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 811-07076
Wilshire Mutual Funds, Inc.
(Exact name of registrant as specified in charter)
Wilshire Mutual Funds, Inc.
1299 Ocean Avenue, Suite 700
Santa Monica, CA 90401-1085
(Address of principal executive offices) (Zip code)
Jason A. Schwarz
Wilshire Advisors LLC
1299 Ocean Avenue, Suite 700
Santa Monica, CA 90401-1085
(Name and address of agent for service)
(310) 451-3051
Registrant's telephone number, including area code
Date of fiscal year end: December 31, 2021
Date of reporting period: December 31, 2021
Item 1. Reports to Stockholders.
(a) Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1).
Wilshire Mutual Funds, Inc. |
ANNUAL REPORT
Large Company Growth Portfolio Large Company Value Portfolio Small Company Growth Portfolio Small Company Value Portfolio Wilshire 5000 Indexsm Fund Wilshire International Equity Fund Wilshire Income Opportunities Fund |
December 31, 2021
http://advisor.wilshire.com |
Wilshire Mutual Funds, Inc.
Table of Contents |
Letter to Shareholders | 1 |
Commentary: | |
Large Company Growth Portfolio | 6 |
Large Company Value Portfolio | 13 |
Small Company Growth Portfolio | 17 |
Small Company Value Portfolio | 21 |
Wilshire 5000 Indexsm Fund | 25 |
Wilshire International Equity Fund | 29 |
Wilshire Income Opportunities Fund | 36 |
Disclosure of Fund Expenses | 42 |
Condensed Schedules of Investments: | |
Large Company Growth Portfolio | 45 |
Large Company Value Portfolio | 49 |
Small Company Growth Portfolio | 53 |
Small Company Value Portfolio | 55 |
Wilshire 5000 Indexsm Fund | 57 |
Wilshire International Equity Fund | 59 |
Wilshire Income Opportunities Fund | 65 |
Statements of Assets and Liabilities | 87 |
Statements of Operations | 93 |
Statements of Changes in Net Assets | 98 |
Financial Highlights: | |
Large Company Growth Portfolio | 102 |
Large Company Value Portfolio | 104 |
Small Company Growth Portfolio | 106 |
Small Company Value Portfolio | 108 |
Wilshire 5000 Indexsm Fund | 110 |
Wilshire International Equity Fund | 112 |
Wilshire Income Opportunities Fund | 114 |
Notes to Financial Statements | 116 |
Report of Independent Registered Public Accounting Firm | 158 |
Additional Fund Information | 160 |
Tax Information | 164 |
Board Approval of Advisory Agreement | 166 |
Board Approval of Subadvisory Agreements | 175 |
This report is for the general information of the shareholders of Large Company Growth Portfolio, Large Company Value Portfolio, Small Company Growth Portfolio, Small Company Value Portfolio, Wilshire 5000 IndexSM Fund, Wilshire International Equity Fund and Wilshire Income Opportunities Fund. Its use in connection with any offering of a Portfolio’s shares is authorized only if accompanied or preceded by the Portfolio’s current prospectus.
Wilshire Mutual Funds, Inc. are distributed by Compass Distributors, LLC.
Wilshire Mutual Funds, Inc.
Letter to Shareholders (Unaudited) |
Dear Wilshire Mutual Fund Shareholder:
We are pleased to present this annual report to all shareholders of the Wilshire Mutual Funds (the “Funds”). This report covers the period from January 1, 2021 to December 31, 2021, for all share classes of the Large Company Growth Portfolio, Large Company Value Portfolio, Small Company Growth Portfolio, Small Company Value Portfolio, Wilshire 5000 IndexSM Fund, Wilshire International Equity Fund, and Wilshire Income Opportunities Fund.
Market Environment
U.S. Equity Market
The U.S. stock market, represented by the FT Wilshire 5000 IndexSM, was up 26.70% for the year 2021. Sharply rising inflation will likely be remembered as the economic story of 2021. Increases in the Consumer Price Index (“CPI”) have reached rates not seen in 40 years. Food and energy prices are up meaningfully, but so too are the major “core” CPI items of automobiles and apparel. Consumers’ ability to manage this period will help determine whether the U.S. can continue its economic progress. The employment picture is quite strong, including an unemployment rate approaching 4% and continued above-trend growth in wages. However, the personal savings rate has fallen to a level last seen in late-2017, suggesting that consumers are saving less as they adjust to rising prices. Inflation and new COVID variants are likely behind depressed consumer sentiment surveys.
Sector returns for the FT Wilshire 5000 Total Market IndexSM were positive for the year. Energy (+56.36%) and Real Estate (+40.39%) were the best performing sectors while Utilities (+17.55%) and Consumer Staples (+17.81%) sectors were the laggards. For the year, large-capitalization stocks outperformed small-capitalization stocks with the Wilshire US Large IndexSM returning 27.46% versus 19.17% for the Wilshire US Small IndexSM. Growth led value equities during the 12-month period, with the Wilshire US Large Growth IndexSM returning 28.86% versus 24.53% for the Wilshire US Large Value IndexSM.
International Equity Market
Performance results within international equity markets were mixed for the year, with meaningful differences in returns between developed and emerging markets. The MSCI EAFE Index was up 11.26% for the year, while the MSCI Emerging Markets Index was down -2.54%. The main sources of weakness were China, South Korea, and Brazil. In China, the real estate market, which accounts for nearly a third of China’s Gross Domestic Product (“GDP”), has been experiencing a major slump and developers are heavily indebted. While economic growth forecasts are on the decline, the Chinese economy is still expected to expand in 2022. Within Europe, Germany, the area’s largest economy, is facing a potential recession as supply issues and new coronavirus cases weigh on growth. Germany’s Ifo Institute for Economic Research has forecasted 2.7% gross in GDP for 2022. 2.5% below the level that could have been achieved without the pandemic. Growth has slowed in the U.K., as well, and is expected to face additional headwinds.
1
Wilshire Mutual Funds, Inc.
Letter to Shareholders (Unaudited) - (Continued) |
Bond Market
The U.S. Treasury yield curve was up 45 basis points at the short end (2-year maturity) but down in the long end of the curve. The 10-year Treasury yield ended the year at 1.51%, up two basis points from September. Investment-grade credit spreads widened during the year but spreads on the broad high yield tightened, closing the year at 2.83%. The Federal Open Market Committee (the “Fed”) met twice during the fourth quarter, as scheduled, with no change to the overnight rate. However, the current intention appears to be for three 25 basis point increases in the overnight rate before the end of 2022. The Fed’s median forecast for year-end 2023 is for a Fed funds rate of 1.625%. During the December meeting, the Fed announced that it would begin to reduce (i.e., taper) the monthly pace of asset purchases, starting in January. Despite previously labeling increased inflation as “transitory,” Fed chair Jerome Powell acknowledged that increases have spread to a broader range of goods and that inflation may now be “more persistent.”
Fund Performance Review
The Wilshire Large Company Growth Portfolio - Institutional Class returned 23.42%, underperforming the Russell 1000 Growth Index by -4.18%. The Wilshire Large Company Value Portfolio - Institutional Class returned 27.26%, outperforming the Russell 1000 Value Index by 2.10%. The Wilshire Small Company Growth Portfolio - Institutional Class returned 13.36%, outperforming the Russell 2000 Growth Index by 10.53%. The Wilshire Small Company Value Portfolio - Institutional Class returned 32.40%, outperforming the Russell 2000 Value Index by 4.13%. The Wilshire International Equity Fund - Institutional Class returned 12.78%, outperforming the MSCI All Country World ex USA Investable Market Index by 4.25%. The Wilshire 5000 Index Fund – Institutional Class returned 25.85% the year, underperforming the Wilshire 5000 Index return of 26.7% by -0.85%. The Wilshire Income Opportunities Fund - Institutional Class returned 0.63%, outperforming the Bloomberg US Universal Index return of -1.10% by 1.73%.
We are pleased with the general performance of the Funds. We believe that the Funds are well-positioned going into 2022 as the market deals with the ongoing pandemic and macroeconomic and geopolitical issues.
As always, we sincerely appreciate your continued support and confidence in Wilshire Advisors.
Sincerely,
Jason Schwarz
President, Wilshire Mutual Funds
2
Wilshire Mutual Funds, Inc.
Letter to Shareholders (Unaudited) - (Continued) |
DISCLOSURES:
This report must be preceded or accompanied by a prospectus.
Opinions expressed are those of the Portfolios and are subject to change, are not guaranteed, and should not be considered a recommendation to buy or sell any security.
Sector allocations are subject to change.
Past performance does not guarantee future results. The performance data quoted represent past performance and current returns may be lower or higher. Share prices and investment returns fluctuate and an investor’s shares may be worth more or less than original cost upon redemption. For periods less than one year, performance is cumulative. For performance data current to the most recent month-end please call 1-866-591-1568.
Index returns are for illustrative purposes only and do not represent actual Portfolio performance. Index performance returns do not reflect any management fees, transactions costs or expenses. Indexes are unmanaged and one cannot invest directly in an index. Past performance does not guarantee future results.
Bonds and bond funds are subject to interest rate risk and will decline in value as interest rates rise.
In addition to the normal risks associated with investing, international investments may involve risk of capital loss from unfavorable fluctuation in currency values, from differences in generally accepted accounting principles or from social, economic or political instability in other nations. Investments in smaller companies typically exhibit higher volatility.
Investing involves risk including loss of principal. This report identifies each Portfolio’s investments on December 31, 2021. These holdings are subject to change. Not all investments in each Portfolio performed the same, nor is there any guarantee that these investments will perform as well in the future. Market forecasts provided in this report may not occur.
The MSCI All Country World ex USA Index is an equity index which captures large and mid cap representation across 22 of 23 Developed Markets countries (excluding the U.S) and 26 Emerging Markets countries. With 2,370 constituents, the index covers approximately 85% of the global equity opportunity set outside the US.
The MSCI All Country World ex USA Investable Market Index is an equity index which captures large, mid and small cap representation across 22 of 23 Developed Markets countries (excluding the U.S.) and 26 Emerging Markets countries. With 6,434 constituents, the index covers approximately 99% of the global equity opportunity set outside the US.
3
Wilshire Mutual Funds, Inc.
Letter to Shareholders (Unaudited) - (Continued) |
The MSCI EAFE Index is an equity index which captures large and mid cap representation across 21 Developed Markets countries* around the world, excluding the US and Canada. With 825 constituents, the index covers approximately 85% of the free float adjusted market capitalization in each country.
The MSCI Emerging Markets Index is an equity index which captures large and mid-cap representation across 26 Emerging Markets countries. With 1,385 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
The FT Wilshire 5000 Total Market Index is widely accepted as the definitive benchmark for the U.S. equity market, and measures performance of all U.S. equity securities with readily available price data.
The Wilshire US Large-Cap Index is a benchmark of the large-sized (based on capitalization) companies in the U.S. equity market. The Wilshire US Large-Cap Index is a float-adjusted, market capitalization- weighted index of the issues ranked above 750 market capitalization of the Wilshire 5000 Total Market Index.
The Wilshire US Small-Cap Index is a benchmark of the small-sized (based on capitalization) companies in the U.S. equity market. The Wilshire US Small-Cap is a float-adjusted, market capitalization-weighted index of the issues ranked between 750 and 2,500 by market capitalization of the Wilshire 5000 Total Market Index.
The Wilshire US Large-Cap Growth Index is a benchmark of the large-sized growth (based on capitalization) companies in the U.S. equity market. The Wilshire US Large-Cap Growth is a float-adjusted, market capitalization-weighted derivative index of the Wilshire US Large-Cap Index and by extension the Wilshire 5000 Total Market Index.
The Wilshire US Large-Cap Value Index is a benchmark of the large-sized value (based on capitalization) companies in the U.S. equity market. The Wilshire US Large-Cap Value is a float-adjusted, market capitalization-weighted derivative index of the Wilshire US Large-Cap Index and by extension the Wilshire 5000 Total Market Index.
The Bloomberg U.S. Aggregate Bond Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities.
The Bloomberg U.S. Credit Index measures the investment grade, US dollar-denominated, fixed-rate, taxable corporate and government related bond markets.
The Bloomberg U.S. Corporate High Yield Index measures the US dollar-denominated, high yield, fixed-rate, corporate bond market.
The Bloomberg U.S. Universal Index represents the union of the U.S. Aggregate Index, the U.S. High-Yield Corporate Index, the 144A Index, the Eurodollar Index, the Emerging Markets Index, and the non-ERISA portion of the CMBS Index.
4
Wilshire Mutual Funds, Inc.
Letter to Shareholders (Unaudited) - (Continued) |
The Bloomberg TIPS measures the performance of the U.S. Treasury Inflation-Protected Securities known as TIPS.
The Bloomberg Long Term Treasury Index measures the U.S. investment grade fixed rate bond market issued by the U.S. government with 10+ years of maturity.
The Russell 1000® Growth Index: Measures the performance of the broad growth segment of the U.S. equity universe. It includes those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 1000 Value Index: Measures the performance of the broad value segment of U.S. equity value universe. It includes those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.
The Russell 2000® Growth Index measures the performance of the small-cap growth segment of the U.S. equity universe. It includes those Russell 2000 companies with higher price-to-value ratios and higher forecasted growth values.
The Russell 2000® Value Index measures the performance of small-cap value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.
Mortgaged-Backed Securities are bonds secured by residential and other real estate loans.
Agency Residential Mortgaged-Backed Securities are residential mortgaged-backed securities for which a U.S. government entity guarantees payment of principal and interest to holders of securities.
Commercial Mortgage-Backed Securities are bonds secreted by commercial and multifamily mortgages.
Asset-Backed Securities are financial securities back by income-generating assets such as loans, leases, credit card balances, or receivables.
A basis point is one hundredth of a percent or equivalently one percent of one percent.
The Consumer Price Index is a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services. Indexes are available for the U.S. and various geographic areas. Average price data for select utility, automotive fuel, and food items are also available.
Credit Spread is the difference in yield between a U.S. Treasury bond and another debt security of the same maturity but different credit quality.
Wilshire Mutual Funds, Inc. are distributed by Compass Distributors, LLC.
5
Large Company Growth Portfolio
Commentary (Unaudited) |
INVESTMENT CLASS SHARES
Average Annual Total Returns
One Year Ended 12/31/21 | 23.03% |
Five Years Ended 12/31/21 | 22.29% |
Ten Years Ended 12/31/21 | 16.98% |
RUSSELL 1000® GROWTH INDEX(1)
Average Annual Total Returns
One Year Ended 12/31/21 | 27.60% |
Five Years Ended 12/31/21 | 25.32% |
Ten Years Ended 12/31/21 | 19.79% |
COMPARATIVE PERFORMANCE
Comparison of Change in Value of $10,000 Investment in Shares of Large Company Growth Portfolio, Investment Class Shares and the Russell 1000® Growth Index through 12/31/21.
On July 21, 2020, the Large Company Growth Portfolio’s investment strategy was changed. Consequently, prior period performance may have been different if the new investment strategy had been in effect during these periods.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month end may be obtained at http://advisor.wilshire.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table above does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares.
(1) | The Russell 1000® Growth Index is an unmanaged index that measures the performance of the largest 1,000 U.S. companies with higher price-to-book ratios and higher forecasted growth values. Index performance is presented for general comparative purposes. Unlike a mutual fund, the performance of an index assumes no transaction costs, management fees or other expenses. An individual cannot directly invest in any index. |
The Portfolio’s gross expense ratio per the prospectus dated 4/30/2021, supplemented on 12/16/2021 was 1.31% for Investment Class Shares. The Portfolio’s net expense ratio per the prospectus dated 4/30/2021, supplemented on 12/16/2021 was 1.30% for Investment Class Shares.
6
Large Company Growth Portfolio
Commentary (Unaudited) - (Continued) |
The Advisor has agreed to waive a portion of its management fee to limit expenses of the Portfolio (excluding taxes, brokerage expenses, dividend expenses on short securities and extraordinary expenses) to 1.30% of average daily net assets for Investment Class Shares until April 30, 2022.
7
Large Company Growth Portfolio
Commentary (Unaudited) - (Continued) |
INSTITUTIONAL CLASS SHARES
Average Annual Total Returns
One Year Ended 12/31/21 | 23.42% |
Five Years Ended 12/31/21 | 22.68% |
Ten Years Ended 12/31/21 | 17.34% |
RUSSELL 1000® GROWTH INDEX(1)
Average Annual Total Returns
One Year Ended 12/31/21 | 27.60% |
Five Years Ended 12/31/21 | 25.32% |
Ten Years Ended 12/31/21 | 19.79% |
COMPARATIVE PERFORMANCE
Comparison of Change in Value of $250,000 Investment in Shares of Large Company Growth Portfolio, Institutional Class Shares and the Russell 1000® Growth Index through 12/31/21.
On July 21, 2020, the Large Company Growth Portfolio’s investment strategy was changed. Consequently, prior period performance may have been different if the new investment strategy had been in effect during these periods.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month end may be obtained at http://advisor.wilshire.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table above does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares.
(1) | The Russell 1000® Growth Index is an unmanaged index that measures the performance of the largest 1,000 U.S. companies with higher price-to-book ratios and higher forecasted growth values. Index performance is presented for general comparative purposes. Unlike a mutual fund, the performance of an index assumes no transaction costs, management fees or other expenses. An individual cannot directly invest in any index. |
The Portfolio’s gross expense ratio per the prospectus dated 4/30/2021, supplemented on 12/16/2021 was 0.98% for Institutional Class Shares. The Portfolio’s net expense ratio per the prospectus dated 4/30/2021, supplemented on 12/16/2021 was 0.98% for Institutional Class Shares.
8
Large Company Growth Portfolio
Commentary (Unaudited) - (Continued) |
The Advisor has agreed to waive a portion of its management fee to limit expenses of the Portfolio (excluding taxes, brokerage expenses, dividend expenses on short securities and extraordinary expenses) to 1.00% of average daily net assets for Institutional Class Shares until April 30, 2022.
9
Large Company Growth Portfolio
Commentary (Unaudited) - (Continued) |
The FT Wilshire 5000 Total Market IndexSM returned 26.70% for the 2021 year. Real Gross Domestic Product (“GDP”) growth slowed during the third quarter of 2021, up an annualized 2.3%. The main drivers of growth were private investments (up 12.4%) and personal consumption (up 2.0%). Imports continue to rise while exports fell during the fourth quarter, the net effect being a drag on the economic growth of -1.3%. Inflation remains a concern within the U.S., but some of the components of inflation should begin to ease during 2022. For instance, energy prices are unlikely to increase another 30% again and new auto prices will likely not match their 20% increase from 2021. The inability of Congress to pass President Biden’s “Build Back Better” bill could have a modestly deflationary impact as the enhanced child tax credit ends going into 2022. Economic growth will likely be strong in the U.S. and abroad in the 2nd quarter and perhaps the 3rd quarter of 2022. U.S. corporate earnings are expected to continue growing in 2022, though at a far reduced rate when compared to 2021
Outside of the United States, equities lagged U.S. counterparts, with the MSCI All Country World ex USA Index returning 7.82% for the year. Both developed and emerging markets faced headwinds during the year as nations dealt with the surge of Omicron as well as country-specific issues such as recent regulatory changes in China and weaker expected growth in the eurozone, particularly in Germany.
The spread of the Omicron variant of COVID will likely negatively impact the pace of global economic growth during the first quarter of 2022. However, while more contagious, it appears less lethal, suggesting the beginning of a transition from pandemic crisis to endemic challenge.
Real estate securities were up during the year both in the U.S. and abroad. Commodities were quite strong for 2021, up more than 27%, broadly speaking. Commodity results were positive for the year. Crude oil ended at $75.21 per barrel for the year. Natural gas prices rose dramatically during 2021, increasing by more than 100% during the first nine-month period. However, prices went down by more than 30% during the fourth quarter, ending at $3.73 per million BTUs. Gold prices were volatile in 2021 and were up 4.2% during the quarter, finishing at approximately $1,829 per troy ounce.
The Bloomberg US Aggregate Bond Index returned -1.54% for the year as fixed-income markets responded negatively to higher than anticipated inflation and the Federal Reserve’s more hawkish tone. Long-duration securities, represented by the Bloomberg Long Term Treasury Index returned -4.65%, returned negatively for the year due to rising interest rates. Conversely, Treasury Inflation-Protected Securities, Bank Loans, and High Yield Bonds generally produced positive returns as these securities are generally less interest-rate sensitive. The Bloomberg TIPS and Bloomberg U.S. Corporate High Yield Indexes returned 5.95% and 5.28%, respectively, for the year. On the global debt front, the Bloomberg Global Aggregate Index returned -4.71% for the year.
10
Large Company Growth Portfolio
Commentary (Unaudited) - (Continued) |
The Wilshire Large Company Growth Portfolio - Institutional Class returned 23.42% for the year, underperforming the Russell 1000 Growth Index return of 27.6% by -4.18%. Stock selection within Consumer Discretionary and Communication Services were the top two detractors of performance. Underweight exposure to the Real Estate sector also detracted from relative performance. Conversely, stock selection within Industrials marginally contributed marginally to relative performance. Slight overweight to Communication Services and Energy sectors also contributed positively to performance.
The Wilshire Large Company Growth Portfolio also uses derivatives for benchmark exposure. Collateral is invested in short term fixed income instruments to cover the costs of the swap. In 2021, returns on these fixed-income investments exceeded the costs of the swap and contributed to the Portfolio’s relative performance.
Despite recent relative underperformance, we believe the Portfolio is well-positioned going into 2022 as the market deals with the ongoing pandemic, macroeconomic and geopolitical issues.
11
Large Company Growth Portfolio
Commentary (Unaudited) - (Continued) |
PORTFOLIO SECTOR WEIGHTING†
(As of December 31, 2021)
† | Based on the percent of Portfolio’s total investments in securities at value. |
Common Stocks are composed of:
Information Technology | 47.0% |
Consumer Discretionary | 16.6% |
Health Care | 12.7% |
Communication Services | 12.0% |
Industrials | 5.6% |
Financials | 2.9% |
Consumer Staples | 2.4% |
Materials | 0.4% |
Energy | 0.2% |
Real Estate | 0.2% |
The industry classifications represented in the Portfolio Sector Weightings and Condensed Schedules of Investments are in accordance with Global Industry Classification Standards (GICS®), which was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC.
12
Large Company Value Portfolio
Commentary (Unaudited) |
INVESTMENT CLASS SHARES
Average Annual Total Returns
One Year Ended 12/31/21 | 25.82% |
Five Years Ended 12/31/21 | 9.33% |
Ten Years Ended 12/31/21 | 11.61% |
RUSSELL 1000® VALUE INDEX(1)
Average Annual Total Returns
One Year Ended 12/31/21 | 25.16% |
Five Years Ended 12/31/21 | 11.16% |
Ten Years Ended 12/31/21 | 12.97% |
COMPARATIVE PERFORMANCE
Comparison of Change in Value of $10,000 Investment in Shares of Large Company Value Portfolio, Investment Class Shares and the Russell 1000® Value Index through 12/31/21.
On July 21, 2020, the Large Company Value Portfolio’s investment strategy was changed. Consequently, prior period performance may have been different if the new investment strategy had been in effect during these periods.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month end may be obtained at http://advisor.wilshire.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table above does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares.
(1) | The Russell 1000® Value Index is an unmanaged index that measures the performance of the largest 1,000 U.S. companies with lower price-to-book ratios and lower forecasted growth values. Index performance is presented for general comparative purposes. Unlike a mutual fund, the performance of an index assumes no transaction costs, management fees or other expenses. An individual cannot directly invest in any index. |
The Portfolio’s total expense ratio per the prospectus dated 4/30/2021, supplemented on 12/16/2021 was 1.32% for Investment Class Shares.
13
Large Company Value Portfolio
Commentary (Unaudited) - (Continued) |
INSTITUTIONAL CLASS SHARES
Average Annual Total Returns
One Year Ended 12/31/21 | 27.26% |
Five Years Ended 12/31/21 | 9.83% |
Ten Years Ended 12/31/21 | 11.98% |
RUSSELL 1000® VALUE INDEX(1)
Average Annual Total Returns
One Year Ended 12/31/21 | 25.16% |
Five Years Ended 12/31/21 | 11.16% |
Ten Years Ended 12/31/21 | 12.97% |
COMPARATIVE PERFORMANCE
Comparison of Change in Value of $250,000 Investment in Shares of Large Company Value Portfolio, Institutional Class Shares and the Russell 1000® Value Index through 12/31/21.
On July 21, 2020, the Large Company Value Portfolio’s investment strategy was changed. Consequently, prior period performance may have been different if the new investment strategy had been in effect during these periods.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month end may be obtained at http://advisor.wilshire.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table above does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares.
(1) | The Russell 1000® Value Index is an unmanaged index that measures the performance of the largest 1,000 U.S. companies with lower price-to-book ratios and lower forecasted growth values. Index performance is presented for general comparative purposes. Unlike a mutual fund, the performance of an index assumes no transaction costs, management fees or other expenses. An individual cannot directly invest in any index. |
The Portfolio’s total expense ratio per the prospectus dated 4/30/2021, supplemented on 12/16/2021 was 0.99% for Institutional Class Shares.
14
Large Company Value Portfolio
Commentary (Unaudited) - (Continued) |
The Wilshire Large Company Value Portfolio – Institutional Class returned 27.26% for the year, outperforming the Russell 1000 Value Index return of 25.16% by 2.10%. Stock selection within the Industrial and Information Technology sectors meaningfully contributed to performance. Overweight exposure to Financials and slight underweight exposure to Utilities also aided relative performance. Conversely, stock selection within Energy detracted from performance. Underweight exposure to Information Technology and Real Estate sectors contributed negatively from relative performance.
The Wilshire Large Company Growth Portfolio also uses derivatives for benchmark exposure. Collateral is invested in short-term fixed income instruments to cover the costs of the swap. In 2021, returns on these fixed-income investments exceeded the costs of the swap and contributed to the Portfolio’s relative performance.
We are pleased with the Portfolio’s recent relative outperformance for the year and believe that the Portfolio is well-positioned going into 2022 as the market deals with the ongoing pandemic, macroeconomic and geopolitical issues.
15
Large Company Value Portfolio
Commentary (Unaudited) - (Continued) |
PORTFOLIO SECTOR WEIGHTING†
(As of December 31, 2021)
† | Based on the percent of Portfolio’s total investments in securities at value. |
Common Stocks are composed of:
Financials | 20.0% |
Information Technology | 19.8% |
Industrials | 14.9% |
Health Care | 12.8% |
Consumer Staples | 6.4% |
Communication Services | 6.4% |
Consumer Discretionary | 6.3% |
Energy | 6.1% |
Materials | 4.1% |
Real Estate | 1.6% |
Utilities | 1.6% |
16
Small Company Growth Portfolio
Commentary (Unaudited) |
INVESTMENT CLASS SHARES
Average Annual Total Returns
One Year Ended 12/31/21 | 13.07% |
Five Years Ended 12/31/21 | 14.21% |
Ten Years Ended 12/31/21 | 14.79% |
RUSSELL 2000® GROWTH INDEX(1)
Average Annual Total Returns
One Year Ended 12/31/21 | 2.83% |
Five Years Ended 12/31/21 | 14.53% |
Ten Years Ended 12/31/21 | 14.14% |
COMPARATIVE PERFORMANCE
Comparison of Change in Value of $10,000 Investment in Shares of Small Company Growth Portfolio, Investment Class Shares and the Russell 2000® Growth Index through 12/31/21.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month end may be obtained at http://advisor.wilshire.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table above does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares.
(1) | The Russell 2000® Growth Index is an unmanaged index that measures the performance of the 2,000 smallest U.S. companies with higher price-to-book ratios and higher forecasted growth values. Index performance is presented for general comparative purposes. Unlike a mutual fund, the performance of an index assumes no transaction costs, management fees or other expenses. An individual cannot directly invest in any index. |
The Portfolio’s gross expense ratio per the prospectus dated 4/30/2021, supplemented on 12/16/2021 was 1.63% for Investment Class Shares. The Portfolio’s net expense ratio per the prospectus dated 4/30/2021, supplemented on 12/16/2021 was 1.35% for Investment Class Shares.
The Advisor has agreed to waive a portion of its management fee to limit expenses of the Portfolio (excluding taxes, brokerage expenses, dividend expenses on short securities and extraordinary expenses) to 1.35% of average daily net assets for Investment Class Shares until April 30, 2022.
17
Small Company Growth Portfolio
Commentary (Unaudited) - (Continued) |
INSTITUTIONAL CLASS SHARES
Average Annual Total Returns
One Year Ended 12/31/21 | 13.36% |
Five Years Ended 12/31/21 | 14.50% |
Ten Years Ended 12/31/21 | 15.08% |
RUSSELL 2000® GROWTH INDEX(1)
Average Annual Total Returns
One Year Ended 12/31/21 | 2.83% |
Five Years Ended 12/31/21 | 14.53% |
Ten Years Ended 12/31/21 | 14.14% |
COMPARATIVE PERFORMANCE
Comparison of Change in Value of $250,000 Investment in Shares of Small Company Growth Portfolio, Institutional Class Shares and the Russell 2000® Growth Index through 12/31/21.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month end may be obtained at http://advisor.wilshire.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table above does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares.
(1) | The Russell 2000® Growth Index is an unmanaged index that measures the performance of the 2,000 smallest U.S. companies with higher price-to-book ratios and higher forecasted growth values. Index performance is presented for general comparative purposes. Unlike a mutual fund, the performance of an index assumes no transaction costs, management fees or other expenses. An individual cannot directly invest in any index. |
The Portfolio’s gross expense ratio per the prospectus dated 4/30/2021, supplemented on 12/16/2021 was 1.36% for Institutional Class Shares. The Portfolio’s net expense ratio per the prospectus dated 4/30/2021, supplemented on 12/16/2021 was 1.10% for Institutional Class Shares.
The Advisor has agreed to waive a portion of its management fee to limit expenses of the Portfolio (excluding taxes, brokerage expenses, dividend expenses on short securities and extraordinary expenses) to 1.10% of average daily net assets for Institutional Class Shares until April 30, 2022.
18
Small Company Growth Portfolio
Commentary (Unaudited) - (Continued) |
The Wilshire Small Company Growth Portfolio – Institutional Class returned 13.36% for the year, outperforming the Russell 2000 Growth Index return of 2.83% by 10.53%. Stock selection within Health Care meaningful contributed to positive performance. Slight underweight exposure to Financials and overweight to the Information Technology sectors aided relative performance. Conversely, sector allocation within Industrials and Real Estate weighed on performance. Stock selection within Consumer Staples and Materials sectors also detracted from performance.
We are pleased with the Portfolio’s recent relative outperformance for the year and believe that the Portfolio is well-positioned going into 2022 as the market deals with the ongoing pandemic, macroeconomic and geopolitical issues.
19
Small Company Growth Portfolio
Commentary (Unaudited) - (Continued) |
PORTFOLIO SECTOR WEIGHTING†
(As of December 31, 2021)
† | Based on the percent of Portfolio’s total investments in securities at value. |
20
Small Company Value Portfolio
Commentary (Unaudited) |
INVESTMENT CLASS SHARES
Average Annual Total Returns
One Year Ended 12/31/21 | 32.04% |
Five Years Ended 12/31/21 | 7.90% |
Ten Years Ended 12/31/21 | 12.13% |
RUSSELL 2000® VALUE INDEX(1)
Average Annual Total Returns
One Year Ended 12/31/21 | 28.27% |
Five Years Ended 12/31/21 | 9.07% |
Ten Years Ended 12/31/21 | 12.03% |
COMPARATIVE PERFORMANCE
Comparison of Change in Value of $10,000 Investment in Shares of Small Company Value Portfolio, Investment Class Shares and the Russell 2000® Value Index through 12/31/21.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month end may be obtained at http://advisor.wilshire.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table above does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares.
(1) | The Russell 2000® Value Index is an unmanaged index that measures the performance of the 2,000 smallest U.S. companies with lower price-to-book ratios and lower forecasted growth values. Index performance is presented for general comparative purposes. Unlike a mutual fund, the performance of an index assumes no transaction costs, management fees or other expenses. An individual cannot directly invest in any index. |
The Portfolio’s gross expense ratio per the prospectus dated 4/30/2021 was 1.84% for Investment Class Shares. The Portfolio’s net expense ratio per the prospectus dated 4/30/2021 was 1.35% for Investment Class Shares.
The Advisor has agreed to waive a portion of its management fee to limit expenses of the Portfolio (excluding taxes, brokerage expenses, dividend expenses on short securities and extraordinary expenses) to 1.35% of average daily net assets for Investment Class Shares until April 30, 2022.
21
Small Company Value Portfolio
Commentary (Unaudited) - (Continued) |
INSTITUTIONAL CLASS SHARES
Average Annual Total Returns
One Year Ended 12/31/21 | 32.40% |
Five Years Ended 12/31/21 | 8.18% |
Ten Years Ended 12/31/21 | 12.42% |
RUSSELL 2000® VALUE INDEX(1)
Average Annual Total Returns
One Year Ended 12/31/21 | 28.27% |
Five Years Ended 12/31/21 | 9.07% |
Ten Years Ended 12/31/21 | 12.03% |
COMPARATIVE PERFORMANCE
Comparison of Change in Value of $250,000 Investment in Shares of Small Company Value Portfolio, Institutional Class Shares and the Russell 2000® Value Index through 12/31/21.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month end may be obtained at http://advisor.wilshire.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table above does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares.
(1) | The Russell 2000® Value Index is an unmanaged index that measures the performance of the 2,000 smallest U.S. companies with lower price-to-book ratios and lower forecasted growth values. Index performance is presented for general comparative purposes. Unlike a mutual fund, the performance of an index assumes no transaction costs, management fees or other expenses. An individual cannot directly invest in any index. |
The Portfolio’s gross expense ratio per the prospectus dated 4/30/2021 was 1.52% for Institutional Class Shares. The Portfolio’s net expense ratio per the prospectus dated 4/30/2021 was 1.10% for Institutional Class Shares.
The Advisor has agreed to waive a portion of its management fee to limit expenses of the Portfolio (excluding taxes, brokerage expenses, dividend expenses on short securities and extraordinary expenses) to 1.10% of average daily net assets for Institutional Class Shares until April 30, 2022.
22
Small Company Value Portfolio
Commentary (Unaudited) - (Continued) |
The Wilshire Small Company Value Portfolio – Institutional Class returned 32.4% for the year, outperforming the Russell 2000 Value Index return of 28.27% by 4.13%. Stock selection within Financials meaningfully contributed performance. Underweight to Health Care sector was the second top contributor to relative performance. Conversely, underweight exposure to Real Estate sector and stock selection within Consumer Staples and Health Care sectors weighed on performance.
We are pleased with the Portfolio’s recent relative outperformance for the year and believe that the Portfolio is well-positioned going into 2022 as the market deals with the ongoing pandemic, macroeconomic and geopolitical issues.
23
Small Company Value Portfolio
Commentary (Unaudited) - (Continued) |
PORTFOLIO SECTOR WEIGHTING†
(As of December 31, 2021)
† | Based on percent of the Portfolio’s total investments in securities at value. |
24
Wilshire 5000 Indexsm Fund
Commentary (Unaudited) |
INVESTMENT CLASS SHARES
Average Annual Total Returns
One Year Ended 12/31/21 | 25.59% |
Five Years Ended 12/31/21 | 17.26% |
Ten Years Ended 12/31/21 | 15.64% |
WILSHIRE 5000 INDEXSM(1)
Average Annual Total Returns
One Year Ended 12/31/21 | 26.70% |
Five Years Ended 12/31/21 | 18.11% |
Ten Years Ended 12/31/21 | 16.40% |
COMPARATIVE PERFORMANCE
Comparison of Change in Value of $10,000 Investment in Shares
of Wilshire 5000 IndexSM Fund, Investment Class Shares and the Wilshire 5000 IndexSM through 12/31/21.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month end may be obtained at http://advisor.wilshire.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Portfolio shares.
(1) | The Wilshire 5000 IndexSM is an unmanaged index that measures the performance of all U.S. headquartered equity securities with readily available price data. Index performance is presented for general comparative purposes. Unlike a mutual fund, the performance of an index assumes no transaction costs, management fees or other expenses. An individual cannot directly invest in any index. |
The Index Fund’s total expense ratio per the prospectus dated 4/30/2021 was 0.62% for Investment Class Shares.
25
Wilshire 5000 Indexsm Fund
Commentary (Unaudited) - (Continued) |
INSTITUTIONAL CLASS SHARES
Average Annual Total Returns
One Year Ended 12/31/21 | 25.85% |
Five Years Ended 12/31/21 | 17.59% |
Ten Years Ended 12/31/21 | 15.93% |
WILSHIRE 5000 INDEXSM(1)
Average Annual Total Returns
One Year Ended 12/31/21 | 26.70% |
Five Years Ended 12/31/21 | 18.11% |
Ten Years Ended 12/31/21 | 16.40% |
COMPARATIVE PERFORMANCE
Comparison of Change in Value of $250,000 Investment in Shares
of Wilshire 5000 IndexSM Fund, Institutional Class Shares and the Wilshire 5000 IndexSM through 12/31/21.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month end may be obtained at http://advisor.wilshire.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Portfolio shares.
(1) | The Wilshire 5000 IndexSM is an unmanaged index that measures the performance of all U.S. headquartered equity securities with readily available price data. Index performance is presented for general comparative purposes. Unlike a mutual fund, the performance of an index assumes no transaction costs, management fees or other expenses. An individual cannot directly invest in any index. |
The Index Fund’s total expense ratio per the prospectus dated 4/30/2021 was 0.32% for Institutional Class Shares.
26
Wilshire 5000 Indexsm Fund
Commentary (Unaudited) - (Continued) |
The Wilshire 5000 Index Fund – Institutional Class returned 25.85% the year, underperforming the Wilshire 5000 Index return of 26.7% by -0.85%. Relative underperformance is attributable to Fund expenses and is well within the historical range.
27
Wilshire 5000 Indexsm Fund
Commentary (Unaudited) - (Continued) |
PORTFOLIO SECTOR WEIGHTING†
(As of December 31, 2021)
† | Based on percent of the Portfolio’s total investments in securities at value. |
28
Wilshire International Equity Fund
Commentary (Unaudited) |
INVESTMENT CLASS SHARES
Average Annual Total Returns
One Year Ended 12/31/21 | 12.48% |
Five Years Ended 12/31/21 | 12.17% |
Ten Years Ended 12/31/21 | 8.44% |
MSCI ALL COUNTRY WORLD EX-U.S. INVESTABLE
MARKET INDEX(1)
Average Annual Total Returns
One Year Ended 12/31/21 | 8.53% |
Five Years Ended 12/31/21 | 9.83% |
Ten Years Ended 12/31/21 | 7.57% |
COMPARATIVE PERFORMANCE
Comparison of Change in Value of $10,000 Investment in Shares of Wilshire International Equity Fund, Investment Class Shares and the MSCI All Country World Ex-U.S. Index through 12/31/21.
On April 2, 2013 and July 21, 2021, the Wilshire International Equity Fund’s investment strategy was changed. Consequently, prior period performance may have been different if the new investment strategy had been in effect during these periods.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month end may be obtained at http://advisor.wilshire.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Portfolio’s gross expense ratio per the prospectus dated 4/30/2021 was 1.69% for Investment Class Shares. The Portfolio’s net expense ratio per the prospectus dated 4/30/2021 was 1.50% for Investment Class Shares.
29
Wilshire International Equity Fund
Commentary (Unaudited) - (Continued) |
The Advisor has agreed to waive a portion of its management fee to limit expenses of the Portfolio (excluding taxes, brokerage expenses, dividend expenses on short securities and extraordinary expenses) to 1.50% of average daily net assets for Investment Class Shares until April 30, 2022.
(1) | The MSCI ACWI ex-U.S. Investable Market Index captures large, mid and small cap representation across 22 of 23 Developed Markets countries (excluding the United States) and 23 Emerging Markets countries. The index covers approximately 99% of the global equity opportunity set outside the US. Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses. An individual cannot directly invest in any index. |
30
Wilshire International Equity Fund
Commentary (Unaudited) - (Continued) |
INSTITUTIONAL CLASS SHARES
Average Annual Total Returns
One Year Ended 12/31/21 | 12.78% |
Five Years Ended 12/31/21 | 12.47% |
Ten Years Ended 12/31/21 | 8.70% |
MSCI ALL COUNTRY WORLD EX-U.S. INVESTABLE
MARKET INDEX(1)
Average Annual Total Returns
One Year Ended 12/31/21 | 8.53% |
Five Years Ended 12/31/21 | 9.83% |
Ten Years Ended 12/31/21 | 7.57% |
COMPARATIVE PERFORMANCE
Comparison of Change in Value of $250,000 Investment in Shares of Wilshire International Equity Fund, Institutional Class Shares and the MSCI All Country World Ex-U.S. Index through 12/31/21.
On April 2, 2013 and July 21, 2021, the Wilshire International Equity Fund’s investment strategy was changed. Consequently, prior period performance may have been different if the new investment strategy had been in effect during these periods.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month end may be obtained at http://advisor.wilshire.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Portfolio’s gross expense ratio per the prospectus dated 4/30/2021 was 1.32% for Institutional Class Shares. The Portfolio’s net expense ratio per the prospectus dated 4/30/2021 was 1.25% for Institutional Class Shares.
31
Wilshire International Equity Fund
Commentary (Unaudited) - (Continued) |
The Advisor has agreed to waive a portion of its management fee to limit expenses of the Portfolio (excluding taxes, brokerage expenses, dividend expenses on short securities and extraordinary expenses) to 1.25% of average daily net assets for Institutional Class Shares until April 30, 2022.
(1) | The MSCI ACWI ex-U.S. Investable Market Index captures large, mid and small cap representation across 22 of 23 Developed Markets countries (excluding the United States) and 23 Emerging Markets countries. The index covers approximately 99% of the global equity opportunity set outside the US. Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses. An individual cannot directly invest in any index. |
32
Wilshire International Equity Fund
Commentary (Unaudited) - (Continued) |
The Wilshire International Equity Fund – Institutional Class returned 12.78% for the year, outperforming the MSCI All Country World ex USA Investable Market Index return of 8.53% by 4.25%. Stock selection within Consumer Discretionary, Information Technology, and Health Care sectors contributed positively. Selection within the United States and Japan also aided performance. Underweight allocation to Communication Services and Information Technology sectors marginally aided performance. Conversely, overweight exposure to Consumer Discretionary and stock selection within the Energy sector weighed on performance.
The Wilshire International Equity Fund also uses derivatives for benchmark exposure. Collateral is invested in short term fixed income instruments to cover the costs of the swaps. In 2021, returns on these fixed income investments exceeded the costs of the swaps and contributed to the Fund’s relative performance.
We are pleased with the Fund’s recent relative outperformance for the year and believe that the Fund is well-positioned going into 2022 as the market deals with the ongoing pandemic, macroeconomic and geopolitical issues.
33
Wilshire International Equity Fund
Commentary (Unaudited) - (Continued) |
PORTFOLIO SECTOR WEIGHTING†
(As of December 31, 2021)
† | Based on percent of the Portfolio’s total investments in securities at value. |
Common Stocks are composed of:
Japan | 13.2% |
Britain | 8.0% |
Switzerland | 7.3% |
France | 6.2% |
Canada | 5.9% |
Taiwan | 5.6% |
China | 5.1% |
Netherlands | 4.4% |
United States | 4.3% |
Germany | 4.3% |
Denmark | 3.8% |
Australia | 3.7% |
Ireland | 3.7% |
Sweden | 3.5% |
South Korea | 2.9% |
Hong Kong | 2.3% |
Italy | 2.1% |
India | 2.0% |
Spain | 1.4% |
Finland | 1.3% |
Russia | 1.1% |
Brazil | 1.0% |
Singapore | 0.9% |
United Kingdom | 0.6% |
34
Wilshire International Equity Fund
Commentary (Unaudited) - (Continued) |
Thailand | 0.6% |
Israel | 0.6% |
South Africa | 0.5% |
United Arab Emirates | 0.5% |
Belgium | 0.4% |
Norway | 0.3% |
Turkey | 0.3% |
Czech Republic | 0.3% |
Malaysia | 0.2% |
Austria | 0.2% |
Poland | 0.2% |
Saudi Arabia | 0.1% |
Mexico | 0.1% |
Portugal | 0.1% |
Indonesia | 0.1% |
Philippines | 0.1% |
Qatar | 0.1% |
Luxembourg | 0.1% |
Malta | 0.1% |
New Zealand | 0.1% |
Egypt | 0.1% |
Gibraltar | 0.1% |
Chile | 0.1% |
Georgia | 0.1% |
Mauritius | 0.0% |
Hungary | 0.0% |
Isle Of Man | 0.0% |
Greece | 0.0% |
Jersey | 0.0% |
Macau | 0.0% |
35
Wilshire Income Opportunities Fund
Commentary (Unaudited) |
INVESTMENT CLASS SHARES
Average Annual Total Returns
One Year Ended 12/31/21 | 0.40% |
Five Years Ended 12/31/21 | 3.64% |
Inception (03/30/16) through 12/31/21 | 3.84% |
BLOOMBERG U.S. UNIVERSAL INDEX(1)
Average Annual Total Returns
One Year Ended 12/31/21 | -1.10% |
Five Years Ended 12/31/21 | 3.84% |
Inception (03/30/16) through 12/31/21 | 3.51% |
COMPARATIVE PERFORMANCE
Comparison of Change in Value of $10,000 Investment in Shares of Wilshire Income Opportunities Fund, Investment Class Shares and the Bloomberg U.S. Universal Index through 12/31/21.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month end may be obtained at http://advisor.wilshire.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
(1) | The Bloomberg U.S. Universal Index represents the union of the U.S. Aggregate Index, U.S. Corporate High Yield Index, Investment Grade 144A Index, Eurodollar Index, U.S. Emerging Markets Index, and the non-ERISA eligible portion of the CMBS Index. The index covers USD-denominated, taxable bonds that are rated either investment grade or high-yield. Some U.S. Universal Index constituents may be eligible for one or more of its contributing subcomponents that are not mutually exclusive. The Bloomberg U.S. Universal Index includes Treasury securities, Government agency bonds, mortgage-backed bonds, corporate bonds, and a small amount of foreign bonds traded in U.S. An individual cannot directly invest in any index. |
The Portfolio’s gross expense ratio per the prospectus dated 4/30/2021, supplemented on 12/16/2021 was 1.30% for Investment Class Shares. The Portfolio’s net expense ratio per the prospectus dated 4/30/2021, supplemented on 12/16/2021 was 1.16% for Investment Class Shares.
36
Wilshire Income Opportunities Fund
Commentary (Unaudited) - (Continued) |
The Advisor has agreed to waive a portion of its management fee to limit expenses of the Portfolio (excluding taxes, brokerage expenses, dividend expenses on short securities and extraordinary expenses) to 1.15% of average daily net assets for Investment Class Shares until April 30, 2022.
37
Wilshire Income Opportunities Fund
Commentary (Unaudited) - (Continued) |
INSTITUTIONAL CLASS SHARES
Average Annual Total Returns
One Year Ended 12/31/21 | 0.63% |
Five Years Ended 12/31/21 | 3.88% |
Inception (03/30/16) through 12/31/21 | 4.04% |
BLOOMBERG U.S. UNIVERSAL INDEX(1)
Average Annual Total Returns
One Year Ended 12/31/21 | -1.10% |
Five Years Ended 12/31/21 | 3.84% |
Inception (03/30/16) through 12/31/21 | 3.51% |
COMPARATIVE PERFORMANCE
Comparison of Change in Value of $250,000 Investment in Shares of Wilshire Income Opportunities Fund, Institutional Class Shares and the Bloomberg U.S. Universal Index through 12/31/21.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month end may be obtained at http://advisor.wilshire.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
(1) | The Bloomberg U.S. Universal Index represents the union of the U.S. Aggregate Index, U.S. Corporate High Yield Index, Investment Grade 144A Index, Eurodollar Index, U.S. Emerging Markets Index, and the non-ERISA eligible portion of the CMBS Index. The index covers USD-denominated, taxable bonds that are rated either investment grade or high-yield. Some U.S. Universal Index constituents may be eligible for one or more of its contributing subcomponents that are not mutually exclusive. The Bloomberg U.S. Universal Index includes Treasury securities, Government agency bonds, mortgage-backed bonds, corporate bonds, and a small amount of foreign bonds traded in U.S. An individual cannot directly invest in any index. |
The Portfolio’s gross expense ratio per the prospectus dated 4/30/2021, supplemented on 12/16/2021 was 0.93% for Institutional Class Shares. The Portfolio’s net expense ratio per the prospectus dated 4/30/2021, supplemented on 12/16/2021 was 0.91% for Institutional Class Shares.
38
Wilshire Income Opportunities Fund
Commentary (Unaudited) - (Continued) |
The Advisor has agreed to waive a portion of its management fee to limit expenses of the Portfolio (excluding taxes, brokerage expenses, dividend expenses on short securities and extraordinary expenses) to 0.90% of average daily net assets for Institutional Class Shares until April 30, 2022.
39
Wilshire Income Opportunities Fund
Commentary (Unaudited) - (Continued) |
The Wilshire Income Opportunities Fund - Institutional Class returned 0.63% for the year, outperforming the Bloomberg US Universal Index return of -1.10% by 1.73%. Exposures to sectors with less interest rate sensitivity such as Asset-Backed Securities, Residential Mortgage-Backed Securities, or Bank Loans, generally contributed positively to performance. Underweight exposure to duration across the three subadvisers also aided relative performance. Conversely, allocations to Treasuries and Investment Grades weighed on relative performance as these securities generally experience negative returns in a rising interest rate environment. In some cases, the Fund also uses derivatives to implement its investment strategy, particularly with respect to foreign currency and interest rates. For the year, these derivatives positions were modestly detractive.
We are pleased with the Fund’s recent relative outperformance for the year and believe that the Fund is well-positioned going into 2022 as the market deals with the ongoing pandemic, macroeconomic and geopolitical issues.
This report must be preceded or accompanied by a prospectus.
Opinions expressed are those of the Portfolios and are subject to change, are not guaranteed, and should not be considered a recommendation to buy or sell any security. Sector allocations are subject to change.
Past performance does not guarantee future results. The performance data quoted represent past performance and current returns may be lower or higher. Share prices and investment returns fluctuate and an investor’s shares may be worth more or less than original cost upon redemption. For periods less than one year, performance is cumulative. For performance data current to the most recent month-end please call 1-866-591-1568.
Index returns are for illustrative purposes only and do not represent actual Fund performance. Index performance returns do not reflect any management fees, transactions costs or expenses. Indexes are unmanaged and one cannot invest directly in an index. Past performance does not guarantee future results.
Bonds and bond funds are subject to interest rate risk and will decline in value as interest rates rise. In addition to the normal risks associated with investing, international investments may involve risk of capital loss from unfavorable fluctuation in currency values, from differences in generally accepted accounting principles or from social, economic or political instability in other nations. Investments in smaller companies typically exhibit higher volatility.
Investing involves risk including loss of principal. This report identifies each Portfolio’s investments on December 31, 2021. These holdings are subject to change. Not all investments in each Portfolio performed the same, nor is there any guarantee that these investments will perform as well in the future. Market forecasts provided in this report may not occur.
Wilshire Mutual Funds, Inc. are distributed by Compass Distributors, LLC.
40
Wilshire Income Opportunities Fund
Commentary (Unaudited) - (Continued) |
PORTFOLIO SECTOR WEIGHTING†
(As of December 31, 2021)
† | Based on percent of the Portfolio’s total investments in securities at value. |
41
Wilshire Mutual Funds, Inc.
Disclosure of Fund Expenses (Unaudited) |
All mutual funds have operating expenses. As a shareholder of a Portfolio, you incur ongoing costs, which include costs for investment advisory, administrative services, distribution and/or shareholder services and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the Portfolio. A Portfolio’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the Portfolios and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire period from July 1, 2021 to December 31, 2021.
The table on the next page illustrates the Portfolios’ costs in two ways:
Actual Fund Return: This section helps you to estimate the actual expenses, after any applicable fee reductions, that you paid over the period. The “Ending Account Value” shown is derived from each Portfolio’s actual return for the period. The “Expense Ratio” column shows the period’s annualized expense ratio and the “Expenses Paid During Period” column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolios at the beginning of the period.
You may use the information here, together with your account value, to estimate the expenses that you paid over the period. To do so, simply 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 given for the Portfolio in the first line under the heading entitled “Expenses Paid During Period.”
Hypothetical 5% Return: This section is intended to help you compare the Portfolios’ costs with those of other mutual funds. The “Ending Account Value” shown is derived from hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and assumed rate of return. It assumes that each Portfolio had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not each Portfolio’s actual return, the results do not apply to your investment. This example is useful in making comparisons to other mutual funds because the U.S. Securities and Exchange Commission (“SEC”) requires all mutual funds to calculate expenses based on an assumed 5% annual return. You can assess the Portfolios’ ongoing costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare your ongoing costs only and do not reflect any transactional costs such as sales charges (loads), redemption fees, or exchange fees. Wilshire Mutual Funds, Inc. has no such charges, but these may be present in other funds to which you compare this data. Therefore, the hypothetical portions of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
42
Wilshire Mutual Funds, Inc.
Disclosure of Fund Expenses (Unaudited) - (Continued)
For the Six Months Ended December 31, 2021 (Unaudited) |
Beginning | Ending | Net | Expenses | |||||||||||||
Large Company Growth Portfolio | ||||||||||||||||
Based on Actual Fund Return | ||||||||||||||||
Investment Class | $ | 1,000.00 | $ | 1,085.40 | 1.31 | % | $ | 6.89 | ||||||||
Institutional Class | $ | 1,000.00 | $ | 1,087.10 | 0.97 | % | $ | 5.10 | ||||||||
Based on Hypothetical 5% Return | ||||||||||||||||
Investment Class | $ | 1,000.00 | $ | 1,018.60 | 1.31 | % | $ | 6.67 | ||||||||
Institutional Class | $ | 1,000.00 | $ | 1,020.32 | 0.97 | % | $ | 4.94 | ||||||||
Large Company Value Portfolio | ||||||||||||||||
Based on Actual Fund Return | ||||||||||||||||
Investment Class | $ | 1,000.00 | $ | 1,071.10 | 1.32 | % | $ | 6.89 | ||||||||
Institutional Class | $ | 1,000.00 | $ | 1,080.90 | 1.00 | % | $ | 5.25 | ||||||||
Based on Hypothetical 5% Return | ||||||||||||||||
Investment Class | $ | 1,000.00 | $ | 1,018.55 | 1.32 | % | $ | 6.72 | ||||||||
Institutional Class | $ | 1,000.00 | $ | 1,020.16 | 1.00 | % | $ | 5.09 | ||||||||
Small Company Growth Portfolio | ||||||||||||||||
Based on Actual Fund Return | ||||||||||||||||
Investment Class | $ | 1,000.00 | $ | 1,005.00 | 1.35 | % | $ | 6.82 | ||||||||
Institutional Class | $ | 1,000.00 | $ | 1,006.30 | 1.10 | % | $ | 5.56 | ||||||||
Based on Hypothetical 5% Return | ||||||||||||||||
Investment Class | $ | 1,000.00 | $ | 1,018.40 | 1.35 | % | $ | 6.87 | ||||||||
Institutional Class | $ | 1,000.00 | $ | 1,019.66 | 1.10 | % | $ | 5.60 | ||||||||
Small Company Value Portfolio | ||||||||||||||||
Based on Actual Fund Return | ||||||||||||||||
Investment Class | $ | 1,000.00 | $ | 1,048.20 | 1.35 | % | $ | 6.97 | ||||||||
Institutional Class | $ | 1,000.00 | $ | 1,049.50 | 1.10 | % | $ | 5.68 | ||||||||
Based on Hypothetical 5% Return | ||||||||||||||||
Investment Class | $ | 1,000.00 | $ | 1,018.40 | 1.35 | % | $ | 6.87 | ||||||||
Institutional Class | $ | 1,000.00 | $ | 1,019.66 | 1.10 | % | $ | 5.60 |
43
Wilshire Mutual Funds, Inc.
Disclosure of Fund Expenses (Unaudited) - (Continued)
For the Six Months Ended December 31, 2021 (Unaudited) |
Beginning | Ending | Net | Expenses | |||||||||||||
Wilshire 5000 IndexSM Fund | ||||||||||||||||
Based on Actual Fund Return | ||||||||||||||||
Investment Class | $ | 1,000.00 | $ | 1,094.40 | 0.46 | % | $ | 2.43 | ||||||||
Institutional Class | $ | 1,000.00 | $ | 1,095.20 | 0.31 | % | $ | 1.64 | ||||||||
Based on Hypothetical 5% Return | ||||||||||||||||
Investment Class | $ | 1,000.00 | $ | 1,022.89 | 0.46 | % | $ | 2.35 | ||||||||
Institutional Class | $ | 1,000.00 | $ | 1,023.64 | 0.31 | % | $ | 1.58 | ||||||||
Wilshire International Equity Fund | ||||||||||||||||
Based on Actual Fund Return | ||||||||||||||||
Investment Class | $ | 1,000.00 | $ | 1,004.70 | 1.50 | % | $ | 7.58 | ||||||||
Institutional Class | $ | 1,000.00 | $ | 1,005.80 | 1.25 | % | $ | 6.32 | ||||||||
Based on Hypothetical 5% Return | ||||||||||||||||
Investment Class | $ | 1,000.00 | $ | 1,017.64 | 1.50 | % | $ | 7.63 | ||||||||
Institutional Class | $ | 1,000.00 | $ | 1,018.90 | 1.25 | % | $ | 6.36 | ||||||||
Wilshire Income Opportunities Fund | ||||||||||||||||
Based on Actual Fund Return | ||||||||||||||||
Investment Class | $ | 1,000.00 | $ | 995.50 | 1.15 | % | $ | 5.78 | ||||||||
Institutional Class | $ | 1,000.00 | $ | 995.50 | 0.90 | % | $ | 4.53 | ||||||||
Based on Hypothetical 5% Return | ||||||||||||||||
Investment Class | $ | 1,000.00 | $ | 1,019.41 | 1.15 | % | $ | 5.85 | ||||||||
Institutional Class | $ | 1,000.00 | $ | 1,020.67 | 0.90 | % | $ | 4.58 |
(1) | Annualized, based on each Portfolio’s most recent fiscal half-year expenses. |
(2) | Expenses are equal to each Portfolio’s annualized net expense ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
44
Wilshire Mutual Funds, Inc.
Large Company Growth Portfolio
Condensed Schedule of Investments | December 31, 2021 |
Shares | Value | |||||||
COMMON STOCKS — 79.0% (a) | ||||||||
Communication Services — 9.5% | ||||||||
Alphabet, Inc. - Class A (b) | 984 | $ | 2,850,687 | |||||
Alphabet, Inc. - Class C (b) | 4,999 | 14,465,056 | ||||||
Meta Platforms, Inc. - Class A (b) | 20,493 | 6,892,821 | ||||||
Other Securities (b)(c) | 3,841,757 | |||||||
28,050,321 | ||||||||
Consumer Discretionary — 13.1% | ||||||||
Amazon.com, Inc. (b) | 4,192 | 13,977,553 | ||||||
General Motors Co. (b) | 23,584 | 1,382,730 | ||||||
MGM Resorts International | 37,195 | 1,669,312 | ||||||
NIKE, Inc. - Class B | 15,381 | 2,563,551 | ||||||
Tesla, Inc. (b) | 5,187 | 5,481,518 | ||||||
The Home Depot, Inc. | 10,055 | 4,172,925 | ||||||
Other Securities (b)(c) | 9,294,134 | |||||||
38,541,723 | ||||||||
Consumer Staples — 1.9% | ||||||||
Costco Wholesale Corp. | 5,518 | 3,132,569 | ||||||
Monster Beverage Corp. (b) | 17,671 | 1,697,123 | ||||||
Other Securities (b)(c) | 851,943 | |||||||
5,681,635 | ||||||||
Energy — 0.1% | ||||||||
Other Securities (c) | 371,481 | |||||||
Financials — 2.2% | ||||||||
S&P Global, Inc. | 3,919 | 1,849,494 | ||||||
Signature Bank | 5,874 | 1,900,063 | ||||||
Other Securities (b)(c)(d) | 2,884,389 | |||||||
6,633,946 | ||||||||
Health Care — 10.1% | ||||||||
Align Technology, Inc. (b) | 3,714 | 2,440,767 | ||||||
Catalent, Inc. (b) | 10,346 | 1,324,598 | ||||||
Danaher Corp. | 5,976 | 1,966,164 | ||||||
Edwards Lifesciences Corp. (b) | 12,885 | 1,669,252 | ||||||
IDEXX Laboratories, Inc. (b) | 1,740 | 1,145,720 | ||||||
Intuitive Surgical, Inc. (b) | 6,859 | 2,464,439 | ||||||
UnitedHealth Group, Inc. | 12,741 | 6,397,766 | ||||||
Vertex Pharmaceuticals, Inc. (b) | 10,244 | 2,249,582 | ||||||
Zoetis, Inc. | 14,312 | 3,492,557 | ||||||
Other Securities (b)(c) | 6,505,670 | |||||||
29,656,515 |
Shares | Value | |||||||
Industrials — 4.5% | ||||||||
AMETEK, Inc. | 9,065 | $ | 1,332,917 | |||||
Copart, Inc. (b) | 8,940 | 1,355,483 | ||||||
Eaton Corp. PLC | 15,306 | 2,645,183 | ||||||
Roper Technologies, Inc. | 2,637 | 1,297,035 | ||||||
TransDigm Group, Inc. (b) | 1,629 | 1,036,500 | ||||||
Uber Technologies, Inc. (b) | 28,013 | 1,174,585 | ||||||
Other Securities (b)(c) | 4,301,002 | |||||||
13,142,705 | ||||||||
Information Technology — 37.2% | ||||||||
Accenture PLC - Class A | 3,084 | 1,278,472 | ||||||
Adobe, Inc. (b) | 9,266 | 5,254,378 | ||||||
Advanced Micro Devices, Inc. (b) | 20,803 | 2,993,552 | ||||||
Apple, Inc. | 84,888 | 15,073,562 | ||||||
Applied Materials, Inc. | 20,925 | 3,292,758 | ||||||
Arista Networks, Inc. (b) | 14,526 | 2,088,112 | ||||||
Bill.com Holdings, Inc. (b) | 4,268 | 1,063,372 | ||||||
EPAM Systems, Inc. (b) | 1,922 | 1,284,761 | ||||||
Intuit, Inc. | 4,053 | 2,606,971 | ||||||
Micron Technology, Inc. | 20,160 | 1,877,904 | ||||||
Microsoft Corp. | 74,705 | 25,124,786 | ||||||
NVIDIA Corp. | 25,877 | 7,610,684 | ||||||
PayPal Holdings, Inc. (b) | 18,273 | 3,445,922 | ||||||
QUALCOMM, Inc. | 40,166 | 7,345,156 | ||||||
salesforce.com, Inc. (b) | 8,114 | 2,062,011 | ||||||
Shopify, Inc. - Class A (b) | 1,046 | 1,440,750 | ||||||
Unity Software, Inc. (b) | 7,358 | 1,052,120 | ||||||
Visa, Inc. - Class A | 28,709 | 6,221,527 | ||||||
Xilinx, Inc. | 7,317 | 1,551,424 | ||||||
Other Securities (b)(c) | 16,835,302 | |||||||
109,503,524 | ||||||||
Materials — 0.3% | ||||||||
Other Securities (c) | 888,203 | |||||||
Real Estate — 0.1% | ||||||||
Other Securities (b)(c) | 363,364 | |||||||
Total Common Stocks (Cost $134,739,942) | 232,833,417 |
See Notes to Financial Statements.
45
Wilshire Mutual Funds, Inc.
Large Company Growth Portfolio
Condensed Schedule of Investments - (Continued) | December 31, 2021 |
Par Value | Value | |||||||
U.S. TREASURY OBLIGATIONS — 0.3% | ||||||||
U.S. Treasury Notes — 0.3% | ||||||||
Other Securities (c)(e) | $ | 794,275 | ||||||
Total U.S. Treasury Obligations (Cost $799,815) | 794,275 | |||||||
AGENCY MORTGAGE-BACKED OBLIGATIONS — 0.1% | ||||||||
Federal Home Loan Mortgage Corp. — 0.1% | ||||||||
Other Securities (c)(e)(f) | 323,956 | |||||||
Total Agency Mortgage-Backed Obligations (Cost $277,841) | 323,956 | |||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS — 1.8% | ||||||||
Other Securities (c)(e)(f)(g)(h) | 5,214,050 | |||||||
Total Non-Agency Mortgage-Backed Obligations (Cost $5,255,761) | 5,214,050 | |||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS INTEREST-ONLY STRIPS — 0.1% | ||||||||
Other Securities (c)(e)(f)(g) | 337,935 | |||||||
Total Non-Agency Mortgage-Backed Obligations Interest-Only Strips (Cost $358,224) | 337,935 | |||||||
ASSET-BACKED SECURITIES — 1.5% | ||||||||
Other Securities (c)(e)(g)(h) | 4,491,723 | |||||||
Total Asset-Backed Securities (Cost $4,514,532) | 4,491,723 | |||||||
COLLATERALIZED LOAN OBLIGATIONS — 1.7% | ||||||||
Other Securities (c)(e)(g)(h)(i) | 5,064,579 | |||||||
Total Collateralized Loan Obligations (Cost $5,074,868) | 5,064,579 | |||||||
Par Value | Value | |||||||
CORPORATE BONDS — 3.7% | ||||||||
Basic Materials — 0.0% (j) | ||||||||
Other Securities (c)(e) | $ | 145,422 | ||||||
Communications — 0.3% | ||||||||
Amazon.com, Inc. | ||||||||
1.500%, due 06/03/30 (e) | $ | 100,000 | 96,991 | |||||
Other Securities (c)(e)(g) | 668,703 | |||||||
765,694 | ||||||||
Consumer, Cyclical — 0.2% | ||||||||
The Home Depot, Inc. | ||||||||
1.500%, due 09/15/28 (e) | 103,000 | 101,451 | ||||||
Other Securities (c)(e)(g) | 580,728 | |||||||
682,179 | ||||||||
Consumer, Non-cyclical — 0.6% | ||||||||
Other Securities (c)(e)(g) | 1,768,051 | |||||||
Energy — 0.1% | ||||||||
Other Securities (c)(e) | 408,480 | |||||||
Financial — 1.7% | ||||||||
Other Securities (c)(e)(g)(h) | 5,021,247 | |||||||
Industrial — 0.2% | ||||||||
Other Securities (c)(e) | 460,517 | |||||||
Technology — 0.3% | ||||||||
Apple, Inc. | ||||||||
1.200%, due 02/08/28 (e) | 80,000 | 77,615 | ||||||
Microsoft Corp. | ||||||||
2.400%, due 08/08/26 (e) | 150,000 | 156,719 | ||||||
Other Securities (c)(e) | 522,853 | |||||||
757,187 | ||||||||
Utilities — 0.3% | ||||||||
Other Securities (c)(e) | 758,363 | |||||||
Total Corporate Bonds (Cost $10,956,891) | 10,767,140 | |||||||
See Notes to Financial Statements.
46
Wilshire Mutual Funds, Inc.
Large Company Growth Portfolio
Condensed Schedule of Investments - (Continued) | December 31, 2021 |
Shares | Value | |||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES — 4.7% | ||||||||
Voya Emerging Markets Hard Currency Debt Fund - Class P | 238,869 | $ | 2,240,592 | |||||
Voya High Yield Bond Fund - Class P | 259,330 | 2,082,421 | ||||||
Voya Investment Grade Credit Fund - Class P | 81,566 | 906,202 | ||||||
Voya Securitized Credit Fund - Class P | 875,074 | 8,549,478 | ||||||
Total Affiliated Registered Investment Companies (Cost $13,619,674) | 13,778,693 | |||||||
Total Investments at Value — 92.9% (Cost $175,597,548) | $ | 273,605,768 | ||||||
Other Assets in Excess of Liabilities — 7.1% | 20,981,283 | |||||||
Net Assets — 100.0% | $ | 294,587,051 |
Percentages are stated as a percent of net assets.
The Condensed Schedule of Investments does not reflect the complete portfolio holdings. It includes the Portfolio’s 50 largest holdings, each investment of any issue that exceeds 1% of the Portfolio’s net assets, and any investments classified as Level 3. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). The complete schedule of portfolio holdings is available (i) on the SEC’s website at http://www.sec.gov; and (ii) on our website at http://advisor.wilshire.com.
(a) | More narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting purposes. |
(b) | Non-income producing security. |
(c) | Represents issuers not identified as a top 50 holding in terms of market value, issues or issuers not exceeding 1% of net assets individually or in the aggregate, respectively, or any issuers not classified as Level 3 investments, as of December 31, 2021. |
(d) | This security or a partial position of this security is on loan at December 31, 2021. The total fair value of securities on loan at December 31, 2021, was $61,026 (Note 8). |
(e) | Level 2 security. |
(f) | Variable rate security. The coupon is based on an underlying pool of loans. The rate listed is as of December 31, 2021. |
(g) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other ‘‘qualified institutional buyers.’’ As of December 31, 2021, the value of these investments was $14,313,916, or 4.9% of total net assets. |
(h) | Variable rate security based on a reference index and spread. The rate listed is as of December 31, 2021. |
(i) | Illiquid security. The total value of such securities is $1,268,223 as of December 31, 2021, representing 0.4% of net assets. |
(j) | Represents less than 0.1%. |
See Notes to Financial Statements.
47
Wilshire Mutual Funds, Inc.
Large Company Growth Portfolio
Schedule of Total Return Swaps | December 31, 2021 |
Counterparty | Reference | Pay/ | Financing | Maturity | Payment | Shares | Notional | Value/ | ||||||
Goldman Sachs Bank, USA | Russell 1000 Growth Total Return Index | Receive | (U.S. Federal Funds Rate + 0.490%) | 11/02/2022 | At Maturity | 19,134 | $ | 59,167,609 | $ | 6,093,160 | ||||
Total Return Swaps | $ | 6,093,160 |
Wilshire Mutual Funds, Inc.
Large Company Growth Portfolio
Schedule of Futures Contracts | December 31, 2021 |
FUTURES CONTRACTS PURCHASED | Contracts | Expiration | Notional | Value/ | ||||||
2-Year U.S. Treasury Note Future | 4 | 03/31/2022 | $ | 824,421 | $ | (533 | ) | |||
Total Futures Contracts Purchased | $ | 824,421 | $ | (533 | ) |
FUTURES CONTRACTS SOLD SHORT | Contracts | Expiration | Notional | Value/ | ||||||
5-Year U.S. Treasury Note Future | 24 | 03/31/2022 | $ | 2,348,593 | $ | (12,234 | ) | |||
10-Year U.S. Treasury Note Future | 27 | 03/22/2022 | 2,984,045 | (40,554 | ) | |||||
U.S. Treasury Long Bond Future | 6 | 03/22/2022 | 868,292 | (15,809 | ) | |||||
Ultra 10-Year U.S. Treasury Bond Future | 15 | 03/22/2022 | 1,464,007 | (39,288 | ) | |||||
Ultra Long-Term U.S. Treasury Bond Future | 5 | 03/22/2022 | 605,276 | (24,542 | ) | |||||
Total Futures Contracts Sold Short | $ | 8,270,213 | $ | (132,427 | ) |
See Notes to Financial Statements.
48
Wilshire Mutual Funds, Inc.
Large Company Value Portfolio
Condensed Schedule of Investments | December 31, 2021 |
Shares | Value | |||||||
COMMON STOCKS — 80.0% (a) | ||||||||
Communication Services — 5.1% | ||||||||
Alphabet, Inc. - Class A (b) | 1,209 | $ | 3,502,521 | |||||
Alphabet, Inc. - Class C (b) | 404 | 1,169,010 | ||||||
Discovery, Inc. - Class C (b) | 45,104 | 1,032,882 | ||||||
Other Securities (b)(c) | 5,948,376 | |||||||
11,652,789 | ||||||||
Consumer Discretionary — 5.1% | ||||||||
General Motors Co.(b) | 29,054 | 1,703,436 | ||||||
Magna International, Inc. | 13,792 | 1,116,324 | ||||||
Other Securities (b)(c) | 8,793,088 | |||||||
11,612,848 | ||||||||
Consumer Staples — 5.1% | ||||||||
Colgate-Palmolive Co. | 26,196 | 2,235,567 | ||||||
Costco Wholesale Corp. | 2,939 | 1,668,470 | ||||||
Other Securities (b)(c) | 7,876,635 | |||||||
11,780,672 | ||||||||
Energy — 4.8% | ||||||||
Marathon Oil Corp. | 99,502 | 1,633,823 | ||||||
Other Securities (b)(c) | 9,473,097 | |||||||
11,106,920 | ||||||||
Financials — 16.0% | ||||||||
American International Group, Inc. | 40,089 | 2,279,461 | ||||||
Aon PLC - Class A | 3,779 | 1,135,816 | ||||||
Berkshire Hathaway, Inc. - Class B (b) | 9,133 | 2,730,767 | ||||||
Citigroup, Inc. | 45,617 | 2,754,811 | ||||||
JPMorgan Chase & Co. | 11,806 | 1,869,480 | ||||||
Moody’s Corp. | 3,994 | 1,559,977 | ||||||
S&P Global, Inc. | 2,534 | 1,195,871 | ||||||
The Charles Schwab Corp. | 20,514 | 1,725,227 | ||||||
Wells Fargo & Co. | 64,681 | 3,103,394 | ||||||
Other Securities (b)(c) | 18,370,137 | |||||||
36,724,941 | ||||||||
Health Care — 10.3% | ||||||||
Agilent Technologies, Inc. | 10,090 | 1,610,869 | ||||||
Anthem, Inc. | 4,922 | 2,281,544 | ||||||
Bruker Corp. | 15,462 | 1,297,416 | ||||||
CVS Health Corp. | 14,239 | 1,468,895 | ||||||
Danaher Corp. | 3,721 | 1,224,246 | ||||||
Johnson & Johnson | 8,344 | 1,427,408 | ||||||
UnitedHealth Group, Inc. | 3,405 | 1,709,787 | ||||||
Other Securities (b)(c) | 12,531,989 | |||||||
23,552,154 |
Shares | Value | |||||||
Industrials — 11.9% | ||||||||
Equifax, Inc. | 3,561 | $ | 1,042,625 | |||||
FedEx Corp. | 4,749 | 1,228,281 | ||||||
General Electric Co. | 24,776 | 2,340,589 | ||||||
Honeywell International, Inc. | 5,149 | 1,073,618 | ||||||
Otis Worldwide Corp. | 24,604 | 2,142,270 | ||||||
Rockwell Automation, Inc. | 4,504 | 1,571,220 | ||||||
Watts Water Technologies, Inc. - Class A | 7,212 | 1,400,354 | ||||||
Other Securities (b)(c) | 16,455,288 | |||||||
27,254,245 | ||||||||
Information Technology — 15.8% | ||||||||
Accenture PLC - Class A | 4,324 | 1,792,514 | ||||||
Adobe, Inc. (b) | 2,255 | 1,278,720 | ||||||
Analog Devices, Inc. | 7,571 | 1,330,755 | ||||||
ANSYS, Inc. (b) | 3,025 | 1,213,388 | ||||||
Cadence Design Systems, Inc. (b) | 9,292 | 1,731,564 | ||||||
Cisco Systems, Inc. | 18,530 | 1,174,246 | ||||||
F5 Networks, Inc.(b) | 5,788 | 1,416,381 | ||||||
Mastercard, Inc. - Class A | 3,238 | 1,163,478 | ||||||
Microsoft Corp. | 10,991 | 3,696,493 | ||||||
salesforce.com, Inc. (b) | 7,535 | 1,914,870 | ||||||
Synopsys, Inc. (b) | 3,739 | 1,377,822 | ||||||
Texas Instruments, Inc. | 5,637 | 1,062,405 | ||||||
Other Securities (b)(c)(d) | 17,219,009 | |||||||
36,371,645 | ||||||||
Materials — 3.3% | ||||||||
Givaudan SA | 195 | 1,025,505 | ||||||
Vulcan Materials Co. | 6,725 | 1,395,975 | ||||||
Other Securities (c) | 5,128,800 | |||||||
7,550,280 | ||||||||
Real Estate — 1.3% | ||||||||
Other Securities (b)(c) | 3,004,425 | |||||||
Utilities — 1.3% | ||||||||
PPL Corp. | 43,203 | 1,298,682 | ||||||
Other Securities (c) | 1,671,311 | |||||||
2,969,993 | ||||||||
Total Common Stocks (Cost $147,284,578) | 183,580,912 |
See Notes to Financial Statements.
49
Wilshire Mutual Funds, Inc.
Large Company Value Portfolio
Condensed Schedule of Investments - (Continued) | December 31, 2021 |
Par Value | Value | |||||||
U.S. TREASURY OBLIGATIONS — 0.3% | ||||||||
U.S. Treasury Notes — 0.3% | ||||||||
Other Securities (c)(e) | $ | 733,336 | ||||||
Total U.S. Treasury Obligations (Cost $737,570) | 733,336 | |||||||
AGENCY MORTGAGE-BACKED OBLIGATIONS INTEREST-ONLY STRIPS — 0.1% | ||||||||
Federal Home Loan Mortgage Corp. — 0.1% | ||||||||
Other Securities (c)(e)(f) | 156,525 | |||||||
Total Agency Mortgage-Backed Obligation Interest-Only Strips (Cost $134,836) | 156,525 | |||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS — 1.7% | ||||||||
Other Securities (c)(e)(f)(g)(h) | 3,882,358 | |||||||
Total Non-Agency Mortgage-Backed Obligations (Cost $3,920,953) | 3,882,358 | |||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATION INTEREST-ONLY STRIPS — 0.1% | ||||||||
Other Securities (c)(e)(f) | 137,858 | |||||||
Total Non-Agency Mortgage-Backed Obligations Interest-Only Strips (Cost $144,567) | 137,858 | |||||||
ASSET-BACKED SECURITIES — 1.5% | ||||||||
Other Securities (c)(e)(g)(h) | 3,486,519 | |||||||
Total-Asset Backed Securities (Cost $3,504,513) | 3,486,519 | |||||||
COLLATERALIZED LOAN OBLIGATIONS — 2.0% | ||||||||
Other Securities (c)(e)(g)(h)(i) | 4,517,416 | |||||||
Total Collateralized Loan Obligations (Cost $4,521,043) | 4,517,416 | |||||||
Par Value | Value | |||||||
CORPORATE BONDS — 3.2% | ||||||||
Basic Materials — 0.0% (i) | ||||||||
Other Securities (c)(e) | $ | 84,510 | ||||||
Communications — 0.2% | ||||||||
Other Securities (c)(e) | 482,068 | |||||||
Consumer, Cyclical — 0.1% | ||||||||
Other Securities (c)(e)(g) | 251,416 | |||||||
Consumer, Non-cyclical — 0.5% | ||||||||
Other Securities (c)(e)(g) | 1,188,859 | |||||||
Energy — 0.2% | ||||||||
Other Securities (c)(e) | 363,847 | |||||||
Financial — 1.6% | ||||||||
American International Group, Inc. | ||||||||
3.900%, due 04/01/26 (d) | $ | 77,000 | 83,457 | |||||
Citigroup, Inc. | ||||||||
0.981%, due 05/01/25 (SOFR Rate + 0.669%) (d)(g) | 90,000 | 89,187 | ||||||
4.450%, due 09/29/27 (d) | 42,000 | 46,789 | ||||||
JPMorgan Chase & Co. | ||||||||
2.776%, due 04/25/23 (3 Month U.S. LIBOR + 0.935%) (d)(g) | 88,000 | 88,544 | ||||||
3.875%, due 09/10/24 (d) | 100,000 | 106,363 | ||||||
1.578%, due 04/22/27 (SOFR Rate + 0.885%) (d)(g) | 90,000 | 89,001 | ||||||
1.470%, due 09/22/27 (SOFR Rate + 0.765%) (d)(g) | 117,000 | 114,514 | ||||||
1.953%, due 02/04/32 (SOFR Rate + 1.065%) (d)(g) | 38,000 | 36,420 | ||||||
2.580%, due 04/22/32 (SOFR Rate + 1.250%) (d)(g) | 99,000 | 100,312 |
See Notes to Financial Statements.
50
Wilshire Mutual Funds, Inc.
Large Company Value Portfolio
Condensed Schedule of Investments - (Continued) | December 31, 2021 |
Par Value | Value | |||||||
CORPORATE BONDS — 3.2% (Continued) | ||||||||
Financial — 1.6% (Continued) | ||||||||
Wells Fargo & Co. | ||||||||
2.406%, due 10/30/25 (SOFR Rate + 1.087%) (d)(g) | $ | 118,000 | $ | 120,838 | ||||
Other Securities (c)(e)(g)(h) | 2,693,562 | |||||||
3,568,987 | ||||||||
Industrial — 0.2% | ||||||||
Other Securities (c)(e) | 359,814 | |||||||
Technology — 0.2% | ||||||||
Microsoft Corp. | ||||||||
2.400%, due 08/08/26 (d) | 101,000 | 105,524 | ||||||
Other Securities (c)(e) | 431,543 | |||||||
537,067 | ||||||||
Utilities — 0.2% | ||||||||
Other Securities (c)(e) | 430,040 | |||||||
Total Corporate Bonds (Cost $7,399,313) | 7,266,608 | |||||||
Shares | ||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES — 5.3% | ||||||||
Voya Emerging Markets Hard Currency Debt Fund - Class P | 183,659 | 1,722,723 | ||||||
Voya High Yield Bond Fund - Class P | 200,571 | 1,610,581 | ||||||
Voya Investment Grade Credit Fund - Class P | 187,553 | 2,083,715 | ||||||
Voya Securitized Credit Fund - Class P | 692,306 | 6,763,832 | ||||||
Total Affiliated Registered Investment Companies (Cost $12,145,031) | 12,180,851 | |||||||
Total Investments at Value — 94.2% (Cost $179,792,404) | $ | 215,942,383 | ||||||
Other Assets in Excess of Liabilities — 5.8% | 13,413,137 | |||||||
Net Assets — 100.0% | $ | 229,355,520 |
Percentages are stated as a percent of net assets.
The Condensed Schedule of Investments does not reflect the complete portfolio holdings. It includes the Portfolio’s 50 largest holdings, each investment of any issue that exceeds 1% of the Portfolio’s net assets, and any investments classified as Level 3. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). The complete schedule of portfolio holdings is available (i) on the SEC’s website at http://www.sec.gov; and (ii) on our website at http://advisor.wilshire.com.
LIBOR — London Interbank Offered Rate
SOFR — Secured Overnight Financing Rate
(a) | More narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting purposes. |
(b) | Non-income producing security. |
(c) | Represents issuers not identified as a top 50 holding in terms of market value, issues or issuers not exceeding 1% of net assets individually or in the aggregate, respectively, or any issuers not classified as Level 3 investments, as of December 31, 2021. |
(d) | This security or a partial position of this security is on loan at December 31, 2021. The total fair value of securities on loan at December 31, 2021, was $184,160 (Note 8). |
(e) | Level 2 security. |
(f) | Variable rate security. The coupon is based on an underlying pool of loans. The rate listed is as of December 31, 2021. |
(g) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other ‘‘qualified institutional buyers.’’ As of December 31, 2021, the value of these investments was $11,277,722 or 4.9% of total net assets. |
(h) | Variable rate security based on a reference index and spread. The rate listed is as of December 31, 2021. |
(i) | Illiquid security. The total value of such securities is $1,119,023 as of December 31, 2021, representing 0.5% of net assets. |
(j) | Represents less than 0.1%. |
See Notes to Financial Statements.
51
Wilshire Mutual Funds, Inc.
Large Company Value Portfolio
Schedule of Total Return Swaps | December 31, 2021 |
Counterparty | Reference | Pay/ | Financing | Maturity | Payment | Shares | Notional | Value/ | ||||||
Goldman Sachs Bank, USA | Russell 1000 Value Total Return Index | Receive | (U.S. Federal Funds Rate + 0.490%) | 11/02/2022 | At Maturity | 19,538 | $ | 45,264,251 | $ | 3,204,371 | ||||
Total Return Swaps | $ | 3,204,371 |
Wilshire Mutual Funds, Inc.
Large Company Value Portfolio
Schedule of Futures Contracts | December 31, 2021 |
FUTURES CONTRACTS SOLD SHORT | Contracts | Expiration | Notional | Value/ | ||||||
2-Year U.S. Treasury Note Future | 1 | 03/31/2022 | $ | 206,115 | $ | 346 | ||||
5-Year U.S. Treasury Note Future | 20 | 03/31/2022 | 1,957,158 | (10,170 | ) | |||||
10-Year U.S. Treasury Note Future | 11 | 03/22/2022 | 1,215,724 | (16,508 | ) | |||||
U.S. Treasury Long Bond Future | 6 | 03/22/2022 | 868,292 | (15,837 | ) | |||||
Ultra 10-Year U.S. Treasury Bond Future | 15 | 03/22/2022 | 1,464,007 | (39,293 | ) | |||||
Ultra Long-Term U.S. Treasury Bond Future | 5 | 03/22/2022 | 605,275 | (24,536 | ) | |||||
Total Futures Contracts Sold Short | $ | 6,316,571 | $ | (105,998 | ) |
See Notes to Financial Statements.
52
Wilshire Mutual Funds, Inc.
Small Company Growth Portfolio
Condensed Schedule of Investments | December 31, 2021 |
Shares | Value | |||||||
COMMON STOCKS — 97.0% (a) | ||||||||
Communication Services — 1.5% | ||||||||
Other Securities (b)(c) | $ | 602,596 | ||||||
Consumer Discretionary — 12.3% | ||||||||
Boot Barn Holdings, Inc. (b) | 3,204 | 394,252 | ||||||
Skyline Champion Corp. (b) | 7,828 | 618,255 | ||||||
Texas Roadhouse, Inc. | 4,361 | 389,350 | ||||||
TopBuild Corp. (b) | 1,539 | 424,625 | ||||||
YETI Holdings, Inc. (b) | 3,189 | 264,145 | ||||||
Other Securities (b)(c)(d) | 2,680,989 | |||||||
4,771,616 | ||||||||
Consumer Staples — 2.8% | ||||||||
elf Beauty, Inc. (b) | 15,538 | 516,017 | ||||||
Grocery Outlet Holding Corp. (b) | 12,525 | 354,207 | ||||||
Other Securities (b)(c)(d) | 212,916 | |||||||
1,083,140 | ||||||||
Energy — 1.3% | ||||||||
Other Securities (b)(c) | 497,542 | |||||||
Financials — 5.6% | ||||||||
Banc of California, Inc. | 15,026 | 294,810 | ||||||
Cadence Bank | 11,171 | 332,784 | ||||||
Home BancShares, Inc. | 12,732 | 310,024 | ||||||
Other Securities (b)(c) | 1,228,790 | |||||||
2,166,408 | ||||||||
Health Care — 33.1% | ||||||||
Avid Bioservices, Inc. (b) | 16,284 | 475,167 | ||||||
BioLife Solutions, Inc. (b) | 15,656 | 583,499 | ||||||
CONMED Corp. | 4,955 | 702,421 | ||||||
Enanta Pharmaceuticals, Inc. (b) | 3,206 | 239,745 | ||||||
Harvard Bioscience, Inc. (b) | 62,139 | 438,080 | ||||||
Heska Corp. (b) | 1,696 | 309,503 | ||||||
LeMaitre Vascular, Inc. | 5,035 | 252,908 | ||||||
Medpace Holdings, Inc. (b) | 3,366 | 732,576 | ||||||
Mesa Laboratories, Inc. | 2,063 | 676,850 | ||||||
Neogen Corp. (b) | 9,914 | 450,195 | ||||||
NeoGenomics, Inc. (b) | 15,174 | 517,737 | ||||||
Omnicell, Inc. (b) | 2,154 | 388,668 | ||||||
Organogenesis Holdings, Inc. (b) | 26,106 | 241,219 | ||||||
Repligen Corp. (b) | 2,047 | 542,127 | ||||||
Sharps Compliance Corp. (b) | 42,313 | 301,692 |
Shares | Value | |||||||
Simulations Plus, Inc. (d) | 7,813 | $ | 369,555 | |||||
Veracyte, Inc. (b) | 5,789 | 238,507 | ||||||
Vericel Corp. (b) | 7,190 | 282,567 | ||||||
Other Securities (b)(c)(d) | 5,158,941 | |||||||
12,901,957 | ||||||||
Industrials — 13.5% | ||||||||
Alta Equipment Group, Inc. (b) | 26,118 | 382,368 | ||||||
Columbus McKinnon Corp. | 7,125 | 329,603 | ||||||
Lawson Products, Inc. (b) | 4,834 | 264,661 | ||||||
Luxfer Holdings PLC | 13,503 | 260,743 | ||||||
Rush Enterprises, Inc. - Class A | 4,344 | 241,700 | ||||||
Saia, Inc. (b) | 2,220 | 748,207 | ||||||
SiteOne Landscape Supply, Inc. (b) | 1,350 | 327,078 | ||||||
The AZEK Co., Inc. (b) | 5,785 | 267,498 | ||||||
Other Securities (b)(c)(d) | 2,442,747 | |||||||
5,264,605 | ||||||||
Information Technology — 23.2% | ||||||||
Computer Task Group, Inc. (b) | 32,136 | 320,396 | ||||||
Digital Turbine, Inc. (b) | 4,928 | 300,559 | ||||||
Endava PLC - ADR (b) | 2,525 | 423,998 | ||||||
Evo Payments, Inc. - Class A (b) | 18,128 | 464,077 | ||||||
Mimecast Ltd. (b) | 3,760 | 299,183 | ||||||
Pegasystems, Inc. | 4,737 | 529,691 | ||||||
PROS Holdings, Inc. (b) | 7,224 | 249,156 | ||||||
Qualys, Inc. (b) | 2,996 | 411,111 | ||||||
Repay Holdings Corp. (b) | 14,970 | 273,502 | ||||||
WNS Holdings Ltd. - ADR (b) | 8,271 | 729,668 | ||||||
Workiva, Inc. (b) | 5,710 | 745,098 | ||||||
Other Securities (b)(c)(d) | 4,300,932 | |||||||
9,047,371 | ||||||||
Materials — 2.0% | ||||||||
Ferroglobe Representation & Warranty Insurance Trust (b)(e)(f) | 840 | — | ||||||
Materion Corp. | 3,710 | 341,097 | ||||||
Quaker Chemical Corp. | 1,220 | 281,552 | ||||||
Other Securities (b)(c) | 161,847 | |||||||
784,496 |
See Notes to Financial Statements.
53
Wilshire Mutual Funds, Inc.
Small Company Growth Portfolio
Condensed Schedule of Investments - (Continued) | December 31, 2021 |
Shares | Value | |||||||
COMMON STOCKS — 97.0% (a) (Continued) | ||||||||
Real Estate — 1.6% | ||||||||
Innovative Industrial Properties, Inc. | 1,482 | $ | 389,633 | |||||
Other Securities (b)(c) | 224,125 | |||||||
613,758 | ||||||||
Utilities — 0.1% | ||||||||
Other Securities (c) | 51,528 | |||||||
Total Common Stocks (Cost $27,723,276) | 37,785,017 | |||||||
Total Investments at Value — 97.0% (Cost $27,723,276) | $ | 37,785,017 | ||||||
Other Assets in Excess of Liabilities — 3.0% | 1,177,587 | |||||||
Net Assets — 100.0% | $ | 38,962,604 |
Percentages are stated as a percent of net assets.
The Condensed Schedule of Investments does not reflect the complete portfolio holdings. It includes the Portfolio’s 50 largest holdings, each investment of any issue that exceeds 1% of the Portfolio’s net assets, and any investments classified as Level 3. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). The complete schedule of portfolio holdings is available (i) on the SEC’s website at http://www.sec.gov; and (ii) on our website at http://advisor.wilshire.com.
ADR — American Depository Receipt
(a) | More narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting purposes. |
(b) | Non-income producing security. |
(c) | Represents issuers not identified as a top 50 holding in terms of market value, issues or issuers not exceeding 1% of net assets individually or in the aggregate, respectively, or any issuers not classified as Level 3 investments, as of December 31, 2021. |
(d) | This security or a partial position of this security is on loan at December 31, 2021. The total fair value of securities on loan at December 31, 2021 was $324,858. |
(e) | Level 3 security. Security has been valued at fair value in accordance with procedures adopted by and under the general supervision of the Board of Directors. The total value of such securities is $0 as of December 31, 2021, representing 0.0% of net assets. |
(f) | Illiquid security. The total value of such securities is $0 as of December 31, 2021, representing 0.0% of net assets. |
See Notes to Financial Statements.
54
Wilshire Mutual Funds, Inc.
Small Company Value Portfolio
Condensed Schedule of Investments | December 31, 2021 |
Shares | Value | |||||||
COMMON STOCKS — 98.6% (a) | ||||||||
Communication Services — 1.5% | ||||||||
Other Securities (b)(c) | $ | 543,684 | ||||||
Consumer Discretionary — 14.8% | ||||||||
Green Brick Partners, Inc. (b) | 7,558 | 229,234 | ||||||
Group 1 Automotive, Inc. | 700 | 136,654 | ||||||
Hanesbrands, Inc. | 9,577 | 160,127 | ||||||
Macy’s, Inc. | 6,690 | 175,144 | ||||||
Red Rock Resorts, Inc. - Class A | 11,735 | 645,542 | ||||||
Vail Resorts, Inc. | 998 | 327,244 | ||||||
Wolverine World Wide, Inc. | 5,160 | 148,660 | ||||||
Other Securities (b)(c)(d) | 3,667,453 | |||||||
5,490,058 | ||||||||
Consumer Staples — 4.7% | ||||||||
Cal-Maine Foods, Inc. | 10,297 | 380,886 | ||||||
Flowers Foods, Inc. | 4,737 | 130,125 | ||||||
Lancaster Colony Corp. | 971 | 160,798 | ||||||
Post Holdings, Inc. (b) | 3,014 | 339,768 | ||||||
Seaboard Corp. | 49 | 192,815 | ||||||
Other Securities (b)(c)(d) | 528,332 | |||||||
1,732,724 | ||||||||
Energy — 6.7% | ||||||||
California Resources Corp. | 3,680 | 157,173 | ||||||
Civitas Resources, Inc. | 5,312 | 260,129 | ||||||
PDC Energy, Inc. | 2,787 | 135,950 | ||||||
Other Securities (b)(c)(d) | 1,924,816 | |||||||
2,478,068 | ||||||||
Financials — 31.1% | ||||||||
Bank OZK | 11,430 | 531,838 | ||||||
BankUnited, Inc. | 3,198 | 135,307 | ||||||
BOK Financial Corp. | 2,279 | 240,412 | ||||||
Cadence Bank | 5,959 | 177,519 | ||||||
Cathay General Bancorp | 5,307 | 228,148 | ||||||
Enstar Group Ltd. (b) | 1,512 | 374,356 | ||||||
FirstCash Holdings, Inc. | 1,880 | 140,643 | ||||||
Glacier Bancorp, Inc. | 3,039 | 172,311 | ||||||
Hancock Whitney Corp. | 2,896 | 144,858 | ||||||
International Bancshares Corp. | 3,710 | 157,267 | ||||||
Live Oak Bancshares, Inc. | 3,372 | 294,342 |
Shares | Value | |||||||
Mr. Cooper Group, Inc. (b) | 6,273 | $ | 261,020 | |||||
ProAssurance Corp. | 12,174 | 308,002 | ||||||
PROG Holdings, Inc. | 4,864 | 219,415 | ||||||
Sterling Bancorp | 18,895 | 487,302 | ||||||
United Bankshares, Inc. | 4,590 | 166,525 | ||||||
Other Securities (b)(c) | 7,501,108 | |||||||
11,540,373 | ||||||||
Health Care — 3.8% | ||||||||
Natus Medical, Inc. (b) | 5,753 | 136,519 | ||||||
Other Securities (b)(c) | 1,259,180 | |||||||
1,395,699 | ||||||||
Industrials — 16.4% | ||||||||
Allegiant Travel Co. (b) | 1,220 | 228,189 | ||||||
Colfax Corp. (b) | 8,512 | 391,297 | ||||||
EMCOR Group, Inc. | 2,052 | 261,404 | ||||||
Encore Wire Corp. | 1,386 | 198,337 | ||||||
Kirby Corp. (b) | 2,217 | 131,734 | ||||||
Matson, Inc. | 1,935 | 174,208 | ||||||
Mueller Industries, Inc. | 3,275 | 194,404 | ||||||
Stericycle, Inc. (b) | 2,494 | 148,742 | ||||||
WESCO International, Inc. (b) | 3,293 | 433,326 | ||||||
Other Securities (b)(c) | 3,941,185 | |||||||
6,102,826 | ||||||||
Information Technology — 7.4% | ||||||||
Rambus, Inc. (b) | 4,595 | 135,047 | ||||||
Sanmina Corp. (b) | 4,711 | 195,318 | ||||||
WNS Holdings Ltd. - ADR (b) | 3,804 | 335,589 | ||||||
Other Securities (b)(c)(d) | 2,063,546 | |||||||
2,729,500 | ||||||||
Materials — 4.6% | ||||||||
Ashland Global Holdings, Inc. | 2,653 | 285,622 | ||||||
Chase Corp. | 1,605 | 159,794 | ||||||
Taseko Mines Ltd. (b) | 76,754 | 157,346 | ||||||
Other Securities (b)(c) | 1,115,544 | |||||||
1,718,306 | ||||||||
Real Estate — 5.3% | ||||||||
CubeSmart | 3,777 | 214,949 | ||||||
Rayonier, Inc. | 3,441 | 138,879 | ||||||
Other Securities (b)(c)(d) | 1,626,716 | |||||||
1,980,544 |
See Notes to Financial Statements.
55
Wilshire Mutual Funds, Inc.
Small Company Value Portfolio
Condensed Schedule of Investments - (Continued) | December 31, 2021 |
Shares | Value | |||||||
COMMON STOCKS — 98.6% (a) (Continued) | ||||||||
Utilities — 2.3% | ||||||||
South Jersey Industries, Inc. | 7,436 | $ | 194,228 | |||||
Other Securities (c) | 658,002 | |||||||
852,230 | ||||||||
Total Common Stocks (Cost $28,195,429) | 36,564,012 | |||||||
Total Investments at Value — 98.6% (Cost $28,195,429) | $ | 36,564,012 | ||||||
Other Assets in Excess of Liabilities — 1.4% | 534,061 | |||||||
Net Assets — 100.0% | $ | 37,098,073 |
Percentages are stated as a percent of net assets.
The Condensed Schedule of Investments does not reflect the complete portfolio holdings. It includes the Portfolio’s 50 largest holdings, each investment of any issue that exceeds 1% of the Portfolio’s net assets, and any investments classified as Level 3. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). The complete schedule of portfolio holdings is available (i) on the SEC’s website at http://www.sec.gov; and (ii) on our website at http://advisor.wilshire.com.
ADR | American Depository Receipt |
REIT | Real Estate Investment Trust |
(a) | More narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting purposes. |
(b) | Non-income producing security. |
(c) | Represents issuers not identified as a top 50 holding in terms of market value, issues or issuers not exceeding 1% of net assets individually or in the aggregate, respectively, or any issuers not classified as Level 3 investments, as of December 31, 2021. |
(d) | This security or a partial position of this security is on loan at December 31, 2021. The total fair value of securities on loan at December 31, 2021 was $351,050. |
See Notes to Financial Statements.
56
Wilshire Mutual Funds, Inc.
Wilshire 5000 Indexsm Fund
Condensed Schedule of Investments | December 31, 2021 |
Shares | Value | |||||||
COMMON STOCKS — 98.7% (a) | ||||||||
Communication Services — 9.2% | ||||||||
Actua Corp. (b)(c)(d) | 100 | $ | 1 | |||||
Alphabet, Inc. - Class A (d) | 1,529 | 4,429,574 | ||||||
Alphabet, Inc. - Class C (d) | 1,750 | 5,063,783 | ||||||
AT&T, Inc. | 39,870 | 980,802 | ||||||
Comcast Corp. - Class A | 24,365 | 1,226,290 | ||||||
Meta Platforms, Inc. - Class A (d) | 12,246 | 4,118,942 | ||||||
Netflix, Inc. (d) | 2,435 | 1,466,941 | ||||||
The Walt Disney Co. (d) | 9,015 | 1,396,333 | ||||||
Verizon Communications, Inc. | 22,235 | 1,155,331 | ||||||
Other Securities (d)(e)(f) | 3,861,036 | |||||||
23,699,033 | ||||||||
Consumer Discretionary — 12.4% | ||||||||
Amazon.com, Inc. (d) | 2,554 | 8,515,904 | ||||||
Lowe’s Cos, Inc. | 3,718 | 961,029 | ||||||
McDonald’s Corp. | 3,808 | 1,020,811 | ||||||
NIKE, Inc. - Class B | 7,090 | 1,181,690 | ||||||
Tesla, Inc. (d) | 4,835 | 5,109,531 | ||||||
The Home Depot, Inc. | 5,929 | 2,460,594 | ||||||
Other Securities (d)(e)(f) | 12,834,701 | |||||||
32,084,260 | ||||||||
Consumer Staples — 5.5% | ||||||||
Costco Wholesale Corp. | 2,354 | 1,336,366 | ||||||
PepsiCo, Inc. | 7,620 | 1,323,670 | ||||||
The Coca-Cola Co. | 23,024 | 1,363,251 | ||||||
The Procter & Gamble Co. | 13,115 | 2,145,352 | ||||||
Walmart, Inc. | 8,552 | 1,237,389 | ||||||
Other Securities (d)(e)(f) | 6,835,186 | |||||||
14,241,214 | ||||||||
Energy — 2.7% | ||||||||
Chevron Corp. | 10,518 | 1,234,287 | ||||||
Exxon Mobil Corp. | 22,547 | 1,379,651 | ||||||
Other Securities (d)(e)(f) | 4,316,833 | |||||||
6,930,771 | ||||||||
Financials — 11.8% | ||||||||
Bank of America Corp. | 43,222 | 1,922,947 | ||||||
Berkshire Hathaway, Inc. - Class A (d) . | 2 | 901,324 | ||||||
Berkshire Hathaway, Inc. - Class B (d) | 12,136 | 3,628,664 | ||||||
JPMorgan Chase & Co. | 16,220 | 2,568,437 | ||||||
Wells Fargo & Co. | 22,815 | 1,094,664 |
Shares | Value | |||||||
Other Securities (d)(e)(f) | 20,365,074 | |||||||
30,481,110 | ||||||||
Health Care — 12.9% | ||||||||
Abbott Laboratories | 9,928 | $ | 1,397,267 | |||||
AbbVie, Inc. | 9,696 | 1,312,838 | ||||||
Danaher Corp. | 3,890 | 1,279,849 | ||||||
Eli Lilly & Co. | 4,598 | 1,270,060 | ||||||
Johnson & Johnson | 14,272 | 2,441,511 | ||||||
Merck & Co., Inc. | 14,000 | 1,072,960 | ||||||
Pfizer, Inc. | 31,563 | 1,863,795 | ||||||
Thermo Fisher Scientific, Inc. | 2,193 | 1,463,257 | ||||||
UnitedHealth Group, Inc. | 5,267 | 2,644,771 | ||||||
Other Securities (d)(e)(f) | 18,579,720 | |||||||
33,326,028 | ||||||||
Industrials — 8.5% | ||||||||
Other Securities (d)(e)(f) | 21,921,980 | |||||||
Information Technology — 27.2% | ||||||||
Adobe, Inc. (d) | 2,661 | 1,508,947 | ||||||
Advanced Micro Devices, Inc. (d) | 6,755 | 972,044 | ||||||
Apple, Inc. | 91,962 | 16,329,692 | ||||||
Broadcom, Inc. | 1,806 | 1,201,730 | ||||||
Cisco Systems, Inc. | 23,431 | 1,484,822 | ||||||
Intel Corp. | 22,697 | 1,168,896 | ||||||
Intuit, Inc. | 1,492 | 959,684 | ||||||
Mastercard, Inc. | 4,895 | 1,758,871 | ||||||
Microsoft Corp. | 40,545 | 13,636,094 | ||||||
NVIDIA Corp. | 13,551 | 3,985,485 | ||||||
PayPal Holdings, Inc. (d) | 6,433 | 1,213,135 | ||||||
QUALCOMM, Inc. | 6,232 | 1,139,646 | ||||||
salesforce.com, Inc. (d) | 5,345 | 1,358,325 | ||||||
Texas Instruments, Inc. | 5,151 | 970,809 | ||||||
Visa, Inc. - Class A | 9,758 | 2,114,656 | ||||||
Other Securities (d)(e)(f) | 20,417,423 | |||||||
70,220,259 | ||||||||
Materials — 2.3% | ||||||||
Ferroglobe Representation & Warranty Insurance Trust (b)(c)(d) | 500 | — | ||||||
Other Securities (d)(e)(f) | 5,911,639 | |||||||
5,911,639 | ||||||||
Real Estate — 3.8% | ||||||||
Spirit MTA REIT (b)(c)(d) | 300 | 80 |
See Notes to Financial Statements.
57
Wilshire Mutual Funds, Inc.
Wilshire 5000 Indexsm Fund
Condensed Schedule of Investments - (Continued) | December 31, 2021 |
Shares | Value | |||||||
COMMON STOCKS — 98.7% (a) (Continued) | ||||||||
Other Securities (d)(f) | $ | 9,706,451 | ||||||
9,706,531 | ||||||||
Utilities — 2.4% | ||||||||
NextEra Energy, Inc. | 10,890 | 1,016,690 | ||||||
Other Securities (d)(f) | 5,245,582 | |||||||
6,262,272 | ||||||||
Total Common Stocks (Cost $59,308,892) | 254,785,097 | |||||||
RIGHT – 0.0% (g) | ||||||||
AMR Corp., Escrow (b)(c)(d) | 3,275 | — | ||||||
Total Right (Cost $0) | — | |||||||
Total Investments at Value — 98.7% (Cost $59,308,892) | $ | 254,785,097 | ||||||
Other Assets in Excess of Liabilities — 1.3% | 3,408,694 | |||||||
Net Assets — 100.0% | $ | 258,193,791 |
Percentages are stated as a percent of net assets.
The Condensed Schedule of Investments does not reflect the complete portfolio holdings. It includes the Portfolio’s 50 largest holdings, each investment of any issue that exceeds 1% of the Portfolio’s net assets, and any investments classified as Level 3. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). The complete schedule of portfolio holdings is available (i) on the SEC’s website at http://www.sec.gov; and (ii) on our website at http://advisor.wilshire.com.
REIT — Real Estate Investment Trust
(a) | More narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting purposes. |
(b) | Illiquid security. The total value of such securities is $81 as of December 31, 2021, representing 0.0% of net assets. |
(c) | Level 3 security. Security has been valued at fair value in accordance with procedures adopted by and under the general supervision |
of the Board of Directors. The total value of such securities is $81 as of December 31, 2021, representing 0.0% of net assets.
(d) | Non-income producing security. |
(e) | This security or a partial position of this security is on loan at December 31, 2021. The total market value of securities on loan at December 31, 2021 was $1,196,568 (Note 8). |
(f) | Represents issuers not identified as a top 50 holding in terms of market value, issues or issuers not exceeding 1% of net assets individually or in the aggregate, respectively, or any issuers not classified as Level 3 investments, as of December 31, 2021. |
(g) | Represents less than 0.1%. |
See Notes to Financial Statements.
58
Wilshire Mutual Funds, Inc.
Wilshire International Equity Fund
Condensed Schedule of Investments | December 31, 2021 |
Shares | Value | |||||||
COMMON STOCKS — 79.6% | ||||||||
Australia — 2.9% | ||||||||
Atlassian Corp. PLC - Class A (b) | 4,080 | $ | 1,555,663 | |||||
BGP Holdings Ltd. (b)(c)(d) | 4,007 | — | ||||||
CSL Ltd. (a) | 11,100 | 2,350,578 | ||||||
Other Securities (a)(b)(e)(f) | 4,815,227 | |||||||
8,721,468 | ||||||||
Austria — 0.2% | ||||||||
Other Securities (a)(f) | 468,000 | |||||||
Belgium — 0.3% | ||||||||
Other Securities (a)(b)(f) | 909,909 | |||||||
Brazil — 0.8% | ||||||||
Ambev SA | 649,900 | 1,801,518 | ||||||
Other Securities (f) | 553,439 | |||||||
2,354,957 | ||||||||
Britain — 6.3% | ||||||||
HSBC Holdings PLC (a) | 274,135 | 1,658,814 | ||||||
Other Securities (a)(b)(e)(f) | 17,228,398 | |||||||
18,887,212 | ||||||||
Canada — 4.7% | ||||||||
Canadian Pacific Railway Ltd. | 34,750 | 2,499,915 | ||||||
Lululemon Athletica, Inc. (b) | 5,210 | 2,039,454 | ||||||
Shopify, Inc. - Class A (b) | 1,660 | 2,286,467 | ||||||
Other Securities (b)(e)(f) | 7,181,519 | |||||||
14,007,355 | ||||||||
Chile — 0.0% (g) | ||||||||
Other Securities (f) | 122,974 | |||||||
China — 4.0% | ||||||||
Alibaba Group Holding Ltd. (a)(b) | 104,448 | 1,563,791 | ||||||
Other Securities (a)(b)(e)(f) | 10,478,900 | |||||||
12,042,691 | ||||||||
Czech Republic — 0.2% | ||||||||
Other Securities (a)(f) | 710,699 | |||||||
Denmark — 3.1% | ||||||||
AP Moller - Maersk A/S (a) | 543 | 1,948,794 | ||||||
DSV A/S (a) | 11,996 | 2,771,877 | ||||||
Novo Nordisk A/S (a) | 21,561 | 2,410,407 |
Shares | Value | |||||||
Other Securities (a)(b)(e)(f) | $ | 2,004,837 | ||||||
9,135,915 | ||||||||
Egypt — 0.1% | ||||||||
Other Securities (a)(f) | 145,207 | |||||||
Finland — 1.0% | ||||||||
Nokia Oyj (a)(b) | 283,277 | 1,779,570 | ||||||
Other Securities (a)(b)(e)(f)(h) | 1,323,162 | |||||||
3,102,732 | ||||||||
France — 5.0% | ||||||||
Cie Generale des Etablissements Michelin SCA (a) | 13,026 | 2,135,197 | ||||||
LVMH Moet Hennessy Louis Vuitton SE (a) | 3,375 | 2,785,048 | ||||||
Pernod Ricard SA (a) | 6,420 | 1,544,635 | ||||||
Rexel SA (a) | 124,181 | 2,524,415 | ||||||
Other Securities (a)(b)(e)(f) | 5,778,700 | |||||||
14,767,995 | ||||||||
Georgia — 0.0% (g) | ||||||||
Other Securities (a)(f) | 117,089 | |||||||
Germany — 3.3% | ||||||||
BASF SE (a) | 35,440 | 2,492,686 | ||||||
Covestro AG (a)(e) | 28,809 | 1,777,654 | ||||||
Fresenius Medical Care AG & Co KGaA (a) | 23,405 | 1,516,157 | ||||||
Other Securities (a)(b)(f) | 4,305,436 | |||||||
10,091,933 | ||||||||
Gibraltar — 0.0% (g) | ||||||||
Other Securities (f) | 123,833 | |||||||
Greece — 0.0% (g) | ||||||||
FF Group (b)(c)(d) | 2,880 | — | ||||||
Other Securities (a)(b)(f) | 35,670 | |||||||
35,670 | ||||||||
Hong Kong — 1.9% | ||||||||
AIA Group Ltd. (a) | 225,965 | 2,278,048 | ||||||
Brilliance China Automotive Holdings Ltd. (b)(c)(d) | 658,000 | — | ||||||
Other Securities (a)(b)(f)(h) | 3,253,226 | |||||||
5,531,274 |
See Notes to Financial Statements.
59
Wilshire Mutual Funds, Inc.
Wilshire International Equity Fund
Condensed Schedule of Investments - (Continued) | December 31, 2021 |
Shares | Value | |||||||
COMMON STOCKS — 79.6% (Continued) | ||||||||
Hungary — 0.0% (g) | ||||||||
Other Securities (f) | $ | 74,365 | ||||||
India — 1.6% | ||||||||
Other Securities (a)(b)(e)(f) | 4,797,846 | |||||||
Indonesia — 0.1% | ||||||||
Other Securities (a)(f) | 300,698 | |||||||
Ireland — 2.9% | ||||||||
Accenture PLC - Class A | 6,645 | 2,754,685 | ||||||
Experian PLC (a) | 65,031 | 3,190,058 | ||||||
ICON PLC (b) | 7,730 | 2,393,981 | ||||||
Other Securities (a)(b)(f) | 353,612 | |||||||
8,692,336 | ||||||||
Isle Of Man — 0.0% (g) | ||||||||
Other Securities (f) | 65,275 | |||||||
Israel — 0.5% | ||||||||
Other Securities (a)(b)(f) | 1,380,676 | |||||||
Italy — 1.7% | ||||||||
Ferrari NV (a) | 9,617 | 2,473,654 | ||||||
Other Securities (a)(b)(e)(f) | 2,617,138 | |||||||
5,090,792 | ||||||||
Japan — 10.5% | ||||||||
Honda Motor Co. Ltd. (a) | 60,600 | 1,701,798 | ||||||
Keyence Corp. (a) | 4,380 | 2,752,664 | ||||||
Komatsu Ltd. (a) | 86,400 | 2,023,402 | ||||||
Lasertec Corp. (a) | 9,200 | 2,796,779 | ||||||
Panasonic Corp. (a) | 138,241 | 1,520,449 | ||||||
Other Securities (a)(b)(f) | 20,662,762 | |||||||
31,457,854 | ||||||||
Jersey — 0.0% (g) | ||||||||
Other Securities (f) | 22,096 | |||||||
Luxembourg — 0.1% | ||||||||
Other Securities (f) | 192,506 | |||||||
Macau — 0.0% (g) | ||||||||
Other Securities (f) | 8,386 | |||||||
Malaysia — 0.2% | ||||||||
Other Securities (a)(b)(e)(f) | 547,309 | |||||||
Shares | Value | |||||||
Malta — 0.1% | ||||||||
Other Securities (a)(b)(f) | $ | 172,616 | ||||||
Mauritius — 0.0% (g) | ||||||||
Other Securities (f) | 100,333 | |||||||
Mexico — 0.1% | ||||||||
Other Securities (f) | ||||||||
318,966 | ||||||||
Netherlands — 3.5% | ||||||||
Adyen NV (a)(b)(e) | 630 | 1,648,219 | ||||||
ASML Holding NV | 3,570 | 2,842,220 | ||||||
ASML Holding NV (a) | 1,546 | 1,232,737 | ||||||
Royal Dutch Shell PLC - Class B (a) | 91,689 | 2,014,809 | ||||||
Other Securities (a)(b)(e)(f) | 2,625,305 | |||||||
10,363,290 | ||||||||
New Zealand — 0.0% (g) | ||||||||
Other Securities (a)(b)(f) | 151,906 | |||||||
Norway — 0.3% | ||||||||
Other Securities (a)(b)(e)(f) | 788,916 | |||||||
Philippines — 0.1% | ||||||||
Other Securities (a)(f) | 258,788 | |||||||
Poland — 0.1% | ||||||||
Other Securities (a)(b)(f) | 434,822 | |||||||
Portugal — 0.1% | ||||||||
Other Securities (a)(b)(f) | 311,348 | |||||||
Qatar — 0.1% | ||||||||
Other Securities (a)(f) | 226,102 | |||||||
Russia — 0.9% | ||||||||
Other Securities (a)(b)(f) | 2,717,458 | |||||||
Saudi Arabia — 0.1% | ||||||||
Other Securities (a)(b)(f) | 332,753 | |||||||
Singapore — 0.7% | ||||||||
Other Securities (a)(b)(f) | 2,050,027 | |||||||
See Notes to Financial Statements.
60
Wilshire Mutual Funds, Inc.
Wilshire International Equity Fund
Condensed Schedule of Investments - (Continued) | December 31, 2021 |
Shares | Value | |||||||
COMMON STOCKS — 79.6% (Continued) | ||||||||
South Africa — 0.4% | ||||||||
Other Securities (a)(b)(f) | $ | 1,295,192 | ||||||
South Korea — 2.3% | ||||||||
Other Securities (a)(b)(f) | 6,884,564 | |||||||
Spain — 1.1% | ||||||||
Other Securities (a)(b)(e)(f) | 3,198,021 | |||||||
Sweden — 2.8% | ||||||||
Atlas Copco AB (a) | 29,400 | 2,035,172 | ||||||
Evolution AB (a)(e) | 16,000 | 2,250,899 | ||||||
Other Securities (a)(b)(e)(f) | 4,036,958 | |||||||
8,323,029 | ||||||||
Switzerland — 5.8% | ||||||||
Alcon, Inc. (a) | 24,680 | 2,174,430 | ||||||
Lonza Group AG (a) | 2,650 | 2,207,565 | ||||||
Nestle SA (a) | 19,732 | 2,758,372 | ||||||
Roche Holding AG (a) | 4,617 | 1,913,910 | ||||||
Sika AG (a) | 6,856 | 2,845,896 | ||||||
UBS Group AG (a) | 93,104 | 1,671,039 | ||||||
Other Securities (a)(b)(e)(f) | 3,671,144 | |||||||
17,242,356 | ||||||||
Taiwan — 4.5% | ||||||||
Hon Hai Precision Industry Co. Ltd. (a) | 584,961 | 2,193,003 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. (a) | 115,600 | 2,559,703 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 23,600 | 2,839,316 | ||||||
Other Securities (a)(f) | 5,727,008 | |||||||
13,319,030 | ||||||||
Thailand — 0.5% | ||||||||
Other Securities (a)(b)(f) | 1,470,787 | |||||||
Turkey — 0.3% | ||||||||
Other Securities (a)(b)(f) | 787,456 | |||||||
United Arab Emirates — 0.4% | ||||||||
Other Securities (a)(f) | 1,082,348 | |||||||
United Kingdom — 0.5% | ||||||||
Other Securities (a)(b)(f) | 1,481,672 | |||||||
Shares | Value | |||||||
United States — 3.5% | ||||||||
EPAM Systems, Inc. (b) | 3,090 | $ | 2,065,510 | |||||
Mettler-Toledo International, Inc. (b) | 1,320 | 2,240,317 | ||||||
ResMed, Inc. | 9,910 | 2,581,357 | ||||||
STERIS PLC | 7,300 | 1,776,893 | ||||||
Other Securities (a)(f) | 1,649,025 | |||||||
10,313,102 | ||||||||
Total Common Stocks (Cost $180,175,439) | 237,531,934 | |||||||
PREFERRED STOCKS — 0.9% | ||||||||
Brazil — 0.2% | ||||||||
Other Securities (f) | 421,643 | |||||||
Colombia — 0.0% (g) | ||||||||
Other Securities (f) | 2,259 | |||||||
Germany — 0.7% | ||||||||
Other Securities (a)(f) | 1,969,972 | |||||||
Russia — 0.0% (g) | ||||||||
Other Securities (a)(f) | 138,763 | |||||||
Total Preferred Stocks (Cost $2,870,875) | 2,532,637 | |||||||
Par Value | ||||||||
U.S. TREASURY OBLIGATIONS — 0.5% | ||||||||
U.S. Treasury Notes — 0.5% | ||||||||
Other Securities (a)(f) | 1,536,066 | |||||||
Total U.S. Treasury Obligations (Cost $1,546,205) | 1,536,066 | |||||||
AGENCY MORTGAGE-BACKED OBLIGATIONS — 0.1% | ||||||||
Other Securities (a)(f)(i) | 262,900 | |||||||
Total Agency Mortgage-Backed Obligations (Cost $226,217) | 262,900 | |||||||
See Notes to Financial Statements.
61
Wilshire Mutual Funds, Inc.
Wilshire International Equity Fund
Condensed Schedule of Investments - (Continued) | December 31, 2021 |
Par Value | Value | |||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS — 2.0% | ||||||||
Other Securities (a)(e)(f)(i)(j) | $ | 5,949,103 | ||||||
Total Non-Agency Mortgage-Backed Obligations (Cost $6,009,802) | 5,949,103 | |||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS INTEREST-ONLY STRIPS — 0.1% | ||||||||
Other Securities (a)(f)(i) | 265,611 | |||||||
Total Non-Agency Mortgage-Backed Obligations Interest-Only Strips (Cost $287,805) | 265,611 | |||||||
ASSET-BACKED SECURITIES — 1.6%% | ||||||||
Other Securities (a)(e)(f)(j) | 4,868,633 | |||||||
Total Asset-Backed Securities (Cost $4,890,232) | 4,868,633 | |||||||
COLLATERALIZED LOAN OBLIGATIONS — 1.5% | ||||||||
Other Securities (a)(e)(f)(j) | 4,604,535 | |||||||
Total Collateralized Loan Obligations (Cost $4,599,290) | 4,604,535 | |||||||
CORPORATE BONDS — 3.9% | ||||||||
Australia — 0.1% | ||||||||
Other Securities (f) | 194,209 | |||||||
Britain — 0.2% | ||||||||
Other Securities (a)(f) | 614,598 | |||||||
Canada — 0.1% | ||||||||
Other Securities (a)(f) | 287,787 | |||||||
Cayman Islands — 0.0% (g) | ||||||||
Other Securities (a)(f) | 86,681 | |||||||
Japan — 0.1% | ||||||||
Other Securities (a)(e)(f) | 169,604 | |||||||
United States — 3.4% | ||||||||
Other Securities (a)(e)(f)(j) | 10,262,397 | |||||||
Total Corporate Bonds (Cost $11,837,264) | 11,615,276 |
Shares | Value | |||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES — 4.9% | ||||||||
Voya Emerging Markets Hard Currency Debt Fund - Class P | 245,067 | $ | 2,298,725 | |||||
Voya High Yield Bond Fund - Class P | 308,773 | 2,479,447 | ||||||
Voya Investment Grade Credit Fund - Class P | 63,869 | 709,584 | ||||||
Voya Securitized Credit Fund - Class P | 929,936 | 9,085,479 | ||||||
Total Affiliated Registered Investment Companies (Cost $14,329,420) | 14,573,235 | |||||||
Total Investments at Value — 95.1% (Cost $226,772,549) | $ | 283,739,930 | ||||||
Other Assets in Excess of Liabilities — 4.9% | 14,683,241 | |||||||
Net Assets — 100.0% | $ | 298,423,171 |
Percentages are stated as a percent of net assets.
The Condensed Schedule of Investments does not reflect the complete portfolio holdings. It includes the Portfolio’s 50 largest holdings, each investment of any issue that exceeds 1% of the Portfolio’s net assets, and any investments classified as Level 3. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and schedule of portfolio holdings is available (i) on the SEC’s website at http://www.sec.gov; and (ii) on our website at http://advisor.wilshire.com.
(a) | Level 2 security. |
(b) | Non-income producing security. |
(c) | Level 3 security. Security has been valued at fair value in accordance with procedures adopted by and under the general supervision of the Board of Directors. The total value of such securities is $0 as of December 31, 2021, representing 0.0% of net assets. |
(d) | Illiquid security. The total value of such securities is $745,490 as of December 31, 2021, representing 0.3% of net assets. |
See Notes to Financial Statements.
62
Wilshire Mutual Funds, Inc.
Wilshire International Equity Fund
Condensed Schedule of Investments - (Continued) | December 31, 2021 |
(e) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other ‘‘qualified institutional buyers.’’ As of December 31, 2021, the value of these investments was $24,185,446, or 8.1% of total net assets. |
(f) | Represents issuers not identified as a top 50 holding in terms of market value, issues or issuers not exceeding 1% of net assets individually or in the aggregate, respectively, or any issuers not classified as Level 3 investments, as of December 31, 2021. |
(g) | Represents less than 0.1%. |
(h) | This security or a partial position of this security is on loan at December 31, 2021. The total market value of securities on loan at December 31, 2021 was $91,599 (Note 8). |
(i) | Variable rate security. The coupon is based on an underlying pool of loans. The rate listed is as of December 31, 2021. |
(j) | Variable rate security based on a reference index and spread. The rate listed is as of December 31, 2021. |
See Notes to Financial Statements.
63
Wilshire Mutual Funds, Inc.
Wilshire International Equity Fund
Schedule of Total Return Swaps | December 31, 2021 |
Counterparty | Reference | Pay/ | Financing | Maturity | Payment | Shares | Notional | Value/ | ||||||
Morgan Stanley Capital | MSCI EAFE Total Return Index | Receive | (U.S. Federal Funds Rate + 0.070%) | 11/02/2022 | Monthly | 4,937 | $ | 37,992,609 | $ | 991,633 | ||||
Morgan Stanley Capital | MSCI Emerging Markets Total Return Index | Receive | (U.S. Federal Funds Rate + 0.120%) | 11/02/2022 | Monthly | 27,581 | 16,776,585 | (225,794 | ) | |||||
Total Return Swaps | $ | 765,839 |
Wilshire Mutual Funds, Inc.
Wilshire International Equity Fund
Schedule of Futures Contracts | December 31, 2021 |
FUTURES CONTRACTS SOLD SHORT | Contracts | Expiration | Notional | Value/ | ||||||
2-Year U.S. Treasury Note Future | 1 | 03/31/2022 | $ | 206,115 | $ | 123 | ||||
5-Year U.S. Treasury Note Future | 24 | 03/31/2022 | 2,348,593 | (12,234 | ) | |||||
10-Year U.S. Treasury Note Future | 21 | 03/22/2022 | 2,320,918 | (31,542 | ) | |||||
U.S. Treasury Long Bond Future | 7 | 03/22/2022 | 1,013,000 | (18,444 | ) | |||||
Ultra 10-Year U.S. Treasury Bond Future | 24 | 03/22/2022 | 2,342,414 | (62,861 | ) | |||||
Ultra Long-Term U.S. Treasury Bond Future | 4 | 03/22/2022 | 484,218 | (19,633 | ) | |||||
Total Futures Contracts Sold Short | $ | 8,715,258 | $ | (144,591 | ) |
See Notes to Financial Statements.
64
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Condensed Schedule of Investments | December 31, 2021 |
Par Value | Value | |||||||
U.S. TREASURY OBLIGATIONS — 10.0% | ||||||||
U.S. Treasury Bonds — 1.9% | ||||||||
4.375%, due 02/15/38 | $ | 610,000 | $ | 838,750 | ||||
2.250%, due 05/15/41 | 560,000 | 587,300 | ||||||
2.000%, due 11/15/41 | 709,000 | 715,758 | ||||||
3.000%, due 02/15/49 | 1,095,000 | 1,345,481 | ||||||
2.000%, due 02/15/50 | 495,000 | 502,502 | ||||||
1.250%, due 05/15/50 | 400,000 | 339,500 | ||||||
1.625%, due 11/15/50 | 1,300 | 1,210 | ||||||
2.000%, due 08/15/51 | 447,100 | 455,763 | ||||||
1.875%, due 11/15/51 | 910,000 | 902,748 | ||||||
5,689,012 | ||||||||
U.S. Treasury Notes — 8.1% | ||||||||
0.125%, due 02/28/23 | 5,140,000 | 5,119,119 | ||||||
0.125%, due 03/31/23 | 1,230,000 | 1,224,042 | ||||||
0.125%, due 04/30/23 | 950,000 | 944,805 | ||||||
0.125%, due 05/31/23 | 105,000 | 104,344 | ||||||
0.125%, due 10/15/23 | 1,291,000 | 1,278,090 | ||||||
0.750%, due 12/31/23 | 890,000 | 890,278 | ||||||
2.375%, due 02/29/24 | 155,000 | 160,280 | ||||||
0.250%, due 06/15/24 | 461,000 | 454,229 | ||||||
1.000%, due 12/15/24 (a) | 5,729,700 | 5,735,072 | ||||||
0.375%, due 11/30/25 | 910,000 | 882,416 | ||||||
0.500%, due 02/28/26 | 760,000 | 738,269 | ||||||
2.375%, due 04/30/26 | 135,000 | 141,581 |
Par Value | Value | |||||||
0.750%, due 08/31/26 | $ | 240,000 | $ | 234,600 | ||||
2.000%, due 11/15/26 | 310,000 | 320,656 | ||||||
1.250%, due 11/30/26 | 33,400 | 33,384 | ||||||
1.250%, due 12/31/26 | 1,317,300 | 1,315,859 | ||||||
0.500%, due 06/30/27 | 790,000 | 755,684 | ||||||
0.375%, due 09/30/27 | 69,000 | 65,313 | ||||||
1.250%, due 09/30/28 | 228,100 | 225,462 | ||||||
1.500%, due 11/30/28 | 287,700 | 288,869 | ||||||
1.375%, due 12/31/28 | 2,179,500 | 2,169,965 | ||||||
2.625%, due 02/15/29 | 480,000 | 518,850 | ||||||
1.125%, due 02/15/31 | 47,000 | 45,605 | ||||||
1.375%, due 11/15/31 (a) | 949,000 | 936,544 | ||||||
24,583,316 | ||||||||
U.S. Treasury Inflation-Protected Note — 0.0% (b) | ||||||||
0.125%, due 01/15/30 | 69,878 | 77,477 | ||||||
Total U.S. Treasury Obligations (Cost $30,065,405) | 30,349,805 | |||||||
AGENCY MORTGAGE-BACKED OBLIGATIONS — 5.3% | ||||||||
Federal Home Loan Mortgage Corp. — 2.5% | ||||||||
Freddie Mac REMICS | ||||||||
Series 2989, 33.182%, due 08/15/34 (-7 x 1 Month U.S. LIBOR + 33.950%) (c) | 105,699 | 232,662 | ||||||
Series 4249, 4.576%, due 09/15/43 (-0.75 x 1 Month U.S. LIBOR + 4.650%) (c) | 563,440 | 549,049 |
See Notes to Financial Statements.
65
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Condensed Schedule of Investments - (Continued) | December 31, 2021 |
Par Value | Value | |||||||
AGENCY MORTGAGE-BACKED OBLIGATIONS — 5.3% (Continued) | ||||||||
Federal Home Loan Mortgage Corp. — 2.5% (Continued) | ||||||||
Series 4355, 4.000%, due 05/15/44 | $ | 4,653,560 | $ | 5,097,464 | ||||
Freddie Mac STACR REMIC Trust 2020-DNA3 | ||||||||
Series 2020-DNA3, 3.103%, due 06/25/50 (1 Month U.S. LIBOR + 3.000%) (c)(d) | 52,320 | 52,393 | ||||||
Freddie Mac STACR REMIC Trust 2020-HQA1 | ||||||||
Series 2020-HQA1, 2.003%, due 01/25/50 (1 Month U.S. LIBOR + 1.900%) (c)(d) | 178,683 | 178,904 | ||||||
Freddie Mac STACR REMIC Trust 2021-HQA1 | ||||||||
Series M-2, 2.300%, due 08/25/33 (SOFR 30 Day Average + 2.250%) (c)(d) | 300,000 | 302,231 | ||||||
Freddie Mac STACR REMIC Trust 2021-HQA4 | ||||||||
Series B-1, 3.800%, due 12/25/41 (SOFR 30 Day Average + 3.750%) (c)(d) | 700,000 | 704,103 | ||||||
Freddie Mac STACR Trust 2019-HQA2 | ||||||||
Series 2019-HQA2, 2.153%, due 04/25/49 (1 Month U.S. LIBOR + 2.050%) (c)(d) | 380,879 | 382,724 |
Par Value | Value | |||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | ||||||||
Series 2014-DN3, 4.103%, due 08/25/24 (1 Month U.S. LIBOR + 4.000%) (c) | $ | 49,515 | $ | 50,374 | ||||
Series 2017-DNA2, 1.303%, due 10/25/29 (1 Month U.S. LIBOR + 1.200%) (c) | 13,060 | 13,065 | ||||||
7,562,969 | ||||||||
Federal Home Loan Mortgage Corp. Interest-Only Strips — 0.6% | ||||||||
FHLMC REMIC SERIES K-1515 | ||||||||
Series K-1515, 1.512%, due 02/25/35 (e) | 798,081 | 122,171 | ||||||
Freddie Mac Multiclass Certificates Series 2021-P011 | ||||||||
Series X1, 1.846%, due 09/25/45 (e) | 570,632 | 89,184 | ||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
Series K-L06, 1.364%, due 12/25/29 | 956,000 | 82,637 | ||||||
Series K-109, 1.582%, due 04/25/30 (e) | 668,463 | 74,876 | ||||||
Series K-117, 1.242%, due 08/25/30 (e) | 1,294,300 | 115,812 | ||||||
Series K-G04, 0.853%, due 11/25/30 (e) | 1,898,440 | 122,228 |
See Notes to Financial Statements.
66
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Condensed Schedule of Investments - (Continued) | December 31, 2021 |
Par Value | Value | |||||||
AGENCY MORTGAGE-BACKED OBLIGATIONS — 5.3% (Continued) | ||||||||
Federal Home Loan Mortgage Corp. Interest-Only Strips — 0.6% (Continued) | ||||||||
Series K-122, 0.883%, due 11/25/30 (e) | $ | 1,857,254 | $ | 124,205 | ||||
Series K-1517, 1.331%, due 07/25/35 (e) | 898,896 | 127,147 | ||||||
Series K-1518, 0.871%, due 10/25/35 (e) | 1,491,220 | 134,010 | ||||||
Series K-1521, 0.981%, due 08/25/36 (e) | 819,547 | 88,614 | ||||||
Freddie Mac REMICS | ||||||||
Series 2980, 6.590%, due 05/15/35 (6.700% - 1 Month U.S. LIBOR) (c) | 406,557 | 56,513 | ||||||
Series 3311, 6.300%, due 05/15/37 (6.410% - 1 Month U.S. LIBOR) (c) | 1,522,791 | 345,570 | ||||||
Series 3359, 5.610%, due 08/15/37 (5.720% - 1 Month U.S. LIBOR) (c) | 718,665 | 107,334 | ||||||
Series 4077, 5.890%, due 05/15/41 (6.000% - 1 Month U.S. LIBOR) (c) | 416,222 | 60,618 | ||||||
Series 3966, 5.790%, due 12/15/41 (5.900% - 1 Month U.S. LIBOR) (c) | 737,411 | 106,082 | ||||||
Series 4089, 5.890%, due 08/15/42 (6.000% - 1 Month U.S. LIBOR) (c) | 598,435 | 93,937 | ||||||
1,850,938 |
Par Value | Value | |||||||
Federal National Mortgage Association — 0.7% | ||||||||
Connecticut Avenue Securities Trust 2019-R02 | ||||||||
Series 2019-R02, 2.403%, due 08/25/31 (1 Month U.S. LIBOR + 2.300%) (c)(d) | $ | 31,840 | $ | 31,975 | ||||
Connecticut Avenue Securities Trust 2019-R04 | ||||||||
Series 2019-R04, 2.202%, due 06/25/39 (1 Month U.S. LIBOR + 2.100%) (c)(d) | 7,157 | 7,164 | ||||||
Connecticut Avenue Securities Trust 2019-R06 | ||||||||
Series 2019-R06, 2.202%, due 09/25/39 (1 Month U.S. LIBOR + 2.100%) (c)(d) | 16,975 | 17,010 | ||||||
Connecticut Avenue Securities Trust 2020-R02 | ||||||||
Series 2020-R02, 2.103%, due 01/25/40 (1 Month U.S. LIBOR + 2.000%) (c)(d) | 367,796 | 369,050 | ||||||
Fannie Mae Connecticut Avenue Securities | ||||||||
Series 1M2, 4.103%, due 05/25/25 (1 Month U.S. LIBOR + 4.000%) (c) | 175,607 | 178,887 | ||||||
Series 2015-C04, 5.653%, due 04/25/28 (1 Month U.S. LIBOR + 5.550%) (c) | 104,291 | 108,768 |
See Notes to Financial Statements.
