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: 811-07538
LORD ABBETT SECURITIES TRUST
(Exact name of Registrant as specified in charter)
90 Hudson Street, Jersey City, NJ 07302
(Address of principal executive offices) (Zip code)
Brooke A. Fapohunda, Esq., Vice President & Assistant Secretary
90 Hudson Street, Jersey City, NJ 07302
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 201-6984
Date of fiscal year end: 10/31
Date of reporting period: 10/31/2017
| Item 1: | | Report(s) to Shareholders. |
LORD ABBETT
ANNUAL REPORT
Lord Abbett
Alpha Strategy Fund
Fundamental Equity Fund
Global Core Equity Fund
Growth Leaders Fund
International Dividend Income Fund
International Equity Fund*
International Opportunities Fund
Value Opportunities Fund
For the fiscal year ended October 31, 2017
*Formerly International Core Equity Fund*
Table of Contents
Lord Abbett Securities Trust
Lord Abbett Alpha Strategy Fund, Lord Abbett Fundamental Equity Fund, Lord Abbett Global Core Equity Fund, Lord Abbett Growth Leaders Fund, Lord Abbett International Dividend Income Fund, Lord Abbett International Equity Fund, Lord Abbett International Opportunities Fund, and Lord Abbett Value Opportunities Fund
Annual Report
For the fiscal year ended October 31, 2017
From left to right: James L.L. Tullis, Independent Chairman of the Lord Abbett Funds and Daria L. Foster Trustee, President, and Chief Executive Officer of the Lord Abbett Funds.
Dear Shareholders: We are pleased to provide you with this overview of the performance of the Funds for the fiscal year ended October 31, 2017. On this page and the following pages, we discuss the major factors that influenced fiscal year performance. For detailed and more timely information about the Funds, please visit our website at www.lordabbett.com, where you also can access the quarterly commentaries that provide updates on each Fund’s performance and other portfolio related updates.
Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.
Best regards,
Daria L. Foster
Trustee, President and Chief Executive Officer
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Lord Abbett Alpha Strategy Fund
For the fiscal year ended October 31, 2017, the Fund returned 24.55%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark Russell 2000® Index1 which returned 27.85% over the same period.
Domestic equity returns were positive over the past year, with large cap stocks, as represented by the S&P 500® Index,2 rising 23.63% during the period while small cap stocks, as represented by the Russell 2000 Index,1 were up 27.85%. The major market-moving event during the period was the presidential election in November 2016, accompanied by Republicans maintaining control of both the House of Representatives and the Senate. The election results fueled expectations for increased infrastructure and defense spending, broad tax reform, and decreased regulations, which contributed to a strong U.S. market rally to finish 2016. In December 2016, the Federal Reserve (Fed) raised its target for short-term interest rates by 0.25%, to a range of 0.50%-0.75%, and indicated that it was targeting three rate hikes in 2017. The Fed followed with 0.25% rate hikes at its March and June meetings to a 1%-1.25% range. The U.S. economy continued to expand at a slow but steady pace during the trailing 12-month period, with domestic GDP growth ranging between 1.2% and 3.1%
from the third quarter of 2016 to the third quarter of 2017.
The Fund’s exposure to domestic small and mid (“smid”) and micro cap value equities detracted from relative performance, as each of these investment strategies underperformed their respective indexes, as well as the Fund’s benchmark index. Within the domestic smid cap value equity allocation, security selection in the information technology and industrials sectors detracted from performance relative to the underlying index. Similarly, stock selection in the industrials and consumer discretionary sectors in the domestic micro cap value strategy detracted from performance.
The Fund’s exposure to domestic micro cap growth equities contributed to performance, as this investment strategy outperformed its underlying index. Within this strategy, stock selection in the health care and consumer discretionary sectors contributed to the performance relative to the underlying index. Also contributing to the Fund’s relative performance was exposure to international small cap equities. Within this allocation, stock selection in the information technology and financials sectors contributed to performance.
Lord Abbett Fundamental Equity Fund
For the fiscal year ended October 31, 2017, the Fund returned 17.45%, reflecting performance at the net asset value (NAV)
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of Class A shares, with all distributions reinvested, compared to its benchmark, the Russell 1000® Value Index,3 which returned 17.78% over the same period.
Domestic equity returns were positive over the past year, with large cap stocks, as represented by the S&P 500® Index,2 rising 23.63% during the period while small cap stocks, as represented by the Russell 2000 Index®,1 were up 27.85%. The major market-moving event during the period was the presidential election in November 2016, accompanied by Republicans maintaining control of both the House of Representatives and the Senate. The election results fueled expectations for increased infrastructure and defense spending, broad tax reform, and decreased regulations, which contributed to a strong U.S. market rally to finish 2016. In December 2016, the Federal Reserve (Fed) raised its target for short-term interest rates by 0.25%, to a range of 0.50%-0.75%, and indicated that it was targeting three rate hikes in 2017. The Fed followed with 0.25% rate hikes at its March and June meetings to a 1%-1.25% range. The U.S. economy continued to expand at a slow but steady pace during the trailing 12-month period, with domestic GDP growth ranging between 1.2% and 3.1% from the third quarter of 2016 to the third quarter of 2017.
Despite a litany of geopolitical and environmental events, U.S. and international markets continued their steady ascent throughout 2017, propelled,
we believe, by positive economic growth and sentiment.
The Fund underperformed its index for the period. During the trailing 12-month period, the largest detractors from relative performance were the consumer discretionary and energy sectors. Within the consumer discretionary sector, shares of Limited Brands, Inc., an apparel and beauty company, dropped during the period due to mall traffic headwinds coupled with a bleak 2017 outlook. Another company affected by retailers’ shift to e-commerce was Target Corp., an operator of retail discount stores. Target saw its shares fall after the company posted conservative 2017 guidance to reflect a pause in consumer spending. Within the energy sector, shares of Occidental Petroleum Corp., an oil and gas exploration and production company, fell due to fear of suboptimal capital allocation. Specifically, investors worried that Occidental Petroleum was outspending its post-dividend cash flows to achieve production growth. Shares of Range Resources Corp., an independent natural gas, natural gas liquids and oil company, were hurt by the weakness in gas prices driven by above average winter temperatures. Shares further declined after the company posted disappointing third-quarter production guidance.
The largest contributors to relative performance during the trailing 12-month period were the industrials and the health care sectors. Within the industrials sector,
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the portfolio’s holding of CSX Corp., a rail-based freight transportation company, jumped in the beginning of 2017 due to speculation that Canadian Pacific’s former CEO, Hunter Harrison, would be installed as CEO via activism. Shares of CSX continued to rise due to the expectation that Harrison’s efforts are going to drive future positive performance. Shares of General Dynamics Corp., an aerospace and defense corporation, accelerated due to an increased demand for Gulfstream jets and expectations of higher defense spending. Within the health care sector, shares of UnitedHealth Group Inc., a diversified health care company, rose from strong performance and solid growth across all business lines. Shares of Abbott Laboratories, a diversified global medical products company, advanced in the beginning of 2017 after Abbott completed its acquisition of St. Jude Medical, Inc. and gained approval by the FDA for the Assurity MRI pacemaker and Tendril MRI pacing lead. Shares continue to rise after the company expanded its implantable cardioverter defibrillator market share with the MRI compatibility of its Ellipse ICD, and when the FDA approved FreeStyle Libre Flash Glucose Monitoring system.
Lord Abbett Global Core Equity Fund
For the period from January 17, 2017 to October 31, 2017, the Fund returned 15.80%, reflecting performance at the net asset value (NAV) of Class A Shares, with all
distributions reinvested, compared to its benchmark, the MSCI All Country World Index4, which returned 17.07% over the same period.
Over the period, global equity markets experienced significant positive performance, as most central banks remained accommodative, interest rates remained low, unemployment steadily declined, corporate earnings grew, and global economic growth accelerated. Overall, European markets (as measured by the Euro Stoxx 505) rose roughly 31.0% in U.S. dollars for the period, while Japan’s Nikkei 2256 rose 28.7%.
At its December 2016 meeting, the Federal Reserve (Fed) raised interest rates for the second time since the financial crisis to a range between 0.50%-0.75%, after indicating that “the labor market has continued to strengthen and that economic activity has been expanding at a moderate pace”. The Fed continued with 0.25% rate hikes at its March and June meetings, bringing the fed funds rate to a range between 1.00%-1.25%. At its September meeting, the Fed left rates unchanged, and confirmed its 2017 and 2018 year-end fed funds rate forecasts of 1.4% and 2.1%, respectively, while lowering its 2019 outlook to 2.7%, from 2.9% at its June meeting. Additionally, the Fed indicated that in October of 2017 it would begin its much anticipated balance sheet normalization process by paring down the size of its balance sheet. Meanwhile, other central banks have continued their accommodative
4
policies. The European Central Bank (ECB) kept its benchmark rate unchanged at 0%, since March 2016, and at its October 2017 meeting, the ECB extended its asset purchase program at a monthly pace of €30 billion until the end of September 2018 “or beyond, if necessary”, from a previous rate of €60 billion a month. The Bank of Japan (BoJ) also maintained its stimulative monetary policy as short term interest rates remained unchanged, at -0.1%, at its October 2017 meeting, and the bank kept its 10-year government bond yield target at around 0%. The BoJ also reduced its inflation forecast to 0.8% for fiscal 2017 from the previous estimate of 1.1%.
Donald Trump’s U.S. presidential election in November 2016 coincided with the start of rising equity markets, as Trump’s “America First” policy focused on lower taxes, lower regulation, “smart trade” policy, and less government spending, fueling global growth optimism. Unemployment steadily declined in most developed countries, falling to 8.9% in the Euro area, 4.1% in the United States, 2.8% in Japan, and 3.95% in China, all multiyear lows. GDP growth has remained positive in most developed countries, while inflation remained subdued, allowing central banks to continue their stimulative monetary policies with global stock markets as the beneficiaries.
Although volatility, as measured by the VIX index, has remained near all-time low levels for most of the year, sources of
tension throughout the year have come from nuclear threats from North Korea, continued turmoil in the middle-east, populist and independence forces in Europe, and remaining uncertainty regarding “Brexit”.
During the period, the Fund’s underperformance relative to the benchmark was driven by the consumer staples and information technology sectors. Within the consumer staples sector, holdings of Kroger Co. detracted from relative performance. Shares of the supermarket and convenience store operator fell, as the company faced new competition after Amazon Inc. purchased Whole Foods Market Inc.. An underweight position in Nestle S.A. also detracted from relative performance as the company’s stock rose throughout the year. The multinational packaged food company’s stock advanced as new CEO Mark Schneider implemented a cost-saving program and set new targets for profit margins at the firm.
Within the information technology sector, an underweight position in Microsoft Corp. detracted from relative performance. The software company’s stock rose as the company reported fiscal first quarter earnings that showed revenue and margins meaningfully above consensus expectations, as well as significant growth in the company’s cloud business.
Conversely, stock selection within materials and telecom services positively
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contributed to relative performance. Within the materials sector, shares of Owens Illinois, Inc. contributed to performance as the company’s stock rose. The glass packaging products manufacturer reported earnings that beat both consensus expectations and company guidance throughout the year, and operating margins at the highest levels in almost 15 years. Additionally, shares of Mitsubishi Chemicals Holdings also contributed positively to performance. The Japanese basic and diversified chemicals holding company’s stock rose as the company raised its profit expectations for the first half and full year of 2017, and raised its full year dividend forecast, driven by higher chemical prices and better performance in its products segment.
Within the telecom services sector, holdings of Softbank Group Corp. contributed positively to relative performance. The Japanese telecommunication services provider benefited as the company demonstrated that it was driving rapid technological innovation around the world through its various investments and via its Vision Fund.
Lord Abbett Growth Leaders Fund
For the fiscal year ended October 31, 2017, the Fund returned 29.21%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the Russell 1000® Growth Index,3 which
returned 29.71% over the same period.
Domestic equity returns were positive over the past year, with large cap stocks, as represented by the S&P 500® Index,2 rising 23.63% during the period while small cap stocks, as represented by the Russell 2000® Index,1 were up 27.85%. The major market-moving event during the period was the presidential election in November 2016, accompanied by Republicans maintaining control of both the House of Representatives and the Senate. The election results fueled expectations for increased infrastructure and defense spending, broad tax reform, and decreased regulations, which contributed to a strong U.S. market rally to finish 2016. In December 2016, the Fed raised its target for short-term interest rates by 0.25%, to a range of 0.50%-0.75%, and indicated that it was targeting three rate hikes in 2017. The Federal Reserve (Fed) followed with 0.25% rate hikes at its March and June meetings to a 1%-1.25% range. The U.S. economy continued to expand at a slow but steady pace during the trailing 12-month period, with domestic GDP growth ranging between 1.2% and 3.1% from the third quarter of 2016 to the third quarter of 2017. Despite a litany of geopolitical and environmental events, U.S. and international markets continued their steady ascent throughout 2017, propelled by positive economic growth and sentiment.
Security selection in the materials and financials sectors detracted from the
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Fund’s performance relative to the benchmark. Within the materials sector, Cliffs Natural Resources, Inc., an operator of a natural resources and mining company, detracted. Shares of Cliffs Natural Resources fell after the company lowered its full-year 2017 earnings guidance. This was driven by increased competition in the lower grade ores, lower iron ore prices, and a preference shift in China towards higher quality ores. Shares of United States Steel Co., a manufacturer of steel products, detracted. U.S. Steel experienced operational challenges in the first quarter of 2017, and failed to meet consensus earnings estimates, as the company took on a multi-year revitalization program.
Within the financials sector, the Fund’s position in TD Ameritrade Holdings, a brokerage services and technology-based financial services company, detracted. Shares of TD Ameritrade declined as many of its largest peers reduced their commission rates, putting downward pressure on commissions for online brokers.
An underweight within the consumer staples sector and security selection in the information technology sector were the main contributors to the Fund’s relative performance during the period. Within the consumer staples sector, shares of Constellation Brands, Inc., a producer and distributor of various alcoholic beverage products, contributed to relative performance. Shares of Constellation Brands rose as the company’s growing beer
business was the primary driver of its fiscal second quarter 2018 earnings and revenues exceeding consensus estimates. The Fund also benefited from not owning Rite Aid Corporation, which is a constituent within the benchmark. Shares of Rite Aid were decimated by a multitude of adverse headlines and potential competition from Amazon in the pharmaceutical distribution industry.
Within the information technology sector, shares of Apple, Inc., a designer, manufacturer, and marketer of mobile communication, personal computing, and various other devices, contributed. Shares of Apple rose as consumers and investors awaited the launch of Apple’s latest device, the iPhone X.
Lord Abbett International Dividend Income Fund
For the fiscal year ended October 31, 2017, the Fund returned 17.68%, reflecting performance at the net asset value (NAV) of Class A Shares, with all distributions reinvested, compared to its benchmark, the MSCI All Country World ex U.S. High Dividend Yield Index with Gross Dividends8, which returned 21.37% over the same period.
Over the period, global equity markets experienced significant positive performance, as most central banks remained accommodative, interest rates remained low, unemployment steadily declined, corporate earnings grew, and global economic growth accelerated.
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Overall, European markets (as measured by the Euro Stoxx 50®5) rose roughly 31.0% in U.S. dollars for the period, while Japan’s Nikkei 2256 rose 28.68%.
At its December 2016 meeting, the Federal Reserve (Fed) raised interest rates for the second time since the financial crisis to a range between 0.50%-0.75%, after indicating that “the labor market has continued to strengthen and that economic activity has been expanding at a moderate pace”. The Fed continued with 0.25% rate hikes at its March and June meetings, bringing the fed funds rate to a range between 1.00%-1.25%. At its September meeting, the Fed left rates unchanged, and confirmed its 2017 and 2018 year-end fed funds rate forecasts of 1.4% and 2.1%, respectively, while lowering its 2019 outlook to 2.7%, from 2.9% at its June meeting. Additionally, the Fed indicated that in October of 2017 it would begin its much anticipated balance sheet normalization process by paring down the size of its balance sheet. Meanwhile, other central banks have continued their accommodative policies. The European Central Bank (ECB) kept its benchmark rate unchanged at 0%, since March 2016, and at its October 2017 meeting, the ECB extended its asset purchase program at a monthly pace of €30 billion until the end of September 2018 “or beyond, if necessary”, from a previous rate of €60 billion a month. The Bank of Japan (BoJ) also maintained its stimulative monetary policy as short term interest rates remained
unchanged, at -0.1%, at its October 2017 meeting, and the bank kept its 10-year government bond yield target at around 0%. The BoJ also reduced its inflation forecast to 0.8% for fiscal 2017 from the previous estimate of 1.1%.
Donald Trump’s U.S. presidential election in November 2016 coincided with the start of rising equity markets, as Trump’s “America First” policy focused on lower taxes, lower regulation, “smart trade” policy, and less government spending, fueling global growth optimism. Unemployment steadily declined in most developed countries, falling to 8.9% in the Euro area, 4.1% in the United States, 2.8% in Japan, and 3.95% in China, all multiyear lows. GDP growth has remained positive in most developed countries, while inflation remained subdued, allowing central banks to continue their stimulative monetary policies with global stock markets as the beneficiaries.
Although volatility, as measured by the VIX index, has remained near all-time low levels for most of the year, sources of tension throughout the year have come from nuclear threats from North Korea, continued turmoil in the middle-east, populist and independence forces in Europe, and remaining uncertainty regarding “Brexit”.
During the period, the Fund’s underperformance relative to the benchmark was driven by its sector weightings, specifically underweights in the financials and health care sectors, and
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stock selection within the utilities sector. An underweight to the financials sector hurt performance as the sector advanced throughout the year. The sector benefited from rising rates in the U.S. and steady global growth. The health care sector also advanced throughout the year as shares of several pharmaceutical companies rose throughout the year on expectations that a new health care bill would not be as damaging for health care as previously feared, and on hopes for a streamlined drug approval process.
Within the utilities sector, shares of Aes Tiete Energia Sa, a Brazilian power generation company, detracted from relative performance. The company’s stock declined as power demand growth remained disappointing and power reserve levels in Brazil remained at historically high levels. Additionally, an underweight position to Snam S.p.A., operator of an Italian natural gas distribution network, also detracted from relative performance as shares rose throughout the year. The company’s growth rate improved as it implemented a more ambitious capex program in its revised strategic plan while leaving open the possibility for future buybacks and higher dividends.
Conversely, stock selection within the financials and industrials sectors contributed to relative performance. Within the financials sector, shares of Indiabulls Housing Finance, an Indian housing finance company, rose as the company benefited from significant loan
growth while continuing to capitalize on the booming retail home loan segment in India. Additionally, DBS Group Holdings Ltd, a South Asia bank and financial services provider, also contributed to relative performance. The company’s stock benefitted from strong economic growth in Southeast Asia and China, where the company has a significant presence.
Within the industrials sector, shares of Air New Zealand, a provider of international and domestic air passenger and cargo transport services in the South-West Pacific contributed to relative performance as shares rose due to improvement in the utilization of its aircraft and a strong competitive position in the region. Additionally, Vinci S.A., a French construction and engineering firm, also contributed to relative performance. The company has continued to benefit from its strong position in the European road and airport segments and good visibility on future growth drivers.
Lord Abbett International Equity Fund
For the fiscal year ended October 31, 2017, the Fund returned 19.80%, reflecting performance at the net asset value (NAV) of Class A Shares, with all distributions reinvested, compared to its benchmark, the MSCI ACWI ex-U.S.A.® Index7, which returned 23.64% over the same period.
Over the period, global equity markets experienced significant positive performance, as most central banks remained accommodative, interest rates
9
remained low, unemployment steadily declined, corporate earnings grew, and global economic growth accelerated. Overall, European markets (as measured by the Euro Stoxx 50®5) rose roughly 31.0% in U.S. dollars for the period, while Japan’s Nikkei 2256 rose 28.68%.
At its December 2016 meeting, the Federal Reserve (Fed) raised interest rates for the second time since the financial crisis to a range between 0.50%-0.75%, after indicating that “the labor market has continued to strengthen and that economic activity has been expanding at a moderate pace”. The Fed continued with 0.25% rate hikes at its March and June meetings, bringing the fed funds rate to a range between 1.00%-1.25%. At its September meeting, the Fed left rates unchanged, and confirmed its 2017 and 2018 year-end fed funds rate forecasts of 1.4% and 2.1%, respectively, while lowering its 2019 outlook to 2.7%, from 2.9% at its June meeting. Additionally, the Fed indicated that in October of 2017 it would begin its much anticipated balance sheet normalization process by paring down the size of its balance sheet. Meanwhile, other central banks have continued their accommodative policies. The European Central Bank (ECB) kept its benchmark rate unchanged at 0%, since March 2016, and at its October 2017 meeting, the ECB extended its asset purchase program at a monthly pace of €30 billion until the end of September 2018 “or beyond, if necessary”, from a previous rate of €60
billion a month. The Bank of Japan (BoJ) also maintained its stimulative monetary policy as short term interest rates remained unchanged, at -0.1%, at its October 2017 meeting, and the bank kept its 10-year government bond yield target at around 0%. The BoJ also reduced its inflation forecast to 0.8% for fiscal 2017 from the previous estimate of 1.1%.
Donald Trump’s U.S. presidential election in November 2016 coincided with the start of rising equity markets, as Trump’s “America First” policy focused on lower taxes, lower regulation, “smart trade” policy, and less government spending, fueling global growth optimism. Unemployment steadily declined in most developed countries, falling to 8.9% in the Euro area, 4.1% in the United States, 2.8% in Japan, and 3.95% in China, all multiyear lows. GDP growth has remained positive in most developed countries, while inflation remained subdued, allowing central banks to continue their stimulative monetary policies with global stock markets as the beneficiaries.
Although volatility, as measured by the VIX index, has remained near all-time low levels for most of the year, sources of tension throughout the year have come from nuclear threats from North Korea, continued turmoil in the middle-east, populist and independence forces in Europe, and remaining uncertainty regarding “Brexit”.
During the period, the Fund’s underperformance relative to the
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benchmark was driven by sector weights, and stock selection, particularly within the consumer discretionary and information technology sectors. Within the consumer discretionary sector, an underweight position in Naspers detracted from relative performance. The South African electronic and print media holding company rose as the company benefited from strong growth in its holdings of Tencent Holdings Ltd. Additionally, shares of Subaru Corporation also detracted from relative performance. The Japanese motor vehicle manufacturer declined after it lowered its full year vehicle shipment target and reported second quarter 2017 earnings that were below market expectations and included a large increase in recall-related costs stemming from inappropriate inspections.
An underweight to the information technology sector also detracted from relative performance. The sector had the strongest performance in the index over the year as technology stocks led markets higher with generally strong balance sheets, large free cash flows, and benefits realized from expected tax changes on overseas earning.
Conversely, stock selection within the utilities and industrials sectors contributed to relative performance over the period. Within the utilities sector, shares of Enel S.p.A. contributed to relative performance. The multinational power company rose as it signaled that it was adding new renewal power generation capacity at a higher rate,
which would lead to higher earnings growth in the future. RWE AG, a German electricity generator, distributor, and trader, also contributed to relative performance. The company benefited as it reported earnings that suggested that full year adjusted net income would be at the top end of the previous guidance range and that net debt was lower than market expectations.
Within the Industrials sector, shares of Vinci S.a. a French construction and engineering firm, contributed to performance. The company has continued to benefit from its strong position in the European road and airport segments and good visibility on future growth drivers.
Lord Abbett International Opportunities Fund
For the fiscal year ended October 31, 2017, the Fund returned 30.38%, reflecting performance at the net asset value (NAV) of Class A Shares, with all distributions reinvested, compared to its benchmark, the S&P Developed Ex-U.S. SmallCap® Index,9 which returned 26.36% over the same period.
Over the period, global equity markets experienced significant positive performance, as most central banks remained accommodative, interest rates remained low, unemployment steadily declined, corporate earnings grew, and global economic growth accelerated. Overall, European markets (as measured by the Euro Stoxx 50®5) rose roughly 31.0% in
11
U.S. dollars for the period, while Japan’s Nikkei 2256 rose 28.68%.
At its December 2016 meeting, the Federal Reserve (Fed) raised interest rates for the second time since the financial crisis to a range between 0.50% - 0.75%, after indicating that “the labor market has continued to strengthen and that economic activity has been expanding at a moderate pace”. The Fed continued with 0.25% rate hikes at its March and June meetings, bringing the fed funds rate to a range between 1.00%-1.25%. At its September meeting, the Fed left rates unchanged, and confirmed its 2017 and 2018 year-end fed funds rate forecasts of 1.4% and 2.1%, respectively, while lowering its 2019 outlook to 2.7%, from 2.9% at its June meeting. Additionally, the Fed indicated that in October of 2017 it would begin its much anticipated balance sheet normalization process by paring down the size of its balance sheet. Meanwhile, other central banks have continued their accommodative policies. The European Central Bank (ECB) kept its benchmark rate unchanged at 0%, since March 2016, and at its October 2017 meeting, the ECB extended its asset purchase program at a monthly pace of €30 billion until the end of September 2018 “or beyond, if necessary”, from a previous rate of €60 billion a month. The Bank of Japan (BoJ) also maintained its stimulative monetary policy as short term interest rates remained unchanged, at -0.1%, at its October 2017 meeting, and the
bank kept its 10-year government bond yield target at around 0%. The BoJ also reduced its inflation forecast to 0.8% for fiscal 2017 from the previous estimate of 1.1%.
Donald Trump’s U.S. presidential election in November 2016 coincided with the start of rising equity markets, as Trump’s “America First” policy focused on lower taxes, lower regulation, “smart trade” policy, and less government spending, fueling global growth optimism. Unemployment steadily declined in most developed countries, falling to 8.9% in the Euro area, 4.1% in the United States, 2.8% in Japan, and 3.95% in China, all multiyear lows. GDP growth has remained positive in most developed countries, while inflation remained subdued, allowing central banks to continue their stimulative monetary policies with global stock markets as the beneficiaries.
Although volatility, as measured by the VIX index, has remained near all-time low levels for most of the year, sources of tension throughout the year have come from nuclear threats from North Korea, continued turmoil in the middle-east, populist and independence forces in Europe, and remaining uncertainty regarding “Brexit”.
Stock selection, most notably in the information technology and financials sectors, was the primary driver of relative outperformance during the period. Within the information technology sector, shares of Iqe PLC contributed to performance.
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Shares of the supplier of specially designed semiconductor wafers rose after it was understood that their chips would be included in Apple’s new iPhone. In addition, Vakrangee Ltd also contributed to performance. The Indian government and corporate software developer’s stock advanced as it was able to grow revenue by expanding its retail presence in India’s underserved rural markets during the period.
Within the financials sector, shares of Man Group plc contributed to performance over the period. The global provider of alternative investment products and solutions, advanced throughout the year as the company had strong net inflows into its products and announced a new share buyback program.
Conversely, stock selection in the energy and utilities sectors detracted from relative performance. Within the energy sector, Hilong Holding Ltd detracted from relative performance. Shares of the Chinese oil field equipment and services company declined as the company missed earnings expectations despite reporting higher volumes overall, and sales were concentrated in lower margin products. In addition, holdings of Vermilion Energy Inc. also detracted from relative performance during the period. Shares of the Canadian exploration and production company declined, in part, due to concerns of delays in permitting drilling wells in the Netherlands.
Within the utilities sector, an underweight position to Uniper Se detracted from relative performance, as shares of the company rose during the year. The international power plant owner and operator benefited as a competitor built up a major stake in the company’s shares and announced its intention to potentially launch a public takeover offer.
Lord Abbett Value Opportunities Fund
For the fiscal year ended October 31, 2017, the Fund returned 16.23%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the Russell 2500™ Index,10 which returned 24.68% over the same period.
Domestic equity returns were positive over the past year, with large cap stocks, as represented by the S&P 500® Index,2 rising 23.63% during the period while small cap stocks, as represented by the Russell 2000® Index,1 were up 27.85%. The major market-moving event during the period was the presidential election in November 2016, accompanied by Republicans maintaining control of both the House of Representatives and the Senate. The election results fueled expectations for increased infrastructure and defense spending, broad tax reform, and decreased regulations, which contributed to a strong U.S. market rally to finish 2016. In December 2016, the Federal Reserve (Fed) raised its target for short-term interest rates by 0.25%, to a range of 0.50%-
13
0.75%, and indicated that it was targeting three rate hikes in 2017. The Fed followed with 0.25% rate hikes at its March and June meetings to a 1% - 1.25% range. The U.S. economy continued to expand at a slow but steady pace during the trailing 12-month period, with domestic GDP growth ranging between 1.2% and 3.1% from the third quarter of 2016 to the third quarter of 2017. Despite a litany of geopolitical and environmental events, U.S. and international markets continued their steady ascent throughout 2017, propelled by positive economic growth and sentiment.
Security selection in the information technology and industrials sectors were detractors from the Fund’s relative performance during the period. Within the information technology sector, Akamai Technologies, Inc., a provider of cloud-based services, detracted. Akamai’s slowing media segment and an increasingly competitive industry environment resulted in earnings that were below consensus expectations. Shares of Synaptics, Inc., a developer and designer of unique interface product solutions, suffered as its fiscal first quarter guidance was lower than expected, due to deteriorating display driver integration demand and a weakening market for smartphones in China.
Within the industrials sector, shares of Kirby Corp., a U.S.-based barge operator, detracted as inland revenues reached their lowest level since 2010, and marine and coastal market utilization and revenues continued to be challenged.
Conversely, the Fund’s underweight in the consumer staples and real estate sectors contributed to its performance relative to the benchmark during the period. Within the consumer staples sector, shares of Pinnacle Foods, Inc., a manufacturer and distributor of branded food products, contributed as it reported solid first quarter 2017 earnings, despite a slower industry environment. Furthermore, Pinnacle Foods’ strong product pipeline fueled its solid organic sales growth and robust margin expansion throughout the period. The Fund also benefited from not owning Rite Aid Corporation, which is a constituent within the benchmark. Shares of Rite Aid declined dramatically during the period due to a multitude of adverse headlines and potential competition from Amazon in the pharmaceutical distribution industry.
Within the real estate sector, shares of QTS Realty Trust, Inc., a real estate investment trust focused on data centers, rose as it reported a significant increase in bookings for the third quarter of 2017. Additionally, QTS acquired several acres of greenfield developments in Ashburn, Virginia; Phoenix, Arizona; and Hillsboro, Oregon; which investors believe is a sign of high demand for data centers.
Each Fund’s portfolio is actively managed and, therefore, its holdings and the weightings of a particular issuer or particular sector as a percentage of portfolio assets are subject to change. Sectors may include many industries.
14
1 The Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000 Index, which represents approximately 10% of the total market capitalization of the Russell 3000® Index.
2 The S&P 500® Index is widely regarded as the standard for measuring large cap U.S. stock market performance and includes a representative sample of leading companies in leading industries.
3 The Russell 1000® Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.
4 The MSCI ACWI Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI ACWI consists of 46 country indices comprising 23 developed and 23 emerging market country indices. The developed market country indices included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The emerging market country indices included are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates.
5 The EURO STOXX 50® Index represents the performance of the 50 largest companies among the 19 supersectors in terms of free-float market cap in 12 eurozone countries. These countries include Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. The index has a fixed number of components and is part of the STOXX blue-chip index family. The index captures about 60% of the free-float market cap of the EURO STOXX Total Market Index (TMI).
6 The Nikkei Stock Average, the Nikkei 225 is used around the globe as the premier index of Japanese stocks. Because of the prominent nature of the index, many financial products linked to the Nikkei 225 are traded worldwide while the index has been sufficiently used as the indicator of the movement of Japanese stock markets. The Nikkei 225 is a price-weighted equity index, which consists of 225 stocks in the 1st section of the Tokyo Stock Exchange.
7 The MSCI ACWI (All Country World Index) ex U.S.A. Index is a subset of the MSCI ACWI Index. The MSCI ACWI (All Country World Index) Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI ACWI Ex-U.S. Index with Gross Dividends approximates the maximum possible dividend reinvestment. The amount reinvested is the entire dividend distributed to individuals resident in the country of the company, but does not include tax credits. The MSCI ACWI Ex-U.S. Index with Net Dividends approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. MSCI uses withholding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates.
8 The MSCI All Country World ex U.S. High Dividend Yield Index with Gross Dividends is based on MSCI ACWI ex U.S., its parent index, and includes large and mid-cap stocks across 45 Developed Markets (DM) and Emerging Markets (EM) countries. The index is designed to reflect the performance of equities in the parent index (excluding REITs) with higher dividend income and quality characteristics than average dividend yields that are both sustainable and persistent. The index also applies quality screens and reviews 12-month past performance to omit stocks with potentially deteriorating fundamentals that could force them to cut or reduce dividends.
9 The S&P Developed Ex-U.S. SmallCap® Index captures the bottom 15% of companies domiciled in the developed markets (excluding the United States) within the S&P Global BMI with a float-adjusted market capitalization of at least US$100 million and a value traded of at least US$50 million for the past 12 months at the time of the annual reconstitution. Stocks are excluded if their market capitalization falls below US$75 million, or if the value traded is less than US$35 million at the time of reconstitution.
10 The Russell 2500™ Index is a market cap weighted index that includes the smallest 2,500 companies covered in the Russell 3000® Index universe of United States-based listed equities.
Unless otherwise specified, indexes reflect total return, with all dividends reinvested. Indexes are unmanaged, do not reflect the deduction of fees or expenses, and are not available for direct investment.
15
Important Performance and Other Information Performance data quoted in the following pages reflect past performance and are no guarantee of future results. Current performance may be higher or lower than the performance quoted. The investment return and principal value of an investment in the Funds will fluctuate so that shares, on any given day or when redeemed, may be worth more or less than their original cost. You can obtain performance data current to the most recent month end by calling Lord Abbett at 888-522-2388 or referring to www.lordabbett.com.
Except where noted, comparative Fund performance does not account for the deduction of sales charges and would be different if sales charges were included. Each Fund offers classes of shares with distinct pricing options. For a full description of the differences in pricing alternatives, please see each Fund’s prospectus.
During certain periods shown, expense waivers and reimbursements were in place for Alpha Strategy Fund, Global Core Equity Fund, Growth Leaders Fund, International Equity Fund and International Dividend Income Fund. Without such expense reimbursements, each Fund’s returns would have been lower.
The annual commentary above discusses the views of the Funds’ management and various portfolio holdings of the Funds as of October 31, 2017. These views and portfolio holdings may have changed after this date. Information provided in the commentary is not a recommendation to buy or sell securities. Because the Funds’ portfolio is actively managed and may change significantly, the Funds may no longer own the securities described above or may have otherwise changed their positions in the securities. For more recent information about the Funds’ portfolio holdings, please visit www.lordabbett.com.
A Note about Risk: See Notes to Financial Statements for a discussion of investment risks. For a more detailed discussion of the risks associated with each Fund, please see each Fund’s prospectus.
Mutual funds are not insured by the FDIC, are not deposits or other obligations of, or guaranteed by, banks, and are subject to investment risks including possible loss of principal amount invested.
16
Alpha Strategy Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Russell 2000® Index, the 85% Russell 2000® Index/15% S&P Developed Ex-U.S. SmallCap Index and the Lipper Small-Cap Core Category Funds Average, assuming reinvestment of all dividends and distributions. The Fund has adopted the Russell 2000® Index, a more broad-based index, as its primary benchmark index. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2017
| | | 1 Year | | 5 Years | | 10 Years | | Life of Class | |
| Class A4 | | 17.40% | | 12.37% | | 6.14% | | – | |
| Class B5 | | 18.64% | | 12.61% | | 6.17% | | – | |
| Class C6 | | 22.69% | | 12.86% | | 6.01% | | – | |
| Class F7 | | 24.78% | | 13.88% | | 6.97% | | – | |
| Class F38 | | – | | – | | – | | 12.89% | * |
| Class I9 | | 24.90% | | 13.99% | | 7.07% | | – | |
| Class R27 | | 24.11% | | 13.31% | | 6.43% | | – | |
| Class R37 | | 24.24% | | 13.42% | | 6.55% | | – | |
| Class R410 | | 24.60% | | – | | – | | 7.16% | |
| Class R510 | | 24.93% | | – | | – | | 7.44% | |
| Class R610 | | 24.98% | | – | | – | | 7.45% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance.
3 Source: Lipper Inc. The performance of the average is not necessarily representative of the Fund’s performance.
4 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2017, is calculated using the SEC-required uniform method to compute such return.
5 Performance reflects the deduction of a CDSC of 5% for 1 year, 2% for 5 years, and 0% for 10 years. Class B shares automatically convert to Class A shares after approximately 8
years. (There is no initial sales charge for automatic conversions.) All returns for periods greater than 8 years reflect this conversion.
6 The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
7 Commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
8 Commenced operations and performance for the Class began on April 4, 2017. Performance is at its net asset value.
9 Performance is at net asset value.
10 Commenced operations and performance for the classes began on June 30, 2015. Performance is at net asset value.
* Since Class F3 shares have existed less than one year, average annual returns are not provided.
17
Fundamental Equity Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Russell 1000® Value Index, Russell 3000® Value Index, Russell 3000® Index, and S&P 500® Index, assuming reinvestment of all dividends and distributions. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2017
| | | 1 Year | | 5 Years | | 10 Years | | Life of Class | |
| Class A3 | | 10.65% | | 11.34% | | 6.28% | | – | |
| Class B4 | | 11.55% | | 11.62% | | 6.34% | | – | |
| Class C5 | | 15.63% | | 11.88% | | 6.19% | | – | |
| Class F6 | | 17.62% | | 12.88% | | 7.14% | | – | |
| Class F37 | | – | | – | | – | | 6.65% | * |
| Class I8 | | 17.81% | | 13.01% | | 7.25% | | – | |
| Class P8 | | 17.28% | | 12.50% | | 6.77% | | – | |
| Class R26 | | 17.07% | | 12.32% | | 6.62% | | – | |
| Class R36 | | 17.19% | | 12.45% | | 6.73% | | – | |
| Class R49 | | 17.45% | | – | | – | | 8.41% | |
| Class R59 | | 17.73% | | – | | – | | 8.68% | |
| Class R69 | | 17.97% | | – | | – | | 8.82% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2017, is calculated using the SEC-required uniform method to compute such return.
4 Performance reflects the deduction of a CDSC of 5% for 1 year, 2% for 5 years, and 0% for 10 years. Class B shares automatically convert to Class A shares after approximately 8 years. (There is no initial sales charge for automatic
conversions.) All returns for periods greater than 8 years reflect this conversion.
5 The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
6 Commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
7 Commenced operations and performance for the Class began on April 4, 2017. Performance is at net asset value.
8 Performance is at net asset value.
9 Commenced operations and performance for the classes began on June 30, 2015. Performance is at net asset value.
* Since Class F3 shares have existed less than one year, average annual returns are not provided.
18
Global Core Equity Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Morgan Stanley Capital International (MSCI) All Country World Index with Gross Dividends and the MSCI All Country World Index with Net Dividends, assuming reinvestment of all dividends and distributions. The MSCI All Country World Index with Net Dividends reflects a reduction in dividends after taking into account withholding of taxes by certain foreign countries represented in the MSCI All Country World Index. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursements of expense, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2017
| | | Life of Class | |
| Class A3 | | 9.14%* | |
| Class C4 | | 14.20%* | |
| Class F5 | | 16.00%* | |
| Class F36 | | 12.94%* | |
| Class I5 | | 16.10%* | |
| Class R25 | | 15.50%* | |
| Class R35 | | 15.60%* | |
| Class R45 | | 15.80%* | |
| Class R55 | | 16.10%* | |
| Class R65 | | 16.10%* | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance. Performance of each index begins on January 18, 2017.
3 Class A shares commenced operations on January 17, 2017 and performance for the Class began on January 18, 2017. Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2017, is calculated using the SEC-required uniform method to compute such return.
4 Class C shares commenced operations on January 17, 2017 and performance for the Class began on January 18, 2017. The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
5 Commenced operations on January 17, 2017 and performance for the Class began on January 18, 2017. Performance is at net asset value.
6 Commenced operations and performance for the classes began on April 4, 2017. Performance is at net asset value.
* Since shares have existed for less than one year, average annual returns are not provided.
19
Growth Leaders Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Russell 1000® Growth Index, Russell 3000® Growth Index, and S&P 500® Index, assuming reinvestment of all dividends and distributions. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2017
| | | 1 Year | | 5 Years | | Life of Class | |
| Class A3 | | 21.77% | | 16.43% | | 12.50% | |
| Class B4 | | 23.30% | | – | | 15.58% | |
| Class C5 | | 27.27% | | 16.97% | | 12.77% | |
| Class F6 | | 29.53% | | 18.04% | | 13.78% | |
| Class F37 | | – | | – | | 18.74% | * |
| Class I6 | | 29.57% | | 18.14% | | 13.89% | |
| Class R26 | | 28.77% | | 17.56% | | 13.42% | |
| Class R38 | | 28.90% | | 17.55% | | 13.37% | |
| Class R48 | | 29.21% | | – | | 11.76% | |
| Class R58 | | 29.56% | | – | | 12.08% | |
| Class R68 | | 29.67% | | – | | 12.16% | |
| Class T9 | | – | | – | | 4.51% | * |
20
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance. Performance for each index begins on June 30, 2011.
3 Class A shares commenced operations on June 24, 2011 and performance for the Class began on June 30, 2011. Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2017, is calculated using the SEC-required uniform method to compute such return.
4 Class B shares commenced operations and performance for the Class began on February 11, 2013. Performance reflects the deduction of a CDSC of 5% for 1 year, 2% for 5 years, and 0% for 10 years. Class B shares automatically convert to Class A shares after approximately 8 years. (There is no initial sales charge for automatic conversions.) All returns for periods greater than 8 years reflect this conversion.
5 Class C shares commenced operations on June 24, 2011 and performance for the Class began on June 30, 2011. The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
6 Commenced operations on June 24, 2011 and performance for the Class began on June 30, 2011. Performance is at net asset value.
7 Commenced operations and performance for the Class began on April 4, 2017. Performance is at net asset value.
8 Commenced operations and performance for the classes began on June 30, 2015. Performance is at net asset value.
9 Total return, which is the percent change in value, after deduction of the maximum initial sales charge of 2.50% applicable to Class T shares, with all dividends and distributions reinvested for periods shown ended October 31, 2017, is calculated using the SEC required uniform method to compute such return. Class T shares commenced operations and performance for the Class began on July 28, 2017. Performance is at net asset value.
* Since Classes F3 and T shares have existed less than one year, average annual returns are not provided.
21
International Dividend Income Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Morgan Stanley Capital International (MSCI) All Country World Ex-U.S. High Dividend Yield Index with Gross Dividends and the MSCI All Country World Ex-U.S. High Dividend Yield Index with Net Dividends, assuming reinvestment of all dividends and distributions. The MSCI All Country World Ex-U.S. High Dividend Yield Index with Net Dividends reflects a reduction in dividends after taking into account withholding of taxes by certain foreign countries represented in the MSCI All Country World Ex-U.S. High Dividend Yield Index. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursements of expense, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2017
| | | 1 Year | | 5 Years | | Life of Class | |
| Class A3 | | 10.90% | | 3.31% | | 1.24% | |
| Class C4 | | 15.60% | | 3.80% | | 1.19% | |
| Class F5 | | 17.96% | | 4.80% | | 2.13% | |
| Class F36 | | – | | – | | 11.16% | * |
| Class I5 | | 18.02% | | 4.90% | | 2.24% | |
| Class R25 | | 17.17% | | 4.23% | | 1.78% | |
| Class R35 | | 17.35% | | 4.35% | | 1.77% | |
| Class R47 | | 17.60% | | – | | 2.50% | |
| Class R57 | | 17.90% | | – | | 2.77% | |
| Class R67 | | 17.88% | | – | | 2.83% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance. Performance of each index begins on June 30, 2008.
3 Class A shares commenced operations on June 23, 2008 and performance for the Class began on June 30, 2008. Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2017, is calculated using the SEC-required uniform method to compute such return.
4 Class C shares commenced operations on June 23, 2008 and performance for the Class began on June 30, 2008. The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
5 Commenced operations on June 23, 2008 and performance for the Class began on June 30, 2008. Performance is at net asset value.
6 Commenced operations and performance for the Class began on April 4, 2017. Performance is at net asset value.
7 Commenced operations and performance for the classes began on June 30, 2015. Performance is at net asset value.
* Since Class F3 shares have existed less than one year, average annual returns are not provided.
22
International Equity Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex-USA® Index with Gross Dividends and the MSCI ACWI ex-USA Index with Net Dividends, assuming reinvestment of all dividends and distributions. The MSCI ACWI ex-USA Index with Net Dividends reflects a reduction in dividends after taking into account withholding of taxes by certain foreign countries represented in the MSCI ACWI ex-USA Index. The Fund has adopted the MSCI ACWI ex-USA® Index as its primary benchmark index and therefore will remove the MSCI Europe, Australasia, Far East Index (MSCI EAFE Index) from its next annual report. The Fund believes that the MSCI ACWI ex-USA Index more closely reflects the Fund’s investment strategies than the MSCI EAFE Index. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2017
| | | 1 Year | | 5 Years | | 10 Years | | Life of Class | |
| Class A3 | | 12.95% | | 4.89% | | -0.65% | | – | |
| Class B4 | | 13.93% | | 5.07% | | -0.59% | | – | |
| Class C5 | | 18.02% | | 5.44% | | -0.72% | | – | |
| Class F6 | | 20.17% | | 6.42% | | 0.19% | | – | |
| Class F37 | | – | | – | | – | | 15.48% | * |
| Class I8 | | 20.26% | | 6.52% | | 0.29% | | – | |
| Class P8 | | 19.59% | | 6.00% | | -0.18% | | – | |
| Class R26 | | 19.40% | | 5.83% | | -0.19% | | – | |
| Class R36 | | 19.63% | | 5.95% | | -0.21% | | – | |
| Class R49 | | 19.92% | | – | | – | | 4.91% | |
| Class R59 | | 20.10% | | – | | – | | 5.14% | |
| Class R69 | | 20.35% | | – | | – | | 5.34% | |
23
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2017, is calculated using the SEC-required uniform method to compute such return.
4 Performance reflects the deduction of a CDSC of 5% for 1 year, 2% for 5 years and 0% for 10 years. Class B shares automatically convert to Class A shares after approximately 8 years. (There is no initial sales charge for automatic conversions.)
All returns for periods greater than 8 years reflect this conversion.
5 The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
6 Commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
7 Commenced operations and performance for the Class began on April 4, 2017. Performance is at net asset value.
8 Performance is at net asset value.
9 Commenced operations and performance for the classes began on June 30, 2015. Performance is at net asset value.
* Since Class F3 shares have existed less than one year, average annual returns are not provided.
24
International Opportunities Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the S&P Developed Ex-U.S. SmallCap® Index, assuming reinvestment of all dividends and distributions. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2017
| | | 1 Year | | 5 Years | | 10 Years | | Life of Class | |
| Class A3 | | 22.91% | | 11.09% | | 2.85% | | – | |
| Class B4 | | 24.42% | | 11.33% | | 2.91% | | – | |
| Class C5 | | 28.47% | | 11.61% | | 2.77% | | – | |
| Class F6 | | 30.59% | | 12.62% | | 3.69% | | – | |
| Class F37 | | – | | – | | – | | 21.13% | * |
| Class I8 | | 30.74% | | 12.73% | | 3.79% | | – | |
| Class P8 | | 30.12% | | 12.22% | | 3.32% | | – | |
| Class R26 | | 29.96% | | 12.05% | | 3.17% | | – | |
| Class R36 | | 30.07% | | 12.18% | | 3.32% | | – | |
| Class R49 | | 30.43% | | – | | – | | 10.22% | |
| Class R59 | | 30.69% | | – | | – | | 10.48% | |
| Class R69 | | 30.85% | | – | | – | | 10.66% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for the unmanaged index does not reflect any fees or expenses. The performance of the index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2017, is calculated using the SEC-required uniform method to compute such return.
4 Performance reflects the deduction of a CDSC of 5% for 1 year, 2% for 5 years, and 0% for 10 years. Class B shares automatically convert to Class A shares after approximately 8
years. (There is no initial sales charge for automatic conversions.) All returns for periods greater than 8 years reflect this conversion.
5 The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance is at net asset value.
6 Commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
7 Commenced operations and performance for the Class began on April 4, 2017. Performance is at net asset value.
8 Performance is at net asset value.
9 Commenced operations and performance for the classes began on June 30, 2015. Performance is at net asset value.
* Since Class F3 shares have existed less than one year, average annual returns are not provided.
25
Value Opportunities Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Russell 2500TM Index and the Russell 2500TM Value Index, assuming reinvestment of all dividends and distributions. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2017
| | | 1 Year | | 5 Years | | 10 Years | | Life of Class | |
| Class A3 | | 9.53% | | 11.95% | | 7.53% | | – | |
| Class B4 | | 10.29% | | 12.24% | | 7.60% | | – | |
| Class C5 | | 14.35% | | 12.50% | | 7.44% | | – | |
| Class F6 | | 16.34% | | 13.51% | | 8.40% | | – | |
| Class F37 | | – | | – | | – | | 6.91% | * |
| Class I8 | | 16.51% | | 13.62% | | 8.51% | | – | |
| Class P8 | | 15.96% | | 13.12% | | 8.03% | | – | |
| Class R26 | | 15.79% | | 12.94% | | 7.86% | | – | |
| Class R36 | | 15.94% | | 13.05% | | 7.98% | | – | |
| Class R49 | | 16.27% | | – | | – | | 6.84% | |
| Class R59 | | 16.46% | | – | | – | | 7.09% | |
| Class R69 | | 16.60% | | – | | – | | 7.21% | |
| Class T10 | | – | | – | | – | | 1.12% | * |
26
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2017, is calculated using the SEC-required uniform method to compute such return.
4 Performance reflects the deduction of a CDSC of 5% for 1 year, 2% for 5 years, and 0% for Life of the Class. Class B shares automatically convert to Class A shares after approximately 8 years. (There is no initial sales charge for automatic conversions.) All returns for periods greater than 8 years reflect this conversion.
5 The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
6 Commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
7 Commenced operations and performance for the Class began on April 4, 2017. Performance is at net asset value.
8 Performance is at net asset value.
9 Commenced operations and performance for the classes began on June 30, 2015. Performance is at net asset value.
10 Total return, which is the percent change in value, after deduction of the maximum initial sales charge of 2.50% applicable to Class T shares, with all dividends and distributions reinvested for periods shown ended October 31, 2017, is calculated using the SEC required uniform method to compute such return. Class T shares commenced operations and performance for the Class began on July 28, 2017. Performance is at net asset value.
* Since Classes F3 and T shares have existed less than one year, average annual returns are not provided.
27
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (these charges vary among the share classes); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (these charges vary among the share classes); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2017 through October 31, 2017).
Actual Expenses
For each class of each Fund, the first line of the table on the following page provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. 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 in the first line under the heading titled “Expenses Paid During Period 5/1/17 – 10/31/17” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
For each class of each Fund, the second line of the table on the following page provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
28
Alpha Strategy Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | Beginning
Account
Value | | Ending
Account
Value | | Expenses
Paid During
Period†# | |
| | | 5/1/17 | | 10/31/17 | | 5/1/17 –
10/31/17 | |
| Class A | | | | | | | |
| Actual | | $1,000.00 | | $1,102.60 | | $2.28 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,023.04 | | $2.19 | |
| Class B | | | | | | | |
| Actual | | $1,000.00 | | $1,098.40 | | $6.29 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.21 | | $6.06 | |
| Class C | | | | | | | |
| Actual | | $1,000.00 | | $1,098.80 | | $6.24 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.26 | | $6.01 | |
| Class F | | | | | | | |
| Actual | | $1,000.00 | | $1,103.70 | | $1.48 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,023.79 | | $1.43 | |
| Class F3 | | | | | | | |
| Actual | | $1,000.00 | | $1,104.80 | | $0.48 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,024.80 | | $0.46 | |
| Class I | | | | | | | |
| Actual | | $1,000.00 | | $1,104.00 | | $0.95 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,024.30 | | $0.92 | |
| Class R2 | | | | | | | |
| Actual | | $1,000.00 | | $1,100.80 | | $4.13 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.27 | | $3.97 | |
| Class R3 | | | | | | | |
| Actual | | $1,000.00 | | $1,101.40 | | $3.55 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.83 | | $3.41 | |
| Class R4 | | | | | | | |
| Actual | | $1,000.00 | | $1,102.70 | | $2.23 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,023.09 | | $2.14 | |
| Class R5 | | | | | | | |
| Actual | | $1,000.00 | | $1,104.40 | | $0.95 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,024.30 | | $0.92 | |
| Class R6 | | | | | | | |
| Actual | | $1,000.00 | | $1,104.80 | | $0.48 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,024.75 | | $0.46 | |
| † | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.43% for Class A, 1.19% for Class B, 1.18% for Class C, 0.28% for Class F, 0.09% for Class F3, 0.18% for Class I, 0.78% for Class R2, 0.67% for Class R3, 0.42% for Class R4, 0.18% for Class R5 and 0.09% for Class R6), multiplied by the average account value over the period, and multiplied by 184/365 (to reflect one-half year period). |
| # | Does not include expenses of Underlying Funds in which Alpha Strategy Fund invests. |
29
Portfolio Holdings Presented by Portfolio Allocation
October 31, 2017
| Underlying Fund Name | | %* | |
| Lord Abbett Developing Growth Fund, Inc. – Class I | | 20.20% | |
| Lord Abbett Securities Trust-International Opportunities Fund – Class I | | 20.00% | |
| Lord Abbett Securities Trust-Micro-Cap Growth Fund – Class I | | 9.90% | |
| Lord Abbett Securities-Trust Micro-Cap Value Fund – Class I | | 9.96% | |
| Lord Abbett Research Fund, Inc.-Small-Cap Value Fund – Class I | | 19.99% | |
| Lord Abbett Securities Trust-Value Opportunities – Class I | | 19.95% | |
| Total | | 100.00% | |
| * | | Represents percent of total investments. |
30
Fundamental Equity Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | Beginning
Account
Value | | Ending
Account
Value | | Expenses
Paid During
Period† | |
| | | 5/1/17 | | 10/31/17 | | 5/1/17 –
10/31/17 | |
| Class A | | | | | | | |
| Actual | | $1,000.00 | | $1,061.50 | | $4.94 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.42 | | $4.84 | |
| Class B | | | | | | | |
| Actual | | $1,000.00 | | $1,057.30 | | $8.87 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,016.59 | | $8.69 | |
| Class C | | | | | | | |
| Actual | | $1,000.00 | | $1,057.10 | | $8.81 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,016.64 | | $8.64 | |
| Class F | | | | | | | |
| Actual | | $1,000.00 | | $1,062.00 | | $4.16 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.17 | | $4.08 | |
| Class F3 | | | | | | | |
| Actual | | $1,000.00 | | $1,063.30 | | $3.22 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,022.10 | | $3.16 | |
