inc., Class A Shares | | | 52,305 | |
| | 18,024 | | | | | KAR Auction Services Inc. | | | 1,129,925 | |
| | 1,321 | | | | | Kimball International Inc., Class B Shares | | | 23,078 | |
| | 1,826 | | | | | Knoll Inc. | | | 42,984 | |
| | 1,716 | | | | | LSC Communications Inc. | | | 20,987 | |
| | 42,252 | | | | | Matthews International Corp., Class A Shares | | | 2,192,879 | |
| | 1,016 | | | | | McGrath RentCorp | | | 58,928 | |
| | 1,660 | | | | | Mobile Mini Inc. | | | 71,214 | |
| | 10,907 | | | | | MSA Safety Inc. | | | 1,102,589 | |
| | 570 | | | | | Multi-Color Corp. | | | 35,197 | |
| | 157 | | | | | NL Industries Inc.* | | | 1,240 | |
| | 787 | | | | | PICO Holdings Inc. | | | 9,405 | |
| | 7,016 | | | | | Pitney Bowes Inc. | | | 50,936 | |
| | 1,140 | | | | | Quad/Graphics Inc. | | | 25,958 | |
| | 3,628 | | | | | Rollins Inc. | | | 217,970 | |
| | 2,962 | | | | | RR Donnelley & Sons Co. | | | 14,988 | |
| | 853 | | | | | SP Plus Corp.* | | | 33,182 | |
| | 3,181 | | | | | Steelcase Inc., Class A Shares | | | 46,443 | |
See Notes to Financial Statements.
86
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | INDUSTRIALS — 18.6% — (continued) | |
| | Commercial Services & Supplies — 2.6% — (continued) | |
| | 10,108 | | | | | Stericycle Inc.* | | $ | 623,562 | |
| | 1,065 | | | | | Team Inc.*(a) | | | 24,814 | |
| | 2,165 | | | | | Tetra Tech Inc. | | | 151,117 | |
| | 611 | | | | | UniFirst Corp. | | | 113,157 | |
| | 824 | | | | | US Ecology Inc. | | | 59,946 | |
| | 765 | | | | | Viad Corp. | | | 47,124 | |
| | 286 | | | | | VSE Corp. | | | 11,034 | |
| | 17,967 | | | | | Waste Connections Inc. | | | 1,426,400 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services & Supplies | | | 13,434,453 | |
| | | | | | | | | | |
| | Construction & Engineering — 1.9% | |
| | 5,988 | | | | | AECOM* | | | 201,436 | |
| | 1,206 | | | | | Aegion Corp., Class A Shares* | | | 30,102 | |
| | 595 | | | | | Ameresco Inc., Class A Shares* | | | 8,538 | |
| | 672 | | | | | Argan Inc. | | | 26,746 | |
| | 1,372 | | | | | Comfort Systems USA Inc. | | | 78,753 | |
| | 1,196 | | | | | Dycom Industries Inc.* | | | 100,356 | |
| | 27,424 | | | | | EMCOR Group Inc. | | | 2,196,662 | |
| | 5,260 | | | | | Fluor Corp. | | | 301,977 | |
| | 38,616 | | | | | Granite Construction Inc. | | | 1,763,979 | |
| | 2,140 | | | | | Great Lakes Dredge & Dock Corp.* | | | 11,716 | |
| | 1,890 | | | | | HC2 Holdings Inc.* | | | 11,850 | |
| | 295 | | | | | IES Holdings Inc.* | | | 5,649 | |
| | 781 | | | | | Infrastructure & Energy Alternatives Inc.* | | | 8,279 | |
| | 45,256 | | | | | Jacobs Engineering Group Inc. | | | 3,289,659 | |
| | 47,482 | | | | | KBR Inc. | | | 996,172 | |
| | 2,420 | | | | | MasTec Inc.* | | | 105,996 | |
| | 570 | | | | | MYR Group Inc.* | | | 19,819 | |
| | 371 | | | | | Northwest Pipe Co.* | | | 6,700 | |
| | 294 | | | | | NV5 Global Inc.* | | | 26,004 | |
| | 1,240 | | | | | Orion Group Holdings Inc.* | | | 10,689 | |
| | 1,565 | | | | | Primoris Services Corp. | | | 39,219 | |
| | 5,605 | | | | | Quanta Services Inc.* | | | 193,877 | |
| | 1,080 | | | | | Sterling Construction Co., Inc.* | | | 15,714 | |
| | 1,359 | | | | | Tutor Perini Corp.* | | | 27,656 | |
| | 3,325 | | | | | Valmont Industries Inc. | | | 466,830 | |
| | 1,228 | | | | | Willscot Corp., Class A Shares*(a) | | | 21,429 | |
| | | | | | | | | | |
| | | | | | Total Construction & Engineering | | | 9,965,807 | |
| | | | | | | | | | |
| | Electrical Equipment — 1.3% | |
| | 1,584 | | | | | Acuity Brands Inc. | | | 242,099 | |
| | 249 | | | | | Allied Motion Technologies Inc. | | | 12,161 | |
| | 1,484 | | | | | Atkore International Group Inc.* | | | 40,632 | |
| | 37,258 | | | | | AZZ Inc. | | | 2,002,617 | |
| | 168,547 | | | | | Babcock & Wilcox Enterprises Inc.* | | | 235,966 | |
| | 761 | | | | | Encore Wire Corp. | | | 38,240 | |
| | 872 | | | | | Energous Corp.*(a) | | | 11,179 | |
| | 1,570 | | | | | EnerSys | | | 130,294 | |
| | 3,177 | | | | | Enphase Energy Inc.*(a) | | | 15,536 | |
| | 3,943 | | | | | FuelCell Energy Inc.*(a) | | | 4,613 | |
| | 2,265 | | | | | Generac Holdings Inc.* | | | 125,685 | |
| | 2,297 | | | | | GrafTech International Ltd. | | | 42,449 | |
| | 2,126 | | | | | Hubbell Inc., Class B Shares | | | 268,641 | |
| | 6,040 | | | | | nVent Electric PLC | | | 169,664 | |
| | 7,711 | | | | | Plug Power Inc.*(a) | | | 15,191 | |
See Notes to Financial Statements.
87
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | INDUSTRIALS — 18.6% — (continued) | |
| | Electrical Equipment — 1.3% — (continued) | |
| | 305 | | | | | Powell Industries Inc. | | $ | 11,941 | |
| | 102 | | | | | Preformed Line Products Co. | | | 8,333 | |
| | 1,750 | | | | | Regal Beloit Corp. | | | 146,475 | |
| | 2,920 | | | | | Rockwell Automation Inc. | | | 528,403 | |
| | 6,599 | | | | | Sensata Technologies Holding PLC* | | | 349,417 | |
| | 4,021 | | | | | Sunrun Inc.* | | | 52,755 | |
| | 77,975 | | | | | Thermon Group Holdings Inc.* | | | 2,089,730 | |
| | 577 | | | | | TPI Composites Inc.* | | | 16,173 | |
| | 644 | | | | | Vicor Corp.* | | | 40,218 | |
| | 1,359 | | | | | Vivint Solar Inc.* | | | 7,135 | |
| | | | | | | | | | |
| | | | | | Total Electrical Equipment | | | 6,605,547 | |
| | | | | | | | | | |
| | Industrial Conglomerates — 0.6% | |
| | 13,858 | | | | | Carlisle Cos., Inc. | | | 1,757,333 | |
| | 1,342 | | | | | Raven Industries Inc. | | | 64,953 | |
| | 4,932 | | | | | Roper Technologies Inc. | | | 1,471,561 | |
| | | | | | | | | | |
| | | | | | Total Industrial Conglomerates | | | 3,293,847 | |
| | | | | | | | | | |
| | Machinery — 4.0% | |
| | 24,246 | | | | | Actuant Corp., Class A Shares | | | 714,045 | |
| | 2,676 | | | | | AGCO Corp. | | | 159,650 | |
| | 429 | | | | | Alamo Group Inc. | | | 40,884 | |
| | 1,076 | | | | | Albany International Corp., Class A Shares | | | 83,013 | |
| | 4,529 | | | | | Allison Transmission Holdings Inc. | | | 224,910 | |
| | 1,084 | | | | | Altra Industrial Motion Corp.(a) | | | 42,330 | |
| | 275 | | | | | American Railcar Industries Inc. | | | 12,601 | |
| | 854 | | | | | Astec Industries Inc. | | | 41,547 | |
| | 1,951 | | | | | Barnes Group Inc. | | | 132,785 | |
| | 514 | | | | | Blue Bird Corp.* | | | 11,796 | |
| | 2,059 | | | | | Briggs & Stratton Corp. | | | 41,510 | |
| | 1,153 | | | | | Chart Industries Inc.* | | | 87,109 | |
| | 600 | | | | | CIRCOR International Inc. | | | 27,216 | |
| | 3,635 | | | | | Colfax Corp.* | | | 126,934 | |
| | 829 | | | | | Columbus McKinnon Corp. | | | 35,257 | |
| | 1,068 | | | | | Commercial Vehicle Group Inc.* | | | 10,424 | |
| | 1,875 | | | | | Crane Co. | | | 171,150 | |
| | 536 | | | | | DMC Global Inc. | | | 21,038 | |
| | 4,868 | | | | | Donaldson Co., Inc. | | | 246,321 | |
| | 833 | | | | | Douglas Dynamics Inc. | | | 38,151 | |
| | 203 | | | | | Eastern Co. (The) | | | 5,989 | |
| | 1,250 | | | | | Energy Recovery Inc.*(a) | | | 12,113 | |
| | 774 | | | | | EnPro Industries Inc. | | | 58,104 | |
| | 957 | | | | | ESCO Technologies Inc. | | | 64,741 | |
| | 2,829 | | | | | Evoqua Water Technologies Corp.* | | | 54,826 | |
| | 2,229 | | | | | Federal Signal Corp. | | | 58,021 | |
| | 24,436 | | | | | Flowserve Corp. | | | 1,273,604 | |
| | 1,735 | | | | | Franklin Electric Co., Inc. | | | 84,842 | |
| | 365 | | | | | FreightCar America Inc.* | | | 6,172 | |
| | 3,987 | | | | | Gardner Denver Holdings Inc.* | | | 111,477 | |
| | 1,671 | | | | | Gates Industrial Corp. PLC* | | | 30,462 | |
| | 303 | | | | | Gencor Industries Inc.* | | | 3,909 | |
| | 963 | | | | | Global Brass & Copper Holdings Inc. | | | 37,124 | |
| | 669 | | | | | Gorman-Rupp Co. (The) | | | 24,526 | |
| | 6,466 | | | | | Graco Inc. | | | 303,967 | |
| | 303 | | | | | Graham Corp. | | | 8,426 | |
See Notes to Financial Statements.
88
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | INDUSTRIALS — 18.6% — (continued) | |
| | Machinery — 4.0% — (continued) | |
| | 1,183 | | | | | Greenbrier Cos., Inc. (The) | | $ | 68,614 | |
| | 31,209 | | | | | Harsco Corp.* | | | 881,654 | |
| | 2,345 | | | | | Hillenbrand Inc. | | | 119,947 | |
| | 226 | | | | | Hurco Cos., Inc. | | | 9,695 | |
| | 376 | | | | | Hyster-Yale Materials Handling Inc. | | | 23,199 | |
| | 18,138 | | | | | IDEX Corp. | | | 2,778,923 | |
| | 13,979 | | | | | ITT Inc. | | | 826,299 | |
| | 1,167 | | | | | John Bean Technologies Corp. | | | 138,056 | |
| | 411 | | | | | Kadant Inc. | | | 41,532 | |
| | 3,041 | | | | | Kennametal Inc. | | | 124,195 | |
| | 341 | | | | | LB Foster Co., Class A Shares* | | | 7,758 | |
| | 2,490 | | | | | Lincoln Electric Holdings Inc. | | | 234,458 | |
| | 438 | | | | | Lindsay Corp. | | | 41,947 | |
| | 618 | | | | | Lydall Inc.* | | | 26,450 | |
| | 950 | | | | | Manitex International Inc.* | | | 10,051 | |
| | 90,602 | | | | | Manitowoc Co., Inc. (The)* | | | 2,101,060 | |
| | 3,147 | | | | | Meritor Inc.* | | | 68,164 | |
| | 2,116 | | | | | Middleby Corp. (The)* | | | 257,179 | |
| | 46,393 | | | | | Milacron Holdings Corp.* | | | 983,532 | |
| | 418 | | | | | Miller Industries Inc. | | | 12,038 | |
| | 2,119 | | | | | Mueller Industries Inc. | | | 67,744 | |
| | 5,786 | | | | | Mueller Water Products Inc., Class A Shares | | | 66,944 | |
| | 1,837 | | | | | Navistar International Corp.* | | | 80,038 | |
| | 948 | | | | | NN Inc. | | | 18,960 | |
| | 2,171 | | | | | Nordson Corp. | | | 301,812 | |
| | 168 | | | | | Omega Flex Inc. | | | 14,910 | |
| | 2,759 | | | | | Oshkosh Corp. | | | 193,847 | |
| | 375 | | | | | Park-Ohio Holdings Corp. | | | 15,544 | |
| | 6,020 | | | | | Pentair PLC | | | 261,750 | |
| | 1,083 | | | | | Proto Labs Inc.* | | | 168,352 | |
| | 963 | | | | | RBC Bearings Inc.* | | | 144,267 | |
| | 1,127 | | | | | REV Group Inc.(a) | | | 19,170 | |
| | 3,906 | | | | | Rexnord Corp.* | | | 113,391 | |
| | 5,105 | | | | | Snap-on Inc. | | | 902,462 | |
| | 1,194 | | | | | Spartan Motors Inc. | | | 17,253 | |
| | 1,612 | | | | | SPX Corp.* | | | 54,792 | |
| | 43,979 | | | | | SPX FLOW Inc.* | | | 2,108,353 | |
| | 478 | | | | | Standex International Corp. | | | 51,576 | |
| | 1,070 | | | | | Sun Hydraulics Corp. | | | 53,864 | |
| | 668 | | | | | Tennant Co. | | | 51,135 | |
| | 2,783 | | | | | Terex Corp. | | | 107,841 | |
| | 2,718 | | | | | Timken Co. (The) | | | 132,231 | |
| | 2,602 | | | | | Titan International Inc. | | | 19,463 | |
| | 4,078 | | | | | Toro Co. (The) | | | 247,902 | |
| | 1,718 | | | | | TriMas Corp.* | | | 52,743 | |
| | 5,773 | | | | | Trinity Industries Inc. | | | 206,904 | |
| | 10,919 | | | | | Twin Disc Inc.* | | | 278,981 | |
| | 2,496 | | | | | Wabash National Corp. | | | 45,527 | |
| | 2,005 | | | | | WABCO Holdings Inc.* | | | 246,775 | |
| | 9,843 | | | | | Wabtec Corp.(a) | | | 1,066,194 | |
| | 1,175 | | | | | Watts Water Technologies Inc., Class A Shares | | | 96,879 | |
| | 5,280 | | | | | Welbilt Inc.* | | | 116,846 | |
| | 2,000 | | | | | Woodward Inc. | | | 161,120 | |
| | | | | | | | | | |
| | | | | | Total Machinery | | | 20,647,295 | |
| | | | | | | | | | |
See Notes to Financial Statements.
89
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | INDUSTRIALS — 18.6% — (continued) | |
| | Marine — 0.1% | |
| | 1,817 | | | | | Costamare Inc. | | $ | 12,773 | |
| | 34,600 | | | | | Danaos Corp.* | | | 57,090 | |
| | 1,848 | | | | | Eagle Bulk Shipping Inc.* | | | 9,258 | |
| | 660 | | | | | Genco Shipping & Trading Ltd.* | | | 9,062 | |
| | 2,212 | | | | | Kirby Corp.* | | | 193,108 | |
| | 1,580 | | | | | Matson Inc. | | | 59,029 | |
| | 2,124 | | | | | Safe Bulkers Inc.* | | | 5,926 | |
| | 1,967 | | | | | Scorpio Bulkers Inc. | | | 13,376 | |
| | | | | | | | | | |
| | | | | | Total Marine | | | 359,622 | |
| | | | | | | | | | |
| | Professional Services — 0.8% | |
| | 721 | | | | | Acacia Research Corp.* | | | 2,812 | |
| | 1,978 | | | | | ASGN Inc.* | | | 183,143 | |
| | 296 | | | | | Barrett Business Services Inc. | | | 22,209 | |
| | 266 | | | | | BG Staffing Inc. | | | 6,480 | |
| | 1,940 | | | | | CBIZ Inc.* | | | 46,366 | |
| | 296 | | | | | CRA International Inc. | | | 16,919 | |
| | 1,393 | | | | | Dun & Bradstreet Corp. (The) | | | 199,088 | |
| | 2,143 | | | | | Exponent Inc. | | | 112,186 | |
| | 391 | | | | | Forrester Research Inc. | | | 19,237 | |
| | 544 | | | | | Franklin Covey Co.* | | | 13,926 | |
| | 1,403 | | | | | FTI Consulting Inc.* | | | 106,937 | |
| | 467 | | | | | GP Strategies Corp.* | | | 8,896 | |
| | 816 | | | | | Heidrick & Struggles International Inc. | | | 36,067 | |
| | 829 | | | | | Huron Consulting Group Inc.* | | | 41,036 | |
| | 678 | | | | | ICF International Inc. | | | 55,359 | |
| | 1,497 | | | | | InnerWorkings Inc.* | | | 11,707 | |
| | 1,433 | | | | | Insperity Inc. | | | 171,745 | |
| | 1,394 | | | | | Kelly Services Inc., Class A Shares | | | 35,143 | |
| | 870 | | | | | Kforce Inc. | | | 36,584 | |
| | 2,111 | | | | | Korn/Ferry International | | | 141,711 | |
| | 2,551 | | | | | ManpowerGroup Inc. | | | 239,105 | |
| | 94,985 | | | | | Mistras Group Inc.* | | | 2,166,608 | |
| | 1,679 | | | | | Navigant Consulting Inc.* | | | 40,111 | |
| | 249 | | | | | Reis Inc. | | | 5,739 | |
| | 1,126 | | | | | Resources Connection Inc. | | | 18,635 | |
| | 4,637 | | | | | Robert Half International Inc. | | | 362,521 | |
| | 1,629 | | | | | TriNet Group Inc.* | | | 96,225 | |
| | 1,534 | | | | | TrueBlue Inc.* | | | 44,946 | |
| | 1,616 | | | | | WageWorks Inc.* | | | 86,456 | |
| | 345 | | | | | Willdan Group Inc.* | | | 10,823 | |
| | | | | | | | | | |
| | | | | | Total Professional Services | | | 4,338,720 | |
| | | | | | | | | | |
| | Road & Rail — 0.9% | |
| | 262 | | | | | AMERCO | | | 98,221 | |
| | 1,092 | | | | | ArcBest Corp. | | | 52,525 | |
| | 17,038 | | | | | Avis Budget Group Inc.* | | | 530,052 | |
| | 438 | | | | | Covenant Transportation Group Inc., Class A Shares* | | | 13,083 | |
| | 1,485 | | | | | Daseke Inc.* | | | 13,350 | |
| | 2,353 | | | | | Genesee & Wyoming Inc., Class A Shares* | | | 206,805 | |
| | 1,755 | | | | | Heartland Express Inc. | | | 35,890 | |
| | 31,645 | | | | | Hertz Global Holdings Inc.*(a) | | | 557,268 | |
| | 19,770 | | | | | Knight-Swift Transportation Holdings Inc., Class A Shares | | | 674,750 | |
| | 1,623 | | | | | Landstar System Inc. | | | 187,943 | |
| | 1,454 | | | | | Marten Transport Ltd. | | | 32,061 | |
See Notes to Financial Statements.
90
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | INDUSTRIALS — 18.6% — (continued) | |
| | Road & Rail — 0.9% — (continued) | |
| | 82 | | | | | PAM Transportation Services Inc.* | | $ | 4,778 | |
| | 22,574 | | | | | Ryder System Inc. | | | 1,734,586 | |
| | 958 | | | | | Saia Inc.* | | | 75,922 | |
| | 1,778 | | | | | Schneider National Inc., Class B Shares | | | 48,095 | |
| | 346 | | | | | Universal Logistics Holdings Inc. | | | 12,664 | |
| | 367 | | | | | USA Truck Inc.* | | | 8,041 | |
| | 2,025 | | | | | Werner Enterprises Inc. | | | 75,026 | |
| | 1,308 | | | | | YRC Worldwide Inc.* | | | 12,518 | |
| | | | | | | | | | |
| | | | | | Total Road & Rail | | | 4,373,578 | |
| | | | | | | | | | |
| | Trading Companies & Distributors — 1.7% | |
| | 28,415 | | | | | Air Lease Corp., Class A Shares | | | 1,313,057 | |
| | 1,791 | | | | | Aircastle Ltd. | | | 37,468 | |
| | 1,424 | | | | | Applied Industrial Technologies Inc. | | | 109,719 | |
| | 13,731 | | | | | Beacon Roofing Supply Inc.* | | | 509,145 | |
| | 285 | | | | | BlueLinx Holdings Inc.* | | | 10,240 | |
| | 2,798 | | | | | BMC Stock Holdings Inc.* | | | 62,955 | |
| | 658 | | | | | CAI International Inc.* | | | 17,759 | |
| | 575 | | | | | DXP Enterprises Inc.* | | | 26,387 | |
| | 170 | | | | | EnviroStar Inc. | | | 8,033 | |
| | 425 | | | | | Foundation Building Materials Inc.* | | | 5,869 | |
| | 1,405 | | | | | GATX Corp. | | | 118,652 | |
| | 295 | | | | | General Finance Corp.* | | | 4,027 | |
| | 1,213 | | | | | GMS Inc.* | | | 30,143 | |
| | 1,193 | | | | | H&E Equipment Services Inc. | | | 41,528 | |
| | 21,685 | | | | | HD Supply Holdings Inc.* | | | 988,619 | |
| | 898 | | | | | Herc Holdings Inc.* | | | 47,217 | |
| | 1,175 | | | | | Kaman Corp. | | | 76,622 | |
| | 239 | | | | | Lawson Products Inc.* | | | 8,054 | |
| | 3,142 | | | | | MRC Global Inc.* | | | 64,757 | |
| | 1,676 | | | | | MSC Industrial Direct Co., Inc., Class A Shares | | | 143,264 | |
| | 1,121 | | | | | Nexeo Solutions Inc.* | | | 11,221 | |
| | 4,030 | | | | | NOW Inc.* | | | 69,276 | |
| | 23,717 | | | | | Rush Enterprises Inc., Class A Shares | | | 1,018,882 | |
| | 192 | | | | | Rush Enterprises Inc., Class B Shares | | | 8,506 | |
| | 1,491 | | | | | SiteOne Landscape Supply Inc.* | | | 134,742 | |
| | 460 | | | | | Systemax Inc. | | | 16,790 | |
| | 125,538 | | | | | Textainer Group Holdings Ltd.* | | | 1,895,624 | |
| | 779 | | | | | Titan Machinery Inc.* | | | 14,069 | |
| | 1,954 | | | | | Triton International Ltd. | | | 73,822 | |
| | 38,389 | | | | | Univar Inc.* | | | 1,067,982 | |
| | 446 | | | | | Veritiv Corp.* | | | 21,296 | |
| | 4,676 | | | | | Watsco Inc. | | | 818,253 | |
| | 1,964 | | | | | WESCO International Inc.* | | | 120,099 | |
| | 210 | | | | | Willis Lease Finance Corp.* | | | 7,199 | |
| | | | | | | | | | |
| | | | | | Total Trading Companies & Distributors | | | 8,901,276 | |
| | | | | | | | | | |
| | Transportation Infrastructure — 0.0% | |
| | 2,982 | | | | | Macquarie Infrastructure Corp. | | | 140,273 | |
| | | | | | | | | | |
| | | | | | TOTAL INDUSTRIALS | | | 96,771,351 | |
| | | | | | | | | | |
| | INFORMATION TECHNOLOGY — 19.1% | |
| | Communications Equipment — 1.9% | |
| | 16,752 | | | | | Acacia Communications Inc.*(a) | | | 682,979 | |
| | 1,799 | | | | | ADTRAN Inc. | | | 30,943 | |
See Notes to Financial Statements.
91
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | INFORMATION TECHNOLOGY — 19.1% — (continued) | |
| | Communications Equipment — 1.9% — (continued) | |
| | 1,137 | | | | | Aerohive Networks Inc.* | | $ | 4,798 | |
| | 693 | | | | | Applied Optoelectronics Inc.*(a) | | | 28,662 | |
| | 77,461 | | | | | ARRIS International PLC* | | | 2,007,014 | |
| | 1,299 | | | | | CalAmp Corp.* | | | 30,526 | |
| | 1,568 | | | | | Calix Inc.* | | | 12,230 | |
| | 547 | | | | | Casa Systems Inc.* | | | 8,035 | |
| | 84,446 | | | | | Ciena Corp.* | | | 2,666,805 | |
| | 411 | | | | | Clearfield Inc.* | | | 5,610 | |
| | 7,327 | | | | | CommScope Holding Co., Inc.* | | | 232,193 | |
| | 860 | | | | | Comtech Telecommunications Corp. | | | 30,831 | |
| | 937 | | | | | Digi International Inc.* | | | 12,603 | |
| | 1,931 | | | | | EchoStar Corp., Class A Shares* | | | 92,688 | |
| | 4,296 | | | | | Extreme Networks Inc.* | | | 26,936 | |
| | 4,287 | | | | | Finisar Corp.* | | | 87,455 | |
| | 3,335 | | | | | Harmonic Inc.* | | | 18,176 | |
| | 92,865 | | | | | Infinera Corp.* | | | 831,142 | |
| | 1,291 | | | | | InterDigital Inc. | | | 106,637 | |
| | 659 | | | | | KVH Industries Inc.* | | | 8,205 | |
| | 2,444 | | | | | Lumentum Holdings Inc.* | | | 165,948 | |
| | 1,166 | | | | | NETGEAR Inc.* | | | 82,611 | |
| | 3,147 | | | | | NetScout Systems Inc.* | | | 78,675 | |
| | 6,283 | | | | | Oclaro Inc.* | | | 59,940 | |
| | 4,535 | | | | | Palo Alto Networks Inc.* | | | 1,048,265 | |
| | 1,334 | | | | | Plantronics Inc. | | | 89,671 | |
| | 1,254 | | | | | Quantenna Communications Inc.* | | | 22,911 | |
| | 51,114 | | | | | Ribbon Communications Inc.* | | | 353,709 | |
| | 723 | | | | | Ubiquiti Networks Inc.(a) | | | 64,860 | |
| | 2,163 | | | | | ViaSat Inc.*(a) | | | 135,880 | |
| | 64,801 | | | | | Viavi Solutions Inc.* | | | 725,771 | |
| | | | | | | | | | |
| | | | | | Total Communications Equipment | | | 9,752,709 | |
| | | | | | | | | | |
| | Electronic Equipment, Instruments & Components — 2.4% | |
| | 9,682 | | | | | Amphenol Corp., Class A Shares | | | 915,724 | |
| | 1,186 | | | | | Anixter International Inc.* | | | 85,511 | |
| | 3,391 | | | | | Arrow Electronics Inc.* | | | 262,904 | |
| | 4,391 | | | | | Avnet Inc. | | | 212,524 | |
| | 2,052 | | | | | AVX Corp. | | | 43,400 | |
| | 1,070 | | | | | Badger Meter Inc. | | | 58,796 | |
| | 335 | | | | | Bel Fuse Inc., Class B Shares | | | 9,598 | |
| | 1,612 | | | | | Belden Inc. | | | 117,225 | |
| | 1,777 | | | | | Benchmark Electronics Inc. | | | 45,935 | |
| | 5,729 | | | | | CDW Corp. | | | 501,631 | |
| | 6,387 | | | | | Cognex Corp. | | | 343,621 | |
| | 929 | | | | | Coherent Inc.* | | | 177,067 | |
| | 1,114 | | | | | Control4 Corp.* | | | 36,105 | |
| | 1,231 | | | | | CTS Corp. | | | 45,485 | |
| | 1,375 | | | | | Daktronics Inc. | | | 11,151 | |
| | 2,362 | | | | | Dolby Laboratories Inc., Class A Shares | | | 165,789 | |
| | 1,132 | | | | | Electro Scientific Industries Inc.* | | | 24,847 | |
| | 510 | | | | | ePlus Inc.* | | | 52,861 | |
| | 1,346 | | | | | Fabrinet* | | | 64,433 | |
| | 629 | | | | | FARO Technologies Inc.* | | | 42,898 | |
| | 7,720 | | | | | Fitbit Inc., Class A Shares* | | | 46,474 | |
| | 5,048 | | | | | FLIR Systems Inc. | | | 316,712 | |
| | 9,908 | | | | | II-VI Inc.* | | | 492,923 | |
See Notes to Financial Statements.
92
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | INFORMATION TECHNOLOGY — 19.1% — (continued) | |
| | Electronic Equipment, Instruments & Components — 2.4% — (continued) | |
| | 1,311 | | | | | Insight Enterprises Inc.* | | $ | 72,289 | |
| | 974 | | | | | Iteris Inc.* | | | 5,016 | |
| | 12,488 | | | | | Itron Inc.* | | | 829,203 | |
| | 6,282 | | | | | Jabil Inc. | | | 185,696 | |
| | 2,078 | | | | | KEMET Corp.* | | | 53,696 | |
| | 62,223 | | | | | Keysight Technologies Inc.* | | | 4,037,650 | |
| | 988 | | | | | Kimball Electronics Inc.* | | | 19,562 | |
| | 3,266 | | | | | Knowles Corp.* | | | 59,213 | |
| | 903 | | | | | Littelfuse Inc. | | | 201,875 | |
| | 41,247 | | | | | Maxwell Technologies Inc.*(a) | | | 147,252 | |
| | 136 | | | | | Mesa Laboratories Inc. | | | 27,302 | |
| | 1,349 | | | | | Methode Electronics Inc. | | | 53,488 | |
| | 672 | | | | | MTS Systems Corp. | | | 36,355 | |
| | 505 | | | | | Napco Security Technologies Inc.* | | | 7,625 | |
| | 4,303 | | | | | National Instruments Corp. | | | 205,468 | |
| | 236 | | | | | nLight Inc.* | | | 7,271 | |
| | 1,228 | | | | | Novanta Inc.* | | | 94,065 | |
| | 7,529 | | | | | OSI Systems Inc.* | | | 586,434 | |
| | 518 | | | | | PAR Technology Corp.* | | | 13,302 | |
| | 938 | | | | | Park Electrochemical Corp. | | | 20,054 | |
| | 440 | | | | | PC Connection Inc. | | | 17,468 | |
| | 1,221 | | | | | Plexus Corp.* | | | 77,277 | |
| | 686 | | | | | Rogers Corp.* | | | 94,716 | |
| | 2,737 | | | | | Sanmina Corp.* | | | 84,300 | |
| | 941 | | | | | ScanSource Inc.* | | | 38,252 | |
| | 1,196 | | | | | SYNNEX Corp. | | | 115,976 | |
| | 1,426 | | | | | Tech Data Corp.* | | | 103,742 | |
| | 9,672 | | | | | Trimble Inc.* | | | 407,191 | |
| | 3,508 | | | | | TTM Technologies Inc.* | | | 65,600 | |
| | 4,945 | | | | | Vishay Intertechnology Inc. | | | 117,691 | |
| | 461 | | | | | Vishay Precision Group Inc.* | | | 19,961 | |
| | 2,044 | | | | | Zebra Technologies Corp., Class A Shares* | | | 351,037 | |
| | | | | | | | | | |
| | | | | | Total Electronic Equipment, Instruments & Components | | | 12,229,641 | |
| | | | | | | | | | |
| | Internet Software & Services — 1.3% | |
| | 3,608 | | | | | 2U Inc.* | | | 322,411 | |
| | 1,275 | | | | | Alarm.com Holdings Inc.* | | | 71,770 | |
| | 1,159 | | | | | Alteryx Inc., Class A Shares* | | | 67,280 | |
| | 934 | | | | | Amber Road Inc.* | | | 8,154 | |
| | 553 | | | | | Appfolio Inc., Class A Shares* | | | 47,226 | |
| | 1,264 | | | | | Apptio Inc., Class A Shares* | | | 49,043 | |
| | 744 | | | | | Benefitfocus Inc.* | | | 32,810 | |
| | 4,988 | | | | | Box Inc., Class A Shares* | | | 122,505 | |
| | 1,218 | | | | | Brightcove Inc.* | | | 9,988 | |
| | 1,002 | | | | | Carbonite Inc.* | | | 41,633 | |
| | 175 | | | | | Cardlytics Inc.* | | | 3,568 | |
| | 735 | | | | | Care.com Inc.* | | | 14,281 | |
| | 1,836 | | | | | Cargurus Inc., Class A Shares* | | | 90,552 | |
| | 2,927 | | | | | Cars.com Inc.* | | | 78,766 | |
| | 950 | | | | | ChannelAdvisor Corp.* | | | 12,398 | |
| | 1,474 | | | | | Cision Ltd.* | | | 26,694 | |
| | 18,161 | | | | | Cloudera Inc.* | | | 272,597 | |
| | 1,995 | | | | | Cornerstone OnDemand Inc.* | | | 112,837 | |
| | 2,090 | | | | | Coupa Software Inc.* | | | 149,874 | |
| | 1,044 | | | | | DocuSign Inc.*(a) | | | 65,187 | |
See Notes to Financial Statements.
93
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | INFORMATION TECHNOLOGY — 19.1% — (continued) | |
| | Internet Software & Services — 1.3% — (continued) | |
| | 547 | | | | | eGain Corp.* | | $ | 7,822 | |
| | 2,660 | | | | | Endurance International Group Holdings Inc.* | | | 25,669 | |
| | 1,649 | | | | | Envestnet Inc.* | | | 104,217 | |
| | 4,593 | | | | | Etsy Inc.* | | | 223,633 | |
| | 2,120 | | | | | Five9 Inc.* | | | 101,866 | |
| | 776 | | | | | Fusion Connect Inc.* | | | 2,871 | |
| | 5,878 | | | | | GoDaddy Inc., Class A Shares* | | | 478,822 | |
| | 2,411 | | | | | Gogo Inc.*(a) | | | 10,825 | |
| | 3,475 | | | | | GrubHub Inc.* | | | 500,782 | |
| | 1,304 | | | | | GTT Communications Inc.* | | | 56,137 | |
| | 2,565 | | | | | Hortonworks Inc.* | | | 57,251 | |
| | 9,152 | | | | | Instructure Inc.* | | | 374,774 | |
| | 1,044 | | | | | Internap Corp.* | | | 14,010 | |
| | 1,745 | | | | | j2 Global Inc. | | | 144,085 | |
| | 584 | | | | | Leaf Group Ltd.* | | | 6,453 | |
| | 3,663 | | | | | Limelight Networks Inc.* | | | 18,571 | |
| | 1,072 | | | | | Liquidity Services Inc.* | | | 7,718 | |
| | 2,111 | | | | | LivePerson Inc.* | | | 56,786 | |
| | 2,007 | | | | | LogMeIn Inc. | | | 172,502 | |
| | 1,938 | | | | | Match Group Inc.*(a) | | | 96,997 | |
| | 3,777 | | | | | Meet Group Inc. (The)* | | | 19,263 | |
| | 1,606 | | | | | MINDBODY Inc., Class A Shares* | | | 59,583 | |
| | 1,725 | | | | | New Relic Inc.* | | | 177,261 | |
| | 11,258 | | | | | Nutanix Inc., Class A Shares* | | | 634,051 | |
| | 3,343 | | | | | Okta Inc., Class A Shares* | | | 206,698 | |
| | 10,344 | | | | | Pandora Media Inc.* | | | 95,579 | |
| | 1,368 | | | | | Q2 Holdings Inc.* | | | 85,226 | |
| | 1,298 | | | | | QuinStreet Inc.* | | | 19,691 | |
| | 2,988 | | | | | Quotient Technology Inc.* | | | 44,671 | |
| | 1,245 | | | | | Remark Holdings Inc.* | | | 4,382 | |
| | 370 | | | | | SendGrid Inc.* | | | 13,420 | |
| | 231 | | | | | ShotSpotter Inc.* | | | 13,176 | |
| | 703 | | | | | Shutterstock Inc. | | | 38,693 | |
| | 697 | | | | | SPS Commerce Inc.* | | | 68,494 | |
| | 671 | | | | | Stamps.com Inc.* | | | 166,710 | |
| | 1,057 | | | | | TechTarget Inc.* | | | 25,357 | |
| | 2,052 | | | | | Telaria Inc.* | | | 8,434 | |
| | 1,175 | | | | | Trade Desk Inc. (The), Class A Shares*(a) | | | 166,709 | |
| | 118 | | | | | Travelzoo* | | | 1,463 | |
| | 3,426 | | | | | TrueCar Inc.* | | | 44,058 | |
| | 384 | | | | | Tucows Inc., Class A Shares*(a) | | | 22,483 | |
| | 2,769 | | | | | Twilio Inc., Class A Shares* | | | 223,348 | |
| | 172 | | | | | Veritone Inc.*(a) | | | 1,796 | |
| | 1,510 | | | | | Web.com Group Inc.* | | | 42,204 | |
| | 911 | | | | | XO Group Inc.* | | | 27,385 | |
| | 3,151 | | | | | Yelp Inc., Class A Shares* | | | 148,475 | |
| | 3,031 | | | | | Yext Inc.* | | | 75,351 | |
| | 2,294 | | | | | Zillow Group Inc., Class A Shares* | | | 110,341 | |
| | 4,268 | | | | | Zillow Group Inc., Class C Shares* | | | 207,638 | |
| | | | | | | | | | |
| | | | | | Total Internet Software & Services | | | 6,813,305 | |
| | | | | | | | | | |
| | IT Services — 4.9% | |
| | 23,432 | | | | | Acxiom Corp.* | | | 1,070,608 | |
| | 16,731 | | | | | Black Knight Inc.* | | | 893,435 | |
| | 5,485 | | | | | Booz Allen Hamilton Holding Corp., Class A Shares | | | 280,613 | |
See Notes to Financial Statements.
94
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | INFORMATION TECHNOLOGY — 19.1% — (continued) | |
| | IT Services — 4.9% — (continued) | |
| | 917 | | | | | CACI International Inc., Class A Shares* | | $ | 178,815 | |
| | 1,483 | | | | | Cardtronics PLC, Class A Shares* | | | 52,038 | |
| | 450 | | | | | Cass Information Systems Inc. | | | 32,189 | |
| | 48,963 | | | | | Conduent Inc.* | | | 1,134,962 | |
| | 770 | | | | | ConvergeOne Holdings Inc. | | | 7,038 | |
| | 3,400 | | | | | Convergys Corp. | | | 84,082 | |
| | 24,956 | | | | | CoreLogic Inc.* | | | 1,268,763 | |
| | 1,241 | | | | | CSG Systems International Inc. | | | 46,351 | |
| | 15,384 | | | | | DXC Technology Co. | | | 1,401,329 | |
| | 1,905 | | | | | EPAM Systems Inc.* | | | 272,282 | |
| | 30,746 | | | | | Euronet Worldwide Inc.* | | | 3,006,959 | |
| | 2,518 | | | | | Everi Holdings Inc.* | | | 21,831 | |
| | 2,281 | | | | | EVERTEC Inc. | | | 54,858 | |
| | 1,441 | | | | | Exela Technologies Inc.* | | | 8,617 | |
| | 1,249 | | | | | ExlService Holdings Inc.* | | | 80,036 | |
| | 4,448 | | | | | Gartner Inc.* | | | 666,133 | |
| | 85,190 | | | | | Genpact Ltd. | | | 2,610,222 | |
| | 16,351 | | | | | Global Payments Inc. | | | 2,037,008 | |
| | 920 | | | | | Hackett Group Inc. (The) | | | 18,832 | |
| | 1,769 | | | | | Information Services Group Inc.* | | | 8,757 | |
| | 30,580 | | | | | InterXion Holding NV* | | | 2,016,139 | |
| | 7,422 | | | | | Jack Henry & Associates Inc. | | | 1,175,942 | |
| | 5,510 | | | | | Leidos Holdings Inc. | | | 389,943 | |
| | 989 | | | | | ManTech International Corp., Class A Shares | | | 65,590 | |
| | 2,518 | | | | | MAXIMUS Inc. | | | 167,447 | |
| | 1,105 | | | | | MoneyGram International Inc.* | | | 7,194 | |
| | 2,405 | | | | | NIC Inc. | | | 40,404 | |
| | 1,297 | | | | | Perficient Inc.* | | | 37,263 | |
| | 5,357 | | | | | Perspecta Inc. | | | 124,604 | |
| | 464 | | | | | PFSweb Inc.* | | | 3,995 | |
| | 1,104 | | | | | Presidio Inc.* | | | 16,692 | |
| | 695 | | | | | PRGX Global Inc.* | | | 6,637 | |
| | 9,795 | | | | | Sabre Corp. | | | 255,747 | |
| | 1,654 | | | | | Science Applications International Corp. | | | 149,224 | |
| | 2,674 | | | | | ServiceSource International Inc.* | | | 8,530 | |
| | 1,263 | | | | | Switch Inc., Class A Shares | | | 14,600 | |
| | 1,481 | | | | | Sykes Enterprises Inc.* | | | 44,785 | |
| | 1,483 | | | | | Syntel Inc.* | | | 60,417 | |
| | 4,534 | | | | | Teradata Corp.* | | | 188,025 | |
| | 5,035 | | | | | Travelport Worldwide Ltd. | | | 93,500 | |
| | 530 | | | | | TTEC Holdings Inc. | | | 13,886 | |
| | 30,779 | | | | | Unisys Corp.*(a) | | | 572,489 | |
| | 1,054 | | | | | Virtusa Corp.* | | | 61,406 | |
| | 12,381 | | | | | WEX Inc.* | | | 2,355,114 | |
| | 12,080 | | | | | WNS Holdings Ltd., ADR* | | | 626,106 | |
| | 16,635 | | | | | Worldpay Inc., Class A Shares* | | | 1,620,083 | |
| | | | | | | | | | |
| | | | | | Total IT Services | | | 25,351,520 | |
| | | | | | | | | | |
| | Semiconductors & Semiconductor Equipment — 3.7% | |
| | 237 | | | | | ACM Research Inc., Class A Shares* | | | 3,344 | |
| | 839 | | | | | Adesto Technologies Corp.* | | | 5,076 | |
| | 13,027 | | | | | Advanced Energy Industries Inc.* | | | 776,149 | |
| | 34,995 | | | | | Advanced Micro Devices Inc.* | | | 880,824 | |
| | 1,267 | | | | | Alpha & Omega Semiconductor Ltd.* | | | 18,004 | |
| | 1,208 | | | | | Ambarella Inc.*(a) | | | 46,278 | |
See Notes to Financial Statements.
95
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | INFORMATION TECHNOLOGY — 19.1% — (continued) | |
| | Semiconductors & Semiconductor Equipment — 3.7% — (continued) | |
| | 3,847 | | | | | Amkor Technology Inc.* | | $ | 33,584 | |
| | 675 | | | | | Aquantia Corp.* | | | 8,532 | |
| | 1,262 | | | | | Axcelis Technologies Inc.* | | | 25,492 | |
| | 1,335 | | | | | AXT Inc.* | | | 10,546 | |
| | 2,595 | | | | | Brooks Automation Inc. | | | 102,269 | |
| | 956 | | | | | Cabot Microelectronics Corp. | | | 107,770 | |
| | 11,408 | | | | | CEVA Inc.* | | | 349,085 | |
| | 2,563 | | | | | Cirrus Logic Inc.* | | | 112,644 | |
| | 1,005 | | | | | Cohu Inc. | | | 26,512 | |
| | 3,758 | | | | | Cree Inc.* | | | 180,797 | |
| | 68,165 | | | | | Cypress Semiconductor Corp. | | | 1,173,120 | |
| | 1,493 | | | | | Diodes Inc.* | | | 56,615 | |
| | 5,613 | | | | | Entegris Inc. | | | 190,281 | |
| | 3,074 | | | | | First Solar Inc.* | | | 160,094 | |
| | 2,735 | | | | | FormFactor Inc.* | | | 42,256 | |
| | 948 | | | | | Ichor Holdings Ltd.*(a) | | | 24,582 | |
| | 11,327 | | | | | Impinj Inc.*(a) | | | 243,304 | |
| | 1,625 | | | | | Inphi Corp.* | | | 60,239 | |
| | 51,291 | | | | | Integrated Device Technology Inc.* | | | 2,179,355 | |
| | 1,891 | | | | | Kopin Corp.* | | | 4,387 | |
| | 3,914 | | | | | Lam Research Corp. | | | 677,474 | |
| | 4,433 | | | | | Lattice Semiconductor Corp.* | | | 36,306 | |
| | 37,742 | | | | | MACOM Technology Solutions Holdings Inc.*(a) | | | 869,953 | |
| | 67,185 | | | | | Marvell Technology Group Ltd. | | | 1,389,386 | |
| | 2,340 | | | | | MaxLinear Inc., Class A Shares* | | | 45,115 | |
| | 16,200 | | | | | Mellanox Technologies Ltd.* | | | 1,347,840 | |
| | 2,029 | | | | | MKS Instruments Inc. | | | 188,494 | |
| | 9,064 | | | | | Monolithic Power Systems Inc. | | | 1,358,422 | |
| | 843 | | | | | Nanometrics Inc.* | | | 36,932 | |
| | 1,517 | | | | | NeoPhotonics Corp.*(a) | | | 13,334 | |
| | 168 | | | | | NVE Corp. | | | 19,098 | |
| | 16,512 | | | | | ON Semiconductor Corp.* | | | 352,366 | |
| | 1,169 | | | | | PDF Solutions Inc.* | | | 10,194 | |
| | 3,169 | | | | | Photronics Inc.* | | | 33,908 | |
| | 1,211 | | | | | Power Integrations Inc. | | | 88,827 | |
| | 15,475 | | | | | Qorvo Inc.* | | | 1,239,393 | |
| | 61,493 | | | | | Rambus Inc.* | | | 751,444 | |
| | 1,165 | | | | | Rudolph Technologies Inc.* | | | 32,387 | |
| | 22,181 | | | | | Semtech Corp.* | | | 1,325,315 | |
| | 5,627 | | | | | Silicon Laboratories Inc.* | | | 551,446 | |
| | 373 | | | | | SMART Global Holdings Inc.* | | | 12,305 | |
| | 2,393 | | | | | SunPower Corp., Class A Shares*(a) | | | 16,081 | |
| | 1,293 | | | | | Synaptics Inc.* | | | 62,400 | |
| | 7,174 | | | | | Teradyne Inc. | | | 295,497 | |
| | 24,880 | | | | | Ultra Clean Holdings Inc.* | | | 379,669 | |
| | 6,822 | | | | | Universal Display Corp.(a) | | | 835,013 | |
| | 40,430 | | | | | Veeco Instruments Inc.* | | | 485,160 | |
| | 4,077 | | | | | Versum Materials Inc. | | | 162,224 | |
| | 1,982 | | | | | Xcerra Corp.* | | | 28,699 | |
| | 1,826 | | | | | Xperi Corp. | | | 28,668 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors & Semiconductor Equipment | | | 19,494,489 | |
| | | | | | | | | | |
| | Software — 4.7% | |
| | 3,392 | | | | | 8x8 Inc.* | | | 76,998 | |
| | 2,126 | | | | | A10 Networks Inc.* | | | 14,818 | |
See Notes to Financial Statements.
96
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | INFORMATION TECHNOLOGY — 19.1% — (continued) | |
| | Software — 4.7% — (continued) | |
| | 4,613 | | | | | ACI Worldwide Inc.* | | $ | 131,055 | |
| | 5,075 | | | | | Activision Blizzard Inc. | | | 365,908 | |
| | 597 | | | | | Agilysys Inc.* | | | 9,594 | |
| | 935 | | | | | Altair Engineering Inc., Class A Shares* | | | 39,055 | |
| | 948 | | | | | American Software Inc., Class A Shares | | | 17,045 | |
| | 2,796 | | | | | Aspen Technology Inc.* | | | 322,547 | |
| | 461 | | | | | Asure Software Inc.* | | | 6,929 | |
| | 4,198 | | | | | Avaya Holdings Corp.* | | | 98,065 | |
| | 1,800 | | | | | Blackbaud Inc. | | | 188,226 | |
| | 1,340 | | | | | Blackline Inc.* | | | 70,698 | |
| | 1,505 | | | | | Bottomline Technologies de Inc.* | | | 99,285 | |
| | 10,753 | | | | | Cadence Design Systems Inc.* | | | 505,821 | |
| | 265 | | | | | Carbon Black Inc.* | | | 6,712 | |
| | 8,379 | | | | | CDK Global Inc. | | | 522,179 | |
| | 885 | | | | | Ceridian HCM Holding Inc.* | | | 34,073 | |
| | 13,453 | | | | | CommVault Systems Inc.* | | | 937,001 | |
| | 435 | | | | | Digimarc Corp.* | | | 12,854 | |
| | 899 | | | | | Ebix Inc.(a) | | | 71,605 | |
| | 5,593 | | | | | Electronic Arts Inc.* | | | 634,302 | |
| | 1,274 | | | | | Ellie Mae Inc.* | | | 134,241 | |
| | 1,186 | | | | | Everbridge Inc.* | | | 71,409 | |
| | 1,101 | | | | | Fair Isaac Corp.* | | | 254,309 | |
| | 59,067 | | | | | FireEye Inc.* | | | 980,512 | |
| | 1,080 | | | | | ForeScout Technologies Inc.* | | | 38,956 | |
| | 11,723 | | | | | Fortinet Inc.* | | | 981,918 | |
| | 3,833 | | | | | Glu Mobile Inc.* | | | 29,514 | |
| | 3,119 | | | | | Guidewire Software Inc.* | | | 313,678 | |
| | 1,353 | | | | | HubSpot Inc.* | | | 194,426 | |
| | 1,305 | | | | | Imperva Inc.* | | | 61,531 | |
| | 2,491 | | | | | Manhattan Associates Inc.* | | | 144,453 | |
| | 353 | | | | | MicroStrategy Inc., Class A Shares* | | | 52,597 | |
| | 1,166 | | | | | Mitek Systems Inc.* | | | 8,454 | |
| | 2,542 | | | | | MobileIron Inc.* | | | 12,456 | |
| | 950 | | | | | Model N Inc.* | | | 16,150 | |
| | 1,560 | | | | | Monotype Imaging Holdings Inc. | | | 32,136 | |
| | 6,680 | | | | | Nice Ltd., ADR* | | | 772,141 | |
| | 132,955 | | | | | Nuance Communications Inc.* | | | 2,169,826 | |
| | 21,651 | | | | | OneSpan Inc.* | | | 405,956 | |
| | 673 | | | | | Park City Group Inc.*(a) | | | 5,687 | |
| | 1,914 | | | | | Paycom Software Inc.* | | | 296,900 | |
| | 1,189 | | | | | Paylocity Holding Corp.* | | | 94,454 | |
| | 1,410 | | | | | Pegasystems Inc. | | | 89,817 | |
| | 1,690 | | | | | Progress Software Corp. | | | 69,172 | |
| | 8,815 | | | | | Proofpoint Inc.* | | | 1,045,900 | |
| | 1,031 | | | | | PROS Holdings Inc.* | | | 38,023 | |
| | 4,437 | | | | | PTC Inc.* | | | 443,434 | |
| | 358 | | | | | QAD Inc., Class A Shares | | | 21,713 | |
| | 1,330 | | | | | Qualys Inc.* | | | 121,097 | |
| | 1,605 | | | | | Rapid7 Inc.* | | | 61,231 | |
| | 2,636 | | | | | RealPage Inc.* | | | 164,486 | |
| | 2,497 | | | | | RingCentral Inc., Class A Shares* | | | 232,596 | |
| | 699 | | | | | Rosetta Stone Inc.* | | | 11,044 | |
| | 1,440 | | | | | SailPoint Technologies Holding Inc.* | | | 44,539 | |
| | 44,600 | | | | | Seachange International Inc.* | | | 73,590 | |
| | 333 | | | | | SecureWorks Corp., Class A Shares* | | | 4,432 | |
See Notes to Financial Statements.
97
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | INFORMATION TECHNOLOGY — 19.1% — (continued) | |
| | Software — 4.7% — (continued) | |
| | 4,139 | | | | | ServiceNow Inc.* | | $ | 812,734 | |
| | 7,766 | | | | | Splunk Inc.* | | | 995,213 | |
| | 34,392 | | | | | SS&C Technologies Holdings Inc. | | | 2,040,821 | |
| | 11,025 | | | | | Tableau Software Inc., Class A Shares* | | | 1,233,257 | |
| | 816 | | | | | Telenav Inc.* | | | 4,570 | |
| | 55,208 | | | | | TiVo Corp. | | | 753,589 | |
| | 1,457 | | | | | Tyler Technologies Inc.* | | | 359,806 | |
| | 5,401 | | | | | Ultimate Software Group Inc. (The)* | | | 1,672,528 | |
| | 587 | | | | | Upland Software Inc.* | | | 21,848 | |
| | 1,040 | | | | | Varonis Systems Inc.* | | | 76,856 | |
| | 39,881 | | | | | Verint Systems Inc.* | | | 1,936,223 | |
| | 1,758 | | | | | VirnetX Holding Corp.*(a) | | | 5,889 | |
| | 2,847 | | | | | Workday Inc., Class A Shares* | | | 439,975 | |
| | 1,097 | | | | | Workiva Inc., Class A Shares* | | | 40,424 | |
| | 4,040 | | | | | Zendesk Inc.* | | | 278,316 | |
| | 1,934 | | | | | Zix Corp.* | | | 10,734 | |
| | 521 | | | | | Zscaler Inc.*(a) | | | 22,294 | |
| | 28,701 | | | | | Zynga Inc., Class A Shares* | | | 119,396 | |
| | | | | | | | | | |
| | | | | | Total Software | | | 24,482,021 | |
| | | | | | | | | | |
| | Technology Hardware, Storage & Peripherals — 0.2% | |
| | 4,387 | | | | | 3D Systems Corp.*(a) | | | 89,275 | |
| | 908 | | | | | Avid Technology Inc.* | | | 5,375 | |
| | 1,511 | | | | | Cray Inc.* | | | 32,789 | |
| | 39,939 | | | | | Diebold Nixdorf Inc.(a) | | | 189,710 | |
| | 787 | | | | | Eastman Kodak Co.*(a) | | | 2,558 | |
| | 1,662 | | | | | Electronics for Imaging Inc.* | | | 57,821 | |
| | 1,136 | | | | | Immersion Corp.* | | | 13,200 | |
| | 4,708 | | | | | NCR Corp.* | | | 133,754 | |
| | 6,170 | | | | | Pure Storage Inc., Class A Shares* | | | 165,603 | |
| | 13,350 | | | | | Quantum Corp.* | | | 26,967 | |
| | 1,902 | | | | | Stratasys Ltd.* | | | 47,455 | |
| | 1,815 | | | | | USA Technologies Inc.* | | | 29,494 | |
| | 8,653 | | | | | Xerox Corp. | | | 241,073 | |
| | | | | | | | | | |
| | | | | | Total Technology Hardware, Storage & Peripherals | | | 1,035,074 | |
| | | | | | | | | | |
| | | | | | TOTAL INFORMATION TECHNOLOGY | | | 99,158,759 | |
| | | | | | | | | | |
| | MATERIALS — 5.6% | |
| | Chemicals — 2.4% | |
| | 1,140 | | | | | A. Schulman Inc.*#(b) | | | 2,177 | |
| | 1,149 | | | | | AdvanSix Inc.* | | | 38,882 | |
| | 1,201 | | | | | AgroFresh Solutions Inc.* | | | 7,987 | |
| | 19,152 | | | | | Albemarle Corp. | | | 1,829,399 | |
| | 1,039 | | | | | American Vanguard Corp. | | | 22,754 | |
| | 2,335 | | | | | Ashland Global Holdings Inc. | | | 196,607 | |
| | 34,393 | | | | | Axalta Coating Systems Ltd.* | | | 1,048,986 | |
| | 1,197 | | | | | Balchem Corp. | | | 132,735 | |
| | 2,274 | | | | | Cabot Corp. | | | 147,628 | |
| | 8,997 | | | | | CF Industries Holdings Inc. | | | 467,394 | |
| | 299 | | | | | Chase Corp. | | | 37,061 | |
| | 6,895 | | | | | Chemours Co. (The) | | | 300,622 | |
| | 3,153 | | | | | Ferro Corp.* | | | 69,208 | |
| | 2,004 | | | | | Flotek Industries Inc.* | | | 4,990 | |
| | 15,523 | | | | | FMC Corp. | | | 1,326,440 | |
| | 1,023 | | | | | FutureFuel Corp. | | | 15,171 | |
See Notes to Financial Statements.
98
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | MATERIALS — 5.6% — (continued) | |
| | Chemicals — 2.4% — (continued) | |
| | 2,679 | | | | | GCP Applied Technologies Inc.* | | $ | 67,511 | |
| | 399 | | | | | Hawkins Inc. | | | 16,479 | |
| | 16,022 | | | | | HB Fuller Co. | | | 913,094 | |
| | 8,181 | | | | | Huntsman Corp. | | | 249,439 | |
| | 12,274 | | | | | Ingevity Corp.* | | | 1,239,797 | |
| | 731 | | | | | Innophos Holdings Inc. | | | 31,952 | |
| | 1,030 | | | | | Innospec Inc. | | | 79,928 | |
| | 3,591 | | | | | Intrepid Potash Inc.* | | | 12,209 | |
| | 550 | | | | | KMG Chemicals Inc. | | | 42,614 | |
| | 864 | | | | | Koppers Holdings Inc.* | | | 30,629 | |
| | 1,160 | | | | | Kraton Corp.* | | | 54,555 | |
| | 1,093 | | | | | Kronos Worldwide Inc. | | | 22,002 | |
| | 973 | | | | | LSB Industries Inc.* | | | 8,485 | |
| | 1,702 | | | | | Marrone Bio Innovations Inc.*(a) | | | 3,549 | |
| | 1,467 | | | | | Minerals Technologies Inc. | | | 98,509 | |
| | 314 | | | | | NewMarket Corp. | | | 125,927 | |
| | 6,496 | | | | | Olin Corp. | | | 199,622 | |
| | 1,668 | | | | | OMNOVA Solutions Inc.* | | | 15,095 | |
| | 8,348 | | | | | Platform Specialty Products Corp.* | | | 110,694 | |
| | 2,977 | | | | | PolyOne Corp. | | | 125,808 | |
| | 1,372 | | | | | PQ Group Holdings Inc.* | | | 24,422 | |
| | 555 | | | | | Quaker Chemical Corp. | | | 99,978 | |
| | 2,218 | | | | | Rayonier Advanced Materials Inc. | | | 46,356 | |
| | 4,924 | | | | | RPM International Inc. | | | 332,370 | |
| | 1,587 | | | | | Scotts Miracle-Gro Co. (The) | | | 118,581 | |
| | 1,727 | | | | | Sensient Technologies Corp. | | | 122,651 | |
| | 1,915 | | | | | Sherwin-Williams Co. (The) | | | 872,436 | |
| | 756 | | | | | Stepan Co. | | | 67,443 | |
| | 792 | | | | | Trecora Resources* | | | 11,088 | |
| | 977 | | | | | Tredegar Corp. | | | 21,445 | |
| | 13,710 | | | | | Trinseo SA | | | 1,057,726 | |
| | 3,494 | | | | | Tronox Ltd., Class A Shares | | | 56,568 | |
| | 599 | | | | | Valhi Inc. | | | 1,977 | |
| | 7,635 | | | | | Valvoline Inc. | | | 164,305 | |
| | 2,588 | | | | | WR Grace & Co. | | | 182,868 | |
| | | | | | | | | | |
| | | | | | Total Chemicals | | | 12,276,153 | |
| | | | | | | | | | |
| | Construction Materials — 0.5% | |
| | 6,586 | | | | | Eagle Materials Inc. | | | 608,085 | |
| | 749 | | | | | Forterra Inc.* | | | 6,337 | |
| | 3,421 | | | | | Martin Marietta Materials Inc. | | | 679,821 | |
| | 36,237 | | | | | Summit Materials Inc., Class A Shares* | | | 770,761 | |
| | 79 | | | | | United States Lime & Minerals Inc. | | | 5,995 | |
| | 590 | | | | | US Concrete Inc.* | | | 28,438 | |
| | 6,151 | | | | | Vulcan Materials Co. | | | 681,531 | |
| | | | | | | | | | |
| | | | | | Total Construction Materials | | | 2,780,968 | |
| | | | | | | | | | |
| | Containers & Packaging — 1.4% | |
| | 2,387 | | | | | AptarGroup Inc. | | | 249,943 | |
| | 745 | | | | | Ardagh Group SA, Class A Shares | | | 11,935 | |
| | 15,074 | | | | | Avery Dennison Corp. | | | 1,585,483 | |
| | 28,190 | | | | | Ball Corp. | | | 1,180,597 | |
| | 3,513 | | | | | Bemis Co., Inc. | | | 173,121 | |
| | 26,653 | | | | | Berry Global Group Inc.* | | | 1,272,148 | |
| | 32,752 | | | | | Crown Holdings Inc.* | | | 1,402,113 | |
See Notes to Financial Statements.
99
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | MATERIALS — 5.6% — (continued) | |
| | Containers & Packaging — 1.4% — (continued) | |
| | 11,597 | | | | | Graphic Packaging Holding Co. | | $ | 164,909 | |
| | 977 | | | | | Greif Inc., Class A Shares | | | 53,911 | |
| | 177 | | | | | Greif Inc., Class B Shares | | | 10,063 | |
| | 1,145 | | | | | Myers Industries Inc. | | | 25,476 | |
| | 6,490 | | | | | Owens-Illinois Inc.* | | | 114,678 | |
| | 3,622 | | | | | Packaging Corp. of America | | | 398,130 | |
| | 6,011 | | | | | Sealed Air Corp. | | | 241,101 | |
| | 3,215 | | | | | Silgan Holdings Inc. | | | 87,609 | |
| | 3,794 | | | | | Sonoco Products Co. | | | 212,616 | |
| | 211 | | | | | UFP Technologies Inc.* | | | 7,438 | |
| | | | | | | | | | |
| | | | | | Total Containers & Packaging | | | 7,191,271 | |
| | | | | | | | | | |
| | Metals & Mining — 1.2% | |
| | 11,777 | | | | | AK Steel Holding Corp.*(a) | | | 52,290 | |
| | 7,011 | | | | | Alcoa Corp.* | | | 313,181 | |
| | 34,997 | | | | | Allegheny Technologies Inc.* | | | 945,969 | |
| | 1,743 | | | | | Carpenter Technology Corp. | | | 104,005 | |
| | 1,813 | | | | | Century Aluminum Co.* | | | 22,880 | |
| | 87,519 | | | | | Cleveland-Cliffs Inc.* | | | 879,566 | |
| | 6,962 | | | | | Coeur Mining Inc.* | | | 39,544 | |
| | 4,351 | | | | | Commercial Metals Co. | | | 93,981 | |
| | 1,374 | | | | | Compass Minerals International Inc. | | | 85,944 | |
| | 3,346 | | | | | Ferroglobe Representation & Warranty Insurance Trust*#(b) | | | — | |
| | 1,912 | | | | | Gold Resource Corp. | | | 9,866 | |
| | 468 | | | | | Haynes International Inc. | | | 18,439 | |
| | 18,896 | | | | | Hecla Mining Co. | | | 53,665 | |
| | 615 | | | | | Kaiser Aluminum Corp. | | | 67,398 | |
| | 757 | | | | | Materion Corp. | | | 48,297 | |
| | 372 | | | | | Olympic Steel Inc. | | | 8,199 | |
| | 22,482 | | | | | Reliance Steel & Aluminum Co. | | | 1,975,943 | |
| | 2,523 | | | | | Royal Gold Inc. | | | 192,404 | |
| | 539 | | | | | Ryerson Holding Corp.* | | | 5,606 | |
| | 22,362 | | | | | Schnitzer Steel Industries Inc., Class A Shares | | | 589,239 | |
| | 8,911 | | | | | Steel Dynamics Inc. | | | 407,500 | |
| | 2,403 | | | | | SunCoke Energy Inc.* | | | 26,817 | |
| | 272 | | | | | Synalloy Corp. | | | 6,242 | |
| | 11,597 | | | | | Tahoe Resources Inc.* | | | 39,894 | |
| | 1,440 | | | | | TimkenSteel Corp.* | | | 20,174 | |
| | 6,616 | | | | | United States Steel Corp. | | | 196,363 | |
| | 239 | | | | | Universal Stainless & Alloy Products Inc.* | | | 7,237 | |
| | 1,343 | | | | | Warrior Met Coal Inc. | | | 32,299 | |
| | 1,599 | | | | | Worthington Industries Inc. | | | 74,481 | |
| | | | | | | | | | |
| | | | | | Total Metals & Mining | | | 6,317,423 | |
| | | | | | | | | | |
| | Paper & Forest Products — 0.1% | |
| | 1,453 | | | | | Boise Cascade Co. | | | 63,496 | |
| | 678 | | | | | Clearwater Paper Corp.* | | | 19,696 | |
| | 2,533 | | | | | Domtar Corp. | | | 128,930 | |
| | 3,276 | | | | | KapStone Paper and Packaging Corp. | | | 112,530 | |
| | 5,443 | | | | | Louisiana-Pacific Corp. | | | 158,718 | |
| | 623 | | | | | Neenah Paper Inc. | | | 56,849 | |
| | 1,627 | | | | | PH Glatfelter Co. | | | 31,287 | |
| | 1,146 | | | | | Schweitzer-Mauduit International Inc. | | | 46,631 | |
| | 1,212 | | | | | Verso Corp., Class A Shares* | | | 38,045 | |
| | | | | | | | | | |
| | | | | | Total Paper & Forest Products | | | 656,182 | |
| | | | | | | | | | |
| | | | | | TOTAL MATERIALS | | | 29,221,997 | |
| | | | | | | | | | |
See Notes to Financial Statements.
100
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | REAL ESTATE — 5.7% | |
| | Equity Real Estate Investment Trusts (REITs) — 4.8% | |
| | 3,005 | | | | | Acadia Realty Trust | | $ | 85,703 | |
| | 1,135 | | | | | Agree Realty Corp. | | | 64,774 | |
| | 2,554 | | | | | Alexander & Baldwin Inc. | | | 59,942 | |
| | 79 | | | | | Alexander’s Inc. | | | 28,513 | |
| | 9,395 | | | | | Alexandria Real Estate Equities Inc. | | | 1,205,848 | |
| | 1,441 | | | | | American Assets Trust Inc. | | | 56,920 | |
| | 5,364 | | | | | American Campus Communities Inc. | | | 224,913 | |
| | 10,217 | | | | | American Homes 4 Rent, Class A Shares | | | 237,034 | |
| | 2,233 | | | | | Americold Realty Trust | | | 55,602 | |
| | 6,173 | | | | | Apartment Investment & Management Co., Class A Shares | | | 270,377 | |
| | 8,116 | | | | | Apple Hospitality REIT Inc. | | | 143,247 | |
| | 1,688 | | | | | Armada Hoffler Properties Inc. | | | 26,316 | |
| | 3,221 | | | | | Ashford Hospitality Trust Inc. | | | 20,904 | |
| | 830 | | | | | Bluerock Residential Growth REIT Inc., Class A Shares | | | 8,209 | |
| | 1,135 | | | | | Braemar Hotels & Resorts Inc. | | | 13,109 | |
| | 6,587 | | | | | Brandywine Realty Trust | | | 110,398 | |
| | 11,732 | | | | | Brixmor Property Group Inc. | | | 213,757 | |
| | 213 | | | | | BRT Apartments Corp. | | | 2,741 | |
| | 10,771 | | | | | Camden Property Trust | | | 1,023,891 | |
| | 2,839 | | | | | CareTrust REIT Inc. | | | 52,380 | |
| | 1,883 | | | | | CatchMark Timber Trust Inc., Class A Shares | | | 23,613 | |
| | 6,331 | | | | | CBL & Associates Properties Inc.(a) | | | 28,236 | |
| | 3,374 | | | | | Cedar Realty Trust Inc. | | | 15,082 | |
| | 1,718 | | | | | Chatham Lodging Trust | | | 36,851 | |
| | 2,226 | | | | | Chesapeake Lodging Trust | | | 73,258 | |
| | 1,433 | | | | | City Office REIT Inc. | | | 18,500 | |
| | 586 | | | | | Clipper Realty Inc. | | | 7,149 | |
| | 18,276 | | | | | Colony Capital Inc. | | | 112,032 | |
| | 4,441 | | | | | Columbia Property Trust Inc. | | | 106,939 | |
| | 962 | | | | | Community Healthcare Trust Inc. | | | 29,851 | |
| | 4,432 | | | | | CoreCivic Inc. | | | 114,744 | |
| | 485 | | | | | CorEnergy Infrastructure Trust Inc. | | | 18,154 | |
| | 1,524 | | | | | CorePoint Lodging Inc. | | | 31,775 | |
| | 1,439 | | | | | CoreSite Realty Corp. | | | 167,600 | |
| | 3,835 | | | | | Corporate Office Properties Trust | | | 118,041 | |
| | 15,719 | | | | | Cousins Properties Inc. | | | 146,973 | |
| | 7,149 | | | | | CubeSmart | | | 218,402 | |
| | 3,680 | | | | | CyrusOne Inc. | | | 246,413 | |
| | 5,727 | | | | | DDR Corp. | | | 80,121 | |
| | 7,471 | | | | | DiamondRock Hospitality Co. | | | 89,353 | |
| | 6,013 | | | | | Douglas Emmett Inc. | | | 234,868 | |
| | 13,707 | | | | | Duke Realty Corp. | | | 390,512 | |
| | 1,623 | | | | | Easterly Government Properties Inc. | | | 32,866 | |
| | 1,412 | | | | | EastGroup Properties Inc. | | | 137,345 | |
| | 2,837 | | | | | Education Realty Trust Inc. | | | 117,395 | |
| | 5,735 | | | | | Empire State Realty Trust Inc., Class A Shares | | | 100,879 | |
| | 2,765 | | | | | EPR Properties | | | 194,048 | |
| | 4,674 | | | | | Equity Commonwealth* | | | 149,848 | |
| | 3,254 | | | | | Equity LifeStyle Properties Inc. | | | 315,248 | |
| | 1,079 | | | | | Farmland Partners Inc.(a) | | | 7,618 | |
| | 4,640 | | | | | First Industrial Realty Trust Inc. | | | 150,614 | |
| | 8,241 | | | | | Forest City Realty Trust Inc., Class A Shares | | | 207,261 | |
| | 2,328 | | | | | Four Corners Property Trust Inc. | | | 62,716 | |
| | 3,941 | | | | | Franklin Street Properties Corp. | | | 33,774 | |
See Notes to Financial Statements.
101
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | REAL ESTATE — 5.7% — (continued) | |
| | Equity Real Estate Investment Trusts (REITs) — 4.8% — (continued) | |
| | 1,754 | | | | | Front Yard Residential Corp. | | $ | 21,434 | |
| | 7,816 | | | | | Gaming and Leisure Properties Inc. | | | 279,735 | |
| | 4,528 | | | | | GEO Group Inc. (The) | | | 114,875 | |
| | 1,166 | | | | | Getty Realty Corp. | | | 33,942 | |
| | 1,000 | | | | | Gladstone Commercial Corp. | | | 19,910 | |
| | 441 | | | | | Gladstone Land Corp. | | | 6,042 | |
| | 726 | | | | | Global Medical REIT Inc. | | | 6,948 | |
| | 2,561 | | | | | Global Net Lease Inc. | | | 55,548 | |
| | 3,540 | | | | | Government Properties Income Trust | | | 59,861 | |
| | 6,242 | | | | | Gramercy Property Trust | | | 170,719 | |
| | 4,626 | | | | | Healthcare Realty Trust Inc. | | | 143,221 | |
| | 7,657 | | | | | Healthcare Trust of America Inc., Class A Shares | | | 218,761 | |
| | 1,352 | | | | | Hersha Hospitality Trust, Class A Shares | | | 31,907 | |
| | 4,054 | | | | | Highwoods Properties Inc. | | | 201,646 | |
| | 6,358 | | | | | Hospitality Properties Trust | | | 184,318 | |
| | 69,956 | | | | | Host Hotels & Resorts Inc. | | | 1,506,153 | |
| | 6,081 | | | | | Hudson Pacific Properties Inc. | | | 205,781 | |
| | 3,347 | | | | | Independence Realty Trust Inc. | | | 34,575 | |
| | 767 | | | | | Industrial Logistics Properties Trust | | | 18,462 | |
| | 19,522 | | | | | InfraREIT Inc. | | | 407,815 | |
| | 281 | | | | | Innovative Industrial Properties Inc., Class A Shares | | | 12,757 | |
| | 4,495 | | | | | Investors Real Estate Trust | | | 24,498 | |
| | 11,003 | | | | | Iron Mountain Inc. | | | 397,208 | |
| | 2,451 | | | | | iStar Inc. | | | 27,427 | |
| | 3,845 | | | | | JBG SMITH Properties | | | 144,034 | |
| | 526 | | | | | Jernigan Capital Inc. | | | 10,525 | |
| | 3,837 | | | | | Kilroy Realty Corp. | | | 280,638 | |
| | 15,245 | | | | | Kimco Realty Corp. | | | 260,842 | |
| | 3,104 | | | | | Kite Realty Group Trust | | | 54,258 | |
| | 3,212 | | | | | Lamar Advertising Co., Class A Shares | | | 247,485 | |
| | 4,313 | | | | | LaSalle Hotel Properties | | | 151,429 | |
| | 8,162 | | | | | Lexington Realty Trust | | | 76,233 | |
| | 5,517 | | | | | Liberty Property Trust | | | 241,369 | |
| | 1,719 | | | | | Life Storage Inc. | | | 167,774 | |
| | 1,722 | | | | | LTC Properties Inc. | | | 79,987 | |
| | 5,097 | | | | | Macerich Co. (The) | | | 299,398 | |
| | 3,389 | | | | | Mack-Cali Realty Corp. | | | 74,016 | |
| | 1,155 | | | | | MedEquities Realty Trust Inc. | | | 12,370 | |
| | 14,599 | | | | | Medical Properties Trust Inc. | | | 219,715 | |
| | 25,873 | | | | | Mid-America Apartment Communities Inc. | | | 2,679,408 | |
| | 2,882 | | | | | Monmouth Real Estate Investment Corp. | | | 50,118 | |
| | 1,502 | | | | | National Health Investors Inc. | | | 119,034 | |
| | 5,737 | | | | | National Retail Properties Inc. | | | 264,418 | |
| | 2,265 | | | | | National Storage Affiliates Trust | | | 64,235 | |
| | 2,818 | | | | | New Senior Investment Group Inc. | | | 17,866 | |
| | 805 | | | | | NexPoint Residential Trust Inc. | | | 26,002 | |
| | 1,885 | | | | | NorthStar Realty Europe Corp. | | | 25,862 | |
| | 7,345 | | | | | Omega Healthcare Investors Inc. | | | 242,752 | |
| | 612 | | | | | One Liberty Properties Inc. | | | 17,620 | |
| | 5,202 | | | | | Outfront Media Inc. | | | 103,364 | |
| | 8,575 | | | | | Paramount Group Inc. | | | 136,171 | |
| | 7,537 | | | | | Park Hotels & Resorts Inc. | | | 252,113 | |
| | 2,545 | | | | | Pebblebrook Hotel Trust | | | 98,262 | |
| | 2,539 | | | | | Pennsylvania Real Estate Investment Trust | | | 25,898 | |
See Notes to Financial Statements.
102
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | REAL ESTATE — 5.7% — (continued) | |
| | Equity Real Estate Investment Trusts (REITs) — 4.8% — (continued) | |
| | 7,551 | | | | | Physicians Realty Trust | | $ | 132,067 | |
| | 4,776 | | | | | Piedmont Office Realty Trust Inc., Class A Shares | | | 94,756 | |
| | 2,296 | | | | | PotlatchDeltic Corp. | | | 110,897 | |
| | 1,538 | | | | | Preferred Apartment Communities Inc., Class A Shares | | | 27,407 | |
| | 740 | | | | | PS Business Parks Inc. | | | 96,518 | |
| | 2,043 | | | | | QTS Realty Trust Inc., Class A Shares | | | 93,426 | |
| | 2,981 | | | | | Ramco-Gershenson Properties Trust | | | 41,615 | |
| | 5,062 | | | | | Rayonier Inc. | | | 176,309 | |
| | 5,893 | | | | | Regency Centers Corp. | | | 389,115 | |
| | 4,164 | | | | | Retail Opportunity Investments Corp. | | | 82,197 | |
| | 8,215 | | | | | Retail Properties of America Inc., Class A Shares | | | 104,577 | |
| | 585 | | | | | Retail Value Inc.* | | | 20,896 | |
| | 3,017 | | | | | Rexford Industrial Realty Inc. | | | 98,053 | |
| | 6,489 | | | | | RLJ Lodging Trust | | | 142,174 | |
| | 1,670 | | | | | Ryman Hospitality Properties Inc. | | | 148,179 | |
| | 6,645 | | | | | Sabra Health Care REIT Inc. | | | 156,689 | |
| | 329 | | | | | Safety Income & Growth Inc. | | | 5,429 | |
| | 412 | | | | | Saul Centers Inc. | | | 24,720 | |
| | 4,395 | | | | | SBA Communications Corp., Class A Shares* | | | 682,236 | |
| | 2,380 | | | | | Select Income REIT | | | 48,909 | |
| | 9,222 | | | | | Senior Housing Properties Trust | | | 176,232 | |
| | 1,207 | | | | | Seritage Growth Properties, Class A Shares(a) | | | 62,136 | |
| | 1,563 | | | | | Spirit MTA REIT* | | | 16,755 | |
| | 16,086 | | | | | Spirit Realty Capital Inc. | | | 134,640 | |
| | 17,150 | | | | | STAG Industrial Inc. | | | 495,121 | |
| | 7,040 | | | | | STORE Capital Corp. | | | 202,822 | |
| | 3,866 | | | | | Summit Hotel Properties Inc. | | | 53,080 | |
| | 3,049 | | | | | Sun Communities Inc. | | | 314,596 | |
| | 8,413 | | | | | Sunstone Hotel Investors Inc. | | | 141,170 | |
| | 3,428 | | | | | Tanger Factory Outlet Centers Inc.(a) | | | 82,478 | |
| | 2,322 | | | | | Taubman Centers Inc. | | | 150,024 | |
| | 2,352 | | | | | Terreno Realty Corp. | | | 90,340 | |
| | 1,796 | | | | | Tier REIT Inc. | | | 42,817 | |
| | 1,243 | | | | | UMH Properties Inc. | | | 19,838 | |
| | 27,783 | | | | | Uniti Group Inc. | | | 578,442 | |
| | 481 | | | | | Universal Health Realty Income Trust | | | 36,676 | |
| | 4,088 | | | | | Urban Edge Properties | | | 93,452 | |
| | 1,108 | | | | | Urstadt Biddle Properties Inc., Class A Shares | | | 25,207 | |
| | 36,418 | | | | | VEREIT Inc. | | | 284,789 | |
| | 10,655 | | | | | VICI Properties Inc. | | | 222,796 | |
| | 6,985 | | | | | Washington Prime Group Inc. | | | 54,064 | |
| | 2,951 | | | | | Washington Real Estate Investment Trust | | | 93,134 | |
| | 4,472 | | | | | Weingarten Realty Investors | | | 138,319 | |
| | 1,564 | | | | | Whitestone REIT, Class B Shares | | | 21,333 | |
| | 3,950 | | | | | WP Carey Inc. | | | 262,991 | |
| | 4,019 | | | | | Xenia Hotels & Resorts Inc. | | | 97,501 | |
| | | | | | | | | | |
| | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | 24,916,318 | |
| | | | | | | | | | |
| | Real Estate Management & Development — 0.9% | |
| | 399 | | | | | Altisource Portfolio Solutions SA*(a) | | | 14,424 | |
| | 61,388 | | | | | CBRE Group Inc., Class A Shares* | | | 2,996,348 | |
| | 156 | | | | | Consolidated-Tomoka Land Co. | | | 9,794 | |
| | 355 | | | | | Forestar Group Inc.* | | | 9,123 | |
| | 258 | | | | | FRP Holdings Inc.* | | | 16,847 | |
| | 18,463 | | | | | HFF Inc., Class A Shares | | | 838,405 | |
See Notes to Financial Statements.
103
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | REAL ESTATE — 5.7% — (continued) | |
| | Real Estate Management & Development — 0.9% — (continued) | |
| | 1,518 | | | | | Howard Hughes Corp. (The)* | | $ | 197,902 | |
| | 1,701 | | | | | Jones Lang LaSalle Inc. | | | 259,437 | |
| | 5,106 | | | | | Kennedy-Wilson Holdings Inc. | | | 109,524 | |
| | 735 | | | | | Marcus & Millichap Inc.* | | | 26,761 | |
| | 322 | | | | | Maui Land & Pineapple Co., Inc.* | | | 4,089 | |
| | 867 | | | | | Newmark Group Inc., Class A Shares | | | 11,141 | |
| | 667 | | | | | RE/MAX Holdings Inc., Class A Shares | | | 32,850 | |
| | 4,758 | | | | | Realogy Holdings Corp.(a) | | | 101,774 | |
| | 2,762 | | | | | Redfin Corp.*(a) | | | 54,715 | |
| | 330 | | | | | RMR Group Inc. (The), Class A Shares | | | 31,168 | |
| | 1,486 | | | | | St Joe Co. (The)* | | | 25,559 | |
| | 159 | | | | | Stratus Properties Inc.* | | | 4,834 | |
| | 798 | | | | | Tejon Ranch Co.* | | | 17,740 | |
| | 24 | | | | | Transcontinental Realty Investors Inc. | | | 729 | |
| | 497 | | | | | Trinity Place Holdings Inc.* | | | 3,032 | |
| | | | | | | | | | |
| | | | | | Total Real Estate Management & Development | | | 4,766,196 | |
| | | | | | | | | | |
| | | | | | TOTAL REAL ESTATE | | | 29,682,514 | |
| | | | | | | | | | |
| | TELECOMMUNICATION SERVICES — 0.2% | |
| | Diversified Telecommunication Services — 0.1% | |
| | 380 | | | | | ATN International Inc. | | | 27,828 | |
| | 1,656 | | | | | Cincinnati Bell Inc.* | | | 21,528 | |
| | 1,560 | | | | | Cogent Communications Holdings Inc. | | | 85,332 | |
| | 2,628 | | | | | Consolidated Communications Holdings Inc. | | | 31,037 | |
| | 3,297 | | | | | Frontier Communications Corp.(a) | | | 17,144 | |
| | 1,491 | | | | | Intelsat SA* | | | 32,757 | |
| | 3,585 | | | | | Iridium Communications Inc.* | | | 72,596 | |
| | 695 | | | | | Ooma Inc.* | | | 11,120 | |
| | 2,858 | | | | | ORBCOMM Inc.* | | | 30,838 | |
| | 314 | | | | | pdvWireless Inc.* | | | 9,436 | |
| | 8,263 | | | | | Vonage Holdings Corp.* | | | 117,169 | |
| | 1,458 | | | | | Windstream Holdings Inc.*(a) | | | 6,867 | |
| | 7,846 | | | | | Zayo Group Holdings Inc.* | | | 271,942 | |
| | | | | | | | | | |
| | | | | | Total Diversified Telecommunication Services | | | 735,594 | |
| | | | | | | | | | |
| | Wireless Telecommunication Services — 0.1% | |
| | 1,519 | | | | | Boingo Wireless Inc.* | | | 50,249 | |
| | 3,326 | | | | | NII Holdings Inc.* | | | 19,091 | |
| | 1,742 | | | | | Shenandoah Telecommunications Co. | | | 66,457 | |
| | 703 | | | | | Spok Holdings Inc. | | | 10,791 | |
| | 3,654 | | | | | Telephone & Data Systems Inc. | | | 109,766 | |
| | 482 | | | | | United States Cellular Corp.* | | | 20,611 | |
| | | | | | | | | | |
| | | | | | Total Wireless Telecommunication Services | | | 276,965 | |
| | | | | | | | | | |
| | | | | | TOTAL TELECOMMUNICATION SERVICES | | | 1,012,559 | |
| | | | | | | | | | |
| | UTILITIES — 1.5% | |
| | Electric Utilities — 0.4% | |
| | 2,032 | | | | | ALLETE Inc. | | | 152,563 | |
| | 8,838 | | | | | Alliant Energy Corp. | | | 378,620 | |
| | 1,511 | | | | | El Paso Electric Co. | | | 92,624 | |
| | 4,386 | | | | | Hawaiian Electric Industries Inc. | | | 154,694 | |
| | 1,952 | | | | | IDACORP Inc. | | | 191,003 | |
| | 1,306 | | | | | MGE Energy Inc. | | | 85,478 | |
| | 7,731 | | | | | OGE Energy Corp. | | | 284,733 | |
See Notes to Financial Statements.
104
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | UTILITIES — 1.5% — (continued) | |
| | Electric Utilities — 0.4% — (continued) | |
| | 1,478 | | | | | Otter Tail Corp. | | $ | 70,796 | |
| | 4,302 | | | | | Pinnacle West Capital Corp. | | | 337,922 | |
| | 2,969 | | | | | PNM Resources Inc. | | | 115,642 | |
| | 3,500 | | | | | Portland General Electric Co. | | | 162,400 | |
| | 502 | | | | | Spark Energy Inc., Class A Shares | | | 4,418 | |
| | | | | | | | | | |
| | | | | | Total Electric Utilities | | | 2,030,893 | |
| | | | | | | | | | |
| | Gas Utilities — 0.3% | |
| | 4,149 | | | | | Atmos Energy Corp. | | | 382,662 | |
| | 597 | | | | | Chesapeake Utilities Corp. | | | 51,342 | |
| | 3,194 | | | | | National Fuel Gas Co. | | | 177,363 | |
| | 3,250 | | | | | New Jersey Resources Corp. | | | 148,200 | |
| | 1,071 | | | | | Northwest Natural Gas Co. | | | 69,508 | |
| | 1,942 | | | | | ONE Gas Inc. | | | 152,505 | |
| | 278 | | | | | RGC Resources Inc. | | | 7,487 | |
| | 3,445 | | | | | South Jersey Industries Inc. | | | 114,305 | |
| | 1,800 | | | | | Southwest Gas Holdings Inc. | | | 139,176 | |
| | 1,946 | | | | | Spire Inc. | | | 145,074 | |
| | 6,634 | | | | | UGI Corp. | | | 358,568 | |
| | | | | | | | | | |
| | | | | | Total Gas Utilities | | | 1,746,190 | |
| | | | | | | | | | |
| | Independent Power and Renewable Electricity Producers — 0.5% | |
| | 165,580 | | | | | Atlantic Power Corp.* | | | 364,276 | |
| | 12,136 | | | | | NRG Energy Inc. | | | 429,493 | |
| | 1,443 | | | | | NRG Yield Inc., Class A Shares | | | 28,413 | |
| | 2,331 | | | | | NRG Yield Inc., Class C Shares | | | 46,270 | |
| | 12,684 | | | | | Ormat Technologies Inc. | | | 667,813 | |
| | 3,029 | | | | | Pattern Energy Group Inc., Class A Shares | | | 61,731 | |
| | 2,745 | | | | | TerraForm Power Inc., Class A Shares | | | 30,689 | |
| | 43,161 | | | | | Vistra Energy Corp.* | | | 1,016,010 | |
| | | | | | | | | | |
| | | | | | Total Independent Power and Renewable Electricity Producers | | | 2,644,695 | |
| | | | | | | | | | |
| | Multi-Utilities — 0.2% | |
| | 2,441 | | | | | Avista Corp. | | | 125,248 | |
| | 2,155 | | | | | Black Hills Corp. | | | 126,822 | |
| | 7,272 | | | | | MDU Resources Group Inc. | | | 202,816 | |
| | 1,849 | | | | | NorthWestern Corp. | | | 110,866 | |
| | 5,345 | | | | | SCANA Corp. | | | 204,927 | |
| | 583 | | | | | Unitil Corp. | | | 29,470 | |
| | 3,214 | | | | | Vectren Corp. | | | 228,837 | |
| | | | | | | | | | |
| | | | | | Total Multi-Utilities | | | 1,028,986 | |
| | | | | | | | | | |
| | Water Utilities — 0.1% | |
| | 1,370 | | | | | American States Water Co. | | | 82,789 | |
| | 6,870 | | | | | Aqua America Inc. | | | 255,427 | |
| | 400 | | | | | AquaVenture Holdings Ltd.* | | | 7,272 | |
| | 311 | | | | | Artesian Resources Corp., Class A Shares | | | 11,174 | |
| | 958 | | | | | Cadiz Inc.*(a) | | | 9,197 | |
| | 1,796 | | | | | California Water Service Group | | | 73,905 | |
| | 446 | | | | | Connecticut Water Service Inc. | | | 30,555 | |
| | 557 | | | | | Consolidated Water Co., Ltd. | | | 7,519 | |
| | 370 | | | | | Global Water Resources Inc. | | | 3,645 | |
| | 597 | | | | | Middlesex Water Co. | | | 27,343 | |
| | 592 | | | | | Pure Cycle Corp.* | | | 6,660 | |
| | 645 | | | | | SJW Group | | | 37,352 | |
See Notes to Financial Statements.
105
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
| | UTILITIES — 1.5% — (continued) | |
| | Water Utilities — 0.1% — (continued) | |
| | 533 | | | | | York Water Co. (The) | | $ | 16,043 | |
| | | | | | | | | | |
| | | | | | Total Water Utilities | | | 568,881 | |
| | | | | | | | | | |
| | | | | | TOTAL UTILITIES | | | 8,019,645 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMON STOCKS
(Cost — $345,397,150) | | | 490,751,987 | |
| | | | | | | | | | |
| | CLOSED END MUTUAL FUND SECURITY — 3.7% | |
| | FINANCIALS — 3.7% | |
| | Capital Markets — 3.7% | |
| | 139,400 | | | | | iShares Russell 2000 Value, Common Class(a)
(Cost — $16,349,018) | | | 19,079,678 | |
| | | | | | | | | | |
| | CONVERTIBLE PREFERRED STOCK — 0.1% | |
| | UTILITIES — 0.1% | |
| | Independent Power and Renewable Electricity Producers — 0.1% | |
| | 4,500 | | | | | Vistra Energy Corp., 7.000%
(Cost — $429,353) | | | 427,635 | |
| | | | | | | | | | |
| | | |
Face
Amount† | | | Rating†† | | | | | |
| | CORPORATE BOND & NOTE — 0.1% | |
| | Electronic Equipment, Instruments & Components — 0.1% | |
| $ | 353,000 | | | NR | | Maxwell Technologies Inc., Senior Unsecured Notes, 5.500% due 9/15/22(c)
(Cost — $353,000) | | | 324,230 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $362,528,521) | | | 510,583,530 | |
| | | | | | | | | | |
| | SHORT-TERM INVESTMENTS (d) — 7.7% | |
| | MONEY MARKET FUND — 5.9% | |
| | 30,809,461 | | | | | Invesco STIT — Government & Agency Portfolio, 1.820%, Institutional Class(e)
(Cost — $30,809,461) | | | 30,809,461 | |
| | | | | | | | | | |
| | TIME DEPOSITS — 1.8% | |
| | 1,000,869 | | | | | ANZ National Bank — London, 1.280% due 9/4/18 | | | 1,000,869 | |
| | 8,444 | CAD | | | | BBH — Grand Cayman, 0.590% due 9/4/18 | | | 6,471 | |
| | 545,137 | | | | | Deutsche Bank AG — Grand Cayman, 1.280% due 9/4/18 | | | 545,137 | |
| | 7,941,868 | | | | | JPMorgan Chase & Co. — New York, 1.280% due 9/4/18 | | | 7,941,868 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $9,494,345) | | | 9,494,345 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $40,303,806) | | | 40,303,806 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 105.9%
(Cost — $402,832,327) | | | 550,887,336 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (5.9)% | | | (30,488,518 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 520,398,818 | |
| | | | | | | | | | |
| † | 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) | 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
| | | | | | |
| Small-Mid Cap Equity Fund |
| (c) | 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. The aggregate value of restricted 144A holdings at August 31, 2018 amounts to approximately $324,230 and represents 0.1% of net assets. |
| (d) | 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%. |
| (e) | Represents investment of collateral received from securities lending transactions. |
| # | Security that used significant unobservable inputs to determine fair value. |
At August 31, 2018, for Small-Mid Cap Equity Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost for
Federal Income
Tax Purposes | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net Unrealized
Appreciation | |
Small-Mid Cap Equity Fund | | $ | 409,837,430 | | | $ | 157,262,633 | | | $ | (16,162,369 | ) | | $ | 141,100,264 | |
| | |
Abbreviations used in this schedule: |
| ADR | | — American Depositary Receipts |
| PLC | | — Public Limited Company |
| REIT | | — Real Estate Investment Trust |
| | | | |
| Summary of Investments by Security Sector^ | | | |
Information Technology | | | 18.1 | % |
Industrials | | | 17.6 | |
Financials | | | 14.2 | |
Health Care | | | 13.3 | |
Consumer Discretionary | | | 11.8 | |
Real Estate | | | 5.4 | |
Materials | | | 5.3 | |
Energy | | | 3.6 | |
Consumer Staples | | | 1.7 | |
Utilities | | | 1.5 | |
Telecommunication Services | | | 0.2 | |
Short-Term Investments | | | 7.3 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
At August 31, 2018, Small-Mid Cap Equity Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Market
Value | | | Unrealized
Appreciation | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
Russell 2000 E-mini Index September Futures | | | 12 | | | | 9/18 | | | $ | 1,019,948 | | | $ | 1,044,360 | | | $ | 24,412 | |
NASDAQ 100 E-mini Index September Futures | | | 1 | | | | 9/18 | | | | 143,695 | | | | 153,225 | | | | 9,530 | |
S&P MidCap 400 E-mini Index September Futures | | | 4 | | | | 9/18 | | | | 801,824 | | | | 818,240 | | | | 16,416 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 50,358 | |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2018, Small-Mid Cap Equity Fund had deposited cash of $74,996 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
|
Currency Abbreviation used in this schedule: |
| CAD — Canadian Dollar |
See pages 281-282 for definitions of ratings.
See Notes to Financial Statements.
107
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | COMMON STOCKS — 96.3% | |
| | Argentina — 0.1% | |
| | 8,153 | | | Globant SA* | | $ | 528,967 | |
| | 95,386 | | | YPF SA, ADR* | | | 1,443,190 | |
| | | | | | | | |
| | | | Total Argentina | | | 1,972,157 | |
| | | | | | | | |
| | Australia — 3.3% | |
| | 18,835 | | | AGL Energy Ltd. | | | 280,984 | |
| | 65,547 | | | Alumina Ltd. | | | 136,061 | |
| | 32,718 | | | Amcor Ltd. | | | 336,193 | |
| | 82,205 | | | AMP Ltd. | | | 197,292 | |
| | 35,139 | | | APA Group | | | 252,428 | |
| | 16,410 | | | Aristocrat Leisure Ltd. | | | 372,646 | |
| | 5,759 | | | ASX Ltd. | | | 281,240 | |
| | 58,337 | | | Aurizon Holdings Ltd. | | | 176,383 | |
| | 46,200 | | | AusNet Services | | | 54,594 | |
| | 85,092 | | | Australia & New Zealand Banking Group Ltd. | | | 1,803,565 | |
| | 12,033 | | | Bank of Queensland Ltd. | | | 99,388 | |
| | 1,264,018 | | | Beach Energy Ltd. | | | 1,759,912 | |
| | 17,517 | | | Bendigo & Adelaide Bank Ltd. | | | 145,942 | |
| | 93,509 | | | BHP Billiton Ltd. | | | 2,239,239 | |
| | 296,922 | | | BHP Billiton PLC | | | 6,329,476 | |
| | 16,005 | | | BlueScope Steel Ltd. | | | 200,048 | |
| | 33,967 | | | Boral Ltd. | | | 171,586 | |
| | 399,791 | | | Brambles Ltd. | | | 3,162,498 | |
| | 7,733 | | | Caltex Australia Ltd. | | | 168,437 | |
| | 14,833 | | | Challenger Ltd. | | | 115,477 | |
| | 259,944 | | | Charter Hall Group, REIT | | | 1,336,600 | |
| | 2,903 | | | CIMIC Group Ltd. | | | 102,797 | |
| | 18,043 | | | Coca-Cola Amatil Ltd. | | | 121,741 | |
| | 1,621 | | | Cochlear Ltd. | | | 251,474 | |
| | 51,031 | | | Commonwealth Bank of Australia | | | 2,612,043 | |
| | 15,036 | | | Computershare Ltd. | | | 208,584 | |
| | 9,499 | | | Crown Resorts Ltd. | | | 97,248 | |
| | 58,703 | | | CSL Ltd. | | | 9,641,162 | |
| | 262,422 | | | CSR Ltd. | | | 812,709 | |
| | 29,128 | | | Dexus, REIT | | | 224,374 | |
| | 1,959 | | | Domino’s Pizza Enterprises Ltd. | | | 76,642 | |
| | 127,359 | | | Downer EDI Ltd. | | | 709,230 | |
| | 1,756 | | | Flight Centre Travel Group Ltd. | | | 73,709 | |
| | 45,879 | | | Fortescue Metals Group Ltd. | | | 126,973 | |
| | 50,713 | | | Goodman Group, REIT | | | 389,862 | |
| | 51,222 | | | GPT Group (The), REIT | | | 191,026 | |
| | 11,799 | | | Harvey Norman Holdings Ltd. | | | 30,530 | |
| | 59,040 | | | Healthscope Ltd. | | | 93,200 | |
| | 44,560 | | | Incitec Pivot Ltd. | | | 126,349 | |
| | 72,631 | | | Insurance Australia Group Ltd. | | | 403,067 | |
| | 15,778 | | | LendLease Group | | | 233,013 | |
| | 9,575 | | | Macquarie Group Ltd. | | | 896,603 | |
| | 79,155 | | | Medibank Pvt Ltd. | | | 172,978 | |
| | 310,800 | | | Metcash Ltd. | | | 616,467 | |
| | 42,777 | | | Mineral Resources Ltd. | | | 466,161 | |
| | 106,219 | | | Mirvac Group, REIT | | | 185,491 | |
| | 79,171 | | | National Australia Bank Ltd. | | | 1,615,291 | |
| | 21,692 | | | Newcrest Mining Ltd. | | | 301,849 | |
| | 101,656 | | | Northern Star Resources Ltd.(a) | | | 508,544 | |
| | 38,625 | | | Oil Search Ltd. | | | 249,899 | |
See Notes to Financial Statements.
108
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Australia — 3.3% — (continued) | |
| | 10,305 | | | Orica Ltd. | | $ | 130,601 | |
| | 49,175 | | | Origin Energy Ltd.* | | | 282,542 | |
| | 75,850 | | | OZ Minerals Ltd. | | | 494,290 | |
| | 73,410 | | | Pendal Group Ltd. | | | 494,960 | |
| | 38,296 | | | QBE Insurance Group Ltd. | | | 303,095 | |
| | 3,984 | | | Ramsay Health Care Ltd. | | | 159,519 | |
| | 1,573 | | | REA Group Ltd. | | | 103,487 | |
| | 50,055 | | | Santos Ltd. | | | 243,594 | |
| | 162,885 | | | Scentre Group, REIT | | | 483,648 | |
| | 9,418 | | | SEEK Ltd. | | | 151,594 | |
| | 52,356 | | | Seven Group Holdings Ltd.(b) | | | 784,021 | |
| | 11,478 | | | Sonic Healthcare Ltd. | | | 216,004 | |
| | 145,927 | | | South32 Ltd. | | | 367,091 | |
| | 147,362 | | | Star Entertainment Grp Ltd. (The) | | | 572,858 | |
| | 68,571 | | | Stockland, REIT | | | 204,362 | |
| | 36,505 | | | Suncorp Group Ltd. | | | 407,748 | |
| | 28,742 | | | Sydney Airport | | | 149,079 | |
| | 61,096 | | | Tabcorp Holdings Ltd. | | | 210,810 | |
| | 120,399 | | | Telstra Corp., Ltd. | | | 268,229 | |
| | 12,003 | | | TPG Telecom Ltd. | | | 74,529 | |
| | 67,224 | | | Transurban Group(a) | | | 582,370 | |
| | 19,747 | | | Treasury Wine Estates Ltd. | | | 276,379 | |
| | 94,984 | | | Vicinity Centres, REIT | | | 189,317 | |
| | 33,078 | | | Wesfarmers Ltd. | | | 1,222,832 | |
| | 199,855 | | | Westpac Banking Corp. | | | 4,101,758 | |
| | 27,130 | | | Woodside Petroleum Ltd. | | | 722,658 | |
| | 38,678 | | | Woolworths Group Ltd. | | | 786,486 | |
| | | | | | | | |
| | | | Total Australia | | | 55,142,866 | |
| | | | | | | | |
| | Austria — 0.5% | |
| | 52,861 | | | ams AG* | | | 4,188,603 | |
| | 2,051 | | | ANDRITZ AG | | | 121,482 | |
| | 74,947 | | | Erste Group Bank AG | | | 2,985,547 | |
| | 4,254 | | | OMV AG | | | 225,408 | |
| | 4,487 | | | Raiffeisen Bank International AG | | | 127,619 | |
| | 3,219 | | | Voestalpine AG | | | 144,404 | |
| | | | | | | | |
| | | | Total Austria | | | 7,793,063 | |
| | | | | | | | |
| | Belgium — 0.6% | |
| | 63,669 | | | Ageas | | | 3,290,799 | |
| | 22,185 | | | Anheuser-Busch InBev SA/NV | | | 2,069,047 | |
| | 1,893 | | | Colruyt SA | | | 112,428 | |
| | 2,360 | | | Groupe Bruxelles Lambert SA | | | 247,852 | |
| | 7,516 | | | KBC Group NV | | | 534,491 | |
| | 4,353 | | | Proximus SADP | | | 100,373 | |
| | 2,328 | | | Solvay SA | | | 310,053 | |
| | 1,499 | | | Telenet Group Holding NV* | | | 81,962 | |
| | 3,681 | | | UCB SA | | | 336,122 | |
| | 40,001 | | | Umicore SA | | | 2,232,561 | |
| | 7,455 | | | Warehouses de Pauw CVA, REIT | | | 1,050,825 | |
| | | | | | | | |
| | | | Total Belgium | | | 10,366,513 | |
| | | | | | | | |
| | Brazil — 0.2% | |
| | 241,000 | | | B3 SA — Brasil Bolsa Balcao | | | 1,288,143 | |
| | 118,183 | | | Petróleo Brasileiro SA, ADR | | | 1,284,649 | |
| | | | | | | | |
| | | | Total Brazil | | | 2,572,792 | |
| | | | | | | | |
See Notes to Financial Statements.
109
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Canada — 3.4% | |
| | 30,463 | | | Air Canada, Class B Shares* | | $ | 626,115 | |
| | 57,758 | | | Alimentation Couche-Tard Inc., Class B Shares | | | 2,765,514 | |
| | 55,822 | | | ARC Resources Ltd. | | | 592,486 | |
| | 180,806 | | | Barrick Gold Corp.(b) | | | 1,849,766 | |
| | 18,754 | | | BRP Inc. | | | 979,019 | |
| | 62,195 | | | Cameco Corp. | | | 647,450 | |
| | 24,306 | | | Canada Goose Holdings Inc.*(b) | | | 1,479,506 | |
| | 21,553 | | | Canadian Apartment Properties, REIT | | | 765,727 | |
| | 15,075 | | | Canadian Imperial Bank of Commerce | | | 1,412,884 | |
| | 25,156 | | | Canadian Pacific Railway Ltd. | | | 5,291,647 | |
| | 21,296 | | | Canadian Western Bank | | | 579,361 | |
| | 32,254 | | | Capital Power Corp. | | | 676,274 | |
| | 75,197 | | | CCL Industries Inc., Class B Shares | | | 3,622,987 | |
| | 72,352 | | | Dollarama Inc. | | | 2,736,280 | |
| | 429,353 | | | Encana Corp. | | | 5,685,662 | |
| | 42,306 | | | Enerflex Ltd. | | | 511,601 | |
| | 180,891 | | | Entertainment One Ltd. | | | 858,279 | |
| | 138,257 | | | Gildan Activewear Inc., Class A Shares | | | 4,074,921 | |
| | 241,806 | | | Gran Tierra Energy Inc.* | | | 835,731 | |
| | 74,607 | | | HudBay Minerals Inc. | | | 348,764 | |
| | 181,292 | | | IAMGOLD Corp.* | | | 739,117 | |
| | 39,404 | | | Interfor Corp.* | | | 678,224 | |
| | 337,579 | | | Kinross Gold Corp.* | | | 1,012,737 | |
| | 354,297 | | | Manulife Financial Corp. | | | 6,483,725 | |
| | 11,792 | | | NFI Group Inc. | | | 463,493 | |
| | 50,042 | | | Nutrien Ltd. | | | 2,812,538 | |
| | 72,823 | | | Parex Resources Inc.* | | | 1,046,388 | |
| | 8,717 | | | Premium Brands Holdings Corp. | | | 652,990 | |
| | 97,172 | | | Saputo Inc.(b) | | | 2,975,702 | |
| | 18,900 | | | Sleep Country Canada Holdings Inc.(c) | | | 462,180 | |
| | 297,637 | | | Tamarack Valley Energy Ltd.* | | | 1,106,245 | |
| | 26,143 | | | TFI International Inc. | | | 970,470 | |
| | 37,571 | | | Tourmaline Oil Corp. | | | 612,123 | |
| | 69,092 | | | Tricon Capital Group Inc. | | | 603,079 | |
| | | | | | | | |
| | | | Total Canada | | | 56,958,985 | |
| | | | | | | | |
| | Chile — 0.1% | |
| | 107,692 | | | Antofagasta PLC | | | 1,125,038 | |
| | | | | | | | |
| | China — 1.6% | |
| | 24,005 | | | Alibaba Group Holding Ltd., ADR* | | | 4,201,115 | |
| | 39,104 | | | Baidu Inc., ADR* | | | 8,856,274 | |
| | 286,200 | | | China Pacific Insurance Group Co., Ltd., Class H Shares(d) | | | 1,064,848 | |
| | 7,341,630 | | | China Telecom Corp., Ltd., Class H Shares(d) | | | 3,458,751 | |
| | 2,922,610 | | | Dongfeng Motor Group Co., Ltd., Class H Shares(d) | | | 3,267,715 | |
| | 36,641 | | | iQIYI Inc., ADR*(b) | | | 1,058,925 | |
| | 68,331 | | | JD.com Inc., ADR* | | | 2,138,760 | |
| | 22,000 | | | Minth Group Ltd. | | | 90,212 | |
| | 63,600 | | | Tencent Holdings Ltd. | | | 2,760,344 | |
| | 59,800 | | | Yangzijiang Shipbuilding Holdings Ltd. | | | 46,657 | |
| | | | | | | | |
| | | | Total China | | | 26,943,601 | |
| | | | | | | | |
| | Denmark — 1.7% | |
| | 124 | | | AP Moller — Maersk AS, Class A Shares | | | 178,626 | |
| | 3,498 | | | AP Moller — Maersk AS, Class B Shares | | | 5,402,688 | |
| | 3,011 | | | Carlsberg AS, Class B Shares | | | 367,698 | |
| | 2,791 | | | Chr Hansen Holding AS | | | 283,247 | |
See Notes to Financial Statements.
110
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Denmark — 1.7% — (continued) | |
| | 3,353 | | | Coloplast AS, Class B Shares | | $ | 358,811 | |
| | 21,152 | | | Danske Bank AS | | | 622,766 | |
| | 12,864 | | | Dfds AS | | | 678,920 | |
| | 5,708 | | | DSV AS | | | 534,686 | |
| | 1,789 | | | Genmab AS* | | | 309,655 | |
| | 24,383 | | | GN Store Nord AS | | | 1,265,120 | |
| | 1,947 | | | H. Lundbeck AS | | | 114,232 | |
| | 4,931 | | | ISS AS | | | 172,193 | |
| | 9,557 | | | Jyske Bank AS, Class Registered Shares | | | 484,982 | |
| | 134,650 | | | Novo Nordisk AS, Class B Shares | | | 6,621,032 | |
| | 51,886 | | | Novozymes AS, Class B Shares | | | 2,843,630 | |
| | 5,320 | | | Orsted AS(c) | | | 336,438 | |
| | 3,331 | | | Pandora AS | | | 199,046 | |
| | 16,089 | | | Royal Unibrew AS | | | 1,386,008 | |
| | 3,618 | | | Tryg AS | | | 88,912 | |
| | 34,693 | | | Vestas Wind Systems AS | | | 2,417,359 | |
| | 74,251 | | | William Demant Holding AS* | | | 3,019,060 | |
| | | | | | | | |
| | | | Total Denmark | | | 27,685,109 | |
| | | | | | | | |
| | Finland — 0.7% | |
| | 36,656 | | | Cramo OYJ | | | 775,194 | |
| | 27,558 | | | DNA OYJ | | | 586,548 | |
| | 4,774 | | | Elisa OYJ | | | 204,205 | |
| | 12,901 | | | Fortum OYJ | | | 326,669 | |
| | 9,527 | | | Kone OYJ, Class B Shares | | | 514,628 | |
| | 47,946 | | | Metsa Board OYJ | | | 483,152 | |
| | 3,123 | | | Metso OYJ | | | 109,640 | |
| | 3,549 | | | Neste OYJ | | | 308,416 | |
| | 1,088,870 | | | Nokia OYJ | | | 6,064,955 | |
| | 3,106 | | | Nokian Renkaat OYJ | | | 128,211 | |
| | 2,965 | | | Orion OYJ, Class B Shares | | | 109,075 | |
| | 13,339 | | | Sampo OYJ, Class A Shares | | | 682,958 | |
| | 15,744 | | | Stora Enso OYJ, Class R Shares | | | 293,475 | |
| | 15,034 | | | UPM-Kymmene OYJ | | | 579,936 | |
| | 35,768 | | | Valmet OYJ | | | 784,813 | |
| | 12,936 | | | Wartsila OYJ Abp | | | 273,392 | |
| | | | | | | | |
| | | | Total Finland | | | 12,225,267 | |
| | | | | | | | |
| | France — 9.4% | |
| | 5,923 | | | Accor SA | | | 296,408 | |
| | 879 | | | Aeroports de Paris | | | 193,193 | |
| | 304,895 | | | Air France-KLM* | | | 2,933,116 | |
| | 12,474 | | | Air Liquide SA | | | 1,571,925 | |
| | 47,120 | | | Airbus SE | | | 5,816,841 | |
| | 54,858 | | | Alstom SA | | | 2,420,409 | |
| | 10,785 | | | Alten SA | | | 1,114,006 | |
| | 25,887 | | | Amundi SA(c) | | | 1,867,513 | |
| | 14,486 | | | Arkema SA | | | 1,815,427 | |
| | 36,866 | | | Atos SE | | | 4,418,122 | |
| | 56,489 | | | AXA SA | | | 1,426,504 | |
| | 1,175 | | | BioMerieux | | | 103,299 | |
| | 186,709 | | | BNP Paribas SA | | | 10,974,957 | |
| | 26,564 | | | Bollore SA | | | 127,267 | |
| | 6,168 | | | Bouygues SA | | | 272,485 | |
| | 7,464 | | | Bureau Veritas SA | | | 191,891 | |
| | 4,842 | | | Capgemini SE | | | 622,536 | |
See Notes to Financial Statements.
111
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | France — 9.4% — (continued) | |
| | 16,421 | | | Carrefour SA | | $ | 293,266 | |
| | 1,569 | | | Casino Guichard Perrachon SA | | | 49,762 | |
| | 112,628 | | | Cie de Saint-Gobain | | | 4,852,993 | |
| | 4,858 | | | Cie Générale des Établissements Michelin SCA | | | 575,196 | |
| | 4,576 | | | CNP Assurances | | | 105,647 | |
| | 1,092 | | | Covivio, REIT | | | 114,167 | |
| | 32,348 | | | Credit Agricole SA | | | 443,004 | |
| | 17,955 | | | Danone SA | | | 1,415,119 | |
| | 74 | | | Dassault Aviation SA | | | 137,746 | |
| | 25,239 | | | Dassault Systemes SE | | | 4,091,840 | |
| | 107,020 | | | Edenred | | | 4,082,091 | |
| | 15,971 | | | Eiffage SA | | | 1,798,342 | |
| | 17,307 | | | Electricite de France SA | | | 283,553 | |
| | 356,925 | | | Engie SA | | | 5,239,160 | |
| | 44,786 | | | Essilor International Cie Generale d’Optique SA | | | 6,467,861 | |
| | 1,337 | | | Eurazeo SA | | | 101,550 | |
| | 4,823 | | | Eutelsat Communications SA | | | 114,342 | |
| | 14,891 | | | Faurecia SA | | | 913,001 | |
| | 1,293 | | | Gecina SA, REIT | | | 221,996 | |
| | 13,406 | | | Getlink | | | 168,878 | |
| | 7,433 | | | Hermes International | | | 4,834,350 | |
| | 893 | | | ICADE, REIT | | | 87,130 | |
| | 10,508 | | | Iliad SA | | | 1,357,732 | |
| | 1,052 | | | Imerys SA | | | 75,681 | |
| | 1,732 | | | Ingenico Group SA | | | 121,722 | |
| | 12,570 | | | Ipsen SA | | | 2,236,370 | |
| | 2,086 | | | JCDecaux SA | | | 68,829 | |
| | 2,212 | | | Kering SA | | | 1,202,401 | |
| | 5,643 | | | Klepierre SA, REIT | | | 202,446 | |
| | 50,059 | | | Legrand SA | | | 3,774,043 | |
| | 7,335 | | | L’Oréal SA | | | 1,760,627 | |
| | 21,565 | | | LVMH Moët Hennessy Louis Vuitton SE | | | 7,561,600 | |
| | 26,511 | | | Natixis SA | | | 177,057 | |
| | 17,770 | | | Nexity SA | | | 1,084,082 | |
| | 58,722 | | | Orange SA | | | 951,225 | |
| | 26,527 | | | Pernod Ricard SA | | | 4,188,703 | |
| | 17,649 | | | Peugeot SA | | | 485,958 | |
| | 5,993 | | | Publicis Groupe SA | | | 384,840 | |
| | 647 | | | Remy Cointreau SA | | | 90,651 | |
| | 15,963 | | | Renault SA | | | 1,375,629 | |
| | 185,760 | | | Rexel SA | | | 2,922,984 | |
| | 10,098 | | | Rubis SCA | | | 597,756 | |
| | 9,737 | | | Safran SA | | | 1,271,220 | |
| | 32,860 | | | Sanofi | | | 2,815,942 | |
| | 81,668 | | | Schneider Electric SE | | | 6,668,976 | |
| | 18,037 | | | SCOR SE | | | 731,193 | |
| | 16,725 | | | Seb Prime de Fidelite*(a)(e) | | | 3,118,084 | |
| | 6,949 | | | SEB SA | | | 1,296,001 | |
| | 795 | | | Societe BIC SA | | | 73,611 | |
| | 99,548 | | | Societe Generale SA | | | 4,076,364 | |
| | 2,646 | | | Sodexo SA | | | 275,723 | |
| | 7,369 | | | SOITEC* | | | 571,636 | |
| | 11,077 | | | Suez | | | 160,235 | |
| | 251,720 | | | Technicolor SA, Class Registered Shares*(b) | | | 345,562 | |
| | 13,807 | | | Teleperformance | | | 2,652,865 | |
| | 35,624 | | | Television Francaise 1 | | | 353,681 | |
See Notes to Financial Statements.
112
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | France — 9.4% — (continued) | |
| | 2,995 | | | Thales SA | | $ | 422,052 | |
| | 293,067 | | | TOTAL SA | | | 18,348,347 | |
| | 2,756 | | | Trigano SA | | | 403,609 | |
| | 7,124 | | | Ubisoft Entertainment SA* | | | 766,734 | |
| | 3,081 | | | Unibail-Rodamco-Westfield | | | 647,955 | |
| | 1,013 | | | Unibail-Rodamco-Westfield* | | | 212,845 | |
| | 77,584 | | | Valeo SA | | | 3,525,986 | |
| | 15,380 | | | Veolia Environnement SA | | | 324,459 | |
| | 14,649 | | | Vinci SA | | | 1,405,500 | |
| | 119,108 | | | Vivendi SA | | | 3,091,230 | |
| | 833 | | | Wendel SA | | | 123,448 | |
| | 9,549 | | | Worldline SA*(c) | | | 581,183 | |
| | | | | | | | |
| | | | Total France | | | 157,441,670 | |
| | | | | | | | |
| | Germany — 9.0% | |
| | 1,485 | | | 1&1 Drillisch AG | | | 75,112 | |
| | 11,904 | | | Aareal Bank AG | | | 484,231 | |
| | 18,601 | | | adidas AG | | | 4,643,387 | |
| | 12,818 | | | Allianz SE, Class Registered Shares | | | 2,733,875 | |
| | 40,543 | | | alstria office REIT-AG | | | 613,093 | |
| | 1,353 | | | Axel Springer SE | | | 98,366 | |
| | 145,077 | | | BASF SE | | | 13,427,218 | |
| | 58,730 | | | Bayer AG, Class Registered Shares | | | 5,482,171 | |
| | 70,696 | | | Bayerische Motoren Werke AG | | | 6,841,919 | |
| | 9,129 | | | Bechtle AG | | | 950,741 | |
| | 22,745 | | | Beiersdorf AG | | | 2,648,401 | |
| | 50,124 | | | Brenntag AG | | | 3,024,123 | |
| | 14,585 | | | Carl Zeiss Meditec AG | | | 1,292,728 | |
| | 138,962 | | | CECONOMY AG | | | 1,056,857 | |
| | 29,614 | | | Commerzbank AG* | | | 280,067 | |
| | 37,916 | | | Continental AG | | | 6,956,690 | |
| | 5,419 | | | Covestro AG(c) | | | 461,990 | |
| | 26,476 | | | Daimler AG, Class Registered Shares | | | 1,710,966 | |
| | 2,485 | | | Delivery Hero SE*(c) | | | 136,957 | |
| | 59,200 | | | Deutsche Bank AG, Class Registered Shares | | | 667,034 | |
| | 5,764 | | | Deutsche Boerse AG | | | 796,844 | |
| | 7,266 | | | Deutsche Lufthansa AG, Class Registered Shares | | | 189,750 | |
| | 95,215 | | | Deutsche Post AG, Class Registered Shares | | | 3,473,160 | |
| | 268,886 | | | Deutsche Telekom AG, Class Registered Shares | | | 4,343,240 | |
| | 46,868 | | | Deutsche Wohnen SE | | | 2,368,688 | |
| | 15,947 | | | Duerr AG | | | 735,017 | |
| | 297,971 | | | E.ON SE | | | 3,176,696 | |
| | 4,800 | | | Evonik Industries AG | | | 178,993 | |
| | 1,138 | | | Fraport AG Frankfurt Airport Services Worldwide | | | 102,350 | |
| | 6,509 | | | Fresenius Medical Care AG & Co. KGaA | | | 659,536 | |
| | 12,271 | | | Fresenius SE & Co. KGaA | | | 937,101 | |
| | 5,101 | | | GEA Group AG | | | 193,879 | |
| | 6,899 | | | Gerresheimer AG | | | 576,606 | |
| | 1,698 | | | Hannover Rueck SE | | | 233,284 | |
| | 22,295 | | | HeidelbergCement AG | | | 1,775,996 | |
| | 2,925 | | | Henkel AG & Co. KGaA | | | 326,488 | |
| | 550 | | | Hochtief AG | | | 89,322 | |
| | 1,684 | | | HUGO BOSS AG | | | 134,567 | |
| | 406,740 | | | Infineon Technologies AG | | | 10,357,548 | |
| | 3,754 | | | Innogy SE* | | | 162,764 | |
| | 5,146 | | | K+S AG, Class Registered Shares | | | 117,050 | |
See Notes to Financial Statements.
113
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Germany — 9.0% — (continued) | |
| | 2,082 | | | KION Group AG | | $ | 142,191 | |
| | 55,556 | | | Kloeckner & Co. SE, Class Preferred Shares | | | 588,493 | |
| | 2,565 | | | Lanxess AG | | | 201,621 | |
| | 62,040 | | | Linde AG | | | 14,131,524 | |
| | 952 | | | MAN SE | | | 103,492 | |
| | 3,629 | | | Merck KGaA | | | 381,345 | |
| | 139,960 | | | METRO AG | | | 2,186,768 | |
| | 6,293 | | | MTU Aero Engines AG | | | 1,380,376 | |
| | 4,567 | | | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Class Registered Shares | | | 985,086 | |
| | 2,822 | | | OSRAM Licht AG | | | 126,803 | |
| | 57,686 | | | ProSiebenSat.1 Media SE | | | 1,520,823 | |
| | 224 | | | Puma SE | | | 122,804 | |
| | 5,862 | | | Rheinmetall AG | | | 639,274 | |
| | 100,724 | | | RWE AG | | | 2,556,017 | |
| | 38,117 | | | SAF-Holland SA | | | 590,945 | |
| | 17,810 | | | Salzgitter AG | | | 807,424 | |
| | 150,518 | | | SAP SE | | | 18,105,092 | |
| | 73,255 | | | Scout24 AG(c) | | | 3,791,062 | |
| | 22,273 | | | Siemens AG, Class Registered Shares | | | 2,897,118 | |
| | 58,946 | | | Siemens Healthineers AG*(c) | | | 2,680,271 | |
| | 3,145 | | | Siltronic AG | | | 455,952 | |
| | 23,987 | | | Symrise AG | | | 2,241,596 | |
| | 58,516 | | | TAG Immobilien AG | | | 1,440,012 | |
| | 21,161 | | | Telefonica Deutschland Holding AG | | | 87,946 | |
| | 12,436 | | | ThyssenKrupp AG | | | 287,447 | |
| | 12,737 | | | TUI AG | | | 235,209 | |
| | 5,956 | | | Uniper SE | | | 181,908 | |
| | 51,633 | | | United Internet AG, Class Registered Shares | | | 2,717,943 | |
| | 951 | | | Volkswagen AG | | | 153,014 | |
| | 14,245 | | | Vonovia SE | | | 731,100 | |
| | 15,417 | | | Wirecard AG | | | 3,423,806 | |
| | 3,778 | | | Zalando SE*(c) | | | 198,851 | |
| | | | | | | | |
| | | | Total Germany | | | 150,608,118 | |
| | | | | | | | |
| | Hong Kong — 2.9% | |
| | 930,000 | | | AIA Group Ltd. | | | 8,033,456 | |
| | 7,800 | | | ASM Pacific Technology Ltd. | | | 82,331 | |
| | 37,200 | | | Bank of East Asia Ltd. (The) | | | 137,497 | |
| | 625,000 | | | BOC Hong Kong Holdings Ltd. | | | 3,046,005 | |
| | 671,581 | | | China Merchants Port Holdings Co., Ltd. | | | 1,372,313 | |
| | 1,570,000 | | | China Mobile Ltd. | | | 14,771,276 | |
| | 3,152,270 | | | China Unicom Hong Kong Ltd. | | | 3,672,346 | |
| | 78,500 | | | CK Asset Holdings Ltd. | | | 559,063 | |
| | 80,000 | | | CK Hutchison Holdings Ltd. | | | 922,514 | |
| | 18,000 | | | CK Infrastructure Holdings Ltd. | | | 131,684 | |
| | 50,500 | | | CLP Holdings Ltd. | | | 593,775 | |
| | 9,100 | | | Dairy Farm International Holdings Ltd. | | | 84,368 | |
| | 68,000 | | | Galaxy Entertainment Group Ltd. | | | 502,310 | |
| | 27,000 | | | Hang Lung Group Ltd. | | | 75,740 | |
| | 57,000 | | | Hang Lung Properties Ltd. | | | 112,450 | |
| | 21,800 | | | Hang Seng Bank Ltd. | | | 590,368 | |
| | 38,540 | | | Henderson Land Development Co., Ltd. | | | 203,948 | |
| | 64,000 | | | HK Electric Investments & HK Electric Investments Ltd.(c) | | | 64,754 | |
| | 103,000 | | | HKT Trust & HKT Ltd. | | | 133,131 | |
| | 280,710 | | | Hong Kong & China Gas Co., Ltd. | | | 577,561 | |
| | 34,299 | | | Hong Kong Exchanges & Clearing Ltd. | | | 977,465 | |
See Notes to Financial Statements.
114
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Hong Kong — 2.9% — (continued) | |
| | 33,100 | | | Hongkong Land Holdings Ltd. | | $ | 229,052 | |
| | 21,000 | | | Hysan Development Co., Ltd. | | | 107,750 | |
| | 6,200 | | | Jardine Matheson Holdings Ltd. | | | 391,357 | |
| | 73,980 | | | Jardine Strategic Holdings Ltd. | | | 2,685,119 | |
| | 18,500 | | | Kerry Properties Ltd. | | | 70,153 | |
| | 172,000 | | | Li & Fung Ltd. | | | 48,872 | |
| | 62,500 | | | Link REIT | | | 622,125 | |
| | 187,000 | | | Luk Fook Holdings International Ltd. | | | 650,462 | |
| | 269,000 | | | Melco International Development Ltd. | | | 717,380 | |
| | 6,941 | | | Melco Resorts & Entertainment Ltd., ADR | | | 165,751 | |
| | 41,500 | | | MTR Corp., Ltd. | | | 213,731 | |
| | 174,679 | | | New World Development Co., Ltd. | | | 232,930 | |
| | 45,750 | | | NWS Holdings Ltd. | | | 81,507 | |
| | 125,000 | | | PCCW Ltd. | | | 66,432 | |
| | 39,000 | | | Power Assets Holdings Ltd. | | | 273,399 | |
| | 38,000 | | | Shangri-La Asia Ltd. | | | 58,517 | |
| | 94,646 | | | Sino Land Co., Ltd. | | | 160,576 | |
| | 58,000 | | | SJM Holdings Ltd. | | | 65,728 | |
| | 48,000 | | | Sun Hung Kai Properties Ltd. | | | 712,887 | |
| | 16,000 | | | Swire Pacific Ltd., Class A Shares | | | 181,069 | |
| | 32,800 | | | Swire Properties Ltd. | | | 129,000 | |
| | 41,500 | | | Techtronic Industries Co., Ltd. | | | 253,938 | |
| | 2,370,000 | | | Tongda Group Holdings Ltd. | | | 356,233 | |
| | 607,000 | | | Towngas China Co., Ltd.* | | | 558,760 | |
| | 3,817,500 | | | WH Group Ltd.(c) | | | 2,877,041 | |
| | 31,000 | | | Wharf Holdings Ltd. (The) | | | 88,549 | |
| | 35,000 | | | Wharf Real Estate Investment Co., Ltd. | | | 232,308 | |
| | 24,000 | | | Wheelock & Co., Ltd. | | | 150,683 | |
| | 22,500 | | | Yue Yuen Industrial Holdings Ltd. | | | 62,443 | |
| | | | | | | | |
| | | | Total Hong Kong | | | 49,088,107 | |
| | | | | | | | |
| | India — 0.8% | |
| | 238,144 | | | Canara Bank* | | | 952,026 | |
| | 65,112 | | | HDFC Bank Ltd. | | | 1,892,345 | |
| | 83,934 | | | Hero MotoCorp Ltd. | | | 3,852,641 | |
| | 503,323 | | | ICICI Bank Ltd., ADR | | | 4,847,000 | |
| | 716,689 | | | NTPC Ltd. | | | 1,730,896 | |
| | 121,252 | | | Zee Entertainment Enterprises Ltd. | | | 853,886 | |
| | | | | | | | |
| | | | Total India | | | 14,128,794 | |
| | | | | | | | |
| | Indonesia — 0.1% | |
| | 680,000 | | | Bank Central Asia Tbk PT | | | 1,145,131 | |
| | | | | | | | |
| | Ireland — 0.5% | |
| | 3,664 | | | AerCap Holdings NV* | | | 208,738 | |
| | 25,598 | | | AIB Group PLC | | | 144,083 | |
| | 283,353 | | | Bank of Ireland Group PLC | | | 2,318,897 | |
| | 24,924 | | | CRH PLC | | | 825,598 | |
| | 76,684 | | | Dalata Hotel Group PLC* | | | 635,800 | |
| | 2,513 | | | DCC PLC | | | 226,880 | |
| | 54,715 | | | Grafton Group PLC | | | 544,975 | |
| | 113,193 | | | James Hardie Industries PLC, CDI | | | 1,728,937 | |
| | 4,558 | | | Kerry Group PLC, Class A Shares | | | 520,282 | |
| | 2,463 | | | Paddy Power Betfair PLC | | | 224,656 | |
| | 6,581 | | | Smurfit Kappa Group PLC | | | 268,768 | |
| | 101,071 | | | UDG Healthcare PLC | | | 965,091 | |
| | | | | | | | |
| | | | Total Ireland | | | 8,612,705 | |
| | | | | | | | |
See Notes to Financial Statements.
115
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Isle of Man — 0.0% | |
| | 15,405 | | | GVC Holdings PLC | | $ | 220,309 | |
| | | | | | | | |
| | Israel — 0.3% | |
| | 1,831 | | | Azrieli Group Ltd. | | | 95,047 | |
| | 30,205 | | | Bank Hapoalim BM | | | 226,388 | |
| | 40,135 | | | Bank Leumi Le-Israel BM | | | 269,588 | |
| | 59,347 | | | Bezeq Israeli Telecommunication Corp., Ltd. | | | 70,943 | |
| | 20,354 | | | Check Point Software Technologies Ltd.* | | | 2,364,931 | |
| | 671 | | | Elbit Systems Ltd. | | | 86,487 | |
| | 1,280 | | | Frutarom Industries Ltd. | | | 130,546 | |
| | 22,371 | | | Israel Chemicals Ltd. | | | 130,649 | |
| | 3,160 | | | Mizrahi Tefahot Bank Ltd. | | | 56,991 | |
| | 1,757 | | | Nice Ltd.* | | | 203,138 | |
| | 4,249 | | | SodaStream International Ltd.* | | | 606,545 | |
| | 28,205 | | | Teva Pharmaceutical Industries Ltd., ADR | | | 646,177 | |
| | | | | | | | |
| | | | Total Israel | | | 4,887,430 | |
| | | | | | | | |
| | Italy — 2.6% | |
| | 506,623 | | | A2A SpA | | | 871,671 | |
| | 88,217 | | | Amplifon SpA | | | 1,899,023 | |
| | 244,600 | | | Assicurazioni Generali SpA | | | 4,074,511 | |
| | 14,095 | | | Atlantia SpA | | | 293,809 | |
| | 14,324 | | | Banca Generali SpA | | | 352,198 | |
| | 395,829 | | | BPER Banca | | | 1,747,569 | |
| | 110,790 | | | Brembo SpA | | | 1,482,638 | |
| | 15,712 | | | Davide Campari-Milano SpA | | | 139,065 | |
| | 5,776 | | | DiaSorin SpA | | | 629,572 | |
| | 237,109 | | | Enel SpA | | | 1,173,064 | |
| | 388,289 | | | Eni SpA | | | 7,204,595 | |
| | 3,524 | | | Ferrari NV | | | 461,623 | |
| | 131,065 | | | Infrastrutture Wireless Italiane SpA(c) | | | 998,562 | |
| | 1,081,623 | | | Intesa Sanpaolo SpA | | | 2,672,926 | |
| | 8,628 | | | Leonardo SpA | | | 96,780 | |
| | 4,888 | | | Luxottica Group SpA | | | 324,163 | |
| | 18,466 | | | Mediobanca Banca di Credito Finanziario SpA | | | 171,927 | |
| | 5,284 | | | Moncler SpA | | | 239,135 | |
| | 10,807 | | | Pirelli & C SpA*(c) | | | 87,039 | |
| | 14,143 | | | Poste Italiane SpA(c) | | | 108,993 | |
| | 88,073 | | | Prysmian SpA | | | 2,272,964 | |
| | 2,836 | | | Recordati SpA | | | 99,518 | |
| | 569,076 | | | Saipem SpA* | | | 3,044,050 | |
| | 66,633 | | | Snam SpA | | | 273,615 | |
| | 173,451 | | | Telecom Italia SpA | | | 96,462 | |
| | 324,593 | | | Telecom Italia SpA* | | | 207,021 | |
| | 41,196 | | | Terna Rete Elettrica Nazionale SpA | | | 216,526 | |
| | 854,668 | | | UniCredit SpA | | | 12,358,318 | |
| | | | | | | | |
| | | | Total Italy | | | 43,597,337 | |
| | | | | | | | |
| | Japan — 18.6% | |
| | 1,100 | | | ABC-Mart Inc. | | | 59,930 | |
| | 8,800 | | | Acom Co., Ltd. | | | 35,933 | |
| | 17,300 | | | Aeon Co., Ltd. | | | 374,485 | |
| | 3,300 | | | AEON Financial Service Co., Ltd. | | | 67,584 | |
| | 2,500 | | | Aeon Mall Co., Ltd. | | | 41,814 | |
| | 6,100 | | | AGC Inc. | | | 243,827 | |
| | 165,200 | | | Aiful Corp.* | | | 505,173 | |
| | 4,200 | | | Air Water Inc. | | | 75,315 | |
See Notes to Financial Statements.
116
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Japan — 18.6% — (continued) | |
| | 4,600 | | | Aisin Seiki Co., Ltd. | | $ | 212,537 | |
| | 14,900 | | | Ajinomoto Co., Inc. | | | 252,846 | |
| | 5,200 | | | Alfresa Holdings Corp. | | | 130,371 | |
| | 5,500 | | | Alps Electric Co., Ltd. | | | 165,177 | |
| | 9,000 | | | Amada Holdings Co., Ltd. | | | 96,166 | |
| | 3,200 | | | ANA Holdings Inc. | | | 110,686 | |
| | 3,300 | | | Aozora Bank Ltd. | | | 116,408 | |
| | 11,100 | | | Asahi Group Holdings Ltd. | | | 500,282 | |
| | 19,500 | | | Asahi Intecc Co., Ltd. | | | 742,833 | |
| | 36,000 | | | Asahi Kasei Corp. | | | 527,609 | |
| | 4,700 | | | Asics Corp. | | | 70,120 | |
| | 58,000 | | | Astellas Pharma Inc. | | | 982,635 | |
| | 5,600 | | | Bandai Namco Holdings Inc. | | | 217,007 | |
| | 1,400 | | | Bank of Kyoto Ltd. (The) | | | 70,437 | |
| | 22,400 | | | Benesse Holdings Inc. | | | 700,368 | |
| | 40,500 | | | Bic Camera Inc. | | | 542,118 | |
| | 103,800 | | | Bridgestone Corp. | | | 3,815,450 | |
| | 6,200 | | | Brother Industries Ltd. | | | 126,948 | |
| | 2,300 | | | Calbee Inc. | | | 73,192 | |
| | 100,020 | | | Canon Inc. | | | 3,208,910 | |
| | 5,000 | | | Casio Computer Co., Ltd. | | | 80,254 | |
| | 4,200 | | | Central Japan Railway Co. | | | 842,187 | |
| | 18,000 | | | Chiba Bank Ltd. (The) | | | 118,010 | |
| | 89,970 | | | Chiyoda Corp. | | | 658,709 | |
| | 19,300 | | | Chubu Electric Power Co., Inc. | | | 280,565 | |
| | 6,400 | | | Chugai Pharmaceutical Co., Ltd. | | | 370,644 | |
| | 8,000 | | | Chugoku Electric Power Co., Inc. (The) | | | 99,838 | |
| | 152,770 | | | Citizen Watch Co., Ltd. | | | 1,046,636 | |
| | 56,000 | | | CKD Corp. | | | 825,652 | |
| | 3,900 | | | Coca-Cola Bottlers Japan Holdings Inc. | | | 110,269 | |
| | 31,700 | | | Concordia Financial Group Ltd. | | | 151,776 | |
| | 4,600 | | | Credit Saison Co., Ltd. | | | 76,118 | |
| | 2,700 | | | CyberAgent Inc. | | | 153,426 | |
| | 2,100 | | | CYBERDYNE Inc.*(b) | | | 16,466 | |
| | 7,900 | | | Dai Nippon Printing Co., Ltd. | | | 177,294 | |
| | 6,300 | | | Daicel Corp. | | | 71,202 | |
| | 14,900 | | | Daifuku Co., Ltd. | | | 772,581 | |
| | 189,660 | | | Dai-ichi Life Holdings Inc. | | | 3,602,619 | |
| | 17,100 | | | Daiichi Sankyo Co., Ltd. | | | 667,775 | |
| | 7,500 | | | Daikin Industries Ltd. | | | 955,694 | |
| | 40,300 | | | Daikyonishikawa Corp. | | | 499,251 | |
| | 2,300 | | | Daito Trust Construction Co., Ltd. | | | 344,176 | |
| | 16,000 | | | Daiwa House Industry Co., Ltd. | | | 487,554 | |
| | 49 | | | Daiwa House REIT Investment Corp., Class A Shares | | | 113,595 | |
| | 47,000 | | | Daiwa Securities Group Inc. | | | 281,713 | |
| | 85,230 | | | DeNA Co., Ltd. | | | 1,474,059 | |
| | 18,300 | | | Denka Co., Ltd. | | | 625,831 | |
| | 13,200 | | | Denso Corp. | | | 634,195 | |
| | 6,100 | | | Dentsu Inc. | | | 284,908 | |
| | 800 | | | Disco Corp. | | | 142,975 | |
| | 31,200 | | | DMG Mori Co., Ltd. | | | 515,122 | |
| | 3,400 | | | Don Quijote Holdings Co., Ltd. | | | 165,157 | |
| | 2,900 | | | Doutor Nichires Holdings Co., Ltd. | | | 51,003 | |
| | 76,400 | | | East Japan Railway Co. | | | 6,910,319 | |
| | 36,210 | | | Eisai Co., Ltd. | | | 3,274,292 | |
| | 4,100 | | | Electric Power Development Co., Ltd. | | | 108,548 | |
See Notes to Financial Statements.