67
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Condensed Schedule of Investments - (Continued) | December 31, 2021 |
Par Value | Value | |||||||
AGENCY MORTGAGE-BACKED OBLIGATIONS — 5.3% (Continued) | ||||||||
Federal National Mortgage Association — 0.7% (Continued) | ||||||||
Series 2016-C05, 4.553%, due 01/25/29 (1 Month U.S. LIBOR + 4.450%) (c) | $ | 235,776 | $ | 244,329 | ||||
Series 2017-C07, 2.602%, due 05/25/30 (1 Month U.S. LIBOR + 2.500%) (c) | 296,521 | 300,830 | ||||||
Series 2018-C01, 2.353%, due 07/25/30 (1 Month U.S. LIBOR + 2.250%) (c) | 211,281 | 213,648 | ||||||
Series 2018-C06, 2.103%, due 03/25/31 (1 Month U.S. LIBOR + 2.000%) (c) | 327,868 | 330,481 | ||||||
Series 2018-C06, 2.203%, due 03/25/31 (1 Month U.S. LIBOR + 2.100%) (c) | 402,353 | 405,610 | ||||||
2,207,752 | ||||||||
Federal National Mortgage Association Interest-Only Strips — 1.2% | ||||||||
Fannie Mae Interest Strip | ||||||||
3.500%, due 04/25/44 | 2,785,888 | 410,721 | ||||||
Fannie Mae REMICS | ||||||||
Series 2013-60, 3.000%, due 06/25/31 | 3,413,084 | 131,454 | ||||||
Series 2014-63, 3.500%, due 06/25/33 | 1,449,028 | 41,669 |
Par Value | Value | |||||||
Series 2007-50, 6.348%, due 06/25/37 (6.450% - 1 Month U.S. LIBOR) (c) | $ | 2,523,313 | $ | 464,438 | ||||
Series 2009-78, 6.638%, due 10/25/39 (6.740% - 1 Month U.S. LIBOR) (c) | 3,639,030 | 806,828 | ||||||
Series 2011-124, 6.398%, due 12/25/41 (6.500% - 1 Month U.S. LIBOR) (c) | 524,575 | 89,635 | ||||||
Series 2012-20, 6.348%, due 03/25/42 (6.450% - 1 Month U.S. LIBOR) (c) | 483,492 | 77,182 | ||||||
Series 2012-76, 5.898%, due 07/25/42 (6.000% - 1 Month U.S. LIBOR) (c) | 245,735 | 41,893 | ||||||
Series 2014-28, 5.948%, due 05/25/44 (6.050% - 1 Month U.S. LIBOR) (c) | 1,496,686 | 242,433 | ||||||
Series 2017-53, 4.000%, due 07/25/47 | 208,124 | 22,716 | ||||||
Series 2008-22, 6.058%, due 04/25/48 (6.160% - 1 Month U.S. LIBOR) (c) | 1,751,332 | 323,496 | ||||||
Series PS, 5.948%, due 07/25/49 (6.050% - 1 Month U.S. LIBOR) (c) | 6,018,977 | 1,053,690 | ||||||
3,706,155 |
See Notes to Financial Statements.
68
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Condensed Schedule of Investments - (Continued) | December 31, 2021 |
Par Value | Value | |||||||
AGENCY MORTGAGE-BACKED OBLIGATIONS — 5.3% (Continued) | ||||||||
Government National Mortgage Association Interest-Only Strips — 0.3% | ||||||||
Other Securities (c)(f) | $ | 754,866 | ||||||
Total Agency Mortgage-Backed Obligations (Cost $15,629,247) | 16,082,680 | |||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS — 12.6% | ||||||||
Alternative Loan Trust 2006-OA6 | ||||||||
Series FLT, 0.522%, due 07/25/46 (1 Month U.S. LIBOR + 0.420%) (c) | $ | 1,317,244 | 1,199,712 | |||||
Angel Oak Mortgage Trust I LLC 2019-2 | ||||||||
Series 2019-2, 6.286%, due 03/25/49 (d)(e) | 1,300,000 | 1,306,397 | ||||||
BCRR 2016-FRR3 Trust | ||||||||
Series TRUST, 2.021%, due 05/26/26 (1 Month U.S. LIBOR + 18.348%) (c)(d) | 797,720 | 726,890 | ||||||
Benchmark 2020-IG3 Mortgage Trust | ||||||||
Series 2020-IG3, 3.289%, due 09/15/48 (d)(e) | 1,000,000 | 1,021,580 | ||||||
BX Commercial Mortgage Trust 2021-SOAR | ||||||||
Series TR, 2.460%, due 06/15/38 (1 Month U.S. LIBOR + 2.350%) (c)(d) | 1,000,000 | 992,337 |
Par Value | Value | |||||||
CHL Mortgage Pass-Through Trust 2007-HY5 | ||||||||
Series 2007-HY5, 2.983%, due 09/25/37 (e) | $ | 904,466 | $ | 800,632 | ||||
GCAT 2020-3 LLC | ||||||||
Series LLC, 2.981%, due 09/25/25 (d) | 1,071,386 | 1,075,520 | ||||||
GS Mortgage Securities Corp Trust 2018-RIVR | ||||||||
Series F, 2.210%, due 07/15/35 (1 Month U.S. LIBOR + 2.100%) (c)(d) | 1,000,000 | 920,464 | ||||||
GSAA Home Equity Trust 2005-6 | ||||||||
Series 2005-6, 0.747%, due 06/25/35 (1 Month U.S. LIBOR + 0.645%) (c) | 814,605 | 817,872 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT | ||||||||
Series FLT, 5.542%, due 07/05/33 (d)(e) | 1,400,000 | 1,403,626 | ||||||
Legacy Mortgage Asset Trust 2020-GS3 | ||||||||
Series A2, 4.000%, due 05/25/60 (d) | 900,000 | 896,184 | ||||||
NewRez Warehouse Securitization Trust 2021-1 | ||||||||
Series 21-1, 5.352%, due 05/25/55 (1 Month U.S. LIBOR + 5.250%) (c)(d) | 1,000,000 | 999,073 |
See Notes to Financial Statements.
69
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Condensed Schedule of Investments - (Continued) | December 31, 2021 |
Par Value | Value | |||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS — 12.6% (Continued) | ||||||||
PR Mortgage Loan Trust 2014-1 | ||||||||
Series 2014-1, 5.869%, due 10/25/49 (d)(e)(g) | $ | 1,367,651 | $ | 1,339,840 | ||||
WFRBS Commercial Mortgage Trust 2013-C12 | ||||||||
Series 2013-C12, 3.500%, due 03/15/48 (d) | 900,000 | 775,262 | ||||||
Other Securities (c)(d)(e)(f)(g) | 24,050,590 | |||||||
Total Non-Agency Mortgage-Backed Obligations (Cost $38,528,893) | 38,325,979 | |||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS INTEREST-ONLY STRIPS — 1.8% | ||||||||
Other Securities (d)(e)(f)(g) | 5,592,299 | |||||||
Total Non-Agency Mortgage-Backed Obligations Interest-Only Strips (Cost $7,350,682) | 5,592,299 | |||||||
ASSET-BACKED SECURITIES — 5.7% | ||||||||
AMSR 2021-SFR1 Trust | ||||||||
Series 2021-SFR1, 2.900%, due 06/17/38 (d) | 1,200,000 | 1,174,571 | ||||||
Castlelake Aircraft Structured Trust 2019-1 | ||||||||
Series 2091-1, 6.899%, due 04/15/39 (d) | 923,003 | 755,083 | ||||||
Progress Residential 2020-SFR3 Trust | ||||||||
Series TR, 4.105%, due 10/17/27 (d) | 2,000,000 | 2,023,199 |
Par Value | Value | |||||||
Progress Residential 2021-SFR3 | ||||||||
Series TR, 4.254%, due 05/17/26 (d) | $ | 1,100,000 | $ | 1,082,915 | ||||
Progress Residential Trust | ||||||||
Series TR, 4.003%, due 07/17/38 (d) | 700,000 | 696,465 | ||||||
Santander Drive Auto Receivables Trust 2018-1 | ||||||||
Series 2018-1, 4.370%, due 05/15/25 (d) | 750,000 | 755,234 | ||||||
Other Securities (c)(d)(f)(g) | 10,878,875 | |||||||
Total Asset-Backed Securities (Cost $17,700,349) | 17,366,342 | |||||||
COLLATERALIZED LOAN OBLIGATIONS — 5.3% (c) | ||||||||
Annisa CLO Ltd. 2016-2 | ||||||||
Series 2016-R, 2.132%, due 07/20/31 (3 Month U.S. LIBOR + 2.000%) (d) | 1,000,000 | 1,000,063 | ||||||
Ares XLIX CLO Ltd. | ||||||||
Series 2018-49, 2.078%, due 07/22/30 (3 Month U.S. LIBOR + 1.950%) (d) | 1,000,000 | 999,895 | ||||||
Other Securities (d)(f)(g) | 14,068,470 | |||||||
Total Collateralized Loan Obligations (Cost $16,098,377) | 16,068,428 | |||||||
CORPORATE BONDS — 17.6% | ||||||||
Basic Materials — 0.8% | ||||||||
Other Securities (a)(d)(f) | 2,390,868 |
See Notes to Financial Statements.
70
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Condensed Schedule of Investments - (Continued) | December 31, 2021 |
Par Value | Value | |||||||
CORPORATE BONDS — 17.6% (Continued) | ||||||||
Communications — 2.3% | ||||||||
Other Securities (c)(d)(f) | $ | 7,096,786 | ||||||
Consumer, Cyclical — 3.3% | ||||||||
Delta Air Lines, Inc. | ||||||||
4.750%, due 10/20/28 (d) | $ | 958,000 | 1,047,572 | |||||
Other Securities (a)(d)(f) | 8,828,916 | |||||||
9,876,488 | ||||||||
Consumer, Non-cyclical — 3.7% | ||||||||
HCA, Inc. | ||||||||
3.500%, due 09/01/30 | 746,000 | 785,165 | ||||||
Other Securities (a)(d)(f) | 10,347,238 | |||||||
11,132,403 | ||||||||
Energy — 1.9% | ||||||||
Other Securities (a)(c)(d)(f) | 5,851,884 | |||||||
Financial — 2.3% | ||||||||
Other Securities (c)(d)(f) | 7,054,854 | |||||||
Industrial — 1.5% | ||||||||
The Boeing Co. | ||||||||
5.150%, due 05/01/30 | 615,000 | 717,417 | ||||||
Other Securities (d)(f) | 3,746,851 | |||||||
4,464,268 | ||||||||
Technology — 0.9% | ||||||||
Other Securities (d)(f) | 2,832,920 | |||||||
Utilities — 0.9% | ||||||||
Other Securities (c)(d)(f) | 2,577,205 | |||||||
Total Corporate Bonds (Cost $51,801,259) | 53,277,676 |
Par Value | Value | |||||||||
FOREIGN BONDS — 21.5% | ||||||||||
Argentina — 0.1% | ||||||||||
Other Securities (c)(f) | $ | 208,750 | ||||||||
Australia — 0.8% | ||||||||||
FMG Resources August 2006 Pty Ltd. | ||||||||||
4.375%, due 04/01/31 (d) | $ | 995,000 | 1,048,481 | |||||||
Other Securities (c)(d)(f) | 1,303,755 | |||||||||
2,352,236 | ||||||||||
Austria — 0.0% (b) | ||||||||||
Other Securities (d)(f) | 166,275 | |||||||||
Bermuda — 0.2% | ||||||||||
Other Securities (d)(f) | 508,923 | |||||||||
Brazil — 0.9% | ||||||||||
Other Securities (c)(d)(f) | 2,706,022 | |||||||||
Britain — 1.0% | ||||||||||
Other Securities (c)(d)(f) | 2,981,107 | |||||||||
Canada — 2.4% | ||||||||||
Province of Ontario Canada | ||||||||||
1.350%, due 12/02/30 | CAD | 1,610,000 | 1,207,586 | |||||||
Other Securities (c)(d)(f) | 6,058,951 | |||||||||
7,266,537 | ||||||||||
Cayman Islands — 0.4% | ||||||||||
Other Securities (d)(f) | 1,249,812 | |||||||||
Chile — 0.7% | ||||||||||
Other Securities (c)(d)(f) | 2,126,416 | |||||||||
See Notes to Financial Statements.
71
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Condensed Schedule of Investments - (Continued) | December 31, 2021 |
Value | ||||
FOREIGN BONDS — 21.5% (Continued) | ||||
China — 0.4% | ||||
Other Securities (f) | $ | 1,131,432 | ||
Colombia — 0.9% | ||||
Other Securities (f) | 2,846,591 | |||
Dominican Republic — 0.0% (b) | ||||
Other Securities (f) | 144,187 | |||
France — 0.4% | ||||
Other Securities (a)(c)(d)(f) | 1,253,986 | |||
Germany — 0.0% (b) | ||||
Other Securities (f) | 74,468 | |||
Greece — 0.2% | ||||
Other Securities (d)(f) | 742,010 | |||
India — 0.2% | ||||
Other Securities (d)(f) | 743,802 | |||
Indonesia — 1.5% | ||||
Other Securities (a)(d)(f) | 4,551,973 | |||
Ireland — 0.2% | ||||
Other Securities (d)(f) | 762,782 | |||
Israel — 0.1% | ||||
Other Securities (d)(f) | 215,741 | |||
Italy — 0.4% | ||||
Other Securities (c)(d)(f) | 1,113,292 | |||
Par Value | Value | |||||||||||
Japan — 0.3% | ||||||||||||
Japan Government Five Year Bond | ||||||||||||
0.100%, due 06/20/25 | JPY | 90,250,000 | $ | 790,133 | ||||||||
Other Securities (c)(f) | 110,541 | |||||||||||
900,674 | ||||||||||||
Jersey — 0.2% | ||||||||||||
Other Securities (d)(f) | 489,157 | |||||||||||
Liberia — 0.1% | ||||||||||||
Other Securities (d)(f) | 460,875 | |||||||||||
Luxembourg — 1.2% | ||||||||||||
Other Securities (d)(f) | 3,504,419 | |||||||||||
Malaysia — 0.7% | ||||||||||||
Other Securities (a)(c)(d)(f) | 2,032,717 | |||||||||||
Mexico — 1.3% | ||||||||||||
Other Securities (a)(c)(d)(f) | 3,856,578 | |||||||||||
Netherlands — 0.8% | ||||||||||||
Other Securities (c)(d)(f) | 2,558,400 | |||||||||||
New Zealand — 0.3% | ||||||||||||
Other Securities (f) | 908,974 | |||||||||||
Norway — 0.6% | ||||||||||||
Norway Government Bond | ||||||||||||
2.000%, due 05/24/23 (d) | NOK | 6,530,000 | 750,540 | |||||||||
Other Securities (c)(d)(f) | 1,017,803 | |||||||||||
1,768,343 | ||||||||||||
Panama — 0.4% | ||||||||||||
Other Securities (c)(d)(f) | 1,277,233 | |||||||||||
See Notes to Financial Statements.
72
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Condensed Schedule of Investments - (Continued) | December 31, 2021 |
Value | ||||
FOREIGN BONDS — 21.5% (Continued) | ||||
Peru — 0.3% | ||||
Other Securities (c)(f) | $ | 938,347 | ||
Philippines — 0.5% | ||||
Other Securities (a)(f) | 1,435,908 | |||
Portugal — 0.2% | ||||
Other Securities (d)(f) | 632,212 | |||
Puerto Rico — 0.1% | ||||
Other Securities (f) | 399,343 | |||
Qatar — 0.1% | ||||
Other Securities (d)(f) | 422,874 | |||
Saudi Arabia — 0.5% | ||||
Other Securities (d)(f) | 1,617,761 | |||
Singapore — 1.1% | ||||
Other Securities (c)(d)(f) | 3,243,652 | |||
South Korea — 0.8% | ||||
Other Securities (a)(c)(d)(f) | 2,401,742 | |||
Spain — 0.3% | ||||
Other Securities (c)(d)(f) | 822,758 | |||
Sweden — 0.1% | ||||
Other Securities (d)(f) | 258,350 | |||
Switzerland — 0.3% | ||||
Other Securities (c)(d)(f) | 811,195 | |||
Par Value | Value | |||||||
Thailand — 0.1% | ||||||||
Other Securities (c)(f) | $ | 417,432 | ||||||
United Arab Emirates — 0.4% | ||||||||
Other Securities (d)(f) | 1,087,170 | |||||||
Total Foreign Bonds (Cost $66,091,880) | 65,392,456 | |||||||
BANK LOANS — 7.3% (c) | ||||||||
1011778 BC ULC | ||||||||
1.840%, due 11/19/26 (1 Month U.S. LIBOR + 1.750%) | $ | 817,665 | 807,955 | |||||
Other Securities (f)(g) | 21,291,470 | |||||||
Total Bank Loans (Cost $22,068,435) | 22,099,425 | |||||||
Shares | ||||||||
COMMON STOCKS — 0.9% | ||||||||
Consumer Discretionary — 0.1% | ||||||||
Other Securities (f)(h) | 335,188 | |||||||
Financials — 0.5% | ||||||||
Other Securities (f) | 1,325,977 | |||||||
Industrials — 0.2% | ||||||||
Other Securities (f)(h) | 678,355 | |||||||
Real Estate — 0.1% | ||||||||
Other Securities (f) | 269,763 | |||||||
Total Common Stocks (Cost $2,620,565) | 2,609,283 | |||||||
PREFERRED STOCKS — 1.6% | ||||||||
Communication Services — 0.1% | ||||||||
Other Securities (d)(f)(g) | 250,850 | |||||||
See Notes to Financial Statements.
73
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Condensed Schedule of Investments - (Continued) | December 31, 2021 |
Shares | Value | |||||||||||
PREFERRED STOCKS — 1.6% (Continued) | ||||||||||||
Financials — 0.2% | ||||||||||||
Other Securities (a)(c)(f) | $ | 591,591 | ||||||||||
Health Care — 0.2% | ||||||||||||
Other Securities (a)(f) | 464,453 | |||||||||||
Industrials — 0.1% | ||||||||||||
Other Securities (a)(f) | 229,299 | |||||||||||
Information Technology — 0.1% | ||||||||||||
Other Securities (f) | 440,232 | |||||||||||
Utilities — 0.9% | ||||||||||||
Other Securities (f) | 2,752,648 | |||||||||||
Total Preferred Stocks (Cost $4,265,777) | 4,729,073 |
Contracts | Notional | |||||||||||
PURCHASED OTC OPTIONS — 0.0% (b) | ||||||||||||
Currency Put Options — 0.0% (b) | ||||||||||||
Canadian Dollar, 4/11/22 at 1.215 Counterparty: Goldman Sachs Bank, USA | 2,415,000 | $ | 2,415,000 | 5,052 | ||||||||
Equity Put Options — 0.0% (b) | ||||||||||||
iShares iBoxx $High Yield Corporate Bond ETF, 3/18/22 at $80.50 Counterparty: Citigroup | 150,572 | 13,101,270 | 31,826 | |||||||||
Total Purchased OTC Options (Cost $104,887) | 36,878 | |||||||||||
Shares | Value | |||||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES — 7.0% | ||||||||||||
Voya Emerging Markets Hard Currency Debt Fund - Class P | 546,707 | $ | 5,128,114 | |||||||||
Voya Floating Rate Fund - Class P | 1,337,945 | 12,081,644 | ||||||||||
Voya High Yield Bond Fund - Class P | 493,891 | 3,965,944 | ||||||||||
Total Affiliated Registered Investment Companies (Cost $21,385,048) | 21,175,702 | |||||||||||
Total Investments at Value — 96.6% (Cost $293,710,804) | $ | 293,106,026 | ||||||||||
Other Assets in Excess of Liabilities — 3.4% | 10,240,330 | |||||||||||
Net Assets — 100.0% | $ | 303,346,356 |
Percentages are stated as a percent of net assets.
The Condensed Schedule of Investments does not reflect the complete portfolio holdings. It includes the Portfolio’s 50 largest holdings, each investment of any issue that exceeds 1% of the Portfolio’s net assets, and any investments classified as Level 3. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). The complete schedule of portfolio holdings is available on the SEC’s website at http://www.sec.gov; and (ii) on our website at http://advisor.wilshire.com.
(a) | This security or a partial position of this security is on loan at December 31, 2021. The total fair value of securities on loan at December 31, 2021 was $4,766,653 (Note 8). |
(b) | Represents less than 0.1%. |
(c) | Variable rate security based on a reference index and spread. The rate listed is as of December 31, 2021. |
(d) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program |
See Notes to Financial Statements.
74
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Condensed Schedule of Investments - (Continued) | December 31, 2021 |
or other ‘‘qualified institutional buyers.’’ As of December 31, 2021, the value of these investments was $114,907,434, or 37.9% of total net assets.
(e) | Variable rate security. The coupon is based on an underlying pool of loans. The rate listed is as of December 31, 2021. |
(f) | Represents issuers not identified as a top 50 holding in terms of market value, issues or issuers not exceeding 1% of net assets individually or in the aggregate, respectively, or any issuers not classified as Level 3 investments, as of December 31, 2021. |
(g) | Illiquid security. The total fair value of such securities is $3,958,048 as of December 31, 2021, representing 1.3% of net assets. |
(h) | Non-income producing security. |
REMIC — Real Estate Mortgage Investment Conduit
LIBOR — London Interbank Offered Rate
SOFR — Secured Overnight Financing Rate
CAD — Canadian Dollar
JPY — Japanese Yen
NOK — Norwegian Krone
ETF — Exchange Traded Fund
See Notes to Financial Statements.
75
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Schedule of Futures Contracts | December 31, 2021 |
FUTURES CONTRACTS PURCHASED | Contracts | Expiration | Notional | Value/ | ||||||
2-Year U.S. Treasury Note Future | 70 | 03/31/2022 | $ | 14,427,496 | $ | (8,959 | ) | |||
5-Year U.S. Treasury Note Future | 249 | 03/31/2022 | 24,366,624 | 119,170 | ||||||
10-Year U.S. Treasury Note Future | 58 | 03/22/2022 | 6,410,167 | 24,757 | ||||||
Euro Bund Future | 3 | 03/08/2022 | 341,550 | (9,532 | ) | |||||
Total Futures Contracts Purchased | $ | 45,545,837 | $ | 125,436 |
FUTURES CONTRACTS SOLD SHORT | Contracts | Expiration | Notional | Value/ | ||||||
10-Year U.S. Treasury Note Future | 4 | 03/22/2022 | $ | 442,085 | $ | (5,130 | ) | |||
U.S. Treasury Long Bond Future | 72 | 03/22/2022 | 10,419,453 | (123,047 | ) | |||||
Ultra 10-Year U.S. Treasury Bond Future | 62 | 03/22/2022 | 6,051,240 | (158,585 | ) | |||||
Ultra Long-Term U.S. Treasury Bond Future | 2 | 03/22/2022 | 242,109 | (9,817 | ) | |||||
Euro Bund Future | 6 | 03/08/2022 | 683,099 | 18,912 | ||||||
30 Year Euro Buxl Future | 1 | 03/08/2022 | 113,850 | 11,498 | ||||||
Total Futures Contracts Sold Short | $ | 17,951,836 | $ | (266,169 | ) |
See Notes to Financial Statements.
76
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Schedule of Forward Foreign Currency Contracts | December 31, 2021 |
Counterparty | Settlement | Fund | Amount Of | Fund | Amount Of | Unrealized | ||||||||||||||||||
Australia and New Zealand Banking Group Ltd. | 1/19/2022 | JPY | 23,674,559 | USD | 215,141 | $ | (9,298 | ) | ||||||||||||||||
Australia and New Zealand Banking Group Ltd. | 1/19/2022 | NZD | 377,214 | AUD | 357,292 | (1,672 | ) | |||||||||||||||||
Australia and New Zealand Banking Group Ltd. | 1/19/2022 | USD | 140,734 | NZD | 209,029 | (2,394 | ) | |||||||||||||||||
Bank of America, San Francisco | 1/19/2022 | USD | 27,182 | GBP | 20,484 | (542 | ) | |||||||||||||||||
Barclays Capital, Inc. | 1/19/2022 | AUD | 360,768 | USD | 262,076 | 416 | ||||||||||||||||||
Barclays Capital, Inc. | 1/19/2022 | CAD | 2,559,261 | USD | 2,043,157 | (19,983 | ) | |||||||||||||||||
Barclays Capital, Inc. | 1/19/2022 | GBP | 259,123 | EUR | 302,812 | 5,835 | ||||||||||||||||||
Barclays Capital, Inc. | 1/19/2022 | GBP | 308,125 | USD | 411,806 | 5,238 | ||||||||||||||||||
Barclays Capital, Inc. | 1/19/2022 | NZD | 956,531 | AUD | 908,500 | (6,051 | ) | |||||||||||||||||
Barclays Capital, Inc. | 1/19/2022 | USD | 703,077 | AUD | 969,633 | (2,422 | ) | |||||||||||||||||
Barclays Capital, Inc. | 1/19/2022 | USD | 1,604,285 | CAD | 2,049,065 | (15,563 | ) | |||||||||||||||||
Barclays Capital, Inc. | 1/19/2022 | USD | 1,981,019 | EUR | 1,723,265 | 18,322 | ||||||||||||||||||
Barclays Capital, Inc. | 1/19/2022 | USD | 823,530 | GBP | 607,500 | 1,285 | ||||||||||||||||||
Barclays Capital, Inc. | 1/19/2022 | USD | 125,183 | NZD | 177,515 | 3,633 | ||||||||||||||||||
Barclays Capital, Inc. | 1/19/2022 | USD | 374,732 | SGD | 512,869 | (5,801 | ) | |||||||||||||||||
BNP Paribas Brokerage Services, Inc. | 1/14/2022 | AUD | 3,745,194 | USD | 2,680,353 | 44,581 | ||||||||||||||||||
BNP Paribas Brokerage Services, Inc. | 1/14/2022 | CAD | 1,845,134 | USD | 1,437,474 | 21,170 | ||||||||||||||||||
BNP Paribas Brokerage Services, Inc. | 1/14/2022 | CHF | 4,146,362 | USD | 4,539,605 | 12,493 | ||||||||||||||||||
BNP Paribas Brokerage Services, Inc. | 1/14/2022 | EUR | 2,294,657 | USD | 2,604,019 | 9,186 | ||||||||||||||||||
BNP Paribas Brokerage Services, Inc. | 1/14/2022 | GBP | 4,381,279 | USD | 5,837,856 | 92,230 | ||||||||||||||||||
BNP Paribas Brokerage Services, Inc. | 1/14/2022 | NZD | 2,879,320 | USD | 1,958,872 | 12,833 | ||||||||||||||||||
BNP Paribas Brokerage Services, Inc. | 1/14/2022 | SEK | 15,195,878 | USD | 1,662,400 | 19,451 | ||||||||||||||||||
BNP Paribas Brokerage Services, Inc. | 1/14/2022 | USD | 2,518,732 | AUD | 3,539,536 | (56,568 | ) | |||||||||||||||||
BNP Paribas Brokerage Services, Inc. | 1/14/2022 | USD | 3,056,233 | CAD | 3,867,636 | (1,270 | ) | |||||||||||||||||
BNP Paribas Brokerage Services, Inc. | 1/14/2022 | USD | 2,524,212 | CHF | 2,320,764 | (23,647 | ) | |||||||||||||||||
BNP Paribas Brokerage Services, Inc. | 1/14/2022 | USD | 6,988,463 | EUR | 6,177,765 | (46,910 | ) |
See Notes to Financial Statements.
77
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Schedule of Forward Foreign Currency Contracts (Continued) | December 31, 2021 |
Counterparty | Settlement | Fund | Amount Of | Fund | Amount Of | Unrealized | ||||||||||||||||||
BNP Paribas Brokerage Services, Inc. | 1/14/2022 | USD | 2,445,869 | JPY | 277,539,878 | $ | 32,851 | |||||||||||||||||
BNP Paribas Brokerage Services, Inc. | 1/14/2022 | USD | 739,165 | NOK | 6,659,023 | (16,783 | ) | |||||||||||||||||
BNP Paribas Brokerage Services, Inc. | 1/14/2022 | USD | 3,708,382 | SEK | 33,688,335 | (20,181 | ) | |||||||||||||||||
BNY Mellon | 1/19/2022 | USD | 132,813 | EUR | 117,627 | (1,157 | ) | |||||||||||||||||
Brown Brothers Harriman & Co. | 1/14/2022 | NOK | 5,915,657 | USD | 650,480 | 21,078 | ||||||||||||||||||
Brown Brothers Harriman & Co. | 1/14/2022 | SEK | 9,798,500 | USD | 1,082,482 | 1,998 | ||||||||||||||||||
Brown Brothers Harriman & Co. | 1/14/2022 | USD | 301,701 | NOK | 2,746,226 | (10,056 | ) | |||||||||||||||||
CIBC, Toronto | 1/19/2022 | CAD | 1,272,261 | USD | 1,029,958 | (24,197 | ) | |||||||||||||||||
CIBC, Toronto | 1/19/2022 | EUR | 298,750 | GBP | 256,056 | (6,311 | ) | |||||||||||||||||
CIBC, Toronto | 1/19/2022 | EUR | 654,735 | USD | 756,661 | (10,956 | ) | |||||||||||||||||
CIBC, Toronto | 1/19/2022 | JPY | 64,221,545 | USD | 585,000 | (26,614 | ) | |||||||||||||||||
CIBC, Toronto | 1/19/2022 | SGD | 491,557 | USD | 362,861 | 1,859 | ||||||||||||||||||
CIBC, Toronto | 1/19/2022 | USD | 152,771 | AUD | 206,937 | 2,205 | ||||||||||||||||||
CIBC, Toronto | 1/19/2022 | USD | 614,514 | CAD | 776,638 | 558 | ||||||||||||||||||
Citigroup | 1/19/2022 | AUD | 360,768 | USD | 263,292 | (799 | ) | |||||||||||||||||
Citigroup | 1/19/2022 | BRL | 416,696 | USD | 73,092 | 1,384 | ||||||||||||||||||
Citigroup | 1/14/2022 | CAD | 2,712,873 | USD | 2,115,763 | 28,859 | ||||||||||||||||||
Citigroup | 1/19/2022 | CAD | 1,140,778 | USD | 907,500 | (5,680 | ) | |||||||||||||||||
Citigroup | 1/14/2022 | CHF | 2,000,902 | USD | 2,178,066 | 18,632 | ||||||||||||||||||
Citigroup | 1/19/2022 | GBP | 921,250 | CAD | 1,544,634 | 25,822 | ||||||||||||||||||
Citigroup | 1/14/2022 | JPY | 295,284,752 | USD | 2,602,648 | (35,350 | ) | |||||||||||||||||
Citigroup | 1/19/2022 | NZD | 1,665,301 | AUD | 1,573,292 | (4,431 | ) | |||||||||||||||||
Citigroup | 2/4/2022 | PEN | 129,831 | USD | 31,819 | 655 | ||||||||||||||||||
Citigroup | 1/14/2022 | SEK | 5,442,426 | USD | 603,179 | (822 | ) | |||||||||||||||||
Citigroup | 1/19/2022 | SGD | 1,481,691 | USD | 1,094,916 | 4,452 | ||||||||||||||||||
Citigroup | 1/19/2022 | USD | 402,533 | AUD | 547,358 | 4,278 | ||||||||||||||||||
Citigroup | 1/19/2022 | USD | 954,434 | CAD | 1,196,439 | 8,612 | ||||||||||||||||||
Citigroup | 1/14/2022 | USD | 2,178,509 | CHF | 2,012,016 | (30,391 | ) | |||||||||||||||||
Citigroup | 1/19/2022 | USD | 497,840 | EUR | 423,910 | 15,031 | ||||||||||||||||||
Citigroup | 1/14/2022 | USD | 1,240,119 | GBP | 929,439 | (17,883 | ) | |||||||||||||||||
Citigroup | 1/19/2022 | USD | 1,068,270 | JPY | 116,977,701 | 51,186 | ||||||||||||||||||
Citigroup | 1/19/2022 | USD | 305,341 | MXN | 6,610,587 | (16,462 | ) | |||||||||||||||||
Citigroup | 1/14/2022 | USD | 1,652,536 | NZD | 2,425,819 | (8,620 | ) | |||||||||||||||||
Citigroup | 1/19/2022 | USD | 652,671 | NZD | 929,599 | 16,144 | ||||||||||||||||||
Citigroup | 1/14/2022 | USD | 753,969 | SEK | 6,854,451 | (4,669 | ) |
See Notes to Financial Statements.
78
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Schedule of Forward Foreign Currency Contracts (Continued) | December 31, 2021 |
Counterparty | Settlement | Fund | Amount Of | Fund | Amount Of | Unrealized | ||||||||||||||||||
Citigroup | 1/19/2022 | USD | 1,395,681 | SGD | 1,902,288 | $ | (15,756 | ) | ||||||||||||||||
Goldman Sachs Bank, USA | 1/19/2022 | AUD | 1,513,000 | NZD | 1,577,643 | 20,585 | ||||||||||||||||||
Goldman Sachs Bank, USA | 1/14/2022 | AUD | 2,189,719 | USD | 1,582,159 | 11,040 | ||||||||||||||||||
Goldman Sachs Bank, USA | 1/19/2022 | AUD | 2,045,843 | USD | 1,506,011 | (17,467 | ) | |||||||||||||||||
Goldman Sachs Bank, USA | 1/14/2022 | CHF | 778,063 | USD | 842,729 | 11,471 | ||||||||||||||||||
Goldman Sachs Bank, USA | 1/14/2022 | EUR | 278,574 | USD | 315,208 | 2,038 | ||||||||||||||||||
Goldman Sachs Bank, USA | 1/19/2022 | EUR | 424,975 | USD | 492,949 | (8,928 | ) | |||||||||||||||||
Goldman Sachs Bank, USA | 1/14/2022 | GBP | 609,096 | USD | 811,106 | 13,309 | ||||||||||||||||||
Goldman Sachs Bank, USA | 1/14/2022 | JPY | 34,975,791 | USD | 306,771 | (2,680 | ) | |||||||||||||||||
Goldman Sachs Bank, USA | 1/19/2022 | MXN | 6,740,758 | USD | 310,000 | 18,140 | ||||||||||||||||||
Goldman Sachs Bank, USA | 1/14/2022 | NOK | 19,719,392 | USD | 2,191,450 | 47,140 | ||||||||||||||||||
Goldman Sachs Bank, USA | 1/14/2022 | NZD | 1,107,646 | USD | 756,267 | 2,229 | ||||||||||||||||||
Goldman Sachs Bank, USA | 1/19/2022 | SGD | 741,893 | USD | 549,183 | 1,279 | ||||||||||||||||||
Goldman Sachs Bank, USA | 1/19/2022 | USD | 230,668 | AUD | 305,833 | 8,145 | ||||||||||||||||||
Goldman Sachs Bank, USA | 1/19/2022 | USD | 693,869 | CAD | 882,633 | (3,880 | ) | |||||||||||||||||
Goldman Sachs Bank, USA | 1/14/2022 | USD | 1,348,436 | EUR | 1,196,297 | (13,933 | ) | |||||||||||||||||
Goldman Sachs Bank, USA | 1/19/2022 | USD | 2,429,906 | EUR | 2,085,352 | 54,813 | ||||||||||||||||||
Goldman Sachs Bank, USA | 1/14/2022 | USD | 1,450,226 | GBP | 1,093,833 | (30,284 | ) | |||||||||||||||||
Goldman Sachs Bank, USA | 1/19/2022 | USD | 606,667 | JPY | 69,126,937 | 5,630 | ||||||||||||||||||
Goldman Sachs Bank, USA | 1/14/2022 | USD | 1,279,554 | NOK | 11,254,570 | 1,910 | ||||||||||||||||||
Goldman Sachs Bank, USA | 1/14/2022 | USD | 345,881 | NZD | 507,576 | (1,698 | ) | |||||||||||||||||
Goldman Sachs Bank, USA | 1/19/2022 | USD | 345,181 | NZD | 495,795 | 5,694 | ||||||||||||||||||
Goldman Sachs Bank, USA | 1/14/2022 | USD | 1,659,908 | SEK | 15,134,603 | (15,162 | ) | |||||||||||||||||
Goldman Sachs Bank, USA | 1/19/2022 | USD | 736,771 | SGD | 1,000,752 | (5,755 | ) | |||||||||||||||||
Goldman Sachs Bank, USA | 1/21/2022 | USD | 9,892 | TRY | 128,645 | 344 | ||||||||||||||||||
HSBC Bank, USA | 1/19/2022 | CAD | 873,182 | USD | 691,843 | (1,566 | ) | |||||||||||||||||
HSBC Bank, USA | 1/19/2022 | EUR | 424,974 | USD | 494,502 | (10,481 | ) | |||||||||||||||||
HSBC Bank, USA | 1/19/2022 | GBP | 308,125 | USD | 411,748 | 5,296 | ||||||||||||||||||
HSBC Bank, USA | 1/19/2022 | JPY | 67,185,977 | USD | 598,333 | (14,173 | ) | |||||||||||||||||
HSBC Bank, USA | 1/19/2022 | MXN | 6,644,743 | USD | 310,000 | 13,466 | ||||||||||||||||||
HSBC Bank, USA | 1/19/2022 | NZD | 857,500 | USD | 595,027 | (7,868 | ) | |||||||||||||||||
HSBC Bank, USA | 1/19/2022 | SGD | 491,329 | USD | 362,861 | 1,689 | ||||||||||||||||||
HSBC Bank, USA | 1/19/2022 | USD | 152,884 | AUD | 206,331 | 2,759 | ||||||||||||||||||
HSBC Bank, USA | 1/19/2022 | USD | 604,545 | CAD | 761,498 | 2,558 | ||||||||||||||||||
HSBC Bank, USA | 1/19/2022 | USD | 1,464,541 | EUR | 1,283,952 | 2,195 | ||||||||||||||||||
HSBC Bank, USA | 1/19/2022 | USD | 2,164,638 | GBP | 1,593,959 | 7,231 | ||||||||||||||||||
HSBC Bank, USA | 1/19/2022 | USD | 798,531 | JPY | 90,056,388 | 15,519 | ||||||||||||||||||
HSBC Bank, USA | 1/19/2022 | USD | 1,466,310 | SGD | 1,974,181 | 1,530 | ||||||||||||||||||
JPMChase, New York | 1/19/2022 | AUD | 601,000 | NZD | 630,539 | 5,533 | ||||||||||||||||||
JPMChase, New York | 1/19/2022 | AUD | 579,518 | USD | 429,526 | (7,872 | ) | |||||||||||||||||
JPMChase, New York | 1/19/2022 | CAD | 1,511,579 | USD | 1,210,000 | (15,051 | ) |
See Notes to Financial Statements.
79
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Schedule of Forward Foreign Currency Contracts (Continued) | December 31, 2021 |
Counterparty | Settlement | Fund | Amount Of | Fund | Amount Of | Unrealized | ||||||||||||||||||
JPMChase, New York | 1/19/2022 | GBP | 372,092 | CAD | 620,883 | $ | 12,796 | |||||||||||||||||
JPMChase, New York | 1/19/2022 | SGD | 983,748 | USD | 725,723 | 4,187 | ||||||||||||||||||
JPMChase, New York | 1/19/2022 | USD | 14,104 | CAD | 17,639 | 160 | ||||||||||||||||||
JPMChase, New York | 1/19/2022 | USD | 251,825 | EUR | 215,010 | 6,941 | ||||||||||||||||||
JPMChase, New York | 1/21/2022 | USD | 156 | IDR | 2,245,940 | (1 | ) | |||||||||||||||||
JPMChase, New York | 1/19/2022 | USD | 310,000 | MXN | 6,806,066 | (21,319 | ) | |||||||||||||||||
JPMChase, New York | 1/21/2022 | USD | 9,374 | RUB | 705,141 | 29 | ||||||||||||||||||
JPMChase, New York | 1/19/2022 | USD | 362,040 | SGD | 486,120 | 1,354 | ||||||||||||||||||
Morgan Stanley Capital | 1/19/2022 | AUD | 304,000 | NZD | 319,472 | 2,436 | ||||||||||||||||||
Morgan Stanley Capital | 1/14/2022 | AUD | 6,166,682 | USD | 4,437,387 | 49,376 | ||||||||||||||||||
Morgan Stanley Capital | 1/19/2022 | CAD | 519,728 | GBP | 306,250 | (3,646 | ) | |||||||||||||||||
Morgan Stanley Capital | 1/14/2022 | CAD | 733,870 | USD | 569,921 | 10,229 | ||||||||||||||||||
Morgan Stanley Capital | 1/19/2022 | CAD | 242,157 | USD | 192,328 | (896 | ) | |||||||||||||||||
Morgan Stanley Capital | 1/14/2022 | CHF | 162,631 | USD | 177,265 | 1,280 | ||||||||||||||||||
Morgan Stanley Capital | 2/4/2022 | COP | 476,957 | USD | 122 | (5 | ) | |||||||||||||||||
Morgan Stanley Capital | 1/19/2022 | EUR | 306,875 | GBP | 260,270 | (2,760 | ) | |||||||||||||||||
Morgan Stanley Capital | 1/14/2022 | EUR | 10,117,168 | USD | 11,440,367 | 81,283 | ||||||||||||||||||
Morgan Stanley Capital | 1/19/2022 | EUR | 852,467 | USD | 1,001,375 | (30,465 | ) | |||||||||||||||||
Morgan Stanley Capital | 1/14/2022 | GBP | 1,499,399 | USD | 1,983,720 | 45,725 | ||||||||||||||||||
Morgan Stanley Capital | 1/14/2022 | JPY | 42,682,828 | USD | 376,197 | (5,099 | ) | |||||||||||||||||
Morgan Stanley Capital | 1/14/2022 | NOK | 25,736,865 | USD | 2,862,430 | 59,277 | ||||||||||||||||||
Morgan Stanley Capital | 1/19/2022 | NZD | 315,556 | AUD | 300,500 | (2,570 | ) | |||||||||||||||||
Morgan Stanley Capital | 1/14/2022 | NZD | 2,128,153 | USD | 1,444,508 | 12,812 | ||||||||||||||||||
Morgan Stanley Capital | 1/21/2022 | PLN | 244 | USD | 58 | 2 | ||||||||||||||||||
Morgan Stanley Capital | 1/14/2022 | SEK | 37,566,623 | USD | 4,149,526 | 8,278 | ||||||||||||||||||
Morgan Stanley Capital | 1/19/2022 | SGD | 492,084 | USD | 362,861 | 2,249 | ||||||||||||||||||
Morgan Stanley Capital | 1/14/2022 | USD | 1,024,461 | AUD | 1,421,124 | (9,523 | ) | |||||||||||||||||
Morgan Stanley Capital | 1/19/2022 | USD | 910,262 | AUD | 1,234,288 | 12,201 | ||||||||||||||||||
Morgan Stanley Capital | 1/14/2022 | USD | 3,151,778 | CAD | 4,041,534 | (43,196 | ) | |||||||||||||||||
Morgan Stanley Capital | 1/19/2022 | USD | 707,267 | CAD | 888,701 | 4,722 | ||||||||||||||||||
Morgan Stanley Capital | 1/14/2022 | USD | 4,686,500 | CHF | 4,318,692 | (54,792 | ) | |||||||||||||||||
Morgan Stanley Capital | 1/14/2022 | USD | 4,477,925 | EUR | 3,963,096 | (35,334 | ) | |||||||||||||||||
Morgan Stanley Capital | 1/19/2022 | USD | 248,077 | EUR | 211,955 | 6,673 | ||||||||||||||||||
Morgan Stanley Capital | 1/14/2022 | USD | 2,221,176 | GBP | 1,673,916 | (44,479 | ) | |||||||||||||||||
Morgan Stanley Capital | 1/19/2022 | USD | 2,854,471 | GBP | 2,113,002 | (5,456 | ) | |||||||||||||||||
Morgan Stanley Capital | 1/14/2022 | USD | 3,509,677 | JPY | 398,828,959 | 42,133 | ||||||||||||||||||
Morgan Stanley Capital | 1/19/2022 | USD | 267,174 | MXN | 5,758,810 | (13,165 | ) | |||||||||||||||||
Morgan Stanley Capital | 1/14/2022 | USD | 3,036,814 | NOK | 27,253,983 | (57,119 | ) | |||||||||||||||||
Morgan Stanley Capital | 1/19/2022 | USD | 371,266 | NOK | 3,135,486 | 15,350 | ||||||||||||||||||
Morgan Stanley Capital | 1/14/2022 | USD | 1,240,258 | NZD | 1,836,181 | (17,125 | ) | |||||||||||||||||
Morgan Stanley Capital | 1/14/2022 | USD | 181,989 | SEK | 1,652,988 | (960 | ) |
See Notes to Financial Statements.
80
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Schedule of Forward Foreign Currency Contracts (Continued) | December 31, 2021 |
Counterparty | Settlement | Fund | Amount Of | Fund | Amount Of | Unrealized | ||||||||||||||||||
Morgan Stanley Capital | 1/19/2022 | USD | 736,771 | SGD | 999,140 | $ | (4,559 | ) | ||||||||||||||||
Morgan Stanley Capital | 1/21/2022 | ZAR | 23,909 | USD | 1,468 | 27 | ||||||||||||||||||
National Australia Bank | 1/19/2022 | USD | 63,076 | EUR | 55,344 | 42 | ||||||||||||||||||
National Australia Bank | 1/19/2022 | USD | 35,654 | NOK | 310,903 | 362 | ||||||||||||||||||
Royal Bank of Canada, Toronto | 1/19/2022 | CAD | 1,236,655 | USD | 994,613 | (16,999 | ) | |||||||||||||||||
Royal Bank of Canada, Toronto | 1/19/2022 | GBP | 307,500 | CAD | 517,178 | 7,353 | ||||||||||||||||||
Royal Bank of Canada, Toronto | 1/19/2022 | NZD | 178,387 | USD | 125,088 | (2,941 | ) | |||||||||||||||||
Royal Bank of Canada, Toronto | 1/19/2022 | SEK | 3,210,504 | EUR | 311,875 | 139 | ||||||||||||||||||
Royal Bank of Canada, Toronto | 1/19/2022 | USD | 648,775 | AUD | 878,798 | 9,367 | ||||||||||||||||||
Royal Bank of Canada, Toronto | 1/19/2022 | USD | 1,863,790 | CAD | 2,360,277 | (2,081 | ) | |||||||||||||||||
Royal Bank of Canada, Toronto | 1/19/2022 | USD | 303,333 | JPY | 34,567,169 | 2,783 | ||||||||||||||||||
Royal Bank of Canada, Toronto | 1/19/2022 | USD | 248,726 | NZD | 355,030 | 5,625 | ||||||||||||||||||
Standard Chartered Securities N.A. | 1/19/2022 | CAD | 765,182 | USD | 606,667 | (1,767 | ) | |||||||||||||||||
Standard Chartered Securities N.A. | 2/4/2022 | CLP | 1,437,301 | USD | 1,694 | (16 | ) | |||||||||||||||||
Standard Chartered Securities N.A. | 1/19/2022 | EUR | 298,750 | GBP | 256,406 | (6,784 | ) | |||||||||||||||||
Standard Chartered Securities N.A. | 1/19/2022 | GBP | 1,232,500 | USD | 1,663,416 | 4,760 | ||||||||||||||||||
Standard Chartered Securities N.A. | 1/14/2022 | JPY | 114,641,697 | USD | 998,819 | (2,088 | ) | |||||||||||||||||
Standard Chartered Securities N.A. | 1/14/2022 | SEK | 1,174,131 | USD | 129,612 | 339 | ||||||||||||||||||
Standard Chartered Securities N.A. | 1/19/2022 | USD | 303,750 | CAD | 388,356 | (3,257 | ) | |||||||||||||||||
Standard Chartered Securities N.A. | 1/14/2022 | USD | 484,561 | GBP | 365,507 | (10,155 | ) | |||||||||||||||||
Standard Chartered Securities N.A. | 1/14/2022 | USD | 1,494,377 | JPY | 169,068,473 | 24,444 | ||||||||||||||||||
Standard Chartered Securities N.A. | 1/19/2022 | USD | 576,219 | JPY | 65,530,571 | 6,452 | ||||||||||||||||||
Standard Chartered Securities N.A. | 1/14/2022 | USD | 1,302,525 | NOK | 11,759,028 | (32,387 | ) |
See Notes to Financial Statements.
81
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Schedule of Forward Foreign Currency Contracts (Continued) | December 31, 2021 |
Counterparty | Settlement | Fund | Amount Of | Fund | Amount Of | Unrealized | ||||||||||||||||||
Standard Chartered Securities N.A. | 1/14/2022 | USD | 197,025 | NZD | 287,687 | $ | 22 | |||||||||||||||||
Standard Chartered Securities N.A. | 1/14/2022 | USD | 1,728,046 | SEK | 15,580,850 | 3,586 | ||||||||||||||||||
State Street Bank, Boston | 1/14/2022 | AUD | 194,493 | USD | 140,968 | 541 | ||||||||||||||||||
State Street Bank, Boston | 1/19/2022 | CAD | 3,097,674 | GBP | 1,837,500 | (38,232 | ) | |||||||||||||||||
State Street Bank, Boston | 1/14/2022 | CAD | 3,401,316 | USD | 2,654,184 | 34,677 | ||||||||||||||||||
State Street Bank, Boston | 1/19/2022 | CAD | 1,162,728 | USD | 910,000 | 9,172 | ||||||||||||||||||
State Street Bank, Boston | 1/14/2022 | CHF | 2,884,070 | USD | 3,144,384 | 21,903 | ||||||||||||||||||
State Street Bank, Boston | 1/19/2022 | EUR | 306,875 | GBP | 263,071 | (6,551 | ) | |||||||||||||||||
State Street Bank, Boston | 1/14/2022 | EUR | 701,441 | USD | 793,325 | 5,491 | ||||||||||||||||||
State Street Bank, Boston | 1/19/2022 | EUR | 1,028,687 | USD | 1,191,464 | (19,849 | ) | |||||||||||||||||
State Street Bank, Boston | 1/19/2022 | GBP | 306,250 | CAD | 513,287 | 8,737 | ||||||||||||||||||
State Street Bank, Boston | 1/19/2022 | GBP | 1,032,908 | EUR | 1,203,125 | 27,741 | ||||||||||||||||||
State Street Bank, Boston | 1/14/2022 | GBP | 1,433,487 | USD | 1,933,518 | 6,714 | ||||||||||||||||||
State Street Bank, Boston | 1/14/2022 | JPY | 623,175,182 | USD | 5,452,958 | (34,879 | ) | |||||||||||||||||
State Street Bank, Boston | 1/19/2022 | JPY | 61,811,394 | USD | 557,336 | (19,906 | ) | |||||||||||||||||
State Street Bank, Boston | 1/14/2022 | NZD | 421,848 | USD | 287,328 | 1,546 | ||||||||||||||||||
State Street Bank, Boston | 1/19/2022 | NZD | 356,773 | USD | 248,179 | (3,884 | ) | |||||||||||||||||
State Street Bank, Boston | 1/14/2022 | SEK | 9,542,057 | USD | 1,050,452 | 5,645 | ||||||||||||||||||
State Street Bank, Boston | 1/14/2022 | USD | 4,185,867 | AUD | 5,825,953 | (52,988 | ) | |||||||||||||||||
State Street Bank, Boston | 1/19/2022 | USD | 257,463 | AUD | 362,133 | (6,023 | ) | |||||||||||||||||
State Street Bank, Boston | 1/19/2022 | USD | 987,515 | BRL | 5,450,457 | 13,362 | ||||||||||||||||||
State Street Bank, Boston | 1/14/2022 | USD | 1,949,795 | CAD | 2,476,381 | (7,872 | ) | |||||||||||||||||
State Street Bank, Boston | 1/19/2022 | USD | 687,385 | CAD | 870,769 | (984 | ) | |||||||||||||||||
State Street Bank, Boston | 1/14/2022 | USD | 127,851 | CHF | 116,969 | (563 | ) | |||||||||||||||||
State Street Bank, Boston | 1/14/2022 | USD | 2,118,912 | EUR | 1,871,384 | (12,261 | ) | |||||||||||||||||
State Street Bank, Boston | 1/19/2022 | USD | 994,266 | EUR | 853,931 | 21,689 | ||||||||||||||||||
State Street Bank, Boston | 1/14/2022 | USD | 6,065,961 | GBP | 4,522,764 | (55,625 | ) | |||||||||||||||||
State Street Bank, Boston | 1/19/2022 | USD | 1,275,897 | GBP | 939,633 | 4,114 | ||||||||||||||||||
State Street Bank, Boston | 1/14/2022 | USD | 1,370,581 | JPY | 157,566,315 | 650 | ||||||||||||||||||
State Street Bank, Boston | 1/19/2022 | USD | 1,155,527 | JPY | 127,990,410 | 42,690 | ||||||||||||||||||
State Street Bank, Boston | 1/19/2022 | USD | 920,683 | MXN | 20,082,908 | (56,953 | ) | |||||||||||||||||
State Street Bank, Boston | 2/4/2022 | USD | 371 | MXN | 7,828 | (9 | ) | |||||||||||||||||
State Street Bank, Boston | 1/14/2022 | USD | 1,512,367 | NZD | 2,230,848 | (15,277 | ) | |||||||||||||||||
State Street Bank, Boston | 1/19/2022 | USD | 29,316 | NZD | 40,977 | 1,257 | ||||||||||||||||||
State Street Bank, Boston | 1/19/2022 | USD | 381,032 | SGD | 520,119 | (4,880 | ) | |||||||||||||||||
TD Securities, Toronto | 1/19/2022 | USD | 43,259 | CAD | 55,000 | (220 | ) | |||||||||||||||||
UBS AG, Stamford | 1/19/2022 | AUD | 344,044 | USD | 252,747 | (2,422 | ) | |||||||||||||||||
UBS AG, Stamford | 1/19/2022 | CAD | 537,296 | NZD | 605,000 | 10,485 | ||||||||||||||||||
UBS AG, Stamford | 1/19/2022 | CAD | 1,179,268 | USD | 918,334 | 13,914 |
See Notes to Financial Statements.
82
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Schedule of Forward Foreign Currency Contracts (Continued) | December 31, 2021 |
Counterparty | Settlement | Fund | Amount Of | Fund | Amount Of | Unrealized | ||||||||||||||||||
UBS AG, Stamford | 1/19/2022 | EUR | 597,500 | GBP | 512,085 | $ | (12,584 | ) | ||||||||||||||||
UBS AG, Stamford | 1/19/2022 | EUR | 427,021 | USD | 489,310 | (2,959 | ) | |||||||||||||||||
UBS AG, Stamford | 1/19/2022 | GBP | 654,139 | EUR | 762,571 | 16,848 | ||||||||||||||||||
UBS AG, Stamford | 1/19/2022 | JPY | 195,627,195 | USD | 1,754,402 | (53,485 | ) | |||||||||||||||||
UBS AG, Stamford | 1/19/2022 | NZD | 605,000 | CAD | 532,333 | (6,562 | ) | |||||||||||||||||
UBS AG, Stamford | 1/19/2022 | NZD | 65,000 | USD | 45,708 | (1,200 | ) | |||||||||||||||||
UBS AG, Stamford | 1/19/2022 | SGD | 227,892 | USD | 168,358 | 731 | ||||||||||||||||||
UBS AG, Stamford | 1/19/2022 | USD | 1,816,591 | CAD | 2,275,099 | 18,055 | ||||||||||||||||||
UBS AG, Stamford | 1/19/2022 | USD | 3,711,525 | EUR | 3,149,766 | 124,127 | ||||||||||||||||||
UBS AG, Stamford | 1/19/2022 | USD | 468,736 | GBP | 347,910 | (2,157 | ) | |||||||||||||||||
UBS AG, Stamford | 1/19/2022 | USD | 816,784 | NOK | 6,933,580 | 29,739 | ||||||||||||||||||
UBS AG, Stamford | 1/19/2022 | USD | 944,218 | NZD | 1,355,572 | 16,013 | ||||||||||||||||||
UBS AG, Stamford | 1/19/2022 | USD | 1,195,927 | SGD | 1,619,028 | (5,341 | ) | |||||||||||||||||
$ | 163,808 |
AUD - Australian Dollar
BRL - Brazillian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Colombian Peso
EUR - Euro
GBP - British Pound
IDR - Indian Rupee
JPY - Japanese Yen
MXN - Mexican Peso
NOK - Norwegian Krone
NZD - New Zealand Dollar
PEN - Peruvian Sol
PLN - Polish Zloty
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singpore Dollar
TRY - Turkish Lira
USD - U.S. Dollar
ZAR - South African Rand
See Notes to Financial Statements.
83
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Schedule Of Written Options | December 31, 2021 |
WRITTEN OPTIONS | Counterparty | Contracts | Notional | Value | |||||||||
Equity Put Options | |||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF, 1/21/22 at $85.25 | Citigroup | 81,472 | $ | 7,088,879 | $ | (9,817 | ) | ||||||
Total Written Options (Premiums Received $41,551) | $ | 7,088,879 | $ | (9,817 | ) |
ETF — Exchange-Traded Fund
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Schedule of Interest Rate Swaptions | December 31, 2021 |
Counterparty | Protection | Description | Exercise | Expiration | Notional | Value | Upfront | Unrealized | |||||||||||||||||||||
Calls | |||||||||||||||||||||||||||||
Goldman Sachs Bank, USA | Buy | Interest Rate, 3MO LIBOR | 1.497% | 01/06/2032 | $ | 1,167,000 | $ | (1,100 | ) | $ | 7,483 | $ | 6,383 | ||||||||||||||||
Puts | |||||||||||||||||||||||||||||
Goldman Sachs Bank, USA | Sell | Interest Rate, 3MO LIBOR | 1.497% | 01/06/2032 | 1,167,000 | (10,222 | ) | 7,483 | (2,738 | ) | |||||||||||||||||||
Total Interest Rate Swaptions Written | $ | (11,322 | ) | $ | 14,966 | $ | 3,645 |
LIBOR — London Interbank Offered Rate.
See Notes to Financial Statements.
84
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Schedule Of Centrally Cleared Credit Default Swaps | December 31, 2021 |
Counterparty | Reference | Protection | Pay | Termination | Payment | Notional | Value | Premium | Unrealized | ||||||||||||
Morgan Stanley Capital | Prudential Financial, Inc. | Buy | 1.000% | 12/20/2024 | Quarterly | 445,000 | $ | (9,247 | ) | $ | 7,412 | $ | (1,835 | ) | |||||||
Total Credit Default Swap Contracts | $ | (9,247 | ) | $ | 7,412 | $ | (1,835 | ) |
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Schedule Of Centrally Cleared Interest Rate Swaps | December 31, 2021 |
Counterparty | Pay | Pay | Termination | Payment | Notional | Value | Unrealized | |||||||||
Morgan Stanley Capital | 3MO LIBOR | (1.466%) | 12/21/2031 | Quarterly | $ | 91,000 | $ | 45 | $ | 45 | ||||||
Morgan Stanley Capital | (3MO LIBOR) | 1.497% | 12/22/2031 | Quarterly | 113,000 | 785 | 785 | |||||||||
Morgan Stanley Capital | (3MO LIBOR) | 1.548% | 12/23/2031 | Quarterly | 323,000 | 713 | 713 | |||||||||
Morgan Stanley Capital | 3MO LIBOR | (1.540%) | 12/24/2031 | Quarterly | 60,000 | (181 | ) | (181 | ) | |||||||
Morgan Stanley Capital | (3MO LIBOR) | 1.569% | 12/29/2031 | Quarterly | 128,411 | 63 | 63 | |||||||||
Morgan Stanley Capital | (3MO LIBOR) | 1.628% | 12/31/2031 | Quarterly | 303,200 | (1,536 | ) | (1,536 | ) | |||||||
Morgan Stanley Capital | 3MO LIBOR | (1.581%) | 01/04/2032 | Quarterly | 176,000 | 61 | 61 | |||||||||
Morgan Stanley Capital | (3MO LIBOR) | 1.578% | 01/05/2032 | Quarterly | 50,300 | — | — | |||||||||
Total Interest Rate Swap Contracts | $ | (50 | ) |
LIBOR — London Interbank Offered Rate.
See Notes to Financial Statements.
85
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Schedule Of Over the Counter Exchange Rate Volatility Swaps | December 31, 2021 |
Counterparty | Description | Termination | Strike | Notional | Value | Unrealized | |||||||||||||||
BNP Paribas Brokerage Services, Inc. | EUR/USD | 03/14/2022 | 6.500 | $ | 709,600 | $ | 2,750 | $ | 2,750 | ||||||||||||
Standard Chartered Securities N.A. | EUR/USD | 06/14/2022 | 6.300 | 712,500 | 2,142 | 2,142 | |||||||||||||||
Goldman Sachs Bank, USA | EUR/USD | 06/14/2022 | 6.400 | 629,500 | 2,300 | 2,300 | |||||||||||||||
Total Exchange Rate Volatility Swaps | $ | 7,192 | $ | 7,192 |
EUR — Euro
See Notes to Financial Statements.
86
Wilshire Mutual Funds, Inc.
Statements of Assets and Liabilities
December 31, 2021 |
LARGE | LARGE | |||||||
ASSETS: | ||||||||
Unaffiliated investments, at value* (Note 2) | $ | 259,827,075 | $ | 203,761,532 | ||||
Investments in affiliated registered investment companies, at value (Note 6) | 13,778,693 | 12,180,851 | ||||||
Cash and cash equivalents | 15,312,301 | 9,912,389 | ||||||
Cash proceeds from securities lending (Note 8) | 65,385 | 190,450 | ||||||
Margin deposits for futures contracts | 152,750 | 125,825 | ||||||
Receivable for capital shares sold | 210,719 | 185,772 | ||||||
Receivable for investment securities sold | 371,540 | 38,244 | ||||||
Net unrealized appreciation on swap contracts | 6,093,160 | 3,204,371 | ||||||
Securities lending income receivable | 4 | 489 | ||||||
Dividends and interest receivable | 134,921 | 183,409 | ||||||
Foreign withholding tax reclaims receivable | 18,367 | 12,364 | ||||||
Other assets | 29,263 | 26,295 | ||||||
Total Assets | 295,994,178 | 229,821,991 | ||||||
LIABILITIES: | ||||||||
Net variation margin payable on futures contracts | 18,359 | 17,312 | ||||||
Payable upon return of securities loaned (Note 8) | 65,385 | 190,450 | ||||||
Payable for capital shares redeemed | 33,723 | 33,550 | ||||||
Payable for investment securities purchased | 971,227 | - | ||||||
Investment advisory fees payable (Note 3) | 190,033 | 143,602 | ||||||
Distribution fees payable (Note 4) | 25,382 | 406 | ||||||
Shareholder service fees payable (Note 4) | 20,822 | 11,765 | ||||||
Administration fees payable | 22,612 | 18,850 | ||||||
Foreign withholding tax payable | 18 | 729 | ||||||
Accrued interest expense (Note 5) | 6,996 | 1,001 | ||||||
Accrued expenses and other payables | 52,570 | 48,806 | ||||||
Total Liabilities | 1,407,127 | 466,471 | ||||||
NET ASSETS | $ | 294,587,051 | $ | 229,355,520 | ||||
* Includes fair value of securities on loan | $ | 61,026 | $ | 184,160 | ||||
See Notes to Financial Statements.
87
Wilshire Mutual Funds, Inc.
Statements of Assets and Liabilities - (Continued)
December 31, 2021 |
LARGE | LARGE | |||||||
NET ASSETS CONSIST OF: | ||||||||
Paid-in capital | $ | 161,067,234 | $ | 178,351,660 | ||||
Distributable earnings | 133,519,817 | 51,003,860 | ||||||
NET ASSETS | $ | 294,587,051 | $ | 229,355,520 | ||||
NET ASSET VALUE PER SHARE: | ||||||||
INVESTMENT CLASS | ||||||||
Net assets applicable to Investment Class | $ | 86,216,779 | $ | 6,067,489 | ||||
Investment Class shares of beneficial interest outstanding (50,000,000 shares authorized, per class, per Portfolio, par value $.001 per share) | 1,944,610 | 272,177 | ||||||
Net asset value, offering and redemption price per share | $ | 44.34 | $ | 22.29 | ||||
INSTITUTIONAL CLASS | ||||||||
Net assets applicable to Institutional Class | $ | 208,370,272 | $ | 223,288,031 | ||||
Institutional Class shares of beneficial interest outstanding (50,000,000 shares authorized, per class, per Portfolio, par value $.001 per share) | 4,028,780 | 10,019,035 | ||||||
Net asset value, offering and redemption price per share | $ | 51.72 | $ | 22.29 | ||||
Unaffiliated investments, at cost (Note 2) | $ | 161,977,874 | $ | 167,647,373 | ||||
Investments in affiliated registered investment companies, at cost (Note 6) | $ | 13,619,674 | $ | 12,145,031 |
See Notes to Financial Statements.
88
Wilshire Mutual Funds, Inc.
Statements of Assets and Liabilities - (Continued)
December 31, 2021 |
SMALL | SMALL | WILSHIRE | ||||||||||
ASSETS: | ||||||||||||
Unaffiliated investments, at value* (Note 2) | $ | 37,785,017 | $ | 36,564,012 | $ | 254,785,097 | ||||||
Cash and cash equivalents | 1,191,308 | 372,116 | 3,323,486 | |||||||||
Cash proceeds from securities lending (Note 8) | 334,880 | 372,554 | 1,249,018 | |||||||||
Receivable for capital shares sold | 48,877 | 15,516 | 35,362 | |||||||||
Receivable for investment securities sold | — | 186,450 | — | |||||||||
Securities lending income receivable | 36 | 513 | 1,909 | |||||||||
Dividends and interest receivable | 9,216 | 34,524 | 159,735 | |||||||||
Foreign withholding tax reclaims receivable | — | 34 | 776 | |||||||||
Other assets | 15,453 | 14,658 | 31,713 | |||||||||
Total Assets | 39,384,787 | 37,560,377 | 259,587,096 | |||||||||
LIABILITIES: | ||||||||||||
Payable upon return of securities loaned (Note 8) | 334,880 | 372,554 | 1,249,018 | |||||||||
Payable for capital shares redeemed | 4,279 | 15,258 | 4,028 | |||||||||
Payable for investment securities purchased | 9,967 | 15,363 | — | |||||||||
Investment advisory fees payable (Note 3) | 17,975 | 14,033 | 21,590 | |||||||||
Distribution fees payable (Note 4) | 12,892 | 413 | 50,434 | |||||||||
Shareholder service fees payable (Note 4) | 3,325 | 3,767 | 610 | |||||||||
Administration fees payable | 6,198 | 6,558 | 22,461 | |||||||||
Accrued interest expense (Note 5) | 566 | — | — | |||||||||
Foreign withholding tax payable | — | — | 39 | |||||||||
Accrued expenses and other payables | 32,101 | 34,358 | 45,125 | |||||||||
Total Liabilities | 422,183 | 462,304 | 1,393,305 | |||||||||
NET ASSETS | $ | 38,962,604 | $ | 37,098,073 | $ | 258,193,791 | ||||||
* Includes fair value of securities on loan | $ | 324,858 | $ | 351,050 | $ | 1,196,568 | ||||||
See Notes to Financial Statements.
89
Wilshire Mutual Funds, Inc.
Statements of Assets and Liabilities - (Continued)
December 31, 2021 |
SMALL | SMALL | WILSHIRE | ||||||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in capital | $ | 25,446,311 | $ | 27,634,861 | $ | 61,553,838 | ||||||
Distributable earnings | 13,516,293 | 9,463,212 | 196,639,953 | |||||||||
NET ASSETS | $ | 38,962,604 | $ | 37,098,073 | $ | 258,193,791 | ||||||
NET ASSET VALUE PER SHARE: | ||||||||||||
INVESTMENT CLASS | ||||||||||||
Net assets applicable to Investment Class | $ | 10,816,910 | $ | 6,750,877 | $ | 202,121,010 | ||||||
Investment Class shares of beneficial interest outstanding (50,000,000 shares authorized, per class, per Portfolio, par value $.001 per share) | 430,835 | 240,545 | 6,875,203 | |||||||||
Net asset value, offering and redemption price per share | $ | 25.11 | $ | 28.06 | $ | 29.40 | ||||||
INSTITUTIONAL CLASS | ||||||||||||
Net assets applicable to Institutional Class | $ | 28,145,694 | $ | 30,347,196 | $ | 56,072,781 | ||||||
Institutional Class shares of beneficial interest outstanding (50,000,000 shares authorized, per class, per Portfolio, par value $.001 per share) | 966,665 | 1,054,532 | 1,905,928 | |||||||||
Net asset value, offering and redemption price per share | $ | 29.12 | $ | 28.78 | $ | 29.42 | ||||||
Unaffiliated investments, at cost (Note 2) | $ | 27,723,276 | $ | 28,195,429 | $ | 59,308,892 |
See Notes to Financial Statements.
90
Wilshire Mutual Funds, Inc.
Statements of Assets and Liabilities - (Continued)
December 31, 2021 |
WILSHIRE | WILSHIRE | |||||||
ASSETS: | ||||||||
Unaffiliated investments, at value* (Note 2) | $ | 269,166,695 | $ | 271,930,324 | ||||
Investments in affiliated registered investment companies, at value (Note 6) | 14,573,235 | 21,175,702 | ||||||
Cash and cash equivalents | 10,144,907 | 8,128,331 | ||||||
Foreign currency, at value | 5,707 | — | ||||||
Cash proceeds from securities lending (Note 8) | 95,944 | 4,870,275 | ||||||
Due from custodian | — | 145,515 | ||||||
Margin deposits for futures contracts | 163,575 | 700,350 | ||||||
Margin deposits for swap contracts | 1,030,000 | 138,257 | ||||||
Receivable for capital shares sold | 447,102 | 454,167 | ||||||
Receivable for investment securities sold | 739,917 | 1,025,374 | ||||||
Net unrealized appreciation on swap contracts | 765,839 | 7,192 | ||||||
Unrealized appreciation on swaption contracts | — | 6,383 | ||||||
Unrealized appreciation on foreign forward currency contracts (Note 7) | — | 1,624,455 | ||||||
Net variation margin receivable on swaps | — | 2,406 | ||||||
Securities lending income receivable | 499 | 923 | ||||||
Dividends and interest receivable | 599,799 | 1,863,159 | ||||||
Foreign withholding tax reclaims receivable | 1,285,176 | 12,341 | ||||||
Other assets | 36,482 | 23,339 | ||||||
Total Assets | 299,054,877 | 312,108,493 | ||||||
LIABILITIES: | ||||||||
Options written, at value | — | 9,817 | ||||||
Swaption premium received | — | 14,966 | ||||||
Due to custodian | 3,019 | 133,112 | ||||||
Due to broker | — | 27,938 | ||||||
Payable upon return of securities loaned (Note 8) | 95,944 | 4,870,275 | ||||||
Payable for capital shares redeemed | 57,035 | 195,416 | ||||||
Payable for investment securities purchased | 23,521 | 1,697,212 | ||||||
Unrealized depreciation on swaption contracts | — | 2,738 | ||||||
Unrealized depreciation on foreign forward currency contracts (Note 7) | — | 1,460,647 | ||||||
Net variation margin payable on futures contracts | 19,609 | 35,929 | ||||||
Investment advisory fees payable (Note 3) | 224,189 | 150,590 | ||||||
Distribution fees payable (Note 4) | 253 | 221 | ||||||
Shareholder service fees payable (Note 4) | 12,548 | 17,266 | ||||||
Administration fees payable | 28,282 | 25,904 | ||||||
Foreign withholding tax payable | 53,966 | 5,661 | ||||||
Accrued interest expense (Note 5) | 1,325 | — | ||||||
Accrued expenses and other payables | 112,015 | 114,445 | ||||||
Total Liabilities | 631,706 | 8,762,137 | ||||||
NET ASSETS | $ | 298,423,171 | $ | 303,346,356 | ||||
* Includes value of securities on loan | $ | 91,599 | $ | 4,766,653 | ||||
See Notes to Financial Statements.
91
Wilshire Mutual Funds, Inc.
Statements of Assets and Liabilities - (Continued)
December 31, 2021 |
WILSHIRE | WILSHIRE | |||||||
NET ASSETS CONSIST OF: | ||||||||
Paid-in capital | $ | 242,287,515 | $ | 305,196,526 | ||||
Distributable earnings (Accumulated losses) | 56,135,656 | (1,850,170 | ) | |||||
NET ASSETS | $ | 298,423,171 | $ | 303,346,356 | ||||
NET ASSET VALUE PER SHARE: | ||||||||
INVESTMENT CLASS | ||||||||
Net assets applicable to Investment Class | $ | 3,269,287 | $ | 2,136,543 | ||||
Investment Class shares of beneficial interest outstanding (50,000,000 shares authorized, per class, per Portfolio, par value $.001 per share)† | 280,877 | 212,047 | ||||||
Net asset value, offering and redemption price per share (a) | $ | 11.64 | $ | 10.08 | ||||
INSTITUTIONAL CLASS | ||||||||
Net assets applicable to Institutional Class | $ | 295,153,884 | $ | 301,209,813 | ||||
Institutional Class shares of beneficial interest outstanding (50,000,000 shares authorized, per class, per Portfolio, par value $.001 per share)† | 25,741,704 | 30,142,015 | ||||||
Net asset value, offering and redemption price per share (a) | $ | 11.47 | $ | 9.99 | ||||
Unaffiliated investments, at cost (Note 2) | $ | 212,443,129 | $ | 272,325,756 | ||||
Investments in affiliated registered investment companies, at cost (Note 5) | $ | 14,329,420 | $ | 21,385,048 | ||||
Foreign currency, at cost | $ | 5,160 | $ | — | ||||
Premiums received for options written | $ | — | $ | 41,551 |
† | For Wilshire International Equity Fund, (40,000,000 shares authorized, per class, par value $001 per share). |
(a) | For Wilshire International Equity Fund, a redemption fee may apply to redemptions of shares held for sixty days or less, subject to certain exceptions (Note 2). |
See Notes to Financial Statements.
92
Wilshire Mutual Funds, Inc.
Statements of Operations
For the Year Ended December 31, 2021 |
LARGE | LARGE | |||||||
INVESTMENT INCOME: | ||||||||
Dividends | $ | 1,286,277 | $ | 2,822,845 | ||||
Dividends from affiliated registered investment companies (Note 6) | 527,785 | 417,160 | ||||||
Interest | 334,139 | 254,043 | ||||||
Income from securities lending (Note 8) | 472 | 4,744 | ||||||
Foreign taxes withheld | (25,427 | ) | (20,097 | ) | ||||
Total income | 2,123,246 | 3,478,695 | ||||||
EXPENSES: | ||||||||
Investment advisory fee (Note 3) | 2,109,576 | 1,673,301 | ||||||
Distribution (12b-1) fees (Note 4) | ||||||||
Investment Class | 205,563 | 15,079 | ||||||
Shareholder Service fees (Note 4) | ||||||||
Institutional Class | 93,712 | 98,898 | ||||||
Investment Class | 103,036 | 7,426 | ||||||
Administration and accounting fees (Note 3) | 134,496 | 114,248 | ||||||
Directors’ fees and expenses (Note 3) | 62,356 | 48,928 | ||||||
Professional fees | 60,512 | 55,874 | ||||||
Registration and filing fees | 53,731 | 55,547 | ||||||
Pricing costs | 42,041 | 44,861 | ||||||
Transfer agent fees (Note 3) | 41,385 | 33,524 | ||||||
Custodian fees (Note 3) | 35,436 | 35,289 | ||||||
Printing expense | 25,414 | 24,699 | ||||||
Insurance expense | 16,924 | 10,971 | ||||||
Other | 9,016 | 8,483 | ||||||
Interest expense (Note 5) | 7,388 | 1,735 | ||||||
Previous investment advisory fee reductions and expense reimbursements recouped by the Investment Adviser (Note 3) | 5,090 | — | ||||||
Total expenses | 3,005,676 | 2,228,863 | ||||||
Fees reduced and/or expenses reimbursed by Investment Adviser (Note 3) | (1,620 | ) | — | |||||
Fees paid indirectly (Note 4) | (1,084 | ) | (105 | ) | ||||
Net expenses | 3,002,972 | 2,228,758 | ||||||
Net investment income (loss) | (879,726 | ) | 1,249,937 |
See Notes to Financial Statements.
93
Wilshire Mutual Funds, Inc.
Statements of Operations - (Continued)
For the Year Ended December 31, 2021 |
LARGE | LARGE | |||||||
NET REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS (NOTES 2 and 6): | ||||||||
Net realized gains (losses) from: | ||||||||
Sale of unaffiliated investments | $ | 59,935,068 | $ | 40,302,583 | ||||
Sale of affiliated investment company shares | (63,425 | ) | (56,464 | ) | ||||
Long-term capital gain distribution from affiliated registered investment companies | 10,058 | 23,128 | ||||||
Futures contracts | 614,335 | 388,431 | ||||||
Swap contracts | 14,280,018 | 9,638,710 | ||||||
Foreign currency transactions | — | 674 | ||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Unaffiliated investments | (12,851,384 | ) | 2,793,500 | |||||
Investments in affiliated investment company shares | (140,996 | ) | (133,570 | ) | ||||
Futures contracts | (158,879 | ) | (123,995 | ) | ||||
Swap contracts | (1,835,435 | ) | (961,452 | ) | ||||
Foreign currency transactions and translation of other assets and liabilities denominated in foreign currencies | — | 81 | ||||||
Net realized and unrealized gains on investments and foreign currency transactions | 59,789,360 | 51,871,626 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 58,909,634 | $ | 53,121,563 |
See Notes to Financial Statements.
94
Wilshire Mutual Funds, Inc.
Statements of Operations - (Continued)
For the Year Ended December 31, 2021 |
SMALL | SMALL | WILSHIRE | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividends | $ | 191,875 | $ | 590,270 | $ | 3,143,276 | ||||||
Interest | 96 | 133 | 1,114 | |||||||||
Income from securities lending (Note 8) | 2,122 | 1,659 | 17,043 | |||||||||
Foreign taxes withheld | — | (586 | ) | (480 | ) | |||||||
Total income | 194,093 | 591,476 | 3,160,953 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fee (Note 3) | 353,298 | 314,627 | 238,721 | |||||||||
Shareholder Service fees (Note 4) | ||||||||||||
Institutional Class | 28,916 | 29,179 | 14,534 | |||||||||
Investment Class | 10,850 | 8,602 | 116,753 | |||||||||
Administration and accounting fees (Note 3) | 38,886 | 40,356 | 133,828 | |||||||||
Registration and filing fees | 34,657 | 35,176 | 48,023 | |||||||||
Distribution (12b-1) fees (Note 4) | ||||||||||||
Investment Class | 28,205 | 15,879 | 329,005 | |||||||||
Professional fees | 26,554 | 25,447 | 55,013 | |||||||||
Transfer agent fees (Note 3) | 24,134 | 23,809 | 36,260 | |||||||||
Pricing costs | 14,588 | 22,550 | 55,784 | |||||||||
Custodian fees (Note 3) | 12,480 | 16,412 | 15,060 | |||||||||
Printing expense | 11,965 | 12,731 | 15,178 | |||||||||
Directors’ fees and expenses (Note 3) | 9,707 | 8,516 | 52,185 | |||||||||
Other | 2,408 | 2,595 | 2,141 | |||||||||
Insurance expense | 1,992 | 1,711 | 12,466 | |||||||||
Interest expense (Note 5) | 1,655 | 1,410 | 174 | |||||||||
Total expenses | 600,295 | 559,000 | 1,125,125 | |||||||||
Fees reduced and/or expenses reimbursed by Investment Adviser (Note 3) | (112,600 | ) | (133,921 | ) | — | |||||||
Fees paid indirectly (Note 4) | (1,132 | ) | (696 | ) | — | |||||||
Net expenses | 486,563 | 424,383 | 1,125,125 | |||||||||
Net investment income (loss) | (292,470 | ) | 167,093 | 2,035,828 | ||||||||
NET REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS (NOTES 2 and 6): | ||||||||||||
Net realized gains from: | ||||||||||||
Sale of unaffiliated investments | 14,832,854 | 6,614,240 | 16,428,052 | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Unaffiliated investments | (8,848,254 | ) | 3,689,452 | 35,403,173 | ||||||||
Foreign currency transactions and translation of other assets and liabilities denominated in foreign currencies | — | — | 2 | |||||||||
Net realized and unrealized gains on investments and foreign currency transactions | 5,984,600 | 10,303,692 | 51,831,227 | |||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 5,692,130 | $ | 10,470,785 | $ | 53,867,055 |
See Notes to Financial Statements.
95
Wilshire Mutual Funds, Inc.
Statements of Operations - (Continued)
For the Year Ended December 31, 2021 |
WILSHIRE | WILSHIRE | |||||||
INVESTMENT INCOME: | ||||||||
Dividends | $ | 5,896,836 | $ | 247,260 | ||||
Dividends from affiliated registered investment companies | 620,493 | 916,313 | ||||||
Non-cash dividends | 467,122 | — | ||||||
Interest | 425,113 | 9,934,938 | ||||||
Income from securities lending (Note 7) | 2,444 | 8,032 | ||||||
Foreign taxes withheld | (787,335 | ) | (30,545 | ) | ||||
Total income | 6,624,673 | 11,075,998 | ||||||
EXPENSES: | ||||||||
Investment advisory fee (Note 3) | 3,067,786 | 1,822,226 | ||||||
Custodian fees (Note 3) | 365,071 | 92,787 | ||||||
Administration and accounting fees (Note 3) | 242,548 | 160,574 | ||||||
Shareholder Service fees (Note 4) | ||||||||
Institutional Class | 125,874 | 155,233 | ||||||
Investment Class | 4,633 | 3,736 | ||||||
Pricing costs | 93,718 | 298,451 | ||||||
Professional fees | 92,413 | 76,833 | ||||||
Directors’ fees and expenses (Note 3) | 70,173 | 69,324 | ||||||
Registration and filing fees | 51,303 | 51,022 | ||||||
Transfer agent fees (Note 3) | 40,523 | 37,080 | ||||||
Other | 25,763 | 8,428 | ||||||
Insurance expense | 21,202 | 18,478 | ||||||
Printing expense | 18,172 | 16,830 | ||||||
Interest expense (Note 2) | 8,277 | — | ||||||
Distribution (12b-1) fees (Note 4) | ||||||||
Investment Class | 6,851 | 5,065 | ||||||
Total expenses | 4,234,307 | 2,816,067 | ||||||
Fees reduced and/or expenses reimbursed by Investment Adviser (Note 3) | (372,589 | ) | (77,038 | ) | ||||
Fees paid indirectly (Note 4) | (5,676 | ) | — | |||||
Net expenses | 3,856,042 | 2,739,029 | ||||||
Net investment income | 2,768,631 | 8,336,969 |
See Notes to Financial Statements.
96
Wilshire Mutual Funds, Inc.
Statements of Operations - (Continued)
For the Year Ended December 31, 2021 |
WILSHIRE | WILSHIRE | |||||||
NET REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS (NOTES 2 and 6): | ||||||||
Net realized gains (losses) from: | ||||||||
Sale of unaffiliated investments | $ | 35,189,603 | $ | 1,897,198 | ||||
Sale of affiliated registered investment company shares | (80,027 | ) | 18,607 | |||||
Long-term capital gain distribution from affiliated registered investment companies | 7,876 | — | ||||||
Futures contracts | 626,418 | (561,733 | ) | |||||
Forward foreign currency contracts | — | 34,553 | ||||||
Option contracts written | — | 180,034 | ||||||
Swap contracts | 10,915,532 | (480,940 | ) | |||||
Swaption contracts | — | 395,406 | ||||||
Foreign currency transactions | (162,389 | ) | (31,375 | ) | ||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Unaffiliated investments | (5,243,824 | ) | (7,424,262 | ) | ||||
Investments in affiliated investment company shares | (103,490 | ) | (345,421 | ) | ||||
Futures contracts | (169,894 | ) | (294,885 | ) | ||||
Forward foreign currency contracts | — | 171,971 | ||||||
Option contracts written | — | 27,078 | ||||||
Swap contracts | (6,976,916 | ) | 6,165 | |||||
Swaption contracts | — | 17,749 | ||||||
Foreign currency transactions and translation of other assets and liabilities denominated in foreign currencies | (67,357 | ) | (31,988 | ) | ||||
Net realized and unrealized gains (losses) on investments and foreign currency transactions | 33,935,532 | (6,421,843 | ) | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 36,704,163 | $ | 1,915,126 |
See Notes to Financial Statements.
97
Wilshire Mutual Funds, Inc.
Statements of Changes in Net Assets |
LARGE COMPANY | LARGE COMPANY | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (879,726 | ) | $ | (493,442 | ) | $ | 1,249,937 | $ | 2,867,388 | ||||||
Net realized gains (losses) on investments and foreign currency transactions | 74,765,996 | 51,271,105 | 50,273,934 | (14,121,216 | ) | |||||||||||
Long-term capital gain distributions from registered investment companies | 10,058 | 30,340 | 23,128 | 32,236 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions | (14,986,694 | ) | 29,167,079 | 1,574,564 | 9,142,990 | |||||||||||
Net increase (decrease) in net assets resulting from operations | 58,909,634 | 79,975,082 | 53,121,563 | (2,078,602 | ) | |||||||||||
DISTRIBUTIONS TO SHAREHOLDERS (Notes 2 and 11): | ||||||||||||||||
Investment Class shares | (16,133,735 | ) | (13,650,797 | ) | (624,176 | ) | (54,448 | ) | ||||||||
Institutional Class shares | (34,585,139 | ) | (30,321,883 | ) | (23,610,544 | ) | (1,879,212 | ) | ||||||||
Total distributions to shareholders | (50,718,874 | ) | (43,972,680 | ) | (24,234,720 | ) | (1,933,660 | ) | ||||||||
CAPITAL STOCK TRANSACTIONS (DOLLARS) (Note 9): | ||||||||||||||||
Investment Class shares: | ||||||||||||||||
Shares sold | 968,034 | 1,636,138 | 316,336 | 459,739 | ||||||||||||
Shares issued as reinvestment of distributions | 15,659,535 | 13,390,463 | 561,711 | 53,358 | ||||||||||||
Shares redeemed | (8,946,272 | ) | (10,449,385 | ) | (1,049,643 | ) | (893,066 | ) | ||||||||
Net increase (decrease) in net assets from Investment Class share transactions | 7,681,297 | 4,577,216 | (171,596 | ) | (379,969 | ) | ||||||||||
Institutional Class shares: | ||||||||||||||||
Shares sold | 22,374,699 | 53,658,417 | 34,484,987 | 62,075,523 | ||||||||||||
Shares issued as reinvestment of distributions | 33,428,919 | 29,138,547 | 23,417,240 | 1,867,534 | ||||||||||||
Shares redeemed | (39,451,647 | ) | (71,942,910 | ) | (50,315,675 | ) | (58,635,890 | ) | ||||||||
Net increase in net assets from Institutional Class share transactions | 16,351,971 | 10,854,054 | 7,586,552 | 5,307,167 | ||||||||||||
Net increase in net assets | 32,224,028 | 51,433,672 | 36,301,799 | 914,936 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 262,363,023 | 210,929,351 | 193,053,721 | 192,138,785 | ||||||||||||
End of period | $ | 294,587,051 | $ | 262,363,023 | $ | 229,355,520 | $ | 193,053,721 |
See Notes to Financial Statements.
98
Wilshire Mutual Funds, Inc.
Statements of Changes in Net Assets - (Continued) |
SMALL COMPANY | SMALL COMPANY | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (292,470 | ) | $ | (324,421 | ) | $ | 167,093 | $ | 214,782 | ||||||
Net realized gains (losses) on investments | 14,832,854 | 5,435,991 | 6,614,240 | (5,441,581 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) on investments | (8,848,254 | ) | 4,037,553 | 3,689,452 | 1,106,315 | |||||||||||
Net increase (decrease) in net assets resulting from operations | 5,692,130 | 9,149,123 | 10,470,785 | (4,120,484 | ) | |||||||||||
DISTRIBUTIONS TO SHAREHOLDERS (Notes 2 and 11): | ||||||||||||||||
Investment Class shares | (3,055,210 | ) | (1,206,193 | ) | (62,733 | ) | (118,716 | ) | ||||||||
Institutional Class shares | (7,240,937 | ) | (3,758,680 | ) | (350,128 | ) | (773,004 | ) | ||||||||
Total distributions to shareholders | (10,296,147 | ) | (4,964,873 | ) | (412,861 | ) | (891,720 | ) | ||||||||
CAPITAL STOCK TRANSACTIONS (DOLLARS) (Note 9): | ||||||||||||||||
Investment Class shares: | ||||||||||||||||
Shares sold | 268,360 | 404,964 | 460,415 | 532,525 | ||||||||||||
Shares issued as reinvestment of distributions | 2,923,634 | 1,164,454 | 61,789 | 116,830 | ||||||||||||
Shares redeemed | (1,860,991 | ) | (1,488,655 | ) | (557,609 | ) | (711,018 | ) | ||||||||
Net increase (decrease) in net assets from Investment Class share transactions | 1,331,003 | 80,763 | (35,405 | ) | (61,663 | ) | ||||||||||
Institutional Class shares: | �� | |||||||||||||||
Shares sold | 2,990,895 | 3,856,050 | 1,650,866 | 5,849,495 | ||||||||||||
Shares issued as reinvestment of distributions | 7,103,020 | 3,702,203 | 345,764 | 765,889 | ||||||||||||
Shares redeemed | (15,918,223 | ) | (26,887,293 | ) | (14,903,070 | ) | (21,992,216 | ) | ||||||||
Net decrease in net assets from Institutional Class share transactions | (5,824,308 | ) | (19,329,040 | ) | (12,906,440 | ) | (15,376,832 | ) | ||||||||
Net decrease in net assets | (9,097,322 | ) | (15,064,027 | ) | (2,883,921 | ) | (20,450,699 | ) | ||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 48,059,926 | 63,123,953 | 39,981,994 | 60,432,693 | ||||||||||||
End of period | $ | 38,962,604 | $ | 48,059,926 | $ | 37,098,073 | $ | 39,981,994 |
See Notes to Financial Statements.
99
Wilshire Mutual Funds, Inc.
Statements of Changes in Net Assets - (Continued) |
WILSHIRE 5000 | WILSHIRE INTERNATIONAL | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income | $ | 2,035,828 | $ | 2,300,389 | $ | 2,768,631 | $ | 2,118,737 | ||||||||
Net realized gains on investments and foreign currency transactions | 16,428,052 | 16,685,820 | 46,489,137 | 25,496,882 | ||||||||||||
Long-term capital gain distributions from registered investment companies | — | — | 7,876 | 28,129 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions and translation of other assets and liabilities denominated in foreign currencies | 35,403,175 | 14,403,520 | (12,561,481 | ) | 7,732,209 | |||||||||||
Net increase in net assets resulting from operations | 53,867,055 | 33,389,729 | 36,704,163 | 35,375,957 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS (Notes 2 and 11): | ||||||||||||||||
Investment Class shares | (13,848,970 | ) | (14,051,111 | ) | (543,935 | ) | (157,257 | ) | ||||||||
Institutional Class shares | (3,992,279 | ) | (4,284,398 | ) | (49,759,777 | ) | (20,495,045 | ) | ||||||||
Total distributions to shareholders | (17,841,249 | ) | (18,335,509 | ) | (50,303,712 | ) | (20,652,302 | ) | ||||||||
CAPITAL STOCK TRANSACTIONS (DOLLARS) (Note 9): | ||||||||||||||||
Investment Class shares: | ||||||||||||||||
Shares sold | 13,878,596 | 12,884,807 | 1,060,987 | 370,606 | ||||||||||||
Shares issued as reinvestment of distributions | 13,296,783 | 13,501,542 | 508,704 | 151,899 | ||||||||||||
Redemption fees (Note 2) | — | — | 35 | 33 | ||||||||||||
Shares redeemed | (16,985,711 | ) | (37,561,008 | ) | (486,162 | ) | (869,511 | ) | ||||||||
Net increase (decrease) in net assets from Investment Class share transactions | 10,189,668 | (11,174,659 | ) | 1,083,564 | (346,973 | ) | ||||||||||
Institutional Class shares: | ||||||||||||||||
Shares sold | 3,941,879 | 15,300,155 | 35,250,331 | 24,320,912 | ||||||||||||
Shares issued as reinvestment of distributions | 3,508,853 | 3,729,111 | 49,330,817 | 20,345,307 | ||||||||||||
Redemption fees (Note 2) | — | — | 3,870 | 3,970 | ||||||||||||
Shares redeemed | (8,215,522 | ) | (12,545,555 | ) | (81,516,365 | ) | (141,281,646 | ) | ||||||||
Net increase (decrease) in net assets from Institutional Class share transactions | (764,790 | ) | 6,483,711 | 3,068,653 | (96,611,457 | ) | ||||||||||
Net increase (decrease) in net assets | 45,450,684 | 10,363,272 | (9,447,332 | ) | (82,234,775 | ) | ||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 212,743,107 | 202,379,835 | 307,870,503 | 390,105,278 | ||||||||||||
End of period | $ | 258,193,791 | $ | 212,743,107 | $ | 298,423,171 | $ | 307,870,503 |
See Notes to Financial Statements.
100
Wilshire Mutual Funds, Inc.
Statements of Changes in Net Assets - (Continued) |
WILSHIRE INCOME | ||||||||
Year Ended | Year Ended | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 8,336,969 | $ | 10,038,351 | ||||
Net realized gains on investments and foreign currency transactions | 1,451,750 | 4,045,954 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions and translation of other assets and liabilities denominated in foreign currencies | (7,873,593 | ) | (597,738 | ) | ||||
Net increase in net assets resulting from operations | 1,915,126 | 13,486,567 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS (Notes 2 and 11): | ||||||||
Investment Class shares | (70,372 | ) | (73,417 | ) | ||||
Institutional Class shares | (11,875,158 | ) | (11,694,069 | ) | ||||
Total distributions to shareholders | (11,945,530 | ) | (11,767,486 | ) | ||||
CAPITAL STOCK TRANSACTIONS (DOLLARS) (Note 9): | ||||||||
Investment Class shares: | ||||||||
Shares sold | 528,790 | 496,102 | ||||||
Shares issued as reinvestment of distributions | 68,253 | 71,160 | ||||||
Shares redeemed | (395,778 | ) | (482,606 | ) | ||||
Net increase in net assets from Investment Class share transactions | 201,265 | 84,656 | ||||||
Institutional Class shares: | ||||||||
Shares sold | 42,508,646 | 73,129,503 | ||||||
Shares issued as reinvestment of distributions | 11,777,165 | 11,607,602 | ||||||
Shares redeemed | (49,779,459 | ) | (75,221,205 | ) | ||||
Net increase in net assets from Institutional Class share transactions | 4,506,352 | 9,515,900 | ||||||
Net increase (decrease) in net assets | (5,322,787 | ) | 11,319,637 | |||||
NET ASSETS: | ||||||||
Beginning of period | 308,669,143 | 297,349,506 | ||||||
End of period | $ | 303,346,356 | $ | 308,669,143 |
See Notes to Financial Statements.
101
Wilshire Mutual Funds, Inc.
Large Company Growth Portfolio
Financial Highlights |
For a Fund Share Outstanding Throughout Each Period. | ||||||||||||||||||||
Investment Class Shares | ||||||||||||||||||||
Year | Year | Year | Year | Year | ||||||||||||||||
Net asset value, beginning of period | $ | 44.34 | $ | 38.88 | $ | 33.33 | $ | 39.53 | $ | 33.93 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss (a) | (0.27 | ) | (0.19 | ) | (0.15 | ) | (0.20 | ) | (0.08 | ) | ||||||||||
Net realized and unrealized gains (losses) on investments | 10.33 | 15.00 | 9.61 | (0.35 | ) | 9.24 | ||||||||||||||
Total from investment operations | 10.06 | 14.81 | 9.46 | (0.55 | ) | 9.16 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
From net investment income | — | — | — | — | — | |||||||||||||||
From realized capital gains | (10.06 | ) | (9.35 | ) | (3.91 | ) | (5.65 | ) | (3.56 | ) | ||||||||||
Total distributions | (10.06 | ) | (9.35 | ) | (3.91 | ) | (5.65 | ) | (3.56 | ) | ||||||||||
Net asset value, end of period | $ | 44.34 | $ | 44.34 | $ | 38.88 | $ | 33.33 | $ | 39.53 | ||||||||||
Total return (b) | 23.03 | % | 38.82 | % | 28.61 | % | (1.90 | %) | 26.93 | % | ||||||||||
Ratios to average net assets/supplemental data: | ||||||||||||||||||||
Net assets, end of period (in 000’s) | $ | 86,217 | $ | 77,659 | $ | 64,470 | $ | 56,671 | $ | 64,130 | ||||||||||
Operating expenses after fee reductions and expense reimbursements and fees paid indirectly (c) | 1.30 | %(d) | 1.30 | %(d) | 1.30 | %(d) | 1.31 | % | 1.30 | % | ||||||||||
Operating expenses before fee reductions and expense reimbursements and fees paid indirectly (c)(e) | 1.30 | % | 1.31 | % | 1.32 | % | 1.31 | % | 1.30 | % | ||||||||||
Net investment loss (f) | (0.55 | %) | (0.43 | %) | (0.37 | %) | (0.48 | %) | (0.21 | %) | ||||||||||
Portfolio turnover rate | 85 | % | 84 | % | 43 | % | 69 | % | 51 | % |
(a) | The selected per share data was calculated using the average shares outstanding method for the year. |
(b) | Total return is a measure of the change in value of an investment in the Portfolio over the period covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Portfolio distributions, if any, or the redemption of Portfolio shares. |
(c) | Ratio does not include expenses from underlying funds. |
(d) | The ratio of operating expenses after fee reductions and expense reimbursements includes previous investments advisory fee reductions and expense reimbursements recouped by the Investment Adviser. If this expense offset was excluded, the ratio would have been 1.30%, 1.30% and 1.30% for the years ended December 31, 2021, 2020 and 2019, respectively (Note 3). |
(e) | The ratio of operating expenses before fee reductions and expense reimbursements excludes the effect of fees paid indirectly. If this expense offset was included, the ratio would have been 1.30%, 1.31% 1.32%, 1.31%, and 1.30%, for the years ended December 31, 2021, 2020, 2019, 2018, and 2017 respectively (Note 4). |
(f) | Ratio does not include net investment income of the investment companies in which the Portfolio invests. |
See Notes to Financial Statements.
102
Wilshire Mutual Funds, Inc.
Large Company Growth Portfolio
Financial Highlights - (Continued) |
For a Fund Share Outstanding Throughout Each Period. | ||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||
Year | Year | Year | Year | Year | ||||||||||||||||
Net asset value, beginning of period | $ | 50.18 | $ | 42.99 | $ | 36.41 | $ | 42.53 | $ | 36.19 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss) (a) | (0.12 | ) | (0.06 | ) | (0.03 | ) | (0.07 | ) | 0.05 | |||||||||||
Net realized and unrealized gains (losses) on investments | 11.72 | 16.65 | 10.52 | (0.40 | ) | 9.87 | ||||||||||||||
Total from investment operations | 11.60 | 16.59 | 10.49 | (0.47 | ) | 9.92 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
From net investment income | — | (0.05 | ) | — | — | (0.02 | ) | |||||||||||||
From realized capital gains | (10.06 | ) | (9.35 | ) | (3.91 | ) | (5.65 | ) | (3.56 | ) | ||||||||||
Total distributions | (10.06 | ) | (9.40 | ) | (3.91 | ) | (5.65 | ) | (3.58 | ) | ||||||||||
Net asset value, end of period | $ | 51.72 | $ | 50.18 | $ | 42.99 | $ | 36.41 | $ | 42.53 | ||||||||||
Total return (b) | 23.42 | % | 39.25 | % | 29.02 | % | (1.58 | %) | 27.35 | % | ||||||||||
Ratios to average net assets/supplemental data: | ||||||||||||||||||||
Net assets, end of period (in 000’s) | $ | 208,370 | $ | 184,704 | $ | 146,459 | $ | 148,029 | $ | 170,708 | ||||||||||
Operating expenses after fee reductions and expense reimbursements and fees paid indirectly (c) | 0.97 | %(f) | 0.98 | % | 1.00 | % | 0.98 | % | 0.98 | % | ||||||||||
Operating expenses before fee reductions and expense reimbursements and fees paid indirectly (c)(d) | 0.97 | % | 0.98 | % | 1.00 | % | 0.99 | % | 0.98 | % | ||||||||||
Net investment income (loss) (e) | (0.22 | %) | (0.12 | %) | (0.07 | %) | (0.16 | %) | 0.11 | % | ||||||||||
Portfolio turnover rate | 85 | % | 84 | % | 43 | % | 69 | % | 51 | % |
(a) | The selected per share data was calculated using the average shares outstanding method for the year. |
(b) | Total return is a measure of the change in value of an investment in the Portfolio over the period covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Portfolio distributions, if any, or the redemption of Portfolio shares. |
(c) | Ratio does not include expenses from underlying funds. |
(d) | The ratio of operating expenses before fee reductions and expense reimbursements excludes the effect of fees paid indirectly. If this expense offset was included, the ratio would have been 0.97%, 0.98%, 1.00% 0.99%, and 0.98%, for the years ended December 31, 2021, 2020, 2019, 2018, and 2017, respectively (Note 4). |
(e) | Ratio does not include net investment income of the investment companies in which the Portfolio invests. |
(f) | The ratio of operating expenses after fee reductions and expense reimbursements includes previous investments advisory fee reductions and expense reimbursements recouped by the Investment Adviser. If this expense offset was excluded, the ratio would have been 0.97% for the year ended December 31, 2021 (Note 3). |
See Notes to Financial Statements.
103
Wilshire Mutual Funds, Inc.
Large Company Value Portfolio
Financial Highlights |
For a Fund Share Outstanding Throughout Each Period. | ||||||||||||||||||||
Investment Class Shares | ||||||||||||||||||||
Year | Year | Year | Year | Year | ||||||||||||||||
Net asset value, beginning of period | $ | 19.75 | $ | 20.11 | $ | 17.22 | $ | 21.18 | $ | 20.40 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (a) | 0.05 | 0.22 | 0.31 | 0.29 | 0.30 | |||||||||||||||
Net realized and unrealized gains (losses) on investments and foreign currency transactions | 4.99 | (0.39 | ) | 3.74 | (2.73 | ) | 2.67 | |||||||||||||
Total from investment operations | 5.04 | (0.17 | ) | 4.05 | (2.44 | ) | 2.97 | |||||||||||||
Less distributions: | ||||||||||||||||||||
From net investment income | (0.28 | ) | — | (0.32 | ) | (0.29 | ) | (0.30 | ) | |||||||||||
From realized capital gains | (2.22 | ) | (0.19 | ) | (0.84 | ) | (1.23 | ) | (1.89 | ) | ||||||||||
Total distributions | (2.50 | ) | (0.19 | ) | (1.16 | ) | (1.52 | ) | (2.19 | ) | ||||||||||
Net asset value, end of period | $ | 22.29 | $ | 19.75 | $ | 20.11 | $ | 17.22 | $ | 21.18 | ||||||||||
Total return (b) | 25.82 | % | (0.81 | %) | 23.63 | % | (11.71 | %) | 14.64 | % | ||||||||||
Ratios to average net assets/supplemental data: | ||||||||||||||||||||
Net assets, end of period (in 000’s) | $ | 6,068 | $ | 5,509 | $ | 6,070 | $ | 5,137 | $ | 6,547 | ||||||||||
Operating expenses (c)(d) | 1.32 | % | 1.32 | % | 1.26 | % | 1.24 | % | 1.26 | % | ||||||||||
Net investment income (e) | 0.24 | % | 1.32 | % | 1.61 | % | 1.40 | % | 1.38 | % | ||||||||||
Portfolio turnover rate | 87 | % | 77 | % | 48 | % | 65 | % | 39 | % |
(a) | The selected per share data was calculated using the average shares outstanding method for the year. |
(b) | Total return is a measure of the change in value of an investment in the Portfolio over the period covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Portfolio distributions, if any, or the redemption of Portfolio shares. |
(c) | Ratio does not include expenses from underlying funds. |
(d) | The ratio of operating expenses before fee reductions and expense reimbursements includes the effect of fees paid indirectly. If this expense offset was excluded, the ratio would have been 1.32%, 1.32%, 1.26%, 1.24%, and 1.26% for the years ended December 31, 2021, 2020, 2019, 2018, and 2017 respectively (Note 4). |
(e) | Ratio does not include net investment income of the investment companies in which the Portfolio invests. |
See Notes to Financial Statements.
104
Wilshire Mutual Funds, Inc.
Large Company Value Portfolio
Financial Highlights - (Continued) |
For a Fund Share Outstanding Throughout Each Period. | ||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||
Year | Year | Year | Year | Year | ||||||||||||||||
Net asset value, beginning of period | $ | 19.56 | $ | 19.86 | $ | 17.01 | $ | 20.95 | $ | 20.20 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (a) | 0.13 | 0.28 | 0.36 | 0.35 | 0.36 | |||||||||||||||
Net realized and unrealized gains (losses) on investments and foreign currency transactions | 5.14 | (0.39 | ) | 3.71 | (2.71 | ) | 2.65 | |||||||||||||
Total from investment operations | 5.27 | (0.11 | ) | 4.07 | (2.36 | ) | 3.01 | |||||||||||||
Less distributions: | ||||||||||||||||||||
From net investment income | (0.32 | ) | — | (0.38 | ) | (0.35 | ) | (0.37 | ) | |||||||||||
From realized capital gains | (2.22 | ) | (0.19 | ) | (0.84 | ) | (1.23 | ) | (1.89 | ) | ||||||||||
Total distributions | (2.54 | ) | (0.19 | ) | (1.22 | ) | (1.58 | ) | (2.26 | ) | ||||||||||
Net asset value, end of period | $ | 22.29 | $ | 19.56 | $ | 19.86 | $ | 17.01 | $ | 20.95 | ||||||||||
Total return (b) | 27.26 | % | (0.52 | %) | 23.99 | % | (11.47 | %) | 14.99 | % | ||||||||||
Ratios to average net assets/supplemental data: | ||||||||||||||||||||
Net assets, end of period (in 000’s) | $ | 223,288 | $ | 187,545 | $ | 186,069 | $ | 182,553 | $ | 151,923 | ||||||||||
Operating expenses (c)(d) | 0.99 | % | 0.99 | % | 0.98 | % | 0.97 | % | 0.98 | % | ||||||||||
Net investment income (e) | 0.57 | % | 1.65 | % | 1.88 | % | 1.70 | % | 1.67 | % | ||||||||||
Portfolio turnover rate | 87 | % | 77 | % | 48 | % | 65 | % | 39 | % |
(a) | The selected per share data was calculated using the average shares outstanding method for the year. |
(b) | Total return is a measure of the change in value of an investment in the Portfolio over the period covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Portfolio distributions, if any, or the redemption of Portfolio shares. |
(c) | Ratio does not include expenses from underlying funds. |
(d) | The ratio of operating expenses before fee reductions and expense reimbursements includes the effect of fees paid indirectly. If this expense offset was excluded, the ratio would have been 0.99% 0.98%, 0.98%, 0.97%, and 0.98% for the years ended December 31 2021, 2020, 2019, 2018, and 2017, respectively (Note 4). |
(e) | Ratio does not include net investment income of the investment companies in which the Portfolio invests. |
See Notes to Financial Statements.
105
Wilshire Mutual Funds, Inc.
Small Company Growth Portfolio
Financial Highlights |
For a Fund Share Outstanding Throughout Each Period. | ||||||||||||||||||||
Investment Class Shares | ||||||||||||||||||||
Year | Year | Year | Year | Year | ||||||||||||||||
Net asset value, beginning of period | $ | 30.94 | $ | 27.09 | $ | 21.71 | $ | 25.05 | $ | 24.41 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss (a) | (0.29 | ) | (0.24 | ) | (0.17 | ) | (0.17 | ) | (0.19 | ) | ||||||||||
Net realized and unrealized gains (losses) on investments | 4.07 | 7.84 | 6.07 | (1.75 | ) | 3.51 | ||||||||||||||
Total from investment operations | 3.78 | 7.60 | 5.90 | (1.92 | ) | 3.32 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
From realized capital gains | (9.61 | ) | (3.75 | ) | (0.52 | ) | (1.42 | ) | (2.68 | ) | ||||||||||
Net asset value, end of period | $ | 25.11 | $ | 30.94 | $ | 27.09 | $ | 21.71 | $ | 25.05 | ||||||||||
Total return (b) | 13.07 | % | 28.98 | % | 27.23 | % | (7.87 | %) | 13.66 | % | ||||||||||
Ratios to average net assets/supplemental data: | ||||||||||||||||||||
Net assets, end of period (in 000’s) | $ | 10,817 | $ | 11,128 | $ | 9,823 | $ | 8,162 | $ | 11,386 | ||||||||||
Operating expenses after fee reductions and expense reimbursements and fees paid indirectly | 1.35 | % | 1.35 | % | 1.35 | %(c) | 1.35 | % | 1.48 | % | ||||||||||
Operating expenses before fee reductions and expense reimbursements and fees paid indirectly (d) | 1.63 | % | 1.63 | % | 1.54 | % | 1.54 | % | 1.64 | % | ||||||||||
Net investment loss | (0.88 | )% | (0.91 | )% | (0.67 | %) | (0.65 | %) | (0.75 | %) | ||||||||||
Portfolio turnover rate | 65 | % | 50 | % | 67 | % | 92 | % | 110 | % |
(a) | The selected per share data was calculated using the average shares outstanding method for the year. |
(b) | Total return is a measure of the change in value of an investment in the Portfolio over the period covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Portfolio distributions, if any, or the redemption of Portfolio shares. |
(c) | The ratio of operating expenses after fee reductions and expense reimbursements includes previous investment advisory fee reductions and expense reimbursements recouped by the Investment Adviser. If this expense offset was excluded, the ratio would have been 1.35% for the year ended December 31, 2019 (Note 3). |
(d) | The ratio of operating expenses before fee reductions and expense reimbursements excludes the effect of fees paid indirectly. If this expense offset was included, the ratio would have been 1.63%, 1.63%, 1.53% 1.54%, and 1.60%, for the years ended December 31, 2021, 2020, 2019, 2018, and 2017, respectively (Note 4). |
See Notes to Financial Statements.
106
Wilshire Mutual Funds, Inc.
Small Company Growth Portfolio
Financial Highlights - (Continued) |
For a Fund Share Outstanding Throughout Each Period. | ||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||
Year | Year | Year | Year | Year | ||||||||||||||||
Net asset value, beginning of period | $ | 34.40 | $ | 29.70 | $ | 23.70 | $ | 27.14 | $ | 26.18 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss (a) | (0.24 | ) | (0.19 | ) | (0.12 | ) | (0.11 | ) | (0.14 | ) | ||||||||||
Net realized and unrealized gains (losses) on investments | 4.57 | 8.64 | 6.64 | (1.91 | ) | 3.78 | ||||||||||||||
Total from investment operations | 4.33 | 8.45 | 6.52 | (2.02 | ) | 3.64 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
From realized capital gains | (9.61 | ) | (3.75 | ) | (0.52 | ) | (1.42 | ) | (2.68 | ) | ||||||||||
Net asset value, end of period | $ | 29.12 | $ | 34.40 | $ | 29.70 | $ | 23.70 | $ | 27.14 | ||||||||||
Total return (b) | 13.36 | % | 29.30 | % | 27.56 | % | (7.63 | %) | 13.96 | % | ||||||||||
Ratios to average net assets/supplemental data: | ||||||||||||||||||||
Net assets, end of period (in 000’s) | $ | 28,146 | $ | 36,932 | $ | 53,301 | $ | 44,603 | $ | 36,599 | ||||||||||
Operating expenses after fee reductions and expense reimbursements and fees paid indirectly | 1.10 | % | 1.10 | % | 1.10 | %(c) | 1.10 | % | 1.23 | % | ||||||||||
Operating expenses before fee reductions and expense reimbursements and fees paid indirectly (d) | 1.38 | % | 1.36 | % | 1.27 | % | 1.27 | % | 1.34 | % | ||||||||||
Net investment loss | (0.64 | )% | (0.66 | %) | (0.43 | %) | (0.37 | %) | (0.47 | %) | ||||||||||
Portfolio turnover rate | 65 | % | 50 | % | 67 | % | 92 | % | 110 | % |
(a) | The selected per share data was calculated using the average shares outstanding method for the year. |
(b) | Total return is a measure of the change in value of an investment in the Portfolio over the period covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Portfolio distributions, if any, or the redemption of Portfolio shares. |
(c) | The ratio of operating expenses after fee reductions and expense reimbursements includes previous investment advisory fee reductions and expense reimbursements recouped by the Investment Adviser. If this expense offset was excluded, the ratio would have been 1.10% for the year ended December 31, 2019 (Note 3). |
(d) | The ratio of operating expenses before fee reductions and expense reimbursements excludes the effect of fees paid indirectly. If this expense offset was included, the ratio would have been 1.37%, 1.36%, 1.26% 1.27%, and 1.33%, for the years ended December 31, 2021, 2020, 2019, 2018, and 2017, respectively (Note 4). |
See Notes to Financial Statements.
107
Wilshire Mutual Funds, Inc.
Small Company Value Portfolio
Financial Highlights |
For a Fund Share Outstanding Throughout Each Period. | ||||||||||||||||||||
Investment Class Shares | ||||||||||||||||||||
Year | Year | Year | Year | Year | ||||||||||||||||
Net asset value, beginning of period | $ | 21.45 | $ | 21.85 | $ | 18.13 | $ | 22.99 | $ | 23.75 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss) (a) | 0.07 | 0.06 | 0.14 | 0.05 | (0.05 | ) | ||||||||||||||
Net realized and unrealized gains (losses) on investments (b) | 6.80 | 0.03 | 3.72 | (3.77 | ) | 2.09 | ||||||||||||||
Total from investment operations | 6.87 | 0.09 | 3.86 | (3.72 | ) | 2.04 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
From net investment income | (0.24 | ) | — | (0.14 | ) | (0.05 | ) | — | ||||||||||||
From capital gains | (0.02 | ) | (0.49 | ) | — | (1.09 | ) | (2.80 | ) | |||||||||||
Total distributions | (0.26 | ) | (0.49 | ) | (0.14 | ) | (1.14 | ) | (2.80 | ) | ||||||||||
Net asset value, end of period | $ | 28.06 | $ | 21.45 | $ | 21.85 | $ | 18.13 | $ | 22.99 | ||||||||||
Total return (c) | 32.04 | % | 0.47 | % | 21.32 | % | (16.35 | %) | 8.65 | % | ||||||||||
Ratios to average net assets/supplemental data: | ||||||||||||||||||||
Net assets, end of period (in 000’s) | $ | 6,751 | $ | 5,186 | $ | 5,355 | $ | 4,792 | $ | 6,305 | ||||||||||
Operating expenses after fee reductions and expense reimbursements and fees paid indirectly | 1.35 | % | 1.35 | % | 1.35 | % | 1.35 | % | 1.45 | % | ||||||||||
Operating expenses before fee reductions and expense reimbursements and fees paid indirectly (d) | 1.75 | % | 1.84 | % | 1.56 | % | 1.57 | % | 1.69 | % | ||||||||||
Net investment income (loss) | 0.28 | % | 0.36 | % | 0.69 | % | 0.21 | % | (0.25 | %) | ||||||||||
Portfolio turnover rate | 45 | % | 54 | % | 168 | % | 74 | % | 88 | % |
(a) | The selected per share data was calculated using the average shares outstanding method for the year. |
(b) | Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statements of Operations due to share transactions for the period. |
(c) | Total return is a measure of the change in value of an investment in the Portfolio over the period covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Portfolio distributions, if any, or the redemption of Portfolio shares. |
(d) | The ratio of operating expenses before fee reductions and expense reimbursements excludes the effect of fees paid indirectly. If this expense offset was included, the ratio would have been 1.75%, 1.84%, 1.55% 1.58%, and 1.67%, for the years ended December 31, 2021, 2020, 2019, 2018, and 2017, respectively (Note 4). |
See Notes to Financial Statements.
108
Wilshire Mutual Funds, Inc.
Small Company Value Portfolio
Financial Highlights - (Continued) |
For a Fund Share Outstanding Throughout Each Period. | ||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||
Year | Year | Year | Year | Year | ||||||||||||||||
Net asset value, beginning of period | $ | 21.99 | $ | 22.33 | $ | 18.53 | $ | 23.49 | $ | 24.14 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (a) | 0.13 | 0.11 | 0.19 | 0.11 | 0.01 | |||||||||||||||
Net realized and unrealized gains (losses) on investments (b) | 7.00 | 0.04 | 3.81 | (3.88 | ) | 2.14 | ||||||||||||||
Total from investment operations | 7.13 | 0.15 | 4.00 | (3.77 | ) | 2.15 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
From net investment income | (0.32 | ) | — | (0.20 | ) | (0.10 | ) | — | ||||||||||||
From realized capital gains | (0.02 | ) | (0.49 | ) | — | (1.09 | ) | (2.80 | ) | |||||||||||
Total distributions | (0.34 | ) | (0.49 | ) | (0.20 | ) | (1.19 | ) | (2.80 | ) | ||||||||||
Net asset value, end of period | $ | 28.78 | $ | 21.99 | $ | 22.33 | $ | 18.53 | $ | 23.49 | ||||||||||
Total return (c) | 32.40 | % | 0.73 | % | 21.60 | % | (16.17 | %) | 8.97 | % | ||||||||||
Ratios to average net assets/supplemental data: | ||||||||||||||||||||
Net assets, end of period (in 000’s) | $ | 30,347 | $ | 34,796 | $ | 55,078 | $ | 46,948 | $ | 33,919 | ||||||||||
Operating expenses after fee reductions and expense reimbursements and fees paid indirectly | 1.10 | % | 1.10 | % | 1.10 | %(d) | 1.10 | % | 1.19 | % | ||||||||||
Operating expenses before fee reductions and expense reimbursements and fees paid indirectly (e) | 1.46 | % | 1.52 | % | 1.28 | % | 1.26 | % | 1.37 | % | ||||||||||
Net investment income | 0.49 | % | 0.59 | % | 0.92 | % | 0.53 | % | 0.07 | % | ||||||||||
Portfolio turnover rate | 45 | % | 54 | % | 168 | % | 74 | % | 88 | % |
(a) | The selected per share data was calculated using the average shares outstanding method for the year. |
(b) | Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statements of Operations due to share transactions for the period. |
(c) | Total return is a measure of the change in value of an investment in the Portfolio over the period covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Portfolio distributions, if any, or the redemption of Portfolio shares. |
(d) | The ratio of operating expenses after fee reductions and expense reimbursements includes previous investment advisory fee reductions and expense reimbursements recouped by the Investment Adviser. If this expense offset was excluded, the ratio would have been 1.10% for the year ended December 31, 2019 (Note 3). |
(e) | The ratio of operating expenses before fee reductions and expense reimbursements excludes the effect of fees paid indirectly. If this expense offset was included, the ratio would have been 1.46%, 1.51%, 1.27% 1.27%, and 1.35%, for the years ended December 31, 2021, 2020, 2019, 2018, and 2017, respectively (Note 4). |
See Notes to Financial Statements.
109
Wilshire Mutual Funds, Inc.
Wilshire 5000 Indexsm Fund
Financial Highlights |
For a Fund Share Outstanding Throughout Each Period. | ||||||||||||||||||||
Investment Class Shares | ||||||||||||||||||||
Year | Year | Year | Year | Year | ||||||||||||||||
Net asset value, beginning of period | $ | 25.14 | $ | 22.93 | $ | 18.58 | $ | 20.83 | $ | 18.86 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (a) | 0.23 | 0.26 | 0.31 | 0.31 | 0.29 | |||||||||||||||
Net realized and unrealized gains (losses) on investments and foreign currency transactions | 6.16 | 4.25 | 5.20 | (1.45 | ) | 3.52 | ||||||||||||||
Total from investment operations | 6.39 | 4.51 | 5.51 | (1.14 | ) | 3.81 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
From net investment income | (0.22 | ) | (0.26 | ) | (0.30 | ) | (0.30 | ) | (0.27 | ) | ||||||||||
From realized capital gains | (1.91 | ) | (2.04 | ) | (0.86 | ) | (0.81 | ) | (1.57 | ) | ||||||||||
Total distributions | (2.13 | ) | (2.30 | ) | (1.16 | ) | (1.11 | ) | (1.84 | ) | ||||||||||
Net asset value, end of period | $ | 29.40 | $ | 25.14 | $ | 22.93 | $ | 18.58 | $ | 20.83 | ||||||||||
Total return (b) | 25.59 | % | 19.93 | % | 29.74 | % | (5.60 | %) | 20.20 | % | ||||||||||
Ratios to average net assets/supplemental data: | ||||||||||||||||||||
Net assets, end of period (in 000’s) | $ | 202,121 | $ | 164,172 | $ | 162,114 | $ | 134,197 | $ | 149,342 | ||||||||||
Operating expenses | 0.52 | % | 0.61 | % | 0.62 | % | 0.60 | % | 0.62 | % | ||||||||||
Net investment income | 0.81 | % | 1.13 | % | 1.34 | % | 1.42 | % | 1.39 | % | ||||||||||
Portfolio turnover rate | 9 | % | 9 | % | 3 | % | 1 | % | 3 | % |
(a) | The selected per share data was calculated using the average shares outstanding method for the year. |
(b) | Total return is a measure of the change in value of an investment in the Portfolio over the period covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Portfolio distributions, if any, or the redemption of Portfolio shares. |
See Notes to Financial Statements.
110
Wilshire Mutual Funds, Inc.
Wilshire 5000 Indexsm Fund
Financial Highlights - (Continued) |
For a Fund Share Outstanding Throughout Each Period. | ||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||
Year | Year | Year | Year | Year | ||||||||||||||||
Net asset value, beginning of period | $ | 25.15 | $ | 22.93 | $ | 18.58 | $ | 20.83 | $ | 18.85 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (a) | 0.29 | 0.33 | 0.37 | 0.37 | 0.35 | |||||||||||||||
Net realized and unrealized gains (losses) on investments and foreign currency transactions | 6.17 | 4.26 | 5.20 | (1.46 | ) | 3.53 | ||||||||||||||
Total from investment operations | 6.46 | 4.59 | 5.57 | (1.09 | ) | 3.88 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
From net investment income | (0.28 | ) | (0.33 | ) | (0.36 | ) | (0.35 | ) | (0.33 | ) | ||||||||||
From realized capital gains | (1.91 | ) | (2.04 | ) | (0.86 | ) | (0.81 | ) | (1.57 | ) | ||||||||||
Total distributions | (2.19 | ) | (2.37 | ) | (1.22 | ) | (1.16 | ) | (1.90 | ) | ||||||||||
Net asset value, end of period | $ | 29.42 | $ | 25.15 | $ | 22.93 | $ | 18.58 | $ | 20.83 | ||||||||||
Total return (b) | 25.85 | % | 20.28 | % | 30.08 | % | (5.32 | %) | 20.57 | % | ||||||||||
Ratios to average net assets/supplemental data: | ||||||||||||||||||||
Net assets, end of period (in 000’s) | $ | 56,073 | $ | 48,571 | $ | 40,266 | $ | 32,110 | $ | 35,066 | ||||||||||
Operating expenses | 0.31 | % | 0.31 | % | 0.33 | % | 0.33 | % | 0.33 | % | ||||||||||
Net investment income | 1.02 | % | 1.44 | % | 1.61 | % | 1.70 | % | 1.67 | % | ||||||||||
Portfolio turnover rate | 9 | % | 9 | % | 3 | % | 1 | % | 3 | % |
(a) | The selected per share data was calculated using the average shares outstanding method for the year. |
(b) | Total return is a measure of the change in value of an investment in the Portfolio over the period covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Portfolio distributions, if any, or the redemption of Portfolio shares. |
See Notes to Financial Statements.
111
Wilshire Mutual Funds, Inc.
Wilshire International Equity Fund
Financial Highlights |
For a Fund Share Outstanding Throughout Each Period. | ||||||||||||||||||||
Investment Class Shares | ||||||||||||||||||||
Year | Year | Year | Year | Year | ||||||||||||||||
Net asset value, beginning of period | $ | 12.38 | $ | 11.37 | $ | 9.32 | $ | 11.19 | $ | 8.92 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (a) | 0.09 | 0.05 | 0.12 | 0.10 | 0.08 | |||||||||||||||
Net realized and unrealized gains (losses) on investments and foreign currency transactions | 1.41 | 1.81 | 2.07 | (1.51 | ) | 2.20 | ||||||||||||||
Total from investment operations | 1.50 | 1.86 | 2.19 | (1.41 | ) | 2.28 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
From net investment income | (0.39 | ) | (0.02 | ) | (0.14 | ) | (0.04 | ) | (0.01 | ) | ||||||||||
From realized capital gains | (1.85 | ) | (0.83 | ) | — | (0.42 | ) | — | ||||||||||||
Total distributions | (2.24 | ) | (0.85 | ) | (0.14 | ) | (0.46 | ) | (0.01 | ) | ||||||||||
Redemption fees (Note 2) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | ||||||||||
Net asset value, end of period | $ | 11.64 | $ | 12.38 | $ | 11.37 | $ | 9.32 | $ | 11.19 | ||||||||||
Total return (c) | 12.48 | % | 16.55 | % | 23.52 | % | (12.66 | %) | 25.54 | % | ||||||||||
Ratios to average net assets/supplemental data: | ||||||||||||||||||||
Net assets, end of period (in 000’s) | $ | 3,269 | $ | 2,438 | $ | 2,612 | $ | 2,789 | $ | 4,176 | ||||||||||
Operating expenses after fee reductions and expense reimbursements and fees paid indirectly (d) | 1.50 | % | 1.50 | % | 1.50 | % | 1.51 | %(e) | 1.51 | %(e) | ||||||||||
Operating expenses before fee reductions and expense reimbursements and fees paid indirectly (d) | 1.76 | %(f) | 1.69 | %(f) | 1.63 | %(f) | 1.59 | % | 1.55 | % | ||||||||||
Net investment income (g) | 0.65 | % | 0.44 | % | 1.21 | % | 1.02 | % | 0.87 | % | ||||||||||
Portfolio turnover rate | 53 | % | 61 | % | 54 | % | 96 | % | 62 | % |
(a) | The selected per share data was calculated using the average shares outstanding method for the year. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | Total return is a measure of the change in value of an investment in the Portfolio over the period covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Portfolio distributions, if any, or the redemption of Portfolio shares. |
(d) | Ratio does not include expenses from underlying funds. |
(e) | The ratio of operating expenses after fee reductions and expense reimbursements includes previous investment advisory fee reductions and expense reimbursements recouped by the Investment Adviser. If this expense offset was excluded, the ratio would have been 1.50%, and 1.50% for the years ended December 31, 2018, and 2017, respectively (Note 3). |
(f) | The ratio of operating expenses before fee reductions and expense reimbursements excludes the effect of fees paid indirectly. If this expense offset was included, the ratio would have been 1.76%, 1.69% and 1.63% for the years ended December 31, 2021, 2020 and 2019, respectively (Note 4). |
(g) | Ratio does not include net investment income of the investment companies in which the Portfolio invests. |
See Notes to Financial Statements.
112
Wilshire Mutual Funds, Inc.
Wilshire International Equity Fund
Financial Highlights - (Continued) |
For a Fund Share Outstanding Throughout Each Period. | ||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||
Year | Year | Year | Year | Year | ||||||||||||||||
Net asset value, beginning of period | $ | 12.20 | $ | 11.19 | $ | 9.19 | $ | 11.04 | $ | 8.81 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (a) | 0.12 | 0.08 | 0.14 | 0.13 | 0.10 | |||||||||||||||
Net realized and unrealized gains (losses) on investments and foreign currency transactions | 1.39 | 1.78 | 2.05 | (1.49 | ) | 2.18 | ||||||||||||||
Total from investment operations | 1.51 | 1.86 | 2.19 | (1.36 | ) | 2.28 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
From net investment income | (0.39 | ) | (0.02 | ) | (0.19 | ) | (0.07 | ) | (0.05 | ) | ||||||||||
From realized capital gains | (1.85 | ) | (0.83 | ) | — | (0.42 | ) | — | ||||||||||||
Total distributions | (2.24 | ) | (0.85 | ) | (0.19 | ) | (0.49 | ) | (0.05 | ) | ||||||||||
Redemption fees (Note 2) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | ||||||||||
Net asset value, end of period | $ | 11.47 | $ | 12.20 | $ | 11.19 | $ | 9.19 | $ | 11.04 | ||||||||||
Total return (c) | 12.78 | % | 16.82 | % | 23.81 | % | (12.39 | %) | 25.92 | % | ||||||||||
Ratios to average net assets/supplemental data: | ||||||||||||||||||||
Net assets, end of period (in 000’s) | $ | 295,154 | $ | 305,433 | $ | 387,493 | $ | 383,682 | $ | 351,136 | ||||||||||
Operating expenses after fee reductions and expense reimbursements and fees paid indirectly (d) | 1.25 | % | 1.25 | % | 1.25 | %(e) | 1.27 | %(e) | 1.26 | %(f) | ||||||||||
Operating expenses before fee reductions and expense reimbursements and fees paid indirectly (d) | 1.38 | %(g) | 1.32 | %(g) | 1.29 | %(g) | 1.25 | % | 1.26 | % | ||||||||||
Net investment income (h) | 0.90 | % | 0.71 | % | 1.39 | % | 1.28 | % | 1.02 | % | ||||||||||
Portfolio turnover rate | 53 | % | 61 | % | 54 | % | 96 | % | 62 | % |
(a) | The selected per share data was calculated using the average shares outstanding method for the year. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | Total return is a measure of the change in value of an investment in the Portfolio over the period covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Portfolio distributions, if any, or the redemption of Portfolio shares. |
(d) | Ratio does not include expenses from underlying funds. |
(e) | The ratio of operating expenses after fee reductions and expense reimbursements includes previous investment advisory fee reductions and expense reimbursements recouped by the Investment Adviser. If this expense offset was excluded, the ratio would have been 1.25% (Note 3). |
(f) | The ratio of operating expenses after fee reductions and expense reimbursements includes the expenses related to foreign currency exchange contracts. Had these expenses been excluded, the expense ratio (after fee reductions and fees paid indirectly) would have been 1.25% for the year ended December 31, 2017. |
(g) | The ratio of operating expenses before fee reductions and expense reimbursements excludes the effect of fees paid indirectly. If this expense offset was included, the ratio would have been 1.38%, 1.31% and 1.28% for the years ending December 31, 2021, 2020 and 2019, respectively (Note 4). |
(h) | Ratio does not include net investment income of the investment companies in which the Portfolio invests. |
See Notes to Financial Statements.
113
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Financial Highlights |
For a Fund Share Outstanding Throughout Each Period. | ||||||||||||||||||||
Investment Class Shares | ||||||||||||||||||||
Year | Year | Year | Year | Year | ||||||||||||||||
Net asset value, beginning of period | $ | 10.39 | $ | 10.42 | $ | 9.88 | $ | 10.25 | $ | 10.14 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (a) | 0.26 | 0.33 | 0.35 | 0.32 | 0.35 | |||||||||||||||
Net realized and unrealized gains (losses) on investments and foreign currency transactions (b) | (0.22 | ) | 0.03 | 0.58 | (0.39 | ) | 0.22 | |||||||||||||
Total from investment operations | 0.04 | 0.36 | 0.93 | (0.07 | ) | 0.57 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
From net investment income | (0.26 | ) | (0.35 | ) | (0.39 | ) | (0.30 | ) | (0.42 | ) | ||||||||||
From realized capital gains | (0.09 | ) | (0.04 | ) | — | — | (0.04 | ) | ||||||||||||
Total distributions | (0.35 | ) | (0.39 | ) | (0.39 | ) | (0.30 | ) | (0.46 | ) | ||||||||||
Net asset value, end of period | $ | 10.08 | $ | 10.39 | $ | 10.42 | $ | 9.88 | $ | 10.25 | ||||||||||
Total return (c) | 0.40 | % | 3.59 | %(d) | 9.58 | %(d) | (0.65 | %)(d) | 5.60 | %(d) | ||||||||||
Ratios to average net assets/supplemental data: | ||||||||||||||||||||
Net assets, end of period (in 000’s) | $ | 2,136 | $ | 1,998 | $ | 1,913 | $ | 1,864 | $ | 6,409 | ||||||||||
Operating expenses after fee reductions and expense reimbursements and fees paid indirectly (e) | 1.15 | % | 1.15 | % | 1.18 | %(f) | 1.16 | % | 1.17 | %(g) | ||||||||||
Operating expenses before fee reductions and expense reimbursements and fees paid indirectly (e) | 1.31 | % | 1.29 | % | 1.26 | % | 1.20 | % | 1.23 | % | ||||||||||
Net investment income (h) | 2.49 | % | 3.24 | % | 3.37 | % | 3.02 | % | 3.28 | % | ||||||||||
Portfolio turnover rate | 109 | % | 104 | % | 89 | % | 177 | % | 88 | % |
(a) | The selected per share data was calculated using the average shares outstanding method for the year. |
(b) | Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statements of Operations due to share transactions for the period. |
(c) | Total return is a measure of the change in value of an investment in the Portfolio over the period covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Portfolio distributions, if any, or the redemption of Portfolio shares. |
(d) | The returns reflect the actual performance for each period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period. |
(e) | Ratio does not include expenses from underlying funds. |
(f) | The ratio of operating expenses after fee reductions and expense reimbursements includes the expenses related to foreign currency exchange contracts. Had these expenses been excluded, the expense ratio (after fee reductions and fees paid indirectly) would have been 1.15% for the year ended December 31, 2019. |
(g) | Includes interest incurred from reverse repurchase agreements of 0.02% during the year ended December 31, 2017. |
(h) | Ratio does not include net investment income of the investment companies in which the Portfolio invests. |
See Notes to Financial Statements.