| Class I | | | | | | | |
| Actual | | $1,000.00 | | $1,063.40 | | $3.64 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.68 | | $3.57 | |
| Class P | | | | | | | |
| Actual | | $1,000.00 | | $1,061.00 | | $6.03 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.36 | | $5.90 | |
| Class R2 | | | | | | | |
| Actual | | $1,000.00 | | $1,059.60 | | $6.75 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,018.65 | | $6.61 | |
| Class R3 | | | | | | | |
| Actual | | $1,000.00 | | $1,060.10 | | $6.23 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.16 | | $6.11 | |
| Class R4 | | | | | | | |
| Actual | | $1,000.00 | | $1,060.90 | | $4.93 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.42 | | $4.84 | |
| Class R5 | | | | | | | |
| Actual | | $1,000.00 | | $1,062.60 | | $3.59 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.73 | | $3.52 | |
| Class R6 | | | | | | | |
| Actual | | $1,000.00 | | $1,063.20 | | $3.22 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,022.08 | | $3.16 | |
| † | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.95% for Class A, 1.71% for Class B, 1.70% for Class C, 0.80% for Class F, 0.62% for Class F3, 0.70% for Class I, 1.16% for Class P, 1.30% for Class R2, 1.20% for Class R3, 0.95% for Class R4, 0.69% for Class R5 and 0.62% for Class R6), multiplied by the average account value over the period, and multiplied by 184/365 (to reflect one-half year period). |
31
Portfolio Holdings Presented by Sector
October 31, 2017
| Sector* | | %** | |
| Consumer Discretionary | | 4.80% | |
| Consumer Staples | | 6.47% | |
| Energy | | 10.17% | |
| Financials | | 28.32% | |
| Health Care | | 14.48% | |
| Industrials | | 11.23% | |
| Information Technology | | 11.67% | |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
| Sector* | | %** | |
| Materials | | 3.94% | |
| Real Estate | | 1.67% | |
| Telecommunication Services | | 2.20% | |
| Utilities | | 3.37% | |
| Repurchase Agreement | | 1.68% | |
| Total | | 100.00% | |
32
Global Core Equity Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | Beginning
Account
Value | | Ending
Account
Value | | Expenses
Paid During
Period† | |
| | | 5/1/17 | | 10/31/17 | | 5/1/17 –
10/31/17 | |
| Class A | | | | | | | |
| Actual | | $1,000.00 | | $1,098.70 | | $5.55 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.91 | | $5.35 | |
| Class C | | | | | | | |
| Actual | | $1,000.00 | | $1,095.10 | | $9.51 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,016.13 | | $9.15 | |
| Class F | | | | | | | |
| Actual | | $1,000.00 | | $1,099.50 | | $4.76 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.67 | | $4.58 | |
| Class F3 | | | | | | | |
| Actual | | $1,000.00 | | $1,099.40 | | $3.97 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.40 | | $3.82 | |
| Class I | | | | | | | |
| Actual | | $1,000.00 | | $1,100.50 | | $4.24 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.17 | | $4.08 | |
| Class R2 | | | | | | | |
| Actual | | $1,000.00 | | $1,096.90 | | $7.40 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,018.15 | | $7.12 | |
| Class R3 | | | | | | | |
| Actual | | $1,000.00 | | $1,096.80 | | $6.87 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,018.65 | | $6.61 | |
| Class R4 | | | | | | | |
| Actual | | $1,000.00 | | $1,098.70 | | $5.55 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.91 | | $5.35 | |
| Class R5 | | | | | | | |
| Actual | | $1,000.00 | | $1,100.50 | | $4.24 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.17 | | $4.08 | |
| Class R6 | | | | | | | |
| Actual | | $1,000.00 | | $1,100.50 | | $3.97 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.42 | | $3.82 | |
| † | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.05% for Class A, 1.80% for Class C, 0.90% for Class F, 0.75% for Class F3, 0.80% for Class I, 1.40% for Class R2, 1.30% for Class R3, 1.05% for Class R4, 0.80% for Class R5 and 0.75% for Class R6), multiplied by the average account value over the period, and multiplied by 184/365 (to reflect one-half year period). |
33
Portfolio Holdings Presented by Sector
October 31, 2017
| Sector* | | %** | |
| Consumer Discretionary | | 11.13% | |
| Consumer Staples | | 8.28% | |
| Energy | | 5.83% | |
| Exchange Traded Fund | | 5.65% | |
| Financials | | 18.69% | |
| Health Care | | 10.17% | |
| Industrials | | 9.69% | |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
| Sector* | | %** | |
| Information Technology | | 17.82% | |
| Materials | | 4.87% | |
| Real Estate | | 2.45% | |
| Telecommunication Services | | 2.86% | |
| Utilities | | 2.56% | |
| Total | | 100.00% | |
34
Growth Leaders Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | Beginning
Account
Value | | Ending
Account
Value | | Expenses
Paid During
Period† | |
| | | 5/1/17 | | 10/31/17 | | 5/1/17 –
10/31/17 | |
| Class A | | | | | | | |
| Actual | | $1,000.00 | | $1,159.70 | | $5.12 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.47 | | $4.79 | |
| Class B | | | | | | | |
| Actual | | $1,000.00 | | $1,155.10 | | $9.18 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,016.69 | | $8.59 | |
| Class C | | | | | | | |
| Actual | | $1,000.00 | | $1,155.10 | | $9.18 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,016.69 | | $8.59 | |
| Class F | | | | | | | |
| Actual | | $1,000.00 | | $1,161.10 | | $3.76 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.73 | | $3.52 | |
| Class F3 | | | | | | | |
| Actual | | $1,000.00 | | $1,161.20 | | $3.27 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,022.20 | | $3.06 | |
| Class I | | | | | | | |
| Actual | | $1,000.00 | | $1,160.70 | | $3.76 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.73 | | $3.52 | |
| Class R2 | | | | | | | |
| Actual | | $1,000.00 | | $1,157.20 | | $7.01 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,018.70 | | $6.56 | |
| Class R3 | | | | | | | |
| Actual | | $1,000.00 | | $1,157.90 | | $6.47 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.21 | | $6.06 | |
| Class R4 | | | | | | | |
| Actual | | $1,000.00 | | $1,159.30 | | $5.12 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.47 | | $4.79 | |
| Class R5 | | | | | | | |
| Actual | | $1,000.00 | | $1,161.10 | | $3.76 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.73 | | $3.52 | |
| Class R6 | | | | | | | |
| Actual | | $1,000.00 | | $1,161.70 | | $3.27 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,022.18 | | $3.06 | |
| Class T | | | | | | | |
| Actual | | $1,000.00 | | $1,071.70 | | $2.29 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,010.85 | | $2.22 | |
| † | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.94% for Class A, 1.69% for Classes B and C, 0.69% for Class F, 0.60% for Class F3, 0.69% for Class I, 1.29% for Class R2, 1.19% for Class R3, 0.94% for Class R4, 0.69% for Class R5 and 0.60% for Class R6 and 0.85% for Class T), multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period for Classes A, B, C, F, F3, I, R2, R3, R4, R5 and R6), and multiplied by 95/365 (to reflect the period from July 28, 2017, commencement of operations, to October 31, 2017, for Class T). |
35
Portfolio Holdings Presented by Sector
October 31, 2017
| Sector* | | %** | |
| Consumer Discretionary | | 14.60% | |
| Consumer Staples | | 3.55% | |
| Financials | | 7.05% | |
| Health Care | | 15.21% | |
| Industrials | | 10.94% | |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
| Sector* | | %** | |
| Information Technology | | 45.50% | |
| Materials | | 2.83% | |
| Repurchase Agreement | | 0.32% | |
| Total | | 100.00% | |
36
International Dividend Income Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | Beginning
Account
Value | | Ending
Account
Value | | Expenses
Paid During
Period† | |
| | | 5/1/17 | | 10/31/17 | | 5/1/17 –
10/31/17 | |
| Class A | | | | | | | |
| Actual | | $1,000.00 | | $1,092.00 | | $5.91 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.56 | | $5.70 | |
| Class C | | | | | | | |
| Actual | | $1,000.00 | | $1,087.20 | | $9.84 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,015.78 | | $9.50 | |
| Class F | | | | | | | |
| Actual | | $1,000.00 | | $1,094.00 | | $4.80 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.62 | | $4.63 | |
| Class F3 | | | | | | | |
| Actual | | $1,000.00 | | $1,094.40 | | $4.06 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.30 | | $3.92 | |
| Class I | | | | | | | |
| Actual | | $1,000.00 | | $1,094.30 | | $4.28 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.12 | | $4.13 | |
| Class R2 | | | | | | | |
| Actual | | $1,000.00 | | $1,090.90 | | $7.75 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,017.80 | | $7.48 | |
| Class R3 | | | | | | | |
| Actual | | $1,000.00 | | $1,091.20 | | $7.22 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,018.30 | | $6.97 | |
| Class R4 | | | | | | | |
| Actual | | $1,000.00 | | $1,092.40 | | $5.91 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.56 | | $5.70 | |
| Class R5 | | | | | | | |
| Actual | | $1,000.00 | | $1,093.00 | | $4.59 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.82 | | $4.43 | |
| Class R6 | | | | | | | |
| Actual | | $1,000.00 | | $1,092.90 | | $4.27 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.12 | | $4.13 | |
| † | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.12% for Class A, 1.87% for Class C, 0.91% for Class F, 0.77% for Class F3, 0.81% for Class I, 1.47% for Class R2, 1.37% for Class R3, 1.12% for Class R4, 0.87% for Class R5 and 0.81% for Class R6), multiplied by the average account value over the period, and multiplied by 184/365 (to reflect one-half year period). |
37
Portfolio Holdings Presented by Sector
October 31, 2017
| Sector* | | %** | |
| Consumer Discretionary | | 9.39% | |
| Consumer Staples | | 8.17% | |
| Energy | | 7.77% | |
| Financials | | 36.58% | |
| Health Care | | 6.90% | |
| Industrials | | 6.71% | |
| Information Technology | | 7.02% | |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
| Sector* | | %** | |
| Materials | | 5.23% | |
| Real Estate | | 2.88% | |
| Telecommunication Services | | 3.54% | |
| Utilities | | 4.50% | |
| Repurchase Agreement | | 1.31% | |
| Total | | 100.00% | |
38
International Equity Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | Beginning
Account
Value | | Ending
Account
Value | | Expenses
Paid During
Period† | |
| | | 5/1/17 | | 10/31/17 | | 5/1/17 –
10/31/17 | |
| Class A | | | | | | | |
| Actual | | $1,000.00 | | $1,112.90 | | $5.96 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.56 | | $5.70 | |
| Class B | | | | | | | |
| Actual | | $1,000.00 | | $1,108.30 | | $9.94 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,015.78 | | $9.50 | |
| Class C | | | | | | | |
| Actual | | $1,000.00 | | $1,109.20 | | $9.84 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,015.88 | | $9.40 | |
| Class F | | | | | | | |
| Actual | | $1,000.00 | | $1,114.40 | | $4.64 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.82 | | $4.43 | |
| Class F3 | | | | | | | |
| Actual | | $1,000.00 | | $1,115.00 | | $3.73 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.70 | | $3.57 | |
| Class I | | | | | | | |
| Actual | | $1,000.00 | | $1,115.20 | | $4.11 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.32 | | $3.92 | |
| Class P | | | | | | | |
| Actual | | $1,000.00 | | $1,112.00 | | $7.03 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,018.55 | | $6.72 | |
| Class R2 | | | | | | | |
| Actual | | $1,000.00 | | $1,111.60 | | $7.82 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,017.80 | | $7.48 | |
| Class R3 | | | | | | | |
| Actual | | $1,000.00 | | $1,112.20 | | $7.08 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,018.50 | | $6.77 | |
| Class R4 | | | | | | | |
| Actual | | $1,000.00 | | $1,113.10 | | $5.86 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.66 | | $5.60 | |
| Class R5 | | | | | | | |
| Actual | | $1,000.00 | | $1,113.80 | | $4.64 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.82 | | $4.43 | |
| Class R6 | | | | | | | |
| Actual | | $1,000.00 | | $1,115.00 | | $3.73 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.68 | | $3.57 | |
| † | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.12% for Class A, 1.87% for Class B, 1.85% for Class C, 0.87% for Class F, 0.70% for Class F3, 0.77% for Class I, 1.32% for Class P, 1.47% for Class R2, 1.33% for Class R3, 1.10% for Class R4, 0.87% for Class R5 and 0.70% for Class R6), multiplied by the average account value over the period, and multiplied by 184/365 (to reflect one-half year period). |
39
Portfolio Holdings Presented by Sector
October 31, 2017
| Sector* | | %** | |
| Consumer Discretionary | | 14.25% | |
| Consumer Staples | | 8.13% | |
| Energy | | 3.08% | |
| Financials | | 21.05% | |
| Health Care | | 7.09% | |
| Industrials | | 16.27% | |
| Information Technology | | 13.35% | |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
| Sector* | | %** | |
| Materials | | 7.12% | |
| Real Estate | | 2.11% | |
| Telecommunication Services | | 3.01% | |
| Utilities | | 1.64% | |
| Repurchase Agreement | | 2.90% | |
| Total | | 100.00% | |
40
International Opportunities Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | Beginning
Account Value | | Ending
Account Value | | Expenses
Paid During
Period† | |
| | | 5/1/17 | | 10/31/17 | | 5/1/17 –
10/31/17 | |
| Class A | | | | | | | |
| Actual | | $1,000.00 | | $1,154.20 | | $ 6.46 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.21 | | $ 6.06 | |
| Class B | | | | | | | |
| Actual | | $1,000.00 | | $1,149.90 | | $10.51 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,015.43 | | $ 9.86 | |
| Class C | | | | | | | |
| Actual | | $1,000.00 | | $1,150.10 | | $10.46 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,015.48 | | $ 9.80 | |
| Class F | | | | | | | |
| Actual | | $1,000.00 | | $1,155.00 | | $ 5.65 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.96 | | $ 5.30 | |
| Class F3 | | | | | | | |
| Actual | | $1,000.00 | | $1,155.90 | | $ 4.84 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.70 | | $ 4.53 | |
| Class I | | | | | | | |
| Actual | | $1,000.00 | | $1,155.80 | | $ 5.11 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.47 | | $ 4.79 | |
| Class P | | | | | | | |
| Actual | | $1,000.00 | | $1,153.50 | | $ 7.60 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,018.15 | | $ 7.12 | |
| Class R2 | | | | | | | |
| Actual | | $1,000.00 | | $1,152.10 | | $ 8.35 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,017.44 | | $ 7.83 | |
| Class R3 | | | | | | | |
| Actual | | $1,000.00 | | $1,153.10 | | $ 7.60 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,018.15 | | $ 7.12 | |
| Class R4 | | | | | | | |
| Actual | | $1,000.00 | | $1,154.10 | | $ 6.46 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.21 | | $ 6.06 | |
| Class R5 | | | | | | | |
| Actual | | $1,000.00 | | $1,155.30 | | $ 5.11 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.47 | | $ 4.79 | |
| Class R6 | | | | | | | |
| Actual | | $1,000.00 | | $1,155.90 | | $ 4.84 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.72 | | $ 4.53 | |
| † | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.19% for Class A, 1.94% for Class B, 1.93% for Class C, 1.04% for Class F, 0.89% for Class F3, 0.94% for Class I, 1.40% for Class P, 1.54% for Class R2, 1.40% for Class R3, 1.19% for Class R4, 0.94% for Class R5 and 0.89% for Class R6), multiplied by the average account value over the period, and multiplied by 184/365 (to reflect one-half year period). |
41
Portfolio Holdings Presented by Sector
October 31, 2017
| Sector* | | %** | |
| Consumer Discretionary | | 18.15% | |
| Consumer Staples | | 5.07% | |
| Energy | | 3.15% | |
| Financials | | 15.92% | |
| Health Care | | 5.17% | |
| Industrials | | 20.70% | |
| Information Technology | | 11.69% | |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
| Sector* | | %** | |
| Materials | | 7.71% | |
| Purchased Options | | 0.02% | |
| Real Estate | | 6.30% | |
| Telecommunication Services | | 0.49% | |
| Utilities | | 1.81% | |
| Repurchase Agreement | | 3.82% | |
| Total | | 100.00% | |
42
Value Opportunities Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | Beginning
Account
Value | | Ending
Account
Value | | Expenses
Paid During
Period† | |
| | | 5/1/17 | | 10/31/17 | | 5/1/17 –
10/31/17 | |
| Class A | | | | | | | |
| Actual | | $1,000.00 | | $1,061.20 | | $5.97 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.41 | | $5.85 | |
| Class B | | | | | | | |
| Actual | | $1,000.00 | | $1,057.00 | | $9.90 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,015.58 | | $9.70 | |
| Class C | | | | | | | |
| Actual | | $1,000.00 | | $1,057.50 | | $9.85 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,015.63 | | $9.65 | |
| Class F | | | | | | | |
| Actual | | $1,000.00 | | $1,061.70 | | $5.20 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.16 | | $5.09 | |
| Class F3 | | | | | | | |
| Actual | | $1,000.00 | | $1,063.40 | | $4.11 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.20 | | $4.02 | |
| Class I | | | | | | | |
| Actual | | $1,000.00 | | $1,062.50 | | $4.68 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.67 | | $4.58 | |
| Class P | | | | | | | |
| Actual | | $1,000.00 | | $1,060.10 | | $7.01 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,018.40 | | $6.87 | |
| Class R2 | | | | | | | |
| Actual | | $1,000.00 | | $1,059.10 | | $7.79 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,017.64 | | $7.63 | |
| Class R3 | | | | | | | |
| Actual | | $1,000.00 | | $1,059.70 | | $7.27 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,018.15 | | $7.12 | |
| Class R4 | | | | | | | |
| Actual | | $1,000.00 | | $1,061.80 | | $5.98 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.41 | | $5.85 | |
| Class R5 | | | | | | | |
| Actual | | $1,000.00 | | $1,062.00 | | $4.68 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.67 | | $4.58 | |
| Class R6 | | | | | | | |
| Actual | | $1,000.00 | | $1,062.80 | | $4.06 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.27 | | $3.97 | |
| Class T | | | | | | | |
| Actual | | $1,000.00 | | $1,036.90 | | $2.70 | |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,010.33 | | $2.67 | |
| † | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.15% for Class A, 1.91% for Class B, 1.90% for Class C, 1.00% for Class F, 0.79% for Class F3, 0.90% for Class I, 1.35% for Class P, 1.50% for Class R2, 1.40% for Class R3, 1.15% for Class R4, 090% for Class R5, 0.78% for Class R6 and 1.02% for Class T), multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period for Classes A, B, C, F, F3, I, P, R2, R3, R4, R5 and R6), and multiplied by 95/365 (to reflect the period from July 28, 2017, commencement of operations, to October 31, 2017, for Class T). |
43
Portfolio Holdings Presented by Sector
October 31, 2017
| Sector* | | %** | |
| Consumer Discretionary | | 10.51% | |
| Consumer Staples | | 0.58% | |
| Energy | | 4.47% | |
| Financials | | 17.86% | |
| Health Care | | 11.28% | |
| Industrials | | 15.81% | |
| Information Technology | | 16.66% | |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
| Sector* | | %** | |
| Materials | | 10.59% | |
| Real Estate | | 4.46% | |
| Telecommunication Services | | 1.43% | |
| Utilities | | 5.74% | |
| Repurchase Agreement | | 0.61% | |
| Total | | 100.00% | |
44
Schedule of Investments
ALPHA STRATEGY FUND October 31, 2017
| Investments | | Shares | | | Fair
Value
(000) | |
| INVESTMENTS IN UNDERLYING FUNDS(a) 100.00% | | | |
| Lord Abbett Developing Growth Fund, Inc. – Class I*(b) | | | 8,944,374 | | | $ | 228,350 | |
| Lord Abbett Securities Trust – International Opportunities Fund – Class I(c) | | | 10,543,812 | | | | 226,059 | |
| Lord Abbett Securities Trust – Micro-Cap Growth Fund – Class I*(c) | | | 5,655,547 | | | | 111,980 | |
| Lord Abbett Securities Trust – Micro-Cap Value Fund – Class I*(c) | | | 3,081,414 | | | | 112,564 | |
| Lord Abbett Research Fund, Inc. – Small-Cap Value Fund – Class I*(c) | | | 8,475,488 | | | | 225,956 | |
| Lord Abbett Securities Trust – Value Opportunities Fund – Class I(c) | | | 10,446,416 | | | | 225,538 | |
Total Investments in Underlying Funds
(cost $995,590,789) | | | | | | | 1,130,447 | |
| Investments | | Principal
Amount
(000) | | | Fair
Value
(000) | |
| SHORT-TERM INVESTMENT 0.15% | | | |
| | | | |
| Repurchase Agreement | | | | | | | | |
| | | | | | | | | |
Repurchase Agreement dated 10/31/2017, 0.12% due 11/1/2017 with Fixed Income Clearing Corp. collateralized by $1,785,000 of U.S. Treasury Note at 1.25% due 1/31/2019; value: $1,785,164; proceeds: $1,747,781
(cost $1,747,775) | | | $1,748 | | | $ | 1,748 | |
| Total Investments in Securities 100.15% (cost $997,338,564) | | | | | | | 1,132,195 | |
| Liabilities in Excess of Cash and Other Assets (0.15)% | | | | | | | (1,704 | ) |
| Net Assets 100.00% | | | | | | $ | 1,130,491 | |
| * | | Non-income producing security. |
| (a) | | Affiliated issuers (See Note 5). |
| (b) | | Fund investment objective is long-term growth of capital through a diversified and actively managed portfolio consisting of developing growth companies, many of which are traded over the counter. |
| (c) | | Fund investment objective is long-term capital appreciation. |
The following is a summary of the inputs used as of October 31, 2017 in valuing the Fund’s investments carried at fair value(1):
| Investment Type(2)(3) | | Level 1
(000) | | | Level 2
(000) | | | Level 3
(000) | | | Total
(000) | |
| Investments in Underlying Funds | | $ | 1,130,447 | | | $ | – | | | $ | – | | | $ | 1,130,447 | |
| Repurchase Agreement | | | – | | | | 1,748 | | | | – | | | | 1,748 | |
| Total | | $ | 1,130,447 | | | $ | 1,748 | | | $ | – | | | $ | 1,132,195 | |
| (1) | | Refer to Note 2(l) for a description of fair value measurements and the three-tier hierarchy of inputs. |
| (2) | | See Schedule of Investments for fair values in each investment strategy of Underlying Funds. |
| (3) | | There were no Level 1/Level 2 transfers during the fiscal year ended October 31, 2017. |
| | See Notes to Financial Statements. | 45 |
Schedule of Investments
FUNDAMENTAL EQUITY FUND October 31, 2017
| Investments | | Shares | | | Fair
Value
(000) | |
| COMMON STOCKS 98.36% | | | | | | | | |
| | | | �� | | | | | |
| Aerospace & Defense 2.07% | | | | | | | | |
| General Dynamics Corp. | | | 271,445 | | | $ | 55,098 | |
| | | | | | | | | |
| Airlines 0.84% | | | | | | | | |
| Delta Air Lines, Inc. | | | 446,948 | | | | 22,361 | |
| | | | | | | | | |
| Banks 16.61% | | | | | | | | |
| Bank of America Corp. | | | 2,943,160 | | | | 80,613 | |
| Citigroup, Inc. | | | 1,156,057 | | | | 84,970 | |
| Citizens Financial Group, Inc. | | | 1,077,374 | | | | 40,951 | |
| Comerica, Inc. | | | 273,834 | | | | 21,515 | |
| East West Bancorp, Inc. | | | 639,933 | | | | 38,294 | |
| JPMorgan Chase & Co. | | | 1,202,843 | | | | 121,018 | |
| Signature Bank* | | | 212,251 | | | | 27,595 | |
| Webster Financial Corp. | | | 486,004 | | | | 26,725 | |
| Total | | | | | | | 441,681 | |
| | | | | | | | | |
| Beverages 1.37% | | | | | | | | |
| Coca-Cola Co. (The) | | | 349,630 | | | | 16,076 | |
| PepsiCo, Inc. | | | 184,700 | | | | 20,359 | |
| Total | | | | | | | 36,435 | |
| | | | | | | | | |
| Building Products 2.08% | | | | | | | | |
| Johnson Controls International plc | | | 931,219 | | | | 38,543 | |
| Owens Corning | | | 202,360 | | | | 16,733 | |
| Total | | | | | | | 55,276 | |
| | | | | | | | | |
| Capital Markets 3.37% | | | | | | | | |
| Charles Schwab Corp. (The) | | | 757,853 | | | | 33,982 | |
| Goldman Sachs Group, Inc. (The) | | | 95,516 | | | | 23,161 | |
| Invesco Ltd. | | | 904,493 | | | | 32,372 | |
| Total | | | | | | | 89,515 | |
| | | | | | | | | |
| Chemicals 2.39% | | | | | | | | |
| DowDuPont, Inc. | | | 877,932 | | | | 63,483 | |
| | | | | | | | | |
| Communications Equipment 1.76% | | | | | | | | |
| Cisco Systems, Inc. | | | 1,369,948 | | | | 46,784 | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Consumer Finance 1.04% | | | | | | | | |
| Discover Financial Services | | | 414,013 | | | $ | 27,544 | |
| | | | | | | | | |
| Containers & Packaging 0.64% | | | | | | | | |
| Packaging Corp. of America | | | 90,446 | | | | 10,516 | |
| Sealed Air Corp. | | | 146,246 | | | | 6,469 | |
| Total | | | | | | | 16,985 | |
| | | | | | | | | |
| Diversified Telecommunication Services 2.20% | | | | |
| AT&T, Inc. | | | 1,737,182 | | | | 58,456 | |
| | | | | | | | | |
| Electric: Utilities 2.60% | | | | | | | | |
| Duke Energy Corp. | | | 340,922 | | | | 30,107 | |
| NextEra Energy, Inc. | | | 251,751 | | | | 39,039 | |
| Total | | | | | | | 69,146 | |
| | | | | | | | | |
| Electrical Equipment 1.23% | | | | | | | | |
| AMETEK, Inc. | | | 484,857 | | | | 32,723 | |
| | | | | | | | | |
| Electronic Equipment, Instruments & Components 1.31% |
| Corning, Inc. | | | 1,112,281 | | | | 34,826 | |
| | | | | | | | | |
| Energy Equipment & Services 0.82% | | | | | | | | |
| Halliburton Co. | | | 510,791 | | | | 21,831 | |
| | | | | | | | | |
| Equity Real Estate Investment Trusts 1.67% | | | | | | | | |
| Boston Properties, Inc. | | | 126,617 | | | | 15,343 | |
| Prologis, Inc. | | | 449,673 | | | | 29,040 | |
| Total | | | | | | | 44,383 | |
| | | | | | | | | |
| Food & Staples Retailing 2.34% | | | | | | | | |
| CVS Health Corp. | | | 272,593 | | | | 18,681 | |
| Wal-Mart Stores, Inc. | | | 499,282 | | | | 43,592 | |
| Total | | | | | | | 62,273 | |
| | | | | | | | | |
| Food Products 0.77% | | | | | | | | |
| Mondelez International, Inc. Class A | | | 492,153 | | | | 20,390 | |
| | | | | | | | | |
| Health Care Equipment & Supplies 4.66% | | | | | | | | |
| Abbott Laboratories | | | 1,174,000 | | | | 63,666 | |
| Baxter International, Inc. | | | 518,889 | | | | 33,453 | |
| Boston Scientific Corp.* | | | 948,418 | | | | 26,688 | |
| Total | | | | | | | 123,807 | |
| 46 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FUNDAMENTAL EQUITY FUND October 31, 2017
| Investments | | Shares | | | Fair
Value
(000) | |
| Health Care Providers & Services 1.79% | | | | | | | | |
| Aetna, Inc. | | | 153,681 | | | $ | 26,130 | |
| UnitedHealth Group, Inc. | | | 102,407 | | | | 21,528 | |
| Total | | | | | | | 47,658 | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure 1.11% | | | | | | | | |
| Carnival Corp. | | | 248,565 | | | | 16,502 | |
| Yum! Brands, Inc. | | | 175,423 | | | | 13,061 | |
| Total | | | | | | | 29,563 | |
| | | | | | | | | |
| Household Durables 0.64% | | | | | | | | |
| Lennar Corp. Class A | | | 307,408 | | | | 17,113 | |
| | | | | | | | | |
| Household Products 1.30% | | | | | | | | |
| Clorox Co. (The) | | | 122,125 | | | | 15,452 | |
| Colgate-Palmolive Co. | | | 271,297 | | | | 19,113 | |
| Total | | | | | | | 34,565 | |
| | | | | | | | | |
| Industrial Conglomerates 2.13% | | | | | | | | |
| General Electric Co. | | | 681,115 | | | | 13,732 | |
| Honeywell International, Inc. | | | 298,323 | | | | 43,006 | |
| Total | | | | | | | 56,738 | |
| | | | | | | | | |
| Information Technology Services 0.80% | | | | | | | | |
| Fidelity National Information Services, Inc. | | | 228,245 | | | | 21,172 | |
| | | | | | | | | |
| Insurance 7.31% | | | | | | | | |
| Allstate Corp. (The) | | | 446,300 | | | | 41,890 | |
| Chubb Ltd. (Switzerland)(a) | | | 358,021 | | | | 53,997 | |
| Hartford Financial Services Group, Inc. (The) | | | 589,166 | | | | 32,433 | |
| Marsh & McLennan Cos., Inc. | | | 331,096 | | | | 26,795 | |
| MetLife, Inc. | | | 633,147 | | | | 33,924 | |
| RenaissanceRe Holdings Ltd. | | | 38,535 | | | | 5,332 | |
| Total | | | | | | | 194,371 | |
| | | | | | | | | |
| Internet Software & Services 0.53% | | | | | | | | |
| Alphabet, Inc. Class A* | | | 13,530 | | | | 13,977 | |
| | | | | | | | | |
| Life Sciences Tools & Services 1.01% | | | | | | | | |
| Thermo Fisher Scientific, Inc. | | | 138,502 | | | | 26,846 | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Machinery 2.46% | | | | | | | | |
| Dover Corp. | | | 343,919 | | | $ | 32,841 | |
| ITT, Inc. | | | 307,636 | | | | 14,348 | |
| PACCAR, Inc. | | | 252,106 | | | | 18,084 | |
| Total | | | | | | | 65,273 | |
| | | | | | | | | |
| Media 0.97% | | | | | | | | |
| Comcast Corp. Class A | | | 368,698 | | | | 13,284 | |
| Walt Disney Co. (The) | | | 129,091 | | | | 12,627 | |
| Total | | | | | | | 25,911 | |
| | | | | | | | | |
| Metals & Mining 0.91% | | | | | | | | |
| Reliance Steel & Aluminum Co. | | | 316,029 | | | | 24,284 | |
| | | | | | | | | |
| Multi-Utilities 0.78% | | | | | | | | |
| Sempra Energy | | | 175,732 | | | | 20,649 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 9.35% | | | | | | | | |
| Chevron Corp. | | | 827,330 | | | | 95,879 | |
| ConocoPhillips | | | 936,100 | | | | 47,881 | |
| Devon Energy Corp. | | | 631,293 | | | | 23,295 | |
| EOG Resources, Inc. | | | 415,736 | | | | 41,520 | |
| Exxon Mobil Corp. | | | 318,276 | | | | 26,528 | |
| Royal Dutch Shell plc Class A ADR | | | 213,772 | | | | 13,474 | |
| Total | | | | | | | 248,577 | |
| | | | | | | | | |
| Pharmaceuticals 7.03% | | | | | | | | |
| Allergan plc | | | 185,676 | | | | 32,907 | |
| Johnson & Johnson | | | 660,103 | | | | 92,025 | |
| Merck & Co., Inc. | | | 562,579 | | | | 30,993 | |
| Novartis AG ADR | | | 375,223 | | | | 30,986 | |
| Total | | | | | | | 186,911 | |
| | | | | | | | | |
| Road & Rail 0.42% | | | | | | | | |
| CSX Corp. | | | 221,590 | | | | 11,175 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 2.81% | |
| Broadcom Ltd. | | | 101,785 | | | | 26,862 | |
| Intel Corp. | | | 1,048,678 | | | | 47,704 | |
| Total | | | | | | | 74,566 | |
| | See Notes to Financial Statements. | 47 |
Schedule of Investments (concluded)
FUNDAMENTAL EQUITY FUND October 31, 2017
| Investments | | Shares | | | Fair
Value
(000) | |
| Software 3.82% | | | | | | | | |
| Microsoft Corp. | | | 420,500 | | | $ | 34,977 | |
| Oracle Corp. | | | 1,308,600 | | | | 66,608 | |
| Total | | | | | | | 101,585 | |
| | | | | | | | | |
| Specialty Retail 2.07% | | | | | | | | |
| Burlington Stores, Inc.* | | | 228,303 | | | | 21,435 | |
| Lowe’s Cos., Inc. | | | 420,013 | | | | 33,580 | |
| Total | | | | | | | 55,015 | |
| | | | | | | | | |
| Technology Hardware, Storage & Peripherals 0.66% | |
| Apple, Inc. | | | 103,512 | | | | 17,498 | |
| | | | | | | | | |
| Tobacco 0.69% | | | | | | | | |
| Altria Group, Inc. | | | 125,443 | | | | 8,056 | |
| Philip Morris International, Inc. | | | 98,662 | | | | 10,324 | |
| Total | | | | | | | 18,380 | |
Total Common Stocks
(cost $2,128,052,061) | | | | | | | 2,614,824 | |
| Investments | | Principal
Amount
(000) | | | Fair
Value
(000) | |
| SHORT-TERM INVESTMENT 1.68% | | | | | | | | |
| | | | | | | | | |
| Repurchase Agreement | | | | | | | | |
Repurchase Agreement dated 10/31/2017, 0.12% due 11/1/2017 with Fixed Income Clearing Corp. collateralized by $45,585,000 of Federal Home Loan Banks at 1.25% due 1/16/2019; value: $45,603,827; proceeds: $44,705,296
(cost $44,705,147) | | $ | 44,705 | | | $ | 44,705 | |
Total Investments in Securities 100.04%
(cost $2,172,757,208) | | | | | | | 2,659,529 | |
| Liabilities in Excess of Other Assets (0.04)% | | | | | | | (1,073 | ) |
| Net Assets 100.00% | | | | | | $ | 2,658,456 | |
| ADR | | American Depositary Receipt. |
| * | | Non-income producing security. |
| (a) | | Foreign security traded in U.S. dollars. |
The following is a summary of the inputs used as of October 31, 2017 in valuing the Fund’s investments carried at fair value(1):
| Investment Type(2)(3) | | Level 1
(000) | | | Level 2
(000) | | | Level 3
(000) | | | Total
(000) | |
| Common Stocks | | $ | 2,614,824 | | | $ | – | | | $ | – | | | $ | 2,614,824 | |
| Repurchase Agreement | | | – | | | | 44,705 | | | | – | | | | 44,705 | |
| Total | | $ | 2,614,824 | | | $ | 44,705 | | | $ | – | | | $ | 2,659,529 | |
| (1) | | Refer to Note 2(l) for a description of fair value measurements and the three-tier hierarchy of inputs. |
| (2) | | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
| (3) | | There were no Level 1/Level 2 transfers during the fiscal year ended October 31, 2017. |
| 48 | See Notes to Financial Statements. |
Schedule of Investments
GLOBAL CORE EQUITY FUND October 31, 2017
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| COMMON STOCKS 100.62% | | | | | | | | |
| | | | | | | | | |
| Australia 1.07% | | | | | | | | |
| | | | | | | | | |
| Beverages 0.55% | | | | | | | | |
| Treasury Wine Estates Ltd. | | | 2,004 | | | $ | 24 | |
| | | | | | | | | |
| Metals & Mining 0.52% | | | | | | | | |
| Alumina Ltd. | | | 12,826 | | | | 23 | |
| Total Australia | | | | | | | 47 | |
| | | | | | | | | |
| Austria 0.71% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| Erste Group Bank AG* | | | 713 | | | | 31 | |
| | | | | | | | | |
| Belgium 0.48% | | | | | | | | |
| | | | | | | | | |
| Beverages | | | | | | | | |
| Anheuser-Busch InBev SA | | | 174 | | | | 21 | |
| | | | | | | | | |
| Canada 0.48% | | | | | | | | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels | | | | | | | | |
| Seven Generations Energy Ltd. Class A* | | | 1,416 | | | | 21 | |
| | | | | | | | | |
| China 2.85% | | | | | | | | |
| | | | | | | | | |
| Diversified Consumer Services 0.32% | | | | | | | | |
| New Oriental Education & Technology Group, Inc. ADR | | | 168 | | | | 14 | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure 0.59% | | | | | | | | |
| Yum China Holdings, Inc.* | | | 643 | | | | 26 | |
| | | | | | | | | |
| Internet Software & Services 1.94% | | | | | | | | |
| Alibaba Group Holding Ltd. ADR* | | | 240 | | | | 44 | |
| Tencent Holdings Ltd. | | | 910 | | | | 41 | |
| | | | | | | | 85 | |
| Total China | | | | | | | 125 | |
| | | | | | | | | |
| Denmark 0.91% | | | | | | | | |
| | | | | | | | | |
| Biotechnology 0.46% | | | | | | | | |
| Ascendis Pharma A/S ADR* | | | 597 | | | | 20 | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Diversified Telecommunication Services 0.45% | | | | | | | | |
| TDC A/S | | | 3,324 | | | $ | 20 | |
| Total Denmark | | | | | | | 40 | |
| | | | | | | | | |
| Finland 0.46% | | | | | | | | |
| | | | | | | | | |
| Insurance | | | | | | | | |
| Sampo OYJ A Shares | | | 375 | | | | 20 | |
| | | | | | | | | |
| France 2.32% | | | | | | | | |
| | | | | | | | | |
| Beverages 0.48% | | | | | | | | |
| Remy Cointreau SA | | | 161 | | | | 21 | |
| | | | | | | | | |
| Construction & Engineering 0.73% | | | | | | | | |
| Vinci SA | | | 328 | | | | 32 | |
| | | | | | | | | |
| Electrical Equipment 0.57% | | | | | | | | |
| Legrand SA | | | 344 | | | | 25 | |
| | | | | | | | | |
| Textiles, Apparel & Luxury Goods 0.54% | | | | | | | | |
| LVMH Moet Hennessy Louis Vuitton SE | | | 79 | | | | 24 | |
| Total France | | | | | | | 102 | |
| | | | | | | | | |
| Germany 2.44% | | | | | | | | |
| | | | | | | | | |
| Chemicals 0.64% | | | | | | | | |
| BASF SE | | | 255 | | | | 28 | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure 0.41% | | | | | | | | |
| TUI AG | | | 990 | | | | 18 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 0.27% | |
| Infineon Technologies AG | | | 445 | | | | 12 | |
| | | | | | | | | |
| Software 0.39% | | | | | | | | |
| SAP SE | | | 153 | | | | 17 | |
| | | | | | | | | |
| Textiles, Apparel & Luxury Goods 0.73% | | | | | | | | |
| adidas AG | | | 142 | | | | 32 | |
| Total Germany | | | | | | | 107 | |
| | | | | | | | | |
| Hong Kong 0.87% | | | | | | | | |
| | | | | | | | | |
| Equity Real Estate Investment Trusts | | | | | | | | |
| Link REIT | | | 4,552 | | | | 38 | |
| | See Notes to Financial Statements. | 49 |
Schedule of Investments (continued)
GLOBAL CORE EQUITY FUND October 31, 2017
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| India 1.21% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| ICICI Bank Ltd. ADR | | | 5,818 | | | $ | 53 | |
| | | | | | | | | |
| Ireland 2.19% | | | | | | | | |
| | | | | | | | | |
| Banks 1.39% | | | | | | | | |
| Allied Irish Banks plc | | | 5,158 | | | | 30 | |
| Bank of Ireland Group plc* | | | 3,914 | | | | 31 | |
| | | | | | | | 61 | |
| | | | | | | | | |
| Building Products 0.80% | | | | | | | | |
| Allegion plc | | | 422 | | | | 35 | |
| Total Ireland | | | | | | | 96 | |
| | | | | | | | | |
| Italy 1.87% | | | | | | | | |
| | | | | | | | | |
| Banks 0.98% | | | | | | | | |
| UniCredit SpA* | | | 2,245 | | | | 43 | |
| | | | | | | | | |
| Internet & Direct Marketing Retail 0.46% | | | | | | | | |
| Yoox Net-A-Porter Group SpA* | | | 551 | | | | 20 | |
| | | | | | | | | |
| Textiles, Apparel & Luxury Goods 0.43% | | | | | | | | |
| Brunello Cucinelli SpA | | | 565 | | | | 19 | |
| Total Italy | | | | | | | 82 | |
| | | | | | | | | |
| Japan 4.42% | | | | | | | | |
| | | | | | | | | |
| Automobiles 0.84% | | | | | | | | |
| Toyota Motor Corp. | | | 607 | | | | 37 | |
| | | | | | | | | |
| Beverages 0.48% | | | | | | | | |
| Coca-Cola Bottlers Japan, Inc. | | | 607 | | | | 21 | |
| | | | | | | | | |
| Machinery 1.21% | | | | | | | | |
| Komatsu Ltd. | | | 1,619 | | | | 53 | |
| | | | | | | | | |
| Software 0.89% | | | | | | | | |
| Nintendo Co., Ltd. | | | 101 | | | | 39 | |
| | | | | | | | | |
| Wireless Telecommunication Services 1.00% | | | | | | | | |
| SoftBank Group Corp. | | | 506 | | | | 44 | |
| Total Japan | | | | | | | 194 | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Netherlands 2.99% | | | | | | | | |
| | | | | | | | | |
| Health Care Equipment & Supplies 0.96% | | | | | | | | |
| Koninklijke Philips NV | | | 1,018 | | | $ | 42 | |
| | | | | | | | | |
| Insurance 0.69% | | | | | | | | |
| ASR Nederland NV | | | 741 | | | | 30 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 1.34% | | | | | | | | |
| Royal Dutch Shell plc B Shares | | | 1,826 | | | | 59 | |
| Total Netherlands | | | | | | | 131 | |
| | | | | | | | | |
| Norway 0.41% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| Sparebank 1 Oestlandet* | | | 1,674 | | | | 18 | |
| | | | | | | | | |
| Portugal 0.41% | | | | | | | | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels | | | | | | | | |
| Galp Energia SGPS SA | | | 956 | | | | 18 | |
| | | | | | | | | |
| South Korea 1.69% | | | | | | | | |
| | | | | | | | | |
| Insurance 0.57% | | | | | | | | |
| ING Life Insurance Korea Ltd.† | | | 584 | | | | 25 | |
| | | | | | | | | |
| Technology Hardware, Storage & Peripherals 1.12% | |
| Samsung Electronics Co., Ltd. | | | 20 | | | | 49 | |
| Total South Korea | | | | | | | 74 | |
| | | | | | | | | |
| Spain 0.84% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| Banco Bilbao Vizcaya | | | | | | | | |
| Argentaria SA | | | 4,230 | | | | 37 | |
| | | | | | | | | |
| Switzerland 2.23% | | | | | | | | |
| | | | | | | | | |
| Food Products 1.00% | | | | | | | | |
| Nestle SA Registered Shares | | | 527 | | | | 44 | |
| | | | | | | | | |
| Insurance 0.46% | | | | | | | | |
| Swiss Life Holding AG Registered Shares* | | | 57 | | | | 20 | |
| 50 | See Notes to Financial Statements. |
Schedule of Investments (continued)
GLOBAL CORE EQUITY FUND October 31, 2017
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Pharmaceuticals 0.77% | | | | | | | | |
| Novartis AG Registered Shares | | | 409 | | | $ | 34 | |
| Total Switzerland | | | | | | | 98 | |
| | | | | | | | | |
| Taiwan 0.77% | | | | | | | | |
| | | | | | | | | |
| Electronic Equipment, Instruments & Components | |
| Hon Hai Precision | | | | | | | | |
| Industry Co., Ltd. | | | 9,104 | | | | 34 | |
| | | | | | | | | |
| United Kingdom 10.19% | | | | | | | | |
| | | | | | | | | |
| Auto Components 0.62% | | | | | | | | |
| GKN plc | | | 6,524 | | | | 27 | |
| | | | | | | | | |
| Banks 0.75% | | | | | | | | |
| Royal Bank of Scotland Group plc* | | | 8,796 | | | | 33 | |
| | | | | | | | | |
| Capital Markets 0.87% | | | | | | | | |
| OM Asset Management plc | | | 2,491 | | | | 38 | |
| | | | | | | | | |
| Insurance 2.76% | | | | | | | | |
| Direct Line Insurance Group plc | | | 3,525 | | | | 17 | |
| Lancashire Holdings Ltd. | | | 2,702 | | | | 27 | |
| RenaissanceRe Holdings Ltd. | | | 206 | | | | 29 | |
| Validus Holdings Ltd. | | | 387 | | | | 20 | |
| XL Group Ltd. | | | 695 | | | | 28 | |
| | | | | | | | 121 | |
| | | | | | | | | |
| Machinery 1.66% | | | | | | | | |
| Pentair plc (United Kingdom) | | | 452 | | | | 32 | |
| Weir Group plc (The) | | | 1,586 | | | | 41 | |
| | | | | | | | 73 | |
| | | | | | | | | |
| Multi-Utilities 0.64% | | | | | | | | |
| National Grid plc | | | 2,297 | | | | 28 | |
| | | | | | | | | |
| Personal Products 0.98% | | | | | | | | |
| Unilever plc | | | 756 | | | | 43 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 0.43% | |
| IQE plc* | | | 9,791 | | | | 19 | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Tobacco 0.89% | | | | | | | | |
| British American Tobacco plc | | | 599 | | | $ | 39 | |
| | | | | | | | | |
| Wireless Telecommunication Services 0.59% | | | | | | | | |
| Vodafone Group plc | | | 8,990 | | | | 26 | |
| Total United Kingdom | | | | | | | 447 | |
| | | | | | | | | |
| United States 58.81% | | | | | | | | |
| | | | | | | | | |
| Aerospace & Defense 1.48% | | | | | | | | |
| Boeing Co. (The) | | | 102 | | | | 26 | |
| General Dynamics Corp. | | | 90 | | | | 18 | |
| Lockheed Martin Corp. | | | 66 | | | | 21 | |
| | | | | | | | 65 | |
| | | | | | | | | |
| Banks 4.54% | | | | | | | | |
| Bank of America Corp. | | | 1,274 | | | | 35 | |
| Byline Bancorp, Inc.* | | | 1,126 | | | | 23 | |
| Citigroup, Inc. | | | 388 | | | | 28 | |
| Citizens Financial Group, Inc. | | | 594 | | | | 23 | |
| First Republic Bank | | | 204 | | | | 20 | |
| JPMorgan Chase & Co. | | | 491 | | | | 49 | |
| KeyCorp | | | 1,177 | | | | 21 | |
| | | | | | | | 199 | |
| | | | | | | | | |
| Beverages 0.98% | | | | | | | | |
| Coca-Cola Co. (The) | | | 437 | | | | 20 | |
| Molson Coors Brewing Co. Class B | | | 286 | | | | 23 | |
| | | | | | | | 43 | |
| | | | | | | | | |
| Biotechnology 2.21% | | | | | | | | |
| Alexion Pharmaceuticals, Inc.* | | | 227 | | | | 27 | |
| Esperion Therapeutics, Inc.* | | | 416 | | | | 19 | |
| Repligen Corp.* | | | 577 | | | | 22 | |
| Vertex Pharmaceuticals, Inc.* | | | 201 | | | | 29 | |
| | | | | | | | 97 | |
| | | | | | | | | |
| Capital Markets 1.37% | | | | | | | | |
| Charles Schwab Corp. (The) | | | 941 | | | | 42 | |
| E*TRADE Financial Corp.* | | | 396 | | | | 18 | |
| | | | | | | | 60 | |
| | See Notes to Financial Statements. | 51 |
Schedule of Investments (continued)
GLOBAL CORE EQUITY FUND October 31, 2017
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Chemicals 1.48% | | | | | | | | |
| Axalta Coating Systems Ltd.* | | | 1,065 | | | $ | 35 | |
| DowDuPont, Inc. | | | 412 | | | | 30 | |
| | | | | | | | 65 | |
| | | | | | | | | |
| Commercial Services & Supplies 0.68% | | | | | | | | |
| Cintas Corp. | | | 203 | | | | 30 | |
| | | | | | | | | |
| Construction Materials 0.59% | | | | | | | | |
| Eagle Materials, Inc. | | | 248 | | | | 26 | |
| | | | | | | | | |
| Containers & Packaging 1.19% | | | | | | | | |
| Avery Dennison Corp. | | | 261 | | | | 28 | |
| Owens-Illinois, Inc.* | | | 1,023 | | | | 24 | |
| | | | | | | | 52 | |
| | | | | | | | | |
| Diversified Telecommunication Services 0.41% | | | | | | | | |
| AT&T, Inc. | | | 524 | | | | 18 | |
| | | | | | | | | |
| Electric: Utilities 0.72% | | | | | | | | |
| Great Plains Energy, Inc. | | | 962 | | | | 32 | |
| | | | | | | | | |
| Electrical Equipment 1.25% | | | | | | | | |
| AMETEK, Inc. | | | 488 | | | | 33 | |
| Rockwell Automation, Inc. | | | 110 | | | | 22 | |
| | | | | | | | 55 | |
| Electronic Equipment, Instruments & Components 0.50% | |
| Corning, Inc. | | | 700 | | | | 22 | |
| | | | | | | | | |
| Energy Equipment & Services 0.39% | | | | | | | | |
| Halliburton Co. | | | 395 | | | | 17 | |
| | | | | | | | | |
| Equity Real Estate Investment Trusts 1.60% | | | | | | | | |
| Alexandria Real Estate Equities, Inc. | | | 183 | | | | 23 | |
| American Tower Corp. | | | 175 | | | | 25 | |
| Duke Realty Corp. | | | 779 | | | | 22 | |
| | | | | | | | 70 | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Exchange-Traded Funds 5.68% | | | | | | | | |
| iShares MSCI Emerging Markets ETF | | | 4,120 | | | $ | 191 | |
| iShares MSCI Japan ETF | | | 1,000 | | | | 58 | |
| | | | | | | | 249 | |
| | | | | | | | | |
| Food & Staples Retailing 0.64% | | | | | | | | |
| Kroger Co. (The) | | | 1,362 | | | | 28 | |
| | | | | | | | | |
| Food Products 1.39% | | | | | | | | |
| Kraft Heinz Co. (The) | | | 516 | | | | 40 | |
| Mondelez International, Inc. Class A | | | 514 | | | | 21 | |
| | | | | | | | 61 | |
| | | | | | | | | |
| Health Care Equipment & Supplies 0.93% | | | | | | | | |
| Boston Scientific Corp.* | | | 685 | | | | 19 | |
| Intuitive Surgical, Inc.* | | | 57 | | | | 22 | |
| | | | | | | | 41 | |
| | | | | | | | | |
| Health Care Providers & Services 1.37% | | | | | | | | |
| Aetna, Inc. | | | 223 | | | | 38 | |
| UnitedHealth Group, Inc. | | | 104 | | | | 22 | |
| | | | | | | | 60 | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure 0.57% | | | | | | | | |
| Starbucks Corp. | | | 452 | | | | 25 | |
| | | | | | | | | |
| Household Durables 1.14% | | | | | | | | |
| Mohawk Industries, Inc.* | | | 112 | | | | 29 | |
| Newell Brands, Inc. | | | 518 | | | | 21 | |
| | | | | | | | 50 | |
| | | | | | | | | |
| Information Technology Services 2.17% | | | | | | | | |
| Cognizant Technology Solutions Corp. Class A | | | 285 | | | | 21 | |
| Euronet Worldwide, Inc.* | | | 226 | | | | 22 | |
| Global Payments, Inc. | | | 256 | | | | 27 | |
| PayPal Holdings, Inc.* | | | 345 | | | | 25 | |
| | | | | | | | 95 | |
| 52 | See Notes to Financial Statements. |
Schedule of Investments (continued)
GLOBAL CORE EQUITY FUND October 31, 2017
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Insurance 0.82% | | | | | | | | |
| Allstate Corp. (The) | | | 187 | | | $ | 18 | |
| Progressive Corp. (The) | | | 375 | | | | 18 | |
| | | | | | | | 36 | |
| | | | | | | | | |
| Internet & Direct Marketing Retail 1.53% | | | | | | | | |
| Amazon.com, Inc.* | | | 61 | | | | 67 | |
| | | | | | | | | |
| Internet Software & Services 3.21% | | | | | | | | |
| Alphabet, Inc. Class A* | | | 52 | | | | 54 | |
| CoStar Group, Inc.* | | | 64 | | | | 19 | |
| Facebook, Inc. Class A* | | | 241 | | | | 43 | |
| IAC/InterActiveCorp.* | | | 193 | | | | 25 | |
| | | | | | | | 141 | |
| | | | | | | | | |
| Life Sciences Tools & Services 1.00% | | | | | | | | |
| Agilent Technologies, Inc. | | | 333 | | | | 23 | |
| Illumina, Inc.* | | | 102 | | | | 21 | |
| | | | | | | | 44 | |
| | | | | | | | | |
| Machinery 0.70% | | | | | | | | |
| Parker-Hannifin Corp. | | | 168 | | | | 31 | |
| | | | | | | | | |
| Media 0.89% | | | | | | | | |
| CBS Corp. Class B | | | 700 | | | | 39 | |
| | | | | | | | | |
| Metals & Mining 0.46% | | | | | | | | |
| Nucor Corp. | | | 353 | | | | 20 | |
| | | | | | | | | |
| Multi-Line Retail 0.59% | | | | | | | | |
| Dollar General Corp. | | | 318 | | | | 26 | |
| | | | | | | | | |
| Multi-Utilities 1.23% | | | | | | | | |
| SCANA Corp. | | | 538 | | | | 23 | |
| Sempra Energy | | | 260 | | | | 31 | |
| | | | | | | | 54 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 3.24% | | | | | | | | |
| Anadarko Petroleum Corp. | | | 478 | | | | 24 | |
| Chevron Corp. | | | 399 | | | | 46 | |
| Cimarex Energy Co. | | | 187 | | | | 22 | |
| EOG Resources, Inc. | | | 225 | | | | 22 | |
| Marathon Petroleum Corp. | | | 472 | | | | 28 | |
| | | | | | | | 142 | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Pharmaceuticals 2.58% | | | | | | | | |
| Bristol-Myers Squibb Co. | | | 565 | | | $ | 35 | |
| Johnson & Johnson | | | 316 | | | | 44 | |
| Merck & Co., Inc. | | | 611 | | | | 34 | |
| | | | | | | | 113 | |
| | | | | | | | | |
| Road & Rail 0.64% | | | | | | | | |
| CSX Corp. | | | 561 | | | | 28 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 1.14% | |
| Broadcom Ltd. | | | 74 | | | | 20 | |
| Intel Corp. | | | 443 | | | | 20 | |
| NVIDIA Corp. | | | 49 | | | | 10 | |
| | | | | | | | 50 | |
| | | | | | | | | |
| Software 3.01% | | | | | | | | |
| Microsoft Corp. | | | 532 | | | | 44 | |
| Oracle Corp. | | | 540 | | | | 27 | |
| Red Hat, Inc.* | | | 146 | | | | 18 | |
| salesforce.com, Inc.* | | | 251 | | | | 26 | |
| Ultimate Software Group, Inc. (The)* | | | 84 | | | | 17 | |
| | | | | | | | 132 | |
| Specialty Retail 1.53% | | | | | | | | |
| Lowe’s Cos., Inc. | | | 296 | | | | 24 | |
| TJX Cos., Inc. (The) | | | 370 | | | | 26 | |
| Ulta Salon, Cosmetics & Fragrance, Inc.* | | | 84 | | | | 17 | |
| | | | | | | | 67 | |
| Technology Hardware, Storage & Peripheral 2.07% | |
| Apple, Inc. | | | 540 | | | | 91 | |
| | | | | | | | | |
| Tobacco 0.46% | | | | | | | | |
| Altria Group, Inc. | | | 309 | | | | 20 | |
| | | | | | | | | |
| Wireless Telecommunication Services 0.43% | | | | | | | | |
| T-Mobile US, Inc.* | | | 320 | | | | 19 | |
| Total United States | | | | | | | 2,580 | |
| | See Notes to Financial Statements. | 53 |
Schedule of Investments (continued)
GLOBAL CORE EQUITY FUND October 31, 2017
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
Total Investments in Common Stock 100.62%
(cost $4,082,656) | | | | | | $ | 4,414 | |
| Liabilities in Excess of Cash, Foreign Cash and Other Assets(a) (0.62)% | | | | | | | (27 | ) |
| Net Assets 100.00% | | | | | | $ | 4,387 | |
| ADR | | American Depositary Receipt. |
| ETF | | Exchange Traded Fund. |
| * | | Non-income producing security. |
| † | | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. |
| (a) | | Liabilities in Excess of Cash, Foreign Cash and Other Assets include net unrealized appreciation/depreciation on forward foreign currency exchange contracts as follows: |
| Open Forward Foreign Currency Exchange Contracts at October 31, 2017: | | | | | | | | |
| | | | | | | | | |
Forward
Foreign
Currency
Exchange
Contracts | | Transaction
Type | | Counterparty | | Expiration
Date | | Foreign
Currency | | U.S. $
Cost on
Origination
Date | | U.S. $
Current
Value | | Unrealized
Appreciation | |
| British pound | | Sell | | Goldman Sachs | | 12/18/2017 | | 40,000 | | $53,217 | | $53,201 | | | | $16 | |
| | | | | | | | | | | | | | | | | | |
Forward
Foreign
Currency
Exchange
Contracts | | Transaction
Type | | Counterparty | | Expiration
Date | | Foreign
Currency | | U.S. $
Cost on
Origination
Date | | U.S. $
Current
Value | | Unrealized
Depreciation | |
| Australian dollar | | Buy | | Goldman Sachs | | 1/11/2018 | | 47,000 | | $37,650 | | $35,948 | | | $ | (1,702 | ) |
| Brazilian real | | Buy | | Goldman Sachs | | 1/22/2018 | | 60,000 | | 18,934 | | 18,161 | | | | (773 | ) |
| Canadian dollar | | Buy | | Goldman Sachs | | 1/25/2018 | | 99,200 | | 80,754 | | 76,962 | | | | (3,792 | ) |
| Japanese yen | | Buy | | Goldman Sachs | | 12/18/2017 | | 7,746,000 | | 71,067 | | 68,273 | | | | (2,794 | ) |
| Swiss franc | | Buy | | Morgan Stanley | | 12/4/2017 | | 19,000 | | 19,741 | | 19,083 | | | | (658 | ) |
| British pound | | Sell | | Bank of America | | 12/18/2017 | | 10,000 | | 13,287 | | 13,300 | | | | (13 | ) |
| British pound | | Sell | | Goldman Sachs | | 12/18/2017 | | 49,000 | | 63,811 | | 65,171 | | | | (1,360 | ) |
| Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | | | | | | | | $ | (11,092 | ) |
| 54 | See Notes to Financial Statements. |
Schedule of Investments (concluded)
GLOBAL CORE EQUITY FUND October 31, 2017
The following is a summary of the inputs used as of October 31, 2017 in valuing the Fund’s investments carried at fair value(1):
| Investment Type(2)(3) | | Level 1
(000) | | | Level 2
(000) | | | Level 3
(000) | | | Total
(000) | |
| Common Stocks | | $ | 4,414 | | | | $ – | | | $ | – | | | $ | 4,414 | |
| Total | | $ | 4,414 | | | | $ – | | | $ | – | | | $ | 4,414 | |
| Other Financial Instruments | | | | | | | | | | | | | | | | |
| Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| Assets | | $ | – | | | | $ – | * | | $ | – | | | $ | – | |
| Liabilities | | | – | | | | (11 | ) | | | – | | | | (11 | ) |
| Total | | $ | – | | | | $(11 | ) | | $ | – | | | $ | (11 | ) |
| | | |
| (1) | | Refer to Note 2(l) for a description of fair value measurements and the three-tier hierarchy of inputs. |
| (2) | | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
| (3) | | There were no Level 1/Level 2 transfers during the fiscal year ended October 31, 2017. |
| * | | Amount less than $1,000. |
| | See Notes to Financial Statements. | 55 |
Schedule of Investments
GROWTH LEADERS FUND October 31, 2017
| Investments | | Shares | | | Fair
Value
(000) | |
| COMMON STOCKS 99.52% | | | | | | | | |
| | | | | | | | | |
| Aerospace & Defense 3.94% | | | | | | | | |
| Boeing Co. (The) | | | 169,381 | | | $ | 43,697 | |
| General Dynamics Corp. | | | 98,459 | | | | 19,985 | |
| Raytheon Co. | | | 247,196 | | | | 44,545 | |
| Total | | | | | | | 108,227 | |
| | | | | | | | | |
| Automobiles 0.99% | | | | | | | | |
| Tesla, Inc.* | | | 81,918 | | | | 27,158 | |
| | | | | | | | | |
| Banks 2.58% | | | | | | | | |
| First Republic Bank | | | 258,571 | | | | 25,185 | |
| SVB Financial Group* | | | 208,652 | | | | 45,753 | |
| Total | | | | | | | 70,938 | |
| | | | | | | | | |
| Beverages 2.44% | | | | | | | | |
| Constellation Brands, Inc. Class A | | | 215,414 | | | | 47,195 | |
| Monster Beverage Corp.* | | | 345,733 | | | | 20,028 | |
| Total | | | | | | | 67,223 | |
| | | | | | | | | |
| Biotechnology 5.86% | | | | | | | | |
| Alexion Pharmaceuticals, Inc.* | | | 179,779 | | | | 21,512 | |
| Alnylam Pharmaceuticals, Inc.* | | | 115,077 | | | | 14,021 | |
| Blueprint Medicines Corp.* | | | 247,794 | | | | 16,458 | |
| Exact Sciences Corp.* | | | 462,133 | | | | 25,413 | |
| Exelixis, Inc.* | | | 618,571 | | | | 15,334 | |
| Spark Therapeutics, Inc.* | | | 222,544 | | | | 18,004 | |
| Vertex Pharmaceuticals, Inc.* | | | 344,352 | | | | 50,355 | |
| Total | | | | | | | 161,097 | |
| | | | | | | | | |
| Building Products 0.72% | | | | | | | | |
| A.O. Smith Corp. | | | 336,337 | | | | 19,911 | |
| | | | | | | | | |
| Capital Markets 2.98% | | | | | | | | |
| Charles Schwab Corp. (The) | | | 650,746 | | | | 29,179 | |
| E*TRADE Financial Corp.* | | | 602,421 | | | | 26,260 | |
| MSCI, Inc. | | | 225,611 | | | | 26,478 | |
| Total | | | | | | | 81,917 | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Chemicals 2.07% | | | | | | | | |
| Albemarle Corp. | | | 213,745 | | | $ | 30,115 | |
| Sherwin-Williams Co. (The) | | | 68,157 | | | | 26,932 | |
| Total | | | | | | | 57,047 | |
| | | | | | | | | |
| Communications Equipment 1.53% | | | | | | | | |
| Arista Networks, Inc.* | | | 210,370 | | | | 42,051 | |
| | | | | | | | | |
| Consumer Finance 0.05% | | | | | | | | |
| Qudian, Inc. ADR* | | | 55,000 | | | | 1,369 | |
| | | | | | | | | |
| Containers & Packaging 0.75% | | | | | | | | |
| Avery Dennison Corp. | | | 195,142 | | | | 20,718 | |
| | | | | | | | | |
| Diversified Consumer Services 0.65% | | | | | | | | |
| New Oriental Education & Technology Group, Inc. ADR | | | 213,919 | | | | 17,807 | |
| | | | | | | | | |
| Electrical Equipment 2.71% | | | | | | | | |
| AMETEK, Inc. | | | 296,769 | | | | 20,029 | |
| Rockwell Automation, Inc. | | | 271,397 | | | | 54,502 | |
| Total | | | | | | | 74,531 | |
| | | | | | | | | |
| Electronic Equipment, Instruments & Components 3.21% | |
| Cognex Corp. | | | 141,008 | | | | 17,365 | |
| IPG Photonics Corp.* | | | 83,321 | | | | 17,740 | |
| Trimble, Inc.* | | | 746,731 | | | | 30,526 | |
| Universal Display Corp. | | | 154,825 | | | | 22,682 | |
| Total | | | | | | | 88,313 | |
| | | | | | | | | |
| Food & Staples Retailing 1.10% | | | | | | | | |
| Wal-Mart Stores, Inc. | | | 347,244 | | | | 30,318 | |
| | | | | | | | | |
| Health Care Equipment & Supplies 4.13% | | | | | | | | |
| Align Technology, Inc.* | | | 151,022 | | | | 36,091 | |
| IDEXX Laboratories, Inc.* | | | 81,504 | | | | 13,544 | |
| Intuitive Surgical, Inc.* | | | 131,160 | | | | 49,232 | |
| Penumbra, Inc.* | | | 144,969 | | | | 14,577 | |
| Total | | | | | | | 113,444 | |
| |
| Health Care Providers & Services 1.96% | | | | | | | | |
| UnitedHealth Group, Inc. | | | 255,883 | | | | 53,792 | |
| 56 | See Notes to Financial Statements. |
Schedule of Investments (continued)
GROWTH LEADERS FUND October 31, 2017
| Investments | | Shares | | | Fair
Value
(000) | |
| Hotels, Restaurants & Leisure 2.39% | | | | | | | | |
| Marriott International, Inc. Class A | | | 136,285 | | | $ | 16,284 | |
| Vail Resorts, Inc. | | | 123,820 | | | | 28,357 | |
| Wynn Resorts Ltd. | | | 143,143 | | | | 21,112 | |
| Total | | | | | | | 65,753 | |
| | | | | | | | | |
| Information Technology Services 5.95% | | | | | | | | |
| Mastercard, Inc. Class A | | | 285,122 | | | | 42,418 | |
| PayPal Holdings, Inc.* | | | 881,498 | | | | 63,961 | |
| Visa, Inc. Class A | | | 520,172 | | | | 57,209 | |
| Total | | | | | | | 163,588 | |
| | | | | | | | | |
| Insurance 1.43% | | | | | | | | |
| Marsh & McLennan Cos., Inc. | | | 232,838 | | | | 18,844 | |
| Progressive Corp. (The) | | | 422,000 | | | | 20,530 | |
| Total | | | | | | | 39,374 | |
| | | | | | | | | |
| Internet & Direct Marketing Retail 6.44% | | | | | | | | |
| Amazon.com, Inc.* | | | 130,709 | | | | 144,470 | |
| Netflix, Inc.* | | | 165,722 | | | | 32,553 | |
| Total | | | | | | | 177,023 | |
| | | | | | | | | |
| Internet Software & Services 15.95% | | | | | | | | |
| 2U, Inc.* | | | 486,209 | | | | 30,938 | |
| Alibaba Group Holding Ltd. ADR* | | | 189,650 | | | | 35,064 | |
| Alphabet, Inc. Class A* | | | 117,409 | | | | 121,288 | |
| Baidu, Inc. ADR* | | | 51,337 | | | | 12,523 | |
| CoStar Group, Inc.* | | | 92,547 | | | | 27,371 | |
| Facebook, Inc. Class A* | | | 777,436 | | | | 139,985 | |
| GrubHub, Inc.* | | | 373,334 | | | | 22,781 | |
| Stamps.com, Inc.* | | | 108,781 | | | | 24,410 | |
| Trade Desk, Inc. (The) Class A* | | | 366,370 | | | | 24,151 | |
| Total | | | | | | | 438,511 | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Life Sciences Tools & Services 2.63% | | | | | | | | |
| Agilent Technologies, Inc. | | | 324,442 | | | $ | 22,072 | |
| Illumina, Inc.* | | | 135,370 | | | | 27,776 | |
| Mettler-Toledo International, Inc.* | | | 32,789 | | | | 22,383 | |
| Total | | | | | | | 72,231 | |
| | | | | | | | | |
| Machinery 3.55% | | | | | | | | |
| Caterpillar, Inc. | | | 155,235 | | | | 21,081 | |
| Fortive Corp. | | | 451,636 | | | | 32,635 | |
| Stanley Black & Decker, Inc. | | | 271,102 | | | | 43,797 | |
| Total | | | | | | | 97,513 | |
| | | | | | | | | |
| Media 2.31% | | | | | | | | |
| Live Nation Entertainment, Inc.* | | | 915,706 | | | | 40,090 | |
| Sirius XM Holdings, Inc. | | | 4,309,797 | | | | 23,445 | |
| Total | | | | | | | 63,535 | |
| | | | | | | | | |
| Pharmaceuticals 0.62% | | | | | | | | |
| Zoetis, Inc. | | | 268,072 | | | | 17,108 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 5.56% | |
| Applied Materials, Inc. | | | 528,573 | | | | 29,827 | |
| Broadcom Ltd. | | | 120,886 | | | | 31,903 | |
| CEVA, Inc.* | | | 272,959 | | | | 13,184 | |
| Lam Research Corp. | | | 128,228 | | | | 26,744 | |
| NVIDIA Corp. | | | 248,274 | | | | 51,346 | |
| Total | | | | | | | 153,004 | |
| | | | | | | | | |
| Software 8.54% | | | | | | | | |
| Activision Blizzard, Inc. | | | 324,720 | | | | 21,266 | |
| Adobe Systems, Inc.* | | | 193,622 | | | | 33,915 | |
| Atlassian Corp. plc Class A (Australia)*(a) | | | 499,281 | | | | 24,150 | |
| HubSpot, Inc.* | | | 162,097 | | | | 14,029 | |
| Microsoft Corp. | | | 1,359,013 | | | | 113,043 | |
| salesforce.com, Inc.* | | | 277,705 | | | | 28,420 | |
| Total | | | | | | | 234,823 | |
| | See Notes to Financial Statements. | 57 |
Schedule of Investments (concluded)
GROWTH LEADERS FUND October 31, 2017
| Investments | | Shares | | | Fair
Value
(000) | |
| Specialty Retail 1.80% | | | | | | | | |
| Home Depot, Inc. (The) | | | 298,552 | | | $ | 49,494 | |
| | | | | | | | | |
| Technology Hardware, Storage & Peripherals 4.68% | |
| Apple, Inc. | | | 762,072 | | | | 128,821 | |
| Total Common Stocks | | | | | | | | |
| (cost $2,261,581,989) | | | | | | | 2,736,639 | |
| Investments | | Principal
Amount
(000) | | | Fair
Value
(000) | |
| SHORT-TERM INVESTMENT 0.31% | | | | | | | | |
| | | | | | | | | |
| Repurchase Agreement | | | | | | | | |
Repurchase Agreement dated 10/31/2017, 0.12% due 11/1/2017 with Fixed Income Clearing Corp. collateralized by $8,390,000 of U.S. Treasury Inflation Indexed Note at 0.125% due 4/15/2020; value: $8,826,557; proceeds: $8,650,469
(cost $8,650,440) | | $ | 8,650 | | | $ | 8,650 | |
Total Investments in Securities 99.83%
(cost $2,270,232,429) | | | | | | | 2,745,289 | |
| Cash and Other Assets in Excess of Liabilities 0.17% | | | | 4,589 | |
| Net Assets 100.00% | | | | | | $ | 2,749,878 | |
| ADR | | American Depositary Receipt. |
| * | | Non-income producing security. |
| (a) | | Foreign security traded in U.S. dollars. |
The following is a summary of the inputs used as of October 31, 2017 in valuing the Fund’s investments carried at fair value(1):
| Investment Type(2)(3) | | Level 1
(000) | | | Level 2
(000) | | | Level 3
(000) | | | Total
(000) | |
| Common Stocks | | $ | 2,736,639 | | | | $ – | | | $ | – | | | $ | 2,736,639 | |
| Repurchase Agreement | | | – | | | | 8,650 | | | | – | | | | 8,650 | |
| Total | | $ | 2,736,639 | | | | $8,650 | | | $ | – | | | $ | 2,745,289 | |
| (1) | | Refer to Note 2(l) for a description of fair value measurements and the three-tier hierarchy of inputs. |
| (2) | | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
| (3) | | There were no Level 1/Level 2 transfers during the fiscal year ended October 31, 2017. |
| 58 | See Notes to Financial Statements. |
Schedule of Investments
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2017
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| LONG-TERM INVESTMENTS 98.16% | | | | | | |
| | | | | | | |
| COMMON STOCKS 98.16% | | | | | | |
| | | | | | | |
| Australia 2.11% | | | | | | |
| | | | | | | |
| Capital Markets 0.99% | | | | | | |
| Macquarie Group Ltd. | | | 136,831 | | | $ | 10,300 | |
| |
| Hotels, Restaurants & Leisure 1.12% |
| Crown Resorts Ltd. | | | 1,319,687 | | | | 11,726 | |
| Total Australia | | | | | | | 22,026 | |
| | | | | | | | | |
| Austria 1.66% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| Erste Group Bank AG* | | | 404,921 | | | | 17,400 | |
| | | | | | | | | |
| Belgium 2.08% | | | | | | | | |
| | | | | | | | | |
| Air Freight & Logistics 0.99% | | | | | | | | |
| bpost SA | | | 369,271 | | | | 10,416 | |
| | | | | | | | | |
| Beverages 1.09% | | | | | | | | |
| Anheuser-Busch InBev SA | | | 92,985 | | | | 11,378 | |
| Total Belgium | | | | | | | 21,794 | |
| | | | | | | | | |
| Brazil 2.78% | | | | | | | | |
| | | | | | | | | |
| Electric: Utilities 0.94% | | | | | | | | |
| Transmissora Alianca de Energia Eletrica SA Unit | | 1,566,800 | | | | 9,818 | |
| | | | | | | | | |
| Household Durables 1.14% | | | | | | | | |
| MRV Engenharia e Participacoes SA | | | 3,090,000 | | | | 11,949 | |
| | | | | | | | | |
| Media 0.70% | | | | | | | | |
| Multiplus SA | | | 632,100 | | | | 7,343 | |
| Total Brazil | | | | | | | 29,110 | |
| | | | | | | | | |
| Canada 5.63% | | | | | | | | |
| | | | | | | | | |
| Banks 3.03% | | | | | | | | |
| Bank of Nova Scotia (The) | | | 285,100 | | | | 18,404 | |
| Royal Bank of Canada | | | 169,500 | | | | 13,253 | |
| | | | | | | | 31,657 | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Oil, Gas & Consumable Fuels 2.60% |
| Pembina Pipeline Corp. | | | 501,900 | | | $ | 16,593 | |
| Seven Generations Energy Ltd. Class A* | | | 346,200 | | | | 5,227 | |
| Whitecap Resources, Inc. | | | 757,900 | | | | 5,440 | |
| | | | | | | | 27,260 | |
| Total Canada | | | | | | | 58,917 | |
| | | | | | | | | |
| China 3.92% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| Bank of China Ltd. H Shares | | | 61,909,000 | | | | 30,870 | |
| China Merchants Bank Co., Ltd. H Shares | | | 2,656,500 | | | | 10,130 | |
| Total China | | | | | | | 41,000 | |
| | | | | | | | | |
| Denmark 0.72% | | | | | | | | |
| | | | | | |
| Diversified Telecommunication Services | | | | | |
| TDC A/S | | | 1,268,357 | | | | 7,499 | |
| | | | | | | | | |
| Finland 1.16% | | | | | | | | |
| | | | | | | | | |
| Insurance | | | | | | | | |
| Sampo OYJ A Shares | | | 231,894 | | | | 12,150 | |
| | | | | | | | | |
| France 8.61% | | | | | | | | |
| | | | | | | | | |
| Automobiles 1.52% | | | | | | | | |
| Renault SA | | | 160,146 | | | | 15,883 | |
| | | | | | | | | |
| Banks 1.23% | | | | | | | | |
| BNP Paribas SA | | | 164,321 | | | | 12,832 | |
| | | | | | | | | |
| Construction & Engineering 1.56% | | | | | | | | |
| Vinci SA | | | 167,207 | | | | 16,371 | |
| | | | | | | | | |
| Insurance 1.43% | | | | | | | | |
| AXA SA | | | 495,483 | | | | 14,966 | |
| | | | | | | | | |
| Multi-Utilities 1.13% | | | | | | | | |
| Suez | | | 672,876 | | | | 11,835 | |
| | | | | | | | | |
| Pharmaceuticals 1.74% | | | | | | | | |
| Sanofi | | | 191,681 | | | | 18,150 | |
| Total France | | | | | | | 90,037 | |
| | See Notes to Financial Statements. | 59 |
Schedule of Investments (continued)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2017
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Germany 8.55% | | | | | | |
| | | | | | | |
| Chemicals 1.77% | | | | | | |
| BASF SE | | | 169,201 | | | $ | 18,503 | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure 1.39% | | | | | | | | |
| TUI AG | | | 804,247 | | | | 14,527 | |
| | | | | | | | | |
| Industrial Conglomerates 0.81% | | | | | | | | |
| Siemens AG Registered Shares | | | 59,411 | | | | 8,533 | |
| | | | | | | | | |
| Insurance 3.78% | | | | | | | | |
| Allianz SE Registered Shares | | | 169,175 | | | | 39,495 | |
| |
| Real Estate Management & Development 0.80% |
| Aroundtown SA | | | 1,188,589 | | | | 8,349 | |
| Total Germany | | | | | | | 89,407 | |
| | | | | | | | | |
| Hong Kong 3.80% | | | | | | | | |
| | | | | | | | | |
| Commercial Services & Supplies 1.23% |
| China Everbright International Ltd. | | | 9,137,000 | | | | 12,883 | |
| | | | | | | | | |
| Communications Equipment 0.75% | | | | | | | | |
| VTech Holdings Ltd. | | | 554,900 | | | | 7,888 | |
| |
| Equity Real Estate Investment Trusts 1.03% |
| Link REIT | | | 1,279,500 | | | | 10,751 | |
| |
| Real Estate Management & Development 0.79% |
| Hysan Development Co., Ltd. | | | 1,700,000 | | | | 8,215 | |
| Total Hong Kong | | | | | | | 39,737 | |
| | | | | | | | | |
| India 0.93% | | | | | | | | |
| | | | | | | | | |
| Thrifts & Mortgage Finance | | | | | | | | |
| Indiabulls Housing Finance Ltd. | | | 507,869 | | | | 9,755 | |
| | | | | | | | | |
| Indonesia 1.42% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| PT Bank Negara Indonesia (Persero) Tbk | | | 26,510,900 | | | | 14,856 | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Ireland 0.87% | | | | | | |
| | | | | | | |
| Banks | | | | | | |
| Allied Irish Banks plc | | | 1,534,507 | | | $ | 9,070 | |