117
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Japan — 18.6% — (continued) | |
| | 2,200 | | | FamilyMart UNY Holdings Co., Ltd. | | $ | 191,132 | |
| | 12,600 | | | FANUC Corp. | | | 2,466,536 | |
| | 1,700 | | | Fast Retailing Co., Ltd. | | | 791,529 | |
| | 16,000 | | | Fuji Electric Co., Ltd. | | | 128,727 | |
| | 44,490 | | | Fuji Media Holdings Inc. | | | 764,364 | |
| | 25,400 | | | Fuji Oil Holdings Inc. | | | 772,850 | |
| | 11,300 | | | FUJIFILM Holdings Corp. | | | 477,621 | |
| | 580,260 | | | Fujitsu Ltd. | | | 4,243,524 | |
| | 22,000 | | | Fukuoka Financial Group Inc. | | | 122,996 | |
| | 196,100 | | | Gree Inc. | | | 993,174 | |
| | 6,600 | | | Hakuhodo DY Holdings Inc. | | | 111,265 | |
| | 3,800 | | | Hamamatsu Photonics KK | | | 152,541 | |
| | 6,600 | | | Hankyu Hanshin Holdings Inc. | | | 235,143 | |
| | 600 | | | Hikari Tsushin Inc. | | | 113,370 | |
| | 7,200 | | | Hino Motors Ltd. | | | 75,725 | |
| | 945 | | | Hirose Electric Co., Ltd. | | | 111,915 | |
| | 1,800 | | | Hisamitsu Pharmaceutical Co., Inc. | | | 131,370 | |
| | 2,300 | | | Hitachi Chemical Co., Ltd. | | | 48,225 | |
| | 3,000 | | | Hitachi Construction Machinery Co., Ltd. | | | 89,477 | |
| | 2,000 | | | Hitachi High-Technologies Corp. | | | 78,338 | |
| | 685,000 | | | Hitachi Ltd. | | | 4,467,652 | |
| | 144,130 | | | Hitachi Metals Ltd. | | | 1,663,727 | |
| | 231,680 | | | Honda Motor Co., Ltd. | | | 6,864,002 | |
| | 11,000 | | | Horiba Ltd. | | | 678,105 | |
| | 1,700 | | | Hoshizaki Corp. | | | 161,002 | |
| | 63,300 | | | Hoya Corp. | | | 3,704,292 | |
| | 8,600 | | | Hulic Co., Ltd. | | | 81,217 | |
| | 71,230 | | | Ibiden Co., Ltd. | | | 1,033,751 | |
| | 3,700 | | | Idemitsu Kosan Co., Ltd. | | | 186,393 | |
| | 4,000 | | | IHI Corp. | | | 139,671 | |
| | 4,500 | | | Iida Group Holdings Co., Ltd. | | | 83,036 | |
| | 274,261 | | | Inpex Corp. | | | 2,994,004 | |
| | 9,300 | | | Isetan Mitsukoshi Holdings Ltd. | | | 105,152 | |
| | 15,900 | | | Isuzu Motors Ltd. | | | 229,292 | |
| | 42,200 | | | ITOCHU Corp. | | | 737,582 | |
| | 6,600 | | | J Front Retailing Co., Ltd. | | | 93,783 | |
| | 153,000 | | | Japan Airlines Co., Ltd. | | | 5,513,826 | |
| | 1,500 | | | Japan Airport Terminal Co., Ltd. | | | 66,943 | |
| | 15,200 | | | Japan Exchange Group Inc. | | | 267,278 | |
| | 738 | | | Japan Hotel REIT Investment Corp., Class A Shares | | | 559,388 | |
| | 13,200 | | | Japan Post Bank Co., Ltd. | | | 154,239 | |
| | 48,200 | | | Japan Post Holdings Co., Ltd. | | | 572,725 | |
| | 25 | | | Japan Prime Realty Investment Corp., REIT | | | 90,459 | |
| | 37 | | | Japan Real Estate Investment Corp., REIT | | | 196,835 | |
| | 71 | | | Japan Retail Fund Investment Corp., REIT | | | 128,469 | |
| | 32,600 | | | Japan Tobacco Inc. | | | 856,947 | |
| | 11,200 | | | JCR Pharmaceuticals Co., Ltd. | | | 605,355 | |
| | 15,200 | | | JFE Holdings Inc. | | | 330,705 | |
| | 117,980 | | | JGC Corp. | | | 2,374,361 | |
| | 169,930 | | | JSR Corp. | | | 3,295,314 | |
| | 6,300 | | | JTEKT Corp. | | | 88,166 | |
| | 97,650 | | | JXTG Holdings Inc. | | | 685,062 | |
| | 26,000 | | | Kajima Corp. | | | 186,702 | |
| | 4,100 | | | Kakaku.com Inc. | | | 75,581 | |
| | 2,500 | | | Kamigumi Co., Ltd. | | | 50,726 | |
| | 19,800 | | | Kanamoto Co., Ltd. | | | 616,177 | |
See Notes to Financial Statements.
118
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Japan — 18.6% — (continued) | |
| | 6,000 | | | Kaneka Corp. | | $ | 54,768 | |
| | 20,700 | | | Kansai Electric Power Co., Inc. (The) | | | 296,598 | |
| | 5,700 | | | Kansai Paint Co., Ltd. | | | 112,482 | |
| | 14,500 | | | Kao Corp. | | | 1,124,675 | |
| | 3,800 | | | Kawasaki Heavy Industries Ltd. | | | 103,842 | |
| | 403,500 | | | KDDI Corp. | | | 10,682,752 | |
| | 2,900 | | | Keihan Holdings Co., Ltd. | | | 106,238 | |
| | 25,800 | | | Keihin Corp. | | | 541,364 | |
| | 6,400 | | | Keikyu Corp. | | | 110,650 | |
| | 2,800 | | | Keio Corp. | | | 138,757 | |
| | 3,800 | | | Keisei Electric Railway Co., Ltd. | | | 127,596 | |
| | 85 | | | Kenedix Realty Investment Corp., REIT, Class A Shares | | | 527,698 | |
| | 15,100 | | | Keyence Corp. | | | 8,523,199 | |
| | 4,200 | | | Kikkoman Corp. | | | 210,357 | |
| | 4,600 | | | Kintetsu Group Holdings Co., Ltd. | | | 180,414 | |
| | 23,200 | | | Kirin Holdings Co., Ltd. | | | 573,066 | |
| | 1,300 | | | Kobayashi Pharmaceutical Co., Ltd. | | | 93,307 | |
| | 8,900 | | | Kobe Steel Ltd. | | | 74,404 | |
| | 59,700 | | | Koito Manufacturing Co., Ltd. | | | 3,686,448 | |
| | 27,500 | | | Komatsu Ltd. | | | 781,070 | |
| | 2,500 | | | Konami Holdings Corp. | | | 104,642 | |
| | 12,300 | | | Konica Minolta Inc. | | | 124,880 | |
| | 900 | | | Kose Corp. | | | 165,493 | |
| | 381,400 | | | Kubota Corp. | | | 5,956,244 | |
| | 9,100 | | | Kuraray Co., Ltd. | | | 131,897 | |
| | 3,000 | | | Kurita Water Industries Ltd. | | | 89,001 | |
| | 9,700 | | | Kyocera Corp. | | | 611,331 | |
| | 7,100 | | | Kyowa Hakko Kirin Co., Ltd. | | | 125,771 | |
| | 11,700 | | | Kyushu Electric Power Co., Inc. | | | 130,966 | |
| | 4,300 | | | Kyushu Railway Co. | | | 129,180 | |
| | 1,400 | | | Lawson Inc. | | | 82,107 | |
| | 2,000 | | | LINE Corp.* | | �� | 91,599 | |
| | 6,300 | | | Lion Corp. | | | 132,447 | |
| | 7,700 | | | LIXIL Group Corp. | | | 150,898 | |
| | 6,100 | | | M3 Inc. | | | 268,551 | |
| | 1,600 | | | Mabuchi Motor Co., Ltd. | | | 66,240 | |
| | 57,300 | | | Maeda Corp. | | | 683,843 | |
| | 57,000 | | | Makino Milling Machine Co., Ltd. | | | 524,897 | |
| | 40,100 | | | Makita Corp. | | | 1,816,398 | |
| | 45,000 | | | Marubeni Corp. | | | 368,861 | |
| | 5,600 | | | Marui Group Co., Ltd. | | | 123,761 | |
| | 1,200 | | | Maruichi Steel Tube Ltd. | | | 36,691 | |
| | 21,600 | | | Matsumotokiyoshi Holdings Co., Ltd. | | | 816,672 | |
| | 16,000 | | | Mazda Motor Corp. | | | 185,344 | |
| | 2,000 | | | McDonald’s Holdings Co. Japan Ltd. | | | 87,799 | |
| | 21,610 | | | Mebuki Financial Group Inc. | | | 76,471 | |
| | 5,600 | | | Medipal Holdings Corp. | | | 112,853 | |
| | 3,400 | | | MEIJI Holdings Co., Ltd. | | | 225,764 | |
| | 12,600 | | | MINEBEA MITSUMI Inc. | | | 236,178 | |
| | 7,800 | | | MISUMI Group Inc. | | | 200,892 | |
| | 36,900 | | | Mitsubishi Chemical Holdings Corp. | | | 329,765 | |
| | 39,600 | | | Mitsubishi Corp. | | | 1,129,323 | |
| | 54,600 | | | Mitsubishi Electric Corp. | | | 735,235 | |
| | 33,700 | | | Mitsubishi Estate Co., Ltd. | | | 559,568 | |
| | 4,900 | | | Mitsubishi Gas Chemical Co., Inc. | | | 101,626 | |
| | 108,610 | | | Mitsubishi Heavy Industries Ltd. | | | 4,029,997 | |
See Notes to Financial Statements.
119
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Japan — 18.6% — (continued) | |
| | 3,100 | | | Mitsubishi Materials Corp. | | $ | 83,678 | |
| | 18,200 | | | Mitsubishi Motors Corp. | | | 129,548 | |
| | 7,400 | | | Mitsubishi Tanabe Pharma Corp. | | | 123,334 | |
| | 344,000 | | | Mitsubishi UFJ Financial Group Inc. | | | 2,074,653 | |
| | 10,300 | | | Mitsubishi UFJ Lease & Finance Co., Ltd. | | | 57,874 | |
| | 50,700 | | | Mitsui & Co., Ltd. | | | 844,524 | |
| | 4,800 | | | Mitsui Chemicals Inc. | | | 124,020 | |
| | 27,000 | | | Mitsui Fudosan Co., Ltd. | | | 618,459 | |
| | 3,200 | | | Mitsui OSK Lines Ltd. | | | 85,951 | |
| | 3,166,860 | | | Mizuho Financial Group Inc. | | | 5,553,375 | |
| | 14,400 | | | MS&AD Insurance Group Holdings Inc. | | | 441,701 | |
| | 18,200 | | | Murata Manufacturing Co., Ltd. | | | 3,124,565 | |
| | 3,100 | | | Nabtesco Corp. | | | 80,738 | |
| | 5,100 | | | Nagoya Railroad Co., Ltd. | | | 116,224 | |
| | 7,400 | | | NEC Corp. | | | 204,369 | |
| | 65,000 | | | NET One Systems Co., Ltd. | | | 1,503,793 | |
| | 12,400 | | | Nexon Co., Ltd. | | | 155,169 | |
| | 7,000 | | | NGK Insulators Ltd. | | | 114,057 | |
| | 4,700 | | | NGK Spark Plug Co., Ltd. | | | 133,512 | |
| | 2,500 | | | NH Foods Ltd. | | | 91,222 | |
| | 31,100 | | | Nidec Corp. | | | 4,502,663 | |
| | 88,430 | | | Nikon Corp. | | | 1,691,071 | |
| | 14,100 | | | Nintendo Co., Ltd. | | | 5,091,181 | |
| | 126 | | | Nippon Accommodations Fund Inc., REIT, Class A Shares | | | 572,739 | |
| | 36 | | | Nippon Building Fund Inc., REIT | | | 209,652 | |
| | 2,600 | | | Nippon Electric Glass Co., Ltd. | | | 83,472 | |
| | 2,200 | | | Nippon Express Co., Ltd. | | | 137,497 | |
| | 4,300 | | | Nippon Paint Holdings Co., Ltd. | | | 169,707 | |
| | 52 | | | Nippon Prologis REIT Inc. | | | 101,346 | |
| | 21,400 | | | Nippon Steel & Sumitomo Metal Corp. | | | 429,046 | |
| | 111,000 | | | Nippon Suisan Kaisha Ltd. | | | 607,747 | |
| | 125,500 | | | Nippon Telegraph & Telephone Corp. | | | 5,589,001 | |
| | 81,930 | | | Nippon Television Holdings Inc. | | | 1,357,080 | |
| | 4,500 | | | Nippon Yusen KK | | | 84,685 | |
| | 3,800 | | | Nissan Chemical Corp. | | | 180,853 | |
| | 66,000 | | | Nissan Motor Co., Ltd. | | | 617,523 | |
| | 5,600 | | | Nisshin Seifun Group Inc. | | | 112,066 | |
| | 1,700 | | | Nissin Foods Holdings Co., Ltd. | | | 108,298 | |
| | 22,400 | | | Nitori Holdings Co., Ltd. | | | 3,396,757 | |
| | 4,700 | | | Nitto Denko Corp. | | | 364,595 | |
| | 2,000 | | | NOK Corp. | | | 38,165 | |
| | 98,200 | | | Nomura Holdings Inc. | | | 450,514 | |
| | 3,600 | | | Nomura Real Estate Holdings Inc. | | | 77,911 | |
| | 132 | | | Nomura Real Estate Master Fund Inc., REIT | | | 183,946 | |
| | 3,460 | | | Nomura Research Institute Ltd. | | | 172,245 | |
| | 193,200 | | | North Pacific Bank Ltd. | | | 652,183 | |
| | 9,400 | | | NSK Ltd. | | | 106,530 | |
| | 17,800 | | | NTT Data Corp. | | | 228,598 | |
| | 40,000 | | | NTT DOCOMO Inc. | | | 1,038,189 | |
| | 18,300 | | | Obayashi Corp. | | | 171,331 | |
| | 1,900 | | | Obic Co., Ltd. | | | 178,566 | |
| | 8,700 | | | Odakyu Electric Railway Co., Ltd. | | | 187,840 | |
| | 26,000 | | | Oji Holdings Corp. | | | 177,943 | |
| | 10,200 | | | OKUMA Corp. | | | 588,212 | |
| | 8,400 | | | Olympus Corp. | | | 341,780 | |
| | 5,600 | | | Omron Corp. | | | 250,535 | |
See Notes to Financial Statements.
120
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Japan — 18.6% — (continued) | |
| | 12,000 | | | Ono Pharmaceutical Co., Ltd. | | $ | 315,633 | |
| | 19,300 | | | Open House Co., Ltd. | | | 1,126,309 | |
| | 1,100 | | | Oracle Corp. Japan | | | 92,249 | |
| | 5,700 | | | Oriental Land Co., Ltd. | | | 610,404 | |
| | 164,700 | | | ORIX Corp. | | | 2,633,667 | |
| | 10,800 | | | Osaka Gas Co., Ltd. | | | 201,684 | |
| | 3,000 | | | Otsuka Corp. | | | 108,593 | |
| | 11,900 | | | Otsuka Holdings Co., Ltd. | | | 558,235 | |
| | 36,700 | | | Outsourcing Inc. | | | 687,777 | |
| | 24,100 | | | PALTAC Corp. | | | 1,307,764 | |
| | 65,500 | | | Panasonic Corp. | | | 781,260 | |
| | 3,200 | | | Park24 Co., Ltd. | | | 93,885 | |
| | 107,800 | | | Penta-Ocean Construction Co., Ltd. | | | 631,411 | |
| | 5,000 | | | Persol Holdings Co., Ltd. | | | 111,829 | |
| | 2,700 | | | Pola Orbis Holdings Inc. | | | 95,044 | |
| | 23,200 | | | Rakuten Inc. | | | 177,325 | |
| | 115,100 | | | Recruit Holdings Co., Ltd. | | | 3,509,418 | |
| | 23,500 | | | Renesas Electronics Corp.* | | | 177,617 | |
| | 56,900 | | | Rengo Co., Ltd. | | | 488,303 | |
| | 60,200 | | | Resona Holdings Inc. | | | 340,714 | |
| | 18,600 | | | Ricoh Co., Ltd. | | | 194,867 | |
| | 800 | | | Rinnai Corp. | | | 59,486 | |
| | 2,700 | | | Rohm Co., Ltd. | | | 243,369 | |
| | 22,900 | | | Rohto Pharmaceutical Co., Ltd. | | | 732,469 | |
| | 53,300 | | | Round One Corp. | | | 699,646 | |
| | 21,000 | | | Ryobi Ltd. | | | 767,442 | |
| | 700 | | | Ryohin Keikaku Co., Ltd. | | | 207,854 | |
| | 23,940 | | | Sankyo Co., Ltd. | | | 916,088 | |
| | 12,600 | | | Sankyu Inc. | | | 668,035 | |
| | 125,700 | | | Santen Pharmaceutical Co., Ltd. | | | 1,935,195 | |
| | 62,700 | | | Sanwa Holdings Corp. | | | 718,298 | |
| | 6,300 | | | SBI Holdings Inc. | | | 173,554 | |
| | 7,000 | | | SCREEN Holdings Co., Ltd. | | | 527,545 | |
| | 5,900 | | | Secom Co., Ltd. | | | 485,371 | |
| | 5,200 | | | Sega Sammy Holdings Inc. | | | 83,789 | |
| | 7,900 | | | Seibu Holdings Inc. | | | 142,337 | |
| | 9,500 | | | Seiko Epson Corp. | | | 162,421 | |
| | 51,100 | | | Seino Holdings Co., Ltd. | | | 781,242 | |
| | 165,200 | | | Sekisui Chemical Co., Ltd. | | | 2,870,012 | |
| | 19,400 | | | Sekisui House Ltd. | | | 316,492 | |
| | 22,300 | | | Seven & i Holdings Co., Ltd. | | | 907,730 | |
| | 13,000 | | | Seven Bank Ltd. | | | 40,468 | |
| | 2,600 | | | SG Holdings Co., Ltd. | | | 61,486 | |
| | 4,900 | | | Sharp Corp.(b) | | | 116,143 | |
| | 147,000 | | | Shiga Bank Ltd. (The) | | | 731,254 | |
| | 6,800 | | | Shimadzu Corp. | | | 201,701 | |
| | 16,110 | | | Shimamura Co., Ltd. | | | 1,486,748 | |
| | 2,100 | | | Shimano Inc. | | | 323,797 | |
| | 14,600 | | | Shimizu Corp. | | | 127,624 | |
| | 10,800 | | | Shin-Etsu Chemical Co., Ltd. | | | 1,011,787 | |
| | 3,800 | | | Shinsei Bank Ltd. | | | 58,198 | |
| | 8,200 | | | Shionogi & Co., Ltd. | | | 475,947 | |
| | 17,800 | | | Ship Healthcare Holdings Inc. | | | 684,599 | |
| | 31,600 | | | Shiseido Co., Ltd. | | | 2,216,555 | |
| | 11,900 | | | Shizuoka Bank Ltd. (The) | | | 104,897 | |
| | 23,300 | | | Showa Denko KK | | | 1,107,714 | |
See Notes to Financial Statements.
121
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Japan — 18.6% — (continued) | |
| | 5,700 | | | Showa Shell Sekiyu KK | | $ | 114,813 | |
| | 11,200 | | | SMC Corp. | | | 3,721,406 | |
| | 24,000 | | | SoftBank Group Corp. | | | 2,221,217 | |
| | 2,000 | | | Sohgo Security Services Co., Ltd. | | | 87,974 | |
| | 109,100 | | | Sompo Holdings Inc. | | | 4,656,284 | |
| | 36,900 | | | Sony Corp. | | | 2,092,765 | |
| | 5,000 | | | Sony Financial Holdings Inc. | | | 99,585 | |
| | 3,900 | | | Stanley Electric Co., Ltd. | | | 134,796 | |
| | 5,800 | | | Start Today Co., Ltd. | | | 199,768 | |
| | 23,400 | | | Starts Corp., Inc. | | | 531,678 | |
| | 118,000 | | | Subaru Corp. | | | 3,503,649 | |
| | 7,000 | | | SUMCO Corp. | | | 124,760 | |
| | 100,000 | | | Sumitomo Bakelite Co., Ltd. | | | 983,691 | |
| | 43,000 | | | Sumitomo Chemical Co., Ltd. | | | 243,478 | |
| | 31,900 | | | Sumitomo Corp. | | | 517,415 | |
| | 4,700 | | | Sumitomo Dainippon Pharma Co., Ltd. | | | 100,063 | |
| | 21,500 | | | Sumitomo Electric Industries Ltd. | | | 339,774 | |
| | 50,700 | | | Sumitomo Forestry Co., Ltd. | | | 816,796 | |
| | 3,000 | | | Sumitomo Heavy Industries Ltd. | | | 97,482 | |
| | 6,800 | | | Sumitomo Metal Mining Co., Ltd. | | | 218,991 | |
| | 255,787 | | | Sumitomo Mitsui Financial Group Inc. | | | 10,060,327 | |
| | 89,930 | | | Sumitomo Mitsui Trust Holdings Inc. | | | 3,607,822 | |
| | 10,000 | | | Sumitomo Realty & Development Co., Ltd. | | | 345,965 | |
| | 5,000 | | | Sumitomo Rubber Industries Ltd. | | | 74,102 | |
| | 2,400 | | | Sundrug Co., Ltd. | | | 85,924 | |
| | 3,600 | | | Suntory Beverage & Food Ltd. | | | 147,575 | |
| | 9,300 | | | Sushiro Global Holdings Ltd.* | | | 528,726 | |
| | 2,200 | | | Suzuken Co., Ltd. | | | 99,913 | |
| | 40,000 | | | Suzuki Motor Corp. | | | 2,599,061 | |
| | 4,700 | | | Sysmex Corp. | | | 406,973 | |
| | 270,840 | | | T&D Holdings Inc. | | | 4,104,586 | |
| | 3,300 | | | Taiheiyo Cement Corp. | | | 99,729 | |
| | 6,000 | | | Taisei Corp. | | | 268,263 | |
| | 1,000 | | | Taisho Pharmaceutical Holdings Co., Ltd. | | | 108,316 | |
| | 5,000 | | | Taiyo Nippon Sanso Corp. | | | 73,366 | |
| | 40,500 | | | Taiyo Yuden Co., Ltd. | | | 1,185,685 | |
| | 36,300 | | | Takasago Thermal Engineering Co., Ltd. | | | 641,181 | |
| | 3,500 | | | Takashimaya Co., Ltd. | | | 56,493 | |
| | 301,030 | | | Takeda Pharmaceutical Co., Ltd. | | | 12,604,203 | |
| | 3,700 | | | TDK Corp. | | | 415,177 | |
| | 5,200 | | | Teijin Ltd. | | | 102,918 | |
| | 59,200 | | | Terumo Corp. | | | 3,262,438 | |
| | 3,200 | | | THK Co., Ltd. | | | 85,578 | |
| | 27,800 | | | TIS Inc. | | | 1,341,387 | |
| | 5,700 | | | Tobu Railway Co., Ltd. | | | 158,938 | |
| | 78,000 | | | Toda Corp. | | | 541,518 | |
| | 3,200 | | | Toho Co., Ltd. | | | 98,151 | |
| | 1,800 | | | Toho Gas Co., Ltd. | | | 60,359 | |
| | 12,100 | | | Tohoku Electric Power Co., Inc. | | | 151,777 | |
| | 19,900 | | | Tokio Marine Holdings Inc. | | | 937,256 | |
| | 1,200 | | | Tokyo Century Corp. | | | 66,328 | |
| | 40,900 | | | Tokyo Electric Power Co. Holdings Inc.* | | | 189,248 | |
| | 4,700 | | | Tokyo Electron Ltd. | | | 797,441 | |
| | 11,300 | | | Tokyo Gas Co., Ltd. | | | 267,669 | |
| | 20,800 | | | Tokyo Seimitsu Co., Ltd. | | | 644,427 | |
| | 86,200 | | | Tokyo Steel Manufacturing Co., Ltd. | | | 689,070 | |
See Notes to Financial Statements.
122
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Japan — 18.6% — (continued) | |
| | 4,500 | | | Tokyo Tatemono Co., Ltd. | | $ | 55,122 | |
| | 14,400 | | | Tokyu Corp. | | | 236,983 | |
| | 14,500 | | | Tokyu Fudosan Holdings Corp. | | | 98,584 | |
| | 14,000 | | | Toppan Printing Co., Ltd. | | | 109,153 | |
| | 40,100 | | | Toray Industries Inc. | | | 300,698 | |
| | 184,000 | | | Toshiba Corp.* | | | 549,604 | |
| | 7,700 | | | Tosoh Corp. | | | 120,686 | |
| | 4,000 | | | TOTO Ltd. | | | 169,038 | |
| | 3,500 | | | Toyo Seikan Group Holdings Ltd. | | | 66,196 | |
| | 2,500 | | | Toyo Suisan Kaisha Ltd. | | | 92,129 | |
| | 1,400 | | | Toyoda Gosei Co., Ltd. | | | 34,825 | |
| | 4,100 | | | Toyota Industries Corp. | | | 231,871 | |
| | 152,900 | | | Toyota Motor Corp. | | | 9,526,997 | |
| | 5,700 | | | Toyota Tsusho Corp. | | | 194,166 | |
| | 3,500 | | | Trend Micro Inc. | | | 220,040 | |
| | 2,300 | | | Tsubaki Nakashima Co., Ltd. | | | 46,909 | |
| | 1,000 | | | Tsuruha Holdings Inc. | | | 114,014 | |
| | 11,500 | | | Unicharm Corp. | | | 374,587 | |
| | 84 | | | United Urban Investment Corp., REIT | | | 132,558 | |
| | 5,900 | | | USS Co., Ltd. | | | 110,981 | |
| | 29,200 | | | UT Group Co., Ltd.* | | | 983,103 | |
| | 4,700 | | | West Japan Railway Co. | | | 315,279 | |
| | 847,130 | | | Yahoo Japan Corp.(b) | | | 2,909,753 | |
| | 3,200 | | | Yakult Honsha Co., Ltd. | | | 227,033 | |
| | 17,300 | | | Yamada Denki Co., Ltd. | | | 85,711 | |
| | 6,000 | | | Yamaguchi Financial Group Inc. | | | 65,879 | |
| | 4,300 | | | Yamaha Corp. | | | 205,279 | |
| | 7,900 | | | Yamaha Motor Co., Ltd. | | | 200,006 | |
| | 9,000 | | | Yamato Holdings Co., Ltd. | | | 267,382 | |
| | 15,600 | | | Yamato Kogyo Co., Ltd. | | | 446,436 | |
| | 2,900 | | | Yamazaki Baking Co., Ltd. | | | 56,390 | |
| | 6,500 | | | Yaskawa Electric Corp. | | | 217,846 | |
| | 6,300 | | | Yokogawa Electric Corp. | | | 129,057 | |
| | 3,500 | | | Yokohama Rubber Co., Ltd. (The) | | | 73,477 | |
| | 23,000 | | | Zenkoku Hosho Co., Ltd. | | | 931,098 | |
| | | | | | | | |
| | | | Total Japan | | | 311,803,844 | |
| | | | | | | | |
| | Jersey, Channel Islands — 0.0% | |
| | 2,657 | | | Randgold Resources Ltd., ADR | | | 173,087 | |
| | | | | | | | |
| | Jordan — 0.0% | |
| | 25,509 | | | Hikma Pharmaceuticals PLC | | | 652,494 | |
| | | | | | | | |
| | Luxembourg — 0.5% | |
| | 19,091 | | | ArcelorMittal | | | 575,120 | |
| | 326 | | | Eurofins Scientific SE | | | 184,247 | |
| | 1,805 | | | Millicom International Cellular SA, ADR | | | 104,002 | |
| | 1,161 | | | RTL Group SA | | | 87,063 | |
| | 196,722 | | | SES SA, FDR, Class A Shares | | | 3,947,472 | |
| | 15,196 | | | Stabilus SA | | | 1,335,107 | |
| | 147,917 | | | Tenaris SA | | | 2,481,132 | |
| | | | | | | | |
| | | | Total Luxembourg | | | 8,714,143 | |
| | | | | | | | |
| | Macau — 0.0% | |
| | 28,800 | | | MGM China Holdings Ltd. | | | 54,226 | |
| | 76,400 | | | Sands China Ltd. | | | 373,448 | |
| | 40,800 | | | Wynn Macau Ltd. | | | 113,842 | |
| | | | | | | | |
| | | | Total Macau | | | 541,516 | |
| | | | | | | | |
See Notes to Financial Statements.
123
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Mexico — 0.0% | |
| | 6,000 | | | Fresnillo PLC | | $ | 69,847 | |
| | | | | | | | |
| | Netherlands — 3.9% | |
| | 72,316 | | | Aalberts Industries NV | | | 3,104,839 | |
| | 12,204 | | | ABN AMRO Group NV, Dutch Certificate, GDR(c) | | | 330,816 | |
| | 50,426 | | | Aegon NV | | | 302,840 | |
| | 87,642 | | | Akzo Nobel NV | | | 8,199,545 | |
| | 15,788 | | | AMG Advanced Metallurgical Group NV | | | 782,010 | |
| | 8,159 | | | ASM International NV | | | 439,697 | |
| | 45,553 | | | ASML Holding NV | | | 9,289,188 | |
| | 19,023 | | | ASR Nederland NV | | | 908,728 | |
| | 109,296 | | | Boskalis Westminster(b) | | | 3,131,937 | |
| | 18,893 | | | Euronext NV(c) | | | 1,242,091 | |
| | 3,487 | | | EXOR NV | | | 226,855 | |
| | 3,264 | | | Heineken Holding NV | | | 311,314 | |
| | 36,219 | | | Heineken NV | | | 3,582,689 | |
| | 448,010 | | | ING Groep NV | | | 6,087,179 | |
| | 37,239 | | | Koninklijke Ahold Delhaize NV | | | 906,576 | |
| | 5,510 | | | Koninklijke DSM NV | | | 578,776 | |
| | 94,706 | | | Koninklijke KPN NV | | | 242,197 | |
| | 27,463 | | | Koninklijke Philips NV | | | 1,228,512 | |
| | 2,203 | | | Koninklijke Vopak NV | | | 113,592 | |
| | 8,638 | | | NN Group NV | | | 370,807 | |
| | 10,122 | | | NXP Semiconductors NV* | | | 942,763 | |
| | 409,842 | | | PostNL NV | | | 1,374,687 | |
| | 6,299 | | | QIAGEN NV* | | | 243,942 | |
| | 3,355 | | | Randstad NV | | | 210,420 | |
| | 133,846 | | | Royal Dutch Shell PLC, Class A Shares | | | 4,344,794 | |
| | 465,766 | | | Royal Dutch Shell PLC, Class B Shares | | | 15,393,901 | |
| | 9,296 | | | TKH Group NV, Dutch Certificate | | | 544,633 | |
| | 8,177 | | | Wolters Kluwer NV | | | 518,595 | |
| | | | | | | | |
| | | | Total Netherlands | | | 64,953,923 | |
| | | | | | | | |
| | New Zealand — 0.2% | |
| | 19,765 | | | a2 Milk Co., Ltd.* | | | 165,033 | |
| | 26,123 | | | Auckland International Airport Ltd. | | | 123,473 | |
| | 19,637 | | | Fisher & Paykel Healthcare Corp., Ltd. | | | 213,595 | |
| | 28,906 | | | Fletcher Building Ltd. | | | 121,829 | |
| | 38,537 | | | Meridian Energy Ltd. | | | 82,600 | |
| | 10,364 | | | Ryman Healthcare Ltd. | | | 96,606 | |
| | 48,388 | | | Spark New Zealand Ltd. | | | 127,735 | |
| | 185,486 | | | Summerset Group Holdings Ltd. | | | 942,297 | |
| | 25,800 | | | Xero Ltd.* | | | 949,315 | |
| | | | | | | | |
| | | | Total New Zealand | | | 2,822,483 | |
| | | | | | | | |
| | Norway — 0.6% | |
| | 42,598 | | | Aker BP ASA | | | 1,508,627 | |
| | 194,112 | | | DNB ASA | | | 3,951,890 | |
| | 34,382 | | | Equinor ASA | | | 884,012 | |
| | 5,541 | | | Gjensidige Forsikring ASA | | | 92,704 | |
| | 12,360 | | | Marine Harvest ASA(b) | | | 267,034 | |
| | 442,347 | | | Norsk Hydro ASA | | | 2,442,573 | |
| | 22,538 | | | Orkla ASA | | | 185,476 | |
| | 3,010 | | | Schibsted ASA, Class B Shares | | | 97,985 | |
| | 21,146 | | | Telenor ASA | | | 398,671 | |
| | 5,124 | | | Yara International ASA | | | 235,840 | |
| | | | | | | | |
| | | | Total Norway | | | 10,064,812 | |
| | | | | | | | |
See Notes to Financial Statements.
124
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Portugal — 0.0% | |
| | 69,999 | | | EDP — Energias de Portugal SA | | $ | 273,364 | |
| | 14,646 | | | Galp Energia SGPS SA, Class B Shares | | | 297,232 | |
| | 6,813 | | | Jeronimo Martins SGPS SA | | | 102,063 | |
| | | | | | | | |
| | | | Total Portugal | | | 672,659 | |
| | | | | | | | |
| | Russia — 0.5% | |
| | 743,966 | | | Gazprom PJSC, ADR | | | 3,283,764 | |
| | 48,050 | | | LUKOIL PJSC, ADR | | | 3,318,333 | |
| | 99,300 | | | Sberbank of Russia PJSC, ADR | | | 1,084,356 | |
| | | | | | | | |
| | | | Total Russia | | | 7,686,453 | |
| | | | | | | | |
| | Singapore — 0.5% | |
| | 81,800 | | | Ascendas Real Estate Investment Trust | | | 163,333 | |
| | 71,619 | | | CapitaLand Commercial Trust, REIT | | | 92,377 | |
| | 81,400 | | | CapitaLand Ltd. | | | 203,533 | |
| | 72,400 | | | CapitaLand Mall Trust, REIT | | | 112,968 | |
| | 12,100 | | | City Developments Ltd. | | | 81,852 | |
| | 65,700 | | | ComfortDelGro Corp., Ltd. | | | 109,667 | |
| | 52,300 | | | DBS Group Holdings Ltd. | | | 952,984 | |
| | 944,900 | | | Frasers Logistics & Industrial Trust, REIT | | | 757,409 | |
| | 181,100 | | | Genting Singapore Ltd. | | | 141,253 | |
| | 158,600 | | | Golden Agri-Resources Ltd. | | | 32,936 | |
| | 3,000 | | | Jardine Cycle & Carriage Ltd. | | | 70,938 | |
| | 42,700 | | | Keppel Corp., Ltd. | | | 203,351 | |
| | 545,700 | | | Mapletree Industrial Trust, REIT | | | 791,246 | |
| | 337,900 | | | Oversea-Chinese Banking Corp., Ltd. | | | 2,784,661 | |
| | 20,900 | | | SATS Ltd. | | | 77,237 | |
| | 30,600 | | | Sembcorp Industries Ltd. | | | 60,903 | |
| | 16,200 | | | Singapore Airlines Ltd. | | | 115,715 | |
| | 28,300 | | | Singapore Exchange Ltd. | | | 152,856 | |
| | 25,000 | | | Singapore Press Holdings Ltd. | | | 51,018 | |
| | 52,800 | | | Singapore Technologies Engineering Ltd. | | | 128,537 | |
| | 236,200 | | | Singapore Telecommunications Ltd. | | | 556,005 | |
| | 57,500 | | | Suntec Real Estate Investment Trust | | | 78,372 | |
| | 38,903 | | | United Overseas Bank Ltd. | | | 768,324 | |
| | 15,371 | | | UOL Group Ltd. | | | 77,404 | |
| | 7,400 | | | Venture Corp., Ltd. | | | 97,702 | |
| | 69,900 | | | Wilmar International Ltd. | | | 163,048 | |
| | | | | | | | |
| | | | Total Singapore | | | 8,825,629 | |
| | | | | | | | |
| | South Africa — 0.3% | |
| | 34,534 | | | Anglo American Platinum Ltd. | | | 1,010,069 | |
| | 614,795 | | | Gold Fields Ltd., ADR | | | 1,530,840 | |
| | 213,781 | | | Impala Platinum Holdings Ltd.* | | | 260,660 | |
| | 17,791 | | | Investec PLC | | | 116,923 | |
| | 10,767 | | | Mediclinic International PLC | | | 68,923 | |
| | 154,040 | | | SPAR Group Ltd. (The) | | | 2,148,059 | |
| | | | | | | | |
| | | | Total South Africa | | | 5,135,474 | |
| | | | | | | | |
| | South Korea — 2.1% | |
| | 6,186 | | | Chong Kun Dang Pharmaceutical Corp. | | | 599,655 | |
| | 17,703 | | | Douzone Bizon Co., Ltd. | | | 900,715 | |
| | 3,314 | | | GS Home Shopping Inc. | | | 616,455 | |
| | 54,466 | | | KB Financial Group Inc. | | | 2,518,675 | |
| | 97,719 | | | Kia Motors Corp. | | | 2,807,614 | |
| | 11,562 | | | KIWOOM Securities Co., Ltd. | | | 955,640 | |
| | 18,759 | | | Korea United Pharm Inc. | | | 481,063 | |
See Notes to Financial Statements.
125
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | South Korea — 2.1% — (continued) | |
| | 227,845 | | | KT Corp., ADR | | $ | 3,146,539 | |
| | 12,049 | | | LS Industrial Systems Co., Ltd. | | | 773,383 | |
| | 8,044 | | | Maeil Dairies Co., Ltd. | | | 616,293 | |
| | 15,497 | | | Poongsan Corp. | | | 467,480 | |
| | 154,173 | | | Samsung Electronics Co., Ltd. | | | 6,696,263 | |
| | 8,041 | | | Samsung SDI Co., Ltd. | | | 1,699,362 | |
| | 19,471 | | | SFA Engineering Corp. | | | 666,399 | |
| | 56,834 | | | Shinhan Financial Group Co., Ltd. | | | 2,230,488 | |
| | 5,472 | | | SillaJen Inc.*(b) | | | 375,032 | |
| | 4,437 | | | SK Innovation Co., Ltd. | | | 767,306 | |
| | 29,223 | | | SK Telecom Co., Ltd. | | | 6,863,533 | |
| | 17,809 | | | SKC Co., Ltd. | | | 751,155 | |
| | 27,500 | | | SL Corp. | | | 494,631 | |
| | 8,030 | | | Soulbrain Co., Ltd. | | | 475,825 | |
| | 25,171 | | | TES Co., Ltd. | | | 467,792 | |
| | | | | | | | |
| | | | Total South Korea | | | 35,371,298 | |
| | | | | | | | |
| | Spain — 2.3% | |
| | 7,470 | | | ACS Actividades de Construccion y Servicios SA | | | 311,061 | |
| | 2,136 | | | Aena SME SA(c) | | | 378,055 | |
| | 54,636 | | | Amadeus IT Group SA | | | 5,068,390 | |
| | 632,178 | | | Banco Bilbao Vizcaya Argentaria SA | | | 3,938,941 | |
| | 164,492 | | | Banco de Sabadell SA | | | 252,314 | |
| | 469,806 | | | Banco Santander SA | | | 2,336,944 | |
| | 36,779 | | | Bankia SA | | | 138,142 | |
| | 77,495 | | | Bankinter SA | | | 690,474 | |
| | 1,439,159 | | | CaixaBank SA | | | 6,460,478 | |
| | 3,584 | | | Enagas SA | | | 99,623 | |
| | 8,993 | | | Endesa SA | | | 201,483 | |
| | 14,367 | | | Ferrovial SA | | | 310,898 | |
| | 147,857 | | | Grifols SA | | | 4,350,832 | |
| | 173,529 | | | Iberdrola SA | | | 1,293,332 | |
| | 91,016 | | | Industria de Diseno Textil SA | | | 2,751,993 | |
| | 30,418 | | | Mapfre SA | | | 89,624 | |
| | 41,599 | | | Melia Hotels International SA | | | 521,480 | |
| | 39,942 | | | Merlin Properties Socimi SA, REIT | | | 557,487 | |
| | 10,313 | | | Naturgy Energy Group SA | | | 277,059 | |
| | 729,082 | | | Prosegur Cash SA(c) | | | 1,684,194 | |
| | 434,192 | | | Prosegur Cia de Seguridad SA | | | 2,620,191 | |
| | 41,141 | | | Red Electrica Corp. SA | | | 864,312 | |
| | 40,512 | | | Repsol SA | | | 779,529 | |
| | 8,404 | | | Siemens Gamesa Renewable Energy SA* | | | 125,384 | |
| | 136,440 | | | Telefonica SA | | | 1,107,474 | |
| | 288,327 | | | Unicaja Banco SA(c) | | | 452,420 | |
| | | | | | | | |
| | | | Total Spain | | | 37,662,114 | |
| | | | | | | | |
| | Sweden — 2.0% | |
| | 80,133 | | | Ahlsell AB(c) | | | 460,793 | |
| | 8,571 | | | Alfa Laval AB | | | 230,198 | |
| | 123,835 | | | Assa Abloy AB, Class B Shares | | | 2,525,539 | |
| | 104,050 | | | Atlas Copco AB, Class A Shares | | | 2,974,244 | |
| | 10,843 | | | Atlas Copco AB, Class B Shares | | | 287,078 | |
| | 7,704 | | | Boliden AB | | | 202,062 | |
| | 84,966 | | | Dometic Group AB(c) | | | 808,141 | |
| | 6,848 | | | Electrolux AB, Series B | | | 152,890 | |
| | 183,857 | | | Epiroc AB, Class A Shares* | | | 1,910,160 | |
See Notes to Financial Statements.
126
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Sweden — 2.0% — (continued) | |
| | 10,843 | | | Epiroc AB, Class B Shares* | | $ | 103,734 | |
| | 17,079 | | | Essity AB, Class B Shares | | | 443,049 | |
| | 25,989 | | | Hennes & Mauritz AB, Class B Shares(b) | | | 350,441 | |
| | 7,842 | | | Hexagon AB, Class B Shares | | | 466,176 | |
| | 11,408 | | | Husqvarna AB, Class B Shares | | | 90,715 | |
| | 2,407 | | | ICA Gruppen AB | | | 73,296 | |
| | 4,576 | | | Industrivarden AB, Class C Shares | | | 97,971 | |
| | 12,830 | | | Investor AB, Class B Shares | | | 580,263 | |
| | 6,600 | | | Kinnevik AB, Class B Shares | | | 217,238 | |
| | 2,254 | | | L E Lundbergforetagen AB, Class B Shares | | | 75,857 | |
| | 5,238 | | | Lundin Petroleum AB | | | 182,099 | |
| | 88,341 | | | NetEnt AB* | | | 351,644 | |
| | 89,618 | | | Nordea Bank AB | | | 969,949 | |
| | 59,758 | | | Peab AB | | | 539,121 | |
| | 78,022 | | | Resurs Holding AB(c) | | | 570,113 | |
| | 34,157 | | | Sandvik AB | | | 599,563 | |
| | 10,625 | | | Securitas AB, Class B Shares | | | 189,236 | |
| | 302,109 | | | Skandinaviska Enskilda Banken AB, Class A Shares | | | 3,228,363 | |
| | 9,717 | | | Skanska AB, Class B Shares | | | 182,617 | |
| | 114,608 | | | SKF AB, Class B Shares | | | 2,210,033 | |
| | 206,848 | | | SSAB AB, Class B Shares | | | 724,849 | |
| | 46,762 | | | Svenska Handelsbanken AB, Class A Shares | | | 567,667 | |
| | 27,165 | | | Swedbank AB, Class A Shares | | | 632,889 | |
| | 56,298 | | | Swedish Match AB | | | 3,010,216 | |
| | 29,337 | | | Swedish Orphan Biovitrum AB* | | | 935,736 | |
| | 9,751 | | | Tele2 AB, Class B Shares | | | 120,475 | |
| | 527,333 | | | Telefonaktiebolaget LM Ericsson, Class B Shares | | | 4,445,986 | |
| | 80,383 | | | Telia Co. AB | | | 356,695 | |
| | 46,614 | | | Volvo AB, Class B Shares | | | 804,907 | |
| | 85,464 | | | Wihlborgs Fastigheter AB | | | 1,030,771 | |
| | | | | | | | |
| | | | Total Sweden | | | 33,702,774 | |
| | | | | | | | |
| | Switzerland — 9.4% | |
| | 414,646 | | | ABB Ltd., Class Registered Shares | | | 9,763,819 | |
| | 67,822 | | | Adecco Group AG, Class Registered Shares | | | 4,150,852 | |
| | 83,062 | | | Aryzta AG*(b) | | | 777,826 | |
| | 1,395 | | | Baloise Holding AG, Class Registered Shares | | | 214,245 | |
| | 1,504 | | | Barry Callebaut AG, Class Registered Shares | | | 2,683,265 | |
| | 31 | | | Chocoladefabriken Lindt & Spruengli AG | | | 230,713 | |
| | 3 | | | Chocoladefabriken Lindt & Spruengli AG, Class Registered Shares | | | 264,314 | |
| | 116,058 | | | Cie Financiere Richemont SA, Class Registered Shares | | | 10,251,052 | |
| | 6,047 | | | Clariant AG, Class Registered Shares* | | | 151,009 | |
| | 43,446 | | | Coca-Cola HBC AG* | | | 1,486,774 | |
| | 74,682 | | | Credit Suisse Group AG, Class Registered Shares* | | | 1,116,862 | |
| | 5,805 | | | Dufry AG, Class Registered Shares* | | | 718,655 | |
| | 216 | | | EMS-Chemie Holding AG, Class Registered Shares | | | 136,562 | |
| | 31,097 | | | Ferguson PLC | | | 2,494,774 | |
| | 1,086 | | | Geberit AG, Class Registered Shares | | | 494,358 | |
| | 1,365 | | | Georg Fischer AG, Class Registered Shares | | | 1,789,295 | |
| | 1,551 | | | Givaudan SA, Class Registered Shares | | | 3,770,531 | |
| | 337,262 | | | Glencore PLC* | | | 1,373,300 | |
| | 744 | | | Helvetia Holding AG, Class Registered Shares | | | 446,409 | |
| | 59,590 | | | Julius Baer Group Ltd.* | | | 3,163,700 | |
| | 1,521 | | | Kuehne + Nagel International AG, Class Registered Shares | | | 245,780 | |
| | 81,670 | | | LafargeHolcim Ltd., Class Registered Shares* | | | 3,973,591 | |
| | 40,091 | | | Logitech International SA, Class Registered Shares | | | 1,981,542 | |
See Notes to Financial Statements.
127
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Switzerland — 9.4% — (continued) | |
| | 25,004 | | | Lonza Group AG, Class Registered Shares* | | $ | 8,038,416 | |
| | 179,179 | | | Nestlé SA, Class Registered Shares | | | 15,034,999 | |
| | 224,085 | | | Novartis AG, Class Registered Shares | | | 18,598,516 | |
| | 1,101 | | | Pargesa Holding SA | | | 89,373 | |
| | 543 | | | Partners Group Holding AG | | | 426,019 | |
| | 57,690 | | | Roche Holding AG | | | 14,319,729 | |
| | 12,149 | | | Schindler Holding AG | | | 2,901,778 | |
| | 538 | | | Schindler Holding AG, Class Registered Shares | | | 124,487 | |
| | 988 | | | SGS SA, Class Registered Shares | | | 2,600,599 | |
| | 24,819 | | | Sika AG | | | 3,686,255 | |
| | 17,320 | | | Sonova Holding AG, Class Registered Shares | | | 3,284,403 | |
| | 232,205 | | | STMicroelectronics NV | | | 4,773,138 | |
| | 1,344 | | | Straumann Holding AG, Class Registered Shares | | | 1,072,809 | |
| | 869 | | | Swatch Group AG (The) | | | 370,476 | |
| | 1,531 | | | Swatch Group AG (The), Class Registered Shares | | | 123,968 | |
| | 4,984 | | | Swiss Life Holding AG, Class Registered Shares* | | | 1,804,274 | |
| | 2,049 | | | Swiss Prime Site AG, Class Registered Shares* | | | 188,846 | |
| | 9,336 | | | Swiss Re AG | | | 838,794 | |
| | 729 | | | Swisscom AG, Class Registered Shares | | | 325,394 | |
| | 42,957 | | | Temenos AG, Class Registered Shares* | | | 7,764,999 | |
| | 616,952 | | | UBS Group AG, Class Registered Shares* | | | 9,621,213 | |
| | 27,671 | | | VAT Group AG*(c) | | | 3,574,068 | |
| | 1,343 | | | Vifor Pharma AG | | | 247,304 | |
| | 7,842 | | | Vontobel Holding AG, Class Registered Shares | | | 560,079 | |
| | 26,982 | | | Wizz Air Holdings PLC*(c) | | | 1,109,979 | |
| | 16,927 | | | Zurich Insurance Group AG | | | 5,151,128 | |
| | | | | | | | |
| | | | Total Switzerland | | | 158,310,271 | |
| | | | | | | | |
| | Taiwan — 0.2% | |
| | 96,550 | | | MediaTek Inc. | | | 790,560 | |
| | 3,798,470 | | | Shin Kong Financial Holding Co., Ltd.* | | | 1,504,692 | |
| | 194,000 | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | 1,629,212 | |
| | | | | | | | |
| | | | Total Taiwan | | | 3,924,464 | |
| | | | | | | | |
| | Thailand — 0.1% | |
| | 1,102,700 | | | CP ALL PCL | | | 2,272,047 | |
| | | | | | | | |
| | Turkey — 0.0% | |
| | 503,530 | | | Türkiye Garanti Bankasi AS | | | 454,620 | |
| | | | | | | | |
| | United Arab Emirates — 0.0% | |
| | 2,809 | | | NMC Health PLC | | | 143,075 | |
| | | | | | | | |
| | United Kingdom — 16.1% | |
| | 27,325 | | | 3i Group PLC | | | 318,027 | |
| | 5,416 | | | Admiral Group PLC | | | 146,171 | |
| | 176,511 | | | Anglo American PLC | | | 3,533,218 | |
| | 125,795 | | | Ashmore Group PLC | | | 580,775 | |
| | 13,933 | | | Ashtead Group PLC | | | 427,062 | |
| | 9,951 | | | Associated British Foods PLC | | | 295,442 | |
| | 249,523 | | | AstraZeneca PLC | | | 18,818,442 | |
| | 132,996 | | | Auto Trader Group PLC(c) | | | 774,795 | |
| | 1,300,076 | | | Aviva PLC | | | 8,186,463 | |
| | 128,919 | | | B&M European Value Retail SA | | | 689,810 | |
| | 7,352 | | | Babcock International Group PLC | | | 68,037 | |
| | 386,804 | | | BAE Systems PLC | | | 3,041,026 | |
| | 664,580 | | | Balfour Beatty PLC | | | 2,498,281 | |
| | 3,776,091 | | | Barclays PLC | | | 8,615,355 | |
See Notes to Financial Statements.
128
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | United Kingdom — 16.1% — (continued) | |
| | 28,520 | | | Barratt Developments PLC | | $ | 200,587 | |
| | 83,271 | | | Beazley PLC | | | 642,177 | |
| | 16,024 | | | Bellway PLC | | | 606,367 | |
| | 3,612 | | | Berkeley Group Holdings PLC | | | 170,714 | |
| | 2,734,630 | | | BP PLC | | | 19,463,280 | |
| | 238,917 | | | British American Tobacco PLC | | | 11,534,230 | |
| | 26,476 | | | British Land Co. PLC (The), REIT | | | 218,331 | |
| | 1,166,032 | | | BT Group PLC, Class A Shares | | | 3,286,956 | |
| | 232,229 | | | Bunzl PLC | | | 7,222,443 | |
| | 77,290 | | | Burberry Group PLC | | | 2,240,893 | |
| | 213,144 | | | Cairn Energy PLC* | | | 660,839 | |
| | 1,610,670 | | | Centrica PLC | | | 2,995,237 | |
| | 238,574 | | | Cineworld Group PLC | | | 960,526 | |
| | 69,112 | | | Clinigen Group PLC | | | 894,633 | |
| | 28,857 | | | CNH Industrial NV | | | 345,472 | |
| | 2,237,588 | | | Cobham PLC* | | | 3,610,895 | |
| | 6,140 | | | Coca-Cola European Partners PLC | | | 261,810 | |
| | 46,562 | | | Compass Group PLC | | | 1,001,244 | |
| | 43,519 | | | Computacenter PLC | | | 766,029 | |
| | 38,622 | | | ConvaTec Group PLC(c) | | | 106,918 | |
| | 83,580 | | | Costain Group PLC | | | 460,674 | |
| | 3,714 | | | Croda International PLC | | | 245,851 | |
| | 13,119 | | | Dechra Pharmaceuticals PLC | | | 531,109 | |
| | 283,339 | | | Diageo PLC | | | 9,904,140 | |
| | 38,730 | | | Direct Line Insurance Group PLC | | | 166,308 | |
| | 543,646 | | | Domino’s Pizza Group PLC | | | 2,052,380 | |
| | 75,605 | | | DS Smith PLC | | | 484,502 | |
| | 4,518 | | | easyJet PLC | | | 89,474 | |
| | 98,262 | | | Electrocomponents PLC | | | 945,360 | |
| | 230,147 | | | Essentra PLC | | | 1,329,578 | |
| | 27,606 | | | Experian PLC | | | 687,914 | |
| | 33,112 | | | Fiat Chrysler Automobiles NV* | | | 560,663 | |
| | 45,352 | | | G4S PLC | | | 146,831 | |
| | 549,578 | | | GlaxoSmithKline PLC | | | 11,115,353 | |
| | 21,491 | | | Hammerson PLC, REIT | | | 131,335 | |
| | 8,472 | | | Hargreaves Lansdown PLC | | | 241,952 | |
| | 338,604 | | | Hays PLC | | | 894,214 | |
| | 1,206,839 | | | HSBC Holdings PLC | | | 10,477,267 | |
| | 60,510 | | | Hunting PLC* | | | 654,584 | |
| | 60,176 | | | IG Group Holdings PLC | | | 705,575 | |
| | 27,970 | | | Imperial Brands PLC | | | 996,104 | |
| | 35,184 | | | Informa PLC | | | 348,099 | |
| | 5,175 | | | InterContinental Hotels Group PLC | | | 319,201 | �� |
| | 62,427 | | | Intermediate Capital Group PLC | | | 850,434 | |
| | 19,145 | | | International Consolidated Airlines Group SA | | | 172,244 | |
| | 34,400 | | | Intertek Group PLC | | | 2,290,891 | |
| | 99,994 | | | ITV PLC | | | 208,510 | |
| | 762,803 | | | J Sainsbury PLC | | | 3,208,627 | |
| | 189,948 | | | JD Sports Fashion PLC | | | 1,251,681 | |
| | 20,182 | | | John Wood Group PLC | | | 188,126 | |
| | 50,835 | | | Johnson Matthey PLC | | | 2,305,528 | |
| | 312,553 | | | Just Group PLC | | | 368,514 | |
| | 47,010 | | | Keller Group PLC | | | 634,650 | |
| | 60,862 | | | Kingfisher PLC | | | 215,929 | |
| | 21,526 | | | Land Securities Group PLC, REIT | | | 255,872 | |
| | 504,764 | | | Legal & General Group PLC | | | 1,666,419 | |
See Notes to Financial Statements.
129
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | United Kingdom — 16.1% — (continued) | |
| | 8,463,895 | | | Lloyds Banking Group PLC | | $ | 6,511,763 | |
| | 9,154 | | | London Stock Exchange Group PLC | | | 549,123 | |
| | 265,167 | | | LondonMetric Property PLC, REIT | | | 634,493 | |
| | 596,328 | | | Marks & Spencer Group PLC | | | 2,334,139 | |
| | 100,525 | | | Meggitt PLC | | | 701,883 | |
| | 632,728 | | | Melrose Industries PLC | | | 1,831,672 | |
| | 19,860 | | | Merlin Entertainments PLC(c) | | | 95,853 | |
| | 177,650 | | | Micro Focus International PLC | | | 3,005,584 | |
| | 11,493 | | | Mondi PLC | | | 319,954 | |
| | 147,797 | | | National Express Group PLC | | | 759,086 | |
| | 98,922 | | | National Grid PLC | | | 1,039,272 | |
| | 4,243 | | | Next PLC | | | 302,901 | |
| | 28,736 | | | Nomad Foods Ltd.* | | | 599,146 | |
| | 81,225 | | | Northgate PLC | | | 431,211 | |
| | 105,286 | | | OneSavings Bank PLC | | | 568,255 | |
| | 23,324 | | | Pearson PLC | | | 277,054 | |
| | 8,701 | | | Persimmon PLC | | | 274,739 | |
| | 686,185 | | | Prudential PLC | | | 15,455,193 | |
| | 115,193 | | | Reckitt Benckiser Group PLC | | | 9,803,213 | |
| | 88,095 | | | Redrow PLC | | | 625,351 | |
| | 29,145 | | | RELX NV | | | 645,859 | |
| | 31,497 | | | RELX PLC | | | 698,683 | |
| | 12,371 | | | Rio Tinto Ltd. | | | 649,799 | |
| | 34,987 | | | Rio Tinto PLC | | | 1,658,181 | |
| | 375,937 | | | Rolls-Royce Holdings PLC* | | | 4,903,429 | |
| | 147,769 | | | Royal Bank of Scotland Group PLC | | | 463,015 | |
| | 24,882 | | | Royal Mail PLC | | | 144,597 | |
| | 42,029 | | | RPC Group PLC | | | 389,546 | |
| | 28,856 | | | RSA Insurance Group PLC | | | 236,523 | |
| | 123,998 | | | Safestore Holdings PLC, REIT | | | 855,993 | |
| | 31,507 | | | Sage Group PLC (The) | | | 243,355 | |
| | 3,435 | | | Schroders PLC | | | 137,141 | |
| | 28,250 | | | Segro PLC, REIT | | | 241,216 | |
| | 6,857 | | | Severn Trent PLC | | | 178,044 | |
| | 31,205 | | | Sky PLC | | | 623,703 | |
| | 129,204 | | | Smith & Nephew PLC | | | 2,277,814 | |
| | 157,075 | | | Smiths Group PLC | | | 3,283,280 | |
| | 18,078 | | | Spectris PLC | | | 551,701 | |
| | 379,159 | | | SSE PLC | | | 6,161,114 | |
| | 17,240 | | | St. James’s Place PLC | | | 253,294 | |
| | 407,009 | | | Standard Chartered PLC | | | 3,312,790 | |
| | 75,521 | | | Standard Life Aberdeen PLC | | | 310,718 | |
| | 132,479 | | | Stock Spirits Group PLC | | | 331,870 | |
| | 146,920 | | | Synthomer PLC | | | 1,080,840 | |
| | 110,138 | | | Tate & Lyle PLC | | | 957,529 | |
| | 96,694 | | | Taylor Wimpey PLC | | | 209,827 | |
| | 97,846 | | | TechnipFMC PLC | | | 2,998,725 | |
| | 286,451 | | | Tesco PLC | | | 915,942 | |
| | 7,341 | | | Travis Perkins PLC | | | 109,616 | |
| | 44,932 | | | Unilever NV, Dutch Certificate | | | 2,585,282 | |
| | 83,987 | | | Unilever PLC | | | 4,781,475 | |
| | 70,865 | | | UNITE Group PLC (The), REIT | | | 814,970 | |
| | 19,308 | | | United Utilities Group PLC | | | 185,736 | |
| | 95,024 | | | Vesuvius PLC | | | 764,510 | |
| | 3,878,028 | | | Vodafone Group PLC | | | 8,262,649 | |
| | 83,823 | | | Weir Group PLC (The) | | | 2,038,951 | |
See Notes to Financial Statements.
130
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | United Kingdom — 16.1% — (continued) | |
| | 96,945 | | | Whitbread PLC | | $ | 5,781,558 | |
| | 63,039 | | | WM Morrison Supermarkets PLC | | | 215,254 | |
| | 38,472 | | | WPP PLC | | | 637,881 | |
| | | | | | | | |
| | | | Total United Kingdom | | | 269,300,673 | |
| | | | | | | | |
| | United States — 1.2% | |
| | 1,368 | | | Booking Holdings Inc.* | | | 2,669,720 | |
| | 64,600 | | | Carnival Corp. | | | 3,972,254 | |
| | 79,084 | | | Carnival PLC | | | 4,753,381 | |
| | 9,580 | | | EPAM Systems Inc.* | | | 1,369,269 | |
| | 10,778 | | | Maxar Technologies Ltd.(b) | | | 334,102 | |
| | 405,000 | | | Nexteer Automotive Group Ltd. | | | 683,122 | |
| | 25,721 | | | Philip Morris International Inc. | | | 2,003,409 | |
| | 485,700 | | | Samsonite International SA(c) | | | 1,967,471 | |
| | 26,496 | | | Shire PLC | | | 1,546,390 | |
| | | | | | | | |
| | | | Total United States | | | 19,299,118 | |
| | | | | | | | |
| | | | TOTAL COMMON STOCKS
(Cost — $1,477,218,989) | | | 1,615,071,810 | |
| | | | | | | | |
| | PREFERRED STOCKS — 0.9% | |
| | Brazil — 0.1% | |
| | 247,900 | | | Telefonica Brasil SA, Class Preferred Shares | | | 2,436,923 | |
| | | | | | | | |
| | | | | | | | |
| | Germany — 0.8% | |
| | 1,701 | | | Bayerische Motoren Werke AG, Class Preferred Shares | | | 142,606 | |
| | 1,952 | | | FUCHS PETROLUB SE, Class Preferred Shares | | | 114,361 | |
| | 5,348 | | | Henkel AG & Co. KGaA, Class Preferred Shares | | | 682,656 | |
| | 4,283 | | | Porsche Automobil Holding SE, Class Preferred Shares | | | 270,874 | |
| | 961 | | | Sartorius AG, Class Preferred Shares | | | 174,654 | |
| | 4,947 | | | Schaeffler AG, Class Preferred Shares | | | 67,139 | |
| | 69,832 | | | Volkswagen AG, Class Preferred Shares | | | 11,407,336 | |
| | | | | | | | |
| | | | Total Germany | | | 12,859,626 | |
| | | | | | | | |
| | | | TOTAL PREFERRED STOCKS
(Cost — $13,762,075) | | | 15,296,549 | |
| | | | | | | | |
| | CLOSED END MUTUAL FUND SECURITY — 0.1% | |
| | United States — 0.1% | |
| | 22,928 | | | Vanguard FTSE Developed Markets ETF, Common Class
(Cost — $994,779) | | | 988,655 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $1,491,975,843) | | | 1,631,357,014 | |
| | | | | | | | |
| | |
Face
Amount† | | | | | | |
| | SHORT-TERM INVESTMENTS (f) — 3.0% | |
| | MONEY MARKET FUND — 0.8% | |
| $ | 12,790,871 | | | Invesco STIT — Government & Agency Portfolio, 1.820%, Institutional Class(g)
(Cost — $12,790,871) | | | 12,790,871 | |
| | | | | | | | |
| | TIME DEPOSITS — 2.2% | |
| | 3,648,198 | | | ANZ National Bank — London, 1.280% due 9/4/18 | | | 3,648,198 | |
| | 5,538,748 | | | Banco Santander SA — Frankfurt, 1.280% due 9/4/18 | | | 5,538,748 | |
See Notes to Financial Statements.
131
| | | | | | | | |
| International Equity Fund | |
| | |
Face
Amount† | | | Security | | Value | |
| | TIME DEPOSITS — 2.2% — (continued) | |
| | | | BBH — Grand Cayman: | | | | |
| | 780,190 | CHF | | (1.420)% due 9/3/18 | | $ | 805,067 | |
| | 356,415 | SEK | | (0.920)% due 9/3/18 | | | 38,975 | |
| | 220,335 | DKK | | (0.850)% due 9/3/18 | | | 34,311 | |
| | 1,361,296 | JPY | | (0.230)% due 9/3/18 | | | 12,255 | |
| | 99,039 | NOK | | 0.150% due 9/3/18 | | | 11,811 | |
| | 11,764 | GBP | | 0.370% due 9/3/18 | | | 15,250 | |
| | 14,042 | SGD | | 0.550% due 9/3/18 | | | 10,231 | |
| | 1,169,059 | HKD | | 0.570% due 9/3/18 | | | 148,948 | |
| | 3,473 | NZD | | 0.800% due 9/3/18 | | | 2,298 | |
| | 158,478 | AUD | | 0.900% due 9/3/18 | | | 113,922 | |
| | 27 | ZAR | | 5.810% due 9/3/18 | | | 2 | |
| | 5,243 | CAD | | 0.590% due 9/4/18 | | | 4,018 | |
| $ | 682,976 | | | BNP Paribas — Paris, 1.280% due 9/4/18 | | | 682,976 | |
| | | | Citibank — London: | | | | |
| | 834,827 | EUR | | (0.570)% due 9/3/18 | | | 969,109 | |
| | 1,026,967 | GBP | | 0.370% due 9/3/18 | | | 1,331,309 | |
| | 23,764,199 | | | Deutsche Bank AG — Grand Cayman, 1.280% due 9/4/18 | | | 23,764,199 | |
| | 111,297 | SGD | | HSBC Bank — Singapore, 0.550% due 9/3/18 | | | 81,096 | |
| | 57,255,658 | JPY | | Sumitomo — Tokyo, (0.230)% due 9/3/18 | | | 515,422 | |
| | | | | | | | |
| | | | TOTAL TIME DEPOSITS
(Cost — $37,728,145) | | | 37,728,145 | |
| | | | | | | | |
| | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $50,519,016) | | | 50,519,016 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 100.3%
(Cost — $1,542,494,859) | | | 1,681,876,030 | |
| | | | | | | | |
| | | | Liabilities in Excess of Other Assets — (0.3)% | | | (5,340,528 | ) |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 1,676,535,502 | |
| | | | | | | | |
| † | 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) | All or a portion of this security is on loan (See Note 1). |
| (c) | 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. The aggregate value of restricted 144A holdings at August 31, 2018 amounts to approximately $28,208,541 and represents 1.7% of net assets. |
| (d) | Security trades on the Hong Kong exchange. |
| (f) | Inclusive of all short-term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 2.2%. |
| (g) | Represents investment of collateral received from securities lending transactions. |
| # | Security that used significant unobservable inputs to determine fair value. |
At August 31, 2018, for International Equity Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost for
Federal Income
Tax Purposes | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net Unrealized
Appreciation | |
International Equity Fund | | $ | 1,563,858,481 | | | $ | 253,656,792 | | | $ | (135,648,987 | ) | | $ | 118,007,805 | |
See Notes to Financial Statements.
132
| | |
| International Equity Fund |
| | |
Abbreviations used in this schedule: |
| ADR | | — American Depositary Receipts |
| CDI | | — Clearing House Electronics System (CHESS) Depositary Interest |
| FDR | | — Finish Depositary Receipt |
| GDR | | — Global Depositary Receipt |
| PCL | | — Public Company Limited |
| PLC | | — Public Limited Company |
| REIT | | — Real Estate Investment Trust |
| | | | |
|
| Summary of Investments by Security Sector^ | |
Financials | | | 16.8 | % |
Industrials | | | 15.3 | |
Consumer Discretionary | | | 12.9 | |
Information Technology | | | 11.2 | |
Health Care | | | 10.4 | |
Materials | | | 7.8 | |
Consumer Staples | | | 7.5 | |
Energy | | | 6.4 | |
Telecommunication Services | | | 4.7 | |
Utilities | | | 2.1 | |
Real Estate | | | 1.9 | |
Short-Term Investments | | | 3.0 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
At August 31, 2018, International 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) | | | Notional
Amount | | | Market Value | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
Euro STOXX 50 September Futures | | | 20 | | | | 9/18 | | | $ | 793,046 | | | $ | 786,824 | | | $ | (6,222 | ) |
FTSE 100 Index September Futures | | | 4 | | | | 9/18 | | | | 393,565 | | | | 384,964 | | | | (8,601 | ) |
SPI 200 Index September Futures | | | 2 | | | | 9/18 | | | | 222,969 | | | | 226,581 | | | | 3,612 | |
TOPIX Index September Futures | | | 4 | | | | 9/18 | | | | 622,740 | | | | 624,207 | | | | 1,467 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (9,744 | ) |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2018, International Equity Fund had deposited cash of $132,402 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
| | |
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 |
| ZAR | | — South African Rand |
See Notes to Financial Statements.
133
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | COMMON STOCKS — 92.8% | |
| | Argentina — 0.6% | |
| | 87,830 | | | Grupo Supervielle SA, ADR(a) | | $ | 600,757 | |
| | 172,043 | | | YPF SA, ADR* | | | 2,603,011 | |
| | | | | | | | |
| | | | Total Argentina | | | 3,203,768 | |
| | | | | | | | |
| | Australia — 0.0% | |
| | 100,000 | | | MMG Ltd.* | | | 49,942 | |
| | | | | | | | |
| | Brazil — 5.1% | |
| | 144,760 | | | Ambev SA | | | 670,268 | |
| | 407,471 | | | Ambev SA, ADR | | | 1,894,740 | |
| | 11,300 | | | Atacadao Distribuicao Comercio e Industria Ltd. | | | 40,358 | |
| | 63,852 | | | B3 SA — Brasil Bolsa Balcao | | | 341,289 | |
| | 30,793 | | | Banco Bradesco SA | | | 189,927 | |
| | 602,656 | | | Banco do Brasil SA | | | 4,455,785 | |
| | 12,695 | | | Banco Santander Brasil SA | | | 107,894 | |
| | 354,470 | | | BB Seguridade Participações SA | | | 2,131,470 | |
| | 28,855 | | | BR Malls Participações SA* | | | 64,853 | |
| | 15,157 | | | BRF SA* | | | 74,945 | |
| | 578,084 | | | CCR SA | | | 1,329,092 | |
| | 8,618 | | | Centrais Eletricas Brasileiras SA* | | | 33,489 | |
| | 155,885 | | | Cia de Saneamento Basico do Estado de Sao Paulo | | | 934,292 | |
| | 15,800 | | | Cia Siderurgica Nacional SA* | | | 34,075 | |
| | 556,506 | | | Cielo SA | | | 2,064,120 | |
| | 6,362 | | | Cosan SA | | | 54,383 | |
| | 13,938 | | | EDP — Energias do Brasil SA | | | 45,911 | |
| | 20,394 | | | Embraer SA | | | 98,185 | |
| | 6,269 | | | Engie Brasil Energia SA | | | 56,822 | |
| | 5,810 | | | Equatorial Energia SA | | | 81,347 | |
| | 7,838 | | | Fibria Celulose SA | | | 152,444 | |
| | 373,750 | | | Fleury SA | | | 2,359,405 | |
| | 10,696 | | | Hypera SA | | | 71,988 | |
| | 598,300 | | | International Meal Co. Alimentacao SA | | | 1,102,221 | |
| | 33,086 | | | JBS SA | | | 76,394 | |
| | 21,853 | | | Klabin SA | | | 114,603 | |
| | 43,404 | | | Kroton Educacional SA | | | 108,960 | |
| | 15,468 | | | Localiza Rent a Car SA | | | 81,803 | |
| | 22,124 | | | Lojas Renner SA | | | 153,685 | |
| | 3,542 | | | M Dias Branco SA | | | 36,811 | |
| | 2,363 | | | Magazine Luiza SA | | | 75,601 | |
| | 962,300 | | | Movida Participacoes SA | | | 1,422,968 | |
| | 9,984 | | | Multiplan Empreendimentos Imobiliarios SA | | | 45,688 | |
| | 6,511 | | | Natura Cosméticos SA | | | 46,380 | |
| | 6,700 | | | Odontoprev SA | | | 21,559 | |
| | 276,854 | | | Petrobras Distribuidora SA | | | 1,345,133 | |
| | 89,885 | | | Petroleo Brasileiro SA | | | 487,500 | |
| | 2,900 | | | Porto Seguro SA | | | 39,093 | |
| | 7,734 | | | Raia Drogasil SA | | | 146,279 | |
| | 37,238 | | | Rumo SA* | | | 130,161 | |
| | 80,450 | | | Smiles Fidelidade SA | | | 1,025,806 | |
| | 6,278 | | | Sul America SA | | | 35,422 | |
| | 13,415 | | | Suzano Papel e Celulose SA | | | 155,895 | |
| | 26,912 | | | TIM Participações SA | | | 81,243 | |
| | 11,499 | | | Ultrapar Participações SA | | | 116,287 | |
| | 97,312 | | | Vale SA | | | 1,281,685 | |
| | 26,520 | | | WEG SA | | | 124,682 | |
| | | | | | | | |
| | | | Total Brazil | | | 25,542,941 | |
| | | | | | | | |
See Notes to Financial Statements.
134
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Chile — 0.3% | |
| | 65,824 | | | Aguas Andinas SA, Class A Shares | | $ | 35,440 | |
| | 894,926 | | | Banco de Chile | | | 128,602 | |
| | 1,589 | | | Banco de Credito e Inversiones SA | | | 101,640 | |
| | 2,157,547 | | | Banco Santander Chile | | | 164,089 | |
| | 40,976 | | | Cencosud SA | | | 96,545 | |
| | 5,277 | | | Cia Cervecerias Unidas SA | | | 69,519 | |
| | 199,393 | | | Colbun SA | | | 42,124 | |
| | 3,852 | | | Empresa Nacional de Telecomunicaciones SA | | | 31,646 | |
| | 38,669 | | | Empresas CMPC SA | | | 150,960 | |
| | 12,701 | | | Empresas COPEC SA | | | 193,396 | |
| | 817,590 | | | Enel Americas SA | | | 121,279 | |
| | 896,436 | | | Enel Chile SA | | | 87,589 | |
| | 3,934,534 | | | Itau CorpBanca | | | 37,231 | |
| | 10,517 | | | Latam Airlines Group SA | | | 98,624 | |
| | 23,279 | | | SACI Falabella | | | 183,602 | |
| | | | | | | | |
| | | | Total Chile | | | 1,542,286 | |
| | | | | | | | |
| | China — 25.1% | |
| | 44,000 | | | 3SBio Inc.(b) | | | 84,036 | |
| | 838 | | | 51job Inc., ADR* | | | 64,786 | |
| | 2,764 | | | 58.com Inc., ADR* | | | 210,285 | |
| | 150,263 | | | AAC Technologies Holdings Inc. | | | 1,662,104 | |
| | 44,000 | | | Agile Group Holdings Ltd. | | | 71,739 | |
| | 65,000 | | | Agricultural Bank of China Ltd., Class A Shares | | | 34,475 | |
| | 883,000 | | | Agricultural Bank of China Ltd., Class H Shares(c) | | | 426,976 | |
| | 60,000 | | | Air China Ltd., Class H Shares(c) | | | 56,339 | |
| | 101,788 | | | Alibaba Group Holding Ltd., ADR* | | | 17,813,918 | |
| | 1,171,000 | | | A-Living Services Co., Ltd., (Restricted, cost — $1,825,905, acquired 4/16/18), Class H Shares*(b)(c)(d) | | | 2,018,275 | |
| | 120,000 | | | Aluminum Corp. of China Ltd., Class H Shares*(c) | | | 50,370 | |
| | 32,000 | | | Angang Steel Co., Ltd., Class H Shares(c) | | | 31,532 | |
| | 3,000 | | | Anhui Conch Cement Co., Ltd., Class A Shares* | | | 16,278 | |
| | 405,337 | | | Anhui Conch Cement Co., Ltd., Class H Shares(c) | | | 2,464,009 | |
| | 32,000 | | | ANTA Sports Products Ltd. | | | 174,445 | |
| | 1,812 | | | Autohome Inc., ADR | | | 149,689 | |
| | 89,000 | | | AviChina Industry & Technology Co., Ltd., Class H Shares(c) | | | 51,634 | |
| | 50,500 | | | BAIC Motor Corp., Ltd., Class H Shares(b)(c) | | | 42,483 | |
| | 19,874 | | | Baidu Inc., ADR* | | | 4,501,064 | |
| | 19,200 | | | Bank of Beijing Co., Ltd., Class A Shares* | | | 16,358 | |
| | 31,230 | | | Bank of China Ltd., Class A Shares* | | | 16,201 | |
| | 2,461,000 | | | Bank of China Ltd., Class H Shares(c) | | | 1,105,672 | |
| | 39,800 | | | Bank of Communications Co., Ltd., Class A Shares | | | 32,681 | |
| | 241,000 | | | Bank of Communications Co., Ltd., Class H Shares(c) | | | 173,942 | |
| | 6,800 | | | Bank of Ningbo Co., Ltd., Class A Shares* | | | 16,674 | |
| | 9,800 | | | Bank of Shanghai Co., Ltd., Class A Shares* | | | 16,770 | |
| | 13,484 | | | Baoshan Iron & Steel Co., Ltd., Class A Shares* | | | 15,527 | |
| | 38,327 | | | Baozun Inc., ADR*(a) | | | 2,046,279 | |
| | 67,000 | | | BBMG Corp., Class H Shares(c) | | | 24,949 | |
| | 1,507,500 | | | Beijing Capital International Airport Co., Ltd., Class H Shares(c) | | | 1,608,302 | |
| | 25,400 | | | BOE Technology Group Co., Ltd., Class A Shares* | | | 12,657 | |
| | 2,000 | | | BYD Co., Ltd., Class A Shares* | | | 12,994 | |
| | 18,500 | | | BYD Co., Ltd., Class H Shares(a)(c) | | | 110,068 | |
| | 19,500 | | | BYD Electronic International Co., Ltd. | | | 20,529 | |
| | 22,000 | | | CAR Inc.* | | | 17,679 | |
| | 311,000 | | | CGN Power Co., Ltd., Class H Shares(b)(c) | | | 73,652 | |
| | 255,000 | | | China Cinda Asset Management Co., Ltd., Class H Shares(c) | | | 66,015 | |
| | 276,000 | | | China CITIC Bank Corp., Ltd., Class H Shares(c) | | | 172,091 | |
See Notes to Financial Statements.
135
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | China — 25.1% — (continued) | |
| | 59,000 | | | China Coal Energy Co., Ltd., Class H Shares(c) | | $ | 25,124 | |
| | 152,000 | | | China Communications Construction Co., Ltd., Class H Shares(c) | | | 151,106 | |
| | 82,000 | | | China Communications Services Corp., Ltd., Class H Shares(c) | | | 67,857 | |
| | 51,500 | | | China Conch Venture Holdings Ltd. | | | 177,268 | |
| | 12,263,380 | | | China Construction Bank Corp., Class H Shares(c) | | | 10,844,518 | |
| | 40,000 | | | China Eastern Airlines Corp., Ltd., Class H Shares(c) | | | 25,643 | |
| | 30,812 | | | China Everbright Bank Co., Ltd., Class A Shares* | | | 16,795 | |
| | 79,000 | | | China Everbright Bank Co., Ltd., Class H Shares(c) | | | 33,036 | |
| | 82,000 | | | China Evergrande Group*(a) | | | 294,675 | |
| | 91,000 | | | China Galaxy Securities Co., Ltd., Class H Shares(c) | | | 44,576 | |
| | 286,000 | | | China Huarong Asset Management Co., Ltd., Class H Shares(b)(c) | | | 59,454 | |
| | 102,000 | | | China Huishan Dairy Holdings Co., Ltd.*#(e) | | | 1,949 | |
| | 32,000 | | | China International Capital Corp., Ltd., Class H Shares(b)(c) | | | 58,610 | |
| | 12,300 | | | China International Marine Containers Group Co., Ltd., Class H Shares(c) | | | 13,097 | |
| | 1,836 | | | China International Travel Service Corp., Ltd., Class A Shares* | | | 17,000 | |
| | 230,000 | | | China Life Insurance Co., Ltd., Class H Shares(c) | | | 519,251 | |
| | 7,600 | | | China Literature Ltd.*(b) | | | 53,513 | |
| | 98,000 | | | China Longyuan Power Group Corp., Ltd., Class H Shares(c) | | | 82,663 | |
| | 3,566,000 | | | China Maple Leaf Educational Systems Ltd. | | | 1,951,363 | |
| | 725,000 | | | China Medical System Holdings Ltd. | | | 1,201,782 | |
| | 9,300 | | | China Merchants Bank Co., Ltd., Class A Shares | | | 38,436 | |
| | 116,500 | | | China Merchants Bank Co., Ltd., Class H Shares(c) | | | 445,947 | |
| | 6,420 | | | China Merchants Shekou Industrial Zone Holdings Co., Ltd., Class A Shares* | | | 16,887 | |
| | 37,320 | | | China Minsheng Banking Corp., Ltd., Class A Shares | | | 32,552 | |
| | 184,200 | | | China Minsheng Banking Corp., Ltd., Class H Shares(c) | | | 131,999 | |
| | 108,000 | | | China Molybdenum Co., Ltd., Class H Shares(c) | | | 44,390 | |
| | 114,000 | | | China National Building Material Co., Ltd., Class H Shares(c) | | | 106,832 | |
| | 18,900 | | | China National Nuclear Power Co., Ltd., Class A Shares* | | | 16,157 | |
| | 66,000 | | | China Oilfield Services Ltd., Class H Shares(c) | | | 58,543 | |
| | 3,300 | | | China Pacific Insurance Group Co., Ltd., Class A Shares* | | | 15,798 | |
| | 87,400 | | | China Pacific Insurance Group Co., Ltd., Class H Shares(c) | | | 325,184 | |
| | 16,700 | | | China Petroleum & Chemical Corp., Class A Shares* | | | 16,693 | |
| | 782,000 | | | China Petroleum & Chemical Corp., Class H Shares(c) | | | 786,290 | |
| | 10,299 | | | China Railway Construction Corp., Ltd., Class A Shares* | | | 15,953 | |
| | 50,000 | | | China Railway Construction Corp., Ltd., Class H Shares(c) | | | 60,523 | |
| | 102,000 | | | China Railway Group Ltd., Class H Shares(c) | | | 88,013 | |
| | 42,000 | | | China Railway Signal & Communication Corp., Ltd., Class H Shares(b)(c) | | | 29,722 | |
| | 268,000 | | | China Reinsurance Group Corp., Class H Shares(c) | | | 52,945 | |
| | 54,000 | | | China Resources Pharmaceutical Group Ltd.(b) | | | 86,434 | |
| | 6,299 | | | China Shenhua Energy Co., Ltd., Class A Shares* | | | 17,020 | |
| | 703,000 | | | China Shenhua Energy Co., Ltd., Class H Shares(c) | | | 1,565,219 | |
| | 68,000 | | | China Southern Airlines Co., Ltd., Class H Shares(c) | | | 45,048 | |
| | 16,940 | | | China State Construction Engineering Corp., Ltd., Class A Shares | | | 13,365 | |
| | 424,000 | | | China Telecom Corp., Ltd., Class H Shares(c) | | | 199,753 | |
| | 1,068,000 | | | China Tower Corp. Ltd., Class H Shares*(b)(c) | | | 164,647 | |
| | 19,200 | | | China United Network Communications Ltd., Class A Shares* | | | 15,740 | |
| | 3,900 | | | China Vanke Co., Ltd., Class A Shares | | | 13,702 | |
| | 39,500 | | | China Vanke Co., Ltd., Class H Shares(c) | | | 137,187 | |
| | 14,500 | | | China Yangtze Power Co., Ltd., Class A Shares | | | 33,518 | |
| | 2,614,600 | | | China ZhengTong Auto Services Holdings Ltd. | | | 1,605,004 | |
| | 44,800 | | | China Zhongwang Holdings Ltd. | | | 21,028 | |
| | 20,700 | | | Chongqing Changan Automobile Co., Ltd., Class B Shares | | | 18,112 | |
| | 83,000 | | | Chongqing Rural Commercial Bank Co., Ltd., Class H Shares(c) | | | 44,784 | |
| | 98,000 | | | CIFI Holdings Group Co., Ltd. | | | 56,690 | |
| | 12,700 | | | CITIC Securities Co., Ltd., Class A Shares | | | 29,648 | |
| | 70,500 | | | CITIC Securities Co., Ltd., Class H Shares(c) | | | 126,627 | |
See Notes to Financial Statements.
136
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | China — 25.1% — (continued) | |
| | 1,589,442 | | | CNOOC Ltd. | | $ | 2,817,389 | |
| | 108,000 | | | COSCO SHIPPING Development Co., Ltd., Class H Shares*(c) | | | 15,666 | |
| | 36,000 | | | COSCO SHIPPING Energy Transportation Co., Ltd., Class H Shares(c) | | | 15,750 | |
| | 69,000 | | | COSCO SHIPPING Holdings Co., Ltd., Class H Shares*(c) | | | 28,779 | |
| | 231,000 | | | Country Garden Holdings Co., Ltd. | | | 343,012 | |
| | 13,399 | | | CRRC Corp., Ltd., Class A Shares* | | | 16,036 | |
| | 129,000 | | | CRRC Corp., Ltd., Class H Shares(c) | | | 106,926 | |
| | 148,000 | | | CSPC Pharmaceutical Group Ltd. | | | 374,219 | |
| | 12,401 | | | Ctrip.com International Ltd., ADR* | | | 485,499 | |
| | 59,000 | | | Dali Foods Group Co., Ltd.(b) | | | 42,882 | |
| | 12,199 | | | Daqin Railway Co., Ltd., Class A Shares* | | | 15,385 | |
| | 88,000 | | | Datang International Power Generation Co., Ltd., Class H Shares(c) | | | 22,553 | |
| | 86,000 | | | Dongfeng Motor Group Co., Ltd., Class H Shares(c) | | | 96,155 | |
| | 151,000 | | | ENN Energy Holdings Ltd. | | | 1,376,242 | |
| | 6,001 | | | Fang Holdings Ltd., ADR* | | | 18,423 | |
| | 1,817,861 | | | Focus Media Information Technology Co., Ltd., Class A Shares | | | 2,281,097 | |
| | 1,600 | | | Foshan Haitian Flavouring & Food Co., Ltd., Class A Shares* | | | 16,016 | |
| | 84,500 | | | Fosun International Ltd. | | | 153,056 | |
| | 2,208,300 | | | Fu Shou Yuan International Group Ltd. | | | 1,980,023 | |
| | 56,000 | | | Future Land Development Holdings Ltd.* | | | 43,197 | |
| | 17,600 | | | Fuyao Glass Industry Group Co., Ltd., Class H Shares(b)(c) | | | 64,958 | |
| | 1,684 | | | GDS Holdings Ltd., ADR*(a) | | | 64,278 | |
| | 156,000 | | | Geely Automobile Holdings Ltd. | | | 332,222 | |
| | 26,000 | | | Genscript Biotech Corp.* | | | 56,089 | |
| | 8,200 | | | GF Securities Co., Ltd., Class A Shares* | | | 16,165 | |
| | 34,400 | | | GF Securities Co., Ltd., Class H Shares(c) | | | 43,210 | |
| | 313,000 | | | GOME Retail Holdings Ltd.*(a) | | | 30,329 | |
| | 93,000 | | | Great Wall Motor Co., Ltd., Class H Shares(c) | | | 57,280 | |
| | 2,799 | | | Gree Electric Appliances Inc of Zhuhai, Class A Shares* | | | 15,932 | |
| | 21,500 | | | Greentown China Holdings Ltd. | | | 21,606 | |
| | 84,000 | | | Guangzhou Automobile Group Co., Ltd., Class H Shares(c) | | | 91,305 | |
| | 34,000 | | | Guangzhou R&F Properties Co., Ltd., Class H Shares(c) | | | 68,727 | |
| | 7,400 | | | Guotai Junan Securities Co., Ltd., Class A Shares* | | | 15,810 | |
| | 17,200 | | | Guotai Junan Securities Co., Ltd., Class H Shares(b)(c) | | | 35,510 | |
| | 24,000 | | | Haitian International Holdings Ltd. | | | 48,220 | |
| | 88,000 | | | Haitong Securities Co., Ltd., Class H Shares(c) | | | 77,893 | |
| | 6,100 | | | Hangzhou Hikvision Digital Technology Co., Ltd., Class A Shares | | | 28,025 | |
| | 127,992 | | | Han’s Laser Technology Industry Group Co., Ltd., Class A Shares | | | 816,850 | |
| | 171,500 | | | Hengan International Group Co., Ltd. | | | 1,542,283 | |
| | 996,000 | | | HengTen Networks Group Ltd.* | | | 41,917 | |
| | 46,000 | | | Huadian Power International Corp., Ltd., Class H Shares(c) | | | 17,123 | |
| | 136,000 | | | Huaneng Power International Inc., Class H Shares(c) | | | 87,263 | |
| | 140,000 | | | Huaneng Renewables Corp., Ltd., Class H Shares(c) | | | 44,835 | |
| | 7,200 | | | Huatai Securities Co., Ltd., Class A Shares* | | | 16,161 | |
| | 58,200 | | | Huatai Securities Co., Ltd., Class H Shares*(b)(c) | | | 87,330 | |
| | 14,900 | | | Huaxia Bank Co., Ltd., Class A Shares* | | | 16,875 | |
| | 87,418 | | | Huazhu Group Ltd., ADR | | | 3,008,928 | |
| | 45,000 | | | Industrial & Commercial Bank of China Ltd., Class A Shares | | | 35,767 | |
| | 2,086,000 | | | Industrial & Commercial Bank of China Ltd., Class H Shares(c) | | | 1,534,198 | |
| | 15,200 | | | Industrial Bank Co., Ltd., Class A Shares | | | 33,489 | |
| | 4,200 | | | Inner Mongolia Yili Industrial Group Co., Ltd., Class A Shares* | | | 14,853 | |
| | 40,100 | | | Inner Mongolia Yitai Coal Co., Ltd., Class B Shares | | | 48,235 | |
| | 22,485 | | | JD.com Inc., ADR* | | | 703,780 | |
| | 30,000 | | | Jiangsu Expressway Co., Ltd., Class H Shares(c) | | | 37,938 | |
| | 1,700 | | | Jiangsu Hengrui Medicine Co., Ltd., Class A Shares | | | 16,433 | |
| | 800 | | | Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A Shares | | | 13,478 | |
See Notes to Financial Statements.
137
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | China — 25.1% — (continued) | |
| | 32,000 | | | Jiangxi Copper Co., Ltd., Class H Shares(c) | | $ | 37,942 | |
| | 92,000 | | | Kaisa Group Holdings Ltd. | | | 34,280 | |
| | 5,400 | | | Kangmei Pharmaceutical Co., Ltd., Class A Shares* | | | 16,437 | |
| | 62,000 | | | Kingdee International Software Group Co., Ltd. | | | 70,797 | |
| | 27,000 | | | Kingsoft Corp., Ltd. | | | 49,104 | |
| | 27,464 | | | Kweichow Moutai Co., Ltd., Class A Shares | | | 2,644,899 | |
| | 39,000 | | | KWG Group Holdings Ltd. | | | 41,764 | |
| | 9,600 | | | Legend Holdings Corp., Class H Shares(b)(c) | | | 29,738 | |
| | 202,000 | | | Lenovo Group Ltd. | | | 131,918 | |
| | 42,000 | | | Logan Property Holdings Co., Ltd. | | | 52,329 | |
| | 44,000 | | | Longfor Group Holdings Ltd. | | | 122,009 | |
| | 46,500 | | | Luye Pharma Group Ltd.(b) | | | 43,798 | |
| | 51,500 | | | Meitu Inc.*(b) | | | 27,909 | |
| | 82,000 | | | Metallurgical Corp. of China Ltd., Class H Shares(c) | | | 22,480 | |
| | 4,700 | | | Midea Group Co., Ltd., Class A Shares | | | 28,530 | |
| | 3,564 | | | Momo Inc., ADR* | | | 164,978 | |
| | 19,058 | | | NetEase Inc., ADR | | | 3,767,957 | |
| | 2,400 | | | New China Life Insurance Co., Ltd., Class A Shares* | | | 16,081 | |
| | 25,700 | | | New China Life Insurance Co., Ltd., Class H Shares(c) | | | 116,615 | |
| | 4,321 | | | New Oriental Education & Technology Group Inc., ADR | | | 339,631 | |
| | 897 | | | Noah Holdings Ltd., ADR* | | | 42,195 | |
| | 266,000 | | | People’s Insurance Co. Group of China Ltd., Class H Shares(c) | | | 115,041 | |
| | 656,000 | | | PetroChina Co., Ltd., Class H Shares(c) | | | 485,708 | |
| | 204,000 | | | PICC Property & Casualty Co., Ltd., Class H Shares(c) | | | 229,444 | |
| | 11,700 | | | Ping An Bank Co., Ltd., Class A Shares* | | | 17,320 | |
| | 5,700 | | | Ping An Insurance Group Co. of China Ltd., Class A Shares | | | 52,444 | |
| | 957,500 | | | Ping An Insurance Group Co. of China Ltd., Class H Shares(c) | | | 9,235,457 | |
| | 9,700 | | | Poly Real Estate Group Co., Ltd., Class A Shares* | | | 17,407 | |
| | 80,000 | | | Postal Savings Bank of China Co., Ltd., Class H Shares(b)(c) | | | 47,139 | |
| | 7,300 | | | Qingdao Haier Co., Ltd., Class A Shares* | | | 15,884 | |
| | 7,100 | | | SAIC Motor Corp., Ltd., Class A Shares | | | 30,198 | |
| | 90,200 | | | Semiconductor Manufacturing International Corp.*(a) | | | 105,866 | |
| | 48,000 | | | Shandong Weigao Group Medical Polymer Co., Ltd., Class H Shares(c) | | | 45,475 | |
| | 72,000 | | | Shanghai Electric Group Co., Ltd., Class H Shares(c) | | | 22,571 | |
| | 17,000 | | | Shanghai Fosun Pharmaceutical Group Co., Ltd., Class H Shares(c) | | | 68,723 | |
| | 23,100 | | | Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd., Class B Shares | | | 31,161 | |
| | 29,000 | | | Shanghai Pharmaceuticals Holding Co., Ltd., Class H Shares(c) | | | 76,189 | |
| | 22,400 | | | Shanghai Pudong Development Bank Co., Ltd., Class A Shares | | | 33,807 | |
| | 23,261 | | | Shenwan Hongyuan Group Co., Ltd., Class A Shares* | | | 15,161 | |
| | 108,600 | | | Shenzhou International Group Holdings Ltd. | | | 1,426,618 | |
| | 104,000 | | | Shui On Land Ltd. | | | 24,806 | |
| | 96,000 | | | Sihuan Pharmaceutical Holdings Group Ltd. | | | 21,301 | |
| | 34,000 | | | Silergy Corp. | | | 670,615 | |
| | 1,871 | | | SINA Corp.* | | | 132,766 | |
| | 106,000 | | | Sino-Ocean Group Holding Ltd. | | | 53,931 | |
| | 37,500 | | | Sinopec Engineering Group Co., Ltd., Class H Shares(c) | | | 39,109 | |
| | 88,000 | | | Sinopec Shanghai Petrochemical Co., Ltd., Class H Shares(c) | | | 51,508 | |
| | 42,800 | | | Sinopharm Group Co., Ltd., Class H Shares(c) | | | 212,810 | |
| | 58,000 | | | Sinotrans Ltd., Class H Shares(c) | | | 24,340 | |
| | 20,000 | | | Sinotruk Hong Kong Ltd.(a) | | | 29,906 | |
| | 52,500 | | | SOHO China Ltd. | | | 21,088 | |
| | 74,000 | | | Sunac China Holdings Ltd. | | | 242,698 | |
| | 9,100 | | | Suning.com Co., Ltd.* | | | 16,463 | |
| | 172,200 | | | Sunny Optical Technology Group Co., Ltd. | | | 2,191,762 | |
| | 10,268 | | | TAL Education Group, ADR* | | | 303,933 | |
| | 430,831 | | | Tencent Holdings Ltd. | | | 18,698,770 | |
See Notes to Financial Statements.
138
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | China — 25.1% — (continued) | |
| | 60,000 | | | Tingyi Cayman Islands Holding Corp. | | $ | 107,164 | |
| | 16,000 | | | Tong Ren Tang Technologies Co., Ltd., Class H Shares(c) | | | 23,215 | |
| | 30,000 | | | TravelSky Technology Ltd., Class H Shares(c) | | | 76,893 | |
| | 14,000 | | | Tsingtao Brewery Co., Ltd., Class H Shares(c) | | | 66,573 | |
| | 37,000 | | | Uni-President China Holdings Ltd. | | | 36,458 | |
| | 12,308 | | | Vipshop Holdings Ltd., ADR* | | | 85,910 | |
| | 169,000 | | | Want Want China Holdings Ltd. | | | 137,834 | |
| | 1,518 | | | Weibo Corp., ADR* | | | 116,491 | |
| | 1,983,200 | | | Weichai Power Co., Ltd., Class H Shares(c) | | | 2,107,601 | |
| | 1,400 | | | Wuliangye Yibin Co., Ltd., Class A Shares | | | 12,660 | |
| | 15,000 | | | Wuxi Biologics Cayman Inc.*(b) | | | 147,923 | |
| | 17,800 | | | Xinjiang Goldwind Science & Technology Co., Ltd., Class H Shares(c) | | | 19,073 | |
| �� | 86,000 | | | Xinyi Solar Holdings Ltd. | | | 25,650 | |
| | 58,000 | | | Yanzhou Coal Mining Co., Ltd., Class H Shares(c) | | | 67,148 | |
| | 608,000 | | | Yihai International Holding Ltd. | | | 1,558,624 | |
| | 11,347 | | | Yum China Holdings Inc. | | | 438,902 | |
| | 1,400 | | | Yunnan Baiyao Group Co., Ltd., Class A Shares | | | 16,285 | |
| | 48,000 | | | Yuzhou Properties Co., Ltd. | | | 25,542 | |
| | 1,387 | | | YY Inc., ADR* | | | 106,008 | |
| | 30,000 | | | Zhaojin Mining Industry Co., Ltd., Class H Shares(c) | | | 23,381 | |
| | 36,000 | | | Zhejiang Expressway Co., Ltd., Class H Shares(c) | | | 28,596 | |
| | 4,700 | | | ZhongAn Online P&C Insurance Co., Ltd., Class H Shares*(b)(c) | | | 20,172 | |
| | 16,500 | | | Zhongsheng Group Holdings Ltd. | | | 36,159 | |
| | 17,900 | | | Zhuzhou CRRC Times Electric Co., Ltd., Class H Shares(c) | | | 96,599 | |
| | 200,000 | | | Zijin Mining Group Co., Ltd., Class H Shares(c) | | | 74,740 | |
| | 19,000 | | | ZTE Corp., Class H Shares(c) | | | 36,978 | |
| | | | | | | | |
| | | | Total China | | | 125,134,136 | |
| | | | | | | | |
| | Colombia — 0.1% | |
| | 7,110 | | | Bancolombia SA | | | 76,424 | |
| | 11,531 | | | Cementos Argos SA | | | 34,085 | |
| | 150,786 | | | Ecopetrol SA | | | 168,995 | |
| | 7,386 | | | Grupo Argos SA | | | 46,231 | |
| | 7,004 | | | Grupo de Inversiones Suramericana SA | | | 82,629 | |
| | 14,928 | | | Interconexion Electrica SA ESP | | | 66,140 | |
| | | | | | | | |
| | | | Total Colombia | | | 474,504 | |
| | | | | | | | |
| | Czech Republic — 0.1% | |
| | 5,543 | | | CEZ AS | | | 140,506 | |
| | 2,391 | | | Komercní Banka AS | | | 99,550 | |
| | 16,196 | | | Moneta Money Bank AS(b) | | | 56,662 | |
| | 3,389 | | | O2 Czech Republic AS | | | 40,047 | |
| | | | | | | | |
| | | | Total Czech Republic | | | 336,765 | |
| | | | | | | | |
| | Egypt — 0.8% | |
| | 647,346 | | | Commercial International Bank Egypt SAE, Class Registered Shares, GDR | | | 3,061,883 | |
| | 31,150 | | | Commercial International Bank Egypt SAE | | | 153,751 | |
| | 956,000 | | | Juhayna Food Industries | | | 648,929 | |
| | | | | | | | |
| | | | Total Egypt | | | 3,864,563 | |
| | | | | | | | |
| | Georgia — 0.5% | |
| | 71,700 | | | Bank of Georgia Group PLC | | | 1,537,171 | |
| | 61,700 | | | Georgia Capital PLC* | | | 821,544 | |
| | | | | | | | |
| | | | Total Georgia | | | 2,358,715 | |
| | | | | | | | |
| | Germany — 0.2% | |
| | 21,500 | | | Delivery Hero SE, (Restricted, cost — $999,279, acquired 2/22/18)*(b)(d) | | | 1,184,939 | |
| | | | | | | | |
See Notes to Financial Statements.
139
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Greece — 0.1% | |
| | 42,552 | | | Alpha Bank AE* | | $ | 78,135 | |
| | 68,186 | | | Eurobank Ergasias SA* | | | 58,200 | |
| | 1,594 | | | FF Group*(e) | | | 7,994 | |
| | 7,783 | | | Hellenic Telecommunications Organization SA | | | 99,286 | |
| | 3,706 | | | JUMBO SA | | | 55,424 | |
| | 13,869 | | | National Bank of Greece SA*(e) | | | 39,413 | |
| | 7,278 | | | OPAP SA | | | 78,212 | |
| | 8,367 | | | Piraeus Bank SA | | | 23,321 | |
| | 1,168 | | | Titan Cement Co. SA | | | 26,845 | |
| | | | | | | | |
| | | | Total Greece | | | 466,830 | |
| | | | | | | | |
| | Hong Kong — 4.0% | |
| | 106,000 | | | Alibaba Health Information Technology Ltd.* | | | 107,073 | |
| | 540,000 | | | Alibaba Pictures Group Ltd.* | | | 65,434 | |
| | 100,900 | | | ASM Pacific Technology Ltd. | | | 1,065,030 | |
| | 16,500 | | | Beijing Enterprises Holdings Ltd. | | | 79,208 | |
| | 4,200,500 | | | Beijing Enterprises Water Group Ltd. | | | 2,291,672 | |
| | 96,000 | | | Brilliance China Automotive Holdings Ltd. | | | 152,334 | |
| | 60,000 | | | China Agri-Industries Holdings Ltd. | | | 23,873 | |
| | 78,000 | | | China Everbright International Ltd. | | | 65,750 | |
| | 24,000 | | | China Everbright Ltd. | | | 42,092 | |
| | 120,000 | | | China First Capital Group Ltd.* | | | 64,213 | |
| | 55,600 | | | China Gas Holdings Ltd. | | | 176,863 | |
| | 152,000 | | | China Jinmao Holdings Group Ltd. | | | 71,748 | |
| | 84,000 | | | China Mengniu Dairy Co., Ltd. | | | 242,870 | |
| | 41,538 | | | China Merchants Port Holdings Co., Ltd. | | | 84,879 | |
| | 191,000 | | | China Mobile Ltd. | | | 1,797,015 | |
| | 126,537 | | | China Mobile Ltd., ADR | | | 6,072,511 | |
| | 122,000 | | | China Overseas Land & Investment Ltd. | | | 386,725 | |
| | 127,000 | | | China Power International Development Ltd. | | | 27,688 | |
| | 46,000 | | | China Resources Beer Holdings Co., Ltd. | | | 196,001 | |
| | 76,000 | | | China Resources Cement Holdings Ltd. | | | 88,932 | |
| | 28,000 | | | China Resources Gas Group Ltd. | | | 127,613 | |
| | 88,000 | | | China Resources Land Ltd. | | | 307,054 | |
| | 60,000 | | | China Resources Power Holdings Co., Ltd. | | | 108,203 | |
| | 60,000 | | | China State Construction International Holdings Ltd. | | | 62,518 | |
| | 53,400 | | | China Taiping Insurance Holdings Co., Ltd. | | | 169,653 | |
| | 78,000 | | | China Traditional Chinese Medicine Holdings Co., Ltd. | | | 56,903 | |
| | 58,000 | | | China Travel International Investment Hong Kong Ltd. | | | 18,854 | |
| | 190,000 | | | China Unicom Hong Kong Ltd. | | | 221,347 | |
| | 616,000 | | | Chong Sing Holdings FinTech Gr* | | | 43,997 | |
| | 171,000 | | | CITIC Ltd. | | | 243,316 | |
| | 66,000 | | | COSCO SHIPPING Ports Ltd. | | | 69,926 | |
| | 70,000 | | | Far East Horizon Ltd. | | | 66,284 | |
| | 167,500 | | | Fullshare Holdings Ltd.*(a) | | | 67,037 | |
| | 500,400 | | | Galaxy Entertainment Group Ltd. | | | 3,696,411 | |
| | 497,000 | | | GCL-Poly Energy Holdings Ltd.* | | | 33,520 | |
| | 86,000 | | | Guangdong Investment Ltd. | | | 152,631 | |
| | 38,000 | | | Haier Electronics Group Co., Ltd. | | | 98,894 | |
| | 32,000 | | | Jiayuan International Group Ltd. | | | 63,959 | |
| | 24,500 | | | Kingboard Holdings Ltd. | | | 87,227 | |
| | 31,000 | | | Kingboard Laminates Holdings Ltd. | | | 29,296 | |
| | 106,000 | | | Kunlun Energy Co., Ltd. | | | 110,696 | |
| | 45,000 | | | Lee & Man Paper Manufacturing Ltd. | | | 43,155 | |
| | 54,000 | | | Nine Dragons Paper Holdings Ltd. | | | 61,313 | |
| | 13,000 | | | Shanghai Industrial Holdings Ltd. | | | 30,999 | |
See Notes to Financial Statements.
140
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Hong Kong — 4.0% — (continued) | |
| | 26,500 | | | Shenzhen International Holdings Ltd. | | $ | 49,764 | |
| | 92,000 | | | Shenzhen Investment Ltd. | | | 30,149 | |
| | 38,500 | | | Shimao Property Holdings Ltd. | | | 114,547 | |
| | 213,500 | | | Sino Biopharmaceutical Ltd. | | | 270,703 | |
| | 52,000 | | | Skyworth Digital Holdings Ltd. | | | 16,840 | |
| | 50,000 | | | SSY Group Ltd. | | | 46,537 | |
| | 76,500 | | | Sun Art Retail Group Ltd. | | | 88,157 | |
| | 50,000 | | | Towngas China Co., Ltd.* | | | 46,026 | |
| | 196,000 | | | Yuexiu Property Co., Ltd. | | | 35,503 | |
| | | | | | | | |
| | | | Total Hong Kong | | | 19,770,943 | |
| | | | | | | | |
| | Hungary — 0.7% | |
| | 11,409 | | | MOL Hungarian Oil & Gas PLC | | | 116,402 | |
| | 85,264 | | | OTP Bank Nyrt | | | 3,140,537 | |
| | 4,028 | | | Richter Gedeon Nyrt | | | 79,182 | |
| | | | | | | | |
| | | | Total Hungary | | | 3,336,121 | |
| | | | | | | | |
| | India — 8.7% | |
| | 15,996 | | | Adani Ports & Special Economic Zone Ltd. | | | 86,282 | |
| | 18,748 | | | Ambuja Cements Ltd. | | | 64,089 | |
| | 38,179 | | | Ashok Leyland Ltd. | | | 69,701 | |
| | 9,090 | | | Asian Paints Ltd. | | | 175,782 | |
| | 7,984 | | | Aurobindo Pharma Ltd. | | | 80,159 | |
| | 3,592 | | | Avenue Supermarts Ltd.*(b) | | | 81,201 | |
| | 437,001 | | | Axis Bank Ltd.* | | | 3,997,706 | |
| | 34,436 | | | Bajaj Auto Ltd. | | | 1,336,256 | |
| | 5,433 | | | Bajaj Finance Ltd. | | | 218,678 | |
| | 1,172 | | | Bajaj Finserv Ltd. | | | 111,549 | |
| | 6,684 | | | Bharat Forge Ltd. | | | 63,956 | |
| | 22,236 | | | Bharat Heavy Electricals Ltd. | | | 25,283 | |
| | 24,342 | | | Bharat Petroleum Corp., Ltd. | | | 123,862 | |
| | 44,185 | | | Bharti Airtel Ltd. | | | 238,566 | |
| | 14,409 | | | Bharti Infratel Ltd. | | | 57,985 | |
| | 224 | | | Bosch Ltd. | | | 69,296 | |
| | 823 | | | Britannia Industries Ltd. | | | 78,197 | |
| | 5,174 | | | Cadila Healthcare Ltd. | | | 29,451 | |
| | 102,680 | | | Cholamandalam Investment and Finance Co., Ltd. | | | 2,132,664 | |
| | 10,212 | | | Cipla Ltd. | | | 95,117 | |
| | 22,484 | | | Coal India Ltd. | | | 90,422 | |
| | 4,876 | | | Container Corp. Of India Ltd. | | | 44,672 | |
| | 17,075 | | | Dabur India Ltd. | | | 115,046 | |
| | 3,889 | | | Dr Reddy’s Laboratories Ltd. | | | 136,610 | |
| | 418 | | | Eicher Motors Ltd. | | | 164,588 | |
| | 22,772 | | | GAIL India Ltd. | | | 119,114 | |
| | 3,495 | | | Glenmark Pharmaceuticals Ltd. | | | 32,796 | |
| | 7,340 | | | Godrej Consumer Products Ltd. | | | 150,277 | |
| | 10,126 | | | Grasim Industries Ltd. | | | 152,844 | |
| | 8,851 | | | Havells India Ltd. | | | 90,456 | |
| | 113,265 | | | HCL Technologies Ltd. | | | 1,666,868 | |
| | 113,500 | | | HDFC Bank Ltd. | | | 3,298,641 | |
| | 38,170 | | | HDFC Bank Ltd., ADR | | | 3,865,476 | |
| | 47,150 | | | Hero MotoCorp Ltd. | | | 2,164,225 | |
| | 32,091 | | | Hindalco Industries Ltd. | | | 107,644 | |
| | 17,031 | | | Hindustan Petroleum Corp., Ltd. | | | 60,842 | |
| | 20,726 | | | Hindustan Unilever Ltd. | | | 518,547 | |
| | 49,170 | | | Housing Development Finance Corp., Ltd. | | | 1,344,635 | |
See Notes to Financial Statements.
141
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | India — 8.7% — (continued) | |
| | 72,879 | | | ICICI Bank Ltd. | | $ | 350,841 | |
| | 59,355 | | | Idea Cellular Ltd.* | | | 41,158 | |
| | 8,567 | | | Indiabulls Housing Finance Ltd., | | | 152,098 | |
| | 43,545 | | | Indian Oil Corp., Ltd. | | | 95,470 | |
| | 54,509 | | | Infosys Ltd. | | | 1,104,610 | |
| | 67,700 | | | Infosys Ltd., ADR | | | 1,406,129 | |
| | 106,692 | | | ITC Ltd. | | | 480,521 | |
| | 25,934 | | | JSW Steel Ltd. | | | 145,235 | |
| | 14,026 | | | Larsen & Toubro Ltd. | | | 270,715 | |
| | 10,062 | | | LIC Housing Finance Ltd. | | | 73,739 | |
| | 7,972 | | | Lupin Ltd. | | | 104,615 | |
| | 10,185 | | | Mahindra & Mahindra Financial Services Ltd. | | | 70,200 | |
| | 23,642 | | | Mahindra & Mahindra Ltd. | | | 321,550 | |
| | 11,385 | | | Marico Ltd. | | | 59,408 | |
| | 3,248 | | | Maruti Suzuki India Ltd. | | | 416,371 | |
| | 18,681 | | | Motherson Sumi Systems Ltd. | | | 80,030 | |
| | 83,302 | | | Motilal Oswal Financial Services Ltd. | | | 980,174 | |
| | 734 | | | Nestle India Ltd. | | | 119,658 | |
| | 56,971 | | | NTPC Ltd. | | | 137,592 | |
| | 40,163 | | | Oil & Natural Gas Corp., Ltd. | | | 101,800 | |
| | 169 | | | Page Industries Ltd.* | | | 82,837 | |
| | 17,509 | | | Petronet LNG Ltd. | | | 61,085 | |
| | 172,000 | | | Phoenix Mills Ltd. | | | 1,545,319 | |
| | 3,761 | | | Pidilite Industries Ltd.* | | | 61,877 | |
| | 2,512 | | | Piramal Enterprises Ltd. | | | 113,585 | |
| | 45,025 | | | Power Grid Corp. of India Ltd. | | | 127,601 | |
| | 76,900 | | | Quess Corp., Ltd., (Restricted, cost — $1,243,328, acquired 2/1/18)*(b)(d) | | | 1,055,608 | |
| | 88,505 | | | Reliance Industries Ltd. | | | 1,544,966 | |
| | 24,982 | | | Rural Electrification Corp., Ltd. | | | 42,175 | |
| | 299 | | | Shree Cement Ltd. | | | 80,218 | |
| | 4,900 | | | Shriram Transport Finance Co., Ltd. | | | 92,549 | |
| | 1,788 | | | Siemens Ltd. | | | 25,692 | |
| | 55,042 | | | State Bank of India* | | | 240,765 | |
| | 28,501 | | | Sun Pharmaceutical Industries Ltd. | | | 261,754 | |
| | 179,632 | | | Tata Consultancy Services Ltd. | | | 5,258,742 | |
| | 48,552 | | | Tata Motors Ltd.* | | | 182,040 | |
| | 28,154 | | | Tata Power Co., Ltd. | | | 30,315 | |
| | 10,143 | | | Tata Steel Ltd. | | | 85,865 | |
| | 14,194 | | | Tech Mahindra Ltd. | | | 153,225 | |
| | 127,566 | | | Titan Co., Ltd. | | | 1,605,084 | |
| | 3,162 | | | UltraTech Cement Ltd. | | | 198,836 | |
| | 10,646 | | | United Spirits Ltd* | | | 94,851 | |
| | 12,511 | | | UPL Ltd. | | | 125,726 | |
| | 42,900 | | | Vedanta Ltd. | | | 137,976 | |
| | 37,509 | | | Wipro Ltd. | | | 158,510 | |
| | 51,506 | | | Yes Bank Ltd. | | | 248,961 | |
| | 14,516 | | | Zee Entertainment Enterprises Ltd. | | | 102,225 | |
| | | | | | | | |
| | | | Total India | | | 43,489,784 | |
| | | | | | | | |
| | Indonesia — 2.9% | |
| | 482,500 | | | Adaro Energy Tbk PT | | | 61,129 | |
| | 800 | | | AKR Corporindo Tbk PT | | | 196 | |
| | 3,793,600 | | | Astra International Tbk PT | | | 1,867,803 | |
| | 306,800 | | | Bank Central Asia Tbk PT | | | 516,656 | |
| | 84,900 | | | Bank Danamon Indonesia Tbk PT | | | 39,197 | |
| | 6,751,824 | | | Bank Mandiri Persero Tbk PT | | | 3,167,633 | |
See Notes to Financial Statements.
142
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Indonesia — 2.9% — (continued) | |
| | 241,100 | | | Bank Negara Indonesia Persero Tbk PT | | $ | 127,909 | |
| | 12,043,600 | | | Bank Rakyat Indonesia Persero Tbk PT | | | 2,611,115 | |
| | 7,120,000 | | | Bank Tabungan Pensiunan Nasional Syariah Tbk PT* | | | 787,944 | |
| | 192,800 | | | Bumi Serpong Damai Tbk PT* | | | 15,714 | |
| | 269,500 | | | Charoen Pokphand Indonesia Tbk PT | | | 91,054 | |
| | 14,300 | | | Gudang Garam Tbk PT | | | 70,884 | |
| | 313,800 | | | Hanjaya Mandala Sampoerna Tbk PT | | | 81,495 | |
| | 92,900 | | | Indah Kiat Pulp & Paper Corp. Tbk PT | | | 120,481 | |
| | 72,000 | | | Indocement Tunggal Prakarsa Tbk PT | | | 86,669 | |
| | 58,600 | | | Indofood CBP Sukses Makmur Tbk PT | | | 34,292 | |
| | 146,800 | | | Indofood Sukses Makmur Tbk PT | | | 63,482 | |
| | 54,967 | | | Jasa Marga Persero Tbk PT | | | 16,908 | |
| | 715,400 | | | Kalbe Farma Tbk PT | | | 65,332 | |
| | 898,000 | | | Link Net Tbk PT | | | 262,096 | |
| | 69,778 | | | Matahari Department Store Tbk PT | | | 35,544 | |
| | 615,200 | | | Pakuwon Jati Tbk PT | | | 21,522 | |
| | 275,400 | | | Perusahaan Gas Negara Persero Tbk | | | 40,045 | |
| | 1,751,800 | | | Semen Indonesia Persero Tbk PT | | | 1,124,895 | |
| | 254,800 | | | Surya Citra Media Tbk PT | | | 36,342 | |
| | 1,570,287 | | | Telekomunikasi Indonesia Persero Tbk PT | | | 372,195 | |
| | 96,950 | | | Telekomunikasi Indonesia Persero Tbk PT, ADR | | | 2,294,807 | |
| | 60,800 | | | Tower Bersama Infrastructure Tbk PT | | | 22,913 | |
| | 42,300 | | | Unilever Indonesia Tbk PT | | | 125,865 | |
| | 59,700 | | | United Tractors Tbk PT | | | 139,424 | |
| | 119,000 | | | Waskita Karya Persero Tbk PT | | | 15,324 | |
| | | | | | | | |
| | | | Total Indonesia | | | 14,316,865 | |
| | | | | | | | |
| | Kenya — 0.3% | |
| | 4,499,000 | | | Safaricom PLC | | | 1,296,033 | |
| | | | | | | | |
| | Luxembourg — 0.0% | |
| | 4,473 | | | Reinet Investments SCA | | | 86,721 | |
| | | | | | | | |
| | Malaysia — 1.5% | |
| | 46,100 | | | AirAsia Group Bhd | | | 38,111 | |
| | 25,600 | | | Alliance Bank Malaysia Bhd | | | 25,702 | |
| | 46,100 | | | AMMB Holdings Bhd | | | 45,992 | |
| | 38,800 | | | Astro Malaysia Holdings Bhd | | | 16,437 | |
| | 94,700 | | | Axiata Group Bhd | | | 108,470 | |
| | 117,653 | | | British American Tobacco Malaysia Bhd | | | 969,439 | |
| | 144,107 | | | CIMB Group Holdings Bhd | | | 210,273 | |
| | 118,300 | | | Dialog Group Bhd | | | 100,190 | |
| | 88,600 | | | DiGi.Com Bhd | | | 101,557 | |
| | 32,100 | | | FGV Holdings Bhd | | | 11,796 | |
| | 52,500 | | | Gamuda Bhd | | | 46,455 | |
| | 70,400 | | | Genting Bhd | | | 147,621 | |
| | 101,600 | | | Genting Malaysia Bhd | | | 129,101 | |
| | 5,900 | | | Genting Plantations Bhd | | | 13,529 | |
| | 20,100 | | | HAP Seng Consolidated Bhd | | | 48,079 | |
| | 47,100 | | | Hartalega Holdings Bhd | | | 81,394 | |
| | 21,000 | | | Hong Leong Bank Bhd | | | 105,066 | |
| | 10,600 | | | Hong Leong Financial Group Bhd | | | 50,593 | |
| | 77,100 | | | IHH Healthcare Bhd | | | 104,693 | |
| | 121,100 | | | IJM Corp. Bhd | | | 55,108 | |
| | 56,900 | | | IOI Corp. Bhd | | | 62,276 | |
| | 48,750 | | | IOI Properties Group Bhd* | | | 20,742 | |
| | 13,100 | | | Kuala Lumpur Kepong Bhd | | | 78,484 | |
See Notes to Financial Statements.
143
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Malaysia — 1.5% — (continued) | |
| | 116,909 | | | Malayan Banking Bhd | | $ | 283,359 | |
| | 1,194,400 | | | Malaysia Airports Holdings Bhd | | | 2,717,331 | |
| | 66,200 | | | Maxis Bhd | | | 93,118 | |
| | 36,500 | | | MISC Bhd | | | 52,669 | |
| | 1,700 | | | Nestle Malaysia Bhd | | | 60,748 | |
| | 78,600 | | | Petronas Chemicals Group Bhd | | | 180,942 | |
| | 10,700 | | | Petronas Dagangan Bhd | | | 70,596 | |
| | 20,700 | | | Petronas Gas Bhd | | | 94,203 | |
| | 20,400 | | | PPB Group Bhd | | | 83,336 | |
| | 37,500 | | | Press Metal Aluminium Holdings Bhd | | | 45,447 | |
| | 90,900 | | | Public Bank Bhd | | | 555,401 | |
| | 36,700 | | | RHB Bank Bhd | | | 48,229 | |
| | 77,200 | | | Sime Darby Bhd | | | 47,904 | |
| | 77,200 | | | Sime Darby Plantation Bhd | | | 100,698 | |
| | 149,000 | | | Sime Darby Property Bhd | | | 45,688 | |
| | 59,600 | | | SP Setia Bhd Group | | | 38,144 | |
| | 28,900 | | | Telekom Malaysia Bhd | | | 23,280 | |
| | 94,700 | | | Tenaga Nasional Bhd | | | 360,942 | |
| | 11,800 | | | UMW Holdings Bhd | | | 17,057 | |
| | 25,800 | | | Westports Holdings Bhd | | | 23,335 | |
| | 170,850 | | | YTL Corp. Bhd | | | 55,299 | |
| | | | | | | | |
| | | | Total Malaysia | | | 7,568,834 | |
| | | | | | | | |
| | Mexico — 3.1% | |
| | 100,741 | | | Alfa SAB de CV, Class A Shares | | | 132,767 | |
| | 203,009 | | | América Móvil SAB de CV, Class L Shares, ADR | | | 3,404,461 | |
| | 1,050,563 | | | América Móvil SAB de CV, Series L | | | 883,972 | |
| | 16,041 | | | Arca Continental SAB de CV | | | 99,235 | |
| | 1,623 | | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, ADR | | | 12,741 | |
| | 60,579 | | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, Class B Shares | | | 96,014 | |
| | 448,462 | | | Cemex SAB de CV, Class Preferred Shares* | | | 317,940 | |
| | 14,105 | | | Coca-Cola Femsa SAB de CV, Series L | | | 84,917 | |
| | 7,753 | | | El Puerto de Liverpool SAB de CV, Class C1 Shares | | | 54,738 | |
| | 94,483 | | | Fibra Uno Administracion SA de CV, REIT | | | 123,679 | |
| | 60,098 | | | Fomento Economico Mexicano SAB de CV | | | 575,853 | |
| | 7,456 | | | Gruma SAB de CV, Class B Shares | | | 94,363 | |
| | 10,314 | | | Grupo Aeroportuario del Pacifico SAB de CV, Class B Shares | | | 106,610 | |
| | 6,547 | | | Grupo Aeroportuario del Sureste SAB de CV, Class B Shares | | | 122,816 | |
| | 52,666 | | | Grupo Bimbo SAB de CV, Series A | | | 110,001 | |
| | 14,300 | | | Grupo Carso SAB de CV, Series A1 | | | 53,124 | |
| | 78,028 | | | Grupo Financiero Banorte SAB de CV, Class O Shares | | | 532,389 | |
| | 69,598 | | | Grupo Financiero Inbursa SAB de CV, Class O Shares | | | 110,782 | |
| | 557,642 | | | Grupo México SAB de CV, Series B | | | 1,632,472 | |
| | 76,127 | | | Grupo Televisa SAB | | | 274,597 | |
| | 4,075 | | | Industrias Peñoles SAB de CV | | | 69,061 | |
| | 17,432 | | | Infraestructura Energetica Nova SAB de CV | | | 81,353 | |
| | 703,648 | | | Kimberly-Clark de México SAB de CV, Class A Shares | | | 1,239,033 | |
| | 34,823 | | | Mexichem SAB de CV, Class A Shares | | | 117,550 | |
| | 6,730 | | | Promotora y Operadora de Infraestructura SAB de CV | | | 71,551 | |
| | 487,000 | | | Qualitas Controladora SAB de CV | | | 1,214,536 | |
| | 270,100 | | | Regional SAB de CV | | | 1,655,801 | |
| | 679,080 | | | Unifin Financiera SAB de CV SOFOM ENR | | | 1,733,034 | |
| | 163,011 | | | Wal-Mart de Mexico SAB de CV | | | 451,516 | |
| | | | | | | | |
| | | | Total Mexico | | | 15,456,906 | |
| | | | | | | | |
See Notes to Financial Statements.
144
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Pakistan — 0.5% | |
| | 432,635 | | | Habib Bank Ltd. | | $ | 529,583 | |
| | 3,299 | | | Lucky Cement Ltd. | | | 14,508 | |
| | 22,300 | | | MCB Bank Ltd. | | | 36,289 | |
| | 340,562 | | | Oil & Gas Development Co., Ltd. | | | 420,995 | |
| | 767,616 | | | Pakistan Petroleum Ltd. | | | 1,298,555 | |
| | 12,400 | | | United Bank Ltd. | | | 16,031 | |
| | | | | | | | |
| | | | Total Pakistan | | | 2,315,961 | |
| | | | | | | | |
| | Peru — 0.4% | |
| | 5,924 | | | Cia de Minas Buenaventura SAA, ADR | | | 74,583 | |
| | 8,042 | | | Credicorp Ltd. | | | 1,753,317 | |
| | 2,502 | | | Southern Copper Corp. | | | 109,187 | |
| | | | | | | | |
| | | | Total Peru | | | 1,937,087 | |
| | | | | | | | |
| | Philippines — 1.9% | |
| | 66,680 | | | Aboitiz Equity Ventures Inc. | | | 66,049 | |
| | 37,300 | | | Aboitiz Power Corp. | | | 25,803 | |
| | 110,700 | | | Alliance Global Group Inc.* | | | 28,576 | |
| | 8,160 | | | Ayala Corp. | | | 152,585 | |
| | 3,482,050 | | | Ayala Land Inc. | | | 2,897,526 | |
| | 47,778 | | | Bank of the Philippine Islands | | | 83,772 | |
| | 73,164 | | | BDO Unibank Inc. | | | 178,122 | |
| | 10,371,900 | | | Bloomberry Resorts Corp. | | | 1,852,602 | |
| | 101,900 | | | DMCI Holdings Inc. | | | 24,394 | |
| | 845 | | | Globe Telecom Inc. | | | 33,413 | |
| | 2,593 | | | GT Capital Holdings Inc. | | | 42,476 | |
| | 1,013,540 | | | International Container Terminal Services Inc. | | | 1,774,502 | |
| | 80,180 | | | JG Summit Holdings Inc. | | | 89,976 | |
| | 14,790 | | | Jollibee Foods Corp. | | | 79,654 | |
| | 284,600 | | | Megaworld Corp. | | | 24,434 | |
| | 419,500 | | | Metro Pacific Investments Corp. | | | 42,765 | |
| | 20,311 | | | Metropolitan Bank & Trust Co. | | | 27,819 | |
| | 2,465 | | | PLDT Inc. | | | 64,525 | |
| | 41,376 | | | PLDT Inc., ADR(a) | | | 1,084,879 | |
| | 52,523 | | | Robinsons Land Corp. | | | 20,930 | |
| | 371,000 | | | Robinsons Retail Holdings Inc. | | | 566,055 | |
| | 6,820 | | | Security Bank Corp. | | | 24,831 | |
| | 6,870 | | | SM Investments Corp. | | | 124,040 | |
| | 305,400 | | | SM Prime Holdings Inc. | �� | | 222,821 | |
| | 29,910 | | | Universal Robina Corp. | | | 78,023 | |
| | | | | | | | |
| | | | Total Philippines | | | 9,610,572 | |
| | | | | | | | |
| | Poland — 0.6% | |
| | 3,146 | | | Alior Bank SA* | | | 57,735 | |
| | 839 | | | Bank Handlowy w Warszawie SA | | | 15,386 | |
| | 25,257 | | | Bank Millennium SA* | | | 61,211 | |
| | 4,933 | | | Bank Polska Kasa Opieki SA | | | 155,551 | |
| | 1,001 | | | Bank Zachodni WBK SA | | | 101,640 | |
| | 1,144 | | | CCC SA | | | 66,513 | |
| | 1,925 | | | CD Projekt SA* | | | 106,874 | |
| | 6,582 | | | Cyfrowy Polsat SA* | | | 39,936 | |
| | 1,402 | | | Dino Polska SA*(b) | | | 34,526 | |
| | 1,123 | | | Grupa Azoty SA | | | 11,508 | |
| | 3,817 | | | Grupa Lotos SA | | | 71,946 | |
| | 2,355 | | | Jastrzebska Spolka Weglowa SA* | | | 48,887 | |
| | 4,727 | | | KGHM Polska Miedz SA* | | | 115,708 | |
| | 16,674 | | | KRUK SA | | | 931,436 | |
See Notes to Financial Statements.
145
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Poland — 0.6% — (continued) | |
| | 37 | | | LPP SA | | $ | 91,869 | |
| | 371 | | | mBank SA | | | 41,016 | |
| | 16,889 | | | Orange Polska SA* | | | 22,157 | |
| | 21,259 | | | PGE Polska Grupa Energetyczna SA* | | | 51,601 | |
| | 3,266 | | | PLAY Communications SA(b) | | | 19,115 | |
| | 8,984 | | | Polski Koncern Naftowy ORLEN SA | | | 237,967 | |
| | 56,283 | | | Polskie Gornictwo Naftowe i Gazownictwo SA | | | 88,350 | |
| | 26,972 | | | Powszechna Kasa Oszczednosci Bank Polski SA | | | 307,393 | |
| | 18,114 | | | Powszechny Zaklad Ubezpieczen SA | | | 218,352 | |
| | | | | | | | |
| | | | Total Poland | | | 2,896,677 | |
| | | | | | | | |
| | Qatar — 0.3% | |
| | 4,942 | | | Barwa Real Estate Co. | | | 48,871 | |
| | 6,934 | | | Commercial Bank QSC | | | 74,958 | |
| | 24,295 | | | Ezdan Holding Group QSC* | | | 69,023 | |
| | 5,423 | | | Industries Qatar QSC | | | 184,668 | |
| | 11,103 | | | Masraf Al Rayan QSC | | | 114,949 | |
| | 2,589 | | | Ooredoo QPSC | | | 52,046 | |
| | 1,485 | | | Qatar Electricity & Water Co. QSC | | | 78,059 | |
| | 5,483 | | | Qatar Insurance Co. SAQ | | | 55,443 | |
| | 4,186 | | | Qatar Islamic Bank SAQ | | | 160,980 | |
| | 13,945 | | | Qatar National Bank QPSC | | | 681,692 | |
| | | | | | | | |
| | | | Total Qatar | | | 1,520,689 | |
| | | | | | | | |
| | Romania — 0.0% | |
| | 11,452 | | | NEPI Rockcastle PLC | | | 109,097 | |
| | | | | | | | |
| | Russia — 4.6% | |
| | 1,113,749 | | | Alrosa PJSC | | | 1,672,648 | |
| | 331,497 | | | Gazprom PJSC | | | 736,289 | |
| | 403,036 | | | Gazprom PJSC, ADR | | | 1,778,946 | |
| | 940,688 | | | Inter RAO UES PJSC | | | 56,293 | |
| | 13,303 | | | Lukoil PJSC | | | 926,224 | |
| | 42,517 | | | Lukoil PJSC, ADR | | | 2,936,224 | |
| | 93,906 | | | Magnit PJSC, Class Registered Shares, GDR | | | 1,389,648 | |
| | 1,933 | | | MMC Norilsk Nickel PJSC | | | 321,253 | |
| | 268,556 | | | Mobile TeleSystems PJSC, ADR | | | 2,081,309 | |
| | 51,000 | | | Moscow Exchange MICEX-RTS PJSC | | | 74,062 | |
| | 2,772 | | | Novatek PJSC, Class Registered Shares, GDR | | | 463,451 | |
| | 52,100 | | | Novolipetsk Steel PJSC | | | 127,843 | |
| | 3,394 | | | PhosAgro PJSC, Class Registered Shares, GDR | | | 44,978 | |
| | 763 | | | Polyus PJSC | | | 49,423 | |
| | 27,023 | | | Rosneft Oil Co. PJSC | | | 174,399 | |
| | 3,540,320 | | | RusHydro PJSC | | | 33,399 | |
| | 2,049,588 | | | Sberbank of Russia PJSC | | | 5,525,355 | |
| | 209,477 | | | Sberbank of Russia PJSC, ADR | | | 2,286,550 | |
| | 7,032 | | | Severstal PJSC | | | 113,128 | |
| | 208,839 | | | Surgutneftegas PJSC | | | 88,904 | |
| | 48,461 | | | Tatneft PJSC | | | 562,123 | |
| | 119,395,647 | | | VTB Bank PJSC | | | 73,189 | |
| | 3,506 | | | X5 Retail Group NV, Class Registered Shares, GDR | | | 82,633 | |
| | 46,420 | | | Yandex NV, Class A Shares* | | | 1,491,474 | |
| | | | | | | | |
| | | | Total Russia | | | 23,089,745 | |
| | | | | | | | |
| | Singapore — 0.0% | |
| | 6,000 | | | BOC Aviation Ltd.(b) | | | 43,930 | |
| | | | | | | | |
See Notes to Financial Statements.
146
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | South Africa — 6.5% | |
| | 21,850 | | | Absa Group Ltd. | | $ | 241,495 | |
| | 635,700 | | | Advtech Ltd. | | | 659,545 | |
| | 1,362 | | | Anglo American Platinum Ltd. | | | 39,836 | |
| | 11,988 | | | AngloGold Ashanti Ltd. | | | 95,428 | |
| | 12,321 | | | Aspen Pharmacare Holdings Ltd. | | | 244,207 | |
| | 10,547 | | | Bid Corp., Ltd. | | | 224,986 | |
| | 111,509 | | | Bidvest Group Ltd. | | | 1,638,057 | |
| | 1,307 | | | Capitec Bank Holdings Ltd. | | | 89,229 | |
| | 8,742 | | | Clicks Group Ltd. | | | 120,851 | |
| | 5,703 | | | Coronation Fund Managers Ltd. | | | 22,327 | |
| | 11,986 | | | Discovery Ltd. | | | 142,819 | |
| | 9,056 | | | Exxaro Resources Ltd. | | | 91,813 | |
| | 106,002 | | | FirstRand Ltd. | | | 510,596 | |
| | 39,637 | | | Fortress REIT Ltd., Class A Shares | | | 44,490 | |
| | 27,279 | | | Fortress REIT Ltd., Class B Shares | | | 29,323 | |
| | 6,660 | | | Foschini Group Ltd. | | | 79,078 | |
| | 27,102 | | | Gold Fields Ltd. | | | 66,445 | |
| | 93,869 | | | Growthpoint Properties Ltd., REIT | | | 162,440 | |
| | 7,453 | | | Hyprop Investments Ltd., REIT | | | 51,741 | |
| | 120,550 | | | Imperial Holdings Ltd. | | | 1,690,237 | |
| | 7,975 | | | Investec Ltd. | | | 52,199 | |
| | 4,363 | | | Liberty Holdings Ltd. | | | 34,575 | |
| | 624,967 | | | Life Healthcare Group Holdings Ltd. | | | 1,133,570 | |
| | 26,001 | | | MMI Holdings Ltd. | | | 30,345 | |
| | 8,026 | | | Mr Price Group Ltd. | | | 122,975 | |
| | 52,120 | | | MTN Group Ltd. | | | 315,419 | |
| | 39,419 | | | Naspers Ltd., Class N Shares | | | 8,749,922 | |
| | 89,154 | | | Nedbank Group Ltd.(a) | | | 1,685,401 | |
| | 40,486 | | | Netcare Ltd. | | | 80,887 | |
| | 154,212 | | | Old Mutual Ltd.* | | | 318,925 | |
| | 13,023 | | | Pick n Pay Stores Ltd. | | | 64,264 | |
| | 3,220 | | | Pioneer Foods Group Ltd. | | | 23,130 | |
| | 1,154,121 | | | PPC Ltd.* | | | 481,941 | |
| | 4,079 | | | PSG Group Ltd. | | | 62,434 | |
| | 20,832 | | | Rand Merchant Investment Holdings Ltd. | | | 57,905 | |
| | 170,225 | | | Redefine Properties Ltd., REIT | | | 119,933 | |
| | 16,875 | | | Remgro Ltd. | | | 246,104 | |
| | 8,617 | | | Resilient REIT Ltd. | | | 33,421 | |
| | 20,754 | | | RMB Holdings Ltd. | | | 118,981 | |
| | 328,134 | | | Sanlam Ltd. | | | 1,774,062 | |
| | 15,522 | | | Sappi Ltd. | | | 106,026 | |
| | 16,867 | | | Sasol Ltd. | | | 659,961 | |
| | 185,685 | | | Shoprite Holdings Ltd. | | | 2,576,581 | |
| | 5,711 | | | SPAR Group Ltd. | | | 79,639 | |
| | 164,643 | | | Standard Bank Group Ltd. | | | 2,086,097 | |
| | 6,698 | | | Telkom SA SOC Ltd. | | | 22,931 | |
| | 5,328 | | | Tiger Brands Ltd. | | | 103,840 | |
| | 1,534,173 | | | Transaction Capital Ltd. | | | 1,826,927 | |
| | 13,988 | | | Truworths International Ltd. | | | 81,973 | |
| | 208,405 | | | Vodacom Group Ltd. | | | 1,791,693 | |
| | 325,550 | | | Woolworths Holdings Ltd. | | | 1,200,830 | |
| | | | | | | | |
| | | | Total South Africa | | | 32,287,834 | |
| | | | | | | | |
| | South Korea — 10.9% | |
| | 976 | | | Amorepacific Corp.(a) | | | 230,022 | |
| | 981 | | | AMOREPACIFIC Group | | | 84,731 | |
See Notes to Financial Statements.
147
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | South Korea — 10.9% — (continued) | |
| | 217 | | | BGF retail Co., Ltd. | | $ | 33,361 | |
| | 7,996 | | | BNK Financial Group Inc. | | | 59,782 | |
| | 995 | | | Celltrion Healthcare Co., Ltd.*(a) | | | 80,760 | |
| | 2,554 | | | Celltrion Inc.*(a) | | | 618,180 | |
| | 2,917 | | | Cheil Worldwide Inc. | | | 50,383 | |
| | 238 | | | CJ CheilJedang Corp. | | | 73,036 | |
| | 488 | | | CJ Corp. | | | 57,746 | |
| | 353 | | | CJ ENM Co., Ltd. | | | 79,745 | |
| | 248 | | | CJ Logistics Corp.* | | | 34,143 | |
| | 27,342 | | | Coway Co., Ltd. | | | 2,236,155 | |
| | 950 | | | Daelim Industrial Co., Ltd. | | | 69,707 | |
| | 6,935 | | | Daewoo Engineering & Construction Co., Ltd.* | | | 32,577 | |
| | 1,584 | | | DB Insurance Co., Ltd. | | | 90,797 | |
| | 4,444 | | | DGB Financial Group Inc. | | | 40,835 | |
| | 1,822 | | | Dongsuh Cos., Inc. | | | 36,953 | |
| | 1,818 | | | Doosan Heavy Industries & Construction Co., Ltd.* | | | 23,034 | |
| | 674 | | | E-MART Inc. | | | 129,521 | |
| | 1,746 | | | GS Engineering & Construction Corp. | | | 74,907 | |
| | 1,673 | | | GS Holdings Corp. | | | 79,638 | |
| | 684 | | | GS Retail Co., Ltd. | | | 22,801 | |
| | 9,106 | | | Hana Financial Group Inc. | | | 347,927 | |
| | 2,119 | | | Hankook Tire Co., Ltd. | | | 88,380 | |
| | 179 | | | Hanmi Pharm Co., Ltd. | | | 79,832 | |
| | 319 | | | Hanmi Science Co., Ltd. | | | 24,861 | |
| | 7,053 | | | Hanon Systems | | | 75,873 | |
| | 268 | | | Hanssem Co., Ltd. | | | 19,814 | |
| | 3,358 | | | Hanwha Chemical Corp. | | | 60,914 | |
| | 1,147 | | | Hanwha Corp. | | | 32,749 | |
| | 245,107 | | | Hanwha Life Insurance Co., Ltd. | | | 1,064,136 | |
| | 1,158 | | | HDC Hyundai Development Co-Engineering & Construction, Class E Shares* | | | 58,030 | |
| | 889 | | | HLB Inc.* | | | 83,144 | |
| | 1,026 | | | Hotel Shilla Co., Ltd. | | | 99,261 | |
| | 403 | | | Hyundai Department Store Co., Ltd. | | | 35,983 | |
| | 2,491 | | | Hyundai Engineering & Construction Co., Ltd. | | | 133,985 | |
| | 569 | | | Hyundai Glovis Co., Ltd. | | | 61,672 | |
| | 1,264 | | | Hyundai Heavy Industries Co., Ltd.* | | | 133,709 | |
| | 330 | | | Hyundai Heavy Industries Holdings Co., Ltd.* | | | 111,593 | |
| | 2,170 | | | Hyundai Marine & Fire Insurance Co., Ltd. | | | 72,349 | |
| | 13,989 | | | Hyundai Mobis Co., Ltd. | | | 2,802,353 | |
| | 4,565 | | | Hyundai Motor Co. | | | 510,593 | |
| | 2,277 | | | Hyundai Steel Co. | | | 108,748 | |
| | 7,803 | | | Industrial Bank of Korea | | | 104,227 | |
| | 1,492 | | | Kakao Corp. | | | 167,059 | |
| | 3,383 | | | Kangwon Land Inc. | | | 87,742 | |
| | 59,762 | | | KB Financial Group Inc. | | | 2,763,578 | |
| | 184 | | | KCC Corp. | | | 53,505 | |
| | 571 | | | KEPCO Plant Service & Engineering Co., Ltd. | | | 18,632 | |
| | 8,291 | | | Kia Motors Corp. | | | 238,213 | |
| | 8,600 | | | Koh Young Technology Inc. | | | 819,525 | |
| | 2,521 | | | Korea Aerospace Industries Ltd.* | | | 94,402 | |
| | 7,576 | | | Korea Electric Power Corp. | | | 207,429 | |
| | 714 | | | Korea Gas Corp.* | | | 33,668 | |
| | 1,278 | | | Korea Investment Holdings Co., Ltd. | | | 81,268 | |
| | 269 | | | Korea Zinc Co., Ltd. | | | 97,409 | |
| | 1,791 | | | Korean Air Lines Co., Ltd. | | | 45,003 | |
| | 18,975 | | | KT&G Corp. | | | 1,717,196 | |
See Notes to Financial Statements.