114
Wilshire Mutual Funds, Inc.
Wilshire Income Opportunities Fund
Financial Highlights - (Continued) |
For a Fund Share Outstanding Throughout Each Period. | ||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||
Year | Year | Year | Year | Year | ||||||||||||||||
Net asset value, beginning of period | $ | 10.33 | $ | 10.37 | $ | 9.83 | $ | 10.22 | $ | 10.10 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (a) | 0.28 | 0.35 | 0.38 | 0.35 | 0.37 | |||||||||||||||
Net realized and unrealized gains (losses) on investments and foreign currency transactions (b) | (0.22 | ) | 0.03 | 0.58 | (0.40 | ) | 0.22 | |||||||||||||
Total from investment operations | 0.06 | 0.38 | 0.96 | (0.05 | ) | 0.59 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
From net investment income | (0.31 | ) | (0.38 | ) | (0.42 | ) | (0.34 | ) | (0.43 | ) | ||||||||||
From realized capital gains | (0.09 | ) | (0.04 | ) | — | — | (0.04 | ) | ||||||||||||
Total distributions | (0.40 | ) | (0.42 | ) | (0.42 | ) | (0.34 | ) | (0.47 | ) | ||||||||||
Net asset value, end of period | $ | 9.99 | $ | 10.33 | $ | 10.37 | $ | 9.83 | $ | 10.22 | ||||||||||
Total return (c) | 0.63 | % | 3.77 | %(d) | 9.94 | %(d) | (0.43 | %)(d) | 5.84 | %(d) | ||||||||||
Ratios to average net assets/supplemental data: | ||||||||||||||||||||
Net assets, end of period (in 000’s) | $ | 301,210 | $ | 306,671 | $ | 295,437 | $ | 312,201 | $ | 310,227 | ||||||||||
Operating expenses after fee reductions and expense reimbursements and fees paid indirectly (e) | 0.90 | % | 0.90% | 0.92 | %(f) | 0.90 | % | 0.92 | %(g) | |||||||||||
Operating expenses before fee reductions and expense reimbursements and fees paid indirectly (e) | 0.92 | % | 0.92 | % | 0.92 | % | 0.90 | % | 0.92 | %(g) | ||||||||||
Net investment income (h) | 2.75 | % | 3.48 | % | 3.66 | % | 3.48 | % | 3.49 | % | ||||||||||
Portfolio turnover rate | 109 | % | 104 | % | 89 | % | 177 | % | 88 | % |
(a) | The selected per share data was calculated using the average shares outstanding method for the year. |
(b) | Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statements of Operations due to share transactions for the period. |
(c) | Total return is a measure of the change in value of an investment in the Portfolio over the period covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Portfolio distributions, if any, or the redemption of Portfolio shares. |
(d) | The returns reflect the actual performance for each period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period. |
(e) | Ratio does not include expenses from underlying funds. |
(f) | The ratio of operating expenses after fee reductions and expense reimbursements includes the expenses related to foreign currency exchange contracts. Had these expenses been excluded, the expense ratio (after fee reductions and fees paid indirectly) would have been 0.89% for the year ended December 31, 2019. |
(g) | Includes interest incurred from reverse repurchase agreements of 0.02% during the year ended December 31, 2017. |
(h) | Ratio does not include net investment income of the investment companies in which the Portfolio invests. |
See Notes to Financial Statements.
115
Wilshire Mutual Funds, Inc.
Notes to Financial Statements
December 31, 2021 |
1. Organization.
Wilshire Mutual Funds, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), which was incorporated under Maryland law on July 30, 1992. The Company operates as a series company and presently offers seven series: Large Company Growth Portfolio, Large Company Value Portfolio, Small Company Growth Portfolio, Small Company Value Portfolio, Wilshire 5000 IndexSM Fund, Wilshire International Equity Fund and Wilshire Income Opportunities Fund (each a “Portfolio” and collectively the “Portfolios”). The Large Company Growth Portfolio is an open-end non-diversified investment company. The Large Company Value Portfolio, Small Company Growth Portfolio, Small Company Value Portfolio, Wilshire 5000 IndexSM Fund, Wilshire International Equity Fund and Wilshire Income Opportunities Fund are open-end diversified investment companies. The Company accounts separately for the assets, liabilities and operations of each Portfolio.
The investment objective of Large Company Growth Portfolio is to seek capital appreciation.
The investment objective of Large Company Value Portfolio is to seek capital appreciation.
The investment objective of Small Company Growth Portfolio is to seek capital appreciation.
The investment objective of Small Company Value Portfolio is to seek capital appreciation.
The investment objective of Wilshire 5000 IndexSM Fund is to replicate as closely as possible the performance of the Wilshire 5000 IndexSM before the deduction of the Portfolio’s expenses.
The investment objective of Wilshire International Equity Fund is to seek capital appreciation.
The primary investment objective of Wilshire Income Opportunities Fund is to maximize current income. Long-term capital appreciation is a secondary objective.
Each of the Portfolios currently offers Investment and Institutional Class shares, each of which has equal rights as to voting privileges except that the Investment Class has exclusive voting rights for its service and distribution plan. Investment income, realized and unrealized capital gains and losses and the common expenses of each Portfolio are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of such Portfolio. Each class of shares differs with respect to its service and distribution expenses.
116
Wilshire Mutual Funds, Inc.
Notes to Financial Statements - (Continued)
December 31, 2021 |
2. Significant Accounting Policies.
The following is a summary of significant accounting policies consistently followed by the Portfolios in the preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The Portfolios follow accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, “Financial Services – Investment Companies.”
Use of estimates – The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be material.
Security valuation – Securities listed or traded on U.S. exchanges, including options, futures, swaptions and swap contracts, are valued at the last sales price on the exchange where they are principally traded. In the absence of a current quotation, a security is valued at the mean between the last bid and asked prices on that exchange. Securities quoted on the National Association of Securities Dealers Automatic Quotation (NASDAQ) System, for which there have been sales, are valued at the NASDAQ official closing price. If there are no such sales, a security is valued at the mean between the last bid and ask prices. Securities traded over-the-counter (other than on NASDAQ) are valued at the last current sale price; and if there are no such sales, a security is valued at the mean between the last bid and ask prices. Debt securities are typically valued at an evaluated bid price by a third-party pricing agent employing methodologies that utilize actual market transactions, broker-supplied valuations, or other inputs designed to identify the market value for such securities. Third-party pricing agents often utilize proprietary models that are subjective and require the use of judgment and the application of various assumptions including, but not limited to, interest rates, prepayment speeds, and default rate assumptions. Debt securities that have a remaining maturity of 60 days or less are valued at prices supplied by the Portfolios’ pricing agent for such securities, if available. Otherwise such securities are valued at amortized cost if the Adviser’s Pricing Committee concludes it approximates fair value. Equity securities primarily traded on a foreign exchange are typically valued daily at a price as provided by an independent pricing service, which is an estimate of the fair value price. Foreign currency contracts, including forward contracts, are valued at the applicable translation rates as supplied by the third-party pricing vendor. In the event market quotations are not readily available, such securities are valued at fair value according to procedures adopted by the Board of Directors (the “Board”) or as determined in good faith by the Adviser’s Pricing Committee, whose members include at least two representatives of Wilshire Advisors LLC (the “Adviser”), one of whom is an officer of the Company, or by the Company’s Valuation Committee which is composed of Directors of the Company. Fair value is defined as the amount the owner of
117
Wilshire Mutual Funds, Inc.
Notes to Financial Statements - (Continued)
December 31, 2021 |
a security might reasonably expect to receive upon a current sale. Securities whose value does not reflect fair value because a significant valuation event has occurred may be valued at fair value by the Pricing Committee or the Valuation Committee in accordance with the Company’s valuation procedures. Significant events may include, but are not limited to, the following: significant fluctuations in domestic markets, foreign markets or foreign currencies; occurrences not directly tied to the securities markets such as natural disasters, armed conflicts or significant governmental actions; and major announcements affecting a single issuer or an entire market or market sector. The value of fair valued securities may be different from the last sale price (or the mean between the last bid and asked prices), and there is no guarantee that a fair valued security will be sold at the price at which a Portfolio is carrying the security.
Wilshire International Equity Fund uses a third-party pricing agent who provides a daily fair value for foreign securities. In the event that the Adviser believes that the fair values provided are not reliable, the Adviser may request that a meeting of the Pricing Committee be held.
In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Portfolios disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The guidance establishes three levels of the fair value hierarchy as follows:
● | Level 1 – Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Portfolios have the ability to access at the measurement date; |
● | Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active markets, etc.); and |
● | Level 3 – Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. During the year ended December 31, 2021, there have been no significant changes to the Portfolios’ fair value methodologies.
The following is a summary of the inputs used to value the Portfolios’ investments as of December 31, 2021:
118
Wilshire Mutual Funds, Inc.
Notes to Financial Statements - (Continued)
December 31, 2021 |
Large Company Growth Portfolio | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 232,833,417 | $ | — | $ | — | $ | 232,833,417 | ||||||||
U.S. Treasury Obligations | — | 794,275 | — | 794,275 | ||||||||||||
Agency Mortgage-Backed Obligations | — | 323,956 | — | 323,956 | ||||||||||||
Non-Agency Mortgage-Backed Obligations | — | 5,214,050 | — | 5,214,050 | ||||||||||||
Non-Agency Mortgage-Backed Obligations Interest-Only Strips | — | 337,935 | — | 337,935 | ||||||||||||
Asset-Backed Securities | — | 4,491,723 | — | 4,491,723 | ||||||||||||
Collateralized Loan Obligations | — | 5,064,579 | — | 5,064,579 | ||||||||||||
Corporate Bonds | — | 10,767,140 | — | 10,767,140 | ||||||||||||
Affiliated Registered Investment Companies | 13,778,693 | — | — | 13,778,693 | ||||||||||||
Total | $ | 246,612,110 | $ | 26,993,658 | $ | — | $ | 273,605,768 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Assets | ||||||||||||||||
Unrealized appreciation on swap contracts | $ | — | $ | 6,093,160 | $ | — | $ | 6,093,160 | ||||||||
Total Assets | $ | — | $ | 6,093,160 | $ | — | $ | 6,093,160 | ||||||||
Liabilities | ||||||||||||||||
Unrealized depreciation on futures contracts | $ | (132,960 | ) | $ | — | $ | — | $ | (132,960 | ) | ||||||
Total Liabilities | $ | (132,960 | ) | $ | — | $ | — | $ | (132,960 | ) |
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Large Company Value Portfolio | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 183,580,912 | $ | — | $ | — | $ | 183,580,912 | ||||||||
U.S. Treasury Obligations | — | 733,336 | — | 733,336 | ||||||||||||
Agency Mortgage-Backed Obligations | ||||||||||||||||
Interest-Only Strips | — | 156,525 | — | 156,525 | ||||||||||||
Non-Agency Mortgage-Backed Obligations | — | 3,882,358 | — | 3,882,358 | ||||||||||||
Non-Agency Mortgage-Backed Obligations Interest-Only Strips | — | 137,858 | — | 137,858 | ||||||||||||
Asset-Backed Securities | — | 3,486,519 | — | 3,486,519 | ||||||||||||
Collateralized Loan Obligations | — | 4,517,416 | — | 4,517,416 | ||||||||||||
Corporate Bonds | — | 7,266,608 | — | 7,266,608 | ||||||||||||
Affiliated Registered Investment Companies | 12,180,851 | — | — | 12,180,851 | ||||||||||||
Total | $ | 195,761,763 | $ | 20,180,620 | $ | — | $ | 215,942,383 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Assets | ||||||||||||||||
Unrealized appreciation on futures contracts | $ | 346 | $ | — | $ | — | $ | 346 | ||||||||
Unrealized appreciation on swap contracts | — | 3,204,371 | — | 3,204,371 | ||||||||||||
Total Assets | $ | 346 | $ | 3,204,371 | $ | — | $ | 3,204,717 | ||||||||
Liabilities | ||||||||||||||||
Unrealized depreciation on futures contracts | $ | (106,344 | ) | $ | — | $ | — | $ | (106,344 | ) | ||||||
Total Liabilities. | $ | (106,344 | ) | $ | — | $ | — | $ | (106,344 | ) |
Small Company Growth Portfolio | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 37,785,017 | $ | — | $ | — | * | $ | 37,785,017 | |||||||
Total | $ | 37,785,017 | $ | — | $ | — | $ | 37,785,017 |
Small Company Value Portfolio | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 36,564,012 | $ | — | $ | — | $ | 36,564,012 | ||||||||
Total | $ | 36,564,012 | $ | — | $ | — | $ | 36,564,012 |
Wilshire 5000 IndexSM Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 254,785,016 | $ | — | $ | 81 | * | $ | 254,785,097 | |||||||
Right | — | — | — | * | — | |||||||||||
Total | $ | 254,785,016 | $ | — | $ | 81 | $ | 254,785,097 |
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Wilshire International Equity Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 46,445,827 | $ | 191,086,107 | $ | — | * | $ | 237,531,934 | |||||||
Preferred Stocks | 423,902 | 2,108,735 | 2,532,637 | |||||||||||||
U.S. Treasury Obligations | — | 1,536,066 | — | 1,536,066 | ||||||||||||
Agency Mortgage-Backed Obligations | — | 262,900 | — | 262,900 | ||||||||||||
Non-Agency Mortgage-Backed Obligations | — | 5,949,103 | — | 5,949,103 | ||||||||||||
Non-Agency Mortgage-Backed Obligations Interest-Only Strips | — | 265,611 | — | 265,611 | ||||||||||||
Asset-Backed Securities | — | 4,868,633 | — | 4,868,633 | ||||||||||||
Collateralized Loan Obligations | — | 4,604,535 | — | 4,604,535 | ||||||||||||
Corporate Bonds | — | 11,615,276 | — | 11,615,276 | ||||||||||||
Affiliated Registered Investment Companies | 14,573,235 | — | — | 14,573,235 | ||||||||||||
Total | $ | 61,442,964 | $ | 222,296,966 | $ | — | $ | 283,739,930 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Assets | ||||||||||||||||
Unrealized appreciation on futures contracts | $ | 123 | $ | — | $ | — | $ | 123 | ||||||||
Unrealized appreciation on swap contracts | — | 991,633 | — | 991,633 | ||||||||||||
Total Assets | $ | 123 | $ | 991,633 | $ | — | $ | 991,756 | ||||||||
Liabilities | ||||||||||||||||
Unrealized depreciation on futures contracts | $ | (144,714 | ) | $ | — | $ | — | $ | (144,714 | ) | ||||||
Unrealized depreciation on swap contracts | — | (225,794 | ) | — | (225,794 | ) | ||||||||||
Total Liabilities. | $ | (144,714 | ) | $ | (225,794 | ) | $ | — | $ | (370,508 | ) |
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Wilshire Income Opportunities Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Treasury Obligations | $ | — | $ | 30,349,805 | $ | — | $ | 30,349,805 | ||||||||
Agency Mortgage-Backed Obligations | — | 16,082,680 | — | 16,082,680 | ||||||||||||
Non-Agency Mortgage-Backed Obligations | — | 38,325,979 | — | 38,325,979 | ||||||||||||
Non-Agency Mortgage-Backed Obligations Interest-Only Strips | — | 5,592,299 | — | 5,592,299 | ||||||||||||
Asset-Backed Securities | — | 17,366,342 | — | 17,366,342 | ||||||||||||
Collateralized Loan Obligations | — | 16,068,428 | — | 16,068,428 | ||||||||||||
Corporate Bonds | — | 53,277,676 | — | 53,277,676 | ||||||||||||
Foreign Bonds | — | 65,392,456 | — | 65,392,456 | ||||||||||||
Bank Loans | — | 22,099,425 | — | 22,099,425 | ||||||||||||
Common Stocks | 2,609,283 | — | — | 2,609,283 | ||||||||||||
Preferred Stocks | 4,478,223 | 250,850 | — | 4,729,073 | ||||||||||||
Purchased OTC Options | — | 36,878 | — | 36,878 | ||||||||||||
Affiliated Registered Investment Companies | 21,175,702 | — | — | 21,175,702 | ||||||||||||
Total | $ | 28,263,208 | $ | 264,842,818 | $ | — | $ | 293,106,026 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Assets | ||||||||||||||||
Unrealized appreciation on forward currency contracts | $ | — | $ | 1,624,455 | $ | — | $ | 1,624,455 | ||||||||
Unrealized appreciation on futures contracts | 174,337 | — | — | 174,337 | ||||||||||||
Unrealized appreciation on swap contracts | — | 8,859 | — | 8,859 | ||||||||||||
Unrealized appreciation on swaption contracts | — | 6,383 | — | 6,383 | ||||||||||||
Total Assets | $ | 174,337 | $ | 1,639,697 | $ | — | $ | 1,814,034 | ||||||||
Liabilities | ||||||||||||||||
Written Options | $ | — | $ | (9,817 | ) | $ | — | $ | (9,817 | ) | ||||||
Unrealized depreciation on forward currency contracts | — | (1,460,647 | ) | — | (1,460,647 | ) | ||||||||||
Unrealized depreciation on futures contracts | (315,070 | ) | — | — | (315,070 | ) | ||||||||||
Unrealized depreciation on swap contracts | — | (3,552 | ) | — | (3,552 | ) | ||||||||||
Unrealized depreciation on swaption contracts | — | (2,738 | ) | — | (2,738 | ) | ||||||||||
Total Liabilities. | $ | (315,070 | ) | $ | (1,476,754 | ) | $ | — | $ | (1,791,824 | ) |
* | Includes securities that have been fair valued at $0. |
** | Other financial instruments are derivative financial instruments not reflected in the Condensed Schedules of Investments, such as futures contracts, swap contracts and forward foreign currency contracts. These contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
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Refer to the Portfolios’ Condensed Schedules of Investments for a listing of the securities by industry or sector type. Large Company Growth Portfolio, Large Company Value Portfolio, Small Company Value Portfolio, and Wilshire Income Opportunities Fund did not hold any assets or liabilities that were measured at fair value on a recurring basis using significant unobservable inputs (Level 3) as of December 31, 2021. Small Company Growth Portfolio held common stocks that were measured at fair value on a recurring basis using significant unobservable inputs (Level 3) totaling $0. Wilshire 5000 IndexSM Fund held common stocks and rights that were measured at fair value on a recurring basis using significant unobservable inputs (Level 3) totaling $81 and $0, respectively. Wilshire International Equity Fund held common stocks that were measured at fair value on a recurring basis using significant unobservable inputs (Level 3) totaling $0. A reconciliation of Level 3 investments, including certain disclosures related to significant inputs used in valuing Level 3 investments, is only presented when a Portfolio has over 1% of its net assets in Level 3 investments.
Cash and Cash Equivalents – Idle cash may be swept into various overnight demand deposits and is classified as Cash and cash equivalents on the Statements of Assets and Liabilities. The Portfolios maintain cash in bank deposit accounts which, at times, may exceed United States federally insured limits. Amounts swept overnight are available on the next business day.
Option Transactions – Wilshire Income Opportunities Fund may purchase and write call and put options on securities, securities indices, swaps (“swaptions”) and foreign currencies, provided such options are traded on a national securities exchange or an over-the-counter market. When the Portfolio writes a covered call or put option, an amount equal to the premium received is included as a liability in the Statement of Assets and Liabilities. The amount of the liability is subsequently marked-to-market to reflect the current value of the option. If an option expires on its stipulated expiration date or if the Portfolio enters into a closing purchase transaction, a gain or loss is realized. If a written call option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. If a written put option is exercised, the cost of the security acquired is decreased by the premium originally received. As a writer of an option, the Portfolio has no control over whether the underlying securities are subsequently sold (call) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security or index underlying the written option. When the Portfolio purchases a call or put option, an amount equal to the premium paid is included as an investment in the Portfolio’s Statement of Assets and Liabilities and is subsequently marked-to-market to reflect the current value of the option. If an option expires on the stipulated expiration date or if the Portfolio enters into a closing sale transaction, a gain or loss is realized. If the Portfolio exercises a call, the cost of the security acquired is increased by the premium paid for the call. If the Portfolio exercises a put option, a gain or loss is realized from the sale of the underlying security, and the proceeds from such sale are decreased by the premium
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originally paid. Written and purchased options are non-income producing securities. The option techniques utilized are generally to hedge against changes in interest rates, foreign currency exchange rates or securities prices in order to establish more definitely the effective return on securities or currencies held or intended to be acquired by the Portfolio, to reduce the volatility of the currency exposure associated with an investment in non-U.S. securities, or as an efficient means of adjusting exposure to the bond, equity and currency markets.
The long and short average monthly notional value of option contracts purchased and written for Wilshire Income Opportunities Fund during the year ended December 31, 2021 were $9,533,295 and $5,507,052, respectively.
The long and short average monthly notional value of swaption contracts purchased and written for Wilshire Income Opportunities during the year ended December 31, 2021 were $11,197,707 and $6,423,539, respectively.
Total Return Swaps – The Large Company Growth Portfolio, Large Company Value Portfolio, and the Wilshire International Equity Fund enter into total return swaps. In a swap transaction, two parties generally agree to exchange the returns (or differentials in rates of return) earned or realized on a particular predetermined reference instrument or instruments, which can be adjusted for an interest rate factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount” (i.e., the return on or increase in value of a particular dollar amount invested in a particular security or other asset or in a “basket” of securities representing a particular index). A party’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of the positions held by each party to the agreement (the “net amount”). An equity swap is an agreement in which at least one party’s payments are based on the rate of return of an equity security or equity index. The other party’s payments can be based on a fixed rate, a non-equity variable rate or even a different equity index. For financial reporting purposes, the unrealized value of such swaps is netted and displayed on the Statements of Assets and Liabilities. Cash collateral that has been pledged to cover obligations of the Portfolio, if any, is reported separately as Margin Deposits for Swap Contracts on the Statements of Assets and Liabilities. The Portfolios use swaps to gain equity exposure of the underlying index.
Interest Rate Swaps – Wilshire Income Opportunities Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. The value of fixed-rate bonds held by the Portfolio may decrease if interest rates rise. In order to reduce such risks, the Portfolio may enter into interest rate swaps. Interest rate swaps involve the exchange of commitments to pay and receive a fixed or floating rate of interest based on a notional principal amount. The risks of interest rate swaps include changes in market conditions that will affect their value or cash flows and the possible inability of the counterparty to fulfill its obligations under the agreement. The Portfolio’s
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maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the swap’s remaining life. Upon entering into a swap contract, the Portfolio is required to satisfy an initial margin requirement by delivering cash to the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Portfolio, if any, is reported separately as Margin Deposits for Swap Contracts on the Statements of Assets and Liabilities. Net periodic interest payments to be received or paid are accrued and settled daily and are recorded as realized gain (loss) on the Statements of Operations. Interest rate swaps are marked-to-market daily and the change is recorded as an unrealized gain (loss) on swap contracts on the Statements of Operations. The average monthly notional value of interest rate swaps for Wilshire Income Opportunities Fund during the year ended December 31, 2021 was $4,968,266.
Credit Default Swaps – During the year ended December 31, 2021, Wilshire Income Opportunities Fund entered into credit default swaps to preserve a return or spread on a particular investment or portion of its portfolio, as a duration management technique and to protect against any increase in the price of securities the Fund anticipates purchasing at a later date. In a credit default swap, the protection buyer makes a stream of payments based on a fixed percentage applied to the contract notional amount to the protection seller in exchange for the right to receive a specified return upon the occurrence of a defined credit event on the reference obligation which may be either a single security or a basket of securities issued by corporate or sovereign issuers. Although contract-specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the swap’s notional amount is recorded as realized gain (for protection written) or loss (for protection sold) in the Statements of Operations. In the case of credit default swaps where the Fund is selling protection, the notional amount approximates the maximum loss. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Portfolio, if any, is reported separately as Margin Deposits for Swap Contracts on the Statements of Assets and Liabilities. The average monthly notional value of credit default swaps for the Wilshire Income Opportunities Fund during the year ended December 31, 2021 was $1,055,000.
Futures Contracts – During the year ended December 31, 2021, Large Company Growth Portfolio, Large Company Value Portfolio, Wilshire International Equity Fund, and Wilshire Income Opportunities Fund held futures contracts. They may use futures contracts to gain exposure or to hedge asset classes such as currencies and fixed income. These Portfolios may use futures contacts as a substitute for taking a position in an underlying asset, to make tactical asset allocations, to seek to minimize risk, to enhance returns and/or assist in managing cash. With futures, there is minimal counterparty credit risk to the Portfolios since futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default.
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Upon entering into a contract, the Portfolios deposit and maintain as collateral, an initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Portfolios agree to receive from or pay to the broker, an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Portfolios as unrealized gains and losses. Variation margin is typically settled daily. When the contract is closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Portfolio, if any, is reported separately as Margin deposits for futures contracts on the Statements of Assets and Liabilities. Non-cash collateral pledged by the Portfolios, if any, is noted in the Condensed Schedules of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount before a transfer has to be made. To the extent amounts due to the Portfolio from its counterparties are not fully collateralized, contractually or otherwise, the Portfolio bears the risk of loss from counterparty nonperformance. The average monthly notional amount of futures contracts held in Large Company Growth Portfolio, Large Company Value Portfolio, Wilshire International Equity Fund, and Wilshire Income Opportunities Fund during the year ended December 31, 2021, were as follows:
Portfolio | Long Contracts | Short Contracts | ||||||
Large Company Growth Portfolio | $ | 1,219,027 | $ | 8,805,336 | ||||
Large Company Value Portfolio | 415,722 | 6,276,663 | ||||||
Wilshire International Equity Fund | 52,136 | 9,989,797 | ||||||
Wilshire Income Opportunities Fund | 46,592,941 | 21,576,875 |
Investment transactions and investment income – Investment transactions are recorded on a trade-date basis. Realized gains and losses from investment transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income is accrued as earned. Discounts and premiums on fixed income securities purchased are accreted or amortized using the effective interest method. Gains and losses on paydowns of mortgage-backed securities are reflected in interest income on the Statements of Operations. Distributions received on investments that represent a return of capital or capital gain are reclassed as a reduction of cost of investments and/or as a realized gain. Withholding taxes on foreign dividends have been provided for in accordance with the Company’s understanding of the applicable country’s tax rules and rates. Settlement on bank loan transactions may be in excess of seven business days.
Foreign taxes – The Portfolios may be subject to foreign taxes related to foreign income received (a portion of which may be reclaimable), capital gains on the sale of securities and certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable regulations and rates that exist in the foreign jurisdictions in which the Portfolios invest.
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December 31, 2021 |
Mortgage, asset-backed and collateralized loan securities – Large Company Growth Portfolio, Large Company Value Portfolio, Wilshire International Equity Fund, and Wilshire Income Opportunities Fund may invest in mortgage, asset-backed and collateralized loan securities, including collateralized loan obligations (“CLOs”), which represent shares in a pool of mortgages or other debt. These securities are generally pass-through securities, which means that principal and interest payments on the underlying securities (less servicing fees) are passed through to owners on a pro rata basis. These securities involve prepayment risk, which is the risk that the underlying mortgages or other debt may be refinanced or paid off before they mature, particularly during periods of declining interest rates. In that case, proceeds from the securities may have to be reinvested at a lower interest rate. This could lower the Portfolios’ return and result in losses to the Portfolios if some securities were acquired at a premium. Potential market gains on a security subject to prepayment risk may be more limited than potential market gains on a comparable security that is not subject to prepayment risk. The Portfolio may also invest in collateralized mortgage obligations (“CMOs”). In a CMO, a series of bonds or certificates is issued in multiple classes, which have varying levels of risks.
Investments in CLOs may be subject to certain tax provisions that could result in the Portfolios incurring tax or recognizing income prior to receiving cash distributions related to such income. CLOs that fail to comply with certain U.S. tax disclosure requirements may be subject to withholding requirements that could adversely affect cash flows and investment results. Any unrealized losses a Portfolio experiences with respect to its CLO investments may be an indication of future realized losses.
Stripped Mortgage-Backed Securities (“SMBS”) – Large Company Growth Portfolio, Large Company Value Portfolio, Wilshire International Equity Fund, and Wilshire Income Opportunities Fund may invest in SMBS. SMBS are derivative multi-class mortgage-backed securities which are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. An SMBS will have one class that will receive all of the interest (the interest-only or “IO” class), while the other class will receive the entire principal (the principal-only or “PO” class). IOs are more volatile and sensitive to the rate of prepayments than other types of mortgage-backed securities, and their value can fall dramatically in response to rapid or unexpected changes in the mortgage, interest rate or economic environment. Payments received for IOs are included in interest income on the Statements of Operations. Because no principal will be received at the maturity of an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statements of Operations. Additionally, any prepayment penalties received for an IO are included in interest income on the Statements of Operations.
Loan participations and assignments – Wilshire Income Opportunities Fund may invest in direct debt instruments which are interests in amounts owed to lenders and lending syndicates by corporate, governmental, or other borrowers. The Portfolio’s investments in loans may be in the form of participations in loans or assignments of
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all or a portion of loans from third parties. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The Portfolio may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. The Portfolio will generally purchase assignments of these loans, in which case it will typically become a lender for purposes of the relevant loan agreement with direct contractual rights against the borrower, including the right to receive payments of principal and interest. When purchasing participation interests in a loan, the Portfolio generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Portfolio may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. The Portfolio may enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments represent a future obligation in full, even though a percentage of the notional loan accounts may not be utilized by the borrower. When investing in a loan participation, the Portfolio has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. In certain circumstances, the Portfolio may receive a penalty fee upon the prepayment of a floating rate loan by a borrower. Fees earned are recorded as a component of interest income on the Statements of Operations. The Portfolio currently holds $73,494 in unfunded loan commitments.
Foreign currency transactions – The books and records of the Portfolios are maintained in U.S. dollars. Foreign currency transactions are translated into U.S. dollars on the following basis:
● | fair value of investment securities, other assets and liabilities at the daily rates of exchange and |
● | purchases and sales of investment securities, dividend and interest income and certain expenses at the rates of exchange prevailing on the respective dates of such transactions. |
The portion of the results of operations caused by changes in foreign exchange rates on investments are not isolated from those caused by changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gains or losses on investments. Foreign currency transactions are related to gains and losses between trade and settlement dates on currency transactions, gains and losses arising from the sales of foreign currency and gains and losses between the ex-dividend and payment dates on dividends, interest and foreign withholding taxes. The effect of changes in foreign exchange rates on realized and unrealized gains or losses is reflected as a component of such gains or losses.
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December 31, 2021 |
Forward Foreign Currency Contracts – Wilshire Income Opportunities Fund may enter into forward foreign currency contracts as hedges against either specific transactions, Portfolio positions or anticipated Portfolio positions. The Portfolio may also engage in currency transactions to enhance the Portfolio’s returns. All commitments are marked-to-market daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded. The Portfolio realizes gains and losses at the time forward foreign currency contracts are closed. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are recognized as ordinary income or loss for federal income tax purposes. Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities. The average monthly notional value of forward foreign currency contracts purchased and sold for Wilshire Income Opportunities Fund during the year ended December 31, 2021, were $56,641,188 and $70,065,336, respectively.
Centrally Cleared Swaps – For swaps that are centrally cleared, initial margins are posted, and daily changes in fair value are recorded as variation margin at the broker and may be recorded as a payable or receivable on the Statements of Assets and Liabilities as “Net variation margin receivable on swaps” and settled daily against the Portfolio’s margin account. Because the Portfolio’s margin does not leave the brokerage account until recalled, centrally cleared swaps are shown at unrealized appreciation (depreciation) on swap contracts, which closely approximates the accumulated variation margin. Initial margin is determined by each relevant clearing agency and is segregated at a broker account registered with the Commodity Futures Trading Commission (“CFTC”), or the applicable regulator. Customer Account Agreements (“CAA”) and related addendums governing the Company’s cleared swap transactions do not provide the Company with legal right of set off and are not associated with a master netting agreement.
Over-the-Counter (“OTC”) Derivative Contracts – To reduce counterparty risk for OTC transactions, Large Company Growth Portfolio, Large Company Value Portfolio, Wilshire International Equity Fund, and Wilshire Income Opportunities Fund have entered into master netting arrangements, established within the International Swap Dealers Association, Inc. (“ISDA”) master agreements, which allow the Portfolios to make (or to have an entitlement to receive) a single net payment in the event of default (close-out netting) for outstanding payables and receivables for certain OTC positions for each individual counterparty. In addition, the Portfolios may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to ISDA master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Portfolios. For financial reporting purposes, the Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
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Notes to Financial Statements - (Continued)
December 31, 2021 |
Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA master agreement or other similar agreement, the collateral requirements are typically calculated by netting the mark-to-market amount of each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Portfolio or the counterparty.
The average monthly notional value of over the counter total return swaps for Large Company Growth Portfolio, Large Company Value Portfolio, and Wilshire International Equity Fund during the year ended December 31, 2021, were $53,969,720, $40,447,059, and $60,508,010, respectively.
The average monthly notional value of over the counter exchange rate volatility swaps for the Wilshire Income Opportunities Fund during the year ended December 31, 2021 was $170,967.
The following table presents, by derivative type, Large Company Growth Portfolio, Large Company Value Portfolio, Wilshire International Equity Fund, and Wilshire Income Opportunities Fund’s financial derivative instruments net of the related collateral pledged by counterparty at December 31, 2021:
Large Company Growth Portfolio
Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||||||||
Counterparty | Total | Futures | Total | Futures | Total | Net | Collateral | Net | ||||||||||||||||||||||||
Goldman Sachs Bank, USA | $ | 6,093,160 | $ | — | $ | 6,093,160 | $ | — | $ | — | $ | 6,093,160 | $ | — | $ | 6,093,160 | ||||||||||||||||
N/A* | — | 188 | 188 | (18,547 | ) | (18,547 | ) | (18,359 | ) | 18,359 | — | |||||||||||||||||||||
Total | $ | 6,093,160 | $ | 188 | $ | 6,093,348 | $ | (18,547 | ) | $ | (18,547 | ) | $ | 6,074,801 | $ | 18,359 | $ | 6,093,160 |
Large Company Value Portfolio
Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||||||||
Counterparty | Total | Futures | Total | Futures | Total | Net | Collateral | Net | ||||||||||||||||||||||||
Goldman Sachs Bank, USA | $ | 3,204,371 | $ | — | $ | 3,204,371 | $ | — | $ | — | $ | 3,204,371 | $ | — | $ | 3,204,371 | ||||||||||||||||
N/A* | — | — | — | (17,312 | ) | (17,312 | ) | (17,312 | ) | 17,312 | — | |||||||||||||||||||||
Total | $ | 3,204,371 | $ | — | $ | 3,204,371 | $ | (17,312 | ) | $ | (17,312 | ) | $ | 3,187,059 | $ | 17,312 | $ | 3,204,371 |
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Wilshire International Equity Fund
Derivative Assets | Derivative | |||||||||||||||||||||||||||||||||||
Counterparty | Total | Futures | Total | Total | Futures | Total | Net | Collateral | Net | |||||||||||||||||||||||||||
Morgan Stanley Capital | $ | 991,633 | $ | — | $ | 991,633 | $ | (225,794 | ) | $ | — | $ | (225,794 | ) | $ | 765,839 | $ | — | $ | 765,839 | ||||||||||||||||
N/A* | — | — | — | — | (19,609 | ) | (19,609 | ) | (19,609 | ) | 19,609 | — | ||||||||||||||||||||||||
Total | $ | 991,633 | $ | — | $ | 991,633 | $ | (225,794 | ) | $ | (19,609 | ) | $ | (245,403 | ) | $ | 746,230 | $ | 19,609 | $ | 765,839 |
Wilshire Income Opportunities Fund
Derivative Assets | ||||||||||||||||||||||||
Counterparty | Forward | Purchased | Futures | Swaptions | Exchange | Total | ||||||||||||||||||
Australia and New Zealand Banking Group Ltd. | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Bank of America, San Francisco | — | — | — | — | — | — | ||||||||||||||||||
Barclays Capital, Inc. | 34,729 | — | — | — | — | 34,729 | ||||||||||||||||||
BNP Paribas Brokerage Services, Inc. | 244,795 | — | — | — | 2,750 | 247,545 | ||||||||||||||||||
BNY Mellon | — | — | — | — | — | — | ||||||||||||||||||
Brown Brothers Harriman & Co. | 23,076 | — | — | — | — | 23,076 | ||||||||||||||||||
CIBC, Toronto | 4,622 | — | — | — | — | 4,622 | ||||||||||||||||||
Citigroup | 175,055 | 31,826 | — | — | — | 206,881 | ||||||||||||||||||
Goldman Sachs Bank, USA | 203,767 | 5,052 | — | 6,383 | 2,300 | 217,502 | ||||||||||||||||||
HSBC Bank, USA | 52,243 | — | — | — | — | 52,243 | ||||||||||||||||||
JPMChase, New York | 31,000 | — | — | — | — | 31,000 | ||||||||||||||||||
Morgan Stanley Capital | 354,053 | — | — | — | — | 354,053 | ||||||||||||||||||
National Australia Bank | 404 | — | — | — | — | 404 | ||||||||||||||||||
Royal Bank of Canada, Toronto | 25,267 | — | — | — | — | 25,267 | ||||||||||||||||||
Standard Chartered Securities N.A. | 39,603 | — | — | — | 2,142 | 41,745 | ||||||||||||||||||
State Street Bank, Boston | 205,929 | — | — | — | — | 205,929 | ||||||||||||||||||
TD Securities, Toronto | — | — | — | — | — | — | ||||||||||||||||||
UBS AG, Stamford | 229,912 | — | — | — | — | 229,912 | ||||||||||||||||||
N/A* | — | — | 24,414 | — | — | 24,414 | ||||||||||||||||||
Total | $ | 1,624,455 | $ | 36,878 | $ | 24,414 | $ | 6,383 | $ | 7,192 | $ | 1,699,322 |
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Derivative Liabilities | ||||||||||||||||||||||||||||||||
Counterparty | Forward | Written | Futures | Swaptions | Total | Net | Collateral | Net | ||||||||||||||||||||||||
Australia and New Zealand Banking Group Ltd. | $ | (13,364 | ) | $ | — | $ | — | $ | — | $ | (13,364 | ) | $ | (13,364 | ) | $ | — | $ | (13,364 | ) | ||||||||||||
Bank of America, San Francisco | (542 | ) | — | — | — | (542 | ) | (542 | ) | — | (542 | ) | ||||||||||||||||||||
Barclays Capital, Inc. | (49,820 | ) | — | — | — | (49,820 | ) | (15,091 | ) | — | (15,091 | ) | ||||||||||||||||||||
BNP Paribas Brokerage Services, Inc. | (165,359 | ) | — | — | — | (165,359 | ) | 82,186 | — | 82,186 | ||||||||||||||||||||||
BNY Mellon | (1,157 | ) | — | — | — | (1,157 | ) | (1,157 | ) | — | (1,157 | ) | ||||||||||||||||||||
Brown Brothers Harriman & Co. | (10,056 | ) | — | — | — | (10,056 | ) | 13,020 | — | 13,020 | ||||||||||||||||||||||
CIBC, Toronto | (68,078 | ) | — | — | — | (68,078 | ) | (63,456 | ) | — | (63,456 | ) | ||||||||||||||||||||
Citigroup | (140,863 | ) | (9,817 | ) | — | — | (150,680 | ) | 56,201 | — | 56,201 | |||||||||||||||||||||
Goldman Sachs Bank, USA | (99,787 | ) | — | — | (2,738 | ) | (102,525 | ) | 114,977 | — | 114,977 | |||||||||||||||||||||
HSBC Bank, USA | (34,088 | ) | — | — | — | (34,088 | ) | 18,155 | — | 18,155 | ||||||||||||||||||||||
JPMChase, New York | (44,243 | ) | — | — | — | (44,243 | ) | (13,243 | ) | — | (13,243 | ) | ||||||||||||||||||||
Morgan Stanley Capital | (331,149 | ) | — | — | — | (331,149 | ) | 22,904 | — | 22,904 | ||||||||||||||||||||||
National Australia Bank | — | — | — | — | — | 404 | — | 404 | ||||||||||||||||||||||||
Royal Bank of Canada, Toronto | (22,021 | ) | — | — | — | (22,021 | ) | 3,246 | — | 3,246 | ||||||||||||||||||||||
Standard Chartered Securities N.A. | (56,454 | ) | — | — | — | (56,454 | ) | (14,709 | ) | — | (14,709 | ) | ||||||||||||||||||||
State Street Bank, Boston | (336,736 | ) | — | — | — | (336,736 | ) | (130,807 | ) | — | (130,807 | ) | ||||||||||||||||||||
TD Securities, Toronto | (220 | ) | — | — | — | (220 | ) | (220 | ) | — | (220 | ) | ||||||||||||||||||||
UBS AG, Stamford | (86,710 | ) | — | — | — | (86,710 | ) | 143,202 | — | 143,202 | ||||||||||||||||||||||
N/A* | — | — | (60,343 | ) | — | (60,343 | ) | (35,929 | ) | 35,929 | — | |||||||||||||||||||||
Total | $ | (1,460,647 | ) | $ | (9,817 | ) | $ | (60,343 | ) | $ | (2,738 | ) | $ | (1,533,545 | ) | $ | 165,777 | $ | 35,929 | $ | 201,706 |
* | Futures contracts are exchange traded, therefore, other than the exchange, there is not a counterparty to the contract. |
** | Actual collateral pledged, or margin deposits in the case of futures contracts, may be larger than reported in order to satisfy broker or exchange requirements. |
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Expense policy – Distribution and shareholder service fees directly attributable to a Class of shares are charged to that class’ operating expenses. Expenses of a Portfolio other than distribution and service fees are prorated among the classes to which the expense relates based on the relative net assets of each class of shares. Expenses directly attributable to a Portfolio are charged to that Portfolio. Expenses not directly attributable to a Portfolio are allocated proportionately among all Portfolios daily in relation to the net assets of each Portfolio or another reasonable basis.
Expenses that are attributable to both the Company and the Wilshire Variable Insurance Trust (an affiliated registered investment company) are allocated across the Company and the Wilshire Variable Insurance Trust based upon relative net assets or another reasonable basis. Expenses and fees, including the advisory fees, are accrued daily and taken into account for the purpose of determining the net asset value (“NAV”) of each Class of each Portfolio’s shares.
Investments in REITs – With respect to each Portfolio, dividend income is recorded based on the income included in distributions received from its REIT investments using published REIT reclassifications including some management estimates when actual amounts are not available. Distributions received in excess of these estimated amounts are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year end, and may differ from the estimated amounts.
Master Limited Partnerships (“MLPs”) – Each Portfolio may invest in MLPs, which are limited partnerships or limited liability companies whose partnership units or limited liability interests are listed and traded on a U.S. securities exchange. MLPs are treated as publicly traded partnerships for federal income tax purposes. To qualify to be treated as a partnership for tax purposes, an MLP must receive at least 90% of its income from qualifying sources as set forth in Section 7704(d) of the Internal Revenue Code of 1986, as amended (the “Code”). These qualifying sources include activities such as the exploration, development, mining, production, processing, refining, transportation, storage and marketing of mineral or natural resources. MLPs generally have two classes of owners, the general partner and limited partners. MLPs that are formed as limited liability companies generally have two analogous classes of owners, the managing member and the members. For purposes of this section, references to general partners also apply to managing members and references to limited partners also apply to members. The general partner is typically owned by a major energy company, an investment fund, the direct management of the MLP, or is an entity owned by one or more of such parties. The general partner may be structured as a private or publicly traded corporation or other entity. The general partner typically controls the operations and management of the MLP through an equity interest in the MLP of as much as 2% plus, in many cases, ownership of common units and subordinated units. Limited partners own the remainder of the MLP through ownership of common units and have a limited role in the MLP’s operations and management.
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Distributions to shareholders – Distributions to shareholders are recorded on the ex-dividend date. Distributions from net investment income, if any, are declared and paid at least once a year. The Portfolios’ net realized capital gains, unless offset by any available capital loss carryforward, are distributed to shareholders at least once a year. Additional distributions of net investment income and net realized capital gains may be made at the discretion of the Board in order to avoid the application of a 4% non-deductible Federal excise tax.
Redemption fees – Wilshire International Equity Fund charges a redemption fee of 1% on redemption of its shares held for sixty days or less, subject to certain exceptions. During the year ended December 31, 2021, and the year ended December 31, 2020, Wilshire International Equity Fund collected $3,905 and $4,003, respectively, in redemption fees.
New Accounting and Regulatory Pronouncements – In March 2020, FASB issued Accounting Standards Update (ASU) 2020-04, Reference Rate Reform (Topic 848)—Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022.
On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Portfolios will be required to implement and comply with Rule 18f-4 by August 19, 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treat derivatives as senior securities and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.
3. Investment Adviser and Other Service Providers.
Pursuant to the Advisory Agreement between the Company and the Adviser, the Adviser charges annual fees of 0.75% of average daily net assets for the first $1 billion and 0.65% thereafter for each of Large Company Growth Portfolio and Large Company Value Portfolio; 0.85% of average daily net assets for the first $1 billion and 0.75% thereafter for each of Small Company Growth Portfolio and Small Company Value Portfolio; 0.10% of the average daily net assets for the first $1 billion and 0.07% thereafter for Wilshire 5000 IndexSM Fund; 1.00% of the average daily net assets for the first $1 billion and 0.90% thereafter for Wilshire International Equity Fund; and 0.60% of average daily net assets for Wilshire Income Opportunities Fund.
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The Adviser has entered into expense limitation agreements with Large Company Growth Portfolio requiring the Adviser to reduce its management fees or reimburse expenses to limit expenses of such Portfolios (excluding taxes, brokerage expenses, dividend expenses on short securities, and extraordinary expenses) to 1.30% and 1.00% of average daily net assets for Investment Class Shares and Institutional Class Shares, respectively. The Adviser has entered into expense limitation agreements with Small Company Growth Portfolio and Small Company Value Portfolio requiring the Adviser to reduce its management fees or reimburse expenses to limit expenses of such Portfolios (excluding taxes, brokerage expenses, dividend expenses on short securities, and extraordinary expenses) to 1.35% and 1.10% of average daily net assets for Investment Class Shares and Institutional Class Shares, respectively. The Adviser has also entered into an expense limitation agreement with Wilshire International Equity Fund requiring the Adviser to reduce its management fees or reimburse expenses to limit expenses of such Portfolio (excluding taxes, brokerage expenses, dividend expenses on short securities, and extraordinary expenses) to 1.50% and 1.25% of average daily net assets for Investment Class Shares and Institutional Class Shares, respectively. The Adviser has also entered into an expense limitation agreement with Wilshire Income Opportunities Fund requiring the Adviser to reduce its management fees or reimburse expenses to limit expenses of such Portfolio (excluding taxes, brokerage expenses, dividend expenses on short securities, acquired fund fees and expenses and extraordinary expenses) to 1.15% and 0.90% of average daily net assets for Investment Class Shares and Institutional Class Shares, respectively. These agreements to limit expenses continue through at least April 30, 2022. The Adviser may recoup the amount of any fee reductions or expense reimbursements within three years after the day on which it reduced its fees or reimbursed expenses if the recoupment does not cause a Portfolio’s expenses to exceed the expense limitation that was in place at the time of the fee reduction or expense reimbursement.
During the year ended December 31, 2021, the Adviser reduced fees, reimbursed expenses or recouped fees as follows:
Portfolio | Fee Reductions/ | Fees Recouped | ||||||
Large Company Growth Portfolio | $ | 1,620 | $ | 5,090 | ||||
Small Company Growth Portfolio | 112,600 | — | ||||||
Small Company Value Portfolio | 133,921 | — | ||||||
Wilshire International Equity Fund | 372,589 | — | ||||||
Wilshire Income Opportunities Fund | 77,038 | — |
As of December 31, 2021, the amounts of fee reductions and expense reimbursements subject to recovery by the Adviser from Large Company Growth Portfolio, Small Company Growth Portfolio, Small Company Value Portfolio, Wilshire International Equity Fund
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and Wilshire Income Opportunities Fund are $18,096, $342,117, $407,530, $708,617, and $136,506, respectively. The portions of these amounts that the Adviser may recover expire no later than the following dates:
Portfolio | December 31, | December 31, | December 31, | |||||||||
Large Company Growth Portfolio | $ | 2,524 | $ | 13,952 | $ | 1,620 | ||||||
Small Company Growth Portfolio | 106,613 | 122,904 | 112,600 | |||||||||
Small Company Value Portfolio | 110,173 | 163,436 | 133,921 | |||||||||
Wilshire International Equity Fund | 131,671 | 204,357 | 372,589 | |||||||||
Wilshire Income Opportunities Fund | 1,342 | 58,126 | 77,038 |
The Board has approved Los Angeles Capital Management and Equity Research, Inc. (“L.A. Capital”), Pzena Investment Management, LLC (“Pzena”), Massachusetts Financial Services Company (d/b/a MFS Investment Management) (“MFS”), Ranger Investment Management, LLC (“Ranger”), AllianceBernstein, L.P. (“AllianceBernstein”), Granahan Investment Management, Inc. (“Granahan”), DoubleLine® Capital LP (“DoubleLine”), WCM Investment Management, LLC (“WCM”), Voya Investment Management Co. LLC (“Voya”), Manulife Asset Management (US) LLC (“Manulife”), Lazard Asset Management LLC (“Lazard”), Hotchkis & Wiley Capital Management, LLC (“H&W”), Diamond Hill Capital Management, Inc. (“Diamond Hill”), and Fred Alger Management, LLC (“Alger Management”), (collectively the “Sub-Advisers”) to provide sub-advisory services for the Portfolios. L.A. Capital, AllianceBernstein, Alger Management and Voya each manage a portion of Large Company Growth Portfolio. L.A. Capital, Hotchkis & Wiley, MFS and Voya each manage a portion of Large Company Value Portfolio. L.A. Capital, Ranger, and Granahan each manage a portion of Small Company Growth Portfolio. L.A. Capital, H&W and Diamond Hill each manage a portion of Small Company Value Portfolio. L.A. Capital is the sole sub-adviser for Wilshire 5000 IndexSM Fund. L.A. Capital, Pzena, Lazard, WCM and Voya each manage a portion of Wilshire International Equity Fund. DoubleLine, Voya and Manulife each manage a portion of Wilshire Income Opportunities Fund.
The Sub-Advisers are subject to the Adviser’s oversight. The fees of the Sub-Advisers are paid by the Adviser.
Commissions earned by Fred Alger & Company, LLC, an affiliate of Alger Management, for services rendered as a registered broker-dealer in securities transactions for Large Company Growth Portfolio for the year ended December 31, 2021, totaled $1,331.
The Portfolios are permitted to purchase and sell securities from or to certain affiliates under specific conditions outlined in the Rule 17a-7 procedures adopted by the Board. The procedures are designed to ensure that any purchase or sale of securities by a Portfolio from or to another mutual fund or separate account that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated
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investment advisers), common trustees and/or common officers complies with Rule 17a-7 under the 1940 Act. During the year ended December 31, 2021, there were no such transactions by the Portfolios.
U.S. Bank N.A. serves as the Trust’s custodian. U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services, (the “Administrator”) serves as the Company’s administrator and accounting agent and also serves as the Trust’s transfer agent and dividend disbursing agent. Compass Distributors, LLC, serves as the Company’s principal underwriter. Certain officers and an interested Trustee of the Trust may also be officers or employees of the Adviser, Administrator or their affiliates. They receive no fees for serving as officers or as an interested Trustee of the Trust.
Officers’ and Directors’ Expenses – During the year ended December 31, 2021, the Company and the Wilshire Variable Insurance Trust together paid each director who is not an interested person of the Company (“Independent Director”) an annual retainer of $48,000, an annual additional retainer for each Committee chair of $12,000 and an annual additional retainer to the Board chair of $12,000. In addition, each Independent Director is compensated for Board and Committee meeting attendance in accordance with the following schedule: an in-person Board meeting fee of $6,000 for Independent Directors and $7,000 for the Board chair; a telephonic Board meeting fee of $3,000 for Independent Directors and $3,500 for the Board chair; and a telephonic Committee meeting fee of $500.
4. Distribution Plan, Shareholder Services Plan and Fees Paid Indirectly.
The Board has adopted a shareholder services and distribution plan (the “Plan”), pursuant to Rule 12b-1 under the 1940 Act, on behalf of the Investment Class Shares of each Portfolio. Under the Plan, each Portfolio may pay up to 0.25% of the value of the average daily net assets attributable to the Investment Class Shares for certain services provided by financial intermediaries or for certain distribution expenses for the purpose of financing any activity intended to result in the sale of Investment Class Shares. During the year ended December 31, 2021, the distribution and service fee expenses incurred by the Investment Class of the Portfolios was 0.25% of the respective average net assets of the Investment Class of each Portfolio, except the Wilshire 5000 IndexSM Fund. The Wilshire 5000 IndexSM Fund incurred distribution and service fee expenses totaling 0.18% of the average net assets of the Investment Class.
In addition, Investment Class Shares and Institutional Class Shares pay the expenses associated with certain shareholder servicing arrangements with third parties, provided that payment of such fees does not exceed in any year 0.20% and 0.15% of the average
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daily net assets of Investment Class Shares and Institutional Class Shares, respectively. For the year ended December 31, 2021, the shareholder service provider fees were as follows (as a percent of average net assets of each class):
Portfolio | Investment Class | Institutional Class |
Large Company Growth Portfolio | 0.125% | 0.047% |
Large Company Value Portfolio | 0.123% | 0.046% |
Small Company Growth Portfolio | 0.096% | 0.095% |
Small Company Value Portfolio | 0.135% | 0.095% |
Wilshire 5000 IndexSM Fund | 0.063% | 0.027% |
Wilshire International Equity Fund | 0.169% | 0.041% |
Wilshire Income Opportunities Fund | 0.184% | 0.051% |
Fees paid indirectly – The Company has a brokerage commission recapture program with Cowen and Company, LLC (“Cowen”), pursuant to which a portion of the Portfolios’ commissions generated from transactions directed to Cowen are used to reduce the Portfolios’ expenses. Under such program, Cowen, as introducing broker, retains a portion of the Portfolios’ commissions.
Such commissions rebated to the Portfolios during the year ended December 31, 2021, were as follows:
Large Company Growth Portfolio | $ | 1,084 | ||
Large Company Value Portfolio | 105 | |||
Small Company Growth Portfolio | 1,132 | |||
Small Company Value Portfolio | 696 | |||
Wilshire 5000 IndexSM Fund | — | |||
Wilshire International Equity Fund | 5,676 | |||
Wilshire Income Opportunities Fund | — |
For the year ended December 31, 2021, Cowen retained the following commissions:
Large Company Growth Portfolio | $ | 331 | ||
Large Company Value Portfolio | 608 | |||
Small Company Growth Portfolio | 953 | |||
Small Company Value Portfolio | 148 | |||
Wilshire 5000 IndexSM Fund | — | |||
Wilshire International Equity Fund | 1,759 | |||
Wilshire Income Opportunities Fund | — |
5. Line of Credit.
The Company and the Wilshire Variable Insurance Trust have a $75,000,000 umbrella line of credit (the “Line”), which is uncommitted and senior secured with U.S. Bank N.A. The Line serves as a temporary liquidity service to meet redemption requests that
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otherwise might require the untimely disposition of securities. Borrowings made by a Portfolio are secured by the Portfolios assets. The Line has a one-year term and is reviewed annually by the Board of Directors. The Line matures, unless renewed, on January 6, 2023. Interest is charged at the prime rate, which was 3.25% as of December 31, 2021. During the year ended December 31, 2021, the Wilshire Income Opportunities Fund did not have any borrowings under the Line. During the year ended December 31, 2021, the Large Company Growth Portfolio, Large Company Value Portfolio, Small Company Growth Portfolio, Small Company Value Portfolio, Wilshire 5000 IndexSM Fund and Wilshire International Equity Fund, Line activity was as follows:
Fund | Average | Interest | Maximum | Maximum | Average | |||||||||||||||
Large Company Growth Portfolio | 3.25 | % | $ | 7,388 | $ | 9,411,000 | December 14, 2021 | $ | 224,882 | |||||||||||
Large Company Value Portfolio | 3.25 | % | 1,735 | 4,117,000 | December 14, 2021 | 47,008 | ||||||||||||||
Small Company Growth Portfolio | 3.25 | % | 1,655 | 3,059,000 | February 5, 2021 | 50,225 | ||||||||||||||
Small Company Value Portfolio | 3.25 | % | 1,410 | 3,851,000 | February 5, 2021 | 42,784 | ||||||||||||||
Wilshire 5000 IndexSM Fund | 3.25 | % | 174 | 491,000 | February 5, 2021 | 5,279 | ||||||||||||||
Wilshire International Equity Fund | 3.25 | % | 8,277 | 10,874,000 | February 5, 2021 | 251,178 |
6. Investment Transactions.
During the year ended December 31, 2021, aggregate cost of purchases and proceeds from sales and maturities of investments, other than affiliated investments, short-term investments, short sales and purchases to cover short sales, and U.S. Government securities, were as follows:
Portfolio | Purchases | Sales and | ||||||
Large Company Growth Portfolio | $ | 210,649,859 | $ | 227,129,150 | ||||
Large Company Value Portfolio | 168,621,196 | 179,245,447 | ||||||
Small Company Growth Portfolio | 26,554,342 | 42,266,607 | ||||||
Small Company Value Portfolio | 16,427,708 | 29,409,195 | ||||||
Wilshire 5000 IndexSM Fund | 21,075,537 | 28,420,859 | ||||||
Wilshire International Equity Fund | 135,018,102 | 167,073,112 | ||||||
Wilshire Income Opportunities Fund | 143,859,053 | 144,539,379 |
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Purchases and sales and maturities of long-term U.S. Government securities during the year ended December 31, 2021 were:
Portfolio | Purchases | Sales and | ||||||
Large Company Growth Portfolio | $ | 10,336,373 | $ | 9,603,279 | ||||
Large Company Value Portfolio | 8,615,689 | 7,885,298 | ||||||
Wilshire International Equity Fund | 15,897,010 | 14,423,044 | ||||||
Wilshire Income Opportunities Fund | 177,697,934 | 176,928,256 |
Due to Voya managing a portion of Large Company Growth Portfolio, Large Company Value Portfolio, Wilshire International Equity Fund, and Wilshire Income Opportunities Fund during the year ended December 31, 2021, certain securities held by such Portfolios are considered affiliated investments. Purchases and sales of shares of affiliated registered investment companies by Large Company Growth Portfolio, Large Company Value Portfolio, Wilshire International Equity Fund, and Wilshire Income Opportunities Fund during the year ended December 31, 2021, and the value of such investments as of December 31, 2021, were as follows:
Large Company Growth Portfolio
Fund | Value as of | Purchases | Proceeds | Realized | Change in | Value as of | Income | Long-Term | ||||||||||||||||||||||||
Voya Emerging Markets Hard Currency Debt Fund - Class P | $ | 2,089,744 | $ | 305,407 | $ | — | $ | — | $ | (154,559 | ) | $ | 2,240,592 | $ | 105,567 | $ | — | |||||||||||||||
Voya High Yield Bond Fund - Class P | 2,526,256 | 369,354 | (800,000 | ) | 20,094 | (33,283 | ) | 2,082,421 | 115,772 | — | ||||||||||||||||||||||
Voya Investment Grade Credit Fund - Class P | 2,468,643 | 201,583 | (1,650,000 | ) | (118,539 | ) | 4,515 | 906,202 | 36,602 | 10,058 | ||||||||||||||||||||||
Voya Securitized Credit Fund - Class P | 8,303,211 | 1,368,916 | (1,200,000 | ) | 35,020 | 42,331 | 8,549,478 | 269,844 | — | |||||||||||||||||||||||
$ | 15,387,854 | $ | 2,245,260 | $ | (3,650,000 | ) | $ | (63,425 | ) | $ | (140,996 | ) | $ | 13,778,693 | $ | 527,785 | $ | 10,058 |
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December 31, 2021 |
Large Company Value Portfolio
Fund | Value as of | Purchases | Proceeds | Realized | Change in | Value as of | Income | Long-Term | ||||||||||||||||||||||||
Voya Emerging Markets Hard Currency Debt Fund - Class P | $ | 1,358,333 | $ | 470,495 | $ | — | $ | — | $ | (106,105 | ) | $ | 1,722,723 | $ | 71,691 | $ | — | |||||||||||||||
Voya High Yield Bond Fund - Class P | 1,631,540 | 286,937 | (300,000 | ) | 7,301 | (15,197 | ) | 1,610,581 | 85,800 | — | ||||||||||||||||||||||
Voya Investment Grade Credit Fund - Class P | 2,622,934 | 486,638 | (900,000 | ) | (63,765 | ) | (62,092 | ) | 2,083,715 | 60,543 | 23,128 | |||||||||||||||||||||
Voya Securitized Credit Fund - Class P | 5,319,256 | 1,394,752 | — | — | �� | 49,824 | 6,763,832 | 199,126 | — | |||||||||||||||||||||||
$ | 10,932,063 | $ | 2,638,822 | $ | (1,200,000 | ) | $ | (56,464 | ) | $ | (133,570 | ) | $ | 12,180,851 | $ | 417,160 | $ | 23,128 |
Wilshire International Equity Fund
Fund | Value as of | Purchases | Proceeds | Realized | Change in | Value as of | Income | Long-Term | ||||||||||||||||||||||||
Voya Emerging Markets Hard Currency Debt Fund - Class P | $ | 2,350,962 | $ | 116,941 | $ | — | $ | — | $ | (169,178 | ) | $ | 2,298,725 | $ | 116,202 | $ | — | |||||||||||||||
Voya High Yield Bond Fund - Class P | 2,842,037 | 149,407 | (500,000 | ) | 12,099 | (24,096 | ) | 2,479,447 | 145,981 | — | ||||||||||||||||||||||
Voya Investment Grade Credit Fund - Class P | 2,262,923 | 46,796 | (1,500,000 | ) | (106,183 | ) | 6,048 | 709,584 | 34,195 | 7,876 | ||||||||||||||||||||||
Voya Securitized Credit Fund - Class P | 9,263,281 | 324,414 | (600,009 | ) | 14,057 | 83,736 | 9,085,479 | 324,115 | — | |||||||||||||||||||||||
$ | 16,719,203 | $ | 637,558 | $ | (2,600,009 | ) | $ | (80,027 | ) | $ | (103,490 | ) | $ | 14,573,235 | $ | 620,493 | $ | 7,876 |
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December 31, 2021 |
Wilshire Income Opportunities Fund
Fund | Value as of | Purchases | Proceeds | Realized | Change in | Value as of | Income | Long-Term | ||||||||||||||||||||||||
Voya Emerging Markets Hard Currency Debt Fund - Class P | $ | 5,544,550 | $ | 264,559 | $ | (300,000 | ) | $ | 18,607 | $ | (399,602 | ) | $ | 5,128,114 | $ | 260,981 | $ | — | ||||||||||||||
Voya Floating Rate Fund - Class P | 9,793,585 | 2,219,642 | — | — | 68,417 | 12,081,644 | 430,143 | — | ||||||||||||||||||||||||
Voya High Yield Bond Fund - Class P | 3,752,640 | 227,540 | — | — | (14,236 | ) | 3,965,944 | 225,189 | — | |||||||||||||||||||||||
$ | 19,090,775 | $ | 2,711,741 | $ | (300,000 | ) | $ | 18,607 | $ | (345,421 | ) | $ | 21,175,702 | $ | 916,313 | $ | — |
7. Derivative Transactions.
Small Company Growth Portfolio, Small Company Value Portfolio and Wilshire 5000 IndexSM Fund did not hold any derivative instruments as of or during the year ended December 31, 2021.
At December 31, 2021, Large Company Growth Portfolio is invested in derivative contracts, which are reflected in the Portfolio’s Statement of Assets and Liabilities, as follows:
Derivative Assets | Derivative Liabilities | ||||||||||
Risk | Derivative Type | Statement of Assets | Fair Value | Statement of Assets | Fair Value | ||||||
Interest Rate | Futures contracts* | N/A | $ | — | Net variation margin payable on futures contracts | $ | (132,960 | ) | |||
Equity | Total return swap contracts | Net unrealized appreciation on swap contracts | 6,093,160 | N/A | — | ||||||
|
|
| $ | 6,093,160 |
| $ | (132,960 | ) |
* | Includes cumulative appreciation (depreciation) as reported on the Schedules of Futures Contracts. For futures contracts, only current day’s variation margin is reported within the Portfolio’s Statement of Assets and Liabilities. |
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December 31, 2021 |
At December 31, 2021, Large Company Value Portfolio is invested in derivative contracts, which are reflected in the Portfolio’s Statement of Assets and Liabilities, as follows:
Derivative Assets | Derivative Liabilities | ||||||||||
Risk | Derivative Type | Statement of Assets | Fair Value | Statement of Assets | Fair Value | ||||||
Interest Rate | Futures contracts* | Net variation margin payable on futures contracts | $ | 346 | Net variation margin payable on futures contracts | $ | (106,344 | ) | |||
Equity | Total return swap contracts | Net unrealized appreciation on swap contracts | 3,204,371 | N/A | — | ||||||
$ | 3,204,717 | $ | (106,344 | ) |
* | Includes cumulative appreciation (depreciation) as reported on the Schedules of Futures Contracts. For futures contracts, only current day’s variation margin is reported within the Portfolio’s Statement of Assets and Liabilities. |
At December 31, 2021, Wilshire International Equity Fund is invested in derivative contracts, which are reflected in the Portfolio’s Statement of Assets and Liabilities, as follows:
Derivative Assets | Derivative Liabilities | ||||||||||
Risk | Derivative Type | Statement of Assets | Fair Value | Statement of Assets | Fair Value | ||||||
Interest Rate | Futures contracts* | Net variation margin payable on futures contracts | $ | 123 | Net variation margin payable on futures contracts | $ | (144,714 | ) | |||
Equity | Total return swap contracts | Net unrealized appreciation on swap contracts | 991,633 | Net unrealized appreciation on swap contracts | (225,794 | ) | |||||
$ | 991,756 | $ | (370,508 | ) |
* | Includes cumulative appreciation (depreciation) as reported on the Schedules of Futures Contracts. For futures contracts, only current day’s variation margin is reported within the Portfolio’s Statement of Assets and Liabilities. |
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December 31, 2021 |
At December 31, 2021, Wilshire Income Opportunities Fund is invested in derivative contracts, which are reflected in the Portfolio’s Statement of Assets and Liabilities, as follows:
Derivative Assets | Derivative Liabilities | ||||||||||
Risk | Derivative Type | Statement of Assets | Fair Value | Statement of Assets | Fair Value | ||||||
Interest Rate | Futures contracts* | Net variation margin payable on futures contracts | $ | 174,337 | Net variation margin payable on futures contracts | $ | (315,070 | ) | |||
Centrally cleared interest rate swaps* | Net variation margin receivable on swaps | 1,667 | Net variation margin receivable on swaps | (1,717 | ) | ||||||
OTC interest rate swaptions | Unrealized appreciation on swaption contracts | 6,383 | Unrealized depreciation on swaption contracts | (2,738 | ) | ||||||
Credit | Centrally cleared credit default swap contracts* | N/A | — | Net variation margin receivable on swaps | (1,835 | ) | |||||
Currency | Forward foreign currency exchange contracts | Unrealized appreciation on foreign forward currency contracts | 1,624,455 | Unrealized depreciation on foreign forward currency contracts | (1,460,647 | ) | |||||
OTC exchange rate volatility swaps | Net unrealized appreciation on swap contracts | 7,192 | N/A | — | |||||||
OTC currency options | Unaffiliated investments, at value | 5,052 | N/A | — | |||||||
Equity | OTC equity options | Unaffiliated investments, at value | 31,826 | Options written, at value | (9,817 | ) | |||||
$ | 1,850,912 | $ | (1,791,824 | ) |
* | Includes cumulative appreciation (depreciation) as reported on the Schedules of Futures Contracts, Schedule of Centrally Cleared Credit Default Swaps, and Schedule of Centrally Cleared Interest Rate Swaps. For futures contracts, centrally cleared credit default swaps, and centrally cleared interest rate swaps, only current day’s variation margin is reported within the Portfolio’s Statement of Assets and Liabilities. |
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December 31, 2021 |
For the year ended December 31, 2021, the effect of derivative contracts in Large Company Growth Portfolio’s Statement of Operations was as follows:
Statement of Operations | ||||||||||
Risk | Derivative Type | Location | Net Realized | Net Change | ||||||
Interest Rate | Futures contracts | Futures contracts | $ | 614,335 | $ | (158,879 | ) | |||
Equity | Total return swap contracts | Swap contracts | 14,280,018 | (1,835,435 | ) |
For the year ended December 31, 2021, the effect of derivative contracts in Large Company Value Portfolio’s Statement of Operations was as follows:
Statement of Operations | ||||||||||
Risk | Derivative Type | Location | Net Realized | Net Change | ||||||
Interest Rate | Futures contracts | Futures contracts | $ | 388,431 | $ | (123,995 | ) | |||
Equity | Total return swap contracts | Swap contracts | 9,638,710 | (961,452 | ) |
For the year ended December 31, 2021, the effect of derivative contracts in Wilshire International Equity Fund’s Statement of Operations was as follows:
Statement of Operations | ||||||||||
Risk | Derivative Type | Location | Net Realized | Net Change | ||||||
Interest Rate | Futures contracts | Futures contracts | $ | 626,418 | $ | (169,894 | ) | |||
Equity | Total return swap contracts | Swap contracts | 10,915,532 | (6,976,916 | ) |
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December 31, 2021 |
For the year ended December 31, 2021, the effect of derivative contracts in Wilshire Income Opportunities Fund’s Statement of Operations was as follows:
Statement of Operations | ||||||||||
Risk | Derivative Type | Location | Net Realized | Net Change | ||||||
Interest Rate | Futures contracts | Futures contracts | $ | (561,733 | ) | $ | (294,885 | ) | ||
Interest Rate | Swaptions | Swaption contracts | 498,460 | 3,645 | ||||||
Interest Rate | Swap contracts | Swap contracts | (434,601 | ) | (50 | ) | ||||
Interest Rate Total | (497,874 | ) | (291,290 | ) | ||||||
Credit | Swaptions | Swaption contracts | (103,054 | ) | 14,104 | |||||
Credit | Swap contracts | Swap contracts | (46,339 | ) | (977 | ) | ||||
Credit Total | (149,393 | ) | 13,127 | |||||||
Currency | Forward foreign currency exchange contracts | Forward foreign currency contracts | 34,553 | 171,971 | ||||||
Currency | Written options | Option contracts written | 165,654 | (4,656 | ) | |||||
Currency | Purchased options | Unaffiliated investments | (128,975 | ) | 32,836 | |||||
Currency | Swap contracts | Swap contracts | — | 7,192 | ||||||
Currency Total | 71,232 | 207,343 | ||||||||
Equity | Written options | Option contracts written | 14,380 | 31,734 | ||||||
Equity | Purchased options | Unaffiliated investments | (12,760 | ) | (45,772 | ) | ||||
Total Equity | 1,620 | (14,038 | ) |
8. Securities Lending.
Each Portfolio may seek additional income by lending its securities on a short-term basis to banks, brokers and dealers in return for cash collateral, which is invested in a U.S. Bank Money Market Deposit Account. A Portfolio may return a portion of the interest earned to the borrower or a third party that is unaffiliated with the Company and acting as a “placing broker.” A Portfolio receives compensation for lending securities in the form of fees. A Portfolio also continues to receive dividends on the securities loaned. Security loans are secured at all times by collateral. It is the Company’s policy that the collateral be equal to at least 102% of
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December 31, 2021 |
the market value of the securities loaned (105% if the securities loaned are denominated in different currencies) plus accrued interest when the transaction is entered into, and that the collateral supporting the loans be valued daily. However, due to market fluctuations during the day, the value of securities loaned on a particular day may, during the course of the day, exceed the value of collateral. On each business day, the amount of collateral is adjusted based on the prior day’s market fluctuations and the current day’s lending activity. Gain or loss in the market price of the securities loaned that may occur during the term of the loan are reflected in the value of the Portfolio. The risks from securities lending are that the borrower may not provide additional collateral when required or return the securities when due or when called for by the Portfolio. Lending securities entails a risk of loss to the Portfolio if and to the extent that the market value of securities loans were to increase, the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. U.S. Bank N.A., the Portfolios’ custodian, acts as the securities lending agent for the Portfolios. The value of the securities on loan and the cash collateral at December 31, 2021 are shown on the Statements of Assets and Liabilities. Proceeds from cash collateral received from securities on loan were invested in a U.S. Bank Money Market Deposit Account.
The following table is a summary of the Portfolios’ securities lending transactions accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2021:
Portfolio | Gross Amount | Value of | ||||||
Large Company Growth Portfolio | $ | 61,026 | $ | 61,026 | ||||
Large Company Value Portfolio | 184,160 | 184,160 | ||||||
Small Company Growth Portfolio | 324,858 | 324,858 | ||||||
Small Company Value Portfolio | 351,050 | 351,050 | ||||||
Wilshire 5000 IndexSM Fund | 1,196,568 | 1,196,568 | ||||||
Wilshire International Equity Fund | 91,599 | 91,599 | ||||||
Wilshire Income Opportunities Fund | 4,766,653 | 4,766,653 |
* | The amount of collateral reflected in the table above does not include any over collateralization received by the Portfolios. |
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December 31, 2021 |
9. Capital Share Transactions.
Transactions in shares of the Portfolios are summarized below:
LARGE COMPANY | LARGE COMPANY | SMALL COMPANY | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||||||||||
Investment Class shares: | ||||||||||||||||||||||||
Shares sold | 20,194 | 37,293 | 13,915 | 27,401 | 7,960 | 15,609 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 358,588 | 311,261 | 25,451 | 2,744 | 119,625 | 40,112 | ||||||||||||||||||
Shares redeemed | (185,544 | ) | (255,209 | ) | (46,163 | ) | (52,958 | ) | (56,458 | ) | (58,652 | ) | ||||||||||||
Net increase (decrease) in Investment Class shares outstanding | 193,238 | 93,345 | (6,797 | ) | (22,813 | ) | 71,127 | (2,931 | ) | |||||||||||||||
Shares outstanding at beginning of year | 1,751,372 | 1,658,027 | 278,974 | 301,787 | 359,708 | 362,639 | ||||||||||||||||||
Shares outstanding at end of year | 1,944,610 | 1,751,372 | 272,177 | 278,974 | 430,835 | 359,708 | ||||||||||||||||||
Institutional Class shares: | ||||||||||||||||||||||||
Shares sold | 414,382 | 1,206,598 | 1,606,053 | 3,843,478 | 86,290 | 145,605 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 656,370 | 597,865 | 1,059,648 | 96,914 | 250,636 | 114,726 | ||||||||||||||||||
Shares redeemed | (722,747 | ) | (1,530,427 | ) | (2,232,678 | ) | (3,722,688 | ) | (443,984 | ) | (981,417 | ) | ||||||||||||
Net increase (decrease) in Institutional Class shares outstanding | 348,005 | 274,036 | 433,023 | 217,704 | (107,058 | ) | (721,086 | ) | ||||||||||||||||
Shares outstanding at beginning of year | 3,680,775 | 3,406,739 | 9,586,012 | 9,368,308 | 1,073,723 | 1,794,809 | ||||||||||||||||||
Shares outstanding at end of year | 4,028,780 | 3,680,775 | 10,019,035 | 9,586,012 | 966,665 | 1,073,723 |
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December 31, 2021 |
SMALL COMPANY | WILSHIRE 5000 | WILSHIRE INTERNATIONAL | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||||||||||
Investment Class shares: | ||||||||||||||||||||||||
Shares sold | 17,570 | 29,781 | 491,727 | 598,993 | 76,990 | 35,328 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 2,200 | 5,566 | 457,586 | 545,160 | 43,441 | 12,672 | ||||||||||||||||||
Shares redeemed | (20,963 | ) | (38,690 | ) | (603,899 | ) | (1,683,116 | ) | (36,394 | ) | (80,868 | ) | ||||||||||||
Net increase (decrease) in Investment Class shares outstanding | (1,193 | ) | (3,343 | ) | 345,414 | (538,963 | ) | 84,037 | (32,868 | ) | ||||||||||||||
Shares outstanding at beginning of year | 241,738 | 245,081 | 6,529,789 | 7,068,752 | 196,840 | 229,708 | ||||||||||||||||||
Shares outstanding at end of year | 240,545 | 241,738 | 6,875,203 | 6,529,789 | 280,877 | 196,840 | ||||||||||||||||||
Institutional Class shares: | ||||||||||||||||||||||||
Shares sold | 60,294 | 356,079 | 143,779 | 701,027 | 2,732,764 | 2,513,242 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 12,004 | 35,590 | 120,538 | 150,242 | 4,274,740 | 1,721,659 | ||||||||||||||||||
Shares redeemed | (600,010 | ) | (1,275,950 | ) | (289,525 | ) | (675,836 | ) | (6,295,492 | ) | (13,840,388 | ) | ||||||||||||
Net increase (decrease) in Institutional Class shares outstanding | (527,712 | ) | (884,281 | ) | (25,208 | ) | 175,433 | 712,012 | (9,605,487 | ) | ||||||||||||||
Shares outstanding at beginning of year | 1,582,244 | 2,466,525 | 1,931,136 | 1,755,703 | 25,029,692 | 34,635,179 | ||||||||||||||||||
Shares outstanding at end of year | 1,054,532 | 1,582,244 | 1,905,928 | 1,931,136 | 25,741,704 | 25,029,692 |
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December 31, 2021 |
WILSHIRE INCOME | ||||||||
Year Ended | Year Ended | |||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Investment Class shares: | ||||||||
Shares sold | 51,293 | 48,826 | ||||||
Shares issued as reinvestment of distributions | 6,688 | 7,094 | ||||||
Shares redeemed | (38,274 | ) | (47,095 | ) | ||||
Net increase (decrease) in Investment Class shares outstanding | 19,707 | 8,825 | ||||||
Shares outstanding at beginning of year | 192,340 | 183,515 | ||||||
Shares outstanding at end of year | 212,047 | 192,340 | ||||||
Institutional Class shares: | ||||||||
Shares sold | 4,141,651 | 7,412,124 | ||||||
Shares issued as reinvestment of distributions | 1,161,392 | 1,162,900 | ||||||
Shares redeemed | (4,838,766 | ) | (7,385,737 | ) | ||||
Net increase (decrease) in Institutional Class shares outstanding | 464,277 | 1,189,287 | ||||||
Shares outstanding at beginning of year | 29,677,738 | 28,488,451 | ||||||
Shares outstanding at end of year | 30,142,015 | 29,677,738 |
10. Significant Shareholders.
On December 31, 2021, the Portfolios had the following concentrations of shareholders holding 10% or more of the outstanding shares of the Portfolios. These represent omnibus shareholder accounts comprised of many individual shareholders.
Portfolio | |
Large Company Growth Portfolio (4 omnibus shareholders) | 85% |
Large Company Value Portfolio (3 omnibus shareholders) | 80% |
Small Company Growth Portfolio (4 omnibus shareholders) | 71% |
Small Company Value Portfolio (4 omnibus shareholders) | 84% |
Wilshire 5000 IndexSM Fund (3 omnibus shareholders) | 73% |
Wilshire International Equity Fund (3 omnibus shareholders) | 82% |
Wilshire Income Opportunities Fund (3 omnibus shareholders) | 79% |
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December 31, 2021 |
As of December 31, 2021, an affiliated investment company, also advised by the Adviser, owned the following amounts of the outstanding shares of the Portfolios:
Portfolio | |
Large Company Growth Portfolio | 31% |
Large Company Value Portfolio | 46% |
Small Company Growth Portfolio | 23% |
Small Company Value Portfolio | 28% |
Wilshire 5000 IndexSM Fund | 0% |
Wilshire International Equity Fund | 47% |
Wilshire Income Opportunities Fund | 41% |
11. Tax Information.
No provision for federal income taxes is required because each Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Code and distributes to shareholders all of its taxable income and net realized gains. Federal income tax regulations differ from U.S. GAAP; therefore, distributions determined in accordance with tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences.
The Portfolios evaluate tax positions taken or expected to be taken in the course of preparing the Portfolios’ tax returns to determine whether it is “more-likely than-not” (i.e., greater than 50 percent) that each tax position will be sustained upon examination by a taxing authority based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold are recorded as a tax benefit or expense in the current year. The Portfolios did not record any tax provision in the current period. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, examination by tax authorities of returns filed within the past three years and on-going analysis of and changes to tax laws, regulations and interpretations thereof.
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December 31, 2021 |
The federal tax cost of portfolio securities and unrealized appreciation and depreciation, including derivatives, and the components of distributable earnings (accumulated losses) for income tax purposes as of December 31, 2021, for each Portfolio are as follows:
Large | Large | Small | Small | |||||||||||||
Tax cost of Investments | 177,260,698 | 180,477,404 | 28,228,717 | 28,757,947 | ||||||||||||
Unrealized Appreciation | 107,150,672 | 41,439,752 | 11,425,377 | 9,753,262 | ||||||||||||
Unrealized Depreciation | (4,712,442 | ) | (2,770,402 | ) | (1,869,077 | ) | (1,947,197 | ) | ||||||||
Net unrealized appreciation (depreciation) | 102,438,230 | 38,669,350 | 9,556,300 | 7,806,065 | ||||||||||||
Undistributed Ordinary Income | — | 2,130,011 | — | — | ||||||||||||
Undistributed Long-Term Capital Gain | 31,530,508 | 10,204,368 | 4,298,505 | 1,657,147 | ||||||||||||
Distributable earnings | 31,530,508 | 12,334,379 | 4,298,505 | 1,657,147 | ||||||||||||
Other accumulated gain/(loss) | (448,921 | ) | 131 | (338,512 | ) | — | ||||||||||
Total distributable earnings (accumulated losses) | 133,519,817 | 51,003,860 | 13,516,293 | 9,463,212 |
Wilshire | Wilshire | Wilshire | ||||||||||
Tax cost of Investments | 60,599,376 | 228,698,150 | 294,637,604 | |||||||||
Unrealized Appreciation | 198,147,317 | 71,703,096 | 8,518,935 | |||||||||
Unrealized Depreciation | (3,961,594 | ) | (16,661,316 | ) | (10,040,887 | ) | ||||||
Net unrealized appreciation (depreciation) | 194,185,723 | 55,041,780 | (1,521,952 | ) | ||||||||
Undistributed Ordinary Income | — | — | 246,238 | |||||||||
Undistributed Long-Term Capital Gain | 2,454,230 | 2,050,227 | — | |||||||||
Distributable earnings | 2,454,230 | 2,050,227 | 246,238 | |||||||||
Other accumulated gain/(loss) | — | (956,351 | ) | (574,456 | ) | |||||||
Total distributable earnings (accumulated losses) | 196,639,953 | 56,135,656 | (1,850,170 | ) |
The differences between book and tax-basis unrealized appreciation (depreciation) are attributable primarily to the tax deferral of losses on wash sales, significant debt modifications, and investment in passive foreign investment companies.
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December 31, 2021 |
At December 31, 2021, Large Company Growth Portfolio, Small Company Growth Portfolio, Wilshire International Equity Fund, and Wilshire Income Opportunities Fund had post-October capital loss deferrals of $448,921, $338,512, $900,787, and $571,121, respectively. The Wilshire International Equity Fund also had a specified ordinary late year loss deferral of $94,183.
During the year ended December 31, 2021, Large Company Value Portfolio and Small Company Value Portfolio utilized capital losses carried forward of $9,935,862 and $4,928,519, respectively.
The tax character of distributions declared during the years ended December 31, 2021 and December 31, 2020 was as follows:
Portfolio | 2021 | 2021 | 2020 | 2020 | ||||||||||||
Large Company Growth Fund | $ | 8,816,031 | $ | 41,902,843 | $ | 8,824,692 | $ | 35,147,988 | ||||||||
Large Company Value Portfolio | 6,997,644 | 17,237,076 | 67 | 1,933,593 | ||||||||||||
Small Company Growth Portfolio | 2,351,726 | 7,944,421 | — | 4,964,873 | ||||||||||||
Small Company Value Portfolio | 375,370 | 37,491 | — | 891,720 | ||||||||||||
Wilshire 5000 IndexSM Fund | 2,291,936 | 15,549,313 | 2,304,011 | 16,031,498 | ||||||||||||
Wilshire International Equity Fund | 13,590,293 | 36,713,419 | 429,361 | 20,222,941 | ||||||||||||
Wilshire Income Opportunities Fund | 9,200,066 | 2,745,464 | 11,767,486 | — |
The Fund designated as long-term capital gain dividend, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Fund related to net capital gain to zero for the tax year ended December 31, 2021.
For the year ended December 31, 2021, the following reclassifications were made on the Statements of Assets and Liabilities as a result of permanent differences between income tax regulations and GAAP:
Large | Large | Small | Small | |||||||||||||
Distributable earnings (Accumulated losses) | $ | (3,645,213 | ) | $ | (2,195,227 | ) | $ | (1,609,528 | ) | $ | (40,756 | ) | ||||
Paid-in capital | $ | 3,645,213 | $ | 2,195,227 | $ | 1,609,528 | $ | 40,756 |
Wilshire | Wilshire | Wilshire | ||||||||||
Distributable earnings (Accumulated losses) | $ | (795,961 | ) | $ | (4,985,147 | ) | $ | — | ||||
Paid-in capital | $ | 795,961 | $ | 4,985,147 | $ | — |
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December 31, 2021 |
Such reclassifications, primarily related to the use of equalization, are the result of permanent differences between financial statement and income tax reporting requirements and had no effect on each Portfolio’s net assets or NAV per share.
12. Indemnifications.
In the normal course of business, the Company, on behalf of the Portfolios, enters into contracts that provide general indemnifications. The Portfolios’ maximum exposure under these arrangements is dependent on claims that may be made against the Portfolios in the future and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote.
13. Certain Investment Risks.
Asset-backed securities (“ABS”) risk – Investors in ABS, including mortgage-backed securities (“MBS”) and structured finance investments, generally receive payments that are part interest and part return of principal. These payments may vary based on the rate at which the underlying borrowers pay off their loans or other future expected receivables of assets or cash flows. Some ABS, including MBS, may have structures that make their reaction to interest rates and other factors difficult to predict, making them subject to liquidity risk.
Collateralized debt obligation (“CDO”) risk – A CDO is an ABS whose underlying collateral is typically a portfolio of bonds, bank loans, other structured finance securities and/or synthetic instruments. Investors in CDOs bear the credit risk of the underlying collateral. Multiple tranches of securities are issued by the CDO, offering investors various maturity and credit risk characteristics. Tranches are categorized as senior, mezzanine, and subordinated/equity, according to their degree of risk. If there are defaults or the CDO’s collateral otherwise underperforms, scheduled payments to senior tranches take precedence over those of mezzanine tranches, and scheduled payments to mezzanine tranches take precedence over those to subordinated/equity tranches. CDOs are subject to the same risk of prepayment described for certain mortgage-related and ABS, and are subject to credit risk, interest rate risk and default risk. The market value of CDOs may be affected by changes in the market’s perception of the creditworthiness of the servicing agent for the pool or the originator.
Forward contracts risk – There may be an imperfect correlation between the price of a forward contract and the underlying security, index or currency which will increase the volatility of Wilshire Income Opportunities Fund’s NAV. The Portfolio bears the risk of loss of the amount expected to be received under a forward contract in the event of the default or bankruptcy of a counterparty. If such a default occurs, the Portfolio will have contractual remedies pursuant to the forward contract, but such remedies may
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December 31, 2021 |
be subject to bankruptcy and insolvency laws that could affect the Portfolio’s rights as a creditor. Forward currency transactions include risks associated with fluctuations in foreign currency.
Interest rate risk – For debt securities, interest rate risk is the possibility that the market price will fall because of changing interest rates. In general, debt securities’ market prices rise or fall inversely to changes in interest rates. If interest rates rise, bond market prices generally fall; if interest rates fall, bond market prices generally rise. In addition, for a given change in interest rates, the market price of longer-maturity bonds fluctuates more (gaining or losing more in value) than shorter-maturity bonds. There may be less governmental intervention in influencing interest rates in the near future. If so, it could cause an increase in interest rates, which would have a negative impact on the market prices of fixed income securities and could negatively affect a Portfolio’s NAV.
Credit risk – A Portfolio’s debt instruments are subject to credit risk, which is the risk that an issuer will be unable, or will be perceived to be unable, to repay its obligations at maturity. Funds that invest primarily in high quality securities generally are subject to less credit risk than funds that invest in lower quality securities. Certain securities are backed by credit enhancements from various financial institutions and financial guarantee assurance agencies. These credit enhancements reinforce the credit quality of the individual securities; however, if any of the financial institutions or financial guarantee assurance agencies’ credit quality should deteriorate, it could cause the individual security’s credit quality to change. Additionally, if a Portfolio concentrates its credit enhancements in any one financial institution, the risk of credit quality deterioration increases. The value of ABS may be affected by the credit risk of the servicing agent for the pool, the originator of the loans or receivables, or the financial institution(s) providing the credit support. In addition to credit risk, ABS and other securities with early redemption features are subject to pre-payment risk. During periods of declining interest rates, prepayment of loans underlying ABS can be expected to accelerate or an issuer may retire an outstanding bond early to reduce interest costs. A Portfolio’s ability to maintain positions in such securities will be affected by reductions in the principal amount of such securities resulting from prepayments, and its ability to reinvest the returns of principal at comparable yields is subject to generally prevailing interest rates at that time.
Counterparty credit risk – Counterparty credit risk is the risk that a counterparty to a financial instrument will fail on a commitment that it has entered into with a Portfolio. A Portfolio’s Sub-Adviser seeks to minimize counterparty credit risk by monitoring the creditworthiness of each counterparty on an ongoing basis.
Foreign security risk – Wilshire International Equity Fund and Wilshire Income Opportunities Fund invest in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States as a result of, among other factors, the possibility of
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Notes to Financial Statements - (Continued)
December 31, 2021 |
future political and economic developments and the level of governmental supervision and regulation of securities markets in foreign countries. The market values of the Portfolios’ investments will change in response to interest rate changes and other factors. During periods of falling interest rates, the values of fixed income securities generally rise. Conversely, during periods of rising interest rates, the values of such securities generally decline.
Changes by recognized rating agencies in the ratings of any fixed income security and in the ability of an issuer to make payments of interest and principal may also affect the value of these investments. Also, the ability of the issuers of debt securities held by the Portfolios to meet their obligations may be affected by economic and political developments in a specific country, industry or region.
Investments in Loans Risk – Investments in loans involve special types of risks, including credit risk, interest rate risk, counterparty risk and prepayment risk. Loans may offer a fixed or floating interest rate. Loans are often generally below investment grade and may be unrated. Loans may be difficult to value and some can be subject to liquidity risk.
Sector Risk – If a Portfolio has significant investments in the securities of issuers in industries within a particular sector, any development affecting that sector will have a greater impact on the value of the net assets of the Portfolio than would be the case if the Portfolio did not have significant investments in that sector. In addition, this may increase the risk of loss of an investment in the Portfolio and increase the volatility of the Portfolio’s NAV per share. From time to time, circumstances may affect a particular sector and the companies within such sector. For instance, economic or market factors, regulation or deregulation, or other developments may negatively impact all companies in a particular sector and therefore the value of a Portfolio’s holdings would be adversely affected. As of December 31, 2021, Large Company Growth Portfolio had 37.2% of the value of its net assets invested in stocks within the Information Technology sector; Small Company Growth Portfolio had 33.1% of the value of its net assets invested in stocks within the Health Care sector; Small Company Value Portfolio had 31.1% of the value of its net assets invested in stocks within the Financials sector; and the Wilshire 5000 IndexSM Fund had 27.2% of its net assets invested in stocks within the Information Technology sector.
A more complete description of risks is included in each Portfolio’s prospectus and Statement of Additional Information.
14. Contingencies.
Wilshire 5000 IndexSM Fund was named as a class defendant in a lawsuit filed on December 7, 2010 in the U.S. Bankruptcy Court for the District of Delaware in connection with Tribune Company’s Chapter 11 bankruptcy proceeding. The lawsuit was brought
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Notes to Financial Statements - (Continued)
December 31, 2021 |
by the Official Committee of Unsecured Creditors of the Tribune Company and relates to a leveraged buyout transaction by which Tribune Company converted to a privately-held company in 2007 less than a year prior to Tribune Company’s bankruptcy filing. The putative defendant class is comprised of beneficial owners of shares of Tribune Company who meet certain jurisdictional requirements and received proceeds of the leveraged buyout. The plaintiffs seek to recover those proceeds, together with interest and attorneys’ fees and expenses, as fraudulent transfers under the Bankruptcy Act or various state laws. The case has been transferred along with other cases to the Southern District of New York for consolidated pretrial proceedings. The District Court dismissed the complaint against the former shareholders and, following a motion by plaintiff to assert constructive fraudulent conveyance claims against the former shareholders, ultimately denied leave to amend. The dismissal and denial of leave to amend to add constructive fraudulent conveyance claims against the former shareholders was affirmed by the Second Circuit on August 20, 2021. On January 5, 2022, the plaintiff filed a petition for a writ of certiorari with the United States Supreme Court. The United States Supreme Court denied the plaintiff’s petition for writ of certiorari in February 2022.
15. Other Risks.
The global outbreak of coronavirus disease 2019 (“COVID-19”) has disrupted global economic markets and adversely affected individual companies and investment products. The prolonged economic impact of COVID-19 is uncertain. The operational and financial performance of the issuers of securities in which the Portfolio invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn impact the value of the Portfolios’ investments.
16. Subsequent Event Evaluation.
The Portfolios have evaluated the need for additional disclosures and/or adjustments resulting from subsequent events through the date these financial statements were issued. Based on this evaluation, no additional disclosures and/or adjustments were required to these financial statements except as follows:
Effective January 1, 2022, the Adviser has entered into an expense limitation agreement with Large Company Value Portfolio requiring the Adviser to reduce its management fees or reimburse expenses to limit expenses of the Portfolio (excluding taxes, brokerage expenses, dividend expenses on short securities and extraordinary expenses) to 1.30% and 1.00% of average daily net assets for Investment Class Shares and Institutional Class Shares, respectively. This agreement to limit expenses continues through at least April 30, 2023 or upon the termination of the Advisory Agreement. To the extent that the Portfolio’s expenses are less than the expense limitation, Wilshire may recoup the amount of any management fee waived/expenses reimbursed within three years from the date on which it waived its fees or reimbursed expenses if the recoupment does not exceed the existing expense limitation as well as the expense limitation that was in place at the time of the fee waiver/expense reimbursement.
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Report of Independent Registered Public |
To the Shareholders and Board of Directors of
Wilshire Mutual Funds, Inc.
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the condensed schedules of investments and schedules of total return swaps, futures contracts, forward foreign currency contracts, written options, interest rate swaptions, centrally cleared credit default swaps, centrally cleared interest rate swaps, and over the counter exchange rate volatility swaps, of Wilshire Mutual Funds, Inc. comprising Large Company Growth Portfolio, Large Company Value Portfolio, Small Company Growth Portfolio, Small Company Value Portfolio, Wilshire 5000 IndexSM Fund, Wilshire International Equity Fund, and Wilshire Income Opportunities Fund (“the Funds”) as of December 31, 2021, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the related notes, and the financial highlights for each of the five years in the period then ended (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of December 31, 2021, the results of their operations for the year then ended, the changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements 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 are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, 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. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian, agent banks, counterparties and brokers; when replies were not received from counterparties, brokers, or agent banks, we performed other appropriate auditing procedures. Our audits also included evaluating the accounting principles
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Report of Independent Registered Public
|
used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the Funds’ auditor since 2017.
COHEN & COMPANY, LTD.
Cleveland, Ohio
March 1, 2022
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Additional Fund Information (Unaudited) |
DIRECTORS AND OFFICERS
The Board of Directors, five of whom are not considered “interested persons” of the Company within the meaning of the 1940 Act (the “Independent Directors”), has responsibility for the overall management and operations of the Company. The Board establishes the Company’s policies and meets regularly to review the activities of the officers, who are responsible for day-to-day operations of the Company.
Set forth below are the names of the Directors and executive officers of the Company, their ages, business addresses, positions and terms of office, their principal occupations during the past five years, and other directorships held by them, including directorships in public companies. The address of each Director and officer is 1299 Ocean Avenue, Suite 700, Santa Monica, CA 90401.
Name and | Position | Term of | Principal | Number of | Other |
NON-INTERESTED DIRECTORS | |||||
Roger A. Formisano, 73 | Director | Since 2002 | Retired; formerly Vice President, University Medical Foundation, (2006 to 2018); formerly Director, The Center for Leadership and Applied Business, UW-Madison School of Business; Principal, R.A. Formisano & Company, LLC | 8 | Wilshire Variable Insurance Trust (1 Fund) |
Edward Gubman, 71 | Director | Since 2011 | Retired; formerly Founder and Principal, Strategic Talent Solutions (2004 to 2009); Consultant, Gubman Consulting (2001 to 2003); Account Manager and Global Practice Leader, Hewitt Associates (1983 to 2000) | 8 | Wilshire Variable Insurance Trust (1 Fund) |
Elizabeth A. Levy-Navarro, 58 | Director | Since 2019 | Independent Corporate Advisor, Summit Strategy (since 2018); Chief Executive Officer, Orrington Strategies (2002 to 2017); Partner, Practice Leader, and Operating Committee Member for a division of Nielsen Holdings (1993 to 2002). | 8 | Wilshire Variable Insurance Trust (1 Fund); Eastside Distilling Company |
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Additional Fund Information (Unaudited) - (Continued) |
Name and | Position | Term of | Principal | Number of | Other |
Suanne K. Luhn, 67 | Director | Since 2008 | Retired; formerly Chief Compliance Officer, Bahl & Gaynor (investment adviser) (1990 to 2006) | 8 | Wilshire Variable Insurance Trust (1 Fund) |
George J. Zock, 71 | Director, Chairperson of the Board | Since 2006 | Independent Consultant; Consultant, Horace Mann Service Corporation (2004 to 2005); Executive Vice President, Horace Mann Life Insurance Company and Horace Mann Service Corporation (1997 to 2003) | 8 | Wilshire Variable Insurance Trust (1 Fund); Armed Forces Insurance Exchange |
INTERESTED DIRECTOR and PRESIDENT | |||||
Jason Schwarz,(2) 47 | Director and President | Director since 2018/ President since 2012 | President, Wilshire Advisors LLC (since 2021); Chief Operating Officer, Wilshire Advisors LLC (since 2020); President, Wilshire Funds Management (2014 to 2020); President, Wilshire Analytics (2017 to 2020); Managing Director, Head of Wilshire Funds Management’s Client Service, Sales, Marketing and Distribution functions (2005 to 2014) | 8 | Wilshire Advisors LLC; Wilshire Variable Insurance Trust (1 Fund) |
OFFICERS | |||||
Benkai Bouey, 50 | Chief Compliance Officer | Since 2015 | Chief Compliance Officer, Wilshire Advisors LLC (since 2012); Attorney, Benkai Bouey, Attorney at Law (2010 to 2013); Client Relationship Manager, Horizon Asset Management, Inc. (2008 to 2010) | N/A | N/A |
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Additional Fund Information (Unaudited) - (Continued) |
Name and | Position | Term of | Principal | Number of | Other |
Nathan R. Palmer, 46 | Vice President | Since 2011 | Managing Director, Wilshire Advisors LLC (since 2011); Senior Investment Management Associate, Convergent Wealth Advisors (2009 to 2010); Director of Public Markets, Investment Office, California Institute of Technology (2008 to 2009). Treasury Manager, Retirement Investments, Intel Corporation (2004 to 2008) | N/A | N/A |
Michael Wauters, 55 | Treasurer | Since 2009 | Managing Director - Finance, Wilshire Advisors LLC (since 2021); Controller, (2009 to 2012); Assistant Vice President- Financial Operations, Pacific Life Insurance Company (2000 to 2009) | N/A | N/A |
Josh Emanuel, 42 | Vice President | Since 2015 | Chief Investment Officer - Global Investment Management (since 2021); Managing Director, Wilshire Advisors LLC (since 2015); Chief Investment Officer, Global Investment Management Wilshire Advisors LLC (since 2015); Chief Investment Officer, The Elements Financial Group, LLC (2010 to 2015) | N/A | N/A |
Michael Lavalle, 40 | Secretary | Since 2021 | Head of Legal, Wilshire Advisors LLC (since 2021); Senior Vice President/Counsel, Wilshire Advisors LLC (2019 to 2021); Vice President/Counsel, Wilshire Advisors LLC (2014 to 2019); Counsel, Corporate Affairs, Relativity Media (2012 to 2014); Latham & Watkins, Associate (2009 to 2012) | N/A | N/A |
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Additional Fund Information (Unaudited) - (Continued) |
Name and | Position | Term of | Principal | Number of | Other |
Suehyun Kim, 44 | Vice President | Since 2019 | Vice President, Wilshire Advisors LLC (since 2018); Director, Cetera Financial Group (2011 to 2018) | N/A | N/A |
(1) | Each Director serves until the next shareholders’ meeting (and until the election and qualification of a successor), or until death, resignation, removal or retirement which takes effect no later than May 1 following his or her 75th birthday. Officers are elected by the Board on an annual basis to serve until their successors have been elected and qualified. |
(2) | Mr. Schwarz is considered an Interested Director because he is an officer of Wilshire. |
Information on Proxy Voting
A description of policies and procedures that the Portfolios use to determine how to vote proxies relating to portfolio securities, along with each Portfolio’s proxy voting record relating to portfolio securities held during most recent 12-month period ended June 30, is available at no charge, upon request by calling (866) 591-1568, by e-mailing us at http://advisor.wilshire.com or on the SEC’s website at www.sec.gov.
Information on Form N-PORT
The Company files its complete schedule of portfolio holdings with the SEC as of the end of the first and third quarters of each fiscal year on Form N-PORT. The Company’s Forms N-PORT are available on the SEC’s website at www.sec.gov.
Householding Policy
In order to reduce printing and mailing expenses, only one copy of each prospectus, annual and semi-annual report will be sent to all related accounts at a common address, unless you have indicated otherwise on your Account Application. Shareholders may revoke their consent to householding at any time by calling (866) 591-1568. Upon receipt of a shareholder’s revocation, the Company will begin mailing individual copies of the above-referenced documents to the shareholder’s attention within 30 days.
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Tax Information (Unaudited) |
For the year ended December 31, 2021, the Portfolios designated the following long-term capital gain distributions:
Portfolio | Amount | |||
Large Company Growth Fund | $ | 41,902,843 | ||
Large Company Value Portfolio | 17,237,076 | |||
Small Company Growth Portfolio | 7,944,421 | |||
Small Company Value Portfolio | 37,491 | |||
Wilshire 5000 IndexSM Fund | 15,549,313 | |||
Wilshire Income Opportunities Fund | 2,745,464 | |||
Wilshire International Equity Fund | 36,713,419 |
Of the distributions made by the following Portfolios, the corresponding percentages represent the amount of each distribution which will qualify for the dividends received deduction available to corporate shareholders:
Portfolio | Percentage |
Large Company Growth Fund | 13.60% |
Large Company Value Portfolio | 64.58% |
Small Company Growth Portfolio | 7.84% |
Small Company Value Portfolio | 100.00% |
Wilshire 5000 IndexSM Fund | 100.00% |
Wilshire Income Opportunities Fund | 2.34% |
Wilshire International Equity Fund | 2.15% |
Pursuant to the Jobs and Growth Tax Relief Reconciliation Act of 2003, and as extended by Tax Relief, Unemployment Insurance Reauthorization and Jobs Creation Act of 2010, the Portfolios designated the following percentages of their income dividends distributed in 2021 as qualified dividend income as defined in Section 1(h)(II) of the Internal Revenue Code.
Portfolio | Percentage |
Large Company Growth Fund | 18.59% |
Large Company Value Portfolio | 79.56% |
Small Company Growth Portfolio | 7.86% |
Small Company Value Portfolio | 100.00% |
Wilshire 5000 IndexSM Fund | 100.00% |
Wilshire Income Opportunities Fund | 2.61% |
Wilshire International Equity Fund | 62.10% |
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Wilshire Mutual Funds, Inc.
Tax Information (Unaudited) - (continued) |
Pursuant to the American Jobs Creation Act of 2004, and as extended by Tax Relief, Unemployment Insurance Reauthorization and Jobs Creation Act of 2010, the Portfolios listed below designated the following percentages of short-term capital gain distributions as qualified short-term capital gain that is exempt from U.S. withholding tax when paid to foreign investors.
Portfolio | Percentage |
Large Company Growth Fund | 100.00% |
Large Company Value Portfolio | 52.95% |
Small Company Growth Portfolio | 100.00% |
Small Company Value Portfolio | 0.00% |
Wilshire 5000 IndexSM Fund | 10.46% |
Wilshire Income Opportunities Fund | 0.00% |
Wilshire International Equity Fund | 32.33% |
Foreign Tax Credit Pass Through
The Portfolios intend to elect to pass through to shareholders the income tax credit for taxes paid to foreign countries. Wilshire International Equity Fund’s foreign source income per share was $0.24 and the foreign tax expense per share was $0.03 per share. The pass-through of the foreign tax credit will only affect those persons who are shareholders on the dividend record date in December 2021. These shareholders will receive more detailed information along with their 2021 Form 1099-DIV.
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Wilshire Mutual Funds, Inc.
(the “Company” and each series thereof, a “Fund”) Board Approval of Advisory Agreement (Unaudited) |
Wilshire Mutual Funds, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end diversified investment company, which was incorporated under Maryland law on July 30, 1992. The Company operates as a series company and presently offers seven series:
● | Large Company Growth Portfolio | ● | Large Company Value Portfolio |
● | Small Company Growth Portfolio | ● | Small Company Value Portfolio |
● | Wilshire 5000 Index Fund | ● | Wilshire Income Opportunities Fund |
● | Wilshire International Equity Fund |
(Each of the foregoing series may be referred to herein as a “Fund” and collectively, as the “Funds.”)
During the six months ended December 31, 2021, the Board of Directors of the Company (the “Board,” with the members of the Board referred to individually as the “Directors”) approved the renewal for an additional one-year term of the investment advisory agreement between Wilshire Advisors LLC (“Wilshire” or the “Adviser”), the investment adviser to each Fund, and the Company, with respect to each of the Funds (the “Advisory Agreement”).
The Advisory Agreement continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Directors who are not “interested person[s],” as defined by the 1940 Act, of the Funds (the “Independent Directors”) casting votes at a meeting called for such purpose.
The Board approved the renewal of the Advisory Agreement following an extensive process that concluded at the Board’s November 3, 2021 meeting (the “November Meeting”). As required by the 1940 Act, the approval was confirmed by the separate vote of the Independent Directors, casting votes at a meeting called for such purpose. As part of their review process, the Independent Directors were represented by independent legal counsel (“Independent Legal Counsel”), from whom the Independent Directors received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Independent Directors various key aspects of the Directors’ legal responsibilities relating to the proposed renewal of the Advisory Agreement and advised them of the relevant legal standards.
Information Requested and Received
At the direction of the Independent Directors, Independent Legal Counsel sent a memorandum to the Adviser requesting information regarding the Advisory Agreement to be provided to the Directors in advance of the November Meeting.
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(the “Company” and each series thereof, a “Fund”) Board Approval of Advisory Agreement (Unaudited) - (continued) |
In response to the request for information, the Directors received information from the Adviser regarding the factors underlying its recommendation to approve the Advisory Agreement. In particular, the Directors received information from the Adviser as to each Fund describing: (i) the nature, extent and quality of services provided; (ii) the financial condition of the Adviser and its ability to provide the contracted-for services under the Advisory Agreement; (iii) the investment performance of the Fund as provided by the Adviser based upon data gathered from the Morningstar Direct database (“Morningstar”), along with a comparison to its benchmark index: (iv) the costs of services provided and estimated profits realized by the Adviser; (v) the extent to which economies of scale are realized as the Fund grows; (vi) whether fee levels reflect any possible economies of scale for the benefit of Fund shareholders; (vii) comparisons of amounts paid by other registered investment companies as provided by Wilshire based upon data gathered from Morningstar; and (viii) fall-out benefits realized by the Adviser from its relationship with the Fund. The Independent Directors also received a memorandum from Independent Legal Counsel describing their duties in connection with advisory contract proposals, and they were assisted in their review by Independent Legal Counsel.
Factors Considered
In connection with its deliberations regarding the proposed renewal of the Advisory Agreement, the Board considered such information and factors as it believed to be relevant in the exercise of its business judgment. As described below, the Board considered the nature, extent and quality of the services performed by the Adviser under the Advisory Agreement; comparative fees as provided by the Adviser; the profits realized by the Adviser; the extent to which the Adviser realizes economies of scale as a Fund grows; and whether any fall-out benefits are being realized by the Adviser. The Board also took into account the various materials received from the Adviser, its discussions with management and the guidance provided by Independent Legal Counsel in private sessions at which no representatives of the Adviser were present. In addition, as a part of its evaluation, the Board considered the assessment of performance made by the Investment Committee (which is comprised solely of Independent Directors), which also met on November 3, 2021 to review data on the Adviser’s performance. Recognizing that the evaluation process with respect to the services provided by the Adviser is an ongoing one, the Board also considered information reviewed by the Board during the year at other Board and Board committee meetings. The Board considered the foregoing information and all materials provided in the context of its accumulated experience governing the Funds and weighed the factors and standards discussed with Independent Legal Counsel.
In deciding to approve the renewal of the Advisory Agreement, the Board did not identify any single factor as all-important or controlling and each Director, in the exercise of his or her business judgment, may attribute different weights to the various factors. The Board based its decision on the totality of the circumstances and relevant factors. This summary discusses the material factors and the conclusions with respect thereto
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(the “Company” and each series thereof, a “Fund”) Board Approval of Advisory Agreement (Unaudited) - (continued) |
that formed the basis for the Board’s approval and does not describe all of the matters considered. However, the Board concluded that each of the various factors referred to below favored such approval.
Based upon its evaluation of all materials provided, and its determination that it had received sufficient information to make an informed business decision with respect to the Advisory Agreement, the Board concluded that it was in the best interests of each Fund to approve the renewal of the Advisory Agreement.
Nature, Extent and Quality of Services
With respect to the nature, extent and quality of services provided by the Adviser, the Board considered the functions currently performed by the Adviser, noting that the Adviser performs certain administrative functions on behalf of the Funds. The Board considered the experience and skills of the senior management leading Fund operations, the experience and skills of the key personnel performing the functions under the Advisory Agreement and the resources made available to such personnel. In evaluating the services provided by the Adviser, the Board took into account each Fund’s portfolio management structure, whereby the Adviser identifies, evaluates and oversees managers it believes are “best-in-class” to act as sub-adviser(s) to the Fund, and for certain Funds, manages a portion of the Fund. Thus, the Board considered the capabilities and expertise of the Adviser’s personnel responsible for implementing the Funds’ investment strategies and considered the information provided by the Adviser regarding investment oversight and risk management processes.
The Board considered the compliance program established by the Adviser and the level of compliance maintained for the Funds. In addition, the Board considered the regular reports it receives from the Funds’ Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act. The Board also took into account information regarding the Adviser’s disaster recovery and contingency plans and data protection safeguards, among other things.
The Board considered the Adviser’s financial condition, and considered the financial support provided by the Adviser to each of Small Company Growth Portfolio, Small Company Value Portfolio, Large Company Growth Portfolio, Wilshire Income Opportunities Fund and Wilshire International Equity Fund pursuant to expense limitation agreements. In this connection, the Board reviewed, among other things, the Adviser’s audited consolidated financial statements as of December 31, 2020, as well as information regarding the firm’s business plans. The Board also noted the Adviser’s commitment to ensuring that sufficient resources will continue to be available in the future for servicing the Funds.
In connection with its evaluation of the quality of services provided by the Adviser, the Board reviewed information on the performance of the Investment Class shares of each actively managed Fund—i.e., each of the Funds, with the exception of the
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Wilshire Mutual Funds, Inc.
(the “Company” and each series thereof, a “Fund”) Board Approval of Advisory Agreement (Unaudited) - (continued) |
Wilshire 5000 Index Fund (the “Index Fund”)—for the annualized one-, three-, five- and ten-year periods ended September 30, 2020, as applicable, in comparison to each Fund’s benchmark and a peer group of funds determined by Wilshire based upon the Morningstar database for the same periods.
With respect to the Index Fund, the Board took into account that, unlike the other Funds, its investment objective is to replicate as closely as possible the performance of an index, the Wilshire 5000 Index. In this regard, the Board noted that, in view of the distinctive investment objective of the Index Fund and the expectations of shareholders, the investment performance of the Index Fund in absolute terms was not of the relevance that normally attaches to the performance of actively managed Funds. Of greater relevance to the Board was the extent to which the Index Fund’s performance tracked its benchmark, and thus the Board focused its attention on the tracking error data provided by Wilshire—which was provided for the one-, three-, five- and ten-year periods ended September 30, 2021—and how the Index Fund compared to its peers in this respect. The Board noted that the Index Fund’s peer group consisted of other large cap funds (growth, blend and value) that passively replicate domestic equity benchmarks.
In general, the Board considered performance results in light of each Fund’s investment objective, strategies and risks, and the responsibilities of the Adviser, as disclosed in the Fund’s prospectus. As to the Adviser’s performance, the Board made the observations and considered the factors noted below.
Large Company Growth Portfolio
● | The Fund’s annualized return for each period was below the Fund’s benchmark performance. In addition, the Fund underperformed its peer group median for the one-, five- and ten-year periods, ranking in the fourth, fourth and third quintiles, respectively, of its peer group (the first quintile being the best performers and the fifth quintile being the worst performers) and performed the same as the peer group median for the three-year period. In assessing the Fund’s performance data, the Board took into account the Adviser’s explanation of the factors that detracted from performance, including individual manager performance, as well as steps the Adviser was taking to improve performance by replacing one of the subadvisers. |
Large Company Value Portfolio
● | With the exception of the one-year period, the Fund’s annualized return for each period was below the Fund’s benchmark performance. In addition, although the Fund outperformed its peer group median for the one-year period, ranking in the second quintile, the Fund underperformed its peer group median for the other periods reviewed, ranking in the fourth quintile of its peer group for the three-, five- and ten-year periods. In assessing the Fund’s performance |
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data, the Board took into account the Adviser’s explanation of the factors that detracted from performance, as well as steps the Adviser was taking to improve performance by replacing one of the subadvisers.
Small Company Growth Portfolio
● | The Fund’s annualized returns for the one-, three-, five- and ten-year periods were above the Fund’s benchmark performance. The Fund also outperformed its peer group median for the one- and ten-year periods, ranking in the third quintile of its peer group. The Fund underperformed its peer group median for the three- and five-year periods, ranking in the fourth quintile of its peer group. The Board also took into account the steps the Adviser was taking to improve performance by adding a third subadviser to the Fund. |
Small Company Value Portfolio
● | Although the Fund’s annualized returns for the three- and five-year periods were below the Fund’s benchmark performance, the Fund outperformed its benchmark for the one- and ten-year periods. In addition, although the Fund underperformed its peer group median for the three- and five-year periods, ranking in the fourth and third quintiles of its peer group, respectively, the Fund outperformed its peer group median for the one- and ten-year periods, ranking in the second quintile of its peer group. |
Index Fund
● | The Index Fund’s tracking error was above its peer group median—i.e., the Index Fund tracked its index less closely than the median of its peer group—for all periods reviewed, ranking in the fifth, fifth, fifth and fourth quintiles of its peer group, respectively, for the one-, three-, five- and ten-year periods. The Board also noted that, although the Index Fund underperformed its index for all periods reviewed, these results were attributable primarily to the Index Fund’s expenses. The Board determined that the Index Fund tracked its index within an acceptable range. |
Wilshire Income Opportunities Fund
● | Although the Fund’s annualized return for the three-year period ended September 30, 2021 was below the Fund’s benchmark performance, the Fund’s annualized return for the one- and five-year periods exceeded its benchmark. In addition, the Fund underperformed its peer group median for the one-, three- and five-year periods, ranking in the fifth, fourth and fourth quintiles of its peer group, respectively. In assessing the Fund’s performance data, the Board took into account the Adviser’s explanation of the factors that detracted from performance, including individual manager performance. |
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(the “Company” and each series thereof, a “Fund”) Board Approval of Advisory Agreement (Unaudited) - (continued) |
Wilshire International Equity Fund
● | The Board noted that the Fund changed its investment mandate from a domestic large cap core fund to an international large cap fund in April 2013 and changed its benchmark to the MSCI ACW ex-U.S. Index at the same time, so annualized peer returns and performance relative to the Index are not comparable for the ten-year period. Consequently, the Board focused on more recent performance metrics, noting that the Fund’s performance for the one-, three- and five-year periods exceeded its benchmark. In addition, the Fund’s performance for the one-, three- and five-year periods exceeded its peer group median, ranking in the first quintile. |
In evaluating each Fund’s performance metrics, the Board took into account its discussions with management throughout the year regarding the factors that contributed to or detracted from performance, as the case may be, and considered the Adviser’s overall track record and reputation. After reviewing the foregoing and related factors, the Board concluded that (i) each Fund’s performance was acceptable or (ii) it was satisfied with the Adviser’s responses relating to investment performance.
In addition, based on the foregoing, the Board concluded that the Adviser and its personnel were qualified to continue to serve the Funds in such capacity and that it was satisfied with the nature, extent and quality of the services provided by the Adviser to each Fund.
Comparative Fees
The Board compared each Fund’s actual management fee paid and total expense ratio for Investment Class shares to the applicable peer group of funds, as well as each Fund’s size relative to its peers. In considering the comparative fee and expense data provided by the Adviser, the Board made the following observations:
Large Company Growth Portfolio
● | Although each of the Fund’s total expense ratio and actual management fee paid was above the peer group median, ranking in the fourth and fifth quintiles, respectively (the first quintile being the lowest and the fifth quintile being the highest), the actual management fee paid was six basis points above the peer group median, which the Board concluded was competitive. With respect to the Fund’s total expense ratio, the Board considered the Fund’s size relative to its peer group. The Board also took into account that the Adviser has entered into an expense limitation agreement with respect to the Fund. |
Large Company Value Portfolio
● | Although each of the Fund’s total expense ratio and actual management fee paid was above the peer group median and the total expense ratio ranked in the fifth quintile of the Fund’s peer group, the actual management fee paid ranked in the |
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fourth quintile, which the Board concluded was competitive. With respect to the Fund’s total expense ratio, the Board considered the Fund’s size relative to its peer group. The Board also took into account that the Adviser agreed to enter into an expense limitation agreement with respect to the Fund.
Small Company Growth Portfolio
● | Although the Fund’s total expense ratio was above the peer group median, ranking in the fourth quintile, the Fund’s actual management fee paid was below the peer group median and ranked in the first quintile. With respect to the Fund’s total expense ratio, the Board considered the Fund’s small size relative to its peer group. In addition, the Board took into account that the Adviser has entered into an expense limitation agreement with respect to the Fund. |
Small Company Value Portfolio
● | Although the Fund’s total expense ratio was above the peer group median, ranking in the fourth quintile, the Fund’s actual management fee paid was below the peer group median and ranked in the first quintile. With respect to the Fund’s total expense ratio, the Board considered the Fund’s small size relative to its peer group. In addition, the Board took into account that the Adviser has entered into an expense limitation agreement with respect to the Fund. |
Index Fund
● | Both the Fund’s total expense ratio and the actual management fee paid were below the peer group median, ranking in the second and first quintiles, respectively. |
Wilshire Income Opportunities Fund
● | Although the Fund’s total expense ratio was above the peer group median, ranking in the fourth quintile, the Fund’s actual management fee paid was below the peer group median and ranked in the first quintile. In addition, the Board took into account that the Adviser has entered into an expense limitation agreement with respect to the Fund. |
Wilshire International Equity Fund
● | Each of the Fund’s total expense ratio and actual management fee paid was above the peer group median, ranking in the fifth and fourth quintiles of its peer group, respectively. In assessing the reasonableness of the Fund’s management fee, the Board took into account the Fund’s strong investment performance. The Board also considered that the Adviser has entered into an expense limitation agreement with respect to the Fund. |
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As part of its evaluation of each Fund’s management fee, the Board considered how such fees compared to the Fund(s) with similar investment styles, to the extent applicable. The Board noted that the Adviser had not identified any other registered investment companies that it advises pursuant to similar investment strategies. However, the Board considered that the Adviser provides advisory services to retirement plans and that certain plans invest in Wilshire collective investment trusts that have investment strategies similar to certain of the Funds and that Wilshire charges those retirements plans a lower fee. In this connection, the Board considered, among other things, the Adviser’s discussion of the significant differences in the scope of services provided to the Funds and to such plans, as well as the size of the Funds relative to such plans. The Board concluded that the information it received demonstrated that the aggregate services provided to and specific circumstances of the Funds were sufficiently different from the services provided to and specific circumstances of the retirement plans to support the difference in fees.
Based upon all of the above, the Board concluded that the management fee for each Fund was reasonable.
Costs of Services Provided and Profitability to Wilshire
With respect to the costs of services provided and profitability realized by Wilshire from its relationship with the Funds, the Board reviewed a profitability analysis and data from Wilshire, setting forth, among other things, gross revenues received by Wilshire, expenses allocated to the Company and the operating margin/profitability rate. In the course of its review of Wilshire’s profitability, the Board took into account the methods used by Wilshire to determine expenses and profit. The Board considered all of the foregoing in evaluating the costs of services provided, the profitability to Wilshire and the profitability rates presented, and it concluded that the profits realized by Wilshire were not unreasonable in comparison with the costs of providing investment advisory services to the Funds.
Economies of Scale
The Board considered whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale and whether there is potential for realization of economies of scale. The Board considered whether economies of scale in the provision of services to the Funds were being passed along to the shareholders. The Board noted the Adviser’s statements, including that the Adviser believes its management fees are appropriate and that, where possible, the Adviser has utilized common service providers across multiple funds in the complex in order to negotiate lower fees on behalf of the Funds.
As part of its assessment of economies of scale, the Board also considered that economies of scale may be shared through a number of means, including expense limitations, management fees set at competitive rates pre-assuming future asset growth, and/or management fee breakpoints—i.e., a tiered fee schedule based on asset size. Thus, the
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(the “Company” and each series thereof, a “Fund”) Board Approval of Advisory Agreement (Unaudited) - (continued) |
Board considered the size of each Fund and the management fee it is charged, as well as the Adviser’s agreement to limit the expenses of certain Funds. The Board also took into account that each Fund’s advisory fee schedule included a breakpoint at an asset level that had not yet been reached.
Based upon all of the above, the Board concluded that the management fee for each Fund reflects an appropriate recognition of any economies of scale.
Fall-Out Benefits
The Board considered that the Adviser may retain a portion of the Rule 12b-1 fees collected from the Investment Class of each Fund to offset its costs for distribution services provided to the Investment Class of the Fund. The Board also considered the Adviser’s statement that benefits from its relationship with the Funds were primarily limited to the advisory fees paid. The Board determined that the advisory fees were reasonable in light of any fall-out benefits.
Conclusion
Based upon all of the information considered and the conclusions reached, the Board determined that the terms of the Advisory Agreement continue to be fair and reasonable and that the continuation of the Advisory Agreement is in the best interests of each Fund.
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Wilshire Mutual Funds, Inc.
Board Approval of Subadvisory Agreements
(Unaudited) |
Wilshire Mutual Funds, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end diversified investment company, and it was incorporated under Maryland law on July 30, 1992. The Company operates as a series company and presently offers seven series:
● | Large Company Growth Portfolio | ● | Large Company Value Portfolio |
● | Small Company Growth Portfolio | ● | Small Company Value Portfolio |
● | Wilshire 5000 Index Fund | ● | Wilshire Income Opportunities Fund |
● | Wilshire International Equity Fund |
(Each of the foregoing series may be referred to herein as a “Fund” and collectively as the “Funds.”)
During the six months ended December 31, 2021, the Board of Directors of the Company (the “Board,” with the members of the Board referred to individually as the “Directors”) approved the renewal for an additional one-year term of each subadvisory agreement between Wilshire Advisors LLC (“Wilshire” or the “Adviser”), the investment adviser for each Fund, and each of the following subadvisers, with respect to the applicable Fund(s):
Subadviser | Fund(s) |
Diamond Hill Capital Management, Inc. (“Diamond Hill”) | Small Company Value Portfolio |
DoubleLine Capital LP (“DoubleLine”) | Wilshire Income Opportunities Fund |
Fred Alger Management, LLC (“Fred Alger”) | Large Company Growth Portfolio |
Hotchkis & Wiley Capital Management, LLC (“Hotchkis & Wiley”) | Small Company Value Portfolio |
Lazard Asset Management LLC (“Lazard”) | Wilshire International Equity Fund |
Loomis, Sayles & Company L.P. (“Loomis Sayles”) | Large Company Growth Portfolio |
Los Angeles Capital Management and Equity Research, Inc. (“LA Capital”) | Large Company Growth Portfolio |
Large Company Value Portfolio | |
Small Company Growth Portfolio | |
Small Company Value Portfolio | |
Wilshire 5000 Index Fund | |
Wilshire International Equity Fund | |
Manulife Asset Management (US) LLC (“Manulife”) | Wilshire Income Opportunities Fund |
Pzena Investment Management, LLC (“Pzena”) | Large Company Value Portfolio |
Wilshire International Equity Fund | |
Ranger Investment Management, L.P. (“Ranger”) | Small Company Growth Portfolio |
Voya Investment Management Co. LLC (“Voya”) | Large Company Growth Portfolio |
Large Company Value Portfolio | |
Wilshire Income Opportunities Fund | |
Wilshire International Equity Fund | |
WCM Investment Management, LLC (“WCM”) | Wilshire International Equity Fund |
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In the following text, the subadvisers are referred to collectively as “Subadvisers” or individually, as a “Subadviser,” and the subadvisory agreements between Wilshire and the Subadvisers are referred to collectively as the “Subadvisory Agreements” or individually, as a “Subadvisory Agreement.” The Pzena Subadvisory Agreement includes an amendment to such Subadvisory Agreement pursuant to which Pzena agreed to reduce its subadvisory fee for each of the Large Company Value Portfolio and Wilshire International Equity Fund.
Each of the Subadvisory Agreements continues in effect from year to year, provided that such continuance is specifically approved at least annually in the manner required by the 1940 Act and the rules and regulations thereunder.
The Board approved the renewal of each of the Subadvisory Agreements following an extensive process that concluded at the Board’s August 23, 2021 meeting (the “Meeting”). As required by the 1940 Act, each approval was confirmed by the separate vote of the Directors who are not “interested person[s],” as defined by the 1940 Act, of the Funds (the “Independent Directors”). As part of its review process, the Independent Directors were represented by independent legal counsel (“Independent Legal Counsel”), from whom the Independent Directors received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Independent Directors various key aspects of the Directors’ legal responsibilities relating to the proposed renewal of the Subadvisory Agreements, and advised the Independent Directors of the relevant legal standards.
Information Requested and Received
At the direction of the Independent Directors, Independent Legal Counsel sent a memorandum to the Adviser requesting that information regarding the proposed Subadvisory Agreements be provided to the Directors in advance of the Meeting.
In response to the request for information, the Directors received information from the Adviser regarding the factors underlying its recommendations to approve each Subadvisory Agreement. The Directors also received information from each Subadviser as to each Fund it managed, describing: (i) the nature, extent and quality of services provided; (ii) the investment performance of the Subadviser in connection with the Fund; (iii) the financial condition of the Subadviser; (iv) the extent to which economies of scale are realized as a Fund grows; (v) whether fee levels reflect any possible economies of scale for the benefit of Fund shareholders; (vi) where applicable, comparisons of services rendered and amounts paid by other registered investment companies and any comparable advisory clients; and (vii) benefits realized by the Subadviser from its relationship with the Fund. The Independent Directors also received a memorandum from Independent Legal Counsel describing their duties in connection with advisory contract proposals, and they were assisted in their review by Independent Legal Counsel.
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(Unaudited) - (continued) |
Factors Considered
In connection with its deliberations regarding the proposed renewal of the Subadvisory Agreements, the Board considered such information and factors as it believed to be relevant in the exercise of its business judgment. As described below, the Board considered the nature, extent and quality of the services performed by each Subadviser under the subadvisory arrangements (including the performance of each Fund or portion thereof); comparative fees as provided by each Subadviser; the profits realized by each Subadviser; the extent to which each Subadviser realizes economies of scale as a Fund grows; and whether any fall-out benefits are being realized by each Subadviser. The Board also took into account the various materials received from the Adviser, its discussions with management and the guidance provided by Independent Legal Counsel in private sessions at which no representatives of the Subadvisers were present. In addition, as a part of its evaluation, the Board considered the assessment of performance made by the Investment Committee (which is composed solely of Independent Directors), which met on August 23, 2021 to review data on each Subadviser’s performance. Recognizing that the evaluation process with respect to the services provided by each of the Subadvisers is an ongoing one, the Board also considered information reviewed by the Board during the year at other Board and Board committee meetings. The Board considered the foregoing information and all materials provided in the context of its accumulated experience governing the Funds and weighed the factors and standards discussed with Independent Legal Counsel.
In deciding to approve each of the Subadvisory Agreements, the Board did not identify any single factor as all-important or controlling, and each Director, in the exercise of his or her business judgment, may attribute different weights to the various factors. The Board based its decision on the totality of the circumstances and relevant factors. This summary discusses the material factors and the conclusions with respect thereto that formed the basis for the Board’s approval and does not describe all of the matters considered. However, the Board concluded that each of the various factors referred to below favored such approval.
Based upon its evaluation of all materials provided, and its determination that it had received sufficient information to make an informed business decision with respect to the Subadvisory Agreements, the Board concluded that it was in the best interests of each Fund to approve the renewal of each of the Subadvisory Agreements.
Nature, Extent and Quality of Services
As to each Subadvisory Agreement and Subadviser, the Board considered the nature, extent and quality of services provided. The Board considered the firm’s overall reputation; the track record and qualifications of the Subadviser; its investment approach and methodologies; the education, experience and tenure of the Subadviser’s investment personnel responsible for the day-to-day portfolio management of the applicable Fund or portion thereof; and the resources made available to such personnel, as well as information regarding how the Subadviser compensates such personnel. The Board also considered
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each Subadviser’s compliance with investment policies and general legal compliance, in addition to information regarding each firm’s disaster recovery, including cybersecurity risk mitigation, and policies with respect to portfolio execution, trading, liquidity risk management oversight and proxy voting. The Board noted that it had received a copy of each Subadviser’s Form ADV, including the brochure (Part 2A), which provides additional information about other products the firm manages and the ownership structure of the firm, among other things. The Board also considered the analysis provided by the Adviser, including the metrics used by the Adviser to evaluate each Subadviser, which concluded that each Subadviser was providing reasonable services and had reasonable compliance policies and procedures in place. Also important to the Board’s analysis was the Adviser’s recommendation that each Subadvisory Agreement for each Fund be renewed for an additional term.