| | | | | | | | | |
| Italy 0.75% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| UniCredit SpA* | | | 410,731 | | | | 7,861 | |
| | | | | | | | | |
| Japan 1.81% | | | | | | | | |
| | | | | | | | | |
| Automobiles 0.76% | | | | | | | | |
| Nissan Motor Co., Ltd. | | | 821,900 | | | | 7,940 | |
| | | | | | | | | |
| Banks 1.05% | | | | | | | | |
| Sumitomo Mitsui Financial Group, Inc. | | | 276,600 | | | | 10,988 | |
| Total Japan | | | | | | | 18,928 | |
| | | | | | | | | |
| Macau 1.71% | | | | | | | | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure | | | | | | | | |
| Sands China Ltd. | | | 1,849,200 | | | | 8,711 | |
| Wynn Macau Ltd. | | | 3,566,000 | | | | 9,142 | |
| Total Macau | | | | | | | 17,853 | |
| | | | | | | | | |
| Mexico 0.50% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| Grupo Financiero Banorte SAB de CV | | | 879,016 | | | | 5,217 | |
| | | | | | | | | |
| Netherlands 5.38% | | | | | | | | |
| | | | | | | | | |
| Health Care Equipment & Supplies 1.28% |
| Koninklijke Philips NV | | | 329,220 | | | | 13,405 | |
| | | | | | | | | |
| Insurance 1.76% | | | | | | | | |
| ASR Nederland NV | | | 447,824 | | | | 18,362 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 2.34% | | | | | | | | |
| Royal Dutch Shell plc Class A ADR | | | 387,916 | | | | 24,450 | |
| Total Netherlands | | | | | | | 56,217 | |
| 60 | See Notes to Financial Statements. | |
Schedule of Investments (continued)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2017
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| New Zealand 2.07% | | | | | | |
| | | | | | | |
| Airlines 0.44% | | | | | | |
| Air New Zealand Ltd. | | | 2,026,127 | | | $ | 4,576 | |
| |
| Diversified Telecommunication Services 1.63% |
| Spark New Zealand Ltd. | | | 6,787,800 | | | | 17,093 | |
| Total New Zealand | | | | | | | 21,669 | |
| | | | | | | | | |
| Norway 0.44% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| Sparebank 1 Oestlandet* | | | 423,862 | | | | 4,605 | |
| | | | | | | | | |
| Russia 2.65% | | | | | | | | |
| | | | | | | | | |
| Banks 1.31% | | | | | | | | |
| Sberbank of Russia PJSC ADR | | | 951,213 | | | | 13,650 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 1.34% | | | | | | | | |
| Lukoil PJSC ADR | | | 264,446 | | | | 14,042 | |
| Total Russia | | | | | | | 27,692 | |
| | | | | | | | | |
| Singapore 1.61% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| DBS Group Holdings Ltd. | | | 1,007,400 | | | | 16,836 | |
| | | | | | | | | |
| South Africa 0.69% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| Barclays Africa Group Ltd. | | | 730,455 | | | | 7,240 | |
| | | | | | | | | |
| South Korea 2.50% | | | | | | | | |
| | | | | | | | | |
| Insurance 1.23% | | | | | | | �� | |
| ING Life Insurance Korea Ltd.† | | | 299,964 | | | | 12,852 | |
| |
| Technology Hardware, Storage & Peripherals 1.27% |
| Samsung Electronics Co., Ltd. | | | 5,403 | | | | 13,281 | |
| Total South Korea | | | | | | | 26,133 | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Spain 3.87% | | | | | | | | |
| | | | | | | | | |
| Banks 1.11% | | | | | | | | |
| Banco Bilbao Vizcaya Argentaria SA | | | 1,321,323 | | | $ | 11,564 | |
| | | | | | | | | |
| Electric: Utilities 1.32% | | | | | | | | |
| Red Electrica Corp. SA | | | 625,375 | | | | 13,848 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 1.44% | | | | | | | | |
| Enagas SA | | | 521,033 | | | | 15,009 | |
| Total Spain | | | | | | | 40,421 | |
| | | | | | | | | |
| Sweden 0.92% | | | | | | | | |
| | | | | | | | | |
| Commercial Services & Supplies | | | | | | | | |
| Loomis AB Class B | | | 239,838 | | | | 9,623 | |
| | | | | | | | | |
| Switzerland 2.50% | | | | | | | | |
| | | | | | | | | |
| Food Products 1.26% | | | | | | | | |
| Nestle SA Registered Shares | | | 156,837 | | | | 13,190 | |
| | | | | | | | | |
| Pharmaceuticals 1.24% | | | | | | | | |
| Roche Holding AG | | | 55,839 | | | | 12,901 | |
| Total Switzerland | | | | | | | 26,091 | |
| | | | | | | | | |
| Taiwan 4.96% | | | | | | | | |
| | | | | | | | | |
| Electronic Equipment, Instruments & Components 2.47% | |
| Hon Hai Precision Industry Co., Ltd. | | | 6,949,000 | | | | 25,806 | |
| | |
| Semiconductors & Semiconductor Equipment 2.49% | |
| Advanced Semiconductor Engineering, Inc. | | | 11,980,000 | | | | 14,439 | |
| Taiwan Semiconductor Manufacturing Co., Ltd. | | | 1,436,000 | | | | 11,570 | |
| | | | | | | | 26,009 | |
| Total Taiwan | | | | | | | 51,815 | |
| | | | | | | | | |
| Thailand 0.26% | | | | | | | | |
| | | | | | | | | |
| Real Estate Management & Development | | | | | | | | |
| Pruksa Holding PCL | | | 3,534,000 | | | | 2,686 | |
| | See Notes to Financial Statements. | 61 |
Schedule of Investments (continued)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2017
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| United Kingdom 21.30% | | | | | | |
| | | | | | | |
| Banks 0.98% | | | | | | |
| HSBC Holdings plc | | | 1,055,229 | | | $ | 10,291 | |
| | | | | | | | | |
| Beverages 0.84% | | | | | | | | |
| Coca-Cola European Partners plc | | | 213,610 | | | | 8,762 | |
| | | | | | | | | |
| Capital Markets 0.99% | | | | | | | | |
| Jupiter Fund Management plc | | | 1,314,023 | | | | 10,375 | |
| | | | | | | | | |
| Household Durables 1.00% | | | | | | | | |
| Berkeley Group Holdings plc | | | 209,738 | | | | 10,421 | |
| | | | | | | | | |
| Insurance 3.55% | | | | | | | | |
| Direct Line Insurance Group plc | | | 2,780,669 | | | | 13,727 | |
| Lancashire Holdings Ltd. | | | 1,093,888 | | | | 10,918 | |
| Prudential plc | | | 508,502 | | | | 12,508 | |
| | | | | | | | 37,153 | |
| | | | | | | | | |
| Machinery 0.71% | | | | | | | | |
| Weir Group plc (The) | | | 285,803 | | | | 7,414 | |
| | | | | | | | | |
| Metals & Mining 3.43% | | | | | | | | |
| Anglo American plc | | | 735,523 | | | | 13,872 | |
| Rio Tinto plc ADR | | | 458,734 | | | | 21,987 | |
| | | | | | | | 35,859 | |
| | | | | | | | | |
| Multi-Utilities 1.09% | | | | | | | | |
| National Grid plc | | | 942,709 | | | | 11,344 | |
| | | | | | | | | |
| Personal Products 1.31% | | | | | | | | |
| Unilever NV CVA | | | 235,434 | | | | 13,686 | |
| | | | | | | | | |
| Pharmaceuticals 2.61% | | | | | | | | |
| AstraZeneca plc | | | 315,756 | | | | 21,103 | |
| GlaxoSmithKline plc | | | 343,081 | | | | 6,186 | |
| | | | | | | | 27,289 | |
| | | | | | | | | |
| Tobacco 3.63% | | | | | | | | |
| British American Tobacco plc | | | 465,724 | | | | 30,130 | |
| Imperial Brands plc | | | 192,135 | | | | 7,835 | |
| | | | | | | | 37,965 | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Wireless Telecommunication Services 1.16% |
| Vodafone Group plc | | | 4,251,437 | | | $ | 12,174 | |
| Total United Kingdom | | | | | | | 222,733 | |
Total Common Stocks
(cost $911,625,623) | | | | | | | 1,026,378 | |
| | | | | | | | | |
| | | Principal
Amount
(000) | | | | | |
| SHORT-TERM INVESTMENT 1.30% | | | | | | | | |
| | | | | | | | | |
| Repurchase Agreement | | | | | | | | |
| Repurchase Agreement dated 10/31/2017, 0.12% due 11/1/2017 with Fixed Income Clearing Corp. collateralized by $13,950,000 of Federal Home Loan Mortgage Corp. at 1.25% due 10/2/2019; value: $13,864,445; proceeds: $13,590,338 (cost $13,590,292) | | $ | 13,590 | | | | 13,590 | |
Total Investments in Securities 99.46%
(cost $925,215,915) | | | | | | | 1,039,968 | |
| Foreign Cash and Other Assets in Excess of Liabilities(a) 0.54% | | | | | | | 5,668 | |
| Net Assets 100.00% | | | | | | $ | 1,045,636 | |
| ADR | | American Depositary Receipt. |
| CVA | | Company Voluntary Arrangement |
| Unit | | More than one class of securities traded together. |
| * | | Non-income producing security. |
| † | | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. |
| (a) | | Foreign Cash and Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts as follows: |
| 62 | See Notes to Financial Statements. | |
Schedule of Investments (continued)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2017
Open Forward Foreign Currency Exchange Contracts at October 31, 2017:
Forward
Foreign
Currency
Exchange
Contracts | | Transaction
Type | | Counterparty | | Expiration
Date | | Foreign
Currency | | | U.S. $
Cost on
Origination
Date | | | U.S. $
Current
Value | | Unrealized
Appreciation | |
| British pound | | Sell | | Deutsche Bank AG | | 2/6/2018 | | | 2,400,000 | | | $ | 3,201,756 | | | $ | 3,197,363 | | | $ | 4,393 | |
| euro | | Sell | | State Street Bank and Trust | | 2/20/2018 | | | 35,000,000 | | | | 41,384,980 | | | | 41,037,650 | | | | 347,330 | |
| euro | | Sell | | State Street Bank and Trust | | 2/20/2018 | | | 35,400,000 | | | | 41,853,880 | | | | 41,506,652 | | | | 347,228 | |
| New Zealand dollar | | Sell | | State Street Bank and Trust | | 11/30/2017 | | | 31,000,000 | | | | 23,241,506 | | | | 21,202,393 | | | | 2,039,113 | |
| Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | | | | | | | | | | | $ | 2,738,064 | |
Forward
Foreign
Currency
Exchange
Contracts | | Transaction
Type | | Counterparty | | Expiration
Date | | Foreign
Currency | | | U.S. $
Cost on
Origination
Date | | | U.S. $
Current
Value | | Unrealized
Depreciation | |
| Australian dollar | | Buy | | Citibank | | 2/6/2018 | | | 3,400,000 | | | $ | 2,638,495 | | | $ | 2,600,025 | | | $ | (38,470 | ) |
| Australian dollar | | Buy | | J.P. Morgan | | 2/6/2018 | | | 5,434,000 | | | | 4,279,072 | | | | 4,155,452 | | | | (123,620 | ) |
| Australian dollar | | Buy | | Standard Chartered Bank | | 2/6/2018 | | | 4,000,000 | | | | 3,138,261 | | | | 3,058,853 | | | | (79,408 | ) |
| Australian dollar | | Buy | | State Street Bank and Trust | | 2/6/2018 | | | 21,600,000 | | | | 16,933,591 | | | | 16,517,806 | | | | (415,785 | ) |
| Canadian dollar | | Buy | | J.P. Morgan | | 2/6/2018 | | | 87,900,000 | | | | 70,500,007 | | | | 68,203,396 | | | | (2,296,611 | ) |
| Canadian dollar | | Buy | | State Street Bank and Trust | | 2/6/2018 | | | 5,238,000 | | | | 4,249,967 | | | | 4,064,271 | | | | (185,696 | ) |
| Canadian dollar | | Buy | | State Street Bank and Trust | | 2/6/2018 | | | 3,230,000 | | | | 2,621,296 | | | | 2,506,223 | | | | (115,073 | ) |
| Canadian dollar | | Buy | | State Street Bank and Trust | | 2/6/2018 | | | 3,260,000 | | | | 2,624,866 | | | | 2,529,500 | | | | (95,366 | ) |
| Japanese yen | | Buy | | State Street Bank and Trust | | 2/23/2018 | | | 471,500,000 | | | | 4,216,301 | | | | 4,171,493 | | | | (44,808 | ) |
| New Zealand dollar | | Buy | | J.P. Morgan | | 11/30/2017 | | | 4,363,000 | | | | 3,143,667 | | | | 2,984,066 | | | | (159,601 | ) |
| South African rand | | Buy | | Barclays Bank plc | | 12/4/2017 | | | 160,000,000 | | | | 11,845,376 | | | | 11,253,816 | | | | (591,560 | ) |
| South African rand | | Buy | | Standard Chartered Bank | | 12/4/2017 | | | 71,000,000 | | | | 5,253,129 | | | | 4,993,881 | | | | (259,248 | ) |
| British pound | | Sell | | Goldman Sachs | | 2/6/2018 | | | 3,220,000 | | | | 4,242,866 | | | | 4,289,795 | | | | (46,929 | ) |
| British pound | | Sell | | Standard Chartered Bank | | 2/6/2018 | | | 12,000,000 | | | | 15,980,796 | | | | 15,986,814 | | | | (6,018 | ) |
| South Korean won | | Sell | | Bank of America | | 2/20/2018 | | | 18,200,000,000 | | | | 16,096,651 | | | | 16,288,270 | | | | (191,619 | ) |
| Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | | | $ | (4,649,812 | ) |
| | See Notes to Financial Statements. | 63 |
Schedule of Investments (concluded)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2017
The following is a summary of the inputs used as of October 31, 2017 in valuing the Fund’s investments carried at fair value(1):
| Investment Type(2)(3) | | Level 1
(000) | | | Level 2
(000) | | | Level 3
(000) | | | Total
(000) | |
| Common Stocks | | $ | 1,026,378 | | | $ | – | | | $ | – | | | $ | 1,026,378 | |
| Repurchase Agreement | | | – | | | | 13,590 | | | | – | | | | 13,590 | |
| Total | | $ | 1,026,378 | | | $ | 13,590 | | | $ | – | | | $ | 1,039,968 | |
| Other Financial Instruments | | | | | | | | | | | | | | | | |
| Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| Assets | | $ | – | | | $ | 2,738 | | | $ | – | | | $ | 2,738 | |
| Liabilities | | | – | | | | (4,650 | ) | | | – | | | | (4,650 | ) |
| Total | | $ | – | | | $ | (1,912 | ) | | $ | – | | | $ | (1,912 | ) |
| (1) | | Refer to Note 2(l) for a description of fair value measurements and the three-tier hierarchy of inputs. |
| (2) | | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
| (3) | | There were no Level 1/Level 2 transfers during the fiscal year ended October 31, 2017. |
| 64 | See Notes to Financial Statements. | |
Schedule of Investments
INTERNATIONAL EQUITY FUND October 31, 2017
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| COMMON STOCKS 96.46% | | | | | | |
| | | | | | | |
| Australia 2.05% | | | | | | |
| | | | | | | |
| Airlines 0.72% | | | | | | |
| Qantas Airways Ltd. | | | 992,835 | | | $ | 4,673 | |
| | | | | | | | | |
| Beverages 0.62% | | | | | | | | |
| Treasury Wine Estates Ltd. | | | 336,286 | | | | 4,028 | |
| | | | | | | | | |
| Metals & Mining 0.71% | | | | | | | | |
| BHP Billiton Ltd. | | | 225,552 | | | | 4,582 | |
| Total Australia | | | | | | | 13,283 | |
| | | | | | | | | |
| Austria 1.34% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| Erste Group Bank AG* | | | 202,331 | | | | 8,694 | |
| | | | | | | | | |
| Belgium 1.04% | | | | | | | | |
| | | | | | | | | |
| Beverages | | | | | | | | |
| Anheuser-Busch InBev SA | | | 55,258 | | | | 6,762 | |
| | | | | | | | | |
| Brazil 0.88% | | | | | | | | |
| | | | | | | | | |
| Health Care Providers & Services | | | | | | | | |
| Qualicorp SA | | | 531,600 | | | | 5,688 | |
| | | | | | | | | |
| Canada 0.28% | | | | | | | | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels | | | | | | | | |
| Seven Generations Energy Ltd. Class A* | | | 118,000 | | | | 1,782 | |
| | | | | | | | | |
| China 2.50% | | | | | | | | |
| | | | | | | | | |
| Consumer Finance 0.23% | | | | | | | | |
| Qudian, Inc. ADR* | | | 58,698 | | | | 1,462 | |
| | | | | | | | | |
| Internet Software & Services 2.27% | | | | | | | | |
| Alibaba Group Holding Ltd. ADR* | | | 37,288 | | | | 6,894 | |
| China Literature Ltd.*† | | | 94 | | | | 1 | (a) |
| Tencent Holdings Ltd. | | | 174,300 | | | | 7,815 | |
| | | | | | | | 14,710 | |
| Total China | | | | | | | 16,172 | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Denmark 2.64% | | | | | | |
| | | | | | | |
| Banks 0.93% | | | | | | |
| Danske Bank A/S | | | 158,165 | | | $ | 6,034 | |
| | | | | | | | | |
| Diversified Telecommunication Services 1.00% |
| TDC A/S | | | 1,091,435 | | | | 6,453 | |
| | | | | | | | | |
| Pharmaceuticals 0.71% | | | | | | | | |
| Novo Nordisk A/S Class B | | | 92,931 | | | | 4,623 | |
| Total Denmark | | | | | | | 17,110 | |
| | | | | | | | | |
| Finland 0.96% | | | | | | | | |
| | | | | | | | | |
| Insurance | | | | | | | | |
| Sampo OYJ A Shares | | | 118,589 | | | | 6,213 | |
| | | | | | | | | |
| France 7.53% | | | | | | | | |
| | | | | | | | | |
| Auto Components 1.18% | | | | | | | | |
| Valeo SA | | | 112,510 | | | | 7,614 | |
| | | | | | | | | |
| Beverages 1.32% | | | | | | | | |
| Remy Cointreau SA | | | 65,907 | | | | 8,560 | |
| | | | | | | | | |
| Construction & Engineering 1.41% | | | | | | | | |
| Vinci SA | | | 93,018 | | | | 9,107 | |
| | | | | | | | | |
| Information Technology Services 0.75% | | | | | | | | |
| Atos SE | | | 31,036 | | | | 4,823 | |
| | | | | | | | | |
| Machinery 1.35% | | | | | | | | |
| Alstom SA | | | 216,363 | | | | 8,755 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 0.51% | | | | | | | | |
| Total SA | | | 59,433 | | | | 3,314 | |
| | | | | | | | | |
| Pharmaceuticals 0.47% | | | | | | | | |
| Sanofi | | | 32,311 | | | | 3,060 | |
| | | | | | | | | |
| Textiles, Apparel & Luxury Goods 0.54% | | | | | | | | |
| LVMH Moet Hennessy Louis Vuitton SE | | | 11,751 | | | | 3,506 | |
| Total France | | | | | | | 48,739 | |
| | See Notes to Financial Statements. | 65 |
Schedule of Investments (continued)
INTERNATIONAL EQUITY FUND October 31, 2017
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Germany 11.15% | | | | | | |
| | | | | | | |
| Hotels, Restaurants & Leisure 1.09% | | | | | | |
| TUI AG | | | 392,227 | | | $ | 7,085 | |
| | | | | | | | | |
| Industrial Conglomerates 0.66% | | | | | | | | |
| Rheinmetall AG | | | 35,987 | | | | 4,274 | |
| | | | | | | | | |
| Insurance 1.63% | | | | | | | | |
| Allianz SE Registered Shares | | | 45,236 | | | | 10,561 | |
| | | | | | | | | |
| Life Sciences Tools & Services 0.90% | | | | | | | | |
| MorphoSys AG* | | | 67,462 | | | | 5,855 | |
| | | | | | | | | |
| Pharmaceuticals 1.05% | | | | | | | | |
| Bayer AG Registered Shares | | | 52,137 | | | | 6,782 | |
| | | | | | | | | |
| Real Estate Management & Development 2.10% |
| Aroundtown SA | | | 981,534 | | | | 6,894 | |
| PATRIZIA Immobilien AG* | | | 315,624 | | | | 6,686 | |
| | | | | | | | 13,580 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 1.27% |
| Infineon Technologies AG | | | 295,935 | | | | 8,185 | |
| | | | | | | | | |
| Software 1.02% | | | | | | | | |
| SAP SE | | | 57,604 | | | | 6,582 | |
| | | | | | | | | |
| Textiles, Apparel & Luxury Goods 1.43% |
| adidas AG | | | 41,709 | | | | 9,283 | |
| Total Germany | | | | | | | 72,187 | |
| | | | | | | | | |
| Hong Kong 2.87% | | | | | | | | |
| | | | | | | | | |
| Household Durables 1.24% | | | | | | | | |
| Techtronic Industries Co., Ltd. | | | 1,374,000 | | | | 8,058 | |
| | | | | | | | | |
| Industrial Conglomerates 0.48% | | | | | | | | |
| Jardine Strategic Holdings Ltd. | | | 73,400 | | | | 3,078 | |
| | | | | | | | | |
| Insurance 0.50% | | | | | | | | |
| AIA Group Ltd. | | | 428,800 | | | | 3,226 | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Paper & Forest Products 0.65% | | | | | | | | |
| Nine Dragons Paper Holdings Ltd. | | | 2,294,000 | | | $ | 4,211 | |
| Total Hong Kong | | | | | | | 18,573 | |
| | | | | | | | | |
| India 2.04% | | | | | | | | |
| | | | | | | | | |
| Banks 1.26% | | | | | | | | |
| ICICI Bank Ltd. ADR | | | 890,987 | | | | 8,152 | |
| | | | | | | | | |
| Information Technology Services 0.78% |
| Vakrangee Ltd. | | | 580,314 | | | | 5,038 | |
| Total India | | | | | | | 13,190 | |
| | | | | | | | | |
| Indonesia 1.24% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| Bank Rakyat Indonesia Persero Tbk PT | | | 4,252,700 | | | | 4,891 | |
| Bank Tabungan Negara Persero Tbk PT | | | 15,340,300 | | | | 3,122 | |
| | | | | | | | 8,013 | |
| Total Indonesia | | | | | | | 8,013 | |
| | | | | | | | | |
| Ireland 1.01% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| Allied Irish Banks plc | | | 552,343 | | | | 3,264 | |
| Bank of Ireland Group plc* | | | 417,195 | | | | 3,270 | |
| Total Ireland | | | | | | | 6,534 | |
| | | | | | | | | |
| Israel 0.65% | | | | | | | | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment | | | | | | | | |
| Tower Semiconductor Ltd.* | | | 127,843 | | | | 4,226 | |
| | | | | | | | | |
| Italy 4.93% | | | | | | | | |
| | | | | | | | | |
| Banks 0.93% | | | | | | | | |
| UniCredit SpA* | | | 314,422 | | | | 6,017 | |
| | | | | | | | | |
| Diversified Financial Services 0.71% | | | | | | | | |
| doBank SpA*† | | | 289,628 | | | | 4,605 | |
| | | | | | | | | |
| Electric: Utilities 1.63% | | | | | | | | |
| Enel SpA | | | 1,701,930 | | | | 10,557 | |
| 66 | See Notes to Financial Statements. | |
Schedule of Investments (continued)
INTERNATIONAL EQUITY FUND October 31, 2017
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Electrical Equipment 1.08% | | | | | | |
| Prysmian SpA | | | 203,042 | | | $ | 7,001 | |
| | | | | | | | | |
| Internet & Direct Marketing Retail 0.58% | | | | | | | | |
| Yoox Net-A-Porter Group SpA* | | | 99,034 | | | | 3,703 | |
| Total Italy | | | | | | | 31,883 | |
| | | | | | | | | |
| Japan 17.30% | | | | | | | | |
| | | | | | | | | |
| Automobiles 1.51% | | | | | | | | |
| Honda Motor Co., Ltd. | | | 316,100 | | | | 9,794 | |
| | | | | | | | | |
| Building Products 1.05% | | | | | | | | |
| Daikin Industries Ltd. | | | 61,900 | | | | 6,789 | |
| | | | | | | | | |
| Chemicals 3.09% | | | | | | | | |
| Asahi Kasei Corp. | | | 358,486 | | | | 4,316 | |
| Mitsubishi Chemical Holdings Corp. | | | 704,900 | | | | 7,300 | |
| Mitsubishi Gas Chemical Co., Inc. | | | 346,000 | | | | 8,395 | |
| | | | | | | | 20,011 | |
| | | | | | | | | |
| Construction & Engineering 1.17% | | | | | | | | |
| Obayashi Corp. | | | 328,700 | | | | 4,278 | |
| Taisei Corp. | | | 59,800 | | | | 3,298 | |
| | | | | | | | 7,576 | |
| | | | | | | | | |
| Distributors 0.54% | | | | | | | | |
| PALTAC Corp. | | | 88,600 | | | | 3,503 | |
| | | | | | | | | |
| Diversified Financial Services 1.03% | | | | | | | | |
| ORIX Corp. | | | 390,300 | | | | 6,654 | |
| | | | | | | | | |
| Household Durables 0.78% | | | | | | | | |
| Sony Corp. | | | 129,600 | | | | 5,030 | |
| | | | | | | | | |
| Machinery 3.10% | | | | | | | | |
| DMG Mori Co., Ltd. | | | 330,300 | | | | 6,583 | |
| Komatsu Ltd. | | | 228,000 | | | | 7,413 | |
| Makino Milling Machine Co., Ltd. | | | 653,000 | | | | 6,099 | |
| | | | | | | | 20,095 | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Professional Services 0.76% | | | | | | |
| Recruit Holdings Co., Ltd. | | | 202,100 | | | $ | 4,934 | |
| | | | | | | | | |
| Software 1.57% | | | | | | | | |
| Nintendo Co., Ltd. | | | 26,300 | | | | 10,131 | |
| | | | | | | | | |
| Specialty Retail 0.80% | | | | | | | | |
| Bic Camera, Inc. | | | 422,000 | | | | 5,166 | |
| | | | | | | | | |
| Trading Companies & Distributors 0.91% |
| Mitsubishi Corp. | | | 253,600 | | | | 5,907 | |
| | | | | | | | | |
| Wireless Telecommunication Services 0.99% |
| SoftBank Group Corp. | | | 73,300 | | | | 6,412 | |
| Total Japan | | | | | | | 112,002 | |
| | | | | | | | | |
| Luxembourg 1.70% | | | | | | | | |
| | | | | | | | | |
| Metals & Mining 1.14% | | | | | | | | |
| Ternium SA ADR | | | 237,352 | | | | 7,361 | |
| | | | | | | | | |
| Multi-Line Retail 0.56% | | | | | | | | |
| B&M European Value Retail SA | | | 689,871 | | | | 3,640 | |
| Total Luxembourg | | | | | | | 11,001 | |
| | | | | | | | | |
| Mexico 0.79% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| Grupo Financiero Banorte SAB de CV | | | 858,800 | | | | 5,097 | |
| | | | | | | | | |
| Morocco 1.01% | | | | | | | | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure | | | | | | | | |
| Wynn Macau Ltd. | | | 2,537,200 | | | | 6,504 | |
| | | | | | | | | |
| Netherlands 5.28% | | | | | | | | |
| | | | | | | | | |
| Banks 0.99% | | | | | | | | |
| ING Groep NV | | | 346,063 | | | | 6,393 | |
| | | | | | | | | |
| Health Care Equipment & Supplies 1.38% |
| Koninklijke Philips NV | | | 218,543 | | | | 8,899 | |
| | | | | | | | | |
| Insurance 1.26% | | | | | | | | |
| ASR Nederland NV | | | 198,992 | | | | 8,159 | |
| | See Notes to Financial Statements. | 67 |
Schedule of Investments (continued)
INTERNATIONAL EQUITY FUND October 31, 2017
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Oil, Gas & Consumable Fuels 1.14% | | | | | | | | |
| Royal Dutch Shell plc B Shares | | | 229,258 | | | $ | 7,373 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 0.51% | |
| ASML Holding NV | | | 18,468 | | | | 3,330 | |
| Total Netherlands | | | | | | | 34,154 | |
| | | | | | | | | |
| Norway 0.82% | | | | | | | | |
| | | | | | | | | |
| Banks 0.31% | | | | | | | | |
| Sparebank 1 Oestlandet* | | | 182,414 | | | | 1,982 | |
| | | | | | | | | |
| Metals & Mining 0.51% | | | | | | | | |
| Norsk Hydro ASA | | | 428,006 | | | | 3,309 | |
| Total Norway | | | | | | | 5,291 | |
| | | | | | | | | |
| Philippines 0.96% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| Metropolitan Bank & Trust Co. | | | 3,704,950 | | | | 6,217 | |
| | | | | | | | | |
| Poland 1.01% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| Powszechna Kasa Oszczednosci Bank Polski SA* | | | 617,058 | | | | 6,569 | |
| | | | | | | | | |
| South Korea 3.19% | | | | | | | | |
| | | | | | | | | |
| Auto Components 0.75% | | | | | | | | |
| Mando Corp. | | | 16,737 | | | | 4,878 | |
| | | | | | | | | |
| Insurance 0.63% | | | | | | | | |
| ING Life Insurance Korea Ltd.† | | | 94,820 | | | | 4,062 | |
| | | | | | | | | |
| Technology Hardware, Storage & Peripherals 1.81% |
| Samsung Electronics Co., Ltd. | | | 4,749 | | | | 11,674 | |
| Total South Korea | | | | | | | 20,614 | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Spain 2.15% | | | | | | | | |
| | | | | | | | | |
| Banks 1.02% | | | | | | | | |
| Banco Bilbao Vizcaya Argentaria SA | | | 749,466 | | | $ | 6,559 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 1.13% | | | | | | | | |
| Repsol SA | | | 390,940 | | | | 7,325 | |
| Total Spain | | | | | | | 13,884 | |
| | | | | | | | | |
| Sweden 2.52% | | | | | | | | |
| | | | | | | | | |
| Commercial Services & Supplies 1.24% | | | | | | | | |
| Loomis AB Class B | | | 200,604 | | | | 8,049 | |
| | | | | | | | | |
| Machinery 1.28% | | | | | | | | |
| Volvo AB B Shares | | | 416,912 | | | | 8,262 | |
| Total Sweden | | | | | | | 16,311 | |
| | | | | | | | | |
| Switzerland 4.36% | | | | | | | | |
| | | | | | | | | |
| Food Products 1.48% | | | | | | | | |
| Nestle SA Registered Shares | | | 113,998 | | | | 9,587 | |
| | | | | | | | | |
| Insurance 1.23% | | | | | | | | |
| Swiss Life Holding AG Registered Shares* | | | 22,891 | | | | 7,957 | |
| | | | | | | | | |
| Pharmaceuticals 1.65% | | | | | | | | |
| Novartis AG Registered Shares | | | 67,132 | | | | 5,531 | |
| Roche Holding AG | | | 22,398 | | | | 5,175 | |
| | | | | | | | 10,706 | |
| Total Switzerland | | | | | | | 28,250 | |
| | | | | | | | | |
| Taiwan 1.94% | | | | | | | | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 1.53% | |
| Advanced Semiconductor Engineering, Inc. | | | 2,697,272 | | | | 3,251 | |
| Taiwan Semiconductor Manufacturing Co., Ltd. ADR | | | 157,022 | | | | 6,647 | |
| | | | | | | | 9,898 | |
| 68 | See Notes to Financial Statements. | |
Schedule of Investments (continued)
INTERNATIONAL EQUITY FUND October 31, 2017
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Technology Hardware, Storage & Peripherals 0.41% |
| Primax Electronics Ltd. | | | 1,032,044 | | | $ | 2,676 | |
| Total Taiwan | | | | | | | 12,574 | |
| | | | | | | | | |
| United Kingdom 10.32% | | | | | | | | |
| | | | | | | | | |
| Beverages 0.96% | | | | | | | | |
| Coca-Cola European Partners plc | | | 151,780 | | | | 6,226 | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure 1.64% | | | | | | | | |
| Compass Group plc | | | 483,404 | | | | 10,613 | |
| | | | | | | | | |
| Insurance 0.95% | | | | | | | | |
| Direct Line Insurance Group plc | | | 1,250,301 | | | | 6,172 | |
| | | | | | | | | |
| Internet & Direct Marketing Retail 0.50% | | | | | | | | |
| ASOS plc* | | | 42,395 | | | | 3,208 | |
| | | | | | | | | |
| Machinery 0.94% | | | | | | | | |
| Weir Group plc (The) | | | 235,564 | | | | 6,110 | |
| | | | | | | | | |
| Metals & Mining 0.98% | | | | | | | | |
| Rio Tinto plc | | | 133,974 | | | | 6,314 | |
| | | | | | | | | |
| Personal Products 1.06% | | | | | | | | |
| Unilever NV CVA | | | 117,408 | | | | 6,825 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 0.70% | |
| IQE plc* | | | 2,342,958 | | | | 4,528 | |
| | | | | | | | | |
| Tobacco 1.59% | | | | | | | | |
| British American Tobacco plc | | | 159,249 | | | | 10,303 | |
| | | | | | | | | |
| Wireless Telecommunication Services 1.00% |
| Vodafone Group plc | | | 2,268,855 | | | | 6,497 | |
| Total United Kingdom | | | | | | | 66,796 | |
Total Common Stocks
(cost $549,489,496) | | | | | | | 624,313 | |
| Investments | | Principal
Amount
(000) | | | U.S. $
Fair Value
(000) | |
| SHORT-TERM INVESTMENT 2.88% | | | | | | | | |
| | | | | | | | | |
| Repurchase Agreement | | | | | | | | |
Repurchase Agreement dated 10/31/2017, 0.12% due 11/1/2017 with Fixed Income Clearing Corp. collateralized by $18,085,000 of U.S. Treasury Inflation Indexed Note at 0.125% due 4/15/2020; value: $19,026,017; proceeds: $18,649,634
(cost $18,649,572) | | $ | 18,650 | | | $ | 18,650 | |
Total Investments in Securities 99.34%
(cost $568,139,068) | | | | | | | 642,963 | |
| Cash, Foreign Cash and Other Assets in Excess of Liabilities(b) 0.66% | | | | | | | 4,275 | |
| Net Assets 100.00% | | | | | | $ | 647,238 | |
| ADR | | American Depositary Receipt. |
| CVA | | Company Voluntary Arrangement |
| * | | Non-income producing security. |
| † | | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. |
| (a) | | Level 3 Investment as described in Note 2(l) in the Notes to Financials. Security fair valued by the Pricing Committee. |
| (b) | | Cash, Foreign Cash and Other Assets in Excess of Liabilities in Excess of Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts as follows: |
| | See Notes to Financial Statements. | 69 |
Schedule of Investments (continued)
INTERNATIONAL EQUITY FUND October 31, 2017
Open Forward Foreign Currency Exchange Contracts at October 31, 2017:
Forward
Foreign
Currency
Exchange
Contracts | | Transaction
Type | | Counterparty | | Expiration
Date | | Foreign
Currency | | | U.S. $
Cost on
Origination
Date | | | U.S. $
Current
Value | | Unrealized
Appreciation | |
| British pound | | Buy | | Standard Chartered Bank | | 2/6/2018 | | | 37,800,000 | | | $ | 50,339,507 | | | $ | 50,358,465 | | | $ | 18,958 | |
| South Korean won | | Buy | | Standard Chartered Bank | | 2/20/2018 | | | 10,765,000,000 | | | | 9,633,541 | | | | 9,634,243 | | | | 702 | |
| Taiwan dollar | | Buy | | J.P. Morgan | | 11/6/2017 | | | 195,000,000 | | | | 6,462,089 | | | | 6,470,160 | | | | 8,071 | |
| euro | | Sell | | Goldman Sachs
| | 2/20/2018 | | | 2,200,000 | | | | 2,627,607 | | | | 2,579,509 | | | | 48,098 | |
| euro | | Sell | | State Street Bank and Trust
| | 2/20/2018 | | | 22,000,000 | | | | 26,013,416 | | | | 25,795,094 | | | | 218,322 | |
| euro | | Sell | | State Street Bank and Trust
| | 2/20/2018 | | | 21,620,000 | | | | 25,561,607 | | | | 25,349,543 | | | | 212,064 | |
| Japanese yen | | Sell | | State Street Bank and Trust | | 2/23/2018 | | | 4,550,000,000 | | | | 40,344,369 | | | | 40,255,132 | | | | 89,237 | |
| Swedish krona | | Sell | | J.P. Morgan | | 12/21/2017 | | | 41,650,000 | | | | 5,149,264 | | | | 4,990,300 | | | | 158,964 | |
| Swedish krona | | Sell | | J.P. Morgan | | 12/21/2017 | | | 15,895,000 | | | | 1,951,666 | | | | 1,904,461 | | | | 47,205 | |
| Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | | | $ | 801,621 | |
Forward
Foreign
Currency
Exchange
Contracts | | Transaction
Type | | Counterparty | | Expiration
Date | | Foreign
Currency | | | U.S. $
Cost on
Origination
Date | | | U.S. $
Current
Value | | Unrealized
Depreciation | |
| Australian dollar | | Buy | | Goldman Sachs
| | 2/6/2018 | | | 5,000,000 | | | $ | 3,961,525 | | | $ | 3,823,566 | | | $ | (137,959 | ) |
| Australian dollar | | Buy | | State Street Bank and Trust | | 2/6/2018 | | | 35,000,000 | | | | 27,438,688 | | | | 26,764,963 | | | | (673,725 | ) |
| euro | | Buy | | J.P. Morgan
| | 2/20/2018 | | | 2,743,000 | | | | 3,253,088 | | | | 3,216,179 | | | | (36,909 | ) |
| euro | | Buy | | State Street Bank and Trust
| | 2/20/2018 | | | 3,292,000 | | | | 3,892,520 | | | | 3,859,884 | | | | (32,636 | ) |
| euro | | Buy | | State Street Bank and Trust
| | 2/20/2018 | | | 8,200,000 | | | | 9,732,624 | | | | 9,614,535 | | | | (118,089 | ) |
| euro | | Buy | | State Street Bank and Trust
| | 2/20/2018 | | | 8,200,000 | | | | 9,616,131 | | | | 9,614,535 | | | | (1,596 | ) |
| Japanese yen | | Buy | | State Street Bank and Trust | | 2/23/2018 | | | 4,550,000,000 | | | | 40,687,528 | | | | 40,255,132 | | | | (432,396 | ) |
| Swedish krona | | Buy | | Goldman Sachs | | 12/21/2017 | | | 83,440,000 | | | | 10,343,853 | | | | 9,997,373 | | | | (346,480 | ) |
| Swiss franc | | Buy | | Citibank | | 2/23/2018 | | | 2,539,000 | | | | 2,595,934 | | | | 2,565,603 | | | | (30,331 | ) |
| Swiss franc | | Buy | | State Street Bank and Trust
| | 2/23/2018 | | | 15,540,000 | | | | 16,062,182 | | | | 15,702,822 | | | | (359,360 | ) |
| Swiss franc | | Buy | | State Street Bank and Trust | | 2/23/2018 | | | 1,600,000 | | | | 1,639,861 | | | | 1,616,764 | | | | (23,097 | ) |
| Australian dollar | | Sell | | Citibank | | 2/6/2018 | | | 25,470,000 | | | | 19,477,164 | | | | 19,477,246 | | | | (82 | ) |
| British pound | | Sell | | State Street Bank and Trust | | 2/6/2018 | | | 37,800,000 | | | | 50,208,625 | | | | 50,358,465 | | | | (149,840 | ) |
| South Korean won | | Sell | | Bank of America | | 2/20/2018 | | | 10,765,000,000 | | | | 9,520,904 | | | | 9,634,243 | | | | (113,339 | ) |
| Swedish krona | | Sell | | J.P. Morgan | | 12/21/2017 | | | 25,895,000 | | | | 3,100,581 | | | | 3,102,612 | | | | (2,031 | ) |
| Swiss franc | | Sell | | Citibank | | 2/23/2018 | | | 19,679,000 | | | | 19,871,094 | | | | 19,885,189 | | | | (14,095 | ) |
| Taiwan dollar | | Sell | | J.P. Morgan | | 11/6/2017 | | | 195,000,000 | | | | 6,414,052 | | | | 6,470,160 | | | | (56,108 | ) |
| Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | | | | | $ | (2,528,073 | ) |
| 70 | See Notes to Financial Statements. | |
Schedule of Investments (concluded)
INTERNATIONAL EQUITY FUND October 31, 2017
The following is a summary of the inputs used as of October 31, 2017 in valuing the Fund’s investments carried at fair value(1):
| Investment Type(2)(3) | | Level 1
(000) | | | Level 2
(000) | | | Level 3
(000) | | | Total
(000) | |
| Common Stocks | | | | | | | | | | | | | | | | |
| China | | $ | 16,171 | | | $ | – | | | | $1 | | | $ | 16,172 | |
| Philippines | | | – | | | | 6,217 | | | | – | | | | 6,217 | |
| Remaining Countries | | | 601,924 | | | | – | | | | – | | | | 601,924 | |
| Repurchase Agreement | | | – | | | | 18,650 | | | | – | | | | 18,650 | |
| Total | | $ | 618,095 | | | $ | 24,867 | | | | $1 | | | $ | 642,963 | |
| Other Financial Instruments | | | | | | | | | | | | | | | | |
| Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| Assets | | $ | – | | | $ | 802 | | | | $– | | | $ | 802 | |
| Liabilities | | | – | | | | (2,528 | ) | | | – | | | | (2,528 | ) |
| Total | | $ | – | | | $ | (1,726 | ) | | | $– | | | $ | (1,726 | ) |
| (1) | | Refer to Note 2(l) for a description of fair value measurements and the three-tier hierarchy of inputs. |
| (2) | | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy. Each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized. |
| (3) | | There were no Level 1/Level 2 transfers during the fiscal year ended October 31, 2017. |
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
| | Common Stocks | |
| Balance as of November 1, 2016 | | | – | |
| Accrued Discounts (Premiums) | | | – | |
| Realized Gain (Loss) | | | – | |
| Change in Unrealized Appreciation (Depreciation) | | | (7 | ) |
| Purchases | | | 670 | |
| Sales | | | – | |
| Transfers into Level 3 | | | – | |
| Transfers out of Level 3 | | | – | |
| Balance as of October 31, 2017 | | | 663 | |
| Net change in unrealized appreciation/depreciation for period ended October 31, 2017 related to Level 3 investments held at October 31, 2017 | | | (7 | ) |
| | See Notes to Financial Statements. | 71 |
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2017
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| COMMON STOCKS 95.06% | | | | | | | | |
| | | | | | | | | |
| Australia 1.41% | | | | | | | | |
| | | | | | | | | |
| Auto Components 0.52% | | | | | | | | |
| GUD Holdings Ltd. | | | 454,367 | | | $ | 4,152 | |
| | | | | | | | | |
| Electric: Utilities 0.89% | | | | | | | | |
| AusNet Services | | | 5,306,858 | | | | 7,189 | |
| Total Australia | | | | | | | 11,341 | |
| | | | | | | | | |
| Canada 3.96% | | | | | | | | |
| | | | | | | | | |
| Metals & Mining 0.65% | | | | | | | | |
| Hudbay Minerals, Inc. | | | 699,466 | | | | 5,200 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 2.38% | | | | | | | | |
| Africa Oil Corp.* | | | 2,547,210 | | | | 3,201 | |
| Canacol Energy Ltd.* | | | 2,041,600 | | | | 6,488 | |
| Vermilion Energy, Inc. | | | 140,600 | | | | 4,798 | |
| Whitecap Resources, Inc. | | | 644,300 | | | | 4,625 | |
| | | | | | | | 19,112 | |
| Paper & Forest Products 0.93% | | | | | | | | |
| Interfor Corp.* | | | 459,809 | | | | 7,485 | |
| Total Canada | | | | | | | 31,797 | |
| | | | | | | | | |
| China 0.63% | | | | | | | | |
| | | | | | | | | |
| Internet & Direct Marketing Retail 0.10% | | | | |
| Secoo Holding Ltd. ADR* | | | 105,538 | | | | 764 | |
| | | | | | | | | |
| Internet Software & Services 0.53% | | | | | | | | |
| China Rapid Finance Ltd. ADR* | | | 526,999 | | | | 4,258 | |
| Total China | | | | | | | 5,022 | |
| | | | | | | | | |
| Finland 3.51% | | | | | | | | |
| | | | | | | | | |
| Health Care Providers & Services 0.73% | | | | |
| Terveystalo OYJ*† | | | 487,514 | | | | 5,849 | |
| | | | | | | | | |
| Machinery 2.16% | | | | | | | | |
| Konecranes OYJ | | | 207,278 | | | | 9,552 | |
| Outotec OYJ* | | | 972,403 | | | | 7,742 | |
| | | | | | | | 17,294 | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Trading Companies & Distributors 0.62% | | | | |
| Cramo OYJ | | | 225,642 | | | $ | 5,010 | |
| Total Finland | | | | | | | 28,153 | |
| | | | | | | | | |
| France 6.30% | | | | | | | | |
| | | | | | | | | |
| Building Products 0.75% | | | | | | | | |
| Tarkett SA | | | 140,826 | | | | 5,992 | |
| | | | | | | | | |
| Construction Materials 0.46% | | | | | | | | |
| Vicat SA | | | 47,353 | | | | 3,663 | |
| | | | | | | | | |
| Health Care Providers & Services 0.98% | | | | |
| Korian SA | | | 240,903 | | | | 7,829 | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure 1.08% | | | | | | | | |
| Elior Group SA† | | | 306,659 | | | | 8,709 | |
| | | | | | | | | |
| Information Technology Services 0.99% | | | | |
| Altran Technologies SA | | | 431,862 | | | | 7,989 | |
| | | | | | | | | |
| Life Sciences Tools & Services 0.17% | | | | | | | | |
| Genfit* | | | 51,980 | | | | 1,368 | |
| | | | | | | | | |
| Real Estate Management & Development 0.98% | | | |
| Nexity SA* | | | 128,163 | | | | 7,875 | |
| | | | | | | | | |
| Specialty Retail 0.89% | | | | | | | | |
| Maisons du Monde SA† | | | 165,002 | | | | 7,140 | |
| Total France | | | | | | | 50,565 | |
| | | | | | | | | |
| Germany 5.49% | | | | | | | | |
| | | | | | | | | |
| Industrial Conglomerates 1.01% | | | | | | | | |
| Rheinmetall AG | | | 67,795 | | | | 8,052 | |
| | | | | | | | | |
| Internet Software & Services 0.63% | | | | | | | | |
| XING SE | | | 16,992 | | | | 5,048 | |
| | | | | | | | | |
| Life Sciences Tools & Services 1.53% | | | | |
| Gerresheimer AG | | | 99,729 | | | | 7,977 | |
| MorphoSys AG* | | | 49,385 | | | | 4,286 | |
| | | | | | | | 12,263 | |
| | | | | | | | | |
| Machinery 1.22% | | | | | | | | |
| Deutz AG | | | 1,158,723 | | | | 9,816 | |
| 72 | See Notes to Financial Statements. | |
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2017
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Real Estate Management & Development 1.10% | | |
| PATRIZIA Immobilien AG* | | | 417,947 | | | $ | 8,853 | |
| Total Germany | | | | | | | 44,032 | |
| | | | | | | | | |
| Hong Kong 1.76% | | | | | | | | |
| | | | | | | | | |
| Communications Equipment 0.91% | | | | | | | | |
| VTech Holdings Ltd. | | | 514,500 | | | | 7,314 | |
| | | | | | | | | |
| Energy Equipment & Services 0.17% | | | | | | | | |
| Hilong Holding Ltd. | | | 8,712,900 | | | | 1,385 | |
| | | | | | | | | |
| Paper & Forest Products 0.68% | | | | | | | | |
| Lee & Man Paper Manufacturing Ltd. | | | 4,429,000 | | | | 5,404 | |
| Total Hong Kong | | | | | | | 14,103 | |
| | | | | | | | | |
| India 1.23% | | | | | | | | |
| | | | | | | | | |
| Information Technology Services 0.71% | | |
| Vakrangee Ltd. | | | 655,647 | | | | 5,692 | |
| | | | | | | | | |
| Thrifts & Mortgage Finance 0.52% | | | | | | | | |
| Dewan Housing Finance Corp., Ltd. | | | 421,435 | | | | 4,182 | |
| Total India | | | | | | | 9,874 | |
| | | | | | | | | |
| Indonesia 0.83% | | | | | | | | |
| | | | | | | | | |
| Banks 0.68% | | | | | | | | |
| Bank Tabungan Negara Persero Tbk PT | | | 27,053,304 | | | | 5,505 | |
| | | | | | | | | |
| Consumer Finance 0.15% | | | | | | | | |
| PT Clipan Finance Indonesia Tbk* | | | 52,233,850 | | | | 1,194 | |
| Total Indonesia | | | | | | | 6,699 | |
| | | | | | | | | |
| Ireland 4.94% | | | | | | | | |
| | | | | | | | | |
| Beverages 0.44% | | | | | | | | |
| C&C Group plc | | | 1,038,211 | | | | 3,563 | |
| | | | | | | | | |
| Equity Real Estate Investment Trusts 0.99% | | |
| Hibernia REIT plc | | | 4,643,294 | | | | 7,978 | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Food Products 0.55% | | | | | | | | |
| Origin Enterprises plc | | | 551,786 | | | $ | 4,370 | |
| | | | | | | | | |
| Health Care Providers & Services 1.21% | | |
| UDG Healthcare plc | | | 789,152 | | | | 9,690 | |
| | | | | | | | | |
| Household Durables 1.75% | | | | | | | | |
| Cairn Homes plc* | | | 5,530,262 | | | | 11,483 | |
| Glenveagh Properties plc*† | | | 1,950,500 | | | | 2,556 | |
| | | | | | | | 14,039 | |
| Total Ireland | | | | | | | 39,640 | |
| | | | | | | | | |
| Israel 2.53% | | | | | | | | |
| | | | | | | | | |
| Chemicals 0.78% | | | | | | | | |
| Frutarom Industries Ltd. | | | 76,517 | | | | 6,300 | |
| |
| Electronic Equipment, Instruments & Components 0.90% |
| Orbotech Ltd. (Israel)* | | | 161,010 | | | | 7,200 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 0.85% | | |
| Tower Semiconductor Ltd.* | | | 206,190 | | | | 6,817 | |
| Total Israel | | | | | | | 20,317 | |
| | | | | | | | | |
| Italy 7.50% | | | | | | | | |
| | | | | | | | | |
| Beverages 0.52% | | | | | | | | |
| Davide Campari-Milano SpA | | | 521,075 | | | | 4,176 | |
| | | | | | | | | |
| Capital Markets 0.79% | | | | | | | | |
| Anima Holding SpA† | | | 834,122 | | | | 6,345 | |
| | | | | | | | | |
| Construction Materials 1.07% | | | | | | | | |
| Buzzi Unicem SpA | | | 306,558 | | | | 8,545 | |
| | | | | | | | | |
| Diversified Financial Services 1.27% | | | | | | | | |
| doBank SpA*† | | | 639,344 | | | | 10,165 | |
| | | | | | | | | |
| Electrical Equipment 0.98% | | | | | | | | |
| Prysmian SpA | | | 228,157 | | | | 7,867 | |
| | | | | | | | | |
| Internet & Direct Marketing Retail 0.93% | | |
| Yoox Net-A-Porter Group SpA* | | | 200,465 | | | | 7,496 | |
| | See Notes to Financial Statements. | 73 |
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2017
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Textiles, Apparel & Luxury Goods 1.94% | | |
| Brunello Cucinelli SpA | | | 239,725 | | | $ | 8,048 | |
| Moncler SpA | | | 264,235 | | | | 7,504 | |
| | | | | | | | 15,552 | |
| Total Italy | | | | | | | 60,146 | |
| | | | | | | | | |
| Japan 21.68% | | | | | | | | |
| | | | | | | | | |
| Banks 1.12% | | | | | | | | |
| Shinsei Bank Ltd. | | | 536,000 | | | | 8,961 | |
| | | | | | | | | |
| Beverages 1.49% | | | | | | | | |
| Coca-Cola Bottlers Japan, Inc. | | | 343,800 | | | | 11,943 | |
| | | | | | | | | |
| Chemicals 1.27% | | | | | | | | |
| KH Neochem Co., Ltd. | | | 408,300 | | | | 10,177 | |
| | | | | | | | | |
| Construction & Engineering 1.05% | | | | | | | | |
| SHO-BOND Holdings Co., Ltd. | | | 137,200 | | | | 8,398 | |
| | | | | | | | | |
| Containers & Packaging 0.78% | | | | | | | | |
| Fuji Seal International, Inc. | | | 192,100 | | | | 6,276 | |
| | | | | | | | | |
| Equity Real Estate Investment Trusts 0.85% | | |
| GLP J-Reit | | | 6,771 | | | | 6,795 | |
| | | | | | | | | |
| Food & Staples Retailing 1.36% | | | | | | | | |
| Sundrug Co., Ltd. | | | 250,800 | | | | 10,885 | |
| | | | | | | | | |
| Food Products 0.65% | | | | | | | | |
| Nichirei Corp. | | | 205,100 | | | | 5,253 | |
| | | | | | | | | |
| Health Care Providers & Services 0.50% | | | | | | | | |
| Japan Lifeline Co., Ltd. | | | 83,600 | | | | 4,000 | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure 1.68% | | | | | | | | |
| HIS Co., Ltd. | | | 229,700 | | | | 7,666 | |
| St. Marc Holdings Co., Ltd. | | | 192,500 | | | | 5,807 | |
| | | | | | | | 13,473 | |
| | | | | | | | | |
| Information Technology Services 0.81% | | | | | | | | |
| NS Solutions Corp. | | | 271,100 | | | | 6,542 | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Machinery 3.64% | | | | | | | | |
| CKD Corp. | | | 207,300 | | | $ | 4,051 | |
| DMG Mori Co., Ltd. | | | 404,500 | | | | 8,061 | |
| Nabtesco Corp. | | | 104,100 | | | | 4,111 | |
| Takeuchi Manufacturing Co., Ltd. | | | 448,000 | | | | 9,354 | |
| Tsubakimoto Chain Co. | | | 422,000 | | | | 3,596 | |
| | | | | | | | 29,173 | |
| | | | | | | | | |
| Professional Services 1.31% | | | | | | | | |
| en-japan, Inc. | | | 273,800 | | | | 10,499 | |
| | | |
| Real Estate Management & Development 1.04% | | |
| Kenedix, Inc. | | | 1,440,300 | | | | 8,373 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 0.96% | | |
| Megachips Corp. | | | 236,700 | | | | 7,744 | |
| | | | | | | | | |
| Software 0.47% | | | | | | | | |
| Trend Micro, Inc. | | | 70,400 | | | | 3,746 | |
| | | | | | | | | |
| Specialty Retail 2.22% | | | | | | | | |
| Bic Camera, Inc. | | | 628,400 | | | | 7,693 | |
| United Arrows Ltd. | | | 271,000 | | | | 10,105 | |
| | | | | | | | 17,798 | |
| | | | | | | | | |
| Wireless Telecommunication Services 0.48% | | |
| Okinawa Cellular Telephone Co. | | | 112,600 | | | | 3,897 | |
| Total Japan | | | | | | | 173,933 | |
| | | | | | | | | |
| Luxembourg 0.57% | | | | | | | | |
| | | | | | | | | |
| Machinery | | | | | | | | |
| Stabilus SA | | | 49,756 | | | | 4,544 | |
| | | | | | | | | |
| Mexico 0.96% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| Banco del Bajio SA*† | | | 4,230,600 | | | | 7,666 | |
| | | | | | | | | |
| Netherlands 4.68% | | | | | | | | |
| | | | | | | | | |
| Air Freight & Logistics 0.92% | | | | | | | | |
| PostNL NV | | | 1,735,937 | | | | 7,403 | |
| 74 | See Notes to Financial Statements. | |
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2017
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Hotels, Restaurants & Leisure 1.11% | | |
| Basic-Fit NV*† | | | 388,290 | | | $ | 8,917 | |
| | | | | | | | | |
| Insurance 1.22% | | | | | | | | |
| ASR Nederland NV | | | 237,826 | | | | 9,752 | |
| | | | | | | | | |
| Machinery 1.43% | | | | | | | | |
| Aalberts Industries NV | | | 232,420 | | | | 11,464 | |
| Total Netherlands | | | | | | | 37,536 | |
| | | | | | | | | |
| Philippines 1.68% | | | | | | | | |
| | | | | | | | | |
| Banks 0.94% | | | | | | | | |
| Security Bank Corp. | | | 1,583,600 | | | | 7,548 | |
| | | | | | | | | |
| Real Estate Management & Development 0.74% | | |
| Filinvest Land, Inc. | | | 155,234,000 | | | | 5,954 | |
| Total Philippines | | | | | | | 13,502 | |
| | | | | | | | | |
| Portugal 0.90% | | | | | | | | |
| | | | | | | | | |
| Multi-Utilities | | | | | | | | |
| REN—Redes Energeticas Nacionais SGPS SA | | | 2,265,127 | | | | 7,195 | |
| | | | | | | | | |
| South Korea 1.93% | | | | | | | | |
| | | | | | | | | |
| Auto Components 1.21% | | | | | | | | |
| Mando Corp. | | | 33,427 | | | | 9,742 | |
| | | | | | | | | |
| Insurance 0.72% | | | | | | | | |
| ING Life Insurance Korea Ltd.† | | | 133,937 | | | | 5,738 | |
| Total South Korea | | | | | | | 15,480 | |
| | | | | | | | | |
| Spain 1.30% | | | | | | | | |
| | | | | | | | | |
| Household Durables 0.79% | | | | | | | | |
| Neinor Homes SA*† | | | 307,481 | | | | 6,320 | |
| | | | | | | | | |
| Real Estate Management & Development 0.51% | | |
| Aedas Homes SAU*† | | | 118,800 | | | | 4,151 | |
| Total Spain | | | | | | | 10,471 | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Sweden 4.41% | | | | | | |
| | | | | | | |
| Commercial Services & Supplies 3.21% | | |
| Bravida Holding AB† | | | 1,105,887 | | | $ | 7,550 | |
| Intrum Justitia AB | | | 237,083 | | | | 8,309 | |
| Loomis AB Class B | | | 245,699 | | | | 9,858 | |
| | | | | | | | 25,717 | |
| | | | | | | | | |
| Consumer Finance 1.20% | | | | | | | | |
| Hoist Finance AB† | | | 918,099 | | | | 9,650 | |
| Total Sweden | | | | | | | 35,367 | |
| | | | | | | | | |
| Switzerland 0.20% | | | | | | | | |
| | | | | | | | | |
| Household Durables | | | | | | | | |
| Forbo Holding AG Registered Shares | | | 1,049 | | | | 1,586 | |
| | | | | | | | | |
| Taiwan 1.56% | | | | | | | | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 1.05% | | |
| Realtek Semiconductor Corp. | | | 1,280,000 | | | | 4,817 | |
| Visual Photonics Epitaxy Co., Ltd. | | | 1,606,000 | | | | 3,568 | |
| | | | | | | | 8,385 | |
| | | | | | | | | |
| Technology Hardware, Storage & Peripherals 0.51% | | |
| Primax Electronics Ltd. | | | 1,585,000 | | | | 4,110 | |
| Total Taiwan | | | | | | | 12,495 | |
| | | | | | | | | |
| United Kingdom 12.84% | | | | | | | | |
| | | | | | | | | |
| Capital Markets 2.48% | | | | | | | | |
| Man Group plc | | | 4,214,077 | | | | 10,836 | |
| TP ICAP plc | | | 1,251,058 | | | | 9,047 | |
| | | | | | | | 19,883 | |
| | | | | | | | | |
| Consumer Finance 1.01% | | | | | | | | |
| Arrow Global Group plc | | | 1,439,748 | | | | 8,094 | |
| | | | | | | | | |
| Electronic Equipment, Instruments & Components 0.78% | |
| accesso Technology Group plc* | | | 216,471 | | | | 6,296 | |
| | See Notes to Financial Statements. | 75 |
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2017
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Household Durables 0.96% | | | | | | | | |
| Bovis Homes Group plc | | | 494,931 | | | $ | 7,730 | |
| | | | | | | | | |
| Insurance 1.11% | | | | | | | | |
| Lancashire Holdings Ltd. | | | 895,280 | | | | 8,936 | |
| | | | | | | | | |
| Internet & Direct Marketing Retail 0.91% | | |
| ASOS plc* | | | 95,954 | | | | 7,260 | |
| | | | | | | | | |
| Machinery 1.61% | | | | | | | | |
| Bodycote plc | | | 688,863 | | | | 8,573 | |
| Concentric AB | | | 260,991 | | | | 4,380 | |
| | | | | | | | 12,953 | |
| | | | | | | | | |
| Media 0.54% | | | | | | | | |
| Huntsworth plc | | | 4,107,063 | | | | 4,364 | |
| | | | | | | | | |
| Metals & Mining 1.01% | | | | | | | | |
| Hill & Smith Holdings plc | | | 461,622 | | | | 8,105 | |
| | | | | | | | | |
| Multi-Line Retail 1.11% | | | | | | | | |
| B&M European Value Retail SA | | | 1,687,142 | | | | 8,903 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 0.56% | | | | | | | | |
| Tullow Oil plc* | | | 1,842,290 | | | | 4,453 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 0.68% | | |
| IQE plc* | | | 2,830,437 | | | | 5,470 | |
| | | | | | | | | |
| Software 0.08% | | | | | | | | |
| Alfa Financial Software Holdings plc*† | | | 93,400 | | | | 606 | |
| Total United Kingdom | | | | | | | 103,053 | |
| | | | | | | | | |
| United States 1.37% | | | | | | | | |
| | | | | | | | | |
| Exchange-Traded Funds 0.69% | | | | | | | | |
| VanEck Vectors Junior Gold Miners | | | 172,246 | | | | 5,510 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 0.68% | | |
| CEVA, Inc.* | | | 113,843 | | | | 5,499 | |
| Total United States | | | | | | | 11,009 | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Vietnam 0.89% | | | | | | | | |
| | | | | | | | | |
| Closed-Ended Fund | | | | | | | | |
| VinaCapital Vietnam Opportunity Fund Ltd. | | | 1,760,853 | | | $ | 7,133 | |
Total Common Stocks
(cost $632,160,163) | | | | | | | 762,659 | |
| | | | | | | | | |
| | | Principal
Amount
(000) | | | | | |
| SHORT-TERM INVESTMENT 3.78% | | |
| | | | | | | | | |
| Repurchase Agreement | | | | | | | | |
Repurchase Agreement dated 10/31/2017, 0.12% due 11/1/2017 with Fixed Income Clearing Corp. collateralized by $30,930,000 of Federal Home Loan Banks at 1.25% due 1/16/2019; value: $30,942,774; proceeds: $30,335,302
(cost $30,335,201) | | | 30,335 | | | | 30,335 | |
| | | | | | | | | |
OPTIONS PURCHASED# 0.02%
(cost $2,065,000) | | | | | | | 179 | |
Total Investments in Securities 98.86%
(cost $664,560,364) | | | | | | | 793,173 | |
| Foreign Cash and Other Assets in Excess of Liabilities(a) 1.14% | | | | | | | 9,119 | |
| Net Assets 100.00% | | | | | | $ | 802,292 | |
| ADR | | American Depositary Receipt. |
| * | | Non-income producing security. |
| † | | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. |
| # | | Refer to OTC Options Purchased table on page 78. |
| (a) | | Foreign Cash and Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts as follows: |
| 76 | See Notes to Financial Statements. | |
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2017
Open Forward Foreign Currency Exchange Contracts at October 31, 2017:
Forward
Foreign
Currency
Exchange
Contracts | | Transaction
Type | | Counterparty | | Expiration
Date | | Foreign
Currency | | U.S. $
Cost on
Origination
Date | | | U.S. $
Current
Value | | Unrealized
Appreciation | |
| Indian rupee | | Buy | | J.P. Morgan | | 12/4/2017 | | 380,000,000 | | $ | 5,751,128 | | | $ | 5,853,809 | | | $ | 102,681 | |
| Japanese yen | | Buy | | J.P. Morgan | | 2/23/2018 | | 393,513,000 | | | 3,476,338 | | | | 3,481,520 | | | | 5,182 | |
| South Korean won | | Buy | | Bank of America | | 11/20/2017 | | 6,484,512,305 | | | 5,701,221 | | | | 5,800,069 | | | | 98,848 | |
| South Korean won | | Buy | | Barclays Bank plc | | 11/20/2017 | | 7,400,000,000 | | | 6,594,719 | | | | 6,618,927 | | | | 24,208 | |
| South Korean won | | Buy | | Morgan Stanley | | 11/20/2017 | | 2,500,000,000 | | | 2,208,358 | | | | 2,236,124 | | | | 27,766 | |
| British pound | | Sell | | Deutsche Bank AG | | 2/6/2018 | | 935,000 | | | 1,247,351 | | | | 1,245,640 | | | | 1,711 | |
| British pound | | Sell | | J.P. Morgan | | 2/6/2018 | | 1,100,000 | | | 1,466,169 | | | | 1,465,458 | | | | 711 | |
| euro | | Sell | | Citibank | | 2/20/2018 | | 2,734,000 | | | 3,243,736 | | | | 3,205,627 | | | | 38,109 | |
| euro | | Sell | | Goldman Sachs | | 2/20/2018 | | 3,900,000 | | | 4,658,031 | | | | 4,572,767 | | | | 85,264 | |
| euro | | Sell | | State Street Bank and Trust | | 2/20/2018 | | 1,047,000 | | | 1,247,063 | | | | 1,227,612 | | | | 19,451 | |
| euro | | Sell | | State Street Bank and Trust | | 2/20/2018 | | 993,000 | | | 1,180,683 | | | | 1,164,297 | | | | 16,386 | |
| euro | | Sell | | State Street Bank and Trust | | 2/20/2018 | | 30,000,000 | | | 35,472,840 | | | | 35,175,128 | | | | 297,712 | |
| euro | | Sell | | State Street Bank and Trust | | 2/20/2018 | | 30,100,000 | | | 35,587,621 | | | | 35,292,379 | | | | 295,242 | |
| Indian rupee | | Sell | | Barclays Bank plc | | 12/4/2017 | | 380,000,000 | | | 5,857,960 | | | | 5,853,809 | | | | 4,151 | |
| Indian rupee | | Sell | | J.P. Morgan | | 1/8/2018 | | 407,000,000 | | | 6,283,191 | | | | 6,245,529 | | | | 37,662 | |
| Israeli new shekel | | Sell | | J.P. Morgan | | 1/25/2018 | | 25,500,000 | | | 7,282,993 | | | | 7,263,109 | | | | 19,884 | |
| Japanese yen | | Sell | | State Street Bank and Trust | | 2/23/2018 | | 133,900,000 | | | 1,184,746 | | | | 1,184,651 | | | | 95 | |
| Japanese yen | | Sell | | State Street Bank and Trust | | 2/23/2018 | | 383,807,000 | | | 3,411,042 | | | | 3,395,649 | | | | 15,393 | |
| Swedish krona | | Sell | | Barclays Bank plc | | 12/21/2017 | | 15,320,000 | | | 1,884,384 | | | | 1,835,568 | | | | 48,816 | |
| Swedish krona | | Sell | | Goldman Sachs | | 12/21/2017 | | 94,335,000 | | | 11,694,479 | | | | 11,302,759 | | | | 391,720 | |
| Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | | | | | | $ | 1,530,992 | |
Forward
Foreign
Currency
Exchange
Contracts | | Transaction
Type | | Counterparty | | Expiration
Date | | Foreign
Currency | | U.S. $
Cost on
Origination
Date | | | U.S. $
Current
Value | | Unrealized
Depreciation | |
| Australian dollar | | Buy | | Barclays Bank plc | | 2/6/2018 | | 3,080,000 | | $ | 2,361,364 | | | $ | 2,355,317 | | | $ | (6,047 | ) |
| Australian dollar | | Buy | | Citibank | | 2/6/2018 | | 2,983,000 | | | 2,331,641 | | | | 2,281,140 | | | | (50,501 | ) |
| Australian dollar | | Buy | | State Street Bank and Trust | | 2/6/2018 | | 30,450,000 | | | 23,871,658 | | | | 23,285,518 | | | | (586,140 | ) |
| Canadian dollar | | Buy | | Barclays Bank plc | | 12/11/2017 | | 2,880,000 | | | 2,311,734 | | | | 2,233,226 | | | | (78,508 | ) |
| Canadian dollar | | Buy | | Goldman Sachs | | 12/11/2017 | | 14,000,000 | | | 11,043,663 | | | | 10,855,958 | | | | (187,705 | ) |
| Canadian dollar | | Buy | | State Street Bank and Trust | | 12/11/2017 | | 4,570,000 | | | 3,701,374 | | | | 3,543,695 | | | | (157,679 | ) |
| Canadian dollar | | Buy | | State Street Bank and Trust | | 12/11/2017 | | 7,230,000 | | | 5,781,692 | | | | 5,606,327 | | | | (175,365 | ) |
| Danish krone | | Buy | | State Street Bank and Trust | | 2/20/2018 | | 30,700,000 | | | 4,878,302 | | | | 4,839,261 | | | | (39,041 | ) |
| euro | | Buy | | Bank of America | | 2/20/2018 | | 2,460,000 | | | 2,925,589 | | | | 2,884,361 | | | | (41,228 | ) |
| | See Notes to Financial Statements. | 77 |
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2017
Open Forward Foreign Currency Exchange Contracts at October 31, 2017 (continued):
Forward
Foreign
Currency
Exchange
Contracts | | Transaction
Type | | Counterparty | | Expiration
Date | | Foreign
Currency | | U.S. $
Cost on
Origination
Date | | | U.S. $
Current
Value | | Unrealized
Depreciation | |
| Japanese yen | | Buy | | State Street Bank and Trust | | 2/23/2018 | | 121,200,000 | | $ | 1,086,314 | | | $ | 1,072,291 | | | $ | (14,023 | ) |
| Japanese yen | | Buy | | State Street Bank and Trust | | 2/23/2018 | | 538,000,000 | | | 4,810,965 | | | | 4,759,838 | | | | (51,127 | ) |
| Swiss franc | | Buy | | Citibank | | 11/20/2017 | | 37,360,000 | | | 39,515,031 | | | | 37,490,452 | | | | (2,024,579 | ) |
| Swiss franc | | Buy | | J.P. Morgan | | 11/20/2017 | | 2,753,000 | | | 2,878,718 | | | | 2,762,613 | | | | (116,105 | ) |
| Swiss franc | | Buy | | State Street Bank and Trust | | 11/20/2017 | | 3,251,000 | | | 3,374,515 | | | | 3,262,352 | | | | (112,163 | ) |
| British pound | | Sell | | Goldman Sachs | | 2/6/2018 | | 824,000 | | | 1,096,443 | | | | 1,097,761 | | | | (1,318 | ) |
| British pound | | Sell | | Standard Chartered Bank | | 2/6/2018 | | 8,300,000 | | | 11,053,384 | | | | 11,057,547 | | | | (4,163 | ) |
| Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | | | | | $ | (3,645,692 | ) |
| OTC OPTIONS PURCHASED | | | | | | | | | | | | | | | |
| | | | | | | | | | | Number | | | | | | | | | Premiums | | | | | |
| | | | | | | Strike | | Expiration | | of | | Notional | | | | | | | Paid | | | | Unrealized | |
| Description | | Call/Put | | Counterparty | | Price | | Date | | Contracts | | Amount | | | Value | # | | | (Received | ) | | | Depreciation | |
| MSCI EAFE Index | | Put | | Goldman Sachs | | 1,610 | | March 2018 | | 350 | | 35,000 | | | $178,843 | | | | $2,065,000 | | | | $(1,886,157 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| OTC OPTIONS WRITTEN | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Number | | | | | | | | | Premiums | | | | | |
| | | | | | | Strike | | Expiration | | of | | Notional | | | | | | | Paid | | | | Unrealized | |
| Description | | Call/Put | | Counterparty | | Price | | Date | | Contracts | | Amount | | | Value | | | | (Received | ) | | | Appreciation | |
| MSCI EAFE Index | | Put | | Goldman Sachs | | 1,440 | | March 2018 | | 350* | | (35,000) | | | $ (71,579 | ) | | | $(1,064,000 | ) | | | $ 992,421 | |
| * | There were no options written outstanding on October 31, 2016 |
| # | Included on the Schedule of Investments |
| 78 | See Notes to Financial Statements. | |
Schedule of Investments (concluded)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2017
The following is a summary of the inputs used as of October 31, 2017 in valuing the Fund’s investments carried at fair value(1):
| Investment Type(2) | | Level 1
(000) | | | Level 2
(000) | | | Level 3
(000) | | | Total
(000) | |
| Common Stocks | | $ | 749,157 | | | $ | 13,502 | (3) | | $ | – | | | $ | 762,659 | |
| OTC Options Purchased | | | – | | | | 179 | | | | – | | | | 179 | |
| Repurchase Agreement | | | – | | | | 30,335 | | | | – | | | | 30,335 | |
| Total | | $ | 749,157 | | | $ | 44,016 | | | $ | – | | | $ | 793,173 | |
| Other Financial Instruments | | | | | | | | | | | | | | | | |
| Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| Assets | | $ | – | | | $ | 1,531 | | | $ | – | | | $ | 1,531 | |
| Liabilities | | | – | | | | (3,646 | ) | | | – | | | | (3,646 | ) |
| OTC Options Written | | | | | | | | | | | | | | | | |
| Assets | | | – | | | | – | | | | – | | | | – | |
| Liabilities | | | – | | | | (72 | ) | | | – | | | | (72 | ) |
| Total | | $ | – | | | $ | (2,187 | ) | | $ | – | | | $ | (2,187 | ) |
| (1) | | Refer to Note 2(l) for a description of fair value measurements and the three-tier hierarchy of inputs. |
| (2) | | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
| (3) | | The following securities were transferred during the period ended October 31, 2017: |
| Security | | Country | | Level Transfer | | Transfer
Amount | | Valuation Method
on 10/31/2017* |
| Filinvest Land, Inc. | | Philippines | | from Level 1 to Level 2 | | $3,028,163 | | Adjusted Valuation |
| Security Bank Corp. | | Philippines | | from Level 1 to Level 2 | | $2,901,014 | | Adjusted Valuation |
| | See Notes to Financial Statements. | 79 |
Schedule of Investments
VALUE OPPORTUNITIES FUND October 31, 2017
| Investments | | Shares | | | Fair
Value
(000) | |
| COMMON STOCKS 99.43% | | | | | | | | |
| | | | | | | | | |
| Air Freight & Logistics 1.92% | | | | | | | | |
| XPO Logistics, Inc.* | | | 880,828 | | | $ | 61,085 | |
| | | | | | | | | |
| Airlines 0.96% | | | | | | | | |
| Alaska Air Group, Inc. | | | 462,399 | | | | 30,532 | |
| | | | | | | | | |
| Banks 8.92% | | | | | | | | |
| Bank of Hawaii Corp. | | | 388,000 | | | | 31,665 | |
| Citizens Financial Group, Inc. | | | 830,839 | | | | 31,580 | |
| East West Bancorp, Inc. | | | 1,076,488 | | | | 64,417 | |
| First Horizon National Corp. | | | 2,889,795 | | | | 54,241 | |
| Webster Financial Corp. | | | 608,327 | | | | 33,452 | |
| Western Alliance Bancorp* | | | 1,239,895 | | | | 69,186 | |
| Total | | | | | | | 284,541 | |
| | | | | | | | | |
| Capital Markets 2.98% | | | | | | | | |
| Moelis & Co. Class A | | | 686,096 | | | | 29,331 | |
| Raymond James Financial, Inc. | | | 776,238 | | | | 65,809 | |
| Total | | | | | | | 95,140 | |
| | | | | | | | | |
| Chemicals 2.54% | | | | | | | | |
| Trinseo SA | | | 690,610 | | | | 49,033 | |
| Valvoline, Inc. | | | 1,326,591 | | | | 31,865 | |
| Total | | | | | | | 80,898 | |
| | | | | | | | | |
| Communications Equipment 0.78% | | | | | | | | |
| ARRIS International plc* | | | 876,765 | | | | 24,988 | |
| | | | | | | | | |
| Construction & Engineering 2.34% | | | | | | | | |
| AECOM* | | | 1,012,806 | | | | 35,509 | |
| Jacobs Engineering Group, Inc. | | | 674,847 | | | | 39,283 | |
| Total | | | | | | | 74,792 | |
| | | | | | | | | |
| Construction Materials 1.22% | | | | | | | | |
| Eagle Materials, Inc. | | | 368,131 | | | | 38,864 | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Containers & Packaging 4.97% | | | | | | | | |
| AptarGroup, Inc. | | | 481,416 | | | $ | 41,917 | |
| Berry Global Group, Inc.* | | | 783,629 | | | | 46,587 | |
| Sealed Air Corp. | | | 801,033 | | | | 35,429 | |
| WestRock Co. | | | 565,723 | | | | 34,696 | |
| Total | | | | | | | 158,629 | |
| | | | | | | | | |
| Diversified Telecommunication Services 1.44% |
| Zayo Group Holdings, Inc.* | | | 1,269,728 | | | | 45,786 | |
| | | | | | | | | |
| Electrical Equipment 0.98% | | | | | | | | |
| Hubbell, Inc. | | | 248,121 | | | | 31,219 | |
| | | | | | | | | |
| Electronic Equipment, Instruments & Components 4.98% | |
| Amphenol Corp. Class A | | | 373,334 | | | | 32,480 | |
| Belden, Inc. | | | 777,876 | | | | 62,160 | |
| FLIR Systems, Inc. | | | 1,370,196 | | | | 64,153 | |
| Total | | | | | | | 158,793 | |
| | | | | | | | | |
| Energy Equipment & Services 0.66% | | | | | | | | |
| Helmerich & Payne, Inc. | | | 389,670 | | | | 21,163 | |
| | | | | | | | | |
| Equity Real Estate Investment Trusts 4.46% | |
| Alexandria Real Estate Equities, Inc. | | | 158,086 | | | | 19,596 | |
| Highwoods Properties, Inc. | | | 850,000 | | | | 43,393 | |
| Pebblebrook Hotel Trust | | | 896,837 | | | | 31,981 | |
| QTS Realty Trust, Inc. Class A | | | 819,598 | | | | 47,414 | |
| Total | | | | | | | 142,384 | |
| | | | | | | | | |
| Food Products 0.58% | | | | | | | | |
| Pinnacle Foods, Inc. | | | 341,833 | | | | 18,603 | |
| | | | | | | | | |
| Health Care Equipment & Supplies 4.91% | | | | | | | | |
| Cooper Cos., Inc. (The) | | | 200,926 | | | | 48,275 | |
| Hill-Rom Holdings, Inc. | | | 413,398 | | | | 33,365 | |
| STERIS plc (United Kingdom)(a) | | | 353,984 | | | | 33,037 | |
| West Pharmaceutical Services, Inc. | | | 413,815 | | | | 41,961 | |
| Total | | | | | | | 156,638 | |
| 80 | See Notes to Financial Statements. | |
Schedule of Investments (continued)
VALUE OPPORTUNITIES FUND October 31, 2017
| Investments | | Shares | | | Fair
Value
(000) | |
| Health Care Providers & Services 1.80% | | | | | | | | |
| HealthSouth Corp. | | | 704,770 | | | $ | 32,518 | |
| Molina Healthcare, Inc.* | | | 366,297 | | | | 24,846 | |
| Total | | | | | | | 57,364 | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure 0.79% | | | | | | | | |
| Texas Roadhouse, Inc. | | | 505,248 | | | | 25,267 | |
| | | | | | | | | |
| Household Durables 3.09% | | | | | | | | |
| Lennar Corp. Class A | | | 576,755 | | | | 32,108 | |
| Newell Brands, Inc. | | | 545,048 | | | | 22,227 | |
| Tempur Sealy International, Inc.* | | | 678,337 | | | | 44,343 | |
| Total | | | | | | | 98,678 | |
| | | | | | | | | |
| Information Technology Services 7.38% | | | | | | | | |
| Acxiom Corp.* | | | 1,367,511 | | | | 34,407 | |
| Amdocs Ltd. | | | 661,752 | | | | 43,080 | |
| Booz Allen Hamilton Holding Corp. | | | 1,251,685 | | | | 47,301 | |
| Conduent, Inc.* | | | 2,509,993 | | | | 38,855 | |
| Fidelity National Information Services, Inc. | | | 500,220 | | | | 46,400 | |
| Total System Services, Inc. | | | 353,702 | | | | 25,484 | |
| Total | | | | | | | 235,527 | |
| | | | | | | | | |
| Insurance 5.77% | | | | | | | | |
| Arch Capital Group Ltd.* | | | 655,445 | | | | 65,308 | |
| Brown & Brown, Inc. | | | 310,527 | | | | 15,477 | |
| FNF Group | | | 1,034,296 | | | | 38,703 | |
| Markel Corp.* | | | 30,577 | | | | 33,155 | |
| RenaissanceRe Holdings Ltd. | | | 227,867 | | | | 31,528 | |
| Total | | | | | | | 184,171 | |
| | | | | | | | | |
| Life Sciences Tools & Services 4.58% | | | | | | | | |
| Bio-Techne Corp. | | | 225,374 | | | | 29,528 | |
| Charles River Laboratories International, Inc.* | | | 434,694 | | | | 50,551 | |
| ICON plc (Ireland)*(a) | | | 211,717 | | | | 25,165 | |
| PerkinElmer, Inc. | | | 563,880 | | | | 40,780 | |
| Total | | | | | | | 146,024 | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Machinery 3.96% | | | | | | | | |
| Crane Co. | | | 286,307 | | | $ | 23,798 | |
| Timken Co. (The) | | | 790,786 | | | | 37,286 | |