148
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | South Korea — 10.9% — (continued) | |
| | 672 | | | Kumho Petrochemical Co., Ltd. | | $ | 61,447 | |
| | 1,381 | | | LG Chem Ltd. | | | 452,654 | |
| | 2,934 | | | LG Corp. | | | 187,589 | |
| | 7,331 | | | LG Display Co., Ltd. | | | 139,517 | |
| | 3,468 | | | LG Electronics Inc. | | | 238,797 | |
| | 281 | | | LG Household & Health Care Ltd. | | | 318,660 | |
| | 518 | | | LG Innotek Co., Ltd. | | | 66,466 | |
| | 6,588 | | | LG Uplus Corp.* | | | 92,722 | |
| | 521 | | | Lotte Chemical Corp. | | | 147,589 | |
| | 786 | | | Lotte Corp.* | | | 33,886 | |
| | 312 | | | Lotte Shopping Co., Ltd. | | | 50,345 | |
| | 144 | | | Medy-Tox Inc. | | | 86,465 | |
| | 12,449 | | | Mirae Asset Daewoo Co., Ltd. | | | 91,735 | |
| | 883 | | | NAVER Corp. | | | 595,055 | |
| | 568 | | | NCSoft Corp. | | | 197,194 | |
| | 740 | | | Netmarble Corp.(b) | | | 77,284 | |
| | 5,235 | | | NH Investment & Securities Co., Ltd. | | | 63,120 | |
| | 582 | | | OCI Co., Ltd. | | | 60,261 | |
| | 768 | | | Orion Corp. | | | 73,587 | |
| | 31 | | | Ottogi Corp. | | | 20,119 | |
| | 6,901 | | | Pan Ocean Co., Ltd.* | | | 31,922 | |
| | 2,491 | | | POSCO | | | 726,641 | |
| | 2,278 | | | Posco Daewoo Corp. | | | 37,269 | |
| | 482 | | | S-1 Corp. | | | 37,037 | |
| | 2,126 | | | Samsung Biologics Co., Ltd., (Restricted, cost — $380,699, acquired 5/11/17)*(b)(d) | | | 886,044 | |
| | 2,364 | | | Samsung C&T Corp. | | | 260,665 | |
| | 884 | | | Samsung Card Co., Ltd. | | | 27,900 | |
| | 1,776 | | | Samsung Electro-Mechanics Co., Ltd. | | | 256,330 | |
| | 385,822 | | | Samsung Electronics Co., Ltd. | | | 16,757,576 | |
| | 4,498 | | | Samsung Engineering Co., Ltd.* | | | 67,874 | |
| | 930 | | | Samsung Fire & Marine Insurance Co., Ltd. | | | 220,902 | |
| | 11,179 | | | Samsung Heavy Industries Co., Ltd.* | | | 70,952 | |
| | 2,175 | | | Samsung Life Insurance Co., Ltd. | | | 180,033 | |
| | 11,294 | | | Samsung SDI Co., Ltd. | | | 2,386,841 | |
| | 1,058 | | | Samsung SDS Co., Ltd. | | | 230,000 | |
| | 2,009 | | | Samsung Securities Co., Ltd. | | | 58,211 | |
| | 97,700 | | | Shinhan Financial Group Co., Ltd. | | | 3,834,302 | |
| | 241 | | | Shinsegae Inc. | | | 70,055 | |
| | 1,518 | | | SillaJen Inc.*(a) | | | 104,038 | |
| | 945 | | | SK Holdings Co., Ltd. | | | 222,685 | |
| | 93,891 | | | SK Hynix Inc. | | | 6,977,707 | |
| | 1,972 | | | SK Innovation Co., Ltd. | | | 341,025 | |
| | 674 | | | SK Telecom Co., Ltd. | | | 158,301 | |
| | 1,537 | | | S-Oil Corp. | | | 164,654 | |
| | 389 | | | ViroMed Co., Ltd.* | | | 82,848 | |
| | 15,205 | | | Woori Bank | | | 221,997 | |
| | 315 | | | Yuhan Corp. | | | 67,488 | |
| | | | | | | | |
| | | | Total South Korea | | | 54,309,365 | |
| | | | | | | | |
| | Spain — 0.8% | |
| | 126,571 | | | CIE Automotive SA | | | 3,883,581 | |
| | | | | | | | |
| | Switzerland — 0.2% | |
| | 29,300 | | | Wizz Air Holdings PLC, (Restricted, cost — $627,075, acquired 7/21/16)*(b)(d) | | | 1,205,336 | |
| | | | | | | | |
See Notes to Financial Statements.
149
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Taiwan — 7.5% | |
| | 100,000 | | | Acer Inc.* | | $ | 83,774 | |
| | 8,799 | | | Advantech Co., Ltd. | | | 59,959 | |
| | 4,000 | | | Airtac International Group | | | 38,468 | |
| | 108,498 | | | ASE Technology Holding Co., Ltd.* | | | 266,368 | |
| | 60,000 | | | Asia Cement Corp. | | | 81,867 | |
| | 20,000 | | | Asustek Computer Inc. | | | 170,200 | |
| | 267,000 | | | AU Optronics Corp. | | | 115,586 | |
| | 310,100 | | | Basso Industry Corp. | | | 606,880 | |
| | 20,000 | | | Catcher Technology Co., Ltd. | | | 245,467 | |
| | 248,000 | | | Cathay Financial Holding Co., Ltd. | | | 425,833 | |
| | 37,740 | | | Chailease Holding Co., Ltd. | | | 128,575 | |
| | 131,334 | | | Chang Hwa Commercial Bank Ltd.* | | | 81,700 | |
| | 67,000 | | | Cheng Shin Rubber Industry Co., Ltd. | | | 102,457 | |
| | 13,130 | | | Chicony Electronics Co., Ltd. | | | 27,619 | |
| | 67,000 | | | China Airlines Ltd. | | | 20,526 | |
| | 404,000 | | | China Development Financial Holding Corp. | | | 146,214 | |
| | 82,033 | | | China Life Insurance Co., Ltd. | | | 81,757 | |
| | 397,000 | | | China Steel Corp. | | | 325,561 | |
| | 387,900 | | | Chroma ATE Inc. | | | 2,143,384 | |
| | 121,000 | | | Chunghwa Telecom Co., Ltd. | | | 428,075 | |
| | 139,000 | | | Compal Electronics Inc. | | | 87,238 | |
| | 545,880 | | | CTBC Financial Holding Co., Ltd. | | | 384,430 | |
| | 62,000 | | | Delta Electronics Inc. | | | 248,615 | |
| | 297,259 | | | E.Sun Financial Holding Co., Ltd. | | | 218,757 | |
| | 5,100 | | | Eclat Textile Co., Ltd. | | | 62,019 | |
| | 52,993 | | | Eva Airways Corp.* | | | 26,954 | |
| | 97,660 | | | Evergreen Marine Corp. Taiwan Ltd. | | | 41,553 | |
| | 121,000 | | | Far Eastern New Century Corp. | | | 141,026 | |
| | 41,000 | | | Far EasTone Telecommunications Co., Ltd. | | | 97,816 | |
| | 11,000 | | | Feng TAY Enterprise Co., Ltd. | | | 66,534 | |
| | 250,837 | | | First Financial Holding Co., Ltd. | | | 168,143 | |
| | 112,000 | | | Formosa Chemicals & Fibre Corp. | | | 448,302 | |
| | 36,000 | | | Formosa Petrochemical Corp. | | | 147,605 | |
| | 134,000 | | | Formosa Plastics Corp. | | | 490,544 | |
| | 39,000 | | | Formosa Taffeta Co., Ltd. | | | 45,388 | |
| | 31,230 | | | Foxconn Technology Co., Ltd. | | | 79,248 | |
| | 204,000 | | | Fubon Financial Holding Co., Ltd. | | | 338,540 | |
| | 5,000 | | | General Interface Solution Holding Ltd. | | | 31,048 | |
| | 11,000 | | | Giant Manufacturing Co., Ltd. | | | 47,467 | |
| | 7,000 | | | Globalwafers Co., Ltd. | | | 89,455 | |
| | 152,920 | | | Gourmet Master Co., Ltd. | | | 1,095,370 | |
| | 21,000 | | | Highwealth Construction Corp. | | | 34,167 | |
| | 7,459 | | | Hiwin Technologies Corp. | | | 67,338 | |
| | 1,350,825 | | | Hon Hai Precision Industry Co., Ltd. | | | 3,536,090 | |
| | 8,000 | | | Hotai Motor Co., Ltd. | | | 69,234 | |
| | 17,000 | | | HTC Corp.* | | | 24,721 | |
| | 205,088 | | | Hua Nan Financial Holdings Co., Ltd. | | | 120,400 | |
| | 268,000 | | | Innolux Corp. | | | 100,047 | |
| | 79,000 | | | Inventec Corp. | | | 70,882 | |
| | 3,541 | | | Largan Precision Co., Ltd. | | | 542,993 | |
| | 61,264 | | | Lite-On Technology Corp., | | | 73,807 | |
| | 53,040 | | | Macronix International | | | 57,056 | |
| | 47,000 | | | MediaTek Inc. | | | 384,840 | |
| | 332,000 | | | Mega Financial Holding Co., Ltd. | | | 279,552 | |
| | 22,000 | | | Micro-Star International Co., Ltd. | | | 76,142 | |
| | 155,000 | | | Nan Ya Plastics Corp. | | | 431,353 | |
See Notes to Financial Statements.
150
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Taiwan — 7.5% — (continued) | |
| | 30,000 | | | Nanya Technology Corp. | | $ | 68,158 | |
| | 7,000 | | | Nien Made Enterprise Co., Ltd. | | | 54,256 | |
| | 20,000 | | | Novatek Microelectronics Corp. | | | 97,876 | |
| | 63,000 | | | Pegatron Corp. | | | 135,738 | |
| | 4,000 | | | Phison Electronics Corp. | | | 33,125 | |
| | 56,000 | | | Pou Chen Corp. | | | 61,805 | |
| | 24,000 | | | Powertech Technology Inc. | | | 71,253 | |
| | 158,660 | | | Poya International Co., Ltd. | | | 1,629,385 | |
| | 16,539 | | | President Chain Store Corp. | | | 180,653 | |
| | 86,000 | | | Quanta Computer Inc. | | | 148,004 | |
| | 16,000 | | | Realtek Semiconductor Corp. | | | 77,718 | |
| | 25,200 | | | Ruentex Development Co., Ltd. | | | 28,429 | |
| | 24,000 | | | Ruentex Industries Ltd. | | | 49,297 | |
| | 263,000 | | | Shin Kong Financial Holding Co., Ltd.* | | | 104,183 | |
| | 331,846 | | | SinoPac Financial Holdings Co., Ltd. | | | 121,784 | |
| | 16,629 | | | Standard Foods Corp. | | | 28,173 | |
| | 49,700 | | | Synnex Technology International Corp. | | | 66,599 | |
| | 192,000 | | | TaiMed Biologics Inc.* | | | 1,430,373 | |
| | 271,963 | | | Taishin Financial Holding Co., Ltd. | | | 128,095 | |
| | 104,905 | | | Taiwan Business Bank* | | | 37,967 | |
| | 127,600 | | | Taiwan Cement Corp. | | | 176,705 | |
| | 271,337 | | | Taiwan Cooperative Financial Holding Co., Ltd. | | | 161,462 | |
| | 73,000 | | | Taiwan High Speed Rail Corp. | | | 61,568 | |
| | 54,000 | | | Taiwan Mobile Co., Ltd. | | | 188,411 | |
| | 1,749,582 | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | 14,692,985 | |
| | 75,000 | | | Teco Electric and Machinery Co., Ltd. | | | 55,022 | |
| | 148,000 | | | Uni-President Enterprises Corp. | | | 374,220 | |
| | 383,000 | | | United Microelectronics Corp. | | | 216,190 | |
| | 23,000 | | | Vanguard International Semiconductor Corp. | | | 55,644 | |
| | 11,000 | | | Walsin Technology Corp. | | | 112,718 | |
| | 10,000 | | | Win Semiconductors Corp. | | | 54,136 | |
| | 84,000 | | | Winbond Electronics Corp. | | | 47,236 | |
| | 80,361 | | | Wistron Corp. | | | 56,987 | |
| | 53,000 | | | WPG Holdings Ltd. | | | 67,224 | |
| | 8,188 | | | Yageo Corp. | | | 185,198 | |
| | 326,000 | | | Yuanta Financial Holding Co., Ltd. | | | 165,278 | |
| | 20,000 | | | Zhen Ding Technology Holding Ltd. | | | 51,247 | |
| | | | | | | | |
| | | | Total Taiwan | | | 37,080,046 | |
| | | | | | | | |
| | Thailand — 2.2% | |
| | 32,300 | | | Advanced Info Service PCL, NVDR | | | 199,141 | |
| | 133,200 | | | Airports of Thailand PCL, NVDR | | | 271,597 | |
| | 14,400 | | | Bangkok Bank PCL, Class Registered Shares | | | 91,547 | |
| | 123,700 | | | Bangkok Dusit Medical Services PCL, NVDR(a) | | | 99,200 | |
| | 259,800 | | | Bangkok Expressway & Metro PCL, NVDR | | | 66,682 | |
| | 62,000 | | | Banpu PCL, NVDR | | | 38,453 | |
| | 34,400 | | | Berli Jucker PCL, NVDR | | | 60,953 | |
| | 220,400 | | | BTS Group Holdings PCL, NVDR | | | 62,348 | |
| | 12,500 | | | Bumrungrad Hospital PCL, NVDR | | | 69,293 | |
| | 39,800 | | | Central Pattana PCL, NVDR | | | 100,285 | |
| | 94,800 | | | Charoen Pokphand Foods PCL, NVDR | | | 74,561 | |
| | 1,394,000 | | | CP ALL PCL, NVDR | | | 2,877,136 | |
| | 12,600 | | | Delta Electronics Thailand PCL, NVDR | | | 26,843 | |
| | 6,100 | | | Electricity Generating PCL, NVDR | | | 42,156 | |
| | 42,300 | | | Energy Absolute PCL, NVDR | | | 50,098 | |
| | 17,400 | | | Glow Energy PCL, NVDR | | | 49,933 | |
See Notes to Financial Statements.
151
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | Thailand — 2.2% — (continued) | |
| | 143,100 | | | Home Product Center PCL, NVDR | | $ | 63,803 | |
| | 47,300 | | | Indorama Ventures PCL, NVDR | | | 86,705 | |
| | 254,400 | | | IRPC PCL, NVDR | | | 54,056 | |
| | 255,000 | | | Kasikornbank PCL | | | 1,651,883 | |
| | 16,600 | | | Kasikornbank PCL, NVDR | | | 107,006 | |
| | 129,600 | | | Krung Thai Bank PCL, NVDR | | | 76,835 | |
| | 71,400 | | | Minor International PCL, NVDR(a) | | | 86,418 | |
| | 45,600 | | | PTT Exploration & Production PCL, NVDR | | | 198,494 | |
| | 66,200 | | | PTT Global Chemical PCL, NVDR | | | 165,371 | |
| | 329,400 | | | PTT PCL, NVDR | | | 528,194 | |
| | 20,200 | | | Robinson PCL, NVDR | | | 40,249 | |
| | 91,900 | | | Siam Cement PCL, Class Registered Shares(a) | | | 1,267,973 | |
| | 11,200 | | | Siam Cement PCL, NVDR | | | 154,595 | |
| | 54,000 | | | Siam Commercial Bank PCL, NVDR | | | 244,350 | |
| | 150,000 | | | Srisawad Corp. PCL | | | 193,452 | |
| | 1,112,613 | | | Srisawad Corp. PCL, NVDR(a) | | | 1,437,548 | |
| | 34,900 | | | Thai Oil PCL, NVDR | | | 89,862 | |
| | 48,400 | | | Thai Union Group PCL, NVDR | | | 25,874 | |
| | 597,100 | | | TMB Bank PCL, NVDR | | | 40,153 | |
| | 253,200 | | | True Corp. PCL, NVDR(a) | | | 51,846 | |
| | | | | | | | |
| | | | Total Thailand | | | 10,744,893 | |
| | | | | | | | |
| | Turkey — 1.6% | |
| | 628,613 | | | Akbank Turk AS | | | 549,607 | |
| | 5,229 | | | Anadolu Efes Biracilik Ve Malt Sanayii AS | | | 16,634 | |
| | 5,951 | | | Arcelik AS | | | 11,998 | |
| | 7,996 | | | Aselsan Elektronik Sanayi Ve Ticaret AS | | | 31,347 | |
| | 145,200 | | | AvivaSA Emeklilik ve Hayat AS | | | 287,352 | |
| | 6,058 | | | BIM Birlesik Magazalar AS | | | 67,244 | |
| | 1,916 | | | Coca-Cola Icecek AS | | | 8,317 | |
| | 665,064 | | | Dogtas Kelebek Mobilya Sanayi ve Ticaret AS* | | | 120,080 | |
| | 168,814 | | | Emlak Konut Gayrimenkul Yatirim Ortakligi AS, REIT | | | 47,201 | |
| | 41,908 | | | Eregli Demir ve Celik Fabrikalari TAS | | | 75,381 | |
| | 1,793 | | | Ford Otomotiv Sanayi AS | | | 18,278 | |
| | 27,526 | | | Haci Ömer Sabanci Holding AS | | | 29,774 | |
| | 515,923 | | | KOC Holding AS | | | 1,176,607 | |
| | 439,240 | | | MLP Saglik Hizmetleri AS, (Restricted, cost — $1,556,828, acquired 2/7/18), Class B Shares*(b)(d) | | | 692,131 | |
| | 26,692 | | | Petkim Petrokimya Holding AS | | | 22,330 | |
| | 596,254 | | | Sok Marketler Ticaret AS* | | | 646,045 | |
| | 4,165 | | | TAV Havalimanlari Holding AS | | | 20,874 | |
| | 369,222 | | | Tofas Turk Otomobil Fabrikasi AS | | | 1,285,384 | |
| | 95,233 | | | Tüpras Türkiye Petrol Rafinerileri AS | | | 1,709,021 | |
| | 14,117 | | | Turk Hava Yollari AO* | | | 34,877 | |
| | 1,183,338 | | | Türk Telekomunikasyon AS* | | | 657,822 | |
| | 28,601 | | | Turkcell Iletisim Hizmetleri AS | | | 46,155 | |
| | 64,600 | | | Türkiye Garanti Bankasi AS | | | 58,325 | |
| | 19,428 | | | Türkiye Halk Bankasi AS | | | 18,103 | |
| | 138,522 | | | Turkiye Is Bankasi AS, Class C Shares | | | 83,903 | |
| | 19,993 | | | Türkiye Sise ve Cam Fabrikalari AS | | | 18,726 | |
| | 36,303 | | | Türkiye Vakiflar Bankasi TAO, Class D Shares | | | 19,065 | |
| | 3,889 | | | Ulker Biskuvi Sanayi AS* | | | 8,776 | |
| | 42,947 | | | Yapi ve Kredi Bankasi AS* | | | 10,952 | |
| | | | | | | | |
| | | | Total Turkey | | | 7,772,309 | |
| | | | | | | | |
See Notes to Financial Statements.
152
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | United Arab Emirates — 0.5% | |
| | 69,857 | | | Abu Dhabi Commercial Bank PJSC | | $ | 135,034 | |
| | 139,638 | | | Aldar Properties PJSC | | | 73,371 | |
| | 64,729 | | | DAMAC Properties Dubai Co. PJSC | | | 37,004 | |
| | 5,041 | | | DP World Ltd. | | | 107,832 | |
| | 52,710 | | | Dubai Islamic Bank PJSC | | | 73,503 | |
| | 67,240 | | | Emaar Malls PJSC | | | 36,612 | |
| | 113,203 | | | Emaar Properties PJSC | | | 154,341 | |
| | 58,862 | | | Emirates Telecommunications Group Co. PJSC | | | 271,622 | |
| | 45,807 | | | First Abu Dhabi Bank PJSC | | | 184,560 | |
| | 25,600 | | | NMC Health PLC | | | 1,303,925 | |
| | | | | | | | |
| | | | Total United Arab Emirates | | | 2,377,804 | |
| | | | | | | | |
| | United Kingdom — 0.0% | |
| | 3,779 | | | Mondi Ltd. | | | 105,494 | |
| | | | | | | | |
| | United States — 0.1% | |
| | 38,500 | | | Laureate Education Inc., Class A Shares* | | | 614,845 | |
| | 25,000 | | | Nexteer Automotive Group Ltd. | | | 42,168 | |
| | | | | | | | |
| | | | Total United States | | | 657,013 | |
| | | | | | | | |
| | Uruguay — 0.1% | |
| | 176,860 | | | Biotoscana Investments SA, BDR* | | | 486,559 | |
| | | | | | | | |
| | | | TOTAL COMMON STOCKS
(Cost — $397,049,143) | | | 461,915,588 | |
| | | | | | | | |
| | PREFERRED STOCKS — 3.0% | |
| | Brazil — 1.0% | |
| | 103,120 | | | Banco Bradesco SA, Class Preferred Shares | | | 718,859 | |
| | 5,145 | | | Braskem SA, Class Preferred A Shares | | | 74,829 | |
| | 5,700 | | | Centrais Eletricas Brasileiras SA, Class Preferred B Shares* | | | 25,342 | |
| | 4,868 | | | Cia Brasileira de Distribuicao, Class Preferred Shares | | | 97,657 | |
| | 23,953 | | | Cia Energetica de Minas Gerais, Class Preferred Shares | | | 43,892 | |
| | 31,065 | | | Gerdau SA, Class Preferred Shares | | | 122,395 | |
| | 268,350 | | | Itaú Unibanco Holding SA, Class Preferred Shares | | | 2,786,263 | |
| | 140,724 | | | Itausa — Investimentos Itau SA, Class Preferred Shares | | | 331,493 | |
| | 21,975 | | | Lojas Americanas SA, Class Preferred Shares | | | 84,206 | |
| | 119,843 | | | Petroleo Brasileiro SA, Class Preferred Shares | | | 566,966 | |
| | 13,892 | | | Telefonica Brasil SA, Class Preferred Shares | | | 136,562 | |
| | | | | | | | |
| | | | Total Brazil | | | 4,988,464 | |
| | | | | | | | |
| | Chile — 0.0% | |
| | 6,556 | | | Embotelladora Andina SA, Class Preferred B Shares | | | 25,152 | |
| | 3,692 | | | Sociedad Quimica y Minera de Chile SA, Class Preferred B Shares | | | 160,701 | |
| | | | | | | | |
| | | | Total Chile | | | 185,853 | |
| | | | | | | | |
| | Colombia — 0.1% | |
| | 12,985 | | | Bancolombia SA, Class Preferred Shares | | | 141,275 | |
| | 140,207 | | | Grupo Aval Acciones y Valores SA, Class Preferred Shares | | | 55,136 | |
| | 3,430 | | | Grupo de Inversiones Suramericana SA, Class Preferred Shares | | | 39,724 | |
| | | | | | | | |
| | | | Total Colombia | | | 236,135 | |
| | | | | | | | |
| | Russia — 0.0% | |
| | 242,358 | | | Surgutneftegas PJSC, Class Preferred Shares | | | 134,333 | |
| | 13 | | | Transneft PJSC, Class Preferred Shares | | | 27,440 | |
| | | | | | | | |
| | | | Total Russia | | | 161,773 | |
| | | | | | | | |
See Notes to Financial Statements.
153
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| | South Korea — 1.9% | |
| | 393 | | | Amorepacific Corp., Class Preferred Shares | | $ | 50,846 | |
| | 1,220 | | | Hyundai Motor Co., Class Preferred 2nd Shares | | | 93,583 | |
| | 835 | | | Hyundai Motor Co., Class Preferred Shares | | | 58,611 | |
| | 312 | | | LG Chem Ltd., Class Preferred Shares | | | 55,907 | |
| | 83 | | | LG Household & Health Care Ltd., Class Preferred Shares | | | 55,730 | |
| | 258,987 | | | Samsung Electronics Co., Ltd., Class Preferred Shares | | | 9,217,197 | |
| | | | | | | | |
| | | | Total South Korea | | | 9,531,874 | |
| | | | | | | | |
| | | | TOTAL PREFERRED STOCKS
(Cost — $12,104,439) | | | 15,104,099 | |
| | | | | | | | |
| | WARRANT — 0.0% | |
| | Thailand — 0.0% | |
| | 24,488 | | | BTS Group Holdings PCL, NVDR, expires 12/31/49*#(e)
(Cost — $0) | | | — | |
| | | | | | | | |
| | RIGHTS — 0.0% | |
| | Brazil — 0.0% | |
| | 209,247 | | | Movida Participacoes SA*#(e) | | | — | |
| | | | | | | | |
| | Hong Kong — 0.0% | |
| | 28,888 | | | China Everbright International Ltd.*#(e) | | | 2,245 | |
| | | | | | | | |
| | | | TOTAL RIGHTS
(Cost — $0) | | | 2,245 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $409,153,582) | | | 477,021,932 | |
| | | | | | | | |
| | |
Face
Amount† | | | | | | |
| | SHORT-TERM INVESTMENTS (f) — 5.2% | |
| | MONEY MARKET FUND — 1.3% | |
| $ | 6,554,643 | | | Invesco STIT — Government & Agency Portfolio, 1.820%, Institutional Class(g)
(Cost — $6,554,643) | | | 6,554,643 | |
| | | | | | | | |
| | TIME DEPOSITS — 3.9% | |
| | 40,320 | GBP | | Banco Santander — Frankfurt, 0.370% due 9/3/18 | | | 52,268 | |
| | | | BBH — Grand Cayman: | | | | |
| | 13,429 | EUR | | (0.570)% due 9/3/18 | | | 15,589 | |
| | 1 | SGD | | 0.550% due 9/3/18 | | | 1 | |
| | 45,420 | ZAR | | 5.810% due 9/3/18 | | | 3,090 | |
| | | | BNP Paribas — Paris: | | | | |
| | 3,004,983 | HKD | | 0.570% due 9/3/18 | | | 382,859 | |
| | 361,718 | ZAR | | 5.810% due 9/3/18 | | | 24,612 | |
| | 13,585,785 | | | Deutsche Bank AG — Grand Cayman, 1.280% due 9/4/18 | | | 13,585,785 | |
| | 406,956 | HKD | | HSBC Bank — Hong Kong, 0.570% due 9/3/18 | | | 51,849 | |
| | 4,395,986 | | | JPMorgan Chase & Co. — New York, 1.280% due 9/4/18 | | | 4,395,986 | |
| | 827,453 | | | National Australia Bank Ltd. — London, 1.280% due 9/4/18 | | | 827,453 | |
| | | | | | | | |
| | | | TOTAL TIME DEPOSITS
(Cost — $19,339,492) | | | 19,339,492 | |
| | | | | | | | |
| | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $25,894,135) | | | 25,894,135 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 101.0%
(Cost — $435,047,717) | | | 502,916,067 | |
| | | | | | | | |
| | | | Liabilities in Excess of Other Assets — (1.0)% | | | (5,149,674 | ) |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 497,766,393 | |
| | | | | | | | |
See Notes to Financial Statements.
154
| | | | |
| Emerging Markets Equity Fund |
| † | 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). |
| (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. The aggregate value of restricted 144A holdings at August 31, 2018 amounts to approximately $8,554,961 and represents 1.7% of net assets. |
| (c) | Security trades on the Hong Kong exchange. |
| (d) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2018 amounts to approximately $7,042,333 and represents 1.4% of net assets. |
| (e) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (f) | Inclusive of all short-term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 3.9%. |
| (g) | Represents investment of collateral received from securities lending transactions. |
| # | Security that used significant unobservable inputs to determine fair value. |
At August 31, 2018, for Emerging Markets Equity Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost for
Federal Income
Tax Purposes | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net Unrealized
Appreciation | |
Emerging Markets Equity Fund | | $ | 446,664,427 | | | $ | 115,666,247 | | | $ | (59,473,497 | ) | | $ | 56,192,750 | |
| | |
Abbreviations used in this schedule: |
| ADR | | — American Depositary Receipts |
| BDR | | — Brazilian 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^ | |
Information Technology: | | | | |
Internet Software & Services | | | 10.2 | % |
Technology Hardware, Storage & Peripherals | | | 5.9 | |
Semiconductors & Semiconductor Equipment | | | 5.2 | |
Other Information Technology | | | 5.4 | |
Financials: | | | | |
Banks | | | 17.0 | |
Insurance | | | 3.9 | |
Consumer Finance | | | 1.7 | |
Other Financials | | | 1.4 | |
Consumer Discretionary | | | 12.5 | |
Consumer Staples | | | 5.9 | |
Industrials | | | 5.3 | |
Energy | | | 5.2 | |
Telecommunication Services | | | 5.1 | |
Materials | | | 4.0 | |
Health Care | | | 2.8 | |
Real Estate | | | 1.8 | |
Utilities | | | 1.6 | |
Short-Term Investments | | | 5.1 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
See Notes to Financial Statements.
155
| | | | |
| Emerging Markets Equity Fund |
At August 31, 2018, Emerging Markets Equity Fund had open exchange-traded futures contracts as described below.
The unrealized depreciation on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Market Value | | | Unrealized
Depreciation | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
MSCI Emerging Markets E-mini Index September Futures | | | 36 | | | | 9/18 | | | $ | 1,957,710 | | | $ | 1,898,820 | | | $ | (58,890 | ) |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2018, Emerging Markets Equity Fund had deposited cash of $123,994 with a broker or brokers as margin collateral on an open exchange-traded futures contract.
| | |
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.
156
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | CORPORATE BONDS & NOTES — 33.2% | |
| | Advertising — 0.0% | |
| $ | 54,000 | | | B- | | Clear Channel International BV, Company Guaranteed Notes, 8.750% due 12/15/20(a) | | $ | 56,025 | |
| | | | | | | | | | |
| | Aerospace/Defense — 1.0% | |
| | | | | | BAE Systems Holdings Inc., Company Guaranteed Notes: | | | | |
| | 70,000 | | | BBB | | 3.800% due 10/7/24(a) | | | 69,953 | |
| | 35,000 | | | BBB | | 3.850% due 12/15/25(a) | | | 34,781 | |
| | 580,000 | | | A+ | | General Dynamics Corp., Company Guaranteed Notes, 3.750% due 5/15/28 | | | 589,603 | |
| | | | | | Harris Corp., Senior Unsecured Notes: | | | | |
| | 865,000 | | | BBB- | | 4.400% due 6/15/28 | | | 880,607 | |
| | 78,000 | | | BBB- | | 5.054% due 4/27/45 | | | 82,524 | |
| | | | | | L3 Technologies Inc., Company Guaranteed Notes: | | | | |
| | 350,000 | | | BBB- | | 3.850% due 6/15/23 | | | 352,597 | |
| | 35,000 | | | BBB- | | 3.950% due 5/28/24 | | | 34,845 | |
| | 275,000 | | | BBB- | | 3.850% due 12/15/26 | | | 267,999 | |
| | 415,000 | | | BBB- | | 4.400% due 6/15/28 | | | 418,590 | |
| | | | | | Lockheed Martin Corp., Senior Unsecured Notes: | | | | |
| | 30,000 | | | BBB+ | | 3.100% due 1/15/23 | | | 29,896 | |
| | 400,000 | | | BBB+ | | 2.900% due 3/1/25 | | | 385,776 | |
| | 170,000 | | | BBB+ | | 3.550% due 1/15/26 | | | 169,269 | |
| | 40,000 | | | BBB+ | | 4.500% due 5/15/36 | | | 41,972 | |
| | 130,000 | | | BBB+ | | 4.070% due 12/15/42 | | | 126,738 | |
| | 410,000 | | | BBB+ | | 4.700% due 5/15/46 | | | 438,687 | |
| | 46,000 | | | BBB+ | | 4.090% due 9/15/52 | | | 44,172 | |
| | | | | | Northrop Grumman Corp., Senior Unsecured Notes: | | | | |
| | 80,000 | | | BBB | | 2.080% due 10/15/20 | | | 78,402 | |
| | 140,000 | | | BBB | | 2.550% due 10/15/22 | | | 135,830 | |
| | 120,000 | | | BBB | | 3.250% due 8/1/23 | | | 119,164 | |
| | 781,000 | | | BBB | | 2.930% due 1/15/25 | | | 745,408 | |
| | 817,000 | | | BBB | | 3.250% due 1/15/28 | | | 776,480 | |
| | 50,000 | | | BBB | | 3.850% due 4/15/45 | | | 45,996 | |
| | 270,000 | | | BBB | | 4.030% due 10/15/47 | | | 254,062 | |
| | 40,000 | | | A | | Raytheon Co., Senior Unsecured Notes, 7.200% due 8/15/27 | | | 50,630 | |
| | 215,000 | | | BBB | | Rockwell Collins Inc., Senior Unsecured Notes, 2.800% due 3/15/22 | | | 210,116 | |
| | 395,000 | | | BBB- | | Spirit AeroSystems Inc., Company Guaranteed Notes, 3.950% due 6/15/23 | | | 397,335 | |
| | | | | | United Technologies Corp., Senior Unsecured Notes: | | | | |
| | 855,000 | | | BBB+ | | 3.350% due 8/16/21 | | | 859,241 | |
| | 120,000 | | | BBB+ | | 3.950% due 8/16/25 | | | 120,797 | |
| | 210,000 | | | BBB+ | | 4.125% due 11/16/28 | | | 210,526 | |
| | 80,000 | | | A- | | 4.500% due 6/1/42 | | | 79,616 | |
| | 190,000 | | | A- | | 3.750% due 11/1/46 | | | 168,939 | |
| | | | | | | | | | |
| | | | | | Total Aerospace/Defense | | | 8,220,551 | |
| | | | | | | | | | |
| | Agriculture — 0.4% | |
| | | | | | Altria Group Inc., Company Guaranteed Notes: | | | | |
| | 260,000 | | | A- | | 9.250% due 8/6/19 | | | 275,106 | |
| | 130,000 | | | A- | | 4.750% due 5/5/21 | | | 135,226 | |
| | 80,000 | | | A- | | 2.850% due 8/9/22 | | | 78,586 | |
| | 12,000 | | | A- | | 5.375% due 1/31/44 | | | 13,173 | |
| | | | | | BAT Capital Corp., Company Guaranteed Notes: | | | | |
| | 500,000 | | | BBB+ | | 2.764% due 8/15/22(a) | | | 485,008 | |
| | 240,000 | | | BBB+ | | 3.222% due 8/15/24(a) | | | 230,039 | |
| | 635,000 | | | BBB+ | | 3.557% due 8/15/27(a) | | | 595,834 | |
| | 285,000 | | | BBB+ | | 4.540% due 8/15/47(a) | | | 264,611 | |
See Notes to Financial Statements.
157
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Agriculture — 0.4% — (continued) | |
| | | | | | Philip Morris International Inc., Senior Unsecured Notes: | | | | |
| $ | 240,000 | | | A | | 1.875% due 11/1/19 | | $ | 237,152 | |
| | 190,000 | | | A | | 2.900% due 11/15/21 | | | 188,584 | |
| | 92,000 | | | A | | 2.500% due 8/22/22 | | | 89,121 | |
| | 110,000 | | | A | | 2.500% due 11/2/22 | | | 106,403 | |
| | 40,000 | | | A | | 3.375% due 8/11/25 | | | 39,195 | |
| | 60,000 | | | A | | 4.500% due 3/20/42 | | | 59,827 | |
| | | | | | Reynolds American Inc., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BBB+ | | 8.125% due 6/23/19 | | | 10,413 | |
| | 61,000 | | | BBB+ | | 3.250% due 6/12/20 | | | 60,954 | |
| | 50,000 | | | BBB+ | | 4.000% due 6/12/22 | | | 50,671 | |
| | 120,000 | | | BBB+ | | 4.850% due 9/15/23 | | | 125,341 | |
| | 110,000 | | | BBB+ | | 4.450% due 6/12/25 | | | 111,728 | |
| | 100,000 | | | BBB+ | | 5.850% due 8/15/45 | | | 109,632 | |
| | 105,000 | | | BBB+ | | RJ Reynolds Tobacco Co., Company Guaranteed Notes, 6.875% due 5/1/20 | | | 110,899 | |
| | | | | | | | | | |
| | | | | | Total Agriculture | | | 3,377,503 | |
| | | | | | | | | | |
| | Airlines — 0.2% | |
| | 266,559 | | | A- | | American Airlines Class A Pass-Through Trust, Series 2013-2, Pass-Thru Certificates, 4.950% due 1/15/23. | | | 274,152 | |
| | 102,402 | | | A | | American Airlines Class A Pass-Through Trust, Series 2015-1, Pass-Thru Certificates, 3.375% due 5/1/27 | | | 99,585 | |
| | 284,887 | | | BBB- | | American Airlines Class B Pass-Through Trust, Series 2013-1, Pass-Thru Certificates, 5.625% due 1/15/21(a) | | | 291,112 | |
| | 64,082 | | | A- | | Continental Airlines Inc. Class A Pass-Through Trust, Series 2012-1, Pass-Thru Certificates, 4.150% due 4/11/24 | | | 65,050 | |
| | 109,282 | | | A+ | | Continental Airlines Inc. Class A-1 Pass-Through Trust, Series 1999-2, Pass-Thru Certificates, 7.256% due 3/15/20 | | | 111,943 | |
| | 392,182 | | | A | | Delta Air Lines Class A Pass-Through Trust, Series 2009-1, Pass-Thru Certificates, 7.750% due 12/17/19 | | | 411,504 | |
| | 54,000 | | | BB+ | | Delta Air Lines Inc., Senior Unsecured Notes, 3.625% due 3/15/22 | | | 53,579 | |
| | 263,588 | | | BBB- | | Northwest Airlines Inc. Class A-1 Pass-Through Trust, Series 2001-1, Pass-Thru Certificates, 7.041% due 4/1/22 | | | 282,843 | |
| | 45,000 | | | BBB+ | | Southwest Airlines Co., Senior Unsecured Notes, 2.750% due 11/16/22 | | | 43,892 | |
| | 228,196 | | | A+ | | US Airways Pass-Through Trust, Series 2001-1G, Pass-Thru Certificates, 7.076% due 3/20/21 | | | 242,744 | |
| | | | | | | | | | |
| | | | | | Total Airlines | | | 1,876,404 | |
| | | | | | | | | | |
| | Apparel — 0.0% | |
| | | | | | Hanesbrands Inc., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BB- | | 4.625% due 5/15/24(a) | | | 9,800 | |
| | 70,000 | | | BB- | | 4.875% due 5/15/26(a) | | | 67,725 | |
| | | | | | | | | | |
| | | | | | Total Apparel | | | 77,525 | |
| | | | | | | | | | |
| | Auto Manufacturers — 0.7% | |
| | | | | | Allison Transmission Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | Ba3(b) | | 5.000% due 10/1/24(a) | | | 39,500 | |
| | 70,000 | | | Ba3(b) | | 4.750% due 10/1/27(a) | | | 65,975 | |
| | 85,000 | | | A+ | | American Honda Finance Corp., Senior Unsecured Notes, 1.700% due 9/9/21 | | | 81,586 | |
| | 30,000 | | | A+ | | BMW US Capital LLC, Company Guaranteed Notes, 1.850% due 9/15/21(a) | | | 28,711 | |
| | | | | | Daimler Finance North America LLC, Company Guaranteed Notes: | | | | |
| | 500,000 | | | A | | 1.500% due 7/5/19(a) | | | 494,661 | |
| | 150,000 | | | A | | 2.700% due 8/3/20(a) | | | 148,432 | |
| | | | | | Ford Motor Co., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BBB | | 7.450% due 7/16/31 | | | 66,718 | |
| | 60,000 | | | BBB | | 4.750% due 1/15/43 | | | 49,911 | |
| | 100,000 | | | BBB | | 5.291% due 12/8/46 | | | 89,264 | |
See Notes to Financial Statements.
158
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Auto Manufacturers — 0.7% — (continued) | |
| | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| $ | 300,000 | | | BBB | | 2.875% due 10/1/18 | | $ | 300,096 | |
| | 250,000 | | | BBB | | 2.597% due 11/4/19 | | | 247,675 | |
| | 320,000 | | | BBB | | 8.125% due 1/15/20 | | | 339,118 | |
| | 200,000 | | | BBB | | 3.200% due 1/15/21 | | | 196,499 | |
| | 200,000 | | | BBB | | 3.096% due 5/4/23 | | | 187,571 | |
| | 200,000 | | | BBB | | 3.815% due 11/2/27 | | | 180,225 | |
| | | | | | General Motors Co., Senior Unsecured Notes: | | | | |
| | 340,000 | | | BBB | | 6.250% due 10/2/43 | | | 353,742 | |
| | 455,000 | | | BBB | | 5.200% due 4/1/45 | | | 419,069 | |
| | 115,000 | | | BBB | | 6.750% due 4/1/46 | | | 126,879 | |
| | 75,000 | | | BBB | | 5.400% due 4/1/48(c) | | | 71,173 | |
| | | | | | General Motors Financial Co., Inc., Company Guaranteed Notes: | | | | |
| | 435,000 | | | BBB | | 2.400% due 5/9/19 | | | 433,746 | |
| | 295,000 | | | BBB | | 3.200% due 7/13/20 | | | 294,194 | |
| | 230,000 | | | BBB | | 2.450% due 11/6/20 | | | 224,912 | |
| | 25,000 | | | BBB | | 3.550% due 4/9/21 | | | 24,982 | |
| | 100,000 | | | BBB | | 4.375% due 9/25/21 | | | 101,900 | |
| | 250,000 | | | BBB | | 3.950% due 4/13/24 | | | 245,033 | |
| | 70,000 | | | BBB | | 4.350% due 4/9/25 | | | 69,222 | |
| | | | | | Hyundai Capital America, Senior Unsecured Notes: | | | | |
| | 90,000 | | | A- | | 1.750% due 9/27/19(a) | | | 88,486 | |
| | 20,000 | | | A- | | 2.550% due 4/3/20(a) | | | 19,701 | |
| | 218,000 | | | A- | | 3.000% due 10/30/20(a) | | | 215,095 | |
| | 10,000 | | | A- | | 3.750% due 7/8/21(a) | | | 9,991 | |
| | | | | | Hyundai Capital Services Inc., Senior Unsecured Notes: | | | | |
| | 200,000 | | | A- | | 3.000% due 8/29/22(a) | | | 193,677 | |
| | 200,000 | | | A- | | 3.750% due 3/5/23(a) | | | 199,109 | |
| | 150,000 | | | A | | Nissan Motor Acceptance Corp., Senior Unsecured Notes, 3.150% due 3/15/21(a) | | | 148,927 | |
| | 220,000 | | | BBB+ | | Volkswagen Group of America Finance LLC, Company Guaranteed Notes, 2.400% due 5/22/20(a) | | | 216,975 | |
| | 130,000 | | | BBB+ | | Volkswagen International Finance NV, Company Guaranteed Notes, 4.000% due 8/12/20(a) | | | 131,735 | |
| | | | | | | | | | |
| | | | | | Total Auto Manufacturers | | | 6,104,490 | |
| | | | | | | | | | |
| | Auto Parts & Equipment — 0.1% | |
| | 76,000 | | | BBB | | Aptiv PLC, Company Guaranteed Notes, 4.400% due 10/1/46 | | | 69,642 | |
| | 21,000 | | | BBB | | Delphi Corp., Company Guaranteed Notes, 4.150% due 3/15/24 | | | 21,237 | |
| | | | | | ZF North America Capital Inc., Company Guaranteed Notes: | | | | |
| | 160,000 | | | BBB- | | 4.500% due 4/29/22(a) | | | 163,219 | |
| | 280,000 | | | BBB- | | 4.750% due 4/29/25(a) | | | 282,896 | |
| | | | | | | | | | |
| | | | | | Total Auto Parts & Equipment | | | 536,994 | |
| | | | | | | | | | |
| | Banks — 11.1% | |
| | 756,000 | | | A | | ABN AMRO Bank NV, Senior Unsecured Notes, 2.650% due 1/19/21(a) | | | 744,602 | |
| | 250,000 | | | AA- | | Australia & New Zealand Banking Group Ltd., Senior Unsecured Notes, 2.250% due 11/9/20 | | | 245,100 | |
| | | | | | Banco Santander SA, Senior Unsecured Notes: | | | | |
| | 400,000 | | | A- | | 3.848% due 4/12/23 | | | 393,942 | |
| | 600,000 | | | A- | | 4.379% due 4/12/28 | | | 581,725 | |
| | | | | | Bank of America Corp.: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 173,000 | | | A- | | 2.250% due 4/21/20 | | | 170,917 | |
| | 950,000 | | | A- | | 2.369% (3-Month USD-LIBOR + 0.660%) due 7/21/21(d) | | | 933,709 | |
| | 1,985,000 | | | A- | | 2.738% (3-Month USD-LIBOR + 0.370%) due 1/23/22(d) | | | 1,955,629 | |
| | 750,000 | | | A- | | 3.499% (3-Month USD-LIBOR + 0.630%) due 5/17/22(d) | | | 751,650 | |
| | 250,000 | | | A- | | 2.503% due 10/21/22 | | | 240,727 | |
See Notes to Financial Statements.
159
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Banks — 11.1% — (continued) | |
| $ | 90,000 | | | A- | | 3.300% due 1/11/23 | | $ | 89,399 | |
| | 971,000 | | | A- | | 3.004% (3-Month USD-LIBOR + 0.790%) due 12/20/23(d) | | | 946,289 | |
| | 490,000 | | | A- | | 4.125% due 1/22/24 | | | 501,471 | |
| | 1,105,000 | | | A- | | 3.550% (3-Month USD-LIBOR + 0.780%) due 3/5/24(d) | | | 1,098,913 | |
| | 530,000 | | | A- | | 4.000% due 4/1/24 | | | 539,192 | |
| | 344,000 | | | A- | | 3.875% due 8/1/25 | | | 344,435 | |
| | 465,000 | | | A- | | 3.093% (3-Month USD-LIBOR + 1.090%) due 10/1/25(d) | | | 445,514 | |
| | 210,000 | | | A- | | 3.500% due 4/19/26 | | | 204,795 | |
| | 330,000 | | | A- | | 3.824% (3-Month USD-LIBOR + 1.575%) due 1/20/28(d) | | | 323,051 | |
| | 300,000 | | | A- | | 3.705% (3-Month USD-LIBOR + 1.512%) due 4/24/28(d) | | | 290,609 | |
| | 50,000 | | | A- | | 3.593% (3-Month USD-LIBOR + 1.370%) due 7/21/28(d) | | | 47,923 | |
| | 604,000 | | | A- | | 3.419% (3-Month USD-LIBOR + 1.040%) due 12/20/28(d) | | | 569,823 | |
| | 530,000 | | | A- | | 4.271% (3-Month USD-LIBOR + 1.310%) due 7/23/29(d) | | | 534,735 | |
| | 240,000 | | | A- | | 5.000% due 1/21/44 | | | 260,559 | |
| | 40,000 | | | A- | | 3.946% (3-Month USD-LIBOR + 1.190%) due 1/23/49(d) | | | 37,031 | |
| | | | | | Subordinated Notes: | | | | |
| | 1,290,000 | | | BBB+ | | 4.200% due 8/26/24 | | | 1,297,907 | |
| | 1,040,000 | | | BBB+ | | 4.000% due 1/22/25 | | | 1,029,637 | |
| | 40,000 | | | BBB+ | | 4.450% due 3/3/26 | | | 40,178 | |
| | | | | | Bank of Montreal: | | | | |
| | 195,000 | | | A+ | | Senior Unsecured Notes, 1.500% due 7/18/19 | | | 193,050 | |
| | 50,000 | | | BBB+ | | Subordinated Notes, 3.803% (5-Year USD Swap Rate + 1.432%) due 12/15/32(d) | | | 47,058 | |
| | | | | | Bank of New York Mellon Corp. (The): | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 500,000 | | | A | | 2.661% (3-Month USD-LIBOR + 0.634%) due 5/16/23(d) | | | 486,882 | |
| | 195,000 | | | A | | 3.400% due 5/15/24 | | | 194,187 | |
| | 72,000 | | | A | | 3.442% (3-Month USD-LIBOR + 1.069%) due 2/7/28(d). | | | 70,463 | |
| | 120,000 | | | A- | | Subordinated Notes, 3.300% due 8/23/29 | | | 113,910 | |
| | 270,000 | | | A+ | | Bank of Nova Scotia (The), Senior Unsecured Notes, 3.125% due 4/20/21 | | | 268,952 | |
| | 400,000 | | | A | | Banque Federative du Credit Mutuel SA, Senior Unsecured Notes, 2.750% due 10/15/20(a) | | | 395,077 | |
| | 100,000 | | | BBB- | | Barclays Bank PLC, Subordinated Notes, 5.140% due 10/14/20 | | | 102,682 | |
| | | | | | Barclays PLC: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 400,000 | | | BBB | | 3.250% due 1/12/21 | | | 396,027 | |
| | 380,000 | | | BBB | | 3.684% due 1/10/23 | | | 372,162 | |
| | 580,000 | | | BBB | | 4.338% (3-Month USD-LIBOR + 1.356%) due 5/16/24(d) | | | 575,700 | |
| | 260,000 | | | BBB | | 4.375% due 1/12/26 | | | 254,613 | |
| | 620,000 | | | BBB | | 4.972% (3-Month USD-LIBOR + 1.902%) due 5/16/29(d) | | | 618,480 | |
| | 400,000 | | | BB+ | | Subordinated Notes, 5.200% due 5/12/26 | | | 395,775 | |
| | | | | | BNP Paribas SA: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 270,000 | | | A- | | 3.375% due 1/9/25(a) | | | 256,297 | |
| | 750,000 | | | A- | | 4.400% due 8/14/28(a) | | | 745,113 | |
| | 200,000 | | | BBB+ | | Subordinated Notes, 4.375% (5-Year USD Swap Rate + 1.483%) due 3/1/33(a)(d) | | | 190,198 | |
| | 200,000 | | | BBB | | BPCE SA, Subordinated Notes, 4.875% due 4/1/26(a) | | | 202,231 | |
| | | | | | Capital One Financial Corp.: | | | | |
| | 60,000 | | | BBB | | Senior Unsecured Notes, 3.500% due 6/15/23 | | | 59,386 | |
| | 40,000 | | | BBB- | | Subordinated Notes, 3.750% due 7/28/26 | | | 37,630 | |
| | | | | | Capital One NA, Senior Unsecured Notes: | | | | |
| | 530,000 | | | BBB+ | | 2.350% due 1/31/20 | | | 524,924 | |
| | 280,000 | | | BBB+ | | 2.250% due 9/13/21 | | | 270,074 | |
| | | | | | CIT Group Inc., Senior Unsecured Notes: | | | | |
| | 140,000 | | | BB+ | | 4.750% due 2/16/24 | | | 140,525 | |
| | 40,000 | | | BB+ | | 5.250% due 3/7/25 | | | 40,775 | |
See Notes to Financial Statements.
160
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Banks — 11.1% — (continued) | |
| | | | | | Citibank NA, Senior Unsecured Notes: | | | | |
| $ | 925,000 | | | A+ | | 3.050% due 5/1/20 | | $ | 925,389 | |
| | 280,000 | | | A+ | | 3.400% due 7/23/21 | | | 280,750 | |
| | | | | | Citigroup Inc.: | | | | |
| | 530,000 | | | BB+ | | Junior Subordinated Notes, 5.950% (3-Month USD-LIBOR + 3.905%)(d)(e) | | | 540,441 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | BBB+ | | 2.500% due 9/26/18 | | | 1,000,135 | |
| | 500,000 | | | BBB+ | | 2.050% due 12/7/18 | | | 499,543 | |
| | 1,000,000 | | | BBB+ | | 2.500% due 7/29/19 | | | 998,066 | |
| | 500,000 | | | BBB+ | | 2.450% due 1/10/20 | | | 496,371 | |
| | 104,000 | | | BBB+ | | 8.125% due 7/15/39 | | | 150,115 | |
| | 196,000 | | | BBB+ | | 4.650% due 7/30/45 | | | 199,508 | |
| | | | | | Subordinated Notes: | | | | |
| | 690,000 | | | BBB | | 4.400% due 6/10/25 | | | 692,458 | |
| | 250,000 | | | BBB | | 5.500% due 9/13/25 | | | 266,648 | |
| | 890,000 | | | BBB | | 4.300% due 11/20/26 | | | 879,790 | |
| | 390,000 | | | BBB | | 4.450% due 9/29/27 | | | 387,098 | |
| | 30,000 | | | BBB | | 6.625% due 6/15/32 | | | 35,645 | |
| | 100,000 | | | BBB | | 6.675% due 9/13/43 | | | 124,578 | |
| | 286,000 | | | BBB | | 5.300% due 5/6/44 | | | 306,031 | |
| | 30,000 | | | BBB | | 4.750% due 5/18/46 | | | 29,765 | |
| | 15,000 | | | BBB+ | | Citizens Financial Group Inc., Senior Unsecured Notes, 2.375% due 7/28/21 | | | 14,520 | |
| | 340,000 | | | BBB- | | Commerzbank AG, Subordinated Notes, 8.125% due 9/19/23(a) | | | 390,956 | |
| | | | | | Commonwealth Bank of Australia, Senior Unsecured Notes: | | | | |
| | 55,000 | | | AA- | | 3.450% due 3/16/23(a) | | | 54,854 | |
| | 210,000 | | | AA- | | 3.900% due 7/12/47(a) | | | 200,464 | |
| | | | | | Cooperatieve Rabobank UA: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 310,000 | | | BBB+ | | 4.625% due 12/1/23 | | | 316,718 | |
| | 990,000 | | | BBB+ | | 4.375% due 8/4/25 | | | 989,000 | |
| | 320,000 | | | BBB- | | Junior Subordinated Notes, 11.000% (3-Month USD-LIBOR + 10.868%)(a)(d)(e) | | | 340,000 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 100,000 | | | A+ | | 4.750% due 1/15/20(a) | | | 102,226 | |
| | 510,000 | | | A+ | | 2.500% due 1/19/21 | | | 501,825 | |
| | 800,000 | | | A+ | | 3.125% due 4/26/21 | | | 797,874 | |
| | 250,000 | | | BBB+ | | Credit Agricole SA, Senior Unsecured Notes, 3.250% due 10/4/24(a) | | | 236,049 | |
| | | | | | Credit Suisse Group AG, Senior Unsecured Notes: | | | | |
| | 400,000 | | | BBB+ | | 4.282% due 1/9/28(a) | | | 394,198 | |
| | 250,000 | | | BBB+ | | 3.869% (3-Month USD-LIBOR + 1.410%) due 1/12/29(a)(d). | | | 239,312 | |
| | | | | | Credit Suisse Group Funding Guernsey Ltd., Company Guaranteed Notes: | | | | |
| | 250,000 | | | BBB+ | | 2.750% due 3/26/20 | | | 248,154 | |
| | 250,000 | | | BBB+ | | 3.125% due 12/10/20 | | | 248,367 | |
| | 250,000 | | | BBB+ | | 3.450% due 4/16/21 | | | 249,599 | |
| | 320,000 | | | BBB+ | | 4.550% due 4/17/26 | | | 325,235 | |
| | | | | | Deutsche Bank AG: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 140,000 | | | BBB- | | 3.375% due 5/12/21 | | | 137,545 | |
| | 510,000 | | | BBB- | | 4.250% due 10/14/21 | | | 508,965 | |
| | 150,000 | | | BBB- | | 4.100% due 1/13/26 | | | 143,579 | |
| | 360,000 | | | BB+ | | Subordinated Notes, 4.875% (5-Year USD 1100 Run ICE Swap Rate + 2.553%) due 12/1/32(d) | | | 312,862 | |
| | | | | | Discover Bank, Senior Unsecured Notes: | | | | |
| | 900,000 | | | BBB | | 2.600% due 11/13/18 | | | 900,077 | |
| | 250,000 | | | BBB | | 3.100% due 6/4/20 | | | 249,076 | |
See Notes to Financial Statements.
161
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Banks — 11.1% — (continued) | |
| $ | 1,090,000 | | | A+ | | Goldman Sachs Bank USA, Senior Unsecured Notes, 3.200% due 6/5/20 | | $ | 1,094,485 | |
| | 21,000 | | | BB | | Goldman Sachs Capital II, Limited Guaranteed Notes, 4.000% (3-Month USD-LIBOR + 0.768%)(d)(e) | | | 17,705 | |
| | | | | | Goldman Sachs Group Inc. (The): | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 34,000 | | | BBB+ | | 2.625% due 1/31/19 | | | 33,999 | |
| | 885,000 | | | BBB+ | | 7.500% due 2/15/19 | | | 903,863 | |
| | 600,000 | | | BBB+ | | 2.550% due 10/23/19 | | | 597,974 | |
| | 140,000 | | | BBB+ | | 2.300% due 12/13/19 | | | 138,989 | |
| | 810,000 | | | BBB+ | | 6.000% due 6/15/20 | | | 848,754 | |
| | 190,000 | | | BBB+ | | 2.750% due 9/15/20 | | | 188,369 | |
| | 120,000 | | | BBB+ | | 2.875% due 2/25/21 | | | 119,101 | |
| | 155,000 | | | BBB+ | | 5.250% due 7/27/21 | | | 162,798 | |
| | 500,000 | | | BBB+ | | 3.122% (3-Month USD-LIBOR + 0.780%) due 10/31/22(d) | | | 501,808 | |
| | 730,000 | | | BBB+ | | 3.200% due 2/23/23 | | | 718,135 | |
| | 275,000 | | | BBB+ | | 4.000% due 3/3/24 | | | 277,830 | |
| | 350,000 | | | BBB+ | | 3.272% (3-Month USD-LIBOR + 1.201%) due 9/29/25(d) | | | 337,283 | |
| | 150,000 | | | BBB+ | | 3.484% (3-Month USD-LIBOR + 1.170%) due 5/15/26(d) | | | 149,402 | |
| | 150,000 | | | BBB+ | | 3.500% due 11/16/26 | | | 143,078 | |
| | 210,000 | | | BBB+ | | 3.850% due 1/26/27 | | | 204,708 | |
| | 250,000 | | | BBB+ | | 3.691% (3-Month USD-LIBOR + 1.510%) due 6/5/28(d) | | | 239,438 | |
| | 1,275,000 | | | BBB+ | | 3.814% (3-Month USD-LIBOR + 1.158%) due 4/23/29(d) | | | 1,221,196 | |
| | 615,000 | | | BBB+ | | 4.223% (3-Month USD-LIBOR + 1.301%) due 5/1/29(d) | | | 610,158 | |
| | 210,000 | | | BBB+ | | 6.250% due 2/1/41 | | | 254,843 | |
| | 210,000 | | | BBB+ | | 4.750% due 10/21/45 | | | 214,115 | |
| | | | | | Subordinated Notes: | | | | |
| | 610,000 | | | BBB- | | 4.250% due 10/21/25 | | | 607,653 | |
| | 460,000 | | | BBB- | | 6.750% due 10/1/37 | | | 558,550 | |
| | 290,000 | | | BBB- | | 5.150% due 5/22/45 | | | 298,915 | |
| | | | | | HSBC Holdings PLC: | | | | |
| | | | | | Junior Subordinated Notes: | | | | |
| | 210,000 | | | Baa3(b) | | 6.375% (5-Year USD 1100 Run ICE Swap Rate + 3.705%)(d)(e) | | | 210,000 | |
| | 240,000 | | | Baa3(b) | | 6.250% (5-Year USD 1100 Run ICE Swap Rate + 3.453%)(d)(e) | | | 241,212 | |
| | 240,000 | | | Baa3(b) | | 6.500% (5-Year USD 1100 Run ICE Swap Rate + 3.606%)(d)(e) | | | 235,200 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 200,000 | | | A | | 3.400% due 3/8/21 | | | 200,107 | |
| | 200,000 | | | A | | 2.650% due 1/5/22 | | | 194,773 | |
| | 200,000 | | | A | | 3.950% (3-Month USD-LIBOR + 0.987%) due 5/18/24(d) | | | 200,567 | |
| | 1,210,000 | | | A | | 4.583% (3-Month USD-LIBOR + 1.535%) due 6/19/29(d) | | | 1,231,521 | |
| | | | | | Subordinated Notes: | | | | |
| | 240,000 | | | BBB+ | | 4.250% due 8/18/25 | | | 238,887 | |
| | 390,000 | | | BBB+ | | 6.500% due 9/15/37 | | | 467,741 | |
| | | | | | HSBC USA Inc.: | | | | |
| | 385,000 | | | A | | Senior Unsecured Notes, 2.350% due 3/5/20 | | | 381,240 | |
| | 100,000 | | | A- | | Subordinated Notes, 5.000% due 9/27/20 | | | 103,164 | |
| | | | | | ING Bank NV: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 610,000 | | | A+ | | 2.450% due 3/16/20(a) | | | 604,375 | |
| | 200,000 | | | A+ | | 2.750% due 3/22/21(a) | | | 197,144 | |
| | 200,000 | | | BBB+ | | Subordinated Notes, 5.800% due 9/25/23(a) | | | 212,867 | |
| | 200,000 | | | BBB+ | | ING Bank NV, (Restricted, cost — $204,620, acquired 5/18/17), Subordinated Notes, 4.125% (5-Year USD 1100 Run ICE Swap Rate + 2.700%) due 11/21/23(d)(f) | | | 200,796 | |
See Notes to Financial Statements.
162
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Banks — 11.1% — (continued) | |
| | | | | | Intesa Sanpaolo SpA: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| $ | 400,000 | | | BBB | | 3.125% due 7/14/22(a) | | $ | 372,021 | |
| | 200,000 | | | BBB | | 3.375% due 1/12/23(a) | | | 184,155 | |
| | 580,000 | | | BBB | | 3.875% due 7/14/27(a) | | | 499,324 | |
| | 200,000 | | | BBB | | 3.875% due 1/12/28(a) | | | 170,421 | |
| | 810,000 | | | BB+ | | Subordinated Notes, 5.017% due 6/26/24(a) | | | 733,830 | |
| | | | | | JPMorgan Chase & Co.: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 200,000 | | | A- | | 2.250% due 1/23/20 | | | 198,030 | |
| | 555,000 | | | A- | | 2.750% due 6/23/20 | | | 552,277 | |
| | 90,000 | | | A- | | 4.400% due 7/22/20 | | | 92,205 | |
| | 200,000 | | | A- | | 2.550% due 3/1/21 | | | 197,000 | |
| | 10,000 | | | A- | | 3.514% (3-Month USD-LIBOR + 0.610%) due 6/18/22(d) | | | 10,054 | |
| | 99,000 | | | A- | | 2.972% due 1/15/23 | | | 97,043 | |
| | 624,000 | | | A- | | 2.776% (3-Month USD-LIBOR + 0.935%) due 4/25/23(d) | | | 608,559 | |
| | 55,000 | | | A- | | 3.572% (3-Month USD-LIBOR + 1.230%) due 10/24/23(d) | | | 56,103 | |
| | 175,000 | | | A- | | 3.559% (3-Month USD-LIBOR + 0.730%) due 4/23/24(d) | | | 174,466 | |
| | 285,000 | | | A- | | 3.797% (3-Month USD-LIBOR + 0.890%) due 7/23/24(d) | | | 286,058 | |
| | 180,000 | | | A- | | 3.300% due 4/1/26 | | | 173,870 | |
| | 580,000 | | | A- | | 3.782% (3-Month USD-LIBOR + 1.337%) due 2/1/28(d) | | | 567,937 | |
| | 100,000 | | | A- | | 3.540% (3-Month USD-LIBOR + 1.380%) due 5/1/28(d) | | | 96,108 | |
| | 1,420,000 | | | A- | | 3.509% (3-Month USD-LIBOR + 0.945%) due 1/23/29(d) | | | 1,358,420 | |
| | 950,000 | | | A- | | 4.203% (3-Month USD-LIBOR + 1.260%) due 7/23/29(d) | | | 954,952 | |
| | | | | | Subordinated Notes: | | | | |
| | 55,000 | | | BBB+ | | 3.375% due 5/1/23 | | | 54,165 | |
| | 270,000 | | | BBB+ | | 3.875% due 9/10/24 | | | 268,628 | |
| | 210,000 | | | BBB+ | | 4.250% due 10/1/27 | | | 210,426 | |
| | 290,000 | | | BBB+ | | 4.950% due 6/1/45 | | | 307,234 | |
| | | | | | JPMorgan Chase Bank NA, Senior Unsecured Notes: | | | | |
| | 1,065,000 | | | A+ | | 2.588% (3-Month USD-LIBOR + 0.250%) due 2/13/20(d) | | | 1,065,858 | |
| | 1,340,000 | | | A+ | | 2.604% (3-Month USD-LIBOR + 0.280%) due 2/1/21(d) | | | 1,331,144 | |
| | 750,000 | | | A+ | | 3.086% (3-Month USD-LIBOR + 0.350%) due 4/26/21(d) | | | 749,609 | |
| | 250,000 | | | A- | | KeyBank NA, Senior Unsecured Notes, 2.500% due 12/15/19 | | | 248,725 | |
| | 150,000 | | | BBB+ | | KeyCorp, Senior Unsecured Notes, 2.900% due 9/15/20 | | | 149,182 | |
| | | | | | Lloyds Bank PLC, Company Guaranteed Notes: | | | | |
| | 425,000 | | | A+ | | 2.700% due 8/17/20 | | | 420,885 | |
| | 725,000 | | | BBB | | 6.500% due 9/14/20(a) | | | 763,222 | |
| | | | | | Lloyds Banking Group PLC: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB+ | | 3.000% due 1/11/22 | | | 195,800 | |
| | 435,000 | | | BBB+ | | 2.907% (3-Month USD-LIBOR + 0.810%) due 11/7/23(d) | | | 416,236 | |
| | 220,000 | | | BBB+ | | 4.450% due 5/8/25 | | | 222,391 | |
| | 200,000 | | | BBB+ | | 4.375% due 3/22/28 | | | 197,346 | |
| | 200,000 | | | BBB+ | | 3.574% (3-Month USD-LIBOR + 1.205%) due 11/7/28(d) | | | 184,809 | |
| | 450,000 | | | BBB- | | Subordinated Notes, 4.582% due 12/10/25 | | | 444,348 | |
| | 500,000 | | | A | | Macquarie Bank Ltd., Senior Unsecured Notes, 2.600% due 6/24/19(a) | | | 499,490 | |
| | 220,000 | | | BBB | | Macquarie Group Ltd., Senior Unsecured Notes, 4.654% (3-Month USD-LIBOR + 1.727%) due 3/27/29(a)(d) | | | 222,186 | |
| | 340,000 | | | A- | | Mizuho Financial Group Inc., Senior Unsecured Notes, 2.953% due 2/28/22 | | | 333,691 | |
| | 250,000 | | | AA- | | National Australia Bank Ltd., Senior Unsecured Notes, 2.125% due 5/22/20 | | | 246,110 | |
| | | | | | Nordea Bank AB: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 335,000 | | | AA- | | 4.875% due 1/27/20(a) | | | 343,216 | |
| | 200,000 | | | A | | 3.750% due 8/30/23(a) | | | 199,754 | |
| | 300,000 | | | A- | | Subordinated Notes, 4.875% due 5/13/21(a) | | | 309,130 | |
See Notes to Financial Statements.
163
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Banks — 11.1% — (continued) | |
| | | | | | PNC Bank NA, Senior Unsecured Notes: | | | | |
| $ | 1,000,000 | | | A | | 2.250% due 7/2/19 | | $ | 997,372 | |
| | 750,000 | | | A | | 2.400% due 10/18/19 | | | 746,935 | |
| | | | | | Royal Bank of Canada: | | | | |
| | 470,000 | | | Aaa(b) | | Covered Notes, 2.200% due 9/23/19 | | | 466,739 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 100,000 | | | AA- | | 2.125% due 3/2/20 | | | 98,936 | |
| | 120,000 | | | AA- | | 2.150% due 10/26/20 | | | 117,789 | |
| | 270,000 | | | AA- | | 3.200% due 4/30/21 | | | 270,296 | |
| | | | | | Royal Bank of Scotland Group PLC: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB- | | 3.498% (3-Month USD-LIBOR + 1.480%) due 5/15/23(d) | | | 194,646 | |
| | 200,000 | | | BBB- | | 4.519% (3-Month USD-LIBOR + 1.550%) due 6/25/24(d) | | | 200,720 | |
| | | | | | Subordinated Notes: | | | | |
| | 30,000 | | | BB | | 6.125% due 12/15/22 | | | 31,509 | |
| | 320,000 | | | BB | | 6.100% due 6/10/23 | | | 336,267 | |
| | 80,000 | | | BB | | 6.000% due 12/19/23 | | | 83,555 | |
| | 110,000 | | | BB | | 5.125% due 5/28/24 | | | 110,537 | |
| | 30,000 | | | BBB+ | | Santander Holdings USA Inc., Senior Unsecured Notes, 4.500% due 7/17/25 | | | 30,003 | |
| | | | | | Santander UK Group Holdings PLC, Senior Unsecured Notes: | | | | |
| | 180,000 | | | BBB | | 2.875% due 10/16/20 | | | 177,909 | |
| | 600,000 | | | BBB | | 2.875% due 8/5/21 | | | 586,413 | |
| | 1,050,000 | | | BBB | | 3.373% (3-Month USD-LIBOR + 1.080%) due 1/5/24(d) | | | 1,016,646 | |
| | | | | | Santander UK PLC: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 70,000 | | | A | | 2.375% due 3/16/20 | | | 69,193 | |
| | 380,000 | | | A | | 3.400% due 6/1/21 | | | 380,232 | |
| | | | | | Subordinated Notes: | | | | |
| | 300,000 | | | BBB- | | 5.000% due 11/7/23(a) | | | 305,087 | |
| | 170,000 | | | BBB- | | 7.950% due 10/26/29 | | | 208,334 | |
| | | | | | Societe Generale SA, Senior Unsecured Notes: | | | | |
| | 205,000 | | | A | | 2.625% due 9/16/20(a) | | | 202,047 | |
| | 260,000 | | | A | | 2.500% due 4/8/21(a) | | | 253,908 | |
| | | | | | Standard Chartered PLC: | | | | |
| | 420,000 | | | BBB+ | | Senior Unsecured Notes, 2.250% due 4/17/20(a) | | | 412,727 | |
| | 400,000 | | | BBB- | | Subordinated Notes, 5.700% due 3/26/44(a) | | | 423,966 | |
| | | | | | State Street Corp., Senior Unsecured Notes: | | | | |
| | 25,000 | | | A | | 1.950% due 5/19/21 | | | 24,272 | |
| | 60,000 | | | A | | 2.650% due 5/19/26 | | | 56,440 | |
| | 250,000 | | | A | | Sumitomo Mitsui Banking Corp., Company Guaranteed Notes, 2.643% (3-Month USD-LIBOR + 0.310%) due 10/18/19(d) | | | 250,436 | |
| | | | | | Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes: | | | | |
| | 575,000 | | | A- | | 2.934% due 3/9/21 | | | 569,410 | |
| | 140,000 | | | A- | | 2.058% due 7/14/21 | | | 134,930 | |
| | 90,000 | | | A- | | 2.778% due 10/18/22 | | | 87,220 | |
| | 205,000 | | | A | | Sumitomo Mitsui Trust Bank Ltd., Senior Unsecured Notes, 1.950% due 9/19/19(a) | | | 202,612 | |
| | 35,000 | | | BBB+ | | SunTrust Banks Inc., Senior Unsecured Notes, 4.000% due 5/1/25 | | | 35,373 | |
| | 250,000 | | | AA- | | Svenska Handelsbanken AB, Company Guaranteed Notes, 3.350% due 5/24/21 | | | 250,863 | |
| | 625,000 | | | BBB | | Synchrony Bank, Senior Unsecured Notes, 3.650% due 5/24/21 | | | 622,857 | |
| | 50,000 | | | BBB- | | Synovus Financial Corp., Senior Unsecured Notes, 3.125% due 11/1/22 | | | 47,938 | |
| | 170,000 | | | AA- | | Toronto-Dominion Bank (The), Senior Unsecured Notes, 3.250% due 6/11/21 | | | 170,440 | |
| | | | | | UBS AG, Senior Unsecured Notes: | | | | |
| | 350,000 | | | A+ | | 2.375% due 8/14/19 | | | 348,938 | |
| | 760,000 | | | A+ | | 2.350% due 3/26/20 | | | 752,191 | |
| | 230,000 | | | A+ | | 2.200% due 6/8/20(a) | | | 225,969 | |
| | 200,000 | | | A+ | | 2.450% due 12/1/20(a) | | | 196,359 | |
See Notes to Financial Statements.
164
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Banks — 11.1% — (continued) | |
| | | | | | UBS Group Funding Switzerland AG, Company Guaranteed Notes: | | | | |
| $ | 260,000 | | | A- | | 2.650% due 2/1/22(a) | | $ | 252,539 | |
| | 650,000 | | | A- | | 3.491% due 5/23/23(a) | | | 642,210 | |
| | 795,000 | | | A- | | 2.859% (3-Month USD-LIBOR + 0.954%) due 8/15/23(a)(d) | | | 768,251 | |
| | 200,000 | | | A- | | 4.125% due 9/24/25(a) | | | 201,075 | |
| | 310,000 | | | A- | | 4.253% due 3/23/28(a) | | | 311,057 | |
| | | | | | US Bank NA, Senior Unsecured Notes: | | | | |
| | 250,000 | | | AA- | | 2.050% due 10/23/20 | | | 244,865 | |
| | 250,000 | | | AA- | | 3.150% due 4/26/21 | | | 250,453 | |
| | 700,000 | | | AA- | | 3.400% due 7/24/23 | | | 700,864 | |
| | 470,000 | | | BBB- | | Wachovia Capital Trust III, Limited Guaranteed Notes, 5.570% (3-Month USD-LIBOR + 0.930%)(d)(e) | | | 468,825 | |
| | 230,000 | | | BBB+ | | Wachovia Corp., Subordinated Notes, 5.500% due 8/1/35 | | | 251,260 | |
| | | | | | Wells Fargo & Co.: | | | | |
| | 60,000 | | | BBB- | | Junior Subordinated Notes, 5.875% (3-Month USD-LIBOR + 3.990%)(d)(e) | | | 63,300 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 249,000 | | | A- | | 2.600% due 7/22/20 | | | 246,798 | |
| | 323,000 | | | A- | | 2.625% due 7/22/22 | | | 312,895 | |
| | 175,000 | | | A- | | 3.069% due 1/24/23 | | | 171,375 | |
| | 41,000 | | | A- | | 3.550% due 9/29/25 | | | 40,275 | |
| | 504,000 | | | A- | | 3.000% due 4/22/26 | | | 473,480 | |
| | 510,000 | | | A- | | 3.000% due 10/23/26 | | | 477,319 | |
| | 980,000 | | | A- | | 3.584% (3-Month USD-LIBOR + 1.310%) due 5/22/28(d) | | | 946,171 | |
| | | | | | Subordinated Notes: | | | | |
| | 330,000 | | | BBB+ | | 3.450% due 2/13/23 | | | 325,623 | |
| | 169,000 | | | BBB+ | | 4.480% due 1/16/24 | | | 174,244 | |
| | 1,045,000 | | | BBB+ | | 4.300% due 7/22/27 | | | 1,047,132 | |
| | 230,000 | | | BBB+ | | 5.375% due 11/2/43 | | | 247,570 | |
| | 110,000 | | | BBB+ | | 5.606% due 1/15/44 | | | 123,434 | |
| | 280,000 | | | BBB+ | | 4.650% due 11/4/44 | | | 276,587 | |
| | 450,000 | | | BBB+ | | 4.900% due 11/17/45 | | | 456,596 | |
| | 40,000 | | | BBB+ | | 4.400% due 6/14/46 | | | 37,785 | |
| | 160,000 | | | BBB+ | | 4.750% due 12/7/46 | | | 159,225 | |
| | | | | | Wells Fargo Bank NA, Senior Unsecured Notes: | | | | |
| | 590,000 | | | A+ | | 2.150% due 12/6/19 | | | 585,174 | |
| | 2,000,000 | | | A+ | | 2.400% due 1/15/20 | | | 1,988,767 | |
| | 1,040,000 | | | A+ | | 2.600% due 1/15/21 | | | 1,026,338 | |
| | 615,000 | | | A+ | | 3.325% (3-Month USD-LIBOR + 0.490%) due 7/23/21(d) | | | 616,383 | |
| | 100,000 | | | BBB- | | Wells Fargo Capital X, Limited Guaranteed Notes, 5.950% due 12/15/36 | | | 107,500 | |
| | | | | | Westpac Banking Corp., Senior Unsecured Notes: | | | | |
| | 380,000 | | | AA- | | 4.875% due 11/19/19 | | | 389,020 | |
| | 70,000 | | | AA- | | 2.150% due 3/6/20 | | | 69,113 | |
| | 20,000 | | | AA- | | 2.300% due 5/26/20 | | | 19,733 | |
| | 435,000 | | | AA- | | 2.600% due 11/23/20 | | | 429,929 | |
| | 195,000 | | | AA- | | 3.650% due 5/15/23 | | | 196,788 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 96,212,547 | |
| | | | | | | | | | |
| | Beverages — 0.6% | |
| | | | | | Anheuser-Busch InBev Finance Inc., Company Guaranteed Notes: | | | | |
| | 200,000 | | | A- | | 2.650% due 2/1/21 | | | 197,826 | |
| | 90,000 | | | A- | | 3.300% due 2/1/23 | | | 89,426 | |
| | 840,000 | | | A- | | 3.650% due 2/1/26 | | | 823,399 | |
| | 240,000 | | | A- | | 4.700% due 2/1/36 | | | 244,459 | |
| | 569,000 | | | A- | | 4.900% due 2/1/46 | | | 586,071 | |
See Notes to Financial Statements.
165
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Beverages — 0.6% — (continued) | |
| | | | | | Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | | | |
| $ | 200,000 | | | A- | | 2.500% due 7/15/22 | | $ | 194,200 | |
| | 220,000 | | | A- | | 3.500% due 1/12/24 | | | 219,359 | |
| | 495,000 | | | A- | | 4.000% due 4/13/28 | | | 494,463 | |
| | 60,000 | | | A- | | 3.750% due 7/15/42 | | | 53,702 | |
| | 160,000 | | | A- | | 4.600% due 4/15/48 | | | 158,188 | |
| | 55,000 | | | A- | | 4.750% due 4/15/58 | | | 54,356 | |
| | | | | | Bacardi Ltd., Company Guaranteed Notes: | | | | |
| | 140,000 | | | BBB- | | 4.700% due 5/15/28(a) | | | 139,916 | |
| | 140,000 | | | BBB- | | 5.300% due 5/15/48(a) | | | 136,723 | |
| | 545,000 | | | A- | | Coca-Cola Femsa SAB de CV, Company Guaranteed Notes, 4.625% due 2/15/20 | | | 556,053 | |
| | 95,000 | | | BBB | | Constellation Brands Inc., Company Guaranteed Notes, 3.600% due 2/15/28 | | | 89,917 | |
| | 173,000 | | | A- | | Diageo Capital PLC, Company Guaranteed Notes, 4.828% due 7/15/20 | | | 178,647 | |
| | 160,000 | | | A- | | Diageo Investment Corp., Company Guaranteed Notes, 2.875% due 5/11/22 | | | 158,162 | |
| | 20,000 | | | BBB | | Keurig Dr Pepper Inc., Company Guaranteed Notes, 4.420% due 12/15/46 | | | 18,629 | |
| | | | | | Molson Coors Brewing Co., Company Guaranteed Notes: | | | | |
| | 580,000 | | | BBB- | | 2.250% due 3/15/20 | | | 572,603 | |
| | 50,000 | | | BBB- | | 3.500% due 5/1/22 | | | 49,927 | |
| | | | | | PepsiCo Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | A+ | | 2.375% due 10/6/26 | | | 55,243 | |
| | 90,000 | | | A+ | | 3.000% due 10/15/27 | | | 86,358 | |
| | 60,000 | | | A+ | | 3.450% due 10/6/46 | | | 54,676 | |
| | 60,000 | | | A+ | | 4.000% due 5/2/47 | | | 59,676 | |
| | 190,000 | | | BBB | | Pernod Ricard SA, Senior Unsecured Notes, 4.450% due 1/15/22(a) | | | 195,417 | |
| | | | | | | | | | |
| | | | | | Total Beverages | | | 5,467,396 | |
| | | | | | | | | | |
| | Biotechnology — 0.4% | |
| | | | | | Amgen Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | A | | 2.200% due 5/11/20 | | | 59,280 | |
| | 70,000 | | | A | | 3.625% due 5/22/24 | | | 70,508 | |
| | 300,000 | | | A | | 4.400% due 5/1/45 | | | 292,208 | |
| | 54,000 | | | A | | 4.563% due 6/15/48 | | | 53,301 | |
| | 112,000 | | | A | | 4.663% due 6/15/51 | | | 112,448 | |
| | | | | | Baxalta Inc., Company Guaranteed Notes: | | | | |
| | 130,000 | | | BBB- | | 2.875% due 6/23/20 | | | 129,804 | |
| | 205,000 | | | BBB- | | 4.000% due 6/23/25 | | | 207,615 | |
| | | | | | Celgene Corp., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BBB+ | | 3.550% due 8/15/22 | | | 60,001 | |
| | 323,000 | | | BBB+ | | 3.875% due 8/15/25 | | | 319,013 | |
| | 325,000 | | | BBB+ | | 3.900% due 2/20/28 | | | 317,147 | |
| | 410,000 | | | BBB+ | | 5.000% due 8/15/45 | | | 408,927 | |
| | | | | | Gilead Sciences Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | A | | 2.550% due 9/1/20 | | | 39,657 | |
| | 15,000 | | | A | | 2.500% due 9/1/23 | | | 14,383 | |
| | 410,000 | | | A | | 3.700% due 4/1/24 | | | 413,522 | |
| | 60,000 | | | A | | 3.650% due 3/1/26 | | | 59,524 | |
| | 50,000 | | | A | | 2.950% due 3/1/27 | | | 46,973 | |
| | 345,000 | | | A | | 4.800% due 4/1/44 | | | 361,395 | |
| | 355,000 | | | A | | 4.750% due 3/1/46 | | | 370,854 | |
| | 15,000 | | | A | | 4.150% due 3/1/47 | | | 14,362 | |
| | | | | | | | | | |
| | | | | | Total Biotechnology | | | 3,350,922 | |
| | | | | | | | | | |
| | Building Materials — 0.0% | |
| | 5,000 | | | BBB+ | | Johnson Controls International PLC, Senior Unsecured Notes, 3.900% due 2/14/26 | | | 4,975 | |
| | 30,000 | | | BBB | | Owens Corning, Senior Unsecured Notes, 4.400% due 1/30/48 | | | 25,366 | |
| | | | | | | | | | |
| | | | | | Total Building Materials | | | 30,341 | |
| | | | | | | | | | |
See Notes to Financial Statements.
166
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Chemicals — 0.2% | |
| $ | 200,000 | | | A- | | Air Liquide Finance SA, Company Guaranteed Notes, 1.750% due 9/27/21(a) | | $ | 191,504 | |
| | 150,000 | | | BB- | | Axalta Coating Systems LLC, Company Guaranteed Notes, 4.875% due 8/15/24(a) | | | 149,437 | |
| | | | | | Dow Chemical Co. (The), Senior Unsecured Notes: | | | | |
| | 650,000 | | | BBB | | 8.550% due 5/15/19 | | | 674,920 | |
| | 16,000 | | | BBB | | 4.375% due 11/15/42 | | | 15,208 | |
| | 61,000 | | | BBB | | Eastman Chemical Co., Senior Unsecured Notes, 3.800% due 3/15/25 | | | 60,825 | |
| | 200,000 | | | BBB+ | | LyondellBasell Industries NV, Senior Unsecured Notes, 6.000% due 11/15/21 | | | 213,488 | |
| | | | | | Monsanto Co., Company Guaranteed Notes: | | | | |
| | 60,000 | | | BBB | | 3.375% due 7/15/24 | | | 57,169 | |
| | 30,000 | | | BBB | | 4.400% due 7/15/44 | | | 25,103 | |
| | 60,000 | | | BBB | | Nutrien Ltd., Senior Unsecured Notes, 4.875% due 3/30/20 | | | 61,290 | |
| | 200,000 | | | BBB- | | OCP SA, Senior Unsecured Notes, 4.500% due 10/22/25(a) | | | 193,785 | |
| | 40,000 | | | BBB | | Sherwin-Williams Co. (The), Senior Unsecured Notes, 4.500% due 6/1/47 | | | 38,674 | |
| | 200,000 | | | BBB- | | Syngenta Finance NV, Company Guaranteed Notes, 3.933% due 4/23/21(a) | | | 200,650 | |
| | 115,000 | | | BB+ | | Valvoline Inc., Company Guaranteed Notes, 5.500% due 7/15/24 | | | 117,875 | |
| | | | | | | | | | |
| | | | | | Total Chemicals | | | 1,999,928 | |
| | | | | | | | | | |
| | Commercial Services — 0.2% | |
| | 90,000 | | | A- | | Ecolab Inc., Senior Unsecured Notes, 4.350% due 12/8/21 | | | 93,183 | |
| | 10,000 | | | BBB+ | | Equifax Inc., Senior Unsecured Notes, 2.300% due 6/1/21 | | | 9,663 | |
| | | | | | IHS Markit Ltd.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 84,000 | | | BBB- | | 5.000% due 11/1/22(a) | | | 87,120 | |
| | 28,000 | | | BBB- | | 4.000% due 3/1/26(a) | | | 27,006 | |
| | 450,000 | | | BBB- | | Senior Unsecured Notes, 4.750% due 8/1/28 | | | 454,505 | |
| | 460,000 | | | AAA | | Northwestern University, Unsecured Notes, 3.688% due 12/1/38 | | | 456,165 | |
| | 45,000 | | | A3(b) | | S&P Global Inc., Company Guaranteed Notes, 4.000% due 6/15/25 | | | 45,547 | |
| | | | | | Total System Services Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | BBB- | | 3.800% due 4/1/21 | | | 40,305 | |
| | 70,000 | | | BBB- | | 3.750% due 6/1/23 | | | 69,801 | |
| | 330,000 | | | BBB- | | 4.000% due 6/1/23 | | | 332,570 | |
| | 210,000 | | | BB | | United Rentals North America Inc., Company Guaranteed Notes, 5.750% due 11/15/24 | | | 217,549 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services | | | 1,833,414 | |
| | | | | | | | | | |
| | Computers — 0.4% | |
| | | | | | Apple Inc., Senior Unsecured Notes: | | | | |
| | 110,000 | | | AA+ | | 1.550% due 8/4/21 | | | 105,858 | |
| | 300,000 | | | AA+ | | 2.400% due 5/3/23 | | | 290,543 | |
| | 280,000 | | | AA+ | | 2.450% due 8/4/26 | | | 260,631 | |
| | 550,000 | | | AA+ | | 3.350% due 2/9/27 | | | 543,163 | |
| | 360,000 | | | AA+ | | 2.900% due 9/12/27 | | | 342,303 | |
| | 170,000 | | | AA+ | | 4.650% due 2/23/46 | | | 186,071 | |
| | 135,000 | | | AA+ | | 3.850% due 8/4/46 | | | 130,807 | |
| | 250,000 | | | AA+ | | 3.750% due 11/13/47 | | | 238,107 | |
| | | | | | Dell International LLC/EMC Corp., Senior Secured Notes: | | | | |
| | 980,000 | | | BBB- | | 3.480% due 6/1/19(a) | | | 983,441 | |
| | 180,000 | | | BBB- | | 4.420% due 6/15/21(a) | | | 183,209 | |
| | 100,000 | | | BBB- | | 8.350% due 7/15/46(a) | | | 123,058 | |
| | 15,000 | | | BBB | | DXC Technology Co., Senior Unsecured Notes, 2.875% due 3/27/20 | | | 14,876 | |
| | 150,000 | | | A+ | | International Business Machines Corp., Senior Unsecured Notes, 2.875% due 11/9/22 | | | 147,754 | |
| | 45,000 | | | BB+ | | Seagate HDD Cayman, Company Guaranteed Notes, 4.750% due 1/1/25 | | | 43,192 | |
| | | | | | | | | | |
| | | | | | Total Computers | | | 3,593,013 | |
| | | | | | | | | | |
See Notes to Financial Statements.
167
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Cosmetics/Personal Care — 0.0% | |
| | | | | | First Quality Finance Co., Inc.: | | | | |
| $ | 58,000 | | | BB- | | Company Guaranteed Notes, 5.000% due 7/1/25(a) | | $ | 54,520 | |
| | 57,000 | | | BB- | | Senior Unsecured Notes, 4.625% due 5/15/21(a) | | | 56,573 | |
| | | | | | | | | | |
| | | | | | Total Cosmetics/Personal Care | | | 111,093 | |
| | | | | | | | | | |
| | Diversified Financial Services — 0.8% | |
| | | | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes: | | | | |
| | 210,000 | | | BBB- | | 4.500% due 5/15/21 | | | 213,742 | |
| | 150,000 | | | BBB- | | 5.000% due 10/1/21 | | | 155,138 | |
| | | | | | Air Lease Corp., Senior Unsecured Notes: | | | | |
| | 515,000 | | | BBB | | 4.750% due 3/1/20 | | | 525,477 | |
| | 45,000 | | | BBB | | 3.875% due 7/3/23 | | | 44,811 | |
| | | | | | American Express Co., Senior Unsecured Notes: | | | | |
| | 72,000 | | | BBB+ | | 2.650% due 12/2/22 | | | 69,766 | |
| | 225,000 | | | BBB+ | | 3.700% due 8/3/23 | | | 226,143 | |
| | | | | | American Express Credit Corp., Senior Unsecured Notes: | | | | |
| | 325,000 | | | A- | | 2.375% due 5/26/20 | | | 321,321 | |
| | 100,000 | | | A- | | 2.600% due 9/14/20 | | | 99,236 | |
| | 695,000 | | | AAA | | CDP Financial Inc., Company Guaranteed Notes, 4.400% due 11/25/19(a) | | | 708,932 | |
| | 295,000 | | | AA- | | CME Group Inc., Senior Unsecured Notes, 3.750% due 6/15/28 | | | 299,800 | |
| | 50,000 | | | BBB- | | Discover Financial Services, Senior Unsecured Notes, 3.750% due 3/4/25 | | | 48,195 | |
| | | | | | GE Capital International Funding Co. Unlimited Co., Company Guaranteed Notes: | | | | |
| | 607,000 | | | A | | 2.342% due 11/15/20 | | | 594,802 | |
| | 904,000 | | | A | | 4.418% due 11/15/35 | | | 872,977 | |
| | | | | | Intercontinental Exchange Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 100,000 | | | A | | 2.750% due 12/1/20 | | | 99,294 | |
| | 185,000 | | | A | | 2.350% due 9/15/22 | | | 178,459 | |
| | 60,000 | | | A | | 4.000% due 10/15/23 | | | 61,676 | |
| | 80,000 | | | A | | Senior Unsecured Notes, 3.750% due 9/21/28 | | | 80,408 | |
| | 1,090,000 | | | BBB- | | International Lease Finance Corp., Senior Secured Notes, 7.125% due 9/1/18(a) | | | 1,090,000 | |
| | 30,000 | | | A | | KKR Group Finance Co. II LLC, Company Guaranteed Notes, 5.500% due 2/1/43(a) | | | 31,780 | |
| | 650,000 | | | NR | | Lehman Brothers Holdings Inc., Subordinated Notes, 6.750% due 12/28/17#(g)(h) | | | — | |
| | 80,000 | | | B+ | | Navient Corp., Senior Unsecured Notes, 8.000% due 3/25/20 | | | 85,020 | |
| | 30,000 | | | A- | | Nomura Holdings Inc., Senior Unsecured Notes, 2.750% due 3/19/19 | | | 30,006 | |
| | 420,000 | | | A- | | ORIX Corp., Senior Unsecured Notes, 2.900% due 7/18/22 | | | 408,369 | |
| | 50,000 | | | BB | | Quicken Loans Inc., Company Guaranteed Notes, 5.750% due 5/1/25(a) | | | 49,750 | |
| | 35,000 | | | BBB- | | Synchrony Financial, Senior Unsecured Notes, 3.950% due 12/1/27 | | | 31,979 | |
| | | | | | Visa Inc., Senior Unsecured Notes: | | | | |
| | 440,000 | | | A+ | | 3.150% due 12/14/25 | | | 431,506 | |
| | 210,000 | | | A+ | | 4.300% due 12/14/45 | | | 221,476 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 6,980,063 | |
| | | | | | | | | | |
| | Electric — 1.8% | |
| | 50,000 | | | A- | | AEP Texas Inc., Senior Unsecured Notes, 2.400% due 10/1/22 | | | 48,080 | |
| | 90,000 | | | BB+ | | AES Corp., Senior Unsecured Notes, 4.875% due 5/15/23 | | | 91,575 | |
| | | | | | Alabama Power Co., Senior Unsecured Notes: | | | | |
| | 17,000 | | | A- | | 5.200% due 6/1/41 | | | 18,888 | |
| | 40,000 | | | A- | | 3.850% due 12/1/42 | | | 38,246 | |
| | 90,000 | | | A- | | 4.150% due 8/15/44 | | | 89,136 | |
| | 65,000 | | | A- | | 4.300% due 7/15/48 | | | 66,186 | |
| | 100,000 | | | BBB+ | | Alliant Energy Finance LLC, Company Guaranteed Notes, 3.750% due 6/15/23(a) | | | 100,365 | |
| | 150,000 | | | A- | | Baltimore Gas & Electric Co., Senior Unsecured Notes, 3.750% due 8/15/47 | | | 141,869 | |
| | 170,000 | | | A- | | Berkshire Hathaway Energy Co., Senior Unsecured Notes, 3.250% due 4/15/28 | | | 162,830 | |
| | 20,000 | | | BBB+ | | Black Hills Corp., Senior Unsecured Notes, 3.150% due 1/15/27 | | | 18,622 | |
See Notes to Financial Statements.
168
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Electric — 1.8% — (continued) | |
| $ | 30,000 | | | A | | CenterPoint Energy Houston Electric LLC, General Refinance Mortgage, 3.950% due 3/1/48 | | $ | 29,747 | |
| | 30,000 | | | BBB | | CMS Energy Corp., Senior Unsecured Notes, 3.000% due 5/15/26 | | | 28,346 | |
| | 35,000 | | | BBB | | Dominion Energy Inc., Junior Subordinated Notes, 2.579% due 7/1/20 | | | 34,538 | |
| | | | | | DTE Electric Co., General Refinance Mortgage: | | | | |
| | 65,000 | | | A | | 3.650% due 3/15/24 | | | 65,611 | |
| | 100,000 | | | A | | 3.700% due 3/15/45 | | | 94,481 | |
| | | | | | Duke Energy Carolinas LLC: | | | | |
| | | | | | 1st Mortgage Notes: | | | | |
| | 500,000 | | | A | | 4.250% due 12/15/41 | | | 512,425 | |
| | 60,000 | | | A | | 3.700% due 12/1/47 | | | 56,116 | |
| | 30,000 | | | A | | 3.950% due 3/15/48 | | | 29,278 | |
| | 145,000 | | | A | | 1st Ref Notes, 2.950% due 12/1/26 | | | 139,223 | |
| | | | | | Duke Energy Corp., Senior Unsecured Notes: | | | | |
| | 410,000 | | | BBB+ | | 3.550% due 9/15/21 | | | 414,733 | |
| | 570,000 | | | BBB+ | | 3.050% due 8/15/22 | | | 563,248 | |
| | 260,000 | | | BBB+ | | 3.950% due 10/15/23 | | | 263,516 | |
| | 180,000 | | | BBB+ | | 2.650% due 9/1/26 | | | 164,128 | |
| | | | | | Duke Energy Florida LLC: | | | | |
| | | | | | 1st Mortgage Notes: | | | | |
| | 45,000 | | | A | | 3.800% due 7/15/28 | | | 45,550 | |
| | 195,000 | | | A | | 5.900% due 3/1/33 | | | 235,779 | |
| | 22,500 | | | A- | | Senior Unsecured Notes, 2.100% due 12/15/19 | | | 22,404 | |
| | 30,000 | | | A | | Duke Energy Progress LLC, 1st Mortgage Notes, 3.700% due 9/1/28 | | | 30,236 | |
| | 750,000 | | | BBB- | | Duquesne Light Holdings Inc., Senior Unsecured Notes, 6.400% due 9/15/20(a) | | | 789,311 | |
| | 15,000 | | | BBB | | Emera US Finance LP, Company Guaranteed Notes, 2.150% due 6/15/19 | | | 14,894 | |
| | 35,000 | | | BBB | | Entergy Corp., Senior Unsecured Notes, 2.950% due 9/1/26 | | | 32,457 | |
| | | | | | Entergy Texas Inc., 1st Mortgage Notes: | | | | |
| | 920,000 | | | A | | 7.125% due 2/1/19 | | | 936,653 | |
| | 60,000 | | | A | | 3.450% due 12/1/27 | | | 58,035 | |
| | | | | | Exelon Corp., Senior Unsecured Notes: | | | | |
| | 175,000 | | | BBB- | | 2.850% due 6/15/20 | | | 173,922 | |
| | 5,000 | | | BBB- | | 2.450% due 4/15/21 | | | 4,868 | |
| | 10,000 | | | BBB- | | 3.400% due 4/15/26 | | | 9,656 | |
| | 200,000 | | | BBB- | | 4.950% due 6/15/35 | | | 210,803 | |
| | 143,000 | | | BBB- | | 5.625% due 6/15/35 | | | 163,327 | |
| | | | | | FirstEnergy Corp., Senior Unsecured Notes: | | | | |
| | 310,000 | | | BBB- | | 3.900% due 7/15/27 | | | 305,267 | |
| | 1,250,000 | | | BBB- | | 7.375% due 11/15/31 | | | 1,625,445 | |
| | | | | | Florida Power & Light Co., 1st Mortgage Notes: | | | | |
| | 50,000 | | | A | | 3.125% due 12/1/25 | | | 49,166 | |
| | 10,000 | | | A | | 5.690% due 3/1/40 | | | 12,469 | |
| | 52,000 | | | A | | 4.050% due 6/1/42 | | | 52,993 | |
| | 20,000 | | | A | | 3.800% due 12/15/42 | | | 19,520 | |
| | 50,000 | | | A | | 3.700% due 12/1/47 | | | 47,834 | |
| | 15,000 | | | A | | 4.125% due 6/1/48 | | | 15,370 | |
| | | | | | Georgia Power Co., Senior Unsecured Notes: | | | | |
| | 70,000 | | | A- | | 2.000% due 3/30/20 | | | 68,769 | |
| | 80,000 | | | A- | | 3.250% due 3/30/27 | | | 75,673 | |
| | | | | | Indiana Michigan Power Co., Senior Unsecured Notes: | | | | |
| | 500,000 | | | A- | | 7.000% due 3/15/19 | | | 511,082 | |
| | 15,000 | | | A- | | 4.250% due 8/15/48 | | | 15,151 | |
| | 108,433 | | | BBB+ | | Indiantown Cogeneration LP, 1st Mortgage Notes, 9.770% due 12/15/20(h) | | | 116,298 | |
| | 600,000 | | | A- | | Interstate Power & Light Co., Senior Unsecured Notes, 5.875% due 9/15/18 | | | 600,538 | |
| | 400,000 | | | A- | | ITC Holdings Corp., Senior Unsecured Notes, 4.050% due 7/1/23 | | | 402,529 | |
| | 700,000 | | | BBB | | Jersey Central Power & Light Co., Senior Unsecured Notes, 4.700% due 4/1/24(a) | | | 731,560 | |
See Notes to Financial Statements.
169
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Electric — 1.8% — (continued) | |
| $ | 775,000 | | | A- | | KCP&L Greater Missouri Operations Co., Senior Unsecured Notes, 8.270% due 11/15/21 | | $ | 874,656 | |
| | 400,000 | | | A+ | | MidAmerican Energy Co., 1st Mortgage Notes, 4.250% due 5/1/46 | | | 412,353 | |
| | 105,000 | | | BBB | | Mid-Atlantic Interstate Transmission LLC, Senior Unsecured Notes, 4.100% due 5/15/28(a) | | | 105,866 | |
| | | | | | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes: | | | | |
| | 800,000 | | | BBB+ | | 2.821% (3-Month USD-LIBOR + 0.480%) due 5/4/21(d) | | | 802,355 | |
| | 50,000 | | | BBB+ | | 3.550% due 5/1/27 | | | 48,741 | |
| | 70,000 | | | BB | | NextEra Energy Operating Partners LP, Company Guaranteed Notes, 4.500% due 9/15/27(a) | | | 66,763 | |
| | | | | | Northern States Power Co., 1st Mortgage Notes: | | | | |
| | 70,000 | | | A | | 3.600% due 5/15/46 | | | 65,620 | |
| | 80,000 | | | A | | 3.600% due 9/15/47 | | | 75,046 | |
| | | | | | Ohio Power Co., Senior Unsecured Notes: | | | | |
| | 40,000 | | | A- | | 6.600% due 2/15/33 | | | 50,747 | |
| | 30,000 | | | A- | | 4.150% due 4/1/48 | | | 30,391 | |
| | 20,000 | | | A+ | | Oncor Electric Delivery Co. LLC, Senior Secured Notes, 3.800% due 9/30/47 | | | 19,458 | |
| | 630,000 | | | BBB | | Pacific Gas & Electric Co., Senior Unsecured Notes, 6.050% due 3/1/34 | | | 709,757 | |
| | 120,000 | | | A+ | | PacifiCorp, 1st Mortgage Notes, 5.750% due 4/1/37 | | | 145,824 | |
| | 500,000 | | | A | | Public Service Electric & Gas Co., 1st Mortgage Notes, 4.000% due 6/1/44 | | | 493,993 | |
| | 90,000 | | | BBB+ | | Sempra Energy, Senior Unsecured Notes, 2.839% (3-Month USD-LIBOR + 0.500%) due 1/15/21(d) | | | 90,077 | |
| | 130,000 | | | BBB+ | | Southern Power Co., Senior Unsecured Notes, 2.375% due 6/1/20 | | | 128,310 | |
| | | | | | Virginia Electric & Power Co., Senior Unsecured Notes: | | | | |
| | 175,000 | | | BBB+ | | 2.750% due 3/15/23 | | | 170,793 | |
| | 90,000 | | | BBB+ | | 3.800% due 4/1/28 | | | 91,147 | |
| | 195,000 | | | BBB+ | | 6.000% due 5/15/37 | | | 239,167 | |
| | 25,000 | | | BBB+ | | 6.350% due 11/30/37 | | | 31,722 | |
| | 70,000 | | | BBB+ | | 4.000% due 1/15/43 | | | 68,040 | |
| | 595,000 | | | BBB+ | | 4.000% due 11/15/46 | | | 573,145 | |
| | 45,000 | | | BBB+ | | WEC Energy Group Inc., Senior Unsecured Notes, 3.375% due 6/15/21 | | | 45,207 | |
| | | | | | | | | | |
| | | | | | Total Electric | | | 15,887,924 | |
| | | | | | | | | | |
| | Electronics — 0.0% | |
| | 10,000 | | | BBB+ | | Agilent Technologies Inc., Senior Unsecured Notes, 3.050% due 9/22/26 | | | 9,406 | |
| | 10,000 | | | BBB- | | Avnet Inc., Senior Unsecured Notes, 4.625% due 4/15/26 | | | 10,017 | |
| | 235,000 | | | BBB+ | | Corning Inc., Senior Unsecured Notes, 4.375% due 11/15/57 | | | 212,420 | |
| | 65,000 | | | BB- | | Itron Inc., Company Guaranteed Notes, 5.000% due 1/15/26(a) | | | 62,120 | |
| | 60,000 | | | BBB- | | Trimble Inc., Senior Unsecured Notes, 4.150% due 6/15/23 | | | 60,317 | |
| | 20,000 | | | A- | | Tyco Electronics Group SA, Company Guaranteed Notes, 3.450% due 8/1/24 | | | 19,693 | |
| | | | | | | | | | |
| | | | | | Total Electronics | | | 373,973 | |
| | | | | | | | | | |
| | Entertainment — 0.0% | |
| | 165,000 | | | BBB- | | GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes, 5.375% due 4/15/26 | | | 171,757 | |
| | | | | | | | | | |
| | Environmental Control — 0.1% | |
| | 72,000 | | | BB+ | | Clean Harbors Inc., Company Guaranteed Notes, 5.125% due 6/1/21 | | | 72,360 | |
| | | | | | Republic Services Inc., Senior Unsecured Notes: | | | | |
| | 150,000 | | | BBB+ | | 3.200% due 3/15/25 | | | 145,775 | |
| | 20,000 | | | BBB+ | | 2.900% due 7/1/26 | | | 18,702 | |
| | 295,000 | | | BBB+ | | 3.375% due 11/15/27 | | | 284,151 | |
| | | | | | Waste Management Inc., Company Guaranteed Notes: | | | | |
| | 40,000 | | | A- | | 4.600% due 3/1/21 | | | 41,302 | |
| | 100,000 | | | A- | | 3.500% due 5/15/24 | | | 99,756 | |
| | 70,000 | | | A- | | 7.375% due 5/15/29 | | | 87,966 | |
| | | | | | | | | | |
| | | | | | Total Environmental Control | | | 750,012 | |
| | | | | | | | | | |
See Notes to Financial Statements.
170
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Food — 0.6% | |
| | | | | | Campbell Soup Co., Senior Unsecured Notes: | | | | |
| $ | 395,000 | | | BBB- | | 3.300% due 3/15/21 | | $ | 393,253 | |
| | 285,000 | | | BBB- | | 3.650% due 3/15/23 | | | 279,058 | |
| | 67,000 | | | CCC+ | | Chobani LLC/Chobani Finance Corp., Inc., Company Guaranteed Notes, 7.500% due 4/15/25(a) | | | 56,699 | |
| | 1,130,000 | | | BBB+ | | Danone SA, Senior Unsecured Notes, 2.077% due 11/2/21(a) | | | 1,084,985 | |
| | 670,000 | | | BBB | | General Mills Inc., Senior Unsecured Notes, 3.700% due 10/17/23 | | | 671,564 | |
| | | | | | Kraft Heinz Foods Co.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 310,000 | | | BBB | | 5.375% due 2/10/20 | | | 319,974 | |
| | 80,000 | | | BBB | | 3.950% due 7/15/25 | | | 78,911 | |
| | 50,000 | | | BBB | | 3.000% due 6/1/26 | | | 45,707 | |
| | 60,000 | | | BBB | | 5.000% due 7/15/35 | | | 59,428 | |
| | 120,000 | | | BBB | | 5.200% due 7/15/45 | | | 117,326 | |
| | 785,000 | | | BBB | | 4.375% due 6/1/46 | | | 690,237 | |
| | 96,000 | | | BBB | | Secured Notes, 4.875% due 2/15/25(a) | | | 97,915 | |
| | 500,000 | | | BBB | | Mondelez International Holdings Netherlands BV, Company Guaranteed Notes, 2.000% due 10/28/21(a) | | | 479,076 | |
| | 102,000 | | | BB- | | Pilgrim’s Pride Corp., Senior Unsecured Notes, 5.875% due 9/30/27(a) | | | 97,155 | |
| | 100,000 | | | B+ | | Post Holdings Inc., Company Guaranteed Notes, 5.625% due 1/15/28(a) | | | 97,000 | |
| | 85,000 | | | BBB+ | | Sysco Corp., Company Guaranteed Notes, 3.550% due 3/15/25 | | | 83,708 | |
| | | | | | Tyson Foods Inc.: | | | | |
| | 60,000 | | | BBB | | Company Guaranteed Notes, 3.950% due 8/15/24 | | | 60,318 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 111,000 | | | BBB | | 3.550% due 6/2/27 | | | 105,602 | |
| | 20,000 | | | BBB | | 4.550% due 6/2/47 | | | 18,915 | |
| | | | | | WM Wrigley Jr Co., Senior Unsecured Notes: | | | | |
| | 50,000 | | | A | | 2.400% due 10/21/18(a) | | | 50,001 | |
| | 140,000 | | | A | | 2.900% due 10/21/19(a) | | | 140,044 | |
| | | | | | | | | | |
| | | | | | Total Food | | | 5,026,876 | |
| | | | | | | | | | |
| | Forest Products & Paper — 0.1% | |
| | | | | | Georgia-Pacific LLC: | | | | |
| | 19,000 | | | A+ | | Company Guaranteed Notes, 5.400% due 11/1/20(a) | | | 19,866 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 500,000 | | | A+ | | 2.539% due 11/15/19(a) | | | 497,306 | |
| | 55,000 | | | A+ | | 3.734% due 7/15/23(a) | | | 55,707 | |
| | 40,000 | | | A+ | | 3.600% due 3/1/25(a) | | | 39,949 | |
| | 85,000 | | | BBB | | International Paper Co., Senior Unsecured Notes, 4.350% due 8/15/48 | | | 78,185 | |
| | | | | | | | | | |
| | | | | | Total Forest Products & Paper | | | 691,013 | |
| | | | | | | | | | |
| | Gas — 0.1% | |
| | 95,000 | | | A- | | CenterPoint Energy Resources Corp., Senior Unsecured Notes, 4.100% due 9/1/47 | | | 89,126 | |
| | | | | | NiSource Inc., Senior Unsecured Notes: | | | | |
| | 400,000 | | | BBB+ | | 2.650% due 11/17/22 | | | 386,282 | |
| | 140,000 | | | BBB+ | | 3.490% due 5/15/27 | | | 135,582 | |
| | 250,000 | | | A- | | Southern Co. Gas Capital Corp., Company Guaranteed Notes, 4.400% due 5/30/47 | | | 243,391 | |
| | | | | | | | | | |
| | | | | | Total Gas | | | 854,381 | |
| | | | | | | | | | |
| | Healthcare — Products — 0.5% | |
| | | | | | Abbott Laboratories, Senior Unsecured Notes: | | | | |
| | 188,000 | | | BBB | | 2.350% due 11/22/19 | | | 186,799 | |
| | 215,000 | | | BBB | | 3.400% due 11/30/23 | | | 214,436 | |
| | 260,000 | | | BBB | | 3.750% due 11/30/26 | | | 259,331 | |
| | 70,000 | | | BBB | | 4.750% due 11/30/36 | | | 74,841 | |
| | 150,000 | | | BBB | | 4.900% due 11/30/46 | | | 164,044 | |
See Notes to Financial Statements.
171
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Healthcare — Products — 0.5% — (continued) | |
| $ | 140,000 | | | A- | | Baxter International Inc., Senior Unsecured Notes, 1.700% due 8/15/21 | | $ | 133,761 | |
| | | | | | Becton Dickinson & Co., Senior Unsecured Notes: | | | | |
| | 265,000 | | | BBB | | 2.404% due 6/5/20 | | | 260,769 | |
| | 655,000 | | | BBB | | 3.363% due 6/6/24 | | | 633,672 | |
| | 61,000 | | | BBB | | 3.734% due 12/15/24 | | | 60,170 | |
| | 60,000 | | | BBB | | 4.685% due 12/15/44 | | | 59,661 | |
| | 120,000 | | | A | | Medtronic Global Holdings SCA, Company Guaranteed Notes, 3.350% due 4/1/27 | | | 118,166 | |
| | | | | | Medtronic Inc., Company Guaranteed Notes: | | | | |
| | 130,000 | | | A | | 2.500% due 3/15/20 | | | 129,193 | |
| | 565,000 | | | A | | 3.500% due 3/15/25 | | | 565,208 | |
| | 80,000 | | | A | | 5.550% due 3/15/40 | | | 94,760 | |
| | 100,000 | | | A | | 4.625% due 3/15/45 | | | 107,446 | |
| | | | | | St Jude Medical LLC, Senior Unsecured Notes: | | | | |
| | 120,000 | | | WR(b) | | 3.250% due 4/15/23 | | | 114,114 | |
| | 13,000 | | | WR(b) | | 4.750% due 4/15/43 | | | 11,830 | |
| | 75,000 | | | A | | Stryker Corp., Senior Unsecured Notes, 3.375% due 11/1/25 | | | 73,403 | |
| | | | | | Thermo Fisher Scientific Inc., Senior Unsecured Notes: | | | | |
| | 20,000 | | | BBB+ | | 2.950% due 9/19/26 | | | 18,701 | |
| | 80,000 | | | BBB+ | | 3.200% due 8/15/27 | | | 75,678 | |
| | 500,000 | | | BBB | | Zimmer Biomet Holdings Inc., Senior Unsecured Notes, 2.700% due 4/1/20 | | | 496,100 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Products | | | 3,852,083 | |
| | | | | | | | | | |
| | Healthcare — Services — 0.9% | |
| | | | | | Aetna Inc., Senior Unsecured Notes: | | | | |
| | 500,000 | | | A | | 4.125% due 6/1/21 | | | 510,111 | |
| | 40,000 | | | A | | 2.800% due 6/15/23 | | | 38,616 | |
| | 55,000 | | | A | | 4.125% due 11/15/42 | | | 51,606 | |
| | 10,000 | | | A | | 3.875% due 8/15/47 | | | 8,962 | |
| | | | | | Anthem Inc., Senior Unsecured Notes: | | | | |
| | 400,000 | | | A | | 2.500% due 11/21/20 | | | 394,249 | |
| | 450,000 | | | A | | 3.125% due 5/15/22 | | | 444,423 | |
| | 135,000 | | | A | | 2.950% due 12/1/22 | | | 131,818 | |
| | 525,000 | | | A | | 3.650% due 12/1/27 | | | 501,402 | |
| | 40,000 | | | A | | 4.375% due 12/1/47 | | | 37,578 | |
| | 80,000 | | | B+ | | Catalent Pharma Solutions Inc., Company Guaranteed Notes, 4.875% due 1/15/26(a) | | | 76,700 | |
| | 30,000 | | | BBB+ | | Catholic Health Initiatives, Secured Notes, 4.350% due 11/1/42 | | | 28,385 | |
| | | | | | Centene Corp., Senior Unsecured Notes: | | | | |
| | 50,000 | | | BB+ | | 5.625% due 2/15/21 | | | 51,125 | |
| | 140,000 | | | BB+ | | 4.750% due 5/15/22 | | | 143,150 | |
| | 90,000 | | | BB+ | | 6.125% due 2/15/24 | | | 94,837 | |
| | 50,000 | | | BB+ | | 4.750% due 1/15/25 | | | 50,375 | |
| | 60,000 | | | BB+ | | 5.375% due 6/1/26(a) | | | 62,090 | |
| | | | | | CHS/Community Health Systems Inc., Senior Secured Notes: | | | | |
| | 50,000 | | | B- | | 6.250% due 3/31/23 | | | 47,750 | |
| | 26,000 | | | B- | | 8.625% due 1/15/24(a) | | | 27,170 | |
| | | | | | Cigna Corp., Senior Unsecured Notes: | | | | |
| | 70,000 | | | A | | 3.250% due 4/15/25 | | | 66,639 | |
| | 50,000 | | | A | | 3.050% due 10/15/27 | | | 45,266 | |
| | 780,000 | | | BBB- | | Fresenius Medical Care US Finance II Inc., Company Guaranteed Notes, 5.625% due 7/31/19(a) | | | 796,991 | |
| | 20,000 | | | BBB- | | Fresenius Medical Care US Finance Inc., Company Guaranteed Notes, 5.750% due 2/15/21(a) | | | 20,972 | |
| | | | | | HCA Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 100,000 | | | BB- | | 7.500% due 2/15/22 | | | 110,000 | |
| | 40,000 | | | Ba2(b) | | 5.375% due 9/1/26 | | | 40,300 | |
| | 20,000 | | | Ba2(b) | | 5.625% due 9/1/28 | | | 20,100 | |
See Notes to Financial Statements.
172
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Healthcare — Services — 0.9% — (continued) | |
| | | | | | Senior Secured Notes: | | | | |
| $ | 491,000 | | | BBB- | | 6.500% due 2/15/20 | | $ | 510,885 | |
| | 10,000 | | | BBB- | | 5.875% due 3/15/22 | | | 10,650 | |
| | 175,000 | | | BBB- | | 5.000% due 3/15/24 | | | 179,375 | |
| | 194,000 | | | BBB- | | 5.250% due 4/15/25 | | | 200,548 | |
| | 20,000 | | | BBB- | | 5.250% due 6/15/26 | | | 20,650 | |
| | 160,000 | | | BBB- | | 5.500% due 6/15/47 | | | 160,800 | |
| | | | | | Humana Inc., Senior Unsecured Notes: | | | | |
| | 360,000 | | | BBB+ | | 2.500% due 12/15/20 | | | 353,762 | |
| | 280,000 | | | BBB+ | | 3.150% due 12/1/22 | | | 275,807 | |
| | 30,000 | | | BBB+ | | 3.950% due 3/15/27 | | | 29,730 | |
| | 70,000 | | | BBB+ | | 4.625% due 12/1/42 | | | 70,219 | |
| | 40,000 | | | BBB+ | | 4.950% due 10/1/44 | | | 42,110 | |
| | 500,000 | | | AA- | | Kaiser Foundation Hospitals, Company Guaranteed Notes, 3.150% due 5/1/27 | | | 483,588 | |
| | | | | | Tenet Healthcare Corp., Senior Secured Notes: | | | | |
| | 70,000 | | | BB- | | 4.500% due 4/1/21 | | | 70,262 | |
| | 81,000 | | | BB- | | 4.375% due 10/1/21 | | | 81,203 | |
| | 24,000 | | | BB- | | 4.625% due 7/15/24 | | | 23,569 | |
| | | | | | UnitedHealth Group Inc., Senior Unsecured Notes: | | | | |
| | 120,000 | | | A+ | | 2.700% due 7/15/20 | | | 119,701 | |
| | 460,000 | | | A+ | | 3.375% due 11/15/21 | | | 463,803 | |
| | 80,000 | | | A+ | | 2.875% due 12/15/21 | | | 79,371 | |
| | 500,000 | | | A+ | | 3.850% due 6/15/28 | | | 505,729 | |
| | 22,000 | | | A+ | | 4.250% due 3/15/43 | | | 22,183 | |
| | 190,000 | | | A+ | | 4.750% due 7/15/45 | | | 206,478 | |
| | 70,000 | | | A+ | | 3.750% due 10/15/47 | | | 65,768 | |
| | | | | | WellCare Health Plans Inc., Senior Unsecured Notes: | | | | |
| | 118,000 | | | BB | | 5.250% due 4/1/25 | | | 120,950 | |
| | 27,000 | | | Ba2(b) | | 5.375% due 8/15/26(a) | | | 27,878 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Services. | | | 7,925,634 | |
| | | | | | | | | | |
| | Home Builders — 0.0% | |
| | | | | | Lennar Corp., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BB+ | | 5.000% due 6/15/27 | | | 9,713 | |
| | 150,000 | | | BB+ | | 4.750% due 11/29/27 | | | 143,812 | |
| | 50,000 | | | BB+ | | Toll Brothers Finance Corp., Company Guaranteed Notes, 4.375% due 4/15/23 | | | 49,948 | |
| | | | | | | | | | |
| | | | | | Total Home Builders | | | 203,473 | |
| | | | | | | | | | |
| | Household Products/Wares — 0.0% | |
| | | | | | Central Garden & Pet Co., Company Guaranteed Notes: | | | | |
| | 48,000 | | | BB- | | 6.125% due 11/15/23 | | | 49,740 | |
| | 80,000 | | | BB- | | 5.125% due 2/1/28 | | | 75,500 | |
| | 100,000 | | | A- | | Clorox Co. (The), Senior Unsecured Notes, 3.900% due 5/15/28 | | | 100,828 | |
| | | | | | | | | | |
| | | | | | Total Household Products/Wares | | | 226,068 | |
| | | | | | | | | | |
| | Housewares — 0.0% | |
| | | | | | Newell Brands Inc., Senior Unsecured Notes: | | | | |
| | 130,000 | | | BBB- | | 3.150% due 4/1/21 | | | 128,166 | |
| | 120,000 | | | BBB- | | 3.850% due 4/1/23 | | | 117,974 | |
| | 100,000 | | | BBB- | | 4.200% due 4/1/26 | | | 96,643 | |
| | 30,000 | | | BBB- | | 5.500% due 4/1/46 | | | 28,845 | |
| | | | | | | | | | |
| | | | | | Total Housewares | | | 371,628 | |
| | | | | | | | | | |
See Notes to Financial Statements.
173
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Insurance — 0.7% | |
| | | | | | American International Group Inc.: | | | | |
| $ | 90,000 | | | BBB- | | Junior Subordinated Notes, 5.750% (3-Month USD-LIBOR + 2.868%) due 4/1/48(d) | | $ | 88,650 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 10,000 | | | BBB+ | | 4.875% due 6/1/22 | | | 10,490 | |
| | 130,000 | | | BBB+ | | 4.375% due 1/15/55 | | | 116,948 | |
| | | | | | Aon PLC, Company Guaranteed Notes: | | | | |
| | 80,000 | | | A- | | 3.875% due 12/15/25 | | | 80,229 | |
| | 46,000 | | | A- | | 4.450% due 5/24/43 | | | 44,491 | |
| | 54,000 | | | A- | | 4.600% due 6/14/44 | | | 54,241 | |
| | 80,000 | | | A- | | 4.750% due 5/15/45 | | | 81,628 | |
| | 350,000 | | | BBB+ | | AXA Equitable Holdings Inc., Senior Unsecured Notes, 3.900% due 4/20/23(a) | | | 349,403 | |
| | 400,000 | | | AA | | Berkshire Hathaway Finance Corp., Company Guaranteed Notes, 4.400% due 5/15/42 | | | 418,619 | |
| | | | | | Berkshire Hathaway Inc., Senior Unsecured Notes: | | | | |
| | 45,000 | | | AA | | 2.750% due 3/15/23 | | | 44,331 | |
| | 30,000 | | | AA | | 3.125% due 3/15/26 | | | 29,223 | |
| | 30,000 | | | BBB+ | | Brighthouse Financial Inc., Senior Unsecured Notes, 4.700% due 6/22/47 | | | 25,228 | |
| | | | | | Chubb INA Holdings Inc., Company Guaranteed Notes: | | | | |
| | 60,000 | | | A | | 2.300% due 11/3/20 | | | 59,090 | |
| | 70,000 | | | A | | 3.350% due 5/3/26 | | | 68,855 | |
| | 100,000 | | | BBB+ | | Farmers Exchange Capital, Subordinated Notes, 7.200% due 7/15/48(a).. | | | 123,316 | |
| | 900,000 | | | BBB+ | | Farmers Exchange Capital II, Subordinated Notes, 6.151% (3-Month USD-LIBOR + 3.744%) due 11/1/53(a)(d) | | | 972,221 | |
| | 44,000 | | | BBB+ | | Hartford Financial Services Group Inc. (The), Senior Unsecured Notes, 4.300% due 4/15/43 | | | 42,659 | |
| | 605,000 | | | AA- | | Jackson National Life Global Funding, Senior Secured Notes, 1.875% due 10/15/18(a) | | | 604,649 | |
| | | | | | Marsh & McLennan Cos., Inc., Senior Unsecured Notes: | | | | |
| | 190,000 | | | A- | | 2.750% due 1/30/22 | | | 186,278 | |
| | 370,000 | | | A- | | 3.500% due 6/3/24 | | | 368,462 | |
| | 40,000 | | | A- | | 3.500% due 3/10/25 | | | 39,653 | |
| | 11,000 | | | A- | | 3.750% due 3/14/26 | | | 11,018 | |
| | 70,000 | | | A- | | 4.350% due 1/30/47 | | | 71,232 | |
| | | | | | MetLife Inc.: | | | | |
| | 620,000 | | | BBB | | Junior Subordinated Notes, 6.400% due 12/15/36 | | | 663,400 | |
| | 95,000 | | | A- | | Senior Unsecured Notes, 3.000% due 3/1/25 | | | 91,482 | |
| | 850,000 | | | A- | | Nationwide Mutual Insurance Co., Subordinated Notes, 4.631% (3-Month USD-LIBOR + 2.290%) due 12/15/24(a)(d). | | | 850,025 | |
| | | | | | Principal Financial Group Inc., Company Guaranteed Notes: | | | | |
| | 35,000 | | | A- | | 3.125% due 5/15/23 | | | 34,377 | |
| | 25,000 | | | A- | | 3.100% due 11/15/26 | | | 23,449 | |
| | 10,000 | | | A- | | 4.625% due 9/15/42 | | | 10,278 | |
| | 140,000 | | | A | | Prudential Financial Inc., Senior Unsecured Notes, 7.375% due 6/15/19 | | | 145,064 | |
| | | | | | Teachers Insurance & Annuity Association of America, Subordinated Notes: | | | | |
| | 24,000 | | | AA- | | 6.850% due 12/16/39(a) | | | 31,905 | |
| | 320,000 | | | AA- | | 4.900% due 9/15/44(a) | | | 346,163 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 6,087,057 | |
| | | | | | | | | | |
| | Internet — 0.2% | |
| | 200,000 | | | A+ | | Alibaba Group Holding Ltd., Senior Unsecured Notes, 4.400% due 12/6/57 | | | 190,245 | |
| | | | | | Amazon.com Inc., Senior Unsecured Notes: | | | | |
| | 470,000 | | | AA- | | 3.150% due 8/22/27 | | | 454,854 | |
| | 89,000 | | | AA- | | 4.800% due 12/5/34 | | | 98,058 | |
| | 80,000 | | | AA- | | 3.875% due 8/22/37 | | | 79,406 | |
| | 160,000 | | | AA- | | 4.950% due 12/5/44 | | | 182,285 | |
| | 137,000 | | | AA- | | 4.050% due 8/22/47 | | | 136,087 | |
| | 70,000 | | | AA- | | 4.250% due 8/22/57 | | | 70,450 | |
| | 35,000 | | | BBB+ | | eBay Inc., Senior Unsecured Notes, 4.000% due 7/15/42 | | | 29,327 | |
See Notes to Financial Statements.
174
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Internet — 0.2% — (continued) | |
| $ | 80,000 | | | B+ | | Netflix Inc., Senior Unsecured Notes, 5.500% due 2/15/22 | | $ | 82,900 | |
| | 407,000 | | | A+ | | Tencent Holdings Ltd., Senior Unsecured Notes, 2.985% due 1/19/23(a) | | | 396,982 | |
| | | | | | | | | | |
| | | | | | Total Internet | | | 1,720,594 | |
| | | | | | | | | | |
| | Investment Companies — 0.0% | |
| | 245,000 | | | BBB- | | Ares Capital Corp., Senior Unsecured Notes, 4.250% due 3/1/25 | | | 237,584 | |
| | | | | | | | | | |
| | Iron/Steel — 0.0% | |
| | 30,000 | | | BBB- | | ArcelorMittal, Senior Unsecured Notes, 7.000% due 10/15/39 | | | 35,040 | |
| | 260,000 | | | BBB- | | Vale Overseas Ltd., Company Guaranteed Notes, 6.875% due 11/21/36 | | | 300,625 | |
| | | | | | | | | | |
| | | | | | Total Iron/Steel | | | 335,665 | |
| | | | | | | | | | |
| | Leisure Time — 0.0% | |
| | 110,000 | | | BB- | | VOC Escrow Ltd., Senior Secured Notes, 5.000% due 2/15/28(a) | | | 106,516 | |
| | | | | | | | | | |
| | Lodging — 0.1% | |
| | 10,000 | | | BB+ | | Hilton Domestic Operating Co., Inc., Company Guaranteed Notes, 5.125% due 5/1/26(a) | | | 10,062 | |
| | | | | | Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BB+ | | 4.625% due 4/1/25 | | | 9,900 | |
| | 120,000 | | | BB+ | | 4.875% due 4/1/27 | | | 118,350 | |
| | 250,000 | | | BBB- | | Sands China Ltd., Senior Unsecured Notes, 5.125% due 8/8/25(a) | | | 252,873 | |
| | | | | | | | | | |
| | | | | | Total Lodging | | | 391,185 | |
| | | | | | | | | | |
| | Machinery — Construction & Mining — 0.0% | |
| | 20,000 | | | A | | ABB Finance USA Inc., Company Guaranteed Notes, 4.375% due 5/8/42 | | | 20,773 | |
| | | | | | | | | | |
| | Machinery — Diversified — 0.1% | |
| | | | | | John Deere Capital Corp., Senior Unsecured Notes: | | | | |
| | 90,000 | | | A | | 2.250% due 4/17/19 | | | 89,776 | |
| | 70,000 | | | A | | 1.700% due 1/15/20 | | | 68,978 | |
| | 5,000 | | | A | | 2.650% due 1/6/22 | | | 4,947 | |
| | 320,000 | | | BBB- | | Nvent Finance Sarl, Company Guaranteed Notes, 3.950% due 4/15/23(a) | | | 319,178 | |
| | | | | | | | | | |
| | | | | | Total Machinery — Diversified | | | 482,879 | |
| | | | | | | | | | |
| | Media — 1.1% | |
| | | | | | 21st Century Fox America Inc., Company Guaranteed Notes: | | | | |
| | 30,000 | | | BBB+ | | 4.500% due 2/15/21 | | | 30,899 | |
| | 25,000 | | | BBB+ | | 6.200% due 12/15/34 | | | 30,515 | |
| | 30,000 | | | BBB+ | | 6.650% due 11/15/37 | | | 39,041 | |
| | 10,000 | | | BBB+ | | 6.900% due 8/15/39 | | | 13,231 | |
| | 200,000 | | | BB | | Altice US Finance I Corp., Senior Secured Notes, 5.500% due 5/15/26(a) | | | 197,000 | |
| | 350,000 | | | BBB | | CBS Corp., Company Guaranteed Notes, 3.700% due 6/1/28(a) | | | 328,688 | |
| | | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | | | | |
| | 10,000 | | | BB | | 5.250% due 9/30/22 | | | 10,088 | |
| | 400,000 | | | BB | | 5.125% due 5/1/27(a) | | | 382,500 | |
| | 161,000 | | | BB | | 5.000% due 2/1/28(a) | | | 151,586 | |
| | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | | |
| | 50,000 | | | BBB- | | 3.579% due 7/23/20 | | | 50,171 | |
| | 415,000 | | | BBB- | | 4.464% due 7/23/22 | | | 423,819 | |
| | 380,000 | | | BBB- | | 4.908% due 7/23/25 | | | 388,610 | |
| | 210,000 | | | BBB- | | 3.750% due 2/15/28 | | | 194,436 | |
| | 260,000 | | | BBB- | | 4.200% due 3/15/28 | | | 249,467 | |
| | 25,000 | | | BBB- | | 6.384% due 10/23/35 | | | 26,831 | |
| | 50,000 | | | BBB- | | 5.375% due 4/1/38 | | | 48,357 | |
| | 490,000 | | | BBB- | | 6.484% due 10/23/45 | | | 525,203 | |
| | 25,000 | | | BBB- | | 5.375% due 5/1/47 | | | 23,634 | |
| | 10,000 | | | BBB- | | 5.750% due 4/1/48 | | | 9,890 | |
See Notes to Financial Statements.
175
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Media — 1.1% — (continued) | |
| $ | 160,000 | | | A- | | Comcast Cable Communications Holdings Inc., Company Guaranteed Notes, 9.455% due 11/15/22 | | $ | 196,553 | |
| | | | | | Comcast Corp., Company Guaranteed Notes: | | | | |
| | 317,000 | | | A- | | 2.350% due 1/15/27 | | | 281,769 | |
| | 55,000 | | | A- | | 3.300% due 2/1/27 | | | 52,888 | |
| | 10,000 | | | A- | | 3.150% due 2/15/28 | | | 9,428 | |
| | 30,000 | | | A- | | 6.500% due 11/15/35 | | | 36,529 | |
| | 50,000 | | | A- | | 3.900% due 3/1/38 | | | 46,485 | |
| | 422,000 | | | A- | | 3.400% due 7/15/46 | | | 350,987 | |
| | 113,000 | | | A- | | 3.969% due 11/1/47 | | | 102,818 | |
| | 23,000 | | | A- | | 3.999% due 11/1/49 | | | 20,884 | |
| | 39,000 | | | A- | | 4.049% due 11/1/52 | | | 34,727 | |
| | | | | | Cox Communications Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | BBB | | 3.250% due 12/15/22(a) | | | 38,974 | |
| | 310,000 | | | BBB | | 3.150% due 8/15/24(a) | | | 296,117 | |
| | 225,000 | | | B- | | CSC Holdings LLC, Senior Unsecured Notes, 8.625% due 2/15/19 | | | 230,764 | |
| | | | | | Discovery Communications LLC, Company Guaranteed Notes: | | | | |
| | 35,000 | | | BBB- | | 2.200% due 9/20/19 | | | 34,725 | |
| | 275,000 | | | BBB- | | 2.750% due 11/15/19(a) | | | 273,561 | |
| | 160,000 | | | BBB- | | 2.950% due 3/20/23 | | | 154,057 | |
| | 70,000 | | | BBB- | | 3.950% due 6/15/25(a) | | | 68,576 | |
| | 91,000 | | | BBB- | | 4.875% due 4/1/43 | | | 84,585 | |
| | 5,000 | | | BBB- | | 5.200% due 9/20/47 | | | 4,869 | |
| | | | | | DISH DBS Corp., Company Guaranteed Notes: | | | | |
| | 20,000 | | | B | | 5.125% due 5/1/20 | | | 20,175 | |
| | 90,000 | | | B | | 5.875% due 7/15/22 | | | 86,737 | |
| | 10,000 | | | B | | 5.875% due 11/15/24 | | | 8,737 | |
| | 50,000 | | | B | | 7.750% due 7/1/26 | | | 45,313 | |
| | 370,000 | | | BBB- | | Myriad International Holdings BV, Company Guaranteed Notes, 4.850% due 7/6/27(a) | | | 366,007 | |
| | 40,000 | | | A- | | NBCUniversal Media LLC, Company Guaranteed Notes, 5.150% due 4/30/20. | | | 41,426 | |
| | | | | | RELX Capital Inc., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BBB+ | | 3.125% due 10/15/22 | | | 9,823 | |
| | 275,000 | | | BBB+ | | 3.500% due 3/16/23 | | | 273,974 | |
| | 115,000 | | | BB | | Sirius XM Radio Inc., Company Guaranteed Notes, 3.875% due 8/1/22(a). | | | 113,413 | |
| | | | | | Time Warner Cable LLC, Senior Secured Notes: | | | | |
| | 410,000 | | | BBB- | | 8.250% due 4/1/19 | | | 422,287 | |
| | 385,000 | | | BBB- | | 4.000% due 9/1/21 | | | 388,320 | |
| | 230,000 | | | BBB- | | 7.300% due 7/1/38 | | | 268,457 | |
| | 20,000 | | | BBB- | | 5.875% due 11/15/40 | | | 20,084 | |
| | 290,000 | | | BBB- | | 5.500% due 9/1/41 | | | 280,129 | |
| | | | | | Time Warner Entertainment Co. LP, Senior Secured Notes: | | | | |
| | 70,000 | | | BBB- | | 8.375% due 3/15/23 | | | 81,517 | |
| | 40,000 | | | BBB- | | 8.375% due 7/15/33 | | | 50,403 | |
| | | | | | Time Warner Inc., Company Guaranteed Notes: | | | | |
| | 60,000 | | | BBB | | 4.700% due 1/15/21 | | | 61,950 | |
| | 110,000 | | | BBB | | 4.750% due 3/29/21 | | | 113,484 | |
| | 234,000 | | | BBB | | 3.875% due 1/15/26 | | | 227,593 | |
| | 230,000 | | | BBB | | 3.800% due 2/15/27 | | | 221,181 | |
| | 30,000 | | | BBB | | 6.250% due 3/29/41 | | | 33,466 | |
| | 50,000 | | | BBB | | 5.350% due 12/15/43 | | | 49,174 | |
| | 200,000 | | | B | | UPC Holding BV, Senior Secured Notes, 5.500% due 1/15/28(a) | | | 186,750 | |
| | 200,000 | | | BB | | UPCB Finance IV Ltd., Senior Secured Notes, 5.375% due 1/15/25(a) | | | 198,020 | |
| | | | | | Viacom Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | BBB- | | 4.250% due 9/1/23 | | | 40,288 | |
| | 10,000 | | | BBB- | | 3.875% due 4/1/24 | | | 9,833 | |
See Notes to Financial Statements.
176
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Media — 1.1% — (continued) | |
| $ | 80,000 | | | BBB- | | 4.375% due 3/15/43 | | $ | 69,279 | |
| | 200,000 | | | BB- | | Virgin Media Secured Finance PLC, Senior Secured Notes, 5.250% due 1/15/26(a) | | | 195,290 | |
| | | | | | | | | | |
| | | | | | Total Media | | | 9,326,372 | |
| | | | | | | | | | |
| | Mining — 0.4% | |
| | | | | | Anglo American Capital PLC, Company Guaranteed Notes: | | | | |
| | 560,000 | | | BBB- | | 3.625% due 9/11/24(a) | | | 532,152 | |
| | 270,000 | | | BBB- | | 4.750% due 4/10/27(a) | | | 263,328 | |
| | 40,000 | | | BBB | | Barrick Gold Corp., Senior Unsecured Notes, 5.250% due 4/1/42 | | | 41,600 | |
| | | | | | Barrick North America Finance LLC, Company Guaranteed Notes: | | | | |
| | 70,000 | | | BBB | | 5.700% due 5/30/41 | | | 76,584 | |
| | 90,000 | | | BBB | | 5.750% due 5/1/43 | | | 99,624 | |
| | | | | | BHP Billsiton Finance USA Ltd., Company Guaranteed Notes: | | | | |
| | 150,000 | | | A | | 5.000% due 9/30/43 | | | 168,552 | |
| | 310,000 | | | BBB+ | | 6.750% (5-Year USD Swap Rate + 5.093%) due 10/19/75(a)(d) | | | 341,000 | |
| | | | | | Freeport-McMoRan Inc., Company Guaranteed Notes: | | | | |
| | 30,000 | | | BB- | | 4.000% due 11/14/21 | | | 29,841 | |
| | 10,000 | | | BB- | | 5.450% due 3/15/43 | | | 8,971 | |
| | | | | | Glencore Funding LLC, Company Guaranteed Notes: | | | | |
| | 40,000 | | | BBB+ | | 2.875% due 4/16/20(a) | | | 39,501 | |
| | 20,000 | | | BBB+ | | 4.125% due 5/30/23(a) | | | 19,915 | |
| | 210,000 | | | BBB+ | | 4.625% due 4/29/24(a) | | | 211,739 | |
| | 280,000 | | | BBB+ | | 4.000% due 3/27/27(a) | | | 263,525 | |
| | 50,000 | | | BBB | | Newmont Mining Corp., Company Guaranteed Notes, 4.875% due 3/15/42 | | | 49,410 | |
| | 760,000 | | | BBB | | Southern Copper Corp., Senior Unsecured Notes, 5.250% due 11/8/42 | | | 765,954 | |
| | 90,000 | | | BB+ | | Yamana Gold Inc., Company Guaranteed Notes, 4.625% due 12/15/27 | | | 85,728 | |
| | | | | | | | | | |
| | | | | | Total Mining | | | 2,997,424 | |
| | | | | | | | | | |
| | Miscellaneous Manufacturers — 0.4% | |
| | 55,000 | | | BBB | | Crane Co., Senior Unsecured Notes, 4.200% due 3/15/48 | | | 52,482 | |
| | | | | | Eaton Corp., Company Guaranteed Notes: | | | | |
| | 386,000 | | | A- | | 2.750% due 11/2/22 | | | 377,166 | |
| | 185,000 | | | A- | | 4.150% due 11/2/42 | | | 178,463 | |
| | | | | | General Electric Co.: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 20,000 | | | A | | 5.500% due 1/8/20 | | | 20,647 | |
| | 72,000 | | | A | | 4.650% due 10/17/21 | | | 74,999 | |
| | 1,025,000 | | | A | | 2.794% (3-Month USD-LIBOR + 0.480%) due 8/15/36(d) | | | 855,714 | |
| | 122,000 | | | A | | 6.150% due 8/7/37 | | | 143,308 | |
| | 230,000 | | | A | | 5.875% due 1/14/38 | | | 263,511 | |
| | 258,000 | | | A | | 6.875% due 1/10/39 | | | 326,837 | |
| | 144,000 | | | A | | 4.500% due 3/11/44 | | | 139,998 | |
| | 141,000 | | | A- | | Subordinated Notes, 5.300% due 2/11/21 | | | 147,910 | |
| | 500,000 | | | A+ | | Siemens Financieringsmaatschappij NV, Company Guaranteed Notes, 1.300% due 9/13/19(a) | | | 493,659 | |
| | | | | | | | | | |
| | | | | | Total Miscellaneous Manufacturers | | | 3,074,694 | |
| | | | | | | | | | |
| | Office/Business Equipment — 0.0% | |
| | 125,000 | | | BB+ | | Pitney Bowes Inc., Senior Unsecured Notes, 3.625% due 9/15/20 | | | 124,219 | |
| | 50,000 | | | BBB- | | Xerox Corp., Senior Unsecured Notes, 3.625% due 3/15/23 | | | 47,322 | |
| | | | | | | | | | |
| | | | | | Total Office/Business Equipment | | | 171,541 | |
| | | | | | | | | | |
| | Oil & Gas — 1.9% | |
| | 140,000 | | | BBB | | Anadarko Finance Co., Company Guaranteed Notes, 7.500% due 5/1/31 | | | 175,825 | |
| | | | | | Anadarko Petroleum Corp., Senior Unsecured Notes: | | | | |
| | 70,000 | | | BBB | | 4.850% due 3/15/21 | | | 72,228 | |
| | 550,000 | | | BBB | | 3.450% due 7/15/24 | | | 534,271 | |
See Notes to Financial Statements.