In connection with its evaluation of the quality of services provided by each Subadviser, the Board reviewed information comparing each Subadviser’s gross investment performance for each applicable Fund, or portion thereof, to a relevant benchmark (except for LA Capital with respect to the Wilshire 5000 Index Fund, for which the Subadviser’s net performance was compared to the benchmark) for various periods ended June 30, 2021. The Board considered performance results in light of each Fund’s investment objective, strategies and risks, and the investment approach employed by the Fund’s Subadviser(s), as disclosed in the Fund’s prospectus. As to each Subadviser’s performance with respect to the applicable Fund or portion of such Fund, the Board made the observations and considered the factors noted below:
Large Company Growth Portfolio
● | Fred Alger. The Subadviser underperformed for the quarter-to-date and one-year periods ended June 30, 2021. Longer-term performance was not considered because the Subadviser began managing its portion of the Fund in March 2020. The Board noted the information provided regarding the Subadviser’s portfolio management processes. The Board also considered the Adviser’s assessment of the nature, extent and quality of services provided by the Subadviser, including the Adviser’s statement that it is satisfied with the level of services provided. |
● | LA Capital. The Subadviser outperformed for the year-to-date, one-, three- and ten-year periods ended June 30, 2021 and underperformed for the quarter-to-date and five-year periods ended June 30, 2021. The Board noted the information provided regarding the Subadviser’s portfolio management processes. The Board also considered the Adviser’s assessment of the nature, extent and quality of services provided by the Subadviser, including the Adviser’s statement that it is satisfied with the level of services provided. |
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● | Loomis Sayles. The Subadviser outperformed for the year-to-date period ended June 30, 2021 and underperformed for the quarter-to-date, one-, three- and five-year periods ended June 30, 2021. The Board noted the information provided regarding the Subadviser’s portfolio management processes. The Board also considered the Adviser’s assessment of the nature, extent and quality of services provided by the Subadviser, including the Adviser’s statement that it is satisfied with the level of services provided, but will continue to closely monitor the Subadviser’s performance. |
● | Voya. The Subadviser outperformed for the quarter-to-date and year-to-date periods ended June 30, 2021. The Board noted that the Subadviser began managing its portion of the Fund in August 2020 and determined that performance history was too new to judge. |
Large Company Value Portfolio
● | LA Capital. With the exception of the quarter-to-date period ended June 30, 2021, the Subadviser underperformed for all periods reviewed. The Board considered the Adviser’s statement that it is satisfied with the level of services provided by the Subadviser, but will continue to closely monitor the Subadviser’s performance. |
● | Pzena. With the exception of the three-year period ended June 30, 2021, the Subadviser outperformed for all periods reviewed. The Board noted the information provided regarding the Subadviser’s investment program for its portion of the Fund. The Board also considered the Adviser’s assessment of the nature, extent and quality of services provided by the Subadviser, including the Adviser’s statement that it is satisfied with the level of services provided by the Subadviser. |
● | Voya. The Subadviser outperformed for the quarter-to-date and year-to-date periods ended June 30, 2021. The Board noted that the Subadviser began managing its portion of the Fund in August 2020 and determined that performance history was too new to judge. |
Small Company Growth Portfolio
● | LA Capital. The Subadviser outperformed for the quarter-to-date, year-to-date, one- and ten-year periods ended June 30, 2021, and underperformed for the three- and five-year periods ended June 30, 2021. The Board noted the information provided regarding the Subadviser’s investment program for its portion of the Fund. The Board also considered the Adviser’s assessment of the nature, extent and quality of services provided by the Subadviser, including the Adviser’s statement that it is satisfied with the level of services provided by the Subadviser. |
● | Ranger. With the exception of the one-year period ended June 30, 2021, the Subadviser outperformed for all periods reviewed. |
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Small Company Value Portfolio
● | Diamond Hill. The Subadviser underperformed for all periods reviewed. The Board noted that the Subadviser began managing its portion of the Fund in December 2019 and determined that performance history was too new too new to judge. However, the Board considered the Adviser’s statement that it will continue to closely monitor the Subadviser’s performance. |
● | Hotchkis & Wiley. With the exception of the quarter-to-date period ended June 30, 2021, the Subadviser outperformed for all periods reviewed. The Board noted that the Subadviser began managing its portion of the Fund in December 2019 and determined that performance history was too new to judge. However, the Board considered the Adviser’s statement that it will continue to closely monitor the Subadviser’s performance. |
● | LA Capital. The Subadviser outperformed for the year-to-date and ten-year periods ended June 30, 2021, and underperformed for the quarter-to-date, one-, three- and five-year periods ended June 30, 2021. The Board considered the Adviser’s statement that it is satisfied with the level of services provided by the Subadviser, but will continue to closely monitor the Subadviser’s performance. |
Wilshire 5000 Index Fund
● | LA Capital. The Subadviser underperformed for all periods reviewed. The Board noted that the Fund’s investment objective is to replicate as closely as possible the performance of the Wilshire 5000 Index (the “Index”) before the deduction of the Fund’s expenses. The Subadviser seeks to track the performance of the Index by partially replicating the holdings of the Index, as well as optimizing the portfolio’s exposures to certain factors. In this connection, the Board considered the Adviser’s assessment of the nature, extent and quality of services provided by the Subadviser, including the Adviser’s statement that the Subadviser’s performance is in line with expectations. The Board also took into account the fact that the Adviser is satisfied with the level of services provided by the Subadviser to the Fund. |
Wilshire Income Opportunities Fund
● | DoubleLine. The Subadviser outperformed for the quarter-to-date, year-to-date and one-year periods ended June 30, 2021, and underperformed for the three-year period ended June 30, 2021. The Board noted the information provided regarding the Subadviser’s investment program for its portion of the Fund. The Board also considered the Adviser’s assessment of the nature, extent and quality of services provided by the Subadviser, including the Adviser’s statement that it is satisfied with the level of services provided by the Subadviser. |
● | Manulife. The Subadviser outperformed for all periods reviewed. |
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● | Voya. The Subadviser outperformed for the year-to-date and one-year periods ended June 30, 2021, and underperformed for the quarter-to-date and three-year periods ended June 30, 2021. Longer-term performance was not considered because the Subadviser began managing its portion of the Fund in June 2018. The Board noted the information provided regarding the Subadviser’s investment program for its portion of the Fund. The Board also considered the Adviser’s assessment of the nature, extent and quality of services provided by the Subadviser, including the Adviser’s statement that it is satisfied with the level of services provided by the Subadviser. |
Wilshire International Equity Fund
● | Lazard. The Subadviser outperformed for the quarter-to-date and year-to-date periods ended June 30, 2021, and underperformed for the one-year period ended June 30, 2021. Longer-term performance was not considered because the Subadviser began managing its portion of the Fund in June 2019. The Board noted the information provided regarding the Subadviser’s investment program for its portion of the Fund. The Board also considered the Adviser’s assessment of the nature, extent and quality of services provided by the Subadviser, including the Adviser’s statement that it is satisfied with the level of services provided by the Subadviser, but will continue to closely monitor the Subadviser’s performance. |
● | LA Capital. With the exception of the quarter-to-date period ended June 30, 2021, the Subadviser outperformed for all periods reviewed. |
● | Pzena. With the exception of the quarter-to-date period ended June 30, 2021, the Subadviser outperformed for all periods reviewed. |
● | Voya. The Subadviser outperformed for the quarter-to-date and year-to-date periods ended June 30, 2021. The Board noted that the Subadviser began managing its portion of the Fund in August 2020 and determined that performance history was too new to judge. |
● | WCM. The Subadviser outperformed for all periods reviewed. |
With respect to each Subadviser’s resources and the ability of the Subadviser to carry out its responsibilities under the applicable Subadvisory Agreement, the Board considered the information provided regarding the Subadviser’s financial condition and available resources.
After reviewing and considering the foregoing and related factors, the Board concluded that, overall, it was satisfied with the nature, extent and quality of services provided, and expected to be provided, by each Subadviser to each Fund pursuant to the applicable Subadvisory Agreement.
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Subadvisory Fees
The Board considered each Fund’s subadvisory fees. The Board evaluated the competitiveness of the subadvisory fees based upon data supplied by each Subadviser about the fees charged to other clients. The Board also considered that the subadvisory fee rates were negotiated at arm’s length between the Adviser and each Subadviser, that the Adviser compensates the Subadviser from its fees and that the aggregate advisory fee had been deemed reasonable by the Board.
With respect to the Subadvisers reported fees for “Other Clients” managed in the same investment style as the applicable Fund or portion thereof, in cases in which the fees charged to the Adviser by the Subadviser were higher than those charged to Other Clients, the Board reviewed the Subadviser’s explanation for any difference and determined that the fees charged to the Adviser were competitive.
Based upon all of the above, the Board determined that the subadvisory fees for each Fund were reasonable.
Profitability to the Subadvisers
The Board noted that the Adviser compensates each Subadviser from its own advisory fees and that the fees were negotiated at arm’s length between the Adviser and each Subadviser. In addition, the Board noted that the revenues to the various Subadvisers were limited due to the current size of the Funds. The Board took these factors into consideration in concluding that the subadvisory fees were reasonable.
Economies of Scale
The Board considered whether there are economies of scale with respect to the subadvisory services provided to each Fund, and whether the subadvisory fees reflect such economies of scale through breakpoints in fees. The Board also considered whether the effective subadvisory fee rate for each Fund under the Subadvisory Agreement is reasonable in relation to the asset size of such Fund. The Board concluded that the fee schedule for each Fund reflects an appropriate recognition of any economies of scale.
Fall-Out Benefits
The Board also considered the character and amount of other incidental benefits received by each Subadviser. The Board considered each Subadviser’s soft dollar practices, as applicable, as well as affiliated brokerage arrangements for Fred Alger. The Board concluded that, taking into account the benefits arising from these practices, the fees charged under each Subadvisory Agreement were reasonable.
Conclusion
Based upon all of the information considered and the conclusions reached, the Board determined that the terms of each Subadvisory Agreement are fair and reasonable and that the approval of each Subadvisory Agreement is in the best interests of each Fund.
182
Wilshire Mutual Funds, Inc.
Board Approval of Subadvisory Agreements
(Unaudited) - (continued) |
On November 3, 2021, the Board of Directors (the “Board” and each individually, a “Director”) of Wilshire Mutual Funds, Inc. (the “Company”) approved new subadvisory agreements between Wilshire Advisors LLC (“Wilshire” or the “Adviser”) and the following subadvisers with respect to the foregoing series of the Company (each, a “Fund” and collectively, the “Funds”):
Subadviser | Fund |
AllianceBernstein L.P. (“AllianceBernstein”) | Large Company Growth Portfolio |
Granahan Investment Management Inc. (“Granahan”) | Small Company Growth Portfolio |
Hotchkis & Wiley Capital Management, LLC (“Hotchkis & Wiley”) | Large Company Value Portfolio |
In the following text, the subadvisers are referred to collectively as “Subadvisers” or individually as a “Subadviser,” and the subadvisory agreements between Wilshire and the Subadvisers are referred to collectively as the “Subadvisory Agreements” or individually, as a “Subadvisory Agreement.”
At the meeting on November 3, 2021, in connection with the review of Wilshire’s proposed Subadvisory Agreement with each Subadviser, the Board evaluated information provided by Wilshire and the Subadviser in accordance with Section 15(c) of the Investment Company Act of 1940, as amended (the “1940 Act”).
The information that follows outlines the Board’s considerations associated with its approval of each Subadvisory Agreement. In connection with its deliberations regarding the approval of these relationships, the Board considered such information and factors as it believed to be relevant. As described below, with respect to each Subadviser, the Board considered the nature, extent and quality of the services to be performed by the Subadviser under the proposed subadvisory arrangement; comparative fees as provided by the Subadviser; the profits to be realized by the Subadviser; the extent to which the Subadviser would realize economies of scale as the Fund grows; and whether any fall-out benefits would be realized by the Subadviser. In considering these matters, the Board was advised with respect to relevant legal standards by independent legal counsel. In addition, the Directors who are not “interested persons” of the Company as defined in the 1940 Act (the “Independent Directors”) discussed the approval of the Subadvisory Agreements with management and in private sessions with independent legal counsel at which no representatives of the Subadvisers were present.
As required by the 1940 Act, each approval was confirmed by a separate vote of the Independent Directors. As part of its review process, the Independent Directors were represented by independent legal counsel (“Independent Legal Counsel”), from whom the Independent Directors received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Independent Directors various key aspects of the Directors’ legal responsibilities relating to the proposed
183
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Board Approval of Subadvisory Agreements
(Unaudited) - (continued) |
approval of the Subadvisory Agreements, and advised the Independent Directors of the relevant legal standards. In deciding to approve each Subadvisory Agreement, the Board did not identify any single factor as controlling and this summary does not describe all of the matters considered. However, the Board concluded that each of the various factors referred to below favored such approval.
Information Received
The Board, including the Independent Directors, considered the approval of the Subadvisory Agreements at the Board’s November 3, 2021 meeting. The Directors received information from the Adviser regarding the factors underlying its recommendations to approve each Subadvisory Agreement. The Directors also received information from each Subadviser as to the Fund it would manage describing: (i) the nature, extent and quality of services to be provided; (ii) the financial condition of the Subadviser; (iii) the extent to which economies of scale may be realized as the Fund grows; (iv) whether fee levels reflect any possible economies of scale for the benefit of the Fund’s shareholders; (v) comparisons of services rendered and amounts paid by any comparable advisory clients; and (vi) benefits to be realized by the Subadviser from its relationship with the Fund. The Independent Directors also received a memorandum from Independent Legal Counsel describing their duties in connection with advisory contract proposals, and they were assisted in their review by Independent Legal Counsel. Based upon its evaluation of all materials provided and its determination that it had received sufficient information to make an informed business decision with respect to the Subadvisory Agreements, the Board concluded that it was in the best interests of each Fund to approve the applicable Subadvisory Agreement.
Nature, Extent and Quality of Services
As to each Subadviser, the Board considered the nature, extent and quality of services to be provided under the Subadvisory Agreement. The Board considered the firm’s overall reputation, the qualifications and background of the Subadviser, its financial condition, the investment approach and methodologies of the Subadviser, the experience and skills of investment personnel to be responsible for the day-to-day management of the portion of the applicable Fund, and the resources made available to such personnel, as well as information regarding how the Subadviser compensates such personnel. The Board also considered information regarding each Subadviser’s disaster recovery, including cybersecurity risk mitigation, and policies with respect to portfolio execution, trading, liquidity risk management oversight and proxy voting. The Board noted that it had received a copy of each Subadviser’s Form ADV, including the brochure (Part 2A), which provides additional information about other products the firm manages and the ownership structure of the firm, among other things. With respect to Hotchkis & Wiley, the Board also considered its experience with the Subadviser who also serves as a subadviser to another series of the Company. In addition, the Board considered the analysis provided by the Adviser, including the metrics used by the Adviser to evaluate each Subadviser, which concluded that the Subadviser would provide reasonable services
184
Wilshire Mutual Funds, Inc.
Board Approval of Subadvisory Agreements
(Unaudited) - (continued) |
and had reasonable compliance policies and procedures in place. Also important to the Board’s analysis was the Adviser’s recommendation that each Subadvisory Agreement for each applicable Fund be approved.
In connection with its evaluation of the quality of services to be provided by each Subadviser, the Board reviewed information comparing the Subadviser’s annualized gross investment performance for managing investment products with an investment strategy similar to the one to be employed by the Subadviser for the applicable Fund to the Fund’s benchmark index for the one-, three-, five- and seven-year periods ended June 30, 2021.
As to each Subadviser’s performance, the Board made the observations and considered the factors noted below:
● | AllianceBernstein. The Board noted that, although the Subadviser underperformed the Russell 1000 Growth Index for the one-year period, the Subadviser outperformed for the three-, five- and seven-year periods. |
● | Granahan. The Board noted that the Subadviser outperformed the Russell 2000 Growth Index for the one-, three-, five- and seven-year periods. |
● | Hotchkis & Wiley. The Board noted that the Subadviser outperformed the Russell 1000 Value Index for the one-, three-, five- and seven-year periods. |
After reviewing and considering the foregoing and related factors, the Board concluded that, overall, it was satisfied with the nature, extent and quality of services expected to be provided by each Subadviser to each Fund pursuant to the applicable Subadvisory Agreement.
Subadvisory Fees
The Board considered each Subadviser’s proposed subadvisory fee. The Board evaluated the competitiveness of the subadvisory fee based upon data supplied by each Subadviser about the fees charged to other clients. The Board also considered that the subadvisory fee rates were negotiated at arm’s length between the Adviser and each Subadviser, that the Adviser compensates the Subadviser from its fees and that the aggregate advisory fee had been deemed reasonable by the Board.
As part of its evaluation of each Subadviser’s fee, the Board noted that the Subadviser indicated that it did not charge a lower fee to any other client portfolios that it advises using the same investment style as that to be employed for the applicable Fund or did not charge a lower fee to any client portfolios that it advises using the same investment style as that to be employed for the applicable Fund and that are the same size as the Subadviser’s allocated portion of such Fund.
Based upon all of the above, the Board determined that the subadvisory fees were reasonable.
185
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Board Approval of Subadvisory Agreements
(Unaudited) - (continued) |
Profitability to the Subadvisers
The Board noted that the Adviser compensates each Subadviser from its own advisory fees and that the subadvisory fees were negotiated at arm’s length between the Adviser and the Subadviser. In addition, the Board noted that the revenues to the Subadviser would be limited due to the current size of the Funds. The Board took these factors into consideration in concluding that the subadvisory fees were reasonable.
Economies of Scale
The Board considered whether there may be economies of scale with respect to the subadvisory services to be provided to the applicable Funds and whether the subadvisory fees reflect such economies of scale through breakpoints in fees. The Board also considered whether the subadvisory fee rate under each Subadvisory Agreement is reasonable in relation to the asset size of the applicable Fund. The Board concluded that the fee schedule under each Subadvisory Agreement reflects an appropriate recognition of any economies of scale.
Fall-Out Benefits
The Board also considered the character and amount of other incidental benefits to be received by the Subadviser. The Board considered each Subadviser’s soft dollar practices. The Board concluded that, taking into account any such other benefits, the subadvisory fees to be charged under the Subadvisory Agreements were reasonable.
Conclusion
Based upon all of the information considered and the conclusions reached, the Board determined that the terms of each Subadvisory Agreement are fair and reasonable and that the approval of the Subadvisory Agreement is in the best interests of the applicable Fund.
186
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Wilshire Mutual Funds
WH-WMF-ANNU 12/31/21
Wilshire Advisors LLC
1299 Ocean Avenue
Santa Monica, CA 90401
1-866-591-1568
http://advisor.wilshire.com
(b) Not applicable.
Item 2. Code of Ethics.
As of the end of the period covered by this report, the registrant has adopted a code of ethics 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. Pursuant to Item 13(a)(1), a copy of registrant’s code of ethics is filed herewith. During the period covered by this report, the code of ethics has not been amended, and the registrant has not granted any waivers, including implicit waivers, from the provisions of the code of ethics.
Item 3. Audit Committee Financial Expert.
The registrant’s board of directors has determined that the registrant has at least one audit committee financial expert serving on its audit committee. Mr. Roger A. Formisano is the “audit committee financial expert” and is considered to be “independent” as each term is defined in Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
The registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and other services during the past two fiscal years. “Audit services” refer to performing an audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. “Audit-related services” refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. “Tax services” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. “Other services” were not provided by the principal accountant. The following table details the aggregate fees billed or expected to be billed for each of the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.
FYE 12/31/2021 | FYE 12/31/2020 | |
Audit Fees | 135,500 | 135,500 |
Audit-Related Fees | 0 | 0 |
Tax Fees | 35,000 | 29,000 |
All Other Fees | 0 | 0 |
The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.
The percentage of fees billed by Cohen & Co. applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:
FYE 12/31/2021 | FYE 12/31/2020 | |
Audit-Related Fees | 0% | 0% |
Tax Fees | 0% | 0% |
All Other Fees | 0% | 0% |
All of the principal accountant’s hours spent on auditing the registrant’s financial statements were attributed to work performed by full-time permanent employees of the principal accountant.
The following table indicates the non-audit fees billed or expected to be billed by the registrant’s accountant for services to the registrant and to the registrant’s investment adviser (and any other controlling entity, etc.—not sub-adviser) for the last two years. The audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser is compatible with maintaining the principal accountant's independence and has concluded that the provision of such non-audit services by the accountant has not compromised the accountant’s independence.
Non-Audit Related Fees | FYE 12/31/2021 | FYE 12/31/2020 |
Registrant | 35,000 | 29,000 |
Registrant’s Investment Adviser | 0 | 0 |
Item 5. Audit Committee of Listed Registrants.
Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
(b) | Not applicable. |
Item 6. Investments.
(a) | The Schedules of Investment in securities of unaffiliated issuers as of the close of the reporting period for the Wilshire 5000 IndexSM Fund, the Large Company Growth Portfolio, the Large Company Value Portfolio, the Small Company Growth Portfolio, the Small Company Value Portfolio, the Wilshire International Equity Fund, and the Wilshire Income Opportunities Fund are listed below. |
WILSHIRE MUTUAL FUNDS, INC. | |
LARGE COMPANY GROWTH PORTFOLIO | December 31, 2021 |
SCHEDULE OF INVESTMENTS |
Shares | Value | |||||||
COMMON STOCKS - 79.0% (a) | ||||||||
Communication Services - 9.5% | ||||||||
Alphabet, Inc. - Class A (b) | 984 | $ | 2,850,687 | |||||
Alphabet, Inc. - Class C (b) | 4,999 | 14,465,056 | ||||||
Live Nation Entertainment, Inc. (b) | 7,305 | 874,336 | ||||||
Meta Platforms, Inc. - Class A (b) | 20,493 | 6,892,821 | ||||||
Netflix, Inc. (b) | 716 | 431,347 | ||||||
Nexstar Media Group, Inc. - Class A | 61 | 9,210 | ||||||
Pinterest, Inc. - Class A (b) | 4,611 | 167,610 | ||||||
Roku, Inc. (b) | 1,947 | 444,305 | ||||||
Sea Ltd. - ADR (b) | 828 | 185,232 | ||||||
Snap, Inc. - Class A (b) | 18,187 | 855,335 | ||||||
Take-Two Interactive Software, Inc. (b) | 4,920 | 874,382 | ||||||
28,050,321 | ||||||||
Consumer Discretionary - 13.1% | ||||||||
Amazon.com, Inc. (b) | 4,192 | 13,977,553 | ||||||
AutoZone, Inc. (b) | 37 | 77,566 | ||||||
Bath & Body Works, Inc. (b) | 1,469 | 102,521 | ||||||
Booking Holdings, Inc. (b) | 240 | 575,815 | ||||||
Burlington Stores, Inc. (b) | 2,817 | 821,184 | ||||||
Capri Holdings Ltd. (b) | 11,371 | 738,092 | ||||||
Carvana Co. (b) | 1,664 | 385,699 | ||||||
Domino's Pizza, Inc. | 1,714 | 967,262 | ||||||
eBay, Inc. | 1,245 | 82,792 | ||||||
Etsy, Inc. (b) | 2,648 | 579,753 | ||||||
General Motors Co. (b) | 23,584 | 1,382,730 | ||||||
Lithia Motors, Inc. | 545 | 161,838 | ||||||
Lowe's Cos., Inc. | 3,712 | 959,478 | ||||||
Lululemon Athletica, Inc. (b) | 957 | 374,618 | ||||||
McDonald's Corp. | 1,557 | 417,385 | ||||||
MGM Resorts International | 37,195 | 1,669,312 | ||||||
NIKE, Inc. - Class B | 15,381 | 2,563,551 | ||||||
O'Reilly Automotive, Inc. (b) | 59 | 41,668 | ||||||
Pool Corp. | 758 | 429,028 | ||||||
RH (b) | 740 | 396,596 | ||||||
Ross Stores, Inc. | 1,237 | 141,364 | ||||||
Starbucks Corp. | 3,923 | 458,873 | ||||||
Target Corp. | 2,604 | 602,670 | ||||||
Tesla, Inc. (b) | 5,187 | 5,481,518 | ||||||
The Home Depot, Inc. | 10,055 | 4,172,925 | ||||||
The TJX Cos., Inc. | 5,635 | 427,809 | ||||||
Toll Brothers, Inc. | 2,612 | 189,083 | ||||||
Ulta Beauty, Inc. (b) | 406 | 167,410 | ||||||
Victoria's Secret & Co. (b) | 489 | 27,159 | ||||||
Williams-Sonoma, Inc. | 47 | 7,949 | ||||||
Yum! Brands, Inc. | 1,156 | 160,522 | ||||||
38,541,723 | ||||||||
Consumer Staples - 1.9% | ||||||||
Costco Wholesale Corp. | 5,518 | 3,132,569 | ||||||
Monster Beverage Corp. (b) | 17,671 | 1,697,123 | ||||||
PepsiCo, Inc. | 506 | 87,897 | ||||||
The Coca-Cola Co. | 8,921 | 528,212 | ||||||
US Foods Holding Corp. (b) | 6,771 | 235,834 | ||||||
5,681,635 | ||||||||
Energy - 0.1% | ||||||||
Coterra Energy, Inc. | 11,889 | 225,891 | ||||||
Equitrans Midstream Corp. | 4,091 | 42,301 | ||||||
Hess Corp. | 555 | 41,086 | ||||||
Pioneer Natural Resources Co. | 342 | 62,203 | ||||||
371,481 | ||||||||
Financials - 2.2% | ||||||||
Alleghany Corp. (b) | 54 | 36,050 | ||||||
American Express Co. | 1,837 | 300,533 | ||||||
Cboe Global Markets, Inc. | 3,541 | 461,746 | ||||||
Coinbase Global, Inc. - Class A (b) | 1,771 | 446,947 | ||||||
Discover Financial Services | 671 | 77,541 | ||||||
Everest Re Group Ltd. | 1,751 | 479,634 | ||||||
MarketAxess Holdings, Inc. | 363 | 149,291 | ||||||
Marsh & McLennan Cos., Inc. | 614 | 106,725 | ||||||
Moody's Corp. | 75 | 29,294 | ||||||
MSCI, Inc. | 100 | 61,269 | ||||||
Rocket Cos., Inc. - Class A (c) | 4,404 | 61,656 | ||||||
S&P Global, Inc. | 3,919 | 1,849,494 | ||||||
Signature Bank | 5,874 | 1,900,063 | ||||||
SLM Corp. | 8,487 | 166,939 | ||||||
Synchrony Financial | 10,924 | 506,764 | ||||||
6,633,946 | ||||||||
Health Care - 10.1% | ||||||||
AbbVie, Inc. | 2,891 | 391,441 | ||||||
ABIOMED, Inc. (b) | 1,066 | 382,875 | ||||||
Agilent Technologies, Inc. | 2,429 | 387,790 | ||||||
Align Technology, Inc. (b) | 3,714 | 2,440,767 | ||||||
Amgen, Inc. | 113 | 25,422 | ||||||
Avantor, Inc. (b) | 1,376 | 57,985 | ||||||
Catalent, Inc. (b) | 10,346 | 1,324,598 | ||||||
Danaher Corp. | 5,976 | 1,966,164 | ||||||
Dexcom, Inc. (b) | 901 | 483,792 | ||||||
Edwards Lifesciences Corp. (b) | 12,885 | 1,669,252 | ||||||
Encompass Health Corp. | 658 | 42,941 | ||||||
HCA Healthcare, Inc. | 1,741 | 447,298 | ||||||
IDEXX Laboratories, Inc. (b) | 1,740 | 1,145,720 | ||||||
Illumina, Inc. (b) | 1,210 | 460,332 | ||||||
Incyte Corp. (b) | 549 | 40,297 | ||||||
Intuitive Surgical, Inc. (b) | 6,859 | 2,464,439 | ||||||
IQVIA Holdings, Inc. (b) | 921 | 259,851 | ||||||
Johnson & Johnson | 709 | 121,289 | ||||||
Mettler-Toledo International, Inc. (b) | 263 | 446,366 | ||||||
Moderna, Inc. (b) | 771 | 195,819 | ||||||
Molina Healthcare, Inc. (b) | 788 | 250,647 | ||||||
Natera, Inc. (b) | 2,980 | 278,302 | ||||||
Regeneron Pharmaceuticals, Inc. (b) | 440 | 277,869 | ||||||
Repligen Corp. (b) | 769 | 203,662 | ||||||
ResMed, Inc. | 398 | 103,671 | ||||||
Thermo Fisher Scientific, Inc. | 459 | 306,263 | ||||||
UnitedHealth Group, Inc. | 12,741 | 6,397,766 | ||||||
Veeva Systems, Inc. - Class A (b) | 2,828 | 722,497 | ||||||
Vertex Pharmaceuticals, Inc. (b) | 10,244 | 2,249,582 | ||||||
Waters Corp. (b) | 1,662 | 619,261 | ||||||
Zoetis, Inc. | 14,312 | 3,492,557 | ||||||
29,656,515 | ||||||||
Industrials - 4.5% | ||||||||
3M Co. | 159 | 28,243 | ||||||
Allegion PLC | 3,440 | 455,594 | ||||||
Allison Transmission Holdings, Inc. | 879 | 31,952 | ||||||
AMETEK, Inc. | 9,065 | 1,332,917 | ||||||
Booz Allen Hamilton Holding Corp. | 730 | 61,897 | ||||||
Copart, Inc. (b) | 8,940 | 1,355,483 | ||||||
Eaton Corp. PLC | 15,306 | 2,645,183 | ||||||
GXO Logistics, Inc. (b) | 276 | 25,069 | ||||||
IDEX Corp. | 1,968 | 465,078 | ||||||
Illinois Tool Works, Inc. | 829 | 204,597 | ||||||
Landstar System, Inc. | 964 | 172,575 | ||||||
Old Dominion Freight Line, Inc. | 1,777 | 636,841 | ||||||
Robert Half International, Inc. | 689 | 76,837 | ||||||
Roper Technologies, Inc. | 2,637 | 1,297,035 | ||||||
Textron, Inc. | 8,937 | 689,936 | ||||||
TransDigm Group, Inc. (b) | 1,629 | 1,036,500 | ||||||
Trex Co., Inc. (b) | 3,636 | 490,969 | ||||||
Uber Technologies, Inc. (b) | 28,013 | 1,174,585 | ||||||
Union Pacific Corp. | 1,760 | 443,397 | ||||||
United Parcel Service, Inc. - Class B | 2,146 | 459,974 | ||||||
WW Grainger, Inc. | 112 | 58,043 | ||||||
13,142,705 | ||||||||
Information Technology - 37.2% | ||||||||
Accenture PLC - Class A | 3,084 | 1,278,472 | ||||||
Adobe, Inc. (b) | 9,266 | 5,254,378 | ||||||
Advanced Micro Devices, Inc. (b) | 20,803 | 2,993,552 | ||||||
Allegro MicroSystems, Inc. (b) | 1,073 | 38,821 | ||||||
Amphenol Corp. - Class A | 8,607 | 752,768 | ||||||
Analog Devices, Inc. | 2,115 | 371,754 | ||||||
Apple, Inc. | 84,888 | 15,073,562 | ||||||
Applied Materials, Inc. | 20,925 | 3,292,758 | ||||||
Arista Networks, Inc. (b) | 14,526 | 2,088,112 | ||||||
ASML Holding NV - ADR | 1,154 | 918,746 | ||||||
Atlassian Corp. PLC - Class A (b) | 692 | 263,853 | ||||||
Bill.com Holdings, Inc. (b) | 4,268 | 1,063,372 | ||||||
Broadcom, Inc. | 997 | 663,414 | ||||||
CDW Corp. | 985 | 201,708 | ||||||
Cognex Corp. | 4,648 | 361,428 | ||||||
Cognizant Technology Solutions Corp. - Class A | 2,479 | 219,937 | ||||||
Crowdstrike Holdings, Inc. - Class A (b) | 1,773 | 363,022 | ||||||
Datadog, Inc. - Class A (b) | 940 | 167,423 | ||||||
Dlocal Ltd. (b) | 8,533 | 304,543 | ||||||
DocuSign, Inc. (b) | 1,345 | 204,857 | ||||||
Dynatrace, Inc. (b) | 5,476 | 330,477 | ||||||
Enphase Energy, Inc. (b) | 159 | 29,087 | ||||||
Entegris, Inc. | 274 | 37,971 | ||||||
EPAM Systems, Inc. (b) | 1,922 | 1,284,761 | ||||||
Fortinet, Inc. (b) | 2,826 | 1,015,664 | ||||||
Gartner, Inc. (b) | 1,860 | 621,835 | ||||||
HP, Inc. | 6,362 | 239,657 | ||||||
HubSpot, Inc. (b) | 165 | 108,760 | ||||||
Intuit, Inc. | 4,053 | 2,606,971 | ||||||
IPG Photonics Corp. (b) | 3,539 | 609,203 | ||||||
KLA Corp. | 1,291 | 555,272 | ||||||
Manhattan Associates, Inc. (b) | 2,524 | 392,457 | ||||||
Marqeta, Inc. - Class A (b) | 47,535 | 816,176 | ||||||
Mastercard, Inc. - Class A | 2,635 | 946,808 | ||||||
Micron Technology, Inc. | 20,160 | 1,877,904 | ||||||
Microsoft Corp. | 74,705 | 25,124,786 | ||||||
Monolithic Power Systems, Inc. | 365 | 180,065 | ||||||
Motorola Solutions, Inc. | 1,328 | 360,818 | ||||||
NVIDIA Corp. | 25,877 | 7,610,684 | ||||||
NXP Semiconductors NV | 1,399 | 318,664 | ||||||
Palo Alto Networks, Inc. (b) | 416 | 231,612 | ||||||
PayPal Holdings, Inc. (b) | 18,273 | 3,445,922 | ||||||
PTC, Inc. (b) | 3,595 | 435,534 | ||||||
QUALCOMM, Inc. | 40,166 | 7,345,156 | ||||||
salesforce.com, Inc. (b) | 8,114 | 2,062,011 | ||||||
ServiceNow, Inc. (b) | 1,235 | 801,651 | ||||||
Shopify, Inc. - Class A (b) | 1,046 | 1,440,750 | ||||||
Skyworks Solutions, Inc. | 2,778 | 430,979 | ||||||
Snowflake, Inc. - Class A (b) | 1,369 | 463,749 | ||||||
SolarEdge Technologies, Inc. (b) | 1,129 | 316,764 | ||||||
Texas Instruments, Inc. | 3,412 | 643,060 | ||||||
Twilio, Inc. - Class A (b) | 3,590 | 945,391 | ||||||
Tyler Technologies, Inc. (b) | 711 | 382,482 | ||||||
Ubiquiti, Inc. | 385 | 118,080 | ||||||
Unity Software, Inc. (b) | 7,358 | 1,052,120 | ||||||
Universal Display Corp. | 881 | 145,391 | ||||||
Visa, Inc. - Class A | 28,709 | 6,221,527 | ||||||
VMware, Inc. - Class A | 1,059 | 122,717 | ||||||
Workday, Inc. - Class A (b) | 844 | 230,564 | ||||||
Xilinx, Inc. | 7,317 | 1,551,424 | ||||||
Zoom Video Communications, Inc. - Class A (b) | 936 | 172,140 | ||||||
109,503,524 | ||||||||
Materials - 0.3% | ||||||||
The Chemours Co. | 5,028 | 168,740 | ||||||
The Sherwin-Williams Co. | 2,043 | 719,463 | ||||||
888,203 | ||||||||
Real Estate - 0.1% | ||||||||
CBRE Group, Inc. - Class A (b) | 1,004 | 108,944 | ||||||
Public Storage | 68 | 25,470 | ||||||
Simon Property Group, Inc. | 1,433 | 228,950 | ||||||
363,364 | ||||||||
Total Common Stocks (Cost $134,739,942) | 232,833,417 |
Par Value | ||||||||
U.S. TREASURY OBLIGATIONS - 0.3% | ||||||||
U.S. Treasury Notes - 0.3% | ||||||||
0.125%, due 05/31/23 (d) | $ | 119,000 | 118,256 | |||||
0.250%, due 09/30/23 (d) | 32,000 | 31,775 | ||||||
0.250%, due 06/15/24 (d) | 172,000 | 169,474 | ||||||
0.750%, due 11/15/24 (d) | 52,000 | 51,716 | ||||||
0.250%, due 10/31/25 (d) | 55,000 | 53,152 | ||||||
0.875%, due 09/30/26 (d) | 156,000 | 153,221 | ||||||
1.250%, due 11/30/26 (d) | 131,000 | 130,939 | ||||||
1.125%, due 02/15/31 (d) | 7,000 | 6,792 | ||||||
1.375%, due 11/15/31 (d) | 80,000 | 78,950 | ||||||
Total U.S. Treasury Obligations (Cost $799,815) | 794,275 | |||||||
AGENCY MORTGAGE-BACKED OBLIGATIONS - 0.1% | ||||||||
Federal Home Loan Mortgage Corp. - 0.1% | ||||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
Series K-108, 1.690%, due 03/25/30 (d)(e) | 459,870 | 55,916 | ||||||
Series K-1501, 0.394%, due 04/25/30 (d)(e) | 2,567,920 | 66,024 | ||||||
Series K-110, 1.697%, due 04/25/30 (d)(e) | 399,133 | 47,831 | ||||||
Series K-118, 0.961%, due 09/25/30 (d)(e) | 997,697 | 71,594 | ||||||
Series K-123, 0.775%, due 12/25/30 (d)(e) | 1,398,397 | 82,591 | ||||||
Total Agency Mortgage-Backed Obligations (Cost $277,841) | 323,956 | |||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 1.8% | ||||||||
BBCMS 2018-TALL Mortgage Trust | ||||||||
Series 2018-TALL, 0.832%, due 03/15/37 (1 Month U.S. LIBOR + 0.722%) (d)(f)(g) | 180,000 | 177,981 | ||||||
BBCMS 2020-BID Mortgage Trust | ||||||||
Series 2020-BID, 2.250%, due 10/15/37 (1 Month U.S. LIBOR + 2.140%) (d)(f)(g) | 170,000 | 170,501 | ||||||
BBCMS 2021-AGW Mortgage Trust | ||||||||
Series 2021-AGW, 1.360%, due 06/15/36 (1 Month U.S. LIBOR + 1.250%) (d)(f)(g) | 300,000 | 299,252 | ||||||
BX Commercial Mortgage Trust 2020-VKNG | ||||||||
Series 2020-VKNG, 1.510%, due 10/15/37 (1 Month U.S. LIBOR + 1.400%) (d)(f)(g) | 82,243 | 82,151 | ||||||
CIM Trust 2021-J3 | ||||||||
Series 2021-J3, 2.500%, due 06/25/51 (d)(e)(f) | 480,742 | 476,047 | ||||||
GS Mortgage Securities Trust 2018-HART | ||||||||
Series 2018-HART, 1.200%, due 10/15/31 (1 Month U.S. LIBOR + 1.090%) (d)(f)(g) | 170,000 | 169,682 | ||||||
GSCG Trust 2019-600C | ||||||||
Series 2019-600C, 2.936%, due 09/06/34 (d)(f) | 180,000 | 184,310 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON | ||||||||
Series A, 3.884%, due 01/05/34 (d)(f) | 130,000 | 133,343 | ||||||
JP Morgan Mortgage Trust 2017-2 | ||||||||
Series 2017-2, 3.500%, due 05/25/47 (d)(e)(f) | 66,798 | 67,814 | ||||||
JP Morgan Mortgage Trust 2018-5 | ||||||||
Series 2018-5, 3.500%, due 10/25/48 (d)(e)(f) | 133,075 | 134,636 | ||||||
JP Morgan Mortgage Trust 2019-1 | ||||||||
Series 2019-1, 4.000%, due 05/25/49 (d)(e)(f) | 21,039 | 21,176 | ||||||
JP Morgan Mortgage Trust 2019-3 | ||||||||
Series 2019-3, 4.000%, due 09/25/49 (d)(e)(f) | 5,019 | 5,049 | ||||||
JP Morgan Mortgage Trust 2019-INV3 | ||||||||
Series 2019-INV3, 3.500%, due 05/25/50 (d)(e)(f) | 124,419 | 126,645 | ||||||
JP Morgan Mortgage Trust 2020-2 | ||||||||
Series 2020-2, 3.500%, due 07/25/50 (d)(e)(f) | 109,329 | 110,715 | ||||||
JP Morgan Mortgage Trust 2021-7 | ||||||||
Series TR, 2.500%, due 11/25/51 (d)(e)(f) | 278,244 | 275,962 | ||||||
JP Morgan Trust 2015-3 | ||||||||
Series 2015-3, 3.500%, due 05/25/45 (d)(e)(f) | 76,414 | 77,386 | ||||||
JPMBB Commercial Mortgage Securities Trust 2013-C12 | ||||||||
Series B, 4.098%, due 07/15/45 (d)(e) | 163,000 | 167,603 | ||||||
KREST Commercial Mortgage Securities Trust 2021-CHIP | ||||||||
Series C, 2.927%, due 11/05/44 (d)(e)(f) | 275,000 | 270,812 | ||||||
Mello Warehouse Securitization Trust 2020-1 | ||||||||
Series 2020-1, 1.252%, due 10/25/53 (1 Month U.S. LIBOR + 1.150%) (d)(f)(g) | 100,000 | 100,041 | ||||||
OBX 2021-J3 Trust | ||||||||
Series 2021-J3, 2.500%, due 10/25/51 (d)(e)(f) | 400,000 | 396,246 | ||||||
Provident Funding Mortgage Trust 2021-J1 | ||||||||
Series 2.00000, 2.000%, due 10/25/51 (d)(e)(f) | 100,000 | 95,551 | ||||||
Ready Capital Mortgage Financing 2021-FL5 LLC | ||||||||
Series 2021-FL5, 1.852%, due 04/25/38 (1 Month U.S. LIBOR + 1.750%) (d)(f)(g) | 350,000 | 348,578 | ||||||
Sequoia Mortgage Trust 2016-3 | ||||||||
Series 2016-3, 3.000%, due 11/25/46 (d)(e)(f) | 14,000 | 14,010 | ||||||
Sequoia Mortgage Trust 2019-CH2 | ||||||||
Series 2019-CH2, 4.500%, due 08/25/49 (d)(e)(f) | 17,207 | 17,438 | ||||||
Sequoia Mortgage Trust 2019-CH3 | ||||||||
Series 2019-CH3, 4.000%, due 09/25/49 (d)(e)(f) | 13,638 | 13,812 | ||||||
Sequoia Mortgage Trust 2020-4 | ||||||||
Series 2020-4, 2.500%, due 11/25/50 (d)(e)(f) | 200,000 | 201,251 | ||||||
Sequoia Mortgage Trust 2021-1 | ||||||||
Series A-7, 2.500%, due 03/25/51 (d)(e)(f) | 350,000 | 348,707 | ||||||
SLG Office Trust 2021-OVA | ||||||||
Series 2021-OVA, 2.585%, due 07/15/41 (d)(f) | 190,000 | 193,852 | ||||||
Wells Fargo Commercial Mortgage Trust 2021-FCMT | ||||||||
Series A, 1.310%, due 05/15/31 (1 Month U.S. LIBOR + 1.200%) (d)(f)(g) | 200,000 | 199,656 | ||||||
Wells Fargo Mortgage Backed Securities 2020-RR1 Trust | ||||||||
Series A-1, 3.000%, due 05/25/50 (d)(e)(f) | 147,950 | 149,719 | ||||||
WFRBS Commercial Mortgage Trust 2014-C21 | ||||||||
Series 2014-C21, 4.213%, due 08/15/47 (d)(e) | 180,000 | 184,124 | ||||||
Total Non-Agency Mortgage-Backed Obligations (Cost $5,255,761) | 5,214,050 | |||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS INTEREST-ONLY STRIPS - 0.1% | ||||||||
BBCMS Trust 2021-C10 | ||||||||
Series 2021-C10, 1.308%, due 07/15/54 (d)(e) | 997,706 | 94,725 | ||||||
Benchmark 2020-B19 Mortgage Trust | ||||||||
Series 2020-B19, 1.776%, due 09/15/53 (d)(e) | 997,210 | 102,077 | ||||||
Benchmark 2021-B29 Mortgage Trust | ||||||||
Series X-A, 1.049%, due 09/15/54 (d)(e)(f) | 999,153 | 74,559 | ||||||
DBJPM 20-C9 Mortgage Trust | ||||||||
Series 2020-C9, 1.712%, due 09/15/53 (d)(e) | 708,590 | 66,574 | ||||||
Total Non-Agency Mortgage-Backed Obligations Interest-Only Strips (Cost $358,224) | 337,935 | |||||||
ASSET-BACKED SECURITIES - 1.5% | ||||||||
American Airlines 2015-2 Class AA Pass Through Trust | ||||||||
Series 2015-2, 3.600%, due 09/22/27 (d) | 76,166 | 77,968 | ||||||
American Airlines 2016-2 Class AA Pass Through Trust | ||||||||
Series 2016-2, 3.200%, due 06/15/28 (d) | 48,928 | 48,826 | ||||||
AmeriCredit Automobile Receivables Trust 2021-2 | ||||||||
Series TR, 1.010%, due 01/19/27 (d) | 100,000 | 98,384 | ||||||
Beacon Container Finance II LLC | ||||||||
Series NT, 2.250%, due 10/22/46 (d)(f) | 98,333 | 97,983 | ||||||
Commonbond Student Loan Trust 2018-C-GS | ||||||||
Series A-1, 3.870%, due 02/25/46 (d)(f) | 133,023 | 136,302 | ||||||
Exeter Automobile Receivables Trust 2020-3 | ||||||||
Series 2020-3, 1.320%, due 07/15/25 (d) | 200,000 | 200,871 | ||||||
FedEx Corp 2020-1 Class AA Pass Through Trust | ||||||||
Series 2020-1AA, 1.875%, due 02/20/34 (d) | 240,418 | 235,737 | ||||||
Helios Issuer LLC | ||||||||
Series A, 2.980%, due 06/20/47 (d)(f) | 205,088 | 211,206 | ||||||
Laurel Road Prime Student Loan Trust 2020-A | ||||||||
Series 1.40000, 1.400%, due 11/25/50 (d)(f) | 234,619 | 233,786 | ||||||
Loanpal Solar Loan 2020-2 Ltd. | ||||||||
Series A, 2.750%, due 07/20/47 (d)(f) | 193,645 | 196,975 | ||||||
Marlette Funding Trust 2021-1 | ||||||||
Series C, 1.410%, due 06/16/31 (d)(f) | 200,000 | 198,329 | ||||||
Mosaic Solar Loan Trust 2020-2 | ||||||||
Series 2020-2, 1.440%, due 08/20/46 (d)(f) | 72,335 | 69,929 | ||||||
Navient Private Education Refi Loan Trust 2021-A | ||||||||
Series A, 0.840%, due 05/15/69 (d)(f) | 94,725 | 93,313 | ||||||
Oscar US Funding XII LLC | ||||||||
Series A-4, 1.000%, due 04/10/28 (d)(f) | 200,000 | 198,479 | ||||||
PFS Financing Corp. | ||||||||
Series 2021-A, 0.710%, due 04/15/26 (d)(f) | 100,000 | 98,622 | ||||||
Santander Consumer Auto Receivables Trust 2021-A | ||||||||
Series 2021-A, 1.030%, due 11/16/26 (d)(f) | 150,000 | 147,522 | ||||||
Santander Drive Auto Receivables Trust 2019-3 | ||||||||
Series D, 2.680%, due 10/15/25 (d) | 250,000 | 253,532 | ||||||
Santander Drive Auto Receivables Trust 2020-3 | ||||||||
Series B, 0.690%, due 03/17/25 (d) | 100,000 | 100,098 | ||||||
Santander Drive Auto Receivables Trust 2020-3 | ||||||||
Series C, 1.120%, due 01/15/26 (d) | 200,000 | 200,664 | ||||||
Santander Drive Auto Receivables Trust 2021-2 | ||||||||
Series C, 0.900%, due 06/15/26 (d) | 100,000 | 99,199 | ||||||
Sofi Consumer Loan Program 2018-1 Trust | ||||||||
Series B, 3.650%, due 02/25/27 (d)(f) | 36,365 | 36,548 | ||||||
SoFi Consumer Loan Program 2020-1 Trust | ||||||||
Series B, 2.250%, due 01/25/29 (d)(f) | 350,000 | 353,007 | ||||||
SoFi Consumer Loan Program 2021-1 Trust | ||||||||
Series B, 1.300%, due 09/25/30 (d)(f) | 350,000 | 346,027 | ||||||
Sofi Professional Loan Program 2017-C LLC | ||||||||
Series A-1, 0.703%, due 07/25/40 (1 Month U.S. LIBOR + 0.600%) (d)(f)(g) | 85,785 | 85,817 | ||||||
Sofi Professional Loan Program 2018-B Trust | ||||||||
Series 3.34000, 3.340%, due 08/25/47 (d)(f) | 110,964 | 112,763 | ||||||
Tesla Auto Lease Trust 2019-A | ||||||||
Series 2019-A, 2.680%, due 01/20/23 (d)(f) | 225,000 | 227,791 | ||||||
United Airlines 2014-2 Class A Pass Through Trust | ||||||||
Series A, 3.750%, due 09/03/26 (d) | 43,086 | 44,680 | ||||||
Vivint Solar Financing VII LLC | ||||||||
Series LLC, 2.210%, due 07/31/51 (d)(f) | 192,182 | 188,985 | ||||||
Volvo Financial Equipment LLC Series 2020-1 | ||||||||
Series A-4, 0.600%, due 03/15/28 (d)(f) | 100,000 | 98,380 | ||||||
Total Asset-Backed Securities (Cost $4,514,532) | 4,491,723 | |||||||
COLLATERALIZED LOAN OBLIGATIONS - 1.7% | ||||||||
Aimco CLO 11 Ltd. | ||||||||
Series 2020-11R, 1.253%, due 10/17/34 (3 Month U.S. LIBOR + 1.130%) (d)(f)(g) | 1,000,000 | 997,657 | ||||||
Arbor Realty Commercial Real Estate Notes 2021-FL2 Ltd. | ||||||||
Series B, 1.710%, due 05/15/36 (1 Month U.S. LIBOR + 1.600%) (d)(f)(g)(h) | 350,000 | 348,036 | ||||||
Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd. | ||||||||
Series C, 1.960%, due 08/15/34 (1 Month U.S. LIBOR + 1.850%) (d)(f)(g)(h) | 275,000 | 273,773 | ||||||
Benefit Street Partners CLO XIX Ltd. | ||||||||
Series A, 1.474%, due 01/15/33 (3 Month U.S. LIBOR + 1.350%) (d)(f)(g) | 350,000 | 350,047 | ||||||
Benefit Street Partners CLO XXIII Ltd. | ||||||||
Series A-1, 1.204%, due 04/25/34 (3 Month U.S. LIBOR + 1.080%) (d)(f)(g) | 250,000 | 248,760 | ||||||
Carlyle US CLO 2021-1 Ltd. | ||||||||
Series LTD, 1.264%, due 04/15/34 (3 Month U.S. LIBOR + 1.140%) (d)(f)(g) | 250,000 | 249,970 | ||||||
CIFC Funding 2021-I Ltd. | ||||||||
Series LTD, 1.234%, due 04/25/33 (3 Month U.S. LIBOR + 1.110%) (d)(f)(g) | 250,000 | 249,909 | ||||||
Greystone CRE Notes 2021-FL3 Ltd. | ||||||||
Series 2021-FL3, 2.110%, due 07/15/39 (1 Month U.S. LIBOR + 2.000%) (d)(f)(g)(h) | 275,000 | 273,608 | ||||||
Marble Point CLO XIV Ltd. | ||||||||
Series FLT, 1.412%, due 01/20/32 (3 Month U.S. LIBOR + 1.280%) (d)(f)(g) | 450,000 | 450,199 | ||||||
MF1 2021-FL6 Ltd. | ||||||||
Series 2021-FL6, 1.958%, due 07/16/36 (1 Month U.S. LIBOR + 1.850%) (d)(f)(g)(h) | 175,000 | 174,168 | ||||||
MF1 2021-FL7 Ltd. | ||||||||
Series 2021-FL7, 2.158%, due 10/16/36 (1 Month U.S. LIBOR + 2.050%) (d)(f)(g)(h) | 200,000 | 198,638 | ||||||
Octagon Investment Partners 32 Ltd. | ||||||||
Series FLT, 1.324%, due 07/15/29 (3 Month U.S. LIBOR + 1.200%) (d)(f)(g) | 250,000 | 250,001 | ||||||
OHA Credit Funding 3 Ltd. | ||||||||
Series A-R, 1.272%, due 07/02/35 (3 Month U.S. LIBOR + 1.140%) (d)(f)(g) | 250,000 | 249,692 | ||||||
OHA Credit Funding 4 Ltd. | ||||||||
Series A-R, 1.278%, due 10/22/36 (3 Month U.S. LIBOR + 1.150%) (d)(f)(g) | 500,000 | 500,089 | ||||||
Palmer Square CLO 2019-1 Ltd. | ||||||||
1.348%, due 11/14/34 (3 Month U.S. LIBOR + 1.150%) (d)(f)(g) | 250,000 | 250,032 | ||||||
Total Collateralized Loan Obligations (Cost $5,074,868) | 5,064,579 | |||||||
CORPORATE BONDS - 3.7% | ||||||||
Basic Materials - 0.0% (i) | ||||||||
Ecolab, Inc. | ||||||||
4.800%, due 03/24/30 (d) | 61,000 | 73,008 | ||||||
Steel Dynamics, Inc. | ||||||||
1.650%, due 10/15/27 (d) | 74,000 | 72,414 | ||||||
145,422 | ||||||||
Communications - 0.3% | ||||||||
Amazon.com, Inc. | ||||||||
1.500%, due 06/03/30 (d) | 100,000 | 96,991 | ||||||
AT&T, Inc. | ||||||||
2.250%, due 02/01/32 (d) | 148,000 | 142,826 | ||||||
Fox Corp. | ||||||||
3.050%, due 04/07/25 (d) | 135,000 | 141,709 | ||||||
The Walt Disney Co. | ||||||||
2.200%, due 01/13/28 (d) | 68,000 | 69,267 | ||||||
T-Mobile USA, Inc. | ||||||||
3.750%, due 04/15/27 (d) | 74,000 | 80,166 | ||||||
Verizon Communications, Inc. | ||||||||
4.329%, due 09/21/28 (d) | 74,000 | 83,894 | ||||||
2.355%, due 03/15/32 (d)(f) | 153,000 | 150,841 | ||||||
765,694 | ||||||||
Consumer, Cyclical - 0.2% | ||||||||
American Honda Finance Corp. | ||||||||
1.200%, due 07/08/25 (d) | 70,000 | 69,702 | ||||||
Nissan Motor Co. Ltd. | ||||||||
4.810%, due 09/17/30 (d)(f) | 74,000 | 82,763 | ||||||
O'Reilly Automotive, Inc. | ||||||||
3.600%, due 09/01/27 (d) | 158,000 | 171,276 | ||||||
Ross Stores, Inc. | ||||||||
4.600%, due 04/15/25 (d) | 114,000 | 124,702 | ||||||
The Home Depot, Inc. | ||||||||
1.500%, due 09/15/28 (d) | 103,000 | 101,451 | ||||||
Walmart, Inc. | ||||||||
1.050%, due 09/17/26 (d) | 134,000 | 132,285 | ||||||
682,179 | ||||||||
Consumer, Non-cyclical - 0.6% | ||||||||
AbbVie, Inc. | ||||||||
3.800%, due 03/15/25 (d) | 121,000 | 128,784 | ||||||
Altria Group, Inc. | ||||||||
3.400%, due 05/06/30 (d) | 88,000 | 91,115 | ||||||
Amgen, Inc. | ||||||||
3.200%, due 11/02/27 (d) | 115,000 | 123,664 | ||||||
AstraZeneca PLC | ||||||||
0.700%, due 04/08/26 (d) | 81,000 | 78,333 | ||||||
BAT International Finance PLC | ||||||||
1.668%, due 03/25/26 (d) | 142,000 | 139,452 | ||||||
Constellation Brands, Inc. | ||||||||
3.700%, due 12/06/26 (d) | 88,000 | 95,169 | ||||||
CVS Health Corp. | ||||||||
3.875%, due 07/20/25 (d) | 234,000 | 250,867 | ||||||
1.750%, due 08/21/30 (d) | 148,000 | 140,727 | ||||||
Global Payments, Inc. | ||||||||
2.650%, due 02/15/25 (d) | 78,000 | 80,038 | ||||||
HCA, Inc. | ||||||||
4.125%, due 06/15/29 (d) | 98,000 | 108,168 | ||||||
Keurig Dr Pepper, Inc. | ||||||||
4.417%, due 05/25/25 (d) | 67,000 | 72,943 | ||||||
PepsiCo, Inc. | ||||||||
2.625%, due 07/29/29 (d) | 79,000 | 82,994 | ||||||
Royalty Pharma PLC | ||||||||
0.750%, due 09/02/23 (d) | 59,000 | 58,513 | ||||||
1.200%, due 09/02/25 (d) | 61,000 | 59,800 | ||||||
1.750%, due 09/02/27 (d) | 60,000 | 58,358 | ||||||
2.200%, due 09/02/30 (d) | 84,000 | 81,052 | ||||||
Triton Container International Ltd. | ||||||||
2.050%, due 04/15/26 (d)(f) | 119,000 | 118,074 | ||||||
1,768,051 | ||||||||
Energy - 0.1% | ||||||||
Enterprise Products Operating LLC | ||||||||
2.800%, due 01/31/30 (d) | 74,000 | 77,027 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
3.450%, due 02/15/23 (d) | 67,000 | 68,508 | ||||||
MPLX LP | ||||||||
4.875%, due 12/01/24 (d) | 70,000 | 75,950 | ||||||
2.650%, due 08/15/30 (d) | 56,000 | 55,860 | ||||||
Phillips 66 | ||||||||
0.900%, due 02/15/24 (d) | 75,000 | 74,525 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
5.625%, due 03/01/25 (d) | 51,000 | 56,610 | ||||||
408,480 | ||||||||
Financial - 1.7% | ||||||||
Aflac, Inc. | ||||||||
3.250%, due 03/17/25 (d) | 80,000 | 84,545 | ||||||
American International Group, Inc. | ||||||||
3.900%, due 04/01/26 (d) | 141,000 | 152,823 | ||||||
Assurant, Inc. | ||||||||
4.200%, due 09/27/23 (d) | 67,000 | 70,316 | ||||||
Aviation Capital Group LLC | ||||||||
1.950%, due 09/20/26 (d)(f) | 101,000 | 98,014 | ||||||
Avolon Holdings Funding Ltd | ||||||||
2.875%, due 02/15/25 (d)(f) | 78,000 | 79,658 | ||||||
2.125%, due 02/21/26 (d)(f) | 141,000 | 138,356 | ||||||
Bank of America Corp. | ||||||||
4.125%, due 01/22/24 (d) | 150,000 | 159,339 | ||||||
4.000%, due 01/22/25 (d) | 71,000 | 75,762 | ||||||
1.734%, due 07/22/27 (SOFR Rate + 0.960%) (d)(g) | 318,000 | 315,814 | ||||||
2.592%, due 04/29/31 (SOFR Rate + 2.150%) (d)(g) | 168,000 | 169,263 | ||||||
Blackstone Holdings Finance Co. LLC | ||||||||
1.625%, due 08/05/28 (d)(f) | 143,000 | 138,661 | ||||||
BNP Paribas SA | ||||||||
2.819%, due 11/19/25 (3 Month U.S. LIBOR + 1.111%) (d)(f)(g) | 200,000 | 205,725 | ||||||
Citigroup, Inc. | ||||||||
0.981%, due 05/01/25 (SOFR Rate + 0.669%) (d)(g) | 120,000 | 118,916 | ||||||
4.450%, due 09/29/27 (d) | 76,000 | 84,666 | ||||||
Equinix, Inc. | ||||||||
1.250%, due 07/15/25 (d) | 126,000 | 123,765 | ||||||
2.900%, due 11/18/26 (d) | 56,000 | 58,170 | ||||||
Intercontinental Exchange, Inc. | ||||||||
3.750%, due 12/01/25 (d) | 90,000 | 97,263 | ||||||
JPMorgan Chase & Co. | ||||||||
3.875%, due 09/10/24 (d) | 183,000 | 194,644 | ||||||
1.578%, due 04/22/27 (SOFR Rate + 0.885%) (d)(g) | 120,000 | 118,668 | ||||||
1.470%, due 09/22/27 (SOFR Rate + 0.765%) (d)(g) | 161,000 | 157,579 | ||||||
1.953%, due 02/04/32 (SOFR Rate + 1.065%) (d)(g) | 69,000 | 66,131 | ||||||
2.580%, due 04/22/32 (SOFR Rate + 1.250%) (d)(g) | 180,000 | 182,386 | ||||||
Kite Realty Group LP | ||||||||
4.000%, due 10/01/26 (d) | 94,000 | 99,691 | ||||||
Main Street Capital Corp. | ||||||||
3.000%, due 07/14/26 (d) | 137,000 | 136,980 | ||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
3.761%, due 07/26/23 (d) | 67,000 | 69,724 | ||||||
Morgan Stanley | ||||||||
0.560%, due 11/10/23 (SOFR Rate + 0.466%) (d)(g) | 149,000 | 148,711 | ||||||
1.164%, due 10/21/25 (SOFR Rate + 0.560%) (d)(g) | 108,000 | 106,946 | ||||||
2.188%, due 04/28/26 (SOFR Rate + 1.990%) (d)(g) | 223,000 | 227,007 | ||||||
1.593%, due 05/04/27 (SOFR Rate + 0.879%) (d)(g) | 160,000 | 158,148 | ||||||
1.512%, due 07/20/27 (SOFR Rate + 0.858%) (d)(g) | 120,000 | 118,094 | ||||||
2.239%, due 07/21/32 (SOFR Rate + 1.178%) (d)(g) | 89,000 | 86,854 | ||||||
Oaktree Specialty Lending Corp. | ||||||||
2.700%, due 01/15/27 (d) | 124,000 | 122,548 | ||||||
Realty Income Corp. | ||||||||
3.250%, due 01/15/31 (d) | 168,000 | 180,180 | ||||||
Royal Bank of Canada | ||||||||
1.200%, due 04/27/26 (d) | 80,000 | 78,432 | ||||||
Scentre Group Trust 1 | ||||||||
3.625%, due 01/28/26 (d)(f) | 158,000 | 168,599 | ||||||
The Charles Schwab Corp. | ||||||||
3.300%, due 04/01/27 (d) | 46,000 | 49,282 | ||||||
The Goldman Sachs Group, Inc. | ||||||||
0.855%, due 02/12/26 (SOFR Rate + 0.609%) (d)(g) | 80,000 | 78,212 | ||||||
Wells Fargo & Co. | ||||||||
2.406%, due 10/30/25 (SOFR Rate + 1.087%) (d)(g) | 216,000 | 221,195 | ||||||
XLIT Ltd. | ||||||||
4.450%, due 03/31/25 (d) | 74,000 | 80,180 | ||||||
5,021,247 | ||||||||
Industrial - 0.2% | ||||||||
Amphenol Corp. | ||||||||
2.800%, due 02/15/30 (d) | 93,000 | 95,919 | ||||||
Carrier Global Corp. | ||||||||
2.722%, due 02/15/30 (d) | 188,000 | 190,890 | ||||||
Raytheon Technologies Corp. | ||||||||
3.200%, due 03/15/24 (d) | 87,000 | 90,539 | ||||||
The Boeing Co. | ||||||||
4.875%, due 05/01/25 (d) | 76,000 | 83,169 | ||||||
460,517 | ||||||||
Technology - 0.3% | ||||||||
Apple, Inc. | ||||||||
1.200%, due 02/08/28 (d) | 80,000 | 77,615 | ||||||
Broadcom, Inc. | ||||||||
4.150%, due 11/15/30 (d) | 55,000 | 60,930 | ||||||
DXC Technology Co. | ||||||||
1.800%, due 09/15/26 (d) | 60,000 | 59,149 | ||||||
Fiserv, Inc. | ||||||||
3.850%, due 06/01/25 (d) | 54,000 | 57,677 | ||||||
Intel Corp. | ||||||||
3.400%, due 03/25/25 (d) | 22,000 | 23,383 | ||||||
3.700%, due 07/29/25 (d) | 33,000 | 35,607 | ||||||
Microsoft Corp. | ||||||||
2.400%, due 08/08/26 (d) | 150,000 | 156,719 | ||||||
Oracle Corp. | ||||||||
2.950%, due 04/01/30 (d) | 200,000 | 201,533 | ||||||
VMware, Inc. | ||||||||
1.000%, due 08/15/24 (d) | 85,000 | 84,574 | ||||||
757,187 | ||||||||
Utilities - 0.3% | ||||||||
Ameren Illinois Co. | ||||||||
3.800%, due 05/15/28 (d) | 70,000 | 76,422 | ||||||
Duke Energy Corp. | ||||||||
3.150%, due 08/15/27 (d) | 150,000 | 158,508 | ||||||
Entergy Corp. | ||||||||
0.900%, due 09/15/25 (d) | 100,000 | 96,715 | ||||||
FirstEnergy Corp. | ||||||||
4.400%, due 07/15/27 (d) | 138,000 | 148,375 | ||||||
Sierra Pacific Power Co. | ||||||||
2.600%, due 05/01/26 (d) | 121,000 | 125,919 | ||||||
Southwestern Electric Power Co. | ||||||||
1.650%, due 03/15/26 (d) | 80,000 | 79,636 | ||||||
The AES Corp. | ||||||||
1.375%, due 01/15/26 (d) | 75,000 | 72,788 | ||||||
758,363 | ||||||||
Total Corporate Bonds (Cost $10,956,891) | 10,767,140 |
Shares | ||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES - 4.7% | ||||||||
Voya Emerging Markets Hard Currency Debt Fund - Class P | 238,869 | 2,240,592 | ||||||
Voya High Yield Bond Fund - Class P | 259,330 | 2,082,421 | ||||||
Voya Investment Grade Credit Fund - Class P | 81,566 | 906,202 | ||||||
Voya Securitized Credit Fund - Class P | 875,074 | 8,549,478 | ||||||
Total Affiliated Registered Investment Companies (Cost $13,619,674) | 13,778,693 | |||||||
Total Investments at Value - 92.9% (Cost $175,597,548) | 273,605,768 | |||||||
Other Assets in Excess of Liabilities - 7.1% | 20,981,283 | |||||||
Net Assets - 100.0% | $ | 294,587,051 |
Percentages are stated as a percent of net assets.
ADR | American Depository Receipt |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
(a) | More narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting purposes. |
(b) | Non-income producing security. |
(c) | This security or a partial position of this security is on loan at December 31, 2021. The total fair value of securities on loan at December 31, 2021, was $61,026 (Note 8). |
(d) | Level 2 Security. |
(e) | Variable rate security. The coupon is based on an underlying pool of loans. The rate listed is as of December 31, 2021. |
(f) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other ‘‘qualified institutional buyers.’’ As of December 31, 2021, the value of these investments was $14,313,916, or 4.9% of total net assets. |
(g) | Variable rate security based on a reference index and spread. The rate listed is as of December 31, 2021. |
(h) | Illiquid security. The total value of such securities is $1,268,223 as of December 31, 2021, representing 0.4% of net assets. |
(i) | Represents less than 0.1%. |
WILSHIRE MUTUAL FUNDS, INC. | |
LARGE COMPANY VALUE PORTFOLIO | December 31, 2021 |
SCHEDULE OF INVESTMENTS |
Shares | Value | |||||||
COMMON STOCKS - 80.0% (a) | ||||||||
Communication Services - 5.1% | ||||||||
Activision Blizzard, Inc. | 9,297 | $ | 618,529 | |||||
Alphabet, Inc. - Class A (b) | 1,209 | 3,502,521 | ||||||
Alphabet, Inc. - Class C (b) | 404 | 1,169,010 | ||||||
Altice USA, Inc. - Class A (b) | 2,400 | 38,832 | ||||||
AT&T, Inc. | 23,366 | 574,804 | ||||||
Comcast Corp. - Class A | 16,888 | 849,973 | ||||||
Discovery, Inc. - Class C (b) | 45,104 | 1,032,882 | ||||||
Electronic Arts, Inc. | 2,553 | 336,741 | ||||||
Fox Corp. - Class A | 1,970 | 72,693 | ||||||
News Corp. - Class A | 41,117 | 917,320 | ||||||
News Corp. - Class B | 11,560 | 260,100 | ||||||
Nexstar Media Group, Inc. - Class A | 1,700 | 256,666 | ||||||
Omnicom Group, Inc. | 3,457 | 253,294 | ||||||
Take-Two Interactive Software, Inc. (b) | 2,497 | 443,767 | ||||||
Verizon Communications, Inc. | 13,363 | 694,342 | ||||||
Vodafone Group PLC - ADR | 42,285 | 631,315 | ||||||
11,652,789 | ||||||||
Consumer Discretionary - 5.1% | ||||||||
Adient PLC (b) | 4,665 | 223,360 | ||||||
Advance Auto Parts, Inc. | 290 | 69,565 | ||||||
Amazon.com, Inc. (b) | 244 | 813,579 | ||||||
AutoNation, Inc. (b) | 4,960 | 579,576 | ||||||
AutoZone, Inc. (b) | 221 | 463,302 | ||||||
Bath and Body Works, Inc.(b) | 2,595 | 181,105 | ||||||
Booking Holdings, Inc. (b) | 176 | 422,265 | ||||||
Capri Holdings Ltd. (b) | 1,730 | 112,294 | ||||||
Carter's, Inc. | 2,980 | 301,636 | ||||||
Dick's Sporting Goods, Inc. | 403 | 46,341 | ||||||
Dollar General Corp. | 306 | 72,164 | ||||||
Domino's Pizza, Inc. | 323 | 182,279 | ||||||
DR Horton, Inc. | 1,420 | 153,999 | ||||||
Ford Motor Co. | 12,490 | 259,417 | ||||||
Frontdoor, Inc. (b) | 585 | 21,440 | ||||||
General Motors Co.(b) | 29,054 | 1,703,436 | ||||||
Harley-Davidson, Inc. | 6,226 | 234,658 | ||||||
Lennar Corp. - Class A | 1,110 | 128,938 | ||||||
Lennar Corp. - Class B | 950 | 90,839 | ||||||
LKQ Corp. | 2,560 | 153,677 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 639 | 528,893 | ||||||
Magna International, Inc. | 13,792 | 1,116,324 | ||||||
Mattel, Inc. (b) | 4,170 | 89,905 | ||||||
McDonald's Corp. | 2,199 | 589,486 | ||||||
NIKE, Inc. - Class B | 6,115 | 1,019,187 | ||||||
Penske Automotive Group, Inc. | 540 | 57,899 | ||||||
PVH Corp. | 1,920 | 204,768 | ||||||
Tapestry, Inc. | 2,709 | 109,985 | ||||||
Target Corp. | 2,655 | 614,473 | ||||||
The Goodyear Tire & Rubber Co. (b) | 10,339 | 220,428 | ||||||
The Home Depot, Inc. | 177 | 73,457 | ||||||
Toll Brothers, Inc. | 195 | 14,116 | ||||||
Victoria's Secret & Co. (b) | 865 | 48,042 | ||||||
Williams-Sonoma, Inc. | 310 | 52,430 | ||||||
Yum! Brands, Inc. | 4,750 | 659,585 | ||||||
11,612,848 | ||||||||
Consumer Staples - 5.1% | ||||||||
Colgate-Palmolive Co. | 26,196 | 2,235,567 | ||||||
Constellation Brands, Inc. - Class A | 1,574 | 395,027 | ||||||
Costco Wholesale Corp. | 2,939 | 1,668,470 | ||||||
Diageo PLC | 13,391 | 731,539 | ||||||
General Mills, Inc. | 530 | 35,711 | ||||||
Kellogg Co. | 1,720 | 110,802 | ||||||
Mondelez International, Inc. - Class A | 11,455 | 759,581 | ||||||
PepsiCo, Inc. | 365 | 63,404 | ||||||
Pernod Ricard SA | 2,857 | 687,944 | ||||||
Philip Morris International, Inc. | 5,070 | 481,650 | ||||||
The Coca-Cola Co. | 10,093 | 597,607 | ||||||
The Estee Lauder Cos., Inc. - Class A | 2,545 | 942,159 | ||||||
The Hershey Co. | 700 | 135,429 | ||||||
The Kraft Heinz Co. | 3,420 | 122,778 | ||||||
The Procter & Gamble Co. | 4,929 | 806,286 | ||||||
Tyson Foods, Inc. - Class A | 2,700 | 235,332 | ||||||
Unilever PLC - ADR | 14,815 | 796,899 | ||||||
Walmart, Inc. | 6,735 | 974,487 | ||||||
11,780,672 | ||||||||
Energy - 4.8% | ||||||||
APA Corp. | 35,964 | 967,072 | ||||||
Baker Hughes Co. | 12,595 | 303,036 | ||||||
Coterra Energy, Inc. | 26,290 | 499,510 | ||||||
Cenovus Energy, Inc. | 21,605 | 265,309 | ||||||
Chevron Corp. | 5,490 | 644,251 | ||||||
ConocoPhillips | 5,710 | 412,148 | ||||||
Diamondback Energy, Inc. | 490 | 52,847 | ||||||
DT Midstream, Inc. | 4,700 | 225,506 | ||||||
Equitrans Midstream Corp. | 7,020 | 72,587 | ||||||
Exxon Mobil Corp. | 16,077 | 983,752 | ||||||
Halliburton Co. | 24,840 | 568,091 | ||||||
Hess Corp. | 13,705 | 1,014,581 | ||||||
HollyFrontier Corp. | 13,480 | 441,874 | ||||||
Kinder Morgan, Inc. | 17,500 | 277,550 | ||||||
Marathon Oil Corp. | 99,502 | 1,633,823 | ||||||
Marathon Petroleum Corp. | 5,018 | 321,102 | ||||||
Murphy Oil Corp. | 8,730 | 227,940 | ||||||
NOV, Inc. | 38,595 | 522,962 | ||||||
Royal Dutch Shell PLC - Class A - ADR | 19,612 | 851,161 | ||||||
Schlumberger Ltd. | 11,150 | 333,943 | ||||||
Targa Resources Corp. | 6,938 | 362,441 | ||||||
Valero Energy Corp. | 1,670 | 125,434 | ||||||
11,106,920 | ||||||||
Financials - 16.0% | ||||||||
Affiliated Managers Group, Inc. | 900 | 148,059 | ||||||
Ally Financial, Inc. | 8,630 | 410,874 | ||||||
American Express Co. | 990 | 161,964 | ||||||
American International Group, Inc. | 40,089 | 2,279,461 | ||||||
Aon PLC - Class A | 3,779 | 1,135,816 | ||||||
Arch Capital Group Ltd. (b) | 10,422 | 463,258 | ||||||
Arthur J Gallagher & Co. | 4,519 | 766,739 | ||||||
Axis Capital Holdings Ltd. | 720 | 39,218 | ||||||
Bank of America Corp. | 21,715 | 966,100 | ||||||
Berkshire Hathaway, Inc. - Class B (b) | 9,133 | 2,730,767 | ||||||
BlackRock, Inc. | 297 | 271,921 | ||||||
Capital One Financial Corp. | 3,000 | 435,270 | ||||||
Cboe Global Markets, Inc. | 3,465 | 451,836 | ||||||
Chubb Ltd. | 540 | 104,387 | ||||||
CIT Group, Inc. | 7,970 | 409,180 | ||||||
Citigroup, Inc. | 45,617 | 2,754,811 | ||||||
Citizens Financial Group, Inc. | 15,165 | 716,546 | ||||||
CME Group, Inc. | 1,446 | 330,353 | ||||||
Credit Suisse Group AG | 53,457 | 515,326 | ||||||
Discover Financial Services | 1,995 | 230,542 | ||||||
Equitable Holdings, Inc. | 7,911 | 259,402 | ||||||
Everest Re Group Ltd. | 1,782 | 488,125 | ||||||
Fidelity National Financial, Inc. | 6,510 | 339,692 | ||||||
First Republic Bank | 250 | 51,628 | ||||||
Franklin Resources, Inc. | 5,680 | 190,223 | ||||||
Huntington Bancshares, Inc. | 2,905 | 44,795 | ||||||
Interactive Brokers Group, Inc. - Class A | 4,386 | 348,336 | ||||||
Invesco Ltd. | 3,100 | 71,362 | ||||||
Janus Henderson Group PLC | 2,930 | 122,884 | ||||||
JPMorgan Chase & Co. | 11,806 | 1,869,480 | ||||||
Lazard Ltd. - Class A | 5,260 | 229,494 | ||||||
M&T Bank Corp. | 2,581 | 396,390 | ||||||
Markel Corp. (b) | 271 | 334,414 | ||||||
Marsh & Mclennan Cos., Inc. | 5,531 | 961,398 | ||||||
Moody's Corp. | 3,994 | 1,559,977 | ||||||
Nasdaq, Inc. | 1,896 | 398,179 | ||||||
New York Community Bancorp, Inc. | 2,690 | 32,845 | ||||||
OneMain Holdings, Inc. | 9,820 | 491,393 | ||||||
Popular, Inc. | 1,955 | 160,388 | ||||||
Prosperity Bancshares, Inc. | 2,120 | 153,276 | ||||||
Raymond James Financial, Inc. | 1,635 | 164,154 | ||||||
Regions Financial Corp. | 6,335 | 138,103 | ||||||
Reinsurance Group of America, Inc. | 990 | 108,395 | ||||||
S&P Global, Inc. | 2,534 | 1,195,871 | ||||||
Santander Consumer USA Holdings, Inc. | 2,785 | 117,026 | ||||||
SEI Investments Co. | 1,180 | 71,909 | ||||||
SLM Corp. | 9,568 | 188,203 | ||||||
State Street Corp. | 6,046 | 562,278 | ||||||
Stifel Financial Corp. | 3,350 | 235,907 | ||||||
Synchrony Financial | 9,799 | 454,576 | ||||||
T Rowe Price Group, Inc. | 160 | 31,462 | ||||||
The Bank of New York Mellon Corp. | 15,697 | 911,682 | ||||||
The Charles Schwab Corp. | 20,514 | 1,725,227 | ||||||
The Goldman Sachs Group, Inc. | 2,505 | 958,288 | ||||||
The Hartford Financial Services Group, Inc. | 8,847 | 610,797 | ||||||
The Travelers Cos., Inc. | 5,969 | 933,731 | ||||||
Truist Financial Corp. | 9,140 | 535,147 | ||||||
US Bancorp | 4,493 | 252,372 | ||||||
Virtu Financial, Inc. - Class A | 2,830 | 81,589 | ||||||
Voya Financial, Inc. | 1,020 | 67,636 | ||||||
W.R. Berkley Corp. | 5,475 | 451,085 | ||||||
Wells Fargo & Co. | 64,681 | 3,103,394 | ||||||
36,724,941 | ||||||||
Health Care - 10.3% | ||||||||
Abbott Laboratories | 3,060 | 430,664 | ||||||
AbbVie, Inc. | 980 | 132,692 | ||||||
Agilent Technologies, Inc. | 10,090 | 1,610,869 | ||||||
agilon health, Inc. (b) | 998 | 26,946 | ||||||
AmerisourceBergen Corp. | 2,340 | 310,963 | ||||||
Anthem, Inc. | 4,922 | 2,281,544 | ||||||
Baxter International, Inc. | 200 | 17,168 | ||||||
Becton Dickinson and Co. | 360 | 90,533 | ||||||
Biogen, Inc. (b) | 180 | 43,186 | ||||||
Bio-Techne Corp. | 447 | 231,251 | ||||||
Boston Scientific Corp. (b) | 6,300 | 267,624 | ||||||
Bristol-Myers Squibb Co. | 9,858 | 614,646 | ||||||
Bruker Corp. | 15,462 | 1,297,416 | ||||||
Centene Corp. (b) | 7,672 | 632,173 | ||||||
Cerner Corp. | 2,300 | 213,601 | ||||||
Chemed Corp. | 300 | 158,712 | ||||||
CVS Health Corp. | 14,239 | 1,468,895 | ||||||
Danaher Corp. | 3,721 | 1,224,246 | ||||||
DENTSPLY SIRONA, Inc | 1,878 | 104,774 | ||||||
Encompass Health Corp. | 2,200 | 143,572 | ||||||
Gilead Sciences, Inc. | 3,740 | 271,561 | ||||||
GlaxoSmithKline PLC - ADR | 15,114 | 666,527 | ||||||
HCA Healthcare, Inc. | 2,445 | 628,169 | ||||||
Hologic, Inc. (b) | 2,330 | 178,385 | ||||||
Humana, Inc. | 1,493 | 692,543 | ||||||
ICON PLC (b) | 1,434 | 444,110 | ||||||
IQVIA Holdings, Inc. (b) | 1,303 | 367,628 | ||||||
Johnson & Johnson | 8,344 | 1,427,408 | ||||||
Laboratory Corp. of America Holdings (b) | 759 | 238,485 | ||||||
Maravai LifeSciences Holdings, Inc. - Class A (b) | 7,471 | 313,035 | ||||||
McKesson Corp. | 1,725 | 428,783 | ||||||
Medtronic PLC | 7,216 | 746,495 | ||||||
Merck & Co., Inc. | 3,084 | 236,358 | ||||||
Molina Healthcare, Inc. (b) | 720 | 229,018 | ||||||
Organon & Co. | 4,325 | 131,696 | ||||||
Pfizer, Inc. | 13,398 | 791,152 | ||||||
Quest Diagnostics, Inc. | 525 | 90,830 | ||||||
Regeneron Pharmaceuticals, Inc. (b) | 130 | 82,098 | ||||||
ResMed, Inc. | 730 | 190,150 | ||||||
Royalty Pharma PLC - Class A | 4,045 | 161,193 | ||||||
Sanofi - ADR | 8,785 | 440,129 | ||||||
Thermo Fisher Scientific, Inc. | 1,024 | 683,254 | ||||||
UnitedHealth Group, Inc. | 3,405 | 1,709,787 | ||||||
Waters Corp. (b) | 2,020 | 752,652 | ||||||
Zimmer Biomet Holdings, Inc. | 2,749 | 349,233 | ||||||
23,552,154 | ||||||||
Industrials - 11.9% | ||||||||
3M Co. | 3,135 | 556,870 | ||||||
A.O. Smith Corp. | 3,430 | 294,466 | ||||||
Allegion PLC | 770 | 101,979 | ||||||
Allison Transmission Holdings, Inc. | 2,070 | 75,244 | ||||||
AMETEK, Inc. | 1,245 | 183,065 | ||||||
Carlisle Cos., Inc. | 840 | 208,421 | ||||||
CNH Industrial NV | 51,230 | 995,399 | ||||||
Core & Main, Inc. (b) | 2,180 | 66,141 | ||||||
Cummins, Inc. | 2,801 | 611,010 | ||||||
Curtiss-Wright Corp. | 231 | 32,033 | ||||||
Deere & Co. | 760 | 260,596 | ||||||
Emerson Electric Co. | 3,420 | 317,957 | ||||||
Equifax, Inc. | 3,561 | 1,042,625 | ||||||
Expeditors International of Washington, Inc. | 450 | 60,430 | ||||||
Fastenal Co. | 8,368 | 536,054 | ||||||
FedEx Corp. | 4,749 | 1,228,281 | ||||||
Ferguson PLC | 2,616 | 464,032 | ||||||
Fluor Corp. (b) | 6,416 | 158,924 | ||||||
Fortive Corp. | 2,535 | 193,395 | ||||||
FTI Consulting, Inc. (b) | 123 | 18,871 | ||||||
General Electric Co. | 24,776 | 2,340,589 | ||||||
Graco, Inc. | 8,776 | 707,521 | ||||||
Honeywell International, Inc. | 5,149 | 1,073,618 | ||||||
IDEX Corp. | 4,064 | 960,404 | ||||||
Illinois Tool Works, Inc. | 1,070 | 264,076 | ||||||
Ingersoll Rand, Inc. | 8,961 | 554,417 | ||||||
Johnson Controls International PLC | 11,091 | 901,809 | ||||||
Knight-Swift Transportation Holdings, Inc. | 770 | 46,924 | ||||||
ManpowerGroup, Inc. | 2,230 | 217,046 | ||||||
Masco Corp. | 730 | 51,261 | ||||||
MSA Safety, Inc. | 2,449 | 369,701 | ||||||
Nordson Corp. | 3,467 | 885,021 | ||||||
Norfolk Southern Corp. | 1,259 | 374,817 | ||||||
Northrop Grumman Corp. | 280 | 108,380 | ||||||
Old Dominion Freight Line, Inc. | 583 | 208,936 | ||||||
Otis Worldwide Corp. | 24,604 | 2,142,270 | ||||||
PACCAR, Inc. | 5,634 | 497,257 | ||||||
Parker-Hannifin Corp. | 569 | 181,010 | ||||||
Pentair PLC | 4,591 | 335,281 | ||||||
Raytheon Technologies Corp. | 6,160 | 530,130 | ||||||
RBC Bearings, Inc. (b) | 1,534 | 309,822 | ||||||
Republic Services, Inc. | 715 | 99,707 | ||||||
Rockwell Automation, Inc. | 4,504 | 1,571,220 | ||||||
Schneider National, Inc. - Class B | 4,150 | 111,677 | ||||||
Simpson Manufacturing Co., Inc. | 2,585 | 359,496 | ||||||
Snap-on, Inc. | 130 | 27,999 | ||||||
Trane Technologies PLC | 3,488 | 704,681 | ||||||
TransUnion | 7,241 | 858,638 | ||||||
Union Pacific Corp. | 280 | 70,540 | ||||||
United Parcel Service, Inc. - Class B | 710 | 152,181 | ||||||
Verisk Analytics, Inc. | 3,072 | 702,659 | ||||||
Watsco, Inc. | 2,330 | 729,010 | ||||||
Watts Water Technologies, Inc. - Class A | 7,212 | 1,400,354 | ||||||
27,254,245 | ||||||||
Information Technology - 15.8% | ||||||||
Accenture PLC - Class A | 4,324 | 1,792,514 | ||||||
Adobe, Inc. (b) | 2,255 | 1,278,720 | ||||||
Altair Engineering, Inc. - Class A (b) | 7,660 | 592,271 | ||||||
Amdocs Ltd. | 1,300 | 97,292 | ||||||
Analog Devices, Inc. | 7,571 | 1,330,755 | ||||||
ANSYS, Inc. (b) | 3,025 | 1,213,388 | ||||||
Apple, Inc. | 693 | 123,056 | ||||||
Applied Materials, Inc. | 6,011 | 945,891 | ||||||
Arista Networks, Inc. (b) | 4,740 | 681,375 | ||||||
Arrow Electronics, Inc. (b) | 593 | 79,622 | ||||||
Autodesk, Inc. (b) | 2,671 | 751,058 | ||||||
Cadence Design Systems, Inc. (b) | 9,292 | 1,731,564 | ||||||
Cisco Systems, Inc. | 18,530 | 1,174,246 | ||||||
Cognizant Technology Solutions Corp. - Class A | 11,326 | 1,004,843 | ||||||
Concentrix Corp. (b) | 1,685 | 300,975 | ||||||
Corning, Inc. | 17,851 | 664,593 | ||||||
Datto Holding Corp. (b)(c) | 8,290 | 218,441 | ||||||
DocuSign, Inc. (b) | 521 | 79,354 | ||||||
EPAM Systems, Inc. (b) | 370 | 247,326 | ||||||
F5, Inc. (b) | 5,788 | 1,416,381 | ||||||
FleetCor Technologies, Inc. (b) | 176 | 39,396 | ||||||
Genpact Ltd. | 3,050 | 161,894 | ||||||
Hewlett Packard Enterprise Co. | 37,485 | 591,138 | ||||||
HP, Inc. | 11,400 | 429,438 | ||||||
Intel Corp. | 11,977 | 616,815 | ||||||
Jabil, Inc. | 3,980 | 279,993 | ||||||
Jack Henry & Associates, Inc. | 877 | 146,450 | ||||||
Lam Research Corp. | 1,226 | 881,678 | ||||||
LiveRamp Holdings, Inc. (b) | 2,994 | 143,562 | ||||||
Manhattan Associates, Inc. (b) | 167 | 25,967 | ||||||
Mastercard, Inc. - Class A | 3,238 | 1,163,478 | ||||||
Micron Technology, Inc. | 8,632 | 804,071 | ||||||
Microsoft Corp. | 10,991 | 3,696,493 | ||||||
Motorola Solutions, Inc. | 1,014 | 275,504 | ||||||
Novanta, Inc. (b) | 1,849 | 326,034 | ||||||
NXP Semiconductors NV | 1,610 | 366,726 | ||||||
Oracle Corp. | 8,637 | 753,233 | ||||||
Power Integrations, Inc. | 1,546 | 143,608 | ||||||
PTC, Inc. (b) | 1,997 | 241,937 | ||||||
Qorvo, Inc. (b) | 700 | 109,473 | ||||||
QUALCOMM, Inc. | 440 | 80,463 | ||||||
salesforce.com, Inc. (b) | 7,535 | 1,914,870 | ||||||
Semtech Corp. (b) | 1,607 | 142,911 | ||||||
Shimadzu Corp. | 13,500 | 569,786 | ||||||
Silicon Laboratories, Inc. (b) | 2,804 | 578,802 | ||||||
Skyworks Solutions, Inc. | 970 | 150,486 | ||||||
Snowflake, Inc. - Class A (b) | 510 | 172,762 | ||||||
SS&C Technologies Holdings, Inc. | 1,170 | 95,917 | ||||||
TD SYNNEX Corp. | 680 | 77,765 | ||||||
Synopsys, Inc. (b) | 3,739 | 1,377,822 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR | 6,185 | 744,117 | ||||||
TE Connectivity Ltd. | 3,979 | 641,972 | ||||||
Telefonaktiebolaget LM Ericsson - ADR | 48,152 | 523,412 | ||||||
Texas Instruments, Inc. | 5,637 | 1,062,405 | ||||||
The Western Union Co. | 4,050 | 72,252 | ||||||
VeriSign, Inc.(b) | 140 | 35,535 | ||||||
VMware, Inc. - Class A | 1,180 | 136,738 | ||||||
Vontier Corp. | 6,610 | 203,125 | ||||||
Western Digital Corp. (b) | 480 | 31,301 | ||||||
Workday, Inc. - Class A (b) | 2,261 | 617,660 | ||||||
Zendesk, Inc. (b) | 2,119 | 220,991 | ||||||
36,371,645 | ||||||||
Materials - 3.3% | ||||||||
Agnico Eagle Mines Ltd. | 1,442 | 76,594 | ||||||
Amcor PLC | 7,960 | 95,600 | ||||||
Franco-Nevada Corp. | 5,389 | 745,288 | ||||||
Givaudan SA | 195 | 1,025,505 | ||||||
International Paper Co. | 4,335 | 203,658 | ||||||
Linde PLC | 28 | 9,700 | ||||||
LyondellBasell Industries NV - Class A | 381 | 35,140 | ||||||
Martin Marietta Materials, Inc. | 2,149 | 946,677 | ||||||
NewMarket Corp. | 704 | 241,275 | ||||||
Reliance Steel & Aluminum Co. | 834 | 135,291 | ||||||
Royal Gold, Inc. | 5,074 | 533,836 | ||||||
RPM International, Inc. | 3,060 | 309,060 | ||||||
Sealed Air Corp. | 3,946 | 266,237 | ||||||
Silgan Holdings, Inc. | 780 | 33,415 | ||||||
The Chemours Co. | 6,770 | 227,201 | ||||||
The Sherwin-Williams Co. | 2,180 | 767,709 | ||||||
Vulcan Materials Co. | 6,725 | 1,395,975 | ||||||
Westlake Chemical Corp. | 810 | 78,675 | ||||||
Wheaton Precious Metals Corp. | 9,868 | 423,444 | ||||||
7,550,280 | ||||||||
Real Estate - 1.3% | ||||||||
AvalonBay Communities, Inc. | 234 | 59,106 | ||||||
CBRE Group, Inc. - Class A (b) | 2,310 | 250,658 | ||||||
Equity Residential | 1,140 | 103,170 | ||||||
Extra Space Storage, Inc. | 470 | 106,563 | ||||||
Federal Realty Investment Trust | 640 | 87,245 | ||||||
Highwoods Properties, Inc. | 950 | 42,361 | ||||||
Kilroy Realty Corp. | 1,340 | 89,056 | ||||||
Kimco Realty Corp. | 7,305 | 180,068 | ||||||
Lamar Advertising Co. - Class A | 180 | 21,834 | ||||||
National Retail Properties, Inc. | 1,660 | 79,796 | ||||||
Public Storage | 679 | 254,326 | ||||||
Realty Income Corp. | 3,214 | 230,090 | ||||||
Regency Centers Corp. | 12,107 | 912,263 | ||||||
Ventas, Inc. | 10,810 | 552,607 | ||||||
WP Carey, Inc. | 430 | 35,282 | ||||||
3,004,425 | ||||||||
Utilities - 1.3% | ||||||||
American Electric Power Co., Inc. | 680 | 60,500 | ||||||
CenterPoint Energy, Inc. | 1,919 | 53,559 | ||||||
Dominion Energy, Inc. | 1,720 | 135,123 | ||||||
Duke Energy Corp. | 300 | 31,470 | ||||||
Evergy, Inc. | 2,670 | 183,189 | ||||||
Exelon Corp. | 1,156 | 66,770 | ||||||
FirstEnergy Corp. | 2,230 | 92,746 | ||||||
NextEra Energy, Inc. | 480 | 44,813 | ||||||
PPL Corp. | 43,203 | 1,298,682 | ||||||
Sempra Energy | 270 | 35,716 | ||||||
The Southern Co. | 6,982 | 478,825 | ||||||
UGI Corp. | 9,920 | 455,427 | ||||||
Xcel Energy, Inc. | 490 | 33,173 | ||||||
2,969,993 | ||||||||
Total Common Stocks (Cost $147,284,578) | 183,580,912 |
U.S. TREASURY OBLIGATIONS - 0.3% | Par Value | |||||||
U.S. Treasury Notes - 0.3% | ||||||||
United States Treasury Note/Bond | ||||||||
0.125%, due 05/31/23 (d) | $ | 82,000 | 81,488 | |||||
0.250%, due 09/30/23 (d) | 16,000 | 15,888 | ||||||
0.250%, due 06/15/24 (d) | 147,000 | 144,841 | ||||||
0.750%, due 11/15/24 (d) | 29,000 | 28,841 | ||||||
0.875%, due 09/30/26 (d) | 177,000 | 173,847 | ||||||
1.250%, due 11/30/26 (d) | 265,000 | 264,876 | ||||||
1.250%, due 09/30/28 (d) | 2,000 | 1,977 | ||||||
1.125%, due 02/15/31 (d) | 8,000 | 7,762 | ||||||
1.375%, due 11/15/31 (d) | 14,000 | 13,816 | ||||||
Total U.S. Treasury Obligations (Cost $737,570) | 733,336 | |||||||
AGENCY MORTGAGE-BACKED OBLIGATIONS INTEREST-ONLY STRIPS - 0.1% | ||||||||
Federal Home Loan Mortgage Corp. - 0.1% | ||||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
Series K-108, 1.690%, due 03/25/30 (d)(e) | 289,918 | 35,251 | ||||||
Series K-1501, 0.394%, due 04/25/30 (d)(e) | 1,650,806 | 42,445 | ||||||
Series K-110, 1.697%, due 04/25/30 (d)(e) | 299,350 | 35,873 | ||||||
Series K-118, 0.961%, due 09/25/30 (d)(e) | 598,618 | 42,956 | ||||||
Total Agency Mortgage-Backed Obligations Interest-Only Strips (Cost $134,836) | 156,525 | |||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 1.7% | ||||||||
BBCMS 2018-TALL Mortgage Trust | ||||||||
Series 2018-TALL, 0.832%, due 03/15/37 (1 Month U.S. LIBOR + 0.722%) (d)(f)(g) | 120,000 | 118,654 | ||||||
BBCMS 2020-BID Mortgage Trust | ||||||||
Series 2020-BID, 2.250%, due 10/15/37 (1 Month U.S. LIBOR + 2.140%) (d)(f)(g) | 110,000 | 110,324 | ||||||
BBCMS 2021-AGW Mortgage Trust | ||||||||
Series 2021-AGW, 1.360%, due 06/16/36 (1 Month U.S. LIBOR + 1.250%) (d)(f)(g) | 200,000 | 199,501 | ||||||
BX Commercial Mortgage Trust 2020-VKNG | ||||||||
Series 2020-VKNG, 1.510%, due 10/15/37 (1 Month U.S. LIBOR + 1.400%) (d)(f)(g) | 82,243 | 82,151 | ||||||
CIM Trust 2021-J3 | ||||||||
Series 2021-J3, 2.500%, due 06/25/51 (d)(e)(f) | 288,445 | 285,629 | ||||||
Citigroup Commercial Mortgage Trust 2016-P4 | ||||||||
Series 2016-P4, 3.944%, due 07/12/49 (d)(e) | 108,000 | 109,236 | ||||||
GS Mortgage Securities Trust 2018-HART | ||||||||
Series 2018-HART, 1.200%, due 10/15/31 (1 Month U.S. LIBOR + 1.090%) (d)(f)(g) | 110,000 | 109,794 | ||||||
GSCG Trust 2019-600C | ||||||||
Series 2019-600C, 2.936%, due 09/12/34 (d)(f) | 120,000 | 122,873 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-ICON | ||||||||
Series A, 3.884%, due 01/06/34 (d)(f) | 90,000 | 92,315 | ||||||
JP Morgan Mortgage Trust 2017-2 | ||||||||
Series 2017-2, 3.500%, due 05/25/47 (d)(e)(f) | 43,946 | 44,614 | ||||||
JP MORGAN MORTGAGE TRUST 2018-5 | ||||||||
Series 2018-5, 3.500%, due 10/25/48 (d)(e)(f) | 85,228 | 86,228 | ||||||
JP Morgan Mortgage Trust 2019-1 | ||||||||
Series 2019-1, 4.000%, due 05/25/49 (d)(e)(f) | 19,028 | 19,152 | ||||||
JP Morgan Mortgage Trust 2019-3 | ||||||||
Series 2019-3, 4.000%, due 09/25/49 (d)(e)(f) | 3,346 | 3,366 | ||||||
JP Morgan Mortgage Trust 2019-INV3 | ||||||||
Series 2019-INV3, 3.500%, due 05/25/50 (d)(e)(f) | 93,314 | 94,984 | ||||||
JP Morgan Mortgage Trust 2020-2 | ||||||||
Series 2020-2, 3.500%, due 07/25/50 (d)(e)(f) | 65,597 | 66,429 | ||||||
JP Morgan Mortgage Trust 2021-7 | ||||||||
Series TR, 2.500%, due 11/25/51 (d)(e)(f) | 185,496 | 183,975 | ||||||
JP Morgan Trust 2015-3 | ||||||||
Series 2015-3, 3.500%, due 05/25/45 (d)(e)(f) | 54,581 | 55,276 | ||||||
JPMBB Commercial Mortgage Securities Trust 2013-C12 | ||||||||
Series B, 4.098%, due 07/17/45 (d)(e) | 105,000 | 107,965 | ||||||
KREST Commercial Mortgage Securities Trust 2021-CHIP | ||||||||
Series C, 3.024%, due 11/05/44 (d)(e)(f) | 225,000 | 221,574 | ||||||
Morgan Stanley Capital I Trust 2016-BNK2 | ||||||||
Series C, 3.892%, due 11/18/49 (d)(e) | 100,000 | 99,473 | ||||||
OBX 2021-J3 Trust | ||||||||
Series 2021-J3, 2.500%, due 10/25/51 (d)(e)(f) | 400,000 | 396,246 | ||||||
Provident Funding Mortgage Trust 2021-J1 | ||||||||
Series 2.00000, 2.000%, due 10/25/51 (d)(e)(f) | 100,000 | 95,551 | ||||||
PSMC 2020-3 Trust | ||||||||
Series 2020-3, 3.000%, due 11/25/50 (d)(e)(f) | 46,338 | 47,044 | ||||||
Ready Capital Mortgage Financing 2021-FL5 LLC | ||||||||
Series 2021-FL5, 1.852%, due 04/25/38 (1 Month U.S. LIBOR + 1.750%) (d)(f)(g) | 250,000 | 248,984 | ||||||
Sequoia Mortgage Trust 2013-3 | ||||||||
Series 2013-3, 2.500%, due 03/25/43 (d)(e) | 57,509 | 58,013 | ||||||
Sequoia Mortgage Trust 2016-3 | ||||||||
Series 2016-3, 3.000%, due 11/25/46 (d)(e)(f) | 9,334 | 9,340 | ||||||
Sequoia Mortgage Trust 2019-CH2 | ||||||||
Series 2019-CH2, 4.500%, due 08/25/49 (d)(e)(f) | 8,603 | 8,719 | ||||||
Sequoia Mortgage Trust 2020-4 | ||||||||
Series 2020-4, 2.500%, due 11/25/50 (d)(e)(f) | 100,000 | 100,625 | ||||||
Sequoia Mortgage Trust 2021-1 | ||||||||
Series A-7, 2.500%, due 03/25/51 (d)(e)(f) | 250,000 | 249,076 | ||||||
SLG Office Trust 2021-OVA | ||||||||
Series 2021-OVA, 2.585%, due 07/15/41 (d)(f) | 140,000 | 142,838 | ||||||
Wells Fargo Commercial Mortgage Trust 2021-FCMT | ||||||||
Series A, 1.310%, due 05/15/31 (1 Month U.S. LIBOR + 1.200%) (d)(f)(g) | 100,000 | 99,828 | ||||||
Wells Fargo Mortgage Backed Securities 2020-RR1 Trust | ||||||||
Series A-1, 3.000%, due 05/25/50 (d)(e)(f) | 88,770 | 89,832 | ||||||
WFRBS Commercial Mortgage Trust 2014-C21 | ||||||||
Series 2014-C21, 4.213%, due 08/16/47 (d)(e) | 120,000 | 122,749 | ||||||
Total Non-Agency Mortgage-Backed Obligations (Cost $3,920,953) | 3,882,358 | |||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS INTEREST-ONLY STRIPS - 0.1% | ||||||||
BBCMS Trust 2021-C10 | ||||||||
Series 2021-C10, 1.308%, due 07/17/54 (d)(e) | 997,706 | 94,725 | ||||||
DBJPM 20-C9 Mortgage Trust | ||||||||
Series 2020-C9, 1.712%, due 08/15/53 (d)(e) | 459,087 | 43,133 | ||||||
Total Non-Agency Mortgage-Backed Obligations Interest-Only Strips (Cost $144,567) | 137,858 | |||||||
ASSET-BACKED SECURITIES - 1.5% | ||||||||
American Airlines 2015-2 Class AA Pass Through Trust | ||||||||
Series 2015-2, 3.600%, due 03/22/29 (d) | 55,461 | 56,773 | ||||||
American Airlines 2016-2 Class AA Pass Through Trust | ||||||||
Series 2016-2, 3.200%, due 12/15/29 (d) | 23,700 | 23,650 | ||||||
AmeriCredit Automobile Receivables Trust 2021-2 | ||||||||
Series TR, 1.010%, due 01/19/27 (d) | 100,000 | 98,384 | ||||||
Beacon Container Finance II LLC | ||||||||
Series NT, 2.250%, due 10/22/46 (d)(f) | 98,333 | 97,983 | ||||||
Commonbond Student Loan Trust 2018-C-GS | ||||||||
Series A-1, 3.870%, due 02/25/46 (d)(f) | 84,651 | 86,738 | ||||||
Exeter Automobile Receivables Trust 2020-3 | ||||||||
Series 2020-3, 1.320%, due 07/15/25 (d) | 150,000 | 150,653 | ||||||
FedEx Corp 2020-1 Class AA Pass Through Trust | ||||||||
Series 2020-1AA, 1.875%, due 08/20/35 (d) | 132,514 | 129,934 | ||||||
Helios Issuer LLC | ||||||||
Series A, 2.980%, due 06/20/47 (d)(f) | 123,053 | 126,723 | ||||||
Laurel Road Prime Student Loan Trust 2020-A | ||||||||
Series 1.40000, 1.400%, due 11/25/50 (d)(f) | 156,412 | 155,857 | ||||||
Loanpal Solar Loan 2020-2 Ltd. | ||||||||
Series A, 2.750%, due 07/20/47 (d)(f) | 116,187 | 118,185 | ||||||
Marlette Funding Trust 2021-1 | ||||||||
Series C, 1.410%, due 06/16/31 (d)(f) | 100,000 | 99,164 | ||||||
Mosaic Solar Loan Trust 2020-2 | ||||||||
Series 2020-2, 1.440%, due 08/20/46 (d)(f) | 72,335 | 69,929 | ||||||
Navient Private Education Refi Loan Trust 2020-G | ||||||||
Series A, 1.170%, due 09/15/69 (d)(f) | 92,056 | 91,624 | ||||||
Navient Private Education Refi Loan Trust 2021-A | ||||||||
Series A, 0.840%, due 05/15/69 (d)(f) | 63,150 | 62,209 | ||||||
Oscar US Funding XII LLC | ||||||||
Series A-4, 1.000%, due 04/10/28 (d)(f) | 100,000 | 99,240 | ||||||
PFS Financing Corp. | ||||||||
Series 2021-A, 0.710%, due 04/15/26 (d)(f) | 100,000 | 98,622 | ||||||
Santander Consumer Auto Receivables Trust 2021-A | ||||||||
Series 2021-A, 1.030%, due 11/16/26 (d)(f) | 100,000 | 98,348 | ||||||
Santander Drive Auto Receivables Trust 2019-3 | ||||||||
Series D, 2.680%, due 10/15/25 (d) | 125,000 | 126,766 | ||||||
Santander Drive Auto Receivables Trust 2020-3 | ||||||||
Series B, 0.690%, due 03/17/25 (d) | 100,000 | 100,098 | ||||||
Series C, 1.120%, due 01/15/26 (d) | 150,000 | 150,498 | ||||||
Santander Drive Auto Receivables Trust 2021-2 | ||||||||
Series C, 0.900%, due 06/15/26 (d) | 100,000 | 99,199 | ||||||
SMB Private Education Loan Trust 2020-PTB | ||||||||
Series 1.60000, 1.600%, due 09/15/54 (d)(f) | 177,240 | 176,603 | ||||||
SoFi Consumer Loan Program 2020-1 Trust | ||||||||
Series B, 2.250%, due 01/25/29 (d)(f) | 250,000 | 252,148 | ||||||
SoFi Consumer Loan Program 2021-1 Trust | ||||||||
Series B, 1.300%, due 09/25/30 (d)(f) | 250,000 | 247,162 | ||||||
Sofi Professional Loan Program 2017-C LLC | ||||||||
Series A-1, 0.703%, due 07/25/40 (1 Month U.S. LIBOR + 0.600%) (d)(f)(g) | 64,339 | 64,363 | ||||||
Sofi Professional Loan Program 2018-B Trust | ||||||||
Series 3.34000, 3.340%, due 08/25/47 (d)(f) | 66,578 | 67,658 | ||||||
Tesla Auto Lease Trust 2019-A | ||||||||
Series 2019-A, 2.680%, due 01/20/23 (d)(f) | 125,000 | 126,550 | ||||||
United Airlines 2014-2 Class A Pass Through Trust | ||||||||
Series A, 3.750%, due 09/03/26 (d) | 20,549 | 21,309 | ||||||
Vivint Solar Financing VII LLC | ||||||||
Series LLC, 2.210%, due 07/31/51 (d)(f) | 144,137 | 141,739 | ||||||
Volvo Financial Equipment LLC Series 2020-1 | ||||||||
Series A-4, 0.600%, due 03/15/28 (d)(f) | 100,000 | 98,380 | ||||||
Westlake Automobile Receivables Trust 2020-3 | ||||||||
Series B, 0.780%, due 11/17/25 (d)(f) | 150,000 | 150,030 | ||||||
Total-Asset Backed Securities (Cost $3,504,513) | 3,486,519 | |||||||
COLLATERALIZED LOAN OBLIGATIONS - 2.0% | ||||||||
Aimco CLO 11 Ltd. | ||||||||
Series 2020-11R, 1.253%, due 10/17/34 (3 Month U.S. LIBOR + 1.130%) (d)(f)(g) | 500,000 | 498,828 | ||||||
Apidos CLO XXIII | ||||||||
Series XXIII, 1.344%, due 04/15/33 (3 Month U.S. LIBOR + 1.220%) (d)(f)(g) | 250,000 | 250,036 | ||||||
Arbor Realty Commercial Real Estate Notes 2021-FL2 Ltd. | ||||||||
Series B, 1.710%, due 05/15/36 (1 Month U.S. LIBOR + 1.600%) (d)(f)(g)(h) | 250,000 | 248,597 | ||||||
Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd. | ||||||||
Series C, 1.960%, due 08/15/34 (1 Month U.S. LIBOR + 1.850%) (d)(f)(g)(h) | 225,000 | 223,996 | ||||||
Benefit Street Partners CLO XIX Ltd. | ||||||||
Series A, 1.474%, due 01/18/33 (3 Month U.S. LIBOR + 1.350%) (d)(f)(g) | 250,000 | 250,034 | ||||||
CARLYLE US CLO 2021-1 Ltd. | ||||||||
Series LTD, 1.264%, due 04/17/34 (3 Month U.S. LIBOR + 1.140%) (d)(f)(g) | 250,000 | 249,970 | ||||||
Dryden 78 CLO Ltd. | ||||||||
Series LTD, 1.302%, due 04/18/33 (3 Month U.S. LIBOR + 1.180%) (d)(f)(g) | 250,000 | 249,857 | ||||||
Greystone CRE Notes 2021-FL3 Ltd. | ||||||||
Series 2021-FL3, 2.110%, due 07/15/39 (1 Month U.S. LIBOR + 2.000%) (d)(f)(g)(h) | 225,000 | 223,861 | ||||||
Madison Park Funding XXI Ltd. | ||||||||
Series FLT, 1.518%, due 10/15/32 (3 Month U.S. LIBOR + 1.400%) (d)(f)(g) | 250,000 | 249,998 | ||||||
Marble Point CLO XIV Ltd. | ||||||||
Series FLT, 1.412%, due 01/20/32 (3 Month U.S. LIBOR + 1.280%) (d)(f)(g) | 280,000 | 280,124 | ||||||
MF1 2021-FL6 Ltd. | ||||||||
Series 2021-FL6, 1.958%, due 07/18/36 (1 Month U.S. LIBOR + 1.850%) (d)(f)(g)(h) | 225,000 | 223,931 | ||||||
MF1 2021-FL7 Ltd. | ||||||||
Series 2021-FL7, 2.158%, due 10/20/36 (1 Month U.S. LIBOR + 1.150%) (d)(f)(g)(h) | 200,000 | 198,638 | ||||||
Octagon Investment Partners 48 Ltd. | ||||||||
Series A-R, 1.277%, due 10/20/34 (3 Month U.S. LIBOR + 1.150%) (d)(f)(g) | 250,000 | 249,706 | ||||||
OHA Credit Funding 3 Ltd. | ||||||||
Series A-R, 1.272%, due 07/02/35 (3 Month U.S. LIBOR + 1.140%) (d)(f)(g) | 250,000 | 249,692 | ||||||
OHA Credit Funding 4 Ltd. | ||||||||
Series A-R, 1.278%, due 10/22/36 (3 Month U.S. LIBOR + 1.150%) (d)(f)(g) | 350,000 | 350,062 | ||||||
OHA Loan Funding 2015-1 Ltd. | ||||||||
Series LTD, 1.330%, due 01/19/37 (3 Month U.S. LIBOR + 1.150%) (d)(f)(g) | 270,000 | 270,054 | ||||||
Palmer Square CLO 2019-1 Ltd. | ||||||||
1.348%, due 11/14/34 (3 Month U.S. LIBOR + 1.150%) (d)(f)(g) | 250,000 | 250,032 | ||||||
Total Collateralized Loan Obligations (Cost $4,521,043) | 4,517,416 | |||||||
CORPORATE BONDS - 3.2% | ||||||||
Basic Materials - 0.0% (i) | ||||||||
Ecolab, Inc. | ||||||||
4.800%, due 03/24/30 (d) | 33,000 | 39,496 | ||||||
Steel Dynamics, Inc. | ||||||||
1.650%, due 10/15/27 (d) | 46,000 | 45,014 | ||||||
84,510 | ||||||||
Communications - 0.2% | ||||||||
Amazon.com, Inc. | ||||||||
1.500%, due 06/03/30 (d) | 70,000 | 67,894 | ||||||
AT&T, Inc. | ||||||||
2.250%, due 02/01/32 (d) | 92,000 | 88,784 | ||||||
Fox Corp. | ||||||||
3.050%, due 04/07/25 (d) | 98,000 | 102,870 | ||||||
The Walt Disney Co. | ||||||||
2.200%, due 01/13/28 (d) | 38,000 | 38,708 | ||||||
T-Mobile USA, Inc. | ||||||||
3.750%, due 04/15/27 (d) | 46,000 | 49,833 | ||||||
Verizon Communications Inc | ||||||||
2.355%, due 03/15/32 (d)(f) | 83,000 | 81,829 | ||||||
Verizon Communications, Inc. | ||||||||
4.329%, due 09/21/28 (d) | 46,000 | 52,150 | ||||||
482,068 | ||||||||
Consumer, Cyclical - 0.1% | ||||||||
American Honda Finance Corp. | ||||||||
1.200%, due 07/08/25 (d) | 38,000 | 37,838 | ||||||
Nissan Motor Co. Ltd. | ||||||||
4.810%, due 09/17/30 (d)(f) | 46,000 | 51,447 | ||||||
O'Reilly Automotive, Inc. | ||||||||
3.600%, due 09/01/27 (d) | 87,000 | 94,311 | ||||||
Ross Stores, Inc. | ||||||||
4.600%, due 04/15/25 (d) | 62,000 | 67,820 | ||||||
251,416 | ||||||||
Consumer, Non-cyclical - 0.5% | ||||||||
AbbVie, Inc. | ||||||||
3.800%, due 03/15/25 (d) | 67,000 | 71,310 | ||||||
Altria Group, Inc. | ||||||||
3.400%, due 05/06/30 (d) | 48,000 | 49,699 | ||||||
Amgen, Inc. | ||||||||
3.200%, due 11/02/27 (d) | 63,000 | 67,746 | ||||||
AstraZeneca PLC | ||||||||
0.700%, due 04/08/26 (d) | 44,000 | 42,551 | ||||||
BAT International Finance PLC | ||||||||
1.668%, due 03/25/26 (d) | 78,000 | 76,601 | ||||||
Constellation Brands, Inc. | ||||||||
3.700%, due 12/06/26 (d) | 48,000 | 51,910 | ||||||
CVS Health Corp. | ||||||||
3.875%, due 07/20/25 (d) | 128,000 | 137,227 | ||||||
1.750%, due 08/21/30 (d) | 92,000 | 87,479 | ||||||
Global Payments, Inc. | ||||||||
2.650%, due 02/15/25 (d) | 43,000 | 44,124 | ||||||
HCA, Inc. | ||||||||
4.125%, due 06/15/29 (d) | 54,000 | 59,603 | ||||||
Johnson & Johnson | ||||||||
0.950%, due 09/01/27 (d) | 100,000 | 97,648 | ||||||
1.300%, due 09/01/30 (d) | 100,000 | 96,100 | ||||||
Keurig Dr Pepper, Inc. | ||||||||
4.417%, due 05/25/25 (d) | 37,000 | 40,282 | ||||||
PepsiCo, Inc. | ||||||||
2.625%, due 07/29/29 (d) | 44,000 | 46,224 | ||||||
Royalty Pharma PLC | ||||||||
1.200%, due 09/02/25 (d) | 39,000 | 38,233 | ||||||
1.750%, due 09/02/27 (d) | 39,000 | 37,933 | ||||||
2.200%, due 09/02/30 (d) | 61,000 | 58,859 | ||||||
Triton Container International Ltd | ||||||||
2.050%, due 04/15/26 (d)(f) | 86,000 | 85,330 | ||||||
1,188,859 | ||||||||
Energy - 0.2% | ||||||||
BP Capital Markets PLC | ||||||||
3.535%, due 11/04/24 (d) | 58,000 | 61,669 | ||||||
Enterprise Products Operating LLC | ||||||||
2.800%, due 01/31/30 (d) | 46,000 | 47,882 | ||||||
Exxon Mobil Corp. | ||||||||
2.275%, due 08/16/26 (d) | 52,000 | 53,659 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
3.450%, due 02/15/23 (d) | 37,000 | 37,832 | ||||||
MPLX LP | ||||||||
4.875%, due 12/01/24 (d) | 38,000 | 41,230 | ||||||
2.650%, due 08/15/30 (d) | 35,000 | 34,913 | ||||||
Phillips 66 | ||||||||
0.900%, due 02/15/24 (d) | 47,000 | 46,702 | ||||||
Sabine Pass Liquefaction LLC. | ||||||||
5.625%, due 03/01/25 (d) | 36,000 | 39,960 | ||||||
363,847 | ||||||||
Financial - 1.6% | ||||||||
Aflac, Inc. | ||||||||
3.250%, due 03/17/25 (d) | 60,000 | 63,409 | ||||||
American International Group, Inc. | ||||||||
3.900%, due 04/01/26 (d) | 77,000 | 83,457 | ||||||
Assurant, Inc. | ||||||||
4.200%, due 09/27/23 (d) | 37,000 | 38,831 | ||||||
Aviation Capital Group LLC | ||||||||
1.950%, due 09/20/26 (d)(f) | 73,000 | 70,841 | ||||||
Avolon Holdings Funding Ltd. | ||||||||
2.875%, due 02/15/25 (d)(f) | 56,000 | 57,190 | ||||||
2.125%, due 02/21/26 (d)(f) | 102,000 | 100,087 | ||||||
Bank of America Corp. | ||||||||
4.125%, due 01/22/24 (d) | 102,000 | 108,350 | ||||||
4.000%, due 01/22/25 (d) | 39,000 | 41,616 | ||||||
1.734%, due 07/22/27 (SOFR Rate + 0.960%) (d)(g) | 230,000 | 228,419 | ||||||
2.592%, due 04/29/31 (SOFR Rate + 2.150%) (d)(g) | 92,000 | 92,692 | ||||||
Blackstone Holdings Finance Co. LLC | ||||||||
1.625%, due 08/05/28 (d)(f) | 104,000 | 100,844 | ||||||
BNP Paribas SA | ||||||||
2.819%, due 11/19/25 (3 Month U.S. LIBOR + 1.111%) (d)(f)(g) | 200,000 | 205,725 | ||||||
Citigroup, Inc. | ||||||||
0.981%, due 05/01/25 (SOFR Rate + 0.669%) (d)(g) | 90,000 | 89,187 | ||||||
4.450%, due 09/29/27 (d) | 42,000 | 46,789 | ||||||
Equinix, Inc. | ||||||||
1.250%, due 07/15/25 (d) | 69,000 | 67,777 | ||||||
2.900%, due 11/18/26 (d) | 54,000 | 56,092 | ||||||
Intercontinental Exchange, Inc. | ||||||||
3.750%, due 12/01/25 (d) | 65,000 | 70,246 | ||||||
JPMorgan Chase & Co. | ||||||||
2.776%, due 04/25/23 (3 Month U.S. LIBOR + 0.935%) (d)(g) | 88,000 | 88,544 | ||||||
3.875%, due 09/10/24 (d) | 100,000 | 106,363 | ||||||
1.578%, due 04/22/27 (SOFR Rate + 0.885%) (d)(g) | 90,000 | 89,001 | ||||||
1.470%, due 09/22/27 (SOFR Rate + 0.765%) (d)(g) | 117,000 | 114,514 | ||||||
1.953%, due 02/04/32 (SOFR Rate + 1.065%) (d)(g) | 38,000 | 36,420 | ||||||
2.580%, due 04/22/32 (SOFR Rate + 1.250%) (d)(g) | 99,000 | 100,312 | ||||||
Kite Realty Group LP | ||||||||
4.000%, due 10/01/26 (d) | 52,000 | 55,148 | ||||||
Main Star Cap Corp. | ||||||||
3.000%, due 07/14/26 (d) | 99,000 | 98,986 | ||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
3.761%, due 07/26/23 (d) | 37,000 | 38,504 | ||||||
Morgan Stanley | ||||||||
0.560%, due 11/10/23 (SOFR Rate + 0.466%) (d)(g) | 92,000 | 91,822 | ||||||
1.164%, due 10/21/25 (SOFR Rate + 0.560%) (d)(g) | 82,000 | 81,199 | ||||||
2.188%, due 04/28/26 (SOFR Rate + 1.990%) (d)(g) | 122,000 | 124,192 | ||||||
1.593%, due 05/04/27 (SOFR Rate + 0.879%) (d)(g) | 120,000 | 118,611 | ||||||
1.512%, due 07/20/27 (SOFR Rate + 0.858%) (d)(g) | 87,000 | 85,618 | ||||||
2.239%, due 07/21/32 (SOFR Rate + 1.178%) (d)(g) | 48,000 | 46,843 | ||||||
Oaktree Specialty Lending Corp. | ||||||||
2.700%, due 01/15/27 (d) | 90,000 | 88,946 | ||||||
Realty Income Corp. | ||||||||
3.250%, due 01/15/31 (d) | 92,000 | 98,670 | ||||||
Royal Bank of Canada | ||||||||
1.200%, due 04/27/26 (d) | 60,000 | 58,824 | ||||||
Scentre Group Trust 1 | ||||||||
3.625%, due 01/28/26 (d)(f) | 87,000 | 92,836 | ||||||
The Bank of Nova Scotia | ||||||||
2.700%, due 08/03/26 (d) | 87,000 | 90,703 | ||||||
The Charles Schwab Corp. | ||||||||
3.300%, due 04/01/27 (d) | 34,000 | 36,426 | ||||||
The Goldman Sachs Group, Inc. | ||||||||
2.908%, due 06/05/23 (3 Month U.S. LIBOR + 1.053%) (d)(g) | 75,000 | 75,614 | ||||||
0.855%, due 02/12/26 (SOFR Rate + 0.609%) (d)(g) | 60,000 | 58,659 | ||||||
Wells Fargo & Co. | ||||||||
2.406%, due 10/30/25 (SOFR Rate + 1.087%) (d)(g) | 118,000 | 120,838 | ||||||
XLIT Ltd. | ||||||||
4.450%, due 03/31/25 (d) | 46,000 | 49,842 | ||||||
3,568,987 | ||||||||
Industrial - 0.2% | ||||||||
3M Co. | ||||||||
2.000%, due 02/14/25 (d) | 48,000 | 49,030 | ||||||
Amphenol Corp. | ||||||||
2.800%, due 02/15/30 (d) | 51,000 | 52,601 | ||||||
Carrier Global Corp. | ||||||||
2.722%, due 02/15/30 (d) | 103,000 | 104,583 | ||||||
Caterpillar Financial Services Corp. | ||||||||
2.850%, due 05/17/24 (d) | 50,000 | 52,214 | ||||||
Raytheon Technologies Corp. | ||||||||
3.200%, due 03/15/24 (d) | 48,000 | 49,953 | ||||||
The Boeing Co. | ||||||||
4.875%, due 05/01/25 (d) | 47,000 | 51,433 | ||||||
359,814 | ||||||||
Technology - 0.2% | ||||||||
Apple, Inc. | ||||||||
1.200%, due 02/08/28 (d) | 60,000 | 58,211 | ||||||
Broadcom, Inc. | ||||||||
4.150%, due 11/15/30 (d) | 30,000 | 33,235 | ||||||
DXC Technology Co. | ||||||||
1.800%, due 09/15/26 (d) | 58,000 | 57,177 | ||||||
Fiserv, Inc. | ||||||||
3.850%, due 06/01/25 (d) | 52,000 | 55,541 | ||||||
Intel Corp. | ||||||||
3.400%, due 03/25/25 (d) | 21,000 | 22,321 | ||||||
3.700%, due 07/29/25 (d) | 32,000 | 34,528 | ||||||
Microsoft Corp. | ||||||||
2.400%, due 08/08/26 (d) | 101,000 | 105,524 | ||||||
Oracle Corp. | ||||||||
2.950%, due 04/01/30 (d) | 109,000 | 109,836 | ||||||
Vmware, Inc. | ||||||||
1.000%, due 08/15/24 (d) | 61,000 | 60,694 | ||||||
537,067 | ||||||||
Utilities - 0.2% | ||||||||
Ameren Illinois Co. | ||||||||
3.800%, due 05/15/28 (d) | 50,000 | 54,587 | ||||||
Duke Energy Corp. | ||||||||
3.150%, due 08/15/27 (d) | 94,000 | 99,332 | �� | |||||
Entergy Corp. | ||||||||
0.900%, due 09/15/25 (d) | 20,000 | 19,343 | ||||||
FirstEnergy Corp. | ||||||||
4.400%, due 07/15/27 (d) | 76,000 | 81,714 | ||||||
Sierra Pacific Power Co. | ||||||||
2.600%, due 05/01/26 (d) | 67,000 | 69,723 | ||||||
Southwestern Electric Power Co. | ||||||||
1.650%, due 03/15/26 (d) | 60,000 | 59,727 | ||||||
The AES Corp. | ||||||||
1.375%, due 01/15/26 (d) | 47,000 | 45,614 | ||||||
430,040 | ||||||||
Total Corporate Bonds (Cost $7,399,313) | 7,266,608 |
Shares | ||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES - 5.3% | ||||||||
Voya Emerging Markets Hard Currency Debt Fund - Class P | 183,659 | 1,722,723 | ||||||
Voya High Yield Bond Fund - Class P | 200,571 | 1,610,581 | ||||||
Voya Investment Grade Credit Fund - Class P | 187,553 | 2,083,715 | ||||||
Voya Securitized Credit Fund - Class P | 692,306 | 6,763,832 | ||||||
Total Affiliated Registered Investment Companies (Cost $12,145,031) | 12,180,851 | |||||||
Total Investments at Value - 94.2% (Cost $179,792,404) | 215,942,383 | |||||||
Other Assets in Excess of Liabilities - 5.8% | 13,413,137 | |||||||
Net Assets - 100.0% | $ | 229,355,520 |
Percentages are stated as a percent of net assets.