| WABCO Holdings, Inc.* | | | 214,898 | | | | 31,712 | |
| Wabtec Corp. | | | 439,135 | | | | 33,594 | |
| Total | | | | | | | 126,390 | |
| | | | | | | | | |
| Marine 0.99% | | | | | | | | |
| Kirby Corp.* | | | 445,689 | | | | 31,577 | |
| | | | | | | | | |
| Media 2.03% | | | | | | | | |
| Live Nation Entertainment, Inc.* | | | 836,259 | | | | 36,611 | |
| New York Times Co. (The) Class A | | | 1,477,579 | | | | 28,222 | |
| Total | | | | | | | 64,833 | |
| | | | | | | | | |
| Metals & Mining 1.87% | | | | | | | | |
| Reliance Steel & Aluminum Co. | | | 776,200 | | | | 59,643 | |
| | | | | | | | | |
| Multi-Line Retail 0.68% | | | | | | | | |
| Nordstrom, Inc. | | | 547,891 | | | | 21,724 | |
| | | | | | | | | |
| Multi-Utilities 4.07% | | | | | | | | |
| Black Hills Corp. | | | 555,120 | | | | 36,227 | |
| CMS Energy Corp. | | | 998,499 | | | | 48,297 | |
| NiSource, Inc. | | | 1,723,728 | | | | 45,455 | |
| Total | | | | | | | 129,979 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 3.80% | | | | | | | | |
| Cimarex Energy Co. | | | 450,841 | | | | 52,717 | |
| EQT Corp. | | | 742,772 | | | | 46,453 | |
| Parsley Energy, Inc. Class A* | | | 833,234 | | | | 22,164 | |
| Total | | | | | | | 121,334 | |
| | | | | | | | | |
| Professional Services 1.09% | | | | | | | | |
| Robert Half International, Inc. | | | 670,846 | | | | 34,730 | |
| | See Notes to Financial Statements. | 81 |
Schedule of Investments (continued)
VALUE OPPORTUNITIES FUND October 31, 2017
| Investments | | Shares | | | Fair
Value
(000) | |
| Road & Rail 2.25% | | | | | | | | |
| Genesee & Wyoming, Inc. Class A* | | | 489,034 | | | $ | 35,103 | |
| Old Dominion Freight Line, Inc. | | | 301,986 | | | | 36,579 | |
| Total | | | | | | | 71,682 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 2.35% | |
| MACOM Technology Solutions Holdings, Inc.* | | | 925,848 | | | | 37,848 | |
| Qorvo, Inc.* | | | 487,545 | | | | 36,961 | |
| Total | | | | | | | 74,809 | |
| | | | | | | | | |
| Software 1.18% | | | | | | | | |
| FireEye, Inc.* | | | 2,216,775 | | | | 37,508 | |
| | | | | | | | | |
| Specialty Retail 0.79% | | | | | | | | |
| Urban Outfitters, Inc.* | | | 1,021,608 | | | | 25,050 | |
| | | | | | | | | |
| Textiles, Apparel & Luxury Goods 3.13% | | | | | | | | |
| Hanesbrands, Inc. | | | 967,474 | | | | 21,768 | |
| Lululemon Athletica, Inc. (Canada)*(a) | | | 520,065 | | | | 31,989 | |
| Steven Madden Ltd.* | | | 1,181,787 | | | | 46,090 | |
| Total | | | | | | | 99,847 | |
| | | | | | | | | |
| Thrifts & Mortgage Finance 0.19% | | | | | | | | |
| Essent Group Ltd.* | | | 144,542 | | | | 6,160 | |
| | | | | | | | | |
| Trading Companies & Distributors 1.33% | | | | | | | | |
| Beacon Roofing Supply, Inc.* | | | 767,278 | | | | 42,515 | |
| | | | | | | | | |
| Water Utilities 1.67% | | | | | | | | |
| American Water Works Co., Inc. | | | 605,571 | | | | 53,145 | |
Total Common Stocks
(cost $2,454,994,960) | | | | | | | 3,172,012 | |
| Investments | | Principal
Amount
(000) | | | Fair
Value
(000) | |
| SHORT-TERM INVESTMENT 0.61% | | | | | | | | |
| | | | | | | | | |
| Repurchase Agreement | | | | | | | | |
Repurchase Agreement dated 10/31/2017, 0.12% due 11/1/2017 with Fixed Income Clearing Corp. collateralized by $20,135,000 of Federal Home Loan Mortgage Corp. at 1.25% due 10/2/2019; value: $20,011,512; proceeds: $19,616,115
(cost $19,616,049) | | $ | 19,616 | | | $ | 19,616 | |
Total Investments in Securities 100.04%
(cost $2,474,611,009) | | | | | | | 3,191,628 | |
| Liabilities in Excess of Other Assets (0.04)% | | | | | | | (1,368 | ) |
| Net Assets 100.00% | | | | | | $ | 3,190,260 | |
| | * | | Non-income producing security. |
| | (a) | | Foreign security traded in U.S. dollars. |
| 82 | See Notes to Financial Statements. | |
Schedule of Investments (concluded)
VALUE OPPORTUNITIES FUND October 31, 2017
The following is a summary of the inputs used as of October 31, 2017 in valuing the Fund’s investments carried at fair value(1):
| Investment Type(2)(3) | | Level 1
(000) | | | Level 2
(000) | | | Level 3
(000) | | | Total
(000) | |
| Common Stocks | | $ | 3,172,012 | | | $ | – | | | $ | – | | | $ | 3,172,012 | |
| Repurchase Agreement | | | – | | | | 19,616 | | | | – | | | | 19,616 | |
| Total | | $ | 3,172,012 | | | $ | 19,616 | | | $ | – | | | $ | 3,191,628 | |
| (1) | | Refer to Note 2(l) for a description of fair value measurements and the three-tier hierarchy of inputs. |
| (2) | | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
| (3) | | There were no Level 1/Level 2 transfers during the fiscal year ended October 31, 2017. |
| Investment Type | Common Stock | |
| Balance as of November 1, 2016 | | $ | 42,896,363 | |
| Accrued discounts/premiums | | | – | |
| Realized gain (loss) | | | 20,809,334 | |
| Change in unrealized appreciation/depreciation | | | (20,809,334 | ) |
| Purchases | | | – | |
| Sales | | | (42,896,363 | ) |
| Transfers into Level 3 | | | – | |
| Transfers out of Level 3 | | | – | |
| Balance as of October 31, 2017 | | $ | – | |
| | See Notes to Financial Statements. | 83 |
Statements of Assets and Liabilities
October 31, 2017
| | | Alpha Strategy
Fund | | | Fundamental
Equity Fund | | | Global Core
Equity Fund | |
| ASSETS: | | | | | | | | | | | | |
| Investments in securities, at cost | | $ | 1,747,775 | | | $ | 2,172,757,208 | | | $ | 4,082,656 | |
| Investments in Underlying Funds, at cost | | | 995,590,789 | | | | – | | | | – | |
| Investments in securities, at fair value | | $ | 1,747,775 | | | $ | 2,659,528,680 | | | $ | 4,414,482 | |
| Investments in Underlying Funds, at value | | | 1,130,447,704 | | | | – | | | | – | |
| Cash | | | – | | | | – | | | | 19,644 | |
| Segregated cash held at custodian | | | – | | | | – | | | | – | |
| Foreign cash, at value (cost $0, $0, $15,840, $0, $8,775,884, $190,611, $11,943,787 and $0, respectively) | | | – | | | | – | | | | 15,944 | |
| Receivables: | | | | | | | | | | | | |
| Investment securities sold | | | – | | | | 33,681,536 | | | | 37,539 | |
| Capital shares sold | | | 854,204 | | | | 1,042,638 | | | | – | |
| Interest and dividends | | | 6 | | | | 2,952,474 | | | | 4,200 | |
| From advisor (See Note 3) | | | – | | | | – | | | | 10,419 | |
| Unrealized appreciation on forward foreign currency exchange contracts | | | – | | | | – | | | | 16 | |
| Prepaid expenses and other assets | | | 55,318 | | | | 99,197 | | | | 22,235 | |
| Total assets | | | 1,133,105,007 | | | | 2,697,304,525 | | | | 4,524,479 | |
| LIABILITIES: | | | | | | | | | | | | |
| Payables: | | | | | | | | | | | | |
| Investment securities purchased | | | 344,352 | | | | 32,112,616 | | | | 65,770 | |
| Capital shares reacquired | | | 1,400,958 | | | | 2,976,575 | | | | 5,653 | |
| Management fee | | | – | | | | 1,219,980 | | | | – | |
| 12b-1 distribution plan | | | 385,889 | | | | 999,654 | | | | 771 | |
| Trustees’ fees | | | 160,204 | | | | 777,376 | | | | 56 | |
| Fund administration | | | 38,327 | | | | 91,144 | | | | 148 | |
| Offering costs | | | – | | | | – | | | | 14,707 | |
| To bank | | | – | | | | – | | | | – | |
| Unrealized depreciation on forward foreign currency exchange contracts | | | – | | | | – | | | | 11,092 | |
| Options written outstanding, at value (including premiums received of $0, $0, $0, $0, $0, $0, $1,064,000 and $0, respectively) (Note 2) | | | – | | | | – | | | | – | |
| Distributions payable | | | – | | | | – | | | | 5 | |
| Accrued expenses | | | 284,713 | | | | 670,713 | | | | 39,118 | |
| Total liabilities | | | 2,614,443 | | | | 38,848,058 | | | | 137,320 | |
| NET ASSETS | | $ | 1,130,490,564 | | | $ | 2,658,456,467 | | | $ | 4,387,159 | |
| COMPOSITION OF NET ASSETS: | | | | | | | | | | | | |
| Paid-in capital | | $ | 881,548,042 | | | $ | 1,901,266,336 | | | $ | 3,828,277 | |
| Undistributed (distributions in excess of) net investment income | | | (4,301,162 | ) | | | 24,990,451 | | | | 38,219 | |
| Accumulated net realized gain (loss) on investments and foreign currency related transactions | | | 118,386,769 | | | | 245,428,208 | | | | 199,747 | |
| Net unrealized appreciation (depreciation) on investments and translation of assets and liabilities denominated in foreign currency | | | 134,856,915 | | | | 486,771,472 | | | | 320,916 | |
| Net Assets | | $ | 1,130,490,564 | | | $ | 2,658,456,467 | | | $ | 4,387,159 | |
| 84 | See Notes to Financial Statements. | |
Growth
Leaders Fund | | | International
Dividend
Income Fund | | | International
Equity Fund | | | International
Opportunities
Fund | | | Value
Opportunities
Fund | |
| | | | | | | | | | | | | | |
| $ | 2,270,232,429 | | | $ | 925,215,915 | | | $ | 568,139,068 | | | $ | 664,560,364 | | | $ | 2,474,611,009 | |
| | – | | | | – | | | | – | | | | – | | | | – | |
| $ | 2,745,289,446 | | | $ | 1,039,967,532 | | | $ | 642,963,043 | | | $ | 793,172,739 | | | $ | 3,191,628,007 | |
| | – | | | | – | | | | – | | | | – | | | | – | |
| | 1,048,434 | | | | – | | | | 216,665 | | | | – | | | | – | |
| | – | | | | 3,158,157 | | | | 1,800,000 | | | | 2,152,875 | | | | – | |
| | | | | | | | | | | | | | | | | | | |
| | – | | | | 8,816,154 | | | | 191,053 | | | | 11,969,158 | | | | – | |
| | | | | | | | | | | | | | | | | | | |
| | 5,205,058 | | | | 3,928,298 | | | | 10,397,891 | | | | 1,647,333 | | | | 5,814,677 | |
| | 4,323,094 | | | | 503,731 | | | | 318,202 | | | | 4,261,523 | | | | 3,682,314 | |
| | 633,413 | | | | 2,478,565 | | | | 1,648,692 | | | | 1,086,897 | | | | 1,103,614 | |
| | 91,530 | | | | 25,356 | | | | 80,160 | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | |
| | – | | | | 2,738,064 | | | | 801,621 | | | | 1,530,992 | | | | – | |
| | 36,793 | | | | 57,189 | | | | 49,515 | | | | 72,064 | | | | 190,960 | |
| | 2,756,627,768 | | | | 1,061,673,046 | | | | 658,466,842 | | | | 815,893,581 | | | | 3,202,419,572 | |
| | | | | | | | | | | | | | | | | | | |
| | 1,048,434 | | | | 7,601,993 | | | | 7,355,739 | | | | 7,870,528 | | | | 3,911,268 | |
| | 3,016,568 | | | | 2,300,173 | | | | 437,905 | | | | 1,045,968 | | | | 4,317,244 | |
| | 1,220,605 | | | | 626,128 | | | | 385,488 | | | | 493,707 | | | | 1,884,388 | |
| | 769,313 | | | | 172,097 | | | | 72,487 | | | | 117,826 | | | | 830,640 | |
| | 152,750 | | | | 215,873 | | | | 140,475 | | | | 80,508 | | | | 425,347 | |
| | 90,854 | | | | 35,918 | | | | 22,028 | | | | 26,331 | | | | 108,122 | |
| | – | | | | – | | | | – | | | | – | | | | – | |
| | – | | | | – | | | | – | | | | – | | | | 45 | |
| | | | | | | | | | | | | | | | | | | |
| | – | | | | 4,649,812 | | | | 2,528,073 | | | | 3,645,692 | | | | – | |
| | | | | | | | | | | | | | | | | | | |
| | – | | | | – | | | | – | | | | 71,579 | | | | – | |
| | – | | | | – | | | | – | | | | – | | | | – | |
| | 451,222 | | | | 434,948 | | | | 287,069 | | | | 249,143 | | | | 682,602 | |
| | 6,749,746 | | | | 16,036,942 | | | | 11,229,264 | | | | 13,601,282 | | | | 12,159,656 | |
| $ | 2,749,878,022 | | | $ | 1,045,636,104 | | | $ | 647,237,578 | | | $ | 802,292,299 | | | $ | 3,190,259,916 | |
| | | | | | | | | | | | | | | | | | | |
| $ | 2,087,908,139 | | | $ | 1,371,309,289 | | | $ | 570,981,610 | | | $ | 639,289,337 | | | $ | 2,286,192,603 | |
| | | | | | | | | | | | | | | | | | | |
| | (412,108 | ) | | | 1,639,859 | | | | 11,556,194 | | | | 4,820,742 | | | | 1,574,608 | |
| | | | | | | | | | | | | | | | | | | |
| | 187,324,974 | | | | (440,175,831 | ) | | | (8,358,366 | ) | | | 30,677,246 | | | | 185,475,707 | |
| | | | | | | | | | | | | | | | | | | |
| | 475,057,017 | | | | 112,862,787 | | | | 73,058,140 | | | | 127,504,974 | | | | 717,016,998 | |
| $ | 2,749,878,022 | | | $ | 1,045,636,104 | | | $ | 647,237,578 | | | $ | 802,292,299 | | | $ | 3,190,259,916 | |
| | See Notes to Financial Statements. | 85 |
Statements of Assets and Liabilities (concluded)
October 31, 2017
| | | Alpha Strategy
Fund | | | Fundamental
Equity Fund | | | Global Core
Equity Fund | |
| | | | | | | | | | |
| Net assets by class: | | | | | | | | | | | | |
| Class A Shares | | $ | 510,601,015 | | | $ | 1,571,169,523 | | | $ | 1,666,986 | |
| Class B Shares | | $ | 1,316,938 | | | $ | 4,030,737 | | | | – | |
| Class C Shares | | $ | 224,568,210 | | | $ | 445,017,415 | | | $ | 335,922 | |
| Class F Shares | | $ | 247,908,103 | | | $ | 323,583,573 | | | $ | 1,177,745 | |
| Class F3 Shares | | $ | 34,672,166 | | | $ | 20,497,149 | | | $ | 11,297 | |
| Class I Shares | | $ | 69,232,222 | | | $ | 120,146,304 | | | $ | 1,137,305 | |
| Class P Shares | | | – | | | $ | 7,096,273 | | | | – | |
| Class R2 Shares | | $ | 3,064,498 | | | $ | 8,062,115 | | | $ | 11,551 | |
| Class R3 Shares | | $ | 33,190,447 | | | $ | 147,009,832 | | | $ | 11,560 | |
| Class R4 Shares | | $ | 1,997,558 | | | $ | 4,354,691 | | | $ | 11,577 | |
| Class R5 Shares | | $ | 83,935 | | | $ | 1,048,661 | | | $ | 11,606 | |
| Class R6 Shares | | $ | 3,855,472 | | | $ | 6,440,194 | | | $ | 11,610 | |
| Class T Shares | | | – | | | | – | | | | – | |
| Outstanding shares by class (unlimited number of authorized shares of beneficial interest): | | | | | | | | | | | | |
| Class A Shares | | | 17,652,742 | | | | 112,294,728 | | | | 143,929 | |
| Class B Shares | | | 51,757 | | | | 316,687 | | | | – | |
| Class C Shares | | | 8,972,386 | | | | 35,381,641 | | | | 29,169 | |
| Class F Shares | | | 8,530,922 | | | | 23,323,005 | | | | 101,563 | |
| Class F3 Shares | | | 1,174,584 | | | | 1,451,464 | | | | 973 | |
| Class I Shares | | | 2,346,533 | | | | 8,529,693 | | | | 98,000 | |
| Class P Shares | | | – | | | | 516,611 | | | | – | |
| Class R2 Shares | | | 109,157 | | | | 589,278 | | | | 1,000 | |
| Class R3 Shares | | | 1,174,698 | | | | 10,688,158 | | | | 1,000 | |
| Class R4 Shares | | | 69,165 | | | | 312,339 | | | | 1,000 | |
| Class R5 Shares | | | 2,843 | | | | 74,426 | | | | 1,000 | |
| Class R6 Shares | | | 130,585 | | | | 455,945 | | | | 1,000 | |
| Class T Shares | | | – | | | | – | | | | – | |
| Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | | | | | | | | | | | | |
| Class A Shares-Net asset value | | | $28.92 | | | | $13.99 | | | | $11.58 | |
| Class A Shares-Maximum offering price (Net asset value plus sales charge of 5.75%) | | | $30.68 | | | | $14.84 | | | | $12.29 | |
| Class B Shares-Net asset value | | | $25.44 | | | | $12.73 | | | | – | |
| Class C Shares-Net asset value | | | $25.03 | | | | $12.58 | | | | $11.52 | |
| Class F Shares-Net asset value | | | $29.06 | | | | $13.87 | | | | $11.60 | |
| Class F3 Shares-Net asset value | | | $29.52 | | | | $14.12 | | | | $11.61 | |
| Class I Shares-Net asset value | | | $29.50 | | | | $14.09 | | | | $11.61 | |
| Class P Shares-Net asset value | | | – | | | | $13.74 | | | | – | |
| Class R2 Shares-Net asset value | | | $28.07 | | | | $13.68 | | | | $11.55 | |
| Class R3 Shares-Net asset value | | | $28.25 | | | | $13.75 | | | | $11.56 | |
| Class R4 Shares-Net asset value | | | $28.88 | | | | $13.94 | | | | $11.58 | |
| Class R5 Shares-Net asset value | | | $29.52 | | | | $14.09 | | | | $11.61 | |
| Class R6 Shares-Net asset value | | | $29.52 | | | | $14.12 | | | | $11.61 | |
| Class T Shares-Net asset value | | | – | | | | – | | | | – | |
| Class T Shares-Maximum offering price (Net asset value plus sales charge of 2.50%) | | | – | | | | – | | | | – | |
| 86 | See Notes to Financial Statements. | |
Growth
Leaders Fund | | | International
Dividend
Income Fund | | | International
Equity Fund | | | International
Opportunities
Fund | | | Value
Opportunities
Fund | |
| | | | | | | | | | | | | | |
| $ | 754,100,644 | | | $ | 367,465,109 | | | $ | 241,626,209 | | | $ | 190,861,281 | | | $ | 1,028,165,663 | |
| $ | 582,915 | | | | – | | | $ | 829,709 | | | $ | 398,715 | | | $ | 2,113,297 | |
| $ | 523,007,868 | | | $ | 68,558,147 | | | $ | 25,687,366 | | | $ | 39,433,627 | | | $ | 335,147,898 | |
| $ | 1,103,103,400 | | | $ | 95,298,965 | | | $ | 63,478,872 | | | $ | 264,220,819 | | | $ | 807,684,387 | |
| $ | 18,840,586 | | | $ | 27,215,109 | | | $ | 5,847,457 | | | $ | 18,094,821 | | | $ | 315,393,667 | |
| $ | 303,794,620 | | | $ | 471,340,545 | | | $ | 292,597,879 | | | $ | 249,330,991 | | | $ | 397,264,771 | |
| | – | | | | – | | | $ | 89,455 | | | $ | 228,639 | | | $ | 33,643,977 | |
| $ | 1,784,217 | | | $ | 592,190 | | | $ | 679,178 | | | $ | 5,228,117 | | | $ | 9,047,145 | |
| $ | 13,261,166 | | | $ | 12,888,373 | | | $ | 12,674,480 | | | $ | 9,828,148 | | | $ | 88,592,155 | |
| $ | 4,698,077 | | | $ | 37,754 | | | $ | 582,251 | | | $ | 3,334,075 | | | $ | 63,867,116 | |
| $ | 5,809,566 | | | $ | 10,664 | | | $ | 70,879 | | | $ | 4,121,430 | | | $ | 5,111,322 | |
| $ | 20,884,247 | | | $ | 2,229,248 | | | $ | 3,073,843 | | | $ | 17,211,636 | | | $ | 104,218,148 | |
| $ | 10,716 | | | | – | | | | – | | | | – | | | $ | 10,370 | |
| | | | | | | | | | | | | | | | | | | |
| | 26,033,864 | | | | 48,146,088 | | | | 17,136,489 | | | | 9,142,357 | | | | 49,438,784 | |
| | 20,873 | | | | – | | | | 59,193 | | | | 20,230 | | | | 112,756 | |
| | 18,928,953 | | | | 9,062,988 | | | | 1,845,939 | | | | 2,026,734 | | | | 17,878,778 | |
| | 37,704,760 | | | | 12,447,982 | | | | 4,526,834 | | | | 12,761,604 | | | | 38,129,130 | |
| | 639,563 | | | | 3,548,052 | | | | 410,319 | | | | 841,954 | | | | 14,566,957 | |
| | 10,333,027 | | | | 61,408,321 | | | | 20,565,176 | | | | 11,631,324 | | | | 18,399,398 | |
| | – | | | | – | | | | 6,346 | | | | 10,752 | | | | 1,644,460 | |
| | 61,993 | | | | 75,938 | | | | 48,357 | | | | 254,690 | | | | 450,961 | |
| | 462,396 | | | | 1,672,199 | | | | 913,594 | | | | 479,644 | | | | 4,375,217 | |
| | 162,156 | | | | 4,952 | | | | 41,391 | | | | 160,156 | | | | 3,072,664 | |
| | 197,557 | | | | 1,392 | | | | 4,995 | | | | 192,322 | | | | 236,704 | |
| | 708,935 | | | | 290,527 | | | | 215,796 | | | | 800,813 | | | | 4,812,847 | |
| | 369.8 | | | | – | | | | – | | | | – | | | | 498.50 | |
| | | | | | | | | | | | | | | | | | | |
| | $28.97 | | | | $7.63 | | | | $14.10 | | | | $20.88 | | | | $20.80 | |
| | | | | | | | | | | | | | | | | | | |
| | $30.74 | | | | $8.10 | | | | $14.96 | | | | $22.15 | | | | $22.07 | |
| | $27.93 | | | | – | | | | $14.02 | | | | $19.71 | | | | $18.74 | |
| | $27.63 | | | | $7.56 | | | | $13.92 | | | | $19.46 | | | | $18.75 | |
| | $29.26 | | | | $7.66 | | | | $14.02 | | | | $20.70 | | | | $21.18 | |
| | $29.46 | | | | $7.67 | | | | $14.25 | | | | $21.49 | | | | $21.65 | |
| | $29.40 | | | | $7.68 | | | | $14.23 | | | | $21.44 | | | | $21.59 | |
| | – | | | | – | | | | $14.10 | | | | $21.26 | | | | $20.46 | |
| | $28.78 | | | | $7.80 | | | | $14.05 | | | | $20.53 | | | | $20.06 | |
| | $28.68 | | | | $7.71 | | | | $13.87 | | | | $20.49 | | | | $20.25 | |
| | $28.97 | | | | $7.62 | | | | $14.07 | | | | $20.82 | | | | $20.79 | |
| | $29.41 | | | | $7.66 | | | | $14.19 | | | | $21.43 | | | | $21.59 | |
| | $29.46 | | | | $7.67 | | | | $14.24 | | | | $21.49 | | | | $21.65 | |
| | $28.98 | | | | – | | | | – | | | | – | | | | $20.80 | |
| | | | | | | | | | | | | | | | | | | |
| | $29.72 | | | | – | | | | – | | | | – | | | | $21.33 | |
| | See Notes to Financial Statements. | 87 |
Statements of Operations
For the Year Ended October 31, 2017
| | | Alpha Strategy
Fund | | | Fundamental
Equity Fund | | | Global Core
Equity Fund* | |
| Investment income: | | | | | | | | | | | | |
| Dividends (net of foreign withholding taxes of $0, $0, $4,035, $0, $4,494,527, $1,634,066, $1,088,552 and $0, respectively) | | $ | – | | | $ | 62,873,491 | | | | $ 58,728 | |
| Dividends from Underlying Funds | | | 2,515,441 | | | | – | | | | – | |
| Interest and other | | | 16,882 | | | | 33,597 | | | | 14 | |
| Interest earned from Interfund Lending (See Note 11) | | | – | | | | 762 | | | | – | |
| Total investment income | | | 2,532,323 | | | | 62,907,850 | | | | 58,742 | |
| Expenses: | | | | | | | | | | | | |
| Management fee | | | 1,121,847 | | | | 14,919,346 | | | | 20,539 | |
| 12b-1 distribution plan-Class A | | | 1,258,639 | | | | 4,088,427 | | | | 2,747 | |
| 12b-1 distribution plan-Class B | | | 29,551 | | | | 99,866 | | | | – | |
| 12b-1 distribution plan-Class C | | | 2,443,877 | | | | 5,059,372 | | | | 1,195 | |
| 12b-1 distribution plan-Class F | | | 258,801 | | | | 327,085 | | | | 838 | |
| 12b-1 distribution plan-Class P | | | – | | | | 43,428 | | | | – | |
| 12b-1 distribution plan-Class R2 | | | 16,589 | | | | 49,800 | | | | 51 | |
| 12b-1 distribution plan-Class R3 | | | 167,238 | | | | 770,350 | | | | 42 | |
| 12b-1 distribution plan-Class R4 | | | 2,448 | | | | 6,271 | | | | 21 | |
| 12b-1 distribution plan-Class T | | | – | | | | – | | | | – | |
| Shareholder servicing | | | 1,317,712 | | | | 3,103,313 | | | | 916 | |
| Fund administration | | | 448,739 | | | | 1,117,548 | | | | 1,174 | |
| Registration | | | 147,344 | | | | 165,967 | | | | 15,746 | |
| Reports to shareholders | | | 133,230 | | | | 280,460 | | | | 2,526 | |
| Custody | | | 26,483 | | | | 51,210 | | | | 11,707 | |
| Professional | | | 47,623 | | | | 94,181 | | | | 51,823 | |
| Subsidy (See Note 3) | | | – | | | | 15,671 | | | | – | |
| Trustees’ fees | | | 35,475 | | | | 88,709 | | | | 79 | |
| Offering costs | | | – | | | | – | | | | 29,015 | |
| Other | | | 31,816 | | | | 121,065 | | | | 6,154 | |
| Gross expenses | | | 7,487,412 | | | | 30,402,069 | | | | 144,573 | |
| Expense reductions (See Note 9) | | | (8,901 | ) | | | (22,013 | ) | | | (27 | ) |
| Expenses assumed by Underlying Funds (See Note 3) | | | (344,854 | ) | | | – | | | | – | |
| Fees waived and expenses reimbursed (See Note 3) | | | (1,121,847 | ) | | | – | | | | (116,186 | ) |
| Net expenses | | | 6,011,810 | | | | 30,380,056 | | | | 28,360 | |
| Net investment income (loss) | | | (3,479,487 | ) | | | 32,527,794 | | | | 30,382 | |
| Net realized and unrealized gain (loss): | | | | | | | | | | | | |
| Capital gain distributions received from Underlying Funds | | | 57,871,335 | | | | – | | | | – | |
| Net realized gain (loss) on investments (net of foreign capital gains tax of $0, $0, $0, $0, $0, $0 and $880,724, respectively) | | | – | | | | 299,968,704 | | | | 212,788 | |
| Net realized gain (loss) on foreign currency exchange contracts | | | – | | | | – | | | | (7,836 | ) |
| Net realized gain (loss) on foreign currency related transactions | | | – | | | | – | | | | (4,163 | ) |
| Net realized gain on investments in Underlying Funds | | | 73,204,166 | | | | – | | | | – | |
| Net change in unrealized appreciation/depreciation on investments | | | – | | | | 119,354,814 | | | | 331,826 | |
| Net change in unrealized appreciation/depreciation in Underlying Funds | | | 118,138,740 | | | | – | | | | – | |
| Net change in unrealized appreciation/depreciation on foreign currency exchange contracts | | | – | | | | – | | | | (11,076 | ) |
| Net change in unrealized appreciation/depreciation on options | | | – | | | | – | | | | – | |
| Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | | | – | | | | – | | | | 166 | |
| Net realized and unrealized gain | | | 249,214,241 | | | | 419,323,518 | | | | 521,705 | |
| Net Increase in Net Assets Resulting From Operations | | $ | 245,734,754 | | | $ | 451,851,312 | | | | $552,087 | |
| * | For the period January 17, 2017 (commencement of operations) to October 31, 2017. |
| 88 | See Notes to Financial Statements. | |
Growth
Leaders Fund | | | International
Dividend
Income Fund | | | International
Equity Fund | | | International
Opportunities
Fund | | | Value
Opportunities
Fund | |
| | | | | | | | | | | | | | |
| $ | 15,273,860 | | | $ | 48,570,147 | | | $ | 15,420,102 | | | | $ 10,399,743 | | | | $ 38,805,605 | |
| | – | | | | – | | | | – | | | | – | | | | | |
| | 21,022 | | | | 752,733 | | | | 2,584 | | | | 12,517 | | | | 59,707 | |
| | 1,327 | | | | 1,815 | | | | 371 | | | | 1,293 | | | | 3,616 | |
| | 15,296,209 | | | | 49,324,695 | | | | 15,423,057 | | | | 10,413,553 | | | | 38,868,928 | |
| | | | | | | | | | | | | | | | | | | |
| | 12,482,012 | | | | 8,011,419 | | | | 4,162,419 | | | | 4,541,844 | | | | 21,335,720 | |
| | 1,777,003 | | | | 946,204 | | | | 596,651 | | | | 382,903 | | | | 2,597,024 | |
| | 13,969 | | | | – | | | | 18,683 | | | | 8,330 | | | | 50,116 | |
| | 4,873,421 | | | | 741,609 | | | | 268,948 | | | | 285,756 | | | | 3,497,157 | |
| | 922,936 | | | | 112,768 | | | | 64,411 | | | | 138,585 | | | | 930,893 | |
| | – | | | | – | | | | 393 | | | | 1,042 | | | | 159,809 | |
| | 8,671 | | | | 3,933 | | | | 4,109 | | | | 23,421 | | | | 46,743 | |
| | 65,865 | | | | 64,385 | | | | 64,968 | | | | 55,512 | | | | 483,375 | |
| | 7,411 | | | | 52 | | | | 516 | | | | 6,375 | | | | 82,174 | |
| | 7 | | | | – | | | | – | | | | – | | | | 7 | |
| | 2,104,987 | | | | 742,769 | | | | 619,089 | | | | 494,421 | | | | 3,640,198 | |
| | 918,561 | | | | 462,241 | | | | 237,853 | | | | 242,232 | | | | 1,220,660 | |
| | 196,950 | | | | 133,153 | | | | 140,649 | | | | 148,680 | | | | 262,403 | |
| | 222,923 | | | | 66,194 | | | | 69,176 | | | | 56,809 | | | | 359,090 | |
| | 46,625 | | | | 431,689 | | | | 244,854 | | | | 217,658 | | | | 48,805 | |
| | 78,406 | | | | 117,418 | | | | 105,600 | | | | 86,297 | | | | 91,967 | |
| | 15,325 | | | | 166,379 | | | | 37,472 | | | | 73,878 | | | | 80,820 | |
| | 70,310 | | | | 37,443 | | | | 18,310 | | | | 18,434 | | | | 94,667 | |
| | – | | | | – | | | | – | | | | – | | | | – | |
| | 94,168 | | | | 99,378 | | | | 72,629 | | | | 66,554 | | | | 106,231 | |
| | 23,899,550 | | | | 12,137,034 | | | | 6,726,730 | | | | 6,848,731 | | | | 35,087,859 | |
| | (17,880 | ) | | | (4,973 | ) | | | (2,826 | ) | | | (2,940 | ) | | | (22,190 | ) |
| | – | | | | – | | | | – | | | | – | | | | – | |
| | (1,609,018 | ) | | | (628,217 | ) | | | (852,862 | ) | | | – | | | | – | |
| | 22,272,652 | | | | 11,503,844 | | | | 5,871,042 | | | | 6,845,791 | | | | 35,065,669 | |
| | (6,976,443 | ) | | | 37,820,851 | | | | 9,552,015 | | | | 3,567,762 | | | | 3,803,259 | |
| | | | | | | | | | | | | | | | | | | |
| | – | | | | – | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | |
| | 264,255,911 | | | | (7,843,934 | ) | | | 44,208,167 | | | | 64,600,376 | | | | 189,398,531 | |
| | | | | | | | | | | | | | | | | | | |
| | – | | | | (1,349,747 | ) | | | (3,503,998 | ) | | | (5,130,430 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | |
| | – | | | | 1,630,529 | | | | 2,038,365 | | | | 900,998 | | | | – | |
| | – | | | | – | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | |
| | 337,975,396 | | | | 159,557,647 | | | | 60,259,846 | | | | 96,911,456 | | | | 246,055,550 | |
| | | | | | | | | | | | | | | | | | | |
| | – | | | | – | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | |
| | – | | | | (3,034,432 | ) | | | (1,416,871 | ) | | | (210,298 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | |
| | – | | | | – | | | | – | | | | 992,421 | | | | – | |
| | | | | | | | | | | | | | | | | | | |
| | – | | | | 160,384 | | | | 60,825 | | | | 73,574 | | | | – | |
| | 602,231,307 | | | | 149,120,447 | | | | 101,646,334 | | | | 158,138,097 | | | | 435,454,081 | |
| $ | 595,254,864 | | | $ | 186,941,298 | | | $ | 111,198,349 | | | | $161,705,859 | | | | $439,257,340 | |
| | See Notes to Financial Statements. | 89 |
Statements of Changes in Net Assets
| | | Alpha Strategy Fund |
| INCREASE (DECREASE) IN NET ASSETS | | For the Year Ended
October 31, 2017 | | | For the Year Ended
October 31, 2016 | |
| Operations: | | | | | | | | |
| Net investment income (loss) | | $ | (3,479,487 | ) | | $ | (2,901,644 | ) |
| Capital gain distributions received from Underlying Funds | | | 57,871,335 | | | | 112,214,138 | |
| Net realized gain (loss) on investments and foreign currency related transactions | | | – | | | | – | |
| Net realized gain on investments in Underlying Funds | | | 73,204,166 | | | | 21,721,025 | |
| Net change in unrealized appreciation/depreciation on investments and translation of assets and liabilities denominated in foreign currencies | | | – | | | | – | |
| Net change in unrealized appreciation/depreciation on investments in Underlying Funds | | | 118,138,740 | | | | (121,674,817 | ) |
| Net increase in net assets resulting from operations | | | 245,734,754 | | | | 9,358,702 | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Class A | | | – | | | | (3,540,518 | ) |
| Class B | | | – | | | | – | |
| Class C | | | – | | | | – | |
| Class F | | | – | | | | (2,025,531 | ) |
| Class I | | | – | | | | (368,660 | ) |
| Class P | | | – | | | | – | |
| Class R2 | | | – | | | | (6,227 | ) |
| Class R3 | | | – | | | | (146,537 | ) |
| Class R4 | | | – | | | | (71 | ) |
| Class R5 | | | – | | | | (81 | ) |
| Class R6 | | | – | | | | (83 | ) |
| Net realized gain | | | | | | | | |
| Class A | | | (55,318,828 | ) | | | (72,940,775 | ) |
| Class B | | | (508,140 | ) | | | (1,311,490 | ) |
| Class C | | | (32,030,506 | ) | | | (44,116,897 | ) |
| Class F | | | (26,130,404 | ) | | | (33,387,144 | ) |
| Class I | | | (7,340,823 | ) | | | (5,349,136 | ) |
| Class P | | | – | | | | – | |
| Class R2 | | | (298,197 | ) | | | (357,484 | ) |
| Class R3 | | | (3,825,073 | ) | | | (4,805,885 | ) |
| Class R4 | | | (40,486 | ) | | | (1,198 | ) |
| Class R5 | | | (1,052 | ) | | | (1,183 | ) |
| Class R6 | | | (80,661 | ) | | | (1,182 | ) |
| Total distributions to shareholders | | | (125,574,170 | ) | | | (168,360,082 | ) |
| Capital share transactions (See Note 15): | | | | | | | | |
| Net proceeds from sales of shares | | | 290,270,982 | | | | 225,073,813 | |
| Reinvestment of distributions | | | 107,106,054 | | | | 142,586,198 | |
| Cost of shares reacquired | | | (501,332,811 | ) | | | (354,558,513 | ) |
| Net increase (decrease) in net assets resulting from capital share transactions | | | (103,955,775 | ) | | | 13,101,498 | |
| Net increase (decrease) in net assets | | | 16,204,809 | | | | (145,899,882 | ) |
| NET ASSETS: | | | | | | | | |
| Beginning of year | | $ | 1,114,285,755 | | | $ | 1,260,185,637 | |
| End of year | | $ | 1,130,490,564 | | | $ | 1,114,285,755 | |
| Undistributed (distributions in excess of) net investment income | | $ | (4,301,162 | ) | | $ | (2,999,150 | ) |
| 90 | See Notes to Financial Statements. | |
| Fundamental Equity Fund | | | Global Core Equity Fund | |
For the Year Ended
October 31, 2017 | | | For the Year Ended
October 31, 2016 | | | For the Year Ended
October 31, 2017* | |
| | | | | | | | | | | |
| $ | 32,527,794 | | | $ | 45,475,201 | | | $ | 30,382 | |
| | – | | | | – | | | | – | |
| | | | | | | | | | | |
| | 299,968,704 | | | | 131,982,500 | | | | 200,789 | |
| | – | | | | – | | | | – | |
| | | | | | | | | | | |
| | 119,354,814 | | | | (67,930,253 | ) | | | 320,916 | |
| | | | | | | | | | | |
| | – | | | | – | | | | – | |
| | 451,851,312 | | | | 109,527,448 | | | | 552,087 | |
| | | | | | | | | | | |
| | (25,173,660 | ) | | | (25,637,542 | ) | | | – | |
| | (102,842 | ) | | | (140,661 | ) | | | – | |
| | (4,948,705 | ) | | | (4,078,407 | ) | | | – | |
| | (5,204,052 | ) | | | (5,816,644 | ) | | | – | |
| | (2,486,080 | ) | | | (3,639,747 | ) | | | – | |
| | (148,944 | ) | | | (147,160 | ) | | | – | |
| | (94,171 | ) | | | (93,933 | ) | | | – | |
| | (2,055,670 | ) | | | (2,043,594 | ) | | | – | |
| | (2,106 | ) | | | (142 | ) | | | – | |
| | (2,310 | ) | | | (153 | ) | | | – | |
| | (7,568 | ) | | | (154 | ) | | | – | |
| | | | | | | | | | | |
| | (60,367,654 | ) | | | (169,563,148 | ) | | | – | |
| | (619,571 | ) | | | (2,635,889 | ) | | | – | |
| | (21,921,733 | ) | | | (65,139,785 | ) | | | – | |
| | (11,296,010 | ) | | | (34,565,047 | ) | | | – | |
| | (5,102,200 | ) | | | (19,814,462 | ) | | | – | |
| | (410,518 | ) | | | (1,186,895 | ) | | | – | |
| | (296,884 | ) | | | (917,197 | ) | | | – | |
| | (5,891,910 | ) | | | (17,448,912 | ) | | | – | |
| | (4,500 | ) | | | (840 | ) | | | – | |
| | (4,692 | ) | | | (835 | ) | | | – | |
| | (15,303 | ) | | | (835 | ) | | | – | |
| | (146,157,083 | ) | | | (352,871,982 | ) | | | – | |
| | | | | | | | | | | |
| | 382,748,155 | | | | 220,760,807 | | | | 3,850,124 | |
| | 133,850,011 | | | | 322,229,904 | | | | – | |
| | (1,000,946,753 | ) | | | (1,136,868,787 | ) | | | (15,052 | ) |
| | | | | | | | | | | |
| | (484,348,587 | ) | | | (593,878,076 | ) | | | 3,835,072 | |
| | (178,654,358 | ) | | | (837,222,610 | ) | | | 4,387,159 | |
| | | | | | | | | | | |
| $ | 2,837,110,825 | | | $ | 3,674,333,435 | | | $ | – | |
| $ | 2,658,456,467 | | | $ | 2,837,110,825 | | | $ | 4,387,159 | |
| | | | | | | | | | | |
| $ | 24,990,451 | | | $ | 32,074,757 | | | $ | 38,219 | |
| * | For the period January 17, 2017 (commencement of operations) to October 31, 2017. |
| | See Notes to Financial Statements. | 91 |
Statements of Changes in Net Assets (continued)
| | | Growth Leaders Fund |
| INCREASE (DECREASE) IN NET ASSETS | | For the Year Ended
October 31, 2017 | | | For the Year Ended
October 31, 2016 | |
| Operations: | | | | | | | | |
| Net investment income (loss) | | $ | (6,976,443 | ) | | $ | 213,354 | |
| Net realized gain (loss) on investments and foreign currency related transactions | | | 264,255,911 | | | | (36,013,707 | ) |
| Net change in unrealized appreciation/depreciation on investments and translation of assets and liabilities denominated in foreign currencies | | | 337,975,396 | | | | 9,283,304 | |
| Net increase (decrease) in net assets resulting from operations | | | 595,254,864 | | | | (26,517,049 | ) |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Class A | | | – | | | | – | |
| Class B | | | – | | | | – | |
| Class C | | | – | | | | – | |
| Class F | | | – | | | | – | |
| Class F3 | | | – | | | | – | |
| Class I | | | – | | | | – | |
| Class P | | | – | | | | – | |
| Class R2 | | | – | | | | – | |
| Class R3 | | | – | | | | – | |
| Class R4 | | | – | | | | – | |
| Class R5 | | | – | | | | – | |
| Class R6 | | | – | | | | – | |
| Class T | | | – | | | | – | |
| Net realized gain | | | | | | | | |
| Class A | | | – | | | | (35,621,327 | ) |
| Class B | | | – | | | | (178,478 | ) |
| Class C | | | – | | | | (20,530,447 | ) |
| Class F | | | – | | | | (34,683,777 | ) |
| Class I | | | – | | | | (4,426,828 | ) |
| Class R2 | | | – | | | | (42,130 | ) |
| Class R3 | | | – | | | | (630,934 | ) |
| Class R4 | | | – | | | | (470 | ) |
| Class R5 | | | – | | | | (466 | ) |
| Class R6 | | | – | | | | (11,055 | ) |
| Total distributions to shareholders | | | – | | | | (96,125,912 | ) |
| Capital share transactions (See Note 15): | | | | | | | | |
| Net proceeds from sales of shares | | | 990,493,367 | | | | 1,047,526,269 | |
| Reinvestment of distributions | | | – | | | | 82,564,474 | |
| Cost of shares reacquired | | | (955,261,897 | ) | | | (892,874,146 | ) |
| Net increase (decrease) in net assets resulting from capital share transactions | | | 35,231,470 | | | | 237,216,597 | |
| Net increase (decrease) in net assets | | | 630,486,334 | | | | 114,573,636 | |
| NET ASSETS: | | | | | | | | |
| Beginning of year | | $ | 2,119,391,688 | | | $ | 2,004,818,052 | |
| End of year | | $ | 2,749,878,022 | | | $ | 2,119,391,688 | |
| Undistributed (distributions in excess of) net investment income | | $ | (412,108 | ) | | $ | (730,007 | ) |
| 92 | See Notes to Financial Statements. | |
| International Dividend Income Fund | | | International Equity Fund | |
For the Year Ended
October 31, 2017 | | | For the Year Ended
October 31, 2016 | | | For the Year Ended
October 31, 2017 | | | For the Year Ended
October 31, 2016 | |
| | | | | | | | | | | |
| $ | 37,820,851 | | | $ | 60,844,239 | | | $ | 9,552,015 | | | $ | 11,556,075 | |
| | | | | | | | | | | | | | | |
| | (7,563,152 | ) | | | (244,286,740 | ) | | | 42,742,534 | | | | (37,266,598 | ) |
| | | | | | | | | | | | | | | |
| | 156,683,599 | | | | 135,423,840 | | | | 58,903,800 | | | | 7,224,481 | |
| | | | | | | | | | | | | | | |
| | 186,941,298 | | | | (48,018,661 | ) | | | 111,198,349 | | | | (18,486,042 | ) |
| | | | | | | | | | | | | | | |
| | (12,788,289 | ) | | | (16,343,755 | ) | | | (5,326,381 | ) | | | (4,327,062 | ) |
| | – | | | | – | | | | (31,492 | ) | | | (14,972 | ) |
| | (1,956,948 | ) | | | (2,751,461 | ) | | | (420,035 | ) | | | (216,668 | ) |
| | (4,070,409 | ) | | | (4,596,054 | ) | | | (1,455,989 | ) | | | (901,673 | ) |
| | (2,726 | ) | | | – | | | | – | | | | – | |
| | (19,812,921 | ) | | | (32,191,585 | ) | | | (3,938,350 | ) | | | (952,923 | ) |
| | – | | | | – | | | | (1,887 | ) | | | (1,208 | ) |
| | (20,037 | ) | | | (23,851 | ) | | | (9,725 | ) | | | (5,473 | ) |
| | (402,876 | ) | | | (385,952 | ) | | | (294,578 | ) | | | (175,489 | ) |
| | (777 | ) | | | (304 | ) | | | (206 | ) | | | (138 | ) |
| | (359 | ) | | | (326 | ) | | | (227 | ) | | | (149 | ) |
| | (76,135 | ) | | | (326 | ) | | | (270,198 | ) | | | (151 | ) |
| | – | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | |
| | – | | | | – | | | | – | | | | – | |
| | – | | | | – | | | | – | | | | – | |
| | – | | | | – | | | | – | | | | – | |
| | – | | | | – | | | | – | | | | – | |
| | – | | | | – | | | | – | | | | – | |
| | – | | | | – | | | | – | | | | – | |
| | – | | | | – | | | | – | | | | – | |
| | – | | | | – | | | | – | | | | – | |
| | – | | | | – | | | | – | | | | – | |
| | – | | | | – | | | | – | | | | – | |
| | (39,131,477 | ) | | | (56,293,614 | ) | | | (11,749,068 | ) | | | (6,595,906 | ) |
| | | | | | | | | | | | | | | |
| | 169,320,262 | | | | 142,481,586 | | | | 233,755,451 | | | | 188,432,563 | |
| | 37,490,989 | | | | 54,232,406 | | | | 11,216,988 | | | | 6,187,992 | |
| | (650,587,021 | ) | | | (909,403,451 | ) | | | (244,826,099 | ) | | | (155,767,927 | ) |
| | | | | | | | | | | | | | | |
| | (443,775,770 | ) | | | (712,689,459 | ) | | | 146,340 | | | | 38,852,628 | |
| | (295,965,949 | ) | | | (817,001,734 | ) | | | 99,595,621 | | | | 13,770,680 | |
| | | | | | | | | | | | | | | |
| $ | 1,341,602,053 | | | $ | 2,158,603,787 | | | $ | 547,641,957 | | | $ | 533,871,277 | |
| $ | 1,045,636,104 | | | $ | 1,341,602,053 | | | $ | 647,237,578 | | | $ | 547,641,957 | |
| | | | | | | | | | | | | | | |
| $ | 1,639,859 | | | $ | 2,253,932 | | | $ | 11,556,194 | | | $ | 10,599,994 | |
| | See Notes to Financial Statements. | 93 |
Statements of Changes in Net Assets (concluded)
| | | International Opportunities Fund |
| INCREASE (DECREASE) IN NET ASSETS | | For the Year Ended
October 31, 2017 | | | For the Year Ended
October 31, 2016 | |
| Operations: | | | | | | | | |
| Net investment income | | $ | 3,567,762 | | | $ | 5,372,649 | |
| Net realized gain (loss) on investments and foreign currency related transactions | | | 60,370,944 | | | | (21,269,627 | ) |
| Net change in unrealized appreciation/depreciation on investments, options written and translation of assets and liabilities denominated in foreign currencies | | | 97,767,153 | | | | 7,991,575 | |
| Net increase (decrease) in net assets resulting from operations | | | 161,705,859 | | | | (7,905,403 | ) |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Class A | | | (1,014,524 | ) | | | (1,050,238 | ) |
| Class C | | | – | | | | (18,260 | ) |
| Class F | | | (725,717 | ) | | | (938,607 | ) |
| Class I | | | (2,470,038 | ) | | | (2,334,522 | ) |
| Class P | | | (1,121 | ) | | | (1,464 | ) |
| Class R2 | | | (15,577 | ) | | | (5,781 | ) |
| Class R3 | | | (108,350 | ) | | | (41,103 | ) |
| Class R4 | | | (16,612 | ) | | | (68 | ) |
| Class R5 | | | (26,598 | ) | | | (78 | ) |
| Class R6 | | | (22,874 | ) | | | (118 | ) |
| Class T | | | – | | | | – | |
| Net realized gain | | | | | | | | |
| Class A | | | – | | | | (6,077,165 | ) |
| Class B | | | – | | | | (92,296 | ) |
| Class C | | | – | | | | (1,231,535 | ) |
| Class F | | | – | | | | (4,392,710 | ) |
| Class I | | | – | | | | (10,107,379 | ) |
| Class P | | | – | | | | (17,397 | ) |
| Class R2 | | | – | | | | (38,773 | ) |
| Class R3 | | | – | | | | (337,158 | ) |
| Class R4 | | | – | | | | (347 | ) |
| Class R5 | | | – | | | | (338 | ) |
| Class R6 | | | – | | | | (502 | ) |
| Total distributions to shareholders | | | (4,401,411 | ) | | | (26,685,839 | ) |
| Capital share transactions (See Note 15): | | | | | | | | |
| Net proceeds from sales of shares | | | 364,531,156 | | | | 162,415,053 | |
| Reinvestment of distributions | | | 4,117,627 | | | | 24,801,645 | |
| Cost of shares reacquired | | | (288,977,464 | ) | | | (208,561,854 | ) |
| Net increase (decrease) in net assets resulting from capital share transactions | | | 79,671,319 | | | | (21,345,156 | ) |
| Net increase (decrease) in net assets | | | 236,975,767 | | | | (55,936,398 | ) |
| NET ASSETS: | | | | | | | | |
| Beginning of year | | $ | 565,316,532 | | | $ | 621,252,930 | |
| End of year | | $ | 802,292,299 | | | $ | 565,316,532 | |
| Undistributed (distributions in excess of) net investment income | | $ | 4,820,742 | | | $ | 1,955,827 | |
| 94 | See Notes to Financial Statements. | |
| Value Opportunities Fund |
| For the Year Ended | | | For the Year Ended | |
| October 31, 2017 | | | October 31, 2016 | |
| | | | | |
| $ | 3,803,259 | | | $ | 1,588,832 | |
| | | | | | | |
| | 189,398,531 | | | | 157,322,302 | |
| | | | | | | |
| | 246,055,550 | | | | (55,911,286 | ) |
| | | | | | | |
| | 439,257,340 | | | | 102,999,848 | |
| | | | | | | |
| | – | | | | – | |
| | – | | | | – | |
| | (744,559 | ) | | | – | |
| | (875,266 | ) | | | – | |
| | – | | | | – | |
| | – | | | | – | |
| | – | | | | – | |
| | (2,857 | ) | | | – | |
| | (83,687 | ) | | | – | |
| | (122,483 | ) | | | – | |
| | – | | | | – | |
| | | | | | | |
| | (57,219,828 | ) | | | (72,951,605 | ) |
| | (455,599 | ) | | | (870,863 | ) |
| | (21,417,677 | ) | | | (27,261,109 | ) |
| | (39,955,662 | ) | | | (38,590,474 | ) |
| | (26,858,098 | ) | | | (38,495,440 | ) |
| | (2,180,705 | ) | | | (3,022,260 | ) |
| | (381,708 | ) | | | (516,346 | ) |
| | (6,001,389 | ) | | | (8,254,498 | ) |
| | (194,885 | ) | | | (689 | ) |
| | (2,454,897 | ) | | | (669 | ) |
| | (3,441,365 | ) | | | (2,015,955 | ) |
| | (162,390,665 | ) | | | (191,979,908 | ) |
| | | | | | | |
| | 1,474,040,599 | | | | 649,722,205 | |
| | 152,980,526 | | | | 179,896,069 | |
| | (1,388,276,457 | ) | | | (768,820,227 | ) |
| | | | | | | |
| | 238,744,668 | | | | 60,798,047 | |
| | 515,611,343 | | | | (28,182,013 | ) |
| | | | | | | |
| $ | 2,674,648,573 | | | $ | 2,702,830,586 | |
| $ | 3,190,259,916 | | | $ | 2,674,648,573 | |
| | | | | | | |
| $ | 1,574,608 | | | $ | (399,799 | ) |
| | See Notes to Financial Statements. | 95 |
Financial Highlights
ALPHA STRATEGY FUND
| | | | | Per Share Operating Performance: |
| | | | | Investment Operations: | | Distributions to
shareholders from: |
| | | Net asset
value,
beginning
of period | | Net
invest-
ment
income
(loss)(a) | | Net
realized
and
unrealized
gain (loss) | | Total
from
invest-
ment
opera-
tions | | Net
investment
income | | Net
realized
gain | | Total
distri-
butions |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | $ 25.94 | | | | $ (0.05 | ) | | | $ 5.96 | | | | $ 5.91 | | | $ | – | | | | $ (2.93 | ) | | | $ (2.93 | ) |
| 10/31/2016 | | | 29.79 | | | | (0.03 | ) | | | 0.19 | | | | 0.16 | | | | (0.19 | ) | | | (3.82 | ) | | | (4.01 | ) |
| 10/31/2015 | | | 32.40 | | | | 0.02 | | | | 0.78 | | | | 0.80 | | | | (0.48 | ) | | | (2.93 | ) | | | (3.41 | ) |
| 10/31/2014 | | | 32.63 | | | | 0.02 | | | | 2.16 | | | | 2.18 | | | | (1.29 | ) | | | (1.12 | ) | | | (2.41 | ) |
| 10/31/2013 | | | 24.71 | | | | 0.09 | | | | 8.92 | | | | 9.01 | | | | (0.04 | ) | | | (1.05 | ) | | | (1.09 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class B | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 23.30 | | | | (0.19 | ) | | | 5.26 | | | | 5.07 | | | | – | | | | (2.93 | ) | | | (2.93 | ) |
| 10/31/2016 | | | 27.16 | | | | (0.18 | ) | | | 0.14 | | | | (0.04 | ) | | | – | | | | (3.82 | ) | | | (3.82 | ) |
| 10/31/2015 | | | 29.77 | | | | (0.17 | ) | | | 0.70 | | | | 0.53 | | | | (0.21 | ) | | | (2.93 | ) | | | (3.14 | ) |
| 10/31/2014 | | | 30.16 | | | | (0.19 | ) | | | 1.98 | | | | 1.79 | | | | (1.06 | ) | | | (1.12 | ) | | | (2.18 | ) |
| 10/31/2013 | | | 23.05 | | | | (0.09 | ) | | | 8.25 | | | | 8.16 | | | | – | | | | (1.05 | ) | | | (1.05 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 22.96 | | | | (0.21 | ) | | | 5.21 | | | | 5.00 | | | | – | | | | (2.93 | ) | | | (2.93 | ) |
| 10/31/2016 | | | 26.83 | | | | (0.19 | ) | | | 0.14 | | | | (0.05 | ) | | | – | | | | (3.82 | ) | | | (3.82 | ) |
| 10/31/2015 | | | 29.51 | | | | (0.19 | ) | | | 0.71 | | | | 0.52 | | | | (0.27 | ) | | | (2.93 | ) | | | (3.20 | ) |
| 10/31/2014 | | | 29.95 | | | | (0.20 | ) | | | 1.98 | | | | 1.78 | | | | (1.10 | ) | | | (1.12 | ) | | | (2.22 | ) |
| 10/31/2013 | | | 22.89 | | | | (0.10 | ) | | | 8.21 | | | | 8.11 | | | | – | | | | (1.05 | ) | | | (1.05 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class F | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 26.01 | | | | (0.02 | ) | | | 6.00 | | | | 5.98 | | | | – | | | | (2.93 | ) | | | (2.93 | ) |
| 10/31/2016 | | | 29.87 | | | | 0.02 | | | | 0.17 | | | | 0.19 | | | | (0.23 | ) | | | (3.82 | ) | | | (4.05 | ) |
| 10/31/2015 | | | 32.49 | | | | 0.07 | | | | 0.78 | | | | 0.85 | | | | (0.54 | ) | | | (2.93 | ) | | | (3.47 | ) |
| 10/31/2014 | | | 32.71 | | | | 0.06 | | | | 2.17 | | | | 2.23 | | | | (1.33 | ) | | | (1.12 | ) | | | (2.45 | ) |
| 10/31/2013 | | | 24.77 | | | | 0.14 | | | | 8.93 | | | | 9.07 | | | | (0.08 | ) | | | (1.05 | ) | | | (1.13 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class F3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 4/4/2017 to 10/31/2017(c) | | | 26.15 | | | | (0.01 | ) | | | 3.38 | | | | 3.37 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 26.34 | | | | 0.02 | | | | 6.07 | | | | 6.09 | | | | – | | | | (2.93 | ) | | | (2.93 | ) |
| 10/31/2016 | | | 30.20 | | | | 0.02 | | | | 0.20 | | | | 0.22 | | | �� | (0.26 | ) | | | (3.82 | ) | | | (4.08 | ) |
| 10/31/2015 | | | 32.81 | | | | 0.11 | | | | 0.78 | | | | 0.89 | | | | (0.57 | ) | | | (2.93 | ) | | | (3.50 | ) |
| 10/31/2014 | | | 33.01 | | | | 0.10 | | | | 2.18 | | | | 2.28 | | | | (1.36 | ) | | | (1.12 | ) | | | (2.48 | ) |
| 10/31/2013 | | | 24.99 | | | | 0.17 | | | | 9.01 | | | | 9.18 | | | | (0.11 | ) | | | (1.05 | ) | | | (1.16 | ) |
| 96 | See Notes to Financial Statements. |
| | | | | Ratios to Average Net Assets: | | Supplemental Data: | |
Net
asset
value,
end of
period | | Total
return
(%)(b) | | Total
expenses
after
waivers
and/or
reimburse-
ments
(%) | | Total
expenses
(%) | | Net
invest-
ment
income
(loss)
(%) | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate
(%) | |
| | | | | | | | | | | | | | |
| | $ 28.92 | | | | 24.55 | | | | 0.41 | | | | 0.54 | | | | (0.19 | ) | | | $ 510,601 | | | | 6 | | |
| | 25.94 | | | | 0.91 | | | | 0.27 | | | | 0.55 | | | | (0.10 | ) | | | 507,241 | | | | 13 | | |
| | 29.79 | | | | 2.54 | | | | 0.25 | | | | 0.53 | | | | 0.08 | | | | 580,945 | | | | 8 | | |
| | 32.40 | | | | 6.89 | | | | 0.25 | | | | 0.53 | | | | 0.07 | | | | 586,429 | | | | 5 | | |
| | 32.63 | | | | 37.98 | | | | 0.25 | | | | 0.54 | | | | 0.33 | | | | 567,124 | | | | 8 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 25.44 | | | | 23.64 | | | | 1.16 | | | | 1.30 | | | | (0.82 | ) | | | 1,317 | | | | 6 | | |
| | 23.30 | | | | 0.16 | | | | 1.02 | | | | 1.30 | | | | (0.80 | ) | | | 4,709 | | | | 13 | | |
| | 27.16 | | | | 1.76 | | | | 1.00 | | | | 1.28 | | | | (0.61 | ) | | | 9,907 | | | | 8 | | |
| | 29.77 | | | | 6.09 | | | | 1.00 | | | | 1.28 | | | | (0.65 | ) | | | 16,870 | | | | 5 | | |
| | 30.16 | | | | 36.93 | | | | 1.00 | | | | 1.29 | | | | (0.36 | ) | | | 22,883 | | | | 8 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 25.03 | | | | 23.69 | | | | 1.16 | | | | 1.29 | | | | (0.92 | ) | | | 224,568 | | | | 6 | | |
| | 22.96 | | | | 0.12 | | | | 1.02 | | | | 1.30 | | | | (0.84 | ) | | | 265,906 | | | | 13 | | |
| | 26.83 | | | | 1.76 | | | | 1.00 | | | | 1.28 | | | | (0.67 | ) | | | 314,946 | | | | 8 | | |
| | 29.51 | | | | 6.09 | | | | 1.00 | | | | 1.27 | | | | (0.68 | ) | | | 318,668 | | | | 5 | | |
| | 29.95 | | | | 36.97 | | | | 0.99 | | | | 1.28 | | | | (0.40 | ) | | | 294,780 | | | | 8 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 29.06 | | | | 24.78 | | | | 0.27 | | | | 0.39 | | | | (0.06 | ) | | | 247,908 | | | | 6 | | |
| | 26.01 | | | | 1.05 | | | | 0.12 | | | | 0.40 | | | | 0.06 | | | | 230,558 | | | | 13 | | |
| | 29.87 | | | | 2.68 | | | | 0.10 | | | | 0.38 | | | | 0.23 | | | | 271,865 | | | | 8 | | |
| | 32.49 | | | | 7.05 | | | | 0.10 | | | | 0.38 | | | | 0.20 | | | | 267,679 | | | | 5 | | |
| | 32.71 | | | | 38.19 | | | | 0.10 | | | | 0.39 | | | | 0.49 | | | | 197,939 | | | | 8 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 29.52 | | | | 12.89 | (d) | | | 0.09 | (e) | | | 0.19 | (e) | | | (0.08 | )(e) | | | 34,672 | | | | 6 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 29.50 | | | | 24.90 | | | | 0.16 | | | | 0.30 | | | | 0.06 | | | | 69,232 | | | | 6 | | |
| | 26.34 | | | | 1.15 | | | | 0.02 | | | | 0.30 | | | | 0.09 | | | | 67,982 | | | | 13 | | |
| | 30.20 | | | | 2.78 | | | | 0.00 | | | | 0.28 | | | | 0.36 | | | | 43,135 | | | | 8 | | |
| | 32.81 | | | | 7.14 | | | | 0.00 | | | | 0.28 | | | | 0.31 | | | | 52,339 | | | | 5 | | |
| | 33.01 | | | | 38.32 | | | | 0.00 | | | | 0.29 | | | | 0.60 | | | | 44,998 | | | | 8 | | |
| See Notes to Financial Statements. | 97 |
Financial Highlights (concluded)
ALPHA STRATEGY FUND
| | | | | Per Share Operating Performance: |
| | | | | Investment Operations: | | Distributions to
shareholders from: |
| | | Net asset
value,
beginning
of period | | Net
invest-
ment
income
(loss)(a) | | Net
realized
and
unrealized
gain (loss) | | Total
from
invest-
ment
opera-
tions | | Net
investment
income | | Net
realized
gain | | Total
distri-
butions |
| Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | | $ 25.34 | | | | $ (0.14 | ) | | | $ 5.80 | | | | $ 5.66 | | | | $ – | | | | $ (2.93 | ) | | | $ (2.93 | ) |
| 10/31/2016 | | | | 29.16 | | | | (0.11 | ) | | | 0.18 | | | | 0.07 | | | | (0.07 | ) | | | (3.82 | ) | | | (3.89 | ) |
| 10/31/2015 | | | | 31.81 | | | | (0.07 | ) | | | 0.75 | | | | 0.68 | | | | (0.40 | ) | | | (2.93 | ) | | | (3.33 | ) |
| 10/31/2014 | | | | 32.07 | | | | (0.09 | ) | | | 2.13 | | | | 2.04 | | | | (1.18 | ) | | | (1.12 | ) | | | (2.30 | ) |
| 10/31/2013 | | | | 24.35 | | | | 0.04 | | | | 8.73 | | | | 8.77 | | | | – | | | | (1.05 | ) | | | (1.05 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | | 25.46 | | | | (0.11 | ) | | | 5.83 | | | | 5.72 | | | | – | | | | (2.93 | ) | | | (2.93 | ) |
| 10/31/2016 | | | | 29.30 | | | | (0.09 | ) | | | 0.19 | | | | 0.10 | | | | (0.12 | ) | | | (3.82 | ) | | | (3.94 | ) |
| 10/31/2015 | | | | 31.93 | | | | (0.05 | ) | | | 0.76 | | | | 0.71 | | | | (0.41 | ) | | | (2.93 | ) | | | (3.34 | ) |
| 10/31/2014 | | | | 32.18 | | | | (0.05 | ) | | | 2.13 | | | | 2.08 | | | | (1.21 | ) | | | (1.12 | ) | | | (2.33 | ) |
| 10/31/2013 | | | | 24.41 | | | | 0.04 | | | | 8.78 | | | | 8.82 | | | | – | | | | (1.05 | ) | | | (1.05 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | | 25.90 | | | | (0.09 | ) | | | 6.00 | | | | 5.91 | | | | – | | | | (2.93 | ) | | | (2.93 | ) |
| 10/31/2016 | | | | 29.79 | | | | (0.07 | ) | | | 0.23 | | | | 0.16 | | | | (0.23 | ) | | | (3.82 | ) | | | (4.05 | ) |
| 6/30/2015 to 10/31/2015(f) | | | | 31.87 | | | | (0.03 | ) | | | (2.05 | ) | | | (2.08 | ) | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | | 26.35 | | | | (0.04 | ) | | | 6.14 | | | | 6.10 | | | | – | | | | (2.93 | ) | | | (2.93 | ) |
| 10/31/2016 | | | | 30.20 | | | | 0.04 | | | | 0.19 | | | | 0.23 | | | | (0.26 | ) | | | (3.82 | ) | | | (4.08 | ) |
| 6/30/2015 to 10/31/2015(f) | | | | 32.28 | | | | – | | | | (2.08 | ) | | | (2.08 | ) | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | | 26.34 | | | | (0.01 | ) | | | 6.12 | | | | 6.11 | | | | – | | | | (2.93 | ) | | | (2.93 | ) |
| 10/31/2016 | | | | 30.20 | | | | – | (g) | | | 0.23 | | | | 0.23 | | | | (0.27 | ) | | | (3.82 | ) | | | (4.09 | ) |
| 6/30/2015 to 10/31/2015(f) | | | | 32.28 | | | | – | (g) | | | (2.08 | ) | | | (2.08 | ) | | | – | | | | – | | | | – | |
| (a) | Calculated using average shares outstanding during the period. |
| (b) | Total return for classes A, B and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
| (c) | Commenced on April 4, 2017. |
| (d) | Not annualized. |
| (e) | Annualized. |
| (f) | Commenced on June 30, 2015. |
| (g) | Amount less than $0.01. |
| 98 | See Notes to Financial Statements. |
| | | | | Ratios to Average Net Assets: | | Supplemental Data: | |
Net
asset
value,
end of
period | | Total
return
(%)(b) | | Total
expenses
after
waivers
and/or
reimburse-
ments
(%) | | Total
expenses
(%) | | Net
invest-
ment
income
(loss)
(%) | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate
(%) | |
| | | | | | | | | | | | | | |
| $ | 28.07 | | | $ | 24.11 | | | | 0.76 | | | | 0.89 | | | | (0.55 | ) | | $ | 3,064 | | | | 6 | | |
| | 25.34 | | | | 0.57 | | | | 0.62 | | | | 0.90 | | | | (0.45 | ) | | | 2,704 | | | | 13 | | |
| | 29.16 | | | | 2.16 | | | | 0.60 | | | | 0.88 | | | | (0.22 | ) | | | 2,704 | | | | 8 | | |
| | 31.81 | | | | 6.55 | | | | 0.60 | | | | 0.88 | | | | (0.30 | ) | | | 3,479 | | | | 5 | | |
| | 32.07 | | | | 37.49 | | | | 0.60 | | | | 0.89 | | | | 0.14 | | | | 2,738 | | | | 8 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 28.25 | | | | 24.24 | | | | 0.65 | | | | 0.79 | | | | (0.43 | ) | | | 33,190 | | | | 6 | | |
| | 25.46 | | | | 0.68 | | | | 0.52 | | | | 0.80 | | | | (0.35 | ) | | | 34,223 | | | | 13 | | |
| | 29.30 | | | | 2.28 | | | | 0.50 | | | | 0.78 | | | | (0.17 | ) | | | 36,656 | | | | 8 | | |
| | 31.93 | | | | 6.62 | | | | 0.50 | | | | 0.78 | | | | (0.15 | ) | | | 36,695 | | | | 5 | | |
| | 32.18 | | | | 37.60 | | | | 0.50 | | | | 0.79 | | | | 0.13 | | | | 34,574 | | | | 8 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 28.88 | | | | 24.60 | | | | 0.42 | | | | 0.53 | | | | (0.34 | ) | | | 1,998 | | | | 6 | | |
| | 25.90 | | | | 0.91 | | | | 0.28 | | | | 0.55 | | | | (0.27 | ) | | | 278 | | | | 13 | | |
| | 29.79 | | | | (6.53 | )(d) | | | 0.25 | (e) | | | 0.53 | (e) | | | (0.25 | )(e) | | | 9 | | | | 8 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 29.52 | | | | 24.93 | | | | 0.18 | | | | 0.28 | | | | (0.13 | ) | | | 84 | | | | 6 | | |
| | 26.35 | | | | 1.19 | | | | – | | | | 0.30 | | | | 0.16 | | | | 9 | | | | 13 | | |
| | 30.20 | | | | (6.44 | )(d) | | | 0.00 | (e) | | | 0.28 | (e) | | | 0.00 | (e) | | | 9 | | | | 8 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 29.52 | | | | 24.98 | | | | 0.09 | | | | 0.19 | | | | (0.03 | ) | | | 3,855 | | | | 6 | | |
| | 26.34 | | | | 1.17 | | | | 0.03 | | | | 0.17 | | | | (0.01 | ) | | | 675 | | | | 13 | | |
| | 30.20 | | | | (6.44 | )(d) | | | 0.00 | (e) | | | 0.12 | (e) | | | 0.03 | (e) | | | 9 | | | | 8 | | |
| | See Notes to Financial Statements. | 99 |
Financial Highlights
FUNDAMENTAL EQUITY FUND
| | | | | Per Share Operating Performance: |
| | | | | Investment Operations: | | Distributions to
shareholders from: |
| | | Net asset
value,
beginning
of period | | Net
invest-
ment
income
(loss)(a) | | Net
realized
and
unrealized
gain (loss) | | Total
from
invest-
ment
opera-
tions | | Net
investment
income | | Net
realized
gain | | Total
distri-
butions |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | $12.54 | | | $ | 0.17 | | | | $1.94 | | | $ | 2.11 | | | | $(0.19 | ) | | $ | (0.47 | ) | | $ | (0.66 | ) |
| 10/31/2016 | | | 13.32 | | | | 0.19 | | | | 0.34 | | | | 0.53 | | | | (0.17 | ) | | | (1.14 | ) | | | (1.31 | ) |
| 10/31/2015 | | | 16.00 | | | | 0.15 | | | | 0.04 | | | | 0.19 | | | | (0.10 | ) | | | (2.77 | ) | | | (2.87 | ) |
| 10/31/2014 | | | 16.83 | | | | 0.07 | | | | 1.67 | | | | 1.74 | | | | (0.04 | ) | | | (2.53 | ) | | | (2.57 | ) |
| 10/31/2013 | | | 13.08 | | | | 0.07 | | | | 3.92 | | | | 3.99 | | | | (0.09 | ) | | | (0.15 | ) | | | (0.24 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class B | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 11.44 | | | | 0.07 | | | | 1.77 | | | | 1.84 | | | | (0.08 | ) | | | (0.47 | ) | | | (0.55 | ) |
| 10/31/2016 | | | 12.24 | | | | 0.10 | | | | 0.30 | | | | 0.40 | | | | (0.06 | ) | | | (1.14 | ) | | | (1.20 | ) |
| 10/31/2015 | | | 14.92 | | | | 0.04 | | | | 0.05 | | | | 0.09 | | | | – | | | | (2.77 | ) | | | (2.77 | ) |
| 10/31/2014 | | | 15.91 | | | | (0.03 | ) | | | 1.57 | | | | 1.54 | | | | – | | | | (2.53 | ) | | | (2.53 | ) |
| 10/31/2013 | | | 12.36 | | | | (0.02 | ) | | | 3.72 | | | | 3.70 | | | | – | (c) | | | (0.15 | ) | | | (0.15 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 11.33 | | | | 0.07 | | | | 1.76 | | | | 1.83 | | | | (0.11 | ) | | | (0.47 | ) | | | (0.58 | ) |
| 10/31/2016 | | | 12.14 | | | | 0.09 | | | | 0.31 | | | | 0.40 | | | | (0.07 | ) | | | (1.14 | ) | | | (1.21 | ) |
| 10/31/2015 | | | 14.83 | | | | 0.04 | | | | 0.04 | | | | 0.08 | | | | – | (c) | | | (2.77 | ) | | | (2.77 | ) |
| 10/31/2014 | | | 15.83 | | | | (0.03 | ) | | | 1.56 | | | | 1.53 | | | | – | | | | (2.53 | ) | | | (2.53 | ) |
| 10/31/2013 | | | 12.31 | | | | (0.02 | ) | | | 3.70 | | | | 3.68 | | | | (0.01 | ) | | | (0.15 | ) | | | (0.16 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class F | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 12.44 | | | | 0.19 | | | | 1.93 | | | | 2.12 | | | | (0.22 | ) | | | (0.47 | ) | | | (0.69 | ) |
| 10/31/2016 | | | 13.23 | | | | 0.21 | | | | 0.33 | | | | 0.54 | | | | (0.19 | ) | | | (1.14 | ) | | | (1.33 | ) |
| 10/31/2015 | | | 15.93 | | | | 0.17 | | | | 0.05 | | | | 0.22 | | | | (0.15 | ) | | | (2.77 | ) | | | (2.92 | ) |
| 10/31/2014 | | | 16.77 | | | | 0.10 | | | | 1.67 | | | | 1.77 | | | | (0.08 | ) | | | (2.53 | ) | | | (2.61 | ) |
| 10/31/2013 | | | 13.03 | | | | 0.11 | | | | 3.90 | | | | 4.01 | | | | (0.12 | ) | | | (0.15 | ) | | | (0.27 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class F3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 4/4/2017 to 10/31/2017(d) | | | 13.24 | | | | 0.11 | | | | 0.77 | | | | 0.88 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 12.62 | | | | 0.21 | | | | 1.96 | | | | 2.17 | | | | (0.23 | ) | | | (0.47 | ) | | | (0.70 | ) |
| 10/31/2016 | | | 13.40 | | | | 0.23 | | | | 0.34 | | | | 0.57 | | | | (0.21 | ) | | | (1.14 | ) | | | (1.35 | ) |
| 10/31/2015 | | | 16.11 | | | | 0.18 | | | | 0.04 | | | | 0.22 | | | | (0.16 | ) | | | (2.77 | ) | | | (2.93 | ) |
| 10/31/2014 | | | 16.93 | | | | 0.12 | | | | 1.69 | | | | 1.81 | | | | (0.10 | ) | | | (2.53 | ) | | | (2.63 | ) |
| 10/31/2013 | | | 13.15 | | | | 0.13 | | | | 3.94 | | | | 4.07 | | | | (0.14 | ) | | | (0.15 | ) | | | (0.29 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class P | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 12.32 | | | | 0.14 | | | | 1.92 | | | | 2.06 | | | | (0.17 | ) | | | (0.47 | ) | | | (0.64 | ) |
| 10/31/2016 | | | 13.10 | | | | 0.17 | | | | 0.33 | | | | 0.50 | | | | (0.14 | ) | | | (1.14 | ) | | | (1.28 | ) |
| 10/31/2015 | | | 15.79 | | | | 0.12 | | | | 0.04 | | | | 0.16 | | | | (0.08 | ) | | | (2.77 | ) | | | (2.85 | ) |
| 10/31/2014 | | | 16.64 | | | | 0.05 | | | | 1.65 | | | | 1.70 | | | | (0.02 | ) | | | (2.53 | ) | | | (2.55 | ) |
| 10/31/2013 | | | 12.92 | | | | 0.06 | | | | 3.88 | | | | 3.94 | | | | (0.07 | ) | | | (0.15 | ) | | | (0.22 | ) |
| 100 | See Notes to Financial Statements. |
| | | | | Ratios to Average
Net Assets: | | Supplemental Data: | |
Net
asset
value,
end of
period | | Total
return
(%)(b) | | Total
expenses
(%) | | Net
invest-
ment
income
(loss)
(%) | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate
(%) | |
| | | | | | | | | | | | |
| $ | 13.99 | | | | 17.45 | | | | 0.96 | | | | 1.29 | | | $ | 1,571,170 | | | | 96 | | |
| | 12.54 | | | | 4.36 | | | | 0.98 | | | | 1.60 | | | | 1,653,389 | | | | 135 | | |
| | 13.32 | | | | 1.18 | | | | 0.97 | | | | 1.09 | | | | 2,027,292 | | | | 149 | | |
| | 16.00 | | | | 11.65 | | | | 1.05 | | | | 0.43 | | | | 2,683,790 | | | | 113 | | |
| | 16.83 | | | | 31.11 | | | | 1.06 | | | | 0.50 | | | | 3,031,190 | | | | 87 | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 12.73 | | | | 16.55 | | | | 1.72 | | | | 0.60 | | | | 4,031 | | | | 96 | | |
| | 11.44 | | | | 3.65 | | | | 1.73 | | | | 0.87 | | | | 15,928 | | | | 135 | | |
| | 12.24 | | | | 0.37 | | | | 1.72 | | | | 0.34 | | | | 28,798 | | | | 149 | | |
| | 14.92 | | | | 10.91 | | | | 1.71 | | | | (0.23 | ) | | | 45,475 | | | | 113 | | |
| | 15.91 | | | | 30.32 | | | | 1.71 | | | | (0.12 | ) | | | 62,409 | | | | 87 | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 12.58 | | | | 16.63 | | | | 1.71 | | | | 0.55 | | | | 445,017 | | | | 96 | | |
| | 11.33 | | | | 3.59 | | | | 1.73 | | | | 0.85 | | | | 544,649 | | | | 135 | | |
| | 12.14 | | | | 0.40 | | | | 1.72 | | | | 0.34 | | | | 713,824 | | | | 149 | | |
| | 14.83 | | | | 10.90 | | | | 1.71 | | | | (0.22 | ) | | | 986,381 | | | | 113 | | |
| | 15.83 | | | | 30.30 | | | | 1.71 | | | | (0.15 | ) | | | 1,012,597 | | | | 87 | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 13.87 | | | | 17.62 | | | | 0.81 | | | | 1.43 | | | | 323,584 | | | | 96 | | |
| | 12.44 | | | | 4.48 | | | | 0.83 | | | | 1.76 | | | | 304,083 | | | | 135 | | |
| | 13.23 | | | | 1.35 | | | | 0.82 | | | | 1.25 | | | | 436,263 | | | | 149 | | |
| | 15.93 | | | | 11.93 | | | | 0.81 | | | | 0.68 | | | | 793,101 | | | | 113 | | |
| | 16.77 | | | | 31.49 | | | | 0.82 | | | | 0.75 | | | | 716,579 | | | | 87 | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 14.12 | | | | 6.65 | (e) | | | 0.62 | (f) | | | 1.42 | (f) | | | 20,497 | | | | 96 | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 14.09 | | | | 17.81 | | | | 0.72 | | | | 1.54 | | | | 120,146 | | | | 96 | | |
| | 12.62 | | | | 4.64 | | | | 0.73 | | | | 1.87 | | | | 142,316 | | | | 135 | | |
| | 13.40 | | | | 1.37 | | | | 0.72 | | | | 1.36 | | | | 236,867 | | | | 149 | | |
| | 16.11 | | | | 12.05 | | | | 0.71 | | | | 0.78 | | | | 449,870 | | | | 113 | | |
| | 16.93 | | | | 31.66 | | | | 0.72 | | | | 0.84 | | | | 531,676 | | | | 87 | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 13.74 | | | | 17.28 | | | | 1.17 | | | | 1.11 | | | | 7,096 | | | | 96 | | |
| | 12.32 | | | | 4.17 | | | | 1.18 | | | | 1.40 | | | | 10,798 | | | | 135 | | |
| | 13.10 | | | | 0.94 | | | | 1.17 | | | | 0.90 | | | | 13,733 | | | | 149 | | |
| | 15.79 | | | | 11.51 | | | | 1.16 | | | | 0.32 | | | | 21,373 | | | | 113 | | |
| | 16.64 | | | | 31.08 | | | | 1.17 | | | | 0.42 | | | | 26,424 | | | | 87 | | |
| | See Notes to Financial Statements. | 101 |
Financial Highlights (concluded)
FUNDAMENTAL EQUITY FUND
| | | | | | Per Share Operating Performance: |
| | | | | | | | Investment Operations: | | Distributions to
shareholders from: |
| | | | Net asset
value,
beginning
of period | | Net
invest-
ment
income
(loss)(a) | | Net
realized
and
unrealized
gain (loss) | | Total
from
invest-
ment
opera-
tions | | Net
investment
income | | Net
realized
gain | | Total
distri-
butions |
| | Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 10/31/2017 | | | | $12.27 | | | | $0.12 | | | | $1.91 | | | | $2.03 | | | | $(0.15 | ) | | | $(0.47 | ) | | | $(0.62 | ) |
| | 10/31/2016 | | | | 13.05 | | | | 0.15 | | | | 0.33 | | | | 0.48 | | | | (0.12 | ) | | | (1.14 | ) | | | (1.26 | ) |
| | 10/31/2015 | | | | 15.71 | | | | 0.10 | | | | 0.04 | | | | 0.14 | | | | (0.03 | ) | | | (2.77 | ) | | | (2.80 | ) |
| | 10/31/2014 | | | | 16.57 | | | | 0.03 | | | | 1.64 | | | | 1.67 | | | | – | (c) | | | (2.53 | ) | | | (2.53 | ) |
| | 10/31/2013 | | | | 12.87 | | | | 0.04 | | | | 3.87 | | | | 3.91 | | | | (0.06 | ) | | | (0.15 | ) | | | (0.21 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 10/31/2017 | | | | 12.34 | | | | 0.14 | | | | 1.90 | | | | 2.04 | | | | (0.16 | ) | | | (0.47 | ) | | | (0.63 | ) |
| | 10/31/2016 | | | | 13.12 | | | | 0.16 | | | | 0.33 | | | | 0.49 | | | | (0.13 | ) | | | (1.14 | ) | | | (1.27 | ) |
| | 10/31/2015 | | | | 15.80 | | | | 0.11 | | | | 0.06 | | | | 0.17 | | | | (0.08 | ) | | | (2.77 | ) | | | (2.85 | ) |
| | 10/31/2014 | | | | 16.66 | | | | 0.04 | | | | 1.65 | | | | 1.69 | | | | (0.02 | ) | | | (2.53 | ) | | | (2.55 | ) |
| | 10/31/2013 | | | | 12.94 | | | | 0.05 | | | | 3.89 | | | | 3.94 | | | | (0.07 | ) | | | (0.15 | ) | | | (0.22 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 10/31/2017 | | | | 12.52 | | | | 0.16 | | | | 1.95 | | | | 2.11 | | | | (0.22 | ) | | | (0.47 | ) | | | (0.69 | ) |
| | 10/31/2016 | | | | 13.32 | | | | 0.17 | | | | 0.36 | | | | 0.53 | | | | (0.19 | ) | | | (1.14 | ) | | | (1.33 | ) |
| | 6/30/2015 to 10/31/2015(g) | | | | 13.52 | | | | 0.05 | | | | (0.25 | ) | | | (0.20 | ) | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 10/31/2017 | | | | 12.63 | | | | 0.19 | | | | 1.97 | | | | 2.16 | | | | (0.23 | ) | | | (0.47 | ) | | | (0.70 | ) |
| | 10/31/2016 | | | | 13.41 | | | | 0.17 | | | | 0.40 | | | | 0.57 | | | | (0.21 | ) | | | (1.14 | ) | | | (1.35 | ) |
| | 6/30/2015 to 10/31/2015(g) | | | | 13.60 | | | | 0.06 | | | | (0.25 | ) | | | (0.19 | ) | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 10/31/2017 | | | | 12.64 | | | | 0.21 | | | | 1.97 | | | | 2.18 | | | | (0.23 | ) | | | (0.47 | ) | | | (0.70 | ) |
| | 10/31/2016 | | | | 13.41 | | | | 0.23 | | | | 0.35 | | | | 0.58 | | | | (0.21 | ) | | | (1.14 | ) | | | (1.35 | ) |
| | 6/30/2015 to 10/31/2015(g) | | | | 13.60 | | | | 0.06 | | | | (0.25 | ) | | | (0.19 | ) | | | – | | | | – | | | | – | |
| (a) | Calculated using average shares outstanding during the period. |
| (b) | Total return for classes A, B and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
| (c) | Amount less than $0.01. |
| (d) | Commenced on April 4, 2017. |
| (e) | Not annualized. |
| (f) | Annualized. |
| (g) | Commenced on June 30, 2015. |
| 102 | See Notes to Financial Statements. |
| | | | | Ratios to Average
Net Assets: | | Supplemental Data: | |
Net
asset
value,
end of
period | | Total
return
(%)(b) | | Total
expenses
(%) | | Net
invest-
ment
income
(loss)
(%) | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate
(%) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| $13.68 | | | | 17.07 | | | | 1.31 | | | | 0.93 | | | $ | 8,062 | | | | 96 | | |
| | 12.27 | | | | 3.97 | | | | 1.33 | | | | 1.25 | | | | 7,952 | | | | 135 | | |
| | 13.05 | | | | 0.81 | | | | 1.33 | | | | 0.76 | | | | 10,543 | | | | 149 | | |
| | 15.71 | | | | 11.33 | | | | 1.31 | | | | 0.17 | | | | 19,744 | | | | 113 | | |
| | 16.57 | | | | 30.87 | | | | 1.31 | | | | 0.26 | | | �� | 25,111 | | | | 87 | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 13.75 | | | | 17.19 | | | | 1.21 | | | | 1.04 | | | | 147,010 | | | | 96 | | |
| | 12.34 | | | | 4.09 | | | | 1.23 | | | | 1.35 | | | | 157,626 | | | | 135 | | |
| | 13.12 | | | | 0.97 | | | | 1.22 | | | | 0.84 | | | | 206,984 | | | | 149 | | |
| | 15.80 | | | | 11.41 | | | | 1.21 | | | | 0.28 | | | | 304,459 | | | | 113 | | |
| | 16.66 | | | | 31.04 | | | | 1.21 | | | | 0.35 | | | | 322,951 | | | | 87 | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 13.94 | | | | 17.45 | | | | 0.95 | | | | 1.19 | | | | 4,355 | | | | 96 | | |