177
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Oil & Gas — 1.9% — (continued) | |
| $ | 40,000 | | | BBB | | 6.450% due 9/15/36 | | $ | 46,609 | |
| | 150,000 | | | BBB | | 4.500% due 7/15/44 | | | 141,852 | |
| | 40,000 | | | BBB | | 6.600% due 3/15/46 | | | 48,414 | |
| | 110,000 | | | BBB- | | Andeavor, Company Guaranteed Notes, 4.750% due 12/15/23 | | | 114,849 | |
| | | | | | Apache Corp., Senior Unsecured Notes: | | | | |
| | 181,000 | | | BBB | | 3.250% due 4/15/22 | | | 179,330 | |
| | 309,000 | | | BBB | | 5.100% due 9/1/40 | | | 309,364 | |
| | 10,000 | | | BBB | | 4.750% due 4/15/43 | | | 9,606 | |
| | 60,000 | | | BBB | | 4.250% due 1/15/44 | | | 53,882 | |
| | | | | | BP Capital Markets PLC, Company Guaranteed Notes: | | | | |
| | 110,000 | | | A- | | 3.245% due 5/6/22 | | | 109,889 | |
| | 230,000 | | | A- | | 3.216% due 11/28/23 | | | 227,743 | |
| | 270,000 | | | A- | | 3.814% due 2/10/24 | | | 274,540 | |
| | 30,000 | | | A- | | 3.535% due 11/4/24 | | | 30,056 | |
| | 310,000 | | | A- | | 3.506% due 3/17/25 | | | 309,562 | |
| | | | | | Canadian Natural Resources Ltd., Senior Unsecured Notes: | | | | |
| | 290,000 | | | BBB+ | | 2.950% due 1/15/23 | | | 281,146 | |
| | 94,000 | | | BBB+ | | 3.850% due 6/1/27 | | | 91,619 | |
| | 70,000 | | | BB- | | Centennial Resource Production LLC, Company Guaranteed Notes, 5.375% due 1/15/26(a) | | | 68,950 | |
| | 230,000 | | | AA- | | Chevron Corp., Senior Unsecured Notes, 2.954% due 5/16/26 | | | 221,454 | |
| | | | | | Cimarex Energy Co., Senior Unsecured Notes: | | | | |
| | 462,000 | | | BBB- | | 4.375% due 6/1/24 | | | 468,772 | |
| | 456,000 | | | BBB- | | 3.900% due 5/15/27 | | | 439,078 | |
| | 530,000 | | | A+ | | CNOOC Finance 2015 USA LLC, Company Guaranteed Notes, 3.500% due 5/5/25... | | | 513,654 | |
| | | | | | Concho Resources Inc., Company Guaranteed Notes: | | | | |
| | 100,000 | | | BBB- | | 3.750% due 10/1/27 | | | 95,887 | |
| | 120,000 | | | BBB- | | 4.300% due 8/15/28 | | | 120,118 | |
| | | | | | Continental Resources Inc., Company Guaranteed Notes: | | | | |
| | 110,000 | | | BBB- | | 5.000% due 9/15/22 | | | 111,484 | |
| | 530,000 | | | BBB- | | 4.500% due 4/15/23 | | | 542,782 | |
| | 1,070,000 | | | BBB- | | 3.800% due 6/1/24 | | | 1,055,104 | |
| | | | | | Devon Energy Corp., Senior Unsecured Notes: | | | | |
| | 630,000 | | | BBB | | 3.250% due 5/15/22 | | | 621,480 | |
| | 200,000 | | | BBB | | 5.850% due 12/15/25 | | | 220,185 | |
| | 190,000 | | | BBB | | 5.600% due 7/15/41 | | | 205,472 | |
| | | | | | Diamondback Energy Inc., Company Guaranteed Notes: | | | | |
| | 85,000 | | | BB | | 4.750% due 11/1/24 | | | 85,850 | |
| | 50,000 | | | BB | | 5.375% due 5/31/25 | | | 51,313 | |
| | | | | | Ecopetrol SA, Senior Unsecured Notes: | | | | |
| | 95,000 | | | BBB- | | 4.125% due 1/16/25 | | | 93,100 | |
| | 750,000 | | | BBB- | | 5.875% due 5/28/45 | | | 746,362 | |
| | 50,000 | | | BB- | | Endeavor Energy Resources LP/EER Finance Inc., Senior Unsecured Notes, 5.750% due 1/30/28(a) | | | 50,063 | |
| | 10,000 | | | B | | Ensco PLC, Senior Unsecured Notes, 8.000% due 1/31/24 | | | 9,975 | |
| | | | | | EOG Resources Inc., Senior Unsecured Notes: | | | | |
| | 125,000 | | | A- | | 2.450% due 4/1/20 | | | 123,861 | |
| | 90,000 | | | A- | | 4.150% due 1/15/26 | | | 92,689 | |
| | 295,000 | | | A- | | 3.900% due 4/1/35 | | | 292,568 | |
| | | | | | EP Energy LLC/Everest Acquisition Finance Inc., Secured Notes: | | | | |
| | 100,000 | | | CCC- | | 9.375% due 5/1/24(a) | | | 79,250 | |
| | 40,000 | | | CCC- | | 8.000% due 2/15/25(a) | | | 29,100 | |
| | | | | | Exxon Mobil Corp., Senior Unsecured Notes: | | | | |
| | 380,000 | | | AA+ | | 3.043% due 3/1/26 | | | 371,401 | |
| | 70,000 | | | AA+ | | 4.114% due 3/1/46 | | | 72,045 | |
| | 235,000 | | | AA | | Harvest Operations Corp., Company Guaranteed Notes, 4.200% due 6/1/23(a) | | | 238,768 | |
See Notes to Financial Statements.
178
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Oil & Gas — 1.9% — (continued) | |
| | | | | | Kerr-McGee Corp., Company Guaranteed Notes: | | | | |
| $ | 200,000 | | | BBB | | 6.950% due 7/1/24 | | $ | 228,535 | |
| | 75,000 | | | BBB | | 7.875% due 9/15/31 | | | 94,734 | |
| | 40,000 | | | BBB | | Marathon Petroleum Corp., Senior Unsecured Notes, 4.750% due 9/15/44. | | | 39,059 | |
| | | | | | Noble Energy Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BBB | | 4.150% due 12/15/21 | | | 61,016 | |
| | 160,000 | | | BBB | | 3.900% due 11/15/24 | | | 158,745 | |
| | 120,000 | | | BBB | | 3.850% due 1/15/28 | | | 114,766 | |
| | 110,000 | | | BBB | | 5.250% due 11/15/43 | | | 111,658 | |
| | 60,000 | | | BBB | | 4.950% due 8/15/47 | | | 58,878 | |
| | 29,000 | | | BB- | | Oasis Petroleum Inc., Company Guaranteed Notes, 6.875% due 3/15/22 | | | 29,580 | |
| | | | | | Occidental Petroleum Corp., Senior Unsecured Notes: | | | | |
| | 100,000 | | | A | | 3.125% due 2/15/22 | | | 99,648 | |
| | 100,000 | | | A | | 2.700% due 2/15/23 | | | 97,434 | |
| | 90,000 | | | A | | 3.400% due 4/15/26 | | | 89,287 | |
| | 90,000 | | | A | | 4.625% due 6/15/45 | | | 95,144 | |
| | 75,000 | | | BB- | | Parsley Energy LLC/Parsley Finance Corp., Company Guaranteed Notes, 5.375% due 1/15/25(a) | | | 75,930 | |
| | 105,000 | | | BBB | | Patterson-UTI Energy Inc., Company Guaranteed Notes, 3.950% due 2/1/28(a) | | | 98,879 | |
| | | | | | Petrobras Global Finance BV, Company Guaranteed Notes: | | | | |
| | 1,358,000 | | | BB- | | 5.299% due 1/27/25(a) | | | 1,249,428 | |
| | 360,000 | | | BB- | | 5.750% due 2/1/29 | | | 313,740 | |
| | 118,000 | | | A- | | Petro-Canada, Senior Unsecured Notes, 6.800% due 5/15/38 | | | 151,904 | |
| | | | | | Petroleos Mexicanos, Company Guaranteed Notes: | | | | |
| | 255,000 | | | BBB+ | | 6.000% due 3/5/20 | | | 263,925 | |
| | 610,000 | | | BBB+ | | 3.500% due 1/30/23 | | | 576,359 | |
| | 19,000 | | | BBB+ | | 6.625% due 6/15/35 | | | 18,477 | |
| | 35,000 | | | BBB+ | | 6.500% due 6/2/41 | | | 32,135 | |
| | | | | | Pioneer Natural Resources Co., Senior Unsecured Notes: | | | | |
| | 49,000 | | | BBB | | 3.950% due 7/15/22 | | | 49,782 | |
| | 313,000 | | | BBB | | 4.450% due 1/15/26 | | | 323,615 | |
| | 120,000 | | | BB | | QEP Resources Inc., Senior Unsecured Notes, 6.875% due 3/1/21 | | | 126,900 | |
| | | | | | Range Resources Corp., Company Guaranteed Notes: | | | | |
| | 20,000 | | | BB+ | | 5.875% due 7/1/22 | | | 20,300 | |
| | 110,000 | | | BB+ | | 5.000% due 3/15/23 | | | 108,163 | |
| | 30,000 | | | BB+ | | 4.875% due 5/15/25 | | | 28,875 | |
| | | | | | Shell International Finance BV, Company Guaranteed Notes: | | | | |
| | 180,000 | | | A+ | | 4.375% due 3/25/20 | | | 184,340 | |
| | 260,000 | | | A+ | | 2.875% due 5/10/26 | | | 249,279 | |
| | 114,000 | | | A+ | | 4.550% due 8/12/43 | | | 121,321 | |
| | 220,000 | | | A+ | | 4.375% due 5/11/45 | | | 227,867 | |
| | 40,000 | | | A+ | | 4.000% due 5/10/46 | | | 39,462 | |
| | 400,000 | | | A+ | | Sinopec Group Overseas Development 2014 Ltd., Company Guaranteed Notes, 4.375% due 4/10/24(a) | | | 409,828 | |
| | 5,000 | | | A- | | Suncor Energy Inc., Senior Unsecured Notes, 4.000% due 11/15/47 | | | 4,727 | |
| | 51,000 | | | B+ | | Transocean Guardian Ltd., Senior Secured Notes, 5.875% due 1/15/24(a) | | | 51,446 | |
| | 133,000 | | | B+ | | Transocean Pontus Ltd., Senior Secured Notes, 6.125% due 8/1/25(a) | | | 135,993 | |
| | | | | | Whiting Petroleum Corp.: | | | | |
| | 30,000 | | | BB | | Company Guaranteed Notes, 6.250% due 4/1/23 | | | 30,975 | |
| | 30,000 | | | BB | | Senior Unsecured Notes, 6.625% due 1/15/26 | | | 31,312 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 16,234,996 | |
| | | | | | | | | | |
| | Oil & Gas Services — 0.1% | |
| | | | | | Halliburton Co., Senior Unsecured Notes: | | | | |
| | 220,000 | | | A- | | 3.800% due 11/15/25 | | | 220,059 | |
| | 20,000 | | | A- | | 4.850% due 11/15/35 | | | 21,028 | |
See Notes to Financial Statements.
179
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Oil & Gas Services — 0.1% — (continued) | |
| $ | 50,000 | | | A- | | 5.000% due 11/15/45 | | $ | 53,477 | |
| | | | | | Schlumberger Holdings Corp., Senior Unsecured Notes: | | | | |
| | 170,000 | | | AA- | | 3.000% due 12/21/20(a) | | | 169,580 | |
| | 200,000 | | | AA- | | 4.000% due 12/21/25(a) | | | 201,521 | |
| | 20,000 | | | AA- | | Schlumberger Norge AS, Company Guaranteed Notes, 4.200% due 1/15/21(a) | | | 20,393 | |
| | 59,500 | | | B+ | | Transocean Proteus Ltd., Senior Secured Notes, 6.250% due 12/1/24(a) | | | 61,179 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas Services | | | 747,237 | |
| | | | | | | | | | |
| | Packaging & Containers — 0.2% | |
| | 500,000 | | | BBB | | Amcor Finance USA Inc., Company Guaranteed Notes, 4.500% due 5/15/28(a) | | | 505,315 | |
| | 130,000 | | | BB+ | | Ball Corp., Company Guaranteed Notes, 4.000% due 11/15/23 | | | 127,562 | |
| | | | | | Berry Global Inc., Secured Notes: | | | | |
| | 80,000 | | | BB- | | 5.125% due 7/15/23 | | | 79,900 | |
| | 40,000 | | | BB- | | 4.500% due 2/15/26(a) | | | 37,600 | |
| | 115,000 | | | BB+ | | Graphic Packaging International LLC, Company Guaranteed Notes, 4.125% due 8/15/24 | | | 112,413 | |
| | 80,000 | | | B+ | | Multi-Color Corp., Company Guaranteed Notes, 4.875% due 11/1/25(a) | | | 74,800 | |
| | 59,000 | | | BB | | OI European Group BV, Company Guaranteed Notes, 4.000% due 3/15/23(a) | | | 56,124 | |
| | 218,049 | | | B+ | | Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Senior Secured Notes, 5.750% due 10/15/20 | | | 218,594 | |
| | | | | | WestRock RKT Co., Company Guaranteed Notes: | | | | |
| | 600,000 | | | BBB | | 3.500% due 3/1/20 | | | 601,676 | |
| | 39,000 | | | BBB | | 4.900% due 3/1/22 | | | 40,579 | |
| | 20,000 | | | BBB | | 4.000% due 3/1/23 | | | 20,325 | |
| | | | | | | | | | |
| | | | | | Total Packaging & Containers | | | 1,874,888 | |
| | | | | | | | | | |
| | Pharmaceuticals — 1.5% | |
| | | | | | AbbVie Inc., Senior Unsecured Notes: | | | | |
| | 455,000 | | | A- | | 3.600% due 5/14/25 | | | 445,108 | |
| | 40,000 | | | A- | | 4.300% due 5/14/36 | | | 38,663 | |
| | 389,000 | | | A- | | 4.400% due 11/6/42 | | | 366,245 | |
| | 35,000 | | | A- | | 4.700% due 5/14/45 | | | 34,367 | |
| | 250,000 | | | BBB | | Allergan Finance LLC, Company Guaranteed Notes, 3.250% due 10/1/22 | | | 245,764 | |
| | | | | | Allergan Funding SCS, Company Guaranteed Notes: | | | | |
| | 130,000 | | | BBB | | 3.000% due 3/12/20 | | | 129,701 | |
| | 495,000 | | | BBB | | 3.450% due 3/15/22 | | | 491,792 | |
| | 630,000 | | | BBB | | 3.800% due 3/15/25 | | | 625,282 | |
| | 40,000 | | | BBB | | 3.850% due 6/15/24 | | | 39,932 | |
| | 200,000 | | | BBB | | 4.550% due 3/15/35 | | | 197,019 | |
| | 220,000 | | | BBB | | 4.750% due 3/15/45 | | | 219,936 | |
| | | | | | AstraZeneca PLC, Senior Unsecured Notes: | | | | |
| | 40,000 | | | BBB+ | | 2.375% due 6/12/22 | | | 38,623 | |
| | 200,000 | | | BBB+ | | 3.375% due 11/16/25 | | | 194,877 | |
| | | | | | Bausch Health Cos., Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 128,000 | | | B- | | 5.500% due 3/1/23(a) | | | 121,297 | |
| | 272,000 | | | B- | | 6.125% due 4/15/25(a) | | | 253,980 | |
| | 59,000 | | | B- | | 9.250% due 4/1/26(a) | | | 62,733 | |
| | 30,000 | | | BB- | | Senior Secured Notes, 5.500% due 11/1/25(a) | | | 30,038 | |
| | 560,000 | | | BBB | | Bayer US Finance II LLC, Company Guaranteed Notes, 4.375% due 12/15/28(a) | | | 555,385 | |
| | | | | | Bayer US Finance LLC, Company Guaranteed Notes: | | | | |
| | 350,000 | | | BBB | | 2.375% due 10/8/19(a) | | | 347,345 | |
| | 665,000 | | | BBB | | 3.000% due 10/8/21(a) | | | 655,449 | |
| | | | | | Cardinal Health Inc., Senior Unsecured Notes: | | | | |
| | 70,000 | | | BBB+ | | 2.616% due 6/15/22 | | | 67,265 | |
| | 350,000 | | | BBB+ | | 3.079% due 6/15/24 | | | 332,901 | |
See Notes to Financial Statements.
180
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Pharmaceuticals — 1.5% — (continued) | |
| | | | | | CVS Health Corp., Senior Unsecured Notes: | | | | |
| $ | 95,000 | | | BBB | | 3.125% due 3/9/20 | | $ | 95,083 | |
| | 5,000 | | | BBB | | 2.800% due 7/20/20 | | | 4,968 | |
| | 185,000 | | | BBB | | 3.350% due 3/9/21 | | | 185,281 | |
| | 340,000 | | | BBB | | 2.750% due 12/1/22 | | | 328,206 | |
| | 495,000 | | | BBB | | 3.700% due 3/9/23 | | | 495,233 | |
| | 150,000 | | | BBB | | 4.100% due 3/25/25 | | | 150,503 | |
| | 116,000 | | | BBB | | 3.875% due 7/20/25 | | | 114,637 | |
| | 1,320,000 | | | BBB | | 4.300% due 3/25/28 | | | 1,312,349 | |
| | 140,000 | | | BBB | | 4.780% due 3/25/38 | | | 139,965 | |
| | 105,000 | | | BBB | | 5.125% due 7/20/45 | | | 107,810 | |
| | 735,000 | | | BBB | | 5.050% due 3/25/48 | | | 752,935 | |
| | 175,723 | | | BBB | | CVS Pass-Through Trust, Pass-Thru Certificates, 6.036% due 12/10/28 | | | 188,532 | |
| | 80,000 | | | AA- | | Eli Lilly & Co., Senior Unsecured Notes, 3.100% due 5/15/27 | | | 77,839 | |
| | 75,000 | | | A+ | | GlaxoSmithKline Capital Inc., Company Guaranteed Notes, 3.875% due 5/15/28 | | | 76,386 | |
| | 325,000 | | | A+ | | GlaxoSmithKline Capital PLC, Company Guaranteed Notes, 2.850% due 5/8/22 | | | 321,756 | |
| | | | | | Johnson & Johnson, Senior Unsecured Notes: | | | | |
| | 400,000 | | | AAA | | 2.450% due 3/1/26 | | | 378,860 | |
| | 80,000 | | | AAA | | 2.950% due 3/3/27 | | | 77,926 | |
| | 150,000 | | | AAA | | 2.900% due 1/15/28 | | | 144,793 | |
| | 110,000 | | | AAA | | 3.625% due 3/3/37 | | | 108,204 | |
| | 90,000 | | | AA | | Merck & Co., Inc., Senior Unsecured Notes, 2.750% due 2/10/25 | | | 87,243 | |
| | 20,000 | | | AA- | | Novartis Capital Corp., Company Guaranteed Notes, 3.100% due 5/17/27 | | | 19,335 | |
| | 90,000 | | | AA | | Pfizer Inc., Senior Unsecured Notes, 4.125% due 12/15/46 | | | 91,609 | |
| | | | | | Shire Acquisitions Investments Ireland DAC, Company Guaranteed Notes: | | | | |
| | 725,000 | | | BBB- | | 1.900% due 9/23/19 | | | 716,768 | |
| | 555,000 | | | BBB- | | 2.400% due 9/23/21 | | | 536,820 | |
| | 219,000 | | | BBB- | | 2.875% due 9/23/23 | | | 209,374 | |
| | | | | | Teva Pharmaceutical Finance Co. BV, Company Guaranteed Notes: | | | | |
| | 80,000 | | | BB | | 3.650% due 11/10/21 | | | 77,700 | |
| | 40,000 | | | BB | | 2.950% due 12/18/22 | | | 37,005 | |
| | 90,000 | | | BB | | Teva Pharmaceutical Finance IV BV, Company Guaranteed Notes, 3.650% due 11/10/21 | | | 87,413 | |
| | | | | | Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes: | | | | |
| | 170,000 | | | BB | | 1.700% due 7/19/19 | | | 167,162 | |
| | 340,000 | | | BB | | 2.200% due 7/21/21 | | | 318,202 | |
| | 130,000 | | | AA | | Wyeth LLC, Company Guaranteed Notes, 5.950% due 4/1/37 | | | 158,571 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 13,062,170 | |
| | | | | | | | | | |
| | Pipelines — 1.4% | |
| | | | | | Andeavor Logistics LP/Tesoro Logistics Finance Corp., Company Guaranteed Notes: | | | | |
| | 73,000 | | | BBB- | | 6.250% due 10/15/22 | | | 75,646 | |
| | 150,000 | | | BBB- | | 6.375% due 5/1/24 | | | 159,375 | |
| | 505,000 | | | BBB- | | 5.250% due 1/15/25 | | | 517,625 | |
| | | | | | Buckeye Partners LP, Senior Unsecured Notes: | | | | |
| | 35,000 | | | BBB- | | 4.875% due 2/1/21 | | | 35,685 | |
| | 50,000 | | | BBB- | | 3.950% due 12/1/26 | | | 46,101 | |
| | 153,000 | | | BBB- | | 5.850% due 11/15/43 | | | 145,596 | |
| | 42,000 | | | BBB- | | 5.600% due 10/15/44 | | | 38,500 | |
| | 90,000 | | | BB- | | Cheniere Corpus Christi Holdings LLC, Senior Secured Notes, 5.125% due 6/30/27 | | | 91,913 | |
| | 285,000 | | | BBB- | | El Paso Natural Gas Co. LLC, Company Guaranteed Notes, 8.625% due 1/15/22 | | | 327,522 | |
| | 169,000 | | | BB- | | Energy Transfer Equity LP, Senior Secured Notes, 5.500% due 6/1/27 | | | 177,661 | |
| | | | | | Energy Transfer Partners LP, Company Guaranteed Notes: | | | | |
| | 178,000 | | | BBB- | | 4.750% due 1/15/26 | | | 180,555 | |
| | 30,000 | | | BBB- | | 4.950% due 6/15/28 | | | 30,691 | |
| | 300,000 | | | BBB- | | 8.250% due 11/15/29 | | | 366,205 | |
See Notes to Financial Statements.
181
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Pipelines — 1.4% — (continued) | |
| $ | 105,000 | | | BBB- | | 4.900% due 3/15/35 | | $ | 98,156 | |
| | 75,000 | | | BBB- | | 5.150% due 3/15/45 | | | 71,428 | |
| | 40,000 | | | BB+ | | EnLink Midstream Partners LP, Senior Unsecured Notes, 2.700% due 4/1/19 | | | 39,809 | |
| | | | | | Enterprise Products Operating LLC, Company Guaranteed Notes: | | | | |
| | 165,000 | | | BBB+ | | 4.900% due 5/15/46 | | | 171,293 | |
| | 190,000 | | | BBB- | | 5.250% (3-Month USD-LIBOR + 3.033%) due 8/16/77(d) | | | 180,025 | |
| | 420,000 | | | BBB- | | EQT Midstream Partners LP, Senior Unsecured Notes, 5.500% due 7/15/28 | | | 433,389 | |
| | | | | | Kinder Morgan Energy Partners LP, Company Guaranteed Notes: | | | | |
| | 120,000 | | | BBB- | | 6.850% due 2/15/20 | | | 125,959 | |
| | 460,000 | | | BBB- | | 6.500% due 4/1/20 | | | 483,431 | |
| | 50,000 | | | BBB- | | 3.500% due 3/1/21 | | | 50,121 | |
| | 75,000 | | | BBB- | | 3.500% due 9/1/23 | | | 74,035 | |
| | 140,000 | | | BBB- | | 5.400% due 9/1/44 | | | 142,372 | |
| | | | | | Kinder Morgan Inc., Company Guaranteed Notes: | | | | |
| | 40,000 | | | BBB- | | 3.050% due 12/1/19 | | | 40,011 | |
| | 290,000 | | | BBB- | | 4.300% due 3/1/28 | | | 288,145 | |
| | 10,000 | | | BBB- | | 5.550% due 6/1/45 | | | 10,482 | |
| | 35,000 | | | BBB+ | | Magellan Midstream Partners LP, Senior Unsecured Notes, 4.200% due 10/3/47 | | | 32,615 | |
| | | | | | MPLX LP, Senior Unsecured Notes: | | | | |
| | 180,000 | | | BBB | | 4.500% due 7/15/23 | | | 185,347 | |
| | 290,000 | | | BBB | | 4.875% due 6/1/25 | | | 301,682 | |
| | 155,000 | | | BBB | | 4.000% due 3/15/28 | | | 149,781 | |
| | 150,000 | | | BBB | | 4.500% due 4/15/38 | | | 140,168 | |
| | 40,000 | | | BBB | | 5.200% due 3/1/47 | | | 40,146 | |
| | 260,000 | | | BBB | | 4.700% due 4/15/48 | | | 244,513 | |
| | 59,000 | | | BBB- | | NGPL PipeCo LLC, Senior Unsecured Notes, 4.375% due 8/15/22(a) | | | 59,664 | |
| | 150,000 | | | A | | Northern Natural Gas Co., Senior Unsecured Notes, 4.300% due 1/15/49(a) | | | 149,887 | |
| | 210,000 | | | Baa2(b) | | Northwest Pipeline LLC, Senior Unsecured Notes, 4.000% due 4/1/27(a) | | | 205,963 | |
| | 1,000,000 | | | BBB- | | Panhandle Eastern Pipe Line Co. LP, Senior Unsecured Notes, 8.125% due 6/1/19 | | | 1,038,941 | |
| | 284,640 | | | BBB | | Pipeline Funding Co. LLC, Senior Secured Notes, 7.500% due 1/15/30(a) | | | 330,841 | |
| | | | | | Plains All American Pipeline LP/PAA Finance Corp., Senior Unsecured Notes: | | | | |
| | 15,000 | | | BBB- | | 3.650% due 6/1/22 | | | 14,879 | |
| | 300,000 | | | BBB- | | 4.650% due 10/15/25 | | | 304,050 | |
| | | | | | Rockies Express Pipeline LLC, Senior Unsecured Notes: | | | | |
| | 235,000 | | | BBB- | | 6.000% due 1/15/19(a) | | | 237,557 | |
| | 177,000 | | | BBB- | | 5.625% due 4/15/20(a) | | | 183,416 | |
| | 446,970 | | | BBB- | | Ruby Pipeline LLC, Senior Unsecured Notes, 6.000% due 4/1/22(a). | | | 466,848 | |
| | | | | | Sabine Pass Liquefaction LLC, Senior Secured Notes: | | | | |
| | 250,000 | | | BBB- | | 5.625% due 4/15/23 | | | 267,745 | |
| | 220,000 | | | BBB- | | 5.750% due 5/15/24 | | | 236,844 | |
| | 272,000 | | | BBB- | | 5.625% due 3/1/25 | | | 290,476 | |
| | 20,000 | | | BBB- | | 5.875% due 6/30/26 | | | 21,672 | |
| | 58,000 | | | BBB+ | | Southern Natural Gas Co. LLC, Senior Unsecured Notes, 8.000% due 3/1/32 | | | 75,112 | |
| | | | | | Spectra Energy Partners LP, Senior Unsecured Notes: | | | | |
| | 95,000 | | | BBB+ | | 3.500% due 3/15/25 | | | 92,153 | |
| | 60,000 | | | BBB+ | | 4.500% due 3/15/45 | | | 57,480 | |
| | 35,000 | | | BBB- | | Sunoco Logistics Partners Operations LP, Company Guaranteed Notes, 5.350% due 5/15/45 | | | 33,967 | |
| | | | | | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes: | | | | |
| | 50,000 | | | BB- | | 4.250% due 11/15/23 | | | 48,625 | |
| | 40,000 | | | BB- | | 5.875% due 4/15/26(a) | | | 41,050 | |
| | | | | | Texas Eastern Transmission LP, Senior Unsecured Notes: | | | | |
| | 30,000 | | | BBB+ | | 2.800% due 10/15/22(a) | | | 29,019 | |
| | 80,000 | | | BBB+ | | 3.500% due 1/15/28(a) | | | 76,158 | |
| | 365,000 | | | BBB+ | | 4.150% due 1/15/48(a) | | | 336,978 | |
See Notes to Financial Statements.
182
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Pipelines — 1.4% — (continued) | |
| | | | | | TransCanada PipeLines Ltd., Senior Unsecured Notes: | | | | |
| $ | 50,000 | | | BBB+ | | 2.500% due 8/1/22 | | $ | 48,271 | |
| | 105,000 | | | BBB+ | | 4.875% due 5/15/48 | | | 108,525 | |
| | | | | | Transcontinental Gas Pipe Line Co. LLC, Senior Unsecured Notes: | | | | |
| | 411,000 | | | BBB | | 7.850% due 2/1/26 | | | 506,350 | |
| | 205,000 | | | BBB | | 4.000% due 3/15/28(a) | | | 202,318 | |
| | 340,000 | | | BBB | | 4.600% due 3/15/48(a) | | | 336,150 | |
| | | | | | Williams Cos., Inc. (The), Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB | | 7.500% due 1/15/31 | | | 61,153 | |
| | 260,000 | | | BBB | | 7.750% due 6/15/31 | | | 319,202 | |
| | 116,000 | | | BBB | | 8.750% due 3/15/32 | | | 155,875 | |
| | 570,000 | | | BBB | | Williams Partners LP, Senior Unsecured Notes, 5.250% due 3/15/20 | | | 586,797 | |
| | | | | | | | | | |
| | | | | | Total Pipelines | | | 12,419,949 | |
| | | | | | | | | | |
| | Real Estate Investment Trusts (REITs) — 1.1% | |
| | 700,000 | | | BBB | | Alexandria Real Estate Equities Inc., Company Guaranteed Notes, 2.750% due 1/15/20 | | | 695,141 | |
| | 600,000 | | | BBB | | American Campus Communities Operating Partnership LP, Company Guaranteed Notes, 3.350% due 10/1/20 | | | 599,020 | |
| | | | | | American Tower Corp., Senior Unsecured Notes: | | | | |
| | 300,000 | | | BBB- | | 3.400% due 2/15/19 | | | 300,629 | |
| | 235,000 | | | BBB- | | 3.000% due 6/15/23 | | | 226,839 | |
| | | | | | Boston Properties LP, Senior Unsecured Notes: | | | | |
| | 235,000 | | | A- | | 3.200% due 1/15/25 | | | 226,855 | |
| | 400,000 | | | A- | | 2.750% due 10/1/26 | | | 366,953 | |
| | 464,000 | | | BBB- | | CC Holdings GS V LLC/Crown Castle GS III Corp., Senior Secured Notes, 3.849% due 4/15/23 | | | 462,768 | |
| | | | | | Crown Castle International Corp., Senior Unsecured Notes: | | | | |
| | 10,000 | | | BBB- | | 3.400% due 2/15/21 | | | 9,995 | |
| | 35,000 | | | BBB- | | 5.250% due 1/15/23 | | | 36,861 | |
| | 350,000 | | | BBB- | | 3.200% due 9/1/24 | | | 334,814 | |
| | 15,000 | | | BBB- | | 3.700% due 6/15/26 | | | 14,399 | |
| | 25,000 | | | BBB- | | 4.750% due 5/15/47 | | | 24,146 | |
| | 550,000 | | | BBB- | | Education Realty Operating Partnership LP, Company Guaranteed Notes, 4.600% due 12/1/24 | | | 564,097 | |
| | 80,000 | | | A- | | ERP Operating LP, Senior Unsecured Notes, 4.500% due 7/1/44 | | | 82,437 | |
| | | | | | HCP Inc., Senior Unsecured Notes: | | | | |
| | 525,000 | | | BBB | | 3.750% due 2/1/19 | | | 525,732 | |
| | 555,000 | | | BBB | | 4.250% due 11/15/23 | | | 561,326 | |
| | 400,000 | | | BBB | | Highwoods Realty LP, Senior Unsecured Notes, 3.200% due 6/15/21 | | | 395,074 | |
| | 350,000 | | | BBB | | Life Storage LP, Company Guaranteed Notes, 3.875% due 12/15/27 | | | 334,111 | |
| | | | | | MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer Inc., Company Guaranteed Notes: | | | | |
| | 20,000 | | | BB- | | 5.625% due 5/1/24 | | | 20,650 | |
| | 190,000 | | | BB- | | 4.500% due 1/15/28 | | | 176,111 | |
| | 250,000 | | | A- | | Realty Income Corp., Senior Unsecured Notes, 3.000% due 1/15/27 | | | 233,191 | |
| | 400,000 | | | BBB- | | Reckson Operating Partnership LP, Company Guaranteed Notes, 7.750% due 3/15/20 | | | 424,715 | |
| | | | | | SBA Communications Corp., Senior Unsecured Notes: | | | | |
| | 120,000 | | | B+ | | 4.000% due 10/1/22 | | | 117,929 | |
| | 69,000 | | | B+ | | 4.875% due 9/1/24 | | | 68,255 | |
| | 1,240,000 | | | BBB+ | | Ventas Realty LP/Ventas Capital Corp., Company Guaranteed Notes, 2.700% due 4/1/20 | | | 1,230,795 | |
| | 400,000 | | | BBB- | | VEREIT Operating Partnership LP, Company Guaranteed Notes, 3.000% due 2/6/19 | | | 399,961 | |
| | 654,00 | | | A | | WEA Finance LLC/Westfield UK & Europe Finance PLC, Company Guaranteed Notes, 2.700% due 9/17/19(a) | | | 652,053 | |
| | 695,000 | | | BBB+ | | Welltower Inc., Senior Unsecured Notes, 4.950% due 1/15/21 | | | 715,386 | |
| | | | | | | | | | |
| | | | | | Total Real Estate Investment Trusts (REITs) | | | 9,800,243 | |
| | | | | | | | | | |
See Notes to Financial Statements.
183
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Retail — 0.4% | |
| $ | 163,000 | | | B+ | | 1011778 BC ULC/New Red Finance Inc., Senior Secured Notes, 4.250% due 5/15/24(a) | | $ | 156,073 | |
| | 250,000 | | | BBB | | Alimentation Couche-Tard Inc., Company Guaranteed Notes, 3.550% due 7/26/27(a) | | | 237,658 | |
| | 40,000 | | | B+ | | Beacon Roofing Supply Inc., Company Guaranteed Notes, 4.875% due 11/1/25(a) | | | 37,100 | |
| | 105,000 | | | BBB- | | Bed Bath & Beyond Inc., Senior Unsecured Notes, 5.165% due 8/1/44 | | | 79,869 | |
| | 61,000 | | | BBB | | Dollar General Corp., Senior Unsecured Notes, 4.150% due 11/1/25 | | | 61,813 | |
| | | | | | Home Depot Inc. (The), Senior Unsecured Notes: | | | | |
| | 60,000 | | | A | | 3.000% due 4/1/26 | | | 57,974 | |
| | 10,000 | | | A | | 2.125% due 9/15/26 | | | 9,042 | |
| | 85,000 | | | BB | | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, Company Guaranteed Notes, 5.250% due 6/1/26(a) | | | 85,213 | |
| | 45,000 | | | A- | | Lowe’s Cos., Inc., Senior Unsecured Notes, 2.500% due 4/15/26 | | | 41,638 | |
| | | | | | McDonald’s Corp., Senior Unsecured Notes: | | | | |
| | 170,000 | | | BBB+ | | 3.700% due 1/30/26 | | | 169,608 | |
| | 40,000 | | | BBB+ | | 3.500% due 3/1/27 | | | 39,163 | |
| | 10,000 | | | BBB+ | | 3.700% due 2/15/42 | | | 9,082 | |
| | 180,000 | | | BBB+ | | 4.600% due 5/26/45 | | | 182,352 | |
| | 40,000 | | | BBB+ | | 4.875% due 12/9/45 | | | 41,974 | |
| | 30,000 | | | BBB+ | | 4.450% due 3/1/47 | | | 30,193 | |
| | 100,000 | | | B- | | Rite Aid Corp., Company Guaranteed Notes, 6.125% due 4/1/23(a) | | | 90,220 | |
| | | | | | Starbucks Corp., Senior Unsecured Notes: | | | | |
| | 45,000 | | | BBB+ | | 3.800% due 8/15/25 | | | 45,069 | |
| | 30,000 | | | BBB+ | | 3.750% due 12/1/47 | | | 26,644 | |
| | 15,000 | | | BBB+ | | 4.500% due 11/15/48 | | | 14,829 | |
| | 30,000 | | | BBB- | | Tapestry Inc., Senior Unsecured Notes, 4.125% due 7/15/27 | | | 28,804 | |
| | 30,000 | | | BBB | | Walgreen Co., Company Guaranteed Notes, 4.400% due 9/15/42 | | | 27,419 | |
| | | | | | Walgreens Boots Alliance Inc., Senior Unsecured Notes: | | | | |
| | 235,000 | | | BBB | | 2.700% due 11/18/19 | | | 234,296 | |
| | 865,000 | | | BBB | | 3.450% due 6/1/26 | | | 826,188 | |
| | 85,000 | | | BBB | | 4.800% due 11/18/44 | | | 82,324 | |
| | 45,000 | | | BBB | | 4.650% due 6/1/46 | | | 42,608 | |
| | | | | | Walmart Inc., Senior Unsecured Notes: | | | | |
| | 615,000 | | | AA | | 3.550% due 6/26/25 | | | 623,115 | |
| | 290,000 | | | AA | | 3.700% due 6/26/28 | | | 293,301 | |
| | 73,000 | | | AA | | 4.300% due 4/22/44 | | | 77,181 | |
| | 15,000 | | | AA | | 4.050% due 6/29/48 | | | 15,209 | |
| | | | | | | | | | |
| | | | | | Total Retail | | | 3,665,959 | |
| | | | | | | | | | |
| | Semiconductors — 0.4% | |
| | | | | | Analog Devices Inc., Senior Unsecured Notes: | | | | |
| | 120,000 | | | BBB | | 2.850% due 3/12/20 | | | 119,632 | |
| | 60,000 | | | BBB | | 3.500% due 12/5/26 | | | 58,025 | |
| | 10,000 | | | BBB | | 5.300% due 12/15/45 | | | 10,874 | |
| | 10,000 | | | A- | | Applied Materials Inc., Senior Unsecured Notes, 5.850% due 6/15/41 | | | 12,038 | |
| | | | | | Broadcom Corp./Broadcom Cayman Finance Ltd., Company Guaranteed Notes: | | | | |
| | 675,000 | | | BBB- | | 2.375% due 1/15/20 | | | 668,033 | |
| | 160,000 | | | BBB- | | 3.000% due 1/15/22 | | | 156,187 | |
| | 25,000 | | | BBB- | | 2.650% due 1/15/23 | | | 23,686 | |
| | 110,000 | | | BBB- | | 3.625% due 1/15/24 | | | 106,639 | |
| | 310,000 | | | BBB- | | 3.125% due 1/15/25 | | | 287,313 | |
| | 135,000 | | | BBB- | | 3.875% due 1/15/27 | | | 126,527 | |
| | | | | | Intel Corp., Senior Unsecured Notes: | | | | |
| | 70,000 | | | A+ | | 3.700% due 7/29/25 | | | 71,042 | |
| | 30,000 | | | A+ | | 4.100% due 5/19/46 | | | 30,141 | |
| | 54,000 | | | A+ | | 3.734% due 12/8/47 | | | 50,834 | |
| | 6,000 | | | BBB | | KLA-Tencor Corp., Senior Unsecured Notes, 4.650% due 11/1/24 | | | 6,222 | |
See Notes to Financial Statements.
184
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Semiconductors — 0.4% — (continued) | |
| | | | | | Lam Research Corp., Senior Unsecured Notes: | | | | |
| $ | 54,000 | | | BBB+ | | 2.800% due 6/15/21 | | $ | 53,280 | |
| | 30,000 | | | BBB+ | | 3.800% due 3/15/25 | | | 30,012 | |
| | | | | | NXP BV/NXP Funding LLC, Company Guaranteed Notes: | | | | |
| | 1,271,000 | | | BBB- | | 4.125% due 6/1/21(a) | | | 1,275,766 | |
| | 210,000 | | | BBB- | | 3.875% due 9/1/22(a) | | | 208,688 | |
| | | | | | QUALCOMM Inc., Senior Unsecured Notes: | | | | |
| | 35,000 | | | A- | | 3.450% due 5/20/25 | | | 34,123 | |
| | 129,000 | | | A- | | 4.800% due 5/20/45 | | | 131,150 | |
| | 115,000 | | | A- | | 4.300% due 5/20/47 | | | 108,345 | |
| | 35,000 | | | A+ | | Texas Instruments Inc., Senior Unsecured Notes, 4.150% due 5/15/48 | | | 35,675 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors | | | 3,604,232 | |
| | | | | | | | | | |
| | Shipbuilding — 0.1% | |
| | | | | | Huntington Ingalls Industries Inc., Company Guaranteed Notes: | | | | |
| | 239,000 | | | BBB- | | 5.000% due 11/15/25(a) | | | 248,297 | |
| | 310,000 | | | Baa3(b) | | 3.483% due 12/1/27 | | | 295,182 | |
| | | | | | | | | | |
| | | | | | Total Shipbuilding | | | 543,479 | |
| | | | | | | | | | |
| | Software — 0.7% | |
| | | | | | Activision Blizzard Inc., Senior Unsecured Notes: | | | | |
| | 120,000 | | | BBB+ | | 2.300% due 9/15/21 | | | 116,342 | |
| | 160,000 | | | BBB+ | | 3.400% due 9/15/26 | | | 154,132 | |
| | 170,000 | | | BBB+ | | 3.400% due 6/15/27 | | | 161,805 | |
| | 20,000 | | | BBB | | Autodesk Inc., Senior Unsecured Notes, 3.500% due 6/15/27 | | | 18,773 | |
| | 88,000 | | | B- | | Change Healthcare Holdings LLC/Change Healthcare Finance Inc., Senior Unsecured Notes, 5.750% due 3/1/25(a) | | | 86,350 | |
| | | | | | Fidelity National Information Services Inc.: | | | | |
| | 19,000 | | | BBB | | Company Guaranteed Notes, 3.500% due 4/15/23 | | | 18,919 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 9,000 | | | BBB | | 5.000% due 10/15/25 | | | 9,553 | |
| | 145,000 | | | BBB | | 4.750% due 5/15/48 | | | 146,900 | |
| | | | | | First Data Corp., Senior Secured Notes: | | | | |
| | 136,000 | | | BB | | 5.375% due 8/15/23(a) | | | 138,740 | |
| | 95,000 | | | BB | | 5.000% due 1/15/24(a) | | | 95,551 | |
| | 200,000 | | | BB | | IQVIA Inc., Company Guaranteed Notes, 5.000% due 10/15/26(a) | | | 198,250 | |
| | | | | | Microsoft Corp., Senior Unsecured Notes: | | | | |
| | 180,000 | | | AAA | | 1.550% due 8/8/21 | | | 173,526 | |
| | 270,000 | | | AAA | | 2.400% due 2/6/22 | | | 265,445 | |
| | 270,000 | | | AAA | | 2.875% due 2/6/24 | | | 265,928 | |
| | 70,000 | | | AAA | | 2.700% due 2/12/25 | | | 67,670 | |
| | 1,030,000 | | | AAA | | 2.400% due 8/8/26 | | | 959,834 | |
| | 775,000 | | | AAA | | 3.300% due 2/6/27 | | | 769,138 | |
| | 10,000 | | | AAA | | 3.450% due 8/8/36 | | | 9,574 | |
| | 20,000 | | | AAA | | 4.100% due 2/6/37 | | | 20,895 | |
| | 175,000 | | | AAA | | 3.700% due 8/8/46 | | | 169,533 | |
| | 130,000 | | | AAA | | 3.950% due 8/8/56 | | | 129,007 | |
| | 120,000 | | | AAA | | 4.500% due 2/6/57 | | | 131,398 | |
| | | | | | Oracle Corp., Senior Unsecured Notes: | | | | |
| | 630,000 | | | AA- | | 2.500% due 10/15/22 | | | 613,546 | |
| | 25,000 | | | AA- | | 2.650% due 7/15/26 | | | 23,373 | |
| | 235,000 | | | AA- | | 3.250% due 11/15/27 | | | 227,912 | |
| | 100,000 | | | AA- | | 4.500% due 7/8/44 | | | 104,153 | |
| | 170,000 | | | AA- | | 4.000% due 7/15/46 | | | 164,257 | |
| | 30,000 | | | AA- | | 4.000% due 11/15/47 | | | 28,988 | |
See Notes to Financial Statements.
185
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Software — 0.7% — (continued) | |
| | | | | | salesforce.com Inc., Senior Unsecured Notes: | | | | |
| $ | 130,000 | | | A- | | 3.250% due 4/11/23 | | $ | 129,990 | |
| | 250,000 | | | A- | | 3.700% due 4/11/28 | | | 250,204 | |
| | | | | | | | | | |
| | | | | | Total Software | | | 5,649,686 | |
| | | | | | | | | | |
| | Telecommunications — 1.9% | |
| | 330,000 | | | A- | | América Móvil SAB de CV, Company Guaranteed Notes, 5.000% due 3/30/20 | | | 338,271 | |
| | | | | | AT&T Inc., Senior Unsecured Notes: | | | | |
| | 10,000 | | | BBB | | 5.800% due 2/15/19 | | | 10,134 | |
| | 98,000 | | | BBB | | 4.600% due 2/15/21 | | | 100,617 | |
| | 540,000 | | | BBB | | 3.200% due 3/1/22 | | | 534,467 | |
| | 290,000 | | | BBB | | 3.400% due 5/15/25 | | | 276,128 | |
| | 1,295,000 | | | BBB | | 4.300% due 2/15/30(a) | | | 1,244,622 | |
| | 65,000 | | | BBB | | 4.500% due 5/15/35 | | | 60,608 | |
| | 225,000 | | | BBB | | 4.800% due 6/15/44 | | | 206,097 | |
| | 480,000 | | | BBB | | 4.350% due 6/15/45 | | | 413,141 | |
| | 650,000 | | | BBB | | 4.750% due 5/15/46 | | | 589,880 | |
| | 340,000 | | | BBB | | 5.150% due 11/15/46(a) | | | 325,022 | |
| | 118,000 | | | BBB | | 4.500% due 3/9/48 | | | 102,509 | |
| | 300,000 | | | BBB- | | Bharti Airtel Ltd., Senior Unsecured Notes, 4.375% due 6/10/25(a) | | | 283,782 | |
| | 190,000 | | | BBB+ | | Deutsche Telekom International Finance BV, Company Guaranteed Notes, 1.950% due 9/19/21(a) | | | 182,021 | |
| | 56,000 | | | CCC- | | Intelsat Connect Finance SA, Company Guaranteed Notes, 9.500% due 2/15/23(a) | | | 55,885 | |
| | | | | | Intelsat Jackson Holdings SA, Company Guaranteed Notes: | | | | |
| | 42,000 | | | CCC+ | | 5.500% due 8/1/23 | | | 38,417 | |
| | 124,000 | | | CCC+ | | 9.750% due 7/15/25(a) | | | 131,595 | |
| | 110,000 | | | CCC- | | Intelsat Luxembourg SA, Company Guaranteed Notes, 8.125% due 6/1/23 | | | 95,838 | |
| | | | | | Motorola Solutions Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB- | | 3.500% due 9/1/21 | | | 49,790 | |
| | 26,000 | | | BBB- | | 4.000% due 9/1/24 | | | 25,781 | |
| | 45,000 | | | BBB+ | | Rogers Communications Inc., Company Guaranteed Notes, 4.300% due 2/15/48 | | | 44,418 | |
| | | | | | Sprint Capital Corp., Company Guaranteed Notes: | | | | |
| | 19,000 | | | B | | 6.875% due 11/15/28 | | | 18,905 | |
| | 96,000 | | | B | | 8.750% due 3/15/32 | | | 106,320 | |
| | 138,000 | | | B+ | | Sprint Communications Inc., Company Guaranteed Notes, 9.000% due 11/15/18(a) | | | 139,725 | |
| | | | | | Sprint Corp., Company Guaranteed Notes: | | | | |
| | 20,000 | | | B | | 7.250% due 9/15/21 | | | 21,019 | |
| | 30,000 | | | B | | 7.875% due 9/15/23 | | | 32,362 | |
| | 50,000 | | | B | | 7.625% due 2/15/25 | | | 53,188 | |
| | | | | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes: | | | | |
| | 2,260,375 | | | Baa2(b) | | 3.360% due 9/20/21(a) | | | 2,253,730 | |
| | 930,000 | | | Baa2(b) | | 4.738% due 3/20/25(a) | | | 932,325 | |
| | 490,000 | | | BB+ | | Telecom Italia SpA, Senior Unsecured Notes, 5.303% due 5/30/24(a) | | | 490,613 | |
| | | | | | Telefonica Emisiones SAU, Company Guaranteed Notes: | | | | |
| | 330,000 | | | BBB | | 4.103% due 3/8/27 | | | 321,724 | |
| | 150,000 | | | BBB | | 4.895% due 3/6/48 | | | 143,501 | |
| | | | | | Telefónica Emisiones SAU, Company Guaranteed Notes: | | | | |
| | 70,000 | | | BBB | | 5.877% due 7/15/19 | | | 71,758 | |
| | 680,000 | | | BBB | | 5.134% due 4/27/20 | | | 700,865 | |
| | | | | | T-Mobile USA Inc., Company Guaranteed Notes: | | | | |
| | 63,000 | | | BB+ | | 4.500% due 2/1/26 | | | 60,165 | |
| | 194,000 | | | BB+ | | 4.750% due 2/1/28 | | | 182,952 | |
| | | | | | Verizon Communications Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB+ | | 3.450% due 3/15/21 | | | 50,437 | |
See Notes to Financial Statements.
186
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Telecommunications — 1.9% — (continued) | |
| $ | 350,000 | | | BBB+ | | 3.000% due 11/1/21 | | $ | 348,221 | |
| | 80,000 | | | BBB+ | | 3.500% due 11/1/24 | | | 79,230 | |
| | 210,000 | | | BBB+ | | 2.625% due 8/15/26 | | | 190,674 | |
| | 120,000 | | | BBB+ | | 4.125% due 3/16/27 | | | 120,882 | |
| | 731,000 | | | BBB+ | | 4.329% due 9/21/28(a) | | | 737,447 | |
| | 260,000 | | | BBB+ | | 4.500% due 8/10/33 | | | 257,555 | |
| | 336,000 | | | BBB+ | | 4.400% due 11/1/34 | | | 325,991 | |
| | 460,000 | | | BBB+ | | 4.272% due 1/15/36 | | | 435,717 | |
| | 150,000 | | | BBB+ | | 5.250% due 3/16/37 | | | 159,343 | |
| | 805,000 | | | BBB+ | | 4.862% due 8/21/46 | | | 798,995 | |
| | 175,000 | | | BBB+ | | 5.500% due 3/16/47 | | | 189,841 | |
| | 150,000 | | | BBB+ | | 4.522% due 9/15/48 | | | 141,723 | |
| | 105,000 | | | BBB+ | | 5.012% due 4/15/49 | | | 105,996 | |
| | 85,000 | | | BBB+ | | 5.012% due 8/21/54 | | | 83,487 | |
| | | | | | Vodafone Group PLC, Senior Unsecured Notes: | | | | |
| | 270,000 | | | BBB+ | | 3.750% due 1/16/24 | | | 268,489 | |
| | 115,000 | | | BBB+ | | 4.125% due 5/30/25 | | | 115,001 | |
| | 815,000 | | | BBB+ | | 4.375% due 5/30/28 | | | 812,019 | |
| | 505,000 | | | BBB+ | | 5.250% due 5/30/48 | | | 511,084 | |
| | | | | | | | | | |
| | | | | | Total Telecommunications | | | 16,370,307 | |
| | | | | | | | | | |
| | Textiles — 0.0% | |
| | | | | | Cintas Corp. No 2, Company Guaranteed Notes: | | | | |
| | 100,000 | | | BBB+ | | 2.900% due 4/1/22 | | | 98,421 | |
| | 110,000 | | | BBB+ | | 3.700% due 4/1/27 | | | 109,218 | |
| | | | | | | | | | |
| | | | | | Total Textiles | | | 207,639 | |
| | | | | | | | | | |
| | Transportation — 0.3% | |
| | | | | | Burlington Northern Santa Fe LLC, Senior Unsecured Notes: | | | | |
| | 50,000 | | | A+ | | 4.375% due 9/1/42 | | | 51,859 | |
| | 79,000 | | | A+ | | 4.550% due 9/1/44 | | | 83,100 | |
| | 10,000 | | | A+ | | 3.900% due 8/1/46 | | | 9,596 | |
| | 15,000 | | | A+ | | 4.125% due 6/15/47 | | | 15,024 | |
| | 40,000 | | | A+ | | 4.150% due 12/15/48 | | | 39,967 | |
| | | | | | CSX Corp., Senior Unsecured Notes: | | | | |
| | 40,000 | | | BBB+ | | 3.250% due 6/1/27 | | | 38,131 | |
| | 55,000 | | | BBB+ | | 3.800% due 3/1/28 | | | 54,566 | |
| | 50,000 | | | BBB+ | | 3.800% due 11/1/46 | | | 45,702 | |
| | 65,000 | | | BBB+ | | 4.300% due 3/1/48 | | | 63,376 | |
| | | | | | FedEx Corp., Company Guaranteed Notes: | | | | |
| | 135,000 | | | BBB | | 3.875% due 8/1/42 | | | 120,683 | |
| | 49,000 | | | BBB | | 4.100% due 2/1/45 | | | 44,843 | |
| | 40,000 | | | BBB | | 4.400% due 1/15/47 | | | 38,127 | |
| | 35,000 | | | BBB | | 4.050% due 2/15/48 | | | 32,116 | |
| | | | | | Norfolk Southern Corp., Senior Unsecured Notes: | | | | |
| | 30,000 | | | BBB+ | | 3.650% due 8/1/25 | | | 30,114 | |
| | 50,000 | | | BBB+ | | 2.900% due 6/15/26 | | | 47,459 | |
| | 75,000 | | | BBB+ | | 3.150% due 6/1/27 | | | 71,683 | |
| | 95,000 | | | BBB+ | | 4.150% due 2/28/48 | | | 92,459 | |
| | 140,000 | | | BBB+ | | Ryder System Inc., Senior Unsecured Notes, 2.650% due 3/2/20 | | | 139,029 | |
| | | | | | Union Pacific Corp., Senior Unsecured Notes: | | | | |
| | 64,000 | | | A- | | 4.163% due 7/15/22 | | | 66,150 | |
| | 50,000 | | | A- | | 3.750% due 7/15/25 | | | 50,512 | |
| | 585,000 | | | A- | | 3.950% due 9/10/28 | | | 590,984 | |
| | 250,000 | | | A- | | 4.500% due 9/10/48 | | | 256,433 | |
See Notes to Financial Statements.
187
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Transportation — 0.3% — (continued) | |
| $ | 20,000 | | | A- | | 3.799% due 10/1/51 | | $ | 17,971 | |
| | 64,000 | | | A- | | 3.875% due 2/1/55 | | | 56,770 | |
| | 115,000 | | | A- | | 4.800% due 9/10/58 | | | 120,562 | |
| | 190,000 | | | A- | | 4.100% due 9/15/67 | | | 168,200 | |
| | | | | | United Parcel Service Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | A+ | | 2.500% due 4/1/23 | | | 58,171 | |
| | 40,000 | | | A+ | | 3.050% due 11/15/27 | | | 38,537 | |
| | | | | | | | | | |
| | | | | | Total Transportation | | | 2,442,124 | |
| | | | | | | | | | |
| | Trucking & Leasing — 0.0% | |
| | | | | | Park Aerospace Holdings Ltd., Company Guaranteed Notes: | | | | |
| | 40,000 | | | BB | | 5.250% due 8/15/22(a) | | | 40,900 | |
| | 60,000 | | | BB | | 5.500% due 2/15/24(a) | | | 61,800 | |
| | 265,000 | | | BBB | | Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes, 3.400% due 11/15/26(a) | | | 249,775 | |
| | | | | | | | | | |
| | | | | | Total Trucking & Leasing | | | 352,475 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $287,949,810) | | | 288,090,699 | |
| | | | | | | | | | |
| | MORTGAGE-BACKED SECURITIES — 24.8% | |
| | FHLMC — 6.5% | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), Gold: | | | | |
| | 1,029,930 | | | | | 5.000% due 6/1/21 — 7/1/48 | | | 1,096,307 | |
| | 9,533,946 | | | | | 4.000% due 10/1/25 — 7/1/48 | | | 9,775,556 | |
| | 2,447,932 | | | | | 4.500% due 4/1/29 — 6/1/48 | | | 2,545,773 | |
| | 609,026 | | | | | 5.500% due 1/1/30 — 2/1/40 | | | 654,883 | |
| | 10,516,308 | | | | | 3.000% due 3/1/31 — 1/1/48 | | | 10,215,117 | |
| | 177,429 | | | | | 6.500% due 8/1/37 — 9/1/39 | | | 198,250 | |
| | 57,845 | | | | | 6.000% due 5/1/38 — 6/1/39 | | | 63,632 | |
| | 17,323 | | | | | 7.000% due 3/1/39 | | | 19,476 | |
| | 25,839,260 | | | | | 3.500% due 12/1/42 — 3/1/48 | | | 25,807,730 | |
| | 820,000 | | | | | 3.500% due 9/1/48(i) | | | 815,740 | |
| | 390,000 | | | | | 4.000% due 9/1/48(i) | | | 397,343 | |
| | 4,025,000 | | | | | 4.500% due 9/1/48(i) | | | 4,182,620 | |
| | 600,000 | | | | | 5.000% due 9/1/48(i) | | | 634,172 | |
| | | | | | | | | | |
| | | | | | TOTAL FHLMC | | | 56,406,599 | |
| | | | | | | | | | |
| | FNMA — 12.0% | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 15,982,200 | | | | | 4.000% due 10/1/19 — 6/1/57 | | | 16,370,362 | |
| | 1,542,981 | | | | | 5.500% due 10/1/19 — 9/1/56 | | | 1,676,073 | |
| | 114,161 | | | | | 4.400% due 2/1/20 | | | 116,123 | |
| | 1,145,000 | | | | | 3.459% due 11/1/20 | | | 1,156,156 | |
| | 462,449 | | | | | 3.540% due 11/1/20 | | | 467,737 | |
| | 174,085 | | | | | 6.000% due 9/1/21 — 10/1/35 | | | 188,840 | |
| | 1,104,340 | | | | | 3.650% due 11/1/21 | | | 1,123,625 | |
| | 1,557,280 | | | | | 5.000% due 6/1/22 — 5/1/48 | | | 1,662,590 | |
| | 10,140,724 | | | | | 4.500% due 3/1/24 — 9/1/57 | | | 10,574,867 | |
| | 19,359,572 | | | | | 3.500% due 11/1/25 — 3/1/57 | | | 19,345,328 | |
| | 1,441,918 | | | | | 2.964% due 5/1/27 | | | 1,411,332 | |
| | 3,438,785 | | | | | 2.500% due 11/1/27 — 10/1/42 | | | 3,329,595 | |
| | 19,131,131 | | | | | 3.000% due 12/1/27 — 1/1/48 | | | 18,718,187 | |
| | 525,000 | | | | | 3.010% due 4/1/28 | | | 508,634 | |
| | 545,000 | | | | | 3.050% due 4/1/28 | | | 528,495 | |
| | 815,000 | | | | | 3.480% due 8/1/28 | | | 819,639 | |
See Notes to Financial Statements.
188
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | FNMA — 12.0% — (continued) | |
| $ | 788,733 | | | | | 4.240% due 12/1/29 | | $ | 825,699 | |
| | 3,000,000 | | | | | 2.500% due 9/1/33(i) | | | 2,916,181 | |
| | 6,070,000 | | | | | 3.000% due 9/1/33 — 9/1/48(i) | | | 5,909,255 | |
| | 5,550,000 | | | | | 3.500% due 9/1/33 — 9/1/48(i) | | | 5,580,460 | |
| | 155,308 | | | | | 3.804% (1-Year USD-LIBOR + 1.554%) due 3/1/34(d) | | | 162,309 | |
| | 363,386 | | | | | 3.360% due 7/1/35 | | | 362,556 | |
| | 41,813 | | | | | 3.503% (1-Year Treasury Average Rate + 1.840%) due 10/1/35(d) | | | 42,776 | |
| | 39,250 | | | | | 3.580% (1-Year Treasury Average Rate + 1.927%) due 11/1/35(d) | | | 40,299 | |
| | 15,866 | | | | | 3.624% (1-Year Treasury Average Rate + 1.969%) due 11/1/35(d) | | | 16,317 | |
| | 88,238 | | | | | 3.373% (1-Year USD-LIBOR + 1.623%) due 9/1/36(d) | | | 92,170 | |
| | 27,544 | | | | | 7.000% due 4/1/37 | | | 29,949 | |
| | 100,104 | | | | | 3.640% (1-Year USD-LIBOR + 1.265%) due 5/1/37(d) | | | 105,058 | |
| | 279,829 | | | | | 6.500% due 9/1/37 — 5/1/40 | | | 314,244 | |
| | 4,180,000 | | | | | 4.000% due 9/1/48(i) | | | 4,256,585 | |
| | 4,000,000 | | | | | 4.500% due 9/1/48 — 10/1/48(i) | | | 4,151,513 | |
| | 900,000 | | | | | 5.000% due 9/1/48 — 10/1/48(i) | | | 950,581 | |
| | | | | | | | | | |
| | | | | | TOTAL FNMA | | | 103,753,535 | |
| | | | | | | | | | |
| | GNMA — 6.3% | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 44,784 | | | | | 6.000% due 12/15/33 — 6/15/37 | | | 48,609 | |
| | 609,776 | | | | | 5.000% due 10/15/34 — 9/15/40 | | | 647,288 | |
| | 47,441 | | | | | 5.500% due 5/15/37 — 6/15/38 | | | 51,462 | |
| | 71,094 | | | | | 6.500% due 1/15/38 — 10/15/38 | | | 80,304 | |
| | 141,288 | | | | | 4.500% due 3/15/41 | | | 147,841 | |
| | 697,279 | | | | | 4.000% due 6/15/41 — 11/15/45 | | | 718,522 | |
| | | | | | Government National Mortgage Association II (GNMA): | | | | |
| | 7,495,000 | | | | | 4.500% due 9/20/48 — 10/20/48(i) | | | 7,788,404 | |
| | 1,865,000 | | | | | 5.000% due 9/20/48 — 10/20/48(i) | | | 1,957,595 | |
| | 708 | | | | | 9.000% due 11/20/21 | | | 740 | |
| | 114,742 | | | | | 6.000% due 7/20/37 — 11/20/40 | | | 126,066 | |
| | 2,811,786 | | | | | 4.500% due 1/20/40 �� 7/20/47 | | | 2,940,975 | |
| | 3,691,694 | | | | | 5.000% due 7/20/40 — 7/20/48 | | | 3,889,958 | |
| | 4,424,944 | | | | | 4.000% due 11/20/40 — 7/20/48 | | | 4,556,168 | |
| | 7,413,529 | | | | | 3.000% due 1/20/43 — 11/20/47 | | | 7,264,773 | |
| | 12,348,099 | | | | | 3.500% due 6/20/43 — 8/20/48 | | | 12,419,943 | |
| | 3,600,000 | | | | | 3.000% due 9/20/47(i) | | | 3,521,812 | |
| | 1,800,000 | | | | | 3.500% due 9/20/47(i) | | | 1,807,102 | |
| | 6,965,000 | | | | | 4.000% due 9/20/48(i) | | | 7,133,956 | |
| | | | | | | | | | |
| | | | | | TOTAL GNMA | | | 55,101,518 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $218,917,933) | | | 215,261,652 | |
| | | | | | | | | | |
| | U.S. GOVERNMENT AGENCIES & OBLIGATIONS — 23.7% | |
| | U.S. GOVERNMENT AGENCIES — 0.3% | |
| | 345,000 | | | | | Federal Home Loan Bank (FHLB), 4.000% due 9/1/28 | | | 366,252 | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 650,000 | | | | | zero coupon, due 10/9/19 | | | 631,697 | |
| | 405,000 | | | | | 7.125% due 1/15/30 | | | 556,322 | |
| | | | | | Federal National Mortgage Association (FNMA), Principal Strip: | | | | |
| | 575,000 | | | | | zero coupon, due 1/15/30(j) | | | 393,413 | |
| | 595,000 | | | | | zero coupon, due 5/15/30(j) | | | 400,282 | |
| | | | | | Residual Funding Corp., Principal Strip: | | | | |
| | 240,000 | | | | | zero coupon, due 7/15/20(j) | | | 228,171 | |
See Notes to Financial Statements.
189
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | U.S. GOVERNMENT AGENCIES — 0.3% — (continued) | |
| $ | 325,000 | | | | | zero coupon, due 1/15/21(j) | | $ | 304,383 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT AGENCIES | | | 2,880,520 | |
| | | | | | | | | | |
| | U.S. GOVERNMENT OBLIGATIONS — 23.4% | |
| | | | | | U.S. Treasury Bonds: | | | | |
| | 1,660,000 | | | | | 4.500% due 2/15/36 | | | 2,023,871 | |
| | 795,000 | | | | | 5.000% due 5/15/37 | | | 1,033,997 | |
| | 615,000 | | | | | 4.625% due 2/15/40 | | | 776,798 | |
| | 690,000 | | | | | 3.750% due 8/15/41 | | | 777,247 | |
| | 4,195,000 | | | | | 3.125% due 11/15/41 | | | 4,290,125 | |
| | 1,360,000 | | | | | 2.750% due 8/15/42 | | | 1,302,173 | |
| | 100,000 | | | | | 3.125% due 2/15/43 | | | 102,109 | |
| | 1,005,000 | | | | | 3.625% due 8/15/43 | | | 1,113,999 | |
| | 19,810,000 | | | | | 3.750% due 11/15/43 | | | 22,411,610 | |
| | 415,000 | | | | | 3.125% due 8/15/44 | | | 423,932 | |
| | 400,000 | | | | | 2.500% due 2/15/45 | | | 362,937 | |
| | 5,950,000 | | | | | 3.000% due 5/15/45 | | | 5,944,306 | |
| | 895,000 | | | | | 2.875% due 8/15/45 | | | 872,940 | |
| | 1,188,000 | | | | | 3.000% due 2/15/47 | | | 1,186,817 | |
| | 2,040,000 | | | | | 2.750% due 8/15/47 | | | 1,937,602 | |
| | 24,155,000 | | | | | 3.125% due 5/15/48 | | | 24,721,133 | |
| | 3,745,000 | | | | | 3.000% due 8/15/48 | | | 3,738,929 | |
| | | | | | U.S. Treasury Inflation Indexed Bonds: | | | | |
| | 305,455 | | | | | 2.125% due 2/15/40 | | | 380,262 | |
| | 691,418 | | | | | 0.750% due 2/15/42 | | | 671,459 | |
| | 118,934 | | | | | 1.375% due 2/15/44 | | | 131,993 | |
| | 659,106 | | | | | 1.000% due 2/15/48 | | | 677,111 | |
| | 595,546 | | | | | U.S. Treasury Inflation Indexed Notes, 0.375% due 7/15/23 | | | 588,096 | |
| | | | | | U.S. Treasury Notes: | | | | |
| | 6,140,000 | | | | | 2.625% due 7/31/20 | | | 6,139,640 | |
| | 2,640,000 | | | | | 2.375% due 3/15/21 | | | 2,620,870 | |
| | 11,735,000 | | | | | 2.375% due 4/15/21 | | | 11,645,612 | |
| | 2,424,000 | | | | | 1.375% due 5/31/21 | | | 2,340,722 | |
| | 5,870,000 | | | | | 2.625% due 6/15/21 | | | 5,860,828 | |
| | 2,485,000 | | | | | 2.625% due 7/15/21 | | | 2,480,632 | |
| | 2,430,000 | | | | | 2.000% due 12/31/21 | | | 2,375,420 | |
| | 2,140,000 | | | | | 2.000% due 10/31/22 | | | 2,078,768 | |
| | 13,775,000 | | | | | 2.625% due 6/30/23 | | | 13,705,318 | |
| | 21,765,000 | | | | | 2.750% due 7/31/23 | | | 21,778,178 | |
| | 750,000 | | | | | 2.750% due 8/31/23 | | | 750,527 | |
| | 6,010,000 | | | | | 2.000% due 6/30/24 | | | 5,761,383 | |
| | 5,491,000 | | | | | 2.125% due 9/30/24 | | | 5,290,021 | |
| | 2,925,000 | | | | | 2.250% due 10/31/24 | | | 2,837,079 | |
| | 2,110,000 | | | | | 2.875% due 4/30/25 | | | 2,120,014 | |
| | 5,665,000 | | | | | 2.875% due 5/31/25 | | | 5,690,338 | |
| | 3,090,000 | | | | | 2.750% due 6/30/25 | | | 3,079,921 | |
| | 1,435,000 | | | | | 2.375% due 5/15/27 | | | 1,384,215 | |
| | 3,800,000 | | | | | 2.250% due 11/15/27 | | | 3,615,938 | |
| | 1,315,000 | | | | | 2.750% due 2/15/28 | | | 1,303,442 | |
| | 22,337,000 | | | | | 2.875% due 5/15/28 | | | 22,366,230 | |
| | 2,255,000 | | | | | 2.875% due 8/15/28 | | | 2,259,625 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS | | | 202,954,167 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS
(Cost — $206,506,697) | | | 205,834,687 | |
| | | | | | | | | | |
See Notes to Financial Statements.
190
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 11.0% | |
| $ | 270,000 | | | AAA | | 225 Liberty Street Trust, Series 2016-225L, Class A, 3.597% due 2/10/36(a) | | $ | 269,581 | |
| | 2,800,000 | | | BB+ | | Accredited Mortgage Loan Trust, Series 2007-1, Class A4, 2.285% (1-Month USD-LIBOR + 0.220%) due 2/25/37(d) | | | 2,738,825 | |
| | 97,205 | | | CC | | AFC Home Equity Loan Trust, Series 1999-2, Class 2A, 2.715% (1-Month USD-LIBOR + 0.650%) due 6/25/29(d) | | | 84,135 | |
| | | | | | Alternative Loan Trust: | | | | |
| | 292,341 | | | CCC | | Series 2005-24, Class 4A1, 2.299% (1-Month USD-LIBOR + 0.230%) due 7/20/35(d) | | | 287,064 | |
| | 1,335,141 | | | CCC | | Series 2005-56, Class 4A1, 2.375% (1-Month USD-LIBOR + 0.310%) due 11/25/35(d) | | | 1,292,647 | |
| | | | | | Ascentium Equipment Receivables Trust: | | | | |
| | 1,159,987 | | | Aaa(b) | | Series 2017-2A, Class A2, 2.000% due 5/11/20(a) | | | 1,154,400 | |
| | 550,000 | | | Aaa(b) | | Series 2017-2A, Class A3, 2.310% due 12/10/21(a) | | | 541,050 | |
| | 1,015,506 | | | CCC | | Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2007-HE1, Class A1B, 2.215% (1-Month USD-LIBOR + 0.150%) due 12/25/36(d) | | | 991,849 | |
| | 515,000 | | | AAA | | Babson CLO Ltd., Series 2013-IA, Class AR, 3.148% (3-Month USD-LIBOR + 0.800%) due 1/20/28(a)(d) | | | 513,131 | |
| | | | | | BAMLL Commercial Mortgage Securities Trust: | | | | |
| | 480,000 | | | AA- | | Series 2015-200P, Class B, 3.490% due 4/14/33(a) | | | 472,037 | |
| | 420,000 | | | AAAe(k) | | Series 2018-PARK, Class A, 4.091% due 8/10/38(a)(d) | | | 434,933 | |
| | 54,060 | | | AA+ | | Banc of America Mortgage Trust, Series 2004-F, Class 1A1, 4.487% due 7/25/34(d) | | | 55,429 | |
| | 285,000 | | | AAA | | BB-UBS Trust, Series 2012-SHOW, Class A, 3.430% due 11/5/36(a) | | | 282,677 | |
| | 270,905 | | | WD(k) | | Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-3, Class 1A1, 4.088% due 5/25/47(d) | | | 245,366 | |
| | | | | | Bear Stearns ALT-A Trust: | | | | |
| | 188,277 | | | BBB- | | Series 2004-7, Class 2A1, 4.288% due 8/25/34(d) | | | 191,149 | |
| | 122,260 | | | B | | Series 2005-4, Class 23A2, 3.877% due 5/25/35(d) | | | 124,555 | |
| | 478,317 | | | CCC | | Bear Stearns Asset-Backed Securities I Trust, Series 2005-AC6, Class 1A3, 5.500% due 9/25/35(d) | | | 478,857 | |
| | 130,714 | | | BBB | | Bear Stearns Structured Products Trust, Series 2007-EMX1, Class A1, 3.065% (1-Month USD-LIBOR + 1.000%) due 3/25/37(a)(d) | | | 135,417 | |
| | 285,000 | | | AAA | | BENCHMARK Mortgage Trust, Series 2018-B1, Class A2, 3.571% due 1/15/51 | | | 288,615 | |
| | 650,120 | | | AAA | | BX Trust, Series 2017-SLCT, Class A, 2.983% (1-Month USD-LIBOR + 0.920%) due 7/15/34(a)(d) | | | 651,032 | |
| | 778,878 | | | AA+ | | Centex Home Equity Loan Trust, Series 2006-A, Class AV4, 2.315% (1-Month USD-LIBOR + 0.250%) due 6/25/36(d) | | | 778,277 | |
| | 235,000 | | | AAA | | CGBAM Commercial Mortgage Trust, Series 2015-SMRT, Class A, 2.808% due 4/10/28(a) | | | 234,144 | |
| | 545,000 | | | AAA | | CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class A, 3.369% due 3/13/35(a) | | | 544,998 | |
| | 131,560 | | | BB | | Chase Mortgage Finance Trust, Series 2007-A1, Class 5A1, 4.106% due 2/25/37(d) | | | 133,129 | |
| | | | | | Chevy Chase Funding LLC Mortgage-Backed Certificates: | | | | |
| | 897,019 | | | A+ | | Series 2004-2A, Class A1, 2.335% (1-Month USD-LIBOR + 0.270%) due 5/25/35(a)(d) | | | 882,782 | |
| | 1,900,032 | | | CCC | | Series 2004-2A, Class B1, 2.578% due 5/25/35(a)(d) | | | 1,452,488 | |
| | 1,328,265 | | | NR | | CIM Trust, Series 2018-R5, Class A1, 3.750% due 7/25/58(a)(d) | | | 1,325,042 | |
| | 464,667 | | | Caa1(b) | | Citicorp Mortgage Securities Trust, Series 2007-3, Class 1A4, 6.000% due 4/25/37 | | | 454,510 | |
| | | | | | Citigroup Commercial Mortgage Trust: | | | | |
| | 620,000 | | | Aaa(b) | | Series 2013-375P, Class A, 3.251% due 5/10/35(a) | | | 617,826 | |
| | 300,000 | | | BB(k) | | Series 2014-GC19, Class E, 4.666% due 3/10/47(a)(d) | | | 233,291 | |
| | 140,000 | | | Aa1(b) | | Series 2014-GC25, Class AS, 4.017% due 10/10/47 | | | 140,997 | |
| | 440,000 | | | Aaa(b) | | Series 2015-GC27, Class A5, 3.137% due 2/10/48 | | | 431,320 | |
| | 420,000 | | | BBB-(k) | | Series 2015-GC33, Class D, 3.172% due 9/10/58 | | | 343,928 | |
| | 575,000 | | | Aaa(b) | | Series 2015-P1, Class A5, 3.717% due 9/15/48 | | | 582,882 | |
| | 355,000 | | | Aaa(b) | | Series 2017-P7, Class AAB, 3.509% due 4/14/50 | | | 356,499 | |
| | 1,651,640 | | | CC | | Citigroup Mortgage Loan Trust, Series 2006-AR6, Class 2A4, 2.285% (1-Month USD-LIBOR + 0.220%) due 9/25/36(d) | | | 660,087 | |
| | 2,056,896 | | | AA+ | | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2017-CD4, Class XA, 1.477% due 5/10/50(d)(l) | | | 168,653 | |
See Notes to Financial Statements.
191
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 11.0% — (continued) | |
| $ | 415,000 | | | AAA | | CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A, 2.871% due 11/10/31(a)(d) | | $ | 403,375 | |
| | 490,000 | | | AAA | | Cold Storage Trust, Series 2017-ICE3, Class A, 3.063% (1-Month USD-LIBOR + 1.000%) due 4/15/36(a)(d) | | | 492,251 | |
| | | | | | Commercial Mortgage Trust: | | | | |
| | 265,000 | | | AAA(k) | | Series 2013-300P, Class A1, 4.353% due 8/10/30(a) | | | 274,955 | |
| | 190,000 | | | AA-(k) | | Series 2013-300P, Class B, 4.540% due 8/10/30(a)(d) | | | 196,547 | |
| | 260,000 | | | BB | | Series 2013-CR9, Class E, 4.391% due 7/10/45(a)(d) | | | 146,026 | |
| | 535,000 | | | Aaa(b) | | Series 2013-CR11, Class A3, 3.983% due 8/10/50 | | | 551,418 | |
| | 40,000 | | | Aa3(b) | | Series 2013-CR12, Class B, 4.762% due 10/10/46(d) | | | 41,355 | |
| | 20,000 | | | A3(b) | | Series 2013-CR12, Class C, 5.250% due 10/10/46(d) | | | 20,166 | |
| | 265,000 | | | AAA(k) | | Series 2014-277P, Class A, 3.732% due 8/10/49(a)(d) | | | 268,020 | |
| | 140,000 | | | AAA | | Series 2014-CR18, Class A5, 3.828% due 7/15/47 | | | 143,169 | |
| | 685,000 | | | AAA | | Series 2014-CR18, Class ASB, 3.452% due 7/15/47 | | | 689,663 | |
| | 210,000 | | | A-(k) | | Series 2014-CR21, Class C, 4.562% due 12/10/47(d) | | | 205,311 | |
| | 345,000 | | | Aaa(b) | | Series 2014-LC17, Class A5, 3.917% due 10/10/47 | | | 353,890 | |
| | 5,254,537 | | | Aa1(b) | | Series 2015-CR25, Class XA, 1.080% due 8/10/48(d)(l) | | | 250,677 | |
| | 270,000 | | | AAA | | Series 2016-787S, Class A, 3.545% due 2/10/36(a) | | | 268,670 | |
| | | | | | Core Industrial Trust: | | | | |
| | 351,008 | | | AAA | | Series 2015-CALW, Class A, 3.040% due 2/10/34(a) | | | 349,492 | |
| | 466,473 | | | AAA | | Series 2015-TEXW, Class A, 3.077% due 2/10/34(a) | | | 465,016 | |
| | 1,600,000 | | | BB- | | Series 2015-TEXW, Class E, 3.977% due 2/10/34(a)(d) | | | 1,584,366 | |
| | | | | | Countrywide Asset-Backed Certificates: | | | | |
| | 169,766 | | | CCC | | Series 2006-SD3, Class A1, 2.395% (1-Month USD-LIBOR + 0.330%) due 7/25/36(a)(d) | | | 160,367 | |
| | 865,648 | | | CCC | | Series 2007-4, Class A4W, 4.718% due 4/25/47 | | | 839,474 | |
| | 320,802 | | | AA | | Series 2007-13, Class 2A2, 2.865% (1-Month USD-LIBOR + 0.800%) due 10/25/47(d). | | | 318,327 | |
| | | | | | Countrywide Home Loan Mortgage Pass-Through Trust: | | | | |
| | 113,950 | | | Ca(b) | | Series 2005-11, Class 3A3, 2.712% due 4/25/35(d) | | | 91,227 | |
| | 65,645 | | | WR(b) | | Series 2005-11, Class 6A1, 2.665% (1-Month USD-LIBOR + 0.600%) due 3/25/35(d).. | | | 59,704 | |
| | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | | | |
| | 290,000 | | | B- | | Series 2014-USA, Class F, 4.373% due 9/15/37(a) | | | 245,065 | |
| | 814,590 | | | NR | | Series 2015-5R, Class 1A1, 2.573% due 9/27/46(a)(d) | | | 809,336 | |
| | 240,000 | | | Aaa(b) | | Series 2017-LSTK, Class A, 2.761% due 4/5/33(a) | | | 236,843 | |
| | | | | | Credit Suisse Commercial Mortgage Trust: | | | | |
| | 32,498 | | | Caa3(b) | | Series 2006-C3, Class AJ, 6.600% due 6/15/38(d) | | | 20,153 | |
| | 19,390 | | | Caa1(b) | | Series 2006-C5, Class AJ, 5.373% due 12/15/39 | | | 14,232 | |
| | 102,689 | | | B+ | | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-6, Class 8A1, 4.500% due 7/25/20 | | | 103,651 | |
| | 295,000 | | | Aaa(b) | | Credit Suisse USA CSAIL Commercial Mortgage Trust, Series 2015-C1, Class A4, 3.505% due 4/15/50 | | | 295,740 | |
| | 2,659,920 | | | AAA(k) | | CSMC Trust, Series 2018-J1, Class A2, 3.500% due 2/25/48(a)(d) | | | 2,605,371 | |
| | 1,351,758 | | | CC | | CWABS Revolving Home Equity Loan Trust, Series 2004-B, Class 2A, 2.283% (1-Month USD-LIBOR + 0.220%) due 2/15/29(d) | | | 1,258,953 | |
| | 660,000 | | | AAA | | DBUBS Mortgage Trust, Series 2017-BRBK, Class A, 3.452% due 10/10/34(a) | | | 658,991 | |
| | 70,915 | | | CCC | | Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR2, Class A2B, 2.877% (1-Month USD-LIBOR + 0.800%) due 11/19/44(d) | | | 66,404 | |
| | 430,039 | | | B- | | Equifirst Mortgage Loan Trust, Series 2003-2, Class M2, 4.615% (1-Month USD-LIBOR + 2.550%) due 9/25/33(d) | | | 438,166 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), Interest Strips: | | | | |
| | 126,670 | | | NR | | Series 334, Class S7, 4.037% (6.100% — 1-Month USD-LIBOR) due 8/15/44(d)(l) | | | 22,311 | |
| | 172,211 | | | NR | | Series 353, Class S1, 3.937% (6.000% — 1-Month USD-LIBOR) due 12/15/46(d)(l) | | | 29,606 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | | |
| | 8,053 | | | NR | | Series 1865, Class DA, 27.132% (31.310% — 11th District Cost of Funds Index) due 2/15/24(d)(l) | | | 3,365 | |
| | 63,323 | | | NR | | Series 3451, Class SB, 3.967% (6.030% — 1-Month USD-LIBOR) due 5/15/38(d)(l) | | | 5,127 | |
| | 103,573 | | | NR | | Series 3621, Class SB, 4.167% (6.230% — 1-Month USD-LIBOR) due 1/15/40(d)(l) | | | 13,624 | |
See Notes to Financial Statements.
192
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 11.0% — (continued) | |
| $ | 555,000 | | | NR | | Series 3743, Class PB, 4.500% due 10/15/40 | | $ | 594,954 | |
| | 1,285,965 | | | NR | | Series 3866, Class SA, 3.887% (5.950% — 1-Month USD-LIBOR) due 5/15/41(d)(l) | | | 153,415 | |
| | 485,960 | | | NR | | Series 3947, Class SG, 3.887% (5.950% — 1-Month USD-LIBOR) due 10/15/41(d)(l) | | | 70,825 | |
| | 33,486 | | | NR | | Series 3973, Class SA, 4.427% (6.490% — 1-Month USD-LIBOR) due 12/15/41(d)(l) | | | 5,961 | |
| | 409,940 | | | NR | | Series 4203, Class PS, 4.187% (6.250% — 1-Month USD-LIBOR) due 9/15/42(d)(l) | | | 56,087 | |
| | 343,826 | | | NR | | Series 4210, Class Z, 3.000% due 5/15/43 | | | 310,051 | |
| | 203,547 | | | NR | | Series 4239, Class IO, 3.500% due 6/15/27(l) | | | 19,080 | |
| | 292,662 | | | NR | | Series 4316, Class XZ, 4.500% due 3/15/44 | | | 314,105 | |
| | 126,514 | | | NR | | Series 4335, Class SW, 3.937% (6.000% — 1-Month USD-LIBOR) due 5/15/44(d)(l) | | | 19,466 | |
| | 788,936 | | | NR | | Series 4639, Class HZ, step bond to yield, 2.750% due 4/15/53 | | | 714,147 | |
| | 105,851 | | | NR | | Series R007, Class ZA, 6.000% due 5/15/36 | | | 116,529 | |
| | | | | | Federal National Mortgage Association (FNMA), ACES: | | | | |
| | 328,073 | | | NR | | Series 2006-M2, Class A2A, 5.271% due 10/25/32(d) | | | 352,264 | |
| | 16,218,056 | | | NR | | Series 2013-M7, Class X2, 0.230% due 12/27/22(d)(l) | | | 100,468 | |
| | 104,947 | | | NR | | Series 2014-M12, Class FA, 2.382% (1-Month USD-LIBOR + 0.300%) due 10/25/21(d) | | | 105,071 | |
| | 48,593 | | | NR | | Series 2015-M7, Class AB2, 2.502% due 12/25/24 | | | 47,164 | |
| | 6,020,092 | | | NR | | Series 2015-M7, Class X2, 0.610% due 12/25/24(d)(l) | | | 160,345 | |
| | 20,470,589 | | | NR | | Series 2015-M8, Class X2, 0.255% due 1/25/25(d)(l) | | | 161,435 | |
| | 248,520 | | | A3(b) | | Federal National Mortgage Association (FNMA), Connecticut Avenue Securities, Series 2016-C04, Class 1M1, 3.515% (1-Month USD-LIBOR + 1.450%) due 1/25/29(a)(d) | | | 250,350 | |
| | 79,529 | | | NR | | Federal National Mortgage Association (FNMA), Grantor Trust, Series 2000-T6, Class A3, 4.238% due 11/25/40(d) | | | 78,725 | |
| | | | | | Federal National Mortgage Association (FNMA), Interest Strip: | | | | |
| | 179,912 | | | NR | | Series 409, Class C13, 3.500% due 11/25/41(l) | | | 35,152 | |
| | 331,610 | | | NR | | Series 409, Class C18, 4.000% due 4/25/42(l) | | | 65,504 | |
| | 47,039 | | | NR | | Series 409, Class C22, 4.500% due 11/25/39(l) | | | 10,486 | |
| | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | | |
| | 35,005 | | | NR | | Series 2004-38, Class FK, 2.415% (1-Month USD-LIBOR + 0.350%) due 5/25/34(d) | | | 35,042 | |
| | 173,250 | | | NR | | Series 2005-117, Class LC, 5.500% due 11/25/35 | | | 179,122 | |
| | 721,306 | | | NR | | Series 2006-51, Class SP, 4.585% (6.650% — 1-Month USD-LIBOR) due 3/25/36(d)(l) | | | 81,758 | |
| | 307,797 | | | NR | | Series 2007-68, Class SC, 4.635% (6.700% — 1-Month USD-LIBOR) due 7/25/37(d)(l) | | | 48,509 | |
| | 735,302 | | | NR | | Series 2008-18, Class SM, 4.935% (7.000% — 1-Month USD-LIBOR) due 3/25/38(d)(l) | | | 83,854 | |
| | 1,253,431 | | | NR | | Series 2011-8, Class ZA, 4.000% due 2/25/41 | | | 1,278,082 | |
| | 440,381 | | | NR | | Series 2011-87, Class SG, 4.485% (6.550% — 1-Month USD-LIBOR) due 4/25/40(d)(l) | | | 51,524 | |
| | 157,213 | | | NR | | Series 2011-90, Class QI, 5.000% due 5/25/34(l) | | | 8,322 | |
| | 770,000 | | | NR | | Series 2011-131, Class PB, 4.500% due 12/25/41 | | | 827,155 | |
| | 109,576 | | | NR | | Series 2012-35, Class SC, 4.435% (6.500% — 1-Month USD-LIBOR) due 4/25/42(d)(l) | | | 18,454 | |
| | 142,846 | | | NR | | Series 2012-46, Class BA, 6.000% due 5/25/42 | | | 155,742 | |
| | 204,737 | | | NR | | Series 2012-51, Class B, 7.000% due 5/25/42 | | | 235,901 | |
| | 27,950 | | | NR | | Series 2012-70, Class YS, 4.585% (6.650% — 1-Month USD-LIBOR) due 2/25/41(d)(l) | | | 3,140 | |
| | 175,949 | | | NR | | Series 2012-74, Class SA, 4.585% (6.650% — 1-Month USD-LIBOR) due 3/25/42(d)(l) | | | 21,123 | |
| | 29,325 | | | NR | | Series 2012-75, Class AO, zero coupon, due 3/25/42(j) | | | 25,693 | |
| | 152,759 | | | NR | | Series 2012-101, Class BI, 4.000% due 9/25/27(l) | | | 13,668 | |
| | 260,283 | | | NR | | Series 2012-118, Class CI, 3.500% due 12/25/39(l) | | | 27,507 | |
| | 140,277 | | | NR | | Series 2012-133, Class CS, 4.085% (6.150% — 1-Month USD-LIBOR) due 12/25/42(d)(l) | | | 22,777 | |
| | 492,350 | | | NR | | Series 2013-9, Class BC, 6.500% due 7/25/42 | | | 554,020 | |
| | 412,859 | | | NR | | Series 2013-9, Class CB, 5.500% due 4/25/42 | | | 447,836 | |
| | 117,629 | | | NR | | Series 2013-54, Class BS, 4.085% (6.150% — 1-Month USD-LIBOR) due 6/25/43(d)(l) | | | 20,864 | |
| | 343,510 | | | NR | | Series 2016-60, Class QS, 4.035% (6.100% — 1-Month USD-LIBOR) due 9/25/46(d)(l) | | | 46,068 | |
| | 1,061,598 | | | NR | | Series 2018-55, Class PA, 3.500% due 1/25/47 | | | 1,063,727 | |
| | 962,182 | | | NR | | Series 2018-57, Class QA, 3.500% due 5/25/46 | | | 968,379 | |
| | | | | | FHLMC Multifamily Structured Pass-Through Certificates: | | | | |
| | 251,301 | | | AAA(k) | | Series K016, Class X1, 1.669% due 10/25/21(d)(l) | | | 9,599 | |
| | 500,000 | | | AAA(k) | | Series K072, Class A2, 3.444% due 12/25/27 | | | 502,103 | |
| | 1,155,166 | | | NR | | Series KBAM, Class A, 2.781% (1-Month USD-LIBOR + 0.700%) due 9/25/22(d) | | | 1,160,119 | |
See Notes to Financial Statements.
193
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 11.0% — (continued) | |
| $ | 434,750 | | | NR | | Series KF34, Class A, 2.441% (1-Month USD-LIBOR + 0.360%) due 8/25/24(d) | | $ | 435,853 | |
| | 1,199,879 | | | NR | | Series KF39, Class A, 2.401% (1-Month USD-LIBOR + 0.320%) due 11/25/24(d) | | | 1,200,024 | |
| | 357,567 | | | NR | | Series KIR2, Class A1, 2.748% due 3/25/27 | | | 352,682 | |
| | 333,324 | | | NR | | Series KW02, Class A1, 2.896% due 4/25/26 | | | 330,333 | |
| | 1,146,196 | | | NR | | Series Q006, Class APT2, 2.489% due 9/25/26(d) | | | 1,160,187 | |
| | | | | | FHLMC Structured Agency Credit Risk Debt Notes: | | | | |
| | 469,000 | | | Ba1(b) | | Series 2016-DNA1, Class M3, 7.615% (1-Month USD-LIBOR + 5.550%) due 7/25/28(d) | | | 570,636 | |
| | 600,000 | | | A-(k) | | Series 2016-DNA4, Class M2, 3.365% (1-Month USD-LIBOR + 1.300%) due 3/25/29(d) | | | 606,242 | |
| | 655,000 | | | BB-(k) | | Series 2017-DNA2, Class M2, 5.515% (1-Month USD-LIBOR + 3.450%) due 10/25/29(d) | | | 724,973 | |
| | 600,000 | | | B+(k) | | Series 2017-DNA3, Class M2, 4.565% (1-Month USD-LIBOR + 2.500%) due 3/25/30(d) | | | 627,136 | |
| | 410,000 | | | B(k) | | Series 2017-HRP1, Class M2, 4.515% (1-Month USD-LIBOR + 2.450%) due 12/25/42(d) | | | 423,420 | |
| | 1,741,034 | | | CC | | First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2D, 2.305% (1-Month USD-LIBOR + 0.240%) due 10/25/36(d) | | | 1,322,372 | |
| | 680,000 | | | AAA | | Flagship CLO VIII Ltd., Series 2014-8A, Class ARR, 3.189% (3-Month USD-LIBOR + 0.850%) due 1/16/26(a)(d) | | | 679,163 | |
| | 955,570 | | | AAA | | Four Times Square Trust Commercial Mortgage Pass-Through Certificates, Series 2006-4TS, Class A, 5.401% due 12/13/28(a) | | | 998,037 | |
| | | | | | GAHR Commercial Mortgage Trust: | | | | |
| | 93,898 | | | AAA | | Series 2015-NRF, Class AFL1, 3.622% (1-Month USD-LIBOR + 1.300%) due 12/15/34(a)(d) | | | 93,960 | |
| | 505,000 | | | BBB- | | Series 2015-NRF, Class DFX, 3.495% due 12/15/34(a)(d) | | | 502,769 | |
| | 113,083 | | | BB+ | | GE Business Loan Trust, Series 2006-1A, Class C, 2.483% (1-Month USD-LIBOR + 0.420%) due 5/15/34(a)(d) | | | 105,546 | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 617,227 | | | NR | | Series 2007-51, Class SG, 4.503% (6.580% — 1-Month USD-LIBOR) due 8/20/37(d)(l) | | | 82,747 | |
| | 1,740,016 | | | NR | | Series 2008-51, Class GS, 4.167% (6.230% — 1-Month USD-LIBOR) due 6/16/38(d)(l) | | | 263,691 | |
| | 17,490 | | | NR | | Series 2010-31, Class GS, 4.423% (6.500% — 1-Month USD-LIBOR) due 3/20/39(d)(l) | | | 677 | |
| | 78,165 | | | NR | | Series 2010-85, Class HS, 4.573% (6.650% — 1-Month USD-LIBOR) due 1/20/40(d)(l) | | | 7,198 | |
| | 408,450 | | | NR | | Series 2012-H27, Class AI, 1.732% due 10/20/62(d)(l) | | | 23,391 | |
| | 313,398 | | | NR | | Series 2013-53, Class OI, 3.500% due 4/20/43(l) | | | 46,680 | |
| | 3,151,643 | | | NR | | Series 2013-85, Class IA, 0.711% due 3/16/47(d)(l) | | | 119,987 | |
| | 1,767,294 | | | NR | | Series 2014-105, Class IO, 0.957% due 6/16/54(d)(l) | | | 90,781 | |
| | 129,833 | | | NR | | Series 2015-167, Class OI, 4.000% due 4/16/45(l) | | | 25,630 | |
| | 134,468 | | | NR | | Series 2016-84, Class IG, 4.500% due 11/16/45(l) | | | 28,546 | |
| | 85,771 | | | NR | | Series 2016-135, Class SB, 4.037% (6.100% — 1-Month USD-LIBOR) due 10/16/46(d)(l) | | | 15,470 | |
| | 855,022 | | | NR | | Series 2017-H22, Class IC, 2.530% due 11/20/67(d)(l) | | | 108,614 | |
| | 89,895 | | | NR | | Series 2018-99, Class A, 3.200% due 1/16/52 | | | 88,593 | |
| | 130,000 | | | NR | | Series 2018-108, Class A, 3.250% due 5/16/59(d) | | | 128,398 | |
| | 710,000 | | | AAA | | GS Mortgage Securities Corp. II, Series 2018-SRP5, Class A, 3.363% (1-Month USD-LIBOR + 1.300%) due 9/15/31(a)(d) | | | 711,331 | |
| | | | | | Harborview Mortgage Loan Trust: | | | | |
| | 185,858 | | | AA+ | | Series 2004-5, Class 2A6, 3.830% due 6/19/34(d) | | | 187,360 | |
| | 78,309 | | | WD(k) | | Series 2006-2, Class 1A, 4.291% due 2/25/36(d) | | | 56,827 | |
| | 1,147,198 | | | CC | | Series 2006-10, Class 1A1A, 2.277% (1-Month USD-LIBOR + 0.200%) due 11/19/36(d) | | | 1,012,465 | |
| | 121,947 | | | AA | | Impac CMB Trust, Series 2007-A, Class A, 2.565% (1-Month USD-LIBOR + 0.500%) due 5/25/37(a)(d) | | | 121,791 | |
| | 52,816 | | | Caa2(b) | | Indymac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 3.871% due 9/25/35(d) | | | 49,687 | |
| | 1,068,767 | | | CC | | IXIS Real Estate Capital Trust, Series 2006-HE2, Class A3, 2.225% (1-Month USD-LIBOR + 0.160%) due 8/25/36(d) | | | 445,743 | |
| | | | | | JP Morgan Chase Commercial Mortgage Securities Trust: | | | | |
| | 224,283 | | | AAA | | Series 2012-HSBC, Class A, 3.093% due 7/5/32(a) | | | 223,914 | |
| | 350,000 | | | Aaa(b) | | Series 2016-NINE, Class A, 2.949% due 10/6/38(a)(d) | | | 330,387 | |
| | 265,000 | | | AAA | | Series 2018-BCON, Class A, 3.735% due 1/5/31(a) | | | 268,878 | |
| | 1,350,000 | | | CCC | | JP Morgan Mortgage Acquisition Corp., Series 2006-FRE1, Class M1, 2.455% (1-Month USD-LIBOR + 0.390%) due 5/25/35(d) | | | 1,344,642 | |
See Notes to Financial Statements.
194
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 11.0% — (continued) | |
| | | | | | JP Morgan Mortgage Trust: | | | | |
| $ | 459,532 | | | Aaa(b) | | Series 2017-1, Class A4, 3.500% due 1/25/47(a)(d) | | $ | 458,423 | |
| | 350,252 | | | Aaa(b) | | Series 2017-2, Class A6, 3.000% due 5/25/47(a)(d) | | | 345,658 | |
| | 1,328,546 | | | AA+ | | Series 2018-3, Class A1, 3.500% due 9/25/48(a)(d) | | | 1,301,356 | |
| | 515,739 | | | AA+ | | Series 2018-4, Class A1, 3.500% due 10/25/48(a)(d) | | | 504,568 | |
| | 1,277,771 | | | AA+ | | Series 2018-5, Class A1, 3.500% due 10/25/48(a)(d) | | | 1,252,027 | |
| | | | | | JPMBB Commercial Mortgage Securities Trust: | | | | |
| | 40,000 | | | Aa3(b) | | Series 2013-C17, Class B, 5.049% due 1/15/47(d) | | | 41,921 | |
| | 350,000 | | | BB(k) | | Series 2014-C23, Class E, 3.364% due 9/15/47(a)(d) | | | 257,381 | |
| | 240,000 | | | A3(b) | | Series 2014-C24, Class C, 4.537% due 11/15/47(d) | | | 237,884 | |
| | 120,000 | | | Aaa(b) | | Series 2015-C31, Class A3, 3.801% due 8/15/48 | | | 122,055 | |
| | | | | | JPMorgan Chase Commercial Mortgage Securities Trust: | | | | |
| | 820,000 | | | D | | Series 2007-CB18, Class AJ, 5.502% due 6/12/47(d) | | | 679,780 | |
| | 104,766 | | | Aaa(b) | | Series 2011-C5, Class A3, 4.171% due 8/15/46 | | | 107,394 | |
| | 175,000 | | | Aaa(b) | | Series 2011-C5, Class AS, 5.581% due 8/15/46(a)(d) | | | 183,890 | |
| | 370,000 | | | Aa1(b) | | Series 2011-C5, Class B, 5.581% due 8/15/46(a)(d) | | | 386,692 | |
| | 460,000 | | | AA | | Series 2012-HSBC, Class C, 4.021% due 7/5/32(a) | | | 466,460 | |
| | 448,737 | | | AAA | | Series 2014-FL6, Class B, 4.343% (1-Month USD-LIBOR + 2.280%) due 11/15/31(a)(d) | | | 449,908 | |
| | 341,203 | | | Aaa(b) | | JPMorgan Trust, Series 2015-5, Class A9, 3.042% due 5/25/45(a)(d) | | | 340,139 | |
| | 25,294 | | | AAA | | LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class AM, 6.114% due 7/15/40(d) | | | 25,284 | |
| | 63,543 | | | Ca(b) | | Lehman XS Trust, Series 2005-7N, Class 1A1B, 2.365% (1-Month USD-LIBOR + 0.300%) due 12/25/35(d) | | | 48,406 | |
| | 39,398 | | | AAA | | Lone Star Portfolio Trust, Series 2015-LSP, Class A1A2, 3.863% (1-Month USD-LIBOR + 1.800%) due 9/15/28(a)(d) | | | 39,445 | |
| | 130,000 | | | Aaa(b) | | Madison Avenue Trust, Series 2013-650M, Class A, 3.843% due 10/12/32(a) | | | 131,475 | |
| | 275,000 | | | Aaa(b) | | Magnetite IX Ltd., Series 2014-9A, Class A1R, 3.335% (3-Month USD-LIBOR + 1.000%) due 7/25/26(a)(d) | | | 275,215 | |
| | 95,544 | | | A+ | | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7, 4.370% due 11/21/34(d) | | | 98,501 | |
| | 402,193 | | | AA+ | | MASTR Seasoned Securitization Trust, Series 2005-1, Class 4A1, 4.323% due 10/25/32(d) | | | 407,594 | |
| | 315,859 | | | CC | | Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A4, 2.315% (1-Month USD-LIBOR + 0.250%) due 7/25/37(d) | | | 230,195 | |
| | | | | | Merrill Lynch Mortgage Investors Trust: | | | | |
| | 19,560 | | | A+ | | Series 2004-A3, Class 4A3, 4.288% due 5/25/34(d) | | | 19,439 | |
| | 404,171 | | | BBB | | Series 2005-2, Class 2A, 4.580% (1-Year CMT Index + 2.250%) due 10/25/35(d) | | | 410,399 | |
| | 625,627 | | | AA+ | | Mid-State Capital Corp. Trust, Series 2004-1, Class A, 6.005% due 8/15/37 | | | 678,534 | |
| | | | | | ML-CFC Commercial Mortgage Trust: | | | | |
| | 89,653 | | | Caa2(b) | | Series 2007-5, Class AJ, 5.450% due 8/12/48(d) | | | 70,916 | |
| | 125,613 | | | CC(k) | | Series 2007-9, Class AJ, 6.193% due 9/12/49(d) | | | 98,403 | |
| | | | | | Morgan Stanley Bank of America Merrill Lynch Trust: | | | | |
| | 30,000 | | | Aaa(b) | | Series 2013-C10, Class A4, 4.219% due 7/15/46(d)(m) | | | 31,020 | |
| | 500,000 | | | Aaa(b) | | Series 2013-C13, Class A4, 4.039% due 11/15/46(m) | | | 515,213 | |
| | 540,000 | | | Aaa(b) | | Series 2015-C27, Class A4, 3.753% due 12/15/47(m) | | | 546,831 | |
| | 260,000 | | | A-(k) | | Series 2016-C30, Class C, 4.267% due 9/15/49(d)(m) | | | 253,948 | |
| | 400,000 | | | AAA | | Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class A, 3.189% (3-Month USD-LIBOR + 0.850%) due 1/15/28(a)(d) | | | 398,841 | |
| | 389,454 | | | AAA | | New Residential Mortgage Loan Trust, Series 2016-4A, Class A1, 3.750% due 11/25/56(a)(d) | | | 390,415 | |
| | 590,219 | | | AA- | | New Residential Mortgage Trust, Series 2018-1A, Class A1A, 4.000% due 12/25/57(a)(d) | | | 597,288 | |
| | 240,000 | | | AAA | | Octagon Investment Partners 25 Ltd., Series 2015-1A, Class AR, 3.148% (3-Month USD-LIBOR + 0.800%) due 10/20/26(a)(d) | | | 238,517 | |
| | 580,000 | | | AAA | | One Market Plaza Trust, Series 2017-1MKT, Class A, 3.614% due 2/10/32(a) | | | 581,042 | |
| | 670,000 | | | BB | | People’s Choice Home Loan Securities Trust, Series 2004-1, Class M1, 2.950% (1-Month USD-LIBOR + 0.885%) due 6/25/34(d) | | | 663,615 | |
| | 110,000 | | | AAA | | PFS Financing Corp., Series 2016-BA, Class A, 1.870% due 10/15/21(a) | | | 108,763 | |
| | 946,838 | | | AA+ | | Popular ABS Mortgage Pass-Through Trust, Series 2006-C, Class A4, 2.315% (1-Month USD-LIBOR + 0.250%) due 7/25/36(d) | | | 941,502 | |
See Notes to Financial Statements.
195
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 11.0% — (continued) | |
| | | | | | Prime Mortgage Trust: | | | | |
| $ | 48,335 | | | CCC | | Series 2006-DR1, Class 1A1, 5.500% due 5/25/35(a) | | $ | 45,737 | |
| | 1,007,898 | | | CCC | | Series 2006-DR1, Class 2A1, 5.500% due 5/25/35(a) | | | 720,454 | |
| | 915,000 | | | AAA | | RBS Commercial Funding Inc. Trust, Series 2013-GSP, Class A, 3.961% due 1/13/32(a)(d) | | | 932,948 | |
| | 234,326 | | | Caa2(b) | | Residential Asset Securitization Trust, Series 2005-A15, Class 1A4, 5.750% due 2/25/36 | | | 233,263 | |
| | 234,623 | | | NR | | Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MA, 3.500% due 11/25/57 | | | 233,887 | |
| | 1,719,373 | | | AA- | | Sequoia Mortgage Trust, Series 2003-1, Class 1A, 2.837% (1-Month USD-LIBOR + 0.760%) due 4/20/33(d) | | | 1,694,183 | |
| | 205,218 | | | A | | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 1A2, 3.984% due 11/25/34(d) | | | 206,225 | |
| | 957,454 | | | AA | | Structured Asset Investment Loan Trust, Series 2004-6, Class A3, 2.865% (1-Month USD-LIBOR + 0.800%) due 7/25/34(d) | | | 956,265 | |
| | 127,952 | | | AA+ | | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3, 2.327% (1-Month USD-LIBOR + 0.250%) due 7/19/35(d) | | | 125,032 | |
| | 127,228 | | | CCC | | Structured Asset Securities Corp., Series 2005-RF3, Class 1A, 2.415% (1-Month USD-LIBOR + 0.350%) due 6/25/35(a)(d) | | | 115,523 | |
| | 86,558 | | | AAA | | Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class A, 2.829% (1-Month USD-LIBOR + 0.750%) due 11/11/34(a)(d) | | | 86,614 | |
| | 343,454 | | | Aaa(b) | | Towd Point Mortgage Trust, Series 2016-3, Class A1, 2.250% due 4/25/56(a)(d) | | | 336,949 | |
| | 530,000 | | | AAA | | VNDO Mortgage Trust, Series 2012-6AVE, Class A, 2.996% due 11/15/30(a) | | | 524,847 | |
| | 100,000 | | | AAA | | Waldorf Astoria Boca Raton Trust, Series 2016-BOCA, Class A, 3.413% (1-Month USD-LIBOR + 1.350%) due 6/15/29(a)(d) | | | 100,215 | |
| | | | | | WaMu Mortgage Pass-Through Certificates Trust: | | | | |
| | 13,687 | | | BBB+ | | Series 2004-AR11, Class A, 3.857% due 10/25/34(d) | | | 13,776 | |
| | 59,781 | | | A+ | | Series 2004-AR12, Class A2A, 2.845% (1-Month USD-LIBOR + 0.780%) due 10/25/44(d) | | | 59,764 | |
| | 371,308 | | | BB- | | Series 2005-AR4, Class A5, 3.744% due 4/25/35(d) | | | 377,956 | |
| | 165,957 | | | A+ | | Series 2005-AR19, Class A1A2, 2.355% (1-Month USD-LIBOR + 0.290%) due 12/25/45(d) | | | 164,332 | |
| | 1,181,746 | | | CCC | | Series 2006-AR3, Class A1A, 2.748% (1-Year Treasury Average Rate + 1.000%) due 2/25/46(d) | | | 1,183,778 | |
| | 485,636 | | | CCC | | Series 2006-AR13, Class 2A, 2.434% (11th District Cost of Funds Index + 1.500%) due 10/25/46(d) | | | 474,223 | |
| | 202,956 | | | WD(k) | | Series 2007-HY4, Class 4A1, 3.498% due 9/25/36(d) | | | 184,290 | |
| | 2,047,418 | | | Caa3(b) | | Series 2007-OA2, Class 1A, 2.448% (1-Year Treasury Average Rate + 0.700%) due 3/25/47(d) | | | 1,892,855 | |
| | 574,570 | | | Ca(b) | | Series 2007-OA2, Class 2A, 2.448% (1-Year Treasury Average Rate + 0.700%) due 1/25/47(d) | | | 465,988 | |
| | | | | | Wells Fargo Commercial Mortgage Trust: | | | | |
| | 120,000 | | | Aa3(b) | | Series 2013-LC12, Class B, 4.423% due 7/15/46(d) | | | 121,667 | |
| | 1,000,000 | | | Aa2(b) | | Series 2015-C28, Class AS, 3.872% due 5/15/48(d) | | | 1,003,882 | |
| | 150,000 | | | Aaa(b) | | Series 2015-LC20, Class A5, 3.184% due 4/15/50 | | | 147,510 | |
| | 580,000 | | | Aaa(b) | | Series 2015-NXS1, Class A5, 3.148% due 5/15/48 | | | 569,284 | |
| | 310,000 | | | A-(k) | | Series 2015-NXS1, Class C, 3.848% due 5/15/48(d) | | | 297,370 | |
| | 330,000 | | | BBB-(k) | | Series 2015-NXS1, Class D, 4.237% due 5/15/48(d) | | | 298,830 | |
| | 700,000 | | | AAA | | Series 2016-BNK1, Class A3, 2.652% due 8/15/49 | | | 656,638 | |
| | 500,000 | | | AAA | | Series 2016-BNK1, Class ASB, 2.514% due 8/15/49 | | | 480,535 | |
| | 11,993,429 | | | Aaa(b) | | Series 2018-C43, Class XA, 0.870% due 3/15/51(d)(l) | | | 633,880 | |
| | 260,000 | | | Aaa(b) | | Series 2018-C46, Class A4, 4.152% due 8/15/51 | | | 269,261 | |
| | | | | | Wells Fargo Mortgage-Backed Securities Trust: | | | | |
| | 244,908 | | | Caa1(b) | | Series 2006-12, Class A3, 6.000% due 10/25/36 | | | 246,491 | |
| | 123,449 | | | CCC | | Series 2006-AR2, Class 2A1, 3.917% due 3/25/36(d) | | | 125,825 | |
| | 34,404 | | | Caa2(b) | | Series 2006-AR7, Class 2A4, 4.324% due 5/25/36(d) | | | 35,297 | |
| | | | | | WF-RBS Commercial Mortgage Trust: | | | | |
| | 199,112 | | | Aaa(b) | | Series 2011-C2, Class A4, 4.869% due 2/15/44(a)(d) | | | 205,805 | |
| | 106,105 | | | Aaa(b) | | Series 2011-C4, Class A3, 4.394% due 6/15/44(a) | | | 106,578 | |
See Notes to Financial Statements.
196
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 11.0% — (continued) | |
| $ | 1,740,513 | | | Aaa(b) | | Series 2012-C7, Class XA, 1.570% due 6/15/45(a)(d)(l) | | $ | 70,020 | |
| | 145,000 | | | Aaa(b) | | Series 2013-C14, Class A4, 3.073% due 6/15/46 | | | 143,809 | |
| | 2,401,555 | | | Aaa(b) | | Series 2014-C20, Class XA, 1.206% due 5/15/47(d)(l) | | | 96,959 | |
| | 240,000 | | | BB(k) | | Series 2014-C22, Class D, 4.048% due 9/15/57(a)(d) | | | 197,230 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $98,664,362) | | | 94,894,751 | |
| | | | | | | | | | |
| | SOVEREIGN BONDS — 2.4% | |
| | Argentina — 0.1% | |
| | 1,020,000 | | | B+ | | Argentine Republic Government International Bonds, 5.625% due 1/26/22 | | | 865,725 | |
| | | | | | | | | | |
| | Brazil — 0.5% | |
| | 656,000 | BRL | | BB- | | Brazil Notas do Tesouro Nacional Serie B, 6.000% due 8/15/50 | | | 518,338 | |
| | | | | | Brazil Notas do Tesouro Nacional Serie F: | | | | |
| | 296,000 | BRL | | BB- | | 10.000% due 1/1/21 | | | 74,378 | |
| | 5,296,000 | BRL | | BB- | | 10.000% due 1/1/23 | | | 1,271,393 | |
| | 910,000 | BRL | | BB- | | 10.000% due 1/1/27 | | | 203,633 | |
| | | | | | Brazilian Government International Bonds: | | | | |
| | 280,000 | | | BB- | | 4.875% due 1/22/21 | | | 282,940 | |
| | 1,300,000 | | | BB- | | 4.625% due 1/13/28 | | | 1,154,738 | |
| | 1,280,000 | | | BB- | | 5.000% due 1/27/45 | | | 995,360 | |
| | | | | | | | | | |
| | | | | | Total Brazil | | | 4,500,780 | |
| | | | | | | | | | |
| | Canada — 0.0% | |
| | 152,000 | | | A+ | | Province of Manitoba Canada, 3.050% due 5/14/24 | | | 151,014 | |
| | | | | | | | | | |
| | Colombia — 0.1% | |
| | | | | | Colombia Government International Bonds: | | | | |
| | 220,000 | | | BBB- | | 8.125% due 5/21/24 | | | 265,925 | |
| | 280,000 | | | BBB- | | 3.875% due 4/25/27 | | | 272,930 | |
| | 370,000 | | | BBB- | | 5.625% due 2/26/44 | | | 403,300 | |
| | | | | | | | | | |
| | | | | | Total Colombia | | | 942,155 | |
| | | | | | | | | | |
| | Indonesia — 0.2% | |
| | | | | | Indonesia Government International Bonds: | | | | |
| | 290,000 | | | Baa2(b) | | 3.500% due 1/11/28 | | | 272,289 | |
| | 80,000 | | | BBB- | | 4.100% due 4/24/28 | | | 78,272 | |
| | 330,000 | | | Baa2(b) | | 4.350% due 1/11/48 | | | 307,593 | |
| | 700,000 | | | BBB- | | Indonesia Government International Bonds, (Restricted, cost — $718,045, acquired 4/27/15), 3.750% due 4/25/22(f) | | | 698,699 | |
| | | | | | | | | | |
| | | | | | Total Indonesia | | | 1,356,853 | |
| | | | | | | | | | |
| | Mexico — 1.0% | |
| | | | | | Mexican Bonos: | | | | |
| | 30,492,700 | MXN | | A- | | 6.500% due 6/9/22 | | | 1,526,639 | |
| | 15,120,000 | MXN | | A- | | 10.000% due 12/5/24 | | | 875,865 | |
| | 60,165,700 | MXN | | A- | | 7.750% due 11/13/42 | | | 3,063,147 | |
| | 18,830,000 | MXN | | A3(b) | | 8.000% due 11/7/47 | | | 984,417 | |
| | | | | | Mexico Government International Bonds: | | | | |
| | 61,000 | | | BBB+ | | 3.500% due 1/21/21 | | | 61,136 | |
| | 174,000 | | | BBB+ | | 3.625% due 3/15/22 | | | 174,513 | |
| | 44,000 | | | BBB+ | | 4.000% due 10/2/23 | | | 44,166 | |
| | 790,000 | | | BBB+ | | 4.150% due 3/28/27 | | | 780,816 | |
| | 833,000 | | | BBB+ | | 3.750% due 1/11/28 | | | 793,641 | |
| | 210,000 | | | BBB+ | | 4.750% due 3/8/44 | | | 201,180 | |
| | | | | | | | | | |
| | | | | | Total Mexico | | | 8,505,520 | |
| | | | | | | | | | |
See Notes to Financial Statements.
197
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Panama — 0.0% | |
| $ | 200,000 | | | BBB | | Panama Government International Bonds, 4.000% due 9/22/24 | | $ | 204,500 | |
| | | | | | | | | | |
| | Peru — 0.1% | |
| | | | | | Peruvian Government International Bonds: | | | | |
| | 210,000 | | | BBB+ | | 4.125% due 8/25/27 | | | 217,875 | |
| | 70,000 | | | BBB+ | | 6.550% due 3/14/37 | | | 89,425 | |
| | 160,000 | | | BBB+ | | 5.625% due 11/18/50 | | | 191,760 | |
| | | | | | | | | | |
| | | | | | Total Peru | | | 499,060 | |
| | | | | | | | | | |
| | Philippines — 0.0% | |
| | 400,000 | | | BBB | | Philippine Government International Bonds, 3.000% due 2/1/28 | | | 376,451 | |
| | | | | | | | | | |
| | Poland — 0.1% | |
| | 710,000 | | | BBB+ | | Poland Government International Bonds, 4.000% due 1/22/24 | | | 725,870 | |
| | | | | | | | | | |
| | Russia — 0.3% | |
| | | | | | Russian Federal Bonds — OFZ: | | | | |
| | 22,990,000 | RUB | | BBB | | 7.000% due 8/16/23 | | | 323,324 | |
| | 6,950,000 | RUB | | NR | | 7.750% due 9/16/26 | | | 98,440 | |
| | 31,310,000 | RUB | | BBB | | 8.150% due 2/3/27 | | | 454,766 | |
| | 116,093,000 | RUB | | BBB | | 7.050% due 1/19/28 | | | 1,557,187 | |
| | | | | | | | | | |
| | | | | | Total Russia | | | 2,433,717 | |
| | | | | | | | | | |
| | Uruguay — 0.0% | |
| | | | | | Uruguay Government International Bonds: | | | | |
| | 70,000 | | | BBB | | 4.500% due 8/14/24 | | | 71,589 | |
| | 125,000 | | | BBB | | 4.375% due 10/27/27 | | | 128,141 | |
| | | | | | | | | | |
| | | | | | Total Uruguay | | | 199,730 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $24,580,547) | | | 20,761,375 | |
| | | | | | | | | | |
| | ASSET-BACKED SECURITIES — 1.9% | |
| | Automobiles — 0.2% | |
| | 70,000 | | | AAA | | AmeriCredit Automobile Receivables Trust, Series 2017-1, Class A3, 1.870% due 8/18/21 | | | 69,564 | |
| | 630,000 | | | AAA | | Credit Acceptance Auto Loan Trust, Series 2018-3A, Class A, 3.550% due 8/15/27(a) | | | 629,884 | |
| | | | | | Hertz Vehicle Financing II LP: | | | | |
| | 440,000 | | | Aaa(b) | | Series 2018-1A, Class A, 3.290% due 2/25/24(a) | | | 430,530 | |
| | 270,000 | | | A(k) | | Series 2018-1A, Class B, 3.600% due 2/25/24(a) | | | 264,926 | |
| | 100,000 | | | AAA | | Hyundai Floorplan Master Owner Trust, Series 2016-1A, Class A2, 1.810% due 3/15/21(a) | | | 99,558 | |
| | | | | | | | | | |
| | | | | | Total Automobiles | | | 1,494,462 | |
| | | | | | | | | | |
| | Credit Cards — 0.2% | |
| | 740,000 | | | AAA | | Capital One Multi-Asset Execution Trust, Series 2016-A4, Class A4, 1.330% due 6/15/22 | | | 730,697 | |
| | 315,000 | | | AAA | | Citibank Credit Card Issuance Trust, Series 2017-A6, Class A6, 2.837% (1-Month USD-LIBOR + 0.770%) due 5/14/29(d) | | | 318,765 | |
| | 565,000 | | | AAA | | GE Capital Credit Card Master Notes Trust, Series 2012-7, Class A, 1.760% due 9/15/22 | | | 558,693 | |
| | | | | | | | | | |
| | | | | | Total Credit Cards | | | 1,608,155 | |
| | | | | | | | | | |
| | Student Loans — 1.5% | |
| | 418,898 | | | AA+ | | CIT Education Loan Trust, Series 2007-1, Class A, 2.425% (3-Month USD-LIBOR + 0.090%) due 3/25/42(a)(d) | | | 408,558 | |
| | | | | | Navient Private Education Loan Trust: | | | | |
| | 398,382 | | | AAA | | Series 2014-AA, Class A2B, 3.313% (1-Month USD-LIBOR + 1.250%) due 2/15/29(a)(d) | | | 402,975 | |
| | 84,660 | | | AAA | | Series 2014-CTA, Class A, 2.763% (1-Month USD-LIBOR + 0.700%) due 9/16/24(a)(d) | | | 84,777 | |
| | | | | | Navient Student Loan Trust: | | | | |
| | 600,000 | | | AAA | | Series 2017-1A, Class A2, 2.815% (1-Month USD-LIBOR + 0.750%) due 7/26/66(a)(d) | | | 603,168 | |
| | 500,000 | | | AAA | | Series 2017-4A, Class A2, 2.565% (1-Month USD-LIBOR + 0.500%) due 9/27/66(a)(d) | | | 501,868 | |
| | 1,251,096 | | | Aaa(b) | | Series 2017-5A, Class A, 2.865% (1-Month USD-LIBOR + 0.800%) due 7/26/66(a)(d) | | | 1,266,281 | |
See Notes to Financial Statements.
198
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Student Loans — 1.5% — (continued) | |
| | | | | | SLM Student Loan Trust: | | | | |
| $ | 224,293 | | | AA+ | | Series 2003-4, Class A5E, 3.091% (3-Month USD-LIBOR + 0.750%) due 3/15/33(a)(d) | | $ | 224,580 | |
| | 1,900,000 | | | AAA | | Series 2004-1, Class A4, 2.595% (3-Month USD-LIBOR + 0.260%) due 10/27/25(d) | | | 1,901,211 | |
| | 1,001,646 | | | AAA | | Series 2005-4, Class A3, 2.455% (3-Month USD-LIBOR + 0.120%) due 1/25/27(d) | | | 998,951 | |
| | 923,161 | | | AAA | | Series 2005-5, Class A4, 2.475% (3-Month USD-LIBOR + 0.140%) due 10/25/28(d) | | | 920,505 | |
| | 880,000 | | | AA+ | | Series 2005-5, Class A5, 3.085% (3-Month USD-LIBOR + 0.750%) due 10/25/40(d) | | | 881,987 | |
| | 496,428 | | | AAA | | Series 2005-8, Class A4, 2.885% (3-Month USD-LIBOR + 0.550%) due 1/25/28(d) | | | 498,531 | |
| | 500,663 | | | AAA | | Series 2006-9, Class A5, 2.435% (3-Month USD-LIBOR + 0.100%) due 1/26/26(d) | | | 499,780 | |
| | 1,930,000 | | | AA+ | | Series 2006-10, Class A6, 2.485% (3-Month USD-LIBOR + 0.150%) due 3/25/44(d) | | | 1,885,427 | |
| | | | | | SMB Private Education Loan Trust: | | | | |
| | 78,593 | | | AAA | | Series 2015-B, Class A2A, 2.980% due 7/15/27(a) | | | 78,125 | |
| | 545,000 | | | AAA | | Series 2015-C, Class A3, 4.013% (1-Month USD-LIBOR + 1.950%) due 8/16/32(a)(d) | | | 564,336 | |
| | 86,636 | | | Aaa(b) | | Series 2016-A, Class A2A, 2.700% due 5/15/31(a) | | | 84,919 | |
| | 220,000 | | | AAA | | Series 2017-B, Class A2A, 2.820% due 10/15/35(a) | | | 214,374 | |
| | 130,000 | | | AAA | | Series 2017-B, Class A2B, 2.813% (1-Month USD-LIBOR + 0.750%) due 10/15/35(a)(d) | | | 130,563 | |
| | 400,000 | | | AAA | | Series 2018-A, Class A2B, 2.863% (1-Month USD-LIBOR + 0.800%) due 2/15/36(a)(d) | | | 401,964 | |
| | 510,000 | | | Aaa(b) | | Series 2018-B, Class A2A, 3.600% due 1/15/37(a) | | | 514,597 | |
| | 550,000 | | | AAA | | Sofi Professional Loan Program LLC, Series 2018-A, Class A2B, 2.950% due 2/25/42(a) | | | 540,021 | |
| | | | | | | | | | |
| | | | | | Total Student Loans | | | 13,607,498 | |
| | | | | | | | | | |
| | | | | | TOTAL ASSET-BACKED SECURITIES
(Cost — $16,595,385) | | | 16,710,115 | |
| | | | | | | | | | |
| | SENIOR LOANS — 1.1% | |
| | 135,000 | | | NR | | American Airlines Inc., (Restricted, cost — $135,506, acquired 10/5/17), 3.815% (1-Month USD-LIBOR + 1.750%) due 6/27/25(f) | | | 132,416 | |
| | 267,412 | | | NR | | American Builders & Contractors Supply Co., Inc., (Restricted, cost — $268,043, acquired 4/4/18), 4.076% (1-Month USD-LIBOR + 2.000%) due 10/31/23(f) | | | 266,558 | |
| | 310,173 | | | NR | | Beacon Roofing Supply Inc., (Restricted, cost — $312,887, acquired 10/16/17), 4.321% (1-Month USD-LIBOR + 2.250%) due 1/2/25(f) | | | 309,172 | |
| | 34,936 | | | NR | | Berry Global Inc., (Restricted, cost — $35,040, acquired 2/12/18), 4.186% (2-Month USD-LIBOR + 2.000%) due 10/1/22(f) | | | 35,006 | |
| | 59,063 | | | NR | | Caesars Resort Collection LLC, (Restricted, cost — $59,210, acquired 10/4/17), 4.826% (1-Month USD-LIBOR + 2.750%) due 12/23/24(f) | | | 59,316 | |
| | 108,901 | | | NR | | CenturyLink Inc., (Restricted, cost — $107,569, acquired 5/19/17), 4.826% (1-Month USD-LIBOR + 2.750%) due 1/31/25(f) | | | 107,771 | |
| | 45,327 | | | NR | | Change Healthcare Holdings Inc., (Restricted, cost — $45,609, acquired 10/12/17), 4.826% (1-Month USD-LIBOR + 2.750%) due 3/1/24(f) | | | 45,403 | |
| | 154,494 | | | NR | | Charter Communications Operating LLC, (Restricted, cost — $154,319, acquired 12/14/17), 4.080% (1-Month USD-LIBOR + 2.000%) due 4/30/25(f) | | | 154,687 | |
| | 31,263 | | | NR | | CityCenter Holdings LLC, (Restricted, cost — $31,419, acquired 10/12/17), 4.326% (1-Month USD-LIBOR + 2.250%) due 4/18/24(f) | | | 31,295 | |
| | 375,425 | | | NR | | Dell International LLC, (Restricted, cost — $375,952, acquired 10/18/17), 4.080% (1-Month USD-LIBOR + 2.000%) due 9/7/23(f) | | | 375,737 | |
| | 2,100,000 | | | NR | | Delos Finance Sarl, (Restricted, cost — $2,118,375, acquired 8/9/17), 4.084% (3-Month USD-LIBOR + 1.750%) due 10/6/23(f) | | | 2,109,408 | |
| | 313,677 | | | NR | | First Data Corp., (Restricted, cost — $315,246, acquired 10/12/17), 4.066% (1-Month USD-LIBOR + 2.000%) due 7/8/22(f) | | | 313,892 | |
| | 2,460,000 | | | NR | | Flying Fortress Holdings LLC, (Restricted, cost — $2,469,004, acquired 2/27/18), 4.084% (3-Month USD-LIBOR + 1.750%) due 10/30/22(f) | | | 2,473,186 | |
| | 57,710 | | | NR | | HCA Inc., (Restricted, cost — $58,142, acquired 10/19/17), 4.076% (1-Month USD-LIBOR + 2.000%) due 3/13/25(f) | | | 58,090 | |
| | 268,503 | | | NR | | Hilton Worldwide Finance LLC, (Restricted, cost — $268,954, acquired 8/18/16), 3.815% (1-Month USD-LIBOR + 1.750%) due 10/25/23(f) | | | 269,636 | |
| | 310,000 | | | NR | | Level 3 Financing Inc., (Restricted, cost — $310,969, acquired 10/6/17), 4.317% (1-Month USD-LIBOR + 2.250%) due 2/22/24(f) | | | 310,732 | |
See Notes to Financial Statements.
199
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | SENIOR LOANS — 1.1% — (continued) | |
| $ | 99,045 | | | NR | | MGM Growth Properties Operating Partnership LP, (Restricted, cost — $99,541, acquired 10/16/17), 4.076% (1-Month USD-LIBOR + 2.000%) due 3/21/25(f) | | $ | 99,148 | |
| | 158,776 | | | NR | | Michaels Stores Inc., (Restricted, cost — $159,967, acquired 9/28/16), 4.572% (1-Month USD-LIBOR + 2.500%) due 1/30/23(f) | | | 158,498 | |
| | 240,456 | | | NR | | MPH Acquisition Holdings LLC, (Restricted, cost — $242,885, acquired 10/13/17), 5.084% (3-Month USD-LIBOR + 2.750%) due 6/7/23(f) | | | 240,557 | |
| | 204,206 | | | NR | | Numericable U.S. LLC, (Restricted, cost — $203,973, acquired 10/6/17), 5.751% (1-Month USD-LIBOR + 3.688%) due 1/31/26(f) | | | 197,016 | |
| | 10,295 | | | NR | | ON Semiconductor Corp., (Restricted, cost — $10,359, acquired 10/11/17), 3.826% (1-Month USD-LIBOR + 1.750%) due 3/31/23(f) | | | 10,323 | |
| | 136,252 | | | NR | | Party City Holdings Inc., (Restricted, cost — $136,707, acquired 2/16/18), 5.053% (1-Month USD-LIBOR + 2.750%/3-Month USD-PRIME + 1.750%/3-Month USD-LIBOR + 2.750%) due 8/19/22(f) | | | 136,982 | |
| | 287,419 | | | NR | | Prime Security Services Borrower LLC, (Restricted, cost — $290,293, acquired 10/4/17), 4.826% (1-Month USD-LIBOR + 2.750%) due 5/2/22(f) | | | 288,514 | |
| | 188,306 | | | NR | | RPI Finance Trust, (Restricted, cost — $190,424, acquired 4/17/17), 4.334% (3-Month USD-LIBOR + 2.000%) due 3/27/23(f) | | | 189,012 | |
| | 294,175 | | | NR | | Scientific Games International Inc., (Restricted, cost — $297,034, acquired 2/2/18), 4.826% (1-Month USD-LIBOR + 2.750%) due 8/14/24(f) | | | 293,728 | |
| | 43,442 | | | NR | | Sprint Communications Inc., (Restricted, cost — $43,659, acquired 10/16/17), 4.625% (1-Month USD-LIBOR + 2.500%) due 2/2/24(f) | | | 43,514 | |
| | 138,950 | | | NR | | Trans Union LLC, (Restricted, cost — $139,124, acquired 10/18/17), 4.076% (1-Month USD-LIBOR + 2.000%) due 4/10/23(f) | | | 139,443 | |
| | 24,000 | | | NR | | Unitymedia Hessen GmbH & Co. KG, (Restricted, cost — $24,030, acquired 10/26/17), 4.313% (1-Month USD-LIBOR + 2.250%) due 9/30/25(f) | | | 23,984 | |
| | 205,215 | | | NR | | UPC Financing Partnership, (Restricted, cost — $205,475, acquired 10/13/17), 4.563% (1-Month USD-LIBOR + 2.500%) due 1/15/26(f) | | | 204,831 | |
| | 244,712 | | | NR | | Western Digital Corp., (Restricted, cost — $247,159, acquired 10/27/17), 3.816% (1-Month USD-LIBOR + 1.750%) due 4/29/23(f) | | | 245,127 | |
| | | | | | | | | | |
| | | | | | TOTAL SENIOR LOANS
(Cost — $9,356,874) | | | 9,322,982 | |
| | | | | | | | | | |
| | MUNICIPAL BONDS — 0.5% | |
| | California — 0.1% | |
| | 350,000 | | | AA | | San Jose Redevelopment Successor Agency, Tax Allocation, Series A, 3.176% due 8/1/26 | | | 344,603 | |
| | | | | | University of California, Revenue Bonds: | | | | |
| | 25,000 | | | AA | | Series AD, 4.858% due 5/15/12 | | | 26,312 | |
| | 400,000 | | | AA | | Series AJ, 4.601% due 5/15/31 | | | 427,760 | |
| | 266,000 | | | AA | | Series AQ, 4.767% due 5/15/15 | | | 273,052 | |
| | | | | | | | | | |
| | | | | | Total California | | | 1,071,727 | |
| | | | | | | | | | |
| | Massachusetts — 0.0% | |
| | 100,000 | | | AA+ | | Massachusetts School Building Authority, Revenue Bonds, Series B, 5.000% due 10/15/41 | | | 107,498 | |
| | | | | | | | | | |
| | New Jersey — 0.1% | |
| | 650,000 | | | Aa3(b) | | Jersey City Municipal Utilities Authority, Revenue Bonds, Series B, 5.470% due 5/15/27 | | | 712,978 | |
| | 110,000 | | | BBB+ | | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series AA, 5.000% due 6/15/36 | | | 116,007 | |
| | | | | | | | | | |
| | | | | | Total New Jersey | | | 828,985 | |
| | | | | | | | | | |
| | New York — 0.2% | |
| | 500,000 | | | AA | | City of New York, GO, Series G-1, 5.968% due 3/1/36 | | | 623,755 | |
| | 80,000 | | | AAA | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds, Series A, 5.000% due 11/1/42 | | | 88,960 | |
| | 350,000 | | | AAA | | New York State Dormitory Authority, Revenue Bonds, Series H, 5.289% due 3/15/33 | | | 399,143 | |
| | 270,000 | | | AAA | | New York State Urban Development Corp., Revenue Bonds, Series E, 5.000% due 3/15/24 | | | 303,402 | |
| | | | | | | | | | |
| | | | | | Total New York | | | 1,415,260 | |
| | | | | | | | | | |
See Notes to Financial Statements.
200
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Texas — 0.1% | |
| $ | 235,000 | | | A+ | | Dallas/Fort Worth International Airport, Revenue Bonds, AMT, Series A, 5.000% due 11/1/45(n) | | $ | 247,399 | |
| | | | | | | | | | |
| | Virginia — 0.0% | |
| | 231,805 | | | AAA | | Virginia Housing Development Authority, Revenue Bonds, Series C, 6.000% due 6/25/34 | | | 239,719 | |
| | | | | | | | | | |
| | | | | | TOTAL MUNICIPAL BONDS
(Cost — $3,929,368) | | | 3,910,588 | |
| | | | | | | | | | |
| | | |
| Shares/Units | | | | | | | | |
| | PREFERRED STOCK — 0.0% | |
| | FINANCIALS — 0.0% | |
| | Banks — 0.0% | |
| | 3,800 | | | | | GMAC Capital Trust I, 8.099% (3-Month USD-LIBOR + 5.785%) due 2/15/40(d)
(Cost — $94,240) | | | 101,840 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $866,595,216) | | | 854,888,689 | |
| | | | | | | | | | |
| | | |
Face
Amount† | | | | | | | | |
| | SHORT-TERM INVESTMENTS (o) — 7.9% | |
| | COMMERCIAL PAPERS — 1.0% | |
| $ | 2,580,000 | | | | | BPCE SA, (Restricted, cost — $2,574,948, acquired 6/26/18), 2.365% due 10/1/18(f)(p) | | | 2,574,947 | |
| | 2,810,000 | | | | | Danske Corp., (Restricted, cost — $2,797,936, acquired 8/8/18), 2.253% due 11/9/18(f)(p) | | | 2,797,936 | |
| | 2,970,000 | | | | | Standard Chartered Bank, (Restricted, cost — $2,963,928, acquired 6/28/18), 2.314% due 10/3/18(f)(p) | | | 2,963,928 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMERCIAL PAPERS
(Cost — $8,336,811) | | | 8,336,811 | |
| | | | | | | | | | |
| | MONEY MARKET FUND — 0.0% | |
| | 278,108 | | | | | Invesco STIT — Government & Agency Portfolio, 1.820%, Institutional Class(q)
(Cost — $278,108) | | | 278,108 | |
| | | | | | | | | | |
| | REPURCHASE AGREEMENT — 1.2% | |
| | 10,000,000 | | | | | Merrill Lynch & Co., Inc. repurchase agreement dated 8/31/18, 1.950% due 9/4/18, Proceeds at maturity — $10,000,542; (Fully collateralized by U.S. Treasury Notes, 2.750% due 2/15/28; Market Valued — $10,199,906)(p)
(Cost — $10,000,000) | | | 10,000,000 | |
| | | | | | | | | | |
| | SOVEREIGN BONDS — 0.9% | |
| | | | | | Japan Treasury Discount Bills: | | | | |
| | 315,000,000 | JPY | | NR | | (0.153)% due 10/15/18(p) | | | 2,836,713 | |
| | 560,000,000 | JPY | | NR | | (0.175)% due 11/5/18(p) | | | 5,043,166 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $7,856,242) | | | 7,879,879 | |
| | | | | | | | | | |
| | TIME DEPOSITS — 2.2% | |
| | 7,029,338 | | | | | ANZ National Bank — London, 1.280% due 9/4/18 | | | 7,029,338 | |
| | 71,048 | EUR | | | | Citibank — London, (0.570)% due 9/3/18 | | | 82,477 | |
| | 2,669,230 | | | | | Deutsche Bank AG — Grand Cayman, 1.280% due 9/4/18 | | | 2,669,230 | |
| | 9,659,136 | | | | | JPMorgan Chase & Co. — New York, 1.280% due 9/4/18 | | | 9,659,136 | |
| | 2,496,990 | JPY | | | | Sumitomo — Tokyo, (0.230)% due 9/3/18 | | | 22,478 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $19,462,659) | | | 19,462,659 | |
| | | | | | | | | | |
See Notes to Financial Statements.