ADR - American Depository Receipt
LIBOR - London Interbank Offered Rate
SOFR - Secured Overnight Financing Rate
(a) | More narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting purposes. |
(b) | Non-income producing security. |
(c) | This security or a partial position of this security is on loan at December 31, 2021. The total fair value of securities on loan at December 31, 2021, was $184,160 (Note 8). |
(d) | Level 2 security. |
(e) | Variable rate security. The coupon is based on an underlying pool of loans. The rate listed is as of December 31, 2021. |
(f) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other ‘‘qualified institutional buyers.’’ As of December 31, 2021, the value of these investments was $11,277,722 or 4.9% of total net assets. |
(g) | Variable rate security based on a reference index and spread. The rate listed is as of December 31, 2021. |
(h) | Illiquid security. The total value of such securities is $1,119,023 as of December 31, 2021, representing 0.5% of net assets. |
(i) | Represents less than 0.1%. |
WILSHIRE MUTUAL FUNDS, INC. | |
SMALL COMPANY GROWTH PORTFOLIO | December 31, 2021 |
SCHEDULE OF INVESTMENTS |
Shares | Value | |||||||
COMMON STOCKS - 97.0% (a) | ||||||||
Communication Services - 1.5% | ||||||||
AMC Networks, Inc. - Class A (b) | 1,046 | $ | 36,024 | |||||
Bandwidth, Inc. - Class A (b) | 258 | 18,514 | ||||||
Cardlytics, Inc. (b) | 3,142 | 207,655 | ||||||
Cargurus, Inc. (b) | 119 | 4,003 | ||||||
Cars.com, Inc. (b) | 1,183 | 19,034 | ||||||
Cinemark Holdings, Inc. (b) | 1,878 | 30,273 | ||||||
Cogent Communications Holdings, Inc. | 44 | 3,220 | ||||||
Eventbrite, Inc. - Class A (b) | 324 | 5,651 | ||||||
Gogo, Inc. (b) | 526 | 7,117 | ||||||
Magnite, Inc. (b) | 7,901 | 138,268 | ||||||
Ooma, Inc. (b) | 1,241 | 25,366 | ||||||
QuinStreet, Inc. (b) | 1,529 | 27,812 | ||||||
TechTarget, Inc. (b) | 419 | 40,082 | ||||||
Ziff Davis, Inc. (b) | 357 | 39,577 | ||||||
602,596 | ||||||||
Consumer Discretionary - 12.3% | ||||||||
1-800-Flowers.com, Inc. - Class A (b) | 382 | 8,927 | ||||||
2U, Inc. (b) | 641 | 12,865 | ||||||
Academy Sports & Outdoors, Inc. (b) | 651 | 28,579 | ||||||
American Eagle Outfitters, Inc. (c) | 189 | 4,785 | ||||||
Arko Corp. (b) | 2,195 | 19,250 | ||||||
Asbury Automotive Group, Inc. (b) | 160 | 27,637 | ||||||
BJ's Restaurants, Inc. (b) | 168 | 5,804 | ||||||
Bloomin' Brands, Inc. (b) | 2,606 | 54,674 | ||||||
Boot Barn Holdings, Inc. (b) | 3,204 | 394,252 | ||||||
Brinker International, Inc. (b) | 756 | 27,662 | ||||||
Caesars Entertainment, Inc. (b) | 119 | 11,130 | ||||||
Caleres, Inc. | 279 | 6,328 | ||||||
Camping World Holdings, Inc. - Class A | 1,220 | 49,288 | ||||||
Carriage Services, Inc. | 345 | 22,232 | ||||||
Cavco Industries, Inc. (b) | 183 | 58,130 | ||||||
Century Casinos, Inc. (b) | 3,798 | 46,260 | ||||||
Century Communities, Inc. | 139 | 11,369 | ||||||
Citi Trends, Inc. (b) | 238 | 22,551 | ||||||
Crocs, Inc. (b) | 501 | 64,238 | ||||||
Dave & Buster's Entertainment, Inc. (b) | 780 | 29,952 | ||||||
Dorman Products, Inc. (b) | 216 | 24,410 | ||||||
Drive Shack, Inc. (b) | 5,310 | 7,593 | ||||||
Everi Holdings, Inc. (b) | 1,627 | 34,736 | ||||||
Fox Factory Holding Corp. (b) | 140 | 23,814 | ||||||
Funko, Inc. - Class A (b) | 1,224 | 23,011 | ||||||
Golden Nugget Online Gaming, Inc. (b) | 971 | 9,661 | ||||||
Green Brick Partners, Inc. (b) | 7,799 | 236,544 | ||||||
Guess?, Inc. | 928 | 21,975 | ||||||
Hamilton Beach Brands Holding Co. - Class A | 443 | 6,362 | ||||||
Haverty Furniture Cos., Inc. | 814 | 24,884 | ||||||
Hibbett, Inc. | 559 | 40,209 | ||||||
International Game Technology PLC | 2,201 | 63,631 | ||||||
iRobot Corp. (b) | 71 | 4,677 | ||||||
Legacy Housing Corp. (b) | 378 | 10,006 | ||||||
MasterCraft Boat Holdings, Inc. (b) | 633 | 17,933 | ||||||
Meritage Homes Corp. (b) | 148 | 18,065 | ||||||
Monarch Casino & Resort, Inc. (b) | 435 | 32,168 | ||||||
Murphy USA, Inc. | 452 | 90,056 | ||||||
National Vision Holdings, Inc. (b) | 41 | 1,968 | ||||||
Noodles & Co. (b) | 169 | 1,533 | ||||||
The ONE Group Hospitality, Inc. (b) | 1,044 | 13,165 | ||||||
OneWater Marine, Inc. - Class A | 54 | 3,292 | ||||||
Overstock.com, Inc. (b) | 485 | 28,620 | ||||||
Papa John's International, Inc. | 214 | 28,563 | ||||||
Party City Holdco, Inc. (b) | 419 | 2,334 | ||||||
Penn National Gaming, Inc. (b) | 748 | 38,784 | ||||||
Perdoceo Education Corp. (b) | 1,414 | 16,629 | ||||||
PetMed Express, Inc. | 152 | 3,840 | ||||||
PlayAGS, Inc. (b) | 4,029 | 27,357 | ||||||
Porch Group, Inc. (b) | 411 | 6,408 | ||||||
PowerSchool Holdings, Inc. - Class A (b) | 1,101 | 18,134 | ||||||
RCI Hospitality Holdings, Inc. | 106 | 8,255 | ||||||
Red Rock Resorts, Inc. - Class A | 156 | 8,582 | ||||||
Revolve Group, Inc. (b) | 106 | 5,940 | ||||||
RH (b) | 39 | 20,902 | ||||||
Sally Beauty Holdings, Inc. (b) | 3,173 | 58,574 | ||||||
Scientific Games Corp. (b) | 529 | 35,353 | ||||||
Shake Shack, Inc. - Class A (b) | 320 | 23,091 | ||||||
Shoe Carnival, Inc. | 493 | 19,266 | ||||||
Shutterstock, Inc. | 1,129 | 125,184 | ||||||
Signet Jewelers Ltd. | 715 | 62,226 | ||||||
Skyline Champion Corp. (b) | 7,828 | 618,255 | ||||||
Sleep Number Corp. (b) | 221 | 16,929 | ||||||
Sonos, Inc. (b) | 3,635 | 108,323 | ||||||
Standard Motor Products, Inc. | 734 | 38,454 | ||||||
Steven Madden Ltd. | 3,909 | 181,651 | ||||||
Stoneridge, Inc. (b) | 3,568 | 70,432 | ||||||
Stride, Inc. (b) | 197 | 6,566 | ||||||
Sturm Ruger & Co., Inc. | 400 | 27,208 | ||||||
Taylor Morrison Home Corp. (b) | 841 | 29,401 | ||||||
Texas Roadhouse, Inc. | 4,361 | 389,350 | ||||||
The Cheesecake Factory, Inc. (b) | 583 | 22,824 | ||||||
The Children's Place, Inc. (b) | 583 | 46,226 | ||||||
The Lovesac Co. (b) | 711 | 47,111 | ||||||
ThredUp, Inc. - Class A (b) | 6,532 | 83,348 | ||||||
TopBuild Corp. (b) | 1,539 | 424,625 | ||||||
Urban Outfitters, Inc. (b) | 353 | 10,364 | ||||||
Vivint Smart Home, Inc. (b) | 1,874 | 18,328 | ||||||
Wingstop, Inc. | 265 | 45,792 | ||||||
Winmark Corp. | 336 | 83,425 | ||||||
Winnebago Industries, Inc. | 817 | 61,210 | ||||||
WW International, Inc. (b) | 1,488 | 24,001 | ||||||
YETI Holdings, Inc. (b) | 3,189 | 264,145 | ||||||
4,771,616 | ||||||||
Consumer Staples - 2.8% | ||||||||
BellRing Brands, Inc. - Class A (b)(c) | 246 | 7,018 | ||||||
Coca-Cola Consolidated, Inc. | 9 | 5,573 | ||||||
elf Beauty, Inc. (b) | 15,538 | 516,017 | ||||||
Grocery Outlet Holding Corp. (b) | 12,525 | 354,207 | ||||||
Inter Parfums, Inc. | 139 | 14,859 | ||||||
J & J Snack Foods Corp. | 37 | 5,844 | ||||||
Medifast, Inc. | 178 | 37,279 | ||||||
Performance Food Group Co. (b) | 369 | 16,933 | ||||||
Sanderson Farms, Inc. | 124 | 23,694 | ||||||
USANA Health Sciences, Inc. (b) | 74 | 7,489 | ||||||
Vector Group Ltd. | 2,910 | 33,407 | ||||||
Veru, Inc. (b) | 690 | 4,064 | ||||||
WD-40 Co. | 232 | 56,756 | ||||||
1,083,140 | ||||||||
Energy - 1.3% | ||||||||
Arch Resources, Inc. | 65 | 5,936 | ||||||
Brigham Minerals, Inc. - Class A | 10,370 | 218,703 | ||||||
Callon Petroleum Co. (b) | 213 | 10,064 | ||||||
Centennial Resource Development, Inc. - Class A (b) | 2,351 | 14,059 | ||||||
Crescent Energy, Inc. - Class A (b) | 547 | 6,936 | ||||||
Denbury, Inc. (b) | 263 | 20,143 | ||||||
Dorian LPG Ltd. | 460 | 5,837 | ||||||
Earthstone Energy, Inc. - Class A (b) | 123 | 1,346 | ||||||
Kosmos Energy Ltd. (b) | 13,712 | 47,444 | ||||||
Magnolia Oil & Gas Corp. - Class A | 1,775 | 33,494 | ||||||
Matador Resources Co. | 764 | 28,207 | ||||||
Ovintiv, Inc. | 575 | 19,378 | ||||||
Par Pacific Holdings, Inc. (b) | 1,208 | 19,920 | ||||||
Southwestern Energy Co. (b) | 12,326 | 57,439 | ||||||
TETRA Technologies, Inc. (b) | 3,041 | 8,636 | ||||||
497,542 | ||||||||
Financials - 5.6% | ||||||||
Artisan Partners Asset Management, Inc. - Class A | 630 | 30,013 | ||||||
Atlanticus Holdings Corp. (b) | 572 | 40,795 | ||||||
Banc of California, Inc. | 15,026 | 294,810 | ||||||
Cadence Bank | 11,171 | 332,784 | ||||||
Cohen & Steers, Inc. | 1,362 | 125,999 | ||||||
Cowen, Inc. - Class A | 682 | 24,620 | ||||||
CrossFirst Bankshares, Inc. (b) | 937 | 14,627 | ||||||
Curo Group Holdings Corp. | 281 | 4,499 | ||||||
Customers Bancorp, Inc. (b) | 84 | 5,491 | ||||||
Eastern Bankshares, Inc. | 1,002 | 20,210 | ||||||
First Financial Bankshares, Inc. | 267 | 13,574 | ||||||
FirstCash Holdings, Inc. | 394 | 29,475 | ||||||
Focus Financial Partners, Inc. - Class A (b) | 102 | 6,092 | ||||||
GAMCO Investors, Inc. - Class A | 608 | 15,188 | ||||||
Glacier Bancorp, Inc. | 665 | 37,706 | ||||||
Hanmi Financial Corp. | 172 | 4,073 | ||||||
Home BancShares, Inc. | 12,732 | 310,024 | ||||||
Houlihan Lokey, Inc. | 1,027 | 106,315 | ||||||
James River Group Holdings Ltd. | 4,074 | 117,372 | ||||||
Kinsale Capital Group, Inc. | 33 | 7,851 | ||||||
Metrocity Bankshares, Inc. | 600 | 16,518 | ||||||
Moelis & Co. - Class A | 1,207 | 75,450 | ||||||
NMI Holdings, Inc. - Class A (b) | 480 | 10,488 | ||||||
Open Lending Corp. - Class A (b) | 608 | 13,668 | ||||||
Piper Sandler Cos. | 115 | 20,529 | ||||||
PJT Partners, Inc. - Class A | 945 | 70,015 | ||||||
PROG Holdings, Inc. | 1,512 | 68,206 | ||||||
Regional Management Corp. | 427 | 24,535 | ||||||
Silvergate Capital Corp. - Class A (b) | 41 | 6,076 | ||||||
StepStone Group, Inc. - Class A | 2,934 | 121,966 | ||||||
Texas Capital Bancshares, Inc. (b) | 3,277 | 197,439 | ||||||
2,166,408 | ||||||||
Health Care - 33.1% | ||||||||
1Life Healthcare, Inc. (b) | 2,010 | 35,316 | ||||||
Accolade, Inc. (b) | 180 | 4,745 | ||||||
Accuray, Inc. (b) | 1,825 | 8,705 | ||||||
AdaptHealth Corp. (b) | 978 | 23,922 | ||||||
Aerie Pharmaceuticals, Inc. (b) | 15,122 | 106,156 | ||||||
Affimed NV (b) | 10,787 | 59,544 | ||||||
Agenus, Inc. (b) | 3,165 | 10,191 | ||||||
Albireo Pharma, Inc. (b) | 768 | 17,887 | ||||||
Alector, Inc. (b) | 279 | 5,761 | ||||||
Allakos, Inc. (b) | 164 | 1,606 | ||||||
ALX Oncology Holdings, Inc. (b) | 180 | 3,868 | ||||||
American Well Corp. - Class A (b) | 16,203 | 97,866 | ||||||
AMN Healthcare Services, Inc. (b) | 575 | 70,340 | ||||||
Amneal Pharmaceuticals, Inc. (b) | 3,461 | 16,578 | ||||||
Apellis Pharmaceuticals, Inc. (b) | 127 | 6,005 | ||||||
Apollo Medical Holdings, Inc. (b)(c) | 73 | 5,364 | ||||||
Arcus Biosciences, Inc. (b) | 2,232 | 90,329 | ||||||
Arcutis Biotherapeutics, Inc. (b) | 517 | 10,723 | ||||||
Arrowhead Pharmaceuticals, Inc. (b) | 462 | 30,631 | ||||||
Arvinas, Inc. (b) | 393 | 32,281 | ||||||
Atara Biotherapeutics, Inc. (b) | 110 | 1,734 | ||||||
Atea Pharmaceuticals, Inc. (b) | 271 | 2,423 | ||||||
Avid Bioservices, Inc. (b) | 16,284 | 475,167 | ||||||
Beam Therapeutics, Inc. (b) | 1,482 | 118,101 | ||||||
Biohaven Pharmaceutical Holding Co. Ltd. (b) | 283 | 39,000 | ||||||
BioLife Solutions, Inc. (b) | 15,656 | 583,499 | ||||||
Bioventus, Inc. - Class A (b) | 1,002 | 14,519 | ||||||
Blueprint Medicines Corp. (b) | 804 | 86,116 | ||||||
Bridgebio Pharma, Inc. (b)(c) | 620 | 10,342 | ||||||
CareDx, Inc. (b) | 263 | 11,961 | ||||||
Caribou Biosciences, Inc. (b) | 1,673 | 25,246 | ||||||
Castle Biosciences, Inc. (b) | 5,323 | 228,197 | ||||||
Cerus Corp. (b) | 3,206 | 21,833 | ||||||
Chemed Corp. | 100 | 52,904 | ||||||
ChromaDex Corp. (b) | 2,918 | 10,913 | ||||||
ClearPoint Neuro, Inc. (b) | 526 | 5,902 | ||||||
Community Health Systems, Inc. (b) | 881 | 11,726 | ||||||
CONMED Corp. | 4,955 | 702,421 | ||||||
Corcept Therapeutics, Inc. (b) | 242 | 4,792 | ||||||
CRISPR Therapeutics AG (b) | 813 | 61,609 | ||||||
Cross Country Healthcare, Inc. (b) | 526 | 14,602 | ||||||
CryoLife, Inc. (b) | 670 | 13,634 | ||||||
CryoPort, Inc. (b) | 3,490 | 206,503 | ||||||
Curis, Inc. (b) | 871 | 4,146 | ||||||
Cutera, Inc. (b) | 670 | 27,684 | ||||||
CytoSorbents Corp. (b) | 5,401 | 22,630 | ||||||
Denali Therapeutics, Inc. (b) | 1,982 | 88,397 | ||||||
Dynavax Technologies Corp. (b) | 460 | 6,472 | ||||||
Eagle Pharmaceuticals, Inc. (b) | 94 | 4,786 | ||||||
Editas Medicine, Inc. (b) | 2,966 | 78,747 | ||||||
Enanta Pharmaceuticals, Inc. (b) | 3,206 | 239,745 | ||||||
Fate Therapeutics, Inc. (b) | 637 | 37,271 | ||||||
Fulgent Genetics, Inc. (b) | 332 | 33,396 | ||||||
Generation Bio Co. (b) | 197 | 1,395 | ||||||
Global Blood Therapeutics, Inc. (b) | 337 | 9,864 | ||||||
Globus Medical, Inc. - Class A (b) | 217 | 15,667 | ||||||
Halozyme Therapeutics, Inc. (b) | 2,884 | 115,966 | ||||||
Harvard Bioscience, Inc. (b) | 62,139 | 438,080 | ||||||
Health Catalyst, Inc. (b) | 3,374 | 133,678 | ||||||
HealthStream, Inc. (b) | 102 | 2,689 | ||||||
Heska Corp. (b) | 1,696 | 309,503 | ||||||
iCAD, Inc. (b) | 7,909 | 56,945 | ||||||
IGM Biosciences, Inc. (b) | 312 | 9,151 | ||||||
ImmunoGen, Inc. (b) | 14,824 | 109,994 | ||||||
Inari Medical, Inc. (b) | 225 | 20,536 | ||||||
Innoviva, Inc. (b) | 2,881 | 49,697 | ||||||
Inspire Medical Systems, Inc. (b) | 355 | 81,671 | ||||||
Integer Holdings Corp. (b) | 213 | 18,231 | ||||||
Intellia Therapeutics, Inc. (b) | 1,131 | 133,729 | ||||||
Intercept Pharmaceuticals, Inc. (b) | 845 | 13,765 | ||||||
Invitae Corp. (b) | 813 | 12,415 | ||||||
iRhythm Technologies, Inc. (b) | 197 | 23,185 | ||||||
Ironwood Pharmaceuticals, Inc. (b) | 3,112 | 36,286 | ||||||
Kiniksa Pharmaceuticals Ltd. - Class A (b) | 9,236 | 108,708 | ||||||
Kodiak Sciences, Inc. (b) | 105 | 8,902 | ||||||
LeMaitre Vascular, Inc. | 5,035 | 252,908 | ||||||
Lexicon Pharmaceuticals, Inc. (b) | 1,808 | 7,124 | ||||||
LHC Group, Inc. (b) | 1,506 | 206,668 | ||||||
MacroGenics, Inc. (b) | 4,067 | 65,275 | ||||||
Marinus Pharmaceuticals, Inc. (b) | 628 | 7,461 | ||||||
Medpace Holdings, Inc. (b) | 3,366 | 732,576 | ||||||
Merit Medical Systems, Inc. (b) | 139 | 8,660 | ||||||
Mesa Laboratories, Inc. | 2,063 | 676,850 | ||||||
ModivCare, Inc. (b) | 140 | 20,761 | ||||||
Morphic Holding, Inc. (b) | 324 | 15,351 | ||||||
Neogen Corp. (b) | 9,914 | 450,195 | ||||||
NeoGenomics, Inc. (b) | 15,174 | 517,737 | ||||||
Nkarta, Inc. (b) | 649 | 9,962 | ||||||
Novocure Ltd. (b) | 42 | 3,153 | ||||||
Nurix Therapeutics, Inc. (b) | 394 | 11,406 | ||||||
NuVasive, Inc. (b) | 28 | 1,469 | ||||||
Omnicell, Inc. (b) | 2,154 | 388,668 | ||||||
Organogenesis Holdings, Inc. (b) | 26,106 | 241,219 | ||||||
Ortho Clinical Diagnostics Holdings PLC (b) | 1,249 | 26,716 | ||||||
OrthoPediatrics Corp. (b) | 3,138 | 187,841 | ||||||
Pacific Biosciences of California, Inc. (b) | 1,036 | 21,197 | ||||||
Pacira BioSciences, Inc. (b) | 213 | 12,816 | ||||||
Paratek Pharmaceuticals, Inc. (b) | 16,308 | 73,223 | ||||||
Phreesia, Inc. (b) | 369 | 15,373 | ||||||
Pliant Therapeutics, Inc. (b) | 3,107 | 41,945 | ||||||
Precigen, Inc. (b) | 5,031 | 18,665 | ||||||
Precision BioSciences, Inc. (b) | 945 | 6,993 | ||||||
Progyny, Inc. (b) | 505 | 25,427 | ||||||
Pulse Biosciences, Inc. (b) | 4,655 | 68,941 | ||||||
Puma Biotechnology, Inc. (b) | 419 | 1,274 | ||||||
Quanterix Corp. (b) | 4,406 | 186,814 | ||||||
Quotient Ltd. (b) | 1,467 | 3,800 | ||||||
R1 RCM, Inc. (b) | 1,529 | 38,974 | ||||||
Renalytix PLC - ADR (b) | 4,042 | 64,268 | ||||||
Repligen Corp. (b) | 2,047 | 542,127 | ||||||
Rocket Pharmaceuticals, Inc. (b) | 374 | 8,164 | ||||||
Sangamo Therapeutics, Inc. (b) | 1,913 | 14,347 | ||||||
Scholar Rock Holding Corp. (b) | 123 | 3,055 | ||||||
Seer, Inc. (b) | 1,109 | 25,296 | ||||||
Select Medical Holdings Corp. | 2,271 | 66,767 | ||||||
Seres Therapeutics, Inc. (b) | 994 | 8,280 | ||||||
Sesen Bio, Inc. (b) | 3,592 | 2,927 | ||||||
Sharps Compliance Corp. (b) | 42,313 | 301,692 | ||||||
Shockwave Medical, Inc. (b) | 370 | 65,982 | ||||||
SI-BONE, Inc. (b) | 10,727 | 238,247 | ||||||
Silk Road Medical, Inc. (b) | 2,333 | 99,409 | ||||||
Simulations Plus, Inc. (c) | 7,813 | 369,555 | ||||||
Spero Therapeutics, Inc. (b) | 7,634 | 122,220 | ||||||
STAAR Surgical Co. (b) | 914 | 83,448 | ||||||
Stereotaxis, Inc. (b) | 2,680 | 16,616 | ||||||
Stoke Therapeutics, Inc. (b) | 386 | 9,260 | ||||||
Syros Pharmaceuticals, Inc. (b) | 5,762 | 18,784 | ||||||
Teladoc Health, Inc. (b) | 27 | 2,479 | ||||||
The Ensign Group, Inc. | 316 | 26,531 | ||||||
Tivity Health, Inc. (b) | 133 | 3,517 | ||||||
Turning Point Therapeutics, Inc. (b) | 378 | 18,031 | ||||||
Twist Bioscience Corp. (b) | 213 | 16,484 | ||||||
US Physical Therapy, Inc. | 423 | 40,418 | ||||||
Veracyte, Inc. (b) | 5,789 | 238,507 | ||||||
Vericel Corp. (b) | 7,190 | 282,567 | ||||||
Viemed Healthcare, Inc. (b) | 1,812 | 9,459 | ||||||
Vir Biotechnology, Inc. (b) | 891 | 37,306 | ||||||
Vocera Communications, Inc. (b) | 1,122 | 72,750 | ||||||
Xencor, Inc. (b) | 818 | 32,818 | ||||||
Xenon Pharmaceuticals, Inc. (b) | 1,352 | 42,236 | ||||||
Xeris Biopharma Holdings, Inc. (b) | 26,169 | 76,675 | ||||||
12,901,957 | ||||||||
Industrials - 13.5% | ||||||||
AAON, Inc. | 468 | 37,173 | ||||||
Acacia Research Corp. (b) | 9,964 | 51,115 | ||||||
Aerojet Rocketdyne Holdings, Inc. | 1,032 | 48,256 | ||||||
Allied Motion Technologies, Inc. | 73 | 2,664 | ||||||
Alta Equipment Group, Inc. (b) | 26,118 | 382,368 | ||||||
Atkore, Inc. (b) | 969 | 107,743 | ||||||
Atlas Air Worldwide Holdings, Inc. (b) | 238 | 22,401 | ||||||
Barrett Business Services, Inc. | 94 | 6,492 | ||||||
Bloom Energy Corp. - Class A (b) | 920 | 20,176 | ||||||
Boise Cascade Co. | 184 | 13,101 | ||||||
Chart Industries, Inc. (b) | 1,088 | 173,525 | ||||||
Columbus McKinnon Corp. | 7,125 | 329,603 | ||||||
Comfort Systems USA, Inc. | 303 | 29,979 | ||||||
Cornerstone Building Brands, Inc. (b) | 650 | 11,336 | ||||||
Daseke, Inc. (b) | 986 | 9,899 | ||||||
Desktop Metal, Inc. - Class A (b) | 686 | 3,396 | ||||||
Douglas Dynamics, Inc. | 5,311 | 207,448 | ||||||
EMCOR Group, Inc. | 838 | 106,753 | ||||||
Exponent, Inc. | 165 | 19,260 | ||||||
Franklin Covey Co. (b) | 1,619 | 75,057 | ||||||
Franklin Electric Co., Inc. | 1,093 | 103,354 | ||||||
FuelCell Energy, Inc. (b)(c) | 5,368 | 27,914 | ||||||
GrafTech International Ltd. | 2,729 | 32,284 | ||||||
Heritage-Crystal Clean, Inc. (b) | 427 | 13,673 | ||||||
Hudson Technologies, Inc. (b) | 28,264 | 125,492 | ||||||
Infrastructure and Energy Alternatives, Inc. (b) | 1,504 | 13,837 | ||||||
INNOVATE Corp. (b) | 1,515 | 5,605 | ||||||
John Bean Technologies Corp. | 568 | 87,222 | ||||||
Kratos Defense & Security Solutions, Inc. (b) | 8,656 | 167,926 | ||||||
Lawson Products, Inc. (b) | 4,834 | 264,661 | ||||||
Luxfer Holdings PLC | 13,503 | 260,743 | ||||||
Masonite International Corp. (b) | 90 | 10,616 | ||||||
Mercury Systems, Inc. (b) | 3,552 | 195,573 | ||||||
Meritor, Inc. (b) | 485 | 12,018 | ||||||
MRC Global, Inc. (b) | 250 | 1,720 | ||||||
Mueller Industries, Inc. | 1,178 | 69,926 | ||||||
Plug Power, Inc. (b) | 172 | 4,856 | ||||||
RBC Bearings, Inc. (b) | 91 | 18,379 | ||||||
Regal Rexnord Corp. | 115 | 19,571 | ||||||
Rush Enterprises, Inc. - Class A | 4,344 | 241,700 | ||||||
Saia, Inc. (b) | 2,220 | 748,207 | ||||||
Science Applications International Corp. | 18 | 1,505 | ||||||
Simpson Manufacturing Co., Inc. | 820 | 114,037 | ||||||
SiteOne Landscape Supply, Inc. (b) | 1,350 | 327,078 | ||||||
Sterling Construction Co., Inc. (b) | 312 | 8,206 | ||||||
Tetra Tech, Inc. | 103 | 17,489 | ||||||
The AZEK Co., Inc. (b) | 5,785 | 267,498 | ||||||
The Brink's Co. | 45 | 2,951 | ||||||
Titan International, Inc. (b) | 1,266 | 13,875 | ||||||
Titan Machinery, Inc. (b) | 6,280 | 211,573 | ||||||
TriNet Group, Inc. (b) | 852 | 81,162 | ||||||
UFP Industries, Inc. | 1,089 | 100,199 | ||||||
Vectrus, Inc. (b) | 82 | 3,753 | ||||||
Vicor Corp. (b) | 56 | 7,111 | ||||||
Watts Water Technologies, Inc. - Class A | 49 | 9,514 | ||||||
Werner Enterprises, Inc. | 328 | 15,632 | ||||||
5,264,605 | ||||||||
Information Technology - 23.2% | ||||||||
3D Systems Corp. (b) | 2,417 | 52,062 | ||||||
8x8, Inc. (b) | 891 | 14,933 | ||||||
908 Devices, Inc. (b)(c) | 6,517 | 168,595 | ||||||
A10 Networks, Inc. | 4,457 | 73,897 | ||||||
ACI Worldwide, Inc. (b) | 1,287 | 44,659 | ||||||
Alarm.com Holdings, Inc. (b) | 279 | 23,662 | ||||||
Alkami Technology, Inc. (b) | 534 | 10,712 | ||||||
Alpha & Omega Semiconductor Ltd. (b) | 411 | 24,890 | ||||||
Ambarella, Inc. (b) | 440 | 89,272 | ||||||
Appfolio, Inc. - Class A (b) | 1,341 | 162,341 | ||||||
Appian Corp. (b) | 476 | 31,040 | ||||||
Asana, Inc. - Class A (b) | 493 | 36,753 | ||||||
Avaya Holdings Corp. (b) | 345 | 6,831 | ||||||
Axcelis Technologies, Inc. (b) | 1,843 | 137,414 | ||||||
Badger Meter, Inc. | 179 | 19,074 | ||||||
BigCommerce Holdings, Inc. (b) | 838 | 29,640 | ||||||
Blackbaud, Inc. (b) | 378 | 29,854 | ||||||
Blackline, Inc. (b) | 211 | 21,847 | ||||||
Box, Inc. - Class A (b) | 3,329 | 87,187 | ||||||
Cass Information Systems, Inc. | 499 | 19,621 | ||||||
Cerence, Inc. (b) | 2,067 | 158,415 | ||||||
CEVA, Inc. (b) | 4,145 | 179,230 | ||||||
Computer Task Group, Inc. (b) | 32,136 | 320,396 | ||||||
Consensus Cloud Solutions, Inc. (b) | 265 | 15,336 | ||||||
CTS Corp. | 764 | 28,054 | ||||||
Digital Turbine, Inc. (b) | 4,928 | 300,559 | ||||||
Diodes, Inc. (b) | 49 | 5,381 | ||||||
Domo, Inc. - Class B (b) | 287 | 14,235 | ||||||
DoubleVerify Holdings, Inc. (b) | 6,680 | 222,310 | ||||||
Endava PLC - ADR (b) | 2,525 | 423,998 | ||||||
Enphase Energy, Inc. (b) | 17 | 3,110 | ||||||
Everbridge, Inc. (b) | 57 | 3,838 | ||||||
Evo Payments, Inc. - Class A (b) | 18,128 | 464,077 | ||||||
ExlService Holdings, Inc. (b) | 430 | 62,251 | ||||||
Extreme Networks, Inc. (b) | 4,431 | 69,567 | ||||||
FormFactor, Inc. (b) | 1,052 | 48,097 | ||||||
Harmonic, Inc. (b) | 2,318 | 27,260 | ||||||
II-VI, Inc. (b) | 804 | 54,937 | ||||||
International Money Express, Inc. (b) | 5,055 | 80,678 | ||||||
JFrog Ltd. (b) | 1,027 | 30,502 | ||||||
Kopin Corp. (b) | 2,252 | 9,211 | ||||||
Kulicke & Soffa Industries, Inc. | 1,560 | 94,442 | ||||||
Lattice Semiconductor Corp. (b) | 1,631 | 125,685 | ||||||
Limelight Networks, Inc. (b) | 11,009 | 37,761 | ||||||
LivePerson, Inc. (b) | 472 | 16,860 | ||||||
MACOM Technology Solutions Holdings, Inc. (b) | 1,585 | 124,105 | ||||||
Maximus, Inc. | 419 | 33,382 | ||||||
MaxLinear, Inc. (b) | 698 | 52,622 | ||||||
MicroStrategy, Inc. - Class A (b) | 74 | 40,292 | ||||||
Mimecast Ltd. (b) | 3,760 | 299,183 | ||||||
Model N, Inc. (b) | 545 | 16,366 | ||||||
nLight, Inc. (b) | 7,188 | 172,152 | ||||||
Novanta, Inc. (b) | 296 | 52,194 | ||||||
NVE Corp. | 420 | 28,686 | ||||||
ON24, Inc. (b) | 871 | 15,112 | ||||||
Onto Innovation, Inc. (b) | 748 | 75,720 | ||||||
OSI Systems, Inc. (b) | 698 | 65,054 | ||||||
PagerDuty, Inc. (b) | 1,085 | 37,704 | ||||||
Pegasystems, Inc. | 4,737 | 529,691 | ||||||
Power Integrations, Inc. | 768 | 71,340 | ||||||
PROS Holdings, Inc. (b) | 7,224 | 249,156 | ||||||
Q2 Holdings, Inc. (b) | 147 | 11,678 | ||||||
Qualys, Inc. (b) | 2,996 | 411,111 | ||||||
Repay Holdings Corp. (b) | 14,970 | 273,502 | ||||||
Sailpoint Technologies Holdings, Inc. (b) | 546 | 26,394 | ||||||
Sapiens International Corp. NV | 1,282 | 44,165 | ||||||
Semtech Corp. (b) | 1,743 | 155,005 | ||||||
Silicon Laboratories, Inc. (b) | 1,046 | 215,915 | ||||||
SMART Global Holdings, Inc. (b) | 1,525 | 108,260 | ||||||
Sprout Social, Inc. - Class A (b) | 263 | 23,851 | ||||||
SPS Commerce, Inc. (b) | 280 | 39,858 | ||||||
Sumo Logic, Inc. (b) | 304 | 4,122 | ||||||
Synaptics, Inc. (b) | 260 | 75,273 | ||||||
The Hackett Group, Inc. | 928 | 19,052 | ||||||
TTEC Holdings, Inc. | 253 | 22,909 | ||||||
Ultra Clean Holdings, Inc. (b) | 1,414 | 81,107 | ||||||
Varonis Systems, Inc. (b) | 753 | 36,731 | ||||||
Veeco Instruments, Inc. (b) | 7,113 | 202,507 | ||||||
Verra Mobility Corp. (b) | 3,066 | 47,308 | ||||||
Vonage Holdings Corp. (b) | 1,242 | 25,821 | ||||||
WNS Holdings Ltd. - ADR (b) | 8,271 | 729,668 | ||||||
Workiva, Inc. (b) | 5,710 | 745,098 | ||||||
Xperi Holding Corp. | 254 | 4,803 | ||||||
9,047,371 | ||||||||
Materials - 2.0% | ||||||||
Avient Corp. | 149 | 8,337 | ||||||
Balchem Corp. | 142 | 23,941 | ||||||
Ferroglobe Representation & Warranty Insurance Trust (b)(d)(e) | 840 | – | ||||||
Forterra, Inc. (b) | 1,956 | 46,514 | ||||||
Greif, Inc. - Class A | 442 | 26,683 | ||||||
Innospec, Inc. | 624 | 56,372 | ||||||
Materion Corp. | 3,710 | 341,097 | ||||||
Quaker Chemical Corp. | 1,220 | 281,552 | ||||||
784,496 | ||||||||
Real Estate - 1.6% | ||||||||
Douglas Elliman, Inc. (b) | 1,455 | 16,732 | ||||||
EastGroup Properties, Inc. | 224 | 51,038 | ||||||
eXp World Holdings, Inc. | 1,466 | 49,389 | ||||||
Innovative Industrial Properties, Inc. | 1,482 | 389,633 | ||||||
Newmark Group, Inc. - Class A | 3,444 | 64,403 | ||||||
Redfin Corp. (b) | 735 | 28,217 | ||||||
Ryman Hospitality Properties, Inc. (b) | 156 | 14,346 | ||||||
613,758 | ||||||||
Utilities - 0.1% | ||||||||
Ormat Technologies, Inc. | 69 | 5,471 | ||||||
South Jersey Industries, Inc. | 731 | 19,094 | ||||||
Via Renewables, Inc. | 2,359 | 26,963 | ||||||
51,528 | ||||||||
Total Common Stocks (Cost $27,723,276) | 37,785,017 | |||||||
Total Investments at Value - 97.0% (Cost $27,723,276) | 37,785,017 | |||||||
Other Assets in Excess of Liabilities - 3.0% | 1,177,587 | |||||||
Net Assets - 100.0% | $ | 38,962,604 |
Percentages are stated as a percent of net assets.
ADR - American Depository Receipt
(a) | More narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting purposes. |
(b) | Non-income producing security. |
(c) | This security or a partial position of this security is on loan at December 31, 2021. The total fair value of securities on loan at December 31, 2021, was $324,858. |
(d) | Level 3 security. Security has been valued at fair value in accordance with procedures adopted by and under the general supervision of the Board of Directors. The total value of such securities is $0 as of December 31, 2021, representing 0.0% of net assets. |
(e) | Illiquid security. The total value of such securities is $0 as of December 31, 2021, representing 0.0% of net assets. |
WILSHIRE MUTUAL FUNDS, INC. | |
SMALL COMPANY VALUE PORTFOLIO | December 31, 2021 |
SCHEDULE OF INVESTMENTS |
Shares | Value | |||||||
COMMON STOCKS - 98.6% (a) | ||||||||
Communication Services - 1.5% | ||||||||
Advantage Solutions, Inc. (b) | 1,466 | $ | 11,757 | |||||
AMC Networks, Inc. - Class A (b) | 1,170 | 40,295 | ||||||
Cars.com, Inc. (b) | 670 | 10,780 | ||||||
Cinemark Holdings, Inc. (b) | 1,530 | 24,664 | ||||||
Clear Channel Outdoor Holdings, Inc. (b) | 4,800 | 15,888 | ||||||
EchoStar Corp. - Class A (b) | 630 | 16,601 | ||||||
Emerald Holding, Inc. (b) | 8,300 | 32,951 | ||||||
Entravision Communications Corp. - Class A | 4,490 | 30,442 | ||||||
Gannett Co., Inc. (b) | 2,152 | 11,470 | ||||||
Gogo, Inc. (b) | 550 | 7,442 | ||||||
Gray Television, Inc. | 980 | 19,757 | ||||||
Hemisphere Media Group, Inc. (b) | 1,365 | 9,924 | ||||||
iHeartMedia, Inc. - Class A (b) | 870 | 18,305 | ||||||
Liberty Latin America Ltd. - Class A (b) | 1,545 | 18,015 | ||||||
Liberty Latin America Ltd. - Class C (b) | 4,135 | 47,139 | ||||||
Lions Gate Entertainment Corp. - Class B (b) | 1,430 | 22,008 | ||||||
Live Nation Entertainment, Inc. (b) | 883 | 105,686 | ||||||
Magnite, Inc. (b) | 335 | 5,863 | ||||||
National CineMedia, Inc. | 4,177 | 11,737 | ||||||
Ooma, Inc. (b) | 870 | 17,783 | ||||||
Sinclair Broadcast Group, Inc. - Class A | 245 | 6,475 | ||||||
Stagwell, Inc. (b) | 2,500 | 21,675 | ||||||
TEGNA, Inc. | 1,995 | 37,027 | ||||||
543,684 | ||||||||
Consumer Discretionary - 14.8% | ||||||||
2U, Inc. (b) | 390 | 7,827 | ||||||
Abercrombie & Fitch Co. - Class A (b) | 406 | 14,141 | ||||||
Academy Sports & Outdoors, Inc. (b) | 620 | 27,218 | ||||||
Adient PLC (b) | 1,100 | 52,668 | ||||||
Adtalem Global Education, Inc. (b) | 410 | 12,120 | ||||||
American Eagle Outfitters, Inc. (c) | 1,203 | 30,460 | ||||||
American Public Education, Inc. (b) | 1,440 | 32,040 | ||||||
Asbury Automotive Group, Inc. (b) | 500 | 86,365 | ||||||
Bassett Furniture Industries, Inc. | 700 | 11,739 | ||||||
Bed Bath & Beyond, Inc. (b)(c) | 1,815 | 26,463 | ||||||
Big 5 Sporting Goods Corp. (c) | 1,100 | 20,911 | ||||||
Biglari Holdings, Inc. - Class B (b) | 120 | 17,108 | ||||||
Bluegreen Vacations Holding Corp. (b) | 1,950 | 68,445 | ||||||
Brinker International, Inc. (b) | 1,000 | 36,590 | ||||||
Carriage Services, Inc. | 750 | 48,330 | ||||||
Carter's, Inc. | 595 | 60,226 | ||||||
Casper Sleep, Inc. (b) | 880 | 5,878 | ||||||
Century Casinos, Inc. (b) | 670 | 8,161 | ||||||
Century Communities, Inc. | 1,094 | 89,478 | ||||||
Chuy's Holdings, Inc. (b) | 425 | 12,801 | ||||||
Citi Trends, Inc. (b) | 135 | 12,791 | ||||||
Conn's, Inc. (b) | 862 | 20,274 | ||||||
Coursera, Inc. (b) | 1,570 | 38,371 | ||||||
Del Taco Restaurants, Inc. | 1,170 | 14,567 | ||||||
Designer Brands, Inc. - Class A (b) | 800 | 11,368 | ||||||
Dillard's, Inc. - Class A (c) | 395 | 96,783 | ||||||
Dine Brands Global, Inc. | 300 | 22,743 | ||||||
El Pollo Loco Holdings, Inc. (b) | 2,670 | 37,887 | ||||||
Ethan Allen Interiors, Inc. | 2,200 | 57,838 | ||||||
Foot Locker, Inc. | 830 | 36,213 | ||||||
Fossil Group, Inc. (b) | 3,070 | 31,590 | ||||||
Franchise Group, Inc. | 350 | 18,256 | ||||||
Funko, Inc. - Class A (b) | 1,310 | 24,628 | ||||||
Genesco, Inc. (b) | 800 | 51,336 | ||||||
G-III Apparel Group Ltd. (b) | 1,300 | 35,932 | ||||||
Green Brick Partners, Inc. (b) | 7,558 | 229,234 | ||||||
Group 1 Automotive, Inc. | 700 | 136,654 | ||||||
Guess?, Inc. | 815 | 19,299 | ||||||
H&R Block, Inc. | 1,900 | 44,764 | ||||||
Hanesbrands, Inc. | 9,577 | 160,127 | ||||||
Haverty Furniture Cos., Inc. | 2,765 | 84,526 | ||||||
Hibbett, Inc. | 763 | 54,883 | ||||||
Hooker Furnishings Corp. | 1,200 | 27,936 | ||||||
International Game Technology PLC | 2,230 | 64,469 | ||||||
iRobot Corp. (b) | 250 | 16,470 | ||||||
Jack in the Box, Inc. | 420 | 36,742 | ||||||
Johnson Outdoors, Inc. - Class A | 1,217 | 114,021 | ||||||
KB Home | 790 | 35,337 | ||||||
Kirkland's, Inc. (b) | 2,500 | 37,325 | ||||||
Lakeland Industries, Inc. (b) | 800 | 17,360 | ||||||
Laureate Education, Inc. - Class A | 995 | 12,179 | ||||||
La-Z-Boy, Inc. | 1,400 | 50,834 | ||||||
Lazydays Holdings, Inc. (b) | 1,910 | 41,141 | ||||||
LGI Homes, Inc. (b) | 190 | 29,351 | ||||||
Lifetime Brands, Inc. | 830 | 13,255 | ||||||
Lumber Liquidators Holdings, Inc. (b) | 700 | 11,949 | ||||||
M/I Homes, Inc. (b) | 2,030 | 126,225 | ||||||
Macy's, Inc. | 6,690 | 175,144 | ||||||
MarineMax, Inc. (b) | 600 | 35,424 | ||||||
Meritage Homes Corp. (b) | 1,064 | 129,872 | ||||||
Movado Group, Inc. | 930 | 38,902 | ||||||
Murphy USA, Inc. | 282 | 56,186 | ||||||
OneWater Marine, Inc. - Class A | 800 | 48,776 | ||||||
Perdoceo Education Corp. (b) | 5,160 | 60,682 | ||||||
PetMed Express, Inc. | 1,339 | 33,823 | ||||||
PlayAGS, Inc. (b) | 3,590 | 24,376 | ||||||
Potbelly Corp. (b) | 1,400 | 7,812 | ||||||
Red Rock Resorts, Inc. - Class A | 11,735 | 645,542 | ||||||
Rent-A-Center, Inc. | 650 | 31,226 | ||||||
Rocky Brands, Inc. | 951 | 37,850 | ||||||
Sally Beauty Holdings, Inc. (b) | 3,043 | 56,174 | ||||||
Shoe Carnival, Inc. | 380 | 14,850 | ||||||
Signet Jewelers Ltd. | 483 | 42,035 | ||||||
Sleep Number Corp. (b) | 190 | 14,554 | ||||||
Sonic Automotive, Inc. - Class A | 900 | 44,505 | ||||||
Standard Motor Products, Inc. | 861 | 45,108 | ||||||
Sturm Ruger & Co., Inc. | 672 | 45,710 | ||||||
Superior Group of Cos., Inc. | 65 | 1,426 | ||||||
Taylor Morrison Home Corp. (b) | 3,180 | 111,173 | ||||||
The Aaron's Co., Inc. | 2,000 | 49,300 | ||||||
The Cato Corp. - Class A | 2,700 | 46,332 | ||||||
The Cheesecake Factory, Inc. (b) | 395 | 15,464 | ||||||
The Children's Place, Inc. (b) | 350 | 27,752 | ||||||
The Container Store Group, Inc. (b) | 3,184 | 31,776 | ||||||
The Goodyear Tire & Rubber Co. (b) | 1,766 | 37,651 | ||||||
The ODP Corp. (b) | 1,260 | 49,493 | ||||||
Tilly's, Inc. - Class A | 4,295 | 69,193 | ||||||
Travel + Leisure Co. | 620 | 34,267 | ||||||
Tri Pointe Homes, Inc. (b) | 2,810 | 78,371 | ||||||
Tupperware Brands Corp. (b) | 1,700 | 25,993 | ||||||
Unifi, Inc. (b) | 1,690 | 39,124 | ||||||
Urban Outfitters, Inc. (b) | 1,315 | 38,608 | ||||||
Vail Resorts, Inc. | 998 | 327,244 | ||||||
Vera Bradley, Inc. (b) | 5,400 | 45,954 | ||||||
Vista Outdoor, Inc. (b) | 1,577 | 72,652 | ||||||
Vivint Smart Home, Inc. (b) | 2,620 | 25,624 | ||||||
Winnebago Industries, Inc. | 170 | 12,736 | ||||||
Wolverine World Wide, Inc. | 5,160 | 148,660 | ||||||
WW International, Inc. (b) | 1,897 | 30,599 | ||||||
Zumiez, Inc. (b) | 802 | 38,488 | ||||||
5,490,058 | ||||||||
Consumer Staples - 4.7% | ||||||||
B&G Foods, Inc. (c) | 1,040 | 31,959 | ||||||
BellRing Brands, Inc. - Class A (b)(c) | 930 | 26,533 | ||||||
Cal-Maine Foods, Inc. | 10,297 | 380,886 | ||||||
Central Garden & Pet Co. (b) | 1,000 | 52,630 | ||||||
Edgewell Personal Care Co. | 225 | 10,285 | ||||||
Energizer Holdings, Inc. | 1,200 | 48,120 | ||||||
Flowers Foods, Inc. | 4,737 | 130,125 | ||||||
Hostess Brands, Inc. (b) | 4,770 | 97,403 | ||||||
Ingles Markets, Inc. - Class A | 120 | 10,361 | ||||||
Inter Parfums, Inc. | 150 | 16,035 | ||||||
Lancaster Colony Corp. | 971 | 160,798 | ||||||
Medifast, Inc. | 110 | 23,037 | ||||||
Natural Grocers by Vitamin Cottage, Inc. | 2,400 | 34,200 | ||||||
Nu Skin Enterprises, Inc. - Class A | 540 | 27,405 | ||||||
Post Holdings, Inc. (b) | 3,014 | 339,768 | ||||||
Primo Water Corp. | 625 | 11,019 | ||||||
Seaboard Corp. | 49 | 192,815 | ||||||
Seneca Foods Corp. - Class A (b) | 530 | 25,413 | ||||||
The Duckhorn Portfolio, Inc. (b) | 1,270 | 29,642 | ||||||
The Simply Good Foods Co. (b) | 740 | 30,762 | ||||||
USANA Health Sciences, Inc. (b) | 400 | 40,480 | ||||||
Vector Group Ltd. | 526 | 6,039 | ||||||
Veru, Inc. (b) | 1,190 | 7,009 | ||||||
1,732,724 | ||||||||
Energy - 6.7% | ||||||||
Amplify Energy Corp. (b) | 900 | 2,799 | ||||||
Arch Resources, Inc. | 245 | 22,373 | ||||||
Berry Corp. | 5,400 | 45,468 | ||||||
Cactus, Inc. - Class A | 800 | 30,504 | ||||||
California Resources Corp. | 3,680 | 157,173 | ||||||
Callon Petroleum Co. (b) | 130 | 6,142 | ||||||
Centennial Resource Development, Inc. - Class A (b) | 4,500 | 26,910 | ||||||
ChampionX Corp. (b) | 3,692 | 74,615 | ||||||
Chesapeake Energy Corp. | 1,230 | 79,359 | ||||||
Civitas Resources, Inc. | 5,312 | 260,129 | ||||||
Clean Energy Fuels Corp. (b) | 1,200 | 7,356 | ||||||
CNX Resources Corp. (b) | 6,105 | 83,944 | ||||||
Comstock Resources, Inc. (b) | 3,160 | 25,564 | ||||||
CONSOL Energy, Inc. (b) | 225 | 5,110 | ||||||
Core Laboratories NV | 900 | 20,079 | ||||||
Coterra Energy, Inc. | 3,770 | 71,630 | ||||||
CVR Energy, Inc. | 800 | 13,448 | ||||||
Delek US Holdings, Inc. (b) | 2,910 | 43,621 | ||||||
DHT Holdings, Inc. | 5,300 | 27,507 | ||||||
Dorian LPG Ltd. | 550 | 6,980 | ||||||
Dril-Quip, Inc. (b) | 2,400 | 47,232 | ||||||
Equitrans Midstream Corp. | 4,500 | 46,530 | ||||||
Expro Group Holdings NV (b) | 2,950 | 42,333 | ||||||
Gevo, Inc. (b)(c) | 1,950 | 8,346 | ||||||
Golar LNG Ltd. (b) | 520 | 6,443 | ||||||
Helix Energy Solutions Group, Inc. (b)(c) | 9,400 | 29,328 | ||||||
HollyFrontier Corp. | 600 | 19,668 | ||||||
Kosmos Energy Ltd. (b) | 13,600 | 47,056 | ||||||
Laredo Petroleum, Inc. (b) | 350 | 21,045 | ||||||
Liberty Oilfield Services, Inc. - Class A (b) | 3,700 | 35,890 | ||||||
Magnolia Oil & Gas Corp. - Class A | 905 | 17,077 | ||||||
Murphy Oil Corp. | 1,700 | 44,387 | ||||||
National Energy Services Reunited Corp. (b) | 4,600 | 43,470 | ||||||
Newpark Resources, Inc. (b) | 10,700 | 31,458 | ||||||
NexTier Oilfield Solutions, Inc. (b) | 10,200 | 36,210 | ||||||
Northern Oil and Gas, Inc. | 3,910 | 80,468 | ||||||
Oasis Petroleum, Inc. | 415 | 52,286 | ||||||
Oil States International, Inc. (b) | 1,500 | 7,455 | ||||||
Ovintiv, Inc. | 2,830 | 95,371 | ||||||
Par Pacific Holdings, Inc. (b) | 2,700 | 44,523 | ||||||
PDC Energy, Inc. | 2,787 | 135,950 | ||||||
ProPetro Holding Corp. (b) | 3,100 | 25,110 | ||||||
Range Resources Corp. (b) | 4,575 | 81,572 | ||||||
Ranger Oil Corp.(b) | 1,600 | 43,072 | ||||||
REX American Resources Corp. (b) | 305 | 29,280 | ||||||
Scorpio Tankers, Inc. | 1,110 | 14,219 | ||||||
Select Energy Services, Inc. - Class A (b) | 4,900 | 30,527 | ||||||
SFL Corp. Ltd. | 500 | 4,075 | ||||||
Solaris Oilfield Infrastructure, Inc. - Class A | 4,400 | 28,820 | ||||||
Southwestern Energy Co. (b) | 7,512 | 35,006 | ||||||
Talos Energy, Inc. (b) | 3,000 | 29,400 | ||||||
TechnipFMC PLC (b) | 1,300 | 7,696 | ||||||
Transocean Ltd. (b) | 3,790 | 10,460 | ||||||
Vertex Energy, Inc. (b)(c) | 2,800 | 12,684 | ||||||
W&T Offshore, Inc. (b) | 14,644 | 47,300 | ||||||
Whiting Petroleum Corp. (b) | 1,606 | 103,876 | ||||||
World Fuel Services Corp. | 2,710 | 71,734 | ||||||
2,478,068 | ||||||||
Financials - 31.1% | ||||||||
1st Source Corp. | 800 | 39,680 | ||||||
Amalgamated Financial Corp. | 1,300 | 21,801 | ||||||
Ambac Financial Group, Inc. (b) | 2,600 | 41,730 | ||||||
Amerant Bancorp, Inc. | 1,584 | 54,727 | ||||||
American Equity Investment Life Holding Co. | 2,320 | 90,294 | ||||||
AMERISAFE, Inc. | 222 | 11,950 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 1,590 | 20,924 | ||||||
Argo Group International Holdings Ltd. | 330 | 19,176 | ||||||
Arlington Asset Investment Corp. - Class A (b) | 2,700 | 9,450 | ||||||
ARMOUR Residential REIT, Inc. | 690 | 6,769 | ||||||
Artisan Partners Asset Management, Inc. - Class A | 1,795 | 85,514 | ||||||
AssetMark Financial Holdings, Inc. (b) | 2,450 | 64,215 | ||||||
Associated Banc-Corp | 3,478 | 78,568 | ||||||
Assured Guaranty Ltd. | 1,000 | 50,200 | ||||||
Axis Capital Holdings Ltd. | 850 | 46,299 | ||||||
BancFirst Corp. | 1,455 | 102,665 | ||||||
Bank of Marin Bancorp | 500 | 18,615 | ||||||
Bank OZK | 11,430 | 531,838 | ||||||
BankUnited, Inc. | 3,198 | 135,307 | ||||||
Banner Corp. | 600 | 36,402 | ||||||
BCB Bancorp, Inc. | 800 | 12,344 | ||||||
Berkshire Hills Bancorp, Inc. | 2,850 | 81,025 | ||||||
Blackstone Mortgage Trust, Inc. - Class A | 475 | 14,544 | ||||||
Blue Foundry Bancorp (b) | 1,400 | 20,482 | ||||||
BOK Financial Corp. | 2,279 | 240,412 | ||||||
Bridgewater Bancshares, Inc. (b) | 700 | 12,383 | ||||||
Brighthouse Financial, Inc. (b) | 400 | 20,720 | ||||||
Brookline Bancorp, Inc. | 1,200 | 19,428 | ||||||
Cadence Bank | 5,959 | 177,519 | ||||||
Camden National Corp. | 500 | 24,080 | ||||||
Cannae Holdings, Inc. (b) | 50 | 1,758 | ||||||
Carter Bankshares, Inc. (b) | 700 | 10,773 | ||||||
Cathay General Bancorp | 5,307 | 228,148 | ||||||
Central Pacific Financial Corp. | 1,400 | 39,438 | ||||||
Central Valley Community Bancorp | 1,000 | 20,770 | ||||||
CIT Group, Inc. | 1,200 | 61,608 | ||||||
City Holding Co. | 499 | 40,813 | ||||||
Civista Bancshares, Inc. | 600 | 14,640 | ||||||
CNB Financial Corp. | 600 | 15,900 | ||||||
CNO Financial Group, Inc. | 1,900 | 45,296 | ||||||
Columbia Banking System, Inc. | 2,270 | 74,274 | ||||||
Community Bank System, Inc. | 610 | 45,433 | ||||||
Community Trust Bancorp, Inc. | 600 | 26,166 | ||||||
Cowen, Inc. - Class A | 1,300 | 46,930 | ||||||
CrossFirst Bankshares, Inc. (b) | 1,375 | 21,464 | ||||||
CVB Financial Corp. | 5,325 | 114,008 | ||||||
Diamond Hill Investment Group, Inc. | 140 | 27,192 | ||||||
Dynex Capital, Inc. | 5,660 | 94,579 | ||||||
Eagle Bancorp, Inc. | 840 | 49,006 | ||||||
Eastern Bankshares, Inc. | 2,815 | 56,779 | ||||||
Employers Holdings, Inc. | 1,000 | 41,380 | ||||||
Encore Capital Group, Inc. (b) | 835 | 51,862 | ||||||
Enova International, Inc. (b) | 260 | 10,650 | ||||||
Enstar Group Ltd. (b) | 1,512 | 374,356 | ||||||
Enterprise Financial Services Corp. | 300 | 14,127 | ||||||
Essent Group Ltd. | 1,040 | 47,351 | ||||||
Evercore, Inc. - Class A | 100 | 13,585 | ||||||
FB Financial Corp. | 1,043 | 45,704 | ||||||
Federal Agricultural Mortgage Corp. - Class C | 300 | 37,179 | ||||||
Federated Hermes, Inc. | 1,100 | 41,338 | ||||||
Financial Institutions, Inc. | 800 | 25,440 | ||||||
First BanCorp | 7,415 | 102,179 | ||||||
First Busey Corp. | 1,800 | 48,816 | ||||||
First Business Financial Services, Inc. | 400 | 11,668 | ||||||
First Community Bankshares, Inc. | 2,328 | 77,802 | ||||||
First Financial Bancorp | 1,000 | 24,380 | ||||||
First Financial Corp. | 1,401 | 63,451 | ||||||
First Hawaiian, Inc. | 1,300 | 35,529 | ||||||
First Internet Bancorp | 600 | 28,224 | ||||||
First Interstate BancSystem, Inc. - Class A | 3,108 | 126,402 | ||||||
First Merchants Corp. | 735 | 30,789 | ||||||
First Mid Bancshares, Inc. | 400 | 17,116 | ||||||
First Midwest Bancorp, Inc. | 700 | 14,336 | ||||||
FirstCash Holdings, Inc. | 1,880 | 140,643 | ||||||
Flagstar Bancorp, Inc. | 310 | 14,861 | ||||||
Flushing Financial Corp. | 2,100 | 51,030 | ||||||
FNB Corp. | 4,000 | 48,520 | ||||||
FS Bancorp, Inc. | 400 | 13,452 | ||||||
Fulton Financial Corp. | 4,840 | 82,280 | ||||||
Genworth Financial, Inc. - Class A (b) | 19,540 | 79,137 | ||||||
Glacier Bancorp, Inc. | 3,039 | 172,311 | ||||||
Granite Point Mortgage Trust, Inc. | 900 | 10,539 | ||||||
Great Ajax Corp. | 1,713 | 22,543 | ||||||
Great Southern Bancorp, Inc. | 500 | 29,625 | ||||||
Great Western Bancorp, Inc. | 1,215 | 41,261 | ||||||
Greenhill & Co., Inc. | 1,700 | 30,481 | ||||||
Hancock Whitney Corp. | 2,896 | 144,858 | ||||||
Hanmi Financial Corp. | 2,200 | 52,096 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 465 | 24,701 | ||||||
Heartland Financial USA, Inc. | 700 | 35,427 | ||||||
Heritage Financial Corp. | 1,000 | 24,440 | ||||||
Heritage Insurance Holdings, Inc. | 840 | 4,939 | ||||||
Hilltop Holdings, Inc. | 1,400 | 49,196 | ||||||
Home Bancorp, Inc. | 200 | 8,302 | ||||||
Home BancShares, Inc. | 2,320 | 56,492 | ||||||
HomeStreet, Inc. | 700 | 36,400 | ||||||
Hope Bancorp, Inc. | 8,015 | 117,901 | ||||||
Horace Mann Educators Corp. | 840 | 32,508 | ||||||
Horizon Bancorp, Inc. | 1,920 | 40,032 | ||||||
Houlihan Lokey, Inc. | 1,020 | 105,590 | ||||||
Independent Bank Corp. | 150 | 12,229 | ||||||
Independent Bank Corp. | 2,693 | 64,282 | ||||||
International Bancshares Corp. | 3,710 | 157,267 | ||||||
Invesco Mortgage Capital, Inc. | 6,392 | 17,770 | ||||||
Investar Holding Corp. | 600 | 11,046 | ||||||
Investors Bancorp, Inc. | 5,231 | 79,250 | ||||||
James River Group Holdings Ltd. | 900 | 25,929 | ||||||
Kemper Corp. | 400 | 23,516 | ||||||
Lakeland Bancorp, Inc. | 2,200 | 41,778 | ||||||
LendingClub Corp. (b) | 930 | 22,487 | ||||||
Level One Bancorp, Inc. | 300 | 11,832 | ||||||
Live Oak Bancshares, Inc. | 3,372 | 294,342 | ||||||
Luther Burbank Corp. | 1,400 | 19,656 | ||||||
Macatawa Bank Corp. | 1,400 | 12,348 | ||||||
Marlin Business Services Corp. | 340 | 7,915 | ||||||
Mercantile Bank Corp. | 1,623 | 56,854 | ||||||
Meta Financial Group, Inc. | 170 | 10,142 | ||||||
MFA Financial, Inc. | 17,260 | 78,706 | ||||||
Midland States Bancorp, Inc. | 1,300 | 32,227 | ||||||
MidWestOne Financial Group, Inc. | 800 | 25,896 | ||||||
Moelis & Co. - Class A | 1,260 | 78,763 | ||||||
Mr. Cooper Group, Inc. (b) | 6,273 | 261,020 | ||||||
National Bank Holdings Corp. - Class A | 245 | 10,765 | ||||||
National Bankshares, Inc. | 300 | 10,878 | ||||||
National Western Life Group, Inc. - Class A | 599 | 128,450 | ||||||
Navient Corp. | 2,400 | 50,928 | ||||||
NBT Bancorp, Inc. | 1,018 | 39,213 | ||||||
New York Mortgage Trust, Inc. | 10,560 | 39,283 | ||||||
Nicolet Bankshares, Inc. (b) | 550 | 47,163 | ||||||
NMI Holdings, Inc. - Class A (b) | 2,875 | 62,819 | ||||||
Northeast Bank | 400 | 14,292 | ||||||
Northeast Community Bancorp, Inc. | 1,100 | 12,243 | ||||||
Northfield Bancorp, Inc. | 1,100 | 17,776 | ||||||
Northrim BanCorp, Inc. | 870 | 37,810 | ||||||
OceanFirst Financial Corp. | 2,400 | 53,280 | ||||||
Old National Bancorp | 6,130 | 111,076 | ||||||
Oppenheimer Holdings, Inc. - Class A | 2,305 | 106,883 | ||||||
Orrstown Financial Services, Inc. | 500 | 12,600 | ||||||
PacWest Bancorp | 700 | 31,619 | ||||||
PCB Bancorp | 1,200 | 26,352 | ||||||
Peapack-Gladstone Financial Corp. | 700 | 24,780 | ||||||
Peoples Bancorp, Inc. | 2,510 | 79,843 | ||||||
Peoples Financial Services Corp. | 170 | 8,957 | ||||||
Perella Weinberg Partners | 2,000 | 25,720 | ||||||
PRA Group, Inc. (b) | 1,385 | 69,541 | ||||||
Preferred Bank | 500 | 35,895 | ||||||
Premier Financial Corp. | 3,191 | 98,634 | ||||||
Primis Financial Corp. | 1,400 | 21,056 | ||||||
ProAssurance Corp. | 12,174 | 308,002 | ||||||
PROG Holdings, Inc. | 4,864 | 219,415 | ||||||
Prosperity Bancshares, Inc. | 299 | 21,618 | ||||||
Provident Financial Services, Inc. | 2,135 | 51,710 | ||||||
Pzena Investment Management, Inc. - Class A | 4,566 | 43,240 | ||||||
Radian Group, Inc. | 2,140 | 45,218 | ||||||
RBB Bancorp | 900 | 23,580 | ||||||
Ready Capital Corp. | 3,860 | 60,332 | ||||||
Redwood Trust, Inc. | 825 | 10,882 | ||||||
Regional Management Corp. | 519 | 29,822 | ||||||
Reinsurance Group of America, Inc. | 523 | 57,263 | ||||||
Reliant Bancorp, Inc. | 425 | 15,088 | ||||||
RenaissanceRe Holdings Ltd. | 568 | 96,179 | ||||||
Renasant Corp. | 1,000 | 37,950 | ||||||
Republic Bancorp, Inc. - Class A | 500 | 25,420 | ||||||
S&T Bancorp, Inc. | 1,190 | 37,509 | ||||||
Safety Insurance Group, Inc. | 360 | 30,611 | ||||||
Sandy Spring Bancorp, Inc. | 620 | 29,810 | ||||||
Selective Insurance Group, Inc. | 405 | 33,186 | ||||||
Sierra Bancorp | 500 | 13,575 | ||||||
Simmons First National Corp. - Class A | 1,395 | 41,264 | ||||||
SiriusPoint Ltd. (b) | 5,000 | 40,650 | ||||||
South Plains Financial, Inc. | 430 | 11,958 | ||||||
StepStone Group, Inc. - Class A | 660 | 27,436 | ||||||
Sterling Bancorp | 18,895 | 487,302 | ||||||
Stewart Information Services Corp. | 200 | 15,946 | ||||||
Stifel Financial Corp. | 842 | 59,294 | ||||||
Stock Yards Bancorp, Inc. | 1,285 | 82,086 | ||||||
Territorial Bancorp, Inc. | 500 | 12,625 | ||||||
Texas Capital Bancshares, Inc. (b) | 810 | 48,802 | ||||||
The Community Financial Corp. | 300 | 11,793 | ||||||
The First of Long Island Corp. | 1,300 | 28,067 | ||||||
The Hanover Insurance Group, Inc. | 140 | 18,348 | ||||||
Towne Bank | 800 | 25,272 | ||||||
TPG RE Finance Trust, Inc. | 3,258 | 40,139 | ||||||
Trean Insurance Group, Inc. (b) | 1,500 | 13,365 | ||||||
TriCo Bancshares | 300 | 12,888 | ||||||
Triumph Bancorp, Inc. (b) | 1,015 | 120,866 | ||||||
TrustCo Bank Corp. | 940 | 31,311 | ||||||
Trustmark Corp. | 1,600 | 51,936 | ||||||
Two Harbors Investment Corp. | 1,570 | 9,059 | ||||||
UMB Financial Corp. | 200 | 21,222 | ||||||
United Bankshares, Inc. | 4,590 | 166,525 | ||||||
United Community Banks, Inc. | 2,035 | 73,138 | ||||||
Universal Insurance Holdings, Inc. | 4,079 | 69,343 | ||||||
Univest Financial Corp. | 2,834 | 84,793 | ||||||
Valley National Bancorp | 1,115 | 15,331 | ||||||
Victory Capital Holdings, Inc. - Class A | 1,000 | 36,530 | ||||||
Virtus Investment Partners, Inc. | 70 | 20,797 | ||||||
Washington Federal, Inc. | 2,450 | 81,781 | ||||||
Washington Trust Bancorp, Inc. | 250 | 14,092 | ||||||
Waterstone Financial, Inc. | 2,480 | 54,213 | ||||||
Webster Financial Corp. | 530 | 29,595 | ||||||
White Mountains Insurance Group Ltd. | 35 | 35,487 | ||||||
William Penn Bancorp | 1,000 | 12,080 | ||||||
Wintrust Financial Corp. | 410 | 37,236 | ||||||
WSFS Financial Corp. | 140 | 7,017 | ||||||
11,540,373 | ||||||||
Health Care - 3.8% | ||||||||
4D Molecular Therapeutics, Inc. (b) | 300 | 6,582 | ||||||
AdaptHealth Corp. (b) | 960 | 23,482 | ||||||
Albireo Pharma, Inc. (b) | 345 | 8,035 | ||||||
Allscripts Healthcare Solutions, Inc. (b) | 855 | 15,775 | ||||||
Altimmune, Inc. (b) | 480 | 4,397 | ||||||
American Well Corp. - Class A (b) | 6,700 | 40,468 | ||||||
AnaptysBio, Inc. (b) | 1,770 | 61,507 | ||||||
Apria, Inc. (b) | 840 | 27,384 | ||||||
Arcutis Biotherapeutics, Inc. (b) | 1,720 | 35,673 | ||||||
Atara Biotherapeutics, Inc. (b) | 870 | 13,711 | ||||||
BioCryst Pharmaceuticals, Inc. (b) | 240 | 3,324 | ||||||
Biohaven Pharmaceutical Holding Co. Ltd. (b) | 50 | 6,891 | ||||||
Bioventus, Inc. - Class A (b) | 480 | 6,955 | ||||||
Catalyst Pharmaceuticals, Inc. (b) | 5,460 | 36,964 | ||||||
ChemoCentryx, Inc. (b) | 190 | 6,918 | ||||||
Community Health Systems, Inc. (b) | 1,560 | 20,764 | ||||||
Cross Country Healthcare, Inc. (b) | 374 | 10,382 | ||||||
CryoLife, Inc. (b) | 790 | 16,076 | ||||||
Cullinan Oncology, Inc. (b) | 310 | 4,783 | ||||||
Curis, Inc. (b) | 2,840 | 13,518 | ||||||
Emergent BioSolutions, Inc. (b) | 1,260 | 54,772 | ||||||
Forma Therapeutics Holdings, Inc. (b) | 590 | 8,390 | ||||||
Fulgent Genetics, Inc. (b) | 230 | 23,136 | ||||||
Generation Bio Co. (b) | 360 | 2,549 | ||||||
Hanger, Inc. (b) | 4,933 | 89,435 | ||||||
ImmunoGen, Inc. (b) | 2,628 | 19,500 | ||||||
Innoviva, Inc. (b) | 3,640 | 62,790 | ||||||
Integer Holdings Corp. (b) | 849 | 72,666 | ||||||
Invitae Corp. (b) | 990 | 15,117 | ||||||
Kiniksa Pharmaceuticals Ltd. - Class A (b) | 2,040 | 24,011 | ||||||
MEDNAX, Inc. (b) | 295 | 8,027 | ||||||
Meridian Bioscience, Inc. (b) | 1,350 | 27,540 | ||||||
National HealthCare Corp. | 763 | 51,838 | ||||||
Natus Medical, Inc. (b) | 5,753 | 136,519 | ||||||
Nkarta, Inc. (b) | 430 | 6,600 | ||||||
Novavax, Inc. (b) | 198 | 28,328 | ||||||
Nurix Therapeutics, Inc. (b) | 660 | 19,107 | ||||||
Oncternal Therapeutics, Inc. (b) | 6,560 | 14,891 | ||||||
OraSure Technologies, Inc. (b) | 1,740 | 15,121 | ||||||
Passage Bio, Inc. (b) | 1,460 | 9,271 | ||||||
Patterson Cos., Inc. | 400 | 11,740 | ||||||
Precigen, Inc. (b) | 5,130 | 19,032 | ||||||
Prestige Consumer Healthcare, Inc. (b) | 960 | 58,224 | ||||||
Sana Biotechnology, Inc. (b) | 295 | 4,567 | ||||||
Seer, Inc. (b) | 770 | 17,564 | ||||||
Selecta Biosciences, Inc. (b) | 10,300 | 33,578 | ||||||
Surface Oncology, Inc. (b) | 3,530 | 16,873 | ||||||
Syros Pharmaceuticals, Inc. (b) | 5,830 | 19,006 | ||||||
Taro Pharmaceutical Industries Ltd. (b) | 860 | 43,095 | ||||||
Tenet Healthcare Corp. (b) | 466 | 38,067 | ||||||
Triple-S Management Corp. (b) | 68 | 2,426 | ||||||
Utah Medical Products, Inc. | 190 | 19,000 | ||||||
Vanda Pharmaceuticals, Inc. (b) | 3,440 | 53,974 | ||||||
Veracyte, Inc. (b) | 130 | 5,356 | ||||||
1,395,699 | ||||||||
Industrials - 16.4% | ||||||||
AAR Corp. (b) | 3,055 | 119,237 | ||||||
ABM Industries, Inc. | 2,285 | 93,342 | ||||||
ACCO Brands Corp. | 5,600 | 46,256 | ||||||
Aerojet Rocketdyne Holdings, Inc. | 478 | 22,351 | ||||||
Allegiant Travel Co. (b) | 1,220 | 228,189 | ||||||
Allied Motion Technologies, Inc. | 2,325 | 84,839 | ||||||
Allison Transmission Holdings, Inc. | 1,400 | 50,890 | ||||||
Argan, Inc. | 1,090 | 42,172 | ||||||
Armstrong Flooring, Inc. (b) | 4,700 | 9,306 | ||||||
ASGN, Inc. (b) | 405 | 49,977 | ||||||
Atkore, Inc. (b) | 130 | 14,455 | ||||||
Atlas Air Worldwide Holdings, Inc. (b) | 380 | 35,766 | ||||||
Avis Budget Group, Inc. (b) | 190 | 39,400 | ||||||
AZZ, Inc. | 950 | 52,526 | ||||||
Barnes Group, Inc. | 500 | 23,295 | ||||||
Beacon Roofing Supply, Inc. (b) | 395 | 22,653 | ||||||
BGSF, Inc. | 1,000 | 14,350 | ||||||
BlueLinx Holdings, Inc. (b) | 480 | 45,965 | ||||||
Boise Cascade Co. | 630 | 44,856 | ||||||
CBIZ, Inc. (b) | 520 | 20,343 | ||||||
CIRCOR International, Inc. (b) | 55 | 1,495 | ||||||
Colfax Corp. (b) | 8,512 | 391,297 | ||||||
Comfort Systems USA, Inc. | 250 | 24,735 | ||||||
Concrete Pumping Holdings, Inc. (b) | 15,246 | 125,017 | ||||||
Costamare, Inc. | 1,450 | 18,343 | ||||||
Covenant Logistics Group, Inc. (b) | 610 | 16,122 | ||||||
Douglas Dynamics, Inc. | 2,702 | 105,540 | ||||||
Ducommun, Inc. (b) | 515 | 24,087 | ||||||
DXP Enterprises, Inc. (b) | 1,355 | 34,783 | ||||||
EMCOR Group, Inc. | 2,052 | 261,404 | ||||||
Encore Wire Corp. | 1,386 | 198,337 | ||||||
Energy Recovery, Inc. (b) | 1,741 | 37,414 | ||||||
Enerpac Tool Group Corp. | 2,200 | 44,616 | ||||||
EnerSys | 665 | 52,575 | ||||||
Ennis, Inc. | 1,800 | 35,154 | ||||||
EnPro Industries, Inc. | 460 | 50,632 | ||||||
Flowserve Corp. | 1,530 | 46,818 | ||||||
Fluor Corp. (b) | 2,200 | 54,494 | ||||||
Forward Air Corp. | 300 | 36,327 | ||||||
Franklin Electric Co., Inc. | 740 | 69,974 | ||||||
FTI Consulting, Inc. (b) | 175 | 26,849 | ||||||
GATX Corp. | 290 | 30,215 | ||||||
GrafTech International Ltd. | 4,300 | 50,869 | ||||||
Graham Corp. | 800 | 9,952 | ||||||
Great Lakes Dredge & Dock Corp. (b) | 3,200 | 50,304 | ||||||
Griffon Corp. | 600 | 17,088 | ||||||
Hawaiian Holdings, Inc. (b) | 495 | 9,093 | ||||||
Healthcare Services Group, Inc. | 2,500 | 44,475 | ||||||
Heartland Express, Inc. | 2,100 | 35,322 | ||||||
Heidrick & Struggles International, Inc. | 1,400 | 61,222 | ||||||
Heritage-Crystal Clean, Inc. (b) | 910 | 29,138 | ||||||
Hillenbrand, Inc. | 1,020 | 53,030 | ||||||
Hyster-Yale Materials Handling, Inc. | 720 | 29,592 | ||||||
Infrastructure and Energy Alternatives, Inc. (b) | 860 | 7,912 | ||||||
Interface, Inc. | 1,600 | 25,520 | ||||||
JELD-WEN Holding, Inc. (b) | 1,800 | 47,448 | ||||||
Kelly Services, Inc. - Class A | 1,800 | 30,186 | ||||||
Kimball International, Inc. - Class B | 3,300 | 33,759 | ||||||
Kirby Corp. (b) | 2,217 | 131,734 | ||||||
Korn Ferry | 1,000 | 75,730 | ||||||
LB Foster Co. - Class A (b) | 700 | 9,625 | ||||||
ManTech International Corp. - Class A | 350 | 25,525 | ||||||
Masonite International Corp. (b) | 400 | 47,180 | ||||||
MasTec, Inc. (b) | 367 | 33,867 | ||||||
Matrix Service Co. (b) | 3,300 | 24,816 | ||||||
Matson, Inc. | 1,935 | 174,208 | ||||||
Meritor, Inc. (b) | 1,930 | 47,825 | ||||||
Mesa Air Group, Inc. (b) | 2,100 | 11,760 | ||||||
Miller Industries, Inc. | 600 | 20,040 | ||||||
Moog, Inc. - Class A | 655 | 53,035 | ||||||
MRC Global, Inc. (b) | 3,595 | 24,734 | ||||||
Mueller Industries, Inc. | 3,275 | 194,404 | ||||||
Mueller Water Products, Inc. - Class A | 1,600 | 23,040 | ||||||
MYR Group, Inc. (b) | 260 | 28,743 | ||||||
National Presto Industries, Inc. | 595 | 48,808 | ||||||
PAM Transportation Services, Inc. (b) | 200 | 14,202 | ||||||
Powell Industries, Inc. | 900 | 26,541 | ||||||
Preformed Line Products Co. | 400 | 25,880 | ||||||
Primoris Services Corp. | 1,500 | 35,970 | ||||||
Proto Labs, Inc. (b) | 600 | 30,810 | ||||||
Quanex Building Products Corp. | 2,580 | 63,932 | ||||||
Radiant Logistics, Inc. (b) | 2,980 | 21,724 | ||||||
Resideo Technologies, Inc. (b) | 2,740 | 71,322 | ||||||
Resources Connection, Inc. | 2,800 | 49,952 | ||||||
Rush Enterprises, Inc. - Class A | 900 | 50,076 | ||||||
Safe Bulkers, Inc. (b) | 4,410 | 16,626 | ||||||
Schneider National, Inc. - Class B | 600 | 16,146 | ||||||
Sensata Technologies Holding PLC (b) | 905 | 55,829 | ||||||
SP Plus Corp. (b) | 320 | 9,030 | ||||||
Spirit Airlines, Inc. (b) | 1,000 | 21,850 | ||||||
SPX FLOW, Inc. | 613 | 53,012 | ||||||
Steelcase, Inc. - Class A | 3,100 | 36,332 | ||||||
Stericycle, Inc. (b) | 2,494 | 148,742 | ||||||
Sterling Construction Co., Inc. (b) | 1,000 | 26,300 | ||||||
The Brink's Co. | 600 | 39,342 | ||||||
The Greenbrier Cos., Inc. | 1,100 | 50,479 | ||||||
Thermon Group Holdings, Inc. (b) | 2,500 | 42,325 | ||||||
Titan International, Inc. (b) | 950 | 10,412 | ||||||
Titan Machinery, Inc. (b) | 230 | 7,749 | ||||||
Triton International Ltd. | 1,934 | 116,485 | ||||||
TrueBlue, Inc. (b) | 3,502 | 96,900 | ||||||
Tutor Perini Corp. (b) | 2,500 | 30,925 | ||||||
UFP Industries, Inc. | 310 | 28,523 | ||||||
Vectrus, Inc. (b) | 1,520 | 69,570 | ||||||
Veritiv Corp. (b) | 422 | 51,725 | ||||||
Wabash National Corp. | 2,300 | 44,896 | ||||||
Watts Water Technologies, Inc. - Class A | 255 | 49,513 | ||||||
WESCO International, Inc. (b) | 3,293 | 433,326 | ||||||
6,102,826 | ||||||||
Information Technology - 7.4% | ||||||||
3D Systems Corp. (b) | 2,083 | 44,868 | ||||||
A10 Networks, Inc. | 440 | 7,295 | ||||||
Ambarella, Inc. (b) | 113 | 22,927 | ||||||
Amkor Technology, Inc. | 2,355 | 58,380 | ||||||
Avnet, Inc. | 1,200 | 49,476 | ||||||
Axcelis Technologies, Inc. (b) | 235 | 17,522 | ||||||
Belden, Inc. | 830 | 54,556 | ||||||
BM Technologies, Inc. (b) | 446 | 4,108 | ||||||
Casa Systems, Inc. (b) | 1,200 | 6,804 | ||||||
Cass Information Systems, Inc. | 1,200 | 47,184 | ||||||
CommScope Holding Co., Inc. (b) | 2,100 | 23,184 | ||||||
Comtech Telecommunications Corp. | 1,940 | 45,959 | ||||||
Concentrix Corp. | 344 | 61,445 | ||||||
CSG Systems International, Inc. | 300 | 17,286 | ||||||
Diebold Nixdorf, Inc. (b) | 4,200 | 38,010 | ||||||
Diodes, Inc. (b) | 300 | 32,943 | ||||||
Ebix, Inc. | 800 | 24,320 | ||||||
ePlus, Inc. (b) | 440 | 23,707 | ||||||
FormFactor, Inc. (b) | 745 | 34,061 | ||||||
GTY Technology Holdings, Inc. (b) | 1,180 | 7,906 | ||||||
Harmonic, Inc. (b) | 3,330 | 39,161 | ||||||
II-VI, Inc. (b) | 260 | 17,766 | ||||||
Insight Enterprises, Inc. (b) | 460 | 49,036 | ||||||
Kimball Electronics, Inc. (b) | 1,000 | 21,760 | ||||||
Lumentum Holdings, Inc. (b) | 284 | 30,039 | ||||||
MACOM Technology Solutions Holdings, Inc. (b) | 640 | 50,112 | ||||||
Marathon Digital Holdings, Inc. (b)(c) | 170 | 5,586 | ||||||
Methode Electronics, Inc. | 1,030 | 50,645 | ||||||
MoneyGram International, Inc. (b) | 6,190 | 48,839 | ||||||
NETGEAR, Inc. (b) | 1,000 | 29,210 | ||||||
NVE Corp. | 117 | 7,991 | ||||||
ON24, Inc. (b) | 1,308 | 22,694 | ||||||
Onto Innovation, Inc. (b) | 380 | 38,467 | ||||||
OSI Systems, Inc. (b) | 665 | 61,978 | ||||||
PC Connection, Inc. | 740 | 31,916 | ||||||
Photronics, Inc. (b) | 2,200 | 41,470 | ||||||
Plexus Corp. (b) | 100 | 9,589 | ||||||
Rambus, Inc. (b) | 4,595 | 135,047 | ||||||
Rogers Corp. (b) | 109 | 29,757 | ||||||
Sanmina Corp. (b) | 4,711 | 195,318 | ||||||
ScanSource, Inc. (b) | 1,480 | 51,918 | ||||||
Semtech Corp. (b) | 680 | 60,472 | ||||||
SMART Global Holdings, Inc. (b) | 1,025 | 72,765 | ||||||
StarTek, Inc. (b) | 9,480 | 49,486 | ||||||
Super Micro Computer, Inc. (b) | 1,315 | 57,794 | ||||||
Synaptics, Inc. (b) | 115 | 33,294 | ||||||
SYNNEX Corp. | 424 | 48,489 | ||||||
Telos Corp. (b) | 1,500 | 23,130 | ||||||
The Hackett Group, Inc. | 1,360 | 27,921 | ||||||
TTM Technologies, Inc. (b) | 1,120 | 16,688 | ||||||
Ultra Clean Holdings, Inc. (b) | 1,004 | 57,589 | ||||||
Veeco Instruments, Inc. (b) | 2,695 | 76,727 | ||||||
Verra Mobility Corp. (b) | 800 | 12,344 | ||||||
Vishay Intertechnology, Inc. | 3,690 | 80,700 | ||||||
Vishay Precision Group, Inc. (b) | 2,986 | 110,840 | ||||||
WNS Holdings Ltd. - ADR (b) | 3,804 | 335,589 | ||||||
Xperi Holding Corp. | 3,989 | 75,432 | ||||||
2,729,500 | ||||||||
Materials - 4.6% | ||||||||
AdvanSix, Inc. | 1,100 | 51,975 | ||||||
American Vanguard Corp. | 1,600 | 26,224 | ||||||
Ashland Global Holdings, Inc. | 2,653 | 285,622 | ||||||
Avient Corp. | 205 | 11,470 | ||||||
Cabot Corp. | 730 | 41,026 | ||||||
Chase Corp. | 1,605 | 159,794 | ||||||
Commercial Metals Co. | 1,845 | 66,955 | ||||||
Compass Minerals International, Inc. | 700 | 35,756 | ||||||
Ecovyst, Inc. | 5,000 | 51,200 | ||||||
FutureFuel Corp. | 1,200 | 9,168 | ||||||
Glatfelter Corp. | 1,800 | 30,960 | ||||||
Greif, Inc. - Class A | 720 | 43,466 | ||||||
Hawkins, Inc. | 300 | 11,835 | ||||||
HB Fuller Co. | 310 | 25,110 | ||||||
Innospec, Inc. | 1,045 | 94,405 | ||||||
Kaiser Aluminum Corp. | 520 | 48,849 | ||||||
Koppers Holdings, Inc. (b) | 345 | 10,798 | ||||||
Materion Corp. | 558 | 51,303 | ||||||
Mercer International, Inc. | 2,500 | 29,975 | ||||||
NewMarket Corp. | 70 | 23,990 | ||||||
Ryerson Holding Corp. | 700 | 18,235 | ||||||
Summit Materials, Inc. - Class A (b) | 1,241 | 49,814 | ||||||
Taseko Mines Ltd. (b) | 76,754 | 157,346 | ||||||
Tredegar Corp. | 2,510 | 29,668 | ||||||
TriMas Corp. | 3,019 | 111,703 | ||||||
Trinseo PLC | 800 | 41,968 | ||||||
UFP Technologies, Inc. (b) | 1,580 | 111,011 | ||||||
Warrior Met Coal, Inc. | 1,100 | 28,281 | ||||||
Worthington Industries, Inc. | 1,105 | 60,399 | ||||||
1,718,306 | ||||||||
Real Estate - 5.3% | ||||||||
Acadia Realty Trust | 2,640 | 57,631 | ||||||
Agree Realty Corp. | 590 | 42,102 | ||||||
Alexander's, Inc. | 170 | 44,251 | ||||||
Apartment Investment and Management Co. - Class A (b) | 1,890 | 14,591 | ||||||
Braemar Hotels & Resorts, Inc. (b) | 2,500 | 12,750 | ||||||
CubeSmart | 3,777 | 214,949 | ||||||
DiamondRock Hospitality Co. (b) | 2,743 | 26,360 | ||||||
Douglas Elliman, Inc. (b) | 263 | 3,025 | ||||||
Easterly Government Properties, Inc. | 5,530 | 126,748 | ||||||
Empire State Realty Trust, Inc. - Class A | 9,610 | 85,529 | ||||||
Equity Commonwealth (b) | 260 | 6,734 | ||||||
Essential Properties Realty Trust, Inc. | 412 | 11,878 | ||||||
Four Corners Property Trust, Inc. | 250 | 7,352 | ||||||
Getty Realty Corp. | 1,200 | 38,508 | ||||||
Healthcare Realty Trust, Inc. | 3,580 | 113,271 | ||||||
Hersha Hospitality Trust (b) | 770 | 7,061 | ||||||
iStar, Inc. (c) | 2,601 | 67,184 | ||||||
Jones Lang LaSalle, Inc. (b) | 281 | 75,684 | ||||||
Kennedy-Wilson Holdings, Inc. | 2,300 | 54,924 | ||||||
Kite Realty Group Trust | 1,370 | 29,839 | ||||||
LXP Industrial Trust | 1,955 | 30,537 | ||||||
National Health Investors, Inc. | 436 | 25,057 | ||||||
Newmark Group, Inc. - Class A | 3,995 | 74,706 | ||||||
Outfront Media, Inc. | 350 | 9,387 | ||||||
Pebblebrook Hotel Trust | 2,685 | 60,063 | ||||||
Piedmont Office Realty Trust, Inc. - Class A | 2,540 | 46,685 | ||||||
PS Business Parks, Inc. | 110 | 20,259 | ||||||
Rayonier, Inc. | 3,441 | 138,879 | ||||||
RE/MAX Holdings, Inc. - Class A | 1,792 | 54,638 | ||||||
Realogy Holdings Corp. (b) | 955 | 16,054 | ||||||
RPT Realty | 865 | 11,574 | ||||||
Ryman Hospitality Properties, Inc. (b) | 978 | 89,937 | ||||||
Sabra Health Care REIT, Inc. | 2,490 | 33,715 | ||||||
Seritage Growth Properties - Class A (b) | 3,550 | 47,108 | ||||||
SITE Centers Corp. | 3,160 | 50,023 | ||||||
STAG Industrial, Inc. | 770 | 36,929 | ||||||
Summit Hotel Properties, Inc. (b) | 885 | 8,638 | ||||||
Sunstone Hotel Investors, Inc. (b) | 8,030 | 94,192 | ||||||
Terreno Realty Corp. | 90 | 7,676 | ||||||
The Macerich Co. | 610 | 10,541 | ||||||
The RMR Group, Inc. - Class A | 1,360 | 47,165 | ||||||
Urban Edge Properties | 1,390 | 26,410 | ||||||
1,980,544 | ||||||||
Utilities - 2.3% | ||||||||
ALLETE, Inc. | 680 | 45,118 | ||||||
Artesian Resources Corp. - Class A | 610 | 28,261 | ||||||
Avista Corp. | 1,300 | 55,237 | ||||||
Black Hills Corp. | 630 | 44,459 | ||||||
Brookfield Infrastructure Corp. - Class A | 340 | 23,209 | ||||||
Brookfield Renewable Corp. - Class A | 505 | 18,599 | ||||||
Hawaiian Electric Industries, Inc. | 1,100 | 45,650 | ||||||
Northwest Natural Holding Co. | 130 | 6,341 | ||||||
Otter Tail Corp. | 740 | 52,851 | ||||||
PNM Resources, Inc. | 840 | 38,312 | ||||||
Portland General Electric Co. | 1,580 | 83,614 | ||||||
South Jersey Industries, Inc. | 7,436 | 194,228 | ||||||
Southwest Gas Holdings, Inc. | 700 | 49,035 | ||||||
Spire, Inc. | 700 | 45,654 | ||||||
UGI Corp. | 2,650 | 121,662 | ||||||
852,230 | ||||||||
Total Common Stocks (Cost $28,195,429) | 36,564,012 | |||||||
Total Investments at Value - 98.6% (Cost $28,195,429) | 36,564,012 | |||||||
Other Assets in Excess of Liabilities - 1.4% | 534,061 | |||||||
Net Assets - 100.0% | $ | 37,098,073 |
Percentages are stated as a percent of net assets.
ADR - American Depository Receipt
REIT - Real Estate Investment Trust
(a) | More narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting purposes. |
(b) | Non-income producing security. |
(c) | This security or a partial position of this security is on loan at December 31, 2021. The total fair value of securities on loan at December 31, 2021, was $351,050. |
WILSHIRE MUTUAL FUNDS, INC. | |
WILSHIRE 5000 INDEX FUND | December 31, 2021 |
SCHEDULE OF INVESTMENTS |
Shares | Value | |||||||
COMMON STOCKS - 98.7% (a) | ||||||||
Communication Services - 9.2% | ||||||||
Activision Blizzard, Inc. | 4,183 | $ | 278,295 | |||||
Actua Corp. (b)(c)(d) | 100 | 1 | ||||||
Alphabet, Inc. - Class A (d) | 1,529 | 4,429,574 | ||||||
Alphabet, Inc. - Class C (d) | 1,750 | 5,063,783 | ||||||
Altice USA, Inc. (d) | 120 | 1,942 | ||||||
AMC Entertainment Holdings, Inc. - Class A (d)(e) | 2,885 | 78,472 | ||||||
Angi, Inc. (d) | 150 | 1,381 | ||||||
AT&T, Inc. | 39,870 | 980,802 | ||||||
Bumble, Inc. (d) | 510 | 17,269 | ||||||
Cable One, Inc. | 20 | 35,269 | ||||||
Cardlytics, Inc. (d) | 230 | 15,201 | ||||||
Cars.com, Inc. (d) | 445 | 7,160 | ||||||
Charter Communications, Inc. (d) | 676 | 440,732 | ||||||
Cinemark Holdings, Inc. (d) | 775 | 12,493 | ||||||
Cogent Communications Holdings, Inc. | 340 | 24,881 | ||||||
Comcast Corp. - Class A | 24,365 | 1,226,290 | ||||||
Consolidated Communications Holdings, Inc. (d) | 501 | 3,747 | ||||||
Discovery, Inc. (d)(e) | 798 | 18,785 | ||||||
Discovery, Inc. (d) | 2,209 | 50,586 | ||||||
DISH Network Corp. (d) | 1,469 | 47,654 | ||||||
EchoStar Corp. (d) | 400 | 10,540 | ||||||
Electronic Arts, Inc. | 1,650 | 217,635 | ||||||
Fox Corp. - Class A | 2,196 | 81,032 | ||||||
Fox Corp. - Class B | 878 | 30,089 | ||||||
Frontier Communications Parent, Inc. (d) | 1,359 | 40,077 | ||||||
Gannett Co., Inc. (d) | 364 | 1,940 | ||||||
IAC/InterActiveCorp (d) | 450 | 58,820 | ||||||
iHeartMedia, Inc. - Class A (d) | 316 | 6,649 | ||||||
Iridium Communications, Inc. (d) | 362 | 14,947 | ||||||
John Wiley & Sons, Inc. - Class A | 200 | 11,454 | ||||||
Liberty Media Corp.-Liberty SiriusXM (d) | 638 | 32,442 | ||||||
Liberty Media Corp.-Liberty SiriusXM (d) | 1,199 | 60,969 | ||||||
Lions Gate Entertainment Corp. (d) | 1,033 | 15,898 | ||||||
Live Nation Entertainment, Inc. (d) | 819 | 98,026 | ||||||
Loyalty Ventures, Inc. (d) | 60 | 1,804 | ||||||
Lumen Technologies, Inc. | 6,074 | 76,229 | ||||||
Madison Square Garden Entertainment Corp. (d) | 192 | 13,505 | ||||||
Madison Square Garden Sports Corp. (d) | 93 | 16,157 | ||||||
Magnite, Inc. (d) | 700 | 12,250 | ||||||
Match Group, Inc. (d) | 1,416 | 187,266 | ||||||
Meta Platforms, Inc. - Class A (d) | 12,246 | 4,118,942 | ||||||
Netflix, Inc. (d) | 2,435 | 1,466,941 | ||||||
News Corp. - Class A | 2,291 | 51,112 | ||||||
News Corp. - Class B | 1,121 | 25,223 | ||||||
Nexstar Media Group, Inc. - Class A | 189 | 28,535 | ||||||
Omnicom Group, Inc. | 1,114 | 81,623 | ||||||
Pinterest, Inc. - Class A (d) | 580 | 21,083 | ||||||
ROBLOX Corp. - Class A (d) | 1,162 | 119,872 | ||||||
Roku, Inc. (d) | 140 | 31,948 | ||||||
Shenandoah Telecommunications Co. | 300 | 7,650 | ||||||
Sinclair Broadcast Group, Inc. - Class A | 425 | 11,233 | ||||||
Sirius XM Holdings, Inc. (e) | 4,685 | 29,750 | ||||||
Skillz, Inc. (d)(e) | 2,545 | 18,935 | ||||||
Snap, Inc. (d) | 6,564 | 308,705 | ||||||
Take-Two Interactive Software, Inc. (d) | 635 | 112,852 | ||||||
TechTarget, Inc. (d) | 60 | 5,740 | ||||||
TEGNA, Inc. | 215 | 3,990 | ||||||
Telephone and Data Systems, Inc. | 700 | 14,105 | ||||||
The Interpublic Group of Cos., Inc. | 1,762 | 65,987 | ||||||
The Marcus Corp. (d) | 100 | 1,786 | ||||||
The New York Times Co. | 620 | 29,946 | ||||||
The Walt Disney Co. (d) | 9,015 | 1,396,333 | ||||||
T-Mobile US, Inc. (d) | 3,544 | 411,033 | ||||||
TripAdvisor, Inc. (d) | 634 | 17,283 | ||||||
Twitter, Inc. (d) | 4,320 | 186,710 | ||||||
Verizon Communications, Inc. | 22,235 | 1,155,331 | ||||||
ViacomCBS, Inc. - Class B | 3,094 | 93,377 | ||||||
Vimeo, Inc. (d) | 730 | 13,111 | ||||||
Warner Music Group Corp. - Class A | 407 | 17,574 | ||||||
World Wrestling Entertainment, Inc. | 280 | 13,815 | ||||||
Yelp, Inc. (d) | 566 | 20,512 | ||||||
Ziff Davis, Inc. (d) | 325 | 36,030 | ||||||
ZoomInfo Technologies, Inc. (d) | 400 | 25,680 | ||||||
Zynga, Inc. - Class A (d) | 5,350 | 34,240 | ||||||
23,699,033 | ||||||||
Consumer Discretionary - 12.4% | ||||||||
1-800-Flowers.com, Inc. - Class A (d) | 300 | 7,011 | ||||||
2U, Inc. (d) | 325 | 6,523 | ||||||
Abercrombie & Fitch Co. - Class A (d) | 425 | 14,803 | ||||||
Academy Sports & Outdoors, Inc. (d) | 555 | 24,364 | ||||||
Adtalem Global Education, Inc. (d) | 400 | 11,824 | ||||||
Advance Auto Parts, Inc. | 371 | 88,995 | ||||||
Airbnb, Inc. - Class A (d) | 380 | 63,266 | ||||||
Amazon.com, Inc. (d) | 2,554 | 8,515,904 | ||||||
American Eagle Outfitters, Inc. (e) | 665 | 16,838 | ||||||
American Outdoor Brands, Inc. (d) | 118 | 2,352 | ||||||
Aramark | 1,065 | 39,245 | ||||||
Asbury Automotive Group, Inc. (d) | 50 | 8,636 | ||||||
Autoliv, Inc. | 357 | 36,917 | ||||||
AutoNation, Inc. (d) | 195 | 22,786 | ||||||
AutoZone, Inc. (d) | 121 | 253,663 | ||||||
Bath & Body Works, Inc. (d) | 1,484 | 103,568 | ||||||
Beazer Homes USA, Inc. (d) | 200 | 4,644 | ||||||
Bed Bath & Beyond, Inc. (d)(e) | 275 | 4,010 | ||||||
Best Buy Co., Inc. | 1,171 | 118,974 | ||||||
Big Lots, Inc. | 200 | 9,010 | ||||||
Bloomin' Brands, Inc. (d) | 880 | 18,462 | ||||||
Booking Holdings, Inc. (d) | 228 | 547,024 | ||||||
Boot Barn Holdings, Inc. (d) | 58 | 7,137 | ||||||
BorgWarner, Inc. | 1,310 | 59,042 | ||||||
Boyd Gaming Corp. (d) | 1,052 | 68,980 | ||||||
Bright Horizons Family Solutions, Inc. (d) | 300 | 37,764 | ||||||
Brinker International, Inc. (d) | 175 | 6,403 | ||||||
Brunswick Corp. | 298 | 30,018 | ||||||
Burlington Stores, Inc. (d) | 308 | 89,785 | ||||||
Caesars Entertainment, Inc. (d) | 1,129 | 105,595 | ||||||
Callaway Golf Co. (d) | 650 | 17,836 | ||||||
Camping World Holdings, Inc. - Class A | 18 | 727 | ||||||
CarMax, Inc. (d) | 890 | 115,905 | ||||||
Carnival Corp. (d) | 5,125 | 103,115 | ||||||
Carter's, Inc. | 172 | 17,410 | ||||||
Carvana Co. (d) | 80 | 18,543 | ||||||
Chegg, Inc. (d) | 740 | 22,718 | ||||||
Chewy, Inc. - Class A (d)(e) | 290 | 17,101 | ||||||
Chipotle Mexican Grill, Inc. (d) | 147 | 256,993 | ||||||
Choice Hotels International, Inc. | 200 | 31,198 | ||||||
Churchill Downs, Inc. | 191 | 46,012 | ||||||
Columbia Sportswear Co. | 340 | 33,130 | ||||||
Coursera, Inc. (d) | 645 | 15,764 | ||||||
Cracker Barrel Old Co.untry Store, Inc. | 191 | 24,570 | ||||||
Crocs, Inc. (d) | 250 | 32,055 | ||||||
Dana, Inc. | 900 | 20,538 | ||||||
Darden Restaurants, Inc. | 643 | 96,862 | ||||||
Dave & Buster's Entertainment, Inc. (d) | 300 | 11,520 | ||||||
Deckers Outdoor Corp. (d) | 145 | 53,115 | ||||||
Dick's Sporting Goods, Inc. (e) | 346 | 39,787 | ||||||
Dillard's, Inc. - Class A (e) | 92 | 22,542 | ||||||
Dollar General Corp. | 1,226 | 289,128 | ||||||
Dollar Tree, Inc. (d) | 1,306 | 183,519 | ||||||
Domino's Pizza, Inc. | 171 | 96,500 | ||||||
DoorDash, Inc. (d) | 220 | 32,758 | ||||||
Dorman Products, Inc. (d) | 200 | 22,602 | ||||||
DR Horton, Inc. | 1,838 | 199,331 | ||||||
DraftKings, Inc. - Class A (d) | 3,532 | 97,024 | ||||||
eBay, Inc. | 3,685 | 245,053 | ||||||
Etsy, Inc. (d) | 630 | 137,932 | ||||||
Expedia Group, Inc. (d) | 724 | 130,841 | ||||||
Faraday Future Intelligent Electric, Inc. (d)(e) | 2,306 | 12,268 | ||||||
Five Below, Inc. (d) | 230 | 47,585 | ||||||
Floor & Decor Holdings, Inc. (d) | 440 | 57,204 | ||||||
Foot Locker, Inc. | 475 | 20,724 | ||||||
Ford Motor Co. | 20,876 | 433,595 | ||||||
Fox Factory Holding Corp. (d) | 123 | 20,922 | ||||||
Frontdoor, Inc. (d) | 487 | 17,849 | ||||||
GameStop Corp. - Class A (d)(e) | 336 | 49,859 | ||||||
General Motors Co. (d) | 7,560 | 443,243 | ||||||
Gentex Corp. | 1,599 | 55,725 | ||||||
Gentherm, Inc. (d) | 75 | 6,518 | ||||||
Genuine Parts Co. | 747 | 104,729 | ||||||
Golden Entertainment, Inc. (d) | 100 | 5,053 | ||||||
Graham Holdings Co. - Class B | 41 | 25,823 | ||||||
Grand Canyon Education, Inc. (d) | 200 | 17,142 | ||||||
Green Brick Partners, Inc. (d) | 45 | 1,365 | ||||||
Group 1 Automotive, Inc. | 43 | 8,394 | ||||||
H&R Block, Inc. | 1,310 | 30,864 | ||||||
Hanesbrands, Inc. | 1,575 | 26,334 | ||||||
Harley-Davidson, Inc. | 650 | 24,499 | ||||||
Hasbro, Inc. | 610 | 62,086 | ||||||
Helen of Troy Ltd. (d) | 119 | 29,092 | ||||||
Hilton Grand Vacations, Inc. (d) | 635 | 33,090 | ||||||
Hilton Worldwide Holdings, Inc. (d) | 1,450 | 226,186 | ||||||
Houghton Mifflin Harcourt Co. (d) | 325 | 5,233 | ||||||
Hyatt Hotels Corp. - Class A (d) | 300 | 28,770 | ||||||
Installed Building Products, Inc. | 70 | 9,780 | ||||||
iRobot Corp. (d) | 167 | 11,002 | ||||||
KB Home | 375 | 16,774 | ||||||
Kohl's Corp. | 563 | 27,807 | ||||||
Kontoor Brands, Inc. | 339 | 17,374 | ||||||
Las Vegas Sands Corp. (d) | 1,993 | 75,017 | ||||||
La-Z-Boy, Inc. | 425 | 15,432 | ||||||
LCI Industries | 154 | 24,004 | ||||||
Lear Corp. | 350 | 64,033 | ||||||
Leggett & Platt, Inc. | 706 | 29,059 | ||||||
Lennar Corp. | 1,357 | 157,629 | ||||||
Leslie's, Inc. (d) | 344 | 8,139 | ||||||
Lithia Motors, Inc. - Class A | 134 | 39,791 | ||||||
LKQ Corp. | 1,540 | 92,446 | ||||||
Lowe's Cos, Inc. | 3,718 | 961,029 | ||||||
Lucid Group, Inc. (d)(e) | 3,447 | 131,158 | ||||||
Lumber Liquidators Holdings, Inc. (d) | 241 | 4,114 | ||||||
Macy's, Inc. | 2,223 | 58,198 | ||||||
Marriott International, Inc. - Class A (d) | 1,642 | 271,324 | ||||||
Marriott Vacations Worldwide Corp. | 244 | 41,231 | ||||||
Mattel, Inc. (d) | 1,025 | 22,099 | ||||||
McDonald's Corp. | 3,808 | 1,020,811 | ||||||
MDC Holdings, Inc. | 1,257 | 70,178 | ||||||
Meritage Homes Corp. (d) | 200 | 24,412 | ||||||
MGM Resorts International | 2,670 | 119,830 | ||||||
Mohawk Industries, Inc. (d) | 392 | 71,415 | ||||||
Murphy USA, Inc. | 126 | 25,104 | ||||||
National Vision Holdings, Inc. (d) | 540 | 25,915 | ||||||
Newell Brands, Inc. | 2,575 | 56,238 | ||||||
NIKE, Inc. - Class B | 7,090 | 1,181,690 | ||||||
Nordstrom, Inc. (d) | 670 | 15,155 | ||||||
Norwegian Cruise Line Holdings Ltd. (d) | 1,875 | 38,888 | ||||||
NVR, Inc. (d) | 20 | 118,177 | ||||||
Ollie's Bargain Outlet Holdings, Inc. (d) | 340 | 17,405 | ||||||
O'Reilly Automotive, Inc. (d) | 380 | 268,367 | ||||||
Overstock.com, Inc. (d) | 240 | 14,162 | ||||||
Oxford Industries, Inc. | 50 | 5,076 | ||||||
Papa John's International, Inc. | 173 | 23,090 | ||||||
Patrick Industries, Inc. | 20 | 1,614 | ||||||
Peloton Interactive, Inc. (d) | 320 | 11,443 | ||||||
Penn National Gaming, Inc. (d) | 668 | 34,636 | ||||||
Penske Automotive Group, Inc. | 98 | 10,508 | ||||||
Perdoceo Education Corp. (d) | 500 | 5,880 | ||||||
Planet Fitness, Inc. - Class A (d) | 440 | 39,855 | ||||||
Polaris, Inc. | 340 | 37,369 | ||||||
Pool Corp. | 235 | 133,010 | ||||||
PulteGroup, Inc. | 1,425 | 81,453 | ||||||
PVH Corp. | 413 | 44,046 | ||||||
QuantumScape Corp. (d)(e) | 1,153 | 25,585 | ||||||
Qurate Retail, Inc. | 2,919 | 22,184 | ||||||
Ralph Lauren Corp. | 191 | 22,702 | ||||||
Red Rock Resorts, Inc. - Class A | 508 | 27,945 | ||||||
Rent-A-Center, Inc. | 728 | 34,973 | ||||||
RH (d) | 82 | 43,947 | ||||||
Ross Stores, Inc. | 1,835 | 209,704 | ||||||
Royal Caribbean Cruises Ltd. (d) | 1,019 | 78,361 | ||||||
Sally Beauty Holdings, Inc. (d) | 700 | 12,922 | ||||||
Scientific Games Corp. (d) | 315 | 21,051 | ||||||
SeaWorld Entertainment, Inc. (d) | 235 | 15,242 | ||||||
Service Corp. International/US | 820 | 58,212 | ||||||
Shake Shack, Inc. - Class A (d) | 60 | 4,330 | ||||||
Shoe Carnival, Inc. | 120 | 4,690 | ||||||
Shutterstock, Inc. | 122 | 13,527 | ||||||
Signet Jewelers Ltd. | 113 | 9,834 | ||||||
Six Flags Entertainment Corp. (d) | 590 | 25,122 | ||||||
Skechers USA, Inc. - Class A (d) | 750 | 32,550 | ||||||
Skyline Champion Corp. (d) | 425 | 33,567 | ||||||
Sleep Number Corp. (d) | 90 | 6,894 | ||||||
Smith & Wesson Brands, Inc. | 475 | 8,455 | ||||||
Sonos, Inc. (d) | 390 | 11,622 | ||||||
Starbucks Corp. | 6,460 | 755,626 | ||||||
Steven Madden Ltd. | 450 | 20,912 | ||||||
Strategic Education, Inc. | 87 | 5,032 | ||||||
Stride, Inc. (d) | 300 | 9,999 | ||||||
Tapestry, Inc. | 1,370 | 55,622 | ||||||
Target Corp. | 2,665 | 616,788 | ||||||
Taylor Morrison Home Corp. (d) | 900 | 31,464 | ||||||
Tempur Sealy International, Inc. | 1,192 | 56,060 | ||||||
Terminix Global Holdings, Inc. (d) | 525 | 23,746 | ||||||
Tesla, Inc. (d) | 4,835 | 5,109,531 | ||||||
Texas Roadhouse, Inc. | 475 | 42,408 | ||||||
The Aaron's Co., Inc. | 200 | 4,930 | ||||||
The Cheesecake Factory, Inc. (d) | 300 | 11,745 | ||||||
The Children's Place, Inc. (d) | 122 | 9,673 | ||||||
The Gap, Inc. | 840 | 14,826 | ||||||
The Goodyear Tire & Rubber Co. (d) | 6,526 | 139,134 | ||||||
The Home Depot, Inc. | 5,929 | 2,460,594 | ||||||
The TJX Cos, Inc. | 6,816 | 517,471 | ||||||
The Wendy's Co. | 1,105 | 26,354 | ||||||
Thor Industries, Inc. | 157 | 16,292 | ||||||
Toll Brothers, Inc. | 374 | 27,074 | ||||||
TopBuild Corp. (d) | 125 | 34,489 | ||||||
Tractor Supply Co. | 595 | 141,967 | ||||||
Travel + Leisure Co. | 642 | 35,483 | ||||||
Tri Pointe Homes, Inc. (d) | 263 | 7,335 | ||||||
Ulta Beauty, Inc. (d) | 285 | 117,517 | ||||||
Under Armour, Inc. - Class A (d) | 1,256 | 26,615 | ||||||
Under Armour, Inc. - Class C (d) | 1,558 | 28,106 | ||||||
Vail Resorts, Inc. | 200 | 65,580 | ||||||
Veoneer, Inc. (d) | 648 | 22,991 | ||||||
VF Corp. | 1,742 | 127,549 | ||||||
Victoria's Secret & Co. (d) | 494 | 27,437 | ||||||
Vista Outdoor, Inc. (d) | 400 | 18,428 | ||||||
Visteon Corp. (d) | 101 | 11,225 | ||||||
Vroom, Inc. (d) | 760 | 8,200 | ||||||
Warby Parker, Inc. - Class A (d) | 1,193 | 55,546 | ||||||
Wayfair, Inc. - Class A (d)(e) | 270 | 51,292 | ||||||
Whirlpool Corp. | 274 | 64,297 | ||||||
Williams-Sonoma, Inc. | 310 | 52,430 | ||||||
Wingstop, Inc. | 220 | 38,016 | ||||||
Winnebago Industries, Inc. | 175 | 13,111 | ||||||
Wolverine World Wide, Inc. | 725 | 20,887 | ||||||
WW International, Inc. (d) | 440 | 7,097 | ||||||
Wyndham Hotels & Resorts, Inc. | 286 | 25,640 | ||||||
Wynn Resorts Ltd. (d) | 561 | 47,707 | ||||||
YETI Holdings, Inc. (d) | 559 | 46,302 | ||||||
Yum! Brands, Inc. | 1,349 | 187,322 | ||||||
32,084,260 | ||||||||
Consumer Staples - 5.5% | ||||||||
Albertsons Cos, Inc. - Class A | 1,491 | 45,013 | ||||||
Altria Group, Inc. | 9,810 | 464,896 | ||||||
Archer-Daniels-Midland Co. | 2,856 | 193,037 | ||||||
B&G Foods, Inc. (e) | 250 | 7,683 | ||||||
Beyond Meat, Inc. (d)(e) | 390 | 25,412 | ||||||
BJ's Wholesale Club Holdings, Inc. (d) | 465 | 31,141 | ||||||
Brown-Forman Corp. - Class B | 1,555 | 113,297 | ||||||
Bunge Ltd. | 1,193 | 111,379 | ||||||
Cal-Maine Foods, Inc. | 18 | 666 | ||||||
Campbell Soup Co. | 1,430 | 62,148 | ||||||
Casey's General Stores, Inc. | 177 | 34,931 | ||||||
Celsius Holdings, Inc. (d) | 320 | 23,862 | ||||||
Church & Dwight Co., Inc. | 1,396 | 143,090 | ||||||
Colgate-Palmolive Co. | 4,438 | 378,739 | ||||||
Conagra Brands, Inc. | 2,541 | 86,775 | ||||||
Constellation Brands, Inc. | 966 | 242,437 | ||||||
Costco Wholesale Corp. | 2,354 | 1,336,366 | ||||||
Darling Ingredients, Inc. (d) | 975 | 67,558 | ||||||
Edgewell Personal Care Co. | 416 | 19,015 | ||||||
elf Beauty, Inc. (d) | 300 | 9,963 | ||||||
Energizer Holdings, Inc. | 152 | 6,095 | ||||||
Flowers Foods, Inc. | 780 | 21,427 | ||||||
Fresh Del Monte Produce, Inc. | 100 | 2,760 | ||||||
Freshpet, Inc. (d) | 270 | 25,723 | ||||||
General Mills, Inc. | 3,231 | 217,705 | ||||||
Grocery Outlet Holding Corp. (d) | 160 | 4,525 | ||||||
Herbalife Nutrition Ltd. (d) | 380 | 15,553 | ||||||
Hormel Foods Corp. | 1,875 | 91,519 | ||||||
Ingredion, Inc. | 271 | 26,189 | ||||||
Kellogg Co. | 1,643 | 105,842 | ||||||
Keurig Dr Pepper, Inc. | 4,468 | 164,691 | ||||||
Kimberly-Clark Corp. | 1,911 | 273,120 | ||||||
Lamb Weston Holdings, Inc. | 667 | 42,274 | ||||||
Lancaster Co.lony Corp. | 112 | 18,547 | ||||||
McCormick & Co., Inc. | 1,035 | 99,991 | ||||||
Medifast, Inc. | 30 | 6,283 | ||||||
Molson Coors Beverage Co. | 673 | 31,194 | ||||||
Mondelez International, Inc. | 7,690 | 509,924 | ||||||
Monster Beverage Corp. (d) | 2,026 | 194,577 | ||||||
Nu Skin Enterprises, Inc. | 325 | 16,494 | ||||||
PepsiCo, Inc. | 7,620 | 1,323,670 | ||||||
Performance Food Group Co. (d) | 690 | 31,664 | ||||||
Philip Morris International, Inc. | 8,766 | 832,770 | ||||||
Post Holdings, Inc. (d) | 213 | 24,012 | ||||||
PriceSmart, Inc. | 115 | 8,415 | ||||||
Reynolds Consumer Products, Inc. | 590 | 18,526 | ||||||
Sanderson Farms, Inc. | 143 | 27,324 | ||||||
Spectrum Brands Holdings, Inc. | 277 | 28,176 | ||||||
Sprouts Farmers Market, Inc. (d) | 162 | 4,808 | ||||||
Sysco Corp. | 2,800 | 219,940 | ||||||
The Andersons, Inc. | 75 | 2,903 | ||||||
The Boston Beer Co., Inc. (d) | 50 | 25,255 | ||||||
The Clorox Co. | 615 | 107,231 | ||||||
The Coca-Cola Co. | 23,024 | 1,363,251 | ||||||
The Estee Lauder Cos., Inc. - Class A | 1,161 | 429,802 | ||||||
The Hain Celestial Group, Inc. (d) | 600 | 25,566 | ||||||
The Hershey Co. | 819 | 158,452 | ||||||
The J M Smucker Co. | 517 | 70,219 | ||||||
The Kraft Heinz Co. | 4,176 | 149,918 | ||||||
The Kroger Co. | 3,489 | 157,912 | ||||||
The Procter & Gamble Co. | 13,115 | 2,145,352 | ||||||
The Simply Good Foods Co. (d) | 54 | 2,245 | ||||||
Tootsie Roll Industries, Inc. | 27 | 978 | ||||||
TreeHouse Foods, Inc. (d) | 385 | 15,604 | ||||||
Tyson Foods, Inc. - Class A | 1,376 | 119,932 | ||||||
United Natural Foods, Inc. (d) | 2,758 | 135,363 | ||||||
US Foods Holding Corp. (d) | 1,425 | 49,633 | ||||||
USANA Health Sciences, Inc. (d) | 118 | 11,942 | ||||||
Vector Group Ltd. | 938 | 10,768 | ||||||
Veru, Inc. (d) | 55 | 324 | ||||||
Walgreens Boots Alliance, Inc. | 4,199 | 219,020 | ||||||
Walmart, Inc. | 8,552 | 1,237,389 | ||||||
WD-40 Co. | 45 | 11,009 | ||||||
14,241,214 | ||||||||
Energy - 2.7% | ||||||||
Antero Midstream Corp. | 627 | 6,069 | ||||||
Antero Resources Corp. (d) | 2,370 | 41,475 | ||||||
APA Corp. | 2,303 | 61,928 | ||||||
Baker Hughes Co. | 4,245 | 102,135 | ||||||
Bristow Group, Inc. (d) | 100 | 3,167 | ||||||
California Resources Corp. | 128 | 5,467 | ||||||
Callon Petroleum Co. (d)(e) | 400 | 18,900 | ||||||
Centennial Resource Development, Inc. (d) | 2,750 | 16,445 | ||||||
ChampionX Corp. (d) | 730 | 14,753 | ||||||
Cheniere Energy, Inc. | 1,345 | 136,410 | ||||||
Chesapeake Energy Corp. | 450 | 29,034 | ||||||
Chevron Corp. | 10,518 | 1,234,287 | ||||||
Civitas Resources, Inc. | 919 | 45,003 | ||||||
Clean Energy Fuels Corp. (d) | 1,650 | 10,114 | ||||||
CNX Resources Corp. (d) | 1,650 | 22,687 | ||||||
ConocoPhillips | 7,521 | 542,866 | ||||||
CONSOL Energy, Inc. (d) | 206 | 4,678 | ||||||
Continental Resources, Inc. | 245 | 10,966 | ||||||
Coterra Energy, Inc. | 3,857 | 73,283 | ||||||
Delek US Holdings, Inc. (d) | 301 | 4,512 | ||||||
Denbury, Inc. (d) | 290 | 22,211 | ||||||
Devon Energy Corp. | 3,642 | 160,430 | ||||||
Diamondback Energy, Inc. | 850 | 91,673 | ||||||
Dril-Quip, Inc. (d) | 145 | 2,854 | ||||||
DT Midstream, Inc. | 511 | 24,518 | ||||||
EOG Resources, Inc. | 2,718 | 241,440 | ||||||
EQT Corp. (d) | 1,339 | 29,204 | ||||||
Equitrans Midstream Corp. | 1,178 | 12,181 | ||||||
Exxon Mobil Corp. | 22,547 | 1,379,651 | ||||||
Green Plains, Inc. (d) | 300 | 10,428 | ||||||
Halliburton Co. | 4,891 | 111,857 | ||||||
Helmerich & Payne, Inc. | 550 | 13,035 | ||||||
Hess Corp. | 1,270 | 94,018 | ||||||
HollyFrontier Corp. | 1,158 | 37,959 | ||||||
Kinder Morgan, Inc. | 11,670 | 185,086 | ||||||
Marathon Oil Corp. | 6,484 | 106,467 | ||||||
Marathon Petroleum Corp. | 3,591 | 229,788 | ||||||
Matador Resources Co. | 700 | 25,844 | ||||||
Murphy Oil Corp. | 1,025 | 26,763 | ||||||
New Fortress Energy, Inc. (e) | 840 | 20,278 | ||||||
NOV, Inc. | 2,661 | 36,057 | ||||||
Occidental Petroleum Corp. | 4,953 | 143,587 | ||||||
ONEOK, Inc. | 2,475 | 145,431 | ||||||
Ovintiv, Inc. | 1,330 | 44,821 | ||||||
PDC Energy, Inc. | 560 | 27,317 | ||||||
Phillips 66 | 2,463 | 178,469 | ||||||
Pioneer Natural Resources Co. | 1,417 | 257,724 | ||||||
Range Resources Corp. (d) | 1,350 | 24,071 | ||||||
Renewable Energy Group, Inc. (d) | 454 | 19,268 | ||||||
Schlumberger NV | 7,546 | 226,003 | ||||||
SFL Corp. Ltd. | 575 | 4,686 | ||||||
SM Energy Co. | 910 | 26,827 | ||||||
Southwestern Energy Co. (d) | 5,040 | 23,486 | ||||||
Targa Resources Corp. | 1,228 | 64,151 | ||||||
Texas Pacific Land Corp. | 95 | 118,643 | ||||||
The Williams Cos., Inc. | 6,580 | 171,343 | ||||||
Valero Energy Corp. | 2,404 | 180,564 | ||||||
Whiting Petroleum Corp. (d) | 440 | 28,459 | ||||||
6,930,771 | ||||||||
Financials - 11.8% | ||||||||
Affiliated Managers Group, Inc. | 138 | 22,702 | ||||||
Aflac, Inc. | 3,711 | 216,685 | ||||||
AGNC Investment Corp. | 3,245 | 48,805 | ||||||
Alleghany Corp. (d) | 76 | 50,737 | ||||||
Ally Financial, Inc. | 1,668 | 79,413 | ||||||
American Equity Investment Life Holding Co. | 605 | 23,547 | ||||||
American Express Co. | 3,784 | 619,062 | ||||||
American Financial Group, Inc. | 410 | 56,301 | ||||||
American International Group, Inc. | 4,530 | 257,576 | ||||||
American National Group, Inc. | 181 | 34,180 | ||||||
Ameriprise Financial, Inc. | 615 | 185,521 | ||||||
Ameris Bancorp | 300 | 14,904 | ||||||
Annaly Capital Management, Inc. | 7,739 | 60,519 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 560 | 7,370 | ||||||
Apollo Investment Corp. | 1,937 | 24,774 | ||||||
Arbor Realty Trust, Inc. | 2,031 | 37,208 | ||||||
Arch Capital Group Ltd. (d) | 1,747 | 77,654 | ||||||
Ares Capital Corp. (e) | 7,581 | 160,641 | ||||||
Argo Group International Holdings Ltd. | 71 | 4,126 | ||||||
ARMOUR Residential REIT, Inc. | 80 | 785 | ||||||
Arthur J Gallagher & Co. | 1,229 | 208,524 | ||||||
Artisan Partners Asset Management, Inc. - Class A | 300 | 14,292 | ||||||
Associated Banc-Corp | 900 | 20,331 | ||||||
Assurant, Inc. | 337 | 52,525 | ||||||
Assured Guaranty Ltd. | 517 | 25,953 | ||||||
Atlantic Union Bankshares Corp. | 275 | 10,255 | ||||||
Axis Capital Holdings Ltd. | 475 | 25,873 | ||||||
Axos Financial, Inc. (d) | 372 | 20,799 | ||||||
Bank of America Corp. | 43,222 | 1,922,947 | ||||||
Bank of Hawaii Corp. | 303 | 25,379 | ||||||
Bank OZK | 765 | 35,595 | ||||||
BankFinancial Corp. | 700 | 7,469 | ||||||
BankUnited, Inc. | 205 | 8,674 | ||||||
Banner Corp. | 300 | 18,201 | ||||||
Barings BDC, Inc. | 350 | 3,857 | ||||||
Berkshire Hathaway, Inc. - Class A (d) | 2 | 901,324 | ||||||
Berkshire Hathaway, Inc. - Class B (d) | 12,136 | 3,628,664 | ||||||
Berkshire Hills Bancorp, Inc. | 300 | 8,529 | ||||||
BlackRock, Inc. | 800 | 732,448 | ||||||
Blackstone Mortgage Trust, Inc. - Class A | 1,150 | 35,213 | ||||||
BOK Financial Corp. | 296 | 31,225 | ||||||
Bright Health Group, Inc. (d) | 2,671 | 9,188 | ||||||
Brighthouse Financial, Inc. (d) | 378 | 19,580 | ||||||
Brookline Bancorp, Inc. | 500 | 8,095 | ||||||
Brown & Brown, Inc. | 1,390 | 97,689 | ||||||
Cadence Bank | 675 | 20,108 | ||||||
Camden National Corp. | 150 | 7,224 | ||||||
Capital One Financial Corp. | 2,479 | 359,678 | ||||||
Capitol Federal Financial, Inc. | 1,000 | 11,330 | ||||||
Cathay General Bancorp | 463 | 19,904 | ||||||
Cboe Global Markets, Inc. | 520 | 67,808 | ||||||
Chimera Investment Corp. | 1,455 | 21,941 | ||||||
Cincinnati Financial Corp. | 885 | 100,828 | ||||||
CIT Group, Inc. | 710 | 36,451 | ||||||
Citigroup, Inc. | 11,080 | 669,121 | ||||||
Citizens Financial Group, Inc. | 2,555 | 120,724 | ||||||
CME Group, Inc. | 1,531 | 349,772 | ||||||
CNO Financial Group, Inc. | 1,100 | 26,224 | ||||||
Cohen & Steers, Inc. | 370 | 34,229 | ||||||
Coinbase Global, Inc. - Class A (d) | 1,123 | 283,412 | ||||||
Columbia Banking System, Inc. | 276 | 9,031 | ||||||
Comerica, Inc. | 603 | 52,461 | ||||||
Commerce Bancshares, Inc. | 496 | 34,095 | ||||||
Community Bank System, Inc. | 200 | 14,896 | ||||||
Community Trust Bancorp, Inc. | 110 | 4,797 | ||||||
Cowen, Inc. - Class A | 540 | 19,494 | ||||||
Crawford & Co. - Class B | 200 | 1,498 | ||||||
Credit Acceptance Corp. (d) | 52 | 35,759 | ||||||
CrossFirst Bankshares, Inc. (d) | 23 | 359 | ||||||
Cullen/Frost Bankers, Inc. | 480 | 60,514 | ||||||
CVB Financial Corp. | 600 | 12,846 | ||||||
Dime Co.mmunity Bancshares, Inc. | 300 | 10,548 | ||||||
Discover Financial Services | 1,735 | 200,497 | ||||||
Donnelley Financial Solutions, Inc. (d) | 159 | 7,495 | �� | |||||
Eagle Bancorp, Inc. | 300 | 17,502 | ||||||
East West Bancorp, Inc. | 515 | 40,520 | ||||||
Eastern Bankshares, Inc. | 969 | 19,545 | ||||||
eHealth, Inc. (d) | 175 | 4,462 | ||||||
Employers Holdings, Inc. | 75 | 3,103 | ||||||
Enstar Group Ltd. (d) | 120 | 29,711 | ||||||
Enterprise Financial Services Corp. | 50 | 2,354 | ||||||
Equitable Holdings, Inc. | 2,350 | 77,056 | ||||||
Erie Indemnity Co. - Class A | 44 | 8,477 | ||||||
Evercore, Inc. | 240 | 32,604 | ||||||
Everest Re Group Ltd. | 241 | 66,015 | ||||||
FactSet Research Systems, Inc. | 250 | 121,502 | ||||||
Federated Hermes, Inc. | 101 | 3,796 | ||||||
Fidelity National Financial, Inc. | 1,909 | 99,612 | ||||||
Fifth Third Bancorp | 3,499 | 152,381 | ||||||
First American Financial Corp. | 527 | 41,227 | ||||||
First BanCorp | 1,366 | 18,823 | ||||||
First Busey Corp. | 325 | 8,814 | ||||||
First Citizens BancShares, Inc. - Class A | 50 | 41,492 | ||||||
First Co.mmonwealth Financial Corp. | 800 | 12,872 | ||||||
First Financial Bankshares, Inc. | 600 | 30,504 | ||||||
First Financial Corp. | 100 | 4,529 | ||||||
First Hawaiian, Inc. | 300 | 8,199 | ||||||
First Horizon Corp. | 3,336 | 54,477 | ||||||
First Interstate BancSystem, Inc. | 300 | 12,201 | ||||||
First Merchants Corp. | 425 | 17,803 | ||||||
First Midwest Bancorp, Inc. | 800 | 16,384 | ||||||
First Republic Bank | 1,033 | 213,325 | ||||||
FirstCash Holdings, Inc. | 221 | 16,533 | ||||||
FNB Corp. | 2,460 | 29,840 | ||||||
Franklin Resources, Inc. | 1,443 | 48,326 | ||||||
FS KKR Capital Corp. | 1,771 | 37,085 | ||||||
Fulton Financial Corp. | 1,250 | 21,250 | ||||||
Glacier Bancorp, Inc. | 550 | 31,185 | ||||||
Globe Life, Inc. | 566 | 53,046 | ||||||
Great Ajax Corp. | 81 | 1,066 | ||||||
Golub Capital BDC, Inc. | 5,719 | 88,301 | ||||||
Green Dot Corp. - Class A (d) | 250 | 9,060 | ||||||
Hancock Whitney Corp. | 500 | 25,010 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 244 | 12,961 | ||||||
Heartland Financial USA, Inc. | 300 | 15,183 | ||||||
Hercules Capital, Inc. (e) | 775 | 12,857 | ||||||
Heritage Co.mmerce Corp. | 50 | 597 | ||||||
Hilltop Holdings, Inc. | 550 | 19,327 | ||||||
Home BancShares, Inc. | 950 | 23,132 | ||||||
Hope Bancorp, Inc. | 1,092 | 16,063 | ||||||
Horace Mann Educators Corp. | 375 | 14,512 | ||||||
Houlihan Lokey, Inc. | 72 | 7,453 | ||||||
Huntington Bancshares, Inc. | 8,469 | 130,592 | ||||||
Independent Bank Corp. | 300 | 24,459 | ||||||
Independent Bank Group, Inc. | 90 | 6,493 | ||||||
Interactive Brokers Group, Inc. - Class A | 500 | 39,710 | ||||||
Intercontinental Exchange, Inc. | 3,220 | 440,399 | ||||||
International Bancshares Corp. | 400 | 16,956 | ||||||
Invesco Ltd. | 2,285 | 52,601 | ||||||
Investors Bancorp, Inc. | 1,325 | 20,074 | ||||||
Jackson Financial, Inc. (e) | 646 | 27,022 | ||||||
Jefferies Financial Group, Inc. | 1,352 | 52,458 | ||||||
JPMorgan Chase & Co. | 16,220 | 2,568,437 | ||||||
Kemper Corp. | 300 | 17,637 | ||||||
KeyCorp | 5,045 | 116,691 | ||||||
Kinsale Capital Group, Inc. | 100 | 23,789 | ||||||
Lemonade, Inc. (d)(e) | 347 | 14,612 | ||||||
LendingTree, Inc. (d) | 30 | 3,678 | ||||||
Lincoln National Corp. | 1,109 | 75,700 | ||||||
Live Oak Bancshares, Inc. | 620 | 54,120 | ||||||
Loews Corp. | 1,050 | 60,648 | ||||||
LPL Financial Holdings, Inc. | 410 | 65,637 | ||||||
M&T Bank Corp. | 727 | 111,653 | ||||||
Main Street Capital Corp. (e) | 475 | 21,309 | ||||||
Markel Corp. (d) | 73 | 90,082 | ||||||
MarketAxess Holdings, Inc. | 191 | 78,553 | ||||||
MarketWise, Inc. (d) | 2,813 | 21,210 | ||||||
Marsh & McLennan Cos, Inc. | 2,824 | 490,868 | ||||||
Mercury General Corp. | 300 | 15,918 | ||||||
MetLife, Inc. | 4,313 | 269,519 | ||||||
MFA Financial, Inc. | 5,650 | 25,764 | ||||||
MGIC Investment Corp. | 1,500 | 21,630 | ||||||
Moody's Corp. | 998 | 389,799 | ||||||
Morgan Stanley | 8,479 | 832,299 | ||||||
Morningstar, Inc. | 120 | 41,039 | ||||||
MSCI, Inc. | 499 | 305,732 | ||||||
Nasdaq, Inc. | 600 | 126,006 | ||||||
Navient Corp. | 992 | 21,050 | ||||||
NBT Bancorp, Inc. | 200 | 7,704 | ||||||
Nelnet, Inc. - Class A | 25 | 2,442 | ||||||
New Mountain Finance Corp. | 650 | 8,905 | ||||||
New Residential Investment Corp. | 2,630 | 28,167 | ||||||
New York Co.mmunity Bancorp, Inc. | 3,062 | 37,387 | ||||||
NMI Holdings, Inc. - Class A (d) | 620 | 13,547 | ||||||
Northern Trust Corp. | 1,113 | 133,126 | ||||||
Northwest Bancshares, Inc. | 875 | 12,390 | ||||||
OceanFirst Financial Corp. | 100 | 2,220 | ||||||
OFG Bancorp | 432 | 11,474 | ||||||
Old National Bancorp | 950 | 17,214 | ||||||
Old Republic International Corp. | 1,661 | 40,827 | ||||||
OneMain Holdings, Inc. | 760 | 38,030 | ||||||
Open Lending Corp. - Class A (d) | 622 | 13,983 | ||||||
Orchid Island Capital, Inc. | 3,770 | 16,965 | ||||||
Owl Rock Capital Corp. | 1,926 | 27,272 | ||||||
Pacific Premier Bancorp, Inc. | 300 | 12,009 | ||||||
PacWest Bancorp | 817 | 36,904 | ||||||
Palomar Holdings, Inc. (d) | 210 | 13,602 | ||||||
Park National Corp. | 87 | 11,946 | ||||||
PennantPark Floating Rate Capital Ltd. | 1,205 | 15,388 | ||||||
PennyMac Financial Services, Inc. | 97 | 6,769 | ||||||
PennyMac Mortgage Investment Trust | 450 | 7,798 | ||||||
People's United Financial, Inc. | 2,517 | 44,853 | ||||||
Pinnacle Financial Partners, Inc. | 291 | 27,791 | ||||||
Piper Sandler Cos | 702 | 125,314 | ||||||
Popular, Inc. | 282 | 23,135 | ||||||
PRA Group, Inc. (d) | 300 | 15,063 | ||||||
Premier Financial Corp. | 117 | 3,616 | ||||||
Primerica, Inc. | 130 | 19,925 | ||||||
Principal Financial Group, Inc. | 1,172 | 84,771 | ||||||
ProAssurance Corp. | 230 | 5,819 | ||||||
PROG Holdings, Inc. | 400 | 18,044 | ||||||
Prospect Capital Corp. | 2,650 | 22,287 | ||||||
Prosperity Bancshares, Inc. | 650 | 46,995 | ||||||
Provident Financial Services, Inc. | 600 | 14,532 | ||||||
Prudential Financial, Inc. | 2,250 | 243,540 | ||||||
Radian Group, Inc. | 1,165 | 24,616 | ||||||
Raymond James Financial, Inc. | 1,057 | 106,123 | ||||||
Ready Capital Corp. | 139 | 2,173 | ||||||
Regions Financial Corp. | 4,801 | 104,662 | ||||||
Reinsurance Group of America, Inc. | 373 | 40,840 | ||||||
RenaissanceRe Holdings Ltd. | 140 | 23,706 | ||||||
Renasant Corp. | 400 | 15,180 | ||||||
RLI Corp. | 195 | 21,860 | ||||||
Robinhood Markets, Inc. (d)(e) | 588 | 10,443 | ||||||
S&P Global, Inc. | 1,312 | 619,172 | ||||||
S&T Bancorp, Inc. | 350 | 11,032 | ||||||
Sandy Spring Bancorp, Inc. | 300 | 14,424 | ||||||
Seacoast Banking Corp. of Florida | 150 | 5,309 | ||||||
SEI Investments Co. | 605 | 36,869 | ||||||
Selective Insurance Group, Inc. | 300 | 24,582 | ||||||
Selectquote, Inc. (d) | 890 | 8,063 | ||||||
ServisFirst Bancshares, Inc. | 400 | 33,976 | ||||||
Signature Bank | 304 | 98,335 | ||||||
Silvergate Capital Corp. - Class A (d) | 49 | 7,262 | ||||||
Simmons First National Corp. - Class A | 438 | 12,956 | ||||||