| | 12.52 | | | | 4.37 | | | | 0.95 | | | | 1.40 | | | | 121 | | | | 135 | | |
| | 13.32 | | | | (1.48 | )(e) | | | 0.93 | (f) | | | 1.12 | (f) | | | 10 | | | | 149 | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 14.09 | | | | 17.73 | | | | 0.70 | | | | 1.40 | | | | 1,049 | | | | 96 | | |
| | 12.63 | | | | 4.64 | | | | 0.68 | | | | 1.40 | | | | 125 | | | | 135 | | |
| | 13.41 | | | | (1.40 | )(e) | | | 0.68 | (f) | | | 1.37 | (f) | | | 10 | | | | 149 | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 14.12 | | | | 17.97 | | | | 0.62 | | | | 1.51 | | | | 6,440 | | | | 96 | | |
| | 12.64 | | | | 4.73 | | | | 0.61 | | | | 1.88 | | | | 123 | | | | 135 | | |
| | 13.41 | | | | (1.40 | )(e) | | | 0.59 | (f) | | | 1.46 | (f) | | | 10 | | | | 149 | | |
| | See Notes to Financial Statements. | 103 |
Financial Highlights
GLOBAL CORE EQUITY FUND
| | | Per Share Operating Performance: |
| | | | | Investment Operations: |
| | | Net asset
value,
beginning
of period | | Net
investment
income
(loss)(a) | | Net
realized and
unrealized
gain | | Total from
investment operations |
| Class A | | | | | | | | | | | | | | | | |
| 1/17/2017 to 10/31/2017(e) | | | $10.00 | | | | $0.08 | | | | $1.50 | | | | $1.58 | |
| | | | | | | | | | | | | | | | | |
| Class C | | | | | | | | | | | | | | | | |
| 1/17/2017 to 10/31/2017(e) | | | 10.00 | | | | (0.02 | ) | | | 1.54 | | | | 1.52 | |
| | | | | | | | | | | | | | | | | |
| Class F | | | | | | | | | | | | | | | | |
| 1/17/2017 to 10/31/2017(e) | | | 10.00 | | | | 0.10 | | | | 1.50 | | | | 1.60 | |
| | | | | | | | | | | | | | | | | |
| Class F3 | | | | | | | | | | | | | | | | |
| 4/4/2017 to 10/31/2017(f) | | | 10.28 | | | | 0.07 | | | | 1.26 | | | | 1.33 | |
| | | | | | | | | | | | | | | | | |
| Class I | | | | | | | | | | | | | | | | |
| 1/17/2017 to 10/31/2017(e) | | | 10.00 | | | | 0.10 | | | | 1.51 | | | | 1.61 | |
| | | | | | | | | | | | | | | | | |
| Class R2 | | | | | | | | | | | | | | | | |
| 1/17/2017 to 10/31/2017(e) | | | 10.00 | | | | 0.05 | | | | 1.50 | | | | 1.55 | |
| | | | | | | | | | | | | | | | | |
| Class R3 | | | | | | | | | | | | | | | | |
| 1/17/2017 to 10/31/2017(e) | | | 10.00 | | | | 0.06 | | | | 1.50 | | | | 1.56 | |
| | | | | | | | | | | | | | | | | |
| Class R4 | | | | | | | | | | | | | | | | |
| 1/17/2017 to 10/31/2017(e) | | | 10.00 | | | | 0.08 | | | | 1.50 | | | | 1.58 | |
| | | | | | | | | | | | | | | | | |
| Class R5 | | | | | | | | | | | | | | | | |
| 1/17/2017 to 10/31/2017(e) | | | 10.00 | | | | 0.10 | | | | 1.51 | | | | 1.61 | |
| | | | | | | | | | | | | | | | | |
| Class R6 | | | | | | | | | | | | | | | | |
| 1/17/2017 to 10/31/2017(e) | | | 10.00 | | | | 0.11 | | | | 1.50 | | | | 1.61 | |
| (a) | Calculated using average shares outstanding during the period. |
| (b) | Total return for classes A, B and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
| (c) | Not annualized. |
| (d) | Annualized. |
| (e) | Commenced on January 17, 2017. |
| (f) | Commenced on April 4, 2017. |
| 104 | See Notes to Financial Statements. |
| | | | | Ratios to Average Net Assets: | | Supplemental Data: |
Net asset
value,
end of
period | | Total
return
(%)(b)(c) | | Total
expenses
after
waivers
and/or
reimburse-
ments (%)(d) | | Total
expenses
(%)(d) | | Net
investment
income
(loss)
(%)(d) | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate
(%) |
| | | | | | | | | | | | | |
| $ | 11.58 | | | | 15.80 | | | | 1.05 | | | | 5.00 | | | | 0.96 | | | $ | 1,667 | | | | 140 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 11.52 | | | | 15.20 | | | | 1.80 | | | | 5.61 | | | | (0.24 | ) | | | 336 | | | | 140 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 11.60 | | | | 16.00 | | | | 0.90 | | | | 4.86 | | | | 1.12 | | | | 1,178 | | | | 140 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 11.61 | | | | 12.94 | | | | 0.75 | | | | 4.78 | | | | 1.04 | | | | 11 | | | | 140 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 11.61 | | | | 16.10 | | | | 0.80 | | | | 4.76 | | | | 1.23 | | | | 1,137 | | | | 140 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 11.55 | | | | 15.50 | | | | 1.40 | | | | 5.36 | | | | 0.64 | | | | 12 | | | | 140 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 11.56 | | | | 15.60 | | | | 1.30 | | | | 5.25 | | | | 0.74 | | | | 12 | | | | 140 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 11.58 | | | | 15.80 | | | | 1.05 | | | | 5.00 | | | | 0.93 | | | | 12 | | | | 140 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 11.61 | | | | 16.10 | | | | 0.80 | | | | 4.74 | | | | 1.25 | | | | 12 | | | | 140 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 11.61 | | | | 16.10 | | | | 0.75 | | | | 4.72 | | | | 1.30 | | | | 12 | | | | 140 | |
| | See Notes to Financial Statements. | 105 |
Financial Highlights
GROWTH LEADERS FUND
| | | | | Per Share Operating Performance: |
| | | | | Investment operations: | | Distributions to
shareholders from: |
| | | Net asset
value,
beginning
of period | | Net
invest-
ment
income
(loss)(a) | | Net
realized
and
unrealized
gain (loss) | | Total
from
invest-
ment
opera-
tions | | Net
investment
income | | Net
realized
gain | | Total
distri-
butions |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | $22.42 | | | $ | (0.06 | ) | | | $ 6.61 | | | | $ 6.55 | | | $ | – | | | $ | – | | | $ | – | |
| 10/31/2016 | | | 23.73 | | | | 0.03 | | | | (0.24 | ) | | | (0.21 | ) | | | – | | | | (1.10 | ) | | | (1.10 | ) |
| 10/31/2015 | | | 23.08 | | | | (0.02 | ) | | | 1.96 | | | | 1.94 | | | | – | | | | (1.29 | ) | | | (1.29 | ) |
| 10/31/2014 | | | 21.44 | | | | – | (c) | | | 3.01 | | | | 3.01 | | | | – | | | | (1.37 | ) | | | (1.37 | ) |
| 10/31/2013 | | | 15.15 | | | | (0.03 | ) | | | 6.36 | | | | 6.33 | | | | (0.04 | ) | | | – | | | | (0.04 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class B | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 21.77 | | | | (0.21 | ) | | | 6.37 | | | | 6.16 | | | | – | | | | – | | | | – | |
| 10/31/2016 | | | 23.24 | | | | (0.13 | ) | | | (0.24 | ) | | | (0.37 | ) | | | – | | | | (1.10 | ) | | | (1.10 | ) |
| 10/31/2015 | | | 22.79 | | | | (0.18 | ) | | | 1.92 | | | | 1.74 | | | | – | | | | (1.29 | ) | | | (1.29 | ) |
| 10/31/2014 | | | 21.33 | | | | (0.15 | ) | | | 2.98 | | | | 2.83 | | | | – | | | | (1.37 | ) | | | (1.37 | ) |
| 2/11/2013 to 10/31/2013(e) | | | 16.56 | | | | (0.11 | ) | | | 4.88 | | | | 4.77 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 21.54 | | | | (0.24 | ) | | | 6.33 | | | | 6.09 | | | | – | | | | – | | | | – | |
| 10/31/2016 | | | 23.01 | | | | (0.14 | ) | | | (0.23 | ) | | | (0.37 | ) | | | – | | | | (1.10 | ) | | | (1.10 | ) |
| 10/31/2015 | | | 22.57 | | | | (0.19 | ) | | | 1.92 | | | | 1.73 | | | | – | | | | (1.29 | ) | | | (1.29 | ) |
| 10/31/2014 | | | 21.14 | | | | (0.15 | ) | | | 2.95 | | | | 2.80 | | | | – | | | | (1.37 | ) | | | (1.37 | ) |
| 10/31/2013 | | | 15.02 | | | | (0.15 | ) | | | 6.30 | | | | 6.15 | | | | (0.03 | ) | | | – | | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class F | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 22.59 | | | | (0.01 | ) | | | 6.68 | | | | 6.67 | | | | – | | | | – | | | | – | |
| 10/31/2016 | | | 23.87 | | | | 0.06 | | | | (0.24 | ) | | | (0.18 | ) | | | – | | | | (1.10 | ) | | | (1.10 | ) |
| 10/31/2015 | | | 23.17 | | | | 0.01 | | | | 1.98 | | | | 1.99 | | | | – | | | | (1.29 | ) | | | (1.29 | ) |
| 10/31/2014 | | | 21.49 | | | | 0.04 | | | | 3.01 | | | | 3.05 | | | | – | | | | (1.37 | ) | | | (1.37 | ) |
| 10/31/2013 | | | 15.18 | | | | – | (c) | | | 6.39 | | | | 6.39 | | | | (0.08 | ) | | | – | | | | (0.08 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class F3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 4/4/2017 to 10/31/2017(h) | | | 24.81 | | | | (0.03 | ) | | | 4.68 | | | | 4.65 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 22.69 | | | | (0.01 | ) | | | 6.72 | | | | 6.71 | | | | – | | | | – | | | | – | |
| 10/31/2016 | | | 23.95 | | | | 0.08 | | | | (0.24 | ) | | | (0.16 | ) | | | – | | | | (1.10 | ) | | | (1.10 | ) |
| 10/31/2015 | | | 23.23 | | | | 0.04 | | | | 1.97 | | | | 2.01 | | | | – | | | | (1.29 | ) | | | (1.29 | ) |
| 10/31/2014 | | | 21.51 | | | | 0.06 | | | | 3.03 | | | | 3.09 | | | | – | | | | (1.37 | ) | | | (1.37 | ) |
| 10/31/2013 | | | 15.20 | | | | 0.04 | | | | 6.36 | | | | 6.40 | | | | (0.09 | ) | | | – | | | | (0.09 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 22.35 | | | | (0.15 | ) | | | 6.58 | | | | 6.43 | | | | – | | | | – | | | | – | |
| 10/31/2016 | | | 23.74 | | | | (0.05 | ) | | | (0.24 | ) | | | (0.29 | ) | | | – | | | | (1.10 | ) | | | (1.10 | ) |
| 10/31/2015 | | | 23.17 | | | | (0.10 | ) | | | 1.96 | | | | 1.86 | | | | – | | | | (1.29 | ) | | | (1.29 | ) |
| 10/31/2014 | | | 21.58 | | | | (0.07 | ) | | | 3.03 | | | | 2.96 | | | | – | | | | (1.37 | ) | | | (1.37 | ) |
| 10/31/2013 | | | 15.19 | | | | 0.04 | | | | 6.38 | | | | 6.42 | | | | (0.03 | ) | | | – | | | | (0.03 | ) |
| 106 | See Notes to Financial Statements. |
| | | | | Ratios to Average Net Assets: | | Supplemental Data: | |
Net
asset
value,
end of
period | | Total
return
(%)(b) | | Total
expenses
after
waivers
and/or
reimburse-
ments
(%) | | Total
expenses
(%) | | Net
invest-
ment
income
(loss)
(%) | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate
(%) | |
| | | | | | | | | | | | | | |
| $ | 28.97 | | | | 29.21 | | | | 0.91 | | | | 0.96 | | | | (0.23 | ) | | $ | 754,101 | | | | 192 | | |
| | 22.42 | | | | (0.96 | ) | | | 0.85 | | | | 0.98 | | | | 0.12 | | | | 750,576 | | | | 246 | | |
| | 23.73 | | | | 8.84 | | | | 0.85 | | | | 0.99 | | | | (0.09 | ) | | | 742,393 | | | | 271 | | |
| | 23.08 | | | | 15.59 | | | | 0.85 | | | | 1.04 | | | | 0.01 | | | | 495,861 | | | | 507 | | |
| | 21.44 | | | | 42.20 | | | | 0.85 | | | | 1.34 | | | | (0.14 | ) | | | 191,798 | | | | 451 | (d) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 27.93 | | | | 28.30 | | | | 1.65 | | | | 1.71 | | | | (0.90 | ) | | | 583 | | | | 192 | | |
| | 21.77 | | | | (1.74 | ) | | | 1.60 | | | | 1.73 | | | | (0.60 | ) | | | 2,287 | | | | 246 | | |
| | 23.24 | | | | 8.08 | | | | 1.59 | | | | 1.73 | | | | (0.81 | ) | | | 4,191 | | | | 271 | | |
| | 22.79 | | | | 13.77 | | | | 1.56 | | | | 1.75 | | | | (0.69 | ) | | | 6,332 | | | | 507 | | |
| | 21.33 | | | | 29.05 | (f) | | | 1.49 | (g) | | | 1.88 | (g) | | | (0.82 | )(g) | | | 8,041 | | | | 451 | (d) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 27.63 | | | | 28.27 | | | | 1.66 | | | | 1.71 | | | | (0.99 | ) | | | 523,008 | | | | 192 | | |
| | 21.54 | | | | (1.72 | ) | | | 1.60 | | | | 1.73 | | | | (0.64 | ) | | | 482,693 | | | | 246 | | |
| | 23.01 | | | | 8.07 | | | | 1.59 | | | | 1.74 | | | | (0.84 | ) | | | 414,557 | | | | 271 | | |
| | 22.57 | | | | 13.81 | | | | 1.56 | | | | 1.76 | | | | (0.71 | ) | | | 236,853 | | | | 507 | | |
| | 21.14 | | | | 41.24 | | | | 1.45 | | | | 1.88 | | | | (0.79 | ) | | | 66,471 | | | | 451 | (d) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 29.26 | | | | 29.53 | | | | 0.70 | | | | 0.81 | | | | (0.04 | ) | | | 1,103,103 | | | | 192 | | |
| | 22.59 | | | | (0.82 | ) | | | 0.70 | | | | 0.83 | | | | 0.26 | | | | 763,623 | | | | 246 | | |
| | 23.87 | | | | 9.03 | | | | 0.70 | | | | 0.84 | | | | 0.06 | | | | 733,463 | | | | 271 | | |
| | 23.17 | | | | 14.80 | | | | 0.68 | | | | 0.87 | | | | 0.17 | | | | 498,908 | | | | 507 | | |
| | 21.49 | | | | 42.51 | | | | 0.60 | | | | 1.07 | | | | 0.01 | | | | 109,011 | | | | 451 | (d) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 29.46 | | | | 18.74 | (f) | | | 0.59 | (g) | | | 0.62 | (g) | | | (0.19 | )(g) | | | 18,841 | | | | 192 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 29.40 | | | | 29.57 | | | | 0.67 | | | | 0.70 | | | | (0.06 | ) | | | 303,795 | | | | 192 | | |
| | 22.69 | | | | (0.73 | ) | | | 0.60 | | | | 0.74 | | | | 0.36 | | | | 98,506 | | | | 246 | | |
| | 23.95 | | | | 9.10 | | | | 0.60 | | | | 0.74 | | | | 0.16 | | | | 96,090 | | | | 271 | | |
| | 23.23 | | | | 14.93 | | | | 0.57 | | | | 0.76 | | | | 0.29 | | | | 71,803 | | | | 507 | | |
| | 21.51 | | | | 42.67 | | | | 0.50 | | | | 0.95 | | | | 0.21 | | | | 50,326 | | | | 451 | (d) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 28.78 | | | | 28.77 | | | | 1.26 | | | | 1.30 | | | | (0.60 | ) | | | 1,784 | | | | 192 | | |
| | 22.35 | | | | (1.35 | ) | | | 1.20 | | | | 1.34 | | | | (0.24 | ) | | | 1,267 | | | | 246 | | |
| | 23.74 | | | | 8.49 | | | | 1.20 | | | | 1.34 | | | | (0.44 | ) | | | 593 | | | | 271 | | |
| | 23.17 | | | | 14.24 | | | | 1.18 | | | | 1.37 | | | | (0.31 | ) | | | 342 | | | | 507 | | |
| | 21.58 | | | | 42.62 | | | | 0.58 | | | | 1.70 | | | | 0.22 | | | | 44 | | | | 451 | (d) | |
| | See Notes to Financial Statements. | 107 |
Financial Highlights (concluded)
GROWTH LEADERS FUND
| | | | | Per Share Operating Performance: |
| | | | | Investment operations: | | Distributions to
shareholders from: |
| | | Net asset
value,
beginning
of period | | Net
invest-
ment
income
(loss)(a) | | Net
realized
and
unrealized
gain (loss) | | Total
from
invest-
ment
opera-
tions | | Net
investment
income | | Net
realized
gain | | Total
distri-
butions |
| Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | $22.25 | | | | $(0.12 | ) | | | $ 6.55 | | | | $ 6.43 | | | $ | – | | | $ | – | | | $ | – | |
| 10/31/2016 | | | 23.62 | | | | (0.04 | ) | | | (0.23 | ) | | | (0.27 | ) | | | – | | | | (1.10 | ) | | | (1.10 | ) |
| 10/31/2015 | | | 23.03 | | | | (0.08 | ) | | | 1.96 | | | | 1.88 | | | | – | | | | (1.29 | ) | | | (1.29 | ) |
| 10/31/2014 | | | 21.45 | | | | (0.04 | ) | | | 2.99 | | | | 2.95 | | | | – | | | | (1.37 | ) | | | (1.37 | ) |
| 10/31/2013 | | | 15.16 | | | | (0.06 | ) | | | 6.38 | | | | 6.32 | | | | (0.03 | ) | | | – | | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 22.42 | | | | (0.08 | ) | | | 6.63 | | | | 6.55 | | | | – | | | | – | | | | – | |
| 10/31/2016 | | | 23.74 | | | | (0.01 | ) | | | (0.21 | ) | | | (0.22 | ) | | | – | | | | (1.10 | ) | | | (1.10 | ) |
| 6/30/2015 to 10/31/2015(i) | | | 23.42 | | | | (0.01 | ) | | | 0.33 | | | | 0.32 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 22.70 | | | | – | (c) | | | 6.71 | | | | 6.71 | | | | – | | | | – | | | | – | |
| 10/31/2016 | | | 23.95 | | | | 0.02 | | | | (0.17 | ) | | | (0.15 | ) | | | – | | | | (1.10 | ) | | | (1.10 | ) |
| 6/30/2015 to 10/31/2015(i) | | | 23.61 | | | | 0.01 | | | | 0.33 | | | | 0.34 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 22.72 | | | | (0.02 | ) | | | 6.76 | | | | 6.74 | | | | – | | | | – | | | | – | |
| 10/31/2016 | | | 23.96 | | | | 0.08 | | | | (0.22 | ) | | | (0.14 | ) | | | – | | | | (1.10 | ) | | | (1.10 | ) |
| 6/30/2015 to 10/31/2015(i) | | | 23.61 | | | | 0.02 | | | | 0.33 | | | | 0.35 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class T | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/28/2017 to 10/31/2017(j) | | | 27.04 | | | | (0.02 | ) | | | 1.96 | | | | 1.94 | | | | – | | | | – | | | | – | |
| (a) | Calculated using average shares outstanding during the period. |
| (b) | Total return for classes A, B and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
| (c) | Amount less than $0.01. |
| (d) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Stock Appreciation Fund on March 22, 2013. |
| (e) | Commenced on February 11, 2013. |
| (f) | Not annualized. |
| (g) | Annualized. |
| (h) | Commenced on April 4, 2017. |
| (i) | Commenced on June 30, 2015. |
| (j) | Commenced on July 28, 2017. |
| 108 | See Notes to Financial Statements. |
| | | | | Ratios to Average Net Assets: | | Supplemental Data: | |
Net
asset
value,
end of
period | | Total
return
(%)(b) | | Total
expenses
after
waivers
and/or
reimburse-
ments
(%) | | Total
expenses
(%) | | Net
invest-
ment
income
(loss)
(%) | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate
(%) | |
| | | | | | | | | | | | | | |
| $ | 28.68 | | | | 28.90 | | | | 1.16 | | | | 1.21 | | | | (0.48 | ) | | $ | 13,261 | | | | 192 | | |
| | 22.25 | | | | (1.23 | ) | | | 1.10 | | | | 1.24 | | | | (0.17 | ) | | | 13,471 | | | | 246 | | |
| | 23.62 | | | | 8.58 | | | | 1.10 | | | | 1.24 | | | | (0.35 | ) | | | 13,501 | | | | 271 | | |
| | 23.03 | | | | 14.34 | | | | 1.07 | | | | 1.26 | | | | (0.20 | ) | | | 10,191 | | | | 507 | | |
| | 21.45 | | | | 41.98 | | | | 1.00 | | | | 1.39 | | | | (0.33 | ) | | | 8,289 | | | | 451 | (d) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 28.97 | | | | 29.21 | | | | 0.92 | | | | 0.95 | | | | (0.31 | ) | | | 4,698 | | | | 192 | | |
| | 22.42 | | | | (1.00 | ) | | | 0.85 | | | | 1.00 | | | | (0.03 | ) | | | 1,735 | | | | 246 | | |
| | 23.74 | | | | 1.37 | (f) | | | 0.87 | (g) | | | 0.99 | (g) | | | (0.18 | )(g) | | | 10 | | | | 271 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 29.41 | | | | 29.56 | | | | 0.67 | | | | 0.71 | | | | (0.01 | ) | | | 5,810 | | | | 192 | | |
| | 22.70 | | | | (0.68 | ) | | | 0.60 | | | | 0.75 | | | | 0.08 | | | | 3,700 | | | | 246 | | |
| | 23.95 | | | | 1.44 | (f) | | | 0.60 | (g) | | | 0.72 | (g) | | | 0.09 | (g) | | | 10 | | | | 271 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 29.46 | | | | 29.67 | | | | 0.59 | | | | 0.62 | | | | (0.06 | ) | | | 20,884 | | | | 192 | | |
| | 22.72 | | | | (0.64 | ) | | | 0.50 | | | | 0.63 | | | | 0.34 | | | | 1,534 | | | | 246 | | |
| | 23.96 | | | | 1.48 | (f) | | | 0.48 | (g) | | | 0.60 | (g) | | | 0.21 | (g) | | | 10 | | | | 271 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 28.98 | | | | 7.17 | (f) | | | 0.83 | | | | 0.83 | | | | (0.30 | ) | | | 11 | | | | 192 | | |
| | See Notes to Financial Statements. | 109 |
Financial Highlights
INTERNATIONAL DIVIDEND INCOME FUND
| | | | | Per Share Operating Performance: |
| | | | | | Investment Operations: | | Distributions to
shareholders from: |
| | | Net asset
value,
beginning
of period | | Net
invest-
ment
income
(loss)(a) | | Net
realized
and
unrealized
gain (loss) | | Total
from
invest-
ment
opera-
tions | | Net
investment
income | | Net
realized
gain | | Total
distri-
butions |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | $ 6.71 | | | | $ 0.22 | | | | $ 0.95 | | | | $ 1.17 | | | | $ (0.25 | ) | | | $ – | | | | $ (0.25 | ) |
| 10/31/2016 | | | 7.05 | | | | 0.24 | | | | (0.35 | ) | | | (0.11 | ) | | | (0.23 | ) | | | – | | | | (0.23 | ) |
| 10/31/2015 | | | 8.75 | | | | 0.25 | | | | (1.22 | ) | | | (0.97 | ) | | | (0.24 | ) | | | (0.49 | ) | | | (0.73 | ) |
| 10/31/2014 | | | 9.11 | | | | 0.36 | | | | (0.31 | ) | | | 0.05 | | | | (0.41 | ) | | | – | | | | (0.41 | ) |
| 10/31/2013 | | | 7.80 | | | | 0.33 | | | | 1.31 | | | | 1.64 | | | | (0.33 | ) | | | – | | | | (0.33 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 6.66 | | | | 0.17 | | | | 0.92 | | | | 1.09 | | | | (0.19 | ) | | | – | | | | (0.19 | ) |
| 10/31/2016 | | | 6.99 | | | | 0.19 | | | | (0.34 | ) | | | (0.15 | ) | | | (0.18 | ) | | | – | | | | (0.18 | ) |
| 10/31/2015 | | | 8.68 | | | | 0.19 | | | | (1.20 | ) | | | (1.01 | ) | | | (0.19 | ) | | | (0.49 | ) | | | (0.68 | ) |
| 10/31/2014 | | | 9.04 | | | | 0.31 | | | | (0.31 | ) | | | – | | | | (0.36 | ) | | | – | | | | (0.36 | ) |
| 10/31/2013 | | | 7.75 | | | | 0.28 | | | | 1.29 | | | | 1.57 | | | | (0.28 | ) | | | – | | | | (0.28 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class F | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 6.73 | | | | 0.24 | | | | 0.95 | | | | 1.19 | | | | (0.26 | ) | | | – | | | | (0.26 | ) |
| 10/31/2016 | | | 7.06 | | | | 0.25 | | | | (0.34 | ) | | | (0.09 | ) | | | (0.24 | ) | | | – | | | | (0.24 | ) |
| 10/31/2015 | | | 8.77 | | | | 0.27 | | | | (1.23 | ) | | | (0.96 | ) | | | (0.26 | ) | | | (0.49 | ) | | | (0.75 | ) |
| 10/31/2014 | | | 9.12 | | | | 0.39 | | | | (0.30 | ) | | | 0.09 | | | | (0.44 | ) | | | – | | | | (0.44 | ) |
| 10/31/2013 | | | 7.81 | | | | 0.36 | | | | 1.30 | | | | 1.66 | | | | (0.35 | ) | | | – | | | | (0.35 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class F3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 4/4/2017 to 10/31/2017(c) | | | 7.03 | | | | (0.01 | ) | | | 0.79 | | | | 0.78 | | | | (0.14 | ) | | | – | | | | (0.14 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 6.75 | | | | 0.25 | | | | 0.94 | | | | 1.19 | | | | (0.26 | ) | | | – | | | | (0.26 | ) |
| 10/31/2016 | | | 7.08 | | | | 0.26 | | | | (0.34 | ) | | | (0.08 | ) | | | (0.25 | ) | | | – | | | | (0.25 | ) |
| 10/31/2015 | | | 8.79 | | | | 0.27 | | | | (1.22 | ) | | | (0.95 | ) | | | (0.27 | ) | | | (0.49 | ) | | | (0.76 | ) |
| 10/31/2014 | | | 9.14 | | | | 0.42 | | | | (0.32 | ) | | | 0.10 | | | | (0.45 | ) | | | – | | | | (0.45 | ) |
| 10/31/2013 | | | 7.83 | | | | 0.36 | | | | 1.31 | | | | 1.67 | | | | (0.36 | ) | | | – | | | | (0.36 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 6.86 | | | | 0.21 | | | | 0.95 | | | | 1.16 | | | | (0.22 | ) | | | – | | | | (0.22 | ) |
| 10/31/2016 | | | 7.19 | | | | 0.22 | | | | (0.35 | ) | | | (0.13 | ) | | | (0.20 | ) | | | – | | | | (0.20 | ) |
| 10/31/2015 | | | 8.92 | | | | 0.22 | | | | (1.24 | ) | | | (1.02 | ) | | | (0.22 | ) | | | (0.49 | ) | | | (0.71 | ) |
| 10/31/2014 | | | 9.27 | | | | 0.36 | | | | (0.32 | ) | | | 0.04 | | | | (0.39 | ) | | | – | | | | (0.39 | ) |
| 10/31/2013 | | | 7.94 | | | | 0.32 | | | | 1.32 | | | | 1.64 | | | | (0.31 | ) | | | – | | | | (0.31 | ) |
| 110 | See Notes to Financial Statements. |
| | | | | Ratios to Average Net Assets: | | Supplemental Data: | |
Net
asset
value,
end of
period | | Total
return
(%)(b) | | Total
expenses
after
waivers
and/or
reimburse-
ments
(%) | | Total
expenses
(%) | | Net
invest-
ment
income
(loss)
(%) | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate
(%) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ 7.63 | | | | 17.68 | | | | 1.12 | | | | 1.14 | | | | 3.15 | | | | $ 367,465 | | | | 61 | | |
| | 6.71 | | | | (1.52 | ) | | | 1.12 | | | | 1.20 | | | | 3.57 | | | | 419,886 | | | | 58 | | |
| | 7.05 | | | | (11.74 | ) | | | 1.12 | | | | 1.19 | | | | 3.14 | | | | 710,835 | | | | 77 | | |
| | 8.75 | | | | 0.47 | | | | 1.12 | | | | 1.24 | | | | 3.99 | | | | 1,000,763 | | | | 72 | | |
| | 9.11 | | | | 21.54 | | | | 1.12 | | | | 1.27 | | | | 3.94 | | | | 954,305 | | | | 78 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 7.56 | | | | 16.60 | | | | 1.87 | | | | 1.89 | | | | 2.41 | | | | 68,558 | | | | 61 | | |
| | 6.66 | | | | (2.01 | ) | | | 1.87 | | | | 1.95 | | | | 2.85 | | | | 86,306 | | | | 58 | | |
| | 6.99 | | | | (12.49 | ) | | | 1.84 | | | | 1.90 | | | | 2.40 | | | | 142,492 | | | | 77 | | |
| | 8.68 | | | | (0.14 | ) | | | 1.77 | | | | 1.89 | | | | 3.42 | | | | 191,120 | | | | 72 | | |
| | 9.04 | | | | 20.70 | | | | 1.77 | | | | 1.92 | | | | 3.33 | | | | 143,807 | | | | 78 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 7.66 | | | | 17.96 | | | | 0.91 | | | | 0.99 | | | | 3.37 | | | | 95,299 | | | | 61 | | |
| | 6.73 | | | | (1.22 | ) | | | 0.91 | | | | 1.05 | | | | 3.78 | | | | 111,056 | | | | 58 | | |
| | 7.06 | | | | (11.65 | ) | | | 0.90 | | | | 1.00 | | | | 3.38 | | | | 210,696 | | | | 77 | | |
| | 8.77 | | | | 0.83 | | | | 0.87 | | | | 0.99 | | | | 4.24 | | | | 322,648 | | | | 72 | | |
| | 9.12 | | | | 21.80 | | | | 0.87 | | | | 1.02 | | | | 4.23 | | | | 228,586 | | | | 78 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 7.67 | | | | 11.16 | (d) | | | 0.77 | (e) | | | 0.83 | (e) | | | (0.19 | )(e) | | | 27,215 | | | | 61 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 7.68 | | | | 18.02 | | | | 0.81 | | | | 0.89 | | | | 3.48 | | | | 471,341 | | | | 61 | | |
| | 6.75 | | | | (1.10 | ) | | | 0.81 | | | | 0.95 | | | | 3.90 | | | | 710,951 | | | | 58 | | |
| | 7.08 | | | | (11.52 | ) | | | 0.80 | | | | 0.91 | | | | 3.50 | | | | 1,080,845 | | | | 77 | | |
| | 8.79 | | | | 0.93 | | | | 0.77 | | | | 0.89 | | | | 4.53 | | | | 963,200 | | | | 72 | | |
| | 9.14 | | | | 21.86 | | | | 0.77 | | | | 0.92 | | | | 4.28 | | | | 1,005,558 | | | | 78 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 7.80 | | | | 17.17 | | | | 1.47 | | | | 1.49 | | | | 2.93 | | | | 592 | | | | 61 | | |
| | 6.86 | | | | (1.70 | ) | | | 1.47 | | | | 1.55 | | | | 3.28 | | | | 680 | | | | 58 | | |
| | 7.19 | | | | (12.13 | ) | | | 1.44 | | | | 1.51 | | | | 2.80 | | | | 1,029 | | | | 77 | | |
| | 8.92 | | | | 0.33 | | | | 1.37 | | | | 1.49 | | | | 3.86 | | | | 1,298 | | | | 72 | | |
| | 9.27 | | | | 21.13 | | | | 1.37 | | | | 1.52 | | | | 3.73 | | | | 860 | | | | 78 | | |
| | See Notes to Financial Statements. | 111 |
Financial Highlights (concluded)
INTERNATIONAL DIVIDEND INCOME FUND
| | | | | Per Share Operating Performance: |
| | | | | Investment Operations: | | Distributions to
shareholders from: |
| | | | Net asset
value,
beginning
of period | | Net
invest-
ment
income
(loss)(a) | | Net
realized
and
unrealized
gain (loss) | | Total
from
invest-
ment
opera-
tions | �� | Net
investment
income | | Net
realized
gain | | Total
distri-
butions |
| Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | $6.78 | | | | $0.21 | | | | $ 0.95 | | | | $ 1.16 | | | | $ (0.23 | ) | | | $ – | | | | $(0.23 | ) |
| 10/31/2016 | | | 7.11 | | | | 0.22 | | | | (0.34 | ) | | | (0.12 | ) | | | (0.21 | ) | | | – | | | | (0.21 | ) |
| 10/31/2015 | | | 8.83 | | | | 0.23 | | | | (1.23 | ) | | | (1.00 | ) | | | (0.23 | ) | | | (0.49 | ) | | | (0.72 | ) |
| 10/31/2014 | | | 9.18 | | | | 0.37 | | | | (0.32 | ) | | | 0.05 | | | | (0.40 | ) | | | – | | | | (0.40 | ) |
| 10/31/2013 | | | 7.86 | | | | 0.35 | | | | 1.29 | | | | 1.64 | | | | (0.32 | ) | | | – | | | | (0.32 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 6.71 | | | | 0.21 | | | | 0.95 | | | | 1.16 | | | | (0.25 | ) | | | – | | | | (0.25 | ) |
| 10/31/2016 | | | 7.05 | | | | 0.24 | | | | (0.35 | ) | | | (0.11 | ) | | | (0.23 | ) | | | – | | | | (0.23 | ) |
| 6/30/2015 to 10/31/2015(f) | | | 7.75 | | | | 0.05 | | | | (0.72 | ) | | | (0.67 | ) | | | (0.03 | ) | | | – | | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 6.74 | | | | 0.24 | | | | 0.94 | | | | 1.18 | | | | (0.26 | ) | | | – | | | | (0.26 | ) |
| 10/31/2016 | | | 7.08 | | | | 0.26 | | | | (0.35 | ) | | | (0.09 | ) | | | (0.25 | ) | | | – | | | | (0.25 | ) |
| 6/30/2015 to 10/31/2015(f) | | | 7.78 | | | | 0.06 | | | | (0.72 | ) | | | (0.66 | ) | | | (0.04 | ) | | | – | | | | (0.04 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 6.75 | | | | 0.26 | | | | 0.92 | | | | 1.18 | | | | (0.26 | ) | | | – | | | | (0.26 | ) |
| 10/31/2016 | | | 7.08 | | | | 0.26 | | | | (0.34 | ) | | | (0.08 | ) | | | (0.25 | ) | | | – | | | | (0.25 | ) |
| 6/30/2015 to 10/31/2015(f) | | | 7.78 | | | | 0.06 | | | | (0.72 | ) | | | (0.66 | ) | | | (0.04 | ) | | | – | | | | (0.04 | ) |
| (a) | Calculated using average shares outstanding during the period. |
| (b) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
| (c) | Commenced on April 4, 2017. |
| (d) | Not annualized. |
| (e) | Annualized. |
| (f) | Commenced on June 30, 2015. |
| 112 | See Notes to Financial Statements. |
| | | | | Ratios to Average Net Assets: | | Supplemental Data: | |
Net
asset
value,
end of
period | | Total
return
(%)(b) | | Total
expenses
after
waivers
and/or
reimburse-
ments
(%) | | Total
expenses
(%) | | Net
invest-
ment
income
(loss)
(%) | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate
(%) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ 7.71 | | | | 17.35 | | | | 1.37 | | | | 1.39 | | | | 2.90 | | | | $ 12,888 | | | | 61 | | |
| | 6.78 | | | | (1.58 | ) | | | 1.37 | | | | 1.44 | | | | 3.29 | | | | 12,697 | | | | 58 | | |
| | 7.11 | | | | (12.03 | ) | | | 1.34 | | | | 1.40 | | | | 2.93 | | | | 12,680 | | | | 77 | | |
| | 8.83 | | | | 0.41 | | | | 1.27 | | | | 1.39 | | | | 4.03 | | | | 11,273 | | | | 72 | | |
| | 9.18 | | | | 21.30 | | | | 1.27 | | | | 1.42 | | | | 4.11 | | | | 5,200 | | | | 78 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 7.62 | | | | 17.60 | | | | 1.11 | | | | 1.11 | | | | 2.85 | | | | 38 | | | | 61 | | |
| | 6.71 | | | | (1.48 | ) | | | 1.12 | | | | 1.16 | | | | 3.57 | | | | 9 | | | | 58 | | |
| | 7.05 | | | | (8.56 | )(d) | | | 1.12 | (e) | | | 1.15 | (e) | | | 2.02 | (e) | | | 9 | | | | 77 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 7.66 | | | | 17.90 | | | | 0.87 | | | | 0.86 | | | | 3.39 | | | | 11 | | | | 61 | | |
| | 6.74 | | | | (1.24 | ) | | | 0.87 | | | | 0.92 | | | | 3.81 | | | | 9 | | | | 58 | | |
| | 7.08 | | | | (8.46 | )(d) | | | 0.87 | (e) | | | 0.90 | (e) | | | 2.28 | (e) | | | 9 | | | | 77 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 7.67 | | | | 17.88 | | | | 0.81 | | | | 0.83 | | | | 3.45 | | | | 2,229 | | | | 61 | | |
| | 6.75 | | | | (1.09 | ) | | | 0.80 | | | | 0.82 | | | | 3.88 | | | | 9 | | | | 58 | | |
| | 7.08 | | | | (8.46 | )(d) | | | 0.80 | (e) | | | 0.80 | (e) | | | 2.34 | (e) | | | 9 | | | | 77 | | |
| | See Notes to Financial Statements. | 113 |
Financial Highlights
INTERNATIONAL EQUITY FUND
| | | | | | Per Share Operating Performance: | |
| | | | | | Investment operations: | | Distributions
to
shareholders
from: | | | |
| | | Net asset
value,
beginning
of period | | Net
investment
income(a) | | Net
realized and
unrealized
gain (loss) | | Total from
investment
operations | | Net
investment
income | | Net asset value,
end of
period |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | $12.03 | | | | $0.18 | | | | $ 2.15 | | | | $ 2.33 | | | | $(0.26 | ) | | | $14.10 | |
| 10/31/2016 | | | 12.64 | | | | 0.27 | | | | (0.72 | ) | | | (0.45 | ) | | | (0.16 | ) | | | 12.03 | |
| 10/31/2015 | | | 13.34 | | | | 0.20 | | | | (0.75 | ) | | | (0.55 | ) | | | (0.15 | ) | | | 12.64 | |
| 10/31/2014 | | | 13.97 | | | | 0.17 | | | | (0.54 | ) | | | (0.37 | ) | | | (0.26 | ) | | | 13.34 | |
| 10/31/2013 | | | 11.43 | | | | 0.18 | | | | 2.62 | | | | 2.80 | | | | (0.26 | ) | | | 13.97 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Class B | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 11.92 | | | | 0.08 | | | | 2.15 | | | | 2.23 | | | | (0.13 | ) | | | 14.02 | |
| 10/31/2016 | | | 12.48 | | | | 0.17 | | | | (0.70 | ) | | | (0.53 | ) | | | (0.03 | ) | | | 11.92 | |
| 10/31/2015 | | | 13.15 | | | | 0.10 | | | | (0.74 | ) | | | (0.64 | ) | | | (0.03 | ) | | | 12.48 | |
| 10/31/2014 | | | 13.76 | | | | 0.08 | | | | (0.53 | ) | | | (0.45 | ) | | | (0.16 | ) | | | 13.15 | |
| 10/31/2013 | | | 11.26 | | | | 0.09 | | | | 2.60 | | | | 2.69 | | | | (0.19 | ) | | | 13.76 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 11.86 | | | | 0.09 | | | | 2.13 | | | | 2.22 | | | | (0.16 | ) | | | 13.92 | |
| 10/31/2016 | | | 12.45 | | | | 0.18 | | | | (0.70 | ) | | | (0.52 | ) | | | (0.07 | ) | | | 11.86 | |
| 10/31/2015 | | | 13.14 | | | | 0.11 | | | | (0.75 | ) | | | (0.64 | ) | | | (0.05 | ) | | | 12.45 | |
| 10/31/2014 | | | 13.77 | | | | 0.09 | | | | (0.54 | ) | | | (0.45 | ) | | | (0.18 | ) | | | 13.14 | |
| 10/31/2013 | | | 11.27 | | | | 0.09 | | | | 2.61 | | | | 2.70 | | | | (0.20 | ) | | | 13.77 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Class F | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 11.96 | | | | 0.22 | | | | 2.12 | | | | 2.34 | | | | (0.28 | ) | | | 14.02 | |
| 10/31/2016 | | | 12.55 | | | | 0.29 | | | | (0.70 | ) | | | (0.41 | ) | | | (0.18 | ) | | | 11.96 | |
| 10/31/2015 | | | 13.26 | | | | 0.24 | | | | (0.77 | ) | | | (0.53 | ) | | | (0.18 | ) | | | 12.55 | |
| 10/31/2014 | | | 13.89 | | | | 0.18 | | | | (0.51 | ) | | | (0.33 | ) | | | (0.30 | ) | | | 13.26 | |
| 10/31/2013 | | | 11.36 | | | | 0.18 | | | | 2.64 | | | | 2.82 | | | | (0.29 | ) | | | 13.89 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Class F3 | | | | | | | | | | | | | | | | | | | | | | | | |
| 4/4/2017 to 10/31/2017(c) | | | 12.34 | | | | 0.05 | | | | 1.86 | | | | 1.91 | | | | – | | | | 14.25 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 12.13 | | | | 0.24 | | | | 2.16 | | | | 2.40 | | | | (0.30 | ) | | | 14.23 | |
| 10/31/2016 | | | 12.73 | | | | 0.33 | | | | (0.73 | ) | | | (0.40 | ) | | | (0.20 | ) | | | 12.13 | |
| 10/31/2015 | | | 13.44 | | | | 0.25 | | | | (0.76 | ) | | | (0.51 | ) | | | (0.20 | ) | | | 12.73 | |
| 10/31/2014 | | | 14.07 | | | | 0.21 | | | | (0.53 | ) | | | (0.32 | ) | | | (0.31 | ) | | | 13.44 | |
| 10/31/2013 | | | 11.51 | | | | 0.22 | | | | 2.64 | | | | 2.86 | | | | (0.30 | ) | | | 14.07 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Class P | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 12.03 | | | | 0.15 | | | | 2.16 | | | | 2.31 | | | | (0.24 | ) | | | 14.10 | |
| 10/31/2016 | | | 12.63 | | | | 0.25 | | | | (0.71 | ) | | | (0.46 | ) | | | (0.14 | ) | | | 12.03 | |
| 10/31/2015 | | | 13.31 | | | | 0.17 | | | | (0.75 | ) | | | (0.58 | ) | | | (0.10 | ) | | | 12.63 | |
| 10/31/2014 | | | 13.94 | | | | 0.17 | | | | (0.55 | ) | | | (0.38 | ) | | | (0.25 | ) | | | 13.31 | |
| 10/31/2013 | | | 11.39 | | | | 0.16 | | | | 2.63 | | | | 2.79 | | | | (0.24 | ) | | | 13.94 | |
| 114 | See Notes to Financial Statements. |
| | | | Ratios to Average Net Assets: | | Supplemental Data: | |
| | | | | | | |
Total
return
(%)(b) | | Total
expenses
after waivers
and/or
reimbursements
(%) | | Total
expenses
(%) | | Net
investment
income
(%) | | Net assets,
end of
period
(000) | | Portfolio
turnover
rate
(%) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 19.80 | | | | 1.12 | | | | 1.22 | | | | 1.43 | | | $ | 241,626 | | | | 163 | | |
| | (3.54 | ) | | | 1.12 | | | | 1.31 | | | | 2.29 | | | | 263,064 | | | | 164 | | |
| | (4.16 | ) | | | 1.12 | | | | 1.33 | | | | 1.56 | | | | 341,437 | | | | 62 | | |
| | (2.67 | ) | | | 1.12 | | | | 1.36 | | | | 1.25 | | | | 368,087 | | | | 64 | | |
| | 24.99 | | | | 1.12 | | | | 1.38 | | | | 1.41 | | | | 437,271 | | | | 81 | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 18.93 | | | | 1.87 | | | | 1.98 | | | | 0.65 | | | | 830 | | | | 163 | | |
| | (4.23 | ) | | | 1.87 | | | | 2.06 | | | | 1.46 | | | | 3,110 | | | | 164 | | |
| | (4.86 | ) | | | 1.83 | | | | 2.04 | | | | 0.81 | | | | 6,207 | | | | 62 | | |
| | (3.33 | ) | | | 1.77 | | | | 2.01 | | | | 0.56 | | | | 11,126 | | | | 64 | | |
| | 24.18 | | | | 1.77 | | | | 2.03 | | | | 0.73 | | | | 17,239 | | | | 81 | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 19.02 | | | | 1.85 | | | | 1.95 | | | | 0.71 | | | | 25,687 | | | | 163 | | |
| | (4.21 | ) | | | 1.85 | | | | 2.04 | | | | 1.54 | | | | 31,798 | | | | 164 | | |
| | (4.86 | ) | | | 1.81 | | | | 2.02 | | | | 0.86 | | | | 42,057 | | | | 62 | | |
| | (3.31 | ) | | | 1.75 | | | | 1.99 | | | | 0.65 | | | | 49,491 | | | | 64 | | |
| | 24.26 | | | | 1.75 | | | | 2.01 | | | | 0.77 | | | | 57,779 | | | | 81 | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 20.17 | | | | 0.87 | | | | 1.06 | | | | 1.71 | | | | 63,479 | | | | 163 | | |
| | (3.24 | ) | | | 0.87 | | | | 1.16 | | | | 2.48 | | | | 62,655 | | | | 164 | | |
| | (3.99 | ) | | | 0.87 | | | | 1.14 | | | | 1.85 | | | | 63,830 | | | | 62 | | |
| | (2.46 | ) | | | 0.87 | | | | 1.11 | | | | 1.29 | | | | 78,364 | | | | 64 | | |
| | 25.35 | | | | 0.87 | | | | 1.13 | | | | 1.42 | | | | 142,063 | | | | 81 | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 15.48 | (d) | | | 0.68 | (e) | | | 0.91 | (e) | | | 0.65 | (e) | | | 5,847 | | | | 163 | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 20.26 | | | | 0.77 | | | | 0.96 | | | | 1.87 | | | | 292,598 | | | | 163 | | |
| | (3.15 | ) | | | 0.77 | | | | 1.05 | | | | 2.74 | | | | 160,673 | | | | 164 | | |
| | (3.83 | ) | | | 0.77 | | | | 1.04 | | | | 1.92 | | | | 61,077 | | | | 62 | | |
| | (2.34 | ) | | | 0.77 | | | | 1.01 | | | | 1.50 | | | | 95,958 | | | | 64 | | |
| | 25.37 | | | | 0.77 | | | | 1.03 | | | | 1.77 | | | | 155,754 | | | | 81 | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 19.59 | | | | 1.32 | | | | 1.42 | | | | 1.19 | | | | 89 | | | | 163 | | |
| | (3.65 | ) | | | 1.32 | | | | 1.51 | | | | 2.12 | | | | 95 | | | | 164 | | |
| | (4.38 | ) | | | 1.28 | | | | 1.49 | | | | 1.32 | | | | 110 | | | | 62 | | |
| | (2.77 | ) | | | 1.22 | | | | 1.46 | | | | 1.20 | | | | 150 | | | | 64 | | |
| | 24.91 | | | | 1.22 | | | | 1.48 | | | | 1.30 | | | | 278 | | | | 81 | | |
| | See Notes to Financial Statements. | 115 |
Financial Highlights (concluded)
INTERNATIONAL EQUITY FUND
| | | | | | | Per Share Operating Performance: | | | | |
| | | | | | | Investment operations: | | Distributions
to
shareholders
from: | | | | |
| | | | | | | | | | | | | |
| | | Net asset
value,
beginning
of period | | Net
investment
income(a) | | Net
realized and
unrealized
gain (loss) | | Total from
investment
operations | | Net
investment
income | | Net asset
value,
end of
period |
| Class R2 | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | $11.99 | | | | $0.16 | | | | $ 2.12 | | | | $ 2.28 | | | | $(0.22 | ) | | | $14.05 | |
| 10/31/2016 | | | 12.58 | | | | 0.23 | | | | (0.71 | ) | | | (0.48 | ) | | | (0.11 | ) | | | 11.99 | |
| 10/31/2015 | | | 13.29 | | | | 0.17 | | | | (0.76 | ) | | | (0.59 | ) | | | (0.12 | ) | | | 12.58 | |
| 10/31/2014 | | | 13.92 | | | | 0.15 | | | | (0.55 | ) | | | (0.40 | ) | | | (0.23 | ) | | | 13.29 | |
| 10/31/2013 | | | 11.41 | | | | 0.15 | | | | 2.61 | | | | 2.76 | | | | (0.25 | ) | | | 13.92 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R3 | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 11.84 | | | | 0.15 | | | | 2.12 | | | | 2.27 | | | | (0.24 | ) | | | 13.87 | |
| 10/31/2016 | | | 12.44 | | | | 0.23 | | | | (0.70 | ) | | | (0.47 | ) | | | (0.13 | ) | | | 11.84 | |
| 10/31/2015 | | | 13.14 | | | | 0.17 | | | | (0.74 | ) | | | (0.57 | ) | | | (0.13 | ) | | | 12.44 | |
| 10/31/2014 | | | 13.77 | | | | 0.16 | | | | (0.55 | ) | | | (0.39 | ) | | | (0.24 | ) | | | 13.14 | |
| 10/31/2013 | | | 11.28 | | | | 0.16 | | | | 2.59 | | | | 2.75 | | | | (0.26 | ) | | | 13.77 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R4 | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 12.00 | | | | 0.17 | | | | 2.16 | | | | 2.33 | | | | (0.26 | ) | | | 14.07 | |
| 10/31/2016 | | | 12.63 | | | | 0.27 | | | | (0.72 | ) | | | (0.45 | ) | | | (0.18 | ) | | | 12.00 | |
| 6/30/2015 to 10/31/2015(f) | | | 13.06 | | | | 0.04 | | | | (0.47 | ) | | | (0.43 | ) | | | – | | | | 12.63 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R5 | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 12.11 | | | | 0.16 | | | | 2.21 | | | | 2.37 | | | | (0.29 | ) | | | 14.19 | |
| 10/31/2016 | | | 12.73 | | | | 0.30 | | | | (0.72 | ) | | | (0.42 | ) | | | (0.20 | ) | | | 12.11 | |
| 6/30/2015 to 10/31/2015(f) | | | 13.15 | | | | 0.05 | | | | (0.47 | ) | | | (0.42 | ) | | | – | | | | 12.73 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 12.14 | | | | 0.26 | | | | 2.14 | | | | 2.40 | | | | (0.30 | ) | | | 14.24 | |
| 10/31/2016 | | | 12.74 | | | | 0.17 | | | | (0.57 | ) | | | (0.40 | ) | | | (0.20 | ) | | | 12.14 | |
| 6/30/2015 to 10/31/2015(f) | | | 13.15 | | | | 0.06 | | | | (0.47 | ) | | | (0.41 | ) | | | – | | | | 12.74 | |
| (a) | Calculated using average shares outstanding during the period. |
| (b) | Total return for classes A, B and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
| (c) | Commenced on April 4, 2017. |
| (d) | Not annualized. |
| (e) | Annualized. |
| (f) | Commenced on June 30, 2015. |
| | |
| 116 | See Notes to Financial Statements. |
| | | | | | Ratios to Average Net Assets: | | Supplemental Data: |
| | | | | | | | | | | |
Total
return
(%)(b) | | Total
expenses
after waivers
and/or
reimbursements
(%) | | Total
expenses
(%) | | Net
investment
income
(%) | | Net assets,
end of
period
(000) | | Portfolio
turnover
rate
(%) |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 19.40 | | | | 1.47 | | | | 1.56 | | | | 1.22 | | | $ | 679 | | | | 163 | |
| | (3.85 | ) | | | 1.47 | | | | 1.66 | | | | 1.93 | | | | 517 | | | | 164 | |
| | (4.48 | ) | | | 1.43 | | | | 1.64 | | | | 1.31 | | | | 658 | | | | 62 | |
| | (2.89 | ) | | | 1.37 | | | | 1.61 | | | | 1.07 | | | | 1,011 | | | | 64 | |
| | 24.65 | | | | 1.37 | | | | 1.63 | | | | 1.20 | | | | 868 | | | | 81 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 19.63 | | | | 1.34 | | | | 1.44 | | | | 1.23 | | | | 12,674 | | | | 163 | |
| | (3.79 | ) | | | 1.36 | | | | 1.54 | | | | 1.99 | | | | 14,945 | | | | 164 | |
| | (4.35 | ) | | | 1.33 | | | | 1.53 | | | | 1.35 | | | | 18,466 | | | | 62 | |
| | (2.85 | ) | | | 1.26 | | | | 1.50 | | | | 1.15 | | | | 20,156 | | | | 64 | |
| | 24.80 | | | | 1.26 | | | | 1.52 | | | | 1.27 | | | | 19,739 | | | | 81 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 19.92 | | | | 1.10 | | | | 1.18 | | | | 1.25 | | | | 582 | | | | 163 | |
| | (3.55 | ) | | | 1.12 | | | | 1.28 | | | | 2.27 | | | | 9 | | | | 164 | |
| | (3.29 | )(d) | | | 1.12 | (e) | | | 1.25 | (e) | | | 0.89 | (e) | | | 10 | | | | 62 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 20.10 | | | | 0.87 | | | | 0.94 | | | | 1.21 | | | | 71 | | | | 163 | |
| | (3.31 | ) | | | 0.87 | | | | 1.04 | | | | 2.52 | | | | 9 | | | | 164 | |
| | (3.19 | )(d) | | | 0.87 | (e) | | | 1.00 | (e) | | | 1.14 | (e) | | | 10 | | | | 62 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 20.35 | | | | 0.70 | | | | 0.86 | | | | 2.04 | | | | 3,074 | | | | 163 | |
| | (3.14 | ) | | | 0.65 | | | | 0.88 | | | | 1.39 | | | | 10,765 | | | | 164 | |
| | (3.12 | )(d) | | | 0.70 | (e) | | | 0.84 | (e) | | | 1.31 | (e) | | | 10 | | | | 62 | |
| | | |
| | See Notes to Financial Statements. | 117 |
Financial Highlights
INTERNATIONAL OPPORTUNITIES FUND
| | | | | | | Per Share Operating Performance: |
| | | | | | | Investment Operations: | | Distributions to
shareholders from: |
| | | Net asset
value,
beginning
of period | | Net
invest-
ment income
(loss)(a) | | Net
realized
and
unrealized
gain (loss) | | Total
from
invest-
ment
opera-
tions | | Net
investment
income | | Net
realized
gain | | Total
distri-
butions |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | $16.13 | | | | $ 0.09 | | | | $ 4.77 | | | | $ 4.86 | | | | $(0.11 | ) | | | $ – | | | | $(0.11 | ) |
| 10/31/2016 | | | 17.01 | | | | 0.13 | | | | (0.30 | ) | | | (0.17 | ) | | | (0.10 | ) | | | (0.61 | ) | | | (0.71 | ) |
| 10/31/2015 | | | 16.22 | | | | 0.09 | | | | 1.36 | | | | 1.45 | | | | (0.18 | ) | | | (0.48 | ) | | | (0.66 | ) |
| 10/31/2014 | | | 16.83 | | | | 0.11 | | | | (0.51 | ) | | | 0.40 | | | | (0.21 | ) | | | – | | | | (0.21 | ) |
| 10/31/2013 | | | 13.17 | | | | 0.10 | | | | 3.82 | | | | 3.92 | | | | (0.26 | ) | | | – | | | | (0.26 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class B | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 15.23 | | | | (0.05 | ) | | | 4.53 | | | | 4.48 | | | | – | | | | – | | | | – | |
| 10/31/2016 | | | 16.11 | | | | – | (c) | | | (0.27 | ) | | | (0.27 | ) | | | – | | | | (0.61 | ) | | | (0.61 | ) |
| 10/31/2015 | | | 15.37 | | | | (0.04 | ) | | | 1.30 | | | | 1.26 | | | | (0.04 | ) | | | (0.48 | ) | | | (0.52 | ) |
| 10/31/2014 | | | 15.96 | | | | (0.03 | ) | | | (0.46 | ) | | | (0.49 | ) | | | (0.10 | ) | | | – | | | | (0.10 | ) |
| 10/31/2013 | | | 12.49 | | | | – | (c) | | | 3.63 | | | | 3.63 | | | | (0.16 | ) | | | – | | | | (0.16 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 15.03 | | | | (0.04 | ) | | | 4.47 | | | | 4.43 | | | | – | | | | – | | | | – | |
| 10/31/2016 | | | 15.92 | | | | 0.01 | | | | (0.28 | ) | | | (0.27 | ) | | | (0.01 | ) | | | (0.61 | ) | | | (0.62 | ) |
| 10/31/2015 | | | 15.23 | | | | (0.04 | ) | | | 1.29 | | | | 1.25 | | | | (0.08 | ) | | | (0.48 | ) | | | (0.56 | ) |
| 10/31/2014 | | | 15.84 | | | | (0.02 | ) | | | (0.46 | ) | | | (0.48 | ) | | | (0.13 | ) | | | – | | | | (0.13 | ) |
| 10/31/2013 | | | 12.41 | | | | – | (c) | | | 3.61 | | | | 3.61 | | | | (0.18 | ) | | | – | | | | (0.18 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class F | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 16.00 | | | | 0.11 | | | | 4.73 | | | | 4.84 | | | | (0.14 | ) | | | – | | | | (0.14 | ) |
| 10/31/2016 | | | 16.88 | | | | 0.15 | | | | (0.29 | ) | | | (0.14 | ) | | | (0.13 | ) | | | (0.61 | ) | | | (0.74 | ) |
| 10/31/2015 | | | 16.11 | | | | 0.10 | | | | 1.37 | | | | 1.47 | | | | (0.22 | ) | | | (0.48 | ) | | | (0.70 | ) |
| 10/31/2014 | | | 16.73 | | | | 0.14 | | | | (0.50 | ) | | | (0.36 | ) | | | (0.26 | ) | | | – | | | | (0.26 | ) |
| 10/31/2013 | | | 13.09 | | | | 0.17 | | | | 3.76 | | | | 3.93 | | | | (0.29 | ) | | | – | | | | (0.29 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class F3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 4/4/2017 to 10/31/2017(d) | | | 17.75 | | | | (0.02 | ) | | | 3.76 | | | | 3.74 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 16.56 | | | | 0.14 | | | | 4.90 | | | | 5.04 | | | | (0.16 | ) | | | – | | | | (0.16 | ) |
| 10/31/2016 | | | 17.44 | | | | 0.17 | | | | (0.30 | ) | | | (0.13 | ) | | | (0.14 | ) | | | (0.61 | ) | | | (0.75 | ) |
| 10/31/2015 | | | 16.63 | | | | 0.13 | | | | 1.39 | | | | 1.52 | | | | (0.23 | ) | | | (0.48 | ) | | | (0.71 | ) |
| 10/31/2014 | | | 17.25 | | | | 0.15 | | | | (0.51 | ) | | | (0.36 | ) | | | (0.26 | ) | | | – | | | | (0.26 | ) |
| 10/31/2013 | | | 13.49 | | | | 0.15 | | | | 3.91 | | | | 4.06 | | | | (0.30 | ) | | | – | | | | (0.30 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class P | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 16.40 | | | | 0.04 | | | | 4.88 | | | | 4.92 | | | | (0.06 | ) | | | – | | | | (0.06 | ) |
| 10/31/2016 | | | 17.27 | | | | 0.08 | | | | (0.29 | ) | | | (0.21 | ) | | | (0.05 | ) | | | (0.61 | ) | | | (0.66 | ) |
| 10/31/2015 | | | 16.46 | | | | 0.05 | | | | 1.40 | | | | 1.45 | | | | (0.16 | ) | | | (0.48 | ) | | | (0.64 | ) |
| 10/31/2014 | | | 17.08 | | | | 0.07 | | | | (0.51 | ) | | | (0.44 | ) | | | (0.18 | ) | | | – | | | | (0.18 | ) |
| 10/31/2013 | | | 13.36 | | | | 0.09 | | | | 3.88 | | | | 3.97 | | | | (0.25 | ) | | | – | | | | (0.25 | ) |
| | |
| 118 | See Notes to Financial Statements. |
| | | | | | | | Ratios to Average Net Assets: | | Supplemental Data: |
| | | | | | | | | | |
Net
asset
value,
end of
period | | Total
return
(%)(b) | | Total
expenses
(%) | | Net
invest-
ment
income
(loss)
(%) | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate
(%) |
| | | | | | | | | | | | | | | | |
| | $20.88 | | | | 30.38 | | | | 1.23 | | | | 0.50 | | | $ | 190,861 | | | | 76 | |
| | 16.13 | | | | (0.99 | ) | | | 1.35 | | | | 0.82 | | | | 153,000 | | | | 82 | |
| | 17.01 | | | | 9.36 | | | | 1.33 | | | | 0.51 | | | | 160,628 | | | | 82 | |
| | 16.22 | | | | (2.39 | ) | | | 1.35 | | | | 0.66 | | | | 117,037 | | | | 80 | |
| | 16.83 | | | | 30.26 | | | | 1.47 | | | | 0.66 | | | | 99,530 | | | | 100 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 19.71 | | | | 29.42 | | | | 2.00 | | | | (0.30 | ) | | | 399 | | | | 76 | |
| | 15.23 | | | | (1.72 | ) | | | 2.09 | | | | 0.01 | | | | 1,397 | | | | 82 | |
| | 16.11 | | | | 8.51 | | | | 2.07 | | | | (0.24 | ) | | | 2,702 | | | | 82 | |
| | 15.37 | | | | (3.09 | ) | | | 2.07 | | | | (0.16 | ) | | | 3,999 | | | | 80 | |
| | 15.96 | | | | 29.39 | | | | 2.12 | | | | (0.03 | ) | | | 6,357 | | | | 100 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 19.46 | | | | 29.47 | | | | 1.97 | | | | (0.26 | ) | | | 39,434 | | | | 76 | |
| | 15.03 | | | | (1.75 | ) | | | 2.09 | | | | 0.08 | | | | 27,396 | | | | 82 | |
| | 15.92 | | | | 8.58 | | | | 2.06 | | | | (0.23 | ) | | | 31,273 | | | | 82 | |
| | 15.23 | | | | (3.12 | ) | | | 2.06 | | | | (0.10 | ) | | | 21,868 | | | | 80 | |
| | 15.84 | | | | 29.43 | | | | 2.10 | | | | 0.03 | | | | 18,138 | | | | 100 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 20.70 | | | | 30.59 | | | | 1.07 | | | | 0.58 | | | | 264,221 | | | | 76 | |
| | 16.00 | | | | (0.84 | ) | | | 1.20 | | | | 0.96 | | | | 88,852 | | | | 82 | |
| | 16.88 | | | | 9.52 | | | | 1.18 | | | | 0.61 | | | | 118,963 | | | | 82 | |
| | 16.11 | | | | (2.21 | ) | | | 1.18 | | | | 0.80 | | | | 44,607 | | | | 80 | |
| | 16.73 | | | | 30.63 | | | | 1.22 | | | | 1.13 | | | | 18,046 | | | | 100 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 21.49 | | | | 21.13 | (e) | | | 0.89 | (f) | | | (0.15 | )(f) | | | 18,095 | | | | 76 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 21.44 | | | | 30.74 | | | | 0.99 | | | | 0.76 | | | | 249,331 | | | | 76 | |
| | 16.56 | | | | (0.75 | ) | | | 1.10 | | | | 1.06 | | | | 267,188 | | | | 82 | |
| | 17.44 | | | | 9.59 | | | | 1.08 | | | | 0.77 | | | | 296,965 | | | | 82 | |
| | 16.63 | | | | (2.10 | ) | | | 1.08 | | | | 0.87 | | | | 274,583 | | | | 80 | |
| | 17.25 | | | | 30.74 | | | | 1.12 | | | | 0.99 | | | | 259,952 | | | | 100 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 21.26 | | | | 30.12 | | | | 1.45 | | | | 0.23 | | | | 229 | | | | 76 | |
| | 16.40 | | | | (1.17 | ) | | | 1.55 | | | | 0.49 | | | | 363 | | | | 82 | |
| | 17.27 | | | | 9.15 | | | | 1.53 | | | | 0.29 | | | | 595 | | | | 82 | |
| | 16.46 | | | | (2.60 | ) | | | 1.53 | | | | 0.38 | | | | 872 | | | | 80 | |
| | 17.08 | | | | 30.19 | | | | 1.57 | | | | 0.57 | | | | 1,096 | | | | 100 | |
| | | |
| | See Notes to Financial Statements. | 119 |
Financial Highlights (concluded)
INTERNATIONAL OPPORTUNITIES FUND
| | | | | | | Per Share Operating Performance: |
| | | | | | | Investment Operations: | | Distributions to
shareholders from: |
| | | Net asset
value,
beginning
of period | | Net
invest-
ment
income
(loss)(a) | | Net
realized
and
unrealized
gain (loss) | | Total
from
invest-
ment
opera-
tions | | Net
investment
income | | Net
realized
gain | | Total
distri-
butions |
| Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | $15.89 | | | | $0.04 | | | | $ 4.69 | | | | $ 4.73 | | | | $(0.09 | ) | | | $ – | | | | $(0.09 | ) |
| 10/31/2016 | | | 16.81 | | | | 0.08 | | | | (0.30 | ) | | | (0.22 | ) | | | (0.09 | ) | | | (0.61 | ) | | | (0.70 | ) |
| 10/31/2015 | | | 16.05 | | | | 0.02 | | | | 1.35 | | | | 1.37 | | | | (0.13 | ) | | | (0.48 | ) | | | (0.61 | ) |
| 10/31/2014 | | | 16.69 | | | | 0.04 | | | | (0.48 | ) | | | (0.44 | ) | | | (0.20 | ) | | | – | | | | (0.20 | ) |
| 10/31/2013 | | | 13.07 | | | | 0.06 | | | | 3.79 | | | | 3.85 | | | | (0.23 | ) | | | – | | | | (0.23 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 15.85 | | | | 0.02 | | | | 4.71 | | | | 4.73 | | | | (0.09 | ) | | | – | | | | (0.09 | ) |
| 10/31/2016 | | | 16.73 | | | | 0.11 | | | | (0.31 | ) | | | (0.20 | ) | | | (0.07 | ) | | | (0.61 | ) | | | (0.68 | ) |
| 10/31/2015 | | | 15.97 | | | | 0.05 | | | | 1.34 | | | | 1.39 | | | | (0.15 | ) | | | (0.48 | ) | | | (0.63 | ) |
| 10/31/2014 | | | 16.57 | | | | 0.07 | | | | (0.49 | ) | | | (0.42 | ) | | | (0.18 | ) | | | – | | | | (0.18 | ) |
| 10/31/2013 | | | 12.98 | | | | 0.06 | | | | 3.78 | | | | 3.84 | | | | (0.25 | ) | | | – | | | | (0.25 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 16.11 | | | | 0.10 | | | | 4.75 | | | | 4.85 | | | | (0.14 | ) | | | – | | | | (0.14 | ) |
| 10/31/2016 | | | 17.01 | | | | 0.09 | | | | (0.26 | ) | | | (0.17 | ) | | | (0.12 | ) | | | (0.61 | ) | | | (0.73 | ) |
| 6/30/2015 to 10/31/2015(g) | | | 17.49 | | | | – | (c) | | | (0.48 | ) | | | (0.48 | ) | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 16.56 | | | | 0.15 | | | | 4.88 | | | | 5.03 | | | | (0.16 | ) | | | – | | | | (0.16 | ) |
| 10/31/2016 | | | 17.44 | | | | 0.18 | | | | (0.31 | ) | | | (0.13 | ) | | | (0.14 | ) | | | (0.61 | ) | | | (0.75 | ) |
| 6/30/2015 to 10/31/2015(g) | | | 17.92 | | | | 0.02 | | | | (0.50 | ) | | | (0.48 | ) | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 16.60 | | | | 0.20 | | | | 4.85 | | | | 5.05 | | | | (0.16 | ) | | | – | | | | (0.16 | ) |
| 10/31/2016 | | | 17.45 | | | | 0.17 | | | | (0.27 | ) | | | (0.10 | ) | | | (0.14 | ) | | | (0.61 | ) | | | (0.75 | ) |
| 6/30/2015 to 10/31/2015(g) | | | 17.92 | | | | 0.03 | | | | (0.50 | ) | | | (0.47 | ) | | | – | | | | – | | | | – | |
| (a) | Calculated using average shares outstanding during the period. |
| (b) | Total return for classes A, B and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
| (c) | Amount less than $0.01. |
| (d) | Commenced on April 4, 2017. |
| (e) | Not annualized. |
| (f) | Annualized. |
| (g) | Commenced on June 30, 2015. |
| | |
| 120 | See Notes to Financial Statements. |
| | | | | | | | | Ratios to Average Net Assets: | | Supplemental Data: |
| | | | | | | | | | | | | | | | | | | | | | | |
Net
asset
value,
end of
period | | Total
return
(%)(b) | | Total
expenses
(%) | | Net
invest-
ment
income
(loss)
(%) | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate
(%) |
| | | | | | | | | | | | | | | | | |
| | $20.53 | | | | 29.96 | | | | 1.57 | | | | 0.21 | | | | $5,228 | | | | 76 | |
| | 15.89 | | | | (1.34 | ) | | | 1.71 | | | | 0.49 | | | | 2,520 | | | | 82 | |
| | 16.81 | | | | 8.92 | | | | 1.68 | | | | 0.15 | | | | 935 | | | | 82 | |
| | 16.05 | | | | (2.69 | ) | | | 1.68 | | | | 0.26 | | | | 198 | | | | 80 | |
| | 16.69 | | | | 29.97 | | | | 1.72 | | | | 0.40 | | | | 201 | | | | 100 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 20.49 | | | | 30.07 | | | | 1.47 | | | | 0.14 | | | | 9,828 | | | | 76 | |
| | 15.85 | | | | (1.20 | ) | | | 1.59 | | | | 0.67 | | | | 18,124 | | | | 82 | |
| | 16.73 | | | | 9.11 | | | | 1.56 | | | | 0.29 | | | | 9,161 | | | | 82 | |
| | 15.97 | | | | (2.63 | ) | | | 1.56 | | | | 0.39 | | | | 6,000 | | | | 80 | |
| | 16.57 | | | | 30.14 | | | | 1.62 | | | | 0.45 | | | | 6,133 | | | | 100 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 20.82 | | | | 30.43 | | | | 1.23 | | | | 0.55 | | | | 3,334 | | | | 76 | |
| | 16.11 | | | | (1.03 | ) | | | 1.38 | | | | 0.57 | | | | 1,883 | | | | 82 | |
| | 17.01 | | | | (2.74 | )(e) | | | 1.35 | (f) | | | 0.03 | (f) | | | 10 | | | | 82 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 21.43 | | | | 30.69 | | | | 0.98 | | | | 0.79 | | | | 4,121 | | | | 76 | |
| | 16.56 | | | | (0.75 | ) | | | 1.13 | | | | 1.06 | | | | 2,751 | | | | 82 | |
| | 17.44 | | | | (2.68 | )(e) | | | 1.10 | (f) | | | 0.28 | (f) | | | 10 | | | | 82 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 21.49 | | | | 30.85 | | | | 0.90 | | | | 1.03 | | | | 17,212 | | | | 76 | |
| | 16.60 | | | | (0.56 | ) | | | 0.94 | | | | 1.00 | | | | 1,843 | | | | 82 | |
| | 17.45 | | | | (2.62 | )(e) | | | 0.93 | (f) | | | 0.48 | (f) | | | 13 | | | | 82 | |
| | | |
| | See Notes to Financial Statements. | 121 |
Financial Highlights
VALUE OPPORTUNITIES FUND
| | | | | | | Per Share Operating Performance: |
| | | | | | | Investment Operations: | | Distributions to
shareholders from: |
| | | | | | | | | |
| | | Net asset
value,
beginning
of period | | Net
investment
income
(loss)(a) | | Net
realized and
unrealized
gain (loss) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gain |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | $18.95 | | | | $0.03 | | | | $2.95 | | | | $2.98 | | | | $ – | | | | $(1.13 | ) |
| 10/31/2016 | | | 19.56 | | | | 0.02 | | | | 0.77 | | | | 0.79 | | | | – | | | | (1.40 | ) |
| 10/31/2015 | | | 21.67 | | | | (0.01 | ) | | | 0.77 | | | | 0.76 | | | | – | | | | (2.87 | ) |
| 10/31/2014 | | | 21.44 | | | | (0.03 | ) | | | 2.16 | | | | 2.13 | | | | – | | | | (1.90 | ) |
| 10/31/2013 | | | 15.99 | | | | – | (c) | | | 5.45 | | | | 5.45 | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Class B | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 17.31 | | | | (0.10 | ) | | | 2.66 | | | | 2.56 | | | | – | | | | (1.13 | ) |
| 10/31/2016 | | | 18.12 | | | | (0.11 | ) | | | 0.70 | | | | 0.59 | | | | – | | | | (1.40 | ) |
| 10/31/2015 | | | 20.41 | | | | (0.15 | ) | | | 0.73 | | | | 0.58 | | | | – | | | | (2.87 | ) |
| 10/31/2014 | | | 20.42 | | | | (0.16 | ) | | | 2.05 | | | | 1.89 | | | | – | | | | (1.90 | ) |
| 10/31/2013 | | | 15.32 | | | | (0.12 | ) | | | 5.22 | | | | 5.10 | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 17.31 | | | | (0.11 | ) | | | 2.68 | | | | 2.57 | | | | – | | | | (1.13 | ) |
| 10/31/2016 | | | 18.11 | | | | (0.11 | ) | | | 0.71 | | | | 0.60 | | | | – | | | | (1.40 | ) |
| 10/31/2015 | | | 20.41 | | | | (0.15 | ) | | | 0.72 | | | | 0.57 | | | | – | | | | (2.87 | ) |
| 10/31/2014 | | | 20.42 | | | | (0.16 | ) | | | 2.05 | | | | 1.89 | | | | – | | | | (1.90 | ) |
| 10/31/2013 | | | 15.32 | | | | (0.12 | ) | | | 5.22 | | | | 5.10 | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Class F | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 19.28 | | | | 0.05 | | | | 3.00 | | | | 3.05 | | | | (0.02 | ) | | | (1.13 | ) |
| 10/31/2016 | | | 19.85 | | | | 0.04 | | | | 0.79 | | | | 0.83 | | | | – | | | | (1.40 | ) |
| 10/31/2015 | | | 21.92 | | | | 0.02 | | | | 0.78 | | | | 0.80 | | | | – | | | | (2.87 | ) |
| 10/31/2014 | | | 21.62 | | | | 0.02 | | | | 2.18 | | | | 2.20 | | | | – | | | | (1.90 | ) |
| 10/31/2013 | | | 16.07 | | | | 0.05 | | | | 5.50 | | | | 5.55 | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Class F3 | | | | | | | | | | | | | | | | | | | | | | | | |
| 4/4/2017 to 10/31/2017(e) | | | 20.25 | | | | (0.03 | ) | | | 1.43 | | | | 1.40 | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 19.62 | | | | 0.08 | | | | 3.06 | | | | 3.14 | | | | (0.04 | ) | | | (1.13 | ) |
| 10/31/2016 | | | 20.16 | | | | 0.06 | | | | 0.80 | | | | 0.86 | | | | – | | | | (1.40 | ) |
| 10/31/2015 | | | 22.20 | | | | 0.04 | | | | 0.79 | | | | 0.83 | | | | – | | | | (2.87 | ) |
| 10/31/2014 | | | 21.85 | | | | 0.05 | | | | 2.20 | | | | 2.25 | | | | – | | | | (1.90 | ) |
| 10/31/2013 | | | 16.23 | | | | 0.06 | | | | 5.56 | | | | 5.62 | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Class P | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 18.70 | | | | (0.01 | )(c) | | | 2.90 | | | | 2.89 | | | | – | | | | (1.13 | ) |
| 10/31/2016 | | | 19.36 | | | | (0.02 | ) | | | 0.76 | | | | 0.74 | | | | – | | | | (1.40 | ) |
| 10/31/2015 | | | 21.51 | | | | (0.05 | ) | | | 0.77 | | | | 0.72 | | | | – | | | | (2.87 | ) |
| 10/31/2014 | | | 21.32 | | | | (0.05 | ) | | | 2.14 | | | | 2.09 | | | | – | | | | (1.90 | ) |
| 10/31/2013 | | | 15.90 | | | | (0.07 | ) | | | 5.49 | | | | 5.42 | | | | – | | | | – | |
| | |
| 122 | See Notes to Financial Statements. |
| | | | | | | | Ratios to Average Net Assets: | | Supplemental Data: |
| | | | | | | | | | | |
Net
asset
value,
end of
period | | Total
return
(%)(b) | | Total
expenses
(%) | | Net
investment
income
(loss)
(%) | | Net assets,
end of
period
(000) | | Portfolio
turnover
rate
(%) |
| | | | | | | | | | | | | | | | | | | | | | | |
| | $20.80 | | | | 16.23 | | | | 1.15 | | | | 0.14 | | | | $1,028,166 | | | | 57 | |
| | 18.95 | | | | 4.33 | | | | 1.17 | | | | 0.09 | | | | 959,416 | | | | 37 | |
| | 19.56 | | | | 3.67 | | | | 1.17 | | | | (0.05 | ) | | | 1,026,959 | | | | 47 | |
| | 21.67 | | | | 10.72 | | | | 1.26 | | | | (0.13 | ) | | | 1,316,790 | | | | 54 | |
| | 21.44 | | | | 34.08 | | | | 1.28 | | | | (0.01 | ) | | | 1,372,436 | | | | 69 | (d) |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 18.74 | | | | 15.29 | | | | 1.90 | | | | (0.54 | ) | | | 2,113 | | | | 57 | |
| | 17.31 | | | | 3.51 | | | | 1.92 | | | | (0.65 | ) | | | 7,296 | | | | 37 | |
| | 18.12 | | | | 2.93 | | | | 1.92 | | | | (0.79 | ) | | | 11,521 | | | | 47 | |
| | 20.41 | | | | 10.02 | | | | 1.91 | | | | (0.78 | ) | | | 18,752 | | | | 54 | |
| | 20.42 | | | | 33.29 | | | | 1.93 | | | | (0.68 | ) | | | 24,911 | | | | 69 | (d) |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 18.75 | | | | 15.35 | | | | 1.89 | | | | (0.61 | ) | | | 335,148 | | | | 57 | |
| | 17.31 | | | | 3.57 | | | | 1.92 | | | | (0.66 | ) | | | 330,066 | | | | 37 | |
| | 18.11 | | | | 2.87 | | | | 1.92 | | | | (0.80 | ) | | | 356,709 | | | | 47 | |
| | 20.41 | | | | 10.02 | | | | 1.91 | | | | (0.79 | ) | | | 404,787 | | | | 54 | |
| | 20.42 | | | | 33.29 | | | | 1.93 | | | | (0.66 | ) | | | 400,420 | | | | 69 | (d) |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 21.18 | | | | 16.34 | | | | 1.00 | | | | 0.27 | | | | 807,684 | | | | 57 | |
| | 19.28 | | | | 4.48 | | | | 1.02 | | | | 0.23 | | | | 663,069 | | | | 37 | |
| | 19.85 | | | | 3.84 | | | | 1.02 | | | | 0.09 | | | | 557,742 | | | | 47 | |
| | 21.92 | | | | 10.97 | | | | 1.02 | | | | 0.11 | | | | 550,524 | | | | 54 | |
| | 21.62 | | | | 34.54 | | | | 1.03 | | | | 0.26 | | | | 456,370 | | | | 69 | (d) |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 21.65 | | | | 6.91 | (h) | | | 0.79 | (f) | | | (0.25 | )(f) | | | 315,394 | | | | 57 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 21.59 | | | | 16.51 | | | | 0.90 | | | | 0.41 | | | | 397,265 | | | | 57 | |
| | 19.62 | | | | 4.57 | | | | 0.92 | | | | 0.34 | | | | 470,399 | | | | 37 | |
| | 20.16 | | | | 3.94 | | | | 0.92 | | | | 0.20 | | | | 557,008 | | | | 47 | |
| | 22.20 | | | | 11.10 | | | | 0.92 | | | | 0.21 | | | | 647,442 | | | | 54 | |
| | 21.85 | | | | 34.63 | | | | 0.93 | | | | 0.33 | | | | 675,593 | | | | 69 | (d) |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 20.46 | | | | 15.96 | | | | 1.35 | | | | (0.05 | ) | | | 33,644 | | | | 57 | |
| | 18.70 | | | | 4.10 | | | | 1.37 | | | | (0.11 | ) | | | 36,327 | | | | 37 | |
| | 19.36 | | | | 3.50 | | | | 1.37 | | | | (0.25 | ) | | | 42,225 | | | | 47 | |
| | 21.51 | | | | 10.58 | | | | 1.36 | | | | (0.23 | ) | | | 49,179 | | | | 54 | |
| | 21.32 | | | | 34.09 | | | | 1.37 | | | | (0.34 | ) | | | 54,081 | | | | 69 | (d) |
| | | |
| | See Notes to Financial Statements. | 123 |
Financial Highlights (concluded)
VALUE OPPORTUNITIES FUND
| | | | | | | Per Share Operating Performance: |
| | | | | | | Investment Operations: | | Distributions to
shareholders from: |
| | | | | | | | | | | | | |
| | | Net asset
value,
beginning
of period | | Net
investment
income
(loss)(a) | | Net
realized and
unrealized
gain (loss) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gain |
| Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | $ | 18.38 | | | | $ | (0.05 | ) | | | $ | 2.86 | | | | $ | 2.81 | | | | $ | – | | | | (1.13 | ) |
| 10/31/2016 | | | | 19.08 | | | | | (0.05 | ) | | | | 0.75 | | | | | 0.70 | | | | | – | | | | (1.40 | ) |
| 10/31/2015 | | | | 21.27 | | | | | (0.08 | ) | | | | 0.76 | | | | | 0.68 | | | | | – | | | | (2.87 | ) |
| 10/31/2014 | | | | 21.13 | | | | | (0.08 | ) | | | | 2.12 | | | | | 2.04 | | | | | – | | | | (1.90 | ) |
| 10/31/2013 | | | | 15.79 | | | | | (0.04 | ) | | | | 5.38 | | | | | 5.34 | | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | | 18.52 | | | | | (0.02 | ) | | | | 2.88 | | | | | 2.86 | | | | | – | | | | (1.13 | ) |
| 10/31/2016 | | | | 19.20 | | | | | (0.03 | ) | | | | 0.75 | | | | | 0.72 | | | | | – | | | | (1.40 | ) |
| 10/31/2015 | | | | 21.37 | | | | | (0.06 | ) | | | | 0.76 | | | | | 0.70 | | | | | – | | | | (2.87 | ) |
| 10/31/2014 | | | | 21.20 | | | | | (0.06 | ) | | | | 2.13 | | | | | 2.07 | | | | | – | | | | (1.90 | ) |
| 10/31/2013 | | | | 15.83 | | | | | (0.03 | ) | | | | 5.40 | | | | | 5.37 | | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | | 18.95 | | | | | – | | | | | 2.99 | | | | | 2.99 | | | | | (0.02 | ) | | | (1.13 | ) |
| 10/31/2016 | | | | 19.57 | | | | | (0.01 | ) | | | | 0.79 | | | | | 0.78 | | | | | – | | | | (1.40 | ) |
| 6/30/2015 to 10/31/2015(g) | | | | 20.33 | | | | | – | (c) | | | | (0.76 | ) | | | | (0.76 | ) | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | | 19.63 | | | | | 0.10 | | | | | 3.03 | | | | | 3.13 | | | | | (0.04 | ) | | | (1.13 | ) |
| 10/31/2016 | | | | 20.16 | | | | | 0.05 | | | | | 0.82 | | | | | 0.87 | | | | | – | | | | (1.40 | ) |
| 6/30/2015 to 10/31/2015(g) | | | | 20.93 | | | | | 0.01 | | | | | (0.78 | ) | | | | (0.77 | ) | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | | 19.66 | | | | | 0.09 | | | | | 3.07 | | | | | 3.16 | | | | | (0.04 | ) | | | (1.13 | ) |
| 10/31/2016 | | | | 20.17 | | | | | 0.09 | | | | | 0.80 | | | | | 0.89 | | | | | – | | | | (1.40 | ) |
| 6/30/2015 to 10/31/2015(g) | | | | 20.93 | | | | | 0.02 | | | | | (0.78 | ) | | | | (0.76 | ) | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class T | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 7/28/2017 to 10/31/2017(i) | | | | 20.06 | | | | | 0.01 | | | | | 0.73 | | | | | 0.74 | | | | | – | | | | – | |
| | |
| (a) | Calculated using average shares outstanding during the period. |
| (b) | Total return for classes A, B and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
| (c) | Amount less than $0.01. |
| (d) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Small Cap Blend Fund on July 19, 2013. |
| (e) | Commenced on April 4, 2017. |
| (f) | Annualized. |
| (g) | Commenced on June 30, 2015. |
| (h) | Not annualized. |
| (i) | Commenced on July 28, 2017. |
| | |
| 124 | See Notes to Financial Statements. |
| | | | | | | Ratios to Average Net Assets: | | Supplemental Data: |
| | | | | | | | | | | | | | | | | |
Net
asset
value,
end of
period | | | Total
return
(%)(b) | | Total
expenses
(%) | | Net
investment
income
(loss)
(%) | | Net assets,
end of
period
(000) | | Portfolio
turnover
rate
(%) |
| | | | | | | | | | | | | | | | | | | | | | | |
| | $20.06 | | | | 15.79 | | | | 1.50 | | | | (0.25 | ) | | $ | 9,047 | | | | 57 | |
| | 18.38 | | | | 3.94 | | | | 1.52 | | | | (0.26 | ) | | | 6,245 | | | | 37 | |
| | 19.08 | | | | 3.33 | | | | 1.53 | | | | (0.40 | ) | | | 7,120 | | | | 47 | |
| | 21.27 | | | | 10.42 | | | | 1.52 | | | | (0.38 | ) | | | 10,364 | | | | 54 | |
| | 21.13 | | | | 33.82 | | | | 1.53 | | | | (0.24 | ) | | | 13,922 | | | | 69 | (d) |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 20.25 | | | | 15.94 | | | | 1.39 | | | | (0.10 | ) | | | 88,592 | | | | 57 | |
| | 18.52 | | | | 4.03 | | | | 1.42 | | | | (0.16 | ) | | | 99,544 | | | | 37 | |
| | 19.20 | | | | 3.42 | | | | 1.42 | | | | (0.30 | ) | | | 114,489 | | | | 47 | |
| | 21.37 | | | | 10.54 | | | | 1.41 | | | | (0.29 | ) | | | 133,353 | | | | 54 | |
| | 21.20 | | | | 33.92 | | | | 1.43 | | | | (0.17 | ) | | | 130,597 | | | | 69 | (d) |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 20.79 | | | | 16.27 | | | | 1.15 | | | | 0.01 | | | | 63,867 | | | | 57 | |
| | 18.95 | | | | 4.28 | | | | 1.14 | | | | (0.06 | ) | | | 2,929 | | | | 37 | |
| | 19.57 | | | | (3.74 | )(h) | | | 1.15 | (f) | | | (0.07 | )(f) | | | 10 | | | | 47 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 21.59 | | | | 16.46 | | | | 0.89 | | | | 0.51 | | | | 5,111 | | | | 57 | |
| | 19.63 | | | | 4.62 | | | | 0.89 | | | | 0.24 | | | | 42,825 | | | | 37 | |
| | 20.16 | | | | (3.68 | )(h) | | | 0.89 | (f) | | | 0.19 | (f) | | | 10 | | | | 47 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 21.65 | | | | 16.60 | | | | 0.78 | | | | 0.45 | | | | 104,218 | | | | 57 | |
| | 19.66 | | | | 4.72 | | | | 0.79 | | | | 0.46 | | | | 56,533 | | | | 37 | |
| | 20.17 | | | | (3.63 | )(h) | | | 0.82 | (f) | | | 0.28 | (f) | | | 29,039 | | | | 47 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | 20.80 | | | | 3.69 | (h) | | | 0.99 | (f) | | | 0.12 | (f) | | | 10 | | | | 57 | |
| | | |
| | See Notes to Financial Statements. | 125 |
Notes to Financial Statements
Lord Abbett Securities Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company and was organized as a Delaware statutory trust on February 26, 1993.