201
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount† | | | | | Security | | Value | |
| | U.S. GOVERNMENT AGENCIES — 0.7% | |
| | | | | | Federal Home Loan Bank (FHLB), Discount Notes: | | | | |
| $ | 1,460,000 | | | | | 1.921% due 9/10/18(p) | | $ | 1,459,301 | |
| | 1,160,000 | | | | | 1.970% due 10/15/18(p) | | | 1,157,221 | |
| | 1,800,000 | | | | | 1.976% due 10/19/18(p) | | | 1,795,272 | |
| | 820,000 | | | | | 2.010% due 11/1/18(p) | | | 817,221 | |
| | 750,000 | | | | | 2.049% due 11/7/18(p) | | | 747,155 | |
| | 210,000 | | | | | 2.090% due 11/23/18(p) | | | 208,994 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT AGENCIES
(Cost — $6,185,164) | | | 6,185,164 | |
| | | | | | | | | | |
| | U.S. GOVERNMENT OBLIGATIONS — 1.9% | |
| | | | | | United States Treasury Bills: | | | | |
| | 287,000 | | | | | 1.895% due 9/13/18(p)(r) | | | 286,820 | |
| | 3,690,000 | | | | | 2.056% due 11/15/18(p) | | | 3,674,356 | |
| | 720,000 | | | | | 2.091% due 11/29/18(p) | | | 716,298 | |
| | 4,817,000 | | | | | 2.101% due 1/3/19(p) | | | 4,782,502 | |
| | 1,241,000 | | | | | 2.112% due 1/10/19(p) | | | 1,231,555 | |
| | 1,996,000 | | | | | 2.178% due 1/31/19(p) | | | 1,977,813 | |
| | 3,400,000 | | | | | 2.194% due 2/21/19(p) | | | 3,364,545 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $16,033,889) | | | 16,033,889 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $68,152,873) | | | 68,176,510 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES
(Cost — $934,748,089) | | | 923,065,199 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN PURCHASED OPTIONS
(Cost — $374,915) | | | 253,376 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 106.5%
(Cost — $935,123,004) | | | 923,318,575 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (6.5)% | | | (56,400,764 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 866,917,811 | |
| | | | | | | | | | |
| † | 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. The aggregate value of restricted 144A holdings at August 31, 2018 amounts to approximately $99,990,898 and represents 11.5% of net assets. |
| (b) | Rating by Moody’s Investors Service. All ratings are unaudited. |
| (c) | All or a portion of this security is on loan (See Note 1). |
| (d) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2018. |
| (e) | Security is perpetual in nature and has no stated maturity date. |
| (f) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2018 amounts to approximately $18,559,288 and represents 2.1% of net assets. |
| (g) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (i) | This security is traded on a TBA basis (See Note 1). |
| (j) | Principal only security. |
| (k) | Rating by Fitch Ratings Service. All ratings are unaudited. |
| (l) | Interest only security. |
| (m) | Affiliated security (See Note 2). As at August 31, 2018, total cost and total market value of affiliated securities amounted to $1,349,735 and $1,347,012, respectively. |
See Notes to Financial Statements.
202
| (n) | Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (AMT). |
| (o) | Inclusive of all short-term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 7.9%. |
| (p) | Rate shown represents yield-to-maturity. |
| (q) | Represents investment of collateral received from securities lending transactions. |
| (r) | All or a portion of this security is held at the broker as collateral for open futures contracts. |
| # | Security that used significant unobservable inputs to determine fair value. |
At August 31, 2018, for Core Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost for
Federal Income
Tax Purposes | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net Unrealized
Depreciation | |
Core Fixed Income Fund | | $ | 938,915,099 | | | $ | 12,185,323 | | | $ | (28,646,571 | ) | | $ | (16,461,248 | ) |
| | |
Abbreviations used in this schedule: |
| ABS | | — Asset-Based Security |
| ACES | | — Alternative Credit Enhancement Securities |
| CLO | | — Collateralized Loan Obligation |
| GO | | — General Obligation |
| LIBOR | | — London Interbank Offered Rate |
| MASTR | | — Mortgage Asset Securitization Transactions Incorporation |
| PLC | | — Public Limited Company |
| REMICS | | — Real Estate Mortgage Investment Conduits |
| | | | |
| Summary of Investments by Security Type^ | | | |
Corporate Bonds & Notes | | | 31.2 | % |
Mortgage-Backed Securities. | | | 23.3 | |
U.S. Government Agencies & Obligations | | | 22.3 | |
Collateralized Mortgage Obligations | | | 10.3 | |
Sovereign Bonds | | | 2.3 | |
Asset-Backed Securities | | | 1.8 | |
Senior Loans | | | 1.0 | |
Municipal Bonds | | | 0.4 | |
Purchased Options | | | 0.0 | * |
Preferred Stock. | | | 0.0 | * |
Short-Term Investments | | | 7.4 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
| * | Position represents less than 0.05%. |
At August 31, 2018, Core Fixed Income Fund held the following Options Contracts Purchased:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Currency Options | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 1,410,000 | | | | 5,740,251 | BRL | | OTC U.S. Dollar versus Brazilian Real, Put | | | CITI | | | | 9/6/18 | | | BRL | 3.80 | | | $ | 45 | |
| | 2,890,000 | | | | 3,771,161 | CAD | | OTC U.S. Dollar versus Canadian Dollar, Put | | | CITI | | | | 10/12/18 | | | CAD | 1.29 | | | | 15,665 | |
| | 3,410,000 | | | | 4,449,709 | CAD | | OTC U.S. Dollar versus Canadian Dollar, Put | | | CITI | | | | 10/25/18 | | | CAD | 1.28 | | | | 16,838 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Currency Options | | | | | | | | | | | | | | $ | 32,548 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
203
| | | | | | | | | | | | | | | | | | | | | | | | |
| Options on Futures | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 105 | | | | $11,896,172 | | | U.S. Treasury 5-Year Note October Futures, Call | | | GSC | | | | 9/21/18 | | | $ | 113.75 | | | $ | 13,125 | |
| | 255 | | | | 30,639,844 | | | U.S. Treasury 10-Year Note October Futures, Call | | | GSC | | | | 9/21/18 | | | $ | 121.25 | | | | 27,891 | |
| | 255 | | | | 30,639,844 | | | U.S. Treasury 10-Year Note October Futures, Put | | | GSC | | | | 9/21/18 | | | $ | 119.25 | | | | 19,922 | |
| | 66 | | | | 9,518,438 | | | U.S. Treasury Bond October Futures, Call | | | GSC | | | | 9/21/18 | | | $ | 147.00 | | | | 9,281 | |
| | 66 | | | | 9,518,438 | | | U.S. Treasury Bond October Futures, Call | | | GSC | | | | 9/21/18 | | | $ | 145.00 | | | | 35,062 | |
| | 255 | | | | 36,775,781 | | | U.S. Treasury Bond October Futures, Call | | | GSC | | | | 9/21/18 | | | $ | 146.50 | | | | 51,797 | |
| | 255 | | | | 36,775,781 | | | U.S. Treasury Bond October Futures, Put | | | GSC | | | | 9/21/18 | | | $ | 142.50 | | | | 63,750 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | | | $ | 220,828 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS PURCHASED
(Cost — $374,915) | | | | | | | | | | | | | | $ | 253,376 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2018, Core Fixed Income Fund held the following Options Contracts Written:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Currency Options | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 2,820,000 | | | | $2,820,000 | | | OTC U.S. Dollar versus Brazilian Real, Put | | | CITI | | | | 9/6/18 | | | BRL | 3.69 | | | $ | 4 | |
| | 1,440,000 | | | | 1,440,000 | | | OTC U.S. Dollar versus Brazilian Real, Put | | | CITI | | | | 11/20/18 | | | BRL | 3.75 | | | | 15,248 | |
| | 2,765,209 | | | | 2,765,209 | | | OTC U.S. Dollar versus Korean Won, Put | | | CITI | | | | 9/20/18 | | | KRW | 1,084.00 | | | | 1,341 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Currency Options | | | | | | | | | | | | | | $ | 16,593 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Options on Futures | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 209 | | | | $23,679,047 | | | U.S. Treasury 5-Year Note November Futures, Call | | | GSC | | | | 10/26/18 | | | $ | 115.00 | | | $ | 13,062 | |
| | 85 | | | | 10,213,281 | | | U.S. Treasury 10-Year Note October Futures, Call | | | GSC | | | | 9/21/18 | | | $ | 120.25 | | | | 33,203 | |
| | 85 | | | | 10,213,281 | | | U.S. Treasury 10-Year Note October Futures, Put | | | GSC | | | | 9/21/18 | | | $ | 120.25 | | | | 31,875 | |
| | 66 | | | | 9,518,438 | | | U.S. Treasury Bond November Futures, Call | | | GSC | | | | 10/26/18 | | | $ | 148.00 | | | | 22,687 | |
| | 85 | | | | 12,258,594 | | | U.S. Treasury Bond October Futures, Call | | | GSC | | | | 9/21/18 | | | $ | 144.50 | | | | 62,423 | |
| | 85 | | | | 12,258,594 | | | U.S. Treasury Bond October Futures, Put | | | GSC | | | | 9/21/18 | | | $ | 144.50 | | | | 86,328 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | | | $ | 249,578 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN
(Premiums received — $343,105) | | | | | | | | | | | | | | $ | 266,171 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2018, 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) | | | Notional
Amount† | | | Market Value | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
90-Day Eurodollar December Futures | | | 429 | | | | 12/19 | | | $ | 104,183,800 | | | $ | 104,080,763 | | | $ | (103,037 | ) |
90-Day Eurodollar June Futures | | | 25 | | | | 6/20 | | | | 6,086,725 | | | | 6,065,938 | | | | (20,787 | ) |
90-Day Eurodollar March Futures | | | 19 | | | | 3/21 | | | | 4,628,163 | | | | 4,611,300 | | | | (16,863 | ) |
Euro-BTP December Futures | | | 11 | | | | 12/18 | | | | 1,543,176 | | | | 1,542,282 | | | | (894 | ) |
U.S. Treasury 2-Year Note December Futures | | | 355 | | | | 12/18 | | | | 75,063,645 | | | | 75,032,579 | | | | (31,066 | ) |
See Notes to Financial Statements.
204
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount† | | | Market Value | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: (continued) | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 5-Year Note December Futures | | | 766 | | | | 12/18 | | | $ | 86,924,322 | | | $ | 86,863,203 | | | $ | (61,119 | ) |
U.S. Treasury 10-Year Note December Futures | | | 193 | | | | 12/18 | | | | 23,251,977 | | | | 23,211,266 | | | | (40,711 | ) |
U.S. Treasury Ultra Long Bond December Futures | | | 134 | | | | 12/18 | | | | 21,448,496 | | | | 21,347,875 | | | | (100,621 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (375,098 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
90-Day Eurodollar December Futures | | | 62 | | | | 12/18 | | | | 15,185,000 | | | | 15,094,675 | | | | 90,325 | |
90-Day Eurodollar March Futures | | | 62 | | | | 3/19 | | | | 15,151,250 | | | | 15,072,200 | | | | 79,050 | |
90-Day Eurodollar September Futures | | | 18 | | | | 9/18 | | | | 4,427,100 | | | | 4,394,025 | | | | 33,075 | |
Euro FX Currency September Futures | | | 6 | | | | 9/18 | | | | 889,277 | | | | 870,675 | | | | 18,602 | |
Euro-Bund December Futures | | | 120 | | | | 12/18 | | | | 22,384,438 | | | | 22,396,975 | | | | (12,537 | ) |
Japan Government 10-Year Bond September Futures | | | 5 | | | | 9/18 | | | | 6,782,644 | | | | 6,768,691 | | | | 13,953 | |
U.S. Treasury Long Bond December Futures | | | 358 | | | | 12/18 | | | | 51,583,738 | | | | 51,630,313 | | | | (46,575 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 175,893 | |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | (199,205 | ) |
| | | | | | | | | | | | | | | | | |
At August 31, 2018, Core Fixed Income Fund had deposited cash of $1,843,044 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
At August 31, 2018, 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 | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Argentine Peso | | | 1,790,000 | | | | USD | | | | 80,886 | | | | CITI | | | $ | 46,965 | | | | 10/3/18 | | | $ | (33,921 | ) |
Argentine Peso | | | 1,240,000 | | | | USD | | | | 56,033 | | | | CITI | | | | 32,535 | | | | 10/3/18 | | | | (23,498 | ) |
Argentine Peso | | | 3,750,000 | | | | USD | | | | 169,530 | | | | CITI | | | | 98,391 | | | | 10/3/18 | | | | (71,139 | ) |
Argentine Peso | | | 1,220,000 | | | | USD | | | | 55,154 | | | | CITI | | | | 32,010 | | | | 10/3/18 | | | | (23,144 | ) |
Argentine Peso | | | 4,300,000 | | | | USD | | | | 193,956 | | | | CITI | | | | 112,566 | | | | 10/5/18 | | | | (81,390 | ) |
Brazilian Real | | | 5,560,000 | | | | USD | | | | 1,473,941 | | | | CITI | | | | 1,359,649 | | | | 10/18/18 | | | | (114,292 | ) |
Brazilian Real | | | 1,650,000 | | | | USD | | | | 425,661 | | | | CITI | | | | 403,493 | | | | 10/18/18 | | | | (22,168 | ) |
Brazilian Real | | | 2,510,000 | | | | USD | | | | 633,391 | | | | CITI | | | | 613,799 | | | | 10/18/18 | | | | (19,592 | ) |
Brazilian Real | | | 1,591,202 | | | | USD | | | | 395,163 | | | | CITI | | | | 387,766 | | | | 11/23/18 | | | | (7,397 | ) |
British Pound | | | 545,347 | | | | USD | | | | 723,566 | | | | CITI | | | | 708,250 | | | | 10/18/18 | | | | (15,316 | ) |
Canadian Dollar | | | 3,780,000 | | | | USD | | | | 2,911,746 | | | | CITI | | | | 2,899,231 | | | | 10/18/18 | | | | (12,515 | ) |
Canadian Dollar | | | 2,828,619 | | | | USD | | | | 2,176,062 | | | | CITI | | | | 2,169,529 | | | | 10/18/18 | | | | (6,533 | ) |
Canadian Dollar | | | 5,233,280 | | | | USD | | | | 3,993,849 | | | | CITI | | | | 4,013,886 | | | | 10/18/18 | | | | 20,037 | |
Euro | | | 960,775 | | | | USD | | | | 1,129,811 | | | | CITI | | | | 1,119,005 | | | | 10/18/18 | | | | (10,806 | ) |
Indian Rupee | | | 127,800,000 | | | | USD | | | | 1,843,757 | | | | CITI | | | | 1,790,593 | | | | 10/17/18 | | | | (53,164 | ) |
Indonesian Rupiah | | | 24,023,470,000 | | | | USD | | | | 1,644,880 | | | | CITI | | | | 1,621,770 | | | | 10/18/18 | | | | (23,110 | ) |
Japanese Yen | | | 73,174,177 | | | | USD | | | | 654,861 | | | | CITI | | | | 660,757 | | | | 10/18/18 | | | | 5,896 | |
Japanese Yen | | | 323,413,719 | | | | USD | | | | 2,912,839 | | | | CITI | | | | 2,920,403 | | | | 10/18/18 | | | | 7,564 | |
Mexican Peso | | | 52,119,736 | | | | USD | | | | 2,714,075 | | | | CITI | | | | 2,710,286 | | | | 10/18/18 | | | | (3,789 | ) |
Mexican Peso | | | 14,720,000 | | | | USD | | | | 767,726 | | | | CITI | | | | 765,456 | | | | 10/18/18 | | | | (2,270 | ) |
New Taiwan Dollar | | | 19,780,000 | | | | USD | | | | 647,243 | | | | CITI | | | | 645,935 | | | | 9/28/18 | | | | (1,308 | ) |
Russian Ruble | | | 42,582,148 | | | | USD | | | | 677,359 | | | | CITI | | | | 627,844 | | | | 10/18/18 | | | | (49,515 | ) |
South African Rand | | | 8,680,000 | | | | USD | | | | 644,950 | | | | CITI | | | | 587,066 | | | | 10/18/18 | | | | (57,884 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (599,254 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
205
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Australian Dollar | | | 1,841,071 | | | | USD | | | | 1,373,559 | | | | CITI | | | $ | 1,323,491 | | | | 10/18/18 | | | $ | 50,068 | |
Canadian Dollar | | | 3,432,292 | | | | USD | | | | 2,608,412 | | | | CITI | | | | 2,632,542 | | | | 10/18/18 | | | | (24,130 | ) |
Chinese Onshore Renminbi | | | 26,818,047 | | | | USD | | | | 3,982,425 | | | | CITI | | | | 3,925,864 | | | | 10/18/18 | | | | 56,561 | |
Chinese Onshore Renminbi | | | 3,196,254 | | | | USD | | | | 480,423 | | | | CITI | | | | 467,896 | | | | 10/18/18 | | | | 12,527 | |
Euro | | | 2,480,429 | | | | USD | | | | 2,916,513 | | | | CITI | | | | 2,888,929 | | | | 10/18/18 | | | | 27,584 | |
Euro | | | 2,195,999 | | | | USD | | | | 2,498,685 | | | | CITI | | | | 2,557,657 | | | | 10/18/18 | | | | (58,972 | ) |
Euro | | | 319,000 | | | | USD | | | | 376,056 | | | | CITI | | | | 371,536 | | | | 10/18/18 | | | | 4,520 | |
Euro | | | 410,196 | | | | USD | | | | 483,562 | | | | CITI | | | | 477,750 | | | | 10/18/18 | | | | 5,812 | |
Japanese Yen | | | 315,000,000 | | | | USD | | | | 2,811,308 | | | | GSC | | | | 2,843,785 | | | | 10/15/18 | | | | (32,477 | ) |
Japanese Yen | | | 560,000,000 | | | | USD | | | | 5,089,392 | | | | GSC | | | | 5,063,596 | | | | 11/5/18 | | | | 25,796 | |
Korean Won | | | 2,421,467,263 | | | | USD | | | | 2,169,774 | | | | CITI | | | | 2,173,052 | | | | 10/18/18 | | | | (3,278 | ) |
Mexican Peso | | | 6,510,000 | | | | USD | | | | 339,451 | | | | CITI | | | | 338,528 | | | | 10/18/18 | | | | 923 | |
New Taiwan Dollar | | | 19,780,000 | | | | USD | | | | 649,483 | | | | CITI | | | | 646,832 | | | | 10/18/18 | | | | 2,651 | |
Philippine Peso | | | 120,583,000 | | | | USD | | | | 2,231,469 | | | | CITI | | | | 2,250,146 | | | | 10/18/18 | | | | (18,677 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 48,908 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (550,346 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2018, Core Fixed Income Fund held the following OTC Interest Rate Swap Contract:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Counterparty | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid | | | Unrealized
Depreciation | |
| Pay | | 3-Month BRL-CDI-Compounded | | | 0.084% | | | | 1/2/20 | | | | CITI | | | | BRL 41,620,000 | | | $ | 90 | | | $ | 13,267 | | | $ | (13,177 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2018, Core Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Payment
Frequency | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Pay | | 28-Day MXN TIIE Banxico | | | 7.351% | | | | 4/5/21 | | | | 28-Day | | | | MXN | | | | 15,700,000 | | | $ | (13,027 | ) | | $ | — | | | $ | (13,027 | ) |
| Pay | | 3-Month USD-LIBOR | | | 2.250% | | | | 5/31/22 | | | | 6-Month | | | | USD | | | | 6,201,000 | | | | (101,668 | ) | | | 11,515 | | | | (113,183 | ) |
| Receive | | 3-Month USD-LIBOR | | | 2.950% | | | | 11/15/43 | | | | 6-Month | | | | USD | | | | 1,389,000 | | | | (3,711 | ) | | | (17,059 | ) | | | 13,348 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (118,406 | ) | | $ | (5,544 | ) | | $ | (112,862 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fund Pay
Floating Rate Index | | Fund Receive
Floating Rate Index | | Maturity
Date | | | Payment
Frequency | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation | |
3-Month USD-LIBOR | | U.S. Federal Funds Effective Rate Index + 0.364% | | | 9/19/23 | | |
| 3-Month | | | | USD | | | | 36,066,000 | | | $ | 103,976 | | | $ | — | | | $ | 103,976 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
206
At August 31, 2018, Core Fixed Income Fund held the following Centrally Cleared Credit Default Swap Contracts:
Centrally Cleared — Credit Default Swaps on Indexes — Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
(Pay) Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
8/31/18 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
(Received) | | | Unrealized
Depreciation | |
Markit CDX North America High Yield Series 29 5-Year Index | | | (5.000 | )% | | | 12/20/22 | | | | 3-Month | | | | 3.071 | % | | USD | 160,000 | | | $ | (13,158 | ) | | $ | (10,800 | ) | | $ | (2,358 | ) |
Markit CDX North America High Yield Series 30 5-Year Index | | | (5.000 | )% | | | 6/20/23 | | | | 3-Month | | | | 3.304 | % | | USD | 2,080,000 | | | | (164,609 | ) | | | (142,883 | ) | | | (21,726 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (177,767 | ) | | $ | (153,683 | ) | | $ | (24,084 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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. |
At August 31, 2018, Core Fixed Income Fund deposited cash collateral with brokers in the amount of $211,203 for open centrally cleared swap contracts.
| | | | | | |
Currency Abbreviations used in this schedule: | | Counterparty Abbreviations used in this schedule: |
| BRL | | — Brazilian Real | | CITI | | — Citigroup Global Markets Inc. |
| CAD | | — Canadian Dollar | | GSC | | — Goldman Sachs & Co. |
| EUR | | — Euro | | | | |
| JPY | | — Japanese Yen | | | | |
| KRW | | — Korean Won | | | | |
| MXN | | — Mexican Peso | | | | |
| RUB | | — Russian Ruble | | | | |
See pages 281-282 for definitions of ratings.
See Notes to Financial Statements.
207
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | CORPORATE BONDS & NOTES — 87.9% | |
| | Advertising — 0.2% | |
| $ | 126,000 | | | B | | MDC Partners Inc., Company Guaranteed Notes, 6.500% due 5/1/24(a) | | $ | 113,557 | |
| | | | | | | | | | |
| | Aerospace/Defense — 1.1% | |
| | 110,000 | | | BBB- | | Arconic Inc., Senior Unsecured Notes, 5.950% due 2/1/37 | | | 110,207 | |
| | 90,000 | | | BB | | BBA US Holdings Inc., Senior Unsecured Notes, 5.375% due 5/1/26(a) | | | 90,450 | |
| | | | | | Bombardier Inc., Senior Unsecured Notes: | | | | |
| | 45,000 | | | B- | | 6.000% due 10/15/22(a) | | | 45,337 | |
| | 15,000 | | | B- | | 6.125% due 1/15/23(a) | | | 15,187 | |
| | 120,000 | | | B- | | 7.500% due 12/1/24(a) | | | 126,450 | |
| | 15,000 | | | B- | | 7.500% due 3/15/25(a) | | | 15,488 | |
| | | | | | TransDigm Inc., Company Guaranteed Notes: | | | | |
| | 200,000 | | | B- | | 6.500% due 5/15/25 | | | 204,000 | |
| | 25,000 | | | B- | | 6.375% due 6/15/26 | | | 25,328 | |
| | | | | | | | | | |
| | | | | | Total Aerospace/Defense | | | 632,447 | |
| | | | | | | | | | |
| | Agriculture — 0.1% | |
| | | | | | Alliance One International Inc.: | | | | |
| | 5,000 | | | CCC | | Secured Notes, 9.875% due 7/15/21 | | | 4,806 | |
| | 80,000 | | | B- | | Senior Secured Notes, 8.500% due 4/15/21(a) | | | 82,800 | |
| | | | | | | | | | |
| | | | | | Total Agriculture | | | 87,606 | |
| | | | | | | | | | |
| | Airlines — 0.2% | |
| | 123,213 | | | BBB | | United Airlines Class B Pass-Through Trust, Series 2014-1, Pass-Thru Certificates, 4.750% due 4/11/22 | | | 124,585 | |
| | | | | | | | | | |
| | Apparel — 0.4% | |
| | 130,000 | | | BB- | | Hanesbrands Inc., Company Guaranteed Notes, 4.875% due 5/15/26(a) | | | 125,775 | |
| | 120,000 | | | BB+ | | Levi Strauss & Co., Senior Unsecured Notes, 5.000% due 5/1/25 | | | 121,200 | |
| | | | | | | | | | |
| | | | | | Total Apparel | | | 246,975 | |
| | | | | | | | | | |
| | Auto Manufacturers — 0.8% | |
| | 190,000 | | | Ba3(b) | | Allison Transmission Inc., Senior Unsecured Notes, 4.750% due 10/1/27(a) | | | 179,075 | |
| | 80,000 | | | BB- | | JB Poindexter & Co., Inc., Senior Unsecured Notes, 7.125% due 4/15/26(a) | | | 83,100 | |
| | 180,000 | | | CCC+ | | Navistar International Corp., Company Guaranteed Notes, 6.625% due 11/1/25(a) | | | 188,100 | |
| | | | | | | | | | |
| | | | | | Total Auto Manufacturers | | | 450,275 | |
| | | | | | | | | | |
| | Auto Parts & Equipment — 0.4% | |
| | 50,000 | | | BB | | Delphi Technologies PLC, Company Guaranteed Notes, 5.000% due 10/1/25(a) | | | 47,352 | |
| | 160,000 | | | BBB- | | ZF North America Capital Inc., Company Guaranteed Notes, 4.750% due 4/29/25(a) | | | 161,655 | |
| | | | | | | | | | |
| | | | | | Total Auto Parts & Equipment | | | 209,007 | |
| | | | | | | | | | |
| | Banks — 1.7% | |
| | 200,000 | | | BBB- | | BNP Paribas SA, Junior Subordinated Notes, 7.625% (5-Year USD Swap Rate + 6.314%)(a)(c)(d) | | | 213,000 | |
| | | | | | CIT Group Inc.: | | | | |
| | 20,000 | | | BB+ | | Senior Unsecured Notes, 5.250% due 3/7/25 | | | 20,388 | |
| | 95,000 | | | BB | | Subordinated Notes, 6.125% due 3/9/28 | | | 99,512 | |
| | 200,000 | | | BB+ | | Credit Agricole SA, Junior Subordinated Notes, 8.125% (5-Year USD Swap Rate + 6.185%)(a)(c)(d) | | | 220,550 | |
| | 240,000 | | | Baa3(b) | | HSBC Holdings PLC, Junior Subordinated Notes, 6.500% (5-Year USD 1100 Run ICE Swap Rate + 3.606%)(c)(d) | | | 235,200 | |
| | 160,000 | | | BBB- | | JPMorgan Chase & Co., Junior Subordinated Notes, 6.750% (3-Month USD-LIBOR + 3.780%)(c)(d) | | | 176,312 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 964,962 | |
| | | | | | | | | | |
See Notes to Financial Statements.
208
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Beverages — 0.1% | |
| $ | 80,000 | | | B | | Cott Holdings Inc., Company Guaranteed Notes, 5.500% due 4/1/25(a) | | $ | 78,548 | |
| | | | | | | | | | |
| | Building Materials — 0.8% | |
| | 170,000 | | | BB- | | Builders FirstSource Inc., Senior Secured Notes, 5.625% due 9/1/24(a) | | | 165,750 | |
| | 10,000 | | | NR | | Cree Inc., Senior Unsecured Notes, 0.875% due 9/1/23(a) | | | 10,292 | |
| | | | | | Standard Industries Inc., Senior Unsecured Notes: | | | | |
| | 80,000 | | | BBB- | | 5.375% due 11/15/24(a) | | | 80,500 | |
| | 145,000 | | | BBB- | | 6.000% due 10/15/25(a) | | | 149,014 | |
| | 40,000 | | | BBB- | | 4.750% due 1/15/28(a) | | | 37,412 | |
| | | | | | | | | | |
| | | | | | Total Building Materials | | | 442,968 | |
| | | | | | | | | | |
| | Chemicals — 1.2% | |
| | 15,000 | | | BB- | | Chemours Co. (The), Company Guaranteed Notes, 7.000% due 5/15/25 | | | 16,087 | |
| | 50,000 | | | BB- | | Nufarm Australia Ltd./Nufarm Americas Inc., Company Guaranteed Notes, 5.750% due 4/30/26(a) | | | 46,563 | |
| | 160,000 | | | BB+ | | Olin Corp., Senior Unsecured Notes, 5.000% due 2/1/30 | | | 153,400 | |
| | 60,000 | | | B- | | Tronox Inc., Company Guaranteed Notes, 6.500% due 4/15/26(a) | | | 58,950 | |
| | 400,000 | | | BB+ | | Valvoline Inc., Company Guaranteed Notes, 5.500% due 7/15/24 | | | 410,000 | |
| | | | | | | | | | |
| | | | | | Total Chemicals | | | 685,000 | |
| | | | | | | | | | |
| | Coal — 0.2% | |
| | 50,000 | | | Caa2(b) | | Murray Energy Corp., Secured Notes, 12.000% (9.000% cash or 3.000% PIK) due 4/15/24(a)(e) | | | 36,000 | |
| | 100,000 | | | BB- | | SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., Company Guaranteed Notes, 7.500% due 6/15/25(a) | | | 104,500 | |
| | | | | | | | | | |
| | | | | | Total Coal | | | 140,500 | |
| | | | | | | | | | |
| | Commercial Services — 4.8% | |
| | 100,000 | | | BB- | | ADT Corp. (The), Senior Secured Notes, 4.125% due 6/15/23 | | | 95,375 | |
| | 200,000 | | | BBB- | | Ashtead Capital Inc., Secured Notes, 5.250% due 8/1/26(a) | | | 206,000 | |
| | 100,000 | | | BB | | Brink’s Co. (The), Company Guaranteed Notes, 4.625% due 10/15/27(a) | | | 93,750 | |
| | 125,000 | | | B | | Carriage Services Inc., Company Guaranteed Notes, 6.625% due 6/1/26(a) | | | 127,813 | |
| | 150,000 | | | B- | | Flexi-Van Leasing Inc., Secured Notes, 10.000% due 2/15/23(a) | | | 131,250 | |
| | 40,000 | | | NR | | FTI Consulting Inc., Senior Unsecured Notes, 2.000% due 8/15/23(a) | | | 40,104 | |
| | 170,000 | | | B- | | Jaguar Holding Co. II/Pharmaceutical Product Development LLC, Company Guaranteed Notes, 6.375% due 8/1/23(a) | | | 171,275 | |
| | 133,000 | | | B- | | Laureate Education Inc., Company Guaranteed Notes, 8.250% due 5/1/25(a) | | | 143,806 | |
| | 100,000 | | | CC | | Monitronics International Inc., Company Guaranteed Notes, 9.125% due 4/1/20(f) | | | 74,000 | |
| | 394,000 | | | B- | | Prime Security Services Borrower LLC/Prime Finance Inc., Secured Notes, 9.250% due 5/15/23(a) | | | 423,077 | |
| | | | | | Service Corp. International, Senior Unsecured Notes: | | | | |
| | 70,000 | | | BB | | 7.500% due 4/1/27 | | | 78,312 | |
| | 130,000 | | | BB | | 4.625% due 12/15/27 | | | 125,125 | |
| | | | | | ServiceMaster Co. LLC (The): | | | | |
| | 80,000 | | | BB- | | Company Guaranteed Notes, 5.125% due 11/15/24(a) | | | 78,800 | |
| | 260,000 | | | B | | Senior Unsecured Notes, 7.450% due 8/15/27 | | | 275,600 | |
| | 135,000 | | | CCC+ | | Team Health Holdings Inc., Company Guaranteed Notes, 6.375% due 2/1/25(a) | | | 117,788 | |
| | 145,000 | | | B | | TMS International Corp., Senior Unsecured Notes, 7.250% due 8/15/25(a) | | | 146,450 | |
| | | | | | UR Financing Escrow Corp., Company Guaranteed Notes: | | | | |
| | 230,000 | | | BB | | 5.875% due 9/15/26 | | | 237,762 | |
| | 20,000 | | | BB | | 5.500% due 5/15/27 | | | 20,000 | |
| | 130,000 | | | CCC+ | | Verscend Escrow Corp., Senior Unsecured Notes, 9.750% due 8/15/26(a) | | | 133,536 | |
| | 80,000 | | | B | | Weight Watchers International Inc., Company Guaranteed Notes, 8.625% due 12/1/25(a) | | | 86,800 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services | | | 2,806,623 | |
| | | | | | | | | | |
See Notes to Financial Statements.
209
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Computers — 1.1% | | | | | | |
| | | | | | Dell International LLC/EMC Corp.: | | | | |
| $ | 205,000 | | | BB | | Company Guaranteed Notes, 7.125% due 6/15/24(a) | | $ | 219,197 | |
| | 90,000 | | | BBB- | | Senior Secured Notes, 6.020% due 6/15/26(a) | | | 95,556 | |
| | 30,000 | | | BB+ | | Seagate HDD Cayman, Company Guaranteed Notes, 4.750% due 1/1/25 | | | 28,794 | |
| | 145,000 | | | CCC+ | | West Corp., Company Guaranteed Notes, 8.500% due 10/15/25(a) | | | 132,675 | |
| | 150,000 | | | BB+ | | Western Digital Corp., Company Guaranteed Notes, 4.750% due 2/15/26 | | | 147,346 | |
| | | | | | | | | | |
| | | | | | Total Computers | | | 623,568 | |
| | | | | | | | | | |
| | Distribution/Wholesale — 0.3% | |
| | 50,000 | | | B- | | Core & Main LP, Senior Unsecured Notes, 6.125% due 8/15/25(a) | | | 48,250 | |
| | 100,000 | | | B | | KAR Auction Services Inc., Company Guaranteed Notes, 5.125% due 6/1/25(a) | | | 98,250 | |
| | | | | | | | | | |
| | | | | | Total Distribution/Wholesale | | | 146,500 | |
| | | | | | | | | | |
| | Diversified Financial Services — 2.0% | |
| | 120,000 | | | NR | | Alliance Data Systems Corp., Company Guaranteed Notes, 5.375% due 8/1/22(a) | | | 121,200 | |
| | 90,000 | | | BB- | | Ally Financial Inc., Subordinated Notes, 5.750% due 11/20/25 | | | 93,600 | |
| | 120,000 | | | CCC+ | | ASP AMC Merger Sub Inc., Senior Unsecured Notes, 8.000% due 5/15/25(a) | | | 92,400 | |
| | 150,000 | | | B- | | Lions Gate Capital Holdings LLC, Company Guaranteed Notes, 5.875% due 11/1/24(a) | | | 155,437 | |
| | | | | | Navient Corp., Senior Unsecured Notes: | | | | |
| | 50,000 | | | B+ | | 8.000% due 3/25/20 | | | 53,137 | |
| | 50,000 | | | B+ | | 5.000% due 10/26/20 | | | 50,260 | |
| | 50,000 | | | B+ | | 5.875% due 3/25/21 | | | 51,328 | |
| | 50,000 | | | B+ | | 6.625% due 7/26/21 | | | 52,188 | |
| | 50,000 | | | B+ | | 5.875% due 10/25/24 | | | 48,625 | |
| | 105,000 | | | B+ | | 6.750% due 6/15/26 | | | 103,294 | |
| | 260,000 | | | BB | | Quicken Loans Inc., Company Guaranteed Notes, 5.250% due 1/15/28(a) | | | 239,200 | |
| | 100,000 | | | B+ | | Travelport Corporate Finance PLC, Senior Secured Notes, 6.000% due 3/15/26(a) | | | 102,000 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 1,162,669 | |
| | | | | | | | | | |
| | Electric — 2.9% | |
| | | | | | AES Corp., Senior Unsecured Notes: | | | | |
| | 19,000 | | | BB+ | | 5.500% due 4/15/25 | | | 19,617 | |
| | 195,000 | | | BB+ | | 6.000% due 5/15/26 | | | 207,188 | |
| | 20,000 | | | BB+ | | 5.125% due 9/1/27 | | | 20,250 | |
| | | | | | Calpine Corp.: | | | | |
| | 70,000 | | | BB | | Senior Secured Notes, 5.875% due 1/15/24(a) | | | 70,787 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 10,000 | | | B | | 5.500% due 2/1/24 | | | 9,217 | |
| | 185,000 | | | B | | 5.750% due 1/15/25 | | | 168,813 | |
| | 155,000 | | | BB- | | NRG Energy Inc., Company Guaranteed Notes, 5.750% due 1/15/28(a) | | | 156,937 | |
| | 634,652 | | | Caa1(b) | | NRG REMA LLC, Pass-Thru Certificates, 9.681% due 7/2/26(g) | | | 463,296 | |
| | 100,000 | | | NR | | NRG Yield Inc., Company Guaranteed Notes, 3.250% due 6/1/20(a) | | | 100,125 | |
| | 115,000 | | | BB | | NRG Yield Operating LLC, Company Guaranteed Notes, 5.375% due 8/15/24 | | | 116,150 | |
| | | | | | Vistra Energy Corp., Company Guaranteed Notes: | | | | |
| | 30,000 | | | BB | | 8.034% due 2/2/24 | | | 32,025 | |
| | 95,000 | | | BB | | 7.625% due 11/1/24 | | | 102,600 | |
| | 85,000 | | | BB | | 8.125% due 1/30/26(a) | | | 95,094 | |
| | 120,000 | | | BB | | Vistra Operations Co. LLC, Senior Unsecured Notes, 5.500% due 9/1/26(a) | | | 121,764 | |
| | | | | | | | | | |
| | | | | | Total Electric | | | 1,683,863 | |
| | | | | | | | | | |
| | Electrical Components & Equipment — 0.2% | |
| | 130,000 | | | BB- | | Energizer Gamma Acquisition Inc., Senior Secured Notes, 6.375% due 7/15/26(a) | | | 134,713 | |
| | | | | | | | | | |
| | Energy — Alternate Sources — 0.8% | |
| | 155,000 | | | NR | | NextEra Energy Partners LP, Company Guaranteed Notes, 1.500% due 9/15/20(a) | | | 158,814 | |
| | 260,000 | | | NR | | Pattern Energy Group Inc., Company Guaranteed Notes, 4.000% due 7/15/20 | | | 259,220 | |
See Notes to Financial Statements.
210
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Energy — Alternate Sources — 0.8% — (continued) | |
| $ | 65,000 | | | BB- | | TerraForm Power Operating LLC, Company Guaranteed Notes, step bond to yield, 6.625% due 6/15/25(a) | | $ | 69,469 | |
| | | | | | | | | | |
| | | | | | Total Energy — Alternate Sources | | | 487,503 | |
| | | | | | | | | | |
| | Engineering & Construction — 0.4% | |
| | 95,000 | | | B- | | frontdoor Inc., Senior Unsecured Notes, 6.750% due 8/15/26(a) | | | 97,494 | |
| | 40,000 | | | B+ | | New Enterprise Stone & Lime Co., Inc., Senior Secured Notes, 6.250% due 3/15/26(a) | | | 40,800 | |
| | 110,000 | | | BB- | | TopBuild Corp., Company Guaranteed Notes, 5.625% due 5/1/26(a) | | | 109,175 | |
| | | | | | | | | | |
| | | | | | Total Engineering & Construction | | | 247,469 | |
| | | | | | | | | | |
| | Entertainment — 3.4% | |
| | | | | | AMC Entertainment Holdings Inc., Company Guaranteed Notes: | | | | |
| | 202,000 | | | B | | 5.750% due 6/15/25 | | | 196,825 | |
| | 100,000 | | | B | | 6.125% due 5/15/27 | | | 98,500 | |
| | 40,000 | | | B | | Boyne USA Inc., Secured Notes, 7.250% due 5/1/25(a) | | | 42,600 | |
| | 145,000 | | | B- | | Caesars Resort Collection LLC/CRC Finco Inc., Company Guaranteed Notes, 5.250% due 10/15/25(a) | | | 139,019 | |
| | 80,000 | | | BB- | | Carmike Cinemas Inc., Secured Notes, 6.000% due 6/15/23(a) | | | 81,800 | |
| | 115,000 | | | BB | | Cinemark USA Inc., Company Guaranteed Notes, 4.875% due 6/1/23 | | | 114,137 | |
| | 80,000 | | | B | | Downstream Development Authority of the Quapaw Tribe of Oklahoma, Senior Secured Notes, 10.500% due 2/15/23(a) | | | 80,200 | |
| | 160,000 | | | B | | Eldorado Resorts Inc., Company Guaranteed Notes, 6.000% due 4/1/25 | | | 163,400 | |
| | | | | | GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes: | | | | |
| | 60,000 | | | BBB- | | 5.375% due 4/15/26 | | | 62,457 | |
| | 260,000 | | | BBB- | | 5.750% due 6/1/28 | | | 276,848 | |
| | 30,000 | | | NR | | Live Nation Entertainment Inc., Senior Unsecured Notes, 2.500% due 3/15/23(a) | | | 31,144 | |
| | 200,000 | | | BB | | Merlin Entertainments PLC, Senior Unsecured Notes, 5.750% due 6/15/26(a) | | | 204,000 | |
| | | | | | Scientific Games International Inc.: | | | | |
| | 230,000 | | | B- | | Company Guaranteed Notes, 10.000% due 12/1/22 | | | 244,110 | |
| | 60,000 | | | B+ | | Senior Secured Notes, 5.000% due 10/15/25(a) | | | 57,150 | |
| | 90,000 | | | BB+ | | Speedway Motorsports Inc., Company Guaranteed Notes, 5.125% due 2/1/23 | | | 89,550 | |
| | 90,000 | | | B- | | Stars Group Holdings BV/Stars Group US Co-Borrower LLC, Company Guaranteed Notes, 7.000% due 7/15/26(a) | | | 93,825 | |
| | | | | | | | | | |
| | | | | | Total Entertainment | | | 1,975,565 | |
| | | | | | | | | | |
| | Environmental Control — 2.0% | |
| | 150,000 | | | B | | Advanced Disposal Services Inc., Company Guaranteed Notes, 5.625% due 11/15/24(a) | | | 150,375 | |
| | | | | | Covanta Holding Corp., Senior Unsecured Notes: | | | | |
| | 175,000 | | | B | | 5.875% due 3/1/24 | | | 176,750 | |
| | 70,000 | | | B | | 5.875% due 7/1/25 | | | 69,963 | |
| | 100,000 | | | B- | | GFL Environmental Inc., Senior Unsecured Notes, 5.375% due 3/1/23(a) | | | 95,250 | |
| | 30,000 | | | B- | | Hulk Finance Corp., Senior Unsecured Notes, 7.000% due 6/1/26(a) | | | 28,875 | |
| | 310,000 | | | B+ | | Tervita Escrow Corp., Secured Notes, 7.625% due 12/1/21(a) | | | 322,787 | |
| | 175,000 | | | B+ | | Waste Pro USA Inc., Senior Unsecured Notes, 5.500% due 2/15/26(a) | | | 169,313 | |
| | 160,000 | | | CCC+ | | Wrangler Buyer Corp., Senior Unsecured Notes, 6.000% due 10/1/25(a) | | | 155,200 | |
| | | | | | | | | | |
| | | | | | Total Environmental Control | | | 1,168,513 | |
| | | | | | | | | | |
| | Food — 1.4% | |
| | 150,000 | | | B- | | Dole Food Co., Inc., Senior Secured Notes, 7.250% due 6/15/25(a) | | | 147,750 | |
| | 160,000 | | | BB | | Lamb Weston Holdings Inc., Company Guaranteed Notes, 4.875% due 11/1/26(a) | | | 158,000 | |
| | 160,000 | | | BB- | | Pilgrim’s Pride Corp., Senior Unsecured Notes, 5.875% due 9/30/27(a) | | | 152,400 | |
| | 180,000 | | | B+ | | Post Holdings Inc., Company Guaranteed Notes, 5.500% due 3/1/25(a) | | | 180,000 | |
| | 205,000 | | | BB | | US Foods Inc., Company Guaranteed Notes, 5.875% due 6/15/24(a) | | | 207,563 | |
| | | | | | | | | | |
| | | | | | Total Food | | | 845,713 | |
| | | | | | | | | | |
See Notes to Financial Statements.
211
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Forest Products & Paper — 0.4% | |
| | | | | | Mercer International Inc., Senior Unsecured Notes: | | | | |
| $ | 100,000 | | | BB- | | 6.500% due 2/1/24 | | $ | 102,750 | |
| | 110,000 | | | BB- | | 5.500% due 1/15/26(a) | | | 107,525 | |
| | | | | | | | | | |
| | | | | | Total Forest Products & Paper | | | 210,275 | |
| | | | | | | | | | |
| | Gas — 0.5% | |
| | | | | | AmeriGas Partners LP/AmeriGas Finance Corp., Senior Unsecured Notes: | | | | |
| | 90,000 | | | Ba3(b) | | 5.625% due 5/20/24 | | | 89,775 | |
| | 80,000 | | | Ba3(b) | | 5.500% due 5/20/25 | | | 78,800 | |
| | 140,000 | | | B+ | | NGL Energy Partners LP/NGL Energy Finance Corp., Company Guaranteed Notes, 7.500% due 11/1/23 | | | 143,675 | |
| | | | | | | | | | |
| | | | | | Total Gas | | | 312,250 | |
| | | | | | | | | | |
| | Healthcare — Products — 0.9% | |
| | 150,000 | | | CCC | | DJO Finance LLC/DJO Finance Corp., Secured Notes, 8.125% due 6/15/21(a) | | | 155,670 | |
| | 30,000 | | | CCC- | | Immucor Inc., Company Guaranteed Notes, 11.125% due 2/15/22(a) | | | 30,225 | |
| | 215,000 | | | B- | | Kinetic Concepts Inc./KCI USA Inc., Secured Notes, 12.500% due 11/1/21(a) | | | 236,500 | |
| | 115,000 | | | BB | | Teleflex Inc., Company Guaranteed Notes, 4.625% due 11/15/27 | | | 109,969 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Products | | | 532,364 | |
| | | | | | | | | | |
| | Healthcare — Services — 6.1% | |
| | 130,000 | | | B+ | | Catalent Pharma Solutions Inc., Company Guaranteed Notes, 4.875% due 1/15/26(a) | | | 124,637 | |
| | | | | | Centene Corp., Senior Unsecured Notes: | | | | |
| | 110,000 | | | BB+ | | 4.750% due 5/15/22 | | | 112,475 | |
| | 300,000 | | | BB+ | | 6.125% due 2/15/24 | | | 316,125 | |
| | 115,000 | | | BB+ | | 5.375% due 6/1/26(a) | | | 119,005 | |
| | 90,000 | | | BB+ | | Charles River Laboratories International Inc., Company Guaranteed Notes, 5.500% due 4/1/26(a) | | | 91,575 | |
| | 115,000 | | | B- | | CHS/Community Health Systems Inc., Senior Secured Notes, 6.250% due 3/31/23 | | | 109,825 | |
| | 80,000 | | | B+ | | DaVita Inc., Company Guaranteed Notes, 5.125% due 7/15/24 | | | 77,530 | |
| | 95,000 | | | CCC+ | | Eagle Holding Co. II LLC, Senior Unsecured Notes, 7.625% (7.625% cash or 8.375% PIK) due 5/15/22(a)(e) | | | 96,425 | |
| | 162,000 | | | B | | Envision Healthcare Corp., Company Guaranteed Notes, 6.250% due 12/1/24(a) | | | 173,745 | |
| | 940,000 | | | NR | | Escrow Magellan Health, (Restricted, cost — $0, acquired 4/14/15), 9.750% due 5/15/20#(g)(h)(i) | | | — | |
| | | | | | HCA Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 350,000 | | | BB- | | 5.375% due 2/1/25 | | | 354,875 | |
| | 65,000 | | | Ba2(b) | | 5.375% due 9/1/26 | | | 65,488 | |
| | 185,000 | | | Ba2(b) | | 5.625% due 9/1/28 | | | 185,925 | |
| | 80,000 | | | BB- | | 7.500% due 11/6/33 | | | 85,600 | |
| | 140,000 | | | BB- | | 7.500% due 11/15/95 | | | 137,900 | |
| | | | | | Senior Secured Notes: | | | | |
| | 25,000 | | | BBB- | | 5.000% due 3/15/24 | | | 25,625 | |
| | 50,000 | | | BBB- | | 5.250% due 4/15/25 | | | 51,687 | |
| | 30,000 | | | BBB- | | 5.250% due 6/15/26 | | | 30,975 | |
| | 190,000 | | | BBB- | | 5.500% due 6/15/47 | | | 190,950 | |
| | 250,000 | | | B- | | MPH Acquisition Holdings LLC, Company Guaranteed Notes, 7.125% due 6/1/24(a) | | | 259,375 | |
| | 150,000 | | | B- | | Polaris Intermediate Corp., Senior Unsecured Notes, 8.500% (8.500% cash or 9.250% PIK) due 12/1/22(a)(e) | | | 155,438 | |
| | 60,000 | | | B | | RegionalCare Hospital Partners Holdings Inc., Senior Secured Notes, 8.250% due 5/1/23(a) | | | 64,050 | |
| | | | | | Tenet Healthcare Corp.: | | | | |
| | 120,000 | | | B- | | Secured Notes, 7.500% due 1/1/22(a) | | | 126,113 | |
| | 60,000 | | | BB- | | Senior Secured Notes, 6.000% due 10/1/20 | | | 62,550 | |
| | 310,000 | | | CCC+ | | Senior Unsecured Notes, 8.125% due 4/1/22 | | | 328,600 | |
See Notes to Financial Statements.
212
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Healthcare — Services — 6.1% — (continued) | |
| | | | | | WellCare Health Plans Inc., Senior Unsecured Notes: | | | | |
| $ | 170,000 | | | BB | | 5.250% due 4/1/25 | | $ | 174,250 | |
| | 50,000 | | | Ba2(b) | | 5.375% due 8/15/26(a) | | | 51,625 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Services | | | 3,572,368 | |
| | | | | | | | | | |
| | Home Builders — 1.5% | |
| | 160,000 | | | B+ | | Century Communities Inc., Company Guaranteed Notes, 5.875% due 7/15/25 | | | 150,400 | |
| | | | | | Lennar Corp., Company Guaranteed Notes: | | | | |
| | 80,000 | | | BB+ | | 4.500% due 4/30/24 | | | 78,724 | |
| | 80,000 | | | BB+ | | 4.750% due 11/29/27 | | | 76,700 | |
| | 70,000 | | | BB- | | LGI Homes Inc., Company Guaranteed Notes, 6.875% due 7/15/26(a) | | | 69,738 | |
| | | | | | Mattamy Group Corp., Senior Unsecured Notes: | | | | |
| | 127,000 | | | BB | | 6.875% due 12/15/23(a) | | | 129,857 | |
| | 75,000 | | | BB | | 6.500% due 10/1/25(a) | | | 74,265 | |
| | 160,000 | | | BB | | Taylor Morrison Communities Inc./Taylor Morrison Holdings II Inc., Company Guaranteed Notes, 5.875% due 4/15/23(a) | | | 160,848 | |
| | | | | | William Lyon Homes Inc., Company Guaranteed Notes: | | | | |
| | 60,000 | | | B+ | | 7.000% due 8/15/22 | | | 61,275 | |
| | 70,000 | | | B+ | | 6.000% due 9/1/23(a) | | | 67,921 | |
| | 10,000 | | | B+ | | 5.875% due 1/31/25 | | | 9,512 | |
| | | | | | | | | | |
| | | | | | Total Home Builders | | | 879,240 | |
| | | | | | | | | | |
| | Household Products/Wares — 0.8% | |
| | | | | | Central Garden & Pet Co., Company Guaranteed Notes: | | | | |
| | 165,000 | | | BB- | | 6.125% due 11/15/23 | | | 170,981 | |
| | 90,000 | | | BB- | | 5.125% due 2/1/28 | | | 84,938 | |
| | 225,000 | | | B+ | | Spectrum Brands Inc., Company Guaranteed Notes, 5.750% due 7/15/25 | | | 228,375 | |
| | | | | | | | | | |
| | | | | | Total Household Products/Wares | | | 484,294 | |
| | | | | | | | | | |
| | Insurance — 0.4% | |
| | 70,000 | | | BB+ | | Fidelity & Guaranty Life Holdings Inc., Senior Unsecured Notes, 5.500% due 5/1/25(a) | | | 69,650 | |
| | 100,000 | | | CCC+ | | HUB International Ltd., Senior Unsecured Notes, 7.000% due 5/1/26(a) | | | 99,605 | |
| | 50,000 | | | BB+ | | Radian Group Inc., Senior Unsecured Notes, 4.500% due 10/1/24 | | | 49,500 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 218,755 | |
| | | | | | | | | | |
| | Internet — 1.1% | |
| | 160,000 | | | B+ | | Cogent Communications Group Inc., Senior Secured Notes, 5.375% due 3/1/22(a) | | | 163,600 | |
| | 130,000 | | | CCC+ | | EIG Investors Corp., Company Guaranteed Notes, 10.875% due 2/1/24 | | | 142,025 | |
| | | | | | Match Group Inc., Senior Unsecured Notes: | | | | |
| | 80,000 | | | BB- | | 6.375% due 6/1/24 | | | 85,400 | |
| | 90,000 | | | BB- | | 5.000% due 12/15/27(a) | | | 88,875 | |
| | 70,000 | | | B+ | | Netflix Inc., Senior Unsecured Notes, 5.875% due 2/15/25 | | | 72,450 | |
| | 10,000 | | | NR | | Twitter Inc., Senior Unsecured Notes, 0.250% due 6/15/24(a) | | | 9,549 | |
| | 100,000 | | | B | | Zayo Group LLC/Zayo Capital Inc., Company Guaranteed Notes, 6.375% due 5/15/25 | | | 104,875 | |
| | | | | | | | | | |
| | | | | | Total Internet | | | 666,774 | |
| | | | | | | | | | |
| | Iron/Steel — 0.5% | |
| | 35,000 | | | B+ | | Allegheny Ludlum LLC, Company Guaranteed Notes, 6.950% due 12/15/25 | | | 35,875 | |
| | 235,000 | | | B | | Allegheny Technologies Inc., Senior Unsecured Notes, 7.875% due 8/15/23 | | | 252,331 | |
| | | | | | | | | | |
| | | | | | Total Iron/Steel | | | 288,206 | |
| | | | | | | | | | |
| | Leisure Time — 1.4% | |
| | 100,000 | | | BBB- | | Brunswick Corp., Senior Unsecured Notes, 4.625% due 5/15/21(a) | | | 99,753 | |
| | 106,000 | | | BB+ | | NCL Corp., Ltd., Senior Unsecured Notes, 4.750% due 12/15/21(a) | | | 106,928 | |
| | 85,000 | | | BBB- | | Silversea Cruise Finance Ltd., Senior Secured Notes, 7.250% due 2/1/25(a) | | | 92,756 | |
| | 455,000 | | | B | | Viking Cruises Ltd., Company Guaranteed Notes, 5.875% due 9/15/27(a) | | | 448,175 | |
| | 70,000 | | | BB- | | VOC Escrow Ltd., Senior Secured Notes, 5.000% due 2/15/28(a) | | | 67,783 | |
| | | | | | | | | | |
| | | | | | Total Leisure Time | | | 815,395 | |
| | | | | | | | | | |
See Notes to Financial Statements.
213
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Lodging — 1.3% | |
$
| 162,832
|
| | NR | | Bossier Casino Venture Holdco Inc., Senior Secured Notes, 14.000% (14.000% cash or 14.310% PIK) due 2/9/23#(a)(e)(g)(i) | | $ | 162,832 | |
| | 160,000 | | | BB+ | | Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Company Guaranteed Notes, 4.875% due 4/1/27 | | | 157,800 | |
| | 35,000 | | | CCC | | Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp., Secured Notes, 10.250% due 11/15/22(a) | | | 38,150 | |
| | | | | | MGM Resorts International, Company Guaranteed Notes: | | | | |
| | 175,000 | | | BB- | | 7.750% due 3/15/22 | | | 192,718 | |
| | 60,000 | | | BB- | | 5.750% due 6/15/25 | | | 60,720 | |
| | 100,000 | | | BB- | | 4.625% due 9/1/26 | | | 94,750 | |
| | 40,000 | | | B- | | Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., Senior Secured Notes, 5.875% due 5/15/25(a) | | | 37,450 | |
| | 15,000 | | | BB- | | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., Company Guaranteed Notes, 5.250% due 5/15/27(a) | | | 14,044 | |
| | | | | | | | | | |
| | | | | | Total Lodging | | | 758,464 | |
| | | | | | | | | | |
| | Machinery — Construction & Mining — 0.5% | |
| | 235,000 | | | B | | BlueLine Rental Finance Corp./BlueLine Rental LLC, Secured Notes, 9.250% due 3/15/24(a) | | | 247,338 | |
| | 30,000 | | | BB+ | | BWX Technologies Inc., Company Guaranteed Notes, 5.375% due 7/15/26(a) | | | 30,375 | |
| | | | | | | | | | |
| | | | | | Total Machinery — Construction & Mining | | | 277,713 | |
| | | | | | | | | | |
| | Machinery — Diversified — 0.7% | |
| | 70,000 | | | B | | Cleaver-Brooks Inc., Senior Secured Notes, 7.875% due 3/1/23(a) | | | 72,450 | |
| | 192,000 | | | B | | Cloud Crane LLC, Secured Notes, 10.125% due 8/1/24(a) | | | 209,280 | |
| | 30,000 | | | B | | MAI Holdings Inc., (Restricted, cost — $30,000, acquired 6/14/18), Senior Secured Notes, 9.500% due 6/1/23(h) | | | 31,125 | |
| | 80,000 | | | CCC+ | | Titan Acquisition Ltd./Titan Co-Borrower LLC, Senior Unsecured Notes, 7.750% due 4/15/26(a) | | | 68,876 | |
| | | | | | | | | | |
| | | | | | Total Machinery — Diversified | | | 381,731 | |
| | | | | | | | | | |
| | Media — 5.1% | |
| | 510,000 | | | B | | Altice France SA, Senior Secured Notes, 7.375% due 5/1/26(a) | | | 502,988 | |
| | 60,000 | | | B- | | CBS Radio Inc., Company Guaranteed Notes, 7.250% due 11/1/24(a) | | | 57,750 | |
| | | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | | | | |
| | 355,000 | | | BB | | 5.875% due 4/1/24(a) | | | 362,988 | |
| | 40,000 | | | BB | | 5.750% due 2/15/26(a) | | | 40,100 | |
| | 120,000 | | | BB | | 5.125% due 5/1/27(a) | | | 114,750 | |
| | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | | |
| | 210,000 | | | BBB- | | 4.908% due 7/23/25 | | | 214,758 | |
| | 90,000 | | | BBB- | | 6.484% due 10/23/45 | | | 96,466 | |
| | 100,000 | | | CCC+ | | Clear Channel Worldwide Holdings Inc., Company Guaranteed Notes, 7.625% due 3/15/20 | | | 100,750 | |
| | | | | | CSC Holdings LLC, Senior Unsecured Notes: | | | | |
| | 100,000 | | | B- | | 6.750% due 11/15/21 | | | 106,250 | |
| | 169,000 | | | B- | | 10.875% due 10/15/25(a) | | | 197,096 | |
| | | | | | DISH DBS Corp., Company Guaranteed Notes: | | | | |
| | 20,000 | | | B | | 6.750% due 6/1/21. | | | 20,350 | |
| | 80,000 | | | B | | 5.875% due 11/15/24 | | | 69,900 | |
| | 410,000 | | | B | | 7.750% due 7/1/26 | | | 371,562 | |
| | | | | | DISH Network Corp., Senior Unsecured Notes: | | | | |
| | 50,000 | | | CCC+ | | 2.375% due 3/15/24 | | | 44,075 | |
| | 15,000 | | | CCC+ | | 3.375% due 8/15/26 | | | 14,147 | |
| | 40,000 | | | BB- | | EW Scripps Co. (The), Company Guaranteed Notes, 5.125% due 5/15/25(a) | | | 38,300 | |
| | 1,124 | | | C | | LBI Media Inc., Secured Notes, 13.500% (8.750% cash or 2.750% PIK) due 4/15/20(a)(e) | | | 202 | |
| | 4,000 | | | CCC+ | | McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance, Senior Unsecured Notes, 7.875% due 5/15/24(a) | | | 3,535 | |
| | 80,000 | | | B | | Meredith Corp., Company Guaranteed Notes, 6.875% due 2/1/26(a) | | | 81,200 | |
See Notes to Financial Statements.
214
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Media — 5.1% — (continued) | |
| | | | | | Sirius XM Radio Inc., Company Guaranteed Notes: | | | | |
| $ | 225,000 | | | BB | | 6.000% due 7/15/24(a) | | $ | 234,360 | |
| | 8,000 | | | BB | | 5.000% due 8/1/27(a) | | | 7,770 | |
| | 70,000 | | | BBB- | | Time Warner Cable LLC, Senior Secured Notes, 7.300% due 7/1/38 | | | 81,704 | |
| | 80,000 | | | BB- | | Univision Communications Inc., Senior Secured Notes, 5.125% due 2/15/25(a) | | | 73,600 | |
| | 129,000 | | | B | | Virgin Media Finance PLC, Company Guaranteed Notes, 6.375% due 4/15/23(a) | | | 133,515 | |
| | | | | | | | | | |
| | | | | | Total Media | | | 2,968,116 | |
| | | | | | | | | | |
| | Metal Fabricate/Hardware — 0.4% | |
| | 150,000 | | | B+ | | Novelis Corp., Company Guaranteed Notes, 5.875% due 9/30/26(a) | | | 146,445 | |
| | 89,000 | | | B | | Park-Ohio Industries Inc., Company Guaranteed Notes, 6.625% due 4/15/27 | | | 91,448 | |
| | | | | | | | | | |
| | | | | | Total Metal Fabricate/Hardware | | | 237,893 | |
| | | | | | | | | | |
| | Mining — 3.0% | |
| | 200,000 | | | BB+ | | Alcoa Nederland Holding BV, Company Guaranteed Notes, 6.125% due 5/15/28(a) | | | 207,000 | |
| | 100,000 | | | B | | Eldorado Gold Corp., Company Guaranteed Notes, 6.125% due 12/15/20(a) | | | 94,250 | |
| | | | | | First Quantum Minerals Ltd., Company Guaranteed Notes: | | | | |
| | 260,000 | | | B | | 7.250% due 4/1/23(a) | | | 254,800 | |
| | 200,000 | | | B | | 7.500% due 4/1/25(a) | | | 193,250 | |
| | 420,000 | | | BB- | | Freeport-McMoRan Inc., Company Guaranteed Notes, 5.450% due 3/15/43 | | | 376,782 | |
| | 320,000 | | | B+ | | HudBay Minerals Inc., Company Guaranteed Notes, 7.625% due 1/15/25(a) | | | 326,800 | |
| | 177,135 | | | WR(b) | | Midwest Vanadium Pty Ltd., Senior Secured Notes, 11.500% due 2/15/18(a)(g)(j) | | | 2,000 | |
| | 110,000 | | | B | | New Gold Inc., Company Guaranteed Notes, 6.375% due 5/15/25(a) | | | 94,050 | |
| | 80,000 | | | BB- | | Northwest Acquisitions ULC/Dominion Finco Inc., Secured Notes, 7.125% due 11/1/22(a) | | | 81,900 | |
| | 140,000 | | | BB+ | | Teck Resources Ltd., Company Guaranteed Notes, 6.250% due 7/15/41 | | | 148,092 | |
| | | | | | | | | | |
| | | | | | Total Mining | | | 1,778,924 | |
| | | | | | | | | | |
| | Miscellaneous Manufacturers — 0.1% | |
| | 80,000 | | | B | | FXI Holdings Inc., Senior Secured Notes, 7.875% due 11/1/24(a) | | | 77,300 | |
| | | | | | | | | | |
| | Oil & Gas — 10.6% | |
| | | | | | Antero Resources Corp., Company Guaranteed Notes: | | | | |
| | 135,000 | | | BB+ | | 5.125% due 12/1/22 | | | 137,025 | |
| | 5,000 | | | BB+ | | 5.625% due 6/1/23 | | | 5,170 | |
| | | | | | Berry Petroleum Co. LLC: | | | | |
| | 60,000 | | | B+ | | Company Guaranteed Notes, 7.000% due 2/15/26(a) | | | 62,232 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 310,000 | | | NR | | 6.750% due 11/1/20#(g)(i) | | | — | |
| | 790,000 | | | NR | | 6.375% due 9/15/22#(g)(i) | | | — | |
| | 70,000 | | | B+ | | Carrizo Oil & Gas Inc., Company Guaranteed Notes, 8.250% due 7/15/25 | | | 75,425 | |
| | 120,000 | | | BB- | | Centennial Resource Production LLC, Company Guaranteed Notes, 5.375% due 1/15/26(a) | | | 118,200 | |
| | | | | | Chesapeake Energy Corp., Company Guaranteed Notes: | | | | |
| | 120,000 | | | CCC+ | | 5.750% due 3/15/23 | | | 117,000 | |
| | 190,000 | | | CCC+ | | 5.500% due 9/15/26 | | | 184,382 | |
| | 150,000 | | | BBB- | | Continental Resources Inc., Company Guaranteed Notes, 4.900% due 6/1/44 | | | 149,524 | |
| | 90,000 | | | B | | Covey Park Energy LLC/Covey Park Finance Corp., Company Guaranteed Notes, 7.500% due 5/15/25(a) | | | 92,138 | |
| | 245,000 | | | BB- | | CrownRock LP/CrownRock Finance Inc., Senior Unsecured Notes, 5.625% due 10/15/25(a) | | | 238,875 | |
| | 181,000 | | | BB- | | CVR Refining LLC/Coffeyville Finance Inc., Company Guaranteed Notes, 6.500% due 11/1/22 | | | 185,525 | |
| | | | | | Diamondback Energy Inc., Company Guaranteed Notes: | | | | |
| | 50,000 | | | BB | | 4.750% due 11/1/24 | | | 50,500 | |
| | 280,000 | | | BB | | 5.375% due 5/31/25 | | | 287,350 | |
| | | | | | Endeavor Energy Resources LP/EER Finance Inc., Senior Unsecured Notes: | | | | |
| | 10,000 | | | BB- | | 5.500% due 1/30/26(a) | | | 10,025 | |
| | 250,000 | | | BB- | | 5.750% due 1/30/28(a) | | | 250,313 | |
See Notes to Financial Statements.
215
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Oil & Gas — 10.6% — (continued) | |
| | | | | | EP Energy LLC/Everest Acquisition Finance Inc.: | | | | |
| $ | 200,000 | | | CCC- | | Company Guaranteed Notes, 6.375% due 6/15/23 | | $ | 128,000 | |
| | | | | | Secured Notes: | | | | |
| | 80,000 | | | CCC- | | 9.375% due 5/1/24(a) | | | 63,400 | |
| | 50,000 | | | CCC- | | 8.000% due 2/15/25(a) | | | 36,375 | |
| | 30,000 | | | B | | Senior Secured Notes, 7.750% due 5/15/26(a) | | | 30,750 | |
| | | | | | Extraction Oil & Gas Inc., Company Guaranteed Notes: | | | | |
| | 140,000 | | | B | | 7.375% due 5/15/24(a) | | | 143,150 | |
| | 215,000 | | | B | | 5.625% due 2/1/26(a) | | | 202,369 | |
| | 120,000 | | | CCC+ | | Great Western Petroleum LLC/Great Western Finance Corp., Senior Unsecured Notes, 9.000% due 9/30/21(a) | | | 123,900 | |
| | | | | | Gulfport Energy Corp., Company Guaranteed Notes: | | | | |
| | 125,000 | | | BB- | | 6.625% due 5/1/23 | | | 128,125 | |
| | 90,000 | | | BB- | | 6.375% due 5/15/25 | | | 89,550 | |
| | 12,000 | | | B | | Jagged Peak Energy LLC, Company Guaranteed Notes, 5.875% due 5/1/26(a) | | | 11,850 | |
| | 90,000 | | | BB- | | Matador Resources Co., Senior Unsecured Notes, 5.875% due 9/15/26(a) | | | 91,818 | |
| | 150,000 | | | BB- | | MEG Energy Corp., Company Guaranteed Notes, 7.000% due 3/31/24(a) | | | 136,875 | |
| | 170,000 | | | BB+ | | Murphy Oil USA Inc., Company Guaranteed Notes, 5.625% due 5/1/27 | | | 170,213 | |
| | | | | | Nabors Industries Inc., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BB | | 4.625% due 9/15/21 | | | 9,985 | |
| | 40,000 | | | BB | | 5.750% due 2/1/25(a) | | | 38,584 | |
| | | | | | Oasis Petroleum Inc., Company Guaranteed Notes: | | | | |
| | 67,000 | | | BB- | | 6.875% due 3/15/22 | | | 68,340 | |
| | 50,000 | | | BB- | | 6.250% due 5/1/26(a) | | | 50,937 | |
| | | | | | Parsley Energy LLC/Parsley Finance Corp., Company Guaranteed Notes: | | | | |
| | 105,000 | | | BB- | | 5.250% due 8/15/25(a) | | | 104,737 | |
| | 65,000 | | | BB- | | 5.625% due 10/15/27(a) | | | 65,975 | |
| | | | | | PBF Holding Co. LLC/PBF Finance Corp., Company Guaranteed Notes: | | | | |
| | 135,000 | | | BB | | 7.000% due 11/15/23 | | | 141,750 | |
| | 173,000 | | | BB | | 7.250% due 6/15/25 | | | 182,947 | |
| | 915,000 | | | NR | | Peabody Energy Corp., Senior Secured Notes, 10.000% due 3/15/22#(i) | | | — | |
| | 100,000 | | | BB- | | Petrobras Global Finance BV, Company Guaranteed Notes, 7.375% due 1/17/27 | | | 99,370 | |
| | 55,000 | | | BB | | Precision Drilling Corp., Company Guaranteed Notes, 7.125% due 1/15/26(a) | | | 56,719 | |
| | 30,000 | | | B | | Pride International LLC, Company Guaranteed Notes, 7.875% due 8/15/40 | | | 28,125 | |
| | 123,000 | | | BB | | QEP Resources Inc., Senior Unsecured Notes, 5.625% due 3/1/26 | | | 118,080 | |
| | 185,000 | | | BB | | Seven Generations Energy Ltd., Company Guaranteed Notes, 5.375% due 9/30/25(a) | | | 179,913 | |
| | 230,000 | | | B- | | Shelf Drilling Holdings Ltd., Company Guaranteed Notes, 8.250% due 2/15/25(a) | | | 236,613 | |
| | | | | | SM Energy Co., Senior Unsecured Notes: | | | | |
| | 130,000 | | | BB- | | 6.750% due 9/15/26 | | | 135,362 | |
| | 35,000 | | | BB- | | 6.625% due 1/15/27 | | | 36,139 | |
| | | | | | Sunoco LP/Sunoco Finance Corp., Company Guaranteed Notes: | | | | |
| | 110,000 | | | BB- | | 4.875% due 1/15/23(a) | | | 108,794 | |
| | 48,000 | | | BB- | | 5.500% due 2/15/26(a) | | | 46,080 | |
| | 100,000 | | | B | | Teine Energy Ltd., Senior Unsecured Notes, 6.875% due 9/30/22(a) | | | 101,000 | |
| | 95,000 | | | B+ | | Transocean Guardian Ltd., Senior Secured Notes, 5.875% due 1/15/24(a) | | | 95,831 | |
| | | | | | Transocean Inc., Company Guaranteed Notes: | | | | |
| | 80,000 | | | B | | 7.500% due 1/15/26(a) | | | 81,700 | |
| | 80,000 | | | B- | | 6.800% due 3/15/38 | | | 66,300 | |
| | 100,000 | | | B+ | | Transocean Pontus Ltd., Senior Secured Notes, 6.125% due 8/1/25(a) | | | 102,250 | |
| | 265,000 | | | BB- | | Trinidad Drilling Ltd., Company Guaranteed Notes, 6.625% due 2/15/25(a) | | | 263,675 | |
| | | | | | Whiting Petroleum Corp.: | | | | |
| | 30,000 | | | BB | | Company Guaranteed Notes, 5.750% due 3/15/21 | | | 30,825 | |
| | 100,000 | | | BB | | Senior Unsecured Notes, 6.625% due 1/15/26 | | | 104,375 | |
See Notes to Financial Statements.
216
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Oil & Gas — 10.6% — (continued) | |
| | | | | | WildHorse Resource Development Corp., Company Guaranteed Notes: | | | | |
| $ | 120,000 | | | B | | 6.875% due 2/1/25 | | $ | 121,500 | |
| | 5,000 | | | B | | 6.875% due 2/1/25(a) | | | 5,063 | |
| | | | | | WPX Energy Inc., Senior Unsecured Notes: | | | | |
| | 150,000 | | | BB- | | 8.250% due 8/1/23 | | | 171,000 | |
| | 30,000 | | | BB- | | 5.750% due 6/1/26 | | | 30,375 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 6,202,403 | |
| | | | | | | | | | |
| | Oil & Gas Services — 0.2% | |
| | 25,000 | | | BB- | | SESI LLC, Company Guaranteed Notes, 7.750% due 9/15/24 | | | 25,938 | |
| | | | | | Weatherford International Ltd., Company Guaranteed Notes: | | | | |
| | 55,000 | | | B- | | 8.250% due 6/15/23 | | | 51,287 | |
| | 55,000 | | | B- | | 9.875% due 2/15/24 | | | 52,250 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas Services | | | 129,475 | |
| | | | | | | | | | |
| | Packaging & Containers — 2.1% | |
| | | | | | Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Company Guaranteed Notes: | | | | |
| | 250,000 | | | B | | 7.250% due 5/15/24(a) | | | 263,750 | |
| | 200,000 | | | B | | 6.000% due 2/15/25(a) | | | 196,000 | |
| | 70,000 | | | BB- | | Berry Global Inc., Secured Notes, 4.500% due 2/15/26(a) | | | 65,800 | |
| | 25,000 | | | B+ | | Crown Americas LLC/Crown Americas Capital Corp. V, Company Guaranteed Notes, 4.250% due 9/30/26 | | | 23,000 | |
| | 160,000 | | | B+ | | Crown Americas LLC/Crown Americas Capital Corp. VI, Company Guaranteed Notes, 4.750% due 2/1/26(a) | | | 154,000 | |
| | 80,000 | | | CCC+ | | Flex Acquisition Co., Inc., Senior Unsecured Notes, 7.875% due 7/15/26(a) | | | 80,300 | |
| | | | | | Pactiv LLC, Senior Unsecured Notes: | | | | |
| | 40,000 | | | B- | | 7.950% due 12/15/25 | | | 43,600 | |
| | 180,000 | | | B- | | 8.375% due 4/15/27 | | | 196,200 | |
| | 205,000 | | | B- | | Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Company Guaranteed Notes, 7.000% due 7/15/24(a) | | | 208,664 | |
| | | | | | | | | | |
| | | | | | Total Packaging & Containers | | | 1,231,314 | |
| | | | | | | | | | |
| | Pharmaceuticals — 4.6% | |
| | | | | | Bausch Health Cos., Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 45,000 | | | B- | | 7.500% due 7/15/21(a) | | | 45,799 | |
| | 25,000 | | | B- | | 5.625% due 12/1/21(a) | | | 24,844 | |
| | 90,000 | | | B- | | 5.500% due 3/1/23(a) | | | 85,287 | |
| | 35,000 | | | B- | | 6.125% due 4/15/25(a) | | | 32,681 | |
| | 80,000 | | | B- | | 9.000% due 12/15/25(a) | | | 84,900 | |
| | 80,000 | | | B- | | 9.250% due 4/1/26(a) | | | 85,062 | |
| | 76,000 | | | B- | | 8.500% due 1/31/27(a) | | | 78,280 | |
| | | | | | Senior Secured Notes: | | | | |
| | 450,000 | | | BB- | | 7.000% due 3/15/24(a) | | | 476,438 | |
| | 200,000 | | | BB- | | 5.500% due 11/1/25(a) | | | 200,250 | |
| | 649,000 | | | B- | | BioScrip Inc. First Lien Notes, (Restricted, cost — $644,072, acquired 6/26/17), Senior Secured Notes, 8.875% due 8/15/20(c)(g)(h)(i) | | | 678,167 | |
| | | | | | Endo Finance LLC/Endo Finco Inc., Company Guaranteed Notes: | | | | |
| | 50,000 | | | CCC+ | | 7.250% due 1/15/22(a) | | | 48,250 | |
| | 40,000 | | | CCC+ | | 5.375% due 1/15/23(a) | | | 34,400 | |
| | 60,000 | | | BB- | | HLF Financing Sarl LLC / Herbalife International Inc., Senior Unsecured Notes, 7.250% due 8/15/26(a) | | | 60,921 | |
| | 236,000 | | | B+ | | inVentiv Group Holdings Inc./inVentiv Health Inc./inVentiv Health Clinical Inc., Company Guaranteed Notes, 7.500% due 10/1/24(a) | | | 250,776 | |
| | 140,000 | | | CCC+ | | NVA Holdings Inc., Company Guaranteed Notes, 6.875% due 4/1/26(a) | | | 139,825 | |
See Notes to Financial Statements.
217
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Pharmaceuticals — 4.6% — (continued) | |
| | | | | | Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes: | | | | |
| $ | 80,000 | | | BB | | 2.200% due 7/21/21 | | $ | 74,871 | |
| | 15,000 | | | BB | | 3.150% due 10/1/26 | | | 12,464 | |
| | 270,000 | | | B- | | Vizient Inc., Senior Unsecured Notes, 10.375% due 3/1/24(a) | | | 296,325 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 2,709,540 | |
| | | | | | | | | | |
| | Pipelines — 3.3% | |
| | 180,000 | | | BB+ | | Antero Midstream Partners LP/Antero Midstream Finance Corp., Company Guaranteed Notes, 5.375% due 9/15/24 | | | 182,250 | |
| | | | | | Blue Racer Midstream LLC/Blue Racer Finance Corp.: | | | | |
| | 100,000 | | | B | | Company Guaranteed Notes, 6.125% due 11/15/22(a) | | | 102,498 | |
| | 80,000 | | | B | | Senior Unsecured Notes, 6.625% due 7/15/26(a) | | | 80,800 | |
| | | | | | Cheniere Corpus Christi Holdings LLC, Senior Secured Notes: | | | | |
| | 350,000 | | | BB- | | 7.000% due 6/30/24 | | | 388,500 | |
| | 100,000 | | | BB- | | 5.125% due 6/30/27 | | | 102,125 | |
| | 20,000 | | | NR | | Cheniere Energy Inc., Senior Unsecured Notes, 4.250% due 3/15/45 | | | 15,934 | |
| | 80,000 | | | BB | | Cheniere Energy Partners LP, Senior Secured Notes, 5.250% due 10/1/25 | | | 80,200 | |
| | 80,000 | | | BB | | DCP Midstream Operating LP, Company Guaranteed Notes, 6.750% due 9/15/37(a) | | | 86,500 | |
| | 110,000 | | | B+ | | Genesis Energy LP/Genesis Energy Finance Corp., Company Guaranteed Notes, 6.000% due 5/15/23 | | | 108,763 | |
| | 80,000 | | | BBB- | | NGPL PipeCo LLC, Senior Unsecured Notes, 7.768% due 12/15/37(a) | | | 99,200 | |
| | 100,000 | | | BB | | Plains All American Pipeline LP, Junior Subordinated Notes, 6.125% (3-Month USD-LIBOR + 4.110%)(c)(d) | | | 98,000 | |
| | | | | | Rockies Express Pipeline LLC, Senior Unsecured Notes: | | | | |
| | 90,000 | | | BBB- | | 7.500% due 7/15/38(a) | | | 107,550 | |
| | 130,000 | | | BBB- | | 6.875% due 4/15/40(a) | | | 151,450 | |
| | | | | | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes: | | | | |
| | 60,000 | | | BB- | | 4.250% due 11/15/23 | | | 58,350 | |
| | 80,000 | | | BB- | | 5.875% due 4/15/26(a) | | | 82,100 | |
| | 150,000 | | | BBB | | Williams Cos., Inc. (The), Senior Unsecured Notes, 8.750% due 3/15/32 | | | 201,562 | |
| | | | | | | | | | |
| | | | | | Total Pipelines | | | 1,945,782 | |
| | | | | | | | | | |
| | Private Equity — 0.2% | |
| | 125,000 | | | BB+ | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., Company Guaranteed Notes, 6.250% due 2/1/22 | | | 128,738 | |
| | | | | | | | | | |
| | Real Estate — 1.1% | |
| | 265,000 | | | B | | Five Point Operating Co. LP/Five Point Capital Corp., Company Guaranteed Notes, 7.875% due 11/15/25(a) | | | 268,975 | |
| | 205,000 | | | BB- | | Greystar Real Estate Partners LLC, Senior Secured Notes, 5.750% due 12/1/25(a) | | | 200,900 | |
| | 80,000 | | | BB- | | Hunt Cos., Inc., Senior Secured Notes, 6.250% due 2/15/26(a) | | | 75,000 | |
| | 80,000 | | | B+ | | WeWork Cos., Inc., Company Guaranteed Notes, 7.875% due 5/1/25(a) | | | 77,912 | |
| | | | | | | | | | |
| | | | | | Total Real Estate | | | 622,787 | |
| | | | | | | | | | |
| | Real Estate Investment Trusts (REITs) — 1.3% | |
| | | | | | CoreCivic Inc., Company Guaranteed Notes: | | | | |
| | 50,000 | | | BB | | 5.000% due 10/15/22 | | | 50,125 | |
| | 90,000 | | | BB | | 4.750% due 10/15/27 | | | 81,000 | |
| | 60,000 | | | BB | | CTR Partnership LP/CareTrust Capital Corp., Company Guaranteed Notes, 5.250% due 6/1/25 | | | 58,650 | |
| | 80,000 | | | BB- | | ESH Hospitality Inc., Company Guaranteed Notes, 5.250% due 5/1/25(a) | | | 77,700 | |
| | 100,000 | | | B+ | | GEO Group Inc. (The), Company Guaranteed Notes, 5.125% due 4/1/23 | | | 97,000 | |
| | 80,000 | | | BB- | | MGP Escrow Issuer LLC, Company Guaranteed Notes, 4.500% due 9/1/26 | | | 76,600 | |
| | 50,000 | | | BBB- | | MPT Operating Partnership LP/MPT Finance Corp., Company Guaranteed Notes, 5.000% due 10/15/27 | | | 49,125 | |
See Notes to Financial Statements.
218
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Real Estate Investment Trusts (REITs) — 1.3% — (continued) | |
| $ | 40,000 | | | B- | | Uniti Group LP/Uniti Group Finance Inc./CSL Capital LLC, Senior Secured Notes, 6.000% due 4/15/23(a) | | $ | 38,500 | |
| | 201,754 | | | BB | | VICI Properties 1 LLC/VICI FC Inc., Secured Notes, 8.000% due 10/15/23 | | | 223,947 | |
| | | | | | | | | | |
| | | | | | Total Real Estate Investment Trusts (REITs) | | | 752,647 | |
| | | | | | | | | | |
| | Retail — 2.4% | |
| | | | | | 1011778 BC ULC/New Red Finance Inc.: | | | | |
| | 232,000 | | | B- | | Secured Notes, 5.000% due 10/15/25(a) | | | 225,040 | |
| | 50,000 | | | B+ | | Senior Secured Notes, 4.250% due 5/15/24(a) | | | 47,875 | |
| | 80,000 | | | B+ | | Beacon Roofing Supply Inc., Company Guaranteed Notes, 4.875% due 11/1/25(a) | | | 74,200 | |
| | 60,000 | | | BB+ | | Brinker International Inc., Company Guaranteed Notes, 5.000% due 10/1/24(a) | | | 58,050 | |
| | 100,000 | | | B- | | Carrols Restaurant Group Inc., Secured Notes, 8.000% due 5/1/22 | | | 104,375 | |
| | 80,000 | | | BB | | FirstCash Inc., Company Guaranteed Notes, 5.375% due 6/1/24(a) | | | 80,400 | |
| | | | | | Golden Nugget Inc.: | | | | |
| | 225,000 | | | CCC+ | | Company Guaranteed Notes, 8.750% due 10/1/25(a) | | | 237,937 | |
| | 100,000 | | | CCC+ | | Senior Unsecured Notes, 6.750% due 10/15/24(a) | | | 101,875 | |
| | 95,000 | | | CCC+ | | IRB Holding Corp., Company Guaranteed Notes, 6.750% due 2/15/26(a) | | | 90,963 | |
| | 110,000 | | | BB | | L Brands Inc., Company Guaranteed Notes, 5.250% due 2/1/28 | | | 94,737 | |
| | | | | | Party City Holdings Inc., Company Guaranteed Notes: | | | | |
| | 25,000 | | | B- | | 6.125% due 8/15/23(a) | | | 25,500 | |
| | 105,000 | | | B- | | 6.625% due 8/1/26(a) | | | 106,050 | |
| | 70,000 | | | BB- | | Sally Holdings LLC/Sally Capital Inc., Company Guaranteed Notes, 5.625% due 12/1/25 | | | 64,575 | |
| | 70,000 | | | BB- | | Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Unsecured Notes, 5.875% due 3/1/27 | | | 66,500 | |
| | | | | | | | | | |
| | | | | | Total Retail | | | 1,378,077 | |
| | | | | | | | | | |
| | Semiconductors — 0.4% | |
| | 105,000 | | | BB- | | Entegris Inc., Company Guaranteed Notes, 4.625% due 2/10/26(a) | | | 101,719 | |
| | 100,000 | | | BB+ | | Sensata Technologies UK Financing Co. PLC, Company Guaranteed Notes, 6.250% due 2/15/26(a) | | | 105,625 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors | | | 207,344 | |
| | | | | | | | | | |
| | Software — 2.3% | |
| | | | | | CDK Global Inc., Senior Unsecured Notes: | | | | |
| | 80,000 | | | BB+ | | 5.875% due 6/15/26 | | | 82,331 | |
| | 70,000 | | | BB+ | | 4.875% due 6/1/27 | | | 69,125 | |
| | 80,000 | | | B | | Donnelley Financial Solutions Inc., Company Guaranteed Notes, 8.250% due 10/15/24 | | | 84,000 | |
| | 350,000 | | | B+ | | First Data Corp., Secured Notes, 5.750% due 1/15/24(a) | | | 358,313 | |
| | 215,000 | | | BB | | j2 Cloud Services LLC/j2 Global Co-Obligor Inc., Company Guaranteed Notes, 6.000% due 7/15/25(a) | | | 222,256 | |
| | 175,000 | | | CCC+ | | Riverbed Technology Inc., Company Guaranteed Notes, 8.875% due 3/1/23(a) | | | 162,531 | |
| | 150,000 | | | CCC+ | | Solera LLC/Solera Finance Inc., Senior Unsecured Notes, 10.500% due 3/1/24(a) | | | 165,375 | |
| | 200,000 | | | B | | Veritas US Inc./Veritas Bermuda Ltd., Senior Secured Notes, 7.500% due 2/1/23(a) | | | 192,500 | |
| | | | | | | | | | |
| | | | | | Total Software | | | 1,336,431 | |
| | | | | | | | | | |
| | Telecommunications — 5.8% | |
| | | | | | CenturyLink Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | B+ | | 6.450% due 6/15/21 | | | 52,250 | |
| | 50,000 | | | B+ | | 6.750% due 12/1/23(f) | | | 52,250 | |
| | | | | | CommScope Technologies LLC, Company Guaranteed Notes: | | | | |
| | 224,000 | | | BB- | | 6.000% due 6/15/25(a) | | | 232,960 | |
| | 60,000 | | | BB- | | 5.000% due 3/15/27(a) | | | 58,500 | |
| | 10,000 | | | NR | | Finisar Corp., Senior Unsecured Notes, 0.500% due 12/15/36 | | | 9,240 | |
| | 30,000 | | | CCC+ | | Frontier Communications Corp., Senior Unsecured Notes, 10.500% due 9/15/22 | | | 26,550 | |
| | 40,000 | | | NR | | GCI Liberty Inc., Senior Unsecured Notes, 1.750% due 9/30/46(a) | | | 42,005 | |
| | 120,000 | | | BB- | | Hughes Satellite Systems Corp., Company Guaranteed Notes, 6.625% due 8/1/26 | | | 115,200 | |
See Notes to Financial Statements.
219
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Telecommunications — 5.8% — (continued) | |
| | | | | | Intelsat Jackson Holdings SA: | | | | |
| $ | 120,000 | | | CCC+ | | Company Guaranteed Notes, 5.500% due 8/1/23 | | $ | 109,764 | |
| | 150,000 | | | B | | Senior Secured Notes, 8.000% due 2/15/24(a) | | | 158,250 | |
| | | | | | Level 3 Financing Inc., Company Guaranteed Notes: | | | | |
| | 100,000 | | | BB | | 5.125% due 5/1/23 | | | 100,159 | |
| | 40,000 | | | BB | | 5.375% due 1/15/24 | | | 40,100 | |
| | 90,000 | | | BB | | 5.250% due 3/15/26 | | | 88,434 | |
| | 10,000 | | | B+ | | Level 3 Parent LLC, Senior Unsecured Notes, 5.750% due 12/1/22 | | | 10,100 | |
| | | | | | Sprint Capital Corp., Company Guaranteed Notes: | | | | |
| | 150,000 | | | B | | 6.875% due 11/15/28 | | | 149,250 | |
| | 55,000 | | | B | | 8.750% due 3/15/32 | | | 60,913 | |
| | | | | | Sprint Communications Inc., Senior Unsecured Notes: | | | | |
| | 230,000 | | | B | | 11.500% due 11/15/21 | | | 271,975 | |
| | 15,000 | | | B | | 6.000% due 11/15/22 | | | 15,220 | |
| | | | | | Sprint Corp., Company Guaranteed Notes: | | | | |
| | 310,000 | | | B | | 7.250% due 9/15/21 | | | 325,791 | |
| | 165,000 | | | B | | 7.875% due 9/15/23 | | | 177,994 | |
| | 345,000 | | | B | | 7.625% due 3/1/26 | | | 363,168 | |
| | 240,000 | | | BB+ | | Telecom Italia SpA, Senior Unsecured Notes, 5.303% due 5/30/24(a) | | | 240,300 | |
| | | | | | T-Mobile USA Inc., Company Guaranteed Notes: | | | | |
| | 460,000 | | | BB+ | | 6.500% due 1/15/26 | | | 487,457 | |
| | 45,000 | | | BB+ | | 4.500% due 2/1/26 | | | 42,975 | |
| | 60,000 | | | BB+ | | 4.750% due 2/1/28 | | | 56,583 | |
| | 150,000 | | | CCC | | Windstream Services LLC / Windstream Finance Corp., Secured Notes, 10.500% due 6/30/24(a) | | | 121,500 | |
| | | | | | | | | | |
| | | | | | Total Telecommunications | | | 3,408,888 | |
| | | | | | | | | | |
| | Transportation — 1.2% | |
| | 100,000 | | | B+ | | Con-Way Inc., Senior Unsecured Notes, 6.700% due 5/1/34 | | | 100,500 | |
| | 140,000 | | | B- | | Navios Maritime Acquisition Corp./Navios Acquisition Finance US Inc., Senior Secured Notes, 8.125% due 11/15/21(a) | | | 121,100 | |
| | 9,885 | | | CCC- | | Neovia Logistics Services LLC/Neovia Logistics Intermediate Finance Corp., Senior Unsecured Notes, 10.000% (10.000% cash or 10.750% PIK) due 4/1/20(a)(e) | | | 6,598 | |
| | 190,000 | | | CCC+ | | Neovia Logistics services LLC/SPL Logistics Finance Corp., Senior Secured Notes, 8.875% due 8/1/20(a) | | | 174,563 | |
| | | | | | XPO Logistics Inc., Company Guaranteed Notes: | | | | |
| | 38,000 | | | BB | | 6.500% due 6/15/22(a) | | | 39,395 | |
| | 260,000 | | | BB | | 6.125% due 9/1/23(a) | | | 268,775 | |
| | | | | | | | | | |
| | | | | | Total Transportation | | | 710,931 | |
| | | | | | | | | | |
| | Trucking & Leasing — 1.2% | |
| | 340,000 | | | BB+ | | DAE Funding LLC, Company Guaranteed Notes, 5.000% due 8/1/24(a) | | | 334,900 | |
| | | | | | Park Aerospace Holdings Ltd., Company Guaranteed Notes: | | | | |
| | 80,000 | | | BB | | 5.250% due 8/15/22(a) | | | 81,800 | |
| | 50,000 | | | BB | | 4.500% due 3/15/23(a) | | | 49,563 | |
| | 210,000 | | | BB | | 5.500% due 2/15/24(a) | | | 216,300 | |
| | | | | | | | | | |
| | | | | | Total Trucking & Leasing | | | 682,563 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $51,220,501) | | | 51,366,111 | |
| | | | | | | | | | |
| | SENIOR LOANS — 5.0% | |
| | 80,000 | | | NR | | American Media Inc., (Restricted, cost — $79,483, acquired 6/29/18), 10.334% (3-Month USD-LIBOR + 8.000%) due 9/30/18(g)(h)(i) | | | 79,200 | |
| | 167,854 | | | NR | | Ancestry.com Operations Inc., (Restricted, cost — $168,063, acquired 11/21/17), 5.330% (1-Month USD-LIBOR + 3.250%) due 10/19/23(h) | | | 168,378 | |
See Notes to Financial Statements.
220
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | SENIOR LOANS — 5.0% — (continued) | |
| $ | 315,000 | | | NR | | Asurion LLC, 8.576% (1-Month USD-LIBOR + 6.500%) due 8/4/25 | | $ | 324,711 | |
| | 129,025 | | | NR | | Big River Steel LLC, 7.334% (3-Month USD-LIBOR + 5.000%) due 8/23/23 | | | 131,444 | |
| | 110,000 | | | NR | | Deck Chassis Acquisition Inc., 8.076% (1-Month USD-LIBOR + 6.000%) due 6/15/23 | | | 110,550 | |
| | 256,580 | | | NR | | EIG Investors Corp., 6.060% (3-Month USD-LIBOR + 3.750%/1-Month USD-LIBOR + 3.750%) due 2/9/23 | | | 258,087 | |
| | 220,000 | | | NR | | Graftech International Ltd., 5.576% (1-Month USD-LIBOR + 3.500%) due 2/12/25 | | | 221,650 | |
| | 70,000 | | | NR | | Herbalife Nutrition Ltd., due 8/18/25(k) | | | 70,350 | |
| | 100,000 | | | NR | | Intelsat Jackson Holdings SA, 6.625% due 1/2/24 | | | 105,075 | |
| | 108,799 | | | NR | | Lantheus Medical Imaging Inc., (Restricted, cost — $109,411, acquired 11/29/17), 5.826% (1-Month USD-LIBOR + 3.750%) due 6/30/22(h) | | | 109,343 | |
| | 68,059 | | | NR | | Laureate Education Inc., (Restricted, cost — $67,508, acquired 4/21/17), 5.576% (1-Month USD-LIBOR + 3.500%) due 4/26/24(h) | | | 68,319 | |
| | 96,538 | | | NR | | Murray Energy Corp., (Restricted, cost — $91,498, acquired 6/29/18), 9.326% (1-Month USD-LIBOR + 7.250%) due 10/17/22(h) | | | 90,504 | |
| | 288,550 | | | NR | | Navistar Inc., 5.580% (1-Month USD-LIBOR + 3.500%) due 11/6/24 | | | 289,872 | |
| | 116,781 | | | NR | | Panda Temple Power LLC, (Restricted, cost — $114,822, acquired 2/7/18), 10.067% (1-Month USD-LIBOR + 8.000%) due 2/7/23(h) | | | 118,143 | |
| | 208,055 | | | NR | | PetSmart Inc., (Restricted, cost — $172,495, acquired 12/13/17), 5.090% (1-Month USD-LIBOR + 3.000%) due 3/11/22(h) | | | 179,794 | |
| | 90,000 | | | NR | | Pisces Midco Inc., (Restricted, cost — $89,685, acquired 3/29/18), 6.087% (3-Month USD-LIBOR + 3.750%) due 4/12/25(h) | | | 90,450 | |
| | 280,900 | | | NR | | Press Ganey Holdings Inc., 8.576% (1-Month USD-LIBOR + 6.500%) due 10/21/24 | | | 284,763 | |
| | 114,082 | | | NR | | Radnet Management Inc., (Restricted, cost — $113,847, acquired 8/16/17), 6.113% (3-Month USD-LIBOR + 3.750%/3-Month USD-PRIME + 2.750%) due 6/30/23(h) | | | 115,009 | |
| | 54,786 | | | NR | | SS&C Technologies Holdings Inc., 4.326% (1-Month USD-LIBOR + 2.500%) due 4/16/25 | | | 54,888 | |
| | 75,000 | | | NR | | VeriFone Systems Inc., 6.322% (3-Month USD-LIBOR + 4.000%) due 8/20/25 | | | 75,263 | |
| | | | | | | | | | |
| | | | | | TOTAL SENIOR LOANS
(Cost — $2,908,255) | | | 2,945,793 | |
| | | | | | | | | | |
| | |
| Shares/Units | | | | | | |
| | COMMON STOCKS — 2.0% | |
| | CONSUMER CYCLICAL — 0.4% | |
| | Lodging — 0.4% | |
| | 9,953 | | | | | Bossier Casino Venture Holdco Inc., (Restricted, cost — $19,906, acquired 2/6/12)*#(a)(g)(h)(i) | | | 233,000 | |
| | | | | | | | | | |
| | ENERGY — 1.6% | |
| | Energy — Alternate Sources — 0.3% | |
| | 7,886 | | | | | T1 Power Holdings LLC, (Restricted, cost — $134,062, acquired 2/7/18)*(g)(h)(i) | | | 189,264 | |
| | | | | | | | | | |
| | Energy Equipment & Services — 0.1% | |
| | 17,453 | | | | | Hercules Offshore Inc.*#(g)(i) | | | 4,922 | |
| | 9,541 | | | | | Tricer Holdco S.C.A., (Restricted, cost — $69,128, acquired 4/20/11)*#(g)(h)(i) | | | 35,969 | |
| | | | | | | | | | |
| | | | | | Total Energy Equipment & Services | | | 40,891 | |
| | | | | | | | | | |
| | Oil & Gas — 1.2% | |
| | 35,363 | | | | | Berry Petroleum Corp., (Restricted, cost — $192,962, acquired 3/31/16)*(g)(h) | | | 579,600 | |
| | 24,541 | | | | | Blue Ridge Mountain Resources Inc.*(g) | | | 141,111 | |
| | 11,773 | | | | | PetroQuest Energy Inc., (Restricted, cost — $38,964, acquired 8/17/16)*(h) | | | 1,059 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 721,770 | |
| | | | | | | | | | |
| | | | | | TOTAL ENERGY | | | 951,925 | |
| | | | | | | | | | |
See Notes to Financial Statements.
221
| | | | | | | | | | |
| High Yield Fund | |
| | | |
| Shares/Units | | | Rating†† | | Security | | Value | |
| | FINANCIALS — 0.0% | |
| | Diversified Financial Services — 0.0% | |
| | 559 | | | | | Jack Cooper Holdings Corp., Class B Shares*#(a)(g)(i) | | $ | — | |
| | 68 | | | | | MWO Holdings, ADR, (Restricted, cost — $208,716, acquired 6/30/11)*#(g)(h)(i) | | | — | |
| | | | | | | | | | |
| | | | | | TOTAL FINANCIALS | | | — | |
| | | | | | | | | | |
| | | | | | TOTAL COMMON STOCKS
(Cost — $2,521,458) | | | 1,184,925 | |
| | | | | | | | | | |
| | | |
Face
Amount/Units† | | | | | | | | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 0.6% | |
| $ | 200,000 | | | NR | | JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class E, 4.771% due 8/15/48(a)(c) | | | 140,186 | |
| | 300,000 | | | NR | | Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class E, 3.000% due 5/15/48(a) | | | 194,280 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $343,801) | | | 334,466 | |
| | | | | | | | | | |
| | |
| Shares/Units | | | | | | |
| | PREFERRED STOCKS — 0.5% | |
| | ENERGY — 0.1% | |
| | Energy Equipment & Services — 0.1% | |
| | 4,240,500 | | | | | Tricer Holdco S.C.A., (Restricted, cost — $227,584, acquired 4/20/11)*#(g)(h)(i) | | | 42,405 | |
| | | | | | | | | | |
| | Oil & Gas — 0.0% | |
| | 707 | | | | | Berry Petroleum Co.,*(i) | | | 10,605 | |
| | | | | | | | | | |
| | | | | | TOTAL ENERGY | | | 53,010 | |
| | | | | | | | | | |
| | FINANCIALS — 0.4% | |
| | Banks — 0.4% | |
| | 7,709 | | | | | GMAC Capital Trust I, 8.099% (3-Month USD-LIBOR + 5.785%) due 2/15/40(c) | | | 206,601 | |
| | | | | | | | | | |
| | | | | | TOTAL PREFERRED STOCKS
(Cost — $369,947) | | | 259,611 | |
| | | | | | | | | | |
| | | |
Face
Amount/Units† | | | | | | | | |
| | SOVEREIGN BOND — 0.2% | |
| | Argentina — 0.2% | |
| $ | 150,000 | | | B+ | | Argentine Republic Government International Bonds, 7.500% due 4/22/26
(Cost — $159,450) | | | 124,202 | |
| | | | | | | | | | |
| | |
| Shares/Units | | | | | | |
| | CONVERTIBLE PREFERRED STOCK — 0.0% | |
| | ENERGY — 0.0% | |
| | Oil & Gas — 0.0% | |
| | 1,500 | | | | | Sanchez Energy Corp., 6.500%(d)
(Cost — $65,632) | | | 16,500 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $57,589,044) | | | 56,231,608 | |
| | | | | | | | | | |
See Notes to Financial Statements.
222
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount | | | | | Security | | Value | |
| | SHORT-TERM INVESTMENTS (l) — 3.3% | |
| | MONEY MARKET FUND — 0.2% | |
| $ | 130,211 | | | | | Invesco STIT — Government & Agency Portfolio, 1.820%, Institutional Class(m)
(Cost — $130,211) | | $ | 130,211 | |
| | | | | | | | | | |
| | TIME DEPOSITS — 3.1% | |
| | 521,160 | | | | | BNP Paribas - Paris, 1.280% due 9/4/18 | | | 521,160 | |
| | 1,268,805 | | | | | Deutsche Bank AG — Grand Cayman, 1.280% due 9/4/18 | | | 1,268,805 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $1,789,965) | | | 1,789,965 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $1,920,176) | | | 1,920,176 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 99.5%
(Cost — $59,509,220) | | | 58,151,784 | |
| | | | | | | | | | |
| | | | | | Other Assets in Excess of Liabilities — 0.5% | | | 311,562 | |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 58,463,346 | |
| | | | | | | | | | |
| † | 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. The aggregate value of restricted 144A holdings at August 31, 2018 amounts to approximately $29,662,359 and represents 50.7% of net assets. |
| (b) | Rating by Moody’s Investors Service. All ratings are unaudited. |
| (c) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2018. |
| (d) | Security is perpetual in nature and has no stated maturity date. |
| (e) | Payment in-kind security for which part of the income earned may be paid as additional principal. |
| (f) | All or a portion of this security is on loan (See Note 1). |
| (h) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2018 amounts to approximately $2,809,729 and represents 4.8% of net assets. |
| (i) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (j) | Security is currently in default. |
| (k) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
| (l) | Inclusive of all short-term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 3.1%. |
| (m) | Represents investment of collateral received from securities lending transactions. |
| # | Security that used significant unobservable inputs to determine fair value. |
At August 31, 2018, for High Yield Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost for
Federal Income
Tax Purposes | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net Unrealized
Depreciation | |
High Yield Fund | | $ | 60,055,446 | | | $ | 2,138,315 | | | $ | (4,041,977 | ) | | $ | (1,903,662 | ) |
| | |
Abbreviations used in this schedule: |
| ADR | | — American Depositary Receipts |
| LIBOR | | — London Interbank Offered Rate |
| PLC | | — Public Limited Company |
| PRIME | | — Prime Lending Rate |
See pages 281-282 or definitions of ratings.
See Notes to Financial Statements.
223
| | | | |
| Summary of Investments by Security Type^ | |
Corporate Bonds & Notes | | | 88.3 | % |
Senior Loans | | | 5.1 | |
Common Stocks | | | 2.0 | |
Collateralized Mortgage Obligations | | | 0.6 | |
Preferred Stocks | | | 0.5 | |
Sovereign Bond | | | 0.2 | |
Convertible Preferred Stock | | | 0.0 | * |
Short-Term Investments | | | 3.3 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
| * | Position represents less than 0.05%. |
See Notes to Financial Statements.
224
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
| | CORPORATE BONDS & NOTES — 36.4% | |
| | Canada — 0.2% | |
| $ | 100,000 | | | | | Enbridge Inc., Senior Unsecured Notes, 3.041% (3-Month USD-LIBOR + 0.700%) due 6/15/20(a) | | $ | 100,408 | |
| | 100,000 | EUR | | | | Fairfax Financial Holdings Ltd., Senior Unsecured Notes, 2.750% due 3/29/28(b) | | | 118,127 | |
| | | | | | | | | | |
| | | | | | Total Canada | | | 218,535 | |
| | | | | | | | | | |
| | Cayman Islands — 0.8% | |
| | 200,000 | | | | | KSA Sukuk Ltd., Senior Unsecured Notes, 2.894% due 4/20/22(b) | | | 195,247 | |
| | 200,000 | | | | | Sands China Ltd., Senior Unsecured Notes, 5.400% due 8/8/28(b) | | | 202,292 | |
| | 800,000 | | | | | US Capital Funding II Ltd./US Capital Funding II Corp., Asset Backed, 3.093% (3-Month USD-LIBOR + 0.750%) due 8/1/34(a)(b) | | | 760,000 | |
| | | | | | | | | | |
| | | | | | Total Cayman Islands | | | 1,157,539 | |
| | | | | | | | | | |
| | Curacao — 0.1% | |
| | 100,000 | CHF | | | | Teva Pharmaceutical Finance V BV, Company Guaranteed Notes, 1.500% due 10/25/18 | | | 103,270 | |
| | | | | | | | | | |
| | Denmark — 3.0% | |
| | | | | | BRFkredit AS, Covered Notes: | | | | |
| | 6,983,453 | DKK | | | | 2.000% due 10/1/47 | | | 1,099,214 | |
| | 5,046 | DKK | | | | 3.000% due 10/1/47 | | | 838 | |
| | | | | | Nordea Kredit Realkreditaktieselskab, Covered Notes: | | | | |
| | 309,223 | DKK | | | | 2.500% due 10/1/37 | | | 51,145 | |
| | 2,547,416 | DKK | | | | 2.000% due 10/1/47 | | | 401,049 | |
| | 30,105 | DKK | | | | 2.500% due 10/1/47 | | | 4,899 | |
| | 988,429 | DKK | | | | 2.000% due 10/1/50 | | | 153,696 | |
| | | | | | Nykredit Realkredit AS, Covered Notes: | | | | |
| | 1 | DKK | | | | 2.000% due 10/1/37 | | | — | |
| | 2,601,447 | DKK | | | | 2.500% due 10/1/37 | | | 429,203 | |
| | 3,578,081 | DKK | | | | 2.000% due 10/1/47 | | | 562,893 | |
| | 18,672 | DKK | | | | 2.500% due 10/1/47 | | | 3,037 | |
| | | | | | Realkredit Danmark AS, Covered Notes: | | | | |
| | 1 | DKK | | | | 2.000% due 10/1/37 | | | — | |
| | 2,404,745 | DKK | | | | 2.500% due 10/1/37 | | | 396,843 | |
| | 84,086 | DKK | | | | 2.500% due 7/1/47 | | | 13,657 | |
| | 7,823,913 | DKK | | | | 2.000% due 10/1/47 | | | 1,230,895 | |
| | | | | | | | | | |
| | | | | | Total Denmark | | | 4,347,369 | |
| | | | | | | | | | |
| | France — 1.7% | |
| | 250,000 | | | | | Credit Agricole SA, Senior Unsecured Notes, 3.750% due 4/24/23(b) | | | 246,727 | |
| | 700,000 | | | | | Danone SA, Senior Unsecured Notes, 2.077% due 11/2/21(b) | | | 672,115 | |
| | | | | | Dexia Credit Local SA, Government Liquid Guaranteed Notes: | | | | |
| | 300,000 | | | | | 2.250% due 2/18/20(b) | | | 297,378 | |
| | 1,000,000 | | | | | 1.875% due 9/15/21(b) | | | 965,555 | |
| | 250,000 | | | | | 2.375% due 9/20/22(b) | | | 242,990 | |
| | | | | | | | | | |
| | | | | | Total France | | | 2,424,765 | |
| | | | | | | | | | |
| | Germany — 2.5% | |
| | | | | | Deutsche Bank AG, Senior Unsecured Notes: | | | | |
| | 100,000 | | | | | 3.150% due 1/22/21 | | | 97,796 | |
| | 400,000 | | | | | 3.162% (3-Month USD-LIBOR + 0.815%) due 1/22/21(a) | | | 395,357 | |
| | 800,000 | | | | | 4.250% due 10/14/21 | | | 798,376 | |
| | 600,000 | EUR | | | | Kreditanstalt fuer Wiederaufbau, Government Guaranteed Notes, 0.250% due 9/15/25 | | | 693,828 | |
| | 2,400,000 | NZD | | | | Landwirtschaftliche Rentenbank, Government Guaranteed Notes, 4.750% due 3/12/19 | | | 1,610,779 | |
| | | | | | | | | | |
| | | | | | Total Germany | | | 3,596,136 | |
| | | | | | | | | | |
See Notes to Financial Statements.
225
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
| | Ireland — 1.0% | |
| $ | 800,000 | | | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes, 4.625% due 10/30/20 | | $ | 818,471 | |
| | 200,000 | EUR | | | | Bank of Ireland, Junior Subordinated Notes, 7.375% (5-Year EUR Swap Rate + 6.956%)(a)(c) | | | 251,158 | |
| | 200,000 | | | | | Shire Acquisitions Investments Ireland DAC, Company Guaranteed Notes, 2.400% due 9/23/21 | | | 193,449 | |
| | 200,000 | | | | | SMBC Aviation Capital Finance DAC, Company Guaranteed Notes, 3.000% due 7/15/22(b) | | | 193,139 | |
| | | | | | | | | | |
| | | | | | Total Ireland | | | 1,456,217 | |
| | | | | | | | | | |
| | Italy — 0.7% | |
| | 400,000 | EUR | | | | Banca Carige SpA, Covered Notes, 3.875% due 10/24/18 | | | 466,370 | |
| | | | | | Intesa Sanpaolo SpA, Junior Subordinated Notes: | | | | |
| | 200,000 | EUR | | | | 6.250% (5-Year EUR Swap Rate + 5.856%)(a)(c) | | | 226,308 | |
| | 200,000 | EUR | | | | 7.750% (5-Year EUR Swap Rate + 7.192%)(a)(c) | | | 241,230 | |
| | | | | | | | | | |
| | | | | | Total Italy | | | 933,908 | |
| | | | | | | | | | |
| | Japan — 1.6% | |
| | | | | | Central Nippon Expressway Co., Ltd., Senior Unsecured Notes: | | | | |
| | 800,000 | | | | | 2.881% (3-Month USD-LIBOR + 0.540%) due 8/4/20(a) | | | 801,894 | |
| | 200,000 | | | | | 2.091% due 9/14/21 | | | 192,044 | |
| | 400,000 | | | | | Chugoku Electric Power Co., Inc. (The), Senior Secured Notes, 2.701% due 3/16/20 | | | 397,572 | |
| | 200,000 | | | | | Mizuho Bank Ltd., Company Guaranteed Notes, 2.400% due 3/26/20(b) | | | 197,839 | |
| | 400,000 | | | | | NTT Finance Corp., Senior Unsecured Notes, 1.900% due 7/21/21 | | | 384,192 | |
| | 400,000 | | | | | Sumitomo Mitsui Banking Corp., Bank Guaranteed Notes, 2.686% (3-Month USD-LIBOR + 0.350%) due 1/17/20(a) | | | 401,075 | |
| | | | | | | | | | |
| | | | | | Total Japan | | | 2,374,616 | |
| | | | | | | | | | |
| | Jersey Channel Islands — 0.3% | |
| | 300,000 | GBP | | | | Kennedy Wilson Europe Real Estate Ltd., Senior Unsecured Notes, 3.950% due 6/30/22 | | | 403,464 | |
| | | | | | | | | | |
| | Luxembourg — 0.2% | |
| | 100,000 | | | | | Allergan Funding SCS, Company Guaranteed Notes, 3.450% due 3/15/22 | | | 99,352 | |
| | 200,000 | | | | | NORD/LB Luxembourg SA Covered Bonds Bank, Covered Notes, 2.875% due 2/16/21 | | | 198,477 | |
| | | | | | | | | | |
| | | | | | Total Luxembourg | | | 297,829 | |
| | | | | | | | | | |
| | Netherlands — 2.2% | |
| | 700,000 | CAD | | | | BNG Bank NV, Senior Unsecured Notes, 2.125% due 10/1/19(b) | | | 536,767 | |
| | 300,000 | EUR | | | | Cooperatieve Rabobank UA, Senior Unsecured Notes, 6.875% due 3/19/20 | | | 383,048 | |
| | | | | | ING Bank NV: | | | | |
| | 600,000 | | | | | Covered Notes, 2.625% due 12/5/22(b) | | | 587,259 | |
| 1,000,000
|
| | | | Subordinated Notes, 4.125% (5-Year USD 1100 Run ICE Swap Rate + 2.700%) due 11/21/23(a) | | | 1,003,981 | |
| | 170,000 | | | | | Petrobras Global Finance BV, Company Guaranteed Notes, 6.125% due 1/17/22 | | | 173,995 | |
| | 50,000 | EUR | | | | Stichting AK Rabobank Certificaten, Junior Subordinated Notes, 6.500%(c) | | | 69,494 | |
| | 400,000 | | | | | Syngenta Finance NV, Company Guaranteed Notes, 3.698% due 4/24/20(b) | | | 400,397 | |
| | | | | | | | | | |
| | | | | | Total Netherlands | | | 3,154,941 | |
| | | | | | | | | | |
| | Norway — 0.3% | |
| | 400,000 | | | | | DNB Boligkreditt AS, Covered Notes, 2.500% due 3/28/22(b) | | | 390,549 | |
| | | | | | | | | | |
| | Portugal — 0.1% | |
| | | | | | Banco Espirito Santo SA, Senior Unsecured Notes: | | | | |
| | 200,000 | EUR | | | | 4.750% due 1/15/18(d)(e) | | | 69,070 | |
| | 200,000 | EUR | | | | 4.000% due 1/21/19(d)(e) | | | 70,812 | |
| | | | | | | | | | |
| | | | | | Total Portugal | | | 139,882 | |
| | | | | | | | | | |
See Notes to Financial Statements.
226
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
| | Singapore — 0.1% | |
| $ | 200,000 | | | | | BOC Aviation Ltd., Senior Unsecured Notes, 2.750% due 9/18/22(b) | | $ | 190,993 | |
| | | | | | | | | | |
| | Supranational — 1.4% | |
| | 1,400,000 | NZD | | | | Asian Development Bank, Senior Unsecured Notes, 4.625% due 3/6/19 | | | 938,700 | |
| | | | | | European Investment Bank, Senior Unsecured Notes: | | | | |
| | 500,000 | AUD | | | | 0.500% due 6/21/23 | | | 322,634 | |
| | 800,000 | AUD | | | | 0.500% due 8/10/23 | | | 512,554 | |
| | 200,000 | EUR | | | | European Stability Mechanism, Senior Unsecured Notes, 1.850% due 12/1/55 | | | 246,808 | |
| | | | | | | | | | |
| | | | | | Total Supranational | | | 2,020,696 | |
| | | | | | | | | | |
| | Sweden — 4.7% | |
| | | | | | Lansforsakringar Hypotek AB, Covered Notes: | | | | |
| | 10,100,000 | SEK | | | | 2.250% due 9/21/22 | | | 1,182,826 | |
| | 12,000,000 | SEK | | | | 1.250% due 9/20/23 | | | 1,348,025 | |
| | 10,700,000 | SEK | | | | Nordea Hypotek AB, Covered Notes, 1.000% due 4/8/22 | | | 1,199,215 | |
| | 2,500,000 | SEK | | | | Skandinaviska Enskilda Banken AB, Covered Notes, 1.500% due 12/15/21 | | | 284,980 | |
| | | | | | Stadshypotek AB, Covered Notes: | | | | |
| | 2,000,000 | SEK | | | | 1.500% due 12/15/21 | | | 227,947 | |
| | 8,000,000 | SEK | | | | 4.500% due 9/21/22 | | | 1,018,075 | |
| | | | | | Sveriges Sakerstallda Obligationer AB, Covered Notes: | | | | |
| | 7,000,000 | SEK | | | | 1.250% due 6/15/22 | | | 792,253 | |
| | 2,000,000 | SEK | | | | 2.000% due 6/17/26 | | | 230,705 | |
| | 5,100,000 | SEK | | | | Swedbank Hypotek AB, Covered Notes, 1.000% due 6/15/22 | | | 571,984 | |
| | | | | | | | | | |
| | | | | | Total Sweden | | | 6,856,010 | |
| | | | | | | | | | |
| | Switzerland — 1.5% | |
| | 300,000 | | | | | Credit Suisse Group AG, Senior Unsecured Notes, 2.997% (3-Month USD-LIBOR + 1.200%) due 12/14/23(a)(b) | | | 288,286 | |
| | | | | | UBS AG: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 300,000 | | | | | 2.200% due 6/8/20(b) | | | 294,743 | |
| | 500,000 | | | | | 2.901% (3-Month USD-LIBOR + 0.580%) due 6/8/20(a)(b) | | | 501,891 | |
| | | | | | Subordinated Notes: | | | | |
| | 250,000 | | | | | 7.625% due 8/17/22 | | | 278,437 | |
| | 400,000 | | | | | 5.125% due 5/15/24 | | | 405,834 | |
| | 400,000 | | | | | UBS Group Funding Switzerland AG, Company Guaranteed Notes, 3.264% (3-Month USD-LIBOR + 0.950%) due 8/15/23(a)(b) | | | 401,887 | |
| | | | | | | | | | |
| | | | | | Total Switzerland | | | 2,171,078 | |
| | | | | | | | | | |
| | United Kingdom — 6.2% | |
| | 400,000 | | | | | Barclays Bank PLC, Subordinated Notes, 7.625% due 11/21/22 | | | 434,504 | |
| | | | | | Barclays PLC: | | | | |
| | | | | | Junior Subordinated Notes: | | | | |
| | 700,000 | EUR | | | | 6.500% (5-Year EUR Swap Rate + 5.875%)(a)(c) | | | 842,700 | |
| | 400,000 | GBP | | | | 7.000% (5-Year GBP Swap Rate + 5.084%)(a)(c) | | | 528,056 | |
| | 200,000 | | | | | 8.250% (5-Year USD Swap Rate + 6.705%)(a)(c) | | | 202,817 | |
| | 600,000 | | | | | Senior Unsecured Notes, 4.451% (3-Month USD-LIBOR + 2.110%) due 8/10/21(a) | | | 623,722 | |
| | 200,000 | | | | | British Telecommunications PLC, Senior Unsecured Notes, 9.625% due 12/15/30 | | | 285,986 | |
| | 200,000 | GBP | | | | Co-operative Group Holdings 2011 Ltd., Company Guaranteed Notes, step bond to yield, 6.875% due 7/8/20 | | | 278,555 | |
| | | | | | HSBC Holdings PLC, Senior Unsecured Notes: | | | | |
| | 400,000 | | | | | 2.922% (3-Month USD-LIBOR + 0.600%) due 5/18/21(a) | | | 401,292 | |
| | 300,000 | | | | | 3.322% (3-Month USD-LIBOR + 1.000%) due 5/18/24(a) | | | 301,032 | |
| | 200,000 | | | | | 3.950% (3-Month USD-LIBOR + 0.987%) due 5/18/24(a) | | | 200,567 | |
| | 600,000 | | | | | Imperial Brands Finance PLC, Company Guaranteed Notes, 2.950% due 7/21/20(b) | | | 596,434 | |
| | 300,000 | GBP | | | | Lloyds Banking Group PLC, Junior Subordinated Notes, 7.000% (5-Year GBP Swap Rate + 5.060%)(a)(c) | | | 400,190 | |
See Notes to Financial Statements.
227
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
| | United Kingdom — 6.2% — (continued) | |
| | | | | | Nationwide Building Society: | | | | |
| | 300,000 | GBP | | | | Junior Subordinated Notes, 6.875% (5-Year GBP Swap Rate + 4.880%)(a)(c) | | $ | 400,150 | |
| $ | 200,000 | | | | | Senior Unsecured Notes, 3.766% (3-Month USD-LIBOR + 1.064%) due 3/8/24(a)(b) | | | 196,406 | |
| | 100,000 | GBP | | | | RAC Bonds Co. PLC, Senior Secured Notes, 4.870% due 5/6/26 | | | 131,693 | |
| 1,000,000
|
| | | | Royal Bank of Scotland Group PLC, Senior Unsecured Notes, 3.885% (3-Month USD-LIBOR + 1.550%) due 6/25/24(a) | | | 1,007,818 | |
| | | | | | Santander UK Group Holdings PLC: | | | | |
| | 500,000 | | | | | Subordinated Notes, 4.750% due 9/15/25(b) | | | 493,579 | |
| | 300,000 | | | | | Senior Unsecured Notes, 3.823% (3-Month USD-LIBOR + 1.400%) due 11/3/28(a) | | | 278,936 | |
| | 97,895 | GBP | | | | Tesco Property Finance 4 PLC, Senior Secured Notes, 5.801% due 10/13/40 | | | 147,948 | |
| | 300,000 | GBP | | | | Virgin Media Secured Finance PLC, Senior Secured Notes, 4.875% due 1/15/27 | | | 379,188 | |
| | 300,000 | GBP | | | | Virgin Money PLC, Senior Unsecured Notes, 2.250% due 4/21/20 | | | 391,805 | |
| | | | | | Vodafone Group PLC, Senior Unsecured Notes: | | | | |
| | 400,000 | | | | | 3.329% (3-Month USD-LIBOR + 0.990%) due 1/16/24(a) | | | 401,018 | |
| | 100,000 | | | | | 3.750% due 1/16/24 | | | 99,440 | |
| | | | | | | | | | |
| | | | | | Total United Kingdom | | | 9,023,836 | |
| | | | | | | | | | |
| | United States — 7.8% | |
| | 500,000 | | | | | Ally Financial Inc., Company Guaranteed Notes, 8.000% due 11/1/31 | | | 613,750 | |
| | 100,000 | | | | | American Honda Finance Corp., Senior Unsecured Notes, 2.691% (3-Month USD-LIBOR + 0.350%) due 11/5/21(a) | | | 100,250 | |
| | | | | | Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | | | |
| | 400,000 | | | | | 3.500% due 1/12/24 | | | 398,835 | |
| | 400,000 | | | | | 4.000% due 4/13/28 | | | 399,566 | |
| | | | | | AT&T Inc., Senior Unsecured Notes: | | | | |
| | 300,000 | | | | | 3.071% (3-Month USD-LIBOR + 0.750%) due 6/1/21(a) | | | 301,589 | |
| | 300,000 | | | | | 3.289% (3-Month USD-LIBOR + 0.950%) due 7/15/21(a) | | | 303,849 | |
| | 300,000 | EUR | | | | 1.800% due 9/5/26(b) | | | 350,854 | |
| | 200,000 | | | | | Bank of America Corp., Junior Subordinated Notes, 5.875% (3-Month USD-LIBOR + 2.931%)(a)(c) | | | 200,250 | |
| | | | | | BAT Capital Corp., Company Guaranteed Notes: | | | | |
| | 100,000 | | | | | 2.909% (3-Month USD-LIBOR + 0.590%) due 8/14/20(a)(b) | | | 100,387 | |
| | 100,000 | | | | | 3.222% due 8/15/24(b) | | | 95,850 | |
| | 100,000 | | | | | 3.557% due 8/15/27(b) | | | 93,832 | |
| | 100,000 | | | | | 4.390% due 8/15/37(b) | | | 93,529 | |
| | 400,000 | | | | | Boston Scientific Corp., Senior Unsecured Notes, 6.000% due 1/15/20 | | | 415,661 | |
| | 200,000 | | | | | Campbell Soup Co., Senior Unsecured Notes, 3.650% due 3/15/23 | | | 195,830 | |
| | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | | |
| | 250,000 | | | | | 3.579% due 7/23/20 | | | 250,854 | |
| | 700,000 | | | | | 4.464% due 7/23/22 | | | 714,876 | |
| | | | | | Dell International LLC/EMC Corp., Senior Secured Notes: | | | | |
| | 400,000 | | | | | 3.480% due 6/1/19(b) | | | 401,404 | |
| | 250,000 | | | | | 4.420% due 6/15/21(b) | | | 254,457 | |
| | 400,000 | | | | | Delta Air Lines Inc., Senior Unsecured Notes, 3.625% due 3/15/22 | | | 396,878 | |
| | 200,000 | | | | | Dominion Energy Gas Holdings LLC, Senior Unsecured Notes, 2.926% (3-Month USD-LIBOR + 0.600%) due 6/15/21(a) | | | 199,973 | |
| | 200,000 | | | | | Emera US Finance LP, Company Guaranteed Notes, 2.700% due 6/15/21 | | | 195,242 | |
| | 200,000 | | | | | EPR Properties, Company Guaranteed Notes, 4.500% due 6/1/27 | | | 193,324 | |
| | 100,000 | | | | | Equifax Inc., Senior Unsecured Notes, 3.600% due 8/15/21 | | | 99,933 | |
| | 100,000 | EUR | | | | Equinix Inc., Senior Unsecured Notes, 2.875% due 3/15/24 | | | 117,204 | |
| | | | | | Fidelity National Information Services Inc., Senior Unsecured Notes: | | | | |
| | 100,000 | EUR | | | | 0.400% due 1/15/21 | | | 116,520 | |
| | 100,000 | GBP | | | | 1.700% due 6/30/22 | | | 128,527 | |
See Notes to Financial Statements.
228
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
| | United States — 7.8% — (continued) | |
| | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| $ | 200,000 | | | | | 2.597% due 11/4/19 | | $ | 198,140 | |
| | 200,000 | | | | | 2.681% due 1/9/20 | | | 197,765 | |
| | 300,000 | | | | | Fresenius Medical Care US Finance II Inc., Company Guaranteed Notes, 5.625% due 7/31/19(b) | | | 306,535 | |
| | 200,000 | | | | | General Motors Financial Co., Inc., Company Guaranteed Notes, 3.189% (3-Month USD-LIBOR + 0.850%) due 4/9/21(a) | | | 200,806 | |
| | 400,000 | | | | | KLA-Tencor Corp., Senior Unsecured Notes, 3.375% due 11/1/19 | | | 401,750 | |
| | 1,300,000 | | | | | Lehman Brothers Holdings Inc., Senior Unsecured Notes(e) | | | 39,943 | |
| | 100,000 | | | | | McDonald’s Corp., Senior Unsecured Notes, 2.769% (3-Month USD-LIBOR + 0.430%) due 10/28/21(a) | | | 100,464 | |
| | | | | | Navient Corp., Senior Unsecured Notes: | | | | |
| | 100,000 | | | | | 5.500% due 1/15/19 | | | 100,905 | |
| | 350,000 | | | | | 4.875% due 6/17/19 | | | 352,800 | |
| | 400,000 | | | | | 8.000% due 3/25/20 | | | 425,100 | |
| | 300,000 | | | | | Progress Energy Inc., Senior Unsecured Notes, 4.400% due 1/15/21 | | | 306,745 | |
| | 100,000 | | | | | Santander Holdings USA Inc., Senior Unsecured Notes, 3.400% due 1/18/23 | | | 97,314 | |
| | 100,000 | | | | | Spectra Energy Partners LP, Senior Unsecured Notes, 3.021% (3-Month USD-LIBOR + 0.700%) due 6/5/20(a) | | | 100,555 | |
| | 100,000 | | | | | Springleaf Finance Corp., Company Guaranteed Notes, 6.000% due 6/1/20 | | | 102,875 | |
| | 300,000 | | | | | Sprint Communications Inc., Company Guaranteed Notes, 9.000% due 11/15/18(b) | | | 303,750 | |
| | 300,000 | | | | | Time Warner Cable LLC, Senior Secured Notes, 8.250% due 4/1/19 | | | 308,990 | |
| | 346,000 | | | | | Verizon Communications Inc., Senior Unsecured Notes, 3.376% due 2/15/25 | | | 337,483 | |
| | 300,000 | | | | | WEA Finance LLC/Westfield UK & Europe Finance PLC, Company Guaranteed Notes, 3.750% due 9/17/24(b) | | | 297,134 | |
| | 100,000 | | | | | Wells Fargo & Co., Senior Unsecured Notes, 3.452% (3-Month USD-LIBOR + 1.110%) due 1/24/23(a) | | | 101,700 | |
| | 300,000 | | | | | Zimmer Biomet Holdings Inc., Senior Unsecured Notes, 3.150% due 4/1/22 | | | 295,277 | |
| | | | | | | | | | |
| | | | | | Total United States | | | 11,309,255 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $52,834,487) | | | 52,570,888 | |
| | | | | | | | | | |
| | SOVEREIGN BONDS — 34.9% | |
| | Argentina — 0.3% | |
| | 3,930,000 | ARS | | | | Argentina Bonar Bonds, 36.480% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days Index + 2.000%) due 4/3/22(a) | | | 100,913 | |
| | 3,260,000 | ARS | | | | Argentina POM Politica Monetaria, 45.054% due 6/21/20(a) | | | 101,599 | |
| | 200,000 | EUR | | | | Argentine Republic Government International Bonds, 3.375% due 1/15/23 | | | 178,315 | |
| | | | | | | | | | |
| | | | | | Total Argentina | | | 380,827 | |
| | | | | | | | | | |
| | Canada — 3.5% | |
| | | | | | Province of Alberta Canada: | | | | |
| | 900,000 | CAD | | | | 1.250% due 6/1/20 | | | 678,576 | |
| | 900,000 | CAD | | | | 2.350% due 6/1/25 | | | 674,528 | |
| | | | | | Province of Ontario Canada: | | | | |
| | 3,100,000 | CAD | | | | 3.150% due 6/2/22 | | | 2,431,703 | |
| | 500,000 | CAD | | | | 2.400% due 6/2/26 | | | 372,262 | |
| | 1,100,000 | CAD | | | | Province of Quebec Canada, 3.750% due 9/1/24 | | | 894,246 | |
| | | | | | | | | | |
| | | | | | Total Canada | | | 5,051,315 | |
| | | | | | | | | | |
| | France — 5.0% | |
| | | | | | French Republic Government Bonds OAT: | | | | |
| | 900,000 | EUR | | | | 3.250% due 5/25/45 | | | 1,452,800 | |
| | 4,500,000 | EUR | | | | 2.000% due 5/25/48(b) | | | 5,742,227 | |
| | | | | | | | | | |
| | | | | | Total France | | | 7,195,027 | |
| | | | | | | | | | |
See Notes to Financial Statements.
229
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
| | Ireland — 1.1% | |
| | 1,000,000 | EUR | | | | Ireland Government Bonds, 5.400% due 3/13/25 | | $ | 1,537,823 | |
| | | | | | | | | | |
| | Israel — 0.1% | |
| $ | 200,000 | | | | | Israel Government International Bonds, 3.250% due 1/17/28 | | | 194,693 | |
| | | | | | | | | | |
| | Italy — 1.6% | |
| | | | | | Italy Buoni Poliennali Del Tesoro: | | | | |
| | 400,000 | EUR | | | | 1.450% due 11/15/24 | | | 425,094 | |
| | 1,200,000 | EUR | | | | 3.450% due 3/1/48(b) | | | 1,314,405 | |
| | 400,000 | GBP | | | | Republic of Italy Government International Bonds, 6.000% due 8/4/28 | | | 615,904 | |
| | | | | | | | | | |
| | | | | | Total Italy | | | 2,355,403 | |
| | | | | | | | | | |
| | Japan — 9.3% | |
| | 200,000 | | | | | Development Bank of Japan Inc., 2.000% due 10/19/21 | | | 193,045 | |
| | | | | | Japan Bank for International Cooperation: | | | | |
| | 200,000 | | | | | 2.000% due 11/4/21 | | | 193,390 | |
| | 200,000 | | | | | 2.375% due 7/21/22 | | | 194,443 | |
| | 200,000 | | | | | 3.250% due 7/20/23 | | | 200,936 | |
| | | | | | Japan Finance Organization for Municipalities: | | | | |
| | 500,000 | | | | | 2.125% due 4/13/21(b) | | | 486,568 | |
| | 200,000 | | | | | 2.625% due 4/20/22(b) | | | 195,543 | |
| | | | | | Japan Government Thirty Year Bonds: | | | | |
| | 210,000,000 | JPY | | | | 1.700% due 9/20/44 | | | 2,306,869 | |
| | 330,000,000 | JPY | | | | 1.400% due 9/20/45 | | | 3,413,403 | |
| | 180,000,000 | JPY | | | | 0.500% due 9/20/46 | | | 1,497,315 | |
| | | | | | Japan Government Twenty Year Bonds: | | | | |
| | 400,000,000 | JPY | | | | 1.000% due 12/20/35 | | | 3,903,620 | |
| | 60,000,000 | JPY | | | | 0.400% due 3/20/36 | | | 530,507 | |
| | 400,000 | | | | | Tokyo Metropolitan Government, 2.000% due 5/17/21(b) | | | 387,330 | |
| | | | | | | | | | |
| | | | | | Total Japan | | | 13,502,969 | |
| | | | | | | | | | |
| | Kuwait — 0.9% | |
| | | | | | Kuwait International Government Bonds: | | | | |
| | 400,000 | | | | | 2.750% due 3/20/22(b) | | | 392,150 | |
| | 900,000 | | | | | 3.500% due 3/20/27(b) | | | 891,306 | |
| | | | | | | | | | |
| | | | | | Total Kuwait | | | 1,283,456 | |
| | | | | | | | | | |
| | Lithuania — 0.2% | |
| | 300,000 | | | | | Lithuania Government International Bonds, 6.125% due 3/9/21 | | | 321,447 | |
| | | | | | | | | | |
| | New Zealand — 0.2% | |
| | 300,000 | NZD | | | | New Zealand Government Bonds, 5.500% due 4/15/23 | | | 229,837 | |
| | | | | | | | | | |
| | Poland — 0.5% | |
| | 2,700,000 | PLN | | | | Republic of Poland Government Bonds, 3.250% due 7/25/25 | | | 742,568 | |
| | | | | | | | | | |
| | Qatar — 1.2% | |
| | | | | | Qatar Government International Bonds: | | | | |
| | 200,000 | | | | | 4.500% due 1/20/22 | | | 206,275 | |
| | 1,000,000 | | | | | 3.875% due 4/23/23(b) | | | 1,005,400 | |
| | 500,000 | | | | | 4.500% due 4/23/28(b) | | | 511,850 | |
| | | | | | | | | | |
| | | | | | Total Qatar | | | 1,723,525 | |
| | | | | | | | | | |
| | Saudi Arabia — 0.8% | |
| | 1,200,000 | | | | | Saudi Government International Bonds, 2.375% due 10/26/21 | | | 1,160,484 | |
| | | | | | | | | | |
| | Slovenia — 0.2% | |
| | 250,000 | | | | | Slovenia Government International Bonds, 5.250% due 2/18/24 | | | 271,246 | |
| | | | | | | | | | |
See Notes to Financial Statements.
230
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
| | Spain — 4.3% | |
| | | | | | Autonomous Community of Catalonia: | | | | |
| | 500,000 | EUR | | | | 4.950% due 2/11/20 | | $ | 612,340 | |
| | 200,000 | EUR | | | | 4.900% due 9/15/21 | | | 251,397 | |
| | 100,000 | EUR | | | | 4.220% due 4/26/35 | | | 121,962 | |
| | | | | | Spain Government Bonds: | | | | |
| | 3,500,000 | EUR | | | | 1.450% due 10/31/27(b) | | | 4,104,881 | |
| | 900,000 | EUR | | | | 2.900% due 10/31/46(b) | | | 1,118,780 | |
| | | | | | | | | | |
| | | | | | Total Spain | | | 6,209,360 | |
| | | | | | | | | | |
| | United Arab Emirates — 0.3% | |
| | | | | | Abu Dhabi Government International Bonds: | | | | |
| $ | 300,000 | | | | | 2.500% due 10/11/22(b) | | | 289,830 | |
| | 200,000 | | | | | 3.125% due 10/11/27(b) | | | 189,263 | |
| | | | | | | | | | |
| | | | | | Total United Arab Emirates | | | 479,093 | |
| | | | | | | | | | |
| | United Kingdom — 5.4% | |
| | | | | | United Kingdom Gilt: | | | | |
| | 1,800,000 | GBP | | | | 3.250% due 1/22/44(f) | | | 3,021,817 | |
| | 2,100,000 | GBP | | | | 3.500% due 1/22/45(f) | | | 3,694,053 | |
| | 900,000 | GBP | | | | 1.500% due 7/22/47 | | | 1,094,889 | |
| | | | | | | | | | |
| | | | | | Total United Kingdom | | | 7,810,759 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $49,779,442) | | | 50,449,832 | |
| | | | | | | | | | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 17.2% | |
| | 250,000 | EUR | | | | Adagio IV CLO Ltd., Series IVA, Class A2R, 1.100% due 10/15/29(b) | | | 292,092 | |
| | 419,755 | GBP | | | | Aggregator of Loans Backed by Assets PLC, Series 2015-1, Class A, 1.973% (1-Month GBP-LIBOR + 1.250%) due 4/24/49(a) | | | 547,056 | |
| | 429,984 | GBP | | | | ALBA PLC, Series 2007-1, Class A3, 0.801% (3-Month GBP-LIBOR + 0.170%) due 3/17/39(a) | | | 531,156 | |
| | 721,778 | | | | | Argent Mortgage Loan Trust, Series 2005-W1, Class A1, 2.305% (1-Month USD-LIBOR + 0.240%) due 5/25/35(a) | | | 688,020 | |
| | 27,858 | | | | | Banc of America Funding Trust, Series 2006-A, Class 1A1, 3.862% due 2/20/36(a) | | | 27,762 | |
| | 300,408 | | | | | Bayview Financial Asset Trust, Series 2007-SR1A, Class A, 2.515% (1-Month USD-LIBOR + 0.450%) due 3/25/37(a)(b) | | | 294,851 | |
| | 318,994 | | | | | Bayview Opportunity Master Fund IVa Trust, Series 2018-SBR3, Class A1, step bond to yield, 4.090% due 5/28/33(b) | | | 319,286 | |
| | | | | | Bear Stearns Adjustable Rate Mortgage Trust: | | | | |
| | 6,452 | | | | | Series 2003-5, Class 1A2, 4.116% due 8/25/33(a) | | | 6,401 | |
| | 9,531 | | | | | Series 2003-7, Class 6A, 3.906% due 10/25/33(a) | | | 9,649 | |
| | 26,026 | | | | | Series 2004-2, Class 22A, 4.168% due 5/25/34(a) | | | 25,542 | |
| | 5,857 | | | | | Series 2004-2, Class 23A, 3.124% due 5/25/34(a) | | | 5,405 | |
| | 98,107 | | | | | Bear Stearns Structured Products Inc. Trust, Series 2007-R6, Class 1A1, 4.019% due 1/26/36(a) | | | 89,684 | |
| | 33,725 | EUR | | | | Casa d’este Finance SRL, Series 1, Class A2, 0.029% (0.350% — 3-Month EURIBOR) due 9/15/40(a) | | | 39,155 | |
| | 700,000 | | | | | Cent CLO 22 Ltd., Series 2014-22A, Class A1R, 3.753% (3-Month USD-LIBOR + 1.410%) due 11/7/26(a)(b) | | | 701,057 | |
| | 137,049 | | | | | CHL Mortgage Pass-Through Trust, Series 2007-19, Class 2A1, 6.500% due 11/25/47 | | | 118,918 | |
| | 268,579 | EUR | | | | Claris ABS SRL, Series 2011-1, Class A, 0.081% (0.350% — 6-Month EURIBOR) due 10/31/60(a) | | | 311,488 | |
| | | | | | Countrywide Alternative Loan Trust: | | | | |
| | 8,411 | | | | | Series 2005-21CB, Class A3, 5.250% due 6/25/35 | | | 7,857 | |
| | 35,588 | | | | | Series 2007-7T2, Class A9, 6.000% due 4/25/37 | | | 24,752 | |
| | 55,181 | | | | | Series 2007-11T1, Class A12, 2.415% (1-Month USD-LIBOR + 0.350%) due 5/25/37(a) | | | 31,309 | |
| | 27,126 | | | | | Series 2007-16CB, Class 5A1, 6.250% due 8/25/37 | | | 23,378 | |
See Notes to Financial Statements.