Sixth Street Specialty Lending, Inc. | 1,110 | 25,963 | ||||||
SLM Corp. | 1,300 | 25,571 | ||||||
SLR Investment Corp. | 500 | 9,215 | ||||||
SouthState Corp. | 290 | 23,232 | ||||||
Starwood Property Trust, Inc. | 1,825 | 44,348 | ||||||
State Street Corp. | 1,866 | 173,538 | ||||||
Sterling Bancorp | 405 | 10,445 | ||||||
Stewart Information Services Corp. | 300 | 23,919 | ||||||
Stifel Financial Corp. | 510 | 35,914 | ||||||
StoneX Group, Inc. (d) | 150 | 9,188 | ||||||
SVB Financial Group (d) | 330 | 223,819 | ||||||
Synchrony Financial | 2,665 | 123,629 | ||||||
Synovus Financial Corp. | 847 | 40,546 | ||||||
T Rowe Price Group, Inc. | 1,270 | 249,733 | ||||||
TCG BDC, Inc. | 1,197 | 16,435 | ||||||
Texas Capital Bancshares, Inc. (d) | 384 | 23,136 | ||||||
TFS Financial Corp. | 525 | 9,382 | ||||||
The Allstate Corp. | 1,603 | 188,593 | ||||||
The Bancorp, Inc. (d) | 50 | 1,265 | ||||||
The Bank of New York Mellon Corp. | 4,513 | 262,115 | ||||||
The Charles Schwab Corp. | 9,840 | 827,544 | ||||||
The Goldman Sachs Group, Inc. | 1,932 | 739,087 | ||||||
The Hanover Insurance Group, Inc. | 108 | 14,154 | ||||||
The Hartford Financial Services Group, Inc. | 1,804 | 124,548 | ||||||
The PNC Financial Services Group, Inc. | 2,354 | 472,024 | ||||||
The Progressive Corp. | 3,285 | 337,205 | ||||||
The Travelers Cos., Inc. | 1,299 | 203,203 | ||||||
Tompkins Financial Corp. | 105 | 8,776 | ||||||
Towne Bank/Portsmouth VA | 553 | 17,469 | ||||||
TPG RE Finance Trust, Inc. | 754 | 9,289 | ||||||
Tradeweb Markets, Inc. - Class A | 390 | 39,055 | ||||||
TriCo Bancshares | 109 | 4,683 | ||||||
Triumph Bancorp, Inc. (d) | 1,558 | 185,527 | ||||||
Truist Financial Corp. | 7,468 | 437,251 | ||||||
Trupanion, Inc. (d) | 270 | 35,648 | ||||||
Trustmark Corp. | 425 | 13,796 | ||||||
UMB Financial Corp. | 243 | 25,785 | ||||||
Umpqua Holdings Corp. | 1,500 | 28,860 | ||||||
United Bankshares, Inc. | 553 | 20,063 | ||||||
United Co.mmunity Banks, Inc. | 474 | 17,036 | ||||||
United Security Bancshares | 406 | 3,297 | ||||||
Unum Group | 1,407 | 34,570 | ||||||
Upstart Holdings, Inc. (d) | 359 | 54,317 | ||||||
US Bancorp | 7,750 | 435,318 | ||||||
Valley National Bancorp | 2,390 | 32,863 | ||||||
Virtus Investment Partners, Inc. | 48 | 14,261 | ||||||
Voya Financial, Inc. | 460 | 30,503 | ||||||
W R Berkley Corp. | 767 | 63,193 | ||||||
Walker & Dunlop, Inc. | 280 | 42,246 | ||||||
Washington Federal, Inc. | 433 | 14,454 | ||||||
Washington Trust Bancorp, Inc. | 100 | 5,637 | ||||||
Webster Financial Corp. | 3,654 | 204,039 | ||||||
Wells Fargo & Co. | 22,815 | 1,094,664 | ||||||
WesBanco, Inc. | 350 | 12,247 | ||||||
Westamerica BanCorp | 83 | 4,792 | ||||||
Western Alliance Bancorp | 573 | 61,683 | ||||||
Western New England Bancorp, Inc. | 200 | 1,752 | ||||||
White Mountains Insurance Group Ltd. | 20 | 20,278 | ||||||
Wintrust Financial Corp. | 142 | 12,896 | ||||||
Zions Bancorp NA | 940 | 59,370 | ||||||
30,481,110 | ||||||||
Health Care - 12.9% | ||||||||
1Life Healthcare, Inc. (d) | 520 | 9,136 | ||||||
2seventy bio, Inc. (d) | 149 | 3,819 | ||||||
Abbott Laboratories | 9,928 | 1,397,267 | ||||||
AbbVie, Inc. | 9,696 | 1,312,838 | ||||||
ABIOMED, Inc. (d) | 250 | 89,792 | ||||||
Acadia Healthcare Co., Inc. (d) | 395 | 23,976 | ||||||
ACADIA Pharmaceuticals, Inc. (d) | 735 | 17,155 | ||||||
Accolade, Inc. (d) | 570 | 15,025 | ||||||
Adaptive Biotechnologies Corp. (d) | 350 | 9,821 | ||||||
Addus HomeCare Corp. (d) | 70 | 6,546 | ||||||
Aerie Pharmaceuticals, Inc. (d) | 350 | 2,457 | ||||||
Agilent Technologies, Inc. | 1,617 | 258,154 | ||||||
agilon health, Inc. (d)(e) | 1,000 | 27,000 | ||||||
Agios Pharmaceuticals, Inc. (d) | 300 | 9,861 | ||||||
Alector, Inc. (d) | 560 | 11,564 | ||||||
Align Technology, Inc. (d) | 448 | 294,417 | ||||||
Alkermes PLC (d) | 1,000 | 23,260 | ||||||
Allakos, Inc. (d) | 160 | 1,566 | ||||||
Allogene Therapeutics, Inc. (d) | 500 | 7,460 | ||||||
Alnylam Pharmaceuticals, Inc. (d) | 553 | 93,778 | ||||||
ALX Oncology Holdings, Inc. (d) | 109 | 2,342 | ||||||
Amedisys, Inc. (d) | 201 | 32,538 | ||||||
AmerisourceBergen Corp. | 900 | 119,601 | ||||||
Amgen, Inc. | 2,944 | 662,312 | ||||||
Amicus Therapeutics, Inc. (d) | 1,225 | 14,149 | ||||||
AMN Healthcare Services, Inc. (d) | 250 | 30,582 | ||||||
Amneal Pharmaceuticals, Inc. (d) | 650 | 3,113 | ||||||
Anika Therapeutics, Inc. (d) | 100 | 3,583 | ||||||
Anthem, Inc. | 1,340 | 621,144 | ||||||
Apellis Pharmaceuticals, Inc. (d) | 430 | 20,330 | ||||||
Apollo Medical Holdings, Inc. (d)(e) | 202 | 14,843 | ||||||
Arena Pharmaceuticals, Inc. (d) | 440 | 40,894 | ||||||
Arrowhead Pharmaceuticals, Inc. (d) | 460 | 30,498 | ||||||
Arvinas, Inc. (d) | 370 | 30,392 | ||||||
Atara Biotherapeutics, Inc. (d) | 400 | 6,304 | ||||||
AtriCure, Inc. (d) | 400 | 27,812 | ||||||
Avanos Medical, Inc. (d) | 297 | 10,297 | ||||||
Avantor, Inc. (d) | 2,790 | 117,571 | ||||||
Axonics, Inc. (d) | 360 | 20,160 | ||||||
Axsome Therapeutics, Inc. (d) | 220 | 8,312 | ||||||
Baxter International, Inc. | 2,723 | 233,742 | ||||||
Beam Therapeutics, Inc. (d) | 280 | 22,313 | ||||||
Becton Dickinson and Co. | 1,582 | 397,841 | ||||||
Berkeley Lights, Inc. (d) | 490 | 8,908 | ||||||
BioCryst Pharmaceuticals, Inc. (d) | 1,160 | 16,066 | ||||||
Biogen, Inc. (d) | 703 | 168,664 | ||||||
BioMarin Pharmaceutical, Inc. (d) | 738 | 65,202 | ||||||
Bio-Rad Laboratories, Inc. (d) | 99 | 74,801 | ||||||
Bio-Techne Corp. | 232 | 120,023 | ||||||
Bluebird Bio, Inc. (d) | 448 | 4,476 | ||||||
Blueprint Medicines Corp. (d) | 320 | 34,275 | ||||||
Boston Scientific Corp. (d) | 7,907 | 335,889 | ||||||
Bridgebio Pharma, Inc. (d)(e) | 590 | 9,841 | ||||||
Bristol-Myers Squibb Co. | 12,426 | 774,761 | ||||||
Bruker Corp. | 305 | 25,593 | ||||||
C4 Therapeutics, Inc. (d) | 657 | 21,155 | ||||||
Cardinal Health, Inc. | 1,718 | 88,460 | ||||||
CareDx, Inc. (d) | 240 | 10,915 | ||||||
Catalent, Inc. (d) | 900 | 115,227 | ||||||
Celldex Therapeutics, Inc. (d) | 450 | 17,388 | ||||||
Centene Corp. (d) | 3,068 | 252,803 | ||||||
Cerner Corp. | 1,670 | 155,093 | ||||||
Certara, Inc. (d) | 880 | 25,010 | ||||||
Cerus Corp. (d) | 377 | 2,567 | ||||||
Change Healthcare, Inc. (d) | 1,570 | 33,567 | ||||||
Charles River Laboratories International, Inc. (d) | 277 | 104,368 | ||||||
Chemed Corp. | 96 | 50,788 | ||||||
ChemoCentryx, Inc. (d) | 430 | 15,656 | ||||||
Cigna Corp. | 1,801 | 413,564 | ||||||
Codexis, Inc. (d) | 115 | 3,596 | ||||||
Computer Programs and Systems, Inc. (d) | 100 | 2,930 | ||||||
CONMED Corp. | 110 | 15,594 | ||||||
Corcept Therapeutics, Inc. (d) | 430 | 8,514 | ||||||
Covetrus, Inc. (d) | 356 | 7,109 | ||||||
CryoPort, Inc. (d) | 420 | 24,851 | ||||||
CVS Health Corp. | 6,886 | 710,360 | ||||||
Cytokinetics, Inc. (d)(e) | 108 | 4,923 | ||||||
Danaher Corp. | 3,890 | 1,279,849 | ||||||
DaVita, Inc. (d) | 324 | 36,858 | ||||||
Deciphera Pharmaceuticals, Inc. (d) | 330 | 3,224 | ||||||
Denali Therapeutics, Inc. (d) | 470 | 20,962 | ||||||
DENTSPLY SIRONA, Inc. | 1,122 | 62,596 | ||||||
Dexcom, Inc. (d) | 510 | 273,844 | ||||||
Doximity, Inc. - Class A (d) | 699 | 35,041 | ||||||
Editas Medicine, Inc. (d) | 320 | 8,496 | ||||||
Edwards Lifesciences Corp. (d) | 3,609 | 467,546 | ||||||
Elanco Animal Health, Inc. (d) | 2,190 | 62,152 | ||||||
Eli Lilly & Co. | 4,598 | 1,270,060 | ||||||
Emergent BioSolutions, Inc. (d) | 293 | 12,737 | ||||||
Encompass Health Corp. | 650 | 42,419 | ||||||
Envista Holdings Corp. (d)(e) | 535 | 24,107 | ||||||
Evolent Health, Inc. (d) | 740 | 20,476 | ||||||
Exact Sciences Corp. (d) | 865 | 67,323 | ||||||
Exelixis, Inc. (d) | 1,985 | 36,286 | ||||||
Fate Therapeutics, Inc. (d) | 590 | 34,521 | ||||||
FibroGen, Inc. (d) | 750 | 10,575 | ||||||
Gilead Sciences, Inc. | 6,200 | 450,182 | ||||||
Ginkgo Bioworks Holdings, Inc. (d) | 25,549 | 212,312 | ||||||
Glaukos Corp. (d) | 280 | 12,443 | ||||||
Global Blood Therapeutics, Inc. (d) | 370 | 10,830 | ||||||
Globus Medical, Inc. - Class A (d) | 340 | 24,548 | ||||||
Guardant Health, Inc. (d) | 570 | 57,011 | ||||||
Haemonetics Corp. (d) | 250 | 13,260 | ||||||
Halozyme Therapeutics, Inc. (d) | 830 | 33,374 | ||||||
HCA Healthcare, Inc. | 1,330 | 341,704 | ||||||
Health Catalyst, Inc. (d) | 60 | 2,377 | ||||||
HealthEquity, Inc. (d) | 430 | 19,023 | ||||||
Heat Biologics, Inc. (d) | 4,119 | 12,522 | ||||||
Henry Schein, Inc. (d) | 890 | 69,002 | ||||||
Heska Corp. (d) | 168 | 30,658 | ||||||
Hologic, Inc. (d) | 1,006 | 77,019 | ||||||
Homology Medicines, Inc. (d) | 340 | 1,238 | ||||||
Horizon Therapeutics PLC (d) | 1,573 | 169,506 | ||||||
Humana, Inc. | 619 | 287,129 | ||||||
ICU Medical, Inc. (d) | 100 | 23,734 | ||||||
IDEXX Laboratories, Inc. (d) | 479 | 315,402 | ||||||
Illumina, Inc. (d) | 767 | 291,797 | ||||||
Inari Medical, Inc. (d) | 210 | 19,167 | ||||||
Incyte Corp. (d) | 1,133 | 83,162 | ||||||
Insmed, Inc. (d) | 760 | 20,702 | ||||||
Inspire Medical Systems, Inc. (d) | 110 | 25,307 | ||||||
Insulet Corp. (d) | 285 | 75,830 | ||||||
Integer Holdings Corp. (d) | 300 | 25,677 | ||||||
Integra LifeSciences Holdings Corp. (d) | 378 | 25,322 | ||||||
Intellia Therapeutics, Inc. (d) | 290 | 34,290 | ||||||
Intercept Pharmaceuticals, Inc. (d) | 137 | 2,232 | ||||||
Intuitive Surgical, Inc. (d) | 1,947 | 699,557 | ||||||
Invitae Corp. (d) | 1,350 | 20,615 | ||||||
Ionis Pharmaceuticals, Inc. (d) | 700 | 21,301 | ||||||
IQVIA Holdings, Inc. (d) | 1,081 | 304,993 | ||||||
iRhythm Technologies, Inc. (d) | 130 | 15,300 | ||||||
Ironwood Pharmaceuticals, Inc. (d) | 1,000 | 11,660 | ||||||
Johnson & Johnson | 14,272 | 2,441,511 | ||||||
Kodiak Sciences, Inc. (d) | 300 | 25,434 | ||||||
Kymera Therapeutics, Inc. (d) | 608 | 38,602 | ||||||
Laboratory Corp. of America Holdings (d) | 498 | 156,477 | ||||||
LHC Group, Inc. (d) | 170 | 23,329 | ||||||
Ligand Pharmaceuticals, Inc. (d) | 164 | 25,331 | ||||||
Madrigal Pharmaceuticals, Inc. (d) | 60 | 5,084 | ||||||
Magellan Health, Inc. (d) | 100 | 9,499 | ||||||
Maravai LifeSciences Holdings, Inc. (d) | 103 | 4,316 | ||||||
Masimo Corp. (d) | 300 | 87,834 | ||||||
McKesson Corp. | 888 | 220,730 | ||||||
MEDNAX, Inc. (d) | 600 | 16,326 | ||||||
Medpace Holdings, Inc. (d) | 100 | 21,764 | ||||||
Merck & Co., Inc. | 14,000 | 1,072,960 | ||||||
Meridian Bioscience, Inc. (d) | 375 | 7,650 | ||||||
Merit Medical Systems, Inc. (d) | 176 | 10,965 | ||||||
Mettler-Toledo International, Inc. (d) | 120 | 203,665 | ||||||
Moderna, Inc. (d) | 2,024 | 514,056 | ||||||
ModivCare, Inc. (d) | 60 | 8,897 | ||||||
Molina Healthcare, Inc. (d) | 300 | 95,424 | ||||||
Myriad Genetics, Inc. (d) | 450 | 12,420 | ||||||
NanoString Technologies, Inc. (d) | 300 | 12,669 | ||||||
Natera, Inc. (d) | 550 | 51,365 | ||||||
Natus Medical, Inc. (d) | 75 | 1,780 | ||||||
Nektar Therapeutics (d) | 650 | 8,782 | ||||||
Neogen Corp. (d) | 292 | 13,260 | ||||||
NeoGenomics, Inc. (d) | 690 | 23,543 | ||||||
Neurocrine Biosciences, Inc. (d) | 460 | 39,178 | ||||||
Nevro Corp. (d) | 162 | 13,133 | ||||||
NextGen Healthcare, Inc. (d) | 305 | 5,426 | ||||||
Novavax, Inc. (d) | 415 | 59,374 | ||||||
NuVasive, Inc. (d) | 290 | 15,219 | ||||||
Oak Street Health, Inc. (d) | 855 | 28,335 | ||||||
Ocugen, Inc. (d)(e) | 680 | 3,094 | ||||||
Omnicell, Inc. (d) | 195 | 35,186 | ||||||
Option Care Health, Inc. (d) | 766 | 21,785 | ||||||
Organon & Co. | 1,475 | 44,914 | ||||||
Owens & Minor, Inc. | 620 | 26,970 | ||||||
Pacific Biosciences of California, Inc. (d) | 1,120 | 22,915 | ||||||
Patterson Cos, Inc. | 575 | 16,876 | ||||||
PDS Biotechnology Corp. (d) | 151 | 1,223 | ||||||
Penumbra, Inc. (d) | 196 | 56,315 | ||||||
PerkinElmer, Inc. | 1,481 | 297,770 | ||||||
Pfizer, Inc. | 31,563 | 1,863,795 | ||||||
Phreesia, Inc. (d) | 360 | 14,998 | ||||||
Premier, Inc. - Class A | 785 | 32,318 | ||||||
Prestige Co.nsumer Healthcare, Inc. (d) | 350 | 21,228 | ||||||
Pro-Dex, Inc. (d) | 10 | 239 | ||||||
Progyny, Inc. (d) | 520 | 26,182 | ||||||
PTC Therapeutics, Inc. (d) | 470 | 18,720 | ||||||
Quest Diagnostics, Inc. | 682 | 117,993 | ||||||
Quidel Corp. (d) | 180 | 24,298 | ||||||
R1 RCM, Inc. (d) | 640 | 16,314 | ||||||
Reata Pharmaceuticals, Inc. (d) | 130 | 3,428 | ||||||
Regeneron Pharmaceuticals, Inc. (d) | 382 | 241,241 | ||||||
Relay Therapeutics, Inc. (d) | 620 | 19,040 | ||||||
Repligen Corp. (d) | 300 | 79,452 | ||||||
ResMed, Inc. | 736 | 191,713 | ||||||
Revance Therapeutics, Inc. (d) | 710 | 11,587 | ||||||
REVOLUTION Medicines, Inc. (d) | 530 | 13,340 | ||||||
Rocket Pharmaceuticals, Inc. (d) | 400 | 8,732 | ||||||
Royalty Pharma PLC - Class A | 460 | 18,331 | ||||||
Sage Therapeutics, Inc. (d) | 300 | 12,762 | ||||||
Sana Biotechnology, Inc. (d) | 136 | 2,105 | ||||||
Sangamo Therapeutics, Inc. (d) | 730 | 5,475 | ||||||
Sarepta Therapeutics, Inc. (d) | 380 | 34,219 | ||||||
Seagen, Inc. (d) | 957 | 147,952 | ||||||
Select Medical Holdings Corp. | 1,104 | 32,458 | ||||||
Sharecare, Inc. (d) | 2,726 | 12,240 | ||||||
Shockwave Medical, Inc. (d) | 150 | 26,750 | ||||||
Silk Road Medical, Inc. (d) | 280 | 11,931 | ||||||
Sotera Health Co. (d) | 870 | 20,489 | ||||||
Spero Therapeutics, Inc. (d) | 322 | 5,155 | ||||||
SpringWorks Therapeutics, Inc. (d) | 280 | 17,354 | ||||||
STAAR Surgical Co. (d) | 280 | 25,564 | ||||||
Stryker Corp. | 1,927 | 515,318 | ||||||
Syneos Health, Inc. (d) | 300 | 30,804 | ||||||
Tandem Diabetes Care, Inc. (d) | 236 | 35,523 | ||||||
Teladoc Health, Inc. (d) | 839 | 77,037 | ||||||
Teleflex, Inc. | 260 | 85,405 | ||||||
Tenet Healthcare Corp. (d) | 631 | 51,546 | ||||||
The Cooper Cos, Inc. | 240 | 100,546 | ||||||
The Ensign Group, Inc. | 300 | 25,188 | ||||||
The Pennant Group, Inc. (d) | 150 | 3,462 | ||||||
Thermo Fisher Scientific, Inc. | 2,193 | 1,463,257 | ||||||
Tilray, Inc. (d)(e) | 2,667 | 18,749 | ||||||
Tivity Health, Inc. (d) | 64 | 1,692 | ||||||
Turning Point Therapeutics, Inc. (d) | 310 | 14,787 | ||||||
Twist Bioscience Corp. (d) | 260 | 20,121 | ||||||
Ultragenyx Pharmaceutical, Inc. (d) | 207 | 17,407 | ||||||
United Therapeutics Corp. (d) | 288 | 62,231 | ||||||
UnitedHealth Group, Inc. | 5,267 | 2,644,771 | ||||||
Universal Health Services, Inc. | 482 | 62,496 | ||||||
Varex Imaging Corp. (d) | 282 | 8,897 | ||||||
Veeva Systems, Inc. - Class A (d) | 565 | 144,346 | ||||||
Veracyte, Inc. (d) | 440 | 18,128 | ||||||
Vericel Corp. (d) | 230 | 9,039 | ||||||
Vertex Pharmaceuticals, Inc. (d) | 1,399 | 307,220 | ||||||
Viatris, Inc. | 6,317 | 85,469 | ||||||
Vir Biotechnology, Inc. (d) | 580 | 24,285 | ||||||
Waters Corp. (d) | 324 | 120,722 | ||||||
West Pharmaceutical Services, Inc. | 362 | 169,782 | ||||||
Y-mAbs Therapeutics, Inc. (d) | 370 | 5,998 | ||||||
Zentalis Pharmaceuticals, Inc. (d) | 1,182 | 99,359 | ||||||
Zimmer Biomet Holdings, Inc. | 1,172 | 148,891 | ||||||
Zoetis, Inc. | 2,665 | 650,340 | ||||||
Zogenix, Inc. (d) | 410 | 6,663 | ||||||
33,326,028 | ||||||||
Industrials - 8.5% | ||||||||
3M Co. | 3,161 | 561,488 | ||||||
A O Smith Corp. | 716 | 61,469 | ||||||
AAON, Inc. | 165 | 13,106 | ||||||
AAR Corp. (d) | 300 | 11,709 | ||||||
ABM Industries, Inc. | 500 | 20,425 | ||||||
ACCO Brands Corp. | 825 | 6,814 | ||||||
Acuity Brands, Inc. | 226 | 47,849 | ||||||
Advanced Drainage Systems, Inc. | 270 | 36,755 | ||||||
AECOM (d) | 497 | 38,443 | ||||||
Aerojet Rocketdyne Holdings, Inc. | 400 | 18,704 | ||||||
AeroVironment, Inc. (d) | 21 | 1,303 | ||||||
AGCO Corp. | 400 | 46,408 | ||||||
Air Lease Corp. | 600 | 26,538 | ||||||
Air Transport Services Group, Inc. (d) | 670 | 19,685 | ||||||
Alaska Air Group, Inc. (d) | 484 | 25,216 | ||||||
Albany International Corp. - Class A | 100 | 8,845 | ||||||
Allegiant Travel Co. (d) | 73 | 13,654 | ||||||
Allison Transmission Holdings, Inc. | 625 | 22,719 | ||||||
Altra Industrial Motion Corp. | 300 | 15,471 | ||||||
AMERCO | 70 | 50,836 | ||||||
American Airlines Group, Inc. (d) | 3,840 | 68,966 | ||||||
American Woodmark Corp. (d) | 130 | 8,476 | ||||||
AMETEK, Inc. | 1,150 | 169,096 | ||||||
Applied Industrial Technologies, Inc. | 86 | 8,832 | ||||||
Armstrong World Industries, Inc. | 200 | 23,224 | ||||||
ASGN, Inc. (d) | 250 | 30,850 | ||||||
Astec Industries, Inc. | 200 | 13,854 | ||||||
Atkore, Inc. (d) | 190 | 21,126 | ||||||
Avis Budget Group, Inc. (d) | 241 | 49,976 | ||||||
Axon Enterprise, Inc. (d) | 325 | 51,025 | ||||||
Beacon Roofing Supply, Inc. (d) | 500 | 28,675 | ||||||
Boise Cascade Co. | 57 | 4,058 | ||||||
Booz Allen Hamilton Holding Corp. | 457 | 38,749 | ||||||
Brady Corp. - Class A | 145 | 7,815 | ||||||
Builders FirstSource, Inc. (d) | 1,004 | 86,053 | ||||||
BWX Technologies, Inc. | 292 | 13,981 | ||||||
CACI International, Inc. - Class A (d) | 84 | 22,614 | ||||||
Canadian Pacific Railway Ltd. | 1,497 | 107,679 | ||||||
Carlisle Cos, Inc. | 293 | 72,699 | ||||||
Carrier Global Corp. | 4,158 | 225,530 | ||||||
Casella Waste Systems, Inc. (d) | 100 | 8,542 | ||||||
Caterpillar, Inc. | 2,883 | 596,031 | ||||||
CH Robinson Worldwide, Inc. | 740 | 79,646 | ||||||
ChargePoint Holdings, Inc. (d)(e) | 1,053 | 20,060 | ||||||
Chart Industries, Inc. (d) | 173 | 27,592 | ||||||
Cintas Corp. | 521 | 230,892 | ||||||
Clean Harbors, Inc. (d) | 154 | 15,365 | ||||||
Colfax Corp. (d) | 585 | 26,892 | ||||||
Comfort Systems USA, Inc. | 110 | 10,883 | ||||||
Copart, Inc. (d) | 1,314 | 199,229 | ||||||
CoreCivic, Inc. (d) | 799 | 7,966 | ||||||
CoStar Group, Inc. (d) | 2,150 | 169,914 | ||||||
Covenant Logistics Group, Inc. (d) | 100 | 2,643 | ||||||
Crane Co. | 325 | 33,062 | ||||||
CSX Corp. | 11,317 | 425,519 | ||||||
Cummins, Inc. | 769 | 167,750 | ||||||
Curtiss-Wright Corp. | 300 | 41,601 | ||||||
Deere & Co. | 1,618 | 554,796 | ||||||
Delta Air Lines, Inc. (d) | 3,390 | 132,481 | ||||||
Deluxe Corp. | 200 | 6,422 | ||||||
Donaldson Co., Inc. | 545 | 32,297 | ||||||
Dover Corp. | 761 | 138,198 | ||||||
Dun & Bradstreet Holdings, Inc. (d) | 770 | 15,777 | ||||||
DXP Enterprises, Inc. (d) | 100 | 2,567 | ||||||
Dycom Industries, Inc. (d) | 11 | 1,031 | ||||||
Eaton Corp. PLC | 2,264 | 391,264 | ||||||
EMCOR Group, Inc. | 230 | 29,300 | ||||||
Emerson Electric Co. | 3,086 | 286,905 | ||||||
Encore Wire Corp. | 654 | 93,587 | ||||||
Energy Recovery, Inc. (d) | 500 | 10,745 | ||||||
Enerpac Tool Group Corp. | 290 | 5,881 | ||||||
EnerSys | 375 | 29,648 | ||||||
Ennis, Inc. | 50 | 977 | ||||||
Equifax, Inc. | 645 | 188,850 | ||||||
ESCO Technologies, Inc. | 200 | 17,998 | ||||||
Evoqua Water Technologies Corp. (d) | 900 | 42,075 | ||||||
Expeditors International of Washington, Inc. | 834 | 111,998 | ||||||
Exponent, Inc. | 310 | 36,186 | ||||||
Fastenal Co. | 3,150 | 201,789 | ||||||
Federal Signal Corp. | 475 | 20,587 | ||||||
FedEx Corp. | 1,357 | 350,974 | ||||||
Flowserve Corp. | 815 | 24,939 | ||||||
Fluor Corp. (d) | 1,086 | 26,900 | ||||||
Fortive Corp. | 1,993 | 152,046 | ||||||
Fortune Brands Home & Security, Inc. | 640 | 68,416 | ||||||
Franklin Electric Co., Inc. | 275 | 26,004 | ||||||
FTI Co.nsulting, Inc. (d) | 80 | 12,274 | ||||||
FuelCell Energy, Inc. (d)(e) | 3,080 | 16,016 | ||||||
GATX Corp. | 45 | 4,689 | ||||||
Generac Holdings, Inc. (d) | 377 | 132,674 | ||||||
General Dynamics Corp. | 1,387 | 289,148 | ||||||
General Electric Co. | 5,528 | 522,230 | ||||||
Global Industrial Co. | 10 | 409 | ||||||
Graco, Inc. | 1,039 | 83,764 | ||||||
GrafTech International Ltd. | 1,920 | 22,714 | ||||||
Griffon Corp. | 260 | 7,405 | ||||||
GXO Logistics, Inc. (d) | 395 | 35,878 | ||||||
H&E Equipment Services, Inc. | 325 | 14,388 | ||||||
Hawaiian Holdings, Inc. (d) | 325 | 5,970 | ||||||
Healthcare Services Group, Inc. | 375 | 6,671 | ||||||
HEICO Corp. | 251 | 36,199 | ||||||
HEICO Corp. - Class A | 472 | 60,661 | ||||||
Helios Technologies, Inc. | 781 | 82,138 | ||||||
Herc Holdings, Inc. | 143 | 22,387 | ||||||
Hexcel Corp. (d) | 320 | 16,576 | ||||||
Hillenbrand, Inc. | 325 | 16,897 | ||||||
HNI Corp. | 100 | 4,205 | ||||||
Honeywell International, Inc. | 3,722 | 776,074 | ||||||
Howmet Aerospace, Inc. | 2,411 | 76,742 | ||||||
Hub Group, Inc. - Class A (d) | 50 | 4,212 | ||||||
Hubbell, Inc. | 318 | 66,230 | ||||||
Huntington Ingalls Industries, Inc. | 249 | 46,498 | ||||||
Huron Co.nsulting Group, Inc. (d) | 200 | 9,980 | ||||||
IAA, Inc. (d) | 518 | 26,221 | ||||||
IDEX Corp. | 437 | 103,272 | ||||||
IES Holdings, Inc. (d) | 60 | 3,038 | ||||||
Illinois Tool Works, Inc. | 1,583 | 390,684 | ||||||
Ingersoll Rand, Inc. | 1,810 | 111,985 | ||||||
Insperity, Inc. | 67 | 7,913 | ||||||
ITT, Inc. | 280 | 28,613 | ||||||
Jacobs Engineering Group, Inc. | 650 | 90,500 | ||||||
JB Hunt Transport Services, Inc. | 419 | 85,644 | ||||||
JELD-WEN Holding, Inc. (d) | 30 | 791 | ||||||
JetBlue Airways Corp. (d) | 1,750 | 24,920 | ||||||
John Bean Technologies Corp. | 151 | 23,188 | ||||||
Johnson Co.ntrols International plc | 4,150 | 337,437 | ||||||
Kadant, Inc. | 96 | 22,126 | ||||||
KAR Auction Services, Inc. (d) | 975 | 15,230 | ||||||
KBR, Inc. | 925 | 44,049 | ||||||
Kennametal, Inc. | 475 | 17,057 | ||||||
Kforce, Inc. | 150 | 11,283 | ||||||
Kirby Corp. (d) | 300 | 17,826 | ||||||
Knight-Swift Transportation Holdings, Inc. | 638 | 38,880 | ||||||
Korn Ferry | 225 | 17,039 | ||||||
Kratos Defense & Security Solutions, Inc. (d) | 1,020 | 19,788 | ||||||
L3Harris Technologies, Inc. | 1,140 | 243,094 | ||||||
Landstar System, Inc. | 140 | 25,063 | ||||||
Leidos Holdings, Inc. | 672 | 59,741 | ||||||
Lennox International, Inc. | 167 | 54,168 | ||||||
Lincoln Electric Holdings, Inc. | 332 | 46,304 | ||||||
Lockheed Martin Corp. | 1,501 | 533,470 | ||||||
Lyft, Inc. (d) | 300 | 12,819 | ||||||
ManpowerGroup, Inc. | 480 | 46,718 | ||||||
Masco Corp. | 1,227 | 86,160 | ||||||
MasTec, Inc. (d) | 180 | 16,610 | ||||||
Matson, Inc. | 175 | 15,755 | ||||||
Matthews International Corp. - Class A | 100 | 3,667 | ||||||
Maxar Technologies, Inc. | 690 | 20,376 | ||||||
Mercury Systems, Inc. (d) | 400 | 22,024 | ||||||
Meritor, Inc. (d) | 550 | 13,629 | ||||||
Microvast Holdings, Inc. (d)(e) | 2,372 | 13,426 | ||||||
MillerKnoll, Inc. | 460 | 18,027 | ||||||
MSA Safety, Inc. | 228 | 34,419 | ||||||
MSC Industrial Direct Co., Inc. | 245 | 20,595 | ||||||
Mueller Industries, Inc. | 300 | 17,808 | ||||||
Mueller Water Products, Inc. | 55 | 792 | ||||||
Nikola Corp. (d) | 3,543 | 34,969 | ||||||
Nordson Corp. | 282 | 71,986 | ||||||
Norfolk Southern Corp. | 1,344 | 400,122 | ||||||
Northrop Grumman Corp. | 859 | 332,493 | ||||||
NOW, Inc. (d) | 649 | 5,542 | ||||||
nVent Electric PLC | 1,020 | 38,760 | ||||||
Old Dominion Freight Line, Inc. | 538 | 192,808 | ||||||
Oshkosh Corp. | 350 | 39,449 | ||||||
Otis Worldwide Corp. | 2,434 | 211,928 | ||||||
Owens Co.rning | 530 | 47,965 | ||||||
PACCAR, Inc. | 1,915 | 169,018 | ||||||
Parker-Hannifin Corp. | 747 | 237,636 | ||||||
Parsons Corp. (d) | 720 | 24,228 | ||||||
Plug Power, Inc. (d) | 2,467 | 69,643 | ||||||
Primoris Services Corp. | 515 | 12,350 | ||||||
Proto Labs, Inc. (d) | 130 | 6,676 | ||||||
Quanta Services, Inc. | 846 | 97,002 | ||||||
Raytheon Technologies Corp. | 8,347 | 718,343 | ||||||
RBC Bearings, Inc. (d) | 145 | 29,286 | ||||||
Regal Rexnord Corp. | 432 | 73,518 | ||||||
Republic Services, Inc. | 2,044 | 285,036 | ||||||
Resideo Technologies, Inc. (d) | 758 | 19,731 | ||||||
Resources Co.nnection, Inc. | 200 | 3,568 | ||||||
Robert Half International, Inc. | 610 | 68,027 | ||||||
Rockwell Automation, Inc. | 640 | 223,264 | ||||||
Rollins, Inc. | 1,380 | 47,210 | ||||||
Roper Technologies, Inc. | 533 | 262,161 | ||||||
Rush Enterprises, Inc. - Class A | 112 | 6,232 | ||||||
Ryder System, Inc. | 405 | 33,384 | ||||||
Saia, Inc. (d) | 110 | 37,073 | ||||||
Science Applications International Corp. | 340 | 28,421 | ||||||
Shoals Technologies Group, Inc. (d) | 700 | 17,010 | ||||||
Simpson Manufacturing Co., Inc. | 923 | 128,362 | ||||||
SiteOne Landscape Supply, Inc. (d) | 230 | 55,724 | ||||||
SkyWest, Inc. (d) | 375 | 14,738 | ||||||
Snap-on, Inc. | 250 | 53,845 | ||||||
Southwest Airlines Co. (d) | 2,944 | 126,121 | ||||||
Spirit AeroSystems Holdings, Inc. - Class A | 700 | 30,163 | ||||||
Spirit Airlines, Inc. (d) | 1,030 | 22,506 | ||||||
SPX Corp. (d) | 312 | 18,620 | ||||||
SPX FLOW, Inc. | 312 | 26,982 | ||||||
Standex International Corp. | 50 | 5,533 | ||||||
Stanley Black & Decker, Inc. | 820 | 154,668 | ||||||
Stericycle, Inc. (d) | 575 | 34,293 | ||||||
Sunrun, Inc. (d) | 1,120 | 38,416 | ||||||
Terex Corp. | 255 | 11,207 | ||||||
Tetra Tech, Inc. | 238 | 40,412 | ||||||
Textron, Inc. | 925 | 71,410 | ||||||
The Boeing Co. (d) | 3,278 | 659,927 | ||||||
The Brink's Co. | 105 | 6,885 | ||||||
The Gorman-Rupp Co. | 182 | 8,108 | ||||||
The Greenbrier Cos., Inc. | 200 | 9,178 | ||||||
The Manitowoc Co., Inc. (d) | 268 | 4,982 | ||||||
The Middleby Corp. (d) | 228 | 44,861 | ||||||
The Shyft Group, Inc. | 75 | 3,685 | ||||||
The Timken Co. | 375 | 25,984 | ||||||
The Toro Co. | 634 | 63,343 | ||||||
TransDigm Group, Inc. (d) | 258 | 164,160 | ||||||
TransUnion | 1,010 | 119,766 | ||||||
Trex Co., Inc. (d) | 600 | 81,018 | ||||||
TriNet Group, Inc. (d) | 200 | 19,052 | ||||||
Trinity Industries, Inc. | 151 | 4,560 | ||||||
Triumph Group, Inc. (d) | 196 | 3,632 | ||||||
TrueBlue, Inc. (d) | 300 | 8,301 | ||||||
Tutor Perini Corp. (d) | 200 | 2,474 | ||||||
Uber Technologies, Inc. (d) | 10,371 | 434,856 | ||||||
UFP Industries, Inc. | 399 | 36,712 | ||||||
UniFirst Corp. | 86 | 18,094 | ||||||
Union Pacific Corp. | 3,517 | 886,038 | ||||||
United Airlines Holdings, Inc. (d) | 2,001 | 87,604 | ||||||
United Parcel Service, Inc. - Class B | 3,790 | 812,349 | ||||||
United Rentals, Inc. (d) | 380 | 126,270 | ||||||
Univar Solutions, Inc. (d) | 575 | 16,301 | ||||||
Upwork, Inc. (d) | 512 | 17,490 | ||||||
US Ecology, Inc. (d) | 200 | 6,388 | ||||||
Valmont Industries, Inc. | 159 | 39,830 | ||||||
Verisk Analytics, Inc. | 914 | 209,059 | ||||||
Veritiv Corp. (d) | 97 | 11,889 | ||||||
Viad Corp. (d) | 100 | 4,279 | ||||||
Vicor Corp. (d) | 40 | 5,079 | ||||||
Wabash National Corp. | 50 | 976 | ||||||
Waste Management, Inc. | 2,349 | 392,048 | ||||||
Watsco, Inc. | 114 | 35,668 | ||||||
Watts Water Technologies, Inc. - Class A | 120 | 23,300 | ||||||
Welbilt, Inc. (d) | 1,075 | 25,553 | ||||||
Werner Enterprises, Inc. | 250 | 11,915 | ||||||
WESCO International, Inc. (d) | 322 | 42,372 | ||||||
Westinghouse Air Brake Technologies Corp. | 1,126 | 103,716 | ||||||
WillScot Mobile Mini Holdings Corp. (d) | 976 | 39,860 | ||||||
Woodward, Inc. | 250 | 27,365 | ||||||
WW Grainger, Inc. | 264 | 136,815 | ||||||
XPO Logistics, Inc. (d) | 535 | 41,425 | ||||||
Xylem, Inc. | 953 | 114,284 | ||||||
Zurn Water Solutions Corp. | 730 | 26,572 | ||||||
21,921,980 | ||||||||
Information Technology - 27.2% | ||||||||
3D Systems Corp. (d) | 848 | 18,266 | ||||||
8x8, Inc. (d) | 230 | 3,855 | ||||||
ACI Worldwide, Inc. (d) | 560 | 19,432 | ||||||
Adobe, Inc. (d) | 2,661 | 1,508,947 | ||||||
Advanced Energy Industries, Inc. | 300 | 27,318 | ||||||
Advanced Micro Devices, Inc. (d) | 6,755 | 972,044 | ||||||
Affirm Holdings, Inc. (d) | 630 | 63,353 | ||||||
Akamai Technologies, Inc. (d) | 894 | 104,634 | ||||||
Alarm.com Holdings, Inc. (d) | 170 | 14,418 | ||||||
Alliance Data Systems Corp. | 150 | 9,985 | ||||||
Alteryx, Inc. - Class A (d) | 40 | 2,420 | ||||||
Ambarella, Inc. (d) | 450 | 91,301 | ||||||
Amkor Technology, Inc. | 1,050 | 26,029 | ||||||
Amphenol Corp. - Class A | 2,921 | 255,471 | ||||||
Analog Devices, Inc. | 2,989 | 525,377 | ||||||
Anaplan, Inc. (d) | 720 | 33,012 | ||||||
ANSYS, Inc. (d) | 458 | 183,713 | ||||||
Appfolio, Inc. - Class A (d) | 110 | 13,317 | ||||||
Apple, Inc. | 91,962 | 16,329,692 | ||||||
Applied Materials, Inc. | 5,074 | 798,445 | ||||||
AppLovin Corp. - Class A (d) | 1,863 | 175,606 | ||||||
Arista Networks, Inc. (d) | 1,400 | 201,250 | ||||||
Arrow Electronics, Inc. (d) | 400 | 53,708 | ||||||
Asana, Inc. - Class A (d) | 201 | 14,985 | ||||||
Aspen Technology, Inc. (d) | 325 | 49,465 | ||||||
Autodesk, Inc. (d) | 1,201 | 337,709 | ||||||
Automatic Data Processing, Inc. | 2,378 | 586,367 | ||||||
Avalara, Inc. (d) | 480 | 61,973 | ||||||
Avnet, Inc. | 249 | 10,266 | ||||||
Azenta, Inc. | 446 | 45,987 | ||||||
Badger Meter, Inc. | 43 | 4,582 | ||||||
Belden, Inc. | 100 | 6,573 | ||||||
Benchmark Electronics, Inc. | 325 | 8,807 | ||||||
Bill.com Holdings, Inc. (d) | 425 | 105,889 | ||||||
Black Knight, Inc. (d) | 585 | 48,491 | ||||||
Blackbaud, Inc. (d) | 200 | 15,796 | ||||||
Blackline, Inc. (d) | 240 | 24,850 | ||||||
Block, Inc. (d) | 1,265 | 204,310 | ||||||
Bottomline Technologies DE, Inc. (d) | 375 | 21,176 | ||||||
Box, Inc. - Class A (d) | 1,190 | 31,166 | ||||||
Broadcom, Inc. | 1,806 | 1,201,730 | ||||||
Broadridge Financial Solutions, Inc. | 625 | 114,262 | ||||||
Cadence Design Systems, Inc. (d) | 1,492 | 278,034 | ||||||
Calix, Inc. (d) | 175 | 13,995 | ||||||
CDK Global, Inc. | 520 | 21,705 | ||||||
CDW Corp. | 718 | 147,032 | ||||||
Cerence, Inc. (d) | 271 | 20,769 | ||||||
Ceridian HCM Holding, Inc. (d) | 367 | 38,337 | ||||||
Ciena Corp. (d) | 997 | 76,739 | ||||||
Cirrus Logic, Inc. (d) | 140 | 12,883 | ||||||
Cisco Systems, Inc. | 23,431 | 1,484,822 | ||||||
Citrix Systems, Inc. | 668 | 63,186 | ||||||
Cloudflare, Inc. - Class A (d) | 210 | 27,615 | ||||||
CMC Materials, Inc. | 140 | 26,837 | ||||||
Cognex Corp. | 1,101 | 85,614 | ||||||
Cognizant Technology Solutions Corp. | 2,800 | 248,416 | ||||||
Coherent, Inc. (d) | 105 | 27,987 | ||||||
CommScope Holding Co., Inc. (d) | 1,150 | 12,696 | ||||||
CommVault Systems, Inc. (d) | 375 | 25,845 | ||||||
Comtech Telecommunications Corp. | 100 | 2,369 | ||||||
Concentrix Corp. | 229 | 40,904 | ||||||
Consensus Cloud Solutions, Inc. (d) | 108 | 6,250 | ||||||
Corning, Inc. | 4,399 | 163,775 | ||||||
Coupa Software, Inc. (d) | 340 | 53,737 | ||||||
Crowdstrike Holdings, Inc. (d) | 170 | 34,808 | ||||||
CSG Systems International, Inc. | 78 | 4,494 | ||||||
CTS Corp. | 100 | 3,672 | ||||||
Datadog, Inc. - Class A (d) | 200 | 35,622 | ||||||
Dell Technologies, Inc. (d) | 1,300 | 73,021 | ||||||
DigitalOcean Holdings, Inc. (d) | 301 | 24,179 | ||||||
Diodes, Inc. (d) | 300 | 32,943 | ||||||
DocuSign, Inc. (d) | 1,040 | 158,402 | ||||||
Dolby Laboratories, Inc. - Class A | 300 | 28,566 | ||||||
Duck Creek Technologies, Inc. (d) | 500 | 15,055 | ||||||
DXC Technology Co. (d) | 1,118 | 35,988 | ||||||
Dynatrace, Inc. (d) | 1,180 | 71,213 | ||||||
Ebix, Inc. | 31 | 942 | ||||||
eGain Corp. (d) | 150 | 1,497 | ||||||
Enphase Energy, Inc. (d) | 717 | 131,168 | ||||||
Entegris, Inc. | 681 | 94,373 | ||||||
Envestnet, Inc. (d)(e) | 375 | 29,753 | ||||||
EPAM Systems, Inc. (d) | 291 | 194,519 | ||||||
Euronet Worldwide, Inc. (d) | 349 | 41,590 | ||||||
Everbridge, Inc. (d) | 190 | 12,793 | ||||||
ExlService Holdings, Inc. (d) | 101 | 14,622 | ||||||
F5, Inc. (d) | 313 | 76,594 | ||||||
Fair Isaac Corp. (d) | 146 | 63,316 | ||||||
Fidelity National Information Services, Inc. | 3,526 | 384,863 | ||||||
First Solar, Inc. (d) | 522 | 45,498 | ||||||
Fiserv, Inc. (d) | 3,252 | 337,525 | ||||||
Five9, Inc. (d) | 400 | 54,928 | ||||||
FleetCor Technologies, Inc. (d) | 438 | 98,042 | ||||||
FormFactor, Inc. (d) | 480 | 21,946 | ||||||
Fortinet, Inc. (d) | 735 | 264,159 | ||||||
Gartner, Inc. (d) | 451 | 150,778 | ||||||
Genpact Ltd. | 605 | 32,113 | ||||||
Global Payments, Inc. | 1,543 | 208,583 | ||||||
GLOBALFOUNDRIES, Inc. (d) | 1,134 | 73,676 | ||||||
GoDaddy, Inc. - Class A (d) | 350 | 29,701 | ||||||
Guidewire Software, Inc. (d) | 490 | 55,630 | ||||||
Hewlett Packard Enterprise Co. | 6,477 | 102,142 | ||||||
HP, Inc. | 6,395 | 240,900 | ||||||
HubSpot, Inc. (d) | 230 | 151,605 | ||||||
II-VI, Inc. (d) | 541 | 36,967 | ||||||
Infinera Corp. (d) | 600 | 5,754 | ||||||
Insight Enterprises, Inc. (d) | 200 | 21,320 | ||||||
Intel Corp. | 22,697 | 1,168,896 | ||||||
InterDigital, Inc. | 246 | 17,621 | ||||||
International Business Machines Corp. | 4,810 | 642,905 | ||||||
Intuit, Inc. | 1,492 | 959,684 | ||||||
IonQ, Inc. (d)(e) | 1,416 | 23,647 | ||||||
IPG Photonics Corp. (d) | 281 | 48,371 | ||||||
Itron, Inc. (d) | 200 | 13,704 | ||||||
Jabil, Inc. | 555 | 39,044 | ||||||
Jack Henry & Associates, Inc. | 376 | 62,788 | ||||||
JFrog Ltd. (d) | 480 | 14,256 | ||||||
Juniper Networks, Inc. | 1,450 | 51,780 | ||||||
Keysight Technologies, Inc. (d) | 1,048 | 216,422 | ||||||
KLA Corp. | 756 | 325,163 | ||||||
Knowles Corp. (d) | 458 | 10,694 | ||||||
Kulicke & Soffa Industries, Inc. | 125 | 7,568 | ||||||
Kyndryl Holdings, Inc. (d) | 1,003 | 18,154 | ||||||
Lam Research Corp. | 781 | 561,656 | ||||||
Lattice Semiconductor Corp. (d) | 530 | 40,842 | ||||||
Littelfuse, Inc. | 118 | 37,132 | ||||||
LivePerson, Inc. (d) | 130 | 4,644 | ||||||
LiveRamp Holdings, Inc. (d) | 175 | 8,391 | ||||||
Lumentum Holdings, Inc. (d) | 424 | 44,846 | ||||||
MACOM Technology Solutions Holdings, Inc. (d) | 133 | 10,414 | ||||||
Mandiant, Inc. (d) | 1,760 | 30,870 | ||||||
Manhattan Associates, Inc. (d) | 350 | 54,422 | ||||||
Marvell Technology, Inc. | 3,849 | 336,749 | ||||||
Mastercard, Inc. | 4,895 | 1,758,871 | ||||||
Matterport, Inc. (d)(e) | 1,197 | 24,706 | ||||||
Maximus, Inc. | 425 | 33,860 | ||||||
MaxLinear, Inc. (d) | 475 | 35,810 | ||||||
Methode Electronics, Inc. | 100 | 4,917 | ||||||
Microchip Technology, Inc. | 2,788 | 242,723 | ||||||
Micron Technology, Inc. | 6,128 | 570,823 | ||||||
Microsoft Corp. | 40,545 | 13,636,094 | ||||||
MicroStrategy, Inc. - Class A (d)(e) | 60 | 32,669 | ||||||
Mitek Systems, Inc. (d) | 420 | 7,455 | ||||||
MKS Instruments, Inc. | 300 | 52,251 | ||||||
Momentive Global, Inc. (d) | 1,170 | 24,746 | ||||||
Monolithic Power Systems, Inc. | 270 | 133,199 | ||||||
Motorola Solutions, Inc. | 920 | 249,964 | ||||||
National Instruments Corp. | 812 | 35,460 | ||||||
nCino, Inc. (d) | 330 | 18,104 | ||||||
NCR Corp. (d) | 935 | 37,587 | ||||||
NetApp, Inc. | 955 | 87,850 | ||||||
NETGEAR, Inc. (d) | 50 | 1,461 | ||||||
NetScout Systems, Inc. (d) | 700 | 23,156 | ||||||
New Relic, Inc. (d) | 230 | 25,291 | ||||||
NortonLifeLock, Inc. | 2,463 | 63,989 | ||||||
Novanta, Inc. (d) | 220 | 38,793 | ||||||
Nuance Communications, Inc. (d) | 1,595 | 88,235 | ||||||
Nutanix, Inc. (d) | 470 | 14,974 | ||||||
NVIDIA Corp. | 13,551 | 3,985,485 | ||||||
Okta, Inc. (d) | 260 | 58,284 | ||||||
ON Semiconductor Corp. (d) | 2,186 | 148,473 | ||||||
Onto Innovation, Inc. (d) | 350 | 35,431 | ||||||
Oracle Corp. | 9,773 | 852,303 | ||||||
OSI Systems, Inc. (d) | 100 | 9,320 | ||||||
PagerDuty, Inc. (d) | 620 | 21,545 | ||||||
Palantir Technologies, Inc. (d) | 1,660 | 30,229 | ||||||
Palo Alto Networks, Inc. (d) | 509 | 283,391 | ||||||
PAR Technology Corp. (d) | 100 | 5,277 | ||||||
Paychex, Inc. | 1,788 | 244,062 | ||||||
Paycom Software, Inc. (d) | 310 | 128,709 | ||||||
Paylocity Holding Corp. (d) | 150 | 35,424 | ||||||
Payoneer Global, Inc. (d) | 2,683 | 19,720 | ||||||
PayPal Holdings, Inc. (d) | 6,433 | 1,213,135 | ||||||
Pegasystems, Inc. | 300 | 33,546 | ||||||
Perficient, Inc. (d) | 167 | 21,591 | ||||||
Plantronics, Inc. (d) | 300 | 8,802 | ||||||
Plexus Corp. (d) | 26 | 2,493 | ||||||
Power Integrations, Inc. | 280 | 26,009 | ||||||
Progress Software Corp. | 200 | 9,654 | ||||||
PROS Holdings, Inc. (d) | 300 | 10,347 | ||||||
PTC, Inc. (d) | 663 | 80,322 | ||||||
Pure Storage, Inc. - Class A (d) | 187 | 6,087 | ||||||
Q2 Holdings, Inc. (d) | 240 | 19,066 | ||||||
Qorvo, Inc. (d) | 550 | 86,015 | ||||||
QUALCOMM, Inc. | 6,232 | 1,139,646 | ||||||
Qualtrics International, Inc. - Class A (d) | 532 | 18,833 | ||||||
Qualys, Inc. (d) | 93 | 12,761 | ||||||
Rambus, Inc. (d) | 500 | 14,695 | ||||||
Rapid7, Inc. (d) | 230 | 27,069 | ||||||
RingCentral, Inc. - Class A (d) | 260 | 48,711 | ||||||
Riot Blockchain, Inc. (d)(e) | 2,779 | 62,055 | ||||||
Rogers Corp. (d) | 57 | 15,561 | ||||||
Sabre Corp. (d) | 1,400 | 12,026 | ||||||
Sailpoint Technologies Holdings, Inc. (d) | 630 | 30,454 | ||||||
salesforce.com, Inc. (d) | 5,345 | 1,358,325 | ||||||
Sanmina Corp. (d) | 333 | 13,806 | ||||||
Semtech Corp. (d) | 300 | 26,679 | ||||||
SentinelOne, Inc. - Class A (d)(e) | 375 | 18,934 | ||||||
ServiceNow, Inc. (d) | 1,061 | 688,706 | ||||||
Silicon Laboratories, Inc. (d) | 160 | 33,027 | ||||||
SiTime Corp. (d) | 107 | 31,302 | ||||||
Skyworks Solutions, Inc. | 959 | 148,779 | ||||||
Snowflake, Inc. - Class A (d) | 170 | 57,588 | ||||||
Splunk, Inc. (d) | 878 | 101,602 | ||||||
SPS Commerce, Inc. (d) | 200 | 28,470 | ||||||
Squarespace, Inc. - Class A (d) | 680 | 20,060 | ||||||
SS&C Technologies Holdings, Inc. | 1,325 | 108,624 | ||||||
Sumo Logic, Inc. (d) | 1,120 | 15,187 | ||||||
SunPower Corp. (d)(e) | 450 | 9,392 | ||||||
Synaptics, Inc. (d) | 153 | 44,295 | ||||||
Synopsys, Inc. (d) | 847 | 312,120 | ||||||
TD SYNNEX Corp. | 863 | 98,693 | ||||||
Teledyne Technologies, Inc. (d) | 223 | 97,426 | ||||||
Tenable Holdings, Inc. (d) | 490 | 26,984 | ||||||
Teradata Corp. (d) | 534 | 22,679 | ||||||
Teradyne, Inc. | 865 | 141,453 | ||||||
Texas Instruments, Inc. | 5,151 | 970,809 | ||||||
The Trade Desk, Inc. - Class A (d) | 1,800 | 164,952 | ||||||
The Western Union Co. | 1,694 | 30,221 | ||||||
Trimble, Inc. (d) | 1,394 | 121,543 | ||||||
TTM Technologies, Inc. (d) | 488 | 7,271 | ||||||
Twilio, Inc. (d) | 450 | 118,503 | ||||||
Tyler Technologies, Inc. (d) | 200 | 107,590 | ||||||
Ultra Clean Holdings, Inc. (d) | 410 | 23,518 | ||||||
Unisys Corp. (d) | 427 | 8,783 | ||||||
Unity Software, Inc. (d) | 620 | 88,654 | ||||||
Universal Display Corp. | 270 | 44,558 | ||||||
Varonis Systems, Inc. (d) | 450 | 21,951 | ||||||
Veeco Instruments, Inc. (d) | 400 | 11,388 | ||||||
Verint Systems, Inc. (d) | 375 | 19,691 | ||||||
VeriSign, Inc. (d) | 576 | 146,200 | ||||||
Verra Mobility Corp. (d) | 1,420 | 21,911 | ||||||
Viasat, Inc. (d) | 350 | 15,589 | ||||||
Viavi Solutions, Inc. (d) | 1,328 | 23,399 | ||||||
Visa, Inc. - Class A | 9,758 | 2,114,656 | ||||||
Vishay Intertechnology, Inc. | 806 | 17,627 | ||||||
Vishay Precision Group, Inc. (d) | 129 | 4,788 | ||||||
VMware, Inc. - Class A | 996 | 115,416 | ||||||
Vonage Holdings Corp. (d) | 1,425 | 29,626 | ||||||
Vontier Corp. | 610 | 18,745 | ||||||
Western Digital Corp. (d) | 1,588 | 103,553 | ||||||
WEX, Inc. (d) | 214 | 30,043 | ||||||
Wolfspeed, Inc. (d) | 445 | 49,738 | ||||||
Workday, Inc. - Class A (d) | 545 | 148,883 | ||||||
Workiva, Inc. (d) | 210 | 27,403 | ||||||
Xerox Holdings Corp. | 828 | 18,746 | ||||||
Xilinx, Inc. | 1,385 | 293,662 | ||||||
Xperi Holding Corp. | 799 | 15,109 | ||||||
Zebra Technologies Corp. - Class A (d) | 273 | 162,490 | ||||||
Zendesk, Inc. (d) | 700 | 73,003 | ||||||
Zoom Video Communications, Inc. (d) | 170 | 31,265 | ||||||
Zscaler, Inc. (d) | 510 | 163,878 | ||||||
70,220,259 | ||||||||
Materials - 2.3% | ||||||||
Air Products and Chemicals, Inc. | 1,188 | 361,461 | ||||||
Albemarle Corp. | 735 | 171,821 | ||||||
Alcoa Corp. | 1,163 | 69,291 | ||||||
Amyris, Inc. (d)(e) | 2,120 | 11,469 | ||||||
AptarGroup, Inc. | 286 | 35,029 | ||||||
Arconic Corp. (d) | 785 | 25,913 | ||||||
Ashland Global Holdings, Inc. | 225 | 24,223 | ||||||
Avery Dennison Corp. | 440 | 95,291 | ||||||
Avient Corp. | 483 | 27,024 | ||||||
Axalta Co.ating Systems Ltd. (d) | 675 | 22,356 | ||||||
Balchem Corp. | 201 | 33,889 | ||||||
Ball Corp. | 1,710 | 164,622 | ||||||
Berry Global Group, Inc. (d) | 540 | �� | 39,841 | |||||
Cabot Corp. | 400 | 22,480 | ||||||
Carpenter Technology Corp. | 200 | 5,838 | ||||||
Celanese Corp. | 645 | 108,399 | ||||||
CF Industries Holdings, Inc. | 980 | 69,364 | ||||||
Clearwater Paper Corp. - Class A (d) | 130 | 4,767 | ||||||
Cleveland-Cliffs, Inc. (d) | 1,930 | 42,016 | ||||||
Commercial Metals Co. | 775 | 28,125 | ||||||
Compass Minerals International, Inc. | 100 | 5,108 | ||||||
Corteva, Inc. | 4,263 | 201,555 | ||||||
Crown Holdings, Inc. | 739 | 81,748 | ||||||
Dow, Inc. | 4,103 | 232,722 | ||||||
DuPont de Nemours, Inc. | 2,781 | 224,649 | ||||||
Eagle Materials, Inc. | 153 | 25,468 | ||||||
Eastman Chemical Co. | 620 | 74,964 | ||||||
Ecolab, Inc. | 1,474 | 345,786 | ||||||
Ferro Corp. (d) | 575 | 12,552 | ||||||
Ferroglobe Representation & Warranty Insurance Trust (b)(c)(d) | 500 | – | ||||||
FMC Corp. | 665 | 73,077 | ||||||
Freeport-McMoRan, Inc. | 8,089 | 337,554 | ||||||
Glatfelter Corp. | 325 | 5,590 | ||||||
Graphic Packaging Holding Co. | 1,325 | 25,837 | ||||||
Hawkins, Inc. | 7 | 276 | ||||||
HB Fuller Co. | 150 | 12,150 | ||||||
Hecla Mining Co. | 4,180 | 21,820 | ||||||
Huntsman Corp. | 1,575 | 54,936 | ||||||
Ingevity Corp. (d) | 93 | 6,668 | ||||||
International Flavors & Fragrances, Inc. | 1,321 | 199,009 | ||||||
International Paper Co. | 1,717 | 80,665 | ||||||
Kaiser Aluminum Corp. | 118 | 11,085 | ||||||
Livent Corp. (d) | 818 | 19,943 | ||||||
Louisiana-Pacific Corp. | 422 | 33,064 | ||||||
Martin Marietta Materials, Inc. | 297 | 130,834 | ||||||
Minerals Technologies, Inc. | 250 | 18,287 | ||||||
MP Materials Corp. (d)(e) | 2,790 | 126,722 | ||||||
Myers Industries, Inc. | 200 | 4,002 | ||||||
Neenah, Inc. | 120 | 5,554 | ||||||
NewMarket Corp. | 2 | 685 | ||||||
Newmont Corp. | 4,248 | 263,461 | ||||||
Nucor Corp. | 1,425 | 162,664 | ||||||
Olin Corp. | 542 | 31,176 | ||||||
Packaging Corp. of America | 395 | 53,779 | ||||||
PPG Industries, Inc. | 1,339 | 230,897 | ||||||
Quaker Chemical Corp. | 100 | 23,078 | ||||||
Reliance Steel & Aluminum Co. | 419 | 67,970 | ||||||
Royal Gold, Inc. | 341 | 35,877 | ||||||
RPM International, Inc. | 710 | 71,710 | ||||||
Sealed Air Corp. | 680 | 45,880 | ||||||
Sensient Technologies Corp. | 69 | 6,904 | ||||||
Silgan Holdings, Inc. | 400 | 17,136 | ||||||
Sonoco Products Co. | 328 | 18,988 | ||||||
Southern Co.pper Corp. | 537 | 33,138 | ||||||
Steel Dynamics, Inc. | 1,242 | 77,091 | ||||||
Stepan Co. | 148 | 18,395 | ||||||
Summit Materials, Inc. - Class A (d) | 571 | 22,920 | ||||||
Sylvamo Corp. (d) | 156 | 4,351 | ||||||
The Chemours Co. | 419 | 14,062 | ||||||
The Mosaic Co. | 1,915 | 75,240 | ||||||
The Scotts Miracle-Gro Co. | 266 | 42,826 | ||||||
The Sherwin-Williams Co. | 1,479 | 520,845 | ||||||
TimkenSteel Corp. (d) | 400 | 6,600 | ||||||
United States Steel Corp. | 1,480 | 35,239 | ||||||
Valvoline, Inc. | 1,192 | 44,450 | ||||||
Vulcan Materials Co. | 725 | 150,495 | ||||||
Westlake Chemical Corp. | 212 | 20,592 | ||||||
Westrock Co. | 1,534 | 68,048 | ||||||
Worthington Industries, Inc. | 225 | 12,298 | ||||||
5,911,639 | ||||||||
Real Estate - 3.8% | ||||||||
Acadia Realty Trust | 676 | 14,757 | ||||||
Agree Realty Corp. | 300 | 21,408 | ||||||
Alexander & Baldwin, Inc. | 213 | 5,344 | ||||||
Alexandria Real Estate Equities, Inc. | 801 | 178,591 | ||||||
American Assets Trust, Inc. | 425 | 15,950 | ||||||
American Campus Communities, Inc. | 982 | 56,259 | ||||||
American Homes 4 Rent | 1,700 | 74,137 | ||||||
American Tower Corp. | 2,558 | 748,215 | ||||||
Americold Realty Trust | 1,340 | 43,939 | ||||||
Apartment Investment and Management Co. (d) | 826 | 6,377 | ||||||
Apartment, Income REIT Corp. | 826 | 45,157 | ||||||
Apple Hospitality REIT, Inc. | 1,975 | 31,896 | ||||||
AvalonBay Communities, Inc. | 778 | 196,515 | ||||||
Boston Properties, Inc. | 923 | 106,311 | ||||||
Brandywine Realty Trust | 1,413 | 18,962 | ||||||
Brixmor Property Group, Inc. | 1,206 | 30,644 | ||||||
Camden Property Trust | 565 | 100,954 | ||||||
CareTrust REIT, Inc. | 403 | 9,200 | ||||||
CBRE Group, Inc. (d) | 1,898 | 205,952 | ||||||
Chatham Lodging Trust (d) | 425 | 5,831 | ||||||
Corporate Office Properties Trust | 850 | 23,774 | ||||||
Cousins Properties, Inc. | 839 | 33,795 | ||||||
Crown Castle International Corp. | 2,385 | 497,845 | ||||||
CubeSmart | 952 | 54,178 | ||||||
CyrusOne, Inc. | 725 | 65,047 | ||||||
DiamondRock Hospitality Co. (d) | 1,727 | 16,596 | ||||||
Digital Realty Trust, Inc. | 1,631 | 288,475 | ||||||
DigitalBridge Group, Inc. (d) | 1,274 | 10,612 | ||||||
Douglas Elliman, Inc. (d) | 469 | 5,393 | ||||||
Douglas Emmett, Inc. | 1,300 | 43,550 | ||||||
Duke Realty Corp. | 2,206 | 144,802 | ||||||
EastGroup Properties, Inc. | 262 | 59,697 | ||||||
EPR Properties | 422 | 20,041 | ||||||
Equinix, Inc. | 509 | 430,533 | ||||||
Equity Commonwealth (d) | 359 | 9,298 | ||||||
Equity LifeStyle Properties, Inc. | 1,178 | 103,263 | ||||||
Equity Residential | 2,084 | 188,602 | ||||||
Essential Properties Realty Trust, Inc. | 830 | 23,929 | ||||||
Essex Property Trust, Inc. | 382 | 134,552 | ||||||
eXp World Holdings, Inc. | 540 | 18,193 | ||||||
Extra Space Storage, Inc. | 809 | 183,425 | ||||||
Federal Realty Investment Trust | 414 | 56,436 | ||||||
First Industrial Realty Trust, Inc. | 565 | 37,403 | ||||||
Franklin Street Properties Corp. | 950 | 5,652 | ||||||
Gaming and Leisure Properties, Inc. | 1,154 | 56,154 | ||||||
Getty Realty Corp. | 402 | 12,900 | ||||||
Global Net Lease, Inc. | 1,160 | 17,725 | ||||||
Healthcare Realty Trust, Inc. | 875 | 27,685 | ||||||
Healthcare Trust of America, Inc. - Class A | 1,025 | 34,225 | ||||||
Healthpeak Properties, Inc. | 3,055 | 110,255 | ||||||
Highwoods Properties, Inc. | 800 | 35,672 | ||||||
Host Hotels & Resorts, Inc. (d) | 4,834 | 84,063 | ||||||
Hudson Pacific Properties, Inc. | 815 | 20,139 | ||||||
Independence Realty Trust, Inc. | 3,029 | 78,239 | ||||||
Industrial Logistics Properties Trust | 175 | 4,384 | ||||||
Innovative Industrial Properties, Inc. | 150 | 39,437 | ||||||
Invitation Homes, Inc. | 3,381 | 153,295 | ||||||
Iron Mountain, Inc. | 1,544 | 80,798 | ||||||
JBG SMITH Properties | 764 | 21,934 | ||||||
Jones Lang LaSalle, Inc. (d) | 296 | 79,725 | ||||||
Kennedy-Wilson Holdings, Inc. | 925 | 22,089 | ||||||
Kilroy Realty Corp. | 620 | 41,205 | ||||||
Kimco Realty Corp. | 3,361 | 82,849 | ||||||
Kite Realty Group Trust | 787 | 17,141 | ||||||
Lamar Advertising Co. | 400 | 48,520 | ||||||
Life Storage, Inc. | 492 | 75,365 | ||||||
LXP Industrial Trust | 1,125 | 17,573 | ||||||
Medical Properties Trust, Inc. | 3,590 | 84,832 | ||||||
Mid-America Apartment Co.mmunities, Inc. | 689 | 158,084 | ||||||
National Health Investors, Inc. | 325 | 18,678 | ||||||
National Retail Properties, Inc. | 860 | 41,340 | ||||||
National Storage Affiliates Trust | 580 | 40,136 | ||||||
Newmark Group, Inc. - Class A | 765 | 14,306 | ||||||
Office Properties, Income Trust | 228 | 5,664 | ||||||
Omega Healthcare Investors, Inc. | 1,749 | 51,753 | ||||||
Opendoor Technologies, Inc. (d) | 2,468 | 36,057 | ||||||
Orion Office REIT, Inc. (d) | 291 | 5,433 | ||||||
Outfront Media, Inc. | 1,026 | 27,517 | ||||||
Paramount Group, Inc. | 1,800 | 15,012 | ||||||
Park Hotels & Resorts, Inc. (d) | 1,629 | 30,756 | ||||||
Pebblebrook Hotel Trust | 1,188 | 26,576 | ||||||
Physicians Realty Trust | 900 | 16,947 | ||||||
Piedmont Office Realty Trust, Inc. - Class A | 331 | 6,084 | ||||||
PotlatchDeltic Corp. | 298 | 17,946 | ||||||
Prologis, Inc. | 4,359 | 733,881 | ||||||
PS Business Parks, Inc. | 185 | 34,071 | ||||||
Public Storage | 889 | 332,984 | ||||||
Rayonier, Inc. | 826 | 33,337 | ||||||
Realty, Income Corp. | 2,910 | 208,327 | ||||||
Redfin Corp. (d) | 630 | 24,186 | ||||||
Regency Centers Corp. | 829 | 62,465 | ||||||
Retail Opportunity Investments Corp. | 725 | 14,210 | ||||||
Retail Value, Inc. | 158 | 1,014 | ||||||
Rexford Industrial Realty, Inc. | 860 | 69,755 | ||||||
RLJ Lodging Trust | 1,430 | 19,920 | ||||||
Ryman Hospitality Properties, Inc. (d) | 210 | 19,312 | ||||||
Sabra Health Care REIT, Inc. | 1,436 | 19,443 | ||||||
SBA Communications Corp. | 623 | 242,359 | ||||||
Service Properties Trust | 1,325 | 11,647 | ||||||
Simon Property Group, Inc. | 1,739 | 277,840 | ||||||
SITE Centers Corp. | 1,545 | 24,457 | ||||||
SL Green Realty Corp. | 518 | 37,141 | ||||||
Spirit MTA REIT (b)(c)(d) | 300 | 80 | ||||||
Spirit Realty Capital, Inc. | 600 | 28,914 | ||||||
STAG Industrial, Inc. | 1,140 | 54,674 | ||||||
STORE Capital Corp. | 1,295 | 44,548 | ||||||
Summit Hotel Properties, Inc. (d) | 975 | 9,516 | ||||||
Sun Communities, Inc. | 640 | 134,381 | ||||||
Sunstone Hotel Investors, Inc. (d) | 2,033 | 23,847 | ||||||
Tejon Ranch Co. (d) | 50 | 954 | ||||||
Terreno Realty Corp. | 255 | 21,749 | ||||||
The Howard Hughes Corp. (d) | 321 | 32,671 | ||||||
The Macerich Co. | 723 | 12,493 | ||||||
UDR, Inc. | 1,888 | 113,261 | ||||||
Uniti Group, Inc. | 1,228 | 17,204 | ||||||
Urban Edge Properties | 811 | 15,409 | ||||||
Ventas, Inc. | 2,258 | 115,429 | ||||||
Veris Residential, Inc. (d) | 725 | 13,326 | ||||||
VICI Properties, Inc. | 4,040 | 121,644 | ||||||
Vornado Realty Trust | 1,148 | 48,055 | ||||||
Washington Real Estate Investment Trust | 957 | 24,738 | ||||||
Welltower, Inc. | 2,430 | 208,421 | ||||||
Weyerhaeuser Co. | 4,137 | 170,362 | ||||||
WP Carey, Inc. | 1,175 | 96,409 | ||||||
Xenia Hotels & Resorts, Inc. (d) | 900 | 16,299 | ||||||
Zillow Group, Inc. (d) | 352 | 21,901 | ||||||
Zillow Group, Inc. (d) | 1,001 | 63,914 | ||||||
9,706,531 | ||||||||
Utilities - 2.4% | ||||||||
ALLETE, Inc. | 425 | 28,199 | ||||||
Alliant Energy Corp. | 1,225 | 75,301 | ||||||
Ameren Corp. | 1,285 | 114,378 | ||||||
American Electric Power Co., Inc. | 2,852 | 253,742 | ||||||
American States Water Co. | 220 | 22,757 | ||||||
American Water Works Co., Inc. | 1,040 | 196,414 | ||||||
Atmos Energy Corp. | 829 | 86,854 | ||||||
Avangrid, Inc. | 530 | 26,436 | ||||||
Avista Corp. | 157 | 6,671 | ||||||
Black Hills Corp. | 420 | 29,639 | ||||||
California Water Service Group | 415 | 29,822 | ||||||
CenterPoint Energy, Inc. | 2,703 | 75,441 | ||||||
Clearway Energy, Inc. - Class C | 763 | 27,491 | ||||||
CMS Energy Corp. | 1,520 | 98,876 | ||||||
Consolidated Edison, Inc. | 2,075 | 177,039 | ||||||
Dominion Energy, Inc. | 4,607 | 361,926 | ||||||
DTE Energy Co. | 814 | 97,306 | ||||||
Duke Energy Corp. | 4,149 | 435,230 | ||||||
Edison International | 2,059 | 140,527 | ||||||
Entergy Corp. | 1,120 | 126,168 | ||||||
Essential Utilities, Inc. | 1,206 | 64,750 | ||||||
Evergy, Inc. | 1,289 | 88,438 | ||||||
Eversource Energy | 1,802 | 163,946 | ||||||
Exelon Corp. | 5,023 | 290,128 | ||||||
FirstEnergy Corp. | 2,716 | 112,958 | ||||||
Hawaiian Electric Industries, Inc. | 820 | 34,030 | ||||||
IDACORP, Inc. | 313 | 35,466 | ||||||
MDU Resources Group, Inc. | 1,115 | 34,387 | ||||||
MGE Energy, Inc. | 150 | 12,338 | ||||||
National Fuel Gas Co. | 530 | 33,888 | ||||||
New Jersey Resources Corp. | 440 | 18,066 | ||||||
NextEra Energy, Inc. | 10,890 | 1,016,690 | ||||||
NiSource, Inc. | 2,199 | 60,714 | ||||||
Northwest Natural Holding Co. | 300 | 14,634 | ||||||
NorthWestern Corp. | 330 | 18,863 | ||||||
NRG Energy, Inc. | 1,512 | 65,137 | ||||||
OGE Energy Corp. | 1,175 | 45,097 | ||||||
ONE Gas, Inc. | 287 | 22,268 | ||||||
Ormat Technologies, Inc. | 105 | 8,327 | ||||||
Otter Tail Corp. | 350 | 24,997 | ||||||
PG&E Corp. (d) | 8,103 | 98,370 | ||||||
Pinnacle West Capital Corp. | 716 | 50,542 | ||||||
PNM Resources, Inc. | 480 | 21,893 | ||||||
Portland General Electric Co. | 500 | 26,460 | ||||||
PPL Corp. | 4,020 | 120,841 | ||||||
Public Service Enterprise Group, Inc. | 2,830 | 188,846 | ||||||
Sempra Energy | 1,447 | 191,409 | ||||||
SJW Group | 180 | 13,176 | ||||||
South Jersey Industries, Inc. | 430 | 11,232 | ||||||
Southwest Gas Holdings, Inc. | 325 | 22,766 | ||||||
Spire, Inc. | 350 | 22,827 | ||||||
Sunnova Energy International, Inc. (d) | 690 | 19,265 | ||||||
The AES Corp. | 3,150 | 76,545 | ||||||
The Southern Co. | 5,713 | 391,798 | ||||||
UGI Corp. | 1,205 | 55,322 | ||||||
Vistra Corp. | 2,077 | 47,293 | ||||||
WEC Energy Group, Inc. | 1,639 | 159,098 | ||||||
Xcel Energy, Inc. | 2,500 | 169,250 | ||||||
6,262,272 | ||||||||
Total Common Stocks (Cost $59,308,892) | 254,785,097 | |||||||
RIGHT – 0.0% (f) | ||||||||
AMR Corp., Escrow (b)(c)(d) | 3,275 | – | ||||||
Total Right (Cost $0) | – | |||||||
Total Investments at Value - 98.7% (Cost $59,308,892) | 254,785,097 | |||||||
Other Assets in Excess of Liabilities - 1.3% | 3,408,694 | |||||||
Net Assets - 100.0% | $ | 258,193,791 |
Percentages are stated as a percent of net assets.
REIT - Real Estate Investment Trust
(a) | More narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting purposes. |
(b) | Illiquid security. The total value of such securities is $81 as of December 31, 2021, representing 0.0% of net assets. |
(c) | Level 3 security. Security has been valued at fair value in accordance with procedures adopted by and under the general supervision of the Board of Directors. The total value of such securities is $81 as of December 31, 2021, representing 0.0% of net assets. |
(d) | Non-income producing security. |
(e) | This security or a partial position of this security is on loan at December 31, 2021. The total market value of securities on loan at December 31, 2021, was $1,196,568 (Note 8). |
(f) | Represents less than 0.1%. |
WILSHIRE MUTUAL FUNDS, INC. | |
WILSHIRE INTERNATIONAL EQUITY FUND | December 31, 2021 |
SCHEDULE OF INVESTMENTS |
Shares | Value | |||||||
COMMON STOCKS - 79.6% | ||||||||
Australia - 2.9% | ||||||||
Abacus Property Group (a) | 15,591 | $ | 43,005 | |||||
ALS Ltd. (a) | 3,071 | 29,240 | ||||||
ARB Corp. Ltd. (a) | 1,871 | 71,505 | ||||||
ASX Ltd. (a) | 1,980 | 133,875 | ||||||
Atlassian Corp. PLC - Class A (b) | 4,080 | 1,555,663 | ||||||
Aurizon Holdings Ltd. (a) | 33,630 | 85,407 | ||||||
Australia & New Zealand Banking Group Ltd. (a) | 1,407 | 28,169 | ||||||
Aventus Group (a) | 25,268 | 66,210 | ||||||
BGP Holdings Ltd. (b)(c)(d) | 4,007 | – | ||||||
BHP Group Ltd. (a) | 7,374 | 223,173 | ||||||
BHP Group PLC (a) | 14,308 | 426,413 | ||||||
Charter Hall Group (a) | 5,116 | 76,759 | ||||||
Charter Hall Long Wale REIT (a) | 41,054 | 150,858 | ||||||
Charter Hall Retail REIT (a) | 64,303 | 199,361 | ||||||
Collins Foods Ltd. (a) | 3,661 | 35,622 | ||||||
Coronado Global Resources, Inc. (a)(b)(e) | 47,239 | 42,676 | ||||||
CSL Ltd. (a) | 11,100 | 2,350,578 | ||||||
Dexus (a)(b) | 11,732 | 94,943 | ||||||
Dicker Data Ltd. (a) | 2,361 | 25,500 | ||||||
Downer EDI Ltd. (a) | 6,321 | 27,423 | ||||||
Elders Ltd. (a) | 6,978 | 62,211 | ||||||
Emeco Holdings Ltd. (a) | 66,464 | 42,594 | ||||||
Evolution Mining Ltd. (a) | 7,762 | 22,968 | ||||||
Goodman Group (a) | 6,868 | 132,623 | ||||||
Grange Resources Ltd. (a) | 171,935 | 94,767 | ||||||
GUD Holdings Ltd. (a) | 11,914 | 98,586 | ||||||
Hansen Technologies Ltd. (a) | 7,018 | �� | 27,317 | |||||
Healius Ltd. (a) | 62,317 | 239,483 | ||||||
IGO Ltd. (a) | 8,237 | 69,068 | ||||||
Iluka Resources Ltd. (a) | 3,897 | 28,793 | ||||||
Ingenia Communities Group (a) | 30,719 | 139,181 | ||||||
Inghams Group Ltd. (a) | 22,985 | 58,544 | ||||||
JB Hi-Fi Ltd. (a) | 889 | 31,261 | ||||||
Lifestyle Communities Ltd. (a) | 2,708 | 41,061 | ||||||
Magellan Financial Group Ltd. (a) | 3 | 46 | ||||||
Medibank Pvt Ltd. (a) | 13,773 | 33,577 | ||||||
Metcash Ltd. (a) | 24,029 | 78,690 | ||||||
National Australia Bank Ltd. (a) | 5,386 | 113,045 | ||||||
New Hope Corp. Ltd. (a) | 71,081 | 115,499 | ||||||
Nick Scali Ltd. (a) | 9,704 | 108,428 | ||||||
NRW Holdings Ltd. (a) | 25,212 | 32,440 | ||||||
Perseus Mining Ltd. (a) | 44,851 | 52,929 | ||||||
REA Group Ltd. (a) | 2,322 | 283,307 | ||||||
Rio Tinto Ltd. (a) | 117 | 8,548 | ||||||
Rural Funds Group (a) | 20,054 | 46,279 | ||||||
Sandfire Resources Ltd. (a) | 11,258 | 54,085 | ||||||
Seven West Media Ltd. (a)(b) | 77,815 | 36,525 | ||||||
Shopping Centres Australasia Property Group (a) | 67,477 | 145,855 | ||||||
Sonic Healthcare Ltd. (a) | 4,421 | 150,172 | ||||||
Stockland (a) | 13,964 | 43,095 | ||||||
Super Retail Group Ltd. (a) | 9,293 | 84,384 | ||||||
Technology One Ltd. (a) | 5,274 | 48,991 | ||||||
Telstra Corp. Ltd. (a) | 14,358 | 43,673 | ||||||
Waypoint REIT (a) | 16,480 | 33,970 | ||||||
Wesfarmers Ltd. (a) | 5,635 | 243,147 | ||||||
West African Resources Ltd. (a)(b) | 119,657 | 115,155 | ||||||
Westpac Banking Corp. (a) | 6,097 | 94,791 | ||||||
8,721,468 | ||||||||
Austria - 0.2% | ||||||||
Erste Group Bank AG (a) | 932 | 43,812 | ||||||
Oesterreichische Post AG (a) | 659 | 28,324 | ||||||
OMV AG (a) | 1,694 | 96,253 | ||||||
Palfinger AG (a) | 656 | 25,603 | ||||||
Raiffeisen Bank International AG (a) | 7 | 206 | ||||||
Semperit AG Holding (a) | 2,609 | 86,781 | ||||||
Telekom Austria AG (a) | 7,219 | 62,590 | ||||||
Verbund AG (a) | 168 | 18,961 | ||||||
Wienerberger AG (a) | 2,869 | 105,470 | ||||||
468,000 | ||||||||
Belgium - 0.3% | ||||||||
Aedifica SA (a) | 368 | 48,146 | ||||||
Anheuser-Busch InBev SA/NV (a) | 8 | 484 | ||||||
Bekaert SA (a) | 2,885 | 128,588 | ||||||
Intervest Offices & Warehouses NV (a) | 1,037 | 33,300 | ||||||
KBC Group NV (a) | 5,896 | 506,405 | ||||||
Retail Estates NV (a) | 271 | 22,032 | ||||||
Telenet Group Holding NV (a) | 3,301 | 120,487 | ||||||
Tessenderlo Group SA (a)(b) | 1,329 | 50,467 | ||||||
909,909 | ||||||||
Brazil - 0.8% | ||||||||
Ambev SA | 649,900 | 1,801,518 | ||||||
Cia de Saneamento de Minas Gerais-COPASA | 17,300 | 39,570 | ||||||
Cia de Saneamento do Parana | 36,400 | 125,015 | ||||||
Energisa SA | 1,700 | 13,475 | ||||||
Jalles Machado SA | 20,200 | 38,333 | ||||||
Mahle-Metal Leve SA | 4,700 | 26,074 | ||||||
Marfrig Global Foods SA | 9,700 | 38,765 | ||||||
Petroleo Brasileiro SA | 11,500 | 63,198 | ||||||
Portobello SA | 15,800 | 27,345 | ||||||
Vale SA | 2,796 | 39,305 | ||||||
WEG SA | 16,800 | 99,624 | ||||||
YDUQS Participacoes SA | 11,600 | 42,735 | ||||||
2,354,957 | ||||||||
Britain - 6.3% | ||||||||
Airtel Africa PLC (a)(e) | 48,655 | 87,913 | ||||||
Ashtead Group PLC (a) | 1,822 | 146,010 | ||||||
AstraZeneca PLC (a) | 5,744 | 669,319 | ||||||
Aviva PLC (a) | 127,719 | 709,262 | ||||||
Balfour Beatty PLC (a) | 10,759 | 38,063 | ||||||
Barclays PLC (a) | 297,613 | 756,466 | ||||||
Barratt Developments PLC (a) | 9,856 | 99,563 | ||||||
Big Yellow Group PLC (a) | 6,298 | 145,300 | ||||||
BP PLC (a) | 46,745 | 207,955 | ||||||
Bytes Technology Group PLC (a) | 3,568 | 27,358 | ||||||
Central Asia Metals PLC (a) | 14,430 | 50,431 | ||||||
Centrica PLC (a)(b) | 72,298 | 69,848 | ||||||
Clipper Logistics PLC (a) | 4,857 | 47,802 | ||||||
Coca-Cola Europacific Partners PLC | 6,820 | 381,443 | ||||||
Compass Group PLC (a)(b) | 3,264 | 72,710 | ||||||
Computacenter PLC (a) | 5,508 | 217,082 | ||||||
Cranswick PLC (a) | 1,481 | 74,138 | ||||||
Currys PLC (a) | 20,354 | 31,407 | ||||||
CVS Group PLC (a) | 1,384 | 41,952 | ||||||
Diageo PLC (a) | 3,697 | 201,534 | ||||||
Direct Line Insurance Group PLC (a) | 7,204 | 27,157 | ||||||
Drax Group PLC (a) | 4,043 | 33,142 | ||||||
Dunelm Group PLC (a) | 3,379 | 63,051 | ||||||
EMIS Group PLC (a) | 3,868 | 70,990 | ||||||
Firstgroup PLC (a)(b) | 41,774 | 57,945 | ||||||
Forterra PLC (a)(e) | 9,668 | 36,092 | ||||||
Future PLC (a) | 2,374 | 122,930 | ||||||
Greggs PLC (a) | 3,365 | 151,503 | ||||||
Gulf Keystone Petroleum Ltd. (a) | 37,277 | 90,553 | ||||||
Halfords Group PLC (a) | 20,372 | 95,299 | ||||||
Hargreaves Lansdown PLC (a) | 340 | 6,239 | ||||||
Howden Joinery Group PLC (a) | 15,346 | 186,739 | ||||||
HSBC Holdings PLC (a) | 274,135 | 1,658,814 | ||||||
IMI PLC (a) | 11,972 | 280,596 | ||||||
Indivior PLC (a)(b) | 11,188 | 38,852 | ||||||
InterContinental Hotels Group PLC (a)(b) | 1,522 | 97,966 | ||||||
ITV PLC (a)(b) | 107,608 | 160,495 | ||||||
J Sainsbury PLC (a) | 367,224 | 1,369,175 | ||||||
John Wood Group PLC (a)(b) | 501,015 | 1,295,404 | ||||||
Jubilee Metals Group PLC (b) | 103,499 | 22,765 | ||||||
Kainos Group PLC (a) | 5,617 | 145,916 | ||||||
Keller Group PLC (a) | 2,436 | 32,468 | ||||||
Liontrust Asset Management PLC (a) | 3,252 | 96,846 | ||||||
Lloyds Banking Group PLC (a) | 457,300 | 294,812 | ||||||
M&G PLC (a) | 12,454 | 33,620 | ||||||
Man Group PLC/Jersey (a) | 49,357 | 151,882 | ||||||
NatWest Group PLC (a) | 234,276 | 713,860 | ||||||
Ninety One PLC (a) | 23,025 | 86,267 | ||||||
OSB Group PLC (a) | 4,432 | 33,192 | ||||||
Pagegroup PLC (a) | 3,508 | 30,105 | ||||||
Pan African Resources PLC (a) | 137,529 | 31,043 | ||||||
Paragon Banking Group PLC (a) | 3,545 | 27,116 | ||||||
PayPoint PLC (a) | 4,360 | 39,233 | ||||||
Persimmon PLC (a) | 1,005 | 38,762 | ||||||
Pets at Home Group Plc (a) | 9,950 | 62,569 | ||||||
Premier Foods PLC (a) | 15,926 | 24,113 | ||||||
Prudential PLC (a) | 4,772 | 82,288 | ||||||
QinetiQ Group PLC (a) | 5,461 | 19,656 | ||||||
Reckitt Benckiser Group PLC (a) | 8,606 | 738,286 | ||||||
Redde Northgate PLC (a) | 10,651 | 62,795 | ||||||
Redrow PLC (a) | 2,629 | 24,891 | ||||||
Renewi PLC (a)(b) | 6,254 | 63,973 | ||||||
Renishaw PLC (a) | 388 | 25,095 | ||||||
Rio Tinto PLC (a) | 3,561 | 234,780 | ||||||
Royal Mail PLC (a) | 24,146 | 165,636 | ||||||
RWS Holdings PLC (a) | 3,330 | 29,262 | ||||||
Safestore Holdings PLC (a) | 18,037 | 343,629 | ||||||
Savills PLC (a) | 3,678 | 70,018 | ||||||
Serco Group PLC (a) | 76,987 | 140,404 | ||||||
Serica Energy PLC (a) | 11,293 | 36,836 | ||||||
Spirent Communications PLC (a) | 6,140 | 22,991 | ||||||
Stagecoach Group PLC (a)(b) | 75,310 | 91,510 | ||||||
Standard Chartered PLC (a) | 156,135 | 943,652 | ||||||
Standard Life Investment Property, Inc.ome Trust Ltd. (a) | 47,643 | 52,556 | ||||||
SThree PLC (a) | 7,759 | 48,661 | ||||||
Supermarket, Inc.ome Reit PLC (a) | 73,005 | 120,559 | ||||||
Tate & Lyle PLC (a) | 7,078 | 63,252 | ||||||
Team17 Group PLC (a)(b) | 2,788 | 29,434 | ||||||
TechnipFMC PLC (b) | 181,765 | 1,076,049 | ||||||
Tesco PLC (a) | 350,820 | 1,375,434 | ||||||
The Restaurant Group PLC (a)(b) | 23,851 | 30,315 | ||||||
Tullow Oil PLC (a)(b) | 42,310 | 26,593 | ||||||
Unilever PLC (a) | 891 | 47,735 | ||||||
Vertu Motors PLC (a) | 38,139 | 35,506 | ||||||
Virgin Money UK PLC (a)(b) | 25,985 | 62,321 | ||||||
Vodafone Group PLC (a) | 616,657 | 919,730 | ||||||
Watches of Switzerland Group PLC (a)(b)(e) | 3,632 | 69,777 | ||||||
Wincanton PLC (a) | 10,153 | 50,521 | ||||||
18,887,212 | ||||||||
Canada - 4.7% | ||||||||
AGF Management Ltd. - Class B | 17,810 | 117,565 | ||||||
Alimentation Couche-Tard, Inc. | 3,500 | 146,646 | ||||||
Artis Real Estate Investment Trust | 12,000 | 113,269 | ||||||
Bank of Montreal | 2,800 | 301,460 | ||||||
Baytex Energy Corp. (b) | 14,000 | 43,274 | ||||||
Birchcliff Energy Ltd. | 8,200 | 41,877 | ||||||
Bird Construction, Inc. | 4,300 | 33,382 | ||||||
BRP, Inc. | 1,100 | 96,352 | ||||||
Canaccord Genuity Group, Inc. | 4,100 | 48,878 | ||||||
Canadian Apartment Properties REIT | 2,685 | 127,272 | ||||||
Canadian Imperial Bank of Commerce | 700 | 81,596 | ||||||
Canadian Natural Resources Ltd. | 3,000 | 126,764 | ||||||
Canadian Pacific Railway Ltd. | 34,750 | 2,499,915 | ||||||
Canadian Pacific Railway Ltd. | 800 | 57,539 | ||||||
Canadian Tire Corp. Ltd. - Class A | 500 | 71,718 | ||||||
Canadian Western Bank | 3,057 | 87,726 | ||||||
Canfor Corp. (b) | 4,354 | 110,352 | ||||||
Cenovus Energy, Inc. | 3,400 | 41,689 | ||||||
CI Financial Corp. | 8,062 | 168,512 | ||||||
Cogeco Communications, Inc. | 1,134 | 90,302 | ||||||
Constellation Software, Inc. | 200 | 371,072 | ||||||
Crescent Point Energy Corp. | 9,900 | 52,828 | ||||||
Dream Industrial Real Estate Investment Trust | 5,300 | 72,150 | ||||||
Empire Co. Ltd. | 4,600 | 140,151 | ||||||
Enbridge, Inc. | 7,100 | 277,332 | ||||||
Enerplus Corp. | 3,000 | 31,638 | ||||||
ERO Copper Corp. (b) | 1,600 | 24,412 | ||||||
Fairfax Financial Holdings Ltd. | 400 | 196,764 | ||||||
Finning International, Inc. | 8,543 | 215,306 | ||||||
Gildan Activewear, Inc. | 6,100 | 258,621 | ||||||
Granite Real Estate Investment Trust | 1,394 | 116,153 | ||||||
H&R Real Estate Investment Trust | 6,300 | 80,932 | ||||||
Hardwoods Distribution, Inc. | 1,400 | 49,583 | ||||||
Home Capital Group, Inc. (b) | 1,800 | 55,596 | ||||||
IGM Financial, Inc. | 200 | 7,213 | ||||||
Imperial Oil Ltd. | 1,700 | 61,310 | ||||||
Interfor Corp. | 1,800 | 57,645 | ||||||
Intertape Polymer Group, Inc. | 1,900 | 39,534 | ||||||
Kinross Gold Corp. | 25,000 | 145,065 | ||||||
Kirkland Lake Gold Ltd. | 2,275 | 95,338 | ||||||
Linamar Corp. | 554 | 32,816 | ||||||
Lululemon Athletica, Inc. (b) | 5,210 | 2,039,454 | ||||||
Lundin Mining Corp. | 1,300 | 10,154 | ||||||
Magnet Forensics, Inc. (b) | 1,100 | 28,584 | ||||||
Methanex Corp. | 2,100 | 83,074 | ||||||
Mullen Group Ltd. | 8,200 | 75,391 | ||||||
National Bank of Canada | 1,600 | 121,984 | ||||||
Nutrien Ltd. | 300 | 22,549 | ||||||
Onex Corp. | 1,700 | 133,425 | ||||||
Parex Resources, Inc. | 2,800 | 47,834 | ||||||
Parkland Corp. (b) | 2,000 | 54,975 | ||||||
Pet Valu Holdings Ltd. | 1,600 | 45,624 | ||||||
Richelieu Hardware Ltd. | 5,099 | 175,872 | ||||||
Royal Bank of Canada | 2,200 | 233,488 | ||||||
Russel Metals, Inc. | 6,857 | 182,300 | ||||||
Shopify, Inc. - Class A (b) | 1,660 | 2,286,467 | ||||||
Shopify, Inc. - Class A (b) | 100 | 137,689 | ||||||
Sleep Country Canada Holdings, Inc. (e) | 1,836 | 54,473 | ||||||
Spin Master Corp. (b)(e) | 800 | 30,319 | ||||||
Stelco Holdings, Inc. | 1,400 | 45,621 | ||||||
Summit Industrial, Inc.ome REIT | 3,700 | 68,738 | ||||||
Suncor Energy, Inc. | 2,300 | 57,548 | ||||||
The Bank of Nova Scotia | 4,281 | 303,066 | ||||||
The North West Co, Inc. | 3,544 | 95,930 | ||||||
The Toronto-Dominion Bank | 5,200 | 398,669 | ||||||
Thomson Reuters Corp. | 500 | 59,793 | ||||||
TMX Group Ltd. | 100 | 10,139 | ||||||
Toromont Industries Ltd. | 300 | 27,122 | ||||||
Tricon Residential, Inc. | 2,200 | 33,671 | ||||||
True North Commercial Real Estate Investment Trust | 15,000 | 87,869 | ||||||
Western Forest Products, Inc. | 75,600 | 126,105 | ||||||
Whitecap Resources, Inc. | 6,800 | 40,264 | ||||||
WSP Global, Inc. | 700 | 101,617 | ||||||
14,007,355 | ||||||||
Chile - 0.0% (f) | ||||||||
Empresa Nacional de Telecomunicaciones SA | 13,002 | 43,935 | ||||||
Enel Americas SA | 41,850 | 4,568 | ||||||
Engie Energia Chile SA | 62,526 | 36,840 | ||||||
Falabella SA | 11,537 | 37,631 | ||||||
122,974 | ||||||||
China - 4.0% | ||||||||
Alibaba Group Holding Ltd. (a)(b) | 104,448 | 1,563,791 | ||||||
Anhui Conch Cement Co. Ltd. (a) | 19,300 | 96,416 | ||||||
Anhui Conch Cement Co. Ltd. (a) | 9,369 | 59,239 | ||||||
ANTA Sports Products Ltd. (a) | 5,900 | 88,515 | ||||||
Baidu, Inc. (b) | 5,095 | 758,085 | ||||||
Bank of Jiangsu Co. Ltd. (a) | 29,300 | 26,795 | ||||||
Beijing United Information Technology Co. Ltd. (a) | 500 | 8,433 | ||||||
BGI Genomics Co. Ltd. (a) | 1,000 | 13,786 | ||||||
Bilibili, Inc. (b) | 112 | 5,197 | ||||||
BYD Co. Ltd. (a) | 3,900 | 163,889 | ||||||
By-health Co. Ltd. (a) | 2,700 | 11,429 | ||||||
China BlueChemical Ltd. (a) | 88,000 | 24,491 | ||||||
China Construction Bank Corp. (a) | 752,000 | 521,047 | ||||||
China Construction Bank Corp. (a) | 16,700 | 15,340 | ||||||
China Galaxy Securities Co. Ltd. (a) | 113,300 | 65,097 | ||||||
China Galaxy Securities Co. Ltd. (a) | 6,900 | 12,112 | ||||||
China Medical System Holdings Ltd. (a) | 26,000 | 43,443 | ||||||
China Modern Dairy Holdings Ltd. (a) | 159,000 | 26,715 | ||||||
China National Building Material Co. Ltd. (a) | 14,000 | 17,174 | ||||||
China Petroleum & Chemical Corp. (a) | 292,000 | 136,092 | ||||||
China Petroleum & Chemical Corp. (a) | 39,000 | 25,879 | ||||||
China Reinsurance Group Corp. (a) | 938,000 | 90,289 | ||||||
China Shenhua Energy Co. Ltd. (a) | 16,000 | 37,513 | ||||||
China Shenhua Energy Co. Ltd. (a) | 13,500 | 47,710 | ||||||
China XLX Fertiliser Ltd. (a) | 52,000 | 35,549 | ||||||
China Yongda Automobiles Services Holdings Ltd. (a) | 16,500 | 22,092 | ||||||
Chlitina Holding Ltd. (a) | 7,000 | 57,331 | ||||||
Chongqing Brewery Co. Ltd. (a)(b) | 1,200 | 28,483 | ||||||
CMGE Technology Group Ltd. (a) | 60,000 | 23,876 | ||||||
COFCO Joycome Foods Ltd. (a) | 71,000 | 27,046 | ||||||
Country Garden Services Holdings Co. Ltd. (a) | 2,500 | 14,976 | ||||||
Daqo New Energy Corp. (b) | 1,636 | 65,963 | ||||||
DaShenLin Pharmaceutical Group Co. Ltd. (a) | 2,040 | 13,477 | ||||||
Ecovacs Robotics Co. Ltd. (a) | 900 | 21,316 | ||||||
Focus Media Information Technology Co. Ltd. (a) | 34,839 | 44,765 | ||||||
G-bits Network Technology Xiamen Co. Ltd. (a) | 200 | 13,236 | ||||||
Gigadevice Semiconductor Beijing, Inc. (a) | 600 | 16,527 | ||||||
Guangzhou Kingmed Diagnostics Group Co. Ltd. (a) | 1,100 | 19,221 | ||||||
Haitong Securities Co. Ltd. (a) | 22,600 | 43,468 | ||||||
Hangzhou Robam Appliances Co. Ltd. (a) | 1,300 | 7,328 | ||||||
Huaxi Securities Co. Ltd. (a) | 6,200 | 9,580 | ||||||
Huisen Household International Group Ltd. (a) | 92,000 | 23,328 | ||||||
Industrial & Commercial Bank of China Ltd. (a) | 394,100 | 222,478 | ||||||
JCET Group Co. Ltd. (a) | 4,200 | 20,439 | ||||||
JD.com, Inc. (b) | 1,188 | 83,243 | ||||||
Jiangsu Hengli Hydraulic Co. Ltd. (a) | 3,148 | 40,462 | ||||||
Jiangsu Yanghe Brewery Joint-Stock Co. Ltd. (a) | 3,300 | 85,284 | ||||||
JiuGui Liquor Co. Ltd. (a) | 524 | 17,463 | ||||||
JNBY Design Ltd. (a) | 38,500 | 61,220 | ||||||
Li Auto, Inc. (b) | 2,064 | 66,254 | ||||||
Li Ning Co. Ltd. (a) | 126,000 | 1,378,870 | ||||||
Livzon Pharmaceutical Group, Inc. (a) | 1,500 | 9,460 | ||||||
LONGi Green Energy Technology Co. Ltd. (a) | 6,320 | 85,457 | ||||||
Luzhou Laojiao Co. Ltd. (a) | 800 | 31,870 | ||||||
Mango Excellent Media Co. Ltd. (a) | 3,400 | 30,516 | ||||||
NetDragon Websoft Holdings Ltd. (a) | 21,000 | 49,362 | ||||||
NetEase, Inc. | 861 | 87,633 | ||||||
NIO, Inc. (b) | 2,828 | 89,591 | ||||||
Oppein Home Group, Inc. (a) | 1,200 | 27,764 | ||||||
PetroChina Co. Ltd. (a) | 468,000 | 208,431 | ||||||
PetroChina Co. Ltd. (a) | 18,300 | 14,095 | ||||||
Pinduoduo, Inc. (b) | 1,334 | 77,772 | ||||||
SAIC Motor Corp. Ltd. (a) | 18,268 | 59,064 | ||||||
SG Micro Corp. (a) | 600 | 29,084 | ||||||
Shaanxi Coal Industry Co. Ltd. (a) | 3,000 | 5,743 | ||||||
Shanghai Jahwa United Co. Ltd. (a) | 1,600 | 10,146 | ||||||
Shanghai Pharmaceuticals Holding Co. Ltd. (a) | 2,700 | 8,417 | ||||||
Shenzhou International Group Holdings Ltd. (a) | 64,900 | 1,247,729 | ||||||
Sinotrans Ltd. (a) | 209,000 | 67,019 | ||||||
Sinotruk Hong Kong Ltd. (a) | 27,000 | 41,556 | ||||||
Tencent Holdings Ltd. (a) | 4,380 | 256,945 | ||||||
Tongdao Liepin Group (a)(b) | 18,600 | 45,389 | ||||||
Trip.com Group Ltd. (b) | 58,815 | 1,448,025 | ||||||
Want Want China Holdings Ltd. | 166,300 | 152,703 | ||||||
West China Cement Ltd. (a) | 158,000 | 28,173 | ||||||
Will Semiconductor Co. Ltd. Shanghai (a) | 1,800 | 87,728 | ||||||
Wuxi Biologics Cayman, Inc. (a)(b)(e) | 115,619 | 1,374,293 | ||||||
XPeng, Inc. (b) | 1,343 | 67,593 | ||||||
Zhongsheng Group Holdings Ltd. (a) | 4,000 | 31,217 | ||||||
Zoomlion Heavy Industry Science and Technology Co. Ltd. (a) | 46,800 | 29,491 | ||||||
Zoomlion Heavy Industry Science and Technology Co. Ltd. (a) | 16,600 | 18,673 | ||||||
12,042,691 | ||||||||
Czech Republic - 0.2% | ||||||||
CEZ AS (a) | 18,635 | 705,183 | ||||||
Komercni Banka AS (a) | 129 | 5,516 | ||||||
710,699 | ||||||||
Denmark - 3.1% | ||||||||
ALK-Abello A/S (a)(b) | 149 | 78,216 | ||||||
AP Moller - Maersk A/S (a) | 543 | 1,948,794 | ||||||
AP Moller - Maersk A/S (a) | 20 | 66,669 | ||||||
Carlsberg AS (a) | 4 | 687 | ||||||
Chemometec A/S (a) | 321 | 40,723 | ||||||
D/S Norden A/S (a) | 1,969 | 49,974 | ||||||
Danske Bank A/S (a) | 33,742 | 576,663 | ||||||
DSV A/S (a) | 11,996 | 2,771,877 | ||||||
Genmab A/S (a)(b) | 947 | 379,178 | ||||||
GN Store Nord AS (a) | 1,767 | 110,411 | ||||||
Jyske Bank A/S (a)(b) | 2,574 | 132,589 | ||||||
Netcompany Group A/S (a)(e) | 349 | 37,215 | ||||||
Novo Nordisk A/S (a) | 21,561 | 2,410,407 | ||||||
Pandora A/S (a) | 495 | 61,608 | ||||||
Per Aarsleff Holding A/S (a) | 1,530 | 71,501 | ||||||
Ringkjoebing Landbobank A/S (a) | 509 | 68,371 | ||||||
Royal Unibrew A/S (a) | 902 | 101,725 | ||||||
Scandinavian Tobacco Group A/S (a)(e) | 8,044 | 168,779 | ||||||
Schouw & Co. A/S (a) | 262 | 22,812 | ||||||
Solar A/S (a) | 313 | 37,716 | ||||||
9,135,915 | ||||||||
Egypt - 0.1% | ||||||||
Palm Hills Developments SAE | 527,384 | 66,905 | ||||||
Telecom Egypt Co (a) | 73,352 | 78,302 | ||||||
145,207 | ||||||||
Finland - 1.0% | ||||||||
Kemira Oyj (a) | 4,506 | 67,983 | ||||||
Kesko Oyj (a) | 3,333 | 110,566 | ||||||
Neste Oyj (a) | 6,437 | 317,410 | ||||||
Nokia Oyj (a)(b) | 283,277 | 1,779,570 | ||||||
Nordea Bank Abp (a) | 17,946 | 218,553 | ||||||
QT Group Oyj (a)(b) | 405 | 60,847 | ||||||
Sampo Oyj (a) | 4,557 | 227,348 | ||||||
Tecnotree Oyj (a)(b)(g) | 21,594 | 35,782 | ||||||
Terveystalo Oyj (a)(e) | 2,259 | 30,340 | ||||||
Tokmanni Group Corp. (a) | 4,136 | 92,418 | ||||||
Uponor Oyj (a) | 4,093 | 97,545 | ||||||
Valmet Oyj (a) | 1,512 | 64,370 | ||||||
3,102,732 | ||||||||
France - 5.0% | ||||||||
Airbus SE (a)(b) | 1,539 | 196,551 | ||||||
Amundi SA (a)(e) | 17,903 | 1,477,864 | ||||||
Biosynex (a)(g) | 1,141 | 34,182 | ||||||
Bouygues SA (a) | 9,135 | 327,306 | ||||||
Bureau Veritas SA (a) | 3,911 | 129,816 | ||||||
Cie de Saint-Gobain (a) | 2,931 | 206,167 | ||||||
Cie Generale des Etablissements Michelin SCA (a) | 13,026 | 2,135,197 | ||||||
Coface SA (a)(b) | 4,076 | 58,103 | ||||||
Constellium SE (b) | 2,000 | 35,820 | ||||||
Elis SA (a)(b) | 3,219 | 55,725 | ||||||
Faurecia SE (a) | 201 | 9,562 | ||||||
Hermes International (a) | 169 | 295,103 | ||||||
Ipsen SA (a) | 211 | 19,295 | ||||||
IPSOS (a) | 1,266 | 59,428 | ||||||
Jacquet Metals SACA (a) | 2,470 | 59,139 | ||||||
Kering SA (a) | 18 | 14,443 | ||||||
Klepierre SA (a) | 480 | 11,382 | ||||||
Lagardere SA (a)(b) | 1,707 | 47,369 | ||||||
Legrand SA (a) | 1,050 | 122,886 | ||||||
L'Oreal SA (a) | 123 | 58,307 | ||||||
LVMH Moet Hennessy Louis Vuitton SE (a) | 3,375 | 2,785,048 | ||||||
Mercialys SA (a) | 4,827 | 47,067 | ||||||
Mersen SA (a) | 815 | 34,266 | ||||||
Nexans SA (a) | 656 | 64,206 | ||||||
Nexity SA (a) | 2,032 | 95,561 | ||||||
Pernod Ricard SA (a) | 6,420 | 1,544,635 | ||||||
Publicis Groupe SA (a) | 12,581 | 847,033 | ||||||
Rexel SA (a) | 124,181 | 2,524,415 | ||||||
Rothschild & Co (a) | 813 | 37,304 | ||||||
Sanofi (a) | 1,121 | 112,631 | ||||||
Sartorius Stedim Biotech (a) | 63 | 34,503 | ||||||
SCOR SE (a) | 12,608 | 393,736 | ||||||
Societe BIC SA (a) | 3,205 | 172,589 | ||||||
Societe Generale SA (a) | 1,906 | 65,451 | ||||||
Television Francaise 1 (a) | 5,474 | 54,354 | ||||||
Thales SA (a) | 623 | 53,019 | ||||||
TotalEnergies SE (a) | 3,768 | 191,379 | ||||||
Valeo (a) | 863 | 26,085 | ||||||
Verallia SA (a)(e) | 2,273 | 80,095 | ||||||
Vicat SA (a) | 1,313 | 53,764 | ||||||
Virbac SA (a) | 409 | 197,209 | ||||||
14,767,995 | ||||||||
Georgia - 0.0% (f) | ||||||||
Bank of Georgia Group PLC (a) | 2,063 | 46,568 | ||||||
TBC Bank Group PLC (a) | 3,161 | 70,521 | ||||||
117,089 | ||||||||
Germany - 3.3% | ||||||||
Adesso SE (a) | 323 | 76,724 | ||||||
adidas AG (a) | 435 | 125,454 | ||||||
Allianz SE (a) | 1,799 | 425,318 | ||||||
Amadeus Fire AG (a) | 367 | 76,047 | ||||||
Aurubis AG (a) | 1,198 | 120,121 | ||||||
BASF SE (a) | 35,440 | 2,492,686 | ||||||
Bayerische Motoren Werke AG (a) | 3,981 | 401,173 | ||||||
Cewe Stiftung & Co. KGAA (a) | 445 | 65,055 | ||||||
Covestro AG (a)(e) | 28,809 | 1,777,654 | ||||||
CropEnergies AG (a) | 2,151 | 29,997 | ||||||
Daimler AG (a) | 3,173 | 243,654 | ||||||
Daimler Truck Holding AG (b) | 1,587 | 58,323 | ||||||
Dermapharm Holding SE (a) | 1,403 | 142,622 | ||||||
Deutsche Post AG (a) | 45 | 2,897 | ||||||
Deutz AG (a)(b) | 6,238 | 46,656 | ||||||
Freenet AG (a) | 1,918 | 50,905 | ||||||
Fresenius Medical Care AG & Co KGaA (a) | 23,405 | 1,516,157 | ||||||
Gerresheimer AG (a) | 438 | 42,253 | ||||||
Hannover Rueck SE (a) | 79 | 15,043 | ||||||
HelloFresh SE (a)(b) | 3,524 | 271,068 | ||||||
Hornbach Baumarkt AG (a) | 2,050 | 111,190 | ||||||
Hornbach Holding AG & Co KGaA (a) | 1,645 | 248,275 | ||||||
Infineon Technologies AG (a) | 2,274 | 105,443 | ||||||
Kloeckner & Co. SE (a)(b) | 5,748 | 70,150 | ||||||
Koenig & Bauer AG (a)(b) | 954 | 33,999 | ||||||
MLP SE (a) | 2,758 | 26,891 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a) | 211 | 62,596 | ||||||
ProSiebenSat.1 Media SE (a) | 2,137 | 34,118 | ||||||
Puma SE (a) | 1,008 | 123,425 | ||||||
Rational AG (a) | 182 | 186,586 | ||||||
Rheinmetall AG (a) | 1,652 | 156,235 | ||||||
Salzgitter AG (a)(b) | 1,096 | 39,209 | ||||||
SAP SE (a) | 1,291 | 184,382 | ||||||
Siemens AG (a) | 2,207 | 383,626 | ||||||
Sirius Real Estate Ltd. (a) | 45,974 | 88,001 | ||||||
Suedzucker AG (a) | 1,998 | 30,146 | ||||||
SUESS MicroTec SE (a)(b) | 1,245 | 29,745 | ||||||
Volkswagen AG (a) | 367 | 107,944 | ||||||
Wacker Neuson SE (a) | 2,224 | 63,904 | ||||||
Wuestenrot & Wuerttembergische AG (a) | 1,312 | 26,261 | ||||||
10,091,933 | ||||||||
Gibraltar - 0.0% (f) | ||||||||
888 Holdings PLC (a) | 30,379 | 123,833 | ||||||
Greece - 0.0% (f) | ||||||||
FF Group (b)(c) | 2,880 | – | ||||||
Hellenic Telecommunications Organization SA (a) | 146 | 2,702 | ||||||
National Bank of Greece SA (a)(b) | 9,878 | 32,968 | ||||||
35,670 | ||||||||
Hong Kong - 1.9% | ||||||||
AIA Group Ltd. (a) | 225,965 | 2,278,048 | ||||||
Beijing Enterprises Holdings Ltd. (a) | 14,500 | 50,025 | ||||||
Brilliance China Automotive Holdings Ltd. (b)(c) | 658,000 | – | ||||||
China Everbright Ltd. (a) | 46,000 | 54,986 | ||||||
China Overseas Land & Investment Ltd. (a) | 304,000 | 719,747 | ||||||
China Resources Land Ltd. (a) | 6,000 | 25,241 | ||||||
China Water Affairs Group Ltd. (a) | 38,000 | 54,501 | ||||||
Chow Tai Fook Jewellery Group Ltd. (a) | 16,000 | 28,780 | ||||||
CP Pokphand Co. Ltd. | 550,000 | 80,410 | ||||||
First Pacific Co. Ltd. (a) | 402,000 | 148,013 | ||||||
Futu Holdings Ltd. (b)(g) | 658 | 28,491 | ||||||
Galaxy Entertainment Group Ltd. (a)(b) | 277,000 | 1,435,342 | ||||||
Henderson Land Development Co. Ltd. (a) | 13,200 | 56,223 | ||||||
Hutchison Port Holdings Trust (a) | 145,000 | 32,626 | ||||||
Johnson Electric Holdings Ltd. (a) | 20,000 | 42,389 | ||||||
Kerry Logistics Network Ltd. (a) | 26,500 | 64,794 | ||||||
Melco Resorts & Entertainment Ltd. (b) | 9 | 92 | ||||||
Perfect Medical Health Management Ltd. (a) | 51,000 | 37,051 | ||||||
Sino Biopharmaceutical Ltd. (a) | 54,000 | 37,839 | ||||||
Sun Hung Kai Properties Ltd. (a) | 6,000 | 72,836 | ||||||
Texhong Textile Group Ltd. (a) | 21,000 | 27,754 | ||||||
Truly International Holdings Ltd. (a) | 88,000 | 36,005 | ||||||
VSTECS Holdings Ltd. (a) | 62,000 | 58,134 | ||||||
Yuexiu Property Co. Ltd. (a) | 183,800 | 161,947 | ||||||
5,531,274 | ||||||||
Hungary - 0.0% (f) | ||||||||
MOL Hungarian Oil & Gas PLC (a) | 7,560 | 58,679 | ||||||
OTP Bank Nyrt (a)(b) | 307 | 15,686 | ||||||
74,365 | ||||||||
India - 1.6% | ||||||||
APL Apollo Tubes Ltd. (a)(b) | 4,946 | 66,525 | ||||||
Apollo Hospitals Enterprise Ltd. (a) | 3,248 | 219,136 | ||||||
Bajaj Auto Ltd. (a) | 2,478 | 108,325 | ||||||
Bharat Petroleum Corp. Ltd. (a) | 33,893 | 175,771 | ||||||
Bharti Airtel Ltd. (a)(b) | 5,525 | 50,832 | ||||||
Chambal Fertilisers and Chemicals Ltd. (a) | 14,452 | 76,705 | ||||||
Colgate-Palmolive India Ltd. (a) | 1,468 | 29,256 | ||||||
Computer Age Management Services Ltd. (a) | 607 | 21,763 | ||||||
Container Corp. Of India Ltd. (a) | 623 | 5,151 | ||||||
Coromandel International Ltd. (a) | 2,461 | 24,949 | ||||||
Escorts Ltd. (a) | 3,227 | 82,817 | ||||||
GAIL India Ltd. (a) | 8,266 | 14,370 | ||||||
GHCL Ltd. (a) | 9,075 | 46,001 | ||||||
Gujarat Narmada Valley Fertilizers & Chemicals Ltd. (a) | 6,755 | 40,052 | ||||||
Gujarat State Fertilizers & Chemicals Ltd. (a) | 21,813 | 35,393 | ||||||
Havells India Ltd. (a) | 5,171 | 97,192 | ||||||
Hero MotoCorp Ltd. (a) | 4,708 | 155,618 | ||||||
Hindustan Petroleum Corp. Ltd. (a) | 26,648 | 104,755 | ||||||
ICICI Bank Ltd. (a) | 39,583 | 392,100 | ||||||
ICICI Securities Ltd. (a)(e) | 2,899 | 30,869 | ||||||
Indian Energy Exchange Ltd. (a)(e) | 43,218 | 146,826 | ||||||
Indian Oil Corp. Ltd. (a) | 72,900 | 109,368 | ||||||
Indraprastha Gas Ltd. (a) | 10,990 | 69,549 | ||||||
KPIT Technologies Ltd. (a) | 6,997 | 57,708 | ||||||
Laurus Labs Ltd. (a)(e) | 6,468 | 46,894 | ||||||
Mahindra & Mahindra Ltd. (a) | 7,193 | 81,014 | ||||||
Marksans Pharma Ltd. (a) | 39,968 | 32,344 | ||||||
National Aluminium Co. Ltd. (a) | 42,406 | 57,629 | ||||||
Newgen Software Technologies Ltd. (a) | 5,333 | 42,276 | ||||||
NIIT Ltd. (a) | 7,625 | 46,265 | ||||||
NTPC Ltd. (a) | 149,751 | 250,429 | ||||||
Oil & Natural Gas Corp. Ltd. (a) | 44,733 | 85,610 | ||||||
Oil India Ltd. (a) | 14,212 | 38,031 | ||||||
Page Industries Ltd. (a) | 199 | 108,215 | ||||||
Persistent Systems Ltd. (a) | 649 | 42,802 | ||||||
Polyplex Corp. Ltd. (a) | 6,259 | 157,799 | ||||||
Power Grid Corp. of India Ltd. (a) | 60,407 | 166,076 | ||||||
PTC India Ltd. (a) | 66,953 | 98,243 | ||||||
Rail Vikas Nigam Ltd. (a) | 65,209 | 30,486 | ||||||
Redington India Ltd. (a) | 28,982 | 56,472 | ||||||
Shree Cement Ltd. (a) | 31 | 11,257 | ||||||
Siemens Ltd. (a) | 2,797 | 88,802 | ||||||
Sonata Software Ltd. (a) | 2,553 | 29,908 | ||||||
State Bank of India (a) | 33,234 | 205,875 | ||||||
Suven Pharmaceuticals Ltd. (a) | 4,213 | 27,873 | ||||||
Tata Steel Ltd. (a) | 8,805 | 131,691 | ||||||
The Great Eastern Shipping Co. Ltd. (a) | 14,141 | 56,376 | ||||||
Thyrocare Technologies Ltd. (a)(e) | 2,223 | 33,141 | ||||||
Trident Ltd./India (a) | 57,344 | 41,099 | ||||||
Uflex Ltd. (a) | 4,548 | 31,309 | ||||||
UltraTech Cement Ltd. (a) | 135 | 13,787 | ||||||
United Spirits Ltd. (a)(b) | 11,408 | 137,825 | ||||||
Vaibhav Global Ltd. (a)(b) | 5,272 | 41,463 | ||||||
Vedanta Ltd. (a) | 14,602 | 67,036 | ||||||
Wipro Ltd. (a) | 15,726 | 151,357 | ||||||
WNS Holdings Ltd. (b) | 2,578 | 227,431 | ||||||
4,797,846 | ||||||||
Indonesia - 0.1% | ||||||||
Adaro Energy Tbk PT (a) | 307,000 | 48,469 | ||||||
Astra Agro Lestari Tbk PT (a) | 75,200 | 50,127 | ||||||
Dharma Satya Nusantara Tbk PT (a) | 663,800 | 23,287 | ||||||
Industri Jamu Dan Farmasi Sido Muncul Tbk PT (a) | 1,101,700 | 66,849 | ||||||
Japfa Comfeed Indonesia Tbk PT (a) | 388,000 | 46,816 | ||||||
Metrodata Electronics Tbk PT (a) | 102,300 | 27,418 | ||||||
Tower Bersama Infrastructure Tbk PT (a) | 10,400 | 2,152 | ||||||
XL Axiata Tbk PT (a) | 160,000 | 35,580 | ||||||
300,698 | ||||||||
Ireland - 2.9% | ||||||||
Accenture PLC - Class A | 6,645 | 2,754,685 | ||||||
Bank of Ireland Group PLC (a)(b) | 5,718 | 32,440 | ||||||
Experian PLC (a) | 65,031 | 3,190,058 | ||||||
ICON PLC (b) | 7,730 | 2,393,981 | ||||||
James Hardie Industries PLC (a) | 6,783 | 273,015 | ||||||
Keywords Studios PLC (a) | 1,211 | 48,157 | ||||||
8,692,336 | ||||||||
Isle Of Man - 0.0% (f) | ||||||||
Playtech Plc (a)(b) | 6,585 | 65,275 | ||||||
Israel - 0.5% | ||||||||
Ashtrom Group Ltd. (a) | 2,231 | 60,542 | ||||||
Bank Hapoalim BM (a) | 12,226 | 125,899 | ||||||
Bank Leumi Le-Israel BM (a) | 2,837 | 30,484 | ||||||
Check Point Software Technologies Ltd. (b) | 23 | 2,681 | ||||||
CyberArk Software Ltd. (b) | 207 | 35,869 | ||||||
Danel Adir Yeoshua Ltd. (a) | 495 | 112,059 | ||||||
Delek Group Ltd. (a)(b) | 518 | 42,393 | ||||||
Delta Galil Industries Ltd. (a) | 819 | 56,266 | ||||||
ICL Group Ltd. (a) | 7,627 | 73,273 | ||||||
Israel Discount Bank Ltd. (a) | 28,891 | 194,057 | ||||||
Matrix IT Ltd. (a) | 1,413 | 42,899 | ||||||
Maytronics Ltd. (a) | 3,544 | 87,395 | ||||||
Nova Ltd. (b) | 800 | 117,200 | ||||||
Palram Industries 1990 Ltd. (a) | 1,812 | 27,592 | ||||||
Perion Network Ltd. (b) | 1,300 | 31,265 | ||||||
Plus500 Ltd. (a) | 3,786 | 69,642 | ||||||
Radware Ltd. (b) | 4,249 | 176,928 | ||||||
The Phoenix Holdings Ltd. (a) | 7,293 | 94,232 | ||||||
1,380,676 | ||||||||
Italy - 1.7% | ||||||||
Anima Holding SpA (a)(e) | 12,263 | 62,169 | ||||||
Azimut Holding SpA (a) | 1,528 | 42,652 | ||||||
Banca Generali SpA (a) | 1,201 | 52,611 | ||||||
Banca Popolare di Sondrio SCPA (a) | 9,350 | 39,290 | ||||||
Banco BPM SpA (a) | 42,289 | 126,775 | ||||||
Buzzi Unicem SpA (a) | 2,886 | 61,954 | ||||||
Credito Emiliano SpA (a) | 5,764 | 38,159 | ||||||
Danieli & C Officine Meccaniche SpA (a) | 2,924 | 57,058 | ||||||
De' Longhi SpA (a) | 1,592 | 56,882 | ||||||
DiaSorin SpA (a) | 120 | 22,828 | ||||||
Digital Bros SpA (a) | 1,123 | 38,161 | ||||||
El.En. SpA (a) | 2,120 | 37,333 | ||||||
Enel SpA (a) | 147,516 | 1,174,811 | ||||||
Eni SpA (a) | 4,996 | 69,063 | ||||||
Exprivia SpA (a)(b) | 15,587 | 39,156 | ||||||
Ferrari NV (a) | 9,617 | 2,473,654 | ||||||
Fila SpA (a) | 3,081 | 33,796 | ||||||
Hera SpA (a) | 21,250 | 88,083 | ||||||
Iren SpA (a) | 12,829 | 38,577 | ||||||
Leonardo SpA (a)(b) | 15,969 | 113,949 | ||||||
MFE-MediaForEurope NV - Class B | 10,980 | 15,563 | ||||||
Moncler SpA (a) | 2,615 | 189,001 | ||||||
Piaggio & C SpA (a) | 16,982 | 55,268 | ||||||
Reply SpA (a) | 450 | 90,836 | ||||||
Sanlorenzo SpA/Ameglia (a) | 1,193 | 51,441 | ||||||
Tinexta Spa (a) | 504 | 21,722 | ||||||
5,090,792 | ||||||||
Japan - 10.5% | ||||||||
ADEKA Corp. (a) | 3,300 | 73,654 | ||||||
AFC-HD AMS Life Science Co. Ltd. (a) | 5,900 | 44,679 | ||||||
Astena Holdings Co. Ltd. (a) | 8,600 | 36,264 | ||||||
Bell System24 Holdings, Inc. (a) | 7,000 | 76,136 | ||||||
Belluna Co. Ltd. (a) | 3,600 | 22,190 | ||||||
Benesse Holdings, Inc. (a) | 1,400 | 27,437 | ||||||
BML, Inc. (a) | 1,100 | 34,189 | ||||||
Bunka Shutter Co. Ltd. (a) | 4,300 | 40,150 | ||||||
Canon, Inc. (a) | 6,100 | 148,551 | ||||||
Careerlink Co. Ltd. (a) | 2,100 | 24,650 | ||||||
Cawachi Ltd. (a) | 5,600 | 107,206 | ||||||
Chugai Pharmaceutical Co. Ltd. (a) | 2,200 | 71,354 | ||||||
Cosmo Energy Holdings Co. Ltd. (a) | 3,400 | 66,450 | ||||||
Credit Saison Co. Ltd. (a) | 12,700 | 133,496 | ||||||
Cresco Ltd. (a) | 2,000 | 36,359 | ||||||
CTI Engineering Co. Ltd. (a) | 2,000 | 43,435 | ||||||
Daihen Corp. (a) | 1,000 | 41,516 | ||||||
Dai-ichi Life Holdings, Inc. (a) | 13,400 | 270,723 | ||||||
Daikin Industries Ltd. (a) | 1,600 | 362,966 | ||||||
Dainichiseika Color & Chemicals Manufacturing Co. Ltd. (a) | 1,300 | 26,495 | ||||||
Daito Trust Construction Co. Ltd. (a) | 900 | 102,820 | ||||||
DCM Holdings Co. Ltd. (a) | 17,000 | 157,403 | ||||||
Dear Life Co. Ltd. (a) | 10,900 | 51,962 | ||||||
Dentsu Group, Inc. (a) | 800 | 28,518 | ||||||
Digital Holdings, Inc. (a)(b) | 3,500 | 39,973 | ||||||
Disco Corp. (a) | 1,100 | 336,187 | ||||||
DTS Corp. (a) | 1,300 | 28,528 | ||||||
Earth Corp. (a) | 1,600 | 85,272 | ||||||
Eisai Co. Ltd. (a) | 1,200 | 68,138 | ||||||
EJ Holdings, Inc. (a) | 3,800 | 41,199 | ||||||
Electric Power Development Co. Ltd. (a) | 3,100 | 41,154 | ||||||
Endo Lighting Corp. (a) | 4,900 | 46,012 | ||||||
Exedy Corp. (a) | 7,900 | 114,357 | ||||||
FANUC Corp. (a) | 300 | 63,596 | ||||||
FIDEA Holdings Co. Ltd. (a) | 2,600 | 30,158 | ||||||
Fukuoka Financial Group, Inc. (a) | 30,100 | 515,810 | ||||||
Furuno Electric Co. Ltd. (a) | 2,500 | 26,324 | ||||||
GMO internet, Inc. (a) | 2,600 | 60,983 | ||||||
H.U. Group Holdings, Inc. (a) | 5,400 | 136,836 | ||||||
Hakuto Co. Ltd. (a) | 4,200 | 96,257 | ||||||
Halows Co. Ltd. (a) | 1,500 | 36,804 | ||||||
Hankyu Hanshin REIT, Inc. (a) | 21 | 28,950 | ||||||
Hanwa Co. Ltd. (a) | 4,400 | 124,716 | ||||||
Hokkaido Electric Power Co, Inc. (a) | 29,300 | 130,551 | ||||||
Honda Motor Co. Ltd. (a) | 60,600 | 1,701,798 | ||||||
Hoshizaki Corp. (a) | 1,000 | 74,978 | ||||||
Hosiden Corp. (a) | 3,600 | 36,082 | ||||||
Hoya Corp. (a) | 1,200 | 177,929 | ||||||
Hulic Reit, Inc. (a) | 16 | 24,067 | ||||||
Iida Group Holdings Co. Ltd. (a) | 2,400 | 55,681 | ||||||
Iino Kaiun Kaisha Ltd. (a) | 11,300 | 53,686 | ||||||
Inabata & Co. Ltd. (a) | 1,900 | 27,702 | ||||||
INFRONEER Holdings, Inc. (a) | 10,000 | 90,881 | ||||||
Inpex Corp. (a) | 8,800 | 76,736 | ||||||
ISB Corp. (a) | 2,500 | 22,023 | ||||||
Iseki & Co. Ltd. (a) | 3,500 | 42,056 | ||||||
Isuzu Motors Ltd. (a) | 84,900 | 1,056,327 | ||||||
Itfor, Inc. (a) | 5,900 | 41,400 | ||||||
Itochu Techno-Solutions Corp. (a) | 200 | 6,434 | ||||||
Itoham Yonekyu Holdings, Inc. (a) | 24,100 | 137,697 | ||||||
Jaccs Co. Ltd. (a) | 2,500 | 64,381 | ||||||
Japan Communications, Inc. (a)(b) | 24,200 | 42,711 | ||||||
Japan Post Holdings Co. Ltd. (a) | 28,800 | 224,786 | ||||||
Japan Securities Finance Co. Ltd. (a) | 9,900 | 82,629 | ||||||
Japan Tobacco, Inc. (a) | 300 | 6,049 | ||||||
Joshin Denki Co. Ltd. (a) | 1,600 | 29,769 | ||||||
JSP Corp. (a) | 2,600 | 36,958 | ||||||
Juki Corp. (a) | 11,800 | 87,002 | ||||||
Juroku Financial Group, Inc. (a) | 3,400 | 63,960 | ||||||
JVCKenwood Corp. (a) | 82,100 | 125,623 | ||||||
Kamei Corp. (a) | 4,900 | 44,445 | ||||||
Kaneka Corp. (a) | 1,600 | 52,514 | ||||||
Kawasaki Kisen Kaisha Ltd. (a)(b) | 2,100 | 126,351 | ||||||
KDDI Corp. (a) | 1,800 | 52,612 | ||||||
Keyence Corp. (a) | 4,380 | 2,752,664 | ||||||
KFC Holdings Japan Ltd. (a) | 2,700 | 67,908 | ||||||
Kintetsu World Express, Inc. (a) | 2,500 | 64,992 | ||||||
Ki-Star Real Estate Co. Ltd. (a) | 500 | 38,821 | ||||||
Kobe Steel Ltd. (a) | 8,500 | 42,642 | ||||||
Komatsu Ltd. (a) | 86,400 | 2,023,402 | ||||||
Komeri Co. Ltd. (a) | 1,900 | 42,238 | ||||||
Kuraray Co. Ltd. (a) | 3,000 | 26,057 | ||||||
Kureha Corp. (a) | 1,000 | 71,470 | ||||||
KYB Corp. (a) | 1,300 | 36,452 | ||||||
Kyocera Corp. (a) | 100 | 6,249 | ||||||
Lasertec Corp. (a) | 9,200 | 2,796,779 | ||||||
Lawson, Inc. (a) | 1,800 | 85,179 | ||||||
Macnica Fuji Electronics Holdings, Inc. (a) | 6,200 | 148,359 | ||||||
Marubeni Corp. (a) | 7,200 | 70,082 | ||||||
Maruha Nichiro Corp. (a) | 1,600 | 33,395 | ||||||
Meiko Network Japan Co. Ltd. (a) | 5,300 | 26,218 | ||||||
Mimasu Semiconductor Industry Co. Ltd. (a) | 4,800 | 110,599 | ||||||
Mirai Corp. (a) | 371 | 159,367 | ||||||
Mirait Holdings Corp. (a) | 4,500 | 74,220 | ||||||
MISUMI Group, Inc. (a) | 10,200 | 418,588 | ||||||
Mitsubishi Logistics Corp. (a) | 2,800 | 70,234 | ||||||
Mitsubishi Materials Corp. (a) | 1,700 | 29,192 | ||||||
Mitsubishi UFJ Financial Group, Inc. (a) | 500 | 2,717 | ||||||
Mitsui & Co. Ltd. (a) | 23,300 | 551,729 | ||||||
Mitsui Chemicals, Inc. (a) | 2,700 | 72,538 | ||||||
Mitsui-Soko Holdings Co. Ltd. (a) | 4,900 | 105,910 | ||||||
Mizuho Financial Group, Inc. (a) | 200 | 2,544 | ||||||
MOS Food Services, Inc. (a) | 1,400 | 37,398 | ||||||
MS&AD Insurance Group Holdings, Inc. (a) | 19,200 | 592,425 | ||||||
Nachi-Fujikoshi Corp. (a) | 2,100 | 75,225 | ||||||
Nexon Co. Ltd. (a) | 1,900 | 36,641 | ||||||
NGK Spark Plug Co. Ltd. (a) | 1,600 | 27,863 | ||||||
Nintendo Co. Ltd. (a) | 500 | 233,219 | ||||||
Nippon Electric Glass Co. Ltd. (a) | 5,700 | 146,145 | ||||||
Nippon Light Metal Holdings Co. Ltd. (a) | 1,900 | 28,503 | ||||||
NIPPON REIT Investment Corp. (a) | 6 | 21,386 | ||||||
Nippon Steel Corp. (a) | 200 | 3,271 | ||||||
Nippon Suisan Kaisha Ltd. (a) | 17,900 | 84,506 | ||||||
Nippon Systemware Co. Ltd. (a) | 1,400 | 27,971 | ||||||
Nippon Telegraph & Telephone Corp. (a) | 20,400 | 557,776 | ||||||
Nipro Corp. (a) | 17,500 | 165,400 | ||||||
Nishi-Nippon Financial Holdings, Inc. (a) | 14,900 | 96,370 | ||||||
Nisshinbo Holdings, Inc. (a) | 33,200 | 252,077 | ||||||
Nitto Denko Corp. (a) | 2,400 | 185,504 | ||||||
Nomura Research Institute Ltd. (a) | 5,101 | 217,228 | ||||||
NS United Kaiun Kaisha Ltd. (a) | 900 | 27,349 | ||||||
Okamura Corp. (a) | 8,000 | 89,237 | ||||||
Olympus Corp. (a) | 26,100 | 599,496 | ||||||
Omron Corp. (a) | 200 | 19,928 | ||||||
Onoken Co. Ltd. (a) | 5,500 | 80,095 | ||||||
Osaka Soda Co. Ltd. (a) | 2,000 | 52,862 | ||||||
Oyo Corp. (a) | 6,200 | 115,668 | ||||||
Pacific Metals Co. Ltd. (a) | 6,400 | 119,041 | ||||||
Panasonic Corp. (a) | 138,241 | 1,520,449 | ||||||
Pharma Foods International Co. Ltd. (a) | 2,300 | 42,337 | ||||||
Recruit Holdings Co. Ltd. (a) | 4,900 | 297,033 | ||||||
Renesas Electronics Corp. (a)(b) | 2,400 | 29,470 | ||||||
Resona Holdings, Inc. (a) | 150,900 | 586,963 | ||||||
Resorttrust, Inc. (a) | 3,300 | 53,911 | ||||||
Restar Holdings Corp. (a) | 4,000 | 70,109 | ||||||
Riken Corp. (a) | 1,200 | 26,854 | ||||||
Riken Vitamin Co. Ltd. (a) | 2,300 | 34,074 | ||||||
Rock Field Co. Ltd. (a) | 2,300 | 30,102 | ||||||
S Foods, Inc. (a) | 1,300 | 39,251 | ||||||
Sakai Chemical Industry Co. Ltd. (a) | 1,500 | 29,891 | ||||||
Sanei Architecture Planning Co. Ltd. (a) | 2,900 | 44,099 | ||||||
Sankyo Tateyama, Inc. (a) | 4,100 | 25,760 | ||||||
Santen Pharmaceutical Co. Ltd. (a) | 3,200 | 39,044 | ||||||
SCREEN Holdings Co. Ltd. (a) | 1,000 | 106,726 | ||||||
Secom Co. Ltd. (a) | 500 | 34,715 | ||||||
Seiko Epson Corp. (a) | 2,700 | 48,617 | ||||||
Seven & i Holdings Co. Ltd. (a) | 1,100 | 48,353 | ||||||
Shimadzu Corp. (a) | 6,500 | 274,382 | ||||||
Shimano, Inc. (a) | 1,800 | 478,367 | ||||||
Shin Nippon Biomedical Laboratories Ltd. (a) | 5,600 | 68,971 | ||||||
SKY Perfect JSAT Holdings, Inc. (a) | 41,400 | 151,169 | ||||||
SoftBank Corp. (a) | 7,600 | 96,104 | ||||||
SoftBank Group Corp. (a) | 100 | 4,725 | ||||||
Sony Group Corp. (a) | 2,300 | 290,741 | ||||||
SOSiLA Logistics REIT, Inc. (a) | 17 | 25,976 | ||||||
Star Asia Investment Corp. (a) | 138 | 75,857 | ||||||
Star Mica Holdings Co. Ltd. (a) | 3,400 | 39,198 | ||||||
Starts Proceed Investment Corp. (a) | 50 | 103,409 | ||||||
Sumitomo Corp. (a) | 22,900 | 338,567 | ||||||
Sumitomo Forestry Co. Ltd. (a) | 1,700 | 32,902 | ||||||
Sumitomo Heavy Industries Ltd. (a) | 1,100 | 26,675 | ||||||
Sumitomo Mitsui Financial Group, Inc. (a) | 27,200 | 929,733 | ||||||
Sumitomo Riko Co. Ltd. (a) | 4,900 | 25,251 | ||||||
Sumitomo Seika Chemicals Co. Ltd. (a) | 1,500 | 40,884 | ||||||
Sun Frontier Fudousan Co. Ltd. (a) | 4,500 | 39,242 | ||||||
Suntory Beverage & Food Ltd. (a) | 200 | 7,233 | ||||||
Suzuki Motor Corp. (a) | 7,800 | 300,364 | ||||||
T&D Holdings, Inc. (a) | 24,600 | 314,834 | ||||||
Taihei Dengyo Kaisha Ltd. (a) | 1,300 | 32,473 | ||||||
Takaoka Toko Co. Ltd. (a) | 2,500 | 30,887 | ||||||
Takara Bio, Inc. (a) | 1,100 | 25,216 | ||||||
Takara Leben Co. Ltd. (a) | 19,700 | 49,497 | ||||||
Takara Leben Real Estate Investment Corp. (a) | 81 | 81,712 | ||||||
Takasho Co. Ltd. (a) | 3,900 | 25,253 | ||||||
Takeuchi Manufacturing Co. Ltd. (a) | 1,500 | 35,592 | ||||||
TDC Soft, Inc. (a) | 3,200 | 32,134 | ||||||
The 77 Bank Ltd. (a) | 4,100 | 47,588 | ||||||
The Aichi Bank Ltd. (a) | 2,200 | 89,227 | ||||||
The Ogaki Kyoritsu Bank Ltd. (a) | 3,100 | 52,061 | ||||||
The Oita Bank Ltd. (a) | 2,200 | 34,963 | ||||||
Tokyo Electron Ltd. (a) | 500 | 286,228 | ||||||