The Trust currently consists of ten funds. This report covers the following eight funds (separately, a “Fund” and collectively, the “Funds”) and their respective active share classes during the year ended October 31, 2017:
| Funds | Share Classes |
| Lord Abbett Alpha Strategy Fund (“Alpha Strategy Fund”) | A, B, C, F, F3, I, P, R2, R3, R4, R5,R6 |
| Lord Abbett Fundamental Equity Fund (“Fundamental Equity Fund”) | A, B, C, F, F3 I, P, R2, R3, R4, R5, R6 |
| Lord Abbett Global Core Equity Fund (“Global Core Equity Fund”) | A, C, F, F3, I, R2, R3, R4, R5, R6 |
| Lord Abbett Growth Leaders Fund (“Growth Leaders Fund”) | A, B, C, F, F3, I, R2, R3, R4, R5, R6 and T |
| Lord Abbett International Dividend Income Fund (“International Dividend Income Fund”) | A, C, F, F3, I, R2, R3, R4, R5, R6 |
| Lord Abbett International Equity Fund (“International Equity Fund,” formerly “International Core Equity Fund”) | A, B, C, F, F3, I, P, R2, R3, R4, R5, R6 |
| Lord Abbett International Opportunities Fund (“International Opportunities Fund”) | A, B, C, F, F3, I, P, R2, R3, R4, R5, R6 |
| Lord Abbett Value Opportunities Fund (“Value Opportunities Fund”) | A, B, C, F, F3, I, P, R2, R3, R4, R5, R6 and T |
The Funds no longer issue Class B shares for purchase. The Funds’ Class P shares are closed to substantially all new investors, with certain exceptions as set forth in the Funds’ prospectus. As of the date of this report, Alpha Strategy Fund has not issued Class P shares. Global Core Equity Fund commenced operations on January 17, 2017. Class F3 shares commenced on April 4, 2017 and Class T shares commenced on July 28, 2017.
Each of Alpha Strategy Fund’s, Global Core Equity Fund’s, International Equity Fund’s, International Opportunities Fund’s, and Value Opportunities Fund’s investment objective is to seek long-term capital appreciation. Alpha Strategy Fund invests principally in mutual funds (“Underlying Funds”) managed by Lord, Abbett & Co. LLC (“Lord Abbett”). Fundamental Equity Fund’s investment objective is long-term growth of capital and income without excessive fluctuations in market value. Growth Leaders Fund’s investment objective is to seek capital appreciation. International Dividend Income Fund’s investment objective is to seek a high level of total return.
Each class of shares has different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A and Class T shares. There is no front-end sales charge in the case of Class B, C, F, F3, I, P, R2, R3, R4, R5 and R6 shares, although there may be a contingent deferred sales charge (“CDSC”) in certain cases as follows: Class A shares purchased without a sales charge and redeemed before the first day of the month in which the one-year anniversary of the purchase falls (subject to certain exceptions as set forth in each Fund’s prospectus); Class B shares redeemed before the sixth anniversary of purchase; and Class C shares redeemed before the first anniversary of purchase. Class B shares will automatically convert to Class A shares on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted.
126
Notes to Financial Statements (continued)
The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make certain 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. These Funds are considered investment companies under U.S. GAAP and follow the accounting and reporting guidance applicable to investment companies.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
| | |
| (a) | Investment Valuation–Under procedures approved by the Funds’ Board of Trustees (the “Board”), Lord Abbett, each Fund’s investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Funds to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value. |
| | |
| | Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange (“NYSE”). Each Fund may utilize an independent fair valuation service in adjusting the valuations of foreign securities. Unlisted equity securities are valued at the last quoted sale price or, if no sale price is available, at the mean between the most recently quoted bid and asked prices. Exchange traded options and futures contracts are valued at the last sale price in the market where they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and asked prices is used. Forward foreign currency exchange contracts are valued using daily forward exchange rates. Investments in the Underlying Funds are valued at their NAV each business day at the close of regular trading on the NYSE, normally 4:00 p.m. Eastern time. |
| | |
| | Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information to determine the fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by the Pricing Committee and may employ techniques such as reviewing related market activity, reviewing inputs and assumptions, and retrospectively comparing prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee. |
| | |
| | Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. |
| | |
| (b) | Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
127
Notes to Financial Statements (continued)
| (c) | Investment Income–Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest and other income on the Statements of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates. Investment income is allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
| | |
| (d) | Income Taxes–It is the policy of each Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required. |
| | |
| | Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s filed U.S. federal tax returns remains open for the fiscal years ended October 31, 2014 through October 31, 2017. The statutes of limitations on the Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. |
| | |
| (e) | Expenses–Expenses incurred by the Trust that do not specifically relate to an individual fund are generally allocated to the funds within the Trust on a pro rata basis by relative net assets. Expenses, excluding class-specific expenses, are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. Class A, B, C, F, P, R2, R3, R4 and T shares bear their class-specific share of all expenses and fees relating to the Funds’ 12b-1 Distribution Plan. |
| | |
| (f) | Foreign Transactions–The books and records of each Fund are maintained in U.S. dollars and transactions denominated in foreign currencies are recorded in each Fund’s records at the rate prevailing when earned or recorded. Asset and liability accounts that are denominated in foreign currencies are adjusted daily to reflect current exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies in each Fund’s Statement of Operations. The resultant exchange gains and losses upon settlement of such transactions are included in Net realized gain (loss) on foreign currency related transactions in each Fund’s Statement of Operations. The Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in market prices of the securities. |
| | |
| | The Funds use foreign currency exchange contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms. |
| | |
| (g) | Forward Foreign Currency Exchange Contracts–Global Core Equity Fund, International Dividend Income Fund, International Equity Fund, and International Opportunities Fund may enter into forward foreign currency exchange contracts in order to reduce their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings, or gain or reduce exposure to foreign currency solely for investment purposes. A forward foreign currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated rate. The contracts are valued daily at forward exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies in each Fund’s Statement of Operations. The gain (loss) arising from the difference between the U.S. dollar cost of the original contract |
128
Notes to Financial Statements (continued)
| | and the value of the foreign currency in U.S. dollars upon closing of such contracts is included in Net realized gain/(loss) on foreign currency related transactions in each Fund’s Statement of Operations. |
| | |
| (h) | Futures Contracts–Each Fund may purchase and sell futures contracts to enhance returns, to attempt to economically hedge some of its investment risk, or as a substitute position in lieu of holding the underlying asset on which the instrument is based. At the time of entering into a futures transaction, an investor is required to deposit and maintain a specified amount of cash or eligible securities called “initial margin.” Subsequent payments made or received by a Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. Each Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain (loss) is recorded equal to the difference between the opening and closing value of the contract. |
| | |
| (i) | Options-Each Fund may purchase and write exchange-listed and over-the-counter put or call options on securities, stock indices, currencies and other financial instruments for hedging purposes, to enhance portfolio returns and reduce overall volatility. |
| | |
| | When a Fund writes (sells) an option, an amount equal to the premium received by the Fund is recorded on the Statement of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. When an option expires, the Fund realizes a gain on the option to the extent of the premium received. Premiums received from writing options which are exercised or closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. If a put option on a security is exercised, the premium reduces the cost basis of the security purchased by the Fund. If a call option is exercised, the premium is added to the proceeds of the security sold to determine the realized gain or loss. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the underlying investment. Other risks include the possibility of an illiquid options market or the inability of the counterparties to fulfill their obligations under the contracts. |
| | |
| | Put and call options purchased are accounted for in the same manner as portfolio securities. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss when the underlying transaction is executed. The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract. |
| | |
| (j) | Repurchase Agreements–Each Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. Each Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, a Fund may incur a loss upon disposition of the securities. |
129
Notes to Financial Statements (continued)
| (k) | When-Issued or Forward Transactions–Each Fund may purchase portfolio securities on a when-issued or forward basis. When-issued or forward transactions involve a commitment by a Fund to purchase securities, with payment and delivery (“settlement”) to take place in the future, in order to secure what is considered to be an advantageous price or yield at the time of entering into the transaction. During the period between purchase and settlement, the fair value of the securities will fluctuate and assets consisting of cash and/or marketable securities (normally short-term U.S. Government or U.S. Government sponsored enterprise securities) marked to market daily in an amount sufficient to make payment at settlement will be segregated at each Fund’s custodian in order to pay for the commitment. At the time each Fund makes the commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the liability for the purchase and fair value of the security in determining its NAV. Each Fund, generally, has the ability to close out a purchase obligation on or before the settlement date rather than take delivery of the security. Under no circumstances will settlement for such securities take place more than 120 days after the purchase date. |
| | |
| (l) | Fair Value Measurements–Fair value is defined as the price that each Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk—for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy classification is determined based on the lowest level of inputs that is significant to the fair value measurement, and is summarized in the three broad Levels listed below: |
| | |
| | • | Level 1 – | unadjusted quoted prices in active markets for identical investments; |
| | | | |
| | • | Level 2 – | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and |
| | | | |
| | • | Level 3 – | significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments). |
| | | | |
| | A summary of inputs used in valuing each Fund’s investments and other financial instruments as of October 31, 2017 and, if applicable, Level 1/Level 2 transfers and Level 3 rollforwards for the fiscal year then ended is included in each Fund’s Schedule of Investments. |
| | |
| | Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. All transfers between different levels within the three-tier hierarchy are deemed to have occurred as of the beginning of the reporting period. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. |
130
Notes to Financial Statements (continued)
| 3. | MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES |
Management Fee
The Trust has a management agreement with Lord Abbett, pursuant to which Lord Abbett supplies each Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of each Fund’s investment portfolio.
For the year ended October 31, 2017, the effective management fee, net of any applicable waivers, was based on each Fund’s average daily net assets at the following annualized rates:
| | Net Effective
Management Fee |
| Alpha Strategy Fund | .00%(1) |
| Fundamental Equity Fund | .53%(2) |
| Global Core Equity Fund | .00%(3) |
| Growth Leaders Fund | .50%(4) |
| International Dividend Income Fund | .68%(3) |
| International Equity Fund | .60%(3) |
| International Opportunities Fund | .75%(5) |
| Value Opportunities Fund | .70%(6) |
| | |
| (1) | The management fee for Alpha Strategy Fund is based on the Fund’s average daily net assets at an annual rate of .10%. For the period November 1, 2016 through February 28, 2017, Lord Abbett had contractually agreed to waive .05% of its annual management fee. For the period November 1, 2016 through February 28, 2017, Lord Abbett voluntarily waived an additional .05% of its annual management fee. Effective March 1, 2017, Lord Abbett is voluntarily waiving the entire management fee. Lord Abbett may discontinue the voluntary waiver at any time without notice. |
| | |
| (2) | The management fee for Fundamental Equity Fund is based on the Fund’s average daily net assets at the following annual rates: |
| | |
| First $200 million | .75% |
| Next $300 million | .65% |
| Over $500 million | .50% |
| | |
| (3) | The management fee for Global Core Equity Fund, International Equity Fund and International Dividend Income Fund are based on each Fund’s average daily net assets at the following annual rates: |
| | |
| First $1 billion | .70% |
| Next $1 billion | .65% |
| Over $2 billion | .60% |
| | |
| (4) | The management fee for Growth Leaders Fund is based on the Fund’s average daily net assets at the following annual rates: |
| | |
| First $2 billion | .55% |
| Over $2 billion | .50% |
| | |
| (5) | The management fee for International Opportunities Fund is based on the average daily net assets at the following annual rates: |
| | |
| First $1 billion | .75% |
| Next $1 billion | .70% |
| Over $2 billion | .65% |
| | |
| (6) | The management fee for Value Opportunities Fund is based on the Fund’s average daily net assets at the following annual rates: |
| | |
| First $1 billion | .75% |
| Next $1 billion | .70% |
| Next $3 billion | .65% |
| Over $5 billion | .58% |
In addition, Lord Abbett provides certain administrative services to each Fund pursuant to an Administrative Services Agreement in return for a fee at an annual rate of ..04% of each Fund’s average daily net assets.
131
Notes to Financial Statements (continued)
For the period from March 1, 2017 and continuing through February 28, 2018, Lord Abbett contractually agreed to waive its fees and reimburse expenses to the extent necessary to limit total net annual operating expenses, excluding 12b-1 fees, to the following annual rates:
| | | Funds | |
| Classes | | Global
Core Equity
Fund | | | Growth
Leaders
Fund | | | International
Dividend Income
Fund | | | International
Equity
Fund | |
| A, B, C, P, R2, R3, R4, R5 and T* | | | .80% | | | | 0.70% | (1) | | | 0.87% | | | | 0.87% | |
| F and I | | | .80% | | | | 0.70% | | | | 0.81% | | | | 0.77% | |
| F3 and R6 | | | .75% | | | | 0.60% | (2) | | | 0.81% | (3) | | | 0.70% | |
| | |
| (1) | 0.60% prior to March 1, 2017 |
| (2) | 0.50% prior to March 1, 2017 for Class R6 |
| (3) | 0.80% prior to March 1, 2017 for Class R6 |
| * | If applicable. |
All contractual fee waiver and expense reimbursement agreements between the Funds and Lord Abbett may be terminated only upon the approval of the Funds’ Board.
12b-1 Distribution Plan
Each Fund has adopted a distribution plan with respect to Class A, B, C, F, P, R2, R3, R4 and T shares pursuant to Rule 12b-1 under the Act, which provides for the payment of ongoing distribution and service fees to the “Distributor,” an affiliate of Lord Abbett. The following annual rates have been authorized by the Board pursuant to the plan:
| Fees* | Class A | | Class B | | Class C | | Class F | (1)(2) | Class P | | Class R2 | | Class R3 | | Class R4 | | Class T | |
| Service | .25% | | .25% | | .25% | | – | | .25% | | .25% | | .25% | | .25% | | .25% | |
| Distribution | – | | .75% | | .75% | | .10% | | .20% | | .35% | | .25% | | – | | – | |
| | |
| * | The Funds may designate a portion of the aggregate fee as attributable to service activities for purposes of calculating Financial Industry Regulatory Authority, Inc. (“FINRA”) sales charge limitations. |
| (1) | The Class F Share Rule 12b-1 fee may be designated as a service fee in limited circumstances as described in the Fund’s prospectus. |
| (2) | Effective March 1, 2017 continuing through February 28, 2018, the Distributor has contractually agreed to waive Growth Leaders Fund’s 0.10% Rule 12b-1 fee for Class F. This agreement may be terminated only by the Fund’s Board of Trustees. |
Class F3, I, R5 and R6 shares do not have a distribution plan.
Commissions
The Distributor received the following commissions on sales of shares of the Funds, after concessions were paid to authorized dealers, for the fiscal year ended October 31, 2017:
| | | Distributor
Commissions | | | Dealers’
Concessions | |
| Alpha Strategy Fund | | $ | 88,656 | | | $ | 486,040 | |
| Fundamental Equity Fund | | | 144,499 | | | | 788,319 | |
| Global Core Equity Fund | | | 563 | | | | 3,083 | |
| Growth Leaders Fund | | | 334,301 | | | | 1,868,722 | |
| International Dividend Income Fund | | | 98,492 | | | | 514,025 | |
| International Equity Fund | | | 29,123 | | | | 156,703 | |
| International Opportunities Fund | | | 89,811 | | | | 491,691 | |
| Value Opportunities Fund | | | 501,120 | | | | 2,743,004 | |
The Distributor received the following amount of CDSCs for the fiscal year ended October 31, 2017:
132
Notes to Financial Statements (continued)
| | | Class A | | | Class C | |
| Alpha Strategy Fund | | $ | 11,011 | | | $ | 100,254 | |
| Fundamental Equity Fund | | | 9,267 | | | | 15,245 | |
| Global Core Equity Fund | | | – | | | | – | |
| Growth Leaders Fund | | | 78,867 | | | | 77,181 | |
| International Dividend Income Fund | | | 18,850 | | | | 6,314 | |
| International Equity Fund | | | 2,789 | | | | 947 | |
| International Opportunities Fund | | | 27,525 | | | | 10,740 | |
| Value Opportunities Fund | | | 32,096 | | | | 41,650 | |
Two Trustees and certain of the Trust’s officers have an interest in Lord Abbett.
Other Related Parties
Alpha Strategy Fund entered into a Servicing Arrangement with the Underlying Funds in which it invested, pursuant to which each Underlying Fund paid a portion of the expenses (excluding management fees, fund administration fees and distribution and service fees) of Alpha Strategy Fund in proportion to the average daily value of total Underlying Fund shares owned by Alpha Strategy Fund. The expenses assumed by the Underlying Funds are reflected in Expenses assumed by Underlying Funds in Alpha Strategy Fund’s Statement of Operations and Receivables from affiliates on Alpha Strategy Fund’s Statement of Assets and Liabilities. Effective January 1, 2017, the Board approved the discontinuation of the Servicing Arrangement with the Underlying Funds. As a result, Alpha Strategy Fund will bear its expenses fully beginning as of that date.
In addition, Fundamental Equity Fund, Growth Leaders Fund, International Dividend Income Fund, International Equity Fund, International Opportunities Fund, and Value Opportunities Fund, along with certain other funds managed by Lord Abbett, entered into a Servicing Arrangement with certain “Fund of Funds” managed by Lord Abbett, pursuant to which each Underlying Fund paid a portion of the expenses (excluding management fees, fund administration fees and distribution and service fees) of each Fund of Funds in proportion to the average daily value of the Underlying Fund shares owned by each Fund of Funds. Amounts paid pursuant to the Servicing Arrangement, if applicable, are included in Subsidy expense of each Fund’s Statement of Operations and Payable to affiliates on each Fund’s Statement of Assets and Liabilities. Effective January 1, 2017, the Board approved the discontinuation of the Servicing Arrangement with Fund of Funds managed by Lord Abbett. As a result, each Fund of Funds will bear its expenses fully beginning as of that date.
As of October 31, 2017, the percentages of Fundamental Equity Fund’s, Growth Leaders Fund’s, International Dividend Income Fund’s, International Equity Fund’s, International Opportunities Fund’s and Value Opportunities Fund’s outstanding shares owned by each Fund of Funds were as follows:
| Fund of Funds | | Fundamental
Equity Fund | | | Growth
Leaders
Fund | | | International
Dividend
Income Fund | | | International
Equity
Fund | | | International
Opportunities
Fund | | | Value
Opportunities
Fund |
| Alpha Strategy Fund | | | – | | | | – | | | | – | | | | – | | | | 27.51% | | | | 6.82% |
| Multi-Asset Focused Growth Fund | | | 1.12% | | | | 1.47% | | | | – | | | | 7.95% | | | | – | | | | – |
| Multi-Asset Balanced Opportunity Fund | | | – | | | | 2.69% | | | | 12.92% | | | | 12.61% | | | | – | | | | – |
| Multi-Asset Global Opportunity Fund | | | – | | | | 0.35% | | | | 5.27% | | | | 3.11% | | | | – | | | | – |
| Multi-Asset Growth Fund | | | – | | | | 1.48% | | | | 11.48% | | | | 7.79% | | | | – | | | | – |
| Multi-Asset Income Fund | | | – | | | | 2.40% | | | | 11.74% | | | | 11.46% | | | | – | | | | – |
133
Notes to Financial Statements (continued)
| 4. | DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS |
Dividends from net investment income, if any, are declared and paid quarterly for International Dividend Income Fund and annually for Alpha Strategy Fund, Fundamental Equity Fund, Global Core Equity Fund, Growth Leaders Fund, International Equity Fund, International Opportunities Fund and Value Opportunities Fund. Taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amounts of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions, which exceed earnings and profits for tax purposes, are reported as a tax return of capital.
The tax character of distributions paid during the fiscal year ended October 31, 2017 and fiscal year ended October 31, 2016, was as follows:
| | | Alpha Strategy Fund | | | Fundamental Equity Fund | |
| | | Year Ended
10/31/2017 | | | Year Ended
10/31/2016 | | | Year Ended
10/31/2017 | | | Year Ended
10/31/2016 | |
| Distributions paid from: | | | | | | | | | | | | | | | | |
| Ordinary income | | $ | – | | | $ | 6,087,708 | | | $ | 40,226,108 | | | $ | 41,598,137 | |
| Net long-term capital gains | | | 125,574,170 | | | | 162,272,374 | | | | 105,930,975 | | | | 311,273,845 | |
| Total distributions paid | | $ | 125,574,170 | | | $ | 168,360,082 | | | $ | 146,157,083 | | | $ | 352,871,982 | |
| | | | | | | | | | | | | | | | | |
| | | Growth Leaders Fund | | | International Dividend Income Fund | |
| | | Year Ended
10/31/2017 | | | Year Ended
10/31/2016 | | | Year Ended
10/31/2017 | | | Year Ended
10/31/2016 | |
| Distributions paid from: | | | | | | | | | | | | | | | | |
| Ordinary income | | $ | – | | | $ | 86,118,259 | | | $ | 39,131,477 | | | $ | 56,293,614 | |
| Net long-term capital gains | | | – | | | | 10,007,653 | | | | – | | | | – | |
| Total distributions paid | | $ | – | | | $ | 96,125,912 | | | $ | 39,131,477 | | | $ | 56,293,614 | |
| | | | | | | | | | | | | | | | | |
| | | International Equity Fund | | | International Opportunities Fund | |
| | | Year Ended
10/31/2017 | | | Year Ended
10/31/2016 | | | Year Ended
10/31/2017 | | | Year Ended
10/31/2016 | |
| Distributions paid from: | | | | | | | | | | | | | | | | |
| Ordinary income | | $ | 11,749,068 | | | $ | 6,595,906 | | | $ | 4,401,411 | | | $ | 10,345,359 | |
| Net long-term capital gains | | | – | | | | – | | | | – | | | | 16,340,480 | |
| Total distributions paid | | $ | 11,749,068 | | | $ | 6,595,906 | | | $ | 4,401,411 | | | $ | 26,685,839 | |
| | | | | | | | | | | | | | | | | |
| | | Value Opportunities Fund | | | | | | | | | |
| | | Year Ended
10/31/2017 | | | Year Ended
10/31/2016 | | | | | | | | | |
| Distributions paid from: | | | | | | | | | | | | | | | | |
| Ordinary income | | $ | 1,828,852 | | | $ | – | | | | | | | | | |
| Net long-term capital gains | | | 160,561,813 | | | | 191,979,908 | | | | | | | | | |
| Total distributions paid | | $ | 162,390,665 | | | $ | 191,979,908 | | | | | | | | | |
134
Notes to Financial Statements (continued)
Subsequent to the Funds’ fiscal year ended October 31, 2017, year-end distributions were paid. The approximate amounts were as follows:
| | | Net
Investment
Income | | | Net
Short-Term
Capital Gain | | | Net
Long-Term
Capital Gain | | | Record Date | | Ex-Date |
| Alpha Strategy Fund | | $ | – | | | $ | – | | | $ | 124,640,000.00 | | | December 19, 2017 | | December 20, 2017 |
| Fundamental Equity Fund | | | 30,531,000 | | | | 65,855,000 | | | | 208,676,000 | | | November 20, 2017 | | November 21, 2017 |
| Global Core Equity Fund | | | 46,000 | | | | 200,000 | | | | – | | | December 14, 2017 | | December 15, 2017 |
| Growth Leaders | | | – | | | | 126,622,000 | | | | 65,684,000 | | | November 20, 2017 | | November 21, 2017 |
| International Equity Fund | | | 13,138,000 | | | | – | | | | – | | | December 14, 2017 | | December 15, 2017 |
| International Opportunities Fund | | | 7,607,000 | | | | – | | | | 29,370,000 | | | December 14, 2017 | | December 15, 2017 |
| Value Opportunities Fund | | | 2,971,000 | | | | – | | | | 189,304,000 | | | November 20, 2017 | | November 21, 2017 |
As of October 31, 2017, the components of accumulated gains (losses) on a tax-basis were as follows:
| | | Alpha
Strategy Fund | | | Fundamental
Equity Fund | |
| Undistributed ordinary income – net | | $ | – | | | $ | 91,615,223 | |
| Undistributed long-term capital gains | | $ | 124,639,957 | | | $ | 208,660,350 | |
| Total undistributed earnings | | | 124,639,957 | | | | 300,275,573 | |
| Temporary differences | | $ | (4,301,162 | ) | | $ | (777,376 | ) |
| Unrealized gains – net | | | 128,603,727 | | | | 457,691,934 | |
| Total accumulated gains – net | | $ | 248,942,522 | | | $ | 757,190,131 | |
| | | | | | | | | |
| | | Global Core
Equity Fund | | | Growth
Leaders Fund | |
| Undistributed ordinary income – net | | $ | 237,433 | | | $ | 126,618,433 | |
| Undistributed long-term capital gains | | | – | | | | 65,673,359 | |
| Total undistributed earnings | | | 237,433 | | | | 192,291,792 | |
| Temporary differences | | | (56 | ) | | | (412,108 | ) |
| Unrealized gains – net | | | 321,505 | | | | 470,090,199 | |
| Total accumulated gains – net | | $ | 558,882 | | | $ | 661,969,883 | |
| | | | | | | | | |
| | | International
Dividend
Income Fund | | | International
Equity Fund | |
| Undistributed ordinary income – net | | $ | 1,855,731 | | | $ | 12,628,573 | |
| Total undistributed earnings | | | 1,855,731 | | | | 12,628,573 | |
| Capital loss carryforwards* | | | (423,547,052 | ) | | | (9,367,684 | ) |
| Temporary differences | | | (215,872 | ) | | | (140,477 | ) |
| Unrealized gains – net | | | 96,234,008 | | | | 73,135,556 | |
| Total accumulated gains (losses) – net | | $ | (325,673,185 | ) | | $ | 76,255,968 | |
| | | | | | | | | |
| * The Capital losses will carry forward indefinitely. | | | | | | | | |
| | | | | | | | | |
| | | International
Opportunities
Fund | | | Value
Opportunities
Fund | |
| Undistributed ordinary income – net | | $ | 7,606,186 | | | $ | 1,999,955 | |
| Undistributed long-term capital gains | | | 29,371,436 | | | | 189,295,274 | |
| Total undistributed earnings | | | 36,977,622 | | | | 191,295,229 | |
| Temporary differences | | | (80,508 | ) | | | (425,347 | ) |
| Unrealized gains – net | | | 126,105,848 | | | | 713,197,431 | |
| Total accumulated gains – net | | $ | 163,002,962 | | | $ | 904,067,313 | |
135
Notes to Financial Statements (continued)
At each Fund’s election, certain losses incurred within the taxable year (Qualified Late-Year Losses) are deemed to arise on the first business day of the Fund’s next taxable year. The following Funds incurred and will elect to defer late-year ordinary losses during fiscal 2017 as follows:
| Alpha Strategy Fund | $ 4,140,958 |
| Growth Leaders Fund | 259,358 |
As of October 31, 2017, the aggregate unrealized gains and losses on investments and other financial instruments based on cost for U.S. federal income tax purposes were as follows:
| | | Alpha | | | Fundamental | | | Global Core | |
| | Strategy Fund | | | Equity Fund | | | Equity Fund | |
| Tax cost | | $ | 1,003,591,752 | | | $ | 2,201,836,746 | | | $ | 4,082,067 | |
| Gross unrealized gain | | | 155,933,062 | | | | 485,468,423 | | | | 398,648 | |
| Gross unrealized loss | | | (27,329,335 | ) | | | (27,776,489 | ) | | | (77,309 | ) |
| Net unrealized security gain | | $ | 128,603,727 | | | $ | 457,691,934 | | | $ | 321,339 | |
| | | | | | | | | | | | | |
| | | | | | | | International | | | | | |
| | | | Growth | | | | Dividend | | | | International | |
| | Leaders Fund | | Income Fund | | | | Equity Fund | |
| Tax cost | | $ | 2,275,199,247 | | | $ | 941,844,694 | | | $ | 568,061,652 | |
| Gross unrealized gain | | | 483,310,828 | | | | 117,343,483 | | | | 79,913,493 | |
| Gross unrealized loss | | | (13,220,629 | ) | | | (21,132,393 | ) | | | (6,738,554 | ) |
| Net unrealized security gain | | $ | 470,090,199 | | | $ | 96,211,090 | | | $ | 73,174,939 | |
| | | | | | | | | | | | | |
| | | | International | | | | Value | | | | | |
| | Opportunities Fund | | Opportunities Fund | | | | | |
| Tax cost | | $ | 665,959,490 | | | $ | 2,478,430,576 | | | | | |
| Gross unrealized gain | | | 142,801,908 | | | | 736,110,207 | | | | | |
| Gross unrealized loss | | | (18,597,095 | ) | | | (22,912,776 | ) | | | | |
| Net unrealized security gain | | $ | 124,204,813 | | | $ | 713,197,431 | | | | | |
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of certain securities, forward currency contracts and wash sales.
Permanent items identified during the fiscal year ended October 31, 2017 have been reclassified among the components of net assets based on their tax basis treatment as follows:
| | Undistributed | | | | | | | |
| | (Distributions | | | | | | | |
| | in Excess of) | | | | | | | |
| | Net Investment | | Accumulated Net | | | | |
| | Income | | Realized Gain (Loss) | | Paid-in Capital | |
| Alpha Strategy Fund | | $ | 2,177,475 | | | $ | (2,177,475 | ) | | $ | – | |
| Fundamental Equity Fund | | | 614,008 | | | | (614,008 | ) | | | – | |
| Global Core Equity Fund | | | 7,837 | | | | (1,042 | ) | | | (6,795 | ) |
| Growth Leaders Fund | | | 7,294,342 | | | | (7,298,551 | ) | | | 4,209 | |
| International Dividend Income Fund | | | 696,553 | | | | (696,553 | ) | | | – | |
| International Equity Fund | | | 3,153,253 | | | | 195,110,513 | | | | (198,263,766 | ) |
| International Opportunities Fund | | | 3,698,564 | | | | (3,698,564 | ) | | | – | |
The permanent differences are primarily attributable to the tax treatment of net investment losses, the expiration of capital loss carryforwards, certain distributions, certain expenses, foreign currency transactions, and certain securities.
136
Notes to Financial Statements (continued)
| 5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the fiscal year ended October 31, 2017 were as follows:
| | | Purchases | | | Sales |
| Alpha Strategy Fund | | $ | 65,056,483 | | | $ | 242,003,712 |
| Fundamental Equity Fund | | | 2,606,129,499 | | | | 3,182,250,417 |
| Global Core Equity Fund | | | 9,073,573 | | | | 5,193,468 |
| Growth Leaders Fund | | | 4,452,269,192 | | | | 4,388,507,291 |
| International Dividend Income Fund | | | 684,717,409 | | | | 1,125,048,635 |
| International Equity Fund | | | 952,006,752 | | | | 972,741,585 |
| International Opportunities Fund | | | 511,471,111 | | | | 449,894,567 |
| Value Opportunities Fund | | | 1,864,793,721 | | | | 1,704,397,537 |
There were no purchases or sales of U.S. Government securities for the fiscal year ended October 31, 2017.
Each Fund is permitted to purchase and sell securities (“cross-trade”) from and to other Lord Abbett funds or client accounts pursuant to procedures approved by the Board in compliance with Rule 17a-7 under the Act (the “Rule”). Each cross-trade is executed at a fair market price in compliance with provisions of the Rule. For the fiscal year ended October 31, 2017, the following Funds engaged in cross-trades:
| Fund | | Purchases | | | Sales | | | Gain/(Loss) |
| Growth Leaders Fund | | | 16,607,273 | | | | 2,622,670 | | | | 89,526 |
| International Dividend Income Fund | | | 1,274,085 | | | | 3,710,308 | | | | 568,121 |
| International Equity Fund | | | 2,791,381 | | | | 1,142,929 | | | | 142,977 |
| Fundamental Equity Fund | | | – | | | | 8,421,418 | | | | 2,977,308 |
| Value Opportunities Fund | | | 2,500,068 | | | | 14,187,248 | | | | 2,715,865 |
| 6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
Global Core Equity Fund, International Dividend Income Fund, International Equity Fund, and International Opportunities Fund entered into forward foreign currency exchange contracts for the year ended October 31, 2017 (as described in note 2(g)). A forward foreign currency exchange contract reduces each Fund’s exposure to changes in the value of the currency it will deliver (or settle in cash) and increases its exposure to changes in the value of the currency it will receive (or settle in cash) for the duration of the contract. Each Fund’s use of forward foreign currency exchange contracts involves the risk that Lord Abbett will not accurately predict currency movements, and each Fund’s returns could be reduced as a result. Forward foreign currency exchange contracts are subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedged positions, that the U.S. dollar will decline relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time. Each Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on forward foreign currency exchange contracts.
137
Notes to Financial Statements (continued)
As of October 31, 2017, Global Core Equity Fund, International Dividend Income Fund, International Equity Fund, and International Opportunities Fund had the following derivatives at fair value, grouped into risk categories that illustrate the Funds’ use of derivative instruments:
| | | Global | | | | | |
| | Core Equity Fund | | | | | |
| | | Foreign | | | | | |
| | | Currency | | | | | |
| Asset Derivatives | | Contracts | | | | | |
| Forward Foreign Currency Exchange Contracts(1) | | $ | 16 | | | | | |
| Liability Derivatives | | | | | | | | |
| Forward Foreign Currency Exchange Contracts(2) | | $ | 11,092 | | | | | |
| | | | |
| | International | | | | | |
| | Dividend Income Fund | | | | | |
| | | | Foreign | | | | | |
| | | | Currency | | | | | |
| Asset Derivatives | | | Contracts | | | | | |
| Forward Foreign Currency Exchange Contracts(1) | | $ | 2,738,064 | | | | | |
| Liability Derivatives | | | | | | | | |
| Forward Foreign Currency Exchange Contracts(2) | | $ | 4,649,812 | | | | | |
| | | | |
| | International | | | | | |
| | Equity Fund | | | | | |
| | | | Foreign | | | | | |
| | | | Currency | | | | | |
| Asset Derivatives | | | Contracts | | | | | |
| Forward Foreign Currency Exchange Contracts(1) | | $ | 801,621 | | | | | |
| Liability Derivatives | | | | | | | | |
| Forward Foreign Currency Exchange Contracts(2) | | $ | 2,528,073 | | | | | |
| | | | | | | | | |
| | | | International Opportunities Fund | |
| | | | Foreign | | | Options | |
| | Currency | | | on Index | |
| Asset Derivatives | Contracts | | Contracts | |
| Forward Foreign Currency Exchange Contracts(1) | | $ | 1,530,992 | | | | – | |
| Options Purchased(3) | | | – | | | $ | 178,843 | |
| Liability Derivatives | | | | | | | | |
| Forward Foreign Currency Exchange Contracts(2) | | $ | 3,645,692 | | | | – | |
| Options Written(4) | | | – | | | $ | 71,579 | |
| (1) | Statements of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts. |
| (2) | Statements of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts. |
| (3) | Statements of Assets and Liabilities location: Investments in securities at fair value. |
| (4) | Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of written options as reported in the Schedule of Investments. Only current fair value is reported within the Statements of Assets and Liabilities. |
138
Notes to Financial Statements (continued)
| | | Global | |
| Core Equity Fund | |
| | | Forward | |
| | | Currency | |
| | | Contracts | |
| Net Realized Gain (Loss)(1) | | | | |
| Forward Foreign Currency Exchange Contracts | | $ | (7,836 | ) |
| Net Change in Unrealized Appreciation/Depreciation(2) | | | | |
| Forward Foreign Currency Exchange Contracts | | | (11,076 | ) |
| Average Number of Contracts/Notional Amounts* | | | | |
| Forward Foreign Currency Exchange Contracts(3) | | $ | 321,626 | |
| | | | | |
| | | International | |
| Dividend Income Fund | |
| | | Forward | |
| | | Currency | |
| | | Contracts | |
| Net Realized Gain (Loss)(1) | | | | |
| Forward Foreign Currency Exchange Contracts | | $ | (1,349,747 | ) |
| Net Change in Unrealized Appreciation/Depreciation(2) | | | | |
| Forward Foreign Currency Exchange Contracts | | | (3,034,432 | ) |
| Average Number of Contracts/Notional Amounts* | | | | |
| Forward Foreign Currency Exchange Contracts(3) | | $ | 454,717,351 | |
| | | | | |
| | | International | |
| | | Equity Fund | |
| | | Forward | |
| | | Currency | |
| | | Contracts | |
| Net Realized Gain (Loss)(1) | | | | |
| Forward Foreign Currency Exchange Contracts | | $ | (3,503,998 | ) |
| Net Change in Unrealized Appreciation/Depreciation(2) | | | | |
| Forward Foreign Currency Exchange Contracts | | | (1,416,871 | ) |
| Average Number of Contracts/Notional Amounts* | | | | |
| Forward Foreign Currency Exchange Contracts(3) | | $ | 260,222,904 | |
139
Notes to Financial Statements (continued)
| | | International Opportunities Fund | |
| | | Foreign | | | Options | |
| | | Currency | | | on Index | |
| Asset Derivatives | | Contracts | | | Contracts | |
| Net Realized Gain (Loss)(1) | | | | | | | | |
| Forward Foreign Currency Exchange Contracts | | $ | (5,130,430 | ) | | | – | |
| Net Change in Unrealized Appreciation/Depreciation(2) | | | | | | | | |
| Forward Foreign Currency Exchange Contracts | | | (210,298 | ) | | | – | |
| Option Purchased | | | – | | | $ | (1,886,157 | ) |
| Option Written | | | – | | | | 992,421 | |
| Average Number of Contracts/Notional Amounts* | | | | | | | | |
| Forward Foreign Currency Exchange Contracts(3) | | $ | 261,989,956 | | | | | |
| Option Purchased(4) | | | – | | | | 350 | |
| Option Written(4) | | | – | | | | 350 | |
| * | | Calculated based on the number of contracts or notional amounts for the fiscal year ended October 31, 2017. |
| (1) | | Statements of Operations location: Net realized loss on foreign currency related transactions. |
| (2) | | Statements of Operations location: Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies. |
| (3) | | Amount represents notional amounts in U.S. dollars. |
| (4) | | Amount represents number of contracts. |
| 7. | DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES |
The Financial Accounting Standards Board (“FASB”) requires disclosures intended to help better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. The following tables illustrate gross and net information about recognized assets and liabilities eligible for offset in the Statements of Assets and Liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between a fund and a counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Funds’ accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the Statement of Assets and Liabilities across transactions between the Funds and the applicable counterparty:
| | | | | | Alpha Strategy Fund | |
| | | | Gross Amounts | | Net Amounts of | |
| | | | Offset in the | | Assets Presented | |
| | Gross Amounts of | | Statement of Assets | | in the Statement of | |
| Description | Recognized Assets | | and Liabilities | | Assets and Liabilities | |
| Repurchase Agreement | | | $1,747,775 | | | $ | – | | | | $1,747,775 | |
| Total | | | $1,747,775 | | | $ | – | | | | $1,747,775 | |
| | | | | | | | | | | | | | | | |
| | | Net Amounts | | | | | | | | | | | | | |
| | | of Assets | | | Amounts Not Offset in the | | | | |
| | | Presented in | | | Statement of Assets and Liabilities | | | | |
| | | the Statement | | | | | | Cash | | | Securities | | | | |
| | | of Assets and | | | Financial | | | Collateral | | | Collateral | | | Net | |
| Counterparty | | Liabilities | | | Instruments | | | Received(a) | | | Received(a) | | | Amount(b) | |
| Fixed Income Clearing Corp. | | | $1,747,775 | | | $ | – | | | $ | – | | | | $(1,747,775 | ) | | $ | – | |
| Total | | | $1,747,775 | | | $ | – | | | $ | – | | | | $(1,747,775 | ) | | $ | – | |
140
Notes to Financial Statements (continued)
| | | | | | Fundamental Equity Fund | |
| | | | Gross Amounts | | Net Amounts of | |
| | | | Offset in the | | Assets Presented | |
| | Gross Amounts of | | Statement of Assets | | in the Statement of | |
| Description | Recognized Assets | | and Liabilities | | Assets and Liabilities | |
| Repurchase Agreement | | | $44,705,147 | | | $ | – | | | | $44,705,147 | |
| Total | | | $44,705,147 | | | $ | – | | | | $44,705,147 | |
| | | | | | | | | | | | | | | | |
| | | Net Amounts | | | | | | | | | | | | | |
| | | of Assets | | | Amounts Not Offset in the | | | | |
| | | Presented in | | | Statement of Assets and Liabilities | | | | |
| | | the Statement | | | | | | Cash | | | Securities | | | | |
| | | of Assets and | | | Financial | | | Collateral | | | Collateral | | | Net | |
| Counterparty | | Liabilities | | | Instruments | | | Received(a) | | | Received(a) | | | Amount(b) | |
| Fixed Income Clearing Corp. | | | $44,705,147 | | | $ | – | | | $ | – | | | | $(44,705,147 | ) | | $ | – | |
| Total | | | $44,705,147 | | | $ | – | | | $ | – | | | | $(44,705,147 | ) | | $ | – | |
| | | | | | | | | | |
| | | | | | | Global Core Equity Fund | |
| | | | Gross Amounts | | Net Amounts of | |
| | | | Offset in the | | Assets Presented | |
| | Gross Amounts of | | Statement of Assets | | in the Statement of | |
| Description | Recognized Assets | | and Liabilities | | Assets and Liabilities | |
| Forward Foreign Currency Exchange Contracts | | | $16 | | | $ | – | | | | $16 | |
| Total | | | $16 | | | $ | – | | | | $16 | |
| | | | | | | | | | | | | | | | |
| | | Net Amounts | | | | | | | | | | | | | |
| | | of Assets | | | Amounts Not Offset in the | | | | |
| | | Presented in | | | Statement of Assets and Liabilities | | | | |
| | | the Statement | | | | | | Cash | | | Securities | | | | |
| | | of Assets and | | | Financial | | | Collateral | | | Collateral | | | Net | |
| Counterparty | | Liabilities | | | Instruments | | | Received(a) | | | Received(a) | | | Amount(b) | |
| Goldman Sachs | | $ | 16 | | | $ | (16 | ) | | $ | – | | | $ | – | | | $ | – | |
| Total | | $ | 16 | | | $ | (16 | ) | | $ | – | | | $ | – | | | $ | – | |
| | | | | | | | | | |
| | | | | Gross Amounts | | Net Amounts of | |
| | | | | Offset in the | | Liabilities Presented | |
| | Gross Amounts of | | Statement of Assets | | in the Statement of | |
| Description | Recognized Liabilities | | and Liabilities | | Assets and Liabilities | |
| Forward Foreign Currency Exchange Contracts | | | $11,092 | | | $ | – | | | | $11,092 | |
| Total | | | $11,092 | | | $ | – | | | | $11,092 | |
| | | | | | | | | | | | | | | | |
| | | Net Amounts | | | | | | | | | | | | | |
| | | of Liabilities | | | Amounts Not Offset in the | | | | |
| | | Presented in | | | Statement of Assets and Liabilities | | | | |
| | | the Statement | | | | | | Cash | | | Securities | | | | |
| | | of Assets and | | | Financial | | | Collateral | | | Collateral | | | Net | |
| Counterparty | | Liabilities | | | Instruments | | | Pledged(a) | | | Pledged(a) | | | Amount(c) | |
| Bank of America | | $ | 13 | | | $ | – | | | $ | – | | | $ | – | | | $ | 13 | |
| Goldman Sachs | | | 10,421 | | | | (16 | ) | | | – | | | | – | | | | 10,405 | |
| Morgan Stanley | | | 658 | | | | – | | | | – | | | | – | | | | 658 | |
| Total | | $ | 11,092 | | | $ | (16 | ) | | $ | – | | | $ | – | | | $ | 11,076 | |
141
Notes to Financial Statements (continued)
| | | | | | | | | | |
| | | | | | | Growth Leaders Fund | |
| | | | | Gross Amounts | | Net Amounts of | |
| | | | | Offset in the | | Assets Presented | |
| | Gross Amounts of | | Statement of Assets | | in the Statement of | |
| Description | Recognized Assets | | and Liabilities | | Assets and Liabilities | |
| Repurchase Agreement | | | $8,650,440 | | | $ | – | | | | $8,650,440 | |
| Total | | | $8,650,440 | | | $ | – | | | | $8,650,440 | |
| | | | | | | | | | | | | | | | |
| | | Net Amounts | | | | | | | | | | | | | |
| | | of Assets | | | Amounts Not Offset in the | | | | |
| | | Presented in | | | Statement of Assets and Liabilities | | | | |
| | | the Statement | | | | | | Cash | | | Securities | | | | |
| | | of Assets and | | | Financial | | | Collateral | | | Collateral | | | Net | |
| Counterparty | | Liabilities | | | Instruments | | | Received(a) | | | Received(a) | | | Amount(b) | |
| Fixed Income Clearing Corp. | | | $8,650,440 | | | $ | – | | | $ | – | | | | $(8,650,440 | ) | | $ | – | |
| Total | | | $8,650,440 | | | $ | – | | | $ | – | | | | $(8,650,440 | ) | | $ | – | |
| | | | | | | | | | |
| | | | | | International Dividend Income Fund | |
| | | | | Gross Amounts | | Net Amounts of | |
| | | | | Offset in the | | Assets Presented | |
| | Gross Amounts of | | Statement of Assets | | in the Statement of | |
| Description | Recognized Assets | | and Liabilities | | Assets and Liabilities | |
| Forward Foreign Currency Exchange Contracts | | $ | 2,738,064 | | | $ | – | | | $ | 2,738,064 | |
| Repurchase Agreement | | | 13,590,292 | | | | – | | | | 13,590,292 | |
| Total | | $ | 16,328,356 | | | $ | – | | | $ | 16,328,356 | |
| | | | | | | | | | | | | | | | |
| | | Net Amounts | | | | | | | | | | | | | |
| | | of Assets | | | Amounts Not Offset in the | | | | |
| | | Presented in | | | Statement of Assets and Liabilities | | | | |
| | | the Statement | | | | | | Cash | | | Securities | | | | |
| | | of Assets and | | | Financial | | | Collateral | | | Collateral | | | Net | |
| Counterparty | | Liabilities | | | Instruments | | | Received(a) | | | Received(a) | | | Amount(b) | |
| Deutsche Bank AG | | $ | 4,393 | | | $ | – | | | $ | – | | | $ | – | | | | $4,393 | |
| Fixed Income Clearing Corp. | | | 13,590,292 | | | | – | | | | – | | | | (13,590,292 | ) | | | – | |
| State Street Bank and Trust | | | 2,733,671 | | | | (856,728 | ) | | | (498,000 | ) | | | (1,378,943 | ) | | | – | |
| Total | | $ | 16,328,356 | | | $ | (856,728 | ) | | $ | (498,000 | ) | | $ | (14,969,235 | ) | | | $4,393 | |
| | | | | | | | | | |
| | | | | Gross Amounts | | Net Amounts of | |
| | | | | Offset in the | | Liabilities Presented | |
| | Gross Amounts of | | Statement of Assets | | in the Statement of | |
| Description | Recognized Liabilities | | and Liabilities | | Assets and Liabilities | |
| Forward Foreign Currency Exchange Contracts | | | $4,649,812 | | | $ | – | | | | $4,649,812 | |
| Total | | | $4,649,812 | | | $ | – | | | | $4,649,812 | |
142
Notes to Financial Statements (continued)
| | | Net Amounts | | | | | | | | | | | | | |
| | | of Liabilities | | | Amounts Not Offset in the | | | | |
| | | Presented in | | | Statement of Assets and Liabilities | | | | |
| | | the Statement | | | | | | Cash | | | Securities | | | | |
| | | of Assets and | | | Financial | | | Collateral | | | Collateral | | | Net | |
| Counterparty | | Liabilities | | | Instruments | | | Pledged(a) | | | Pledged(a) | | | Amount(c) | |
| Bank of America | | $ | 191,619 | | | $ | – | | | $ | – | | | $ | – | | | $ | 191,619 | |
| Barclays Bank plc | | | 591,560 | | | | – | | | | (580,000 | ) | | | – | | | | 11,560 | |
| Citibank | | | 38,470 | | | | – | | | | – | | | | – | | | | 38,470 | |
| Goldman Sachs | | | 46,929 | | | | – | | | | – | | | | – | | | | 46,929 | |
| J.P. Morgan Chase | | | 2,579,832 | | | | – | | | | (2,308,157 | ) | | | – | | | | 271,675 | |
| Standard Chartered Bank | | | 344,674 | | | | – | | | | (270,000 | ) | | | – | | | | 74,674 | |
| State Street Bank and Trust | | | 856,728 | | | | (856,728 | ) | | | – | | | | – | | | | – | |
| Total | | $ | 4,649,812 | | | $ | (856,728 | ) | | $ | (3,158,157 | ) | | $ | – | | | $ | 634,927 | |
| | | | | | | | | | |
| | | | | | International Equity Fund | |
| | | | | Gross Amounts | | Net Amounts of | |
| | | | | Offset in the | | Assets Presented | |
| | Gross Amounts of | | Statement of Assets | | in the Statement of | |
| Description | Recognized Assets | | and Liabilities | | Assets and Liabilities | |
| Forward Foreign Currency Exchange Contracts | | $ | 801,621 | | | $ | – | | | $ | 801,621 | |
| Repurchase Agreement | | | 18,649,572 | | | | – | | | | 18,649,572 | |
| Total | | $ | 19,451,193 | | | $ | – | | | $ | 19,451,193 | |
| | | | | | | | | | | | | | | | |
| | | Net Amounts | | | | | | | | | | | | | |
| | | of Assets | | | Amounts Not Offset in the | | | | |
| | | Presented in | | | Statement of Assets and Liabilities | | | | |
| | | the Statement | | | | | | Cash | | | Securities | | | | |
| | | of Assets and | | | Financial | | | Collateral | | | Collateral | | | Net | |
| Counterparty | | Liabilities | | | Instruments | | | Received(a) | | | Received(a) | | | Amount(b) | |
| Fixed Income Clearing Corp. | | $ | 18,649,572 | | | $ | – | | | $ | – | | | $ | (18,649,572 | ) | | $ | – | |
| Goldman Sachs | | | 48,098 | | | | (48,098 | ) | | | – | | | | – | | | | – | |
| J.P. Morgan Chase | | | 214,240 | | | | (95,048 | ) | | | – | | | | – | | | | 119,192 | |
| Standard Chartered Bank | | | 19,660 | | | | – | | | | – | | | | – | | | | 19,660 | |
| State Street Bank and Trust | | | 519,623 | | | | (519,623 | ) | | | – | | | | – | | | | – | |
| Total | | $ | 19,451,193 | | | $ | (662,769 | ) | | $ | – | | | $ | (18,649,572 | ) | | $ | 138,852 | |
| | | | | | | | | | |
| | | | | Gross Amounts | | Net Amounts of | |
| | | | | Offset in the | | Liabilities Presented | |
| | Gross Amounts of | | Statement of Assets | | in the Statement of | |
| Description | Recognized Liabilities | | and Liabilities | | Assets and Liabilities | |
| Forward Foreign Currency Exchange Contracts | | | $2,528,073 | | | $ | – | | | $ | 2,528,073 | |
| Total | | | $2,528,073 | | | $ | – | | | $ | 2,528,073 | |
143
Notes to Financial Statements (continued)
| | | Net Amounts | | | | | | | | | | | | | |
| | | of Liabilities | | | Amounts Not Offset in the | | | | |
| | | Presented in | | | Statement of Assets and Liabilities | | | | |
| | | the Statement | | | | | | Cash | | | Securities | | | | |
| | | of Assets and | | | Financial | | | Collateral | | | Collateral | | | Net | |
| Counterparty | | Liabilities | | | Instruments | | | Pledged(a) | | | Pledged(a) | | | Amount(c) | |
| Bank of America | | $ | 113,339 | | | $ | – | | | $ | – | | | $ | – | | | $ | 113,339 | |
| Citibank | | | 44,508 | | | | – | | | | – | | | | – | | | | 44,508 | |
| Goldman Sachs | | | 484,439 | | | | (48,098 | ) | | | (280,000 | ) | | | – | | | | 156,341 | |
| J.P. Morgan Chase | | | 95,048 | | | | (95,048 | ) | | | – | | | | – | | | | – | |
| State Street Bank and Trust | | | 1,790,739 | | | | (519,623 | ) | | | (1,070,000 | ) | | | – | | | | 201,116 | |
| Total | | $ | 2,528,073 | | | $ | (662,769 | ) | | $ | (1,350,000 | ) | | $ | – | | | $ | 515,304 | |
| | | | | | | | | | |
| | | | | | International Opportunities Fund | |
| | | | | | Gross Amounts | | | Net Amounts of | |
| | | | | | Offset in the | | | Assets Presented | |
| | | Gross Amounts of | | | Statement of Assets | | | in the Statement of | |
| Description | Recognized Assets | | | and Liabilities | | | Assets and Liabilities | |
| Forward Foreign Currency Exchange Contracts | | $ | 1,530,992 | | | $ | – | | | $ | 1,530,992 | |
| OTC Options Purchased | | | 178,843 | | | | – | | | | 178,843 | |
| Repurchase Agreement | | | 30,335,201 | | | | – | | | | 30,335,201 | |
| Total | | $ | 32,045,036 | | | $ | – | | | $ | 32,045,036 | |
| | | | | | | | | | | | | | | | |
| | | Net Amounts | | | | | | | | | | | | | |
| | | of Assets | | | Amounts Not Offset in the | | | | |
| | | Presented in | | | Statement of Assets and Liabilities | | | | |
| | | the Statement | | | | | | Cash | | | Securities | | | | |
| | | of Assets and | | | Financial | | | Collateral | | | Collateral | | | Net | |
| Counterparty | | Liabilities | | | Instruments | | | Received(a) | | | Received(a) | | | Amount(b) | |
| Bank of America | | $ | 98,848 | | | $ | (41,228 | ) | | $ | – | | | $ | – | | | $ | 57,620 | |
| Barclays Bank plc | | | 77,175 | | | | (77,175 | ) | | | – | | | | – | | | | – | |
| Citibank | | | 38,109 | | | | (38,109 | ) | | | – | | | | – | | | | – | |
| Deutsche Bank AG | | | 1,711 | | | | – | | | | – | | | | – | | | | 1,711 | |
| Fixed Income Clearing Corp. | | | 30,335,201 | | | | – | | | | – | | | | (30,335,201 | ) | | | – | |
| Goldman Sachs | | | 655,827 | | | | (260,602 | ) | | | (287,961 | ) | | | – | | | | 107,264 | |
| J.P. Morgan Chase | | | 166,120 | | | | (116,105 | ) | | | – | | | | – | | | | 50,015 | |
| Morgan Stanley | | | 27,766 | | | | – | | | | – | | | | – | | | | 27,766 | |
| State Street Bank and Trust | | | 644,279 | | | | (644,279 | ) | | | – | | | | – | | | | – | |
| Total | | $ | 32,045,036 | | | $ | (1,177,498 | ) | | $ | (287,961 | ) | | $ | (30,335,201 | ) | | $ | 244,376 | |
| | | | | | | |
| | | | Gross Amounts | | Net Amounts of | |
| | | | Offset in the | | Liabilities Presented | |
| | Gross Amounts of | | Statement of Assets | | in the Statement of | |
| Description | Recognized Liabilities | | and Liabilities | | Assets and Liabilities | |
| Forward Foreign Currency Exchange Contracts | | | $3,645,692 | | | $ | – | | | | $3,645,692 | |
| OTC Options Written | | | 71,579 | | | | – | | | | 71,579 | |
| Total | | | $3,717,271 | | | $ | – | | | | $3,717,271 | |
144
Notes to Financial Statements (continued)
| | | Net Amounts | | | | | | | | | | | | | |
| | | of Liabilities | | | Amounts Not Offset in the | | | | |
| | | Presented in | | | Statement of Assets and Liabilities | | | | |
| | | the Statement | | | | | | Cash | | | Securities | | | | |
| | | of Assets and | | | Financial | | | Collateral | | | Collateral | | | Net | |
| Counterparty | | Liabilities | | | Instruments | | | Pledged(a) | | | Pledged(a) | | | Amount(c) | |
| Bank of America | | $ | 41,228 | | | $ | (41,228 | ) | | $ | – | | | $ | – | | | $ | – | |
| Barclays Bank plc | | | 84,555 | | | | (77,175 | ) | | | – | | | | – | | | | 7,380 | |
| Citibank | | | 2,075,080 | | | | (38,109 | ) | | | (2,002,875 | ) | | | – | | | | 34,096 | |
| Goldman Sachs | | | 260,602 | | | | (260,602 | ) | | | – | | | | – | | | | – | |
| J.P. Morgan Chase | | | 116,105 | | | | (116,105 | ) | | | – | | | | – | | | | – | |
| Standard Chartered Bank | | | 4,163 | | | | – | | | | – | | | | – | | | | 4,163 | |
| State Street Bank and Trust | | | 1,135,538 | | | | (644,279 | ) | | | (150,000 | ) | | | – | | | | 341,259 | |
| Total | | $ | 3,717,271 | | | $ | (1,177,498 | ) | | $ | (2,152,875 | ) | | $ | – | | | $ | 386,898 | |
| | | | | | | | | | |
| | | | | | Value Opportunities Fund | |
| | | | | Gross Amounts | | Net Amounts of | |
| | | | | Offset in the | | Assets Presented | |
| | Gross Amounts of | | Statement of Assets | | in the Statement of | |
| Description | Recognized Assets | | and Liabilities | | Assets and Liabilities | |
| Repurchase Agreement | | $ | 19,616,049 | | | $ | – | | | $ | 19,616,049 | |
| Total | | $ | 19,616,049 | | | $ | – | | | $ | 19,616,049 | |
| | | | | | | | | | | | | | | | |
| | | Net Amounts | | | | | | | | | | | | | |
| | | of Assets | | | Amounts Not Offset in the | | | | |
| | | Presented in | | | Statement of Assets and Liabilities | | | | |
| | | the Statement | | | | | | Cash | | | Securities | | | | |
| | | of Assets and | | | Financial | | | Collateral | | | Collateral | | | Net | |
| Counterparty | | Liabilities | | | Instruments | | | | Received(a) | | | | Received(a) | | | | Amount(b) | |
| Fixed Income Clearing Corp. | | $ | 19,616,049 | | | $ | – | | | $ | – | | | $ | (19,616,049 | ) | | $ | – | |
| Total | | $ | 19,616,049 | | | $ | – | | | $ | – | | | $ | (19,616,049 | ) | | $ | – | |
| (a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty. |
| (b) | Net amount represents the amount owed to the Fund by the counterparty as of October 31, 2017. |
| (c) | Net amount represents the amount owed by the Fund to the counterparty as of October 31, 2017. |
The Trust’s officers and two Trustees, who are associated with Lord Abbett, do not receive any compensation from the Trust for serving in such capacities. Independent Trustees’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of each fund. There is an equity-based plan available to all Independent Trustees under which Independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of Trustees’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the funds. Such amounts and earnings accrued thereon are included in Trustees’ fees on the Statements of Operations and in Trustees’ fees payable on the Statements of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.
The Trust has entered into an arrangement with its transfer agent and custodian, whereby credits realized as a result of uninvested cash balances are used to reduce a portion of each Fund’s expenses.
145
Notes to Financial Statements (continued)
Effective August 28, 2017, the Funds and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) entered into an amended syndicated line of credit facility with various lenders for $600 million (the “Facility”), whereas State Street Bank and Trust Company (“SSB”) participates as a lender and as agent for the lenders. The Facility is to be used for temporary or emergency purposes as an additional source of liquidity to satisfy redemptions. The Participating Funds are subject to graduated borrowing limits of one-third of Fund assets (if Fund assets are less than $750 million), $250 million, $300 million, or $350 million, based on past borrowings and likelihood of future borrowings.
Prior to August 28, 2017, the Funds and certain other funds managed by Lord Abbett participated in a $550 million syndicated line of credit facility, based on the same terms as described above.
During the fiscal year ended October 31, 2017, the Funds did not utilize the Facility.
| 11. | INTERFUND LENDING PROGRAM |
Pursuant to an exemptive order issued by the U.S. Securities and Exchange Commission (“SEC exemptive order”) certain registered open-end management investment companies managed by Lord Abbett, including each Fund, participate in a joint lending and borrowing program (the “Interfund Lending Program”). The SEC exemptive order allows the Funds to borrow money from and lend money to each other for temporary or emergency purposes subject to the limitations and conditions.
During the fiscal year ended October 31, 2017, six Funds of the Trust participated as lenders in the Interfund Lending Program. The average amount loaned, interest rate and interest income were as follows:
| | | | | | Average | | Interest | |
| Fund | | Average Loan | | | Interest Rate | | Income* | |
| Fundamental Equity | | $ | 9,251,533 | | | | 0.826 | % | | $ | 762 | |
| Growth Leaders | | | 15,359,385 | | | | 0.826 | % | | | 1,327 | |
| International Equity | | | 18,703,275 | | | | 0.725 | % | | | 371 | |
| International Dividend | | | 17,595,351 | | | | 0.752 | % | | | 1,815 | |
| International Opportunities | | | 15,739,610 | | | | 1.012 | % | | | 1,293 | |
| Value Opportunities | | | 39,910,450 | | | | 0.823 | % | | | 3,616 | |
| * | included in the Statement of Operations |
There were no interfund loans outstanding as of October 31, 2017.
| 12. | CUSTODIAN AND ACCOUNTING AGENT |
SSB is the Trust’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating each Fund’s NAV.
| 13. | TRANSACTIONS WITH AFFILIATED ISSUERS |
An affiliated issuer is one in which a Fund has ownership of at least 5% of the outstanding voting securities of the underlying issuer at any point during the fiscal year or any company which is under common ownership or control. Alpha Strategy Fund had the following transactions with affiliated issuers (i.e. the Underlying Funds) during the fiscal year ended October 31, 2017:
146
Notes to Financial Statements (continued)
Alpha Strategy Fund
| | | | | | | | | | | | | | | | | | | | | | | | Change in | |
| | | Balance of | | | | | | | | | Balance of | | | | | | Net Realized | | | Dividend | | | Appreciation | |
| | | Shares | | | | | | | | | Shares | | | Fair | | | Gain | | | Income | | | (Depreciation) | |
| | | Held at | | | Gross | | | Gross | | | Held at | | | Value at | | | 11/1/2016 to | | | 11/1/2016 to | | | 11/1/2016 to | |
| Affiliated Issuer | | 10/31/2016 | | | Additions | | | Sales | | | 10/31/2017 | | | 10/31/2017 | | | 10/31/2017 | | | 10/31/2017 | | | 10/31/2017 | |
| Lord Abbett Developing Growth Fund, Inc. – Class I | | | 10,921,383 | | | | 45,517 | | | | (2,022,526) | | | | 8,944,374 | | | $ | 228,349,858 | | | $ | 17,419,674 | | | $ | – | | | $ | 38,985,217 | |
| Lord Abbett Securities Trust – International Opportunities Fund – Class I | | | 13,654,913 | | | | 211,138 | | | | (3,322,239) | | | | 10,543,812 | | | | 226,059,334 | | | | 26,674,921 | | | | 2,097,861 | | | | 31,304,145 | |
| Lord Abbett Securities Trust – Micro-Cap Growth Fund – Class I | | | 7,678,517 | | | | 112,013 | | | | (2,134,983) | | | | 5,655,547 | | | | 111,979,833 | | | | 6,617,961 | | | | – | | | | 31,041,081 | |
| Lord Abbett Securities Trust – Micro-Cap Value Fund – Class I | | | 3,250,885 | | | | 567,843 | | | | (737,314) | | | | 3,081,414 | | | | 112,564,043 | | | | 28,740,009 | (a) | | | – | | | | (3,902,870 | ) |
| Lord Abbett Research Fund, Inc. – Small-Cap Value Fund – Class I | | | 8,867,080 | | | | 1,027,846 | | | | (1,419,438) | | | | 8,475,488 | | | | 225,956,519 | | | | 27,989,913 | (b) | | | – | | | | 9,667,527 | |
| Lord Abbett Securities Trust – Value Opportunities Fund – Class I | | | 11,450,885 | | | | 665,224 | | | | (1,669,693) | | | | 10,446,416 | | | | 225,538,117 | | | | 23,633,023 | (c) | | | 417,580 | | | | 11,043,640 | |
| Total | | | | | | | | | | | | | | | | | | $ | 1,130,447,704 | | | | $131,075,501 | | | $ | 2,515,441 | | | $ | 118,138,740 | |
| (a) | Includes $18,937,557 of distributed capital gains. |
| (b) | Includes $26,120,063 of distributed capital gains. |
| (c) | Includes $12,813,715 of distributed capital gains. |
Each Fund is subject to the general risks and considerations associated with equity investing. The value of the Funds’ investments will fluctuate in response to movements in the equity securities markets in general and to the changing prospects of individual companies in which the Funds invest. If a Fund’s assessment of a company’s value or prospects for exceeding earnings expectations or market conditions is wrong, the Fund could suffer losses or produce poor performance relative to other funds, even in a favorable market.
Large company stocks, in which Fundamental Equity Fund, Global Core Equity Fund, Growth Leaders Fund, International Dividend Income Fund and International Equity Fund invest, may perform differently than the market as a whole and other types of stocks, such as small company stocks. Small and mid-sized company stocks, in which Alpha Strategy Fund, Fundamental Equity Fund, Growth Leaders Fund, International Equity Fund, International Opportunities Fund and Value Opportunities Fund invest, may be less able to weather economic shifts or other adverse developments than those of larger, more established companies.
In general, Growth Leaders Fund employs a growth investing style, Global Core Equity Fund employs a blended growth investing and value investing style, and Fundamental Equity Fund, International Dividend Income Fund and Value Opportunities Fund employ a value investing style. Growth stocks generally are more volatile than value stocks. The price of value stocks may lag the market for long periods of time.
Global Core Equity Fund, International Dividend Income Fund, International Equity Fund, and International Opportunities Fund are subject to the risks of investing in foreign securities. Foreign securities may pose greater risks than domestic securities, including greater price fluctuations,
147
Notes to Financial Statements (continued)
economic, political, and social instability and subject to less government supervision, lack of transparency, inadequate regulatory and accounting standards, foreign taxes, and higher transaction costs. Foreign investments also may be affected by changes in currency rates or currency controls. These risks are generally greater for securities issued by companies in emerging market companies. Similarly, due to their investments in multinational and foreign companies, Alpha Strategy Fund, Fundamental Equity Fund, Growth Leaders Fund, and Value Opportunities Fund are subject to the risks of investing in foreign securities and similarly may experience increased market, liquidity, currency, political, informational, and other risks.
International Dividend Income Fund is subject to the risks of investing in dividend paying stocks. Dividend paying stocks may be sensitive to changes in market interest rates, and the prices of such stocks may decline as rates rise. There is no guarantee that companies that currently pay dividends will continue to do so. International Dividend Income Fund may be subject to the volatility of stocks that have high dividends per share due to recent decreases in their share prices.
Alpha Strategy Fund’s investments are concentrated in the Underlying Funds and, as a result, the Fund’s performance is directly related to their performance and subject to their risks. In addition, the Fund is exposed to the same risks as the Underlying Funds in direct proportion to the allocation of its assets among the Underlying Funds.
Each Fund is subject to the risks associated with derivatives, which may be different from and greater than the risks associated with investing directly in securities and other investments. Derivatives may be subject to risks such as liquidity risk, leveraging risk, interest rate risk, market risk, and credit risk. Illiquid securities may lower the Funds’ returns since the Funds may be unable to sell these securities at their desired time or price. Derivatives also may involve the risk of mispricing or improper valuation and the risk that changes in the value of the derivative may not correlate perfectly with the value of the underlying asset, rate or index. Whether a Fund’s use of derivatives is successful will depend on, among other things, the Fund’s ability to correctly forecast market movements, changes in foreign exchange and interest rates, and other factors. If a Fund incorrectly forecasts these and other factors, its performance could suffer. A Fund’s use of derivatives could result in a loss exceeding the amount of the Fund’s investment in these instruments.