231
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 17.2% — (continued) | |
| | | | | | Countrywide Asset-Backed Certificates: | | | | |
| $ | 275,523 | | | | | Series 2006-18, Class 2A2, 2.225% (1-Month USD-LIBOR + 0.160%) due 3/25/37(a) | | $ | 273,178 | |
| | 873,106 | | | | | Series 2007-13, Class 1A, 2.905% (1-Month USD-LIBOR + 0.840%) due 10/25/47(a) | | | 865,061 | |
| | 498,876 | | | | | Series 2007-SEA2, Class 1A1, 3.065% (1-Month USD-LIBOR + 1.000%) due 8/25/47(a)(b) | | | 492,096 | |
| | | | | | Countrywide Home Loan Mortgage Pass-Through Trust: | | | | |
| | 4,344 | | | | | Series 2004-12, Class 11A1, 3.913% due 8/25/34(a) | | | 4,137 | |
| | 100,547 | | | | | Series 2005-2, Class 1A1, 2.705% (1-Month USD-LIBOR + 0.640%) due 3/25/35(a) | | | 87,980 | |
| | 8,927 | | | | | Series 2005-3, Class 2A1, 2.645% (1-Month USD-LIBOR + 0.580%) due 4/25/35(a) | | | 8,293 | |
| | 92,153 | | | | | Series 2005-9, Class 1A3, 2.525% (1-Month USD-LIBOR + 0.460%) due 5/25/35(a) | | | 84,776 | |
| | 27,100 | | | | | Series 2005-11, Class 3A1, 2.712% due 4/25/35(a) | | | 24,802 | |
| | 32,822 | | | | | Series 2005-HYB9, Class 3A2A, 3.462% (1-Year USD-LIBOR + 1.750%) due 2/20/36(a) | | | 29,162 | |
| | 869,831 | | | | | Series 2007-4, Class 1A47, 6.000% due 5/25/37 | | | 702,269 | |
| | 945 | | | | | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR20, Class 2A1, 4.205% due 8/25/33(a) | | | 947 | |
| | 717,363 | | | | | Credit Suisse Mortgage Capital Certificates, Series 2007-NC1, Class 2A1, 2.665% (1-Month USD-LIBOR + 0.600%) due 9/25/37(a) | | | 703,462 | |
| | 38,806 | | | | | Credit Suisse Mortgage Capital Trust, Series 2007-5R, Class A5, 6.500% due 7/26/36 | | | 21,277 | |
| | 172,804 | | | | | CSAB Mortgage-Backed Trust, Series 2006-4, Class A6A, step bond to yield, 5.684% due 12/25/36 | | | 75,615 | |
| | 731,722 | | | | | Deutsche Alternative-A Securities Mortgage Loan Trust, Series 2007-3, Class 2A1, 2.815% (1-Month USD-LIBOR + 0.750%) due 10/25/47(a) | | | 643,050 | |
| | 764,552 | | | | | Ellington Loan Acquisition Trust, Series 2007-2, Class A1, 3.115% (1-Month USD-LIBOR + 1.050%) due 5/25/37(a)(b) | | | 755,295 | |
| | 230,434 | GBP | | | | Eurohome UK Mortgages PLC, Series 2007-1, Class A, 0.781% (3-Month GBP-LIBOR + 0.150%) due 6/15/44(a) | | | 291,432 | |
| | | | | | Eurosail-UK PLC: | | | | |
| | 445,500 | GBP | | | | Series 2007-4X, Class A3, 1.577% (3-Month GBP-LIBOR + 0.950%) due 6/13/45(a) | | | 577,757 | |
| | 96,667 | GBP | | | | Series 2007-6NCX, Class A2A, 1.327% (3-Month GBP-LIBOR + 0.700%) due 9/13/45(a) | | | 125,354 | |
| | 100,000 | | | | | Evans Grove CLO Ltd., Series 2018-1A, Class A1, 3.231% (3-Month USD-LIBOR + 0.920%) due 5/28/28(a)(b) | | | 100,009 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC): | | | | |
| | 31,594 | | | | | Series T-35, Class A, 2.345% (1-Month USD-LIBOR + 0.280%) due 9/25/31(a) | | | 31,281 | |
| | 46,298 | | | | | Series T-62, Class 1A1, 2.948% (1-Year Treasury Average Rate + 1.200%) due 10/25/44(a) | | | 46,176 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | | |
| | 40,215 | | | | | Series 2391, Class FJ, 2.563% (1-Month USD-LIBOR + 0.500%) due 4/15/28(a) | | | 40,386 | |
| | 62,549 | | | | | Series 2614, Class SJ, 13.990% (19.663% — 1-Month USD-LIBOR) due 5/15/33(a) | | | 82,071 | |
| | 275,960 | | | | | Series 4579, Class FD, 2.442% (1-Month USD-LIBOR + 0.350%) due 1/15/38(a) | | | 275,755 | |
| | 275,960 | | | | | Series 4579, Class SD, 1.394% due 1/15/38(a)(g) | | | 11,695 | |
| | 7,940 | | | | | Federal National Mortgage Association (FNMA), Grantor Trust, Series 2004-T3, Class 1A1, 6.000% due 2/25/44 | | | 8,719 | |
| | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | | |
| | 7,211 | | | | | Series 2003-34, Class A1, 6.000% due 4/25/43 | | | 7,951 | |
| | 16,164 | | | | | Series 2006-48, Class TF, 2.465% (1-Month USD-LIBOR + 0.400%) due 6/25/36(a) | | | 16,223 | |
| | 124,758 | | | | | Series 2009-104, Class FA, 2.865% (1-Month USD-LIBOR + 0.800%) due 12/25/39(a) | | | 126,695 | |
| | 554,944 | | | | | Series 2010-46, Class WF, 2.814% (1-Month USD-LIBOR + 0.750%) due 5/25/40(a) | | | 567,964 | |
| | 56,695 | | | | | Federal National Mortgage Association (FNMA), REMICS, Whole Loan, Series 2004-W12, Class 1A1, 6.000% due 7/25/44 | | | 62,647 | |
| | 400,000 | | | | | Figueroa CLO Ltd., Series 2014-1A, Class AR, 3.239% (3-Month USD-LIBOR + 0.900%) due 1/15/27(a)(b) | | | 400,034 | |
| | 282,913 | | | | | First Franklin Mortgage Loan Trust, Series 2005-FF9, Class A4, 2.425% (1-Month USD-LIBOR + 0.360%) due 10/25/35(a) | | | 282,172 | |
| | 491,125 | | | | | Flagship VII Ltd., Series 2013-7A, Class A1R, 3.468% (3-Month USD-LIBOR + 1.120%) due 1/20/26(a)(b) | | | 491,551 | |
| | 51,386 | | | | | GMACM Mortgage Loan Trust, Series 2005-AR6, Class 3A1, 3.781% due 11/19/35(a) | | | 49,036 | |
See Notes to Financial Statements.
232
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 17.2% — (continued) | |
| $ | 1,000,000 | | | | | GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class AR, 3.709% (3-Month USD-LIBOR + 1.370%) due 10/29/26(a)(b) | | $ | 1,001,540 | |
| | 458,021 | | | | | Government National Mortgage Association, Series 2016-H15, Class FA, 2.900% (1-Month USD-LIBOR + 0.800%) due 7/20/66(a) | | | 465,028 | |
| | | | | | GSR Mortgage Loan Trust: | | | | |
| | 14,560 | | | | | Series 2003-1, Class A2, 3.830% (1-Year CMT Index + 1.750%) due 3/25/33(a) | | | 14,512 | |
| | 307,571 | | | | | Series 2005-AR7, Class 2A1, 4.019% due 11/25/35(a) | | | 307,334 | |
| | | | | | Harborview Mortgage Loan Trust: | | | | |
| | 26,506 | | | | | Series 2005-2, Class 2A1A, 2.517% (1-Month USD-LIBOR + 0.440%) due 5/19/35(a) | | | 25,630 | |
| | 58,465 | | | | | Series 2005-3, Class 2A1A, 2.557% (1-Month USD-LIBOR + 0.480%) due 6/19/35(a) | | | 57,669 | |
| | 108,135 | | | | | Series 2006-SB1, Class A1A, 2.598% (1-Year Treasury Average Rate + 0.850%) due 12/19/36(a) | | | 104,013 | |
| | 128,410 | | | | | Series 2007-1, Class 2A1A, 2.207% (1-Month USD-LIBOR + 0.130%) due 3/19/37(a) | | | 124,060 | |
| | | | | | JPMorgan Mortgage Trust: | | | | |
| | 5,336 | | | | | Series 2003-A2, Class 3A1, 3.773% due 11/25/33(a) | | | 5,413 | |
| | 2,398 | | | | | Series 2005-A1, Class 6T1, 4.160% due 2/25/35(a) | | | 2,394 | |
| | 83,970 | | | | | JPMorgan Resecuritization Trust, Series 2009-7, Class 17A1, 5.383% due 7/27/37(a)(b) | | | 84,805 | |
| | 459,904 | | | | | KVK CLO Ltd., Series 2013-2A, Class AR, 3.489% (3-Month USD-LIBOR + 1.150%) due 1/15/26(a)(b) | | | 460,215 | |
| | 598,464 | GBP | | | | Ludgate Funding PLC, Series 2007-1, Class A2A, 0.840% (3-Month GBP-LIBOR + 0.160%) due 1/1/61(a) | | | 741,373 | |
| | | | | | Merrill Lynch Mortgage Investors Trust: | | | | |
| | 9,222 | | | | | Series 2003-A2, Class 1A1, 4.100% due 2/25/33(a) | | | 9,080 | |
| | 28,301 | | | | | Series 2005-2, Class 1A, 3.717% (6-Month USD-LIBOR + 1.250%) due 10/25/35(a) | | | 28,636 | |
| | 400,000 | | | | | Monarch Grove CLO 18-1, Series 2018-1A, Class A1, 3.215% (3-Month USD-LIBOR + 0.880%) due 1/25/28(a)(b) | | | 397,698 | |
| | 700,000 | GBP | | | | Newgate Funding PLC, Series 2007-1X, Class A3, 0.777% (3-Month GBP-LIBOR + 0.160%) due 12/1/50(a) | | | 850,472 | |
| | 400,000 | | | | | NewMark Capital Funding CLO Ltd., Series 2014-2A, Class A1R, 3.528% (3-Month USD-LIBOR + 1.220%) due 6/30/26(a)(b) | | | 400,101 | |
| | 105,089 | | | | | Option One Mortgage Loan Trust, Series 2007-CP1, Class 1A1, 2.205% (1-Month USD-LIBOR + 0.140%) due 3/25/37(a) | | | 95,139 | |
| | | | | | Puma Finance Pty Ltd.: | | | | |
| | 155,820 | AUD | | | | Series 2014-1, Class A, 2.787% (1-Month Australian Bank Bill + 0.900%) due 5/13/45(a) | | | 112,299 | |
| | 153,360 | AUD | | | | Series 2014-2, Class A, 2.635% (1-Month Australian Bank Bill + 0.790%) due 10/18/45(a) | | | 110,179 | |
| | 265,621 | | | | | RAAC Trust, Series 2007-SP3, Class A1, 3.265% (1-Month USD-LIBOR + 1.200%) due 9/25/47(a) | | | 264,575 | |
| | 64,238 | | | | | RALI Trust, Series 2007-QO2, Class A1, 2.215% (1-Month USD-LIBOR + 0.150%) due 2/25/47(a) | | | 40,685 | |
| | 99,490 | CAD | | | | Real Estate Asset Liquidity Trust, Series 2018-1A, Class A1, 3.072% due 8/12/53(b)(e) | | | 76,047 | |
| | | | | | Residential Asset Securitization Trust: | | | | |
| | 19,580 | | | | | Series 2005-A15, Class 5A1, 5.750% due 2/25/36 | | | 14,581 | |
| | 48,970 | | | | | Series 2006-R1, Class A2, 2.465% (1-Month USD-LIBOR + 0.400%) due 1/25/46(a) | | | 25,007 | |
| | 306,243 | GBP | | | | Residential Mortgage Securities 28 PLC, Series 28, Class A, 1.781% (3-Month GBP-LIBOR + 1.150%) due 6/15/46(a) | | | 399,257 | |
| | 289,413 | GBP | | | | ResLoC UK PLC, Series 2007-1X, Class A3B, 0.791% (3-Month GBP-LIBOR + 0.160%) due 12/15/43(a) | | | 360,340 | |
| | | | | | RMAC Securities No 1 PLC: | | | | |
| | 274,748 | GBP | | | | Series 2006-NS1X, Class A2A, 0.779% (3-Month GBP-LIBOR + 0.150%) due 6/12/44(a) | | | 341,542 | |
| | 520,992 | GBP | | | | Series 2006-NS3X, Class A2A, 0.779% (3-Month GBP-LIBOR + 0.150%) due 6/12/44(a) | | | 646,209 | |
| | | | | | Soundview Home Loan Trust: | | | | |
| | 369,073 | | | | | Series 2006-3, Class A3, 2.225% (1-Month USD-LIBOR + 0.160%) due 11/25/36(a) | | | 359,792 | |
| | 1,300,000 | | | | | Series 2006-3, Class A4, 2.315% (1-Month USD-LIBOR + 0.250%) due 11/25/36(a) | | | 1,176,773 | |
See Notes to Financial Statements.
233
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 17.2% — (continued) | |
| | | | | | Structured Adjustable Rate Mortgage Loan Trust: | | | | |
| $ | 8,372 | | | | | Series 2004-1, Class 4A1, 4.233% due 2/25/34(a) | | $ | 8,373 | |
| | 29,085 | | | | | Series 2004-4, Class 3A2, 4.054% due 4/25/34(a) | | | 29,613 | |
| | 44,587 | | | | | Series 2004-19, Class 2A1, 3.148% (1-Year Treasury Average Rate + 1.400%) due 1/25/35(a) | | | 42,012 | |
| | | | | | Structured Asset Mortgage Investments II Trust: | | | | |
| | 54,998 | | | | | Series 2005-AR2, Class 2A1, 2.525% (1-Month USD-LIBOR + 0.460%) due 5/25/45(a) | | | 53,327 | |
| | 70,639 | | | | | Series 2005-AR8, Class A1A, 2.345% (1-Month USD-LIBOR + 0.280%) due 2/25/36(a) | | | 66,406 | |
| | 48,951 | | | | | Series 2006-AR5, Class 1A1, 2.275% (1-Month USD-LIBOR + 0.210%) due 5/25/36(a) | | | 44,371 | |
| | 260,723 | | | | | Series 2007-AR4, Class A3, 2.285% (1-Month USD-LIBOR + 0.220%) due 9/25/47(a) | | | 245,576 | |
| | 108,318 | | | | | Series 2007-AR6, Class A1, 3.248% (1-Year Treasury Average Rate + 1.500%) due 8/25/47(a) | | | 102,052 | |
| | 76,714 | | | | | Structured Asset Securities Corp., Series 2006-RF1, Class 1A, 2.345% (1-Month USD-LIBOR + 0.280%) due 1/25/36(a)(b) | | | 71,820 | |
| | 19,677 | | | | | Structured Asset Securities Corp. Trust, Series 2005-10, Class 4A1, 5.500% due 12/25/34 | | | 19,758 | |
| | 878,948 | | | | | Symphony CLO XII Ltd., Series 2013-12A, Class AR, 3.369% (3-Month USD-LIBOR + 1.030%) due 10/15/25(a)(b) | | | 879,451 | |
| | 400,000 | | | | | Venture XVI CLO Ltd., Series 2014-16A, Class ARR, 3.189% (3-Month USD-LIBOR + 0.850%) due 1/15/28(a)(b) | | | 399,385 | |
| | 100,000 | | | | | Venture XVII CLO Ltd., Series 2014-17A, Class ARR, 3.219% (3-Month USD-LIBOR + 0.880%) due 4/15/27(a)(b) | | | 99,518 | |
| | | | | | WaMu Mortgage Pass-Through Certificates Trust: | | | | |
| | 12,868 | | | | | Series 2002-AR9, Class 1A, 3.148% (1-Year Treasury Average Rate + 1.400%) due 8/25/42(a) | | | 12,607 | |
| | 3,623 | | | | | Series 2003-AR5, Class A7, 4.087% due 6/25/33(a) | | | 3,671 | |
| | 328,578 | | | | | Series 2003-AR9, Class 2A, 4.087% due 9/25/33(a) | | | 333,602 | |
| | 366,721 | | | | | Series 2004-AR1, Class A, 3.718% due 3/25/34(a) | | | 376,015 | |
| | 47,667 | | | | | Series 2005-AR13, Class A1A1, 2.355% (1-Month USD-LIBOR + 0.290%) due 10/25/45(a) | | | 47,789 | |
| | 51,388 | | | | | Series 2006-AR10, Class 2A1, 3.869% due 9/25/36(a) | | | 51,367 | |
| | 84,458 | | | | | Series 2006-AR13, Class 2A, 2.434% (11th District Cost of Funds Index + 1.500%) due 10/25/46(a) | | | 82,473 | |
| | 24,712 | | | | | Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2006-AR5, Class 3A, 2.688% (1-Year Treasury Average Rate + 0.940%) due 7/25/46(a) | | | 17,943 | |
| | 114,156 | | | | | Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2002-AR3, Class 1A7, 3.827% due 12/25/32(a) | | | 114,761 | |
| | 156,685 | | | | | Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR2, Class 2A1, 3.917% due 3/25/36(a) | | | 159,701 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $25,335,875) | | | 24,825,115 | |
| | | | | | | | | | |
| | MORTGAGE-BACKED SECURITIES — 12.6% | |
| | CMHC — 0.4% | |
| | | | | | Canadian Mortgage and Housing Corp. (CMHC): | | | | |
| | 173,303 | CAD | | | | 1.920% due 6/1/20(e) | | | 133,047 | |
| | 549,399 | CAD | | | | 2.120% due 7/1/20 — 8/1/20(e) | | | 423,062 | |
| | | | | | | | | | |
| | | | | | TOTAL CMHC | | | 556,109 | |
| | | | | | | | | | |
| | FNMA — 12.2% | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 87,450 | | | | | 3.000% due 1/1/22 | | | 87,308 | |
| | 50,247 | | | | | 3.886% (1-Year CMT Index + 2.360%) due 11/1/34(a) | | | 53,191 | |
| | 98,061 | | | | | 6.500% due 8/1/37 | | | 107,008 | |
| | 11,500,000 | | | | | 3.500% due 10/1/48(h) | | | 11,427,002 | |
| | 5,900,000 | | | | | 4.000% due 10/1/48(h) | | | 6,001,185 | |
| | | | | | | | | | |
| | | | | | TOTAL FNMA | | | 17,675,694 | |
| | | | | | | | | | |
See Notes to Financial Statements.
234
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
| | GNMA — 0.0% | |
| $ | 3,073 | | | | | Government National Mortgage Association II (GNMA), 6.000% due 9/20/38 | | $ | 3,190 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $18,144,657) | | | 18,234,993 | |
| | | | | | | | | | |
| | U.S. GOVERNMENT OBLIGATIONS — 7.7% | |
| | | | | | U.S. Treasury Inflation Indexed Bonds: | | | | |
| | 1,697,774 | | | | | 2.375% due 1/15/25(f) | | | 1,870,142 | |
| | 234,736 | | | | | 2.500% due 1/15/29 | | | 274,082 | |
| | 153,284 | | | | | 3.875% due 4/15/29(i) | | | 200,608 | |
| | 216,244 | | | | | 1.375% due 2/15/44 | | | 239,987 | |
| | 510,935 | | | | | 1.000% due 2/15/48 | | | 524,893 | |
| | | | | | U.S. Treasury Inflation Indexed Notes: | | | | |
| | 207,232 | | | | | 0.125% due 4/15/22(i) | | | 202,318 | |
| | 3,298,090 | | | | | 0.250% due 1/15/25(f) | | | 3,198,150 | |
| | 1,838,844 | | | | | 0.500% due 1/15/28 | | | 1,790,550 | |
| | 2,800,000 | | | | �� | U.S. Treasury Notes, 2.875% due 4/30/25(f)(i) | | | 2,813,289 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $11,212,758) | | | 11,114,019 | |
| | | | | | | | | | |
| | SENIOR LOAN — 0.1% | |
| | 199,000 | | | | | CenturyLink Inc., 4.826% (1-Month USD-LIBOR + 2.750%) due 1/31/25
(Cost — $198,153) | | | 196,936 | |
| | | | | | | | | | |
| | ASSET-BACKED SECURITY — 0.1% | |
| | Student Loans — 0.1% | |
| | 102,120 | | | | | Massachusetts Educational Financing Authority, Series 2008-1, Class A1, 3.285% (3-Month USD-LIBOR + 0.950%) due 4/25/38(a)
(Cost — $102,120) | | | 102,800 | |
| | | | | | | | | | |
| | MUNICIPAL BOND — 0.0% | |
| | United States — 0.0% | |
| | 700,000 | | | | | Tobacco Settlement Finance Authority, Revenue Bonds, Series B, zero coupon, due 6/1/47(e)
(Cost — $42,996) | | | 43,596 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $157,650,488) | | | 157,538,179 | |
| | | | | | | | | | |
| | SHORT-TERM INVESTMENTS — 12.6% | |
| | COMMERCIAL PAPER — 0.3% | |
| | 400,000 | | | | | AT&T Inc., 2.637% due 9/6/18(j)
(Cost — $399,854) | | | 399,854 | |
| | | | | | | | | | |
| | SOVEREIGN BONDS — 9.8% | |
| | France — 2.9% | |
| | | | | | France Treasury Discount Bills: | | | | |
| | 1,200,000 | EUR | | | | (0.638)% due 1/4/19(j) | | | 1,396,592 | |
| | 2,400,000 | EUR | | | | (0.607)% due 1/16/19(j) | | | 2,792,866 | |
| | | | | | | | | | |
| | | | | | Total France | | | 4,189,458 | |
| | | | | | | | | | |
| | Japan — 6.4% | |
| | | | | | Japan Treasury Discount Bills: | | | | |
| | 350,000,000 | JPY | | | | (0.148)% due 9/3/18(j) | | | 3,151,903 | |
| | 450,000,000 | JPY | | | | (0.130)% due 9/10/18(j) | | | 4,052,260 | |
| | 190,000,000 | JPY | | | | (0.126)% due 9/18/18(j) | | | 1,710,944 | |
| | 20,000,000 | JPY | | | | (0.132)% due 10/1/18(j) | | | 180,102 | |
| | 30,000,000 | JPY | | | | (0.182)% due 2/12/19(j) | | | 270,301 | |
| | | | | | | | | | |
| | | | | | Total Japan | | | 9,365,510 | |
| | | | | | | | | | |
See Notes to Financial Statements.
235
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
| | Netherlands — 0.5% | |
| | 600,000 | EUR | | | | Dutch Treasury Certificate, (0.630)% due 1/31/19(j) | | $ | 698,601 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $14,356,998) | | | 14,253,569 | |
| | | | | | | | | | |
| | TIME DEPOSITS — 2.5% | |
| | | | | | BBH — Grand Cayman: | | | | |
| | 102,000 | CHF | | | | (1.420)% due 9/3/18 | | | 105,252 | |
| | 901 | SEK | | | | (0.920)% due 9/3/18 | | | 99 | |
| | 515 | DKK | | | | (0.850)% due 9/3/18 | | | 80 | |
| | 931 | NOK | | | | 0.150% due 9/3/18 | | | 111 | |
| | 5,150 | SGD | | | | 0.550% due 9/3/18 | | | 3,753 | |
| | 168,357 | CAD | | | | 0.590% due 9/4/18 | | | 129,019 | |
| | 60,077 | NZD | | | | 0.800% due 9/3/18 | | | 39,747 | |
| | 95,279 | AUD | | | | 0.900% due 9/3/18 | | | 68,491 | |
| | 1,422,737 | ZAR | | | | 5.810% due 9/3/18 | | | 96,807 | |
| | | | | | Citibank — London: | | | | |
| | 257,714 | EUR | | | | (0.570)% due 9/3/18 | | | 299,168 | |
| | 54,262 | GBP | | | | 0.370% due 9/3/18 | | | 70,342 | |
| $ | 2,670,241 | | | | | JPMorgan Chase & Co. — New York, 1.280% due 9/4/18 | | | 2,670,241 | |
| | 9,941,278 | JPY | | | | Sumitomo — Tokyo, (0.230)% due 9/3/18 | | | 89,493 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $3,572,603) | | | 3,572,603 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS IN SECURITIES
(Cost — $18,329,455) | | | 18,226,026 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES
(Cost — $175,979,943) | | | 175,764,205 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN PURCHASED OPTIONS
(Cost — $45,562) | | | 17,795 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 121.6%
(Cost — $176,025,505) | | | 175,782,000 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (21.6)% | | | (31,185,331 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 144,596,669 | |
| | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| (a) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2018. |
| (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. The aggregate value of restricted 144A holdings at August 31, 2018 amounts to approximately $35,614,716 and represents 24.6% of net assets. |
| (c) | Security is perpetual in nature and has no stated maturity date. |
| (d) | Security is currently in default. |
| (f) | Position, or portion thereof, has been segregated to collateralize reverse repurchase agreements. |
| (g) | Interest only security. |
| (h) | This security is traded on a TBA basis (see Note 1). |
| (i) | All or a portion of this security is held at the broker as collateral for open OTC derivative instruments. |
| (j) | Rate shown represents yield-to-maturity. |
At August 31, 2018, for International Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost for
Federal Income
Tax Purposes | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net Unrealized
Depreciation | |
International Fixed Income Fund | | $ | 179,192,246 | | | $ | 13,062,171 | | | $ | (15,211,290 | ) | | $ | (2,149,119 | ) |
See Notes to Financial Statements.
236
| | | | |
| International Fixed Income Fund |
| | |
Abbreviations used in this schedule: |
| ABS | | — Asset-Based Security |
| CLO | | — Collateralized Loan Obligation |
| CMT | | — Constant Maturity Treasury Rate |
| EURIBOR | | — Euro Interbank Offered Rate |
| LIBOR | | — London Interbank Offered Rate |
| PLC | | — Public Limited Company |
| REMICS | | — Real Estate Mortgage Investment Conduit |
| | | | |
| Summary of Investments by Security Type^ | | | |
Corporate Bonds & Notes | | | 29.9 | % |
Sovereign Bonds | | | 28.7 | |
Collateralized Mortgage Obligations | | | 14.1 | |
Mortgage-Backed Securities | | | 10.4 | |
U.S. Government Obligations | | | 6.3 | |
Senior Loan | | | 0.1 | |
Asset-Backed Security | | | 0.1 | |
Municipal Bond | | | 0.0 | * |
Purchased Options | | | 0.0 | * |
Short-Term Investments | | | 10.4 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
| * | Position represents less than 0.05%. |
At August 31, 2018, International Fixed Income Fund held the following Options Contracts Purchased:
| | | | | | | | | | | | | | | | | | | | | | |
| Currency Options | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | Expiration
Date | | | Strike price | | | Value | |
| | 600,000 | | | | $ 696,510 | | | OTC Euro versus U.S. Dollar, Put(a) | | GSC | | | 2/26/19 | | | | $ 1.15 | | | $ | 8,025 | |
| | 641,000 | | | | 641,000 | | | OTC U.S. Dollar versus Japanese Yen, Call(a) | | BOA | | | 4/17/20 | | | | JPY 120.00 | | | | 3,311 | |
| | 463,000 | | | | 463,000 | | | OTC U.S. Dollar versus Japanese Yen, Call(a) | | DUB | | | 4/17/20 | | | | JPY 120.00 | | | | 2,391 | |
| | 748,000 | | | | 748,000 | | | OTC U.S. Dollar versus Japanese Yen, Call(a) | | GSC | | | 4/20/20 | | | | JPY 120.00 | | | | 3,888 | |
| | 500,000 | | | | 7,348,300 | ZAR | | OTC U.S. Dollar versus South African Rand, Put | | HSBC | | | 9/6/18 | | | | ZAR 13.12 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Currency Options | | | | | | | | | | | | $ | 17,615 | |
| | | | | | | | | | | | | | | | | | | | | | |
| Options on Futures | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | Expiration
Date | | | Strike price | | | Value | |
| | 20 | | | | $2,265,938 | | | U.S. Treasury 5-Year Note December Futures, Put | | CITI | | | 11/23/18 | | | | $ 107.25 | | | $ | 156 | |
| | 3 | | | | 339,891 | | | U.S. Treasury 5-Year Note December Futures, Put | | CITI | | | 11/23/18 | | | | $ 107.50 | | | | 24 | |
| | 1 | | | | 120,156 | | | U.S. Treasury 10-Year Note October Futures, Call | | CITI | | | 9/21/18 | | | | $ 132.00 | | | | — | |
| | 9 | | | | 1,081,406 | | | U.S. Treasury 10-Year Note October Futures, Put | | CITI | | | 9/21/18 | | | | $ 107.00 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | $ | 180 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS PURCHASED
(Cost — $45,562) | | | | | | | | | | | | $ | 17,795 | |
| | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
See Notes to Financial Statements.
237
| | | | |
| International Fixed Income Fund |
At August 31, 2018, International Fixed Income Fund held the following Options Contracts Written:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Credit Default Swaptions | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise Rate | | | Value | |
| | 300,000 | | | | $ 181,110 | | | OTC Markit CDX North America Investment Grade Series 30 5-Year Index, Put | | | BNP | | | | 9/19/18 | | | | 0.900% | | | $ | 2 | |
| | 3,400,000 | | | | 2,293,504 | EUR | | OTC Markit iTraxx Europe Series 29 5-Year Index, Call | | | BCLY | | | | 9/19/18 | | | | 0.475% | | | | — | |
| | 3,400,000 | | | | 2,293,504 | EUR | | OTC Markit iTraxx Europe Series 29 5-Year Index, Put | | | BCLY | | | | 9/19/18 | | | | 0.750% | | | | 2,237 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Credit Default Swaptions | | | | | | | | | | | | | | $ | 2,239 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Currency Options | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 500,000 | | | | 500,000 | AUD | | OTC Australian Dollar versus U.S. Dollar, Put(a) | | | GSC | | | | 11/1/18 | | | $ | 0.70 | | | $ | 1,857 | |
| | 457,000 | | | | $ 592,432 | | | OTC British Pound versus U.S. Dollar, Call(a) | | | BNP | | | | 6/14/19 | | | $ | 1.44 | | | | 3,216 | |
| | 454,000 | | | | 454,000 | GBP | | OTC British Pound versus U.S. Dollar, Put(a) | | | BNP | | | | 6/14/19 | | | $ | 1.32 | | | | 18,478 | |
| | 600,000 | | | | 77,371,812 | JPY | | OTC Euro versus Japanese Yen, Call(a) | | | GSC | | | | 2/26/19 | | | JPY | 135.00 | | | | 5,335 | |
| | 597,000 | | | | 4,087,002 | CNH | | OTC U.S. Dollar versus Chinese Offshore Renminbi, Call(a) | | | GSC | | | | 11/5/18 | | | CNH | 7.00 | | | | 2,300 | |
| | 400,000 | | | | 44,434,000 | JPY | | OTC U.S. Dollar versus Japanese Yen, Call(a) | | | HSBC | | | | 9/18/18 | | | JPY | 112.00 | | | | 672 | |
| | 800,000 | | | | 800,000 | | | OTC U.S. Dollar versus Mexican Peso, Put(a) | | | GSC | | | | 10/12/18 | | | MXN | 18.50 | | | | 3,697 | |
| | 500,000 | | | | 500,000 | | | OTC U.S. Dollar versus Mexican Peso, Put(a) | | | JPM | | | | 11/20/18 | | | MXN | 18.00 | | | | 1,879 | |
| | 500,000 | | | | 7,348,300 | ZAR | | OTC U.S. Dollar versus South African Rand, Call | | | HSBC | | | | 9/6/18 | | | ZAR | 14.35 | | | | 12,003 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Currency Options | | | | | | | | | | | | | | $ | 49,437 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Interest Rate Swaptions | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise Rate | | | Value | |
| | 900,000 | | | | $20,891 | | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Call | | | BCLY | | | | 10/9/18 | | | | 2.750% | | | $ | 981 | |
| | 900,000 | | | | 20,891 | | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Put | | | BCLY | | | | 10/9/18 | | | | 3.200% | | | | 479 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Interest Rate Swaptions | | | | | | | | | | | | | | $ | 1,460 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN
(Premiums received — $69,027) | | | | | | | | | | | | | | $ | 53,136 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
See Notes to Financial Statements.
238
| | | | |
| International Fixed Income Fund |
At August 31, 2018, International Fixed Income Fund held the following Reverse Repurchase Agreements:
| | | | | | | | |
| | |
Face
Amounts† | | | Security | | Value | |
| | | | Royal Bank of Scotland PLC: | | | | |
| $ | 2,611,654 | | | 2.140% due 10/19/18 | | $ | 2,611,654 | |
| | 1,873,250 | | | 2.240% due 11/20/18 | | | 1,873,250 | |
| | | | Standard Chartered Bank: | | | | |
| | 3,181,375 | | | 2.070% due 9/7/18 | | | 3,181,375 | |
| | 5,163,035 | GBP | | 0.630% due 10/4/18 | | | 6,693,100 | |
| | | | | | | | |
| | | | TOTAL REVERSE REPURCHASE AGREEMENTS
(Proceeds — $14,446,892) | | $ | 14,359,379 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
For the year ended August 31, 2018, the average borrowing and interest rate under the reverse repurchase agreements were $17,274,793 and 0.320%, respectively.
At August 31, 2018, 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) | | | Notional
Amount | | | Market
Value | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
90-Day Eurodollar December Futures | | | 187 | | | | 12/19 | | | $ | 45,388,969 | | | $ | 45,368,538 | | | $ | (20,431 | ) |
90-Day Eurodollar March Futures | | | 279 | | | | 3/19 | | | | 67,923,640 | | | | 67,824,900 | | | | (98,740 | ) |
90-Day Eurodollar September Futures | | | 53 | | | | 9/18 | | | | 12,977,050 | | | | 12,937,963 | | | | (39,087 | ) |
90-Day Sterling December Futures | | | 159 | | | | 12/18 | | | | 25,543,377 | | | | 25,538,224 | | | | (5,153 | ) |
Australian Government 3-Year Bond September Futures | | | 3 | | | | 9/18 | | | | 239,154 | | | | 240,684 | | | | 1,530 | |
Australian Government 10-Year Bond September Futures | | | 22 | | | | 9/18 | | | | 2,012,287 | | | | 2,065,278 | | | | 52,991 | |
Canada Government 10-Year Bond December Futures | | | 3 | | | | 12/18 | | | | 308,805 | | | | 309,886 | | | | 1,081 | |
Euro-Bobl December Futures | | | 95 | | | | 12/18 | | | | 14,482,068 | | | | 14,514,049 | | | | 31,981 | |
Euro-BTP September Futures | | | 42 | | | | 9/18 | | | | 6,065,987 | | | | 5,980,374 | | | | (85,613 | ) |
Euro-Buxl 30-Year Bond December Futures | | | 12 | | | | 12/18 | | | | 2,468,849 | | | | 2,470,381 | | | | 1,532 | |
Euro-Schatz Note December Futures | | | 80 | | | | 12/18 | | | | 10,392,138 | | | | 10,397,037 | | | | 4,899 | |
Japan Government 10-Year Bond September Futures | | | 7 | | | | 9/18 | | | | 9,491,380 | | | | 9,476,166 | | | | (15,214 | ) |
U.S. Treasury 5-Year Note December Futures | | | 93 | | | | 12/18 | | | | 10,557,032 | | | | 10,546,054 | | | | (10,978 | ) |
U.S. Treasury 10-Year Note December Futures | | | 5 | | | | 12/18 | | | | 599,879 | | | | 601,328 | | | | 1,449 | |
U.S. Treasury Ultra Long Bond December Futures | | | 9 | | | | 12/18 | | | | 1,440,352 | | | | 1,433,813 | | | | (6,539 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (186,292) | |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
90-Day Eurodollar December Futures | | | 187 | | | | 12/20 | | | | 45,346,491 | | | | 45,377,888 | | | | (31,397 | ) |
90-Day Eurodollar March Futures | | | 279 | | | | 3/20 | | | | 67,723,003 | | | | 67,688,888 | | | | 34,115 | |
90-Day Eurodollar September Futures | | | 53 | | | | 9/19 | | | | 12,943,084 | | | | 12,863,762 | | | | 79,322 | |
90-Day Sterling December Futures | | | 159 | | | | 12/19 | | | | 25,489,270 | | | | 25,463,505 | | | | 25,765 | |
Euro-Bund September Futures | | | 15 | | | | 9/18 | | | | 2,810,824 | | | | 2,842,979 | | | | (32,155 | ) |
Euro-OAT December Futures | | | 57 | | | | 12/18 | | | | 10,104,305 | | | | 10,093,997 | | | | 10,308 | |
U.S. Treasury 2-Year Note December Futures | | | 12 | | | | 12/18 | | | | 2,535,750 | | | | 2,536,312 | | | | (562 | ) |
United Kingdom Treasury 10-Year Gilt December Futures | | | 8 | | | | 12/18 | | | | 1,270,319 | | | | 1,268,660 | | | | 1,659 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 87,055 | |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | (99,237 | ) |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
239
| | | | |
| International Fixed Income Fund |
At August 31, 2018, International Fixed Income Fund had deposited cash of $519,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
At August 31, 2018, 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 | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Argentine Peso | | | 753,000 | | | | USD | | | | 19,202 | | | | BNP | | | $ | 20,407 | | | | 9/4/18 | | | $ | 1,205 | |
Argentine Peso | | | 753,000 | | | | USD | | | | 24,616 | | | | HSBC | | | | 20,407 | | | | 9/4/18 | | | | (4,209 | ) |
Argentine Peso | | | 753,000 | | | | USD | | | | 23,867 | | | | BNP | | | | 20,123 | | | | 9/17/18 | | | | (3,744 | ) |
Argentine Peso | | | 4,766,719 | | | | USD | | | | 171,588 | | | | BCLY | | | | 126,070 | | | | 9/26/18 | | | | (45,518 | ) |
Argentine Peso | | | 753,000 | | | | USD | | | | 19,774 | | | | BNP | | | | 19,915 | | | | 9/26/18 | | | | 141 | |
Australian Dollar | | | 954,000 | | | | USD | | | | 707,305 | | | | BNP | | | | 685,783 | | | | 9/4/18 | | | | (21,522 | ) |
Australian Dollar | | | 500,000 | | | | USD | | | | 397,350 | | | | HSBC | | | | 359,534 | | | | 12/6/18 | | | | (37,816 | ) |
Australian Dollar | | | 270,000 | | | | USD | | | | 214,650 | | | | HSBC | | | | 194,261 | | | | 2/7/19 | | | | (20,389 | ) |
Brazilian Real | | | 738,626 | | | | USD | | | | 178,615 | | | | BNP | | | | 181,432 | | | | 9/5/18 | | | | 2,817 | |
Brazilian Real | | | 772,501 | | | | USD | | | | 198,525 | | | | DUB | | | | 189,752 | | | | 9/5/18 | | | | (8,773 | ) |
Brazilian Real | | | 33,875 | | | | USD | | | | 8,192 | | | | GSC | | | | 8,321 | | | | 9/5/18 | | | | 129 | |
Brazilian Real | | | 738,626 | | | | USD | | | | 190,071 | | | | BNP | | | | 180,881 | | | | 10/2/18 | | | | (9,190 | ) |
British Pound | | | 154,000 | | | | USD | | | | 202,848 | | | | HSBC | | | | 199,637 | | | | 9/4/18 | | | | (3,211 | ) |
British Pound | | | 8,449,189 | | | | USD | | | | 10,876,404 | | | | SOG | | | | 10,953,101 | | | | 9/4/18 | | | | 76,697 | |
Canadian Dollar | | | 8,317,000 | | | | USD | | | | 6,424,810 | | | | BOA | | | | 6,373,669 | | | | 9/4/18 | | | | (51,141 | ) |
Chilean Peso | | | 119,621,000 | | | | USD | | | | 181,296 | | | | BNP | | | | 175,624 | | | | 9/20/18 | | | | (5,672 | ) |
Chilean Peso | | | 89,922,600 | | | | USD | | | | 136,174 | | | | BNP | | | | 132,021 | | | | 9/20/18 | | | | (4,153 | ) |
Chilean Peso | | | 27,938,169 | | | | USD | | | | 42,000 | | | | GSC | | | | 41,018 | | | | 9/20/18 | | | | (982 | ) |
Chinese Offshore Renminbi | | | 577,000 | | | | USD | | | | 88,255 | | | | BNP | | | | 84,292 | | | | 9/19/18 | | | | (3,963 | ) |
Chinese Offshore Renminbi | | | 23,584,653 | | | | USD | | | | 3,706,181 | | | | HSBC | | | | 3,445,387 | | | | 9/19/18 | | | | (260,794 | ) |
Chinese Offshore Renminbi | | | 521,482 | | | | USD | | | | 78,415 | | | | HSBC | | | | 76,181 | | | | 9/19/18 | | | | (2,234 | ) |
Chinese Offshore Renminbi | | | 6,999,135 | | | | USD | | | | 1,024,299 | | | | BCLY | | | | 1,021,262 | | | | 11/14/18 | | | | (3,037 | ) |
Chinese Offshore Renminbi | | | 4,414,000 | | | | USD | | | | 649,557 | | | | HSBC | | | | 644,058 | | | | 11/14/18 | | | | (5,499 | ) |
Chinese Offshore Renminbi | | | 13,270,000 | | | | USD | | | | 1,951,528 | | | | JPM | | | | 1,936,260 | | | | 11/14/18 | | | | (15,268 | ) |
Chinese Offshore Renminbi | | | 14,663,831 | | | | USD | | | | 2,137,980 | | | | BOA | | | | 2,126,839 | | | | 7/12/19 | | | | (11,141 | ) |
Colombian Peso | | | 40,453,000 | | | | USD | | | | 14,000 | | | | BNP | | | | 13,246 | | | | 9/18/18 | | | | (754 | ) |
Colombian Peso | | | 825,110,000 | | | | USD | | | | 286,000 | | | | BNP | | | | 270,178 | | | | 9/18/18 | | | | (15,822 | ) |
Colombian Peso | | | 237,961,000 | | | | USD | | | | 83,000 | | | | BNP | | | | 77,919 | | | | 9/18/18 | | | | (5,081 | ) |
Colombian Peso | | | 2,886,000 | | | | USD | | | | 1,000 | | | | DUB | | | | 945 | | | | 9/18/18 | | | | (55 | ) |
Colombian Peso | | | 1,049,180,000 | | | | USD | | | | 363,447 | | | | GSC | | | | 342,952 | | | | 10/24/18 | | | | (20,495 | ) |
Danish Krone | | | 585,000 | | | | USD | | | | 92,037 | | | | BOA | | | | 91,284 | | | | 10/1/18 | | | | (753 | ) |
Euro | | | 21,907,544 | | | | USD | | | | 25,565,008 | | | | BOA | | | | 25,431,364 | | | | 9/4/18 | | | | (133,644 | ) |
Euro | | | 913,000 | | | | USD | | | | 1,048,570 | | | | BOA | | | | 1,059,855 | | | | 9/4/18 | | | | 11,285 | |
Euro | | | 109,000 | | | | USD | | | | 126,490 | | | | GSC | | | | 126,532 | | | | 9/4/18 | | | | 42 | |
Euro | | | 123,000 | | | | USD | | | | 142,908 | | | | GSC | | | | 142,784 | | | | 9/4/18 | | | | (124 | ) |
Euro | | | 288,000 | | | | USD | | | | 334,716 | | | | JPM | | | | 334,324 | | | | 9/4/18 | | | | (392 | ) |
Euro | | | 200,600 | | | | USD | | | | 252,796 | | | | SOG | | | | 234,703 | | | | 12/14/18 | | | | (18,093 | ) |
Euro | | | 350,000 | | | | USD | | | | 440,206 | | | | DUB | | | | 410,966 | | | | 1/24/19 | | | | (29,240 | ) |
Euro | | | 290,000 | | | | USD | | | | 350,117 | | | | HSBC | | | | 344,268 | | | | 5/28/19 | | | | (5,849 | ) |
Indian Rupee | | | 25,647,230 | | | | USD | | | | 371,000 | | | | BCLY | | | | 360,589 | | | | 9/19/18 | | | | (10,411 | ) |
Indian Rupee | | | 9,912,960 | | | | USD | | | | 144,000 | | | | BNP | | | | 139,372 | | | | 9/19/18 | | | | (4,628 | ) |
Indian Rupee | | | 24,934,000 | | | | USD | | | | 364,000 | | | | BNP | | | | 350,562 | | | | 9/19/18 | | | | (13,438 | ) |
Indian Rupee | | | 14,902,497 | | | | USD | | | | 214,788 | | | | HSBC | | | | 209,523 | | | | 9/19/18 | | | | (5,265 | ) |
Indian Rupee | | | 31,782,750 | | | | USD | | | | 458,533 | | | | SCB | | | | 446,852 | | | | 9/19/18 | | | | (11,681 | ) |
See Notes to Financial Statements.
240
| | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Indian Rupee | | | 3,839,220 | | | | USD | | | | 55,000 | | | | BCLY | | | $ | 53,710 | | | | 10/29/18 | | | $ | (1,290 | ) |
Indian Rupee | | | 15,302,040 | | | | USD | | | | 221,000 | | | | BNP | | | | 214,071 | | | | 10/29/18 | | | | (6,929 | ) |
Indian Rupee | | | 95,225,678 | | | | USD | | | | 1,339,565 | | | | BNP | | | | 1,324,541 | | | | 12/19/18 | | | | (15,024 | ) |
Indonesian Rupiah | | | 2,393,140,660 | | | | USD | | | | 163,020 | | | | BOA | | | | 162,182 | | | | 9/19/18 | | | | (838 | ) |
Indonesian Rupiah | | | 2,636,410,260 | | | | USD | | | | 183,594 | | | | HSBC | | | | 178,669 | | | | 9/19/18 | | | | (4,925 | ) |
Indonesian Rupiah | | | 2,864,070,000 | | | | USD | | | | 198,000 | | | | JPM | | | | 194,097 | | | | 9/19/18 | | | | (3,903 | ) |
Indonesian Rupiah | | | 5,332,733,920 | | | | USD | | | | 358,744 | | | | SCB | | | | 357,102 | | | | 12/19/18 | | | | (1,642 | ) |
Japanese Yen | | | 33,500,000 | | | | USD | | | | 299,970 | | | | SCB | | | | 301,571 | | | | 9/4/18 | | | | 1,601 | |
Korean Won | | | 1,632,475,063 | | | | USD | | | | 1,456,722 | | | | BNP | | | | 1,463,847 | | | | 9/19/18 | | | | 7,125 | |
Korean Won | | | 103,972,867 | | | | USD | | | | 92,000 | | | | GSC | | | | 93,233 | | | | 9/19/18 | | | | 1,233 | |
Mexican Peso | | | 31,865,479 | | | | USD | | | | 1,691,517 | | | | JPM | | | | 1,654,957 | | | | 10/26/18 | | | | (36,560 | ) |
Mexican Peso | | | 2,874,769 | | | | USD | | | | 134,000 | | | | DUB | | | | 146,142 | | | | 3/14/19 | | | | 12,142 | |
Mexican Peso | | | 1,181,700 | | | | USD | | | | 60,000 | | | | HSBC | | | | 60,073 | | | | 3/14/19 | | | | 73 | |
New Taiwan Dollar | | | 6,138,299 | | | | USD | | | | 201,000 | | | | GSC | | | | 200,160 | | | | 9/4/18 | | | | (840 | ) |
New Taiwan Dollar | | | 3,803,080 | | | | USD | | | | 124,000 | | | | GSC | | | | 124,019 | | | | 9/6/18 | | | | 19 | |
New Taiwan Dollar | | | 16,218,823 | | | | USD | | | | 529,000 | | | | SCB | | | | 528,899 | | | | 9/6/18 | | | | (101 | ) |
New Taiwan Dollar | | | 6,841,139 | | | | USD | | | | 224,000 | | | | HSBC | | | | 223,103 | | | | 9/7/18 | | | | (897 | ) |
New Taiwan Dollar | | | 22,618,530 | | | | USD | | | | 737,000 | | | | BCLY | | | | 738,186 | | | | 9/19/18 | | | | 1,186 | |
New Taiwan Dollar | | | 10,431,507 | | | | USD | | | | 339,722 | | | | BNP | | | | 340,446 | | | | 9/19/18 | | | | 724 | |
New Taiwan Dollar | | | 6,138,299 | | | | USD | | | | 201,408 | | | | GSC | | | | 200,332 | | | | 9/19/18 | | | | (1,076 | ) |
New Taiwan Dollar | | | 20,021,903 | | | | USD | | | | 655,381 | | | | HSBC | | | | 653,441 | | | | 9/19/18 | | | | (1,940 | ) |
New Taiwan Dollar | | | 6,841,139 | | | | USD | | | | 222,628 | | | | SCB | | | | 223,270 | | | | 9/19/18 | | | | 642 | |
New Zealand Dollar | | | 4,348,000 | | | | USD | | | | 2,916,017 | | | | RBS | | | | 2,876,638 | | | | 9/4/18 | | | | (39,379 | ) |
Norwegian Krone | | | 3,005,000 | | | | USD | | | | 368,619 | | | | BNP | | | | 358,365 | | | | 9/4/18 | | | | (10,254 | ) |
Russian Ruble | | | 26,414,091 | | | | USD | | | | 421,822 | | | | BOA | | | | 390,911 | | | | 9/13/18 | | | | (30,911 | ) |
Russian Ruble | | | 1,605,994 | | | | USD | | | | 25,548 | | | | UBS | | | | 23,768 | | | | 9/13/18 | | | | (1,780 | ) |
Russian Ruble | | | 4,925,040 | | | | USD | | | | 73,032 | | | | JPM | | | | 72,640 | | | | 10/15/18 | | | | (392 | ) |
Russian Ruble | | | 65,745,004 | | | | USD | | | | 1,024,464 | | | | UBS | | | | 966,538 | | | | 11/15/18 | | | | (57,926 | ) |
Singapore Dollar | | | 2,463,397 | | | | USD | | | | 1,808,596 | | | | BCLY | | | | 1,795,235 | | | | 9/19/18 | | | | (13,361 | ) |
South African Rand | | | 4,034,000 | | | | USD | | | | 299,194 | | | | HSBC | | | | 272,247 | | | | 11/2/18 | | | | (26,947 | ) |
Swedish Krona | | | 63,085,000 | | | | USD | | | | 6,884,348 | | | | HSBC | | | | 6,898,569 | | | | 9/4/18 | | | | 14,221 | |
Swedish Krona | | | 1,795,000 | | | | USD | | | | 205,921 | | | | JPM | | | | 196,290 | | | | 9/4/18 | | | | (9,631 | ) |
Turkish Lira | | | 4,702,103 | | | | USD | | | | 928,935 | | | | HSBC | | | | 696,904 | | | | 10/19/18 | | | | (232,031 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (1,161,276 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Argentine Peso | | | 753,000 | | | | USD | | | | 24,173 | | | | BNP | | | | 20,406 | | | | 9/4/18 | | | | 3,767 | |
Argentine Peso | | | 753,000 | | | | USD | | | | 19,202 | | | | HSBC | | | | 20,407 | | | | 9/4/18 | | | | (1,205 | ) |
Argentine Peso | | | 753,000 | | | | USD | | | | 20,080 | | | | BNP | | | | 20,123 | | | | 9/17/18 | | | | (43 | ) |
Argentine Peso | | | 148,240 | | | | USD | | | | 4,782 | | | | HSBC | | | | 3,921 | | | | 9/26/18 | | | | 861 | |
Argentine Peso | | | 1,750,900 | | | | USD | | | | 58,814 | | | | SOG | | | | 46,308 | | | | 9/26/18 | | | | 12,506 | |
Argentine Peso | | | 128,400 | | | | USD | | | | 4,284 | | | | SOG | | | | 3,396 | | | | 9/26/18 | | | | 888 | |
Argentine Peso | | | 1,168,645 | | | | USD | | | | 39,059 | | | | SOG | | | | 30,908 | | | | 9/26/18 | | | | 8,151 | |
Australian Dollar | | | 122,000 | | | | USD | | | | 90,476 | | | | BNP | | | | 87,700 | | | | 9/4/18 | | | | 2,776 | |
Australian Dollar | | | 346,000 | | | | USD | | | | 257,324 | | | | BNP | | | | 248,722 | | | | 9/4/18 | | | | 8,602 | |
Australian Dollar | | | 522,000 | | | | USD | | | | 386,190 | | | | HSBC | | | | 375,239 | | | | 9/4/18 | | | | 10,951 | |
Australian Dollar | | | 659,000 | | | | USD | | | | 479,266 | | | | RBS | | | | 473,722 | | | | 9/4/18 | | | | 5,544 | |
Australian Dollar | | | 2,586,000 | | | | USD | | | | 1,908,070 | | | | SCB | | | | 1,858,946 | | | | 9/4/18 | | | | 49,124 | |
Australian Dollar | | | 3,281,000 | | | | USD | | | | 2,373,941 | | | | GSC | | | | 2,358,455 | | | | 10/2/18 | | | | 15,486 | |
Brazilian Real | | | 738,626 | | | | USD | | | | 190,564 | | | | BNP | | | | 181,432 | | | | 9/5/18 | | | | 9,132 | |
Brazilian Real | | | 772,501 | | | | USD | | | | 186,807 | | | | DUB | | | | 189,753 | | | | 9/5/18 | | | | (2,946 | ) |
Brazilian Real | | | 33,875 | | | | USD | | | | 9,000 | | | | GSC | | | | 8,321 | | | | 9/5/18 | | | | 679 | |
See Notes to Financial Statements.
241
| | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Brazilian Real | | | 604,619 | | | | USD | | | | 158,000 | | | | DUB | | | $ | 145,759 | | | | 3/14/19 | | | $ | 12,241 | |
Brazilian Real | | | 202,500 | | | | USD | | | | 60,000 | | | | HSBC | | | | 48,818 | | | | 3/14/19 | | | | 11,182 | |
British Pound | | | 295,000 | | | | USD | | | | 374,838 | | | | HSBC | | | | 382,423 | | | | 9/4/18 | | | | (7,585 | ) |
British Pound | | | 8,308,189 | | | | USD | | | | 10,915,249 | | | | SCB | | | | 10,770,316 | | | | 9/4/18 | | | | 144,933 | |
British Pound | | | 8,449,189 | | | | USD | | | | 10,888,977 | | | | SOG | | | | 10,965,084 | | | | 10/2/18 | | | | (76,107 | ) |
British Pound | | | 151,000 | | | | USD | | | | 202,370 | | | | BNP | | | | 198,459 | | | | 6/18/19 | | | | 3,911 | |
Canadian Dollar | | | 8,317,000 | | | | USD | | | | 6,380,612 | | | | HSBC | | | | 6,373,669 | | | | 9/4/18 | | | | 6,943 | |
Canadian Dollar | | | 8,317,000 | | | | USD | | | | 6,428,510 | | | | BOA | | | | 6,376,953 | | | | 10/2/18 | | | | 51,557 | |
Chinese Offshore Renminbi | | | 6,999,135 | | | | USD | | | | 1,025,740 | | | | BCLY | | | | 1,022,476 | | | | 9/19/18 | | | | 3,264 | |
Chinese Offshore Renminbi | | | 4,414,000 | | | | USD | | | | 650,476 | | | | HSBC | | | | 644,823 | | | | 9/19/18 | | | | 5,653 | |
Chinese Offshore Renminbi | | | 13,270,000 | | | | USD | | | | 1,954,345 | | | | JPM | | | | 1,938,561 | | | | 9/19/18 | | | | 15,784 | |
Chinese Offshore Renminbi | | | 4,653,009 | | | | USD | | | | 679,407 | | | | BCLY | | | | 678,933 | | | | 11/14/18 | | | | 474 | |
Chinese Offshore Renminbi | | | 5,325,950 | | | | USD | | | | 779,297 | | | | BOA | | | | 777,123 | | | | 11/14/18 | | | | 2,174 | |
Chinese Offshore Renminbi | | | 14,663,831 | | | | USD | | | | 2,144,922 | | | | BOA | | | | 2,139,637 | | | | 11/14/18 | | | | 5,285 | |
Chinese Offshore Renminbi | | | 1,369,505 | | | | USD | | | | 200,358 | | | | BOA | | | | 198,633 | | | | 7/12/19 | | | | 1,725 | |
Chinese Offshore Renminbi | | | 7,725,305 | | | | USD | | | | 1,126,483 | | | | HSBC | | | | 1,120,477 | | | | 7/12/19 | | | | 6,006 | |
Chinese Offshore Renminbi | | | 1,677,501 | | | | USD | | | | 248,812 | | | | HSBC | | | | 243,304 | | | | 7/12/19 | | | | 5,508 | |
Chinese Offshore Renminbi | | | 3,367,520 | | | | USD | | | | 499,032 | | | | HSBC | | | | 488,424 | | | | 7/12/19 | | | | 10,608 | |
Chinese Offshore Renminbi | | | 524,000 | | | | USD | | | | 77,005 | | | | JPM | | | | 76,000 | | | | 7/12/19 | | | | 1,005 | |
Czech Koruna | | | 21,000 | | | | USD | | | | 955 | | | | HSBC | | | | 947 | | | | 11/15/18 | | | | 8 | |
Danish Krone | | | 240,000 | | | | USD | | | | 37,747 | | | | HSBC | | | | 37,450 | | | | 10/1/18 | | | | 297 | |
Danish Krone | | | 28,219,720 | | | | USD | | | | 4,455,136 | | | | SCB | | | | 4,403,444 | | | | 10/1/18 | | | | 51,692 | |
Euro | | | 404,000 | | | | USD | | | | 461,132 | | | | BNP | | | | 468,983 | | | | 9/4/18 | | | | (7,851 | ) |
Euro | | | 22,135,544 | | | | USD | | | | 25,856,285 | | | | BOA | | | | 25,696,038 | | | | 9/4/18 | | | | 160,247 | |
Euro | | | 801,000 | | | | USD | | | | 912,715 | | | | JPM | | | | 929,841 | | | | 9/4/18 | | | | (17,126 | ) |
Euro | | | 21,907,544 | | | | USD | | | | 25,618,068 | | | | BOA | | | | 25,482,214 | | | | 10/2/18 | | | | 135,854 | |
Euro | | | 1,303,434 | | | | USD | | | | 1,515,343 | | | | HSBC | | | | 1,519,608 | | | | 10/30/18 | | | | (4,265 | ) |
Euro | | | 1,505,000 | | | | USD | | | | 1,749,228 | | | | JPM | | | | 1,754,605 | | | | 10/30/18 | | | | (5,377 | ) |
Euro | | | 1,400,000 | | | | USD | | | | 1,632,086 | | | | SCB | | | | 1,632,191 | | | | 10/30/18 | | | | (105 | ) |
Euro | | | 240,000 | | | | USD | | | | 298,512 | | | | HSBC | | | | 280,801 | | | | 12/14/18 | | | | 17,711 | |
Euro | | | 200,600 | | | | USD | | | | 252,742 | | | | SCB | | | | 234,703 | | | | 12/14/18 | | | | 18,039 | |
Euro | | | 365,000 | | | | USD | | | | 438,745 | | | | HSBC | | | | 428,579 | | | | 1/24/19 | | | | 10,166 | |
Euro | | | 464,000 | | | | USD | | | | 586,821 | | | | DUB | | | | 545,489 | | | | 2/7/19 | | | | 41,332 | |
Euro | | | 114,000 | | | | SEK | | | | 1,169,287 | | | | JPM | | | | 134,912 | | | | 4/23/19 | | | | (4,538 | ) |
Euro | | | 350,000 | | | | USD | | | | 408,503 | | | | HSBC | | | | 415,497 | | | | 5/28/19 | | | | (6,994 | ) |
Indian Rupee | | | 95,225,678 | | | | USD | | | | 1,355,873 | | | | BNP | | | | 1,338,833 | | | | 9/19/18 | | | | 17,040 | |
Indian Rupee | | | 5,404,743 | | | | USD | | | | 78,000 | | | | BNP | | | | 75,988 | | | | 9/19/18 | | | | 2,012 | |
Indian Rupee | | | 6,549,015 | | | | USD | | | | 95,000 | | | | GSC | | | | 92,076 | | | | 9/19/18 | | | | 2,924 | |
Indian Rupee | | | 71,305 | | | | USD | | | | 1,000 | | | | BNP | | | | 1,001 | | | | 10/4/18 | | | | (1 | ) |
Indian Rupee | | | 12,623,339 | | | | USD | | | | 177,000 | | | | GSC | | | | 177,154 | | | | 10/4/18 | | | | (154 | ) |
Indian Rupee | | | 16,010,586 | | | | USD | | | | 231,300 | | | | SCB | | | | 223,984 | | | | 10/29/18 | | | | 7,316 | |
Indian Rupee | | | 4,689,165 | | | | USD | | | | 65,000 | | | | GSC | | | | 65,224 | | | | 12/19/18 | | | | (224 | ) |
Indian Rupee | | | 3,173,940 | | | | USD | | | | 44,000 | | | | GSC | | | | 44,148 | | | | 12/19/18 | | | | (148 | ) |
Indonesian Rupiah | | | 5,332,733,920 | | | | USD | | | | 363,736 | | | | SCB | | | | 361,397 | | | | 9/19/18 | | | | 2,339 | |
Indonesian Rupiah | | | 882,567,000 | | | | USD | | | | 61,956 | | | | SCB | | | | 59,811 | | | | 9/19/18 | | | | 2,145 | |
Indonesian Rupiah | | | 1,678,320,000 | | | | USD | | | | 116,981 | | | | SCB | | | | 113,740 | | | | 9/19/18 | | | | 3,241 | |
Japanese Yen | | | 14,300,000 | | | | USD | | | | 128,507 | | | | BOA | | | | 128,730 | | | | 9/4/18 | | | | (223 | ) |
Japanese Yen | | | 350,000,000 | | | | USD | | | | 3,229,974 | | | | JPM | | | | 3,150,740 | | | | 9/4/18 | | | | 79,234 | |
Japanese Yen | | | 8,500,000 | | | | USD | | | | 76,716 | | | | RBS | | | | 76,518 | | | | 9/4/18 | | | | 198 | |
Japanese Yen | | | 1,330,900,000 | | | | USD | | | | 11,995,894 | | | | SCB | | | | 11,980,916 | | | | 9/4/18 | | | | 14,978 | |
Japanese Yen | | | 450,000,000 | | | | USD | | | | 4,124,656 | | | | JPM | | | | 4,052,208 | | | | 9/10/18 | | | | 72,448 | |
Japanese Yen | | | 190,000,000 | | | | USD | | | | 1,733,766 | | | | BOA | | | | 1,711,890 | | | | 9/18/18 | | | | 21,876 | |
See Notes to Financial Statements.
242
| | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Japanese Yen | | | 7,104,000 | | | | USD | | | | 64,000 | | | | BCLY | | | $ | 64,011 | | | | 9/19/18 | | | $ | (11 | ) |
Japanese Yen | | | 7,104,000 | | | | USD | | | | 64,000 | | | | BNP | | | | 64,039 | | | | 9/25/18 | | | | (39 | ) |
Japanese Yen | | | 20,000,000 | | | | USD | | | | 182,222 | | | | BOA | | | | 180,369 | | | | 10/1/18 | | | | 1,853 | |
Japanese Yen | | | 1,670,200,000 | | | | USD | | | | 14,985,756 | | | | BCLY | | | | 15,063,743 | | | | 10/2/18 | | | | (77,987 | ) |
Japanese Yen | | | 30,000,000 | | | | USD | | | | 272,279 | | | | BCLY | | | | 271,143 | | | | 10/30/18 | | | | 1,136 | |
Korean Won | | | 406,941,950 | | | | USD | | | | 366,423 | | | | BOA | | | | 364,907 | | | | 9/19/18 | | | | 1,516 | |
Korean Won | | | 402,312,900 | | | | USD | | | | 359,706 | | | | BOA | | | | 360,756 | | | | 9/19/18 | | | | (1,050 | ) |
Korean Won | | | 412,328,000 | | | | USD | | | | 364,534 | | | | BOA | | | | 369,736 | | | | 9/19/18 | | | | (5,202 | ) |
Korean Won | | | 382,518,400 | | | | USD | | | | 342,390 | | | | BOA | | | | 343,006 | | | | 9/19/18 | | | | (616 | ) |
Korean Won | | | 132,346,680 | | | | USD | | | | 123,127 | | | | SCB | | | | 118,676 | | | | 9/19/18 | | | | 4,451 | |
Korean Won | | | 46,582,744 | | | | USD | | | | 41,900 | | | | BNP | | | | 41,818 | | | | 10/29/18 | | | | 82 | |
Korean Won | | | 1,632,475,063 | | | | USD | | | | 1,461,351 | | | | BNP | | | | 1,468,449 | | | | 12/19/18 | | | | (7,098 | ) |
Korean Won | | | 342,249,600 | | | | USD | | | | 308,000 | | | | BNP | | | | 307,861 | | | | 12/19/18 | | | | 139 | |
Mexican Peso | | | 1,324,000 | | | | USD | | | | 70,859 | | | | JPM | | | | 68,763 | | | | 10/26/18 | | | | 2,096 | |
New Taiwan Dollar | | | 6,138,299 | | | | USD | | | | 201,177 | | | | GSC | | | | 200,160 | | | | 9/4/18 | | | | 1,017 | |
New Taiwan Dollar | | | 20,021,903 | | | | USD | | | | 654,781 | | | | HSBC | | | | 652,917 | | | | 9/6/18 | | | | 1,864 | |
New Taiwan Dollar | | | 6,841,139 | | | | USD | | | | 222,476 | | | | SCB | | | | 223,103 | | | | 9/7/18 | | | | (627 | ) |
New Taiwan Dollar | | | 55,094,778 | | | | USD | | | | 1,875,056 | | | | BNP | | | | 1,798,091 | | | | 9/19/18 | | | | 76,965 | |
New Taiwan Dollar | | | 10,956,600 | | | | USD | | | | 360,000 | | | | BNP | | | | 357,583 | | | | 9/19/18 | | | | 2,417 | |
New Taiwan Dollar | | | 10,431,507 | | | | USD | | | | 342,151 | | | | BNP | | | | 342,681 | | | | 12/19/18 | | | | (530 | ) |
New Zealand Dollar | | | 4,348,000 | | | | USD | | | | 2,943,118 | | | | RBS | | | | 2,876,638 | | | | 9/4/18 | | | | 66,480 | |
New Zealand Dollar | | | 4,348,000 | | | | USD | | | | 2,916,095 | | | | RBS | | | | 2,876,599 | | | | 10/2/18 | | | | 39,496 | |
Norwegian Krone | | | 2,975,000 | | | | USD | | | | 355,311 | | | | RBS | | | | 354,788 | | | | 9/4/18 | | | | 523 | |
Polish Zloty | | | 2,892,133 | | | | USD | | | | 773,806 | | | | BOA | | | | 780,641 | | | | 10/5/18 | | | | (6,835 | ) |
Romanian New Leu | | | 945,484 | | | | EUR | | | | 201,000 | | | | GSC | | | | 236,502 | | | | 9/14/18 | | | | (3,022 | ) |
Romanian New Leu | | | 80,074 | | | | EUR | | | | 17,000 | | | | JPM | | | | 20,028 | | | | 9/18/18 | | | | (275 | ) |
Romanian New Leu | | | 84,735 | | | | EUR | | | | 18,000 | | | | GSC | | | | 21,193 | | | | 9/19/18 | | | | (276 | ) |
Romanian New Leu | | | 1,852,000 | | | | USD | | | | 452,184 | | | | SOG | | | | 462,683 | | | | 10/29/18 | | | | (10,499 | ) |
Singapore Dollar | | | 2,476,142 | | | | USD | | | | 1,864,705 | | | | BOA | | | | 1,804,523 | | | | 9/19/18 | | | | 60,182 | |
South African Rand | | | 671,000 | | | | USD | | | | 49,828 | | | | SCB | | | | 45,285 | | | | 11/2/18 | | | | 4,543 | |
Swedish Krona | | | 3,175,000 | | | | USD | | | | 356,011 | | | | BOA | | | | 347,197 | | | | 9/4/18 | | | | 8,814 | |
Swedish Krona | | | 61,705,000 | | | | USD | | | | 7,053,059 | | | | JPM | | | | 6,747,661 | | | | 9/4/18 | | | | 305,398 | |
Swedish Krona | | | 63,085,000 | | | | USD | | | | 6,899,328 | | | | HSBC | | | | 6,912,997 | | | | 10/2/18 | | | | (13,669 | ) |
Swedish Krona | | | 607,632 | | | | EUR | | | | 59,000 | | | | DUB | | | | 67,749 | | | | 4/23/19 | | | | 2,073 | |
Swedish Krona | | | 820,850 | | | | EUR | | | | 79,000 | | | | RBS | | | | 91,523 | | | | 4/23/19 | | | | 1,968 | |
Swiss Franc | | | 102,000 | | | | USD | | | | 105,702 | | | | UBS | | | | 105,494 | | | | 10/2/18 | | | | 208 | |
Turkish Lira | | | 13,000 | | | | USD | | | | 1,830 | | | | BNP | | | | 1,927 | | | | 10/19/18 | | | | (97 | ) |
Turkish Lira | | | 4,427,732 | | | | USD | | | | 928,935 | | | | HSBC | | | | 656,239 | | | | 10/19/18 | | | | 272,696 | |
Turkish Lira | | | 261,371 | | | | USD | | | | 35,833 | | | | UBS | | | | 38,738 | | | | 10/19/18 | | | | (2,905 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 1,668,104 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | $ | 506,828 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2018, International Fixed Income Fund held the following OTC Interest Rate Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Counterparty | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid | | | Unrealized
Appreciation | |
| Receive | | 3-Month KRW Certificate of Deposit Rate | | | 1.993% | | | | 7/10/27 | | | | JPM | | | KRW | 980,600,000 | | | $ | 3,095 | | | $ | — | | | $ | 3,095 | |
| Receive | | 3-Month KRW Certificate of Deposit Rate | | | 2.025% | | | | 7/10/27 | | | | SOG | | | KRW | 3,500,900,000 | | | | 2,251 | | | | — | | | | 2,251 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 5,346 | | | $ | — | | | $ | 5,346 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
243
| | | | |
| International Fixed Income Fund |
At August 31, 2018, International Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Payment
Frequency | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Pay | | BRL-CDI-Compounded | | | 0.000% | | | | 1/4/21 | | | | PAM | * | | | BRL | | | | 200,000 | | | $ | (459 | ) | | $ | (1,516 | ) | | $ | 1,057 | |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.673% | | | | 4/30/25 | | | | 12-Month | | | | USD | | | | 200,000 | | | | (2,271 | ) | | | 20 | | | | (2,291 | ) |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.683% | | | | 4/30/25 | | | | 12-Month | | | | USD | | | | 1,000,000 | | | | (12,103 | ) | | | 372 | | | | (12,475 | ) |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.684% | | | | 4/30/25 | | | | 12-Month | | | | USD | | | | 1,000,000 | | | | (12,015 | ) | | | (32 | ) | | | (11,983 | ) |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.696% | | | | 4/30/25 | | | | 12-Month | | | | USD | | | | 300,000 | | | | (3,882 | ) | | | — | | | | (3,882 | ) |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.710% | | | | 4/30/25 | | | | 12-Month | | | | USD | | | | 300,000 | | | | (4,152 | ) | | | — | | | | (4,152 | ) |
| Pay | | 28-Day MXN TIIE Banxico | | | 5.825% | | | | 1/12/23 | | | | 28-Day | | | | MXN | | | | 6,800,000 | | | | (28,753 | ) | | | 2,273 | | | | (31,026 | ) |
| Pay | | 28-Day MXN TIIE Banxico | | | 7.317% | | | | 3/23/22 | | | | 28-Day | | | | MXN | | | | 2,100,000 | | | | (2,282 | ) | | | — | | | | (2,282 | ) |
| Pay | | 28-Day MXN TIIE Banxico | | | 7.740% | | | | 2/22/27 | | | | 28-Day | | | | MXN | | | | 15,800,000 | | | | (20,233 | ) | | | (2,879 | ) | | | (17,354 | ) |
| Receive | | 3-Month Canadian Bank Bill | | | 1.850% | | | | 9/15/27 | | | | 6-Month | | | | CAD | | | | 2,000,000 | | | | 93,855 | | | | 35,305 | | | | 58,550 | |
| Pay | | 3-Month Canadian Bank Bill | | | 2.300% | | | | 7/16/20 | | | | 6-Month | | | | CAD | | | | 8,800,000 | | | | (7,328 | ) | | | (13,489 | ) | | | 6,161 | |
| Pay | | 3-Month FRA New Zealand Bank Bill | | | 2.500% | | | | 2/14/20 | | | | 6-Month | | | | NZD | | | | 13,050,000 | | | | 46,974 | | | | (58,144 | ) | | | 105,118 | |
| Pay | | 3-Month GBP-LIBOR | | | 1.000% | | | | 9/19/19 | | | | PAM | * | | | GBP | | | | 13,100,000 | | | | 11,599 | | | | 2,291 | | | | 9,308 | |
| Receive | | 3-Month GBP-LIBOR | | | 1.000% | | | | 9/18/20 | | | | PAM | * | | | GBP | | | | 13,100,000 | | | | 31,884 | | | | 37,969 | | | | (6,085 | ) |
| Pay | | 3-Month GBP-LIBOR | | | 1.250% | | | | 12/19/19 | | | | PAM | * | | | GBP | | | | 10,700,000 | | | | 33,667 | | | | 15,580 | | | | 18,087 | |
| Receive | | 3-Month GBP-LIBOR | | | 1.500% | | | | 12/18/20 | | | | PAM | * | | | GBP | | | | 10,700,000 | | | | (35,851 | ) | | | (16,796 | ) | | | (19,055 | ) |
| Pay | | 3-Month USD-LIBOR | | | 1.750% | | | | 4/1/19 | | | | PAM | * | | | USD | | | | 82,400,000 | | | | (327,051 | ) | | | (67,811 | ) | | | (259,240 | ) |
| Receive | | 3-Month USD-LIBOR | | | 1.750% | | | | 6/20/20 | | | | 6-Month | | | | USD | | | | 27,400,000 | | | | 542,797 | | | | 513,968 | | | | 28,829 | |
| Receive | | 3-Month USD-LIBOR | | | 1.750% | | | | 12/21/26 | | | | 6-Month | | | | USD | | | | 3,100,000 | | | | 268,868 | | | | (89,304 | ) | | | 358,172 | |
| Receive | | 3-Month USD-LIBOR | | | 2.000% | | | | 12/20/19 | | | | 6-Month | | | | USD | | | | 8,200,000 | | | | 82,407 | | | | (573 | ) | | | 82,980 | |
| Receive | | 3-Month USD-LIBOR | | | 2.000% | | | | 4/1/20 | | | | PAM | * | | | USD | | | | 82,400,000 | | | | 393,044 | | | | 46,390 | | | | 346,654 | |
| Receive | | 3-Month USD-LIBOR | | | 2.000% | | | | 6/20/23 | | | | 6-Month | | | | USD | | | | 600,000 | | | | 23,890 | | | | 28,791 | | | | (4,901 | ) |
| Receive | | 3-Month USD-LIBOR | | | 2.250% | | | | 12/16/22 | | | | 6-Month | | | | USD | | | | 2,200,000 | | | | 55,683 | | | | (12,375 | ) | | | 68,058 | |
| Receive | | 3-Month USD-LIBOR | | | 2.250% | | | | 6/20/28 | | | | 6-Month | | | | USD | | | | 6,900,000 | | | | 403,597 | | | | 420,998 | | | | (17,401 | ) |
| Receive | | 3-Month USD-LIBOR | | | 2.500% | | | | 6/20/48 | | | | 6-Month | | | | USD | | | | 1,000,000 | | | | 102,161 | | | | 111,190 | | | | (9,029 | ) |
| Pay | | 3-Month USD-LIBOR | | | 2.750% | | | | 12/19/20 | | | | 6-Month | | | | USD | | | | 3,700,000 | | | | (11,795 | ) | | | (11,348 | ) | | | (447 | ) |
| Receive | | 3-Month USD-LIBOR | | | 2.750% | | | | 12/20/47 | | | | 6-Month | | | | USD | | | | 3,100,000 | | | | 154,543 | | | | (113,222 | ) | | | 267,765 | |
| Receive | | 3-Month USD-LIBOR | | | 2.953% | | | | 11/12/49 | | | | 6-Month | | | | USD | | | | 600,000 | | | | 6,723 | | | | — | | | | 6,723 | |
| Receive | | 3-Month USD-LIBOR | | | 2.955% | | | | 11/12/49 | | | | 6-Month | | | | USD | | | | 600,000 | | | | 6,422 | | | | — | | | | 6,422 | |
| Receive | | 3-Month USD-LIBOR | | | 3.000% | | | | 12/19/48 | | | | 6-Month | | | | USD | | | | 1,700,000 | | | | 1,328 | | | | 46,780 | | | | (45,452 | ) |
| Pay | | 3-Month ZAR-SAJIBOR | | | 7.250% | | | | 6/20/23 | | | | 3-Month | | | | ZAR | | | | 49,300,000 | | | | (101,060 | ) | | | 9,005 | | | | (110,065 | ) |
| Pay | | 3-Month ZAR-SAJIBOR | | | 8.500% | | | | 3/15/27 | | | | 3-Month | | | | ZAR | | | | 5,200,000 | | | | 3,120 | | | | (349 | ) | | | 3,469 | |
| Pay | | 3-Month ZAR-SAJIBOR | | | 8.750% | | | | 3/16/21 | | | | 3-Month | | | | ZAR | | | | 15,700,000 | | | | 29,784 | | | | 1,570 | | | | 28,214 | |
| Pay | | 6-Month EURIBOR | | | 0.000% | | | | 9/19/20 | | | | 12-Month | | | | EUR | | | | 6,400,000 | | | | 20,749 | | | | 245 | | | | 20,504 | |
| Pay | | 6-Month EURIBOR | | | 0.500% | | | | 9/19/23 | | | | 12-Month | | | | EUR | | | | 15,600,000 | | | | 193,619 | | | | (102,349 | ) | | | 295,968 | |
| Pay | | 6-Month EURIBOR | | | 0.500% | | | | 12/19/23 | | | | 12-Month | | | | EUR | | | | 3,300,000 | | | | 28,769 | | | | (11,272 | ) | | | 40,041 | |
| Receive | | 6-Month EURIBOR | | | 0.500% | | | | 12/19/25 | | | | 12-Month | | | | EUR | | | | 600,000 | | | | 5,384 | | | | 7,044 | | | | (1,660 | ) |
| Pay | | 6-Month EURIBOR | | | 1.250% | | | | 9/19/28 | | | | 12-Month | | | | EUR | | | | 4,350,000 | | | | 182,443 | | | | 105,949 | | | | 76,494 | |
| Pay | | 6-Month EURIBOR | | | 1.250% | | | | 12/19/28 | | | | 6-Month | | | | EUR | | | | 7,100,000 | | | | 254,053 | | | | 98,218 | | | | 155,835 | |
| Receive | | 6-Month EURIBOR | | | 1.500% | | | | 9/19/48 | | | | 12-Month | | | | EUR | | | | 2,850,000 | | | | (24,022 | ) | | | 62,960 | | | | (86,982 | ) |
| Receive | | 6-Month EURIBOR | | | 1.500% | | | | 12/19/48 | | | | 12-Month | | | | EUR | | | | 500,000 | | | | (1,634 | ) | | | 11,755 | | | | (13,389 | ) |
| Pay | | 6-Month GBP-LIBOR | | | 1.250% | | | | 9/19/20 | | | | 6-Month | | | | GBP | | | | 1,400,000 | | | | 4,611 | | | | (108 | ) | | | 4,719 | |
| Receive | | 6-Month GBP-LIBOR | | | 1.500% | | | | 9/19/23 | | | | 6-Month | | | | GBP | | | | 200,000 | | | | (1,790 | ) | | | (42 | ) | | | (1,748 | ) |
| Receive | | 6-Month GBP-LIBOR | | | 1.500% | | | | 9/19/28 | | | | 6-Month | | | | GBP | | | | 1,200,000 | | | | 7,034 | | | | (28,212 | ) | | | 35,246 | |
| Receive | | 6-Month GBP-LIBOR | | | 1.750% | | | | 9/19/48 | | | | 6-Month | | | | GBP | | | | 750,000 | | | | (26,532 | ) | | | (39,362 | ) | | | 12,830 | |
| Pay | | 6-Month JPY-LIBOR | | | 0.100% | | | | 3/20/24 | | | | 6-Month | | | | JPY | | | | 1,120,000,000 | | | | (42,768 | ) | | | (33,210 | ) | | | (9,558 | ) |
| Receive | | 6-Month JPY-LIBOR | | | 0.450% | | | | 3/20/29 | | | | 6-Month | | | | JPY | | | | 440,000,000 | | | | (11,395 | ) | | | (36,950 | ) | | | 25,555 | |
| Receive | | 6-Month JPY-LIBOR | | | 0.500% | | | | 9/20/46 | | | | 6-Month | | | | JPY | | | | 10,000,000 | | | | 10,984 | | | | 10,359 | | | | 625 | |
| Receive | | 6-Month JPY-LIBOR | | | 0.750% | | | | 12/20/38 | | | | 6-Month | | | | JPY | | | | 184,205,000 | | | | 24,218 | | | | 24,040 | | | | 178 | |
| Receive | | 6-Month JPY-LIBOR | | | 1.000% | | | | 3/21/48 | | | | 6-Month | | | | JPY | | | | 80,000,000 | | | | (4,114 | ) | | | (22,317 | ) | | | 18,203 | |
| Pay | | 6-Month JPY-LIBOR | | | 1.500% | | | | 6/19/33 | | | | 6-Month | | | | JPY | | | | 150,000,000 | | | | 183,775 | | | | 105,297 | | | | 78,478 | |
| Receive | | 6-Month JPY-LIBOR | | | 1.500% | | | | 12/20/44 | | | | 6-Month | | | | JPY | | | | 60,000,000 | | | | (77,550 | ) | | | (41,481 | ) | | | (36,069 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | 2,448,945 | | | $ | 995,228 | | | $ | 1,453,717 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
244
| | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | |
Fund Pay
Floating Rate Index | | Fund Receive
Floating Rate Index | | Maturity
Date | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
1-Month USD-LIBOR + 0.070% | | 3-Month USD-LIBOR | | | 6/12/22 | | | USD | 1,400,000 | | | $ | 1,881 | | | $ | — | | | $ | 1,881 | |
1-Month USD-LIBOR + 0.084% | | 3-Month USD-LIBOR | | | 6/12/22 | | | USD | 1,900,000 | | | | 1,540 | | | | — | | | | 1,540 | |
1-Month USD-LIBOR + 0.073% | | 3-Month USD-LIBOR | | | 4/27/23 | | | USD | 4,600,000 | | | | (480 | ) | | | — | | | | (480 | ) |
1-Month USD-LIBOR + 0.084% | | 3-Month USD-LIBOR | | | 4/26/22 | | | USD | 6,700,000 | | | | (458 | ) | | | — | | | | (458 | ) |
1-Month USD-LIBOR + 0.085% | | 3-Month USD-LIBOR | | | 6/19/22 | | | USD | 7,400,000 | | | | 5,465 | | | | (555 | ) | | | 6,020 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | 7,948 | | | $ | (555 | ) | | $ | 8,503 | |
| | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2018, International Fixed Income Fund held the following OTC and Centrally Cleared Credit Default Swap Contracts:
OTC Credit Default Swaps on Corporate and Sovereign Issues and Indexes — Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
(Pay) Rate | | | Maturity
Date | | | Payment
Frequency | | | Counterparty | | | Implied Credit
Spread at
8/31/18 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
China Government International Bond, A+ | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | BCLY | | | | 0.600 | % | | | USD | | | | 200,000 | | | $ | (3,982 | ) | | $ | (3,815 | ) | | $ | (167 | ) |
China Government International Bond, A+ | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | GSC | | | | 0.600 | % | | | USD | | | | 500,000 | | | | (9,955 | ) | | | (9,654 | ) | | | (301 | ) |
Japan Government International Bond, A+ | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | BCLY | | | | 0.175 | % | | | USD | | | | 400,000 | | | | (12,811 | ) | | | (14,121 | ) | | | 1,310 | |
Japan Government International Bond, A+ | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | BNP | | | | 0.175 | % | | | USD | | | | 700,000 | | | | (22,419 | ) | | | (25,057 | ) | | | 2,638 | |
Japan Government International Bond, A+ | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | BOA | | | | 0.175 | % | | | USD | | | | 200,000 | | | | (6,405 | ) | | | (6,913 | ) | | | 508 | |
Japan Government International Bond, A+ | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | GSC | | | | 0.175 | % | | | USD | | | | 500,000 | | | | (16,013 | ) | | | (17,653 | ) | | | 1,640 | |
Japan Government International Bond, A+ | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | HSBC | | | | 0.175 | % | | | USD | | | | 300,000 | | | | (9,608 | ) | | | (10,159 | ) | | | 551 | |
Markit iTraxx Europe Sub Financials Series 27 5-Year Index | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | BNP | | | | 1.338 | % | | | EUR | | | | 700,000 | | | | 8,611 | | | | 36,666 | | | | (28,055 | ) |
South Korea International Bond, AA | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | BCLY | | | | 0.419 | % | | | USD | | | | 600,000 | | | | (16,854 | ) | | | (15,056 | ) | | | (1,798 | ) |
South Korea International Bond, AA | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | BNP | | | | 0.419 | % | | | USD | | | | 400,000 | | | | (11,236 | ) | | | (9,884 | ) | | | (1,352 | ) |
South Korea International Bond, AA | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | HSBC | | | | 0.419 | % | | | USD | | | | 200,000 | | | | (5,618 | ) | | | (4,989 | ) | | | (629 | ) |
South Korea International Bond, AA | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | JPM | | | | 0.419 | % | | | USD | | | | 400,000 | | | | (11,235 | ) | | | (9,580 | ) | | | (1,655 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (117,525 | ) | | $ | (90,215 | ) | | $ | (27,310 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
245
| | | | |
| International Fixed Income Fund |
Centrally Cleared — Credit Default Swaps on Corporate and Sovereign Issues and Indexes — Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
(Pay) Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
8/31/18 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
Basf Se, A | | | (1.000 | )% | | | 12/20/20 | | | | 3-Month | | | | 0.140 | % | | | EUR | | | | 100,000 | | | $ | (2,595 | ) | | $ | (2,908 | ) | | $ | 313 | |
Markit CDX North America High Yield Series 29 5-Year Index | | | (5.000 | )% | | | 12/20/22 | | | | 3-Month | | | | 3.071 | % | | | USD | | | | 500,000 | | | | (41,127 | ) | | | (37,838 | ) | | | (3,289 | ) |
Markit CDX North America Investment Grade Series 29 5-Year Index | | | (1.000 | )% | | | 12/20/22 | | | | 3-Month | | | | 0.520 | % | | | USD | | | | 4,200,000 | | | | (89,837 | ) | | | (91,553 | ) | | | 1,716 | |
Markit iTraxx Europe Senior Financials Series 28 5-Year Index | | | (1.000 | )% | | | 12/20/22 | | | | 3-Month | | | | 0.742 | % | | | EUR | | | | 300,000 | | | | (4,594 | ) | | | (8,323 | ) | | | 3,729 | |
Markit iTraxx Europe Series 26 5-Year Index | | | (1.000 | )% | | | 12/20/21 | | | | 3-Month | | | | 0.412 | % | | | EUR | | | | 43,500,000 | | | | (1,089,410 | ) | | | (1,285,998 | ) | | | 196,588 | |
Markit iTraxx Europe Series 28 5-Year Index | | | (1.000 | )% | | | 12/20/22 | | | | 3-Month | | | | 0.591 | % | | | EUR | | | | 16,500,000 | | | | (375,261 | ) | | | (643,847 | ) | | | 268,586 | |
Reynolds American Inc., BBB+ | | | (1.000 | )% | | | 12/20/20 | | | | 3-Month | | | | 0.179 | % | | | USD | | | | 500,000 | | | | (10,424 | ) | | | (14,731 | ) | | | 4,307 | |
United Utilities PLC, BBB | | | (1.000 | )% | | | 12/20/20 | | | | 3-Month | | | | 0.357 | % | | | EUR | | | | 200,000 | | | | (4,084 | ) | | | (3,440 | ) | | | (644 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (1,617,332 | ) | | $ | (2,088,638 | ) | | $ | 471,306 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared — Credit Default Swaps on Corporate and Sovereign Issues and Indexes — Sell Protection (4)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
Receive Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
8/31/18 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
Daimler AG, A | | | 1.000 | % | | | 12/20/20 | | | | 3-Month | | | | 0.437 | % | | | EUR | | | | 100,000 | | | $ | 1,820 | | | $ | 1,651 | | | $ | 169 | |
Markit iTraxx Europe Series 29 5-Year Index | | | 1.000 | % | | | 6/20/23 | | | | 3-Month | | | | 0.688 | % | | | EUR | | | | 3,200,000 | | | | 63,020 | | | | 70,704 | | | | (7,684 | ) |
Marks & Spencer PLC, BBB- | | | 1.000 | % | | | 6/20/23 | | | | 3-Month | | | | 1.408 | % | | | EUR | | | | 400,000 | | | | (7,805 | ) | | | (12,000 | ) | | | 4,195 | |
Ryder System Inc., BBB+ | | | 1.000 | % | | | 6/20/22 | | | | 3-Month | | | | 0.467 | % | | | USD | | | | 100,000 | | | | 2,117 | | | | 1,866 | | | | 251 | |
Shell International Finance BV, A+ | | | 1.000 | % | | | 12/20/26 | | | | 3-Month | | | | 0.682 | % | | | EUR | | | | 200,000 | | | | 6,740 | | | | (5,907 | ) | | | 12,647 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | 65,892 | | | $ | 56,314 | | | $ | 9,578 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2018, 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)
(amount
below is
in 000’s) | | | Notional
Amount of
Currency
Delivered (6)
(amount
below is
in 000’s) | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation | |
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 0.055% based on the notional amount of currency delivered | | | 10/13/26 | | |
| DUB | | | USD | 244 | | | GBP | 200 | | | $ | 12,706 | | | $ | (30 | ) | | $ | 12,736 | |
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 0.055% based on the notional amount of currency delivered | | | 10/13/26 | | |
| RBS | | | USD | 610 | | | GBP | 500 | | | | 31,665 | | | | 14,000 | | | | 17,665 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 44,371 | | | $ | 13,970 | | | $ | 30,401 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
246
| | | | |
| International Fixed Income Fund |
| (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 amount 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, 2018, International Fixed Income Fund deposited cash collateral with brokers in the amount of $1,532,000 for open centrally cleared swap contracts.
At August 31, 2018, International Fixed Income Fund had cash collateral from brokers in the amount of $580,000 for open OTC swap contracts.
| | | | | | |
Currency Abbreviations used in this schedule: | | Counterparty Abbreviations used in this schedule: |
| ARS | | — Argentine Peso | | BCLY | | — Barclays Bank PLC |
| AUD | | — Australian Dollar | | BNP | | — BNP Paribas SA |
| BRL | | — Brazilian Real | | BOA | | — Bank of America |
| CAD | | — Canadian Dollar | | CITI | | — Citigroup Global Markets Inc. |
| CHF | | — Swiss Franc | | DUB | | — Deutsche Bank AG |
| CNH | | — Chinese Offshore Renminbi | | 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 | | — Korean Won | | SOG | | — Societe Generale SA |
| MXN | | — Mexican Peso | | UBS | | — UBS Securities LLC |
| NOK | | — Norwegian Krone | | | | |
| NZD | | — New Zealand Dollar | | |
| PLN | | — Polish Zloty | | | | |
| SEK | | — Swedish Krona | | | | |
| SGD | | — Singapore Dollar | | | | |
| ZAR | | — South African Rand | | | | |
See Notes to Financial Statements.
247
| | | | | | | | | | |
| Municipal Bond Fund | |
| | | |
Face
Amount | | | Rating†† | | Security | | Value | |
| | MUNICIPAL BONDS — 96.9% | |
| | California — 12.7% | |
| $ | 735,000 | | | AAA | | California Educational Facilities Authority, Revenue Bonds, Stanford University, Series U-7, 5.000% due 6/1/46 | | $ | 957,683 | |
| | 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) | | | 1,221,600 | |
| | 500,000 | | | Baa1(b) | | California Municipal Finance Authority, Revenue Bonds, California Lutheran University, 5.000% due 10/1/36 | | | 574,175 | |
| | 1,050,000 | | | AA- | | California Statewide Communities Development Authority, Revenue Bonds, Sutter Health Project, Series A, Prerefunded 8/15/20 @ 100, 5.500% due 8/15/26(a) | | | 1,129,548 | |
| | 1,000,000 | | | AA- | | Garden Grove Unified School District, GO, 2010 Election, Series C, 5.000% due 8/1/35 | | | 1,126,530 | |
| | 1,000,000 | | | A3(b) | | Kaweah Delta Health Care District, Revenue Bonds, Series B, 4.000% due 6/1/45 | | | 990,220 | |
| | 640,000 | | | A+ | | Madera Unified School District, GO, Capital Appreciation Election of 2006, NPFG-Insured, zero coupon, due 8/1/29 | | | 444,051 | |
| | 1,500,000 | | | A+ | | San Diego County, CA, Regional Airport Authority, Revenue Bonds, Series A, 5.000% due 7/1/43 | | | 1,650,675 | |
| | | | | | | | | | |
| | | | | | Total California | | | 8,094,482 | |
| | | | | | | | | | |
| | Colorado — 11.4% | |
| | 750,000 | | | A+ | | City & County of Denver, CO, Airport System Revenue, Revenue Bonds, AMT, Series A, 5.000% due 11/15/30(c) | | | 864,510 | |
| | 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 | | | 1,607,200 | |
| | 1,500,000 | | | AA- | | Colorado Health Facilities Authority, Revenue Bonds, Sisters of Charity of Leavenworth Inc., Series A, 5.000% due 1/1/44 | | | 1,629,570 | |
| | 1,000,000 | | | AAA | | Colorado Water Resources & Power Development Authority, Revenue Bonds, Revolving Fund, Series A, 5.500% due 9/1/22 | | | 1,135,600 | |
| | 2,000,000 | | | AA- | | University of Colorado Hospital Authority, Revenue Bonds, Series A, 4.000% due 11/15/36 | | | 2,042,540 | |
| | | | | | | | | | |
| | | | | | Total Colorado | | | 7,279,420 | |
| | | | | | | | | | |
| | District of Colombia — 5.5% | |
| | | | | | District of Columbia, Revenue Bonds: | | | | |
| | 1,500,000 | | | AAA | | Income Tax Revenue, Series A, 5.000% due 12/1/28 | | | 1,633,005 | |
| | 1,000,000 | | | A | | University Revenue, Georgetown University, 5.000% due 4/1/24 | | | 1,137,630 | |
| | 700,000 | | | AA- | | Metropolitan Washington Airports Authority, Revenue Bonds, AMT, Series A, 4.000% due 10/1/36(c) | | | 716,982 | |
| | | | | | | | | | |
| | | | | | Total District of Colombia | | | 3,487,617 | |
| | | | | | | | | | |
| | Florida — 5.9% | |
| | 1,400,000 | | | A+ | | City of Cape Coral, FL, Water & Sewer Revenue, Revenue Bonds, 5.000% due 10/1/39 | | | 1,585,248 | |
| | 1,000,000 | | | A+ | | City of Jacksonville, FL, Revenue Bonds, Better Jacksonville Project, Prerefunded 10/1/18 @ 100, 5.000% due 10/1/21(a) | | | 1,002,490 | |
| | 1,000,000 | | | AA | | Orlando Utilities Commission, Utility System Revenue Bonds, 2018 Project, Series A, 5.000% due 10/1/33 | | | 1,169,920 | |
| | | | | | | | | | |
| | | | | | Total Florida | | | 3,757,658 | |
| | | | | | | | | | |
| | Illinois — 6.7% | |
| | | | | | Illinois Finance Authority, Revenue Bonds: | | | | |
| | 1,235,000 | | | AA | | Advocate Health Care, 4.000% due 6/1/47 | | | 1,241,768 | |
| | 600,000 | | | A | | DePaul University, 5.000% due 10/1/36 | | | 672,204 | |
| | 1,095,000 | | | A2(b) | | DePaul University, Series A, 5.375% due 10/1/19 | | | 1,136,730 | |
| | 1,000,000 | | | AAA | | Northwestern University, 5.000% due 12/1/28 | | | 1,215,490 | |
| | | | | | | | | | |
| | | | | | Total Illinois | | | 4,266,192 | |
| | | | | | | | | | |
See Notes to Financial Statements.
248
| | | | | | | | | | |
| Municipal Bond Fund | |
| | | |
Face
Amount | | | Rating†† | | Security | | Value | |
| | Indiana — 2.7% | |
| | | | | | Indiana Municipal Power Agency, Power Supply, Revenue Bonds: | | | | |
| $ | 500,000 | | | A+ | | Series A, 5.000% due 1/1/42 | | $ | 569,430 | |
| | 1,000,000 | | | A+ | | Series C, 5.000% due 1/1/37 | | | 1,133,260 | |
| | | | | | | | | | |
| | | | | | Total Indiana | | | 1,702,690 | |
| | | | | | | | | | |
| | Louisiana — 0.9% | |
| | | | | | New Orleans Aviation Board, AMT, General Airport North Terminal, Revenue Bonds, Series B: | | | | |
| | 250,000 | | | A- | | 5.000% due 1/1/37(c) | | | 276,860 | |
| | 250,000 | | | A- | | 5.000% due 1/1/38(c) | | | 276,290 | |
| | | | | | | | | | |
| | | | | | Total Louisiana | | | 553,150 | |
| | | | | | | | | | |
| | Massachusetts — 8.0% | |
| | 1,000,000 | | | AA | | Massachusetts Bay Transportation Authority, Revenue Bonds, Series A, 5.250% due 7/1/34 | | | 1,278,820 | |
| | 1,145,000 | | | AAA | | Massachusetts Development Finance Agency, Revenue Bonds, Harvard University, Series A, 5.000% due 7/15/40 | | | 1,467,272 | |
| | 1,000,000 | | | A1(b) | | Massachusetts Health & Educational Facilities Authority, Revenue Bonds, Northeastern University, Series R, 5.000% due 10/1/28 | | | 1,002,570 | |
| | 1,110,000 | | | AA+ | | Massachusetts Water Resources Authority, Revenue Bonds, Series B, AGM-Insured, 5.250% due 8/1/28 | | | 1,375,245 | |
| | | | | | | | | | |
| | | | | | Total Massachusetts | | | 5,123,907 | |
| | | | | | | | | | |
| | Nebraska — 3.4% | |
| | 2,000,000 | | | AA | | Omaha Public Power District, Revenue Bonds, Series A, Prerefunded 2/1/22 @ 100, 5.000% due 2/1/42(a) | | | 2,197,240 | |
| | | | | | | | | | |
| | Nevada — 2.1% | |
| | 1,130,000 | | | AAA | | State of Nevada Highway Improvement Revenue, Revenue Bonds, 5.000% due 12/1/31 | | | 1,321,479 | |
| | | | | | | | | | |
| | New Jersey — 4.6% | |
| | 1,340,000 | | | A3(b) | | Manalapan-Englishtown Regional Board of Education, GO, FGIC & NPFG-Insured, 5.750% due 12/1/22 | | | 1,525,067 | |
| | 1,335,000 | | | WD(d) | | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Hackensack University, Prerefunded 1/1/20 @ 100, 5.000% due 1/1/22(a) | | | 1,392,325 | |
| | | | | | | | | | |
| | | | | | Total New Jersey | | | 2,917,392 | |
| | | | | | | | | | |
| | 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) | | | 2,022,420 | |
| | | | | | | | | | |
| | Oregon — 3.2% | |
| | 500,000 | | | AA+ | | Salem-Keizer School District No 24J, GO, SCH BD GTY-Insured, 5.000% due 6/15/25 | | | 586,660 | |
| | 1,330,000 | | | Aa2(b) | | Washington & Clackamas Counties School District No. 23J Tigard-Tualatin, GO, NPFG-Insured, 5.000% due 6/15/22 | | | 1,477,524 | |
| | | | | | | | | | |
| | | | | | Total Oregon | | | 2,064,184 | |
| | | | | | | | | | |
| | South Carolina — 2.8% | |
| | 1,535,000 | | | Aa3(b) | | Clemson University, Revenue Bonds, 5.000% due 5/1/29 | | | 1,758,772 | |
| | | | | | | | | | |
| | Tennessee — 1.8% | |
| | 1,135,000 | | | Aa2(b) | | Tennessee Housing Development Agency, Revenue Bonds, Series A, 3.850% due 1/1/35 | | | 1,172,319 | |
| | | | | | | | | | |
| | Texas — 10.3% | |
| | 1,000,000 | | | A1(b) | | City of Houston, TX, Airport System Revenue, Revenue Bonds, AMT, Series C, 5.000% due 7/1/26(c) | | | 1,159,640 | |
| | | | | | North East, TX, Independent School District, GO, PSF-GTD-Insured: | | | | |
| | 1,000,000 | | | AAA | | 5.250% due 2/1/28 | | | 1,220,760 | |
| | 1,000,000 | | | AAA | | 5.250% due 2/1/30 | | | 1,244,410 | |
| | 1,000,000 | | | AA | | Texas State Technical College, Revenue Bonds, AGM-Insured, 4.000% due 10/15/33 | | | 1,043,640 | |
See Notes to Financial Statements.
249
| | | | | | | | | | |
| Municipal Bond Fund | |
| | | |
Face
Amount | | | Rating†† | | Security | | Value | |
| | Texas — 10.3% — (continued) | |
| $ | 1,575,000 | | | AAA | | Texas Transportation Commission State Highway Fund, Revenue Bonds, 5.250% due 4/1/26 | | $ | 1,882,881 | |
| | | | | | | | | | |
| | | | | | Total Texas | | | 6,551,331 | |
| | | | | | | | | | |
| | Utah — 4.5% | |
| | 500,000 | | | A | | Utah Associated Municipal Power Systems, Revenue Bonds, Horse Butte Wind, Series A, 5.000% due 9/1/32 | | | 574,915 | |
| | 2,000,000 | | | AA | | Utah State University, Revenue Bonds, Student Building Fee, Series B, Prerefunded 6/1/23 @ 100, 5.000% due 12/1/44(a) | | | 2,268,000 | |
| | | | | | | | | | |
| | | | | | Total Utah | | | 2,842,915 | |
| | | | | | | | | | |
| | Washington — 1.7% | |
| | 1,000,000 | | | AA+ | | City of Seattle, WA, Drainage & Wastewater Revenue, Revenue Bonds, 4.000% due 7/1/28 | | | 1,098,120 | |
| | | | | | | | | | |
| | Wisconsin — 5.5% | |
| | 1,500,000 | | | AA+ | | Wisconsin Department of Transportation, Revenue Bonds, Series I, FGIC & NPFG-Insured, 5.000% due 7/1/20 | | | 1,587,855 | |
| | 1,300,000 | | | A+ | | Wisconsin Health & Educational Facilities Authority, Revenue Bonds, Aspirus Inc. Obligation Group, 4.000% due 8/15/40 | | | 1,307,319 | |
| | 515,000 | | | A | | WPPI Energy, Power Supply, Revenue Bonds, Series A, 5.000% due 7/1/24 | | | 577,861 | |
| | | | | | | | | | |
| | | | | | Total Wisconsin | | | 3,473,035 | |
| | | | | | | | | | |
| | | | | | TOTAL MUNICIPAL BONDS
(Cost — $59,866,697) | | | 61,684,323 | |
| | | | | | | | | | |
| | SHORT-TERM INVESTMENTS — 1.9% | |
| | TIME DEPOSITS — 1.9% | |
| | 965,868 | | | | | Deutsche Bank AG — Grand Cayman, 1.280% due 9/4/18 | | | 965,868 | |
| | 227,546 | | | | | JPMorgan Chase & Co. — New York, 1.280% due 9/4/18 | | | 227,546 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $1,193,414) | | | 1,193,414 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 98.8%
(Cost — $61,060,111) | | | 62,877,737 | |
| | | | | | | | | | |
| | | | | | Other Assets in Excess of Liabilities — 1.2% | | | 746,293 | |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 63,624,030 | |
| | | | | | | | | | |
| †† | 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. |
At August 31, 2018, for Municipal Bond Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost for
Federal Income
Tax Purposes | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net Unrealized
Appreciation | |
Municipal Bond Fund | | $ | 61,060,111 | | | $ | 2,115,936 | | | $ | (298,310 | ) | | $ | 1,817,626 | |
See Notes to Financial Statements.
250
| | |
| Municipal Bond Fund |
|
Abbreviations used in this schedule: |
| AGM | | — Assured Guaranty Municipal Corporation |
| AMBAC | | — American Bond Assurance Corporation |
| FGIC | | — Financial Guarantee Insurance Company |
| GO | | — General Obligation |
| NPFG | | — National Public Finance Guarantee Corporation |
| PSF-GTD | | — Permanent School Fund Guaranteed |
| SCH BD GTY | | — Oregon School Bond Guaranty |
See pages 281-282 for definitions of ratings.
| | | | |
| Summary of Investments by Industry^ | | | |
Higher Education | | | 21.0 | % |
School District | | | 12.1 | |
Health Care Providers & Services | | | 11.5 | |
Transportation | | | 9.6 | |
Power | | | 8.5 | |
Water and Sewer | | | 8.3 | |
Airport | | | 7.9 | |
Utilities | | | 7.1 | |
General Obligation | | | 6.2 | |
Nursing Homes | | | 2.2 | |
Single Family Housing | | | 1.9 | |
Development | | | 1.8 | |
Short-Term Investments | | | 1.9 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
See Notes to Financial Statements.
251
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | U.S. GOVERNMENT OBLIGATIONS — 98.2% | |
| | | | | | U.S. Treasury Inflation Indexed Bonds: | | | | |
| $ | 16,723,743 | | | | | 2.375% due 1/15/25(a) | | $ | 18,421,632 | |
| | 8,789,510 | | | | | 2.000% due 1/15/26 | | | 9,572,084 | |
| | 1,920,920 | | | | | 1.750% due 1/15/28 | | | 2,086,024 | |
| | 12,403,158 | | | | | 3.625% due 4/15/28 | | | 15,632,825 | |
| | 16,504,288 | | | | | 2.500% due 1/15/29(a) | | | 19,270,691 | |
| | 7,069,458 | | | | | 3.875% due 4/15/29 | | | 9,252,061 | |
| | 743,902 | | | | | 3.375% due 4/15/32 | | | 985,762 | |
| | 4,441,927 | | | | | 2.125% due 2/15/40 | | | 5,529,765 | |
| | 1,726,020 | | | | | 2.125% due 2/15/41 | | | 2,166,076 | |
| | 223,038 | | | | | 0.750% due 2/15/42 | | | 216,600 | |
| | 219,206 | | | | | 0.625% due 2/15/43 | | | 206,510 | |
| | 5,179,044 | | | | | 1.375% due 2/15/44 | | | 5,747,693 | |
| | 642,060 | | | | | 0.750% due 2/15/45 | | | 620,156 | |
| | 5,413,164 | | | | | 1.000% due 2/15/46 | | | 5,552,828 | |
| | 4,822,818 | | | | | 0.875% due 2/15/47 | | | 4,800,023 | |
| | 6,713,686 | | | | | 1.000% due 2/15/48 | | | 6,897,088 | |
| | | | | | U.S. Treasury Inflation Indexed Notes: | | | | |
| | 7,880,604 | | | | | 0.125% due 4/15/19 | | | 7,820,063 | |
| | 18,980,446 | | | | | 0.125% due 4/15/20(a) | | | 18,741,090 | |
| | 2,166,488 | | | | | 1.250% due 7/15/20 | | | 2,194,136 | |
| | 13,591,013 | | | | | 0.125% due 4/15/21 | | | 13,343,482 | |
| | 413,675 | | | | | 0.625% due 7/15/21 | | | 413,840 | |
| | 9,018,135 | | | | | 0.125% due 1/15/22 | | | 8,832,157 | |
| | 1,639,205 | | | | | 0.125% due 4/15/22 | | | 1,600,338 | |
| | 10,326,390 | | | | | 0.125% due 1/15/23 | | | 10,061,356 | |
| | 1,450,706 | | | | | 0.625% due 4/15/23 | | | 1,442,801 | |
| | 5,149,297 | | | | | 0.625% due 1/15/24 | | | 5,122,538 | |
| | 16,944,979 | | | | | 0.125% due 7/15/24(a) | | | 16,426,053 | |
| | 4,115,165 | | | | | 0.250% due 1/15/25 | | | 3,990,465 | |
| | 1,417,508 | | | | | 0.375% due 7/15/25 | | | 1,388,042 | |
| | 15,950,070 | | | | | 0.625% due 1/15/26 | | | 15,806,354 | |
| | 2,260,209 | | | | | 0.125% due 7/15/26 | | | 2,158,985 | |
| | 260,795 | | | | | 0.375% due 1/15/27 | | | 252,501 | |
| | 15,903,957 | | | | | 0.500% due 1/15/28 | | | 15,486,271 | |
| | | | | | U.S. Treasury Notes: | | | | |
| | 1,600,000 | | | | | 2.125% due 3/31/24 | | | 1,547,250 | |
| | 640,000 | | | | | 1.875% due 8/31/24 | | | 608,275 | |
| | 900,000 | | | | | 2.250% due 11/15/24(a) | | | 872,508 | |
| | 561,000 | | | | | 2.750% due 2/15/28(a) | | | 556,069 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $236,899,053) | | | 235,622,392 | |
| | | | | | | | | | |
| | SOVEREIGN BONDS — 7.5% | |
| | Argentina — 0.4% | |
| | 617,000 | ARS | | NR | | Argentina Bonar Bonds, 36.480% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days Index + 2.000%) due 4/3/22(b) | | | 15,843 | |
| | 10,244,000 | ARS | | NR | | Argentina POM Politica Monetaria, 45.054% due 6/21/20(b) | | | 319,258 | |
| | | | | | Argentina Treasury Bills: | | | | |
| | 200,000 | | | NR | | zero coupon, due 9/28/18 | | | 199,490 | |
| | 263,000 | | | NR | | zero coupon, due 11/16/18 | | | 260,926 | |
| | 200,000 | | | B+ | | Argentine Republic Government International Bonds, 5.875% due 1/11/28 | | | 146,050 | |
| | | | | | | | | | |
| | | | | | Total Argentina | | | 941,567 | |
| | | | | | | | | | |
See Notes to Financial Statements.
252
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Australia — 0.7% | |
| | | | | | Australia Government Bonds: | | | | |
| $ | 1,040,000 | AUD | | Aaa(c) | | 1.250% due 2/21/22 | | $ | 871,269 | |
| | 890,000 | AUD | | Aaa(c) | | 3.000% due 9/20/25 | | | 905,367 | |
| | | | | | | | | | |
| | | | | | Total Australia | | | 1,776,636 | |
| | | | | | | | | | |
| | Brazil — 2.9% | |
| | 29,293,000 | BRL | | BB- | | Brazil Letras do Tesouro Nacional, zero coupon, due 1/1/19 | | | 7,043,495 | |
| | | | | | | | | | |
| | Canada — 0.2% | |
| | | | | | Canadian Government Real Return Bonds: | | | | |
| | 456,357 | CAD | | AAA | | 4.250% due 12/1/26 | | | 458,424 | |
| | 51,398 | CAD | | AAA | | 0.500% due 12/1/50(d) | | | 39,034 | |
| | | | | | | | | | |
| | | | | | Total Canada | | | 497,458 | |
| | | | | | | | | | |
| | Cyprus — 0.2% | |
| | | | | | Cyprus Government International Bonds: | | | | |
| | 80,000 | EUR | | Ba2(c) | | 3.875% due 5/6/22 | | | 102,182 | |
| | 80,000 | EUR | | BB+ | | 3.750% due 7/26/23 | | | 103,078 | |
| | 30,000 | EUR | | BB+ | | 2.750% due 6/27/24 | | | 36,932 | |
| | 90,000 | EUR | | Ba2(c) | | 4.250% due 11/4/25 | | | 120,152 | |
| | | | | | | | | | |
| | | | | | Total Cyprus | | | 362,344 | |
| | | | | | | | | | |
| | France — 0.7% | |
| | | | | | French Republic Government Bonds OAT: | | | | |
| | 220,920 | EUR | | Aa2u(c) | | 0.250% due 7/25/24 | | | 281,097 | |
| | 732,727 | EUR | | Aa2u(c) | | 0.100% due 3/1/25 | | | 917,557 | |
| | 343,189 | EUR | | Aa2u(c) | | 1.850% due 7/25/27 | | | 503,299 | |
| | | | | | | | | | |
| | | | | | Total France | | | 1,701,953 | |
| | | | | | | | | | |
| | Italy — 0.7% | |
| | | | | | Italy Buoni Poliennali Del Tesoro: | | | | |
| | 458,560 | EUR | | Baa2u(c) | | 2.350% due 9/15/19 | | | 545,486 | |
| | 100,905 | EUR | | Baa2u(c) | | 1.650% due 4/23/20 | | | 118,891 | |
| | 626,635 | EUR | | Baa2u(c) | | 2.600% due 9/15/23 | | | 761,618 | |
| | 145,702 | EUR | | Baa2u(c) | | 2.350% due 9/15/24(e) | | | 174,366 | |
| | | | | | | | | | |
| | | | | | Total Italy | | | 1,600,361 | |
| | | | | | | | | | |
| | New Zealand — 0.3% | |
| | 970,000 | NZD | | AA+ | | New Zealand Government Bonds Inflation Linked Bonds, 2.500% due 9/20/35 | | | 756,622 | |
| | | | | | | | | | |
| | Peru — 0.2% | |
| | 1,400,000 | PEN | | A3(c) | | Peru Government Bonds Inflation Linked Bonds, 6.150% due 8/12/32(e) | | | 440,333 | |
| | | | | | | | | | |
| | Qatar — 0.2% | |
| | | | | | Qatar Government International Bonds: | | | | |
| | 200,000 | | | AA- | | 3.875% due 4/23/23(e) | | | 201,080 | |
| | 200,000 | | | AA- | | 5.103% due 4/23/48(e) | | | 206,093 | |
| | | | | | | | | | |
| | | | | | Total Qatar | | | 407,173 | |
| | | | | | | | | | |
| | United Kingdom — 1.0% | |
| | 200,000 | GBP | | Aa2u(c) | | United Kingdom Gilt, 4.250% due 12/7/27 | | | 326,198 | |
| | | | | | United Kingdom Gilt Inflation Linked Bonds: | | | | |
| | 959,253 | GBP | | Aa2u(c) | | 0.125% due 3/22/26 | | | 1,434,980 | |
| | 140,864 | GBP | | Aa2u(c) | | 0.125% due 3/22/46 | | | 285,783 | |
| | 71,709 | GBP | | Aa2u(c) | | 0.125% due 8/10/48 | | | 151,320 | |
| | 7,439 | GBP | | Aa2u(c) | | 0.125% due 11/22/56 | | | 17,942 | |
| | 71,339 | GBP | | Aa2u(c) | | 0.125% due 11/22/65 | | | 201,889 | |
| | | | | | | | | | |
| | | | | | Total United Kingdom | | | 2,418,112 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $19,649,777) | | | 17,946,054 | |
| | | | | | | | | | |
See Notes to Financial Statements.
253
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 5.2% | |
| $ | 444,347 | | | Caa2(c) | | Alternative Loan Trust, Series 2006-HY11, Class A1, 2.185% (1-Month USD-LIBOR + 0.120%) due 6/25/36(b) | | $ | 417,254 | |
| | 875,814 | | | Caa3(c) | | Alternative Loan Trust Resecuritization, Series 2008-2R, Class 1A1, 6.000% due 8/25/37(b) | | | 840,357 | |
| | 4,608 | | | AA | | American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 4.021% (6-Month USD-LIBOR + 1.500%) due 9/25/45(b) | | | 4,630 | |
| | 379,186 | | | AAA | | B&M CLO Ltd., Series 2014-1A, Class A1R, 3.069% (3-Month USD-LIBOR + 0.730%) due 4/16/26(b)(e) | | | 379,343 | |
| | 46,678 | | | AA+ | | Banc of America Funding Trust, Series 2005-B, Class 3A1B, 2.697% (1-Month USD-LIBOR + 0.620%) due 4/20/35(b) | | | 46,802 | |
| | 38,962 | | | BBB+ | | Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-3, Class 3A2, 4.046% due 5/25/33(b) | | | 39,578 | |
| | 422,087 | | | CCC | | Bear Stearns Asset-Backed Securities Trust, Series 2004-1, Class M1, 3.040% (1-Month USD-LIBOR + 0.975%) due 6/25/34(b) | | | 424,438 | |
| | 105,886 | | | AA+ | | Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2004-A, Class A1, 2.425% (1-Month USD-LIBOR + 0.360%) due 3/25/35(b)(e) | | | 105,560 | |
| | 191,951 | | | Caa2(c) | | CHL Mortgage Pass-Through Trust, Series 2006-6, Class A4, 6.000% due 4/25/36 | | | 164,167 | |
| | 11,205 | | | B- | | Citigroup Mortgage Loan Trust Inc., Series 2004-HYB2, Class 2A, 3.889% due 3/25/34(b) | | | 11,323 | |
| | | | | | Countrywide Asset-Backed Certificates: | | | | |
| | 522,477 | | | CC | | Series 2007-1, Class 1A, 2.205% (1-Month USD-LIBOR + 0.140%) due 7/25/37(b) | | | 483,507 | |
| | 108,479 | | | CC | | Series 2007-6, Class 1A, 2.265% (1-Month USD-LIBOR + 0.200%) due 9/25/37(b) | | | 96,514 | |
| | 903,000 | | | NR | | Credit Suisse Commercial Mortgage, Series 2015-3R, Class 5A2, 2.215% (1-Month USD-LIBOR + 0.150%) due 9/29/36(b)(e) | | | 851,984 | |
| | 107,364 | | | NR | | Credit Suisse Commercial Mortgage Capital Trust, Series 2017-1, Class A, 4.500% due 3/25/21(e) | | | 108,132 | |
| | 153,000 | | | BB | | Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB3, Class M4, 3.115% (1-Month USD-LIBOR + 1.050%) due 5/25/35(b) | | | 152,906 | |
| | 600,000 | | | AAA | | Crown Point CLO 5 Ltd., Series 2018-5A, Class A, 3.276% (3-Month USD-LIBOR + 0.940%) due 7/17/28(b)(e) | | | 600,035 | |
| | 100,000 | | | Aaa(c) | | Evans Grove CLO Ltd., Series 2018-1A, Class A1, 3.231% (3-Month USD-LIBOR + 0.920%) due 5/28/28(b)(e) | | | 100,009 | |
| | 400,000 | | | AAA | | Figueroa CLO Ltd., Series 2013-2A, Class A1RR, 2.925% (3-Month USD-LIBOR + 0.850%) due 6/20/27(b)(e) | | | 400,124 | |
| | 6,829 | | | AA+ | | HarborView Mortgage Loan Trust, Series 2005-9, Class 2A1A, 2.417% (1-Month USD-LIBOR + 0.340%) due 6/20/35(b) | | | 6,720 | |
| | 88,069 | | | B- | | IndyMac INDX Mortgage Loan Trust, Series 2005-16IP, Class A1, 2.705% (1-Month USD-LIBOR + 0.640%) due 7/25/45(b) | | | 85,360 | |
| | 250,000 | | | Aaa(c) | | JMP Credit Advisors CLO IIIR Ltd., Series 2014-1RA, Class A, 3.186% (3-Month USD-LIBOR + 0.850%) due 1/17/28(b)(e) | | | 250,053 | |
| | 260,000 | EUR | | AAA | | Jubilee CLO BV, Series 2015-16A, Class A1R, 0.479% (0.800% — 3-Month EURIBOR) due 12/15/29(b)(e) | | | 302,047 | |
| | 450,000 | | | Aaa(c) | | LMREC Inc., Series 2015-CRE1, Class AR, 3.045% (1-Month USD-LIBOR + 0.980%) due 2/22/32(b)(e) | | | 450,945 | |
| | 320,000 | | | Aaa(c) | | Monarch Grove CLO 18-1, Series 2018-1A, Class A1, 3.215% (3-Month USD-LIBOR + 0.880%) due 1/25/28(b)(e) | | | 318,159 | |
| | 660,000 | | | AAA | | Mountain View CLO X Ltd., Series 2015-10A, Class AR, 3.157% (3-Month USD-LIBOR + 0.820%) due 10/13/27(b)(e) | | | 657,746 | |
| | 21,736 | | | AA+ | | MRFC Mortgage Pass-Through Trust, Series 2000-TBC2, Class A1, 2.543% (1-Month USD-LIBOR + 0.480%) due 6/15/30(b) | | | 21,207 | |
| | 45,502 | | | NR | | NYMT Residential, Series 2016-RP1A, Class A, step bond to yield, 4.000% due 3/25/21(e) | | | 45,740 | |
| | | | | | Option One Mortgage Loan Trust: | | | | |
| | 138,041 | | | CC | | Series 2007-1, Class 1A1, 2.205% (1-Month USD-LIBOR + 0.140%) due 1/25/37(b) | | | 107,299 | |
| | 137,701 | | | CC | | Series 2007-2, Class 1A1, 2.205% (1-Month USD-LIBOR + 0.140%) due 3/25/37(b) | | | 105,483 | |
| | 600,000 | | | B- | | RASC Trust, Series 2006-KS3, Class M1, 2.395% (1-Month USD-LIBOR + 0.330%) due 4/25/36(b) | | | 595,828 | |
| | 610,760 | | | NR | | RMAT LP, Series 2018-NPL1, Class A1, step bond to yield, 4.090% due 5/25/48(e) | | | 611,423 | |
See Notes to Financial Statements.
254
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 5.2% — (continued) | |
| $ | 636,996 | | | CC | | Securitized Asset-Backed Receivables LLC Trust, Series 2006-FR3, Class A3, 2.315% (1-Month USD-LIBOR + 0.250%) due 5/25/36(b) | | $ | 417,051 | |
| | 547,080 | | | B | | Sequoia Mortgage Trust, Series 6, Class A, 2.717% (1-Month USD-LIBOR + 0.640%) due 4/19/27(b) | | | 522,415 | |
| | 260,000 | | | Aaa(c) | | Symphony CLO XVII Ltd., Series 2016-17A, Class AR, 3.219% (3-Month USD-LIBOR + 0.880%) due 4/15/28(b)(e) | | | 260,037 | |
| | 360,000 | | | Aaa(c) | | TICP CLO III-2 Ltd., Series 2018-3R, Class A, 3.199% (3-Month USD-LIBOR + 0.840%) due 4/20/28(b)(e) | | | 356,421 | |
| | 540,000 | | | AAA | | Venture XII CLO Ltd., Series 2012-12A, Class ARR, 3.111% (3-Month USD-LIBOR + 0.800%) due 2/28/26(b)(e) | | | 537,381 | |
| | 800,000 | | | Aaa(c) | | Venture XVI CLO Ltd., Series 2014-16A, Class ARR, 3.189% (3-Month USD-LIBOR + 0.850%) due 1/15/28(b)(e) | | | 798,769 | |
| | 330,000 | | | Aaa(c) | | Venture XVII CLO Ltd., Series 2014-17A, Class ARR, 3.219% (3-Month USD-LIBOR + 0.880%) due 4/15/27(b)(e) | | | 328,411 | |
| | 387,963 | | | NR | | VOLT LVII LLC, Series 2017-NPL4, Class A1, step bond to yield, 3.375% due 4/25/47(e) | | | 387,734 | |
| | | | | | WaMu Mortgage Pass-Through Certificates Trust: | | | | |
| | 18,762 | | | Baa1(c) | | Series 2002-AR2, Class A, 2.184% (11th District Cost of Funds Index + 1.250%) due 2/27/34(b) | | | 18,576 | |
| | 9,047 | | | BBB | | Series 2002-AR17, Class 1A, 2.948% (1-Year Treasury Average Rate + 1.200%) due 11/25/42(b) | | | 8,664 | |
| | 4,524 | | | A+ | | Wells Fargo Mortgage-Backed Securities Trust, Series 2004-E, Class A2, 4.349% due 5/25/34(b) | | | 4,639 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $12,308,102) | | | 12,424,771 | |
| | | | | | | | | | |
| | MORTGAGE-BACKED SECURITIES — 4.0% | |
| | FNMA — 4.0% | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 6,570,000 | | | | | 3.500% due 10/1/48(f) | | | 6,528,296 | |
| | 3,000,000 | | | | | 4.000% due 10/1/48(f) | | | 3,051,450 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $9,577,463) | | | 9,579,746 | |
| | | | | | | | | | |
| | CORPORATE BONDS & NOTES — 3.1% | |
| | Agriculture — 0.0% | |
| | 100,000 | | | BBB+ | | BAT Capital Corp., Company Guaranteed Notes, 2.909% (3-Month USD-LIBOR + 0.590%) due 8/14/20(b)(e) | | | 100,386 | |
| | | | | | | | | | |
| | Auto Manufacturers — 0.1% | |
| | 200,000 | | | A- | | Hyundai Capital America, Senior Unsecured Notes, 1.750% due 9/27/19(e) | | | 196,636 | |
| | | | | | | | | | |
| | Banks — 1.4% | |
| | 200,000 | EUR | | B+ | | Barclays PLC, Junior Subordinated Notes, 6.500% (5-Year EUR Swap Rate + 5.875%)(b)(g) | | | 240,772 | |
| | 700,000 | | | BBB- | | Deutsche Bank AG, Senior Unsecured Notes, 4.250% due 10/14/21 | | | 698,579 | |
| | 100,000 | | | BBB+ | | Goldman Sachs Group Inc. (The), Senior Unsecured Notes, 2.876% (3-Month USD-LIBOR + 0.821%) due 10/31/22(b) | | | 97,959 | |
| | 100,000 | GBP | | BBB+ | | HSBC Holdings PLC, Subordinated Notes, 6.000% due 3/29/40 | | | 165,652 | |
| | 200,000 | | | BBB+ | | Lloyds Banking Group PLC, Senior Unsecured Notes, 3.130% (3-Month USD-LIBOR + 0.800%) due 6/21/21(b) | | | 200,751 | |
| | | | | | Royal Bank of Scotland Group PLC: | | | | |
| | 240,000 | | | B | | Junior Subordinated Notes, 8.625% (5-Year USD Swap Rate + 7.598%)(b)(g) | | | 257,496 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB- | | 3.885% (3-Month USD-LIBOR + 1.550%) due 6/25/24(b) | | | 201,563 | |
| | 200,000 | | | BBB- | | 4.519% (3-Month USD-LIBOR + 1.550%) due 6/25/24(b) | | | 200,721 | |
| | 400,000 | | | Aaa(c) | | Toronto-Dominion Bank (The), Covered Notes, 2.250% due 3/15/21(e) | | | 392,113 | |
See Notes to Financial Statements.
255
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Banks — 1.4% — (continued) | |
| | | | | | UBS AG, Senior Unsecured Notes: | | | | |
| $ | 400,000 | | | A+ | | 2.639% (3-Month USD-LIBOR + 0.320%) due 12/7/18(b)(e) | | $ | 400,249 | |
| | 400,000 | | | A+ | | 2.901% (3-Month USD-LIBOR + 0.580%) due 6/8/20(b)(e) | | | 401,512 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 3,257,367 | |
| | | | | | | | | | |
| | Diversified Financial Services — 0.9% | |
| | | | | | Ally Financial Inc.: | | | | |
| | 400,000 | | | BB+ | | Company Guaranteed Notes, 8.000% due 11/1/31 | | | 491,000 | |
| | 100,000 | | | BB+ | | Senior Unsecured Notes, 8.000% due 11/1/31 | | | 122,750 | |
| | 600,000 | | | BBB- | | International Lease Finance Corp., Senior Unsecured Notes, 6.250% due 5/15/19 | | | 613,397 | |
| | 100,000 | | | A | | National Rural Utilities Cooperative Finance Corp., Senior Unsecured Notes, 2.575% (3-Month USD-LIBOR + 0.375%) due 6/30/21(b) | | | 100,070 | |
| | 200,000 | | | B+ | | Navient Corp., Senior Unsecured Notes, 5.500% due 1/15/19 | | | 201,810 | |
| | 700,000 | | | B+ | | Springleaf Finance Corp., Company Guaranteed Notes, 5.250% due 12/15/19 | | | 711,375 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 2,240,402 | |
| | | | | | | | | | |
| | Electric — 0.0% | |
| | 100,000 | | | BBB+ | | Sempra Energy, Senior Unsecured Notes, 2.791% (3-Month USD-LIBOR + 0.450%) due 3/15/21(b) | | | 100,124 | |
| | | | | | | | | | |
| | Gas — 0.1% | |
| | 200,000 | | | BBB+ | | Dominion Energy Gas Holdings LLC, Senior Unsecured Notes, 2.926% (3-Month USD-LIBOR + 0.600%) due 6/15/21(b) | | | 199,973 | |
| | | | | | | | | | |
| | Oil & Gas — 0.3% | |
| | 757,000 | | | BB- | | Petrobras Global Finance BV, Company Guaranteed Notes, 5.999% due 1/27/28(e) | | | 681,111 | |
| | | | | | | | | | |
| | Pipelines — 0.1% | |
| | 200,000 | | | BBB+ | | Enbridge Inc., Senior Unsecured Notes, 2.731% (3-Month USD-LIBOR + 0.400%) due 1/10/20(b) | | | 200,030 | |
| | | | | | | | | | |
| | Savings & Loans — 0.1% | |
| | 200,000 | GBP | | BB+ | | Nationwide Building Society, Junior Subordinated Notes, 6.875% (5-Year GBP Swap Rate + 4.880%)(b)(g) | | | 266,767 | |
| | | | | | | | | | |
| | Telecommunications — 0.1% | |
| | 300,000 | | | BBB | | AT&T Inc., Senior Unsecured Notes, 3.071% (3-Month USD-LIBOR + 0.750%) due 6/1/21(b) | | | 301,589 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $7,582,132) | | | 7,544,385 | |
| | | | | | | | | | |
| | ASSET-BACKED SECURITY — 0.1% | |
| | Student Loans — 0.1% | |
| | 235,540 | | | Aaa(c) | | Navient Student Loan Trust, Series 2016-7A, Class A, 3.215% (1-Month USD-LIBOR + 1.150%) due 3/25/66(b)(e)
(Cost — $235,540) | | | 239,713 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $286,252,067) | | | 283,357,061 | |
| | | | | | | | | | |
| | | |
Face
Amount† | | | | | | | | |
| | SHORT-TERM INVESTMENTS — 2.2% | |
| | SOVEREIGN BONDS — 1.5% | |
| | | | | | Argentina Treasury Bills: | | | | |
| | 700,000 | ARS | | NR | | 25.436% due 9/14/18(h) | | | 18,825 | |
| | 100,000 | | | NR | | 3.100% due 10/26/18(h) | | | 99,547 | |
| | 390,000,000 | JPY | | NR | | Japan Treasury Discount Bills, (0.153)% due 10/29/18(h) | | | 3,512,166 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $3,652,892) | | | 3,630,538 | |
| | | | | | | | | | |
See Notes to Financial Statements.
256
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount† | | | Rating†† | | Security | | Value | |
| | TIME DEPOSITS — 0.7% | |
| | 128,763 | GBP | | | | Banco Santander - Frankfurt, 0.370% due 9/3/18 | | $ | 166,921 | |
| | 10,130,070 | JPY | | | | Barclays Bank PLC - London, (0.230)% due 9/3/18 | | | 91,192 | |
| | | | | | BBH — Grand Cayman: | | | | |
| | 2,099 | DKK | | | | (0.850)% due 9/3/18 | | | 327 | |
| | 6,221 | NZD | | | | 0.800% due 9/3/18 | | | 4,116 | |
| | 17,433 | AUD | | | | 0.900% due 9/3/18 | | | 12,532 | |
| | 556 | ZAR | | | | 5.810% due 9/3/18 | | | 38 | |
| | 863 | CAD | | | | 0.590% due 9/4/18 | | | 661 | |
| $ | 1,198,637 | | | | | JPMorgan Chase & Co. — New York, 1.280% due 9/4/18 | | | 1,198,637 | |
| | 94,251 | EUR | | | | Sumitomo — Tokyo, (0.570)% due 9/3/18 | | | 109,412 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $1,583,836) | | | 1,583,836 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $5,236,728) | | | 5,214,374 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 120.3%
(Cost — $291,488,795) | | | 288,571,435 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (20.3)% | | | (48,652,985 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 239,918,450 | |
| | | | | | | | | | |
| † | 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 agreements. |
| (b) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2018. |
| (c) | Rating by Moody’s Investors Service. All ratings are unaudited. |
| (e) | 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. The aggregate value of restricted 144A holdings at August 31, 2018 amounts to approximately $11,283,645 and represents 4.7% of net assets. |
| (f) | This security is traded on a TBA basis (see Note 1). |
| (g) | Security is perpetual in nature and has no stated maturity date. |
| (h) | Rate shown represents yield-to-maturity. |
At August 31, 2018, for Inflation-Linked Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost for
Federal Income
Tax Purposes | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net Unrealized
Depreciation | |
Inflation-Linked Fixed Income Fund | | $ | 294,954,317 | | | $ | 6,266,577 | | | $ | (11,716,475 | ) | | $ | (5,449,898 | ) |
| | |
Abbreviations used in this schedule: |
| CLO | | — Collateralized Loan Obligation |
| EURIBOR | | — Euro Interbank Offered Rate |
| LIBOR | | — London Interbank Offered Rate |
| PLC | | — Public Limited Company |
See Notes to Financial Statements.
257
| | | | | | |
| Inflation-Linked Fixed Income Fund |
| | | | |
| Summary of Investments by Security Type^ | | | |
U.S. Government Obligations | | | 81.7 | % |
Sovereign Bonds | | | 6.2 | |
Collateralized Mortgage Obligations | | | 4.3 | |
Mortgage-Backed Securities | | | 3.3 | |
Corporate Bonds & Notes | | | 2.6 | |
Asset-Backed Security | | | 0.1 | |
Short-Term Investments | | | 1.8 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
At August 31, 2018, Inflation-Linked Fixed Income Fund held the following Options Contracts Written:
| | | | | | | | | | | | | | | | | | | | | | |
| Credit Default Swaptions | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | Expiration
Date | | | Exercise Rate | | | Value | |
| | 1,800,000 | | | | $1,086,660 | | | OTC Markit CDX North America Investment Grade Series 30 5-Year Index, Put | | BNP | | | 9/19/18 | | | | 0.900% | | | $ | 14 | |
| | 700,000 | | | | 472,192 | EUR | | OTC Markit iTraxx Europe Series 29 5-Year Index, Put | | BCLY | | | 10/17/18 | | | | 0.900% | | | | 431 | |
| | 1,300,000 | | | | 876,928 | EUR | | OTC Markit iTraxx Europe Series 29 5-Year Index, Put | | BCLY | | | 11/21/18 | | | | 0.900% | | | | 1,887 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Credit Default Swaptions | | | | | | | | | | | | $ | 2,332 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| Currency Option | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | Expiration
Date | | | Strike Price | | | Value | |
| | 470,000 | | | | 1,913,417 | BRL | | OTC U.S. Dollar versus Brazilian Real, Call(a) | | JPM | | | 10/17/18 | | | | BRL 4.00 | | | $ | 21,139 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| Interest Rate Swaption | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount | | | Security Name | | Counterparty | | Expiration
Date | | | Exercise Rate | | | Value | |
| | 2,200,000 | | | | $5,106,750 | | | OTC 5-Year Swaption, 3-Month USD-LIBOR, Put | | DUB | | | 12/4/18 | | | | 3.250% | | | $ | 3,102 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| Options on Futures | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | Expiration
Date | | | Strike Price | | | Value | |
| | 12 | | | | 1,925,640 | EUR | | Euro-Bund October Futures, Put | | CSFB | | | 9/21/18 | | | | EUR 160.00 | | | $ | 4,318 | |
| | 6 | | | | 962,820 | EUR | | Euro-Bund November Futures, Put | | SOG | | | 10/26/18 | | | | EUR 159.50 | | | | 3,831 | |
| | 20 | | | | $2,403,125 | | | U.S. Treasury 10-Year Note October Futures, Call | | MLP | | | 9/21/18 | | | $ | 121.00 | | | | 2,813 | |
| | 13 | | | | 1,562,031 | | | U.S. Treasury 10-Year Note October Futures, Put | | MLP | | | 9/21/18 | | | $ | 119.00 | | | | 609 | |
| | 7 | | | | 841,094 | | | U.S. Treasury 10-Year Note October Futures, Put | | MLP | | | 9/21/18 | | | $ | 119.50 | | | | 766 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | $ | 12,337 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN
(Premiums received — $48,785) | | | | | | | | | | | | $ | 38,910 | |
| | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
See Notes to Financial Statements.
258
| | | | | | |
| Inflation-Linked Fixed Income Fund |
At August 31, 2018, Inflation-Linked Fixed Income Fund held the following Reverse Repurchase Agreements:
| | | | | | | | |
| | |
Face
Amounts† | | | Security | | Value | |
| | | | Royal Bank of Canada: | | | | |
| $ | 10,850,875 | | | 2.050% due 9/6/18 | | $ | 10,850,875 | |
| | 761,591 | | | 2.170% due 10/17/18 | | | 761,591 | |
| | | | Royal Bank of Scotland PLC: | | | | |
| | 30,139,613 | | | 2.140% due 10/23/18 | | | 30,139,613 | |
| | 205,500 | | | 2.240% due 11/20/18 | | | 205,500 | |
| | | | | | | | |
| | | | TOTAL REVERSE REPURCHASE AGREEMENTS
(Proceeds — $41,957,579) | | $ | 41,957,579 | |
| | | | | | | | |
For the year ended August 31, 2018, the average borrowing and interest rate under the reverse repurchase agreements were $61,806,175 and 1.656%, respectively.