Tokyo Seimitsu Co. Ltd. (a) | 600 | 26,418 | ||||||
Tokyotokeiba Co. Ltd. (a) | 1,700 | 62,925 | ||||||
Tosei Corp. (a) | 12,700 | 111,519 | ||||||
Toyo Seikan Group Holdings Ltd. (a) | 8,300 | 98,874 | ||||||
Toyo Tire Corp. (a) | 1,700 | 26,414 | ||||||
Toyobo Co. Ltd. (a) | 7,100 | 77,531 | ||||||
Toyota Motor Corp. (a) | 20,000 | 369,197 | ||||||
Trans Genic, Inc. (a) | 10,400 | 40,579 | ||||||
Transcosmos, Inc. (a) | 1,100 | 31,368 | ||||||
Trend Micro, Inc. (a)(b) | 500 | 27,658 | ||||||
TV Asahi Holdings Corp. (a) | 2,000 | 24,857 | ||||||
Uchida Yoko Co. Ltd. (a) | 1,600 | 73,309 | ||||||
Unitika Ltd. (a)(b) | 20,800 | 54,254 | ||||||
Xebio Holdings Co. Ltd. (a) | 8,100 | 64,930 | ||||||
Yamaha Motor Co. Ltd. (a) | 200 | 4,798 | ||||||
Yokorei Co. Ltd. (a) | 6,000 | 43,556 | ||||||
ZOZO, Inc. (a) | 5,000 | 155,690 | ||||||
31,457,854 | ||||||||
Jersey - 0.0% (f) | ||||||||
Centamin PLC (a) | 18,368 | 22,096 | ||||||
Luxembourg - 0.1% | ||||||||
Tenaris SA (a) | 18,445 | 192,506 | ||||||
Macau - 0.0% (f) | ||||||||
Sands China Ltd. (a)(b) | 3,600 | 8,386 | ||||||
Malaysia - 0.2% | ||||||||
Bumi Armada Bhd (a)(b) | 614,200 | 69,228 | ||||||
Cahya Mata Sarawak Bhd (a) | 125,100 | 38,440 | ||||||
Frencken Group Ltd. (a) | 45,600 | 66,765 | ||||||
Hibiscus Petroleum Bhd (a) | 391,200 | 76,626 | ||||||
Lotte Chemical Titan Holding Bhd (a)(e) | 101,100 | 58,244 | ||||||
Sime Darby Bhd (a) | 213,800 | 119,065 | ||||||
Sime Darby Plantation Bhd (a) | 67,200 | 60,654 | ||||||
Telekom Malaysia Bhd (a) | 44,200 | 58,287 | ||||||
547,309 | ||||||||
Malta - 0.1% | ||||||||
Catena Media PLC (a)(b) | 7,225 | 41,985 | ||||||
Kambi Group PLC (a)(b) | 1,221 | 34,734 | ||||||
Kindred Group PLC (a) | 8,111 | 95,897 | ||||||
172,616 | ||||||||
Mauritius - 0.0% (f) | ||||||||
Capital Ltd. (a) | 88,034 | 100,333 | ||||||
Mexico - 0.1% | ||||||||
America Movil SAB de CV | 1,200 | 1,271 | ||||||
Arca Continental SAB de CV | 15,700 | 99,695 | ||||||
GCC SAB de CV | 10,000 | 76,799 | ||||||
Genomma Lab Internacional SAB de CV | 42,200 | 44,353 | ||||||
Grupo Mexico SAB de CV | 1,900 | 8,283 | ||||||
Orbia Advance Corp. SAB de CV | 34,700 | 88,565 | ||||||
318,966 | ||||||||
Netherlands - 3.5% | ||||||||
Adyen NV (a)(b)(e) | 630 | 1,648,219 | ||||||
ASML Holding NV (a) | 1,546 | 1,232,737 | ||||||
ASML Holding NV | 3,570 | 2,842,220 | ||||||
ASR Nederland NV (a) | 3,700 | 170,112 | ||||||
Boskalis Westminster (a) | 1,780 | 51,978 | ||||||
Eurocommercial Properties NV (a) | 1,866 | 40,567 | ||||||
ForFarmers NV (a) | 5,797 | 26,642 | ||||||
Heijmans NV (a) | 4,019 | 67,771 | ||||||
ING Groep NV (a) | 100,716 | 1,403,427 | ||||||
Koninklijke Ahold Delhaize NV (a) | 9,966 | 341,482 | ||||||
Koninklijke BAM Groep NV (a)(b) | 17,187 | 52,742 | ||||||
Ordina NV (a) | 21,232 | 99,056 | ||||||
Randstad NV (a) | 2,737 | 187,505 | ||||||
Royal Dutch Shell PLC - Class A (a) | 2,603 | 57,115 | ||||||
Royal Dutch Shell PLC - Class A (a) | 4,129 | 90,632 | ||||||
Royal Dutch Shell PLC - Class B (a) | 91,689 | 2,014,809 | ||||||
Signify NV (a)(e) | 787 | 36,276 | ||||||
10,363,290 | ||||||||
New Zealand - 0.0% (f) | ||||||||
Fletcher Building Ltd. (a) | 5,542 | 27,822 | ||||||
Meridian Energy Ltd. (a) | 841 | 2,798 | ||||||
Pushpay Holdings Ltd. (a)(b) | 60,997 | 55,089 | ||||||
Summerset Group Holdings Ltd. (a) | 7,063 | 66,197 | ||||||
151,906 | ||||||||
Norway - 0.3% | ||||||||
Aker Solutions ASA (a)(b) | 27,062 | 71,659 | ||||||
Belships ASA (a) | 31,137 | 49,767 | ||||||
DNB Bank ASA (a) | 15,648 | 358,500 | ||||||
Equinor ASA (a) | 97 | 2,559 | ||||||
Europris ASA (a)(e) | 9,658 | 77,204 | ||||||
FLEX LNG Ltd. (a) | 2,311 | 51,630 | ||||||
Gjensidige Forsikring ASA (a) | 1,958 | 47,557 | ||||||
Kongsberg Gruppen ASA (a) | 1,186 | 38,490 | ||||||
SpareBank 1 Nord Norge (a) | 4,776 | 61,042 | ||||||
Veidekke ASA (a) | 2,030 | 30,508 | ||||||
788,916 | ||||||||
Philippines - 0.1% | ||||||||
Aboitiz Equity Ventures, Inc. (a) | 36,800 | 39,275 | ||||||
DMCI Holdings, Inc. (a) | 422,000 | 63,805 | ||||||
First Gen Corp. (a) | 52,100 | 28,436 | ||||||
Metro Pacific Investments Corp. (a) | 1,004,000 | 76,783 | ||||||
Metropolitan Bank & Trust Co. (a) | 21,500 | 23,494 | ||||||
Robinsons Land Corp. (a) | 71,700 | 26,995 | ||||||
258,788 | ||||||||
Poland - 0.1% | ||||||||
Asseco Poland SA (a) | 1,443 | 30,949 | ||||||
Cyfrowy Polsat SA (a) | 3,215 | 27,657 | ||||||
Enea SA (a)(b) | 23,053 | 48,662 | ||||||
Grupa Azoty SA (a)(b) | 4,356 | 36,550 | ||||||
InPost SA (a)(b) | 313 | 3,781 | ||||||
LPP SA (a) | 3 | 12,771 | ||||||
PGE Polska Grupa Energetyczna SA (a)(b) | 17,841 | 35,749 | ||||||
Polski Koncern Naftowy ORLEN SA (a) | 1,446 | 26,657 | ||||||
Polskie Gornictwo Naftowe i Gazownictwo SA (a) | 23,625 | 36,915 | ||||||
Santander Bank Polska SA (a) | 1,447 | 125,195 | ||||||
Tauron Polska Energia SA (a)(b) | 76,354 | 49,936 | ||||||
434,822 | ||||||||
Portugal - 0.1% | ||||||||
Banco Comercial Portugues SA (a)(b) | 292,049 | 46,836 | ||||||
Jeronimo Martins SGPS SA (a) | 5,652 | 129,352 | ||||||
Sonae SGPS SA (a) | 118,438 | 135,160 | ||||||
311,348 | ||||||||
Qatar - 0.1% | ||||||||
Industries Qatar QSC (a) | 40,417 | 171,899 | ||||||
Qatar Fuel QSC (a) | 6,247 | 31,353 | ||||||
Qatar Islamic Bank SAQ (a) | 4,540 | 22,850 | ||||||
226,102 | ||||||||
Russia - 0.9% | ||||||||
Beluga Group PJSC (b) | 517 | 23,065 | ||||||
Globaltrans Investment PLC (a) | 4,210 | 35,837 | ||||||
HeadHunter Group PLC | 500 | 25,545 | ||||||
LUKOIL PJSC | 16,488 | 1,480,622 | ||||||
Mechel PJSC (b) | 6,500 | 20,670 | ||||||
MMC Norilsk Nickel PJSC (a) | 426 | 129,491 | ||||||
Novolipetsk Steel PJSC (a) | 53,460 | 154,852 | ||||||
PhosAgro PJSC | 5,340 | 110,805 | ||||||
Ros Agro PLC (a) | 3,238 | 49,271 | ||||||
Rostelecom PJSC (b) | 106,154 | 123,304 | ||||||
Sberbank of Russia PJSC (a) | 29,200 | 113,954 | ||||||
Severstal PAO (a) | 9,951 | 212,356 | ||||||
Surgutneftegas PJSC (a) | 202,900 | 107,237 | ||||||
Tatneft PJSC (a) | 19,624 | 130,449 | ||||||
2,717,458 | ||||||||
Saudi Arabia - 0.1% | ||||||||
Alinma Bank (a) | 424 | 2,698 | ||||||
Etihad Etisalat Co. (a) | 3,280 | 27,179 | ||||||
Herfy Food Services Co. (a) | 4,493 | 74,494 | ||||||
Saudi Basic Industries Corp. (a) | 1,793 | 55,347 | ||||||
Saudi Industrial Investment Group (a) | 8,436 | 69,900 | ||||||
Saudi Kayan Petrochemical Co. (a)(b) | 4,742 | 21,475 | ||||||
Saudi Telecom Co (a) | 2,731 | 81,660 | ||||||
332,753 | ||||||||
Singapore - 0.7% | ||||||||
BW Energy Ltd. (a)(b) | 14,748 | 33,557 | ||||||
CROMWELL EU REIT (a)(b) | 19,100 | 55,020 | ||||||
DBS Group Holdings Ltd. (a) | 40,750 | 986,608 | ||||||
Golden Agri-Resources Ltd. (a) | 189,800 | 34,522 | ||||||
Oversea-Chinese Banking Corp. Ltd. (a) | 8,700 | 73,652 | ||||||
Propnex Ltd. (a) | 28,500 | 35,756 | ||||||
Raffles Medical Group Ltd. (a) | 92,200 | 93,760 | ||||||
Riverstone Holdings Ltd. (a) | 95,700 | 49,829 | ||||||
Sea Ltd. (b) | 18 | 4,027 | ||||||
Singapore Exchange Ltd. (a) | 1,300 | 8,977 | ||||||
SPH REIT (a) | 175,000 | 129,910 | ||||||
Wilmar International Ltd. (a) | 162,900 | 500,818 | ||||||
XP Power Ltd. (a) | 631 | 43,591 | ||||||
2,050,027 | ||||||||
South Africa - 0.4% | ||||||||
Anglo American Platinum Ltd. (a) | 953 | 108,538 | ||||||
Barloworld Ltd. (a) | 4,153 | 39,191 | ||||||
Impala Platinum Holdings Ltd. (a) | 4,727 | 66,763 | ||||||
Investec Ltd. (a) | 34,499 | 189,581 | ||||||
Investec PLC (a) | 45,568 | 247,637 | ||||||
KAP Industrial Holdings Ltd. (a) | 94,677 | 25,969 | ||||||
Kumba Iron Ore Ltd. (a) | 2,298 | 66,469 | ||||||
Mediclinic International PLC (a)(b) | 6,085 | 25,992 | ||||||
Mr Price Group Ltd. (a) | 2,731 | 34,194 | ||||||
MTN Group Ltd. (a)(b) | 2,256 | 24,115 | ||||||
MultiChoice Group (a) | 11,645 | 89,129 | ||||||
Murray & Roberts Holdings Ltd. (a)(b) | 42,482 | 38,016 | ||||||
Royal Bafokeng Platinum Ltd. (a) | 7,033 | 68,632 | ||||||
Shoprite Holdings Ltd. (a) | 16,425 | 215,181 | ||||||
Sibanye Stillwater Ltd. (a) | 1,445 | 4,465 | ||||||
Vodacom Group Ltd. (a) | 6,085 | 51,320 | ||||||
1,295,192 | ||||||||
South Korea - 2.3% | ||||||||
AfreecaTV Co. Ltd. (a) | 561 | 95,450 | ||||||
Asia Paper Manufacturing Co. Ltd. (a) | 728 | 32,004 | ||||||
BNK Financial Group, Inc. (a) | 20,484 | 144,341 | ||||||
Daewoo Engineering & Construction Co. Ltd. (a)(b) | 7,769 | 37,690 | ||||||
DB HiTek Co. Ltd. (a) | 1,072 | 65,495 | ||||||
DB Insurance Co. Ltd. (a) | 689 | 31,207 | ||||||
DGB Financial Group, Inc. (a) | 9,839 | 77,614 | ||||||
DoubleUGames Co. Ltd. (a) | 927 | 45,131 | ||||||
Global Standard Technology Co. Ltd. (a) | 1,055 | 33,132 | ||||||
GOLFZON Co. Ltd. (a) | 427 | 62,656 | ||||||
GS Holdings Corp. (a) | 1,658 | 54,500 | ||||||
Hana Financial Group, Inc. (a) | 21,866 | 770,016 | ||||||
Hankook Tire & Technology Co. Ltd. (a) | 3,531 | 117,332 | ||||||
Hansol Chemical Co. Ltd. (a) | 110 | 28,252 | ||||||
Hanwha Aerospace Co. Ltd. (a) | 772 | 31,099 | ||||||
Hanwha General Insurance Co. Ltd. (a)(b) | 11,184 | 34,782 | ||||||
Hanwha Life Insurance Co. Ltd. (a) | 14,071 | 34,727 | ||||||
HMM Co. Ltd. (a)(b) | 3,757 | 84,953 | ||||||
HYBE Co. Ltd. (a)(b) | 28 | 8,179 | ||||||
Hyundai Glovis Co. Ltd. (a) | 666 | 94,050 | ||||||
Hyundai Steel Co. (a) | 936 | 32,263 | ||||||
Insun ENT Co. Ltd. (a)(b) | 3,703 | 34,497 | ||||||
i-SENS, Inc. (a) | 1,074 | 27,280 | ||||||
JB Financial Group Co. Ltd. (a) | 5,186 | 36,378 | ||||||
Kakao Corp. (a)(b) | 569 | 53,667 | ||||||
KakaoBank Corp. (a)(b) | 74 | 3,663 | ||||||
Kia Corp. (a) | 3,573 | 245,298 | ||||||
Korea Gas Corp.. (a)(b) | 5,465 | 179,680 | ||||||
Korea Real Estate Investment & Trust Co. Ltd. (a) | 122,178 | 267,635 | ||||||
Korean Reinsurance Co (a) | 12,742 | 99,128 | ||||||
Kumho Petrochemical Co. Ltd. (a) | 718 | 99,945 | ||||||
Kyung Dong Navien Co. Ltd. (a) | 700 | 32,141 | ||||||
LabGenomics Co. Ltd. (a)(b) | 1,682 | 35,340 | ||||||
LF Corp. (a) | 4,838 | 70,185 | ||||||
LG Chem Ltd. (a) | 5 | 2,580 | ||||||
LG Corp. (a) | 212 | 14,336 | ||||||
LG Innotek Co. Ltd. (a) | 700 | 214,121 | ||||||
Lotte Chemical Corp. (a) | 153 | 27,911 | ||||||
LX Hausys Ltd. (a) | 1,361 | 69,841 | ||||||
LX Semicon Co. Ltd. (a) | 920 | 129,391 | ||||||
MOM'S TOUCH&Co. (a)(b) | 8,113 | 35,990 | ||||||
Osstem Implant Co. Ltd. (a) | 370 | 44,274 | ||||||
POSCO (a) | 4,947 | 1,135,627 | ||||||
Samchully Co. Ltd. (a) | 670 | 51,125 | ||||||
Samsung Card Co. Ltd. (a) | 955 | 25,300 | ||||||
Samsung Electronics Co. Ltd. (a) | 9,571 | 628,338 | ||||||
Samsung Securities Co. Ltd. (a) | 2,104 | 79,299 | ||||||
Seegene, Inc. (a) | 1,310 | 67,092 | ||||||
Shinhan Financial Group Co. Ltd. (a) | 34,039 | 1,049,590 | ||||||
SK Bioscience Co. Ltd. (a)(b) | 283 | 53,436 | ||||||
S-Oil Corp. (a) | 570 | 41,049 | ||||||
Sunjin Co. Ltd. (a) | 3,899 | 37,706 | ||||||
Woori Financial Group, Inc. (a) | 4,266 | 45,510 | ||||||
Youngone Corp. (a)(b) | 881 | 32,338 | ||||||
6,884,564 | ||||||||
Spain - 1.1% | ||||||||
Amadeus IT Group SA (a)(b) | 22,350 | 1,505,372 | ||||||
CaixaBank SA (a) | 352,580 | 966,843 | ||||||
Faes Farma SA (a) | 18,439 | 72,955 | ||||||
Gestamp Automocion SA (a)(b)(e) | 15,130 | 76,588 | ||||||
Grupo Catalana Occidente SA (a) | 1,236 | 42,037 | ||||||
Industria de Diseno Textil SA (a) | 7,867 | 254,957 | ||||||
Laboratorios Farmaceuticos Rovi SA (a) | 1,955 | 163,965 | ||||||
Pharma Mar SA (a) | 632 | 40,904 | ||||||
Repsol SA (a) | 3,456 | 41,021 | ||||||
Unicaja Banco SA (a)(e) | 33,725 | 33,379 | ||||||
3,198,021 | ||||||||
Sweden - 2.8% | ||||||||
AcadeMedia AB (a)(e) | 11,546 | 70,766 | ||||||
Alfa Laval AB (a) | 4,526 | 181,086 | ||||||
Assa Abloy AB (a) | 3,345 | 101,614 | ||||||
Atlas Copco AB (a) | 29,400 | 2,035,172 | ||||||
Betsson AB (a)(b) | 7,008 | 42,138 | ||||||
Bilia AB (a) | 5,348 | 94,668 | ||||||
Biotage AB (a) | 2,218 | 64,179 | ||||||
Boliden AB (a) | 214 | 8,296 | ||||||
Bufab AB (a) | 1,010 | 49,542 | ||||||
Byggmax Group AB (a) | 2,740 | 27,105 | ||||||
Coor Service Management Holding AB (a)(e) | 7,259 | 66,389 | ||||||
Epiroc AB (a)(b) | 1,178 | 29,866 | ||||||
EQT AB (a) | 2,771 | 150,617 | ||||||
Evolution AB (a)(e) | 16,000 | 2,250,899 | ||||||
Ferronordic AB (a) | 1,942 | 72,415 | ||||||
Fortnox AB (a) | 557 | 35,851 | ||||||
Getinge AB (a) | 2,041 | 88,652 | ||||||
H & M Hennes & Mauritz AB (a) | 4,505 | 88,352 | ||||||
Haldex AB (a)(b) | 6,162 | 36,135 | ||||||
Humana AB (a)(b) | 3,322 | 26,710 | ||||||
Husqvarna AB (a) | 6,736 | 107,248 | ||||||
Industrivarden AB (a) | 252 | 7,882 | ||||||
Intrum AB (a) | 917 | 23,681 | ||||||
Inwido AB (a) | 1,224 | 25,145 | ||||||
KNOW IT AB (a) | 1,292 | 53,495 | ||||||
Lindab International AB (a) | 3,097 | 110,125 | ||||||
Lundin Energy AB (a) | 7,883 | 282,703 | ||||||
New Wave Group AB (a) | 8,422 | 155,214 | ||||||
Nobina AB (a)(e) | 15,722 | 186,159 | ||||||
Nordic Waterproofing Holding AB (a) | 1,532 | 37,634 | ||||||
Peab AB - Class B (a) | 14,212 | 178,744 | ||||||
Saab AB (a) | 4,824 | 122,674 | ||||||
Sandvik AB (a) | 19,305 | 539,378 | ||||||
Skanska AB (a) | 103 | 2,653 | ||||||
SSAB AB - Class B (a)(b) | 46,384 | 232,584 | ||||||
Swedbank AB - Class A (a) | 14,133 | 283,829 | ||||||
Swedencare AB (a)(b) | 1,320 | 22,464 | ||||||
Swedish Match (a)(b) | 28,132 | 223,521 | ||||||
Thule Group AB (a)(e) | 3,432 | 207,444 | ||||||
8,323,029 | ||||||||
Switzerland - 5.8% | ||||||||
Alcon, Inc. (a) | 24,680 | 2,174,430 | ||||||
Bachem Holding AG (a) | 260 | 203,677 | ||||||
Belimo Holding AG (a)(b) | 67 | 42,408 | ||||||
Bobst Group SA (a)(b) | 403 | 36,659 | ||||||
Cie Financiere Richemont SA (a) | 433 | 64,657 | ||||||
Credit Suisse Group AG (a) | 42,296 | 410,239 | ||||||
dormakaba Holding AG (a) | 84 | 55,396 | ||||||
Ferrexpo PLC (a) | 14,776 | 59,855 | ||||||
Geberit AG (a) | 202 | 164,438 | ||||||
Holcim Ltd. (a) | 6,421 | 326,777 | ||||||
Huber + Suhner AG (a) | 508 | 48,311 | ||||||
Interroll Holding AG (a) | 12 | 53,908 | ||||||
Kardex Holding AG (a) | 117 | 38,513 | ||||||
Kongsberg Automotive ASA (a)(b) | 104,125 | 35,666 | ||||||
Kuehne + Nagel International AG (a) | 1,933 | 621,643 | ||||||
LEM Holding SA (a) | 22 | 61,319 | ||||||
Leonteq AG (a) | 402 | 30,522 | ||||||
Lonza Group AG (a) | 2,650 | 2,207,565 | ||||||
Nestle SA (a) | 19,732 | 2,758,372 | ||||||
Novartis AG (a) | 236 | 20,725 | ||||||
Partners Group Holding AG (a) | 104 | 171,446 | ||||||
Peach Property Group AG (a) | 396 | 27,527 | ||||||
Roche Holding AG (a) | 4,617 | 1,913,910 | ||||||
Sensirion Holding AG (a)(b)(e) | 458 | 66,488 | ||||||
SFS Group AG (a) | 362 | 49,886 | ||||||
SGS SA (a) | 9 | 29,979 | ||||||
Sika AG (a) | 6,856 | 2,845,896 | ||||||
Sonova Holding AG (a) | 497 | 194,113 | ||||||
STMicroelectronics NV (a) | 10,929 | 535,706 | ||||||
Tecan Group AG (a) | 279 | 169,654 | ||||||
The Swatch Group AG (a) | 1,332 | 77,726 | ||||||
UBS Group AG (a) | 93,104 | 1,671,039 | ||||||
Zehnder Group AG (a) | 726 | 73,906 | ||||||
17,242,356 | ||||||||
Taiwan - 4.5% | ||||||||
Acer, Inc. (a) | 141,000 | 154,848 | ||||||
Anpec Electronics Corp. (a) | 5,000 | 50,096 | ||||||
ASE Technology Holding Co. Ltd. (a) | 18,000 | 69,005 | ||||||
Asia Polymer Corp. (a) | 20,000 | 26,491 | ||||||
Asia Vital Components Co. Ltd. (a) | 10,000 | 31,752 | ||||||
Asustek Computer, Inc. (a) | 28,000 | 380,554 | ||||||
Brighton-Best International Taiwan, Inc. (a) | 21,000 | 29,268 | ||||||
Catcher Technology Co. Ltd. (a) | 89,000 | 501,985 | ||||||
Cathay Financial Holding Co. Ltd. (a) | 103,000 | 232,095 | ||||||
Chicony Power Technology Co. Ltd. (a) | 25,000 | 70,498 | ||||||
ChipMOS Technologies, Inc. (a) | 27,000 | 47,269 | ||||||
Compal Electronics, Inc. (a) | 105,000 | 91,759 | ||||||
CTBC Financial Holding Co. Ltd. (a) | 176,000 | 164,841 | ||||||
DA CIN Construction Co. Ltd. (a) | 72,000 | 85,171 | ||||||
Dimerco Express Corp. (a) | 12,170 | 46,389 | ||||||
E Ink Holdings, Inc. (a) | 7,000 | 37,935 | ||||||
Faraday Technology Corp. (a) | 5,000 | 42,939 | ||||||
Feng Hsin Steel Co. Ltd. (a) | 19,000 | 57,333 | ||||||
Foxsemicon Integrated Technology, Inc. (a) | 5,000 | 45,928 | ||||||
General Interface Solution Holding Ltd. (a) | 15,000 | 55,108 | ||||||
Gigabyte Technology Co. Ltd. (a) | 18,000 | 100,467 | ||||||
Global Mixed Mode Technology, Inc. (a) | 10,000 | 95,560 | ||||||
Global Unichip Corp. (a) | 2,000 | 42,181 | ||||||
Grand Pacific Petrochemical (a) | 48,000 | 49,797 | ||||||
Greatek Electronics, Inc. (a) | 38,000 | 107,034 | ||||||
HannStar Display Corp. (a) | 78,000 | 50,784 | ||||||
Hiwin Technologies Corp. (a) | 3,000 | 33,153 | ||||||
Holtek Semiconductor, Inc. (a) | 15,000 | 60,610 | ||||||
Hon Hai Precision Industry Co. Ltd. (a) | 584,961 | 2,193,003 | ||||||
ITE Technology, Inc. (a) | 28,000 | 109,407 | ||||||
Kindom Development Co. Ltd. (a) | 62,000 | 84,509 | ||||||
King Yuan Electronics Co. Ltd. (a) | 18,000 | 29,053 | ||||||
Macronix International Co. Ltd. (a) | 43,000 | 65,372 | ||||||
MediaTek, Inc. (a) | 13,600 | 581,463 | ||||||
Micro-Star International Co. Ltd. (a) | 18,000 | 104,125 | ||||||
Nanya Technology Corp. (a) | 43,000 | 121,337 | ||||||
Novatek Microelectronics Corp. (a) | 20,700 | 401,572 | ||||||
Pegavision Corp. (a) | 3,000 | 46,174 | ||||||
Pou Chen Corp. (a) | 5,000 | 5,982 | ||||||
Realtek Semiconductor Corp. (a) | 19,400 | 406,787 | ||||||
Shin Foong Specialty & Applied Materials Co. Ltd. (a) | 6,000 | 35,749 | ||||||
Shiny Chemical Industrial Co. Ltd. (a) | 21,111 | 133,873 | ||||||
Sigurd Microelectronics Corp. (a) | 18,000 | 38,163 | ||||||
Silicon Motion Technology Corp. | 500 | 47,515 | ||||||
Sitronix Technology Corp. (a) | 9,000 | 103,570 | ||||||
Speed Tech Corp. (a) | 10,000 | 29,677 | ||||||
Taita Chemical Co. Ltd. (a) | 27,500 | 34,266 | ||||||
Taiwan Glass Industry Corp. (a) | 56,000 | 53,974 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. (a) | 115,600 | 2,559,703 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 23,600 | 2,839,316 | ||||||
Tong Hsing Electronic Industries Ltd. (a) | 7,000 | 74,869 | ||||||
TXC Corp. (a) | 36,000 | 136,839 | ||||||
USI Corp. (a) | 21,000 | 23,943 | ||||||
Vanguard International Semiconductor Corp. (a) | 36,000 | 205,631 | ||||||
Winbond Electronics Corp. (a) | 49,000 | 59,877 | ||||||
Wisdom Marine Lines Co. Ltd. (a) | 11,000 | 32,431 | ||||||
13,319,030 | ||||||||
Thailand - 0.5% | ||||||||
AP Thailand PCL (a) | 793,900 | 227,038 | ||||||
Bangkok Chain Hospital PCL (a) | 60,400 | 36,302 | ||||||
Forth Corp. PCL (a)(b) | 185,000 | 117,327 | ||||||
Hana Microelectronics PCL (a) | 25,800 | 68,066 | ||||||
Indorama Ventures PCL (a) | 4,600 | 5,952 | ||||||
Mega Lifesciences PCL (a) | 55,000 | 83,085 | ||||||
Polyplex Thailand PCL (a) | 89,900 | 64,033 | ||||||
PTT Exploration & Production PCL (a) | 15,700 | 55,287 | ||||||
PTT Global Chemical PCL (a) | 32,200 | 56,401 | ||||||
Sri Trang Agro-Industry PCL (a) | 31,000 | 28,573 | ||||||
The Siam Commercial Bank PCL (a) | 193,500 | 728,723 | ||||||
1,470,787 | ||||||||
Turkey - 0.3% | ||||||||
Akbank TAS (a) | 649,930 | 347,125 | ||||||
Aksa Akrilik Kimya Sanayii AS (a) | 22,794 | 58,140 | ||||||
Aksa Enerji Uretim AS (a)(b) | 107,872 | 81,540 | ||||||
Haci Omer Sabanci Holding AS (a) | 94,813 | 94,828 | ||||||
Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS - Class D (a)(b) | 35,533 | 24,754 | ||||||
Koza Altin Isletmeleri AS (a)(b) | 2,967 | 25,950 | ||||||
Koza Anadolu Metal Madencilik Isletmeleri AS (a)(b) | 24,080 | 32,026 | ||||||
Logo Yazilim Sanayi Ve Ticaret AS (a) | 12,302 | 37,998 | ||||||
Sok Marketler Ticaret AS (a) | 30,455 | 28,582 | ||||||
Turk Telekomunikasyon AS (a) | 48,083 | 34,968 | ||||||
Vestel Elektronik Sanayi ve Ticaret AS (a) | 11,637 | 21,545 | ||||||
787,456 | ||||||||
United Arab Emirates - 0.4% | ||||||||
Abu Dhabi Commercial Bank PJSC (a) | 379,637 | 881,195 | ||||||
Abu Dhabi Islamic Bank PJSC (a) | 57,365 | 107,249 | ||||||
Dubai Islamic Bank PJSC (a) | 64,176 | 93,904 | ||||||
1,082,348 | ||||||||
United Kingdom - 0.5% | ||||||||
Travis Perkins (a)(b) | 70,583 | 1,481,672 | ||||||
United States - 3.5% | ||||||||
Aon PLC - Class A | 4,980 | 1,496,789 | ||||||
EPAM Systems, Inc. (b) | 3,090 | 2,065,510 | ||||||
Mettler-Toledo International, Inc. (b) | 1,320 | 2,240,317 | ||||||
Parade Technologies Ltd. (a) | 2,000 | 152,236 | ||||||
ResMed, Inc. | 9,910 | 2,581,357 | ||||||
STERIS PLC | 7,300 | 1,776,893 | ||||||
10,313,102 | ||||||||
Total Common Stocks (Cost $180,175,439) | 237,531,934 | |||||||
PREFERRED STOCKS - 0.9% | ||||||||
Brazil - 0.2% | ||||||||
Cia Energetica de Minas Gerais | 36,013 | 84,570 | ||||||
Cia Paranaense de Energia | 85,600 | 98,663 | ||||||
Metalurgica Gerdau SA | 22,000 | 45,067 | ||||||
Petroleo Brasileiro SA | 28,700 | 146,952 | ||||||
Unipar Carbocloro SA | 2,500 | 46,391 | ||||||
421,643 | ||||||||
Colombia - 0.0% (f) | ||||||||
Bancolombia SA | 287 | 2,259 | ||||||
Germany - 0.7% | ||||||||
Bayerische Motoren Werke AG (a) | 2,232 | 186,299 | ||||||
Draegerwerk AG & Co. KGaA (a) | 598 | 37,618 | ||||||
Einhell Germany AG (a) | 210 | 52,829 | ||||||
Schaeffler AG (a) | 11,400 | 94,559 | ||||||
STO SE & Co KGaA (a) | 346 | 87,040 | ||||||
Volkswagen AG (a) | 7,480 | 1,511,627 | ||||||
1,969,972 | ||||||||
Russia - 0.0% (f) | ||||||||
Surgutneftegas PJSC (a) | 270,800 | 138,763 | ||||||
Total Preferred Stocks (Cost $2,870,875) | 2,532,637 |
Par Value | ||||||||
U.S. TREASURY OBLIGATIONS - 0.5% | ||||||||
U.S. Treasury Notes - 0.5% | ||||||||
0.125%, due 05/31/23 (a) | 144,000 | 143,100 | ||||||
0.250%, due 09/30/23 (a) | 33,000 | 32,768 | ||||||
0.250%, due 06/15/24 (a) | 250,000 | 246,328 | ||||||
0.750%, due 11/15/24 (a) | 60,000 | 59,672 | ||||||
0.250%, due 10/31/25 (a) | 59,000 | 57,018 | ||||||
0.875%, due 09/30/26 (a) | 236,000 | 231,796 | ||||||
1.250%, due 11/30/26 (a) | 361,000 | 360,831 | ||||||
1.125%, due 02/15/31 (a) | 27,000 | 26,198 | ||||||
1.625%, due 05/15/31 (a) | 288,000 | 291,510 | ||||||
1.375%, due 11/15/31 (a) | 88,000 | 86,845 | ||||||
Total U.S. Treasury Obligations (Cost $1,546,205) | 1,536,066 | |||||||
AGENCY MORTGAGE-BACKED OBLIGATIONS - 0.1% | ||||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
Series K-108, 1.690%, due 03/25/30 (a)(h) | 499,859 | 60,778 | ||||||
Series K-1501, 0.394%, due 04/25/30 (a)(h) | 2,751,343 | 70,740 | ||||||
Series K-110, 1.697%, due 04/25/30 (a)(h) | 498,916 | 59,789 | ||||||
Series K-118, 0.961%, due 09/25/30 (a)(h) | 997,697 | 71,593 | ||||||
Total Agency Mortgage-Backed Obligations (Cost $226,217) | 262,900 | |||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 2.0% | ||||||||
Alen 2021-ACEN Mortgage Trust | ||||||||
Series 2021-ACEN, 2.360%, due 04/15/34 (1 Month U.S. LIBOR + 2.250%) (a)(e)(i) | 200,000 | 199,626 | ||||||
BBCMS 2018-TALL Mortgage Trust | ||||||||
Series 2018-TALL, 0.832%, due 03/15/37 (1 Month U.S. LIBOR + 0.722%) (a)(e)(i) | 200,000 | 197,756 | ||||||
BBCMS 2021-AGW Mortgage Trust | ||||||||
Series 2021-AGW, 1.360%, due 06/15/36 (1 Month U.S. LIBOR + 1.250%) (a)(e)(i) | 500,000 | 498,753 | ||||||
BX Commercial Mortgage Trust 2020-VKNG | ||||||||
Series 2020-VKNG, 1.510%, due 10/15/37 (1 Month U.S. LIBOR + 1.400%) (a)(e)(i) | 82,243 | 82,151 | ||||||
CIM Trust 2021-J3 | ||||||||
Series 2021-J3, 2.500%, due 06/25/51 (a)(e)(h) | 576,891 | 571,257 | ||||||
Citigroup Commercial Mortgage Trust 2016-P4 | ||||||||
Series 2016-P4, 3.944%, due 07/10/49 (a)(h) | 186,000 | 188,129 | ||||||
GS Mortgage Securities Trust 2018-HART | ||||||||
Series 2018-HART, 1.200%, due 10/15/31 (1 Month U.S. LIBOR + 1.090%) (a)(e)(i) | 190,000 | 189,645 | ||||||
GSCG Trust 2019-600C | ||||||||
Series 2019-600C, 2.936%, due 09/06/34 (a)(e) | 200,000 | 204,789 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-ICON | ||||||||
Series A, 3.884%, due 01/05/34 (a)(e) | 150,000 | 153,858 | ||||||
JP Morgan Mortgage Trust 2017-2 | ||||||||
Series 2017-2, 3.500%, due 05/25/47 (a)(e)(h) | 72,072 | 73,167 | ||||||
JP MORGAN MORTGAGE TRUST 2018-5 | ||||||||
Series 2018-5, 3.500%, due 10/25/48 (a)(e)(h) | 151,317 | 153,092 | ||||||
JP Morgan Mortgage Trust 2019-1 | ||||||||
Series 2019-1, 4.000%, due 05/25/49 (a)(e)(h) | 21,813 | 21,955 | ||||||
JP Morgan Mortgage Trust 2019-3 | ||||||||
Series 2019-3, 4.000%, due 09/25/49 (a)(e)(h) | 5,577 | 5,610 | ||||||
JP Morgan Mortgage Trust 2019-INV3 | ||||||||
Series 2019-INV3, 3.500%, due 05/25/50 (a)(e)(h) | 186,629 | 189,967 | ||||||
JP Morgan Mortgage Trust 2020-2 | ||||||||
Series 2020-2, 3.500%, due 07/25/50 (a)(e)(h) | 109,329 | 110,716 | ||||||
JP Morgan Mortgage Trust 2021-7 | ||||||||
Series TR, 2.500%, due 11/25/51 (a)(e)(h) | 278,244 | 275,962 | ||||||
JP Morgan Trust 2015-3 | ||||||||
Series 2015-3, 3.500%, due 05/25/45 (a)(e)(h) | 87,330 | 88,441 | ||||||
JPMBB Commercial Mortgage Securities Trust 2013-C12 | ||||||||
Series B, 4.098%, due 07/15/45 (a)(h) | 182,000 | 187,139 | ||||||
Mello Warehouse Securitization Trust 2020-1 | ||||||||
Series 2020-1, 1.252%, due 10/25/53 (1 Month U.S. LIBOR + 1.150%) (a)(e)(i) | 150,000 | 150,061 | ||||||
Morgan Stanley Capital I Trust 2016-BNK2 | ||||||||
Series C, 3.892%, due 11/15/49 (a)(h) | 200,000 | 198,946 | ||||||
PFP 2021-8 Ltd. | ||||||||
Series 2021-8, 1.909%, due 08/09/37 (1 Month U.S. LIBOR + 1.800%) (a)(d)(e)(i) | 100,000 | 99,377 | ||||||
Provident Funding Mortgage Trust 2021-J1 | ||||||||
Series 2.00000, 2.000%, due 10/25/51 (a)(e)(h) | 200,000 | 191,102 | ||||||
PSMC 2020-3 Trust | ||||||||
Series 2020-3, 3.000%, due 11/25/50 (a)(e)(h) | 92,676 | 94,088 | ||||||
Ready Capital Mortgage Financing 2021-FL5 LLC | ||||||||
Series 2021-FL5, 1.852%, due 04/25/38 (1 Month U.S. LIBOR + 1.750%) (a)(e)(i) | 400,000 | 398,375 | ||||||
Sequoia Mortgage Trust 2013-3 | ||||||||
Series 2013-3, 2.500%, due 03/25/43 (a)(h) | 100,640 | 101,522 | ||||||
Sequoia Mortgage Trust 2016-3 | ||||||||
Series 2016-3, 3.000%, due 11/25/46 (a)(e)(h) | 15,556 | 15,566 | ||||||
Sequoia Mortgage Trust 2019-CH2 | ||||||||
Series 2019-CH2, 4.500%, due 08/25/49 (a)(e)(h) | 8,603 | 8,719 | ||||||
Sequoia Mortgage Trust 2019-CH3 | ||||||||
Series 2019-CH3, 4.000%, due 09/25/49 (a)(e)(h) | 13,638 | 13,812 | ||||||
Sequoia Mortgage Trust 2020-4 | ||||||||
Series 2020-4, 2.500%, due 11/25/50 (a)(e)(h) | 200,000 | 201,251 | ||||||
Sequoia Mortgage Trust 2021-1 | ||||||||
Series A-7, 2.500%, due 03/25/51 (a)(e)(h) | 400,000 | 398,522 | ||||||
SLG Office Trust 2021-OVA | ||||||||
Series 2021-OVA, 2.585%, due 07/15/41 (a)(e) | 220,000 | 224,460 | ||||||
Wells Fargo Commercial Mortgage Trust 2021-FCMT | ||||||||
Series A, 1.310%, due 05/15/31 (1 Month U.S. LIBOR + 1.200%) (a)(e)(i) | 100,000 | 99,828 | ||||||
Wells Fargo Mortgage Backed Securities 2020-RR1 Trust | ||||||||
Series A-1, 3.000%, due 05/25/50 (a)(e)(h) | 147,950 | 149,719 | ||||||
WFRBS Commercial Mortgage Trust 2014-C21 | ||||||||
Series 2014-C21, 4.213%, due 08/15/47 (a)(h) | 207,000 | 211,742 | ||||||
Total Non-Agency Mortgage-Backed Obligations (Cost $6,009,802) | 5,949,103 | |||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS INTEREST-ONLY STRIPS - 0.1% | ||||||||
BANK 2020-BNK30 | ||||||||
Series 2020-BNK30, 1.332%, due 12/15/53 (a)(h) | 989,006 | 89,458 | ||||||
Benchmark 2020-B19 Mortgage Trust | ||||||||
Series 2020-B19, 1.776%, due 09/15/53 (a)(h) | 997,210 | 102,077 | ||||||
DBJPM 20-C9 Mortgage Trust | ||||||||
Series 2020-C9, 1.712%, due 09/15/53 (a)(h) | 788,431 | 74,076 | ||||||
Total Non - Agency Mortgage-Backed Obligations Interest-Only Strips (Cost $287,805) | 265,611 | |||||||
ASSET-BACKED SECURITIES - 1.6% | ||||||||
American Airlines 2015-2 Class AA Pass Through Trust | ||||||||
Series 2015-2, 3.600%, due 09/22/27 (a) | 95,393 | 97,649 | ||||||
American Airlines 2016-2 Class AA Pass Through Trust | ||||||||
Series 2016-2, 3.200%, due 06/15/28 (a) | 53,515 | 53,403 | ||||||
AmeriCredit Automobile Receivables Trust 2021-2 | ||||||||
Series TR, 1.010%, due 01/19/27 (a) | 100,000 | 98,384 | ||||||
Beacon Container Finance II LLC | ||||||||
Series NT, 2.250%, due 10/22/46 (a)(e) | 98,333 | 97,983 | ||||||
Commonbond Student Loan Trust 2018-C-GS | ||||||||
Series A-1, 3.870%, due 02/25/46 (a)(e) | 133,023 | 136,302 | ||||||
Exeter Automobile Receivables Trust 2020-3 | ||||||||
Series 2020-3, 1.320%, due 07/15/25 (a) | 200,000 | 200,871 | ||||||
FedEx Corp 2020-1 Class AA Pass Through Trust | ||||||||
Series 2020-1AA, 1.875%, due 02/20/34 (a) | 277,333 | 271,933 | ||||||
Helios Issuer LLC | ||||||||
Series A, 2.980%, due 06/20/47 (a)(e) | 246,106 | 253,447 | ||||||
Laurel Road Prime Student Loan Trust 2020-A | ||||||||
Series 1.40000, 1.400%, due 11/25/50 (a)(e) | 234,619 | 233,786 | ||||||
Loanpal Solar Loan 2020-2 Ltd. | ||||||||
Series A, 2.750%, due 07/20/47 (a)(e) | 232,375 | 237,295 | ||||||
Marlette Funding Trust 2021-1 | ||||||||
Series C, 1.410%, due 06/16/31 (a)(e) | 200,000 | 198,329 | ||||||
Mosaic Solar Loan Trust 2020-2 | ||||||||
Series 2020-2, 1.440%, due 08/20/46 (a)(e) | 108,503 | 104,893 | ||||||
Navient Private Education Refi Loan Trust 2020-G | ||||||||
Series A, 1.170%, due 09/16/69 (a)(e) | 161,097 | 160,342 | ||||||
Navient Private Education Refi Loan Trust 2021-A | ||||||||
Series A, 0.840%, due 05/15/69 (a)(e) | 94,725 | 93,313 | ||||||
Oscar US Funding XII LLC | ||||||||
Series A-4, 1.000%, due 04/10/28 (a)(e) | 200,000 | 198,479 | ||||||
PFS Financing Corp. | ||||||||
Series 2021-A, 0.710%, due 04/15/26 (a)(e) | 100,000 | 98,622 | ||||||
Santander Consumer Auto Receivables Trust 2021-A | ||||||||
Series 2021-A, 1.030%, due 11/16/26 (a)(e) | 150,000 | 147,522 | ||||||
Santander Drive Auto Receivables Trust 2020-3 | ||||||||
Series B, 0.690%, due 03/17/25 (a) | 100,000 | 100,098 | ||||||
Series C, 1.120%, due 01/15/26 (a) | 200,000 | 200,664 | ||||||
Santander Drive Auto Receivables Trust 2021-2 | ||||||||
Series C, 0.900%, due 06/15/26 (a) | 100,000 | 99,199 | ||||||
SMB Private Education Loan Trust 2020-PTB | ||||||||
Series 1.60000, 1.600%, due 09/15/54 (a)(e) | 310,170 | 309,055 | ||||||
Sofi Consumer Loan Program 2018-1 Trust | ||||||||
Series B, 3.650%, due 02/25/27 (a)(e) | 36,365 | 36,548 | ||||||
SoFi Consumer Loan Program 2020-1 Trust | ||||||||
Series B, 2.250%, due 01/25/29 (a)(e) | 400,000 | 403,436 | ||||||
Sofi Professional Loan Program 2017-C LLC | ||||||||
Series A-1, 0.703%, due 07/25/40 (1 Month U.S. LIBOR + 0.600%) (a)(e)(i) | 85,785 | 85,817 | ||||||
Sofi Professional Loan Program 2018-B Trust | ||||||||
Series 3.34000, 3.340%, due 08/25/47 (a)(e) | 110,964 | 112,763 | ||||||
Tesla Auto Lease Trust 2019-A | ||||||||
Series 2019-A, 2.680%, due 01/20/23 (a)(e) | 250,000 | 253,101 | ||||||
United Airlines 2014-2 Class A Pass Through Trust | ||||||||
Series A, 3.750%, due 09/03/26 (a) | 47,064 | 48,804 | ||||||
Vivint Solar Financing VII LLC | ||||||||
Series LLC, 2.210%, due 07/31/51 (a)(e) | 192,182 | 188,985 | ||||||
Volvo Financial Equipment LLC Series 2020-1 | ||||||||
Series A-4, 0.600%, due 03/15/28 (a)(e) | 150,000 | 147,570 | ||||||
Westlake Automobile Receivables Trust 2020-3 | ||||||||
Series B, 0.780%, due 11/17/25 (a)(e) | 200,000 | 200,040 | ||||||
Total Asset-Backed Securities (Cost $4,890,232) | 4,868,633 | |||||||
COLLATERALIZED LOAN OBLIGATIONS - 1.5% | ||||||||
Aimco CLO 11 Ltd. | ||||||||
Series 2020-11R, 1.253%, due 10/17/34 (3 Month U.S. LIBOR + 1.130%) (a)(e)(i) | 250,000 | 249,414 | ||||||
Apidos CLO XXIII | ||||||||
Series XXIII, 1.344%, due 04/15/33 (3 Month U.S. LIBOR + 1.220%) (a)(e)(i) | 400,000 | 400,057 | ||||||
Arbor Realty Commercial Real Estate Notes 2021-FL2 Ltd. | ||||||||
Series B, 1.710%, due 05/15/36 (1 Month U.S. LIBOR + 1.600%) (a)(d)(e)(i) | 450,000 | 447,475 | ||||||
Benefit Street Partners CLO XIX Ltd. | ||||||||
Series A, 1.474%, due 01/15/33 (3 Month U.S. LIBOR + 1.350%) (a)(e)(i) | 400,000 | 400,054 | ||||||
Betony CLO 2 Ltd. | ||||||||
Series 2018, 1.212%, due 04/30/31 (3 Month U.S. LIBOR + 1.080%) (a)(e)(i) | 250,000 | 249,689 | ||||||
CARLYLE US CLO 2021-1 Ltd. | ||||||||
Series LTD, 1.264%, due 04/15/34 (3 Month U.S. LIBOR + 1.140%) (a)(e)(i) | 250,000 | 249,970 | ||||||
Dryden 78 CLO Ltd. | ||||||||
Series LTD, 1.302%, due 04/17/33 (3 Month U.S. LIBOR + 1.180%) (a)(e)(i) | 500,000 | 499,714 | ||||||
Madison Park Funding XXI Ltd. | ||||||||
Series FLT, 1.518%, due 10/15/32 (3 Month U.S. LIBOR + 1.400%) (a)(e)(i) | 250,000 | 249,999 | ||||||
Marble Point CLO XIV Ltd. | ||||||||
Series FLT, 1.412%, due 01/20/32 (3 Month U.S. LIBOR + 1.280%) (a)(e)(i) | 490,000 | 490,217 | ||||||
MF1 2021-FL7 Ltd. | ||||||||
Series 2021-FL7, 2.158%, due 10/16/36 (1 Month U.S. LIBOR + 2.050%) (a)(d)(e)(i) | 200,000 | 198,638 | ||||||
Octagon Investment Partners 48 Ltd. | ||||||||
Series A-R, 1.277%, due 10/20/34 (3 Month U.S. LIBOR + 1.150%) (a)(e)(i) | 400,000 | 399,530 | ||||||
OHA Credit Funding 3 Ltd. | ||||||||
Series A-R, 1.272%, due 07/02/35 (3 Month U.S. LIBOR + 1.140%) (a)(e)(i) | 250,000 | 249,692 | ||||||
OHA Loan Funding 2015-1 Ltd. | ||||||||
Series LTD, 1.330%, due 01/19/37 (3 Month U.S. LIBOR + 1.150%) (a)(e)(i) | 270,000 | 270,054 | ||||||
Palmer Square CLO 2019-1 Ltd. | ||||||||
1.348%, due 11/14/34 (3 Month U.S. LIBOR + 1.150%) (a)(e)(i) | 250,000 | 250,032 | ||||||
Total Collateralized Loan Obligations (Cost $4,599,290) | 4,604,535 | |||||||
CORPORATE BONDS - 3.9% | ||||||||
Australia - 0.1% | ||||||||
Scentre Group Trust 1 / Scentre Group Trust 2 | ||||||||
3.625%, due 01/28/26 (a)(e) | 182,000 | 194,209 | ||||||
Britain - 0.2% | ||||||||
AstraZeneca PLC | ||||||||
0.700%, due 04/08/26 (a) | 94,000 | 90,905 | ||||||
BAT International Finance PLC | ||||||||
1.668%, due 03/25/26 (a) | 165,000 | 162,039 | ||||||
BP Capital Markets PLC | ||||||||
3.535%, due 11/04/24 (a) | 122,000 | 129,718 | ||||||
Royalty Pharma PLC | ||||||||
0.750%, due 09/02/23 (a) | 66,000 | 65,454 | ||||||
1.750%, due 09/02/27 (a) | 67,000 | 65,167 | ||||||
2.200%, due 09/02/30 (a) | 105,000 | 101,315 | ||||||
614,598 | ||||||||
Canada - 0.1% | ||||||||
Royal Bank of Canada | ||||||||
1.200%, due 04/27/26 (a) | 100,000 | 98,040 | ||||||
The Bank of Nova Scotia | ||||||||
2.700%, due 08/03/26 (a) | 182,000 | 189,747 | ||||||
287,787 | ||||||||
Cayman Islands - 0.0% (f) | ||||||||
XLIT Ltd. | ||||||||
4.450%, due 03/31/25 (a) | 80,000 | 86,681 | ||||||
Japan - 0.1% | ||||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
3.761%, due 07/26/23 (a) | 77,000 | 80,130 | ||||||
Nissan Motor Co. Ltd. | ||||||||
4.810%, due 09/17/30 (a)(e) | 80,000 | 89,474 | ||||||
169,604 | ||||||||
United States - 3.4% | ||||||||
3M Co. | ||||||||
2.000%, due 02/14/25 (a) | 102,000 | 104,190 | ||||||
AbbVie, Inc. | ||||||||
3.800%, due 03/15/25 (a) | 140,000 | 149,006 | ||||||
Aflac, Inc. | ||||||||
3.250%, due 03/17/25 (a) | 100,000 | 105,682 | ||||||
Altria Group, Inc. | ||||||||
3.400%, due 05/06/30 (a) | 102,000 | 105,611 | ||||||
Amazon.com, Inc. | ||||||||
1.500%, due 06/03/30 (a) | 146,000 | 141,608 | ||||||
Ameren Illinois Co. | ||||||||
3.800%, due 05/15/28 (a) | 87,000 | 94,981 | ||||||
American Honda Finance Corp. | ||||||||
1.200%, due 07/08/25 (a) | 81,000 | 80,655 | ||||||
American International Group, Inc. | ||||||||
3.900%, due 04/01/26 (a) | 162,000 | 175,584 | ||||||
Amgen, Inc. | ||||||||
3.200%, due 11/02/27 (a) | 132,000 | 141,945 | ||||||
Amphenol Corp. | ||||||||
2.800%, due 02/15/30 (a) | 107,000 | 110,359 | ||||||
Apple, Inc. | ||||||||
1.200%, due 02/08/28 (a) | 100,000 | 97,019 | ||||||
Assurant, Inc. | ||||||||
4.200%, due 09/27/23 (a) | 77,000 | 80,811 | ||||||
AT&T, Inc. | ||||||||
2.250%, due 02/01/32 (a) | 160,000 | 154,406 | ||||||
Bank of America Corp. | ||||||||
4.125%, due 01/22/24 (a) | 214,000 | 227,324 | ||||||
4.000%, due 01/22/25 (a) | 82,000 | 87,500 | ||||||
1.734%, due 07/22/27 (SOFR Rate + 0.960%) (a)(i) | 153,000 | 151,948 | ||||||
2.592%, due 04/29/31 (SOFR Rate + 2.150%) (a)(i) | 194,000 | 195,458 | ||||||
Broadcom, Inc. | ||||||||
4.150%, due 11/15/30 (a) | 64,000 | 70,900 | ||||||
Carrier Global Corp. | ||||||||
2.722%, due 02/15/30 (a) | 215,000 | 218,305 | ||||||
Caterpillar Financial Services Corp. | ||||||||
2.850%, due 05/17/24 (a) | 104,000 | 108,605 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
4.464%, due 07/23/22 (a) | 64,000 | 64,957 | ||||||
Citigroup, Inc. | ||||||||
0.981%, due 05/01/25 (SOFR Rate + 0.669%) (a)(i) | 150,000 | 148,645 | ||||||
4.450%, due 09/29/27 (a) | 88,000 | 98,034 | ||||||
Constellation Brands, Inc. | ||||||||
3.700%, due 12/06/26 (a) | 102,000 | 110,309 | ||||||
CVS Health Corp. | ||||||||
3.875%, due 07/20/25 (a) | 270,000 | 289,462 | ||||||
1.750%, due 08/21/30 (a) | 160,000 | 152,138 | ||||||
Duke Energy Corp. | ||||||||
3.150%, due 08/15/27 (a) | 156,000 | 164,849 | ||||||
Ecolab, Inc. | ||||||||
4.800%, due 03/24/30 (a) | 70,000 | 83,780 | ||||||
Entergy Corp. | ||||||||
0.900%, due 09/15/25 (a) | 110,000 | 106,387 | ||||||
Enterprise Products Operating LLC | ||||||||
2.800%, due 01/31/30 (a) | 80,000 | 83,273 | ||||||
Equinix, Inc. | ||||||||
1.250%, due 07/15/25 (a) | 145,000 | 142,429 | ||||||
Exxon Mobil Corp. | ||||||||
2.275%, due 08/16/26 (a) | 109,000 | 112,477 | ||||||
FirstEnergy Corp. | ||||||||
4.400%, due 07/15/27 (a) | 159,000 | 170,954 | ||||||
Fox Corp. | ||||||||
3.050%, due 04/07/25 (a) | 167,000 | 175,299 | ||||||
Global Payments, Inc. | ||||||||
2.650%, due 02/15/25 (a) | 90,000 | 92,352 | ||||||
HCA, Inc. | ||||||||
4.125%, due 06/15/29 (a) | 113,000 | 124,724 | ||||||
Johnson & Johnson | ||||||||
0.950%, due 09/01/27 (a) | 100,000 | 97,648 | ||||||
1.300%, due 09/01/30 (a) | 100,000 | 96,100 | ||||||
JPMorgan Chase & Co. | ||||||||
2.776%, due 04/25/23 (3 Month U.S. LIBOR + 0.935%) (a)(i) | 187,000 | 188,155 | ||||||
3.875%, due 09/10/24 (a) | 211,000 | 224,426 | ||||||
1.578%, due 04/22/27 (SOFR Rate + 0.885%) (a)(i) | 150,000 | 148,335 | ||||||
1.953%, due 02/04/32 (SOFR Rate + 1.065%) (a)(i) | 80,000 | 76,674 | ||||||
2.580%, due 04/22/32 (SOFR Rate + 1.250%) (a)(i) | 208,000 | 210,757 | ||||||
Keurig Dr Pepper, Inc. | ||||||||
4.417%, due 05/25/25 (a) | 77,000 | 83,830 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
3.450%, due 02/15/23 (a) | 77,000 | 78,732 | ||||||
Kite Realty Group LP | ||||||||
4.000%, due 10/01/26 (a) | 109,000 | 115,599 | ||||||
Microsoft Corp. | ||||||||
2.400%, due 08/08/26 (a) | 213,000 | 222,540 | ||||||
Morgan Stanley | ||||||||
0.560%, due 11/10/23 (SOFR Rate + 0.466%) (a)(i) | 161,000 | 160,688 | ||||||
1.164%, due 10/21/25 (SOFR Rate + 0.560%) (a)(i) | 110,000 | 108,927 | ||||||
2.188%, due 04/28/26 (SOFR Rate + 1.990%) (a)(i) | 257,000 | 261,618 | ||||||
1.593%, due 05/04/27 (SOFR Rate + 0.879%) (a)(i) | 200,000 | 197,685 | ||||||
2.239%, due 07/21/32 (SOFR Rate + 1.178%) (a)(i) | 102,000 | 99,540 | ||||||
MPLX LP | ||||||||
4.875%, due 12/01/24 (a) | 81,000 | 87,885 | ||||||
2.650%, due 08/15/30 (a) | 59,000 | 58,852 | ||||||
Oracle Corp. | ||||||||
2.950%, due 04/01/30 (a) | 231,000 | 232,771 | ||||||
O'Reilly Automotive, Inc. | ||||||||
3.600%, due 09/01/27 (a) | 182,000 | 197,293 | ||||||
PepsiCo, Inc. | ||||||||
2.625%, due 07/29/29 (a) | 92,000 | 96,651 | ||||||
Phillips 66 | ||||||||
0.900%, due 02/15/24 (a) | 78,000 | 77,506 | ||||||
Raytheon Technologies Corp. | ||||||||
3.200%, due 03/15/24 (a) | 101,000 | 105,108 | ||||||
Realty Income Corp. | ||||||||
3.250%, due 01/15/31 (a) | 194,000 | 208,065 | ||||||
Ross Stores, Inc. | ||||||||
4.600%, due 04/15/25 (a) | 131,000 | 143,297 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
5.625%, due 03/01/25 (a) | 62,000 | 68,820 | ||||||
Sierra Pacific Power Co. | ||||||||
2.600%, due 05/01/26 (a) | 140,000 | 145,691 | ||||||
Southwestern Electric Power Co. | ||||||||
1.650%, due 03/15/26 (a) | 100,000 | 99,545 | ||||||
Steel Dynamics, Inc. | ||||||||
1.650%, due 10/15/27 (a) | 80,000 | 78,285 | ||||||
The AES Corp. | ||||||||
1.375%, due 01/15/26 (a) | 78,000 | 75,699 | ||||||
The Boeing Co. | ||||||||
4.875%, due 05/01/25 (a) | 82,000 | 89,735 | ||||||
The Charles Schwab Corp. | ||||||||
3.300%, due 04/01/27 (a) | 59,000 | 63,209 | ||||||
The Goldman Sachs Group, Inc. | ||||||||
2.908%, due 06/05/23 (3 Month U.S. LIBOR + 1.053%) (a)(i) | 158,000 | 159,293 | ||||||
0.855%, due 02/12/26 (SOFR Rate + 0.609%) (a)(i) | 100,000 | 97,765 | ||||||
The Home Depot, Inc. | ||||||||
1.500%, due 09/15/28 (a) | 133,000 | 130,999 | ||||||
The Walt Disney Co. | ||||||||
2.200%, due 01/13/28 (a) | 79,000 | 80,472 | ||||||
T-Mobile USA, Inc. | ||||||||
3.750%, due 04/15/27 (a) | 80,000 | 86,666 | ||||||
Verizon Communications, Inc. | ||||||||
4.329%, due 09/21/28 (a) | 80,000 | 90,696 | ||||||
2.355%, due 03/15/32 (a)(e) | 175,000 | 172,531 | ||||||
VMware, Inc. | ||||||||
1.000%, due 08/15/24 (a) | 104,000 | 103,479 | ||||||
Walmart, Inc. | ||||||||
1.050%, due 09/17/26 (a) | 166,000 | 163,876 | ||||||
Wells Fargo & Co. | ||||||||
2.406%, due 10/30/25 (SOFR Rate + 1.087%) (a)(i) | 249,000 | 254,988 | ||||||
10,262,397 | ||||||||
Total Corporate Bonds (Cost $11,837,264) | 11,615,276 | |||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES - 4.9% | ||||||||
Voya Emerging Markets Hard Currency Debt Fund - Class P | 245,067 | 2,298,725 | ||||||
Voya High Yield Bond Fund - Class P | 308,773 | 2,479,447 | ||||||
Voya Investment Grade Credit Fund - Class P | 63,869 | 709,584 | ||||||
Voya Securitized Credit Fund - Class P | 929,936 | 9,085,479 | ||||||
Total Affiliated Registered Investment Companies (Cost $14,329,420) | 14,573,235 | |||||||
Total Investments at Value - 95.1% (Cost $226,772,549) | 283,739,930 | |||||||
Other Assets in Excess of Liabilities - 4.9% | 14,683,241 | |||||||
Net Assets - 100.0% | $ | 298,423,171 |
Percentages are stated as a percent of net assets.
REIT - Real Estate Investment Trust
SOFR - Secured Overnight Financing Rate
(a) | Level 2 security. |
(b) | Non-income producing security. |
(c) | Level 3 security. Security has been valued at fair value in accordance with procedures adopted by and under the general supervision of the Board of Directors. The total value of such securities is $0 as of December 31, 2021, representing 0.0% of net assets. |
(d) | Illiquid security. The total value of such securities is $745,490 as of December 31, 2021, representing 0.3% of net assets. |
(e) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “qualified institutional buyers.” As of December 31, 2021, the value of these investments was $24,185,446, or 8.1% of total net assets. |
(f) | Represents less than 0.1%. |
(g) | This security or a partial position of this security is on loan at December 31, 2021. The total market value of securities on loan at December 31, 2021, was $91,599 (Note 8). |
(h) | Variable rate security. The coupon is based on an underlying pool of loans. The rate listed is as of December 31, 2021. |
(i) | Variable rate security based on a reference index and spread. The rate listed is as of December 31, 2021. |
WILSHIRE MUTUAL FUNDS, INC. | |
WILSHIRE INCOME OPPORTUNITIES FUND | December 31, 2021 |
SCHEDULE OF INVESTMENTS |
Par Value | Value | |||||||||||
U.S. TREASURY OBLIGATIONS - 10.0% | ||||||||||||
U.S. Treasury Bonds - 1.9% | ||||||||||||
4.375%, due 02/15/38 | $ | 610,000 | $ | 838,750 | ||||||||
2.250%, due 05/15/41 | 560,000 | 587,300 | ||||||||||
2.000%, due 11/15/41 | 709,000 | 715,758 | ||||||||||
3.000%, due 02/15/49 | 1,095,000 | 1,345,481 | ||||||||||
2.000%, due 02/15/50 | 495,000 | 502,502 | ||||||||||
1.250%, due 05/15/50 | 400,000 | 339,500 | ||||||||||
1.625%, due 11/15/50 | 1,300 | 1,210 | ||||||||||
2.000%, due 08/15/51 | 447,100 | 455,763 | ||||||||||
1.875%, due 11/15/51 | 910,000 | 902,748 | ||||||||||
5,689,012 | ||||||||||||
U.S. Treasury Notes - 8.1% | ||||||||||||
0.125%, due 02/28/23 | 5,140,000 | 5,119,119 | ||||||||||
0.125%, due 03/31/23 | 1,230,000 | 1,224,042 | ||||||||||
0.125%, due 04/30/23 | 950,000 | 944,805 | ||||||||||
0.125%, due 05/31/23 | 105,000 | 104,344 | ||||||||||
0.125%, due 10/15/23 | 1,291,000 | 1,278,090 | ||||||||||
0.750%, due 12/31/23 | 890,000 | 890,278 | ||||||||||
2.375%, due 02/29/24 | 155,000 | 160,280 | ||||||||||
0.250%, due 06/15/24 | 461,000 | 454,229 | ||||||||||
1.000%, due 12/15/24 (a) | 5,729,700 | 5,735,072 | ||||||||||
0.375%, due 11/30/25 | 910,000 | 882,416 | ||||||||||
0.500%, due 02/28/26 | 760,000 | 738,269 | ||||||||||
2.375%, due 04/30/26 | 135,000 | 141,581 | ||||||||||
0.750%, due 08/31/26 | 240,000 | 234,600 | ||||||||||
2.000%, due 11/15/26 | 310,000 | 320,656 | ||||||||||
1.250%, due 11/30/26 | 33,400 | 33,384 | ||||||||||
1.250%, due 12/31/26 | 1,317,300 | 1,315,859 | ||||||||||
0.500%, due 06/30/27 | 790,000 | 755,684 | ||||||||||
0.375%, due 09/30/27 | 69,000 | 65,313 | ||||||||||
1.250%, due 09/30/28 | 228,100 | 225,462 | ||||||||||
1.500%, due 11/30/28 | 287,700 | 288,869 | ||||||||||
1.375%, due 12/31/28 | 2,179,500 | 2,169,965 | ||||||||||
2.625%, due 02/15/29 | 480,000 | 518,850 | ||||||||||
1.125%, due 02/15/31 | 47,000 | 45,605 | ||||||||||
1.375%, due 11/15/31 (a) | 949,000 | 936,544 | ||||||||||
24,583,316 | ||||||||||||
U.S. Treasury Inflation-Protected Note - 0.0% (b) | ||||||||||||
0.125%, due 01/15/30 | 69,878 | 77,477 | ||||||||||
Total U.S. Treasury Obligations (Cost $30,065,405) | 30,349,805 | |||||||||||
AGENCY MORTGAGE-BACKED OBLIGATIONS - 5.3% | ||||||||||||
Federal Home Loan Mortgage Corp. - 2.5% | ||||||||||||
Freddie Mac REMICS | ||||||||||||
Series 2989, 33.182%, due 08/15/34 (-7 x 1 Month U.S. LIBOR + 33.950%) (c) | 105,699 | 232,662 | ||||||||||
Series 4249, 4.576%, due 09/15/43 (-0.75 x 1 Month U.S. LIBOR + 4.650%) (c) | 563,440 | 549,049 | ||||||||||
Series 4355, 4.000%, due 05/15/44 | 4,653,560 | 5,097,464 | ||||||||||
Freddie Mac STACR REMIC Trust 2020-DNA3 | ||||||||||||
Series 2020-DNA3, 3.103%, due 06/25/50 (1 Month U.S. LIBOR + 3.000%) (c)(d) | 52,320 | 52,393 | ||||||||||
Freddie Mac STACR REMIC Trust 2020-HQA1 | ||||||||||||
Series 2020-HQA1, 2.003%, due 01/25/50 (1 Month U.S. LIBOR + 1.900%) (c)(d) | 178,683 | 178,904 | ||||||||||
Freddie Mac STACR REMIC Trust 2021-HQA1 | ||||||||||||
Series M-2, 2.300%, due 08/25/33 (SOFR 30 Day Average + 2.250%) (c)(d) | 300,000 | 302,231 | ||||||||||
Freddie Mac STACR REMIC Trust 2021-HQA4 | ||||||||||||
Series B-1, 3.800%, due 12/25/41 (SOFR 30 Day Average + 3.750%) (c)(d) | 700,000 | 704,103 | ||||||||||
Freddie Mac STACR Trust 2019-HQA2 | ||||||||||||
Series 2019-HQA2, 2.153%, due 04/25/49 (1 Month U.S. LIBOR + 2.050%) (c)(d) | 380,879 | 382,724 | ||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | ||||||||||||
Series 2014-DN3, 4.103%, due 08/25/24 (1 Month U.S. LIBOR + 4.000%) (c) | 49,515 | 50,374 | ||||||||||
Series 2017-DNA2, 1.303%, due 10/25/29 (1 Month U.S. LIBOR + 1.200%) (c) | 13,060 | 13,065 | ||||||||||
7,562,969 | ||||||||||||
Federal Home Loan Mortgage Corp. Interest-Only Strips - 0.6% | ||||||||||||
FHLMC REMIC SERIES K-1515 | ||||||||||||
Series K-1515, 1.512%, due 02/25/35 (e) | 798,081 | 122,171 | ||||||||||
Freddie Mac Multiclass Certificates Series 2021-P011 | ||||||||||||
Series X1, 1.846%, due 09/25/45 (e) | 570,632 | 89,184 | ||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||||||
Series K-L06, 1.364%, due 12/25/29 | 956,000 | 82,637 | ||||||||||
Series K-109, 1.582%, due 04/25/30 (e) | 668,463 | 74,876 | ||||||||||
Series K-117, 1.242%, due 08/25/30 (e) | 1,294,300 | 115,812 | ||||||||||
Series K-G04, 0.853%, due 11/25/30 (e) | 1,898,440 | 122,228 | ||||||||||
Series K-122, 0.883%, due 11/25/30 (e) | 1,857,254 | 124,205 | ||||||||||
Series K-1517, 1.331%, due 07/25/35 (e) | 898,896 | 127,147 | ||||||||||
Series K-1518, 0.871%, due 10/25/35 (e) | 1,491,220 | 134,010 | ||||||||||
Series K-1521, 0.981%, due 08/25/36 (e) | 819,547 | 88,614 | ||||||||||
Freddie Mac REMICS | ||||||||||||
Series 2980, 6.590%, due 05/15/35 (6.700% - 1 Month U.S. LIBOR) (c) | 406,557 | 56,513 | ||||||||||
Series 3311, 6.300%, due 05/15/37 (6.410% - 1 Month U.S. LIBOR) (c) | 1,522,791 | 345,570 | ||||||||||
Series 3359, 5.610%, due 08/15/37 (5.720% - 1 Month U.S. LIBOR) (c) | 718,665 | 107,334 | ||||||||||
Series 4077, 5.890%, due 05/15/41 (6.000% - 1 Month U.S. LIBOR) (c) | 416,222 | 60,618 | ||||||||||
Series 3966, 5.790%, due 12/15/41 (5.900% - 1 Month U.S. LIBOR) (c) | 737,411 | 106,082 | ||||||||||
Series 4089, 5.890%, due 08/15/42 (6.000% - 1 Month U.S. LIBOR) (c) | 598,435 | 93,937 | ||||||||||
1,850,938 | ||||||||||||
Federal National Mortgage Association - 0.7% | ||||||||||||
Connecticut Avenue Securities Trust 2019-R02 | ||||||||||||
Series 2019-R02, 2.403%, due 08/25/31 (1 Month U.S. LIBOR + 2.300%) (c)(d) | 31,840 | 31,975 | ||||||||||
Connecticut Avenue Securities Trust 2019-R04 | ||||||||||||
Series 2019-R04, 2.202%, due 06/25/39 (1 Month U.S. LIBOR + 2.100%) (c)(d) | 7,157 | 7,164 | ||||||||||
Connecticut Avenue Securities Trust 2019-R06 | ||||||||||||
Series 2019-R06, 2.202%, due 09/25/39 (1 Month U.S. LIBOR + 2.100%) (c)(d) | 16,975 | 17,010 | ||||||||||
Connecticut Avenue Securities Trust 2020-R02 | ||||||||||||
Series 2020-R02, 2.103%, due 01/25/40 (1 Month U.S. LIBOR + 2.000%) (c)(d) | 367,796 | 369,050 | ||||||||||
Fannie Mae Connecticut Avenue Securities | ||||||||||||
Series 1M2, 4.103%, due 05/25/25 (1 Month U.S. LIBOR + 4.000%) (c) | 175,607 | 178,887 | ||||||||||
Series 2015-C04, 5.653%, due 04/25/28 (1 Month U.S. LIBOR + 5.550%) (c) | 104,291 | 108,768 | ||||||||||
Series 2016-C05, 4.553%, due 01/25/29 (1 Month U.S. LIBOR + 4.450%) (c) | 235,776 | 244,329 | ||||||||||
Series 2017-C07, 2.602%, due 05/25/30 (1 Month U.S. LIBOR + 2.500%) (c) | 296,521 | 300,830 | ||||||||||
Series 2018-C01, 2.353%, due 07/25/30 (1 Month U.S. LIBOR + 2.250%) (c) | 211,281 | 213,648 | ||||||||||
Series 2018-C06, 2.103%, due 03/25/31 (1 Month U.S. LIBOR + 2.000%) (c) | 327,868 | 330,481 | ||||||||||
Series 2018-C06, 2.203%, due 03/25/31 (1 Month U.S. LIBOR + 2.100%) (c) | 402,353 | 405,610 | ||||||||||
2,207,752 | ||||||||||||
Federal National Mortgage Association Interest-Only Strips - 1.2% | ||||||||||||
Fannie Mae Interest Strip | ||||||||||||
3.500%, due 04/25/44 | 2,785,888 | 410,721 | ||||||||||
Fannie Mae REMICS | ||||||||||||
Series 2013-60, 3.000%, due 06/25/31 | 3,413,084 | 131,454 | ||||||||||
Series 2014-63, 3.500%, due 06/25/33 | 1,449,028 | 41,669 | ||||||||||
Series 2007-50, 6.348%, due 06/25/37 (6.450% - 1 Month U.S. LIBOR) (c) | 2,523,313 | 464,438 | ||||||||||
Series 2009-78, 6.638%, due 10/25/39 (6.740% - 1 Month U.S. LIBOR) (c) | 3,639,030 | 806,828 | ||||||||||
Series 2011-124, 6.398%, due 12/25/41 (6.500% - 1 Month U.S. LIBOR) (c) | 524,575 | 89,635 | ||||||||||
Series 2012-20, 6.348%, due 03/25/42 (6.450% - 1 Month U.S. LIBOR) (c) | 483,492 | 77,182 | ||||||||||
Series 2012-76, 5.898%, due 07/25/42 (6.000% - 1 Month U.S. LIBOR) (c) | 245,735 | 41,893 | ||||||||||
Series 2014-28, 5.948%, due 05/25/44 (6.050% - 1 Month U.S. LIBOR) (c) | 1,496,686 | 242,433 | ||||||||||
Series 2017-53, 4.000%, due 07/25/47 | 208,124 | 22,716 | ||||||||||
Series 2008-22, 6.058%, due 04/25/48 (6.160% - 1 Month U.S. LIBOR) (c) | 1,751,332 | 323,496 | ||||||||||
Series PS, 5.948%, due 07/25/49 (6.050% - 1 Month U.S. LIBOR) (c) | 6,018,977 | 1,053,690 | ||||||||||
3,706,155 | ||||||||||||
Government National Mortgage Association Interest-Only Strips - 0.3% | ||||||||||||
Government National Mortgage Association | ||||||||||||
Series 2010-133, 5.963%, due 10/16/40 (6.070% - 1 Month U.S. LIBOR) (c) | 2,823,811 | 389,553 | ||||||||||
Series 2014-102, 5.546%, due 02/20/44 (5.650% - 1 Month U.S. LIBOR) (c) | 2,192,489 | 251,764 | ||||||||||
Series 2018-083, 5.000%, due 01/20/48 | 1,103,083 | 113,549 | ||||||||||
754,866 | ||||||||||||
Total Agency Mortgage-Backed Obligations (Cost $15,629,247) | 16,082,680 | |||||||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 12.6% | ||||||||||||
280 Park Avenue 2017-280P Mortgage Trust | ||||||||||||
Series 2017-280P, 2.937%, due 09/15/34 (1 Month U.S. LIBOR + 2.827%) (c)(d) | 168,000 | 165,936 | ||||||||||
ACE Securities Corp Mortgage Loan Trust Series 2007-D1 | ||||||||||||
Series 2007-D1, 6.930%, due 02/25/38 (d) | 444,427 | 428,778 | ||||||||||
Alen 2021-ACEN Mortgage Trust | ||||||||||||
Series 2021-ACEN, 3.210%, due 04/15/34 (1 Month U.S. LIBOR + 3.100%) (c)(d) | 135,000 | 134,579 | ||||||||||
Alternative Loan Trust 2006-HY11 | ||||||||||||
Series A-1, 0.342%, due 06/25/36 (1 Month U.S. LIBOR + 0.240%) (c) | 292,502 | 262,320 | ||||||||||
Alternative Loan Trust 2006-OA6 | ||||||||||||
Series FLT, 0.522%, due 07/25/46 (1 Month U.S. LIBOR + 0.420%) (c) | 1,317,244 | 1,199,712 | ||||||||||
Alternative Loan Trust 2007-16CB | ||||||||||||
Series 2007-16CB, 6.250%, due 08/25/37 | 549,787 | 398,940 | ||||||||||
Alternative Loan Trust 2007-OA4 | ||||||||||||
Series 2007-OA4, 0.442%, due 05/25/47 (1 Month U.S. LIBOR + 0.170%) (c) | 315,657 | 303,659 | ||||||||||
Angel Oak Mortgage Trust I LLC 2019-2 | ||||||||||||
Series 2019-2, 6.286%, due 03/25/49 (d)(e) | 1,300,000 | 1,306,397 | ||||||||||
Arroyo Mortgage Trust 2019-1 | ||||||||||||
Series 2019-1, 3.805%, due 01/25/49 (d)(e) | 89,665 | 90,016 | ||||||||||
Arroyo Mortgage Trust 2019-2 | ||||||||||||
Series 2019-2, 3.800%, due 04/25/49 (d)(e) | 176,897 | 177,952 | ||||||||||
BBCMS 2019-BWAY Mortgage Trust | ||||||||||||
Series 2019-BWAY, 2.960%, due 11/15/34 (1 Month U.S. LIBOR + 2.850%) (c)(d) | 100,000 | 94,727 | ||||||||||
BCRR 2016-FRR3 Trust | ||||||||||||
Series TRUST, 2.021%, due 05/26/26 (1 Month U.S. LIBOR + 18.348%) (c)(d) | 797,720 | 726,890 | ||||||||||
Bear Stearns ARM Trust 2004-10 | ||||||||||||
Series 2004-10, 2.568%, due 01/25/35 (e) | 224,929 | 224,199 | ||||||||||
Benchmark 2018-B2 Mortgage Trust | ||||||||||||
Series 2018-B2, 4.197%, due 02/15/51 (e) | 150,000 | 159,487 | ||||||||||
Benchmark 2020-B18 Mortgage Trust | ||||||||||||
Series 2020-B18, 3.759%, due 07/15/53 (d) | 100,000 | 100,361 | ||||||||||
Benchmark 2020-IG3 Mortgage Trust | ||||||||||||
Series 2020-IG3, 3.289%, due 09/15/48 (d)(e) | 1,000,000 | 1,021,580 | ||||||||||
BF 2019-NYT Mortgage Trust | ||||||||||||
Series 2019-NYT, 2.610%, due 12/15/35 (1 Month U.S. LIBOR + 2.500%) (c)(d) | 325,000 | 318,260 | ||||||||||
BPR Trust 2021-TY | ||||||||||||
Series 2021-TY, 2.460%, due 09/15/38 (1 Month U.S. LIBOR + 2.350%) (c)(d) | 167,000 | 166,383 | ||||||||||
BX Commercial Mortgage Trust 2019-IMC | ||||||||||||
Series 2019-IMC, 3.010%, due 04/15/34 (1 Month U.S. LIBOR + 2.900%) (c)(d) | 108,000 | 106,956 | ||||||||||
BX Commercial Mortgage Trust 2019-XL | ||||||||||||
Series 2019-XL, 1.030%, due 10/15/36 (1 Month U.S. LIBOR + 0.920%) (c)(d) | 337,866 | 337,768 | ||||||||||
BX Commercial Mortgage Trust 2021-21M | ||||||||||||
Series TR, 4.120%, due 10/15/36 (1 Month U.S. LIBOR + 4.010%) (c)(d) | 162,000 | 160,459 | ||||||||||
BX Commercial Mortgage Trust 2021-SOAR | ||||||||||||
Series TR, 2.460%, due 06/15/38 (1 Month U.S. LIBOR + 2.350%) (c)(d) | 1,000,000 | 992,337 | ||||||||||
BX Commercial Mortgage Trust 2021-VOLT | ||||||||||||
Series 2021-VOLT, 0.810%, due 09/15/36 (1 Month U.S. LIBOR + 0.700%) (c)(d) | 115,000 | 114,623 | ||||||||||
BX Commercial Mortgage Trust 2021-VOLT | ||||||||||||
Series 2021-VOLT, 2.510%, due 09/15/36 (1 Month U.S. LIBOR + 2.400%) (c)(d) | 167,000 | 165,431 | ||||||||||
BX Commercial Mortgage Trust 2021-XL2 | ||||||||||||
Series E, 1.956%, due 10/15/38 (1 Month U.S. LIBOR + 1.846%) (c)(d) | 164,000 | 162,982 | ||||||||||
BX Trust 2018-GW | ||||||||||||
Series 2018-GW, 3.030%, due 05/15/35 (1 Month U.S. LIBOR + 2.920%) (c)(d) | 83,000 | 82,244 | ||||||||||
BX Trust 2019-CALM | ||||||||||||
Series 2019-CALM, 2.110%, due 11/15/32 (1 Month U.S. LIBOR + 2.000%) (c)(d) | 195,000 | 193,934 | ||||||||||
BX TRUST 2021-BXMF | ||||||||||||
Series 2021-BXMF, 3.440%, due 10/15/26 (1 Month U.S. LIBOR + 3.350%) (c)(d) | 162,000 | 158,846 | ||||||||||
CHL Mortgage Pass-Through Trust 2007-HY5 | ||||||||||||
Series 2007-HY5, 2.983%, due 09/25/37 (e) | 904,466 | 800,632 | ||||||||||
CIM Trust 2018-INV1 | ||||||||||||
Series 2018-INV1, 4.000%, due 08/25/48 (d)(e) | 393,908 | 402,221 | ||||||||||
CIM Trust 2019-INV2 | ||||||||||||
Series 2019-INV2, 4.000%, due 05/25/49 (d)(e) | 29,555 | 29,925 | ||||||||||
CIM Trust 2019-J1 | ||||||||||||
Series 2019-J1, 3.983%, due 08/25/49 (d)(e) | 184,458 | 185,187 | ||||||||||
Citigroup Commercial Mortgage Trust 2013-GC17 | ||||||||||||
Series D, 5.102%, due 11/10/46 (d)(e) | 100,000 | 94,063 | ||||||||||
Citigroup Commercial Mortgage Trust 2015-GC27 | ||||||||||||
Series C, 4.419%, due 02/10/48 (e) | 164,000 | 169,180 | ||||||||||
Citigroup Commercial Mortgage Trust 2016-P4 | ||||||||||||
Series 2016-P4, 3.944%, due 07/10/49 (d)(e) | 500,000 | 433,886 | ||||||||||
Citigroup Commercial Mortgage Trust 2018-C6 | ||||||||||||
Series D, 5.065%, due 11/10/51 (d)(e) | 380,000 | 396,061 | ||||||||||
Citigroup Commercial Mortgage Trust 2019-SMRT | ||||||||||||
Series E, 4.745%, due 01/10/36 (d)(e) | 116,000 | 119,557 | ||||||||||
Citigroup Mortgage Loan Trust 2015-RP2 | ||||||||||||
Series B-4, 4.250%, due 01/25/53 (d) | 644,290 | 646,570 | ||||||||||
Citigroup Mortgage Loan Trust 2019-E | �� | |||||||||||
Series 2019-E, 3.228%, due 11/25/70 (d) | 534,990 | 535,475 | ||||||||||
COMM 2014-CCRE16 Mortgage Trust | ||||||||||||
Series 2014-CCRE16, 4.919%, due 04/10/47 (e) | 165,904 | 171,539 | ||||||||||
CSAIL 2020-C19 Commercial Mortgage Trust | ||||||||||||
Series 2020-C19, 2.500%, due 03/15/53 (d) | 400,000 | 322,305 | ||||||||||
CSMC 2020-NET | ||||||||||||
Series 2020-NET, 3.704%, due 08/15/37 (d)(e) | 118,000 | 119,940 | ||||||||||
CSMC Series 2019-NQM1 | ||||||||||||
Series 2019-NQM1, 2.656%, due 10/25/59 (d) | 33,353 | 33,631 | ||||||||||
CSMC Trust 2017-CHOP | ||||||||||||
Series 2017-CHOP, 3.660%, due 07/15/32 (1 Month U.S. LIBOR + 3.550%) (c)(d) | 149,000 | 142,507 | ||||||||||
DBGS 2018-5BP Mortgage Trust | ||||||||||||
Series 2018-5BP, 1.610%, due 06/15/33 (1 Month U.S. LIBOR + 1.500%) (c)(d) | 325,000 | 320,941 | ||||||||||
DBGS 2018-5BP Mortgage Trust | ||||||||||||
Series 2018-5BP, 2.710%, due 06/15/33 (1 Month U.S. LIBOR + 2.600%) (c)(d) | 140,000 | 132,301 | ||||||||||
DBUBS 2011-LC2 Mortgage Trust | ||||||||||||
Series 2011-LC2, 3.749%, due 07/10/44 (1 Month U.S. LIBOR + 3.650%) (c)(d) | 116,463 | 116,386 | ||||||||||
First Republic Mortgage Trust 2020-1 | ||||||||||||
Series B-1, 2.876%, due 04/25/50 (d)(e) | 697,009 | 705,119 | ||||||||||
Flagstar Mortgage Trust 2018-6RR | ||||||||||||
Series 2018-6RR, 4.942%, due 10/25/48 (d)(e) | 467,723 | 484,552 | ||||||||||
Fontainebleau Miami Beach Trust 2019-FBLU | ||||||||||||
Series F, 3.963%, due 12/10/36 (d)(e) | 120,000 | 117,961 | ||||||||||
Fontainebleau Miami Beach Trust 2019-FBLU | ||||||||||||
Series G, 3.963%, due 12/10/36 (d)(e) | 112,000 | 106,141 | ||||||||||
FREMF 2018-KF49 Mortgage Trust | ||||||||||||
Series 2018-KF49, 1.994%, due 06/25/25 (1 Month U.S. LIBOR + 1.900%) (c)(d) | 51,879 | 51,880 | ||||||||||
FREMF 2019-KF71 Mortgage Trust | ||||||||||||
Series 2019-KF71, 6.094%, due 10/25/29 (1 Month U.S. LIBOR + 6.000%) (c)(d) | 199,165 | 201,481 | ||||||||||
FREMF 2019-KG01 Mortgage Trust | ||||||||||||
Series 2019-KG01, 0.000%, due 05/25/29 (d) | 400,000 | 249,090 | ||||||||||
GCAT 2020-3 LLC | ||||||||||||
Series LLC, 2.981%, due 09/25/25 (d) | 1,071,386 | 1,075,520 | ||||||||||
Great Wolf Trust 2019-WOLF | ||||||||||||
Series 2019-WOLF, 3.241%, due 12/15/36 (1 Month U.S. LIBOR + 3.131%) (c)(d) | 124,000 | 116,257 | ||||||||||
GS Mortgage Securities Corp Trust 2012-ALOHA | ||||||||||||
Series 2012-ALOHA, 3.551%, due 04/10/34 (d) | 116,000 | 115,942 | ||||||||||
GS Mortgage Securities Corp Trust 2018-LUAU | ||||||||||||
Series E, 2.660%, due 11/15/32 (1 Month U.S. LIBOR + 2.550%) (c)(d) | 150,000 | 148,130 | ||||||||||
GS Mortgage Securities Corp Trust 2018-RIVR | ||||||||||||
Series C, 1.360%, due 07/15/35 (1 Month U.S. LIBOR + 1.250%) (c)(d) | 122,000 | 118,339 | ||||||||||
GS Mortgage Securities Corp Trust 2018-RIVR | ||||||||||||
Series F, 2.210%, due 07/15/35 (1 Month U.S. LIBOR + 2.100%) (c)(d) | 1,000,000 | 920,464 | ||||||||||
GS Mortgage-Backed Securities Corp Trust 2020-PJ6 | ||||||||||||
Series A-4, 2.500%, due 05/25/51 (d)(e) | 394,666 | 391,181 | ||||||||||
GSAA Home Equity Trust 2005-6 | ||||||||||||
Series 2005-6, 0.747%, due 06/25/35 (1 Month U.S. LIBOR + 0.645%) (c) | 814,605 | 817,872 | ||||||||||
GSAA Home Equity Trust 2006-4 | ||||||||||||
Series 2006-4, 3.023%, due 03/25/36 (e) | 456,645 | 344,195 | ||||||||||
GSAA Home Equity Trust 2007-7 | ||||||||||||
Series 2007-7, 0.642%, due 07/25/37 (1 Month U.S. LIBOR + 0.540%) (c) | 185,754 | 183,546 | ||||||||||
GSCG Trust 2019-600C | ||||||||||||
Series 2019-600C, 3.985%, due 09/06/34 (d)(e) | 183,000 | 179,441 | ||||||||||
Home RE 2021-1 Ltd. | ||||||||||||
Series LTD, 2.402%, due 07/25/33 (1 Month U.S. LIBOR + 2.300%) (c)(d) | 500,000 | 492,509 | ||||||||||
Homeward Opportunities Fund Trust 2020-BPL1 | ||||||||||||
Series A2, 5.438%, due 08/25/25 (d) | 497,846 | 505,941 | ||||||||||
HPLY Trust 2019-HIT | ||||||||||||
Series 2019-HIT, 3.260%, due 11/15/36 (1 Month U.S. LIBOR + 3.150%) (c)(d) | 153,758 | 148,768 | ||||||||||
Hundred Acre Wood Trust 2021-INV1 | ||||||||||||
Series A27, 2.500%, due 07/25/51 (d)(e) | 375,561 | 372,011 | ||||||||||
IMT Trust 2017-APTS | ||||||||||||
Series 2017-APTS, 2.260%, due 06/15/34 (1 Month U.S. LIBOR + 2.150%) (c)(d) | 128,148 | 126,389 | ||||||||||
IMT Trust 2017-APTS | ||||||||||||
Series 2017-APTS, 2.960%, due 06/15/34 (1 Month U.S. LIBOR + 2.850%) (c)(d) | 39,430 | 39,346 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5 | ||||||||||||
Series D, 5.733%, due 08/15/46 (d)(e) | 29,107 | 28,839 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13 | ||||||||||||
Series E, 3.986%, due 01/15/46 (d)(e) | 445,000 | 412,283 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20 | ||||||||||||
Series 3.53820, 3.538%, due 07/15/47 (d) | 119,975 | 121,772 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2018-AON | ||||||||||||
Series D, 4.613%, due 07/05/31 (d)(e) | 382,000 | 392,368 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2018-LAQ | ||||||||||||
Series E, 3.110%, due 06/15/35 (1 Month U.S. LIBOR + 3.000%) (c)(d) | 21,600 | 21,546 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT | ||||||||||||
Series FLT, 5.542%, due 07/05/33 (d)(e) | 141,000 | 143,593 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT | ||||||||||||
Series FLT, 5.542%, due 07/05/33 (d)(e) | 1,400,000 | 1,403,626 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2019-MFP | ||||||||||||
Series E, 2.270%, due 07/15/36 (1 Month U.S. LIBOR + 2.160%) (c)(d) | 125,000 | 122,935 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN | ||||||||||||
Series 3.97200, 3.972%, due 01/16/37 (d) | 100,000 | 97,991 | ||||||||||
JP Morgan Mortgage Trust 2018-8 | ||||||||||||
Series 2018-8, 4.133%, due 01/25/49 (d)(e) | 466,684 | 469,141 | ||||||||||
JP Morgan Mortgage Trust 2019-8 | ||||||||||||
Series 2019-8, 3.203%, due 03/25/50 (d)(e) | 191,708 | 193,742 | ||||||||||
JP Morgan Mortgage Trust 2019-8 | ||||||||||||
Series 2019-8, 3.500%, due 03/25/50 (d)(e) | 14,683 | 14,859 | ||||||||||
JP Morgan Mortgage Trust 2020-4 | ||||||||||||
Series 2020-4, 3.000%, due 11/25/50 (d)(e) | 275,173 | 277,654 | ||||||||||
JPMBB Commercial Mortgage Securities Trust 2015-C27 | ||||||||||||
Series D, 3.806%, due 02/15/48 (d)(e) | 124,000 | 110,867 | ||||||||||
Legacy Mortgage Asset Trust 2020-GS3 | ||||||||||||
Series A2, 4.000%, due 05/25/60 (d) | 900,000 | 896,184 | ||||||||||
LSTAR Commercial Mortgage Trust 2016-4 | ||||||||||||
Series 2016-4, 4.586%, due 03/10/49 (d)(e) | 274,000 | 284,082 | ||||||||||
MBRT 2019-MBR | ||||||||||||
Series 2019-MBR, 2.909%, due 11/15/36 (1 Month U.S. LIBOR + 2.799%) (c)(d) | 100,000 | 98,501 | ||||||||||
Med Trust 2021-MDLN | ||||||||||||
Series 2021-MDLN, 5.360%, due 11/15/38 (1 Month U.S. LIBOR + 5.250%) (c)(d) | 161,000 | 161,086 | ||||||||||
MF1 Multifamily Housing Mortgage Loan Trust | ||||||||||||
2.664%, due 07/15/36 (SOFR 30 Day Average + 2.614%) (c)(d)(f) | 100,000 | 99,446 | ||||||||||
MFA 2020-NQM3 Trust | ||||||||||||
1.632%, due 01/26/65 (d)(e) | 236,149 | 236,061 | ||||||||||
MHC Commercial Mortgage Trust 2021-MHC | ||||||||||||
Series 2021-MHC, 2.711%, due 04/15/38 (1 Month U.S. LIBOR + 2.601%) (c)(d) | 300,000 | 299,397 | ||||||||||
Morgan Stanley ABS Capital I Inc Trust 2006-NC1 | ||||||||||||
Series 2006-NC1, 0.672%, due 12/25/35 (1 Month U.S. LIBOR + 0.570%) (c) | 558,281 | 559,998 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13 | ||||||||||||
Series 2013-C13, 3.707%, due 11/15/46 (d) | 220,000 | 158,486 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17 | ||||||||||||
Series 2014-C17, 4.480%, due 08/15/47 (e) | 117,000 | 120,850 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 | ||||||||||||
Series 2017-C34, 4.179%, due 11/15/52 (e) | 170,000 | 179,833 | ||||||||||
Morgan Stanley Capital I Trust 2018-SUN | ||||||||||||
Series 2018-SUN, 2.660%, due 07/15/35 (1 Month U.S. LIBOR + 2.550%) (c)(d) | 60,000 | 59,288 | ||||||||||
Morgan Stanley Capital I Trust 2018-SUN | ||||||||||||
Series 2018-SUN, 3.160%, due 07/15/35 (1 Month U.S. LIBOR + 3.050%) (c)(d) | 40,000 | 39,692 | ||||||||||
Morgan Stanley Capital I Trust 2019-NUGS | ||||||||||||
Series E, 3.744%, due 12/15/36 (1 Month U.S. LIBOR + 2.244%) (c)(d) | 147,000 | 146,238 | ||||||||||
Morgan Stanley Capital I Trust 2019-NUGS | ||||||||||||
Series F, 4.344%, due 12/15/36 (1 Month U.S. LIBOR + 2.844%) (c)(d) | 125,000 | 123,079 | ||||||||||
Morgan Stanley Capital I Trust 2019-PLND | ||||||||||||
Series E, 2.260%, due 05/15/36 (1 Month U.S. LIBOR + 2.150%) (c)(d) | 189,000 | 177,137 | ||||||||||
MSCG Trust 2018-SELF | ||||||||||||
Series 2018-SELF, 3.160%, due 10/15/37 (1 Month U.S. LIBOR + 3.050%) (c)(d) | 150,000 | 149,169 | ||||||||||
NewRez Warehouse Securitization Trust 2021-1 | ||||||||||||
Series 21-1, 5.352%, due 05/25/55 (1 Month U.S. LIBOR + 5.250%) (c)(d) | 1,000,000 | 999,073 | ||||||||||
One New York Plaza Trust 2020-1NYP | ||||||||||||
Series C, 2.310%, due 01/15/36 (1 Month U.S. LIBOR + 2.200%) (c)(d) | 160,000 | 160,447 | ||||||||||
PR Mortgage Loan Trust 2014-1 | ||||||||||||
Series 2014-1, 5.869%, due 10/25/49 (d)(e)(f) | 1,367,651 | 1,339,840 | ||||||||||
Provident Funding Mortgage Trust 2021-J1 | ||||||||||||
Series 2.00000, 2.000%, due 10/25/51 (d)(e) | 200,000 | 191,102 | ||||||||||
RATE Mortgage Trust 2021-HB1 | ||||||||||||
Series FLT, 2.500%, due 12/25/51 (d)(e) | 500,000 | 494,180 | ||||||||||
RCKT Mortgage Trust 2021-1 | ||||||||||||
Series 2021-1, 2.726%, due 03/25/51 (d)(e) | 490,094 | 472,184 | ||||||||||
Renaissance Home Equity Loan Trust 2004-4 | ||||||||||||
Series 2004-4, 5.818%, due 02/25/35 | 344,778 | 349,655 | ||||||||||
RLGH Trust 2021-TROT | ||||||||||||
Series 2021-TROT, 1.824%, due 04/15/36 (1 Month U.S. LIBOR + 1.714%) (c)(d) | 175,000 | 175,026 | ||||||||||
Sequoia Mortgage Trust 2021-3 | ||||||||||||
Series B-3, 2.655%, due 05/25/51 (d)(e) | 492,840 | 476,210 | ||||||||||
Soho Trust 2021-SOHO | ||||||||||||
Series 2021-SOHO, 2.697%, due 08/10/38 (d)(e) | 168,000 | 158,115 | ||||||||||
SREIT Trust 2021-IND | ||||||||||||
Series 2021-IND, 2.645%, due 10/15/38 (1 Month U.S. LIBOR + 2.535%) (c)(d) | 164,000 | 163,490 | ||||||||||
TTAN 2021-MHC | ||||||||||||
Series 2021-MHC, 3.010%, due 03/15/38 (1 Month U.S. LIBOR + 2.900%) (c)(d) | 199,908 | 198,160 | ||||||||||
UBS Commercial Mortgage Trust 2017-C4 | ||||||||||||
Series 2017-C4, 4.430%, due 10/15/50 (e) | 250,000 | 254,875 | ||||||||||
Velocity Commercial Capital Loan Trust 2020-2 | ||||||||||||
5.000%, due 05/25/50 (d)(e) | 500,000 | 484,690 | ||||||||||
WaMu Mortgage Pass-Through Certificates Series 2007-HY3 Trust | ||||||||||||
Series 2007-HY3, 2.832%, due 03/25/37 (e) | 410,092 | 383,998 | ||||||||||
Wells Fargo Commercial Mortgage Trust 2016-C37 | ||||||||||||
Series C, 4.493%, due 12/15/49 (e) | 132,000 | 139,489 | ||||||||||
Wells Fargo Commercial Mortgage Trust 2021-C59 | ||||||||||||
Series E, 2.500%, due 04/15/54 (d) | 400,000 | 326,484 | ||||||||||
WFRBS Commercial Mortgage Trust 2013-C12 | ||||||||||||
Series 2013-C12, 3.500%, due 03/15/48 (d) | 900,000 | 775,262 | ||||||||||
WFRBS Commercial Mortgage Trust 2014-C21 | ||||||||||||
Series 2014-C21, 3.497%, due 08/15/47 (d) | 300,000 | �� | 243,818 | |||||||||
Total Non-Agency Mortgage-Backed Obligations (Cost $38,528,893) | 38,325,979 | |||||||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS INTEREST-ONLY STRIPS - 1.8% | ||||||||||||
BANK 2017-BNK8 | ||||||||||||
Series 2017-BNK8, 1.269%, due 11/15/50 (d)(e) | 7,050,000 | 469,197 | ||||||||||
BANK 2018-BNK11 | ||||||||||||
Series 2018-BNK11, 0.470%, due 03/15/61 (e) | 11,464,136 | 309,808 | ||||||||||
BANK 2019-BNK21 | ||||||||||||
Series 2019-BNK21, 0.869%, due 10/17/52 (e) | 4,275,763 | 236,390 | ||||||||||
BANK 2020-BNK30 | ||||||||||||
Series 2020-BNK30, 1.332%, due 12/15/53 (e) | 1,285,708 | 116,296 | ||||||||||
Barclays Commercial Mortgage Trust 2019-C3 | ||||||||||||
Series 2019-C3, 1.340%, due 05/15/52 (e) | 1,458,169 | 120,316 | ||||||||||
BBCMS Mortgage Trust 2021-C11 | ||||||||||||
Series 2021-C11, 1.523%, due 09/15/54 (d)(e) | 1,255,000 | 160,705 | ||||||||||
Benchmark 2018-B4 Mortgage Trust | ||||||||||||
Series 2018-B4, 1.750%, due 07/15/51 (d)(e) | 7,000,000 | 688,538 | ||||||||||
Benchmark 2019-B10 Mortgage Trust | ||||||||||||
Series 2019-B10, 0.900%, due 03/15/62 (d)(e) | 2,820,000 | 172,948 | ||||||||||
Benchmark 2020-B17 Mortgage Trust | ||||||||||||
Series 2020-B17, 1.418%, due 03/15/53 (e) | 2,536,148 | 204,057 | ||||||||||
Benchmark 2020-B18 Mortgage Trust | ||||||||||||
Series 2020-B18, 1.792%, due 07/15/53 (e) | 1,557,168 | 160,922 | ||||||||||
Benchmark 2020-B22 Mortgage Trust | ||||||||||||
Series 2020-B22, 1.520%, due 01/15/54 (e) | 1,286,487 | 144,890 | ||||||||||
Benchmark 2021-B25 Mortgage Trust | ||||||||||||
Series 2021-B25, 1.110%, due 04/15/54 (e) | 2,234,855 | 183,976 | ||||||||||
CD 2017-CD4 Mortgage Trust | ||||||||||||
Series 2017-CD4, 1.274%, due 05/10/50 (e) | 1,695,055 | 80,323 | ||||||||||
CFCRE Commercial Mortgage Trust 2016-C4 | ||||||||||||
Series 2016-C4, 1.635%, due 05/10/58 (e) | 709,276 | 41,072 | ||||||||||
CFCRE Commercial Mortgage Trust 2017-C8 | ||||||||||||
Series 2017-C8, 1.496%, due 06/15/50 (e) | 1,161,443 | 73,451 | ||||||||||
Citigroup Commercial Mortgage Trust 2016-C1 | ||||||||||||
Series XA, 1.829%, due 05/10/49 (e) | 758,759 | 51,932 | ||||||||||
Citigroup Commercial Mortgage Trust 2017-P8 | ||||||||||||
Series X-A, 0.890%, due 09/15/50 (e) | 990,043 | 41,697 | ||||||||||
Citigroup Commercial Mortgage Trust 2019-C7 | ||||||||||||
Series X-A, 0.874%, due 12/15/72 (e) | 6,255,076 | 359,931 | ||||||||||
COMM 2012-LC4 Mortgage Trust | ||||||||||||
Series 2012-LC4, 1.759%, due 12/10/44 (d)(e) | 3,733,071 | 198 | ||||||||||
COMM 2013-CCRE12 Mortgage Trust | ||||||||||||
Series 2013-CCRE12, 1.109%, due 10/10/46 (e) | 3,037,280 | 49,040 | ||||||||||
COMM 2015-LC21 Mortgage Trust | ||||||||||||
Series 2015-LC21, 0.674%, due 07/10/48 (e) | 1,442,997 | 29,296 | ||||||||||
CSAIL 2016-C6 Commercial Mortgage Trust | ||||||||||||
Series 2016-C6, 1.866%, due 01/15/49 (e) | 625,152 | 42,210 | ||||||||||
CSAIL 2017-CX10 Commercial Mortgage Trust | ||||||||||||
Series 2017-CX10, 0.708%, due 11/15/50 (e) | 5,437,331 | 172,454 | ||||||||||
CSAIL 2018-CX12 Commercial Mortgage Trust | ||||||||||||
Series 2018-CX12, 0.570%, due 08/15/51 (e) | 4,494,723 | 138,512 | ||||||||||
FREMF 2019-KG01 Mortgage Trust | ||||||||||||
Series 2019-KG01, 0.100%, due 04/25/29 (d) | 5,103,195 | 21,782 | ||||||||||
FREMF 2019-KG01 Mortgage Trust | ||||||||||||
Series 2019-KG01, 0.100%, due 05/25/29 (d) | 570,000 | 2,998 | ||||||||||
GS Mortgage Securities Corp II | ||||||||||||
Series 2013-GC10, 1.475%, due 02/10/46 (e) | 1,783,135 | 18,601 | ||||||||||
GS Mortgage Securities Trust 2011-GC3 | ||||||||||||
Series 2011-GC3, 0.291%, due 03/10/44 (d)(e)(f) | 667,606 | 2,027 | ||||||||||
GS Mortgage Securities Trust 2019-GC42 | ||||||||||||
Series X-A, 0.808%, due 09/01/52 (e) | 2,317,793 | 119,668 | ||||||||||
GS Mortgage Securities Trust 2020-GC47 | ||||||||||||
Series X-A, 1.131%, due 05/12/53 (e) | 1,464,689 | 116,988 | ||||||||||
GS Mortgage Securities Trust 2020-GSA2 | ||||||||||||
Series X-A, 1.735%, due 12/12/53 (d)(e) | 1,210,232 | 145,264 | ||||||||||
JPMBB Commercial Mortgage Securities Trust 2014-C19 | ||||||||||||
Series X-A, 0.655%, due 04/15/47 (e) | 14,369,081 | 157,051 | ||||||||||
JPMDB Commercial Mortgage Securities Trust 2016-C2 | ||||||||||||
Series X-A, 1.554%, due 06/15/49 (e) | 1,003,433 | 48,831 | ||||||||||
LSTAR Commercial Mortgage Trust 2016-4 | ||||||||||||
Series 2016-4, 1.766%, due 03/10/49 (d)(e) | 1,194,703 | 42,865 | ||||||||||
LSTAR Commercial Mortgage Trust 2017-5 | ||||||||||||
Series 2017-5, 0.857%, due 03/10/50 (d)(e) | 2,149,875 | 50,574 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13 | ||||||||||||
Series 2013-C13, 0.944%, due 11/15/46 (e) | 4,772,576 | 62,944 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19 | ||||||||||||
Series 2014-C19, 0.965%, due 12/15/47 (e) | 2,181,257 | 49,961 | ||||||||||
Morgan Stanley Capital I Trust 2016-UBS12 | ||||||||||||
Series X-A, 0.706%, due 12/15/49 (e) | 2,726,351 | 75,897 | ||||||||||
PMTT4 | ||||||||||||
Series 2017-PM1, 0.000%, due 10/25/48 (d) | 208,214,390 | 218,812 | ||||||||||
SG Commercial Mortgage Securities Trust 2016-C5 | ||||||||||||
Series 2016-C5, 1.903%, due 10/10/48 (e) | 1,064,060 | 62,167 | ||||||||||
UBS Commercial Mortgage Trust 2018-C9 | ||||||||||||
Series 2018-C9, 0.874%, due 03/15/51 (e) | 2,478,014 | 112,946 | ||||||||||
Wells Fargo Commercial Mortgage Trust 2018-C45 | ||||||||||||
Series X-A, 0.796%, due 06/15/51 (e) | 5,210,153 | 234,764 | ||||||||||
Total Non-Agency Mortgage-Backed Obligations Interest-Only Strips (Cost $7,350,682) | 5,592,299 | |||||||||||
ASSET-BACKED SECURITIES - 5.7% | ||||||||||||
Air Canada 2017-1 Class B Pass Through Trust | ||||||||||||
Series 2017-1, 3.700%, due 01/15/26 (d) | 706,349 | 692,222 | ||||||||||
AMSR 2021-SFR1 Trust | ||||||||||||
Series 2021-SFR1, 2.900%, due 06/17/38 (d) | 1,200,000 | 1,174,571 | ||||||||||
AMSR 2021-SFR3 Trust | ||||||||||||
Series 2021-SFR3, 4.896%, due 10/17/38 (d) | 550,000 | 541,136 | ||||||||||
Applebee's Funding LLC | ||||||||||||
Series 2019-1, 4.194%, due 06/05/49 (d) | 148,500 | 150,310 | ||||||||||
Series 2019-1, 4.723%, due 06/05/49 (d) | 99,000 | 101,994 | ||||||||||
AQUA FIN TR 2021-A | ||||||||||||
Series 2021-A, 1.540%, due 07/17/46 (d) | 139,979 | 138,487 | ||||||||||
CARDS II Trust | ||||||||||||
Series 2021-1, 0.931%, due 04/15/27 (d) | 150,000 | 148,059 | ||||||||||
Carmax Auto Owner Trust 2019-3 | ||||||||||||
Series 2019-3, 2.850%, due 01/15/26 | 100,000 | 102,139 | ||||||||||
Castlelake Aircraft Structured Trust 2019-1 | ||||||||||||
Series 2091-1, 6.899%, due 04/15/39 (d) | 923,003 | 755,083 | ||||||||||
CLNC 2019-FL1 Ltd. | ||||||||||||
Series 2019-FL1, 2.064%, due 08/20/35 (SOFR 30 Day Average + 2.014%) (c)(d)(f) | 100,000 | 99,648 | ||||||||||
Commonbond Student Loan Trust 2018-BGS | ||||||||||||
Series C, 4.120%, due 09/25/45 (d) | 10,832 | 10,937 | ||||||||||
Countrywide Asset-Backed Certificates | ||||||||||||
Series 2006-6, 0.442%, due 09/25/36 (1 Month U.S. LIBOR + 0.340%) (c) | 695,969 | 689,457 | ||||||||||
DB Master Finance LLC | ||||||||||||
Series 2019-1, 4.021%, due 05/20/49 (d) | 87,975 | 91,405 | ||||||||||
Domino's Pizza Master Issuer LLC | ||||||||||||
Series 3.15100, 3.151%, due 04/25/51 (d) | 99,500 | 101,516 | ||||||||||
First Franklin Mortgage Loan Trust 2004-FF10 | ||||||||||||
Series M-1, 1.377%, due 07/25/34 (1 Month U.S. LIBOR + 1.275%) (c) | 210,831 | 211,382 | ||||||||||
FirstKey Homes 2020-SFR2 Trust | ||||||||||||
Series TR, 1.266%, due 10/19/37 (d) | 99,716 | 97,004 | ||||||||||
Home Partners of America 2019-1 Trust | ||||||||||||
Series 2019-1, 3.157%, due 09/17/39 (d) | 88,431 | 88,214 | ||||||||||
Jack in the Box Funding LLC | ||||||||||||
Series 4.47600, 4.476%, due 08/25/49 (d) | 114,138 | 118,674 | ||||||||||
Marlette Funding Trust 2019-3 | ||||||||||||
Series 2019-3, 3.070%, due 09/17/29 (d) | 96,235 | 96,507 | ||||||||||
Mill City Solar Loan 2019-2 Ltd. | ||||||||||||
Series 2019-2, 3.690%, due 07/20/43 (d) | 91,821 | 95,991 | ||||||||||
Mosaic Solar Loan Trust 2018-1 | ||||||||||||
Series 2018-1, 4.010%, due 06/22/43 (d) | 219,863 | 231,352 | ||||||||||
Mosaic Solar Loan Trust 2018-2-GS | ||||||||||||
Series 2018-2-GS, 4.200%, due 02/22/44 (d) | 233,849 | 248,171 | ||||||||||
Series 2018-2-GS, 4.740%, due 02/22/44 (d) | 291,567 | 302,981 | ||||||||||
MVW Owner Trust 2018-1 | ||||||||||||
Series 2018-1, 3.450%, due 01/21/36 (d) | 34,330 | 35,300 | ||||||||||
Navient Private Education Refi Loan Trust 2020-H | ||||||||||||
Series A, 1.310%, due 01/15/69 (d) | 139,723 | 139,321 | ||||||||||
Neighborly Issuer LLC | ||||||||||||
Series A-2, 3.584%, due 04/30/51 (d) | 497,500 | 495,749 | ||||||||||
Oscar US Funding XI LLC | ||||||||||||
Series A-4, 2.680%, due 09/10/26 (d) | 150,000 | 152,678 | ||||||||||
Progress Residential 2020-SFR3 Trust | ||||||||||||
Series TR, 4.105%, due 10/17/27 (d) | 2,000,000 | 2,023,199 | ||||||||||
Progress Residential 2021-SFR3 | ||||||||||||
Series TR, 4.254%, due 05/17/26 (d) | 1,100,000 | 1,082,915 | ||||||||||
Progress Residential Trust | ||||||||||||
Series TR, 4.003%, due 07/17/38 (d) | 700,000 | 696,465 | ||||||||||
Santander Drive Auto Receivables Trust 2018-1 | ||||||||||||
Series 2018-1, 4.370%, due 05/15/25 (d) | 750,000 | 755,234 | ||||||||||
Sofi Consumer Loan Program 2018-1 Trust | ||||||||||||
Series C, 3.970%, due 02/25/27 (d) | 250,000 | 251,939 | ||||||||||
Sofi Consumer Loan Program 2018-2 Trust | ||||||||||||
Series C, 4.250%, due 04/26/27 (d) | 215,000 | 216,922 | ||||||||||
Sofi Consumer Loan Program 2018-3 Trust | ||||||||||||
Series C, 4.670%, due 08/25/27 (d) | 150,000 | 153,788 | ||||||||||
SoFi Consumer Loan Program 2018-4 Trust | ||||||||||||
Series D, 4.760%, due 11/26/27 (d) | 500,000 | 508,609 | ||||||||||
Sofi Professional Loan Program 2018-C Trust | ||||||||||||
Series R-1, 0.000%, due 01/25/48 (d)(f) | 10,000 | 200,298 | ||||||||||
SoFi Professional Loan Program 2021-A Trust | ||||||||||||
0.000%, due 08/17/43 (d) | 23,000 | 518,438 | ||||||||||
SoFi Professional Loan Program 2021-B Trust | ||||||||||||
Series TR, 0.000%, due 02/15/47 (d)(f) | 10,000 | 601,293 | ||||||||||
Structured Asset Securities Corp Mortgage Loan Trust 2006-BC3 | ||||||||||||
Series A3, 0.422%, due 10/25/36 (1 Month U.S. LIBOR + 0.320%) (c) | 598,144 | 584,681 | ||||||||||
Sunnova Sol II Issuer LLC | ||||||||||||
Series A, 2.730%, due 11/01/55 (d) | 490,138 | 491,864 | ||||||||||
Sunrun Xanadu Issuer 2019-1 LLC | ||||||||||||
Series 2019-1, 3.980%, due 06/30/54 (d) | 120,350 | 126,614 | ||||||||||
Taco Bell Funding LLC | ||||||||||||
Series 2016-1, 4.970%, due 05/25/46 (d) | 413,515 | 431,369 | ||||||||||
Series 1.94600, 1.946%, due 08/25/51 (d) | 100,000 | 97,981 | ||||||||||
United Airlines 2020-1 Class A Pass Through Trust | ||||||||||||
Series 2020-1, 5.875%, due 10/15/27 | 293,572 | 320,728 | ||||||||||
VOLT XCII LLC | ||||||||||||
Series 2021-NPL1, 4.949%, due 02/27/51 (d) | 700,000 | 697,928 | ||||||||||
Wendy's Funding LLC | ||||||||||||
Series 2019-1, 3.783%, due 06/15/49 (d) | 92,000 | 96,098 | ||||||||||
Wingstop Funding LLC | ||||||||||||
Series 2020-1, 2.841%, due 12/05/50 (d) | 248,750 | 247,817 | ||||||||||
Zaxby's Funding LLC | ||||||||||||
Series 2021-1, 3.238%, due 07/30/51 (d) | 149,625 | 151,874 | ||||||||||
Total Asset-Backed Securities (Cost $17,700,349) | 17,366,342 | |||||||||||
COLLATERALIZED LOAN OBLIGATIONS - 5.3% (c) | ||||||||||||
ACREC 2021-FL1 Ltd. | ||||||||||||
Series 2021-FL1, 2.254%, due 10/16/36 (1 Month U.S. LIBOR + 2.150%) (d)(f) | 375,000 | 373,289 | ||||||||||
ALM 2020 Ltd. | ||||||||||||
Series 2020-1, 1.974%, due 10/15/29 (3 Month U.S. LIBOR + 1.850%) (d) | 500,000 | 499,377 | ||||||||||
Annisa CLO Ltd. 2016-2 | ||||||||||||
Series 2016-R, 2.132%, due 07/20/31 (3 Month U.S. LIBOR + 2.000%) (d) | 1,000,000 | 1,000,063 | ||||||||||
Apidos CLO XXII | ||||||||||||
Series 2015-22R, 2.082%, due 04/20/31 (3 Month U.S. LIBOR + 1.950%) (d) | 500,000 | 494,722 | ||||||||||
Arbor Realty Collateralized Loan Obligation 2020-FL1 Ltd. | ||||||||||||
Series 2020-FL1, 2.614%, due 02/15/35 (SOFR 30 Day Average + 2.564%) (d)(f) | 170,000 | 169,684 | ||||||||||
Ares XLIX CLO Ltd. | ||||||||||||
Series 2018-49, 2.078%, due 07/22/30 (3 Month U.S. LIBOR + 1.950%) (d) | 1,000,000 | 999,895 | ||||||||||
Atrium IX | ||||||||||||
Series 2013-40R, 3.776%, due 05/28/30 (3 Month U.S. LIBOR + 3.600%) (d) | 500,000 | 499,248 | ||||||||||
BDS 2019-FL4 Ltd. | ||||||||||||
Series 2019-FL4, 1.859%, due 08/15/36 (1 Month U.S. LIBOR + 1.750%) (d)(f) | 100,000 | 99,741 | ||||||||||
BDS 2020-FL5 Ltd. | ||||||||||||
Series LTD, 2.214%, due 02/16/37 (SOFR 30 Day Average + 2.164%) (d)(f) | 340,000 | 338,986 | ||||||||||
Benefit Street Partners CLO X Ltd. | ||||||||||||
Series FLT, 2.282%, due 04/20/34 (3 Month U.S. LIBOR + 2.150%) (d) | 250,000 | 248,874 | ||||||||||
BlueMountain CLO XXVIII Ltd. | ||||||||||||
Series C, 2.124%, due 04/15/34 (3 Month U.S. LIBOR + 2.000%) (d) | 250,000 | 248,138 | ||||||||||
Canyon Capital CLO 2014-1 Ltd. | ||||||||||||
Series 2014-1R, 2.882%, due 01/30/31 (3 Month U.S. LIBOR + 2.750%) (d) | 250,000 | 242,176 | ||||||||||
Canyon Capital CLO 2021-2 Ltd. | ||||||||||||
Series D, 3.474%, due 04/15/34 (3 Month U.S. LIBOR + 3.350%) (d) | 500,000 | 496,631 | ||||||||||
Carlyle Global Market Strategies CLO 2015-3 Ltd. | ||||||||||||
Series C-R, 2.986%, due 07/28/28 (3 Month U.S. LIBOR + 2.850%) (d) | 500,000 | 497,510 | ||||||||||
CIFC Funding 2015-IV Ltd. | ||||||||||||
Series IVR2, 2.032%, due 04/20/34 (3 Month U.S. LIBOR + 1.900%) (d) | 250,000 | 246,955 | ||||||||||
CIFC Funding 2021-IV Ltd. | ||||||||||||
Series 2021-IV, 3.024%, due 07/15/33 (3 Month U.S. LIBOR + 2.900%) (d) | 500,000 | 500,022 | ||||||||||
Columbia Cent CLO 27 Ltd. | ||||||||||||
4.010%, due 01/25/35 (3 Month U.S. LIBOR + 3.830%) (d) | 500,000 | 497,086 | ||||||||||
Dryden 33 Senior Loan Fund | ||||||||||||
Series FLT, 3.774%, due 04/15/29 (3 Month U.S. LIBOR + 3.650%) (d) | 500,000 | 498,155 | ||||||||||
Dryden 40 Senior Loan Fund | ||||||||||||
Series 2015-40R, 2.256%, due 08/15/31 (3 Month U.S. LIBOR + 2.100%) (d) | 500,000 | 498,584 | ||||||||||
Goldentree Loan Management US CLO 2 Ltd. | ||||||||||||
Series D, 2.782%, due 11/28/30 (3 Month U.S. LIBOR + 2.650%) (d) | 500,000 | 493,320 | ||||||||||
Greystone CRE Notes 2019-FL2 Ltd. | ||||||||||||
Series C, 2.110%, due 09/15/37 (1 Month U.S. LIBOR + 2.000%) (d)(f) | 200,000 | 199,884 | ||||||||||
Greystone CRE Notes 2019-FL2 Ltd. | ||||||||||||
Series D, 2.510%, due 09/15/37 (1 Month U.S. LIBOR + 2.400%) (d)(f) | 183,000 | 181,993 | ||||||||||
Hayfin Kingsland VIII Ltd. | ||||||||||||
Series 2018-8, 1.612%, due 04/20/31 (3 Month U.S. LIBOR + 1.480%) (d) | 500,000 | 495,307 | ||||||||||
LCM XXIV Ltd. | ||||||||||||
Series LTD, 2.032%, due 03/20/30 (3 Month U.S. LIBOR + 1.900%) (d) | 250,000 | 249,051 | ||||||||||
Madison Park Funding XXI Ltd. | ||||||||||||
Series FLT, 2.318%, due 10/15/32 (3 Month U.S. LIBOR + 2.200%) (d) | 250,000 | 249,998 | ||||||||||
Neuberger Berman Loan Advisers CLO 40 Ltd. | ||||||||||||
Series C, 1.872%, due 04/16/33 (3 Month U.S. LIBOR + 1.750%) (d) | 250,000 | 249,999 | ||||||||||
Oaktree CLO 2021-2 Ltd. | ||||||||||||
2.348%, due 01/15/35 (3 Month U.S. LIBOR + 2.250%) (d) | 500,000 | 498,881 | ||||||||||
Octagon Investment Partners 30 Ltd. | ||||||||||||
Series B-R, 2.082%, due 03/17/30 (3 Month U.S. LIBOR + 1.950%) (d) | 250,000 | 248,822 | ||||||||||
Octagon Investment Partners 31 LLC | ||||||||||||
Series C-R, 2.182%, due 07/20/30 (3 Month U.S. LIBOR + 2.050%) (d) | 280,000 | 279,474 | ||||||||||
Octagon Investment Partners XIV Ltd. | ||||||||||||
Series LTD, 4.024%, due 07/15/29 (3 Month U.S. LIBOR + 3.900%) (d) | 500,000 | 500,115 | ||||||||||
OHA Credit Funding 5 Ltd. | ||||||||||||
Series E, 6.372%, due 04/18/33 (3 Month U.S. LIBOR + 6.250%) (d) | 500,000 | 498,074 | ||||||||||
OHA Credit Funding 8 Ltd. | ||||||||||||
Series 2021-8, 2.022%, due 01/18/34 (3 Month U.S. LIBOR + 1.900%) (d) | 250,000 | 247,272 | ||||||||||
OHA Credit Partners XIII Ltd. | ||||||||||||
Series D-R, 3.346%, due 10/25/34 (3 Month U.S. LIBOR + 3.200%) (d) | 500,000 | 498,406 | ||||||||||
OHA Loan Funding 2013-1 Ltd. | ||||||||||||
Series FLT, 2.194%, due 07/23/31 (3 Month U.S. LIBOR + 2.070%) (d) | 500,000 | 497,503 | ||||||||||
Palmer Square CLO 2015-1 Ltd. | ||||||||||||
Series FLT, 2.010%, due 05/21/34 (3 Month U.S. LIBOR + 1.850%) (d) | 500,000 | 493,405 | ||||||||||
Sound Point CLO XIV Ltd. | ||||||||||||
Series C-R, 2.174%, due 01/23/29 (3 Month U.S. LIBOR + 2.050%) (d) | 250,000 | 249,233 | ||||||||||
TCI-Flatiron CLO 2018-1 Ltd. | ||||||||||||
Series C-R, 1.879%, due 01/29/32 (3 Month U.S. LIBOR + 1.750%) (d) | 250,000 | 249,999 | ||||||||||
TCW CLO 2021-1 Ltd. | ||||||||||||
Series LTD, 2.032%, due 03/18/34 (3 Month U.S. LIBOR + 1.900%) (d) | 250,000 | 247,173 | ||||||||||
Venture XIV CLO Ltd. | ||||||||||||
Series FLT, 1.726%, due 08/28/29 (3 Month U.S. LIBOR + 1.550%) (d) | 500,000 | 500,036 | ||||||||||
Wind River 2014-3 CLO Ltd. | ||||||||||||
Series FLT, 3.528%, due 10/22/31 (3 Month U.S. LIBOR + 3.400%) (d) | 500,000 | 491,347 | ||||||||||
Total Collateralized Loan Obligations (Cost $16,098,377) | 16,068,428 | |||||||||||
CORPORATE BONDS - 17.6% | ||||||||||||
Basic Materials - 0.8% | ||||||||||||
Arconic Corp. | ||||||||||||
6.125%, due 02/15/28 (d) | 55,000 | 58,300 | ||||||||||
Cleveland-Cliffs, Inc. | ||||||||||||
4.625%, due 03/01/29 (d) | 295,000 | 303,112 | ||||||||||
4.875%, due 03/01/31 (d) | 180,000 | 186,975 | ||||||||||
Coeur Mining, Inc. | ||||||||||||
5.125%, due 02/15/29 (a)(d) | 25,000 | 22,969 | ||||||||||
Compass Minerals International, Inc. | ||||||||||||
6.750%, due 12/01/27 (d) | 25,000 | 26,438 | ||||||||||
CVR Partners LP | ||||||||||||
6.125%, due 06/15/28 (d) | 30,000 | 31,681 | ||||||||||
Ecolab, Inc. | ||||||||||||
1.000%, due 01/15/24 | EUR | 150,000 | 174,105 | |||||||||
Freeport-McMoRan, Inc. | ||||||||||||
4.125%, due 03/01/28 | $ | 50,000 | 51,750 | |||||||||
4.625%, due 08/01/30 | 200,000 | 214,000 | ||||||||||
5.450%, due 03/15/43 | 480,000 | 603,600 | ||||||||||
Glatfelter Corp. | ||||||||||||
4.750%, due 11/15/29 (d) | 65,000 | 67,031 | ||||||||||
Glencore Funding LLC | ||||||||||||
1.625%, due 04/27/26 (d) | 60,000 | 58,872 | ||||||||||
3.375%, due 09/23/51 (d) | 40,000 | 38,373 | ||||||||||
Illuminate Buyer LLC | ||||||||||||
9.000%, due 07/01/28 (d) | 25,000 | 26,625 | ||||||||||
Iris Holdings, Inc. | ||||||||||||
8.750%, due 02/15/26 (d) | 25,000 | 25,279 | ||||||||||
Joseph T Ryerson & Son, Inc. | ||||||||||||
8.500%, due 08/01/28 (d) | 4,000 | 4,345 | ||||||||||
Kraton Polymers LLC | ||||||||||||
4.250%, due 12/15/25 (d) | 75,000 | 77,438 | ||||||||||
LSF11 A5 HoldCo LLC | ||||||||||||
6.625%, due 10/15/29 (d) | 25,000 | 24,625 | ||||||||||
Novelis Corp. | ||||||||||||
3.875%, due 08/15/31 (d) | 25,000 | 24,875 | ||||||||||
Olin Corp. | ||||||||||||
5.125%, due 09/15/27 | 25,000 | 25,750 | ||||||||||
Schweitzer-Mauduit International, Inc. | ||||||||||||
6.875%, due 10/01/26 (d) | 25,000 | 26,125 | ||||||||||
SCIH Salt Holdings, Inc. | ||||||||||||
4.875%, due 05/01/28 (d) | 185,000 | 177,600 | ||||||||||
Tronox, Inc. | ||||||||||||
4.625%, due 03/15/29 (d) | 20,000 | 19,850 | ||||||||||
Unifrax Escrow Issuer Corp. | ||||||||||||
5.250%, due 09/30/28 (d) | 50,000 | 50,375 | ||||||||||
Venator Finance Sarl | ||||||||||||
5.750%, due 07/15/25 (d) | 10,000 | 9,575 | ||||||||||
WR Grace Holdings LLC | ||||||||||||
5.625%, due 08/15/29 (d) | 60,000 | 61,200 | ||||||||||
2,390,868 | ||||||||||||
Communications - 2.3% | ||||||||||||
AMC Networks, Inc. | ||||||||||||
4.250%, due 02/15/29 | 25,000 | 24,875 | ||||||||||
ANGI Group LLC | ||||||||||||
3.875%, due 08/15/28 (d) | 135,000 | 131,962 | ||||||||||
AT&T, Inc. | ||||||||||||
3.500%, due 09/15/53 | 120,000 | 120,913 | ||||||||||
3.550%, due 09/15/55 | 33,000 | 32,966 | ||||||||||
Audacy Capital Corp. | ||||||||||||
6.500%, due 05/01/27 (d) | 20,000 | 19,500 | ||||||||||
Avaya, Inc. | ||||||||||||
6.125%, due 09/15/28 (d) | 35,000 | 37,100 | ||||||||||
Beasley Mezzanine Holdings LLC | ||||||||||||
8.625%, due 02/01/26 (d) | 25,000 | 24,687 | ||||||||||
CCO Holdings LLC | ||||||||||||
5.125%, due 05/01/27 (d) | 360,000 | 372,600 | ||||||||||
4.750%, due 03/01/30 (d) | 230,000 | 239,775 | ||||||||||
4.500%, due 08/15/30 (d) | 125,000 | 128,125 | ||||||||||
4.250%, due 02/01/31 (d) | 35,000 | 35,350 | ||||||||||
4.500%, due 06/01/33 (d) | 100,000 | 101,875 | ||||||||||
4.250%, due 01/15/34 (d) | 55,000 | 54,037 | ||||||||||
Cengage Learning, Inc. | ||||||||||||
9.500%, due 06/15/24 (d) | 40,000 | 40,250 | ||||||||||
Charter Communications Operating LLC | ||||||||||||
4.908%, due 07/23/25 | 170,000 | 187,107 | ||||||||||
2.800%, due 04/01/31 | 130,000 | 128,848 | ||||||||||
5.750%, due 04/01/48 | 180,000 | 225,043 | ||||||||||
5.125%, due 07/01/49 | 405,000 | 465,047 | ||||||||||
Clear Channel Outdoor Holdings, Inc. | ||||||||||||
7.500%, due 06/01/29 (d) | 25,000 | 26,625 | ||||||||||
Comcast Corp. | ||||||||||||
3.400%, due 04/01/30 | 85,000 | 92,436 | ||||||||||
CommScope Technologies LLC | ||||||||||||
5.000%, due 03/15/27 (d) | 25,000 | 23,406 | ||||||||||
CommScope, Inc. | ||||||||||||
4.750%, due 09/01/29 (d) | 40,000 | 39,650 | ||||||||||
CSC Holdings LLC | ||||||||||||
5.250%, due 06/01/24 | 25,000 | 26,062 | ||||||||||
Diamond Sports Group LLC | ||||||||||||
5.375%, due 08/15/26 (d) | 20,000 | 10,000 | ||||||||||
Directv Financing LLC | ||||||||||||
5.875%, due 08/15/27 (d) | 60,000 | 61,350 | ||||||||||
DISH DBS Corp. | ||||||||||||
5.750%, due 12/01/28 (d) | 30,000 | 30,225 | ||||||||||
5.125%, due 06/01/29 | 50,000 | 45,500 | ||||||||||
DISH Network Corp. CVRT | ||||||||||||
3.375%, due 08/15/26 | 125,000 | 117,290 | ||||||||||
Embarq Corp. | ||||||||||||
7.995%, due 06/01/36 | 25,000 | 28,187 | ||||||||||
Expedia Group, Inc. | ||||||||||||
5.000%, due 02/15/26 | 85,000 | 94,685 | ||||||||||
3.250%, due 02/15/30 | �� | 85,000 | 86,856 | |||||||||
Frontier Communications Holdings LLC | ||||||||||||
5.875%, due 10/15/27 (d) | 10,000 | 10,575 | ||||||||||
5.000%, due 05/01/28 (d) | 50,000 | 51,312 | ||||||||||
6.000%, due 01/15/30 (d) | 35,000 | 35,088 | ||||||||||
GCI LLC | ||||||||||||
4.750%, due 10/15/28 (d) | 124,000 | 127,100 | ||||||||||
Gray Escrow II, Inc. | ||||||||||||
5.375%, due 11/15/31 (d) | 25,000 | 25,688 | ||||||||||
Hughes Satellite Systems Corp. | ||||||||||||
6.625%, due 08/01/26 | 25,000 | 27,938 | ||||||||||
iHeartCommunications, Inc. | ||||||||||||
8.375%, due 05/01/27 | 25,000 | 26,375 | ||||||||||
Liberty Broadband Corp. CVRT | ||||||||||||
1.250%, due 09/30/50 (d) | 245,000 | 241,884 | ||||||||||
2.750%, due 09/30/50 (d) | 165,000 | 167,408 | ||||||||||
Liberty Media Corp. CVRT | ||||||||||||
0.500%, due 12/01/50 (d) | 100,000 | 143,392 | ||||||||||
Lumen Technologies, Inc. | ||||||||||||
5.125%, due 12/15/26 (d) | 40,000 | 41,650 | ||||||||||
4.000%, due 02/15/27 (d) | 30,000 | 30,337 | ||||||||||
Match Group Holdings II LLC | ||||||||||||
4.125%, due 08/01/30 (d) | 200,000 | 202,250 | ||||||||||
McGraw-Hill Education, Inc. | ||||||||||||
8.000%, due 08/01/29 (d) | 25,000 | 24,750 | ||||||||||
MercadoLibre, Inc. | ||||||||||||
2.375%, due 01/14/26 | 200,000 | 193,000 | ||||||||||
Midas OpCo Holdings LLC | ||||||||||||
5.625%, due 08/15/29 (d) | 25,000 | 25,563 | ||||||||||
Midcontinent Communications | ||||||||||||
5.375%, due 08/15/27 (d) | 25,000 | 25,719 | ||||||||||
Netflix, Inc. | ||||||||||||
4.375%, due 11/15/26 | 135,000 | 149,512 | ||||||||||
4.875%, due 04/15/28 | 60,000 | 68,400 | ||||||||||
5.875%, due 11/15/28 | 25,000 | 30,063 | ||||||||||
5.375%, due 11/15/29 (d) | 210,000 | 249,375 | ||||||||||
News Corp. | ||||||||||||
3.875%, due 05/15/29 (d) | 395,000 | 398,456 | ||||||||||
Radiate Holdco LLC | ||||||||||||
4.500%, due 09/15/26 (d) | 25,000 | 25,188 | ||||||||||
Scripps Escrow II, Inc. | ||||||||||||
3.875%, due 01/15/29 (d) | 25,000 | 24,938 | ||||||||||
Scripps Escrow, Inc. | ||||||||||||
5.875%, due 07/15/27 (d) | 45,000 | 47,081 | ||||||||||
Sinclair Television Group, Inc. | ||||||||||||
4.125%, due 12/01/30 (d) | 25,000 | 23,625 | ||||||||||
Sirius XM Radio, Inc. | ||||||||||||
5.000%, due 08/01/27 (d) | 25,000 | 25,906 | ||||||||||
4.125%, due 07/01/30 (d) | 20,000 | 20,050 | ||||||||||
Spanish Broadcasting System, Inc. | ||||||||||||
9.750%, due 03/01/26 (d) | 25,000 | 25,813 | ||||||||||
Sprint Capital Corp. | ||||||||||||
8.750%, due 03/15/32 | 210,000 | 316,050 | ||||||||||
Sprint Corp. | ||||||||||||
7.125%, due 06/15/24 | 35,000 | 39,244 | ||||||||||
7.625%, due 03/01/26 | 25,000 | 29,906 | ||||||||||
TEGNA, Inc. | ||||||||||||
5.000%, due 09/15/29 | 25,000 | 25,625 | ||||||||||
T-Mobile USA, Inc. | ||||||||||||
2.250%, due 02/15/26 | 90,000 | 90,125 | ||||||||||
2.625%, due 04/15/26 | 45,000 | 45,306 | ||||||||||
4.750%, due 02/01/28 | 35,000 | 36,837 | ||||||||||
2.625%, due 02/15/29 | 90,000 | 88,565 | ||||||||||
3.375%, due 04/15/29 | 110,000 | 112,296 | ||||||||||
3.375%, due 04/15/29 (d) | 5,000 | 5,083 | ||||||||||
2.875%, due 02/15/31 | 100,000 | 98,375 | ||||||||||
3.500%, due 04/15/31 | 65,000 | 67,385 | ||||||||||
3.500%, due 04/15/31 (d) | 90,000 | 93,303 | ||||||||||
Townsquare Media, Inc. | ||||||||||||
6.875%, due 02/01/26 (d) | 30,000 | 31,875 | ||||||||||
Uber Technologies, Inc. | ||||||||||||
4.500%, due 08/15/29 (d) | 30,000 | 30,600 | ||||||||||
Uber Technologies, Inc. CVRT | ||||||||||||
0.000%, due 12/15/25 | 195,000 | 192,764 | ||||||||||
Univision Communications, Inc. | ||||||||||||
6.625%, due 06/01/27 (d) | 25,000 | 26,875 | ||||||||||
4.500%, due 05/01/29 (d) | 30,000 | 30,300 | ||||||||||
Urban One, Inc. | ||||||||||||
7.375%, due 02/01/28 (d) | 25,000 | 25,750 | ||||||||||
Verizon Communications, Inc. | ||||||||||||
1.256%, due 05/15/25 (3 Month U.S. LIBOR + 1.100%) (c) | 90,000 | 91,566 | ||||||||||
ViacomCBS, Inc. | ||||||||||||