These factors can affect each Fund’s performance.
| 15. | SUMMARY OF CAPITAL TRANSACTIONS |
Transactions in shares of beneficial interest were as follows:
| | | | | | Year Ended | | | | | | Year Ended | |
| Alpha Strategy Fund | | October 31, 2017 | | | October 31, 2016 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 3,109,470 | | | $ | 81,154,987 | | | | 2,701,861 | | | $ | 68,590,147 | |
| Converted from Class B* | | | 91,319 | | | | 2,430,130 | | | | 147,789 | | | | 3,684,404 | |
| Reinvestment of distributions | | | 1,949,482 | | | | 48,717,559 | | | | 2,690,780 | | | | 67,808,810 | |
| Shares reacquired | | | (7,053,721 | ) | | | (185,107,238 | ) | | | (5,487,466 | ) | | | (142,043,052 | ) |
| Increase (decrease) | | | (1,903,450 | ) | | $ | (52,804,562 | ) | | | 52,964 | | | $ | (1,959,691 | ) |
| |
| Class B Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 16,793 | | | $ | 376,234 | | | | 9,940 | | | $ | 232,007 | |
| Reinvestment of distributions | | | 21,576 | | | | 477,251 | | | | 52,429 | | | | 1,194,846 | |
| Shares reacquired | | | (85,368 | ) | | | (1,990,374 | ) | | | (61,246 | ) | | | (1,446,050 | ) |
| Converted to Class A* | | | (103,324 | ) | | | (2,430,130 | ) | | | (163,815 | ) | | | (3,684,404 | ) |
| Decrease | | | (150,323 | ) | | $ | (3,567,019 | ) | | | (162,692 | ) | | $ | (3,703,601 | ) |
148
Notes to Financial Statements (continued)
| | | | | | Year Ended | | | | | | Year Ended | |
| Alpha Strategy Fund | | October 31, 2017 | | | October 31, 2016 | |
| Class C Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 1,824,966 | | | $ | 40,677,160 | | | | 1,431,293 | | | $ | 32,204,862 | |
| Reinvestment of distributions | | | 1,218,848 | | | | 26,522,150 | | | | 1,611,971 | | | | 36,204,864 | |
| Shares reacquired | | | (5,650,589 | ) | | | (129,140,015 | ) | | | (3,203,478 | ) | | | (73,041,645 | ) |
| Decrease | | | (2,606,775 | ) | | $ | (61,940,705 | ) | | | (160,214 | ) | | $ | (4,631,919 | ) |
| |
| Class F Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 3,927,500 | | | $ | 103,766,217 | | | | 3,361,417 | | | $ | 85,514,460 | |
| Reinvestment of distributions | | | 826,161 | | | | 20,711,860 | | | | 1,096,453 | | | | 27,674,462 | |
| Shares reacquired | | | (5,086,604 | ) | | | (137,644,375 | ) | | | (4,696,551 | ) | | | (119,928,932 | ) |
| Decrease | | | (332,943 | ) | | $ | (13,166,298 | ) | | | (238,681 | ) | | $ | (6,740,010 | ) |
| |
| Class F3 Share | | | | | | | | | | | | | | | | |
| Shares sold | | | 1,205,982 | | | $ | 35,173,388 | | | | – | | | $ | – | |
| Shares reacquired | | | (31,398 | ) | | | (916,517 | ) | | | – | | | | – | |
| Increase | | | 1,174,584 | | | $ | 34,256,871 | | | | – | | | $ | – | |
| |
| Class I Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 90,902 | | | $ | 2,411,783 | | | | 1,197,343 | | | $ | 27,894,935 | |
| Reinvestment of distributions | | | 261,892 | | | | 6,659,921 | | | | 183,234 | | | | 4,679,787 | |
| Shares reacquired | | | (586,822 | ) | | | (15,623,920 | ) | | | (228,260 | ) | | | (6,044,812 | ) |
| Increase (decrease) | | | (234,028 | ) | | $ | (6,552,216 | ) | | | 1,152,317 | | | $ | 26,529,910 | |
| |
| Class R2 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 41,069 | | | $ | 1,048,267 | | | | 42,706 | | | $ | 1,065,360 | |
| Reinvestment of distributions | | | 3,215 | | | | 78,219 | | | | 3,619 | | | | 89,352 | |
| Shares reacquired | | | (41,850 | ) | | | (1,064,793 | ) | | | (32,344 | ) | | | (829,710 | ) |
| Increase | | | 2,434 | | | $ | 61,693 | | | | 13,981 | | | $ | 325,002 | |
| | | | | | | | | | | | | | | | | |
| Class R3 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 674,580 | | | $ | 16,969,568 | | | | 339,056 | | | $ | 8,553,804 | |
| Reinvestment of distributions | | | 156,331 | | | | 3,823,860 | | | | 198,882 | | | | 4,930,278 | |
| Shares reacquired | | | (1,000,580 | ) | | | (25,430,905 | ) | | | (444,536 | ) | | | (11,151,496 | ) |
| Increase (decrease) | | | (169,669 | ) | | $ | (4,637,477 | ) | | | 93,402 | | | $ | 2,332,586 | |
| |
| Class R4 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 66,835 | | | $ | 1,777,722 | | | | 12,514.58 | | | $ | 309,355 | |
| Reinvestment of distributions | | | 1,344 | | | | 33,521 | | | | 50.42 | | | | 1,269 | |
| Shares reacquired | | | (9,745 | ) | | | (256,025 | ) | | | (2,148 | ) | | | (52,916 | ) |
| Increase | | | 58,434 | | | $ | 1,555,218 | | | | 10,417 | | | $ | 257,708 | |
| |
| Class R5 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 3,002 | | | $ | 78,669 | | | | 157.65 | | | $ | 3,973 | |
| Reinvestment of distributions | | | 41 | | | | 1,052 | | | | 49.49 | | | | 1,264 | |
| Shares reacquired | | | (559 | ) | | | (15,133 | ) | | | (157.65 | ) | | | (3,902 | ) |
| Increase | | | 2,484 | | | $ | 64,588 | | | | 49.49 | | | $ | 1,335 | |
| |
| Class R6 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 258,269 | | | $ | 6,836,987 | | | | 25,851 | | | $ | 704,910 | |
| Reinvestment of distributions | | | 3,172 | | | | 80,661 | | | | 49.52 | | | | 1,266 | |
| Shares reacquired | | | (156,472 | ) | | | (4,143,516 | ) | | | (594.31 | ) | | | (15,998 | ) |
| Increase | | | 104,969 | | | $ | 2,774,132 | | | | 25,306 | | | $ | 690,178 | |
149
Notes to Financial Statements (continued)
| | | | | | Year Ended | | | | | | Year Ended | |
| Fundamental Equity Fund | | October 31, 2017 | | | October 31, 2016 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 11,975,632 | | | $ | 157,615,707 | | | | 7,125,774 | | | $ | 85,074,509 | |
| Converted from Class B* | | | 722,696 | | | | 9,627,804 | | | | 634,665 | | | | 7,587,343 | |
| Reinvestment of distributions | | | 6,472,253 | | | | 81,162,052 | | | | 15,344,862 | | | | 184,905,854 | |
| Shares reacquired | | | (38,702,286 | ) | | | (511,573,624 | ) | | | (43,483,600 | ) | | | (524,287,644 | ) |
| Decrease | | | (19,531,705 | ) | | $ | (263,168,061 | ) | | | (20,378,299 | ) | | $ | (246,719,938 | ) |
| |
| Class B Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 112,888 | | | $ | 1,346,025 | | | | 27,626 | | | $ | 307,570 | |
| Reinvestment of distributions | | | 59,411 | | | | 682,631 | | | | 236,624 | | | | 2,619,413 | |
| Shares reacquired | | | (456,545 | ) | | | (5,455,258 | ) | | | (532,097 | ) | | | (5,862,298 | ) |
| Converted to Class A* | | | (791,384 | ) | | | (9,627,804 | ) | | | (693,492 | ) | | | (7,587,342 | ) |
| Decrease | | | (1,075,630 | ) | | $ | (13,054,406 | ) | | | (961,339 | ) | | $ | (10,522,657 | ) |
| |
| Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 2,570,699 | | | $ | 30,290,717 | | | | 2,685,317 | | | $ | 29,059,965 | |
| Reinvestment of distributions | | | 1,955,101 | | | | 22,190,394 | | | | 5,200,487 | | | | 57,049,346 | |
| Shares reacquired | | | (17,195,480 | ) | | | (205,284,114 | ) | | | (18,614,064 | ) | | | (203,545,733 | ) |
| Decrease | | | (12,669,680 | ) | | $ | (152,803,003 | ) | | | (10,728,260 | ) | | $ | (117,436,422 | ) |
| |
| Class F Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 8,808,251 | | | $ | 115,446,545 | | | | 6,153,160 | | | $ | 74,838,270 | |
| Reinvestment of distributions | | | 1,136,362 | | | | 14,102,246 | | | | 2,862,952 | | | | 34,183,648 | |
| Shares reacquired | | | (11,057,531 | ) | | | (145,753,802 | ) | | | (17,563,279 | ) | | | (212,002,755 | ) |
| Decrease | | | (1,112,918 | ) | | $ | (16,205,011 | ) | | | (8,547,167 | ) | | $ | (102,980,837 | ) |
| |
| Class F3 Shares(a) | | | | | | | | | | | | | | | | |
| Shares sold | | | 1,525,927 | | | $ | 21,173,957 | | | | – | | | $ | – | |
| Shares reacquired | | | (74,463 | ) | | | (1,049,765 | ) | | | – | | | | – | |
| Increase | | | 1,451,464 | | | $ | 20,124,192 | | | | – | | | $ | – | |
| |
| Class I Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 832,713 | | | $ | 11,100,620 | | | | 1,219,181 | | | $ | 14,523,390 | |
| Reinvestment of distributions | | | 551,292 | | | | 6,940,763 | | | | 1,818,427 | | | | 22,002,971 | |
| Shares reacquired | | | (4,127,916 | ) | | | (54,981,367 | ) | | | (9,434,658 | ) | | | (113,708,876 | ) |
| Decrease | | | (2,743,911 | ) | | $ | (36,939,984 | ) | | | (6,397,050 | ) | | $ | (77,182,515 | ) |
| |
| Class P Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 110,745 | | | $ | 1,430,831 | | | | 86,346 | | | $ | 1,012,821 | |
| Reinvestment of distributions | | | 45,374 | | | | 559,462 | | | | 112,484 | | | | 1,334,055 | |
| Shares reacquired | | | (515,777 | ) | | | (6,780,252 | ) | | | (370,654 | ) | | | (4,411,638 | ) |
| Decrease | | | (359,658 | ) | | $ | (4,789,959 | ) | | | (171,824 | ) | | $ | (2,064,762 | ) |
| |
| Class R2 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 160,120 | | | $ | 2,076,939 | | | | 140,926 | | | $ | 1,652,619 | |
| Reinvestment of distributions | | | 18,731 | | | | 230,384 | | | | 53,991 | | | | 638,713 | |
| Shares reacquired | | | (237,404 | ) | | | (3,117,459 | ) | | | (354,997 | ) | | | (4,132,371 | ) |
| Decrease | | | (58,553 | ) | | $ | (810,136 | ) | | | (160,080 | ) | | $ | (1,841,039 | ) |
150
Notes to Financial Statements (continued)
| | | | | | Year Ended | | | | | | Year Ended | |
| Fundamental Equity Fund | | October 31, 2017 | | | October 31, 2016 | |
| Class R3 Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 1,995,556 | | | $ | 25,845,220 | | | | 1,180,295 | | | $ | 13,951,086 | |
| Reinvestment of distributions | | | 643,368 | | | | 7,945,598 | | | | 1,639,440 | | | | 19,492,945 | |
| Shares reacquired | | | (4,724,568 | ) | | | (61,392,534 | ) | | | (5,827,361 | ) | | | (68,903,142 | ) |
| Decrease | | | (2,085,644 | ) | | $ | (27,601,716 | ) | | | (3,007,626 | ) | | $ | (35,459,111 | ) |
| |
| Class R4 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 342,273 | | | $ | 4,501,755 | | | | 9,549 | | | $ | 118,606 | |
| Reinvestment of distributions | | | 529 | | | | 6,607 | | | | 81 | | | | 982 | |
| Shares reacquired | | | (40,157 | ) | | | (537,864 | ) | | | (676 | ) | | | (8,498 | ) |
| Increase | | | 302,645 | | | $ | 3,970,498 | | | | 8,954 | | | $ | 111,090 | |
| |
| Class R5 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 64,624 | | | $ | 886,447 | | | | 9,117 | | | $ | 116,754 | |
| Reinvestment of distributions | | | 556 | | | | 7,002 | | | | 82 | | | | 988 | |
| Shares reacquired | | | (688 | ) | | | (9,056 | ) | | | – | | | | – | |
| Increase | | | 64,492 | | | $ | 884,393 | | | | 9,199 | | | $ | 117,742 | |
| |
| Class R6 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 821,770 | | | $ | 11,033,392 | | | | 9,431 | | | $ | 105,217 | |
| Reinvestment of distributions | | | 1,814 | | | | 22,872 | | | | 82 | | | | 989 | |
| Shares reacquired | | | (377,404 | ) | | | (5,011,658 | ) | | | (484 | ) | | | (5,831 | ) |
| Increase | | | 446,180 | | | $ | 6,044,606 | | | | 9,029 | | | $ | 100,375 | |
| | Period Ended | | | | | | | | | |
| Global Core Equity Fund | | October 31, 2017 | ** | | | | | | | | |
| Class A Shares | | Shares | | | Amount | | | | �� | | | | | |
| Shares sold | | | 145,234 | | | $ | 1,474,024 | | | | | | | | | |
| Shares reacquired | | | (1,305 | ) | | | (15,076 | ) | | | | | | | | |
| Increase | | | 143,929 | | | $ | 1,458,948 | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 29,167 | | | $ | 316,100 | | | | | | | | | |
| Shares reacquired | | | 2 | | | | 24 | | | | | | | | | |
| Increase | | | 29,169 | | | $ | 316,124 | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Class F Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 101,563 | | | $ | 1,020,000 | | | | | | | | | |
| Increase | | | 101,563 | | | $ | 1,020,000 | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Class F3 Shares(a) | | | | | | | | | | | | | | | | |
| Shares sold | | | 973 | | | $ | 10,000 | | | | | | | | | |
| Increase | | | 973 | | | $ | 10,000 | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Class I Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 98,000 | | | $ | 980,000 | | | | | | | | | |
| Increase | | | 98,000 | | | $ | 980,000 | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Class R2 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 1,000 | | | $ | 10,000 | | | | | | | | | |
| Increase | | | 1,000 | | | $ | 10,000 | | | | | | | | | |
151
Notes to Financial Statements (continued)
| | | Period Ended | | | | | | | | | |
| Global Core Equity Fund | | October 31, 2017** | | | | | | | | | |
| Class R3 Shares | | Shares | | | Amount | | | | | | | | | |
| Shares sold | | | 1,000 | | | $ | 10,000 | | | | | | | | | |
| Increase | | | 1,000 | | | $ | 10,000 | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Class R4 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 1,000 | | | $ | 10,000 | | | | | | | | | |
| Increase | | | 1,000 | | | $ | 10,000 | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Class R5 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 1,000 | | | $ | 10,000 | | | | | | | | | |
| Increase | | | 1,000 | | | $ | 10,000 | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Class R6 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 1,000 | | | $ | 10,000 | | | | | | | | | |
| Increase | | | 1,000 | | | $ | 10,000 | | | | | | | | | |
| | | | | | Year Ended | | | | | | Year Ended | |
| Growth Leaders Fund | | October 31, 2017 | | | October 31, 2016 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 7,931,175 | | | $ | 196,588,636 | | | | 15,264,718 | | | $ | 337,560,393 | |
| Converted from Class B* | | | 59,778 | | | | 1,497,195 | | | | 55,316 | | | | 1,212,606 | |
| Reinvestment of distributions | | | – | | | | – | | | | 1,410,176 | | | | 32,095,614 | |
| Shares reacquired | | | (15,440,364 | ) | | | (377,323,787 | ) | | | (14,529,407 | ) | | | (317,731,181 | ) |
| Increase (decrease) | | | (7,449,411 | ) | | $ | (179,237,956 | ) | | | 2,200,803 | | | $ | 53,137,432 | |
| |
| Class B Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 28,290 | | | $ | 647,182 | | | | 19,280 | | | $ | 419,351 | |
| Reinvestment of distributions | | | – | | | | – | | | | 7,585 | | | | 168,835 | |
| Shares reacquired | | | (50,682 | ) | | | (1,179,634 | ) | | | (45,401 | ) | | | (1,011,070 | ) |
| Converted to Class A* | | | (61,764 | ) | | | (1,497,195 | ) | | | (56,748 | ) | | | (1,212,606 | ) |
| Decrease | | | (84,156 | ) | | $ | (2,029,647 | ) | | | (75,284 | ) | | $ | (1,635,490 | ) |
| |
| Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 3,399,612 | | | $ | 80,830,324 | | | | 9,177,319 | | | $ | 195,548,463 | |
| Reinvestment of distributions | | | – | | | | – | | | | 789,874 | | | | 17,400,924 | |
| Shares reacquired | | | (6,879,303 | ) | | | (162,537,212 | ) | | | (5,574,461 | ) | | | (118,105,343 | ) |
| Increase (decrease) | | | (3,479,691 | ) | | $ | (81,706,888 | ) | | | 4,392,732 | | | $ | 94,844,044 | |
| |
| Class F Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 17,571,668 | | | $ | 439,140,184 | | | | 21,475,824 | | | $ | 475,803,724 | |
| Reinvestment of distributions | | | – | | | | – | | | | 1,259,864 | | | | 28,863,484 | |
| Shares reacquired | | | (13,669,910 | ) | | | (342,521,042 | ) | | | (19,656,010 | ) | | | (429,600,892 | ) |
| Increase | | | 3,901,758 | | | $ | 96,619,142 | | | | 3,079,678 | | | $ | 75,066,316 | |
| |
| Class F3 Shares(a) | | | | | | | | | | | | | | | | |
| Shares sold | | | 662,664 | | | $ | 18,160,251 | | | | – | | | $ | – | |
| Shares reacquired | | | (23,101 | ) | | | (644,826 | ) | | | – | | | | – | |
| Increase | | | 639,563 | | | $ | 17,515,425 | | | | – | | | $ | – | |
152
Notes to Financial Statements (continued)
| | | | | | Year Ended | | | | | | Year Ended | |
| Growth Leaders Fund | | October 31, 2017 | | | October 31, 2016 | |
| Class I Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 7,885,817 | | | $ | 216,679,537 | | | | 1,128,081 | | | $ | 25,106,560 | |
| Reinvestment of distributions | | | – | | | | – | | | | 147,289 | | | | 3,386,168 | |
| Shares reacquired | | | (1,893,554 | ) | | | (48,316,246 | ) | | | (946,064 | ) | | | (20,987,194 | ) |
| Increase | | | 5,992,263 | | | $ | 168,363,291 | | | | 329,306 | | | $ | 7,505,534 | |
| |
| Class R2 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 15,974 | | | $ | 406,476 | | | | 52,314 | | | $ | 1,141,641 | |
| Reinvestment of distributions | | | – | | | | – | | | | 268 | | | | 6,114 | |
| Shares reacquired | | | (10,689 | ) | | | (269,819 | ) | | | (20,844 | ) | | | (456,005 | ) |
| Increase | | | 5,285 | | | $ | 136,657 | | | | 31,738 | | | $ | 691,750 | |
| |
| Class R3 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 475,832 | | | $ | 11,260,644 | | | | 205,129 | | | $ | 4,473,829 | |
| Reinvestment of distributions | | | – | | | | – | | | | 27,873 | | | | 631,344 | |
| Shares reacquired | | | (618,911 | ) | | | (14,815,355 | ) | | | (199,031 | ) | | | (4,395,915 | ) |
| Increase (decrease) | | | (143,079 | ) | | $ | (3,554,711 | ) | | | 33,971 | | | $ | 709,258 | |
| |
| Class R4 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 138,847 | | | $ | 3,473,448 | | | | 82,419 | | | $ | 1,777,881 | |
| Reinvestment of distributions | | | – | | | | – | | | | 21 | | | | 470 | |
| Shares reacquired | | | (54,061 | ) | | | (1,346,145 | ) | | | (5,497 | ) | | | (121,704 | ) |
| Increase | | | 84,786 | | | $ | 2,127,303 | | | | 76,943 | | | $ | 1,656,647 | |
| |
| Class R5 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 74,222 | | | $ | 1,781,933 | | | | 170,194 | | | $ | 3,894,136 | |
| Reinvestment of distributions | | | – | | | | – | | | | 20 | | | | 466 | |
| Shares reacquired | | | (39,672 | ) | | | (1,002,338 | ) | | | (7,631 | ) | | | (175,323 | ) |
| Increase | | | 34,550 | | | $ | 779,595 | | | | 162,583 | | | $ | 3,719,279 | |
| |
| Class R6 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 851,135 | | | $ | 21,514,752 | | | | 79,288 | | | $ | 1,800,291 | |
| Reinvestment of distributions | | | – | | | | – | | | | 481 | | | | 11,055 | |
| Shares reacquired | | | (209,704 | ) | | | (5,305,493 | ) | | | (12,689 | ) | | | (289,519 | ) |
| Increase | | | 641,431 | | | $ | 16,209,259 | | | | 67,080 | | | $ | 1,521,827 | |
| |
| Class T Shares(b) | | | | | | | | | | | | | | | | |
| Shares sold | | | 369.8 | | | $ | 10,000 | | | | – | | | $ | – | |
| Increase | | | 369.8 | | | $ | 10,000 | | | | – | | | $ | – | |
| | | | | | Year Ended | | | | | | Year Ended | |
| International Dividend Income Fund | | October 31, 2017 | | | October 31, 2016 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 6,485,431 | | | $ | 46,305,984 | | | | 8,897,678 | | | $ | 59,337,179 | |
| Reinvestment of distributions | | | 1,755,834 | | | | 12,484,951 | | | | 2,373,082 | | | | 15,886,465 | |
| Shares reacquired | | | (22,631,140 | ) | | | (158,910,334 | ) | | | (49,598,375 | ) | | | (332,044,632 | ) |
| Decrease | | | (14,389,875 | ) | | $ | (100,119,399 | ) | | | (38,327,615 | ) | | $ | (256,820,988 | ) |
153
Notes to Financial Statements (continued)
| | | | | | Year Ended | | | | | | Year Ended | |
| International Dividend Income Fund | | October 31, 2017 | | | October 31, 2016 | |
| Class C Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 831,304 | | | $ | 5,865,384 | | | | 878,682 | | | $ | 5,825,972 | |
| Reinvestment of distributions | | | 250,059 | | | | 1,761,236 | | | | 368,833 | | | | 2,443,942 | |
| Shares reacquired | | | (4,986,668 | ) | | | (34,725,287 | ) | | | (8,678,584 | ) | | | (57,649,616 | ) |
| Decrease | | | (3,905,305 | ) | | $ | (27,098,667 | ) | | | (7,431,069 | ) | | $ | (49,379,702 | ) |
| |
| Class F Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 8,783,489 | | | $ | 61,973,453 | | | | 6,615,741 | | | $ | 44,392,810 | |
| Reinvestment of distributions | | | 494,071 | | | | 3,529,511 | | | | 588,468 | | | | 3,950,449 | |
| Shares reacquired | | | (13,329,410 | ) | | | (95,895,759 | ) | | | (20,545,029 | ) | | | (138,296,073 | ) |
| Decrease | | | (4,051,850 | ) | | $ | (30,392,795 | ) | | | (13,340,820 | ) | | $ | (89,952,814 | ) |
| |
| Class F3 Shares(a) | | | | | | | | | | | | | | | | |
| Shares sold | | | 3,630,278 | | | $ | 27,903,943 | | | | – | | | $ | – | |
| Reinvestment of distributions | | | 369 | | | | 2,726 | | | | – | | | | – | |
| Shares reacquired | | | (82,595 | ) | | | (635,688 | ) | | | – | | | | – | |
| Increase | | | 3,548,052 | | | $ | 27,270,981 | | | | – | | | $ | – | |
| |
| Class I Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 2,979,731 | | | $ | 20,460,928 | | | | 4,355,371 | | | $ | 29,265,107 | |
| Reinvestment of distributions | | | 2,717,644 | | | | 19,303,808 | | | | 4,690,904 | | | | 31,556,414 | |
| Shares reacquired | | | (49,657,563 | ) | | | (353,598,897 | ) | | | (56,373,338 | ) | | | (377,699,997 | ) |
| Decrease | | | (43,960,188 | ) | | $ | (313,834,161 | ) | | | (47,327,063 | ) | | $ | (316,878,476 | ) |
| |
| Class R2 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 18,235 | | | $ | 133,259 | | | | 27,058.7 | | | $ | 184,116 | |
| Reinvestment of distributions | | | 610 | | | | 4,392 | | | | 1,215 | | | | 8,302 | |
| Shares reacquired | | | (42,090 | ) | | | (311,882 | ) | | | (72,190 | ) | | | (489,261 | ) |
| Decrease | | | (23,245 | ) | | $ | (174,231 | ) | | | (43,916.3 | ) | | $ | (296,843 | ) |
| |
| Class R3 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 363,153 | | | $ | 2,586,946 | | | | 514,921 | | | $ | 3,476,402 | |
| Reinvestment of distributions | | | 56,050 | | | | 402,869 | | | | 57,109 | | | | 385,878 | |
| Shares reacquired | | | (620,131 | ) | | | (4,465,451 | ) | | | (481,268 | ) | | | (3,223,872 | ) |
| Increase (decrease) | | | (200,928 | ) | | $ | (1,475,636 | ) | | | 90,762 | | | $ | 638,408 | |
| |
| Class R4 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 3,533 | | | $ | 25,796 | | | | – | | | $ | – | |
| Reinvestment of distributions | | | 107 | | | | 777 | | | | 46 | | | | 304 | |
| Shares reacquired | | | (31 | ) | | | (230 | ) | | | – | | | | – | |
| Increase | | | 3,609 | | | $ | 26,343 | | | | 46 | | | $ | 304 | |
| |
| Class R5 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | – | | | $ | – | | | | – | | | $ | – | |
| Reinvestment of distributions | | | 51 | | | | 359 | | | | 48 | | | | 326 | |
| Increase | | | 51 | | | $ | 359 | | | | 48 | | | $ | 326 | |
154
Notes to Financial Statements (continued)
| | | Year Ended | | | Year Ended | |
| International Dividend Income Fund | | October 31, 2017 | | | October 31, 2016 | |
| Class R6 Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 570,728 | | | $ | 4,064,569 | | | | – | | | $ | – | |
| Reinvestment of distributions | | | 50 | | | | 360 | | | | 48 | | | | 326 | |
| Shares reacquired | | | (281,592 | ) | | | (2,043,493 | ) | | | – | | | | – | |
| Increase | | | 289,186 | | | $ | 2,021,436 | | | | 48 | | | $ | 326 | |
| | | | | | Year Ended | | | | | | Year Ended | |
| International Equity Fund | | October 31, 2017 | | | October 31, 2016 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 3,310,303 | | | $ | 40,811,584 | | | | 2,211,314 | | | $ | 26,366,020 | |
| Converted from Class B* | | | 129,121 | | | | 1,639,056 | | | | 146,302 | | | | 1,713,421 | |
| Reinvestment of distributions | | | 447,248 | | | | 5,223,855 | | | | 354,489 | | | | 4,236,145 | |
| Shares reacquired | | | (8,622,777 | ) | | | (106,190,035 | ) | | | (7,862,410 | ) | | | (93,356,462 | ) |
| Decrease | | | (4,736,105 | ) | | $ | (58,515,540 | ) | | | (5,150,305 | ) | | $ | (61,040,876 | ) |
| |
| Class B Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 42,888 | | | $ | 516,368 | | | | 5,090 | | | $ | 58,443 | |
| Reinvestment of distributions | | | 2,641 | | | | 30,869 | | | | 1,244 | | | | 14,825 | |
| Shares reacquired | | | (117,854 | ) | | | (1,437,669 | ) | | | (95,516 | ) | | | (1,121,471 | ) |
| Converted to Class A* | | | (129,441 | ) | | | (1,639,056 | ) | | | (147,106 | ) | | | (1,713,421 | ) |
| Decrease | | | (201,766 | ) | | $ | (2,529,488 | ) | | | (236,288 | ) | | $ | (2,761,624 | ) |
| |
| Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 820,339 | | | $ | 9,877,303 | | | | 233,644 | | | $ | 2,755,542 | |
| Reinvestment of distributions | | | 33,477 | | | | 388,336 | | | | 16,741 | | | | 198,545 | |
| Shares reacquired | | | (1,688,417 | ) | | | (20,559,501 | ) | | | (946,769 | ) | | | (11,092,209 | ) |
| Decrease | | | (834,601 | ) | | $ | (10,293,862 | ) | | | (696,384 | ) | | $ | (8,138,122 | ) |
| |
| Class F Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 1,302,365 | | | $ | 16,150,352 | | | | 1,770,643 | | | $ | 20,883,435 | |
| Reinvestment of distributions | | | 122,092 | | | | 1,415,048 | | | | 72,915 | | | | 864,770 | |
| Shares reacquired | | | (2,137,167 | ) | | | (27,227,102 | ) | | | (1,688,539 | ) | | | (20,048,471 | ) |
| Increase (decrease) | | | (712,710 | ) | | $ | (9,661,702 | ) | | | 155,019 | | | $ | 1,699,734 | |
| |
| Class F3 Shares(a) | | | | | | | | | | | | | | | | |
| Shares sold | | | 435,635 | | | $ | 6,064,778 | | | | – | | | $ | – | |
| Shares reacquired | | | (25,316 | ) | | | (358,401 | ) | | | – | | | | – | |
| Increase | | | 410,319 | | | $ | 5,706,377 | | | | – | | | $ | – | |
| |
| Class I Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 11,223,979 | | | $ | 140,800,604 | | | | 10,295,009 | | | $ | 123,267,905 | |
| Reinvestment of distributions | | | 305,429 | | | | 3,588,786 | | | | 57,791 | | | | 694,648 | |
| Shares reacquired | | | (4,211,965 | ) | | | (55,197,716 | ) | | | (1,902,046 | ) | | | (23,028,997 | ) |
| Increase | | | 7,317,443 | | | $ | 89,191,674 | | | | 8,450,754 | | | $ | 100,933,556 | |
| |
| Class P Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 310 | | | $ | 3,924 | | | | 971 | | | $ | 11,398 | |
| Reinvestment of distributions | | | 161 | | | | 1,887 | | | | 101 | | | | 1,208 | |
| Shares reacquired | | | (2,024 | ) | | | (24,963 | ) | | | (1,858 | ) | | | (21,488 | ) |
| Decrease | | | (1,553 | ) | | $ | (19,152 | ) | | | (786 | ) | | $ | (8,882 | ) |
155
Notes to Financial Statements (continued)
| | | Year Ended | | | Year Ended | |
| International Equity Fund | | October 31, 2017 | | | October 31, 2016 | |
| Class R2 Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 31,502 | | | $ | 389,733 | | | | 7,444 | | | $ | 87,252 | |
| Reinvestment of distributions | | | 389 | | | | 4,538 | | | | 209 | | | | 2,495 | |
| Shares reacquired | | | (26,710 | ) | | | (351,213 | ) | | | (16,794 | ) | | | (198,505 | ) |
| Increase (decrease) | | | 5,181 | | | $ | 43,058 | | | | (9,141 | ) | | $ | (108,758 | ) |
| |
| Class R3 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 849,999 | | | $ | 10,191,511 | | | | 337,247 | | | $ | 3,937,387 | |
| Reinvestment of distributions | | | 25,459 | | | | 293,038 | | | | 14,835 | | | | 174,918 | |
| Shares reacquired | | | (1,223,807 | ) | | | (14,868,875 | ) | | | (574,888 | ) | | | (6,715,309 | ) |
| Decrease | | | (348,349 | ) | | $ | (4,384,326 | ) | | | (222,806 | ) | | $ | (2,603,004 | ) |
| |
| Class R4 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 44,437 | | | $ | 576,589 | | | | – | | | $ | – | |
| Reinvestment of distributions | | | 18 | | | | 206 | | | | 11 | | | | 138 | |
| Shares reacquired | | | (3,841 | ) | | | (51,422 | ) | | | – | | | | – | |
| Increase | | | 40,614 | | | $ | 525,373 | | | | 11 | | | $ | 138 | |
| |
| Class R5 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 13,554 | | | $ | 176,798 | | | | – | | | $ | – | |
| Reinvestment of distributions | | | 19 | | | | 227 | | | | 13 | | | | 149 | |
| Shares reacquired | | | (9,351 | ) | | | (130,351 | ) | | | – | | | | – | |
| Increase | | | 4,222 | | | $ | 46,674 | | | | 13 | | | $ | 149 | |
| |
| Class R6 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 654,042 | | | $ | 8,195,907 | | | | 901,192.00 | | | $ | 11,065,181 | |
| Reinvestment of distributions | | | 22,976 | | | | 270,198 | | | | 13 | | | | 151 | |
| Shares reacquired | | | (1,348,047 | ) | | | (18,428,851 | ) | | | (15,140 | ) | | | (185,015 | ) |
| Increase (decrease) | | | (671,029 | ) | | $ | (9,962,746 | ) | | | 886,065 | | | $ | 10,880,317 | |
| | | | | | Year Ended | | | | | | Year Ended | |
| International Opportunities Fund | | October 31, 2017 | | | October 31, 2016 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 4,126,454 | | | $ | 75,759,160 | | | | 3,205,088 | | | $ | 51,449,371 | |
| Converted from Class B* | | | 42,315 | | | | 749,394 | | | | 40,727 | | | | 644,781 | |
| Reinvestment of distributions | | | 59,795 | | | | 926,825 | | | | 407,053 | | | | 6,565,759 | |
| Shares reacquired | | | (4,573,291 | ) | | | (78,973,927 | ) | | | (3,609,366 | ) | | | (57,013,749 | ) |
| Increase (decrease) | | | (344,727 | ) | | $ | (1,538,548 | ) | | | 43,502 | | | $ | 1,646,162 | |
| |
| Class B Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 18,668 | | | $ | 292,509 | | | | 7,659 | | | $ | 117,814 | |
| Reinvestment of distributions | | | – | | | | – | | | | 5,850 | | | | 89,673 | |
| Shares reacquired | | | (45,501 | ) | | | (722,178 | ) | | | (46,481 | ) | | | (703,040 | ) |
| Converted to Class A* | | | (44,673 | ) | | | (749,394 | ) | | | (42,967 | ) | | | (644,781 | ) |
| Decrease | | | (71,506 | ) | | $ | (1,179,063 | ) | | | (75,939 | ) | | $ | (1,140,334 | ) |
156
Notes to Financial Statements (continued)
| | | | | | Year Ended | | | | | | Year Ended | |
| International Opportunities Fund | | October 31, 2017 | | | October 31, 2016 | |
| Class C Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 1,025,469 | | | $ | 17,829,814 | | | | 501,315 | | | $ | 7,581,584 | |
| Reinvestment of distributions | | | – | | | | – | | | | 74,489 | | | | 1,127,012 | |
| Shares reacquired | | | (821,092 | ) | | | (13,164,796 | ) | | | (717,647 | ) | | | (10,721,752 | ) |
| Increase (decrease) | | | 204,377 | | | $ | 4,665,018 | | | | (141,843 | ) | | $ | (2,013,156 | ) |
| |
| Class F Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 11,084,635 | | | $ | 207,736,480 | | | | 4,287,342 | | | $ | 67,776,353 | |
| Reinvestment of distributions | | | 41,462 | | | | 636,438 | | | | 285,553 | | | | 4,563,136 | |
| Shares reacquired | | | (3,918,729 | ) | | | (70,342,495 | ) | | | (6,066,514 | ) | | | (94,284,169 | ) |
| Increase (decrease) | | | 7,207,368 | | | $ | 138,030,423 | | | | (1,493,619 | ) | | $ | (21,944,680 | ) |
| |
| Class F3 Shares(a) | | | | | | | | | | | | | | | | |
| Shares sold | | | 864,295 | | | $ | 18,041,630 | | | | – | | | $ | – | |
| Shares reacquired | | | (22,341 | ) | | | (462,714 | ) | | | – | | | | – | |
| Increase | | | 841,954 | | | $ | 17,578,916 | | | | – | | | $ | – | |
| |
| Class I Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 743,697 | | | $ | 14,491,452 | | | | 742,472 | | | $ | 11,868,315 | |
| Reinvestment of distributions | | | 149,643 | | | | 2,376,338 | | | | 729,325 | | | | 12,048,452 | |
| Shares reacquired | | | (5,395,517 | ) | | | (98,826,682 | ) | | | (2,364,512 | ) | | | (39,198,394 | ) |
| Decrease | | | (4,502,177 | ) | | $ | (81,958,892 | ) | | | (892,715 | ) | | $ | (15,281,627 | ) |
| |
| Class P Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 3,836 | | | $ | 75,619 | | | | 4,010 | | | $ | 64,840 | |
| Reinvestment of distributions | | | 71 | | | | 1,121 | | | | 1,148 | | | | 18,861 | |
| Shares reacquired | | | (15,294 | ) | | | (263,864 | ) | | | (17,475 | ) | | | (277,935 | ) |
| Decrease | | | (11,387 | ) | | $ | (187,124 | ) | | | (12,317 | ) | | $ | (194,234 | ) |
| |
| Class R2 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 171,021 | | | $ | 3,002,866 | | | | 131,494 | | | $ | 2,064,548 | |
| Reinvestment of distributions | | | 346 | | | | 5,286 | | | | 567 | | | | 9,039 | |
| Shares reacquired | | | (75,228 | ) | | | (1,378,339 | ) | | | (29,095 | ) | | | (463,995 | ) |
| Increase | | | 96,139 | | | $ | 1,629,813 | | | | 102,966 | | | $ | 1,609,592 | |
| |
| Class R3 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 446,981 | | | $ | 7,379,921 | | | | 894,885 | | | $ | 14,178,267 | |
| Reinvestment of distributions | | | 7,109 | | | | 108,339 | | | | 23,820 | | | | 378,261 | |
| Shares reacquired | | | (1,118,183 | ) | | | (18,248,411 | ) | | | (322,495 | ) | | | (5,076,196 | ) |
| Increase (decrease) | | | (664,093 | ) | | $ | (10,760,151 | ) | | | 596,210 | | | $ | 9,480,332 | |
| |
| Class R4 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 64,606 | | | $ | 1,137,090 | | | | 118,621.48 | | | $ | 1,920,357 | |
| Reinvestment of distributions | | | 894 | | | | 13,808 | | | | 25.76 | | | | 415 | |
| Shares reacquired | | | (22,177 | ) | | | (404,594 | ) | | | (2,386 | ) | | | (39,059 | ) |
| Increase | | | 43,323 | | | $ | 746,304 | | | | 116,261.24 | | | $ | 1,881,713 | |
157
Notes to Financial Statements (continued)
| | | Year Ended | | | | | Year Ended | |
| International Opportunities Fund | | October 31, 2017 | | | October 31, 2016 | |
| Class R5 Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 46,697 | | | $ | 836,481 | | | | 189,741 | | | $ | 3,157,089 | |
| Reinvestment of distributions | | | 1,676 | | | | 26,598 | | | | 25 | | | | 417 | |
| Shares reacquired | | | (22,215 | ) | | | (390,775 | ) | | | (24,160 | ) | | | (404,859 | ) |
| Increase | | | 26,158 | | | $ | 472,304 | | | | 165,606 | | | $ | 2,752,647 | |
| |
| Class R6 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 999,275 | | | $ | 17,948,134 | | | | 132,813 | | | $ | 2,236,515 | |
| Reinvestment of distributions | | | 1,438 | | | | 22,874 | | | | 37 | | | | 620 | |
| Shares reacquired | | | (310,945 | ) | | | (5,798,689 | ) | | | (22,571 | ) | | | (378,706 | ) |
| Increase | | | 689,768 | | | $ | 12,172,319 | | | | 110,279 | | | $ | 1,858,429 | |
| | | | | | Year Ended | | | | | | Year Ended | |
| Value Opportunities Fund | | October 31, 2017 | | | October 31, 2016 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 14,956,159 | | | $ | 294,795,077 | | | | 10,508,880 | | | $ | 191,757,917 | |
| Converted from Class B * | | | 194,601 | | | | 3,880,914 | | | | 162,424 | | | | 2,931,720 | |
| Reinvestment of distributions | | | 2,847,532 | | | | 54,701,088 | | | | 3,829,534 | | | | 69,774,112 | |
| Shares reacquired | | | (19,187,356 | ) | | | (379,313,788 | ) | | | (16,364,241 | ) | | | (300,451,414 | ) |
| Decrease | | | (1,189,064 | ) | | $ | (25,936,709 | ) | | | (1,863,403 | ) | | $ | (35,987,665 | ) |
| |
| Class B Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 59,349 | | | $ | 1,055,022 | | | | 21,778 | | | $ | 363,010 | |
| Reinvestment of distributions | | | 22,165 | | | | 386,337 | | | | 46,017 | | | | 771,244 | |
| Shares reacquired | | | (175,082 | ) | | | (3,117,461 | ) | | | (105,055 | ) | | | (1,769,522 | ) |
| Converted to Class A * | | | (215,228 | ) | | | (3,880,914 | ) | | | (177,149 | ) | | | (2,931,720 | ) |
| Decrease | | | (308,796 | ) | | $ | (5,557,016 | ) | | | (214,409 | ) | | $ | (3,566,988 | ) |
| |
| Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 4,452,277 | | | $ | 79,488,866 | | | | 2,744,387 | | | $ | 46,310,029 | |
| Reinvestment of distributions | | | 1,090,878 | | | | 19,024,913 | | | | 1,416,764 | | | | 23,744,964 | |
| Shares reacquired | | | (6,735,277 | ) | | | (120,522,668 | ) | | | (4,782,166 | ) | | | (79,996,659 | ) |
| Decrease | | | (1,192,122 | ) | | $ | (22,008,889 | ) | | | (621,015 | ) | | $ | (9,941,666 | ) |
| |
| Class F Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 28,859,129 | | | $ | 579,972,620 | | | | 14,223,196 | | | $ | 269,287,074 | |
| Reinvestment of distributions | | | 1,911,365 | | | | 37,348,068 | | | | 1,866,670 | | | | 34,552,058 | |
| Shares reacquired | | | (27,040,846 | ) | | | (557,652,369 | ) | | | (9,790,352 | ) | | | (181,206,332 | ) |
| Increase | | | 3,729,648 | | | $ | 59,668,319 | | | | 6,299,514 | | | $ | 122,632,800 | |
| |
| Class F3 Shares(a) | | | | | | | | | | | | | | | | |
| Shares sold | | | 14,814,033 | | | $ | 318,067,067 | | | | – | | | $ | – | |
| Shares reacquired | | | (247,076 | ) | | | (5,320,900 | ) | | | – | | | | – | |
| Increase | | | 14,566,957 | | | $ | 312,746,167 | | | | – | | | $ | – | |
| |
| Class I Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 1,697,747 | | | $ | 34,804,576 | | | | 2,079,301 | | | $ | 38,601,684 | |
| Reinvestment of distributions | | | 1,350,263 | | | | 26,856,722 | | | | 1,993,547 | | | | 37,518,542 | |
| Shares reacquired | | | (8,621,263 | ) | | | (175,810,661 | ) | | | (7,727,105 | ) | | | (143,468,732 | ) |
| Decrease | | | (5,573,253 | ) | | $ | (114,149,363 | ) | | | (3,654,257 | ) | | $ | (67,348,506 | ) |
158
Notes to Financial Statements (concluded)
| | | | | Year Ended | | | | | Year Ended | |
| Value Opportunities Fund | | October 31, 2017 | | | October 31, 2016 | |
| Class P Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 229,998 | | | $ | 4,479,938 | | | | 289,322 | | | $ | 5,195,262 | |
| Reinvestment of distributions | | | 115,181 | | | | 2,180,377 | | | | 167,787 | | | | 3,021,853 | |
| Shares reacquired | | | (643,659 | ) | | | (12,515,997 | ) | | | (695,489 | ) | | | (12,393,812 | ) |
| Decrease | | | (298,480 | ) | | $ | (5,855,682 | ) | | | (238,380 | ) | | $ | (4,176,697 | ) |
| |
| Class R2 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 276,031 | | | $ | 5,186,783 | | | | 111,936 | | | $ | 1,998,982 | |
| Reinvestment of distributions | | | 10,482 | | | | 194,856 | | | | 13,618 | | | | 241,441 | |
| Shares reacquired | | | (175,343 | ) | | | (3,344,088 | ) | | | (158,945 | ) | | | (2,826,912 | ) |
| Increase (decrease) | | | 111,170 | | | $ | 2,037,551 | | | | (33,391 | ) | | $ | (586,489 | ) |
| |
| Class R3 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 1,202,384 | | | $ | 23,097,186 | | | | 938,971 | | | $ | 16,844,938 | |
| Reinvestment of distributions | | | 320,069 | | | | 6,001,300 | | | | 462,439 | | | | 8,254,542 | |
| Shares reacquired | | | (2,521,489 | ) | | | (48,623,436 | ) | | | (1,990,444 | ) | | | (35,433,934 | ) |
| Decrease | | | (999,036 | ) | | $ | (19,524,950 | ) | | | (589,034 | ) | | $ | (10,334,454 | ) |
| |
| Class R4 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 3,332,890 | | | $ | 65,797,842 | | | | 181,108 | | | $ | 3,408,944 | |
| Reinvestment of distributions | | | 9,606 | | | | 184,434 | | | | 38 | | | | 689 | |
| Shares reacquired | | | (424,376 | ) | | | (8,450,221 | ) | | | (27,094 | ) | | | (519,823 | ) |
| Increase | | | 2,918,120 | | | $ | 57,532,055 | | | | 154,052 | | | $ | 2,889,810 | |
| |
| Class R5 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 526,601 | | | $ | 10,928,827 | | | | 2,335,253 | | | $ | 45,222,883 | |
| Reinvestment of distributions | | | 127,567 | | | | 2,538,584 | | | | 35 | | | | 669 | |
| Shares reacquired | | | (2,599,278 | ) | | | (53,142,249 | ) | | | (153,952 | ) | | | (3,027,234 | ) |
| Increase (decrease) | | | (1,945,110 | ) | | $ | (39,674,838 | ) | | | 2,181,336 | | | $ | 42,196,318 | |
| |
| Class R6 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 2,752,138 | | | $ | 56,356,795 | | | | 1,726,267 | | | $ | 30,731,482 | |
| Reinvestment of distributions | | | 178,818 | | | | 3,563,847 | | | | 107,061 | | | | 2,015,955 | |
| Shares reacquired | | | (994,028 | ) | | | (20,462,619 | ) | | | (397,147 | ) | | | (7,725,853 | ) |
| Increase | | | 1,936,928 | | | $ | 39,458,023 | | | | 1,436,181 | | | $ | 25,021,584 | |
| |
| Class T Shares(b) | | | | | | | | | | | | | | | | |
| Shares sold | | | 498.50 | | | $ | 10,000 | | | | – | | | $ | – | |
| Increase | | | 498.50 | | | $ | 10,000 | | | | – | | | $ | – | |
| * | | Automatic conversion of Class B shares occurs on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted. |
| ** | | Commenced on January 17, 2017. |
| (a) | | Commenced on April 4, 2017. |
| (b) | | Commenced on July 28, 2017. |
159
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Lord Abbett Securities Trust and the Shareholders of Lord Abbett Alpha Strategy Fund, Lord Abbett Fundamental Equity Fund, Lord Abbett Global Core Equity Fund, Lord Abbett Growth Leaders Fund, Lord Abbett International Equity Fund, Lord Abbett International Dividend Income Fund, Lord Abbett International Opportunities Fund, and Lord Abbett Value Opportunities Fund:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of the Lord Abbett Alpha Strategy Fund, Lord Abbett Fundamental Equity Fund, Lord Abbett Global Core Equity Fund, Lord Abbett Growth Leaders Fund, Lord Abbett International Equity Fund, Lord Abbett International Dividend Income Fund, Lord Abbett International Opportunities Fund, and Lord Abbett Value Opportunities Fund (collectively, the “Funds”), eight of the ten portfolios constituting the Lord Abbett Securities Trust (the “Trust”) as of October 31, 2017, and the related statements of operations, the statements of changes in net assets, and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2017, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds constituting the Lord Abbett Securities Trust as of October 31, 2017, the results of their operations, the changes in their net assets, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
New York, New York
December 21, 2017
160
Investments in Underlying Funds
Alpha Strategy Fund invests in Underlying Funds managed by Lord Abbett. As of October 31, 2017, Alpha Strategy Fund’s long-term investments were allocated among the Underlying Funds as follows:
| Underlying Fund Name | | % of Investments |
| Lord Abbett Developing Growth Fund, Inc.-Class I | | | 20.20 | % |
| Lord Abbett Securities Trust-International Opportunities Fund-Class I | | | 20.00 | % |
| Lord Abbett Securities Trust-Micro-Cap Growth Fund-Class I | | | 9.90 | % |
| Lord Abbett Securities Trust-Micro-Cap Value Fund-Class I | | | 9.96 | % |
| Lord Abbett Research Fund, Inc.-Small-Cap Value Fund-Class I | | | 19.99 | % |
| Lord Abbett Securities Trust-Value Opportunities Fund-Class I | | | 19.95 | % |
The Ten Largest Holdings and the Holdings by Sector, as of October 31, 2017, for each Underlying Fund are presented below. Each Underlying Fund’s annual and semiannual reports, which are sent to shareholders and filed with the SEC, contain information about the Underlying Fund’s portfolio holdings, including a complete schedule of holdings. A complete schedule of holdings for each Underlying Fund is also filed with the SEC on Form N-Q as of the end of each respective Underlying Fund’s first and third quarters. In addition, on or about the first day of the second month following each calendar quarter-end, each Fund makes publicly available a complete schedule of its portfolio holdings as of the last day of each such quarter. The information for the most recently ended calendar quarter may be viewed at www.lordabbett.com or requested at no charge by calling Lord Abbett at 888–522–2388.
Lord Abbett Developing Growth Fund, Inc.
| Ten Largest Holdings | | % of Investments |
| 2U, Inc. | | | 2.37 | % |
| Planet Fitness, Inc. Class A, | | | 2.30 | % |
| Live Nation Entertainment, Inc. | | | 2.21 | % |
| Stamps.com, Inc. | | | 2.19 | % |
| Insulet Corp. | | | 2.07 | % |
| Exact Sciences Corp. | | | 2.00 | % |
| HubSpot, Inc. | | | 1.94 | % |
| Trade Desk, Inc. (The) Class A | | | 1.94 | % |
| Penumbra, Inc. | | | 1.87 | % |
| GrubHub, Inc. | | | 1.84 | % |
| |
| Holdings by Sector* | | | % of Investments |
| Consumer Discretionary | | | 14.14 | % |
| Energy | | | 1.01 | % |
| Financials | | | 12.12 | % |
| Health Care | | | 21.21 | % |
| Industrials | | | 17.17 | % |
| Information Technology | | | 31.32 | % |
| Materials | | | 2.02 | % |
| Real Estate | | | 1.01 | % |
| Total | | | 100.00 | % |
| | | | | |
| * A sector may comprise several industries. | | | | |
161
Investments in Underlying Funds (continued)
International Opportunities Fund
| Ten Largest Holdings | | % of Investments |
| Coca-Cola Bottlers Japan, Inc. | | | 1.51 | % |
| Cairn Homes plc | | | 1.45 | % |
| Aalberts Industries NV | | | 1.45 | % |
| Sundrug Co., Ltd. | | | 1.37 | % |
| Man Group plc | | | 1.37 | % |
| en-japan, Inc. | | | 1.32 | % |
| KH Neochem Co., Ltd. | | | 1.28 | % |
| doBank SpA | | | 1.28 | % |
| United Arrows Ltd. | | | 1.27 | % |
| Loomis AB Class B | | | 1.24 | % |
| |
| Holdings by Sector* | | | % of Investments |
| Consumer Discretionary | | | 18.15 | % |
| Consumer Staples | | | 5.07 | % |
| Energy | | | 3.15 | % |
| Financials | | | 15.92 | % |
| Health Care | | | 5.17 | % |
| Industrials | | | 20.70 | % |
| Information Technology | | | 11.69 | % |
| Materials | | | 7.71 | % |
| Purchased Options | | | 0.02 | % |
| Real Estate | | | 6.30 | % |
| Telecommunication Services | | | 0.49 | % |
| Utilities | | | 1.81 | % |
| Repurchase Agreement | | | 3.82 | % |
| Total | | | 100.00 | % |
| | | | | |
| * A sector may comprise several industries. | | | | |
Micro Cap Growth Fund
| Ten Largest Holdings | | % of Investments |
| NV5 Global, Inc. | | | 2.75 | % |
| LGI Homes, Inc. | | | 2.58 | % |
| iRhythm Technologies, Inc. | | | 2.50 | % |
| Five9, Inc. | | | 2.49 | % |
| Care.com, Inc. | | | 2.30 | % |
| Talend SA ADR | | | 2.21 | % |
| CenterState Bank Corp. | | | 2.15 | % |
| Instructure, Inc. | | | 2.07 | % |
| MGP Ingredients, Inc. | | | 2.07 | % |
| Dynavax Technologies Corp. | | | 2.00 | % |
162
Investments in Underlying Funds (continued)
| Holdings by Sector* | | % of Investments |
| Consumer Discretionary | | | 13.42 | % |
| Consumer Staples | | | 3.29 | % |
| Energy | | | 2.16 | % |
| Financials | | | 9.66 | % |
| Health Care | | | 31.6 | % |
| Industrials | | | 11.18 | % |
| Information Technology | | | 23.31 | % |
| Materials | | | 2.52 | % |
| Repurchase Agreement | | | 2.86 | % |
| Total | | | 100.00 | % |
* A sector may comprise several industries.
Micro Cap Value Fund
| Ten Largest Holdings | | % of Investments |
| National Commerce Corp. | | | 4.85 | % |
| FB Financial Corp. | | | 4.25 | % |
| Cott Corp. | | | 4.22 | % |
| Vishay Precision Group, Inc. | | | 3.77 | % |
| CenterState Bank Corp. | | | 3.31 | % |
| First Merchants Corp. | | | 3.23 | % |
| Connecticut Water Service, Inc. | | | 3.22 | % |
| Chase Corp. | | | 3.20 | % |
| Lawson Products, Inc. | | | 3.17 | % |
| Seacoast Banking Corp. of Florida | | | 3.11 | % |
| |
| Holdings by Sector* | | | % of Investments |
| Consumer Discretionary | | | 12.25 | % |
| Consumer Staples | | | 2.04 | % |
| Energy | | | 8.17 | % |
| Financials | | | 20.41 | % |
| Health Care | | | 4.08 | % |
| Industrials | | | 26.53 | % |
| Information Technology | | | 10.20 | % |
| Materials | | | 6.12 | % |
| Real Estate | | | 4.08 | % |
| Utilities | | | 4.08 | % |
| Repurchase Agreement | | | 2.04 | % |
| Total | | | 100.00 | % |
* A sector may comprise several industries.
163
Investments in Underlying Funds (continued)
Lord Abbett Research Fund, Inc. – Small Cap Value Fund
| Ten Largest Holdings | | % of Investments |
| Littelfuse, Inc. | | | 2.73 | % |
| IDACORP, Inc. | | | 2.69 | % |
| First Merchants Corp. | | | 2.62 | % |
| First Industrial Realty Trust, Inc. | | | 2.61 | % |
| Centennial Resource Development, Inc. Class A | | | 2.39 | % |
| Orbotech Ltd. | | | 2.38 | % |
| Cott Corp. | | | 2.14 | % |
| Teledyne Technologies, Inc. | | | 2.05 | % |
| Western Alliance Bancorp | | | 2.01 | % |
| PolyOne Corp. | | | 2.01 | % |
| |
| Holdings by Sector* | | | % of Investments |
| Consumer Discretionary | | | 12.33 | % |
| Consumer Staples | | | 2.14 | % |
| Energy | | | 4.43 | % |
| Financials | | | 15.72 | % |
| Health Care | | | 7.99 | % |
| Industrials | | | 17.2 | % |
| Information Technology | | | 17.31 | % |
| Materials | | | 11.99 | % |
| Real Estate | | | 4.09 | % |
| Utilities | | | 4.63 | % |
| Repurchase Agreement | | | 2.17 | % |
| Total | | | 100.00 | % |
* A sector may comprise several industries.
Value Opportunities Fund
| Ten Largest Holdings | | % of Investments |
| Western Alliance Bancorp | | | 2.17 | % |
| Raymond James Financial, Inc. | | | 2.06 | % |
| Arch Capital Group Ltd. | | | 2.05 | % |
| East West Bancorp, Inc | | | 2.02 | % |
| FLIR Systems, Inc. | | | 2.01 | % |
| Belden, Inc. | | | 1.95 | % |
| XPO Logistics, Inc. | | | 1.91 | % |
| Reliance Steel & Aluminum Co. | | | 1.87 | % |
| First Horizon National Corp. | | | 1.70 | % |
| American Water Works Co., Inc. | | | 1.67 | % |
164
Investments in Underlying Funds (concluded)
| Holdings by Sector* | | % of Investments |
| Consumer Discretionary | | | 10.51 | % |
| Consumer Staples | | | 0.58 | % |
| Energy | | | 4.47 | % |
| Financials | | | 17.86 | % |
| Health Care | | | 11.28 | % |
| Industrials | | | 15.81 | % |
| Information Technology | | | 16.66 | % |
| Materials | | | 10.59 | % |
| Real Estate | | | 4.46 | % |
| Telecommunication Services | | | 1.43 | % |
| Utilities | | | 5.74 | % |
| Repurchase Agreement | | | 0.61 | % |
| Total | | | 100.00 | % |
* A sector may comprise several industries.
165
Basic Information About Management
The Board is responsible for the management of the business and affairs of the Trust in accordance with the laws of the State of Delaware. The Board elects officers who are responsible for the day-to-day operations of each Fund and who execute policies authorized by the Board. The Board also approves an investment adviser to each Fund and continues to monitor the cost and quality of the services the investment adviser provides, and annually considers whether to renew the contract with the adviser. Generally, each Trustee holds office until his/her successor is elected and qualified or until his/her earlier resignation or removal, as provided in the Trust’s organizational documents.
Lord Abbett, a Delaware limited liability company, is each Fund’s investment adviser. Designated Lord Abbett personnel are responsible for the day-to-day management of the Funds.
Interested Trustees
Ms. Foster and Mr. Sieg are affiliated with Lord Abbett and are “interested persons” of the Trust as defined in the Act. Ms. Foster and Mr. Sieg are directors/trustees of each of the 12 investment companies in the Lord Abbett Family of Funds, which consist of 61 portfolios or series. Ms. Foster is an officer of the Lord Abbett Family of Funds.
Name, Address and
Year of Birth | | Current Position and
Length of Service
with the Trust | | Principal Occupation and Other Directorships
During the Past Five Years |
Daria L. Foster
Lord, Abbett & Co. LLC
90 Hudson Street
Jersey City, NJ 07302
(1954) | | Trustee and President since 2006; Chief Executive Officer since 2012 | | Principal Occupation: Managing Partner of Lord Abbett, joined Lord Abbett in 1990.
Other Directorships: None.
|
| | | | | |
Douglas B. Sieg
Lord, Abbett & Co. LLC
90 Hudson Street
Jersey City, NJ 07302
(1969) | | Trustee since 2016 | | Principal Occupation: Partner (since 2001) and Head of Client Services (since 2013), formerly Director of Marketing and Relationship Management, joined Lord Abbett in 1994.
Other Directorships: None. |
Independent Trustees
The following Independent Trustees also are directors/trustees of each of the 12 investment companies in the Lord Abbett Family of Funds, which consist of 61 portfolios or series.
Name, Address and
Year of Birth | | Current Position and
Length of Service
with the Trust | | Principal Occupation and Other Directorships
During the Past Five Years |
Robert B. Calhoun, Jr.
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1942) | | Trustee since 1998 | | Principal Occupation: Senior Advisor of Monitor Clipper Partners, a private equity investment fund (1997–2012); President of Clipper Asset Management Corp. (1991–2009).
Other Directorships: None. |
166
Basic Information About Management (continued)
Name, Address and
Year of Birth | | Current Position and
Length of Service
with the Trust | | Principal Occupation and Other Directorships
During the Past Five Years |
Eric C. Fast
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1949) | | Trustee since 2014 | | Principal Occupation: Chief Executive Officer of Crane Co., an industrial products company (2001–2014).
Other Directorships: Currently serves as director of Automatic Data Processing, Inc. (since 2007) and Regions Financial Corporation (since 2010). Previously served as a director of Crane Co. (1999–2014). |
| | | | | |
Evelyn E. Guernsey
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1955) | | Trustee since 2011 | | Principal Occupation: CEO, Americas of J.P. Morgan Asset Management (2004–2010).
Other Directorships: None. |
| | | | | |
Julie A. Hill
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1946) | | Trustee since 2004 | | Principal Occupation: Owner and CEO of The Hill Company, a business consulting firm (since 1998).
Other Directorships: Currently serves as director of Anthem, Inc., a health benefits company (since 1994). |
| | | | | |
Franklin W. Hobbs
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1947) | | Trustee since 2001 | | Principal Occupation: Advisor of One Equity Partners, a private equity firm (since 2004).
Other Directorships: Currently serves as director and Chairman of the Board of Ally Financial Inc., a financial services firm (since 2009), and as director of Molson Coors Brewing Company (since 2002). |
| | | | | |
James M. McTaggart
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1947) | | Trustee since 2012 | | Principal Occupation: Independent management advisor and consultant (since 2012); Vice President, CRA International, Inc. (doing business as Charles River Associates), a global management consulting firm (2009–2012); Founder and Chairman of Marakon Associates, Inc., a strategy consulting firm (1978–2009); and Officer and Director of Trinsum Group, a holding company (2007–2009).
Other Directorships: Blyth, Inc., a home products company (2004–2015). |
| | | | | |
Mark A. Schmid
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1959) | | Trustee since 2016 | | Principal Occupation: Vice President and Chief Investment Officer of the University of Chicago (since 2009).
Other Directorships: None. |
| | | | | |
James L.L. Tullis
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1947) | | Trustee since 2006;
Chairman since 2017 | | Principal Occupation: CEO of Tullis-Dickerson and Co. Inc., a venture capital management firm (since 1990); CEO of Tullis Health Investors Inc. (since 2012).
Other Directorships: Currently serves as director of Crane Co. (since 1998). |
167
Basic Information About Management (continued)
Officers
None of the officers listed below have received compensation from the Trust. All of the officers of the Trust also may be officers of the other Lord Abbett Funds and maintain offices at 90 Hudson Street, Jersey City, NJ 07302. Unless otherwise indicated, the position(s) and title(s) listed under the “Principal Occupation During the Past Five Years” column indicate each officer’s position(s) and title(s) with Lord Abbett. Each officer serves for an indefinite term (i.e., until his or her death, resignation, retirement, or removal).
Name and
Year of Birth | | Current Position
with the Trust | | Length of Service
of Current
Position | | Principal Occupation
During the Past Five Years |
Daria L. Foster
(1954) | | President and Chief Executive Officer | | Elected as President in 2006 and Chief Executive Officer in 2012 | | Managing Partner of Lord Abbett, joined Lord Abbett in 1990. |
| | | | | | | |
Yarek Aranowicz
(1963) | | Executive Vice President | | Elected in 2017 | | Partner and Director of Global Equity Research, joined Lord Abbett in 2003. |
| | | | | | | |
Sean J. Aurigemma
(1969) | | Executive Vice President | | Elected in 2010 | | Portfolio Manager, joined Lord Abbett in 2007. |
| | | | | | | |
Todd D. Jacobson
(1966) | | Executive Vice President | | Elected in 2003 | | Partner and Associate Director, joined Lord Abbett in 2003. |
| | | | | | | |
Robert A. Lee
(1969) | | Executive Vice President | | Elected in 2016 | | Partner and Chief Investment Officer, and was formerly Deputy Chief Investment Officer and Director of Taxable Fixed Income, joined Lord Abbett in 1997. |
| | | | | | | |
David J. Linsen
(1974) | | Executive Vice President | | Elected in 2011 | | Partner and Director, joined Lord Abbett in 2001. |
| | | | | | | |
Thomas B. Maher
(1967) | | Executive Vice President | | Elected in 2008 | | Partner and Portfolio Manager, joined Lord Abbett in 2003. |
168
Basic Information About Management (continued)
Name and
Year of Birth | | Current Position
with the Trust | | Length of Service
of Current
Position | | Principal Occupation
During the Past Five Years |
Giulio Martini
(1955) | | Executive Vice President | | Elected in 2015 | | Partner and Director of Strategic Asset Allocation, joined Lord Abbett in 2015 and was formerly Global Investment Strategist at Anderson Global Macro LLC (2012–2015) and Chief Investment Officer of Currency Strategies at AllianceBernstein (1985–2012). |
| | | | | | | |
Justin C. Maurer
(1969) | | Executive Vice President | | Elected in 2008 | | Partner and Portfolio Manager, joined Lord Abbett in 2001. |
| | | | | | | |
Vincent J. McBride
(1964) | | Executive Vice President | | Elected in 2003 | | Partner and Director, joined Lord Abbett in 2003. |
| | | | | | | |
F. Thomas O’Halloran, III
(1955) | | Executive Vice President | | Elected in 2003 | | Partner and Portfolio Manager, joined Lord Abbett in 2001. |
| | | | | | | |
A. Edward Allinson
(1961) | | Vice President | | Elected in 2011 | | Portfolio Manager, joined Lord Abbett in 2005. |
| | | | | | | |
Vernon T. Bice
(1974) | | Vice President | | Elected in 2016 | | Portfolio Manager, joined Lord Abbett in 2011. |
| | | | | | | |
Matthew R. DeCicco
(1977) | | Vice President | | Elected in 2015 | | Portfolio Manager, joined Lord Abbett in 1999. |
| | | | | | | |
Brooke A. Fapohunda
(1975) | | Vice President and Assistant Secretary | | Elected in 2014 | | Partner and Deputy General Counsel, joined Lord Abbett in 2006. |
| | | | | | | |
John K. Forst
(1960) | | Vice President and Assistant Secretary | | Elected in 2005 | | Partner and Deputy General Counsel, joined Lord Abbett in 2004. |
| | | | | | | |
Bernard J. Grzelak
(1971) | | Chief Financial Officer and Vice President | | Elected in 2017 | | Partner and Chief Operations Officer, and was formerly Director of Fund Administration, joined Lord Abbett in 2003. |
| | | | | | | |
Lawrence H. Kaplan
(1957) | | Vice President and Secretary | | Elected in 1997 | | Partner and General Counsel, joined Lord Abbett in 1997. |
| | | | | | | |
Linda Y. Kim
(1980) | | Vice President and Assistant Secretary | | Elected in 2016 | | Counsel, joined Lord Abbett in 2015 and was formerly an Associate at Stroock & Stroock & Lavan LLP (2007–2015). |
169
Basic Information About Management (continued)
Name and
Year of Birth | | Current Position
with the Trust | | Length of Service
of Current
Position | | Principal Occupation
During the Past Five Years |
Joseph M. McGill
(1962) | | Chief Compliance Officer | | Elected in 2014 | | Partner and Chief Compliance Officer, joined Lord Abbett in 2014 and was formerly Managing Director and the Chief Compliance Officer at UBS Global Asset Management (2003–2013). |
| | | | | | | |
A. Edward Oberhaus, III
(1959) | | Vice President | | Elected in 1993 | | Partner and Director, joined Lord Abbett in 1983. |
| | | | | | | |
Lawrence B. Stoller
(1963) | | Vice President and Assistant Secretary | | Elected in 2007 | | Partner and Senior Deputy General Counsel, joined Lord Abbett in 2007. |
| | | | | | | |
Arthur K. Weise
(1970) | | Vice President | | Elected in 2011 | | Partner and Portfolio Manager, joined Lord Abbett in 2007. |
| | | | | | | |
Scott S. Wallner
(1955) | | AML Compliance Officer | | Elected in 2011 | | Assistant General Counsel, joined Lord Abbett in 2004. |
| | | | | | | |
Christian J. Kelly
(1975) | | Treasurer | | Elected in 2017 | | Director of Fund Administration, joined Lord Abbett in 2009. |
Please call 888–522–2388 for a copy of the statement of additional information, which contains further information about the Trust’s Trustees. It is available free upon request.
170
Householding
The Trust has adopted a policy that allows it to send only one copy of each Fund’s prospectus, proxy material, annual report and semiannual report to certain shareholders residing at the same “household.” This reduces Fund expenses, which benefits you and other shareholders. If you need additional copies or do not want your mailings to be “householded,” please call Lord Abbett at 888-522-2388 or send a written request with your name, the name of your fund or funds and your account number or numbers to Lord Abbett Family of Funds, P.O. Box 219336, Kansas City, MO 64121.
Proxy Voting Policies, Procedures and Records
A description of the policies and procedures that Lord Abbett uses to vote proxies related to each Fund’s portfolio securities, and information on how Lord Abbett voted each Fund’s proxies during the 12-month period ended June 30 are available without charge, upon request, (i) by calling 888-522-2388; (ii) on Lord Abbett’s Website at www.lordabbett.com; and (iii) on the Securities and Exchange Commission’s (“SEC”) Website at www.sec.gov.
Shareholder Reports and Quarterly Portfolio Disclosure
The Funds are required to file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters on Form N-Q. Copies of the filings are available without charge, upon request on the SEC’s Website at www.sec.gov and may be available by calling Lord Abbett at 888-522-2388. You can also obtain copies of Form N-Q by visiting the SEC’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330).
171
Tax Information
The percentages below reflect the portion of ordinary income distributions that are eligible for the corporate dividend received deduction (DRD) and qualified dividend income (QDI) for individual shareholders:
| Fund Name | | DRD | | QDI | |
| Fundamental Equity Fund | | | 92 | % | | | 93% | |
| International Dividend Income Fund | | | – | | | | 100% | |
| International Equity Fund | | | – | | | | 100% | |
| International Opportunities Fund | | | – | | | | 100% | |
| Value Opportunities | | | 100 | % | | | 100% | |
Additionally, of the distributions paid to the shareholders during the fiscal year ended October 31, 2017, the following amounts represent long-term capital gains:
| Fund Name | | Long-Term
Capital Gains | |
| Alpha Strategy Fund | | $ | 125,574,170 | |
| Fundamental Equity Fund | | | 105,930,975 | |
| Value Opportunities Fund | | | 160,561,813 | |
The Funds listed below intend to pass through foreign source income and foreign taxes as follows:
| | | Foreign | | | | |
| Fund Name | | Source Income | | | Foreign Taxes | |
| International Dividend Income Fund | | | $53,796,626 | | | | $4,473,770 | |
172
| | | We Recycle | | Lord Abbett Securities Trust Lord Abbett Alpha Strategy Fund Lord Abbett Fundamental Equity Fund Lord Abbett Global Core Equity Fund Lord Abbett Growth Leaders Fund Lord Abbett International Dividend Income Fund Lord Abbett International Equity Fund Lord Abbett International Opportunities Fund Lord Abbett Value Opportunities Fund | LST-2 (12/17) |
| | | This document is printed on recycled paper. | |
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This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus. Lord Abbett mutual fund shares are distributed by
LORD ABBETT DISTRIBUTOR LLC. | |
LORD ABBETT
ANNUAL REPORT
Lord Abbett
Micro Cap Growth Fund
Micro Cap Value Fund
For the fiscal year ended October 31, 2017
Table of Contents
Lord Abbett Securities Trust
Lord Abbett Micro Cap Growth Fund and Lord Abbett Micro Cap Value Fund Annual Report
For the fiscal year ended October 31, 2017
From left to right: James L.L. Tullis, Independent Chairman of the Lord Abbett Funds and Daria L. Foster Trustee, President, and Chief Executive Officer of the Lord Abbett Funds.
Dear Shareholders: We are pleased to provide you with this overview of the performance of the Funds for the fiscal year ended October 31, 2017. On this page and the following pages, we discuss the major factors that influenced fiscal year performance. For detailed and more timely information about the Funds, please visit our website at www.lordabbett.com, where you also can access the quarterly commentaries that provide updates on each Fund’s performance and other portfolio related updates.
Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.
Best regards,
Daria L. Foster
Trustee, President and Chief Executive Officer
Lord Abbett Micro Cap Growth Fund
For the fiscal year ended October 31, 2017, the Micro Cap Growth Fund returned 39.39%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the Russell Microcap® Growth Index,1 which returned 25.96% over the same period.
Domestic equity returns were positive over the past year, with large cap stocks, as represented by the S&P 500® Index,2 rising 23.63% during the period while small cap stocks, as represented by the Russell 2000®
Index,3 were up 27.85%. The major market-moving event during the period was the presidential election in November 2016, accompanied by Republicans maintaining control of both the House of Representatives and the Senate. The election results fueled expectations for increased infrastructure and defense spending, broad tax reform, and decreased regulations, which contributed to a strong U.S. market rally to finish 2016. In December 2016, the Federal Reserve (Fed) raised its target for short-term interest rates by 0.25%, to a range of 0.50% – 0.75%, and indicated that it was targeting
1
three rate hikes in 2017. The Fed followed with 0.25% rate hikes at its March and June meetings to a 1% – 1.25% range. The U.S. economy continued to expand at a slow but steady pace during the trailing 12-month period, with domestic GDP growth ranging between 1.2% and 3.1% from the third quarter of 2016 to the third quarter of 2017. Despite a litany of geopolitical and environmental events, U.S. and international markets continued their steady ascent throughout 2017, propelled by positive economic growth and sentiment.
The largest contributor to the Fund’s performance during the period, both absolute and relative to the benchmark, was security selection in the health care sector. Dynavax Technologies Co., a clinical-stage biopharmaceutical company that develops vaccines and therapeutics, contributed during the period. Shares of the biopharmaceutical company surged as investors believed it was highly likely that the Federal Drug Administration would approve Heplisav, Dynavax’s vaccination for the Hepatitis B infection. The Fund’s position in Clovis Oncology, Inc., an oncological pharmaceutical company, also contributed [15]. Clovis Oncology’s strong performance was driven by impressive clinical trial data for its ovarian cancer drug, Rubraca.
In addition, the Fund’s holdings in the consumer discretionary sector contributed to relative performance. In particular, the Fund’s position in LGI Homes, Inc., a builder of housing developments, contributed. LGI’s share price jumped as strong new home closings in May and better-than-expected housing data for June drove shares higher.
The largest detractor from the Fund’s relative performance during the period was security selection in the financials sector. The Fund’s position in Greenhill & Co., Inc., an independent investment bank, detracted. Greenhill & Co.’s advisory revenues came in well below expectations during the first quarter 2017, as management attributed this to a lack of large deal closings and timing issues. An overall decline in transaction announcements was also a major headwind to Greenhill throughout the period. WisdomTree Investments, Inc., an asset management firm focused on exchange traded products, also detracted from relative performance. Shares of WisdomTree declined as competition among exchange traded products and pricing pressures from large scale exchange traded fund providers increased during the period.
The telecommunication services sector also detracted from the Fund’s relative performance during the period. The bidding war between Verizon and AT&T, and Verizon’s eventual acquisition of Straight Path Communications, Inc., had a disproportionate effect on the performance of the sector. The Fund did not own Straight Path Communications during the period.
Lord Abbett Micro Cap Value Fund
For the fiscal year ended October 31, 2017, the Fund returned 23.38%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the Russell Microcap® Value Index,4 which returned 32.20% over the same period.
2
Domestic equity returns were positive over the past year, with large cap stocks, as represented by the S&P 500® Index,2 rising 23.63% during the period while small cap stocks, as represented by the Russell 2000® Index,3 were up 27.85%. The major market-moving event during the period was the presidential election in November 2016, accompanied by Republicans maintaining control of both the House of Representatives and the Senate. The election results fueled expectations for increased infrastructure and defense spending, broad tax reform, and decreased regulations, which contributed to a strong U.S. market rally to finish 2016. In December 2016, the Federal Reserve (Fed) raised its target for short-term interest rates by 0.25%, to a range of 0.50% – 0.75%, and indicated that it was targeting three rate hikes in 2017. The Fed followed with 0.25% rate hikes at its March and June meetings to a 1% – 1.25% range. The U.S. economy continued to expand at a slow but steady pace during the trailing 12-month period, with domestic GDP growth ranging between 1.2% and 3.1% from the third quarter of 2016 to the third quarter of 2017. Despite a litany of geopolitical and environmental events, U.S. and international markets continued their steady ascent throughout 2017, propelled by positive economic growth and sentiment.
Although the Fund exhibited strong absolute performance, security selection, particularly within the industrials sector, was the primary driver of relative underperformance during the period. Within the industrials sector, Textainer Group Holdings, Inc., a provider of
management consulting services and manager of a container leasing program, detracted. The shipping industry faced headwinds after Hanjin, a South Korean company, filed for bankruptcy protection. Textainer was disproportionally affected compared to its peers, as it leased a large portion of its container fleet to the now defunct Hanjin. Shares of Atkore International Group, Inc., a manufacturer of electrical raceway products, also detracted from the Fund’s relative performance. Atkore experienced increased raw material costs, as steel and copper prices increased significantly year-over-year.
The Fund’s underweight within the health care sector also detracted from relative performance during the period. Specifically, the Fund’s large underweight to the biotechnology and pharmaceutical industries, relative to the Russell Microcap® Value Index, detracted. Both industries generated strong absolute returns during the period, as regulatory and political pressures subsided.
Conversely, security selection in the financials and materials sectors were the main contributors to the Fund’s relative performance during the period. Within the financials sector, shares of FB Financial Corp., which operates as a bank holding company for First Bank, soared as it announced the acquisition of two Tennessee-based banks: Clayton Bank & Trust and American City Bank. The acquisitions eventually helped drive FB Financial’s third quarter 2017 net interest margin incrementally higher. First Merchants Corp., a financials holding company, also contributed to relative performance. Shares of First Merchants Corp. appreciated as investors continued to
3
anticipate another rate hike by the Federal Reserve and the possibility of comprehensive tax reform policies being enacted.
Within the materials sector, shares of Chase Corp., a global manufacturer of tapes, laminates, sealants and coatings for high reliability application, contributed. In April, Roblon A/S announced its acquisition of the assets and activities of Chase
Corporation’s fiber optic cable components business, which drove Chase Corporation’s shares higher.
Each Fund’s portfolio is actively managed and, therefore, its holdings and the weightings of a particular issuer or particular sector as a percentage of portfolio assets are subject to change. Sectors may include many industries.
1 The Russell MicroCap® Growth Index measures the performance of those Russell Micro Cap companies with higher price-to-book ratios and higher forecasted growth values.
2 The S&P 500® Index is widely regarded as the standard for measuring large cap U.S. stock market performance and includes a representative sample of leading companies in leading industries.
3 The Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, which represents approximately 10% of the total market capitalization of the Russell 3000® Index.
4 The Russell Microcap® Value Index measures the performance of those Russell Microcap companies with lower price-to-book ratios and lower forecasted growth values.
Unless otherwise specified, indexes reflect total return, with all dividends reinvested. Indexes are unmanaged, do not reflect the deduction of fees or expenses, and are not available for direct investment.
Important Performance and Other Information
Performance data quoted in the following pages reflect past performance and are no guarantee of future results. Current performance may be higher or lower than the performance quoted. The investment return and principal value of an investment in the Funds will fluctuate so that shares, on any given day or when redeemed, may be worth more or less than their original cost. You
can obtain performance data current to the most recent month end by calling Lord Abbett at 888-522-2388 or referring to www.lordabbett.com.
Except where noted, comparative Fund performance does not account for the deduction of sales charges and would be different if sales charges were included. Each Fund offers classes of shares with distinct pricing options. For a full description of the differences in pricing alternatives, please see each Fund’s prospectus.
The annual commentary above discusses the views of the Funds’ management and various portfolio holdings of the Funds as of October 31, 2017. These views and portfolio holdings may have changed after this date. Information provided in the commentary is not a recommendation to buy or sell securities. Because the Funds’ portfolio is actively managed and may change significantly, the Funds may no longer own the securities described above or may have otherwise changed their positions in the securities. For more recent information about the Funds’ portfolio holdings, please visit www.lordabbett.com.
A Note about Risk: See Notes to Financial Statements for a discussion of investment risks. For a more detailed discussion of the risks associated with each Fund, please see each Fund’s prospectus.
Mutual funds are not insured by the FDIC, are not deposits or other obligations of, or guaranteed by, banks, and are subject to investment risks including possible loss of principal amount invested.
4
Micro Cap Growth Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Russell Microcap® Growth Index and the Russell Microcap® Index, assuming reinvestment of all dividends and distributions. The performance of the other class will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such class. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2017
| | 1 Year | 5 Years | 10 Years |
| Class A3 | 31.37% | 18.52% | 8.73% |
| Class I4 | 39.44% | 19.96% | 9.52% |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percent change in net asset value, after deduction of the maximum initial sales charge of 5.75%
applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2017, is calculated using the SEC required uniform method to compute such return.
4 Performance is at net asset value.
5
Micro Cap Value Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Russell Microcap® Value Index and the Russell Microcap® Index, assuming reinvestment of all dividends and distributions. The performance of the other class will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such class. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2017
| | 1 Year | 5 Years | 10 Years |
| Class A3 | 16.30% | 13.87% | 6.59% |
| Class I4 | 23.40% | 15.24% | 7.37% |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percent change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2017, is calculated using the SEC required uniform method to compute such return.
4 Performance is at net asset value.
6
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (these charges vary among the share classes); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (these charges vary among the share classes); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2017 through October 31, 2017).