At August 31, 2018, 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) | | | Notional
Amount | | | Market Value | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
90-Day Eurodollar December Futures | | | 1 | | | | 12/18 | | | $ | 244,250 | | | $ | 243,463 | | | $ | (787 | ) |
90-Day Eurodollar December Futures | | | 1 | | | | 12/19 | | | | 243,688 | | | | 242,613 | | | | (1,075 | ) |
90-Day Eurodollar June Futures | | | 1 | | | | 6/19 | | | | 243,925 | | | | 242,850 | | | | (1,075 | ) |
90-Day Eurodollar March Futures | | | 1 | | | | 3/19 | | | | 244,075 | | | | 243,100 | | | | (975 | ) |
90-Day Eurodollar September Futures | | | 1 | | | | 9/18 | | | | 244,525 | | | | 244,113 | | | | (412 | ) |
90-Day Eurodollar September Futures | | | 1 | | | | 9/19 | | | | 243,800 | | | | 242,712 | | | | (1,088 | ) |
Short Euro-BTP September Futures | | | 1 | | | | 9/18 | | | | 126,626 | | | | 126,858 | | | | 232 | |
U.S. Treasury 5-Year Note December Futures | | | 13 | | | | 12/18 | | | | 1,476,313 | | | | 1,474,180 | | | | (2,133 | ) |
U.S. Treasury 10-Year Note December Futures | | | 167 | | | | 12/18 | | | | 20,035,972 | | | | 20,084,359 | | | | 48,387 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 41,074 | |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
Australian Government 3-Year Bond September Futures | | | 14 | | | | 9/18 | | | | 1,116,673 | | | | 1,123,196 | | | | (6,523 | ) |
Australian Government 10-Year Bond September Futures | | | 4 | | | | 9/18 | | | | 366,950 | | | | 375,505 | | | | (8,555 | ) |
Euro-BTP December Futures | | | 5 | | | | 12/18 | | | | 707,248 | | | | 701,037 | | | | 6,211 | |
Euro-Bund September Futures | | | 9 | | | | 9/18 | | | | 1,692,519 | | | | 1,705,788 | | | | (13,269 | ) |
Euro-OAT December Futures | | | 30 | | | | 12/18 | | | | 5,313,013 | | | | 5,312,630 | | | | 383 | |
Japan Government 10-Year Bond September Futures | | | 1 | | | | 9/18 | | | | 1,356,191 | | | | 1,353,738 | | | | 2,453 | |
U.S. Treasury 2-Year Note December Futures | | | 40 | | | | 12/18 | | | | 8,452,500 | | | | 8,454,375 | | | | (1,875 | ) |
U.S. Treasury Long Bond December Futures | | | 94 | | | | 12/18 | | | | 13,608,948 | | | | 13,556,562 | | | | 52,386 | |
U.S. Treasury Ultra Long Bond December Futures | | | 1 | | | | 12/18 | | | | 160,313 | | | | 159,313 | | | | 1,000 | |
U.S. Ultra Long Bond December Futures | | | 42 | | | | 12/18 | | | | 5,389,453 | | | | 5,377,969 | | | | 11,484 | |
United Kingdom Treasury 10-Year Gilt December Futures | | | 52 | | | | 12/18 | | | | 8,261,327 | | | | 8,246,289 | | | | 15,038 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 58,733 | |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | 99,807 | |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
259
| | | | | | |
| Inflation-Linked Fixed Income Fund | | |
At August 31, 2018, Inflation-Linked Fixed Income Fund had deposited cash of $379,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
At August 31, 2018, 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 | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Argentine Peso | | | 3,962,100 | | | | USD | | | | 141,000 | | | | BNP | | | $ | 107,374 | | | | 9/4/18 | | | $ | (33,626 | ) |
Argentine Peso | | | 3,962,100 | | | | USD | | | | 125,582 | | | | BNP | | | | 105,882 | | | | 9/17/18 | | | | (19,700 | ) |
Argentine Peso | | | 2,428,495 | | | | USD | | | | 87,419 | | | | BCLY | | | | 64,229 | | | | 9/26/18 | | | | (23,190 | ) |
Argentine Peso | | | 3,962,100 | | | | USD | | | | 104,047 | | | | BNP | | | | 104,790 | | | | 9/26/18 | | | | 743 | |
Brazilian Real | | | 442,600 | | | | USD | | | | 114,190 | | | | BNP | | | | 108,718 | | | | 9/5/18 | | | | (5,472 | ) |
Brazilian Real | | | 442,600 | | | | USD | | | | 107,030 | | | | JPM | | | | 108,718 | | | | 9/5/18 | | | | 1,688 | |
Brazilian Real | | | 100,000 | | | | USD | | | | 26,776 | | | | BNP | | | | 24,489 | | | | 10/2/18 | | | | (2,287 | ) |
Brazilian Real | | | 330,000 | | | | USD | | | | 85,173 | | | | JPM | | | | 80,813 | | | | 10/2/18 | | | | (4,360 | ) |
Brazilian Real | | | 470,000 | | | | USD | | | | 119,828 | | | | JPM | | | | 115,098 | | | | 10/2/18 | | | | (4,730 | ) |
Chinese Offshore Renminbi | | | 3,586,695 | | | | USD | | | | 526,874 | | | | HSBC | | | | 523,966 | | | | 9/19/18 | | | | (2,908 | ) |
Chinese Offshore Renminbi | | | 3,472,380 | | | | USD | | | | 505,000 | | | | JPM | | | | 507,266 | | | | 9/19/18 | | | | 2,266 | |
Euro | | | 128,000 | | | | USD | | | | 148,781 | | | | BCLY | | | | 148,589 | | | | 9/4/18 | | | | (192 | ) |
Euro | | | 152,000 | | | | USD | | | | 177,003 | | | | JPM | | | | 176,450 | | | | 9/4/18 | | | | (553 | ) |
Euro | | | 324,000 | | | | USD | | | | 379,418 | | | | JPM | | | | 376,115 | | | | 9/4/18 | | | | (3,303 | ) |
Euro | | | 3,788,000 | | | | USD | | | | 4,420,407 | | | | MLP | | | | 4,397,299 | | | | 9/4/18 | | | | (23,108 | ) |
Indian Rupee | | | 39,053,735 | | | | USD | | | | 570,878 | | | | BNP | | | | 549,079 | | | | 9/19/18 | | | | (21,799 | ) |
Indian Rupee | | | 21,508,760 | | | | USD | | | | 311,000 | | | | JPM | | | | 302,404 | | | | 9/19/18 | | | | (8,596 | ) |
Indian Rupee | | | 22,533,559 | | | | USD | | | | 316,986 | | | | BNP | | | | 313,431 | | | | 12/19/18 | | | | (3,555 | ) |
Indonesian Rupiah | | | 3,652,622,400 | | | | USD | | | | 254,361 | | | | HSBC | | | | 247,537 | | | | 9/19/18 | | | | (6,824 | ) |
Indonesian Rupiah | | | 3,652,622,400 | | | | USD | | | | 245,720 | | | | SCB | | | | 244,596 | | | | 12/19/18 | | | | (1,124 | ) |
Japanese Yen | | | 41,100,000 | | | | USD | | | | 368,023 | | | | SCB | | | | 369,987 | | | | 9/4/18 | | | | 1,964 | |
Korean Won | | | 468,092,900 | | | | USD | | | | 417,698 | | | | BNP | | | | 419,741 | | | | 9/19/18 | | | | 2,043 | |
Korean Won | | | 459,756,900 | | | | USD | | | | 409,000 | | | | JPM | | | | 412,266 | | | | 9/19/18 | | | | 3,266 | |
Mexican Peso | | | 2,532,000 | | | | USD | | | | 134,406 | | | | JPM | | | | 131,501 | | | | 10/26/18 | | | | (2,905 | ) |
New Taiwan Dollar | | | 7,206,890 | | | | USD | | | | 234,706 | | | | BNP | | | | 235,206 | | | | 9/19/18 | | | | 500 | |
New Taiwan Dollar | | | 7,000,740 | | | | USD | | | | 228,000 | | | | JPM | | | | 228,478 | | | | 9/19/18 | | | | 478 | |
Peruvian Sol | | | 1,581,510 | | | | USD | | | | 479,682 | | | | HSBC | | | | 479,115 | | | | 9/18/18 | | | | (567 | ) |
Russian Ruble | | | 30,145,113 | | | | USD | | | | 461,832 | | | | BCLY | | | | 443,173 | | | | 11/15/18 | | | | (18,659 | ) |
Singapore Dollar | | | 324,084 | | | | USD | | | | 236,354 | | | | HSBC | | | | 236,181 | | | | 9/19/18 | | | | (173 | ) |
Singapore Dollar | | | 313,194 | | | | USD | | | | 228,000 | | | | JPM | | | | 228,244 | | | | 9/19/18 | | | | 244 | |
Turkish Lira | | | 1,492,000 | | | | USD | | | | 313,021 | | | | HSBC | | | | 221,131 | | | | 10/19/18 | | | | (91,890 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (266,329 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Argentine Peso | | | 3,962,100 | | | | USD | | | | 127,194 | | | | BNP | | | | 107,374 | | | | 9/4/18 | | | | 19,820 | |
Argentine Peso | | | 3,962,100 | | | | USD | | | | 105,656 | | | | BNP | | | | 105,882 | | | | 9/17/18 | | | | (226 | ) |
Argentine Peso | | | 6,082,121 | | | | USD | | | | 196,197 | | | | HSBC | | | | 160,860 | | | | 9/26/18 | | | | 35,337 | |
Australian Dollar | | | 3,191,000 | | | | USD | | | | 2,368,772 | | | | BNP | | | | 2,293,850 | | | | 9/4/18 | | | | 74,922 | |
Brazilian Real | | | 442,600 | | | | USD | | | | 107,030 | | | | BNP | | | | 108,718 | | | | 9/5/18 | | | | (1,688 | ) |
Brazilian Real | | | 442,600 | | | | USD | | | | 118,000 | | | | JPM | | | | 108,718 | | | | 9/5/18 | | | | 9,282 | |
Brazilian Real | | | 442,600 | | | | USD | | | | 113,895 | | | | BNP | | | | 108,388 | | | | 10/2/18 | | | | 5,507 | |
Brazilian Real | | | 900,000 | | | | USD | | | | 260,447 | | | | SCB | | | | 220,400 | | | | 10/2/18 | | | | 40,047 | |
Brazilian Real | | | 8,670,000 | | | | USD | | | | 2,349,212 | | | | BNP | | | | 2,104,250 | | | | 1/3/19 | | | | 244,962 | |
Brazilian Real | | | 4,154,000 | | | | USD | | | | 1,088,774 | | | | BNP | | | | 1,008,195 | | | | 1/3/19 | | | | 80,579 | |
See Notes to Financial Statements.
260
| | | | | | |
| Inflation-Linked Fixed Income Fund | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Brazilian Real | | | 8,872,000 | | | | USD | | | | 2,363,661 | | | | JPM | | | $ | 2,153,277 | | | | 1/3/19 | | | $ | 210,384 | |
Brazilian Real | | | 2,860,000 | | | | USD | | | | 795,660 | | | | JPM | | | | 694,135 | | | | 1/3/19 | | | | 101,525 | |
Brazilian Real | | | 4,737,000 | | | | USD | | | | 1,272,395 | | | | SCB | | | | 1,149,692 | | | | 1/3/19 | | | | 122,703 | |
British Pound | | | 2,479,000 | | | | USD | | | | 3,256,895 | | | | SCB | | | | 3,213,650 | | | | 9/4/18 | | | | 43,245 | |
Canadian Dollar | | | 1,608,000 | | | | USD | | | | 1,235,171 | | | | JPM | | | | 1,232,278 | | | | 9/4/18 | | | | 2,893 | |
Chinese Offshore Renminbi | | | 7,059,075 | | | | USD | | | | 1,109,290 | | | | HSBC | | | | 1,031,232 | | | | 9/19/18 | | | | 78,058 | |
Chinese Offshore Renminbi | | | 3,586,695 | | | | USD | | | | 525,847 | | | | HSBC | | | | 522,889 | | | | 12/19/18 | | | | 2,958 | |
Euro | | | 213,000 | | | | USD | | | | 246,768 | | | | JPM | | | | 247,261 | | | | 9/4/18 | | | | (493 | ) |
Euro | | | 4,179,000 | | | | USD | | | | 4,881,444 | | | | MLP | | | | 4,851,191 | | | | 9/4/18 | | | | 30,253 | |
Euro | | | 3,788,000 | | | | USD | | | | 4,429,581 | | | | MLP | | | | 4,406,091 | | | | 10/2/18 | | | | 23,490 | |
Indian Rupee | | | 38,028,936 | | | | USD | | | | 552,000 | | | | BCLY | | | | 534,671 | | | | 9/19/18 | | | | 17,329 | |
Indian Rupee | | | 22,533,559 | | | | USD | | | | 320,845 | | | | BNP | | | | 316,813 | | | | 9/19/18 | | | | 4,032 | |
Indonesian Rupiah | | | 3,652,622,400 | | | | USD | | | | 249,139 | | | | SCB | | | | 247,537 | | | | 9/19/18 | | | | 1,602 | |
Japanese Yen | | | 110,000,000 | | | | USD | | | | 996,738 | | | | BCLY | | | | 994,116 | | | | 10/29/18 | | | | 2,622 | |
Japanese Yen | | | 110,000,000 | | | | USD | | | | 996,264 | | | | BNP | | | | 994,116 | | | | 10/29/18 | | | | 2,148 | |
Japanese Yen | | | 170,000,000 | | | | USD | | | | 1,541,775 | | | | MLP | | | | 1,536,361 | | | | 10/29/18 | | | | 5,414 | |
Korean Won | | | 520,656,600 | | | | USD | | | | 470,000 | | | | BCLY | | | | 466,875 | | | | 9/19/18 | | | | 3,125 | |
Korean Won | | | 407,193,200 | | | | USD | | | | 378,827 | | | | SCB | | | | 365,132 | | | | 9/19/18 | | | | 13,695 | |
Korean Won | | | 468,092,900 | | | | USD | | | | 419,025 | | | | BNP | | | | 421,060 | | | | 12/19/18 | | | | (2,035 | ) |
New Taiwan Dollar | | | 14,207,630 | | | | USD | | | | 470,000 | | | | BCLY | | | | 463,685 | | | | 9/19/18 | | | | 6,315 | |
New Taiwan Dollar | | | 7,206,890 | | | | USD | | | | 236,384 | | | | BNP | | | | 236,750 | | | | 12/19/18 | | | | (366 | ) |
New Zealand Dollar | | | 1,073,000 | | | | USD | | | | 729,803 | | | | BCLY | | | | 709,897 | | | | 9/4/18 | | | | 19,906 | |
Peruvian Sol | | | 1,581,510 | | | | USD | | | | 482,138 | | | | BNP | | | | 479,114 | | | | 9/18/18 | | | | 3,024 | |
Peruvian Sol | | | 1,581,510 | | | | USD | | | | 477,725 | | | | HSBC | | | | 476,766 | | | | 12/17/18 | | | | 959 | |
Singapore Dollar | | | 637,278 | | | | USD | | | | 470,000 | | | | BCLY | | | | 464,425 | | | | 9/19/18 | | | | 5,575 | |
Singapore Dollar | | | 324,084 | | | | USD | | | | 236,838 | | | | HSBC | | | | 236,642 | | | | 12/19/18 | | | | 196 | |
Turkish Lira | | | 1,523,921 | | | | USD | | | | 299,081 | | | | HSBC | | | | 225,862 | | | | 10/19/18 | | | | 73,219 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 1,280,318 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,013,989 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2018, 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 | | | Payment
Frequency | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.428% | | | | 12/20/47 | | | | 12-Month | | | USD | 100,000 | | | $ | 1,470 | | | $ | 241 | | | $ | 1,229 | |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.478% | | | | 12/20/47 | | | | 12-Month | | | USD | 378,000 | | | | 1,475 | | | | 758 | | | | 717 | |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.499% | | | | 12/20/47 | | | | 12-Month | | | USD | 950,000 | | | | (609 | ) | | | 2,364 | | | | (2,973 | ) |
| Receive | | 3-Month FRA New Zealand Bank Bill | | | 3.250% | | | | 3/21/28 | | | | 6-Month | | | NZD | 700,000 | | | | (22,875 | ) | | | 2,137 | | | | (25,012 | ) |
| Receive | | 3-Month USD-LIBOR | | | 1.750% | | | | 6/20/20 | | | | 6-Month | | | USD | 6,880,000 | | | | 136,294 | | | | 129,114 | | | | 7,180 | |
| Receive | | 3-Month USD-LIBOR | | | 1.750% | | | | 12/21/26 | | | | 6-Month | | | USD | 620,000 | | | | 53,773 | | | | (15,863 | ) | | | 69,636 | |
| Pay | | 3-Month USD-LIBOR | | | 2.000% | | | | 6/20/23 | | | | 6-Month | | | USD | 2,300,000 | | | | (92,952 | ) | | | (88,855 | ) | | | (4,097 | ) |
| Receive | | 3-Month USD-LIBOR | | | 2.000% | | | | 7/27/26 | | | | 6-Month | | | USD | 3,100,000 | | | | 128,117 | | | | 90,254 | | | | 37,863 | |
| Pay | | 3-Month USD-LIBOR | | | 2.250% | | | | 12/20/22 | | | | 6-Month | | | USD | 12,100,000 | | | | (312,110 | ) | | | 15,240 | | | | (327,350 | ) |
| Receive | | 3-Month USD-LIBOR | | | 2.250% | | | | 6/20/28 | | | | 6-Month | | | USD | 1,490,000 | | | | 86,338 | | | | 80,316 | | | | 6,022 | |
| Receive | | 3-Month USD-LIBOR | | | 2.400% | | | | 12/7/26 | | | | 6-Month | | | USD | 2,900,000 | | | | 70,202 | | | | 17,679 | | | | 52,523 | |
| Receive | | 3-Month USD-LIBOR | | | 2.500% | | | | 2/22/26 | | | | 6-Month | | | USD | 9,530,000 | | | | 186,298 | | | | (281,476 | ) | | | 467,774 | |
| Receive | | 3-Month USD-LIBOR | | | 2.500% | | | | 6/20/48 | | | | 6-Month | | | USD | 1,010,000 | | | | 103,183 | | | | 120,680 | | | | (17,497 | ) |
| Pay | | 3-Month USD-LIBOR | | | 2.750% | | | | 12/19/23 | | | | 6-Month | | | USD | 10,700,000 | | | | (75,356 | ) | | | (65,884 | ) | | | (9,472 | ) |
| Receive | | 3-Month USD-LIBOR | | | 2.765% | | | | 7/18/28 | | | | 6-Month | | | USD | 1,550,000 | | | | 24,531 | | | | — | | | | 24,531 | |
| Receive | | 3-Month USD-LIBOR | | | 3.100% | | | | 4/17/28 | | | | 6-Month | | | USD | 4,140,000 | | | | (14,040 | ) | | | (24,343 | ) | | | 10,303 | |
| Receive | | 6-Month GBP-LIBOR | | | 1.500% | | | | 9/19/28 | | | | 6-Month | | | GBP | 1,060,000 | | | | 6,213 | | | | 26,980 | | | | (20,767 | ) |
See Notes to Financial Statements.
261
| | | | | | |
| Inflation-Linked Fixed Income Fund | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Payment
Frequency | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Receive | | 6-Month GBP-LIBOR | | | 1.750% | | | | 9/19/48 | | | | 6-Month | | | GBP | 670,000 | | | $ | (23,702 | ) | | $ | (47,045 | ) | | $ | 23,343 | |
| Receive | | 6-Month JPY-LIBOR | | | 0.300% | | | | 9/20/27 | | | | 6-Month | | | JPY | 260,000,000 | | | | 2,595 | | | | (4,697 | ) | | | 7,292 | |
| Receive | | 6-Month JPY-LIBOR | | | 0.450% | | | | 3/20/29 | | | | 6-Month | | | JPY | 80,000,000 | | | | (2,072 | ) | | | (4,651 | ) | | | 2,579 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 256,773 | | | $ | (47,051 | ) | | $ | 303,824 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2018, Inflation-Linked Fixed Income Fund held the following Centrally Cleared Inflation Rate Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Pay/ Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Receive | | 2-Year EUR Inflation Linked | | | 1.315% | | | | 8/15/20 | | | | EUR | | | | 1,160,000 | | | $ | 1,479 | | | $ | — | | | $ | 1,479 | |
| Pay | | 5-Year EUR Inflation Linked | | | 1.350% | | | | 1/15/23 | | | | EUR | | | | 480,000 | | | | (2,574 | ) | | | 196 | | | | (2,770 | ) |
| Receive | | 5-Year EUR Inflation Linked | | | 1.507% | | | | 5/15/23 | | | | EUR | | | | 441,000 | | | | 924 | | | | 420 | | | | 504 | |
| Pay | | 10-Year EUR Inflation Linked | | | 1.360% | | | | 6/15/27 | | | | EUR | | | | 800,000 | | | | (20,825 | ) | | | (11,973 | ) | | | (8,852 | ) |
| Pay | | 10-Year EUR Inflation Linked | | | 1.385% | | | | 12/15/26 | | | | EUR | | | | 70,000 | | | | (1,523 | ) | | | (6,018 | ) | | | 4,495 | |
| Pay | | 10-Year EUR Inflation Linked | | | 1.520% | | | | 11/15/27 | | | | EUR | | | | 2,770,000 | | | | (24,098 | ) | | | (18,586 | ) | | | (5,512 | ) |
| Pay | | 10-Year EUR Inflation Linked | | | 1.535% | | | | 3/15/28 | | | | EUR | | | | 700,000 | | | | (4,641 | ) | | | 91 | | | | (4,732 | ) |
| Pay | | 10-Year EUR Inflation Linked | | | 1.575% | | | | 1/15/28 | | | | EUR | | | | 220,000 | | | | (202 | ) | | | — | | | | (202 | ) |
| Pay | | 10-Year EUR Inflation Linked | | | 1.590% | | | | 2/15/28 | | | | EUR | | | | 240,000 | | | | 271 | | | | (194 | ) | | | 465 | |
| Pay | | 10-Year EUR Inflation Linked | | | 1.606% | | | | 2/15/28 | | | | EUR | | | | 160,000 | | | | 503 | | | | — | | | | 503 | |
| Pay | | 10-Year EUR Inflation Linked | | | 1.620% | | | | 5/15/28 | | | | EUR | | | | 910,000 | | | | 9 | | | | 57 | | | | (48 | ) |
| Receive | | 15-Year EUR Inflation Linked | | | 1.710% | | | | 3/15/33 | | | | EUR | | | | 100,000 | | | | 9 | | | | — | | | | 9 | |
| Pay | | 20-Year EUR Inflation Linked | | | 1.910% | | | | 1/15/38 | | | | EUR | | | | 160,000 | | | | 3,707 | | | | 485 | | | | 3,222 | |
| Pay | | 30-Year EUR Inflation Linked | | | 1.946% | | | | 3/15/48 | | | | EUR | | | | 100,000 | | | | (270 | ) | | | — | | | | (270 | ) |
| Pay | | 15-Year GBP Inflation Linked | | | 3.100% | | | | 6/15/31 | | | | GBP | | | | 2,900,000 | | | | (249,844 | ) | | | (300,001 | ) | | | 50,157 | |
| Pay | | 15-Year GBP Inflation Linked | | | 3.530% | | | | 10/15/31 | | | | GBP | | | | 1,190,000 | | | | 35,070 | | | | (7,845 | ) | | | 42,915 | |
| Receive | | 30-Year GBP Inflation Linked | | | 3.428% | | | | 3/15/47 | | | | GBP | | | | 370,000 | | | | 3,896 | | | | 21,675 | | | | (17,779 | ) |
| Receive | | 30-Year GBP Inflation Linked | | | 3.585% | | | | 10/15/46 | | | | GBP | | | | 240,000 | | | | (26,415 | ) | | | (20,844 | ) | | | (5,571 | ) |
| Receive | | 1-Year USD Inflation Linked | | | 2.070% | | | | 3/23/19 | | | | USD | | | | 2,340,000 | | | | 4,507 | | | | 135 | | | | 4,372 | |
| Receive | | 3-Year USD Inflation Linked | | | 2.168% | | | | 7/15/20 | | | | USD | | | | 1,100,000 | | | | 7,040 | | | | — | | | | 7,040 | |
| Receive | | 4-Year USD Inflation Linked | | | 2.027% | | | | 11/23/20 | | | | USD | | | | 700,000 | | | | 7,817 | | | | — | | | | 7,817 | |
| Receive | | 5-Year USD Inflation Linked | | | 1.550% | | | | 7/26/21 | | | | USD | | | | 400,000 | | | | 14,956 | | | | 13,538 | | | | 1,418 | |
| Receive | | 5-Year USD Inflation Linked | | | 1.603% | | | | 9/12/21 | | | | USD | | | | 310,000 | | | | 10,426 | | | | 9,337 | | | | 1,089 | |
| Receive | | 5-Year USD Inflation Linked | | | 2.210% | | | | 2/5/23 | | | | USD | | | | 2,090,000 | | | | 13,286 | | | | — | | | | 13,286 | |
| Receive | | 5-Year USD Inflation Linked | | | 2.220% | | | | 4/13/23 | | | | USD | | | | 7,730,000 | | | | 26,460 | | | | — | | | | 26,460 | |
| Receive | | 5-Year USD Inflation Linked | | | 2.263% | | | | 4/27/23 | | | | USD | | | | 610,000 | | | | 557 | | | | (136 | ) | | | 693 | |
| Receive | | 5-Year USD Inflation Linked | | | 2.263% | | | | 5/9/23 | | | | USD | | | | 360,000 | | | | 533 | | | | — | | | | 533 | |
| Receive | | 5-Year USD Inflation Linked | | | 2.281% | | | | 5/10/23 | | | | USD | | | | 550,000 | | | | 365 | | | | — | | | | 365 | |
| Pay | | 10-Year USD Inflation Linked | | | 1.730% | | | | 7/26/26 | | | | USD | | | | 400,000 | | | | (23,631 | ) | | | (21,441 | ) | | | (2,190 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 1.762% | | | | 8/30/26 | | | | USD | | | | 1,500,000 | | | | (80,808 | ) | | | (73,591 | ) | | | (7,217 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 1.801% | | | | 9/12/26 | | | | USD | | | | 310,000 | | | | (15,828 | ) | | | (14,319 | ) | | | (1,509 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 2.150% | | | | 9/25/27 | | | | USD | | | | 300,000 | | | | (7,492 | ) | | | — | | | | (7,492 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 2.156% | | | | 10/17/27 | | | | USD | | | | 700,000 | | | | (16,828 | ) | | | — | | | | (16,828 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 2.180% | | | | 9/20/27 | | | | USD | | | | 320,000 | | | | (6,963 | ) | | | — | | | | (6,963 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 2.335% | | | | 2/5/28 | | | | USD | | | | 1,060,000 | | | | (3,113 | ) | | | 2,300 | | | | (5,413 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 2.352% | | | | 5/9/28 | | | | USD | | | | 360,000 | | | | 322 | | | | — | | | | 322 | |
| Pay | | 10-Year USD Inflation Linked | | | 2.360% | | | | 5/9/28 | | | | USD | | | | 540,000 | | | | 873 | | | | — | | | | 873 | |
| Pay | | 10-Year USD Inflation Linked | | | 2.364% | | | | 5/10/28 | | | | USD | | | | 550,000 | | | | 1,056 | | | | — | | | | 1,056 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (350,989 | ) | | $ | (426,714 | ) | | $ | 75,725 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
262
| | | | | | |
| Inflation-Linked Fixed Income Fund | | |
At August 31, 2018, 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
Receive Rate | | | Maturity
Date | | | Payment
Frequency | | | Counterparty | | | Implied Credit
Spread at
8/31/18 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
(Received) | | | Unrealized
Appreciation | |
Brazil Government International Bond, BB- | | | 1.000 | % | | | 6/20/21 | | | | 3-Month | | | | DUB | | | | 2.360 | % | | USD | 100,000 | | | $ | (3,368 | ) | | $ | (8,609 | ) | | $ | 5,241 | |
Brazil Government International Bond, BB- | | | 1.000 | % | | | 6/20/21 | | | | 3-Month | | | | HSBC | | | | 2.360 | % | | USD | 800,000 | | | | (26,944 | ) | | | (55,500 | ) | | | 28,556 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (30,312 | ) | | $ | (64,109 | ) | | $ | 33,797 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared — Credit Default Swaps on Indexes — Buy Protection (4)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
(Pay) Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
8/31/18 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
Markit CDX North America High Yield
Series 30 5-Year Index | | | (5.000 | )% | | | 6/20/23 | | | | 3-Month | | | | 3.304 | % | | USD | 370,000 | | | $ | (29,316 | ) | | $ | (24,161 | ) | | $ | (5,155 | ) |
Markit iTraxx Europe Series 28 5-Year Index | | | (1.000 | )% | | | 12/20/22 | | | | 3-Month | | | | 0.591 | % | | EUR | 1,700,000 | | | | (38,663 | ) | | | (91,330 | ) | | | 52,667 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (67,979 | ) | | $ | (115,491 | ) | | $ | 47,512 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared — Credit Default Swaps on Corporate and Sovereign Issues — Sell Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | �� | Fixed Deal
Receive Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
8/31/18 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid | | | Unrealized
Appreciation | |
Daimler AG, A | | | 1.000 | % | | | 12/20/20 | | | | 3-Month | | | | 0.437 | % | | EUR | 100,000 | | | $ | 1,820 | | | $ | 1,651 | | | $ | 169 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | 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. |
| (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 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. |
At August 31, 2018, Inflation-Linked Fixed Income Fund deposited cash collateral with brokers in the amount of $649,000 for open centrally cleared swap contracts.
At August 31, 2018, Inflation-Linked Fixed Income Fund had cash collateral from brokers in the amount of $970,000 for open OTC swap contracts.
See Notes to Financial Statements.
263
| | | | | | |
| Inflation-Linked Fixed Income Fund | | |
| | | | | | |
Currency Abbreviations used in this schedule: | | Counterparty Abbreviations used in this schedule: |
| ARS | | — Argentine Peso | | BCLY | | — Barclays Bank PLC |
| AUD | | — Australian Dollar | | BNP | | — BNP Paribas SA |
| BRL | | — Brazilian Real | | CSFB | | — Credit Suisse Securities (USA) LLC |
| CAD | | — Canadian Dollar | | DUB | | — Deutsche Bank AG |
| DKK | | — Danish Krone | | HSBC | | — HSBC Bank USA |
| EUR | | — Euro | | JPM | | — JPMorgan Chase & Co. |
| GBP | | — British Pound | | MLP | | — Merrill Lynch, Pierce, Fenner & Smith Inc. |
| JPY | | — Japanese Yen | | SCB | | — Standard Chartered Bank |
| NZD | | — New Zealand Dollar | | SOG | | — Societe Generale SA |
| PEN | | — Peruvian Sol | | | | |
| ZAR | | — South African Rand | | | | |
See pages 281-282 for definitions of ratings.
See Notes to Financial Statements.
264
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | CORPORATE BONDS & NOTES — 60.9% | |
| | Aerospace/Defense — 0.3% | |
| $ | 1,500,000 | | | BBB+ | | United Technologies Corp., Senior Unsecured Notes, 2.965% (3-Month USD-LIBOR + 0.650%) due 8/16/21(a) | | $ | 1,503,382 | |
| | | | | | | | | | |
| | Agriculture — 1.2% | |
| | | | | | BAT Capital Corp., Company Guaranteed Notes: | | | | |
| | 2,330,000 | | | BBB+ | | 2.909% (3-Month USD-LIBOR + 0.590%) due 8/14/20(a)(b) | | | 2,339,008 | |
| | 1,400,000 | | | BBB+ | | 3.194% (3-Month USD-LIBOR + 0.880%) due 8/15/22(a)(b) | | | 1,413,358 | |
| | 1,500,000 | | | BBB+ | | BAT International Finance PLC, Company Guaranteed Notes, 1.625% due 9/9/19 | | | 1,477,468 | |
| | 1,000,000 | | | BBB+ | | Reynolds American Inc., Company Guaranteed Notes, 6.875% due 5/1/20 | | | 1,056,176 | |
| | | | | | | | | | |
| | | | | | Total Agriculture | | | 6,286,010 | |
| | | | | | | | | | |
| | Airlines — 0.5% | |
| | | | | | Delta Air Lines Inc., Senior Unsecured Notes: | | | | |
| | 1,500,000 | | | BB+ | | 2.875% due 3/13/20 | | | 1,489,334 | |
| | 250,000 | | | BB+ | | 3.625% due 3/15/22 | | | 248,048 | |
| | 440,329 | | | A | | Northwest Airlines Inc. Class A Pass-Through Trust, Series 2007-1, Pass-Thru Certificates, 7.027% due 11/1/19 | | | 458,552 | |
| | 301,142 | | | A- | | Northwest Airlines Inc. Class G-2 Pass-Through Trust, Series 2002-1, Pass-Thru Certificates, 6.264% due 11/20/21 | | | 310,929 | |
| | | | | | | | | | |
| | | | | | Total Airlines | | | 2,506,863 | |
| | | | | | | | | | |
| | Auto Manufacturers — 5.5% | |
| | | | | | Daimler Finance North America LLC, Company Guaranteed Notes: | | | | |
| | 1,000,000 | | | A | | 1.750% due 10/30/19(b) | | | 985,748 | |
| | 4,600,000 | | | A | | 2.959% (3-Month USD-LIBOR + 0.620%) due 10/30/19(a)(b) | | | 4,623,740 | |
| | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | BBB | | 2.943% due 1/8/19 | | | 999,815 | |
| | 500,000 | | | BBB | | 2.021% due 5/3/19 | | | 496,506 | |
| | 3,400,000 | | | BBB | | 3.339% (3-Month USD-LIBOR + 1.000%) due 1/9/20(a) | | | 3,407,942 | |
| | 1,000,000 | | | BBB | | 2.343% due 11/2/20 | | | 969,866 | |
| | | | | | General Motors Co., Senior Unsecured Notes: | | | | |
| | 1,600,000 | | | BBB | | 3.500% due 10/2/18 | | | 1,601,198 | |
| | 400,000 | | | BBB | | 3.143% (3-Month USD-LIBOR + 0.800%) due 8/7/20(a) | | | 401,935 | |
| | | | | | General Motors Financial Co., Inc., Company Guaranteed Notes: | | | | |
| | 500,000 | | | BBB | | 3.100% due 1/15/19 | | | 500,585 | |
| | 500,000 | | | BBB | | 4.399% (3-Month USD-LIBOR + 2.060%) due 1/15/19(a) | | | 503,119 | |
| | 1,000,000 | | | BBB | | 2.400% due 5/9/19 | | | 997,117 | |
| | 773,000 | | | BBB | | 3.613% (3-Month USD-LIBOR + 1.270%) due 10/4/19(a) | | | 779,948 | |
| | | | | | Hyundai Capital America, Senior Unsecured Notes: | | | | |
| | 400,000 | | | A- | | 2.400% due 10/30/18(b) | | | 399,857 | |
| | 400,000 | | | A- | | 2.550% due 2/6/19(b) | | | 399,343 | |
| | 1,000,000 | | | A- | | 2.500% due 3/18/19(b) | | | 999,512 | |
| | 400,000 | | | A- | | 1.750% due 9/27/19(b) | | | 393,273 | |
| | | | | | Hyundai Capital Services Inc., Senior Unsecured Notes: | | | | |
| | 1,600,000 | | | A- | | 1.625% due 8/30/19 | | | 1,572,251 | |
| | 300,000 | | | A- | | 1.625% due 8/30/19(b) | | | 294,797 | |
| | | | | | Nissan Motor Acceptance Corp., Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | A | | 3.331% (3-Month USD-LIBOR + 1.010%) due 3/8/19(a) | | | 1,004,514 | |
| | 1,000,000 | | | A | | 2.726% (3-Month USD-LIBOR + 0.390%) due 9/28/20(a)(b) | | | 1,001,741 | |
| | 1,700,000 | | | A | | 2.987% (3-Month USD-LIBOR + 0.650%) due 7/13/22(a)(b) | | | 1,703,923 | |
| | 1,000,000 | | | A | | 3.026% (3-Month USD-LIBOR + 0.690%) due 9/28/22(a)(b) | | | 1,000,478 | |
| | 1,700,000 | | | AA- | | Toyota Motor Credit Corp., Senior Unsecured Notes, 2.712% (3-Month USD-LIBOR + 0.400%) due 5/17/22(a) | | | 1,706,504 | |
See Notes to Financial Statements.
265
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Auto Manufacturers — 5.5% — (continued) | |
| $ | 1,000,000 | | | BBB+ | | Volkswagen Group of America Finance LLC, Company Guaranteed Notes, 2.450% due 11/20/19(b) | | $ | 992,242 | |
| | | | | | | | | | |
| | | | | | Total Auto Manufacturers | | | 27,735,954 | |
| | | | | | | | | | |
| | Banks — 16.9% | |
| | 2,500,000 | | | A | | ADCB Finance Cayman Ltd., Company Guaranteed Notes, 3.000% due 3/4/19 | | | 2,500,895 | |
| | 1,400,000 | | | A- | | Aozora Bank Ltd., Senior Unsecured Notes, 2.750% due 3/9/20 | | | 1,384,068 | |
| | 300,000 | | | BBB- | | Axis Bank Ltd., Senior Unsecured Notes, 3.250% due 5/21/20 | | | 296,652 | |
| | 3,500,000 | | | BBB+ | | Bangkok Bank PCL, Senior Unsecured Notes, 3.300% due 10/3/18 | | | 3,501,050 | |
| | 1,600,000 | | | A- | | Bank of America Corp., Senior Unsecured Notes, 2.987% (3-Month USD-LIBOR + 0.650%) due 10/1/21(a) | | | 1,609,624 | |
| | | | | | Barclays PLC: | | | | |
| | 200,000 | | | B+ | | Junior Subordinated Notes, 8.250% (5-Year USD Swap Rate + 6.705%)(a)(c) | | | 202,817 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 2,900,000 | | | BBB | | 2.750% due 11/8/19 | | | 2,887,852 | |
| | 600,000 | | | BBB | | 4.451% (3-Month USD-LIBOR + 2.110%) due 8/10/21(a) | | | 623,722 | |
| | 2,000,000 | | | A | | Chiba Bank Ltd. (The), Senior Unsecured Notes, 2.750% due 7/29/20 | | | 1,972,180 | |
| | 2,000,000 | | | BBB+ | | Citigroup Inc., Senior Unsecured Notes, 3.645% (3-Month USD-LIBOR + 1.310%) due 10/26/20(a) | | | 2,042,918 | |
| | 1,200,000 | | | A+ | | Cooperatieve Rabobank UA, Senior Unsecured Notes, 3.161% (3-Month USD-LIBOR + 0.830%) due 1/10/22(a) | | | 1,216,539 | |
| | 1,500,000 | | | BBB | | Credit Agricole SA, Subordinated Notes, 8.125% (5-Year USD Swap Rate + 6.283%) due 9/19/33(a) | | | 1,505,470 | |
| | | | | | DBS Group Holdings Ltd., Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | Aa2(d) | | 2.955% (3-Month USD-LIBOR + 0.620%) due 7/25/22(a) | | | 1,004,807 | |
| | 3,000,000 | | | Aa2(d) | | 2.955% (3-Month USD-LIBOR + 0.620%) due 7/25/22(a)(b) | | | 3,014,421 | |
| | 1,000,000 | | | AA | | Dexia Credit Local SA, Government Liquid Guaranteed Notes, 2.250% due 1/30/19 | | | 998,807 | |
| | 1,000,000 | | | A+ | | DNB Bank ASA, Senior Unsecured Notes, 3.391% (3-Month USD-LIBOR + 1.070%) due 6/2/21(a)(e) | | | 1,016,649 | |
| | 600,000 | | | NR | | Eksportfinans ASA, Senior Unsecured Notes, 3.141% (3-Month USD-LIBOR + 0.800%) due 11/10/20(a)(e) | | | 600,774 | |
| | 300,000 | | | A3(d) | | Emirates NBD PJSC, Senior Unsecured Notes, 3.885% (3-Month USD-LIBOR + 1.550%) due 1/26/20(a) | | | 303,849 | |
| | | | | | Goldman Sachs Group Inc. (The), Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | BBB+ | | 3.414% (3-Month USD-LIBOR + 1.100%) due 11/15/18(a) | | | 1,002,122 | |
| | 1,000,000 | | | BBB+ | | 3.067% (3-Month USD-LIBOR + 0.730%) due 12/27/20(a) | | | 1,005,144 | |
| | | | | | HSBC Holdings PLC, Senior Unsecured Notes: | | | | |
| | 1,500,000 | | | A | | 3.971% (3-Month USD-LIBOR + 1.660%) due 5/25/21(a) | | | 1,548,807 | |
| | 200,000 | | | A | | 3.322% (3-Month USD-LIBOR + 1.000%) due 5/18/24(a) | | | 200,688 | |
| | | | | | ICICI Bank Ltd., Senior Unsecured Notes: | | | | |
| | 1,200,000 | | | BBB- | | 4.800% due 5/22/19 | | | 1,213,283 | |
| | 200,000 | | | BBB- | | 3.125% due 8/12/20 | | | 196,796 | |
| | | | | | ING Bank NV: | | | | |
| | 990,000 | | | A+ | | Senior Unsecured Notes, 1.650% due 8/15/19(b) | | | 977,376 | |
| | 600,000 | | | BBB+ | | Subordinated Notes, 4.125% (5-Year USD 1100 Run ICE Swap Rate + 2.700%) due 11/21/23(a) | | | 602,389 | |
| | 1,500,000 | | | BBB | | Intesa Sanpaolo SpA, Company Guaranteed Notes, 3.875% due 1/15/19 | | | 1,501,750 | |
| | 3,900,000 | | | A- | | JPMorgan Chase & Co., Senior Unsecured Notes, 2.945% (3-Month USD-LIBOR + 0.610%) due 6/18/22(a) | | | 3,913,376 | |
| | 300,000 | | | BBB+ | | Kasikornbank PCL, Senior Unsecured Notes, 3.500% due 10/25/19 | | | 300,429 | |
| | | | | | Lloyds Banking Group PLC: | | | | |
| | 1,600,000 | GBP | | BB- | | Junior Subordinated Notes, 7.000% (5-Year GBP Swap Rate + 5.060%)(a)(c) | | | 2,134,348 | |
| | 400,000 | | | BBB+ | | Senior Unsecured Notes, 3.130% (3-Month USD-LIBOR + 0.800%) due 6/21/21(a) | | | 401,502 | |
| | 5,200,000 | | | A | | Macquarie Bank Ltd., Senior Unsecured Notes, 2.600% due 6/24/19(b) | | | 5,194,696 | |
See Notes to Financial Statements.
266
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Banks — 16.9% — (continued) | |
| $ | 600,000 | | | BBB | | Macquarie Group Ltd., Senior Unsecured Notes, 3.687% (3-Month USD-LIBOR + 1.350%) due 3/27/24(a)(b) | | $ | 608,368 | |
| | 1,000,000 | | | A | | Mizuho Bank Ltd., Company Guaranteed Notes, 2.650% due 9/25/19(b) | | | 997,301 | |
| | | | | | Mizuho Financial Group Inc., Senior Unsecured Notes: | | | | |
| | 3,500,000 | | | A- | | 3.473% (3-Month USD-LIBOR + 1.140%) due 9/13/21(a) | | | 3,559,159 | |
| | 500,000 | | | A- | | 3.251% (3-Month USD-LIBOR + 0.940%) due 2/28/22(a) | | | 504,791 | |
| | 1,500,000 | | | A- | | 3.207% (3-Month USD-LIBOR + 0.880%) due 9/11/22(a) | | | 1,510,413 | |
| | 1,000,000 | | | AA- | | Nordea Bank AB, Senior Unsecured Notes, 3.301% (3-Month USD-LIBOR + 0.990%) due 5/27/21(a)(e) | | | 1,014,107 | |
| | | | | | QNB Finance Ltd., Company Guaranteed Notes: | | | | |
| | 1,500,000 | | | A | | 2.750% due 10/31/18 | | | 1,499,247 | |
| | 1,500,000 | | | Aa3(d) | | 3.693% (3-Month USD-LIBOR + 1.350%) due 2/7/20(a) | | | 1,511,243 | |
| | | | | | Royal Bank of Scotland Group PLC, Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | BBB- | | 6.400% due 10/21/19 | | | 1,033,650 | |
| | 3,700,000 | | | BBB- | | 3.784% (3-Month USD-LIBOR + 1.470%) due 5/15/23(a) | | | 3,741,060 | |
| | 800,000 | | | BBB | | Santander UK Group Holdings PLC, Senior Unsecured Notes, 2.875% due 10/16/20 | | | 790,706 | |
| | | | | | Santander UK PLC, Senior Unsecured Notes: | | | | |
| | 700,000 | | | A | | 2.500% due 3/14/19 | | | 699,825 | |
| | 1,000,000 | | | A | | 2.350% due 9/10/19 | | | 995,038 | |
| | 2,000,000 | | | A | | 2.375% due 3/16/20 | | | 1,976,941 | |
| | 700,000 | | | BB+ | | Societe Generale SA, Junior Subordinated Notes, 8.250% (5-Year USD Swap Rate + 6.394%)(a)(c) | | | 708,236 | |
| | | | | | Standard Chartered PLC, Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | BBB+ | | 2.400% due 9/8/19 | | | 990,740 | |
| | 2,800,000 | | | BBB+ | | 2.400% due 9/8/19(b) | | | 2,774,072 | |
| | 2,550,000 | | | BBB- | | State Bank of India, Senior Unsecured Notes, 3.287% (3-Month USD-LIBOR + 0.950%) due 4/6/20(a) | | | 2,558,160 | |
| | | | | | Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes: | | | | |
| | 3,100,000 | | | A- | | 3.117% (3-Month USD-LIBOR + 0.780%) due 7/12/22(a) | | | 3,116,131 | |
| | 500,000 | | | A- | | 3.073% (3-Month USD-LIBOR + 0.740%) due 10/18/22(a) | | | 501,474 | |
| | | | | | Sumitomo Mitsui Trust Bank Ltd., Senior Unsecured Notes: | | | | |
| | 500,000 | | | A | | 2.050% due 3/6/19(b) | | | 498,619 | |
| | 2,310,000 | | | A | | 2.824% (3-Month USD-LIBOR + 0.510%) due 3/6/19(a) | | | 2,314,402 | |
| | 1,400,000 | | | A | | 2.766% (3-Month USD-LIBOR + 0.440%) due 9/19/19(a)(b) | | | 1,403,898 | |
| | 1,039,000 | | | A+ | | Suncorp-Metway Ltd., Senior Unsecured Notes, 2.100% due 5/3/19 | | | 1,034,595 | |
| | 1,600,000 | | | A- | | UBS Group Funding Switzerland AG, Company Guaranteed Notes, 4.119% (3-Month USD-LIBOR + 1.780%) due 4/14/21(a)(b) | | | 1,649,742 | |
| | 1,000,000 | | | A- | | Wells Fargo & Co., Senior Unsecured Notes, 2.150% due 1/15/19 | | | 998,858 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 85,866,576 | |
| | | | | | | | | | |
| | Beverages — 0.0% | |
| | 200,000 | | | A- | | Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes, 3.077% (3-Month USD-LIBOR + 0.740%) due 1/12/24(a) | | | 201,679 | |
| | | | | | | | | | |
| | Chemicals — 1.4% | |
| | 4,000,000 | | | BBB | | Dow Chemical Co. (The), Senior Unsecured Notes, 8.550% due 5/15/19 | | | 4,153,351 | |
| | | | | | Incitec Pivot Finance LLC, Company Guaranteed Notes: | | | | |
| | 1,000,000 | | | BBB | | 6.000% due 12/10/19 | | | 1,028,606 | |
| | 250,000 | | | BBB | | 6.000% due 12/10/19(b) | | | 257,152 | |
| | 1,000,000 | | | BBB+ | | LyondellBasell Industries NV, Senior Unsecured Notes, 5.000% due 4/15/19 | | | 1,007,787 | |
| | 700,000 | | | BBB- | | Syngenta Finance NV, Company Guaranteed Notes, 3.698% due 4/24/20(b) | | | 700,694 | |
| | | | | | | | | | |
| | | | | | Total Chemicals | | | 7,147,590 | |
| | | | | | | | | | |
See Notes to Financial Statements.
267
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Commercial Services — 2.4% | |
| | | | | | Central Nippon Expressway Co., Ltd., Senior Unsecured Notes: | | | | |
| $ | 4,500,000 | | | A1(d) | | 2.170% due 8/5/19 | | $ | 4,472,145 | |
| | 3,300,000 | | | A1(d) | | 2.079% due 11/5/19 | | | 3,259,047 | |
| | 3,000,000 | | | A1(d) | | 3.131% (3-Month USD-LIBOR + 0.810%) due 3/3/22(a) | | | 3,019,035 | |
| | 500,000 | | | BBB+ | | Equifax Inc., Senior Unsecured Notes, 3.184% (3-Month USD-LIBOR + 0.870%) due 8/15/21(a) | | | 503,540 | |
| | 700,000 | | | A- | | ERAC USA Finance LLC, Company Guaranteed Notes, 2.800% due 11/1/18(b) | | | 700,166 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services | | | 11,953,933 | |
| | | | | | | | | | |
| | Computers — 1.7% | |
| | | | | | Dell International LLC/EMC Corp., Senior Secured Notes: | | | | |
| | 550,000 | | | BBB- | | 3.480% due 6/1/19 | | | 551,931 | |
| | 4,385,000 | | | BBB- | | 3.480% due 6/1/19(b) | | | 4,400,397 | |
| | 3,500,000 | | | BBB | | Hewlett Packard Enterprise Co., Senior Unsecured Notes, 2.100% due 10/4/19(b) | | | 3,467,737 | |
| | | | | | | | | | |
| | | | | | Total Computers | | | 8,420,065 | |
| | | | | | | | | | |
| | Diversified Financial Services — 6.8% | |
| | 2,300,000 | | | BBB- | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes, 3.750% due 5/15/19 | | | 2,313,447 | |
| | 1,300,000 | | | BBB | | Air Lease Corp., Senior Unsecured Notes, 3.375% due 1/15/19 | | | 1,302,485 | |
| | | | | | Ally Financial Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 1,700,000 | | | BB+ | | 4.750% due 9/10/18 | | | 1,700,170 | |
| | 300,000 | | | BB+ | | 3.500% due 1/27/19 | | | 300,675 | |
| | 500,000 | | | BB+ | | Senior Unsecured Notes, 3.750% due 11/18/19 | | | 503,125 | |
| | | | | | BOC Aviation Ltd., Senior Unsecured Notes: | | | | |
| | 700,000 | | | A- | | 3.000% due 3/30/20 | | | 695,068 | |
| | 1,000,000 | | | A- | | 3.000% due 5/23/22 | | | 967,243 | |
| | 500,000 | | | A- | | 2.750% due 9/18/22 | | | 477,481 | |
| | 200,000 | | | A- | | 2.750% due 9/18/22(b) | | | 190,993 | |
| | | | | | International Lease Finance Corp.: | | | | |
| | 900,000 | | | BBB- | | Senior Secured Notes, 7.125% due 9/1/18(b) | | | 900,000 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | BBB- | | 5.875% due 4/1/19 | | | 1,016,334 | |
| | 600,000 | | | BBB- | | 6.250% due 5/15/19 | | | 613,397 | |
| | 500,000 | | | BBB- | | 8.250% due 12/15/20 | | | 549,304 | |
| | | | | | Mitsubishi UFJ Lease & Finance Co., Ltd., Senior Unsecured Notes: | | | | |
| | 1,200,000 | | | A- | | 3.247% (3-Month USD-LIBOR + 0.925%) due 2/20/19(a) | | | 1,203,573 | |
| | 2,200,000 | | | A- | | 2.500% due 3/9/20 | | | 2,172,720 | |
| | 500,000 | | | A- | | 2.652% due 9/19/22(b) | | | 481,028 | |
| | 2,500,000 | | | BBB | | Nasdaq Inc., Senior Unsecured Notes, 2.722% (3-Month USD-LIBOR + 0.390%) due 3/22/19(a) | | | 2,503,759 | |
| | | | | | Navient Corp., Senior Unsecured Notes: | | | | |
| | 1,900,000 | | | B+ | | 5.500% due 1/15/19 | | | 1,917,195 | |
| | 1,200,000 | | | B+ | | 4.875% due 6/17/19 | | | 1,209,600 | |
| | 600,000 | | | B+ | | 8.000% due 3/25/20 | | | 637,650 | |
| | 2,400,000 | | | A- | | Nomura Holdings Inc., Senior Unsecured Notes, 2.750% due 3/19/19 | | | 2,400,507 | |
| | 2,400,000 | | | AA- | | NTT Finance Corp., Senior Unsecured Notes, 2.864% (3-Month USD-LIBOR + 0.530%) due 6/29/20(a) | | | 2,411,904 | |
| | | | | | ORIX Corp., Senior Unsecured Notes: | | | | |
| | 3,300,000 | | | A- | | 2.650% due 4/13/21 | | | 3,214,464 | |
| | 200,000 | | | A- | | 3.200% due 1/19/22 | | | 196,646 | |
| | 400,000 | | | A- | | 2.900% due 7/18/22 | | | 388,923 | |
| | 4,300,000 | | | BBB- | | Synchrony Financial, Senior Unsecured Notes, 3.000% due 8/15/19 | | | 4,293,808 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 34,561,499 | |
| | | | | | | | | | |
See Notes to Financial Statements.
268
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Electric — 4.1% | |
| $ | 700,000 | | | A3(d) | | Chugoku Electric Power Co., Inc. (The), Senior Secured Notes, 2.701% due 3/16/20 | | $ | 695,751 | |
| | 1,000,000 | | | A+ | | CLP Power Hong Kong Financing Ltd., Company Guaranteed Notes, 4.750% due 3/19/20 | | | 1,022,224 | |
| | 1,900,000 | | | BBB | | Dominion Energy Inc., Senior Unsecured Notes, 2.914% (3-Month USD-LIBOR + 0.600%) due 5/15/20(a)(b) | | | 1,900,946 | |
| | 1,600,000 | | | BBB+ | | Duke Energy Corp., Senior Unsecured Notes, 2.819% (3-Month USD-LIBOR + 0.500%) due 5/14/21(a)(b)(e) | | | 1,600,194 | |
| | 1,500,000 | | | A- | | Duke Energy Kentucky Inc., Senior Unsecured Notes, 4.650% due 10/1/19(b) | | | 1,523,066 | |
| | 1,000,000 | | | BBB | | Emera US Finance LP, Company Guaranteed Notes, 2.150% due 6/15/19 | | | 992,929 | |
| | 1,000,000 | | | A | | Entergy Texas Inc., 1st Mortgage Notes, 7.125% due 2/1/19 | | | 1,018,101 | |
| | 700,000 | | | BBB | | Exelon Generation Co. LLC, Senior Unsecured Notes, 2.950% due 1/15/20 | | | 697,719 | |
| | 874,000 | | | BBB | | Israel Electric Corp., Ltd., Senior Secured Notes, 7.250% due 1/15/19 | | | 887,800 | |
| | 1,000,000 | | | BBB | | Metropolitan Edison Co., Senior Unsecured Notes, 7.700% due 1/15/19 | | | 1,018,068 | |
| | 2,200,000 | | | A- | | Mississippi Power Co., Senior Unsecured Notes, 2.987% (3-Month USD-LIBOR + 0.650%) due 3/27/20(a) | | | 2,200,672 | |
| | 1,800,000 | | | BBB+ | | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes, 2.711% (3-Month USD-LIBOR + 0.400%) due 8/21/20(a) | | | 1,800,170 | |
| | 1,500,000 | | | BBB- | | Origin Energy Finance Ltd., Company Guaranteed Notes, 3.500% due 10/9/18(b) | | | 1,500,156 | |
| | 1,700,000 | | | BBB+ | | Sempra Energy, Senior Unsecured Notes, 2.791% (3-Month USD-LIBOR + 0.450%) due 3/15/21(a) | | | 1,702,104 | |
| | 500,000 | | | BBB+ | | Southern Power Co., Senior Unsecured Notes, 2.875% (3-Month USD-LIBOR + 0.550%) due 12/20/20(a)(b) | | | 500,300 | |
| | 2,000,000 | | | A+ | | State Grid Overseas Investment 2014 Ltd., Company Guaranteed Notes, 2.750% due 5/7/19 | | | 1,994,934 | |
| | | | | | | | | | |
| | | | | | Total Electric | | | 21,055,134 | |
| | | | | | | | | | |
| | Electronics — 0.1% | |
| | 300,000 | | | BBB- | | Arrow Electronics Inc., Senior Unsecured Notes, 3.500% due 4/1/22 | | | 295,914 | |
| | | | | | | | | | |
| | Food — 0.7% | |
| | 700,000 | | | BBB | | Kraft Heinz Foods Co., Company Guaranteed Notes, 2.911% (3-Month USD-LIBOR + 0.570%) due 2/10/21(a) | | | 701,526 | |
| | 2,800,000 | | | BBB | | Tyson Foods Inc., Senior Unsecured Notes, 2.765% (3-Month USD-LIBOR + 0.450%) due 5/30/19(a) | | | 2,804,488 | |
| | | | | | | | | | |
| | | | | | Total Food | | | 3,506,014 | |
| | | | | | | | | | |
| | Gas — 0.2% | |
| | 1,000,000 | | | BBB+ | | Dominion Energy Gas Holdings LLC, Senior Unsecured Notes, 2.500% due 12/15/19 | | | 994,063 | |
| | | | | | | | | | |
| | Healthcare — Products — 0.2% | |
| | 1,000,000 | | | BBB | | Becton Dickinson & Co., Senior Unsecured Notes, 2.675% due 12/15/19 | | | 995,253 | |
| | | | | | | | | | |
| | Healthcare — Services — 0.4% | |
| | 1,455,000 | | | BBB- | | Fresenius Medical Care US Finance II Inc., Company Guaranteed Notes, 5.625% due 7/31/19(b) | | | 1,486,695 | |
| | 800,000 | | | BBB- | | HCA Inc., Senior Secured Notes, 3.750% due 3/15/19 | | | 803,200 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Services | | | 2,289,895 | |
| | | | | | | | | | |
| | Holding Companies — Diversified — 0.6% | |
| | | | | | Hutchison Whampoa International 09 Ltd., Company Guaranteed Notes: | | | | |
| | 850,000 | | | A- | | 7.625% due 4/9/19 | | | 872,784 | |
| | 300,000 | | | A- | | 7.625% due 4/9/19(b) | | | 308,041 | |
| | 1,322,000 | | | A- | | Hutchison Whampoa International 09/19 Ltd., Company Guaranteed Notes, 5.750% due 9/11/19 | | | 1,357,260 | |
| | 500,000 | | | A- | | Hutchison Whampoa International 11 Ltd., Company Guaranteed Notes, 4.625% due 1/13/22 | | | 516,332 | |
| | 200,000 | | | A- | | Sinochem Overseas Capital Co., Ltd., Company Guaranteed Notes, 4.500% due 11/12/20 | | | 203,106 | |
| | | | | | | | | | |
| | | | | | Total Holding Companies — Diversified | | | 3,257,523 | |
| | | | | | | | | | |
| | Home Builders — 0.3% | |
| | 1,500,000 | | | BBB | | DR Horton Inc., Company Guaranteed Notes, 3.750% due 3/1/19 | | | 1,503,013 | |
| | | | | | | | | | |
See Notes to Financial Statements.
269
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Household Products/Wares — 0.3% | |
| $ | 1,500,000 | | | A- | | Reckitt Benckiser Treasury Services PLC, Company Guaranteed Notes, 2.895% (3-Month USD-LIBOR + 0.560%) due 6/24/22(a)(b) | | $ | 1,501,620 | |
| | | | | | | | | | |
| | Housewares — 0.3% | |
| | 1,500,000 | | | BBB- | | Newell Brands Inc., Senior Unsecured Notes, 2.875% due 12/1/19 | | | 1,494,051 | |
| | | | | | | | | | |
| | Insurance — 1.4% | |
| | | | | | American International Group Inc., Senior Unsecured Notes: | | | | |
| | 700,000 | | | BBB+ | | 6.400% due 12/15/20 | | | 748,930 | |
| | 500,000 | | | BBB+ | | 3.300% due 3/1/21 | | | 500,142 | |
| | | | | | Athene Global Funding, Secured Notes: | | | | |
| | 1,500,000 | | | A | | 2.750% due 4/20/20(b) | | | 1,482,631 | |
| | 1,000,000 | | | A | | 3.000% due 7/1/22(b) | | | 974,860 | |
| | 1,700,000 | | | A | | 3.566% (3-Month USD-LIBOR + 1.230%) due 7/1/22(a)(b) | | | 1,733,538 | |
| | 500,000 | | | BBB+ | | CNP Assurances, Subordinated Notes, 7.500% (6-Year USD Swap Rate + 6.481%)(a)(c) | | | 503,188 | |
| | 1,000,000 | | | A | | Reliance Standard Life Global Funding II, Senior Secured Notes, 2.150% due 10/15/18(b) | | | 999,698 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 6,942,987 | |
| | | | | | | | | | |
| | Internet — 0.2% | |
| | 1,000,000 | | | A- | | SK Broadband Co., Ltd., Senior Unsecured Notes, 2.875% due 10/29/18 | | | 999,610 | |
| | | | | | | | | | |
| | Lodging — 0.3% | |
| | | | | | MGM Resorts International, Company Guaranteed Notes: | | | | |
| | 1,300,000 | | | BB- | | 8.625% due 2/1/19 | | | 1,331,980 | |
| | 250,000 | | | BB- | | 6.750% due 10/1/20 | | | 263,437 | |
| | | | | | | | | | |
| | | | | | Total Lodging | | | 1,595,417 | |
| | | | | | | | | | |
| | Machinery — Diversified — 0.2% | |
| | | | | | CNH Industrial Capital LLC, Company Guaranteed Notes: | | | | |
| | 500,000 | | | BBB | | 3.375% due 7/15/19 | | | 503,133 | |
| | 400,000 | | | BBB | | 3.875% due 10/15/21 | | | 400,000 | |
| | | | | | | | | | |
| | | | | | Total Machinery — Diversified | | | 903,133 | |
| | | | | | | | | | |
| | Media — 1.9% | |
| | 1,200,000 | | | BBB+ | | 21st Century Fox America Inc., Company Guaranteed Notes, 6.900% due 3/1/19 | | | 1,223,907 | |
| | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | | |
| | 500,000 | | | BBB- | | 3.579% due 7/23/20 | | | 501,708 | |
| | 1,000,000 | | | BBB- | | 4.464% due 7/23/22 | | | 1,021,251 | |
| | 2,000,000 | | | BBB- | | Discovery Communications LLC, Company Guaranteed Notes, 2.750% due 11/15/19(b) | | | 1,989,535 | |
| | 1,553,000 | | | BBB+ | | RELX Capital Inc., Company Guaranteed Notes, 8.625% due 1/15/19 | | | 1,583,277 | |
| | | | | | Time Warner Cable LLC, Senior Secured Notes: | | | | |
| | 1,200,000 | | | BBB- | | 8.750% due 2/14/19 | | | 1,230,777 | |
| | 2,100,000 | | | BBB- | | 8.250% due 4/1/19 | | | 2,162,932 | |
| | | | | | | | | | |
| | | | | | Total Media | | | 9,713,387 | |
| | | | | | | | | | |
| | Mining — 0.4% | |
| | 500,000 | | | A3(d) | | China Uranium Development Co., Ltd., Company Guaranteed Notes, 3.500% due 10/8/18 | | | 500,275 | |
| | 1,200,000 | | | A | | Minera y Metalurgica del Boleo SA de CV, Company Guaranteed Notes, 2.875% due 5/7/19 | | | 1,198,160 | |
| | 300,000 | | | Baa1(d) | | Minmetals Bounteous Finance BVI Ltd., Company Guaranteed Notes, 3.500% due 7/30/20 | | | 297,662 | |
| | | | | | | | | | |
| | | | | | Total Mining | | | 1,996,097 | |
| | | | | | | | | | |
| | Miscellaneous Manufacturers — 0.3% | |
| | 1,000,000 | | | A | | General Electric Co., Senior Unsecured Notes, 6.000% due 8/7/19 | | | 1,029,785 | |
| | 400,000 | | | BBB | | Textron Inc., Senior Unsecured Notes, 2.891% (3-Month USD-LIBOR + 0.550%) due 11/10/20(a) | | | 399,743 | |
| | | | | | | | | | |
| | | | | | Total Miscellaneous Manufacturers | | | 1,429,528 | |
| | | | | | | | | | |
See Notes to Financial Statements.
270
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Oil & Gas — 3.3% | |
| $ | 2,800,000 | | | A+ | | CNOOC Finance 2015 Australia Pty Ltd., Company Guaranteed Notes, 2.625% due 5/5/20 | | $ | 2,765,356 | |
| | 1,100,000 | | | A | | CNPC General Capital Ltd., Company Guaranteed Notes, 2.750% due 5/14/19 | | | 1,096,733 | |
| | | | | | EQT Corp., Senior Unsecured Notes: | | | | |
| | 2,200,000 | | | BBB | | 8.125% due 6/1/19 | | | 2,282,294 | |
| | 1,000,000 | | | BBB | | 3.107% (3-Month USD-LIBOR + 0.770%) due 10/1/20(a) | | | 1,000,328 | |
| | 500,000 | | | BB- | | Petrobras Global Finance BV, Senior Unsecured Notes, 8.375% due 12/10/18 | | | 507,500 | |
| | | | | | Petronas Capital Ltd., Company Guaranteed Notes: | | | | |
| | 500,000 | | | A- | | 5.250% due 8/12/19 | | | 510,440 | |
| | 750,000 | | | A- | | 5.250% due 8/12/19(b) | | | 765,659 | |
| | 2,000,000 | | | BBB+ | | Phillips 66, Company Guaranteed Notes, 3.089% (3-Month USD-LIBOR + 0.750%) due 4/15/20(a)(b) | | | 2,000,811 | |
| | 1,000,000 | | | A | | Ras Laffan Liquefied Natural Gas Co., Ltd. III, Senior Secured Notes, 6.750% due 9/30/19 | | | 1,038,574 | |
| | | | | | Sinopec Group Overseas Development 2014 Ltd., Company Guaranteed Notes: | | | | |
| | 500,000 | | | A+ | | 2.750% due 4/10/19(b) | | | 499,138 | |
| | 1,200,000 | | | A+ | | 3.251% (3-Month USD-LIBOR + 0.920%) due 4/10/19(a) | | | 1,203,371 | |
| | 1,750,000 | | | A+ | | Sinopec Group Overseas Development 2015 Ltd., Company Guaranteed Notes, 2.500% due 4/28/20 | | | 1,726,740 | |
| | 1,500,000 | | | A+ | | Sinopec Group Overseas Development 2016 Ltd., Company Guaranteed Notes, 2.125% due 5/3/19 | | | 1,489,891 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 16,886,835 | |
| | | | | | | | | | |
| | Pharmaceuticals — 2.5% | |
| | 1,000,000 | | | BBB | | Allergan Funding SCS, Company Guaranteed Notes, 2.450% due 6/15/19 | | | 997,011 | |
| | 3,000,000 | | | BBB | | Bayer US Finance LLC, Company Guaranteed Notes, 2.375% due 10/8/19(b) | | | 2,977,244 | |
| | 1,000,000 | | | BBB+ | | Cardinal Health Inc., Senior Unsecured Notes, 3.111% (3-Month USD-LIBOR + 0.770%) due 6/15/22(a) | | | 1,001,761 | |
| | | | | | Mylan NV, Company Guaranteed Notes: | | | | |
| | 1,500,000 | | | BBB- | | 2.500% due 6/7/19 | | | 1,493,304 | |
| | 200,000 | | | BBB- | | 3.750% due 12/15/20 | | | 201,105 | |
| | 200,000 | | | BBB- | | 3.150% due 6/15/21 | | | 197,206 | |
| | 5,200,000 | | | BBB- | | Shire Acquisitions Investments Ireland DAC, Company Guaranteed Notes, 1.900% due 9/23/19 | | | 5,140,955 | |
| | 500,000 | | | BB | | Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes, 1.700% due 7/19/19 | | | 491,653 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 12,500,239 | |
| | | | | | | | | | |
| | Pipelines — 1.3% | |
| | 1,600,000 | | | BBB+ | | Enbridge Inc., Senior Unsecured Notes, 2.731% (3-Month USD-LIBOR + 0.400%) due 1/10/20(a) | | | 1,600,238 | |
| | | | | | Energy Transfer Partners LP, Company Guaranteed Notes: | | | | |
| | 1,000,000 | | | BBB- | | 9.700% due 3/15/19 | | | 1,037,366 | |
| | 500,000 | | | BBB- | | 9.000% due 4/15/19 | | | 519,112 | |
| | 1,100,000 | | | BBB+ | | Florida Gas Transmission Co. LLC, Senior Unsecured Notes, 7.900% due 5/15/19(b)(e) | | | 1,136,821 | |
| | 2,000,000 | | | BBB- | | Kinder Morgan Energy Partners LP, Company Guaranteed Notes, 2.650% due 2/1/19 | | | 1,998,411 | |
| | 300,000 | | | BBB- | | Sabine Pass Liquefaction LLC, Senior Secured Notes, 5.625% due 2/1/21 | | | 313,073 | |
| | | | | | | | | | |
| | | | | | Total Pipelines | | | 6,605,021 | |
| | | | | | | | | | |
| | Real Estate — 0.2% | |
| | 1,200,000 | | | AA- | | Qatari Diar Finance Co., Government Guaranteed Notes, 5.000% due 7/21/20 | | | 1,234,632 | |
| | | | | | | | | | |
| | Retail — 1.4% | |
| | 3,000,000 | | | BBB | | Alimentation Couche-Tard Inc., Company Guaranteed Notes, 2.833% (3-Month USD-LIBOR + 0.500%) due 12/13/19(a)(b) | | | 3,002,967 | |
| | 900,000 | | | BBB+ | | McDonald’s Corp., Senior Unsecured Notes, 2.769% (3-Month USD-LIBOR + 0.430%) due 10/28/21(a) | | | 904,176 | |
| | 3,100,000 | | | BBB- | | QVC Inc., Senior Secured Notes, 3.125% due 4/1/19 | | | 3,101,506 | |
| | | | | | | | | | |
| | | | | | Total Retail | | | 7,008,649 | |
| | | | | | | | | | |
See Notes to Financial Statements.
271
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Semiconductors — 0.4% | |
| $ | 400,000 | | | BBB- | | Broadcom Corp./Broadcom Cayman Finance Ltd., Company Guaranteed Notes, 2.375% due 1/15/20 | | $ | 395,871 | |
| | 1,750,000 | | | A- | | QUALCOMM Inc., Senior Unsecured Notes, 3.069% (3-Month USD-LIBOR + 0.730%) due 1/30/23(a) | | | 1,753,541 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors | | | 2,149,412 | |
| | | | | | | | | | |
| | Sovereign — 0.2% | |
| | 800,000 | | | BBB- | | Indian Railway Finance Corp., Ltd., Senior Unsecured Notes, 3.917% due 2/26/19 | | | 802,112 | |
| | | | | | | | | | |
| | Telecommunications — 2.3% | |
| | | | | | AT&T Inc., Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | BBB | | 3.071% (3-Month USD-LIBOR + 0.750%) due 6/1/21(a) | | | 1,005,297 | |
| | 900,000 | | | BBB | | 3.289% (3-Month USD-LIBOR + 0.950%) due 7/15/21(a) | | | 911,549 | |
| | | | | | Deutsche Telekom International Finance BV, Company Guaranteed Notes: | | | | |
| | 700,000 | | | BBB+ | | 6.000% due 7/8/19 | | | 718,553 | |
| | 2,600,000 | | | BBB+ | | 2.776% (3-Month USD-LIBOR + 0.450%) due 9/19/19(a)(b) | | | 2,604,718 | |
| | 500,000 | | | A- | | KT Corp., Senior Unsecured Notes, 2.625% due 4/22/19(b) | | | 498,274 | |
| | 200,000 | | | A- | | Ooredoo International Finance Ltd., Company Guaranteed Notes, 7.875% due 6/10/19 | | | 207,559 | |
| | 200,000 | | | A- | | Ooredoo Tamweel Ltd., Senior Unsecured Notes, 3.039% due 12/3/18 | | | 200,065 | |
| | 1,035,000 | | | BBB+ | | Orange SA, Senior Unsecured Notes, 5.375% due 7/8/19 | | | 1,057,350 | |
| | 500,000 | | | B | | Sprint Capital Corp., Company Guaranteed Notes, 6.900% due 5/1/19 | | | 512,500 | |
| | 700,000 | | | BBB | | Telefónica Emisiones SAU, Company Guaranteed Notes, 5.877% due 7/15/19 | | | 717,577 | |
| | | | | | Verizon Communications Inc., Senior Unsecured Notes: | | | | |
| | 700,000 | | | BBB+ | | 3.335% (3-Month USD-LIBOR + 1.000%) due 3/16/22(a) | | | 711,867 | |
| | 1,800,000 | | | BBB+ | | 3.414% (3-Month USD-LIBOR + 1.100%) due 5/15/25(a) | | | 1,820,979 | |
| | 600,000 | | | BBB+ | | Vodafone Group PLC, Senior Unsecured Notes, 3.329% (3-Month USD-LIBOR + 0.990%) due 1/16/24(a) | | | 601,527 | |
| | | | | | | | | | |
| | | | | | Total Telecommunications | | | 11,567,815 | |
| | | | | | | | | | |
| | Trucking & Leasing — 0.7% | |
| | 1,500,000 | | | A- | | Aviation Capital Group LLC, Senior Unsecured Notes, 3.013% (3-Month USD-LIBOR + 0.670%) due 7/30/21(a)(b) | | | 1,504,209 | |
| | 100,000 | | | BB+ | | DAE Funding LLC, Company Guaranteed Notes, 4.000% due 8/1/20(b) | | | 99,500 | |
| | 1,770,000 | | | BBB | | Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes, 2.500% due 6/15/19(b) | | | 1,761,771 | |
| | | | | | | | | | |
| | | | | | Total Trucking & Leasing | | | 3,365,480 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $308,804,137) | | | 308,776,385 | |
| | | | | | | | | | |
| | U.S. GOVERNMENT OBLIGATIONS — 19.2% | |
| | | | | | U.S. Treasury Notes: | | | | |
| | 96,300,000 | | | | | 2.625% due 7/31/20 | | | 96,294,358 | |
| | 1,000,000 | | | | | 2.375% due 5/15/27 | | | 964,609 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $97,209,016) | | | 97,258,967 | |
| | | | | | | | | | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 13.6% | |
| | 20,231 | | | AAA | | American Home Mortgage Investment Trust, Series 2004-4, Class 2A1, 2.645% (1-Month USD-LIBOR + 0.580%) due 2/25/45(a) | | | 20,285 | |
| | 442,080 | | | AAA | | Apidos CLO XVI, Series 2013-16A, Class A1R, 3.322% (3-Month USD-LIBOR + 0.980%) due 1/19/25(a)(b) | | | 442,166 | |
| | 700,000 | | | AAA | | Atrium Hotel Portfolio Trust, Series 2018-ATRM, Class A, 3.013% (1-Month USD-LIBOR + 0.950%) due 6/15/35(a)(b) | | | 701,519 | |
| | 881,827 | | | AAA | | B&M CLO Ltd., Series 2014-1A, Class A1R, 3.069% (3-Month USD-LIBOR + 0.730%) due 4/16/26(a)(b) | | | 882,192 | |
| | 800,000 | | | Aaa(d) | | Babson CLO Ltd., Series 2014-IIA, Class AR, 3.486% (3-Month USD-LIBOR + 1.150%) due 10/17/26(a)(b) | | | 800,728 | |
See Notes to Financial Statements.
272
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 13.6% — (continued) | |
| $ | 216,282 | | | Aaa(d) | | Bancorp Commercial Mortgage Trust, Series 2016-CRE1, Class A, 3.502% (1-Month USD-LIBOR + 1.430%) due 11/15/33(a)(b) | | $ | 216,375 | |
| | 90,435 | | | NR | | Bayview Opportunity Master Fund IIIa Trust, Series 2017-RN8, Class A1, step bond to yield, 3.352% due 11/28/32(b) | | | 90,005 | |
| | 398,743 | | | NR | | Bayview Opportunity Master Fund IVa Trust, Series 2018-SBR3, Class A1, step bond to yield, 4.090% due 5/28/33(b) | | | 399,107 | |
| | 766,910 | | | AA+ | | Bear Stearns ALT-A Trust, Series 2004-10, Class 2A1, 2.725% (1-Month USD-LIBOR + 0.660%) due 9/25/34(a) | | | 753,387 | |
| | 617,718 | | | AAA | | BlueMountain CLO Ltd., Series 2013-3A, Class AR, 3.229% (3-Month USD-LIBOR + 0.890%) due 10/29/25(a)(b) | | | 618,035 | |
| | 844,394 | | | AAA | | Cent CLO 19 Ltd., Series 2013-19A, Class A1A, 3.669% (3-Month USD-LIBOR + 1.330%) due 10/29/25(a)(b) | | | 845,770 | |
| | 1,000,000 | | | AAA | | Citigroup Commercial Mortgage Trust, Series 2017-1500, Class A, 2.913% (1-Month USD-LIBOR + 0.850%) due 7/15/32(a)(b) | | | 1,001,227 | |
| | 242,214 | | | NR | | Civic Mortgage LLC, Series 2018-1, Class A1, step bond to yield, 3.892% due 6/25/22(b) | | | 242,348 | |
| | 400,000 | | | AAA | | Cold Storage Trust, Series 2017-ICE3, Class A, 3.063% (1-Month USD-LIBOR + 1.000%) due 4/15/36(a)(b) | | | 401,837 | |
| | 240,605 | | | Aaa(d) | | Colony Starwood Homes Trust, Series 2016-1A, Class A, 3.560% (1-Month USD-LIBOR + 1.500%) due 7/17/33(a)(b) | | | 241,815 | |
| | 394,972 | | | Aaa(d) | | COMM Mortgage Trust, Series 2013-CR6, Class A3FL, 2.693% (1-Month USD-LIBOR + 0.630%) due 3/10/46(a)(b) | | | 395,664 | |
| | 71,964 | | | A+ | | Continental Airlines 1999-1 Class A Pass-Through Trust, Pass-Through Certificates, 6.545% due 2/2/19 | | | 73,020 | |
| | 214,727 | | | NR | | Credit Suisse Commercial Mortgage Capital Trust, Series 2017-1, Class A, 4.500% due 3/25/21(b) | | | 216,264 | |
| | 874,811 | | | B+ | | CWABS Inc. Asset-Backed Certificates Trust, Series 2004-5, Class M1, 2.920% (1-Month USD-LIBOR + 0.855%) due 8/25/34(a) | | | 857,729 | |
| | 500,000 | | | AAA | | Dorchester Park CLO DAC, Series 2015-1A, Class AR, 3.248% (3-Month USD-LIBOR + 0.900%) due 4/20/28(a)(b) | | | 500,842 | |
| | 99,257 | | | A | | Eagle I Ltd., Series 2014-1A, Class A1, 2.570% due 12/15/39(b) | | | 99,131 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | | |
| | 2,232,366 | | | NR | | Series 4344, Class FA, 2.542% (1-Month USD-LIBOR + 0.450%) due 12/15/37(a) | | | 2,235,858 | |
| | 2,840,796 | | | NR | | Series 4351, Class FA, 2.542% (1-Month USD-LIBOR + 0.450%) due 5/15/38(a) | | | 2,817,873 | |
| | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | | |
| | 1,325,725 | | | NR | | Series 2011-86, Class KF, 2.615% (1-Month USD-LIBOR + 0.550%) due 9/25/41(a) | | | 1,340,474 | |
| | 2,624,370 | | | NR | | Series 2017-108, Class AF, 2.365% (1-Month USD-LIBOR + 0.300%) due 1/25/48(a) | | | 2,624,246 | |
| | 500,000 | | | AAA | | Figueroa CLO Ltd., Series 2013-2A, Class A1RR, 2.925% (3-Month USD-LIBOR + 0.850%) due 6/20/27(a)(b) | | | 500,155 | |
| | 162,354 | | | AAA | | FNBA Mortgage Loan Trust, Series 2004-AR1, Class A2, 2.477% (1-Month USD-LIBOR + 0.400%) due 8/19/34(a) | | | 162,006 | |
| | 1,168,020 | | | Aaa(d) | | Gosforth Funding PLC, Series 2017-1A, Class A1A, 2.796% (3-Month USD-LIBOR + 0.470%) due 12/19/59(a)(b) | | | 1,170,785 | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 2,408,055 | | | NR | | Series 2016-H06, Class FD, 3.020% (1-Month USD-LIBOR + 0.920%) due 7/20/65(a) | | | 2,454,601 | |
| | 178,860 | | | NR | | Series 2016-H11, Class F, 2.900% (1-Month USD-LIBOR + 0.800%) due 5/20/66(a) | | | 181,657 | |
| | 1,993,462 | | | NR | | Series 2017-H15, Class FE, 3.524% (1-Year USD-LIBOR + 0.800%) due 7/20/67(a) | | | 2,059,460 | |
| | 1,000,000 | | | AAA | | Great Wolf Trust, Series 2017-WOLF, Class A, 3.063% (1-Month USD-LIBOR + 0.850%) due 9/15/34(a)(b) | | | 1,001,237 | |
| | 500,000 | | | Aaa(d) | | GS Mortgage Securities Trust, Series 2014-GC18, Class AAB, 3.648% due 1/10/47 | | | 504,399 | |
| | 1,000,000 | | | AAA | | Holmes Master Issuer PLC, Series 2018-1A, Class A2, 2.699% (3-Month USD-LIBOR + 0.360%) due 10/15/54(a)(b) | | | 999,273 | |
| | 1,235,000 | | | AAA | | Hyatt Hotel Portfolio Trust, Series 2017-HYT2, Class A, 2.721% (1-Month USD-LIBOR + 0.658%) due 8/9/32(a)(b) | | | 1,234,962 | |
| | 192,652 | | | B | | Impac CMB Trust, Series 2004-10, Class 1A1, 2.705% (1-Month USD-LIBOR + 0.640%) due 3/25/35(a) | | | 188,538 | |
See Notes to Financial Statements.
273
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 13.6% — (continued) | |
| $ | 2,700,000 | | | AAA | | JP Morgan Chase Commercial Mortgage Securities Corp., Series 2017-MAUI, Class A, 2.901% (1-Month USD-LIBOR + 0.830%) due 7/15/34(a)(b) | | $ | 2,702,742 | |
| | 500,000 | | | AAA(f) | | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-LAQ, Class A, 3.063% (1-Month USD-LIBOR + 1.000%) due 6/15/32(a)(b) | | | 501,747 | |
| | 2,000,000 | EUR | | AAA | | Jubilee CLO BV, Series 2015-16A, Class A1R, 0.479% (0.800% — 3-Month EURIBOR) due 12/15/29(a)(b) | | | 2,323,439 | |
| | 1,223,323 | | | Aaa(d) | | Ladder Capital Commercial Mortgage Trust, Series 2017-FL1, Class A, 2.940% (1-Month USD-LIBOR + 0.880%) due 9/15/34(a)(b) | | | 1,223,942 | |
| | 800,000 | | | AAA | | Madison Park Funding XVI Ltd., Series 2015-16A, Class A1R, 3.678% (3-Month USD-LIBOR + 1.330%) due 4/20/26(a)(b) | | | 800,767 | |
| | 1,000,000 | | | AAA | | Marathon CLO V Ltd., Series 2013-5A, Class A1R, 3.182% (3-Month USD-LIBOR + 0.870%) due 11/21/27(a)(b) | | | 995,469 | |
| | 1,000,000 | | | Aaa(d) | | MMAF Equipment Finance LLC, Series 2018-A, Class A2, 2.920% due 7/12/21(b) | | | 1,000,272 | |
| | 300,000 | | | Aaa(d) | | Monarch Grove CLO 18-1, Series 2018-1A, Class A1, 3.215% (3-Month USD-LIBOR + 0.880%) due 1/25/28(a)(b) | | | 298,274 | |
| | 1,455,841 | | | AAA | | Motel 6 Trust, Series 2017-MTL6, Class A, 2.983% (1-Month USD-LIBOR + 0.920%) due 8/15/34(a)(b) | | | 1,458,607 | |
| | 2,000,000 | | | AAA | | Mountain View CLO X Ltd., Series 2015-10A, Class AR, 3.157% (3-Month USD-LIBOR + 0.820%) due 10/13/27(a)(b) | | | 1,993,171 | |
| | 400,000 | | | B- | | NovaStar Mortgage Funding Trust, Series 2005-4, Class M1, 2.725% (1-Month USD-LIBOR + 0.660%) due 1/25/36(a) | | | 398,397 | |
| | | | | | OCP CLO Ltd.: | | | | |
| | 1,500,000 | | | AAA | | Series 2015-9A, Class A1R, 3.139% (3-Month USD-LIBOR + 0.800%) due 7/15/27(a)(b) | | | 1,493,190 | |
| | 1,000,000 | | | AAA | | Series 2015-10A, Class A1R, 3.155% (3-Month USD-LIBOR + 0.820%) due 10/26/27(a)(b) | | | 1,000,593 | |
| | 1,000,000 | | | AAA(f) | | Palmer Square CLO Ltd., Series 2018-3A, Class A1, 3.185% (3-Month USD-LIBOR + 0.850%) due 8/15/26(a)(b) | | | 1,000,004 | |
| | 2,700,000 | | | AAA | | Permanent Master Issuer PLC, Series 2018-1A, Class 1A1, 2.747% (3-Month USD-LIBOR + 0.380%) due 7/15/58(a)(b) | | | 2,696,879 | |
| | 295,194 | | | AAA(f) | | PFP Ltd., Series 2017-4, Class A, 2.943% (1-Month USD-LIBOR + 0.880%) due 7/14/35(a)(b) | | | 295,562 | |
| | 304,690 | | | AAA | | RBSSP Resecuritization Trust, Series 2009-12, Class 16A1, 3.448% due 10/25/35(a)(b) | | | 307,670 | |
| | 500,000 | | | A2(d) | | SBA Tower Trust, Series 2014-1C, 2.898% due 10/15/19(b) | | | 496,501 | |
| | | | | | SoFi Consumer Loan Program LLC: | | | | |
| | 108,653 | | | AA | | Series 2017-3, Class A, 2.770% due 5/25/26(b) | | | 107,886 | |
| | 231,083 | | | (P)AA | | Series 2017-4, Class A, 2.500% due 5/26/26(b) | | | 228,838 | |
| | 752,264 | | | AA | | SoFi Consumer Loan Program Trust, Series 2018-2, Class A1, 2.930% due 4/26/27(b) | | | 751,328 | |
| | 2,000,000 | | | Aaa(d) | | Sound Point CLO X Ltd., Series 2015-3A, Class AR, 3.238% (3-Month USD-LIBOR + 0.890%) due 1/20/28(a)(b) | | | 1,996,600 | |
| | 60,433 | | | NR | | Stanwich Mortgage Loan Co., Series 2016-NPA1, Class NOTE, 3.844% due 10/16/46(a)(b) | | | 60,514 | |
| | 596,461 | | | AAA | | Stonemont Portfolio Trust, Series 2017-MONT, Class A, 2.927% (1-Month USD-LIBOR + 0.850%) due 8/20/30(a)(b) | | | 597,008 | |
| | 1,298,373 | | | AAA | | Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class A, 2.829% (1-Month USD-LIBOR + 0.750%) due 11/11/34(a)(b) | | | 1,299,210 | |
| | 1,537,950 | | | Aaa(d) | | Towd Point Mortgage Trust, Series 2017-5, Class A1, 2.665% (1-Month USD-LIBOR + 0.600%) due 2/25/57(a)(b) | | | 1,543,184 | |
| | 257,611 | | | NR | | U.S. Residential Opportunity Fund IV Trust, Series 2017-1III, Class A, step bond to yield, 3.352% due 11/27/37(b) | | | 256,197 | |
| | 1,800,000 | | | Aaa(d) | | Venture XVI CLO Ltd., Series 2014-16A, Class ARR, 3.189% (3-Month USD-LIBOR + 0.850%) due 1/15/28(a)(b) | | | 1,797,231 | |
| | 800,000 | | | Aaa(d) | | Venture XVII CLO Ltd., Series 2014-17A, Class ARR, 3.219% (3-Month USD-LIBOR + 0.880%) due 4/15/27(a)(b) | | | 796,147 | |
| | 1,152,577 | | | NR | | VOLT LIX LLC, Series 2017-NPL6, Class A1, step bond to yield, 3.250% due 5/25/47(b) | | | 1,150,016 | |
| | 201,398 | | | NR | | VOLT LXI LLC, Series 2017-NPL8, Class A1, step bond to yield, 3.125% due 6/25/47(b) | | | 200,362 | |
| | 908,805 | | | NR | | VOLT LXII LLC, Series 2017-NPL9, Class A1, step bond to yield, 3.125% due 9/25/47(b) | | | 901,036 | |
| | 619,295 | | | NR | | VOLT LXIII LLC, Series 2017-NP10, Class A1, step bond to yield, 3.000% due 10/25/47(b) | | | 614,547 | |
See Notes to Financial Statements.
274
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 13.6% — (continued) | |
| $ | 300,000 | | | Aaa(d) | | Voya CLO Ltd., Series 2014-3A, Class A1R, 3.055% (3-Month USD-LIBOR + 0.720%) due 7/25/26(a)(b) | | $ | 300,038 | |
| | 1,115,411 | | | AA | | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1, 2.355% (1-Month USD-LIBOR + 0.290%) due 10/25/45(a) | | | 1,118,259 | |
| | | | | | Wells Fargo Commercial Mortgage Trust: | | | | |
| | 500,000 | | | AAA | | Series 2017-HSDB, Class A, 2.917% (1-Month USD-LIBOR + 0.850%) due 12/13/31(a)(b) | | | 500,980 | |
| | 1,500,000 | | | AAA(f) | | Series 2018-BXI, Class A, 2.794% (1-Month USD-LIBOR + 0.731%) due 12/15/36(a)(b) | | | 1,499,861 | |
| | | | | | WFRBS Commercial Mortgage Trust: | | | | |
| | 1,500,000 | | | Aaa(d) | | Series 2012-C7, Class AFL, 3.260% (1-Month USD-LIBOR + 1.200%) due 6/15/45(a)(b) | | | 1,531,783 | |
| | 1,232,692 | | | Aaa(d) | | Series 2012-C10, Class AFL, 2.850% (1-Month USD-LIBOR + 0.790%) due 12/15/45(a)(b)(e) | | | 1,242,285 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $68,700,896) | | | 68,755,506 | |
| | | | | | | | | | |
| | ASSET-BACKED SECURITIES — 4.7% | |
| | Automobiles — 0.4% | |
| | 1,000,000 | | | Aaa(d) | | Hertz Fleet Lease Funding LP, Series 2018-1, Class A2, 3.230% due 5/10/32(b) | | | 1,002,523 | |
| | 600,000 | | | Aaa(d) | | OSCAR US Funding Trust VIII LLC, Series 2018-1A, Class A2A, 2.910% due 4/12/21(b) | | | 600,019 | |
| | 500,000 | | | Aaa(d) | | OSCAR US Funding Trust IX LLC, Series 2018-2A, Class A2A, 3.150% due 8/10/21(b) | | | 501,727 | |
| | | | | | | | | | |
| | | | | | Total Automobiles | | | 2,104,269 | |
| | | | | | | | | | |
| | Credit Cards — 1.6% | |
| | | | | | CARDS II Trust: | | | | |
| | 1,000,000 | | | Aaa(d) | | Series 2017-2A, Class A, 2.323% (1-Month USD-LIBOR + 0.260%) due 10/17/22(a)(b) | | | 1,000,534 | |
| | 1,300,000 | | | Aaa(d) | | Series 2018-1A, Class A, 2.413% (1-Month USD-LIBOR + 0.350%) due 4/17/23(a)(b) | | | 1,302,151 | |
| | 1,182,867 | | | NR | | LP Credit Card ABS Master Trust, Series 2018-1, Class A, 3.614% (1-Month USD-LIBOR + 1.550%) due 8/20/24(a)(b)(e) | | | 1,183,354 | |
| | 3,000,000 | | | Aaa(d) | | Master Credit Card Trust II, Series 2018-1A, Class A, 2.559% (1-Month USD-LIBOR + 0.490%) due 7/22/24(a)(b) | | | 3,002,234 | |
| | 1,700,000 | | | AAA | | Trillium Credit Card Trust II, Series 2018-1A, Class A, 2.315% (1-Month USD-LIBOR + 0.250%) due 2/27/23(a)(b) | | | 1,701,242 | |
| | | | | | | | | | |
| | | | | | Total Credit Cards | | | 8,189,515 | |
| | | | | | | | | | |
| | Student Loans — 2.7% | |
| | | | | | ECMC Group Student Loan Trust: | | | | |
| | 836,217 | | | Aaa(d) | | Series 2017-2A, Class A, 3.115% (1-Month USD-LIBOR + 1.050%) due 5/25/67(a)(b) | | | 848,271 | |
| | 766,076 | | | Aaa(d) | | Series 2018-1A, Class A, 2.815% (1-Month USD-LIBOR + 0.750%) due 2/27/68(a)(b) | | | 768,375 | |
| | 301,014 | | | AAA | | EFS Volunteer LLC, Series 2010-1, Class A2, 3.185% (3-Month USD-LIBOR + 0.850%) due 10/25/35(a)(b) | | | 301,541 | |
| | 149,182 | | | Aaa(d) | | Navient Private Education Loan Trust, Series 2015-AA, Class A2A, 2.650% due 12/15/28(b) | | | 146,744 | |
| | | | | | Navient Student Loan Trust: | | | | |
| | 306,011 | | | Aaa(d) | | Series 2016-5A, Class A, 3.315% (1-Month USD-LIBOR + 1.250%) due 6/25/65(a)(b) | | | 314,078 | |
| | 1,500,000 | | | AAA | | Series 2018-1A, Class A2, 2.415% (1-Month USD-LIBOR + 0.350%) due 3/25/67(a)(b) | | | 1,500,439 | |
| | 1,447,258 | | | AA+ | | Nelnet Student Loan Trust, Series 2017-3A, Class A, 2.915% (1-Month USD-LIBOR + 0.850%) due 2/25/66(a)(b) | | | 1,458,268 | |
| | 708,780 | | | AA+ | | Pennsylvania Higher Education Assistance Agency, Series 2006-2, Class A-3, 2.465% (3-Month USD-LIBOR + 0.130%) due 10/25/36(a) | | | 703,896 | |
| | 831,939 | | | AAA | | SLC Student Loan Trust, Series 2007-1, Class A4, 2.374% (3-Month USD-LIBOR + 0.060%) due 5/15/29(a) | | | 823,138 | |
| | | | | | SLM Student Loan Trust: | | | | |
| | 380,461 | | | AAA | | Series 2003-10A, Class A3, 2.811% (3-Month USD-LIBOR + 0.470%) due 12/15/27(a)(b) | | | 382,058 | |
| | 1,457,622 | | | AAA | | Series 2005-5, Class A4, 2.475% (3-Month USD-LIBOR + 0.140%) due 10/25/28(a) | | | 1,453,429 | |
| | 1,170,126 | | | AA+ | | Series 2008-5, Class A4, 4.035% (3-Month USD-LIBOR + 1.700%) due 7/25/23(a) | | | 1,202,924 | |
| | 948,493 | | | AA+ | | Series 2008-7, Class A4, 3.235% (3-Month USD-LIBOR + 0.900%) due 7/25/23(a) | | | 953,364 | |
| | 250,000 | | | A | | Series 2008-8, Class A4, 3.835% (3-Month USD-LIBOR + 1.500%) due 4/25/23(a) | | | 255,232 | |
See Notes to Financial Statements.
275
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| | Student Loans — 2.7% — (continued) | |
| $ | 1,621,769 | | | AAA | | Sofi Professional Loan Program LLC, Series 2018-A, Class A2A, 2.390% due 2/25/42(b) | | $ | 1,609,653 | |
| | 1,088,446 | | | AA+ | | Utah State Board of Regents, Series 2017-1, Class A, 2.815% (1-Month USD-LIBOR + 0.750%) due 1/25/57(a) | | | 1,089,916 | |
| | | | | | | | | | |
| | | | | | Total Student Loans | | | 13,811,326 | |
| | | | | | | | | | |
| | | | | | TOTAL ASSET-BACKED SECURITIES
(Cost — $24,039,651) | | | 24,105,110 | |
| | | | | | | | | | |
| | SOVEREIGN BONDS — 3.5% | |
| | Canada — 0.6% | |
| | 3,000,000 | | | AAA | | Export Development Canada, 2.293% (3-Month USD-LIBOR — 0.040%) due 10/18/19(a)(b) | | | 2,999,864 | |
| | | | | | | | | | |
| | India — 0.9% | |
| | | | | �� | Export-Import Bank of India: | | | | |
| | 200,000 | | | BBB- | | 3.875% due 10/2/19 | | | 200,870 | |
| | 2,500,000 | | | BBB- | | 2.750% due 4/1/20 | | | 2,465,180 | |
| | 1,900,000 | | | Baa2(d) | | 3.312% (3-Month USD-LIBOR + 1.000%) due 8/21/22(a)(e) | | | 1,905,937 | |
| | | | | | | | | | |
| | | | | | Total India | | | 4,571,987 | |
| | | | | | | | | | |
| | Japan — 2.0% | |
| | | | | | Japan Bank for International Cooperation: | | | | |
| | 1,500,000 | | | A+ | | 1.750% due 11/13/18 | | | 1,498,107 | |
| | 800,000 | | | A+ | | 2.882% (3-Month USD-LIBOR + 0.570%) due 2/24/20(a) | | | 805,033 | |
| | 4,400,000 | | | A+ | | 2.737% (3-Month USD-LIBOR + 0.390%) due 7/21/20(a) | | | 4,417,453 | |
| | 3,000,000 | | | A+ | | Japan Finance Organization for Municipalities, 2.500% due 9/12/18(b) | | | 2,999,799 | |
| | 500,000 | | | A+ | | Tokyo Metropolitan Government, 2.500% due 6/8/22(b) | | | 487,836 | |
| | | | | | | | | | |
| | | | | | Total Japan | | | 10,208,228 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $17,873,123) | | | 17,780,079 | |
| | | | | | | | | | |
| | MUNICIPAL BOND — 0.3% | |
| | Washington — 0.3% | |
| | 1,600,000 | | | | | Washington Health Care Facilities Authority, 2.610% (SIFMA Municipal Swap Index Yield + 1.050%) due 1/1/42(a)
(Cost — $1,600,000) | | | 1,630,704 | |
| | | | | | | | | | |
| | SENIOR LOANS — 0.2% | |
| | 240,420 | | | NR | | AWAS Aviation Capital Ltd., 4.587% (3-Month USD-LIBOR + 2.250%) due 5/19/19(e) | | | 240,482 | |
| | 589,477 | | | NR | | Las Vegas Sands LLC, 3.826% (1-Month USD-LIBOR + 1.750%) due 3/27/25 | | | 589,220 | |
| | | | | | | | | | |
| | | | | | TOTAL SENIOR LOANS
(Cost — $830,928) | | | 829,702 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $519,057,751) | | | 519,136,453 | |
| | | | | | | | | | |
| | SHORT-TERM INVESTMENTS — 2.3% | |
| | COMMERCIAL PAPERS — 1.8% | |
| | 3,200,000 | | | | | AT&T Inc., 3.091% due 5/28/19(h) | | | 3,128,267 | |
| | 1,500,000 | | | | | Humana Inc., 2.559% due 10/4/18(b)(h) | | | 1,496,494 | |
| | 1,500,000 | | | | | Syngenta Wilmington Inc., 2.969% due 10/25/18(b)(h) | | | 1,493,362 | |
| | 3,100,000 | | | | | VW Credit Inc., 2.840% due 12/10/18(h) | | | 3,075,889 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMERCIAL PAPERS
(Cost — $9,194,012) | | | 9,194,012 | |
| | | | | | | | | | |
| | CORPORATE BONDS — 0.2% | |
| | 600,000 | | | BBB- | | Harris Corp., 2.786% (3-Month USD-LIBOR + 0.475%) due 2/27/19(a) | | | 600,000 | |
| | 500,000 | | | A- | | Pacific Gas & Electric Co., 2.541% (3-Month USD-LIBOR + 0.230%) due 11/28/18(a) | | | 499,668 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS
(Cost — $1,099,668) | | | 1,099,668 | |
| | | | | | | | | | |
See Notes to Financial Statements.
276
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount† | | | | | Security | | Value | |
| | TIME DEPOSITS — 0.3% | |
| | | | | | BBH — Grand Cayman: | | | | |
| | 2,641 | DKK | | | | (0.850)% due 9/3/18 | | $ | 411 | |
| | 898 | EUR | | | | (0.570)% due 9/3/18 | | | 1,043 | |
| | 28,979 | JPY | | | | (0.230)% due 9/3/18 | | | 261 | |
| | 6,013 | NZD | | | | 0.800% due 9/3/18 | | | 3,978 | |
| | 74,374 | AUD | | | | 0.900% due 9/3/18 | | | 53,463 | |
| | 382,348 | CAD | | | | 0.590% due 9/4/18 | | | 293,010 | |
| | 147,638 | GBP | | | | Citibank — London, 0.370% due 9/3/18 | | | 191,390 | |
| $ | 970,027 | | | | | JPMorgan Chase & Co. — New York, 1.280% due 9/4/18 | | | 970,027 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $1,513,583) | | | 1,513,583 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $11,807,263) | | | 11,807,263 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 104.7%
(Cost — $530,865,014) | | | 530,943,716 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (4.7)% | | | (23,808,286 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 507,135,430 | |
| | | | | | | | | | |
| † | 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) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2018. |
| (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. The aggregate value of restricted 144A holdings at August 31, 2018 amounts to approximately $157,181,955 and represents 31.0% of net assets. |
| (c) | Security is perpetual in nature and has no stated maturity date. |
| (d) | Rating by Moody’s Investors Service. All ratings are unaudited. |
| (f) | Rating by Fitch Ratings Service. All ratings are unaudited. |
| (g) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (h) | Rate shown represents yield-to-maturity. |
| # | Security that used significant unobservable inputs to determine fair value. |
At August 31, 2018, for Ultra-Short Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost for
Federal Income
Tax Purposes | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net Unrealized
Depreciation | |
Ultra-Short Term Fixed Income Fund | | $ | 532,602,965 | | | $ | 2,979,469 | | | $ | (4,583,476 | ) | | $ | (1,604,007 | ) |
| | |
Abbreviations used in this schedule: |
| ABS | | — Asset-Based Security |
| CLO | | — Collateralized Loan Obligation |
| EURIBOR | | — Euro Interbank Offered Rate |
| ICE | | — Intercontinental Exchange |
| LIBOR | | — London Interbank Offered Rate |
| PCL | | — Public Company Limited |
| PLC | | — Public Limited Company |
| REMICS | | — Real Estate Mortgage Investment Conduit |
| SIFMA | | — Securities Industry and Financial Markets Association |
See Notes to Financial Statements.
277
| | | | |
| Ultra-Short Term Fixed Income Fund |
| | | | |
| Summary of Investments by Security Type^ | | | |
Corporate Bonds & Notes | | | 58.2 | % |
U.S. Government Obligations | | | 18.3 | |
Collateralized Mortgage Obligations | | | 13.0 | |
Asset-Backed Securities | | | 4.5 | |
Sovereign Bonds | | | 3.3 | |
Municipal Bond | | | 0.3 | |
Senior Loans | | | 0.2 | |
Short-Term Investments | | | 2.2 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
At August 31, 2018, Ultra-Short Term Fixed Income Fund did not hold any Reverse Repurchase Agreements. For the year ended August 31, 2018, the average borrowing and interest rate under the reverse repurchase agreements were $1,705,524 and 1.279%, respectively. The Ultra-Short Term Fixed Income Fund held Reverse Repurchase Agreements for 73 days during the year ended August 31, 2018.
At August 31, 2018, 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) | | | Notional
Amount | | | Market Value | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
90-Day Eurodollar December Futures | | | 719 | | | | 12/18 | | | $ | 175,148,560 | | | $ | 175,049,538 | | | $ | (99,022 | ) |
Bank Accept December Futures | | | 204 | | | | 12/19 | | | | 38,079,527 | | | | 38,073,147 | | | | (6,380 | ) |
Bank Accept June Futures | | | 200 | | | | 6/19 | | | | 37,406,621 | | | | 37,368,764 | | | | (37,857 | ) |
Bank Accept March Futures | | | 76 | | | | 3/19 | | | | 14,248,410 | | | | 14,216,147 | | | | (32,263 | ) |
Bank Accept March Futures | | | 105 | | | | 3/20 | | | | 19,578,081 | | | | 19,594,461 | | | | 16,381 | |
Bank Accept September Futures | | | 71 | | | | 9/19 | | | | 13,256,073 | | | | 13,255,709 | | | | (364 | ) |
U.S. Treasury 2-Year Note December Futures | | | 248 | | | | 12/18 | | | | 52,417,125 | | | | 52,417,125 | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (159,505 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
90-Day Eurodollar December Futures | | | 718 | | | | 12/19 | | | | 174,554,568 | | | | 174,195,775 | | | | 358,793 | |
U.S. Treasury 5-Year Note December Futures | | | 612 | | | | 12/18 | | | | 69,385,500 | | | | 69,399,844 | | | | (14,344 | ) |
U.S. Treasury 10-Year Note December Futures | | | 120 | | | | 12/18 | | | | 14,398,125 | | | | 14,431,875 | | | | (33,750 | ) |
U.S. Treasury Ultra Long Bond December Futures | | | 42 | | | | 12/18 | | | | 6,707,531 | | | | 6,691,125 | | | | 16,406 | |
United Kingdom Treasury 10-Year Gilt December Futures | | | 147 | | | | 12/18 | | | | 23,326,871 | | | | 23,311,626 | | | | 15,245 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 342,350 | |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | 182,845 | |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2018, Ultra-Short Term Fixed Income Fund had deposited cash of $1,515,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
At August 31, 2018, 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 | | | In Exchange For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
British Pound | | | 3,599,000 | | | | USD | | | | 4,592,472 | | | | HSBC | | | $ | 4,665,561 | | | | 9/4/18 | | | $ | 73,090 | |
British Pound | | | 4,216,000 | | | | USD | | | | 5,538,956 | | | | SCB | | | | 5,465,409 | | | | 9/4/18 | | | | (73,547 | ) |
Mexican Peso | | | 779,000 | | | | USD | | | | 41,352 | | | | JPM | | | | 40,458 | | | | 10/26/18 | | | | (894 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (1,351 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
278
| | | | |
| Ultra-Short Term Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Canadian Dollar | | | 341,000 | | | | USD | | | | 260,855 | | | | HSBC | | | $ | 261,323 | | | | 9/4/18 | | | $ | (468 | ) |
Euro | | | 2,241,000 | | | | USD | | | | 2,616,716 | | | | BNP | | | | 2,601,464 | | | | 9/4/18 | | | | 15,251 | |
Euro | | | 2,002,000 | | | | USD | | | | 2,344,428 | | | | JPM | | | | 2,324,021 | | | | 9/4/18 | | | | 20,407 | |
Euro | | | 6,300,000 | | | | USD | | | | 7,374,661 | | | | JPM | | | | 7,327,976 | | | | 10/2/18 | | | | 46,685 | |
Japanese Yen | | | 739,200,000 | | | | USD | | | | 6,666,166 | | | | JPM | | | | 6,654,364 | | | | 9/4/18 | | | | 11,802 | |
Japanese Yen | | | 929,230,000 | | | | USD | | | | 8,375,493 | | | | SCB | | | | 8,365,035 | | | | 9/4/18 | | | | 10,458 | |
Japanese Yen | | | 1,668,430,000 | | | | USD | | | | 14,969,875 | | | | BCLY | | | | 15,047,779 | | | | 10/2/18 | | | | (77,904 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 26,231 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 24,880 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2018, Ultra-Short Term Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contract:
| | | | | | | | | | | | | | | | | | | | | | | | |
Fund Pay
Floating Rate Index | | Fund Receive
Floating Rate Index | | | Maturity
Date | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid | | | Unrealized
Appreciation | |
1-Month USD-LIBOR+0.095% | | | 3-Month USD-LIBOR | | | | 5/21/22 | | | USD | 147,600,000 | | | $ | 5,983 | | | $ | — | | | $ | 5,983 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2018, Ultra-Short Term Fixed Income Fund held the following Centrally Cleared Credit Default Swap Contract:
Centrally Cleared — Credit Default Swap on Indexes — Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
(Pay) Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
8/31/18 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
(Received) | | | Unrealized
(Depreciation) | |
Markit CDX North America High Yield Series 30 5-Year Index | | | (5.000 | )% | | | 6/20/23 | | | | 3-Month | | | | 3.071 | % | | USD | 2,000,000 | | | $ | (158,466) | | | $ | (125,500) | | | $ | (32,966) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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. |
At August 31, 2018, Ultra-Short Term Fixed Income Fund deposited cash collateral with brokers in the amount of $370,000 for open centrally cleared swap contracts.
At August 31, 2018, Ultra-Short Term Fixed Income Fund had cash collateral from brokers in the amount of $120,000 for open centrally cleared swap contracts.
| | | | | | |
Currency Abbreviations used in this schedule: | | Counterparty Abbreviations used in this schedule: |
| AUD | | — Australian Dollar | | BCLY | | — Barclays Bank PLC |
| CAD | | — Canadian Dollar | | BNP | | — BNP Paribas SA |
| DKK | | — Danish Krone | | HSBC | | — HSBC Bank USA |
| EUR | | — Euro | | JPM | | — JPMorgan Chase & Co. |
| GBP | | — British Pound | | SCB | | — Standard Chartered Bank |
| JPY | | — Japanese Yen | | | | |
| NZD | | — New Zealand Dollar | | | | |
See pages 281-282 for definitions of ratings.
See Notes to Financial Statements.
279
|
| Alternative Strategies Fund |
| | | | | | | | |
| | |
| Units | | | Security | | Value | |
| | OPEN END MUTUAL FUND SECURITIES — 89.2% | |
| | United States — 89.2% | |
| | 43,599 | | | American Beacon AHL Managed Futures Strategy Fund, Class Y | | $ | 459,535 | |
| | 27,647 | | | BlackRock Event Driven Equity Fund, Institutional Class | | | 256,842 | |
| | 29,566 | | | BlackRock Global Long/Short Credit Fund, Institutional Class | | | 307,196 | |
| | 15,222 | | | Diamond Hill Long/Short Fund, Class I | | | 412,504 | |
| | 31,965 | | | Driehaus Event Driven Fund, Common Class* | | | 361,845 | |
| | 36,132 | | | Eaton Vance Global Macro Absolute Return Advantage Fund, Class I | | | 353,732 | |
| | 47,020 | | | Goldman Sachs Absolute Return Tracker Fund, Institutional Class | | | 462,208 | |
| | 44,436 | | | John Hancock Seaport Long/Short Fund, Class I | | | 515,903 | |
| | 29,351 | | | LoCorr Market Trend Fund, Class I* | | | 306,420 | |
| | 27,900 | | | PIMCO Mortgage Opportunities and Bond Fund, Class I-2 | | | 306,620 | |
| | 35,574 | | | Prudential QMA Long/Short Equity Fund, Class Z* | | | 461,752 | |
| | 25,285 | | | Tortoise MLP & Pipeline Fund, Institutional Class | | | 349,184 | |
| | 52,583 | | | Western Asset Macro Opportunities Fund, Class I | | | 555,275 | |
| | | | | | | | |
| | | | Total United States | | | 5,109,016 | |
| | | | | | | | |
| | | | TOTAL OPEN END MUTUAL FUND SECURITIES
(Cost — $5,083,829) | | | 5,109,016 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 89.2%
(Cost — $5,083,829) | | | 5,109,016 | |
| | | | | | | | |
| | | | Other Assets in Excess of Liabilities — 10.8% | | | 620,045 | |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 5,729,061 | |
| | | | | | | | |
| * | Non-income producing security. |
At August 31, 2018, for Alternative Strategies Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost for
Federal Income
Tax Purposes | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net Unrealized
Appreciation | |
Alternative Strategies Fund | | $ | 5,083,829 | | | $ | 55,546 | | | $ | (30,359 | ) | | $ | 25,187 | |
| | | | |
| Summary of Investments by Security Type^ | | | |
Open End Mutual Fund Securities | | | 100.0 | % |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
See Notes to Financial Statements.
280
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. |
281
| | |
| 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 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, WR | | — 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. |
| F-2 | | — Fitch’s rating indicating a good capacity for timely payment of financial commitments. |
282
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| | |
| | | |
| Statements of Assets and Liabilities | | |
| | | | | | | | | | | | | | | | |
| | |
Large Cap
Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | | |
| ASSETS: | | | | | | | | | | | | | | | | |
Unaffiliated investments, at value1,3 | | $ | 1,731,540,549 | | | $ | 550,887,336 | | | $ | 1,681,876,030 | | | | | |
Affiliated investments, at value2 | | | 1,898,462 | | | | — | | | | — | | | | | |
Foreign currency, at value4 | | | 2 | | | | 11,960 | | | | 203,409 | | | | | |
Cash | | | 6,800,922 | | | | 324,213 | | | | 342,302 | | | | | |
Receivable for securities sold | | | 152,275 | | | | 816,718 | | | | 3,640,667 | | | | | |
Receivable for TBA securities sold | | | — | | | | — | | | | — | | | | | |
Dividends and interest receivable from unaffiliated investments | | | 2,662,387 | | | | 272,987 | | | | 7,402,168 | | | | | |
Dividends and interest receivable from affiliated investments | | | — | | | | — | | | | — | | | | | |
Receivable for manager waiver | | | — | | | | — | | | | — | | | | | |
Receivable for Fund shares sold | | | 2,228,614 | | | | 622,797 | | | | 3,008,773 | | | | | |
Unrealized appreciation on open forward foreign currency contracts (Note 1) | | | — | | | | — | | | | — | | | | | |
Variation margin on open future contracts (Note 1) | | | 2,400 | | | | 5,248 | | | | — | | | | | |
Variation margin on open centrally cleared swap contracts (Note 1) | | | — | | | | — | | | | — | | | | | |
Unrealized appreciation on open OTC swap contracts | | | — | | | | — | | | | — | | | | | |
Upfront payment paid on open OTC swap contracts | | | — | | | | — | | | | — | | | | | |
Deposits for collateral with counterparty | | | 467,984 | | | | 74,996 | | | | 132,402 | | | | | |
Foreign capital gain tax receivable | | | — | | | | — | | | | — | | | | | |
Prepaid expenses | | | 55,074 | | | | 30,064 | | | | 50,675 | | | | | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 1,745,808,669 | | | | 553,046,319 | | | | 1,696,656,426 | | | | | |
| | | | | | | | | | | | | | | | |
| LIABILITIES: | | | | | | | | | | | | | | | | |
Payable for reverse repurchase agreements | | | — | | | | — | | | | — | | | | | |
Payable for collateral received from securities on loan | | | 6,403,240 | | | | 30,809,461 | | | | 12,790,871 | | | | | |
Payable for Fund shares repurchased | | | 1,918,148 | | | | 628,916 | | | | 1,807,525 | | | | | |
Payable for securities purchased | | | 131,030 | | | | 846,672 | | | | 4,290,482 | | | | | |
Payable for TBA securities purchased | | | — | | | | — | | | | — | | | | | |
Interest payable for forward sale commitments | | | — | | | | — | | | | — | | | | | |
Investment management fee payable | | | 563,688 | | | | 211,598 | | | | 754,775 | | | | | |
Transfer agent fees payable | | | 17,089 | | | | 6,682 | | | | 14,895 | | | | | |
Interest expense payable | | | — | | | | — | | | | — | | | | | |
Custody fee payable | | | 152,003 | | | | 64,618 | | | | 334,699 | | | | | |
Variation margin on open future contracts (Note 1) | | | — | | | | — | | | | 22,623 | | | | | |
Options contracts written, at value5 (Note 1) | | | — | | | | — | | | | — | | | | | |
Unrealized depreciation on open OTC swap contracts | | | — | | | | — | | | | — | | | | | |
Upfront payment received on open OTC swap contracts | | | — | | | | — | | | | — | | | | | |
Unrealized depreciation on open forward foreign currency contracts (Note 1) | | | — | | | | — | | | | — | | | | | |
Deposits for collateral from counterparty | | | — | | | | — | | | | — | | | | | |
Foreign capital gains tax payable | | | — | | | | — | | | | — | | | | | |
Distributions payable | | | — | | | | — | | | | — | | | | | |
Audit fees payable | | | — | | | | — | | | | — | | | | | |
Offering expense payable | | | — | | | | — | | | | — | | | | | |
Accrued expenses | | | 90,333 | | | | 79,554 | | | | 105,054 | | | | | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 9,275,531 | | | | 32,647,501 | | | | 20,120,924 | | | | | |
| | | | | | | | | | | | | | | | |
| Total Net Assets | | $ | 1,736,533,138 | | | $ | 520,398,818 | | | $ | 1,676,535,502 | | | | | |
| | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Par value (Note 4) | | $ | 81,505 | | | $ | 22,564 | | | $ | 132,591 | | | | | |
Paid-in-capital in excess of par value | | | 1,011,454,071 | | | | 318,178,792 | | | | 1,528,243,487 | | | | | |
Accumulated net investment loss | | | — | | | | — | | | | — | | | | | |
Undistributed net investment income | | | 12,112,827 | | | | 2,906,926 | | | | 31,326,592 | | | | | |
Accumulated net realized gain (loss) on investments, futures contracts, options contracts written, forward sale commitments, swap contracts, unfunded loan commitments, forward foreign currency contracts and foreign currency translations | | | 137,188,676 | | | | 51,186,858 | | | | (22,574,616 | ) | | | | |
Net unrealized appreciation (depreciation) on investments, futures contracts, options contracts written, forward sale commitments, swap contracts, unfunded loan commitments, forward foreign currency contracts and foreign currency translations | | | 575,696,059 | | | | 148,103,678 | | | | 139,407,448 | | | | | |
| | | | | | | | | | | | | | | | |
| Total Net Assets | | $ | 1,736,533,138 | | | $ | 520,398,818 | | | $ | 1,676,535,502 | | | | | |
| | | | | | | | | | | | | | | | |
| Shares Outstanding | | | 81,505,192 | | | | 22,564,098 | | | | 132,591,086 | | | | | |
| | | | | | | | | | | | | | | | |
| Net Asset Value | | $ | 21.31 | | | $ | 23.06 | | | $ | 12.64 | | | | | |
| | | | | | | | | | | | | | | | |
| 1 Unaffiliated investments, at cost | | $ | 1,157,245,313 | | | $ | 402,832,327 | | | $ | 1,542,494,859 | | | | | |
| | | | | | | | | | | | | | | | |
| 2 Affiliated investments, at cost | | $ | 939,278 | | | $ | — | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | |
| 3 Includes securities on loan | | $ | 6,194,283 | | | $ | 30,292,221 | | | $ | 12,101,303 | | | | | |
| | | | | | | | | | | | | | | | |
| 4 Foreign currency, at cost | | $ | 2 | | | $ | 13,649 | | | $ | 162,339 | | | | | |
| | | | | | | | | | | | | | | | |
| 5 Premiums received | | $ | — | | | $ | — | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | |
| 6 Foreign capital gain taxes | | $ | — | | | $ | — | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
284
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 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 | | | Alternative
Strategies
Fund | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 502,916,067 | | | $ | 921,971,563 | | | $ | 58,151,784 | | | $ | 175,782,000 | | | $ | 62,877,737 | | | $ | 288,571,435 | | | $ | 530,943,716 | | | $ | 5,109,016 | |
| | | | | — | | | | 1,347,012 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 2,140,132 | | | | 484,012 | | | | — | | | | 113,852 | | | | — | | | | 218,016 | | | | 566 | | | | — | |
| | | | | 42,261 | | | | 22,360 | | | | 2,461 | | | | 2,738 | | | | 1,346 | | | | 1,294,004 | | | | 3,416,749 | | | | 309,735 | |
| | | | | 313,718 | | | | 1,309,904 | | | | 10,494 | | | | 518,024 | | | | — | | | | 970,589 | | | | 415,165 | | | | — | |
| | | | | — | | | | 12,959,483 | | | | — | | | | 28,826,490 | | | | — | | | | 9,587,383 | | | | — | | | | — | |
| | | | | 410,002 | | | | 5,396,764 | | | | 932,236 | | | | 1,050,874 | | | | 634,451 | | | | 690,097 | | | | 3,206,873 | | | | — | |
| | | | | — | | | | 4,402 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 79,264 | |
| | | | | 935,639 | | | | 1,852,335 | | | | 163,592 | | | | 318,363 | | | | 284,138 | | | | 392,379 | | | | 1,561,376 | | | | 299,478 | |
| | | | | — | | | | 219,939 | | | | — | | | | 2,065,016 | | | | — | | | | 1,298,318 | | | | 177,693 | | | | — | |
| | | | | 10,169 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 15,534 | | | | — | | | | 218,425 | | | | — | | | | 145,519 | | | | 160,038 | | | | — | |
| | | | | — | | | | — | | | | — | | | | 42,394 | | | | — | | | | 33,797 | | | | — | | | | — | |
| | | | | — | | | | 13,267 | | | | — | | | | 50,666 | | | | — | | | | — | | | | — | | | | — | |
| | | | | 123,994 | | | | 2,054,247 | | | | — | | | | 2,051,000 | | | | — | | | | 1,028,000 | | | | 1,885,000 | | | | — | |
| | | | | 70,271 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 19,628 | | | | 36,080 | | | | 14,794 | | | | 15,836 | | | | 13,513 | | | | 13,586 | | | | 18,391 | | | | 19,074 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 506,981,881 | | | | 947,686,902 | | | | 59,275,361 | | | | 211,055,678 | | | | 63,811,185 | | | | 304,243,123 | | | | 541,785,567 | | | | 5,816,567 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | — | | | | — | | | | 14,359,379 | | | | — | | | | 41,957,579 | | | | — | | | | — | |
| | | | | 6,554,643 | | | | 278,108 | | | | 130,211 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 504,146 | | | | 1,766,724 | | | | 231,692 | | | | 205,384 | | | | 109,758 | | | | 418,515 | | | | 893,369 | | | | 1,104 | |
| | | | | 1,516,238 | | | | 11,740,722 | | | | 225,112 | | | | 3,018,001 | | | | — | | | | 1,083,323 | | | | 33,050,812 | | | | — | |
| | | | | — | | | | 64,825,911 | | | | — | | | | 46,225,824 | | | | — | | | | 19,117,167 | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 5,775 | | | | — | | | | — | |
| | | | | 249,938 | | | | 280,413 | | | | 24,862 | | | | 55,211 | | | | 21,488 | | | | 91,458 | | | | 192,993 | | | | 812 | |
| | | | | 5,276 | | | | 9,092 | | | | 1,865 | | | | 2,052 | | | | 807 | | | | 2,826 | | | | 3,719 | | | | 218 | |
| | | | | — | | | | — | | | | — | | | | 21,768 | | | | — | | | | 90,229 | | | | 98 | | | | — | |
| | | | | 181,883 | | | | 258,264 | | | | 62,989 | | | | 105,081 | | | | 31,246 | | | | 67,032 | | | | 74,981 | | | | 34,568 | |
| | | | | — | | | | 461,536 | | | | — | | | | 34,860 | | | | — | | | | 56,008 | | | | 79,651 | | | | — | |
| | | | | — | | | | 266,171 | | | | — | | | | 53,136 | | | | — | | | | 38,910 | | | | — | | | | — | |
| | | | | — | | | | 13,177 | | | | — | | | | 33,957 | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 126,911 | | | | — | | | | 64,109 | | | | — | | | | — | |
| | | | | — | | | | 770,285 | | | | — | | | | 1,558,188 | | | | — | | | | 284,329 | | | | 152,813 | | | | — | |
| | | | | — | | | | — | | | | — | | | | 580,000 | | | | — | | | | 970,000 | | | | 120,000 | | | | — | |
| | | | | 109,187 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 1,715 | | | | 282 | | | | — | | | | 261 | | | | 201 | | | | 1,447 | | | | — | |
| | | | | — | | | | — | | | | — | | | | — | | | | 20,817 | | | | — | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 37,841 | |
| | | | | 94,177 | | | | 96,973 | | | | 135,002 | | | | 79,257 | | | | 2,778 | | | | 77,212 | | | | 80,254 | | | | 12,963 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 9,215,488 | | | | 80,769,091 | | | | 812,015 | | | | 66,459,009 | | | | 187,155 | | | | 64,324,673 | | | | 34,650,137 | | | | 87,506 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 497,766,393 | | | $ | 866,917,811 | | | $ | 58,463,346 | | | $ | 144,596,669 | | | $ | 63,624,030 | | | $ | 239,918,450 | | | $ | 507,135,430 | | | $ | 5,729,061 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 34,828 | | | $ | 110,272 | | | $ | 15,521 | | | $ | 18,404 | | | $ | 6,984 | | | $ | 24,509 | | | $ | 50,857 | | | $ | 580 | |
| | | | | 468,749,940 | | | | 897,851,841 | | | | 84,648,441 | | | | 143,227,820 | | | | 61,199,536 | | | | 244,654,574 | | | | 508,403,004 | | | | 5,706,275 | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 6,153,503 | | | | 264,111 | | | | 1,166,148 | | | | 3,325,292 | | | | 420,955 | | | | 395,911 | | | | 793,633 | | | | — | |
| | | | | | | | |
| | | | | (44,834,308 | ) | | | (18,764,833 | ) | | | (26,009,328 | ) | | | (4,116,847 | ) | | | 178,929 | | | | (3,796,177 | ) | | | (2,438,799 | ) | | | (2,981 | ) |
| | | | | | | | |
| | | | | 67,662,430 | (6) | | | (12,543,580 | ) | | | (1,357,436 | ) | | | 2,142,000 | | | | 1,817,626 | | | | (1,360,367 | ) | | | 326,735 | | | | 25,187 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 497,766,393 | | | $ | 866,917,811 | | | $ | 58,463,346 | | | $ | 144,596,669 | | | $ | 63,624,030 | | | $ | 239,918,450 | | | $ | 507,135,430 | | | $ | 5,729,061 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 34,828,404 | | | | 110,272,150 | | | | 15,520,526 | | | | 18,403,663 | | | | 6,983,789 | | | | 24,509,105 | | | | 50,857,143 | | | | 579,974 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 14.29 | | | $ | 7.86 | | | $ | 3.77 | | | $ | 7.86 | | | $ | 9.11 | | | $ | 9.79 | | | $ | 9.97 | | | $ | 9.88 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 435,047,717 | | | $ | 933,773,269 | | | $ | 59,509,220 | | | $ | 176,025,505 | | | $ | 61,060,111 | | | $ | 291,488,795 | | | $ | 530,865,014 | | | $ | 5,083,829 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | 1,349,735 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 5,922,201 | | | $ | 262,867 | | | $ | 123,943 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 2,148,966 | | | $ | 503,737 | | | $ | — | | | $ | 123,681 | | | $ | — | | | $ | 242,628 | | | $ | 2,290 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | 343,105 | | | $ | — | | | $ | 69,027 | | | $ | — | | | $ | 48,785 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | (109,187 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
285
| | |
| For the Year Ended August 31, 2018 | | |
| | | | | | | | | | | | | | | | |
| | |
Large Cap
Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | | |
| INVESTMENT INCOME: | | | | | | | | | | | | | | | | |
| | | | |
Dividends from unaffiliated investments | | $ | 30,368,768 | | | $ | 6,504,793 | | | $ | 44,419,875 | | | | | |
Dividends from affiliated investments | | | 46,678 | | | | — | | | | — | | | | | |
Interest from unaffiliated investments | | | 230,392 | | | | 151,407 | | | | 329,062 | | | | | |
Interest from affiliated investments | | | — | | | | — | | | | — | | | | | |
Income from securities lending | | | 58,276 | | | | 225,500 | | | | 427,173 | | | | | |
Less: Foreign taxes withheld (see Note 1q) | | | (33,027 | ) | | | (2,934 | ) | | | (3,939,811 | ) | | | | |
| | | | | | | | | | | | | | | | |
Total Investment Income | | | 30,671,087 | | | | 6,878,766 | | | | 41,236,299 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
| | | | |
Investment management fee (Note 2) | | | 10,396,228 | | | | 5,087,456 | | | | 10,570,242 | | | | | |
Transfer agent fees | | | 198,323 | | | | 81,706 | | | | 171,025 | | | | | |
Custody fees | | | 501,151 | | | | 235,765 | | | | 997,471 | | | | | |
Trustees’ fees | | | 292,523 | | | | 110,228 | | | | 241,475 | | | | | |
Shareholder reports | | | 212,753 | | | | 155,307 | | | | 196,448 | | | | | |
Insurance | | | 81,364 | | | | 29,033 | | | | 64,843 | | | | | |
Audit and tax | | | 55,926 | | | | 61,053 | | | | 96,605 | | | | | |
Legal fees | | | 102,295 | | | | 35,106 | | | | 91,733 | | | | | |
Registration fees | | | 35,174 | | | | 31,789 | | | | 36,937 | | | | | |
Offering costs | | | — | | | | — | | | | — | | | | | |
Miscellaneous expense | | | 28,780 | | | | 13,120 | | | | 63,139 | | | | | |
Interest expense | | | — | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | |
Total Expenses | | | 11,904,517 | | | | 5,840,563 | | | | 12,529,918 | | | | | |
Less: Fee waivers and/or expense reimbursement (Note 2) | | | (3,555,083 | ) | | | (1,942,592 | ) | | | (2,572,643 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net Expenses | | | 8,349,434 | | | | 3,897,971 | | | | 9,957,275 | | | | | |
| | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 22,321,653 | | | $ | 2,980,795 | | | $ | 31,279,024 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS CONTRACTS WRITTEN, FORWARD SALE COMMITMENTS, SWAP CONTRACTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSLATIONS (NOTES 1 AND 3): | | | | | | | | | | | | | | | | |
| | | | |
Net Realized Gain (Loss) from: | | | | | | | | | | | | | | | | |
| | | | |
Unaffiliated investments | | $ | 171,574,904 | | | $ | 79,536,579 | | | $ | 66,253,079 | (a) | | | | |
Affiliated investments | | | 258,601 | | | | — | | | | — | | | | | |
Futures contracts | | | 917,096 | | | | 532,314 | | | | 115,418 | | | | | |
Options contracts written | | | — | | | | — | | | | — | | | | | |
Forward sale commitments | | | — | | | | — | | | | — | | | | | |
Swap contracts | | | — | | | | — | | | | — | | | | | |
Forward foreign currency contracts | | | — | | | | — | | | | (14,204 | ) | | | | |
Foreign currency translations | | | 94,726 | | | | 58,063 | | | | (775,124 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) | | | 172,845,327 | | | | 80,126,956 | | | | 65,579,169 | | | | | |
| | | | | | | | | | | | | | | | |
Change in Net Unrealized Appreciation (Depreciation) from: | | | | | | | | | | | | | | | | |
| | | | |
Unaffiliated Investments | | | 107,346,206 | | | | 49,929,067 | | | | (62,723,514 | )(b) | | | | |
Affiliated Investments | | | (64,224 | ) | | | — | | | | — | | | | | |
Futures contracts | | | 349,605 | | | | 54,906 | | | | (1,620 | ) | | | | |
Options contracts written | | | — | | | | — | | | | — | | | | | |
Swap contracts | | | — | | | | — | | | | — | | | | | |
Unfunded loan commitments | | | — | | | | — | | | | — | | | | | |
Forward foreign currency contracts | | | — | | | | — | | | | — | | | | | |
Foreign currency translations | | | — | | | | (1,585 | ) | | | (53,129 | ) | | | | |
| | | | | | | | | | | | | | | | |
Change in Net Unrealized Appreciation (Depreciation): | | | 107,631,587 | | | | 49,982,388 | | | | (62,778,263 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net Gain (Loss) on Investments, Futures Contracts, Options Contracts Written, Forward Sale Commitments, Swap Contracts, Forward Foreign Currency Contracts and Foreign Currency Translations | | | 280,476,914 | | | | 130,109,344 | | | | 2,800,906 | | | | | |
| | | | | | | | | | | | | | | | |
Total Increase (Decrease) in Net Assets from Operations | | $ | 302,798,567 | | | $ | 133,090,139 | | | $ | 34,079,930 | | | | | |
| | | | | | | | | | | | | | | | |
| (a) | Includes foreign capital gains tax of $2,863 and $23,440 for International Equity Fund and Emerging Markets Equity Fund, respectively. |
| (b) | Net increase in accrued foreign capital gains taxes of $13,880 and $365,448 for International Equity Fund and Emerging Markets Equity Fund, respectively. |
| (c) | The period from Fund inception (February 15, 2018) through the period ended August 31, 2018. |
| (d) | Over accrual of prior year expenses. |
See Notes to Financial Statements.