6.250%, due 02/28/57 (3 Month U.S. LIBOR + 3.899%) (c) | 25,000 | 28,125 | ||||||||||
Viasat, Inc. | ||||||||||||
5.625%, due 09/15/25 (d) | 25,000 | 25,125 | ||||||||||
Viavi Solutions, Inc. | ||||||||||||
3.750%, due 10/01/29 (d) | 25,000 | 24,938 | ||||||||||
7,096,786 | ||||||||||||
Consumer, Cyclical - 3.3% | ||||||||||||
Academy Ltd. | ||||||||||||
6.000%, due 11/15/27 (d) | 25,000 | 26,656 | ||||||||||
Adams Homes, Inc. | ||||||||||||
7.500%, due 02/15/25 (d) | 25,000 | 26,062 | ||||||||||
Affinity Gaming | ||||||||||||
6.875%, due 12/15/27 (d) | 25,000 | 26,000 | ||||||||||
Allison Transmission, Inc. | ||||||||||||
5.875%, due 06/01/29 (d) | 25,000 | 27,187 | ||||||||||
American Airlines Group, Inc. | ||||||||||||
5.000%, due 06/01/22 (d) | 160,000 | 159,600 | ||||||||||
American Airlines Group, Inc. CVRT | ||||||||||||
6.500%, due 07/01/25 | 285,000 | 392,556 | ||||||||||
American Airlines, Inc. | ||||||||||||
5.500%, due 04/20/26 (d) | 220,000 | 228,800 | ||||||||||
5.750%, due 04/20/29 (d) | 310,000 | 331,700 | ||||||||||
American Axle & Manufacturing, Inc. | ||||||||||||
5.000%, due 10/01/29 (a) | 45,000 | 43,987 | ||||||||||
Arko Corp. | ||||||||||||
5.125%, due 11/15/29 (d) | 25,000 | 24,031 | ||||||||||
Asbury Automotive Group, Inc. | ||||||||||||
4.750%, due 03/01/30 | 25,000 | 25,500 | ||||||||||
At Home Group, Inc. | ||||||||||||
7.125%, due 07/15/29 (d) | 20,000 | 19,750 | ||||||||||
Bath & Body Works, Inc. | ||||||||||||
6.750%, due 07/01/36 | 25,000 | 30,875 | ||||||||||
Boyd Gaming Corp. | ||||||||||||
4.750%, due 06/15/31 (d) | 25,000 | 25,562 | ||||||||||
Boyne USA, Inc. | ||||||||||||
4.750%, due 05/15/29 (d) | 110,000 | 113,300 | ||||||||||
Burlington Stores, Inc. CVRT | ||||||||||||
2.250%, due 04/15/25 | 225,000 | 333,470 | ||||||||||
Caesars Entertainment, Inc. | ||||||||||||
6.250%, due 07/01/25 (d) | 25,000 | 26,156 | ||||||||||
4.625%, due 10/15/29 (d) | 55,000 | 55,206 | ||||||||||
CCM Merger, Inc. | ||||||||||||
6.375%, due 05/01/26 (d) | 25,000 | 26,187 | ||||||||||
Cedar Fair LP | ||||||||||||
5.250%, due 07/15/29 | 30,000 | 30,750 | ||||||||||
Century Communities, Inc. | ||||||||||||
3.875%, due 08/15/29 (d) | 25,000 | 25,250 | ||||||||||
Clarios Global LP | ||||||||||||
6.250%, due 05/15/26 (d) | 39,000 | 41,243 | ||||||||||
Dealer Tire LLC | ||||||||||||
8.000%, due 02/01/28 (d) | 5,000 | 5,187 | ||||||||||
Delta Air Lines 2020-1 Class A Pass Through Trust | ||||||||||||
2.500%, due 06/10/28 | 86,446 | 86,107 | ||||||||||
Delta Air Lines, Inc. | ||||||||||||
2.900%, due 10/28/24 | 200,000 | 203,500 | ||||||||||
4.500%, due 10/20/25 (d) | 150,000 | 157,157 | ||||||||||
7.375%, due 01/15/26 | 35,000 | 41,213 | ||||||||||
4.750%, due 10/20/28 (d) | 958,000 | 1,047,572 | ||||||||||
Dollar Tree, Inc. | ||||||||||||
4.000%, due 05/15/25 | 170,000 | 182,726 | ||||||||||
Ferrellgas LP | ||||||||||||
5.375%, due 04/01/26 (d) | 25,000 | 24,250 | ||||||||||
Foot Locker, Inc. | ||||||||||||
4.000%, due 10/01/29 (d) | 25,000 | 24,844 | ||||||||||
Ford Motor Co. | ||||||||||||
3.250%, due 02/12/32 | 175,000 | 178,811 | ||||||||||
Ford Motor Credit Co. LLC | ||||||||||||
3.350%, due 11/01/22 | 200,000 | 202,484 | ||||||||||
3.370%, due 11/17/23 | 200,000 | 205,491 | ||||||||||
2.748%, due 06/14/24 | GBP | 100,000 | 136,176 | |||||||||
4.125%, due 08/17/27 | $ | 300,000 | 323,681 | |||||||||
3.625%, due 06/17/31 | 245,000 | 255,050 | ||||||||||
Foundation Building Materials, Inc. | ||||||||||||
6.000%, due 03/01/29 (d) | 25,000 | 24,562 | ||||||||||
General Motors Financial Co., Inc. | ||||||||||||
2.400%, due 10/15/28 | 95,000 | 94,503 | ||||||||||
Golden Entertainment, Inc. | ||||||||||||
7.625%, due 04/15/26 (d) | 25,000 | 26,125 | ||||||||||
Golden Nugget, Inc. | ||||||||||||
6.750%, due 10/15/24 (d) | 65,000 | 64,919 | ||||||||||
Hilton Domestic Operating Co., Inc. | ||||||||||||
4.875%, due 01/15/30 | 65,000 | 69,469 | ||||||||||
3.625%, due 02/15/32 (d) | 100,000 | 99,125 | ||||||||||
Hyatt Hotels Corp. | ||||||||||||
5.750%, due 04/23/30 | 148,000 | 176,930 | ||||||||||
Installed Building Products, Inc. | ||||||||||||
5.750%, due 02/01/28 (d) | 25,000 | 25,937 | ||||||||||
Interface, Inc. | ||||||||||||
5.500%, due 12/01/28 (d) | 25,000 | 26,187 | ||||||||||
IRB Holding Corp. | ||||||||||||
7.000%, due 06/15/25 (d) | 25,000 | 26,406 | ||||||||||
LBM Acquisition LLC | ||||||||||||
6.250%, due 01/15/29 (d) | 25,000 | 24,875 | ||||||||||
LCM Investments Holdings II LLC | ||||||||||||
4.875%, due 05/01/29 (d) | 25,000 | 25,562 | ||||||||||
LGI Homes, Inc. | ||||||||||||
4.000%, due 07/15/29 (d) | 25,000 | 24,906 | ||||||||||
Lions Gate Capital Holdings LLC | ||||||||||||
5.500%, due 04/15/29 (d) | 255,000 | 258,187 | ||||||||||
Live Nation Entertainment, Inc. | ||||||||||||
6.500%, due 05/15/27 (d) | 40,000 | 43,700 | ||||||||||
M/I Homes, Inc. | ||||||||||||
3.950%, due 02/15/30 | 25,000 | 24,625 | ||||||||||
Marriott International, Inc. | ||||||||||||
3.125%, due 06/15/26 | 90,000 | 93,970 | ||||||||||
McDonald's Corp. | ||||||||||||
3.600%, due 07/01/30 | 85,000 | 93,940 | ||||||||||
Meritage Homes Corp. | ||||||||||||
5.125%, due 06/06/27 | 25,000 | 27,563 | ||||||||||
Meritor, Inc. | ||||||||||||
4.500%, due 12/15/28 (d) | 25,000 | 25,125 | ||||||||||
MGM Resorts International | ||||||||||||
5.500%, due 04/15/27 | 25,000 | 26,812 | ||||||||||
4.750%, due 10/15/28 | 20,000 | 20,700 | ||||||||||
Midwest Gaming Borrower LLC | ||||||||||||
4.875%, due 05/01/29 (d) | 55,000 | 55,550 | ||||||||||
Mileage Plus Holdings LLC | ||||||||||||
6.500%, due 06/20/27 (d) | 175,000 | 186,813 | ||||||||||
Murphy Oil USA, Inc. | ||||||||||||
5.625%, due 05/01/27 | 25,000 | 26,063 | ||||||||||
Newell Brands, Inc. | ||||||||||||
4.700%, due 04/01/26 | 35,000 | 38,106 | ||||||||||
Penn National Gaming, Inc. | �� | |||||||||||
4.125%, due 07/01/29 (d) | 25,000 | 24,250 | ||||||||||
Premier Entertainment Sub LLC | ||||||||||||
5.625%, due 09/01/29 (d) | 50,000 | 49,625 | ||||||||||
5.875%, due 09/01/31 (d) | 50,000 | 49,875 | ||||||||||
Real Hero Merger Sub 2, Inc. | ||||||||||||
6.250%, due 02/01/29 (d) | 25,000 | 24,969 | ||||||||||
Scientific Games International, Inc. | ||||||||||||
5.000%, due 10/15/25 (d) | 25,000 | 25,719 | ||||||||||
7.250%, due 11/15/29 (d) | 30,000 | 33,487 | ||||||||||
Shea Homes LP | ||||||||||||
4.750%, due 04/01/29 (d) | 25,000 | 25,563 | ||||||||||
Sizzling Platter LLC | ||||||||||||
8.500%, due 11/28/25 (d) | 25,000 | 25,406 | ||||||||||
Sonic Automotive, Inc. | ||||||||||||
4.625%, due 11/15/29 (d) | 85,000 | 85,425 | ||||||||||
Southwest Airlines Co. CVRT | ||||||||||||
1.250%, due 05/01/25 | 180,000 | 239,935 | ||||||||||
Specialty Building Products Holdings LLC | ||||||||||||
6.375%, due 09/30/26 (d) | 25,000 | 26,156 | ||||||||||
Speedway Motorsports LLC | ||||||||||||
4.875%, due 11/01/27 (d) | 25,000 | 25,375 | ||||||||||
SRS Distribution, Inc. | ||||||||||||
4.625%, due 07/01/28 (d) | 50,000 | 50,437 | ||||||||||
6.125%, due 07/01/29 (d) | 25,000 | 25,219 | ||||||||||
Staples, Inc. | ||||||||||||
7.500%, due 04/15/26 (d) | 25,000 | 25,563 | ||||||||||
10.750%, due 04/15/27 (d) | 25,000 | 23,500 | ||||||||||
Station Casinos LLC | ||||||||||||
4.500%, due 02/15/28 (d) | 25,000 | 25,125 | ||||||||||
STL Holding Co. LLC | ||||||||||||
7.500%, due 02/15/26 (d) | 25,000 | 26,375 | ||||||||||
Suburban Propane Partners LP | ||||||||||||
5.000%, due 06/01/31 (d) | 55,000 | 55,688 | ||||||||||
SWF Escrow Issuer Corp. | ||||||||||||
6.500%, due 10/01/29 (d) | 50,000 | 47,875 | ||||||||||
Tempur Sealy International, Inc. | ||||||||||||
3.875%, due 10/15/31 (d) | 25,000 | 24,938 | ||||||||||
The Gap, Inc. | ||||||||||||
3.875%, due 10/01/31 (d) | 25,000 | 24,656 | ||||||||||
The Goodyear Tire & Rubber Co. | ||||||||||||
5.250%, due 07/15/31 (d) | 50,000 | 54,000 | ||||||||||
The Michaels Cos., Inc. | ||||||||||||
5.250%, due 05/01/28 (d) | 5,000 | 5,000 | ||||||||||
The Scotts Miracle-Gro Co. | ||||||||||||
4.375%, due 02/01/32 (d) | 25,000 | 24,938 | ||||||||||
The William Carter Co. | ||||||||||||
5.625%, due 03/15/27 (d) | 25,000 | 25,781 | ||||||||||
Travel + Leisure Co. | ||||||||||||
6.625%, due 07/31/26 (d) | 132,000 | 145,530 | ||||||||||
4.500%, due 12/01/29 (d) | 82,000 | 82,000 | ||||||||||
Tri Pointe Homes, Inc. | ||||||||||||
5.700%, due 06/15/28 | 25,000 | 27,563 | ||||||||||
United Airlines Holdings, Inc. | ||||||||||||
4.875%, due 01/15/25 (a) | 25,000 | 25,844 | ||||||||||
United Airlines, Inc. | ||||||||||||
4.625%, due 04/15/29 (d) | 30,000 | 30,975 | ||||||||||
Univar Solutions USA, Inc. | ||||||||||||
5.125%, due 12/01/27 (d) | 25,000 | 26,063 | ||||||||||
Victoria's Secret & Co. | ||||||||||||
4.625%, due 07/15/29 (d) | 90,000 | 91,800 | ||||||||||
Wheel Pros, Inc. | ||||||||||||
6.500%, due 05/15/29 (d) | 25,000 | 24,000 | ||||||||||
Williams Scotsman International, Inc. | ||||||||||||
4.625%, due 08/15/28 (d) | 25,000 | 25,719 | ||||||||||
WMG Acquisition Corp. | ||||||||||||
3.000%, due 02/15/31 (d) | 440,000 | 421,850 | ||||||||||
Wolverine World Wide, Inc. | ||||||||||||
4.000%, due 08/15/29 (d) | 25,000 | 24,063 | ||||||||||
Wyndham Hotels & Resorts, Inc. | ||||||||||||
4.375%, due 08/15/28 (d) | 145,000 | 149,350 | ||||||||||
Yum! Brands, Inc. | ||||||||||||
4.750%, due 01/15/30 (d) | 402,000 | 433,658 | ||||||||||
3.625%, due 03/15/31 | 365,000 | 363,175 | ||||||||||
4.625%, due 01/31/32 | 175,000 | 185,281 | ||||||||||
9,876,488 | ||||||||||||
Consumer, Non-cyclical - 3.7% | ||||||||||||
AbbVie, Inc. | ||||||||||||
4.700%, due 05/14/45 | 145,000 | 179,475 | ||||||||||
Acadia Healthcare Co., Inc. | ||||||||||||
5.500%, due 07/01/28 (d) | 25,000 | 26,156 | ||||||||||
ACCO Brands Corp. | ||||||||||||
4.250%, due 03/15/29 (d) | 25,000 | 24,812 | ||||||||||
Albertsons Cos., Inc. | ||||||||||||
3.500%, due 03/15/29 (d) | 25,000 | 25,031 | ||||||||||
Allied Universal Holdco LLC | ||||||||||||
6.625%, due 07/15/26 (d) | 40,000 | 41,950 | ||||||||||
9.750%, due 07/15/27 (d) | 70,000 | 74,725 | ||||||||||
Alta Equipment Group, Inc. | ||||||||||||
5.625%, due 04/15/26 (d) | 25,000 | 25,594 | ||||||||||
Altria Group, Inc. | ||||||||||||
4.450%, due 05/06/50 | 85,000 | 88,182 | ||||||||||
AMN Healthcare, Inc. | ||||||||||||
4.625%, due 10/01/27 (d) | 25,000 | 25,730 | ||||||||||
Anheuser-Busch Cos. LLC | ||||||||||||
4.900%, due 02/01/46 | 70,000 | 88,389 | ||||||||||
Anthem, Inc. | ||||||||||||
2.375%, due 01/15/25 | 90,000 | 92,672 | ||||||||||
APi Escrow Corp. | ||||||||||||
4.750%, due 10/15/29 (d) | 25,000 | 25,375 | ||||||||||
Block, Inc. | ||||||||||||
3.500%, due 06/01/31 (d) | 85,000 | 87,550 | ||||||||||
Catalent Pharma Solutions, Inc. | ||||||||||||
5.000%, due 07/15/27 (d) | 25,000 | 25,844 | ||||||||||
Centene Corp. | ||||||||||||
4.625%, due 12/15/29 | 65,000 | 69,875 | ||||||||||
3.375%, due 02/15/30 | 435,000 | 444,788 | ||||||||||
3.000%, due 10/15/30 | 500,000 | 508,125 | ||||||||||
2.500%, due 03/01/31 | 320,000 | 310,855 | ||||||||||
2.625%, due 08/01/31 | 15,000 | 14,700 | ||||||||||
Chobani LLC | ||||||||||||
4.625%, due 11/15/28 (d) | 10,000 | 10,225 | ||||||||||
Cigna Corp. | ||||||||||||
4.900%, due 12/15/48 | 140,000 | 180,802 | ||||||||||
Community Health Systems, Inc. | ||||||||||||
6.000%, due 01/15/29 (d) | 45,000 | 48,094 | ||||||||||
6.875%, due 04/15/29 (d) | 45,000 | 45,900 | ||||||||||
Constellation Brands, Inc. | ||||||||||||
3.150%, due 08/01/29 | 155,000 | 162,824 | ||||||||||
CoreLogic, Inc. | ||||||||||||
4.500%, due 05/01/28 (d) | 25,000 | 24,750 | ||||||||||
CoStar Group, Inc. | ||||||||||||
2.800%, due 07/15/30 (d) | 115,000 | 115,238 | ||||||||||
Coty, Inc. | ||||||||||||
5.000%, due 04/15/26 (d) | 30,000 | 30,600 | ||||||||||
CPI CG, Inc. | ||||||||||||
8.625%, due 03/15/26 (d) | 15,000 | 15,844 | ||||||||||
CVS Health Corp. | ||||||||||||
5.050%, due 03/25/48 | 110,000 | 143,243 | ||||||||||
DaVita, Inc. | ||||||||||||
4.625%, due 06/01/30 (d) | 25,000 | 25,594 | ||||||||||
Encompass Health Corp. | ||||||||||||
4.625%, due 04/01/31 | 5,000 | 5,087 | ||||||||||
Flowers Foods, Inc. | ||||||||||||
2.400%, due 03/15/31 | 90,000 | 88,319 | ||||||||||
Gartner, Inc. | ||||||||||||
3.750%, due 10/01/30 (d) | 125,000 | 126,875 | ||||||||||
Graham Holdings Co. | ||||||||||||
5.750%, due 06/01/26 (d) | 25,000 | 25,969 | ||||||||||
HCA, Inc. | ||||||||||||
5.375%, due 02/01/25 | 370,000 | 405,150 | ||||||||||
4.125%, due 06/15/29 | 445,000 | 491,169 | ||||||||||
3.500%, due 09/01/30 | 746,000 | 785,165 | ||||||||||
KeHE Distributors LLC | ||||||||||||
8.625%, due 10/15/26 (d) | 21,000 | 22,496 | ||||||||||
Kraft Heinz Foods Co. | ||||||||||||
3.000%, due 06/01/26 | 125,000 | 130,773 | ||||||||||
3.875%, due 05/15/27 | 75,000 | 80,761 | ||||||||||
4.250%, due 03/01/31 | 390,000 | 443,780 | ||||||||||
5.000%, due 07/15/35 | 30,000 | 36,644 | ||||||||||
6.875%, due 01/26/39 | 335,000 | 490,769 | ||||||||||
7.125%, due 08/01/39 (d) | 35,000 | 53,086 | ||||||||||
4.625%, due 10/01/39 | 220,000 | 256,692 | ||||||||||
5.200%, due 07/15/45 | 45,000 | 57,110 | ||||||||||
4.375%, due 06/01/46 | 55,000 | 64,252 | ||||||||||
Kronos Acquisition Holdings, Inc. | ||||||||||||
5.000%, due 12/31/26 (d) | 80,000 | 78,800 | ||||||||||
7.000%, due 12/31/27 (d) | 45,000 | 42,750 | ||||||||||
Lamb Weston Holdings, Inc. | ||||||||||||
4.125%, due 01/31/30 (d) | 25,000 | 25,500 | ||||||||||
Legacy LifePoint Health LLC | ||||||||||||
4.375%, due 02/15/27 (d) | 55,000 | 55,550 | ||||||||||
Metis Merger Sub LLC | ||||||||||||
6.500%, due 05/15/29 (d) | 60,000 | 58,200 | ||||||||||
ModivCare Escrow Issuer, Inc. | ||||||||||||
5.000%, due 10/01/29 (d) | 15,000 | 15,300 | ||||||||||
Mozart Debt Merger Sub, Inc. | ||||||||||||
3.875%, due 04/01/29 (d) | 275,000 | 273,969 | ||||||||||
5.250%, due 10/01/29 (d) | 320,000 | 324,000 | ||||||||||
MPH Acquisition Holdings LLC | ||||||||||||
5.750%, due 11/01/28 (a)(d) | 25,000 | 23,500 | ||||||||||
NESCO Holdings II, Inc. | ||||||||||||
5.500%, due 04/15/29 (d) | 25,000 | 25,812 | ||||||||||
Nielsen Finance LLC | ||||||||||||
4.750%, due 07/15/31 (d) | 25,000 | 24,719 | ||||||||||
Option Care Health, Inc. | ||||||||||||
4.375%, due 10/31/29 (d) | 50,000 | 50,000 | ||||||||||
Ortho-Clinical Diagnostics, Inc. | ||||||||||||
7.250%, due 02/01/28 (d) | 35,000 | 37,625 | ||||||||||
PECF USS Intermediate Holding III Corp. | ||||||||||||
8.000%, due 11/15/29 (d) | 5,000 | 5,162 | ||||||||||
Performance Food Group, Inc. | ||||||||||||
5.500%, due 10/15/27 (d) | 45,000 | 46,969 | ||||||||||
4.250%, due 08/01/29 (d) | 30,000 | 29,625 | ||||||||||
Pilgrim's Pride Corp. | ||||||||||||
3.500%, due 03/01/32 (d) | 25,000 | 25,250 | ||||||||||
Post Holdings, Inc. | ||||||||||||
5.750%, due 03/01/27 (d) | 330,000 | 340,725 | ||||||||||
5.625%, due 01/15/28 (d) | 325,000 | 344,094 | ||||||||||
5.500%, due 12/15/29 (d) | 205,000 | 215,250 | ||||||||||
4.625%, due 04/15/30 (d) | 65,000 | 65,812 | ||||||||||
4.500%, due 09/15/31 (d) | 290,000 | 287,825 | ||||||||||
Prime Security Services Borrower LLC | ||||||||||||
3.375%, due 08/31/27 (d) | 20,000 | 19,200 | ||||||||||
Primo Water Holdings, Inc. | ||||||||||||
4.375%, due 04/30/29 (d) | 55,000 | 54,519 | ||||||||||
Quanta Services, Inc. | ||||||||||||
2.350%, due 01/15/32 | 195,000 | 189,362 | ||||||||||
Radiology Partners, Inc. | ||||||||||||
9.250%, due 02/01/28 (d) | 35,000 | 36,269 | ||||||||||
Select Medical Corp. | ||||||||||||
6.250%, due 08/15/26 (d) | 80,000 | 84,400 | ||||||||||
Simmons Foods, Inc. | ||||||||||||
4.625%, due 03/01/29 (d) | 25,000 | 24,562 | ||||||||||
Smithfield Foods, Inc. | ||||||||||||
4.250%, due 02/01/27 (d) | 155,000 | 166,019 | ||||||||||
Spectrum Brands, Inc. | ||||||||||||
5.750%, due 07/15/25 | 25,000 | 25,531 | ||||||||||
Sysco Corp. | ||||||||||||
5.950%, due 04/01/30 | 75,000 | 93,618 | ||||||||||
Tenet Healthcare Corp. | ||||||||||||
6.125%, due 10/01/28 (d) | 80,000 | 84,200 | ||||||||||
The ADT Security Corp. | ||||||||||||
4.125%, due 08/01/29 (d) | 25,000 | 24,687 | ||||||||||
Thermo Fisher Scientific, Inc. | ||||||||||||
0.750%, due 09/12/24 | EUR | 100,000 | 116,025 | |||||||||
1.215%, due 10/18/24 | $ | 180,000 | 179,437 | |||||||||
1.400%, due 01/23/26 | EUR | 115,000 | 136,886 | |||||||||
0.500%, due 03/01/28 | EUR | 100,000 | 114,068 | |||||||||
Triton Water Holdings, Inc. | ||||||||||||
6.250%, due 04/01/29 (d) | $ | 90,000 | 86,850 | |||||||||
United Natural Foods, Inc. | ||||||||||||
6.750%, due 10/15/28 (d) | 50,000 | 53,500 | ||||||||||
United Rentals North America, Inc. | ||||||||||||
4.875%, due 01/15/28 | 185,000 | 194,250 | ||||||||||
4.000%, due 07/15/30 | 110,000 | 113,025 | ||||||||||
3.875%, due 02/15/31 | 230,000 | 233,450 | ||||||||||
3.750%, due 01/15/32 | 25,000 | 25,125 | ||||||||||
US Foods, Inc. | ||||||||||||
4.625%, due 06/01/30 (d) | 60,000 | 60,600 | ||||||||||
Vizient, Inc. | ||||||||||||
6.250%, due 05/15/27 (d) | 25,000 | 26,094 | ||||||||||
WASH Multifamily Acquisition, Inc. | ||||||||||||
5.750%, due 04/15/26 (d) | 45,000 | 47,250 | ||||||||||
11,132,403 | ||||||||||||
Energy - 1.9% | ||||||||||||
Aethon United BR LP | ||||||||||||
8.250%, due 02/15/26 (d) | 25,000 | 26,750 | ||||||||||
Antero Midstream Partners LP | ||||||||||||
5.750%, due 03/01/27 (d) | 45,000 | 46,462 | ||||||||||
Apache Corp. | ||||||||||||
4.375%, due 10/15/28 | 25,000 | 27,125 | ||||||||||
Archrock Partners LP | ||||||||||||
6.250%, due 04/01/28 (d) | 25,000 | 26,062 | ||||||||||
Blue Racer Midstream LLC | ||||||||||||
6.625%, due 07/15/26 (d) | 15,000 | 15,525 | ||||||||||
BP Capital Markets America, Inc. | ||||||||||||
2.939%, due 06/04/51 | 100,000 | 96,671 | ||||||||||
Callon Petroleum Co. | ||||||||||||
6.125%, due 10/01/24 | 20,000 | 19,800 | ||||||||||
Cheniere Energy Partners LP | ||||||||||||
4.500%, due 10/01/29 | 75,000 | 80,062 | ||||||||||
4.000%, due 03/01/31 | 245,000 | 258,475 | ||||||||||
Chesapeake Energy Corp. | ||||||||||||
5.875%, due 02/01/29 (d) | 50,000 | 53,375 | ||||||||||
CNX Resources Corp. | �� | |||||||||||
7.250%, due 03/14/27 (d) | 25,000 | 26,437 | ||||||||||
6.000%, due 01/15/29 (d) | 35,000 | 36,400 | ||||||||||
Continental Resources, Inc. | ||||||||||||
5.750%, due 01/15/31 (d) | 307,000 | 361,109 | ||||||||||
2.875%, due 04/01/32 (d) | 246,000 | 238,045 | ||||||||||
Crestwood Midstream Partners LP | ||||||||||||
5.750%, due 04/01/25 | 25,000 | 25,562 | ||||||||||
DCP Midstream Operating LP | ||||||||||||
5.625%, due 07/15/27 | 25,000 | 28,375 | ||||||||||
Delek Logistics Partners LP | ||||||||||||
6.750%, due 05/15/25 | 25,000 | 25,656 | ||||||||||
Devon Energy Corp. | ||||||||||||
5.250%, due 10/15/27 | 17,000 | 17,941 | ||||||||||
DT Midstream, Inc. | ||||||||||||
4.125%, due 06/15/29 (d) | 25,000 | 25,688 | ||||||||||
Encino Acquisition Partners Holdings LLC | ||||||||||||
8.500%, due 05/01/28 (d) | 25,000 | 25,938 | ||||||||||
Energy Transfer LP | ||||||||||||
4.750%, due 01/15/26 | 85,000 | 92,862 | ||||||||||
7.125%, Perpetual (5 Year CMT Rate + 5.306%) (c) | 175,000 | 180,469 | ||||||||||
Enviva Partners LP | ||||||||||||
6.500%, due 01/15/26 (d) | 25,000 | 25,813 | ||||||||||
EQM Midstream Partners LP | ||||||||||||
6.000%, due 07/01/25 (d) | 10,000 | 10,850 | ||||||||||
4.750%, due 01/15/31 (d) | 190,000 | 199,500 | ||||||||||
EQT Corp. | ||||||||||||
3.125%, due 05/15/26 (d) | 40,000 | 40,950 | ||||||||||
3.900%, due 10/01/27 | 67,000 | 71,355 | ||||||||||
7.500%, due 02/01/30 | 25,000 | 32,000 | ||||||||||
3.625%, due 05/15/31 (a)(d) | 550,000 | 571,313 | ||||||||||
Hess Midstream Operations LP | ||||||||||||
5.125%, due 06/15/28 (d) | 45,000 | 47,025 | ||||||||||
4.250%, due 02/15/30 (d) | 85,000 | 84,788 | ||||||||||
Hilcorp Energy I LP | ||||||||||||
6.250%, due 11/01/28 (d) | 35,000 | 37,100 | ||||||||||
5.750%, due 02/01/29 (d) | 50,000 | 51,375 | ||||||||||
Howard Midstream Energy Partners LLC | ||||||||||||
6.750%, due 01/15/27 (d) | 25,000 | 25,438 | ||||||||||
Independence Energy Finance LLC | ||||||||||||
7.250%, due 05/01/26 (d) | 25,000 | 26,000 | ||||||||||
Kinder Morgan Energy Partners LP | ||||||||||||
6.950%, due 01/15/38 | 65,000 | 88,657 | ||||||||||
Kinder Morgan, Inc. | ||||||||||||
2.000%, due 02/15/31 | 75,000 | 71,289 | ||||||||||
Murphy Oil Corp. | ||||||||||||
6.375%, due 07/15/28 | 25,000 | 26,531 | ||||||||||
NGL Energy Operating LLC | ||||||||||||
7.500%, due 02/01/26 (d) | 65,000 | 66,950 | ||||||||||
NuStar Logistics LP | ||||||||||||
6.375%, due 10/01/30 | 35,000 | 38,938 | ||||||||||
Oasis Petroleum, Inc. | ||||||||||||
6.375%, due 06/01/26 (d) | 25,000 | 26,250 | ||||||||||
Occidental Petroleum Corp. | ||||||||||||
3.400%, due 04/15/26 | 47,000 | 48,234 | ||||||||||
3.200%, due 08/15/26 | 31,000 | 31,930 | ||||||||||
6.625%, due 09/01/30 | 370,000 | 457,875 | ||||||||||
6.125%, due 01/01/31 | 195,000 | 236,681 | ||||||||||
7.500%, due 05/01/31 | 70,000 | 92,050 | ||||||||||
6.450%, due 09/15/36 | 25,000 | 31,875 | ||||||||||
Ovintiv, Inc. | ||||||||||||
7.375%, due 11/01/31 | 25,000 | 32,750 | ||||||||||
6.500%, due 08/15/34 | 145,000 | 186,506 | ||||||||||
6.500%, due 02/01/38 | 115,000 | 148,350 | ||||||||||
Patterson-UTI Energy, Inc. | ||||||||||||
3.950%, due 02/01/28 | 95,000 | 94,763 | ||||||||||
Peabody Energy Corp. | ||||||||||||
8.500%, due 12/31/24 (d) | 13,136 | 12,732 | ||||||||||
Phillips 66 | ||||||||||||
3.300%, due 03/15/52 | 90,000 | 89,999 | ||||||||||
Pioneer Natural Resources Co. | ||||||||||||
1.900%, due 08/15/30 | 100,000 | 94,861 | ||||||||||
Rockcliff Energy II LLC | ||||||||||||
5.500%, due 10/15/29 (d) | 25,000 | 25,750 | ||||||||||
Sabine Pass Liquefaction LLC | ||||||||||||
5.000%, due 03/15/27 | 80,000 | 89,960 | ||||||||||
Southwestern Energy Co. | ||||||||||||
6.450%, due 01/23/25 | 3,000 | 3,289 | ||||||||||
5.375%, due 02/01/29 | 60,000 | 63,600 | ||||||||||
4.750%, due 02/01/32 | 30,000 | 31,575 | ||||||||||
SunCoke Energy, Inc. | ||||||||||||
4.875%, due 06/30/29 (d) | 65,000 | 64,675 | ||||||||||
Sunoco LP | ||||||||||||
6.000%, due 04/15/27 | 35,000 | 36,400 | ||||||||||
4.500%, due 05/15/29 | 40,000 | 40,400 | ||||||||||
Tallgrass Energy Partners LP | ||||||||||||
5.500%, due 01/15/28 (d) | 25,000 | 25,000 | ||||||||||
Targa Resources Partners LP | ||||||||||||
5.500%, due 03/01/30 | 45,000 | 49,162 | ||||||||||
4.875%, due 02/01/31 | 25,000 | 27,094 | ||||||||||
The Williams Cos., Inc. | ||||||||||||
3.500%, due 11/15/30 | 30,000 | 31,883 | ||||||||||
3.500%, due 10/15/51 | 50,000 | 50,738 | ||||||||||
Transcontinental Gas Pipe Line Co. LLC | ||||||||||||
3.250%, due 05/15/30 | 30,000 | 31,466 | ||||||||||
USA Compression Partners LP | ||||||||||||
6.875%, due 09/01/27 | 75,000 | 78,750 | ||||||||||
Venture Global Calcasieu Pass LLC | ||||||||||||
4.125%, due 08/15/31 (d) | 50,000 | 52,875 | ||||||||||
Vine Energy Holdings LLC | ||||||||||||
6.750%, due 04/15/29 (d) | 25,000 | 27,125 | ||||||||||
Viper Energy Partners LP | ||||||||||||
5.375%, due 11/01/27 (d) | 25,000 | 25,875 | ||||||||||
Western Midstream Operating LP | ||||||||||||
5.300%, due 02/01/30 | 210,000 | 231,000 | ||||||||||
5.450%, due 04/01/44 | 25,000 | 29,750 | ||||||||||
5,851,884 | ||||||||||||
Financial - 2.3% | ||||||||||||
Acrisure LLC | ||||||||||||
4.250%, due 02/15/29 (d) | 25,000 | 24,250 | ||||||||||
Air Lease Corp. | ||||||||||||
1.875%, due 08/15/26 | 95,000 | 93,338 | ||||||||||
Alexandria Real Estate Equities, Inc. | ||||||||||||
3.000%, due 05/18/51 | 90,000 | 88,611 | ||||||||||
Alliant Holdings Intermediate LLC | ||||||||||||
6.750%, due 10/15/27 (d) | 30,000 | 30,975 | ||||||||||
Ally Financial, Inc. | ||||||||||||
5.750%, due 11/20/25 | 25,000 | 28,185 | ||||||||||
American Express Co. | ||||||||||||
3.400%, due 02/22/24 | 140,000 | 146,604 | ||||||||||
American Tower Corp. | ||||||||||||
1.950%, due 05/22/26 | EUR | 100,000 | 120,583 | |||||||||
0.500%, due 01/15/28 | EUR | 100,000 | 111,769 | |||||||||
3.950%, due 03/15/29 | $ | 85,000 | 92,880 | |||||||||
AmWINS Group, Inc. | ||||||||||||
4.875%, due 06/30/29 (d) | 75,000 | 75,937 | ||||||||||
Ares Capital Corp. | ||||||||||||
2.150%, due 07/15/26 | 95,000 | 93,693 | ||||||||||
Aretec Escrow Issuer, Inc. | ||||||||||||
7.500%, due 04/01/29 (d) | 25,000 | 25,687 | ||||||||||
Athene Global Funding | ||||||||||||
0.610%, due 08/19/24 (SOFR Rate + 0.560%) (c)(d) | 185,000 | 184,800 | ||||||||||
Bank of America Corp. | ||||||||||||
2.482%, due 09/21/36 (5 Year CMT Rate + 1.200%) (c) | 95,000 | 91,805 | ||||||||||
Berkshire Hathaway Finance Corp. | ||||||||||||
2.375%, due 06/19/39 | GBP | 120,000 | 169,361 | |||||||||
Berkshire Hathaway, Inc. | ||||||||||||
0.000%, due 03/12/25 | EUR | 200,000 | 227,347 | |||||||||
BroadStreet Partners, Inc. | ||||||||||||
5.875%, due 04/15/29 (d) | $ | 25,000 | 24,429 | |||||||||
Chubb INA Holdings, Inc. | ||||||||||||
0.300%, due 12/15/24 | EUR | 160,000 | 183,191 | |||||||||
Citigroup, Inc. | ||||||||||||
0.000%, due 03/21/23 (3 Month EURIBOR + 0.500%) (c) | EUR | 270,000 | 308,935 | |||||||||
Crown Castle International Corp. | ||||||||||||
3.650%, due 09/01/27 | $ | 125,000 | 134,325 | |||||||||
2.250%, due 01/15/31 | 40,000 | 38,829 | ||||||||||
Cushman & Wakefield US Borrower LLC | ||||||||||||
6.750%, due 05/15/28 (d) | 25,000 | 26,812 | ||||||||||
Discover Financial Services | ||||||||||||
4.100%, due 02/09/27 | 105,000 | 113,884 | ||||||||||
Freedom Mortgage Corp. | ||||||||||||
8.250%, due 04/15/25 (d) | 15,000 | 15,300 | ||||||||||
6.625%, due 01/15/27 (d) | 10,000 | 9,762 | ||||||||||
GTCR AP Finance, Inc. | ||||||||||||
8.000%, due 05/15/27 (d) | 35,000 | 36,137 | ||||||||||
Host Hotels & Resorts LP | ||||||||||||
3.375%, due 12/15/29 | 65,000 | 66,426 | ||||||||||
3.500%, due 09/15/30 | 65,000 | 66,572 | ||||||||||
Icahn Enterprises LP | ||||||||||||
5.250%, due 05/15/27 | 30,000 | 30,750 | ||||||||||
Invitation Homes Operating Partnership LP | ||||||||||||
2.700%, due 01/15/34 | 90,000 | 88,424 | ||||||||||
Iron Mountain, Inc. | ||||||||||||
5.250%, due 07/15/30 (d) | 25,000 | 26,313 | ||||||||||
4.500%, due 02/15/31 (d) | 25,000 | 25,031 | ||||||||||
Ladder Capital Finance Holdings LLLP | ||||||||||||
4.750%, due 06/15/29 (d) | 25,000 | 25,562 | ||||||||||
LPL Holdings, Inc. | ||||||||||||
4.625%, due 11/15/27 (d) | 25,000 | 25,844 | ||||||||||
MGM Growth Properties Operating Partnership LP | ||||||||||||
3.875%, due 02/15/29 (d) | 25,000 | 26,312 | ||||||||||
Midcap Financial Issuer Trust | ||||||||||||
6.500%, due 05/01/28 (d) | 15,000 | 15,675 | ||||||||||
Morgan Stanley | ||||||||||||
2.484%, due 09/16/36 (SOFR Rate + 1.360%) (c) | 170,000 | 162,926 | ||||||||||
MPT Operating Partnership LP | ||||||||||||
3.500%, due 03/15/31 | 25,000 | 25,281 | ||||||||||
Nationstar Mortgage Holdings, Inc. | ||||||||||||
5.125%, due 12/15/30 (d) | 25,000 | 24,687 | ||||||||||
5.750%, due 11/15/31 (d) | 80,000 | 79,800 | ||||||||||
Navient Corp. | ||||||||||||
5.000%, due 03/15/27 | 20,000 | 20,400 | ||||||||||
4.875%, due 03/15/28 | 25,000 | 24,937 | ||||||||||
NFP Corp. | ||||||||||||
6.875%, due 08/15/28 (d) | 30,000 | 30,000 | ||||||||||
OneMain Finance Corp. | ||||||||||||
6.625%, due 01/15/28 | 65,000 | 72,963 | ||||||||||
Park Intermediate Holdings LLC | ||||||||||||
4.875%, due 05/15/29 (d) | 35,000 | 35,700 | ||||||||||
PennyMac Financial Services, Inc. | ||||||||||||
4.250%, due 02/15/29 (d) | 65,000 | 62,400 | ||||||||||
PRA Group, Inc. | ||||||||||||
5.000%, due 10/01/29 (d) | 25,000 | 25,188 | ||||||||||
Prudential Financial, Inc. | ||||||||||||
3.905%, due 12/07/47 | 75,000 | 86,982 | ||||||||||
Realogy Group LLC | ||||||||||||
5.750%, due 01/15/29 (d) | 55,000 | 56,375 | ||||||||||
Santander Holdings USA, Inc. | ||||||||||||
3.400%, due 01/18/23 | 165,000 | 168,534 | ||||||||||
SBA Communications Corp. | ||||||||||||
3.875%, due 02/15/27 | 455,000 | 468,650 | ||||||||||
3.125%, due 02/01/29 (d) | 195,000 | 187,200 | ||||||||||
Synchrony Financial | ||||||||||||
2.875%, due 10/28/31 | 180,000 | 178,985 | ||||||||||
The Goldman Sachs Group, Inc. | ||||||||||||
1.375%, due 05/15/24 | EUR | 150,000 | 174,231 | |||||||||
3.375%, due 03/27/25 | EUR | 38,000 | 47,656 | |||||||||
0.870%, due 09/10/27 (SOFR Rate + 0.820%) (c) | $ | 180,000 | 179,343 | |||||||||
2.000%, due 11/01/28 | EUR | 37,000 | 45,717 | |||||||||
The Western Union Co. | ||||||||||||
2.750%, due 03/15/31 | $ | 190,000 | 187,578 | |||||||||
United Wholesale Mortgage LLC | ||||||||||||
5.750%, due 06/15/27 (d) | 25,000 | 24,938 | ||||||||||
Uniti Group LP | ||||||||||||
6.000%, due 01/15/30 (d) | 25,000 | 24,063 | ||||||||||
US Bancorp | ||||||||||||
0.850%, due 06/07/24 | EUR | 445,000 | 517,033 | |||||||||
3.700%, Perpetual (5 Year CMT Rate + 2.541%) (c) | $ | 390,000 | 390,000 | |||||||||
USB Capital IX | ||||||||||||
3.500%, Perpetual (3 Month U.S. LIBOR + 1.020%) (c) | 19,000 | 18,335 | ||||||||||
VICI Properties LP | ||||||||||||
4.625%, due 12/01/29 (d) | 70,000 | 74,287 | ||||||||||
4.125%, due 08/15/30 (d) | 165,000 | 174,488 | ||||||||||
Wells Fargo & Co. | ||||||||||||
3.250%, due 04/27/22 | AUD | 200,000 | 146,827 | |||||||||
3.750%, due 01/24/24 | $ | 225,000 | 236,245 | |||||||||
Welltower, Inc. | ||||||||||||
2.050%, due 01/15/29 | 95,000 | 93,568 | ||||||||||
Willis North America, Inc. | ||||||||||||
4.500%, due 09/15/28 | 80,000 | 89,761 | ||||||||||
XHR LP | ||||||||||||
4.875%, due 06/01/29 (d) | 25,000 | 25,438 | ||||||||||
7,054,854 | ||||||||||||
Industrial - 1.5% | ||||||||||||
AECOM | ||||||||||||
5.125%, due 03/15/27 | 230,000 | 249,550 | ||||||||||
Ardagh Metal Packaging Finance USA LLC | ||||||||||||
3.250%, due 09/01/28 (d) | 200,000 | 197,000 | ||||||||||
4.000%, due 09/01/29 (d) | 200,000 | 198,000 | ||||||||||
Ball Corp. | ||||||||||||
5.250%, due 07/01/25 | 260,000 | 286,325 | ||||||||||
4.875%, due 03/15/26 | 240,000 | 263,100 | ||||||||||
2.875%, due 08/15/30 | 105,000 | 101,981 | ||||||||||
Berry Global, Inc. | ||||||||||||
5.625%, due 07/15/27 (d) | 180,000 | 187,875 | ||||||||||
Brundage-Bone Concrete Pumping Holdings, Inc. | ||||||||||||
6.000%, due 02/01/26 (d) | 25,000 | 26,000 | ||||||||||
Builders FirstSource, Inc. | ||||||||||||
5.000%, due 03/01/30 (d) | 25,000 | 26,750 | ||||||||||
Cargo Aircraft Management, Inc. | ||||||||||||
4.750%, due 02/01/28 (d) | 25,000 | 25,469 | ||||||||||
Cascades, Inc. | ||||||||||||
5.375%, due 01/15/28 (d) | 25,000 | 25,656 | ||||||||||
Clark Equipment Co. | ||||||||||||
5.875%, due 06/01/25 (d) | 20,000 | �� | 20,750 | |||||||||
Clean Harbors, Inc. | ||||||||||||
5.125%, due 07/15/29 (d) | 25,000 | 26,500 | ||||||||||
Crown Americas LLC | ||||||||||||
4.250%, due 09/30/26 | 25,000 | 26,687 | ||||||||||
Crown Cork & Seal Co., Inc. | ||||||||||||
7.375%, due 12/15/26 | 253,000 | 305,181 | ||||||||||
CSX Corp. | ||||||||||||
3.800%, due 11/01/46 | 85,000 | 96,070 | ||||||||||
Energizer Holdings, Inc. | ||||||||||||
4.750%, due 06/15/28 (d) | 50,000 | 50,875 | ||||||||||
First Student Bidco, Inc. | ||||||||||||
4.000%, due 07/31/29 (d) | 35,000 | 34,125 | ||||||||||
Fortress Transportation and Infrastructure Investors LLC | ||||||||||||
5.500%, due 05/01/28 (d) | 25,000 | 25,375 | ||||||||||
Global Infrastructure Solutions, Inc. | ||||||||||||
5.625%, due 06/01/29 (d) | 25,000 | 25,625 | ||||||||||
GrafTech Finance, Inc. | ||||||||||||
4.625%, due 12/15/28 (d) | 25,000 | 25,344 | ||||||||||
Graham Packaging Co., Inc. | ||||||||||||
7.125%, due 08/15/28 (d) | 25,000 | 25,625 | ||||||||||
Granite US Holdings Corp. | ||||||||||||
11.000%, due 10/01/27 (d) | 25,000 | 27,187 | ||||||||||
Griffon Corp. | ||||||||||||
5.750%, due 03/01/28 | 30,000 | 31,125 | ||||||||||
II-VI, Inc. | ||||||||||||
5.000%, due 12/15/29 (d) | 25,000 | 25,625 | ||||||||||
Imola Merger Corp. | ||||||||||||
4.750%, due 05/15/29 (d) | 25,000 | 25,594 | ||||||||||
Koppers, Inc. | ||||||||||||
6.000%, due 02/15/25 (d) | 25,000 | 25,313 | ||||||||||
Madison IAQ LLC | ||||||||||||
4.125%, due 06/30/28 (d) | 40,000 | 40,050 | ||||||||||
5.875%, due 06/30/29 (d) | 30,000 | 29,963 | ||||||||||
Maxar Space Robotics LLC | ||||||||||||
9.750%, due 12/31/23 (d) | 15,000 | 16,106 | ||||||||||
New Enterprise Stone & Lime Co., Inc. | ||||||||||||
9.750%, due 07/15/28 (d) | 25,000 | 26,750 | ||||||||||
Owens Corning | ||||||||||||
4.400%, due 01/30/48 | 75,000 | 87,325 | ||||||||||
Packaging Corp. of America | ||||||||||||
3.000%, due 12/15/29 | 90,000 | 93,681 | ||||||||||
Penske Truck Leasing Co. LP | ||||||||||||
4.200%, due 04/01/27 (d) | 80,000 | 88,125 | ||||||||||
PGT Innovations, Inc. | ||||||||||||
4.375%, due 10/01/29 (d) | 25,000 | 25,125 | ||||||||||
Raytheon Technologies Corp. | ||||||||||||
3.030%, due 03/15/52 | 90,000 | 90,087 | ||||||||||
Roller Bearing Co. of America, Inc. | ||||||||||||
4.375%, due 10/15/29 (d) | 25,000 | 25,500 | ||||||||||
Sensata Technologies, Inc. | ||||||||||||
3.750%, due 02/15/31 (d) | 20,000 | 19,875 | ||||||||||
Silgan Holdings, Inc. | ||||||||||||
4.125%, due 02/01/28 | 70,000 | 71,575 | ||||||||||
Standard Industries, Inc. | ||||||||||||
3.375%, due 01/15/31 (d) | 80,000 | 77,000 | ||||||||||
Stevens Holding Co., Inc. | ||||||||||||
6.125%, due 10/01/26 (d) | 25,000 | 26,688 | ||||||||||
The Boeing Co. | ||||||||||||
5.040%, due 05/01/27 | 265,000 | 298,311 | ||||||||||
2.950%, due 02/01/30 | 90,000 | 91,306 | ||||||||||
5.150%, due 05/01/30 | 615,000 | 717,417 | ||||||||||
TransDigm, Inc. | ||||||||||||
6.250%, due 03/15/26 (d) | 50,000 | 51,875 | ||||||||||
5.500%, due 11/15/27 | 60,000 | 61,650 | ||||||||||
Vertiv Group Corp. | ||||||||||||
4.125%, due 11/15/28 (d) | 30,000 | 30,113 | ||||||||||
Weekley Homes LLC | ||||||||||||
4.875%, due 09/15/28 (d) | 25,000 | 25,781 | ||||||||||
WRKCo, Inc. | ||||||||||||
3.750%, due 03/15/25 | 80,000 | 85,258 | ||||||||||
4,464,268 | ||||||||||||
Technology - 0.9% | ||||||||||||
Apple, Inc. | ||||||||||||
0.875%, due 05/24/25 | EUR | 215,000 | 252,027 | |||||||||
Austin BidCo, Inc. | ||||||||||||
7.125%, due 12/15/28 (d) | $ | 25,000 | 25,813 | |||||||||
Booz Allen Hamilton, Inc. | ||||||||||||
3.875%, due 09/01/28 (d) | 25,000 | 25,437 | ||||||||||
Castle US Holding Corp. | ||||||||||||
9.500%, due 02/15/28 (d) | 25,000 | 26,125 | ||||||||||
CDW LLC | ||||||||||||
4.250%, due 04/01/28 | 165,000 | 170,362 | ||||||||||
3.250%, due 02/15/29 | 25,000 | 25,188 | ||||||||||
Consensus Cloud Solutions, Inc. | ||||||||||||
6.500%, due 10/15/28 (d) | 25,000 | 26,000 | ||||||||||
Dell International LLC | ||||||||||||
8.350%, due 07/15/46 | 110,000 | 183,232 | ||||||||||
Fidelity National Information Services, Inc. | ||||||||||||
1.500%, due 05/21/27 | EUR | 210,000 | 249,791 | |||||||||
1.000%, due 12/03/28 | EUR | 100,000 | 115,734 | |||||||||
Fiserv, Inc. | ||||||||||||
1.125%, due 07/01/27 | EUR | 100,000 | 117,574 | |||||||||
MSCI, Inc. | ||||||||||||
3.625%, due 09/01/30 (d) | $ | 390,000 | 398,775 | |||||||||
3.875%, due 02/15/31 (d) | 155,000 | 161,588 | ||||||||||
3.625%, due 11/01/31 (d) | 166,000 | 172,225 | ||||||||||
3.250%, due 08/15/33 (d) | 80,000 | 81,000 | ||||||||||
NCR Corp. | ||||||||||||
5.125%, due 04/15/29 (d) | 20,000 | 20,650 | ||||||||||
NetApp, Inc. | ||||||||||||
1.875%, due 06/22/25 | 90,000 | 90,861 | ||||||||||
NXP BV | ||||||||||||
3.875%, due 06/18/26 (d) | 170,000 | 183,276 | ||||||||||
Oracle Corp. | ||||||||||||
3.600%, due 04/01/50 | 95,000 | 92,798 | ||||||||||
Playtika Holding Corp. | ||||||||||||
4.250%, due 03/15/29 (d) | 25,000 | 24,469 | ||||||||||
Qorvo, Inc. | ||||||||||||
1.750%, due 12/15/24 (d) | 30,000 | 30,009 | ||||||||||
Rackspace Technology Global, Inc. | ||||||||||||
5.375%, due 12/01/28 (d) | 5,000 | 4,856 | ||||||||||
ROBLOX Corp. | ||||||||||||
3.875%, due 05/01/30 (d) | 25,000 | 25,281 | ||||||||||
Rocket Software, Inc. | ||||||||||||
6.500%, due 02/15/29 (d) | 25,000 | 24,375 | ||||||||||
Twilio, Inc. | ||||||||||||
3.625%, due 03/15/29 | 90,000 | 90,900 | ||||||||||
3.875%, due 03/15/31 | 125,000 | 126,250 | ||||||||||
Veritas US, Inc. | ||||||||||||
7.500%, due 09/01/25 (d) | 25,000 | 25,875 | ||||||||||
Ziff Davis, Inc. | ||||||||||||
4.625%, due 10/15/30 (d) | 61,000 | 62,449 | ||||||||||
2,832,920 | ||||||||||||
Utilities - 0.9% | ||||||||||||
Calpine Corp. | ||||||||||||
5.125%, due 03/15/28 (d) | 40,000 | 40,400 | ||||||||||
4.625%, due 02/01/29 (d) | 15,000 | 14,794 | ||||||||||
Clearway Energy Operating LLC | ||||||||||||
4.750%, due 03/15/28 (d) | 25,000 | 26,375 | ||||||||||
Dominion Energy, Inc. | ||||||||||||
4.650%, Perpetual (5 Year CMT Rate + 2.993%) (c) | 180,000 | 185,940 | ||||||||||
DPL, Inc. | ||||||||||||
4.125%, due 07/01/25 | 270,000 | 281,137 | ||||||||||
Duke Energy Corp. | ||||||||||||
4.875%, Perpetual (5 Year CMT Rate + 3.388%) (c) | 150,000 | 156,000 | ||||||||||
Essential Utilities, Inc. | ||||||||||||
2.704%, due 04/15/30 | 85,000 | 86,296 | ||||||||||
FirstEnergy Corp. | ||||||||||||
4.400%, due 07/15/27 | 180,000 | 193,533 | ||||||||||
7.375%, due 11/15/31 | 320,000 | 431,948 | ||||||||||
Monongahela Power Co. | ||||||||||||
5.400%, due 12/15/43 (d) | 85,000 | 109,490 | ||||||||||
NextEra Energy Capital Holdings, Inc. | ||||||||||||
2.250%, due 06/01/30 | 90,000 | 89,461 | ||||||||||
5.650%, due 05/01/79 (3 Month U.S. LIBOR + 3.156%) (c) | 110,000 | 124,850 | ||||||||||
NRG Energy, Inc. | ||||||||||||
3.625%, due 02/15/31 (d) | 60,000 | 58,500 | ||||||||||
Pacific Gas and Electric Co. | ||||||||||||
1.367%, due 03/10/23 | 85,000 | 84,153 | ||||||||||
2.500%, due 02/01/31 | 95,000 | 90,032 | ||||||||||
Pike Corp. | ||||||||||||
5.500%, due 09/01/28 (d) | 95,000 | 95,238 | ||||||||||
South Jersey Industries, Inc. | ||||||||||||
5.020%, due 04/15/31 | 139,000 | 151,483 | ||||||||||
The AES Corp. | ||||||||||||
3.950%, due 07/15/30 (d) | 30,000 | 31,731 | ||||||||||
The Brooklyn Union Gas Co. | ||||||||||||
4.487%, due 03/04/49 (d) | 70,000 | 82,314 | ||||||||||
The Southern Co. | ||||||||||||
4.000%, due 01/15/51 (5 Year CMT Rate + 3.733%) (c) | 130,000 | 132,505 | ||||||||||
3.750%, due 09/15/51 (5 Year CMT Rate + 2.915%) (c) | 85,000 | 85,337 | ||||||||||
Vistra Operations Co. LLC | ||||||||||||
5.625%, due 02/15/27 (d) | 25,000 | 25,688 | ||||||||||
2,577,205 | ||||||||||||
Total Corporate Bonds (Cost $51,801,259) | 53,277,676 | |||||||||||
FOREIGN BONDS - 21.5% | ||||||||||||
Argentina - 0.1% | ||||||||||||
Banco Macro SA | ||||||||||||
6.750%, due 11/04/26 (5 Year USD Swap Rate + 5.463%) (c) | 250,000 | 208,750 | ||||||||||
Australia - 0.8% | ||||||||||||
Australia Government Bond | ||||||||||||
0.250%, due 11/21/24 | AUD | 455,000 | 324,761 | |||||||||
0.500%, due 09/21/26 | AUD | 155,000 | 108,460 | |||||||||
FMG Resources August 2006 Pty Ltd. | ||||||||||||
4.375%, due 04/01/31 (d) | $ | 995,000 | 1,048,481 | |||||||||
Macquarie Group Ltd. | ||||||||||||
1.629%, due 09/23/27 (SOFR Rate + 0.910%) (c)(d) | 95,000 | 92,945 | ||||||||||
New South Wales Treasury Corp. | ||||||||||||
1.000%, due 02/08/24 | AUD | 580,000 | 423,138 | |||||||||
1.250%, due 03/20/25 | AUD | 175,000 | 127,348 | |||||||||
Queensland Treasury Corp. | ||||||||||||
4.250%, due 07/21/23 (d) | AUD | 180,000 | 138,405 | |||||||||
Westpac Banking Corp. | ||||||||||||
3.020%, due 11/18/36 (5 Year CMT Rate + 1.530%) (c) | $ | 90,000 | 88,698 | |||||||||
2,352,236 | ||||||||||||
Austria - 0.0% (b) | ||||||||||||
Republic of Austria Government Bond | ||||||||||||
0.500%, due 02/20/29 (d) | EUR | 140,000 | 166,275 | |||||||||
Bermuda - 0.2% | ||||||||||||
Digicel Group Holdings Ltd. | ||||||||||||
8.000%, due 04/01/25 (d) | $ | 66,296 | 61,784 | |||||||||
Digicel Group Holdings Ltd. CVRT | ||||||||||||
7.000%, Perpetual (d) | 100,318 | 87,276 | ||||||||||
Inkia Energy Ltd. | ||||||||||||
5.875%, due 11/09/27 | 200,000 | 205,750 | ||||||||||
Viking Cruises Ltd. | ||||||||||||
13.000%, due 05/15/25 (d) | 10,000 | 11,275 | ||||||||||
5.875%, due 09/15/27 (d) | 90,000 | 85,725 | ||||||||||
Weatherford International Ltd. | ||||||||||||
6.500%, due 09/15/28 (d) | 30,000 | 31,425 | ||||||||||
8.625%, due 04/30/30 (d) | 25,000 | 25,688 | ||||||||||
508,923 | ||||||||||||
Brazil - 0.9% | ||||||||||||
Banco do Brasil SA | ||||||||||||
9.000%, Perpetual (10 Year CMT Rate + 6.362%) (c) | 200,000 | 213,250 | ||||||||||
Banco do Estado do Rio Grande do Sul SA | ||||||||||||
5.375%, due 01/28/31 (5 Year CMT Rate + 4.928%) (c)(d) | 200,000 | 194,678 | ||||||||||
Brazilian Government International Bond | ||||||||||||
3.750%, due 09/12/31 | 200,000 | 188,250 | ||||||||||
5.625%, due 02/21/47 | 500,000 | 498,125 | ||||||||||
BRF SA | ||||||||||||
4.875%, due 01/24/30 (d) | 200,000 | 202,250 | ||||||||||
Itau Unibanco Holding SA | ||||||||||||
3.875%, due 04/15/31 (5 Year CMT Rate + 3.446%) (c) | 200,000 | 191,500 | ||||||||||
6.125%, Perpetual (5 Year CMT Rate + 3.981%) (c) | 200,000 | 200,500 | ||||||||||
Natura Cosmeticos SA | ||||||||||||
4.125%, due 05/03/28 (d) | 200,000 | 196,500 | ||||||||||
Nota do Tesouro Nacional | ||||||||||||
10.000%, due 01/01/23 | BRL | 1,480 | 261,449 | |||||||||
10.000%, due 01/01/25 | BRL | 2,670 | 471,483 | |||||||||
Simpar Finance Sarl | ||||||||||||
10.750%, due 02/12/28 (d) | BRL | 590,000 | 88,037 | |||||||||
2,706,022 | ||||||||||||
Britain - 1.0% | ||||||||||||
Barclays PLC | ||||||||||||
4.375%, Perpetual (5 Year CMT Rate + 3.410%) (c) | $ | 200,000 | 198,200 | |||||||||
BP Capital Markets PLC CVRT | ||||||||||||
1.000%, due 04/28/23 | GBP | 200,000 | 276,353 | |||||||||
European Investment Bank | ||||||||||||
0.542%, due 06/29/23 (SONIA Rate + 0.350%) (c) | GBP | 100,000 | 135,942 | |||||||||
Lloyds Banking Group PLC | ||||||||||||
7.500%, Perpetual (5 Year USD Swap Rate + 4.496%) (c) | $ | 200,000 | 226,000 | |||||||||
MARB BondCo PLC | ||||||||||||
3.950%, due 01/29/31 (d) | 200,000 | 191,752 | ||||||||||
NatWest Group PLC | ||||||||||||
6.000%, Perpetual (5 Year CMT Rate + 5.625%) (c) | 200,000 | 219,000 | ||||||||||
Royalty Pharma PLC | ||||||||||||
3.300%, due 09/02/40 | 90,000 | 89,266 | ||||||||||
United Kingdom Gilt | ||||||||||||
0.500%, due 07/22/22 | GBP | 165,000 | 223,782 | |||||||||
Vedanta Resources Finance II PLC | ||||||||||||
9.250%, due 04/23/26 (d) | $ | 200,000 | 187,250 | |||||||||
Vedanta Resources Ltd. | ||||||||||||
6.125%, due 08/09/24 | 200,000 | 175,000 | ||||||||||
Virgin Media Finance PLC | ||||||||||||
5.000%, due 07/15/30 (d) | 200,000 | 198,750 | ||||||||||
Virgin Media Secured Finance PLC | ||||||||||||
5.500%, due 05/15/29 (d) | 276,000 | 290,145 | ||||||||||
Vmed O2 UK Financing I PLC | ||||||||||||
3.250%, due 01/31/31 (d) | EUR | 150,000 | 169,192 | |||||||||
4.250%, due 01/31/31 (d) | $ | 415,000 | 400,475 | |||||||||
2,981,107 | ||||||||||||
Canada - 2.4% | ||||||||||||
1011778 BC ULC | ||||||||||||
3.875%, due 01/15/28 (d) | 182,000 | 183,820 | ||||||||||
3.500%, due 02/15/29 (d) | 136,000 | 134,300 | ||||||||||
4.000%, due 10/15/30 (d) | 556,000 | 547,660 | ||||||||||
Air Canada CVRT | ||||||||||||
4.000%, due 07/01/25 | 100,000 | 133,490 | ||||||||||
Bank of Montreal | ||||||||||||
3.803%, due 12/15/32 (5 Year USD Swap Rate + 1.432%) (c) | 85,000 | 90,844 | ||||||||||
Bausch Health Cos., Inc. | ||||||||||||
6.250%, due 02/15/29 (d) | 40,000 | 38,000 | ||||||||||
5.250%, due 01/30/30 (d) | 25,000 | 22,000 | ||||||||||
Baytex Energy Corp. | ||||||||||||
8.750%, due 04/01/27 (d) | 25,000 | 26,187 | ||||||||||
Canada Housing Trust No 1 | ||||||||||||
1.950%, due 12/15/25 (d) | CAD | 295,000 | 237,611 | |||||||||
1.250%, due 06/15/26 (d) | CAD | 260,000 | 203,236 | |||||||||
Canadian Government Bond | ||||||||||||
1.500%, due 09/01/24 | CAD | 175,000 | 139,902 | |||||||||
Cenovus Energy, Inc. | ||||||||||||
3.500%, due 02/07/28 | CAD | 100,000 | 82,334 | |||||||||
5.250%, due 06/15/37 | $ | 44,000 | 51,865 | |||||||||
6.750%, due 11/15/39 | 434,000 | 586,985 | ||||||||||
5.400%, due 06/15/47 | 154,000 | 190,767 | ||||||||||
Enbridge, Inc. | ||||||||||||
3.125%, due 11/15/29 | 175,000 | 183,343 | ||||||||||
Garda World Security Corp. | ||||||||||||
6.000%, due 06/01/29 (d) | 55,000 | 52,800 | ||||||||||
GFL Environmental, Inc. | ||||||||||||
4.000%, due 08/01/28 (d) | 25,000 | 24,656 | ||||||||||
Hudbay Minerals, Inc. | ||||||||||||
4.500%, due 04/01/26 (d) | 25,000 | 24,969 | ||||||||||
Intelligent Packaging Ltd. Co-Issuer LLC | ||||||||||||
6.000%, due 09/15/28 (d) | 25,000 | 25,719 | ||||||||||
International Bank for Reconstruction & Development | ||||||||||||
1.900%, due 01/16/25 | CAD | 260,000 | 208,627 | |||||||||
Mattamy Group Corp. | ||||||||||||
4.625%, due 03/01/30 (d) | $ | 45,000 | 45,738 | |||||||||
MEG Energy Corp. | ||||||||||||
7.125%, due 02/01/27 (d) | 45,000 | 47,869 | ||||||||||
5.875%, due 02/01/29 (d) | 10,000 | 10,375 | ||||||||||
MEGlobal Canada ULC | ||||||||||||
5.000%, due 05/18/25 (d) | 200,000 | 217,750 | ||||||||||
Nutrien Ltd. | ||||||||||||
4.200%, due 04/01/29 | 85,000 | 95,849 | ||||||||||
Ontario Teachers' Finance Trust | ||||||||||||
0.375%, due 09/29/23 (d) | 250,000 | 247,769 | ||||||||||
Open Text Corp. | ||||||||||||
3.875%, due 02/15/28 (d) | 25,000 | 25,469 | ||||||||||
Parkland Corp. | ||||||||||||
4.500%, due 10/01/29 (d) | 40,000 | 39,750 | ||||||||||
Province of Ontario Canada | ||||||||||||
2.900%, due 06/02/28 | CAD | 275,000 | 232,031 | |||||||||
1.350%, due 12/02/30 | CAD | 1,610,000 | 1,207,586 | |||||||||
3.450%, due 06/02/45 | CAD | 195,000 | 180,800 | |||||||||
Province of Quebec Canada | ||||||||||||
3.000%, due 09/01/23 | CAD | 325,000 | 265,195 | |||||||||
1.500%, due 12/15/23 | GBP | 105,000 | 143,646 | |||||||||
0.200%, due 04/07/25 | EUR | 200,000 | 230,102 | |||||||||
Rogers Communications, Inc. | ||||||||||||
5.000%, due 12/17/81 (5 Year Canadian Government Bond Rate + 3.575%) (c) | CAD | 110,000 | 87,923 | |||||||||
Royal Bank of Canada | ||||||||||||
4.200%, Perpetual (5 Year Canadian Government Bond Rate + 2.710%) (c) | CAD | 200,000 | 157,239 | |||||||||
St Marys Cement, Inc. | ||||||||||||
5.750%, due 01/28/27 (d) | $ | 200,000 | 224,000 | |||||||||
Strathcona Resources Ltd. | ||||||||||||
6.875%, due 08/01/26 (d) | 25,000 | 24,500 | ||||||||||
Superior Plus LP | ||||||||||||
4.500%, due 03/15/29 (d) | 55,000 | 56,306 | ||||||||||
Taseko Mines Ltd. | ||||||||||||
7.000%, due 02/15/26 (d) | 25,000 | 26,094 | ||||||||||
The Bank of Nova Scotia | ||||||||||||
3.400%, due 02/11/24 | 160,000 | 167,700 | ||||||||||
TransCanada PipeLines Ltd. | ||||||||||||
4.100%, due 04/15/30 | 310,000 | 343,731 | ||||||||||
7,266,537 | ||||||||||||
Cayman Islands - 0.4% | ||||||||||||
Avolon Holdings Funding Ltd. | ||||||||||||
3.250%, due 02/15/27 (d) | 145,000 | 146,994 | ||||||||||
CK Hutchison International 20 Ltd. | ||||||||||||
2.500%, due 05/08/30 (d) | 200,000 | 202,278 | ||||||||||
Cosan Overseas Ltd. | ||||||||||||
8.250%, Perpetual | 200,000 | 203,750 | ||||||||||
Global Aircraft Leasing Co. Ltd. | ||||||||||||
6.500%, due 09/15/24 (d) | 48,321 | 46,569 | ||||||||||
Gran Tierra Energy International Holdings Ltd. | ||||||||||||
6.250%, due 02/15/25 | 400,000 | 364,000 | ||||||||||
SA Global Sukuk Ltd. | ||||||||||||
2.694%, due 06/17/31 (d) | 200,000 | 201,063 | ||||||||||
Transocean Poseidon Ltd. | ||||||||||||
6.875%, due 02/01/27 (d) | 75,000 | 72,375 | ||||||||||
Transocean, Inc. | ||||||||||||
11.500%, due 01/30/27 (d) | 13,000 | 12,783 | ||||||||||
1,249,812 | ||||||||||||
Chile - 0.7% | ||||||||||||
AES Gener SA | ||||||||||||
7.125%, due 03/26/79 (5 Year USD Swap Rate + 4.644%) (c)(d) | 200,000 | 207,500 | ||||||||||
CAP SA | ||||||||||||
3.900%, due 04/27/31 (d) | 200,000 | 187,750 | ||||||||||
Chile Electricity PEC SpA | ||||||||||||
0.000%, due 01/25/28 (d) | 200,000 | 162,163 | ||||||||||
Chile Government International Bond | ||||||||||||
3.100%, due 05/07/41 | 600,000 | 590,016 | ||||||||||
3.100%, due 01/22/61 | 200,000 | 185,805 | ||||||||||
Empresa Electrica Angamos SA | ||||||||||||
4.875%, due 05/25/29 | 130,400 | 125,241 | ||||||||||
Empresa Electrica Cochrane SpA | ||||||||||||
5.500%, due 05/14/27 | 316,960 | 318,941 | ||||||||||
Guacolda Energia SA | ||||||||||||
4.560%, due 04/30/25 | 400,000 | 152,000 | ||||||||||
Inversiones Latin America Power Ltda | ||||||||||||
5.125%, due 06/15/33 (d) | 200,000 | 197,000 | ||||||||||
2,126,416 | ||||||||||||
China - 0.4% | ||||||||||||
China Government Bond | ||||||||||||
2.880%, due 11/05/23 | CNY | 2,980,000 | 471,575 | |||||||||
1.990%, due 04/09/25 | CNY | 2,720,000 | 419,130 | |||||||||
2.690%, due 08/12/26 | CNY | 910,000 | 143,487 | |||||||||
3.020%, due 05/27/31 | CNY | 610,000 | 97,240 | |||||||||
1,131,432 | ||||||||||||
Colombia - 0.9% | ||||||||||||
Colombia Government International Bond | ||||||||||||
3.125%, due 04/15/31 | $ | 200,000 | 179,441 | |||||||||
3.250%, due 04/22/32 | 405,000 | 362,392 | ||||||||||
5.000%, due 06/15/45 | 200,000 | 180,466 | ||||||||||
4.125%, due 05/15/51 | 200,000 | 161,879 | ||||||||||
Colombian TES | ||||||||||||
10.000%, due 07/24/24 | COP | 1,310,000,000 | 345,281 | |||||||||
6.250%, due 11/26/25 | COP | 750,000,000 | 177,626 | |||||||||
7.500%, due 08/26/26 | COP | 770,000,000 | 187,965 | |||||||||
Ecopetrol SA | ||||||||||||
5.375%, due 06/26/26 | $ | 45,000 | 47,531 | |||||||||
6.875%, due 04/29/30 | 145,000 | 163,488 | ||||||||||
4.625%, due 11/02/31 | 90,000 | 87,390 | ||||||||||
5.875%, due 05/28/45 | 95,000 | 91,912 | ||||||||||
5.875%, due 11/02/51 | 300,000 | 282,000 | ||||||||||
Empresas Publicas de Medellin ESP | ||||||||||||
4.375%, due 02/15/31 | 400,000 | 379,392 | ||||||||||
Oleoducto Central SA | ||||||||||||
4.000%, due 07/14/27 | 200,000 | 199,828 | ||||||||||
2,846,591 | ||||||||||||
Dominican Republic - 0.0% (b) | ||||||||||||
Dominican Republic International Bond | ||||||||||||
5.875%, due 01/30/60 | 150,000 | 144,187 | ||||||||||
France - 0.4% | ||||||||||||
BNP Paribas SA | ||||||||||||
4.625%, due 08/25/31 (5 Year CMT Rate + 3.340%) (a)(c)(d) | 400,000 | 401,349 | ||||||||||
4.500%, Perpetual (5 Year CMT Rate + 2.944%) (a)(c)(d) | 200,000 | 198,800 | ||||||||||
Credit Agricole SA | ||||||||||||
7.875%, Perpetual (5 Year USD Swap Rate + 4.898%) (c)(d) | 200,000 | 218,832 | ||||||||||
Engie SA | ||||||||||||
0.375%, due 06/21/27 | EUR | 100,000 | 113,996 | |||||||||
Societe Generale SA | ||||||||||||
8.000%, Perpetual (5 Year ICE Mid-Market Swap Rate + 5.873%) (c)(d) | $ | 200,000 | 231,000 | |||||||||
TotalEnergies Capital International SA | ||||||||||||
3.386%, due 06/29/60 | 85,000 | 90,009 | ||||||||||
1,253,986 | ||||||||||||
Germany - 0.0% (b) | ||||||||||||
E.ON SE | ||||||||||||
0.375%, due 09/29/27 | EUR | 65,000 | 74,468 | |||||||||
74,468 | ||||||||||||
Greece - 0.2% | ||||||||||||
Hellenic Republic Government Bond | ||||||||||||
2.000%, due 04/22/27 (d) | EUR | 145,000 | 176,087 | |||||||||
1.500%, due 06/18/30 (d) | EUR | 205,000 | 237,873 | |||||||||
4.200%, due 01/30/42 | EUR | 190,000 | 328,050 | |||||||||
742,010 | ||||||||||||
India - 0.2% | ||||||||||||
Adani Green Energy UP Ltd. | ||||||||||||
6.250%, due 12/10/24 (d) | $ | 200,000 | 217,250 | |||||||||
Adani International Container Terminal Pvt Ltd. | ||||||||||||
3.000%, due 02/16/31 | 196,000 | 189,140 | ||||||||||
Indian Railway Finance Corp. Ltd. | ||||||||||||
3.249%, due 02/13/30 (d) | 200,000 | 202,567 | ||||||||||
NTPC Ltd. | ||||||||||||
7.250%, due 05/03/22 | INR | 10,000,000 | 134,845 | |||||||||
743,802 | ||||||||||||
Indonesia - 1.5% | ||||||||||||
Indonesia Asahan Aluminium Persero PT | ||||||||||||
4.750%, due 05/15/25 (d) | $ | 225,000 | 239,625 | |||||||||
Indonesia Government International Bond | ||||||||||||
2.625%, due 06/14/23 (d) | EUR | 150,000 | 176,733 | |||||||||
2.150%, due 07/18/24 (d) | EUR | 150,000 | 178,408 | |||||||||
3.850%, due 10/15/30 (a) | $ | 200,000 | 224,752 | |||||||||
1.100%, due 03/12/33 | EUR | 100,000 | 109,632 | |||||||||
3.700%, due 10/30/49 | $ | 200,000 | 211,253 | |||||||||
3.050%, due 03/12/51 | 200,000 | 197,514 | ||||||||||
Indonesia Treasury Bond | ||||||||||||
6.500%, due 06/15/25 | IDR | 6,493,000,000 | 481,537 | |||||||||
8.375%, due 09/15/26 | IDR | 1,606,000,000 | 127,319 | |||||||||
7.000%, due 05/15/27 | IDR | 2,030,000,000 | 152,957 | |||||||||
6.125%, due 05/15/28 | IDR | 1,631,000,000 | 116,461 | |||||||||
9.000%, due 03/15/29 | IDR | 1,457,000,000 | 118,104 | |||||||||
8.250%, due 05/15/29 | IDR | 283,000,000 | 22,102 | |||||||||
7.000%, due 09/15/30 | IDR | 4,685,000,000 | 340,679 | |||||||||
8.750%, due 05/15/31 | IDR | 3,000,000,000 | 243,368 | |||||||||
6.625%, due 05/15/33 | IDR | 1,779,000,000 | 125,557 | |||||||||
7.500%, due 06/15/35 | IDR | 1,015,000,000 | 74,691 | |||||||||
7.500%, due 05/15/38 | IDR | 1,447,000,000 | 105,719 | |||||||||
Perusahaan Penerbit SBSN Indonesia III | ||||||||||||
4.150%, due 03/29/27 (d) | $ | 200,000 | 221,500 | |||||||||
2.550%, due 06/09/31 (d) | 600,000 | 608,250 | ||||||||||
3.800%, due 06/23/50 | 200,000 | 209,250 | ||||||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | ||||||||||||
4.125%, due 05/15/27 (d) | 250,000 | 266,562 | ||||||||||
4,551,973 | ||||||||||||
Ireland - 0.2% | ||||||||||||
Ireland Government Bond | ||||||||||||
3.400%, due 03/18/24 | EUR | 165,000 | 204,120 | |||||||||
Johnson Controls International PLC | ||||||||||||
0.375%, due 09/15/27 | EUR | 100,000 | 112,771 | |||||||||
LCPR Senior Secured Financing DAC | ||||||||||||
6.750%, due 10/15/27 (d) | $ | 231,000 | 244,141 | |||||||||
5.125%, due 07/15/29 (d) | 200,000 | 201,750 | ||||||||||
762,782 | ||||||||||||
Israel - 0.1% | ||||||||||||
Israel Electric Corp. Ltd. | ||||||||||||
6.875%, due 06/21/23 (d) | 200,000 | 215,741 | ||||||||||
Italy - 0.4% | ||||||||||||
Intesa Sanpaolo SpA | ||||||||||||
4.198%, due 06/01/32 (1 Year CMT Rate + 2.600%) (c)(d) | 200,000 | 200,505 | ||||||||||
7.700%, Perpetual (5 Year USD Swap Rate + 5.462%) (c)(d) | 200,000 | 225,000 | ||||||||||
Italy Buoni Poliennali Del Tesoro | ||||||||||||
1.850%, due 07/01/25 (d) | EUR | 410,000 | 493,402 | |||||||||
Republic of Italy Government International Bond | ||||||||||||
1.250%, due 02/17/26 | $ | 200,000 | 194,385 | |||||||||
1,113,292 | ||||||||||||
Japan - 0.3% | ||||||||||||
Japan Government Five Year Bond | ||||||||||||
0.100%, due 06/20/25 | JPY | 90,250,000 | 790,133 | |||||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||||||
0.913%, due 03/02/23 (3 Month U.S. LIBOR + 0.740%) (c) | $ | 110,000 | 110,541 | |||||||||
900,674 | ||||||||||||
Jersey - 0.2% | ||||||||||||
Galaxy Pipeline Assets Bidco Ltd. | ||||||||||||
2.160%, due 03/31/34 (d) | 200,000 | 195,846 | ||||||||||
2.625%, due 03/31/36 | 300,000 | 293,311 | ||||||||||
489,157 | ||||||||||||
Liberia - 0.1% | ||||||||||||
Royal Caribbean Cruises Ltd. | ||||||||||||
9.125%, due 06/15/23 (d) | 10,000 | 10,600 | ||||||||||
4.250%, due 07/01/26 (d) | 140,000 | 135,625 | ||||||||||
5.500%, due 04/01/28 (d) | 310,000 | 314,650 | ||||||||||
460,875 | ||||||||||||
Luxembourg - 1.2% | ||||||||||||
Allergan Funding SCS | ||||||||||||
1.250%, due 06/01/24 | EUR | 100,000 | 114,416 | |||||||||
2.625%, due 11/15/28 | EUR | 100,000 | 121,878 | |||||||||
ArcelorMittal SA | ||||||||||||
4.550%, due 03/11/26 | $ | 20,000 | 21,900 | |||||||||
7.000%, due 10/15/39 | 25,000 | 34,437 | ||||||||||
6.750%, due 03/01/41 | 100,000 | 135,000 | ||||||||||
Atento Luxco 1 SA | ||||||||||||
8.000%, due 02/10/26 (d) | 100,000 | 106,250 | ||||||||||
Becton Dickinson Euro Finance Sarl | ||||||||||||
1.208%, due 06/04/26 | EUR | 245,000 | 288,371 | |||||||||
DH Europe Finance II Sarl | ||||||||||||
0.450%, due 03/18/28 | EUR | 410,000 | 466,378 | |||||||||
Endo Luxembourg Finance Co. I Sarl | ||||||||||||
6.125%, due 04/01/29 (d) | $ | 30,000 | 29,288 | |||||||||
EverArc Escrow Sarl | ||||||||||||
5.000%, due 10/30/29 (d) | 60,000 | 60,000 | ||||||||||
FS Luxembourg Sarl | ||||||||||||
10.000%, due 12/15/25 (d) | 200,000 | 219,199 | ||||||||||
Gilex Holding Sarl | ||||||||||||
8.500%, due 05/02/23 (d) | 150,000 | 151,313 | ||||||||||
JBS Finance Luxembourg Sarl | ||||||||||||
3.625%, due 01/15/32 (d) | 200,000 | 201,250 | ||||||||||
Kenbourne Invest SA | ||||||||||||
4.700%, due 01/22/28 (d) | 200,000 | 194,939 | ||||||||||
MC Brazil Downstream Trading Sarl | ||||||||||||
7.250%, due 06/30/31 (d) | 200,000 | 199,250 | ||||||||||
Mexico Remittances Funding Fiduciary Estate Management Sarl | ||||||||||||
4.875%, due 01/15/28 (d) | 200,000 | 187,000 | ||||||||||
Millicom International Cellular SA | ||||||||||||
4.500%, due 04/27/31 (d) | 200,000 | 201,750 | ||||||||||
Petrorio Luxembourg Sarl | ||||||||||||
6.125%, due 06/09/26 (d) | 200,000 | 204,250 | ||||||||||
Rede D'or Finance Sarl | ||||||||||||
4.950%, due 01/17/28 (d) | 200,000 | 203,250 | ||||||||||
Swiss Insured Brazil Power Finance Sarl | ||||||||||||
9.850%, due 07/16/32 (d) | BRL | 1,878,063 | 316,944 | |||||||||
Telecom Italia Capital SA | ||||||||||||
6.375%, due 11/15/33 | $ | 25,000 | 26,906 | |||||||||
Trinseo Materials Operating SCA | ||||||||||||
5.125%, due 04/01/29 (d) | 20,000 | 20,450 | ||||||||||
3,504,419 | ||||||||||||
Malaysia - 0.7% | ||||||||||||
Malayan Banking Bhd | ||||||||||||
0.955%, due 08/16/24 (3 Month U.S. LIBOR + 0.800%) (c) | 200,000 | 201,296 | ||||||||||
Malaysia Government Bond | ||||||||||||
4.059%, due 09/30/24 | MYR | 875,000 | 216,400 | |||||||||
3.882%, due 03/14/25 | MYR | 805,000 | 198,754 | |||||||||
3.900%, due 11/30/26 | MYR | 360,000 | 89,286 | |||||||||
3.899%, due 11/16/27 | MYR | 975,000 | 241,447 | |||||||||
3.733%, due 06/15/28 | MYR | 400,000 | 97,805 | |||||||||
3.844%, due 04/15/33 | MYR | 980,000 | 235,275 | |||||||||
3.828%, due 07/05/34 | MYR | 360,000 | 85,709 | |||||||||
Malaysia Wakala Sukuk Bhd | ||||||||||||
2.070%, due 04/28/31 (a) | $ | 250,000 | 249,687 | |||||||||
Petronas Capital Ltd. | ||||||||||||
3.500%, due 04/21/30 (d) | 200,000 | 216,504 | ||||||||||
2.480%, due 01/28/32 (d) | 200,000 | 200,554 | ||||||||||
2,032,717 | ||||||||||||
Mexico - 1.3% | ||||||||||||
Banco Actinver SA | ||||||||||||
9.500%, due 12/18/32 (d) | MXN | 3,000,000 | 88,002 | |||||||||
Becle SAB de CV | ||||||||||||
2.500%, due 10/14/31 (d) | $ | 205,000 | 200,892 | |||||||||
Braskem Idesa SAPI | ||||||||||||
6.990%, due 02/20/32 (d) | 200,000 | 201,023 | ||||||||||
Cemex SAB de CV | ||||||||||||
3.875%, due 07/11/31 (d) | 200,000 | 199,250 | ||||||||||
Credito Real SAB de CV SOFOM ER | ||||||||||||
9.125%, Perpetual (5 Year CMT Rate + 7.026%) (a)(c) | 200,000 | 96,000 | ||||||||||
Mexican Bonos | ||||||||||||
6.750%, due 03/09/23 | MXN | 43,600 | 218,038 | |||||||||
5.750%, due 03/05/26 | MXN | 48,300 | 226,857 | |||||||||
7.500%, due 06/03/27 | MXN | 89,700 | 441,782 | |||||||||
7.750%, due 05/29/31 | MXN | 60,900 | 302,254 | |||||||||
Mexico Government International Bond | ||||||||||||
2.659%, due 05/24/31 | $ | 200,000 | 195,184 | |||||||||
4.280%, due 08/14/41 | 400,000 | 415,324 | ||||||||||
4.600%, due 02/10/48 | 200,000 | 213,808 | ||||||||||
3.771%, due 05/24/61 | 600,000 | 554,371 | ||||||||||
Petroleos Mexicanos | ||||||||||||
6.750%, due 09/21/47 | 200,000 | 177,205 | ||||||||||
Total Play Telecomunicaciones SA de CV | ||||||||||||
7.500%, due 11/12/25 (d) | 205,000 | 208,588 | ||||||||||
Unifin Financiera SAB de CV | ||||||||||||
8.875%, Perpetual (5 Year CMT Rate + 6.308%) (c) | 200,000 | 118,000 | ||||||||||
3,856,578 | ||||||||||||
Netherlands - 0.8% | ||||||||||||
Airbus SE | ||||||||||||
1.625%, due 06/09/30 | EUR | 100,000 | 121,978 | |||||||||
BMW Finance NV | ||||||||||||
1.000%, due 11/14/24 | EUR | 75,000 | 88,014 | |||||||||
BNG Bank NV | ||||||||||||
0.250%, due 06/07/24 | EUR | 120,000 | 138,531 | |||||||||
Braskem Netherlands Finance BV | ||||||||||||
5.875%, due 01/31/50 (d) | $ | 200,000 | 228,500 | |||||||||
Diamond BC BV | ||||||||||||
4.625%, due 10/01/29 (d) | 25,000 | 24,781 | ||||||||||
Greenko Dutch BV | ||||||||||||
3.850%, due 03/29/26 (d) | 197,000 | 198,970 | ||||||||||
ING Groep NV | ||||||||||||
4.250%, Perpetual (5 Year CMT Rate + 2.862%) (c) | 200,000 | 188,630 | ||||||||||
5.750%, Perpetual (5 Year CMT Rate + 4.342%) (c) | 200,000 | 215,000 | ||||||||||
Minejesa Capital BV | ||||||||||||
4.625%, due 08/10/30 | 400,000 | 410,596 | ||||||||||
5.625%, due 08/10/37 | 200,000 | 209,250 | ||||||||||
Petrobras Global Finance BV | �� | |||||||||||
6.900%, due 03/19/49 | 210,000 | 223,650 | ||||||||||
6.750%, due 06/03/50 | 200,000 | 209,250 | ||||||||||
5.500%, due 06/10/51 | 100,000 | 92,750 | ||||||||||
VTR Finance NV | ||||||||||||
6.375%, due 07/15/28 (d) | 200,000 | 208,500 | ||||||||||
2,558,400 | ||||||||||||
New Zealand - 0.3% | ||||||||||||
International Bank for Reconstruction & Development | ||||||||||||
3.375%, due 01/25/22 | NZD | 370,000 | 253,741 | |||||||||
2.875%, due 11/30/26 | NZD | 155,000 | 106,927 | |||||||||
International Finance Corp. | ||||||||||||
0.375%, due 09/10/25 | NZD | 250,000 | 157,734 | |||||||||
New Zealand Government Bond | ||||||||||||
5.500%, due 04/15/23 | NZD | 60,000 | 43,120 | |||||||||
0.500%, due 05/15/24 | NZD | 525,000 | 347,452 | |||||||||
908,974 | ||||||||||||
Norway - 0.6% | ||||||||||||
Aker BP ASA | ||||||||||||
3.750%, due 01/15/30 (d) | $ | 185,000 | 195,869 | |||||||||
European Investment Bank | ||||||||||||
1.500%, due 05/12/22 | NOK | 2,330,000 | 265,086 | |||||||||
1.750%, due 03/13/25 | NOK | 290,000 | 33,037 | |||||||||
Nordea Eiendomskreditt AS | ||||||||||||
1.060%, due 06/21/23 (3 Month NIBOR + 0.300%) (c) | NOK | 1,000,000 | 113,892 | |||||||||
1.170%, due 06/19/24 (3 Month NIBOR + 0.340%) (c) | NOK | 1,000,000 | 114,120 | |||||||||
Nordic Investment Bank | ||||||||||||
1.875%, due 04/10/24 | NOK | 980,000 | 111,958 | |||||||||
Norway Government Bond | ||||||||||||
2.000%, due 05/24/23 (d) | NOK | 6,530,000 | 750,540 | |||||||||
1.500%, due 02/19/26 (d) | NOK | 1,625,000 | 183,841 | |||||||||
1,768,343 | ||||||||||||
Panama - 0.4% | ||||||||||||
Banco General SA | ||||||||||||
5.250%, Perpetual (10 Year CMT Rate + 3.665%) (c)(d) | $ | 200,000 | 203,000 | |||||||||
Carnival Corp. | ||||||||||||
5.750%, due 03/01/27 (d) | 360,000 | 360,000 | ||||||||||
Panama Government International Bond | ||||||||||||
2.252%, due 09/29/32 | 200,000 | 190,000 | ||||||||||
4.300%, due 04/29/53 | 300,000 | 321,750 | ||||||||||
UEP Penonome II SA | ||||||||||||
6.500%, due 10/01/38 | 192,383 | 202,483 | ||||||||||
1,277,233 | ||||||||||||
Peru - 0.3% | ||||||||||||
Banco de Credito del Peru | ||||||||||||
3.125%, due 07/01/30 (5 Year CMT Rate + 3.000%) (c) | 400,000 | 395,904 | ||||||||||
Banco Internacional del Peru SAA Interbank | ||||||||||||
4.000%, due 07/08/30 (1 Year CMT Rate + 3.711%) (c) | 350,000 | 348,687 | ||||||||||
Hunt Oil Co. of Peru LLC Sucursal Del Peru | ||||||||||||
6.375%, due 06/01/28 | 191,600 | 193,756 | ||||||||||
938,347 | ||||||||||||
Philippines - 0.5% | ||||||||||||
Philippine Government International Bond | ||||||||||||
0.875%, due 05/17/27 | EUR | 385,000 | 443,222 | |||||||||
2.457%, due 05/05/30 | $ | 200,000 | 206,252 | |||||||||
1.648%, due 06/10/31 (a) | 250,000 | 241,236 | ||||||||||
6.250%, due 01/14/36 | PHP | 5,000,000 | 109,931 | |||||||||
3.700%, due 03/01/41 | $ | 200,000 | 217,750 | |||||||||
3.700%, due 02/02/42 | 200,000 | 217,517 | ||||||||||
1,435,908 | ||||||||||||
Portugal - 0.2% | ||||||||||||
Portugal Obrigacoes do Tesouro OT | ||||||||||||
0.700%, due 10/15/27 (d) | EUR | 85,000 | 100,788 | |||||||||
0.475%, due 10/18/30 (d) | EUR | 460,000 | 531,424 | |||||||||
632,212 | ||||||||||||
Puerto Rico - 0.1% | ||||||||||||
Popular, Inc. | ||||||||||||
6.125%, due 09/14/23 | $ | 380,000 | 399,343 | |||||||||
Qatar - 0.1% | ||||||||||||
Qatar Energy | ||||||||||||
2.250%, due 07/12/31 | 200,000 | 197,832 | ||||||||||
Qatar Government International Bond | ||||||||||||
4.000%, due 03/14/29 (d) | 200,000 | 225,042 | ||||||||||
422,874 | ||||||||||||
Saudi Arabia - 0.5% | ||||||||||||
Saudi Arabian Oil Co. | ||||||||||||
3.500%, due 04/16/29 (d) | 200,000 | 213,528 | ||||||||||
4.250%, due 04/16/39 (d) | 200,000 | 225,916 | ||||||||||
4.375%, due 04/16/49 (d) | 200,000 | 232,202 | ||||||||||
Saudi Government International Bond | ||||||||||||
2.250%, due 02/02/33 | 700,000 | 681,095 | ||||||||||
3.750%, due 01/21/55 | 250,000 | 265,020 | ||||||||||
1,617,761 | ||||||||||||
Singapore - 1.1% | ||||||||||||
DBS Group Holdings Ltd. | ||||||||||||
1.822%, due 03/10/31 (5 Year CMT Rate + 1.100%) (c) | 200,000 | 197,926 | ||||||||||
LLPL Capital Pte Ltd. | ||||||||||||
6.875%, due 02/04/39 (d) | 269,010 | 306,672 | ||||||||||
Medco Oak Tree Pte Ltd. | ||||||||||||
7.375%, due 05/14/26 (d) | 220,000 | 227,150 | ||||||||||
Oversea-Chinese Banking Corp. Ltd. | ||||||||||||
1.832%, due 09/10/30 (5 Year CMT Rate + 1.580%) (c)(d) | 500,000 | 494,346 | ||||||||||
PSA Treasury Pte Ltd. | ||||||||||||
2.125%, due 09/05/29 | 200,000 | 202,322 | ||||||||||
Singapore Government Bond | ||||||||||||
1.750%, due 04/01/22 | SGD | 485,000 | 360,950 | |||||||||
2.375%, due 06/01/25 | SGD | 165,000 | 127,533 | |||||||||
SingTel Group Treasury Pte Ltd. | ||||||||||||
1.875%, due 06/10/30 | $ | 200,000 | 196,826 | |||||||||
Temasek Financial I Ltd. | ||||||||||||
1.000%, due 10/06/30 (d) | 400,000 | 372,472 | ||||||||||
1.625%, due 08/02/31 | 250,000 | 242,455 | ||||||||||
United Overseas Bank Ltd. | ||||||||||||
3.875%, Perpetual (5 Year USD Swap Rate + 1.794%) (c) | 500,000 | 515,000 | ||||||||||
3,243,652 | ||||||||||||
South Korea - 0.8% | ||||||||||||
Korea East-West Power Co. Ltd. | ||||||||||||
1.750%, due 05/06/25 (d) | 200,000 | 201,148 | ||||||||||
Korea Electric Power Corp. | ||||||||||||
1.125%, due 06/15/25 (d) | 200,000 | 197,405 | ||||||||||
KT Corp. | ||||||||||||
2.500%, due 07/18/26 | 200,000 | 206,534 | ||||||||||
LG Chem Ltd. | ||||||||||||
2.375%, due 07/07/31 (d) | 200,000 | 196,750 | ||||||||||
NongHyup Bank | ||||||||||||
1.250%, due 07/20/25 (d) | 200,000 | 198,125 | ||||||||||
POSCO | ||||||||||||
2.375%, due 01/17/23 | 200,000 | 202,742 | ||||||||||
Shinhan Financial Group Co. Ltd. | ||||||||||||
2.875%, Perpetual (5 Year CMT Rate + 2.064%) (c)(d) | 400,000 | 394,000 | ||||||||||
The Korea Development Bank | ||||||||||||
1.000%, due 09/09/26 | 200,000 | 195,382 | ||||||||||
1.625%, due 01/19/31 | 200,000 | 194,656 | ||||||||||
Woori Bank | ||||||||||||
4.250%, Perpetual (5 Year CMT Rate + 2.664%) (a)(c) | 400,000 | 415,000 | ||||||||||
2,401,742 | ||||||||||||
Spain - 0.3% | ||||||||||||
Banco Santander SA | ||||||||||||
4.750%, Perpetual (5 Year CMT Rate + 3.753%) (c) | 200,000 | 199,801 | ||||||||||
Cellnex Telecom SA | ||||||||||||
1.875%, due 06/26/29 | EUR | 100,000 | 112,767 | |||||||||
Cellnex Telecom SA CVRT | ||||||||||||
0.750%, due 11/20/31 | EUR | 100,000 | 111,402 | |||||||||
Spain Government Bond | ||||||||||||
0.250%, due 07/30/24 (d) | EUR | 170,000 | 197,126 | |||||||||
0.800%, due 07/30/27 (d) | EUR | 170,000 | 201,662 | |||||||||
822,758 | ||||||||||||
Sweden - 0.1% | ||||||||||||
Sweden Government International Bond | ||||||||||||
0.125%, due 04/24/23 (d) | EUR | 225,000 | 258,350 | |||||||||
Switzerland - 0.3% | ||||||||||||
Credit Suisse Group AG | ||||||||||||
5.100%, Perpetual (5 Year CMT Rate + 3.293%) (c)(d) | $ | 200,000 | 201,000 | |||||||||
6.375%, Perpetual (5 Year CMT Rate + 4.822%) (c)(d) | 200,000 | 215,500 | ||||||||||
UBS Group AG | ||||||||||||
3.875%, Perpetual (5 Year CMT Rate + 3.098%) (c)(d) | 200,000 | 197,561 | ||||||||||
4.375%, Perpetual (5 Year CMT Rate + 3.313%) (c)(d) | 200,000 | 197,134 | ||||||||||
811,195 | ||||||||||||
Thailand - 0.1% | ||||||||||||
Kasikornbank PCL | ||||||||||||
5.275%, Perpetual (5 Year CMT Rate + 4.940%) (c) | 400,000 | 417,432 | ||||||||||
United Arab Emirates - 0.4% | ||||||||||||
Abu Dhabi Government International Bond | ||||||||||||
3.125%, due 04/16/30 (d) | 400,000 | 432,005 | ||||||||||
1.700%, due 03/02/31 (d) | 185,000 | 179,483 | ||||||||||
1.700%, due 03/02/31 | 250,000 | 242,907 | ||||||||||
3.875%, due 04/16/50 (d) | 200,000 | 232,775 | ||||||||||
1,087,170 | ||||||||||||
Total Foreign Bonds (Cost $66,091,880) | 65,392,456 | |||||||||||
BANK LOANS - 7.3% (c) | ||||||||||||
1011778 BC ULC | ||||||||||||
1.840%, due 11/19/26 (1 Month U.S. LIBOR + 1.750%) | 817,665 | 807,955 | ||||||||||
AAdvantage Loyalty IP Ltd. | ||||||||||||
5.500%, due 04/20/28 (3 Month U.S. LIBOR + 4.750%) | 130,000 | 134,933 | ||||||||||
Abe Investment Holdings, Inc. | ||||||||||||
4.625%, due 02/19/26 (1 Month U.S. LIBOR + 4.500%) | 38,765 | 38,870 | ||||||||||
Access CIG LLC | ||||||||||||
4.654%, due 02/27/25 (1 Month U.S. LIBOR + 3.750%) | 43,969 | 43,753 | ||||||||||
Acrisure LLC | ||||||||||||
3.632%, due 02/15/27 (3 Month U.S. LIBOR + 3.500%) | 134,341 | 133,064 | ||||||||||
Acrisure LLC | ||||||||||||
4.750%, due 02/15/27 (1 Month U.S. LIBOR + 4.250%) | 100,000 | 100,125 | ||||||||||
ADMI Corp. | ||||||||||||
4.000%, due 12/23/27 (1 Month U.S. LIBOR + 3.500%) | 69,825 | 69,809 | ||||||||||
AECOM | ||||||||||||
1.842%, due 04/13/28 (1 Month U.S. LIBOR + 1.750%) | 323,780 | 324,589 | ||||||||||
Air Canada | ||||||||||||
4.250%, due 08/11/28 (6 Month U.S. LIBOR + 3.500%) | 360,000 | 360,193 | ||||||||||
Allied Universal Holdco LLC | ||||||||||||
4.250%, due 05/14/28 (3 Month U.S. LIBOR + 3.750%) | 242,891 | 242,407 | ||||||||||
Alterra Mountain Co. | ||||||||||||
4.000%, due 08/17/28 (1 Month U.S. LIBOR + 3.500%) | 127,406 | 127,406 | ||||||||||
Altice France SA | ||||||||||||
4.118%, due 08/14/26 (2 Month U.S. LIBOR + 4.000%) | 138,219 | 137,735 | ||||||||||
AP Core Holdings II LLC | ||||||||||||
6.250%, due 09/01/27 (1 Month U.S. LIBOR + 5.500%) | 138,250 | 138,466 | ||||||||||
AP Core Holdings II LLC | ||||||||||||
6.250%, due 09/01/27 (1 Month U.S. LIBOR + 5.500%) | 100,000 | 100,291 | ||||||||||
APX Group, Inc. | ||||||||||||
4.000%, due 07/09/28 (1 Month U.S. LIBOR + 3.500%) | 69,793 | 69,778 | ||||||||||
5.750%, due 07/09/28 (Prime + 2.500%) | 207 | 207 | ||||||||||
Aramark Services, Inc. | ||||||||||||
1.851%, due 03/11/25 (1 Month U.S. LIBOR + 1.750%) | 205,000 | 202,885 | ||||||||||
Ascend Learning LLC | ||||||||||||
3.500%, due 12/10/28 (1 Month U.S. LIBOR + 3.500%) | 225,000 | 224,954 | ||||||||||
AssuredPartners, Inc. | ||||||||||||
3.604%, due 02/13/27 (1 Month U.S. LIBOR + 3.500%) | 233,005 | 231,565 | ||||||||||
Astra Acquisition Corp. | ||||||||||||
5.750%, due 10/25/28 (1 Month U.S. LIBOR + 5.250%) | 210,000 | 206,676 | ||||||||||
Asurion LLC | ||||||||||||
3.354%, due 07/31/27 (1 Month U.S. LIBOR + 3.250%) | 179,098 | 178,224 | ||||||||||
Asurion LLC | ||||||||||||
5.354%, due 01/15/29 (1 Month U.S. LIBOR + 5.250%) | 130,000 | 129,635 | ||||||||||
Avantor Funding, Inc. | ||||||||||||
2.750%, due 11/06/27 (3 Month U.S. LIBOR + 2.250%) | 384,213 | 384,493 | ||||||||||
Avaya, Inc. | ||||||||||||
4.110%, due 12/15/27 (1 Month U.S. LIBOR + 4.000%) | 150,000 | 150,122 | ||||||||||
Avaya, Inc. | ||||||||||||
4.360%, due 12/15/27 (1 Month U.S. LIBOR + 4.250%) | 22,161 | 22,256 | ||||||||||
Aveanna Healthcare LLC | ||||||||||||
4.250%, due 07/15/28 (1 Month U.S. LIBOR + 3.750%) | 113,301 | 112,957 | ||||||||||
Aveanna Healthcare LLC | ||||||||||||
4.500%, due 07/15/28 (1 Month U.S. LIBOR + 3.750%) | 26,415 | 26,335 | ||||||||||
Aventiv Technologies LLC | ||||||||||||
5.500%, due 11/01/24 (3 Month U.S. LIBOR + 4.500%) | 47,759 | 46,565 | ||||||||||
Bally's Corp. | ||||||||||||
3.750%, due 10/01/28 (1 Month U.S. LIBOR + 3.250%) | 100,000 | 100,173 | ||||||||||
Berry Global, Inc. | ||||||||||||
1.864%, due 07/01/26 (2 Month U.S. LIBOR + 1.750%) | 440,100 | 437,789 | ||||||||||
Blackhawk Network Holdings, Inc. | ||||||||||||
3.104%, due 06/15/25 (1 Month U.S. LIBOR + 3.000%) | 107,401 | 106,871 | ||||||||||
Brown Group Holding LLC | ||||||||||||
3.000%, due 06/07/28 (3 Month U.S. LIBOR + 2.500%) | 104,371 | 104,306 | ||||||||||
Burlington Coat Factory Warehouse Corp. | ||||||||||||
2.110%, due 06/24/28 (1 Month U.S. LIBOR + 2.000%) | 189,050 | 188,301 | ||||||||||
Camelot US Acquisition LLC | ||||||||||||
4.000%, due 10/31/26 (1 Month U.S. LIBOR + 3.000%) | 108,900 | 108,968 | ||||||||||
Carnival Corp. | ||||||||||||
3.750%, due 06/30/25 (6 Month U.S. LIBOR + 3.000%) | 318,410 | 316,420 | ||||||||||
Carnival Corp. | ||||||||||||
4.000%, due 10/18/28 (6 Month U.S. LIBOR + 3.250%) | 280,000 | 278,134 | ||||||||||
Castle US Holding Corp. | ||||||||||||
3.974%, due 01/31/27 (3 Month U.S. LIBOR + 3.750%) | 142,916 | 141,844 | ||||||||||
Cengage Learning, Inc. | ||||||||||||
5.750%, due 07/14/26 (6 Month U.S. LIBOR + 4.750%) | 179,550 | 180,270 | ||||||||||
Charter Communications Operating LLC | ||||||||||||
1.860%, due 02/01/27 (1 Month U.S. LIBOR + 1.750%) | 487,332 | 483,295 | ||||||||||
Charter Next Generation, Inc. | ||||||||||||
4.500%, due 12/01/27 (1 Month U.S. LIBOR + 3.750%) | 69,300 | 69,533 | ||||||||||
CHG Healthcare Services, Inc. | ||||||||||||
4.000%, due 09/30/28 (3 Month U.S. LIBOR + 3.500%) | 109,725 | 109,876 | ||||||||||
CHG PPC Parent LLC | ||||||||||||
3.500%, due 12/08/28 (1 Month U.S. LIBOR + 3.000%) | 95,000 | 94,822 | ||||||||||
Clarios Global LP | ||||||||||||
3.354%, due 04/30/26 (1 Month U.S. LIBOR + 3.250%) | 548,645 | 546,519 | ||||||||||
Clean Harbors, Inc. | ||||||||||||
2.104%, due 10/08/28 (1 Month U.S. LIBOR + 2.000%) | 100,000 | 100,063 | ||||||||||
ClubCorp Holdings, Inc. | ||||||||||||
2.974%, due 09/18/24 (3 Month U.S. LIBOR + 2.750%) | 24,234 | 23,389 | ||||||||||
Cornerstone OnDemand, Inc. | ||||||||||||
4.250%, due 10/15/28 (6 Month U.S. LIBOR + 3.750%) | 185,000 | 184,702 | ||||||||||
CP Atlas Buyer, Inc. | ||||||||||||
4.250%, due 11/23/27 (1 Month U.S. LIBOR + 3.750%) | 119,108 | 118,751 | ||||||||||
CQP Holdco LP | ||||||||||||
4.250%, due 06/04/28 (3 Month U.S. LIBOR + 3.750%) | 181,399 | 181,209 | ||||||||||
Cvent, Inc. | ||||||||||||
3.854%, due 11/30/24 (1 Month U.S. LIBOR + 3.750%) | 39,029 | 39,016 | ||||||||||
Dcert Buyer, Inc. | ||||||||||||
4.104%, due 10/16/26 (1 Month U.S. LIBOR + 4.000%) | 79,194 | 79,144 | ||||||||||
Deerfield Dakota Holding LLC | ||||||||||||
4.750%, due 04/09/27 (1 Month U.S. LIBOR + 3.750%) | 103,450 | 103,701 | ||||||||||
Directv Financing LLC | ||||||||||||
5.750%, due 08/02/27 (1 Month U.S. LIBOR + 5.000%) | 59,916 | 60,048 | ||||||||||
EAB Global, Inc. | ||||||||||||
4.000%, due 08/16/28 (1 Month U.S. LIBOR + 3.500%) | 169,575 | 168,869 | ||||||||||
4.000%, due 08/16/28 (3 Month U.S. LIBOR + 3.500%) | 425 | 423 | ||||||||||
EG Finco Ltd. | ||||||||||||
4.224%, due 02/05/25 (3 Month U.S. LIBOR + 4.000%) | 27,932 | 27,864 | ||||||||||
Endurance International Group Holdings, Inc. | ||||||||||||
4.250%, due 02/10/28 (6 Month U.S. LIBOR + 3.500%) | 154,225 | 153,141 | ||||||||||
Envision Healthcare Corp. | ||||||||||||
3.854%, due 10/10/25 (1 Month U.S. LIBOR + 3.750%) | 49,356 | 39,871 | ||||||||||
Filtration Group Corp. | ||||||||||||
3.104%, due 03/29/25 (1 Month U.S. LIBOR + 3.000%) | 119,778 | 118,936 | ||||||||||
Finastra USA, Inc. | ||||||||||||
4.500%, due 06/13/24 (6 Month U.S. LIBOR + 3.500%) | 59,903 | 59,716 | ||||||||||
Finastra USA, Inc. | ||||||||||||
8.250%, due 06/13/25 (6 Month U.S. LIBOR + 7.250%) | 20,000 | 20,002 | ||||||||||
First Student Bidco, Inc. | ||||||||||||
3.500%, due 07/21/28 (3 Month U.S. LIBOR + 3.000%) | 124,167 | 123,804 | ||||||||||
First Student Bidco, Inc. | ||||||||||||
3.500%, due 07/21/28 (3 Month U.S. LIBOR + 3.000%) | 45,833 | 45,700 | ||||||||||
Flex Acquisition Co., Inc. | ||||||||||||
3.131%, due 06/29/25 (3 Month U.S. LIBOR + 3.000%) | 14,757 | 14,645 | ||||||||||
Gainwell Acquisition Corp. | ||||||||||||
4.750%, due 10/01/27 (3 Month U.S. LIBOR + 4.000%) | 237,910 | 238,832 | ||||||||||
Genesys Cloud Services Holdings II LLC | ||||||||||||
4.750%, due 12/01/27 (1 Month U.S. LIBOR + 4.000%) | 229,596 | 230,673 | ||||||||||
Gogo Intermediate Holdings LLC | ||||||||||||
4.500%, due 04/30/28 (3 Month U.S. LIBOR + 3.750%) | 64,675 | 64,750 | ||||||||||
Graham Packaging Co., Inc. | ||||||||||||
3.750%, due 08/04/27 (1 Month U.S. LIBOR + 3.000%) | 72,924 | 72,821 | ||||||||||
Great Outdoors Group LLC | ||||||||||||
4.500%, due 03/05/28 (3 Month U.S. LIBOR + 3.750%) | 193,064 | 193,526 | ||||||||||
H-Food Holdings LLC | ||||||||||||
3.792%, due 05/31/25 (1 Month U.S. LIBOR + 3.688%) | 53,821 | 53,552 | ||||||||||
Hilton Grand Vacations Borrower LLC | ||||||||||||
3.500%, due 08/02/28 (1 Month U.S. LIBOR + 3.000%) | 84,788 | 84,989 | ||||||||||
Hilton Worldwide Finance LLC | ||||||||||||
1.852%, due 06/21/26 (1 Month U.S. LIBOR + 1.750%) | 160,000 | 158,862 | ||||||||||
ICON Luxembourg Sarl | ||||||||||||
2.750%, due 07/01/28 (3 Month U.S. LIBOR + 2.250%) | 267,467 | 267,893 | ||||||||||
Intelsat Jackson Holdings SA | ||||||||||||
5.750%, due 07/13/22 (3 Month U.S. LIBOR + 4.750%) | 23,748 | 23,785 | ||||||||||
Intelsat Jackson Holdings SA | ||||||||||||
8.000%, due 11/27/23 (Prime + 4.750%) | 115,382 | 115,405 | ||||||||||
ION Trading Finance Ltd. | ||||||||||||
4.974%, due 04/01/28 (6 Month U.S. LIBOR + 4.750%) | 238,800 | 239,729 | ||||||||||
Jazz Financing Lux Sarl | ||||||||||||
4.000%, due 05/05/28 (1 Month U.S. LIBOR + 3.500%) | 567,550 | 570,354 | ||||||||||
JELD-WEN, Inc. | ||||||||||||
2.340%, due 07/31/28 (1 Month U.S. LIBOR + 2.250%) | 65,000 | 65,041 | ||||||||||
KFC Holding Co. | ||||||||||||
1.854%, due 03/15/28 (1 Month U.S. LIBOR + 1.750%) | 375,286 | 375,286 | ||||||||||
KRATON Polymers US LLC | ||||||||||||
3.750%, due 11/18/28 (1 Month U.S. LIBOR + 3.250%) | 60,000 | 60,113 | ||||||||||
Kronos Acquisition Holdings, Inc. | ||||||||||||
4.250%, due 12/22/26 (3 Month U.S. LIBOR + 3.750%) | 90,233 | 87,823 | ||||||||||
4.250%, due 12/22/26 (1 Month U.S. LIBOR + 3.750%) | 38,467 | 37,439 | ||||||||||
Level 3 Financing, Inc. | ||||||||||||
1.854%, due 03/01/27 (1 Month U.S. LIBOR + 1.750%) | 337,328 | 333,533 | ||||||||||
LifePoint Health, Inc. | ||||||||||||
3.852%, due 11/16/25 (1 Month U.S. LIBOR + 3.750%) | 99,520 | 99,569 | ||||||||||
Lumen Technologies, Inc. | ||||||||||||
2.340%, due 03/15/27 (1 Month U.S. LIBOR + 2.250%) | 490,000 | 485,066 | ||||||||||
Lummus Technology Holdings V LLC | ||||||||||||
3.604%, due 06/30/27 (1 Month U.S. LIBOR + 3.500%) | 80,104 | 79,743 | ||||||||||
Marriott Ownership Resorts, Inc. | ||||||||||||
1.854%, due 08/31/25 (1 Month U.S. LIBOR + 1.750%) | 155,000 | 152,870 | ||||||||||
Messer Industries USA, Inc. | ||||||||||||
2.724%, due 03/01/26 (3 Month U.S. LIBOR + 2.500%) | 16,399 | 16,295 | ||||||||||
MillerKnoll, Inc. | ||||||||||||
2.125%, due 07/19/28 (1 Month U.S. LIBOR + 2.000%) | 164,588 | 164,622 | ||||||||||
Mirion Technologies US, Inc. | ||||||||||||
3.250%, due 10/20/28 (6 Month U.S. LIBOR + 2.750%) | 74,850 | 74,796 | ||||||||||
Mister Car Wash Holdings, Inc. | ||||||||||||
3.102%, due 05/14/26 (1 Month U.S. LIBOR + 3.000%) | 47,633 | 47,436 | ||||||||||
Mitchell International, Inc. | ||||||||||||
4.250%, due 10/15/28 (1 Month U.S. LIBOR + 3.750%) | 320,000 | 318,600 | ||||||||||
Mozart Borrower LP | ||||||||||||
3.750%, due 10/21/28 (1 Month U.S. LIBOR + 3.250%) | 80,000 | 80,072 | ||||||||||
Nouryon USA LLC | ||||||||||||
3.102%, due 10/01/25 (1 Month U.S. LIBOR + 3.000%) | 69,489 | 69,337 | ||||||||||
Olympus Water US Holding Corp. | ||||||||||||
4.250%, due 11/09/28 (1 Month U.S. LIBOR + 3.750%) | 85,000 | 84,841 | ||||||||||
OneDigital Borrower LLC | ||||||||||||
4.750%, due 11/16/27 (1 Month SOFR Rate + 4.250%) | 265,000 | 264,834 | ||||||||||
Organon & Co. | ||||||||||||
3.500%, due 06/02/28 (6 Month U.S. LIBOR + 3.000%) | 318,522 | 319,284 | ||||||||||
Pacific Gas and Electric Co. | ||||||||||||
3.500%, due 01/01/22 (3 Month U.S. LIBOR + 3.000%) | 73,875 | 73,229 | ||||||||||
Packers Holdings LLC | ||||||||||||
4.000%, due 03/09/28 (3 Month U.S. LIBOR + 3.250%) | 114,147 | 113,576 | ||||||||||
Padagis LLC | ||||||||||||
5.250%, due 07/06/28 (3 Month U.S. LIBOR + 4.750%) | 136,471 | 136,044 | ||||||||||
Peraton Corp. | ||||||||||||
4.500%, due 02/01/28 (1 Month U.S. LIBOR + 3.750%) | 129,025 | 129,301 | ||||||||||
Petco Health & Wellness Co., Inc. | ||||||||||||
4.000%, due 03/04/28 (3 Month U.S. LIBOR + 3.250%) | 133,988 | 133,998 | ||||||||||
PetSmart, Inc. | ||||||||||||
4.500%, due 02/12/28 (6 Month U.S. LIBOR + 3.750%) | 74,813 | 75,023 | ||||||||||
Pilot Travel Centers LLC | ||||||||||||
2.104%, due 08/06/28 (1 Month U.S. LIBOR + 2.000%) | 379,213 | 377,451 | ||||||||||
PRA Health Sciences, Inc. | ||||||||||||
2.750%, due 07/01/28 (3 Month U.S. LIBOR + 2.250%) | 66,640 | 66,746 | ||||||||||
Pretium PKG Holdings, Inc. | ||||||||||||
4.500%, due 10/01/28 (6 Month U.S. LIBOR + 4.000%) | 180,000 | 179,899 | ||||||||||
Proofpoint, Inc. | ||||||||||||
3.750%, due 08/31/28 (3 Month U.S. LIBOR + 3.250%) | 140,000 | 139,639 | ||||||||||
Radiate Holdco LLC | ||||||||||||
4.000%, due 09/25/26 (1 Month U.S. LIBOR + 3.250%) | 120,000 | 119,750 | ||||||||||
Radiology Partners, Inc. | ||||||||||||
4.354%, due 07/09/25 (1 Month U.S. LIBOR + 4.250%) | 65,552 | 64,723 | ||||||||||
4.360%, due 07/09/25 (1 Month U.S. LIBOR + 4.250%) | 56,204 | 55,494 | ||||||||||
Redstone Holdco 2 LP | ||||||||||||
5.500%, due 04/27/28 (3 Month U.S. LIBOR + 4.750%) | 69,825 | 66,901 | ||||||||||
Rentpath LLC | ||||||||||||
7.000%, due 12/31/22 (Prime + 3.750%) (f) | 4,193 | 1,069 | ||||||||||
RH | ||||||||||||
3.000%, due 10/20/28 (1 Month U.S. LIBOR + 2.500%) | 159,600 | 159,480 | ||||||||||
Sabre GLBL, Inc. | ||||||||||||
4.000%, due 12/17/27 (1 Month U.S. LIBOR + 3.500%) | 48,128 | 47,587 | ||||||||||
Sabre GLBL, Inc. | ||||||||||||
4.000%, due 12/17/27 (1 Month U.S. LIBOR + 3.500%) | 30,188 | 29,848 | ||||||||||
SBA Senior Finance II LLC | ||||||||||||
1.850%, due 04/11/25 (1 Month U.S. LIBOR + 1.750%) | 444,773 | 440,535 | ||||||||||
SCIH Salt Holdings, Inc. | ||||||||||||
4.750%, due 03/16/27 (6 Month U.S. LIBOR + 4.000%) | 177,445 | 176,003 | ||||||||||
Sedgwick Claims Management Services, Inc. | ||||||||||||
3.854%, due 09/03/26 (1 Month U.S. LIBOR + 3.750%) | 29,250 | 29,260 | ||||||||||
Setanta Aircraft Leasing DAC | ||||||||||||
2.140%, due 11/05/28 (3 Month U.S. LIBOR + 2.000%) | 100,000 | 100,062 | ||||||||||
Solera LLC | ||||||||||||
4.500%, due 06/04/28 (1 Month U.S. LIBOR + 4.000%) | 239,400 | 239,686 | ||||||||||
Sophia LP | ||||||||||||
4.250%, due 10/07/27 (3 Month U.S. LIBOR + 3.500%) | 138,603 | 138,724 | ||||||||||
Southwestern Energy Co. | ||||||||||||
3.250%, due 12/07/28 (3 Month SOFR Rate + 2.500%) | 110,000 | 110,344 | ||||||||||
Spin Holdco, Inc. | ||||||||||||
4.750%, due 03/04/28 (3 Month U.S. LIBOR + 4.000%) | 94,525 | 94,945 | ||||||||||
SRS Distribution, Inc. | ||||||||||||
4.250%, due 06/02/28 (6 Month U.S. LIBOR + 3.750%) | 109,725 | 109,642 | ||||||||||
Standard Industries, Inc. | ||||||||||||
3.000%, due 09/22/28 (3 Month U.S. LIBOR + 2.500%) | 16,006 | 16,040 | ||||||||||
Sunset Debt Merger Sub, Inc. | ||||||||||||
4.750%, due 10/06/28 (1 Month U.S. LIBOR + 4.000%) | 240,000 | 238,350 | ||||||||||
Surf Holdings LLC | ||||||||||||
3.690%, due 03/05/27 (3 Month U.S. LIBOR + 3.500%) | 108,351 | 107,673 | ||||||||||
Team Health Holdings, Inc. | ||||||||||||
3.750%, due 02/06/24 (1 Month U.S. LIBOR + 2.750%) | 24,486 | 23,482 | ||||||||||
The Edelman Financial Engines Center LLC | ||||||||||||
4.250%, due 04/07/28 (1 Month U.S. LIBOR + 3.500%) | 73,031 | 73,082 | ||||||||||
The EW Scripps Co. | ||||||||||||
3.313%, due 05/01/26 (1 Month U.S. LIBOR + 2.563%) | 33,092 | 33,095 | ||||||||||
The Hertz Corp. | ||||||||||||
3.750%, due 06/30/28 (1 Month U.S. LIBOR + 3.250%) | 139,201 | 139,501 | ||||||||||
The Hertz Corp. | ||||||||||||
3.750%, due 06/30/28 (1 Month U.S. LIBOR + 3.250%) | 25,660 | 25,715 | ||||||||||
The Hillman Group, Inc. | ||||||||||||
3.250%, due 07/14/28 (1 Month U.S. LIBOR + 2.750%) | 49,202 | 49,097 | ||||||||||
The Hillman Group, Inc. | ||||||||||||
3.250%, due 07/14/28 (1 Month U.S. LIBOR + 2.750%) | 11,812 | 11,787 | ||||||||||
Titan Acquisition Ltd. | ||||||||||||
3.354%, due 03/28/25 (6 Month U.S. LIBOR + 3.000%) | 44,084 | 43,426 | ||||||||||
TK Elevator US Newco, Inc. | ||||||||||||
4.000%, due 07/31/27 (6 Month U.S. LIBOR + 3.500%) | 192,575 | 192,949 | ||||||||||
Trans Union LLC | ||||||||||||
2.750%, due 12/01/28 (3 Month U.S. LIBOR + 2.250%) | 195,000 | 194,756 | ||||||||||
TransDigm, Inc. | ||||||||||||
2.354%, due 12/09/25 (1 Month U.S. LIBOR + 2.250%) | 181,755 | 179,518 | ||||||||||
Traverse Midstream Partners LLC | ||||||||||||
5.250%, due 09/27/24 (3 Month SOFR Rate + 4.250%) | 58,708 | 58,562 | ||||||||||
TricorBraun Holdings, Inc. | ||||||||||||
3.750%, due 03/03/28 (1 Month U.S. LIBOR + 3.250%) | 74,648 | 74,212 | ||||||||||
UFC Holdings LLC | ||||||||||||
3.500%, due 04/29/26 (6 Month U.S. LIBOR + 2.750%) | 161,748 | 161,315 | ||||||||||
United Airlines, Inc. | ||||||||||||
4.500%, due 04/21/28 (3 Month U.S. LIBOR + 3.750%) | 467,197 | 469,930 | ||||||||||
United Natural Foods, Inc. | ||||||||||||
3.354%, due 10/22/25 (1 Month U.S. LIBOR + 3.250%) | 14,213 | 14,235 | ||||||||||
Univision Communications, Inc. | ||||||||||||
4.000%, due 03/24/26 (1 Month U.S. LIBOR + 3.250%) | 159,200 | 159,760 | ||||||||||
Verscend Holding Corp. | ||||||||||||
4.104%, due 08/27/25 (1 Month U.S. LIBOR + 4.000%) | 74,625 | 74,700 | ||||||||||
WestJet Airlines Ltd. | ||||||||||||
4.000%, due 12/11/26 (6 Month U.S. LIBOR + 3.000%) | 68,514 | 66,712 | ||||||||||
Whatabrands LLC | ||||||||||||
3.750%, due 08/03/28 (1 Month U.S. LIBOR + 3.250%) | 280,000 | 279,411 | ||||||||||
WMG Acquisition Corp. | ||||||||||||
2.229%, due 01/20/28 (1 Month U.S. LIBOR + 2.125%) | 190,000 | 189,549 | ||||||||||
Worldwide Express, Inc. | ||||||||||||
5.000%, due 07/26/28 (3 Month U.S. LIBOR + 4.250%) | 65,000 | 65,257 | ||||||||||
WR Grace Holdings LLC | ||||||||||||
4.250%, due 09/22/28 (3 Month U.S. LIBOR + 3.750%) | 160,000 | 160,480 | ||||||||||
Zayo Group Holdings, Inc. | ||||||||||||
3.090%, due 03/09/27 (1 Month U.S. LIBOR + 3.000%) | 59,336 | 58,637 | ||||||||||
Zebra Buyer LLC | ||||||||||||
3.750%, due 11/02/28 (3 Month U.S. LIBOR + 3.250%) | 102,016 | 102,399 | ||||||||||
Zelis Payments Buyer, Inc. | ||||||||||||
3.599%, due 09/30/26 (1 Month U.S. LIBOR + 3.500%) | 160,927 | 160,274 | ||||||||||
Zelis Payments Buyer, Inc. | ||||||||||||
3.631%, due 09/30/26 (1 Month U.S. LIBOR + 3.500%) | 58,667 | 58,428 | ||||||||||
Total Bank Loans (Cost $22,068,435) | 22,099,425 |
Shares | ||||||||
COMMON STOCKS - 0.9% | ||||||||
Consumer Discretionary - 0.1% | ||||||||
General Motors Co. (g) | 5,717 | 335,188 | ||||||
Financials - 0.5% | ||||||||
CIT Group, Inc. | 3,943 | 202,434 | ||||||
Credit Agricole SA | 14,789 | 211,307 | ||||||
Credit Suisse Group AG - ADR | 15,052 | 145,101 | ||||||
Societe Generale SA | 6,663 | 229,130 | ||||||
Synovus Financial Corp. | 4,391 | 210,197 | ||||||
US Bancorp | 5,836 | 327,808 | ||||||
1,325,977 | ||||||||
Industrials - 0.2% | ||||||||
Delta Air Lines, Inc. (g) | 5,520 | 215,722 | ||||||
The Boeing Co. (g) | 2,298 | 462,633 | ||||||
678,355 | ||||||||
Real Estate - 0.1% | ||||||||
Americold Realty Trust | 8,227 | 269,763 | ||||||
Total Common Stocks (Cost $2,620,565) | 2,609,283 | |||||||
PREFERRED STOCKS - 1.6% | ||||||||
Communication Services - 0.1% | ||||||||
2020 Cash Mandatory Exchangeable Trust CVRT (d)(f) | 240 | 250,850 | ||||||
Financials - 0.2% | ||||||||
Stifel Financial Corp. (a) | 6,550 | 169,055 | ||||||
US Bancorp (c) | 175 | 168,000 | ||||||
Valley National Bancorp (c) | 5,475 | 139,339 | ||||||
Wells Fargo & Co. (c) | 4,300 | 115,197 | ||||||
591,591 | ||||||||
Health Care - 0.2% | ||||||||
Becton Dickinson and Co. CVRT (a) | 2,150 | 113,413 | ||||||
Danaher Corp. CVRT | 160 | 351,040 | ||||||
464,453 | ||||||||
Industrials - 0.1% | ||||||||
Stanley Black & Decker, Inc. CVRT (a) | 2,100 | 229,299 | ||||||
Information Technology - 0.1% | ||||||||
Broadcom, Inc. CVRT | 190 | 394,324 | ||||||
Sabre Corp. CVRT, due 09/01/23 | 400 | 45,908 | ||||||
440,232 | ||||||||
Utilities - 0.9% | ||||||||
Algonquin Power & Utilities Corp. CVRT | 5,050 | 238,562 | ||||||
American Electric Power Co., Inc. CVRT | 6,600 | 347,160 | ||||||
Dominion Energy, Inc. CVRT | 4,200 | 422,688 | ||||||
DTE Energy Co. CVRT | 7,050 | 361,947 | ||||||
NextEra Energy, Inc. CVRT | 6,300 | 428,967 | ||||||
NextEra Energy, Inc. CVRT | 6,600 | 379,764 | ||||||
NextEra Energy, Inc. CVRT | 3,500 | 202,685 | ||||||
The Southern Co. CVRT | 6,900 | 370,875 | ||||||
2,752,648 | ||||||||
Total Preferred Stocks (Cost $4,265,777) | 4,729,073 |
PURCHASED OTC OPTIONS - 0.0% (b) | Contracts | Notional Amount | ||||||||||
Currency Put Options - 0.0% (b) | ||||||||||||
Canadian Dollar, 4/11/22 at 1.215 Counterparty: Goldman Sachs Bank, USA | 2,415,000 | $ | 2,415,000 | 5,052 | ||||||||
Equity Put Options - 0.0% (b) | ||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF, 3/18/22 at $80.50 Counterparty: Citigroup | 150,572 | 13,101,270 | 31,826 | |||||||||
Total Purchased OTC Options (Cost $104,887) | 36,878 |
AFFILIATED REGISTERED INVESTMENT COMPANIES - 7.0% | Shares | |||||||||||
Voya Emerging Markets Hard Currency Debt Fund - Class P | 546,707 | 5,128,114 | ||||||||||
Voya Floating Rate Fund - Class P | 1,337,945 | 12,081,644 | ||||||||||
Voya High Yield Bond Fund - Class P | 493,891 | 3,965,944 | ||||||||||
Total Affiliated Registered Investment Companies (Cost $21,385,048) | 21,175,702 | |||||||||||
Total Investments at Value - 96.6% (Cost $293,710,804) | 293,106,026 | |||||||||||
Other Assets in Excess of Liabilities - 3.4% | 10,240,330 | |||||||||||
Net Assets - 100.0% | $ | 303,346,356 |
Percentages are stated as a percent of net assets.
(a) | This security or a partial position of this security is on loan at December 31, 2021. The total fair value of securities on loan at December 31, 2021, was $4,766,653 (Note 8). |
(b) | Represents less than 0.1%. |
(c) | Variable rate security based on a reference index and spread. The rate listed is as of December 31, 2021. |
(d) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other ‘‘qualified institutional buyers.’’ As of December 31, 2021, the value of these investments was $114,907,434, or 37.9% of total net assets. |
(e) | Variable rate security. The coupon is based on an underlying pool of loans. The rate listed is as of December 31, 2021. |
(f) | Illiquid security. The total fair value of such securities is $3,958,048 as of December 31, 2021, representing 1.3% of net assets. |
(g) | Non-income producing security. |
ADR | American Depository Receipt |
CVRT | Convertible Security |
REMIC | Real Estate Mortgage Investment Conduit |
CMT | Constant Maturity U.S. Treasury |
LIBOR | London Interbank Offered Rate |
EURIBOR | Euro Interbank Offered Rate |
NIBOR | Norwegian Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
SONIA | Sterling Overnight Interbank Average Rate |
ETF | Exchange-Traded Fund |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CNY | Chinese Yuan |
COP | Colombian Peso |
EUR | Euro |
GBP | British Pound |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
JPY | Japanese Yen |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PHP | Philippine Peso |
SGD | Singapore Dollar |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Directors of
Wilshire Mutual Funds, Inc.
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the condensed schedules of investments and schedules of total return swaps, futures contracts, forward foreign currency contracts, written options, interest rate swaptions, centrally cleared credit default swaps, centrally cleared interest rate swaps, and over the counter exchange rate volatility swaps, of Wilshire Mutual Funds, Inc. comprising Large Company Growth Portfolio, Large Company Value Portfolio, Small Company Growth Portfolio, Small Company Value Portfolio, Wilshire 5000 IndexSM Fund, Wilshire International Equity Fund, and Wilshire Income Opportunities Fund (“the Funds”) and the schedules of investments (included in Item 6 of Form N-CSR) as of December 31, 2021, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the related notes, and the financial highlights for each of the five years in the period then ended (included in Item 1 of Form N-CSR) (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the each of the Funds as of December 31, 2021, the results of their operations for the year then ended, the changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements 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 are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, 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. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian, agent banks, counterparties and brokers; when replies were not received from counterparties, brokers, or agent banks, we performed other appropriate auditing procedures. 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. We believe that our audits provide a reasonable basis for our opinion.
We have served as the Funds’ auditor since 2017.
COHEN & COMPANY, LTD.
Cleveland, Ohio
March 1, 2022
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors.
Item 11. Controls and Procedures.
(a) | The Registrant’s President and Treasurer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during 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 to open-end investment companies.
Item 13. Exhibits.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons: applicable to open-end investment companies.
(a)(4) Change in the registrant’s independent public accountants. There was no change in the registrant’s independent public accountant for the period covered by this report.
(b) Certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)): Attached hereto
Exhibit 99.CODE ETH
Code of Ethics
Exhibit 99.CERT
Certifications required by Rule 30a-2(a) under the Act
Exhibit 99.906CERT
Certifications required by Rule 30a-2(b) under the Act
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Wilshire Mutual Funds, Inc. | |
By (Signature and Title)* | /s/ Jason A. Schwarz | |
Jason A. Schwarz | ||
President and Principal Executive Officer | ||
Date | 3/3/2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Jason A. Schwarz | |
Jason A. Schwarz | ||
President and Principal Executive Officer | ||
Date | 3/3/2022 | |
By (Signature and Title)* | /s/ Michael Wauters | |
Michael Wauters | ||
Treasurer, Principal Financial Officer and Principal Accounting Officer | ||
Date | 3/3/2022 |