Actual Expenses
For each class of each Fund, the first line of the tables on the following pages provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. 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 in the first line under the heading titled “Expenses Paid During Period 5/1/17 – 10/31/17” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
For each class of each Fund, the second line of the tables on the following pages provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
7
Micro Cap Growth Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | Beginning
Account
Value | | Ending
Account
Value | | Expenses
Paid During
Period† |
| | | 5/1/17 | | 10/31/17 | | 5/1/17 -
10/31/17 |
| Class A | | | | | | |
| Actual | | $1,000.00 | | $1,210.10 | | $9.14 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,016.94 | | $8.34 |
| Class I | | | | | | |
| Actual | | $1,000.00 | | $1,210.30 | | $9.14 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,016.94 | | $8.34 |
| † | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.64% for Classes A and I) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period). |
Portfolio Holdings Presented by Sector
October 31, 2017
| Sector* | %** | |
| Consumer Discretionary | 13.42 | % |
| Consumer Staples | 3.29 | % |
| Energy | 2.16 | % |
| Financials | 9.66 | % |
| Health Care | 31.60 | % |
| Industrials | 11.18 | % |
| Information Technology | 23.31 | % |
| Materials | 2.52 | % |
| Repurchase Agreement | 2.86 | % |
| Total | 100.00 | % |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
8
Micro Cap Value Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | Beginning
Account
Value | | Ending
Account
Value | | Expenses
Paid During
Period† |
| | | | | | | |
| | | 5/1/17 | | 10/31/17 | | 5/1/17 -
10/31/17 |
| Class A | | | | | | |
| Actual | | $1,000.00 | | $1,054.00 | | $8.49 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,016.94 | | $8.34 |
| Class I | | | | | | |
| Actual | | $1,000.00 | | $1,054.30 | | $8.49 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,016.94 | | $8.34 |
| † | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.64% for Classes A and I) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period). |
Portfolio Holdings Presented by Sector
October 31, 2017
| Sector* | %** | |
| Consumer Discretionary | 10.90 | % |
| Consumer Staples | 4.22 | % |
| Energy | 4.22 | % |
| Financials | 29.50 | % |
| Health Care | 2.19 | % |
| Industrials | 23.77 | % |
| Information Technology | 9.13 | % |
| Materials | 6.57 | % |
| Real Estate | 2.13 | % |
| Utilities | 6.09 | % |
| Repurchase Agreement | 1.28 | % |
| Total | 100.00 | % |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
9
Schedule of Investments
MICRO CAP GROWTH FUND October 31, 2017
| Investments | | Shares | | | Fair
Value
(000) | |
| COMMON STOCKS 97.38% | | | | | | |
| | | | | | | |
| Aerospace & Defense 0.93% | | | | | | |
| Aerovironment, Inc.* | | | 27,107 | | | $ | 1,387 | |
| | | | | | | | | |
| Air Freight & Logistics 1.84% | | | | | | | | |
| Air Transport Services Group, Inc.* | | | 113,187 | | | | 2,739 | |
| | | | | | | | | |
| Auto Components 0.77% | | | | | | | | |
| Fox Factory Holding Corp.* | | | 26,902 | | | | 1,145 | |
| | | | | | | | | |
| Banks 7.70% | | | | | | | | |
| Bridge Bancorp, Inc. | | | 32,402 | | | | 1,150 | |
| Bryn Mawr Bank Corp. | | | 29,483 | | | | 1,293 | |
| Byline Bancorp, Inc.* | | | 95,670 | | | | 1,918 | |
| CenterState Bank Corp. | | | 120,364 | | | | 3,207 | |
| Heritage Commerce Corp. | | | 79,370 | | | | 1,221 | |
| Live Oak Bancshares, Inc. | | | 49,091 | | | | 1,163 | |
| Pacific Premier Bancorp, Inc.* | | | 37,701 | | | | 1,523 | |
| Total | | | | | | | 11,475 | |
| | | | | | | | | |
| Beverages 2.08% | | | | | | | | |
| MGP Ingredients, Inc. | | | 45,568 | | | | 3,097 | |
| | | | | | | | | |
| Biotechnology 19.30% | | | | | | | | |
| Acceleron Pharma, Inc.* | | | 20,629 | | | | 804 | |
| Achaogen, Inc.* | | | 99,683 | | | | 1,268 | |
| Ascendis Pharma A/S ADR* | | | 61,379 | | | | 2,086 | |
| Blueprint Medicines Corp.* | | | 21,226 | | | | 1,410 | |
| Calithera Biosciences, Inc.* | | | 143,684 | | | | 2,313 | |
| Deciphera Pharmaceuticals, Inc.* | | | 65,741 | | | | 1,261 | |
| Dynavax Technologies Corp.* | | | 136,064 | | | | 2,993 | |
| Epizyme, Inc.* | | | 147,792 | | | | 2,468 | |
| Esperion Therapeutics, Inc.* | | | 56,049 | | | | 2,564 | |
| Five Prime Therapeutics, Inc.* | | | 34,491 | | | | 1,547 | |
| Foundation Medicine, Inc.* | | | 34,273 | | | | 1,542 | |
| Global Blood Therapeutics, Inc.* | | | 33,438 | | | | 1,331 | |
| Immunomedics, Inc.* | | | 245,986 | | | | 2,637 | |
| Loxo Oncology, Inc.* | | | 9,164 | | | | 790 | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Madrigal Pharmaceuticals, Inc.* | | | 24,962 | | | $ | 1,248 | |
| Repligen Corp.* | | | 16,309 | | | | 607 | |
| Spark Therapeutics, Inc.* | | | 8,525 | | | | 690 | |
| Xencor, Inc.* | | | 60,508 | | | | 1,197 | |
| Total | | | | | | | 28,756 | |
| | | | | | | | | |
| Building Products 2.24% | | | | | | | | |
| Builders FirstSource, Inc.* | | | 40,980 | | | | 739 | |
| Patrick Industries, Inc.* | | | 27,873 | | | | 2,592 | |
| Total | | | | | | | 3,331 | |
| | | | | | | | | |
| Capital Markets 1.98% | | | | | | | | |
| Greenhill & Co., Inc. | | | 29,797 | | | | 545 | |
| Hamilton Lane, Inc. Class A | | | 44,626 | | | | 1,227 | |
| Piper Jaffray Cos. | | | 16,142 | | | | 1,180 | |
| Total | | | | | | | 2,952 | |
| | | | | | | | | |
| Chemicals 0.49% | | | | | | | | |
| Ferro Corp.* | | | 30,665 | | | | 730 | |
| | | | | | | | | |
| Construction & Engineering 2.76% | | | | | | | | |
| NV5 Global, Inc.* | | | 70,661 | | | | 4,105 | |
| | | | | | | | | |
| Construction Materials 1.17% | | | | | | | | |
| U.S. Concrete, Inc.* | | | 22,264 | | | | 1,741 | |
| | | | | | | | | |
| Diversified Consumer Services 2.52% | | | | | | | | |
| Chegg, Inc.* | | | 176,723 | | | | 2,741 | |
| RISE Education Cayman Ltd. ADR* | | | 72,185 | | | | 1,021 | |
| Total | | | | | | | 3,762 | |
| | | | | | | | | |
| Electrical Equipment 1.61% | | | | | | | | |
| TPI Composites, Inc.* | | | 95,625 | | | | 2,395 | |
| | | | | | | | | |
| Electronic Equipment, Instruments & Components 2.36% |
| Control4 Corp.* | | | 81,416 | | | | 2,398 | |
| Mesa Laboratories, Inc. | | | 6,980 | | | | 1,113 | |
| Total | | | | | | | 3,511 | |
| 10 | See Notes to Financial Statements. | |
Schedule of Investments (continued)
MICRO CAP GROWTH FUND October 31, 2017
| Investments | | Shares | | | Fair
Value
(000) | |
| Energy Equipment & Services 1.07% | | | | | | | | |
| Solaris Oilfield Infrastructure, Inc. Class A* | | | 100,096 | | | $ | 1,598 | |
| | | | | | | | | |
| Food & Staples Retailing 1.22% | | | | | | | | |
| Chefs’ Warehouse, Inc. (The)* | | | 91,230 | | | | 1,820 | |
| | | | | | | | | |
| Health Care Equipment & Supplies 6.62% | | | | | | |
| AtriCure, Inc.* | | | 72,688 | | | | 1,559 | |
| Glaukos Corp.* | | | 20,783 | | | | 734 | |
| iRhythm Technologies, Inc.* | | | 73,268 | | | | 3,733 | |
| Sientra, Inc.* | | | 92,792 | | | | 1,360 | |
| Tactile Systems Technology, Inc.* | | | 86,474 | | | | 2,481 | |
| Total | | | | | | | 9,867 | |
| | | | | | | | | |
| Health Care Providers & Services 2.01% | | | | | |
| PetIQ, Inc.* | | | 89,166 | | | | 2,145 | |
| Tivity Health, Inc.* | | | 18,292 | | | | 846 | |
| Total | | | | | | | 2,991 | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure 0.99% | | | | | | | | |
| Del Taco Restaurants, Inc.* | | | 116,675 | | | | 1,481 | |
| | | | | | | | | |
| Household Durables 5.92% | | | | | | | | |
| Cavco Industries, Inc.* | | | 6,136 | | | | 963 | |
| LGI Homes, Inc.* | | | 63,854 | | | | 3,852 | |
| SodaStream International Ltd. (Israel)*(a) | | | 40,015 | | | | 2,548 | |
| Universal Electronics, Inc.* | | | 24,174 | | | | 1,450 | |
| Total | | | | | | | 8,813 | |
| | | | | | | | | |
| Internet & Direct Marketing Retail 0.60% | | | | | | |
| Overstock.com, Inc.* | | | 19,551 | | | | 897 | |
| | | | | | | | | |
| Internet Software & Services 11.96% | | | | | | | | |
| Alarm.com Holdings, Inc.* | | | 16,096 | | | | 751 | |
| Alteryx, Inc. Class A* | | | 74,178 | | | | 1,676 | |
| Appfolio, Inc. Class A* | | | 23,965 | | | | 1,100 | |
| Apptio, Inc. Class A* | | | 30,965 | | | | 751 | |
| Care.com, Inc.* | | | 223,565 | | | | 3,436 | |
| CommerceHub, Inc. Series A* | | | 47,045 | | | | 1,050 | |
| Five9, Inc.* | | | 147,517 | | | | 3,722 | |
| Instructure, Inc.* | | | 88,999 | | | | 3,097 | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Mimecast Ltd.* | | | 54,218 | | | $ | 1,724 | |
| MongoDB, Inc.* | | | 16,831 | | | | 513 | |
| Total | | | | | | | 17,820 | |
| | | | | | | | | |
| Leisure Products 1.91% | | | | | | | | |
| Malibu Boats, Inc. Class A* | | | 91,010 | | | | 2,839 | |
| | | | | | | | | |
| Life Sciences Tools & Services 0.55% | | | | | | | | |
| Pacific Biosciences of California, Inc.* | | | 194,114 | | | | 821 | |
| | | | | | | | | |
| Machinery 1.84% | | | | | | | | |
| NN, Inc. | | | 92,615 | | | | 2,737 | |
| | | | | | | | | |
| Metals & Mining 0.87% | | | | | | | | |
| Ryerson Holding Corp.* | | | 146,743 | | | | 1,291 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 1.09% | | | | | | | | |
| GasLog Ltd. (Monaco)(a) | | | 93,984 | | | | 1,621 | |
| | | | | | | | | |
| Pharmaceuticals 3.19% | | | | | | | | |
| Intersect ENT, Inc.* | | | 87,846 | | | | 2,605 | |
| MyoKardia, Inc.* | | | 55,711 | | | | 2,142 | |
| Total | | | | | | | 4,747 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 2.20% |
| CEVA, Inc.* | | | 50,962 | | | | 2,462 | |
| Impinj, Inc.* | | | 23,704 | | | | 809 | |
| Total | | | | | | | 3,271 | |
| | | | | | | | | |
| Software 6.85% | | | | | | | | |
| 8x8, Inc.* | | | 45,200 | | | | 603 | |
| Appian Corp.* | | | 97,985 | | | | 2,264 | |
| Everbridge, Inc.* | | | 111,570 | | | | 2,972 | |
| Materialise NV ADR* | | | 68,753 | | | | 1,068 | |
| Talend SA ADR* | | | 79,690 | | | | 3,300 | |
| Total | | | | | | | 10,207 | |
| | | | | | | | | |
| Specialty Retail 0.74% | | | | | | | | |
| At Home Group, Inc.* | | | 54,101 | | | | 1,109 | |
Total Common Stocks
(cost $108,857,967) | | | | | | | 145,056 | |
| | See Notes to Financial Statements. | 11 |
Schedule of Investments (concluded)
MICRO CAP GROWTH FUND October 31, 2017
| Investments | | | Principal
Amount
(000) | | | | Fair
Value
(000) | |
| SHORT-TERM INVESTMENT 2.87% | | | | | | | | |
| | | | | | | | | |
| Repurchase Agreement | | | | | | | | |
Repurchase Agreement dated 10/31/2017, 0.12% due 11/1/2017 with Fixed Income Clearing Corp. collateralized by $4,360,000 of Federal Home Loan Banks at 1.25% due 1/16/2019; value: $4,361,801; proceeds: $4,275,405
(cost $4,275,390) | | | $4,275 | | | $ | 4,275 | |
Total Investments in Securities 100.25%
(cost $113,133,357) | | | | | | | 149,331 | |
| Liabilities in Excess of Other Assets (0.25)% | | | | | | | (370 | ) |
| Net Assets 100.00% | | | | | | $ | 148,961 | |
| ADR | | American Depositary Receipt. |
| | | |
| * | | Non-income producing security. |
| (a) | | Foreign security traded in U.S. dollars. |
The following is a summary of the inputs used as of October 31, 2017 in valuing the Fund’s investments carried at fair value(1):
| Investment Type(2)(3) | | Level 1
(000) | | | Level 2
(000) | | | Level 3
(000) | | | Total
(000) | |
| Common Stocks | | $ | 145,056 | | | $ | – | | | $ | – | | | $ | 145,056 | |
| Repurchase Agreement | | | – | | | | 4,275 | | | | – | | | | 4,275 | |
| Total | | $ | 145,056 | | | $ | 4,275 | | | $ | – | | | $ | 149,331 | |
| (1) | | Refer to Note 2(g) for a description of fair value measurements and the three-tier hierarchy of inputs. |
| (2) | | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
| (3) | | There were no Level 1/Level 2 transfers during the fiscal year ended October 31, 2017. |
| 12 | See Notes to Financial Statements. | |
Schedule of Investments
MICRO CAP VALUE FUND October 31, 2017
| Investments | | Shares | | | Fair
Value
(000) | |
| COMMON STOCKS 99.09% | | | | | | | | |
| | | | | | | | | |
| Auto Components 0.51% | | | | | | | | |
| Modine Manufacturing Co.* | | | 34,257 | | | $ | 721 | |
| | | | | | | | | |
| Banks 22.96% | | | | | | | | |
| Ameris Bancorp | | | 55,025 | | | | 2,636 | |
| Byline Bancorp, Inc.* | | | 163,079 | | | | 3,270 | |
| CenterState Bank Corp. | | | 177,575 | | | | 4,731 | |
| FB Financial Corp.* | | | 148,937 | | | | 6,087 | |
| First Merchants Corp. | | | 107,621 | | | | 4,628 | |
| National Commerce Corp.* | | | 170,241 | | | | 6,937 | |
| Seacoast Banking Corp. of Florida* | | | 179,407 | | | | 4,447 | |
| Total | | | | | | | 32,736 | |
| | | | | | | | | |
| Beverages 4.24% | | | | | | | | |
| Cott Corp. (Canada)(a) | | | 402,730 | | | | 6,041 | |
| | | | | | | | | |
| Building Products 5.15% | | | | | | | | |
| Advanced Drainage Systems, Inc. | | | 72,151 | | | | 1,410 | |
| American Woodmark Corp.* | | | 32,525 | | | | 3,142 | |
| Gibraltar Industries, Inc.* | | | 84,019 | | | | 2,794 | |
| Total | | | | | | | 7,346 | |
| | | | | | | | | |
| Capital Markets 1.81% | | | | | | | | |
| Donnelley Financial Solutions, Inc.* | | | 120,214 | | | | 2,584 | |
| | | | | | | | | |
| Chemicals 3.22% | | | | | | | | |
| Chase Corp. | | | 38,600 | | | | 4,584 | |
| | | | | | | | | |
| Commercial Services & Supplies 1.90% | | | | | | | |
| SP Plus Corp.* | | | 70,084 | | | | 2,716 | |
| | | | | | | | | |
| Communications Equipment 1.06% | | | | | | | | |
| Plantronics, Inc. | | | 33,160 | | | | 1,504 | |
| | | | | | | | | |
| Construction & Engineering 2.18% | | | | | | | | |
| Primoris Services Corp. | | | 110,145 | | | | 3,114 | |
| | | | | | | | | |
| Consumer Finance 2.57% | | | | | | | | |
| EZCORP, Inc. Class A* | | | 356,792 | | | | 3,657 | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Electrical Equipment 1.21% | | | | | | | | |
| AZZ, Inc. | | | 36,000 | | | $ | 1,721 | |
| | | | | | | | | |
| Electronic Equipment, Instruments & Components 6.32% | |
| Orbotech Ltd. (Israel)*(a) | | | 80,639 | | | | 3,606 | |
| Vishay Precision Group, Inc.* | | | 220,013 | | | | 5,401 | |
| Total | | | | | | | 9,007 | |
| | | | | | | | | |
| Equity Real Estate Investment Trusts 0.99% | | | | | |
| Physicians Realty Trust | | | 81,599 | | | | 1,418 | |
| | | | | | | | | |
| Gas Utilities 2.88% | | | | | | | | |
| Chesapeake Utilities Corp. | | | 51,000 | | | | 4,108 | |
| | | | | | | | | |
| Health Care Equipment & Supplies 1.22% | | | | | |
| CONMED Corp. | | | 33,252 | | | | 1,736 | |
| | | | | | | | | |
| Health Care Providers & Services 0.98% | | | | | | |
| Providence Service Corp. (The)* | | | 25,091 | | | | 1,395 | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure 4.15% | | | | | | | | |
| Denny’s Corp.* | | | 272,676 | | | | 3,564 | |
| El Pollo Loco Holdings, Inc.* | | | 204,339 | | | | 2,350 | |
| Total | | | | | | | 5,914 | |
| | | | | | | | | |
| Household Durables 1.15% | | | | | | | | |
| Ethan Allen Interiors, Inc. | | | 55,289 | | | | 1,645 | |
| | | | | | | | | |
| Internet Software & Services 0.80% | | | | | | | | |
| Telaria, Inc.* | | | 254,037 | | | | 1,141 | |
| | | | | | | | | |
| Machinery 5.27% | | | | | | | | |
| Columbus McKinnon Corp. | | | 19,482 | | | | 771 | |
| Federal Signal Corp. | | | 187,841 | | | | 4,010 | |
| Milacron Holdings Corp.* | | | 151,876 | | | | 2,726 | |
| Total | | | | | | | 7,507 | |
| | | | | | | | | |
| Media 2.73% | | | | | | | | |
| IMAX Corp. (Canada)*(a) | | | 160,257 | | | | 3,886 | |
| | | | | | | | | |
| Metals & Mining 0.70% | | | | | | | | |
| TimkenSteel Corp.* | | | 70,915 | | | | 993 | |
| | See Notes to Financial Statements. | 13 |
Schedule of Investments (continued)
MICRO CAP VALUE FUND October 31, 2017
| Investments | | Shares | | | Fair
Value
(000) | |
| Oil, Gas & Consumable Fuels 4.23% | | | | | | | | |
| Carrizo Oil & Gas, Inc.* | | | 77,382 | | | $ | 1,369 | |
| Centennial Resource Development, Inc. Class A* | | | 154,481 | | | | 3,002 | |
| Parsley Energy, Inc. Class A* | | | 33,422 | | | | 889 | |
| Rice Energy, Inc.* | | | 27,275 | | | | 773 | |
| Total | | | | | | | 6,033 | |
| | | | | | | | | |
| Paper & Forest Products 2.68% | | | | | | | | |
| Neenah Paper, Inc. | | | 44,087 | | | | 3,827 | |
| | | | | | | | | |
| Professional Services 2.95% | | | | | | | | |
| ICF International, Inc.* | | | 65,548 | | | | 3,520 | |
| Mistras Group, Inc.* | | | 32,844 | | | | 690 | |
| Total | | | | | | | 4,210 | |
| | | | | | | | | |
| Real Estate Management & Development 1.14% | | | | | |
| RE/MAX Holdings, Inc. Class A | | | 24,500 | | | | 1,629 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 0.99% | |
| MaxLinear, Inc.* | | | 57,942 | | | | 1,418 | |
| | | | | | | | | |
| Textiles, Apparel & Luxury Goods 2.41% | | | | | | |
| Oxford Industries, Inc. | | | 53,175 | | | | 3,435 | |
| | | | | | | | | |
| Thrifts & Mortgage Finance 2.27% | | | | | | | | |
| OceanFirst Financial Corp. | | | 116,368 | | | | 3,229 | |
| | | | | | | | | |
| Trading Companies & Distributors 5.19% | | | | | |
| Lawson Products, Inc.* | | | 180,276 | | | | 4,534 | |
| Rush Enterprises, Inc. Class A* | | | 56,300 | | | | 2,859 | |
| Total | | | | | | | 7,393 | |
| | | | | | | | | |
| Water Utilities 3.23% | | | | | | | | |
| Connecticut Water Service, Inc. | | | 74,300 | | | | 4,608 | |
Total Common Stocks
(cost $103,047,244) | | | | | | | 141,256 | |
| Investments | | Principal
Amount
(000) | | | Fair
Value
(000) | |
| SHORT-TERM INVESTMENT 1.29% | | | | | | | | |
| | | | | | | | | |
| Repurchase Agreement | | | | | | | | |
Repurchase Agreement dated 10/31/2017, 0.12% due 11/1/2017 with Fixed Income Clearing Corp. collateralized by $1,885,000 of Federal Home Loan Mortgage Corp. at 1.25% due 10/2/2019; value: $1,873,439; proceeds: $1,832,997
(cost $1,832,991) | | | $1,833 | | | $ | 1,833 | |
Total Investments in Securities 100.38%
(cost $104,880,235) | | | | | | | 143,089 | |
| Liabilities in Excess of Other Assets (0.38)% | | | | | | | (539 | ) |
| Net Assets 100.00% | | | | | | $ | 142,550 | |
| * | | Non-income producing security. |
| (a) | | Foreign security traded in U.S. dollars. |
| 14 | See Notes to Financial Statements. | |
Schedule of Investments (concluded)
MICRO CAP VALUE FUND October 31, 2017
The following is a summary of the inputs used as of October 31, 2017 in valuing the Fund’s investments carried at fair value(1):
| Investment Type(2)(3) | | Level 1
(000) | | | Level 2
(000) | | | Level 3
(000) | | | Total
(000) | |
| Common Stocks | | $ | 141,256 | | | $ | – | | | $ | – | | | $ | 141,256 | |
| Repurchase Agreement | | | – | | | | 1,833 | | | | – | | | | 1,833 | |
| Total | | $ | 141,256 | | | $ | 1,833 | | | $ | – | | | $ | 143,089 | |
| (1) | Refer to Note 2(g) for a description of fair value measurements and the three-tier hierarchy of inputs. |
| (2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
| (3) | There were no Level 1/Level 2 transfers during the fiscal year ended October 31, 2017. |
| | See Notes to Financial Statements. | 15 |
Statements of Assets and Liabilities
October 31, 2017
| | | Micro Cap
Growth Fund | | | Micro Cap
Value Fund | |
| ASSETS: | | | | | | | | |
| Investments in securities, at cost | | $ | 113,133,357 | | | $ | 104,880,235 | |
| Investments in securities, at fair value | | $ | 149,331,471 | | | $ | 143,089,317 | |
| Receivables: | | | | | | | | |
| Investment securities sold | | | 995,282 | | | | 1,196,680 | |
| Capital shares sold | | | 368,205 | | | | 1,068 | |
| Interest and dividends | | | 6,500 | | | | 6,668 | |
| Prepaid expenses | | | 8,346 | | | | 16,233 | |
| Total assets | | | 150,709,804 | | | | 144,309,966 | |
| LIABILITIES: | | | | | | | | |
| Payables: | | | | | | | | |
| Investment securities purchased | | | 1,481,152 | | | | 1,505,493 | |
| Management fee | | | 190,621 | | | | 182,170 | |
| Trustees’ fees | | | 19,418 | | | | 20,973 | |
| Fund administration | | | 5,083 | | | | 4,858 | |
| Accrued expenses | | | 52,197 | | | | 46,051 | |
| Total liabilities | | | 1,748,471 | | | | 1,759,545 | |
| NET ASSETS | | $ | 148,961,333 | | | $ | 142,550,421 | |
| COMPOSITION OF NET ASSETS: | | | | | | | | |
| Paid-in capital | | $ | 94,784,115 | | | $ | 82,021,211 | |
| Accumulated net investment loss | | | (1,605,397 | ) | | | (1,093,723 | ) |
| Accumulated net realized gain on investments | | | 19,584,501 | | | | 23,413,851 | |
| Net unrealized appreciation on investments | | | 36,198,114 | | | | 38,209,082 | |
| Net Assets | | $ | 148,961,333 | | | $ | 142,550,421 | |
| Net assets by class: | | | | | | | | |
| Class A Shares | | $ | 9,892,934 | | | $ | 6,698,194 | |
| Class I Shares | | $ | 139,068,399 | | | $ | 135,852,227 | |
Outstanding shares by class
(unlimited number of authorized shares of beneficial interest) | | | | | | | | |
| Class A Shares | | | 541,688 | | | | 191,810 | |
| Class I Shares | | | 7,022,427 | | | | 3,719,106 | |
Net asset value, offering and redemption price per share
(Net assets divided by outstanding shares): | | | | | | | | |
| Class A Shares-Net asset value | | | $18.26 | | | | $34.92 | |
Class A Shares-Maximum offering price
(Net asset value plus sales charge of 5.75%) | | | $19.37 | | | | $37.05 | |
| Class I Shares-Net asset value | | | $19.80 | | | | $36.53 | |
| 16 | See Notes to Financial Statements. | |
Statements of Operations
For the Year Ended October 31, 2017
| | | Micro Cap
Growth Fund | | | Micro Cap
Value Fund | |
| Investment income: | | | | | | | | |
| Dividends (net of foreign withholding taxes of $0 and $10,648, respectively) | | $ | 458,102 | | | $ | 1,226,921 | |
| Interest | | | 1,502 | | | | 2,952 | |
| Total investment income | | | 459,604 | | | | 1,229,873 | |
| Expenses: | | | | | | | | |
| Management fee | | | 2,197,776 | | | | 2,143,323 | |
| Fund administration | | | 58,607 | | | | 57,155 | |
| Professional | | | 46,978 | | | | 47,178 | |
| Registration | | | 36,510 | | | | 36,510 | |
| Subsidy (See Note 3) | | | 34,244 | | | | 36,077 | |
| Shareholder servicing | | | 27,675 | | | | 21,116 | |
| Custody | | | 16,210 | | | | 8,014 | |
| Reports to shareholders | | | 10,987 | | | | 10,552 | |
| Trustees’ fees | | | 4,618 | | | | 4,500 | |
| Other | | | 16,809 | | | | 15,600 | |
| Gross expenses | | | 2,450,414 | | | | 2,380,025 | |
| Expense reductions (See Note 8) | | | (273 | ) | | | (243 | ) |
| Net expenses | | | 2,450,141 | | | | 2,379,782 | |
| Net investment loss | | | (1,990,537 | ) | | | (1,149,909 | ) |
| Net realized and unrealized gain: | | | | | | | | |
| Net realized gain on investments | | | 34,042,439 | | | | 24,577,437 | |
| Net change in unrealized appreciation on investments | | | 16,745,417 | | | | 7,536,867 | |
| Net realized and unrealized gain | | | 50,787,856 | | | | 32,114,304 | |
| Net Increase in Net Assets Resulting From Operations | | $ | 48,797,319 | | | $ | 30,964,395 | |
| | See Notes to Financial Statements. | 17 |
Statements of Changes in Net Assets
| | | Micro Cap Growth Fund | |
| INCREASE (DECREASE) IN NET ASSETS | | For the Year Ended
October 31, 2017 | | | For the Year Ended
October 31, 2016 | |
| Operations: | | | | | | | | |
| Net investment loss | | $ | (1,990,537 | ) | | $ | (2,194,140 | ) |
| Net realized gain (loss) on investments | | | 34,042,439 | | | | (8,433,042 | ) |
| Net change in unrealized appreciation on investments | | | 16,745,417 | | | | 10,862,323 | |
| Net increase in net assets resulting from operations | | | 48,797,319 | | | | 235,141 | |
| Distributions to shareholders from: | | | | | | | | |
| Net realized gain | | | | | | | | |
| Class A | | | – | | | | (1,849,104 | ) |
| Class I | | | – | | | | (25,030,822 | ) |
| Total distributions to shareholders | | | – | | | | (26,879,926 | ) |
| Capital share transactions (See Note 13): | | | | | | | | |
| Net proceeds from sales of shares | | | 3,753,376 | | | | 16,014,661 | |
| Reinvestment of distributions | | | – | | | | 24,413,579 | |
| Cost of shares reacquired | | | (44,117,410 | ) | | | (22,671,609 | ) |
| Net increase (decrease) in net assets resulting from capital share transactions | | | (40,364,034 | ) | | | 17,756,631 | |
| Net increase (decrease) in net assets | | | 8,433,285 | | | | (8,888,154 | ) |
| NET ASSETS: | | | | | | | | |
| Beginning of year | | $ | 140,528,048 | | | $ | 149,416,202 | |
| End of year | | $ | 148,961,333 | | | $ | 140,528,048 | |
| Accumulated net investment loss | | $ | (1,605,397 | ) | | $ | (1,884,795 | ) |
| 18 | See Notes to Financial Statements. | |
Statements of Changes in Net Assets (concluded)
| | | Micro Cap Value Fund |
| | | For the Year Ended | | | For the Year Ended | |
| INCREASE (DECREASE) IN NET ASSETS | | October 31, 2017 | | | October 31, 2016 | |
| Operations: | | | | | | | | |
| Net investment loss | | $ | (1,149,909 | ) | | $ | (1,047,902 | ) |
| Net realized gain on investments | | | 24,577,437 | | | | 25,081,519 | |
| Net change in unrealized appreciation/depreciation on investments | | | 7,536,867 | | | | (10,270,838 | ) |
| Net increase in net assets resulting from operations | | | 30,964,395 | | | | 13,762,779 | |
| Distributions to shareholders from: | | | | | | | | |
| Net realized gain | | | | | | | | |
| Class A | | | (1,086,361 | ) | | | (408,358 | ) |
| Class I | | | (22,696,813 | ) | | | (3,480,090 | ) |
| Total distributions to shareholders | | | (23,783,174 | ) | | | (3,888,448 | ) |
| Capital share transactions (See Note 13): | | | | | | | | |
| Net proceeds from sales of shares | | | 3,325,605 | | | | 2,300,457 | |
| Reinvestment of distributions | | | 22,147,858 | | | | 3,680,664 | |
| Cost of shares reacquired | | | (31,457,029 | ) | | | (44,750,858 | ) |
| Net decrease in net assets resulting from capital share transactions | | | (5,983,566 | ) | | | (38,769,737 | ) |
| Net increase (decrease) in net assets | | | 1,197,655 | | | | (28,895,406 | ) |
| NET ASSETS: | | | | | | | | |
| Beginning of year | | $ | 141,352,766 | | | $ | 170,248,172 | |
| End of year | | $ | 142,550,421 | | | $ | 141,352,766 | |
| Accumulated net investment loss | | $ | (1,093,723 | ) | | $ | (1,073,224 | ) |
| | | |
| | See Notes to Financial Statements. | 19 |
Financial Highlights
MICRO CAP GROWTH FUND
| | | | | | Per Share Operating Performance: | | | | |
| | | | | | Investment operations: | | | Distributions
to
shareholders
from: | | | |
| | | Net asset
value,
beginning of
period | | Net
investment
loss(a) | | Net
realized and
unrealized
gain | | Total from
investment
operations | | Net
realized
gain | | Net asset
value,
end of
period |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | $ | 13.09 | | | $ | (0.21 | ) | | $ | 5.38 | | | $ | 5.17 | | | $ | – | | | $ | 18.26 | |
| 10/31/2016 | | | 16.33 | | | | (0.19 | ) | | | 0.15 | | | | (0.04 | ) | | | (3.20 | ) | | | 13.09 | |
| 10/31/2015 | | | 18.56 | | | | (0.30 | ) | | | 0.42 | | | | 0.12 | | | | (2.35 | ) | | | 16.33 | |
| 10/31/2014 | | | 22.57 | | | | (0.28 | ) | | | 2.27 | | | | 1.99 | | | | (6.00 | ) | | | 18.56 | |
| 10/31/2013 | | | 14.03 | | | | (0.29 | ) | | | 8.94 | | | | 8.65 | | | | (0.11 | ) | | | 22.57 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 14.20 | | | | (0.23 | ) | | | 5.83 | | | | 5.60 | | | | – | | | | 19.80 | |
| 10/31/2016 | | | 17.45 | | | | (0.21 | ) | | | 0.16 | | | | (0.05 | ) | | | (3.20 | ) | | | 14.20 | |
| 10/31/2015 | | | 19.67 | | | | (0.32 | ) | | | 0.45 | | | | 0.13 | | | | (2.35 | ) | | | 17.45 | |
| 10/31/2014 | | | 23.57 | | | | (0.29 | ) | | | 2.39 | | | | 2.10 | | | | (6.00 | ) | | | 19.67 | |
| 10/31/2013 | | | 14.64 | | | | (0.29 | ) | | | 9.33 | | | | 9.04 | | | | (0.11 | ) | | | 23.57 | |
| | |
| (a) | Calculated using average shares outstanding during the period. |
| (b) | Total return for Class A does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
| | |
| 20 | See Notes to Financial Statements. |
| | | Ratios to Average Net Assets: | | Supplemental Data: | |
| | | | | | |
Total
return(b)
(%) | | Total
expenses
(%) | | Net
investment
loss
(%) | | Net assets,
end of
period
(000) | | Portfolio
turnover
rate
(%) | |
| | | | | | | | | | | | | | | | | | | | |
| | 39.39 | | | | 1.67 | | | | (1.36 | ) | | $ | 9,893 | | | | 105 | | |
| | (1.30 | ) | | | 1.81 | | | | (1.52 | ) | | | 7,416 | | | | 161 | | |
| | 0.65 | | | | 1.80 | | | | (1.64 | ) | | | 13,280 | | | | 203 | | |
| | 10.57 | | | | 1.78 | | | | (1.50 | ) | | | 12,881 | | | | 208 | | |
| | 62.14 | | | | 1.85 | | | | (1.64 | ) | | | 11,220 | | | | 198 | | |
| | | | | | | | | | | | | | | | | | | | |
| | 39.44 | | | | 1.67 | | | | (1.36 | ) | | | 139,068 | | | | 105 | | |
| | (1.39 | ) | | | 1.81 | | | | (1.52 | ) | | | 133,112 | | | | 161 | | |
| | 0.71 | | | | 1.80 | | | | (1.63 | ) | | | 136,136 | | | | 203 | | |
| | 10.58 | | | | 1.78 | | | | (1.50 | ) | | | 156,657 | | | | 208 | | |
| | 62.22 | | | | 1.81 | | | | (1.60 | ) | | | 140,967 | | | | 198 | | |
| | | |
| | See Notes to Financial Statements. | 21 |
Financial Highlights
MICRO CAP VALUE FUND
| | | | | Per Share Operating Performance: |
| | | | | Investment operations: | | Distributions to
shareholders from: |
| | | Net asset
value,
beginning
of period | | Net
invest-
ment
loss(a) | | Net
realized
and
unrealized
gain | | Total
from
invest-
ment
opera-
tions | | Net
investment
income | | Net
realized
gain | | Total
distri-
butions |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | $ | 33.65 | | | $ | (0.27 | ) | | $ | 7.56 | | | $ | 7.29 | | | $ | – | | | $ | (6.02 | ) | | $ | (6.02 | ) |
| 10/31/2016 | | | 31.34 | | | | (0.22 | ) | | | 3.27 | | | | 3.05 | | | | – | | | | (0.74 | ) | | | (0.74 | ) |
| 10/31/2015 | | | 34.19 | | | | (0.26 | ) | | | 1.00 | | | | 0.74 | | | | – | | | | (3.59 | ) | | | (3.59 | ) |
| 10/31/2014 | | | 34.74 | | | | (0.23 | ) | | | 3.84 | | | | 3.61 | | | | – | | | | (4.16 | ) | | | (4.16 | ) |
| 10/31/2013 | | | 26.52 | | | | (0.10 | ) | | | 8.32 | | | | 8.22 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10/31/2017 | | | 34.95 | | | | (0.28 | ) | | | 7.88 | | | | 7.60 | | | | – | | | | (6.02 | ) | | | (6.02 | ) |
| 10/31/2016 | | | 32.52 | | | | (0.23 | ) | | | 3.40 | | | | 3.17 | | | | – | | | | (0.74 | ) | | | (0.74 | ) |
| 10/31/2015 | | | 35.34 | | | | (0.27 | ) | | | 1.04 | | | | 0.77 | | | | – | | | | (3.59 | ) | | | (3.59 | ) |
| 10/31/2014 | | | 35.77 | | | | (0.26 | ) | | | 3.99 | | | | 3.73 | | | | – | | | | (4.16 | ) | | | (4.16 | ) |
| 10/31/2013 | | | 27.32 | | | | (0.09 | ) | | | 8.56 | | | | 8.47 | | | | (0.02 | ) | | | – | | | | (0.02 | ) |
| | |
| (a) | Calculated using average shares outstanding during the period. |
| (b) | Total return for Class A does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
| | |
| 22 | See Notes to Financial Statements. |
| | | | | Ratios to Average Net Assets: | | Supplemental Data: | |
| | | | | | | | |
Net asset
value,
end of
period | | Total
return(b)
(%) | | Total
expenses
(%) | | Net
investment
loss
(%) | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate
(%) | |
| | | | | | | | | | | | |
| $ | 34.92 | | | | 23.38 | | | | 1.66 | | | | (0.81 | ) | | $ | 6,698 | | | | 48 | | |
| | 33.65 | | | | 10.00 | | | | 1.80 | | | | (0.71 | ) | | | 6,083 | | | | 52 | | |
| | 31.34 | | | | 2.79 | | | | 1.79 | | | | (0.86 | ) | | | 17,198 | | | | 70 | | |
| | 34.19 | | | | 11.16 | | | | 1.76 | | | | (0.68 | ) | | | 20,028 | | | | 60 | | |
| | 34.74 | | | | 31.00 | | | | 1.82 | | | | (0.34 | ) | | | 32,010 | | | | 74 | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 36.53 | | | | 23.40 | | | | 1.66 | | | | (0.80 | ) | | | 135,852 | | | | 48 | | |
| | 34.95 | | | | 9.97 | | | | 1.80 | | | | (0.72 | ) | | | 135,269 | | | | 52 | | |
| | 32.52 | | | | 2.81 | | | | 1.79 | | | | (0.86 | ) | | | 153,050 | | | | 70 | | |
| | 35.34 | | | | 11.18 | | | | 1.77 | | | | (0.74 | ) | | | 146,813 | | | | 60 | | |
| | 35.77 | | | | 31.02 | | | | 1.78 | | | | (0.29 | ) | | | 128,093 | | | | 74 | | |
| | | |
| | See Notes to Financial Statements. | 23 |
Notes to Financial Statements
Lord Abbett Securities Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company and was organized as a Delaware statutory trust on February 26, 1993. The Trust currently consists of ten funds. This report covers the following two funds (separately, a “Fund” and collectively, the “Funds”) and their respective classes: Lord Abbett Micro-Cap Growth Fund (“Micro Cap Growth Fund”), Class A and I shares and Lord Abbett Micro-Cap Value Fund (“Micro Cap Value Fund”), Class A and I shares. The investment objective of both Micro Cap Growth Fund and Micro Cap Value Fund is long-term capital appreciation.
Each class of shares has different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. A contingent deferred sales charge (“CDSC”) may apply to certain redemptions of Class A shares purchased without a sales charge and redeemed before the first day of the month in which the one-year anniversary of the purchase falls (subject to certain exceptions as set forth in each Fund’s prospectus). Class I shares are not subject to any sales charges.
The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make certain 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Funds are considered investment companies under U.S. GAAP and follow the accounting and reporting guidance applicable to investment companies.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
| (a) | Investment Valuation–Under procedures approved by the Funds’ Board of Trustees (the “Board”), Lord, Abbett & Co. LLC (“Lord Abbett”), the Funds’ investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Funds to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value. |
| | |
| | Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange. Each Fund may utilize an independent fair valuation service in adjusting the valuations of foreign securities. Unlisted equity securities are valued at the last quoted sale price or, if no sale price is available, at the mean between the most recently quoted bid and asked prices. |
| | |
| | Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information to determine the fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by |
24
Notes to Financial Statements (continued)
| | the Pricing Committee and may employ techniques such as reviewing related market activity, reviewing inputs and assumptions, and retrospectively comparing prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee. |
| | |
| | Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. |
| | |
| (b) | Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
| | |
| (c) | Investment Income–Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest and other income on the Statements of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates. Investment income is allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
| | |
| (d) | Income Taxes–It is the policy of each Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required. |
| | |
| | Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s filed U.S. federal tax returns remains open for the fiscal years ended October 31, 2014 through October 31, 2017. The statutes of limitations on the Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. |
| | |
| (e) | Expenses–Expenses incurred by the Trust that do not specifically relate to an individual fund are generally allocated to the Funds within the Trust on a pro rata basis by relative net assets. Expenses incurred by the Funds are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
| | |
| (f) | Repurchase Agreements–Each Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. Each Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, a Fund may incur a loss upon disposition of the securities. |
| | |
| (g) | Fair Value Measurements–Fair value is defined as the price that each Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used |
25
Notes to Financial Statements (continued)
| | to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk—for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy classification is determined based on the lowest level of inputs that is significant to the fair value measurement, and is summarized in the three broad Levels listed below: |
| | |
| • | Level 1 – | unadjusted quoted prices in active markets for identical investments; |
| | | |
| • | Level 2 – | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and |
| | | |
| • | Level 3 – | significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments). |
| | | |
| | A summary of inputs used in valuing each Fund’s investments as of October 31, 2017 and, if applicable, Level 1/Level 2 transfers and Level 3 rollforwards for the fiscal year then ended is included in each Fund’s Schedule of Investments. |
| | |
| | Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. All transfers between different levels within the three-tier hierarchy are deemed to have occurred as of the beginning of the reporting period. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. |
| | |
| 3. | MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES |
Management Fee
The Trust has a management agreement with Lord Abbett, pursuant to which Lord Abbett supplies each Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of each Fund’s investment portfolio.
The management fee is based on each Fund’s average daily net assets at an annual rate of 1.50%, which was each Fund’s annualized effective management fee rate for the fiscal year ended October 31, 2017.
In addition, Lord Abbett provides certain administrative services to each Fund pursuant to an Administrative Services Agreement in return for a fee at an annual rate of .04% of each Fund’s average daily net assets.
12b-1 Distribution Plan
Each Fund has adopted a distribution plan with respect to Class A shares pursuant to Rule 12b-1 under the Act under which the Board may authorize the payment of ongoing distribution and service fees to Lord Abbett Distributor LLC (the “Distributor”), an affiliate of Lord Abbett. During the fiscal year ended October 31, 2017, the Board did not authorize such Class A 12b-1 fees.
26
Notes to Financial Statements (continued)
Class I shares do not have a distribution plan.
Two Trustees and certain of the Trust’s officers have an interest in Lord Abbett.
Other Related Parties
Each Fund, along with certain other funds managed by Lord Abbett (collectively, the “Underlying Funds”), entered into a Servicing Arrangement with Lord Abbett Alpha Strategy Fund (“Alpha Strategy Fund”) of the Trust, pursuant to which each Underlying Fund paid a portion of the expenses (excluding management fees, fund administration fees, and distribution and service fees) of Alpha Strategy Fund in proportion to the average daily value of the Underlying Fund shares owned by Alpha Strategy Fund. Amounts paid pursuant to the Servicing Arrangement are included in Subsidy expense on each Fund’s Statement of Operations and Payable to affiliate on each Fund’s Statement of Assets and Liabilities. Effective January 1, 2017, the Board approved the discontinuation of the Servicing Arrangement with Fund of Funds managed by Lord Abbett. As a result, each Fund of Funds will bear its expenses fully and each of the Underlying Funds will no longer pay a portion of Fund of Funds expenses.
As of October 31, 2017, the percentages of Micro Cap Growth Fund’s and Micro Cap Value Fund’s outstanding shares owned by Lord Abbett Alpha Strategy Fund were 74.77% and 78.79%, respectively.
| 4. | DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS |
Dividends from net investment income, if any, are declared and paid at least annually for each fund. Taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amounts of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions, which exceed earnings and profits for tax purposes, are reported as a tax return of capital.
The tax character of distributions paid during the fiscal years ended October 31, 2017 and October 31, 2016 were as follows:
| | | Micro Cap Growth Fund | | | Micro Cap Value Fund | |
| | | Year Ended
10/31/2017 | | | Year Ended
10/31/2016 | | | Year Ended
10/31/2017 | | | Year Ended
10/31/2016 | |
| Distributions paid from: | | | | | | | | | | | | |
| Ordinary income | | $ | – | | | $ | 6,650,591 | | | $ | 1,862,576 | | | $ | – | |
| Net long-term capital gains | | | – | | | | 20,229,335 | | | | 21,920,598 | | | | 3,888,448 | |
| Total distributions paid | | $ | – | | | $ | 26,879,926 | | | $ | 23,783,174 | | | $ | 3,888,448 | |
Subsequent to the Funds’ fiscal year ended October 31, 2017, year-end distributions were paid. The approximate amounts were as follows:
| | | Short-Term
Capital Gain | | | Long-Term
Capital Gain | | | Record Date | | Ex-Date |
| Micro Cap Growth Fund | | $ | 1,220,000 | | | $ | 19,199,000 | | | November 20, 2017 | | November 21, 2017 |
| Micro Cap Value Fund | | | 2,489,000 | | | | 21,103,000 | | | November 20, 2017 | | November 21, 2017 |
27
Notes to Financial Statements (continued)
As of October 31, 2017, the components of accumulated losses on a tax-basis were as follows:
| | | Micro Cap | | | Micro Cap | |
| | | Growth Fund | | | Value Fund | |
| Undistributed ordinary income – net | | $ | 1,218,924 | | | $ | 2,488,442 | |
| Undistributed long-term capital gains | | | 19,197,823 | | | | 21,102,484 | |
| Total undistributed earnings | | | 20,416,747 | | | | 23,590,926 | |
| Temporary differences | | | (1,605,397 | ) | | | (1,093,723 | ) |
| Unrealized gains – net | | | 35,365,868 | | | | 38,032,007 | |
| Total accumulated gains – net | | $ | 54,177,218 | | | $ | 60,529,210 | |
At each Fund’s election, certain losses incurred within the taxable year (Qualified Late-Year Losses) are deemed to arise on the first business day of the Fund’s next taxable year. Each Fund incurred and will elect to defer late-year ordinary losses during fiscal 2017 as follows:
| Micro Cap Growth Fund | | $ | 1,585,979 | |
| Micro Cap Value Fund | | | 1,072,750 | |
As of October 31, 2017, the aggregate unrealized security gains and losses based on investments and other financial instruments for U.S. federal income tax purposes were as follows:
| | | Micro Cap | | | Micro Cap | |
| | | Growth Fund | | | Value Fund | |
| Tax cost | | $ | 113,965,603 | | | $ | 105,057,310 | |
| Gross unrealized gain | | | 38,928,695 | | | | 38,898,838 | |
| Gross unrealized loss | | | (3,562,827 | ) | | | (866,831 | ) |
| Net unrealized security gain | | $ | 35,365,868 | | | $ | 38,032,007 | |
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of wash sales.
Permanent items identified during the fiscal year ended October 31, 2017 have been reclassified among the components of net assets based on their tax basis treatment as follows:
| | | Accumulated | | | Accumulated | | | | |
| | | Net Investment | | | Net Realized | | | Paid-in | |
| | | Loss | | | Gain | | | Capital | |
| Micro Cap Growth Fund | | $ | 2,269,935 | | | $ | (2,268,153 | ) | | $ | (1,782 | ) |
| Micro Cap Value Fund | | | 1,129,410 | | | | (1,129,410 | ) | | | – | |
The permanent differences are primarily attributable to the tax treatment of net operating losses, certain securities and tax paid.
| 5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the fiscal year ended October 31, 2017 were as follows:
| | | Purchases | | | Sales | |
| Micro Cap Growth Fund | | $ | 151,782,658 | | | $ | 195,846,938 | |
| Micro Cap Value Fund | | | 67,734,381 | | | | 94,781,806 | |
There were no purchases or sales of U.S. Government securities for the fiscal year ended October 31, 2017.
Each Fund is permitted to purchase and sell securities (“cross-trade”) from and to other Lord Abbett funds or client accounts pursuant to procedures approved by the Board in compliance with Rule
28
Notes to Financial Statements (continued)
17a-7 under the Act (the “Rule”). Each cross-trade is executed at a fair market price in compliance with provisions of the Rule. For the fiscal year ended October 31, 2017, the following Funds engaged in cross-trades:
| Fund | | Purchases | | | Sales | | | Gain/(Loss) | |
| Micro Cap Growth Fund | | $ | 175,595 | | | $ | 2,982,446 | | | $ | 1,157,944 | |
| Micro Cap Value Fund | | | – | | | | 149,550 | | | | (7,342 | ) |
| 6. | DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES |
The Financial Accounting Standards Board (“FASB”) requires disclosures intended to help better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. The following tables illustrate gross and net information about recognized assets eligible for offset in the Statement of Assets and Liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between a fund and a counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Funds’ accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the Statement of Assets and Liabilities across transactions between the Funds and the applicable counterparty:
| | | | | | | | | Micro Cap Growth Fund | |
| | | | | | Gross Amounts | | | Net Amounts of | |
| | | | | | Offset in the | | | Assets Presented | |
| | | Gross Amounts of | | | Statement of Assets | | | in the Statement of | |
| Description | | Recognized Assets | | | and Liabilities | | | Assets and Liabilities | |
| Repurchase Agreement | | $ | 4,275,390 | | | $ | – | | | $ | 4,275,390 | |
| Total | | $ | 4,275,390 | | | $ | – | | | $ | 4,275,390 | |
| | | Net Amounts | | | | | | | | | | | | | |
| | | of Assets | | Amounts Not Offset in the | | | | |
| | | Presented in | | | Statement of Assets and Liabilities | | | | |
| | | the Statement | | | | | | Cash | | | Securities | | | | |
| | | of Assets and | | | Financial | | | Collateral | | | Collateral | | | Net | |
| Counterparty | | Liabilities | | | Instruments | | | Received(a) | | | Received(a) | | | Amount(b) | |
| Fixed Income Clearing Corp. | | $ | 4,275,390 | | | $ | – | | | $ | – | | | $ | (4,275,390 | ) | | $ | – | |
| Total | | $ | 4,275,390 | | | $ | – | | | $ | – | | | $ | (4,275,390 | ) | | $ | – | |
| | | | | | | | | Micro Cap Value Fund | |
| | | | | | Gross Amounts | | | Net Amounts of | |
| | | | | | Offset in the | | | Assets Presented | |
| | | Gross Amounts of | | | Statement of Assets | | | in the Statement of | |
| Description | | Recognized Assets | | | and Liabilities | | | Assets and Liabilities | |
| Repurchase Agreement | | $ | 1,832,991 | | | $ | – | | | $ | 1,832,991 | |
| Total | | $ | 1,832,991 | | | $ | – | | | $ | 1,832,991 | |
29
Notes to Financial Statements (continued)
| | | Net Amounts | | | | | | | | | | | | | |
| | | of Assets | | | Amounts Not Offset in the | | | | |
| | | Presented in | | | Statement of Assets and Liabilities | | | | |
| | | the Statement | | | | | | Cash | | | Securities | | | | |
| | | of Assets and | | | Financial | | | Collateral | | | Collateral | | | Net | |
| Counterparty | | Liabilities | | | Instruments | | | Received(a) | | | Received(a) | | | Amount(b) | |
| Fixed Income Clearing Corp. | | $ | 1,832,991 | | | $ | – | | | $ | – | | | $ | (1,832,991 | ) | | $ | – | |
| Total | | $ | 1,832,991 | | | $ | – | | | $ | – | | | $ | (1,832,991 | ) | | $ | – | |
| (a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty. |
| (b) | Net amount represents the amount owed to the Fund by the counterparty as of October 31, 2017. |
The Trust’s officers and two Trustees, who are associated with Lord Abbett, do not receive any compensation from the Trust for serving in such capacities. Independent Trustees’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of each Fund. There is an equity-based plan available to all Independent Trustees under which Independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, Trustees’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the Funds. Such amounts and earnings accrued thereon are included in Trustees’ fees on the Statements of Operations and in Trustees’ fees payable on the Statements of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.
The Trust has entered into an arrangement with its transfer agent and custodian, whereby credits realized as a result of uninvested cash balances are used to reduce a portion of each Fund’s expenses.
Effective August 28, 2017, the Funds and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) entered into an amended syndicated line of credit facility with various lenders for $600 million (the “Facility”), whereas State Street Bank and Trust Company (“SSB”) participates as a lender and as agent for the lenders. The Facility is to be used for temporary or emergency purposes as an additional source of liquidity to satisfy redemptions. The Participating Funds are subject to graduated borrowing limits of one-third of Fund assets (if Fund assets are less than $750 million), $250 million, $300 million, or $350 million, based on past borrowings and likelihood of future borrowings.
Prior to August 28, 2017, the Funds and certain other funds managed by Lord Abbett participated in a $550 million syndicated line of credit facility, based on the same terms as described above.
During the fiscal year ended October 31, 2017, the Funds did not utilize the Facility.
| 10. | INTERFUND LENDING PROGRAM |
Pursuant to an exemptive order issued by the U.S. Securities and Exchange Commission (“SEC exemptive order”), certain registered open-end management investment companies managed by Lord Abbett, including each Fund, participate in a joint lending and borrowing program (the “Interfund Lending Program”). The SEC exemptive order allows the Funds to borrow money from and lend money to each other for temporary or emergency purposes subject to the limitations and
30
Notes to Financial Statements (continued)
conditions. During the fiscal year ended October 31, 2017, the Funds did not participate as a borrower or lender in the Interfund Lending Program.
| 11. | CUSTODIAN AND ACCOUNTING AGENT |
SSB is the Trust’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculates each Fund’s NAV.
Each Fund is subject to the general risks and considerations associated with equity investing, as well as the particular risks associated with micro-cap and growth or value stocks. The value of an investment in each Fund will fluctuate in response to movements in the equity securities market in general and to the changing prospects of individual companies in which the Fund invests. Micro-cap companies may be subject to greater risks and may be more sensitive to changes in economic conditions than larger, more established companies. There may be less liquidity in micro-cap company stocks, subjecting them to greater price fluctuations than larger company stocks. Micro-cap companies also may fall out of favor relative to larger companies in certain market cycles. In the case of Micro Cap Growth Fund, the growth stocks in which it generally invests may add to the Fund’s volatility. In the case of Micro Cap Value Fund, the prices of value stocks in which it generally invests may lag the stock market for long periods of time if the market fails to recognize the company’s intrinsic worth. Moreover, different investment styles, such as growth or value investing, may shift in and out of favor over time, depending on market and economic conditions, as well as investor sentiment.
These factors can affect each Fund’s performance.
| 13. | SUMMARY OF CAPITAL TRANSACTIONS |
Transactions in shares of beneficial interest were as follows:
| | | | | | Year Ended | | | | | | Year Ended | |
| Micro Cap Growth Fund | | | | | October 31, 2017 | | | | | | October 31, 2016 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 7,098 | | | $ | 104,579 | | | | 11,701 | | | $ | 147,277 | |
| Reinvestment of distributions | | | – | | | | – | | | | 132,838 | | | | 1,849,104 | |
| Shares reacquired | | | (31,782 | ) | | | (486,592 | ) | | | (391,612 | ) | | | (5,836,444 | ) |
| Decrease | | | (24,684 | ) | | $ | (382,013 | ) | | | (247,073 | ) | | $ | (3,840,063 | ) |
| | | | | | | | | | | | | | | | | |
| Class I Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 221,174 | | | $ | 3,648,797 | | | | 1,239,003 | | | $ | 15,867,384 | |
| Reinvestment of distributions | | | – | | | | – | | | | 1,495,326 | | | | 22,564,475 | |
| Shares reacquired | | | (2,573,410 | ) | | | (43,630,818 | ) | | | (1,162,677 | ) | | | (16,835,165 | ) |
| Increase (decrease) | | | (2,352,236 | ) | | $ | (39,982,021 | ) | | | 1,571,652 | | | $ | 21,596,694 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | Year Ended | | | | | | | Year Ended | |
| Micro Cap Value Fund | | | | | | October 31, 2017 | | | | | | | October 31, 2016 | |
| Shares sold | | | 4,007 | | | $ | 134,354 | | | | 4,665 | | | $ | 148,933 | |
| Reinvestment of distributions | | | 34,072 | | | | 1,086,208 | | | | 12,602 | | | | 388,270 | |
| Shares reacquired | | | (27,071 | ) | | | (893,238 | ) | | | (385,285 | ) | | | (11,863,165 | ) |
| Increase (decrease) | | | 11,008 | | | $ | 327,324 | | | | (368,018 | ) | | $ | (11,325,962 | ) |
31
Notes to Financial Statements (concluded)
| | | | | | Year Ended | | | | | | Year Ended | |
| Micro Cap Value Fund | | | | | October 31, 2017 | | | | | | October 31, 2016 | |
| Class I Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 94,182 | | | $ | 3,191,251 | | | | 65,171 | | | $ | 2,151,524 | |
| Reinvestment of distributions | | | 631,534 | | | | 21,061,650 | | | | 102,887 | | | | 3,292,394 | |
| Shares reacquired | | | (877,082 | ) | | | (30,563,791 | ) | | | (1,004,290 | ) | | | (32,887,693 | ) |
| Decrease | | | (151,366 | ) | | $ | (6,310,890 | ) | | | (836,232 | ) | | $ | (27,443,775 | ) |
32
Report of Independent Registered Public Accounting Firm
��
To the Board of Trustees of Lord Abbett Securities Trust and Shareholders of Lord Abbett Micro-Cap Growth Fund and Lord Abbett Micro-Cap Value Fund:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of the Lord Abbett Micro-Cap Growth Fund and Lord Abbett Micro-Cap Value Fund, two of the ten portfolios constituting the Lord Abbett Securities Trust (the “Trust”), as of October 31, 2017, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2017, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Lord Abbett Micro-Cap Growth Fund and Lord Abbett Micro-Cap Value Fund of the Lord Abbett Securities Trust as of October 31, 2017, the results of their operations for the year then ended, the changes in their 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.
DELOITTE & TOUCHE LLP
New York, New York
December 21, 2017
33
Basic Information About Management
The Board is responsible for the management of the business and affairs of the Trust in accordance with the laws of the State of Delaware. The Board elects officers who are responsible for the day-to-day operations of each Fund and who execute policies authorized by the Board. The Board also approves an investment adviser to each Fund and continues to monitor the cost and quality of the services the investment adviser provides, and annually considers whether to renew the contract with the adviser. Generally, each Trustee holds office until his/her successor is elected and qualified or until his/her earlier resignation or removal, as provided in the Trust’s organizational documents.
Lord Abbett, a Delaware limited liability company, is each Fund’s investment adviser. Designated Lord Abbett personnel are responsible for the day-to-day management of the Funds.
Interested Trustees
Ms. Foster and Mr. Sieg are affiliated with Lord Abbett and are “interested persons” of the Trust as defined in the Act. Ms. Foster and Mr. Sieg are directors/trustees of each of the 12 investment companies in the Lord Abbett Family of Funds, which consist of 61 portfolios or series. Ms. Foster is an officer of the Lord Abbett Family of Funds.
| | | Current Position and | | |
| Name, Address and | | Length of Service | | Principal Occupation and Other Directorships |
| Year of Birth | | with the Trust | | During the Past Five Years |
Daria L. Foster
Lord, Abbett & Co. LLC
90 Hudson Street
Jersey City, NJ 07302 (1954) | | Trustee and President since 2006; Chief Executive Officer since 2012 | | Principal Occupation: Managing Partner of Lord Abbett, joined Lord Abbett in 1990.
Other Directorships: None. |
| | | | | |
Douglas B. Sieg
Lord, Abbett & Co. LLC
90 Hudson Street
Jersey City, NJ 07302
(1969) | | Trustee since 2016 | | Principal Occupation: Partner (since 2001) and Head of Client Services (since 2013), formerly Director of Marketing and Relationship Management, joined Lord Abbett in 1994.
Other Directorships: None. |
Independent Trustees
The following Independent Trustees also are directors/trustees of each of the 12 investment companies in the Lord Abbett Family of Funds, which consist of 61 portfolios or series.
| | | Current Position and | | |
| Name, Address and | | Length of Service | | Principal Occupation and Other Directorships |
| Year of Birth | | with the Trust | | During the Past Five Years |
Robert B. Calhoun, Jr.
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1942) | | Trustee since 1998 | | Principal Occupation: Senior Advisor of Monitor Clipper Partners, a private equity investment fund (1997 – 2012); President of Clipper Asset Management Corp. (1991 – 2009).
Other Directorships: None. |
| | | | | |
Eric C. Fast
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1949) | | Trustee since 2014 | | Principal Occupation: Chief Executive Officer of Crane Co., an industrial products company (2001 – 2014).
Other Directorships: Currently serves as director of Automatic Data Processing, Inc. (since 2007) and Regions Financial Corporation (since 2010). Previously served as a director of Crane Co. (1999 – 2014). |
34
Basic Information About Management (continued)
| | | Current Position and | | |
| Name, Address and | | Length of Service | | Principal Occupation and Other Directorships |
| Year of Birth | | with the Trust | | During the Past Five Years |
Evelyn E. Guernsey
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1955) | | Trustee since 2011 | | Principal Occupation: CEO, Americas of J.P. Morgan Asset Management (2004 – 2010).
Other Directorships: None. |
| | | | | |
Julie A. Hill
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1946) | | Trustee since 2004 | | Principal Occupation: Owner and CEO of The Hill Company, a business consulting firm (since 1998).
Other Directorships: Currently serves as director of Anthem, Inc., a health benefits company (since 1994). |
| | | | | |
Franklin W. Hobbs
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1947) | | Trustee since 2001 | | Principal Occupation: Advisor of One Equity Partners, a private equity firm (since 2004).
Other Directorships: Currently serves as director and Chairman of the Board of Ally Financial Inc., a financial services firm (since 2009), and as director of Molson Coors Brewing Company (since 2002). |
| | | | | |
James M. McTaggart
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1947) | | Trustee since 2012 | | Principal Occupation: Independent management advisor and consultant (since 2012); Vice President, CRA International, Inc. (doing business as Charles River Associates), a global management consulting firm (2009 – 2012); Founder and Chairman of Marakon Associates, Inc., a strategy consulting firm (1978 – 2009); and Officer and Director of Trinsum Group, a holding company (2007 – 2009).
Other Directorships: Blyth, Inc., a home products company (2004 – 2015). |
| | | | | |
Mark A. Schmid
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1959) | | Trustee since 2016 | | Principal Occupation: Vice President and Chief Investment Officer of the University of Chicago (since 2009).
Other Directorships: None. |
| | | | | |
James L.L. Tullis
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1947) | | Trustee since 2006; Chairman since 2017 | | Principal Occupation: CEO of Tullis-Dickerson and Co. Inc., a venture capital management firm (since 1990); CEO of Tullis Health Investors Inc. (since 2012).
Other Directorships: Currently serves as director of Crane Co. (since 1998). |
35
Basic Information About Management (continued)
Officers
None of the officers listed below have received compensation from the Trust. All of the officers of the Trust also may be officers of the other Lord Abbett Funds and maintain offices at 90 Hudson Street, Jersey City, NJ 07302. Unless otherwise indicated, the position(s) and title(s) listed under the “Principal Occupation During the Past Five Years” column indicate each officer’s position(s) and title(s) with Lord Abbett. Each officer serves for an indefinite term (i.e., until his or her death, resignation, retirement, or removal).
| | | | | Length of Service | | |
| Name and | | Current Position | | of Current | | Principal Occupation |
| Year of Birth | | with the Trust | | Position | | During the Past Five Years |
Daria L. Foster
(1954) | | President and Chief Executive Officer | | Elected as President in 2006 and Chief Executive Officer in 2012 | | Managing Partner of Lord Abbett, joined Lord Abbett in 1990. |
| | | | | | | |
Yarek Aranowicz
(1963) | | Executive Vice President | | Elected in 2017 | | Partner and Director of Global Equity Research, joined Lord Abbett in 2003. |
| | | | | | | |
Sean J. Aurigemma
(1969) | | Executive Vice President | | Elected in 2010 | | Portfolio Manager, joined Lord Abbett in 2007. |
| | | | | | | |
Todd D. Jacobson
(1966) | | Executive Vice President | | Elected in 2003 | | Partner and Associate Director, joined Lord Abbett in 2003. |
| | | | | | | |
Robert A. Lee
(1969) | | Executive Vice President | | Elected in 2016 | | Partner and Chief Investment Officer, and was formerly Deputy Chief Investment Officer and Director of Taxable Fixed Income, joined Lord Abbett in 1997. |
| | | | | | | |
David J. Linsen
(1974) | | Executive Vice President | | Elected in 2011 | | Partner and Director, joined Lord Abbett in 2001. |
| | | | | | | |
Thomas B. Maher
(1967) | | Executive Vice President | | Elected in 2008 | | Partner and Portfolio Manager, joined Lord Abbett in 2003. |
| | | | | | | |
Giulio Martini
(1955) | | Executive Vice President | | Elected in 2015 | | Partner and Director of Strategic Asset Allocation, joined Lord Abbett in 2015 and was formerly Global Investment Strategist at Anderson Global Macro LLC (2012 – 2015) and Chief Investment Officer of Currency Strategies at AllianceBernstein (1985 – 2012). |
36
Basic Information About Management (continued)
| | | | | Length of Service | | |
| Name and | | Current Position | | of Current | | Principal Occupation |
| Year of Birth | | with the Trust | | Position | | During the Past Five Years |
Justin C. Maurer
(1969) | | Executive Vice President | | Elected in 2008 | | Partner and Portfolio Manager, joined Lord Abbett in 2001. |
| | | | | | | |
Vincent J. McBride
(1964) | | Executive Vice President | | Elected in 2003 | | Partner and Director, joined Lord Abbett in 2003. |
| | | | | | | |
F. Thomas O’Halloran, III
(1955) | | Executive Vice President | | Elected in 2003 | | Partner and Portfolio Manager, joined Lord Abbett in 2001. |
| | | | | | | |
A. Edward Allinson
(1961) | | Vice President | | Elected in 2011 | | Portfolio Manager, joined Lord Abbett in 2005. |
| | | | | | | |
Vernon T. Bice
(1974) | | Vice President | | Elected in 2016 | | Portfolio Manager, joined Lord Abbett in 2011. |
| | | | | | | |
Matthew R. DeCicco
(1977) | | Vice President | | Elected in 2015 | | Portfolio Manager, joined Lord Abbett in 1999. |
| | | | | | | |
Brooke A. Fapohunda
(1975) | | Vice President and Assistant Secretary | | Elected in 2014 | | Partner and Deputy General Counsel, joined Lord Abbett in 2006. |
| | | | | | | |
John K. Forst
(1960) | | Vice President and Assistant Secretary | | Elected in 2005 | | Partner and Deputy General Counsel, joined Lord Abbett in 2004. |
| | | | | | | |
Bernard J. Grzelak
(1971) | | Chief Financial Officer and Vice President | | Elected in 2017 | | Partner and Chief Operations Officer, and was formerly Director of Fund Administration, joined Lord Abbett in 2003. |
| | | | | | | |
Lawrence H. Kaplan
(1957) | | Vice President and Secretary | | Elected in 1997 | | Partner and General Counsel, joined Lord Abbett in 1997. |
| | | | | | | |
Linda Y. Kim
(1980) | | Vice President and Assistant Secretary | | Elected in 2016 | | Counsel, joined Lord Abbett in 2015 and was formerly an Associate at Stroock & Stroock & Lavan LLP (2007 – 2015). |
| | | | | | | |
Joseph M. McGill
(1962) | | Chief Compliance Officer | | Elected in 2014 | | Partner and Chief Compliance Officer, joined Lord Abbett in 2014 and was formerly Managing Director and the Chief Compliance Officer at UBS Global Asset Management (2003 – 2013). |
| | | | | | | |
A. Edward Oberhaus, III
(1959) | | Vice President | | Elected in 1993 | | Partner and Director, joined Lord Abbett in 1983. |
| | | | | | | |
Lawrence B. Stoller
(1963) | | Vice President and Assistant Secretary | | Elected in 2007 | | Partner and Senior Deputy General Counsel, joined Lord Abbett in 2007. |
37
Basic Information About Management (concluded)
| | | | | Length of Service | | |
| Name and | | Current Position | | of Current | | Principal Occupation |
| Year of Birth | | with the Trust | | Position | | During the Past Five Years |
Arthur K. Weise
(1970) | | Vice President | | Elected in 2011 | | Partner and Portfolio Manager, joined Lord Abbett in 2007. |
| | | | | | | |
Scott S. Wallner
(1955) | | AML Compliance Officer | | Elected in 2011 | | Assistant General Counsel, joined Lord Abbett in 2004. |
| | | | | | | |
Christian J. Kelly
(1975) | | Treasurer | | Elected in 2017 | | Director of Fund Administration, joined Lord Abbett in 2009. |
Please call 888-522-2388 for a copy of the statement of additional information, which contains further information about the Trust’s Trustees. It is available free upon request.
38
Householding
The Trust has adopted a policy that allows it to send only one copy of each Fund’s prospectus, proxy material, annual report and semiannual report to certain shareholders residing at the same “household.” This reduces Fund expenses, which benefits you and other shareholders. If you need additional copies or do not want your mailings to be “householded,” please call Lord Abbett at 888-522-2388 or send a written request with your name, the name of your fund or funds and your account number or numbers to Lord Abbett Family of Funds, P.O. Box 219336, Kansas City, MO 64121.
Proxy Voting Policies, Procedures and Records
A description of the policies and procedures that Lord Abbett uses to vote proxies related to each Fund’s portfolio securities, and information on how Lord Abbett voted each Fund’s proxies during the 12-month period ended June 30 are available without charge, upon request, (i) by calling 888-522-2388; (ii) on Lord Abbett’s Website at www.lordabbett.com; and (iii) on the Securities and Exchange Commission’s (“SEC”) Website at www.sec.gov.
Shareholder Reports and Quarterly Portfolio Disclosure
The Funds are required to file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters on Form N-Q. Copies of the filings are available without charge, upon request on the SEC’s Website at www.sec.gov and may be available by calling Lord Abbett at 888-522-2388. You can also obtain copies of Form N-Q by visiting the SEC’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330).
Tax Information
69% of the ordinary income distributions paid by Micro Cap Value Fund during the fiscal year ended October 31, 2017 is qualified dividend income. For corporate shareholders, 66% of Micro Cap Value Fund’s ordinary income distributions qualified for the dividends received deduction.
Additionally, of the distributions paid by Micro Cap Value Fund during the fiscal year ended October 31, 2017, the following amounts represent short-term capital gains and long-term capital gains:
| Fund Name | Short-term capital gains | | Long-term capital gains |
| Micro Cap Value Fund | $1,862,576 | | $21,920,598 |
39
| This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus. | | Lord Abbett Securities Trust | | |
| | | | | |
Lord Abbett mutual fund shares are distributed by
LORD ABBETT DISTRIBUTOR LLC. | | Lord Abbett Micro-Cap Growth Fund
Lord Abbett Micro-Cap Value Fund | | LAMCVF-2
(12/17) |
| Item 2: | | Code of Ethics. |
| | | |
| (a) | In accordance with applicable requirements, the Registrant adopted a Sarbanes-Oxley Code of Ethics on June 19, 2003 that applies to the principal executive officer and senior financial officers of the Registrant (“Code of Ethics”). The Code of Ethics was in effect during the fiscal year ended October 31, 2017 (the “Period”). |
| (c) | The Registrant has not amended the Code of Ethics as described in Form N-CSR during the Period. |
| (d) | The Registrant has not granted any waiver, including an implicit waiver, from a provision of the Code of Ethics as described in Form N-CSR during the Period. |
| (f) | See Item 12(a)(1) concerning the filing of the Code of Ethics. |
| | | |
| Item 3: | | Audit Committee Financial Expert. |
| | | |
| | | The Registrant’s board of trustees has determined that each of the following independent trustees who are members of the audit committee is an audit committee financial expert: Robert B. Calhoun, Evelyn E. Guernsey, and Mark A. Schmid. Each of these persons is independent within the meaning of the Form N-CSR. |
| | | |
| Item 4: | | Principal Accountant Fees and Services. |
In response to sections (a), (b), (c) and (d) of Item 4, the aggregate fees billed to the Registrant for the fiscal years ended October 31, 2017 and 2016 by the Registrant’s principal accounting firm, Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu and their respective affiliates (collectively, “Deloitte”) were as follows:
| | | Fiscal year ended: | |
| | | 2017 | | | 2016 | |
| Audit Fees {a} | | $ | 410,600 | | | $ | 384,200 | |
| Audit-Related Fees | | | - 0 - | | | | - 0 - | |
| Total audit and audit-related fees | | | 410,600 | | | | 384,200 | |
| | | | | | | | | |
| Tax Fees {b} | | | 95,458 | | | | 83,408 | |
| All Other Fees | | | - 0 - | | | | - 0 - | |
| | | | | | | | | |
| Total Fees | | $ | 506,058 | | | $ | 467,608 | |
{a} Consists of fees for audits of the Registrant’s annual financial statements.
{b} Fees for the fiscal year ended October 31, 2017 and 2016 consist of fees for preparing the U.S. Income Tax Return for Regulated Investment Companies, New Jersey Corporation Business Tax Return, New Jersey Annual Report Form, U.S. Return of Excise Tax on Undistributed Income of Investment Companies, IRS Forms 1099-MISC and 1096 Annual Summary and Transmittal of U.S. Information Returns.
(e) (1) Pursuant to Rule 2-01(c) (7) of Regulation S-X, the Registrant’s Audit Committee has adopted pre-approval policies and procedures. Such policies and procedures generally provide that the Audit Committee must pre-approve:
| · | any audit, audit-related, tax, and other services to be provided to the Lord Abbett Funds, including the Registrant, and |
| · | any audit-related, tax, and other services to be provided to the Registrant’s investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to one or more Funds comprising the Registrant if the engagement relates directly to operations and financial reporting of a Fund, by the independent auditor to assure that the provision of such services does not impair the auditor’s independence. |
The Audit Committee has delegated pre-approval authority to its Chairman, subject to a fee limit of $10,000 per event, and not to exceed $25,000 annually. The Chairman will report any pre-approval decisions to the Audit Committee at its next scheduled meeting. Unless a type of service to be provided by the independent auditor has received general pre-approval, it must be pre-approved by the Audit Committee. Any proposed services exceeding pre-approved cost levels will require specific pre-approval by the Audit Committee.
(e) (2) The Registrant’s Audit Committee has approved 100% of the services described in this Item 4 (b) through (d).
(f) Not applicable.
(g) The aggregate non-audit fees billed by Deloitte for services rendered to the Registrant are shown above in the response to Item 4 (a), (b), (c) and (d) as “All Other Fees”.
The aggregate non-audit fees billed by Deloitte for services rendered to the Registrant’s investment adviser, Lord, Abbett & Co. LLC (“Lord Abbett”), for the fiscal years ended October 31, 2017 and 2016 were:
| | Fiscal year ended: |
| | 2017 | 2016 |
| All Other Fees {a} | $201,416 | $195,230 |
{a} Consist of fees for Independent Services Auditors’ Report on Controls Placed in Operation and Tests of Operating Effectiveness related to Lord Abbett’s Asset Management Services (“SOC-1 Report”).
The aggregate non-audit fees billed by Deloitte for services rendered to entities under the common control of Lord Abbett for the fiscal years ended October 31, 2017 and 2016 were:
| | Fiscal year ended: |
| | 2017 | 2016 |
| All Other Fees | $ - 0 - | $ - 0- |
(h) The Registrant’s Audit Committee has considered the provision of non-audit services that were rendered to the Registrant’s investment adviser, and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant, that were not pre-approved pursuant to Rule 2-01 (c)(7)(ii) of Regulation S-X and has determined that the provision of such services is compatible with maintaining Deloitte’s independence.
| Item 5: | Audit Committee of Listed Registrants. |
| | |
| | Not applicable. |
| | |
| Item 6: | Investments. |
| | |
| | Not applicable. |
| | |
| Item 7: | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
| | |
| | Not applicable. |
| | |
| Item 8: | Portfolio Managers of Closed-End Management Investment Companies. |
| | |
| | Not applicable. |
| | |
| Item 9: | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
| | |
| | Not applicable. |
| | |
| Item 10: | Submission of Matters to a Vote of Security Holders. |
| | |
| | Not applicable. |
| Item 11: | | Controls and Procedures. |
| | | |
| (a) | Based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days prior to the filing date of this report, the Chief Executive Officer and Chief Financial Officer of the Registrant have concluded that such disclosure controls and procedures are reasonably designed and effective to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to them by others within those entities. |
| (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
| | | |
| Item 12: | | Exhibits. |
| (a)(1) | The Lord Abbett Family of Funds Sarbanes Oxley Code of Ethics for the Principal Executive Officer and Senior Financial Officers is attached hereto as part of Ex-99. CODEETH. |
| | | |
| | (a)(2) | Certification of each Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2 under the Investment Company Act of 1940 is attached hereto as a part of EX-99.CERT. |
| (b) | Certification of each Principal Executive Officer and Principal Financial Officer of the Registrant as required by Section 906 of the Sarbanes-Oxley Act of 2002 is provided as a part of EX-99.906CERT. |
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.
| | | LORD ABBETT SECURITIES TRUST |
| | | |
| | By: | /s/ Daria L. Foster |
| | | Daria L. Foster |
| | | President and Chief Executive Officer |
Date: December 21, 2017
| | By: | /s/ Bernard J. Grzelak |
| | | Bernard J. Grzelak |
| | | Chief Financial Officer and Vice President |
Date: December 21, 2017
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
| | By: | /s/ Daria L. Foster |
| | | Daria L. Foster |
| | | President and Chief Executive Officer |
Date: December 21, 2017
| | By: | /s/ Bernard J. Grzelak |
| | | Bernard J. Grzelak |
| | | Chief Financial Officer and Vice President |
Date: December 21, 2017