286
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 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 | | | Alternative
Strategies
Fund (c) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | $ | 12,564,610 | | | $ | 7,236 | | | $ | 58,322 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,139 | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 152,292 | | | | 23,931,360 | | | | 6,463,548 | | | | 4,000,390 | | | | 2,016,568 | | | | 9,354,328 | | | | 9,401,628 | | | | — | |
| | | | | — | | | | 51,211 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 85,940 | | | | 1,385 | | | | 20,647 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | (1,501,184 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | �� | | | | | | | | | | | | | | | | | | |
| | | | | 11,301,658 | | | | 23,991,192 | | | | 6,542,517 | | | | 4,000,390 | | | | 2,016,568 | | | | 9,354,328 | | | | 9,401,628 | | | | 2,139 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 4,547,352 | | | | 3,156,537 | | | | 737,363 | | | | 741,161 | | | | 242,743 | | | | 1,091,943 | | | | 1,834,433 | | | | 11,735 | |
| | | | | 62,419 | | | | 97,522 | | | | 16,176 | | | | 19,213 | | | | 8,177 | | | | 28,911 | | | | 46,503 | | | | 977 | |
| | | | | 561,034 | | | | 734,821 | | | | 197,366 | | | | 333,347 | | | | 93,505 | | | | 194,003 | | | | 209,186 | | | | 50,276 | |
| | | | | 91,174 | | | | 129,098 | | | | 20,208 | | | | 25,250 | | | | 10,207 | | | | 35,414 | | | | 56,686 | | | | 71 | |
| | | | | 155,302 | | | | 147,906 | | | | 137,471 | | | | 105,378 | | | | 4,260 | | | | 157,604 | | | | 159,502 | | | | 9,102 | |
| | | | | 25,032 | | | | 37,523 | | | | 11,930 | | | | 7,739 | | | | 3,501 | | | | 6,667 | | | | 11,681 | | | | — | |
| | | | | 105,593 | | | | 117,767 | | | | 75,192 | | | | 112,278 | | | | 52,486 | | | | 106,273 | | | | 72,665 | | | | 16,000 | |
| | | | | 29,458 | | | | 42,045 | | | | 2,238 | | | | 3,370 | | | | (2,108 | )(d) | | | 8,166 | | | | 17,076 | | | | 32 | |
| | | | | 28,722 | | | | 37,363 | | | | 23,128 | | | | 22,362 | | | | 19,268 | | | | 23,303 | | | | 28,695 | | | | 102 | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 19,801 | |
| | | | | 31,684 | | | | 27,545 | | | | 3,505 | | | | 5,244 | | | | 1,698 | | | | 42,229 | | | | 8,082 | | | | 18 | |
| | | | | — | | | | — | | | | — | | | | 109,395 | | | | — | | | | 1,073,603 | | | | 148,988 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 5,637,770 | | | | 4,528,127 | | | | 1,224,577 | | | | 1,484,737 | | | | 433,737 | | | | 2,768,116 | | | | 2,593,497 | | | | 108,114 | |
| | | | | (1,566,066 | ) | | | (148,583 | ) | | | (209,610 | ) | | | (75,449 | ) | | | — | | | | (109,157 | ) | | | (183,521 | ) | | | (89,043 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 4,071,704 | | | | 4,379,544 | | | | 1,014,967 | | | | 1,409,288 | | | | 433,737 | | | | 2,658,959 | | | | 2,409,976 | | | | 19,071 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 7,229,954 | | | $ | 19,611,648 | | | $ | 5,527,550 | | | $ | 2,591,102 | | | $ | 1,582,831 | | | $ | 6,695,369 | | | $ | 6,991,652 | | | $ | (16,932 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | |
|
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | $ | 18,611,473 | (a) | | $ | (8,622,672 | ) | | $ | 2,800,897 | | | $ | 540,122 | | | $ | 320,471 | | | $ | (2,612,361 | ) | | $ | (753,658 | ) | | $ | (2,981 | ) |
| | | | | — | | | | (11,122 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 74,176 | | | | (1,361,587 | ) | | | — | | | | (722,449 | ) | | | — | | | | 501,767 | | | | 1,595,336 | | | | — | |
| | | | | — | | | | 1,179,426 | | | | — | | | | 226,753 | | | | — | | | | 253,707 | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 23,871 | | | | — | | | | 39,185 | | | | 49,189 | | | | — | |
| | | | | — | | | | 768,008 | | | | — | | | | 3,187,802 | | | | — | | | | 616,739 | | | | (270,694 | ) | | | — | |
| | | | | — | | | | (61,271 | ) | | | — | | | | 962,438 | | | | — | | | | 667,981 | | | | 1,090,478 | | | | — | |
| | | | | (179,859 | ) | | | (168,778 | ) | | | — | | | | (2,930,464 | ) | | | — | | | | 43,248 | | | | (177,885 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 18,505,790 | | | | (8,277,996 | ) | | | 2,800,897 | | | | 1,288,073 | | | | 320,471 | | | | (489,734 | ) | | | 1,532,766 | | | | (2,981 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | (53,522,934 | )(b) | | | (21,193,917 | ) | | | (4,428,567 | ) | | | (4,464,034 | ) | | | (2,058,138 | ) | | | (6,575,579 | ) | | | (1,181,323 | ) | | | 25,187 | |
| | | | | — | | | | (48,238 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | (152,054 | ) | | | (216,355 | ) | | | — | | | | (418,970 | ) | | | — | | | | 71,120 | | | | 143,852 | | | | — | |
| | | | | — | | | | 76,973 | | | | — | | | | (2,708 | ) | | | — | | | | 7,071 | | | | — | | | | — | |
| | | | | — | | | | 169,659 | | | | — | | | | 899,310 | | | | — | | | | 183,640 | | | | 350,724 | | | | — | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (1,129 | ) | | | — | |
| | | | | — | | | | (137,020 | ) | | | — | | | | 1,770,554 | | | | — | | | | 1,621,443 | | | | (156,782 | ) | | | — | |
| | | | | (54,991 | ) | | | (5,514 | ) | | | — | | | | 1,641,281 | | | | — | | | | (37,040 | ) | | | 34,033 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (53,729,979 | ) | | | (21,354,412 | ) | | | (4,428,567 | ) | | | (574,567 | ) | | | (2,058,138 | ) | | | (4,729,345 | ) | | | (810,625 | ) | | | 25,187 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (35,224,189 | ) | | | (29,632,408 | ) | | | (1,627,670 | ) | | | 713,506 | | | | (1,737,667 | ) | | | (5,219,079 | ) | | | 722,141 | | | | 22,206 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | (27,994,235 | ) | | $ | (10,020,760 | ) | | $ | 3,899,880 | | | $ | 3,304,608 | | | $ | (154,836 | ) | | $ | 1,476,290 | | | $ | 7,713,793 | | | $ | 5,274 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
287
| | |
| | | |
| Statements of Changes in Net Assets | | |
| | |
| For the Year Ended August 31, 2018 and August 31, 2017 | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Large Cap Equity Fund | | | Small-Mid Cap Equity Fund | | | | |
| | | 2018 | | | 2017 | | | 2018 | | | 2017 | | | | |
| OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | $ | 22,321,653 | | | $ | 23,658,367 | | | $ | 2,980,795 | | | $ | 2,688,046 | | | | | |
Net realized gain (loss) | | | 172,845,327 | | | | 91,747,271 | | | | 80,126,956 | | | | 27,254,084 | | | | | |
Change in unrealized appreciation (depreciation) | | | 107,631,587 | | | | 103,212,065 | | | | 49,982,388 | | | | 37,290,896 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets from
Operations | | | 302,798,567 | | | | 218,617,703 | | | | 133,090,139 | | | | 67,233,026 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1): | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (21,359,060 | ) | | | (25,767,690 | ) | | | (1,094,809 | ) | | | (1,556,300 | ) | | | | |
Tax return of capital | | | — | | | | — | | | | — | | | | — | | | | | |
Net realized gains | | | (57,775,877 | ) | | | (31,555,579 | ) | | | (23,580,211 | ) | | | (8,066,172 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Decrease in Net Assets from Distributions to Shareholders | | | (79,134,937 | ) | | | (57,323,269 | ) | | | (24,675,020 | ) | | | (9,622,472 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
| FUND SHARE TRANSACTIONS (NOTE 4): | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net proceeds from sale of shares | | | 220,015,930 | | | | 180,110,640 | | | | 104,187,172 | | | | 238,600,461 | | | | | |
Reinvestment of distributions | | | 79,132,993 | | | | 57,321,969 | | | | 24,674,928 | | | | 9,622,468 | | | | | |
Cost of shares repurchased | | | (473,065,474 | ) | | | (421,326,905 | ) | | | (390,950,259 | ) | | | (106,953,582 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets from Fund Share Transactions | | | (173,916,551 | ) | | | (183,894,296 | ) | | | (262,088,159 | ) | | | 141,269,347 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets | | | 49,747,079 | | | | (22,599,862 | ) | | | (153,673,040 | ) | | | 198,879,901 | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Beginning of year | | | 1,686,786,059 | | | | 1,709,385,921 | | | | 674,071,858 | | | | 475,191,957 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
End of Year*† | | $ | 1,736,533,138 | | | $ | 1,686,786,059 | | | $ | 520,398,818 | | | $ | 674,071,858 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
* Includes undistributed net investment income of: | | $ | 12,112,827 | | | $ | 12,056,565 | | | $ | 2,906,926 | | | $ | 1,537,046 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
† Includes accumulated net investment loss of: | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
288
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | International Equity Fund | | | Emerging Markets Equity Fund | | | Core Fixed Income Fund | | | High Yield Fund | |
| | | | 2018 | | | 2017 | | | 2018 | | | 2017 | | | 2018 | | | 2017 | | | 2018 | | | 2017 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | $ | 31,279,024 | | | $ | 24,607,273 | | | $ | 7,229,954 | | | $ | 6,577,877 | | | $ | 19,611,648 | | | $ | 16,514,765 | | | $ | 5,527,550 | | | $ | 17,072,860 | |
| | | | | 65,579,169 | | | | 7,483,241 | | | | 18,505,790 | | | | 4,526,719 | | | | (8,277,996 | ) | | | (1,512,846 | ) | | | 2,800,897 | | | | 8,885,926 | |
| | | | | (62,778,263 | ) | | | 150,259,930 | | | | (53,729,979 | ) | | | 89,496,954 | | | | (21,354,412 | ) | | | (8,056,741 | ) | | | (4,428,567 | ) | | | (793,584 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | |
|
34,079,930 |
| | | 182,350,444 | | | | (27,994,235 | ) | | | 100,601,550 | | | | (10,020,760 | ) | | | 6,945,178 | | | | 3,899,880 | | | | 25,165,202 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | (21,730,393 | ) | | | (29,084,966 | ) | | | (6,507,933 | ) | | | (4,329,624 | ) | | | (21,361,519 | ) | | | (19,170,901 | ) | | | (5,677,244 | ) | | | (18,440,615 | ) |
| | | | | — | | | | — | | | | — | | | | — | | | | (619,911 | ) | | | — | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (7,141,572 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (21,730,393 | ) | | | (29,084,966 | ) | | | (6,507,933 | ) | | | (4,329,624 | ) | | | (21,981,430 | ) | | | (26,312,473 | ) | | | (5,677,244 | ) | | | (18,440,615 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 590,554,489 | | | | 214,219,124 | | | | 131,641,530 | | | | 70,040,704 | | | | 302,094,146 | | | | 176,774,776 | | | | 25,831,513 | | | | 42,621,807 | |
| | | | | 21,730,372 | | | | 29,084,961 | | | | 6,507,915 | | | | 4,329,619 | | | | 21,984,592 | | | | 26,310,426 | | | | 5,678,670 | | | | 18,441,381 | |
| | | | | (192,189,924 | ) | | | (274,821,559 | ) | | | (93,562,827 | ) | | | (111,014,182 | ) | | | (135,236,482 | ) | | | (195,738,156 | ) | | | (143,948,790 | ) | | | (219,890,663 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 420,094,937 | | | | (31,517,474 | ) | | | 44,586,618 | | | | (36,643,859 | ) | | | 188,842,256 | | | | 7,347,046 | | | | (112,438,607 | ) | | | (158,827,475 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 432,444,474 | | | | 121,748,004 | | | | 10,084,450 | | | | 59,628,067 | | | | 156,840,066 | | | | (12,020,249 | ) | | | (114,215,971 | ) | | | (152,102,888 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 1,244,091,028 | | | | 1,122,343,024 | | | | 487,681,943 | | | | 428,053,876 | | | | 710,077,745 | | | | 722,097,994 | | | | 172,679,317 | | | | 324,782,205 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 1,676,535,502 | | | $ | 1,244,091,028 | | | $ | 497,766,393 | | | $ | 487,681,943 | | | $ | 866,917,811 | | | $ | 710,077,745 | | | $ | 58,463,346 | | | $ | 172,679,317 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 31,326,592 | | | $ | 21,731,959 | | | $ | 6,153,503 | | | $ | 5,872,248 | | | $ | 264,111 | | | $ | 393,961 | | | $ | 1,166,148 | | | $ | 1,102,028 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
289
| | |
| | | |
| Statements of Changes in Net Assets | | |
| | |
| For the Year/Period Ended August 31, 2018 and August 31, 2017 | | |
| | | | | | | | | | | | |
| | | International Fixed
Income Fund | | | | |
| | | 2018 | | | 2017 | | | | |
| OPERATIONS: | | | | | | | | | | | | |
| | | |
Net investment income (loss) | | $ | 2,591,102 | | | $ | 3,133,616 | | | | | |
Net realized gain (loss) | | | 1,288,073 | | | | (4,046,768 | ) | | | | |
Change in unrealized appreciation (depreciation) | | | (574,567 | ) | | | 1,659,989 | | | | | |
| | | | | | | | | | | | |
Increase (Decrease) in Net Assets from Operations | | | 3,304,608 | | | | 746,837 | | | | | |
| | | | | | | | | | | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1): | | | | | | | | | | | | |
| | | |
Net investment income | | | (1,759,541 | ) | | | (1,952,470 | ) | | | | |
Net realized gains | | | — | | | | — | | | | | |
| | | | | | | | | | | | |
Decrease in Net Assets from Distributions to Shareholders | | | (1,759,541 | ) | | | (1,952,470 | ) | | | | |
| | | | | | | | | | | | |
| FUND SHARE TRANSACTIONS (NOTE 4): | | | | | | | | | | | | |
| | | |
Net proceeds from sale of shares | | | 26,110,756 | | | | 28,258,011 | | | | | |
Reinvestment of distributions | | | 1,759,541 | | | | 1,952,470 | | | | | |
Cost of shares repurchased | | | (32,621,820 | ) | | | (72,874,340 | ) | | | | |
| | | | | | | | | | | | |
Increase (Decrease) in Net Assets from Fund Share Transactions | | | (4,751,523 | ) | | | (42,663,859 | ) | | | | |
| | | | | | | | | | | | |
Increase (Decrease) in Net Assets | | | (3,206,456 | ) | | | (43,869,492 | ) | | | | |
| NET ASSETS: | | | | | | | | | | | | |
| | | |
Beginning of year/period | | | 147,803,125 | | | | 191,672,617 | | | | | |
| | | | | | | | | | | | |
End of Year/Period*† | | $ | 144,596,669 | | | $ | 147,803,125 | | | | | |
| | | | | | | | | | | | |
* Includes undistributed net investment income of: | | $ | 3,325,292 | | | $ | 1,617,001 | | | | | |
| | | | | | | | | | | | |
† Includes accumulated net investment loss of: | | $ | — | | | $ | — | | | | | |
| | | | | | | | | | | | |
| (a) | The period from Fund inception (February 15, 2018) through the period ended August 31, 2018. |
See Notes to Financial Statements.
290
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Municipal Bond Fund | | | Inflation-Linked
Fixed Income Fund | | | Ultra-Short Term
Fixed Income Fund | | | Alternative
Strategies Fund | |
| | | | 2018 | | | 2017 | | | 2018 | | | 2017 | | | 2018 | | | 2017 | | | 2018(a) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | $ | 1,582,831 | | | $ | 1,757,130 | | | $ | 6,695,369 | | | $ | 3,788,326 | | | $ | 6,991,652 | | | $ | 2,361,286 | | | $ | (16,932 | ) |
| | | | | 320,471 | | | | (141,542 | ) | | | (489,734 | ) | | | (2,109,516 | ) | | | 1,532,766 | | | | 425,955 | | | | (2,981 | ) |
| | | | | (2,058,138 | ) | | | (2,095,714 | ) | | | (4,729,345 | ) | | | 270,558 | | | | (810,625 | ) | | | 651,560 | | | | 25,187 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (154,836 | ) | | | (480,126 | ) | | | 1,476,290 | | | | 1,949,368 | | | | 7,713,793 | | | | 3,438,801 | | | | 5,274 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | (1,581,149 | ) | | | (1,758,101 | ) | | | (7,721,464 | ) | | | (4,121,509 | ) | | | (8,446,300 | ) | | | (4,042,585 | ) | | | — | |
| | | | | — | | | | (1,685,563 | ) | | | — | | | | (152,952 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (1,581,149 | ) | | | (3,443,664 | ) | | | (7,721,464 | ) | | | (4,274,461 | ) | | | (8,446,300 | ) | | | (4,042,585 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | 14,408,545 | | | | 8,027,078 | | | | 91,224,733 | | | | 64,860,229 | | | | 274,391,020 | | | | 153,583,764 | | | | 5,854,954 | |
| | | | | 1,580,926 | | | | 3,443,854 | | | | 7,722,192 | | | | 4,275,758 | | | | 8,446,487 | | | | 4,041,804 | | | | — | |
| | | | | (8,566,766 | ) | | | (18,821,942 | ) | | | (43,271,943 | ) | | | (35,509,950 | ) | | | (50,699,785 | ) | | | (43,745,301 | ) | | | (131,167 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 7,422,705 | | | | (7,351,010 | ) | | | 55,674,982 | | | | 33,626,037 | | | | 232,137,722 | | | | 113,880,267 | | | | 5,723,787 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 5,686,720 | | | | (11,274,800 | ) | | | 49,429,808 | | | | 31,300,944 | | | | 231,405,215 | | | | 113,276,483 | | | | 5,729,061 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | 57,937,310 | | | | 69,212,110 | | | | 190,488,642 | | | | 159,187,698 | | | | 275,730,215 | | | | 162,453,732 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 63,624,030 | | | $ | 57,937,310 | | | $ | 239,918,450 | | | $ | 190,488,642 | | | $ | 507,135,430 | | | $ | 275,730,215 | | | $ | 5,729,061 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 420,955 | | | $ | 419,273 | | | $ | 395,911 | | | $ | 461,380 | | | $ | 793,633 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (156,814 | ) | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
291
| | |
| For the Year Ended August 31, 2018 | | |
| | | | | | | | |
| | | International Fixed
Income Fund | | | Inflation-Linked Fixed
Income Fund | |
Cash Flows Provided by/Used in Operating Activities: | | | | | | | | |
Net increase in net assets from operations | | $ | 3,304,608 | | | $ | 1,476,290 | |
Adjustments to reconcile net increase/decrease in net assets from operations to net cash and foreign currency provided by/used in operating activities: | | | | | | | | |
Purchases of long-term investments | | | (323,879,795 | ) | | | (242,171,086 | ) |
Proceeds from the sale and maturity of long-term investments | | | 325,879,323 | | | | 197,315,711 | |
Purchase of/Proceeds from short-term investments, net | | | 1,826,185 | | | | (3,197,575 | ) |
Decrease to the principal amount of inflation-indexed bonds | | | (185,249 | ) | | | (6,070,070 | ) |
Change in net unrealized apprecation/depreciation from unaffiliated investments | | | 4,464,034 | | | | 6,575,579 | |
Change in net unrealized apppreciation/deprecation from option contracts written | | | 2,708 | | | | (7,071 | ) |
Change in net unrealized apppreciation/deprecation from OTC swap contracts | | | 790,768 | | | | 16,706 | |
Increase in Variation Margin on Centrally Cleared swap contracts | | | (188,463 | ) | | | (122,332 | ) |
Net amortization (accretion) of premiums (discounts) of investments | | | 98,102 | | | | 297,180 | |
Net realized gain/loss from unaffiliated investments | | | (540,122 | ) | | | 2,612,361 | |
Increase in premium received on written options | | | 26,113 | | | | 21,126 | |
Decrease in Variation Margin on futures contracts | | | 63,782 | | | | 69,165 | |
Decrease in receivable for securities sold | | | 8,512,415 | | | | 2,759,477 | |
Increase in receivable for TBA securities sold | | | (14,573,756 | ) | | | (9,587,383 | ) |
Increase/Decrease in dividends and interest receivable from unaffiliated investments | | | 53,754 | | | | (85,012 | ) |
Increase/Decrease in deposits for collateral with counterparty | | | 2,207,000 | | | | (72,000 | ) |
Increase in net upfront payments received/upfront payments paid on OTC swap contracts | | | 17,466 | | | | — | |
Increase/Decrease in prepaid expenses | | | 1,466 | | | | (9,023 | ) |
Increase in unrealized appreciation on open forward foreign currency contracts | | | (752,993 | ) | | | (838,269 | ) |
Decrease in payable for securities purchased | | | (10,937,654 | ) | | | (6,469,296 | ) |
Increase in payable for TBA securities purchased | | | 24,887,465 | | | | 19,117,167 | |
Increase in payable for forward sale commitments | | | — | | | | 5,775 | |
Increase in deposits for collateral from counterparty | | | 272,000 | | | | 710,000 | |
Increase in investment management fee payable | | | 2,083 | | | | 20,108 | |
Increase in interest expense payable | | | 21,532 | | | | 64,035 | |
Decrease in custody fee payable | | | (30,226 | ) | | | (2,558 | ) |
Decrease in trustees’ fees payable | | | (4 | ) | | | (2 | ) |
Increase/Decrease in transfer agent fees payable | | | (946 | ) | | | 485 | |
Decrease in unrealized depreciation on open forward foreign currency contracts | | | (1,017,561 | ) | | | (783,174 | ) |
Increase/Decrease in accrued expenses | | | (7,578 | ) | | | 38,312 | |
| | | | | | | | |
Net cash and foreign currency provided by/used in operating activities | | | 20,316,457 | | | | (38,315,374 | ) |
| | | | | | | | |
| | |
Cash Flows Provided by/Used in Financing Activities: | | | | | | | | |
Payments on reverse repurchase agreements | | | (13,894,197 | ) | | | (12,017,921 | ) |
Proceeds from sale of shares | | | 26,242,700 | | | | 91,840,632 | |
Cost of shares repurchased | | | (32,651,520 | ) | | | (43,162,815 | ) |
Distributions to shareholders, net of reinvestments | | | — | | | | (1 | ) |
| | | | | | | | |
Net cash and foreign currency provided by/used in financing activities | | | (20,303,017 | ) | | | 36,659,895 | |
| | | | | | | | |
Net increase/decrease in cash and foreign currency (a) | | | 13,440 | | | | (1,655,479 | ) |
| | | | | | | | |
| | |
Cash and Foreign Currency: | | | | | | | | |
Cash and foreign currency at beginning of the period | | | 103,150 | | | | 3,167,499 | |
| | | | | | | | |
Cash and foreign currency at end of the period | | $ | 116,590 | | | $ | 1,512,020 | |
| | | | | | | | |
| | |
Non-Cash Financing Activities: | | | | | | | | |
Reinvestment of distributions | | $ | 1,759,541 | | | $ | 7,722,192 | |
| | | | | | | | |
| (a) | Includes net change in unrealized appreciation (depreciation) on foreign currency of $(9,367) and $(26,409) for Internatinal Fixed Income Fund and Inflation-Linked Fixed Income Fund, respectively. |
See Notes to Financial Statements.
292
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Large Cap Equity Fund | | | | | | | | | | | | | | | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net Asset Value, Beginning of Year | | $ | 18.76 | | | $ | 17.06 | | | $ | 20.63 | | | $ | 22.19 | | | $ | 19.29 | |
| | | | | | | | | | | | | | | | | | | | |
| Income from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.26 | | | | 0.25 | | | | 0.19 | | | | 0.08 | | | | 0.07 | |
Net realized and unrealized gain | | | 3.18 | | | | 2.05 | | | | 1.15 | | | | 0.87 | | | | 4.47 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income from Operations | | | 3.44 | | �� | | 2.30 | | | | 1.34 | | | | 0.95 | | | | 4.54 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.24 | ) | | | (0.27 | ) | | | (0.11 | ) | | | (0.07 | ) | | | (0.11 | ) |
Net realized gain | | | (0.65 | ) | | | (0.33 | ) | | | (4.80 | ) | | | (2.44 | ) | | | (1.53 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.89 | ) | | | (0.60 | ) | | | (4.91 | ) | | | (2.51 | ) | | | (1.64 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 21.31 | | | $ | 18.76 | | | $ | 17.06 | | | $ | 20.63 | | | $ | 22.19 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 18.89 | % | | | 13.86 | % | | | 7.08 | % | | | 4.39 | %(3) | | | 24.35 | % |
Net Assets, End of Year (millions) | | $ | 1,737 | | | $ | 1,687 | | | $ | 1,709 | | | $ | 1,353 | | | $ | 1,780 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.69 | % | | | 0.69 | % | | | 0.69 | % | | | 0.68 | % | | | 0.67 | % |
Net expenses(4) | | | 0.48 | | | | 0.48 | | | | 0.56 | | | | 0.68 | | | | 0.67 | |
Net investment income | | | 1.29 | | | | 1.40 | | | | 1.10 | | | | 0.36 | | | | 0.33 | |
Portfolio Turnover Rate | | | 29 | % | | | 18 | % | | | 105 | % | | | 66 | % | | | 56 | % |
| (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) | The Manager contributed a non-recourse voluntary reimbursement to Large Cap Equity Fund. The effect of the reimbursement is reflected in the Fund’s total return above. Without this reimbursement, the impact was less than 0.005% to the total return for Large Cap Equity Fund. |
| (4) | Reflects fee waivers and/or expense reimbursements. |
| † | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
See Notes to Financial Statements.
293
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Small-Mid Cap Equity Fund | | | | | | | | | | | | | | | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net Asset Value, Beginning of Year | | $ | 19.53 | | | $ | 17.40 | | | $ | 24.39 | | | $ | 28.53 | | | $ | 25.22 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(1) | | | 0.10 | | | | 0.10 | | | | 0.05 | | | | (0.12 | ) | | | (0.12 | ) |
Net realized and unrealized gain (loss) | | | 4.14 | | | | 2.39 | | | | (1.22 | ) | | | 1.93 | | | | 4.36 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 4.24 | | | | 2.49 | | | | (1.17 | ) | | | 1.81 | | | | 4.24 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.03 | ) | | | (0.06 | ) | | | — | | | | — | | | | — | |
Net realized gain | | | (0.68 | ) | | | (0.30 | ) | | | (5.82 | ) | | | (5.95 | ) | | | (0.93 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.71 | ) | | | (0.36 | ) | | | (5.82 | ) | | | (5.95 | ) | | | (0.93 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 23.06 | | | $ | 19.53 | | | $ | 17.40 | | | $ | 24.39 | | | $ | 28.53 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 22.17 | % | | | 14.49 | % | | | (5.51 | )% | | | 7.36 | %(3) | | | 16.91 | % |
Net Assets, End of Year (millions) | | $ | 520 | | | $ | 674 | | | $ | 475 | | | $ | 229 | | | $ | 296 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.92 | % | | | 0.94 | % | | | 0.99 | % | | | 0.93 | % | | | 0.92 | % |
Net expenses(4) | | | 0.61 | | | | 0.63 | | | | 0.79 | | | | 0.93 | | | | 0.92 | |
Net investment income (loss) | | | 0.47 | | | | 0.52 | | | | 0.28 | | | | (0.45 | ) | | | (0.42 | ) |
Portfolio Turnover Rate | | | 34 | % | | | 34 | % | | | 151 | % | | | 89 | % | | | 80 | % |
| (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) | The Manager contributed a non-recourse voluntary reimbursement to Small-Mid Cap Equity 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%. |
| (4) | Reflects fee waivers and/or expense reimbursements. |
| † | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
See Notes to Financial Statements.
294
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| International Equity Fund | | | | | | | | | | | | | | | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net Asset Value, Beginning of Year | | $ | 12.34 | | | $ | 10.83 | | | $ | 10.91 | | | $ | 12.03 | | | $ | 10.92 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.27 | | | | 0.24 | | | | 0.21 | | | | 0.21 | | | | 0.22 | |
Net realized and unrealized gain (loss) | | | 0.24 | | | | 1.56 | | | | (0.10 | ) | | | (1.13 | ) | | | 1.03 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 0.51 | | | | 1.80 | | | | 0.11 | | | | (0.92 | ) | | | 1.25 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.21 | ) | | | (0.29 | ) | | | (0.19 | ) | | | (0.20 | ) | | | (0.14 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 12.64 | | | $ | 12.34 | | | $ | 10.83 | | | $ | 10.91 | | | $ | 12.03 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 4.15 | % | | | 17.14 | % | | | 0.96 | % | | | (7.68 | )%(3) | | | 11.45 | % |
Net Assets, End of Year (millions) | | $ | 1,677 | | | $ | 1,244 | | | $ | 1,122 | | | $ | 1,202 | | | $ | 1,149 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.83 | % | | | 0.83 | % | | | 0.82 | % | | | 0.81 | % | | | 0.81 | % |
Net expenses(4) | | | 0.66 | | | | 0.65 | | | | 0.76 | | | | 0.79 | | | | 0.77 | |
Net investment income | | | 2.07 | | | | 2.15 | | | | 2.02 | | | | 1.80 | | | | 1.83 | |
Portfolio Turnover Rate | | | 41 | % | | | 27 | % | | | 64 | % | | | 80 | % | | | 95 | % |
| (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) | The Manager contributed a non-recourse voluntary reimbursement to International Equity Fund. 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)%. |
| (4) | Reflects fee waivers and/or expense reimbursements. |
| † | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Emerging Markets Equity Fund | | | | | | | | | | | | | | | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net Asset Value, Beginning of Year | | $ | 15.33 | | | $ | 12.36 | | | $ | 10.87 | | | $ | 14.54 | | | $ | 13.67 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.22 | | | | 0.20 | | | | 0.13 | | | | 0.17 | | | | 0.20 | |
Net realized and unrealized gain (loss) | | | (1.06 | ) | | | 2.90 | | | | 1.51 | | | | (3.64 | ) | | | 2.36 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | (0.84 | ) | | | 3.10 | | | | 1.64 | | | | (3.47 | ) | | | 2.56 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.20 | ) | | | (0.13 | ) | | | (0.15 | ) | | | (0.20 | ) | | | (0.29 | ) |
Net realized gain | | | — | | | | — | | | | — | | | | — | | | | (1.40 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.20 | ) | | | (0.13 | ) | | | (0.15 | ) | | | (0.20 | ) | | | (1.69 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 14.29 | | | $ | 15.33 | | | $ | 12.36 | | | $ | 10.87 | | | $ | 14.54 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | (5.55 | )% | | | 25.48 | % | | | 15.31 | % | | | (24.08 | )% | | | 19.97 | % |
Net Assets, End of Year (millions) | | $ | 498 | | | $ | 488 | | | $ | 428 | | | $ | 464 | | | $ | 385 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 1.11 | % | | | 1.14 | % | | | 1.13 | % | | | 1.08 | % | | | 1.09 | % |
Net expenses(3) | | | 0.80 | | | | 0.86 | | | | 0.96 | | | | 0.96 | | | | 0.99 | |
Net investment income | | | 1.42 | | | | 1.51 | | | | 1.15 | | | | 1.34 | | | | 1.49 | |
Portfolio Turnover Rate | | | 24 | % | | | 27 | % | | | 99 | % | | | 41 | % | | | 29 | % |
| (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. |
| † | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
See Notes to Financial Statements.
295
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Core Fixed Income Fund | | | | | | | | | | | | | | | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net Asset Value, Beginning of Year | | $ | 8.19 | | | $ | 8.41 | | | $ | 8.23 | | | $ | 8.44 | | | $ | 8.17 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.20 | | | | 0.19 | | | | 0.20 | | | | 0.17 | | | | 0.18 | |
Net realized and unrealized gain (loss) | | | (0.31 | ) | | | (0.11 | ) | | | 0.27 | | | | (0.06 | ) | | | 0.31 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | (0.11 | ) | | | 0.08 | | | | 0.47 | | | | 0.11 | | | | 0.49 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.21 | ) | | | (0.22 | ) | | | (0.23 | ) | | | (0.20 | ) | | | (0.22 | ) |
Tax return of capital | | | (0.01 | ) | | | — | | | | — | | | | — | | | | — | |
Net realized gain | | | — | | | | (0.08 | ) | | | (0.06 | ) | | | (0.12 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.22 | ) | | | (0.30 | ) | | | (0.29 | ) | | | (0.32 | ) | | | (0.22 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 7.86 | | | $ | 8.19 | | | $ | 8.41 | | | $ | 8.23 | | | $ | 8.44 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | (1.35 | )% | | | 1.07 | % | | | 5.84 | % | | | 1.35 | % | | | 6.10 | % |
Net Assets, End of Year (millions) | | $ | 867 | | | $ | 710 | | | $ | 722 | | | $ | 859 | | | $ | 799 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.57 | % | | | 0.58 | %(3) | | | 0.55 | %(3) | | | 0.54 | %(3) | | | 0.53 | %(3) |
Net expenses(4) | | | 0.56 | | | | 0.56 | (3) | | | 0.54 | (3) | | | 0.55 | (3) | | | 0.53 | (3) |
Net investment income | | | 2.49 | | | | 2.32 | | | | 2.42 | | | | 2.06 | | | | 2.19 | |
Portfolio Turnover Rate | | | 253 | % | | | 236 | % | | | 245 | % | | | 326 | % | | | 446 | % |
| (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) | 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. |
| † | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, net asset value and total return for shareholder transactions may differ from financial statements. |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| High Yield Fund | | | | | | | | | | | | | | | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net Asset Value, Beginning of Year | | $ | 3.86 | | | $ | 3.78 | | | $ | 3.88 | | | $ | 4.41 | | | $ | 4.27 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.20 | | | | 0.22 | | | | 0.23 | | | | 0.24 | | | | 0.24 | |
Net realized and unrealized gain (loss) | | | (0.08 | ) | | | 0.10 | | | | (0.09 | ) | | | (0.50 | ) | | | 0.17 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 0.12 | | | | 0.32 | | | | 0.14 | | | | (0.26 | ) | | | 0.41 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.21 | ) | | | (0.24 | ) | | | (0.24 | ) | | | (0.27 | ) | | | (0.27 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 3.77 | | | $ | 3.86 | | | $ | 3.78 | | | $ | 3.88 | | | $ | 4.41 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 3.20 | % | | | 8.38 | % | | | 4.02 | % | | | (6.14 | )% | | | 9.75 | % |
Net Assets, End of Year (millions) | | $ | 58 | | | $ | 173 | | | $ | 325 | | | $ | 254 | | | $ | 258 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 1.17 | % | | | 0.95 | % | | | 0.88 | % | | | 0.90 | % | | | 0.92 | % |
Net expenses(3) | | | 0.97 | | | | 0.75 | | | | 0.70 | | | | 0.74 | | | | 0.76 | |
Net investment income | | | 5.27 | | | | 5.65 | | | | 6.21 | | | | 5.74 | | | | 5.53 | |
Portfolio Turnover Rate | | | 57 | % | | | 72 | % | | | 64 | % | | | 42 | % | | | 57 | % |
| (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. |
| † | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, net asset value and total return for shareholder transactions may differ from financial statements. |
See Notes to Financial Statements.
296
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| International Fixed Income Fund | | | | | | | | | | | | | | | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net Asset Value, Beginning of Year | | $ | 7.78 | | | $ | 7.79 | | | $ | 7.61 | | | $ | 8.04 | | | $ | 8.02 | |
| | | | | | | | | | | | | | | | | | | | |
| Income from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.14 | | | | 0.14 | | | | 0.13 | | | | 0.13 | | | | 0.16 | |
Net realized and unrealized gain (loss) | | | 0.03 | | | | (0.07 | ) | | | 0.56 | | | | (0.09 | ) | | | 0.40 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income from Operations | | | 0.17 | | | | 0.07 | | | | 0.69 | | | | 0.04 | | | | 0.56 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.09 | ) | | | (0.08 | ) | | | (0.51 | ) | | | (0.47 | ) | | | (0.54 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 7.86 | | | $ | 7.78 | | | $ | 7.79 | | | $ | 7.61 | | | $ | 8.04 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 2.25 | % | | | 0.98 | % | | | 9.56 | % | | | 0.44 | % | | | 7.36 | % |
Net Assets, End of Year (millions) | | $ | 145 | | | $ | 148 | | | $ | 192 | | | $ | 223 | | | $ | 267 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses(3) | | | 1.01 | % | | | 1.06 | % | | | 0.87 | % | | | 0.87 | % | | | 0.76 | % |
Net expenses(3) | | | 0.95 | (4) | | | 1.01 | (4) | | | 0.83 | (4) | | | 0.87 | | | | 0.76 | |
Net investment income | | | 1.76 | | | | 1.82 | | | | 1.71 | | | | 1.61 | | | | 2.00 | |
Portfolio Turnover Rate | | | 203 | % | | | 268 | % | | | 199 | % | | | 416 | % | | | 397 | % |
| (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) | Ratio includes interest expense on forward sale commitments and reverse repurchase agreements which represents 0.04%, 0.11%, 0.04%, 0.10% and 0.04%, respectively. |
| (4) | Reflects fee waivers and/or expense reimbursements. |
| † | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, net asset value and total return for shareholder transactions may differ from financial statements. |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Municipal Bond Fund | | | | | | | | | | | | | | | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net Asset Value, Beginning of Year | | $ | 9.37 | | | $ | 9.93 | | | $ | 9.65 | | | $ | 9.76 | | | $ | 9.21 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.24 | | | | 0.27 | | | | 0.28 | | | | 0.28 | | | | 0.29 | |
Net realized and unrealized gain (loss) | | | (0.26 | ) | | | (0.31 | ) | | | 0.30 | | | | (0.06 | ) | | | 0.55 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | (0.02 | ) | | | (0.04 | ) | | | 0.58 | | | | 0.22 | | | | 0.84 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.24 | ) | | | (0.27 | ) | | | (0.28 | ) | | | (0.28 | ) | | | (0.29 | ) |
Net realized gain | | | — | | | | (0.25 | ) | | | (0.02 | ) | | | (0.05 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.24 | ) | | | (0.52 | ) | | | (0.30 | ) | | | (0.33 | ) | | | (0.29 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 9.11 | | | $ | 9.37 | | | $ | 9.93 | | | $ | 9.65 | | | $ | 9.76 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | (0.21 | )% | | | (0.22 | )% | | | 6.14 | % | | | 2.32 | % | | | 9.24 | % |
Net Assets, End of Year (millions) | | $ | 64 | | | $ | 58 | | | $ | 69 | | | $ | 85 | | | $ | 78 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.72 | % | | | 0.75 | % | | | 0.68 | % | | | 0.66 | % | | | 0.59 | % |
Net expenses | | | 0.72 | | | | 0.75 | | | | 0.68 | | | | 0.66 | | | | 0.59 | |
Net investment income | | | 2.61 | | | | 2.85 | | | | 2.87 | | | | 2.91 | | | | 3.03 | |
Portfolio Turnover Rate | | | 18 | % | | | 13 | % | | | 16 | % | | | 8 | % | | | 19 | % |
| (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. |
| † | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, net asset value and total return for shareholder transactions may differ from financial statements. |
See Notes to Financial Statements.
297
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | |
| | | |
| Inflation-Linked Fixed Income Fund | | | | | | | | | |
| | | 2018 | | | 2017 | | | 2016(1) | |
Net Asset Value, Beginning of Year | | $ | 10.08 | | | $ | 10.23 | | | $ | 10.00 | |
| | | | | | | | | | | | |
| Income from Operations: | | | | | | | | | | | | |
Net investment income(2) | | | 0.30 | | | | 0.23 | | | | 0.14 | |
Net realized and unrealized gain (loss) | | | (0.25 | ) | | | (0.13 | ) | | | 0.32 | |
| | | | | | | | | | | | |
Total Income from Operations | | | 0.05 | | | | 0.10 | | | | 0.46 | |
| | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | |
Net investment income | | | (0.34 | ) | | | (0.24 | ) | | | (0.23 | ) |
Net realized gain | | | — | | | | (0.01 | ) | | | — | |
| | | | | | | | | | | | |
Total Distributions | | | (0.34 | ) | | | (0.25 | ) | | | (0.23 | ) |
| | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 9.79 | | | $ | 10.08 | | | $ | 10.23 | |
| | | | | | | | | | | | |
Total Return†(3) | | | 0.55 | % | | | 1.05 | % | | | 4.59 | %(7) |
Net Assets, End of Year (millions) | | $ | 240 | | | $ | 190 | | | $ | 159 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | |
Gross expenses(4) | | | 1.27 | % | | | 1.15 | % | | | 1.03 | %(5) |
Net expenses(4)(6) | | | 1.22 | | | | 1.10 | | | | 0.99 | (5) |
Net investment income | | | 3.07 | | | | 2.25 | | | | 2.91 | (5) |
Portfolio Turnover Rate | | | 72 | % | | | 120 | % | | | 35 | %(7) |
| (1) | For the period from Fund inception (March 8, 2016) through the period ended August 31, 2016. |
| (2) | Per share amounts have been calculated using the average shares method. |
| (3) | 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. |
| (4) | Ratio includes interest expense on forward sale commitments and reverse repurchase agreements which represents 0.49%, 0.29% and 0.19%, respectively. |
| (6) | Reflects fee waivers and/or expense reimbursements. |
| † | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
See Notes to Financial Statements.
298
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | |
| | | |
| Ultra-Short Term Fixed Income Fund | | | | | | | | | |
| | | 2018 | | | 2017 | | | 2016(1) | |
Net Asset Value, Beginning of Year | | $ | 9.99 | | | $ | 10.00 | | | $ | 10.00 | |
| | | | | | | | | | | | |
| Income from Operations: | | | | | | | | | | | | |
Net investment income(2) | | | 0.19 | | | | 0.13 | | | | 0.07 | |
Net realized and unrealized gain | | | 0.02 | | | | 0.08 | | | | 0.02 | |
| | | | | | | | | | | | |
Total Income from Operations | | | 0.21 | | | | 0.21 | | | | 0.09 | |
| | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | |
Net investment income | | | (0.23 | ) | | | (0.22 | ) | | | (0.09 | ) |
| | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 9.97 | | | $ | 9.99 | | | $ | 10.00 | |
| | | | | | | | | | | | |
Total Return†(3) | | | 2.09 | % | | | 2.14 | % | | | 0.89 | %(7) |
Net Assets, End of Year (millions) | | $ | 507 | | | $ | 276 | | | $ | 162 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | |
Gross expenses(4) | | | 0.71 | % | | | 0.84 | % | | | 0.81 | %(5) |
Net expenses(4)(6) | | | 0.66 | | | | 0.79 | | | | 0.77 | (5) |
Net investment income | | | 1.90 | | | | 1.29 | | | | 1.47 | (5) |
Portfolio Turnover Rate | | | 128 | % | | | 103 | % | | | 100 | %(7) |
| (1) | For the period from Fund inception (March 8, 2016) through the period ended August 31, 2016. |
| (2) | Per share amounts have been calculated using the average shares method. |
| (3) | 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. |
| (4) | Ratio includes interest expense on forward sale commitments and reverse repurchase agreements which represents 0.04%, 0.05% and 0.02%, respectively. |
| (6) | Reflects fee waivers and/or expense reimbursements. |
| † | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
See Notes to Financial Statements.
299
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | |
| |
| Alternative Strategies Fund | | | |
| | | 2018(1) | |
Net Asset Value, Beginning of Period | | $ | 10.00 | |
| | | | |
| (Loss) from Operations: | | | | |
Net investment (loss)(2) | | | (0.09 | ) |
Net realized and unrealized (loss) | | | (0.03 | ) |
| | | | |
Total (Loss) from Operations | | | (0.12 | ) |
| | | | |
Net Asset Value, End of Period | | $ | 9.88 | |
| | | | |
Total Return†(3) | | | (1.20 | )%(6) |
Net Assets, End of Period (millions) | | $ | 6 | |
| Ratios to Average Net Assets: | | | | |
Gross expenses | | | 11.00 | %(4) |
Net expenses(5) | | | 1.95 | (4) |
Net investment income | | | (1.72 | )(4) |
Portfolio Turnover Rate | | | 14 | %(6) |
| (1) | For the period from Fund inception (February 15, 2018) through the period ended August 31, 2018. |
| (2) | Per share amounts have been calculated using the average shares method. |
| (3) | 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. 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. |
| (5) | Reflects fee waivers and/or expense reimbursements. |
| † | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
See Notes to Financial Statements.
300
| | |
| | | |
| 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, 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 and Alternative Strategies Fund (Fund inception February 15, 2018) (individually, a “Fund” and collectively, the “Funds”). Each Fund is a diversified series of the Trust, except for International Fixed Income Fund, which is non-diversified.
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 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
301
| | |
| | | |
| Notes to Financial Statements | | |
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.
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
302
| | |
| | | |
| Notes to Financial Statements | | |
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, 2018 | | | 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 | | $ | 193,995,883 | | | $ | 193,995,883 | | | $ | — | | | $ | — | |
Consumer Staples | | | 106,240,340 | | | | 106,240,340 | | | | — | | | | — | |
Energy | | | 101,132,176 | | | | 101,132,176 | | | | — | | | | — | |
Financials | | | 197,585,544 | | | | 197,585,544 | | | | — | | | | — | |
Health Care | | | 267,236,964 | | | | 267,236,964 | | | | — | | | | — | |
Industrials | | | 146,650,674 | | | | 146,650,674 | | | | — | | | | — | |
Information Technology | | | 449,751,380 | | | | 449,751,380 | | | | — | | | | — | |
Materials | | | 57,311,212 | | | | 57,311,212 | | | | — | | | | — | |
Real Estate | | | 40,104,862 | | | | 40,104,862 | | | | — | | | | — | |
Telecommunication Services | | | 32,726,389 | | | | 32,726,389 | | | | — | | | | — | |
Utilities | | | 31,923,677 | | | | 31,923,677 | | | | — | | | | — | |
Closed End Mutual Fund Security: | | | | | | | | | | | | | | | | |
Financials | | | 81,388,800 | | | | 81,388,800 | | | | — | | | | — | |
Short-Term Investments: | | | | | | | | | |
Money Market Fund | | | 6,403,240 | | | | 6,403,240 | | | | — | | | | — | |
Time Deposits | | | 20,987,870 | | | | — | | | | 20,987,870 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at value | | $ | 1,733,439,011 | | | $ | 1,712,451,141 | | | $ | 20,987,870 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 441,639 | | | $ | 441,639 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 441,639 | | | $ | 441,639 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
303
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2018 | | | 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 | | $ | 64,825,743 | | | $ | 64,825,743 | | | $ | — | | | $ | — | |
Consumer Staples | | | 9,246,387 | | | | 9,246,387 | | | | — | | | | — | |
Energy | | | 19,904,580 | | | | 19,904,580 | | | | — | | | | — | |
Financials | | | 59,402,543 | | | | 59,402,543 | | | | — | | | | — | |
Health Care | | | 73,505,909 | | | | 73,505,909 | | | | — | | | | — | |
Industrials | | | 96,771,351 | | | | 96,771,351 | | | | — | | | | — | |
Information Technology | | | 99,158,759 | | | | 99,158,759 | | | | — | | | | — | |
Materials | | | 29,221,997 | * | | | 29,219,820 | | | | — | | | | 2,177 | * |
Real Estate | | | 29,682,514 | | | | 29,682,514 | | | | — | | | | — | |
Telecommunication Services | | | 1,012,559 | | | | 1,012,559 | | | | — | | | | — | |
Utilities | | | 8,019,645 | | | | 8,019,645 | | | | — | | | | — | |
Closed End Mutual Fund Security: | | | | | | | | | | | | | | | | |
Financials | | | 19,079,678 | | | | 19,079,678 | | | | — | | | | — | |
Convertible Preferred Stock: | | | | | | | | | | | | | | | | |
Utilities | | | 427,635 | | | | 427,635 | | | | — | | | | — | |
Corporate Bond & Note | | | 324,230 | | | | — | | | | 324,230 | | | | — | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Fund | | | 30,809,461 | | | | 30,809,461 | | | | — | | | | — | |
Time Deposits | | | 9,494,345 | | | | — | | | | 9,494,345 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at value | | $ | 550,887,336 | * | | $ | 541,066,584 | | | $ | 9,818,575 | | | $ | 2,177 | * |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 50,358 | | | $ | 50,358 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 50,358 | | | $ | 50,358 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| International Equity Fund | |
Investments, at value | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
France | | $ | 157,441,670 | | | $ | 212,845 | | | $ | 157,228,825 | | | $ | — | |
Germany | | | 150,608,118 | | | | — | | | | 150,608,118 | | | | — | |
Japan | | | 311,803,844 | | | | — | | | | 311,803,844 | | | | — | |
Switzerland | | | 158,310,271 | | | | — | | | | 158,310,271 | | | | — | |
United Kingdom | | | 269,300,673 | | | | 860,956 | | | | 268,439,717 | | | | — | |
Other Countries** | | | 567,607,234 | | | | 106,198,495 | | | | 461,408,739 | | | | — | |
Preferred Stocks: | | | | | | | | | | | | | | | | |
Brazil | | | 2,436,923 | | | | 2,436,923 | | | | — | | | | — | |
Germany | | | 12,859,626 | | | | — | | | | 12,859,626 | | | | — | |
Closed End Mutual Fund Security: | | | | | | | | | | | | | | | | |
United States | | | 988,655 | | | | 988,655 | | | | — | | | | — | |
Short-Term Investments: | | | | | | | | | |
Money Market Fund | | | 12,790,871 | | | | 12,790,871 | | | | — | | | | — | |
Time Deposits | | | 37,728,145 | | | | — | | | | 37,728,145 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at value | | $ | 1,681,876,030 | | | $ | 123,488,745 | | | $ | 1,558,387,285 | | | $ | — | |
| | | | | | | | | | | | | | | | |
304
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2018 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 5,079 | | | $ | 5,079 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 5,079 | | | $ | 5,079 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (14,823 | ) | | $ | (14,823 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (14,823 | ) | | $ | (14,823 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Emerging Markets Equity Fund | |
Investments, at value | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
Brazil | | $ | 25,542,941 | | | $ | 25,542,941 | | | $ | — | | | $ | — | |
China | | | 125,134,136 | | | | 35,127,906 | | | | 90,004,281 | | | | 1,949 | |
India | | | 43,489,784 | | | | 5,416,319 | | | | 38,073,465 | | | | — | |
South Africa | | | 32,287,834 | | | | — | | | | 32,287,834 | | | | — | |
South Korea | | | 54,309,365 | | | | 92,722 | | | | 54,216,643 | | | | — | |
Taiwan | | | 37,080,046 | | | | — | | | | 37,080,046 | | | | — | |
Other Countries** | | | 144,071,482 | | | | 52,303,963 | | | | 91,767,519 | | | | — | |
Preferred Stocks: | | | | | | | | | | | | | | | | |
Brazil | | | 4,988,464 | | | | 4,988,464 | | | | — | | | | — | |
Chile | | | 185,853 | | | | 185,853 | | | | — | | | | — | |
Colombia | | | 236,135 | | | | 236,135 | | | | — | | | | — | |
Russia | | | 161,773 | | | | 161,773 | | | | — | | | | — | |
South Korea | | | 9,531,874 | | | | — | | | | 9,531,874 | | | | — | |
Warrant: | | | | | | | | | | | | | | | | |
Thailand | | | — | * | | | — | | | | — | | | | — | * |
Rights: | | | | | | | | | | | | | | | | |
Brazil | | | — | * | | | — | | | | — | | | | — | * |
Hong Kong | | | 2,245 | | | | — | | | | — | | | | 2,245 | |
Short-Term Investments: | | | | | | | | | |
Money Market Fund | | | 6,554,643 | | | | 6,554,643 | | | | — | | | | — | |
Time Deposits | | | 19,339,492 | | | | — | | | | 19,339,492 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at value | | $ | 502,916,067 | * | | $ | 130,610,719 | | | $ | 372,301,154 | | | $ | 4,194 | * |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Futures Contract | | $ | (58,890 | ) | | $ | (58,890 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (58,890 | ) | | $ | (58,890 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Core Fixed Income Fund | |
Investments, at value | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | $ | 288,090,699 | | | $ | — | | | $ | 288,090,699 | | | $ | — | |
Mortgage-Backed Securities | | | 215,261,652 | | | | — | | | | 215,261,652 | | | | — | |
U.S. Government Agencies & Obligations | | | 205,834,687 | | | | — | | | | 205,834,687 | | | | — | |
Collateralized Mortgage Obligations | | | 94,894,751 | | | | — | | | | 94,894,751 | | | | — | |
Sovereign Bonds | | | 20,761,375 | | | | — | | | | 20,761,375 | | | | — | |
305
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2018 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
Asset-Backed Securities | | $ | 16,710,115 | | | $ | — | | | $ | 16,710,115 | | | $ | — | |
Senior Loans | | | 9,322,982 | | | | — | | | | 9,322,982 | | | | — | |
Municipal Bonds | | | 3,910,588 | | | | — | | | | 3,910,588 | | | | — | |
Preferred Stock: | | | | | | | | | | | | | | | | |
Financials | | | 101,840 | | | | 101,840 | | | | — | | | | — | |
Purchased Options | | | 253,376 | | | | 220,828 | | | | 32,548 | | | | — | |
Short-Term Investments: | | | | | | | | | |
Commercial Papers | | | 8,336,811 | | | | — | | | | 8,336,811 | | | | — | |
Money Market Fund | | | 278,108 | | | | 278,108 | | | | — | | | | — | |
Repurchase Agreement | | | 10,000,000 | | | | — | | | | 10,000,000 | | | | — | |
Sovereign Bonds | | | 7,879,879 | | | | — | | | | 7,879,879 | | | | — | |
Time Deposits | | | 19,462,659 | | | | — | | | | 19,462,659 | | | | — | |
U.S. Government Agencies | | | 6,185,164 | | | | — | | | | 6,185,164 | | | | — | |
U.S. Government Obligations | | | 16,033,889 | | | | — | | | | 16,033,889 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at value | | $ | 923,318,575 | | | $ | 600,776 | | | $ | 922,717,799 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 235,005 | | | $ | 235,005 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 219,939 | | | | — | | | | 219,939 | | | | — | |
Centrally Cleared Interest Rate Swaps | | | 117,324 | | | | — | | | | 117,324 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 572,268 | | | $ | 235,005 | | | $ | 337,263 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Options Contracts Written | | $ | (266,171 | ) | | $ | (249,578 | ) | | $ | (16,593 | ) | | $ | — | |
Futures Contracts | | | (434,210 | ) | | | (434,210 | ) | | | — | | | | — | |
Forward Foreign Currency Contracts | | | (770,285 | ) | | | — | | | | (770,285 | ) | | | — | |
OTC Interest Rate Swap | | | (13,177 | ) | | | — | | | | (13,177 | ) | | | — | |
Centrally Cleared Interest Rate Swaps | | | (126,210 | ) | | | — | | | | (126,210 | ) | | | — | |
Centrally Cleared Credit Default Swaps | | | (24,084 | ) | | | — | | | | (24,084 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (1,634,137 | ) | | $ | (683,788 | ) | | $ | (950,349 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| High Yield Fund | |
Investments, at value | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | $ | 51,366,111 | | | $ | — | | | $ | 51,203,279 | | | $ | 162,832 | |
Senior Loans | | | 2,945,793 | | | | — | | | | 2,945,793 | | | | — | |
Common Stocks: | | | | | | | | | | | | | | | | |
Consumer Cyclical | | | 233,000 | | | | — | | | | — | | | | 233,000 | |
Energy | | | 951,925 | | | | 721,770 | | | | 189,264 | | | | 40,891 | |
Financials | | | — | * | | | — | | | | — | | | | — | * |
Collateralized Mortgage Obligations | | | 334,466 | | | | — | | | | 334,466 | | | | — | |
Preferred Stocks: | | | | | | | | | | | | | | | | |
Energy | | | 53,010 | | | | — | | | | 10,605 | | | | 42,405 | |
Financials | | | 206,601 | | | | 206,601 | | | | — | | | | — | |
Sovereign Bond | | | 124,202 | | | | — | | | | 124,202 | | | | — | |
Convertible Preferred Stock: | | | | | | | | | | | | | | | | |
Energy | | | 16,500 | | | | — | | | | 16,500 | | | | — | |
306
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2018 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
Short-Term Investments: | | | | | | | | | |
Money Market Fund | | $ | 130,211 | | | $ | 130,211 | | | $ | — | | | $ | — | |
Time Deposits | | | 1,789,965 | | | | — | | | | 1,789,965 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at value | | $ | 58,151,784 | * | | $ | 1,058,582 | | | $ | 56,614,074 | | | $ | 479,128 | * |
| | | | | | | | | | | | | | | | |
| International Fixed Income Fund | |
Investments, at value | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes: | | | | | | | | | | | | | | | | |
United Kingdom | | $ | 9,023,836 | | | $ | — | | | $ | 9,023,836 | | | $ | — | |
United States | | | 11,309,255 | | | | — | | | | 11,309,255 | | | | — | |
Other Countries** | | | 32,237,797 | | | | — | | | | 32,237,797 | | | | — | |
Sovereign Bonds: | | | | | | | | | | | | | | | | |
France | | | 7,195,027 | | | | — | | | | 7,195,027 | | | | — | |
Japan | | | 13,502,969 | | | | — | | | | 13,502,969 | | | | — | |
United Kingdom | | | 7,810,759 | | | | — | | | | 7,810,759 | | | | — | |
Other Countries** | | | 21,941,077 | | | | — | | | | 21,941,077 | | | | — | |
Collateralized Mortgage Obligations | | | 24,825,115 | | | | — | | | | 24,825,115 | | | | — | |
Mortgage-Backed Securities | | | 18,234,993 | | | | — | | | | 18,234,993 | | | | — | |
U.S. Government Obligations | | | 11,114,019 | | | | — | | | | 11,114,019 | | | | — | |
Senior Loan | | | 196,936 | | | | — | | | | 196,936 | | | | — | |
Asset-Backed Security | | | 102,800 | | | | — | | | | 102,800 | | | | — | |
Municipal Bond | | | 43,596 | | | | — | | | | 43,596 | | | | — | |
Purchased Options | | | 17,795 | | | | 180 | | | | 17,615 | | | | — | |
Short-Term Investments: | | | | | | | | | |
Commercial Paper | | | 399,854 | | | | — | | | | 399,854 | | | | — | |
Sovereign Bonds: | | | | | | | | | | | | | | | | |
Japan | | | 9,365,510 | | | | — | | | | 9,365,510 | | | | — | |
Other Countries** | | | 4,888,059 | | | | — | | | | 4,888,059 | | | | — | |
Time Deposits | | | 3,572,603 | | | | — | | | | 3,572,603 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at value | | $ | 175,782,000 | | | $ | 180 | | | $ | 175,781,820 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 246,632 | | | $ | 246,632 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 2,065,016 | | | | — | | | | 2,065,016 | | | | — | |
OTC Interest Rate Swaps | | | 5,346 | | | | — | | | | 5,346 | | | | — | |
Centrally Cleared Interest Rate Swaps | | | 2,169,684 | | | | — | | | | 2,169,684 | | | | — | |
OTC Credit Default Swaps | | | 6,647 | | | | — | | | | 6,647 | | | | — | |
Centrally Cleared Credit Default Swaps | | | 492,501 | | | | — | | | | 492,501 | | | | — | |
OTC Cross-Currency Swaps | | | 30,401 | | | | — | | | | 30,401 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 5,016,227 | | | $ | 246,632 | | | $ | 4,769,595 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Options Contracts Written | | $ | (53,136 | ) | | $ | — | | | $ | (53,136 | ) | | $ | — | |
Reverse Repurchase Agreements | | | (14,359,379 | ) | | | — | | | | (14,359,379 | ) | | | — | |
Futures Contracts | | | (345,869 | ) | | | (345,869 | ) | | | — | | | | — | |
Forward Foreign Currency Contracts | | | (1,558,188 | ) | | | — | | | | (1,558,188 | ) | | | — | |
Centrally Cleared Interest Rate Swaps | | | (707,464 | ) | | | — | | | | (707,464 | ) | | | — | |
307
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2018 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
OTC Credit Default Swaps | | $ | (33,957 | ) | | $ | — | | | $ | (33,957 | ) | | $ | — | |
Centrally Cleared Credit Default Swaps | | | (11,617 | ) | | | — | | | | (11,617 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (17,069,610 | ) | | $ | (345,869 | ) | | $ | (16,723,741 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Municipal Bond Fund | |
Investments, at value | | | | | | | | | | | | | | | | |
Municipal Bonds | | $ | 61,684,323 | | | $ | — | | | $ | 61,684,323 | | | $ | — | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Time Deposits | | | 1,193,414 | | | | — | | | | 1,193,414 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at value | | $ | 62,877,737 | | | $ | — | | | $ | 62,877,737 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
Investments, at value | | | | | | | | | | | | | | | | |
U.S. Government Obligations | | $ | 235,622,392 | | | $ | — | | | $ | 235,622,392 | | | $ | — | |
Sovereign Bonds | | | 17,946,054 | | | | — | | | | 17,946,054 | | | | — | |
Collateralized Mortgage Obligations | | | 12,424,771 | | | | — | | | | 12,424,771 | | | | — | |
Mortgage-Backed Securities | | | 9,579,746 | | | | — | | | | 9,579,746 | | | | — | |
Corporate Bonds & Notes | | | 7,544,385 | | | | — | | | | 7,544,385 | | | | — | |
Asset-Backed Security | | | 239,713 | | | | — | | | | 239,713 | | | | — | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Sovereign Bonds | | | 3,630,538 | | | | — | | | | 3,630,538 | | | | — | |
Time Deposits | | | 1,583,836 | | | | — | | | | 1,583,836 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at value | | $ | 288,571,435 | | | $ | — | | | $ | 288,571,435 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 137,574 | | | $ | 137,574 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 1,298,318 | | | | — | | | | 1,298,318 | | | | — | |
Centrally Cleared Interest Rate Swaps | | | 710,992 | | | | — | | | | 710,992 | | | | — | |
Centrally Cleared Inflation Rate Swaps | | | 169,073 | | | | — | | | | 169,073 | | | | — | |
OTC Credit Default Swaps | | | 33,797 | | | | — | | | | 33,797 | | | | — | |
Centrally Cleared Credit Default Swaps | | | 52,836 | | | | — | | | | 52,836 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 2,402,590 | | | $ | 137,574 | | | $ | 2,265,016 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Options Contracts Written | | $ | (38,910 | ) | | $ | (12,337 | ) | | $ | (26,573 | ) | | $ | — | |
Reverse Repurchase Agreements | | | (41,957,579 | ) | | | — | | | | (41,957,579 | ) | | | — | |
Futures Contracts | | | (37,767 | ) | | | (37,767 | ) | | | — | | | | — | |
Forward Foreign Currency Contracts | | | (284,329 | ) | | | — | | | | (284,329 | ) | | | — | |
Centrally Cleared Interest Rate Swaps | | | (407,168 | ) | | | — | | | | (407,168 | ) | | | — | |
Centrally Cleared Inflation Rate Swaps | | | (93,348 | ) | | | — | | | | (93,348 | ) | | | — | |
Centrally Cleared Credit Default Swap | | | (5,155 | ) | | | — | | | | (5,155 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (42,824,256 | ) | | $ | (50,104 | ) | | $ | (42,774,152 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
308
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2018 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| Ultra-Short Term Fixed Income Fund | |
Investments, at value | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | $ | 308,776,385 | | | $ | — | | | $ | 308,776,385 | | | $ | — | |
U.S. Government Obligations | | | 97,258,967 | | | | — | | | | 97,258,967 | | | | — | |
Collateralized Mortgage Obligations | | | 68,755,506 | | | | — | | | | 68,755,506 | | | | — | |
Asset-Backed Securities | | | 24,105,110 | | | | — | | | | 24,105,110 | | | | — | |
Sovereign Bonds | | | 17,780,079 | | | | — | | | | 17,780,079 | | | | — | |
Municipal Bond | | | 1,630,704 | | | | — | | | | 1,630,704 | | | | — | |
Senior Loans | | | 829,702 | | | | — | | | | 829,702 | | | | — | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Commercial Papers | | | 9,194,012 | | | | — | | | | 9,194,012 | | | | — | |
Corporate Bonds | | | 1,099,668 | | | | — | | | | 1,099,668 | | | | — | |
Time Deposits | | | 1,513,583 | | | | — | | | | 1,513,583 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at value | | $ | 530,943,716 | | | $ | — | | | $ | 530,943,716 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 406,825 | | | $ | 406,825 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 177,693 | | | | — | | | | 177,693 | | | | — | |
Centrally Cleared Interest Rate Swap | | | 5,983 | | | | — | | | | 5,983 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 590,501 | | | $ | 406,825 | | | $ | 183,676 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (223,980 | ) | | $ | (223,980 | ) | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | (152,813 | ) | | | — | | | | (152,813 | ) | | | — | |
Centrally Cleared Credit Default Swap | | | (32,966 | ) | | | — | | | | (32,966 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (409,759 | ) | | $ | (223,980 | ) | | $ | (185,779 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Alternative Strategies Fund | |
Investments, at value | | | | | | | | | | | | | | | | |
Open End Mutual Fund Securities: | | | | | | | | | | | | | | | | |
United States | | $ | 5,109,016 | | | $ | 5,109,016 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at value | | $ | 5,109,016 | | | $ | 5,109,016 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| * | Includes securities that are valued in good faith at fair value by or under the direction of the Board of Trustees at $0. |
| ** | Other Countries represents countries 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.
During the year ended August 31, 2018, Small-Mid Cap Equity Fund had a transfer from Level 1 to Level 3 of $2,177. International Equity Fund had a transfer from Level 1 to Level 2 of $177,617 and Level 2 to Level 1 of $261,810. Emerging Markets Equity Fund had a transfer from Level 1 to Level 2 of $31,048 and from Level 2 to Level 1 of $10,646,882. High Yield Fund had a transfer from Level 1 to Level 2 of $16,500, from Level 2 to Level 1 of $579,600 and from Level 3 to Level 2 of $678,167. Ultra-Short Term Fixed Income Fund had a transfer from Level 3 to Level 2 of $240,482.
Transfers from Level 1 to Level 2 were due to valuing the securities using significant observable inputs. Transfer from Level 1 to Level 3 was due to unavailability of unadjusted quote prices and valuing the security using significant unobservable inputs. Transfers from Level 2 to Level 1 were due to valuing the security using unadjusted quoted prices. Transfers from Level 3 to Level 2 were due to significant observable inputs available to determine the value of the securities.
309
| | |
| | | |
| Notes to Financial Statements | | |
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, 2017 through August 31, 2018:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total | | | Asset-
Backed
Securities | | | Collateralized
Mortgage
Obligations | | | Common
Stocks | | | Corporate
Bonds &
Notes | | | Convertible
Preferred
Stocks | | | Senior
Loans | | | Rights | | | Warrant | |
| Small-Mid Cap Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2017 | | $ | — | * | | $ | — | | | $ | — | | | $ | — | * | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Total realized gain (loss) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Purchases | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Sales) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfers in | | | 2,177 | | | | — | | | | — | | | | 2,177 | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Transfers out) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2018 | | $ | 2,177 | * | | $ | — | | | $ | — | | | $ | 2,177 | * | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2018 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| Emerging Markets Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2017 | | $ | 30,931 | * | | $ | — | | | $ | — | | | $ | 30,931 | * | | $ | — | | | $ | — | | | $ | — | | | $ | — | * | | $ | — | |
Total realized gain (loss) | | | (10,193 | ) | | | — | | | | — | | | | (10,193 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation) | | | 14,574 | | | | — | | | | — | | | | 12,329 | | | | — | | | | — | | | | — | | | | 2,245 | | | | — | |
Purchases | | | — | * | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | * |
(Sales) | | | (31,118 | )* | | | — | | | | — | | | | (31,118 | )* | | | — | | | | — | | | | — | | | | — | * | | | — | |
Transfers in | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Transfers out) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2018 | | $ | 4,194 | * | | $ | — | | | $ | — | | | $ | 1,949 | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,245 | * | | $ | — | * |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2018 | | $ | 4,194 | | | $ | — | | | $ | — | | | $ | 1,949 | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,245 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| Core Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2017 | | $ | — | * | | $ | — | | | $ | — | | | $ | — | | | $ | — | * | | | — | | | $ | — | | | $ | — | | | $ | — | |
Total realized gain (loss) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Accrued discounts (premiums) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Purchases | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Sales) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfers in | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Transfers out) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2018 | | $ | — | * | | $ | — | | | $ | — | | | $ | — | | | $ | — | * | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2018 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
310
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total | | | Asset-
Backed
Securities | | | Collateralized
Mortgage
Obligations | | | Common
Stocks | | | Corporate
Bonds &
Notes | | | Convertible
Preferred
Stocks | | | Senior
Loans | | | Rights | | | Warrant | |
| High Yield Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2017 | | $ | 937,430 | * | | $ | — | | | $ | — | | | $ | 110,232 | * | | $ | 784,793 | * | | $ | 42,405 | | | $ | — | | | $ | — | | | $ | — | |
Total realized gain (loss) | | | 109 | | | | — | | | | — | | | | — | | | | 109 | | | | — | | | | — | | | | — | | | | — | |
Accured discounts (premiums) | | | 6,617 | | | | — | | | | — | | | | — | | | | 6,617 | | | | — | | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation) | | | 191,941 | | | | — | | | | — | | | | 163,659 | | | | 28,282 | | | | — | | | | — | | | | — | | | | — | |
Purchases | | | 21,198 | * | | | — | | | | — | | | | — | | | | 21,198 | * | | | — | | | | — | | | | — | | | | — | |
(Sales) | | | — | * | | | — | | | | — | | | | — | | | | — | * | | | — | | | | — | | | | — | | | | — | |
Transfers in | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Transfers out) | | | (678,167 | ) | | | — | | | | — | | | | — | | | | (678,167 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2018 | | $ | 479,128 | * | | $ | — | | | $ | — | | | $ | 273,891 | * | | $ | 162,832 | * | | $ | 42,405 | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2018 | | $ | 158,187 | | | $ | — | | | $ | — | | | $ | 163,659 | | | $ | (5,472 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2017 | | $ | 1,053,309 | | | $ | — | | | $ | 1,000,114 | | | $ | — | | | $ | — | | | $ | — | | | $ | 53,195 | | | $ | — | | | $ | — | |
Total realized gain (loss) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Accured discounts (premiums) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation) | | | (67 | ) | | | — | | | | (114 | ) | | | — | | | | — | | | | — | | | | 47 | | | | — | | | | — | |
Purchases | | | 346,820 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 346,820 | ** | | | — | | | | — | |
(Sales) | | | (1,159,580 | ) | | | — | | | | (1,000,000 | ) | | | — | | | | — | | | | — | | | | (159,580 | ) | | | — | | | | — | |
Transfers in | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Transfers out) | | | (240,482 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | (240,482 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2018 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2018 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| * | Includes securities that are valued at $0. |
| ** | Amount represents the funding of unfunded loan commitments. |
(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 the 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
311
| | |
| | | |
| Notes to Financial Statements | | |
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.
(iv) Inflation-Capped Options. Certain Funds may write or purchase inflation-capped options to enhance returns or for hedging opportunities. When a Fund writes an inflation-capped option, an amount equal to the premium received is recorded as a liability on the Statements of Assets and Liabilities and subsequently marked to market to reflect the change value of the option written. When a Fund purchases an inflation-capped option, the Fund pays a premium which is recorded as an asset on the Statements of Assets and Liabilities and subsequently marked to market to reflect the current value of the option. The purpose of purchasing inflation-capped options is to protect a Fund from inflation erosion above a certain rate on a given notional exposure. A floor can be used to give downside protection to investments in inflation-linked products.
(v) 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
312
| | |
| | | |
| Notes to Financial Statements | | |
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.
(vi) 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-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.
(vii) 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.
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.
313
| | |
| | | |
| Notes to Financial Statements | | |
(viii) 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.
(ix) 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.
(x) 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.
(xi) 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 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
314
| | |
| | | |
| Notes to Financial Statements | | |
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.
(xii) 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.
(xiii) 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 Statements 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, 2018:
Large Cap Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2018 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 441,639 | | | $ | 441,639 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | 441,639 | | | $ | 441,639 | |
| | | | | | | | | | | | | | | | | | | | |
|
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2018 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 917,096 | | | $ | 917,096 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | 917,096 | | | $ | 917,096 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 349,605 | | | $ | 349,605 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | 349,605 | | | $ | 349,605 | |
| | | | | | | | | | | | | | | | | | | | |
315
| | |
| | | |
| Notes to Financial Statements | | |
Small-Mid Cap Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2018 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 50,358 | | | $ | 50,358 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | 50,358 | | | $ | 50,358 | |
| | | | | | | | | | | | | | | | | | | | |
|
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2018 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 532,314 | | | $ | 532,314 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | 532,314 | | | $ | 532,314 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 54,906 | | | $ | 54,906 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | 54,906 | | | $ | 54,906 | |
| | | | | | | | | | | | | | | | | | | | |
International Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2018 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 5,079 | | | $ | 5,079 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | 5,079 | | | $ | 5,079 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 14,823 | | | $ | 14,823 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | 14,823 | | | $ | 14,823 | |
| | | | | | | | | | | | | | | | | | | | |
|
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2018 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 115,418 | | | $ | 115,418 | |
Forward foreign currency contracts | | | — | | | | (14,204 | ) | | | — | | | | — | | | | (14,204 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | (14,204 | ) | | $ | — | | | $ | 115,418 | | | $ | 101,214 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (1,620 | ) | | $ | (1,620 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | (1,620 | ) | | $ | (1,620 | ) |
| | | | | | | | | | | | | | | | | | | | |
316
| | |
| | | |
| Notes to Financial Statements | | |
Emerging Markets Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2018 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 58,890 | | | $ | 58,890 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | 58,890 | | | $ | 58,890 | |
| | | | | | | | | | | | | | | | | | | | |
|
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2018 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives recognized in income (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 74,176 | | | $ | 74,176 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | 74,176 | | | $ | 74,176 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (152,054 | ) | | $ | (152,054 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | (152,054 | ) | | $ | (152,054 | ) |
| | | | | | | | | | | | | | | | | | | | |
Core Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2018 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Purchased options (c) | | $ | 220,828 | | | $ | 32,548 | | | $ | — | | | $ | — | | | $ | 253,376 | |
Unrealized appreciation on open futures contracts (b) | | | 216,403 | | | | 18,602 | | | | — | | | | — | | | | 235,005 | |
Unrealized appreciation on forward foreign currency contracts (c) | | | — | | | | 219,939 | | | | — | | | | — | | | | 219,939 | |
Unrealized appreciation on centrally cleared swaps (f) | | | 117,324 | | | | — | | | | — | | | | — | | | | 117,324 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 554,555 | | | $ | 271,089 | | | $ | — | | | $ | — | | | $ | 825,644 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding (a) | | $ | 249,578 | | | $ | 16,593 | | | $ | — | | | $ | — | | | $ | 266,171 | |
Unrealized depreciation on open futures contracts (b) | | | 434,210 | | | | — | | | | — | | | | — | | | | 434,210 | |
Unrealized depreciation on forward foreign currency contracts (a) | | | — | | | | 770,285 | | | | — | | | | — | | | | 770,285 | |
Unrealized depreciation on centrally cleared swaps (f) | | | 126,210 | | | | — | | | | 24,084 | | | | — | | | | 150,294 | |
Unrealized depreciation on OTC swaps (a) | | | 13,177 | | | | — | | | | — | | | | — | | | | 13,177 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 823,175 | | | $ | 786,878 | | | $ | 24,084 | | | $ | — | | | $ | 1,634,137 | |
| | | | | | | | | | | | | | | | | | | | |
317
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2018 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | (1,275,384 | ) | | $ | (197,545 | ) | | $ | — | | | $ | — | | | $ | (1,472,929 | ) |
Futures contracts | | | (1,344,338 | ) | | | (17,249 | ) | | | — | | | | — | | | | (1,361,587 | ) |
Options written | | | 1,072,403 | | | | 107,023 | | | | — | | | | — | | | | 1,179,426 | |
Swap contracts | | | 776,409 | | | | — | | | | (8,401 | ) | | | — | | | | 768,008 | |
Forward foreign currency contracts | | | — | | | | (61,271 | ) | | | — | | | | — | | | | (61,271 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (770,910 | ) | | $ | (169,042 | ) | | $ | (8,401 | ) | | $ | — | | | $ | (948,353 | ) |
| | | | | | | | | | | | | | | | | | | | |
Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | (78,231 | ) | | $ | (35,651 | ) | | $ | — | | | $ | — | | | $ | (113,882 | ) |
Futures contracts | | | (278,720 | ) | | | 62,365 | | | | — | | | | — | | | | (216,355 | ) |
Options contracts written | | | 31,807 | | | | 45,166 | | | | — | | | | — | | | | 76,973 | |
Swap contracts | | | 193,743 | | | | — | | | | (24,084 | ) | | | — | | | | 169,659 | |
Forward foreign currency contracts | | | — | | | | (137,020 | ) | | | — | | | | — | | | | (137,020 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (131,401 | ) | | $ | (65,140 | ) | | $ | (24,084 | ) | | $ | — | | | $ | (220,625 | ) |
| | | | | | | | | | | | | | | | | | | | |
International Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2018 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Purchased options (c) | | $ | 180 | | | $ | 17,615 | | | $ | — | | | $ | — | | | $ | 17,795 | |
Unrealized appreciation on open futures contracts (b) | | | 246,632 | | | | — | | | | — | | | | — | | | | 246,632 | |
Unrealized appreciation on forward foreign currency contracts (c) | | | — | | | | 2,065,016 | | | | — | | | | — | | | | 2,065,016 | |
Unrealized appreciation on centrally cleared swaps (f) | | | 2,169,684 | | | | — | | | | 492,501 | | | | — | | | | 2,662,185 | |
Unrealized appreciation on OTC swaps (c) | | | 5,346 | | | | 30,401 | | | | 6,647 | | | | — | | | | 42,394 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 2,421,842 | | | $ | 2,113,032 | | | $ | 499,148 | | | $ | — | | | $ | 5,034,022 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding (a) | | $ | 1,460 | | | $ | 49,437 | | | $ | 2,239 | | | $ | — | | | $ | 53,136 | |
Unrealized depreciation on open futures contracts (b) | | | 345,869 | | | | — | | | | — | | | | — | | | | 345,869 | |
Unrealized depreciation on forward foreign currency contracts (a) | | | — | | | | 1,558,188 | | | | — | | | | — | | | | 1,558,188 | |
Unrealized depreciation on centrally cleared swaps (f) | | | 707,464 | | | | — | | | | 11,617 | | | | — | | | | 719,081 | |
Unrealized depreciation on OTC swaps (a) | | | — | | | | — | | | | 33,957 | | | | — | | | | 33,957 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 1,054,793 | | | $ | 1,607,625 | | | $ | 47,813 | | | $ | — | | | $ | 2,710,231 | |
| | | | | | | | | | | | | | | | | | | | |
318
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2018 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | (79,611 | ) | | $ | 33,840 | | | $ | — | | | $ | — | | | $ | (45,771 | ) |
Futures contracts | | | (722,449 | ) | | | — | | | | — | | | | — | | | | (722,449 | ) |
Options contracts written | | | 70,116 | | | | 141,840 | | | | 14,797 | | | | — | | | | 226,753 | |
Swap contracts | | | 2,233,394 | | | | 2,207,413 | | | | (1,253,005 | ) | | | — | | | | 3,187,802 | |
Forward foreign currency contracts | | | — | | | | 962,438 | | | | — | | | | — | | | | 962,438 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 1,501,450 | | | $ | 3,345,531 | | | $ | (1,238,208 | ) | | $ | — | | | $ | 3,608,773 | |
| | | | | | | | | | | | | | | | | | | | |
Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | 88,856 | | | $ | (22,216 | ) | | $ | — | | | $ | — | | | $ | 66,640 | |
Futures contracts | | | (418,970 | ) | | | — | | | | — | | | | — | | | | (418,970 | ) |
Options contracts written | | | 2,371 | | | | (11,696 | ) | | | 6,617 | | | | — | | | | (2,708 | ) |
Swap contracts | | | 1,094,224 | | | | (847,589 | ) | | | 652,675 | | | | — | | | | 899,310 | |
Forward foreign currency contracts | | | — | | | | 1,770,554 | | | | — | | | | — | | | | 1,770,554 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 766,481 | | | $ | 889,053 | | | $ | 659,292 | | | $ | — | | | $ | 2,314,826 | |
| | | | | | | | | | | | | | | | | | | | |
Inflation-Linked Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2018 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | 137,574 | | | $ | — | | | $ | — | | | $ | — | | | $ | 137,574 | |
Unrealized appreciation on forward foreign currency contracts (c) | | | — | | | | 1,298,318 | | | | — | | | | — | | | | 1,298,318 | |
Unrealized appreciation on centrally cleared swaps (f) | | | 880,065 | | | | — | | | | 52,836 | | | | — | | | | 932,901 | |
Unrealized appreciation on OTC swaps (c) | | | — | | | | — | | | | 33,797 | | | | — | | | | 33,797 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 1,017,639 | | | $ | 1,298,318 | | | $ | 86,633 | | | $ | — | | | $ | 2,402,590 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding (a) | | $ | 15,439 | | | $ | 21,139 | | | $ | 2,332 | | | $ | — | | | $ | 38,910 | |
Unrealized depreciation on open futures contracts (b) | | | 37,767 | | | | — | | | | — | | | | — | | | | 37,767 | |
Unrealized depreciation on forward foreign currency contracts (a) | | | — | | | | 284,329 | | | | — | | | | — | | | | 284,329 | |
Unrealized depreciation on centrally cleared swaps (f) | | | 500,516 | | | | — | | | | 5,155 | | | | — | | | | 505,671 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 553,722 | | | $ | 305,468 | | | $ | 7,487 | | | $ | — | | | $ | 866,677 | |
| | | | | | | | | | | | | | | | | | | | |
319
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2018 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | (112,204 | ) | | $ | 3,107 | | | $ | — | | | $ | — | | | $ | (109,097 | ) |
Futures contracts | | | 501,767 | | | | — | | | | — | | | | — | | | | 501,767 | |
Options written | | | 231,178 | | | | 8,332 | | | | 14,197 | | | | — | | | | 253,707 | |
Swap contracts | | | 770,000 | | | | — | | | | (153,261 | ) | | | — | | | | 616,739 | |
Forward foreign currency contracts | | | — | | | | 667,981 | | | | — | | | | — | | | | 667,981 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 1,390,741 | | | $ | 679,420 | | | $ | (139,064 | ) | | $ | — | | | $ | 1,931,097 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | 44,925 | | | $ | — | | | $ | — | | | $ | — | | | $ | 44,925 | |
Futures contracts | | | 71,120 | | | | — | | | | — | | | | — | | | | 71,120 | |
Options contracts written | | | 13,128 | | | | (8,719 | ) | | | 2,662 | | | | — | | | | 7,071 | |
Swap contracts | | | 113,340 | | | | — | | | | 70,300 | | | | — | | | | 183,640 | |
Forward foreign currency contracts | | | — | | | | 1,621,443 | | | | — | | | | — | | | | 1,621,443 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 242,513 | | | $ | 1,612,724 | | | $ | 72,962 | | | $ | — | | | $ | 1,928,199 | |
| | | | | | | | | | | | | | | | | | | | |
Ultra-Short Term Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2018 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | 406,825 | | | $ | — | | | $ | — | | | $ | — | | | $ | 406,825 | |
Unrealized appreciation on forward foreign currency contracts (c) | | | — | | | | 177,693 | | | | — | | | | — | | | | 177,693 | |
Unrealized appreciation on centrally cleared swaps (f) | | | 5,983 | | | | — | | | | — | | | | — | | | | 5,983 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 412,808 | | | $ | 177,693 | | | $ | — | | | $ | — | | | $ | 590,501 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on open futures contracts (b) | | $ | 223,980 | | | $ | — | | | $ | — | | | $ | — | | | $ | 223,980 | |
Unrealized depreciation on forward foreign currency contracts (a) | | | — | | | | 152,813 | | | | — | | | | — | | | | 152,813 | |
Unrealized depreciation on centrally cleared swaps (f) | | | — | | | | — | | | | 32,966 | | | | — | | | | 32,966 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 223,980 | | | $ | 152,813 | | | $ | 32,966 | | | $ | — | | | $ | 409,759 | |
| | | | | | | | | | | | | | | | | | | | |
320
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2018 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | 1,595,336 | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,595,336 | |
Swap contracts | | | (35,638 | ) | | | — | | | | (235,056 | ) | | | — | | | | (270,694 | ) |
Forward foreign currency contracts | | | — | | | | 1,090,478 | | | | — | | | | — | | | | 1,090,478 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 1,559,698 | | | $ | 1,090,478 | | | $ | (235,056 | ) | | $ | — | | | $ | 2,415,120 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | 143,852 | | | $ | — | | | $ | — | | | $ | — | | | $ | 143,852 | |
Swap contracts | | | 333,298 | | | | — | | | | 17,426 | | | | — | | | | 350,724 | |
Forward foreign currency contracts | | | — | | | | (156,782 | ) | | | — | | | | — | | | | (156,782 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 477,150 | | | $ | (156,782 | ) | | $ | 17,426 | | | $ | — | | | $ | 337,794 | |
| | | | | | | | | | | | | | | | | | | | |
| (a) | Statements of Assets and Liabilities location: Unrealized depreciation on open forward foreign currency contracts, unrealized depreciation on OTC 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 exchanged-traded 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 OTC swap contracts. |
| (d) | Statements of Operations location: Net realized gain (loss) from investments, forward foreign currency contracts, futures contracts, options contracts written or swap contracts. |
| (e) | Statements of Operations location: Change in net unrealized appreciation (depreciation) from investments, forward foreign currency contracts, 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 tables in the Fund’s Schedule of Investments. |
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 ended August 31, 2018 were as follows:
Large Cap Equity Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 8,412,576 | |
Small-Mid Cap Equity Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 2,996,979 | |
International Equity Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 2,027,494 | |
Forward foreign currency contracts | | | — | | | | 12,935 | | | | — | | | | — | |
321
| | |
| | | |
| Notes to Financial Statements | | |
Emerging Markets Equity Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 1,770,426 | |
Core Fixed Income Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Purchased options | | $ | 144,875 | | | $ | 76,602 | | | $ | — | | | $ | — | |
Futures contracts | | | 352,108,045 | | | | 897,858 | | | | — | | | | — | |
Option contracts written | | | 102,090 | | | | 10,920 | | | | — | | | | — | |
Swap contracts | | | 30,017,316 | | | | — | | | | 983,077 | | | | — | |
Forward foreign currency contracts | | | — | | | | 38,233,447 | | | | — | | | | — | |
International Fixed Income Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Purchased options | | $ | 2,234 | | | $ | 50,646 | | | $ | — | | | $ | — | |
Futures contracts | | | 272,559,482 | | | | — | | | | — | | | | — | |
Option contracts written | | | 11,821 | | | | 47,730 | | | | 4,589 | | | | — | |
Swap contracts | | | 403,401,817 | | | | 30,195,698 | | | | 90,293,193 | | | | — | |
Forward foreign currency contracts | | | — | | | | 241,945,723 | | | | — | | | | — | |
Inflation-Linked Fixed Income Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Purchased options | | $ | 57,886 | | | $ | 567 | | | $ | — | | | $ | — | |
Futures contracts | | | 63,395,258 | | | | — | | | | — | | | | — | |
Option contracts written | | | 29,753 | | | | 3,106 | | | | 1,962 | | | | — | |
Swap contracts | | | 92,965,465 | | | | — | | | | 4,272,364 | | | | — | |
Forward foreign currency contracts | | | — | | | | 51,515,227 | | | | — | | | | — | |
Ultra-Short Term Fixed Income Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | 725,444,214 | | | $ | — | | | $ | — | | | $ | — | |
Swap contracts | | | 770,337,968 | | | | — | | | | 6,892,308 | | | | — | |
Forward foreign currency contracts | | | — | | | | 61,241,796 | | | | — | | | | — | |
(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.
322
| | |
| | | |
| Notes to Financial Statements | | |
(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(x).
The following table presents securities on loan that are subject to enforceable netting arrangements as of August 31, 2018:
Gross Amounts Not Offset in the Statements of Assets and Liabilities
| | | | | | | | | | | | | | | | |
| Fund | | Gross Asset Amount
Presented in the Statements
of Assets and Liabilities (a) | | | Financial
Instrument | | | Collateral
Received (b)(c) | | | Net Amount
(Not less than $0) | |
Large Cap Equity Fund | | $ | 6,194,283 | | | $ | — | | | $ | (6,194,283 | ) | | $ | — | |
Small-Mid Cap Equity Fund | | | 30,292,221 | | | | — | | | | (30,292,221 | ) | | | — | |
International Equity Fund | | | 12,101,303 | | | | — | | | | (12,101,303 | ) | | | — | |
Emerging Markets Equity Fund | | | 5,922,201 | | | | — | | | | (5,922,201 | ) | | | — | |
Core Fixed Income Fund | | | 262,867 | | | | — | | | | (262,867 | ) | | | — | |
High Yield Fund | | | 123,943 | | | | — | | | | (123,943 | ) | | | — | |
| (a) | Represents market value of securities on loan at period end. |
| (b) | The Funds received cash collateral of $6,403,240, $30,809,461, $12,790,871, $6,554,643, $278,108 and $130,211, 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. |
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.
323
| | |
| | | |
| Notes to Financial Statements | | |
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, 2018:
| | | | | | | | | | | | | | | | | | | | |
| | | Remaining Contractual Maturity of the Agreements
As of August 31, 2018 | |
| | | Overnight and
Continuous | | | < 30 days | | | Between 30 & 90
days | | | > 90 days | | | Total | |
| Large Cap Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 6,403,240 | | | $ | — | | | $ | — | | | $ | — | | | $ | 6,403,240 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 6,403,240 | | | $ | — | | | $ | — | | | $ | — | | | $ | 6,403,240 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 6,403,240 | |
| | | | | | | | | | | | | |
| | | | | |
| Small-Mid Cap Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 30,809,461 | | | $ | — | | | $ | — | | | $ | — | | | $ | 30,809,461 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 30,809,461 | | | $ | — | | | $ | — | | | $ | — | | | $ | 30,809,461 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 30,809,461 | |
| | | | | | | | | | | | | |
| | | | | |
| International Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 12,790,871 | | | $ | — | | | $ | — | | | $ | — | | | $ | 12,790,871 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 12,790,871 | | | $ | — | | | $ | — | | | $ | — | | | $ | 12,790,871 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 12,790,871 | |
| | | | | | | | | | | | | |
| | | | | |
| Emerging Markets Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 6,554,643 | | | $ | — | | | $ | — | | | $ | — | | | $ | 6,554,643 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 6,554,643 | | | $ | — | | | $ | — | | | $ | — | | | $ | 6,554,643 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 6,554,643 | |
| | | | | | | | | | | | | |
| | | | | |
| Core Fixed Income Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Corporate Security | | $ | 278,108 | | | $ | — | | | $ | — | | | $ | — | | | $ | 278,108 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 278,108 | | | $ | — | | | $ | — | | | $ | — | | | $ | 278,108 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 278,108 | |
| | | | | | | | | | | | | |
| | | | | |
| High Yield Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Corporate Securities | | $ | — | | | $ | — | | | $ | — | | | $ | 130,211 | | | $ | 130,211 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | — | | | $ | — | | | $ | — | | | $ | 130,211 | | | $ | 130,211 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 130,211 | |
| | | | | | | | | | | | | |
| | | | | |
| International Fixed Income Fund | | | | | | | | | | | | | | | | | | | | |
| Reverse Repurchase Agreements Transactions | | | | | | | | | | | | | | | | | |
Sovereign Bonds | | $ | — | | | $ | — | | | $ | 6,693,100 | | | $ | — | | | $ | 6,693,100 | |
U.S. Government Obligations | | | — | | | | 3,181,375 | | | | 4,484,904 | | | | — | | | | 7,666,279 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | — | | | $ | 3,181,375 | | | $ | 11,178,004 | | | $ | — | | | $ | 14,359,379 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for reverse repurchase agreements transactions | | | $ | 14,359,379 | |
| | | | | | | | | | | | | |
324
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Remaining Contractual Maturity of the Agreements
As of August 31, 2018 | |
| | | Overnight and
Continuous | | | < 30 days | | | Between 30 & 90
days | | | > 90 days | | | Total | |
| Inflation-Linked Fixed Income Fund | | | | | | | | | | | | | | | | | | | | |
| Reverse Repurchase Agreements Transactions | | | | | | | | | | | | | | | | | |
U.S. Government Obligations | | $ | — | | | $ | 10,850,875 | | | $ | 31,106,704 | | | $ | — | | | $ | 41,957,579 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | — | | | $ | 10,850,875 | | | $ | 31,106,704 | | | $ | — | | | $ | 41,957,579 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for reverse repurchase agreements transactions | | | $ | 41,957,579 | |
| | | | | | | | | | | | | |
(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 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.
325
| | |
| | | |
| Notes to Financial Statements | | |
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. Interest and dividend income payable by delivery of additional shares is reclassified as PIK (payment-in-kind) income upon receipt, if any, and is included in interest and dividend income, respectively. 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.
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.
326
| | |
| | | |
| Notes to Financial Statements | | |
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, International Fixed Income Fund and Alternative Strategies 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 2017 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),(g),(h),(f),(j) | | $ | (906,331 | ) | | $ | (19,528,994 | ) | | $ | 20,435,325 | |
Small-Mid Cap Equity Fund | | (a),(c),(h),(f),(j) | | | (516,106 | ) | | | (21,091,180 | ) | | | 21,607,286 | |
International Equity Fund | | (c),(g),(i),(f) | | | 46,002 | | | | 234,700,049 | | | | (234,746,051 | ) |
Emerging Markets Equity Fund | | (c),(g) | | | (440,766 | ) | | | 440,766 | | | | — | |
Core Fixed Income Fund | | (d),(e),(g),(k) | | | 2,239,932 | | | | (1,620,021 | ) | | | (619,911 | ) |
High Yield Fund | | (d),(i),(f) | | | 213,814 | | | | 5,458,377 | | | | (5,672,191 | ) |
International Fixed Income Fund | | (d),(g),(i),(k) | | | 876,730 | | | | 3,415,715 | | | | (4,292,445 | ) |
Municipal Bond Fund | | | | | — | | | | — | | | | — | |
Inflation-Linked Fixed Income Fund | | (d),(g),(k) | | | 960,626 | | | | (960,626 | ) | | | — | |
Ultra-Short Term Fixed Income Fund | | (d),(g),(k) | | | 2,405,095 | | | | (2,405,095 | ) | | | — | |
Alternative Strategies Fund | | (b) | | | 16,932 | | | | — | | | | (16,932 | ) |
| (a) | Reclassifications are primarily due to book/tax differences in the treatment of distributions from real estate investment trusts. |
| (b) | Reclassifications are primarily due to a tax net operating loss. |
| (c) | Reclassifications are primarily due to 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 partnership sales 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. |
| (i) | Reclassifications are primarily due to expiration of capital loss carryforward. |
| (j) | Reclassifications are primarily due to treatment of ROC dividends received. |
| (k) | Reclassifications are primarily due to derivatives treated as ordinary income for tax purposes. |
(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).
327
| | |
| | | |
| Notes to Financial Statements | | |
(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) Offering costs. Offering costs are incurred in connection with launching of new funds. These offering costs are accounted for as deferred charges and are being amortized to expense over 12 months on a straight line basis.
(w) 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.
In connection with bank loan interests, the Fund may enter into unfunded bank loan interests (“commitments”). Unfunded loan commitments may be partially or wholly unfunded. The fund is obligated to fund those commitments at borrower’s discretion. In connection with these commitments, the Fund earns a commitment fee, which is included in interest income in the Statement of Operations and recognized respectively over the commitment period. As of August 31, 2018, the Fund had no unfunded loan commitments.
(x) 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 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.
328
| | |
| | | |
| Notes to Financial Statements | | |
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, 2018 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, 2018 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, 2018.
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, 2018:
| | | | | | | | |
| | | 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 | | $ | 219,939 | | | $ | 770,285 | |
Options contracts | | | 32,548 | (b) | | | 16,593 | |
Swap contracts | | | — | | | | 13,177 | |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 252,487 | | | $ | 800,055 | |
| | | | | | | | |
| International Fixed Income Fund: | | | | | | | | |
Forward foreign currency contracts | | $ | 2,065,016 | | | $ | 1,558,188 | |
Options contracts | | | 17,615 | (b) | | | 53,136 | |
Swap contracts | | | 42,394 | | | | 33,957 | |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 2,125,025 | | | $ | 1,645,281 | |
| | | | | | | | |
| Inflation-Linked Fixed Income Fund: | | | | | | | | |
Forward foreign currency contracts | | $ | 1,298,318 | | | $ | 284,329 | |
Options contracts | | | — | | | | 26,573 | |
Swap contracts | | | 33,797 | | | | — | |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 1,332,115 | | | $ | 310,902 | |
| | | | | | | | |
| Ultra-Short Term Fixed Income Fund: | | | | | | | | |
Forward foreign currency contracts | | $ | 177,693 | | | $ | 152,813 | |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 177,693 | | | $ | 152,813 | |
| | | | | | | | |
| (a) | Excludes exchange-traded derivatives. |
| (b) | Amounts are included in Unaffiliated Investments in the Statements of Assets and Liabilities. |
329
| | |
| | | |
| Notes to Financial Statements | | |
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, 2018:
| | | | | | | | | | | | | | | | |
| 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 | | | | | | | | | | | | | | | | |
Citigroup Global Markets Inc. | | $ | 226,691 | | | $ | (226,691 | ) | | $ | — | | | $ | — | |
Goldman Sachs & Co. | | | 25,796 | | | | (25,796 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 252,487 | | | $ | (252,487 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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 | | | | | | | | | | | | | | | | |
Citigroup Global Markets Inc. | | $ | 767,578 | | | $ | (226,691 | ) | | $ | — | | | $ | 540,887 | |
Goldman Sachs & Co. | | | 32,477 | | | | (25,796 | ) | | | — | | | | 6,681 | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 800,055 | | | $ | (252,487 | ) | | $ | — | | | $ | 547,568 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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 | | $ | 466,187 | | | $ | (242,354 | ) | | $ | — | | | $ | 223,833 | |
Barclays Bank PLC | | | 7,370 | | | | (7,370 | ) | | | — | | | | — | |
BNP Paribas SA | | | 141,493 | | | | (141,493 | ) | | | — | | | | — | |
Deutsche Bank AG | | | 82,915 | | | | (41,014 | ) | | | (20,000 | ) | | | 21,901 | |
Goldman Sachs & Co. | | | 35,082 | | | | (35,082 | ) | | | — | | | | — | |
HSBC Bank USA | | | 375,299 | | | | (375,299 | ) | | | — | | | | — | |
JPMorgan Chase & Co. | | | 479,060 | | | | (96,996 | ) | | | (300,000 | ) | | | 82,064 | |
Royal Bank of Scotland PLC | | | 131,874 | | | | (39,379 | ) | | | — | | | | 92,495 | |
Societe Generale SA | | | 100,493 | | | | (100,493 | ) | | | — | | | | — | |
Standard Chartered Bank | | | 305,044 | | | | (14,156 | ) | | | (230,000 | ) | | | 60,888 | |
UBS Securities LLC | | | 208 | | | | (208 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 2,125,025 | | | $ | (1,093,844 | ) | | $ | (550,000 | ) | | $ | 481,181 | |
| | | | | | | | | | | | | | | | |
330
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| 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 | | $ | 242,354 | | | $ | (242,354 | ) | | $ | — | | | $ | — | |
Barclays Bank PLC | | | 157,277 | | | | (7,370 | ) | | | — | | | | 149,907 | |
BNP Paribas SA | | | 186,936 | | | | (141,493 | ) | | | — | | | | 45,443 | |
Deutsche Bank AG | | | 41,014 | | | | (41,014 | ) | | | — | | | | — | |
Goldman Sachs & Co. | | | 40,831 | | | | (35,082 | ) | | | — | | | | 5,749 | |
HSBC Bank USA | | | 659,028 | | | | (375,299 | ) | | | — | | | | 283,729 | |
JPMorgan Chase & Co. | | | 96,996 | | | | (96,996 | ) | | | — | | | | — | |
Royal Bank of Scotland PLC | | | 39,379 | | | | (39,379 | ) | | | — | | | | — | |
Societe Generale SA | | | 104,699 | | | | (100,493 | ) | | | — | | | | 4,206 | |
Standard Chartered Bank | | | 14,156 | | | | (14,156 | ) | | | — | | | | — | |
UBS Securities LLC | | | 62,611 | | | | (208 | ) | | | — | | | | 62,403 | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 1,645,281 | | | $ | (1,093,844 | ) | | $ | — | | | $ | 551,437 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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 | | $ | 54,872 | | | $ | (44,359 | ) | | $ | — | | | $ | 10,513 | |
BNP Paribas SA | | | 438,280 | | | | (90,768 | ) | | | (280,000 | ) | | | 67,512 | |
Deutsche Bank AG | | | 5,241 | | | | (3,102 | ) | | | (2,139 | ) | | | — | |
HSBC Bank USA | | | 219,283 | | | | (102,362 | ) | | | (80,000 | ) | | | 36,921 | |
JPMorgan Chase & Co. | | | 332,026 | | | | (46,079 | ) | | | (285,947 | ) | | | — | |
Merrill Lynch, Pierce, Fenner & Smith Inc. | | | 59,157 | | | | (23,108 | ) | | | — | | | | 36,049 | |
Standard Chartered Bank | | | 223,256 | | | | (1,124 | ) | | | (222,132 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 1,332,115 | | | $ | (310,902 | ) | | $ | (870,218 | ) | | $ | 150,995 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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 | | $ | 44,359 | | | $ | (44,359 | ) | | $ | — | | | $ | — | |
BNP Paribas SA | | | 90,768 | | | | (90,768 | ) | | | — | | | | — | |
Deutsche Bank AG | | | 3,102 | | | | (3,102 | ) | | | — | | | | — | |
HSBC Bank USA | | | 102,362 | | | | (102,362 | ) | | | — | | | | — | |
JPMorgan Chase & Co. | | | 46,079 | | | | (46,079 | ) | | | — | | | | — | |
Merrill Lynch, Pierce, Fenner & Smith Inc. | | | 23,108 | | | | (23,108 | ) | | | — | | | | — | |
Standard Chartered Bank | | | 1,124 | | | | (1,124 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 310,902 | | | $ | (310,902 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
331
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| 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 | | | | | | | | | | | | | | | | |
Barclays Bank PLC | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
BNP Paribas SA | | | 15,251 | | | | — | | | | — | | | | 15,251 | |
HSBC Bank USA | | | 73,090 | | | | (468 | ) | | | (60,000 | ) | | | 12,622 | |
JPMorgan Chase & Co. | | | 78,894 | | | | (894 | ) | | | (60,000 | ) | | | 18,000 | |
Standard Chartered Bank | | | 10,458 | | | | (10,458 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 177,693 | | | $ | (11,820 | ) | | $ | (120,000 | ) | | $ | 45,873 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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 | | | | | | | | | | | | | | | | |
Barclays Bank PLC | | $ | 77,904 | | | $ | — | | | $ | — | | | $ | 77,904 | |
BNP Paribas SA | | | — | | | | — | | | | — | | | | — | |
HSBC Bank USA | | | 468 | | | | (468 | ) | | | — | | | | — | |
JPMorgan Chase & Co. | | | 894 | | | | (894 | ) | | | — | | | | — | |
Standard Chartered Bank | | | 73,547 | | | | (10,458 | ) | | | — | | | | 63,089 | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 152,813 | | | $ | (11,820 | ) | | $ | — | | | $ | 140,993 | |
| | | | | | | | | | | | | | | | |
| (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, 2018, 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 the total amount of sub-advisory fees paid by CGAS plus 0.20% based on average net assets. This contractual waiver will only apply if the Fund’s total management fees exceed the total amount of sub-advisory fees paid by CGAS plus 0.20%, and will not affect the Fund’s total management fees if they are less than such amount. This fee waiver and reimbursement agreement shall remain in effect until January 1, 2019. The agreement may be amended or terminated only with the consent of the Board of Trustees.
332
| | |
| | | |
| Notes to Financial Statements | | |
In addition, for Alternative Strategies Fund, CGAS and its affiliates have also separately agreed to waive fees and reimburse expenses in order to keep the Fund’s total annual operating expenses (exclusive of interest from borrowing, brokerage commissions, taxes, acquired fund fees and expenses, and other extraordinary expenses not incurred in the ordinary course of the Fund’s business) from exceeding 1.95%. The contractual waiver arrangement shall remain in effect until January 1, 2019 and may be amended or terminated only with consent of the Board of Trustees.
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 ended August 31, 2018 are indicated below:
| | | | | | | | | | | | |
| Fund | | Sub-advisory
Fee | | | Consulting Group
Advisory Services LLC
Fee | | | Maximum
Allowable Annual
Management Fee | |
Large Cap Equity Fund | | | 0.19 | % | | | 0.20 | % | | | 0.60 | % |
Small-Mid Cap Equity Fund | | | 0.29 | % | | | 0.20 | % | | | 0.80 | % |
International Equity Fund | | | 0.33 | % | | | 0.20 | % | | | 0.70 | % |
Emerging Markets Equity Fund | | | 0.39 | % | | | 0.20 | % | | | 0.90 | % |
Core Fixed Income Fund | | | 0.18 | % | | | 0.20 | % | | | 0.40 | % |
High Yield Fund | | | 0.30 | % | | | 0.20 | % | | | 0.70 | % |
International Fixed Income Fund | | | 0.25 | % | | | 0.20 | % | | | 0.50 | % |
Municipal Bond Fund | | | 0.20 | % | | | 0.20 | % | | | 0.40 | % |
Inflation-Linked Fixed Income Fund | | | 0.25 | % | | | 0.20 | % | | | 0.50 | % |
Ultra-Short Term Fixed Income Fund | | | 0.25 | % | | | 0.20 | % | | | 0.50 | % |
Alternative Strategies Fund | | | N/A | | | | 0.20 | % | | | 1.20 | % |
The Manager has agreed to waive and/or reimburse a portion of its fee. For the year ended August 31, 2018, the amounts waived and/or reimbursed by the Manager were as follows:
| | | | |
| Fund | | Amounts waived
and/or reimbursed | |
Large Cap Equity Fund | | $ | 3,555,083 | |
Small-Mid Cap Equity Fund | | | 1,942,592 | |
International Equity Fund | | | 2,572,643 | |
Emerging Markets Equity Fund | | | 1,566,066 | |
Core Fixed Income Fund | | | 148,583 | |
High Yield Fund | | | 209,610 | |
International Fixed Income Fund | | | 75,449 | |
Municipal Bond Fund | | | — | |
Inflation-Linked Fixed Income Fund | | | 109,157 | |
Ultra-Short Term Fixed Income Fund | | | 183,521 | |
Alternative Strategies Fund | | | 89,043 | |
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.
333
| | |
| | | |
| Notes to Financial Statements | | |
For the year ended August 31, 2018, 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 | | Commission
Dollars to MS&Co. | |
Large Cap Equity Fund | | $ | 3,393 | |
Small-Mid Cap Equity Fund | | | 467 | |
International Equity Fund | | | 4,636 | |
Emerging Markets Equity Fund | | | 2,302 | |
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 | | | — | |
Alternative Strategies 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 ended August 31, 2018, the Funds assume the following to be affiliated issuers:
Large Cap Equity Fund
| | | | | | | | | | | | | | | | |
| Underlying Security | | Number of Shares Held
at August 31, 2017 | | | Shares Purchased | | | Shares Sold | | | Number of Shares Held
at August 31, 2018 | |
Morgan Stanley | | | 47,955 | | | | — | | | | (9,076 | ) | | | 38,879 | |
| | | | |
| Underlying Security | | Net Realized Gain/(Loss)
on Sales of Affiliated
Investment | | | Net Increase/Decrease in
Unrealized
Appreciation/(Depreciation) | | | Dividend/Interest
Income from Affiliated
Investments | | | Ending Value as of
August 31, 2018 | |
Morgan Stanley | | $ | 258,601 | | | $ | (64,224 | ) | | $ | 46,678 | | | $ | 1,898,462 | |
Core Fixed Income Fund
| | | | | | | | | | | | | | | | |
| Underlying Security | | Face Amount Held at
August 31, 2017 | | | Face Amount
Purchased | | | Face Amount
Sold | | | Face Amount Held at
August 31, 2018 | |
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 | |
Series 2014-C16, Class A5, 3.892% due 6/15/47 | | | 370,000 | | | | — | | | | (370,000 | ) | | | — | |
Series 2015-C27, Class A4, 3.753% due 12/15/47 | | | — | | | | 540,000 | | | | — | | | | 540,000 | |
Series 2016-C30, Class C, 4.267% due 9/15/49 | | | 260,000 | | | | — | | | | — | | | | 260,000 | |
| | | | | | | | | | | | | | | | |
| Underlying Security | | Net Realized
Gain/(Loss) on
Sales of Affiliated
Investment | | | Net Increase/Decrease
in Unrealized
Apprecation/
(Deprecation) | | | Dividend/Interest
Income from
Affiliated
Investments | | | Ending Value as of
August 31, 2018 | |
Morgan Stanley Bank of America Merrill Lynch Trust: | | | | | | | | | | | | | | | | |
Series 2013-C10, Class A4, 4.219% due 7/15/46 | | $ | — | | | $ | (1,688 | ) | | $ | 1,242 | | | $ | 31,020 | |
Series 2013-C13, Class A4, 4.039% due 11/15/46 | | | — | | | | (26,278 | ) | | | 20,195 | | | | 515,213 | |
Series 2014-C16, Class A5, 3.892% due 6/15/47 | | | (11,122 | ) | | | (7,542 | ) | | | 10,620 | | | | — | |
Series 2015-C27, Class A4, 3.753% due 12/15/47 | | | — | | | | (1,628 | ) | | | 8,163 | | | | 546,831 | |
Series 2016-C30, Class C, 4.267% due 9/15/49 | | | — | | | | (11,102 | ) | | | 10,991 | | | | 253,948 | |
| | | | | | | | | | | | | | | | |
| | $ | (11,122 | ) | | $ | (48,238 | ) | | $ | 51,211 | | | $ | 1,347,012 | |
| | | | | | | | | | | | | | | | |
334
| | |
| | | |
| Notes to Financial Statements | | |
3. Investments
During the year ended August 31, 2018, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) for each Fund were as follows:
| | | | | | | | | | | | | | | | |
| | | Other Investments | | �� | U.S. Government Securities | |
| Fund | | Purchases | | | Sales | | | Purchases | | | Sales | |
Large Cap Equity Fund | | $ | 481,775,068 | | | $ | 692,480,120 | | | $ | — | | | $ | — | |
Small-Mid Cap Equity Fund | | | 206,230,879 | | | | 465,386,863 | | | | — | | | | — | |
International Equity Fund | | | 1,014,512,867 | | | | 592,650,854 | | | | — | | | | — | |
Emerging Markets Equity Fund | | | 158,689,330 | | | | 119,256,166 | | | | — | | | | — | |
Core Fixed Income Fund | | | 266,643,132 | | | | 148,075,503 | | | | 1,885,411,223 | | | | 1,811,759,022 | |
High Yield Fund | | | 57,403,832 | | | | 163,159,927 | | | | — | | | | — | |
International Fixed Income Fund | | | 26,885,676 | | | | 42,946,161 | | | | 293,276,012 | | | | 277,527,870 | |
Municipal Bond Fund | | | 18,336,055 | | | | 10,218,605 | | | | — | | | | — | |
Inflation-Linked Fixed Income Fund | | | 30,666,780 | | | | 23,828,158 | | | | 202,691,671 | | | | 171,419,338 | |
Ultra-Short Term Fixed Income Fund | | | 286,875,976 | | | | 116,206,696 | | | | 359,052,980 | | | | 291,569,761 | |
Alternative Strategies Fund* | | | 5,353,956 | | | | 267,146 | | | | — | | | | — | |
| * | The values shown represent the period from Fund’s inception (February 15, 2018) through the period ended August 31, 2018. |
The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation at August 31, 2018 have been disclosed under respective schedules of investments.
4. Shares of Beneficial Interest
At August 31, 2018, 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, 2018, Trustees and executive officers of the Trust as a group owned of record less than 1% of the outstanding shares of the Trust.
Transactions in shares of each Fund were as follows:
| | | | | | | | |
| | | Year Ended
August 31,
2018 | | | Year Ended
August 31,
2017 | |
| Large Cap Equity Fund | | | | | | | | |
Shares sold | | | 11,076,982 | | | | 10,239,844 | |
Shares issued on reinvestment | | | 4,143,088 | | | | 3,438,631 | |
Shares repurchased | | | (23,631,636 | ) | | | (23,968,960 | ) |
| | | | | | | | |
Net Decrease | | | (8,411,566 | ) | | | (10,290,485 | ) |
| | | | | | | | |
| | |
| Small-Mid Cap Equity Fund | | | | | | | | |
Shares sold | | | 4,940,362 | | | | 12,490,360 | |
Shares issued on reinvestment | | | 1,203,655 | | | | 538,169 | |
Shares repurchased | | | (18,092,183 | ) | | | (5,822,094 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | (11,948,166 | ) | | | 7,206,435 | |
| | | | | | | | |
| | |
| International Equity Fund | | | | | | | | |
Shares sold | | | 44,922,283 | | | | 19,104,418 | |
Shares issued on reinvestment | | | 1,716,459 | | | | 2,848,674 | |
Shares repurchased | | | (14,884,624 | ) | | | (24,719,549 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | 31,754,118 | | | | (2,766,457 | ) |
| | | | | | | | |
335
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | |
| | | Year Ended
August 31,
2018 | | | Year Ended
August 31,
2017 | |
| Emerging Markets Equity Fund | | | | | | | | |
Shares sold | | | 8,424,930 | | | | 5,307,615 | |
Shares issued on reinvestment | | | 423,141 | | | | 368,792 | |
Shares repurchased | | | (5,837,311 | ) | | | (8,488,492 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | 3,010,760 | | | | (2,812,085 | ) |
| | | | | | | | |
| | |
| Core Fixed Income Fund | | | | | | | | |
Shares sold | | | 37,804,916 | | | | 21,671,540 | |
Shares issued on reinvestment | | | 2,763,385 | | | | 3,247,125 | |
Shares repurchased | | | (16,979,802 | ) | | | (24,056,455 | ) |
| | | | | | | | |
Net Increase | | | 23,588,499 | | | | 862,210 | |
| | | | | | | | |
| | |
| High Yield Fund | | | | | | | | |
Shares sold | | | 6,782,714 | | | | 11,119,443 | |
Shares issued on reinvestment | | | 1,489,503 | | | | 4,810,676 | |
Shares repurchased | | | (37,539,894 | ) | | | (57,107,868 | ) |
| | | | | | | | |
Net Decrease | | | (29,267,677 | ) | | | (41,177,749 | ) |
| | | | | | | | |
| | |
| International Fixed Income Fund | | | | | | | | |
Shares sold | | | 3,348,481 | | | | 3,704,785 | |
Shares issued on reinvestment | | | 226,162 | | | | 259,637 | |
Shares repurchased | | | (4,172,975 | ) | | | (9,561,088 | ) |
| | | | | | | | |
Net Decrease | | | (598,332 | ) | | | (5,596,666 | ) |
| | | | | | | | |
| Municipal Bond Fund | | | | | | | | |
Shares sold | | | 1,560,276 | | | | 862,126 | |
Shares issued on reinvestment | | | 172,186 | | | | 373,740 | |
Shares repurchased | | | (929,360 | ) | | | (2,026,878 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | 803,102 | | | | (791,012 | ) |
| | | | | | | | |
| | |
| Inflation-Linked Fixed Income Fund | | | | | | | | |
Shares sold | | | 9,202,089 | | | | 6,445,325 | |
Shares issued on reinvestment | | | 781,432 | | | | 424,881 | |
Shares repurchased | | | (4,379,797 | ) | | | (3,525,171 | ) |
| | | | | | | | |
Net Increase | | | 5,603,724 | | | | 3,345,035 | |
| | | | | | | | |
| | |
| Ultra-Short Term Fixed Income Fund | | | | | | | | |
Shares sold | | | 27,474,090 | | | | 15,328,794 | |
Shares issued on reinvestment | | | 846,293 | | | | 403,890 | |
Shares repurchased | | | (5,073,901 | ) | | | (4,365,657 | ) |
| | | | | | | | |
Net Increase | | | 23,246,482 | | | | 11,367,027 | |
| | | | | | | | |
336
| | |
| | | |
| Notes to Financial Statements | | |
| | | | |
| | | Period Ended
August 31,
2018* | |
| Alternative Strategies Fund | | | | |
Shares sold | | | 593,287 | |
Shares issued on reinvestment | | | — | |
Shares repurchased | | | (13,313 | ) |
| | | | |
Net Increase | | | 579,974 | |
| | | | |
| * | The values shown represent the period from Fund’s inception (February 15, 2018) through the period ended August 31, 2018. |
5. Dividend and Tax Components of Capital
The tax character of distributions paid during the fiscal year ended August 31, 2018 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 | | | 21,359,060 | | | | 11,697,628 | | | | 21,730,393 | | | | 6,507,933 | |
Net Long-Term Capital Gains | | | 57,775,877 | | | | 12,977,392 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Distributions Paid | | $ | 79,134,937 | | | $ | 24,675,020 | | | $ | 21,730,393 | | | $ | 6,507,933 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | Core Fixed
Income Fund | | | High Yield
Fund | | | International
Fixed Income
Fund | | | Municipal
Bond
Fund | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Tax Exempt | | $ | — | | | $ | — | | | $ | — | | | $ | 1,554,118 | |
Tax Return of Capital | | | 619,911 | | | | — | | | | — | | | | — | |
Ordinary Income | | | 21,361,519 | | | | 5,677,244 | | | | 1,759,541 | | | | 27,031 | |
Net Long-Term Capital Gains | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Distributions Paid | | $ | 21,981,430 | | | $ | 5,677,244 | | | $ | 1,759,541 | | | $ | 1,581,149 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | Inflation-Linked
Fixed Income
Fund | | | Ultra-Short
Term Fixed
Income Fund | | | Alternative
Strategies
Fund | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Tax Exempt | | | $ | — | | | $ | — | | | $ | — | |
Tax Return of Capital | | | | — | | | | — | | | | — | |
Ordinary Income | | | | 7,721,464 | | | | 8,446,300 | | | | — | |
Net Long-Term Capital Gains | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | |
Total Distributions Paid | | | $ | 7,721,464 | | | $ | 8,446,300 | | | $ | — | |
| | | | | | | | | | | | | |
337
| | |
| | | |
| Notes to Financial Statements | | |
As of August 31, 2018, 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 | | $ | 33,549,409 | | | $ | 28,001,865 | | | $ | 31,324,281 | | | $ | 6,153,503 | |
Undistributed long-term capital gains - net | | | 128,983,202 | | | | 33,097,022 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total undistributed earnings | | | 162,532,611 | | | | 61,098,887 | | | | 31,324,281 | | | | 6,153,503 | |
Capital loss carryforward | | | — | | | | — | | | | (1,208,681 | ) | | | (33,217,603 | ) |
Other book/tax temporary differences | | | (13,231,108 | )(a) | | | (7,005,103 | )(a) | | | (21,363,624 | )(a) | | | (11,616,705 | )(a) |
Unrealized appreciation (depreciation) | | | 575,696,059 | | | | 148,103,678 | | | | 139,407,448 | | | | 67,662,430 | |
| | | | | | | | | | | | | | | | |
Total accumulated earnings/(losses) - net | | $ | 724,997,562 | | | $ | 202,197,462 | | | $ | 148,159,424 | | | $ | 28,981,625 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | Core Fixed
Income Fund | | | High Yield
Fund | | | International
Fixed Income
Fund | | | Municipal
Bond
Fund | |
Undistributed ordinary income - net | | $ | — | | | $ | 1,166,148 | | | $ | 4,871,253 | | | $ | — | |
Undistributed long-term capital gains - net | | | — | | | | — | | | | — | | | | 178,929 | |
Undistributed tax exempt income - net | | | — | | | | — | | | | — | | | | 421,216 | |
| | | | | | | | | | | | | | | | |
Total undistributed earnings | | | — | | | | 1,166,148 | | | | 4,871,253 | | | | 600,145 | |
Capital loss carryforward | | | (14,562,667 | ) | | | (25,463,102 | ) | | | (1,382,171 | ) | | | — | |
Other book/tax temporary differences | | | (3,938,055 | )(a) | | | (546,226 | )(a) | | | (4,280,637 | )(a) | | | (261 | ) |
Unrealized appreciation (depreciation) | | | (12,543,580 | ) | | | (1,357,436 | ) | | | 2,142,000 | | | | 1,817,626 | |
| | | | | | | | | | | | | | | | |
Total accumulated earnings/(losses) - net | | $ | (31,044,302 | ) | | $ | (26,200,616 | ) | | $ | 1,350,445 | | | $ | 2,417,510 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | Inflation-Linked
Fixed Income
Fund | | | Ultra-Short
Term Fixed
Income Fund | | | Alternative
Strategies Fund | |
Undistributed ordinary income - net | | | $ | 1,567,899 | | | $ | 815,509 | | | $ | — | |
Undistributed long-term capital gains - net | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | |
Total undistributed earnings | | | | 1,567,899 | | | | 815,509 | | | | — | |
Capital loss carryforward | | | | (850,929 | ) | | | (597,224 | ) | | | (2,981 | ) |
Other book/tax temporary differences | | | | (4,117,236 | )(a) | | | (1,863,451 | )(a) | | | — | |
Unrealized appreciation (depreciation) | | | | (1,360,367 | ) | | | 326,735 | | | | 25,187 | |
| | | | | | | | | | | | | |
Total accumulated earnings/(losses) - net | | | $ | (4,760,633 | ) | | $ | (1,318,431 | ) | | $ | 22,206 | |
| | | | | | | | | | | | | |
As of August 31, 2018, there were no significant differences between the book and tax components of net assets for Municipal Bond Fund and Alternative Strategies Fund.
| (a) | The differences between book-basis and tax-basis unrealized appreciation (depreciation) is attributable to the tax deferral of losses on wash sales, tax cost adjustments related to partnerships, forwards, futures, options, swaps, ROC dividends received, real estate investments, interest accrual on defaulted bonds, the difference between book and tax amortization methods for premiums on fixed income securities, and the realization for tax purposes of unrealized gains on investments in passive foreign investment companies. |
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.
338
| | |
| | | |
| Notes to Financial Statements | | |
As of August 31, 2018, the Funds had the following net capital loss carryforwards remaining:
| | | | | | | | | | | | | | | | | | | | |
| | | Large Cap Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity Fund | | | Emerging
Market Equity
Fund | | | Core Fixed
Income Fund | |
Short-Term | | $ | — | | | $ | — | | | $ | 1,208,681 | | | $ | 32,288,920 | | | $ | 12,043,654 | |
Long-Term | | | — | | | | — | | | | — | | | | 928,683 | | | | 2,519,013 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | 1,208,681 | | | $ | 33,217,603 | | | $ | 14,562,667 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | High Yield
Fund | | | International
Fixed Income
Fund | | | Municipal
Bond
Fund | | | Inflation-Linked
Fixed Income
Fund | | | Ultra-Short
Term Fixed
Income Fund | |
Short-Term | | $ | 4,378,860 | | | $ | 1,217,057 | | | $ | — | | | $ | 66,712 | | | $ | 597,224 | |
Long-Term | | | 21,084,242 | | | | 165,114 | | | | — | | | | 784,217 | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 25,463,102 | | | $ | 1,382,171 | | | $ | — | | | $ | 850,929 | | | $ | 597,224 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | Alternative
Strategies Fund | |
Short-Term | | | $ | 2,981 | |
Long-Term | | | | — | |
| |
| | | $ | 2,981 | |
| |
Capital loss carryforward not utilized and expired in 2018 amounts to $234,746,051 for International Equity Fund, $5,672,191 for High Yield Fund and $4,292,447 for International Fixed Income Fund.
7. Recent Accounting Pronouncements
In March 2017, the FASB issued ASU 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. ASU 2017-08 does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. ASU 2017-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018.
On August 28, 2018, the FASB issued an Accounting Standards Update, ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework-Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). ASU 2018-13 modifies the disclosure objective paragraphs of ASC 820 to eliminate (1) “at a minimum” from the phrase “an entity shall disclose at a minimum” and (2) other similar “open ended” disclosure requirements to promote the appropriate exercise of discretion by entities. ASU 2018-13 also eliminates and modifies other requirements under ASU 2018-13. ASU 2018-13 is effective for all entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early application is permitted.
Management is currently evaluating the application of ASU 2017-08 and ASU 2018-13 and their impact, if any, on the financial statements.
339
| | |
| | | |
| Notes to Financial Statements | | |
8. 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, 2018, the Funds made the following distributions:
| | | | | | | | | | | | | | | | | | | | |
| Record Date Payable Date | | Core Fixed Income
Fund | | | High Yield
Fund | | | Municipal Bond
Fund | | | Inflation-Linked
Fixed Income
Fund | | | Ultra-Short Term
Fixed Income
Fund | |
9/1/18-9/30/18 | | $ | 0.019106 | | | $ | 0.017613 | | | $ | 0.019773 | | | $ | 0.007308 | | | $ | 0.022067 | |
340
| | |
| | | |
Report of Independent Registered Public
Accounting Firm | | |
To the Board of Trustees and Shareholders of
Consulting Group Capital Markets Funds:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of the Consulting Group Capital Markets Funds comprising the 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, and Alternative Strategies Fund (the “Funds”), including the schedules of investments, as of August 31, 2018, the related statements of operations, cash flows, changes in net assets, and the financial highlights for the periods indicated in the table below, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the funds listed above constituting the Consulting Group Capital Markets Funds as of August 31, 2018, and the results of their operations and their cash flows (as indicated in the table below) for the period listed in the table below, the changes in their net assets for the periods listed in the table below, and the financial highlights for the periods listed in the table below, in conformity with accounting principles generally accepted in the United States of America.
| | | | | | |
Individual Fund Comprising the Consulting
Group Capital Markets Funds | | Statements of Operations and
Cash Flows* | | Statements of
Changes in Net Assets | | Financial Highlights |
Large Cap Equity Fund | | For the year-ended August 31, 2018 | | For the years ended August 31, 2018 and 2017 | | For the years ended August 31, 2018, 2017, 2016, 2015, and 2014 |
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 | | For the year-ended August 31, 2018 | | For the years ended August 31, 2018 and 2017 | | For the years ended August 31, 2018 and 2017 and the period of March 8, 2016 (fund inception) through August 31, 2016 |
| | | | | | | |
Alternative Strategies Fund | | For the period of February 15, 2018 (fund inception) through August 31, 2018 |
| * | Statement of Cash Flows presented for the International Fixed Income Fund and Inflation-Linked Fixed Income Fund. |
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. 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, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting 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.
341
| | |
| | | |
Report of Independent Registered Public
Accounting Firm | | |
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2018, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
October 30, 2018
We have served as the auditor of one or more Consulting Group Capital Markets investment companies since 2009.
342
| | |
| | | |
| Board Approval of Management Agreement and Investment Advisory Agreements | | |
Approval of Management Agreement and Subadvisory Agreements
The Consulting Group Capital Markets Funds (the “Trust,” and each series thereof a “Fund,” and collectively, the “Funds”) and Consulting Group Advisory Services LLC (“Manager”), a business of Morgan Stanley LLC, have entered into an investment management agreement (“Management Agreement”). Pursuant to the Management Agreement, other than with respect to the Alternative Strategies Fund, 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 for a two year term, 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 16-17, 2018, 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 analysis of investment company contract review processes. In addition to the Management Agreement, the Board approved at the meeting the Subadvisory Agreements with the following Sub-advisers on behalf of the indicated Fund to continue for another year:
| | |
Sub-adviser Name | | Fund(s) |
| |
| BlackRock Financial Management, Inc. | | ¨ Core Fixed Income Fund ¨ Large Cap Equity Fund ¨ Small-Mid Cap Equity Fund ¨ International Equity Fund ¨ Emerging Markets Equity Fund |
| |
| Causeway Capital Management LLC | | ¨ International Equity Fund |
| |
| Columbia Management Investment Advisers, LLC | | ¨ Large Cap Equity Fund |
| |
| Eaton Vance Management | | ¨ High Yield Fund |
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| Frontier Capital Management Co., LLC | | ¨ Small-Mid Cap Equity Fund |
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| Hahn Capital Management, LLC | | ¨ Small-Mid Cap Equity Fund |
| |
| Lazard Asset Management LLC | | ¨ Large Cap Equity Fund ¨ Emerging Markets Equity Fund |
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| Lyrical Asset Management LP | | ¨ Large Cap Equity Fund |
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| Macquarie Investment Management | | ¨ Large Cap Equity Fund |
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| McDonnell Investment Management, LLC | | ¨ Municipal Bond Fund |
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| Metropolitan West Asset Management LLC | | ¨ Core Fixed Income Fund |
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| Neuberger Berman Investment Advisers LLC | | ¨ Small-Mid Cap Equity Fund |
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| OppenheimerFunds, Inc. | | ¨ International Equity Fund |
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| Board Approval of Management Agreement and Investment Advisory Agreements | | |
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Sub-adviser Name | | Fund(s) |
| |
| Pacific Investment Management Company LLC | | ¨ International Fixed Income Fund ¨ Inflation-Linked Fixed Income Fund ¨ Ultra-Short Term Fixed Income Fund |
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| Rutabaga Capital Management LLC | | ¨ Small-Mid Cap Equity Fund |
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| Schroder Investment Management North America Inc. | | ¨ International Equity Fund |
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| Van Eck Associates Corporation | | ¨ Emerging Markets Equity Fund |
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| Western Asset Management Company | | ¨ Core Fixed Income Fund ¨ High Yield Fund |
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| Westfield Capital Management Company, L.P. | | ¨ Small-Mid Cap Equity Fund |
At meetings held prior to May 16-17, 2018, the Board, including a majority of the Independent Trustees, approved for an initial two-year period, which has not expired, the Subadvisory Agreements with the following Sub-advisers on behalf of the indicated Fund:
| | |
Sub-adviser Name | | Fund |
| |
| ClearBridge Investments, LLC | | ¨ Large Cap Equity Fund |
| |
| Victory Capital Management, Inc. | | ¨ International Equity Fund |
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| Wellington Management Company, LLP | | ¨ International Equity Fund |
In addition, at a meeting held prior to May 16-17, 2018, the Board, including a majority of the Independent Trustees, approved for an initial two-year period, which has not expired, an investment advisory agreement between the Trust, on behalf of the Alternative Strategies Fund, and the Manager, pursuant to which the Manager serves as the investment adviser for the Fund.
In voting to approve the Agreements at the May 16-17, 2018 meeting, 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, if any, 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 | | |
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 and the selection and evaluation of Sub-Advisers. 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 Broadridge, 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 Fund with the funds included in the Fund’s 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 (except as noted below) was for the one-, three-, five- and ten-year periods ended March 31, 2018.
The Board noted that the Large Cap Equity Fund performed at or better than the median performance of the funds in the Performance Universe for each period except the three-year period. The Board further noted that the Small-Mid Cap Equity Fund and International Equity Fund each performed below the median performance of the funds in the Funds’ respective Performance Universe for each period. However, it was noted that each of the Small-Mid Cap Equity Fund and International Equity Fund were placed by Broadridge in the Lipper growth category of funds, whereas, each such Fund’s management policies and portfolio investments reflected a core style of investing. When compared to the Performance Universe for core funds, each such Fund performed better than the median performance of the funds in such Performance Universe for the one-year period. In addition, the Board noted that each of the Large Cap Equity Fund and Small-Mid Cap Equity Fund had undergone a merger with another series of the Trust in February 2016 and that the Manager had implemented changes to the portfolio management strategy of each Fund at that time. With respect to the Emerging Markets Equity Fund, the noted that the Fund performed better than the median performance of the funds in its Performance Universe for each period except the ten-year period. Based on its review, as to each of the Large Cap Equity Fund, Small-Mid Cap Equity Fund, International Equity Fund and Emerging Markets Equity Fund, the Board was generally satisfied with the absolute performance of the Funds and the performance of the Fund’s Sub-Advisers whose Subadvisory Agreements were under review.
The Board noted that the Core Fixed Income Fund performed better than the median performance of the funds in the Performance Universe for each period. The High Yield Fund and Municipal Bond Fund each performed below the median performance of the funds in the Funds’ respective Performance Universe for each period. The Board further noted that the International Fixed Income Fund underperformed the median performance of the funds in its Performance Universe for the one- and three-year periods, but that the Fund outperformed the median performance of the funds in the Performance Universe for the remaining periods. Each such Fund, however, had positive absolute returns for each period under review. With respect to the Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund, the Board noted that each Fund performed better than the median performance of the funds in their respective Performance Universe for the one-year period, the only period of performance information provided by Broadridge as the Funds commenced operations on March 8, 2016. Based on its review, as to each of the Core Fixed Income Fund, High Yield Fund, International Fixed Income Fund and Municipal Bond Fund, the Board was generally satisfied with the absolute performance of the Funds and the performance of the Fund’s Sub-Advisers whose Subadvisory Agreements were under review. In addition, based on its review, as to each of the Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund, and noting the limited period of performance data available from Broadridge, the Board was generally satisfied with the performance of the Funds and the performance of the Fund’s Sub-Adviser.
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| Board Approval of Management Agreement and Investment Advisory Agreements | | |
The Trustees determined to continue to evaluate the Funds’ performance and that of their respective Sub-Advisers, 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 sub-advisory services provided by the Manager and the Sub-advisers, respectively. The Board also reviewed and considered the fee waiver and/or expense reimbursement arrangements which are currently in place for the Funds and considered the actual fee rate (after taking any such waivers and reimbursements into account) (“Actual Management Fee”) and determined that such fee waivers and expense reimbursements should be continued. 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, 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 sub-advised 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 Broadridge as comparable to the particular Fund (the “Expense Group”) and a broader group of retail no-load funds selected by Broadridge (the “Expense Universe”). It was noted that fee and expense information provided by Broadridge was as of the Funds’ fiscal year ended August 31, 2017 and, thus, the Funds’ Actual Management Fees and expense information may not have fully reflected the implementation in January 2017 of a leveling management fee structure designed to keep a Fund’s management fee from exceeding 0.20% more than the total amount of sub-advisory fees paid by the Manager to the respective Fund’s Sub-advisers.
The information reviewed showed that the Contractual and Actual Management Fees of the Large Cap Equity Fund, Small-Mid Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund and Municipal Bond Fund were lower than the median Contractual and Actual Management Fees for the funds in the applicable Expense Group, and that the Actual Management Fees were lower than the average Actual Management Fees for the funds in the applicable Expense Universe for each of these Funds. For the Core Fixed Income Fund, the information reviewed showed that the Contractual Management Fee of the Fund was slightly lower than the median Contractual Management Fees for the funds in its Expense Group, but that the Fund’s Actual Management Fee was slightly higher than the median Actual Management Fees for the funds in its Expense Group and the average Actual Management Fees for the funds in its Expense Universe, respectively. With respect to the High Yield Fund, the information reviewed showed that the Fund’s Contractual Management Fee was higher than the median Contractual Management Fees for the funds in its Expense Group, but that the Fund’s Actual Management Fee was lower than the median Actual Management Fees for the funds in its Expense Group and the average Actual Management Fees for the funds in its Expense Universe, respectively. The information reviewed showed that the Contractual and Actual Management Fees of the International Fixed Income Fund were lower than the median Contractual and Actual Management Fees for the funds in its Expense Group, but that the Fund’s Actual Management Fee was slightly higher than the average Actual Management Fees for the funds in its Expense Universe. The information reviewed also showed that the Contractual and Actual Management Fees of the Inflation-Linked Fixed Income Fund and the Ultra-Short Term Fixed Income Fund were higher than the median Contractual and Actual Management Fees for the funds in the applicable Expense Group, and that the Funds’ Actual Management Fees were higher than the average Actual Management Fees for the funds in the applicable Expense Universe. It was noted that for each of the Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund, the management fee was appropriate given the respective Fund’s investment strategy versus that of the funds in its respective Expense Group. The Independent Trustees also noted that the Broadridge expense information showed that the actual total expense ratio for each of the Large Cap Equity Fund, Small-Mid Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund, High Yield Fund and Municipal Bond Fund was lower than the median expense ratios of the funds in its respective Expense Group. The Broadridge expense information also showed that the actual total expense ratio for the Core Fixed Income Fund was at, and for the International Fixed Income Fund was slightly higher than, the median expense ratios of the funds in its respective Expense Group.
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| Board Approval of Management Agreement and Investment Advisory Agreements | | |
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 sub-advisory 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 economies 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.
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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 LLC (“Morgan Stanley”), 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.
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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 |
| | | | | |
Mark J. Reed North American Management 1 North Brentwood Blvd., Suite 1510 St. Louis, MO 63105 Birth Year: 1964 | | Chairman and Trustee | | Since 2007 (Chairman since 2018) | | Principal and Portfolio Manager, North American Management Corp. (2013-present); and formerly, Managing Director and Chief Compliance Officer, Bush O’Donnell Investment Advisors, Inc. (1988-2013) | | 11 | | None |
| | | | | |
Adela Cepeda PFM Financial Advisors LLC 222 N. LaSalle Street, Suite 910 Chicago, IL 60601 Birth Year: 1958 | | Vice Chairman and Trustee | | Since 2008 (Vice Chairman since 2018) | | Managing Director, PFM Financial Advisors, LLC (September 2016-present); and formerly, President, A.C. Advisory, Inc. (1995-September 2016) | | 11 | | Director, BMO Financial Corp. (2012-present); Trustee, Mercer Funds (2005-present); Trustee, UBS Funds (2004-present); and formerly Director, Fort Dearborn Income Securities (2000-August 2016) |
348
| | | | | | | | | | |
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 149 Laurel Ridge Circle Aiken, SC 29803 Birth Year: 1949 | | Trustee | | Since 2009 (Interested Trustee from 2006-2009) | | Retired; Advisor, Smith Barney (2005-2007) | | 11 | | Chairman Emeritus, Congressional Medal of Honor Foundation (2009-present); formerly Treasurer (2009-2016); and Chairman Emeritus, America’s Warrior Partnership (2017-present), formerly, Chairman (2013-2016) and Director (2013-2017) |
| | | | | |
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) | | 11 | | Trustee and Chairman, FlexShares Funds (2011-present); Trustee, The Art Institute of Chicago (2001-present); Director, Shirley Ryan AbilityLab (2000-present); and Director, Urban Gateways (1995-present) |
| | | | | |
John J. Murphy Murphy Capital Management, Inc. 268 Main Street Gladstone, NJ 07934 Birth Year: 1944 | | Trustee | | Since 2002 | | President, Murphy Capital Management (Investment Management) (2017-present); Senior Vice President, Peapack-Gladstone Bank (Commercial Bank) (2017-present); and Founder and Senior Principal, Murphy Capital Management (Investment Management) (1983-2017) | | 11 | | Trustee, Legg Mason Partners Equity Trust (2007-present); Trustee, UBS Funds (2009-present); and formerly Director, Fort Dearborn Income Securities (2013-2016) |
|
INTERESTED TRUSTEE |
| | | | | |
Paul Ricciardelli** Morgan Stanley 522 Fifth Avenue, 14th Floor, New York, NY 10036 Birth Year: 1969 | | Trustee and Chief Executive Officer and President | | Since April 2017 | | Head of IAR/GIMA, Morgan Stanley (2011-present); Head of Wealth Advisory Solutions, Morgan Stanley (March 2017-present); formerly, Head of Manager Solutions, Morgan Stanley (2015-March 2017) | | 11 | | None |
349
| | | | | | |
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 | | Managing Director, Morgan Stanley (2017-present); formerly Executive Director, Morgan Stanley (2001-2016); and Treasurer and Principal Financial Officer of various Morgan Stanley Funds (2003-present) |
| | | |
Eric Metallo Morgan Stanley 1633 Broadway, 26th Floor New York, NY 10019 Birth Year: 1976 | | Chief Legal Officer and Secretary | | Since August 2015 | | Executive Director, Morgan Stanley Wealth Management (2014-present); and formerly Senior Vice President and Associate General Counsel, PineBridge Investments (2011-2014) |
| | | |
Joseph Signora Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1977 | | Chief Compliance Officer | | Since December 2017 | | Executive Director, Morgan Stanley (2017-present); formerly, Senior Director, AXA Equitable (2015-2017); Vice President, EQ Advisors Trust (2015-2017); Vice President, AXA Premier VIP Trust (2015-2017); Vice President, 1290 Funds (2015-2017); Vice President, FMG LLC (2015-2017); Deputy Chief Compliance Officer, Emerging Global Advisors (2014-2015); Chief Compliance Officer, EGA Emerging Global Shares Trust (2014-2015); Chief Compliance Officer, EGA Frontier Diversified Core Fund (2014-2015); and Director of Compliance, Van Eck Associates Corp. (2011-2014) |
| | | |
Sara Cetron Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1980 | | Chief Administrative Officer | | Since March 2017 | | Vice President, Morgan Stanley (2015-present); and formerly Platform Management, Managed Solutions, Barclays Capital Inc. (2008-2015) |
| | | |
Robert Garcia Morgan Stanley 522 Fifth Avenue, 14th 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 | | Head of Operations and Strategy, Morgan Stanley (2017-present); formerly Head of Portfolio Operations-WMIR, Morgan Stanley (2016-2017); Head of Packaged Digital Solutions, Morgan Stanley (2015-present); and formerly Head of Strategy and Development- Global Investment Solutions, Morgan Stanley (2013-2015) |
| | | |
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) |
350
| | | | | | |
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 1585 Broadway, 29th Floor New York, NY 10036 Birth Year: 1977 | | Investment Officer | | Since August 2015 | | Investment Analyst, Executive Director, Morgan Stanley (2005-present) |
| | | |
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); and formerly Head of Investment Strategy and Content, Morgan Stanley (2012-2015) |
| | | |
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) |
| | | |
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) |
| | | |
James Totino Morgan Stanley 522 Fifth Avenue, 14th Floor New York, NY 10036 Birth Year: 1970 | | Investment Officer | | Since May 2018 | | Portfolio Specialist, Investment Officer, Morgan Stanley (April 2018-present); and Investment Officer, Morgan Stanley (2011-March 2018) |
| | | |
Bahadir Sarana Morgan Stanley 1633 Broadway, New York, NY 10019 Birth Year: 1977 | | Anti-Money Laundering (“AML”) Compliance Officer | | Since September 2018 | | Executive Director, Morgan Stanley (1999-present) |
| | | |
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 and Practice Management (2016-present); Managing Director, Vice Chairman of Wealth Management (2015); and formerly Managing Director, Director of Consulting Group Wealth Advisory Solutions (2012-2015) |
| | | |
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) |
351
| | | | | | |
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 |
| | | |
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 | | Executive Director, Morgan Stanley (2013-present) |
| | | |
Suzan M. Barron Brown Brothers Harriman & Co. (“BBH&Co.”) 50 Post Office Square Boston, MA 02110 Birth Year: 1964 | | Assistant Secretary | | Since 2011 | | Senior Vice President and Senior Investor Services Counsel, Corporate Secretary and Regulatory Support Practice of Fund Administration, BBH&Co. (2005-present) |
| * | Each Trustee remains in office until he or she resigns, retires or is removed. |
| ** | Mr. Ricciardelli 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. |
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| Important Tax Information | | |
The following information is provided with respect to the distributions paid during the taxable year ended August 31, 2018:
| | | | | | | | | | | | | | | | | | | | |
| | | Large
Cap Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | Emerging
Markets Equity
Fund | | | High Yield
Fund | |
Record Date | | | 12/6/2017 | | | | 12/6/2017 | | | | 12/6/2017 | | | | 12/6/2017 | | | | Monthly | |
Payable Date | | | 12/7/2017 | | | | 12/7/2017 | | | | 12/7/2017 | | | | 12/7/2017 | | | | Monthly | |
Ordinary Income: | | | | | | | | | | | | | | | | | | | | |
Qualified Dividend Income for Individuals | | | 100 | % | | | 35.90 | % | | | 100 | % | | | 94.33 | % | | | — | |
Dividends Qualifying for the Dividends Received | | | | | | | | | | | | | | | | | | | | |
Deduction for Corporations | | | 100 | % | | | 35.00 | % | | | — | | | | — | | | | — | |
Foreign Source Income | | | — | | | | — | | | | 99.93 | %* | | | 99.99 | %* | | | — | |
Foreign Tax Paid Per Share | | | — | | | | — | | | | 0.01988 | | | | 0.03656 | | | | — | |
Long-Term Capital Gain Dividend | | | 0.65044 | | | | 0.37398 | | | | — | | | | — | | | | — | |
| | | | | |
| | | 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 | | | | 12/6/2017 | | | | Monthly | | | | Monthly | | | | Monthly | |
Payable Date | | | Monthly | | | | 12/7/2017 | | | | 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 | | | 39.18 | % | | | 19.20 | % | | | — | | | | 87.79 | % | | | 9.69 | % |
Long-Term Capital Gain Dividend | | | — | | | | — | | | | — | | | | — | | | | — | |
| * | 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.
353
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.
© 2018 Morgan Stanley Smith Barney LLC (“Morgan Stanley”). Consulting Group Advisory Services LLC (“CGAS”) is a business of Morgan Stanley. Securities are offered through Morgan Stanley.
Consulting Group Capital Markets Funds
2000 Westchester Avenue
Purchase, NY 10577
ITEM 2. CODE OF ETHICS.
As of the period ended August 31, 2018 (“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 13(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, 2018 and August 31, 2017 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 $601,080 in 2018 and $560,080 in 2017.
(b) Audit-Related Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2018, and August 31, 2017, 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 2018 and $0 in 2017.
(c) Tax Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2018 and August 31, 2017 for professional services rendered by the Auditor for tax compliance, tax advice and tax planning (“Tax Services”) were $97,450 in 2018 and $93,450 in 2017. 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, 2018, and August 31, 2017, 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 2018 and $0 for 2017.
(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 2018 and 0% for 2017; Tax Fees were 0% for 2018 and 0% for 2017; and Other Fees were 0% for 2018 and 0% for 2017.
(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 $0 for 2018 and $0 in 2017.
(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. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not Applicable.
ITEM 13. 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/ Paul Ricciardelli |
| | Paul Ricciardelli |
| | Chief Executive Officer |
| | Consulting Group Capital Markets Funds |
| |
| Date: | | November 5, 2018 |
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/ Paul Ricciardelli |
| | Paul Ricciardelli |
| | Chief Executive Officer |
| | Consulting Group Capital Markets Funds |
| |
| Date: | | November 5, 2018 |
| | |
| Consulting Group Capital Markets Funds |
| |
| By: | | /s/ Francis Smith |
| | Francis Smith |
| | Chief Financial Officer |
| | Consulting Group Capital Markets Funds |
| |
| Date: | | November 5, 2018 |
